The table below sets out the information about our consolidated derivative financial instruments as at December 31, 2017 and 2016:
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2017 |
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2016 |
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Original Notional Amount |
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Trade Date |
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Underlying Transaction in U.S. Dollar |
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Termination Date |
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Weighted Average Hedge Cost |
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Weighted Average Foreign Exchange Rate in Php |
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Notional |
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Net Mark-to-market Gains (Losses) |
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Notional |
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Net Mark-to-market Gains (Losses) |
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(in millions) |
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(in millions) |
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(in millions) |
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Transactions not designated as hedges: |
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PLDT |
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Long-term currency swaps |
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US$262 |
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2001 and 2002 |
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300 Notes 2017 |
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March 6, 2017 |
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3.42 |
% |
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49.85 |
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US$— |
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Php— |
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US$202 |
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Php– |
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Forward foreign Exchange contracts |
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158 |
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Various dates in 2015 and 2016 |
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U.S. dollar liabilities |
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Various dates in 2016 |
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— |
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48.50 |
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— |
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— |
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— |
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— |
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34 |
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Various dates in 2017 |
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U.S. dollar liabilities |
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Various dates in 2017 |
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— |
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50.18 |
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— |
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— |
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— |
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— |
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27 |
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Various dates in 2017 |
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U.S. dollar liabilities |
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January 2018 |
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— |
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50.57 |
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27 |
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(15 |
) |
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— |
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— |
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29 |
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Various dates in November and December 2017 |
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U.S. dollar liabilities |
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February 2018 |
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— |
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50.95 |
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29 |
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(24 |
) |
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— |
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— |
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2 |
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Various dates in 2018 |
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U.S. dollar liabilities |
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February 2018 |
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— |
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49.84 |
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— |
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— |
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— |
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— |
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Smart |
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Forward foreign exchange contracts |
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107 |
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Various dates in 2015 and 2016 |
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U.S. dollar liabilities |
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Various dates in 2016 |
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— |
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46.96 |
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— |
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— |
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— |
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— |
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91 |
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Various dates in 2016 and 2017 |
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U.S. dollar liabilities |
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Various dates in 2017 |
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— |
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49.54 |
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— |
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— |
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48 |
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50 |
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46 |
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Various dates in 2017 |
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U.S. dollar liabilities |
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Various dates in 2018 |
