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If the TBA is a Held Security, you can close it using the Close TBA panel in the Book Trade tool. See the following figure. A  A TBA Held Security is a TBA that is not allocating to underlying pools.
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Figure 53: Close TBA Panel For detailed information about the Close TBA panel, see Book Trades for TBAs.

The Close TBA panel is similar to the MBS Close panel with the following three exceptions:

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• The Event Type field (tag 55) value on

  a

  the Close TBA panel

  is TBACLOSE.

  can be set to TBACLOSE, SELL, or BUYCVR depending on the entity-level values of TBA Cashflow (tag 9406) and TBA Netting (tag 18577) as described in Set Up Entities for TBAs.

• The Close TBA panel has a field called Create TBA Cashflow (tag 9406) that allows you to override the entity election. The close must use the same value as the corresponding open position.

• On the Close TBA panel, there is no Calculate Yield/Accrued Interest Indicator field to calculate accrued interest sold. If you need to

  place accrued

  include traded interest

  sold

  on the

  TBA Close

  trade, you must manually enter a value for the

  Accrued

  Trade Interest

  Sold

  field (tag 49

  ).The Close TBA panel includes the Create TBA Cash Flow field (tag 9406). This field indicates whether to create a cash flow (traded row in the Cash object

  )

  for the open of a TBA transaction, or to only create the net cash flow at the time of the close of the position. Enter Yes to create cash flows for the open of the TBA, and a No or Null to not create cash flows for the open of the TBA.

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Note:

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