DMD Circular No. 06: Selection of Benchmark Government Securities and Two-Way Price Quoting

Bangladesh Bank
(Central Bank of Bangladesh)
Head Office
Motijheel, Dhaka-1000
Bangladesh.
Department of Market Management

DMD Circular No. 06/2020 25 Kartik 1427 Bang
Date: -----------------------
10 November 2020 AD

Managing Director / Chief Executive Officer
All Primary Dealers operating in Bangladesh.

Dear Sir,

Regarding the selection of Benchmark Government Securities and Two-Way Price Quoting.

In order to develop the government securities market and create market-based yield curves, benchmark Treasury bonds have been selected from among the existing various maturity Treasury bonds. In this regard, 30 bonds have been selected as benchmarks, with 5 bonds selected from each of the 6 categories based on the remaining maturity of the existing Treasury bonds (see Annex-A).

Now, in order to determine secondary market-based yields by increasing transactions in benchmark securities, the following instructions are given to all Primary Dealers:

a) For each selected category of benchmark securities, two-way price quoting (bid-offer) must be done daily for at least one Treasury bond in each category through the Market Infrastructure (MI) module (Order-Matching Platform);

b) Primary Dealers whose quarterly average turnover (provided on a quarterly basis) is up to 3% must submit two-way price quotes (bid-offer) of at least 120 million BDT in total across 06 categories, with a minimum of 20 million BDT (not less than 10 million BDT and not more than 10 million BDT) per category; and Primary Dealers whose quarterly average turnover is more than 3% must submit two-way price quotes (bid-offer) of at least 240 million BDT in total across 06 categories, with a minimum of 40 million BDT (not less than 20 million BDT and not more than 20 million BDT) per category;

c) In the case of two-way price quoting, the maximum bid-offer spread for Treasury bonds with remaining maturities of 0 to 2 years, above 2 years to 5 years, above 5 years to 8 years, above 8 years to 10 years, above 10 years to 15 years, and above 15 years to 20 years will be 2 (two) BDT, 4 (four) BDT, 5 (five) BDT, 6 (six) BDT, 8 (eight) BDT, and 10 (ten) BDT, respectively;

d) If a Primary Dealer does not have any tradable bond in any category among the selected benchmark Treasury bonds in the bank's holding, this must be ensured by rebalancing its own portfolio or purchasing securities of all categories from the market within 2 (two) months from the date of the circular.

These instructions will come into force immediately.

Yours faithfully,

Enclosure: As per text

(Rup Ratan Pinn)
Deputy General Manager
Phone: 9530131

Annex-A
List of Selected Benchmark Government Securities

ISIN	Category	Issue Date	Maturity Date	Coupon Rate	Face Value (Cr)	Remaining Maturity (Years)
BD0921251023	2	12-09-2019	12-09-2021	5.40%	3000.00	0.32
BD0921081024	2	04-08-2019	04-08-2021	8.73%	4500.00	0.82
BD0922361029	2	22-10-2020	22-10-2022	7.68%	4500.00	1.45
BD0922011020	2	08-07-2020	08-07-2022	6.48%	4500.00	1.66
BD0922051026	2	05-06-2020	05-06-2022	5.90%	2000.00	1.73
BD0924371059	5	12-07-2019	12-07-2024	8.10%	4300.00	3.59
BD0924021050	5	10-07-2019	10-07-2024	8.43%	3000.00	3.66
BD0924211057	5	11-09-2019	11-09-2024	8.97%	4500.00	4.08
BD0925371058	5	29-10-2020	29-10-2025	8.12%	4500.00	4.46
BD0925021059	5	15-07-2020	15-07-2025	7.19%	4500.00	4.68
BD0926271109	10	20-01-2016	20-01-2026	7.39%	2600.00	5.19
BD0926021108	10	20-07-2016	20-07-2026	7.59%	2700.00	5.69
BD0927251100	10	18-01-2017	18-01-2027	6.77%	2600.00	6.19
BD0927101107	10	18-03-2017	18-03-2027	7.00%	2800.00	6.93
BD0928331109	10	20-07-2018	20-07-2028	7.50%	2800.00	7.61
BD0929061101	10	21-06-2019	21-06-2029	9.27%	4000.00	8.78
BD0929221101	10	18-09-2019	18-09-2029	9.23%	4000.00	9.10
BD0930381100	10	07-02-2020	07-02-2030	8.74%	4500.00	9.49
BD0930431103	10	17-07-2020	17-07-2030	8.66%	3000.00	9.60
BD0930031101	10	22-07-2020	22-07-2030	7.89%	4000.00	9.69
BD0931401154	15	27-10-2016	27-10-2031	7.79%	2850.00	10.46
BD0933101158	15	26-08-2018	26-08-2033	7.20%	4500.00	12.87
BD0933141154	15	28-01-2018	28-01-2033	7.55%	3650.00	13.05
BD0935391153	15	13-02-2020	13-02-2035	8.90%	2500.00	14.50
BD0935041204	20	29-07-2015	29-07-2035	10.36%	2600.00	14.71
BD0935201204	20	25-01-2015	25-01-2035	8.70%	3950.00	15.04
BD0936401209	20	27-10-2016	27-10-2036	8.24%	2850.00	15.46
BD0938141209	20	28-01-2018	28-01-2038	8.24%	3000.00	18.05
BD0939391209	20	26-07-2019	26-07-2039	9.29%	3650.00	18.62
BD0940401203	20	20-02-2020	20-02-2040	9.20%	3500.00	19.52

Category-5 (Maturity 10 to 15 Years)
Category-6 (Maturity 15 to 20 Years)

Annex-A
List of Selected Benchmark Government Securities

Category-1 (0 to 2 Years)	Category-2 (Above 2 to 5 Years)	Category-3 (Above 5 to 8 Years)	Category-4 (Above 8 to 10 Years)	Category-5 (Above 10 to 15 Years)	Category-6 (Above 15 to 20 Years)

Issuer: Bangladesh Bank
Face Value: 100 BDT