Designed to represent

Alternative Asset Classes.

Guide to the LPX Equity IndicesVersion 2.9 June 2011

1

Notice and Disclaimer1

This document ”Guide to the LPX Equity Indices”, hereafter ”Guide”, and all the information con-tained in it, including all text, data, tables and all other information (collectively, the ”information”) maynot be reproduced or redisseminated in a whole or in part without prior written permission from LPX.Any use of the LPX indices or other information requires a license from LPX. All information set out inthis Guide is for informational purpose only. The information may not be used to verify or correct otherdata, to create indices, or in connection with offering, sponsoring, managing or marketing any securities,portfolios, financial instruments or other products.

None of the information constitutes an offer to buy or sell, or a recommendation of, any security, fi-nancial instrument and financial product or trading strategy, and LPX does not endorse, approve orotherwise express any opinion regarding any issuer, securities, financial products or instruments ortrading strategies that may be described or mentioned herein. Further, none of the information is in-tended to constitute investment or tax advice or a recommendation to make any kind of investmentdecision.

Without limiting any of the foregoing, in no event shall LPX have any liability regarding any of theinformation for any direct, indirect, special, punitive, consequential or any other damages.

The Guide sets out the ground rules for the construction and maintenance of the LPX index family.The objective is to design, create and maintain a series of high quality indices for the international equitymarkets for use as a benchmark by the global investment community and as an underlying for tailoredfinancial products.

1LPX, LPX50 and LPX Major Market are registered trademarks of LPX GmbH. A licence agreement is required to issue financialinstruments based on the LPX indices. Licences are issued for the commercial use of any aspects of the LPX indices. Theseuses include selecting the indices as the basis for benchmarks, financial products and funds of any sort. Any commercial use ofLPX trademarks and/or LPX indices without a valid licence agreement is not permitted. Contact LPX GmbH for information onlicensing the LPX indices.

CONTENTS 2

Contents

1 General Index Information 41.1 The LPX (Listed Private Equity Index) Family . . . . . . . . . . . . . . . . . . . . . . . . . . 4

1.1.1 Abbreviations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41.1.2 Calculation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41.1.3 LPX Composite . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41.1.4 LPX50 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41.1.5 LPX Major Market . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41.1.6 LPX Buyout . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41.1.7 LPX Mezzanine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41.1.8 LPX Venture . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51.1.9 LPX Direct . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51.1.10 LPX Indirect . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51.1.11 LPX America . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51.1.12 LPX Europe . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51.1.13 LPX UK . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5

1.2 Reference Dating, Weighting and Cap Limit . . . . . . . . . . . . . . . . . . . . . . . . . . . 61.3 Prices and Calculation Frequency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61.4 Country Allocation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71.5 Currency Conversion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81.6 Error Correction Policy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8

2 Choice of Index Constituents 82.1 Data Basis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82.2 Deletion or Suspension . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82.3 Liquidity Analysis (LA) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8

2.3.1 Historical Liquidity Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92.3.2 Current Liquidity Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9

2.3.2.1 Ratios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92.3.2.2 Criteria . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92.3.2.3 Rankings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102.3.2.4 Time and Frequency of the LA . . . . . . . . . . . . . . . . . . . . . . . . . 10

2.3.3 Ordinary Adjustment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112.3.4 Extraordinary Adjustment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12

2.3.4.1 Replacement of a Constituent Due to Delisting . . . . . . . . . . . . . . . 122.3.4.2 Merger of Two Index Constituents . . . . . . . . . . . . . . . . . . . . . . 122.3.4.3 Merger of an Index Constituent with a Non-Index Constituent . . . . . . 12

3 Calculation Methods 133.1 Historical Reconstruction of the Indices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133.2 Index Formulae LPX Indices (Single Stock Distribution Reinvestment) . . . . . . . . . . . 133.3 LPX Index Calculation Algorithm (Dividend Reinvestment across all Constituents of the

Index) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143.4 Entry Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143.5 Monitoring the Entry Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143.6 Adjustment of Entry Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143.7 Cap Limit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143.8 Corporate Actions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15

3.8.1 Cash Dividends and Special Distributions . . . . . . . . . . . . . . . . . . . . . . . . 153.8.2 Stock Splits and Reverse Splits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153.8.3 Bonus Shares and Scrip Dividends of the same Company . . . . . . . . . . . . . . . 163.8.4 Subscription Rights . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16

LIST OF TABLES 3

4 Chaining 164.1 Ordinary Chaining . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 164.2 Extraordinary Chaining . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17

4.2.1 Constituent is replaced due to a Delisting . . . . . . . . . . . . . . . . . . . . . . . . 174.2.2 Merger of two Index Constituents . . . . . . . . . . . . . . . . . . . . . . . . . . . . 174.2.3 Merger of an Index Constituent with a Non-index Constituent . . . . . . . . . . . . 17

5 Index Board 18

6 Amendments 18

7 Data Vendor Codes 18

List of Tables

1 Characteristics of the LPX Index Family . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62 Exchanges . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73 Ratios of Liquidity Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94 Ranking-Supported Adjustments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115 Example: Subscription Rights . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166 Data Vendor Codes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19

