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MBSD Reports

To help you better understand the MBSD reports produced in MBSD RTTM® Report Center, several report guides were created to explain the purpose of each report, the formats in which it is available, the report headers and its data elements. For each of the menus in MBSD Report Center (i.e. MBS Clearing, MBS RTTM, and MBS PoolNet), there is an associated guide. Also available is the MBSD Operational Novation Reports Guide which explains the reports most relevant to MBSD Novation.

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The pdf MBSD Operational Pool Net Reports Guide (1.38 MB) explains the reports produced by the Mortgage-Backed Securities Division of the Fixed Income Clearing Corporation pertaining to MBS Pool Net processing. It assumes that the reader has a general knowledge of mortgage-backed securities processing.

The reports explained in this guide are those that can be viewed in MBSD Report Center within the MBS PoolNet section. Which reports are viewable and the order in which they may appear is determined in part by the date (today’s date or a past date) and time of day at which a search is made.

mbs report center poolnet reports

MBSD Report Center (MBS PoolNet [Reports] link highlighted)

Review the table below for a summary of each MBS Pool Net processing-related report which appears in the MBSD Operational Pool Net Reports Guide.

MBS POOL NET REPORTS
Cash Trade POID Conversion Report A daily, end-of-day report and captures the following cash trades converted to POIDs at trade price on a real-time basis:
  • Same-Day Generic PID
  • Same-Day STIP PID
  • “As-of” SPT
These cash trades will result in POID and be sent to Clearing Bank for immediate settlement. If settled, POID will reflect settled; else will reflect pending with DD rolled to next business day. To see an example of the Cash Trade POID Conversion Report while you learn about its use, available formats, layout, header information and sort order, please see the MBS Novation Reports Explained tab on the MBSD Operational Novation Reports page.
Expanded Pool Net Detail Report Produced on 24-hour Day as prescribed by the SIFMA Calendar and provides detailed results of Expanded Pool Net, which includes all allocations (PIDs) with delivery date >= next business day, associated cash differential and resulting POIDs versus FICC at system price. To see an example of the Expanded Pool Net Detail Report while you learn about its use, available formats, layout, header information and sort order, please see the MBS Novation Reports Explained tab on the MBSD Operational Novation Reports page.
Expanded Pool Net Summary Report Produced on 24-hour Day as prescribed by the SIFMA Calendar and provides summary results of Expanded Pool Net, which includes all allocations (PIDs) with delivery date >= next business day, associated cash differential and resulting POIDs versus FICC at system price. Members use this report to validate and balance the results of the current day's Expanded Pool Netting cycle – long, short and net positions and associated Pool Transaction Adjustment Payments (EXP TAPs). To see an example of the Expanded Pool Net Summary Report while you learn about its use, available formats, layout, header information and sort order, please see the MBS Novation Reports Explained tab on the MBSD Operational Novation Reports page.
MBSD CCP Compared Pending Pool Add Report Produced each day at close of business to reflect all Compared Pool Instructs Pending Pool Add. Pool Instructs are placed in the Pending Pool Add state when all required information for the pool is not on FICC’s master files, or the pool has been marked as ineligible – a rare condition. Members may use the MBSD CCP Compared Pending Pool Add Report to view all of their Compared Pool Instructs that remain in a Pending Pool Add state post comparison.
MBSD CCP Compared Pool Instruct Report Produced each day at the close of business to reflect all compared pool instructs that are open in the system (i.e. remain in a Pending Pool Add state post comparison). Members use the MBSD CCP Compared Pool Instruct Report to view all of their compared pool instructs to determine which are available to be included in the pool netting cycle or pool conversion.
MBSD CCP Fail Report Produced each day at the close of business to reflect all failing pool obligations (POIDs) that are awaiting settlement versus FICC. That is, it contains all POIDs in which the delivery date is equal to the report date but the contractual settlement date is in the past. Members use the MBSD CCP Fail Report to monitor and track all settlements versus FICC in a fail state.
MBSD CCP Modify Report Produced each day at the close of business to reflect all instances where one or more terms of an uncompared pool instruct were modified (and the pool instruct remains in an uncompared state). Members use the MBSD CCP Modify Report to view, track and monitor instances where an Uncompared Pool Instruct had a term(s) modified.
MBSD CCP P & I Report Produced each day at close of business to reflect the current day’s Principal and Interest amount that has been calculated for each Fail Obligation that remains outstanding in the system. As a Pool Obligation (POID) passes over each record date for its underlying pool, this report shows the calculated P & I that is accruing.
MBSD CCP PID/NOS Assignment Report Produced each day at close of business to reflect all instances of a single Pool Instruct (PID) or FICC’s Internal Notification of Settlement (NOS) being assigned to multiple TBA Obligations (OIDs). Members use this report to balance their Pool Instructs versus their assigned TBA positions/trades.
