May Appendices A 1

Transcription

1 May 2011 Appendices A 1

2 FTSE All-Share Review May 2011 Appendices Table of Contents Appendices A-3 About the FTSE All-Share Index A-5 Ground rules governing free float A-6 Industry Classification Benchmark (ICB) A-8 User guide to the FTSE All-Share Review A-13 Guide to terminology A 2

3 May 2011 About the FTSE All-Share Index The FTSE All-Share Index is a market-capitalisation weighted index representating the performance of all eligible companies listed on the London Stock Exchange s main market, which pass screening for size and liquidity. The FTSE All-Share Index is considered to be the best performance measure of the overall London equity market, with the vast majority of UK-focused money invested in funds tracking it. The Index is the aggregation of the FTSE 100, FTSE 250, FTSE 350 and FTSE Small Cap Indices (approximately 98% of the UK's market capitalisation). The FTSE All-Share Index was originally called the FT Actuaries UK Share at its inception in The index was enhanced with the addition of two new subindices, namely the FTSE 100 and FTSE 250 in January 1982 and October 1992, respectively. The table below illustrates how the index family is structured under the FTSE All-Share Index Series umbrella, where the shaded blocks indicate the indices which have detailed sections within the FTSE All-Share Review publication. The index family is underpinned by the Industry Classification Benchmark (ICB) classification system which is explained later in this Appendix. FTSE All-Share Index FTSE 100 (Large cap) FTSE 250 (Mid cap) FTSE Small Cap FTSE 350 (Large + Mid cap) FTSE Small Cap FTSE 350 (HigherYield) FTSE 350 (Lower Yield) FTSE Small Cap Industry Classification Benchmark (ICB) 10 Industries 19 Supersectors 41 Sectors 114 Subsectors The FTSE All-Share Index comprises approximately 627 stocks. FTSE aims to capture up to 98% of the investable market capitalisation of the UK domiciled market, incorporating large, medium and small cap stocks. Guiding principles for the FTSE All-Share Index Transparency on all issues concerning the management of and changes to the FTSE All-Share Index. Strict, widely published, rules-based methodology. Rules-driven, independent committee of market practitioners who oversee the indices. Committee decisions are made public in a timely manner to aid users of the index. Eligible securities Only premium listed equity shares, as defined by the UK Financial Services Authority in its Listing Rules Sourcebook, which have been admitted to trading to the London Stock Exchange, are eligible for inclusion in the FTSE UK index series. To be included in the FTSE All-Share Index, a security must meet the following criteria: Traded on the London Stock Exchange SETS and SETSmm trading systems. Company is legally incorporated in the UK and has its sole listing in the UK. Accurate and timely data and pricing information must be available. Adequate liquidity must exist. Appendices A 3 A secondary line will be eligible for index inclusion if its full market capitalisation is greater than 25% of the full market capitalisation of the company s principal line and the second line is eligible, in its own right, under the Ground Rules. Should the full market capitalisation of a secondary line, which is already a constituent of the FTSE All-Share Index or the FTSE Fledgling Index, fall below 20% of the full market capitalisation of the company s principal line at an annual review, the secondary line will be deleted from the relevant index unless its full market capitalisation remains above the qualification level for continued inclusion as a constituent of the FTSE All-Share Index at that review. Convertible preference shares and loan stocks will be excluded until converted into eligible equity shares. Constituent classification Sector classifications for all FTSE index constituents, including the FTSE All-Share Index, are defined by the ICB classification system. The ICB sector designations are listed below, with further guidance provided on the website at Index review The index is reviewed quarterly, with advance notification given of any changes to constituents via financial newswires and to ensure that indices continue to reflect market reality. Details of the committees governing the FTSE All-Share Index are given later in this document. A schedule of quarterly reviews is provided on Rules-based methodology As with all FTSE indices, the FTSE All-Share Index is strictly rules-based to ensure consistency and transparency. Therefore, the Ground Rules for the FTSE All-Share Index are published as widely as possible to allow anyone tracking the index to anticipate changes and accurately replicate the index. A full set of the Ground Rules for the Management of the UK series of the FTSE Actuaries Share Indices is available on A 3

