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After you set up the TBA SMF record, you can open the security, as either a Long position or a Short position. For detailed information, see Book Trades for TBAs.

The Open TBA panel in the Book Trade tool looks exactly like the MBS Open panel, with the following three exceptions:

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• The

  hidden

  Event Type field (tag 55) value on the Open TBA panel can be set to TBAOPEN, BUY, or SHORTSELL 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 Open

  panel is TBAOPEN

  TBA panel has a field called Create TBA Cashflow (tag 9406) that allows you to override the entity election. The value used for the open must also be used for the corresponding close.

• On the Open TBA

  Open

  panel, there is no Calculate Yield/Accrued Interest Indicator field to calculate amortization yields or accrued interest purchased. If you need to

  place accrued

  include traded interest on the

  TBA Open

  trade, you must manually enter a value for the Traded Interest field (tag 49

  ).The TBA Open panel has a field called Create TBA Cashflow (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 enter a No or Null in this field if you do not want the system to create cash flows for the open of the TBA.

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