To:
Restricted Asset (E) Subgroup
From:
Julie Gann (NAIC Staff)
Re:
Repurchase Agreement Disclosures – Proposed Disclosures – Secured Borrowing
Date:
November 9, 2015 – Exposed for Comment until Jan. 29, 2016
On the May 13, 2015 conference call of the Restricted Asset (E) Subgroup, the chair suggested collecting
additional information regarding repurchase agreements prior to considering potential accounting
revisions. Additionally, in response to questions submitted after an industry education session, the ACLI
indicated support for regulators to collect data from insurers on repurchase agreements through disclosure
or other means.
This memorandum presents proposed disclosure templates for repurchase and reverse repurchase
agreements. The proposed disclosures detailed in this memorandum were drafted after reviewing the
following:

Proposed data elements and definitions, from the November 2014 FSB Consultative Document,
“Standards and Processes for Global Securities Financing Data Collection and Aggregation.”
http://www.financialstabilityboard.org/wp-content/uploads/Global-SFT-Data-StandardsConsultative-Document.pdf

Disclosure information reflected within ASU 2014-11—Transfers and Servicing, Repurchase-toMaturity Transactions, Repurchase Financings, and Disclosures (ASU 2014-11).

Office of Financial Research Working Paper – “Reference Guide to U.S. Repo and Securities
Lending Markets” Dated Sept. 9, 2015.
Currently, only templates have been proposed to capture information. After these templates (and the data
components are discussed), revisions will be considered, as needed to reference the disclosures in SSAP
No. 103—Transfers and Servicing of Financial Assets and Extinguishments of Liabilities.
Staff Note – Although a review of the FSB data capturing elements is detailed within a separate memo,
very few of these points have been incorporated within the draft templates. Rather, the templates are
more in line with statutory reporting elements. The separate memo detailing the FSB elements are
provided in case regulators and interested parties would like to consider their inclusion for statutory
accounting / reporting purposes.
Exposure Documents Include (separate memorandums):
Templates 1-2 – Repurchase Transactions (Cash Taker) Accounted as Secured Borrowings
Templates 3-4 – Reverse Repurchase Transactions (Cash Provider) Accounted as Secured Borrowings
Proposed Disclosure from ASU 2014-11- All Repo / Reverse Repo Transactions
(Please see related documents for proposed disclosure templates for transactions accounted for as sales,
and for a review of the FSB data components.)
1
Review of Existing Disclosures in SSAP No. 103:
Existing statutory accounting data-captured disclosures related to repurchase agreements appear to focus on
accepted collateral, and the aggregate amount of collateral reinvested. The existing data-captured disclosures
identify the aggregate amount of collateral received, broken down by when it would be contractually-required
to be returned, as well as the aggregate amortized cost and fair value if collateral has been reinvested (also
broken down by when it would be contractually required to be returned). (This disclosure detail is reported in
the aggregate within Note 5(E). These disclosures are similar to the one proposed by ASU 2014-11, but do
not include the security type. As a side note, Schedule DL – Detail of reinvested collateral assets – currently
only applies to securities lending transactions.)
Although other disclosure elements may be currently referenced in SSAP No. 103, they are satisfied through
narrative summaries (not data captured), or through the annual statement investment codes (e.g., investments
coded as subject to repurchase agreement). Due to the nature of narrative disclosures, and some inherent
limitations with investment schedules, information is not easily obtainable by regulators regarding repurchase
and reverse repurchase activity allowing for an aggregate assessment of financial statement impact.
Proposed Disclosure Elements for Repurchase & Reverse Repurchase Agreements:
In response to comments on improving the information available to regulators on repurchase and reverse
repurchase transactions, preliminary data templates have been drafted for Subgroup consideration. Utilizing
the proposed concepts for data collection by the FSB, there are separate templates depending on whether the
transaction (from the reporting entity’s standpoint) is a repo or reverse repo, and proposes to capture
information on transactions that originated (Flow Data), as well as detail on outstanding transactions as of
reporting dates (Position Data) and outstanding collateral.

