MBSD CCP POOL INSTRUCT TRANSACTION ADJUSTMENT PAYMENT ( TAP ) DETAIL REPORT

Transcription

1 MBSD CCP POOL INSTRUCT TAP DETAIL REPORT MBSD CCP POOL INSTRUCT TRANSACTION ADJUSTMENT PAYMENT ( TAP ) DETAIL REPORT 1. Overview The MBSD CCP Pool Instruct TAP Detail Report is produced each day at close of business to reflect all compared Pool Instructs eligible for the current business day s Pool Netting cycle and the associated Transaction Adjustment Payment for each individual Pool Instruct. This report is not cumulative. That is, each activity is reported only once, on the day the activity occurs. Members will use the to identify, validate and balance Pool Netting assigned TAP calculations based on the Settlement Value of the initially compared Pool Instruct and the FICC assigned price applied via Pool Netting. The will include the following: The member s compared Pool Instructs and key trade terms 1) Pool Instruct ID 2) Member assigned Internal Reference Number ( XREF ) 3) Buy_Sell indicator 4) Original contra-side identifiers 5) Original and Current Face, original Trade Price and derived Settlement Value 6) FICC applied price and derived Clearance Value and 7) PID level TAP. 01_mbsd_ccp_pid_tap_detail_rep_final_feb09.doc Page 1

2 2. Specifications Summary for Purpose: Reflects individual PIDs eligible for the current day s Pool Netting cycle and the associated Transaction Adjustment Payment ( TAP ) Report Display: Display all activity Timing: End of Day Duration of Record: Reported only on day of activity Available via MRO: Yes Intraday WebFrontEnd Equivalent: No Clearing Application Equivalent: Settlement Balance Order Summary (MB5071) High Level Sort Order: 1) Settlement Month/Year 2) TBA CUSIP (report reflects sub-totals at the TBA CUSIP level) 3) Pool Number (report reflects sub-totals at the Pool Number level) 4) Contra-side Participant Number & Aggregate (low to high) 5) Contra-side Account ID (alpha order_low to high) 6) Buys (with a secondary sort of Original Face_low to high)) 7) Sells (with a secondary sort of Original Face_low to high)) 8) Value of TAP will serve as the final sort order (credits followed by debits_and within both, low to high) 02_mbsd_ccp_pid_tap_detail_rep_exhibit_final_feb09.doc Page 2

3 3. Print Image Exhibit (actual production version may differ) MBSD CCP POOL INSTRUCT TAP DETAIL REPORT PAGE: 1 10/22/2008 PART AGG: PART ID: MBXX PRODUCT: MBS Contra Contra Orig Curr Original Trade Settlement Clear Value Transaction PID XREF B/S Agg ID Face Face Price Value FICC Price vs. FICC Adj. Payment /2008 TBA CUSIP POOL NUM POOL CUSIP DELIVERY DATE: 10/23/ B XYZZ 2,000,000 2,000, ,980, ,040, , cr B ZZZZ 1,000,000 1,000, ,000, ,020, , cr B PPZZ 3,000,000 3,000, ,940, ,060, , cr B ZZZZ 4,000,000 4,000, ,880, ,080, , cr B AAAA 5,000,000 5,000, ,800, ,100, , cr S XYXY 5,000,000 5,000, ,050, ,100, , dr Totals: B 15,000,000 15,000, ,600, ,300, , cr S 5,000,000 5,000, ,050, ,100, , dr Net 10,000,000 10,000, ,550, ,200, , cr 4. - Field Descriptions Field Name Extended Description Comments PID Pool ID Transaction ID assigned by Pool Netting XREF Internal Reference Number Viewing participant s unique identifier B/S Buy / Sell Indicator Either B or S depending upon whether the viewing participant is the buyer or seller Contra Agg Contra-side Identifier Consists of contra-side Clearing Participant Number and Aggregate Contra ID Contra-side Identifier Contra-side s Clearing account symbol Orig Face Original Face Original Face Curr. Face Current Face Current Face Original Trade Price Original Trade Price Price at which the pool was allocated Settlement Value Original Settlement Value Projected settlement value based on Original Trade Price FICC Price FICC applied pool price Pool price applied by FICC via Pool Netting cycle Clear Value vs. FICC Projected funds versus FICC upon clearance Projected funds versus FICC upon clearance based on FICC applied pool price TAP Transaction Adjustment Payment Difference between the Original settlement value and projected funds versus FICC upon clearance 02_mbsd_ccp_pid_tap_detail_rep_exhibit_final_feb09.doc Page 3

4 5. File Transmission Layouts for NDM Format Purpose The Pool Instruct TAP Detail Report reflects the individual PIDs eligible for the current day s Pool Netting cycle and their associated Transaction Adjustment Payment ( TAP ). Frequency Daily. *All records are of equal length bytes. *There are 3 different record types, each uniquely identified by card code, as follows: card codes 01 through 02, & 99. ACCOUNT / REPORT HEADER RECORDS (CARD CODE 01) Control record which signifies the beginning of the report for a given account. Contains recipient account and report identification items. POOL INSTRUCT TAP DETAIL RECORD (CARD CODE 02) Detail record containing a single pool instruct TAP record. TRAILER CONTROL RECORD (CARD CODE 99) Trailer record indicates the end of the report for the recipient account. Format Codes # - digit X - alphanumeric A - letter Y - year M - month D - day NOTE: If a number is padded, it will be padded with zeroes on the left in the integer part and on the right in the decimal part (if one exists). If text is padded, it will be padded with spaces on the right. 03_mbsd_ccp_pid_tap_detail_rep_layout_final_feb09.doc Page 4

