London Business School

London Share Price Data LSPD 2005 Reference Manual Copyright 2006

Version 18.0

For more information, contact Patricia Rowham London Business School, Regent's Park, London NW1 4SA Tel: +44 (0) 20 7262 5050 Email: [email protected]

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LSPD 2005 Table of Contents 1.

INTRODUCTION..............................................................................................3

2.

RECENT MODIFICATIONS ...............................................................................4

3.

SOURCE FILE ..................................................................................................5 3.1 3.2 3.3 3.4 3.5 3.6 3.7

SOURCE FILE: SOURCE FILE: SOURCE FILE: SOURCE FILE: SOURCE FILE: SOURCE FILE: SOURCE FILE:

G RECORDS (GENERAL DESCRIPTIVE) ....................................................6 C RECORDS (CAPITAL CHANGES) ........................................................ 13 D RECORDS (DIVIDENDS) ................................................................ 17 U RECORDS (UNITS) ...................................................................... 19 P RECORDS (PRICES) ..................................................................... 20 S RECORDS (SHARE CAPITAL) ........................................................... 22 N RECORDS (NAMES & SEDOL NUMBERS)............................................ 23

4.

MASTER INDEX FILE .....................................................................................26

5.

RETURNS FILE ..............................................................................................27

6.

ARCHIVE FILE ..............................................................................................29

7.

INDICES FILE ...............................................................................................30

8.

INDICES IN FILE ..........................................................................................31

9.

APPENDIX A1: SE INDUSTRY CODES (1979-1993) .......................................43

10.

APPENDIX A2: FTSEA INDUSTRY CODES (1994-MAR 1999) .........................46

11.

APPENDIX A3: FTSEA INDUSTRY CODES (APR 1999-JAN 2006)...................48

12.

APPENDIX A4: ICB INDUSTRY CODES (JAN 2006-) ......................................51

13.

APPENDIX B1: FTA INDICES AND INDUSTRY CODES (TO DEC 1993)............53

14.

APPENDIX B2: FTSEA INDICES AND INDUSTRY CODES (JAN 1994 -)...........55

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1. Introduction The London Business School Financial Database Project was set up in October 1972 with a grant from SSRC. The SSRC funding terminated in September 1978, since which date the project has been supported directly by the Institute of Finance and Accounting at London Business School. The primary objective of the project was to establish a share price database that would be generally available for British academic research. The London Share Price Database (LSPD) is now used for both research and teaching by many academic institutions. In addition, the database is used to provide the source data for the Risk Measurement Service. Active use of the database for both research and commercial purposes maintains a constant pressure for data accuracy and timeliness. This document describes in detail the structure, technical specifications and data content of the LSPD for external users, with a view to helping them derive the maximum benefit from the database. The LSPD consists predominantly of company-specific information since January 1955, with snapshot header information supplemented with regular and irregular historic observations. The header information, a snapshot as at the end of 2005, is contained in the G records from the Source file and the first line from the Returns file. There are annual regular observations of share capital (the S records from the Source file). The other regular historic observations are monthly: prices (the P records from the Source file), returns (the Returns file) and archive data such as risk measures and industry classification (the Archive file, commencing in January 1979). The irregular historic observations are from the Source file (capital changes, units, dividends and names) and from the Master Index file. The data on indices consists of snapshot header information together with historic monthly index levels.

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2. Recent Modifications The new LSPD 2005 Data includes the same information as LSPD 2003, including the additional Archive file with a monthly time series of risk measures and other variables for all LPSD companies since January 1979. The CD contains the 14 data files in csv (comma separated values) format (L2005A, L2005C, L2005D, L2005G, L2005I, L2005Its, L2005M, L2005N, L2005P, L2005R, L2005Rmv, L2005Rts, L2005S and L2005U) as well as a pdf file (L2005man.pdf) for this manual. This year I have continued with the additional Microsoft Access 2000 file (LSPD2005.mdb) containing the database with formatted date fields. In the appendices of this manual I have tried to give historic information describing the changes in industry codes and names to supplement the current information. Please feel free to contact me with any comments, suggestions for possible improvements and questions on the data.

Mike Staunton [email protected]

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3. Source File The Source File contains the raw data for 8,519 companies, supplemented by the inclusion of a small number of samples. As well as a random sample of 33% of the companies quoted on the London Stock Exchange between 1955 and 1974, and samples containing the largest companies quoted in 1955 and 1972, there is a complete history for all UK companies quoted in London since 1975, including those companies traded on the USM and AIM. The Source File contains monthly share prices going back to 1955, and share related data such as share capital, capital changes and dividend payments. The data is collected from a number of recognised sources, including the Stock Exchange Daily Official List, the Financial Times and Extel’s EXSHARE service. Where possible, data is taken from more than one independent source to provide checks on its accuracy. The data for each company in the Source file is stored as seven different sections of records: General Descriptive (G records) Capital Changes (C records) Dividends (D records) Units (U records) Prices (P records) Share Capital (S records) Names & SEDOL Numbers (N records) There is only one General Descriptive section (containing 60 records) for each stock. In addition to general background information on the company, it contains various key items of data necessary to interpret the number of records contained in the other sections. For example, item G6, the base year, indicates the first year for which data is available for a company and item G5, the number of years of data for the company. Unlike the General Descriptive Data section the remaining sections each contain a varying number of records, dependent on the period covered for that particular company. Those sections with regular observations. Prices Share Capital Share Capital observations are annual and there will be a record for each observation, starting at the base year (G6) and continuing for the number of years (G5). Price observations are collected monthly and there will be a record for each month the security has been on the database. Those sections with event-driven observations. Capital Changes Units Dividends Names These records are stored in chronologically sequenced lists. The number of records in each of the event-driven section is stored in items G2, G3, G4, and G53.

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3.1 Source File: G records (General Descriptive) G1

Company Number

A unique identification number, allocated by us in a sequence from 1, for all British registered companies quoted on the London Stock Exchange since 1955. This number was allocated to overcome the problem of changing (and sometimes re-used) SEDOL numbers. The companies are stored in ascending sequence of company numbers although this sequence has no particular properties e.g. alphabetic or industrial groupings. G2

Number of Capital Changes

Number of records (type-2) in the Capital Changes section. G3

Number of Dividends

Number of records (type-3) in the Dividends section. G4

Number of Units

Number of records (type-4) in the Units section. G5

Number of Years for Prices, Share Capital, Earnings

Number of records in the Prices, Share Capital and Earnings sections i.e. the number of calendar years for which this data is recorded. There may be some missing data during this period due to suspensions. G6

First Year of Data

First calendar year for which data is recorded (format YYYY). G7

Date First Entered Database

The month number when the company’s ordinary share was first included in the database, where January 1900=1. e.g. Jan 1955 = 661 and Dec 2005 = 1272 G8

Type of Birth

This information is regularly collected from Extel cards or the Capital Gains Tax Book (C.G.T. book). An indication of the reason why the security first came into the database and/or was first quoted in SEDOL, where: 50 51 52 53 54 55 56

Company came into the database on the entry of a new sample New company eligible for entry to the database Data collected prior to company entering database Placing Offer for sale/Offer to public Tender Subscription 6

57 58 59 60 61 62 63 64 65 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 G9

Re-introduction/Restoration of listing Merger/Securities issued in Acquisition Issue of new securities by way of scrip or rights issue to existing shareholders Introduction to Stock Exchange/Introduction of shares/Issue to public London quotation granted. Previously listed on Provincial Stock Exchange Conversion (Ord converted in Dfd, Ord redesignated “B” Ord, Ord converted into different shares…) Private placing Demerger IPO Spinoff Type of birth not known either because no date was recorded in the Extel cards or C.G.T. book, or because the actual birth date was long before we started collecting data Management Buy-out Placing combined with an open offer to shareholders Placing combined with an intermediaries offer Placing combined with offer to public Issued under scheme/proposal to common holders or ordinary holders Spinoff from another company Exchange offer (usually Investment Trust company) Issued against split of units Issued in acquisition Acquisition combined with placing Issued in capital reorganisation Exchange offer combined with offer for sale Placing combined with rollover from another trust Rollover combined with other offer Scrip issue combined with placing and other offer Placing combined with other offer and rollover Demutualisation combined with other offer Placing combined with rights issue or open offer Date Last Quoted

The month number when the security was last quoted in SEDOL, where January 1900 = 1. e.g. December 1984 = 1020 If the security is currently quoted at the end of the period covered by the database then the month number = 2000. IMPORTANT see also G12 G10

Type of Death

An indication of the reason why the security ceased to be quoted in the SEDOL. 5 6

Acquisition/takeover/merger Suspension/cancellation with shares acquired later. Meanwhile, 7

7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 G11

may be traded under rule 163(2) Liquidation (usually valueless, but there may be liquidation payments) Quotation cancelled (maybe suspended initially) as company becomes a private company, or there is insufficient trading in the shares. Dealings continue under rule 163(2) or (3) As for 8, but no dealings under rule 163 Quotation suspended – if suspended for more than three years, this may lead to automatic cancellation Voluntary liquidation, where value remains and was / is being distributed Changed to foreign registration Quotation cancelled for reason unknown. Dealings continue under rule 163(2) or (3) As for 13, but no dealings under rule 163 Converted into an alternative security for the same company Receiver appointed/liquidation. Probably valueless, but not yet certain Unitisation of an investment or financial trust Nationalisation Enfranchisement In Administration/Administrative receivership Cancelled and assumed valueless Acquiring Company Number

If item G10 (type of death) is set to 5 or 6 then the company number (see G1) of the acquiring company is given. If the acquiring company is not currently included in the database as a live company, then this number will be negative. There are two special cases: –1 –2 G12

indicates that the company was taken over by a foreign company or a company not in the database, eg by a private company or a management buyout. indicates that the company has been nationalised. Death Event Date

The month number, where January 1900 = 1, in which the death event indicated by G10 occurred. In the case of an acquisition (G10 = 5), this date may be significantly before the date last quoted (G9), if a sufficient number of shares remained unacquired for there still to be a market for them. In the case of a liquidation (G10 = 7), this date may be much later than the date last quoted, as a company’s listing may be suspended for a considerable time before the company goes into liquidation. In the case of a suspension (G10 = 10), this date will be the month number when the security was last quoted in SEDOL. Item G9 will remain set to 2000, to indicate that although the security is not currently quoted in SEDOL, it is still a live company. 8

G13

Sample and Index Constituent Indicators

An indication of whether this company is a member of one of the seven historic samples or is an index constituent at the date of the file (eg end 2003). This is a binary field where: 1

(Bit 1)

2 4 8 16 32 64 128 256 512

(Bit (Bit (Bit (Bit (Bit (Bit (Bit (Bit (Bit

2) 3) 4) 5) 6) 7) 8) 9) 10)

