update EURONEXT DIVIDEND FUTURES | MAXIMISE YOUR CHOICES | NOVEMBER 2015

More choice for your START TRADING TODAY

dividend investments More information on Divided Derivatives is available at derivatives. euronext.com/dividend-derivatives Euronext entered the single stock dividend Alternatively, contact Euronext:

futures market in January 2015 with the goal Financial Derivatives team:

of providing investors with additional choice Amsterdam: Marcel Walther for their dividend investments. The new single +31 20 721 4261 [email protected] stock dividend futures contracts now available Brussels: Leen Van Wambeke on Euronext offer new trading potential and +32 2 620 15 40 complement Euronext’s existing dividend [email protected] index offering of CAC 40® and AEX® Dividend Lisbon: Sonia Pedro +351 21 060 0626 Index Futures. [email protected] London: Christopher French This corresponds to a true commitment to the dividend investment +44 20 7076 0907 community. In less than a year, Euronext has issued a significant number [email protected] of contracts, and now offers the broadest range of Single Stock Dividend Paris: Charlotte Alliot Futures contracts in Europe with more than 210 contracts. +33 (0)1 70 48 28 43 Euronext’s ambition is to become the main player in this market, combining [email protected] competitive pricing and transparent management of corporate actions with Relationship managers through the a wide offering. We have created tangible added value for our investors and Client Coverage Centre (CCC): new trading opportunities in launching contracts on underlyings that are only available on our markets. Email [email protected] or call:

Our strategy focuses on meeting our clients’ needs. Staying close to them Amsterdam: +31 2 07 219 586 and maintaining an ongoing dialogue is key to the development of Euronext’s offering. We value clients’ views and our ambition is to work together to Brussels: +32 2 62 00 586 create a successful dividend trading space. Finally, we are pleased to take the Lisbon: +351 2 10 608 586 opportunity of this publication to thank the people who have trusted Euronext to invest in dividends, and we look forward to growing this space together. London: +44 20 76 608 586 Paris: +33 1 85 148 586

ADAM ROSE | Head of Financial Derivatives | Euronext 02 UPDATE | Dividend Future Options Our selection of dividend products

FROM INDEX DIVIDEND FUTURES…

In 2009 Euronext launched futures on the CAC 40® Dividend Index and the AEX® Dividend Index. The CAC 40 Dividend Future has so far been the main focus of investors looking to hedge positions or for diversification opportunities.

Focus on CAC 40® Dividend Index What our customers say about our Future CAC 40® Dividend Index Futures What dividends are covered in the CAC 40 Dividend Index? The simplicity and transparency of the Index “calculation, coupled with the enhanced liquidity we ƒƒThe CAC 40 Dividend Index measures the cumulative are witnessing in the market, make us very confident value of the ordinary gross dividends declared by the investing in CAC40 dividend Indices. CAC 40® Index constituents ƒƒOrdinary dividends paid in cash or in shares are taken MELANION CAPITAL: ” into account Antoine Iskandar – Portfolio Manager ƒƒSpecial or extraordinary dividends are excluded ƒ ƒDividend points are accumulated on the ex-dividend As we strongly believe in its potential, we decided to date “become market maker on the CAC 40 Dividend Future ƒƒThe level of the Index is reset to zero after the close of to support the development of this contract. the third Friday of December SOCIETE GENERALE : ƒƒPlease refer to the Index rule book for complementary ” Jérémy Cohen – Equity Derivatives Trader information.

Why trade a listed future instead of a dividend swap?

By using on-exchange futures contracts, investors benefit from:

ƒƒCentral clearing provided by LCH.Clearnet SA ƒƒTransparency as a result of on-screen prices ƒƒLiquidity provided by market makers Dividend Index Futures fees: ƒƒTransparency in the Index calculation to monitor the Dividend Index Trading fee (Central Order Book) accrued dividends per lot*

ƒƒThe possibility to monitor the developments of the CAC 40® Dividend Index Future €0.14

dividend markets. AEX® Dividend Index Future Broker (Client Account): €0.77

Member (Own Account) €0.32 At the end of October 2015

ƒƒMore than 100,000 lots traded year-on-year * The clearing fee is €0.13 per contract. ƒƒOpen interest reached more than 75,000 lots. UPDATE | Dividend Future Options 03 Our selection of dividend products

… TO SINGLE STOCK DIVIDEND FUTURES

At the beginning of 2015, Euronext started launching a range of Single Stock Dividend futures. With more than 200 contracts, Euronext now offers the largest number of Single Stock Dividend future contracts bringing concrete added value to investors.

