ETF Presentation

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Please note: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.

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National Securities Clearing Corporation is a subsidiary ofNational Securities Clearing Corporation is a subsidiary ofThe Depository Trust & Clearing CorporationThe Depository Trust & Clearing Corporation

Enhanced Enhanced Exchange Traded Fund Process Exchange Traded Fund Process

National Securities Clearing CorporationNational Securities Clearing Corporation

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Today’s AgendaToday’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

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Goals and Objectives Goals and Objectives

Review the enhanced Review the enhanced Exchange Traded Fund Exchange Traded Fund (ETF) details for Index (ETF) details for Index Receipt Agents and Receipt Agents and Authorized Participants Authorized Participants

Review the ETF testing Review the ETF testing setup and details. setup and details.

Familiarize NSCC Familiarize NSCC participants with the content participants with the content of the new ETF Section on of the new ETF Section on the nscc.com Web Site. the nscc.com Web Site.

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Enhanced PCF FilesEnhanced PCF FilesDescription of new fields for the Description of new fields for the enhanced Portfolio Composition enhanced Portfolio Composition Files (PCF). Files (PCF).

Review Domestic and Foreign PCF Review Domestic and Foreign PCF DATATRAK input files details. DATATRAK input files details. (Index Receipt Agents only) (Index Receipt Agents only)

Review Domestic and Foreign PCF Review Domestic and Foreign PCF AutoRoute output MRO files and AutoRoute output MRO files and print image reports details. (Index print image reports details. (Index Receipt Agents and Authorized Receipt Agents and Authorized Participants) Participants)

Must convert to enhanced formats Must convert to enhanced formats by March 31, 2006 by March 31, 2006

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New Fields Description for the Foreign and Domestic PCFsNew 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

Description Current SYSID Enhanced SYSIDDomestic PCF Input

11296 11297

Foreign PCF Input 26363 26364

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Streamline the Domestic and Foreign PCF InputStreamline 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

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Enhanced PCF OutputEnhanced PCF Output

AutoRoute ID # File Name #02260294 Current Domestic PCF File – Standard #02290193 Enhanced Domestic PCF File – Standard#02260415 Current Domestic PCF File - Customized #02260269 Enhanced Domestic PCF File - Customized#02120511 Current Foreign PCF File#02120156 Enhanced Foreign PCF File

PFC MRO Output

PFC Print Image OutputAutoRoute ID # File Name

02260293 Enhanced Domestic Print Image PCF02120512 Enhanced Foreign Print Image PCF

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Enhanced Domestic and Foreign PCF OutputEnhanced Domestic and Foreign PCF Output

• Reflects Streamlined Input from Index Receipt Agents

• Incorporates new fields

Shares Outstanding

Dividends

Simplified cash reporting

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New Nightly Print Image Report Available to Index Receipt Agents - Domestic and Foreign PCF Receipt ReportReport 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

New Domestic and Foreign PCF Receipt Print Image ReportNew Domestic and Foreign PCF Receipt Print Image Report

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Domestic and Foreign PCF Receipt ReportDomestic and Foreign PCF Receipt Report

Domestic and Foreign PCF Receipt ReportDomestic and Foreign PCF Receipt Report

TRUSTEE XXXX INDEX RECIPT BANKTRUSTEE XXXX INDEX RECIPT BANK

DOMESTIC PORTFOLIO RECEIPTSDOMESTIC PORTFOLIO RECEIPTS

PORTFOLIO NAME PORTFOLIO NAME STATUS STATUS

XXXXXXXXX PORTFOLIO NAME FROM IDX MASTER REJ INCORRECT TRUSTEE FOR XXXXXXXXX PORTFOLIO NAME FROM IDX MASTER REJ INCORRECT TRUSTEE FOR PORTFOLIOPORTFOLIO

XXXXXXXXX ??????????????????? REJ INSTRUCTION CUSIP INVALIDXXXXXXXXX ??????????????????? REJ INSTRUCTION CUSIP INVALID

XXXXXXXXX PORTFOLIO NAME-01 WARN 999,999 EXPECTED 999,999 REPORTEDXXXXXXXXX PORTFOLIO NAME-01 WARN 999,999 EXPECTED 999,999 REPORTED

XXXXXXXXX PORTFOLIO NAME-02 WARN COMPONENT REJ: XXXXXXXXX INVALIDXXXXXXXXX PORTFOLIO NAME-02 WARN COMPONENT REJ: XXXXXXXXX INVALID

