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MBS Trade Processing and Matching

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Trade processing functions are used to enter transactions, search and view existing transactions, or respond to transactions submitted against your account. RTTM Web offers three methods to initiate these tasks (see Figure 1):

  1. Select a trade processing function from the Transaction Mgmt. > Trade Processing menu (top).
  2. Click a link in the Statistics pane.
  3. Select a quick access link.

Figure 1

Figure 1

RTTM supports the matching of dealer-to-dealer trades and broker-dealer trades (one-sided dealer vs. two-sided broker submission). Before entering any trade, however, you should be familiar with a few key terms regarding trade processing and tracking.

Trade Categories

Transaction ID, Submission ID, Broker Xref, Xref, and Trade ID

Trade State/Matching Status: PMAT and FMAT

Trade Categories

All trade submissions belong to one of the following categories:

  • TBA: Generic To-Be-Announced trades in which the Trade Type can either be SBOD or TFTD (discussed below).
  • SPT: Specified Pool Trades are trades where the pool number and original face are agreed to terms at the time of the trade.
  • STIP: TBA Trade with a Stipulation. STIPs are trades in which there is a stipulation on one or more of the trade terms.

All trade submissions are further categorized into Trade Types:

  • Settlement Balance Order Destined (SBOD): Trades in TBA CUSIPs that are eligible for the TBA Net.
  • Trade-for-Trade (TFTD): TBA/SPT/STIP trades that are not eligible for netting, or when netting is not desired.
  • Option (OPTN): MBS TBA option trades. RTTM compares put and call option trades submitted by members.

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Transaction ID, Submission ID, Broker Xref, Xref, and Trade ID

RTTM employs five tracking numbers to identify and cross-reference your trade submissions. These numbers, generated by the system as well as the participant, can be referenced to view, modify, or cancel specific transactions.

  • Transaction ID (TID): A 10-digit number generated by the RTTM system upon trade acceptance to identify a specific transaction.
  • Submission ID (SID): A 10-digit number generated by the RTTM system upon trade submission to identify a specific transaction. Unlike the transaction ID, a submission ID consists of two sets of digits separated by a dash (e.g., 000196-3604). The digits left of the dash form a unique identifier for your trade; the digits to the right represent the date the trade was entered into the system (Y/M/DD format, 2-digit months are represented by A, B and C).
  • Broker Xref (Brokers Only): The Enter Trade screen includes a field where brokers must enter their own cross-reference. This unique identifier, generated by the broker, can be up to 15 alphanumeric characters, but it cannot be the same as a broker Xref used previously for any transaction on the RTTM system within a given account.
  • Xref (Dealers and Brokers): The Enter Trade screen includes a field where dealers must enter their own cross-reference. This unique identifier, generated by the dealer, can be up to 15 alphanumeric characters, but it cannot be the same as an Xref used previously for any transaction on the RTTM system within a given account. Brokers use the Xref field to assign a unique internal tracking number to a specific Bought From or Sold To side of a trade. The system populates the Xref by systemically adding a B (buy side) or an S (sell side) to the number used for the broker Xref. The system-generated Xref can be overwritten with a custom Xref prior to submission: up to 15 alphanumeric characters + B or S suffix, no special characters.
  • Trade ID: A 10-digit number generated by the RTTM system upon trade matching. The trade ID (e.g., 2350500004) is the key identification for the life of the matched trade  

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Trade Matching Status: PMAT and FMAT

A primary task of the RTTM system is to compare and, upon successful comparison, match trade submissions. There are two levels of matching. A full match occurs if trade terms are in agreement for all parties, and a partial match occurs if only two of the required three submissions for a broker-dealer trade are in agreement.

When both parties of a dealer-to-dealer TBA trade enter trade submissions into RTTM, the trade details are evaluated. If the terms agree, the trade becomes fully matched and receives an FMAT status. An SBOD trade must have an FMAT status to be included in the netting process. 

For a broker-dealer TBA trade to fully match, three trade submissions must be generated, one by the broker and one by each dealer. If a broker and dealer 1 submit matching trade terms, but dealer 2 has yet to enter the opposite side, the first two submissions are assigned a partially matched (PMAT) status. Once dealer 2 enters the opposite side of the trade, and provided that terms agree, all three transactions become fully matched (FMAT).