1 GENERAL INDEX INFORMATION 4

1 General Index Information

LPX GmbH is the first to publish a Listed Private Equity (LPE) index family. LPX provides dailyglobal LPE indices which have become the most widely used in the financial industry in particular byinstitutional investors. The index family contributes to the investment process by serving as a relevantand adequate performance benchmark and as an effective research tool. Moreover, the index familyprovides a basis for various alternative investment vehicles. The LPX index family fulfils the needs ofinstitutional and private market participants. Thereby, the design, development and delivery of the LPXindices ensure that they are investable, tradable and transparent being key factors that underlie theircommercial success. LPX consistently applies its index construction and maintenance methodology inorder to qualify for the foremost provider of a listed private equity index family in the financial industry.

1.1 The LPX (Listed Private Equity Index) Family

1.1.1 Abbreviations

PI: Price IndexTR: Total Return

1.1.2 Calculation

The calculation algorithm of the LPX index family is detailed in section 3.

1.1.3 LPX Composite

The LPX Composite is a broad global LPE index whose number of constituents is not limited. The LPXComposite thus describes the development of the whole liquid LPE universe covered by LPX that fulfilspre-defined liquidity criteria. The basis for the choice of constituents is the liquidity analysis describedin section 2.3.

1.1.4 LPX50

The LPX50 is a global index that consists of the 50 largest liquid LPE companies covered by LPX. Thebasis for the choice of constituents is the liquidity analysis described in section 2.3.

1.1.5 LPX Major Market

The LPX Major Market represents the most actively traded LPE companies covered by LPX. The LPXMajor Market reference date is 15 June 2005 and displaced the LPX HL. The basis for the choice ofconstituents is the liquidity analysis described in section 2.3.

1.1.6 LPX Buyout

The LPX Buyout represents the most actively traded LPE companies covered by LPX whose businessmodel consists mainly in the appropriation of buyout capital or in the investment in such funds. Thebasis for the choice of constituents is the liquidity analysis described in section 2.3.

1.1.7 LPX Mezzanine

The LPX Mezzanine represents the most actively traded LPE companies covered by LPX whose businessmodel consists mainly in the appropriation of mezzanine capital or in the investment in such funds. Thebasis for the choice of constituents is the liquidity analysis described in section 2.3.

1 GENERAL INDEX INFORMATION 5

1.1.8 LPX Venture

The LPX Venture represents the most actively traded LPE companies covered by LPX whose core businesslies mainly in the provision of venture capital or in the investment in venture capital funds. The basisfor the choice of constituents is the liquidity analysis described in section 2.3.

1.1.9 LPX Direct

The LPX Direct represents the largest liquid LPE companies covered by LPX that mainly pursue a directprivate equity investment strategy. A LPE company is not an eligible candidate for the LPX Direct ifthe sum of the indirect private equity investment portfolio and the valuation of the private equity fundmanagement exceeds 20% of the net assets of the company (refer to section 2.1). The LPX Direct wasdesigned in cooperation with Bank Julius Baer & Co Ltd.2 The basis for the choice of constituents is theliquidity analysis described in section 2.3.

1.1.10 LPX Indirect

The LPX Indirect represents the largest liquid LPE companies covered by LPX that mainly pursue aindirect private equity investment strategy. The basis for the choice of constituents is the liquidityanalysis described in section 2.3.

1.1.11 LPX America

The LPX America represents the most actively traded LPE companies covered by LPX that are listed onan exchange in North America. The basis for the choice of constituents is the liquidity analysis describedin section 2.3.

1.1.12 LPX Europe

The LPX Europe represents the most actively traded LPE companies covered by LPX that are listed on aEuropean exchange. The basis for the choice of constituents is the liquidity analysis described in section2.3.

1.1.13 LPX UK

The LPX UK represents the largest liquid LPE companies covered by LPX that are listed on an exchangein the UK. The basis for the choice of constituents is the liquidity analysis described in section 2.3.

2The LPX Direct is composed and calculated by LPX GmbH. The index is revised by the LPX index board.

1 GENERAL INDEX INFORMATION 6

1.2 Reference Dating, Weighting and Cap Limit

The reference date (base date) is chosen such that a minimum of 10 initial constituents is ensured. LPXindices are calculated according to the calculation algorithm described in section 3 of this Guide. Inorder to limit the weight of individual constituents in the indices, a cap (the variable is defined as ”CAP”in this Guide) is set for the market capitalisation of any single constituent of the index at the chainingdate (see section 3 for details). If the number of constituents of an index is 15 or more, a cap of 15% orless is implemented for any single constituent (see table 1 for the current cap of the respective index).If the number of constituents of an index was less than 15 for a certain time period in the past, a capof 20% was implemented. Historically, a weekly cap was implemented for the indices. The currentcalculation algorithm starts on June 15, 2005 for the LPX Major Market and on 14 December 2005 for theother indices (see section 3.2).3 An overview of the characteristics of LPX indices is given in table 1.

