STOCK FUTURES CASH SETTLED

Transcription

1 STOCK FUTURES CASH SETTLED GENERAL CONDITIONS 1. Introduction. Members. 2. The Underlying Security. 3. Technical Specifications. 4. Market Hours. 5. Contract Settlement. 6. Changes in the listing status of the underlying security. 7. Margin Calculation and Method of Pledging. 8. Daily Settlement of Profits and Losses (Variation Margin). 9. Adjustments to the Contracts (Corporate Actions). 10. Position Limits. Annex 1. Underlying Securities Annex 2. Settlement at Fair Value Annex 3. Ratio Method Mod. G.C. Cash Settement.Fut. 8 June /19

2 1. Introduction. Members These General Conditions describe the characteristics of the Futures Contract (Cash settlement style) on Stocks Listed on any Stock Exchange recognised by MEFF RV as required by the Regulations of the Market for Equity Related Financial Derivatives. These General Conditions modify the prior ones with the aim of (i) updating the Annex 1 relative to the Underlying asset (ii) modifying the item Futures Price Quotation in section 3 to mention that the minimun price fluctuation will be set according to the price quotation of the underlying asset or to the Market practice, (iii) modifying the number of decimals of the New Registered Price of the contracts in case of adjustment, replacing, as far as possible, the aditional settlement usually practiced to offset the rounding effect, for the registration of the aforementioned Price with more decimals and (iv) modifying section 6 related to incidences in the trading contitions of the underlying assets on the Expiration Date to establish that MEFF will rule by means of a Circular the necessary adaptations to the general rule when the underlying asset is not trading normally. The effective date of these General Conditions will be timely published. Until that date, the current General Conditions will be in force. These General Conditions form part of the regulations of the Market and develop those provisions where the Regulations refer to the General Conditions of each Contract. The terms used have the same sense as defined in the Regulations. As a consequence of the trading of the Futures Contract described in these General Conditions, the trading parties (MEFF, the Members and the Clients) acquire the rights and obligations set out in the Market Regulations. The Members with access to trading and settlement shall be all those which are Market Members, with the rights and obligations as determined by the class of Member to which they belong. The limits of the Members' and Clients' open positions, if any, shall be determined by Circular under the terms set out by the Regulations and these General Conditions. 2. The Underlying Security The Underlying Security of the Futures Contracts on Stocks shall always be shares already issued, fully subscribed and which trade on the Stock Exchange considered as Reference Stock Exchange for each Underlying Security. All the Futures Contracts with shares of the same limited company as Underlying Security form a Contract Class. The shares of the companies that are Underlying Securities of the different Contract Classes are listed in Annex 1 of these General Conditions. The first day of trading or admission to registration will be published by Circular. All the Classes of Futures Contracts on Stocks shall have the characteristics defined by the present General Conditions and, where the General Conditions thus specifically indicate, by the Circulars that MEFF RV may dictate to this end. Classes are only different in terms of their Underlying Security, which shall be different for each Contract Class, given that each one of them is for shares of a different company, except for any adjustment according to section 9 of these General Conditions. Mod. G.C. Cash Settement.Fut. 8 June /19

3 3. Technical Specifications of each Contract Class Underlying Security: Shares of one of the companies indicated in Annex 1. Contract Size: Expirations: 100 shares (except after adjustments pursuant to section 9 of these General Conditions). At least the four expiration months in the March-June- September-December cycle shall be traded at all times. Other expiration months not included in said cycle may also be introduced for trading. Date of Expiration: In general, the third Friday of the expiration month. MEFF will establish by Circular the Expiration Date for every Class of Contract taking into consideration the calendar of every Reference Stock Exchange. Settlement at Expiration: Cash settlement of the difference with respect to the Settlement Price at Expiration. Contract Settlement Price: Contract Settlement Date: The Official Closing Price of the stock at the Reference Stock Exchange on the Expiration Date. For Stock Futures whose Reference Stock Exchange commonly uses a different price for settlements, namely the Opening Price, the Settlement Price at Expiration shall be the commonly used price. MEFF will establish by Circular the defined Settlement Price at Expiration for each Contract Class. First Business Day following the Expiration Date. Last trading day: Futures Price Quotation: The Expiration Date, except for stock futures for which the Opening Price is used as Settlement Price at Expiration, in which case the last trading day will be the day before the Expiration Date. In the same currency as the Underlying Security is quoted in the Reference Stock Exchange with an adecuate minimum fluctuation according to its quotation conditions and/or the Market practice, that will be established by Circular. The minumun fluctuation shall be different in prearranged trades between Members Maximum Premium Fluctuation: None, although it may established by Circular. Daily Settlement Mod. G.C. Cash Settement.Fut. 8 June /19

