ETF Timelines

ETF Agents, also known as Index Receipt Agent, have actions to take and reports to monitor during the different phases 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.

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:

  • File Transfer Protocol (FTP) through SMART dial-up or Internet
  • TCP2
  • NDM (Network Data Mover)

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 =

  • 10 IBM shares
  • 40 MRK shares
  • 30 CSCO shares
  • . . .
  • Cash amount

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
  • Places a Create/Redeem order through the distributor.
  • On the trade (T) date, the agent bank’s Authorized Participant instructs the distributor, agent bank, or both that they want to create or redeem an ETF basket.
2 Distributor
  • Send NSCC the ETF Create/Redeem order on behalf of the Authorized Participant to the ETF Agent.
  • Sends a confirmation to the Fund Manager or Issuer.
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:

  • File Transfer Protocol (FTP) through SMART dial-up or Internet
  • TCP2
  • NDM (Network Data Mover)

ETF Agents can also download print image reports through the ETF Dashboard through the MyDTCC portal.

4 NSCC
  • On the night of T, NSCC sends an instruction detail file showing the details of the creates and redeems to participants with activity. The report serves as the contract for the create/redeem activity.
  • NSCC assigns the closing price on T to each of the components to determine their contract value.
  • NSCC then totals the contract values of all of the components along with the cash amount provided by the ETF Agent and assigns that amount as the contract value.
  • If all securities settle on settlement date the only money that settles through CNS (code 82) is the cash amount. The cash amount that pertains to accumulated dividends, fund fees, and any balancing amount that is applied to the value of the ETF's contractual value. The cash amount is reflected in the consolidated settlement system. The cash amount also contains a transaction fee that is collected on behalf of the agent, but is not guaranteed by NSCC.
  • The transaction fee is sent directly to money settlement and collected through a unique money settlement code on T+2. For standard portfolio’s it is a code 54; for custom standard portfolio’s it is a code 55.

Note: The cash amount contains only the transaction fee.

 

Using the example of the 50,000 ETF shares:

  • ETF Agent Bank: - 50,000 ETF shares (deliver - short) + Components (receive - long).
  • Authorized Participant: + 50,000 ETF shares (receive - long) - Components (deliver - short).

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
(As/Of)

Primary
Cycle (T)

Supplemental
Cycle (T)

Closed

Production 11300/PSE 41300

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)

02120098

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)

02261954

Enhanced Intra-Day Create/Redeem Receipt/Reject Print Image Report

(ETF Agents only)

Immediately After Validation

Immediately After Validation

Immediately After Validation

02081673

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:

  • Negative Settlement Value
  • Threshold Value

PROVISIONALLY ACCEPTED (PRV)

  • Enhanced Intraday Receipt/Reject (AR 02261954)
  • End of Day Instruction Create/Redeem Receipt/Reject (AR 02120098)

Instructions received, where pricing is available upon receipt, are subject to all reasonability check edits, including:

  • Negative Settlement Value
  • Threshold Value

ACCEPTED (ACP)

  • Enhanced Intraday Receipt/Reject (AR 02261954)
  • End of Day Instruction Create/Redeem Receipt/Reject (AR 02120098)

Instructions fail the Negative Settlement Value reasonability check edit.

REJECTED (REJ) and cannot be reinstated.

  • Enhanced Intraday Receipt/Reject (AR 02261954)
  • End of Day Instruction Create/Redeem Receipt/Reject (AR 02120098)

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.

  • Enhanced Intraday Receipt/Reject (AR 02261954)
  • End of Day Instruction Create/Redeem Receipt/Reject (AR 02120098)

Supplemental Create/Redeem Cycle (9:00 P.M. – 11:29:59 P.M.)

Instructions pass the reasonability check edits, including:

  • Negative Settlement Value
  • Threshold Value

ACCEPTED (ACP)

  • Enhanced Intraday Receipt/Reject (AR 02261954)
  • End of Day Instruction Create/Redeem Receipt/Reject (AR 02120098) Cycle 2 at the end of the Supplemental cycle on the date of receipt

Instructions fail the Negative Settlement Value reasonability check edit

REJECTED (REJ) and cannot be reinstated

  • Enhanced Intraday Receipt/Reject (AR 02261954)
  • End of Day Instruction Create/Redeem Receipt/Reject (AR 02120098) Cycle 2 at the end of the Supplemental cycle on the date of receipt

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

  • Enhanced Intraday Receipt/Reject Report (AR 02261954)
  • End of Day Instruction Create/Redeem Receipt/Reject Report (AR 02120098) Cycle 2 at the end of Supplemental Cycle on the date of receipt.

