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JSE LIMITED - Market Consultation - 20170210 Market Consultation Property Indices

Release Date: 09/12/2016 17:34
Code(s): JSER     PDF:  
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Market Consultation - 20170210 Market Consultation Property Indices

Market Consultation Property Indices
FTSE/JSE Africa Index Series

09 December 2016


1.    Introduction
      FTSE/JSE has embarked on a project to improve the current FTSE/JSE Listed Property Indices and in March 2015,
      a broad consultation to solicit comments from the market regarding the current offering was conducted. A
      significant number of responses were received from market participants and a proposed index offering has been
      put together in response to the feedback obtained.

2.    Proposed Offering

      After considering the feedback received from the market, FTSE/JSE has crafted a proposed index offering which
      involves the discontinuation of the J256 and the J255 indices. In addition, no changes are made to the indices
      that are based on the Industry Classification Benchmark (ICB) Sector structure, namely the J863, J867, JS84 and
      JS85 indices. Furthermore, the SAPY and PCAP are replaced by a set of 3 new property benchmarks, as defined
      below. Each of the indices is derived from the All Share Index using the prevailing rules.

2.1   SA REIT Index
      An SA REIT index caters for investors that want specific exposure to SA REITs as it would exclude all foreign
      domiciled property companies (which are currently included in the J863 Index). Constituents of the index will be
      derived from the All Share Index (J203). Any constituent of the All Share that is classified as SA REIT by the JSE
      will be included in the SA REIT Index. The number of constituents in the index will not be fixed.

      The index weight will be based on the full market capitalisation and not SWIX market capitalisation. Since all
      constituents are expected to be primary listed on the JSE, a SWIX market capitalisation approach is unlikely to
      make a significant impact to weighting. Capping may be required quarterly to prevent concentration among
      constituents with a dominant weight. Table 1 below, which bears 15 constituents, provides an indication of the
      constituents of the index, based on the new core index methodology at the September 2016 review.


                                                                                      Weight in     Weight in   Weight in
                                                           Secondary   Weight in
       Review        Alpha   Instrument Name                                         Index (10%       Index       Index
                                                              Line      Index
                                                                                        Cap)        (15% Cap)   (20% Cap)
                     GRT     Growthpoint Prop Ltd             N         24.33%         10.00%         15.00%     20.00%
                     RDF     Redefine Properties              N         18.12%         10.00%         15.00%     19.16%
                     HYP     Hyprop Investments Ltd           N         10.64%         10.00%         13.49%     11.25%

      Page 1 of 16
                                                                                           Weight in   Weight in   Weight in
                                                                Secondary   Weight in
       Review        Alpha     Instrument Name                                            Index (10%     Index       Index
                                                                   Line      Index
                                                                                             Cap)      (15% Cap)   (20% Cap)
       Sep '16       RES       Resilient REIT Ltd                    N       10.62%         10.00%       13.46%     11.23%
                     FFB       Fortress Income Fund Ltd. (B)         Y        8.05%         5.69%        8.53%       8.51%
                     FFA       Fortress Income Fund Ltd. (A)         N       6.11%          4.31%        6.47%      6.46%
                     SAC       SA Corporate Real Estate Fund         N       4.49%         10.00%        5.70%      4.75%
                     VKE       Vukile Property Fund                  N       4.02%          9.12%        5.10%      4.25%
                     AWA       Arrowhead Properties                  N       2.87%          6.51%        3.64%      3.03%
                     IPF       Investec Property Fund ltd            N       2.23%          5.06%        2.83%      2.36%
                     EMI       Emira Property Fund                   N       2.13%          4.84%        2.71%      2.26%
                     REB       Rebosis Property Fund                 N       1.69%          3.83%        2.14%      1.79%
                     DLT       Delta Property Fund                   N       1.40%          3.17%        1.77%      1.48%
                     APF       Accelerate Property Fund              N       1.30%          2.94%        1.64%      1.37%
                     OCT       Octodec Investments                   N       1.23%          2.80%        1.57%      1.31%
                     TEX       Texton Property Fund                  N       0.76%          1.73%        0.97%      0.81%
      Table 1: SA REIT Index Constituents

      The historically modelled SA REIT index constituents, based on the new core index methodology, are provided in
      Appendix 1.

2.2   All Property Index
      The All Property Index serves as a broad benchmark of all listed property companies that are available to trade
      on the JSE. This index is designed to include all the property companies in the All Share Index, regardless of
      primary listing status, which will spread the weighting amongst a number of constituents and therefore reduce
      the concentration of the current offering. Any constituent of the All Share that is classified as Real Estate by the
      Industry Classification Benchmark (ICB) will be included in the All Property Index. The number of constituents in
      the index will not be fixed.

      Weighting of the index will be based on SWIX market capitalisation. The use of SWIX market capitalisation will
      reduce the weighting of foreign companies in the index, which may otherwise lead to concentration concerns.
      Capping may further be required to prevent excessive concentration among constituents with a larger weight.
      Table 2 below, which bears 29 constituents, provides an indication of the index constituents based on the new
      core index methodology at the September 2016 review. The SWIX uncapped and SWIX 15% capped weights are
      provided with a comparison to the current SAPY index.


                                                                                                         SWIX
                                                                                            SWIX
                                                                                                       Weight in   Weight in
        Date          Alpha     Instrument Name                                   Index    Weight in
                                                                                                         Index      SAPY
                                                                                            Index
                                                                                                       (15% Cap)

                      GRT       Growthpoint Prop Ltd                              LRGC      15.81%      15.00%      18.85%
                      RDF       Redefine Properties                               LRGC      12.46%      12.58%      14.85%
                      FFB       Fortress Income Fund Ltd. (B)                     LRGC       5.53%      5.58%       6.59%
        Sep '16       FFA       Fortress Income Fund Ltd. (A)                     LRGC       4.23%      4.27%        5.04%
                      NEP       New Europe Property Investment Plc                MIDC       8.47%      8.55%       10.10%
                      HYP       Hyprop Investments Ltd                            MIDC       7.36%      7.43%        8.78%
                      RES       Resilient REIT Ltd                                MIDC       7.32%      7.39%       8.73%

      Page 2 of 16
                                                                                                            SWIX
                                                                                              SWIX
                                                                                                          Weight in    Weight in
       Date          Alpha     Instrument Name                                    Index      Weight in
                                                                                                            Index       SAPY
                                                                                              Index
                                                                                                          (15% Cap)

                     ITU       Intu Properties Plc                                LRGC         5.55%        5.60%
                     CCO       Capital & Counties Properties PLC                  LRGC         5.26%        5.31%
                     ROC       Rockcastle Global Real Estate Co Ltd               MIDC         3.76%        3.80%        4.49%
                     SAC       SA Corporate Real Estate Fund                      MIDC         3.06%        3.09%        3.65%
                     VKE       Vukile Property Fund                               MIDC         2.74%        2.76%        3.26%
                     ATT       Attacq Limited                                     MIDC         2.69%        2.71%        3.20%
                     RPL       Redefine International PLC                         MIDC         2.08%        2.10%
                     AWA       Arrowhead Properties                               SMLC         1.98%        2.00%        2.36%
                     IPF       Investec Property Fund ltd                         SMLC         1.56%        1.57%        1.85%
                     EMI       Emira Property Fund                                SMLC         1.48%        1.50%        1.77%
                     REB       Rebosis Property Fund                              SMLC         1.17%        1.18%        1.39%
                     DLT       Delta Property Fund                                SMLC         0.95%        0.96%
                     PIV       Pivotal Fund Ltd                                   SMLC         0.91%        0.91%        1.08%
                     OCT       Octodec Investments                                SMLC         0.89%        0.90%        1.06%
                     MSP       MAS Real Estate Inc                                SMLC         0.88%        0.89%        1.05%
                     APF       Accelerate Property Fund                           SMLC         0.87%        0.88%        1.04%
                     IAP       Investec Australia Property Fund                   SMLC         0.76%        0.76%
                     TEX       Texton Property Fund                               SMLC         0.53%        0.53%
                     BWN       Balwin Properties Pty Ltd                          SMLC         0.49%        0.49%
                     STP       Stenprop Ltd                                       SMLC         0.38%        0.38%        0.45%
                     TDH       Tradehold                                          SMLC         0.36%        0.37%        0.44%
                     SCD       Schroder European Real Estate Investment Trust     SMLC         0.34%        0.34%
                     CRP       Capital & Regional PLC                             SMLC         0.16%        0.16%
      Table 2: All Property Index Constituents

      The historically modelled All Property Index constituents, based on the new core index methodology, are
      provided in Appendix 2.