4 FTSE All-Share Review May 2011 Strict governance by committees of market practitioners The FTSE All-Share Index is managed and maintained by independent committees of market practitioners. Committee members are responsible for deciding the treatment of complex corporate actions, as well as any necessary changes to the Ground Rules. Practitioner committees are essential in ensuring that FTSE indices reflect and deal with current issues affecting international investors. A description of the responsibilities of each committee involved in the management of the FTSE All-Share Index is provided later in this section. Constituent selection Inclusion screens. To ensure the FTSE All-Share Index is investable, eligible securities are subject to three screens: Securities comprising up to 95% of UK s full market capitalisation are included At least 15% of constituents shares have to be available for public investment Liquidity screens stipulate that existing constituents must trade at least 0.035% of their shares in issue per month in ten out of the twelve months prior to quarterly review. New issues which do not have a twelve month trading record must have a minimum 20 day trading record when reviewed. Free float. FTSE All-Share Index constituents are adjusted for free float and weighted according to how much share capital is available for public investment. This achieves the most accurate and neutral market representation possible: meaning that only shares you can own are included in the index. FTSE has chosen to apply free float restrictions in weighted bands. The bands are narrow at the lower end of the scale where greater sensitivity is required for an accurate representation. At the higher end, broader bands are applied. With this methodology, the weightings of the larger companies do not fluctuate unless a significant corporate event has occurred. This process accurately reflects the investability of a company, without subjecting the investor to frequent rebalancing transactions associated with a precise free float methodology. Please refer to the more detailed notes on free float rules later in this section. Indices within the FTSE All-Share Index Series This document also contains information on the FTSE 100 Index, FTSE 250 Index, FTSE 350 Index and the FTSE Small Cap Index. Each of these indices is managed and maintained under the Europe/Middle East/Africa Regional Committee structure. The FTSE 100 Index The FTSE 100 comprises the largest 100 companies (large cap) in the FTSE All-Share Index. The index is a market-capitalisation weighted index representating the performance of the 100 largest UK-domiciled blue chip companies, which pass screening for size and liquidity. The index represents approximately 85% of the UK's market capitalisation and is suitable as the basis for investment products, such as funds, derivatives and ETFs. FTSE 100 constituents are all traded on the London Stock Exchange's SETS trading system. The FTSE 250 Index The FTSE 250 comprises the next largest 250 (mid cap) companies ranked by full market capitalisation, in the FTSE All-Share Index. The index is capitalisation-weighted index of the mid-capitalised companies traded on the London Stock Exchange. The index is designed to measure the performance of the mid-cap capital and industry segments of the UK market not covered by the large cap FTSE 100 index, which pass screening for size and liquiditiy. The FTSE 250 Index represents approximately 12.9% of the UK market capitalisation. FTSE 250 Index constituents are traded on the London Stock Exchange's SETS and SETSmm trading systems. The FTSE 350 Index The FTSE 350 Index comprises the companies in the FTSE 100 Index and the FTSE 250 Index. The FTSE 350 Yield Indices Companies within the FTSE 350 Index that have an annualised dividend yield above the average yield of the FTSE 350 Index are placed in the FTSE 350 Higher Yield Index. Securities with an annualised dividend yield below the average yield of the FTSE 350 Index are placed in the FTSE 350 Lower Yield Index. The total capitalisation of each yield index should be the same, each representing 50% of the total capitalisation of the FTSE 350 Index. The FTSE Small Cap Index The FTSE Small Cap Index comprises the companies within the FTSE All-Share Index which are not large enough to be constituents of the FTSE 350 Index. Data on FTSE indices FTSE can supply daily updated data products giving constituent lists, index values and corporate actions for the FTSE All-Share Index and its sub-indices. These products are available either direct from FTSE, or via all major data vendors. More details on how to access these products are available from FTSE. Daily updated constituent lists and closing end of day values for the FTSE All-Share index are available on A 4

