Treasury management (or treasury operations) includes management of an enterprise's holdings, with the ultimate goal of managing the

firm's
liquidity and mitigating its operational, financial and reputational risk. Treasury Management includes a firm's collections, disbursements,
concentration, investment and funding activities.

The Treasury Group

- is primarily responsible for managing the funding and liquidity needs of the Bank. In principle, it is in charge of managing the bank’s
money and ensuring that all parts of the Bank can readily access the cash they need for their business activities.
- Also tasked with investing excess funds that the Bank generates. This is done to supplement the Bank’s interest income as well as to
generate trading income from fluctuation in the prices of financial instruments.
- The Group also coordinates with the Risk Management Department and other Business Units of the Bank to manage the Bank’s market
risk (i.e. interest rate and foreign currency).
- Lastly, the Group provides the Bank’s clients access to more complex fixed income and foreign currency financial products to meet either
their investment or hedging requirements.
- T assets – more liquid, there are limits
- Loans – not as liquid because of term
- Contractual maturity – diff maturities

Treasury interacts most is Risk

- Risk is the middle office – they set limits. Monitor and coordinate loss, review, RCSA (market, liquidity, ops)
- Treasury ops is the back office – transaction should be booked, acctng entries and proper settlement

Branch -> Treasury -> IBG (lending)

- Deposits from branch are given interest rates (a cost to the branch)
- SSA/TD from the branch are given match rates; board rates are interest received by the branch from treasury
- The spread of match rate and board rate (an income to the branch)
o Minimum spread is 1%, which is a cost for the placement
o DST documentary stamp tax 0.5% (1 peso for every 200)
o PDIC Philippine depository insurance corp 0.2%
- Match rate given to branch is a cost to treasury
- Cost of funds is an income to treasury, from IBG

SSA/TD placements Emails– Placement, Tenor, Previous rates, Volume (from weekly rate sheets)

Inverse relationship of price of bond and YTM

- The interest rate of a bond is fixed when it is first issued.

- The payment comprises of two parts – the fixed bond interest rate or coupon and the final amount to be paid upon maturity.
- Bond prices and yields move in opposite directions. In other words, a move in the 10-year Treasury yield from 2.2% to 2.6% indicates
negative market conditions, while a move from 2.6% to 2.2% indicates positive market performance.
- They trade in the open market – where prices and yields are always changing.
- Opportunity cost. As market interest rates change, a bond's coupon rate—which, remember, is fixed—becomes more or less attractive to
investors, who are therefore willing to pay more or less for the bond itself.
- The price of a bond changes in response to changes in interest rates in the economy. This is due to the fact that for a fixed-rate bond, the
issuer has promised to pay a coupon based on the face value of the bond – so for a $1,000 par, 10% annual coupon bond, the issuer will
pay the bondholder $100 each year. Imaging a little while later, however, that the economy has taken a turn for the worse and interest
rates drop to 5%. Now, the investor can only receive $50 from the government bond, but would still receive $100 from the corporate
bond. This makes the corporate bond much more attractive, and so investors in the market will bid up the price of the bond until it
trades at a premium that equalizes the prevailing interest rate environment – in this case the bond will trade at a price of $2,000 so that
the $100 coupon represents 5%. Likewise, if interest rates soared to 15%, then an investor could make $150 from the government bond
and would not pay $1,000 to earn just $100. This bond would be sold until it reached a price that equalized the yields, in this case to a
price of $666.67.
- When interest rates go up, bond prices fall in order to have the effect of equalizing the interest rate on the bond with prevailing rates,
and vice versa. Another way of illustrating this concept is to consider what the yield on our bond would be given a price change, instead
of given an interest rate change. For example, if the price were to go down from $1,000 to $800, then the yield goes up to 12.5%. This
happens because you are getting the same guaranteed $100 on an asset that is worth $800 ($100/$800). Conversely, if the bond goes up
in price to $1,200, the yield shrinks to 8.33% ($100/$1,200).
- YTM is inverse with price because on a discount, you pay less for a bond you are receiving more than what you initially ought to have.