1024 2048 4096 8192 16384 32768 65536 131072 262144 524288 1048576 2097152

(Bit (Bit (Bit (Bit (Bit (Bit (Bit (Bit (Bit (Bit (Bit (Bit

11) 12) 13) 14) 15) 16) 17) 18) 19) 20) 21) 22)

Sample (random) consisting of 33% of companies quoted in January 1955 together with 33% of companies granted quotations in each successive year Sample of 500 largest companies in 1955 Sample of 200 largest companies in 1972 FTSE-250 Index Companies Sample of all companies quoted on or after 1975 Sample of 1000 largest companies in 1976 Sample of quoted companies from “Times Top 1000” 1976 FTSE All Share Index Company(see also G18) Secondary shares of existing companies from January 1978 Irish, Scottish and odd companies quoted in SEDOL from Jan 1978 FTO 30 Index Companies Odd foreign mining and banking shares Unlisted Securities Market (USM) FTSE 100 Index Companies Third market companies O.T.C. companies Split Trusts Sample of Brewery Industry from 1955-1974 Hoare Govett Smaller Companies Index FTSE-Fledgling Alternative Investment Market OFEX

Note: A company may be in more than one sample or index, e.g. a company in the Random sample and an FTSE All Share Index constituent would have a value of 129. To test if a company is a FTSE All Share constituent, the following FORTRAN statement may be used: IF (MOD(G13/128,2).EQ.1) The equivalent test in Excel would be = IF (MOD(INT(G13/128),2)=1,1,0) G15

Latest SEDOL Number

The current or last SEDOL number of the company as at the date of the file where the final digit is a check digit (for recent data). If a SEDOL number is reused, then the SEDOL number for the “dead” company will be negative. The key to the check digit is 31739 modulo 10. e.g. 286509 = > 2*3+8*1+6*7+5*3+0*9 = > 71 modulo 10 = > 10-1 = > 9. G16

SEDOL Group

The SEDOL group for current companies will be one of the following: 9

0 32 37 95

Information not available Commercial and Industrial Investment Trust Alternative Investment Market

The SEDOL group for non-current companies will be one of the following: 0 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 57 58 95 97 98 99

G17

Information not available Banks Breweries Building Societies Commercial & Industrial Electric & Power Financial Trust Gas Insurance Investment Trust Unit Trust Iron, Coal & Steel Mines – Australian Mines – Miscellaneous Mines – Rhodesian & East African Mines – South African Mines – West African Mines – Diamond Nitrate Oil Property Plantations Railways Railways Telegraphs Tramways Shipping Utilities Water Works Alternative Investment Market Third Market Unlisted Securities Market Other unlisted securities. This classification was created by the Stock Exchange for brokers wishing to deal in this type of securities under rule 535. The securities are not quoted, and the price figuring in the left column represents the brokers dealings. Because the dealings are occasional, companies are not obliged to report any changes (i.e. capital changes) Stock Exchange Industrial Classification

The current or last industrial classification as previously recorded in SEDOL and in the back of the Stock Exchange Year Book. 10

This classification has only been officially available since 1970. Prior to this date, we have classified all companies. A list of the industry codes is given in Appendix A1 (for 1979 to 1993), Appendix A2 (for Jan 1994 to Mar 1999), Appendix A3 (for Apr 1999 to Jan 2006) and Appendix A4 (from Jan 2006). Prior to 1994, the Stock Exchange industrial classification system differed from the Financial Times Actuaries index classification system. Since 1994, the two systems have been unified. From Jan 2006 the ICB industrial classification system has been adopted. G18

Financial Times Actuaries Index Marker

An additional marker for all companies included in the FTA (subsequently FTSEA) Classified Indices. Negative number means company also included in FT30 index. 1 or -1 2 or -2 3 G26

FTSE 100 Constituent FTSE 250 Constituent FTSE Small Cap Constituent

Primary/Secondary Share Pointer

Where a company has more than one ordinary share, this pointer will give the COMPANY number of the corresponding other share. G28

Birth Date

When the type of birth is available (G8) the birth date (format DD/MM/YYYY) gives the first date the security was offered for sale or for tender, introduced to the Stock Exchange, placed, issued, acquired in the case of a merger, or first quoted. G29

Issue Price

When the type of birth (G8) and the birth date (G28) are available, the issue price quotes the first price at which the security was offered, when available. G31

S E Company Issuer Code

A unique code allocated to each company, based on codes used by the Stock Exchange containing six alphabetic characters. A seventh character has been added to all codes to provide a check sum against input errors. This code can be used to sort companies by alphabetical order. The Issuer Code may be used as a cross-reference to Extel’s EXSTAT and MicroEXSTAT company accounts databases, which use these codes as the key identifiers for individual companies.

G33

Company Name

Current or last company name (up to 36 characters). G53

Actual Number of Name Records 11

Actual number of name records for this company. G54

Current Number of Shares

Number of shares in snapshot month (live companies only) in thousands. G55

Current Net Dividend

Forecast Net dividend yield in snapshot month (live companies only) as per EXSHARE forecast rules. It is held in the form of a percentage multiplied by 100. G56

Current Earnings

Net (actual) earnings in snapshot month (live companies only). It is held in the form of pence per share multiplied by 100. G57

Current Normal Market Size

Normal market size in snapshot month (live companies only). It is held as the value divided by 100. G59

Current Status Marker

Status marker in snapshot month (live companies only). Held as SEAQ Class*10 + Trustree Status Where: Trustee status marker = 1 for narrow, = 2 for wide definition. SEAQ Class: 1 2 3 4

Alpha Beta Gamma Delta

Note: SEAQ Class started January 1987, finished September 1991. All current companies are now Alpha.

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3.2 Source File: C records (Capital Changes) C1

Ex Date

Date (DD/MM/YYYY) when the share went “ex” for a scrip or rights issue. Note: Due to the structure of the database it is not possible to store two capital changes on the same date. Consequently, where this occurs one of the changes is recorded on the following day. As an indication of this 50 is added to the value of item C3: eg. where the type of capital change = 1, then C3 = 51. C2

Adjustment Factor

Factor by which old share prices must be adjusted to allow for capital changes. Format = true factor * 1000. e.g. A scrip issue of 1 for 2. Adjustment factor = .667 * 1000 = 667. If the factor = 0, then the adjustment factor has not been calculated. These factors are not recorded cumulatively. To calculate adjusted price series they must be multiplied together. If there are two capital changes on the same day then the factors should be multiplied together. Note: In calculating the adjustment factor the fundamental principle is that the value of the company after the capital change is the same as that before. Whenever the ordinary shareholder is given something other than ordinary shares the problem is rather more complex. There are two stages to working out the factor. Firstly, the value of “the something” must be found and secondly, this value must be exchanged back into ordinary shares. At least two prices are necessary, the ex-price of “the something” and the cum-price of the ordinary share. C3

Type of Capital Change

Indication of the type of capital change, where: 1 2 3 4 5 6 7 8 9 10 11 12 13 14

Scrip issue Scrip issue in another share (see C4) Scrip issue then consolidation Consolidation then scrip issue Scrip issue then subdivision Subdivision then scrip issue Scrip issue in another ord. (see C4) then consolidation Scrip issue in another ord. (see C4) then subdivision Complex scrip issue Consolidation Subdivision Capital repayment Cancel part of nominal value Rights issue 13

15 16 17 18 19 20 21 22 >50

Complex rights issue (see C4) Rights issue in another share (see C4) Multiple rights issue Spare Spinoff (rights in another company) Spinoff (rights in foreign company) Demerger Redenomination of par value into Euro Indicates the capital change occurred on the previous day and the type of capital change = item C3-50

Extra data (though patchy) may be available for each type of capital change in the following data items: 1 2 3 4 5 6 7 8 10 11 12 13 14 15 16 17 19 20 21 22

C7 + C8 C4 + C7 + C8 + C9 + C10 C7 + C8 + C9 + C10 + C11 + C12 C7 + C8 + C9 + C10 + C11 + C12 C7 + C8 + C9 + C10 + C11 + C12 C7 + C8 + C9 + C10 + C11 + C12 C4 + C7 + C8 + C9 + C10 + C11 + C12 C4 + C7 + C8 + C9 + C10 + C11 + C12 C9 + C10 C9 + C10 C9 + C10 + C11 + C12 C9 + C10 C11 + C12 C4 + C7 + C8 + C10 + C11 + C12 C4 + C7 + C8 + C10 + C11 + C12 C7 + C8 + C10 + C11 + C12 C7 + C8 + C10 + C11 + C12 C7 + C8 + C10 + C11 + C12 C7 + C8 + C10 + C11 + C12 C7 + C8 + C10 + C11 + C12

C4

Share Type

Other type of share involved in a capital change where C3 = 2, 7, 8, 15 or 16: 1-10 11 12 13 14 15 16 17 18 19 20 21

same as for par values (see U2) convertible loan stock Debenture loan stock capital loan stock income shares convertible debenture stock convertible unsecured loan stock partly convertible loan stock preference share preferred income shares capital stock 14

22 23 24

convertible preference capital shares redeemable preference

C5

Status flag

0 1

Renouncible non renouncible

C7

Variable – 1 New Shares/Amount

Dependent on the type of capital change (C3). NEW SHARES Number of new shares issued by way of script or rights issue in relation to a specified holding of existing shares (see C8). AMOUNT C8

Value in £ of shares offered in complex rights issue.

Variable – 2 Old Share

OLD SHARES issued (C7).

Number of old shares needed to qualify for new shares

e.g. scrip issue 1 for 2, old shares = 2, new shares = 1 C9

Variable – 3 Old Par Value/Ex Price Ord

Dependent on type of capital change (C3). OLD PAR VALUE new pence. EX-PRICE C10

Par (nominal) value of the share, before the capital change, in

Ex-price of ordinary share involved in capital changes.

Variable – 4 New Par Value/Premium/Ex-price Other

Dependent on type of capital change (C3). NEW PAR VALUE pence.

Par (nominal) value of the share, after capital change, in new

PREMIUM

Premium offered on new shares in complex rights issue, recorded in tenths of a pence/£ unit. e.g. 7.5p on a £1 unit = 75.

EX-PRICE OTHER

Ex-price of the other share involved in the issue.

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C11

Variable – 5 Par Value New Shares/Issue Price/Cap.Rep/Am’t Canc

Dependent on capital change type (C3). P V NEW SHARES ISSUE PRICE

Par value of new shares issued (see C7) Issue price of new shares in a rights issue

CAP REP

Amount of capital repayment in new pence

AM’T CANC

Amount cancelled in new pence

C12

Variable – 6 Par Value Old Shares/Cum Price

Dependent on capital change type (C3). P V OLD SHARES

Par value of old shares held (see C8)

CUM PRICE

Cum price of share in new pence on the day before the ex date of a rights issue

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3.3 Source File: D records (Dividends) D1

Ex Dividend Date

Date (DD/MM/YYYY) when share went "XD". D2

Pay Date

Date (DD/MM/YYYY) dividend paid. D3

Net Dividend

Net Dividend per share in hundredths of a pence. D4

Tax Credit

Tax credit per share in hundredths of a pence or, 0 if the dividend is not liable for tax. Thus, the gross dividend is the sum of items D3 and the absolute value of D4. D5

Special Marker

Marker to indicate the status of the dividend, where: 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

Gross dividend (pre 1978) Net of tax Subject to tax Cash or scrip option Non standard period Payment on account of next year For the year For the quarter Special date Tricky Tax free Paid in 2 parts Cash or scrip option + non standard period Dividend restriction + non standard period Payment on account of next year + non standard period Dividend rights waived or part of dividend waived Government freeze of dividend restriction Net + non standard period Payment on account of next year + nett Net + cash or scrip option Net + government freeze or restriction Combined

D6

Year of Dividend

Financial year (YYYY) on which dividend is paid.

