ETF Timelines
ETF Agents, also known as Index Receipt Agent, have actions to take and reports to monitor during each phase of the ETF process. Review the ETF timeline from T-1 through T+2 (Settlement Day), including responsibility for each role and the reports that you should monitor.
Note: Access client business requirements and related input and output format files for the upcoming ETF T0 and T+1 Settlement Cycle releases at ETF Release.
Trade Date Minus One Day (T-1)
| Sequence | Role | Responsibility on T-1 |
| 1 | Fund Manager /Issuer/Sponsor | Fund Manager or Issuer sends a Portfolio Composition File (PCF) to the ETF Agents, also known as an Index Receipt Agent. |
| 2 |
ETF Agent (Index Receipt Agent) |
On the evening of T-1, the ETF Agent, sometimes referred to as an ETF Agent, sends NSCC a portfolio composition file (PCF) for each ETF for the following trade day using one of these protocols:
The PCF displays the individual securities and the weightings that make up one ETF basket for the following trade day. For most ETFs, one basket equals 50,000 shares. The PCF also includes cash amounts in the fund for each basket unit, such as accrued and balancing amount. For example, 50,000 ETF shares =
The ETF Agent sends the portfolio composition file listing the securities in each ETF to the Authorized Participants. The PCF file also contains the estimated cash amount in each portfolio. Transactions eligible for cash creates and redeems show a cash creation amount on the portfolio composition file. |
| 3 | NSCC | Distributes the portfolio composition files on T-1 to members, nonmembers, and the listing exchanges. |
Reports to Monitor
- Enhanced Consolidated Portfolio Composition Output Data File: AutoRoute Production 02261256/PSE 02981256
- Enhanced ETF Create and Redeem Instruction Data Output (MRO): AutoRoute Production 02261254/PSE 02981254
Trade Date (T) to Trade Date Plus One Day (T+1)
The following table shows the T to T + 1 timeline with all times reported in Eastern Time.
| Sequence | Role | Responsibility on T to T+1 |
| 1 | Authorized Participant |
|
| 2 | Distributor |
|
| 3 |
ETF Agent (Index Receipt Agent) |
After receiving the order from the distributor, the ETF Agent sends NSCC ETF creation instructions on behalf of its Authorized Participant using one of the following protocols:
ETF Agents can also download print image reports through the ETF Dashboard through the MyDTCC portal. |
| 4 | NSCC |
Note: The cash amount contains only the transaction fee.
Using the example of the 50,000 ETF shares:
|
Reports to Monitor
- CNS Night Settlement Activity: AutoRoute 02042023 (Night)
- CNS Projection Report
- Consolidated Trade Summary Report
- Non-CNS Consolidated Trade Summary Report
Trade Date Plus One Day (T+1)
- On T+1, NSCC reports the details of creates/redeems that were received
- After the create/redeem for an eligible security is reported to NSCC, the transaction is eligible for processing through CNS
- Status and movements of these securities are reported through various reports
- Cash amounts for dividends and fees are sent directly to money settlement and are collected through a unique money settlement code on T+2.
Reports to Monitor
During T+1, NSCC distributes the following reports that you should monitor:
- CNS Nighttime Settlement Activity Statement.
- Consolidated Trade Summary reports.
- CNS Projection report.
- Non-CNS Consolidated Trade Summary Report for ineligible securities.
Trade Date Plus Two Days (T+ 2): Settlement Day
- On T+2, the Authorized Participant delivers the underlying components to CNS who, in turn, delivers them to the ETF Agent.
- ETF Agent delivers the ETF shares, for example 50,000 ETF shares, to CNS who, in turn, delivers them to the Authorized Participants. These deliveries are made through DTC book entry with CNS.
- When all securities settle there is no CNS mark-to-market payment. The only money changing hands is the cash payment for the transaction fee and the difference between the value of the components and the cash amount and the ETF that is sent directly to money settlement. If not all securities settle, CNS marks to the market the securities that are failing based upon the primary markets closing price for the components and the ETF.
- CNS automatic delivery process occurs in two cycles: night and day cycle.