4 of Profits and Losses (Variation Margin): Mark-to-Market settlement daily, in cash, for the difference with respect to the prior day's Daily Settlement Price (see Section 8). Commission Settlement: Margins: First Business Day following the date of the Transaction. See Margin calculation section. Margins shall be supplied before the start of the session of the Business Day following the date of the calculation. Daily Settlement Prices: Theoretical Prices calculated with the Official Closing Price of the stock on the Reference Stock Exchange. 4. Market Hours The trading hours shall be determined by MEFF through the corresponding Circular. 5. Contract Settlement Settlement at Expiration of Contracts shall be made by cash transfer of the difference with the Settlement Price at Expiration. The contract settlement price will be the Official Closing Price of the stock at the Reference Stock Exchange on the Expiration Date. For Stock Futures whose Reference Stock Exchange commonly uses a different price for settlements, namely the Opening Price, the Settlement Price at Expiration shall be the commonly used price, without detriment to special circumstances of the trading status of the underlying asset described in section Changes in the listing status of the Underlying security In the event, on the Expiration Date, the underlying security or the contract or both are suspended, or for any other reason the Underlying security did not trade on that session, the Expiration Date will be unchanged. Under these circumstances, the Settlement price will be that considered by MEFF as the one that meets better the conditions of replicability and market value of the underlying security, considering the use of the opening price when the stock resumes trading as the Expiration Settlement Price. The description of the more common incidences will be made by Circular. 7. Margin Calculation and Method of Posting Margin calculation shall be carried out by means of portfolio analysis, taking into account all the Contracts of the same portfolio for every MEFF account holder. The following may be posted as Margin: a) The underlying shares, under the conditions established by Circular. b) Cash or other assets which MEFF specifies by Circular. 8. Daily Settlement of Profits and Losses (Variation Margin) Mod. G.C. Cash Settement.Fut. 8 June /19

5 Every day, prior to the calculation of Margins, the calculation of the Daily Settlement of Profits and Losses corresponding to the Futures position for each expiration shall be carried out. The Daily Settlement shall correspond to the net sum of the following operations on each account: a) Long Futures positions: if the preceding Daily Settlement Price is lower than the new Daily Settlement Price, the sum corresponding to the difference shall be credited; if the preceding Daily Settlement Price is higher than the new Daily Settlement Price, the sum corresponding to the difference shall be charged. b) Short Futures positions: if the preceding Daily Settlement Price is lower than the new Daily Settlement Price, the sum corresponding to the difference shall be charged; if the preceding Daily Settlement Price is higher than the new Daily Settlement Price, the sum corresponding to the difference shall be credited. c) Futures bought and sold on the day of the calculation: the same operations as in a) and b) shall be carried out using the traded Futures Price instead of the preceding Daily Settlement Price. In case adjustments to the Registered Price of the Contracts must be effected (pursuant to section 9 of these General Conditions), the preceding Daily Settlement Price for the session after the adjustment will be the new Registered Price of the Contracts. 9. Adjustments to the Contracts (Corporate Actions) When, during the life of the Contracts, certain corporate actions are declared, the Registered Price of the Futures Contracts (for the purpose of the subsequent Daily Settlement of Profits and Losses), the number of Contracts of a position or the size of the Contract, or a combination of these factors, shall be adjusted in order to maintain the economic value of the Contracts as close as possible to the value before the corporate actions are effected. Likewise, due to mergers, take-over bids or any process of stock exchange delisting, other specifications of the Contract will be adjusted in the way described in these General Conditions. Adjustments shall be effective as from the day on which the corporate action giving rise to the adjustment takes effect ( the adjustment date ), therefore they will be made after the close and Daily Settlement of Profits and Losses of the session immediately prior to the adjustment date. The Registered Price of the Contracts will be that resulting after the adjustments and will be applied to all positions in the relevant Class of Contract; therefore the positions will become registered at said Price once the Daily Settlement of Profits and Losses corresponding to the session prior to the adjustment date has been done. Mod. G.C. Cash Settement.Fut. 8 June /19

6 In the following subsections there is a description of the adjustments for the following events: - share capital increases (shares issues) and share repurchase programs - share capital or reserves reductions through cash payment to shareholders - split of shares - consolidation of shares - extraordinary dividends - mergers - take-over bids - others not explicitly mentioned that MEFF might submit to the Commission for Supervision and Surveillance Capital increase by bonus share issue with same dividend rights Adjustments: a) To the Registered Price of the Contracts: RPC = (DSP + D) x shares before / shares after - D RPC: New Registered Price of the Contracts DSP: Daily Settlement Price of the session prior to the adjustment date D: Dividend component, if any, in the calculation of the DSP b) To the size of the Contract: NSAA = NSBA x shares after / shares before NSAA: Number of shares of a Contract after the adjustment NSBA: Number of shares of a Contract before the adjustment Mod. G.C. Cash Settement.Fut. 8 June /19

7 9.2. Fully paid scrip issue with different dividend terms, or partially paid scrip issue, or capital increase issued at a premium, in which there is subscription right or Share Repurchase Program that creates a right with positive value for the shareholders. Adjustments: a) To the Registered Price of the Contracts: RPC = (DSP+D) x [1-(TVR/CP)]-D RPC: New Registered Price of the Contracts DSP: Daily Settlement Price of the session prior to the adjustment date TVR: Theoretical Value of the (Subscription) Rights CP: Closing Price of Underlying Asset the day prior to the adjustment D: Dividend component, if any, in the calculation of the DSP b) To the Contract size: NSAA = NSBA / [1 (TVR / CP)] NSAA: NSBA: TVR: CP: Number of shares of a Contract after the adjustment Number of shares of a Contract before the adjustment Theoretical Value of the Subscription Rights Closing Price of Underlying Asset the day prior to the adjustment 9.3. Reduction of capital or reserves by cash payment to shareholders Adjustment for this reason will take place only when the event cannot be considered as another way to pay an ordinary dividend. In case of adjustment, the Registered Price of the Contracts and the Contract size will be adjusted as follows: Mod. G.C. Cash Settement.Fut. 8 June /19