2.3   Tradable Property Index
      The Tradeable Property Index consists of constituents of the new Large & Mid Cap Index, regardless of primary
      listing location, that are classified as Real Estate by the Industry Classification Benchmark (ICB). Excluding
      constituents of the Small Cap will reduce liquidity concerns in the tail of the index. The number of constituents in
      the index will not be fixed.

      The index will be weighted by SWIX market capitalisation. As such, inward listed companies will be included but
      at a reduced weight. Capping may be required to prevent concentration among constituents with a larger
      weight. Table 3 below, which bears 13 constituents, provides an indication of the constituents of the index,
      based on the new core index methodology at the September 2016 review. The SWIX uncapped and SWIX 15%
      capped weights are provided with a comparison to the current SAPY index.


                                                                                          SWIX         SWIX Weight
                                                                                                                      Weight in
       Date          Alpha       Instrument Name                          Index          Weight in       in Index
                                                                                                                       SAPY
                                                                                          Index         (15% Cap)

        Sep '16      GRT         Growthpoint Prop Ltd                      LRGC           18.32%         15.00%        18.85%

      Page 3 of 16
                                                                                       SWIX         SWIX Weight
                                                                                                                   Weight in
      Date          Alpha      Instrument Name                            Index       Weight in       in Index
                                                                                                                    SAPY
                                                                                       Index         (15% Cap)

                    RDF        Redefine Properties                        LRGC         14.43%         15.00%        14.85%
                    FFB        Fortress Income Fund Ltd. (B)              LRGC         6.41%          6.67%         6.59%
                    FFA        Fortress Income Fund Ltd. (A)              LRGC         4.90%          5.10%         5.04%
                    NEP        New Europe Property Investment Plc         MIDC         9.82%          10.22%        10.10%
                    HYP        Hyprop Investments Ltd                     MIDC         8.53%          8.88%         8.78%
                    RES        Resilient REIT Ltd                         MIDC         8.48%          8.83%         8.73%
                    ITU        Intu Properties Plc                        LRGC         6.43%          6.69%
                    CCO        Capital & Counties Properties PLC          LRGC         6.09%          6.34%
                    ROC        Rockcastle Global Real Estate Co Ltd       MIDC         4.36%          4.54%         4.49%
                    SAC        SA Corporate Real Estate Fund              MIDC         3.55%          3.69%         3.65%
                    VKE        Vukile Property Fund                       MIDC         3.17%          3.30%         3.26%
                    ATT        Attacq Limited                             MIDC         3.11%          3.24%         3.20%
                    RPL        Redefine International PLC                 MIDC         2.40%          2.50%
     Table 3: Tradable Property Index Constituents

     The historically modelled Tradable Property Index constituents, based on the new core index methodology, are
     provided in Appendix 3.

3.   Proposed Implementation

     The existing SAPY and PCAP index offering will be replaced by three new indices, namely the SA REIT, All
     Property and Tradable Property indices and there are different ways to achieve this. The major impact is that a
     broad range of index users are using the existing SAPY index for investment mandates, performance
     benchmarks, or tracking licenses. It can be an expensive and time-consuming exercise for clients to change
     these mandates, often involving polling investors. As such, the existing SAPY should ideally be converted into
     the most appealing of the three new indices such that the majority of existing mandates do not require
     amendment.

     The existing SAPY and PCAP indices can have their rules amended, with their index code and name remaining
     the same or new indices can be created. The key question is which of the indices should have their rules
     amended, and where should new indices be created. Table 4 below provides five viable implementation options,
     using various combinations of new indices. For example, under Option 3, the SAPY (J253) is converted to the
     new All Property Index (no cap) and the PCAP (J254) is converted to the new Tradable Index (capped at 15%),
     while the SA REIT is introduced as a new index.


      Offering                                   Option 1      Option 2    Option 3      Option 4       Option 5
      SA REIT Index                                  New         New         New           J253           New
      Uncapped All Property Index                    N/A         N/A         J253           N/A           N/A
      Capped All Property Index                      J254        J253        N/A           J254           New
      Capped Tradable Index                          New         J254        J254          New            J254
      Existing SAPY Methodology                      J253*       N/A         N/A            N/A          J253*
     Table 4: Implementation Options




     Page 4 of 16
     * Option 1 and Option 5 allow for the SAPY to continue unchanged using the existing methodology for a period
     of time. This will allow existing index users to choose which of the three indices to convert to within a longer
     time period, but will require that ALL SAPY users go through the conversion process.

4.   Responding to the consultation
     It is important to FTSE/JSE to be aware of the impact on clients as well as any unintended consequences of the
     change. Therefore, FTSE/JSE requests comments on the proposed offering and implementation options included
     in this market consultation.

     Please provide us with your comments and suggestions by 10 February 2017 to the following email address:
     indices@jse.co.za

     All feedback received by the cut-off date will be carefully considered before making any final decisions, and
     presented at the FTSE/JSE Advisory Committee Meeting in March 2017. When determining the timeline for the
     implementation of any decision, FTSE/JSE is mindful of the broad usage of these indices in the market and the
     need to provide appropriate notice.

     This document is not confidential and should be distributed as widely as possible to all stakeholders.




     Yours Sincerely,

     Indices Department




     Page 5 of 16
Appendix 1:Backcast SA REIT Index Constituents


                                                                              Weight in    Weight in    Weight in
                                                      Secondary   Weight in
 Review       Alpha   Instrument Name                                           Index     Index (15%   Index (20%
                                                         Line      Index
                                                                              (10% Cap)      Cap)         Cap)
              GRT     Growthpoint Prop Ltd               N         24.33%      10.00%       15.00%       20.00%
              RDF     Redefine Properties                N         18.12%      10.00%       15.00%       19.16%
              HYP     Hyprop Investments Ltd             N         10.64%      10.00%       13.49%       11.25%
              RES     Resilient REIT Ltd                 N         10.62%      10.00%       13.46%       11.23%
              FFB     Fortress Income Fund Ltd. (B)       Y         8.05%       5.69%       8.53%        8.51%
              FFA     Fortress Income Fund Ltd. (A)      N         6.11%       4.31%        6.47%        6.46%
              SAC     SA Corporate Real Estate Fund      N         4.49%       10.00%       5.70%        4.75%
              VKE     Vukile Property Fund               N         4.02%       9.12%        5.10%        4.25%
  Sep '16
              AWA     Arrowhead Properties               N         2.87%       6.51%        3.64%        3.03%
              IPF     Investec Property Fund ltd         N         2.23%       5.06%        2.83%        2.36%
              EMI     Emira Property Fund                N         2.13%       4.84%        2.71%        2.26%
              REB     Rebosis Property Fund              N         1.69%       3.83%        2.14%        1.79%
              DLT     Delta Property Fund                N         1.40%       3.17%        1.77%        1.48%
              APF     Accelerate Property Fund           N         1.30%       2.94%        1.64%        1.37%
              OCT     Octodec Investments                N         1.23%       2.80%        1.57%        1.31%
              TEX     Texton Property Fund               N         0.76%       1.73%        0.97%        0.81%


              GRT     Growthpoint Prop Ltd               N         24.79%      10.00%      15.00%       20.00%
              RDF     Redefine Properties Ltd            N         18.05%      10.00%      15.00%       19.20%
              RES     Resilient REIT Limited             N         13.46%      10.00%      15.00%       14.32%
              FFA     Fortress Inc Fund Ltd A            N         4.57%       3.55%        5.32%        4.87%
              FFB     Fortress Inc Fund Ltd B             Y        8.33%       6.45%        9.68%        8.86%
              HYP     Hyprop Inv Ltd                     N         10.49%      10.00%      13.63%       11.16%
              SAC     SA Corp Real Estate Ltd            N         4.11%       10.00%       5.33%        4.37%
  Mar '16     VKE     Vukile Property Fund Ltd           N         3.86%       9.51%        5.01%        4.11%
              EMI     Emira Property Fund Ltd            N         2.85%       7.02%        3.70%        3.03%
              IPF     Investec Property Fund Ltd         N         2.34%       5.76%        3.04%        2.49%
              REB     Rebosis Property Fund Ltd          N         1.81%       4.45%        2.35%        1.92%
              AWA     Arrowhead Properties Ltd           N         1.61%       3.97%        2.09%        1.71%
              OCT     Octodec Invest Ltd                 N         1.29%       3.18%        1.68%        1.37%
              DLT     Delta Property Fund Ltd            N         1.29%       3.17%        1.67%        1.37%
              APF     Accelerate Prop Fund Ltd           N         1.15%       2.83%        1.49%        1.22%