The yield-to-maturity (YTM) of a bond is another way of considering a bond’s price. YTM is the total return anticipated on a bond if the bond is
held until the end of its lifetime.

Contractual maturity - mismatch on assets and liabilities – gaps

(+) assets mature faster
(-) liabilities mature faster
Interest rates - depends

Money market and Capital market

Financial market can either be a Money Market where extremely liquid financial instruments are traded or a Capital Market where buying and
selling in securities are done to raise long-term funds for the entity.
The Capital Market includes both dealer market and auction market. It is broadly divided into two major categories: Primary Market and
Secondary Market.
 Primary Market: A market where fresh securities are offered to the public for subscription is known as Primary Market.
 Secondary Market: A market where already issued securities are traded among investors is known as Secondary Market

Basis for
Money Market Capital Market
Comparison
A segment of the financial market where lending and borrowing of A section of financial market where long term securities are
Meaning
short term securities are done. issued and traded.
Nature of Market Informal Formal
Financial Treasury Bills, Commercial Papers, Certificate of Deposit, Trade Shares, Debentures, Bonds, Retained Earnings, Asset
instruments Credit etc. Securitization, Euro Issues etc.
Central bank, Commercial bank, non-financial institutions, bill Commercial banks, Stock exchange, non-banking institutions
Institutions
brokers, acceptance houses, and so on. like insurance companies etc.
Risk Factor Low Comparatively High
Liquidity High Low
Purpose To fulfill short term credit needs of the business. To fulfill long term credit needs of the business.
Time Horizon Within a year More than a year
Merit Increases liquidity of funds in the economy. Mobilization of Savings in the economy.
Return on
Less Comparatively High
Investment

Capital Market
The place where Companies, Industries or Entities Raise Capital and Investors invest their savings or capital in companies or industries. Cash
instruments like,
 Shares,
 Mutual Funds,
 Derivative instruments etc. are traded here.
 Long term assets, greater than a year
o Equities (stocks) investor/owner – balsheet capital
o Change in capital – balsheet additional paid in capital
o Debt (bond) credit – debt – balsheet liability
 Government securities (bonds), RTB (coupon quarterly), dollar denominated bonds (eurobonds)
 Primary market
o Trading participants bid through a dutch auction (Uniform Price or Dutch Auction is a method of pegging a uniform coupon rate
of a Treasury Bond at the stop-out level of arrayed amounts of bid with the corresponding yield rate tendered. Conventionally,
the rate must be divisible by one-eighth of 1%. A Dutch auction is a public offering auction structure in which the price of the
offering is set after taking in all bids and determining the highest price at which the total offering can be sold. In this type of
auction, investors place a bid for the amount they are willing to buy in terms of quantity and price.)
Relatively high risk instruments, because your investment can zero if companies start down performing.
Relatively gives high returns than other instruments in the form of dividend and capital appreciation.
1. Primary Market: IPO’s: Companies raises funds, issuing shares to public for the first time and sharing profits to public in form of Dividend.
2. Secondary Market: Stock exchanges, Stock Brokers, Depositories, Custodians, and Clearing members are the players in this segment.
These entities will ensures financial products reaches to Public to finer tips trough Online and also ensure safety of transactions.

Money Markets
It is the place where you find Buyers and Sellers of financial instruments called Debt instruments. Governments, Companies, industries or entities
will take short term debt from public to meet their working capital requirement or infrastructure need etc.
1. Bonds,
2. Debentures,
3. Certificate of Deposits,
4. Commercial Papers, are traded here.
Relatively low risk, and safe instrument.
Relatively low returns, if form of Coupon rates, interest rate. Maturity period is their for all the instruments

Liquidity coverage requirement (LCR)