8 Adjustments: a) To the Registered Price of the Contracts: RPC = (DSP +D) x [1 - (AP / CP)] - D RPC: New Registered Price of the Contracts DSP: Daily Settlement Price of the session prior to the adjustment date AP: Gross amount to be paid per share CP: Closing price of the Underlying Asset the day prior to the adjustment date D: Dividend component, if existing, at the calculation of DSP b) To the Contract size: NSAA = NSBA x [CP / (CP AP)] or NSAA = NSBA / [1 (AP / CP)] : NSAA: Number of shares of a Contract after the adjustment NSBA: Number of shares of a Contract before the adjustment CP: Closing price of the Underlying Asset the day prior to the adjustment date AP: Gross amount to be paid per share 9.4. Split of shares Adjustments: a) To the Registered Price of the Contracts: RPC: DSP x shares before / shares after RPC: New Registered Price of the Contracts DSP: Daily Settlement Price of the session prior to the adjustment date b) To the number of Contracts registered: it is multiplied by the factor "shares after / shares before" 9.5. Consolidation of shares Adjustments: a) To the Registered Price of the Contracts: Mod. G.C. Cash Settement.Fut. 8 June /19

9 RPC = DSP x shares before / shares after RPC: New Registered Price of the Contracts DSP: Daily Settlement Price of the session prior to the adjustment date b) To the size of the Contract: NSAA = NSBA x shares after / shares before NSAA: Number of shares of a Contract after the adjustment NSBA: Number of shares of a Contract before the adjustment 9.6. Dividends Ordinary dividends or similar retributions to shareholders will not be adjusted. The following retributions will be considered as dividends: - the first of a series of payments with a periodical and recurrent character - the change of a periodical and recurrent payment in the form of dividend for another payment named differently but with the same character. - recurrent and periodical payments to shareholders from equity accounts All special dividends and retributions to shareholders not considered as ordinary dividends will be adjusted for the amount of the exceptional and not periodical retribution In those cases where dividend adjustment is neccessary, the Registered Price of the Contracts and the contract size will be adjusted as described in section On asset distributions with likely difficult evaluation at the moment of the adjustment or when there are potential difficulties to trade the assets to be distributed, it will be possible not to adjust, in which case, the no adjustment shall be rapidly announced just after the issuing company announces its intention to make such a distribution In cases where an adjustment for an asset distribution is required, but the asset valuation cannot be known before the adjustment date, futures trading can be temporarily suspended in order to facilitate the adjustment process on the fairest conditions for futures open position holders. Mod. G.C. Cash Settement.Fut. 8 June /19

10 9.7 Mergers When the shares of the surviving company are listed shares, the original underlying shares will be replaced by the shares offered. For this purpose, listed shares are those on which there are, or there can be, listed contracts on MEFF before the merger takes effect. Adjustments: a) To the Registered Price of the Contracts: RPC = DSP x X/Y RPC: New Registered Price of the Contracts DSP: Daily Settlement Price of the session prior to the adjustment date X, Y: Y is the number of shares of the surviving company offered for every X shares of the original underlying company b) To the size of the Contract NSAA = NSBA x Y/X NSAA: Number of shares of a Contract after the adjustment NSBA: Number of shares of a Contract before the adjustment X, Y: Y is the number of shares of the surviving company offered for every X shares 9.8 Take-over Bids Analysis prior to the adjustment decision The mere launch of a take-over bid does not warrant an automatic adjustment procedure. Rather, the application of any adjustment will need that the Commission for Supervision and Surveillance (hereinafter CSS ) considers that the protection of the market participants and/or the protection of MEFF RV as the central counterparty clearing house require to make the adjustment. The CSS will determine, once the Bid Prospectus is published, what result will be needed to cause an adjustment to the contracts. The CSS s decisions will be published as soon as possible. Mod. G.C. Cash Settement.Fut. 8 June /19

11 The analysis will be made based on the following factors, among others: a) The various scenarios of capitalisation and free float of the target company after the Bid, compared to other companies in the IBEX 35 index. b) The number of shares freely floating in relation with the open interest of MEFF relevant contracts and an estimate of relevant OTC positions, under various scenarios. c) The intention of the bidder about excluding the target company from Stock Exchange listing. In the event that, once the CSS s decision is published, there are new relevant developments (for instance, a competing Bid) that, in the CSS s opinion, modify the circumstances, the CSS may revise its decision Adjustment Methods In case, once the Bid result is public, the result is such that the Contracts adjustment is required, according to the criteria determined and made public by the CSS, one of the following methods will be applied, depending on the type of Bid: Cash settlement at fair value The Contracts will be early settled at fair value, according to the valuation criteria established in Annex 2, which can be modified in line with generally accepted valuation criteria Ratio Method The Contracts original underlying shares will be substituted by the shares offered, according to the conditions of the Bid, adjusting the specifications of the Contracts using the Ratio as established in Annex Types of Take-Over Bids To this effect, listed shares are those on which there are, or there can be, listed contracts on MEFF before the end of the Bid process. Any other type of shares will not be considered as listed shares but as other assets or rights. Mod. G.C. Cash Settement.Fut. 8 June /19

