Please see the attached NSCC Important Notice for information regarding RTTM CMU changes for accrued interest and municipal baby bonds. 

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Participants are advised that the enhancements described below are planned for the CMU RTTM application.  RTTM testing for these enhancements is currently available.  The production implementation date is planned for January 26, 2007. 

Accrued Interest Expansion

Participants will be able to submit accrued interest up to $9,999,999.99 for CMU trades.  Firms can currently submit accrued interest up to $999,999.99

Input Format

On the MT515 format, in the :19A::ACRU//USD field, the new RTTM maximum for accrued interest will be 10d, 7 whole dollars 2 decimal places, all amounts preceded by USD having 2 decimal places (the decimal is mandatory to submit).   The current maximum is 9d, 6 whole dollars 2 decimal places.

Output Format

On MT518 messages, in the :19A::ACRU//USD accrued interest field, a maximum of 10d will be supported for the CMU RTTM application.

The accrued interest field (positions 98 – 106) on the NSCC Municipal Contract File (AutoRoute 02032237) and the Corporate/UIT File (AutoRoute 02032433) can contain a value up to $9,999,999.99.

Municipal Quantity Less Than 1,000

Participant input of municipal bond trades in quantities less than 1,000 (baby bonds) will be accepted into the CMU RTTM application on January 26, 2007.  

Input

On the MT515 format, in the :36B::CONF//FAMT/ field, a quantity less than 1,000 will be accepted for municipal trades. 

Please note that participants must submit municipal odd lots in the same manner as corporate odd lots.  For example, a municipal quantity of 100,700 should be submitted as one trade of 100,000 and one of 700.  (A municipal or corporate trade submission with a quantity of 100,700 will continue to be rejected.)

Output

On 518 messages, in the :36B::CONF//FAMT/ field, a quantity less than 1,000 will be a valid amount for municipal trades.

On the NSCC Municipal Contract File, a value less than 1,000 may be provided  (AutoRoute 02032237, positions 52 - 60).

Settlement

Municipal baby bond trades will be processed trade for trade and will be CNS ineligible, as is the case with corporate baby bonds.

Municipal Bond Trade Reporting Requirements

Participants are advised that MSRB G-12 (f) “requires an inter-dealer transaction eligible for comparison by a clearing agency registered with the Commission (registered clearing agency) shall be compared through a registered clearing agency.” 

On January 26, 2007, municipal baby bond trades and trades with accrued interest over $999,999.99 will be eligible for NSCC processing.

Testing

Firms wishing to test accrued interest and municipal baby bond changes can contact Joe Quagliariello (212) 855-7597 or Al Eppich (212) 855-7594 of DTCC’s Participant Testing Group.    

Any questions on this notice can be directed to the Relationship Services Group at (800) 422-0582

or the undersigned at (212) 855-7623.

Ed Fanning

Director, Product Management