Index Maximum Constituents Reference date CAP Chaining dateLPX Composite n.a. 31.12.2001 10% 14.06 and 14.12LPX50 50 31.12.1993 10% 14.06 and 14.12LPX Major Market 25 31.12.1997 10% 14.01 and 14.07LPX Buyout 30 31.12.1993 10% 14.02 and 14.08LPX Mezzanine 30 31.12.2003 10% 14.02 and 14.08LPX Venture 30 31.12.1993 15% 14.02 and 14.08LPX Direct 30 31.12.1998 10% 14.02 and 14.08LPX Indirect 30 31.12.1999 10% 14.02 and 14.08LPX America 30 31.12.1997 10% 14.03 and 14.09LPX Europe 30 31.12.1993 10% 14.03 and 14.09LPX UK 30 31.12.1998 10% 14.03 and 14.09

Table 1: Characteristics of the LPX Index Family

1.3 Prices and Calculation Frequency

Closing prices are used for the calculation of the LPX indices. The previous day’s value of all indices iscalculated and published on a daily basis. The closing price is the last price traded that is allocated byan exchange to a share. If a share has not been traded for a whole day, the closing price of the previousday is used for calculating the index. In the event of a suspension during trading hours, the last pricedetermined before such a suspension is used for subsequent calculations. If such suspension occursbefore the start of trading, the closing price of the previous day is used. In the event of an exchangeholiday, the closing prices from the previous day are used. LPX publishes the indices for every dayexcept for Saturdays and Sundays.

LPX also offers a customised real-time calculation of the LPX index family.

3for the LPX Direct, LPX Mezzanine and LPX UK the current calculation algorithm starts on 14 September 2007

1 GENERAL INDEX INFORMATION 7

1.4 Country Allocation

The LPX base universe includes companies that are traded at exchanges worldwide. The universe issubdivided into the following regions:

• Asia/Pacific

• Europe

• North America

• South America

• Other

The base universe is continuously reviewed and new eligible companies are added in accordance withsection 2.1. If a company is traded on different stock exchanges LPX uses the data of the exchange wherethe highest trading volume is observed. The data that LPX uses to calculate the liquidity ratios andindices come specifically from the following exchanges:

Country Exchange Region CurrencyAustralia ASX Asia/Pacific AUDAustria VSX Europe EURBelgium BSE Europe EURBrazil Bovespa South America BRLCanada TSX North America CADDenmark CSE Europe DKKFinland HSE Europe EURFrance Euronext Paris Europe EURGermany Xetra Europe EURGermany FWB Europe EURGreat Britain AIM(LSE) Europe GBPGreat Britain LSE Europe GBPGreece ASE Europe EURHongKong HKSE Asia/Pacific HKDIreland ISE Europe EURIsrael TASE Europe ISSItaly Borsa Italiana Europe EURJapan JASDAQ Asia/Pacific JPYJapan TSE Asia/Pacific JPYKorea, Republic of KRX Asia/Pacific SKWNetherlands Euronext Amsterdam Europe EURSingapore SGX Asia/Pacific SGDSouth Africa JSE Other SARSpain Bolsade Madrid Europe EURSweden SSE Europe SEKSwitzerland SWX Europe CHFUSA NASDAQ North America USDUSA NYSE North America USD

Table 2: Exchanges

Remark: LPX reserves the right to add further exchanges to the list above.

2 CHOICE OF INDEX CONSTITUENTS 8

1.5 Currency Conversion

The foreign exchange rates used in the calculation of the LPX Listed Private Equity Indices are theWM/Reuters Closing Spot Rates, compiled by The WM Company. The service, which was developed inconsultation with leading financial market practitioners, sets a daily standard for the foreign exchangerates required for index calculation, investment management and portfolio valuation. At short intervalsbefore and after 16:00h London time, representative bid and offer rates against the US dollar for some112 currencies are selected from a wide range of contributing banks and foreign exchange dealers.Anomalous data are screened out, and a median rate is selected for each currency. The choice of16:00 London time as the reference point for the rates captures a large selection of timely quotes fromContinental European contributors to the Reuters system and reflects the peak trading period for theLondon and New York foreign exchange markets. In the event that WM/Reuters Closing Spot Rates arenot published by the WM Company, the previous day’s rates will be used to calculate the LPX ListedPrivate Equity Indices.

1.6 Error Correction Policy

The objective is to maintain the LPX Listed Private Equity Indices to the highest standards of accuracy andintegrity, using reliable data sources and following best practice in statistical and operational procedures.Where material errors occur in data or in calculation procedures, these are corrected promptly. However,LPX GmbH is conscious of the risk of damaging the confidence of users through the frequent publicationof amendments where trivial statistical errors have occurred that do not materially affect the accuracy ofthe published Index Series.