“Flow data” is proposed to reflect “settled” transactions. The term “settled” is used by the FSB to
reflect trades where the spot leg is satisfied. The spot leg is the first part of the repo transaction;
therefore this disclosure shall reflect the initiation of repos – when the buyer first provides cash to
the seller of security.
*** Inquiry – Comments on the above definition for “flow data” is requested. In staff’s view, the intent of the
“flow” data is to capture the initiation / origination of new repo trades. It is not necessarily intended to capture
the “renewal” of existing repo agreements. Is the information above sufficient to capture the intent, and is the
guidance consistent with market terminology for consistent completion?

“Position data” is proposed to reflect the aggregate total of all outstanding repurchase / reverse
repurchase agreements.

“Collateral” data information is proposed to reflect the aggregate total of all outstanding collateral
repurchase / reverse repurchase agreements.
Although the FSB is proposing monthly reporting of data, the proposed templates have been drafted to allow
for quarterly disclosures that would build throughout the year. Also., the templates propose the collection of
aggregate information, however, individual reporting for separate repurchase agreements could be considered.
*** Inquiry – As the FSB is proposing monthly collection, would it be easier for the statutory disclosures to
mirror a monthly breakdown (by quarter) for “flow” reporting? For example, the number of repo trades could
be divided by month and reported at the end of each quarter. Also, although not requested as part of these
disclosure templates, reporting entities are expected to have information on individual transactions if
requested by regulators. As such, would it be beneficial to have draft templates available for that purpose?
2
Under current SAP (and GAAP), repurchase transactions can be classified as “secured borrowings” or “sales”
based on the nature of the transaction. As such, separate templates are drafted for both types of transactions.
However, based on information received, a vast number of repo transactions are classified as “secured
borrowings”, with limited (if any) repurchase transactions accounted for as “sales”. If desired, consideration
could occur on whether all repurchase agreements should follow the “secured borrowing” approach. It is
anticipated that reporting entities would only complete the templates that were relevant to their
transactions. For example, if the company only engaged in transactions where they were the “cash
taker” and they all qualified for accounting as secured borrowing transactions, then, under this
proposal, only templates 1-2 would need to be completed.
*** Inquiry – The draft templates currently focus on repurchase / reverse repurchase agreements solely by the
reporting entity. Information / comments on the ability for holding company / pooling / multiple-party repo
agreements is requested. If these transactions can occur, what additional disclosure information is needed?
Also, as detailed in the templates, the repo maturity is proposed to mirror the FSB categories which include:
Open – No maturity, Overnight, 2 Days to 1 Month, Greater than 1 month to 3 months, Greater than 3
months, to 1 year, and greater than 1 year. For Flow Data, this would reflect the original maturity, and for
Position Data, this would reflect the Residual Maturity.
*** Inquiry – Information / comments on the categories for “Repo Maturity” is specifically requested.
Particularly, is additional information necessary to ensure consistent classification of similar contracts by
different reporting entities? As additional information, the following excerpt was taken from the Sept. 9, 2015
“Reference Guide to U.S. Repo and Securities Lending Markets” from the Office of Financial Research:
Tenor is also an important characteristic for understanding and monitoring the repo market. The majority
of repo trades are for a fixed term, such as overnight, one week, or one month. However, other tenor
arrangements are possible. For example, repo trades can be open, evergreen, callable or putable,
extendible, floating rate, and convertible. Open trades are rolled over each day, keeping all aspects of the
repo fixed except for the rate. Each day, however, either counterparty has the option of not rolling over
the trade, implying that the effective tenor of open trades is overnight. Evergreen trades are long-term
contracts with an option of either counterparty being able to discontinue the trade with an agreed-upon
notice period. For example, a one-year repo with a 30-day evergreen option implies that at any point
within the one-year term of the repo either counterparty can invoke the option to discontinue the trade
with a 30-day notice. The implication is that such a repo effectively has a 30-day maturity structure.
Finally, call and put repos are trades where one of the counterparties has the right to discontinue the
repo, with an agreed-upon notice period.
3
Template 1 & Template 2 - Repurchase Transaction – Cash Taker – Secured Borrowing
These templates are proposed to be completed by all insurers engaging in repo transactions in which they are
the “cash taker” (selling securities) through a repurchase agreement accounted for as a secured borrowing.