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— |
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51.22 |
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46 |
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(49 |
) |
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— |
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— |
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4 |
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Various dates in January 2018 |
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U.S. dollar liabilities |
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Various dates in 2018 |
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— |
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50.68 |
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— |
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— |
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— |
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— |
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Foreign exchange options |
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5(a) |
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August 10, 2016 |
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U.S. dollar liabilities |
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November 14, 2016 |
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— |
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46.82 |
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— |
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— |
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— |
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— |
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46.90 |
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— |
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— |
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— |
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— |
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47.98 |
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— |
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— |
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— |
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— |
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59(b) |
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Various dates in 2016 and 2017 |
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U.S. dollar liabilities |
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Various dates in 2017 |
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— |
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49.60 |
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— |
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— |
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11 |
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4 |
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|||
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50.30 |
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— |
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— |
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— |
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— |
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51.24 |
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— |
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— |
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— |
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— |
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3(c) |
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Various dates in 2017 |
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U.S. dollar liabilities |
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Various dates in 2018 |
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— |
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50.70 |
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3 |
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(2 |
) |
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— |
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— |
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51.67 |
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— |
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— |
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— |
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— |
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52.53 |
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— |
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— |
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— |
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— |
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1(d) |
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January 19, 2018 |
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U.S. dollar liabilities |
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July 19, 2018 |
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— |
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50.45 |
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— |
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— |
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— |
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— |
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51.30 |
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— |
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— |
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— |
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— |
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52.30 |
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— |
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— |
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— |
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— |
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DMPI |
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Interest rate swaps |
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54 |
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October 7, 2008 |
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59 loan facility |
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March 31, 2017 |
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3.88 |
% |
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— |
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— |
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— |
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3 |
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(2 |
) |
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47 |
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October 7, 2008 |
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51 loan facility |
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June 30, 2017 |
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3.97 |
% |
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— |
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— |
