Please see the attached NSCC Important Notice for information regarding upcoming CMU settlement enhancements for As Of trades. 

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As announced in Important Notice A#6409 P&S#5979, dated February 27, 2007, http://www.nscc.com/impnot/notices/notice2007/a6409.pdf  NSCC is planning to implement CMU trade settlement changes for certain As-Of matched trades. 

NSCC anticipates implementation of these changes effective with settlement date of September 21, 2007, subject to regulatory approval.  NSCC will inform participants of the regulatory approval and actual implementation date via subsequent Important Notice.

The information below was contained in the February 27, 2007 Important Notice. 

Please note that there has been a change to that notice regarding Special Trade Modifications.   After submission date, participants will still not be permitted to Modify Uncompared CMU trades as a Special Trade, to assign a settlement status of “Comparison Only” or “Trade For Trade”.   This functionality is planned to be offered in 2008 in preparation for additional settlement enhancements but will not be available in September, 2007 as previously outlined in Important Notice A#6409, P&S#5979.  

Same Day Settlement For CMU Trades

Currently, CMU settlement eligible trades (trades that have a settlement cycle of T+2 or greater, e.g. T/D 2/5, S/D 2/7 or greater), that match on or after a trade’s submitted settlement date, settle in NSCC’s CNS or Non CNS systems the day after the match occurs. 

When Same Day Settlement (SDS) CMU processing is instituted, NSCC will settle CMU As-Of transactions that match on or after a trade’s submitted settlement date, on the day of the match, provided the match occurs prior to 11:30 a.m..   (Please note that Cash and Next Day settlement CMU trades are matched in the Real Time Trade Matching system (RTTM) but are not forwarded to NSCC’s settlement systems.  SDS will not apply to these trades.)

As-Of trades matching after 11:30 a.m. on or after the trade’s submitted settlement date will continue to settle the day after the match occurs, as they do today.

The table below summarizes CMU SDS processing:

*Also referred to as Delivery Date on RTTM Settlement Disposition messages (see below).

CNS Output Changes

Consolidated Trade Summary Output For CMU SDS Trades

CMU SDS trades will appear on the Cycle 2 Supplemental NSCC Consolidated Trade Summary (AutoRoute #02040954 - machine readable output, 02040953 – print image output).  SDS equity transactions already appear on this Supplemental Consolidated Trade Summary which is distributed at approximately 1:00 p.m.

CNS Intraday Messages

Some participants currently receive ISO 15022 messages intraday when their CNS position changes during the day cycle due to a settling trade received before noon.  When SDS for CMU is implemented, participants receiving CNS Intraday Messages will begin to receive CMU trade settlement activity on these messages.

RTTM Output

RTTM Message Output

RTTM creates the following output relating to matched trades:

* For Comparison Only trades, the Delivery Date indicates the trade’s submitted settlement date, as these trades are not settling at NSCC.

To determine the date the trade will settle in NSCC’s systems, the Settlement Disposition message indicates the Delivery Date in the /SDSP Subqualifier.  This is the date the trade is scheduled to settle, as reflected on NSCC’s Consolidated Trade Summary.  (Comparison Only trades do not appear on the Consolidated Trade Summary and are settled outside of NSCC’s systems.) 

The NSCC settlement method is provided on the 518 Settlement Disposition message, with the appropriate settlement code provided in the field description, as depicted in the table above.

In addition to the Settlement Disposition message outlined above, RTTM provides 509 matching messages.  As with all outbound messages, the RTTM preparation date and time is supplied.  The information on the 509 matched message informs you whether the trade matched prior to 11:30 a.m.  When SDS is implemented, As-Of trades matching before 11:30 a.m. on or after the trade’s submitted settlement date, will settle on the day the trade matched.

End of Day AutoRoute Output For CMU SDS Trades

NSCC AutoRoute produces the end of day (EOD) Machine Readable Bond Contract Files (Municipal Bond Contract File, AutoRoute # 02032237 & Corporate Bond Contract File, AutoRoute # 02032433):

• The EOD NSCC Bond AutoRoute Contracts specify a settlement date (fields 3-10).  On these files, the settlement date is the settlement date for the trade on the NSCC Consolidated Trade Summary. 
• When SDS is instituted, using the dates on the table from page one, a T+3 As-Of trade matched before 11:30 a.m. on S/D 2/8/07, would have a S/D of 2/8/07 on these EOD files.  Currently, the S/D on these files would be 2/9/07.
• Participants receive these EOD Contract Files at approximately 11:00 p.m.  When SDS is implemented, firms can receive trades on the EOD Contract File at 11:00 p.m. that settled earlier in the day on 2/8/07. 
• Those trades would have also appeared on cycle 2’s Supplemental NSCC Consolidated Trade Summary at 1:00 p.m. on 2/8/07.
• Note that trades designated as Comparison Only (“F” in Field 83 on the 02032237 and 02032433 EOD Contract files) do not appear on the NSCC Consolidated Trade Summary.

RTTM Web Output

RTTM Web will be enhanced to display the Delivery Date for matched trades.  The Delivery Date corresponds to the Settlement Date on NSCC’s Consolidated Trade Summaries.  As-Of trades matched prior to 11:30 a.m. on or after the trade’s submitted Settlement Date will have a Delivery Date of the current day.

RTTM Web will be enhanced before SDS for CMU is implemented.  Participants will be able to obtain the Delivery Date on RTTM Web by “Viewing” a trade and examining “Additional Data”.

“Special Trade” Modifications NOT To Be Allowed After Submission Date

After submission date, participants will still not be permitted to Modify Uncompared CMU trades as a Special Trade, to assign a settlement status of “Comparison Only” or “Trade For Trade”.  

This functionality is planned to be offered in 2008 in preparation for additional settlement enhancements but will not be available in September, 2007 as previously outlined in Important Notice A#6409, P&S#5979.  

Testing:

The following message output will be made available for CMU SDS processing:

·        509 messages

·        518 settlement disposition messages

Test output of these messages will be from your firm’s prior day’s CMU production.  SDS functionality has been activated for testing.  

To obtain message output please contact Al Eppich at (212) 855-7594 or Aileen Rose at (212) 855-7565.

NSCC will also make available the following AutoRoute Test Output: 

·        Pre formatted CNS Supplemental Compared Trade Summary (Machine Readable).  Test AutoRoute # 02980954.

·        NSCC EOD Municipal Bond Contract File (Machine Readable). Test AutoRoute # 02982237

·        NSCC EOD Corporate Bond/UIT Contract File (Machine Readable). Test AutoRoute # 02982432

To receive this output please contact DTCC’s Enterprise Service Center at (888) 382-2721, option 1, and then option 4. 

Any questions on this notice can be directed to the Relationship Services Group at (800) 422-0582, option 5, or the undersigned at (212) 855-7623.

Ed Fanning,

Director, Product Management