Template 1 – Aggregate Overview of Transactions:
1. Number of Repo Trades – Divided by bilateral and tri-party contracts.
2. Repo Maturity – For Flow Data, this would reflect the number of contracts by original maturity, and for
Position Data, this would reflect the number of contracts by Residual Maturity. The categories mirror the
FSB proposed categories, which include: Open – No maturity, Overnight, 2 Days to 1 Month, Greater
than 1 month to 3 months, Greater than 3 months, to 1 year, and greater than 1 year.
3. Securities Sold Under Repo – Secured Borrowing – Aggregate total of the BACV and Fair Value of
securities sold under a repo still reflected on the financial statements. Additionally, the total BACV of
nonadmitted securities (per the current quarter F/S) sold under a repo.
4. Collateral Received – Secured Borrowing – Aggregate cash received and the fair value of securities
received under repo transactions. (This template does not propose detail for the reinvesting of collateral
assets. It is anticipated that an expansion of Schedule DL would be considered to include reinvested
repurchase agreement collateral.)
5. Liability to Return Collateral – Secured Borrowing – Template proposes to capture the total recognized
liability to return collateral. This should include all cash received as well as the fair value of securities
received as collateral that have been sold by the reporting entity.
6. Counterparty and Jurisdiction – Fair value of securities sold under repo agreements per counterparty and
identification of the counterparty jurisdiction. This is proposed to include all jurisdictions, including the
U.S. (Total fair value reported should agree to #3 – Securities Sold under Repo.)
7. Default – Aggregate fair value of securities “sold” under repo agreements that resulted in default. (In the
event of a default for a secured borrowing repo, the cash taker derecognizes the securities from their
balance sheet, and eliminates the obligation to return the cash collateral.)
8. Repo Policy - Info regarding the reasons the entity is engaging in repos.
Template 2 – Aggregate Securities Sold & Collateral Received with Repurchase Transactions
1. Securities Sold Under Repo - Secured Borrowing – Reflects securities still reported on the financial
statements. Flow Data and Position Data should reflect the BACV and Fair Value of all securities sold
under repo transactions, by NAIC designation (or equivalent) as well as the BACV of the security
nonadmitted on the prior (Flow Data) and current (Position Data) financial statement. (Flow data should
reflect amounts at initial transaction, the position data should reflect amounts as of the reporting date.)
These assets should be coded as “Assets Subject to Repurchase Agreements” in the financial statement
schedules and included as “restricted assets” in the SSAP No. 1 disclosure and general interrogatories.
(Should agree to the “Securities Sold Under Repo – Secured Borrowing” on Overview Template.)
2. Cash & Non-Cash Collateral Received – Secured Borrowing – Reflects the cash and the fair value of
securities received for repurchase agreements, as well as whether the securities would qualify as admitted
assets. Cash received is recognized, but securities are not reflected on the financial statements. (Totals
should agree to the “Collateral Received – Secured Borrowing” on Overview Template.)
4
Template 1: REPURCHASE TRANSACTION – CASH TAKER – OVERVIEW OF SECURED BORROWING TRANSACTIONS
FLOW DATA – NEW REPO TRANSACTIONS
POSITION DATA – ALL OUTSTANDING REPOS
First Quarter
Second Quarter
Third Quarter
Fourth Quarter
First Quarter
Second Quarter
Third Quarter
Fourth Quarter
1. # of Repo Trades
 Bilateral
 Tri-Party
2. Original (Flow) &
Residual Maturity
 Open – No maturity
 Overnight
 2 Days to 1 Month
 > 1 Month to 3 Months
 > 3 Months to 1 Year
 > 1 Year
3. Securities “Sold” Under
Repo – Secured Borrowing
 BACV
Nonadmitted – Subset
 Fair Value
See Template 2 for Aggregate Detail by Type of Security
(Page 4 provides information to complete the template.)
4. Collateral Received –
Secured Borrowing
 Cash
 Securities (FV)
See Template 2 for Aggregate Detail by Type of Security
(Page 4 provides information to complete the template.)