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— |
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3 |
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(3 |
) |
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(Php90 |
) |
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Php 49 |
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Transactions designated a hedges: |
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PLDT |
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Interest rate swaps(e) |
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30 |
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January 23, 2015 |
|
150 term loan |
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March 7, 2017 |
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|
2.11 |
% |
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— |
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|
US$– |
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Php– |
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|
US$8 |
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|
Php– |
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||||
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240 |
|
|
Various dates in 2013 and 2015 |
|
300 term loan |
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January 16, 2018 |
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|
2.17 |
% |
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|
— |
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|
33 |
|
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2 |
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|
100 |
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9 |
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|
100 |
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August 2014 |
|
100 PNB |
|
August 11, 2020 |
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|
3.46 |
% |
|
|
— |
|
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|
97 |
|
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|
5 |
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|
98 |
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(50 |
) |
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|
50 |
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September 2014 |
|
50 Metrobank |
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September 2, 2020 |
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3.47 |
% |
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|
— |
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|
49 |
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— |
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|
49 |
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(29 |
) |
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150 |
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April and June 2015 |
|
200 term loan |
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February 25, 2022 |
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|
2.70 |
% |
|
|
— |
|
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|
150 |
|
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26 |
|
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|
150 |
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(34 |
) |
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Long-term currency swaps(f) |
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|
140 |
|
|
October 2015 to June 2016 |
|
300 term loan |
|
January 16, 2018 |
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|
2.20 |
% |
|
|
46.67 |
|
|
|
31 |
|
|
|
88 |
|
|
|
94 |
|
|
|
230 |
|
|
|
|
|
4 |
|
|
January 2017 |
|
100 PNB |
|
August 11, 2020 |
|
|
1.01 |
% |
|
|
49.79 |
|
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|
3 |
|
|
|
2 |
|
|
|
— |
|
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|
— |
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6 |
|
|
April and June 2017 |
|
200 Bank of Tokyo |
|
August 26, 2019 |
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|
1.63 |
% |
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|
49.51 |
|
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6 |
|
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|
— |
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— |
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— |
|
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2 |
|
|
January 2018 |
|
200 Bank of Tokyo |
|
August 26, 2019 |
|
|
1.59 |
% |
|
|
49.86 |
|
|
|
— |
|
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|
— |
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|
— |
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|
— |
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6 |
|
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February 2018 |
|
200 Bank of Tokyo |
|
February 26, 2020 |
|
|
1.82 |
% |
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|
51.27 |
|
|
|
— |
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— |
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— |
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— |
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|
Smart |
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|
Interest rate swaps(g) |
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|
45 |
|
|
May 8, 2013 |
|
60 Bank of Tokyo |
|
June 6, 2016 |
|
|
1.53 |
% |
|
|
— |
|
|
|
— |
|
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|
— |
|
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|
— |
|
|
|
— |
|
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|
38 |
|
|
May 9, 2013 |
|
50 FEC |
|
August 19, 2016 |
|
|
1.43 |
% |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
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|
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|
44 |
|
|
May 16, 2013 |
|
50 Bank of Tokyo |
|
May 30, 2017 |
|
|
1.77 |
% |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
6 |
|
|
|
1 |
|
|
|
|
|
110 |
|
|
Various dates in 2013 and 2014 |
|
120 term loan |
|
June 20, 2018 |
|
|
2.22 |
% |
|
|
— |
|
|
|
15 |
|
|
|
3 |
|
|
|
45 |
|
|
|
9 |
|
|
|
|
|
85 |
|
|
Various dates in 2014 and 2015 |
|
100 Bank of Tokyo |
|
March 7, 2019 |
|
|
2.23 |
% |
|
|
— |
|
|
|
29 |
|
|
|
8 |
|
|
|
49 |
|
|
|
6 |
|
|
|
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|
50 |
|
|
October 2, 2014 |
|
50 Mizuho |
|
May 14, 2019 |
|
|
2.58 |
% |
|
|
— |
|
|
|
17 |
|
|
|
4 |
|
|
|
28 |
|
|
|
— |
|
|
|
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|
200 |
|
|
Various dates in 2015 |
|
200 Mizuho |
|
March 4, 2020 |
|
|
2.10 |
% |
|
|
— |
|
|
|
111 |
|
|
|
51 |
|
|
|
156 |
|
|
|
39 |
|
|
|
|
|
30 |
|
|
February 2016 |
|
100 Mizuho |
|
December 7, 2021 |
|
|
2.03 |
% |
|
|
— |
|
|
|
24 |
|
|
|
23 |
|
|
|
30 |
|
|
|
22 |
|
|
Long-term currency swaps(h) |
|
|
100 |
|
|
Various dates in 2015 |
|
200 Mizuho |
|
March 5, 2018 |
|
|
2.21 |
% |
|
|
46.66 |
|
|
|
20 |
|
|
|
58 |
|
|
|
60 |
|
|
|
155 |
|
|
|
|
|
45 |
|
|
Various dates in 2016 |
|
100 Mizuho |
|
December 7, 2018 |
|
|
1.93 |
% |
|
|
46.55 |
|
|
|
18 |
|
|
|
58 |
|
|
|
36 |
|
|
|
107 |
|
|
|
|
|
11 |
|
