Report on Repurchase Agreements of Banks/Quasi-Banks

BaNexo SeNrnlL No PrurprNAs OFFICE OF THE GOVERNOR CIRCULAR NO. s23 Series of 2016 Subject: Report on Repurchase Agreements of Banks/Quasi-banks The Monetary Board in its Resolution No. 1400 dated 04 August 2016 approved the issuance of the attached Report on Repurchase Agreements. Section 1.. The following subsection is hereby added to the Manual of Regulation for Banks (MORB) as follows: "Subsection X192.18 Report on Repurchase Agreements. The Report on Repurchase Agreements is designed to capture timely and comprehensive transactional-level data on repos of UBs and KBs and their subsidiary TBs to strengthen financial surveillance, particularly in monitoring market trends and vulnerabilities in the repo market, and to enable the Bangko Sentral ng Pilipinas to formulate effective policy responses to ensure continued stability of the financial system. All UBs/KBs and their subsidiary TBs shall submit the Report on Repurchase Agreements on a solo basis in accordance with the Guidelines on the completion of the Report in Appendix 116. This report shall be considered a Category B report. Late and/or erroneous reporting of the said report shall be subject to penalties prescribed under Subsection XL92.2 for Category B reports." Section 2. The following subsection is hereby added to the Manual of Regulation for Non-Bank Financial lnstitutions (MORNBFI) as follows: "Subsection 4192Q.18 Report on Repurchase Agreements. The Report on Repurchase Agreements is designed to capture timely and comprehensive transactional-level data on repos of eBs to strengthen financial surveillance, particularly in monitoring market trends and vulnerabilities in the repo market, and to enable the Bangko Sentral ng Pilipinas to formulate effective policy responses to ensure continued stability of the financial system. All QBs shall submit the Report on Repurchase Agreements on a solo basis in accordance with the Guidelines on the completion of the Report in Appendix e-70. This report shall be considered a Category B report. Late and/or erroneous reporting of the said report shall be subject to penalties prescribed under Subsection 4L92Q.2 for Category B reports." A. Mabini st., Malate 1004 Manila, philippines . (63217o8-77o1 . www.bsp.gov.ph. [email protected]

Section 3. Appendix 5 of the MORB and Q-3 of the MoRNBFI on the list of reports required of banks and quasi-banks, respectively, are amended to include the monthly Report on Repurchase Agreements as follows: A. Universaland Commercial Banks (U/KBsl Report Report fitle Frequency Submission Submission Procedure Category Deadline B Solo Report on One-time Within 45 banking By electronic mailto SDC Repurchase Agreements days from (Repos) - Pilot run 30 November2Ot6 B Monthlyv Within 30 By electronic mail to SDC Solo Report on banking days Repurchase Agreements from the end of (Repos) reference month 8. Thrift Banks {TBs} B Solo Report on One-time Within 45 banking By electronic mail to SDC Repurchase Agreements days from (Reoos) - Pilot run 30 November 2015 B Monthly2/ Within 30 By electronic mailto SDC Solo Report on banking days Repurchase Agreements from the end of (Repos) reference month C.. Quasi-banks (QBsl B Solo Report on One-time Within 45 business By electronic mailto SDC Repurchase Agreements days from (Reoos) - Pilot run 30 November 2016 B Monthlyli Within 30 By electronic mailto SDC Solo Report on business days Repurchase Agreements from the end of (Repos) reference month v Effective 30 June 2017 reference period, uonly TBs that are subsidiaries of U/KBs shall submit the report effective 30 June 2017. Pilot run of the reportorial requirement shall be conducted starting with 30 November 2016 reportorialdata for submission on or before 45 banking days after end of reference period. The template of the Report on Repurchase Agreements shall formally take effect starting with the reporting period ending 30 June 20t7. Specific guidelines on the mode and manner of submission of the Report on Repurchase Agreements shall be covered by a separate memorandum issuance. FORTHE MONETARY BOARD: UAugust 2015

