BAP Advisory to Trading Participants: Inclusion of Done Deals in the calculation of PHP BVAL Reference RatesPosted on: November 9, 2018
BANKERS ASSOCIATION OF THE PHILIPPINES
BAP Advisory to Trading Participants
Inclusion of Done Deals in the calculation of PHP BVAL Reference Rates
We are pleased to announce that commencing today, November 9, 2018, PHP BVAL Reference Rates calculations already include rates from done deals for transactions with notional amounts equal to or greater than PHP 50 Million. This transaction cut-off of PHP50 Million is consistent with the previous transaction cut-off set for the calculation of PDST rates for individual trades. The delay in the deployment of this calculation methodology was due to the Quality Control process which was required by Bloomberg to ensure the BVAL rates produced and published are of high quality.
Bankers Association of the Philippines
Benchmark Administrator for Philippine Government Securities