2.2 Scope Inclusions

See Government National Mortgage Association Rolls.

The term Government National Mortgage Association (GNMA) rolls has been used broadly to refer to a variety of transactions involving mortgage-backed securities, frequently those issued by the GNMA. There are four basic types of transactions:

1. Type 1. Reverse repurchase agreements for which the exact same security is received at the end of the repurchase period (vanilla repo)
2. Type 2. Fixed coupon dollar reverse repurchase agreements (dollar repo)
3. Type 3. Fixed coupon dollar reverse repurchase agreements that are rolled at their maturities, that is, renewed in lieu of taking delivery of an underlying security (GNMA roll)
4. Type 4. Forward commitment dollar rolls (also referred to as to-be-announced GNMA forward contracts or to-be-announced GNMA rolls), for which the underlying security does not yet exist.

15-12 A forward commitment dollar roll that does not meet the definition of a derivative instrument is within the scope of the guidance specified for such contracts in this Subtopic (see paragraphs 815-10-25-15, 815-10-30-4, and 815-10-35-4).

25-15 Forward commitment dollar rolls that are not otherwise subject to this Subtopic’s provisions shall be recognized as either assets or liabilities depending on the rights or obligations under the contracts.

30-4 A forward commitment dollar roll that is not subject otherwise to this Subtopic’s provisions shall be measured initially at fair value.

35-4 A forward commitment dollar roll that is not subject otherwise to this Subtopic’s provisions shall be measured subsequently at fair value.