MBS RTTM Web has been enhanced with new functionality for …/media/Files/Downloads/Clearing... ·...

IMPORTANT NOTE MBS RTTM Web has been enhanced with new functionality for submitting Specified Pool Trades (SPTs). This User Guide provides a complete procedural explanation of the new functionality, but a comprehensive explanation of Specified Pool Trades is beyond the scope of this document. For a complete explanation of SPTs, refer to the MBS Clearing Source Book, which can be accessed from FICC.COM, under Important Documents.

Fixed Income Clearing Corporation MBS RTTM Web User Guide

Date: 2/15/2007

Version #: 3.0

Distributed by: FICC

Distribution: MBS RTTM Web Users

Fixed Income Clearing Corporation A subsidiary of The Depository Trust & Clearing Corporation.

Fixed Income MBS RTTM WEB USER GUIDE Clearing Corporation TABLE OF CONTENTS

This Page Is Intentionally Blank


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TABLE OF CONTENTS

1. INTRODUCTION ................................................................................................................. 1-1

1.1 Logging into the MBS RTTM System ...........................................................................................1-1

1.2 Timeout ..............................................................................................................................................1-3

1.3 Logging off the RTTM System.......................................................................................................1-3

1.4 Welcome Screen................................................................................................................................1-4

1.4.1 Statistics Panel ............................................................................................................................1-6

2. TRADE PROCESSING........................................................................................................... 2-1

2.1 Overview ............................................................................................................................................2-1

2.1.1 Trade Types ................................................................................................................................2-2

2.1.2 Transaction ID, Submission ID, Broker Xref, Xref, and Trade ID...................................2-2

2.1.3 Trade State/Matching Status: PMAT and FMAT.................................................................2-3

2.1.4 Trade State/Trade Status ..........................................................................................................2-4

2.1.5 RTTM Web and System Messages ..........................................................................................2-5

2.2 Enter Trade........................................................................................................................................2-6

2.2.1 Broker Trade Entry....................................................................................................................2-6 Printing the Confirm .............................................................................................................2-9

2.2.2 Dealer Trade Entry ..................................................................................................................2-10 Printing the Confirm ...........................................................................................................2-15

2.3 Trade Search Engine ......................................................................................................................2-16

2.3.1 Performing a Trade Search .....................................................................................................2-16

2.3.2 Working with the Trade Inquiry Results Screen..................................................................2-19

2.4 Exception Recap .............................................................................................................................2-21

2.5 Broker Checkout (Available for Dealers Only) ..........................................................................2-22

2.6 View Rejects.....................................................................................................................................2-23

2.7 Advisories Split View (Available for Dealers Only)...................................................................2-24

3. PRINTING RTTM WEB SCREENS....................................................................................... 3-1

4. ACTIONS............................................................................................................................. 4-1

4.1 View ....................................................................................................................................................4-2

4.2 Affirm .................................................................................................................................................4-4


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4.3 DK (Don't Know) ............................................................................................................................4-6

4.4 Potential Matches..............................................................................................................................4-8

4.4.1 Requesting Potential Matches for Uncompared Trades (Dealers Only) ...........................4-8

4.4.2 Requesting Potential Matches for Advisories (Brokers and Dealers) ..............................4-10

4.5 Cancel ...............................................................................................................................................4-12

4.5.1 Canceling an Uncompared Trade ..........................................................................................4-12

4.5.2 Canceling a Compared Trade .................................................................................................4-14

4.6 Un-Cancel ........................................................................................................................................4-16

4.7 Modify...............................................................................................................................................4-18

4.7.1 Broker Modify ..........................................................................................................................4-18

4.7.2 Dealer Modify...........................................................................................................................4-20

5. REPORT CENTER ............................................................................................................... 5-1

5.1 Accessing Reports.............................................................................................................................5-1

6. CLEARING PROCESSING ..................................................................................................... 6-1

6.1 Notice of Settlement.........................................................................................................................6-1

6.1.1 NOS Entry ..................................................................................................................................6-1

6.1.2 NOS Inquiry ...............................................................................................................................6-3 Performing an NOS Inquiry.................................................................................................6-3 NOS Summary Screen...........................................................................................................6-4

6.2 Affirm/DK/Delete Management ..................................................................................................6-5

6.2.1 Affirm/DK/Delete Management: Entry ...............................................................................6-5

6.2.2 Affirm/DK/Delete Management: Inquiry.............................................................................6-6 Performing an Affirm/DK/Delete Inquiry.......................................................................6-6 Affirm/DK/Delete Summary Screen.................................................................................6-7

6.3 Cash Obligation Management.........................................................................................................6-8

6.4 Collateral Management.....................................................................................................................6-9

6.4.1 Performing a Collateral Inquiry ...............................................................................................6-9

6.4.2 Viewing the Details of a Specific Collateral Item................................................................6-10

7. BUSINESS ADMINISTRATION .............................................................................................. 7-1

7.1 View Security Master ........................................................................................................................7-1

7.2 View SIFMA Processing Schedule .................................................................................................7-3

8. SITE ADMINISTRATION ...................................................................................................... 8-1

8.1 Change Password..............................................................................................................................8-1


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8.1.1 Password Requirements ............................................................................................................8-1

8.1.2 Changing Your Password .........................................................................................................8-2

9. HELP.................................................................................................................................. 9-1

10. TROUBLESHOOTING .........................................................................................................10-1

10.1 System Messages .............................................................................................................................10-1


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ABOUT THIS USER GUIDE The Real-Time Trade Matching System (RTTM) for Mortgage-Backed Securities (MBS) is a product of the Fixed Income Clearing Corporation's (FICC) Mortgage-Backed Securities Division (MBSD). RTTM is a trade entry/management tool that increases the efficiency of trade operations yet reduces your firm’s overall risk. All activity is validated and matched in real-time. From trade submission to comparison, processing time is reduced to a fraction of what it had taken in the past. The latest development in the evolution of Real-Time Trade Matching is RTTM Web. This browser-based interface is extremely user-friendly, and its platform independence greatly enhances accessibility. Log on to the RTTM Web from any computer that is equipped with a standard browser (Netscape Navigator®, 6.2.3 or higher; Microsoft Internet Explorer®, 5.5 or higher) and a connection to FICC RTTM via the DTCC SMART network or the SIAC SFTI network. This User Guide provides step-by-step procedures for all RTTM Web functions related to MBS, covering such topics as:

• Trade Processing

− Entering trades

− Affirming trades

− Modifying trades

− Canceling trades

− DKing trades

− Exception Processing

• Clearing Processing

− Notice of Settlement

− Cash Obligation Management

− Collateral Management Also included in this User Guide are general descriptions of business processes and concepts that are unique to MBSD RTTM. The guide assumes that the user has prior mortgage-backed securities industry experience, basic knowledge of RTTM, and familiarity with MBSD processing.

Fixed Income MBS RTTM WEB USER GUIDE Clearing Corporation INTRODUCTION

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Figure 1-1: RTTM URL

1. INTRODUCTION

1.1 Logging into the MBS RTTM System The RTTM System can be accessed from a standard browser, either Netscape Navigator® (6.2.3 or higher) or Microsoft Internet Explorer® (5.5 or higher). For the best possible viewing experience, use monitor resolutions of 1024 x 768 or higher.

1. Type the https://web.ficc.dtcc.net URL into the Address field of the browser, then press ENTER to display the RTTM Fixed Income Login screen.

2. Type your username and password in the appropriate fields, then click the Login button. For security purposes, you will be locked out of the RTTM system after three unsuccessful login attempts. In the event that you are locked out, contact your Access Coordinator.

3. If your FICC membership applies only to mortgage-backed securities, MBS RTTM Web is launched and the Welcome screen is displayed (see Figure 1-4). However, if your membership applies to multiple FICC products, the Application Launch screen is displayed. The RTTM application for each of the Fixed Income products can be launched from this screen, provided that your firm has membership privileges. To launch MBS RTTM Web and display the Welcome screen, click the FICC.MBS icon.

Figure 1-2: Login Screen and Application Launch Screen

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The Application Launch screen is displayed only if your membership applies to multiple FICC products.


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A single username and password combination, referred to as a login, can be associated with multiple accounts. However, a login cannot apply to more than one membership type. In other words, users can log in to the RTTM System as either a Broker or a Dealer, not both. In addition, the RTTM interface and functionality will differ slightly for Brokers versus Dealers, primarily that Dealer-only features are omitted from Broker screens and vice versa. Please note that, for the sake of brevity, some of the screens included in this guide incorporate both perspectives, and all differences are identified.

4. When you log in to the system for the first time, an Interface Agreement is displayed. Read the information carefully. Click Agree to declare that you accept the terms outlined in the agreement. If you do not agree with the terms, click Disagree to return to the login screen. Once the terms are accepted, the Interface Agreement will not be displayed in subsequent RTTM sessions.

Please note that FICC reserves the right to alter the terms of this agreement at any time. In the event that the terms of this agreement do change, an updated agreement will be published and displayed during your next login attempt. You must agree to the new terms to gain access to the RTTM System.

