A 4782 - June 16, 1998
P&S 4344

TO: ALL PARTICIPANTS

ATTENTION:  MANAGING PARTNER/OFFICER; OPERATIONS PARTNER/OFFICER; MANAGER P&S DEPARTMENT; MANAGER DATA PROCESSING DEPARTMENT

SUBJECT: FIXED INCOME TRANSACTION SYSTEM - INTRA-DAY COMPARISON - IMPLEMENTATION TESTING

As stated in National Securities Clearing Corporation (NSCC) Important Notices A 4709 (P&S 4276) dated January 15, 1998, and A 4724 (P&S 4292) dated February 25, 1998, NSCC will implement enhancements to its Fixed Income Transaction System (FITS) to accommodate intra-day comparison on trade date for fixed income products, which will include municipal bonds, over-the-counter corporate bonds and unit investment trusts (UIT's). These enhancements are scheduled to be implemented for the processing day of August 21, 1998. This notice will detail implementation requirements, including Datatrak (Input) and Autoroute (Output) set up procedures, transmission time frames, testing procedures and the utilization of NSCC's PC Web Direct product for intra-day comparison processing.

DATATRAK INPUT

As previously noted, FITS Intra Day Comparison will utilize a multi-batch input approach, allowing participants to submit multiple batches of the current input files to the existing SysIDs. In order to submit the appropriate FITS input SysID as a multi-batch file participants must first modify the Datatrak header record, along with appending a Datatrak trailer as defined in the previous Important Notice noted above. Once these modifications are complete, participants will need to arrange in advance to have the appropriate FITS SysID's set up to accept multi-batch input.

Participants should contact Dominick Battaglia or Shirley Pires of SIAC's Control Center at (212) 383-2210 to coordinate switching to multi-batch input. This will need to be done 2-3 days prior to the participants scheduled implementation date of multi-batch input.

Unlike new SysID's or new participants, converting an existing SysID to multi-batch format does not require any testing through SIAC's Network Operations.

Participants may submit a maximum number of 99 batches per originator to any individual SysID throughout a single processing day. Firms can start sending transmissions at 9:00 A.M. (EST) and continue until the current cutoff times, 6:00 P.M. for Adjustments and midnight for T Input. To indicate the last file for each multi-batch SysID submitted, the Multi-Batch Indicator field (pos. 60) of the Datatrak header record must be set to 'Y.' This will serve as indication to NSCC that the participant has completed sending its input for the day.

Note: If NSCC is expecting input from a participant and it has not submitted the last file ('Y') for that particular SysID by the appropriate cutoff time, the firm will be notified by SIAC's Enterprise Service Center that the firms input is late and a transmission is still pending.

In order for transactions to be included in an output cycle (see below), the files must be submitted 2 hour prior to the scheduled output times. Although the last cutoff time is 4:30 P.M. for the inclusion of intra-day comparison, participants may continue to submit batches until the above stated 'final' cutoff times. These submissions after the last intra-day cycle will therefore be included for the processing of the 'final' end-of-day Contracts.

Input Cutoff Time	Output Cycle
12:30 P.M.	1:00 P.M.
2:30 P.M.	3:00 P.M.
4:30 P.M.	5:00 P.M.

AUTOROUTE OUTPUT

Intra-day, participants will be able to receive three (3) Intra-Day Blotters for both municipals and for corporates/UIT's and will consist of print image and MRO formats (see below). The Blotters will be produced by NSCC at 1PM, 3PM and 5PM.

Product ID #02030734 -Corporate/UIT's (Print Image)

Product ID #02030735 -Municipal Bonds (Print Image)

Product ID #02030736 -Municipal Bonds (MRO)

Product ID #02030737 -Corporate/UIT's (MRO)

Participants who wish to receive any of these files will need to contact NSCC Participant Services at (212) 412-8432 to coordinate receipt of these file(s).

INTRA-DAY COMPARISON (EXACT MATCHES)

Once enhanced, FITS will compare transactions intra-day for those items which match exactly. All other non-exact matches will take place during end-of-day processing. This logic was adopted to ensure that only the best possible matches occur intra-day. The non-exact matches that will occur during end-of-day and therefore will be only noted on the final contracts are.

<seller's value

<summarization

<different trade-date matches (new issue)

Reminder: In order for trade summarization to take effect in the comparison process both parties in the trade must have elected summarization as part of their participant profile.

PC WEB DIRECT

As previously stated, NSCC will be implementing PC Web Direct, an Internet-based service, designed for submitting transactions to NSCC and retrieving AutoRoute reports. This new service will be replacing NSCC's PC Platform product and will also serve as a replacement for Nasdaq's MBARS system, which is scheduled to be phased out by Nasdaq. With PC Web Direct, participants will have the ability to view the various Intra-day Blotter reports and submit the appropriate transactions for comparison. The MRO versions of the reports can also be downloaded for subsequent processing if desired. This all can be accomplished with very little systems development effort for participants. For more information regarding PC Web Direct please refer to NSCC's previous Important Notices A4715 (dated 2/15/98), A4748 (dated 4/15/98) and A4756 (dated 5/13/98) or contact your Account Manager or NSCC Participant Services.

TEST OUTPUT FILES

For those participants who wish to test with any of the above mentioned new output files (MRO and print image) NSCC will make available appropriate 'canned' files. Participants who wish to receive any of the above test files can do so by contacting SIAC's Control Center at (212) 383-2210, to arrange a test transmission. These test files will be available through Autoroute beginning on June 15.

ADDITIONAL TESTING

NSCC will also provide participants with more comprehensive testing other than the above mentioned 'canned' test output files. For a period of two weeks, August 3 - August 14, a testing environment will be available for participants.

This testing period will allow participants to submit test data periodically throughout the day and receive any of the four 'new' output files detailed above. Test input may consist of any of the FITS SysID's listed below. This testing facility will only generate the intra-day Blotter output files, existing output (Contract files, ReCalc MRO . . . etc.) will not be produced.

Testing will resemble the intra-day environment for FITS processing. Participants can submit multiple batches of test input and at predetermined times the output will be generated. The timing of the output cycles have yet to be determined, but will be earlier than the production times listed above. This testing will only cover ONE processing day, there will be no carry over to the next day for subsequent adjustment processing.

Note: As other participants will be testing at the same time, participants output could also reflect submissions from other firms, such as the receiving of advisories.

To participate in this two-week testing period please contact the FITS Multi-Batch Participant Testing Group (PTG) at (212) 383-4891 to coordinate your test. This PTG is currently available to participants for arranging FITS Multi-Batch testing. As the output are new Autoroute Product ID's, all output will be generated through the production environment. Therefore, participants must sign up for the appropriate output files (described above) and complete all set up procedures prior to this testing period.

As noted above, FITS Intra-Day Comparison will be in effect for the processing day of Friday, August 21, 1998. Participants can therefore begin submitting multi-batch input and receiving the appropriate multi-cycle output files on Friday morning.

Correction: On the aforementioned February 25 Important Notice, the values of 4,5 and 6 for the Price Indicator field were omitted from the record layout of the Municipal Bond Intra Day MRO file (Autoroute ID 02030736). The following is the corrected description of the field.

Questions regarding this Notice, or any aspect of FITS processing, may be directed to your Account Manager, NSCC Participant Services at (212) 412-8432 or the undersigned at (212) 412-8594.

Martin R. Simoneau
Director, Systems