12 Take-Over Bids in Cash When the Bid is entirely in cash or other assets or rights, and an adjustment is deemed necessary, the adjustment will mean the early expiration of the Contracts and the corresponding cash settlement at fair value (Cash settlement at fair value method) Take-Over Bids in Equity When the Bid is entirely in listed shares, the Ratio Method will be used Take-Over Bids in a mixture of Cash and Equity When the Bid is in a combination of listed shares and cash, or other assets or rights, and the listed shares component is equal or greater than 1/3 of the total value of the Bid, the Contracts will be adjusted applying the Ratio Method. However, if the cash and/or other assets or rights component is more than 2/3 of the total value of the Bid, the Bid will be treated as a Bid in cash. 9.9 Other aspects of the adjustments Expirations adjusted Adjustments to the Registered Price shall be applied to all Futures expirations with open interest. Adjustments to the size shall be applied to all existing maturities up to the furthest with open interest in Options or Futures Contracts, preserving only one size per maturity and underlying for all Options and Futures Contracts. If, after the adjustment, new Contracts with an expiration date prior to the last affected Expiration are open, those new Contracts shall be opened with specifications similar to the adjusted expirations. Expirations with an expiration date after the last affected Expiration that are opened after the "adjustment date" shall have the standard Contract specifications as established in section 3 of these General Conditions Rounding With the aim of reducing the economic effect of the roundings, MEFF will calculate the New Registered Price of the Contracts with such a number of decimals to make the rounding effect negligible or, alternatively, MEFF will estipulate aditional settlements in cash. The number of shares per Contract shall be rounded off to the nearest whole number. Intermediate algorithms to calculate the new number of shares or the New Registered Price of the contracts will be made with the maximum decimal precision possible, though the final results of the New Registered Price of the Contracts or the number of shares are rounded as mentioned above. Mod. G.C. Cash Settement.Fut. 8 June /19

13 9.10. Unforeseen cases All cases where an adjustment may be convenient and which do not clearly correspond to the provisions of the above sections, shall be submitted by MEFF to the Commission for Supervision and Surveillance which shall determine the adjustment to be made, if any. The composition and functioning of the Commission for Supervision and Surveillance are regulated in the Market Regulations. The Commission for Supervision and Surveillance must be guided, in the resolution of the cases coming under this heading, by the principles of investor protection, equal treatment for long and short positions, consistency in the application of criteria, efficiency and co-ordination with the organisations governing the settlement of the Underlying Security. 10. Position Limits MEFF may, by Circular, restrict the volume of open positions that a Member or Client may hold in a particular Contract, with the aim of avoiding the excessive concentration of risk or a possible position of dominance in the market. In any event, any restrictions imposed must respect the limits established in the Regulations. These limits may be based on the volume of shares of the underlying security issued, on the volume of shares freely trading, that is, which do not form part of controlling interests, on the average trading volume on the SIBE and on other criteria considered pertinent. For the purposes of calculating whether a Member or Client exceeds the established limit, options positions on the same underlying, if any, shall also be considered. The above-mentioned Circular, when issued, shall also specify the procedures by which a Member or Client should return to a position within the limits established in the event that it should temporarily exceed them. Mod. G.C. Cash Settement.Fut. 8 June /19