2 Choice of Index Constituents

2.1 Data Basis

A database of all LPE companies listed worldwide, to the extent known to LPX, serves as the baseuniverse for the construction of all LPX indices. In order to be eligible for the inclusion in the database,the predominant business purpose of the company (at least 50% of net assets) must lie in the area ofPrivate Equity (stake in companies not admitted for exchange quotation). Net assets are calculated byLPX on a daily basis through a standardised model that is applied to every company of the universe.The Private Equity part contains direct Private Equity investments, indirect Private Equity investments(”limited partnerships”), the valuation of the Private Equity fund management business as well as theposition ”cash & cash equivalents”. Additionally the company must be quoted at a stock exchange.Within the framework of a continuous research process, LPX checks whether a company currently in thebase universe is still an eligible constituent or whether new companies that have previously not beenconsidered should be included.

2.2 Deletion or Suspension

If the eligibility of the criteria as defined under section 2.1 are not met by a constituent, the deletion orsuspension of all index calculation may be implemented after consideration of the LPX index committeeand approved by LPX GmbH. The deletion or suspension becomes effective at the following rebalancing-date.

2.3 Liquidity Analysis (LA)

The current composition of the LPX indices is the result of a regularly occurring liquidity analysis.Hereby liquidity is defined as how often and in what volume a company is traded on an exchange.

2 CHOICE OF INDEX CONSTITUENTS 9

2.3.1 Historical Liquidity Analysis

For each index, LPX conducted a stand-alone ”historical” liquidity analysis that was the starting pointfor the historical reconstruction of the indices. For this analysis the companies, relative to the entireduration of their listing, had to fulfil the same criteria that were needed for the current liquidity analysis(see section 2.3.2.2). The procedure of 2.3.2.3 was also applied to the historical construction of the indiceswith the difference that data was used from the entire listing duration of an LPE company. In contrast,the current analysis (see section 2.3.2) uses average annual data and is half-yearly conducted.4

2.3.2 Current Liquidity Analysis

Annual averages are used for the individual criteria for liquidity (see section 2.3.2.4). These criteria ensurethe ability to replicate the indices. Five ratios are calculated within the framework of this analysis.

2.3.2.1 Ratios The specific ratios are:

• a maximum average bid-ask spread (BAS)

• an average minimum market capitalisation [mEUR] (MV)

• an average minimum trading volume per trading day measured relative to the market capitalisation(TV)

• a minimum trade continuity (CT)

2.3.2.2 Criteria The following table summarizes the criteria that are applied to each of the indices. Inthe event a company does not fulfil one of the criteria, it cannot be included in one of the indices (Thecriteria listed here are ”KO criteria”)5.

Table 3: Ratios of Liquidity AnalysisLPX Index BAS TV MV CT RankingLPX Composite 4.0% 0.03%/0.05%a 20 >75% ALPX50 3.0% 0.05% 80 >80% ALPX Major Market 1.5% 0.08% 150 >95% BLPX Buyout 1.5% 0.08% 150 >95% BLPX Mezzanine 3.0% 0.08% 80 >80% BLPX Venture 4.0% 0.06% 20 >75% BLPX Direct 1.5% 0.08% 150 >95% BLPX Indirect 4.0% 0.06% 20 >75% BLPX America 3.0% 0.08% 80 >80% BLPX Europe 3.0% 0.06% 80 >80% BLPX UK 4.0% 0.06% 20 >75% B

a different values for entering/leaving the indexAbbreviations

• A: Ranking that is oriented to the market capitalisation (at the time of the liquidity analysis)

• B: Ranking that is oriented to the average (relative or absolute) trading volume

4Between March 2004 and June 2005 a quarterly LA occurred for the LPX50.5LPX reserves the right to deviate from these criteria

2 CHOICE OF INDEX CONSTITUENTS 10

2.3.2.3 Rankings It is determined which companies fulfil the criteria from section 2.3.2.2. Afterwardstwo ranking lists are put together:

• Ranking that is oriented to market capitalisation (A): The companies that fulfil the criteria arebrought into a ranking list according to their market capitalisation (at the time of the liquidityanalysis).

• Ranking that is oriented to the average (relative or absolute) trading volume (B): The companiesthat fulfil the criteria are brought into a ranking list according to their average trading volume.The average trading volume is calculated with the daily data of the previous year (see section2.3.2.4). A high rank is allocated to a company with a high average trading volume, while a lowrank attends with a low average trading volume.

2.3.2.4 Time and Frequency of the LA The liquidity analysis is carried out twice a year by LPX asof December 01 and June 01 on every year. Potential index changes become effactive at the respectiveindex chaining date (see table 1) for each index.Underlying data history for the LA:

• for the LA on 1 December: 1 December of the previous year until 1 December of the current year

• for the LA on 1 June: 1 June of the previous year until 1 June of the current year

2 CHOICE OF INDEX CONSTITUENTS 11

2.3.3 Ordinary Adjustment

An ordinary adjustment of the indices takes place after each LA. More precise it takes place half-yearlyon the respective chaining date (see table 1) of each index. Companies that no longer fulfil one of the”KO criteria” from section 2.3.2.2 are replaced. The successor is the company with the highest rank betterthan ”n”6 that was not previously included in the index (where ”n” indicates the number of companiesin the respective index). The rank is determined from the ranking lists mentioned in 2.3.2.3. LPX alsocarries out ordinary adjustments that are supported only by the ranking lists named in section 2.3.2.3(see table 4 below).