APP. 1r.6/Q-70 REPORTING GUIDETINES AND INSTRUCTIONS ON REPORTORTAT TEMPLATE ON REPURCHASE AGREEMENTS (REPOS) (Appendix to Subsec. XL92.L8| 4192Q.18) RATIONALE The creation and design of this Prudential Reporting Template for Repurchase Agreements (Repos) aims to strengthen financial surveillance, particularly in monitoring market trends and vulnerabilities in repo markets, to enable supervisory authorities to formulate effective policy responses to ensure continued functioning and efficiency of the financial system. This prudential reporting template only covers borrowings in the form of repo transactions and excludes Reverse Repurchase Agreements. il. DEFINITION OF REPURCHASE AGREEMENTS FOR BANKS AND QUASI BANKS (Qes1 A repurchase agreement is a contract wherein a bank/QB, in exchange for cash (repo seller/cash borrower), sells the security to another party (repo buyer/cash lender) under a true sale agreement with a simultaneous commitment to repurchase the security at a fixed price at a date certain or on-demand. Repo sellers/cash borrowers record repos as "Bills Payable-Repo", while repo buyers/cash lenders record repos as "Loans and Receivables Arising from Repurchase, Certificates of Assignment/Participation with Recourse and Securities Lending and Borrowing Transactions - Matrix of Counterparty and lssuer of Collateral Securities". III. DESCRIPTION, STRUCTURE AND PURPOSE OF DATA ELEMENTS A. Data elements, vulnerobility points, and risk detection The reportorial template is designed to capture timely and comprehensive transactional- level data on repos of banks/QBs in order to gauge systemic and firm-level risk. The template consists of three (3) Schedules, namely: 7. End of Day Balance The 'end of day balance' schedule provides a snapshot of daily repo transactions. lt shows the daily movement of repos as well as the fair value of the securities used in the repo transactions. This schedule aims to obtain an aggregated view of repo turnover as well as gearing/leverage on a daily basis. 2. Month-End Balance The 'month-end balance' schedule shows details of outstanding repos as of the end of the month. The information required for outstanding repos include details on the economic terms of the repo transaction, counterparties, and underlying securities. Transoctional Details Transactional details of repos, such as the outstanding bolonce, repo rate and remaining maturity, are essential to ascertaining the funding/maturity profile of repos

of the industry and its exposure to rollover/liquidity and interest rate risk from such funding source. Currency composition of both cash and security components, meanwhile, indicate industry-wide exposure to FX risk related to repos. Counterporty Detoils These consist of information on a bank's/QB's counterparty (repo buyer/cash lender) and its sectoral profile. These aid in determining credit, cross-border and concentration risk of the financial system when aggregated. Counterparty information enables the assessment of interconnectedness and the manner by which vulnerabilities in a bank/QB can be transmitted to other banks/QBs or firms. Security Details The report requires banks/QBs to disclose the type, quality and foir value of a repo's underlying security. Said information are indicators of the potentialvariation in the value of the repoed security and concentration in holding of the underlying repo security which may impact on market liquidity of the security. For purposes of determining fair value of securities, banks/QBs shall be guided by the BSP prescribed marking-to-market guidelines for securities under Appendix 33a of the MORB/Appendix Q-20-a of the MORNBFI. 3. Repo Transactions for the Month The 'Repo Transactions for the Month' schedule provides information on repo deals that are transacted and which subsequently mature or are pre-terminated within the reporting month. Banks/QBs that have no repo deals with their entire repo term (availment up to maturity/pre-termination) falling within the reporting month need not accomplish this schedule. The data requirements are similar to those required under the 'Month-end Balance' schedule with additional fields pertaining to 'Maturity and Pre-termination Details'. B. Data Components 1. Components of End of Day Balance Schedule Th e following data fields are provided with the followi tollowing clescrlptlons: Category Standardized Data Fields Data Fields Description Transaction Date Refers to a calendar day Details (yyyy-mm-dd) No. of Repo Deals for the Dav Economic Availments Refers to the number of repo deals availed terms of during the day. Repo availments shall the repo include renewals and rollovers. transaction. Matured/Pre- Refer to the number of repo deals terminated matured/pre-terminated during the day.

Transaction Amount Details Bills Pavable - Repo Beginning Refers to the ending balance of Bills Economic Balance Payable - Repo of the previous day terms of Availment for Refers to the total amount of repo the repo the Day transactions availed during the day. transaction. Matured/Pre- Refers to the total amount of repo terminated for the Day transactions which matured or were pre-terminated during the day. Other Adjustments/ Refers to adjustments/transactions Transactions affecting repos, other than those pertaining to availments, maturing and pre-terminations. Examples of other adjustments/ transactions affecting repos include, but need not be limited to corrections on ba la nces/amortization. End of Day Balance Refers to the ending balance of the Bills Payable - Repo account for the day. Fair Value of Security Subject of the Repo Debt Securities Refers to the mark-to-market (MTM) value of the security, if these are in the form of debt securities, as of the end of the day. Equity Securities Refers to the mark-to-market value of the security, if these are in the form of equity securities, as of the end of the day. Total Refers to the total MTM of securities subiect of the repo. 2. Components of Month-End Balance Schedule Transaction Refers to the unique number that identifies Details Refers to the date (yyyy-mm-dd) when a Economic transaction is availed. terms of Maturity Date Refers to the date (yyyy-mm-dd) when a the repo repo transaction matures. For repos that transaction. are on demand, banks shall indicate "on- demand"