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D7

Type of Dividend

Marker (NN) to indicate the type of dividend, where possible single values of N are: 1 2 3 4 5 6 7 8 9 10 11 12 13

First (or quarterly) interim Second interim Third interim Fourth interim Bonus Special distribution Capital distribution Special interim Final Liquidation distribution Capital repayment B share in lieu of interim dividend B share in lieu of final dividend

Note that some digits can be combined e.g. NN = 95 = Final and Bonus D8

Conversion Rate

Conversion rate for non-sterling dividends. Note: Nothing useful now held in this field. D9

Announcement Date

Date (DD/MM/YYYY) that this dividend was announced (or declared). The date will be set to zero if the information is either not available or prior to February 1965. From February 1965 to 1977 this date is the declaration date shown in Moodies (now Stubbs) Taxation Service. Recent dates are these as reported by EXSHARE.

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3.4 Source File: U records (Units) U1

Date of Change

Date (DD/MM/YYYY) that the share changed to this par value. In cases where the precise day in the month is not known, we have chosen the 15th. U2

Type of Share

Type of share, where: 0 1 2 3 4 5 6 7 8 9 10

Ordinary "A" ordinary "B" ordinary "C" ordinary Deferred ordinary Preferred ordinary Ordinary non-voting "A" ordinary non-voting "B" ordinary non-voting "C" ordinary non-voting "A" ordinary restricted voting

Note: Nothing useful now held in this field. U3

New Par Value

Par value of the share in new pence. Note: If there is a change in the type of share but not the nominal value, then a new par value record will record the new share type with the unchanged par value.

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3.5 Source File: P records (Prices) P1

End of Month Date

Date (DD/MM/YYYY) of the last trading day in the month. This is the day on which prices are recorded for each month. P2

Low Quote/Mid-SEDOL Price

Pre-1978 The price in new pence indicating the low end of the official quoted range is given in SEDOL. No quote given if share is suspended. This price is also used in the calculation of market capitalisation. Post-1978 P3

The price represents a mid-SEDOL quote.

High Quote/Closing Prices

Pre-1978 The price in new pence indicating the high end of the official quoted range as given in SEDOL. No quote given if share is suspended. 1978-6/81 The price is the closing jobbers' price as given in the Financial Times, or 0 if not given in the FT. 7/81-now The price is the closing price taken from EPIC (Exchange Price Information Computer, set up by Extel and the Stock Exchange), or 0 if not available from EPIC. P4

Transaction Price

The price in new pence representing the last marked price in the month. In March 1981, when the format of the SEDOL was altered, the sequence of marked prices ceased to be given in chronological order. Since that time a price has been selected at random from all the marked prices, without any special markers, given for the last trading day of the month. If no price meets these criteria then the price after 2.15 the previous day is taken or, failing this, a price at some earlier date. Wherever possible prices with special markers are avoided. In October 86, the format of the SEDOL was altered back to a chronological order. Since then, we have been taking the last price of the day, avoiding special markers if possible. P5

Transaction Date

Date (DD/MM/YYYY) of the transaction. P6

Low Quote Price Marker

Age of P2 price: 0 1-31

Price from last day of month Price is 1-31 days old 20

32 P7

Price is over one month old High Quote Price Marker

Age of P3 price: 0 1-31 32 P8

Price from last day of month Price is 1-31 days old Price is over one month old Price Status

Indicates the status of this price record, where: 0 1 2 3 4 5 6 7 8

9

Not collected Input and proceed normally Failed validation checks of the Data Entry System but was confirmed from SEDOL Price record input by database amended Quotation suspended (only reliably available since 1965) No third price/not found on SEDOL list Flagged as missing or inconsistent with previous price but was confirmed from SEDOL Obvious printing error. Correct price or date inferred Suspicious price change checked against all sources (Extel cards, Capital Gains Tax Book) in 11/86 but no further information was found. When returns are greater than +/- 50% and no specific reason is found, a marker of 9 still remains. Suspicious price or capital change. Because we do not have the relevant SEDOL listings for those years and because it took place before 1965 (when CGT book first appeared), those prices or capital changes should be checked against Extel cards at Extel, or against SEDOL listings at the Guildhall library.

Note: Prices in old pence were decimalised with some subsequent loss of accuracy. As a major proportion of prices were either whole shillings or multiples of 3d the following conversion was used: 1d 2-3d 4-5d 6-8d 9-10d 11-12d

= = = = = =

0p 1p 2p 3p 4p 5p

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3.6 Source File: S records (Share Capital) S1

Year

Year (YYYY) to which share capital data refers. S2

Issued Share Capital for January Each Year

The number (in thousands) of ordinary shares in issue at the start of the year (1 January). This data was originally collected from the "List of Quoted Securities" published monthly by Frederick Mathieson. Certain small companies were not included and, consequently, no share capital could be recorded. Missing data is indicated by a value of -1.

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3.7 Source File: N records (Names & SEDOL Numbers) N1

Start Date

The first month (MMYYYY) for which the record is valid e.g. the month a SEDOL number is first allocated or the month in which a company changes its name. N2

Finish Date

The last month (MMYYYY) for which the record is valid e.g. the month a SEDOL number changes or the month a company loses its quotation. This should be the same as the date in item G9. Will be 122029 for all live companies. G15

SEDOL Number

SEDOL number (see G15). G16

SEDOL Group

The SEDOL group in which the company is classified (see G16). N5

Reason for New SEDOL

This marker gives an indication of the reason this record was created e.g. allocation of new SEDOL number or a change of name. When looking at the first Names record for a company, this item will contain one of the birth markers listed in item G8. 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 69 70 71

Company came into the database on the entry of a new sample New company eligible for entry to the database Data collected prior to company entering database Placing Offer for sale/Offer to public Tender Subscription Re-introduction/Restoration of listing Merger/Securities issued in Acquisition Issue of new securities by way of scrip or rights issue to existing shareholders Introduction to Stock Exchange/Introduction of shares/Issue to public London quotation granted. Previously listed on Provincial Stock Exchange Conversion (Ord converted in Dfd, Ord redesignated “B” Ord, Ord converted into different shares…) Private placing Demerger IPO Spinoff Type of birth not known either because no date was recorded in the Extel cards or C.G.T. book, or because the actual birth date was long before we started collecting data Management Buy-out Placing combined with an open offer to shareholders 23

72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87

Placing combined with an intermediaries offer Placing combined with offer to public Issued under scheme/proposal to common holders or ordinary holders Spinoff from another company Exchange offer (usually Investment Trust company) Issued against split of units Issued in acquisition Acquisition combined with placing Issued in capital reorganisation Exchange offer combined with offer for sale Placing combined with rollover from another trust Rollover combined with other offer Scrip issue combined with placing and other offer Placing combined with other offer and rollover Demutualisation combined with other offer Placing combined with rights issue or open offer

In any subsequent records of the company, the following markers may be used: 1 2 3 4 30 31 32 33 34 35 36 37

Change of name Change of SEDOL group Change of SEDOL number Reorganisation/Merger Relisting after suspension Relisting after suspension and name change Relisting after suspension and SEDOL group change Relisting after suspension and SEDOL number change Relisting after suspension and reorganisation/merger Suspension continues Cancellation and relisting Discharge of administration order and relisting

N6

Previous SEDOL Number

The SEDOL number of the security before the Start date of this record. This field will be set to zero in the first Names record of a company. N7

Reasons for New Name Record

This item gives an indication of the reason for this record being superseded by another or for the death of the company. In the last name record, for live companies this item will have the value 0 while for dead companies this item will take one of the markers listed in G10. 5 6 7 8

Acquisition/takeover/merger Suspension/cancellation with shares acquired later. Meanwhile, may be traded under rule 163(2) Liquidation (usually valueless, but there may be liquidation payments) Quotation cancelled (maybe suspended initially) as company 24

9 10 11 12 13 14 15 16 17 18 19 20 21

becomes a private company, or there is insufficient trading in the shares. Dealings continue under rule 163(2) or (3) As for 8, but no dealings under rule 163 Quotation suspended – if suspended for more than three years, this may lead to automatic cancellation Voluntary liquidation, where value remains and was / is being distributed Changed to foreign registration Quotation cancelled for reason unknown. Dealings continue under rule 163(2) or (3) As for 13, but no dealings under rule 163 Converted into an alternative security for the same company Receiver appointed/liquidation. Probably valueless, but not yet certain Unitisation of an investment or financial trust Nationalisation Enfranchisement In Administration/Administrative receivership Cancelled and assumed valueless

In any preceding records, the following markers may be used : 1 2 3 4 10 N8

Change of name Change of SEDOL group Change of SEDOL number Reorganisation/Merger Suspension Succeeding SEDOL Number

SEDOL number of the succeeding share or company e.g. when a takeover has occurred, the SEDOL number of the acquiring company will be given. If the acquiring company in not currently included in the database as a live company, then this number will be negative. There are two special cases: -1 -2 N9

indicates that the company was taken over by a foreign company or a company not in the database. indicates that the company has been nationalised. Company Name

Name of the company for the period between the Start and Finish dates.

25

4. Master Index File When originally setting up the LSPD, it was necessary to identify all the UK companies that had been quoted on the London Stock Exchange since 1955, in order that the samples, which were to constitute the database at that time, could be selected. The names, SEDOL numbers, industry groups, cross references, quotation granted and cancellation dates of these companies are stored in the Master Index File. The data can also be found in the Names section of the Source File but it is normally only present from the date of entry of the company into the database. The Master Index remains the only known computer readable source of information on the total UK population of the London Stock Exchange for the period since 1955. Not only does the Master Index facilitate the identification of companies quoted on the Stock Exchange at any time during this period, but also the cross-reference information allows companies that have changed their names or SEDOL numbers to be traced easily. Master Index File Contents The Master Index is a comprehensive index of the names of all UK companies quoted on the London Stock Exchange since 1955. Each record contains: G15 M2

SEDOL number Birth month

M3

Death month

G16 M5 G1

SEDOL group Company name Company number Sample marker Reason for birth

G13 M8

N6

M10 N8

Stock Exchange code number (including check digit) First month (15MMYYYY) on which the SEDOL number applied. If quoted in January 1955 then the Birth month = 11955. Last month (15MMYYYY) that this SEDOL number applied. If record is current then the Death month = 15122099. See G16. Full name of the company. See G1.