              GRT     Growthpoint Prop Ltd               N         28.38%      10.00%      15.00%       20.00%
              RDF     Redefine Properties Ltd            N         20.95%      10.00%      15.00%       20.00%
              HYP     Hyprop Inv Ltd                     N         12.56%      10.00%      15.00%       14.88%
              RES     Resilient Prop Inc Fund            N         11.64%      10.00%      15.00%       13.78%
              VKE     Vukile Property Fund Ltd           N         4.51%       10.00%       6.82%        5.35%
  Sep '15     SAC     SA Corp Real Estate Ltd            N         4.08%       10.00%       6.16%        4.83%
              AWA     Arrowhead Properties A             N         1.78%       3.99%        2.69%        2.11%
              AWB     Arrowhead Properties B              Y        1.86%       4.16%        2.81%        2.20%
              EMI     Emira Property Fund Ltd            N         3.29%       7.37%        4.97%        3.90%
              FFA     Fortress Inc Fund Ltd A            N         1.42%       3.17%        2.14%        1.68%
              FFB     Fortress Inc Fund Ltd B             Y        1.45%       3.24%        2.19%        1.71%

      Page 6 of 16
                                                                          Weight in    Weight in    Weight in
                                                  Secondary   Weight in
Review       Alpha   Instrument Name                                        Index     Index (15%   Index (20%
                                                     Line      Index
                                                                          (10% Cap)      Cap)         Cap)
             REB     Rebosis Property Fund Ltd       N         2.05%       4.59%        3.10%        2.43%
             DLT     Delta Property Fund Ltd         N         1.78%       3.99%        2.69%        2.11%
             OCT     Octodec Invest Ltd              N         1.51%       3.38%        2.28%        1.79%
             IPF     Investec Property Fund Ltd      N         1.41%       3.16%        2.14%        1.67%
             APF     Accelerate Prop Fund Ltd        N         1.32%       2.95%        1.99%        1.56%


             GRT     Growthpoint Prop Ltd            N         29.89%      10.00%      15.00%       20.00%
             RDF     Redefine Properties Ltd         N         20.23%      10.00%      15.00%       20.00%
             HYP     Hyprop Inv Ltd                  N         12.35%      10.00%      15.00%       14.86%
             RES     Resilient Prop Inc Fund         N         9.72%       10.00%      14.24%       11.69%
             SAC     SA Corp Real Estate Fund        N         4.87%       10.00%       7.14%        5.86%
             VKE     Vukile Property Fund Ltd        N         4.86%       10.00%       7.12%        5.85%
             EMI     Emira Property Fund             N         3.84%       8.49%        5.63%        4.62%
 Mar '15     AWA     Arrowhead Properties A          N         1.79%       3.97%        2.63%        2.16%
             AWB     Arrowhead Properties B           Y        1.80%       3.98%        2.63%        2.16%
             FFA     Fortress Inc Fund Ltd A         N         1.70%       3.76%        2.49%        2.05%
             FFB     Fortress Inc Fund Ltd B          Y        1.53%       3.38%        2.24%        1.84%
             REB     Rebosis Property Fund Ltd       N         2.22%       4.92%        3.26%        2.68%
             FPT     Fountainhead Prop Trust         N         2.00%       4.43%        2.94%        2.41%
             OCT     Octodec Invest Ltd              N         1.72%       3.81%        2.52%        2.07%
             IPF     Investec Property Fund Ltd      N         1.47%       3.25%        2.15%        1.77%


             GRT     Growthpoint Prop Ltd            N         31.54%      10.00%      15.00%       20.00%
             RDF     Redefine Properties Ltd         N         18.92%      10.00%      15.00%       20.00%
             HYP     Hyprop Inv Ltd                  N         11.80%      10.00%      15.00%       14.29%
             RES     Resilient Prop Inc Fund         N         10.26%      10.00%      15.00%       12.43%
             VKE     Vukile Property Fund Ltd        N         5.19%       10.00%       7.55%        6.28%
             SAC     SA Corp Real Estate Fund        N         4.45%       10.00%       6.48%        5.39%
             EMI     Emira Property Fund             N         4.00%       8.97%        5.82%        4.84%
 Sep '14     FFA     Fortress Inc Fund Ltd A         N         2.95%       6.62%        4.30%        3.58%
             FFB     Fortress Inc Fund Ltd B          Y        0.60%       1.35%        0.88%        0.73%
             AWA     Arrowhead Properties A          N         1.74%       3.90%        2.53%        2.11%
             AWB     Arrowhead Properties B           Y        1.73%       3.87%        2.51%        2.09%
             FPT     Fountainhead Prop Trust         N         2.11%       4.73%        3.07%        2.56%
             REB     Rebosis Property Fund Ltd       N         2.10%       4.70%        3.06%        2.54%
             IPF     Investec Property Fund Ltd      N         1.62%       3.64%        2.36%        1.97%
             PMM     Premium Properties Ltd          N         0.99%       2.22%        1.44%        1.20%


             GRT     Growthpoint Prop Ltd            N         27.38%      10.00%      15.00%       20.00%
             RDF     Redefine Properties Ltd         N         18.19%      10.00%      15.00%       20.00%
             HYP     Hyprop Inv Ltd                  N         12.13%      10.00%      15.00%       13.37%
             CPL     Capital Property Fund           N         8.66%       10.00%      11.26%        9.55%
 Mar '14
             RES     Resilient Prop Inc Fund         N         8.40%       10.00%      10.92%        9.26%
             VKE     Vukile Property Fund Ltd        N         5.33%       10.00%       6.93%        5.88%
             SAC     SA Corp Real Estate Fund        N         4.55%       9.13%        5.91%        5.01%
             EMI     Emira Property Fund             N         3.87%       7.77%        5.03%        4.26%

     Page 7 of 16
                                                                                                Weight in      Weight in       Weight in
                                                                  Secondary        Weight in
 Review         Alpha       Instrument Name                                                       Index       Index (15%      Index (20%
                                                                     Line           Index
                                                                                                (10% Cap)        Cap)            Cap)
                FFA         Fortress Inc Fund Ltd A                    N            2.63%         5.28%          3.42%             2.90%
                FFB         Fortress Inc Fund Ltd B                    Y            0.47%         0.94%          0.61%             0.51%
                REB         Rebosis Property Fund Ltd                  N            2.47%         4.96%          3.21%             2.72%
                SYC         Sycom Property Fund                        N            2.25%         4.51%          2.92%             2.48%
                FPT         Fountainhead Prop Trust                    N            2.18%         4.38%          2.84%             2.41%
                IPF         Investec Property Fund Ltd                 N            1.51%         3.03%          1.96%             1.66%
Appendix 1: Historical SA REIT Index constituents based on New Index Methodology


Appendix 2: Backcast All Property Index Constituents


                                                                                                 SWIX                                SWIX 15%
                                                                                      SWIX                             SWIX &
                                                                                               Weight in    Weight                     Cap &
 Date         Alpha       Instrument Name                                  Index     Weight                              SAPY
                                                                                                 Index      in SAPY                     SAPY
                                                                                    in Index                          Difference
                                                                                               (15% Cap)                             Difference

