Repurchase Agreement Off Balance Sheet

4. Oktober 2021

Compare Merrill Lynch`s disclosures with those of Oppenheimer Holdings, a U.S. investment bank that has a nominal commitment of $1.75 billion in repo-to-maturity transactions out of a total of $7.2 billion. In addition, in accordance with the terms of certain OTC derivative contracts and other trading agreements, the counterparties to such agreements may require us to provide additional collateral or terminate such contracts or agreements that could result in losses and/or affect our liquidity. If the short-term credit ratings of Bank of America or ML &Co or those of our broker or broker subsidiaries were lowered by one or more notches, the potential loss of access to short-term funding sources, such as repo financing transactions, and the impact on our additional financing costs could be significant. For repo transactions, the date of termination of a repo transaction is generally earlier than the maturity date of the underlying security. However, in certain situations, the company may enter into repo transactions whose termination date is identical to the maturity date of the underlying security and where these transactions are called „repo-to-maturity“ (RTM). The company only conducts RTM transactions for high-quality, highly liquid securities, such as U.S. Treasury securities or securities issued by state-subsidized companies (GSE). The entity recognises RTM transactions as sales in accordance with the accounting guidelines in force and, therefore, removes the securities from the consolidated balance sheet and records a profit or loss in the consolidated income statement. For 31 December 31, 2010, the company had no outstanding RTM transactions compared to $6.5 billion as at December 31, 2009, which had been recorded as revenue.

In June 2014, the FASB published Accounting Standards Update (ASU) 2014-11, Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. The revised rules require companies to account for rebalancing operations (GTRs) as secured credits. An RTM is a repo contract in which securities are due on the same day retirement ends. Prior to the update, the FASB distinguished between a gtr and a retirement transaction for which securities were not yet due on the date of return to the original part. Under previous rules on gtr agreements, it was not considered that the hazard giver did not have effective control over the transferred assets, as it would not recover the assets before they matured. In those circumstances, the RTM agreements were regarded as pure sales (KPMG Defining Issues, `FASB Proposals New Accounting Guidance for Repos`, January 2013, No 13-6). The obligation to repurchase the securities was not recognised, so the underlying risk was not shown on the balance sheet. Under the new rules, the AFSB has decided that, although securities are not returned to the original party due to the maturity of the security, obtaining liquidity at settlement is substantially the same as receiving the securities.

Daher wird die Behandlung der besicherten Kreditaufnahme nun als angemessen angesehen (Ernst & Young, „FASB Changes Accounting for Certain Repurchase Agreements and Requires New Disclosures“, Technical Line, Nr. . .