COUNTRY •
PHILIPPINES
Last Update: 27 Nov 2022 12:15 GMT+0
The Philippines 10Y Government Bond has a 7.000% yield.
10 Years vs 2 Years bond spread is 86.1 bp. Normal Convexity in Long-Term vs Short-Term Maturities.
Central Bank Rate is 5.00% (last modification in November 2022).
The Philippines credit rating is BBB+, according to Standard & Poor's agency.
Current 5-Years Credit Default Swap quotation is 57.35 and implied probability of default is 0.96%.
If data are not all visible, swipe table left
| Residual Maturity |
Yield | ZC Price | Last Change |
||||||
|---|---|---|---|---|---|---|---|---|---|
| Last | Chg 1M | Chg 6M | Last | Chg 1M | Chg 6M | ||||
| 1 month | 3.717% | +16.7 bp | +263.4 bp | 27 Nov | |||||
| 3 months | 4.193% | +38.5 bp | +271.3 bp | 27 Nov | |||||
| 6 months | 4.968% | +32.7 bp | +315.5 bp | 27 Nov | |||||
| 1 year | 5.304% | +57.7 bp | +325.4 bp | 94.96 | -0.56 % | -3.09 % | 27 Nov | ||
| 2 years | 6.139% | +6.7 bp | +182.5 bp | 88.77 | -0.12 % | -3.41 % | 27 Nov | ||
| 3 years | 6.504% | +5.0 bp | +149.7 bp | 82.78 | -0.13 % | -4.16 % | 27 Nov | ||
| 4 years | 6.500% | +5.0 bp | +105.2 bp | 77.73 | -0.19 % | -3.89 % | 27 Nov | ||
| 5 years | 6.600% | -9.5 bp | +99.4 bp | 72.65 | +0.46 % | -4.57 % | 27 Nov | ||
| 7 years | 6.790% | -30.9 bp | +9.4 bp | 63.14 | +2.05 % | -0.61 % | 27 Nov | ||
| 10 years | 7.000% | -43.2 bp | +37.4 bp | 50.83 | +4.10 % | -3.46 % | 27 Nov | ||
| 20 years | 7.678% | +12.8 bp | +122.8 bp | 22.78 | -2.32 % | -20.49 % | 27 Nov | ||
Last Update: 27 Nov 2022 12:15 GMT+0
Philippines Yield Curve Analysis
Normally, longer-duration interest rates are higher than short-duration. So, the yield curve normally slopes upward as duration increases.
For this reason, the spread (i.e. the yield difference) between a longer and a shorter bond should be positive.
If not, the yield curve can be flat or inverted.
The curve convexity is measured considering some key bond durations (usually 2 years and 10 years, but also other maturities).
The curve convexity is measured considering some key bond durations (usually 2 years and 10 years, but also other maturities).
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| Residual Maturity |
Yield | Spread vs Bond | Spread vs Central Bank Rate (5.00%) |
||||
|---|---|---|---|---|---|---|---|
| 3 months | 1 year | 2 years | 5 years | ||||
| 10 years | 7.000% | 200.0 bp | |||||
| 5 years | 6.600% | 160.0 bp | |||||
| 2 years | 6.139% | 113.9 bp | |||||
| 1 year | 5.304% | 30.4 bp | |||||
| 3 months | 4.193% | -80.7 bp | |||||
Focusing on 2 years Government Bond:
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| 2Y vs 1Y | 83.5 bp | Normal Convexity in Short-Term Maturities | ||
| 5Y vs 2Y | 46.1 bp | Normal Convexity in Mid-Term vs Short-Term Maturities | ||
| 10Y vs 2Y | 86.1 bp | Normal Convexity in Long-Term vs Short-Term Maturities |
Readings that may interest you
Philippines Credit Ratings
A credit rating is an assessment of the creditworthiness of a borrower (in general terms or with respect to a particular debt or financial obligation).
