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2020-11-10

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

The Department of Market Management of Bangladesh Bank selects 30 benchmark Treasury bonds across six maturity categories and mandates all Primary Dealers to submit two-way price quotes (bid and offer) for at least one bond per category daily via the Market Infrastructure module. Dealers with a quarterly average turnover of 3% or less must quote a minimum of 120 million BDT (split 60/60 million), while those exceeding 3% must quote a minimum of 240 million BDT (split 120/120 million). Maximum bid-offer spreads are capped at 2, 4, 5, 6, 8, and 10 BDT for bonds with remaining maturities of 0-2, 2-5, 5-8, 8-10, 10-15, and 15-20 years, respectively. Primary Dealers lacking tradable bonds in any category must rebalance portfolios or secure securities within two months to ensure compliance.

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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

ISINCategoryIssue DateMaturity DateCoupon RateFace Value (Cr)Remaining Maturity (Years)
BD0921251023212-09-201912-09-20215.40%3000.000.32
BD0921081024204-08-201904-08-20218.73%4500.000.82
BD0922361029222-10-202022-10-20227.68%4500.001.45
BD0922011020208-07-202008-07-20226.48%4500.001.66
BD0922051026205-06-202005-06-20225.90%2000.001.73
BD0924371059512-07-201912-07-20248.10%4300.003.59
BD0924021050510-07-201910-07-20248.43%3000.003.66
BD0924211057511-09-201911-09-20248.97%4500.004.08
BD0925371058529-10-202029-10-20258.12%4500.004.46
BD0925021059515-07-202015-07-20257.19%4500.004.68
BD09262711091020-01-201620-01-20267.39%2600.005.19
BD09260211081020-07-201620-07-20267.59%2700.005.69
BD09272511001018-01-201718-01-20276.77%2600.006.19
BD09271011071018-03-201718-03-20277.00%2800.006.93
BD09283311091020-07-201820-07-20287.50%2800.007.61
BD09290611011021-06-201921-06-20299.27%4000.008.78
BD09292211011018-09-201918-09-20299.23%4000.009.10
BD09303811001007-02-202007-02-20308.74%4500.009.49
BD09304311031017-07-202017-07-20308.66%3000.009.60
BD09300311011022-07-202022-07-20307.89%4000.009.69
BD09314011541527-10-201627-10-20317.79%2850.0010.46
BD09331011581526-08-201826-08-20337.20%4500.0012.87
BD09331411541528-01-201828-01-20337.55%3650.0013.05
BD09353911531513-02-202013-02-20358.90%2500.0014.50
BD09350412042029-07-201529-07-203510.36%2600.0014.71
BD09352012042025-01-201525-01-20358.70%3950.0015.04
BD09364012092027-10-201627-10-20368.24%2850.0015.46
BD09381412092028-01-201828-01-20388.24%3000.0018.05
BD09393912092026-07-201926-07-20399.29%3650.0018.62
BD09404012032020-02-202020-02-20409.20%3500.0019.52

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

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