Closed to All Submissions (11:30 P.M. – 12:29:59 A.M.)

During this cycle:

  • ETF DATATRAK file submissions are not accepted.
  • Edits are not processed for any transactions.
  • Accept or reject notifications are not returned.

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:

  • Negative Settlement Value
  • Threshold Value

ACCEPTED (ACP)

Note: If instructions are marked as ACP and received:

  • Between 12:30 A.M. and 4:00 A.M., they await the availability of UTC, which begins at 4:00 A.M.
  • Between 4:00 A.M. and 2:00 P.M., the UTC contract output is produced shortly after being marked ACCEPTED (ACP).
  • 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 1 at the end of the Primary cycle on the date of receipt.

Instructions fail the Negative Settlement Value reasonability check edit.

REJECTED (REJ) and cannot be reinstated

  • 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 1 at the end of the Primary cycle on the date of receipt

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.

  • 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 1 at the end of the Primary cycle on the date of receipt.

Primary Create/Redeem Cycle (2:00 P.M. – 7:59:59 P.M.)

Instructions pass the reasonability check edits, including:

  • Negative Settlement Value
  • Threshold Value

ACCEPTED (ACP)

  • Immediately reported in the Enhanced Intraday Receipt/Reject report (AR 02261954)
  • Included in the End of Day Instruction Create/Redeem Receipt/Reject report Cycle 1 at the end of the Primary cycle on the date of receipt.

Instructions fail the Negative Settlement Value reasonability check edit.

REJECTED (REJ)

Cannot be reinstated.

  • 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 1 at the end of the Primary cycle on the date of receipt.

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.

  • 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 1 at the end of the Primary cycle on the date of receipt.

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:

  • Negative Settlement Value
  • Threshold Value

ACCEPTED (ACP)

 

Instructions fail the Negative Settlement Value reasonability check edit.

REJECTED (REJ)

Cannot be reinstated.

  • 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 1 at the end of the Primary cycle on the date of receipt

Closed to All Submissions Cycle (11:30 P.M. – 12:29:59 A.M.)

During this cycle:

  • ETF DATATRAK file submissions are not accepted.
  • Edits are not processed for any transactions.
  • Accept or reject notifications are not returned.

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:

    • Current: 8:00 P.M.
    • PSE (Test): Planned for May 2022:
      • Primary Cycle: 2:30 – 5:30 P.M.
      • Secondary Cycle: 5:30 P.M. - 6:30 P.M.
    • Production Enhancement: Date to be announced.
      • Primary Cycle: 9 P.M.
      • Secondary Cycle: 10:30 P.M.
  • Agent can submit multiple files through the consolidated file layout 11301 input format.
  • Last accepted version published on the PCF output report and viewable from the ETF Dashboard accessible through the MyDTCC portal. Prior versions are retained by NSCC for audit purposes, but they are not reported to participants.

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:

  • Current: 10:00 P.M.
  • PSE (Test): Planned for May 2022:
    • Primary Cycle: 6:00 P.M.
    • Secondary Cycle: 7:00 P.M.
  • Production Enhancement: Date to be announced.
    • Primary Cycle: 9:30 P.M.
    • Secondary Cycle: 11:00 P.M.
  • System generates the PCF output in the consolidated format. The enhanced consolidated MRO output (AR 02261256) contains all of the individual portfolios for each subscriber.
  • Consolidated PCF layout is produced for all portfolios.
  • All accepted and warned portfolios are distributed. Portfolios that are rejected or are not received in the current submission are carried forward from previous day.

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.

  • Use the supplemental process to modify existing Standard and Custom portfolios.
  • Submit new portfolios through the Consolidated Portfolio Composition Input MRO. Multiple submissions are permitted.

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

  • As each file transmission is processed by the ETF application, a Portfolio Receipt Report and MRO is produced and sent to the ETF Agent.
  • Accepted portfolios overlay the prior submission and are immediately available for viewing within the ETF Dashboard through the MyDTCC portal.

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.

  • Final cutoff time for the supplemental submissions.

1:00 P.M.

  • Supplemental portfolio distribution process begins.
  • After the noon cutoff, the system generates a consolidated PCF output file containing the supplemental portfolios for each subscriber. The same AutoRoute file is used for T and T-1 output.

Enhanced consolidated Portfolio Composition Output MRO

(AR 02261256)

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