See G13. See G8 and N5. Two additional codes are found only in master index: 48 security existed at January 1955, 49 - birth reason unknown. Pointer to SEDOL number of preceding record, if any. See N6. preceding record for the same company Reason for death See G10 and N7. Pointer for SEDOL number of succeeding record, if any. Also see N8. succeeding record for the same company

Important: In order to accommodate extra samples, the sample marker now occupies 10 characters (not 4 as in previous versions).

26

5. Returns File The majority of research applications based on the LSPD need to compute adjusted returns from the price series before doing any serious analysis. In order to obviate the necessity for deriving this data every time any analysis is undertaken, the derived returns data itself is permanently stored in a file, the Returns File. The Returns File is generated directly from the data contained in the Source and Indices Files, and has two types of record: a) there is a corresponding record in the Returns File for each share in the Source File, having the same code number. b) there are records for most of the indices in the Indices File, having code numbers of 9,990,000 + the index number. Each record contains a header with general descriptive data on the share or index to which it refers, followed by a time-series of monthly log returns, an indication of nontrading associated with each monthly return and an annual series of market capitalisations. Calculation The return is calculated as: rt = ln ((pt + dt) / pt-1) Where: rt is the log-return in month t pt is the last traded price (P4) in month t. Unless it is traded on last day of month (P5 = P1) and the closing price (P3) is for the last day of the month (digits 3 and 4 of P6 = 0) then take P3 (pre 1978 (P2 + P3)/2). dt is the dividend going xd during month t (included only if xd date falls in the date range of traded prices); the dividend is adjusted to a month-end basis. pt-1 is the last traded price in month t-1 adjusted to the same basis. Adjustments All adjustments are based on the principle that the total value of all classes of share in a company is unaltered by a change in capital structure. The two most common cases are: Scrip Adjustment Factor =

Number of Old Shares (Number of Old + Number of New Shares) Rights Adjustment Factor =

(Old Shares × Cum Price + New Shares × Issue Price) (Old + New) Shares × Cum Price 27

Missing Values It is obviously not possible to calculate returns for months where prices are unavailable e.g. when a company is temporarily suspended or when no trades were recorded in SEDOL. In cases such as these, a value of –10.00 is assigned to indicate that a return cannot be calculated and is missing from the series. Note that there will always be a missing return in the first month a company is traded (or collected).

Returns File Contents

For each company/index the following items are stored (R file): G1 G15 R3 R4

COMP SEDOL RNAME DTI

R5 R6 R7 G13 G17 R11 R12 P3 R14

FREQ START END SAMP INDY MVAL NTRADE PRICE DYLD

R15

PER

R16

DMARK

R18

VELOCITY

Company number (G1) SEDOL number (G15), or index no + 9990000 Company/index name (G33) Cross reference to old DTI/Whittington company accounts database Frequency (always 12) First month of data (MMYYYY) Last month of data (MMYYYY) Sample markers at end of snapshot month (G13) Stock Exchange industrial classification (G17) Market value in millions at end of snapshot month (G54 x P3) Non-trading average x 10 (2 year average) Closing mid price at end of snapshot month (P3) Net yield at end of snapshot month (Net dividend (G55)/Price (P3)) * 100 P/E ratio at end of snapshot month (Price P3/Earnings G56) * 100 Death marker and Trustee Status marker held in the form: Death marker (G10) + (Trustee Status marker (G59) x 100) Trading velocity at end of snapshot month x 10 (where trading velocity is value of shares traded in previous three months as an annual percentage of market capitalisation)

The Rts file stores the time series of monthly log returns and non-trading markers R19 LOGRET Log returns for each month (MMYYYY); Missing values = - 10.0 R20 NTDAYS Non-trading days corresponding to returns (see below) For each return there is an equivalent non-trading indicator. This indicates the number of days before the end of the month that the last trade occurred. 0 traded on last day of month 1-31 trade is 1-31 days old 32 not traded this month (note return will normally be zero unless a dividend has occurred) 33special case where there was a missing return in the previous month (due 63 to unavailable price). This observation represents an ‘n-month’ return with a non-trading indicator value equal to the value shown minus 33. The Rmv file stores the annual market values R21

MVAL

Market value for the start of year in units of £M (-1 if not available)

28

6. Archive File The Archive File provides for each company a monthly time series of variables (some of which appear in the Source File and others taken from the Risk Measurement Service). Companies are arranged in LSPD company number and this overcomes the problems the problems of changing SEDOL numbers and company names that arise when using the published RMS booklets over time. Archive File Contents G1 A2 A4 A5 A6 A7 A9 G13 G17

LSPD number Month-end date Market cap Beta * 1000 Variability * 10 Specific risk * 10

See G1 In DDMMYYYY format Market value of the company's ordinary shares in £000 The sensitivity of the share to market moves The standard deviation of log returns on the share The standard deviation of non-market related risk for log share returns Dividend per share * Dividend per share, as provided by EXSHARE 100 Sample marker Contents of G13 at month-end in question; see G13 SE Industry code SE Industry code at month-end; see G17

29

7. Indices File There are a number of monthly time-series indices that have been collected for different research projects. These are stored as an index value for each month together with some descriptive data such as dates, name and type. The index levels are all month-end levels, excepting inflation that is mid-month. Where the base level of any index changes then all previous values are adjusted accordingly. Indices File Contents There is a single record (file I) for each index, the items of which are: I1 I2 I3 I4

I6 I8

Index number range (1-799) First month of data (MMYYYY) Last month of date (MMYYYY) Type of index 1 FTA share 2 International share 3 Economic index 4 Exchange rate 5 Commodity 6 % return 7 FTA dividend yield 8 FTA earnings yield 9 Interest rate 10 Price/Earnings ratio 11 XD adjustment 12 Total return Associated number of FTA dividend yield Name of index

An additional file (Its) stores the time series of monthly index values INDVAL

Index values for each month (MMYYYY).

30

8. Indices in File 1 11955 122005FTO then FTA 2 11955 122005FTO Then FTA dyld 3 11955 122005Treasury Bill Rate (90 Day) 4 11955 122005Retail Price Index 5 11955 81978wholesale price index 8 11955 122005FTO Then FTA rets 34 11994 122005FTSE Small Cap totr 36 11994 122005FTSE Small Cap xdadj 37 11994 122005FTSE Small Cap per 38 11994 122005FTSE 250 totr 39 11994 122005FTSE 250 xdadj 40 11994 122005FTSE 250 per 41 11994 122005FTSE All Share totr 42 11994 122005FTSE All Share per 43 121987 122005FTSE 100 totr 44 11994 122005FTSE 100 xdadj 45 11994 122005FTSE 100 per 46 11994 122005FTSE 100 dyld 47 11994 122005FTSE 100 eyld 48 41985 122005FTSE All Share xdadj 49 121977 122005FTSE 100 50 11955 122000FTO (30-Share) 51 41962 121993capital goods group 52 41962 121993capital goods group eyld 53 41962 121993capital goods group dyld 54 41962 121993building materials 55 41962 121993building materials eyld 56 41962 121993building materials dyld 57 41962 121993contracting, construction 58 41962 121993contracting, construction eyld 59 41962 121993contracting, construction dyld 60 41962 121993electricals 61 41962 121993electricals eyld 62 41962 121993electricals dyld 63 11972 121983engineering contractors 64 11972 121983engineering contractors eyld 65 11972 121983engineering contractors dyld 66 11972 121989mechanical engineering 67 11972 121989mechanical engineering eyld 68 11972 121989mechanical engineering dyld 69 41962 121977machine and other tools 70 41962 121977machine and other tools eyld 71 41962 121977machine and other tools dyld 72 41962 121993metals and metal forming 73 41962 121993metals and metals forming eyld 74 41962 121993metals and metal forming dyld 75 41962 121980consumer goods (durable) group 76 41962 121980consumer goods (durable) group eyld 77 41962 121980consumer goods (durable) group dyld 78 41962 121980lt electronics, radio, tv 79 41962 121980lt electronics, radio, tv eyld 80 41962 121980lt electronics, radio, tv dyld 81 41962 121980household goods

31

82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137

41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 11970 11970 11970 41962 41962 41962 41962 41962 41962 11968 11968 11968 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 11970 11970 11970 41962 41962 41962 11970 11970 11970 41962 41962 41962 41962 41962 41962 11971 11971 11971

121980household goods eyld 121980household goods dyld 121993motors 121993motors eyld 121993motors dyld 121993consumer goods (non-dur) group 121993consumer goods (non-dur) group eyld 121993consumer goods (non-dur) group dyld 121993brewers and distillers 121993brewers and distillers eyld 121993brewers and distillers dyld 121980wines and spirits 121980wines and spirits eyld 121980wines and spirits dyld 121993hotels and leisure 121993hotels and leisure eyld 121993hotels and leisure dyld 121993food manufacturing 121993food manufacturing eyld 121993food manufacturing dyld 121993food retailing 121993food retailing eyld 121993food retailing dyld 121990newspapers, publishing 121990newspapers, publishing eyld 121990newspapers, publishing dyld 121993packaging and paper 121993packaging and paper eyld 121993packaging and paper dyld 121993stores 121993stores eyld 121993stores dyld 121993textiles 121993textiles eyld 121993textiles dyld 121986tobacco 121986tobacco eyld 121986tobacco dyld 121980toys and games 121980toys and games eyld 121980toys and games dyld 121993chemicals 121993chemicals eyld 121993chemicals dyld 121986office equipment 121986office equipment eyld 121986office equipment dyld 121993transport 121993transport eyld 121993transport dyld 121993miscellaneous 121993miscellaneous eyld 121993miscellaneous dyld 121993industrial group 121993industrial group eyld 121993industrial group dyld

32

138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193

41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 11968 11968 11968 41962 41962 41962 41962 41962 41962 11971 11971 11971 11972 11972 11972 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 11968 11968 11968 41962 41962

121993oils 121993oils eyld 121993oils dyld 121993ft 500 121993ft 500 eyld 121993ft 500 dyld 121993financial group 121993financial group eyld 121993financial group dyld 121993banks 121993banks eyld 121993banks dyld 121984discount houses 121984discount houses eyld 121984discount houses dyld 121981hire purchase 121981hire purchase eyld 121981hire purchase dyld 121993insurance (life) 121993insurance (life) eyld 121993insurance (life) dyld 121993insurance (composite) 121993insurance (composite) eyld 121993insurance (composite) dyld 121993insurance brokers 121993insurance brokers eyld 121993insurance brokers dyld 121993merchant banks 121993merchant banks eyld 121993merchant banks dyld 121993property 121993property eyld 121993property dyld 121993other financial 121993other financial eyld 121993other financial dyld 121993investment trusts (2) 121993investment trusts (2) eyld 121993investment trusts (2) dyld 122005FTSE All Share 122005FTSE All Share eyld 122005FTSE All Share dyld 121976rubbers 121976rubbers eyld 121976rubbers dyld 121976teas 121976teas eyld 121976teas dyld 121976coppers 121976coppers eyld 121976coppers dyld 121989mining finance 121989mining finance eyld 121989mining finance dyld 121976tins 121976tins eyld

