REPORTING GUIDELINES AND INSTRUCTIONS ON REPORTORIAL TEMPLATE ON REPURCHASE AGREEMENTS (REPOS)
(Appendix to Sec. 173 on Report on Repurchase Agreements)
I. Rationale
II. Definition of Repurchase Agreements for Banks
III. Description, Structure and Purpose of Data Elements
A. Data elements, vulnerability points, and risk detection
The template consists of three (3) schedules, namely:
1. End of Day Balance
2. Month-End Balance
Transactional details
Counterparty details
Security details
3. Repo Transactions for the Month
B. Data components
1. Components of End of Day Balance Schedule
The following data fields are provided with the following descriptions:
Category |
Standardized Data Fields | |
Data Fields | Description | |
Transaction Details | Date | Refers to a calendar day (yyyy-mm-dd) |
No. of Repo Deals for the Day | ||
Economic terms of the repo transaction | Availments | Refers to the number of repo deals availed during the day. Repo availments shall include renewals and rollovers. |
Matured/ Pre-terminated |
Refer to the number of repo deals matured/pre-terminated during the day. | |
Amount | ||
Bills Payable – Repo | ||
Economic terms of the repo transaction | Beginning Balance |
Refers to the ending balance of Bills Payable-Repo of the previous day. |
Availment for the Day |
Refers to the total amount of repo transactions availed during the day. | |
Matured/ Pre-terminatedfor the Day |
Refers to the total amount of repo transactions which matured or were pre-terminated during the day | |
Other Adjustments/ Transactions |
Refers to adjustments/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 balances/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 MTM 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 subject of the repo. |
2. Components of Month-End Balance Schedule
Category |
Standardized Data Fields | |
Data Fields | Description | |
Transaction Details
Economic terms of the repo transaction |
Entry number | Refers to the unique number that identifies an entry. |
Deal Date | Refers to the date (yyyy-mm-dd) when a repo transaction is availed. | |
Maturity Date | Refers to the date (yyyy-mm-dd) when a repo transaction matures. For repos that are on demand, banks shall indicate “on-demand”. | |
Transaction Details | Refers to the market segment of the repo which can either be: bilateral, tri-party or Central Clearing Counterparty (CCP). | |
Economic terms of the repo transaction | Market Segment | CCP refers to repos that are transacted through an entity that interposes itself between counterparties to contracts traded in one (1) 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 (2) institutions. | ||
Tri-party refers to the repurchase agreements between two institutions where securities serving as collateral are held by a third party that provides collateral management and settlement services.1 | ||
Financial Market Infrastructures2 such as 1. Tri-party 2. CCP 3. Trade Exchange |
Refers to the name of the institution that provides tri-party, CCP or trade exchange services, if applicable. | |
Purpose | Refers to the purpose/reason of the financial institution for entering into a repo transaction. This can be, but need not be, limited to any of the following: 1. cash funding requirement 2. securities requirement for market-making 3. hedging 4. collateral transformation 5. business contingency testing 6. others |
|
Term | Refers to the length of the contract. (auto-generated by the reporting system) | |
Repo Rate | Refers to the cost incurred by the bank (expressed as a % per annum rate) for borrowing cash, classified either as (1) fixed or (2) floating rate. | |
Note: If the repo rate is floating, report the applicable floating rate as of reporting date. | ||
Margin | Refers to the amount of margin set aside by the repo seller/cash borrower in accordance with margin parameters agreed by both parties in the repo agreement (expressed in PhP) classified either as (1) cash or (2) security (fair value of the security) as of reporting date. | |
Contractual Currency | Refers to the original currency of the repos. | |
Booking Details |
Refers to RBU, E/FCDU or Foreign Office. | |
Bills Payable under Repurchase Agreement | Refers to the amortized cost of repo borrowings in both original currency and peso equivalent, in the case of foreign currency denominated repos3, as of reporting date. | |
Counterparty Details
Data on the individuals or institutional unit to which the entity is exposed. |
Resident/ Non-resident/ Multilateral |
A resident refers to an individual or 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. |
Geographic Region | Refers to the geographic region of the counterparty. This shall consist of: a. Northern America b. Latin America c. Europe d. Asia e. Others |
|
Country | Refers to the country of the counterparty. | |
Counterparty Details
Data on the individuals or institutional unit to which the entity is exposed. |
Sector (General) | Refers to the general sector of the following counterparties: |
1. Resident counterparty such as government, Bangko Sentral, banks, private corporations and individuals; | ||
2. Non-resident counterparty such as 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 (IFC), 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 (EIB), the Nordic Investment Bank (NIB), the Caribbean Development Bank (CDB), the Council of Europe Development Bank (CEDB) and other entities that may be recognized by the Bangko Sentral as multilateral agencies. | ||
Counterparty Details
Data on the individuals |
Sector (Specific) | This refers to the sub-classification of the following sectors of the counterparty: |
For Residents | ||
Government Sector a. Social Security Institutions |
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Banks i. Universal and Commercial Banks (UBs/KBs) ii. Other Banks |
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Private corporations i. Financial Corporations ii. Non-Financial Corporations |
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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 Incorporation/ Registration, in the case of juridical entities/sole proprietorship, as applicable. | |
Security Details
Information about the security that is the subject of the repo transaction |
ISIN | Refers to the International Securities Identification Number (ISIN) of the security. |
Security Type | Refers to the type of security subject of the repo transaction (i.e., debt securities or equity securities). | |
Listing Details | Refers to whether the security is listed on a registered exchange or not.