- Refers to highly liquid assets held by financial institutions to meet short-term obligations.
- The ratio is a generic stress test that aims to anticipate market-wide shocks.
- Ensure financial institutions have the necessary assets on hand to ride out short-term liquidity disruptions.
High-quality liquid assets (HQLA)
- Include only those with a high potential to be converted easily and quickly into cash.
- There are three categories of high-quality liquidity assets with decreasing levels of quality: level 1, level 2A and level 2B assets.
Retail treasury bonds (RTB)
- Part of the government funding program to make government securities available to small investors
- Key features: earns fixed interest rate, interest rate is based on prevailing market rate. Interest is paid quarterly during the term of the
bond, placement is targeted at retail and institutional
- Medium to long-term investments issued by the Philippine government to make securities available to small investors. 5000 pesos and
thereafter.
Fixed-Rate Treasury Notes (FXTNs)
- FXTNs pay coupons semi-annually
- ROP Bonds are medium to long-term negotiable and transferable debt instruments issued by the Republic of the Philippines.
Repo – selling then buying back
Reverse repo – buy then sell back
Repurchase agreement (Repo)
- A repurchase agreement (repo) is a form of short-term borrowing for dealers in government securities. The dealer sells the government
securities to investors, usually on an overnight basis, and buys them back the following day.
- For the party selling the security, and agreeing to repurchase it in the future, it is a repo; for the party on the other end of the transaction,
buying the security and agreeing to sell in the future, it is a reverse repurchase agreement.
- Repos are classified as a money-market instrument, and they are usually used to raise short-term capital.
Reverse Repurchase Agreement
- agreement to sell them at a higher price at a specific future date. For the party selling the security (and agreeing to repurchase it in the
future) it is a repurchase agreement (RP) or repo; for the party on the other end of the transaction (buying the security and agreeing to
sell in the future) it is a reverse repurchase agreement (RRP) or reverse repo.
Reflation
- act of stimulating the economy by increasing the money supply or by reducing taxes, seeking to bring the economy (specifically price
level) back up to the long-term trend, following a dip in the business cycle.
Eurobonds
- A eurobond is denominated in a currency other than the home currency of the country or market in which it is issued. These bonds are
frequently grouped together by the currency in which they are denominated, such as eurodollar or euroyen bonds.
Foreign-exchange reserves (also called forex reserves or FX reserves)
- money or other assets held by a central bank or other monetary authority so that it can pay if need be its liabilities, such as the currency
issued by the central bank, as well as the various bank reserves deposited with the central bank by the government and other financial
institutions
Basis point (BPS)
- Refer to a common unit of measure for interest rates and other percentages in finance. One basis point is equal to 1/100th of 1%, or
0.01% (0.0001), and is used to denote the percentage change in a financial instrument. The relationship between percentage changes and
basis points can be summarized as follows: 1% change = 100 basis points, and 0.01% = 1 basis point.
- The basis point is commonly used for calculating changes in interest rates, equity indexes and the yield of a fixed-income security.
On-the-run Treasuries
- Most recently issued U.S. Treasury bonds or notes of a particular maturity. "On-the-run" Treasuries are the opposite of "off-the-run"
Treasuries, which refer to Treasury securities that have been issued before the most recent issue and are still outstanding. Media
mentions about Treasury yields and prices generally reference "on-the-run" Treasuries.
Personal consumption expenditures (PCE), or the PCE Index
- Measure price changes of consumer goods and services. Sharing similarities with the Consumer Price Index (CPI), the PCE is part of the
personal income report issued by the Bureau of Economic Analysis of the Department of Commerce.
CAP
- The highest point to which an adjustable rate mortgage (ARM) can rise in a given time period or the highest rate that investors can