14 ANNEX 1 CONTRACT CLASS NAME OF THE COMPANY REFERENCE STOCK EXCHANGE A.P. MOLLER-MAERSK B A.P. Moller-Maersk A/S COPENHAGEN STOCK EXCHANGE ABB ABB Ltd SWISS EXCHANGE ABENGOA Abengoa, S.A. BOLSAS GRUPO BME ABERTIS Abertis Infraestructuras, S.A. BOLSAS GRUPO BME ACCIONA Acciona, S.A. BOLSAS GRUPO BME ACCOR Accor, S.A. EURONEXT PARIS ACERINOX Acerinox, S.A. BOLSAS GRUPO BME ACTELION Actelion AG SWISS EXCHANGE ACS Actividades de Construcción y Servicios, S.A. BOLSAS GRUPO BME ADIDAS Adidas AG DEUTSCHE BÖRSE AEGON Aegon NV EURONEXT AMSTERDAM AIR LIQUIDE Air Liquide, S.A. EURONEXT PARIS AKZO NOBEL Akzo Novel NV EURONEXT AMSTERDAM ALCATEL Alcatel, S.A. EURONEXT PARIS ALLIANZ Allianz AG DEUTSCHE BÖRSE ALSTOM Alstom, S.A. EURONEXT PARIS AMPER Amper, S.A. BOLSAS GRUPO BME ANGLO AMERICAN Anglo American PLC LSE ANHEUSER-BUSCH INBEV Anheuser-Busch InBev NV EURONEXT BRUSELAS ANTENA 3TV Antena 3 de Televisión, S.A. BOLSAS GRUPO BME ARCELORMITTAL Arcelormittal, S.A BOLSAS GRUPO BME ASML HLDG ASML Holding NV EURONEXT AMSTERDAM ASSICURAZIONI GENERALI Assicurazioni Generali SpA BORSA ITALIANA ASTRAZENECA AstraZeneca PLC LSE ATLAS COPCO A Atlas Copco AB STOCKHOLM STOCK EXCHANGE AVANZIT Avanzit, S.A. BOLSAS GRUPO BME AVIVA Aviva PLC LSE AXA AXA S.A. EURONEXT PARIS BAE SYSTEMS BAE Systems PLC LSE BCA MONTE DEI PASCHI DI SIENA Banca Monte dei Parchi di Siena SpA BORSA ITALIANA BBVA Banco Bilbao Vizcaya Argentaria, S.A. BOLSAS GRUPO BME B. VALENCIA Banco de Valencia, S.A. BOLSAS GRUPO BME BANESTO Banco Español de Crédito, S.A. BOLSAS GRUPO BME B. PASTOR Banco Pastor, S.A BOLSAS GRUPO BME B. POPULAR Banco Popular Español, S.A. BOLSAS GRUPO BME B. SABADELL Banco Sabadell, S.A. BOLSAS GRUPO BME SCH Banco Santander Central Hispano, S.A. BOLSAS GRUPO BME BANKINTER Bankinter, S.A. BOLSAS GRUPO BME BARCLAYS Barclays, PLC LSE BARON DE LEY Barón de Ley, S.A. BOLSAS GRUPO BME BASF BASF AG DEUTSCHE BÖRSE BAYER Bayer AG DEUTSCHE BÖRSE BMW Bayerische Motors Werke AG DEUTSCHE BÖRSE BELGACOM Belcacom NV EURONEXT BRUSELAS BG BG Group PLC LSE BHP BILLITON BHP Billiton PLC LSE BME Bolsas y Mercados. Españoles, Soc. Holding. Mdos. y Sist. Financieros,S.A. BOLSAS GRUPO BME BOUYGUES Bouygues Group EURONEXT PARIS BP BP PLC LSE BNP PARIBAS BNP Paribas EURONEXT PARIS BRITISH AMERICAN TOBACCO British American Tobacco PLC LSE BRITISH ENERGY British Energy PLC LSE BRITISH SKY BROADCASTING British Sky Broadcasting Group PLC LSE BT GROUP BT Group PLC LSE CABLE&WIRELESS Cable & Wireless PLC LSE CADBURY SCHWEPPES Cadbury Schweppes PLC LSE CAMPOFRIO Campofrío Alimentación, S.A. BOLSAS GRUPO BME CAP GEMINI Cap Gemini, S.A. EURONEXT PARIS CAPITA GRP Capita Group PLC LSE CARREFOUR Carrefour, S.A. EURONEXT PARIS PORTLAND Cementos Portland Valderrivas, S.A. BOLSAS GRUPO BME CENTRICA Céntrica PLC LSE CIE AUTOMOTIVE CIE Automotive, S.A. BOLSAS GRUPO BME SAINT GOBAIN Cie de Saint-Gobain EURONEXT PARIS ESSILOR INTERNATIONAL Cie Generale d Optique Essilor International, S.A. EURONEXT PARIS Mod. G.C. Cash Settement.Fut. 8 June /19

15 CONTRACT CLASS NAME OF THE COMPANY REFERENCE STOCK EXCHANGE CINTRA Cintra Conc. de Infraestructuras de Transporte, S.A. BOLSAS GRUPO BME BAVIERA Clínica Baviera, S.A. BOLSAS GRUPO BME CODERE Codere, S.A. BOLSAS GRUPO BME COMMERZBANK Commerzbank AG DEUTSCHE BÖRSE RICHEMONT Compagnie Financiére Richemont AG SWISS EXCHANGE MICHELIN Compagnie Generale des Etablissements Michelin EURONEXT PARIS COMPASS GROUP Compass Group PLC LSE CAF Construcciones Auxilares Ferroviarias, S.A. BOLSAS GRUPO BME CORPORACIÓN DERMOESTÉTICA Corporación Dermoestética, S.A. BOLSAS GRUPO BME ALBA Corporación Financiera Alba, S.A. BOLSAS GRUPO BME MAPFRE Corporación MAPFRE, S.A. BOLSAS GRUPO BME CREDIT AGRICOLE Crédit Agricole, S.A. EURONEXT PARIS CREDIT SUISSE Crédit Suisse Group SWISS EXCHANGE CRH CRH PLC IRISH STOCK EXCHANGE CRITERIA Criteria CaixaCorp, S.A. BOLSAS GRUPO BME DAIMLER DaimlerChrysler AG DEUTSCHE BÖRSE DANSKE BANK Danske Bank A/S COPENHAGEN STOCK EXCHANGE DEUTSCHE BANK Deutsche Bank AG DEUTSCHE BÖRSE DEUTSCHE BÖRSE Deutsche Börse AG DEUTSCHE BÖRSE DEUTSCHE POST Deutsche Post AG DEUTSCHE BÖRSE DEUTSCHE TELEKOM Deutsche Telekom AG DEUTSCHE BÖRSE DIAGEO Diageo PLC LSE DURO FELGUERA Duro Felguera, S.A. BOLSAS GRUPO BME E.ON E.ON AG DEUTSCHE BÖRSE EBRO PULEVA Ebro Puleva, S.A. BOLSAS GRUPO BME EDF Electricite de France EURONEXT PARIS ENAGAS Enagas, S.A. BOLSAS GRUPO BME ENDESA Endesa, S.A. BOLSAS GRUPO BME ENEL Enel SpA BORSA ITALIANA EDP Energias de Portugal, S.A. EURONEXT LISBOA ENI ENI SpA BORSA ITALIANA ERCROS Ercros, S.A. BOLSAS GRUPO BME EADS European Aeronautic Defence and Space Co NV EURONEXT PARIS EXPERIAN Experian PLC LSE FAES Faes Farma, S.A. BOLSAS GRUPO BME FERSA Fersa Energias Renovables, S.A. BOLSAS GRUPO BME FIAT Fiat SpA BORSA ITALIANA FINMECCANICA Finmeccanica SpA BORSA ITALIANA FLUIDRA Fluidra, S.A. BOLSAS GRUPO BME FCC Fomento de Construcciones y Contratas, S.A. BOLSAS GRUPO BME FORTUM Fortum Oyj HELSINKI STOCK EXCHANGE FRANCE TELECOM France Telecom, S.A. EURONEXT PARIS FRESENIUS MEDICAL CARE Fresenius Medical Care AG DEUTSCHE BÖRSE GAMESA Gamesa Corporación Tecnológica, S.A. BOLSAS GRUPO BME GDF SUEZ Gas de France Suez, S.A. EURONEXT PARIS GAS NATURAL Gas Natural, SDG, S.A. BOLSAS GRUPO BME GAM General de Alquiler de Maquinaria, S.A. BOLSAS GRUPO BME TELECINCO Gestevision Telecinco, S.A. BOLSAS GRUPO BME GIVAUDAN Givaudan AG SWISS EXCHANGE GLAXOSMITHKLINE GlaxoSmithKline PLC LSE OPAP Greek Organisation of Football Prognostics, S.A. ATHENS EXCHANGE GRIFOLS Grifols, S.A. BOLSAS GRUPO BME GRPBRUXELLESLAMBERT Groupe Bruxelles Lambert NV EURONEXT BRUSELAS GROUPE DANONE Groupe Danone, S.A. EURONEXT PARIS DELHAIZEGRP Groupe Delhaize NV EURONEXT BRUSELAS CATALANA Grupo Catalana Occidente, S.A. BOLSAS GRUPO BME ENCE Grupo Empresarial Ence, S.A. BOLSAS GRUPO BME FERROVIAL Grupo Ferrovial, S.A. BOLSAS GRUPO BME HBOS HBOS PLC LSE HEINEKEN Heineken NV EURONEXT AMSTERDAM HENKELPREF Henkel AG DEUTSCHE BÖRSE HENNES & MAURITZ Hennes & Mauritz AB STOCKHOLM STOCK EXCHANGE HERMES INTERNATIONAL Hermes, S.A. EURONEXT PARIS HOLCIM Holcim Ltd SWISS EXCHANGE HSBC HSBC Holdings PLC LSE RENOVABLES Iberdrola Renovables, S.A. BOLSAS GRUPO BME IBERDROLA Iberdrola, S.A. BOLSAS GRUPO BME IBERIA Iberia Líneas Aéreas de España, S.A. BOLSAS GRUPO BME IMPERIAL TOBACCO Imperial Tobacco Group PLC LSE INDITEX Industria de Diseño Textil, S.A. BOLSAS GRUPO BME INDRA Indra Sistemas, S.A. BOLSAS GRUPO BME Mod. G.C. Cash Settement.Fut. 8 June /19