Figure 1-3: Interface Agreement (partial snapshot)

5. If the terms are accepted, the RTTM System is launched and the Welcome screen is displayed.

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Figure 1-4: Welcome Screen

1.2 Timeout For enhanced security the RTTM System is equipped with a timeout feature. Your username and password will be automatically logged off the system after 30 minutes of inactivity. To regain access to the system, you must log in, reentering your username and password. 1.3 Logging off the RTTM System To ensure optimum security, always use the Logoff link to disconnect from the system. Browsing to web pages external from RTTM Web will not terminate an open session. A session will, however, automatically terminate upon expiration of the 30-minute timeout period.

1. Click the Logoff link. A confirmation dialog box is displayed.

2. Click OK to log off, or click Cancel to abort.

Figure 1-5: Logoff

For added security always close the browser window. This ensures that previously viewed pages cannot be accessed via the browser's Back button or History list.

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1.4 Welcome Screen Once your username and password have been authenticated, the RTTM System is launched, and the Welcome screen is displayed (see Figure 1-6). From this screen you can initiate RTTM functions, such as entering trades, or you can access previously submitted trade data. The Welcome screen includes:

1. Main Menu: • Transaction Management

- Trade Processing: Enter trades, search and display previously submitted trades, perform Broker Checkout, or view exceptions, rejects, and advisories.

- Clearing Processing: Submit and search for Notices of Settlement (NOS); Affirm, DK, and Delete NOS; Cash Obligation and Collateral Management

• Report Center: Access the Fixed Income Report Center.

• Business Administration: Security lookup and SIFMA settlement calendar.

• Site Administration: Participants can select a new password.

• Help: RTTM frequently asked questions.

2. Location and Path: Each RTTM screen displays your current location within the system. The path links can be used to navigate to previously visited screens.

3. Statistics Panel: Provides a summary of current activity. Each active item serves as a link to related screens for viewing lists of corresponding transactions (also see Section 1.4.1).

4. Participant Account Symbol Dropdown List: Your username and password will determine whether you have access to a single or multiple participant account symbols. In Figure 1-6, the user's privileges apply to five account symbols, which can be selected from the dropdown list.

5. Function Panel: Frequently used Trade Processing features can be initiated from this area of the Welcome screen (can also be accessed from Trade Processing in the Main Menu).

6. About: Click this link to view a description of RTTM Web.

7. Logoff: Click this link to log off from RTTM Web, terminating the session. To ensure optimum security, always use the Logoff link to disconnect from the system.

8. Print Icon: Click the print icon to print the currently displayed screen.


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Dealers Only

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Figure 1-7: Statistics Panel

1.4.1 Statistics Panel The Statistics Panel provides quick access links to all current TBA activity (does not reflect NOS).

1. PMAT Trades (partially matched): Broker-Dealer trades that have a PMAT status (trades for which only one of two Dealer sides has matched with the Broker, see Section 2.1.3). Only the matched side of a Broker-Dealer trade can be assigned a PMAT status (unmatched Dealer will have an uncompared trade and an advisory in the Statistics panel).

2. Uncompared Trades: Submitted trades that have yet to match.

3. Advisories: Notification of a trade that was submitted against your account by a contra. Requires an action to resolve the advisory state (see Section 4.2).

4. Cancel Requests: Notification of a Cancel Request that was submitted against your account by a contra. You must submit a matching Cancel Request to effect the Cancel (see Section 4.5).

5. Pending Cancels: Compared trade for which you submitted a Cancel Request and are awaiting confirmation from the contra (see Section 4.5).

6. Rejects: Submission that does not comply with input requirements and therefore has been rejected by the RTTM System. All intraday rejects ⎯ whether input via Interactive Messaging or batch file transfer ⎯ can be accessed from this link (see Section 2.1.5). Rejects are purged at end-of-day.

7. DKs Received: Notification of a DK (transaction that was incorrect or unidentifiable) that was submitted against your account by a contra (see Section 4.3).

8. DKs Initiated: Transaction for which you submitted a DK (transaction that was incorrect or unidentifiable) against a contra (see Section 4.3).

9. Broker Unbalanced: (Brokers Only) Broker Unbalanced transactions are created when a Broker trade submission, which requires two sides, is input with only a single leg. This condition can only occur when trade entry is accomplished via Interactive Messaging. All other input methods require two-sided submissions.

Brokers Only

Fixed Income MBS RTTM WEB USER GUIDE Clearing Corporation TRADE PROCESSING

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2. TRADE PROCESSING

2.1 Overview Trade Processing functions are used to enter transactions, search and view existing transactions, or respond to transactions submitted against your account. RTTM Web offers three methods to initiate these tasks:

1. Select a Trade Processing function from the Main Menu.

2. Click a link in the Statistics Panel.

3. Click a link in the Function Panel.


In Figure 2-1, the user's privileges apply to five account symbols, which can be selected from the dropdown list (A). All Trade Processing functions are applied to the currently selected account symbol, so be sure to select the desired account symbol before initiating a function.

RTTM supports matching of Dealer-to-Dealer trades and Broker-Dealer trades (one-sided Dealer vs. two-sided Broker submission). Before entering any trade, however, you should be familiar with a few key terms regarding trade processing and tracking.

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A


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2.1.1 Trade Types All trade submissions are categorized into types:

• Settlement Balance Order Destined (SBOD): Trades in TBA CUSIPs that are eligible for SBO Processing, when netting is desired.

• Trade-for-Trade (TFTD): TBA/SPT trades that are not eligible for netting, or when netting is not desired.

• Option (OPTN): Identifies MBS TBA Option trades.

2.1.2 Transaction ID, Submission ID, Broker Xref, Xref, and Trade ID RTTM employs five tracking numbers to identify and cross-reference your trade submissions. These numbers, generated by the system as well as the participant, can be referenced to View, Modify, or Cancel specific transactions.

• Transaction ID (TID): A 10-digit number generated by the RTTM System upon trade acceptance to identify a specific transaction (see Figure 2-9).

• Submission ID (SID): A 10-digit number generated by the RTTM System upon trade submission to identify a specific transaction. Unlike the Transaction ID, a Submission ID consists of two sets of digits separated by a dash (ex: 000196-3604). The digits left of the dash form a unique identifier for your trade; the digits to the right represent the date the trade was entered into the system (Y/M/DD format, 2-digit months are represented A, B, and C).

• Broker Xref (Brokers Only): The Enter Trade screen includes a field where Brokers must enter their own cross-reference. This unique identifier, generated by the Broker, can be up to 15 alphanumeric characters (cannot be the same as a Broker Xref used previously for any transaction on the RTTM System within a given account).

• Xref (Dealers and Brokers): The Enter Trade screen includes a field where Dealers must enter their own cross-reference. This unique identifier, generated by the Dealer, can be up to 15 alphanumeric characters (cannot be the same as an Xref used previously for any transaction on the RTTM System within a given account). Brokers use the Xref field to assign a unique internal tracking number to a specific Bought From or Sold To side of a trade (the system populates the Xref by systemically adding a B (buy side) or an S (sell side) to the number used for Broker Xref. The system-generated Xref can be overwritten with a custom Xref prior to submission: up to 15 alphanumeric characters + B or S suffix, no special characters).

• Trade ID: A 10-digit number generated by the RTTM System upon trade matching. The Trade ID is the key identification for the life of the matched trade (ex: 2350500004).


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2.1.3 Trade State/Matching Status: PMAT and FMAT A foremost task of the RTTM System is to compare and, upon successful comparison, match trade submissions. There are two levels of matching. A full match occurs if trade terms are in agreement for all parties, and a partial match occurs if only two of the required three submissions for a Broker-Dealer trade are in agreement. When both parties of a Dealer-to-Dealer TBA trade enter trade submissions into RTTM, the trade details are evaluated. If the terms agree, the trade becomes fully matched and receives an FMAT status. An SBOD trade must have an FMAT status to be included in the netting process.

Figure 2-2: Dealer-to-Dealer Trade

For a Broker-Dealer TBA trade to fully match, three trade submissions must be generated, one by the Broker and one by each Dealer. Consider the example in Figure 2-3. If the Broker and Dealer 1 submit matching trade terms, but Dealer 2 has yet to enter the opposite side, the first two submissions are assigned a partially matched (PMAT) status. Once Dealer 2 enters the opposite side of the trade, and provided that terms agree, all three transactions become fully matched (FMAT). Upon matching (PMAT or FMAT), the System generates a unique Trade ID that is the key identification for the life of the matched trade. An SBOD trade must have an FMAT status to be included in the netting process.

Figure 2-3: Broker-Dealer Trade

DEALER 1 Buy

DEALER 2 Sell

DEALER 1 Buy

BROKER DEALER 2 Sell

Bought From

Sold To


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2.1.4 Trade State/Trade Status All transactions are assigned a Trade Status (or a combination of Trade Statuses) upon acceptance into the RTTM System. This status determines what actions can be taken against a specific transaction and is updated as different events occur over the life of a transaction. The following is a partial list of the most common Trade Statuses.

• UNCP (Uncompared): Trade submission that has yet to be matched with an opposite side.

