August 30, 1994
TO: ACCOUNTING/TREASURERS MEMBERS NO. 25-94
INDEPENDENT ACCOUNTANTS ADV. GROUP NO. 8-94
RE: ICI WHITE PAPER ON MORTGAGE DOLLAR ROLLS
__________________________________________________________
The attached paper describes the accounting, tax and
operational issues related to mortgage dollar rolls ("MDRs"). The
paper was developed by the Accounting Policy Subcommittee of the
Institute's Accounting/Treasurers Committee ("ATC") and was
unanimously approved for dissemination to the ICI membership by the
ATC and the Independent Accountants Advisory Group.
The paper is intended to provide technical guidance to ICI
members on accounting, tax and operational issues related to MDRs.
An MDR is a transaction in which an investment company sells a
mortgage-backed security from its portfolio to a counterparty and
simultaneously enters into an agreement with the counterparty to
buy back a similar, but not identical, security.
The Institute would like to recognize the contributions of the
paper's principal authors:
Timothy J. Jacoby, Fidelity Accounting and Custody
Services
Maryanne Roepke, Twentieth Century Mutual Funds
Andrew Shoup, Citibank Global Asset Management
Bruce J. Smith, Van Eck Associates Corporation
Arthur Tollefson, Price Waterhouse
Please feel free to contact me at 202/326-5851 or those named
above with any questions or comments.
Gregory M. Smith
Director - Operations/
Compliance & Fund Accounting
Attachment