Derivatives on RDX USD Index

Derivatives on RDX USD Index Russian DR Equity Index Derivatives February 2016

Agenda Introduction RDX USD Index Contracts specifications Market-Making Fees and pricing Further information Appendix 2

Introduction RDX USD Index derivatives Russia continues to be one of the most attractive emerging markets. Relative low valuations. Growing derivatives market. RDX USD Index is well-established in the financial market and comprise the most liquid Russian ADRs/GDRs traded at the London Stock Exchange. The RDX USD Index is the most traded Russian DR index in the interbank market. High number of structured products based on RDX USD Index. 3

Mar-12 Jul-12 Nov-12 Mar-13 Jul-13 Nov-13 Mar-14 Jul-14 Nov-14 Mar-15 Jul-15 Nov-15 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Open Interest Tausende Traded Volume Tausende Derivatives on RDX USD Index February 2015 Introduction - Russian Depository Index RDX USD Index Futures & Options volume and open interest development Traded Volume Tausende 160 140 120 100 80 60 40 20 - FRDX - RDX USD Index 120 100 80 60 40 20-200 150 100 50 - ORDX - RDX USD Index 450 400 350 300 250 200 150 100 50 - Open Interest Thousands Orderbook Off-book Open Interest Orderbook Off-book Open Interest Volume and open interest have grown rapidly since launch date. In 2015, we have witnessed growth in client demand for RDX USD Index Futures and Options. In this period, open interest in our RDX USD Index Options grew 70%. The open interest for FRDX at the end of Jan 2016 registered 70,765 contracts and for ORDX 263,636 contracts. Participants trade off-book Flexible Contracts regularly. The total traded contract volume since launch is 2.6 million contracts for FRDX and 3.2 million contracts for ORDX at the end of Jan 2016. A Market-Making scheme supports the success of RDX USD Index Futures and Options and provides additional liquidity. 4

Traded Volume Tausende Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Traded Volume Tausende Derivatives on RDX USD Index February 2015 Trading statistics 200 150 FRDX - Trade Execution Account Structure FRDX 100 50-20% 50% 30% Regular Trade Flexible Product Trade Basis Trade Block Trade Vola Trade Agent Market Maker Principal 200 150 100 ORDX - Trade Execution Account Structure ORDX 4% 50 24% - 72% Flexible Product Trade Block Trade Regular Trade Agent Market Maker Principal Source: Eurex Exchange 5

Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Traded value in mn USD %-share LSE IOB Derivatives on RDX USD Index February 2015 Introduction Comparison of Russian underlyings at LSE (IOB) and MICEX-RTS 70,000 Turnover of Russian local shares and depository receipts 70.0% 60,000 60.0% 50,000 50.0% 40,000 40.0% 30,000 30.0% 20,000 20.0% 10,000 10.0% 0 0.0% LSE Turnover USD Moscow Exchange Turnover USD Market Share LSE IOB Source: Bloomberg 6

Agenda Introduction RDX USD Index Contracts specifications Market-Making Fees and pricing Further information Appendix 7

RDX USD Index Methodology and composition RDX USD Index currently consists of 15 components Introduction in 1997 Index components are ADR/GDR only All components are listed and traded on London Stock Exchange (IOB) Maximum weight is 20 percent (quarterly rebalancing) Price index Number of stocks is not fixed BBG code: RDXUSD ISIN: AT0000634076 More info: http://www.indices.cc/indices/details/rdu/facts/ Source: Vienna Stock Exchange, as of 11 January 2012 8

RDX USD Index Development 3500 3000 2500 2000 1500 1000 500 0 Jan-2007 Jan-2008 Jan-2009 Jan-2010 Jan-2011 Jan-2012 Jan-2013 Jan-2014 Jan-2015 Jan-2016 Source: Bloomberg 9

Agenda Introduction RDX USD Index Contracts specifications Market-Making Fees and pricing Further information Appendix 10