receive on a floating-rate type bond. The issuer typically sets the cap at the time the contract is issued. With an ARM, it is detailed in the
terms of the mortgage document.
Arbitrage is the simultaneous purchase and sale of an asset to profit from a difference in the price. It is a trade that profits by exploiting the price
differences of identical or similar financial instruments on different markets or in different forms.
SSA
- Investment passbook with fixed deposit balance maintained for a fixed term and rate
- Pays higher interest rates than preferred peso savings account and competitive with TD
- Passbook as certificate of deposit
- Based on market rates, monthly
- Initial is 100000 pesos
TD
- Certificate of deposit (in peso) with the bank for a fixed period of time in return for a fixed interest payable at the end of the term
- Interest credited at maturity
- Based on market rates, 30-360 days term
- Initial is 1000 pesos
Nostro
- refers to an account that a bank holds in a foreign currency in another bank.
- Nostro account and vostro account refer to the same thing from a different perspective. For example, Bank X has an account with Bank Y
in Bank Y's home currency. To Bank X, that is a nostro, meaning "our account on your books," while to Bank Y, it is a vostro, meaning
"your account on our books." These accounts are used to facilitate international transactions and to settle transactions that hedge
exchange rate risk.
Real-time gross settlement systems (RTGS)
- Peso transfer to local banks
- Funds transfer system where money transfer takes place from one bank to another on a "real time" basis and "gross" basis. Settlement in
the "real time" means that the transaction happens almost immediately.
Philippine Domestic Dollar Transfer System (PDDTS)
- Dollar transfer to local banks
- Local clearing and electronic communications system operated by the BAP, the Philippine Clearing House Corporation (PCHC), Philippine
Securities and Settlements Corp. (PSSC) and Citibank, Manila. This system allows online, real time settlement of domestic interbank. US
Dollar transfers/trading.
Swap
- A swap is a derivative contract through which two parties exchange financial instruments
- Usually, the principal does not change hands. Each cash flow comprises one leg of the swap. One cash flow is generally fixed, while the
other is variable that is, based on a benchmark interest rate, floating currency exchange rate or index price.
- The most common kind of swap is an interest rate swap. Swaps are over-the-counter contracts between businesses or financial
institutions.
Spot
- A spot trade is the purchase or sale of a foreign currency, financial instrument, or commodity for immediate delivery.
- Most spot contracts include physical delivery of the currency, commodity or instrument; the difference in price of a future or forward
contract versus a spot contract takes into account the time value of the payment, based on interest rates and time to maturity.
Stop-Loss Order
- An order placed with a broker to sell a security when it reaches a certain price. A stop-loss order is designed to limit an investor’s loss on
a position in a security. Although most investors associate a stop-loss order only with a long position, it can also be used for a short
position, in which case the security would be bought if it trades above a defined price.
A long (or long position) is the buying of a security such as a stock, commodity or currency with the expectation the asset will rise in value.
- Buying a call (or put) options contract from an options writer entitles you the right, not the obligation, to buy (or sell) a specific
commodity or asset for a specified amount at a specified date.
A short, or short position, is a directional trading or investment strategy where the investor sells shares of borrowed stock in the open market. The
expectation of the investor is that the price of the stock will decrease over time, at which point the he will purchase the shares in the open market
and return the shares to the broker which he borrowed them from.
The term "square position" denotes that the positions of the currency dealer are offsetting – the buy positions of the dealer are equal to the sell
positions.
Options contact – strike price
- Call – right but not obligation to buy stock / bond at a specified time and price, profit when asset increases in price
- Put – sell, profit when actual value decreases
Long – bought and owned / bullish
Short – Owed shares / Bearish