For a deeper analysis of credit ratings, click here
Philippines Credit Ratings History
| Rating Agency | Rating | Outlook |
|---|---|---|
| Standard & Poor's |
BBB+
|
- |
| Moody's Investors Service |
Baa2
|
- |
| Fitch Ratings |
BBB
|
negative |
| DBRS |
-
|
- |
Philippines Interest Rates
A bank rate is the interest rate at which a nation's central bank lends money to domestic banks, often in the form of very short-term loans.
| Interest Rates | Value | |
|---|---|---|
| Central Bank Rate | 5.00% |
Philippines Credit Default Swaps
The term credit default swap (CDS) refers to a financial derivative that allows an investor to swap or offset their credit risk with that of another investor. To swap the risk of default, the lender buys a CDS from another investor who agrees to reimburse the lender in the case the borrower defaults.
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| Credit Default Swap | CDS Value | Var % 1W | Var % 1M | Var % 1Y | Implied PD(*) | |
|---|---|---|---|---|---|---|
| 5 Years CDS | 57.35 | +9.24 % | +22.49 % | +19.01 % | 0.96 % |
(*) Implied probability of default, calculated on the hypothesis of a 40% recovery rate.
Philippines 10Y Bond Yield Spread
The Philippines 10Y Government Bond has a 7.000% yield. Click on Spread value for the historical serie.
A positive spread, marked by
, means that the 10Y Bond Yield is higher than the corresponding foreign bond. Instead, a negative spread is marked by a green circle.
Click on the values in "Current Spread" column, for the historical series of the spread.
Click on the "Compare" button, for a report with the full comparison between the two countries, with all the available data.
If data are not all visible, swipe table left
| Philippines 10Y vs | Current Spread | Chg 1M | Chg 6M | ||
|---|---|---|---|---|---|
| Japan 10Y | 674.5 bp | -44.2 bp | +34.2 bp | Compare | |
| Germany 10Y | 503.0 bp | -43.9 bp | -62.0 bp | Compare | |
| France 10Y | 456.6 bp | -39.4 bp | -56.6 bp | Compare | |
| China 10Y | 415.9 bp | -57.2 bp | +28.3 bp | Compare | |
| Canada 10Y | 406.2 bp | -17.1 bp | +22.6 bp | Compare | |
| Spain 10Y | 404.5 bp | -37.9 bp | -49.3 bp | Compare | |
| United Kingdom 10Y | 388.9 bp | -9.4 bp | -81.3 bp | Compare | |
| Australia 10Y | 340.8 bp | -25.4 bp | +3.1 bp | Compare | |
| United States 10Y | 330.9 bp | -19.4 bp | -57.4 bp | Compare | |
| Italy 10Y | 315.1 bp | -30.3 bp | -57.9 bp | Compare | |
| India 10Y | -30.1 bp | -32.1 bp | +42.3 bp | Compare | |
| Russia 10Y | -307.0 bp | -67.2 bp | -18.6 bp | Compare | |
| Brazil 10Y | -665.6 bp | -196.5 bp | -84.9 bp | Compare |
Philippines Government Bonds Prices
Price Simulation: bonds with a face value of 100, with different coupon rates. The highlighted column refers to the zero coupon bond.
Click on
for a forecast of the yield.
If data are not all visible, swipe table left
| Residual Maturity |
Yield | Bond Price - with different Coupon Rates | Fx | ||||||
|---|---|---|---|---|---|---|---|---|---|
| 0% | 1% | 3% | 5% | 7% | 9% | ||||
| 20 years | 7.678% | 22.78 | 32.83 | 52.95 | 73.06 | 93.18 | 113.30 | ||
| 10 years | 7.000% | 50.83 | 57.86 | 71.91 | 85.95 | 100.00 | 114.05 | ||
| 7 years | 6.790% | 63.14 | 68.57 | 79.42 | 90.28 | 101.14 | 112.00 | ||
| 5 years | 6.600% | 72.65 | 76.79 | 85.08 | 93.37 | 101.66 | 109.95 | ||
| 4 years | 6.500% | 77.73 | 81.16 | 88.01 | 94.86 | 101.71 | 108.56 | ||
| 3 years | 6.504% | 82.78 | 85.42 | 90.72 | 96.02 | 101.31 | 106.61 | ||
| 2 years | 6.139% | 88.77 | 90.60 | 94.26 | 97.92 | 101.58 | 105.24 | ||
| 1 year | 5.304% | 94.96 | 95.91 | 97.81 | 99.71 | 101.61 | 103.51 | ||
| Maturity Date | 100.00 | 100.00 | 100.00 | 100.00 | 100.00 | 100.00 | |||