#:
Date:
To:
Subject:
MBS100.08
April 30, 2008
Mortgage-Backed Securities Division Participants
MBS CCP Pool Netting Batch Output (MRO) Specifications
On February 21, 2008, the Mortgage-Backed Securities Division (“MBSD”) of the Fixed Income
Clearing Corporation (“FICC”) published the Service Description for Central Counterparty (CCP)
Pool Netting for Mortgage-Backed Securities.
Within that document, MBSD introduced a number of reports that will be provided to members in
support of Pool Netting activity. Attached are the specifications for the Pool Netting reports that will
be available via Batch Output (MRO).
To view these files on line, click on the following link:
http://www.dtcc.com/products/documentation/cs/mbs.php#ccppool.
The following is a brief description of these reports:
MBSD CCP Uncompared Report:
Reflects a member’s Pool Instructs in an Uncompared or Advisory state.
MBSD CCP Pool Instruct Activity Report:
Reflects initial Pool Instruct comparisons and subsequent updates for the current day.
MBSD CCP Pool Instruct Status Report:
Reflects compared Pool Instructs, current state and position totals.
MBSD CCP Pool Netting Detail Report:
Reflects the results of the current Pool Netting cycle including Pool Obligations that will be settled
versus FICC.
MBSD CCP Pool Netting Summary Report:
Reflects the results of the current Pool Netting cycle summarized at the Pool Number/CUSIP level.
MBSD CCP Pool Obligation Activity Report:
Reflects the creation of Pool Obligations generated via the current Pool Netting cycle and subsequent
updates.
MBSD CCP Pool Obligation Status Report:
Reflects open Pool Obligations (includes those generated via the current Pool Netting cycle as well as
failing Pool Obligations generated from previous Pool Netting cycles).
MBSD CCP Pool Fail Report
Reflects failing Pool Obligations versus FICC.
Note: For a detailed description of the above reports, please refer to the Service Description for
Central Counterparty (CCP) Pool Netting for Mortgage-Backed Securities.
Participant testing of Batch Output consisting of FICC generated “canned reporting events” is
scheduled to begin in Q2 2008.
For all testing-related matters, please contact Aileen Rose, Manager FICC User Acceptance Testing at
212.855.7565 or arose@dtcc.com.
Technical inquiries may be directed to Erick Mazariegos, FICC Systems Director at 212.855.7520 or
emazariegos@dtcc.com.
George Parasole
Director
FICC Product Management
2