MBSD CCP Pool Instruct Activity Report Produced each day at close of business to reflect all activity that either establishes or targets a compared Pool Instruct for the current business day. Members may use the MBSD CCP Pool Instruct Activity Report to validate and balance their compared Pool Instructs, as well as monitor subsequent updates made to those Instructs, versus the data in their internal applications. This report may also be useful to identify and fix breaks.
MBSD CCP Pool Instruct "TAP" Detail Report Produced each day at close of business to reflect all compared Pool Instructs eligible for the current business day's Pool Netting cycle and Pool Conversion and the associated Transaction Adjustment Payment for each individual Pool Instruct. Members use the MBSD CCP Pool Instruct TAP Detail Report to identify, validate and balance Pool Netting assigned TAP calculations based on the Settlement Value of the initially compared Pool Instruct and the FICC assigned price applied via Pool Netting (excluding Stipulated trades which use the original trade price).
MBSD CCP Pool Netting Detail Report Produced daily after the Pool Net cycle is run to reflect all Pool Instructs that have been included in the current Pool Netting cycle. This report also includes non-netting-eligible Pool Instructs that target TBA trades (TFTD/TBA and SBON) and are converted to POIDs on a 1-1 basis as part of the daily pool net cycle. Members use the MBSD CCP Pool Netting Detail Report to validate and balance the results of the current day’s MBSD CCP Pool Netting cycle.
MBSD CCP Pool Netting Summary Report Produced each day at close of business to reflect the results of the current day's Pool Netting cycle, summarized at the TBA CUSIP level and at the actual Pool Number level. Members use this report to validate and balance the results of the current day's Pool Netting cycle – long, short and net positions and associated Pool Transaction Adjustment Payments (Pool TAPs). Unlike the Pool Netting Detail Report, this report does not list individual Pool Instructions or resulting pool obligations. This report does not contain activity or status codes.
MBSD CCP Pool Obligation Activity Report Produced each day at close of business to reflect all Pool Obligations established for the current business date and also any updates made to existing Pool Obligations on the current business date. Members use this report to further validate results of the current day’s Pool Netting cycle and Pool Conversion, as well as to review subsequent updates made to pool settlement obligations established for members versus FICC as CCP.
MBSD CCP Pool Obligation Pending Settlement Report Produced each day at close of business to reflect all open Pool Obligations (POIDs). This includes POIDs established via the current day’s Pool Netting cycle for daily and Expanded Pool Netting, Pool Conversion, as well as failed POIDs from previous days. This report provides a comprehensive listing of all the member’s open settlement obligations with FICC. Members use this report to monitor and track all outstanding settlements versus FICC.
MBSD CCP Uncompared Report Produced daily at close of business to reflect the final disposition of all Uncompared Pool Instructs that remain in an Uncompared or Advisory state on the current business day. Members use the MBSD CCP Uncompared Report to identify Pool Instructs that have not yet been compared with FICC. The report may also be used to review any actions subsequently taken on Uncompared or Advisory Pool Instructs, such as cancels or other status changes.
TMPG Monthly Recap Report Produced on the last business day of each month at the close of business to reflect all TMPG charges for each Pool Obligation that occurred during that month. MBSD calculates and pays/collects a fail charge based on the recommendation of the Treasury Market Practices Group (“TMPG”). Members use this report to balance MBSD generated TMPG charges versus their own internal books and records.
MBSD RTTM Participant Reprice Report Indicates when a factor update has been applied to a SPT trade, and displays the original face of the trade at time of submission to RTTM, the current face and then the final money prior to the factor update and the final money after the factor update has been processed. Members use this report to know when a factor update has been applied to a SPT. This report is particularly useful to members who do not subscribe to SWIFT-based Interactive Messaging, since they will not receive the Reprice Message when a factor update is applied.
POID Conversion Report Produced once daily after the DNA, TBA Reprice and Conversion process and reflects the following SPT trade and allocations converted to POIDs at trade price on the current business day:
  • SPT Trade
  • STIP PID
  • Generic PID
To see an example of the POID Conversion Report while you learn about its use, available formats, layout, header information and sort order, please see the MBS Novation Reports Explained tab on the MBSD Operational Novation Reports page.
POID Factor Update Report A daily, end-of-day report and captures cash differences due to factor updates for POIDs that already settled and have CSD in blackout period. This report allows members to reconcile the money differences based on the factor updates. The report reflects all settled POIDs that incurred settlement value differences due to factor update. To see an example of the POID Factor Update Report while you learn about its use, available formats, layout, header information and sort order, please see the MBS Novation Reports Explained tab on the MBSD Operational Novation Reports page.
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The pdf MBSD Operational MBS RTTM Reports Guide (729 KB) explains the reports produced by the Mortgage-Backed Securities Division of the Fixed Income Clearing Corporation which can be viewed in MBSD Report Center within the MBS RTTM section. It assumes that the reader has a general knowledge of mortgage-backed securities processing.