• UNCP-DK (Uncompared-Don't Know): Trade submission that is declared incorrect or unidentifiable by the contra (remains eligible for matching).

• CMP (Compared): Trade submission that has been matched with an opposite side.

• CAN (Canceled): Compared or uncompared trade that has been canceled.

• CMP-PCN (Compared-Pending Cancel): Assigned to a compared trade for which an initial Cancel Request was submitted (submitter's side).

• CMP-CNR (Compared-Cancel Requested): Assigned to a compared trade for which a Cancel Request was received (contra's side).

• BKUB (Broker Unbalanced): Assigned to a Broker trade entry that has only one side or has unbalanced buy and sell par amounts.

• NCAN (Netting Cancel): Assigned to all trades that are canceled as a result of netting.

• NCVT (Netting Convert): Assigned to all PMAT trades that are converted to trade-for-trade (TFTD) settlement as a result of the netting process.


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2.1.5 RTTM Web and System Messages When a transaction is submitted into the RTTM System, an acknowledgement identifying the status of that submission is sent to the submitter. Depending on whether or not the trade input satisfies business rules governing mortgage-backed securities, as well as RTTM System rules, a submission can be accepted, captured pending acceptance, or rejected.

• Accepted: The transaction was successfully entered into the system.

Figure 2-4: Transaction Accepted Message

• Captured Pending Acceptance: The transaction was captured in the system's transaction queue, but has yet to be processed.

Figure 2-5: Captured, Pending Acceptance Message

• Error: When the RTTM Web interface, which is referred to as the front-end, is able to detect an input error, the submission is rejected before being passed to the back-end. Essentially, the submission is never recorded into the transaction database, and as a result, the reject is not reported in your Statistics Panel. Consider this a local error (screen error).

Figure 2-6: Error Message

• Reject: The front-end is not able to detect all errors. Duplicate Xrefs for example. In this case, the submission is recorded by the back-end, and the invalid condition is recognized during validation. At that point, the trade is rejected by the RTTM System and is displayed in your Statistics Panel.

Figure 2-7: Reject Message


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2.2 Enter Trade The Enter Trade function, which varies slightly for Brokers and Dealers, is used to submit new trade details. 2.2.1 Broker Trade Entry

1. Select Transaction Management, Trade Processing, Enter Trade from the Main Menu (or click the Enter an MBS Trade link on the Welcome screen). The Broker Trade Entry screen is displayed (see Figure 2-8). You must be logged in as a Broker and be eligible for trade entry to submit a Broker trade.

2. All Trade Processing functions are applied to the currently selected account symbol, so be sure to select the desired account symbol before initiating a function.

3. Populate the trade data using the following guidelines and formats. Mandatory input is designated by an asterisk.

a. TRADE TYPE*: (see Section 2.1.1) SBOD: Trades in TBA CUSIPs eligible for SBO Processing, when netting is desired. TFTD: Trades in TBA CUSIPs that are not eligible for netting processing, or when netting processing is not desired. OPTN: Identifies MBS TBA Option trades.

b. PAR*: Quantity of securities. TFTD, OPTN SBOD Minimum amount: 0.01 1,000,000 Maximum amount: 9,999,999,999 9,999,000,000 Use 1M to represent 1,000, 1MM to represent 1,000,000, and 1MMM to represent 1,000,000,000.

c. CUSIP*: Nine-digit alphanumeric security identifier for TBAs. Enter all nine digits or enter the first seven digits and allow the system to add the settlement month digit and check digit. Click the View Desc. button for a security description.

d. PRICE*: (Settlement Price or Give-Up Price) The system will accept fractions or decimal numbers that are divisible by 1/512 (up to 3 places before the decimal point and up to 9 places after the decimal point). Format: 99.50 or 99 1/2.

e. TRADE DATE*: Date a trade was executed. Format: mm/dd/ccyy (default is current date, forward slashes "/" not required).

f. SETTLEMENT DATE*: Scheduled settlement date SBOD and OPTN: mm/01/ccyy, mm/00/ccyy, or mm/xx/ccyy (xx= any valid day, forward slashes "/" not required). TFTD: mm/dd/ccyy (forward slashes "/" not required).

g. BROKER XREF*: Your firm’s unique cross-reference number (up to 15 characters). The system accepts only alphanumeric characters for Broker Xref (no special characters).

h. GIVE-UP DAYS*: Indicates the number of business days before Give-Up (0-9).

i. TIME OF TRADE: (Optional) Time the trade was executed (24-hour format).


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4. If you are submitting an Option trade, populate the Option Information.

a. OPTION TYPE: (Optional) Call or Put.

b. OPTION EXPIRATION DATE: (Optional) Date that the option trade expires. Expiry month must be less than or equal to settlement month. Format: mm/dd/ccyy (forward slashes "/" not required).

5. Populate the Bought From and Sold To panels:

a. CONTRA*: Both contras must be identified, the selling Dealer (Bought From) and the buying Dealer (Sold To). Select the contras' participant account symbols from the dropdown lists (or type the account symbol directly in the field).

b. COMMISSION TYPE: (Optional) Flat or Percentage.

c. COMMISSION AMT./RATE: (Optional) For flat commissions, enter a whole number (no fractions). Percentage commissions can be expressed as a fraction or a decimal, provided that the value is divisible by the commission divisor (currently 0.001953125 or 1/512).

d. XREF*: Identifies the individual sides of a trade. The system automatically populates the Xref fields with your Broker Xref followed by a "B" or "S" suffix to indicate buy or sell (see Figure 2-8). The system-generated Xref can be overwritten with a custom Xref prior to submission (up to 15 alphanumeric characters, no special characters).

6. Once all the required fields are populated, click the Submit button. If the screen is correctly and completely populated, the submission is accepted (see Figure 2-9).

Figure 2-8: Broker Trade Entry Screen

FICC recommends using the navigation buttons provided by the RTTM interface in place of those provided by the browser.

Click the path link to return to the previous screen.

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Restores all default values.

Select your account symbol.

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Figure 2-9: Submission Confirmation Screen

If the required data is missing, cannot be validated (e.g., Bad Commission Entered), or does not follow the required format, the system responds with an error or reject message.

Figure 2-10: Transaction Error Message

Once the trade is accepted, the system assigns a Transaction ID (see Section 2.1.2)

Commission must be divisible by the commission divisor (currently 0.001953125 or 1/512). Minimum Par for SBOD trades is 1,000,000.

Trade accepted indication (also see Figure 2-10).


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Printing the Confirm Although the entire Confirmation screen can be printed ⎯ which includes the main menu, all graphics, and all fields ⎯ it is, perhaps, more useful to print just the Confirm portion of the screen.

1. Click the printer icon in the Confirmed Trade Entry Details panel. The Confirm is displayed in a new window.

2. Click the printer icon, and the Confirm is printed.

When printing from MBS RTTM Web, always set your printer's layout properties to landscape.

Figure 2-11: Print Confirmation Screen

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2.2.2 Dealer Trade Entry

1. Select Transaction Management, Trade Processing, Enter Trade from the Main Menu (or click the Enter an MBS Trade link in the Welcome screen). The Dealer Trade Entry screen is displayed (see Figure 2-12). You must be logged in to the system as a Dealer and be eligible for trade entry to submit a Dealer trade.

2. All Trade Processing functions are applied to the currently selected account symbol, so be sure to select the desired account symbol before initiating a function.

3. Populate the trade data using the following guidelines and formats. Mandatory input is designated by an asterisk.

a. TBA/SPT*: Select either TBA (To Be Announced) or SPT (Specified Pool Trade). If SPT is selected, the Trade Type is set to Trade-for-Trade (TFTD), and the Specified Pool Trade panel is displayed.

b. TRADE TYPE*: SBOD: Trades in TBA CUSIPs eligible for SBO Processing, when netting is desired. TFTD: Specified pool trades, trades in TBA CUSIPs that are not eligible for netting processing, or when netting processing is not desired. OPTN: Identifies MBS TBA Option trades. If OPTN is selected, the Option Information window panel is displayed.

c. BUY/SELL*: Identify your position in the transaction.

d. PAR*: For Specified Pool Trades, enter the Original Face Value. For TBA trades, enter the quantity of securities. TFTD, OPTN SBOD Minimum amount: 0.01 1,000,000 Maximum amount: 9,999,999,999 9,999,000,000 Use 1M to represent 1,000, 1MM to represent 1,000,000, and 1MMM to represent 1,000,000,000.

e. CUSIP*: Nine-digit alphanumeric security identifier for TBA CUSIP. Enter all nine digits, or enter the first seven digits and allow the system to add the settlement month digit and check digit. Click the View button for a security description.

f. PRICE*: The system will accept fractions or decimal numbers that are divisible by 1/512 (up to 3 places before the decimal point and up to 9 places after the decimal point). Format: 99.50 or 99 1/2.

g. CONTRA*: Select the contra's participant account symbol from the dropdown list (or type the account symbol directly in the field).

h. TRADE DATE*: Date the trade was executed. Format: mm/dd/ccyy (defaults to current date, forward slashes "/" not required).

i. SETTLEMENT DATE*: Scheduled settlement date. SBOD and OPTN: mm/01/ccyy, mm/00/ccyy, or mm/xx/ccyy (xx= any valid day, forward slashes "/" not required). TFTD: mm/dd/ccyy (forward slashes "/" not required).


