MORNBFI Vol. 1 - Planters Development Bank

APP. Q-20a08.12.31C. Foreign Currency Denominated DebtSecurities Traded in a Local RegisteredExchange or MarketThe basis for marking-to-market foreigncurrency-denominated debt securitiestraded in a local registered exchange ormarket shall be the same as those used inPeso-Denominated GS in Section D below.D. Peso-Denominated GSThe benchmark or reference pricesshall be based on the weighted averageof done or executed deals in a tradingmarket registered with the SEC. In theabsence of done deals, the best firm bidper benchmark tenor shall be used incalculating the benchmark: Provided, Thatthe best firm offer per benchmark tenorshall likewise be included as soon aspermissible under securities laws andregulations.The benchmark or reference rateshall be computed and published inaccordance with prescribed guidelineson the computation of reference ratesby a Calculation Agent which isrecognized by the BAP: Provided, Thatboth the Calculation Agent and itsmethod of computation are acceptableto the BSP.To ensure the integrity of thebenchmark or reference prices, theCalculation Agent shall perform thefollowing:1. Monitor the quality of thecontributed source rates for thebenchmark;2. Monitor the data contributorsand replace participants, uponconsultation with the BAP, that fail tomeet commitments to the benchmark;3. Monitor the activities of theparticipants to ensure compliance withtheir commitments and for possiblemarket manipulation and enforcesanctions on errant participants andimmediately inform BAP and the BSPthereon; and4. Review and upgrade thebenchmark setting methodology uponconsultation with BAP on a continuingbasis, including documentation andpublications thereof.Accordingly, all data on done andfirm bids/offers must be credible andverifiable and preferably sourced fromtrade executions and reporting systemsthat are part of a regulated andorganized market duly licensed by theSEC where the data contributors arebound to uphold the principles oftransparency, fair trading and bestexecution.E. Peso-Denominated Private DebtSecuritiesThe basis for marking-to-marketpeso-denominated debt securitiestraded in an organized market shall bethe same as those used in Peso-Denominated Government Securitiesin Section D above.For private debt securities which arenot traded in an organized market, themarked to market value shall be basedon the corresponding governmentsecurity benchmark plus risk premium.The corresponding government securitybenchmark shall be determinedaccording to Section D above. Indetermining the risk premium, thecredit risk rating of the securitiesinvolved given by a BSP-recognizedcredit risk rating agency shall beestablished and taken into accountwhenever available. In the absence ofsuch credit risk rating, alternativeanalyses may be used: Provided, Thatthese are well-justified by sound riskanalysis principles.Q RegulationsAppendix Q-20a - Page 2Manual of Regulations for Non-Bank Financial Institutions