Which reports are viewable and the order in which they may appear is determined in part by the date (today’s date or a past date) and time of day at which a search is made.

mbs report center mbsrrtm

MBSD Report Center (MBS RTTM [Reports] link highlighted)

Review the table below for a summary of each MBS RTTM report which appears in the MBSD Operational MBS RTTM Reports Guide.

MBS RTTM REPORTS
RTTM Supplemental Purchase and Sale Report Produced at the end of each pass (afternoon or evening pass) on every business date to reflect all trades that have both been compared (also referred to as “matched”) and canceled within a single pass. Members use this report to have a complete audit trail of actions taken on trades entered into the MBSD Clearing system.
Trades Involved in Split / Splice Report Allows Dealers to know which trades were cancelled by RTTM due to split/splice processing and which trades were created by RTTM due to split/splice processing. Although Broker trades are never subject to “split-splice processing,” MBSD will “split” or “splice” Dealer trades when necessary to match Broker trades. Specified Pool Trades and Stipulated Trades are excluded from split/splice processing.
MBS TBS All Rejects Report Produced once daily to allow viewing of transactions that were rejected by the FICC Mortgage-Backed Securities Division.
RTTM Uncompared Trade Report Designed to show uncompared trades and uncompared cancels of previously compared trades resulting from the MBSD trade matching process. Members use this report to view their submitted trades that have not been matched by a counterparty.
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The pdf MBSD Operational Novation Reports Guide (964 KB) explains the reports produced by the Mortgage-Backed Securities Division of the Fixed Income Clearing Corporation pertaining to MBS Novation processing.

The MBSD introduced eight reports coinciding with the launch of MBS Operational Novation. This guide explains the purpose of each report, the formats in which it is available, its report headers and its data elements. A table providing a summary of each MBS novation processing-related report appears on the MBS Novation Report Summaries tab below. Interactive examples of each report may be seen on the MBS Novation Reports Explained tab below in a learning resource of the same name created specifically to be used in tandem with the guide.


Review the table below for a summary of each MBS novation processing-related report which appears in the MBSD Operational Novation Reports Guide.

MBS NOVATION REPORTS
TBA Net Detail Report Displays details about the TBA Net – including SBOD trades included in the TBA Netting process along with corresponding TBA TAP, and resulting SBON obligations versus FICC’s TBA account, FTBA at the system price. Replaced the legacy SBO Summary Report.
DNA Report Captures the DNA requests sent by members. This report allows members to track their DNA activity and reconcile money differences generated by the pair offs.
TBA Trade Reprice and Variance Report Captures the TBA trade reprice activity occurring on SIFMA 24-hour day. This report allows members to reconcile this reprice activity and any associated money differences. In addition, this report provides details on variance par associated with each trade, due to allocations processed in the daily or expanded pool net cycles and the resulting variance TAP.
Expanded Pool Net Detail Report Reflects the detailed results of the expanded pool netting cycle on SIFMA 24-hour day and includes the resulting Expanded Pool Net TAP (EXP) generated.
Expanded Pool Net Summary Report Reflects the summary results of expanded pool netting cycle on SIFMA 24-hour day and includes the resulting Expanded Pool Net TAP (EXP) generated.
POID Factor Update Report Captures cash differences due to factor updates for POIDs that already settled and have CSD in blackout period. This report allows members to reconcile the money differences based on the factor updates.
POID Conversion Report Reflects SPT trade and allocations (STIP and generic TBA) converted to POIDs at trade price on the current business day.
Cash Trade POID Conversion Report Provides details on cash trades (SPT and allocations) converted to POIDs on a real-time basis.

 


The MBSD has introduced eight new reports with the launch of MBS Operational Novation. The MBSD Operational Novation Reports Guide explains the purpose of each report, the formats in which it is available, the report headers and its data elements. Examples of each report may be viewed using the MBS Novation Reports Explained reference tool below. Be sure to take advantage of this online resource to learn more about these eight reports.

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The pdf MBSD Operational Clearing Reports Guide (1.20 MB) explains the reports produced by the Mortgage-Backed Securities Division of the Fixed Income Clearing Corporation pertaining to MBS Clearing processing. It assumes that the reader has a general knowledge of mortgage-backed securities processing.

The reports explained in this guide are those that can be viewed in MBSD Report Center within the MBS Clearing section. Which reports are viewable and the order in which they may appear is determined in part by the date (today’s date or a past date) and time of day at which a search is made.

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MBSD Report Center (MBS Clearing [Reports] link highlighted)

Review the table below for a summary of each MBS Clearing processing-related report which appears in the MBSD Operational Clearing Reports Guide.