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j. XREF*: Your firm’s unique cross-reference number (up to 15 characters). The system accepts only alphanumeric characters for Xref (no special characters).

k. TIME OF TRADE: (Optional) Time the trade was executed (24-hour format).

l. COMMISSION TYPE: (Optional) Flat or Percentage.

m. COMMISSION AMT./RATE: (Optional) For flat commissions, enter any whole number (no fractions). Percentage commissions can be expressed as a fraction or a decimal, provided that the value is divisible by the commission divisor (currently 0.001953125 or 1/512).

IMPORTANT NOTE: The input fields described below apply only to Specified Pool Trades (see Figure 2-13).

n. POOL NUMBER*: The number of the specific pool being delivered. This field is available for Specified Pool Trades only.

o. FINAL MONEY: (Optional) Settlement amount. This field is available for Specified Pool Trades only.

IMPORTANT NOTE: The input fields described below apply only to Option Trades (see Figure 2-14).

p. OPTION TYPE*: Call or Put. This field is available for Option Trades only.

q. OPTION EXPIRATION DATE*: Date that the Option trade expires. Expiry month must be less than or equal to settlement month and greater than trade date. Format: mm/dd/ccyy (forward slashes "/" not required). This field is available for Option Trades only.

4. Once all the required fields are populated, click the Submit button. If the screen is correctly and completely populated, the submission is accepted (see Figure 2-15).


2-12

Figure 2-12: Dealer Trade Entry Screen, TBA Trade

Figure 2-13: Dealer Trade Entry Screen, Specified Pool Trade

4

1

Click a path link to return to a previous screen.

Use this dropdown to select your account symbol.

Current Window

Clears all values.

2

3

The Specified Pool Trade panel is displayed only when SPT is selected.

Enter a CUSIP in the provided field, then click View Description for additional details.

Return to the previous screen


2/15/2007 2-13

Figure 2-14: Dealer Trade Entry Screen, TBA Option Trade The Option Information panel is

displayed only when OPTN is selected.


2-14

Figure 2-15: Submission Confirmation Screen

If the required data is missing, cannot be validated (e.g., Bad Commission Entered), or does not follow the required format, the system responds with an error message.

Figure 2-16: Submission Error Message

Once the trade is accepted, the system assigns a Transaction ID (see Section 2.1.2)

Trade accepted indication (also see Figure 2-16 ).



2/15/2007 2-15

Printing the Confirm Although the entire Confirmation screen can be printed ⎯ which includes the main menu, all graphics, and all fields ⎯ it is, perhaps, more useful to print just the Confirm portion of the screen.

1. Click the printer icon in the Confirmed Trade Entry Details panel. The Confirm is displayed in a new window.

2. Click the printer icon, and the Confirm is printed.


Figure 2-17: Print Confirmation Screen

1

2


2-16

2.3 Trade Search Engine The Trade Search Engine is used to access previously entered transactions and allows you to search for a single or multiple transactions. A single-transaction search identifies a specific tracking ID, and the result is limited to a single transaction. A multiple-transaction search, on the other hand, can be specifically or broadly defined and lists all transactions that satisfy the selected criteria. 2.3.1 Performing a Trade Search

1. Select Transaction Management, Trade Processing, Trade Search Engine from the Main Menu (or click the Trade Search Engine link on the Welcome screen). The Trade Search Engine screen is displayed (see Figure 2-18).

2. Ensure that the desired account symbol is selected.

Figure 2-18 is the Dealer Trade Search Engine screen. The Broker version (see Figure 2-19) of this screen is similar but with minor differences. Dealer trade entries are single-sided transactions and therefore a single contra field replaces the Bought From and Sold To fields of the Broker screen. Fields associated with Specified Pool Trades are omitted from the Broker screen (Broker accounts cannot submit Specified Pool Trades), and the Trade State panel is also slightly different (Unbalanced is unique to Brokers). The Trade Search Engine screen that is displayed when a Trade Search is initiated is determined by your login.

Figure 2-18: Dealer Trade Search Engine Screen

The Dealer Trade Search Engine screen includes three fields associated with Specified Pool Trades. These fields are omitted from the Broker screen (Specified Pool Trades are limited to Dealer accounts).

Dealer trade entries are single-sided transactions and therefore a single contra field replaces the Bought From and Sold To fields of the Broker screen.

2

1


2/15/2007 2-17

3. Search for single transaction: Select a tracking ID type (Broker Xref, Xref, Submission ID, Transaction ID, or Trade ID) from the dropdown list. Enter the corresponding number in the provided field, then click Submit. There is no need to populate the remainder of the screen (see Figure 2-19).

If a trade has been Split, the Trade Inquiry Results will display the original trade (canceled state) and the new trades that were created as a result of the Split. Likewise, if a trade has been Spliced, the Trade Inquiry Results screen will display the original trade in a canceled state.

4. Search for multiple transactions: Trade State (in the lower portion of the screen) is the only mandatory criterion for multiple-transaction searches. A Trade State button must be selected. The remaining fields are optional and allow the search to be defined as specifically or broadly as desired. For example, the multiple-transaction search in Figure 2-19 will identify all SBOD sell advisories submitted against MBQQ by participant MBXX (note that advisories display trade details from the original submitter's perspective, or role, in the trade).

a. Several fields include operator dropdowns (=, <=, >=) that allow you to search for either a fixed value or a range. For example, a query can be defined to search all transactions that have a Price of 100 (= 100) or a Price of less than or equal to 100 (<= 100).

b. When all search criteria are selected, click Submit.

5. Based on the Trade Search criteria in Figure 2-19, the system returns two transactions with related details in the Trade Inquiry Results screen. Although the layout of this screen is consistent from query to query, the data and the amount of data will vary with the specific request. Depending on the business rules governing the state of a transaction ⎯ whether it is compared, uncompared, DKed, Canceled, or so on ⎯ further action can be initiated directly from this window (see Section 2.3.2).


2-18

Figure 2-19: Broker Trade Search Engine Screen

Figure 2-20: Broker Trade Inquiry Results

Generating a query result that exceeds the maximum allowable number of records that can be listed will cause an error. Re-define the query using more specific search criteria.

4

5

3 Initiate a search.

4a

FICC recommends using the navigation buttons provided by the RTTM interface in place of those provided by the browser.

4b

Initiate a search.

Unique to Brokers. Restores all default values.

2

Par totals for inquiry results (these are not grand totals for all buys and sells).

Advisories display trade details from the original submitter's perspective. Therefore, MBQQ is shown as the contra.

1

Check this box to list active trades at end-of-day for the previous day.


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2.3.2 Working with the Trade Inquiry Results Screen In Figure 2-21 the Dealer performs a search of all uncompared trades. The subsequent Trade Inquiry Results are shown in Figure 2-22. Keep in mind that the identical search can be initiated from the Uncompared Trades link on the Statistics Panel.

Figure 2-21: Dealer Trade Search Engine (see Figure 2-19 for Broker screen)

1. The Action column in the Trade Inquiry Results screen (Figure 2-22) includes a dropdown list for each record. Click the dropdown for the record you want to address, then select an Action. For detailed information on a specific Action refer to the appropriate topic in Section 4 of this user guide.

All business rules governing Trade Status and the Actions that can be taken against a specific transaction still apply (e.g., compared trades cannot be unilaterally Canceled). Please note that these same business rules dictate that certain actions are limited to Dealers (e.g., Broker Actions do not include Affirm).

2. Inquiry Results can be sorted by column headings. Click a heading to sort trade details by that heading, and click the same heading again to toggle between ascending and descending order.

3. Only six trades are listed for the query shown in Figure 2-22, but an Inquiry Results screen can span several pages. When a search generates multiple pages, the screen incorporates navigation links to access the additional pages.

In this example, only Trade State is selected. The Dealer is searching for all uncompared trades.


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4. The Trade Inquiry Results screen is dynamically linked to the RTTM System. Click the Refresh link to update the screen with the most recent data.

5. Click the Open New Window link to launch a second window, allowing simultaneous viewing of multiple screens.

6. Click the XLS icon to download the results to an Excel spreadsheet.

Figure 2-22: Trade Inquiry Results Screen

Download the Trade Inquiry Results to an

Excel spreadsheet.

1

Click a heading to sort results by that heading. Click the same heading again to toggle between ascending and descending order.

2

6

Refresh the screen. 3 Multiple-page inquiry results

incorporate navigation control. 4 Open a new window.

5

The currently selected record is displayed in green text.

Identifies either TBA or Specified Pool Trade.

For SPTs, briefly hold the cursor over a cell to display pool number.


2/15/2007 2-21

2.4 Exception Recap Exception Recap is an effective method of monitoring and addressing transactions that require further action. The recap is a slightly more detailed version of the Statistics Panel. The information is compiled in table format, and the individual transactions are sorted by contra ⎯ unlike the Statistics Panel, which provides only totals.