Contract specifications RDX USD Index Derivatives RDX USD Index Futures (FRDX) RDX USD Index Options (ORDX) Contract value Contract terms Up to 36 months (4 quarterly and 4 semi-annual maturities ) 10 USD per index point Up to 60 months (12 expirations) Minimum price change 0.50 index points (USD 5) 0.10 index points (USD 1) Settlement Final settlement price Last Trading Day Cash settlement Based on the closing prices (auction) of the index components on the last trading day at London Stock Exchange (IOB) Third Friday of the expiration month at 16:30 CET Continuous trading 08:00 22:00 CET 09:15 16:30 CET Eurex OTC Trade Entry 08:00 22:00 CET 09:15 19:00 CET Eurex OTC Flexible Contracts Eurex OTC Minimum block trade size Available 1 contract 100 contracts Vendor codes Reuters: <0#FRDX:> Bloomberg: <RXDmy Index> Reuters: <0#ORDX*.EX> Bloomberg: <RDmyC Y Index> 11

Agenda Introduction RDX USD Index Contracts specifications Market-Making Fees and pricing Further information Appendix 12

Market Makers 4 Market Makers for FRDX and 1 for ORDX are active and provide liquidity. Market Makers in RDX USD futures Exchange Participant Contact Tel DRW Investments UK Ltd Chad Miller +44 20 7031 1369 Raiffeisen Centrobank AG Marcus Randl +43 1 51520 439 Barak Ofer Attal +972 747100657 Susquehanna Daniel Needham +353 1 802 8383 Market Makers in RDX USD options Exchange Participant Contact Tel VTB Capital plc Nicolas Ewald +44 20 3334 8017 13

Agenda Introduction RDX USD Index Contracts specifications Market-Making Fees and pricing Further information Appendix 14

Fees and pricing Fees and pricing (per contract clearing and trading combined) Market Maker rebates* (until 31 March 2016) Revenue Sharing Scheme (until 31 March 2016) RDX USD Index Futures (FRDX) Order book: USD 0.40 Eurex Trade Entry services: USD 0.60 Order book: 90% (USD 0.04) Eurex Trade Entry services: 90% (USD 0.06) The share in revenue is 30% of net revenues generated Distribution takes place monthly to a maximum of the three best market makers RDX USD Index Options (ORDX) Order book: USD 0.40 Eurex Trade Entry services: USD 0.40 > 1,000 contracts: USD 0.20 Order book: 90% (USD 0.04) Eurex Trade Entry services: 90% (USD 0.04) Regular rebates: Order book: 80% (USD 0.08) Eurex Trade Entry services: 60% (USD 0.16) > 1,000 contracts 60% (USD 0.08) The share in revenue is 30% of net revenues generated Distribution takes place monthly to a maximum of the three best market makers Eurex proprietary volume rebate scheme Up to 30% (refund not based on specific product pro rata) Up to 80% (refund not based on specific product pro rata) Depending on fulfilment of monthly obligations 15

Agenda Introduction RDX USD Index Contracts specifications Market-Making Fees and pricing Further information Appendix 16

Further information Circulars RDX USD Index https://www.eurexchange.com/blob/exchange-en/4060-116166/120266/2/data/cf0282012e.pdf.pdf https://www.eurexchange.com/blob/exchange-en/4060-62606/120262/2/data/cf0472012e.pdf.pdf Market Making: http://www.eurexchange.com/blob/exchange-en/3066-3100/121306/2/data/cf1722011e.pdf.pdf http://www.eurexchange.com/blob/exchange-en/3066-3100/121842/2/data/cf0612011e.pdf.pdf http://www.eurexchange.com/download/documents/circulars/cf2422010e.pdf http://www.eurexchange.com/exchange-en/trading/market-model/designated-market-making/ Trading Fees http://www.eurexchange.com/exchange-en/trading/trading-fees-prices/ https://www.eurexchange.com/blob/exchange-en/4060-116166/120266/2/data/cf0282012e.pdf.pdf Trading Calendar http://www.eurexchange.com/exchange-en/trading/trading-calendar/ OTC Parameters http://www.eurexchange.com/exchange-en/trading/eurex-otc-trade-entry/trade-entry-parameters/ 17