              GRT         Growthpoint Prop Ltd                             LRGC      15.81%     15.00%      18.85%       3.03%         3.85%
              RDF         Redefine Properties                              LRGC      12.46%     12.58%      14.85%       2.39%         2.27%
              FFB         Fortress Income Fund Ltd. (B)                    LRGC      5.53%      5.58%       6.59%        1.06%         1.01%
              FFA         Fortress Income Fund Ltd. (A)                    LRGC      4.23%      4.27%       5.04%        0.81%         0.77%
              NEP         New Europe Property Investment Plc               MIDC      8.47%      8.55%       10.10%       1.63%         1.54%
              HYP         Hyprop Investments Ltd                           MIDC      7.36%      7.43%       8.78%        1.41%         1.34%
              RES         Resilient REIT Ltd                               MIDC      7.32%      7.39%       8.73%        1.40%         1.33%
              ITU         Intu Properties Plc                              LRGC      5.55%      5.60%                    -5.55%       -5.60%
              CCO         Capital & Counties Properties PLC                LRGC      5.26%      5.31%                    -5.26%       -5.31%
              ROC         Rockcastle Global Real Estate Co Ltd             MIDC      3.76%      3.80%       4.49%        0.72%         0.69%
              SAC         SA Corporate Real Estate Fund                    MIDC      3.06%      3.09%       3.65%        0.59%         0.56%
              VKE         Vukile Property Fund                             MIDC      2.74%      2.76%       3.26%        0.52%         0.50%
              ATT         Attacq Limited                                   MIDC      2.69%      2.71%       3.20%        0.52%         0.49%
              RPL         Redefine International PLC                       MIDC      2.08%      2.10%                    -2.08%       -2.10%
              AWA         Arrowhead Properties                             SMLC      1.98%      2.00%       2.36%        0.38%         0.36%
  Sep '16     IPF         Investec Property Fund ltd                       SMLC      1.56%      1.57%       1.85%        0.30%         0.28%
              EMI         Emira Property Fund                              SMLC      1.48%      1.50%       1.77%        0.28%         0.27%
              REB         Rebosis Property Fund                            SMLC      1.17%      1.18%       1.39%        0.22%         0.21%
              DLT         Delta Property Fund                              SMLC      0.95%      0.96%                    -0.95%       -0.96%
              PIV         Pivotal Fund Ltd                                 SMLC      0.91%      0.91%       1.08%        0.17%         0.17%
              OCT         Octodec Investments                              SMLC      0.89%      0.90%       1.06%        0.17%         0.16%
              MSP         MAS Real Estate Inc                              SMLC      0.88%      0.89%       1.05%        0.17%         0.16%
              APF         Accelerate Property Fund                         SMLC      0.87%      0.88%       1.04%        0.17%         0.16%
              IAP         Investec Australia Property Fund                 SMLC      0.76%      0.76%                    -0.76%       -0.76%
              TEX         Texton Property Fund                             SMLC      0.53%      0.53%                    -0.53%       -0.53%
              BWN         Balwin Properties Pty Ltd                        SMLC      0.49%      0.49%                    -0.49%       -0.49%
              STP         Stenprop Ltd                                     SMLC      0.38%      0.38%       0.45%        0.07%         0.07%
              TDH         Tradehold                                        SMLC      0.36%      0.37%       0.44%        0.07%         0.07%
                          Schroder European Real Estate
              SCD                                                          SMLC      0.34%      0.34%                    -0.34%       -0.34%
                          Investment Trust
              CRP         Capital & Regional PLC                           SMLC      0.16%      0.16%                    -0.16%       -0.16%



        Page 8 of 16
                                                                                  SWIX                             SWIX 15%
                                                                       SWIX                            SWIX &
                                                                                Weight in   Weight                   Cap &
Date         Alpha    Instrument Name                        Index    Weight                             SAPY
                                                                                  Index     in SAPY                   SAPY
                                                                     in Index                         Difference
                                                                                (15% Cap)                          Difference

             GRT      Growthpoint Prop Ltd                   LRGC    16.01%      15.00%     19.05%      3.04%        4.05%
             RDF      Redefine Properties Ltd                MIDC    12.55%      11.07%     14.93%      2.38%        3.86%
             NEP      New Europe Prop Inv plc                MIDC     9.76%      8.61%      11.61%      1.85%        3.00%
             RES      Resilient REIT Limited                 MIDC     8.67%      7.65%      10.31%      1.65%        2.66%
             FFA      Fortress Inc Fund Ltd A                MIDC     2.89%      2.55%      3.44%       0.55%        0.89%
             FFB      Fortress Inc Fund Ltd B                MIDC     5.05%      4.46%      6.01%       0.96%        1.55%
             ITU      Intu Properties plc                    LRGC     7.35%      6.49%
             HYP      Hyprop Inv Ltd                         MIDC     7.34%      6.48%      8.73%       1.39%        2.26%
             CCO      Capital&Counties Prop plc              LRGC     5.37%      4.74%
             ROC      Rockcastle Global Real Estate Co Ltd   MIDC     3.94%      3.48%      4.69%       0.75%        1.21%
             ATT      Attacq Limited                         MIDC     2.93%      2.59%      3.49%       0.56%        0.90%
             RPL      Redefine International P.L.C           MIDC     2.73%      2.41%
Mar '16
             SAC      SA Corp Real Estate Ltd                SMC      2.57%      2.27%      3.06%       0.49%        0.79%
             VKE      Vukile Property Fund Ltd               SMC      2.43%      2.15%      2.89%       0.46%        0.75%
             EMI      Emira Property Fund Ltd                SMC      1.58%      1.39%      1.88%       0.30%        0.49%
             AWA      Arrowhead Properties Ltd               SMC      1.57%      1.89%      1.86%       0.30%       -0.03%
             IPF      Investec Property Fund Ltd             SMC      1.45%      1.28%      1.72%       0.27%        0.44%
             REB      Rebosis Property Fund Ltd              SMC      1.19%      1.05%      1.42%       0.23%        0.37%
             OCT      Octodec Invest Ltd                     SMC      0.95%      0.84%      1.13%       0.18%        0.29%
             PIV      The Pivotal Fund Ltd                   SMC      0.93%      4.97%      1.10%       0.18%       -3.87%
             MSP      MAS Real Estate Inc.                   SMC      0.81%      0.72%      0.97%       0.15%        0.25%
             DLT      Delta Property Fund Ltd                SMC      0.80%      6.02%
             APF      Accelerate Prop Fund Ltd               SMC      0.76%      1.56%      0.90%       0.14%       -0.66%
             STP      Stenprop Limited                       SMC      0.37%      0.33%      0.44%       0.07%        0.11%

             GRT      Growthpoint Prop Ltd                   LRGC    16.81%      15.00%     20.82%      4.01%        5.82%
             RDF      Redefine Properties Ltd                MIDC    12.36%      10.74%     15.31%      2.95%        4.58%
             ITU      Intu Properties plc                    LRGC     8.42%      7.31%
             HYP      Hyprop Inv Ltd                         MIDC     7.45%      6.47%      9.22%       1.78%        2.76%
             CCO      Capital&Counties Prop plc              LRGC     7.21%      6.26%
             RES      Resilient Prop Inc Fund                MIDC     7.10%      6.17%      8.80%       1.69%        2.63%
             NEP      New Europe Prop Inv plc                MIDC     6.54%      5.68%      8.10%       1.56%        2.42%
             CPF      Capital Property Fund Ltd              MIDC     6.10%      5.30%      7.56%       1.46%        2.26%
             ATT      Attacq Limited                         MIDC     3.43%      2.98%      4.25%       0.82%        1.27%
             ROC      Rockcastle Global Real Estate Co Ltd   MIDC     3.14%      2.73%      3.89%       0.75%        1.16%
Sep '15
             VKE      Vukile Property Fund Ltd               SMC      2.83%      2.46%      3.51%       0.67%        1.05%
             RPL      Redefine International P.L.C           MIDC     2.64%      2.29%
             SAC      SA Corp Real Estate Ltd                SMC      2.63%      2.29%      3.26%       0.63%        0.97%
             AWA      Arrowhead Properties A                 SMC      1.09%      0.94%      1.35%       0.26%        0.40%
             AWB      Arrowhead Properties B                 SMC      1.09%      0.95%      1.35%       0.26%        0.40%
             EMI      Emira Property Fund Ltd                SMC      1.98%      1.72%      2.46%       0.47%        0.73%
             FFA      Fortress Inc Fund Ltd A                MIDC     0.89%      0.77%      1.10%       0.21%        0.33%
             FFB      Fortress Inc Fund Ltd B                MIDC     0.85%      0.74%      1.06%       0.20%        0.32%
             MSP      MAS Real Estate Inc.                   SMC      1.21%      1.93%
             REB      Rebosis Property Fund Ltd              SMC      1.19%      1.97%      1.47%       0.28%       -0.50%

       Page 9 of 16
                                                                                   SWIX                             SWIX 15%
                                                                        SWIX                            SWIX &
                                                                                 Weight in   Weight                   Cap &
Date        Alpha      Instrument Name                        Index    Weight                             SAPY
                                                                                   Index     in SAPY                   SAPY
                                                                      in Index                         Difference
                                                                                 (15% Cap)                          Difference

