Fixed Income Clearing Corporation

Transcription

1 Date: 4/2007 Version #: 3.0 Distributed by: FICC Distribution: Fixed Income A subsidiary of The Depository Trust &.

2 About this Guide The MBSD Clearing Action Guide includes detailed descriptions of MBS Clearing/RTTM Reports. Each sample report is introduced with a definition table that lists the Purpose, Access, Clearing Source Book Cross-Reference, and Timing requirements. Reports can be printed only from the Report Center. Also included in this guide are various MBS code tables (e.g., Agency codes, DK Reason codes, and Trade Type codes). This guide assumes that the reader has a general knowledge of mortgage-backed securities processing. For additional information on a specific Clearing function, refer to the MBSD Clearing Source Book. Please direct all questions regarding this manual to the MBSD Operations Department.

3 Table of Contents 1. Clearing and EPN Reports Overview Clearing Reports EPN Reports Broker Commission Fees Report (MB7431-A) Cash Adjustment Report (MB5121-A) Cash Settlement Detail Report (MB7411-A) Compressed Open Commitment Report (MB4891-A) Dealer Commission Fees Report (MB7441-A) EPN Message Detail Report (MB3331-A) EPN Message Summary Report (MB3341-A) FTS Reject Report (MB4531-A) Full Open Commitment Report (MB4931-A) Late Fee Detail Report (MB4741-A) Net Out Report (MB5351-P) Netting Conversion Report (MB5231-A) PMAT Report (MB4921-A) Purchase and Sale Report (MB4761-A) Settlement Balance Order Summary Report (MB5071-A) Summary Open Commitment Report (MB4911-A) Transaction Summary Report (MB4781-A) Unmatched Margin Report (MB6751-A) RTTM Reports Overview RTTM Purchase & Sale Report (Specified Pool Trades Only) RTTM Reject Report RTTM Open Commitment Report (SPT Compressed OCR) Split/Splice Report Supplemental P&S Report Uncompared Trade Report /2007 1

4 3. TBA CUSIPs Agency/Product Class Codes Cash Obligation Item Codes Collateral Codes DK Reason Codes Late Fee Codes Trade Activity Codes Trade Type Codes Trade Status Codes Transaction Status Codes Transaction/Last Activity Type Codes

5 1. Clearing and EPN Reports 1.1. Overview Clearing Reports Reports are available for on-line viewing, printing, or downloading via the Report Center EPN Reports Batch Close-of-Business (COB) and End-of-Day (EOD) reports are available to all EPN users. Close-of- Business reports include all messages that are time-stamped prior to the COB cut-off, and the EOD reports include all messages that are time-stamped prior to the EOD cut-off. EPN reports are available for on-line viewing, downloading, and printing via the Report Center. Click to access Clearing and EPN reports 4/2007 3

6 1.2. Broker Commission Fees Report (MB7431-A) Purpose Access Clearing Source Book Timing Sort Order Printing To view Broker/Dealer trade detail that determines this month s commission fee. Report Center Trade Processing Review at month-end Dealer Account ID All reports can only be printed via the Report Center. [1] [2] [8] [10] [3] [4] [9] [13] [14] [11] [12] [15] [5] [16] [6, 7] [17] [18] 4

7 Broker Commission Fees Report (MB7431-A) FIELD NAME DESCRIPTION REFERENCE 1 Participant MBSD Participant ID 2 Aggregate MBSD Aggregate ID 3 Account MBSD Account ID 4 Contra Acct MBSD Dealer Account ID See Participant/Account Listing 5 B/S Buy/Sell Indicator B - Buy, S Sell 6 Sttl Mth Settlement Month of the trade 7 Sttl Yr Settlement Year of the trade 8 CUSIP MBS TBA CUSIP Product, Agency, Coupon, Maturity, Check digit 9 Security Class MBSD Security Class Code Agency, Product, Coupon, Maturity 10 Trade Date Date the trade was executed 11 Trade Number MBSD Trade Number 12 Xref Your internal trade reference number 13 Par Par Value of the trade 14 Dealer Price Dealer Price +/- Commission, if a percentage of par 15 Settlement Price Settlement Price of TBA Trade 16 Commission Dollar value of commission 17 Total Commission for Dealer For specific Dealer, the total commission payable 18 Total Commission Total commission payable for this month Results in a Cash Obligation Item 4/2007 5

8 1.3. Cash Adjustment Report (MB5121-A) Purpose Access Clearing Source Book Timing Sort Order Printing To view Cash Adjustments that resulted from the MBSD SBO Processing and Notification of Settlement for SBON trades. Report Center SBO Processing Review after end-of-week PM processing. Settlement Month/Year, TBA CUSIP/Security Class, Fully Settled SBON Trades, Net-outs All reports can only be printed via the Report Center [1] [2] [3] [4, 5] [6] [7] [8] [9] [16] [10] [11] [12] [13] [14] [15] [17] 6

9 Cash Adjustment Report (MB5121-A) FIELD NAME DESCRIPTION REFERENCE 1 Participant MBSD Participant ID 2 Aggregate MBSD Aggregate ID 3 Account MBSD Account ID 4 Settlement Month Settlement Month of the trade 5 Settlement Year Settlement Year of the trade 6 CUSIP MBS TBA CUSIP Product, Agency, Coupon, Maturity, Check digit 7 Security Class MBSD Security Class Code Agency, Product, Coupon, Maturity 8 Security Description Agency and Product Code Description 9 Net-outs Summary of Cash Adjustment totals for your Net-outs in this TBA CUSIP/ Security Class 10 Security Shortage/Excess 11 Total Security Netout Units 12 Account Net-out Units 13 Account Proration % 14 Remaining Potential Variance 15 Remaining Cash Adj For Net-outs 16 Net-out Cash Adjustment For the entire TBA CUSIP/Security Class, the Shortage/Excess due to over/under delivery The total number of net-out 1,000,000 par value units for the entire TBA CUSIP/Security Class Your total number of net-out 1,000,000 par value units for this TBA CUSIP/ Security Class Your percentage of all net-outs in this TBA CUSIP/Security Class For open SBON trades in this TBA CUSIP/ Security Class, the maximum variance that can be delivered Your maximum potential Cash Adjustment for Net-outs in this TBA CUSIP/ Security Class Net-out Cash Adjustment DR - indicates shortage CR - indicates excess Used to determine your proration percentage Ratio of Account Net-out Units to Total Security Net-out Units Security Excess/Shortages multiplied by the Account Proration percentage 17 Total Total Cash Adjustment of Net-outs and SBON trades in this TBA CUSIP/ Security Class for this processing period 4/2007 7

10 Cash Adjustment Report (MB5121-A) [18] [20] [21] [22] [23] [24] [25] [26] [19] [27] [28] 8

11 Cash Adjustment Report (MB5121-A) FIELD NAME DESCRIPTION REFERENCE 18 SBON Trades Summary of your fully settled SBON trades for this TBA CUSIP/ Security Class for this processing period 19 B/S Indicates your side of the trade - Buy or Sell B - Buy, S - Sell 20 Trade Number MBSD assigned trade number 21 Fully Settled Date that the last NOS was matched to fully settle this trade 22 FCAP Firm Class Average Price 23 Settlement Price For SBON trades, this is CAP 24 Total Amort Value The total of the Amortized Values entered on the NOS submitted which fully settle this trade 25 SBOMD Dollar amount for the SBOMD for this trade 26 Cash Adj Dollar amount of the Cash Adjustment for this trade 27 Total Total dollar amount of Cash Adjustments for SBON trades in this TBA CUSIP/ Security Class 28 Report Total The total dollar amount of Cash Adjustments for Net-outs and SBON trades for this period Results in a Cash Obligation Item 4/2007 9

12 1.4. Cash Settlement Detail Report (MB7411-A) Purpose Access Clearing Source Book Timing Printing To view current or future day s Cash Settlement. Report Center Risk Management Review daily. Note: Debit Cash Settlement Obligations are processed by MBSD via NSS by 10:00 AM (EST). All reports can only be printed via the Report Center. [1] [2] [3] [4] [6] [7] [6] [5] [7] [8] 10