Euronext’s Single Stock Dividend Futures complement Access to multiple trading opportunities its dividend index future offering (CAC 40 Dividend Index Future and AEX Dividend Index Future), giving market ƒƒBenefit from a low-volatility investment participants additional investment strategies. ƒƒTake a directional view on a dividend payment which is over-valued (sell) or under-valued (buy) ƒƒAccess a wide range of arbitrage opportunities: trade A hedging tool and an asset class single stock dividend futures versus the dividend index Dividends are a key component for equity and equity future, a single stock dividend future versus another derivatives holders and are mostly used as a hedging from the same or different sector, or trade different tool. However, dividends are also becoming an asset maturities class of their own: a dividend investment can be seen ƒƒAccess single stock dividend futures with as corresponding to an equity investment, while often a high multiplier (10,000) to benefit from proving more resilient and less volatile than stocks cost efficiencies

Why trade Single Stock Dividend Trade on Euronext’s secure and Futures? transparent environment

ƒƒBenefit from an efficient hedging tool helping you ƒƒCentral clearing provided by to manage your dividend exposure LCH.Clearnet SA ƒƒDiversify your portfolio by investing in a new ƒƒTransparency through on-screen prices asset class ƒƒLiquidity provided by market makers ƒƒOptimised trading and clearing prices

What are Single Stock Dividend Why trade Single Stock Dividend Who are Single Stock Dividend Futures Futures? futures? for?

Single Stock Dividend Futures are Access new trading opportunities by Investors who want to hedge risk exchange-traded derivatives contracts taking long or short positions on Single associated with dividend exposure, that allow investors to take positions on Stock Dividend Futures, or trade them diversify their trading portfolio and dividend payments against Euronext’s Dividend Index reduce its volatility exposure. futures (CAC 40® or AEX- Index®). 04 UPDATE | Dividend Future Options

What our customers say about our Single Stock Dividend Futures

BNP Paribas, pioneer in dividend JP Morgan welcomes Euronext’s By developing a wide range of Single “trading, is proud to work closely with “Single Stock Dividend Futures initiative, “Stock Dividend Futures, Euronext adds Euronext on the development of their which provides investors alternative a new source of opportunities for our outstanding single stock dividend futures ways to trade dividend products, with client trading activities. This initiative suite. Euronext has taken the path of an interesting universe of stocks and will improve the market efficiency and providing a wide product range, offering competitive pricing. increase Natixis’ capacity to satisfy a more transparency, better liquidity and growing client appetite for this asset JP MORGAN: aggressive pricing. BNP Paribas, acting ” class. Ziad Kerbage – Equity Derivatives Trader as a market maker on the single stock NATIXIS: dividend futures, is directly contributing to ” Riad Doussouki – Equity Derivatives Euronext’s success. The McKinley Capital Dividend Growth Trader BNP PARIBAS: ” “Fund has invested in Single Stock Nicolas Certner – Equity Derivatives Dividend Futures since their first Trader introduction in Europe; it has invested in Thanks to more than 200 Single Stock Euronext’s new contracts which provide “Dividend Future contracts now available a wider opportunity set, at a competitive at Euronext, our investment managers The new Single Stock Dividend Futures rate. may detect new investment opportunities “launched by Euronext have offered and improve the global allocation of our MCKINLEY CAPITAL MANAGEMENT: investors a new set of investment ” dividends portfolio. Martino Boffa – Director of Investments, opportunities. Societe Generale, which Alternative Structures LAFFITE CAPITAL: ranks among the leaders in this asset ” David Lenfant – Co-founder class thanks to its strong expertise in dividend markets, welcomes this With the issuing of more than 200 Single initiative and is glad to contribute to this “Stock Dividend Future contracts, Euronext development by being a market maker. has stepped into the dividend future game SOCIETE GENERALE: ” with an impressive commitment to bring Jeremy Cohen – Equity Derivatives Trader the game to the next level. The universe is growing alongside investors’ appetite to get exposed to this unique and innovative GEMM, BTG Pactual’s main Hedge Fund, asset class. “invests in dividend futures as a diversified MELANION CAPITAL: source of alpha generation. Euronext has ” Jad Comair – Founder and CIO already offered more price transparency, liquidity and competitive pricing. We target to grow our market share with Euronext alongside the global development of the dividend futures market COMPETITIVE PRICING BTG PACTUAL: ” Single Stock Dividend Futures fees: Benjamin Clerget – Associate Partner and Dividend Central Block Portfolio Manager level Order Book* trades and guaranteed cross*