5 May 2011 Ground rules governing free float stock weightings in the FTSE All-Share Index Constituent weightings used to calculate the FTSE All-Share Index are adjusted to reflect available free float including cross-holdings and foreign ownership limits. Factors used to adjust each constituent weighting are given in the stock level reports in this document. Free float adjusted constituent weightings are known as investability weights. I. Free float restrictions include: a) trade investments in an index constituent either by another constituent (i.e., cross-holdings), or non-constituent company, or entity b) significant long term holdings by founders, their families and/or directors c) employee share schemes (if restricted) d) government holdings e) foreign ownership limits f) portfolio investments subject to a lock in clause, for the duration of that clause. II. The following are not considered as restricted free float: a) portfolio investments b) nominee holdings (including those supporting ADRs / GDRs), unless they represent restricted free float as defined by rule I above c) holdings by investment companies. III. Free float restrictions will be calculated using available published information. FTSE uses a banded structure to adjust constituent weightings for free float in the index. The investability weight of a constituent in the index will be determined as follows: a) free float less than or equal to 15% = see rule (IV) below b) free float greater than 15% but less than or equal to 20% = 20% c) free float greater than 20% but less than or equal to 30% = 30% d) free float greater than 30% but less than or equal to 40% = 40% e) free float greater than 40% but less than or equal to 50% = 50% f) free float greater than 50% but less than or equal to 75% = 75% g) free float greater than 75% = 100% IV. However, a company that has a free float greater than 5% but less than or equal to 15% will be eligible for the index provided the market capitalisation of its available float is greater than the average free float capitalisation of a company within the index, and it qualifies in all other respects. The actual free float will be rounded up to the next highest whole number. V. The FTSE UK Indices will be periodically reviewed for changes in free float. These reviews will coincide with the quarterly reviews undertaken by the FTSE Regional Committee. VI. A constituent s free float will also be reviewed and adjusted if necessary following a corporate event. If the corporate event includes a corporate action which affects the index, any change in free float will be implemented at the same time as the corporate action. If there is no corporate action, the change in free float will be applied as soon as practicable after the event. All changes in a constituent s investability weight within the index are subject to rule (VII) below. Appendices A 5 VII. Following the application of an initial free float restriction, a constituent s free float will only be changed if its actual free float moves to more than 5 percentage points above the minimum or more than 5 percentage points below the maximum of an adjacent band. This 5 percentage points threshold does not apply if the change is greater than 10 percentage points for the bands between 20% and 50% and 25 percentage points for the bands between 50% and 100% or to the 15% limit in (IV)). A full copy of the Ground Rules for the FTSE All-Share Index is available on Committee structure for the management of changes affecting the FTSE All-Share Index FTSE Policy Group FTSE Equity Indices Committee Regional Committees ICB Advisory Committee Nationality Working Party Responsible for determining major policy issues and monitoring the activities of the FTSE Equity Indices Committee. Responsible for maintaining the Ground Rules for the management of the FTSE All-Share Index. The FTSE Equity Indices Committee has established three Regional Committees: FTSE Europe/Middle East/Africa Regional Committee FTSE Asia/Pacific Regional Committee FTSE Americas Regional Committee. The FTSE Europe/Middle East/Africa Regional Committee undertake the quarterly reviews of the FTSE All-Share Index and ensure that constituent changes and index calculations are made in accordance with the Ground Rules. Responsible for the industry classification of constituents of the FTSE All-Share Index, as defined by the ICB classification system. Makes recommendations on the appropriate nationality of stocks for consideration by the FTSE Equity Indices Committee. A schedule of committee meetings and lists of the countries to be reviewed at each meeting is available on A 5

6 FTSE All-Share Review May 2011 The Industry Classification Benchmark (ICB) The primary purpose of the Industry Classification Benchmark (ICB) is to provide a service to investors in quoted equity securities by grouping companies within homogenous subsectors. Subsectors are grouped into Sectors and Sectors are aggregated into Supersectors, which are further aggregated into Industries. The ICB Advisory Committee provides advice in the allocation of companies to their subsectors, as well as changes to the rules for classifying companies and changes in a company s classification. The basic information used for the classification of a company is the audited accounts and directors' report. Where a company carries on two or more classes of business that differ substantially from each other, the ICB Advisory Committee bases its determinations on the accounting segmentation published in the audited accounts and directors report. A company will be allocated to the subsector whose definition most closely fits the source of revenue or where it constitutes a majority of the revenue. A full copy of the Ground Rules for the Industry Classification Benchmark classification system and detailed definitions of each classification designation are available from FTSE or Industry Supersector Sector Subsector 0001 Oil & Gas 0500 Oil & Gas 0530 Oil & Gas Producers 0533 Exploration & Production 0537 Integrated Oil & Gas 0570 Oil Equipment & Services 0573 Oil Equipment & Services 0577 Pipelines 0580 Alternative Energy 0583 Renewable Energy Equipment 0587 Alternative Fuels 1000 Basic Materials 1300 Chemicals 1350 Chemicals 1353 Commodity Chemicals 1357 Specialty Chemicals 1700 Basic Resources 1730 Forestry & Paper 1733 Forestry 1737 Paper 1750 Industrial Metals & Mining 1753 Aluminum 1755 Nonferrous Metals 1757 Iron & Steel 1770 Mining 1771 Coal 1773 Diamonds & Gemstones 1775 General Mining 1777 Gold Mining 1779 Platinum & Precious Metals 2000 Industrials 2300 Construction & Materials 2350 Construction & Materials 2353 Building Materials & Fixtures 2357 Heavy Construction 2700 Industrial Goods & Services 2710 Aerospace & Defense 2713 Aerospace 2717 Defense 2720 General Industrials 2723 Containers & Packaging 2727 Diversified Industrials 2730 Electronic & Electrical Equipment 2733 Electrical Components & Equipment 2737 Electronic Equipment 2750 Industrial Engineering 2753 Commercial Vehicles & Trucks 2757 Industrial Machinery 2770 Industrial Transportation 2771 Delivery Services 2773 Marine Transportation 2775 Railroads 2777 Transportation Services 2779 Trucking 2790 Support Services 2791 Business Support Services 2793 Business Training & Employment Agencies 2795 Financial Administration 2797 Industrial Suppliers 2799 Waste & Disposal Services 3000 Consumer Goods 3300 Automobiles & Parts 3350 Automobiles & Parts 3353 Automobiles 3355 Auto Parts 3357 Tires 3500 Food & Beverage 3530 Beverages 3533 Brewers 3535 Distillers & Vintners 3537 Soft Drinks 3570 Food Producers 3573 Farming & Fishing 3577 Food Products 3700 Personal & Household Goods 3720 Household Goods & Home Construction 3722 Durable Household Products 3724 Nondurable Household Products 3726 Furnishings 3728 Home Construction 3740 Leisure Goods 3743 Consumer Electronics 3745 Recreational Products A 6

