Transition from the London Inter-Bank Offered Rate (LIBOR) and Reporting Requirements on LIBOR-Related Exposures

OFFICE OF THE DEPUTY GOVERNOR FINANCIAL SUPERVISION SECTOR MEMORANDUM NO. M-2020-___ 083 To : ALL UNIVERSAL AND COMMERCIAL BANKS AND THEIR SUBSIDIARY BANKS Subject : Transition from the London Inter-Bank Offered Rate (LIBOR) and Reporting Requirements on LIBOR-Related Exposures In July 2017, the United Kingdom’s Financial Conduct Authority announced a transition away from LIBOR as a benchmark rate, with an agreement between the regulator and panel banks to voluntarily sustain LIBOR only until 31 December 2021. Since then, market participants have been strongly encouraged to take steps to transition to the use of alternative reference rates. The Bangko Sentral expects every BSP-supervised financial institution (BSFI) with LIBOR or LIBOR-related exposures1 to have a viable transition plan in place to ensure that the cessation of LIBOR does not disrupt its operations and the efficient provision of services to its clients and other market counterparties. This transition plan should be anchored on a clear understanding on the part of the BSFI of its exposures and risks. The plan shall likewise include strategies for actively reducing reliance on LIBOR sufficiently in advance of the discontinuation of the benchmark. In line with the BSP’s monitoring of the progress of BSFIs in transitioning away from LIBOR, all universal and commercial banks and their subsidiary banks are hereby required to submit quarterly reports on the extent of their remaining LIBOR-related exposures, beginning with the reference date of 30 September 2020 and ending with the reference date of 31 March 2022. The guidelines on the submission of the report can be found in Annex A. BSFIs are reminded that the periodic quantification of LIBOR-related exposures is only one aspect of the transition process. Overall operational readiness is essential to the smooth adoption of alternative reference rates. BSFIs are expected to ensure that the necessary systems and infrastructure, as well as the appropriate contractual arrangements, are in place prior to the cessation of LIBOR. BSFIs are enjoined to keep abreast of transition initiatives taking place domestically and internationally, and to actively communicate with counterparties, 1 These include contracts referencing the Philippine Interbank Reference Rate. A. Mabini St., Malate 1004 Manila, Philippines * (632) 708-7701* www.bsp.gov.ph* [email protected]

clients and service providers on this matter. BSFIs should likewise promptly inform the BSP of challenges encountered in the transition process. For guidance and compliance. Digitally signed by Chuchi G. Fonacier Date: 2020.11.17 10:36:45 +08'00' CHUCHI G. FONACIER Deputy Governor 17 November 2020 ___

Annex A Guidelines on the Submission of the Report on Libor-Related Exposures 1. The report shall follow the attached prescribed data entry template. The template to be used can be downloaded from the following website: http://www.bsp.gov.ph/SES/reporting_templates or requested directly from the Treasury and Asset Management Supervision Department ([email protected]). 2. The submission deadline of the first Report on LIBOR-Related Exposures with the reference date of 30 September 2020 is on 15 December 2020. The deadline for subsequent quarterly reports shall be twenty-two (22) banking days from the end of the reference quarter. 3. The completed template in Microsoft Excel format shall be electronically submitted on or before the prescribed deadline to [email protected] using the following prescribed format for the subject line of the email: “RLRE Bank Name, Reference Period” This is illustrated below: To: [email protected] Subject: RLRE Bank Name, 30 September 2020 The sole attachment shall be the completed reporting template in Microsoft Excel (xlsx) format, with the following prescribed format for the filename: RLRE-Bank Name- Reference Period (e.g., RLRE-Bank Name-20200930.xlsx) 4. In accordance with BSP Memorandum No. M-2017-028 dated 11 September 2017, only electronic submissions originating from the officially registered e-mail address/es of BSFIs shall be recognized and accepted by the BSP. The same registered address/es shall be used by the BSP to acknowledge receipt of the submissions. Submissions using registered email accounts are considered as the official submissions of the bank. 5. Covered BSFIs that are unable to electronically transmit the Report and its accompanying scanned Cover Page may save the files to a portable storage device (e.g., USB flash drive) and transmit the same through messengerial or postal services within the prescribed deadline to: The Director Treasury and Asset Management Supervision Department Bangko Sentral ng Pilipinas 11th Floor, Multi-Storey Building BSP Complex, A. Mabini Street, Malate 1004 Manila

