净额结算服务

The Mortgage-Backed Securities Division (MBSD) of Fixed Income Clearing Corporation (FICC) provides comprehensive netting and settlement services that address the unique needs of this specialized market.

• About

  MBSD提供的核心结算及结算服务包括:

  • 待公布交易净额(TBA);
  • Pool matching and netting services; and
  • 结算因池净值而产生的池债务.

  MBSD’s combined TBA trade, Do Not Allocate, 和池净额服务减少客户的总体结算义务在两个方面:第一, MBSD将符合条件的TBA交易与FICC建立净结算义务. Second, members can submit Do Not Allocate requests to pair-off open trades and to reduce the positions required to be allocated. 一旦分配池以满足剩余的TBA结算义务, 相关明细已经提交到pool net系统, further netting occurs and net pool settlement obligations are settled by the members versus FICC as a central counterparty (CCP). 这两项净额服务通过以下方式释放资金并降低风险:

  • 大大减少需要实际结算的交易数量;
  • Netting and potentially reducing the number of pools required for delivery; and
  • The results are lower operational costs and minimized fail risk from both a TBA and pool perspective.

• Who Can Use this Service

  MBSD netting and settlement services are intended for MBS trading participants that meet FICC’s membership requirements, 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, the Capped Liquidity Facility (CCLF) ensures that FICC has enough liquidity in place in the event of a default of a major firm. 申请人将根据以下入会标准进行评估:

  • Capital adequacy
  • Operational soundness
  • Financial resources

• Benefits

  MBSD’s netting and settlement services offer customers numerous significant advantages, including:

  • A multilateral TBA netting facility to reduce the overall number of settlements associated with each member’s TBA trading activity, 加上泳池净值服务, 由于证券结算减少，导致会员节省大量资金;
  • A sophisticated accounting system to reconcile delivery variances resulting from netting obligations;
  • Streamlined processing resulting in significant reductions in members’ operating costs and the time and effort required to clear trades;
  • Critical risk management methodologies to reduce counterparty exposure and promote clearing and settlement safety; and
  • 结算与FICC作为CCP结算源于池净值的池净结算义务.

• How the Service Works

  结算余额订单处理和贸易对贸易交易

  MBSD supports the submission of two basic trade types: Settlement Balance Order Destined (SBOD) trades and Trade-for-Trade (TFTD) transactions. SBOD trades are “destined” for the TBA netting process on the scheduled netting day for their associated security class. 提交TFTD事务以在RTTM内进行匹配，但不提交TBA净额.

  For SBOD trades, the TBA netting service reduces the members’ overall TBA settlement obligations by netting trades having certain like trade terms. This reduces the number of trades requiring allocation and settlement and ultimately lowers clearing costs. 对于非净额的TFTD事务, 会员可以按总金额结算个人交易, as originally executed, 对每笔交易进行匹配和比较.

• TBA Netting

  MBSD每月执行四次TBA净额结算过程, 与SIFMA建立的四种主要MBS和解类别相对应. SBO净值和输出时间表可在MBS时间表和时间框架. SBOs established via TBA Netting as well as TBA TFTD trades must be allocated prior to settlement and the corresponding allocated pools are eligible for pool netting. Stipulated TFTD trades must be allocated prior to settlement and the pools will be converted into settlement obligations.

• Trade Allocation

  MBSD交易结算需要卖方分配和分配特定的资金池, 符合证券业金融市场vnsr威尼斯城官网登入(SIFMA)的方差要求, 使用电子汇兑通知书(EPN)系统，向TBA指定交易/义务. This includes TBA obligations established via the TBA netting process as well as obligations resulting from the TFTD trades. Through the allocation process, 卖家告诉买家他们打算结算的池，以满足他们的TBA义务.

• Pool Comparison and Netting

  于2009年9月推行试点服务，并于2012年4月推出, the MBSD CCP Pool Comparison and Netting service was designed to maximize overall savings by reducing the number of pool settlements. Members continue to allocate pools to their TBA obligations via EPN and has the option to submit pool details (in the form of Pool Instructs) via RTTM into the Pool Netting System for bilateral comparison. 如果没有提交池指令, FICC将根据EPN消息中的分配细节强制进行比较.

  Pool Netting gives members have the ability to net pools allocated to TBA obligations stemming from TBA Netting and TBA Trade-for-Trade (TFTD) activity to arrive at a single net position in a particular pool number. 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

  帮助参与者管理他们的清理活动, MBSD issues detailed electronic reports in both machine-readable output (MRO) and print image format. 这些包括但不限于:

  • Purchase and Sale Report: Serves as the sole legal and binding confirmation for compared TBA trades and Specified Pool Trades, 消除交换确认书和承诺书的需要, 加速确认过程，减少错误和/或失败的可能性. 买卖报告也是符合10b-10的交易确认.
  • Open Commitment Report: 这份报告列出了清算公司账簿上所有未结算的交易, 并显示交易从匹配之时起的处置情况, until it is fully settled.
  • Pool Instruct Activity Report: Reflects all activity that either establishes or targets a compared Pool Instruct for the current business day.
  • 共同义务活动报告: Reflects all pool settlement obligations established for the current business date that are to be settled versus FICC as CCP.
  • 待结算池义务报告: This report is produced each day at close of business to reflect all open Pool Obligations (POIDs). 这包括通过当天的池净额结算周期建立的poid, 从以前的净收入周期失败的poid, 和POID转换过程生成的POID. This report provides a comprehensive listing of all the Member’s open settlement obligations with FICC.

• Securities Settlement

  来自MBSD的Pool net服务结算与FICC的所有义务. 基于Fedwire®的支付(DVP)基础. Members are notified of their obligations from Pool Netting the day prior to the scheduled Delivery Date. On Delivery Date, 会员须向, or receive securities from, one of FICC’s designated accounts at its clearing banks in satisfaction of their net pool deliver or net pool receive obligations.

• 自动资金结算

  作为TBA结算余额订单和池净额结算流程的一部分, members can also incur cash obligations— debits or credits—primarily representing the difference between the system prices used to calculate TBA and net pool obligations versus their respective contract and settlement values. 清关差额及其他现金调整，如杂费, 也包括在每个会员的基金(现金)每日结算中.

• For More Information

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