Index R1 R2 R3LPX50 60 50 25LPX Major Market [n × 1.2] n [ n

2 ]LPX Buyout [n × 1.2] n [ n

2 ]LPX Composite [n × 1.2] n [ n

2 ]LPX Europe [n × 1.2] n [ n

2 ]LPX America [n × 1.2] n [ n

2 ]LPX Venture [n × 1.2] n [ n

2 ]LPX Direct [n × 1.2] n [ n

2 ]LPX Indirect [n × 1.2] n [ n

2 ]LPX UK [n × 1.2] n [ n

2 ]LPX Mezzanine [n × 1.2] n [ n

2 ]

Table 4: Ranking-Supported Adjustments

A constituent of the index that is ranked in the respective ranking list at R1 or worse is replaced, assuminga constituent exists which is ranked at R2 or better in the ranking list. A non-index-constituent that isranked at R3 or better in the respective ranking list is included in the index, if a company currently in theindex has a lower rank than R2. Concerning the LPX Composite, the adjustment procedure is slightlydifferent. All LPE companies that fulfil the ratios given in table 3 become constituents of the index sincethere is no maximal number of constituents. Consequently no ranking-supported adjustments occurin this case. At the end of the process of ordinary adjustments, there is a new constituent list for therespective index. At the same time, a new ranking list of possible successors is created. These rankinglists are created using the same method as those mentioned in section 2.3.2.3, i.e. those companies (notcurrently in the index) with the highest market capitalisaton or with the highest trading volume get thetop rank and are therefore the first candidates to advance in an ordinary adjustment (see section 2.3.4).The integration of extraordinary adjustments into the calculation of the indices is explained in section4.2 of this Guide. Dealing with ordinary adjustments during the calculation of the indices is defined insection 4.1 of this Guide.

6[x] denotes the largest integer smaller than x.

2 CHOICE OF INDEX CONSTITUENTS 12

2.3.4 Extraordinary Adjustment

Adjustments due to extraordinary events will also be carried out:

2.3.4.1 Replacement of a Constituent Due to Delisting Constituents that have applied for a de-listingat an exchange or for whom bankruptcy proceedings have been adjudicated will be taken out of theindex effective not later the day when the security is last traded at an exchange. In case the security isremoved before that date LPX will communicate this in advance. The company with the highest rankon the successor list (see section 2.3.3 will succeed in the index.7

2.3.4.2 Merger of Two Index Constituents If an existing index constituent is acquired for eligibleshares (or a combination of eligible shares and cash) by another index constituent, the existing constituentis deleted on the effective date of acquisition. The company with the highest rank on the successor list(see section 2.3.3) will move up.

2.3.4.3 Merger of an Index Constituent with a Non-Index Constituent If an existing index constituentis acquired for eligible shares (or a combination of eligible shares and cash) by a quoted non-constituent,then the merged company is continued in the index if eligible in all other respects of this Guide. If therequirements defined in section 2.1 are not fulfilled, the merged company is replaced by the companywith the highest rank of the successor list.

Dealing with extraordinary adjustments within the calculation of the indices is defined in section 4.1 ofthis Guide. LPX reserves the right to deviate from the said rules for ordinary or extraordinary adjustmentin exceptional cases.

7In the case of extraordinary adjustments (see also 2.3.4.2 and 2.3.4.3), LPX uses the most liquid or the most capitalised candidateresulting of the previous liquidity analysis (1 June and 14 December) no matter if this liquidity analysis has already become effectiveor not.

3 CALCULATION METHODS 13

3 Calculation Methods

3.1 Historical Reconstruction of the Indices

The formulae in section 3.2 of this Guide describe the current calculation algorithm starting from June15, 2005 in the case of the LPX Major Market and December 14, 2005 for all other indices.8 For thehistorical reconstruction LPX used equivalent path-dependent formulas. Historically, adjusted pricesand dividends in the respective currency of the indices as well as data on the market capitalisaton of theindex constituents were used to take into consideration the relevant corporate actions and to calculatethe indices.

3.2 Index Formulae LPX Indices (Single Stock Distribution Reinvestment)

The calculation of the LPX indices follows the following formula:9

TRIndext = KTRt ·

∑nti=1 pi,t · wi,t · aai,t · CTR

i,t∑n0i=1 pi,0 · aai,0 · wi,0

· BasisTR0 (1)

PIIndext = KPIt ·

∑nti=1 pi,t · wi,t · aai,t · CPI

i,t∑n0i=1 pi,0 · aai,0 · wi,0

· BasisPI0 (2)

With:

Index Level of the IndexK Index-specific chaining factorn Number of constituents in the indexp Price in local currencyw Relevant exchange rateaa Capped number of shares (constant between chaining dates)C Current adjustment factorBasis Last value according to the old calculation algorithm (see comments in section

3.1) on 15 June 2005 for the LPX Major Market, on 14 December 2005 for allother indices except the LPX UK and the LPX Mezzanine (both 14 August2007)

t Daily time indexi Index of constituents of the index

8TBD9The formulae described in section 3.2 apply to all LPX indices with the exception of the LPX Composite which is calculated

according to section 3.3 as of December 14, 2006.

