Closing a TBA

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 TBA Held Security is a TBA that is not allocating to underlying pools.

Figure 53: Close TBA Panel
The Close TBA panel is similar to the MBS Close panel with the following three exceptions:

• The Event Type (tag 55) on a Close TBA panel is TBACLOSE.
• 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 interest sold on the TBA Close, you must manually enter a value for the Accrued 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.