5. Liability to Return
Collateral – Secured
Borrowing (Total)
 Cash (Collateral - All)
 Securities Collateral
(FV) (Only if Sold)
(Page 4 provides information to complete the template.)
6. Counterparty &
Jurisdiction: Allocate the FV
of securities sold /
outstanding by counterparty
and identify the Jurisdiction.
(e.g., US, Bahamas, Canada)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
7. Default: Identify the FV
of securities sold /
outstanding for which the
repo agreement defaulted:
8. Repo Policy:
Identify main reasons for repo
– (e.g., short-term financing
(liquidity), yield
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
5
enhancement, etc.
6
Template 2: REPURCHASE TRANSACTION – CASH TAKER – INVESTMENT CATEGORY DETAIL – SECURED BORROWING
FLOW DATA – NEW REPO TRANSACTIONS
POSITION DATA – OUTSTANDING REPOS
NAIC Designation
NAIC Designation
None
1
2
3
4
5
6
Nonadmitted
None
1
2
3
4
5
6
Nonadmitted
(Page 4 provides information to complete the template.)
1. Securities Sold Under Repo
Secured Borrowing
Bonds – BACV
Bonds FV
LB & SS – BACV
LB & SS – FV
Preferred Stock – BACV
Preferred Stock – FV
Common Stock
Mortgage Loans – BACV
Mortgage Loans – FV
Real Estate – BACV
Real Estate – FV
Derivatives – BACV
Derivatives – FV
Other Invested Assets – BACV
Other Invested Assets – FV
Total Assets - BACV
Total Assets - FV
NOTE: All asset classes are shown above, but it is anticipated that only those involved with repo transactions would be included by the insurer.
2. Cash & Non-Cash Collateral
Received - Secured Borrowing
None
1
2
3
4
5
6
Does Not
Qualify as
Admitted
None
1
2
3
4
5
6
Cash
Bonds FV
LB & SS – FV
Preferred Stock – FV
Common Stock
Mortgage Loans – FV
Real Estate – FV
Derivatives – FV
Other Invested Assets – FV
Total Collateral Assets – FV
NOTE: It is anticipated that cash would be the majority of collateral. Although all asset classes are shown, they would only be included if received by the insurer.
7
Does Not
Qualify as
Admitted
Template 3 & Template 4 – Reverse Repurchase Transactions – Cash Provider – Secured Borrowing
Template 3 – Reverse Repurchase Transaction – Cash Provider – Overview
1. Number of Repo Trades – Divided by Bilateral and Tri-Party contracts.
2. Repo Maturity – For Flow Data, this would reflect the original maturity, and for Position Data, this would
reflect the Residual Maturity. The categories mirror the FSB proposed categories, which include: Open –
No maturity, Overnight, 2 Days to 1 Month, Greater than 1 month to 3 months, Greater than 3 months, to
1 year, and greater than 1 year.
3. Fair Value of Securities Purchased – Aggregate fair value of securities acquired under reverse repo
agreements. For flow data, reflects the fair value at the time of initial transaction, and position data
reflects the fair value for all acquired securities from outstanding repo agreements as of the reporting date.
4. Collateral Provided – Secured Borrowing – Flow Data - Amount of cash and the BACV and Fair Value of
securities provided to acquire securities under a repo agreement. If securities are provided, the schedule
should also identify the BACV of securities that were nonadmitted in the prior financial statements. For
Position Data – The information shall be an aggregate of collateral provided for all outstanding repo
agreements, with cash reflecting the total cash provided, and any securities provided reflecting the BACV
(if assets are still shown on financial statements) and the Fair Value for all securities provided as of the
reporting date. (Securities provided as collateral under reverse-repurchase agreements shall be coded as
“Assets Subject to Reverse Repurchase Agreements” in the financial statement schedules and included in
the SSAP No. 1 disclosure and general interrogatories.)
5. Recognized Receivable to Return Cash Provided –Receivable recognized for the return of cash collateral.
(Receivables are not recognized for securities provided as collateral as those securities are not generally
derecognized by the reporting entity.)