            IPF        Investec Property Fund Ltd             SMC      1.18%      1.02%      1.46%       0.28%        0.44%
            PIV        The Pivotal Fund Ltd                   SMC      1.05%      0.91%      1.30%       0.25%        0.39%
            DLT        Delta Property Fund Ltd                SMC      1.03%      5.47%      1.28%       0.25%       -4.19%
            OCT        Octodec Invest Ltd                     SMC      0.95%      3.50%      1.17%       0.23%       -2.33%
            APF        Accelerate Prop Fund Ltd               SMC      0.82%      4.41%      1.01%       0.19%       -3.40%


            GRT        Growthpoint Prop Ltd                   LRGC    16.25%      15.00%     19.82%      3.57%        4.82%
            RDF        Redefine Properties Ltd                MIDC    12.17%      11.08%     15.00%      2.83%        3.92%
            ITU        Intu Properties plc                    LRGC     8.56%      7.79%
            HYP        Hyprop Inv Ltd                         MIDC     7.72%      7.03%      9.41%       1.70%        2.39%
            NEP        New Europe Prop Inv plc                MIDC     6.93%      6.31%      8.45%       1.52%        2.14%
            RES        Resilient Prop Inc Fund                MIDC     6.39%      5.81%      7.79%       1.40%        1.98%
            CCO        Capital&Counties Prop plc              LRGC     6.11%      5.56%
            CPF        Capital Property Fund Ltd              MIDC     5.80%      5.28%      7.08%       1.28%        1.80%
            ATT        Attacq Limited                         MIDC     4.18%      3.80%      5.09%       0.92%        1.29%
            ROC        Rockcastle Global Real Estate Co Ltd   MIDC     3.37%      3.06%      4.11%       0.74%        1.04%
            VKE        Vukile Property Fund Ltd               SMC      2.68%      2.44%      3.27%       0.59%        0.83%
            SAC        SA Corp Real Estate Fund               SMC      2.68%      2.44%      3.27%       0.59%        0.83%
Mar '15     RPL        Redefine International P.L.C           SMC      2.60%      2.37%
            EMI        Emira Property Fund                    SMC      2.11%      1.92%      2.57%       0.46%        0.65%
            AWA        Arrowhead Properties A                 SMC      1.04%      0.95%      1.27%       0.23%        0.32%
            AWB        Arrowhead Properties B                 SMC      1.04%      0.95%      1.27%       0.23%        0.32%
            ACP        Acucap Properties Ltd                  MIDC     1.98%      1.80%      2.42%       0.44%        0.61%
            FFA        Fortress Inc Fund Ltd A                MIDC     0.94%      0.86%      1.15%       0.21%        0.29%
            FFB        Fortress Inc Fund Ltd B                MIDC     0.95%      0.86%      1.15%       0.21%        0.29%
            REB        Rebosis Property Fund Ltd              SMC      1.28%      2.67%      1.56%       0.28%       -1.11%
            MSP        MAS Real Estate Inc.                   SMC      1.19%      1.89%
            PIV        The Pivotal Fund Ltd                   SMC      1.08%      4.58%
            FPT        Fountainhead Prop Trust                SMC      1.06%      0.97%      1.30%       0.23%        0.33%
            OCT        Octodec Invest Ltd                     SMC      1.05%      2.87%      1.28%       0.23%       -1.58%
            IPF        Investec Property Fund Ltd             SMC      0.86%      1.72%      1.05%       0.19%       -0.67%


            GRT        Growthpoint Prop Ltd                   LRGC    20.23%      15.00%     22.45%      2.22%        7.45%
            RDF        Redefine Properties Ltd                MIDC    12.70%      13.53%     14.24%      1.54%        0.71%
            ITU        Intu Properties plc                    LRGC    11.89%      12.67%
            HYP        Hyprop Inv Ltd                         MIDC     8.42%      8.97%      9.35%       0.93%        0.37%
            NEP        New Europe Prop Inv plc                MIDC     7.18%      7.65%      7.97%       0.79%        0.32%
            RES        Resilient Prop Inc Fund                MIDC     7.13%      7.60%      7.92%       0.78%        0.32%
Sep '14     CCO        Capital&Counties Prop plc              LRGC     5.18%      5.52%
            ATT        Attacq Limited                         SMC      3.39%      3.61%      3.76%       0.37%        0.15%
            VKE        Vukile Property Fund Ltd               SMC      3.37%      3.59%      3.74%       0.37%        0.15%
            SAC        SA Corp Real Estate Fund               SMC      3.29%      3.50%      3.65%       0.36%        0.15%
            RPL        Redefine International P.L.C           SMC      3.04%      3.24%
            EMI        Emira Property Fund                    SMC      2.69%      2.87%      2.99%       0.30%        0.12%
            ACP        Acucap Properties Ltd                  SMC      2.38%      2.53%      2.64%       0.26%        0.11%

       Page 10 of 16
                                                                           SWIX                             SWIX 15%
                                                                SWIX                            SWIX &
                                                                         Weight in   Weight                   Cap &
Date        Alpha      Instrument Name                Index    Weight                             SAPY
                                                                           Index     in SAPY                   SAPY
                                                              in Index                         Difference
                                                                         (15% Cap)                          Difference

            FFA        Fortress Inc Fund Ltd A        SMC      2.00%      2.13%      2.22%       0.22%        0.09%
            FFB        Fortress Inc Fund Ltd B        SMC      0.33%      0.35%
            AWA        Arrowhead Properties A         SMC      1.15%      1.22%      1.28%       0.13%        0.05%
            AWB        Arrowhead Properties B         SMC      1.14%      1.22%      1.27%       0.13%        0.05%
            FPT        Fountainhead Prop Trust        SMC      1.38%      1.47%      1.53%       0.15%        0.06%
            REB        Rebosis Property Fund Ltd      SMC      1.36%      1.45%      1.51%       0.15%        0.06%
            IPF        Investec Property Fund Ltd     SMC      1.04%      1.11%      1.16%       0.11%        0.05%
            PMM        Premium Properties Ltd         SMC      0.72%      0.76%


            GRT        Growthpoint Prop Ltd           LRGC    19.39%      15.00%     22.43%      3.04%        7.43%
            RDF        Redefine Properties Ltd        MIDC    13.03%      13.74%     15.23%      2.20%        1.49%
            ITU        Intu Properties plc            LRGC     9.25%      9.76%
            HYP        Hyprop Inv Ltd                 MIDC     8.16%      8.60%      9.44%       1.28%        0.83%
            CPL        Capital Property Fund          MIDC     6.15%      6.48%      7.11%       0.96%        0.63%
            RES        Resilient Prop Inc Fund        MIDC     5.96%      6.29%      6.90%       0.93%        0.61%
            CCO        Capital&Counties Prop plc      LRGC     5.66%      5.97%
            NEP        New Europe Prop Inv plc        MIDC     4.73%      4.99%      5.47%       0.74%        0.48%
            VKE        Vukile Property Fund Ltd       SMC      3.81%      4.02%      4.41%       0.60%        0.39%
            ATT        Attacq Limited                 SMC      3.33%      3.51%      3.85%       0.52%        0.34%
Mar '14     SAC        SA Corp Real Estate Fund       SMC      3.30%      3.49%      3.82%       0.52%        0.34%
            RPL        Redefine International P.L.C   SMC      3.13%      3.30%
            ACP        Acucap Properties Ltd          SMC      2.88%      3.03%      3.33%       0.45%        0.29%
            EMI        Emira Property Fund            SMC      2.70%      2.85%      3.12%       0.42%        0.28%
            FFA        Fortress Inc Fund Ltd A        SMC      1.74%      1.84%      2.02%       0.27%        0.18%
            FFB        Fortress Inc Fund Ltd B        SMC      0.29%      0.31%
            REB        Rebosis Property Fund Ltd      SMC      1.63%      1.72%      1.89%       0.26%        0.17%
            FPT        Fountainhead Prop Trust        SMC      1.55%      1.63%      1.79%       0.24%        0.16%
            SYC        Sycom Property Fund            SMC      1.54%      1.62%      1.78%       0.24%        0.16%
            IPF        Investec Property Fund Ltd     SMC      1.05%      1.10%      1.21%       0.16%        0.11%
            PMM        Premium Properties Ltd         SMC      0.71%      0.75%      0.82%       0.11%        0.07%


