Welcome to the Cross-Business Glossary of DTCC & Industry Terms
This comprehensive glossary provides over 600 terms and acronyms used in post-trade processes at DTCC and the financial services industry.
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Ratio of the collateral value of a financial instrument to the total value of collateral in the client's Primary account at Depository Trust Company (DTC).
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A debt obligation issued by the U.S. Government with a maturity of 10 years upon initial issuance.
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Refers to the day before Contractual Settlement Date in the SIFMA Calendar when pool netting, expanded pool netting, Do-Not Allocate (DNA), TBA reprice, and pool conversion takes place.
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A short-term U.S. government security with a constant maturity period of 3 months.
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Refers to two days prior to Contractual Settlement Date in the SIFMA Calendar, when TBA sellers begin to allocate pools to their open TBA obligations. As members allocate their pools, FICC simultaneously generates pool instructs into the pool netting system. Members have the option to match these pool instructs. 48-Hour day is also when members can begin submitting Do-Not-Allocate (DNA) requests.
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Refers to three days prior to Contractual Settlement Date, when TBA netting takes place, establishing net positions for settlement balance order destined trades (SBOD).
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The American Bankers Association (ABA), founded in 1875, is the largest banking trade association in the United States. It represents banks of all sizes.
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An ABA Routing Number is a 9 digit numeric identifier, devised by the American Bankers Association (ABA), which serves to identify the specific financial institution responsible for payment of a negotiable instrument. An ABA Routing Number will only be issued to a United States federal or state chartered financial institution that is eligible to maintain an account at a Federal Reserve Bank. ABA Routing Numbers are issued by Accuity, which is the official registrar of ABA Routing Numbers.
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An Asset Backed Security (ABS) is a securitized instrument that has underlying assets (usually loans) that are used as collateral. These structured financial products are backed by assets such as student-loans, credit cards, and auto-loan receivables.
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The Automated Customer Account Transfer Service (ACATS) is a system that facilitates the transfer of assets in a customer account from one brokerage firm and/or bank to another.
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An account is a record or statement of transactions relating to a particular period or purpose. Types of accounts may include, but are not limited to, internal accounts, general ledger accounts, vendor accounts, DTCC client accounts, or external client accounts that exist at a servicing agent (e.g. global custodian, clearing broker, depository) in which a client's financial instruments are safekept and maintained.
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An account name is the label name designated for an account.
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An account number is an assigned identifier that represents the account.
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An account transfer event refers to the process of transferring assets in a customer's account from one brokerage firm or bank to another.
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An accounting transaction is an event that has an impact on an entity’s financial records and is recorded to an account.
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Accretion indicates the accumulation of capital gains on discount bonds with the expectation that the securities will be redeemed at maturity.
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Accrued Interest is the amount of interest that has accrued since the last interest payment date on a debt financial instrument, and up to but not including the settlement date of the trade.
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The Automated Clearing House (ACH), network is an electronic funds-transfer system run by NACHA, formerly the National Automated Clearing House Association, since 1974. This payment system provides ACH transactions for use with payroll, direct deposit, tax refunds, consumer bills, tax payments, and many more payment services in the United States.
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An additional account is any account, other than the primary account, which is tied to the client's agreement. An additional account is sometimes referred to as a subaccount.
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An American Depositary Receipt (ADR) is a negotiable U.S. certificate representing ownership of shares in a non-U.S. corporation. ADRs are quoted and traded in U.S. dollars in the U.S. securities market; the associated dividends are paid to investors in U.S. dollars as well. ADRs were specifically designed to facilitate the purchase, holding, and sale of non-U.S. securities by U.S. investors as well as providing a corporate finance vehicle for non-U.S. issuers.
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Submissions made against a member by its counterparty.
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Affiliated Family means a group of Members, excluding from the group any Member that is a securities clearinghouse, depository, exchange or other market infrastructure, in which each Member in the group is an Affiliate of at least one other Member in the group.
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An action used by a dealer to match a Trade Create, a cancel with an UMT (unmatched) status. Use of this action by a broker is limited to a cancel with a UMT (unmatched) status.
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The Automated Financial Reporting System (AFRS) is a database tool providing flexible reporting and analysis of participants and applicants monthly autofocus financial statements.
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An Agent is the Legal Entity that has been legally empowered to act on behalf of another Legal Entity.
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A two-character alpha-numeric or numeric identifier that links one or more accounts to each other within the same participant for purposes of consolidating Cash-Only Settlement and Clearing Fund Requirements.
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The ALERT Key Auto Select (AKAS), functionality enables rules-based enrichment of Central Trade Manager (CTM), trades with preferred standing settlement instructions (SSIs), sourced from the ALERT platform. AKAS uses trade information to derive country and security type for a transaction, and determines the default depository. Clients have the ability to override default choices and indicate settlement location preferences, enabling settlements for each security type and geography to be made into and out of a single preferred depository for each account.
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The ALERT Key Auto Select (AKAS), functionality enables rules-based enrichment of Central Trade Manager (CTM), trades with preferred standing settlement instructions (SSIs), sourced from the ALERT platform. AKAS uses trade information to derive country and security type for a transaction, and determines the default depository. Clients have the ability to override default choices and indicate settlement location preferences, enabling settlements for each security type and geography to be made into and out of a single preferred depository for each account.
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The American Bankers Association (ABA), founded in 1875, is the largest banking trade association in the United States. It represents banks of all sizes.
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An American Depositary Receipt (ADR) is a negotiable U.S. certificate representing ownership of shares in a non-U.S. corporation. ADRs are quoted and traded in U.S. dollars in the U.S. securities market; the associated dividends are paid to investors in U.S. dollars as well. ADRs were specifically designed to facilitate the purchase, holding, and sale of non-U.S. securities by U.S. investors as well as providing a corporate finance vehicle for non-U.S. issuers.
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Anti-Money Laundering (AML) refers to any policies, procedures, legislation, and regulations intended to prevent criminals from disguising illegally obtained funds generated by criminal activity, such as drug trafficking or terrorist funding, that appears to have come from a legitimate source. AML laws require that financial institutions perform Customer Due Diligence (CDD) and Know Your Customer (KYC) activities, in conjunction with transaction monitoring, and report any potentially suspicious activity they detect to relevant regulators.
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The annual percentage rate (APR) refers to the annual rate of interest charged to borrowers and paid to investors. APR is expressed as a percentage that represents the actual yearly cost of funds over the term of a loan or income earned on an investment. This includes any fees or additional costs associated with the transaction, but it does not take compounding into account.
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The annual percentage yield (APY) is the real rate of return earned on a savings deposit or investment taking into account the effect of compounding interest.
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Anti-Money Laundering (AML) refers to any policies, procedures, legislation, and regulations intended to prevent criminals from disguising illegally obtained funds generated by criminal activity, such as drug trafficking or terrorist funding, that appears to have come from a legitimate source. AML laws require that financial institutions perform Customer Due Diligence (CDD) and Know Your Customer (KYC) activities, in conjunction with transaction monitoring, and report any potentially suspicious activity they detect to relevant regulators.
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Identifies any additional terms that have the same or similar meaning to the term being defined.
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The annual percentage rate (APR) refers to the annual rate of interest charged to borrowers and paid to investors. APR is expressed as a percentage that represents the actual yearly cost of funds over the term of a loan or income earned on an investment. This includes any fees or additional costs associated with the transaction, but it does not take compounding into account.
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The annual percentage yield (APY) is the real rate of return earned on a savings deposit or investment taking into account the effect of compounding interest.
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An Asset Backed Security (ABS) is a securitized instrument that has underlying assets (usually loans) that are used as collateral. These structured financial products are backed by assets such as student-loans, credit cards, and auto-loan receivables.
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A measure that identifies the balance sheet items which are owned by the Financial Institution, have monetary value and can be converted to cash. The total value of a firm's assets is always equal to the combined value of its "equity" and "liabilities".
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One of the major parties at the center of the creation and redemption process for exchange-traded funds (ETF).
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The Automated Clearing House (ACH), network is an electronic funds-transfer system run by NACHA, formerly the National Automated Clearing House Association, since 1974. This payment system provides ACH transactions for use with payroll, direct deposit, tax refunds, consumer bills, tax payments, and many more payment services in the United States.
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The Automated Customer Account Transfer Service (ACATS) is a system that facilitates the transfer of assets in a customer account from one brokerage firm and/or bank to another.
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The Automated Financial Reporting System (AFRS) is a database tool providing flexible reporting and analysis of participants and applicants monthly autofocus financial statements.
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Build America Bonds (BAB), established as part of the American Recovery and Reinvestment Act of 2009, are two types of taxable government bonds with Federal subsidies for a portion of their borrowing costs.
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Type of EPN lot terminator used when an allocation and/or pool substitution are not in compliance with SIFMA’s Good Delivery Guidelines.
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A Balance Order is a trade settlement instruction generated for a Non-CNS eligible security. A Deliver Balance Order is issued to a firm that is a net seller of securities. Conversely, a Receive Balance Order is issued to a firm that is a net buyer of securities.
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Balance Order Netting is a Trade Netting accounting operation for securities that are not CNS eligible, where trades are netted on either a bilateral and multilateral basis.
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Business as usual (BAU), is the normal execution of standard functional operations within an organization.
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A beneficial owner is an investor who owns a security even though the title is held in the nominee name, which is also known as the street name of a central securities depositor (i.e. DTC). The beneficial owner receives the dividends or interest the security pays, has the right to sell the security, and, in the case of stock, is entitled to vote on certain corporate matters.
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Book-Entry Only (BEO) is the accounting system that enables DTC to transfer ownership records for securities held in its nominee name of Cede & Co. electronically from the selling broker’s account to the buying broker’s accounting when the transaction is settled. With book-entry accounting, no physical securities change hands.
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The beta (β) of an investment is a measure of the risk arising from exposure to general market movements as opposed to idiosyncratic factors. It provides information on the risk for a CUSIP- Market price history compared to the individual price of the CUSIP. If it is greater than 1 then it is more riskier with market.
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A Business Identifier Code (BIC) (formerly known as a Bank Identifier Code), is the International ISO standard ISO 9362:2014. This standard specifies the elements and structure of a universal identifier code for financial and non-financial institutions, for which such an international identifier is required to facilitate automated processing of information. The BIC is used for addressing messages, routing business transactions and identifying business parties. It is an 8 character code, consisting of the business party prefix (4 alphanumeric), the country code as defined in ISO 3166-1 (2 alphabetic), and the business party suffix (2 alphanumeric).
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Bid-Ask Charge is calculated based on the gross market value of a portfolio's position in each of the four asset tiers as: Large & Mid (Tier 1), Small Cap (Tier 2) , Micro Cap (Tier 3) and ETP (Tier 4).
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A bid-ask spread is the amount by which the ask price exceeds the bid price for an asset in the market.
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A type of EPN lot terminator used for certain STIP allocations and/or pool substitutions in which FICC does not validate against the SIFMA Good Delivery Guidelines.
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A special charge for GSD members with GCF long positions during the blackout period, which is usually the first week of the month. The blackout can range from the first 5 to 10 days of the month.
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Captures exposure to GSD and GCF Repo participants of the potential overvaluation of MBS Collateral in GCF Repos during the Blackout Period. An adjustment to Clearing Fund Requirements is made based on MBS positions in Member’s GCF portfolios during the Blackout Period. The Blackout Period Exposure would be calculated as an amount equal to the projected average pay-down rate of MBS pools of GCF repo transactions multiplied by the total market value of the applicable mortgage backed securities. The adjustment is made during the Blackout Period, which is the first 5 to 7 business days each month. The amount applied would be either a charge calculated as part of a GCF Repo Participant’s Required Fund Deposit amount, or a credit that would reduce Participant’s Required Fund Deposit amount if on the Reverse Repo side of GCF repo transaction.
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A bond is a debt security that obligates the issuer to pay the holder interest during the term of the bond, with some exceptions, and the principal at or before maturity.
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Book-Entry Only (BEO) is the accounting system that enables DTC to transfer ownership records for securities held in its nominee name of Cede & Co. electronically from the selling broker’s account to the buying broker’s accounting when the transaction is settled. With book-entry accounting, no physical securities change hands.
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A Broker Matching Group (BRMG) is a group of executing broker/dealers you define to simplify the matching process. They consist of broker organizations that are all linked. When an investment manager alleges a trade, matching can occur with any broker/dealer within the broker matching group.
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A Member that is in the business of buying and selling securities as agent on behalf of Dealers.
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Account maintained by any participant for trades that it executes as an inter-dealer broker (or agent) on behalf of and between two dealers.
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Commissions associated with brokered trades matched through MBSD. Such commissions are collected monthly through the Cash Only Settlement on Class B Payable.
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A Broker Matching Group (BRMG) is a group of executing broker/dealers you define to simplify the matching process. They consist of broker organizations that are all linked. When an investment manager alleges a trade, matching can occur with any broker/dealer within the broker matching group.
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Broker-assigned internal identifier that links the buy and sell sides of a broker trade (used for balancing purposes).
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Build America Bonds (BAB), established as part of the American Recovery and Reinvestment Act of 2009, are two types of taxable government bonds with Federal subsidies for a portion of their borrowing costs.
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Business as usual (BAU), is the normal execution of standard functional operations within an organization.
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A Business Identifier Code (BIC) (formerly known as a Bank Identifier Code), is the International ISO standard ISO 9362:2014. This standard specifies the elements and structure of a universal identifier code for financial and non-financial institutions, for which such an international identifier is required to facilitate automated processing of information. The BIC is used for addressing messages, routing business transactions and identifying business parties. It is an 8 character code, consisting of the business party prefix (4 alphanumeric), the country code as defined in ISO 3166-1 (2 alphabetic), and the business party suffix (2 alphanumeric).
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Business Metadata is a category of metadata that serves to provide additional information or context about other data from a business perspective.
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Indicator of a buy or sell.
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Buy/Sell transactions represent securities such as treasuries, notes, and bonds which are purchased in exchange for funds.
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A Corporate Action (CA) is an event that may impact the value of a company’s securities and generally has a direct or indirect effect on its shareholders and bondholders. Among the range of possible corporate actions include dividend or interest payments, stock splits, tender offers, rights offerings, securities conversions, warrants, and corporate reorganizations.
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A call feature indicates whether a bond issuer has the right, but not the obligation, to buy back the bond at a particular time for a particular price.
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Canadian Depository for Securities (CDS) is Canada's national securities clearing, settlement and depository organization, working to continually improve Canadian capital market efficiency by providing cost-effective services to its clients - banks, brokers, trust companies and other financial industry members. CDS links electronically with NSCC/DTC in the US and has custodial links with Euroclear and Japan Securities Settlement & Custody, INC. (JSSC).
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Action taken targeting a previously matched trade to cancel the trade. Cancels require both contra-sides to submit matching cancellation terms.
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Action taken targeting an unmatched or uncompared trade to cancel the trade.
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A rules-based committed liquid facility designed to help ensure that FICC/GSD and FICC/ MBSD maintain sufficient liquid financial resources to meet their cash settlement obligations in the event of a default of the Affiliated Family to which FICC/GSD and FICC/GSD and FICC/MBSD have the largest exposure.
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A committed facility for GSD and MBSD (calculated individually) that is available as a liquidity resource. The CCLF is comprised of participant allocations derived based on observed settlement activity during a given look-back period.
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Each participant's assigned CCLF obligation of the overall GSD or MBSD facilities.
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Cash includes money a Financial Institution holds and money deposited with Financial Institutions that can be withdrawn without notice. Cash equivalents are defined as short-term, highly liquid investments that are readily convertible to known amounts of cash and which are subject to an insignificant risk of changes in value (International Financial Reporting Standard IAS7.6) (International Financial Reporting Standard: IAS 1 68 i).
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A cash movement is a transaction that involves the payment of cash between two accounts (or two parties).
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A Cash Obligation Item (COI) is Cash-only receivables/payables that have been assigned a due date and collected via Cash Settlement.
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Refers to the payment each Business Day by the Corporation to a Member or by a Member to the Corporation.
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A report/list that summarizes a participant’s cash obligations by due date.
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The Cost Basis Reporting Service (CBRS) is an automated system that gives financial firms the ability to transfer customer cost basis information from one firm to another on any asset transfer. It mitigates extra paper trails, extra charges, and operational risk, and extends its service to transfer agents, issuers, mutual funds, custodian banks, and broker/dealers.
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A central counterparty (CCP) is an entity that interposes itself as the buyer to every seller and the seller to every buyer to guarantee that a trade will eventually settle even if the original buyer or seller defaults. The goal of a CCP is to make trade processing easier, cheaper and less risky for all parties. National Securities Clearing Corporation (NSCC) and Fixed Income Clearing Corporation (FICC) provide CCP services.
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A Certificate of Deposit (CD), is a short-term negotiable debt security issued by a bank with a maturity ranging from weeks to several years. Interest rates are determined by several factors, including but not limited to: the CDs terms, the type of CD, current benchmark interest rates and the financial institution offering the CD. CD also refers to non-negotiable bank savings deposits with specified maturities.
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Customer Due Diligence (CDD) is a required component to meeting Know You Customer (KYC) program requirements; both CDD and KYC policies are cornerstones of an effective AML program. In practice, CDD is the process where pertinent information of a customer’s profile is collected, verified, and evaluated for potential money laundering or terrorist financing risks before being onboarded.
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A Customer Delivery Request (CDR) is an instruction submitted by a buyer or seller to preclude pool instruct(s) from being operationally netted (i.e., offset by other non-CDRed pool instructs having the same trade terms). While a CDR precludes a pool instruct from operational netting, if the underlying pool number/CUSIP submitted on the pool instruct meets the selection criteria for inclusion in pool netting, the resulting obligation will settle versus FICC. CDRs may be submitted at the individual pool instruct level at the time of submission, or post-submission via messaging or via the WFE function. CDRs may also be submitted globally, at either the TBA CUSIP level or pool number level (meaning that all pool instructs active in the system corresponding to the TBA CUSIP or pool number will be placed in CDR status.)
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CDS can refer to: (1) Canadian Depository for Securities (CDS) is Canada's national securities clearing, settlement and depository organization, working to continually improve Canadian capital market efficiency by providing cost-effective services to its clients - banks, brokers, trust companies and other financial industry members. CDS links electronically with NSCC/DTC in the US and has custodial links with Euroclear and Japan Securities Settlement & Custody, INC. (JSSC); (2) A Credit Default Swap (CDS) is a financial derivative product that allows a buyer/investor to swap or offset their credit risk with that of another investor. The seller of the CDS will compensate the buyer in the event of a debt default or other credit event. That is, the seller of the CDS insures the buyer against some reference asset from defaulting.
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Cede & Co. (CEDE) is the DTC nominee name to register securities. DTC holds them as record owner and the client is still the beneficial, actual owner of the securities.
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Cede & Co. (CEDE) is the DTC nominee name to register securities. DTC holds them as record owner and the client is still the beneficial, actual owner of the securities.
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A central counterparty (CCP) is an entity that interposes itself as the buyer to every seller and the seller to every buyer for all eligible securities to guarantee trades through the risk margining process. The goal of a CCP is to reduce risk and cost for clients, while ensuring safety and reliability in the marketplace. National Securities Clearing Corporation (NSCC) and Fixed Income Clearing Corporation (FICC) provide CCP services.
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The Central Index Key (CIK), is used as a unique identifier for financial filings with the Security and Exchange Commission of the USA.
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A Central Securities Depository (CSD) is an organization that has custody of immobilized securities issued in certificate form and dematerialized securities issued in electronic rather than certificate form. A CSD provides a portfolio of services relating to those securities on behalf of its participants.
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The Central Trade Manager (CTM), is a platform for the central matching of cross-border and domestic transactions. CTM automates the trade confirmation process across multiple asset classes, such as equities, fixed income and repurchase agreements (repos). The CTM solution provides seamless connectivity from trade execution to settlement, including direct connectivity via the Financial Information eXchange (FIX), from front office to middle office trade processing, as well as via the Society for Worldwide Interbank Financial Telecommunications (SWIFT), network to a full community of custodian banks for the purposes of settlement notification. When used in conjunction with ALERT, the user can automatically enrich trades with account and Standing Settlement Instructions (SSI), ensuring all account information is accurate.
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A certificate is the physical piece of paper representing ownership in a financial instrument, such as an equity (stock). As an example, stock certificates will include information such as the number of shares owned, the date, an identification number, and usually a corporate seal and signature.
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A certificate denomination change is the consolidation or splitting out of a position so that its physical certificates are exchanged for those of a different face value amount. This is accomplished via transfer(s) to and/or from the transfer agent.
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A certificate deposit represents a movement of a specific quantity of a single financial instrument from a client (or other institution acting on their behalf) to a client position.
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A Certificate of Deposit (CD), is a short-term negotiable debt security issued by a bank with a maturity ranging from weeks to several years. Interest rates are determined by several factors, including but not limited to: the CDs terms, the type of CD, current benchmark interest rates and the financial institution offering the CD. CD also refers to non-negotiable bank savings deposits with specified maturities.
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Certificate on Demand (COD) is a withdrawal option, participant request the certificate then DTC removes a certificate registered to its nominee Cede & Co. from its vault, endorses the certificate, stamps the participant’s name as power of attorney, and sends the certificate to the requesting participant.
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Certificate type identifies the method by which the certificate will be exercised, Book Entry Only (BEO) , Registered, Bearer, Interchangeable or Dematerialized.