1. Select Transaction Management, Trade Processing, Exception Recap from the Main Menu (or click the Exception Recap link in the Welcome screen). The Exception Recap screen is displayed.

2. Click a link to access related transactions. A Trade Inquiry Results screen is displayed, and further action can be taken against the selected transactions.

3. Use the dropdown to compile transactions of only a specific trade type.

Figure 2-23: Exception Recap Screen

1

2

3 Update the query


2-22

2.5 Broker Checkout (Available for Dealers Only) Like Exception Recap, Broker Checkout is an effective method of monitoring and addressing transactions that require further action. However, the contra account must be a Broker. Think of Broker Checkout as an Exception Recap that is limited to Broker activity. The information is compiled in table format, and the individual transactions are sorted by contra.

1. Select Transaction Management, Trade Processing, Broker Checkout from the Main Menu (or click the Broker Checkout link in the Welcome screen). The Broker Checkout screen is displayed.

2. Click a link to access related transactions. A Trade Inquiry Results screen is displayed, and further action can be taken against the selected transactions.

3. Use the dropdown to compile transactions of a specific trade type.

Figure 2-24: Broker Checkout Screen

1

2

3 Update the query


2/15/2007 2-23

2.6 View Rejects All submissions that are rejected by the RTTM System ⎯ whether input via Interactive Messaging or batch file transfer ⎯ are reported in the View Rejects screen. This does not include local errors (see Section 2.1.5). Rejects cannot be modified; the transaction must be resubmitted.

1. Select Transaction Management, Trade Processing, View Rejects from the Main Menu (or click the Rejects link in the Statistics Panel). The Rejects screen is displayed.

2. Click the magnifying glass of the associated record to display a full list of reject reasons with detailed explanations (a single entry may have multiple reject reasons).

Figure 2-25: Reject Summary Screen

Figure 2-26: Reject Reason Screen

1

2

View TBA trades, Specified Pool Trades, or Both.

The Reject ID identifies the rejected submission, and the Reject Code identifies the error.


2-24

2.7 Advisories Split View (Available for Dealers Only) The Advisories Split View, which displays advisories and uncompared transactions in a single screen, can be very helpful when attempting to identify potential matches.

1. Select Transaction Management, Trade Processing, Advisories Split View from the Main Menu. The Advisories Split View screen is displayed.

2. Choose Buy or Sell from the dropdown to select which advisories you want to display (default view is Sell).

3. Your advisories, or the trades that have been submitted against your account, are displayed in the top half of the screen. Your uncompared trades within the same CUSIP that could be likely matches are displayed in the bottom half of the screen. Note that if the advisories are sells, only uncompared buy trades are listed. Consider the first advisory in Figure 2-27. The mismatch is easily identified. It appears that one of the parties incorrectly entered the Price (99.50 vs. 99.00). Now, further action can be taken to resolve the error. For example, the advisory can be Affirmed, and the uncompared transaction can be Canceled, both of which can be accomplished directly from this screen.

Figure 2-27: Advisories Split View

1 2

3 All trade details match except Price, indicating that one side may have been entered incorrectly.

Fixed Income MBS RTTM WEB USER GUIDE Clearing Corporation PRINTING RTTM WEB SCREENS

2/15/2007 3-1

3. PRINTING RTTM WEB SCREENS RTTM Web screens can be printed by clicking the Printer Icon located just above the Help item in the Main Menu. When a secondary window is launched ⎯ as is the case for Confirms, Affirms, and DKs ⎯ the screen can be printed by clicking the Printer Icon located within the secondary window.


Click the Printer Icon to print the current screen.

When a secondary window is launched ⎯ as is the case for Confirms, Affirms, and DKs ⎯ the screen can be printed by clicking the Printer Icon located within the secondary window. Only the contents of the secondary window are printed.

Once the Print screen is displayed, set the layout to landscape, then follow your normal printing procedure.

The Print screen is a component of your printer driver, which can vary from computer to computer, and may differ from the image shown here.

1

2

Fixed Income MBS RTTM WEB USER GUIDE Clearing Corporation PRINTING RTTM WEB SCREENS

3-2


Fixed Income MBS RTTM WEB USER GUIDE Clearing Corporation ACTIONS

2/15/2007 4-1

4. ACTIONS Once a transaction is entered into the RTTM System, it can be called to the screen via a trade search or by clicking the associated link in the Statistics Panel. Both methods generate a Trade Inquiry Results screen that, depending on how specifically the query was defined, can list a single transaction or list several transactions that span multiple pages. Each entry in the Trade Inquiry Results screen includes a dropdown menu that can be used to initiate further activity, or Actions, against that transaction. Regardless of the method used to generate a Trade Inquiry Results screen, Action procedures remain the same. However, Trade Status and the participant's role (Broker or Dealer) determine which Actions can be performed on a specific transaction. The RTTM System offers the following Actions:

• View: Display trade details that were input during initial trade entry. Also offers a detailed look at a transaction, including all IDs and a trade history (see Section 4.1).

• Affirm: An advisory can be Affirmed in a few keystrokes, which take the place of completely entering your side of the trade (see Section 4.2).

• DK: Notify a contra who submitted an advisory against your account that you Don’t Know (DK) the trade (see Section 4.3).

• Cancel: Submit a Cancel Request against a compared trade or Cancel an uncompared trade (see Section 4.5).

• Un-Cancel: Undo a Cancel Request that has yet to be acknowledged by the contra (see Section 4.6).

• Modify: The data that can be modified is dependent upon Trade Status and the participant's role in the trade (see Section 4.7).

• Potential Matches: This feature can help identify a potential match of an uncompared trade or advisory (see Section 4.4).

Although listed in the dropdown menu, some Actions may not be available. Trade Status and the participant's role (Broker or Dealer) in the trade determine which Actions can be performed against a specific transaction.

Figure 4-1: Trade Inquiry Results Screen with Action Dropdown


4-2

4.1 View Use the View Action to display trade details for a specific transaction. View also offers two optional screens, Additional Data and Trade History, that provide a more detailed look at the transaction, including all IDs, submission and comparison dates, and a list of all activity (e.g., Modify, Cancel, Affirm).

1. Display the Trade Inquiry Results for the transaction you want to view, either directly from a link in the Statistics Panel or via a trade search.

2. Click the dropdown that corresponds to the transaction you want to view. Select View, and the View Trade screen is displayed.


Figure 4-3: View Trade Screen

2

1

The View Trade screen shows the Submission ID and the trade details that were input during trade entry.

Additional Data and a Trade History, including comparison dates, can also be accessed from this screen (see Figure 4-4).


2/15/2007 4-3

3. Click the Additional Data button or the Trade History button to access additional details regarding the transaction being viewed.

Figure 4-4: View Trade Screen with Additional Data and Trade History

3

Trade History displays processing history for the selected transaction and therefore serves as an audit trail. It includes all activity for the selected transaction, beginning with the most recent activity (e.g., Modify, Cancel, etc.) and ending with the initial trade entry.


4-4

4.2 Affirm An advisory entered against your account can be Affirmed in a few keystrokes, which takes the place of completely entering your side of a trade.

To eliminate the possibility of Broker Unbalance, Brokers cannot Affirm advisories. All Broker Actions must have a buy and a sell side.

1. Display your advisories, either directly from the Advisories link in the Statistics Panel or via a trade search.


2. Once the transactions are displayed, click the dropdown list next to the advisory being affirmed, revealing the Action items. Select Affirm, and the Affirm Trade screen is displayed (see Figure 4-7).

Figure 4-6: Trade Inquiry Results, Advisories

3. The Affirm Trade screen is pre-populated with all trade details except Xref. Type an Xref in the provided field (do not modify any existing data, or the Affirm will be interpreted as a new trade entry).

4. Click the Submit button. If the Affirm is accepted, matching occurs (partial match for Broker trades.

1

2

1

Trade Search Engine Screen


2/15/2007 4-5

Figure 4-7: Affirm Trade Screen

Figure 4-8: Trade Accepted Message

If you believe a previously entered transaction should satisfy an advisory that remains open, use the Potential Matches feature to identify a potential match. All uncompared trades in the same TBA CUSIP are listed, and the details that prevent a match are identified in red (see Figure 4-9).

Figure 4-9: Potential Matches

3

4

The Xref can be up to 15 alphanumeric characters (cannot be previously used for any transaction on the RTTM System within a given account).

The Potential Matches feature displays trade details for the advisory in question and all uncompared trades in the same TBA CUSIP. The details that prevent a match are identified in red.

Actions can be initiated on each transaction directly from this screen.

Unmatched trade details are identified in red.


4-6

4.3 DK (Don't Know) If an advisory is entered against your account, but you can't identify the trade, it must be immediately DKed. This in turn sends a DK (Don't Know) notification to the original submitter. Both parties are then aware of the condition, and can take the necessary steps to correct or Cancel the transaction.

1. Display your advisories, either directly from the Advisories link in the Statistics Panel or via a trade search.


2. Once the transactions are displayed, click the dropdown list next to the advisory being DKed, revealing the Action items. Select DK.