< 0.50 € 1.00 € 1.50

0.50 – 0.99 € 4.00 € 6.00

≥ 1.00 € 6.00 € 9.00

Please note all Euronext Single Stock Dividend Futures have a 10,000 multiplier *The clearing fee is €0.50 per contract. UPDATE | Dividend Future Options 05 ChoosedividendOur selection Euronext products of for your dividend investments 211 Single Stock Dividend Future underlyings across ten countries

FRANCE AND FRANCE BELGIUM SPAIN NETHERLANDS IRELAND GERMANY 43 17 20 1 1 25

ITALY PORTUGAL SWITZERLAND UK NETHERLANDS 21 2 19 38 24

LARGEST CHOICE OF SINGLE STOCK 95 SINGLE STOCK DIVIDEND DIVIDEND FUTURES FUTURES ARE ONLY AVAILABLE AT EURONEXT

LIQUIDITY BNP PARIBAS SOCIETE GENERALE Nicolas Certner Eric Carballeda Liquidity is provided by [email protected] [email protected] two high-performance +44 (0) 207 595 1342 +44 (0) 207 762 5493 Yanis Escudero Jérémy Cohen market makers, [email protected] [email protected] BNP Paribas and +44 (0) 207 595 1691 +44 (0) 207 762 5876 Gabriel Messika Massimiliano Pignatelli Societe Generale. [email protected] [email protected] +44 (0) 207 595 1819 +44 (0) 207 762 5971 06 UPDATE | Dividend Future Options

Committed to clear and transparent management of corporate actions UPDATE | Dividend Future Options 07

CORPORATE ACTIONS ON DERIVATIVES: Interview with Ilona Delikat, Manager EMS Corporate Actions, Euronext

Who makes up the Derivatives Corporate Actions (CA) team?

Ilona: We currently have four experts working on corporate actions for our Derivatives Markets, including myself. All our team members are very experienced, with extensive knowledge of the possible effects of a corporate action on the pricing of derivatives. I myself have been working in the CA team for a very long time. Corporate actions and

their effect on derivatives has been my interest from the moment I started working for the exchange 27 years ago.

What makes up the bulk of your work?

Ilona: We are responsible for adjusting the contract specifications of all derivatives listed on Euronext in the case of a corporate action. Exactly when and how we adjust the derivatives is explained in our Euronext Derivatives Corporate Actions Policy. We aim always to have a transparent policy document so we can be sure that when a corporate action is announced, market participants are aware of the changes that will be carried out on the derivatives. As you can imagine, for this we are highly dependent on the communication done by issuers.

Do you only cater for corporate actions on Euronext derivatives?

Ilona: No, we also have a Corporate Actions Service that is specifically designed to provide customised guidance on corporate action adjustment of derivatives positions held in Euronext-listed products, but not traded on one of the Euronext markets.

What does a business day look like?

Ilona: We start our day searching for new corporate actions on all underlying values of Euronext derivatives. We try to make this search as extensive as possible to ensure that we capture all relevant information. When we find a corporate action, we will evaluate whether or not this is an adjustable event based on our Policy. If we need to adjust derivatives as a result of this corporate action, we will publish (after close of trading) a Corporate Action Notice so that the market is informed of the upcoming derivatives adjustment. Then, the evening before the effective date of a corporate action we will make the necessary changes to the referential data, so that trading can start the next morning with the correct contract specifications. It is important that we inform the market as soon as possible if we are adjusting for a corporate action. We know that the critical information provided by our team makes Euronext a reliable place to trade.

