Appendices Table of Contents

Transcription

1 Appendices Table of Contents Appendices Section Page No. A-3 About the FTSE Italia Index Series A-5 Ground rules governing free float stock weightings in the FTSE Italia Indices A-5 Ground rules governing liquidity screens in the FTSE Italia Indices A-6 The Capping Methodology A-6 Ground Rules for the Management of the FTSE MIB A-7 The Industry Classification Benchmark (ICB) A-9 User guide to the FTSE Italia Index Series Review A 2

2 May 2011 About the FTSE Italia Index Series The FTSE Italia Index Series represents the performance of Italian companies listed on MTA and MIV markets of Borsa Italiana. The series is made up of the following indices: FTSE MIB Index, FTSE Italia Mid Cap Index, FTSE Italia Small Cap Index, FTSE Italia All-Share Index, FTSE Italia Industry/Supersector/Sector Indices and FTSE Italia Micro Cap Index. FTSE also calculates the FTSE Italia STAR Index and the FTSE Italia MIB Storico. The table below illustrates how the FTSE Italia Index Series is structured. The shaded blocks indicate the indices with detailed sections within the FTSE Italia Index Series Monthly Review. The index family is underpinned by the Industry Classification Benchmark (ICB) classification system which is described later in this appendix. FTSE Italia All-Share FTSE Italia All-Share Capped FTSE MIB FTSE Italia Mid Cap FTSE Italia Small Cap FTSE Italia MIB Storico FTSE Italia Micro Cap FTSE Italia STAR Industry Classification Benchmark (ICB) 10 Industries 19 Supersectors 41 Sectors 114 Subsectors Guiding principles for the FTSE Italia Index Series Transparency on all issues concerning the management of and changes to the FTSE Italia Index Series 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 indices. Eligible securities The universe of eligible constituents is all Italian shares that have a listing on MTA market of Borsa Italiana, subject to meeting all other rules of eligibility, free float and liquidity. Foreign shares with a listing on Borsa Italiana are eligible for inclusion only in the FTSE MIB Index and FTSE Italia All-Share Index. Foreign shares whose only listing is on Borsa Italiana (exclusive listing) are considered as domestic. Companies whose business is that of holding equity and other investments (ICB 8985) and Non-equity investment instruments (ICB 8995) are not be eligible for inclusion. In case of companies with more than one class of shares listed, ordinary shares only are considered for inclusion in the FTSE MIB, FTSE Italia Mid Cap, FTSE Italia Small Cap and FTSE Italia Micro Cap indices. In cases where a company has listed preferred (or savings) shares only, they are eligible for index inclusion Appendices A 3 Constituent classification Sector classifications for all FTSE index constituents, including the FTSE Italia Index Series, are defined by the ICB classification system. The ICB sector designations are listed later in this section, with further guidance provided on the website at Index review The FTSE Italia Index Series is reviewed quarterly, with advance notification given of any changes to constituents via to ensure that indices continue to reflect market reality. A schedule of quarterly reviews is provided on Rules-based methodology As with all FTSE indices, the FTSE Italia Index Series is strictly rules-based to ensure consistency and transparency. The Ground Rules 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 FTSE Italia Index Series and the FTSE MIB Index is available on Strict governance by committees of market practitioners The FTSE Italia Index Series is managed and maintained by FTSE Italia Joint Executive Group. Committee members are responsible for deciding the treatment of complex corporate actions, as well as any necessary changes to the Ground Rules. A 3

