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EUROPEAN CASH MARKET

Publicationand reportinguser guideTCS - 02/01/2009

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Contents 1. Introduction ........................................................................................................... 2

1.1. Regulatory disclaimer ................................................................................... 2 1.2. General features of TCS............................................................................... 3

1.2.1. Opening hours ........................................................................................... 3 1.2.2. “In-Session” and “Out-Session” status ....................................................... 3 1.2.3. Exceptions linked to the status of the security in the NSC system............. 4 (*) status valid only for securities traded on NSC platform (cf Cash trading manual appendix) ................. 1.2.4. Trade rejection........................................................................................... 4 1.2.5. Trade cancellation...................................................................................... 4 1.2.6. Alternative procedures to report transactions ............................................ 4

2. ........................................................................................................... 5Publications2.1. Publication of equities................................................................................... 5

2.1.1. Publication of regulated market trades on equities .................................... 5 2.1.1.1. Participants ......................................................................................... 5 2.1.1.2. Regulated market operation types....................................................... 5

2.1.2. Publication of OTC trades on equities...................................................... 10 2.1.3. Post-trade transparency on equities ........................................................ 12

2.2. Publication of ETFs..................................................................................... 13 2.2.1. Publication of regulated market trades on ETFs…………………. ............ 13

2.2.1.1. Participants ....................................................................................... 13 2.2.1.2. Regulated market operation types..................................................... 13

2.2.2. Post trade transparency for regulated market trades on ETFs ................ 16 2.2.3. Publication of OTC trades on ETFs ......................................................... 16 2.2.4. Post trade transparency for OTC trades on ETFs.................................... 17

2.3. Publication of other equivalent securities.................................................... 18 2.3.1. Publication of regulated market trades on other equivalent securities............................................................................................................ 18


2.3.2. Post trade transparency for regulated market trades on other securities............................................................................................................ 20 2.3.3. Publication of OTC trades on other securities.......................................... 20 2.3.4. Post trade transparency for OTC trades on other securities .................... 21

2.4. Publication of bonds ................................................................................... 22 2.4.1. Publication of regulated market trades on bonds..................................... 22


2.4.2. Post trade transparency for regulated market trades on bonds ............... 23 2.4.3. Publication of OTC trades on bonds ........................................................ 24 2.4.4. Post trade transparency for OTC trades on bonds .................................. 25

2.5. Publication control ...................................................................................... 26 3. ............................................................................................................. 27Reporting

3.1. Eligible securities........................................................................................ 27 3.2. Participants................................................................................................. 27 3.3. Eligible market authorities........................................................................... 27 3.4. Reporting control ........................................................................................ 27

4. .............................................................................................................. 29Appendix

NYSE Euronext European Cash Markets - BCM/C

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Introduction This document provides customers with a description of the NYSE Euronext transaction publication and reporting service, known as Transaction confirmation service (TCS). It provides details that a customer requires in order to use the service.

This document should be read in conjunction with the following NYSE Euronext documents:

NYSE Euronext Rule Book One NYSE Euronext Trading Manual and its appendix.

These documents are available at www.euronext.com/landing/regulation-12602-EN.html

For technical and operational details of how to use TCS, please refer to the customer services part of the Euronext web site (http://www.euronext.com/forourclient/mrdoc/general/wide/mrDoc-3477-EN.html)

Since the implementation of Mifid, investment firms have been required to publish their trades for those equities admitted to trading on a European regulated market, and to report transactions in any financial instruments to their relevant market authorities no later than the close of the following day.

Before Mifid, NYSE Euronext provided its members with a system (TCS) that enabled them to publish and report trades executed off the central order book on Euronext-listed securities, but within its regulated markets such as their negotiated deals, their VWAP operations or their block operations.

NYSE Euronext’s new trade publication and transaction reporting service has been extended to all European equities and ETFs listed on a European regulated market for all transactions executed outside a regulated market or an MTF.

NYSE Euronext continues to offer its previous trade publication and transaction reporting services for warrants & certificates, bonds listed on its markets and more generally regulated market trades (negotiated deals, block trades and VWAP, etc).

For each type of financial instrument and transaction, this guide presents respectively the conditions and operating mode respectively applicable to trades deemed executed on the regulated market and trades carried out over-the-counter (OTC).