13 Cash Settlement Detail Report (MB7411-A) FIELD NAME DESCRIPTION REFERENCE 1 Participant MBSD Participant ID 2 Aggregate MBSD Aggregate ID 3 Due Date Date Cash Settlement is due MM/DD/YY format 4 CSI Type Cash Settlement Type BDI - Basic Deposit Investment BAS - Basic Deposit Adjustment CAD Cash Adjustment CMS Broker Commission EPN EPN Billing Fee FEE Clearing Billing Fee IIS Investment Income from SBOMD MIS Miscellaneous PFI Participant Fund Investment Income SBD SBOMD UCO Unpaid cash obligation item CPN - Treasury Coupon PNI - Mortgage Coupon 5 PSA Cls SIFMA Class A, B, C, D 6 Settlement Amt Dollar value of COI Reconcile this amount 7 DR/CR Debit or Credit Indicator DR Debit CR Credit 8 Total Cash Settlement Net of all Cash Obligations If a DEBIT, you will be debited this amount by cutoff time. If a CREDIT, you will be credited this amount by cut-off. (Refer to MBSD Processing Schedule and timeframes) 4/

14 1.5. Compressed Open Commitment Report (MB4891-A) Purpose Access Clearing Source Book Timing Sort Order Printing To view current open positions with MBSD. Report Center Trade Processing Review after each processing pass Settlement Month/Year; TBA CUSIP/Security Class, Type of Trade, Trade Number All reports can only be printed via the Report Center [1, 2] [4, 5] [7] [3] [6] [8] [9] [10] [11] [12] [13] [14] [15] [16] [17] 12

15 Compressed Open Commitment Report (MB4891-A) FIELD NAME DESCRIPTION REFERENCE 1 Participant MBSD Participant ID 2 Aggregate MBSD Aggregate ID 3 Account MBSD Account ID 4 Settlement Month Settlement Month of the trade 5 Settlement Year Settlement Year of the trade 6 CUSIP MBS TBA CUSIP Product, Agency, Coupon, Maturity, Check digit 7 Security Class MBSD Security Class Code Agency, Product, Coupon, Maturity 8 Security Description Agency and Product Code Description 9 Mkt Price Current market price as determined by MBSD Used for determining P&L of the trade 10 Trd # MBSD assigned trade number 11 Xref Your internal trade reference number 12 Trade Stat Trade Status FMAT - Fully Matched PMAT - Partially Matched Broker/Dealer Trade. Monitor the status of this Trade PSET - Partially Settled Trade. Open Par must be settled; enter or match NOS FSET - Fully settled trade. No remaining open par. Will be purged via subsequent batch cycle. 13 Trd Typ Trade Type SBOD SBO Destined. Status must be FMAT to be netted; if PMAT, contact your Broker immediately TFTD Trade-for-Trade. Trade must be canceled or NOS must be submitted when settled OPTN Option. Trade must be cancelled after Expiry Date SBON SBO Non-original Contra. Trade must be settled via NOS SBOO SBO Original Contra. Trade must be settled via NOS CMPT Comparison Only Trade 14 B/S Indicates your side of trade B = Buy, S = Sell 15 T/D Trade Date 16 S/D Settlement Date For Option Trades, this is the Expiry Date 4/

16 Compressed Open Commitment Report (MB4891-A) [18] [19] [20] [21] [22] [23] [24] [25] [27] [30] [31] [28] [26] [32] [29] [17] 14

17 Compressed Open Commitment Report (MB4891-A) FIELD NAME DESCRIPTION REFERENCE 17 M/D Match Date Date the trade was successfully matched 18 G/U For Broker/Dealer trades, the day Give-Up will occur For FMAT SBOD trades, Give-up will minimally occur before netting, regardless of the date assigned by the Broker 19 Ctra Contra s MBSD Account ID See Participant/Account Listing 20 Brkr For Broker/Dealer trades, the Broker s account ID 21 Sttl Price Settlement Price 22 Open Par Par value amount that remains open 23 Sttl Value Settlement Value Open par multiplied by the Settlement Price Security Class Buy Totals 24 Open Par Total Buy Open Par 25 Sttl Value Total Buy Settlement Value 26 P & L Total Profit or Loss of Buy Trades Security Class Sell Totals 27 Open Par Total Sell Open Par 28 Sttl Value Total Sell Settlement Value 29 P&L Total Profit or Loss of Sell Trades Security Class Net Totals 30 Open Par Difference of Total Buy and Total Sell Open Par 31 Sttl Value Difference of Total Buy and Total Sell Settlement Values 32 P&L Difference of Total Profit or Loss of Buy and Sell Trades 4/

18 Compressed Open Commitment Report (MB4891-A) [37] [38] [39] [40] [41] [33] [34] [35] [36] 16

19 Compressed Open Commitment Report (MB4891-A) FIELD NAME DESCRIPTION REFERENCE Open Par Totals (for trades classified as Forward, Fail and Aged Fail) 33 Forward/Fail/ Aged Fail The trade classification being reported For reporting purposes Impending and Forward trades are combined. 34 Buy Items Total Buy Items listed for the indicated trade classification 35 Buy Open Par Total Buy Par listed for the indicated trade classification 36 Buy Sttl Total Buy Settlement Value listed for the indicated trade classification 37 Sell Items Total Sell Items listed for the indicated trade classification 38 Sell Open Par Total Sell Par listed for the indicated trade classification 39 Sell Sttl Total Sell Settlement Value listed for the indicated trade classification 40 Net Open Par Total Net Par listed for the indicated trade classification 41 Net Sttl Total Net Settlement Value listed for the indicated trade classification GRAND TOTALS of FORWARD, FAIL and AGED FAIL totals (with the exception of BUY and SELL Items) are listed directly below individual trade classification totals. 4/

20 1.6. Dealer Commission Fees Report (MB7441-A) Purpose Access Clearing Source Book Timing Sort Order Printing To view Broker/Dealer trade detail that determines this month s commission fee. Report Center Trade Processing. Review at month-end. Broker Account ID All reports can only be printed via the Report Center [1] [2] [3] [9, 10] [4] [14] [7, 8] [15] [5] [16] [11] [12] [13] [6] [17] [18] [19] 18

21 Dealer Commission Fees Report (MB7441-A) FIELD NAME DESCRIPTION REFERENCE 1 Participant MBSD Participant ID 2 Aggregate MBSD Aggregate ID 3 Account MBSD Account ID 4 Brkr Acct MBSD Broker Account ID See Participant/Account Listing 5 Cntr Acct Give-Up Contra Account ID See Participant/Account Listing 6 B/S Buy/Sell Indicator B - Buy, S Sell 7 Sttl Mth Settlement Month of the trade 8 Sttl Yr Settlement Year of the trade 9 CUSIP MBS TBA CUSIP Product, Agency, Coupon, Maturity, Check digit 10 Security Class MBSD Security Class Code Agency, Product, Coupon, Maturity 11 Trade Date Date the trade was executed 12 Trade Number MBSD Trade Number 13 Xref Your internal trade reference number 14 Par Par Value of the trade 15 Dealer Price Dealer Price +/- Commission, if a percentage of par 16 Settlement Price Settlement Price of TBA Trade 17 Commission Dollar value of commission 18 Total Commission For Broker For specific Broker, the total commission payable 19 Total Commission Total commission payable for this month Results in a Cash Obligation Item 4/

22 1.7. EPN Message Detail Report (MB3331-A) Purpose Access Clearing Source Book Timing Sort Order Printing To view the details of all messages sent and received. Report Center N/A Review after batch Close of Business (COB) and End of Day (EOD) passes. Settlement Month/Year, TBA CUSIP, Bound (In/Out) Section, Message Type, Message ID, Contra All reports can only be printed via the Report Center [1] [7] [10] [11] [2] [3] [8] [9] [12] [4] [5] [6] [13] [14] [15] [16] [17] [18] [19] [20] [21] [22] 20