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Common Equity Tier 1 (CET1) is a component of Tier 1 capital that is mostly common stock held by a bank or other financial institution.
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The Commodity Futures Trading Commission (CFTC) a government agency that regulates the U.S. derivatives markets, which includes futures, swaps, and certain kinds of options.
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The Chicago Mercantile Exchange (CME) provides an offset to the Total Clearing Fund Requirement. CME acts as the clearing organization for certain futures contracts and options on futures contracts that are traded on the CME and the Chicago Board of Trade (CBOT). FICC established a Cross-Margining arrangement in order to cross-margin products whose price volatility is sufficiently closely correlated that long and short positions in such products offset one another to some degree for the purpose of determining margin requirements.
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A Chill is a systemic way DTC can prohibit participants from processing certain activities (e. g., a valued delivery chill will prevent you from making valued deliveries from your account).
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A Compared Pool ID (CID) includes a FICC-assigned unique ID for a pair of matched PIDs. Each matched pool instruct record will have a PID identifying the submitter's pool instruct and a CID identifying the set of matched submissions.
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The Central Index Key (CIK), is used as a unique identifier for financial filings with the Security and Exchange Commission of the USA.
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Committee On Uniform Security Identification Procedures (CUSIP) International Number (CINS), is a nine-character alphanumeric code, assigned by Standard and Poor's CUSIP bureau.
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Clearance (or Clearing) is one step in the post-trade process that finalizes the transfer of security ownership. It includes confirming the details of the transaction and, when a central counterparty such as NSCC is involved, trades are guaranteed through NSCC’s risk margining process.
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The date on which the parties to a Transaction actually deliver and pay for Eligible Securities as reported to the Corporation, which may be a date other than the Contractual Settlement Date.
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Clearance (or Clearing) is one step in the post-trade process that finalizes the transfer of security ownership. It includes confirming the details of the transaction and, when a central counterparty such as NSCC is involved, trades are guaranteed through NSCC’s risk margining process.
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A clearing agency is broadly defined under Section 3(a)(23)(A) of the Securities Exchange Act of 1934. Clearing Agencies undertake a variety of functions. Two common functions of registered clearing agencies are the functions of a central counterparty or a central securities depository.
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Clearing Agent Bank is a member of the Federal Reserve System that is regularly engaged in the business of providing clearing services in Eligible Securities for Members and that has agreed to provide the Corporation (FICC), upon request, under mutually agreeable terms, with clearing services.
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A Clearing Broker provides trade execution and clearing services for investors by acting as a liaison between the investor and the appropriate clearing corporation for the instrument that is traded. After executing the trade, the clearing broker ensures that the trade is cleared and settled successfully.
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A clearing fund is made up of posted margin and operates as a default fund to cover any losses resulting from liquidation of the defaulting Member’s open guaranteed obligations.
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A cash deposit to fulfill the clearing fund requirement.
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A clearing fund deposit is a payment of cash and/or securities required for each member (either initial or ongoing) to meet the clearing fund requirement (to cover the amount of potential loss incurred if it defaults).
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The difference between the Required Clearing Fund and Clearing Fund Deposit.
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A combination of cash, U.S. Treasury securities, government agency securities and mortgage-backed securities issued by government agencies or entities sponsored by the federal government that participants currently have on deposit at DTCC, which is considered as available liquidity resources if a firm were to default.
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A clearing fund substitution occurs when members are permitted to substitute clearing fund collateral during the day. Substitutions may be in eligible securities of equivalent value or cash.
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A clearing fund withdrawal is a return of excess collateral (cash and/or securities) from the clearing fund to a netting member.
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At DTCC, a client is a legal entity that has executed an agreement or contract to purchase or use the products and/or services offered by a DTCC subsidiary or joint venture.
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Client Access Authorization Code, or O-Code, is a DTCC assigned unique identifier for a client organization that is used to authorize client access to client data. It can be present on one or multiple accounts under an organization, and is used to group access to underlying accounts.
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Close of Business (COB), is an abbreviation used in business to emphasize the time by which something should be done.
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Closing is the process responsible for ensuring that the lead underwriter's participant account is credited on settlement date with the position for the new issue. When an issuer or its agent and the underwriter call the Closing area to confirm that the issue has closed and verifies pertinent data, the Closing area releases the position from an internal DTC account and credits the lead underwriter's participant account, provided that DTC received the certificates or that the FAST balance was approved.
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The Chicago Mercantile Exchange (CME)Provides an offset to the Total Clearing Fund Requirement. CME acts as the clearing organization for certain futures contracts and options on futures contracts that are traded on the CME and the Chicago Board of Trade (CBOT). FICC established a Cross-Margining arrangement in order to cross-margin products whose price volatility is sufficiently closely correlated that long and short positions in such products offset one another to some degree for the purpose of determining margin requirements.
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A Collateralized Mortgage Obligation (CMO), refers to a type of mortgage-backed security that contains a pool of mortgages bundled together and sold as an investment. Organized by maturity and level of risk, CMOs receive cash flows as borrowers repay the mortgages that act as collateral on these securities. In turn, CMOs distribute principal and interest payments to their investors based on predetermined rules and agreements.
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A Compared Pending Pool Aid (CMP) is the status of pool instructs that have been matched to counterparty submissions but are pending pool add in the system because there is insufficient pool information on FICC's records (due to a factor not being on FICC's masterfiles, for example).
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The Corporate, Municipal, and UIT (CMU) system provides all of its customers with RTTM - a single pipeline, a common processing platform, and a standardized message format for the U.S. fixed income markets.
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The CNS system is the core netting, allotting, and fail-control engine of NSCC. Within CNS, each security is netted to one position per participant, with NSCC as its central counterparty (novation).
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CNS Fails are positions that did not settle on Settlement Date. A long fail position represents the quantity owed to the Member by CNS (the Member's fail-to-receive). A short fail position represents the quantity owed to CNS by the Member (the Member's fail-to-deliver). Based on CNS Fails, a member might incur a CNS Fails charge which is a component of the members total clearing fund requirement.
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The CNS system is the core netting, allotting, and fail-control engine of NSCC. Within CNS, each security is netted to one position per participant, with NSCC as its central counterparty (novation).
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Close of Business (COB), is an abbreviation used in business to emphasize the time by which something should be done.
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Certificate on Demand (COD) is a withdrawal option, participant request the certificate then DTC removes a certificate registered to its nominee Cede & Co. from its vault, endorses the certificate, stamps the participant’s name as power of attorney, and sends the certificate to the requesting participant.
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A Cash Obligation Item (COI) is Cash-only receivables/payables that have been assigned a due date and collected via Cash Settlement.
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Collateral is an asset of value that a borrower pledges to secure a loan from a lender. This asset can be seized or sold in order to pay the lender if the borrower defaults on the loan.
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This event refers to adjustments made to a member's collateral balance (not its positions) based on the classification of securities as either collateral Net Additions (NA) or non-collateral Minimum Amount (MA). Subject to risk management controls.
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DTC's back testing measures the sufficiency of the collateral haircuts that are applied to securities being utilized as collateral at DTC. The back test process calculates, based on historical prices and position data, the historical performance of the Collateral Monitor and haircuts for a detemined period of history - typically 1 month and 12 month performance.
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Collateral deposits are payments made by members into their DTC account to serve as collateral against settlement obligations.
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A group of DTC accounts belonging to the same Participant or Family that share a single Collateral Monitor and Net Debit Cap.
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A number used to identify a Collateral Group at Depository Trust Company (DTC). If a participant has multiple DTC accounts, the Participant can group them into Collateral Groups (families) and instruct DTC to allocate a specified portion of Participant's collateral and Net Debit Cap to each Collateral Group (family) of accounts.
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The name used to identify a collateral group at Depository Trust Company (DTC). If a participant has multiple DTC accounts, the Participant can group them into Collateral Groups (families) and instruct DTC to allocate a specified portion of Participant's collateral and Net Debit Cap to each Collateral Group (family) of accounts.
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A Collateral Loan is a DTC Transaction type which allows a pledgor to pledge securities for free or versus money as collateral for a loan to pledgee banks.
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DTC's process for measuring the sufficiency of the collateral in a Participant's account to cover its net settlement obligation.
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A collateral pledge allows a member to allocate securites in an account as collateral against a loan or for other purposes.
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DTC collateral stress tests are performed on both collateral values and the Collateral Monitor. Collateral market values are stressed under historical and hypothetical stressed market moves. The collateral value test compares the stressed collateral market value with the collateral haircut of each security, and determines if the difference is sufficient. The Collateral Monitor test considers each Participant's total Collateral Monitor value computed from the stressed collateral market value and determines if it is still sufficient.
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The market value of a security minus the collateral haircut. The market value is determined by multiplying the price of the security by security position. This value with the haircut percentage rate removed represents the collateral value.
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A collateral withdrawal is a payment made to a member from their collateral balance. A collateral withdrawal can be requested for any unencumbered funds (funds not supporting a debit balance) at any time throughout the day.
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A Collateralized Mortgage Obligation (CMO), refers to a type of mortgage-backed security that contains a pool of mortgages bundled together and sold as an investment. Organized by maturity and level of risk, CMOs receive cash flows as borrowers repay the mortgages that act as collateral on these securities. In turn, CMOs distribute principal and interest payments to their investors based on predetermined rules and agreements.
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A field displayed when a pool instruct is rejected and reflects the attempted action taken by the submitting member.
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Commercial Paper (CP), identifies a note that involves a negotiable, short-term, unsecured commitment issued by credit worthy institutions. An unsecured, short-term debt instrument issued by a corporation, specifically DTCC, which can be used as a liquidity resource.
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A report that itemizes all commission fees owed to a broker by a dealer.
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Identifies a Credit Facility where the Customer is allowed a predetermined limit and may borrow as much as the "line" as required until the limit is reached. The borrower pays interest on the borrowed portion only with repayments linked to the amount of credit in use. As the outstanding credit amount is repaid the amount of credit available increases up to the original limit; for example, an overdraft on a current account, a commercial Line of Credit, a revolving Line of Credit.
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Committee on Uniform Security Identification Procedures (CUSIP) commonly refers to a security or family of securities issued after 1970. Each security or family of securities is identified by a nine-digit unique number called a CUSIP number. Do not use “CUSIP” to mean “issue” or “security”.
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Committee On Uniform Security Identification Procedures (CUSIP) International Number (CINS), is a nine-character alphanumeric code, assigned by Standard and Poor's CUSIP bureau.
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The Commodity Futures Trading Commission (CFTC) a government agency that regulates the U.S. derivatives markets, which includes futures, swaps, and certain kinds of options.
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Common Equity Tier 1 (CET1) is a component of Tier 1 capital that is mostly common stock held by a bank or other financial institution.
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The tier 1 capital ratio measures a bank’s core equity capital against its total risk-weighted assets.
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A Compared Pending Pool Aid (CMP) is the status of pool instructs that have been matched to counterparty submissions but are pending pool add in the system because there is insufficient pool information on FICC's records (due to a factor not being on FICC's masterfiles, for example).
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A Compared Pool ID (CID) includes a FICC-assigned unique ID for a pair of matched PIDs. Each matched pool instruct record will have a PID identifying the submitter's pool instruct and a CID identifying the set of matched submissions.
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A trade the data on which has been compared or deemed compared by the Corporation.
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A finance term referring to the construction cost of fixed assets, tangible and non-tangible (Primarily IDS) prior to completion. Upon completion the asset will be placed in service.
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The Consumer Price Index (CPI) is a measure that examines the weighted average of prices of a basket of consumer goods and services, such as transportation, food, and medical care. It is calculated by taking price changes for each item in the predetermined basket of goods and averaging them.
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Unique account identifier of a submitter’s counterparty. The Contra ID is the same format as the Account ID.
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A Contractual Settlement Date (CSD) is the contractual date on which bonds are scheduled to settle. A trade has a contractual settlement date (the scheduled settlement date) and an actual settlement date (when securities move versus payment). If a trade fails to settle on its CSD, it will fail until the actual settlement date.
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A Corporate Action (CA) is an event that may impact the value of a company’s securities and generally has a direct or indirect effect on its shareholders and bondholders. Among the range of possible corporate actions include dividend or interest payments, stock splits, tender offers, rights offerings, securities conversions, warrants, and corporate reorganizations.
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A corporate action adjustment is an event that involves the ingestion, validation, and processing of a reversal, modification, fail tracking, Stock loan or Reop of a distribution, redemption or reorganization event for a corporate action.
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The process that informs the settlement process to move cash and/or securities into or out of client accounts.
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A corporate action claim is a formal request by a shareholder to an institution to charge another institution or shareholder for compensation related to trading activity.
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A Distribution Event is an allocation of cash, securities or combination thereof to holders on the company’s books and records (i.e. The Record Date). Covered events can include but is not limited to Interest Payments, Dividend payments, and Stock Splits. Surrender of shares is not necessary to receive the Distribution entitlements.
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A corporate action entitlement is cash, securities, or a combination thereof calculated as part of a Corporate Action event and disbursed to holders.
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When a company issues debt in the form of securities to raise capital, there can be mandatory provisions embedded into the structure of the security that require holders to sell back all or a portion of the securities to the company. These mandatory buyback events are Redemptions. Covered events can include but are not limited to Full Call, Partial Call and Maturity. Surrender of shares is required.
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A Reorganization event is a type of corporate action, which involves a change in the structure or ownership of a legal entity or a change to the structure of a legal entity's assets. Reorganizations can be Mandatory or Voluntary for holders. Participation typically requires surrender of securities. Examples of Reorganizations can include Mergers, Exchanges, Tender Offers, Name Changes, or Reverse Stock Splits.
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The Corporate, Municipal, and UIT (CMU) system provides all of its customers with RTTM - a single pipeline, a common processing platform, and a standardized message format for the U.S. fixed income markets.
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Correspondent Clearing is a service that allows clearing members to move a position from an executing broker (or special representative)’s account to a different clearing broker (correspondent)’s account.
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The Cost Basis Reporting Service (CBRS) is an automated system that gives financial firms the ability to transfer customer cost basis information from one firm to another on any asset transfer. It mitigates extra paper trails, extra charges, and operational risk, and extends its service to transfer agents, issuers, mutual funds, custodian banks, and broker/dealers.
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A coupon is a detachable document, stating the annual interest rate, affixed to a bond certificate. To collect an interest payment, the bond owner has to present the physical coupon.
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Commercial Paper (CP), identifies a note that involves a negotiable, short-term, unsecured commitment issued by credit worthy institutions. An unsecured, short-term debt instrument issued by a corporation, specifically DTCC, which can be used as a liquidity resource.
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The Consumer Price Index (CPI) is a measure that examines the weighted average of prices of a basket of consumer goods and services, such as transportation, food, and medical care. It is calculated by taking price changes for each item in the predetermined basket of goods and averaging them.
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A Credit is an accounting entry that represents a decrease in the balance of an accounting unit tracking asset or expense and an increase in the balance of an accounting unit tracking liability or income. A Credit represents a decrease in the balance of any Accounting Unit tracking non-monetary amounts.
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A Credit Default Swap (CDS), is a financial derivative product that allows a buyer/investor to swap or offset their credit risk with that of another investor. The seller of the CDS will compensate the buyer in the event of a debt default or other credit event. That is, the seller of the CDS insures the buyer against some reference asset from defaulting.
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The term “Cross-Guaranty Agreement” shall mean any netting contract, limited cross-guaranty, or similar agreement between the Corporation and (i) any Clearing Organization, or (ii) any other domestic or foreign clearinghouse, clearing association, clearing corporation or similar organization.
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The term “Cross-Guaranty Counterparty” shall mean any party, other than the Corporation, to a Cross-Guaranty Agreement.
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Liquidity inflows generated by using the defaulting member's purchased securities to satisfy existing sales across main accounts after accounting for long allocation.
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Offsets generated by satisfying a delivery obligation of a participant with a purchase obligation in the same security in another participant account within the same affiliated family.
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CSD can refer to: (1) A Central Securities Depository (CSD) is an organization that has custody of immobilized securities issued in certificate form and dematerialized securities issued in electronic rather than certificate form. A CSD provides a portfolio of services relating to those securities on behalf of its participants; (2) A Contractual Settlement Date (CSD) is the contractual date on which bonds are scheduled to settle. A trade has a contractual settlement date (the scheduled settlement date) and an actual settlement date (when securities move versus payment). If a trade fails to settle on its CSD, it will fail until the actual settlement date.
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The Central Trade Manager (CTM), is a platform for the central matching of cross-border and domestic transactions. CTM automates the trade confirmation process across multiple asset classes, such as equities, fixed income and repurchase agreements (repos). The CTM solution provides seamless connectivity from trade execution to settlement, including direct connectivity via the Financial Information eXchange (FIX), from front office to middle office trade processing, as well as via the Society for Worldwide Interbank Financial Telecommunications (SWIFT), network to a full community of custodian banks for the purposes of settlement notification. When used in conjunction with ALERT, the user can automatically enrich trades with account and Standing Settlement Instructions (SSI), ensuring all account information is accurate.
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Current value on the pool. The current face is determined by multiplying the original face of the pool (the value of the pool when it is first issued) by the factor. The allocation process is driven by the current face of the pools.
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Committee on Uniform Security Identification Procedures (CUSIP) commonly refers to a security or family of securities issued after 1970. Each security or family of securities is identified by a nine-digit unique number called a CUSIP number. Do not use “CUSIP” to mean “issue” or “security.”
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A custodian bank is a bank that holds assets such as individual securities and American Depository Receipts (ADRs) for institutional investors, corporations and wealthy individuals. The custodian bank also collects investment income generated by client assets, provides corporate communications to its clients, and participates in the settlement of securities transactions on their behalf.
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Custody, within Clearance & Settlement, refers having possession of certificates that represent ownership of securities, whether those certificates are in physical or electronic form.
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A Customer Delivery Request (CDR) is an instruction submitted by a buyer or seller to preclude pool instruct(s) from being operationally netted (i.e., offset by other non-CDRed pool instructs having the same trade terms). While a CDR precludes a pool instruct from operational netting, if the underlying pool number/CUSIP submitted on the pool instruct meets the selection criteria for inclusion in pool netting, the resulting obligation will settle versus FICC. CDRs may be submitted at the individual pool instruct level at the time of submission, or post-submission via messaging or via the WFE function. CDRs may also be submitted globally, at either the TBA CUSIP level or pool number level (meaning that all pool instructs active in the system corresponding to the TBA CUSIP or pool number will be placed in CDR status).
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Customer Due Diligence (CDD) is a required component to meeting Know You Customer (KYC) program requirements; both CDD and KYC policies are cornerstones of an effective AML program. In practice, CDD is the process where pertinent information of a customer’s profile is collected, verified, and evaluated for potential money laundering or terrorist financing risks before being onboarded.
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Daily trading amount is is the average number of shares traded within a day in a given stock.
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The Data Universal Numbering System (DUNS), is a proprietary system developed and regulated by Dun & Bradstreet. The DUNS Number is a unique, 9 digit, numeric identifier, issued by Dun & Bradstreet, which identifies a company's Dun & Bradstreet business credit file.
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The Date of Insolvency (DOI) is the date on which an individual or company declares they are insolvent.
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The Date Of Insolvency (DOI) Raw Liquidity Needs is the cash settlement obligation that the simulated defaulting Member would have had prior to settlement on the Date of Insolvency.
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Dated Date is the effective date of a new bond issue, after which accrued interest is calculated. If not on a weekend or holiday it is the same date as issue date.
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GTR provides transaction reporting services for derivatives in the U.S. and Canada through the legal entity DTCC Data Repository (U.S.) LLC (DDR). DDR is registered as a Swap Data Repository (SDR) with the U.S. Commodity Futures Trading Commission (CFTC), a registered Security-Based Swap Data Repository (SBSDR) with the U.S. Securities and Exchange Commission (SEC), and is authorized by Canadian regulators to provide derivatives reporting services in all Canadian provinces and territories.
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GTR provides transaction reporting services for derivatives in the U.S. and Canada through the legal entity DTCC Data Repository (U.S.) LLC (DDR). DDR is registered as a Swap Data Repository (SDR) with the U.S. Commodity Futures Trading Commission (CFTC), a registered Security-Based Swap Data Repository (SBSDR) with the U.S. Securities and Exchange Commission (SEC), and is authorized by Canadian regulators to provide derivatives reporting services in all Canadian provinces and territories.
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DTCC Data Repository (Ireland) PLC (DDRIE) is DTCC’s European Securities and Markets Authority (ESMA) registered TR to support the EU27 countries. Dublin-based DDRIE enables firms to comply with the rules for regulatory reporting as set out in the European Market Infrastructure Regulation (EMIR), the Securities Financing Transactions Regulation (SFTR) and Switzerland’s FingraG.
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GTR delivers derivatives trade reporting services in Japan through DTCC Data Repository (Japan) K.K. (DDRJ), the first trade repository to be licensed and operational in the Japanese market. Japan’s Financial Services Agency (JFSA) mandates the reporting of OTC derivatives transactions directly to the Agency or to a third-party trade repository such as DDRJ.
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DTCC Derivatives Repository Plc (DDRL) is DTCC’s registered UK TR, operating under the supervision of the UK’s Financial Conduct Authority (FCA). London-based DDRL enables firms to comply with the rules for regulatory reporting as set out in the European Market Infrastructure Regulation (EMIR) and the Securities Financing Transactions Regulation (SFTR).
