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  1. Please note: The primary purpose of this document is to familiarize NSCC members with NSCC’s Enhanced Exchange Traded Fund process. Members should refer to the Rules & Procedures of NSCC for the legal obligations of all parties concerned. This document is not intended to serve as a legal document. All brokerage firms and member numbers are fictional and used for illustration only. No statement in this document should be construed as a legally binding rule or regulation, or as creating an obligation on the part of NSCC.

  2. Enhanced Exchange Traded Fund Process National Securities Clearing Corporation National Securities Clearing Corporation is a subsidiary ofThe Depository Trust & Clearing Corporation

  3. Today’s Agenda • Overall Goals and Objectives • Enhanced Portfolio Composition File Details • New Portfolio Composition File Receipt Report • Testing Setup and Details • New Exchange Trade Fund Web Site Content • Summary

  4. Goals and Objectives Review the enhanced Exchange Traded Fund (ETF) details for Index Receipt Agents and Authorized Participants Review the ETF testing setup and details. Familiarize NSCC participants with the content of the new ETF Section on the nscc.com Web Site.

  5. Enhanced PCF Files Description of new fields for the enhanced Portfolio Composition Files (PCF). Review Domestic and Foreign PCF DATATRAK input files details. (Index Receipt Agents only) Review Domestic and Foreign PCF AutoRoute output MRO files and print image reports details. (Index Receipt Agents and Authorized Participants) Must convert to enhanced formats by March 31, 2006

  6. New Fields Description for the Foreign and Domestic PCFs For both Domestic and Foreign ETF Portfolios: • Add a Total Shares Outstanding per ETF field • Add a Dividend Amount per Index Receipt field • Simplify Negative Cash Reporting

  7. Streamline the Domestic and Foreign PCF Input • Index Receipt Agents DATATRAK Domestic and Foreign Portfolio Composition files enhanced • Additional data elements included on PCF input • PCF Input streamlined to eliminate redundant information • PCF input format mapping from old to new (enhanced) provided

  8. Enhanced PCF Output PFC MRO Output PFC Print Image Output

  9. Enhanced Domestic and Foreign PCF Output • Reflects Streamlined Input from Index Receipt Agents • Incorporates new fields • Shares Outstanding • Dividends • Simplified cash reporting

  10. New Domestic and Foreign PCF Receipt Print Image Report New Nightly Print Image ReportAvailable to Index Receipt Agents - Domestic and Foreign PCF Receipt Report Report provides the Index Receipt Agents with a status of each portfolio and if it’s components were accepted, rejected or warned. Used for both domestic and foreign Portfolio Composition files submitted by the Index Receipt Agent

  11. Domestic and Foreign PCF Receipt Report Domestic and Foreign PCF Receipt Report TRUSTEE XXXX INDEX RECIPT BANK  DOMESTIC PORTFOLIO RECEIPTS   PORTFOLIO NAME STATUS   XXXXXXXXX PORTFOLIO NAME FROM IDX MASTER REJ INCORRECT TRUSTEE FOR PORTFOLIO   XXXXXXXXX ??????????????????? REJ INSTRUCTION CUSIP INVALID   XXXXXXXXX PORTFOLIO NAME-01 WARN 999,999 EXPECTED 999,999 REPORTED XXXXXXXXX PORTFOLIO NAME-02 WARN COMPONENT REJ: XXXXXXXXX INVALID COMPONENT REJ: XXXXXXXXX INVALID 999,999 REPORTED 999,998 ACCEPTED XXXXXXXXX PORTFOLIO NAME-03 OK  XXXXXXXXX PORTFOLIO NAME-04 OK   XXXXXXXXX PORTFOLIO NAME-06 OK   XXXXXXXXX PORTFOLIO NAME-06 OK  XXXXXXXXX PORTFOLIO NAME-07 OK   XXXXXXXXX PORTFOLIO NAME-08 OK XXXXXXXXX PORTFOLIO NAME-09 OK

  12. Domestic & Foreign Portfolios Rejected Conditions • A Domestic Portfolio will be rejected under the following conditions: • Portfolio Instruction ID not on ETF Index Master. • Linked Trade CUSIP not on SMD (Security Master Database) • Entered Trustee not ETF Index Trustee • Trustee not found on Broker Master • Trustee not eligible • Portfolio has no Type 1 record • Portfolio has no Type 2 record (old format) • Portfolio has no Type 3 record