6. Recognized Liability to Return Purchased Securities – If securities acquired under a reverse repurchase
agreement (secured borrowing) are sold, the reporting entity shall recognize an obligation to return the
securities. The template separates reverse repurchase securities sold acquired with cash or securities. (This
bifurcation is needed to identify whether additional restricted assets should be recognized.)
7. Counterparty and Jurisdiction – Fair value of securities acquired under reverse repo agreements per
counterparty and identification of the counterparty’s jurisdiction. This is proposed to include all
jurisdictions, including the U.S. (Total fair value reported should agree to #3 – Fair Value of Securities
Purchased.)
8. Default –Fair value of securities “purchased” under repo agreements that resulted in default. (In the event
of a default for a secured borrowing repo, the cash provider recognizes the securities on their balance
sheet, and derecognizes the collateral / collateral receivable.)
9. Repo Policy - Info regarding the reasons the entity is engaging in repos.
Template 4 – Reverse Repurchase Transaction – Cash Provider – Investment Breakdown (Page 21)
This template provides the BACV and fair value of the securities “acquired” under a repurchase agreement in
accordance with statutory financial statement categories and related NAIC designation (or equivalent). The
template also identifies whether the securities acquired would qualify as admitted assets, and if the asset has
8
been sold. These categories are different from what the FSB will likely collect, but in-line with statutory
reporting categories.
1. Securities Acquired Under Repo - Secured Borrowing – Fair value of securities acquired, not recognized
on the financial statements. Flow Data and Position Data should reflect the Fair Value of all securities
acquired under reverse repo transactions, by NAIC designation (or equivalent), as well as whether the
acquired security does not qualify as an admitted asset, and if the acquired security has been sold by the
reporting entity. (Items identified as “sold” would include the settlement of short sales.) (Flow data would
reflect the fair value as of the transaction date, the position data would reflect the fair value as of the
reporting date.)
2. Restricted Assets – BACV and Fair Value for securities designated as restricted within the financial
statements for the obligation to return securities acquired with cash collateral through a reverse repo and
sold by the reporting entity. These investments should be coded as “Assets Subject to Reverse
Repurchase Agreement” in the financial statements schedules and included in the SSAP No. 1 disclosure
and general interrogatories. The amount coded as restricted should agree to the fair value of the
recognized forward repurchase commitment.
Note –If a reverse repo was acquired with non-cash collateral, the securities provided as collateral would
be retained on the reporting entity’s financial statements and coded as restricted assets. If the securities
acquired were sold, an obligation to return the securities would be recognized, but assets would already
be identified as restricted for the reverse repo transaction. If a reverse repo was acquired with cash
(which is believed to be more frequent), the cash provided is removed from the financial statements, and a
receivable is recognized for the return of cash collateral. (The party receiving the cash would recognize a
liability for the return.) If the acquired repo asset was sold, the reporting entity would need to recognize a
liability to return the repo asset. In these situations, it is proposed that assets be identified as restricted to
satisfy this obligation.
9
Template 3: REVERSE REPURCHASE TRANSACTION – CASH PROVIDER – SECURED BORROWING OVERVIEW
First Quarter
1. # of Repo Trades
 Bilateral
 Tri-Party
2. Original (Flow) / Residual Repo
Maturity
 Open – No maturity
 Overnight
 2 Days to 1 Month
 > 1 Month to 3 Months
 > 3 Months to 1 Year
 > 1 Year
3. FV of Securities Purchased under Repo
FLOW DATA – NEW REPO TRANSACTIONS
Second Quarter
Third Quarter
Fourth Quarter
First Quarter
POSITION DATA – ALL OUTSTANDING REPOS
Second Quarter
Third Quarter
Fourth Quarter
See Template 4 for Aggregate Detail by Type of Security
(Pages 7-8 provide information to complete the template.)
 Secured Borrowing
 Sale
Secured Borrowing:
4. Collateral Provided – Secured
Borrowing
 Cash
 Securities (FV)
 Securities (BACV)
Nonadmitted
5. Receivable for Return of Cash
Collateral
6. Recognized Liability to Return
Purchased Securities (only if acquired Repo
securities were sold)
 Repo securities sold acquired with cash
collateral
 Repo securities sold acquired with
security collateral
7. Counterparty & Jurisdiction: Allocate
the FV of securities sold / outstanding by
counterparty and identify the Jurisdiction.