|
Various dates in 2017 |
|
80 CBC |
|
May 31, 2018 |
|
|
1.28 |
% |
|
|
49.66 |
|
|
|
4 |
|
|
|
1 |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
8 |
|
|
Various dates in 2017 |
|
2015 Mizuho US$100 term loan |
|
December 7, 2020 |
|
|
1.60 |
% |
|
|
50.60 |
|
|
|
8 |
|
|
|
(2 |
) |
|
|
— |
|
|
|
— |
|
|
|
|
|
4 |
|
|
Various dates in 2018 |
|
2015 Mizuho US$100 term loan |
|
December 7, 2020 |
|
|
1.62 |
% |
|
|
51.89 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
10 |
|
|
Various dates in 2018 |
|
2015 Mizuho US$200 term loan |
|
March 4, 2020 |
|
|
1.96 |
% |
|
|
51.77 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
327 |
|
|
|
|
|
|
|
465 |
|
|
|
|
|
|
|
|
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|
Php 237 |
|
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|
|
|
Php 514 |
|
||
|
|
(a) |
If the Philippine peso to U.S. dollar spot exchange rate on the maturity date settles between Php46.90 to Php47.98, Smart will purchase the U.S. dollar for Php46.90. However, if on maturity, the exchange rate settles above Php47.98, Smart will purchase the U.S. dollar for Php46.90 plus the excess above Php47.98, and if the exchange rate is lower than Php46.90, Smart will purchase the U.S. dollar at the prevailing Philippine peso to U.S. dollar spot exchange rate, subject to a floor of Php46.82. |
|
|
(b) |
If the Philippine peso to U.S. dollar spot exchange rate on the maturity date settles between Php50.30 to Php51.24, Smart will purchase the U.S. dollar for Php50.30. However, if on maturity, the exchange rate settles above Php51.24, Smart will purchase the U.S. dollar for Php50.30 plus the excess above Php51.24, and if the exchange rate is lower than Php50.30, Smart will purchase the U.S. dollar at the prevailing Philippine peso to U.S. dollar spot exchange rate, subject to a floor of Php49.60. |
|
|
(c) |
If the Philippine peso to U.S. dollar spot exchange rate on the maturity date settles between Php51.67 to Php52.53, Smart will purchase the U.S. dollar for Php51.67. However, if on maturity, the exchange rate settles above Php52.53, Smart will purchase the U.S. dollar for Php51.67 plus the excess above Php52.53, and if the exchange rate is lower than Php51.670, Smart will purchase the U.S. dollar at the prevailing Philippine peso to U.S. dollar spot exchange rate, subject to a floor of Php50.70. |
|
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(d) |
If the Philippine peso to U.S. dollar spot exchange rate on the maturity date settles between Php51.30 to Php52.30, Smart will purchase the U.S. dollar for Php51.30. However, if on maturity, the exchange rate settles above Php52.30, Smart will purchase the U.S. dollar for Php51.30 plus the excess above Php52.30, and if the exchange rate is lower than Php51.30, Smart will purchase the U.S. dollar at the prevailing Philippine peso to U.S. dollar spot exchange rate, subject to a floor of Php50.45. |
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(e) |
PLDT’s interest rate swap agreements outstanding as at December 31, 2017 and 2016 were designated as cash flow hedges, wherein the effective portion of the movements in fair value is recognized in our consolidated statements of other comprehensive income, while any ineffective portion is recognized immediately in our consolidated income statements. The mark-to-market gains amounting to Php44 million and losses amounting to Php81 million were recognized in our consolidated statements of other comprehensive income as at December 31, 2017 and 2016, respectively. Interest accrual on the interest rate swaps amounting to Php11 million and Php23 million were recorded as at December 31, 2017 and 2016, respectively. There were no ineffective portion in the fair value recognized in our consolidated income statements for the years ended December 31, 2017 and 2016. |
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(f) |
PLDT’s long-term principal only-currency swap agreements entered into in 2015 to 2017 were designated as cash flow hedges, wherein effective portion of the movements in the fair value is recognized in our consolidated statements of other comprehensive income, while any ineffective portion is recognized immediately in our consolidated income statements. The mark-to-market gains amounting to Php108 million and Php275 million were recognized in our consolidated statements of other comprehensive income as at December 31, 2017 and 2016, respectively. Hedge cost accrual on the long-term principal only-currency swaps amounting to Php18 million and Php45 million were recognized as at December 31, 2017 and 2016, respectively. The amounts recognized as other comprehensive income are transferred to profit or loss when the hedged loan is revalued for changes in the foreign exchange rate. The ineffective portion of the movements in the fair value amounting to Php3 million and Php8 million were recognized in our consolidated income statements for the years ended December 31, 2017 and 2016, respectively. |
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(g) |
Smart’s interest rate swap agreements outstanding as at December 31, 2017 and 2016 were designated as cash flow hedges, wherein the effective portion of the movements in fair value is recognized in our consolidated statements of other comprehensive income, while any ineffective portion is recognized immediately in our consolidated income statements. The mark-to-market gains amounting to Php85 million and Php79 million were recognized in our consolidated statements of other comprehensive income as at December 31, 2017 and 2016, respectively. Reduction on interest arising from the interest rate swaps amounting to Php4 million and addition on interest arising from the interest rate swaps amounting to Php2 million as at December 31, 2017 and 2016, respectively. There were no ineffective portion in the fair value recognized in our consolidated income statements for the years ended December 31, 2017 and 2016. |
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(h) |
Smart’s long-term principal only-currency swap agreements outstanding as at December 31, 2017 and 2016 were designated as cash flow hedges, wherein the effective portion of the movements in fair value is recognized in our consolidated statements of other comprehensive income, while any ineffective portion is recognized immediately in our consolidated income statements. The mark-to-market gains amounting to Php124 million and Php284 million were recognized in our consolidated statements of other comprehensive income as at December 31, 2017 and 2016, respectively. Hedge cost accrual on the long-term principal only-currency swaps amounting to Php9 million and Php22 million were recognized as at December 31, 2017 and 2016, respectively. The amounts recognized as other comprehensive income are transferred to profit or loss when the hedged loan is revalued for changes in the foreign exchange rate. The ineffective portions of the movements in the fair value amounting to Php4 million and Php9 million was recognized in our consolidated income statements for the years ended December 31, 2017 and 2016, respectively. |