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FICC's MBS Division provides the Pool Substitution message (or “CC” for Cancel/Correct) to support the simultaneous cancel of previously allocated pools with the notification of substituted pools. This benefit of this message is that it provides EPN members with time-stamped evidence of delivery of a Pool Substitution. Like all EPN message types the processing of the Pool Substitution message is subject to The Securities Industry and Financial Markets Association (SIFMA) guidelines governing good delivery (for example, tolerable variance or number of pools per million, etc.) Members are referred to the Uniform Practices published by SIFMA for detailed information on good delivery guidelines.
Pool Substitution messages are passed to counterparties on a real time basis through EPN, and standard EPN validations are performed on Pool Substitution messages – that is the message will be validated for data integrity, but not for business terms. Consistent with other business messages, validation of the business terms of the Pool Substitution message is the responsibility of the sending and receiving members.
Submission of pool details in the Pool Substitution message require a system-defined ordering scheme whereby canceled lots are immediately followed by substituted lots.
Click here to view the Pool Substitution Processing guidelines.