© NYSE Euronext. All Rights Reserved. MSCI index-linked futures on NYSE Liffe U.S

© NYSE Euronext. All Rights Reserved.

MSCI index-linked futures on NYSE Liffe U.S.

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Agenda

1. NYSE Liffe U.S.

2. MSCI index-linked futures on NYSE Liffe U.S.

3. Contract specifications

4. Liquidity provision

5. Summary

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1. NYSE Liffe U.S.

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• Global Derivatives

• Equity Derivatives

• Interest Rates

• Commodities

• OTC Services

• Clearing

• Domestic US Futures Exchange

• Precious Metals futures and options• MSCI Index-linked equity futures

• Fixed Income: Eurodollar and Treasury futures and options cleared via New York Portfolio Clearing (NYPC)

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2. MSCI index-linked futures on NYSE Liffe U.S.

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NYSE Liffe U.S. and MSCI• In 2009 NYSE Liffe U.S. and MSCI signed a comprehensive license agreement laying the foundation to make

MSCI index-linked futures the cornerstone of the Exchange’s equity product offering

• NYSE Liffe U.S. launched futures on MSCI Emerging Markets, MSCI EAFE and MSCI USA in September 2009, followed by futures on MSCI USA Growth and MSCI USA Value in July 2010

• In July 2010 MSCI announced that NYSE Liffe U.S. will be the sole U.S. futures exchange for MSCI-based index futures by June 2011

• 6 core index families (covering over 40 index and sub indices):

• MSCI EAFE (Europe, Australasia, Far East) – listed Sept 2009• MSCI Emerging Markets (EM) – listed Sept 2009• MSCI U.S.A. – listed Sept 2009 and MSCI USA Growth and MSCI USA Value – listed July 2010

– 10 sector indices• MSCI BRIC• MSCI Europe

– Growth and Value style indices– 10 sector indices– Large Cap segment (MSCI Pan-Euro)

• MSCI EMU– Growth and Value style indices– 10 sector indices– Large Cap segment (MSCI Euro)

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MSCI Futures meet a broad market need

• MSCI equity indices are the standard for global asset managers

• $3 trillion is benchmarked against MSCI indices

• Over 90% of US asset managers’ international portfolios are benchmarked against MSCI indices

• Approximately 25% of US-listed ETF assets are benchmarked to MSCI indices

• ETFs on the MSCI EAFE, EM and USA indices are among the most actively traded ETFs in the world and have over $100bn AUM

ETF Rank 1 AUM Jun10 share turnover

iShares MSCI EM 3 $34bn $72bn

iShares MSCI EAFE 4 $30bn $30bn

Vanguard MSCI EM 6 $24bn $14bn

Vanguard MSCI Total Market (USA) 10 $13bn $3bn

1 Rank out of 1,008 US listed ETFs Data as of June 2010

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MSCI Futures meet a broad market need

• Combination of Index futures on MSCI USA, EM, EAFE, BRIC, Europe and EMU provides integrated global coverage

• MSCI-linked products, using one consistent methodology, offer the buy-side lower tracking error versus replicating strategies using non-MSCI futures with multiple methodologies

• Indices designed with investability and efficient replication in mind

• MSCI methodology for sector and style indices is superior to existing approaches, therefore there is a real opportunity to create liquid sector and style futures for US and international benchmarks for the first time

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NYSE Liffe U.S. is the natural home for MSCI futures • MSCI-based futures, ETFs, ETF options and potentially index options provide great trading, hedging and

arbitrage opportunities

• NYSE Euronext’s family of exchanges offers a unique opportunity to develop this arbitrage

• NYSE Arca is the primary listing and trading venue for US-listed ETFs• NYSE Arca Options and NYSE Amex Options are major liquidity centers in US-listed ETF and index

options• NYSE Liffe U.S. offers a Futures Incentive Program, which provides rebates in futures transactions to

firms that actively trade the underlying ETFs on NYSE Arca• Promotes cross-liquidity between the ETF and the related futures• Reduces effective transaction costs in both markets• Program available in both MSCI and Metals Futures

• NYSE Liffe U.S. clearing arrangements offer efficient margin treatment• OCC is clearing house for NYSE Liffe U.S. MSCI futures contracts• OCC also clears all ETF options and index options in the U.S.• OCC’s Collateral in Margins program recognizes ETFs and common stock pledged as collateral in

margin calculations for OCC clearing members

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Arbitrage and clearing efficiencies