- Daily money settlement is based on the value of all settled trades plus or minus mark-to-market calculations for all open CNS positions and relevant cash amounts.
- For any trades that are not completed on settlement day, CNS marks the open position to the market and the open position becomes part of the next business days netting/settling process.
The following table shows the T + 2 timeline:
| Sequence | Role | Responsibility on T+2 |
| 1 | Authorized Participant | Delivers the underlying components to CNS. |
| 2 | NSCC | CNS delivers underlying components to the ETF Agent. |
| 3 |
ETF Agent (Index Receipt Agent) |
Delivers the ETF shares to CNS. |
| 4 | NSCC | CNS delivers the ETF to the Authorized Participants. Deliveries are made through DTC book entry with CNS. |
Reports to Monitor
- CNS Daytime Settlement Activity Statement
- Miscellaneous Activity Report
- CNS Accounting Summary
- Cash Reconciliation Statement
- NSCC Final Settlement Statement
Related Content
Create/Redeem Submission
The following guidelines apply to the create/redeem input cycles for ETF Agents only:
- All times are reported in Eastern Time.
- NSCC deadline for submitting ETF Create/Redeem instructions is 8:00 P.M.
- Create/Redeem instructions are not accepted by NSCC between the end of ETF Primary cycle of 7:59:59 P.M. and the beginning of the ETF Supplemental cycle of 9:00 P.M.
- All 11300 files received from ETF Agents after this deadline, but prior to the start of the ETF Supplemental cycle, are not recognized by NSCC until 9:00 P.M., which is the beginning of the Supplemental cycle.
The following table shows the Create/Redeem input cycles for ETF Agents only.
|
DATATRAK ID |
Description |
Intraday Cycle |
Primary |
Supplemental |
Closed |
|
Enhanced ETF Create and Redeem Instruction Data Input MRO file. |
12:30 A.M. – 1:59:59 P.M. (T) |
2:00 P.M. – 7:59:59 P.M. (T) |
9:00 P.M. – 11:29:59 P.M. (T) |
11:30 P.M.–12:29:59 A.M. (T+1) |
The following table shows the Create/Redeem output cycles for ETF Agents and Authorized Participants with all times reported in Eastern Time:
|
AutoRoute ID |
Description |
Intraday Cycle Activity |
Primary Cycle Activity |
Supplemental Cycle Activity |
|
02260291 |
Enhanced Create/Redeem Instruction Print Image Report (ETF Agents and Authorized Participants) |
10:00 P.M. on T |
10:00 P.M. on T (Cycle 1) |
12:00 A.M. on T+1 (Cycle 2) |
|
End-of-Day Instruction Create/Redeem Receipt/Reject Report (ETF Agents only) |
10:00 P.M. on T |
10:00 P.M. on T (Cycle 1) |
12:00 A.M. on T+1 (Cycle 2) |
|
| 02261254
|
Enhanced ETF Create and Redeem Instruction Output Data file (Agents and Authorized Participants) |
10:00 P.M. on T |
10:00 P.M. on T (Cycle 1) |
12:00 A.M. on T+1 (Cycle 2) |
|
Enhanced Intra-Day Create/Redeem Receipt/Reject Print Image Report (ETF Agents only) |
Immediately After Validation |
Immediately After Validation |
Immediately After Validation |
|
|
UTC Contract Data File (Agents and Authorized Participants - Results of Create/Redeem) |
Immediately After Validation |
By 1:00 A.M. on T+1 (last cycle 98) |
By 1:00 A.M. on T+1 (last cycle 98) |
Click to expand and view information about the ETF Regular Way and Shortened Settlement Instructions, including logic.
Important:
No Create or Redeem instructions are accepted by NSCC for same day settlement (SDS) where the trade date equals the date of receipt of the instruction. These instructions are assigned the REJECTED (REJ) status and cannot be reinstated. This status is immediately reported on the Enhanced Intraday Receipt/Reject report (AutoRoute 02261954) and is also included on the End of Day Instruction Create/Redeem Receipt/Reject report (AutoRoute 02120098) Cycle 1 at the end of the Primary cycle on the date of receipt.