5 FILE TRANSMISSION LAYOUT FOR POOL INSTRUCT TAP DETAIL REPORT - NDM OUTPUT (HEADER) Field Name Length Type Format Cobol Description/Notes Picture RPT-PIT-DT1-CARD-CODE 2 N ## PIC 9(02) Card code = 01 RPT-PIT-DT1-RPT-ID 8 A/N XXXXXXXX PIC X(08) Report ID = MB8013-N RPT-PIT-DT1-ACC-AGG-ID RPT-PIT-DT1-PART-ID 3 N ### PIC 9(03) Participant ID RPT-PIT-DT1-AGG 2 N ## PIC 9(02) Aggregate Number RPT-PIT-DT1-ACCT 4 A AAAA PIC X(04) Account Symbol RPT-PIT-DT1-BUS-DATE 8 N YYYYMMDD PIC 9(08) Date of Report FILLER 201 A AAAA PIC X(201) Filler Total _mbsd_ccp_pid_tap_detail_rep_layout_final_feb09.doc Page 5

6 FILE TRANSMISSION LAYOUT FOR POOL INSTRUCT TAP DETAIL REPORT - NDM OUTPUT (POOL INSTRUCT TAP DETAIL RECORD) Field Name Length Type Format Cobol Description/Notes Picture RPT-PIT-DT2-CARD-CODE 2 N ## PIC 9(02) Card code = 02 RPT-PIT-DT2-SETTLE- MONTH 6 N YYYYMM PIC 9(06) Settlement Month RPT-PIT-DT2-TBA-CUSIP 9 A/N XXXXXXXXX PIC X(09) TBA CUSIP RPT-PIT-DT2-POOL-NUMBER 6 A/N XXXXXX PIC X(06) Pool Number (zeropadded) RPT-PIT-DT2-POOL-CUSIP 9 A/N XXXXXXXXX PIC X(09) Pool CUSIP RPT-PIT-DT2-DLVRY-DATE 8 N YYYYMMDD PIC 9(08) Delivery Date RPT-PIT-DT2-PID 16 A/N XXXXXXXXXXXXXXXX PIC X(16) Pool ID (space-padded) RPT-PIT-DT2-XREF 16 A/N XXXXXXXXXXXXXXXX PIC X(16) X-Reference (spacepadded) RPT-PIT-DT2-BUY-SELL- CODE 1 A B or S PIC X(01) Buy/Sell Code RPT-PIT-DT2-CTRA-CONTRA- AGG RPT-PIT-DT2-CTRA-PART-ID 3 N ### PIC 9(03) Contra Participant ID RPT-PIT-DT2-CTRA-AGG 2 N ## PIC 9(02) Contra Aggregate RPT-PIT-DT2-CONTRA-ID 4 A AAAA PIC X(04) Contra ID RPT-PIT-DT2-ORIG-FACE 15 N ############### PIC 9(15) Original Face (zeropadded) RPT-PIT-DT2-CURR-FACE 17 N ################# PIC 9(15)V9(02) Current Face (zeropadded) RPT-PIT-DT2-ORIG-TRADE- PRICE 15 N ############### PIC 9(03)V9(12) Original Trade Price (zero-padded) RPT-PIT-DT2-SETTLE-VALUE 17 N ################# PIC 9(15)V9(02) RPT-PIT-DT2-FICC-PRICE 15 N ############### PIC 9(03)V9(12) FICC Price (zero-padded) Settlement Value (zeropadded) RPT-PIT-DT2-CLEAR-FICC- VALUE 17 N ################# PIC 9(15)V9(02) Clearance Value vs. FICC (zero-padded) RPT-PIT-DT2-TAP 17 N ################# PIC 9(15)V9(02) Transaction Adjustment Payment (zero-padded) RPT-PIT-DT2-TAP-CREDIT- DEBIT 1 A C or D PIC X(01) Transaction Adjustment Payment Credit or Debit 03_mbsd_ccp_pid_tap_detail_rep_layout_final_feb09.doc Page 6

7 Field Name Length Type Format Cobol Description/Notes Picture FILLER 32 A AAAA PIC X(32) Filler Total _mbsd_ccp_pid_tap_detail_rep_layout_final_feb09.doc Page 7

8 FILE TRANSMISSION LAYOUT FOR POOL INSTRUCT TAP DETAIL REPORT - NDM OUTPUT (TRAILER) Field Name Length Type Format Cobol Description/Notes Picture RPT-PIT-DT99-CARD-CODE 2 N ## PIC 9(02) Card code = 99 FILLER 13 A AAAAAAAAAAAAA PIC X(13) Filler RPT-PIT-DT99-ACCT 4 A AAAA PIC X(04) Account Symbol FILLER 1 A A PIC X(01) Filler RPT-PIT-DT99-LOGICAL-COUNT 7 N ####### PIC 9(07) Logical Record Count (zeropadded) FILLER 1 A A PIC X(01) Filler RPT-PIT-DT99-PHYSICAL-COUNT 7 N ####### PIC 9(07) Physical Record Count (zeropadded) FILLER 193 A AAAA PIC 9(193) Filler Total _mbsd_ccp_pid_tap_detail_rep_layout_final_feb09.doc Page 8