About TBA Processing

The general steps for processing TBAs follow:

1. The TBA security and the allocating TBA pools must have an established security master record created prior to attempting to process a transaction correctly.

2. The TBA must have an open lot available for allocation as TBA tax lots are closed by an Identified Lot (IDLOT) method.

3. When allocating a TBA turnaround, open underlying pools must be held securities,

4. If the position was opened with a TBA Cash Flow field set to not create cash flows (tag 9406 set to No) then the position must be closed with a TBA Cash flow set to not create cash flow.

5. Similarly, if the position was opened with a TBA Cash Flow set to create cash flow (tag 9406 is set to Yes) then the position must be closed with a TBA Cash flow set to create cash flow.

6. TBA Close transactions use settlement date logic. A TBA can be booked short, with a trade date prior to that of a long TBA position. The short being used against the long has the same Settlement Date, but the pools share the Trade Date of the TBA. The settlement date logic comes into play when allocating the TBA (Turnaround). If trade date logic was used, then when calling the pools back into the panel for the allocation of the short, the pools would not be found, because the TBA short's trade date is prior to that of the long position. So by using settlement date logic, the pools are found when allocating the TBA short position.

7. To improve processing times when allocating to underlying pools, you can use the Bypass Earnings Replay option. For more information, see Bypass Earnings during Rollback and Replay.