7 May Toys 3760 Personal Goods 3763 Clothing & Accessories 3765 Footwear 3767 Personal Products 3780 Tobacco 3785 Tobacco 4000 Health Care 4500 Healthcare 4530 Health Care Equipment & Services 4533 Health Care Providers 4535 Medical Equipment 4537 Medical Supplies 4570 Pharmaceuticals & Biotechnology 4573 Biotechnology 4577 Pharmaceuticals 5000 Consumer Services 5300 Retail 5330 Food & Drug Retailers 5333 Drug Retailers 5337 Food Retailers & Wholesalers 5370 General Retailers 5371 Apparel Retailers 5373 Broadline Retailers 5375 Home Improvement Retailers 5377 Specialized Consumer Services 5379 Specialty Retailers 5500 Media 5550 Media 5553 Broadcasting & Entertainment 5555 Media Agencies 5557 Publishing 5700 Travel & Leisure 5750 Travel & Leisure 5751 Airlines 5752 Gambling 5753 Hotels 5755 Recreational Services 5757 Restaurants & Bars 5759 Travel & Tourism 6000 Telecommunications 6500 Telecommunications 6530 Fixed Line Telecommunications 6535 Fixed Line Telecommunications 6570 Mobile Telecommunications 6575 Mobile Telecommunications 7000 Utilities 7500 Utilities 7530 Electricity 7535 Conventional Electricity 7537 Alternative Electricity 7570 Gas, Water & Multiutilities 7573 Gas Distribution 7575 Multiutilities 7577 Water 8000 Financials 8300 Banks 8350 Banks 8355 Banks 8500 Insurance 8530 Nonlife Insurance 8532 Full Line Insurance 8534 Insurance Brokers 8536 Property & Casualty Insurance 8538 Reinsurance 8570 Life Insurance 8575 Life Insurance 8600 Real Estate 8630 Real Estate Investment & Services 8633 Real Estate Holding & Development 8637 Real Estate Services 8670 Real Estate Investment Trusts 8671 Industrial & Office REIT 8672 Retail REIT 8673 Residential REIT 8674 Diversified REIT 8675 Specialty REIT 8676 Mortgage REIT 8677 Hotel & Lodging REIT 8700 Financial Services 8770 Financial Services 8771 Asset Managers 8773 Consumer Finance 8775 Specialty Finance 8777 Investment Services 8779 Mortgage Finance 8980 Equity Investment Instruments 8985 Equity Investment Instruments 8990 Nonequity Investment Instruments 8995 Nonequity Investment Instruments 9000 Technology 9500 Technology 9530 Software & Computer Services 9533 Computer Services 9535 Internet 9537 Software 9570 Technology Hardware & Equipment 9572 Computer Hardware 9574 Electronic Office Equipment 9576 Semiconductors 9578 Telecommunications Equipment The Industry Classification Benchmark (ICB) is jointly owned by FTSE International Limited (FTSE) and CME Group Index Services LLC (CME). FTSE International Limited and CME Group Index Services LLC. All rights reserved. Appendices A 7 A 7