Further information: TES Facilities - Vola Trade A TES Vola Trade is a futures trade delta-hedging an existing options trade on the same underlying instrument. The options trade can be either an exchange trade or an OTC Block Trade. Either counterparty can enter an TES Vola trade provided a valid options transaction number is submitted to the Eurex system. Once the options trade is retrieved, the number of contracts to be devoted to the TES Vola Trade must be entered. In this case, the size of the futures trade is not subject to the minimum block trade size and depends solely on the delta of the options position. 18

Further information Contact us Product Development Sales UK Sales Continental Europe Tobias Ehinger Eurex Frankfurt AG Mergenthalerallee 61 65760 Eschborn Germany P: +49 69 2 11-1 23 13 F: +49 (0)69 2 11-61 23 13 tobias.ehinger@eurexchange.com Murat Baygeldi Deutsche Börse AG / Eurex UK Representative Office 11 Westferry Circus, Canary Wharf London, E14 4HE United Kingdom P: +44 (0)207 8 62-72 30 F: +44 (0)207 8 62-92 30 murat.baygeldi@eurexchange.com Markus-Alexander Flesch Eurex Zürich AG Loew enstrasse 8021 Zürich Sw itzerland P:+41 (0)43 430 7121 markus-alexander.flesch@eurexchange.com Sales Asia & Middle East Markes Georgi Eurex Frankfurt AG 68 Des Voeux Road Central Hong Kong P: +852 25 30-78 20 F: +852 25 30-78 21 markus.georgi@eurexchange.com 19

Agenda Introduction RDX USD Index Contracts specifications Market-Making Fees and pricing Further information Appendix 20

Appendix Index composition RDX USD Index Company ISIN Country Number of shares Representation factor Free float factor DR conversion factor Market capitalization Index share in % GAZPROM ADR US3682872078 Russia 23,673,512,900 0.98 0.50 1:2 20,387,037,472 19.58% LUKOIL ADR US69343P1057 Russia 850,563,255 1.00 0.50 1:1 14,310,726,765 13.74% MAGNIT GDR US55953Q2021 Russia 94,561,355 1.00 0.60 5:1 10,258,015,790 9.85% MEGAFON GDR US58517T2096 Russia 620,000,000 1.00 0.20 1:1 1,413,600,000 1.36% NORILSK NICKEL ADR US55315J1025 Russia 158,245,476 1.00 0.40 10:1 7,500,835,562 7.20% NOVATEK GDR US6698881090 Russia 3,036,306,000 1.00 0.30 1:10 7,683,372,333 7.38% NOVOLIPETSK STEEL GDR US67011E2046 Russia 5,993,227,240 1.00 0.20 1:10 1,101,555,167 1.06% ROSNEFT GDR US67812M2070 Russia 10,598,177,817 1.00 0.20 1:1 7,779,062,518 7.47% SBERBANK ADR US80585Y3080 Russia 21,586,948,000 1.00 0.50 1:4 14,894,994,120 14.30% SEVERSTAL GDR US8181503025 Russia 837,718,660 1.00 0.20 1:1 1,414,069,098 1.36% SISTEMA GDR US48122U2042 Russia 9,650,000,000 1.00 0.40 1:20 1,111,680,000 1.07% SURGUTNEFTEGAZ ADR US8688612048 Russia 35,725,994,705 1.00 0.20 1:10 3,558,309,073 3.42% TATNEFT GDR US8766292051 Russia 2,178,690,700 1.00 0.60 1:6 5,980,505,972 5.74% VTB BANK GDR US46630Q2021 Russia 12,960,541,337,33 8 1.00 0.40 1:2000 4,808,360,836 4.62% X5 RETAIL GROUP GDR US98387E2054 Russia 67,893,218 1.00 0.40 4:1 1,922,735,934 1.85% * Data as of 30 January 2016 21

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