6. Only the file prescribed by the BSP for the report shall be accepted as compliant with the requirement. Moreover, submissions that do not conform to the prescribed guidelines shall not be deemed acceptable. In such cases, the Report shall be considered as unsubmitted. Applicable penalties will be imposed for erroneous, delayed, or unsubmitted reports. Guidelines on the Submission of the Report on Libor-Related Exposures Page 2 of 2

[Bank Name] Part I. LIBOR Exposures As of [Quarter-end] Instructions: Provide the total gross notional amount and number of the bank's outstanding contracts referencing the London Inter-Bank Offered Rate as of quarter-end. If there are no outstanding exposures, indicate the same by inputting "0" in the relevant cell. A. By currency [Bank Name] Notional amount By currency (USD mn) Maturing between 1 July 2021 Maturing on or before 30 June 2021 Maturing beyond 31 December 2021 Total and 31 December 2021 1. USD LIBOR 2. GBP LIBOR 3. JPY LIBOR 4. CHF LIBOR 5. EUR LIBOR 6. Total (Sum of Items 1 to 5) B. By product [all currency LIBORs] [Bank Name] Notional amount of outstanding contracts referencing LIBOR* By product (USD mn) Notional amount of all outstanding contracts (USD mn) Maturing between 1 July 2021 Maturing on or before 30 June 2021 Maturing beyond 31 December 2021 Total and 31 December 2021 Derivatives 1. OTC derivatives a. Interest rate swaps of which: with fallback b. Cross-currency swaps of which: with fallback c. Others (please specify) of which: with fallback d. Total (Sum of Items a to c) of which: with fallback 2. Exchange-traded derivatives of which: with fallback 3. Total (Sum of Items 1.d and 2) of which: with fallback

[Bank Name] Part I. LIBOR Exposures As of [Quarter-end] Notional amount of outstanding contracts referencing LIBOR* By product (USD mn) Notional amount of all outstanding contracts (USD mn) Maturing between 1 July 2021 Maturing on or before 30 June 2021 Maturing beyond 31 December 2021 Total and 31 December 2021 Assets 4. Syndicated loans of which: with fallback 5. Loans to government of which: with fallback 6. Corporate loans 1/ of which: with fallback 7. Retail mortgages/consumer loans of which: with fallback 8. Bonds and notes of which: with fallback 9. Short-term instruments 2/ of which: with fallback 10. Securitised products of which: with fallback 11. Others (please specify) of which: with fallback 12. Total (Sum of Items 4 to 11) of which: with fallback

[Bank Name] Part I. LIBOR Exposures As of [Quarter-end] Notional amount of outstanding contracts referencing LIBOR* By product (USD mn) Notional amount of all outstanding contracts (USD mn) Maturing between 1 July 2021 Maturing on or before 30 June 2021 Maturing beyond 31 December 2021 Total and 31 December 2021 Liabilities 13. Deposits of which: with fallback 14. Bills payable of which: with fallback 15. Bonds payable of which: with fallback 16. Others (please specify) of which: with fallback 17. Total (Sum of Items 13 to 16) of which: with fallback 1/ Corporate loans shall cover agricultural loans; loans to micro, small and medium enterprises, contracts to sell; and loans to private corporations. 2/ These include interbank loans maturing within one year, and loans and receivables arising from short-term repurchase agreements.

[Bank Name] Part I. LIBOR Exposures As of [Quarter-end] Instructions: Provide the total gross notional amount and number of the bank's outstanding contracts referencing the London Inter-Bank Offered Rate as of quarter-end. If there are no outstanding exposures, indicate the same by inputting "0" in the relevant cell. A. By currency By currency Number of contracts Maturing between 1 July 2021 Maturing on or before 30 June 2021 Maturing beyond 31 December 2021 Total and 31 December 2021 1. USD LIBOR 2. GBP LIBOR 3. JPY LIBOR 4. CHF LIBOR 5. EUR LIBOR 6. Total (Sum of Items 1 to 5) B. By product [all currency LIBORs] By product Number of outstanding contracts referencing LIBOR* Number of all outstanding contracts Maturing between 1 July 2021 Maturing on or before 30 June 2021 Maturing beyond 31 December 2021 Total and 31 December 2021 Derivatives 1. OTC derivatives a. Interest rate swaps of which: with fallback b. Cross-currency swaps of which: with fallback c. Others (please specify) of which: with fallback d. Total (Sum of Items a to c) of which: with fallback 2. Exchange-traded derivatives of which: with fallback 3. Total (Sum of Items 1.d and 2) of which: with fallback

