The Bangko Sentral ng Pilipinas (BSP) and the Bankers Association of the Philippines (BAP) have announced a joint initiative to develop and enhance short-term benchmarks, including the Peso Interest Rate Swaps (Peso IRS) and a repo market for government securities.
This move aims to create a more robust benchmark yield curve, reflecting market consensus and facilitating the pricing of credit instruments.
To address the current reliance on thinly traded government securities for loan pricing, the BSP and BAP will establish an enhanced Peso IRS overnight reference rate (ORR) based on the BSP’s variable overnight reverse repurchase rate (RRP).
A group of 15 banks, including major domestic and international players, have committed to act as market makers, providing two-way prices for one-, three-, and six-month swaps against the ORR.