Has anyone tried to go directly through NSCC rather than use an intermediary such as SunGard-Expediter or Mid Atlantic? We currently use SunGard, but have just been approved by NSCC. Much feedback we have received is that dealing with NSCC directly is extremely difficult, but the trading/reporting costs are miniscule.

I wouldn't say extremely difficult, but a bit frustrating at times. You are correct regarding the cost, but there are cost involved in programming, testing, and training that should not be forgotten. It certainly is possible with a strong project manager and good staff. Good luck!