            GRT        Growthpoint Prop Ltd           LRGC    21.82%      15.00%     24.26%      2.44%        9.26%
            RDF        Redefine Properties Ltd        MIDC    14.24%      15.00%     15.99%      1.76%        0.99%
            ITU        Intu Properties plc            LRGC     9.11%      9.97%
            HYP        Hyprop Inv Ltd                 MIDC     7.80%      8.53%      8.67%       0.87%        0.13%
            CPL        Capital Property Fund          MIDC     7.09%      7.77%      7.89%       0.79%        0.12%
            RES        Resilient Prop Inc Fund        MIDC     6.18%      6.76%      6.87%       0.69%        0.11%
            CCO        Capital&Counties Prop plc      MIDC     5.22%      5.72%
Sep '13
            SAC        SA Corp Real Estate Fund       SMC      3.62%      3.96%      4.02%       0.40%        0.06%
            ACP        Acucap Properties Ltd          SMC      3.58%      3.91%      3.98%       0.40%        0.06%
            NEP        New Europe Prop Inv plc        MIDC     3.55%      3.89%      3.95%       0.40%        0.06%
            VKE        Vukile Property Fund Ltd       SMC      3.55%      3.88%      3.94%       0.40%        0.06%
            EMI        Emira Property Fund            SMC      3.25%      3.56%      3.61%       0.36%        0.06%
            FPT        Fountainhead Prop Trust        MIDC     2.56%      2.81%      2.85%       0.29%        0.04%
            REB        Rebosis Property Fund Ltd      SMC      1.84%      2.02%      2.05%       0.21%        0.03%

       Page 11 of 16
                                                                         SWIX                             SWIX 15%
                                                              SWIX                            SWIX &
                                                                       Weight in   Weight                   Cap &
Date        Alpha      Instrument Name              Index    Weight                             SAPY
                                                                         Index     in SAPY                   SAPY
                                                            in Index                         Difference
                                                                       (15% Cap)                          Difference

            SYC        Sycom Property Fund          SMC      1.79%      1.96%      1.99%       0.20%        0.03%
            FFA        Fortress Inc Fund Ltd A      SMC      1.61%      1.76%      1.79%       0.18%        0.03%
            IPF        Investec Property Fund Ltd   SMC      1.20%      1.31%      1.33%       0.13%        0.02%
            RIN        Redefine Prop Int Ltd        SMC      1.19%      1.31%      1.33%       0.13%        0.02%
            PMM        Premium Properties Ltd       SMC      0.81%      0.89%      0.90%       0.09%        0.01%


            GRT        Growthpoint Prop Ltd         LRGC    24.80%      15.00%     24.89%      0.09%        9.89%
            RDF        Redefine Properties Ltd      MIDC    14.65%      15.00%     14.71%      0.05%       -0.29%
            CPL        Capital Property Fund        MIDC     8.17%      9.44%      8.20%       0.03%       -1.24%
            RES        Resilient Prop Inc Fund      MIDC     6.81%      7.87%      6.84%       0.03%       -1.04%
            HYP        Hyprop Inv Ltd               MIDC     6.40%      7.40%      6.43%       0.02%       -0.98%
            FPT        Fountainhead Prop Trust      MIDC     6.00%      6.94%      6.02%       0.02%       -0.91%
            VKE        Vukile Property Fund Ltd     SMC      4.61%      5.33%      4.63%       0.02%       -0.70%
            ACP        Acucap Properties Ltd        SMC      4.39%      5.07%      4.40%       0.02%       -0.67%
            CCO        Capital&Counties Prop plc    MIDC     4.22%      4.88%
Mar '13
            SAC        SA Corp Real Estate Fund     SMC      4.22%      4.88%      4.24%       0.02%       -0.64%
            NEP        New Europe Prop Inv plc      SMC      3.55%      4.11%      3.57%       0.01%       -0.54%
            EMI        Emira Property Fund          MIDC     3.16%      3.66%      3.17%       0.01%       -0.48%
            SYC        Sycom Property Fund          SMC      1.94%      2.25%      1.95%       0.01%       -0.30%
            REB        Rebosis Property Fund Ltd    SMC      1.88%      2.17%      1.89%       0.01%       -0.29%
            FFA        Fortress Inc Fund Ltd A      SMC      1.71%      1.97%      1.71%       0.01%       -0.26%
            IPF        Investec Property Fund Ltd   SMC      1.35%      1.56%      1.36%       0.01%       -0.21%
            PMM        Premium Properties Ltd       SMC      1.10%      1.27%      1.11%       0.00%       -0.17%
            RIN        Redefine Prop Int Ltd        SMC      1.03%      1.19%      1.04%       0.00%       -0.16%


            GRT        Growthpoint Prop Ltd         LRGC    22.82%      15.00%     24.55%      1.73%        9.55%
            RDF        Redefine Properties Ltd      MIDC    13.87%      15.00%     14.92%      1.05%       -0.08%
            CPL        Capital Property Fund        MIDC     8.89%      9.83%      9.56%       0.67%       -0.27%
            CSO        Capital Shop Cent Grp plc    LRGC     8.13%      8.99%
            RES        Resilient Prop Inc Fund      MIDC     7.05%      7.80%      7.58%       0.53%       -0.21%
            HYP        Hyprop Inv Ltd               MIDC     6.82%      7.55%      7.34%       0.52%       -0.21%
            FPT        Fountainhead Prop Trust      MIDC     4.91%      5.43%      5.29%       0.37%       -0.15%
            ACP        Acucap Properties Ltd        SMC      4.29%      4.75%      4.62%       0.32%       -0.13%
Sep '12     VKE        Vukile Property Fund Ltd     SMC      3.99%      4.41%      4.29%       0.30%       -0.12%
            SAC        SA Corp Real Estate Fund     SMC      3.86%      4.27%      4.15%       0.29%       -0.12%
            EMI        Emira Property Fund          MIDC     3.52%      3.89%      3.79%       0.27%       -0.11%
            CCO        Capital&Counties Prop plc    MIDC     3.05%      3.37%
            SYC        Sycom Property Fund          SMC      2.62%      2.90%      2.82%       0.20%       -0.08%
            NEP        New Europe Prop Inv plc      SMC      2.36%      2.61%      2.54%       0.18%       -0.07%
            FFA        Fortress Inc Fund Ltd A      SMC      2.14%      2.37%      2.31%       0.16%       -0.06%
            PMM        Premium Properties Ltd       SMC      1.11%      1.22%      1.19%       0.08%       -0.03%
            RIN        Redefine Prop Int Ltd        SMC      0.55%      0.61%      0.59%       0.04%       -0.02%

            GRT        Growthpoint Prop Ltd         LRGC    21.60%      15.00%     23.64%      2.04%        8.64%
Mar '12
            RDF        Redefine Properties Ltd      MIDC    13.67%      14.82%     14.96%      1.29%        0.14%

       Page 12 of 16
                                                                        SWIX                             SWIX 15%
                                                             SWIX                            SWIX &
                                                                      Weight in   Weight                   Cap &
Date        Alpha      Instrument Name             Index    Weight                             SAPY
                                                                        Index     in SAPY                   SAPY
                                                           in Index                         Difference
                                                                      (15% Cap)                          Difference

            CPL        Capital Property Fund       MIDC     9.56%      10.36%     10.46%      0.90%        0.10%
            CSO        Capital Shop Cent Grp plc   LRGC     9.18%      9.95%
            RES        Resilient Prop Inc Fund     MIDC     6.86%      7.44%      7.51%       0.65%        0.07%
            HYP        Hyprop Inv Ltd              MIDC     6.70%      7.26%      7.33%       0.63%        0.07%
            FPT        Fountainhead Prop Trust     SMC      5.45%      5.91%      5.97%       0.52%        0.06%
            ACP        Acucap Properties Ltd       SMC      4.40%      4.77%      4.82%       0.42%        0.05%
            SAC        SA Corp Real Estate Fund    SMC      4.29%      4.65%      4.69%       0.41%        0.04%
            EMI        Emira Property Fund         MIDC     4.09%      4.43%      4.47%       0.39%        0.04%
            VKE        Vukile Property Fund Ltd    SMC      3.36%      3.64%      3.67%       0.32%        0.04%
            CCO        Capital&Counties Prop plc   MIDC     3.06%      3.31%
            SYC        Sycom Property Fund         SMC      2.89%      3.14%      3.17%       0.27%        0.03%
            FFA        Fortress Inc Fund Ltd A     SMC      2.41%      2.61%      2.64%       0.23%        0.03%
            PMM        Premium Properties Ltd      SMC      1.12%      1.21%      1.22%       0.11%        0.01%
            NEP        New Europe Prop Inv plc     SMC      0.96%      1.04%      1.05%       0.09%        0.01%
            RIN        Redefine Prop Int Ltd       SMC      0.42%      0.45%      0.46%       0.04%        0.00%