Transaction Market Segment Refers to the market segment of the repo Details which can either be: bilateral, tri-party or Central Clearing Counterparty (CCP). Economic terms of CCP refers to repos that are transacted the repo through an entity that interposes itself transaction. between counterparties to contracts traded in one or more financial markets, becoming the buyer to every seller and the seller to every buyer and thereby ensuring the performance of open contracts. Bilateral refers to repurchase agreements between two institutions. Tri-party refers to repurchase agreements between two institutions where securities serving as collateral are held by a third party that provides collateral management and settlement services.l Financial Market Refers to the name of the institution that Infrastructuresz suc.h as provides tri-party, CCP or trade exchange L. Tri-Party services, if applica ble. 2. CCP 3. Trade Exchange Refers to the purpose/reason ofthe financial institution for entering into a repo transaction. This can be but need not be limited to any of the following: L. cash funding requirement Purpose 2. securities requirement for market- making 3. hedging 4. collateral transformation 5. business contingency testing 6. others Refers to the length of the contract. Term (outo- generoted by the reporting system) Repo Rate Refers to the cost incurred by the bank (expressed as a Yo per annum rate) for borrowing cash, classified either as (1)fixed or (2)floating rate. Note: lf the repo rate is floating, report the aoolicable floatine rate as of reportine date. 1 Source: Committee on Payment and Settlement Systems (CPSS), Principles for financial market infrastructures, April 2012; and Federal Reserve Bank of New York, Paper on Repo and Securities Lending, February 2013 2 Amultilateralsystemamongparticipatinginstitutions,includingtheoperatorofthesystem,usedforthepurposesofclearing, settling, or recording payments, securities, derivatives, or other financial transactions. (Source: lbid.)

Transaction Margin Refers to the amount of margin set aside by Details the repo seller/cash borrower in accordance with margin parameters Economic terms agreed by both parties in the repo of the repo agreement (expressed in PhP) classified transaction. either as (1) cash or (2) security (fair value of the securitv as of reportine date). Contractual Currency Refers to the original currency ofthe repos. Booking Details Refers to Regular Banking Unit (RBU), Expanded/Foreign Currency Denominated Unit (E/FCDU) or Foreign Office. Bills Payable under Refers to the amortized cost of repo Repurchase borrowings in both original currency and Agreement peso equivalent, in the case of foreign currency denominated repos3, as of reportins date. Counterpafi Resident/Non- A resident refers to an individual or Details Resident/M ultilatera I institutional unit that has a center of economic interest in the economic Data on the territory of the Philippines. individuals or institutiona I A non-resident refers to an individual or unit to which institutional unit that has a center of the entity is economic interest outside the economic exposed. territory of the Philippines. A Multilateral Agency refers to an international organization defined in the Financial Reporting Package for banks. Geographic Region Refers to the geographic region of the counterparty. This shall consist of: 1. Northern America 2. Latin America 3. Europe 4. Asia 5. Others Countrv Refers to the country of the counterparty. 3 Circular No 494 Series of 2005. Peso equivalent shall be derived from the Philippine Dealing System (PDS) Peso/US Dollar closing rate or for third currencies the New York US Dollar/Third Currencies closing rates.

Counterparty Sector (General) Refers to the general sector of the Details following counterparties: Data on the 1_. Resident counterparty such as individuals or Government, BSP, Bank, and Private institutiona I Corporations and lndividuals; unit to which the entity is 2. Non-resident counterparty such as exposed. Central Government, Public Sector, Banks, Private Corporations and Individuals; or 3. Multilateral Agency refers to the World Bank Group comprised of the International Bank for Reconstruction and Development (IBRD) and the International Finance Corporation (lFC), Asian Development Bank (ADB), African Development Bank (AfDB), the European Bank for Reconstruction and Development (EBRD), the Inter- American Development Bank (IADB), the European Investment Bank (ElB), the Nordic lnvestment Bank (NlB), the Caribbean Development Bank (CDB), the Council of Europe Development Bank (CEDB) and other entities that may be recognized by the BSP as m ultilatera I agencies.

Counterpafi Sector (Specific) This refers to the sub-classification of the Details following sectors of the counterparty: Data on the For Residents individuals or Government Sector institutiona I unit to which i. NationalGovernment the entity is ii. LocalGovernmentUnits iii. Government Owned and exposed Controlled Corporations a. Social Security Institutions b. Other Financial Institutions c. Non-Financial Institutions Bonks i. Universaland Commercial Banks ii. Other Banks Privote Corporations i. FinancialCorporations ii. Non-FinancialCorporations For Non-Residents Banks i. Off-Shore Banking Units (OBUs) ii. Other Banks Counterparty Name Refers to the name of the bank's counterparty as stated in its Articles of lncorporation/Registration, in the case of juridical entities/sole proprietorship, as aoplicable. Security Details Security Details ISIN Refers to the International Securities lnformation ldentification Number (lslN) of the about the securitv. security that is Security Type Refers to the type of security subject of the the subject of repo transaction (i.e., debt securities or the repo equity securities). transaction Listing Details Refers to whether the security is listed on a registered exchange or not. Note: Answerable bv YES or No Maturity date Refers to the maturity date of the security, in the case of debt securities. (ywy-mm-dd).