COMPONENT REJ: XXXXXXXXX INVALIDCOMPONENT REJ: XXXXXXXXX INVALID

999,999 REPORTED 999,998 ACCEPTED999,999 REPORTED 999,998 ACCEPTED

XXXXXXXXX PORTFOLIO NAME-03 OK XXXXXXXXX PORTFOLIO NAME-03 OK

XXXXXXXXX PORTFOLIO NAME-04 OKXXXXXXXXX PORTFOLIO NAME-04 OK





XXXXXXXXX PORTFOLIO NAME-09 OKXXXXXXXXX PORTFOLIO NAME-09 OK

AutoRoute ID # File Name#02260421 Domestic PCF Receipt Report#02120270 Foreign PCF Receipt Report

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Domestic & Foreign Portfolios Rejected Conditions Domestic & Foreign Portfolios Rejected Conditions

A Domestic Portfolio will be rejected under the following conditions:

1. Portfolio Instruction ID not on ETF Index Master.

2. Linked Trade CUSIP not on SMD (Security Master Database)

3. Entered Trustee not ETF Index Trustee

4. Trustee not found on Broker Master

5. Trustee not eligible

6. Portfolio has no Type 1 record

7. Portfolio has no Type 2 record (old format)

8. Portfolio has no Type 3 record

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Domestic and Foreign Portfolio Warning ConditionsDomestic and Foreign Portfolio Warning Conditions

Portfolios will be warned under the following conditions:

1. Duplicate Type 1 Record (second is kept, first is discarded)

2. Duplicate Type 2 Record (second is kept, first is discarded)

3. 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)

4. Estimated T-1 Cash Amount Per Creation Unit not numeric

5. Component Count not numeric

6. Estimated T-1 Cash Amount per Index Receipt not numeric

7. Net Asset Value per Creation Unit not numeric

8. Net Asset Value per Index Receipt not numeric

9. Total Cash Amount Per Creation Unit not numeric

10. Total Shares Outstanding not numeric (new format)

11. Dividend Outstanding not numeric

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Domestic & Foreign Component Reject and Warned Conditions Domestic & Foreign Component Reject and Warned Conditions

Domestic & Foreign Component will be rejected under the following conditions:

1. Domestic Component CUSIP was not found; Foreign Sedol or ISIN number not found – (second will be kept and first is discarded)

2. Domestic or Foreign Share Quantity not numeric

Domestic & Foreign Component will be warned under the following conditions:

1. Duplicate Component – same component CUSIP, Cedol or ISIN number – (second is kept and first will be discarded).

2. New Issue indictor neither space or “ N ” – (will set to space)

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Enhanced ETF Testing Enhanced ETF Testing

• Review enhanced ETF testing details

• ETF testing setup and contacts

• Review NSCC’s test environment details

• Availability of current ETF testing

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Enhanced ETF Testing DetailsEnhanced 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

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Authorized Participants Testing DetailsAuthorized 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

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Index Receipt Agent Testing Details 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

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Test and Production DATATRAK and AutoRoute Test and Production DATATRAK and AutoRoute

MACHINE READABLE INPUT FILES

PRODUCTION DATATRAK

SYSID

TEST DATATRAK

SYSID Current Domestic DATATRAK Portfolio Composition File 11296 41296 Enhanced Domestic DATATAK Portfolio Composition File 11297 41297 Current Foreign DATATRAK Portfolio Composition File 26363 46363 Enhanced Foreign DATATRAK Portfolio Composition File 26364 46364

MACHINE READABLE OUTPUT FILES

PRODUCTION AUTOROUTE PRODUCT ID

TEST AUTOROUTE PRODUCT ID

Current Domestic AutoRoute Portfolio Composition File 02260294 02980294 Enhanced Domestic AutoRoute Portfolio Composition File 02260193 02980193 Current Domestic AutoRoute Portfolio Composition File - Customized 02260415 02980415 Enhanced Domestic AutoRoute Portfolio Composition File - Customized 02260269 02980269 Current Foreign AutoRoute Portfolio Composition File 02120511 02980511 Enhanced Foreign AutoRoute Portfolio Composition File 02120156 02980156

PRINT IMAGE OUTPUT REPORTS

(For Index Receipt Agents and portfolio providers only)

PRODUCTION AUTOROUTE PRODUCT ID

TEST AUTOROUTE PRODUCT ID

New Domestic AutoRoute Portfolio Composition Receipt Report 02260421 02980421 New Foreign AutoRoute Portfolio Composition Receipt Report 02120270 02980270

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PSE Test Environment DetailsPSE Test Environment Details

PSE characteristics for ETF Participants and Index Receipt Agents

PSE testing is available Monday through Friday. All functionality (current and enhanced) of the

ETF System will be available in PSE. The environment will run with a production date

minus one The environment will run with the following

modified PSE input and output timeframes: PSE modified ETF testing input - To receive

same day ETF output, ETF input must be received by 12 Noon ET.

PSE modified ETF testing output - Will be generated at approximately 3:00 P.M. ET.

