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 of

The 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
Goals and
and Objectives
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
Description of
of new
new fields
fields for
for the
the
enhanced
enhanced Portfolio Composition Files
Portfolio Composition Files
(PCF).
(PCF).

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

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

Must
Must convert
convert to
to enhanced
enhanced formats
formats by
by
March
March 31,
31, 2006
2006
6
 New Fields Description for the Foreign
and Domestic PCFs
Description Current SYSID Enhanced SYSID
Domestic PCF Input 11296 11297
Foreign PCF Input 26363 26364

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
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 Print Image Output

AutoRoute ID # File Name
02260293 Enhanced Domestic Print Image PCF
02120512 Enhanced Foreign Print Image PCF
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
Report Available 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
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 Domestic and Foreign PCF Receipt
Report
AutoRoute ID # File Name
#02260421 Domestic PCF Receipt Report
#02120270 Foreign PCF Receipt Report

Domestic
Domestic and
and Foreign
Foreign PCF
PCF Receipt
Receipt Report
Report

TRUSTEE
TRUSTEE XXXX
XXXX INDEX
INDEX RECIPT
RECIPT BANK
BANK
DOMESTIC
DOMESTIC PORTFOLIO
PORTFOLIO RECEIPTS
RECEIPTS
PORTFOLIO
PORTFOLIO NAME
NAME STATUS
STATUS
XXXXXXXXX
XXXXXXXXX PORTFOLIO
PORTFOLIO NAME
NAME FROM
FROM IDX
IDX MASTER
MASTER REJ
REJ INCORRECT
INCORRECT TRUSTEE
TRUSTEE FOR
FOR PORTFOLIO
PORTFOLIO
XXXXXXXXX
XXXXXXXXX ???????????????????
??????????????????? REJ
REJ INSTRUCTION
INSTRUCTION CUSIP
CUSIP INVALID
INVALID
XXXXXXXXX
XXXXXXXXX PORTFOLIO
PORTFOLIO NAME-01
NAME-01 WARN
WARN 999,999
999,999 EXPECTED
EXPECTED 999,999
999,999 REPORTED
REPORTED

XXXXXXXXX
XXXXXXXXX PORTFOLIO
PORTFOLIO NAME-02
NAME-02 WARN
WARN COMPONENT
COMPONENT REJ:
REJ: XXXXXXXXX
XXXXXXXXX INVALID
INVALID
COMPONENT
COMPONENT REJ:
REJ: XXXXXXXXX
XXXXXXXXX INVALID
INVALID
999,999
999,999 REPORTED
REPORTED 999,998
999,998 ACCEPTED
ACCEPTED

XXXXXXXXX
XXXXXXXXX PORTFOLIO
PORTFOLIO NAME-03
NAME-03 OK
OK
XXXXXXXXX
XXXXXXXXX PORTFOLIO
PORTFOLIO NAME-04
NAME-04 OK
OK
XXXXXXXXX
XXXXXXXXX PORTFOLIO
PORTFOLIO NAME-06
NAME-06 OK
OK
XXXXXXXXX
XXXXXXXXX PORTFOLIO
PORTFOLIO NAME-06
NAME-06 OK
OK
XXXXXXXXX
XXXXXXXXX PORTFOLIO
PORTFOLIO NAME-07
NAME-07 OK
OK
XXXXXXXXX
XXXXXXXXX PORTFOLIO
PORTFOLIO NAME-08
NAME-08 OK
OK
XXXXXXXXX
XXXXXXXXX PORTFOLIO
PORTFOLIO NAME-09
NAME-09 OK
OK
12
 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
13
 Domestic 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
14
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

• 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
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 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 PRODUCTION TEST
MACHINE READABLE INPUT FILES DATATRAK DATATRAK
SYSID 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

PRODUCTION TEST
AUTOROUTE AUTOROUTE
MACHINE READABLE OUTPUT FILES
PRODUCT ID 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

PRODUCTION TEST
PRINT IMAGE OUTPUT REPORTS AUTOROUTE AUTOROUTE
(For Index Receipt Agents and portfolio providers only) PRODUCT ID 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 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