8 FTSE All-Share Review May 2011 User guide to the FTSE All-Share Index Series UK Monthly Review Introduction The FTSE All-Share Index Series UK Monthly Review provides month-end data for the FTSE All-Share Index and component indices, including the FTSE 100 Index, FTSE 250 Index, FTSE 350 Index and the FTSE Small Cap Index. UK Index - Performance Report These reports give details of capital return and total return at country level, for the FTSE 100 Index, FTSE 250 Index, FTSE 350 Index and the FTSE Small Cap Index. Data is presented in Pounds Sterling. Yld % Valuation Data Capital Return Total Return P/E P/B P/CE P/S ROE UK Index Index 1M 3M YTD 12M Index 1M 3M YTD % % % % % % % 12M % MCap GBP (mn) Index Wgt % No of Stocks Yield % Price/ Earnings Price/Book Value Price/Cash Earnings Price/Sales Return on Equity (ROE Aggregates Index Capital Return (Index Value) The dividend yield for the index. Aggregate fundamental data ratios, except aggregate ROE, are calculated based on the sum of each individual constituent s market capitalisation (adjusted for free float) divided by: the sum of the product of market capitalisation (adjusted for free float) multiplied by the reciprocal of the valuation ratio for each constituent. Aggregate ROE is the sum of weighted ROE values. Weighting is based on average equity allocated to that security based on its index market capitalisation, proportionate to total company market capitalisation. Where valuation ratios for individual constituents are not available, data values for these constituents are excluded from the corresponding aggregate calculation(s). See the glossary section for individual constituents level fundamental data item definitions for P/E, P/B, P/CE, P/S and ROE. The name of the UK index to which the data relates Capital Return (Performance) Total Return (Index Value) Total Return (Performance) MCap GBP (mn) Index Weight % No of Stocks The performance of the capitalisation weighted index (adjusted for special dividends) in the last month (1M), the last three months (3M), in the last calendar year (12M) and since the start of the calendar year (YTD). The value on the report date of the total return index. The performance of the total return index (adjusted for special dividends) in the last month (1M), the last three months (3M), in the last year (12M) and since the start of the year (YTD). The total market capitalisation of stocks in the index in million denominations of Pound Sterling currency. The % weight of the stock within the given index i.e. FTSE All-Share Index, FTSE 100 Index, FTSE 250, FTSE 350 or FTSE Small Cap Index. The number of stocks in the index. The value on the report date of the capitalisation weighted index. Relative Performance Charts UK indices and industry/sector performance relative to the given index for 1-month and 12-month time periods. Reports in the UK Index section The following summary reports are provided in the UK Index section of the FTSE All-Share Review for the FTSE All-Share Index, FTSE 100 Index, FTSE 250, FTSE 350 and FTSE Small Cap Index, unless otherwise stated Market Capitalisation Reports This report gives the market capitalisation for each market broken down by industry level and sector level and totals by index, industry and sector. Market Count Reports Number of Stocks This report gives the number of stocks in each market broken down by industry level and sector level and totals by index, industry and sector. Industry/Sector Weights (bp) Reports This report gives the weight of each industry level and sector level, in basis points and totals by index, industry and sector. Industry/Sector Weights (by index) Reports This report is gives the weight of each industry level and sector level within each index and shows the breakdown of sector weights in the total index. Index Weights (by Industry/Sector) Reports This report is gives the weight of each market broken down by industry level and sector level and shows the breakdown of index weights in the total index. Index Dividend Yield % (by Industry/Sector) Reports This report is gives the percentage dividend yield of each market broken down by industry level and sector level and shows the breakdown of index yields in the total index. Index Price to Book (by Industry/Sector) Reports This report gives the price to book ratio of each market broken down by industry level and sector level and shows the breakdown of index price to book ratios in the total index. A 8

9 May 2011 Index Price to Earnings (by Industry/Sector) Reports This report gives the Price to Earnings ratio of each market broken down by industry level and sector level and shows the breakdown of index price to earnings ratios in the total index. Index Price to Cash Earnings (by Industry/Sector) Reports This report gives the price to cash earnings ratio of each market broken down by industry level and sector level and shows the breakdown of index price to cash earnings ratios in the total index. Index Price to Sales (by Industry/Sector) Reports This report gives the price to sales ratio of each market broken down by industry level and sector level and shows the breakdown of index price to sales ratios in the total index. Index Return on Equity (by Industry/Sector) Reports This report gives the return on equity ratio of each market broken down by industry level and sector level and shows the breakdown of index return on equity ratios in the total index. Reports in all other sections Industry/Sector Performance Reports These reports give details of capital return and total return at the sector level, for the FTSE All-Share, FTSE 100 Index, FTSE 250 Index, FTSE 350 Index and the FTSE Small Cap Index. Data is presented in Pounds Sterling. Valuation Data Yld % P/E P/B P/CE P/S ROE Yield % Price/ Earnings Price/Book Value Price/Cash Earnings Price/Sales Return on Equity (ROE Aggregates Industry/Sector No of Stocks The sector yield for the index. Industry/Sector No of Stocks Aggregate fundamental data ratios, except aggregate ROE, are calculated based on the sum of each individual constituent s market capitalisation (adjusted for free float) divided by: the sum of the product of market capitalisation (adjusted for free float) multiplied by the reciprocal of the valuation ratio for each constituent. Aggregate ROE is the sum of weighted ROE values. Weighting is based on average equity allocated to that security based on its index market capitalisation, proportionate to total company market capitalisation. Where valuation ratios for individual constituents are not available, data values for these constituents are excluded from the corresponding aggregate calculation(s). See the glossary section for individual constituents level fundamental data item definitions for P/E, P/B, P/CE, P/S and ROE. The name of the industry or sector index to which the data relates (as defined by the ICB classification system). The number of stocks in the industry level (or sector level). Capital Return Market Cap (local mn) Weight % Index 1M % YTD % 12M % M Cap GBP (mn) Weight % Capital Return (Index Value) Capital Return (Performance) Weighted Cont % (1M) Weighted Cont% (1M) The total market capitalisation of stocks in the index in million denominations of Pound Sterling currency. The % weight of the sector within the given index i.e. FTSE All-Share Index, FTSE 100 Index, FTSE 250, FTSE 350 or FTSE Small Cap Index. The value on the report date of the industry (or sector) capitalisation weighted index. The performance of the industry (or sector) capitalisation weighted index in the last month (1M), in the last rolling 12-month period (12M) and since the start of the calendar year (YTD). The weighted contribution of the sector to the country index over the last month. Appendices A 9 A 9