33

194 197 198 200 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 253 254 255 256 257 258 259 260 261 262

41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 41962 11975 11975 11975 11978 11978 11978 11978 11978 11978 11981 11981 11981 11981 11981 11981 71977 11977 11984 11984 11984 121984 121984 121984 121986 121986

121976tins dyld 41977consols 2.5% dyld 4197720-yr govt. stocks 4197720-yr govt. stocks dyld 61967steel 61967steel eyld 61967steel dyld 121969rubber manufacturing 121969rubber manufacturing eyld 121969rubber manufacturing dyld 121969miscellaneous (durable) 121969miscellaneous (durable) eyld 121969miscellaneous (durable) dyld 121969miscellaneous (non-durable) 121969miscellaneous (non-durable) eyld 121969miscellaneous (non-durable) dyld 121967lead-zincs 121967lead-zincs eyld 121967lead-zincs dyld 121971aircraft and components 121971aircraft and components eyld 121971aircraft and components dyld 121971engineering 121971engineering eyld 121971engineering dyld 121970shipbuilding 121970shipbuilding eyld 121970shipbuilding dyld 121977investment trusts (1) 121977investment trusts (1) eyld 121977investment trusts (1) dyld 121990overseas traders 121990overseas traders eyld 121990overseas traders dyld 121993other groups 121993other groups eyld 121993other groups dyld 121993health and household products 121993health and household products eyld 121993health and household products dyld 121993other industrial materials 121993other industrial materials eyld 121993other industrial materials dyld 121984other consumers 121984other consumers eyld 121984other consumers dyld 121981british govt 5-15 yrs 121981british govt 5-15 yrs xdadj 121993electronics 121993electronics eyld 121993electronics dyld 121993telephone networks 121993telephone networks eyld 121993telephone networks dyld 121990agencies 121990agencies eyld

34

263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 400 401 402 403 404 405 406 407 408 409 410 411 412 413 414 415 416 417 418 419

121986 121986 121986 121986 121989 121989 121989 121989 121989 121989 121989 121989 121989 121990 121990 121990 121990 121990 121990 121990 121990 121990 91970 91970 121985 121985 121992 11994 11994 11994 11994 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994

121990agencies dyld 121993conglomerates 121993conglomerates eyld 121993conglomerates dyld 121993water 121993water eyld 121993water dyld 121993engineering - aerospace 121993engineering - aerospace eyld 121993engineering - aerospace dyld 121993engineering - general 121993engineering - general eyld 121993engineering - general dyld 121993media 121993media eyld 121993media dyld 121993business services 121993business services eyld 121993business services dyld 121993electricity 121993electricity eyld 121993electricity dyld 122005T.Bills (3 Month Mkt Rates) 122005T.Bills (1 Month Mkt Rates) 122005FTSE 250 122005FTSE 350 122005FTSE Small Cap indx 122005FTSE Small Cap eyld 122005FTSE Small Cap dyld 122005FTSE 250 eyld 122005FTSE 250 dyld 122005FTSE 350 eyld 122005FTSE 350 dyld 122005FTSE 350 per 122005FTSE 350 xdadj 122005FTSE 350 totr 122005Resources 122005Resources eyld 122005Resources dyld 122005Resources per 122005Resources xdadj 122005Resources totr 122005Mining 122005Mining eyld 122005Mining dyld 122005Mining per 122005Mining xdadj 122005Mining totr 122005Oil & Gas 122005Oil & Gas eyld 122005Oil & Gas dyld 122005Oil & Gas per 122005Oil & Gas xdadj 122005Oil & Gas totr 31999oil exploration & prod 31999oil exploration & prod eyld

35

420 421 422 423 424 425 426 427 428 429 430 431 432 433 434 435 436 437 438 439 440 441 442 443 444 445 446 447 448 449 450 451 452 453 454 455 456 457 458 459 460 461 462 463 464 465 466 467 468 469 470 471 472 473 474 475

11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994

31999oil exploration & prod dyld 31999oil exploration & prod per 31999oil exploration & prod xdadj 31999oil exploration & prod totr 122005General Industrials 122005General Industrials eyld 122005General Industrials dyld 122005General Industrials per 122005General Industrials xdadj 122005General Industrials totr 31999construction 31999construction eyld 31999construction dyld 31999construction per 31999construction xdadj 31999construction totr 122005Construction & Building Mats 122005Construction & Building Mats eyld 122005Construction & Building Mats dyld 122005Construction & Building Mats per 122005Construction & Building Mats xdadj 122005Construction & Building Mats totr 122005Chemicals 122005Chemicals eyld 122005Chemicals dyld 122005Chemicals per 122005Chemicals xdadj 122005Chemicals totr 122005Diversified Industrials 122005Diversified Industrials eyld 122005Diversified Industrials dyld 122005Diversified Industrials per 122005Diversified Industrials xdadj 122005Diversified Industrials totr 122005Electronic & Electrical Equip 122005Electronic & Electrical Equip eyld 122005Electronic & Electrical Equip dyld 122005Electronic & Electrical Equip per 122005Electronic & Electrical Equip xdadj 122005Electronic & Electrical Equip totr 122005Engineering & Machinery 122005Engineering & Machinery eyld 122005Engineering & Machinery dyld 122005Engineering & Machinery per 122005Engineering & Machinery xdadj 122005Engineering & Machinery totr 122005Automobiles 122005Automobiles eyld 122005Automobiles dyld 122005Automobiles per 122005Automobiles xdadj 122005Automobiles totr 122001Packaging 122001Packaging eyld 122001Packaging dyld 122001Packaging per

36

476 477 478 479 480 481 482 483 484 485 486 487 488 489 490 491 492 493 494 495 496 497 498 499 500 501 502 503 504 505 506 507 508 509 510 511 512 513 514 515 516 517 518 519 520 521 522 523 524 525 526 527 528 529 530 531

11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994

122001Packaging xdadj 122001Packaging totr 121997textiles & apparel 121997textiles & apparel eyld 121997textiles & apparel dyld 121997textiles & apparel per 121997textiles & apparel xdadj 121997textiles & apparel totr 122005Cyclical Consumer Goods 122005Cyclical Consumer Goods eyld 122005Cyclical Consumer Goods dyld 122005Cyclical Consumer Goods per 122005Cyclical Consumer Goods xdadj 122005Cyclical Consumer Goods totr 122000Restaurants Pubs & Breweries 122000Restaurants Pubs & Breweries eyld 122000Restaurants Pubs & Breweries dyld 122000Restaurants Pubs & Breweries per 122000Restaurants Pubs & Breweries xdadj 122000Restaurants Pubs & Breweries totr 122005Alcoholic Beverages 122005Alcoholic Beverages eyld 122005Alcoholic Beverages dyld 122005Alcoholic Beverages per 122005Alcoholic Beverages xdadj 122005Alcoholic Beverages totr 122005Food Producers & Processors 122005Food Producers & Processors eyld 122005Food Producers & Processors dyld 122005Food Producers & Processors per 122005Food Producers & Processors xdadj 122005Food Producers & Processors totr 122005Household Goods & Textiles 122005Household Goods & Textiles eyld 122005Household Goods & Textiles dyld 122005Household Goods & Textiles per 122005Household Goods & Textiles xdadj 122005Household Goods & Textiles totr 122005Health 122005Health eyld 122005Health dyld 122005Health per 122005Health xdadj 122005Health totr 122005Pharmaceuticals 122005Pharmaceuticals eyld 122005Pharmaceuticals dyld 122005Pharmaceuticals per 122005Pharmaceuticals xdadj 122005Pharmaceuticals totr 122005Tobacco 122005Tobacco eyld 122005Tobacco dyld 122005Tobacco per 122005Tobacco xdadj 122005Tobacco totr

37

532 533 534 535 536 537 538 539 540 541 542 543 544 545 546 547 548 549 560 561 562 563 564 565 566 567 568 569 570 571 572 573 574 575 576 577 578 579 580 581 582 583 584 585 586 587 588 589 590 591 592 593 594 595 596 597

121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994

122005Cyclical Services 122005Cyclical Services eyld 122005Cyclical Services dyld 122005Cyclical Services per 122005Cyclical Services xdadj 122005Cyclical Services totr 122001Distributors 122001Distributors eyld 122001Distributors dyld 122001Distributors per 122001Distributors xdadj 122001Distributors totr 122005Leisure Entertain & Hotels 122005Leisure Entertain & Hotels eyld 122005Leisure Entertain & Hotels dyld 122005Leisure Entertain & Hotels per 122005Leisure Entertain & Hotels xdadj 122005Leisure Entertain & Hotels totr 122005Media & Photography 122005Media & Photography eyld 122005Media & Photography dyld 122005Media & Photography per 122005Media & Photography xdadj 122005Media & Photography totr 122005Food & Drug Retailers 122005Food & Drug Retailers eyld 122005Food & Drug Retailers dyld 122005Food & Drug Retailers per 122005Food & Drug Retailers xdadj 122005Food & Drug Retailers totr 122005General Retailers 122005General Retailers eyld 122005General Retailers dyld 122005General Retailers per 122005General Retailers xdadj 122005General Retailers totr 122005Support Services 122005Support Services eyld 122005Support Services dyld 122005Support Services per 122005Support Services xdadj 122005Support Services totr 122005Transport 122005Transport eyld 122005Transport dyld 122005Transport per 122005Transport xdadj 122005Transport totr 121995other services & business 121995other services & business eyld 121995other services & business dyld 121995other services & business per 121995other services & business xdadj 121995other services & business totr 122005Utilities 122005Utilities eyld

38

598 599 600 601 602 603 604 605 606 607 608 609 610 611 612 613 614 615 616 617 618 619 620 621 622 623 624 625 626 627 628 629 630 631 632 633 634 635 636 637 638 639 640 641 642 643 644 645 646 647 648 649 650 651 652 653

11994 11994 11994 11994 121990 11994 11994 11994 11994 11994 121986 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121989 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994