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In Singapore, DTCC provides trade reporting services via DTCC Data Repository (Singapore) Pte. Ltd. (DDRS), the only trade repository currently approved by the Monetary Authority of Singapore (MAS).TCC provides trade reporting services in Australia via its legal entity DTCC Data Repository (Singapore) Pte. Ltd. (DDRS).
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The term “Dealer” means a Member that is in the business of buying and selling Securities as principal, either directly or through a Broker.
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An account maintained by any participant for trades that it executes as principal, regardless of the firm’s role within the financial community.
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A debenture is a type of bond not secured by collateral; these debt instruments rely on the creditworthiness and integrity of the debt’s issuer.
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A Debit is an accounting entry that represents an increase in the balance of an accounting unit tracking asset or expense and a decrease in the balance of an accounting unit tracking liability or income. A Debit represents an increase in the balance of any accounting unit tracking non-monetary amounts.
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A security that provides funds to an entity in return for a promise from the entity to repay a lender or investor in accordance with terms of a contract.
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A Deliver Order (DO) refers to the instruction of a Participant to DTC to affect a book entry transfer of a security from its account to the account of another Participant, either free of value or versus payment.
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Participant that delivers the security; for a payment order the payee; for a collateral pledge the pledgor.
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Date that delivery versus payment is scheduled to occur, generally the CSD.
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A Delivery Versus Payment (DVP) is the book-entry transfer of securities at DTC from one Participant to another against a funds payment obligation of the receiving Participant.
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DVP cash settlement obligation that the simulated defaulting Member would have had prior to settlement on the Date of Insolvency.
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Delivery Versus Payment Cross Account Liquidity Methodology (DVP CALM) is offsets generated in the GSD DVP service by satisfying a delivery obligation of a participant with a purchase obligation in the same security in another participant account within the same affiliated family.
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Delivery Versus Payment Post Cross Account Liquidity Methodology (DVP Post CALM) Liquidity Needs is the net liquidity needed after applying DVP CALM Offsets to the DVP Raw Liquidity Needs.
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Dematerialization is the process of replacing security certificates with electronic records that reflect the ownership of securities. DTCC issued a white paper to the industry in July 2012 outlining a plan for dematerialization in U.S. capital markets, which will contribute to a more cost-effective, efficient, secure and competitive U.S. marketplace. However, dematerialization is ultimately a decision of the issuer of the security pursuant to laws applicable to the issuance of that security and not within the control of DTCC.
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Denomination is a classification for the stated or face value of financial instruments such as currency notes, coins, as well as bonds and other fixed-income investments.
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Depository Trust Company is a New York corporation and DTCC subsidiary that is a central securities depository registered with and regulated by the SEC as a Clearing Agency.
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Derivative Instrument identifies a Security Instrument that is a combination or offshoot of other underlying Security Instruments; for example, options to purchase a stock. For Repository and Derivatives Services: A Derivative product is comprised of various data attributes that fall into three categories. The type of instrument (eg swap, forward, option), instrument characteristics (eg notional amortization), and information about the underlier(s) (eg rates index, single name equity, currency value). Different derivatives dealers will often create derivative products as a standard that are comprised of data attributes or characteristics that fall into these three categories and then amend the contractual terms and transactional terms to create a Derivatives contract or trade.
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A trade report represents an electronic file that is produced by Repository and Derivatives Services and transmitted to clients and regulators.
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Direct Market Player (DMP), also known as Broker Dealers, is when a security firm provides the link between investors and the investments they are seeking.
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The Direct Registration System (DRS) is a DTC system that affords registered owners of securities the option of holding directly on the books and records of the issuer by receiving records of its interest in the securities in electronic statement form, without holding security certificates to represent those interests.
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Agency debenture no-coupon discount notes (“discos”) issued by federal agencies to meet short-term financing needs that are issued at a discount to par value. Supra-national debt instruments may also be included in this category.
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A dividend is a share of profits and retained earnings that a company pays out to its shareholders. When a company generates a profit and accumulates retained earnings, those earnings can be either reinvested in the business or paid out to shareholders as a dividend.
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The Dividend Reinvestment Plan (DRIP), is a program that allows investors to reinvest their cash dividends into additional shares or fractional shares of the underlying stock on the dividend payment date. Although the term can apply to any automatic reinvestment arrangement set up through a brokerage or investment company, it generally refers to a formal program offered by a publicly traded corporation to existing shareholders.
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Don't know / Do Not Know (DK), is an expression for an out trade that is used when there is a discrepancy in the details of the trade. Also known as a "DK'd trade," the expression refers to a situation where at least one of the parties involved claims to lack knowledge of some aspect of the trade or "does not know" the trade.
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DKs Initiated are notifications of DKs (transactions that were incorrect or unidentifiable) that were submitted against an account by a contra (i.e., advisories).
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DKs Received are transactions for which an account submitted a DK against a contra (i.e., Uncompareds).
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DMP (Direct Market Player), also known as Broker Dealers, is when a security firm provides the link between investors and the investments they are seeking.
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The MBSD Do Not Allocate (DNA) service allows Members to execute a “pair-off” when they have two or more offsetting SBON and/or TFTD/TBA positions within the same TBA CUSIP and CSD. This process is available for trades settling on SIFMA CSD only and may be submitted on 48-hour day and up until 4:30 PM on 24-hour day.
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A Deliver Order (DO) refers to the instruction of a Participant to DTC to affect a book entry transfer of a security from its account to the account of another Participant, either free of value or versus payment.
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The MBSD Do Not Allocate (DNA) service allows Members to execute a “pair-off” when they have two or more offsetting SBON and/or TFTD/TBA positions within the same TBA CUSIP and CSD. This process is available for trades settling on SIFMA CSD only and may be submitted on 48-hour day and up until 4:30 PM on 24-hour day.
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The Date of Insolvency (DOI) is the date on which an individual or company declares they are insolvent.
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Don't know / Do Not Know (DK), is an expression for an out trade that is used when there is a discrepancy in the details of the trade. Also known as a "DK'd trade", the expression refers to a situation where at least one of the parties involved claims to lack knowledge of some aspect of the trade or "does not know" the trade.
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The Dividend Reinvestment Plan (DRIP), is a program that allows investors to reinvest their cash dividends into additional shares or fractional shares of the underlying stock on the dividend payment date. Although the term can apply to any automatic reinvestment arrangement set up through a brokerage or investment company, it generally refers to a formal program offered by a publicly traded corporation to existing shareholders.
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The Direct Registration System (DRS) is a DTC system that affords registered owners of securities the option of holding directly on the books and records of the issuer by receiving records of its interest in the securities in electronic statement form, without holding security certificates to represent those interests.
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The number of shares for each individual CUSIP deposited with DTC that can be used as collateral.
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DTC Collateral value is the market value of a security minus the collateral haircut. The market value is determined by multiplying the price of the security by security position. This value with the haircut percentage rate removed represents the collateral value.
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DTC Eligibility indicates whether or not a public company has met a set of requirements to use Depository (DTC) services.
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A flag derived within Risk to specify whether the security is eligible for settlement in DTC.
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A DTC-eligible financial asset is qualified to be held at DTC and traded and serviced through its electronic book entry system. Among the requirements, the issue must meet the definition of financial asset established by the Uniform Commercial Code, meet or be exempt from certain SEC requirements under securities laws, and have a CUSIP number.
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The percentage decrease of a security's market value in determining the collateral value of the security.
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Liquidity Risk may use these positions to offset, or reduce, a defaulting member’s Raw Liquidity Needs. Specifically, Liquidity Risk may use Minimum Amount (MA) position data, which is DTC's classification for securities in a Participant’s account that are not considered collateral.
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The available line of credit after removal of (1) the largest DTC contribution portion, (2) Family-Issued Securities of the simulated defaulting member and its Affiliated Family, and (3) collateralization of the borrowing base.
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The Core Fund is comprised of the Base Fund and the Incremental Fund. The Base Fund is the sum of minimum deposits by all Participants, at any time. The Incremental Fund is the balance of the Core Fund; this is the amount that must be ratably allocated among Participants that are required to pay more than a minimum deposit.
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The Liquidity Fund component applies to Participants whose Affiliated Families have reached or exceeded the net debit cap.
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DTC Settlement Transactions consist of three main transaction types processed on behalf of clients: Deliver Orders (DOs), Payment Orders (POs), and Collateral Loans (Pledges).
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The Depository Trust and Clearing Corporation (DTCC). Businesses, subsidiaries, and joint ventures include: DTCC Derivatives Repository PLC (Europe), DTCC Data Repository (U.S.) LLC, DTCC Data Repository (Japan) KK, DTCC Data Repository (Singapore) Pte Ltd, DTCC Deriv/SERV LLC, DTCC Solutions LLC, FICC, NSCC, and DTCC Institutional Trade Processing Business Subsidiaries.
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A DTCC Client Account is an arrangement between a DTCC subsidiary or joint venture and a client legal entity that is governed by a legal agreement or contract that defines the products or services to be provided by DTCC and the activities that may be undertaken by the client.
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DTCC Data Repository (Ireland) PLC (DDRIE) is DTCC’s European Securities and Markets Authority (ESMA) registered TR to support the EU27 countries. Dublin-based DDRIE enables firms to comply with the rules for regulatory reporting as set out in the European Market Infrastructure Regulation (EMIR), the Securities Financing Transactions Regulation (SFTR) and Switzerland’s FingraG.
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GTR delivers derivatives trade reporting services in Japan through DTCC Data Repository (Japan) K.K. (DDRJ), the first trade repository to be licensed and operational in the Japanese market. Japan’s Financial Services Agency (JFSA) mandates the reporting of OTC derivatives transactions directly to the Agency or to a third-party trade repository such as DDRJ.
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In Singapore, DTCC provides trade reporting services via DTCC Data Repository (Singapore) Pte. Ltd. (DDRS), the only trade repository currently approved by the Monetary Authority of Singapore (MAS).TCC provides trade reporting services in Australia via its legal entity DTCC Data Repository (Singapore) Pte. Ltd. (DDRS).
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DTCC Derivatives Repository Plc (DDRL) is DTCC’s registered UK TR, operating under the supervision of the UK’s Financial Conduct Authority (FCA). London-based DDRL enables firms to comply with the rules for regulatory reporting as set out in the European Market Infrastructure Regulation (EMIR) and the Securities Financing Transactions Regulation (SFTR).
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DTCC function transmission type (e.g. for Deliver Orders: DOI1, DOI5, DOI6, DOI7, DOX1, DOX3, DOX5, DOX7. For Payment Orders: POL1, POL5, POL6, POL7. For Pledges: PLG1, PLG5, PLG7. For MA/NA: MNA1, MNA5 and SEG-SEG1, SEG5, SEG7).
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The Data Universal Numbering System (DUNS), is a proprietary system developed and regulated by Dun & Bradstreet. The DUNS Number is a unique, 9 digit, numeric identifier, issued by Dun & Bradstreet, which identifies a company's Dun & Bradstreet business credit file.
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A Delivery Versus Payment (DVP) is the book-entry transfer of securities at DTC from one Participant to another against a funds payment obligation of the receiving Participant.
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Delivery Versus Payment Cross Account Liquidity Methodology (DVP CALM) is offsets generated in the GSD DVP service by satisfying a delivery obligation of a participant with a purchase obligation in the same security in another participant account within the same affiliated family.
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Delivery Versus Payment Post Cross Account Liquidity Methodology (DVP Post CALM) Liquidity Needs is the net liquidity needed after applying DVP CALM Offsets to the DVP Raw Liquidity Needs.
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Excess Capital Ratio (ECR) is the ratio of Applicable Clearing Fund / ENC.
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Electronic Pool Notification (EPN) is real-time system for submitting mortgage pool information to the Mortgage Backed Securities Division (MBSD) of FICC. EPN serves as the industry standard for agency mortgage-backed securities pool notification. It brings the benefits of automation and innovation to the mortgage-backed securities (MBS) marketplace, and it enables users to reduce risk and streamline their operations by providing an automated way for sellers to transmit MBS pool information to buyers in a quick, efficient and reliable fashion.
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Excess Net Capital (ENC) is the idea that every broker or dealer must at all times have and maintain net capital no less than the greater of the highest minimum requirement applicable to its ratio requirement. Capital in excess of this requirement is the excess net capital (ENC) for the broker or dealer. It is reported by broker/ dealers in monthly Focus report and also to FINRA every month. DTCC refers to Excess Net Capital as Excess Net Capital, Net Assets or equity capital as applicable to a Clearing Member based on its type of regulations, and is the basis of the excess capital premium charge.
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End of Day (EOD), is often used to designate the time by which something must be completed. EOD traditionally is around 5:00 p.m., the end of the standard workday, but can vary depending on the time zone that the person or company is located in. Most often used in the abbreviated form when written, and in the longer form when spoken.
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The End of Day Price applies to all securities and is the final price of the day that is the official price used by DTC, NSCC and FICC in their end of day clearing and settlement processes.
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The End of Day Price Date is year, month and day that is associated with the End of Day Price for a security.
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Envelope Settlement Service (ESS) is a DTCC service that standardizes and controls participant-to-participant physical delivery of securities in the New York metropolitan area.
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End of Day (EOD), is often used to designate the time by which something must be completed. EOD traditionally is around 5:00 p.m., the end of the standard workday, but can vary depending on the time zone that the person or company is located in. Most often used in the abbreviated form when written, and in the longer form when spoken.
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The European Pre-Issuance Messaging service (EPIM) is an automated ISIN and common code request and allocation system that automates and improves the process of issuing designated European Money Market Instruments, such as Euro Commercial Paper (ECP), Certificates of Deposit (ECDs) and Medium-Term Notes (EMTNs). As a central messaging hub, EPIM links the various parties involved in numbering and issuing these securities, including the dealers, the Issuing and Paying Agents’ (IPAs) banks, and the relevant numbering agencies — Clearstream Banking and Euroclear Bank — that also act as primary place of deposit for the issued securities. EPIM is a joint service offering of The Depository Trust & Clearing Corporation (DTCC), Clearstream Banking, and Euroclear Bank.
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Electronic Pool Notification (EPN) is real-time system for submitting mortgage pool information to the Mortgage Backed Securities Division (MBSD) of FICC. EPN serves as the industry standard for agency mortgage-backed securities pool notification. It brings the benefits of automation and innovation to the mortgage-backed securities (MBS) marketplace, and it enables users to reduce risk and streamline their operations by providing an automated way for sellers to transmit MBS pool information to buyers in a quick, efficient and reliable fashion.
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A measure the identifies the value of the fund contributed by the owners (the stockholders) plus the retained earnings (or losses).
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Envelope Settlement Service (ESS) is a DTCC service that standardizes and controls participant-to-participant physical delivery of securities in the New York metropolitan area.
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An Exchange Traded Fund (ETF), is a type of security that involves a collection or basket of securities such as, stocks that often track an underlying index, although they can invest in any number of industry sectors or use various strategies. ETFs are in many ways similar to mutual funds; however, they are listed on exchanges, and ETF shares trade throughout the day just like ordinary stock.
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The European Pre-Issuance Messaging service (EPIM) is an automated ISIN and common code request and allocation system that automates and improves the process of issuing designated European Money Market Instruments, such as Euro Commercial Paper (ECP), Certificates of Deposit (ECDs) and Medium-Term Notes (EMTNs). As a central messaging hub, EPIM links the various parties involved in numbering and issuing these securities, including the dealers, the Issuing and Paying Agents’ (IPAs) banks, and the relevant numbering agencies — Clearstream Banking and Euroclear Bank — that also act as primary place of deposit for the issued securities. EPIM is a joint service offering of The Depository Trust & Clearing Corporation (DTCC), Clearstream Banking, and Euroclear Bank.
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Exact Match Mode requires that all terms, including par value, match exactly for a trade to match. Exact match is always one-to-one.
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Excess Capital Ratio (ECR) is the ratio of Applicable Clearing Fund / ENC.
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Excess Net Capital (ENC) is the idea that every broker or dealer must at all times have and maintain net capital no less than the greater of the highest minimum requirement applicable to its ratio requirement. Capital in excess of this requirement is the excess net capital (ENC) for the broker or dealer. It is reported by broker/ dealers in monthly Focus report and also to FINRA every month. DTCC refers to Excess Net Capital as Excess Net Capital, Net Assets or equity capital as applicable to a Clearing Member based on its type of regulations, and is the basis of the excess capital premium charge.
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An exchange is a marketplace where securities, commodities, derivatives and other financial instruments are traded. The core function of an exchange is to ensure fair and orderly trading and the efficient dissemination of price information for any securities trading on that exchange.
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An Exchange Traded Fund (ETF), is a type of security that involves a collection or basket of securities such as, stocks that often track an underlying index, although they can invest in any number of industry sectors or use various strategies. ETFs are in many ways similar to mutual funds; however, they are listed on exchanges, and ETF shares trade throughout the day just like ordinary stock .
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ETF underlying index tickers whose performance the fund aims to mirror. This index is defined by the fund company and typically disclosed in fund documentation. For passive funds, this index is often the same as it's benchmark. For actively managed funds, this may not be available because the fund is not attempting to replicate an index. Historical prices for ETF benchmark indices are used in further calculations.
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The name of the benchmark index the ETF is tracking against. The ETF benchmark/tracking index is used to calculate stress returns of the ETF when the ETF prices are not available.
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A leveraged exchange-traded fund (ETF) is a marketable security that uses financial derivatives and debt to amplify the returns of an underlying index. The ETF benchmark/tracking index returns need to be multiplied by the leverage ratio when calculating stress returns of the ETF when the ETF prices are not available.
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An ETF class that invests in stocks and marketable securities of a particular sector. The ETF sector information is used to assign proxy index for an ETF when the benchmark index return is not available.
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An Exchangeable Security is typically a debt instrument linked to an equity investment that can be exchanged at a future date into common stock or the cash equivalant in some cases. What distinguishes an exchangeable security from a convertable security is it grants the holder the right to trade it for a specified number of shares of common stock issued by a firm that is not the issuer of the exchangable security.
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An executing broker is a broker or dealer that executes a purchase or sale of financial instruments on behalf of a client.
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Extensible Markup Language (XML) is a markup language that defines a set of rules for encoding documents in a format that is both human-readable and machine-readable.
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An External Reference (XREF) is a unique internal identifier assigned by a participant to each trade. The XREF assists participants in the reconciliation process and can be up to 16 alphanumeric characters.
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Factor is a decimal value reflecting a proportion of the outstanding principal value of factored financial instrument, such as mortgage-backed or other asset backed security, which changes over time. The factor is calculated by dividing the outstanding principal balance (current face) by the original principal value (original face).
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A Factor Analysis of Information Risk is a Value at Risk (VaR) methodology for quantifying and prioritizing risks that includes likelihood within a specific time horizon (i.e., annualized exposure).
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A Fail trade has a settlement date equal to the current date (non-OPTN trades only).
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Family Issued Securities (FIS) component is an automatic margin requirement that is designed to manage wrong way-risk. The FIS Charge is the Clearing Fund component that addresses specific wrong-way risk and applies if a Member holds a net long unsettled FIS position.
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The Fast Automated Securities Transfer Program (FAST) is the DTC system for the immobilization of securities certificates, through which transfer agents of issuers also act as agents of DTC under an agreement with DTC, for holding securities on behalf of DTC, registered in the name of Cede & Co. as nominee DTC and FAST agents electronically reconcile securities holdings daily.
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The Fast Automated Securities Transfer Program (FAST) is the DTC system for the immobilization of securities certificates, through which transfer agents of issuers also act as agents of DTC under an agreement with DTC, for holding securities on behalf of DTC, registered in the name of Cede & Co. as nominee DTC and FAST agents electronically reconcile securities holdings daily.
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Foreign Account Tax Compliance Act (FATCA), is designed to combat tax evasion by U.S. persons holding accounts and other financial assets offshore. Under FATCA, certain U.S. taxpayers holding financial assets outside the United States must report those assets to the IRS on Form 8938, Statement of Specified Foreign Financial Assets. FATCA will also require certain foreign financial institutions (non-U.S.) to report directly to the IRS information about financial accounts held by U.S. taxpayers or by foreign entities in which U.S. taxpayers hold a substantial ownership interest. The reporting institutions will include not only banks, but also other financial institutions, such as investment entities, brokers, and certain insurance companies. Some non-financial foreign entities will also have to report certain of their U.S. owners.
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The Federal Deposit Insurance Corporation (FDIC) is an independent agency created by the Congress to maintain stability and public confidence in the nation's financial system.
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A debenture is a type of bond not secured by collateral; these debt instruments rely on the creditworthiness and integrity of the debt’s issuer. Federal Agency debentures are issued by two types of entities: 1) Government Sponsored Enterprises (GSEs), usually federally-chartered but privately-owned corporations; and 2) Federal Government agencies which may issue or guarantee these bonds. Agency bonds are issued in a variety of structures, coupon rates, and maturities. Each GSE and Federal agency issues its own bonds, with sizes and terms appropriate to the needs and purposes of the financing.
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The Federal Deposit Insurance Corporation (FDIC) is an independent agency created by the Congress to maintain stability and public confidence in the nation's financial system.
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The Federal Home Loan Bank (FHLB), system is a consortium of 11 regional banks across the U.S. that was created by the federal government to keep a reliable stream of cash available to other banks for lending to individuals.
