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MBS EPN

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EPN is intended for all firms that are engaged in the MBS pool allocation and notification process, including broker/dealers, inter-dealer brokers, commercial banks, government sponsored enterprises (GSEs), mortgage originators, insurance companies, investment companies, investment managers/advisors, mutual funds, trust companies, pension funds, international organizations, and organizations that act as principal to the underlying trade and maintain direct FICC accounts. Firms do not have to be members of FICC’s MBS Division clearing services in order to use EPN.

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The Real-Time Trade Matching System (RTTM®) for Mortgage-Backed Securities (MBS) is a product of the Fixed Income Clearing Corporation's (FICC) Mortgage-Backed Securities Division (MBSD). RTTM® is a trade entry/management tool that increases the efficiency of trade operations yet reduces your firm’s overall risk. All activity is validated and matched in real-time. From trade submission to comparison, processing time is reduced to a fraction of what it had taken in the past.

The latest development in the evolution of real-time trade matching is RTTM® Web. This browser-based interface is extremely user-friendly, and its platform independence greatly enhances accessibility. Log in to RTTM® Web from any computer that is equipped with a standard browser (Netscape Navigator®, 6.2.3 or higher; Microsoft Internet Explorer®, 5.5 or higher) and a connection to FICC RTTM® via the DTCC™ SMART network or the SIAC SFTI network.

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Overview

Forty-eight hours prior to settlement, the seller is required to inform the buyer of the specific pools related to a TBA position. EPN supports allocation information and trade details, including trade terms and the securities intended for delivery on settlement date. Obviously, the codes used to identify each security in the pool (e.g., MBS agency, product, coupon and maturity) are identical to those in the MBS Division's clearing system.

EPN users may exchange three different types of business messages to accomplish their notification needs. Two of the message types are for sellers. The other is for buyers. Sellers use the ON (original notification) message type to notify the buyer of an outstanding TBA allocation. Sellers also use the CX (cancel) message to notify a buyer to disregard the terms of a previously sent ON. Buyers use the DK (don't know) message type to notify a seller that they do not concur with the terms of a previously sent ON.

 

Message Types

All EPN messages consist of two parts, a header and a body. The header contains the essential message routing information of the seller and buyer along with the terms of the TBA trade for which the pool information is being provided. The body of the message contains from 1 to 250 pool detail records with the full complement of data necessary to achieve a successful notification.

 

ON Messages

An ON message contains specific information regarding the pools being delivered to satisfy a TBA trade obligation. The message is an official notification of intention to deliver.

Upon receipt of an ON message, EPN performs editing, validation and safe storage. The message is also delivered to the designated recipient. Each ON message (input) must contain an EPN message header that details the trade terms and EPN pool detail that provides information on the pools that will satisfy the trade.

 

DK (Don’t Know) Message

A DK message can be sent in response to an ON/CC message to inform the sender that the information will not satisfy good delivery at settlement. The recipient of the DK message, or the DK'd party, should always be the sender of the ON/CC message to which the DK message applies.

 

CX (Cancel) Message

A CX message notifies the recipient of a previous ON message or a CC message (replacement pools) that the message was sent in error and is being canceled. The sender of the CX message should always be the sender of the ON message to which the CX message applies.

 

Pool Substitution

FICC's MBS division introduced a to simplify the task of canceling a mortgage pool and simultaneously replacing it with another pool. The pool substitution message, the CC message, allows a seller to notify a buyer to disregard the terms of a previously sent ON and to replace those pools with new pool details provided in the message. The new message type streamlines procedures by eliminating the two-message process (canceling with a CX message and sending a new ON submission) when the seller intends to replace an entire pool with a different one.

 

Other EPN messages

EPN also generates a number of responses to the above message types such as acknowledgements of receipt of the message or rejection of the message. It also delivers system generated text messages that provide the member with statuses of events. A full list of these messages can be found in the implementation guide.

 

Batch Reporting

In addition to the real-time reporting of pool notification, which occurs for both CTCI and ESP users, EPN also provides batch reports available in two formats:

  1. Message Detail Report - This includes the details of all messages received and delivered prior to close of business (COB) at 3 p.m., and when messaging closes at end of day (EOD) at 5:30 p.m. on the current day.
  2. Message Summary Report - This provides summary information for all messages received and delivered prior to COB and EOD on the current business day.

 

Both the Message Detail Reports and Message Summary Report provide totals of the day's activity, which can be used to reconcile with user internal totals.

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If you are an EPN only member, there is specific information for you about the MBSD RTTM® system.

Learn how to access the MBSD RTTM® system as an EPN only member

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The Mortgage-Backed Securities Division of the Fixed Income Clearing Corporation, has developed the following set of guidelines regarding several key EPN functions, as well as the usage and ramifications of populating several key fields, including:

  • Submitter/Contra
  • TBA CUSIP
  • Original Trade Par
  • Price
  • Trade Date
  • Delivery Date
  • Sub-Account
  • Special Instructions (Pool Detail)
  • Good Delivery Time-Stamp
  • Lot-ID
  • Original Face Max at the Pool Level
  • Coupon
  • Maturity Date/Issue Date/New Issue Indicator
  • Erroneous DKs
  • GDMMs on a DK
  • Bad Delivery
  • Lot Terminators
  • Valid Dates
  • DK Response Time
  • Multiple Accounts

This section provides specific guidelines for processing messages via FICC's Electronic Pool Notification (EPN) system.  Select the topic you would like to learn about from the menu on the left-hand side of this screen.