3 Indices within the FTSE Italia Index Series The index series is made up of the following indices with the following universe characteristics: The FTSE MIB Index The Index consists of the 40 most liquid and capitalised stocks listed on the Borsa Italiana. The index accounts for approximately 80% of the domestic market capitalisation. Foreign shares are eligible for inclusion. Secondary lines are not eligible for inclusion. The constituents of the FTSE MIB Index are capped at 15% at the time of the quarterly reviews. The FTSE Italia Mid Cap Index The Index consists of 60 stocks listed on the Borsa Italiana outside the FTSE MIB Index, ranked by company full market capitalisation, and which qualify, after the application of the liquidity and free floats screens. The index accounts for approximately 10% of the domestic market capitalisation. Foreign companies and secondary lines are not eligible for inclusion. The constituents of the FTSE Italia Mid Cap Index are capped at 10% at the time of the quarterly reviews. The FTSE Italia Small Cap Index The Index captures the performance of all other small shares outside the FTSE MIB Index and FTSE Italia Mid Cap Index which qualify after the application of the liquidity and free floats screens. It accounts for approximately 5% of the domestic market capitalisation. Foreign companies and secondary lines are not eligible for inclusion. The constituents of the FTSE Italia Small Cap Index are capped at 10% at the time of the quarterly reviews. The FTSE Italia All-Share Index The Index comprises all constituents in the FTSE MIB, FTSE Italia Mid Cap and FTSE Italia Small Cap indices. The index accounts for approximately 95% of the domestic market capitalisation. FTSE calculates both the FTSE Italia All-Share Index and the FTSE Italia All-Share Capped Index. The FTSE Italia Industry, Super Sector and Sector Indices All shares included in the FTSE Italia All-Share basket are also included in the sectoral indices, according to the ICB classification. The FTSE Italia STAR All shares listed in the STAR (Segmento Titoli con Alti Requisiti) segment of MTA market are eligible for inclusion in the FTSE Italia STAR Index. Unlike the other indices, dual class shares, foreign shares and shares that do not pass the liquidity screen are also eligible for inclusion. The constituents of the FTSE Italia STAR are capped at 10% at the time of the quarterly reviews. The FTSE Italia Micro Cap All shares whose market capitalisation is below that of the smaller of the FTSE MIB constituents, which are not in the FTSE Italia All-Share Index, because they fail to pass the liquidity screen, are eligible for inclusion in the FTSE Italia Micro Cap Index. The constituents of the FTSE Italia Micro Cap Index are capped at 10% at the time of the quarterly reviews. The FTSE Italia MIB Storico The index is calculated once a day, with the volume weighted average price of all shares included in the FTSE Italia All-Share Index, weighted according to their uncapped market capitalisation. Data on FTSE indices FTSE can supply daily updated data products giving constituent lists, index values and corporate actions for the FTSE Italia Index Series. 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. A 4

4 May 2011 Ground rules governing free float stock weightings in the FTSE Italia Index Series The entire listed equity capital of a constituent company is included in the calculation of its market capitalisation, subject to free float restrictions. I. Free float restrictions include: a) All shareholders holding 5% or more of the shares outstanding of the specific share class. b) Legally binding control block (patti di sindacato): when their weight is 5% or more, all the individual shareholders with stakes less than 5% are excluded from the free float. c) Treasury shares are always excluded from the free-float, independently from the size of their stake. II. The following are not considered as restricted free float even when their stakes are above the 5% threshold: a) Mutual funds and SICAV. b) Pension funds. III. Free float restrictions are 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 is 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% is eligible for the index providing the company s full market capitalisation (before the application of any investability weight) is greater than USD 5bn. This does not apply to a company, which following a takeover offer, has a remaining free float of 15% or less. V. The FTSE Italia Indices are periodically reviewed for changes in free float. These reviews coincide with the quarterly reviews. VI. A constituent s free float is also 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 is implemented at the same time as the corporate action. If there is no corporate action, the change in free float is 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. 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 (III). VIII. The primary sources of shareholder information for Italian companies are CONSOB (Commissione Nazionale per le Società e la Borsa) and issuers official communication (annual report, quarterly reports). Appendices A 5 Ground rules governing liquidity screens in the FTSE Italia Index Series I. Each share is tested for liquidity on a quarterly basis by calculation of its median daily trading per month. The median trade is calculated by ranking each daily trade total and selecting the middle ranking day. Daily totals with zero trades are included in the ranking; therefore a security that fails to trade for more than half of the days in a month will have a zero median trade. II. Share which do not turnover at least 0.025% of their shares in issue (after the application of any investability weightings) based on their median daily trade per month in ten of the twelve months prior to a full market review, are not eligible for inclusion in the Index Series. III. An existing constituent which does not turnover at least 0.02% of its shares in issue (after the application of any investability weightings) based on their median daily trade per month in eight of the twelve months prior to a full market review, will not be eligible for inclusion in the Index Series. IV. Newly listed shares will become eligible for inclusion at the next quarterly review providing they trade a minimum of 20 days. They must turnover at least 0.025% of their shares in issue (after the application of any investability weightings) based on their median daily trade per month. New issues will have their liquidity assessed on a pro-rata basis. A full copy of the Ground Rules for the FTSE MIB is available on A 5

