T+1 was introduced in the U.S. on Tuesday, May 28, and the industry has been operating on an accelerated settlement cycle since that time.

Affirmation Rates

Our 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)

Statement from Brian Steele, Managing Director, President, Clearing & Securities Services: “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 US$3.7 Billion (29%) from the past quarter average value of US$12.8 Billion to US$9.1 Billion. The NSCC Clearing Fund decreased by US$3.1 billion (25%) from the past month average value of $12.2 billion in a T+2 environment to US$9.1 Billion.

Statement from Tim Cuddihy, Managing Director and Group Chief Risk Officer: “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.”

The Investment Company Institute (ICI), the Securities Industry and Financial Markets Association (SIFMA), and DTCC issued the following statement on the move to T+1:

“With the U.S. T+1 settlement cycle for corporate bonds, municipal bonds, and equities transactions now in place, ICI, SIFMA, and DTCC thank all the stakeholders for their collaboration and support in successfully implementing this historic change to U.S. markets. There was a tremendous amount of partnership and hard work to make T+1 a reality.

“Early indications following T+1 implementation are positive, and we look forward to working closely with firms and key stakeholders in the coming weeks to monitor and address any issues that may arise.

“Shortening the settlement cycle to T+1 promises to deliver greater operational efficiencies and substantially lower margin requirements while reducing risk in the financial system. With T+1 now live, we’ve collectively begun to achieve those benefits together.”

Source: DTCC