What do you consider a challenge?

Ilona: A challenge is when we come across a type of corporate action that we have never seen before, and which our Corporate Action Policy may not completely cater for. So we need to use all our experience and expertise to come up with a suitable adjustment method.

What do you think about the SSDFs launched this year?

Ilona: The SSDFs are a great asset to our current product range, and allow our customers to hedge their dividend risks in other products. Developing a set of corporate action rules to match the needs of this new product, and ensuring that it followed the principles of our Corporate Actions Policy, was a challenge which I enjoyed very much. This kind of activity is the cherry on the cake for a CA expert!

How can we contact you?

Ilona: You can contact us via email ([email protected]) or by telephone (+31 20 721 9588).

We aim to answer questions rapidly as we understand that the information we facilitate is highly relevant to trading on our markets.

UPDATE | Dividend Future Options 09

From the market

The team members are considered as one of the pioneers Once this work is done for any component of an index, of the dividend derivatives market, having historically we can calculate the level of the dividends for a specific traded OTC dividend derivatives in the late 90s. index and the curve of the coming years.

The development of listed dividend derivatives was a We can illustrate our arbitrage approach with a recent great opportunity for them as they launched their own carry position on the CAC 40 2016 dividend futures. Our arbitrage daily liquid UCITS fund and they could at last analysis detected that this contract was discounted make use of their expertise in a regulated fund. compared to our forecasts. The chart below shows the levels of this contract and the levels of our forecast: In the Laffitte Index Arbitrage fund they replicate most DAVID LENFANT, Managing Partner, of the common Long/Short equity strategies by using Laffitte CM dividend derivatives. The range of maturities, nature Figure 2: XFDZ6 market vs Laffitte Forecast of dividend derivatives, underlyings (single stocks, index, sectorial index) allow room for many arbitrage 165 XFDZ6 Index opportunities described below: Laffitte Forecast 160

155

Figure 1: Laffitte Index Arbitrage Fund 150

145 INDEX VALUE

CARRY POSITION ARBITRAGE DIVIDEND PAYMENT 140 (long or short) (underlying vs underlying) CALENDAR

■ Take long (or short) Take simultaneously long Take long (or short) position 135 positions on undervalued and short positions to play on a single stock dividend (or overvalued) dividend convergence (or divergence) or future (and/or the index the 130 derivatives. exclude a specific dividend risk. stock is included in) on which Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep a dividend payment date may 14 14 14 14 14 14 14 14 14 15 15 15 15 15 15 15 15 15 ■ Positions are Beta hedged. e.g.: stock vs stock, index vs index, index vs stock, sector vs move from a Futures expiry to ■ Sector hedge may be used. sector, sector vs stock, sector another one. vs index... ARNAUD YVINEC, Fund Manager and We opened the position in spring 2014 with a discount Managing Partner, ARBITRAGE INDEX RESHUFFLE close to 8%, and we closed it last summer once the Laffitte CM (maturity vs maturity) Take long (or short) positions, Take simultaneously long and when stocks leave and/or enter market was above our estimations. short positions on different the underlying index, depending maturities of the dividend on the dividend Future price curve to play convergence change impact. We were able to do this arbitrage thanks to Euronext’s (or divergence). launch in late 2009 of CAC 40 dividend contracts, which were not tradable on other platforms.

Euronext has proved to be a reliable partner for our business. It has worked to offer better pricing in order The investment process is based on forecasts of the to provide us cheaper access to this kind of derivatives. dividends of single stocks for the next 4-5 years with the Moreover, Euronext recently launched a wide range timetable of the payments. of single stock dividend futures which helps us to We perform a fundamental analysis by stock and by implement various new arbitrages (stock vs index, stock sector. We use various criteria such as EPS, Debt/ vs stocks, etc.). Ebitda, level of the CDS, available cash, etc. In addition GABRIEL to this analysis, we collect the dividend policies of the Founded 2007 TEODORESCU, Fund Manager and Country France companies which use three types of approach: pay-out Managing Partner, ratio, yield or amount per share. Investment team 8 including 4 senior Laffitte CM professionals (traders since We finally challenge this guidance to confirm whether 1990) or not the dividend is sustainable, considering the Focus Absolute return UCITS fund fundamentals of the companies, the trend and the Range of expertise Dividends, Equities, Derivatives, environment of the company’s sector. As an example, Merger arbitrage the level of debt in the telecom sector in the past years has resulted in an impact on the dividends: almost all the companies cut their dividend (Telefonica, Orange, Deutsche Telekom, and so on). 10 UPDATE | Dividend Future Options

