EURO STOXX 50 ESG · Weight constituents by free-float market cap subject to 10% weight cap Weight constituents by free-float market cap subject to 10% weight cap Free Float Market

| Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.

EURO STOXX 50® ESGFebruary 2021

1 | 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

Analytics

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Index


EURO STOXX 50®

Liquid, Diversified Access to the Eurozone

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


EURO STOXX 50 ESGESG Version of Europe’s Most Traded Benchmark

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

Features Regional Coverage

1) Source: Equity index derivatives: Introduction of futures and options on the EURO STOXX® 50 ESG and DAX® 50 ESG indexes

https://www.eurex.com/ex-en/find/circulars/Equity-index-derivatives-Introduction-of-futures-and-options-on-the-EURO-STOXX-50-ESG-and-DAX-50-ESG-indexes-2281510


Index Characteristics

EURO STOXX 50 EURO STOXX 50 ESG

EURO STOXX

502,448 (EUR billions)*

Weight constituents by free-float market cap subject to 10% weight cap

Weight constituents by free-float market cap subject to 10% weight cap

Free Float Market Cap Free Float Market Cap

502,593 (EUR billions)*

EURO STOXX

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

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


Exclusion

Weighting

Inclusion

Tobacco

Cluster weapons, anti-personal mines, biological and chemical weapons, depleted uranium, nuclear

weapons and white phosphorus

Thermal Coal>25% revenue threshold from thermal coal mining and

exploration>25% coal power generating capacity

All excluded companies are replaced by companieswith a higher ESG score in the same ICB Supersector.

Ranked based on market capitalizationControversial Weapons

Global Standards Screening Non-compliance with: UN Global Compact Principles

(UNGC), UN Guiding Principles on Business and Human Rights (UNGPs), OECD Guidelines for

Multinational Enterprises and related conventions

Tobacco producers (0% revenue threshold)

ESG Integration Replacement Criteria

Bottom 10% based on ESG scoreESG Scores


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EURO STOXX 50 index

ESG integration replacement criteria: 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 Tobacco producers (0% revenue threshold) 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

Free-float market cap

Fast

Exi

tEURO STOXX 50 ESGIndex Methodology

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xit

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


Fast-exit Rule Protects Against ESG-IncidentsESG Corporate Action

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

Fast-exit Rule


EURO STOXX 50 ESGOverview per ESG Criteria1)2)

Universe

Exclusion Criteria

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

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

0

1

2

3

4

5

6

ControversialWeapons

Tobacco Global StandardScreening

Thermal Coal ESG Score0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

ControversialWeapons

Tobacco Global StandardScreening

Thermal Coal ESG Score


Deletions and Additions1)

Constituent Name Supersector Weight in EURO STOXX 50 %

Weight in EURO STOXX 50 ESG % Reason for Exclusion2)

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


EURO STOXX 50 ESGRisk and Return Characteristics1)3)

EURO STOXX 50 ESG EURO STOXX 50

Perf. overall (annualized) 8.03% 7.56%

Perf. (1Y) 0.71% -2.61%

Perf. (3Y) (annualized) 4.71% 3.83%

Perf. (5Y) (annualized) 5.45% 5.27%

Vol. overall (annualized) 19.54% 19.91%

Volatility (1Y) (annualized) 30.92% 32.36%



Sharpe ratio2) (Overall) 0.50 0.48

Sharpe ratio2) (5Y) 0.39 0.38

Tracking error (Overall) 1.26% 0.00%

Tracking error (5Y) 1.43% 0.00%

Dividend yield (Overall) 5.06% 4.94%

Maximum drawdown 35.83% 38.23%

Constituents 50 50

50

70

90

110

130

150

170

190

210

Mar-12 Jun-13 Sep-14 Dec-15 Mar-17 Jun-18 Sep-19 Dec-20

EURO STOXX 50 ESG (EUR GR) EURO STOXX 50 (EUR GR)

1) Source: Qontigo, daily data. Relative figures calculated against Benchmark2) EONIA used as a proxy for riskless returns3) Qontigo Data Mar 19, 2012 – Dec 31, 2020


EURO STOXX 50 ESGMaintains Diversification Across Countries and Industries

Country Allocation1) Industry Allocation1)

EURO STOXX 50EURO STOXX 50 ESG1) Source: Qontigo. Data as of Dec 31, 2020.

0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20%

Consumer Discretionary

Technology

Industrials

Financials

Basic Materials

Health Care

Utilities

Energy

Consumer Staples

Telecommunications

Real Estate

0% 5% 10% 15% 20% 25% 30% 35% 40%

France

Germany

Netherlands

Spain

Italy

Finland

Ireland

Belgium


Top 10 Securities


1) Source: Qontigo. Data as of Dec 31, 2020.

Constituent Name Weight (%)ASML HLDG 6.94

LVMH MOET HENNESSY 5.56

SAP 4.81

LINDE 4.58

TOTAL 3.84

SANOFI 3.68

SIEMENS 3.61

ALLIANZ 3.39

L'OREAL 3.11

IBERDROLA 2.78

Total 42.26

Constituent Name Weight (%)ASML HLDG 6.56

LVMH MOET HENNESSY 5.25

SAP 4.54

LINDE 4.33

TOTAL 3.63

SANOFI 3.48

SIEMENS 3.41

ALLIANZ 3.21

L'OREAL 2.94

IBERDROLA 2.63

Total 39.98


ESG Score Comparison1)

1) Source: Qontigo

EURO STOXX 50 ESGEURO STOXX 50 ESG Profile Compared to EURO STOXX 50

60

62

64

66

68

70

72

74

76

78

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 ESGCumulative Impact of ESG Integration on Total Returns1)

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

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%

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


Liquidity Comparison1)

1) Source: Qontigo; based on EUR 1bn portfolio and 50% of ADTV

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

Num

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trad

e

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

EURO STOXX 50 ESGEURO STOXX 50 ESG Liquidity Profile Compared to EURO STOXX 50

0

2

4

6

8

10

12

14

16

18

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

Cap

acity

(EU

R b

illion

s)

EURO STOXX 50 ESG (Capacity) EURO STOXX 50 (Capacity)


EURO STOXX 50 ESG

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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Disclaimer

About QontigoQontigo is a financial intelligence innovator and a leader in the modernization of investment management, from risk to return. The combination of the company’s world-class indices and best-of-breed analytics, with its technological expertise and customer-driven innovation enables its clients to achieve competitive advantage in a rapidly changing marketplace. Qontigo’s global client base includes the world’s largest financial products issuers, capital owners and asset managers. Created in 2020 through the combination of STOXX, DAX and Axioma, Qontigo is part of Deutsche Börse Group, headquartered in Eschborn with key locations in New York, Zug and London.

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EURO STOXX 50 ESG · Weight constituents by free-float market cap subject to 10% weight cap Weight constituents by free-float market cap subject to 10% weight cap Free Float Market