122005Utilities dyld 122005Utilities per 122005Utilities xdadj 122005Utilities totr 122005Electricity 122005Electricity eyld 122005Electricity dyld 122005Electricity per 122005Electricity xdadj 122005Electricity totr 122005Gas Distribution 122005Gas Distribution eyld 122005Gas Distribution dyld 122005Gas Distribution per 122005Gas Distribution xdadj 122005Gas Distribution totr 122005Telecommunications Services 122005Telecommunications Services 122005Telecommunications Services 122005Telecommunications Services 122005Telecommunications Services 122005Telecommunications Services 122002Water 122002Water eyld 122002Water dyld 122002Water per 122002Water xdadj 122002Water totr 122005Non-Financials 122005Non-Financials eyld 122005Non-Financials dyld 122005Non-Financials per 122005Non-Financials xdadj 122005Non-Financials totr 122005Financials 122005Financials eyld 122005Financials dyld 122005Financials per 122005Financials xdadj 122005Financials totr 122005Banks 122005Banks eyld 122005Banks dyld 122005Banks per 122005Banks xdadj 122005Banks totr 122005Insurance 122005Insurance eyld 122005Insurance dyld 122005Insurance per 122005Insurance xdadj 122005Insurance totr 122005Life Assurance 122005Life Assurance eyld 122005Life Assurance dyld 122005Life Assurance per

eyld dyld per xdadj totr

39

654 655 656 657 658 659 660 661 662 663 664 665 666 667 668 669 670 671 672 673 674 675 676 677 678 679 680 681 682 683 684 685 686 687 688 689 690 691 692 693 694 695 696 697 698 699 700 701 702 703 704 705 706 707 708 709

11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 121985 11994 11994 11994 11994 11994 11994 11994 11994 11994 11994 11994 11994 11994 11994 11994 11994 11994 11995 11995 11995 11995 11995 11995 11995 11995 11995 11995 11995 11995 11995 11995 11995 11995 11995 11995

122005Life Assurance xdadj 122005Life Assurance totr 121997banks, merchant 121997banks, merchant eyld 121997banks, merchant dyld 121997banks, merchant per 121997banks, merchant xdadj 121997banks, merchant totr 122005Speciality & Other Financial 122005Speciality & Other Financial eyld 122005Speciality & Other Financial dyld 122005Speciality & Other Financial per 122005Speciality & Other Financial xdadj 122005Speciality & Other Financial totr 122005Real Estate 122005Real Estate eyld 122005Real Estate dyld 122005Real Estate per 122005Real Estate xdadj 122005Real Estate totr 122005Investment Companies 122005Investment Companies eyld 122005Investment Companies dyld 122005Investment Companies per 122005Investment Companies xdadj 122005Investment Companies totr 122005FTSE 250 Ex IT 122005FTSE 250 Ex IT eyld 122005FTSE 250 Ex IT dyld 122005FTSE 250 Ex IT per 122005FTSE 250 Ex IT xdadj 122005FTSE 250 Ex IT totr 122005FTSE Small Cap Ex IT 122005FTSE Small Cap Ex IT eyld 122005FTSE Small Cap Ex IT dyld 122005FTSE Small Cap Ex IT per 122005FTSE Small Cap Ex IT xdadj 122005FTSE Small Cap Ex IT totr 122005FTSE 350 Higher Yield 122005FTSE 350 Higher Yield eyld 122005FTSE 350 Higher Yield dyld 122005FTSE 350 Higher Yield per 122005FTSE 350 Higher Yield xdadj 122005FTSE 350 Higher Yield totr 122005FTSE 350 Lower Yield 122005FTSE 350 Lower Yield eyld 122005FTSE 350 Lower Yield dyld 122005FTSE 350 Lower Yield per 122005FTSE 350 Lower Yield xdadj 122005FTSE 350 Lower Yield totr 122005FTSE Fledgling 122005FTSE Fledgling eyld 122005FTSE Fledgling dyld 122005FTSE Fledgling per 122005FTSE Fledgling xdadj 122005FTSE Fledgling totr

40

710 711 712 713 714 715 716 717 718 719 720 721 722 723 724 725 726 727 728 729 730 731 732 733 734 735 736 737 738 739 740 741 742 743 744 745 746 747 748 749 750 751 752 753 754 755 756 757 758 759 760 761 762 763 764 765

11995 11995 11995 11995 11995 11995 41999 41999 41999 41999 41999 41999 41999 41999 41999 41999 41999 41999 41999 41999 41999 41999 41999 41999 11990 41999 41999 41999 41999 11990 11990 41999 41999 41999 41999 11990 11990 41999 41999 41999 41999 11990 11990 41999 41999 41999 41999 11990 11990 41999 41999 41999 41999 11990 11990 41999

122005FTSE Fledgling Ex IT 122005FTSE Fledgling Ex IT eyld 122005FTSE Fledgling Ex IT dyld 122005FTSE Fledgling Ex IT per 122005FTSE Fledgling Ex IT xdadj 122005FTSE Fledgling Ex IT totr 122005FTSE 350 Ex IT 122005FTSE 350 Ex IT eyld 122005FTSE 350 Ex IT dyld 122005FTSE 350 Ex IT per 122005FTSE 350 Ex IT xdadj 122005FTSE 350 Ex IT totr 122005FTSE All Share Ex IT 122005FTSE All Share Ex IT eyld 122005FTSE All Share Ex IT dyld 122005FTSE All Share Ex IT per 122005FTSE All Share Ex IT xdadj 122005FTSE All Share Ex IT totr 122005FTSE AIM 122005FTSE AIM eyld 122005FTSE AIM dyld 122005FTSE AIM per 122005FTSE AIM xdadj 122005FTSE AIM totr 122005Basic Industries 122005Basic Industries eyld 122005Basic Industries dyld 122005Basic Industries per 122005Basic Industries xdadj 122005Basic Industries totr 122005Forestry & Paper 122005Forestry & Paper eyld 122005Forestry & Paper dyld 122005Forestry & Paper per 122005Forestry & Paper xdadj 122005Forestry & Paper totr 122005Steel & Other Metals 122005Steel & Other Metals eyld 122005Steel & Other Metals dyld 122005Steel & Other Metals per 122005Steel & Other Metals xdadj 122005Steel & Other Metals totr 122005Aerospace & Defence 122005Aerospace & Defence eyld 122005Aerospace & Defence dyld 122005Aerospace & Defence per 122005Aerospace & Defence xdadj 122005Aerospace & Defence totr 122005Non-Cyclical Consumer Goods 122005Non-Cyclical Consumer Goods eyld 122005Non-Cyclical Consumer Goods dyld 122005Non-Cyclical Consumer Goods per 122005Non-Cyclical Consumer Goods xdadj 122005Non-Cyclical Consumer Goods totr 122005Personal Care & House Prods 122005Personal Care & House Prods eyld

41

766 767 768 769 770 771 772 773 774 775 776 777 778 779 780 781 782 783 784 785 786 787 788 789 790 791 792 793 794 795 796 797 798 799

41999 41999 41999 11990 11990 41999 41999 41999 41999 11990 11990 41999 41999 41999 41999 11990 11990 41999 41999 41999 41999 11990 11990 41999 41999 41999 41999 11990 11998 122003 122003 122003 122003 11998

122005Personal Care & House Prods dyld 122005Personal Care & House Prods per 122005Personal Care & House Prods xdadj 122005Personal Care & House Prods totr 122005Non-Cyclical Services 122005Non-Cyclical Services eyld 122005Non-Cyclical Services dyld 122005Non-Cyclical Services per 122005Non-Cyclical Services xdadj 122005Non-Cyclical Services totr 122005Information Technology 122005Information Technology eyld 122005Information Technology dyld 122005Information Technology per 122005Information Technology xdadj 122005Information Technology totr 122005Information Techn Hardware 122005Information Techn Hardware eyld 122005Information Techn Hardware dyld 122005Information Techn Hardware per 122005Information Techn Hardware xdadj 122005Information Techn Hardware totr 122005Software & Computer Services 122005Software & Computer Services eyld 122005Software & Computer Services dyld 122005Software & Computer Services per 122005Software & Computer Services xdadj 122005Software & Computer Services totr 122005Utilities, Other 122005Utilities, Other eyld 122005Utilities, Other dyld 122005Utilities, Other per 122005Utilities, Other xdadj 122005Utilities, Other totr

42

9. Appendix A1: SE Industry Codes (1979-1993) 9 11 11 11 12 13 14 15 16 17 18 19 19 19 20 20 20 21 21 22 23 24 25 26 27 27 28 29 29 30 30 31 32 33 33 34 35 35 36 36 36 37 37 38 38 39 39 40

Water Works Aircraft & Components Cold Formed Fastenings & Turned Parts Other Industrial Materials & Capital Goods Bricks & Roofing Tiles Builders Merchants Building Materials Cement & Concrete Paint Timber Contracting & Construction Electricals (Heavy) Electricals (ex Radio & TV) Electricals Boiler Makers Cold Formed Fastenings & Turned Parts Rubbers Founders & Stampers Aerospace Industrial Plant Mechanical Handling Pumps & Valves Steel & Chemical Plant Wires & Ropes Misc Engineering Misc Mechanical Engineering Machine & Other Tools Shipbuilding Misc Engineering Contractors Heating & Ventilating Education & Business Training Instruments Metallurgy Special Steels Steel Misc Metal Forming Light Electronics, Radio & TV Electronics Radio & TV Rental Radio & TV Computer Software Floor Covering Broadcasting Contractors Furniture & Bedding Furniture & Furnishings Household Appliances Health Care Kitchen & Tableware

1990 Dec-78 1979 Jan-81 Dec-78 Dec-78 Dec-78 Dec-78 Dec-78 Dec-78 Dec-78 Dec-78 Jan-81 Jan-84 Dec-78 Jan-80 Jan-91 Dec-78 Jul-89 Dec-78 Dec-78 Dec-78 Dec-78 Dec-78 Dec-78 Apr-80 Dec-78 Dec-78 Jan-80 Dec-78 Jan-92 Dec-78 Dec-78 Dec-78 1988 Dec-78 Dec-78 Jan-84 Dec-78 Jan-81 Jan-92 Dec-78 Jan-91 Dec-78 1985 Dec-78 Jan-92 Dec-78

Dec-93 1979 Dec-79 Dec-93 Sep-91 Dec-93 Dec-93 Sep-91 Dec-93 Sep-91 Dec-93 Dec-80 Dec-83 Dec-93 Dec-79 Dec-88 Dec-93 Dec-88 Dec-93 Dec-93 Dec-93 Sep-91 Sep-91 Sep-91 Mar-80 Dec-93 Dec-93 Sep-91 Dec-93 Dec-93 Dec-93 1988 Dec-93 Dec-93 Dec-80 Dec-80 Dec-90 Dec-93 Dec-90 Dec-93 1985 Dec-93 Sep-91 Dec-93 Sep-91 43

40 41 42 43 44 45 46 47 48 49 49 50 51 51 52 53 54 55 56 57 57 58 59 60 60 60 61 62 63 64 64 64 64 65 65 66 66 67 67 67 67 68 69 69 70 70 71 71 72 72 73