MBS CLEARING REPORTS
MBSD Compressed Open Commitment Report (OCR) Produced on every business date to reflect all matched, unsettled (or open) positions on FICC’s books for a given member. Members use the MBSD Compressed OCR to validate and balance their open trades/positions.
PMAT Report Produced every business day after the AM and PM Pass to reflect all partially matched trades. PMAT trades only pertain to brokered trading activity. Members use this report to monitor all PMAT trades where they are the matched dealer on the trade.
Purchase and Sale Report Produced at the end of each pass on every business date. Events appear in the PM version of the P&S only, except for SPT conversion to POID which can appear in AM or PM due to real-time (cash) trade processing. This report is not cumulative. Members use the Purchase and Sale Report to validate and balance their bilaterally compared trades, as well as monitor subsequent updates made to those trades, versus their internal applications.
Unmatched Margin Report Generated for dealers only and reflects the details supporting losses (or margin) associated with Broker submitted unmatched (or PMAT) Broker/Dealer trades that have not been DK’d by the Dealer. Members use the Unmatched Margin Report to view unresolved Broker/Dealer Trade Create transactions that result in an Unmatched P&L Margin Requirement.
DNA Report Produced once daily to allow dealers to track their DNA activity and reconcile settlement value money differences generated by pair-offs. This report shows all DNA requests active in the system or processed/cancelled on the current business day. Members use the DNA Report to reconcile their DNA activity and settlement value differences.
MBSCC/EPN Message Detail Report Displays the details of all EPN messages sent and received. Members may view the report after batch close of business (COB) and end-of-day (EOD) passes. These reports are labeled (respectively) as the MBSCC/EPN Message Detail Report C and the MBSCC/EPN Message Detail Report E.
MBSCC/EPN Message Summary Report Displays summary information for all EPN messages sent and received. Members may view the report after batch close of business (COB) and end-of-day (EOD) passes. These reports are labeled (respectively) as the MBSCC/EPN Message Summary Report C and the MBSCC/EPN Message Summary Report E.
Open Commitment Summary Report Produced on every business date to reflect all matched, unsettled (or open) positions on FICC’s books for a given member. A trade/position will appear on the OCR from the first system pass in which it was matched. Members refer to the Open Commitment Summary Report if they are only interested in overall totals.
TBA Net Detail Report Produced on 72-hour day as prescribed by the SIFMA Calendar and reflects results of TBA Net, which includes SBOD trades into the net, associated TBA TAP and resulting SBON obligations versus FTBA at system price. This report allows members to view the Settlement Balance Order Destined (SBOD) that were designated for TBA netting and the final net TBA settlement obligations designated as Settlement Balance Order (SBON) positions.
Netting Conversion Report Produced on each TBA netting date to notify the unmatched dealer side of a partially matched (PMAT) SBO destined trade that has been converted to a trade-for-trade (TFTD) transaction to facilitate matching. This report notifies the unmatched dealer of any SBOD advisories that have been converted to TFTD advisories.
Cash Settlement Details Report Displays Cash Settlement Detail for a specific participant/aggregate with due date greater than today. The Cash Settlement Detail Report includes the totals for cash obligation items (COIs) that are collected in the daily automated Cash Settlement process. Members use the Cash Settlement Details Report to view a current (or a future) day’s Cash Settlement.
Broker Commission Fees Report Used to view broker/dealer trade detail that determines this month’s commission fee for trades settling in the current month. It becomes available on the last business day of the month during the PM pass.
Dealer Commission Fees Report  Used to view broker/dealer trade detail that determines this month’s commission fee for trades settling in the current month. It becomes available on the last business day of the month during the PM pass. 
TBA Trade Reprice and Variance Report Captures the TBA trade reprice activity occurring on SIFMA 24-hour day. This report allows members to reconcile this reprice activity and any associated money differences. In addition, this report provides details on variance par associated with each trade, due to allocations processed in the daily or expanded pool net cycles and the resulting variance TAP.
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When viewing MBSD Report Center, several links or menus can be seen: MBS Clearing, MBS RTTM, and MBS PoolNet. To help our clients better understand the reports produced in these categories, we have created several report guides which explain the purpose of each report, the formats in which it is available, its report headers and its data elements. For each of the menus in MBSD Report Center, there is an associated guide. In addition, the MBSD Operational Novation Reports Guide specifically details the reports most relevant to MBSD Novation.

MBSD RTTM Report Center

MBSD Report Center Main Menu

Use the links below or their equivalent Learning Center left menu items to learn more and view these guides.

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MBSD Operational Novation Reports

MBSD Operational Clearing Reports

MBSD Operational MBS RTTM Reports

MBSD Operational Pool Net Reports