10 FTSE All-Share Review May 2011 Overview Absolute Performance This report shows the top ten and bottom ten companies ranked by performance for the previous month and the previous calendar year. Top and Bottom Performers Name Sector Price Chg % Name The name of a stock in the index. Price Stock price on the report date in local currency. Sector The sector level to which the stock belongs. Chg% The stock performance (adjusted for special dividends) over the given period. Overview Weighted Contribution This report shows the top ten and bottom ten companies ranked by weighted contribution for the previous month and the previous year. Top and Bottom Contributors Name Sector Price Wgt % Cont % Name The name of a stock in the index. Price Stock price on the report date in local currency. Sector The sector level to which the stock belongs. Wgt % Stock weight within the country index on the report date. Overview Holdings Cont % This report shows the top ten companies ranked by market capitalisation as at the end of the month. The weighted contribution of the stock over the period. Top 10 Holdings Name Sector Price Wgt % Name The name of a stock in the index. Price Stock price on the report date in local currency. Sector The sector level to which the stock belongs. Wgt% The index weight as at the end of the month. Overview Index Performance A chart showing the performance of the capital index in Pound Sterling. Overview Index Volatility A chart showing one month and three month rolling volatility of the capital and total return index based on daily close data. A 10

11 May 2011 Constituent Report This report gives details of each stock which is a member of the index on the report date. Yld % Valuation Data Weight % P/E P/B P/CE P/S ROE Fiscal Year Sedol Sctr Idx Name Price CCY Shares (mn) FF % M Cap GBP (mn) Sz 1M % Performance 3M YTD 12M % % % Vol Avg. (1M) Sh. Val (th) (mn) Yield % Price/ Earnings Price/Book Value Price/Cash Earnings Price/ Sales Return on Equity (ROE) Stock yield on the report date. Price to Earnings is price divided by earnings per share. Earnings are based on net income from continuing operations, before amortization of goodwill and extraordinary items and after tax, minority interests, preferred dividend, at fiscal year end. Earnings is attributed across the different share classes, where common stock is comprised of more than one share type. Price to Book (P/B) is price divided by book value per share. Book value is based on common equity, excluding minority interest and preferred stock at the most recent fiscal year end. Goodwill written off may also be added back. The divisor is company market capitalisation (issued shares x price) at the review date. Common equity is attributed across different share classes, where common stock is comprised of more then one share type. Price to Cash Earnings is Price divided by Cash Earnings per share. Cash Earnings is earnings plus depreciation, amortisation, deferred taxes, other non-cash items, extraordinary items and changes in working capital for the most recent year. If Cash Flow is not reported it is estimated based on net income plus depreciation at year end. Cash earnings are attributed across the different share classes, where common stock is comprised of more then one share type. Price to Sales is price divided by sales per share. It is based on Sales from continuing operations for the fiscal year. It is generally as reported but occasional adjustments may be made. Sales values are also computed for banks, insurance and other financial companies based on appropriate definitions. Sales is attributed across different share classes, where Common equity is comprised of more then one share type. Return on Equity ratio is net income (as defined in Price/Earnings above) divided by average common equity. Common Equity is averaged over the accounting year. It may be adjusted to include goodwill written-off and is attributed across different share classes, where common stock is comprised of more then one share type. ROE is expressed as a percentage and is not calculated when average common equity is negative. Fiscal Year End Sedol Weight % Sector Weight % Index Name Price CCY Shares (mn) Free Float M Cap GBP (mn) Sz Performance Volume Avg Sh (mn) Volume Avg Val (mn) The company year-end report date. This date stamps the historic fundamental components of P/E, P/B, P/S, P/CE and ROE. The SEDOL (Stock Exchange Daily Official List code) of a stock in the index. The weight of the stock within the sector of the index to which the stock belongs. The weight of the stock within the index. Stock name. Stock price on the report date in Pound Sterling. Currency of stock price quoted on the local exchange. The total number of shares in issue (in millions) on the report date. The proportion of company s capital included within the FTSE Share indices. The investable or net market capitalisation of the stock (price * shares * free float) within the index. In the currency of the local country index. The size of the stock ranked by its market capitalisation in relation to the total UK market. Constituents can be either large cap, mid cap or small cap. The performance of the stock (adjusted for special dividends) in the last month (1M), three months (3M), in the last rolling 12-month period (12M) and since the start of the calendar year (YTD). Performance figures which form part of a total (see below) include contributions from stocks which may no longer be members of the index. Performance is measured in local currency. This includes splits, consolidations, rights issues and share buybacks. The average (mean) number of shares (in millions) traded each day in the previous month. The average (mean) value of shares (in millions) traded each day in the previous month. In the currency of the local country index. Appendices A 11 Price/Earnings* January 2011 methodology for the calculation of P/E has changed from that used in the FTSE All-Share Weightings Book publications. Fiscal Year End is followed by 'p' where valuation ratios are based on data derived from preliminary company financial statements or related sources. Note that the values in P/E, P/B, P/CE, P/S and ROE all relate to the Fiscal Year End shown. Totals: Totals are shown for each industry sector (derived from the sector index for the index) and each index. Valuation Data: Valuation ratios (i.e. P/E, P/B, P/S, P/CE, ROE) generally incorporate fundamental data components sourced from Worldscope. Dividend Yield values are shown to two places of decimal. One decimal place is shown for other valuation ratios. Values outside the range 99 to 99 are indicated by +ve or -ve. N/A indicates that data is not available. A 11