Figure 4-11: Trade Inquiry Results, Advisories

3. The DK Trade screen is displayed, which includes the original trade details and a DK Reason Code field (see Figure 4-12). Click the Reason Code field, then select the appropriate DK reason code.

4. Click the DK button.

5. The DK is accepted, and a DK Initiated is reported in the Statistics Panel (see Figure 4-13).

1

2

1

Trade Search Engine Screen


2/15/2007 4-7

Figure 4-12: DK Trade Screen

Figure 4-13: DK Accepted and DK Initiated

3

4

Statistics Panel

A DK Initiated is logged when you submit a DK against a contra. A DK

Received is logged when a DK is entered against your account.

5


4-8

4.4 Potential Matches Trades can remain unmatched for a number of reasons: incorrect trade details, differences in the way participants enter submissions (e.g., number of decimal places used), or key stroking errors. Nevertheless, unmatched trades must be identified and resolved. The Potential Matches feature can help. If you believe a previously entered transaction should satisfy an advisory that remains open, or if an uncompared trade remains unmatched for an extended period, use the Potential Matches feature to list the open transactions that could be a potential match. Potential Matches are available for uncompared trades (only Dealers) and advisories. If a potential match is requested for an uncompared trade, all advisories in the same TBA CUSIP are listed. If a potential match is requested for an advisory, all uncompared trades in the same TBA CUSIP are listed. Details that preclude a match are identified in red.

Brokers cannot access Potential Matches for uncompared trades.

4.4.1 Requesting Potential Matches for Uncompared Trades (Dealers Only)

1. Display an uncompared trade.

2. Click the Action dropdown list, and select Potential Matches.

Figure 4-14: Uncompared Trade

1

2

Identifies either TBA or Specified Pool Trade.

For SPTs, briefly hold the cursor over a cell to display pool number.


2/15/2007 4-9

3. All advisories in the same TBA CUSIP are displayed (if the uncompared trade is a sell, advisory buys are displayed). Transactions can be Affirmed or DKed directly from this screen. Details of the uncompared trade are displayed at the top of the screen. All advisories in the same TBA CUSIP, or the Potential Matches, are listed beneath. Note that all trade details that prevent a match are shown in red (in this case, the price and par). Action can be taken against any of the trades listed in the Potential Matches Trade screen by clicking the corresponding dropdown list.

Figure 4-15: Potential Matches Trade Screen (Uncompared Trade)


3

3


4-10

4.4.2 Requesting Potential Matches for Advisories (Brokers and Dealers) If a potential match is requested for an advisory, all uncompared trades in the same TBA CUSIP are listed. Details that preclude a match are identified in red.

1. Display an advisory, either directly from the Advisories link in the Statistics Panel or via a trade search.

2. Click the Action dropdown list, and select Potential Matches. The Potential Matches screen is displayed.

Figure 4-16: Trade Inquiry Results, Advisory

1

2


2/15/2007 4-11

3. Details of the advisory are displayed at the top of the screen (see Figure 4-17). All uncompared trades in the same TBA CUSIP, or the Potential Matches, are listed beneath. Note that all trade details that prevent a match are shown in red (in this case, the Par and Price). Action can be taken against any of the trades listed in the Potential Matches Trade screen by clicking the corresponding dropdown list. Transactions can be Affirmed or DKed directly from this screen.


Figure 4-17: Potential Matches Trade Screen (Advisory)

3

3


4-12

4.5 Cancel The procedure for Canceling a trade is determined by Trade Status (uncompared or compared).

• Uncompared trades can be immediately, unilaterally Canceled by the submitter.

• Compared and partially matched trades must be Canceled bilaterally. Either side can request a cancellation, but it must be confirmed by the contra. To initiate a cancellation, submit a Cancel Request. In response, the RTTM System assigns a Pending Cancel status to your side of the trade and a Cancel Requested status to the contra side. If the contra submits a Cancel Request for its side of the trade, the RTTM System changes the status of both sides to Canceled.

4.5.1 Canceling an Uncompared Trade

1. Run a Trade Search or click a link on the Welcome screen to display the transaction to be Canceled.

2. Locate the transaction being Canceled, click the dropdown corresponding to that transaction, and select Cancel. The Cancel Trade screen is launched (see Figure 4-19).

Figure 4-18: Trade Inquiry Results

3. Examine the trade details to ensure that this is the trade to be Canceled. Additional Data and a Trade History are available by clicking the corresponding button.

4. To proceed with the Cancel Request click the Cancel button.

5. A confirmation screen is displayed. Click YES to proceed with the Cancel Request.

6. If the information is accurate and complete, the Cancel Request is accepted (see Figure 4-20).

7. A single Cancel Request is all that is required to Cancel the uncompared trade in this example (also see Section 4.5.2, Canceling a Compared Trade).

1

2


2/15/2007 4-13

Figure 4-19: Cancel Trade Screen

Figure 4-20: Cancel Accepted

3

5

4


4-14

4.5.2 Canceling a Compared Trade To Cancel a compared trade, a Cancel Request must be matched by the contra. When the initial Cancel Request is submitted, a Pending Cancel status is assigned, and the contra must generate the matching Cancel Request, or the transaction remains in a Compared, Pending Cancel status.

The following example illustrates the Cancel process for a Broker-Dealer trade between MBXX (Dealer), MBYY (Dealer), and MBQQ (Broker). Note that MBQQ functions as an intermediary between the two Dealers and is therefore the contra on both Cancel Requests.

Figure 4-21: Canceling a Compared Trade, Initial Submitter's Side

2

If the information is accurate and complete and the request satisfies all business rules governing Cancels, the Cancel Request is accepted.

If a problem occurs, the Cancel Request is rejected. For example, Brokers cannot submit Cancel Requests for FMAT trades.

Examine the trade details. Ensure that this is the trade to be Canceled. Additional Data and a Trade History are available by clicking the corresponding button. Click the Cancel button, then click YES to confirm, and the Cancel Request is submitted.

Initiate a Cancel Request from the dropdown list. The Cancel Trade screen is displayed.

1 Use one of the various methods to display the trade to be Canceled.

3

5a

Once the Cancel Request is accepted, the submitter's side of the trade is assigned a Pending Cancel status, and the contra's side is assigned a Cancel Requested status (see 5b).

4


2/15/2007 4-15

Once a trade is assigned a compared status, the Broker, for all intents and purposes, is no longer an active participant in the trade. Therefore, the initial Cancel Request submitted by Dealer MBXX is passed directly to Dealer MBYY. Broker MBQQ is listed as the contra for both sides, but never sees the Cancel Request for a compared trade. Dealer MBYY must complete the following steps, or the Cancel Request remains in pending status.

Figure 4-22: Canceling a Compared Trade, Contra's Side

7

In response to the Cancel Requested, Dealer MBYY submits a Cancel Request. A Cancel Request cannot be Affirmed.

5b

If the information is accurate and complete and the request satisfies all business rules governing Cancels, the Cancel Request is accepted.

Compared-Cancel Requested Status

Initial Submitter's Side

The system then assigns a Canceled status to both sides of the trade.

6

Sell Side Canceled Status

8

Buy Side Canceled Status


4-16

4.6 Un-Cancel Trades that have a Pending Cancel status can be Un-Canceled by the original submitter. This allows you to undo a Cancel Request that was submitted in error.

1. Run a Trade Search or click the Pending Cancels link on the Welcome screen to display the transaction you want to Un-Cancel.

2. Click the Action dropdown that corresponds to the transaction being Un-Canceled. Select Un-Cancel, and the Un-Cancel Trade screen is displayed (see Figure 4-24).

Figure 4-23: Trade Inquiry Results

3. Review the trade details to ensure that you want to Un-Cancel the Pending Cancel associated with this trade, then click the Un-Cancel button.

Figure 4-24: Un-Cancel Trade Screen with Trade History

Note that the transaction shown at the left has a Pending Cancel status (compared trade for which a Cancel Request was submitted but the contra did not submit a Cancel Request in response, see Section 4.5).

2 1

3

The Un-Cancel Trade screen shows the Submission ID and the trade details that were input during trade entry.

Additional data and a Trade History, including when the trade compared, can also be accessed from this screen.

The transaction must have a Pending Cancel status (compared trade for which a Cancel Request was input and the contra did not submit a Cancel Request in response, see Section 4.5).


2/15/2007 4-17

4. Provided that the transaction satisfies all business rules, the Un-Cancel is accepted. The trade is then set to Compared status, and the Pending Cancel is removed.

Figure 4-25: Un-Cancel Trade Accepted Screen


4-18

4.7 Modify Use the Modify function to modify previously entered trades. The data that can be modified is dependent upon Trade Status and the participant's role in the trade.

Trade State Brokers Can Modify Dealers Can Modify

Compared Trades Xref Xref on your side of the trade.

Uncompared Trades Brokers cannot Modify uncompared trades; Cancel the trade and submit the correct terms.

Dealers cannot Modify uncompared trades; Cancel the trade and submit the correct terms.

