EURO STOXX 50 ESG Index Methodology

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February 2021

| Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group. STOXX is now Part of Qontigo… A New Financial Intelligence Driver, Modernizing Investment Management

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Features Regional Coverage . Comprehensive and transparent: completely rules-based coverage of the Eurozone

. Balanced: selection mechanism ensures balanced representation of supersectors using Industry Classification Benchmark (ICB)

. Representative and liquid: coverage of about 60% of total free- float through liquid supersector leaders. Components ranked and weighted by free-float subject to 10% cap

. Continuous pulse on market changes: quarterly rebalancing, annual review

. Established: launched on Feb. 26, 1998

Features Regional Coverage . Comprehensive and transparent: completely rules-based coverage of the Eurozone

. Balanced: selection mechanism ensures balanced representation of supersectors using Industry Classification Benchmark (ICB)

. Representative and liquid: coverage of about 60% of total free-float through liquid supersector leaders. Components ranked and weighted by free-float subject to 10% cap

. Sustainability: Integrating environmental, social and governance values

. Continuous pulse on market changes: quarterly rebalancing, annual review

. Established: launched on April 30, 2019

. Derivatives: launched November 9, 20201) on Eurex

1) Source: Equity index derivatives: Introduction of futures and options on the EURO STOXX® 50 ESG and DAX® 50 ESG indexes 3 | Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group. Index Characteristics

EURO STOXX 50 EURO STOXX 50 ESG

EURO STOXX EURO STOXX Universe

Controversial and low sustainable companies are replaced based on ESG Integration criteria Selection

50 50 2,448 (EUR billions)* 2,593 (EUR billions)* Profile

Free Float Market Cap Free Float Market Cap Weighting Weight constituents by free-float market cap subject to Weight constituents by free-float market cap subject to 10% weight cap 10% weight cap

* Source: Qontigo. Data as of Dec 30, 2020.

Exclusion Inclusion

ESG Scores Bottom 10% based on ESG score

Non-compliance with: UN Global Compact Principles (UNGC), UN Guiding Principles on Business and Global Standards Screening Human Rights (UNGPs), OECD Guidelines for Multinational Enterprises and related conventions

Cluster weapons, anti-personal mines, biological and All excluded companies are replaced by companies Controversial Weapons chemical weapons, depleted uranium, nuclear with a higher ESG score in the same ICB Supersector. weapons and white phosphorus Ranked based on market capitalization

Tobacco producers (0% revenue threshold) Tobacco

>25% revenue threshold from thermal coal mining and exploration Thermal Coal >25% coal power generating capacity

. EURO STOXX 50 index

. ESG integration replacement criteria: Universe

Universe . Exclusion of least sustainable companies - lowest 10% based on ESG score . Global Standards Screening (if non-compliant) . Involvement in controversial weapons . Anti-personnel mines, biological and chemical weapons, cluster weapons, depleted uranium, nuclear weapons and white phosphorus . Selection Tobacco producers (0% revenue threshold) Selection . Thermal coal . >25% revenue threshold from thermal coal mining and exploration . >25% power generating capacity (coal-fired electricity, heat or steam generation capacity / thermal coal electricity production) . All excluded companies are replaced by companies with a higher ESG score in the same ICB Supersector. Ranked based on market capitalization Weighting

Weighting . Free-float market cap

. In case a company’s ESG Controversy Rating increases to Category 5 and it becomes non-compliant based on the Fast Exit Sustainalytics Global Standards Screening assessment, the company is deleted on the third dissemination day Fast Exit

Fast-exit Rule

. In case a company increases its ESG Controversy Rating to Category 5 and becomes non-compliant based on the Sustainalytics Global Standards Screening assessment, the respective company will be deleted from the index

. The deletion will take place two dissemination days after the announcement, i.e. at the open of the 3rd dissemination day. The company will be replaced by a company with a higher ESG score in the same ICB supersector. Ranked based on market capitalization

. A fast-entry is not applicable

No. of Exclusions Weight (%) in EURO STOXX 50

6 Universe 9.0

8.0 5 7.0

4 6.0

5.0 3 Exclusion 4.0 Criteria 2 3.0

2.0 1 1.0

0 0.0 Controversial Tobacco Global Standard Thermal Coal ESG Score Controversial Tobacco Global Standard Thermal Coal ESG Score Weapons Screening Weapons Screening

1) Source: Qontigo. Data as of Dec 21, 2020 (post review)

8 | Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group. Deletions and Additions1) Weight in EURO STOXX Weight in EURO STOXX Constituent Name Supersector Reason for Exclusion2) 50 % 50 ESG % ADYEN Industrial Goods and Services 2.11 - Securities with lowest ESG Scores

AIRBUS Industrial Goods and Services 2.01 - Involvment in Controversial Weapons

ANHEUSER-BUSCH INBEV Food, Beverage and Tobacco 1.90 - Securities with lowest ESG Scores

SAFRAN Industrial Goods and Services 1.58 - Involvment in Controversial Weapons

Prosus Technology 1.55 - Securities with lowest ESG Scores

VOLKSWAGEN PREF Automobiles and Parts 1.09 - Securities with lowest ESG Scores

FLUTTER ENTERTAINMENT Travel and Leisure 1.01 - Securities with lowest ESG Scores