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The Federal Home Loan Mortgage Corporation (FHLMC), also known as Freddie Mac, was created in 1970 to expand the secondary market for mortgages in the U.S. Along with the Federal National Mortgage Association (Fannie Mae), Freddie Mac buys mortgages on the secondary market, pools them, and then sells them as mortgage-backed securities to investors in the open market.
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The Federal Housing Administration (FHA) is a U.S. agency offering mortgage insurance to FHA-approved lenders that meet specific qualifications. Mortgage insurance protects lenders against losses from mortgage defaults. If a borrower defaults on a loan, the FHA pays the lender a specified claim amount.
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The Federal National Mortgage Association (FNMA), also known as Fannie Mae, was created in 1938 to expand the secondary market for mortgages in the U.S. Along with the Federal Home Loan Mortgage Corporation (Freddie Mac), Fannie Mae buys mortgages on the secondary market, pools them, and then sells them as mortgage-backed securities to investors in the open market.
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The Federal Reserve Bank (FRB) is a regional bank of the Federal Reserve System, the central banking system of the United States. There are twelve in total, one for each of the twelve Federal Reserve Districts that were created by the Federal Reserve Act of 1913. The banks are jointly responsible for implementing the monetary policy set forth by the Federal Open Market Committe.
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The Federal Reserve Wire Transfer System for securities movements or funds-only movements, as the context requires.
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A Foreign Financial Institution (FFI) is a specific designation in the Foreign Account Tax Compliance Act (FATCA). An FFI is defined as any financial institution that is a foreign entity, other than a financial institution organized under the laws of a possession of the United States. The term "financial institution" in this context also has a specific definition, as per FATCA.
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The Federal Housing Administration (FHA) is a U.S. agency offering mortgage insurance to FHA-approved lenders that meet specific qualifications. Mortgage insurance protects lenders against losses from mortgage defaults. If a borrower defaults on a loan, the FHA pays the lender a specified claim amount.
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The Federal Home Loan Bank (FHLB), system is a consortium of 11 regional banks across the U.S. that was created by the federal government to keep a reliable stream of cash available to other banks for lending to individuals.
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The Federal Home Loan Mortgage Corporation (FHLMC), also known as Freddie Mac, was created in 1970 to expand the secondary market for mortgages in the U.S. Along with the Federal National Mortgage Association (Fannie Mae), Freddie Mac buys mortgages on the secondary market, pools them, and then sells them as mortgage-backed securities to investors in the open market.
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The Fixed Income Clearing Corporation (FICC) is a New York corporation and DTCC subsidiary that is (i) a central counterparty focused on the U.S. government securities market and mortgage-backed securities market and (ii) registered with and regulated by the SEC as a Clearing Agency.
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Pool obligations that have been generated as a result of pool netting or pool conversion.
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File Transfer Protocol (FTP) is a standard network protocol used for the transfer of computer files across a computer network.
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A report that reflects input format and submission errors received via file transmission service.
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Settlement amount.
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The Financial Crimes Enforcement Network (FinCEN) is a bureau of the United States Department of the Treasury that collects and analyzes information about financial transactions in order to combat domestic and international money laundering, terrorist financing, and other financial crimes.
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The term Financial Industry Number Standard (FINS) represents a six-digit number assigned by The Depository Trust Company (DTC) upon request to financial institutions engaged in activities involving securities.
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The Financial Industry Regulatory Authority (FINRA) is a government-authorized not-for-profit organization that writes and enforces the rules governing registered brokers and broker-dealer firms in the United States.
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Financial Information eXchange (FIX), is a vendor-neutral, non-proprietary, free and open standard electronic communications protocol for the international real-time exchange of securities transaction information. The FIX messaging standard is owned, maintained and developed through the collaborative efforts of the FIX Trading Community™ member firms. The FIX protocol language is comprised of a series of messaging specifications used in trade communications.
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Financial Instruments are monetary contracts traded in the financial markets. Financial instruments represent a sum of rights of the investor vis-a-vis the issuer, have a monetary value, and represent a legally enforceable (binding) agreement between two or more parties regarding a right to an amount of money or securities.
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A financial instrument transaction is an event in which a Financial Institution buys, sells, borrows, lends, swaps, exchanges (e.g. collateral), or otherwise trades or transfers Financial Instruments. An event where at least two parties are involved in the exchange of, or transfer of, a monetary amount and/or assets.
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Financial Market Infrastructures (FMIs) are multilateral systems among participating financial institutions, including the system operator, used for the purposes of clearing, settling, or recording payments, securities, derivatives, or other financial transactions.
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Financial Risk Management is the control unit within the Group Chief Risk Office responsible for managing financial risk at the SIFMUs, including market risk, liquidity risk, and counterparty credit risk, among others.
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The Financial Stability Oversight Council (FSOC), a division of the U.S. Department of the Treasury, was formed as a part of the passage of the Dodd-Frank Act to monitor risks to the US financial sector from the issues of large banks or financial holding companies that could derail the economy.
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The Financial Crimes Enforcement Network (FinCEN) is a bureau of the United States Department of the Treasury that collects and analyzes information about financial transactions in order to combat domestic and international money laundering, terrorist financing, and other financial crimes.
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The Financial Industry Regulatory Authority (FINRA) is a government-authorized not-for-profit organization that writes and enforces the rules governing registered brokers and broker-dealer firms in the United States.
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The term Financial Industry Number Standard (FINS) represents a six-digit number assigned by The Depository Trust Company (DTC) upon request to financial institutions engaged in activities involving securities.
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Family Issued Securities (FIS) component is an automatic margin requirement that is designed to manage wrong way-risk. The FIS Charge is the Clearing Fund component that addresses specific wrong-way risk and applies if a Member holds a net long unsettled FIS position.
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Financial Information eXchange (FIX), is a vendor-neutral, non-proprietary, free and open standard electronic communications protocol for the international real-time exchange of securities transaction information. The FIX messaging standard is owned, maintained and developed through the collaborative efforts of the FIX Trading Community™ member firms. The FIX protocol language is comprised of a series of messaging specifications used in trade communications.
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The Fixed Income Clearing Corporation (FICC) is a New York corporation and DTCC subsidiary that is (i) a central counterparty focused on the U.S. government securities market and mortgage-backed securities market and (ii) registered with and regulated by the SEC as a Clearing Agency.
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DTCC's proprietary classification based on the type of the fixed income security such as Corporate Bonds, Municipal Bonds, and Unit Investment Trusts.
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Fixed Transaction cost is a calculated value that is derived from historical bid/ask spreads that determines the potential liquidation costs of a portfolio. It is used in FICC Back Testing. Total Transaction Cost is the sum of Fixed Transaction Cost and the Market Impact Transaction Cost. “Fixed” refers to the volume independent portion of the transaction cost.
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A Floating Rate Note (FRN) A debt instrument for which the interest rate is adjusted periodically according to a predetermined formula, usually linked to an index.
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A Fully Matched Trade (FMAT) is trade in which all the parties to the trade have submitted matching trade data.
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Financial Market Infrastructures (FMIs) are multilateral systems among participating financial institutions, including the system operator, used for the purposes of clearing, settling, or recording payments, securities, derivatives, or other financial transactions.
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The Federal National Mortgage Association (FNMA), also known as Fannie Mae, was created in 1938 to expand the secondary market for mortgages in the U.S. Along with the Federal Home Loan Mortgage Corporation (Freddie Mac), Fannie Mae buys mortgages on the secondary market, pools them, and then sells them as mortgage-backed securities to investors in the open market.
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Foreign Account Tax Compliance Act (FATCA), is designed to combat tax evasion by U.S. persons holding accounts and other financial assets offshore. Under FATCA, certain U.S. taxpayers holding financial assets outside the United States must report those assets to the IRS on Form 8938, Statement of Specified Foreign Financial Assets. FATCA will also require certain foreign financial institutions (non-U.S.) to report directly to the IRS information about financial accounts held by U.S. taxpayers or by foreign entities in which U.S. taxpayers hold a substantial ownership interest. The reporting institutions will include not only banks, but also other financial institutions, such as investment entities, brokers, and certain insurance companies. Some non-financial foreign entities will also have to report certain of their U.S. owners.
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A Foreign Exchange Rate (FX) is the value of a country's currency versus that of another country or economic zone.
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A Foreign Financial Institution (FFI) is a specific designation in the Foreign Account Tax Compliance Act (FATCA). An FFI is defined as any financial institution that is a foreign entity, other than a financial institution organized under the laws of a possession of the United States. The term "financial institution" in this context also has a specific definition, as per FATCA.
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A trade with a settlement month greater than the current month. A forward OPTN trade has an expiry date greater than the current month.
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A Forward Rate Agreement (FRA) is a cash-settled over-the-counter interest-rate derivative product. FRAs are a single-period swap settled in advance, allowing buyers to lock in a fixed rate in exchange for payments that are based on the difference of the fixed rate and floating rate.
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Funds-Only Settlement (FOS) is the result of a cash pass-through process for FICC services. FOS provides a standardized, automated method for settling calculated marked-to-market values as well as payment/receipt of interest earned and other cash adjustments between FICC and its member's settling banks.
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A Forward Rate Agreement (FRA) is a cash-settled over-the-counter interest-rate derivative product. FRAs are a single-period swap settled in advance, allowing buyers to lock in a fixed rate in exchange for payments that are based on the difference of the fixed rate and floating rate.
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The Federal Reserve Bank (FRB) is a regional bank of the Federal Reserve System, the central banking system of the United States. There are twelve in total, one for each of the twelve Federal Reserve Districts that were created by the Federal Reserve Act of 1913. The banks are jointly responsible for implementing the monetary policy set forth by the Federal Open Market Committe.
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A Floating Rate Note (FRN) A debt instrument for which the interest rate is adjusted periodically according to a predetermined formula, usually linked to an index.
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A Fully Settled Trade (FSET) is a trade with no remaining open par value.
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The Financial Stability Oversight Council (FSOC), a division of the U.S. Department of the Treasury, was formed as a part of the passage of the Dodd-Frank Act to monitor risks to the US financial sector from the issues of large banks or financial holding companies that could derail the economy.
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File Transfer Protocol (FTP) is a standard network protocol used for the transfer of computer files across a computer network.
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The File Transmission Service (FTS) allows participants to interact with the Mortgage-Backed Securities Division (MBSD) via MBSD's proprietary file transmission format, interactive messaging, and/or SWIFT batch file transmission service.
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A Fully Matched Trade (FMAT) is trade in which all the parties to the trade have submitted matching trade data.
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A Fully Settled Trade (FSET) is a trade with no remaining open par value.
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The Fund/SERV® charge is a NSCC Clearing Fund component that is derived from a firm's settlement debits related to their Fund/SERV activities.
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Funds-Only Settlement (FOS) is the result of a cash pass-through process for FICC services. FOS provides a standardized, automated method for settling calculated marked-to-market values as well as payment/receipt of interest earned and other cash adjustments between FICC and its member's settling banks.
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This is generated by Funds-Only Settlement (FOS) debits only, which is a summation of several components but is primarily made up of Mark-to-Market, and used in the calculation of Raw Liquidity Needs.
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Funds Settlement is the result of a cash pass-through process that provides a standardized, automated method for settling calculated marked-to-market values as well as payment/receipt of interest earned and other cash adjustments between FICC and its members' settling banks.
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A Foreign Exchange Rate (FX) is the value of a country's currency versus that of another country or economic zone.
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The ALERT Global Custodian Direct (GCD) workflow automates the exchange of Standing Settlement Instructions (SSIs) between a custodian's central repository and the ALERT host, using dedicated ISO 20022 messages. This enables the global custodian/prime broker to become the owner/maintainer of the SSI data, which effectively creates the "golden copy" of SSI data within the ALERT platform.
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General collateral financing (GCF) trades are a type of repurchase agreement (repo) that is executed without the designation of specific securities as collateral until the end of the trading day.
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The Securities Industry and Financial Markets Association (SIFMA) has established guidelines that are considered good delivery of Mortgage-Backed Securities. FICC follows the guidelines based on the current face of the pool.
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General collateral financing (GCF) trades are a type of repurchase agreement (repo) that is executed without the designation of specific securities as collateral until the end of the trading day.
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The net cash obligation a Member would have across their GCF generic CUSIPs on the specified Date of Insolvency.
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It is a charge applied to members that participate in General Collateral Financing (GCF) during intraday system, if they substitute securities for cash. The Early Unwind Intraday Charge (EUIC) is to protect Fixed Income Clearing Corporation (FICC) and its members from potential exposure that may result from a General Collateral Financing (GCF) Repo participant's cash substitution.
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Represents the Committee on Uniform Securities Identification Procedures (CUSIP) generic identifying number, which is used as a placeholder for certain GSD Delivery vs. Payment Repurchase Agreements (DVP repo transactions) where not all of the trade details are currently known. Generic DVP CUSIPs are used in GSD for forward starting repos, to enter placeholder repo trades with a future start date into GSD’s systems. GSD subsequently expanded the usage of the same generic DVP CUSIPs to repo substitutions, where the repo dealer or repo broker, as appropriate, could submit a substitution notification to GSD without knowing the specific details for the replacement collateral.
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The Global Financial Markets Association (GFMA), brings together three of the world’s leading financial trade associations and represents the common interests of the world’s leading financial and capital market participants to provide a collective voice on matters that support global capital markets. The Association for Financial Markets in Europe (AFME) in London, Brussels and Frankfurt, the Asia Securities Industry & Financial Markets Association (ASIFMA) in Hong Kong, and the Securities Industry and Financial Markets Association (SIFMA) in New York and Washington are, respectively, the European, Asian and North American members of GFMA.
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The Global Industry Classification Standard (GICS) is a four-tiered, hierarchical industry classification system. Companies are classified quantitatively and qualitatively. Each company is assigned a single GICS classification at the Sub-Industry level according to its principal business activity.
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The Global Intermediary Identification Number (GIIN) is a unique ID number that non-US financial institutions receive from the IRS when they register as a financial institution for FATCA (Foreign Account Tax Compliance Act).
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The Global Legal Entity Identifier Foundation (GLEIF) is an organization that issues LEIs. The Legal Entity Identifier (LEI) is a 20-character, alpha-numeric code based on the ISO 17442 standard developed by the International Organization for Standardization (ISO).
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A customer delivery request that is set at the POOL Number level or TBA CUSIP level. A CDR set at the global level results in the CDR being set on each pool instruct within the pool netting system that corresponds to either the pool number or the TBA CUSIP.
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The ALERT Global Custodian Direct (GCD) workflow automates the exchange of Standing Settlement Instructions (SSIs) between a custodian's central repository and the ALERT host, using dedicated ISO 20022 messages. This enables the global custodian/prime broker to become the owner/maintainer of the SSI data, which effectively creates the "golden copy" of SSI data within the ALERT platform.
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The Global Financial Markets Association (GFMA), brings together three of the world’s leading financial trade associations and represents the common interests of the world’s leading financial and capital market participants to provide a collective voice on matters that support global capital markets. The Association for Financial Markets in Europe (AFME) in London, Brussels and Frankfurt, the Asia Securities Industry & Financial Markets Association (ASIFMA) in Hong Kong, and the Securities Industry and Financial Markets Association (SIFMA) in New York and Washington are, respectively, the European, Asian and North American members of GFMA.
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The Global Industry Classification Standard (GICS) is a four-tiered, hierarchical industry classification system. Companies are classified quantitatively and qualitatively. Each company is assigned a single GICS classification at the Sub-Industry level according to its principal business activity.
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The Global Intermediary Identification Number (GIIN) is a unique ID number that non-US financial institutions receive from the IRS when they register as a financial institution for FATCA (Foreign Account Tax Compliance Act).
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The Global Legal Entity Identifier Foundation (GLEIF) is an organization that issues LEIs. The Legal Entity Identifier (LEI) is a 20-character, alpha-numeric code based on the ISO 17442 standard developed by the International Organization for Standardization (ISO).
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DTCC's Global Trade Repository (GTR) service provides trade repository services for derivatives and securities financing transactions. With its global reach and multi-product functionality, GTR, the industry leader in trade reporting, is a one-stop shop that enables users to meet their regulatory reporting obligations wherever they are located via a single platform.
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The Global Ultimate Parent (GUP) is defined as the legal organization at the top of a corporate structure that has a majority ownership stake in an associated entity within that corporate hierarchy. GUP is used by DTCC to link, calculate, and apply risk management controls across client subsidiaries.
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The Government National Mortgage Association (GNMA), also known as Ginnie Mae, was created in 1968 to expand affordable housing in the U.S. Ginnie Mae is a federal government corporation that guarantees the timely payment of principal and interest on mortgage-backed securities (MBS) issued by approved lenders.
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The Securities Industry and Financial Markets Association (SIFMA) has established guidelines that are considered good delivery of Mortgage-Backed Securities. FICC follows the guidelines based on the current face of the pool.
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A Goods and Services Tax (GST), also known as a Value-Added Tax (VAT), is a consumption tax that is assessed on products at each stage of the production process – from labor and raw materials to the sale of the final product. The VAT is assessed incrementally at each stage of the production process where value is added. However, it is ultimately passed on to the final retail consumer. VAT is the world’s most common form of consumption tax, in place in more than 160 countries, including every economically advanced nation except the United States.
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Governed Critical Data Element is a Critical Data Element (CDE) that has completed the minimum defined steps in the data management process. These steps include documenting metadata, profiling data, and defining data quality rules, executing data quality rules, assessing data quality issues, and conducting root cause analysis (as applicable), and conducting risk assessment of and remediation plans for data quality issues (as applicable). A Non-Persisted CDE, which does not have a designated Authoritative Source, becomes Governed once its upstream data element inputs are identified and the minimum defined steps have been completed for those inputs. The designation of “Governed” is applied to a CDE, at the discretion of EDMO and the relevant Data Steward, only when the Information Domain has been Certified.
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Government Agency Debt, such as short-term and long-term bonds, is issued by Government Sponsored Enterprises (GSEs) and commonly referred to as Agency or Governmentt Agency debt securities. Although GSE bonds carry the implicit backing of the U.S. government, unlike Treasury bonds, they are not direct obligations of the U.S. government. For this reason, these securities will typically offer a slightly higher yield than Treasury bonds, since they have a somewhat higher degree of credit risk and default risk.
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The Government National Mortgage Association (GNMA), also known as Ginnie Mae, was created in 1968 to expand affordable housing in the U.S. Ginnie Mae is a federal government corporation that guarantees the timely payment of principal and interest on mortgage-backed securities (MBS) issued by approved lenders.
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Government Securities Clearing Corporation (GSCC) (no longer in use). This area is now part of FICC.
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Government Securities Division (GSD) is a division of FICC that provides clearing and other services related to government securities.
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A Government Sponsored Enterprise (GSE) is a quasi-governmental entity established by acts of Congress to enhance the flow of credit to specific sectors of the American economy. These agencies, although privately held, provide public financial services. GSEs help to facilitate borrowing for a variety of individuals, including students, farmers, and homeowners. Government-sponsored enterprises (GSEs) do not lend money to the public directly; instead, they guarantee third-party loans and purchase loans in the secondary market, ensuring liquidity. Mortgage issuers Fannie Mae and Freddie Mac are examples of government-sponsored enterprises (GSEs).
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Government Securities Clearing Corporation (GSCC) (no longer in use). This area is now part of FICC.
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Government Securities Division (GSD) is a division of FICC that provides clearing and other services related to government securities.
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The largest observed family liquidity obligation at GSD since the last CCLF reset period.
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Risk exposure measures the change of a portfolio's value to the change of a risk factor. It can be aggregated from the position level to the higher portfolio level on the account hierarchy, giving GSD a quick assessment on where the main risk is in terms of risk factors. It can also provide guidance to the execution of best risk hedges before liquidation. Certain market event risk may exceed the level of risk coverage provided by VaR.
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A special charge based on member's activity designed to compensate for VaR model weakness. It is a supplement to VaR. It is a minimum volatility calculation based on historical market volatility of U.S. Treasury and Agency securities indices and TBAs. GSD applies the greater amount calculated by the current VaR model and the Margin Proxy.
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"Position" refers to GSD clearing members' portfolio with quantity and dollar for each CUSIP to be settled.
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The GSD Sensitivity Factor measures the degree of responsiveness of a portfolio's value to the changes of the risk factors. A clearing portfolio’s value change (P&L) is therefore approximately a linear summation over the product of risk exposures and the corresponding risk factor movements.
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The Risk factor names are defined by the vendor. The sensitivity risk factor data and risk-factor time series are obtained from qualified external analytical data providers and are based on market risk drivers. These risk factors include interest rates, spreads, implied inflation rates, as well as option-implied volatilities and are mapped to DTCC Risk factor groups based and their corresponding market sensitivities.
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An additional payment (“special charge”) from GSD Member as determined by the Corporation from time to time in view of market conditions and other financial and operational capabilities of the Member.
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A Government Sponsored Enterprise (GSE) is a quasi-governmental entity established by acts of Congress to enhance the flow of credit to specific sectors of the American economy. These agencies, although privately held, provide public financial services. GSEs help to facilitate borrowing for a variety of individuals, including students, farmers, and homeowners. Government-sponsored enterprises (GSEs) do not lend money to the public directly; instead, they guarantee third-party loans and purchase loans in the secondary market, ensuring liquidity. Mortgage issuers Fannie Mae and Freddie Mac are examples of government-sponsored enterprises (GSEs).