Note: All times are reported in Eastern Time.
|
Description |
Status |
Report |
Intraday Create/Redeem Cycle (12:30 A.M. – 1:59:59 P.M.) |
||
|
Instructions received are immediately subject to existing edits. |
PROVISIONALLY ACCEPTED (PRV) |
Immediately reported in the Enhanced Intraday Receipt/Reject report (AR 02261954) |
Primary Create/Redeem Cycle (2:00 P.M. – 7:59:59 P.M.) |
||
|
Up until the end of the Primary cycle, when pricing is available, any instructions where the trade date equals the date of receipt, and pass the reasonability check edits, including:
|
PROVISIONALLY ACCEPTED (PRV) |
|
|
Instructions received, where pricing is available upon receipt, are subject to all reasonability check edits, including:
|
ACCEPTED (ACP) |
|
|
Instructions fail the Negative Settlement Value reasonability check edit. |
REJECTED (REJ) and cannot be reinstated. |
|
|
Instructions fail the Threshold Value reasonability check edit, but successfully pass all other edits. |
PENDED (PND) Note: ETF Agents can reconcile any PENDED (PND) status instruction with NSCC Support and request reinstatement of the instruction. This request must be received prior to the end of the Supplemental cycle. |
|
Supplemental Create/Redeem Cycle (9:00 P.M. – 11:29:59 P.M.) |
||
|
Instructions pass the reasonability check edits, including:
|
ACCEPTED (ACP) |
|
|
Instructions fail the Negative Settlement Value reasonability check edit |
REJECTED (REJ) and cannot be reinstated |
|
|
Any newly received instructions that fail the Threshold Value reasonability check edit, but successfully pass all other edits. |
PENDED (PND) Note: ETF Agents can reconcile any PENDED (PND) status instruction with NSCC Support and request reinstatement of the instruction. This request must be received before the end of the Supplemental cycle. |
Enhanced Intraday Receipt/Reject Report (AR 02261954) |
|
PENDED (PND) status instructions that were not reinstated by the end of the Supplemental cycle. |
REJECTED (REJ) and cannot be reinstated |
|
Closed to All Submissions (11:30 P.M. – 12:29:59 A.M.) |
||
|
During this cycle:
|
REJECTED (REJ) |
No UTC contract output is produced for any submitted instructions. |
Click to expand and view the business rules and logic explaining the As/Of Create/Redeem instructions.
The business logic for handling as/of create/redeem instructions is different from the logic applied to other create/redeem instruction. Here are some guidelines for the instructions:
- All times are reported in Eastern Time.
- As/Of Create/Redeem instructions are accepted during all three input cycles.
- During the Intraday cycle, instructions submitted for the Same Day Settlement (SDS) must be received, pass all edits, including the Negative Settlement Value and Threshold Value reasonability check edits, and reported as ACCEPTED (ACP) prior to 11:30 A.M. on the settlement date.
- Instruction in any status other than ACCEPTED (ACP) at 11:30 A.M. are immediately assigned the REJECTED (REJ) status and cannot be reinstated.
- Instructions received after 11:30 A.M. on Settlement Date in any cycle are immediately assigned the REJECTED (REJ) status and cannot be reinstated.
- ETF Agents have the option to reconcile any PENDED (PND) status instructions with NSCC Support and request reinstatement of the instruction. This request must be received prior to the end of the Supplemental cycle.
- All as/of instructions submitted during the Primary cycle that pass all edits produce UTC contracts.
Note: To receive the contract output on an intraday basis requires a subscription to receive market code 920 UTC contracts in the Financial Information eXchange (FIX) message output format. The FIX message output is available through either FIX Engine or MQ. To enable this subscription, contact your DTCC relationship manager.
