Appendix I Standardised transaction costs: examples of calculation [Last update 4 July 2017] The procedure explained in Point (c) of Point 21 of Annex VI, Part I can be broken down as follows:

EXAMPLES OF CALCULATION Step 1: Index selection Identify the relevant index on the basis of table below. Asset Classes Sub Asset Classes Indice Government bonds Government bonds and similar instruments developed market rating AAA-A JPMorgan EMU AAA-A + JPMorgan US Barclays Euro Sovereign High Quality Index Government bonds and similar instruments developed market different rating below A filtering on JPMEMU or iBoxx € Overall Government bonds emerging markets (hard and soft currency) Government bonds emerging markets (hard and soft currency) JPMorgan EMBIG Diversified Barclays EM Local Currency Liquid Government Index Investment grade corporate bonds Investment grade corporate bonds Barclays Euro Corporate IG + Barclays US Corporate IG EURO STOXX 50® Corporate Bond Other corporate bonds High yield corporate bonds Markit iBoxx EUR High Yield Liquid + Markit iBoxx USD High Yield Liquid Liquidity Money market instruments (for the sake of clarity, money markets funds not included) Barclays Euro Treasury Bill Shares developed markets Large-cap shares (developed markets) MSCI World Large Cap STOXX® Europe 50 STOXX® Developed Markets 150 Mid-cap shares (developed markets) MSCI World Mid Cap EURO STOXX® Mid Small-cap shares (developed markets) MSCI World Small Cap EURO STOXX® Cap Shares emerging markets Large-cap shares (emerging markets) MSCI Emerging Markets Large Cap STOXX® Emerging Markets 50 Mid-cap shares (emerging markets) MSCI Emerging Markets Mid Cap STOXX® Emerging Markets 500 Mid Small-cap shares (emerging markets) MSCI Emerging Markets Small Cap STOXX® Emerging Markets 500 Small Step 2: Time period Identify the valuation day (the tenth business day of the month) and the time period (the 12 months before YYYY/MM). Step 3: Collect the index/indexes constituents Collect the index/indexes (Step 1) constituents and their weights for each day of valuation of each month during the time period (as defined in Step 2). (Following an example related to the government bond index). Date ISIN Rating Index Weight (%) 20160331 ISIN1 AA+ 0,00269808 20160331 ISIN2 BB 0,00290327 20160331 ISIN3 AAA 0,00329052 20160331 ISIN4 AA- 0,00155998 20160331 ISIN5 BBB 0,00133706 … … … … TOTAL 100% Step 4: Select the source of the closing bid-ask spread Collect the closing bid-ask spread of the constituents identified in Step 4 for each day of valuation from the source of information identified. There could be different sources of information for the closing bid-ask spreads of the underlying indexes, since this information may be not available from the index provider [and/or it could be costly]. The selection of the source should be based on reasonable grounds and resulting from an internal procedure. As an example, the potential data source for closing bid-ask spreads of the underlying indexes may be: - the index provider; - Multilateral Trading Facilities [as an example MarketAxess]; - Alternative trading system - Data providers [as an example Bloomberg BVAL, Bloomberg BondTrade Composite (CBBT/BBT), Bloomberg Generic Number (BGN)]. To estimate the transaction cost twelve monthly observation should be taken. Date ISIN Rating Index/composite Weights (in %) PX-BID PX-ASK 20160331 ISIN1 AA+ 0,303341 105,3984375 105,484375 20160331 ISIN3 AAA 0,326410 106,9296875 107 20160331 ISIN4 AA- 0,369948 108,46875 108,53125 … … … 100,00 Step 5: Calculate the estimate cost of transaction of each point in time For each day of valuation, the bid-ask spread collected for each constituent (step 5) is divided by two applying the following formula (please see column D in the next table) 𝑃𝑎𝑠𝑘 − 𝑃𝑏𝑖𝑑 2∗𝑃𝑚𝑖𝑑 (Remark: in the denominator the multiplication *Pmid is intended to obtain a standardised data). Then, calculate the estimated cost of transaction at each point in time (E) by multiplying (A) and (D) and adding the results. Date ISIN Rating Index/composite Weights (A) PX-BID (B) PX-ASK (C) D = (C–B) / 2 x ((C+B)/2)) Estimate cost of transaction of each point in time (E): (A) X (D) 20160331 ISIN1 AA+ 0,303341 105,3984375 105,484375 0,040750 0,00012362% 20160331 ISIN3 AAA 0,326410 106,9296875 107 0,032870 0,00010728% 20160331 ISIN4 AA- 0,369948 108,46875 108,53125 0,0288000 0,00010655% … … … … TOTAL 100,00 0,03149% Step 6: Calculate the estimate cost of transaction under normal market conditions Calculate the average of the estimated cost of transaction of each point in time identified (E) in Step 6 for the last twelve months. Time period Estimate cost of transaction of each point in time (E) January 0,03149% February 0,03256% March 0,03158% … Estimated cost of transaction in normal market condition (Average) 0,031742%