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+1 (Settlement Day), including responsibility for each role and the reports that you should monitor. Log in to view all the content available in the Learning Center.
Trade Date Minus One Day (T-1)
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
T0 Same Day Settlement (SDS) Cycle
The T0 Same Day Settlement Create/Redeem cycle includes the submission of a Cash Collateral Amount (buffer) and EOD Collateral Cash Adjustment (true-up).
- NSCC developed a same day settling T0 Create/Redeem cycle.
- T0 cycle includes a true-up to end of day net asset value (NAV) as the T0 Create/Redeem cycle is processed for NSCC eligible funds using the prior day NAV.
- T0 cycle opens at 12:30 AM ET with a hard cutoff at 1:30 PM ET.
- NSCC distributes the IDB for all T0 orders received before 12:15 PM on the 12:30 PM Instruction Detail Blotter (IDB) distribution.
- NSCC distributes all T0 orders received in the T0 cycle (12:30 AM – 1:30 PM) on the 9:00 PM IDB distribution, including all T0 orders processed between 12:15 PM and 1:30 PM ET.
- NSCC streams trades resulting from T0 orders to Universal Trade Capture (UTC) in near real-time, beginning when the UTC start of day opens.
Trade Date (T)
- On Trade Date, NSCC reports the details of Create/Redeem 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.
- Transaction fees are sent directly to money settlement and are collected through a unique money settlement code.
The following table shows the Trade Date timeline with all times reported in Eastern Time.
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 Create/Redeem that were received.
- 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.
- 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+1.
The following table shows the T+1 timeline:
Reports to Monitor
During T+1, NSCC distributes the following reports that you should monitor:
- CNS Daytime Settlement Activity Statement
- Miscellaneous Activity Report
- CNS Accounting Summary
- Cash Reconciliation Statement
- NSCC Final Settlement Statement
- CNS Nighttime Settlement Activity Statement.
- Consolidated Trade Summary reports.
- CNS Projection report.
- Non-CNS Consolidated Trade Summary Report for ineligible securities.
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 in the Primary cycle is 8:45 PM and the cutoff for the T0 Same Day Settling (SDS) cycle is 1:30 PM.
- T0 SDS cycle opens at 12:30 AM and close at 1:30 PM on trade date.
- 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 PM, which is the beginning of the Supplemental cycle.
The following table shows the Create/Redeem input cycles for ETF Agents only.
The following table shows the Create/Redeem output cycles for ETF Agents and Authorized Participants with all times reported in Eastern Time:
Click to expand and view information about the ETF Regular Way and Shortened Settlement Instructions, including logic.
Important:
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. NSCC accepts and processes orders for "As Of" and SDS in the Intraday cycle. 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.
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 1:30 PM on the settlement date.
- Instruction in any status other than ACCEPTED (ACP) at 1:30 PM are immediately assigned the REJECTED (REJ) status and cannot be reinstated.
- Instructions received after 1:30 PM 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
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.
The following table shows the PCF submission and PCF output on T with all times reported in Eastern Time.