For most fixed income products, clients typically match on accrued interest and net money on both the block and allocation. This information isn’t available for TBAs. Many brokers allege TBAs without accrued interest, while investment managers do allege accrued interest. In the current scenario this results in a MISM (mismatch).
To handle this situation the best practice is for CTM investment managers to 1) set up a new default TBA match profile in the Client Facing Dashboard and 2) add the Bypass Matching for TBA Securities (BMTS) subscription option to their CTM BIC. Your firm’s CTM Product Administrator can submit a case in Service Central to enable this subscription option.
For TBA trades with non-USDI brokers: If the BMTS subscription option is set to Y (Yes), the trade is a TBA, and the broker is not a USDI broker, then CTM automatically invokes the TBAN-DEFAULT profile.
For TBA trades with USDI brokers: If the BMTS subscription option is set to Y and used in conjunction with the USMP (USDI Matching Profile) subscription option, this provides USDI investment managers the ability to create a USDI specific profile for TBA securities. CTM only invokes the USDI-TBAN-DEFAULT profile when both options are set to Y and only when the executing broker counterparty is also subscribed to USDI.
Also note the following:
- The TBA match profile is invoked if the Type of Financial Instrument (TOFI)=TBAN or the investment managers's Security Type=CUSIP and the investment managers's Security Code starts with 01F, 01N, 02R or 21H, or the investment managers's Security Type=ISIN and the investment managers's Security Code starts with US01F, US01N, US02R, or US21H.
- In addition, there is an existing subscription option, TBAP, that allows investment managers to get their values back from CTM--not the broker’s values.
You and your counterpaty can submit and match a TBA type of financial instrument for both block-level and allocation-confirmation level trades.
Yes. The CTM service provides cross-referencing for security codes for TBAs that one counterparty represents as CUSIP and the other as ISIN. If the underlying security is the same, the CTM service matches on the field.
Security identifier cross-referencing steps
1. Investment manager and broker/dealer create TBA trades with information about the type of financial instrument, security code and numbering agency/country code.
2. CTM accepts the ISIN security code from the investment manager and CUSIP security code from the broker/dealer.
3. CTM cross-references the security identifiers with the corresponding security codes and the trade progresses to MACH status.
Investment managers submit TBAs in the Allocation Instruction (J) message.
Allocation Instruction (J)
The bold values in the following partial J message example show where you designate a TBA trade and its stipuations.
5223=4.75|107=UNITED KINGDOM GILT 4.75 12/07/2038 DTD 04/23/2015 GILT|53=5000000|6=
Allocation Report (AS) - Settlement View
The bold values in the following partial message example show where the CTM service returns the TBAN value and the stipulations.
For more information about submitting TBAs using the FIX interface, see Chapter 3. Trade Messages in the pdf FIX 4.4 Interface Message Specification: Investment Managers (Legacy) (637 KB)
Investment managers and broker/dealers submit TBAs in the TradeLevelInformation composite of the TradeLevel or TradeDetail message. The bold values in the following partial TradeLevel show where you designate a TBA trade and the stipulations for that trade.
For more information about submitting TBAs using the direct XML interface, see Chapter 3. Trade Messages in the pdf XML Message Specification: Debt/Equity and Common Messages (3.46 MB)
Yes. Investment managers and broker/dealers can view and amend stipulations on TBA trades. In the 3.0 trade blotter, select the trade you want to view or amend, then do one of the following:
- View stipulations - Click Trade - View. The View Block Fields screen opens with new stipulations fields.
- Amend stipulations - Click Trade - Amend. The Amend Block Fields screen opens. Scroll to the L2 Matching Stipulations Fields section. The left side of this section is view-only and shows the current values for the stipulations. in the right side, you can amend the values you entered or add or remove stipulations to match the stipulations of your counterparty. If you click Force Match, all L2 matching fields defined in the investment manager's matching profile, including stipulations, assume the broker/dealer's values.
Yes. Using the 3.0 Trade Blotter's full trade entry feature, investment managers and broker/dealers can enter up to 20 standard and 20 non-standard stipulations on TBAs. The below image shows the stipulations fields which can be populated. Click the +/- button to add and remove stipuations.
Both sides of the trade have to provide the following a value of TBAN in the Type of Financial Instrument field.
UI 3.0 Quick Trade Entry Screen - The next figure shows where to select TBAN in the quick trade entry screen for block-level trades.
UI 3.0 Full Trade Entry Screen - The next figure shows where to supply TBAN in the full trade entry screen for block-level trades.
UI 4.0 Create Block Screen - The next figure shows where to supply TBAN in the create block screen.
Yes, depending on whether you submit or receive TBAs:
- To submit TBAs with stipulations and add stipulations to existing trades in the trade blotter, a subscription is not required.
- To receive your counterparty's TBAs that have stipulations on them, both you and your counterparty are required to have the STIPS subscription.
In addition, the CTM service offers the TBAP (TBA Processing) subscription option for investment managers. This subscription option controls the return of the followng fields on the outbound InfoSettlementResponse message and reflects the investment manager's values instead of the executing broker's values:
The logic for this functionality derives from the TBA service code (TypeOfFinancialInstrument) or the TBA identifier (CUSIP or ISIN) prefix.
The best practices for investment managers includes the following:
- Use Named Matching Profiles specific to TBAs
- Do not include matching on NetCashAmount or AccruedInterest
The below table identifies the CTM interfaces you can use to create, view and amend TBA trades.
|TBA Activity||CTM Interface|
|Trade Blotter||Direct XML||FIX (Investment Managers)||Message Translation Interface|
Yes. You can process trade exceptions for TBAs using the CTM service in the same way as for other asset classes.