Upon matching (PMAT or FMAT), the system generates a unique trade ID that is the key identification for the life of the matched trade. An SBOD trade must have an FMAT status to be included in the netting process.

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The Enter Trade function, which varies slightly for Brokers and Dealers, is used to submit new trade details.

Broker Trade Entry

  1. Select Transaction Mgmt > Trade Processing > Enter Trade from the Main Menu (or click the Enter an MBS Trade link on the Welcome screen). The Broker Trade Entry screen is displayed. (See Figure 1.) You must be logged in as a broker and be eligible for trade entry to submit a broker trade. 
    Figure 1Figure 1
  2. All trade processing functions are applied to the currently selected account symbol, so be sure to select the desired account symbol before initiating a function.
    Figure 2Figure 2
  3. Populate the Broker Trade >> Entry fields shown in Figure 2 using the following guidelines and formats. Mandatory input is designated by an asterisk.
    1. TRADE CATEGORIES*:
      • TBA: Generic To-Be-Announced trades in which the Trade Type can either be SBOD or TFTD (discussed below).
      • SPT: Specified Pool Trades are trades where the pool number and original face are agreed to terms at the time of the trade.
      • STIP: TBA Trade with a Stipulation. STIPs are trades in which there is a stipulation on one or more of the trade terms.
    2. TRADE TYPE*:
      • Settlement Balance Order Destined (SBOD): Trades in TBA CUSIPs that are eligible for the TBA Net.
      • Trade-for-Trade (TFTD): TBA/SPT/STIP trades that are not eligible for netting, or when netting is not desired.
    3. PAR*:
      • For specified pool trades, enter the original face value. For TBA and STIP trades, enter the quantity of securities. RTTM® has different minimum, maximum and multiple rules to support the different trade types. The maximum amount the system support is 9,999,999,999. FICC minimum, maximum, and multiple rules are established to be in compliance with Fedwire and SIFMA guidelines as shown below:
        TRADE TYPE MINIMUM PAR MULTIPLE PAR
        SBOD 1,000.00 1.0
        TFTD TBA 1,000.00 1.00
        TFTD SPT 1,000.00* 1.0
        TFTD STIP 1,000.00 1.0
        OPTN 1,000.00 1.0
        *SIFMA guidelines require the original face to be a minimum of 25,000.
      • Use 1M to represent 1,000, 1MM to represent 1,000,000, and 1MMM to represent 1,000,000,000.
    4. TBA CUSIP*: Nine-digit alphanumeric security identifier for TBAs. Enter all nine digits or enter the first seven digits and allow the system to add the settlement month digit and check digit. Click View Desc. for a security description.
    5. PRICE*: (Settlement price or give-up price) The system will accept decimal numbers that are divisible by 1/512 (up to 3 places before the decimal point and up to 9 places after the decimal point). Format: 99.50.
    6. SETTLEMENT DATE*: Scheduled settlement date.
      • SBOD: mm01ccyy, mm00ccyy, or mmxxccyy (xx= any valid day).
      • TFTD: mmddccyy.
    7. BROKER XREF*: Your firm’s unique cross-reference number (up to 15 characters). The system accepts only alphanumeric characters for the broker Xref (no special characters).
    8. TIME OF TRADE: (Optional) Time the trade was executed (24-hour format).
    9. TRADE DATE*: Date a trade was executed. Format: mmddccyy (default is current date).
  1. Populate the Bought From and Sold To panels (see Figure 3):
    Figure 3Figure 3
    1. CONTRA*: Both contras must be identified, the selling dealer (Bought From) and the buying dealer (Sold To). Select the contras' participant account symbols from the dropdown lists (or type the account symbol directly in the field).
    2. COMMISSION RATE: (Optional) Brokers may charge the Dealers with whom they trade a commission. The commission information may be included by the submitting Broker and Dealer upon trade submission to RTTM®. Rate-based commissions must be a decimal amount that is divisible by 1/512 (or 0.001953125). The commission must be greater than 0 but less than or equal to 1.
    3. XREF*: Identifies the individual sides of a trade. The system automatically populates the Xref fields with your broker Xref followed by a "B" or "S" suffix to indicate buy or sell. The system-generated Xref can be overwritten with a custom Xref prior to submission (up to 15 alphanumeric characters, no special characters).
  1. Once all the required fields are populated, click Submit. If the screen is correctly and completely populated, the submission is accepted. If the required data is missing, cannot be validated (e.g., bad commission entered), or does not follow the required format, the system responds with an error or reject message.