niche market with few players, it may be less efficient, and offers attractive risk adjusted returns. Dividend Futures may be considered an alternative to fixed income investments, with low correlation to other asset classes and a potential hedge to inflation. Near-term Turning Stocks into Bonds Using dividends have exhibited superior risk-adjusted returns: McKinley Capital has tested the Euro Stoxx 50 market Dividend Futures: A Simple Approach and the empirical result is that stripped dividends have MARTINO M. with McKinley Capital greatly outperformed equities since this unique asset BOFFA, class was born in 2001 (see Table 1). CFA, Director Dividends can be stripped from the underlying equity of Investments, dividends and traded through Dividend Futures. McKinley Capital Dividends are similar to zero coupon bonds in that the Management, LLC Table 1: Performance of Rolling 1-Year Direct Dividends dividend (coupon), stripped from the stock (bond), trades separately in the market. Dividend Futures may provide returns similar to equities, but with lower volatility (see JAN 2001 - MAR 2015 ROLLING 1YR EURO STOXX 50 Figure 1). DIRECT DIVIDENDS TOTAL RETURN INDEX

ANNUALIZED RETURN 10.1% 1.9% Figure 1: Direct Investments in Dividends ANNUALIZED STANDARD 10.6% 19.0% DEVIATION

SHARPE RATIO 0.77 0.09

STOCK PRICE TOTAL DIVIDEND EQUITY MARKET BETA 0.15 1.00 = + RETURN RETURN

MAX DRAWDOWN -24.0% -55.2%

STOCK TERMINAL Notes: Direct Dividends constructed with a constant 1-year maturity by = D1 + D1 + D3 + ... + PRICE VALUE weighting two front year contracts by time remaining and rebalancing monthly. Index dividend futures utilized post-creation in August 2008 and index dividend swaps prior. Returns include cash component invested in 1-month Euro LIBOR. Source: FactSet, Bloomberg, BNP Paribas, JPMorgan, Dividend Forecasting at McKinley Capital Management, Barclays Capital, Goldman Sachs, 4/18/2015. Analysis by McKinley Capital LLC (“McKinley Capital”) is performed through an Management, LLC, 4/18/2015. in-depth analysis of earnings risk, which represents the ability to pay and dividend policy risk, i.e., the company’s propensity to pay. The essential tools required in the When comparing equities to dividends, low correlation forecasting and investment process include: company is another important data point: while the average top management meetings, fundamental analysis of correlation across the largest dividend indices is 0.22 expected free cash flows and earnings, quantitative (see Table 2), equity market correlations are higher screenings, and portfolio construction. at 0.61 (see Table 3). The implication of our testing is that a global dividend portfolio may offer superior diversification benefits compared to a global equity Why invest in the Dividend Futures Market portfolio. McKinley Capital has invested in Dividend Futures since 2010 (see Figure 3), both through separately managed accounts and the McKinley Capital Dividend Growth Fund, an Irish domiciled UCITS fund, which seeks long-term capital growth for institutional clients. The Dividend Futures market is attractive because it is a UPDATE | Dividend Future Options 11

Table 2: Rolling 1-Year Direct Dividends Monthly Return Capital Dividend Growth Fund (see Figure 2) and other Correlation Matrix, June 2009-March 2015 McKinley Capital strategies set aside a certain amount of capital in an enhanced cash management program,

FTSE 100 S&P 500 HANG NIKKEI which may be useful to further increase exposure to SENG 225 dividends in periods of severe market dislocation. 0.29 0.41 0.02 0.21