Basel I is a set of international banking regulations put forth by the Basel Committee on Bank Supervision (BCBS) that sets out the minimum capital
requirements of financial institutions with the goal of minimizing credit risk. Banks that operate internationally are required to maintain a minimum
amount (8%) of capital based on a percent of risk-weighted assets. Basel I is the first of three sets of regulations known individually as Basel I, II and
III and together as the Basel Accords.
LIBOR or ICE LIBOR (previously BBA LIBOR) is a benchmark rate that some of the world's leading banks charge each other for short-term loans. It
stands for Intercontinental Exchange London Interbank Offered Rate and serves as the first step to calculating interest rates on various loans
throughout the world.

Capital adequacy ratio (CAR)

- measure of a bank's capital. It is expressed as a percentage of a bank's risk weighted credit exposures. Also known as capital-to-risk
weighted assets ratio (CRAR), it is used to protect depositors and promote the stability and efficiency of financial systems around the
world.
Maximum cumulative outflow (MCO)
- standard which determines the amount of short term unsecured funds required to fund cash outflows in a stress event, in order to
maintain a funded liquidity cushion. Mismatched cash flows, foreign exchange and derivatives exposures.

Deposits - AUB – PDIC with recourse

Issuer – AUB – Client without recourse
The legal right to demand compensation or payment

PDEX
- The Philippine Dealing & Exchange Corp. (PDEx) is a dealing exchange for major banks in the Philippines. The primary exchange of the
country for all sectors is The Philippine Stock Exchange.
o Right click treasury notes / bonds and choose auto benchmark tenor market maker entry
o Benchmark tenors 1M-25Y Ex. 4Y (3.5-4y), 2Y (1.5-2Y)
o Several on the run securities are posted but only price one
o On picking the security, pick the shorted date or the most priced
o Minimum 50M
o Neg bellwhether – to see which is most priced
o Yield higher, therefore lower price, if not willing to buy
o Tbills – less than 1 year (.25 / 25 basis points)
o FXTN – longer than 1 year (.375 / 38 basis points)
o There is a spread because we are not buying through the system
o Required to price as a dealer; standard yield curve by market (traders) so that there is a standard pricing
o Government security are risk free, therefore it is a good basis for lending
o Before 11:15 and 4:15 is crucial to check

Government Securities
- The Philippine Government issues two kinds of government securities (GS): Treasury Bills and Treasury Bonds
- Bureau of the Treasury which originates their sale to the investing public through a network of licensed dealers. Government agencies,
Local Governments and government-owned or controlled corporations may float securities but these are not labeled as Treasuries.
- Treasury bills (T-Bills), notes and bonds are marketable securities the government sells in order to pay off maturing debt and to raise the
cash needed to run the federal government. When you buy one of these securities, you are lending your money to the government

Tbills – less than a year

Tbonds – 2-15 years

Treasury Bills
Short-term obligations issued with a term of one year or less, and because they are sold at a discount from face value, they do not pay interest
before maturity. The interest is the difference between the purchase price and the price paid either at maturity (face value) or the price of the bill
if sold prior to maturity.
- three tenors of Treasury Bills: (1) 91 day (2) 182-day (3) 364-day Bills. The number of days are based on the universal practice around the
world of ensuring that the bills mature on a business day.
- Treasury Bills are quoted either by their yield rate, which is the discount, or by their price based on 100 points per unit.
- Treasury Bills which mature in less than 91-days are called Cash Management Bills (e.g. 35-day, 42-day).
Treasury Notes and Bonds
- Securities that have a stated interest rate that is paid semi-annually until maturity.
- Notes are issued in two-, three-, five- and 10-year terms.
Treasury Bonds
- government securities which mature beyond one year
- At present there are five maturities of bonds (1) 2- year (2) 5 – year (3) 7 – year 4) 10 – year and (5) 20-year. These are sold at its face
value on origination. The yield is represented by the coupons, expressed as a percentage of the face value on per annum basis, payable
semi-annually.
Securities Dealer
- a financial institution organized usually as a corporation or a partnership, whose principal business is to buy and sell securities, whether
registered or exempt from registration, for the dealer’s own account or for the account of client/s.

Yield increment or interest on an investment in GS. It is the discount earned on Treasury Bills or the coupon paid to the holder of Treasury Bonds.
Both the discount and the coupon are expressed as a percentage of the value of the GS on a per annum basis. Conventionally, the yield on longer
dated GS are higher than the yields of shorter-dated GS.

Competitive Bid is a tender to buy an amount of GS at a yield rate per annum that a GSED believes will wrest an award for the GSED by out-
bidding other GSEDs in the primary market auction of GS

Non-Competitive Bid is a tender to buy a specified amount of GS, by a GSED in the primary auction of GS, without indicating any yield rate, on the
understanding that the award shall be at the weighted average yield rate of the competitive bids awarded at the same auction.

Price Discrimination or English Auction

- competitive bidders pay the price they have bid, and all the winning bidders may pay different prices.
- Bidding starts with a low price, and is raised incrementally as progressively higher bids are solicited, until either the auction is closed or
no higher bids are received. Often the seller sets a reserve price below which the item is not sold and the auction is aborted.
Uniform Price or Dutch Auction
- pegging a uniform coupon rate of a Treasury Bond at the stop-out level of arrayed amounts of bid with the corresponding yield rate
tendered.
- price of the offering is set after taking in all bids and determining the highest price at which the total offering can be sold. I
- n this type of auction, investors place a bid for the amount they are willing to buy in terms of quantity and price.