INFINEON TECHNOLOGIES Technology - 1.66

FERRARI Automobiles and Parts - 0.92

HEINEKEN Food, Beverage and Tobacco - 0.88

LEGRAND Industrial Goods and Services - 0.80

WORLDLINE Industrial Goods and Services - 0.73

TELEPERFORMANCE Industrial Goods and Services - 0.66

SODEXO Travel and Leisure - 0.25

11.25 5.90 1) Source: Qontigo. Data as of Dec 21, 2020 (post review)

210 EURO STOXX 50 ESG EURO STOXX 50

Perf. overall (annualized) 8.03% 7.56% 190

Perf. (1Y) 0.71% -2.61% 170 Perf. (3Y) (annualized) 4.71% 3.83% 150 Perf. (5Y) (annualized) 5.45% 5.27% Vol. overall (annualized) 19.54% 19.91% 130 Volatility (1Y) (annualized) 30.92% 32.36% 110 Volatility (3Y) (annualized) 20.88% 21.67% Volatility (5Y) (annualized) 19.47% 20.00% 90 2) Sharpe ratio (Overall) 0.50 0.48 70 Sharpe ratio2) (5Y) 0.39 0.38 50 Tracking error (Overall) 1.26% 0.00% Mar-12 Jun-13 Sep-14 Dec-15 Mar-17 Jun-18 Sep-19 Dec-20 Tracking error (5Y) 1.43% 0.00% EURO STOXX 50 ESG (EUR GR) EURO STOXX 50 (EUR GR) Dividend yield (Overall) 5.06% 4.94% 1) Source: Qontigo, daily data. Relative figures calculated against Benchmark 2) EONIA used as a proxy for riskless returns Maximum drawdown 35.83% 38.23% 3) Qontigo Data Mar 19, 2012 – Dec 31, 2020 Constituents 50 50

Country Allocation1) Industry Allocation1)

France Consumer Discretionary

Technology Germany Industrials

Netherlands Financials

Basic Materials Spain Health Care Italy Utilities

Finland Energy

Consumer Staples Ireland Telecommunications

Belgium Real Estate

0% 5% 10% 15% 20% 25% 30% 35% 40% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20%

EURO STOXX 50 ESG EURO STOXX 50

Constituent Name Weight (%) Constituent Name Weight (%) ASML HLDG 6.94 ASML HLDG 6.56

LVMH MOET HENNESSY 5.56 LVMH MOET HENNESSY 5.25

SAP 4.81 SAP 4.54

LINDE 4.58 LINDE 4.33

TOTAL 3.84 TOTAL 3.63

SANOFI 3.68 SANOFI 3.48

SIEMENS 3.61 SIEMENS 3.41

ALLIANZ 3.39 ALLIANZ 3.21

L'OREAL 3.11 L'OREAL 2.94

IBERDROLA 2.78 IBERDROLA 2.63

Total 42.26 Total 39.98

1) Source: Qontigo. Data as of Dec 31, 2020. 12 | Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group. EURO STOXX 50 ESG EURO STOXX 50 ESG Profile Compared to EURO STOXX 50

ESG Score Comparison1) 78

60 Mar-12 Aug-12 Jan-13 Jun-13 Nov-13 Apr-14 Sep-14 Feb-15 Jul-15 Dec-15 May-16 Oct-16 Mar-17 Aug-17 Jan-18 Jun-18 Nov-18 Apr-19 Sep-19 Feb-20 Jul-20 Dec-20

EURO STOXX 50 ESG EURO STOXX 50

1) Source: Qontigo 13 | Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group. EURO STOXX 50 ESG Cumulative Impact of ESG Integration on Total Returns1)

10.0% 9.0% 8.0% 7.0% 6.0% 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% -1.0% -2.0% -3.0% -4.0% Mar 12 Jun 13 Sep 14 Dec 15 Mar 17 Jun 18 Sep 19 Dec 20

Impact of ESG exclusions Impact of ESG integration EURO STOXX 50 ESG - EURO STOXX 50

1) Source: Qontigo. EUR GR, Data till Dec 31, 2020 (Delta to EURO STOXX 50)

Liquidity Comparison1)

0.7 18

16 0.6

14 0.5 12 0.4 10

0.3 8

0.2 6

4 0.1 billions) (EUR Capacity Number of days trade to days of Number

2 0.0

0 Mar-12 Dec-13 Sep-15 Jun-17 Mar-19 Dec-20

EURO STOXX 50 ESG (# Days) EURO STOXX 50 (# Days) EURO STOXX 50 ESG (Capacity) EURO STOXX 50 (Capacity)

Ticker ISIN Type Currency Bloomberg

SX5EESG CH0469557521 Price EUR BBG00NNQF8W7

SX5GTESG CH0469557497 Gross Return EUR BBG00NNQF8X6

SX5TESG CH0469557505 Net Return EUR BBG00NNQF8V8

SX5KESG CH0469557489 Price USD

SX5GUESG CH0469557513 Gross Return USD

SX5UESG CH0469557539 Net Return USD

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