Index Products

Euro-Aggregate Corporate Index

Euro-Aggregate Corporate Index
The Euro-Aggregate Corporate Index contains fixed-rate, investment-grade Euro-denominated securities from industrial, utility and financial issuers only.
Inclusion is based on the currency of the issue, and not the domicile of the issuer. Securities in the index are also part of the Euro-Aggregate, Pan-European
Aggregate and the Global Aggregate Indices. The Euro-Aggregate Corporate Index was launched on July 1, 1998.

Sector Breakdown as of 12/31/2008 Access to the Index

www.barcap.com/indices KEY FEATURES

www.live.barcap.com (keyword: index)
Daily index returns and statistics

Historical index time-series can be
downloaded into Excel
Industrial

Standardized market structure reports
35.5%

Fully customizable views
Financial

Index primers and shelf reference
57.6% documents

Latest index and portfolio strategies
research publications
Bloomberg Page <LEHM> <23> TICKERS
Utility
Key statistics and returns
Total Return Index Value: LECPTREU
6.9%
<LECP> <INDEX>
Since Inception Total Return: LECPSIEU

Excess Return: LECPER

Market Value: LECPMVE
Quality Breakdown as of 12/31/2008

ISMA Yield to Worst: LECPYW

ISMA Modified Duration: LECPMD
Aa
Average OAS: LECPOAS
27.3%
Maturity: LECPMAT
POINT (Portfolio and Index Tool) KEY FEATURES
Long Name: Euro Aggregate Corporate
Index level returns and statistics
Short Name: eacorp
Historical index constituents
Aaa A
Fully customizable market structure reports
5.8% 49.1%
Index dynamics and turnover reports

Portfolio upload/analysis
Baa
Multi-factor Global Risk Model
17.9%
Portfolio performance attribution

Automated batch processing

Pricing and Related Issues

Sources & Frequency All bonds are priced daily by Barclays Capital traders or third-party vendors.
Timing 4:15pm London time. If European markets are open, but the U.K. is closed, then pricing will remain constant until the
close of the next U.K. business day. If the last business day of the month is a public holiday in the major European
markets, then prices from the previous business day are used.
Bid or Offer Side Outstanding issues are priced on the bid side. New issues enter the index on the offer side.
Settlement T+1 settlement basis.
Assumptions
Verification Multi-contributor verification. The primary price for each security is analyzed and compared to other third-party pricing
sources through both statistical routines and scrutiny by the research staff. Significant discrepancies are researched and
corrected as necessary. On occasion, index users may also challenge price levels, which are then reviewed by the pricing
team. Prices are then updated as needed using input from the trading desk.

Contacts: Barclays Capital Index Products Team

New York London Tokyo Hong Kong/Singapore www.barcap.com/indices
index-us@barcap.com index-uk@barcap.com index-tk@barcap.com index-hk@barcap.com www.live.barcap.com (keyword: index)
+1-212-526-7400 +44-207-773-3744 +81-3-4530-1760 +852-2903-2652 General Inquiries: index@barcap.com
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or
exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please
contact us.

1
 Euro-Aggregate Corporate Index
Rules for Inclusion
Amount Outstanding €300 million minimum par amount outstanding.
Quality Must be rated investment grade ( Baa3/BBB-/BBB- or above ) using the middle rating of Moody’s, S&P and Fitch,
respectively.

When all three agencies rate an issue, a median or “two out of three” rating is used to determine index eligibility by
dropping the highest and the lowest rating.

When a rating from only two agencies is available, the lowest (“most conservative”) of the two is used.

When a rating from only one agency is available, that rating is used to determine index eligibility.
Maturity
At least one year until final maturity, regardless of optionality. For securities with a coupon that converts from fixed to
floating at least one year until the conversion date.

Perpetual securities are included in the index provided they are callable or their coupons switch from fixed to variable
rate. These are included until one year before their first call date, providing they meet all other index criteria.
Seniority of Debt Senior and subordinated issues are included. Undated securities are included provided their coupons switch from fixed to
variable rate.
Coupon Fixed-rate. Step-up coupons and coupons that change according to a predetermined schedule are also included. Capital
securities with coupons that convert from fixed to floating-rate are index-eligible given that they are currently fixed-rate; the
maturity date then equals the conversion date. Fixed-rate perpetual capital securities which remain fixed-rate following
their first call date, and which provide no incentives to call the bonds, are excluded.
Currency Euro.
Market of Issue Publicly issued in the Eurobond and Euro-zone domestic markets.
Security Types Included: Excluded:

Fixed-rate bullet, puttable
Bonds with equity-type features (e.g., warrants, convertibility to equity)
and callable
Private placements, including Schuldsheine

Soft bullets
Floating-rate issues

Fixed-rate and fixed-to-floating
capital securities

Rebalancing Rules
Frequency The composition of the Returns universe is rebalanced monthly at each month-end and represents the set of bonds on
which returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but
is not used for returns calculation. On the last business day of the month, the composition of the latest Statistics universe
becomes the Returns universe for the following month.

Index Changes During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount
outstanding) are reflected in both the Statistics and Returns universe of the index on a daily basis. These changes may
cause bonds to enter or fall out of the Statistics universe of the index on a daily basis, but will affect the composition of the
Returns universe only at month-end when the index is rebalanced.
Reinvestment of Interest and principal payments earned by the Returns universe are held in the index without a reinvestment return until
Cash flows month-end when it is removed from the index.

New Issues Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in
the following month’s Returns universe.