About Closing a TBA

Owned by Nancy Cohn (Deactivated)
Last updated: Oct 18, 2024 by Jawann Swislow
1 min read

If the TBA is a Held Security, you can close it using the Close TBA panel in the Book Trade tool. A TBA Held Security is a TBA that is not allocating to underlying pools. 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:

  • The Event Type field (tag 55) value on the Close TBA panel 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 include traded interest on the trade, you must manually enter a value for the Trade Interest field (tag 49).