A 5518 
P&S 5088
December 6, 2002 

TO: ALL PARTICIPANTS

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

SUBJECT: NSCC ENHANCES ITS REGIONAL INTERFCE OPERATION (RIO) TO PROCESS TRADES FROM THE CHICAGO MERCANTILE EXCHANGE (CME).

National Securities Clearing Corporation ("NSCC") has enhanced its Regional Interface Operation ("RIO") to accept trades from the Chicago Mercantile Exchange1 ("CME").  It has also enhanced its Consolidated Trade Summary output to display trades originating from the CME. The CME plans to begin submitting trades to NSCC on December 20, 2002. 

The CME will submit to NSCC, data relating to narrow-based index futures that trade on the CME and require settlement of equity securities at expiration (i.e. Expired Security Futures).  Expired Security Futures are identified on NSCC Contract Output with an “F” indicator in the Stock Bond field (for more information see Important Notice A #5309, P&S #4879 dated August 17, 2001 entitled NSCC HAS ENHANCED ITS REGIONAL INTERFACE OPERATION PROCESS TO BEGIN ACCEPTING EXPIRED SECURITY FUTURES).               

Changes to RIO Print and MRO Output
Participant’s RIO reports and MRO files have been modified to include the CME as an additional trade source.  The CME will only submit locked-in trades. 

The AutoRoute Product Identification code for the Regional Trade Activity (RIO) report and an example follows:

AutoRoute ID #

Report Name

     02140124

Regional Trade Activity (RIO) Report

 

 

The Machine Readable Output (MRO) file for the Y2K-compliant Regional Trade Activity (RIO) Report has been modified to include and identify trades originating from the CME.

NEW DEFINITION (A/O December 20, 2002)

AutoRoute ID

File Name

Length

Position

Description

Comments

 02142125

(Y2K Format)

Originator

3

91-93

Trade Source

CME = Chicago Mercantile Exchange

The Machine Readable Output (MRO) file for the Unified Intra-day Regional Trade Activity (RIO) File has been modified to include and identify trades originating from the CME.

NEW DEFINITION (A/O December 20, 2002)

AutoRoute ID

File Name

Length

Position

Description

Comments

 02143125

(Y2K Format)

Originator

4

105-108

Trade Source

XCME = Chicago Mercantile Exchange

The MRO file formats, as well as all other Participant file formats, are available for your use at NSCC's website, http://formats.nscc.com.

Changes to CTS MRO Output
The Machine Readable Output (MRO) file for the Consolidated Net Settlement Trade Summary (CTS) Report has been modified to include and identify trades originating from the CME.

NEW DEFINITION (A/O December 20, 2002)

AutoRoute ID

File Name

Length

Position

Description

Comments

 02042354

(Y2K Format)

Market Name

2

26-27

Trade Source

CE = Chicago Mercantile Exchange

Questions regarding these enhancements or this Notice may be e-mailed to the undersigned at estaloff@dtcc.com or directed to your Relationship Manager at (212) 855-4155.

Elena Staloff
Director, Product Marketing and Development

1 On November 26, 2002 the Securities and Exchange Commission (“SEC”) approved the rule change filed by NSCC to permit NSCC to take data in from the Chicago Mercantile Exchange (“CME”).  The full text of the approved rule change may be obtained at NSCC’s website, at http://www.nscc.com/legal, or by contacting the NSCC Legal Department at (212) 855-3207.