Philippine Peso Retreats From 2008 High on Intervention Concern

The Philippine peso retreated from the highest level since March 2008 and a gauge of expected fluctuations fell to a 10-year low after the central bank warned it will intervene to curb swings.

The monetary authority will maintain its presence in the foreign-exchange market and consider more measures to counter excessive volatility, Governor Amando Tetangco said in an e-mail today. The nation imposed limits on currency forward positions at banks on Dec. 26 to curb a peso rally that threatened exports. The cap for non-deliverable forwards at local banks is 20 percent of capital, and 100 percent for foreign lenders.

In the “near term, we expect Philippine peso weakness given the risk of further macro-prudential measures,” Nick Verdi, a currency strategist in Singapore at Barclays Plc, wrote in a report today.

The peso fell 0.15 percent to 40.667 per dollar in Manila, according to Tullett Prebon Plc. The currency reached 40.55 earlier, the strongest level since March 2008. It gained 7.7 percent in the past year, a performance second only to the South Korean won among Asia’s 11 most-used currencies. The peso may weaken to 40.75 in three months, Barclays predicts.

One-month implied volatility, a measure of expected moves in the exchange rate used to price options, fell 10 basis points to 4 percent today, the lowest level since 2002.

The yield on the government’s 5 percent notes due August 2018 held at 4.05 percent, according to prices from Tradition Financial Services.

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