16 CONTRACT CLASS NAME OF THE COMPANY REFERENCE STOCK EXCHANGE ING GROEP ING Groep NV EURONEXT AMSTERDAM INTERNATIONALPOWER International Power PLC LSE INVESTOR Investor AB STOCKHOLM STOCK EXCHANGE SAINSBURY J. Sainsbury PLC LSE JAZZ Jazz Telecom, PLC BOLSAS GRUPO BME JULIUS BAER Julius Baer Holding Ltd. SWISS EXCHANGE K+S K + S AG DEUTSCHE BÖRSE KBC GROUP KBC Group NV EURONEXT BRUSELAS KINGFISHER Kingfisher PLC LSE AHOLD Koninklijke Ahold NV EURONEXT AMSTERDAM PHILIPS ELECTRONICS Koninklijke Philips Electronics NV EURONEXT AMSTERDAM L OREAL L Oreal, S.A. EURONEXT PARIS LA SEDA La Seda de Barcelona, S.A. BOLSAS GRUPO BME ALMIRALL Laboratorios Almirall, S.A. BOLSAS GRUPO BME LABORAT. ROVI Laboratorios Rovi, S.A. BOLSAS GRUPO BME LAFARGE Lafarge, S.A. EURONEXT PARIS LAND SECURITIES Land Securities Group PLC LSE LEGAL GENERAL Legal & General Group PLC LSE LINDE Linde AG DEUTSCHE BÖRSE LLOYDS TSB Lloyds TSB Group PLC LSE LVMH LVMH Moet Hennessy Louis Vuitton, S.A. EURONEXT PARIS MAN MAN AG LSE MARKS & SPENCER Marks & Spencer Group PLC LSE MEDIOBANCA Mediobanca, SpA BORSA ITALIANA MERCK Merck AG DEUTSCHE BÖRSE MIQUEL Y COSTAS Miquel y Costas, S.A. BOLSAS GRUPO BME MUENCHENER RUECKVER Muenchener Rueckversicherungs AG DEUTSCHE BÖRSE NATIONAL BANK OF GREECE National Bank of Greece, S.A. ATHENS EXCHANGE NATIONAL GRID National Grid PLC LSE NATRA Natra, S.A. BOLSAS GRUPO BME NATRACEUTICAL Natraceutical, S.A. BOLSAS GRUPO BME NESTLE Nestle, S.A. SWISS EXCHANGE NH HOTELES NH Hoteles, S.A. BOLSAS GRUPO BME NOKIA Nokia OYJ HELSINKI STOCK EXCHANGE NORDEA BANK Nordea Bank AB STOCKHOLM STOCK EXCHANGE NOVARTIS Novartis AG SWISS EXCHANGE NOVO NORDISK Novo-Nordisk A/S COPENHAGEN STOCK EXCHANGE OBRASCÓN Obrascón Huarte Laín, S.A. BOLSAS GRUPO BME ORKLA Orkla ASA OSLO STOCK EXCHANGE EUROPAC Papeles y Cartones de Europa S.A BOLSAS GRUPO BME PEARSON Pearson PLC LSE PERNOD RICARD Pernod-Ricard, S.A. EURONEXT PARIS PESCANOVA Pescanova, S.A. BOLSAS GRUPO BME PORSCHEPREF Porsche AG DEUTSCHE BÖRSE PORTUGAL TELECOM Portugal Telecom SGPS, S.A. EURONEXT LISBOA PRIM Prim, S.A. BOLSAS GRUPO BME PRISA Promotora de Informaciones, S.A. BOLSAS GRUPO BME PROSEGUR Prosegur Compañía de Seguridad, S.A. BOLSAS GRUPO BME PRUDENTIAL Prudential PLC LSE REALIA Realia Business, S.A. BOLSAS GRUPO BME RECKITT BENCKISER Reckitt Benckiser PLC LSE RED ELÉCTRICA Red Eléctrica de España, S.A. BOLSAS GRUPO BME REED ELSEVIER NV Reed Elsevier NV EURONEXT AMSTERDAM REED ELSEVIER PLC Reed Elsevier PLC LSE RENAULT Renault, S.A. EURONEXT PARIS RENTA4 Renta 4 Servicios de Inversión, S.A. BOLSAS GRUPO BME RENTA CORPORACIÓN Renta Corporación, S.A. BOLSAS GRUPO BME REPSOL Repsol YPF, S.A. BOLSAS GRUPO BME REUTERS Reuters Group PLC LSE RIO TINTO Rio Tinto PLC LSE ROCHE Roche Holding AG LSE ROLLS ROYCE Rolls-Royce Group PLC LSE ROYAL BANK OF SCOTLAND Royal Bank of Scotland Group PLC EURONEXT AMSTERDAM ROYAL DUTCH SHELL Royal Dutch Shell PLC LSE KPN Royal KPN NV EURONEXT AMSTERDAM RWE RWE AG DEUTSCHE BÖRSE RYANAIR Ryanair Holdings PLC IRISH STOCK EXCHANGE SABMILLER SABMiller PLC LSE SACYR VALL. Sacyr Vallehermoso, S.A. BOLSAS GRUPO BME SAMPO Sampo Oyj HELSINKI STOCK EXCHANGE INTESASANPAOLO San Paolo IMI Intesa SpA BORSA ITALIANA SANDVIK Sandvik AB STOCKHOLM STOCK EXCHANGE Mod. G.C. Cash Settement.Fut. 8 June /19