Partially Matched Trades

Brokers can modify Xref, Contra, and/or Commission on the uncompared side of a PMAT trade.

Only the dealer on the Compared side of a PMAT trade can modify Xref.

4.7.1 Broker Modify

1. Run a Trade Search or click a link on the Welcome screen to display the transaction you want to Modify.


2. Click the Action dropdown that corresponds to the transaction being Modified. Select Modify.

3. The Modify Trade screen is displayed (see Figure 4-27).

4. Make the desired changes to Xref, Contra, or Commission according to the business rules outlined in Section 4.7. The system will reject any changes that do not comply.

5. When the changes are complete, click the Modify button.

6. The Modify Accepted or Modify Captured screen is displayed.

Note that this transaction has a PMAT matching status. Therefore, modifications are limited to Xref, Contra, and Commission on the uncompared side of the trade (see Section 4.7).

1

2


2/15/2007 4-19

Figure 4-27: Detail View Screen Showing a PMAT Trade

Figure 4-28: Modify Accepted Screen

3

4

5

Only the Xref, Contra, or Commission can be modified on the uncompared side of a PMAT trade. Only the Xref can be modified for FMAT trades.

6


4-20

4.7.2 Dealer Modify Only the Xref on your side of a compared trade can be modified. Uncompared trades cannot be Modified; Cancel the transaction and resubmit.

1. Run a Trade Search or click a link on the Welcome screen to display the transaction you want to Modify.

2. Click the Action dropdown that corresponds to the transaction being Modified. Select Modify.


3. The Modify Trade screen is displayed.

Figure 4-30: Modify Trade Screen

4. Make the desired changes to Xref (refer to the business rules outlined in Section 4.7). The system will reject changes that do not comply.

5. When the changes are complete, click the Modify button.

6. The Modify Accepted screen is displayed.

1

3

5

4

2

Fixed Income MBS RTTM WEB USER GUIDE Clearing Corporation REPORT CENTER

2/15/2007 5-1

5. REPORT CENTER The Report Center includes archived reports related to Clearing and Real-Time Trade Matching. 5.1 Accessing Reports

1. Select Report Center from the Main Menu.


2. The Report Center is launched in a new window.

Figure 5-2: Report Center

3. Click the link that describes the category of reports you want to access. A list of associated reports is displayed.

1

2

3

Fixed Income MBS RTTM WEB USER GUIDE Clearing Corporation REPORT CENTER

5-2

4. Click the underlined report name to open and view a specific report, or click the corresponding download button to save a copy of the report on your computer.

Figure 5-3: Report Center with Report List

4

To search for a report by a specific date, enter a date in the provided field, then click Retrieve.

Click the underlined report name to open and view a specific report.

Click the blue button next to the report link to download a report in PDF format.

Download a report

View a report

Fixed Income MBS RTTM WEB USER GUIDE Clearing Corporation CLEARING PROCESSING

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6. CLEARING PROCESSING

6.1 Notice of Settlement A comprehensive explanation of the Notice of Settlement process is beyond the scope of this document. For a complete explanation, refer to the MBS Clearing Source Book, which can be accessed from FICC.com, under Important Documents. 6.1.1 NOS Entry Buyers or sellers can use the NOS Entry screen to submit settled pool information to FICC. All NOS submissions are processed during the PM pass, regardless of actual submission time.

1. Select Transaction Management, Clearing Processing, Notice of Settlement, New Entry from the RTTM Main Menu. The NOS Management, Entry screen is displayed.

2. Select Buyer or Seller from the dropdown menu, then populate the mandatory fields (identified by bold type and an asterisk). Refer to the following page for details of a specific field. The required input data for the mandatory fields can be found in the Open Commitment Report.

Figure 6-1: NOS Management, Entry Screen

Mandatory data is determined by trade type and whether you are the buyer or seller.

Refer to the following page for details of a specific field.

The data required to populate the data fields can be found in the Open Commitment Report (Report Center).

After an NOS is entered, the input data fields are cleared. To preserve the header field data, check this box.

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a. BUYER/SELLER*: Identify your position in the transaction. Your selection also determines the mandatory and available input fields for the current screen.

b. CONTRA ID*: Select your contra from the dropdown menu, or enter the 4-character short name in the provided field. Contra ID can be found on the Purchase and Sale and Open Commitment reports.

c. TRADE TYPE*: Select the Trade Type of the underlying trade being settled, TFTD or SBO. The Trade Type can be found on the Purchase and Sale and Open Commitment reports.

d. TRD NUMBER (Trade Number)* : The TRD Number can be found on the Purchase and Sale and Open Commitment reports.

IMPORTANT NOTE: A TRD Number is assigned to a trade once it has been accepted into Clearing. For a TFTD trade, the TRD Number may be the same as the Trade ID, which is assigned by the RTTM System and references a matched trade (prior to Clearing processing). However, the TRD Number and the Trade ID are not the same for an SBO trade.

e. CUSIP/MONTH/YEAR (Mandatory Input for SBO Buyer): CUSIP: Enter the first 7 characters of the TBA CUSIP (settlement month digit and check digit are dropped). MONTH: Enter the settlement month of the targeted trade. YEAR: Enter the settlement year of the targeted trade (FORMAT: ccyy).

f. TRADE PRICE (Mandatory Input for SBO Buyer): Settlement price of the underlying trade. Settlement price can be found on the SBO Summary, Open Commitment, and Purchase and Sales reports as well as the RTTM System. FORMAT: 999.999999

g. POOL NUMBER*: The number of the pool that was delivered. For TFTD trades, up to ten pools may be entered per screen. SBO trades are subject to SIFMA Good Delivery guidelines for maximum number of pools. A Dummy Pool is required when under-delivery of TFTD trades has occurred or ex-MBSD pair-off has occurred. Dummy Pool number for TFTD under-delivery is 0999999. FORMAT: XXXXXXX

h. AMORTIZED VALUE*: The amortized value of the pool that was delivered. For TFTD trades, up to 10 amortized values may be entered per screen. SBO trades, on the other hand, are subject to SIFMA Good Delivery guidelines for variance. A Dummy Pool is required when under-delivery of TFTD trades or ex-MBSD pair-off has occurred. Amortized Value for the Dummy Pool for TFTD under-delivery should at least equal the Original Par minus Settled Amount (Open Par). For Amortized Value, you can enter mm to represent 1 million (10mm = 10,000,000). FORMAT: 999999999999.99.

i. CONTROL NUMBER: Your firm's cross-reference number for the NOS (up to 15 alpha-numeric characters).

3. Once all the required fields are populated, click the Submit button.


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6.1.2 NOS Inquiry The NOS Query screen is used to access previously entered settlement transactions and allows you to search for a single or multiple transactions. A single-transaction search identifies a specific tracking ID, and the result is limited to a single transaction. A multiple-transaction search can be specifically or broadly defined and lists all transactions that satisfy the selected criteria. Inquiry results are displayed in the NOS Summary screen, where you can view or remove your NOS transactions.

Performing an NOS Inquiry

1. Select Transaction Management, Clearing Processing, Notice of Settlement, Inquiry from the RTTM Main Menu. The NOS Management, Query screen is displayed.

2. Search for Single NOS Transaction: a. Enter the Xref/Control Number in the provided field. Do not populate the remainder of

the screen.

b. Click Submit. If the requested Notice of Settlement is found, it is displayed in the NOS Management Summary (see Figure 6-3).

3. Search for Multiple NOS Transactions: a. Transaction Type is the only mandatory criterion. Unprocessed NOS transactions are

submissions that have yet to be processed during a PM pass. Uncompared Processed transactions are submissions that have been processed but not matched with a contra submission.

b. Use the various fields and dropdown menus to customize your search (e.g., select a contra).

c. The Price field includes an operator dropdown (=, =<, =>) that allows you to search for either a fixed value or a range. For example, a query can be defined to search all transactions that have a Price of 100 (= 100) or a Price less than or equal to 100 (=< 100).

d. Click Submit. All NOS transactions that satisfy the search criteria are displayed in the NOS Management Summary (see Figure 6-3).


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Figure 6-2: NOS Management, Query Screen

NOS Summary Screen The NOS Summary screen displays the requested Notices of Settlement, as defined by the search criteria. From this screen, you can view NOS details or remove notices that were submitted in error. An NOS can be removed only prior to the PM pass on submission date. After the PM pass, use the Delete NOS function (see Affirm/DK/Delete). One or more specific Notices of Settlement can be removed from RTTM, or all notices can be removed simultaneously.

Removing an NOS

1. To remove specific notices, activate the check boxes associated with the notices you want to remove.

2. When all check boxes have been activated, click Remove.

3. To remove all notices, click the Remove All button. The individual transactions do not have to be selected.

Figure 6-3: NOS Management Summary Screen

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Transaction Type

Unprocessed NOS transactions are submissions that have yet to be processed during a PM pass.

Uncompared Processed transactions are submissions that have been processed but have not matched a contra submission.

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NOS transactions can be removed prior to the PM pass on submission date.

After the PM pass, use the Delete function (see 6.2.1).