- Immediately reported in the Enhanced Intraday Receipt/Reject report (AR 02261954)
- Included in the End of Day Instruction Create/Redeem Receipt/Reject report (AR 02120098) Cycle 2 at the end of the Supplemental cycle on the date of receipt
|
Description |
Status |
Report |
Intraday Create/Redeem Cycle (12:30 A.M. – 1:59:59 P.M.) |
||
|
Instructions pass the reasonability check edits, including:
|
ACCEPTED (ACP) Note: If instructions are marked as ACP and received:
|
|
|
Instructions fail the Negative Settlement Value reasonability check edit. |
REJECTED (REJ) and cannot be reinstated |
|
|
Instructions fail the Threshold Value reasonability check edit, but successfully pass all other edits. |
PENDED (PND) Note: ETF agents can reconcile any PENDED (PND) status instruction with NSCC Support and request reinstatement of the instruction. This request must be received before the end of the Supplemental cycle. |
|
Primary Create/Redeem Cycle (2:00 P.M. – 7:59:59 P.M.) |
||
|
Instructions pass the reasonability check edits, including:
|
ACCEPTED (ACP) |
|
|
Instructions fail the Negative Settlement Value reasonability check edit. |
REJECTED (REJ) Cannot be reinstated. |
|
|
Instructions fail the Threshold Value reasonability check edit, but successfully pass all other edits. |
PENDED (PND) Note: ETF Agents can reconcile any PENDED (PND) status instruction with NSCC Support and request reinstatement of the instruction. Ensure this request is received before the end of the Supplemental cycle. |
Note: The final status of an instruction is reported on the End of Day Instruction Create/Redeem Receipt/Reject report (AR 02120098) report. |
Supplemental Create/Redeem Cycle (9:00 P.M. – 11:29:59 P.M.) |
||
|
Instructions pass the reasonability check edits, including:
|
ACCEPTED (ACP) |
|
|
Instructions fail the Negative Settlement Value reasonability check edit. |
REJECTED (REJ) Cannot be reinstated. |
|
Closed to All Submissions Cycle (11:30 P.M. – 12:29:59 A.M.) |
||
|
During this cycle:
|
REJECTED (REJ) |
No UTC contract output is produced for any submitted instructions. |
PCF Submission
The following table shows the PCF submission and PCF output on T-1 with all times reported in Eastern Time:
Release Enhancement Note:
ETF is implementing an enhancement that will add an additional cycle to the PCF submission process. This enhancement, planned to go into effect in May 2022, enables a Primary Cycle and Secondary Cycle. The input and output cutoffs for these cycles have been included in the table.
|
Role |
Responsibility on T-1 |
Report/Output |
|
Fund Manager/ Issuer/Sponsor |
Fund manager or the issuer sends the Portfolio Composition File (PCF) to the ETF Agent. |
- |
|
Index Receipt Agent (ETF Agent) |
Cutoff times for ETF Agent to submit the PCF:
|
Enhanced Consolidated Portfolio Composition Input MRO (DATATRAK 11301) |
|
NSCC |
NSCC edits each PCF submission in near real-time and sends the Enhanced Consolidated Portfolio Composition Receipt Reject report to the ETF Agent in the existing print format, machine readable output (MRO), or both formats. |
Enhanced Consolidated Portfolio Receipt Reject MRO (AR 02261255) |
|
NSCC |
T-1 Consolidated Output cutoff times:
|
Enhanced Consolidated Portfolio Composition Output MRO (AR 02261256). |
|
ETF Agent |
Supplemental process is open. 12:30 A.M. to 12:00 P.M. on T.
Note: If an ETF Agent submits an Enhanced Consolidated Portfolio Composition Input MRO file during the supplemental T process, the DATATRAK header sequence number should be set to 1. Subsequently, if the ETF Agent submits other supplemental files or primary / (T-1) files on the evening of the same processing day, increment the DATATRAK header sequence number accordingly. |
Enhanced Consolidated Portfolio Composition Input MRO (DATATRAK 11301). |
|
NSCC |
|
Enhanced consolidated portfolio composition receipt reject report. (AR 02260421) |
The following table shows the PCF submission and PCF output on T with all times reported in Eastern Time.
|
Role |
Responsibility on T |
Report/Output |
|
NSCC |
12:00 P.M.
1:00 P.M.
|
Enhanced consolidated Portfolio Composition Output MRO (AR 02261256) |