Building a Sovereign Benchmark yield curve: Tunisia edition…

Usually having some form of Sovereign yield curve is one of the first building blocks of a financial sector. It forms the basis on which multiple financial instruments are then priced and traded. But then this bit is taken for guaranteed and hardly the focal point for any discussion om financial sector developments.

Thus it was interesting to read this bit from European Bank for Reconstruction and Development (EBRD). EBRD helped the Tunisian government develop its yield curve:

The European Bank for Reconstruction and Development (EBRD) has supported the new modelling of a sovereign benchmark yield curve in Tunisia, a building block for developing capital markets in Tunisian dinar. The new curve was presented today in Tunis to the main stakeholders, including government officials, banks, primary dealers, brokers, and legal and accounting experts.

As of 1 January 2018 market participants in Tunisia will start recording eligible portfolios at fair value, a transformational move that will align the market with international standards. The EBRD supported the Ministry of Finance, the Central Bank of Tunisia, the Financial Market Council and Tunisie Clearing, in building a data-based dynamic yield curve model that reflects market activity. This will support growth and liquidity in the government bond market and serve as a reference for the pricing of sovereign and corporate bond instruments denominated in Tunisian dinar.

The dynamic model captures data from money markets, and from the primary and secondary sovereign market with a view to faithfully reflecting yield curve movements across maturities every day. The curve will be updated daily.   

The creation of a sovereign yield curve is aligned with the Memorandum of Understanding (MoU) signed with the Ministry of Finance of Tunisia in May 2016 as part of the EBRD’s SME Local Currency Programme. The MoU stresses the importance of further developing local currency sources of funding and capital markets in the country. In addition to providing affordable loans in Tunisian dinar for small and medium-sized enterprises (SMEs), the EBRD is assisting the country in implementing necessary reforms.

Christelle Fink, EBRD Head of Local Currency and Capital Market Development in the Southern and Eastern Mediterranean region, said: “The sovereign yield curve helps market participants to position themselves and to value their positions and instruments in the market. Publishing a well-modelled yield curve creates an important reference point for all market participants, contributing to transparency in price discovery and valuation of financial instruments. The Ministry of Finance, the Central Bank of Tunisia, the Financial Market Council and Tunisie Clearing worked jointly on this big step forward, for which the Bank is delighted.”

Hmmm…

 

 

4 Responses to “Building a Sovereign Benchmark yield curve: Tunisia edition…”

  1. Building a Sovereign Benchmark yield curve: Tunisia edition… | Me Stock Broker Says:

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  2. Building a Sovereign Benchmark yield curve: Tunisia edition… – Courtier en Bourse Says:

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  3. Justin Norwell Says:

    Regards,

  4. Reasonable coaching Says:

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    Building a Sovereign Benchmark yield curve: Tunisia edition… – Central-Banks

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