23 EPN Message Detail Report (MB3331-A) FIELD NAME DESCRIPTION REFERENCE 1 Participant EPN Participant ID 2 Aggregate EPN Aggregate ID 3 Account Name EPN Account Name Free form up to 40 characters 4 Account Symbol EPN Account ID of report requester XXXX format (See Participant/Account Listing) 5 Report Date Date of the requested report MM/DD/YY format 6 CB/ED Indicator Indicates close-of-business or end-of-day batch cycle 7 Settlement Month/Year Settlement Month and Year of the proceeding messages 8 TBA CUSIP Indicates Product, Agency, Coupon, Maturity, Check digit CB or ED MM/YY format XXXXXXXXX format 9 Bound Indicator Indicates Inbound or Outbound section Inbound or Outbound 10 Msg Type/Sent or Received Indicates Sent or Received by message type ON, DK, CC, CX and Sent or Received (e.g., ON Sent) 11 Msg Type Indicates message type ON, DK, CC, and CX 12 Msg ID EPN assigned Message ID format 13 Contra EPN Account ID of message contra party XXXX format (see Participant/Account Listing) 14 Orig Trd Par Par value of the Original Trade 999,999, format 15 Price Decimal amount paid for the securities format 16 GDMM Number of good delivery million dollar lots delivered in accordance with SIFMA standards 9999 format 17 T/D (Trade Date) Date the trade was executed MM/DD/YY format 18 S/D (Settlement Date) Date the trade is scheduled to settle MM/DD/YY format 19 D/D (Delivery Date) Date securities will be delivered MM/DD/YY format 20 Int ID Unique reference number entered by the user (displayed only to the Submitter) Free form up to 16 characters 21 Rsn Cd Reason Code for the action taken, DK or Cancel 9999 format 22 Tgt Msg (Target Message ID) Message ID referencing the original message being DK d or Canceled format 4/

24 EPN Message Detail Report (MB3331-A) [25-29] [24] [23] [32] [37] [36] [39] [38] [40] [30] [31] [41] [42] [43] [44] [33] [34] [35] 22

25 EPN Message Detail Report (MB3331-A) FIELD NAME DESCRIPTION REFERENCE 23 Xref Tag number assigned by the user (displayed only to the Submitter of the message) Free form up to 15 characters 24 Spec Inst Informational trade terms Free form up to 30 characters 25 T1 Time messages arrives at EPN via a line handler and is enqueued on an inbound queue 26 T2 Time enqueued message is acquired by a message processor which performs a series of steps to process the message (Good Delivery Time) 27 T3 Time message is written to outbound queue of CTCI or Hot printer recipient (field populated with ** if message is bound for on-line recipient) HH:MM:SS format HH:MM:SS format HH:MM:SS format 28 T4 Time message is written to the Safestore File HH:MM:SS format 29 T5 Time EPN writes message to the Message File making it first available to be read on-line HH:MM:SS format 30 # Pools Number of pools contained within this message 9999 format 31 Pos Dup EPN s indication that output message may be a duplicate X = yes, Blank = no 32 Lot ID Lot-sequence of Good Delivery Million pool(s) XXXXXX format 33 Pool Pool number XXXXXXX format 34 Orig Face Principal amount of MBS at date of issue 999,999,999 format 35 Coupon Rate of interest recorded on the face of the certificate format 36 M/D Maturity date of the mortgage pool MM/DD/YY format 37 N (New Issue) Identifies a new pool issue X = yes, Blank = no 38 Trade # MBSD trade number XXXXXXXXXX format 39 Control # Individual pool detail reference number assigned by the user Free form up to 15 characters 40 Current (Face) The outstanding principal of the mortgage 999,999, format 41 Factor Percentage of original principal of the mortgage format 42 CUSIP Pool CUSIP Number XXXXXXXXX format 43 I/D (Issue Date) Date the mortgage pool was issued MM/DD/YY format 44 Term(inator) Value of Good Delivery MMs of the preceding lot 9999 format (Odd-lot = 9999 ) 4/

26 EPN Message Detail Report (MB3331-A) [49] [48] [45] [46] [47] [50] [51] 24

27 EPN Message Detail Report (MB3331-A) 45 Principal The monthly principal payment accrued to the pool delivered 46 Interest The monthly interest payment accrued to the pool delivered 999,999, format 999,999, format 47 Net Money Net Money 999,999, format 48 Spec Inst Informational pool detail items Free form up to 30 characters 49 Msg Type/Sent or Received Totals Message Type/Sent or Received section totals of Original Face, Current Face, Principal, Interest and Net Money 50 Bound Totals Inbound or Outbound section totals by message type (also totals number of messages) 51 TBA Cusip Totals TBA CUSIP totals or Original Face and Net Money by message type (also totals number of messages) 4/

28 1.8. EPN Message Summary Report (MB3341-A) Purpose Access Clearing Source Book Timing Sort Order Printing To view summary information for all messages sent and received. Report Center N/A Review after batch Close of Business (COB) and End of Day (EOD) passes. Settlement Month/Year, TBA CUSIP, Contra, Message Type All reports can only be printed via the Report Center [1, 2] [3] [4] [5] [6] [7] [8] [9] [10] [11] [12] [13] [14] [15] [16] [17] 26

29 EPN Message Summary Report (MB3341-A) FIELD NAME DESCRIPTION REFERENCE 1 Participant EPN Participant ID 2 Aggregate EPN Aggregate ID 3 Account Name EPN System Account Name Free form up to 40 characters 4 Account Symbol EPN Account ID of report requester XXXX format (See Participant/Account Listing) 5 Report Date Date of the requested report MM/DD/YY format 6 CB/ED Indicator Indicates Close of Business or End of Day batch cycle CB or ED 7 Settlement Month/Year Settlement Month and Year of the proceeding messages MM/YY format 8 TBA Cusip Indicates Product, Agency, Coupon, Maturity, Check digit XXXXXXXXX format 9 Contra EPN Account ID of message contra party XXXX format (See Participant/Account Listing) 10 (Message) Type Indicates message type ON, DK and CX 11 Msgs Recd The number of messages received during the day for each message type 12 Orig Face (Recd) The principal amount of MBS at date of issue of all messages received during the day for each message type 13 Net Money (Recd) Net Money input for all messages received during the day for each message type 14 Msgs Sent The number of messages sent during the day for each message type 15 Orig Face (Sent) The principal amount of MBS at date of issue of all messages sent during the day for each message type 16 Net Money (Sent) Net Money input for all messages sent during the day for each message type format 9,999,999,999,999 format 9,999,999,999, format format 9,999,999,999,999 format 9,999,999,999, format 17 TBA Cusip Totals TBA CUSIP totals of Original Face and Net Money by message type (also totals number of messages) 4/

30 1.9. FTS Reject Report (MB4531-A) Purpose Access Clearing Source Book Timing Sort Order Printing To view file transmission transactions that were rejected by FICC Mortgage-Backed Securities Division. Report Center N/A. Review after each pass and transmission. NOS All reports can only be printed via the Report Center [1] [3] [4] [5, 6] [7] [8] [9] [10] [11] [12] [13] [2] [16] [17] [18] [14] [15] 28

31 FTS Reject Report (MB4531-A) FIELD NAME DESCRIPTION REFERENCE 1 Rec Nbr Your internal record number 2 Trade Type Trade Type NOS or CAN 3 Buy MBSD Account ID of the Buy Side See Participant/Account Listing 4 Sell MBSD Account ID of the Sell Side See Participant/Account Listing 5 Settlement Month Settlement Month of the trade 6 Settlement Year Settlement Year of the trade 7 CUSIP MBS TBA CUSIP Product, Agency, Coupon, Maturity, Check digit 8 Security Class MBSD Security Class Code Agency, Product, Coupon, Maturity 9 Xref Your internal trade reference number 10 Trd Number Your MBSD assigned trade number 11 Pool Pool number 12 Amort Value Amortized Value of the pool cleared 13 Errors FTS errors are reported on this line Fix these conditions and resubmit this transaction 14 Error Code MBSD assigned error code 15 Error Description Error Code Description 16 Number of Transactions Read From this transmission, the number of transactions MBSD received 17 Accepted From this transmission, the number of transactions successfully received 18 Rejected From this transmission, the number of transactions unsuccessfully received Verify that this is the number of transactions that you sent Fix these conditions and resubmit these transactions 4/