3 CALCULATION METHODS 14

3.3 LPX Index Calculation Algorithm (Dividend Reinvestment across all Con-stituents of the Index)

Within this calculation algorithm, the index is calculated as follows:

TRIndext = TRIndext−1 ·

∑nti=1 pi,t · wi,t · aai,t · Ei,t∑nt−1

i=1 pi,t−1 · aai,t−1 · wi,t−1 · Ei,t−1 −∑dt

j=1 DITRj,t ·Q · aa j,t · w j,t · Ej, t

(3)

PIIndext = PIIndext−1 ·

∑nti=1 pi,t · wi,t · aai,t · Ei,t∑nt−1

i=1 pi,t−1 · aai,t−1 · wi,t−1 · Ei,t−1 −∑dt

j=1 DIPIj,t ·Q · aa j,t · w j,t · Ej, t

(4)

The index is calculated with the old index composition on chaining dates and with the new indexcomposition after.

d Number of constituents that go ex dividendDITR Cash dividends and special distributionsDIPI Cash dividends and special distributions excluding regular dividendsE Current adjustment factor (see formula (6))j index j = 1, 2 · · · d denotes the companies that go ex dividendTRIndex12/14/06 160.09 (in case of the LPX Composite TR)PIIndex12/14/06 135.42 (in case of the LPX Composite PI)

3.4 Entry Data

Essentially, data from international data providers are used for the calculation of the indices.

3.5 Monitoring the Entry Data

LPX defines a primary data source for the entry data in the calculation. A back-test with a secondary datasource takes place. Should there be deviations between primary and secondary sources, LPX contactsthird sources, such as exchanges or other data providers.

3.6 Adjustment of Entry Data

Errors in the entry data are corrected by the procedure described in section 3.5. In the event subsequenterrors in the entry data still show up, a correction takes place as soon as possible for errors recognizedwithin 5 days. If the error is discovered after 5 days, an adjustment is made only if the error is to beclassified significant.

3.7 Cap Limit

At the time of the semi-annual chaining date, the weight of any constituent is limited to a cap of ”CurrentCAP” (as defined in table 1). Should the weight of any stock after appropriate adjustment between twoLA either rise or fall under ”Current CAP”%, the weight will not be re-adjusted to ”Current CAP”%until the time of the next chaining date. On each chaining date LPX calculates the capped number ofshares of any constituent (denoted by aa). This variable is chosen such that no constituent has a weightof more than ”Current CAP”% at the chaining date. Between chaining dates, aa is constant.

3 CALCULATION METHODS 15

3.8 Corporate Actions

LPX indices take all the corporate actions listed in 3.8 into account. The adjustment factors are definedfor both price (PI) and total return (TR) index. In general, the following formulae is applied for theadjustment factors:

CTRi,t = aaTR

i,t · bTRi,t · e

TRi,t · f TR

i,t (5)

CPIi,t = aaPI

i,t · bPIi,t · e

PIi,t · f PI

i,t (6)

Ei,t = bPIi,t · e

PIi,t · f PI

i,t (7)

where the auxiliary factors a, b, e, f , for both the price (PI) and total return (TR) version are defined in3.8.1 to 3.8.4.

3.8.1 Cash Dividends and Special Distributions

Cash dividends include regular dividends (denoted by and expressed per share on the ex date) as wellas bonus and special dividends. Other special distributions include redemptions, bonus shares fromanother company as well as spin-offs (denoted by SD and expressed per share on the ex date). For theTR indices all cash dividends and special distributions are included in the calculation. The followingformulae apply to the auxiliary factor a:

aTRi,t =

1, if t = 1aTR

i,t−1 if t , k,Di,t = 0,SDi,t = 0(1 +

(1−Q)Di,t

pi,t−1−(1−Q)Di,t) × aTR

i,t−1 or (1 +(1−Q)SDi,t

pi,t−1−(1−Q)SDi,t) × aTR

i,t−1, if t , k,Di,t , 0 or SDi,t , 0(8)

aPIi,t =

1, if t = 1aPI

i,t−1 if t , k,SDi,t = 0(1 +

(1−Q)SDi,t

pi,t−1−(1−Q)SDi,t) × aPI

i,t−1 or (1 +(1−Q)SDi,t

pi,t−1−(1−Q)SDi,t) × aTR

i,t−1, if t , k,SDi,t , 0(9)

with:

k index of chaining dates (k = 1, 2, · · · )Q effective hypothetical withholding tax: 25%

3.8.2 Stock Splits and Reverse Splits

This section does not only include stock splits, but also reverse splits (stock consolidation). The splitratio is denoted by SPR on the ex date. The auxiliary adjustment factor b is calculated according to thefollowing formulae:

bTRi,t =

1, if t = 1bTR

i,t−1 if t , k,SPRi,t = 1SPRi,t × bTR

t,t−1 if t , k,SPRi,t , 0(10)

bPIi,t = bTR

i,t for all i,t (11)

