COUNTRY • PHILIPPINES
Last Update: 22 Sep 2023 23:15 GMT+0

The Philippines 10Y Government Bond has a 6.590% yield.

10 Years vs 2 Years bond spread is 31 bp.
Normal Convexity in Long-Term vs Short-Term Maturities.

Central Bank Rate is 6.25% (last modification in March 2023).

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%.

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Residual
Maturity
Yield ZC Price Last
Change
Last Chg 1M Chg 6M Last Chg 1M Chg 6M
1 month 5.628% -11.2 bp +94.1 bp 22 Sep
3 months 5.727% -5.9 bp +78.5 bp 22 Sep
6 months 6.047% +1.1 bp +18.6 bp 22 Sep
1 year 6.063% -20.5 bp +19.9 bp 94.28 +0.19 % -0.19 % 22 Sep
2 years 6.280% -13.7 bp +22.5 bp 88.53 +0.26 % -0.43 % 22 Sep
3 years 6.297% -8.2 bp +30.7 bp 83.26 +0.23 % -0.87 % 22 Sep
4 years 6.317% -2.3 bp +26.6 bp 78.27 +0.09 % -1.00 % 22 Sep
5 years 6.308% -8.0 bp +21.0 bp 73.65 +0.38 % -0.98 % 22 Sep
7 years 6.478% -2.0 bp +27.3 bp 64.44 +0.12 % -1.78 % 22 Sep
10 years 6.590% -9.4 bp +26.4 bp 52.82 +0.88 % -2.46 % 22 Sep
20 years 6.708% -13.9 bp -5.8 bp 27.29 +2.63 % +1.07 % 22 Sep
Last Update: 22 Sep 2023 23:15 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).
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Residual
Maturity
Yield Spread vs Bond Spread vs
Central Bank
Rate (6.25%)
3 months 1 year 2 years 5 years
10 years 6.590% 34.0 bp
5 years 6.308%
5.8 bp
2 years 6.280%
3.0 bp
1 year 6.063%
-18.7 bp
3 months 5.727%
-52.3 bp
Focusing on 2 years Government Bond:
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2Y vs 1Y 21.7 bp Normal Convexity in Short-Term Maturities
5Y vs 2Y 2.8 bp Yield Curve is flat in Mid-Term vs Short-Term Maturities
10Y vs 2Y 31 bp Normal Convexity in Long-Term vs Short-Term Maturities

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
-
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 6.25%

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 6.590% 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.
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Philippines 10Y vs Current Spread Chg 1M Chg 6M
Japan 10Y 586.6 bp -15.5 bp -16.5 bp Compare
China 10Y 388.3 bp -23.1 bp +44.3 bp Compare
Germany 10Y 385.8 bp -32.5 bp -30.3 bp Compare
France 10Y 330.5 bp -34.9 bp -31.7 bp Compare
Spain 10Y 278.4 bp -37.5 bp -31.8 bp Compare
Canada 10Y 263.9 bp -37.3 bp -90.7 bp Compare
United Kingdom 10Y 234.4 bp +18.3 bp -62.4 bp Compare
Australia 10Y 226.8 bp -28.9 bp -80.9 bp Compare
United States 10Y 215.5 bp -32.9 bp -75.7 bp Compare
Italy 10Y 195.8 bp -57.1 bp -31.6 bp Compare
India 10Y -56.0 bp -5.0 bp +45.9 bp Compare
Brazil 10Y -479.9 bp -37.9 bp +194.8 bp Compare
Russia 10Y -598.0 bp -83.4 bp -115.6 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.
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Residual
Maturity
Yield Bond Price - with different Coupon Rates Fx
0% 1% 3% 5% 7% 9%
20 years 6.708% 27.29 38.13 59.81 81.49 103.16 124.84
10 years 6.590% 52.82 59.98 74.30 88.62 102.94 117.25
7 years 6.478% 64.44 69.93 80.91 91.89 102.87 113.84
5 years 6.308% 73.65 77.83 86.18 94.54 102.89 111.25
4 years 6.317% 78.27 81.71 88.59 95.47 102.35 109.23
3 years 6.297% 83.26 85.92 91.24 96.55 101.87 107.19
2 years 6.280% 88.53 90.36 94.01 97.66 101.31 104.97
1 year 6.063% 94.28 95.23 97.11 99.00 100.88 102.77
Maturity Date 100.00 100.00 100.00 100.00 100.00 100.00

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