Price of a GS is the value based on 100 points per unit. Treasury Bills are conventionally quoted in terms of the discount rate, while Treasury
Bonds are quoted in terms of the coupon rate or the price. If a Treasury Bond is quoted in terms of its price, the price is either at a discount, at
par, or at a premium and the coupon is a rate in relation to the maturity date of the bond.

Consumer Price Index

- measure that examines the weighted average of prices of a basket of consumer goods and services, such as transportation, food and
medical care. It is calculated by taking price changes for each item in the predetermined basket of goods and averaging them.

US treasuries
US tax overhaul – 1980s
Indons

Main task of Treasury

- Balance sheet – investment of securities to manage interest rates, interest income and expenses; when in need of cash due to different
maturities and movements on rates
- Trading – for short term profit taking, buy and sell
- HFT – Des, Dianne, Peanuts
- AFS and HTM – Patty, Peanuts

1. HFT – buy and sell, short term profit trading

a. Cannot be reclassified
b. Does not affect income statement, realized if sold
c. Realized trading gain or loss in income statement (when sold)
d. mark to market (price / current price) price of bond when bought vs current price

2. AFS – for profit taking, liquidity (for managing cash inflow and outflow)
a. To fund liquidity outflow, profit taking
b. Holding period of AUB is 30 days, sell when there is a reason or need to
c. Medium term depends on liquidity profile of the bank
d. Balance sheet
e. sold, if need funding and for liquidity
f. bal sheet – mark to market – unrealized gain/loss
g. income statement – trading gain/loss

3. HTM – accrue interest and earn coupon rate

a. buy and sell
b. short term profit
c. month end – repriced
d. Reclassify, it is as if you will realize all of the portfolio’s profit/loss. Under “net unrealized gain/loss” in the balance sheet
(income statement only is sold/realized under other income trading gain/loss)
e. Mark to market realized gain (income statement) with repriced and sold

Encoder, Checker, Approving officer, Back office (Treasury Ops)

BSP CIRCULAR NO. 476

Series of 2005

This Circular covers accounting for investments in debt and equity securities except:
a. those that are part of hedging relationship;
b. those that are hybrid financial instruments;
c. those financial liabilities that are held for trading;
d. those financial assets and financial liabilities which, upon initial recognition, are designated by the financial institutions as at fair value
through profit or loss; and
e. those that are classified as loans and receivables.

A. Held to Maturity Securities (HTM) - These are debt securities with fixed or determinable payments and fixed maturity that a financial institution
has the positive intention and ability to hold to maturity other than:
(1) those that meet the definition of Securities at Fair Value Through Profit or Loss; and
(2) those that the financial institution designates as Available-for-Sale Securities (AFS).

A financial institution shall not classify any debt security as HTM if the financial institution has, during the current financial year or during the two
preceding financial years, sold or reclassified more than an insignificant amount of HTM investments before maturity. For this purpose, the phrase
“more than an insignificant amount” refers to sales or reclassification of one percent (1%) or more of the outstanding balance of the HTM portfolio:
Provided, however, That sales or reclassifications of less than one percent (1%) shall be evaluated on case to case basis.

A financial institution does not have a positive intention to hold to maturity an HTM security if:
(1) the financial institution intends to hold the security for an undefined period;
(2) the financial institution stands ready to sell the security (other than if a situation arises that is non-recurring and could not have been
reasonably anticipated by the financial institution) in response to changes in market interest rates or risks, liquidity needs, changes in the
availability of and the yield on alternative investments, changes in financing sources and terms or changes in foreign currency risk; or
(3) the issuer has a right to settle the security at an amount significantly below its amortized cost.
Securities at Fair Value through Profit or Loss – These consist initially of HFT Securities. HFT are debt and equity securities that are:
(a) acquired principally for the purpose of selling or repurchasing them in the near term; or
(b) part of a portfolio of identified securities that are managed together and for which there is evidence of a recent actual pattern of short-term
profit-taking.

