TBA Processing


Charles River IMS offers complete automation for 'To Be Announced' (TBA) mortgage pool processing. Users can create initial TBA buy or sell orders, including any associated stipulations, without re-keying data. The system automatically updates open TBA positions in real-time, as transactions occur, such as: full and partial pool assignments, pair-offs, turns and forward rolls, including fee rolls. A certified FICC interface provides exception handling and failover capability.


Key Benefits

  • Electronic pool delivery via Electronic Pool
  • Notification (EPN) or EaSy Pool
  • Verify for both standard good delivery rules and STIP overrides
  • Optimize for prioritizing available inventory to fulfill TBA sell transactions using a variety of available data options
  • Automatically process pool messages and matching algorithms against open orders


Complete Automation for TBA Processing

Charles River IMS provides a unique TBA calculator which automatically creates the security and order, based on existing inventory, while conforming to 'good delivery' rules. Order workflow is further streamlined via embedded Securities Industry and Financial Markets Association (SIFMA) standard product codes and settlement dates that automatically populate the TBA CUSIP and settlement date on orders. In addition, pre-trade, post-execution and portfolio-level compliance for TBA trades and positions is integrated into Charles River TBA.

Advanced filtering and optimization features are available to assign inventory or existing TBA buy transactions to open TBA sell transactions. Open TBA positions are automatically updated in real time as transactions occur, such as: full and partial pool assignments, pair-offs, turns and forward rolls, including fee rolls. Users can also stage pool assignments and pledge inventory against TBA sell transactions as they occur.

Charles River IMS supports several inventory assignment methods including: Electronic Pool Notification (EPN), EaSyPool (ESP), File Export and manual entry. Once the TBA commitment is satisfied, generation of the appropriate closing, pair-off, and forward roll transactions occur as necessary. In addition, Charles River IMS makes it easy to substitute pools and factor changes on unsettled pool orders. Geographic distribution data for mortgage pools is also available.