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A Goods and Services Tax (GST), also known as a Value-Added Tax (VAT), is a consumption tax that is assessed on products at each stage of the production process – from labor and raw materials to the sale of the final product. The VAT is assessed incrementally at each stage of the production process where value is added. However, it is ultimately passed on to the final retail consumer. VAT is the world’s most common form of consumption tax, in place in more than 160 countries, including every economically advanced nation except the United States.
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DTCC's Global Trade Repository (GTR) service provides trade repository services for derivatives and securities financing transactions. With its global reach and multi-product functionality, GTR, the industry leader in trade reporting, is a one-stop shop that enables users to meet their regulatory reporting obligations wherever they are located via a single platform.
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The Global Ultimate Parent (GUP) is defined as the legal organization at the top of a corporate structure that has a majority ownership stake in an associated entity within that corporate hierarchy. GUP is used by DTCC to link, calculate, and apply risk management controls across client subsidiaries.
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A haircut is a risk control measure applied to underlying assets whereby the value of those underlying assets is calculated as the market value of the assets reduced by a certain percentage (the “haircut”). Haircuts are applied by a collateral taker in order to protect itself from losses resulting from declines in the market value of a security in the event that it needs to liquidate its collateral.
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An alphanumeric or alphabetic code to describe the assigned Depository Trust Company (DTC) haircut. There is a haircut reason code assigned to each DTC haircut.
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A ratio calculated by comparing the deficiency of a historical stress scenario to the total clearing fund. It is the application of historical market scenarios on Members' portfolios to show potential losses. The historical stress tests uses custom designed scenarios that highlight a current point of failure that might arise due to a repeat of a recent historical event, therefore letting us know the risk impacts from actual historical market movements.
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The dispersion of returns for a security over a given period of time.
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Hypertext Transfer Protocol (HTTP) is an application-layer request-response protocol designed for communication between web browsers and web servers for the transmission of hypermedia content (e.g. ,graphics, audio, video, plain text and hyperlinks).
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A ratio calculated by comparing the deficiency of a hypothetical stress scenario to the total clearing fund. It is the application of hypothetical market scenarios on Members' portfolios to show potential losses at both the family level and the member level.
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Investment Company Institute (ICI) is a leading, global association of regulated funds, including mutual funds, exchange-traded funds (ETFs), closed-end funds, and unit investment trusts (UITs) in the United States and similar funds offered to investors in jurisdictions worldwide.
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An Illiquid charge may be imposed on positions in OTC Bulletin Board and Pink Sheet securities based on: A) size of the position, B) average daily volume in the security, C) price of the security, and D) Financial condition of the Participant.
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Interactive Messaging (IM) Allows participants to interact with MBSD RTTM via a scalable automated computer-to-computer interface methodology.
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Immobilization occurs when securities certificates are placed in the custody of a central securities depository to reduce the movement of physical securities. Ownership records for immobilized securities are updated electronically using a book-entry system, first at the CSD and then at the participant firms whose clients are the beneficial owners.
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Used to enhance the performance of the VaR model and enable GSD to more effectively achieve and maintain the confidence level required by regulatory and industry standards. Determination of the Augmented Volatility adjustment multiplier (AVM) is based on the levels of change in current and implied volatility measures.
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The estimated volatility of a security's price. In general, implied volatility increases when the market is bearish and decreases when the market is bullish. This is due to the common belief that bearish markets are more risky than bullish markets.
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An indenture is a formal agreement between an issuer and investor. The type of information detailed in this agreement includes: (1) Issue amount: How much is being borrowed. (2) Interest rate: paid to the investor and the timing of interest rates. (3) Maturity date: date by which the holder receives the final payment of interest and the principal is repaid.
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Alphanumeric symbol or code used to identify a specific index on an exchange or from a market data vendor.
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The value of a financial market data index instrument; Index rate is the same.
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An individual retirement account (IRA), is a tax-advantaged investing tool that individuals use to earmark funds for retirement savings.
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This is a market-based classification system whereby companies are assigned an industry on the basis of the market they serve rather than the products or services they offer. This Market-based classification emphasizes the usage of a product rather than the materials used for the manufacturing process.
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The Industry Steering Committee (ISC) provides guidance, direction, and support for the effort to migrate to a T+1 settlement cycle.
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The Industry Workng Group (IWG) supports the ISC by identifying the business requirements, rule changes, and recommending next steps for the industry initiative.
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An initial public offering (IPO), refers to the process of offering shares of a private corporation to the public in a new stock issuance.
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DTCC’s Institutional Trade Processing (ITP), service suite has its origins in the set of trade processing solutions that constituted the Omgeo business. Combining DTCC’s global solution for legal entity identifiers and its settlement capabilities with the formerly Omgeo-branded pre-trade and matching services, ITP offers buy-side, sell-side and custodian firms an end-to-end straight-through-processing solution for their trading activity.
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An institutional transaction is a securities trade in which an organization, such as a mutual fund, hedge fund, pension fund, or endowment, purchases or sells a large block of stocks, bonds, or other securities.
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Interactive Messaging (IM) Allows participants to interact with MBSD RTTM via a scalable automated computer-to-computer interface methodology.
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Interest is the charge for the privilege of borrowing money via financial instrument issuance or interest is the amount charged, expressed as a percentage of principal, by a lender to a borrower for the use of assets.
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Risk associated with credit worthiness of member firms on a long term scale. The internal rating is currently based on quantitative factors on a rating scale of 1 to 7, with 1 being the strongest.
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The International Organization for Standardization (ISO), is an international non-governmental organization made up of national standards bodies; it develops and publishes a wide range of standards, such as electronic data standards for messages interchanged between financial institutions.
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The International Security identification Number (ISIN) consists of a country code, a nine-character alphanumeric code that identifies the security, and an ISIN check digit (when the country code is not US).
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An additional charge that is collected from a Clearing Member to mitigate the Corporation’s exposures that may arise due to intraday changes in the size, composition and constituent security prices of such Member’s portfolio.
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Provides an offset to the Total Clearing Fund Requirement. Chicago Mercantile Exchange (CME) acts as the clearing organization for certain futures contracts and options on futures contracts that are traded on the CME and the Chicago Board of Trade (CBOT). FICC established a Cross-Margining arrangement in order to cross-margin products whose price volatility is sufficiently closely correlated that long and short positions in such products offset one another to some degree for the purpose of determining margin requirements. This is manually updated intraday to minimize exposure for GSD.
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The golden copy price that updates at periodic time intervals during the day. Time intervals vary by security types and prices. Intraday prices are used by NSCC and FICC to determine intraday mark-to-market exposures for their clients.
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The year, month, day and time that is associated with the Intraday Price for a particular security.
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For GSD, the intraday total required fund deposit is the aggregate of all the clearing fund components, used to mitigate the risk associated with settling the participant's trades and is considered an available liquidity resource if a firm were to default.
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The term “Intraday Supplemental Fund Deposit” means the additional deposit to the Clearing Fund required by the Corporation from a Member intraday. The Corporation shall assess applicable Intraday Supplemental Fund Deposits at designated time intervals throughout each business day based upon the intraday VaR calculated on the open positions in each Margin Portfolio.
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Investment Company Institute (ICI) is a leading, global association of regulated funds, including mutual funds, exchange-traded funds (ETFs), closed-end funds, and unit investment trusts (UITs) in the United States and similar funds offered to investors in jurisdictions worldwide.
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The other participant in a financial transaction, Every transaction must have a counterparty in order for the transaction to go through. For DTCC specifically, this is the name of the counterparty DTCC is using for an investment.
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Clearing Fund Cash that is invested with an Investment Counterparty.
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An Issuing and Paying Agent (IPA), is an institution that acts on behalf of the issuer of securities in distributing the securities and in realizing the proceeds thereof for the benefit of the issuer. Also, on behalf of an issuer, an IPA makes payments to holders of securities.
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An initial public offering (IPO), refers to the process of offering shares of a private corporation to the public in a new stock issuance.
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IPO Tracking is a DTC tracking mechanism which tracks the unauthorized sale of shares (deliveries from the syndicate members) of an initial distribution in the secondary market during the stabilization period.
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An individual retirement account (IRA), is a tax-advantaged investing tool that individuals use to earmark funds for retirement savings.
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The Industry Steering Committee (ISC) provides guidance, direction, and support for the effort to migrate to a T+1 settlement cycle.
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The International Security identification Number (ISIN) consists of a country code, a nine-character alphanumeric code that identifies the security, and an ISIN check digit (when the country code is not US).
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The International Organization for Standardization (ISO), is an international non-governmental organization made up of national standards bodies; it develops and publishes a wide range of standards, such as electronic data standards for messages interchanged between financial institutions.
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The date when the security is released or sold, for equity securities. For MMI-eligible securities, the record date is equivalent to the issue date.
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An issuer is the legal entity that develops, registers and sells securities for the purpose of financing its operations. Issuers may be governments, corporations, or investment trusts.
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The first six characters of a CUSIP identify the issuer.
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An Issuing and Paying Agent (IPA), is an institution that acts on behalf of the issuer of securities in distributing the securities and in realizing the proceeds thereof for the benefit of the issuer. Also, on behalf of an issuer, an IPA makes payments to holders of securities.
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DTCC’s Institutional Trade Processing (ITP), service suite has its origins in the set of trade processing solutions that constituted the Omgeo business. Combining DTCC’s global solution for legal entity identifiers and its settlement capabilities with the formerly Omgeo-branded pre-trade and matching services, ITP offers buy-side, sell-side and custodian firms an end-to-end straight-through-processing solution for their trading activity.
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The Industry Workng Group (IWG) supports the ISC by identifying the business requirements, rule changes, and recommending next steps for the industry initiative.
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Know Your Customer (KYC) is a standard Anti-Money Laundering (AML) program requirement in which financial services regulators require that covered financial institutions make risk-based efforts to verify the identity, suitability, and risks involved with maintaining a business relationship. The procedures fit within the broader scope of a financial institution’s AML policy.
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Know Your Customer (KYC) is a standard Anti-Money Laundering (AML) program requirement in which financial services regulators require that covered financial institutions make risk-based efforts to verify the identity, suitability, and risks involved with maintaining a business relationship. The procedures fit within the broader scope of a financial institution’s AML policy.
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Identifies the label(s) for the data element that is commonly used on user interfaces and reports.
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A legal entity is a an association, corporation, partnership, proprietorship, trust, or other organization that has legal standing in the eyes of the law. A legal entity has legal capacity to enter into agreements or contracts, assume obligations, incur and pay debts, and to be held responsible for its actions.
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The Legal Entity Identifier (LEI), is a 20-character, alpha-numeric code based on the ISO 17442 standard developed by the International Organization for Standardization (ISO). It connects to key reference information that enables clear and unique identification of legal entities participating in financial transactions.
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The Legal Entity Identifier (LEI), is a 20-character, alpha-numeric code based on the ISO 17442 standard developed by the International Organization for Standardization (ISO). It connects to key reference information that enables clear and unique identification of legal entities participating in financial transactions.
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A lender is an individual, a public or private group, or a financial institution that makes funds available to a person or business with the expectation that the funds will be repaid.
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A line of credit is a credit facility extended by a bank or a syndicate of financial institutions to allow a borrower to draw on the facility as needed.
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The sum of cash and cash equivalents, including bank loans, securities held for trading, securities held at fair value and securities available for sale.
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The difference between the Total Net Liquidity need and the Total Liquidity Resources.
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Lenders' Issued Securities (LIS) are securities that are issued by any affiliate of any lender (i.e., family-issued securities or “FIS”) that participate in the LOC facility of NSCC (collectively, “Lender FIS”) are excluded from the definition of eligible collateral securities under the liquidity resources marking them as Lender Issued Securities.
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Loan date for a pledge or pledge release transaction.
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A Local Operating Unit (LOU) is an organization authorized to issue Legal Entity Identifiers (LEIs). An LOU supplies registration, renewal and other services, and acts as the primary interface for legal entities wishing to obtain an LEI. Only organizations duly accredited by the Global Legal Entity Identifier Foundation (GLEIF) are authorized to issue LEIs.
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Liquidity inflows generated by using the defaulting member's purchased securities to satisfy existing sales within the same main account.
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A Local Operating Unit (LOU) is an organization authorized to issue Legal Entity Identifiers (LEIs). An LOU supplies registration, renewal and other services, and acts as the primary interface for legal entities wishing to obtain an LEI. Only organizations duly accredited by the Global Legal Entity Identifier Foundation (GLEIF) are authorized to issue LEIs.
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The Management Risk Committee is a management committee with responsibility for implementation of the Organization’s Corporate Risk Framework, overseeing the management of credit, market, liquidity, operational, and systemic risks in accordance with the DTCC Corporate Risk Framework Policy and the Risk Tolerance Statements. The MRC’s role is one of management on behalf of the BRC. It is chaired by the Group Chief Risk Officer.
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A MAOC is a Merger, Acquisition, or Organizational Change. Every participant of The Depository Trust Company (DTC), National Securities Clearing Corporation (NSCC) or the Mortgage Backed Securities Division (MBSD) or Government Securities Division (GSD) of the Fixed Income Clearing Corporation (FICC) is required to notify the appropriate DTCC subsidiary or division of which it is a member in the event that the participant is affected by a MAOC.
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NSCC uses a baseline Margin Liquidity Adjustment (MLA) model to account for the potential additional market impact costs associated with liquidating a portfolio that is relatively large in size with respect to available market-wide liquidity.
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A special charge based on member's activity designed to compensate for VaR model weakness. Supplement to VaR.
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Margin Requirement is the minimum amount of collateral in cash and securities that a DTCC participant must have on deposit in a clearing fund at a particular moment. Margin requirements are calculated at least daily.
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The margin requirement differential (MRD) charge is designed to help mitigate the risks posed to NSCC by day-over-day fluctuations in a Member’s portfolio by forecasting future changes. The MRD charge is based on a historical look-back at each Member’s portfolio over a given time period.
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The mark-to-market (MTM) component measures the unrealized profit or loss using the contract price versus the current market price (that is, the price for a security determined daily for purposes of the CNS system; generally, that is the prior day's closing price).
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Mark to Market (MTM) is the difference between the contract net value of the participants' positions and the current market value, with the debit amount being a component of the clearing fund requirement for When Issue Securities. A When Issued security is subject to trade conditionally because it has been authorized but not yet issued.
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The Market Price is the current price at which an asset or service can be bought or sold.
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Market Risk encompasses the factors that individually or in combination have the potential to drive a securities market lower, reducing the value of the issues trading in that market. Among these factors are falling profits, increasing interest rates, illiquidity, fraud, political unrest, and currency fluctuations.
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Market value is the price an asset would fetch in the marketplace, or the value that the investment community gives to a particular equity or business. Market value is also commonly used to refer to the market capitalization of a publicly traded company, and is calculated by multiplying the number of its outstanding shares by the current share price.
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A Marketplace refers broadly to any market where the trading of securities occurs, including the stock market, bond market, forex market, and derivatives market, among others.
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A Master Securities Loan Agreement (MSLA) is an agreement for use when parties may enter into transactions in which one party (a “Lender”) will lend to the other party (a “Borrower”) certain securities against a transfer of collateral.
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A dealer-selected methodology used to match broker trades. See Exact Match Mode and Net Position Match Mode.
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Material Nonpublic Information (MNPI) as defined in DTCC’s Personal Securities Investment Policy means material information where there is a substantial likelihood that a reasonable investor would consider the information important in making an investment decision or is reasonably certain to have an effect on the price of a security. Information considered material is deemed “non-public” if it has not been made available to the public, has not been disseminated broadly to the marketplace, or has not had sufficient time post-dissemination for the marketplace to react to the information.
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Maturity is the period during which its owner will receive interest payments on the investment. When the bond reaches maturity, the owner is repaid its par, or face, value.
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The maturity date is the day the term of a bond, money market instrument, or other debt security ends. Repayment of principal and the final interest payment are due at maturity, although the security may be rolled over with a new maturity date.
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Length applies to string data elements, it is the maximum possible length of the data element's value. Precision and Scale applies to numeric data elements. Precision is the maximum total number of digits allowed in a numeric value. This includes both whole and decimal digits. It does not include the decimal point. Scale is the maximum possible number of digits to the right of the decimal point in a number.
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MBS Notification Date, known as 48-hour day, refers to two days prior to Contractual Settlement Date in the SIFMA Calendar, when TBA sellers begin to allocate pools to their open TBA obligations. As members allocate their pools, FICC simultaneously generates pool instructs into the pool netting system. Members have the option to match these pool instructs. 48-Hour day is also when members can begin submitting Do-Not-Allocate (DNA) requests.
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MBS Pool Netting Date, known as 24-hour day, refers to the day before Contractual Settlement Date in the SIFMA Calendar when pool netting, expanded pool netting, Do-Not Allocate (DNA), TBA reprice, and pool conversion takes place.
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MBS TBA Netting Date, known as 72-hour day, refers to three days prior to Contractual Settlement Date, when TBA netting takes place, establishing net positions for Settlement Balance Order Destined trades (SBOD).
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Mortgage-Backed Securities Division (MBSD) is a division of FICC that provides clearing and other services related to mortgage-backed securities.
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Risk exposure measures the change of a portfolio's value to the change of a risk factor. It can be aggregated from the position level to the higher portfolio level on the account hierarchy, giving MBSD a quick assessment on where the main risk is in terms of risk factors. It can also provide guidance to the execution of best risk hedges before liquidation.
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In the sensitivity VaR approach, the risk profile of a clearing portfolio is decomposed and represented by the behaviors of a few intuitive and representative market risk drivers (factors). MBSD Sensitivity measures the degree of responsiveness of a portfolio's value to the changes of the risk factors.
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The Risk factor names are defined by the vendor and are based on market risk drivers.The risk factor names are mapped to DTCC Risk factor groups based and their corresponding market sensitivities. All vendor risk factors are mapped to factor groups.
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An additional payment (“special charge”) from MBSD Member as determined by the Corporation from time to time in view of market conditions and other financial and operational capabilities of the Member.
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The term “Member” means any Person specified in Section 2.(i) of Rule 2 who has qualified pursuant to the provisions of Rule 2A. Except where the text of the Rule indicates a contrary intent, the term “Member” shall also include Special Representative.
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A MAOC is a Merger, Acquisition, or Organizational Change. Every participant of The Depository Trust Company (DTC), National Securities Clearing Corporation (NSCC) or the Mortgage Backed Securities Division (MBSD) or Government Securities Division (GSD) of the Fixed Income Clearing Corporation (FICC) is required to notify the appropriate DTCC subsidiary or division of which it is a member in the event that the participant is affected by a MAOC.
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The portion of a message that contains control information (for example, the sender, the receiver, the message type and the priority information).
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DTCC's Mutual Fund Profile Service (MFPS I and II) offers multiple solutions to automate workflows for funds, firms and broker/dealers. MFPS I provides fund companies with an automated solution for delivering prices and daily distribution rates to intermediaries. MFPS II is a multi-dimensional repository of three databases that allows funds, firms, and broker/dealers to automate and streamline the exchange of accurate and timely information on securities, participants, and distributions.
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NSCC uses a baseline Margin Liquidity Adjustment (MLA) model to account for the potential additional market impact costs associated with liquidating a portfolio that is relatively large in size with respect to available market-wide liquidity.
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A Money Market Instrument (MMI), is classified as a debt security, such as commercial paper or a medium-term note. These instruments are used for short-term financing and considered cash equivalents since they are liquid.
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Used by a broker to update its Xref and/or to correct the uncompared side of a PMAT trade when the correction required is due to an erroneous contra-side or commission.
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Used by a dealer to update its Xref.
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A Money Market Instrument (MMI), is classified as a debt security, such as commercial paper or a medium-term note. These instruments are used for short-term financing and considered cash equivalents since they are liquid.
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Month-to-date (MTD), is a period starting at the beginning of the current calendar month and ending at a point in time within the current month.
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Credit rating assigned to short-term and long-term debt instruments (and their issuers) by the Moody's rating agency.
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Mortgage-Backed Securities Division (MBSD) is a division of FICC that provides clearing and other services related to mortgage-backed securities.
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A Mortgage-Backed Security is a type of asset-backed security which is secured by a mortgage or collection of mortgages (commonly referred to as mortgage pools).
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A Mortgage Pool is a group of mortgages held in trust as collateral for the issuance of a mortgage-backed security. Some mortgage-backed securities issued by Fannie Mae, Freddie Mac, and Ginnie Mae are known as "pools" themselves. These are the simplest form of mortgage-backed security. They are also known as "pass-throughs" and trade in the to-be-announced (TBA) forward market.
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The margin requirement differential (MRD) charge is designed to help mitigate the risks posed to NSCC by day-over-day fluctuations in a Member’s portfolio by forecasting future changes. The MRD charge is based on a historical look-back at each Member’s portfolio over a given time period.
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A Master Securities Loan Agreement (MSLA) is an agreement for use when parties may enter into transactions in which one party (a “Lender”) will lend to the other party (a “Borrower”) certain securities against a transfer of collateral.
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The Municipal Securities Rulemaking Board (MSRB) is the primary regulator of municipal securities (munis) issued in the United States, subject to oversight from the Securities Exchange Commission (SEC). The MSRB is a self-regulatory organization that sets standards and best practices for both issuers and dealers of munis, mandating transparency of information and disclosure on each issue.
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Month-to-date (MTD), is a period starting at the beginning of the current calendar month and ending at a point in time within the current month.