  13. Domestic and Foreign Portfolio Warning Conditions • Portfolios will be warned under the following conditions: • Duplicate Type 1 Record (second is kept, first is discarded) • Duplicate Type 2 Record (second is kept, first is discarded) • Reported Component Count on input header record does not match actual number of components accepted with this portfolio. (actual component count will be on output) • Estimated T-1 Cash Amount Per Creation Unit not numeric • Component Count not numeric • Estimated T-1 Cash Amount per Index Receipt not numeric • Net Asset Value per Creation Unit not numeric • Net Asset Value per Index Receipt not numeric • Total Cash Amount Per Creation Unit not numeric • Total Shares Outstanding not numeric (new format) • Dividend Outstanding not numeric

  14. Domestic & Foreign Component Reject and Warned Conditions • Domestic & Foreign Component will be rejected under the following conditions: • Domestic Component CUSIP was not found; Foreign Sedol or ISIN number not found – (second will be kept and first is discarded) • Domestic or Foreign Share Quantity not numeric • Domestic & Foreign Component will be warned under the following conditions: • Duplicate Component – same component CUSIP, Cedol or ISIN number – (second is kept and first will be discarded). • New Issue indictor neither space or “ N ” – (will set to space)

  15. Enhanced ETF Testing • Review enhanced ETF testing details • ETF testing setup and contacts • Review NSCC’s test environment details • Availability of current ETF testing

  16. Enhanced ETF Testing Details • Testing included for both the Domestic and Foreign files • Enhanced ETF testing is available for both Authorized Participants and Index Receipt Agents • All ETF testing is conducted in the Participant Service Environment (PSE) the DTCC participant testing region. • Authorized Participants can test the enhanced PCF output • Index Receipt Agents can test the enhanced PCF Input / Output files and the new Portfolio Composition Receipt report • All enhanced ETF testing information is contained in an NSCC Important Notice – A6146, P&S 5716, dated 11/10/2005

  17. Authorized Participants Testing Details • Provide participants with testing for both foreign and Domestic PCFs output • Will provide PCF output on a daily basis • Canned file if no Index Receipt Agent is testing • Production and Test have different AutoRoute ID numbers

  18. Index Receipt Agent Testing Details • Provide Index Receipt Agents with testing for both foreign and Domestic PCFs input and output • Available on a daily basis • Also provide testing for the new Portfolio Composition Receipt Report • Index Receipt Agents must submit the enhanced PCF test input to receive test output. • Production and Test have different AutoRoute ID numbers

  19. Test and Production DATATRAK and AutoRoute

  20. PSE Test Environment Details

  21. New ETF Website Section • Review location of new ETF Web Site • Review Content of ETF Web Site • Current and Enhanced formats also available on Web Site

  22. New ETF Web Site Location • New ETF section is located on the formats.nscc.com Web Site • Detailed ETF information is available in a separate section • Current and enhanced ETF file formats is also available on the same Web site in the file formats section

  23. New ETF Web Site Content • Domestic and Foreign ETFs List • ETF Contact List • ETF Testing Details • Index Receipt Agent brochure for ETF Enhancements

  24. Domestic and Foreign ETFs List • Displays Domestic Standard and Foreign ETFs that appear in NSCC’s Portfolio Composition Files. • Domestic Custom ETFs will not be contained in the listing. • Also Displays the NSCC Clearing Number for the Index Receipt Agent associated with the ETF

  25. ETF Contact List • ETF List contains contacts for Exchanges, Product Issuers and Index Receipt Agents • Contacts are by Index product • Telephone numbers for General Index Information • Telephone numbers to Create/Redeem or to become Authorized Participant

  26. ETF Testing Details • Enhanced ETF testing details contained in NSCC Important Notice A6146, P&S 5716 Dated November 10, 2005 • Contains ETF testing connectivity and setup details • ETF testing Details Also contained in this presentation

  27. Index Receipt Agent Brochure • Brochure contains enhancement Information for Index Receipt Agents • Mapping of current to enhanced Domestic and Foreign Portfolio Composition File input • Examples of new Index Receipt Report • Details on Index Receipt Report reject and warning codes • Samples of Domestic and Foreign Portfolio Composition output -Files and Reports.

  28. Still have questions? • Call your DTCC Relationship Manager • Email ryodice@dtcc.com • Go to formats.nscc.com Web site in the “Exchange Traded Fund” section

  29. The End Please continue to visit formats.nscc.com or www.nscc.com to for more information on Enhanced Exchange Traded Fund Processing

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