(NAR) VOL. 12 NO. 1 / JANUARY - MARCH 2001
Type of Security | Market Price Basis | |
A. Equity Securities Listed in the Stock Exchange | ||
1. Traded in the Philippines | Same day closing price as quoted at the Philippine Stock Exchange. In case of halt trading/suspension or holidays, use the last available closing price. | |
2. Traded Abroad | Latest available closing price from the exchange where the securities are traded. | |
B. Foreign Currency-Denominated Debt Securities Quoted in Major Information Systems (Bloomberg, Reuters, Bridge) | ||
1. US Treasuries | Price as of end of day, Manila time. | |
2. US Agency papers such as Fannie Maes, Freddie Macs, Ginnie Maes, Municipal papers | Latest available price for the day, Manila Time. In the absence of a price, use average quotes of at least three regular brokers/ market makers.* | |
3. Brady Bonds | Same as B.2. | |
4. For all US$-denominated government and corporate Securities | Same as B.2. | |
5. Other foreign-currency securities | Same as B.2 | |
C. Peso-Denominated Government Securities | ||
1. Short-term Domestic Government Securities | Price as of end of day. Use the following sources as discount rate/yield to maturity: | |
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2. Long-term Domestic Government Securities | Same as C 1 | |
A. Peso- Denominated Private Debt Securities | ||
1. Short-term securities | Prices computed using the corresponding government | |
Type of Security | Market Price basis | |
Security benchmark + long-term risk Premium | ||
2. Long-term Fixed Rate Securities | Prices computed using the corresponding government security benchmark & long-term risk premium | |
3. Long-term Securities Floaters | Prices computed using the corresponding benchmark based on the reset period + government security risk premium. (Please refer to Technical Annex for pricing formula.) |