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The mark-to-market (MTM) component measures the unrealized profit or loss using the contract price versus the current market price (that is, the price for a security determined daily for purposes of the CNS system; generally, that is the prior day's closing price).
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Multilateral netting is a process through which buy and sell positions are offset within a brokerage firm, no matter who it traded with, to reduce the number of securities that must be delivered. Financial obligations are also netted within and among brokerage firms to reduce the size of settlement payments that must be made.
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The Municipal Securities Rulemaking Board (MSRB) is the primary regulator of municipal securities (munis) issued in the United States, subject to oversight from the Securities Exchange Commission (SEC). The MSRB is a self-regulatory organization that sets standards and best practices for both issuers and dealers of munis, mandating transparency of information and disclosure on each issue.
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A mutual fund is an open-end professionally managed investment fund that pools money from many investors to purchase securities. These investors may be retail or institutional in nature. Mutual funds are typically overseen by a portfolio manager.
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DTCC's Mutual Fund Profile Service (MFPS I and II) offers multiple solutions to automate workflows for funds, firms and broker/dealers. MFPS I provides fund companies with an automated solution for delivering prices and daily distribution rates to intermediaries. MFPS II is a multi-dimensional repository of three databases that allows funds, firms, and broker/dealers to automate and streamline the exchange of accurate and timely information on securities, participants, and distributions.
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Mutualization of Risk means that all parties who clear and settle trades through a DTCC subsidiary agree to share the potential losses that might result if the subsidiary had to tap the resources of its clearing fund in the event of one trading party’s default.
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The North American Industry Classification System (NAICS), is a business-classification system developed through a partnership among the United States, Mexico and Canada. This classification system facilitates the comparison of statistics of all business activities across North America. Companies are classified and separated into industries that are defined by the same or similar production processes.
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The National Association of Securities Dealers (NASD), was a nonprofit organization formed under the joint sponsorship of the investment bankers' conference and the SEC to comply with the Maloney Act, which provides for the regulation of the OTC market. The NASD merged with the NYSE's committee that did a similar job. The new organization is called the Financial Industry Regulation Authority or FINRA.
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The National Association of Securities Dealers Automated Quotations (NASDAQ), is a global electronic marketplace for buying and selling securities. The NASDAQ market is considered a major stock exchange based on market capitalization of shares.
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The National Association of Securities Dealers (NASD), was a nonprofit organization formed under the joint sponsorship of the investment bankers' conference and the SEC to comply with the Maloney Act, which provides for the regulation of the OTC market. The NASD merged with the NYSE's committee that did a similar job. The new organization is called the Financial Industry Regulation Authority or FINRA.
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The National Association of Securities Dealers Automated Quotations (NASDAQ), is a global electronic marketplace for buying and selling securities. The NASDAQ market is considered a major stock exchange based on market capitalization of shares.
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DTCC's subsidiary, National Securities Clearing Corporation (NSCC), established in 1976, provides clearing, settlement, risk management, central counterparty services and a guarantee of completion for certain transactions for virtually all broker-to-broker trades involving equities, corporate and municipal debt, American depositary receipts, exchange-traded funds, and unit investment trusts.
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Net Asset Value (NAV), is defined as the net value of an investment fund’s assets less its liabilities, divided by the number of shares outstanding.
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Net Asset Value (NAV), is defined as the net value of an investment fund’s assets less its liabilities, divided by the number of shares outstanding.
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Total allowable capital less deductions for assets not easily converted into cash at their full value. It is the net capital as reported in Entity's Part II Unaudited FOCUS Report and Part II of Form X-17A-5.
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A net debit cap is a risk management control that prevents a participant from incurring a debit balance that exceeds its allocated net debit cap limit in a business day. Net Debit Caps are set at levels below DTC’s liquidity ensuring that any single participant’s debit can be financed. The amount is determined separately for each firm, based on the collateral it has on deposit and how much trading it is doing.
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This is the largest settlement debit balance reached by a participant by the end of the day.
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A firm's total earnings. Net income is calculated by subtracting expenses, depreciation, interest, taxes and others, from total revenue. This figure is a line item on a firm's income statement and is a measure of a firm's profitability over a period of time.
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The Net Obligation is the result of the trade netting process. A net long position obligates the member to receive from the clearing organization and a net short position obligates the member to deliver to the clearing organization.
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Requires that all broker/dealer trade terms within a given trade type, excluding par value, match exactly and that total par value for the broker- and dealer-submitted trades are equal in order for trades to match.
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Netting is a process of reducing the number of trade obligations that require transfer of securities and financial settlement by offsetting purchases against sales.
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A report that identifies broker/dealer trades with PMAT statuses that were converted from an SBOD to TFTD trade type prior to running the TBA Net.
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New Issue Identification Dissemination System (NIIDS) is an automated system that disseminates new-issue information for municipal securities to vendors that provide such information to market participants. NIIDS also serves as the centralized and automated hub for the collection and dissemination of the required information to satisfy the Municipal Securities Rulemaking Board’s (MSRB’s) reporting standards.
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The New York Stock Exchange (NYSE), founded in 1792, is the oldest and largest stock exchange in the U.S.; also known as the Big Board and The Exchange. Stocks, bonds, options and rights are traded on the floor of the exchange. The NYSE is the largest equities-based exchange in the world, based on the total market capitalization of its listed securities.
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New Issue Identification Dissemination System (NIIDS) is an automated system that disseminates new-issue information for municipal securities to vendors that provide such information to market participants. NIIDS also serves as the centralized and automated hub for the collection and dissemination of the required information to satisfy the Municipal Securities Rulemaking Board’s (MSRB’s) reporting standards.
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Nominee Name, also known as street name, is the name in which immobilized securities are registered with the issuer’s transfer agent if they are not registered to the beneficial owner. Securities held at DTC are registered in its nominee name, Cede & Co, and recorded on its books in the name of the brokerage firm through which they were purchased. On the brokerage firm’s books, they are assigned to the accounts of their beneficial owners.
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Nonperforming loans, which is the sum of non accruing and renegotiated loans. For Asia-Pacific banks, this field is as-reported by the company or, where not available, calculated as a sum of loans classified as substandard, doubtful and loss or represented by loans classified as impaired.
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Non segregated cash is the cash on the balance sheet that is not segregated (customer funds - per SEC 15c3-3 customer protection rule) and can be used for any purpose. In the opposite, the segregated cash (i.e. customer funds) has to be put in a separate account.
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A firm's long-term investments where the full value will not be realized within the accounting year. Examples include investments in other companies, intangible assets such as goodwill, brand recognition and intellectual property, property and equipment. This figure is a line item on firms' balance sheet.
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The North American Industry Classification System (NAICS), is a business-classification system developed through a partnership among the United States, Mexico and Canada. This classification system facilitates the comparison of statistics of all business activities across North America. Companies are classified and separated into industries that are defined by the same or similar production processes.
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Novation is an arrangement where a clearing corporation becomes the legal counterparty to a trade. It occurs when bilateral transactions are matched or compared by the clearing corporation.
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DTCC's subsidiary, National Securities Clearing Corporation (NSCC), established in 1976, provides clearing, settlement, risk management, central counterparty services and a guarantee of completion for certain transactions for virtually all broker-to-broker trades involving equities, corporate and municipal debt, American depositary receipts, exchange-traded funds, and unit investment trusts.
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The netted amount of securities shares a member is trading during the day.
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NSCC maintains a line of credit to enable it to satisfy losses and liabilities incident to the operation of its clearance and settlement business.
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The New York Stock Exchange (NYSE), founded in 1792, is the oldest and largest stock exchange in the U.S.; also known as the Big Board and The Exchange. Stocks, bonds, options and rights are traded on the floor of the exchange. The NYSE is the largest equities-based exchange in the world, based on the total market capitalization of its listed securities.
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Originator Code, or O-Code, is a DTCC-assigned unique identifier for a client organization that is used to authorize client access to client data. An O-Code can be present on one or multiple accounts under an organization, and is used to group access to underlying accounts.
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OCC can refer to: (1) The Office of the Comptroller of the Currency (OCC) charters, regulates, and supervises all national banks and federal savings associations as well as federal branches and agencies of foreign banks. The OCC is an independent bureau of the U.S. Department of the Treasury; (2) The Options Clearing Corporation (OCC), is an organization that acts as both the issuer and guarantor for options and futures contracts. Founded in 1973, the OCC is the largest equity derivatives clearing organization in the world.
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An offering is the issuance and sale of a security to generate capital for the Issuer. An offering will be accompanied by terms to inform investors/purchasers of relevant information related to the investment (e.g. distributions, investor commitments, voting rights).
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The Office of Foreign Assets Control (OFAC), of the US Department of the Treasury, administers and enforces economic and trade sanctions based on US foreign policy and national security goals against targeted foreign countries and regimes, terrorists, international narcotics traffickers, those engaged in activities related to the proliferation of weapons of mass destruction, and other threats to the national security, foreign policy or economy of the United States.
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The Office of the Comptroller of the Currency (OCC) charters, regulates, and supervises all national banks and federal savings associations as well as federal branches and agencies of foreign banks. The OCC is an independent bureau of the U.S. Department of the Treasury.
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An Omnibus Trade allows for the managed trade activity of more than one person or entity and provides for anonymity of the person/entity in the combined account.
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An order management system (OMS) is a computer software system used in a number of industries for order entry and processing.
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A report that reflects all open trades recorded with MBSD that are pending settlement.
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TBA positions that are open with a Contractual Settlement Date (CSD) equal to the current date or earlier.
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A fundamental value or behavior that users of an application/system and participants of a process are expected to demonstrate and adhere to.
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Operational Risk includes the risks posed internally by an organization’s infrastructure or policies and externally by natural events, malfunctions, or deliberate attacks.
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The Options Clearing Corporation (OCC), is an organization that acts as both the issuer and guarantor for options and futures contracts. Founded in 1973, the OCC is the largest equity derivatives clearing organization in the world.
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A trade type that identifies MBS TBA option trades.
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The “original face” is the par value of a pool at the time of issuance.
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Original Face Amount is the quantity of the financial instrument expressed as an amount representing the original principal of a debt instrument such as bond or mortgage backed security at the time of issuance.
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The genesis of data content prior to being captured electronically.
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Originator Code, or O-Code, is a DTCC assigned unique identifier for a client organization that is used to authorize client access to client data. An O-Code can be present on one or multiple accounts under an organization, and is used to group access to underlying accounts.
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An over-the-counter (OTC), market is a decentralized market in which market participants trade stocks, commodities, currencies, or other instruments directly between two parties and without a central exchange or broker. Over-the-counter markets do not have physical locations; instead, trading is conducted electronically.
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Ownership Equity is the total assets of an entity, minus its total liabilities. This represents the capital theoretically available for distribution to shareholders.
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The term “Par Amount” means, for Trade-for-Trade Transactions, Stipulated Trades and SBON Trades, Option Contracts and Pool Deliver and Pool Receive Obligations, the current face value of a Security to be delivered on the Contractual Settlement Date. With respect to Specified Pool Trades, “Par Amount” shall mean the original face value of a Security to be delivered on the Contractual Settlement Date.
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Par Value represents the value of a security as it appears on the certificate or instrument. Also known as face amount and/or face value.
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A Partially Matched Trade (PMAT) is a trade that occurs when either the selling or buying dealer (but not both) and the broker have matching trade terms.
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A Partially Settled Trade (PSET) is a trade with remaining open par value.
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A participant fund is a collateral account that each DTC participant must maintain to cover the risk it poses as a result of settlement activity in the DTC system and to provide DTC with a source of liquidity for the settlements of transactions. The required deposit, which is all cash, is calculated daily.
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Participant fund deposit is the sum of Participant Fund Requirement and the voluntary deposit. A Participant may make a Voluntary Participants Fund Deposit, to further support its activities. The Required and Voluntary Participants Fund Deposits must be in cash, which, if a Participant fails to settle for any reason, are available to DTC as immediate liquidity to complete settlement and collateral to support any borrowing against DTC lines of credit.
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A three-character numeric identifier representing the highest level of system identification.
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The Participant Information and Efficiency Report (PIER) provides a monthly summary of a client’s DTCC utilization activity. This report displays the firm’s trading relationships and transactional volume activity totals by product. For products having a money settlement component, the report includes the firm’s gross settlement amount for a given month.
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DTC’s Participant Subscription Offer Program (PSOP) processor allows participants to process information regarding rights offerings including subscriptions.
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DTC’s Participant Tender Offer Program (PTOP) processor allows participants to process information regarding tender and exchange offers.
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Pay date for the securities.
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Payment is the delivery of money or other valuable thing to satisfy an obligation.
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The payment date is the day in which a dividend or other entitlement to holders is paid. The issuing company’s board of directors announces the payment date at the same time it announces the dividend.
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Payment in Kind (PIK) is a bond that gives the issuer an option (during an initial period) either to make coupon payments in cash or in the form of additional bonds.
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DTC’s Payment Order (PO), service allows a participant to settle money payments for transactions that were processed separately through DTC either earlier that same day or on the previous day. There are two types of payment orders at DTC: Security Payment Orders (SPO’s) are used to collect a mark-to-market payment based on the difference between the current and previous market values of an open securities contract. Premium Payment Orders (PPO”s) are used to collect a net option contract premium for an opening writing or closing purchase transaction.
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If a pool submitted on a pool instruct is not on the MBSD masterfiles, or other important pool information such as pool factor is not on masterfiles, the instruct will be placed in Pending Pool Add status.
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Personal Identifiable Information (PII) refers to information that can be used on its own or combined with other information to identify an individual (e.g., name, address, phone number, email address, etc.).
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A Unique Pool Transaction ID (PID) is assigned by the pool netting system that is carried throughout the lifecycle of the pool instruct. Each accepted pool instruct will be assigned a PID. PID is sometimes used to refer to a pool instruct.
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The Participant Information and Efficiency Report (PIER) provides a monthly summary of a client’s DTCC utilization activity. This report displays the firm’s trading relationships and transactional volume activity totals by product. For products having a money settlement component, the report includes the firm’s gross settlement amount for a given month.
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Personal Identifiable Information (PII) refers to information that can be used on its own or combined with other information to identify an individual (e.g., name, address, phone number, email address, etc.).
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PIK (Payment in Kind) is a bond that gives the issuer an option (during an initial period) either to make coupon payments in cash or in the form of additional bonds.
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Place of Safekeeping (PSAF), is where the securities are safe-kept, physically or notionally. This place can be, for example, a global custodian, a local sub-custodian, a Central Securities Depository (CSD), or an International Central Securities Depository (ICSD).
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The Place of Settlement (PSET), is the receiving/delivering depository and is to be understood as the depository where the settlement will occur. The receiving depository in a delivery message, and the delivering depository in a receipt message, always relates to the depository where the counterparty instructions settle.
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A Partially Matched Trade (PMAT) is a trade that occurs when either the selling or buying dealer (but not both) and the broker have matching trade terms.
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A report that reflects all PMATs.
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DTC’s Payment Order (PO), service allows a participant to settle money payments for transactions that were processed separately through DTC either earlier that same day or on the previous day. There are two types of payment orders at DTC: Security Payment Orders (SPO’s) are used to collect a mark-to-market payment based on the difference between the current and previous market values of an open securities contract. Premium Payment Orders (PPO”s) are used to collect a net option contract premium for an opening writing or closing purchase transaction.
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A Unique Pool Obligation ID (POID) is assigned by the pool netting system as the result of the obligation generation process. A POID is carried throughout the lifecycle of the pool obligation. Each pool obligation generated by the pool netting system (to be settled by members versus FICC as CCP) will be assigned a POID.
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MBSD trade settlement requires the seller to allocate and assign specific pools using MBSD's Electronic Pool Notification (EPN) system. This includes TBA obligations established via the TBA netting processes well as obligations resulting from TFTD trades. Through the allocation process, sellers tell buyers the pools they intend to settle in satisfaction of their TBA obligations.
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Pool Comparison occurs when members submit pool details (in the form of Pool Instructs) via RTTM into the Pool Netting System for bilateral comparison.
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A Unique Pool Transaction ID (PID) is assigned by the pool netting system that is carried throughout the lifecycle of the pool instruct. Each accepted pool instruct will be assigned a PID. PID is sometimes used to refer to a pool instruct.
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Members must allocate pools to their TBA obligations via EPN and FICC will generate a pool instruct based on the EPN submission details. Members have the option to bilaterally submit instructions to match FICC pool Instructs or allow FICC to force compare Pool Instructs prior to the Pool Net and Pool Conversion process on Delivery Date.
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Pool Netting is a daily process that provides members the ability to net the pools allocated to their To Be Announced (TBA) obligations, resulting in a single net pool obligation per Pool Number. Expanded Pool Netting is an extension of the Pool Netting service that captures and converts to pool obligations those allocations that are ineligible for the initial Pool Netting cycle. The Expanded Pool Net process runs four times a month at the end of the business day prior to each (SIFMA) Contractual Settlement Date (CSD).
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Unique number assigned by the industry to identify the pool (in addition to the pool CUSIP, since the pool CUSIP is not always known at the time of issuance).
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A Unique Pool Obligation ID (POID) is assigned by the pool netting system as the result of the obligation generation process. A POID is carried throughout the lifecycle of the pool obligation. Each pool obligation generated by the pool netting system (to be settled by members versus FICC as CCP) will be assigned a POID.
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Process triggered when updates are made to the security master resulting in the re-evaluation of active PIDs to determine if any required actions need to be taken. For example, recalculating the final money, updating the PID status by assigning/lifting pending status or marking the PID for deletion.
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Pool Settlement Obligations includes Pool Obligations (POIDs) established via the current day’s Pool Netting cycle, failed POIDs from previous netting cycles, and POIDs generated from the POID Conversion process.
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Before the Pool Netting cycle has begun, if a Member chooses to substitute a pool that has already been submitted to Real Time Trade Matching (RTTM®) for Pool Netting, the member can send the substituted pool information via Electronic Pool Notification (EPN) cancel and correct message.
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A Position reflects the amount of a financial instrument owned (long position) or owed (short position) by an account owner. A dealer's position is also called inventory.
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An indicator of a firm's financial performance before taxes are accounted for. It is a line item on a firm's income states and shows how much the firm has earned after cost of goods sold, interest, depreciation, general and administrative expenses and other operating expenses have been subtracted from gross revenue.
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The price of the trade.
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A primary account is the lead account tied to an agreement. An account is automatically identified as a primary account if it is the only account tied to an agreement.
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Principal is the sum of money committed to the purchase of a security.
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P&I payments are cash entitlements including dividend, interest, periodic principal, redemption, and maturity payments arising from the servicing of securities eligible at the depository.
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The principal amount of a loan that remains to be paid expressed as percentage of the original loan amount. Used in mortgage backed and asset backed securities transactions.
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A dimension that classifies measures according to the profit & loss contribution of the portfolio of various factors, for example, capital appreciation, currency movements, dividend income, fees & taxes, market selection or stock picking.
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PSET can refer to: (1) A Partially Settled Trade (PSET) is a trade with remaining open par value; (2) The Place of Settlement (PSET), is the receiving/delivering depository and is to be understood as the depository where the settlement will occur. The receiving depository in a delivery message, and the delivering depository in a receipt message, always relates to the depository where the counterparty instructions settle.
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DTC’s Participant Subscription Offer Program (PSOP) processor allows participants to process information regarding rights offerings including subscriptions.
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DTC’s Participant Tender Offer Program (PTOP) processor allows participants to process information regarding tender and exchange offers.
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A report that serves as a legally binding confirmation of MBSD transactions and is compliant with Rule 10b-10 under the Securities Exchange Act of 1934.
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A put feature indicates whether a bond holder has the right, but not the obligation, to purchase the bonds, usually at par, at a certain time or times prior to maturity or upon the occurrence of specified events or conditions.
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Qualified Special Representative (QSR) is a NSCC full service member who has been granted status for the purpose of locking in trades for other NSCC members and/or their correspondent.
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Qualified Special Representative (QSR) is a NSCC full service member who has been granted status for the purpose of locking in trades for other NSCC members and/or their correspondent.
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Quantity of financial instrument to be settled expressed as units such as share quantity.
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The Reciver Authorization Delivery (RAD) process is a matching process that enables DTC receiving Participants to review and either approve or cancel a Deliver Order (DO).
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The largest potential liquidity need that occurred across a member and its Affiliated Family. This indicates the maximum amount of liquidity resources that the relevant DTCC subsidiary would potentially need to settle the outstanding purchase obligations of its largest member and its Affiliated Family in case of their simultaneous default. Raw Liquidity Needs reflect the aggregate need over the relevant settlement cycle.
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DTCC’s Repository and Derivatives Services (RDS) is a business dedicated to providing solutions for trade reporting and derivatives contract servicing. Repository Services enable firms to meet their global trade repository and reporting obligations for derivatives and securities financing transactions (SFT) through DTCC’s locally registered trade repositories as part of the Global Trade Repository service (GTR). The GTR ingests, validates, stores, and reports OTC and ETD derivative transaction information across all derivative asset classes. The GTR supports 5,250 clients across 8 jurisdictions, ingesting 1BN+ messages per month, storing 49m open positions, servicing 60+ regulators across 35 countries, comprised of over 300TB of derivatives data.
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A Real-time reporting System (RTRS) is a business intelligence practice that consists of gathering up-to-the-minute data and relaying it to users as it happens.
