Netting and Settlement Services

固定收益清算公司(FICC)的抵押贷款支持证券部(MBSD)提供全面的净额结算和结算服务，以满足这一专业市场的独特需求.

• About

  The core netting and settlement services offered by MBSD include:

  • Netting for To-Be-Announced (“TBA”) trades;
  • Pool matching and netting services; and
  • Settlement of pool obligations stemming from pool netting.

  MBSD’s combined TBA trade, Do Not Allocate, and pool netting services reduce customers’ overall settlement obligations in two ways: First, MBSD nets eligible TBA trades to establish net settlement obligations versus FICC. Second, 会员可以提交“不分配”请求，以结对未平仓交易，并减少需要分配的头寸. Once pools have been allocated in satisfaction of the remaining TBA settlement obligations, and the relevant details have been submitted into the pool netting system, 发生进一步的净额结算，净池结算义务由成员与作为中央对手方(CCP)的FICC结算。. These two netting services free up capital and lower risk by:

  • Greatly reducing the number of trades requiring actual settlement;
  • Netting and potentially reducing the number of pools required for delivery; and
  • 从TBA和池的角度来看，其结果是更低的运营成本和最小的故障风险.

• Who Can Use this Service

  MBSD净额结算服务适用于符合FICC会员要求的MBS交易参与者, including brokers, dealers, banks, government securities issuers, mortgage originators, and investment companies.

  每个MBSD申请人都需要执行一个协议，将其与MBSD的规则和程序绑定在一起. In addition, 上限流动性工具(CCLF)确保FICC在大型公司违约的情况下有足够的流动性. Applicants are evaluated on the following membership criteria:

  • Capital adequacy
  • Operational soundness
  • Financial resources

• Benefits

  MBSD的净额结算服务为客户提供了许多显著的优势，包括:

  • 多边TBA结算机制，以减少与每个成员TBA贸易活动相关的结算总数, together with the pool netting service, resulting in substantial member savings as a result of fewer securities settlements;
  • 一套复杂的会计制度，用以调和因负债净额而产生的交付差异;
  • 简化处理程序，大大减少会员的营运成本，以及结清交易所需的时间和精力;
  • Critical risk management methodologies to reduce counterparty exposure and promote clearing and settlement safety; and
  • Settlement versus FICC as a CCP for pool net settlement obligations stemming from pool netting.

• How the Service Works

  Settlement Balance Order Processing and Trade-for-Trade Transactions

  MBSD支持提交两种基本的交易类型:结算余额订单(SBOD)交易和trade -for- trade (TFTD)交易. SBOD交易“注定”要在其相关证券类别的预定结算日进行TBA结算过程. TFTD transactions are submitting for matching within RTTM, but not for TBA netting.

  For SBOD trades, TBA结算服务通过对具有某些类似贸易条件的交易进行结算，减少了成员的总体TBA结算义务. 这减少了需要分配和结算的交易数量，最终降低了清算成本. For TFTD transactions that are not netting, members are able to settle individual trades on a gross basis, as originally executed, following matching and comparison of each trade.

• TBA Netting

  MBSD performs the TBA Netting process four times per month, corresponding to each of the four primary MBS settlement classes established by SIFMA. SBO netting and output timeline is available in the MBS Schedule and Time Frames. 通过TBA净额结算建立的sbo以及TBA TFTD交易必须在结算前进行分配，相应的分配池有资格进行池净额结算. 规定的TFTD交易必须在结算前进行分配，资金池将转换为结算义务.

• Trade Allocation

  MBSD trade settlement requires the seller to allocate and assign specific pools, within Securities Industry Financial Markets Association (SIFMA) variance requirements, to specific TBA trades/obligations using the Electronic Pool Notification (EPN) system. 这包括通过TBA净额结算程序建立的TBA义务以及由TFTD交易产生的义务. Through the allocation process, sellers tell buyers the pools they intend to settle in satisfaction of their TBA obligations.

• Pool Comparison and Netting

  Implemented as a pilot service in September 2009 and launched in April 2012, MBSD CCP池比较和结算服务旨在通过减少池结算的数量来最大限度地节省总费用. 成员继续通过EPN将池分配给其TBA义务，并可选择通过RTTM向池净值系统提交池详细信息(以池指示的形式)，以便进行双边比较. In the event that Pool Instructs are not submitted, FICC will force compared based on the allocation details in the EPN messages.

  池净额使成员能够净额分配给来自TBA净额和TBA以贸易换贸易(TFTD)活动的TBA义务的池，以达到特定池号的单一净额. 尽管池净值每天都在进行，但大多数池净值活动都遵循SIFMA的日历.

• Customer Reports

  To help participants manage their clearance activity, MBSD以机器可读输出(MRO)和打印图像格式发布详细的电子报告. These include, but are not limited to:

  • Purchase and Sale Report: 作为比较TBA交易和指定池交易的唯一合法和有约束力的确认, eliminating the need to exchange confirms and commitment letters, accelerating the confirmation process and reducing the possibility of errors and/or fails. The Purchase and Sale Report also is a 10b-10 compliant confirmation of trades.
  • Open Commitment Report: This report lists all trades that remain open on the books of the clearing corporation, and indicates the trade’s disposition from the time it is matched, until it is fully settled.
  • Pool Instruct Activity Report: 反映为当前营业日建立或以比较池指示为目标的所有活动.
  • Pool Obligation Activity Report: 反映当前业务日期建立的所有池结算义务，这些义务将与FICC作为CCP进行结算.
  • Pool Obligation Pending Settlement Report该报告于每天营业结束时生成，以反映所有公开池义务(poid)。. This includes POIDs established via the current day’s Pool Netting cycle, failed POIDs from previous netting cycles, and POIDs generated from the POID Conversion process. 本报告提供了所有会员与FICC的公开结算义务的全面清单.

• Securities Settlement

  All obligations stemming from MBSD’s Pool Netting service settle versus FICC on a Delivery vs. Payment (DVP) basis over the Fedwire®. 在预定交付日期的前一天，会员将从Pool net收到其义务通知. On Delivery Date, members are required to deliver securities to, or receive securities from, FICC在其清算银行的指定账户之一，以履行其净池交付或净池接收义务.

• Automated Funds-Only Settlement

  As part of the TBA Settlement Balance Order and Pool Netting processes, 成员还可能产生现金债务——借方或贷方——主要代表用于计算TBA和净池债务的系统价格与各自的合同和结算价值之间的差额. Clearance differences and other cash adjustments such as miscellaneous fees, are also included in each member’s Funds-Only (cash-only) daily settlement.

• For More Information

  To request additional information, please click here.