32 1.10. Full Open Commitment Report (MB4931-A) Purpose Access Clearing Source Book Timing Sort Order Printing To view current open positions with FICC Mortgage-Backed Securities Division, and provides audit trail of NOS applied. Report Center Trade Processing Review for open positions as of previous day s P.M. pass (Indicated by MM/DD/YY - PM) Settlement Month/Year; TBA CUSIP/Security Class, Type of Trade, Trade Number All reports can only be printed via the Report Center [1] [2] [3] [8] [9] [4, 5] [6] [7] [13] [14] [15] [10] [11] [12] 30

33 Full Open Commitment Report (MB4931-A) FIELD NAME DESCRIPTION REFERENCE 1 Participant MBSD Participant ID 2 Aggregate MBSD Aggregate ID 3 Account MBSD Account ID 4 Settlement Month Settlement Month of the trade 5 Settlement Year Settlement Year of the trade 6 CUSIP MBS TBA CUSIP Product, Agency, Coupon, Maturity, Ck digit 7 Security Class MBSD Security Class Code Agency, Product, Coupon, Maturity 8 Security Description Agency and Product Code Description 9 Mkt Price Current market price as determined by MBSD Used for determining the P&L of the trade 10 Trd # The MBSD assigned trade number 11 Trade Stat Trade Status FMAT - Fully Matched PMAT - Partially Matched Broker/Dealer Trade. Monitor the status of this Trade FSET - Fully settled trade. No remaining open par. Will be purged via subsequent batch cycle PSET - Partially Settled Trade. Open Par must be settled; enter or match NOS 12 Trd Typ Trade Type SBOD SBO Destined Status must be FMAT to be netted; if PMAT, contact your Broker immediately TFTD Trade-for-Trade. Trade must be cancelled or NOS must be submitted when settled OPTN Option. Trade must be cancelled after Expiry Date SBON SBO Non-original Contra. Trade must be settled via NOS SBOO SBO Original Contra. Trade must be settled via NOS CMPT Comparison Only Trade 13 B/S Indicates your side of a trade Buy or Sell 14 T/D Trade Date 15 S/D Settlement Date For Option Trades, this is the Expiry Date 4/

34 Full Open Commitment Report (MB4931-A) [24] [23] [16] [17] [18] [19] [20] [21] [22] [34] [25] [26] [27] [28] [29] [30] [31] [32] [33] [35] [37] [36] 32

35 Full Open Commitment Report (MB4931-A) FIELD NAME DESCRIPTION REFERENCE 16 Ctra Contra s MBSD Account ID See Participant/Account Listing 17 Cmssn On Broker/Dealer Trades, Fractional or Flat commission 18 Dealer Price Dealer submitted trade price 19 Mkt Premium RESERVED FOR FUTURE USE 20 Open Par Par value amount that remains open 21 Sttl Value Settlement Value Open Par multiplied by the Settlement Price 22 Market Value Market Value Open Par multiplied by the Market Price 23 Xref Your internal trade reference number 24 Opt Type Option Type PUTS/CALL 25 E/D Entry Date Date the transaction was successfully entered to FICC Mortgage-Backed Securities Division 26 M/D Match Date Date the trade was successfully matched 27 G/U For Broker/Dealer trades, the day Give-Up will occur For FMAT SBOD trades, Give-up will minimally occur before netting, regardless of the date assigned by the Broker 28 Brkr For Broker/Dealer trades, the Broker s Account ID 29 Sttl Price Settlement Price 30 FCAP Firm Class Average Price The weighted average price with the original contra-side, used to net the trade. This is the price you would allocate Found on the SBO Summary Report and Purchase and Sale report of NCRT 31 Orig Par Original Par 32 Settled Par Total of matched NOS amortized values 33 P&L Difference of Market Value and Settlement Value 34 Settlement Information Audit trail of NOS applied to this trade 35 Pool Pool Number of NOS 36 Amort Amortized Value of pool 37 Ctl Nbr Your internal Control Number of the NOS 4/

36 Full Open Commitment Report (MB4931-A) [41] [38] [44] [39] [45] [42] [40] [46] [43] 34

37 Full Open Commitment Report (MB4931-A) FIELD NAME DESCRIPTION REFERENCE Security Class Buy Totals 38 Open Par Total Buy Open Par 39 Sttl Value Total Buy Settlement Value 40 P & L Total Profit or Loss of Buy Trades Security Class Sell Totals 41 Open Par Total Sell Open Par 42 Sttl Value Total Sell Settlement Value 43 P & L Total Profit or Loss of Sell Trades Security Class Net Totals 44 Open Par Difference of Total Buy and Total Sell Open Par 45 Sttl Value Difference of Total Buy and Total Sell Settlement Values 46 P&L Difference of Total Profit or Loss of Buy and Sell Trades 4/

38 Full Open Commitment Report (MB4931-A) [51] [52] [53] [54] [55] [47] [48] [49] [50] 36

39 Full Open Commitment Report (MB4931-A) FIELD NAME DESCRIPTION REFERENCE Open Par Totals (for trades classified as forward, fail and aged fail) 47 Forward/fail/ aged fail The trade classification being reported For reporting purposes Impending and Forward trades are combined. 48 Buy Items Total Buy Items listed for the indicated trade classification 49 Buy Open Par Total Buy Par listed for the indicated trade classification 50 Buy Sttl Total Buy Settlement Value listed for the indicated trade classification 51 Sell Items Total Sell Items listed for the indicated trade classification 52 Sell Open Par Total Sell Par listed for the indicated trade classification 53 Sell Sttl Total Sell Settlement Value listed for the indicated trade classification 54 Net Open Par Total Net Par listed for the indicated trade classification 55 Net Sttl Total Net Settlement Value listed for the indicated trade classification GRAND TOTALS of FORWARD, FAIL, and AGED FAIL totals are listed directly below individual trade classification totals. 4/

40 1.11. Penalty/Late Fee Detail Report (MB4741-A) Purpose Access Clearing Source Book Timing Sort Order Printing To view transaction details that resulted in an assessed late fee. Report Center SBO Processing Review after each pass for assessed late fees. Settlement Month/Year; TBA CUSIP/Security Class, Transaction Number All reports can only be printed via the Report Center [1] [2] [3] [4, 5] [6] [7] [8] [9] [10] [11] [12] [13] [14] [15] [16] 38

41 Late Fee Detail Report (MB4741-A) FIELD NAME DESCRIPTION REFERENCE 1 Participant MBSD Participant ID 2 Aggregate MBSD Aggregate ID 3 Account MBSD Account ID 4 Settlement Month Settlement Month of the trade 5 Settlement Year Settlement Year of the trade 6 CUSIP MBS TBA CUSIP Product, Agency, Coupon, Maturity, Check digit 7 Security Class MBSD Security Class Code Agency, Product, Coupon, Maturity 8 Security Description Agency and Product Code Description 9 Tran Number MBSD transaction number 10 Tran Type The type of transaction assessed a late fee AFF Late Affirm of an advisory transaction DKX Late DK of an advisory transaction DEL Late delete of an uncompared transaction NOS New, late NOS input 11 Targeted Trade/Tran 12 Targ Tran Type Number of targeted NOS transaction Targeted Transaction Type NOS NOS input 13 Late Fee Code The MBSD Late Fee Code Number assessed See Late Fee Code Listing 14 Late Fee Description The MBSD Late Fee Description Contact MBSD immediately if not in agreement 15 Lt Fee Prds The number of MBSD processing passes remaining before late fees are applied 16 Assessed Late Fee Amount The dollar amount of the late fee The amount will be incorporated within the MBSD monthly bill 4/

42 1.12. Net Out Report (MB5351-P) Purpose Access Clearing Source Book Timing Sort Order Printing To view current prorated par value exposure to an SBON contra side. Report Center Risk Management Review for open par proration for a SBON contra within a TBA CUSIP as of previous PM pass. TBA CUSIP/Security Class, Settlement Date, SBON Contra Participant/Aggregate All reports can only be printed via the Report Center [1] [2] [3] [4] [5] [9] [10] [7] [8] [6] [11] [12] [13] 40

