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MBSD Cash Settlement

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.

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  MBSD Cash Settlement Update: Testing the Deterministic Risk Components 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

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