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EBRD supports modelling of a sovereign benchmark yield curve.

London: The EBRD 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.

It 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.

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Publication:Daily the Pak Banker (Lahore, Pakistan)
Geographic Code:6TUNI
Date:Mar 3, 2018
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