43 Net Out Report (MB5351-P) FIELD NAME DESCRIPTION REFERENCE 1 Participant MBSD Participant ID 2 Aggregate MBSD Aggregate ID 3 Net Out Account MBSD Account ID corresponding to the Net Out Trades 4 SBON Contra Participant ID of the SBON Contra 5 Description Description of the SBON Contra 6 Account SBON Contra Account ID 7 CUSIP MBS TBA CUSIP Product, Agency, Coupon, Maturity, Check digit 8 Settlement Date Settlement Date of SBON trades underlying the data 9 Buy Open Par Buyer proration open par for SBON trades, by Contra, within a CUSIP 10 Sell Open Par Seller proration open par for SBON trades, by Contra, within a CUSIP 11 Total Buy Open Par Buyer proration open par for SBON trades, by Contra, for all CUSIPS 12 Total Sell Open Par Seller proration open par for SBON trades, by Contra, for all CUSIPS 13 Total Net Open Par Net buy and sell proration open par for SBON trades, by Contra, for all CUSIPS 4/

44 1.13. Netting Conversion Report (MB5231-A) Purpose Access Clearing Source Book Timing Sort Order Printing To view partially matched and unmatched SBO destined transactions that have been converted to TFTD. Report Center SBO Processing Review after each SBO process. Settlement Month/Year; TBA CUSIP/Security Class, Transaction Number All reports can only be printed via the Report Center [1] [2] [3] [12] [4, 5] [9] [6] [10] [11] [7] [13] [14] [8] 42

45 Netting Conversion Report (MB5231-A) FIELD NAME DESCRIPTION REFERENCE 1 Participant MBSD Participant ID 2 Aggregate MBSD Aggregate ID 3 Account MBSD Account ID 4 Settlement Month Settlement Month of the trade 5 Settlement Year Settlement Year of the trade 6 CUSIP MBS TBA CUSIP Product, Agency, Coupon, Maturity, Check digit 7 Security Class MBSD Security Class Code Agency, Product, Coupon, Maturity 8 Security Description Agency and Product Code Description 9 Tran Type Transaction Type TCR - Trade Create 10 Status Transaction Status UMT Unmatched, PMAT Partially Matched 11 Tran Number MBSD transaction number 12 Trade Number MBSD trade number Always blank for Dealers 13 Buyer Buyer Account ID 14 Seller Seller Account ID 4/

46 1.14. PMAT Report (MB4921-A) Purpose Access Clearing Source Book Timing Sort Order Printing To view current Partially Matched open positions with FICC Mortgage-Backed Securities Division. Report Center Trade Processing. Review for open positions as of previous pass. Settlement Month/Year, TBA CUSIP/Security Class, Type of Trade, Trade All reports can only be printed via the Report Center [1] [2] [3] [9] [18] [4, 5] [6] [7] [8] [19] [10] [11] [12] [13] [14] [15] [16] [17] 44

47 PMAT Report (MB4921-A) FIELD NAME DESCRIPTION REFERENCE 1 Participant MBSD Participant ID 2 Aggregate MBSD Aggregate ID 3 Account MBSD Account ID 4 Settlement Month Settlement Month of the trade 5 Settlement Year Settlement Year of the trade 6 CUSIP MBS TBA CUSIP Product, Agency, Coupon, Maturity, Check digit 7 Security Class MBSD Security Class Code Agency, Product, Coupon, Maturity 8 Security Description Agency and Product Code Description 9 Mkt Price Current market price as determined by MBSD Used for determining P&L of the trade 10 Trd # The MBSD assigned trade number 11 Trd Stat Trade Status PMAT Partially Matched Broker/Dealer Trade Monitor the status of this Trade Contact your broker immediately for resolution 12 Trd Typ Trade Type SBOD SBO destined TFTD Trade-for-Trade: Trade must be settled via NOS on Clearance Date + 1 OPTN Option: Trade must be canceled after Expiry Date 13 B/S Indicates your side of trade Buy or Sell Buy, Sell 14 T/D Trade Date 15 S/D Settlement Date For Option trades, this is the Expiry Date 16 CTRA Contra Broker Account ID See Participant/Account Listing 17 Cmssn Dollar amount of commission to be paid to the Broker 18 Dealer Price Dealer submitted trade price (+/- commission) Month-end Commission Report details Dealer/trade commission activity 19 Mkt Premium RESERVED FOR FUTURE USE 4/

48 PMAT Report (MB4921-A) [20] [21] [22] [23] [25] [26] [27] [28] [24] NOT SHOWN [29] [30] [31] [32] [33] 46

49 PMAT Report (MB4921-A) FIELD NAME DESCRIPTION REFERENCE 20 Open Par Open Par value amount 21 Sttl Val Settlement Value Open par multiplied by the settlement price 22 Market Value Open par multiplied by the market price 23 Xref Your internal trade reference number 24 Opt Typ Option Type Puts/Calls 25 E/D Entry Date 26 M/D Match Date Date the trade was successfully matched 27 G/U For Broker/Dealer trades, the day Give-up will occur For FMAT SBOD trades, Give-up will minimally occur before netting, regardless of the date assigned by the broker 28 Brkr The Broker s Account ID 29 Sttl Price Settlement Price For Broker/Dealer trades, Dealer Price +/- commission (if applicable) 30 FCAP Firm Class Average Price N/A 31 Orig Par Original Par 32 Settled Par N/A N/A 33 P&L Difference between Market Value and Settlement Value 4/

50 1.15. Purchase and Sale Report (MB4761-A) Purpose Access Clearing Source Book Timing Sort Order Printing To view all updates to your open positions Trade Creates, Cancellations, Notification of Settlement, SBO Processing Updates, Broker/Dealer Give-Up and Modifies of XREF. Report Center Trade Processing Review after each processing pass Settlement Month/Year; TBA CUSIP/Security Class, Trade Number All reports can only be printed via the Report Center [1] [2] [3] [4, 5] [6] [7] [8] [9] [10] 48

51 Purchase and Sale Report (MB4761-A) FIELD NAME DESCRIPTION REFERENCE 1 Participant MBSD Participant ID 2 Aggregate MBSD Aggregate ID 3 Account MBSD Account ID 4 Settlement Month Settlement Month of the trade 5 Settlement Year Settlement Year of the trade 6 CUSIP MBS TBA CUSIP Product, Agency, Coupon, Maturity, Check digit 7 Security Class MBSD Security Class Code Agency, Product, Coupon, Maturity 8 Security Description Agency and Product Code Description 9 Actvty Activity that results in an update to your open position TCR - Trade Create CAN - Trade Cancellation; trade has been deleted from OCR GUP - For Broker/Dealer Trades, Dealer Contra is revealed Update your records with the new contra MOD - Your modification of the XREF NCVT - Conversion of a PMAT SBOD trade on netting day that could not be netted; trade is now TFTD. Contact Broker NCRT - A trade created by netting, either SBON or SBOO. Update your records with the new trade number, contra, price NCAN An SBOD trade canceled via the SBO Cycle. Update your records to reflect pair-off NOS Detail information of matched Notification of Settlement 10 Trd# MBSD assigned trade number 4/

52 Purchase and Sale Report (MB4761-A) [25] [17] [18] [19] [11] [14] [12] [13] [15] [16] 50

53 Purchase and Sale Report (MB4761-A) FIELD NAME DESCRIPTION REFERENCE 11 Trd Stat Trade Status FMAT Fully Matched PMAT Partially Matched Broker/Dealer Trade. Monitor the status of this Trade PCAN Cancellation of a Partially Matched Trade NCAN - Cancellation of a Fully Matched trade due to Netting CAN Cancellation of a FMAT Trade FSET - Fully settled trade. No remaining open par. Will be purged via subsequent batch cycle PSET Partially Settled Trade. Open Par must be settled; enter or match NOS 12 Trd Typ Trade Type SBOD SBO Destined. Status must be FMAT to be netted; if PMAT, contact your Broker immediately TFTD Trade-for-Trade.If status is PMAT, contact your Broker immediately. Trade must be cancelled or NOS must be submitted when settled. OPTN Option (Trade must be cancelled after Expiry Date) SBON SBO Non-original Contra. Trade must be settled via NOS SBOO SBO Original Contra. Trade must be settled via NOS CMPT Comparison Only Trade 13 Buy/Sell Indicates your side of trade Buy or Sell 14 T/D Trade Date 15 S/D Settlement Date For Option Trades, this is the Expiry Date 16 Ctra Your Contra s MBSD Account ID 17 Cmssn Dollar amount of commission to be paid to the Broker Month-end Commission Report will detail Broker, trade commission activity 18 Dealer Price Dealer submitted trade price 19 Par Value or Amort Amt Par value of new, updated trade or Amortized value of NOS activity 4/