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Dealer Trade Entry

  1. Select Transaction Mgmt. > Trade Processing > Enter Trade from the Main Menu (or click the Enter an MBS Trade link on the Welcome screen). The Dealer Trade Entry screen is displayed. (See Figure 4.) You must be logged in to the system as a dealer and be eligible for trade entry to submit a dealer trade.
    Figure 4Figure 4
  2. All trade processing functions are applied to the currently selected account symbol, so be sure to select the desired account symbol before initiating a function. (See Figure 5.)
    Figure 5Figure 5
  3. Populate the trade data using the following guidelines and formats. Mandatory input is designated by an asterisk.
    1. TRADE CATEGORIES*:
      • TBA: Generic To-Be-Announced trades in which the Trade Type can either be SBOD or TFTD (discussed below).
      • SPT: Specified Pool Trades are trades where the pool number and original face are agreed to terms at the time of the trade.
      • STIP: TBA Trade with a Stipulation. STIPs are trades in which there is a stipulation on one or more of the trade terms.
    2. TRADE TYPE*:
      • Settlement Balance Order Destined (SBOD): Trades in TBA CUSIPs that are eligible for the TBA Net.
      • Trade-for-Trade (TFTD): TBA/SPT/STIP trades that are not eligible for netting, or when netting is not desired.
      • Option (OPTN): MBS TBA option trades, RTTM compares put and call option trades submitted by members.
    3. BUY/SELL*: Identify your position in the transaction.
    4. PAR*:
      • For specified pool trades, enter the original face value. For TBA trades, enter the quantity of securities. RTTM® has different minimum, maximum and multiple rules to support the different trade types. The maximum amount the system support is 9,999,999,999. FICC minimum, maximum, and multiple rules are established to be in compliance with Fedwire and SIFMA guidelines as shown below:
        TRADE TYPE MINIMUM PAR MULTIPLE PAR
        SBOD 1,000.00 1.0
        TFTD TBA 1,000.00 1.00
        TFTD SPT 1,000.00* 1.0
        TFTD STIP 1,000.00 1.0
        OPTN 1,000.00 1.0
        *SIFMA guidelines require the original face to be a minimum of 25,000.
      • Use 1M to represent 1,000, 1MM to represent 1,000,000, and 1MMM to represent 1,000,000,000.
    5. TBA CUSIP*: Nine-digit alphanumeric security identifier for TBA CUSIP. Enter all nine digits, or enter the first seven digits and allow the system to add the settlement month digit and check digit. Click View for a security description.
    6. PRICE*: The system will accept decimal numbers that are divisible by 1/512 (up to 3 places before the decimal point and up to 9 places after the decimal point). Format: 99.50.
    7. CONTRA*: Select the contra's participant account symbol from the dropdown list (or type the account symbol directly in the field).
    8. TRADE DATE*: Date the trade was executed. Format: mmddccyy (defaults to current date).
    9. SETTLEMENT DATE*: Scheduled settlement date.
      • SBOD and OPTN: mm01ccyy, mm00ccyy, or mmxxccyy (xx= any valid day).
      • TFTD: mmddccyy.
    10. XREF*: Your firm’s unique cross-reference number (up to 15 characters). The system accepts only alphanumeric characters for Xref (no special characters).
    11. TIME OF TRADE: (Optional) Time the trade was executed (24-hour format).
    12. COMMISSION: (Optional) Brokers may charge the Dealers with whom they trade a commission. The commission information may be included by the submitting Broker and Dealer upon trade submission to RTTM®. Rate-based commissions must be a decimal amount that is divisible by 1/512 (or 0.001953125). The commission must be greater than 0 but less than or equal to 1.

    NOTE: The input fields described below apply only to specified pool trades. Members may identify the pool using a variety of means: 1) pool number and associated TBA CUSIP; 2) pool CUSIP; or 3) pool number and issuer. (See Figure 6.)


    Figure 6

    Figure 6

    1. POOL NUMBER*: The number of the specific pool being delivered.
    2. AGENCY: Select the corresponding issuer for the associated pool. Agencies listed include:
      1. F - FNMA
      2. H - GNMA II
      3. N - GNMA I
      4. R - FHLMC
    3. FINAL MONEY: (Optional) Settlement amount. This field is available for specified pool trades only.
    4. POOL CUSIP: The CUSIP of the specific pool being delivered.