12 FTSE All-Share Review May 2011 Index Changes Five reports giving details of index changes for the FTSE All-Share, FTSE 100, FTSE 250, FTSE 350 or FTSE Small Cap Index Changes are listed by sector, type of change and ordered by effective date. Changes listed are index additions and deletions, stock reclassifications, name changes and changes in investability weight. Index deletions are dated as of the end of the closing business day in which it is a member of the index and index additions are dated as at the beginning of the business day in which is has become a member of the index. Effective Date Sedol Name Details Effective Date Sedol The date on which the change became effective and was reflected in the index. The SEDOL (Stock Exchange Daily Official List code) of a stock in the index. Name Details The current name of the stock affected by the change (or new name in the case of a name change). Details of the change: New/old investability weight (free float factor) Old name New/old subsector Multiple Lines A Multiple line (or secondary line) will be eligible for index inclusion if its full market capitalisation is greater than 25% of the full market capitalisation of the company s principal line and the second line is eligible, in its own right, under the Ground Rules. Should the full market capitalisation of a secondary line, which is already a constituent of the FTSE All-Share Index, fall below 20% of the full market capitalisation of the company s principal line at an annual review, the secondary line will be deleted from the relevant index unless its full market capitalisation remains above the qualification level for continued inclusion as a constituent of the FTSE All-Share Index at that review. Sedol Name Sector Free Float (%) Sedol Name The SEDOL (Stock Exchange Daily Official List code) of a stock in the index. The current name of the stock affected by the change (or new name in the case of a name change). Sector Free Float (%) ICB sector classification for the stock. Investability weight (free float factor) for the stock. Reserve List Reserve lists are compiled for the FTSE 100 index and FTSE 250 index following the quarterly review. They will be used in the event that one or more constituents of the FTSE 100 or FTSE 250 index are deleted during the period up to the next quarterly review. The constituent in the reserve list with the highest market capitalisation at the time is promoted. Sedol Name Sector Free Float (%) Sedol Name The SEDOL (Stock Exchange Daily Official List code) of a stock in the index. The current name of the stock affected by the change (or new name in the case of a name change). Sector Free Float (%) ICB sector classification for the stock. Investability weight (free float factor) for the stock. A 12

13 May 2011 Guide to terminology Abbreviations and Nomenclature 1M 1 month P/CE Price to Cash Earnings 3M 3 months P/E Price to Earnings 12M 12 months P/S Price to Sales 100 FTSE 100 Index mn Millions 250 FTSE 250 Index ROE Return on Equity 350 FTSE 350 Index S Small cap All-Sh FTSE All Share Index Sctr Sector Avg Average Sh(th) Shares (thousands) Cap Market capitalisation Sz Size of constituent (large, mid or small cap) CCY Currency of stock price quoted on the local exchange SQRT Square root Chg Change STDDEV Standard deviation Cont Weighted contribution th Thousands Del Stock was deleted from index prior to publication date Val(mn) Valuation (millions) Ex Excluding Vol Volatility Ex Invt Tr Excluding Investment Trusts Vol Ave Average Volume Idx Index Wgt Weight FF (%) Free Float (%) Yield Dividend Yield L Large cap YTD Year to date MCap GBP(mn) Market Capitalisation in GBP (millions) N/A No data available M Mid cap 0 Value is too small to show N/A Not applicable - Not applicable P/B Price to Book -ve/+ve Values outside the range 99 to 99. Glossary Aggregate Fundamental Data Valuation ratios Capitalisation Weighted Index Aggregate fundamental data ratios, except aggregate ROE, are calculated based on the sum of each individual constituent s market capitalisation (adjusted for free float) divided by: the sum of the product of market capitalisation (adjusted for free float) multiplied by the reciprocal of the valuation ratio for each constituent. Aggregate ROE is the sum of weighted ROE values. Weighting is based on average equity allocated to that security based on its index market capitalisation, proportionate to total company market capitalisation. Where valuation ratios for individual constituents are not available, data values for these constituents are excluded from the corresponding aggregate calculation(s). An index where the constituents effect on the index is weighted according to their market capitalisation. Appendices A 13 Fiscal Year Free Float Factor Size Indicates the company s financial year-end date and is the date of the company s annual audited financial statements. The proportion of a stock s total market capitalisation to be included in the FTSE All-Share Index. This is also known as the investability weight. Constituent s market capitalisation ranked by size: large cap, mid cap and small cap. Market Capitalisation Of a stock A at time T: Cap(A, T) = Price(A, T) * Shares(A, T) Of an index I at time T: Cap(I, T) = SUM( Cap(A,T) * Free Float(A, T)) for all stocks in the index (also known as market capitalisation). Performance The performance of an asset A between two dates T1 and T2 (T1 < T2) is defined as: Performance(A, T1, T2) = 100 * (Price(A, T2) / (Price(A, T1) * AF(A, T1)) 1) Where AF(A, T1) is an adjustment which may need to be applied to the price on date T1 as a result of a corporate action effective on date T2 so that it is directly comparable to the price on date T2. This includes splits, consolidations, rights issues and share buybacks. A 13