B. Securities at Fair Value through Profit or Loss – These consist initially of HFT Securities. HFT are debt and equity securities that are:
(a) acquired principally for the purpose of selling or repurchasing them in the near term; or
(b) part of a portfolio of identified securities that are managed together and for which there is evidence of a recent actual pattern of short-term
profit-taking.

For this purpose, a financial institution shall adopt its own definition of short-term which shall be within a 12-month period. Said definition which
shall be included in its manual of operations, shall be applied and used consistently.

C. Available-for-Sale Securities (AFS) - These are debt or equity securities that are designated as Available-for-Sale Securities (AFS) or are not
classified/designated as (a) HTM, (b) Securities at Fair Value through Profit or Loss, or (d) Investment in Non-Marketable Equity Securities (INMES).

Underwriting Accounts (UA) shall be a sub-account under AFS. These are debt and equity securities purchased which have remained
unsold/locked-in from underwriting ventures on a firm basis. UA account is applicable only to universal banks and investment houses.

D. Investments in Non-Marketable Equity Securities (INMES) - These are equity instruments that do not have a quoted market price in an active
market, and whose fair value cannot be reliably measured.

a. A financial institution shall not reclassify a security into or out of the Fair Value through Profit Loss category while it is held.

Philippine Dealing System Holdings Group and Subsidiaries (PDS Group)

Trading Hours
Pre-Open Session - 08:30AM - 09:00AM
Morning Sessions - 09:00AM - 12:00NN
Afternoon Session - 02:00PM - 04:00PM
Close - 04:00PM

Minimum Trading Size. For government securities and corporate bonds and commercial papers. Philippine Pesos Five Thousand (PhP 5,000) Face
Amount, or the minimum denomination of the Security based on the terms and conditions set by the Issuer.

Standard Settlement Date. The standard settlement date for Fixed Income Securities traded through PDEx Trading System shall be the next Trading
Day following the Trading Day when the trades were executed (“T+1”).

Types of Trading Participants

There shall be three (3) types of Trading Participants. These are:
- Dealing Participants, who may be Market-Making Participants as defined below;
- Qualified Investor Participants who may opt not to be members of the Self Regulatory Organization, hence not bound by these Rules but
bound by the pertinent agreements; and
- Brokering Participants.

Voice Broker
An interdealer broker who brokers derivatives transactions via telephone, instant message, or similar means of communication.

Capital Adequacy Ratio – BASEL II – BASEL III 2018

10 % of BSP, internally 12.5%
MIS – AUB’s banking book
- 1.25 / (1-0.2) = 1.5625 (Gross up for reserves)
- 1.5625 / .95 = 1.64 (GRT gross receipt tax)

Higher interest with fixed loans – loss

5% loan, tom 1%, gain because earning 5%

ODF, TDF
- Overnight dep facility (set rates) / term dep facility (auction basis) 2.5% - corridor – 3.5%

Vault – Cash in vault has cost and insurance Cash Assistance

AUB deposit to landbank, this takes out cost and insurance

2013 – 0% Fed recession

2008 & 2009 – 0% to 0.25%
Greece – euro 2013
USD buy securities from back – money to banks – prop up economy and activity of market
But they reinvested it instead – massive rally of fixed income

LAM
1. investments
2. loans
3. NPL ratio
4. Trading gain/loss
5. Unrealized gain/loss
6. ROE, ROA, debt to equity
7. Capital adequacy ratio
8. Goodwill
9. Total interest income, interest expense
10. Leverage ratio (liab/cap)

1/3 Treasury, Comm Loans, Consumer

1. Comm 84m
2. Treasury 57m
3. Consumer 11m

Bifurcation reversal
Acquisition and redemption
BMR
ECL model development
Sovereign CAP country limit

TRADE
- Import bills. Trsut receipt
ROPA
Real and other properties acquired
- Time value, better if cash
- If sold, goes to sales contract receivable

Investment – Affiliates
- Subsidiaries
- Rural bank of angeles