Please see the attached NSCC Important Notice for information regarding NSCC processing of corporate bond trades executed by the NYSE Group. 

The NYSE Group will assume all NYSE bond trading at a date to be determined in the near future.  A NSCC & FICC Important Notice will be issued when the exact implementation date is known.  

In preparation for this change, NSCC modified its Machine Readable Output (MRO) and print image Regional Interface Operations (RIO) Contracts on November 1 as detailed below, to accept corporate bond trades executed by the NYSE Group. 

When the NYSE Group begins corporate bond trading, the NSCC NYSE Group corporate bond trading output will appear on RIO intraday MRO output (AutoRoute # 02143125) & end of day RIO print image output (AutoRoute # 02140124).

NYSE ABS trades currently appear on the NSCC NYSE ABS Contracts (AutoRoute MRO # 02032432, AutoRoute print image # 02030430.)  NSCC will discontinue production of these AutoRoute jobs when the NYSE Group assumes corporate bond trading at a date to be announced.   Also, at that time, NYSE Group corporate bond trading output would not appear on RTTM Web or be maintained in RTTM Web Report Center. 

Any questions on this notice can be directed to DTCC’s Relationship Services team at (800) 422-0582 or the undersigned at (212) 855-7623.

Ed Fanning,

Director, Product Management

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In advance of the NYSE Group’s assumption of all NYSE bond trading, NSCC has modified its RIO Contract Print Image and Machine Readable Output (MRO) on November 1, 2006 to reflect bond trades executed on the NYSE Group. Currently New York Stock Exchange (NYSE) Automated Bond System (ABS) trading in corporate bond securities is submitted to National Securities Clearing Corporation (NSCC) but displayed on its own unique end-of-day print image contracts, AutoRoute #02030430 and end-of-day MRO file, AutoRoute #02032432. The NYSE Group will issue a notice to its bond participants announcing the effective date of such trading.

Trades executed on NYSE ABS are currently submitted to NSCC with the NYSE ABS Omnibus (#0748) as the contra party (for example Buyer versus #0748 and #0748 versus Seller). Bond trades executed on the NYSE Group bond platform will be submitted to NSCC without an omnibus account (for example, Seller #1234 versus Buyer #4567).

As with other bond transactions reported on RIO output, a last price will be displayed for corporate bonds executed on the NYSE Group platform, identified in the intra-day RIO MRO, AutoRoute #02143125, (position 172-184) and in the Price field on the Print Image output, AutoRoute #02140124. The last price will reflect accrued interest, if any, and will be expressed in terms of a dollar. For example, 1,000 par value bond with a price that includes accrued interest of $1.23 would be displayed as .981230 with final money of $981.23  (1,000 x .98123).

In addition, the NYSE Group will be identified as a unique exchange on NSCC’s Consolidated Trade Summary (CTS) Machine Readable and Print Image output.    

Regional Interface Operation (RIO) Output Modifications

NSCC RIO Intra-Day MRO Contract Output, AutoRoute #02143125    

NSCC will display the value ARNX for bond trades executed on the NYSE Group in the Market / Trade Source field, position 105-108. 

NSCC will display the existing values of C = Corporate Bond for bond trades executed on the NYSE Group in the Security Type field, position 152-157.

NSCC RIO End-of-Day Print Image Blotters, AutoRoute #02140124 

Currently the RIO report segregates each regional exchange into its own section, which are segregated by settlement date.  NYSE Group bond trades will be segregated in the same manner.    

Moreover, bond trades executed on the NYSE Group will display a value of C for corporate bond security type in the STK and BND column on the NYSE Group RIO report section. An example of a RIO Print Image Blotter containing NYSE Group trades is attached as Exhibit A.  

The RIO Blotters provide a totals section at the end of each broker’s print image report.  The totals page display trade totals for NSST = Non-Standard Settlement, T, T+1, T+2, T+3 and Older Same Day and T+3 and Older Next Day trade totals for each Regional Exchange.  There are also separate sections that are divided into Equity Sale, Equity Purchase, Bond Sale and Bond Purchase. The RIO report broker totals for NYSE Group will be identified as AX.  An example of the totals page containing NYSE Group bond trades is attached as Exhibit B.    

Consolidated Trade Summary

NSCC Consolidated Trade Summary, MRO file, AutoRoute #02042354 and the Supplemental Consolidated Trade Summary Cycle 1 and 2, AutoRoute #02040954

The Consolidated Trade Summary is issued three times a day with a regular Consolidated Trade Summary and two Supplemental Consolidated Trade Summaries. For bond trades executed on the NYSE Group, NSCC will begin to display the value of AX as Market Exec. or Trade Source in the Market Name field, position 26-27.

NSCC Consolidated Trade Summary, Print Image Report, AutoRoute #02042353 and the Supplemental Consolidated Trade Summary Cycle 1 and 2, AutoRoute #02040953

For NYSE Group bond trades, NSCC will display an additional value of AX in the MKT column in the detail section of all three Consolidated Trade Summaries. Please refer to Exhibit C for an example of this Consolidated Trade Summary Print Image report enhancement.

All three Consolidated Trade Summaries contain a Broker Summary page on Summaries that display the Items, Shares and Value of bonds purchased and another for bonds sold.  The NYSE Group bond trades will be reflected as AX   Please refer to Exhibit D for an example of the Consolidated Trade Summary Broker Summary page enhancement.  

Additional Information    

This and other NSCC Important Notices are located on the www.nscc.com Web site.  A link to this Important Notice is also located on the formats.nscc.com Web site along with all MRO file layouts for the RIO Trade Blotters and Compared Trade Summaries. If you have questions, please contact your Relationship Manager or email the undersigned at ryodice@dtcc.com.  Questions regarding NYSE Group bond trading can be addressed to Cary Broniszewski at 312-442-7028, cbroniszewski@nyse.com or to John M. Holman at 212-656-4692, jholman@nyse.com.  

Robert M. Yodice,     Product Management, Director