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6.2 Affirm/DK/Delete Management During the PM pass, uncompared NOS transactions are assigned a TRN Number and recorded in the Transaction Summary Report. Uncompared NOS transactions can be Affirmed, DKed, or Deleted. Each of these procedures requires that you refer to the Transaction Summary Report for the required data.

• Affirm: Accept NOS terms as submitted by a contra and generate a matching submission.

• DK: Generate a notification to indicate that an NOS submitted against your account is unknown.

• Delete: Delete a processed unmatched NOS that you submitted in error. 6.2.1 Affirm/DK/Delete Management: Entry

1. Select Transaction Management, Clearing Processing, Affirm/DK/Delete, New Entry from the RTTM Main Menu. The NOS Management Entry screen is displayed.

2. Select an Action from the dropdown menu. Your selection will determine the mandatory data fields (designated by an asterisk.)

3. Referring to the Transaction Summary Report, which can be accessed from the Report Center, populate the mandatory data fields (determined by the selected Action).

4. Click Submit. Provided that the underlying trade is found, the NOS transaction is accepted.

IMPORTANT NOTE: All NOS transactions are processed during the PM pass, regardless of the actual submission time.

Figure 6-4: Affirm/DK/Delete Management: Entry Screen

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6.2.2 Affirm/DK/Delete Management: Inquiry The Affirm/DK/Delete Management Query screen is used to access only unprocessed Affirms, DKs, or Deletes that were submitted by you against an NOS transaction. An Affirm, DK, or Delete submission is considered unprocessed until the PM pass occurs. For details of processed Affirms, DKs, and Deletes that you submitted against an NOS, refer to the Open Commitment Report (Affirm) or Transaction Summary Report (DK, Delete). Uncompared and advisory NOS activity is also reflected in the Transaction Summary Report. You can search for a single or multiple transactions. The Inquiry Results are displayed in the Affirm/DK/Delete Summary screen, where you can view or remove your Affirm/DK/Delete NOS transactions.

Performing an Affirm/DK/Delete Inquiry

1. Select Transaction Management, Clearing Processing, Affirm/DK/Delete, Inquiry from the RTTM Main Menu. The Affirm/DK/Delete Query screen is displayed.

2. Search for Single Affirm/DK/Delete Transaction: a. Select the Search Criterion Type from the drop down menu, either TRN Number or

Xref/Control Number.

b. Enter the TRN/Xref/Control Number string in the provided field.

c. Click Submit. If the requested Affirm/DK/Delete is found, it is displayed in the Affirm/DK/Delete Management Summary (see Figure 6-6).

3. Search for Multiple Affirm/DK/Delete Transactions: a. Transaction Type is the only mandatory criterion. Select a Transaction Type.

b. A query can be limited to a specific contra.

c. Click Submit. All NOS transactions that satisfy the search criteria are displayed in the Affirm/DK/Delete Management Summary (see Figure 6-6).

Figure 6-5: Affirm/DK/Delete Management: Query Screen

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Affirm/DK/Delete Summary Screen The Affirm/DK/Delete Summary screen displays the requested NOS transactions, as defined by the search criteria. From this screen, you can view NOS details or remove notices that were submitted in error. An NOS can be removed prior to the PM pass on submission date. After the PM pass, use the Delete NOS function (see Affirm/DK/Delete). One or more specific Notices of Settlement can be removed from RTTM, or all notices can be removed simultaneously.

Removing an Affirm/DK/Delete NOS Transaction

1. To remove a specific Affirm/DK/Delete NOS transaction, activate the check boxes associated with the transactions you want to remove.

2. When all check boxes have been activated, click Remove.

3. To remove all NOS transactions, click the Remove All button. The individual transactions do not have to be selected.

Figure 6-6: Affirm/DK/Delete Management Summary Screen

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NOS transactions can be removed prior to the PM pass on submission date.

After the PM pass, use the Delete function (see 6.2.1).


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6.3 Cash Obligation Management The Cash Obligation Summary screen lists the details of your cash obligations by Aggregate ID and Approval status.

1. Select Transaction Management, Clearing Processing, Cash Obligation Mgmt., Inquiry from the RTTM Main Menu. The Cash Obligation Management Summary screen is displayed.

2. Select an aggregate ID from the dropdown menu to limit the summary results to a specific aggregate ID.

3. Limit the summary results to the selected approval status. Choose from All, Approved, or Unapproved.

Figure 6-7: Cash Obligation Management Summary Screen

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6.4 Collateral Management The Collateral Management Query screen allows you to search for all collateral used to satisfy your aggregate margin requirement. An Aggregate ID systematically links account IDs to a participant ID. Every account must be linked to an Aggregate ID for margin and cash settlement reporting purposes. Grouping accounts under a single aggregate will reduce the costs associated with maintaining separate collateral for individual accounts. All margin requirements and collateral deposits are maintained and reported at the aggregate level. 6.4.1 Performing a Collateral Inquiry

1. Select Transaction Management, Clearing Processing, Collateral Mgmt., Inquiry from the RTTM Main Menu. The Collateral Management Query screen is displayed.

2. Select the search criteria to define a custom search, or leave the fields blank to list all collateral.

3. Click Submit to initiate the query. The result is displayed in the Collateral Management Summary screen (see Figure 6-9).

Figure 6-8: Collateral Management Query Screen

Figure 6-9: Collateral Management Summary Screen

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6.4.2 Viewing the Details of a Specific Collateral Item Collateral Management Inquiry results are displayed in the Collateral Management Summary screen. To view the details of a specific item, select the View Action for the corresponding collateral item.

Figure 6-10: Collateral Management View Screen

Fixed Income MBS RTTM WEB USER GUIDE Clearing Corporation BUSINESS ADMINISTRATION

2/15/2007 7-1

7. BUSINESS ADMINISTRATION

7.1 View Security Master Use this feature to access details for a specific security, including acceptable minimum and multiple amounts, coupon, and security class.

1. Select Business Administration, View Security Master from the Main Menu. The Security Query screen is displayed (see Figure 7-2).

Figure 7-1: Welcome Screen, Business Administration Menu

2. Enter a TBA CUSIP in the provided field (or leave the field blank to request the complete security master list).

3. If you know that the security is netting eligible, select Y from the Subject to Net Flag dropdown.

4. Click Submit to initiate the query.

The Product ID field is currently not used and will be eliminated from the Security Query screen in a future release.

Figure 7-2: Security Query Screen

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5. The Security Maintenance Summary screen is displayed. For more detail, click the Action dropdown, then select View, and the Security Information Detail screen is displayed.

Figure 7-3: Security Maintenance Summary

Figure 7-4: Security Information Detail Screen

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7.2 View SIFMA Processing Schedule Use this feature to access the SIFMA calendar summary, which includes settlement and netting dates.

1. Select Business Administration, View TBMA Calendar from the Main Menu. The summary screen is displayed.

2. Select a Settlement Month and Settlement Year, then click the refresh button.

Figure 7-5: SIFMA Calendar Summary Screen

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Refresh


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Fixed Income MBS RTTM WEB USER GUIDE Clearing Corporation SITE ADMINISTRATION

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8. SITE ADMINISTRATION

8.1 Change Password 8.1.1 Password Requirements When choosing a new password, be sure to comply with the following requirements:

• Minimum password length is 8 characters.

• Maximum password length is 16 characters.

• Password must be a combination of alpha and non-alpha characters.

• Username cannot be contained within the password.

• Maximum repeated characters cannot exceed 2.

• Minimum unique characters is 4.

• Passwords must be changed at least every 90 days.

• Previously used passwords not allowed is 12.

• A password cannot be changed within 3 days of a previous new password being set.

• Username and password must be entered within 30 seconds.

• Your account will be locked out after 3 failed attempts (contact your Access Coordinator or FICC Operation to unlock.

Fixed Income MBS RTTM WEB USER GUIDE Clearing Corporation SITE ADMINISTRATION

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8.1.2 Changing Your Password

1. Select Site Administration, Change Password from the Main Menu. The Change Password screen is displayed.

2. Enter your old password, then enter and confirm your new password.

3. Click Submit.

Figure 8-1: Welcome Screen and Site Administration Menu

4. If the change is successful, a confirmation screen is displayed.

Figure 8-2: Password Change Accepted

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Fixed Income MBS RTTM WEB USER GUIDE Clearing Corporation HELP

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9. HELP The Help menu offers a number of help-related links that provide information about all FICC Real-Time Trade Matching and Clearing services.

Figure 9-1: Help Menu

Click a frequently asked question to jump to the answer.

Send us an e-mail.

Fixed Income MBS RTTM WEB USER GUIDE Clearing Corporation HELP

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Fixed Income MBS RTTM WEB USER GUIDE Clearing Corporation TROUBLESHOOTING

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10.TROUBLESHOOTING

10.1 System Messages All input records are evaluated by the RTTM System. If the required data is missing, cannot be validated (e.g., Bad Commission Entered), or does not follow the required format, the system responds with an error or reject message.

Figure 10-1: Submission Error Message


Fixed Income MBS RTTM WEB USER GUIDE Clearing Corporation TROUBLESHOOTING

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