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New ETF Website Section 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

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New ETF Web Site LocationNew 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

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New ETF Web Site ContentNew ETF Web Site Content

• Domestic and Foreign ETFs List

• ETF Contact List

• ETF Testing Details

• Index Receipt Agent brochure for ETF Enhancements

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Domestic and Foreign ETFs ListDomestic 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

ETF Listing Foreign/Domestic Trading Symbol Trading CUSIP ETF Security Description Index Receipt Agent D LQD 464287242 ISHARES GS $INVESTOPS CORPORATE BD 2767 F IXS 464287267 ISHARES S&P GLOBAL UTILITIES SECTOR 2767 F IXP 464287275 ISHARES S&P GLOBAL TELECOMMUNICATION 2767 F IXN 464287291 ISHARES S&P GLOBAL INFORMATION TECHN 2767 D PWC 73935X104 POWER SHARES ETF DYNAMIC MARKET PTFL. 2209 D PWO 73935X203 POWER SHARES ETF DYNAMIC OTC 2209 D PEY 73935X302 POWERSHARES HIGH YIELD EQTY DIV ACHIE 2209 D PGJ 73935X401 POWERSHARES GOLDEN DRAGON HALTER USX 2209 D XLG 78355W205 RYDEX RUSSELL TOP 50 ETF 2950 D SPY 78462F103 SPDR UNIT SER-1 2950

D XLB 81369Y100 SELECT SECTOR SPDR FD-MATERIALS 2950 D XLV 81369Y209 SELECT SECTOR SPDR FUND-HEALTH CARE 2950 D VCR 92204A108 VANGUARD CONSUMER DISCRETIONARY INDEX 109 D VDC 92204A207 VANGUARD CONSUMER STAPLES INDEX FD 109 D VDE 92204A306 VANGUARD ENERGY INDEX FUND 109 D VFH 92204A405 VANGUARD FINANCIAL INDEX FUND 109 D VNQ 922908553 VANGUARD INDEX FUNDS REIT VIPERS SHS 2357 D VBR 922908611 VANGUARD SMALL CAP VALUE INDEX FD 2357 D VO 922908629 VANGUARD MID CAP INDEX FD 2357 D VV 922908637 VANGUARD LARGE CAPINDEX FD 2357

Tuesday, November 08, 2005 Page 1 of 9

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ETF Contact ListETF 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

27ETF Testing Details 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

A #6146 P&S #5716

DATE: NOVEMBER 10, 2005

TO: ALL PARTICIPANTS

ATTENTION: MANAGING PARTNER/OFFICER; OPERATIONS PARTNER/OFFICER; MANAGER P&S DEPARTMENT; MANAGER DATA PROCESSING DEPARTMENT

FROM: PRODUCT MARKETING & DEVELOPMENT SUBJECT: PARTICIPANT AND INDEX RECEIPT AGENT TESTING DETAILS

FOR ENHANCED EXCHANGE TRADED FUND PROCESSING I. Introduction NSCC plans to enhance its production Exchange Trade Funds (ETF)1 processes beginning on Friday, November 18, 2005. The ETF Participant enhancement details were described in NSCC Important Notice A#6104, P&S #5674, issued on September 2, 2005 and the Index Receipt Agents details were described in a brochure titled “2005 ETF Enhancement Information for Index Receipt Agents” issued on September 20, 2005. Beginning on Monday, November 14 2005, NSCC will provide Participants who subscribe to the portfolio files, as well as Index Receipt Agents, the ability to test the enhanced ETF formats . The testing will be conducted in the “Participant Service Environment” (PSE). NSCC will provide testing support for both the current and new formats through March 31, 2006. NSCC Participants and Index Receipt Agents must convert to the new enhanced ETF file and report formats by March 31, 2006. NSCC plans to discontinue the old ETF Portfolio Composition files and reports at that time. AUTHORIZED PARTICIPANTS ETF Participant testing will include the enhanced domestic (both standard/custom) and foreign Portfolio Composition output files. NSCC strongly recommends that all participants currently receiving these files test the enhanced formats in the PSE prior to converting to the enhanced file formats in production. A listing of the production and testing AutoRoute Job ID numbers is contained in Attachment A.

1 Within this notice, the terms ETF, Index Share and Index Receipt are interchangeable.

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Index Receipt Agent Brochure 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.

2005 ETF ENHANCEMENT INFORMATION

FOR INDEX RECEIPT AGENTS

DECEMBER 15, 2005

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Still have questions?Still have questions?

• Call your DTCC Relationship Manager

• Email [email protected]

• Go to formats.nscc.com Web site in the “Exchange Traded Fund” section

mailto:[email protected]

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The EndThe EndPlease continue to visit Please continue to visit formats.nscc.comformats.nscc.com or or www.nscc.comwww.nscc.com to for more information on to for more information on

Enhanced Exchange Traded Fund Processing Enhanced Exchange Traded Fund Processing

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