FTSE 100 0.29 0.33 0.19 0.25

S&P 500 0.41 0.33 0.15 0.19 Figure 2: Portfolio Structure

HANG 0.02 0.19 0.15 0.21 SENG SINGLE STOCK DIVIDEND ENHANCED CASH NIKKEI 0.21 0.25 0.19 0.21 DERIVATIVES MANAGEMENT

225 FINAL PORTFOLIO AVERAGE 0.23 0.26 0.27 0.14 0.21 INDEX DIVIDEND COMPONENT CASH AND ENHANCED DIVIDEND STRATEGY CASH MANAGEMENT DERIVATIVES Dividend strips portfolio

Table 3: Underlying Equity Market Indices Monthly Return Correlation Matrix, June 2009-March 2015 QUANTITATIVE STRATEGIES ■ Absolute returns ■ Multi factor based

■ Long/Short equities strategies and futures ■ Risk/Market neutral

■ 350 to 500 stocks ■ Low correlation with FTSE 100 S&P 500 HANG NIKKEI ■ Index futures hedging Strips and traditional asset classes SENG 225 ■ Global Equities - high diversification ■ Highly liquid 0.81 0.74 0.58 0.52 ■ 20+ years of experience

FTSE 100 0.81 0.85 0.62 0.42 Apply Cash Enhancement component to add value for part of the unused cash (dividend swaps/futures require low margin). S&P 500 0.74 0.85 0.64 0.52

HANG 0.58 0.62 0.64 0.40 In conclusion, McKinley Capital is a keen investor in SENG Dividend futures and, on behalf of our clients, welcomes NIKKEI 0.52 0.42 0.52 0.40 the continued development of this unique market. 225

AVERAGE 0.66 0.68 0.69 0.56 0.47

Notes: Direct Dividends constructed with a constant 1-year maturity by weighting two front year contracts by time remaining and rebalancing monthly. Source: FactSet, Bloomberg, BNP Paribas, JPMorgan, Barclays Capital, Goldman Sachs, 4/22/2015. Analysis by McKinley Capital Management, LLC, 4/22/2015.

Dividend Futures: An Asymmetric Beta Risk

Dividend strips exhibit an asymmetric beta profile. In normal market conditions, beta tends to be modest. In periods of severe markets corrections, beta can increase very rapidly. In essence, investing in long dividend positions is similar to writing put options. Investors are getting paid an attractive dividend premium in exchange for the risk of the dividend going to zero. When the dividend risk premium rises after a market correction, fully-invested market participants may not have the additional capital available to take advantage of even higher expected returns. For this reason, the McKinley 12 UPDATE | Dividend Future Options

CONTRACT SPECIFICATIONS SINGLE STOCK DIVIDEND FUTURES CONTRACT SPECIFICATIONS

CONTRACT SIZE Dividend payments in relation to a contract size of 10,000 shares

UNIT OF TRADING 10,000

PRICING UNIT/QUOTATION EUR/USD/CHF/GBX per share

MINIMUM PRICE MOVEMENT EUR/USD/CHF 0.0001 (EUR/USD/CHF 1.00 per contract). GBX 0.01 (GBX 100.00 per contract) (TICK SIZE AND VALUE)

EXPIRY MONTHS 12, 24, 36, 48 and 60 months yearly (of the December cycle)

INTRODUCTION OF NEW EXPIRY MONTHS New expiry months are available for trading on the first business day after the expiry of a maturity

Large-in-Scale Facility (Block Trade)(minimum size: 10 lot) - Paris and Lisbon markets WHOLESALE SERVICES Large-in-Scale Facility (Prof Trade)(minimum size: 10 lot) - Amsterdam and Brussels markets

Central Order Book: 09:00 - 17:30 CET TRADING HOURS Large-in-Scale Facility (Block Trade): 09:00 - 18:30 CET Large-in-Scale Facility (Prof Trade): 07:00 - 18:30 CET

TRADING PLATFORM UTP

ALGORITHM Central order book applies a price-time trading algorithm with priority given to the first order at the best price

