TBA Dollar-roll - Cash Flow

[EricS-AMIC]

Hello,

In having a TBA dollar-roll program our Schedule D cost and proceeds are essentially grossed up from the closed buy and sell transactions before settlement date. I can't find any specific instructions, but if such transactions are settled net, should we be making an adjustment to the applicable cash flow lines and disclosing as a non-cash transaction? Or must the proceeds and cost tie to the appropriate investment schedules?

Thank you,
Eric

[Jeff]

Traditionally, most want to see Cash Flow line 12.1 tie to Schedule D ? Part 4, column 7, Total Bonds and Cash Flow line 13.1 tie to Schedule D ? Part 3, column 7, Total Bonds. However, this is not an official NAIC crosscheck. In fact, they should not agree if noncash activity is included in acquisitions or disposals in Part 3/4/5. The Annual Statement Instructions state the following:

the Statement of Cash Flow shall only include transactions involving cash. ...adjustments are necessary to remove non-cash acquisitions or disposals. Cash proceeds from investments sold, matured or repaid shall be included in Line 12. Cash remitted for acquired long-term investments is included in Line 13.