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ETF Timeline from T-1 through T+2

The following tables depict the ETF timeline from T-1 through T+2 (Settlement Day):

T-1

Sequence

Role

Responsibility on T-1

1

Fund Manager/Issuer/Sponsor

The fund manager or the issuer sends a portfolio listing file (PLF) to the index receipt agent.

2

Index Receipt Agent (ETF Agent)

Sends NSCC a portfolio composition file for each ETF for the following trade day. The following protocols may be used:

  • File Transfer Protocol (FTP) via SMART dial-up or via the Internet
  • TCP2
  • NDM (Network Data Mover)
  • ArtMail
  • ArtNet

The portfolio composition file 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 portfolio composition file also includes cash amounts in the fund for each basket unit, such as accrued and balancing amount.

The index receipt agent sends a portfolio composition report/file listing the securities in each ETF to authorized participants. The 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.

T to T+1

Sequence

Role

Responsibility on T to T+1

1

Authorized Participant

Places a creation/redemption order through the distributor.

2

Distributor

Sends the creation/redemption order to the index receipt agent and a confirmation to the fund manager or issuer.

3

Index Receipt Agent (ETF Agent)

After receiving the order from the distributor, the index receipt agent sends NSCC ETF creation instructions on behalf of its authorized participant.

The following protocols may be used:

  • File Transfer Protocol (FTP) via SMART dial-up or via the Internet
  • TCP2
  • NDM (Network Data Mover)
  • ArtMail
  • ArtNet

You can also download print image versions via the DTCC Portal GUI.

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 creation/redemption 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 and assigns that amount as the contract value.

There is also a 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.

Note: Starting in 2012, the cash amount contains only the transaction fee.

T + 1

Role

Responsibility on T + 1

NSCC

NSCC distributes Consolidated Trade Summary Reports.

NSCC distributes CNS Projection Report.

NSCC distributes Non-CNS Consolidated Trade Summary Report for ineligible securities.

T + 2 (Settlement Day)

Sequence

Role

Responsibility on T + 2

1

Authorized Participant

Delivers the underlying components to CNS.

2

NSCC

CNS delivers underlying components to the index receipt agent.

3

Index Receipt Agent (ETF Agent)

Delivers the 50,000 ETF shares to CNS.

4

NSCC

CNS delivers the ETF to the authorized participants. Deliveries are made through DTC book entry with CNS.

ETF Lifecycle - Video

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