Early results of T+1 are in, based on a progress statement published by the Depository Trust and Clearing Corporation (DTCC) two days into the shorter settlement cycle. As of 29 May, the affirmation rate by the Depository Trust Company’s (DTC) cutoff time of 9:00PM ET on trade date was 94.55 per cent, up from the 83.5 per cent reported for April in the last progress statement.
Prime broker affirmation rate was 98.6 per cent compared to April’s 92 per cent. Investment manager auto affirmation rate was 97.5 per cent, up from 93 per cent. Custodian or investment manager (self) affirmation rate was 84.29 per cent, an increase from last month’s 62 per cent.
Fail rates have lowered, with the continuous net settlement (CNS) fail rate on 29 May at 1.90 per cent, lower than the May average of 2.01 per cent on T+2. DTC non-CNS fail rate was 2.92 per cent, compared to the May average of 3.24 per cent for T+2 settlements.
DTCC notes the impact of T+1 on clearing fund requirements. The past quarter average value of the National Securities Clearing Corporation (NSCC) clearing fund fell from US$12.8 billion under T+2 to US$9.1 billion under T+1. The past month average value went from US$12.2 billion under T+2 to US$9.1 billion.
The decrease in clearing fund requirements is “enhancing liquidity, increasing efficiency and, mitigating risk for market participants”, says DTCC’s managing director and group chief risk officer Tim Cuddihy.