Trading ceases at 12:00 CET on the third Friday of the expiry month. In the event that the third Friday is not a business day, the Last LAST TRADING DAY Trading Day shall normally be the last business day preceding the third Friday

SETTLEMENT Cash settlement based on the EDSP

SETTLEMENT DAY First business day after the day on which the EDSP is published

The final settlement value as established by Euronext at 12:00 CET on the third Friday of the expiry month, determined to four decimal places. The final settlement value is equal to the cumulative value of ordinary dividends declared by the relevant company EXCHANGE DELIVERY SETTLEMENT PRICE (EDSP) without an adjustment for withholding taxes, tax credits or tax repayments. Declared ordinary dividends are taken into account if their ex-date falls on or between the start and end date of the one-year reference period of the relevant expiry. The reference period starts on the day following the third Friday in December and ends on the third Friday in December (the expiry date) one year later.

CLEARING ORGANISATION LCH.Clearnet SA

CAC 40® DIVIDEND INDEX FUTURE

EXCHANGE CONTRACT CODE XFC

CONTRACT SIZE Contract valued at € 10 per index point (e.g. value € 1,000 at 100.00)

UNIT OF TRADING 10

PRICING UNIT/ QUOTATION Index points (e.g. 100.0)

MINIMUM PRICE MOVEMENT 0.1 index point (€ 1 per contract) (TICK SIZE AND VALUE)

EXPIRY MONTHS 12, 24, 36, 48 and 60 months yearly (of the December cycle)

INTRODUCTION OF NEW DELIVERY MONTHS New delivery months are available for trading on the first business day after the expiry of a maturity

WHOLESALE SERVICES Large-in-Scale Facility (Block Trade)

Central Order Book: 09:00 to 18:30 CET (13:00 CET on the Last Trading Day) TRADING HOURS Large-in-Scale Facility (Block Trade): 09:00 to 18:30 CET (13:00 CET on the Last Trading Day)

TRADING PLATFORM UTP

ALGORITHM Central order book applies a price-time trading algorithm with priority given to the first order at the best price

Trading ceases at 13:00 CET on the third Friday of the delivery month. In the event that the third Friday is not a business day, the LAST TRADING DAY Last Trading Day shall normally be the last business day preceding the third Friday

SETTLEMENT Cash Settlement based on the EDSP

SETTLEMENT DAY First business day after the Last Trading Day

The Daily Settlement Price for the CAC 40 Dividend Index futures is calculated and published automatically by Euronext every day at DAILY SETTLEMENT PRICE 17:35 CET (Daily Settlement Time). Margin calls are made each day on the basis of the Daily settlement price.

The Exchange Delivery Settlement Price shall be the settlement value of CAC 40® Dividend Index as published by Euronext at 13:00 EXCHANGE DELIVERY SETTLEMENT PRICE (EDSP) CET on the third Friday of December, rounded to two decimal places. There is no physical delivery; expiration gives rise to cash payment. Settlement takes place on the first day after expiry date.

CLEARING ORGANISATION LCH.Clearnet SA

EXCHANGE CODE JF

DISCLAIMER This publication is for information purposes only and is not a recommendation to engage in investment activities. This publication is provided “as is” without representation or warranty of any kind. Whilst all reasonable care has been taken to ensure the accuracy of the content, Euronext does not guarantee its accuracy or completeness. Euronext will not be held liable for any loss or damages of any nature ensuing from using, trusting or acting on information provided. No information set out or referred to in this publication shall form the basis of any contract. The creation of rights and obligations in respect of financial products that are traded on the exchanges operated by Euronext’s subsidiaries shall depend solely on the applicable rules of the market operator. Except as below described, all proprietary rights and interest in or connected with this publication shall vest in Euronext. No part of this publication may be redistributed or reproduced in any form without the prior written permission of Euronext. Portions of this publication contain materials or information copyrighted, trademarked or otherwise owned by a third party. No permission is given to use these third party materials. All data correct as of 30 October 2015. Euronext disclaims any duty to update this information. Euronext refers to Euronext N.V. and its affiliates. Information regarding trademarks and intellectual property rights of Euronext is located at www.euronext.com/terms-use. © 2015, Euronext N.V. - All rights reserved. 00467 | 11/15