    NOTE: The input fields described below apply only to option trades. (See Figure 7.)


    Figure 7Figure 7

    1. OPTION TYPE*: Call or put. This field is available for option Trades only.
    2. OPTION EXPIRATION DATE*: Date that the option trade expires. Expiry month must be less than or equal to settlement month and greater than trade date. Format: mmddccyy. This field is available for option trades only.
  4. Once all the required fields are populated, click Submit. If the screen is correctly and completely populated, the submission is accepted. If the required data is missing, cannot be validated (e.g., bad commission entered), or does not follow the required format, the system responds with an error message.

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RTTM Web and System Messages

When a transaction is submitted into the RTTM system, an acknowledgement identifying the status of that submission is sent to the submitter. Depending on whether or not the trade input satisfies business rules governing mortgage-backed securities, as well as RTTM system rules, a submission can be accepted, result in an error or be rejected:

  • Accepted: The transaction was successfully entered into the system. (See Figure 8.)

Accept MessageFigure 8

  • Error: When the RTTM Web interface, which is referred to as the front-end, is able to detect an input error, the submission is rejected before being passed to the back-end. Essentially, the submission is never recorded into the transaction database, and as a result, the reject is not reported in your Statistics Panel. Consider this a local error (screen error). (See Figure 9.)

Error MessageFigure 9

  • Reject: The front-end is not able to detect all errors, such as duplicate Xrefs. In this case, the submission is recorded by the back-end, and the invalid condition is recognized during validation. At that point, the trade is rejected by the RTTM system and is displayed in your Statistics Panel. (See Figure 10.)

Reject MessageFigure 10

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Use the View (Action) to display trade details for a specific transaction. The View screen that opens offers a more detailed look at a trade, providing Additional Data and Trade History. Using these options, the trade information provided includes all IDs, submission and comparison dates, and a list of all trade activity (e.g., Modify, Cancel, Affirm).

Working with the View Screen

To work with the View screen, you should first perform a trade search - in our example, we performed a search for a single trade by the XREF number. 

  1. From the Action (Select) drop-down menu, select the View option. (See Figure 1.)

Figure 1Figure 1

  1. The View screen (pop-up) opens. (See Figure 2.)
    Figure 2Figure 2
  2. Clicking the Additional Data button expands the window to reveal additional trade information regarding the transaction being viewed. (See Figure 3.)
    Figure 3Figure 3
  3. Clicking the Trade History button expands the window to reveal additional historical information regarding the transaction being viewed. (See Figure 4.)
    Figure 4Figure 4
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The trade search engine is used to access previously entered transactions and allows you to search for a single or multiple transactions. A single-transaction search identifies a specific tracking ID, and the result is limited to a single transaction. A multiple-transaction search, on the other hand, can be specifically or broadly defined and lists all transactions that satisfy the selected criteria.

The Trade Search Engine screen shows details that depend on whether a Broker or Dealer account has been selected. Whether a Broker or Dealer view of the Trade Search Engine screen is first visible is determinded by your login. Dealer trade entries are single-sided transactions and therefore a single contra field replaces the Bought From and Sold To fields seen on the Trade Search Engine screen for brokers. Also unique for brokers is the availability of the Unbalanced trade state in the Trade State panel. 

Perform a Trade Search

  1. Select Transaction Mgmt > Trade Processing > Trade Search Engine from the main menu (or click the Trade Search Engine link on the Welcome screen). (See Figure 1).
    Figure 1Figure 1

  2. The Dealer Trade Search Engine screen is displayed in our example because we are logged in as a Dealer (see Figure 2). Ensure that the desired account symbol is selected.
    Figure 2Figure 2
  1. Search for single transaction: Select a tracking ID type (Broker Xref, Xref, Submission ID, Transaction ID, or Trade ID) from the dropdown list. Enter the corresponding number in the provided field, then click Submit. There is no need to populate the remainder of the screen (see Figure 2).

Note: If a trade has been split, and a user wants to view the original trade (cancelled state) and the new trades that were created as a result of the split, the user can search by the XREF number. Likewise, if a trade has been spliced, the Trade Inquiry Results screen will display the original trade in a canceled state if the XREF number is used for the search criterion.


