Example of transaction report on “inflation indexed bonds”:

An investment firm acquires a DBRI 0.1% 04/15/2026 (ISIN Code DE0001030567) by trading over the counter at 110.00%. The nominal value of the transaction is 1000000 EUR.

The net amount for this transaction is 1111274.01 EUR.

Considering that for the purpose of this example:

The static characteristics (as defined upon the issue of the financial instrument) are:

• Maturity Date: April 15^th 2026
• Coupon frequency: Annual
• Day Count Convention: ACT/ACT
• Day to Settle Convention: 2 business days after the trade date

The variables (dynamic characteristics depending on the market conditions) are:

• Trade Date: July 25^th  2016
• Settlement Date: July 27^th 2016 (as per the Day to Settle Convention)
• Last Coupon Date: April 15^th  2016
• Next Coupon Date:  April 15^th  2017
• Accrued number of days: 103 (i.e., the number of days between the Last Coupon Date and the Settlement Date)
• Period basis: 365 (i.e., the total number of days between the Last Coupon Date and the Next Coupon Date)
• Quantity: 1000000 (i.e., the nominal or monetary value of the transaction)
• Clean price: 110.00
• Index ratio: 1.009990
• Accrued interest:  0.02821918 (i.e., Nominal Coupon / Annual Coupon Frequency  x Accrued Number of Days / Period basis   =  0.1/1 x 103/365  )

The net amount will be calculated as follows (pursuant to the formula provided in field 35 of RTS 22):

Net amount[1] = [(Clean price x Nominal value) + (Accrued coupons x Nominal value)] x Index ratio i.e. [((110/100 x 1000000 EUR) + (0.02821918/100  x 1000000 EUR))] x 1.009990 =1111274.01 EUR.