4 CHAINING 16

3.8.3 Bonus Shares and Scrip Dividends of the same Company

Bonus shares from the same company are treated in the same ways as a stock split. B denotes the numberof bonus shares per share held on the ex date. The following equations result:

eTRi,t =

1, if t = keTR

i,t−1 if t , k,Bi,t = 0(1 + Bi,t) × eTR

i,t−1 if t , k,Bi,t , 0(12)

ePIi,t = eTR

i,t for all i,t (13)

3.8.4 Subscription Rights

Subscription rights are not taken into account by LPX until the exercise date. At the exercise date thevalue of the subscription rights is reinvested in the company according to the subscription rate ratio SRRleading to the same amount of invested capital than before the transaction.

f TRi,t =

1, if t = kf TRi,t−1 if t , k,SPRi,t = 1

SPRi,t × f TRi,t−1 if t , k,SPRi,t , 0

(14)

f PIi,t = f TR

i,t for all i,t (15)

An analogous procedure is chosen for subscription rights to shares of another company. An exemplifi-cation is below-mentioned.

Formulae Constituent A

Shares to be issued (1) 1000Old number of shares (2) 3000Share pricet−1 (3) 100Issue price of new shares (4) 80Subscription ratio (5) 3Expected share price after the issue (6) = [(1) × (4) + (2) × (3)] ÷ [(1) + (2)] 95Value of subscription right (share price dilution) (7) = [(3) − (6)] 5Number of shares in the index (8) 3000Value of subscription rights (9) = [(7) × (8)] 15000Number of additional shares (10) = [(9) ÷ (6)] 157.89Correction factor (11) = [[(10) + (8)] ÷ (8) 1.05

Table 5: Example: Subscription Rights

4 Chaining

4.1 Ordinary Chaining

On every calculation day, LPX determines a chaining factor. The index-specific chaining factor K iscalculated as follows:

KTRt =

1, if t = 0TRIndexZWt= j

if t = j + 1

KTRt−1 if t , j + 1, t , 0

(16)

4 CHAINING 17

KPIt =

1, if t = 0PIIndexZWt= j

if t = j + 1

KPIt−1 if t , j + 1, t , 0

(17)

Thereby, the index is calculated with the old index composition at a chaining date, while the intermediatevalue ZW is calculated with the new index composition. The intermediate value is calculated as follows:

ZWTRt= j =

∑nti=1 pi,t · wi,t · aai,t∑nt

i=1 pi,0 · wi,0 · aai,0· BasisTR

0 (18)

ZWPIt= j =

∑nti=1 pi,t · wi,t · aai,t∑nt

i=1 pi,0 · wi,0 · aai,0· BasisPI

0 (19)

4.2 Extraordinary Chaining

In case of an extraordinary adjustment defined in section 2.3.4, LPX applies the following procedure:

4.2.1 Constituent is replaced due to a Delisting

The amount currently invested in the index of company i being replaced is completely shifted to successorj. In this general case no chaining takes place since only a simple transfer of invested capital occurs.Should a constituent with a high weight be replaced by a successor with a high potential weight, therecan be a deviation from this practice whereby an adjustment of the weights of all index constituentstakes place, meaning an analogous procedure to an ordinary chaining. En extraordinary chaining isimplemented in the same way as an ordinary one, i.e. formulae (16)-(19) do apply in this case as well.Before each replacement LPX will communicate which of the two procedures take place.

4.2.2 Merger of two Index Constituents

A new company (successor) must be included in the index due to the merger of two index constituents.This new inclusion requires an adjustment of the weights of all index constituents or an extraordinarychaining.

4.2.3 Merger of an Index Constituent with a Non-index Constituent

The capital invested in the index from the acquiring company remains unchanged. At the next regularchaining date, the number of shares will be adjusted. If the stock is not created by the retainment ofthe listing of one of the old companies, the new company will be included in the index, whereby theinvested capital of the company already represented in the index will be transferred. The number ofshares will not be adjusted until the next regular chaining date. In the event the business purpose of acompany after the merger no longer represents the definition of a LPE vehicle (described in section 2.1),a replacement and an extraordinary chaining will take place.

5 INDEX BOARD 18

5 Index Board

The rules defined in the Guide are frequently revised, in order to assure the highest industry standardsand to audit the index calculation process. For this purpose, LPX established an index committee. Thecommittee consists of well-known institutions and industry experts.

The index committee meets on a semi-annual basis, prior to each liquidity analysis. The meetingis announced in advance and the decisions made are published on LPX’s webpage, shortly after themeeting.

6 Amendments

The Guide will be checked on a regularly basis by LPX. Moreover the index calculation is monitoredby an index committee, which ensures that the composition and calculation of the LPX index family areobjective and transparent.

7 Data Vendor Codes

The LPX index family is disseminated through a broad array of data vendor channels. An overview onthe various data vendor codes is depicted in Table 6.