            GRT        Growthpoint Prop Ltd        LRGC    23.29%      15.00%     24.78%      1.49%        9.78%
            RDF        Redefine Properties Ltd     MIDC    16.67%      15.00%     17.74%      1.07%        2.74%
            CPL        Capital Property Fund       MIDC    10.34%      12.06%     11.00%      0.66%       -1.05%
            CSO        Capital Shop Cent Grp plc   LRGC    10.29%      12.00%
            RES        Resilient Prop Inc Fund     MIDC     6.49%      7.57%      6.90%       0.42%       -0.66%
            FPT        Fountainhead Prop Trust     SMC      5.81%      6.78%      6.18%       0.37%       -0.59%
            SAC        SA Corp Real Estate Fund    SMC      5.24%      6.11%      5.57%       0.34%       -0.53%
Sep '11     HYP        Hyprop Inv Ltd              MIDC     5.03%      5.86%      5.35%       0.32%       -0.51%
            ACP        Acucap Properties Ltd       SMC      4.80%      5.59%      5.10%       0.31%       -0.49%
            EMI        Emira Property Fund         MIDC     3.49%      4.06%      3.71%       0.22%       -0.36%
            SYC        Sycom Property Fund         SMC      2.65%      3.09%      2.82%       0.17%       -0.27%
            FFA        Fortress Inc Fund Ltd A     SMC      2.13%      2.49%      2.27%       0.14%       -0.22%
            VKE        Vukile Property Fund Ltd    SMC      1.88%      2.20%      2.00%       0.12%       -0.19%
            PMM        Premium Properties Ltd      SMC      1.37%      1.60%      1.46%       0.09%       -0.14%
            RIN        Redefine Prop Int Ltd       SMC      0.52%      0.60%      0.55%       0.03%       -0.05%


            GRT        Growthpoint Prop Ltd        LRGC    21.85%      15.00%     24.17%      2.32%        9.17%
            RDF        Redefine Properties Ltd     MIDC    16.27%      15.00%     17.99%      1.72%        2.99%
            CSO        Capital Shop Cent Grp plc   LRGC    11.89%      13.45%
            PAP        PANGBOURNE PROP LTD         MIDC     6.47%      7.32%      7.16%       0.69%       -0.16%
            RES        Resilient Prop Inc Fund     MIDC     6.38%      7.22%      7.06%       0.68%       -0.16%
            FPT        Fountainhead Prop Trust     SMC      5.90%      6.68%      6.53%       0.63%       -0.15%
Mar '11     HYP        Hyprop Inv Ltd              MIDC     5.40%      6.11%      5.98%       0.57%       -0.14%
            SAC        SA Corp Real Estate Fund    SMC      5.22%      5.91%      5.78%       0.55%       -0.13%
            CPL        Capital Property Fund       SMC      4.46%      5.04%      4.93%       0.47%       -0.11%
            EMI        Emira Property Fund         MIDC     3.98%      4.50%      4.40%       0.42%       -0.10%
            ACP        Acucap Properties Ltd       SMC      3.53%      4.00%      3.91%       0.37%       -0.09%
            SYC        Sycom Property Fund         SMC      2.66%      3.01%      2.94%       0.28%       -0.07%
            FFA        Fortress Inc Fund Ltd A     SMC      1.97%      2.23%      2.18%       0.21%       -0.05%

       Page 13 of 16
                                                                                                      SWIX                                SWIX 15%
                                                                                         SWIX                                 SWIX &
                                                                                                    Weight in      Weight                   Cap &
 Date         Alpha       Instrument Name                                  Index        Weight                                  SAPY
                                                                                                      Index        in SAPY                   SAPY
                                                                                       in Index                              Difference
                                                                                                    (15% Cap)                             Difference

              VKE         Vukile Property Fund Ltd                         SMC          1.93%        2.18%         2.13%       0.20%       -0.05%
              PMM         Premium Properties Ltd                           SMC          1.54%        1.74%         1.70%       0.16%       -0.04%
              RIN         Redefine Prop Int Ltd                            SMC          0.54%        0.61%         0.60%       0.06%       -0.01%
Appendix 2: Historical modelled All Property Index constituents based on New Index Methodology


Appendix 3: Backcast Tradable Property Index Constituents


                                                                                                                  SWIX
                                                                                              SWIX
                                                                                                                Weight in    Weight in
 Date         Alpha     Instrument Name                                        Index         Weight in
                                                                                                                  Index       SAPY
                                                                                              Index
                                                                                                                (15% Cap)
              GRT       Growthpoint Prop Ltd                                    LRGC             18.32%          15.00%       18.85%
              RDF       Redefine Properties                                     LRGC             14.43%          15.00%       14.85%
              FFB       Fortress Income Fund Ltd. (B)                           LRGC             6.41%           6.67%         6.59%
              FFA       Fortress Income Fund Ltd. (A)                           LRGC             4.90%           5.10%         5.04%
              NEP       New Europe Property Investment Plc                     MIDC              9.82%           10.22%       10.10%
              HYP       Hyprop Investments Ltd                                 MIDC              8.53%           8.88%         8.78%
              RES       Resilient REIT Ltd                                     MIDC              8.48%           8.83%         8.73%
 Sep '16
              ITU       Intu Properties Plc                                     LRGC             6.43%           6.69%
              CCO       Capital & Counties Properties PLC                       LRGC             6.09%           6.34%
              ROC       Rockcastle Global Real Estate Co Ltd                   MIDC              4.36%           4.54%         4.49%
              SAC       SA Corporate Real Estate Fund                          MIDC              3.55%           3.69%         3.65%
              VKE       Vukile Property Fund                                   MIDC              3.17%           3.30%         3.26%
              ATT       Attacq Limited                                         MIDC              3.11%           3.24%         3.20%
              RPL       Redefine International PLC                             MIDC              2.40%           2.50%


              GRT       Growthpoint Prop Ltd                                    LRGC             18.92%          15.00%       19.05%
              RDF       Redefine Properties Ltd                                MIDC              14.83%          15.00%       14.93%
              NEP       New Europe Prop Inv plc                                MIDC              11.53%          12.19%       11.61%
              RES       Resilient REIT Limited                                 MIDC              10.25%          10.83%       10.31%
              FFA       Fortress Inc Fund Ltd A                                MIDC              3.42%           3.61%         3.44%
              FFB       Fortress Inc Fund Ltd B                                MIDC              5.97%           6.31%         6.01%
 Mar '16
              ITU       Intu Properties plc                                     LRGC             8.69%           9.19%
              HYP       Hyprop Inv Ltd                                         MIDC              8.67%           9.17%         8.73%
              CCO       Capital&Counties Prop plc                               LRGC             6.35%           6.71%
              ROC       Rockcastle Global Real Estate Co Ltd                   MIDC              4.66%           4.92%         4.69%
              ATT       Attacq Limited                                         MIDC              3.46%           3.66%         3.49%
              RPL       Redefine International P.L.C                           MIDC              3.23%           3.41%