54 Purchase and Sale Report (MB4761-A) [22] [23] [28] [20] [29] [30] [31] [27] [25] [21] [24] 52

55 Purchase and Sale Report (MB4761-A) FIELD NAME DESCRIPTION REFERENCE 20 Sttl Price Settlement Price For Broker/Dealer trades, Dealer Price +/- Commission (if applicable) Found on SBO Summary Report for SBON or SBOO trades 21 Xref Your internal trade reference number PUTS/CALLS 22 Opt Type Option Type Date the transaction was successfully entered to FICC Mortgage-Backed Securities Division 23 E/D Entry Date 24 M/D Match Date 25 G/U For Broker/Dealer trades, day Give-Up will occur For FMAT SBOD trades, Give-up will minimally occur before netting, regardless of the date assigned by the Broker 26 Brkr For Broker/Dealer trades, the Broker s MBSD ID 27 Sttl Value Settlement Value Open Par multiplied by the Settlement Price 28 Amort Value Amortized Value of NOS 29 Pool Pool Number of NOS 30 Cntl Number Your internal Control Number of NOS 31 Special Instruction Special Instruction Indicator 4/

56 1.16. Settlement Balance Order Summary Report (MB5071-A) Purpose Access Clearing Source Book Timing Sort Order Printing To view the results of FICC Mortgage-Backed Securities Division s SBO processing Report Center SBO Processing Review after each SBO process. Settlement Month/Year; TBA CUSIP/Security Class, Type of Trade, Trade Number All reports can only be printed via the Report Center [1] [2] [3] [4, 5] [6] [7] [8] [9] [10] [11] [13] [12] [14] [15] [17] [16] 54

57 Settlement Balance Order Summary Report (MB5071-A) FIELD NAME DESCRIPTION REFERENCE 1 Participant MBSD Participant ID 2 Aggregate MBSD Aggregate ID 3 Account MBSD Account ID 4 Settlement Month Settlement Month of the trade 5 Settlement Year Settlement Year of the trade 6 CUSIP MBS TBA CUSIP Product, Agency, Coupon, Maturity, Check digit 7 Security Class MBSD Security Class Code Agency, Product, Coupon, Maturity 8 Security Description Agency and Product Code Description SIFMA established class settlement date 9 Sttl Date Settlement Date 10 SCAP Sell Class Average Price The average price of all sells in this TBA CUSIP 11 Trade Type The result of netting NTTD Netted trades NOUT Net-outs SBON SBO Non-Original Contra. These trades must be settled; MBSD must receive Notification of Settlement on applicable date (See MBSD Processing Schedule) SBOO SBO Original Contra. These trades must be settled; MBSD must receive Notification of Settlement on applicable date (See MBSD Processing Schedule) 12 Trd # MBSD assigned trade number Applicable to SBON and SBOO trades only. New Trade Number will appear on the Purchase and Sale and Open Commitment Reports; You may assign your internal XREF. 13 Qty The quantity of million par value lots within this trade type 14 B/S Indicates your side of the trade Buy or Sell Applicable only for SBON and SBOO trades 15 Sttl Ctra Your Contra s MBSD Account ID Applicable only for SBON and SBOO trades. This is the settlement contra 16 Settlement Price For SBON trades, this is CAP; For SBOO trades, this is FCAP Applicable only for SBON and SBOO trades. This is the price used to settle the trade 17 Buy Ctra Your original Contra s MBSD Account ID See Participant/Account Listing 4/

58 Settlement Balance Order Summary Report (MB5071-A) [20] [21] [18] [22] [23] [19] [24] [25] 56

59 Settlement Balance Order Summary Report (MB5071-A) FIELD NAME DESCRIPTION REFERENCE 18 Buy Fcap The FCAP that corresponds to the original Buy Contra (if applicable) 19 Sell Ctra Your original Contra s MBSD Account ID See Participant/Account Listing 20 Sell FCAP The FCAP that corresponds to the original Sell Contra (if applicable) 21 SBOMD Dollar amount for the SBOMD for this trade This amount will be netted within SIFMA class and aggregate 22 DR/CR Debit or Credit Indicator DR indicates amount you owe CR indicates amount owed to you 23 Type Subtotal Trade type totals for as SBOO, SBON, NTTD, and NOUT activity 24 Category (TBA Cusip/Sec Class) Subtotal 25 SBOMD Report Subtotal MBS TBA CUSIP/Security Class Total SBOMD Report Subtotal This amount will be netted across accounts within aggregate resulting in a Cash Obligation Item 4/

60 1.17. Summary Open Commitment Report (MB4911-A) Purpose Access Clearing Source Book Timing Sort Order Printing To view current total open positions with MBSD at the Security Class level. Report Center Trade Processing Review after each pass for open position totals. Settlement Month/Year; TBA CUSIP/Security Class All reports can only be printed via the Report Center [1] [2] [4, 5] [6] [7] [3] [8] [9] [10] [11] [13] [16] [17] [14] [12] [18] [15] 58

61 Summary Open Commitment Report (MB4911-A) FIELD NAME DESCRIPTION REFERENCE 1 Participant MBSD Participant ID 2 Aggregate MBSD Aggregate ID 3 Account MBSD Account ID 4 Settlement Month Settlement Month of the trade 5 Settlement Year Settlement Year of the trade 6 CUSIP MBS TBA CUSIP Product, Agency, Coupon, Maturity, Check digit 7 Security Class MBSD Security Class Code Agency, Product, Coupon, Maturity 8 Security Description Agency and Product Code Description 9 Mkt Price Current market price as determined by MBSD Used for determining P&L of the trade Security Class Buy Totals 10 Open Par Total Buy Open Par 11 Sttl Value Total Buy Settlement Value 12 P & L Total Profit or Loss of Buy Trades Security Class Sell Totals 13 Open Par Total Sell Open Par 14 Sttl Value Total Sell Settlement Value 15 P&L Total Profit or Loss of Sell Trades Security Class Net Totals 16 Open Par Difference of Total Buy and Total Sell Open Par 17 Sttl Value Difference of Total Buy and Total Sell Settlement Values 18 P&L Difference of Total Profit or Loss of Buy and Sell Trades 4/

62 Summary Open Commitment Report (MB4911-A) [24] [25] [26] [27] [19] [20] [21] [22] [23] 60

63 Summary Open Commitment Report (MB4911-A) FIELD NAME DESCRIPTION REFERENCE Open Par Totals (for trades classified as Forward, Fail and Aged Fail) 19 Forward/Fail/ Aged Fail The trade classification being reported For reporting purposes Impending and Forward trades are combined. 20 Buy Items Total Buy Items listed for the indicated trade classification 21 Buy Open Par Total Buy Par listed for the indicated trade classification 22 Buy Sttl Total Buy Settlement Value listed for the indicated trade classification 23 Sell Items Total Sell Items listed for the indicated trade classification 24 Sell Open Par Total Sell Par listed for the indicated trade classification 25 Sell Sttl Total Sell Settlement Value listed for the indicated trade classification 26 Net Open Par Total Net Par listed for the indicated trade classification 27 Net Sttl Total Net Settlement Value listed for the indicated trade classification Grand totals of Forward, Fail and Aged Fail totals (with the exception of buy and sell items) are listed directly below individual trade classification totals. 4/

64 1.18. Transaction Summary Report (MB4781-A) Purpose Access Clearing Source Book Timing Sort Order Printing To view Uncompared, Advisory, and Reject NOS transactions. Report Center NOS Review after PM processing pass. All transactions must be resolved immediately. NOS Settlement Month/Year; TBA CUSIP/Security Class, Advisories, Uncompared, Rejects, Type of Transaction All reports can only be printed via the Report Center [1] [2] [3] [4, 5] [9] [12] [6] [14] [7] [15] [16] [17] [18] [8] [9] [13] [19] [10] [11] 62