OCC Options

NYSE EURONEXT CUSTOMERS

NYSE LIFFE US

ETFs INDEX OPTIONS / ETF OPTIONS

NYSE ARCANYSE AMEX

OPTIONSNYSE ARCA

OPTIONS

OCC Futures

DTCC

Cash

INDEX FUTURES

FIX FIX FIXFIX

TRADING / ARBITRAGE

NEW PRODUCT

CAPITAL EFFICIENCIES

Collateral in Margins

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Current MSCI Indices

MSCI USA• 600 companies (large and mid cap)• Broader coverage than S&P 500• High correlation with S&P 500• Market cap ~ $10.3tn

MSCI EM• 756 companies • 21 countries covered from Latin America, Middle East, Eastern Europe, Africa, Russia and Asia• Market cap ~ $3.0tn

MSCI EAFE• 963 companies • 21 countries covered from developed markets, excluding North America• Market cap ~ $9.0tn

MSCI USA Growth• 363 companies• Market cap ~ $4.9tn• Launched in June 2010

MSCI USA Value• 308 companies • Market cap ~ $5.0tn• Launched in June 2010

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3.Contract specifications

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MSCI EAFE futures contract specifications Ticker Symbol MFS

Contract Size $50 x MSCI EAFE index level (approx 1,482 as of July 2010)

Tick Size (minimum fluctuation) 0.10 index points=$5.00

Trading Hours (New York time) 7:16 p.m. to 5:00 p.m. the following day, Sunday through Friday

Contract Months Four months in the March Quarterly Cycle (Mar, Jun, Sep, Dec)

Last Trade Date/Time Trading can occur up to 11:00 a.m. on the 3rd Friday of the contract month

Final Settlement Cash Settlement. All open positions at the close of the final trading day are settled in cash to closing value of the MSCI EAFE Index

Daily Price Limits n/a

Position Limits 10,000 contracts

Block Trading Threshold 50 contracts

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MSCI EM futures contract specificationsTicker Symbol MME

Contract Size $50 x MSCI EM index level (approx 991 as of July 2010)


Trading Hours (New York time) 7:16 p.m. to 5:00 p.m. the following day, Sunday through Friday


Last Trade Date/Time Trading can occur up to 4:15 p.m. on the 3rd Friday of the contract month

Final Settlement Cash Settlement. All open positions at the close of the final trading day are settled in cash to closing value of the MSCI EM Index


Position Limits 10,000 contracts


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MSCI USA futures contract specificationsTicker Symbol MUN

Contract Size $50 x MSCI USA index level (approx 1051 as of July 2010)


Trading Hours (New York time) 3:00 a.m. to 5:00 p.m. the following day, Monday through Friday



Final Settlement All open positions at close of last day of trading are settled in cash to the Special Opening Quotation (SOQ) on Friday a.m. of the MSCI USA Index


Position Limits 20,000 contracts (aggregated across MSCI USA, MSCI USA Growth and MSCI USA Value)


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MSCI USA Growth futures contract specificationsTicker Symbol MRG






Final Settlement All open positions at close of last day of trading are settled in cash to the Special Opening Quotation (SOQ) on Friday a.m. of the MSCI USA Growth Index




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MSCI USA Value futures contract specificationsTicker Symbol MCU






Final Settlement All open positions at close of last day of trading are settled in cash to the Special Opening Quotation (SOQ) on Friday a.m. of the MSCI USA Value Index




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4. Liquidity provision

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Designated Market Making (DMM) programs – Sep 1, 2010

to June 30, 2011

•Algo program

•Market depth program

•Block trading program

•Roll incentive program

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The Algo program• Trading hours (NY time)

• EM, EAFE, USA: 8.30am to 4.30pm• Euro and Pan Euro: 3am to 4.30pm• Best efforts after 4.30pm

• 0.30-0.40 wide with 5-10 contracts up for front month

• Additional layered quotes

• 90% coverage

• Front two months during roll days preceding 3rd Friday expiration

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The Depth program (EM and EAFE)