              GRT       Growthpoint Prop Ltd                                    LRGC             20.27%          15.00%       20.82%
              RDF       Redefine Properties Ltd                                MIDC              14.90%          15.00%       15.31%
              ITU       Intu Properties plc                                     LRGC             10.15%          10.96%
  Sep '15     HYP       Hyprop Inv Ltd                                         MIDC              8.98%           9.69%         9.22%
              CCO       Capital&Counties Prop plc                               LRGC             8.70%           9.39%
              RES       Resilient Prop Inc Fund                                MIDC              8.56%           9.24%         8.80%
              NEP       New Europe Prop Inv plc                                MIDC              7.88%           8.51%         8.10%
        Page 14 of 16
                                                                                    SWIX
                                                                       SWIX
                                                                                  Weight in   Weight in
Date        Alpha      Instrument Name                        Index   Weight in
                                                                                    Index      SAPY
                                                                       Index
                                                                                  (15% Cap)
            CPF        Capital Property Fund Ltd              MIDC     7.36%       7.95%       7.56%
            ATT        Attacq Limited                         MIDC     4.13%       4.46%       4.25%
            ROC        Rockcastle Global Real Estate Co Ltd   MIDC     3.78%       4.09%       3.89%
            RPL        Redefine International P.L.C           MIDC     3.18%       3.43%
            FFA        Fortress Inc Fund Ltd A                MIDC     1.07%       1.16%       1.10%
            FFB        Fortress Inc Fund Ltd B                MIDC     1.03%       1.11%       1.06%


            GRT        Growthpoint Prop Ltd                   LRGC     19.98%      15.00%      19.82%
            RDF        Redefine Properties Ltd                MIDC     14.97%      15.00%      15.00%
            ITU        Intu Properties plc                    LRGC     10.52%      11.32%
            HYP        Hyprop Inv Ltd                         MIDC     9.49%       10.21%      9.41%
            NEP        New Europe Prop Inv plc                MIDC     8.52%       9.17%       8.45%
            RES        Resilient Prop Inc Fund                MIDC     7.85%       8.45%       7.79%
Mar '15     CCO        Capital&Counties Prop plc              LRGC     7.51%       8.08%
            CPF        Capital Property Fund Ltd              MIDC     7.13%       7.68%       7.08%
            ATT        Attacq Limited                         MIDC     5.13%       5.52%       5.09%
            ROC        Rockcastle Global Real Estate Co Ltd   MIDC     4.14%       4.45%       4.11%
            ACP        Acucap Properties Ltd                  MIDC     2.43%       2.62%       2.42%
            FFA        Fortress Inc Fund Ltd A                MIDC     1.16%       1.24%       1.15%
            FFB        Fortress Inc Fund Ltd B                MIDC     1.16%       1.25%       1.15%


            GRT        Growthpoint Prop Ltd                   LRGC     27.82%      15.00%      22.45%
            RDF        Redefine Properties Ltd                MIDC     17.46%      15.00%      14.24%
            ITU        Intu Properties plc                    LRGC     16.34%      15.00%
Sep '14     HYP        Hyprop Inv Ltd                         MIDC     11.58%      15.00%      9.35%
            NEP        New Europe Prop Inv plc                MIDC     9.87%       14.73%      7.97%
            RES        Resilient Prop Inc Fund                MIDC     9.81%       14.64%      7.92%
            CCO        Capital&Counties Prop plc              LRGC     7.12%       10.63%


            GRT        Growthpoint Prop Ltd                   LRGC     26.81%      15.00%      22.43%
            RDF        Redefine Properties Ltd                MIDC     18.01%      15.00%      15.23%
            ITU        Intu Properties plc                    LRGC     12.79%      15.00%
            HYP        Hyprop Inv Ltd                         MIDC     11.28%      14.64%      9.44%
Mar '14
            CPL        Capital Property Fund                  MIDC     8.50%       11.03%      7.11%
            RES        Resilient Prop Inc Fund                MIDC     8.24%       10.69%      6.90%
            CCO        Capital&Counties Prop plc              LRGC     7.83%       10.16%
            NEP        New Europe Prop Inv plc                MIDC     6.54%       8.48%       5.47%


            GRT        Growthpoint Prop Ltd                   LRGC     28.13%      15.00%      24.26%
            RDF        Redefine Properties Ltd                MIDC     18.36%      15.00%      15.99%
            ITU        Intu Properties plc                    LRGC     11.74%      15.00%
            HYP        Hyprop Inv Ltd                         MIDC     10.05%      13.23%      8.67%
Sep '13
            CPL        Capital Property Fund                  MIDC     9.15%       12.04%      7.89%
            RES        Resilient Prop Inc Fund                MIDC     7.96%       10.48%      6.87%
            CCO        Capital&Counties Prop plc              MIDC     6.73%       8.86%
            NEP        New Europe Prop Inv plc                MIDC     4.58%       6.02%       3.95%

       Page 15 of 16
                                                                                                      SWIX
                                                                                         SWIX
                                                                                                    Weight in   Weight in
 Date         Alpha      Instrument Name                                        Index   Weight in
                                                                                                      Index      SAPY
                                                                                         Index
                                                                                                    (15% Cap)
              FPT        Fountainhead Prop Trust                                MIDC     3.31%       4.35%       2.85%


              GRT        Growthpoint Prop Ltd                                   LRGC     33.40%      15.00%      24.89%
              RDF        Redefine Properties Ltd                                MIDC     19.70%      15.00%      14.71%
              CPL        Capital Property Fund                                  MIDC     11.00%      15.00%      8.20%
              RES        Resilient Prop Inc Fund                                MIDC     9.20%       14.08%      6.84%
 Mar '13
              HYP        Hyprop Inv Ltd                                         MIDC     8.60%       13.24%      6.43%
              FPT        Fountainhead Prop Trust                                MIDC     8.10%       12.41%      6.02%
              CCO        Capital&Counties Prop plc                              MIDC     5.70%       8.73%
              EMI        Emira Property Fund                                    MIDC     4.30%       6.54%       3.17%


              GRT        Growthpoint Prop Ltd                                   LRGC     28.86%      15.00%      24.55%
              RDF        Redefine Properties Ltd                                MIDC     17.55%      15.00%      14.92%
              CPL        Capital Property Fund                                  MIDC     11.24%      14.68%      9.56%
              CSO        Capital Shop Cent Grp plc                              LRGC     10.29%      13.43%
  Sep '12     RES        Resilient Prop Inc Fund                                MIDC     8.91%       11.64%      7.58%
              HYP        Hyprop Inv Ltd                                         MIDC     8.63%       11.27%      7.34%
              FPT        Fountainhead Prop Trust                                MIDC     6.21%       8.12%       5.29%
              EMI        Emira Property Fund                                    MIDC     4.45%       5.81%       3.79%
              CCO        Capital&Counties Prop plc                              MIDC     3.86%       5.04%


              GRT        Growthpoint Prop Ltd                                   LRGC     28.91%      15.00%      23.64%
              RDF        Redefine Properties Ltd                                MIDC     18.30%      15.00%      14.96%
              CPL        Capital Property Fund                                  MIDC     12.80%      15.00%      10.46%
              CSO        Capital Shop Cent Grp plc                              LRGC     12.28%      15.00%
 Mar '12
              RES        Resilient Prop Inc Fund                                MIDC     9.18%       13.25%      7.51%
              HYP        Hyprop Inv Ltd                                         MIDC     8.97%       12.94%      7.33%
              EMI        Emira Property Fund                                    MIDC     5.47%       7.90%       4.47%
              CCO        Capital&Counties Prop plc                              MIDC     4.09%       5.90%


              GRT        Growthpoint Prop Ltd                                   LRGC     30.81%      15.00%      24.78%
              RDF        Redefine Properties Ltd                                MIDC     22.05%      15.00%      17.74%
              CPL        Capital Property Fund                                  MIDC     13.68%      15.00%      11.00%
  Sep '11     CSO        Capital Shop Cent Grp plc                              LRGC     13.61%      15.00%
              RES        Resilient Prop Inc Fund                                MIDC     8.58%       15.00%      6.90%
              HYP        Hyprop Inv Ltd                                         MIDC     6.65%       14.76%      5.35%
              EMI        Emira Property Fund                                    MIDC     4.61%       10.24%      3.71%


              GRT        Growthpoint Prop Ltd                                   LRGC     30.25%      15.00%      24.17%
              RDF        Redefine Properties Ltd                                MIDC     22.52%      15.00%      17.99%
              CSO        Capital Shop Cent Grp plc                              LRGC     16.46%      15.00%
 Mar '11      PAP        PANGBOURNE PROP LTD                                    MIDC     8.96%       15.00%      7.16%
              RES        Resilient Prop Inc Fund                                MIDC     8.83%       15.00%      7.06%
              HYP        Hyprop Inv Ltd                                         MIDC     7.48%       14.40%      5.98%
              EMI        Emira Property Fund                                    MIDC     5.50%       10.60%      4.40%
Appendix 3: Historical modelled Tradable Property Index constituents based on

        Page 16 of 16

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