• 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
Displays DomesticE T F L is tin g
F o r e ig n /D o m e s tic T r a d Ti nr ga dSi ny mg bC oUl S I EP T F S e c u r i t y D e s c r i p tIi no nd e x R e c e i p t A g e n t
Standard and Foreign D LQ D 464287242 I S H A R E S G S $ I N V E S T O P S C O R P O R A T2 E7 6B7 D

ETFs that appear in F

F
IX S

IX P
464287267

464287275
I S H A R E S S & P G L O B A L U T I L I T I E S S E C 2T 7O6 R7

I S H A R E S S & P G L O B A L T E L E C O M M U N 2I C7 6A 7T I O N

NSCC’s Portfolio F IX N 464287291 I S H A GR LE OS BSA&LP I N F O R M A T I O N T E C H 2N7 6 7

Composition Files. D

D
PW C

PW O
73935X104

73935X203
P O W E R S H A R E S E T F D Y N A M I C M A R K 2E2 T0 9P T F L .

P O W E R S H A R E S E T F D Y N A M IC O T C 2 2 0 9

D PEY 73935X302 P O W EH RA SR E S H I G H Y I E L D E Q T Y D I V A C2 H2 0I E9

• Domestic Custom ETFs D

D
PGJ

XLG
73935X401

78355W 205
P O W E R S H A R E S G O L D E N D R A G O N H A2 2L 0T 9E R U S X

R Y D E X R U S S E LL T O P 50 E T F 2950

will not be contained in D SPY 78462F103 S P D R U NR-1I T S E 2950

the listing. D

D
XLB

XLV
81369Y100

81369Y209
S E L E C T S E C T O -M
R AS TP ED RR I AF LDS

S E L E C T S E C T O R -HS EP AD LR T FH U CN ADR E
2950

2950

D VCR 92204A108 V A N G U A R D C O N S U M E R D I S C R E T I O N A 1R0 Y9 I N D E X

• Also Displays the NSCC D

D
VDC

VDE
92 04A207

92204A306
V A N G U A R D C O N S U M E R S T A P L E S I N D E1 X0 9F D

V A N G U A R D E N E R G Y IN D E X F U N D 109

Clearing Number for the D VFH 92204A405 V A N G U A R D F IN A N C IA L IN D E X F U N D 109

Index Receipt Agent D

D
VNQ

VBR
922908553

922908611
V A N G U A R D I N D E X F U N D S R E I T V I P E R2 S3 5S7 H S

V A N G U A R D S M A L L C A P V A L U E I N D E X2 3F 5D7

associated with the ETF D VO 922908629 V A N G U A R D M ID C A P IN D E X F D 2357

D VV 922908637 V A N G U A R D L A R G E C A P IN D E X F D 2357

Tuesday, N o vem ber 08, 2005 Page 1 o f 9

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 A #6146

NSCC Important Notice P&S #5716

DATE: NOVEMBER 10, 2005

A6146, P&S 5716 Dated TO: ALL PARTICIPANTS

ATTENTION: MANAGING PARTNER/OFFICER; OPERATIONS

November 10, 2005

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

• Contains ETF testing I. Introduction

NSCC plans to enhance its production Exchange Trade Funds (ETF)1 processes beginning on Friday,

connectivity and setup 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.

details 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 byMarch 31, 2006. NSCC plans to discontinue the old ETF

• ETF testing Details Also

Portfolio Composition files and reports at that time.

AUTHORIZED PARTICIPANTS

contained in this
ETF Participant testing will include the enhanced domestic (both standard/custom) and foreign Portfolio
Composition output files. NSCC strongly recommends thatall 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

presentation
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.
27
 Index Receipt Agent
Brochure
• Brochure contains
enhancement Information
for Index Receipt Agents

• Mapping of current to
enhanced Domestic and
Foreign Portfolio
2005 ETF ENHANCEMENTINFORMATION
Composition File input
FOR INDEX RECEIPT AG
E NTS

• Examples of new Index

Receipt Report
DECEMBER 15, 2005
• 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
Please continue
continue to
to visit
visit formats.nscc.com
formats.nscc.com or
or www.nscc.com
www.nscc.com to
to for
for more
more information
information on
on

Enhanced
Enhanced Exchange
Exchange Traded
Traded Fund
Fund Processing
Processing
30