17 CONTRACT CLASS NAME OF THE COMPANY REFERENCE STOCK EXCHANGE SANOFI-AVENTIS Sanofi-Aventis Groupe EURONEXT PARIS SAP SAP AG DEUTSCHE BÖRSE SCHNEIDER ELECTRIC Schneider Electric, S.A. EURONEXT PARIS SCOTTISH & SOUTHERN ENERGY Scottish & Southern Energy PLC LSE POINT SOLUTIONS Services Point Solutions, S.A. BOLSAS GRUPO BME SES SES, S.A. EURONEXT PARIS SHIRE Shire PLC LSE SIEMENS Siemens AG DEUTSCHE BÖRSE SMITH & NEPHEW Smith & Nephew PLC LSE SMITHS GROUP Smiths Group PLC LSE SOCIETE GENERALE Société Générale EURONEXT PARIS SODEXO Sodexo, S.A. EURONEXT PARIS MELIA Sol Meliá, S.A. BOLSAS GRUPO BME SOLARIA Solaria Energía y Medio Ambiente, S.A. BOLSAS GRUPO BME CUETARA Sos Cuétara, S.A. BOLSAS GRUPO BME STANDARD CHARTERED Standard Chartered PLC LSE STANDARDLIFE Standard Life PLC LSE STATOIL Statoil ASA OSLO STOCK EXCHANGE SVENSKA CELLULOSA Svenska Cellulosa AB STOCKHOLM STOCK EXCHANGE SVENSKA HANDELSBANKEN Svenska Handelsbanken AB STOCKHOLM STOCK EXCHANGE SWISS RE Swiss Reinsurance AG SWISS EXCHANGE SWISSCOM Swisscom AG SWISS EXCHANGE SINGENTA Syngenta AG SWISS EXCHANGE SYNTHES Synthes AG SWISS EXCHANGE TECNICAS REUNIDAS Técnicas Reunidas, S.A. BOLSAS GRUPO BME TECNOCOM Tecnocom - Telecomunicaciones y Energía, S.A. BOLSAS GRUPO BME TELECOM ITALIA Telecom Italia SpA BORSA ITALIANA ERICSSON Telefonaktiebolaget LM Ericsson STOCKHOLM STOCK EXCHANGE TELEFONICA Telefónica, S.A. BOLSAS GRUPO BME TELEKOMAUSTRIA Telekom Austria AG AUSTRIAN STOCK EXCHANGE TELIASONERA TeliaSonera AB STOCKHOLM STOCK EXCHANGE TENARIS Tenaris, S.A. BORSA ITALIANA TESCO Tesco PLC LSE TNT TNT NV EURONEXT AMSTERDAM TULLOWOIL Tollow Oil PLC LSE TOTAL TOTAL, S.A. EURONEXT PARIS TUBOS REUNIDOS Tubos Reunidos, S.A. BOLSAS GRUPO BME TUBACEX Tubacex, S.A. BOLSAS GRUPO BME THYSSENKRUPP TyssenKrupp AG DEUTSCHE BÖRSE UBIBCA UBI Banca Unione di Banche Italiane Scpa BORSA ITALIANA UBS UBS AG SWISS EXCHANGE UNIBAIL-RODAMCO Unibail-Rodamco, S.A. EURONEXT PARIS UNICREDITO ITALIANO UniCredito Italiano SpA BORSA ITALIANA UNILEVER NV Unilever NV EURONEXT AMSTERDAM UNILEVER PLC Unilever PLC LSE UNION FENOSA Unión Eléctrica Fenosa, S.A. BOLSAS GRUPO BME UNITED UTILITIES United Utilities PLC LSE UPM KYMMENE UPM-Kymmene Oyj HELSINKI STOCK EXCHANGE VALLOUREC Vallourec Group, S.A. EURONEXT PARIS VEOLIA ENVIRONNEMENT Veolia Environnement, S.A. EURONEXT PARIS VESTAS WIND SYSTEMS Vestas Wind Systems A/S COPENHAGEN STOCK EXCHANGE VIDRALA Vidrala, S.A. BOLSAS GRUPO BME VINCI Vinci, S.A. EURONEXT PARIS VISCOFAN Viscofan, S.A. BOLSAS GRUPO BME VIVENDI Vivendi, S.A. EURONEXT PARIS VOCENTO Vocento, S.A. BOLSAS GRUPO BME VODAFONE Vodafone Group PLC LSE VOLKSWAGEN Volkswagen AG DEUTSCHE BÖRSE VOLVO Volvo AB STOCKHOLM STOCK EXCHANGE MORRISON WM Morrison Supermarkets PLC LSE WOLTERS KLUWER Wolters Kluwer NV EURONEXT AMSTERDAM WPP WPP Group PLC LSE XSTRATA Xstrata PLC LSE ZARDOYA Zardoya Otis, S.A. BOLSAS GRUPO BME ZELTIA Zeltia, S.A. BOLSAS GRUPO BME ZURICH FINANCIAL SERVICES Zurich Financial Services AG SWISS EXCHANGE Mod. G.C. Cash Settement.Fut. 8 June /19