14 FTSE All-Share Review May 2011 Relative Performance Price to Book Price to Cash Earnings Price to Earnings Price to Sales Return on Equity (ROE) Total Return Index Volatility Weight Weighted Contribution Dividend Yield The relative performance of an index A relative to a second index B between two dates T1 and T2 is defined as: Relative Performance(A, B, T1, T2) = 100 * (( Price(A, T2) / Price(A, T1) ) / ( Price(B, T2) / Price(B, T1) ) 1) This includes splits, consolidations, rights issues and share buybacks. Price to Book (P/B) is price at the review date divided by common equity per share. Common/ordinary equity is generally as reported at the most recent fiscal year-end but is adjusted to exclude minority interest, preferred stock and selected items as appropriate. Goodwill written-off may be added back. Common stock is attributed across different share classes, where common equity is comprised of more then one share type. Price to Cash Earnings (P/CE) is price at the review date divided by cash earnings per share. Cash earnings are earnings plus depreciation, amortisation, deferred taxes, other non-cash items, extraordinary items and changes in working capital for the most recent fiscal year. If Cash Flow is not reported, it is estimated based on net income plus depreciation at year end. Cash earnings is attributed across the different share classes, where common equity is comprised of more than one share type. Price to Earnings (P/E) is price over earnings per share. Earnings are based on the latest available fiscal year earnings from continuing operations after tax, minority interests, preferred dividends and before extraordinary items and amortisation of goodwill and may be adjusted for dilution. Earnings is attributed across the different share classes, where Common Stock is comprised of more than one share type. Note January 2011 methodology for the calculation of P/E has changed from that used in the FTSE All-Share Weightings Book publications. Price to Sales (P/S) is price divided by sales per share. It is based on sales from continuing operations for the fiscal year and is generally as reported, although occasional adjustments may be made. Sales values are also computed for banks, insurance and other financial companies based on appropriate definitions. Sales is attributed across the different share classes, where common stock is comprised of more then one share type. Return on Equity is net income over average common equity. Net income is the latest available fiscal year earnings from continuing operations after tax, minority interests, preferred dividends and before extraordinary items and amortisation of goodwill and may be adjusted for dilution. Average Common Equity generally excludes minority interest, preferred stock and selected items as appropriate. Goodwill written-off may be added back. Common equity is averaged over the last accounting year. It is attributed across the different share classes, where common stock is comprised of more then one share type. ROE is expressed as a percentage and is not calculated when average common equity is negative. An index where the constituents effect on the index is weighted according to their market capitalisation and which includes dividend income reinvested into the index. The variability of movements in an asset s price. The annualised volatility of a stock A at time T over period P is defined as: Volatility(A, T, P) = 100 * SQRT(260) * STDDEV(log e (Performance(A, T-1, T))) The weight of a stock A within an Index I at time T is defined as: Weight%(A, I, T) = 100 * Cap(A, T) / Cap(I, T) The weighted contribution measures the impact of an asset on an index. Index performance is equivalent to the sum of all weighted contributions. The weighted contribution of a stock A within an index I on date T is defined as: Weighted Contribution(A, I, T) = Weight%(A, I, T ) * Performance(A, T-1, T) Where T is market open on date T. That is, the weights are those in force at market open, which may differ from the weights at the close of the previous business day because of corporate actions effective on date T. Stock level dividend yield is gross annual stock dividend divided by the stock price. Index level dividend yield is gross total dividends times shares in issue adjusted for free float divided by the index market capitalization. Dividend Yield is reported as a percentage on a 12 month rolling basis. A 14