65 Transaction Summary Report (MB4781-A) FIELD NAME DESCRIPTION REFERENCE 1 Participant MBSD Participant ID 2 Aggregate MBSD Aggregate ID 3 Account MBSD Account ID 4 Settlement Month Settlement Month of the trade 5 Settlement Year Settlement Year of the trade 6 TBA CUSIP TBA CUSIP Product, Agency, Coupon, Maturity 7 Security Class MBSD Security Class Code Agency, Product, Coupon, Maturity 8 Security Description Agency and Product Code Description 9 Advisories Unmatched transactions entered by other MBSD Participants, identifying you as the Contra You must DK, Affirm, or submit matching input immediately. Uncompared Unmatched transactions that you have entered but your Contra has not entered a matching transaction You must Delete erroneous Uncompared Transactions immediately. Reject Transactions that have been rejected during a processing pass Review reject reason to determine if resubmission is necessary. 10 Tran Type Transaction Type NOS UMT, NOS REJ 11 Tran Number MBSD assigned transaction number 12 ERR/DK MBSD Error Code (applicable to rejected transaction) or the DK reason code that you entered See DK Reason Code and Error Reason Code Lists 13 TRD Number The MBSD assigned trade number Entered by the Sell Side on a NOS 14 TRD Typ Trade Type TFTD Trade-for-Trade SBON Settlement Balance Order - Nonoriginal Contra SBOO Settlement Balance Order - Original Contra Blank When Buy Side initiated the NOS 15 T/D Trade Date 16 S/D Settlement Date 17 CTRA Your Contra s MBSD Account ID 18 Pool Pool number entered on the NOS transaction 19 Pool CTL NBR Your internal Control Number of the NOS 4/

66 Transaction Summary Report (MB4781-A) [25] [27] [26] [30] [31] [20] [21, 22] [32] [33] [23] [34] [24] [28] [29] 64

67 Transaction Summary Report (MB4781-A) FIELD NAME DESCRIPTION REFERENCE 20 Amortized Value Amortized value of the pool on the NOS transaction 21 DK/Othrs Number of passes remaining in which you may DK, AFF or DEL this transaction without incurring a late fee Resolve this transaction immediately 22 DK Accrual Late Fee amount that will be assessed when you DK, AFF or DEL this transaction Resolve this transaction immediately 23 Lst Act The last action taken on this transaction NOS - NOS Transaction entered DEL - Transaction deleted by you or your contra DKX - Transaction not known 24 Stat Transaction Status UMT - Unmatched DEL - Delete REJ - Rejected 25 Desc A brief description of the Reject or DK Reason Code. (DK Reason Code is described in item #23) 26 Xref Your internal reference number 27 Optn Type Option Type Not applicable 28 E/D Entry Date Not applicable 29 G/U For Broker/Dealer trades, Give-up Date 30 B/S Indicates your side of the trade Buy or Sell B - Buy, S - Sell 31 Trd Price The Trade Price 32 Prd Number of passes remaining in which you may Delete, Affirm or enter a matching transaction without incurring a late fee 33 Accrual Late fee amount that will be assessed when you Delete, Affirm or enter a matching transaction Resolve this transaction immediately Resolve this transaction immediately 34 Last Updt Date that the last action occurred 4/

68 1.19. Unmatched Margin Report (MB6751-A) Purpose Access Clearing Source Book Timing Sort Order Printing To view unresolved Broker/Dealer Trade Create transactions that result in an Unmatched P&L Margin Requirement. Report Center Risk Management Review after each processing pass Settlement Month/Year; TBA CUSIP/Security Class, Transaction Number All reports can only be printed via the Report Center [1] [2] [3] [9] [6] [7] [10] [11] [12] [13] [14] [15] [16] [8] [17] [18] [19] [4,5] 66

69 Unmatched Margin Report (MB6751-A) FIELD NAME DESCRIPTION REFERENCE 1 Participant MBSD Participant ID 2 Aggregate MBSD Aggregate ID 3 Account MBSD Account ID 4 Settlement Month Settlement Month of the trade 5 Settlement Year Settlement Year of the trade 6 CUSIP TBA CUSIP Product, Agency, Coupon, Maturity, Check digit 7 Security Class MBSD Class Code Agency, Product, Coupon, Maturity 8 Security Description Agency and Product Code Description 9 Transaction Number The number of the unmatched transaction Resolve by Affirming or DKing immediately 10 Service Type Trade Type SBOD - SBO Destined TFTD - Trade-for-Trade OPTN Option 11 Tran Stat Transaction Status UMT Unmatched 12 Buy/Sell Indicates your role in the trade B = Buy, S = Sell 13 Broker The MBSD account ID for the Broker 14 Market Price Current market price as determined by MBSD. 15 Trade Price The Settlement Price of the trade, as entered by the Broker 16 Par Value The Par Value of the Trade Create transaction 17 Unrealized P&L Difference of Market Value and Settlement Value 18 Class Total The net Unrealized P&L for a specific CUSIP/Security Class and settlement month 19 Report Total The net Unrealized P&L for trades that are unmatched Amount of unmatched P&L related to the trade. This is the net amount of the unmatched P&L related to a specific CUSIP/Security Class and settlement month. This is the amount included in your Unmatched P&L 4/

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71 2. RTTM Reports 2.1. Overview Participants can access historical and current reports, both intraday and end-of-day, using a standard web browser. Reports can be viewed on-line and printed to a local printer. Click to access RTTM reports 4/

72 2.2. RTTM Purchase & Sale Report (Specified Pool Trades Only) Purpose Access Clearing Source Book Timing Sort Order Printing The RTTM P & S Report will contain updates to open SPT positions on RTTM. Report Center Trade Processing End of day after receipt of NOS from Clearing prior to start of day. Settlement Month/Year; TBA CUSIP/Security Class, Trade Number All reports can only be printed via the Report Center [1, 2] [3] [4] [5, 6] [7] [8] [11] [9] [10] [12] [13] 70

73 RTTM Purchase & Sale Report (Specified Pool Trades Only) FIELD NAME DESCRIPTION REFERENCE 1 Participant MBSD Participant ID 2 Aggregate MBSD Aggregate ID 3 Account Symbol MBSD Account ID of report requester 4 Report Date 5 Settlement Month Settlement Month of the trade 6 Settlement Year Settlement Year of the trade 7 CUSIP MBS TBA CUSIP Product, Agency, Coupon, Maturity, Check digit 8 Security Class MBSD Security Class Code Product, Agency, Coupon, Maturity, Check digit 9 Security Description Agency and Product Code Description 10 Activity Activity that resulted to original trade TCR - Trade Create CAN - Trade Cancellation; trade has been deleted from OCR MOD - Your modification of the XREF number 11 TRD Number MBSD assigned trade number 12 Xref Your internal trade reference number Free form up to 15 characters 13 Trd Status Trade Status FMAT Fully Matched CAN Cancellation of a Fully Matched Trade 4/

74 RTTM Purchase & Sale Report (Specified Pool Trades Only) [15] [17] [19] [20] [22] [21] [23] [25] [24] [26] [14] [16] [18] 72

75 RTTM Purchase & Sale Report (Specified Pool Trades Only) FIELD NAME DESCRIPTION REFERENCE 14 Trd/OPTN Trade Type TFTD Trade-for-Trade. 15 Buy/Sell Indicates your side of the trade Buy or Sell B = Buy, S = Sell 16 E/D Entry Date Date the transaction was successfully entered to FICC Mortgage-Backed Securities Division 17 T/D Trade Date 18 M/D Match Date 19 S/D Settlement Date 20 Ctra Your Contra s MBSD Account ID 21 Dealer Price Dealer Price 22 MTCH Current Face Current Face at time of Match 23 Par Value Original Face Value of the Specified Pool Trade 24 Current Face Current face as calculated by RTTM, based on current factor (Stage 2) Stage 1: Blank Stage 2: As calculated by RTTM 25 Pool Number Pool number of trade/event 26 Final Mony/Sttl Amount Final Money Stage 1: As submitted by participant Stage 2: As calculated by RTTM 4/

76 2.3. RTTM Reject Report Purpose Access Clearing Source Book Timing Sort Order Printing To view transactions that were rejected by FICC Mortgage-Backed Securities Division. Report Center Trade Processing End of day report only. Instruct, Cancel, Modify, DK All reports can only be printed via the Report Center [2] [3] [1] [4] [5] [15] [6] [7] [8] [9] [10] [11] [16] [12] [13] [14] 74