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Real Estate Investment Trust (REIT), is a publicly traded issue that manages a portfolio of real estate to earn profits. Traditionally these issues are eligible at DTC. Real Estate Investment Trust, an organization similar to an investment company in some respects but concentrating its holdings in real estate investments.
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Real-Time Trade Matching (RTTM) provides a common electronic platform for collecting and matching trade data, enabling the parties to trades to monitor and manage the status of their trade activity in real time. Through RTTM, the parties can track a transaction from trade entry through to clearance and regulatory reporting.
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Indicator of whether a pool instruct value has been recalculated due to a change in the transaction terms, such as a factor change.
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A Receive and Deliver Obligation is the remaining activity (obligation) generated from the netting process. The netted transaction from the buy and sell trades between two members results in a Receive Order and a Deliver Order.
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Participant that receives the security; for a payment order, the payor; for a collateral pledge the pledgee.
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The Receiver Authorization Delivery (RAD) process is a matching process that enables DTC receiving Participants to review and either approve or cancel a Deliver Order (DO).
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A reclaim is the return of a deliver order or payment order received by a Participant.
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The record date is the date by which an investor must own a stock in order to be eligible to receive an upcoming dividend. The issuing company’s board of directors announces the record date at the same time it announces the dividend.
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The record owner is the individual or institution whose name is recorded as the holder of record on the books of the security’s issuer. The record holder is not necessarily the beneficial owner. That is the case when Cede & Co. dematerialized securities in the custody of DTC, which individuals and institutions are the beneficial owners.
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Redemption is the process of repaying a debt obligation, either at the maturity date or before. Early redemption is handled by calling some or all of the issue.
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Represents debt instruments issued by the refunding corporation. The Resolution Funding Corporation (RefCorp) is a mixed-ownership government corporation established by the U.S. Congress in 1989. The sole purpose of RefCorp is to provide financing for the Resolution Trust Corporation (the “RTC”), which managed and resolved failed savings and loan institutions. RTC was dissolved in 1995 and RefCorp is to be dissolved, as soon as practicable, after the maturity and full payment of all obligations issued by it.
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A Refusal To Pay (RTP), is an instruction issued for either of the following two scenarios: An Issuer failure for Money Market Instrument (MMI) Securities where an issuing and paying Agent (IPA) refuses to pay for the presentment of maturity, income, principal and reorg payments for MMI securities. This typically occurs upon the default or insolvency of an issuer: A Settling Bank RTP where a settling bank refuses to settle on behalf of one or more participants it settles for.
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Real Estate Investment Trust (REIT), is a publicly traded issue that manages a portfolio of real estate to earn profits. Traditionally these issues are eligible at DTC. Real Estate Investment Trust, an organization similar to an investment company in some respects but concentrating its holdings in real estate investments.
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Submissions that have failed validation. All submissions rejected by RTTM are recorded into the system and can be accessed from the statistics panel. Rejected records are purged at end-of-day on submission date.
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Unique ID associated with a trade or pool instruct rejection.
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First of one or more reasons why the trade or pool instruct was rejected.
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A report that reflects rejected items via automated input methods. This report is available online via Report Center.
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Release of Controls (ROC), is a DTC settlement operational event that signals the successful conclusion of end of day settlement collection/disbursement with settling banks. This event does not mean that all participants settled with DTC, since there is a function that permits settlement to continue to apply the collateral control to accounts that may not have settled. Additionally, transactions free of value continue to be processed after Release of Controls.
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A reorganization is a corporate action that may result in changes to the company’s legal, operational or ownership structures. These changes are generally made to address a problem, improve efficiency, organization, and profitability, or increase the market price of the corporation’s stock.
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A Repurchase Agreement (REPO) is a fixed-income product. One party to the agreements sells securities to another and simultaneously agrees to buy back the same or similar securities at a specific future date at an agreed-upon price.
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Standard haircuts that are applied to Treasury and Mortgage products which are part of the defaulting Member's inbound securities as well as the Clearing Fund securities in each respective FICC division. These repo haircuts simulate what we anticipate the collateral value of the securities to be if we used the repo market to obtain financing.
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A risk measure that is being included as part of the VaR charge. It captures the risk and volatility associated with the repo rates. A repo (repurchase) transaction and the cost associated with the repo transaction is the repo rate, and it depends on the value of the collateral, how long the loan is for, and market conditions. The charge is based on our guarantee you will get your money plus the repo rate, therefor we go to the market to purchase the same securities.
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The total gross volume of repo transactions, as well as the number of repos and observations.
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Liquidity resources generated via Repo using the defaulting member's purchased securities as collateral.
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DTCC’s Repository and Derivatives Services (RDS) is a business dedicated to providing solutions for trade reporting and derivatives contract servicing. Repository Services enable firms to meet their global trade repository and reporting obligations for derivatives and securities financing transactions (SFT) through DTCC’s locally registered trade repositories as part of the Global Trade Repository service (GTR). The GTR ingests, validates, stores, and reports OTC and ETD derivative transaction information across all derivative asset classes. The GTR supports 5,250 clients across 8 jurisdictions, ingesting 1BN+ messages per month, storing 49m open positions, servicing 60+ regulators across 35 countries, comprised of over 300TB of derivatives data.
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A Repurchase Agreement (REPO) is a fixed-income product. One party to the agreements sells securities to another and simultaneously agrees to buy back the same or similar securities at a specific future date at an agreed-upon price.
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The total required fund deposit is the aggregate of all the clearing fund components, used to mitigate risk associated with settling the participant's trades and is considered an available liquidity resources if a firm were to default.
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The term “Required Fund Deposit” means the amount a Clearing Member is required to deposit to the Clearing Fund pursuant to Rule 4 of the MBSD Clearing Rules.
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A measure that identifies the return of assets in an investment fund, plan or portfolio.
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This indicates if it's the original trade or a reversal of a trade that was previously submitted.
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Risk Data Aggregation is the processes that define, gather, and process risk data according to the bank’s risk reporting requirements to enable the bank to measure its performance against its risk tolerance/appetite. This includes sorting, merging, or breaking down sets of data. For DTCC, RDA includes all processes used to calculate exposures of the CCPs to each of its clearing members’ portfolio of guaranteed unsettled net obligations and other risk management processes for the two CCPs and DTC.
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A risk measure that identifies the sum of the monetary amount of all outstanding or utilized credit exposures, that have been reduced by credit risk mitigation techniques, and then multiplied by the regulatory capital risk weighting, the resultant representing the amount of capital the financial institution is likely to lose from counter-parties failing to honor their obligations.
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Release of Controls (ROC), is a DTC settlement operational event that signals the successful conclusion of end of day settlement collection/disbursement with settling banks. This event does not mean that all participants settled with DTC, since there is a function that permits settlement to continue to apply the collateral control to accounts that may not have settled. Additionally, transactions free of value continue to be processed after Release of Controls.
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A Refusal To Pay (RTP), is an instruction issued for either of the following two scenarios: An Issuer failure for Money Market Instrument (MMI) Securities where an issuing and paying Agent (IPA) refuses to pay for the presentment of maturity, income, principal and reorg payments for MMI securities. This typically occurs upon the default or insolvency of an issuer: A Settling Bank RTP where a settling bank refuses to settle on behalf of one or more participants it settles for.
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A Real-time reporting System (RTRS) is a business intelligence practice that consists of gathering up-to-the-minute data and relaying it to users as it happens.
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Real-Time Trade Matching (RTTM) provides a common electronic platform for collecting and matching trade data, enabling the parties to trades to monitor and manage the status of their trade activity in real time. Through RTTM, the parties can track a transaction from trade entry through to clearance and regulatory reporting.
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Credit rating assigned to short-term and long-term debt instruments (and their issuers) by the S&P Rating agency.
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Settlement Balance Orders (SBO) are orders that constitute the net positions of a Clearing Member as a result of the TBA Netting process. The resulting transactions from this TBA Netting process are identified as SBON Trades.
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Settlement Balance Order Destined (SBOD) is a trade type used for trades in TBA CUSIPs eligible for SBO processing, when TBA netting is desired.
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Settlement Balance Order Netted (SBON) is the resulting transactions from the TBA Netting process.
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The U.S. Securities and Exchange Commission (SEC) adopted Regulation Systems Compliance and Integrity (SCI) to strengthen the technology infrastructure of the U.S. securities markets. Specifically, the rules are designed to: reduce the occurrence of systems issues, improve resiliency when system problems do occur, and enhance the Commission's oversight and enforcement of securities market technology infrastructure. Regulation SCI applies primarily to the systems of SCI entities that directly support any one of six key securities market functions - trading, clearance and settlement, order routing, market data, market regulation, and market surveillance ("SCI systems").
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Specially Designated Nationals (SDN), is a United States government sanctions/embargo list, managed by the Office of Foreign Assets Control (OFAC) targeting U.S.-designated individuals and companies owned or controlled by, or acting for or on behalf of, targeted countries. It also lists individuals, groups, and entities, such as designated terrorists, officials and beneficiaries of certain authoritarian regimes, and international criminals (e.g., drug traffickers), designated under programs that are not country-specific. Collectively, such individuals and companies are called "Specially Designated Nationals" (SDNs). Their assets are blocked and U.S. persons are generally prohibited from dealing with them.
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The U.S. Securities and Exchange Commission (SEC), is an independent agency of the United States federal government that protects investors by maintaining fair, orderly, and efficient markets and facilitating capital formation.
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The Section 31 Fee also known as SEC fee, is a nominal fee attached to the sale of exchange-listed equities, above and beyond any associated brokerage commissions, which may ultimately be absorbed by investors. The SEC fee is defined in Section 31 of the Securities Exchange Act of 1934 and is thus often referred to as the Section 31 Transaction Fee. These fees are designed to recover the costs incurred by the government, including the SEC, for supervising and regulating of the U.S. securities markets and securities professionals.
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The U.S. Securities and Exchange Commission (SEC), is an independent agency of the United States federal government that protects investors by maintaining fair, orderly, and efficient markets and facilitating capital formation.
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The Securities Industry and Financial Markets Association (SIFMA), is a United States industry trade group representing securities firms, banks, and asset management companies. The group works on legislation, business policy and regulations that affect investors and related services. Their stated goal is to promote fair markets and regulatory compliance.
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A security is a stock, bond, or other investment product issued by a corporation or government as a means of raising capital by offering investors something of value in exchange for cash. For example, purchasing stock givers the buyer an ownership share in the issuing corporation while a bond represents a debt owed to the holder.
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A security auction is a public auction, held weekly by the U.S. Treasury, of federal debt obligations—specifically, Treasury bills (T-bills), whose maturies range from one month to one year.
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Security Classification is the proprietary DTCC method of classifying securities into sub-categories based on shared qualities and characteristics.
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Securities Issuance is a process of offering securities in order to raise funds from investors. Securities Issuance shall also mean any reorganization, recapitalization, reclassification, stock dividend, stock split, combination of shares, exchange of shares for other shares of the companies, repurchase or redemption of shares, change in corporate structure or the like in which the outstanding securities would be increased, decreased or changed into or exchanged for a different number or kind of securities.
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A Security Movement refers to the physical or book-entry movement of a specific quantity of a particular financial instrument between two parties (accounts).
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The Stock Exchange Daily Official List (SEDOL), is a seven-character identification code assigned to securities that trade on the London Stock Exchange and various smaller exchanges in the United Kingdom.
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A Swap Execution Facility (SEF), is an electronic trading venue for derivative swap trading that provides pre-trade information, and a mechanism for executing swap transactions among eligible participants. Swap Execution Facilities are regulated by the Securities and Exchange Commission (SEC), and the Commodity Futures Trading Commission (CFTC).
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A Self-Regulatory Organization is an organization that exercises some degree of regulatory authority over an industry or profession. The regulatory authority could be applied in addition to some form of government regulation, or it could fill the vacuum of an absence of government oversight and regulation.
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Separate Trading of Registered Interest and Principal of Securities (STRIPS) are U.S. Treasury and agency securities that have had the interest-payment coupons separated or “stripped” from the principal, creating zero-coupon securities and separate payment securities from what was originally a single Treasury bond or note).
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Settlement is the post-trade process that finalizes the exchange of and payment for securities that have been traded. When these securities are dematerialized or immobilized in a CSD, such as DTC, the change in ownership is recorded electronically on the books of the brokerage firms whose clients authorized the trade. No certificates change hands. Financial settlement is handled by electronic transfer between the accounts that the buying and selling firms maintain at DTC.
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Dollar Amount that was settled with regards to this transaction.
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Settlement Balance Orders (SBO) are orders that constitute the net positions of a Clearing Member as a result of the TBA Netting process. The resulting transactions from this TBA Netting process are identified as SBON Trades.
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Settlement Balance Order Destined (SBOD) is a trade type used for trades in TBA CUSIPs eligible for SBO processing, when TBA netting is desired.
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Settlement Balance Order Netted (SBON) is the resulting transactions from the TBA Netting process.
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The settlement date is the date on which a securities transaction becomes final, with the seller’s broker delivering the security and the buyer’s broker delivering payment. Different securities can have different settlement dates. For example, with US stocks and municipal or corporate bonds, the settlement date is three business days after the trade date, or T + 1. Different countries can have different settlement periods.
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A Settlement Instruction is a message sent by an account owner to an account servicer instructing the receipt of financial instruments against payment or free of payment, physically or by book-entry, from a specified settlement counterparty, or the delivery of financial instruments against payment or free of payment, physically or by book-entry, to a specified settlement counterparty.
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A Settlement Obligation is a commitment to deliver or receive assets or cash to satisfy a Financial Transaction that was previously agreed upon by the parties engaged in the transaction. A Settlement Obligation may result in one or multiple asset deliveries/receipts and is often carried out by service providers (e.g. Custodians, Agents, Clearing brokers) on behalf of asset owners other than the principles (e.g. investment manager and executing broker) who agreed the transaction.
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Settlement Progress Payments (SPP) are intraday funds transfers via Fedwire to the DTC Master Account at the Federal Reserve Bank of New York. SPPs are credited towards any settlement obligation of the Participant and, by reducing the amount of the Participant’s net debit balance, may permit additional DVP transactions to process intraday.
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A settling bank is a bank that handles the electronic payment or receipt of funds associated with netted securities transactions for the financial firms that have selected the bank to act on their behalf. Payments in the United States move through the Federal Reserve’s Fedwire system and are irrevocable.
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A formal agreement between a client legal entity and a settling bank. A settling bank satisfies any end of day debits or credits with DTCC by handling the electronic payment or receipt of funds associated with netted securities transactions for financial firms that have selected the bank to act on their behalf. At DTCC, a settling bank must be a bank or trust company, be subject to supervision or regulation pursuant to Federal or State banking laws, and be a party to an effective Settling Bank Agreement. A settling bank must also have access to the Fedwire system and NSS (National Settlement Service).
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A Share or Shares, often called stocks or shares of stock, represent the equity ownership of a corporation divided up into units, so that multiple people can own a percentage of a business.
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Shares Outstanding refer to a company's stock currently held by all its shareholders, including share blocks held by institutional investors and restricted shares owned by the company’s officers and insiders. Shares that are outstanding are shown on a company’s balance sheet under the heading “Capital Stock.” The number of outstanding shares is used in calculating key metrics such as a company’s market capitalization, as well as its earnings per share (EPS) and cash flow per share (CFPS). A company's number of outstanding shares is not static and may fluctuate over time.
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The Shortened Process Cycle (SPC) charge is based on the amount of positions processed as non-standard settling trades. Since these trades are guaranteed before margin is collected, the SPC charge covers the additional exposure. SPC calculates a volatility charge daily on these positions. The highest three days are averaged from 20 days of history and result in the SPC charge.
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The Standard Industrial Classification (SIC), is a four-digit code that categorizes the industries that companies belong to while organizing them by their business activities.
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The Securities Industry and Financial Markets Association (SIFMA), is a United States industry trade group representing securities firms, banks, and asset management companies. The group works on legislation, business policy and regulations that affect investors and related services. Their stated goal is to promote fair markets and regulatory compliance.
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Systemically Important Financial Market Utility (SIFMU) is an entity whose failure or disruption could threaten the stability of the US financial system as designated by Financial Stability Oversight Council under Tile VIII of the Dodd-Frank Act. DTC, NSCC and FICC are each a SIFMU.
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Standard deviation of the price of the CUSIP.
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Simple Object Access Protocol (SOAP) is an Extensible Markup Language (XML) based messaging protocol specification for exchanging structured information in a decentralized and distributed environment. Its purpose is to provide extensibility, neutrality, and independence between service providers and consumers. It allows services running on disparate operating systems (such as Windows, macOS, and Linux) to be invoked and to authenticate, authorize, and communicate using XML. It is most often used with HTTP (Hypertext Transfer Protocol) as the transport protocol.
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The Required Participants Fund Deposit for each Participant is recalculated daily through a simulated requirement.
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A Stock and Loan and Repurchase Payment Order (SLPO) facilitates the exchange of funds between lenders and borrowers involved in stock loans and repurchase payment orders (repos).
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Simple Object Access Protocol (SOAP) is an Extensible Markup Language (XML) based messaging protocol specification for exchanging structured information in a decentralized and distributed environment. Its purpose is to provide extensibility, neutrality, and independence between service providers and consumers. It allows services running on disparate operating systems (such as Windows, macOS, and Linux) to be invoked and to authenticate, authorize, and communicate using XML. It is most often used with HTTP (Hypertext Transfer Protocol) as the transport protocol.
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The Society for Worldwide Interbank Financial Telecommunications (SWIFT), is an industry-owned cooperative that provides safe and secure financial transactions for its members. Established in 1973, SWIFT uses a standardized proprietary communications platform to facilitate the transmission of information about financial transactions. Financial institutions securely exchange this information, including payment instructions, among themselves.
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The credit rating of a country or sovereign entity.
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The Shortened Process Cycle (SPC) charge is based on the amount of positions processed as non-standard settling trades. Since these trades are guaranteed before margin is collected, the SPC charge covers the additional exposure. SPC calculates a volatility charge daily on these positions. The highest three days are averaged from 20 days of history and result in the SPC charge.
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Specially Designated Nationals (SDN), is a United States government sanctions/embargo list, managed by the Office of Foreign Assets Control (OFAC) targeting U.S.-designated individuals and companies owned or controlled by, or acting for or on behalf of, targeted countries. It also lists individuals, groups, and entities, such as designated terrorists, officials and beneficiaries of certain authoritarian regimes, and international criminals (e.g., drug traffickers), designated under programs that are not country-specific. Collectively, such individuals and companies are called "Specially Designated Nationals" (SDNs). Their assets are blocked and U.S. persons are generally prohibited from dealing with them.
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A Specified Pool Trade (SPT) is a trade where the pool number and original face are agreed to terms at the time of the trade. The parties to the trade have a legal obligation to deliver that specified pool in order to satisfy the terms of the trade. Although a SPT is a type of Trade-for-Trade, it is listed separately because the mandatory fields required for submission to RTTM® are different. For SPT's the pool number or pool CUSIP is part of the trade terms at trade execution. SPTs do not have to follow the SIFMA settlement calendar and are not allocated, since the pool is already known at the time of the trade.
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Splits are trades that are divided as a result of the MBSD trade matching process for dealers using the net position match mode. Splices are trades that are combined as a result of the MBSD trade matching process for dealers using the net position match mode.
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A report that reflects broker/dealer trade detail, Xref information and trade numbers for trades that were matched under the net position match mode.
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A Sponsored Member is an entity approved by the Clearing Corporation which enters into a relationship to be “sponsored” into membership via a Sponsoring Member.
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A Sponsoring Member is a clearing corporation netting member that that has been approved to establish a relationship with another entity considered a sponsored member. Sponsoring Members facilitate their sponsored clients’ trading activity and act as processing agents on their behalf for all operational functions, including trade submission and settlement with the central counterparty clearing corporation.
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Settlement Progress Payments (SPP) are intraday funds transfers via Fedwire to the DTC Master Account at the Federal Reserve Bank of New York. SPPs are credited towards any settlement obligation of the Participant and, by reducing the amount of the Participant’s net debit balance, may permit additional DVP transactions to process intraday.
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A Specified Pool Trade (SPT) is a trade where the pool number and original face are agreed to terms at the time of the trade. The parties to the trade have a legal obligation to deliver that specified pool in order to satisfy the terms of the trade. Although a SPT is a type of Trade-for-Trade, it is listed separately because the mandatory fields required for submission to RTTM® are different. For SPT's the pool number or pool CUSIP is part of the trade terms at trade execution. SPTs do not have to follow the SIFMA settlement calendar and are not allocated, since the pool is already known at the time of the trade.
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A Self-Regulatory Organization (SRO) is an organization that exercises some degree of regulatory authority over an industry or profession. The regulatory authority could be applied in addition to some form of government regulation, or it could fill the vacuum of an absence of government oversight and regulation.
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Standing Settlement Instructions (SSI) govern the delivery of financial instruments between two counterparties.
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The Standard Industrial Classification (SIC), is a four-digit code that categorizes the industries that companies belong to while organizing them by their business activities.
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Standing Settlement Instructions (SSI) govern the delivery of financial instruments between two counterparties.
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A TBA trade with stipulation (STIP) are trades in which there is a stipulation on one of more of the trade terms. Although members submit trades into the Real Time Trade Matching (RTTM) system indicating that they are STIP, the actual stipulated terms are unknown to FICC. STIPs are not included in the TBA netting process and must be allocated via Electronic Pool Notification (EPN) and will be converted to pool obligations to settle based on the settlement date agreed to as part of the terms of the trade.
