Appendix 122

REPORTING GUIDELINES AND INSTRUCTIONS ON REPORTORIAL TEMPLATE ON REPURCHASE AGREEMENTS (REPOS)
(Appendix to Sec. 173 on Report on Repurchase Agreements)

I. Rationale

The creation and design of this Prudential Reporting Template on 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.

II. Definition of Repurchase Agreements for Banks

A repurchase agreement is a contract wherein a bank, 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 Issuer of Collateral Securities”.

III. Description, Structure and Purpose of Data Elements

A. Data elements, vulnerability points, and risk detection

The reportorial template is designed to capture timely and comprehensive transactional-level data on repos of banks in order to gauge systemic and firm-level risk.

The template consists of three (3) schedules, namely:

1. End of Day Balance

The ‘End of Day Balance’ schedule provides a snapshot of daily repo transactions. It 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.

Transactional details

Transactional details of repos, such as the outstanding balance, 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.

Counterparty details

These consist of information on a bank’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 can be transmitted to other banks or firms.

Security details

The report requires banks to disclose the type, quality and fair value of a repo’s underlying security. Said information are indicators of the potential variation 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 shall be guided by the Bangko Sentral prescribed marking-to-market guidelines for securities under Appendix 28.

3. Repo Transactions for the Month

The ‘Repo Transactions for the Month’ schedule provides information on repo deals that are availed and which subsequently mature or are pre-terminated within the reporting month. The information required to be disclosed on these repo deals include details on the economic terms of the repo transaction, counterparties and underlying securities.

Banks 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.

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.
A multilateral agency refers to an international organization defined in the FRP for banks.

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
or institutional unit to which the entity is exposed.

Sector (Specific) This refers to the sub-classification of the following sectors of the counterparty:
For Residents

Government Sector
i. National Government
ii. Local Government Units (LGUs)
iii. Government Owned and Controlled Corporations (GOCCs)

a. Social Security Institutions
b. Other financial institutions
c. Non-financial institutions

Banks
i. Universal and Commercial Banks (UBs/KBs)
ii. Other Banks
Private corporations
i. Financial Corporations
ii. Non-Financial Corporations
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
i. National Government
ii. Local Government Units (LGUs)
iii. Government Owned and Controlled Corporations (GOCCs)

a. Social Security Institutions
b. Other financial institutions
c. Non-financial institutions

Banks
i. UBs/KBs
ii. Other Banks
Private corporations
i. Financial Corporations
ii. Non-Financial Corporations
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

The definition of each data field is similar to the definitions provided in Section B – Components of Month-End Balance, with the following additional columns:


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.

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 without repo transactions shall submit the Reportorial Template on Repurchase Agreements (Repos) and the Control Prooflist certifying that there is nothing to report for the month.

IV. Effectivity

The Repo reporting template shall take effect as of the reporting period ending 30 June 2017.

(M-2017-020 dated 28 June 2017 and Circular No. 923 dated 31 August 2016)

Footnotes

  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. 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.)
  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.