December 29, 2000

BSP CIRCULAR LETTER

TO : All Commercial/Thrift Banks/Non-Bank Financial Institutions With Quasi-Banking Functions

This Circular Letter establishes the market benchmarks/reference prices as well as computation method that will be used to mark-to-market debt and marketable equity securities as required under BSP Circular No. 161, series of 1998.

General Principle

As a general rule, to the extent a credible market pricing mechanism as determined by the Bangko Sentral ng Pilipinas (BSP) exists for a given security, that market price shall be the basis of mark-to-market. However, in the absence of a market price, a calculated price shall be used as prescribed in this Circular Letter.

A financial institution may also be allowed, subject to the approval of the Deputy Governor, Supervision and Examination Sector, BSP, to use its own system for marking-to-market its securities holdings provided that this can be shown to be sufficiently transparent, objective, reliable and consistent. The system should be approved by the financial institution's board of directors (or equivalent management committee in the case of foreign bank branches). The model should be vetted by...

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