5 The Capping Methodology The constituents of the FTSE MIB Index are capped at the time of the quarterly reviews. The constituents of the FTSE MIB Index are capped at 15%. Any constituents whose weights are greater than 15% are capped at 15%. The weights of all lower ranking constituents are increased correspondingly. The weights of lower ranking constituents are then checked and if they exceed 15% they are also capped at 15%. This process is repeated until no constituent weight exceeds 15%. A similar 10% capping is applied to the FTSE Italia Mid Cap Index, FTSE Italia Small Cap Index, FTSE Italia Micro Cap Index and FTSE Italia STAR Index. A full copy of the Ground Rules for the FTSE Italia Index Series is available on Ground Rules for the Management of the FTSE MIB Market Capitalization I. The float-adjusted market capitalization is determined through an Investable Weight Factor. II. The Investable Weight Factor is calculated by determining all long-term shareholders owning 5% or more of the shares outstanding of the specific share class, with the exception of Pension Funds and OICR (or Organismi di Investimento Collettivo del Risparmio, i.e. mutual funds and Societa' di Investimento a Capitale Variabile, SICAV). In the case of a legally binding control block (patti di sindacato) with a weight of 5% or more, all the individual shareholders of that block, even with individual stakes less than 5%, will also be excluded from the float. III. Treasury shares are always excluded from the free-float, independently from the size of their stake. IV. The primary sources of shareholder information for Italian companies are CONSOB (Commissione Nazionale per le Società e la Borsa) and issuers official communication (annual report, quarterly reports). Liquidity I. Stocks are ranked according to liquidity, measured by the stock s 6-month value traded in Euros, float turnover, and number of days traded. II. A minimum turnover velocity threshold of 30% will generally be used to consider stocks for inclusion. However, turnover numbers will differ among sectors, as some sectors have naturally higher turnover than others. III. With respect to newly listed stocks, the FTSE Italia Joint Executive Group generally observes a prospective constituent s liquidity over a period of at least 6 months before consideration for Index inclusion. There may be situations where constituents are added earlier than 6 months at the decision of the FTSE Italia Joint Executive Group, such as newly listed companies whose capitalization is greater than or equal to 3% of the current capitalization of the entire market. Shares Outstanding The most representative stocks in each sector are selected based on their size and liquidity relative to other companies in the same sector. Once a share of a certain company is included in the FTSE MIB Index, no other types of shares of the same company can be included in the Index. Financial Viability The FTSE Italia Joint Executive Group rigorously analyzes both the financial and operating condition of each company. The goal is to add companies to the Index that are deemed stable, thereby minimizing index turnover. A full copy of the Ground Rules for the FTSE MIB is available on A 6

6 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 3722 Durable Household Products Construction 3724 Nondurable Household Products 3726 Furnishings 3728 Home Construction 3740 Leisure Goods 3743 Consumer Electronics 3745 Recreational Products 3747 Toys Appendices A 7 A 7