Note: Answerable by YES or NO |
|
Maturity Date | Refers to the maturity date of the security, in the case of debt securities. (yyyy-mm-dd) | |
Accounting Classification of the Securities | Refers to the accounting classification of the underlying securities as booked by the bank. Financial assets are classified according to the following categories: 1. Held for Trading (HFT), 2. Held to Maturity (HTM), 3. Available for Sale (AFS), 4. Investments in Non-Marketable Equity Securities (INMES), and 5. Unquoted Debt Securities Classified as Loans (UDSCL). |
|
Currency Denomination |
Refers to the original currency of the security. | |
Face Value (Debt Security) |
Refers to the face value of the security, in the case of debt securities. | |
Number of Shares (Equity Security) |
Refers to the number of shares, in the case of equity securities. | |
Total Fair Value | Refers to the mark-to-market (MTM) 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 reporting date. | |
Security Issuer Details | ||
Resident/Non-resident Multilateral | A resident refers to an individual or 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 FRP 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 |
|
Country | Refers to the country of the issuer. | |
Sector (General) | Refers to the general sector of the following issuers: | |
1. Resident counterparty such as government, Bangko Sentral, banks, and private corporations. 2. Non-resident counterparty such as central government, public sector, banks, and private corporations. 3. Multilateral agency refers to the World Bank Group comprised of the IBRD and IFC, ADB, AfDB, EBRD, IADB, EIB, NIB; CDB, CEDB and other entities that may be recognized by the Bangko Sentral as multilateral agencies. |
||
Sector (Specific) | This refers to the sub-classification of the following sectors of the issuer: | |
For Residents | ||
Government Sector a. Social Security Institutions |
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Banks i. UBs/KBs ii. Other Banks |
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Private corporations i. Financial Corporations ii. Non-Financial Corporations |
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For Non-Residents | ||
Banks i. OBUs ii. Other Banks |
||
Issuer Details | Issuer Name | Refers to the name of the issuer of the security as stated in its Articles of Incorporation/Registration. |
3. Components of the Repo Transaction for the Month Schedule
Category |
Standardized Data Fields | |
Data Fields | Description | |
Maturity and Pre-determination Details
Information for matured and pre-terminated transactions |
Is it Matured/Pre-terminated? | Answerable by Yes or No. |
Status | Refers to either a matured transaction or a pre-terminated transaction. | |
Maturity Date/Pre-termination Date | Refers to the date of maturity/pre-termination of transactions. | |
Amount Cancelled/Pre-terminated (Original Currency) | Refers to the outstanding balance of the repo when the transaction was cancelled or pre-terminated. This is in original currency of the transaction. | |
Amount Cancelled/Pre-terminated (PhP Equivalent) | Refers to the outstanding balance of the repo when the transaction was cancelled or pre-terminated. This is in PhP equivalent in the case of foreign currency denominated repos. | |
Reason for Cancellation/Pre-termination | Refers to the reason why the transaction was cancelled or pre-terminated. |
IV. Effectivity
(M-2017-020 dated 28 June 2017 and Circular No. 923 dated 31 August 2016)
Footnotes
- 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.
- A multilateral system among participating institutions, including the operator of the system, used for the purposes of clearing, settling, or recording payments, securities, derivatives, or other financial transactions. (Source: Ibid.)
- 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.