(e.g., US, Bahamas, Canada)
8. Default: Identify the FV of securities
sold / outstanding for which the repo
agreement is in default:
9. Policy for Repo:
Identify main reasons for repo – (e.g., shortsales, derivative collateral, leverage, etc.)
See Template 4 for Aggregate Detail by Type of Security
(Pages 7-8 provide information to complete the template.)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
a)
b)
c)
d)
10
Template 4: REVERSE REPURCHASE TRANSACTION – CASH PROVIDER – SECURED BORROWING
FLOW DATA – NEW REPO TRANSACTIONS
POSITION DATA – OUTSTANDING REPOS
Equivalent NAIC Designation
Equivalent NAIC Designation
None
1
2
3
4
5
6
Does not
Acquired
None
1
2
3
4
5
6
Does not
Qualify as
Security
Qualify as
Admitted
Sold
Admitted
1. Securities Acquired Under
Repo- Secured Borrowing
Bonds FV
LB & SS - FV
Preferred Stock – FV
Common Stock
Mortgage Loans - FV
Real Estate – FV
Derivatives – FV
Other Invested Assets - FV
Total Assets - FV
FV of Sold Securities (Obligation
to Return)
(Pages 7-8 provide information to complete the template.)
NOTE: All asset classes are shown above, but it is anticipated that only those involved with the reverse-repo transactions would be included by the insurer.
2. Restricted Assets
Allocation to reflect the Securities
Acquired with Cash Collateral
under Reverse Repo and Sold.
Bonds – BACV
Bonds FV
LB & SS - BACV
LB & SS - FV
Preferred Stock – BACV
Preferred Stock – FV
Common Stock
Mortgage Loans - BACV
Mortgage Loans - FV
Real Estate - BACV
Real Estate – FV
Derivatives - BACV
Derivatives – FV
Other Invested Assets - BACV
Other Invested Assets - FV
Total Assets - BACV
Total Assets - FV
11
Acquired
Security
Sold
NOTE: All asset classes are shown above, but it is anticipated that only those involved with the reverse-repo transactions would be included by the insurer.
12
Proposed Disclosure from ASU 2014-11
The FASB decided to require disclosure of the carrying amount of the entity’s gross obligation related to repurchase transactions, and repurchase-tomaturity transactions, disaggregated on the underlying pledged collateral. As noted by the FASB, in cases in which collateral pledged in a recognized
financial asset, the transferred financial assets are not available for an entity’s use and the funding connected to the collateral pledged exposes the
entity to certain risks. The type of collateral pledged, and volume of those transactions can significantly change the entity’s risk profile. This disclosure
is very similar to what is already data-captured in Note 5E, but expanded to include the class of collateral pledged to mirror the disclosure in ASU
2014-11.
Secured Borrowing Disclosures – Collateral Pledged and Risk to the Transferor:
Note – GAAP disclosures are also applicable to securities lending. For purposes of this discussion, only a header for repurchase agreements is shown.
It is anticipated that this data would replace the information currently captured within Note 5E(3). The current SAP disclosure also has information
bucketed between 31-60 days, however, unless there is a preference for that information, it is proposed to mirror the GAAP disclosure.
Propose to adopt disclosure from ASU 2014-11 in paragraph ASC 860-30-50-7:
1.
2.
3.
Disaggregation of gross obligation by the class of collateral pledged.
Remaining contractual maturity of repurchase agreements.
Discussion of potential risks associated with the agreements and related collateral pledged, including obligations arising from a decline in
the fair value of the collateral pledged and how those risks are managed.
Repurchase Agreements and
Repurchase to Maturity
Transactions
US Treasury and Agency Securities
State and Municipal Securities
Asset-Backed Securities
Corporate Securities
Equity Securities
Non-US Sovereign Debt
Loans
Other
Total
Total Borrowings
Overnight
and
Continuous
Remaining Contractual Maturity of the Agreements
Up to 30 Days
30-90 Days
Greater than 90 Days
Gross Amount of Recognized Liabilities for Repurchase Agreements
13
Total