Personal & Household Care Motor Components Motor Distributors Motor Vehicles Security & Alarm Services Breweries Wines & Spirits Hotels & Caterers Leisure General Food Manufacturing Food Manufacturers Milling & Flour Food Retailing Food Retailers Newspapers & Periodicals Publishing & Printing Packaging & Paper Department Stores Furnishing Stores Mail Order Stores Mail Order Stores, Multiple Clothing Cotton Floor Covering Carpets Wool Misc Textiles Tobacco Footwear Footwear Manufacturers & Leather Leather Leather & Footwear Toys & Games Giftware Plastic & Rubber Fabricators Plastic & Rubber Drugs & Pharmacy Health & Household Products Health & Household Prarmaceuticals General Chemicals Office Equipment Office Equipment (ex Computers) Oil Oil & Gas Shipping Genrl Traders, Wholesalers & Distributors Transport, Freight & Fuel Transport & Freight Industrial Holding Companies

Jan-92 Dec-78 Dec-78 Dec-78 Jan-84 Dec-78 Dec-78 Dec-78 Dec-78 Dec-78 1987 Dec-78 Dec-78 1987 Dec-78 Dec-78 Dec-78 Dec-78 Dec-78 Dec-78 Apr-91 Dec-78 Dec-78 Dec-78 Jan-91 Jan-92 Dec-78 Dec-78 Dec-78 Dec-78 Jul-80 1985 1987 Dec-78 1987 Dec-78 1985 Dec-78 1984 1988 Jan-92 Dec-78 Dec-78 Jan-84 Dec-78 1985 Dec-78 1986 Dec-78 Jan-81 Dec-78

Dec-93 Dec-93 Dec-93 Dec-93 Dec-93 Dec-93 Dec-93 Dec-93 Dec-93 1987 Dec-93 Dec-87 1987 Dec-93 Dec-93 Dec-93 Dec-93 Dec-93 Dec-93 Mar-91 Dec-93 Dec-93 Dec-93 Mar-90 Dec-91 Dec-93 Dec-93 Dec-93 Dec-93 Jun-80 1985 1987 Dec-93 1987 Dec-93 1985 Dec-93 1984 1988 Dec-91 Dec-93 Dec-93 Dec-83 Dec-93 1985 Dec-93 Dec-85 Dec-93 Dec-80 Dec-93 1984 44

73 74 75 75 75 76 77 78 78 79 80 80 81 82 83 84 84 85 86 87 87 88 88 89 89 90 90 91 92 93 93 94 94 94 95 96 97 97 98 98

Industrial Conglomerates Laundries & Cleaners Agencies Consultancies & Agencies Support Services Miscellaneous (Unclassified) Banks Foreign Banks Media Agencies Discount Houses Hire Purchase Leasing & Hire Purchase Insurance (Life) Insurance (Composite) Insurance Brokers Investment Trusts UK Investment Trusts Merchant Banks Property Financial Trusts Miscellaneous Financial Utilities Telephone Networks Rubbers Electric Utilities Teas Property Agencies Copper Mining Finance Tin Unapproved Investment Companies Diamond Offshore Investment Funds Offshore Investment Funds & Companies Gold Misc Mines & Collieries Overseas Trade Currency Funds Electric Utilities Other s842 Investment Trusts

1984 Dec-78 Dec-78 1987 Jan-91 Dec-78 Dec-78 Dec-78 Jan-91 Dec-78 Dec-78 1984 Dec-78 Dec-78 Dec-78 Dec-78 Jul-92 Dec-78 Dec-78 Dec-78 1984 Jan-81 Dec-78 Jan-91 Dec-78 Jan-91 Dec-78 Dec-78 Dec-78 Jan-91 Jan-91 Jul-92 Dec-78 Dec-78 Dec-78 Jan-91 1986 Jul-92

Dec-93 Dec-93 1987 Dec-90 Dec-93 Dec-93 Dec-93 Dec-89 Dec-93 Dec-93 1984 Sep-92 Dec-93 Dec-93 Dec-93 Jun-92 Dec-93 Dec-93 Dec-93 1984 Dec-90 1986 Dec-90 Dec-93 Dec-90 Dec-93 Dec-93 Dec-93 Dec-90 Dec-93 Dec-90 Jun-92 Dec-93 Dec-93 Dec-93 Dec-90 Dec-93 Dec-90 Dec-93

45

10. Appendix A2: FTSEA Industry Codes (1994-Mar 1999) 123 125 129 150 162 165 210 222 225 232 234 236 240 252 253 255 261 262 263 264 265 268 269 270 282 284 291 293 295 297 299 310 320 330 342 344 346 360 370 380 412 413 414 422 424 432 434 436

Gold Mining Other Mineral Extractors And Mines Mining Finance Oil, Integrated Oil Exploration & Production Oil Services Building & Construction Building Materials Builders Merchants Chemicals, Commodity Chemicals, Speciality Chemicals, Materials Technology Diversified Industrials Electrical Equipment Electronic Equipment Office Machinery Engineering, Metallurgy Engineering Fabricators Engineering, Specialities Engineering, Contractors Engineering, Diversified Engineering, Aerospace & Defence Instruments, Tools & Mechanical Handling Equipment Vehicle Components & Assemblers Paper and Packaging Printing Clothing Manufacturers Wool Textiles, Diversified Footwear & Leather Giftware & Costume Jewellery Breweries Spirits, Wines & Ciders Food Manufacturers Furniture & Furnishings Floor Covering Household Requisites Health Care Pharmaceuticals Tobacco Distributors Of Industrial Components & Equipment Vehicle Distributors Distributors, Others Leisure Hotels & Caterers Media Agencies Broadcasting Contractors Publishing 46

440 452 454 481 482 484 486 487 490 512 514 516 620 640 660 680 710 732 734 736 740 750 772 774 778 792 794 800 940 970 980

Retailers and Wholesalers, Food Retailers, Multi Department Retailers, Chain Store Business Support Services Education, Business Training & Employment Agencies Security Alarm Services Laundries & Cleaners Computer Services Transport Polution Control Plantations Other Businesses Electricity Gas Distribution Telecommunications Water Banks Insurance Brokers Insurance, Composite Insurance, Lloyd's Funds Life Assurance Merchant Banks Financial, Other Discount Houses Investment Companies Property Property Agencies Investment Trusts Off-Shore Investment Companies and Funds Currency Funds Other s842 Investment Trusts

47

11. Appendix A3: FTSEA Industry Codes (Apr 1999-Jan 2006) 43 45 48 73 75 78 113 116 118 131 132 134 137 153 156 186 188 215 216 240 252 253 263 264 266 267 311 313 317 318 341 342 345 347 349 415 416 418 433 435 443 444 446 449 460 475

Gold Mining Mining Finance Other Mineral Extractors & Mines Oil & Gas – Exploration & Production Oil – Services Oil – Integrated Chemicals – Commodity Chemicals – Advanced Materials Chemicals – Speciality Builders Merchants Building & Construction Materials House Building Other Construction Forestry Paper Non-Ferrous Metals Steel Aerospace Defence Diversified Industrials Electrical Equipment Electronic Equipment Commercial Vehicles & Trucks Engineering – Contractors Engineering Fabricators Engineering – General Automobiles Auto Parts Tyres & Rubber Vehicle Distribution Clothing & Footwear Furnishings & Floor Coverings Household Appliances & Housewares Leisure Equipment Other Textiles & Leather Goods Beverages – Brewers Beverages – Distillers & Vintners Soft Drinks Farming & Fishing Food Processors Health Maintenance Organisations Hospital Management & Long Term Care Medical Equipment & Supplies Other Health Care Packaging Household Products 48

477 480 482 490 514 518 519 524 525 526 527 528 532 535 536 538 539 542 543 545 546 547 560 581 583 584 585 586 588 591 596 597 630 673 678 720 730 780 810 833 834 836 837 839 840 850 851 852 854 855 856

Personal Products Pharmaceuticals Biotechnology Tobacco Distributors of Industrial Components & Equipment Vehicle Distribution Distributors – Other Discount & Super Stores and Warehouses e-commerce Retailers – Hardlines Retailers – Multi Department Retailers – Soft Goods Gaming Home Entertainment Hotels Leisure Facilities Restaurants & Pubs Broadcasting Contractors Cable & Satellite Media Agencies Photography Publishing & Printing Restaurants, Pubs & Breweries Business Support Services Education, Business Training & Employment Agencies Environmental Control Funerals & Cemeteries Laundries & Cleaners Security & Alarm Services Airlines & Transport Rail, Road & Freight Shipping & Ports Food & Drug Retailers Fixed-Line Telecommunication Services Wireless Telecommunication Services Electricity Gas Distribution Water Banks Insurance Brokers Insurance – Non-Life Insurance, Lloyd's Funds Re-insurance Other Insurance Life Assurance Investment Companies International Investment Trusts UK Investment Trusts European Investment Trusts Geographical Specialists – Developed Markets Emerging Markets 49

857 859 862 864 867 871 873 875 877 879 890 892 893 894 895 897 898 899 932 936 938 972 974 977

Venture & Development Capital Investment Companies - Not approved under s.842 Real Estate Holding & Development Property Agencies Real Estate Investment Trusts Asset Managers Consumer Finance Investment Banks Mortgage Finance Other Financial Investment Entities – not eligible for indices Housing Income Investment Trusts Open-Ended Investment Companies Off-Shore Investment Companies & Funds Venture Capital Trusts Currency Funds Other S.842 Investment Trusts Split Capital Investment Trusts Computer Hardware Semiconductors Telecommunications Equipment Computer Services Internet Software

50

12. Appendix A4: ICB Industry Codes (Jan 2006-) 0533 0537 0573 0577 1353 1357 1733 1737 1753 1755 1757 1771 1773 1775 1777 1779 2353 2357 2713 2717 2723 2727 2733 2737 2753 2757 2771 2773 2775 2777 2779 2791 2793 2795 2797 2799 3353 3355 3357 3533 3535 3537 3573 3577 3722 3724 3726 3728 3743 3745

Exploration & Production Integrated Oil & Gas Oil Equipment & Services Pipelines Commodity Chemicals Specialty Chemicals Forestry Paper Aluminum Nonferrous Metals Steel Coal Diamonds & Gemstones General Mining Gold Mining Platinum & Precious Metals Building Materials & Fixtures Heavy Construction Aerospace Defense Containers & Packaging Diversified Industrials Electrical Components & Equipment Electronic Equipment Commercial Vehicles & Trucks Industrial Machinery Delivery Services Marine Transportation Railroads Transportation Services Trucking Business Support Services Business Training & Employment Agencies Financial Administration Industrial Suppliers Waste & Disposal Services Automobiles Auto Parts Tires Brewers Distillers & Vintners Soft Drinks Farming & Fishing Food Products Durable Household Products Nondurable Household Products Furnishings Home Construction Consumer Electronics Recreational Products

51

3747 3763 3765 3767 3785 4533 4535 4537 4573 4577 5333 5337 5371 5373 5375 5377 5379 5553 5555 5557 5751 5752 5753 5755 5757 5759 6535 6575 7535 7573 7575 7577 8355 8532 8534 8536 8538 8575 8733 8737 8771 8773 8775 8777 8779 8985 8995 9533 9535 9537 9572 9574