7 DATA VENDOR CODES 19

Table 6: Data Vendor Codes

Total Return TR

CCY Base Date Valor CH ISIN Bloomberg Datastream Reuters

LPX Composite EUR 31.12.01 CH2561635 CH0025616357 LPXCMPTR LPXCOME .LPXCMTRCHF 31.12.01 CH3064810 CH0030648106 LPXCMPTC .LPXCMTC

LPX50 EUR 31.12.93 CH2273754 CH0022737545 LPX50TR LPX50IE .LPX50TRCHF 31.12.93 CH3064806 CH0030648064 LPX50TC .LPX50TC

LPX Major Market EUR 31.12.97 CH2223370 CH0022233701 LPXMMITR LPXMAME .LPXMMTRCHF 31.12.97 CH2876564 CH0028765649 LPXMMITC .LPXMMTC

LPX Buyout EUR 31.12.93 CH2602948 CH0026029485 LPXABOTR LPXBUYE .LPXBOTRCHF 31.12.93 CH2691113 CH0026911138 LPXABOTC .LPXBOTC

LPX Mezzanine EUR 31.12.03 CH3064813 CH0030648130 LPXMEZTR LPXMEZE .LPXMZTRCHF 31.12.03 CH3064814 CH0030648148 LPXMEZTC .LPXMZTC

LPX Venture EUR 31.12.93 CH2614410 CH0026144102 LPXVENTR LPXVENE .LPXVETRCHF 31.12.93 CH3064807 CH0030648072 LPXVENTC .LPXVETC

LPX Direct EUR 31.12.98 CH3630400 CH0036304001 LPXIDITR LPXDIRE .LPXDITRCHF 31.12.98 CH3630407 CH0036304076 LPXIDITC .LPXDITC

LPX Indirect EUR 31.12.99 CH2614436 CH0026144367 LPXINDTR LPXINDE .LPXINTRCHF 31.12.99 CH3064809 CH0030648098 LPXINDTC .LPXINTC

LPX America EUR 31.12.97 CH2614430 CH0026144300 LPXAMETR LPXAMRE .LPXAMTRCHF 31.12.97 CH3064808 CH0030648080 LPXAMETC .KPXAMTC

LPX Europe EUR 31.12.93 CH2614420 CH0026144201 LPXEURTR LPXEURE .LPXEUTRCHF 31.12.93 CH2876579 CH0028765797 LPXEURTC .LPXEUTC

LPX UK EUR 31.12.98 CH3064811 CH0030648114 LPXUKTR LPXUKIE .LPXUKTRCHF 31.12.98 CH3064812 CH0030648122 LPXUKTC .LPXUKTC

Price Index PI

LPX Composite EUR 31.12.01 CH2561655 CH0025616555 LPXCMPPI LPXCOME .LPXCMPICHF 31.12.01 CH3064819 CH0030648197 LPXCMPPC .LPXCMPC

LPX50 EUR 31.12.93 CH2390630 CH0023906305 LPX50PI LPX50IE .LPX50PICHF 31.12.93 CH3064815 CH0030648155 LPX50PC .LPX50PC

LPX Major Market EUR 31.12.97 CH2354257 CH0023542571 LPXMMIPI LPXMAME .LPXMMPICHF 31.12.97 CH2876538 CH0028765383 LPXMMIPC .LPXMMPC

LPX Buyout EUR 31.12.93 CH2602950 CH0026029501 LPXABOPI LPXBUYE .LPXBOPICHF 31.12.93 CH2691116 CH0026911161 LPXABOPC .LPXBOPC

LPX Mezzanine EUR 31.12.03 CH3064823 CH0030648239 LPXMEZPI LPXMEZE .LPXMZPICHF 31.12.03 CH3064824 CH0030648247 LPXMEZPC .LPXMZPC

LPX Venture EUR 31.12.93 CH2614412 CH0026144128 LPXVENPI LPXVENE .LPXVEPICHF 31.12.93 CH3064816 CH0030648163 LPXVENPC .LPXVEPC

LPX Direct EUR 31.12.98 CH3630412 CH0036304126 LPXIDIPI LPXDIRE .LPXDIPICHF 31.12.98 CH3630414 CH0036304142 LPXIDIPC .LPXDIPC

LPX Indirect EUR 31.12.99 CH2614451 CH0026144516 LPXINDPI LPXINDE .LPXINPICHF 31.12.99 CH3064818 CH0030648189 LPXINDPC .LPXINPC

LPX America EUR 31.12.97 CH2614432 CH0026144326 LPXAMEPI LPXAMRE .LPXAMPICHF 31.12.97 CH3064817 CH0030648171 LPXAMEPC .LPXAMPC

LPX Europe EUR 31.12.93 CH2614423 CH0026144235 LPXEURPI LPXEURE .LPXEUPICHF 31.12.93 CH2876573 CH0028765730 LPXEURPC .LPXEUPC

LPX UK EUR 31.12.98 CH3064820 CH0030648205 LPXUKPI LPXUKIE .LPXUKPICHF 31.12.98 CH3064821 CH0030648213 LPXUKPC .LPXUKPC

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