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A TBA trade with stipulation (STIP) are trades in which there is a stipulation on one of more of the trade terms. Although members submit trades into the Real Time Trade Matching (RTTM) system indicating that they are STIP, the actual stipulated terms are unknown to FICC. STIPs are not included in the TBA netting process and must be allocated via Electronic Pool Notification (EPN) and will be converted to pool obligations to settle based on the settlement date agreed to as part of the terms of the trade.
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A Stock and Loan and Repurchase Payment Order (SLPO) facilitates the exchange of funds between lenders and borrowers involved in stock loans and repurchase payment orders (repos).
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The Stock Exchange Daily Official List (SEDOL), is a seven-character identification code assigned to securities that trade on the London Stock Exchange and various smaller exchanges in the United Kingdom.
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Straight-Through Processing (STP) is the automated processing of a transaction or piece of work from beginning to end requiring no manual participation or intervention; including the handling of any exceptions that could possibly occur during processing. Based on DTCC’s Life Cycle of a Security, STP is an automated communications environment in which data are entered once and forwarded electronically through every phase of a security transaction from trade to settlement, never having to be re-entered. This reduces errors and speeds up processing.
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Straight-Through Processing (STP) is the automated processing of a transaction or piece of work from beginning to end requiring no manual participation or intervention; including the handling of any exceptions that could possibly occur during processing. Based on DTCC’s Life Cycle of a Security, STP is an automated communications environment in which data are entered once and forwarded electronically through every phase of a security transaction from trade to settlement, never having to be re-entered. This reduces errors and speeds up processing.
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STRIDE is the internal governance framework to execute on DTCC’s strategic roadmap.
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Separate Trading of Registered Interest and Principal of Securities (STRIPS) are U.S. Treasury and agency securities that have had the interest-payment coupons separated or “stripped” from the principal, creating zero-coupon securities and separate payment securities from what was originally a single Treasury bond or note).
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The date and time a transaction was submitted.
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A debt instrument offered by a Federal Agency that places the investor in a lien position behind or subordinated to a company’s primary creditors. Securities issued as subordinated debt will pay interest and principal but only after all interest that is due and payable has been paid on any and all senior debt.
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A report that serves as a legally binding confirmation of MBSD trades that had been matched and subsequently cancelled within a given pass. The modifications to these trades will also appear on this report.
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A Swap Execution Facility (SEF), is an electronic trading venue for derivative swap trading that provides pre-trade information, and a mechanism for executing swap transactions among eligible participants. Swap Execution Facilities are regulated by the Securities and Exchange Commission (SEC), and the Commodity Futures Trading Commission (CFTC).
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The Society for Worldwide Interbank Financial Telecommunications (SWIFT), is an industry-owned cooperative that provides safe and secure financial transactions for its members. Established in 1973, SWIFT uses a standardized proprietary communications platform to facilitate the transmission of information about financial transactions. Financial institutions securely exchange this information, including payment instructions, among themselves.
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System Identification specifies the unique identifier for a system in DTCC.
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The price of any trade or any Pool Deliver or Pool Receive Obligation not including accrued interest, established by the Corporation on each Business Day, based on current market information, for each Eligible Security.
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Systemic Risk is the possibility that an entire inter-related system of institutions or structures could be crippled or even collapse if a component of that system failed.
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Systemically Important Financial Market Utility (SIFMU) is an entity whose failure or disruption could threaten the stability of the US financial system as designated by Financial Stability Oversight Council under Tile VIII of the Dodd-Frank Act. DTC, NSCC and FICC are each a SIFMU.
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The U.S. Securities and Exchange Commission (SEC) adopted Regulation Systems Compliance and Integrity (SCI) to strengthen the technology infrastructure of the U.S. securities markets. Specifically, the rules are designed to: reduce the occurrence of systems issues, improve resiliency when system problems do occur, and enhance the Commission's oversight and enforcement of securities market technology infrastructure. Regulation SCI applies primarily to the systems of SCI entities that directly support any one of six key securities market functions - trading, clearance and settlement, order routing, market data, market regulation, and market surveillance ("SCI systems").
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A Tax Election is a certification (subject to audit) of favorable income tax status (tax relief) on behalf of the beneficiary / owner of a Financial Instrument under tax withholding rules defined by applicable tax treaties.
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A Tax Election Communication is a notification from DTC participants that they wish to assert applicable tax relief elections to ensure correct tax withholding.
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A Tax Event is a corporate action event that has tax withholding and/or reporting implications for DTC participants and beneficial owners.
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A Tax Event Announcement is a notification to DTC participants that an upcoming income event may result in tax impact as a prompt to assert any applicable tax relief elections to ensure correct tax withholding.
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A Tax Event Capture is the process of receiving taxable event information from issuers or their agents and from internal (corporate tax) and external tax counsels. Information is sourced from internal master file or proxy statements.
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A tax treaty is a bilateral (two-party) agreement made by two countries to resolve issues involving double taxation of passive and active income of each of their respective citizens. Income tax treaties generally determine the amount of tax that a country can apply to a taxpayer's income, capital, estate, or wealth.
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A Tax Withholding Calculation is the process for determining the income tax withholding amount according to tax withholding rules for the jurisdiction and any applicable tax relief elections.
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A Tax Withholding Rule is the income tax rate and the criteria by which each rate is deemed applicable according to the terms of Tax Treaties.
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Taxpayer Identification Number (TIN) is an identification number used by the Internal Revenue Service (IRS) in the administration of tax laws. It is issued either by the Social Security Administration (SSA) or by the IRS. A Social Security number (SSN) is issued by the SSA whereas all other TINs are issued by the IRS.
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The term TBA or "To-Be-Announced” means a contract for the purchase or sale of a mortgage-backed security to be delivered at an agreed-upon future date because as of the transaction date, the seller has not yet identified the terms of the contract (such as the pool information) to the buyer.
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The TBA Reprice is a process in which all open TBA trades will be fully settled and the system will automatically generate replacement trades at the system price and create a cash differential. This process is run four times each month on 24-hour day for trades with a SIFMA CSD.
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The TBA Settlement Obligation is the result of the TBA netting process. The TBA net algorithm creates a single net long or short position for each client per TBA CUSIP and settlement date by offsetting the value of multiple positions and/or payments due to be exchanged via FICC.
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TBA (To-Be-Announced) Trades are contracts identified by matching two trade instructs submitted by clients capturing the underlying attributes of an agency MBS (Mortgage Backed Securities) pool to be determined prior to settlement.
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MBSD’s To-Be-Announced (TBA) Netting service reduces members’ overall TBA settlement obligations by netting member trades with certain like terms versus MBSD, resulting in fewer trades requiring allocation and settlement. This ultimately lowers clearing costs.
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A tender offer is an offer to purchase some or all of the outstanding stock that investors hold in a target company at a certain price by a certain date. The bidder may offer cash or other securities as payment, provided that a sufficient number of shareholders agree to sell.
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The Thomson Financial Identifier (TFID) is an Institutional Trade Processing (ITP)-specific client identifier that is automatically generated by People and Orgainization (PNO), when a client organization is created in the PNO database.
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The Thomson Financial Identifier (TFID) is an Institutional Trade Processing (ITP)-specific client identifier that is automatically generated by People and Orgainization (PNO), when a client organization is created in the PNO database.
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A stock symbol or ticker symbol is an abbreviation used to uniquely identify publicly traded shares of a particular stock on a particular stock market .
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A Transaction ID (TID) A 10-digit number that is generated by the RTTM system upon trade acceptance to identify a specific transaction.
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The core measure of a bank's financial strength. It is composed of core capital, which consists primarily of common stock and disclosed reserves (or retained earnings), but may also include redeemable non-cumulative preferred stock.
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The term “Tier One Member” means a Clearing Member whose membership category has been designated as such by the Corporation pursuant to Rule 2A for loss allocation purposes.
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The term “Tier Two Member” means a Clearing Member whose membership category has been designated as such by the Corporation pursuant to Rule 2A for loss allocation purposes.
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Taxpayer Identification Number (TIN) is an identification number used by the Internal Revenue Service (IRS) in the administration of tax laws. It is issued either by the Social Security Administration (SSA) or by the IRS. A Social Security number (SSN) is issued by the SSA whereas all other TINs are issued by the IRS.
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The term TBA or "To-Be-Announced” means a contract for the purchase or sale of a mortgage-backed security to be delivered at an agreed-upon future date because as of the transaction date, the seller has not yet identified the terms of the contract (such as the pool information) to the buyer.
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All of a firm's debt plus the shareholders' equity, which may include items such as common stock, preferred stock, and minority interest.
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All unpaid balances of money or its equivalent received or held by an institution in the usual course of business and for which it has given or is obligated to give credit to a commercial checking, savings, time, or thrift account; trust funds; and money received or held by a bank.
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Total liabilities as carried on the balance sheet and defined by the indicated accounting principles. Excludes minority interests and other mezzanine-level financings.
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Within FICC, this is the total aggregate liquidity need for the member family with the largest potential liquidity need on that day in the event of the member family's instantaneous default.
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Total loans and leases before adjustments for unearned income or loan loss reserve.
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The aggregate Participants Fund includes four component amounts, as set forth below: the “Core Fund”, the “Base Fund”, the “Incremental Fund” and the “Liquidity Fund”. The Core Fund is set by DTC at an aggregate amount of $450 million and is comprised of the Base Fund and the Incremental Fund. The Base Fund is the sum of minimum deposits by all Participants, i.e., the amount that is $7,500, times the number of Participants, at any time. The Incremental Fund is the balance of the Core Fund up to $450 million; this is the amount that must be ratably allocated among Participants that are required to pay more than a minimum deposit. The Liquidity Fund component (set at $700 million) applies to Participants whose Affiliated Families have Net Debit Caps that exceed $2.15 billion.
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Cash inflows that can be generated within an Affiliated Family (across Main Accounts) 12M from DOI by satisfying any residual delivery obligations with residual shares from their purchase obligations plus GCF and FOS. The liquidity need (net of inflows that can be generated within the affiliated family) for settlement obligations beyond 12M from the Date of Insolvency.
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The liquidity need for settlement obligations from 6 days and up to 12 months from the Date of Insolvency (DOI); the net of inflows that can be generated within the Affiliated Family (across Main Accounts) by satisfying any residual delivery obligations with residual shares from their purchase obligations.
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A trade represents a transaction of buying or selling a stock, bond or other type of financial instrument at an agreed-upon price at which the transaction will be executed between the buyer and the seller.
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Trade-For-Trade refers to a securities transaction that is directly settled by the buying and selling firms.
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Trade Comparison is the first step in the clearance and settlement of securities. It consists of the receipt, validation, and reporting of data received from members on the long and short sides of a securities transaction evidencing a match of trade terms that facilitates timely settlement.
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The date the original trade was executed. On SBON obligations, it is the date that the SBON obligation was generated as the result of the TBA net.
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Trade Information Warehouse (TIW) is a system that provides record retention and asset servicing of cleared and bilateral credit derivatives. TIW’s infrastructure provides automated operational capabilities across three service offerings – Warehousing, Lifecycle Event Processing, and Central Settlement.
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Trade Netting is a process whereby an agreed offsetting of mutual positions by two (bilateral) or more (multilateral) participants of a clearing system is performed. All trades are pooled and buys and sells are offset with each other, resulting one long or short position to settle for each security, creating a single credit or debit position for cash.
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An order management system (OMS) is a computer software system used in a number of industries for order entry and processing.
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Trade Suite automates the messaging and settlement for equities and Fixed Income U.S securities. It also generates one agreed trade message between broker/dealer, institution, custodian, and interested parties.
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The Valuation captures the fair value of an asset or contract based on the current market price or the price for similar assets. A Valuation is a separate piece of information that must be reported on each derivative trade submitted to a Trade Repository. Valuations are captured separately and subsequently merged onto an OTC derivative position.
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Ticker symbol of the security.
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The total number of shares of a security that are traded during a given period of time.
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A Transaction ID (TID) A 10-digit number that is generated by the RTTM system upon trade acceptance to identify a specific transaction.
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The Transaction Price represents the value at which a security is bought or sold in the listed or over-the-counter marketplace. Also known as “Trade Price” or "Deal Price".
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A transfer agent is a trust company, bank, or similar institution assigned by a corporation to process transfers and registration of shares of stock (stock certificates). Transfer agents record changes of ownership, maintain the issuer's security holder records, cancel and issue certificates, and distribute dividends. A transfer agent may also further act as an intermediary for the company by acting as proxy agent (sending out proxy materials), exchange agent (exchanging a company’s stock or bonds in a merger), tender agent (tendering shares in a tender offer), and mailing agent (mailing the company’s quarterly, annual, and other reports).
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A security that is identical to a U.S. treasury bond except that principal and coupon payments are adjusted to eliminate the effects of inflation.
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A security that is identical to a U.S. treasury note except that principal and coupon payments are adjusted to eliminate the effects of inflation.
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A security that is identical to a U.S. treasury STRIP except that principal and coupon payments are adjusted to eliminate the effects of inflation.
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Third-party software from FIS used primarily by Treasury. It is the primary centralized cash management system used to process fund transfers, reconcile bank accounts, and manage debt and investments.
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A negotiable debt obligation issued by the U.S. government and backed by its full faith and credit, having a maturity of one year or less. U.S. Treasury Bills are exempt from state and local taxes. These securities do not pay a coupon rate of interest, and the interest earned is estimated by taking the difference between the price paid and the par value of the bond, and calculating that rate of return on an annual basis. Treasury Bills are considered the safest securities available to the U.S. investor, and so the yield on these securities are considered the risk-free rate of return.
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A negotiable, coupon-bearing debt obligation issued by the U.S. government and backed by its full faith and credit, having a maturity of more than 7 years. Interest is paid semi-annually. U.S. Treasury Bonds are exempt from state and local taxes. These securities have the longest maturity of any bond issued by the U.S. Treasury, from 10 to 30 years. The 30-year bond is also called the "long bond". Denominations range from $1000 to $1 million. U.S. Treasury Bonds pay interest every 6 months at a fixed coupon rate. These bonds are not callable, but some older U.S.Treasury Bonds available on the secondary market are callable within five years of the maturity date. also called Treasury bond or T-bond.
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A negotiable debt obligation issued by the U.S. government and backed by its full faith and credit, having a maturity of between 1 and 10 years. U.S. Treasury Notes are safe investments and are actively traded in the secondary market. also called Treasury Note.
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Designates “Uncompared Pool Add” status. Note that the current face for pool instructs in this status is equal to zero because the system does not calculate pool instructs that are pending (pools that were submitted, but were not processed yet, due to a factor not being on FICC's masterfiles, for example).
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Underwriting Central (UWC) is one of the core applications used for the DTC New Issue Eligibility service and currently supports the distribution of Retail (brokered) Certificates of Deposit in electronic form (eCDs). In UWC, the Underwriter has the ability to disseminate electronic master certificates to the Issuer for electronic signature. The signed eCD certificate is then stored in an eVault.
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Underwriting Eligibility Review is the process in which an issue is reviewed to determine whether it meets the standards of DTC's Operational Arrangements (OA) to qualify for DTC's full services.
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The share of the labor force that is jobless, expressed as a percentage. It is a lagging indicator, meaning it generally rises or falls in the wake of changing economic conditions, rather than anticipating them.
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A Unique Trade Identifier (UTI) is a synthetically created DTCC internal identifier used to uniquely identify trades that are ingested into the GTR.
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A Unit Investment Trust (UIT) is an exchange-traded mutual fund offering a fixed (unmanaged) portfolio of securities, generally comprised of stocks and bonds, as redeemable units to investors for a specific period of time.
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Universal Trade Capture (UTC) is a service that validates and reports equity transactions that are submitted to NSCC throughout the trading day by an exchange or by Qualified Special Representatives (QSRs) that is an NSCC Member.
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A status that refers to Trade Instructs or Cancels that have not yet matched with contra-side input.
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A form of debt instrument usually issued by the U.S. Treasury whose two components, interest and repayment of principal, are separated and sold individually as zero-coupon bonds. "STRIP" is an acronym for "Separate Trading of Registered Interest and Principal of Securities".
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Universal Trade Capture (UTC) is a service that validates and reports equity transactions that are submitted to NSCC throughout the trading day by an exchange or by Qualified Special Representatives (QSRs) that is an NSCC Member.
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A Unique Trade Identifier (UTI) is a synthetically created DTCC internal identifier used to uniquely identify trades that are ingested into the GTR.
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Underwriting Central (UWC) is one of the core applications used for the DTC New Issue Eligibility service and currently supports the distribution of Retail (brokered) Certificates of Deposit in electronic form (eCDs). In UWC, the Underwriter has the ability to disseminate electronic master certificates to the Issuer for electronic signature. The signed eCD certificate is then stored in an eVault.
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Value-Added Tax (VAT), also known as Goods and Services Tax (GST), is a consumption tax that is assessed on products at each stage of the production process – from labor and raw materials to the sale of the final product. The VAT is assessed incrementally at each stage of the production process where value is added. However, it is ultimately passed on to the final retail consumer. VAT is the world’s most common form of consumption tax, in place in more than 160 countries, including every economically advanced nation except the United States.
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Value- at-Risk (VaR) is a risk measure intended to aid in market volatility anticipation based on a predefined historical look-back period and confidence level.
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Value-at-Risk (VaR) is a risk measure intended to aid in market volatility anticipation based on a predefined historical look-back period and confidence level.
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CUSIP contribution to the overall VaR charge.
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The VaR Model Test records the occurrence of backtesting a Value-at-Risk model. "Backtesting" means the comparison of a bank's internal estimates with actual outcomes during a sample period not used in model development.
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A Variable Rate Demand Obligation (VRDO), is a municipal or corporate debt instrument that has weekly put features and pays interest at a variable rate.
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Value-Added Tax (VAT), also known as Goods and Services Tax (GST), is a consumption tax that is assessed on products at each stage of the production process – from labor and raw materials to the sale of the final product. The VAT is assessed incrementally at each stage of the production process where value is added. However, it is ultimately passed on to the final retail consumer. VAT is the world’s most common form of consumption tax, in place in more than 160 countries, including every economically advanced nation except the United States.
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The average price at which a security was traded throughout a given day, determined by using trades entering DTCC's trade capture systems. It is calculated by adding up the dollar value of all trades (price of a trade multiplied by number of securities traded) and then dividing by the total number of securities traded.
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A Variable Rate Demand Obligation (VRDO), is a municipal or corporate debt instrument that has weekly put features and pays interest at a variable rate.
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The Weighted Average Coupon (WAC), is the weighted average of the coupon interest rates of the underlying loans. If the collateral consists of pools, as with FHLMC Giants, FNMA Megapools, or GNMA Platinums, then it is the weighted average of the underlying pool WACs. If WAC is not published for a pool, it is approximated by adding an assumed service fee to the published Coupon rate. The difference between the WAC and the Coupon is known as the service fee - the fee retained by the servicer.
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The Weighted-Average Loan Age (WALA), is the weighted average number of months since origination of the underlying loans, or, if the collateral consists of pools, the weighted average of the underlying pool WALAs.
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The Weighted-Average Maturity (WAM), is the weighted average of the number of months to maturity of the underlying loans, or, if the collateral consists of pools - as with FHLMC Giants, FNMA Megapools and GNMA Platinums - the weighted average of the underlying pool WAMs. Also known as weighted average remaining maturity (WARM) and weighted average remaining term (WART).
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The Weighted-Average Loan Age (WALA), is the weighted average number of months since origination of the underlying loans, or, if the collateral consists of pools, the weighted average of the underlying pool WALAs.
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The Weighted-Average Maturity (WAM), is the weighted average of the number of months to maturity of the underlying loans, or, if the collateral consists of pools - as with FHLMC Giants, FNMA Megapools and GNMA Platinums - the weighted average of the underlying pool WAMs. Also known as weighted average remaining maturity (WARM) and weighted average remaining term (WART).
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The Weighted Average Coupon (WAC), is the weighted average of the coupon interest rates of the underlying loans. If the collateral consists of pools, as with FHLMC Giants, FNMA Megapools, or GNMA Platinums, then it is the weighted average of the underlying pool WACs. If WAC is not published for a pool, it is approximated by adding an assumed service fee to the published Coupon rate. The difference between the WAC and the Coupon is known as the service fee - the fee retained by the servicer.
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When Issued indicates if a security is subject to trade conditionally because it has been authorized but not yet issued.
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A Withdrawal By Transfer (WT), is a type of withdrawal of physical securities from DTC for re-registration. The certificates are transferred from the DTC's nominee name, Cede & Co., to the name of a participant or customer.
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A Withdrawal By Transfer (WT), is a type of withdrawal of physical securities from DTC for re-registration. The certificates are transferred from the DTC's nominee name, Cede & Co., to the name of a participant or customer.
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Extensible Markup Language (XML) is a markup language that defines a set of rules for encoding documents in a format that is both human-readable and machine-readable.
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An External Reference (XREF) is a unique internal identifier assigned by a participant to each trade. The XREF assists participants in the reconciliation process and can be up to 16 alphanumeric characters.
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Year-To-Date (YTD), is a period, starting from the beginning of the current year (either the calendar year or fiscal year) and continuing up to the present day.
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Year-To-Date (YTD), is a period, starting from the beginning of the current year (either the calendar year or fiscal year) and continuing up to the present day.
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