Please see the attached NSCC Important Notice for information regarding RTTM Intra-Day & Multiple Pricing Recalculations for Municipal When Issued (WI) Trades:

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As announced in CMU RTTM Update Issue 27 September 27, 2005, http://www.ficc.com/cmu/docs/cmu.rttm.updates.issue27.pdf,   WI enhancements were planned for the fourth quarter, 2005 for the Real Time Trade Matching (RTTM) system that will provide participants with multiple and intraday recalculations of Municipal WI trades.  Recalculations occur when NSCC receives updated security masterfile information for a WI security, such as a change to the initial settlement date for the issue.  Participants currently receive recalculations of WI trades at the end of day.  The start date for this enhancement will be November 7, 2005.   

WI trade recalculations appear on MT 518 interactive message: “Repricing – Yield to Price” with the field tag :22F::PROC/GSCC/YTPR.   Participants should note that the format and content of the recalculation message is not changing.

Additionally, this enhancement will allow RTTM to change the Pending or Memo status of a WI trade intraday and make it available for matching.  The associated MT 509 messages are with field tags   :25D::IPRC/GSCC/RVPE for Pending Status Removed and :25D::IPRC/GSCC/RVME - Memo Status Removed.  The format and content of these messages is also not changing. 

Complete information for municipal RTTM messages is provided in the Interactive Messaging Specification which is available in the Corporate, Municipal, UIT (CMU) section of FICC.com in the  Important Document section:   http://www.ficc.com/cmu/docs/nscc.particip.specs.final.pdf

If you have questions regarding this notice, please call the CMU hotline at 212-855-7664, contact the undersigned at 212-855-7623 or email CMUhelp@ficc.com.

Ed Fanning

Vice President, Product Management