DTCC analysis shows that as of May 29, 94.55% of transactions were affirmed by the Depository Trust Company (DTC) cutoff time of 9:00PM ET on trade date. This represents a significant change from the affirmation rate observed at the end of January (73%).
When considering specific market segments as of end of day on May 29:
• Prime broker affirmation rate: 98.6% (up from 81% in January)
• Investment manager auto affirmation (central match) Rate: 97.5% (up from 92% in January)
• Custodian or investment manager (self) affirmation rate: 84.29% (up from 51% in January)
Brian Steele, managing director and president for DTCC’s Clearing & Securities Services, said in a statement: “After working closely with the industry for over three years, we are pleased these efforts are driving a smooth transition, including very high same day affirmation rates, which increased to 94.55% yesterday. While we are proud of this progress, we will continue to collaborate with SIFMA, ICI and the industry to ensure a successful T+1 implementation in the coming days and weeks.”
Fail rates
- CNS Fail Rate: On May 29, the first day of T+1 settlement, the CNS Fail Rate was 1.90%. This is lower than the May average of 2.01% for T+2 settlements.
- DTC Non-CNS Fails Rate: Similarly, on May 29, the DTC Non-CNS Fails Rate was 2.92%. This is lower than the May average of 3.24% for T+2 settlements.
Clearing fund impact
In a T+1 environment, the NSCC Clearing Fund decreased by $3.7 billion (29%) from the past quarter average value of $12.8 billion to $9.1 Billion. The NSCC Clearing Fund decreased by $3.1 billion (25%) from the past month average value of $12.2 billion in a T+2 environment to $9.1 Billion.
Tim Cuddihy, managing director and Group chief risk officer, said in a statement: “One of the key industry benefits of T+1 is the significant decrease in clearing fund requirements, which have decreased by around $4 billion – a significant reduction that is enhancing liquidity, increasing efficiency and mitigating risk for market participants.”