Toys Clothing & Accessories Footwear Personal Products Tobacco Health Care Providers Medical Equipment Medical Supplies Biotechnology Pharmaceuticals Drug Retailers Food Retailers & Wholesalers Apparel Retailers Broadline Retailers Home Improvement Retailers Specialized Consumer Services Specialty Retailers Broadcasting & Entertainment Media Agencies Publishing Airlines Gambling Hotels Recreational Services Restaurants & Bars Travel &Tourism Fixed Line Telecommunications Mobile Telecommunications Electricity Gas Distribution Multiutilities Water Banks Full Line Insurance Insurance Brokers Property & Casualty Insurance Reinsurance Life Insurance Real Estate Holding & Development Real Estate Investment Trusts Asset Managers Consumer Finance Specialty Finance Investment Services Mortgage Finance Equity Investment Instruments Nonequity Investment Instruments Computer Services Internet Software Computer Hardware Electronic Office Equipment

52

9576 9578

Semiconductors Telecommunications Equipment

13. Appendix B1: FTA Indices and Industry Codes (to Dec 1993) The FTA indices include an index value (capital gains only), together with separate earnings yield and dividend yield series. Thus LSPD index number 51 contains index values for the FTA Capital Goods Group Index, with the associated earnings yield in index number 52 and dividend yield in index number 53. 51 CAPITAL GOODS GROUP Apr-62 Dec-93 54 Building Materials Apr-62 Dec-93 57 Contracting, Construction Apr-62 Dec-93 60 Electricals (ex Light Electronics) Apr-62 Dec-80 60 Electricals (ex Radio, TV) Jan-81 Dec-93 63 Engineering (Heavy) Jan-72 Dec-83 66 Engineering (General) Jan-72 Dec-77 66 Mechanical Engineering Jan-78 Dec-79 69 Machine Tools Apr-62 Dec-77 72 Miscellaneous (Capital Goods) Apr-62 Dec-77 72 Metals and Metal Forming Jan-78 Dec-93 75 CONSUMER GOODS (DURABLE) Apr-62 Dec-80 GROUP 75 CONSUMER GROUP Jan-81 Dec-93 78 Light Electronics, Radio, TV Apr-62 Dec-80 81 Household Goods Apr-62 Dec-80 84 Motors and Distributors Apr-62 Dec-80 84 Motors Jan-81 Dec-93 87 CONSUMER GOODS (NON-DURABLE) Apr-62 Dec-80 GROUP 87 CONSUMER GROUP Jan-81 Dec-93 90 Breweries Apr-62 Dec-80 90 Brewers & Distillers Jan-81 Dec-93 93 Wines and Spirits Jan-70 Dec-80 96 Entertainment, Catering Apr-62 Dec-80 96 Leisure Jan-81 Dec-90 96 Hotels and Leisure Jan-91 Dec-93 99 Food Manufacturing Apr-62 Dec-93 102 Food Retailing Jan-68 Dec-93 105 Newspapers, Publishing Apr-62 Dec-85 105 Publishing and Printing Jan-86 Dec-90 108 Paper and Packaging Apr-62 Dec-86 108 Packaging and Paper Jan-87 Mar-91 108 Packaging, Paper and Printing Apr-91 Dec-93 111 Stores Apr-62 Dec-93 114 Textiles Apr-62 Dec-93 117 Tobacco Apr-62 Dec-86 120 Toys and Games Jan-70 Dec-80 123 Chemicals Apr-62 Dec-93 126 Office Equipment Jan-70 Dec-86 129 Shipping Apr-62 Dec-80 53

129 129 132 132 135 138 138 141 144 147 150 153 156 159 162 165 168 171 171 174 177 180 183 186 189 192 210 213 216 219 222 225 228 231 237 240 243 243 246 246 249 255 258 261 264 267 270 273 276 279 282

Shipping & Transport Transport Miscellaneous (Unclassified) Miscellaneous INDUSTRIAL GROUP Oil OIL AND GAS 500 SHARE INDEX FINANCIAL GROUP Banks Discount Houses Hire Purchase Insurance (Life) Insurance (Composite) Insurance Brokers Merchant Banks Property Miscellaneous (Financial) Other Financial Investment Trusts ALL-SHARE INDEX Rubbers Teas Coppers Mining Finance Tins Steel Rubber Manufacturing Miscellaneous (Durable) Miscellaneous (Non-Durable) Lead-Zincs Aircraft Engineering Shipbuilding Overseas Traders OTHER GROUP Pharmaceutical Products Health and Household Products Other Industrial Materials Other Industrials Other Consumer Electronics Telephone Networks Agencies Conglomerates Water Engineering - Aerospace Engineering - General Media Business Services Electricity

Jan-81 Apr-89 Apr-62 Jan-81 Jan-71 Apr-62 Jan-86 Apr-62 Apr-62 Apr-62 Apr-62 Apr-62 Apr-62 Apr-62 Jan-68 Apr-62 Apr-62 Jan-71 Jan-82 Apr-62 Apr-62 Apr-62 Apr-62 Apr-62 Jan-68 Apr-62 Apr-62 Apr-62 Apr-62 Apr-62 Apr-62 Apr-62 Apr-62 Apr-62 Jan-75 Jan-78 Jan-78 Jan-81 Jan-81 Oct-92 Jan-81 Jan-84 Dec-84 Jan-87 Jan-87 Jan-89 Jan-90 Jan-90 Jan-91 Jan-91 Jan-91

Mar-89 Dec-93 Dec-80 Dec-93 Dec-93 Dec-85 Dec-93 Dec-93 Dec-93 Dec-93 Dec-84 Dec-81 Dec-93 Dec-93 Dec-93 Dec-93 Dec-93 Dec-81 Dec-93 Dec-93 Dec-93 Dec-76 Dec-76 Dec-76 Dec-89 Dec-76 Jun-67 Dec-69 Dec-69 Dec-69 Dec-67 Dec-71 Dec-71 Dec-70 Dec-90 Dec-93 Dec-80 Dec-93 Sep-92 Dec-93 Dec-84 Dec-93 Dec-93 Dec-90 Dec-93 Dec-93 Dec-93 Dec-93 Dec-93 Dec-93 Dec-93 54

14. Appendix B2: FTSEA Indices and Industry Codes (Jan 1994 -) The FTSEA indices include an index value (capital gains only), together with separate earnings yield, dividend yield, price earnings ratio, xd adjustment and total return series. Thus LSPD index number 400 contains index values for the FTA Mineral Extraction Group Index, with the associated earnings yield in index number 401, dividend yield in index number 402, price earnings ratio in index number 403, xd adjustment in index number 404 and total return series in index number 405. 400 400 406 406 412 412 418 424 424 430 436 436 442 448 454 460 460 466 466 472 472 478 484 484 490 490 496 496 502 502 508 508 514 514 520 526 532 532 538 544 544

MINERAL EXTRACTION RESOURCES Extractive Industries Mining Oil, Integrated Oil & Gas Oil Exploration & Production GENERAL MANUFACTURERS GENERAL INDUSTRIALS Building & Construction Building Materials & Merchants Construction & Building Materials Chemicals Diversified Industrials Electronic & Electrical Equipment Engineering Engineering & Machinery Engineering, Vehicles Automobiles Printing, Paper & Packaging Packaging Textiles & Apparel CONSUMER GOODS CYCLICAL CONSUMER GOODS Breweries Restaurants, Pubs & Breweries Spirits, Wines & Ciders Beverages Food Manufacturers Food Producers & Processors Household Goods Household Goods & Textiles Health Care Health Pharmaceuticals Tobacco SERVICES CYCLICAL SERVICES Distributors Leisure & Hotels Leisure, Entertainment & Hotels

Jan-94 Apr-99 Jan-94 Apr-99 Jan-94 Apr-99 Jan-94 Jan-94 Apr-99 Jan-94 Jan-94 Apr-99 Jan-94 Jan-94 Jan-94 Jan-94 Apr-99 Jan-94 Apr-99 Jan-94 Apr-99 Jan-94 Jan-94 Apr-99 Jan-94 Apr-99 Jan-94 Apr-99 Jan-94 Apr-99 Jan-94 Apr-99 Jan-94 Apr-99 Jan-94 Jan-94 Jan-94 Apr-99 Jan-94 Jan-94 Apr-99

Mar-99 Dec-05 Mar-99 Dec-05 Mar-99 Dec-05 Mar-99 Mar-99 Dec-05 Mar-99 Mar-99 Dec-05 Dec-05 Dec-05 Dec-05 Mar-99 Dec-05 Mar-99 Dec-05 Mar-99 Dec-01 Mar-99 Mar-99 Dec-05 Mar-99 Dec-00 Mar-99 Dec-05 Mar-99 Dec-05 Mar-99 Dec-05 Mar-99 Dec-05 Dec-05 Dec-05 Mar-99 Dec-05 Dec-01 Mar-99 Dec-05 55

560 560 566 566 572 572 578 584 590 596 602 608 614 614 620 626 632 638 644 650 656 662 662 668 668 674 674 734 740 746 752 758 764 770 776 782 788 794

Media Media & Photography Retailers, Food Food & Drug Retailers Retailers, General General Retailers Support Services Transport Other Services & Businesses UTILITIES Electricity Gas Distribution Telecommunications Telecommunication Services Water Non-Financials FINANCIALS Banks Insurance Life Assurance Merchant Banks Other Financial Speciality & Other Finance Property Real Estate INVESTMENT TRUSTS Investment Companies BASIC INDUSTRIES Forestry & Paper Steel & Other Metals Aerospace & Defence NON-CYCLICAL CONSUMER GOODS Personal Care & Household Products NON – CYCLICAL SERVICES INFORMATION TECHNOLOGY Information Technology Hardware Software & Computer Services Utilities, Other

Jan-94 Apr-99 Jan-94 Apr-99 Jan-94 Apr-99 Jan-94 Jan-94 Jan-94 Jan-94 Jan-94 Jan-94 Jan-94 Apr-99 Jan-94 Jan-94 Jan-94 Jan-94 Jan-94 Jan-94 Jan-94 Jan-94 Apr-99 Jan-94 Apr-99 Jan-94 Apr-99 Apr-99 Apr-99 Apr-99 Apr-99 Apr-99 Apr-99 Apr-99 Apr-99 Apr-99 Apr-99 Dec-03

Mar-99 Dec-05 Mar-99 Dec-05 Mar-99 Dec-05 Dec-05 Dec-05 Mar-99 Dec-05 Dec-05 Dec-05 Mar-99 Dec-05 Dec-02 Dec-05 Dec-05 Dec-05 Dec-05 Dec-05 Mar-99 Mar-99 Dec-05 Mar-99 Dec-05 Mar-99 Dec-05 Dec-05 Dec-05 Dec-05 Dec-05 Dec-05 Dec-05 Dec-05 Dec-05 Dec-05 Dec-05 Dec-05

56