77 RTTM Reject Report FIELD NAME DESCRIPTION REFERENCE 1 As Of Date of the Report 2 Part ID Participant Account ID 3 Participant Name MBSD Participant Name 4 External Xref Xref number of the trade 5 CUSIP MBS TBA CUSIP Product, Agency, Coupon, Maturity, Check digit 6 TXN Transaction Type SBOD - SBO Destined TFTD - Trade-for-Trade CMPT - Comparison Only OPTN - Option 7 Trade Date Trade date of the TBA/SPT trade 8 Settle Settlement date of the TBA/SPT trade 9 Buyer MBSD Account ID of the buyer 10 Seller MBSD Account ID of the seller 11 Par TBA trade par value/original Face Value for Specified Pool Trade 12 Price Trade price 13 T Price Type indicator Will always be P 14 Commission Money Commission monies owed to the Broker reflected as either a flat commission or a percentage, based on how the trade was entered 15 Pool # Pool Number associated with the specified pool trade Dollar Amounts will be listed for Flat Commissions. Percentage rate per million will be listed for Rate Based Commissions. 16 Final Money/Settlement Amount Final Money submitted by the participant (specified pool trades only) 4/

78 2.4. RTTM Open Commitment Report (SPT Compressed OCR) Purpose Access Clearing Source Book Timing Sort Order Printing To view current open Specified Pool Trade (matched trade) positions with MBSD. Report Center Trade Processing End of day Settlement Year, Settlement Month, TBA CUSIP/Security Class, Pool Number, Trade Service Type, Settlement Date, Trade Number. Note: Although sort order will be Settlement Year, Settlement Month, the information displayed on the report will be in Month, Year order. All reports can only be printed via the Report Center [1, 2] [3] [4, 5] [6] [7] [8] [18] [19] [20] [21] [9] [10] [11] [12] [13] [14] [15] [16] [17] 76

79 RTTM Open Commitment Report (SPT Compressed OCR) FIELD NAME DESCRIPTION REFERENCE 1 Participant MBSD Participant ID 2 Aggregate MBSD Aggregate ID 3 Account Symbol MBSD Account ID of report requester 4 Settlement Month Settlement Month of the trade 5 Settlement Year Settlement Year of the trade 6 CUSIP Product, Agency, Coupon, Maturity Product, Agency, Coupon, Maturity, Check digit 7 Security Class MBSD Security Class Code Agency, Product, Coupon, Maturity 8 Security Description Agency and Product Code Description 9 Trade Nbr MBSD assigned trade number 10 Xref Your internal trade reference number 11 Trd Stat Trade Status FMAT - Fully Matched 12 Trd Type Trade Type TFTD Trade-for-Trade 13 B/S Indicates your side of the trade Buy or Sell B = Buy, S = Sell 14 T/D Trade Date 15 S/D Settlement Date 16 M/D Match Date Date the trade was successfully matched 17 Ctra Contra s MBSD Account ID See Participant/Account Listing 18 Deal Price Dealer Price 19 Mtch Current Face Current Face at time of Match 20 Open Par Par value amount that remains open on RTTM 21 Current Face Current Face at time of Match Stage 1: Blank 4/

80 RTTM Open Commitment Report (SPT Compressed OCR) [24] [25] [26] [27] [28] [29] [22] [23] [31] [30] [32] [33] [35] [34] 78

81 RTTM Open Commitment Report (SPT Compressed OCR) 22 Pool # Pool number entered on the NOS transaction 23 Final Money Final Money as submitted by participant Security Class Buy Totals 24 Buy Open Par Total Buy Open Par 25 Sttl Value Total Buy Settlement Value Stage 1: Blank Security Class Sell Totals 26 Sell Open Par Sell Open Par 27 Sttl Value Total Sell Settlement Value Stage 1: Blank Security Class Net Totals 28 Net Open Par Net Open Par 29 Sttl Value Net Settlement Value Stage 1: Blank Report Totals 30 Total Buy Par Total Buy Open Par 31 Total Sell Par Total Sell Open Par 32 Total Par Total Net Open Par 33 Total Buy Final Money Stage 1: Blank 34 Total Sell Final Money Stage 1: Blank 35 Total Final Money Stage 1: Blank 4/

82 2.5. Split/Splice Report Purpose Access Clearing Source Book Timing Sort Order Printing To view splits and splices that resulted from the MBSD trade matching process for Dealers using Net Position Match Modes. Report Center Trade Processing. End of day report only. Settlement Date; TBA CUSIP, Par All reports can only be printed via the Report Center [2] [3] [1] [4] [5] [6] [7] [8] [9] [10] [11] [12] [13] [14] [15] 80

83 Split/Splice Report FIELD NAME DESCRIPTION REFERENCE 1 As Of Date of the report 2 Part ID MBSD Participant ID 3 Part Name MBSD Participant Name 4 Product MBS Product field Will always read MBS 5 Trade Date Date of the TBA trade 6 Settlement Date Settlement date of the TBA trade 7 TXN Trade Type SBOD SBO Destined TFTD Trade-for-Trade 8 External Reference Xref number 9 Tran/Trade ID Transaction ID or trade number ID for the trade Transaction ID = for trades that were cancelled due to split and/or splice. Trade ID = created due to split and/or splice 10 PMAT/FMAT PMAT/FMAT Indicator PMAT = Partially Matched Trade FMAT = Fully Matched Trade 11 Buy/Sell Buy/Sell indicator 12 Cont ID Contra s MBSD Participant ID 13 Quantity Par Value used from your original trade 14 Price Trade Price 15 Commission Commission monies owed to the Broker reflected as either a flat commission or a percentage, based on how the trade was entered Dollar Amounts will be listed for Flat Commissions. Percentage rate per million will be listed for Rate Based Commissions. 4/

84 2.6. Supplemental P&S Report Purpose Access Clearing Source Book Timing Sort Order Printing To view all trades that had multiple actions taken within a given pass. Report Center Trade Processing Both AM and PM versions of this report are only available at end-of-day. TBA CUSIP, Pool #, Participant, Tran ID, Trade ID, Sequence of Events, Contra All reports can only be printed via the Report Center [1] [2] [4] [5] [3] [7] [6] [8] [9] [10] [11] [12] [13] [14] [15] [16] [17] [18] 82

85 Supplemental P&S Report FIELD NAME DESCRIPTION REFERENCE 1 Participant ID MBSD Participant ID 2 Name MBSD Participant Name 3 Pool Number Pool Number associated with the Specified Pool Trade 4 Actvty Activity that resulted to original trade TCR Trade Create MAT Matched Trade MFY Modify CAN - Cancel 5 Xref The trade s Xref number 6 Trd Number The trade number for the trade 7 TranID The transaction ID for the trade 8 Trdstat Trade status indicator PMAT = Partially Matched Trade FMAT = Fully Matched Trade 9 Trd type Trade Type SBOD SBO Destined TFTD Trade-for-Trade 10 Buy/Sell Buy/Sell indicator 11 T/D The date of the TBA/SPT trade 12 S/D The Settlement of the TBA/SPT trade 13 Contra The contra s MBSD Participant ID 14 Cmssn The commission monies owed to the Broker reflected as either a flat commission or a percentage, based on how the trade was entered 15 Price Trade Price Dollar Amounts will be listed for Flat Commissions. Percentage rate per million will be listed for Rate Based Commissions. 16 Par/Original Face Par Value of the TBA trade/original Face Value of the Specified Pool Trade 17 Current Face Current face as calculated by RTTM, based on current factor (Stage 2). Stage 1: Blank Stage 2: As calculated by RTTM 18 Final Money Final Money Stage 1: As submitted by participant Stage 2: As calculated by RTTM 4/

86 2.7. Uncompared Trades Report Purpose Access Clearing Source Book Timing Sort Order Printing To view uncompared trades that resulted from the MBSD trade matching process. Report Center Trade Processing End of day Settlement Date, TBA CUSIP, Pool Number, Buy/Sell, Trade Date, Par Value, Contra All reports can only be printed via the Report Center [2] [3] [1] [4] [5] [8] [7] [6] [9] [10] [11] [12] [13] [14] [15] [16] [17] [18] [19] 84