18 ANNEX 2 SETTLEMENT AT FAIR VALUE In the cases of early settlement at fair value, the valuation will be done as follows. For this purpose, the contracts valuation day will be the day following the date on which the result of the Bid is published, or as soon as practicable. The futures contracts will be settled at fair value, using the same valuation model that MEFF uses to calculate daily closing prices and the data to feed the model will be as follows: 1. Underlying price: for Bids entirely in cash, the price offered; for Bids in non- listed shares or other assets or rights, the valuation of the assets than can be reasonably made; for Bids combining listed shares and cash or other assets, the sum of the cash and rest of the assets valuation, including the listed shares. 2. Dividend amounts and dates: the amounts of future dividends will be the same as MEFF had been using to calculate closing prices before the Bid was announced, which, in principle, correspond to the latest known company policy on ordinary dividends, if necessary extended to the expiration date of every contract to be settled. If no policy is known, the amounts will be the same as those paid in the previous year. Similarly, the dates of payment will be those most recently announced by the company, repeated in every year up to the last expiration date. If no dates are announced, the same dates as in the previous year will be used. Any extraordinary payment announced by the company in relation with the Bid process will be treated as an adjustable payment. 3. Time to expiration: number of days from the date of publication of the Bid results to the expiration date for each contract. 4. Interest rates: EURIBOR corresponding to the term of every expiration. Mod. G.C. Cash Settement.Fut. 8 June /19

19 ANNEX 3 RATIO METHOD In the cases of Take-Over Bids in Equity or in a combination of Equity and other assets where the listed shares component is equal or greater than 1/3 of the total value of the Bid, the new Registered Price of the Contracts and the new size of the Contracts will be calculated as follows: a) Take-Over Bids in Equity (listed shares) Adjustment to the Registered Price of the Contracts: RPC = (DSP+D) x X/Y - D RPC: New Registered Price of the Contracts DSP: Daily Settlement Price of the session prior to the adjustment date X, Y: Y is the number of shares offered for every X shares of the target company D: Dividend component, if existing, in the calculation of DSP Adjustment to the size of the Contracts: the number of shares will be multiplied by the inverse ratio, Y/X b) Take-Over Bids in a mixture of Cash and Equity Adjustment to the Registered Price of the Contracts: RPC = (DSP+D) x [X / ((E/CP)+Y)] - D RPC: New Registered Price of the Contracts DSP: Daily Settlement Price of the session prior to the adjustment date X, Y: Y is the number of shares offered for every X shares of the target company D: Dividend component, if existing, in the calculation of DSP CP: Closing price of the shares offered the day prior to the adjustment date E: Cash, or value of the other assets or rights offered with the listed shares Adjustment to the size of the Contracts: the number of shares will be multiplied by the inverse ratio, ((E/CP)+Y)/X Any complementary cash payment or special dividend will be treated as an adjustable payment. Mod. G.C. Cash Settement.Fut. 8 June /19