[Bank Name] Part I. LIBOR Exposures As of [Quarter-end] By product Number of outstanding contracts referencing LIBOR* Number of all outstanding contracts Maturing between 1 July 2021 Maturing on or before 30 June 2021 Maturing beyond 31 December 2021 Total and 31 December 2021 Assets 4. Syndicated loans of which: with fallback 5. Loans to government of which: with fallback 6. Corporate loans 1/ of which: with fallback 7. Retail mortgages/consumer loans of which: with fallback 8. Bonds and notes of which: with fallback 9. Short-term instruments 2/ of which: with fallback 10. Securitised products of which: with fallback 11. Others (please specify) of which: with fallback 12. Total (Sum of Items 4 to 11) of which: with fallback

[Bank Name] Part I. LIBOR Exposures As of [Quarter-end] By product Number of outstanding contracts referencing LIBOR* Number of all outstanding contracts Maturing between 1 July 2021 Maturing on or before 30 June 2021 Maturing beyond 31 December 2021 Total and 31 December 2021 Liabilities 13. Deposits of which: with fallback 14. Bills payable of which: with fallback 15. Bonds payable of which: with fallback 16. Others (please specify) of which: with fallback 17. Total (Sum of Items 13 to 16) of which: with fallback 1/ Corporate loans shall cover agricultural loans; loans to micro, small and medium enterprises, contracts to sell; and loans to private corporations. 2/ These include interbank loans maturing within one year, and loans and receivables arising from short-term repurchase agreements.

[Bank Name] Part II. PHIREF Exposures As of [Quarter-end] Instructions: Provide the total gross notional amount and number of the bank's outstanding contracts referencing the Philippine Interbank Reference Rate as of quarter-end. If there are no outstanding exposures, indicate the same by inputting "0" in the relevant cell. [Bank Name] Notional amount of outstanding contracts referencing PHIREF (PHP mn) Notional amount of all outstanding Product contracts (PHP mn) Maturing between 1 July 2021 Maturing on or before 30 June 2021 Maturing beyond 31 December 2021 Total and 31 December 2021 Derivatives OTC derivatives 1）Interest rate swaps 2）Cross-currency swaps 3) Others (please specify) Exchange-traded derivatives Assets Syndicated loans Loans to government Corporate loans 1/ Retail mortgages/consumer loans Bonds and notes Short-term instruments 2/ Securitised products Others (please specify) Liabilities Deposits Bills payable Bonds payable Others (please specify) 1/ Corporate loans shall cover agricultural loans; loans to micro, small and medium enterprises, contracts to sell; and loans to private corporations. 2/ These include interbank loans maturing within one year, and loans and receivables arising from short-term repurchase agreements.

[Bank Name] Part II. PHIREF Exposures As of [Quarter-end] Instructions: Provide the total gross notional amount and number of the bank's outstanding contracts referencing the Philippine Interbank Reference Rate as of quarter-end. If there are no outstanding exposures, indicate the same by inputting "0" in the relevant cell. Number of outstanding contracts referencing PHIREF Product Number of all outstanding contracts Maturing between 1 July 2021 Maturing on or before 30 June 2021 Maturing beyond 31 December 2021 Total and 31 December 2021 Derivatives OTC derivatives 1）Interest rate swaps 2）Cross-currency swaps 3) Others (please specify) Exchange-traded derivatives Assets Syndicated loans Loans to government Corporate loans 1/ Retail mortgages/consumer loans Bonds and notes Short-term instruments 2/ Securitised products Others (please specify) Liabilities Deposits Bills payable Bonds payable Others (please specify) 1/ Corporate loans shall cover agricultural loans; loans to micro, small and medium enterprises, contracts to sell; and loans to private corporations. 2/ These include interbank loans maturing within one year, and loans and receivables arising from short-term repurchase agreements.