• Trading hours (NY time): • EM, EAFE: 8.30am to 4.30pm

• 0.60-0.80 wide with 15-20 contracts up for front month

• Two additional layers within the 1 index point with 15 contracts each

• 90% coverage

• Front two months during roll days preceding 3rd Friday expiration

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The Block trading program

• Trading hours: entire trading day for EM, EAFE, USA, Euro, Pan-Euro

• Clients seeking block liquidity can connect with DMMs – list available upon request

• Program includes volume via EFRPs (Exchange of Futures for Related Positions)

– EFR (Exchange for Risk) transactions: exchange of a futures position for a corresponding securities, swap or other derivative instrument position

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The Roll incentive program (EM and EAFE)

• Bonus pool in EM and EAFE for Sep-Dec and Dec-March calendar rolls

• NYSE Liffe US will launch aggressive marketing effort and introduce exchange fee holiday for all CTI 4 participants during September and December 2010 to attract end user roll-related business

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Futures Incentive Program (FIP)• Participants earn rebates of $0.40 per futures contract and $0.20 per leg of

spread trade

• Designed to promote cross liquidity between NYSE ARCA and NYSE Liffe U.S.

• Rebates provided to market participants who actively trade ETFs on NYSE Arca and the corresponding NYSE Liffe U.S. futures

- Market makers are not eligible to participate in the FIP

• ETFs that qualify for the program: - MSCI: EFA, VEA, EEM, EWO, VTI

• Link to MSCI FIP flyer: http://www.nyse.com/pdfs/mscifip1.pdf

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Active Market Participant Program (AMP) Contracts Discounted Fee per Contract per

SideMember Fee per Contract per

Side

MSCI EAFE Mini Index Futures $0.20 $0.35

MSCI Emerging Markets Mini Index Futures $0.20 $0.35

MSCI USA Mini Index Futures $0.20 $0.35

• NYSE Liffe U.S. has designed the AMP Program to enhance the depth of liquidity and quality of its market

• Participants in the AMP qualify for the above reduced exchange fees on their proprietary transactions

• Participants in the MSCI Index-linked DMM program are not eligible to participate in the AMP

• Members whose average daily trading volume was 50 sides and who qualify as one of the top ten volume contributors each month will be eligible for reduced exchange fees on proprietary transactions executed during the following month

• Link to AMP Program: http://www.nyse.com/pdfs/05-2010.pdf

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ETF Liquidity – NYSE ARCA

Significant liquidity already exists in the MSCI-based ETF market that can be used to price positions in the futures market, to arbitrage against the futures market or as a correlated hedge

iShares MSCI Emerging Markets (EEM)– Index equivalent spread = 0.22– Average size (futures equivalent) = 74

iShares MSCI EAFE Index (EFA)– Index equivalent spread = 0.27– Average size (futures equivalent) = 17

Vanguard Total Stock Market ETF (VTI)– Index equivalent spread = 0.22– Average size (futures equivalent) = 9

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5. Summary

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The MSCI opportunity

• NYSE Liffe U.S. is committed to building a family of MSCI index futures contracts to provide efficient coverage of the global stock markets

• Hedge for over $3tn AUM benchmarked against MSCI indices

• Over 90% of US asset managers’ overseas investments are benchmarked against MSCI indices, therefore minimize tracking error

• Global coverage of the US, Europe, developed and developing world, using one index methodology

• Broad family of indices including style and sector futures

• Strong demand from ‘paper’ in having liquid MSCI index futures

• Highly liquid ETFs to use in pricing index futures

• Great arbitrage opportunities in trading multiple asset classes (index futures, ETFs and ETF options) on one platform

• Capital efficiencies between futures and securities positions

• Incentive programs to promote screen and block trading liquidity

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Contacts

New York

Cliff WeberExecutive Vice President, Product Development 212 656 5618 [email protected]

John McGonegalVice President, Equity Derivatives 212 656 5128 [email protected]

Chicago

Nancy KaplanVice President, Business Development312 442 [email protected]

London

Anthony PayneDirectorEuropean Business Development+44 (0)20 7379 [email protected]

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Disclaimer© 2010 NYSE Euronext. All rights reserved. All data as of June 2010, unless otherwise noted. NYSE Euronext disclaims any duty to update this

information.

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© NYSE Euronext. All Rights Reserved. MSCI index-linked futures on NYSE Liffe U.S