7 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. A 8

8 May 2011 User guide to the FTSE Italia Index Series Review Introduction The FTSE Italia Index Series Review provides month-end data for the FTSE Italia Index Series indices. Reports in the FTSE Italia Indices Section Italia Index Performance Reports These reports give details of capital return and total return for the FTSE MIB Index, FTSE Italia Mid Cap Index, FTSE Italia Small Cap Index, FTSE Italia All- Share Index, FTSE Italia All-Share Capped Index, FTSE Italia STAR Index, FTSE Italia Micro Cap Index and the FTSE Italia MIB Storico. Data is presented in Euro. Valuation Data Capital Return Total Return Yld % P/E P/B P/CE P/S ROE Index Index 1M% 3M % YTD % 12M % Index 1M % 3M % YTD % 12M % MCap EUR (mn) 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 constituent level fundamental data item definitions for P/E, P/B, P/CE, P/S and ROE. The name of the index to which the data relates The value on the report date of the capitalisation weighted index. Capital Return (Performance) Total Return (Index Value) Total Return (Performance) Market Cap (mn) No of Stocks Performance Graphs These graphs show long term performance of the capital index in Euro. The index values are rebased at 100. Relative Performance Bar Charts The performance of the capitalisation weighted index in the last month (1M), in the last 3 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 in the last month (1M), in the last 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 Euro currency. The number of stocks in the index. These charts show indices performance relative to a given index for 1-month and 12-month time periods. The indices performance are available relative to the FTSE MIB Index and the FTSE Italia All-Share Index. Appendices A 9 Reports in all other sections The following reports are provided in the following sections, unless otherwise stated: FTSE MIB Index, FTSE Italia Mid Cap Index, FTSE Italia Small Cap Index, FTSE Italia All-Share Index, FTSE Italia All-Share Capped Index, FTSE Italia STAR Index and FTSE Italia Micro Cap Index. Industry/Sector Bar Charts This report shows industry/sector % weights - ranked largest to smallest - within the given index; both current and for the previous calendar year (12M). These reports are provided for FTSE Italia All-Share Index, FTSE Italia All-Share Capped Index, FTSE MIB Index, FTSE Italia Mid Cap Index and FTSE Italia Small Cap Index and FTSE Italia STAR Index. Industry/Sector Relative Performance Bar Charts These charts show Industry/Sector performance relative to a given index for 1-month and 12-month time periods. This report is provided for FTSE Italia All- Share Index. A 9

9 Index Overview Absolute Performance This report shows the top five and bottom file 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 over the given period. Index Overview Weighted Contribution This report shows the top five and bottom five 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. Cont % The weighted contribution of the stock over the period. Index Performance Graph A chart showing the performance of the capital index in Euro. Index Volatility Graphs A chart showing one month and three month rolling volatility of the capital based on daily close data. Industry/Sector Summary This report shows the performance of each industry and sector within an index. This report is available for the FTSE Italia All-Share Index only. Valuation Data Yld % P/E P/B P/CE P/S ROE Industry/Sector No of Stocks Capital Return MCap EUR (mn) Wgt % Index 1M % 3M % YTD % 12M % Weighted Cont % (1M) Yield % Price/ Earnings Price/Book Value Price/Cash Earnings Price/Sales Return on Equity (ROE Aggregates Italia Index No of Stocks Market Cap EUR (mn) 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 index to which the data relates The number of stocks in the index. The total market capitalisation of stocks in the index in million denominations of Euro currency. Index Weight % Capital Return (Index Value) Capital Return (Performance) Weighted Cont % (1M) The % weight of the industry/sector within the given index The value on the report date of the capitalisation weighted index. The performance of the capitalisation weighted index in the last month (1M), in the last 3 months (3M), in the last calendar year (12M) and since the start of the calendar year (YTD). The weighted contribution of the Industry/Sector over 1M A 10

