Settlement transaction types
TBAC: TBA Closing
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TBAC marks the settlement of a TBA closing trade: a trade that closes out a To Be Announced position in the US agency mortgage-backed securities market.
- Code
- TBAC
What TBAC means
In the TBA market, buyers and sellers agree on agency mortgage pools by issuer, coupon, maturity, face and settlement month, and the specific pools are announced shortly before settlement. Positions are often closed or rolled before that date. TBAC identifies the settlement that relates to such a closing trade, so the account servicer can link it to the original TBA position instead of treating it as a new purchase or sale.
When the closing trade is netted against the opening one with the same dealer, the pair-off is flagged PAIR. A normal trade in specified pools is TRAD.
When you see it
- In US custody, on instructions and statements for agency MBS TBA positions; Citi’s field 22F guide supports it for one region.
What to do next
- Use TBAC only if your account servicer supports it for TBA processing; many expect TRAD or PAIR instead. If the account servicer answers with REJT or REPR and reason SETR, the code was missing, unknown or not accepted in that market. Some custodians support only part of the list per market (Citi publishes its supported codes region by region), and BNY says it may change an instructed type into one the market accepts.
Where it appears in MT and ISO 20022
MT (ISO 15022)
- MT540, MT541, MT542 and MT543: sequence E (SETDET), field 22F,
:22F::SETR//TBAC. The SETR qualifier is mandatory, so every instruction carries one code (format:4!c/[8c]/4!c; with a data source scheme a proprietary code may be sent instead). - Repeated in the confirmations MT544, MT545, MT546 and MT547 (sequence E,
:22F::SETR//TBAC) and in the MT548 status advice (sequence B, where SETR is mandatory when the sequence is present). - Optional in the statements: MT536 subsequence B1a2 and MT537 subsequences B2b and C2.