Security Details Accounting Refers to the accounting classification of Classification of the the underlying securities as booked by the lnformation Securities bank. Financial assets are classified about the according to the following categories: security that is 1. Held for Trading (HFT), the subject of 2. Held to Maturity (HTM), the repo 3. Available for Sale (AFS), transaction 4. Investments in Non-Marketable Equity Securities (INMES), and 5. Unquoted Debt Securities Classified as Loans (UDSCL). Currency Refers to the original currency of the denomination securitv. Face Value Refers to the face value of the security, in (Debt securitv) the case of debt securities. Number of Shares Refers to the number of shares, in the casq (Equity security) of equity securities. Total Fair value Refers to the mark-to-market value of the security in both original currency and peso equivalent, in the case of foreign currency denominated repos, as of reporting date. Net Carrying Amount Refers to the net carrying amount of the security recorded as HTM, UDSCL and INMES, which corresponds to the amortized cost of securities less any allowance for specific credit losses, in both original currency and peso equivalent, as of reportins date. Security lssuer Details Resident/Non- A resident refers to an individual or Resident/M u ltilatera I institutional unit that has a center of economic interest in the economic territory of the Philippines; A non-resident refers to an individual or institutional unit that has a center of economic interest outside the economic territory of the Philippines; and A Multilateral Agency refers to an international organization as defined in the Financial Reporting Package for banks. Geographic Region Refers to the geographic region of the issuer. This shall consist of: 1. Northern America 2. Latin America 3. Europe 4. Asia 5. Others Page 8 of 1L

Security Details Countrv Refers to the country ofthe issuer. Sector (General) Refers to the general of the Information following issuers: about the security that is 1. Resident counterparty such as the subject of Government, BSP, Bank, and Private the repo Corporations. tra nsactio n 2. Non-resident counterparty such as Central Government, Public Sector, Bank, Private Corporations. 3. Multilateral Agency refers to the World Bank Group comprised of the lnternational Bank for Reconstruction and Development (IBRD) and the International Finance Corporation (lFC), Asian Development Bank (ADB), African Development Bank (AfDB), the European Bank for Reconstruction and Development (EBRD), the Inter- American Development Bank (IADB), the European Investment Bank (ElB), the Nordic Investment Bank (NlB); the Caribbean Development Bank (CDB), the Council of Europe Development Bank (CEDB) and other entities that may be recognized by the BSP as multilateral agencies. Page 9 of LL

Security Details Sector (Specific) This refers to the sub-classification of the following sectors of the issuer: lnformation about the For Residents security that is Government Sector the subject of i. NationalGovernment the repo ii. LocalGovernmentUnits transaction iii. Government Owned and Controlled Corporations d. Social Security Institutions e. Other Financial lnstitutions t. Non-Financial Institutions Banks i. Universal and Commercial Banks (UBs/KBs) ii. Other Banks Private Corporations i. FinancialCorporations ii. Non-FinancialCorporations For Non-Residents Bonks i. Off-Shore Banking Units (OBUs) ii. Other Banks lssuer Details lssuer Name Refers to the name of the issuer of the security as stated in its Articles of Incorooration/ Resistration. 3. Components of Repo Transactions for the Month Schedule The definition of each data field is similar to the definitions provided in Section B - Components of Month-End Balarice, with the following additional items as columns: Maturity and Answerable by Yes or No. Pre-termination Details Refers to either a matured transaction or a term inated tra nsaction. lnformation for Refers to the date of maturity/ matured and pre-termination of the transactions pre-terminated transactions. Amount Cancelled/ Refers to the outstanding balance ofthe repo Pre-terminated when the transaction was cancelled or pre- (Original Currency) terminated. This is in original currency of the transaction.

Amount Cancelled/ Refers to the outstanding balance ofthe repo Pre-terminated when the transaction was cancelled or pre- (PhP Equivalent) terminated. This is in PhP equivalent in the case of foreign currency denominated repos. Refers to the reason why the transaction was cancelled or pre-terminated. Foreign currency-denominated accounts shall be reported, in their peso equivalent using the Philippine Dealing System (PDS) peso/US Dollar closing rate, or, for third currencies, the New York US Dollar/Third Currencies closing rate. Banks/QBs without repo transactions shall submit the Control Prooflist certifying that there is nothing to report for the month. IV. TARGET IMPTEMENTATION The Repo reporting template shalltake effect on 30 June 2017.

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