10 May 2011 Index Constituent Report This report gives details of each stock which is a member of the index on the report date. Valuation Data Weight % Price Shares Cappe M Cap Performance Vol Avg. (1M) Yld % P/E P/B P/CE P/S ROE Fiscal Year Sedol Sctr Idx Name (EUR) (mn) d FF% EUR (mn) 1M % 3M % YTD % 12M % Sh. (th) Val (mn) Yield % Price/ Earnings Price/Book Value Price/Cash Earnings Price/ Sales Return on Equity (ROE) Fiscal Year End 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 then 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. The company year-end report date. This date stamps the historic fundamental components of P/E, P/B, P/S, P/CE and ROE. Sedol Weight % Sector Weight % Index Name Price (EUR) Shares (mn) Capped Free Float M Cap EUR (mn) Performance Volume Avg Sh (mn) Volume Avg Val (mn) 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 Euro. The total number of shares in issue (in millions) on the report date. The proportion of company s capital included within the FTSE index. Note: the FF of the FTSE MIB Index, FTSE Italia Mid Cap Index, FTSE Italia Small Cap Index, FTSE Italia All-Share Capped Index, FTSE Italia Micro Cap Index, FTSE Italia STAR includes the capping factor (see Capping Methodology) The investable or net market capitalisation of the stock (price * shares * free float) within the index. In the Euro currency. Note: the market capitalisation of the FTSE MIB Index, FTSE Italia Mid Cap Index, FTSE Italia Small Cap Index, FTSE Italia All-Share Capped Index, FTSE Italia Micro Cap Index, FTSE Italia STAR includes the capping factor (see Capping Methodology) The performance of the stock in the last month (1M), in the last 3 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 Euro. 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 Euro.. Appendices A 11 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. 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. Capped free float is the free float adjusted by the capping factor (see Capping Methodology). This applies to FTSE MIB, FTSE Italia Mid Cap Index, FTSE Italia Small Cap, FTSE Italia All-Share Capped Index, FTSE Italia STAR Index and FTSE Italia Micro Cap Index. A 11

11 Index Changes Index changes are reported for the FTSE MIB Index, FTSE Italia Mid Cap Index, FTSE Italia Small Cap Index, FTSE Italia All-Share Index, FTSE Italia All-Share Capped Index, FTSE Italia STAR Index and FTSE Italia Micro Cap Index. Changes are listed by sector, type of change and ordered by effective date and represent 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 the constituent is a member of the index. Index additions are dated as at the beginning of the business day in which the constituent 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 A 12

12 May 2011 Guide to the terminology used in the FTSE Italia Index Series Review Abbreviations and Nomenclature 1M 1 month mn millions 12M 12 months Cont Weighted contribution MIB FTSE MIB Index FF Free Float Mid Cap FTSE Italia Mid Cap Index Capped FF Free Float adjusted by the capping factor Small Cap FTSE Italia Small Cap Index Del Stock was deleted from index prior to publication date Micro FTSE Italia Micro cap Index Price (EUR) Price in EUR STAR FTSE Italia Star Index Avg Average STAR Segmento Titoli con Alti Requisiti Chg Change MIB St FTSE Italia MIB Storico Index Wgt Weight All Sh FTSE Italia All-Share Index STDDEV Standard deviation All Sh Cap FTSE Italia All-Share Capped Index SQRT Square root It Italia YTD Year to date M Cap (mneur) Market capitalisation, millions Euro N/A No data available -ve/+ve Values outside the range 99 to Not applicable. Glossary Aggregate Fundamental Data Valuation ratios Capitalisation Weighted Index Fiscal Year Free Float Factor Size 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. 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 Italia All-Share Index. This is also known as the investability weight. Constituent s market capitalisation is ranked by size: large cap (L), mid cap (M) and small cap (S). 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). Appendices A 13 Capped Market Capitalisation Performance Relative Performance Price to Book Of a capped index I at time T: Cap(I, T) = SUM( Cap(A,T) * Free Float(A, T))* Capping Factor for all stocks in the index (also known as market capitalisation). 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. 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) 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. A 13

13 Price to Cash Earnings Price to Earnings Price to Sales Return on Equity (ROE) Total Return Index Volatility Weight Weighted Contribution Dividend Yield 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 then 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 then one share type. 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 (annualised) 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