  1. Search for multiple transactions: Trade State (in the lower portion of the screen) is the only mandatory criterion for multiple-transaction searches. A Trade State button must be selected. The remaining fields are optional and allow the search to be defined as specifically or broadly as desired.
    1. Several fields include operator dropdowns (=, =) that allow you to search for either a fixed value or a range. For example, a query can be defined to search all transactions that have a price of 100 (= 100) or a price of less than or equal to 100 (<= 100).
    2. When all search criteria are selected, click Submit.

Note: Generating a query result that exceeds the maximum allowable number of records that can be listed will cause an error. Re-define the query using more specific search criteria.


Working with Trade Search Results

Figure 3 shows the results of a search by a dealer for all uncompared TFTD trades with a settlement date greater than or equal to 4/23/2019.

Figure 3

Figure 3

  1. The Action column in the Trade Inquiry Results screen (see Figure 3, item 1) includes a dropdown list for each record. Click the dropdown for the record you want to address, then select an action. 

Note: All business rules governing trade status and the actions that can be taken against a specific transaction still apply (e.g., compared trades cannot be unilaterally canceled). Please note that these same business rules dictate that certain actions are limited to dealers (e.g., broker actions do not include affirm).


  1. Inquiry results can be sorted by column headings. Click a heading to sort trade details by that heading, and click the same heading again to toggle between ascending and descending order.
  2. Only two trades are listed for the query shown in Figure 3, but an Inquiry Results screen can span several pages. When a search generates multiple pages, the screen incorporates navigation links to access the additional pages.
  3. The Trade Inquiry Results screen is dynamically linked to the RTTM system. Click the Refresh link to update the screen with the most recent data.
  4. Click the Open New Window link to launch a second window, allowing simultaneous viewing of multiple screens.
  5. Click the XLS icon to download the results to an Excel spreadsheet.
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Use the Modify function to modify previously entered trades. The data that can be modified is dependent upon Trade Status and the participant's role in the trade.

Trade State

Brokers Can Modify

Dealers Can Modify

Compared Trades

Xref

Xref on your side of the trade.

Uncompared Trades

Brokers cannot Modify uncompared trades; Cancel the trade and submit the correct terms.

Dealers cannot Modify uncompared trades; Cancel the trade and submit the correct terms.

Partially Matched
Trades

Brokers can modify Xref, Contra, and/or Commission on the uncompared side of a PMAT trade.

Only the dealer on the Compared side of a PMAT trade can modify Xref.

Modify Action

Broker Modify

Dealer Modify 

Broker Modify

To work with the Modify screen, you should first perform a trade search - in our example, we performed a search for a single trade using the Trade ID.

  1. From the Action (Select) drop-down menu, select the Modify option. (See Figure 1.)
    Figure 1Figure 1

  2. The Modify screen (pop-up) opens. (See Figure 2.)
    Figure 2Figure 2

  3. Make the desired changes to Xref, Contra, or Commission according to business rules. The system will reject any changes that do not comply. When the changes are complete, click Modify.
  4. A pop-up appears to confirm that if you want to modify the trade you should click OK; if not, you should click Cancel to cancel the modify request. (See Figure 3.)
    Figure 3Figure 3

  5. If you click OK, RTTM Web will generate an Accept, Error or Reject message based on whether or not your requested action passed RTTM Web's system validation checks. For more information about RTTM System messages, see Enter Trades.

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Dealer Modify

Only the Xref on your side of a compared trade can be modified. Uncompared trades cannot be modified - if modification is necessary you must cancel the transaction and resubmit.

  1. Run a Trade Search or click a link on the Welcome screen to display the transaction you want to modify.
  2. Click the Action (select) drop-down menu that corresponds to the transaction being Modified. Click Modify. (See Figure 4.)
    Figure 4Figure 4

  3. The Modify Trade screen is displayed. (See Figure 5.)
    Figure 5Figure 5

  4. Make the desired changes to Xref. The system will reject changes that do not comply.
  5. When the changes are complete, click Modify.
  6. A pop-up appears to confirm that if you want to modify the trade you should click OK; if not, you should click Cancel to cancel the modify request. (See Figure 6.)
    Figure 6Figure 6

  7. If you click OK, RTTM Web will generate an AcceptError or Reject message based on whether or not your requested action passed RTTM Web's system validation checks. (See Figure 7.) For more information about RTTM System messages, see Enter Trades.
    Figure 7Figure 7

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