Cash Settlement is a daily automated process of settling cash credit and debit amounts between members and FICC. To provide this service, FICC employs the Federal Reserve Bank’s National Settlement Service (NSS) to debit and credit net settlement obligations at the settling bank level of MBSD members*. FICC calculates all the COIs at the aggregate level. The individual debits and credits of all members using the same settling bank are totaled. Once the net debits / credits are approved at the bank level**, the Fed debits and / or credits each bank. The banks then debit and/or credit the MBSD members’ accounts for which they settle.
Cash Settlement occurs at the aggregate level, not at the account level. Amounts are totaled across all accounts that roll-up to a given aggregate to arrive at the net debit or credit amount.
The table below lists Cash Settlement Items (CSI), as well as additional items (Mark-to-Market, P&I, and TBA-Related TAPs) that settle via Cash Settlement.
For more details relating to the calculations on these cash obligation items (COIs), please download the pdf MBSD Cash Settlement Update: Testing the Deterministic Risk Components (404 KB) slide deck.
| CSI Type | Explanation | Due Date | Report Center Location | Report Center Report |
| TBA | TBA Transaction Adjustment Payments | Contractual Settlement Date | MBS Clearing | TBANetDetailReport_A |
| DNA | DNA Transaction Adjustment Payments | Contractual Settlement Date | MBS Clearing | DNAReport |
| TAP | Pool Net Transaction Adjustment Payments | Contractual Settlement Date | MBS PoolNet | MBSD_CCP_POOL_NETTING_DETAIL or MBSD_CCP_POOL_NETTING_SUMMARY |
| EXP | Expanded Pool Net Transaction Adjustment Payments | Contractual Settlement Date | MBS PoolNet |
EXPANDED_POOLNET_DETAIL or
EXPANDED_POOLNET_SUMMARY
|
| RPC | TBA Re-Price Transaction Adjustment Payments | Contractual Settlement Date | MBS Clearing | TBARepriceReport |
| VAR | Variance Transaction Adjustment Payment | Contractual Settlement Date | MBS Clearing | TBARepriceReport |
| FAC | Factor Update Adjustment | Next business day after factor update | MBS PoolNet | POID_FACTOR_UPDATE |
| CLA | Clearance Adjustment | Following month's Class B net payable date | n/a | n/a |
| PRN | Principal Payments | Day after obligation settles | MBS PoolNet | MBSD_CCP_PANDI |
| INT | Interest Payments | Day after obligation settles | MBS PoolNet | MBSD_CCP_PANDI |
| CMS | Broker Commissions | Class B net payable date following the trade's contractual settlement date | MBS Clearing |
DealerCommissionFeesReport_P (for Dealer Account)
BrokerCommissionFeesReport_P (for Broker Account)
|
| FEE | MBSD Billing Fee | Following month's Class B Settlement date | n/a - VBILL | Monthly Invoice |
| TMP | TMPG charges *** | Following month's Class B Settlement date | MBS PoolNet | MBSD_TMPG_MONTHLY_RECAP |
| CPR | CPR Claims | Following month's Class B Settlement date, if applicable | n/a | n/a - adhoc. Details in CPR Claim Letter |
| TMF | TMPG Financing Amounts | Following month's Class B Settlement date | n/a | N/A (see description) |
| TEM | Full-month interest for TBA fail | Daily as applicable | MBS Clearing | M_MTMDetail |
| ATM | Fail TBA interest adjust for CSD month | Daily as applicable | MBS Clearing | M_MTMDetail |
| PEM | I in P&I | Daily as applicable | MBS Clearing | M_MTMDetail |
| ALM | Fail pool interest adjust for CSD month | Daily as applicable | MBS Clearing | M_MTMDetail |
| APM | Adjust to par for principal paid | Daily as applicable | MBS Clearing | M_MTMDetail |
| TIM | TBA fail interest for current month | Daily as applicable | MBS Clearing | M_MTMDetail |
| PIM | Pool fail interest for current month | Daily as applicable | MBS Clearing | M_MTMDetail |
| PFM | Pool fail mark excluding interest | Daily as applicable | MBS Clearing | M_MTMDetail |
| MFM | TBA fail mark excluding interest | Daily as applicable | MBS Clearing | M_MTMDetail |
| MTM | Forward mark for TBA | Daily as applicable | MBS Clearing | M_MTMDetail |
| PTM | Pool TAP mark | Daily as applicable | MBS Clearing | M_MTMDetail |
| MGN | TBA (or any Miscellaneous TAP with a future due date) | 48-Hour and 24-Hour Days | MBS Clearing | TBANetDetailReport_A |
| MGR | Margin Tap Return | 24-Hour Day and Contractual Settlement Date | MBS Clearing | TBANetDetailReport_A |
| MGI | Margin Tap Return Interest | 24-Hour Day and Contractual Settlement Date | n/a | n/a; MGI = MGR x (1/360) x (Overnight Interest Rate/100) |
| MRR | Mark Return | Daily as applicable | MBS Clearing | M_MTMDetail from previous day |
| MRI | Mark Return Interest | Daily as applicable | n/a | n/a; MRI =MRR x (1/360) x (Overnight Interest Rate/100) |
| MIS | Miscellaneous from TBA Clearing | When applicable, will be posted next day | n/a | n/a - adhoc charges |
| MSC | Miscellaneous from Pool Netting | When applicable, will be posted next day | n/a | n/a - adhoc charges |
| MSE | Miscellaneous from EPN | When applicable, will be posted next day | n/a | n/a - adhoc charges |
*In order for a bank to be a Cash Settlement Bank, it must be a member of the Federal Reserve Bank.
**Members that self-clear do not have to approve the debits or credits.
***TMPG stands for the Treasury Market Practices Group.
****See MBSD Timeframes and Cut-off Schedule on DTCC.com for debit and credit timeframes