1.1 Regulatory disclaimer In offering this service, NYSE Euronext aims to help investment service providers (ISPs) meet their reporting and transparency obligations. It has been developed on the basis of NYSE Euronext’s understanding of the relevant regulatory texts and is built to cover the widest range of situations.

However, it must be noted that provisions relating to the reporting duties and transparency obligations of investment service providers are set forth in texts over which NYSE Euronext has no power of interpretation or enforcement (European directive on investment services, national acts or statutes and, finally, market authorities’ regulatory texts).

As a consequence, NYSE Euronext is not in a position to answer questions relating to these rules, in particular questions aimed at determining if a given provision of the above-mentioned texts applies to the specific situation of an investment services provider. Investment services providers are invited to contact the market authority of their home or host country or the professional organisation to which they belong.

Market authority websites: Belgium: www.cbfa.beFrance: www.amf-france.orgPortugal: www.cmvm.ptNetherlands: www.autoriteitfinancielemarkten.com/United Kingdom: www.fsa.gov.uk


http://www.euronext.com/forourclient/mrdoc/general/wide/mrDoc-3477-EN.html

http://www.cbfa.be/

http://www.amf-france.org/

http://www.cmvm.pt/

http://www.afm.nl/

http://www.fsa.gov.uk/

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1.2 General features of TCS 1.2.1 Opening hours

The opening and closing time of TCS are different from the NSC® system. The TCS system is open from 07.15 to 19.00 (CET), every business day, according to the Euronext trading calendar.1

1.2.2 “In-Session” and “Out-Session” status For each trading group, two types of status are available on TCS, depending on the NSC system status:

- In-Session: as soon as the NSC system opens (opening of the trading group), the session is opened on TCS under the status “In-Session”, which consequently corresponds to the matching period on the NSC trading system. This status remains in place until Euronext Cash Market Operations (CMO) intervenes on NSC.

- Out-Session: By default, when the TCS system is not “In-Session”. As soon as CMO activates the End of Day message. The TCS status determines the types of operation that members can enter. The majority of transactions can be entered in the system whatever the TCS status. However, some operations are only authorised during the “Out-Session” phase. The different types of operations are described later in this document.

Note that the end of the day for a Euronext equity is defined by groups and triggered when the milestone of the Market Surveillance Intervention phase has been sent to the market. For European securities, the end of day means 17.40 CET.

In-Session and Out-Session status

Continuous trading groups and Alternext

19.00

NSC opens* End of access to the NSC order book for

07.15

In-Session status Out-Session status

*Opening, closing and auction times depend on trading groups as defined in the Cash Trading Manual Appendix

Auction groups

1st auction* 2nd auction*

07.15

In-Session status

*Opening, closing and auction times depend on trading groups

1 7.15-20.00 for one-sided off exchange trades publication and reporting (cf §2.2.


End of access to the NSCorder book for members*

Out-Session status

19.00

9 for Equities and §2.3.2 for ETFs)

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1.2.3 Exceptions linked to the status of the security in the NSC system The status of a given security in the trading system determines whether or not it is authorised to enter an operation on TCS, as follows:

Table 1: Status and consequences for publication on TCS

Status of the security on NSC Publication on TCS

Frozen * If a security is frozen, transactions outside the central order book are not permitted (except for Alternext)

Reserved If a security is reserved, transactions outside the central order book are not permitted (except for Alternext)

Suspended If a security is suspended, transactions outside the central order book (including on Alternext) are not permitted:

* Status valid only for securities traded on the NSC platform (cf Cash Trading Manual appendix)

1.2.4 Trade rejection Transactions not compliant with the format or the conditions are rejected by the system

1.2.5 Trade cancellation A trade can be cancelled by clients involved in the trade

1.2.6 Alternative procedures to report transactions All trade reporting must be done via TCS. When the TCS system is not available (between 19.00 and 07.15 CET or due to a technical issue), a fax can be sent to Euronext Cash Market Operations (fax: +33 (0)1 49 27 50 29)

Faxes sent to Euronext between 19.00 CET and 09.00 CET on the next trading day are registered in the TCS system by NYSE Euronext between 07.15 and 09.00 CET. The dissemination rules are defined in Chapter 3 of this document.


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2. Publications 2.1 Publication on Equities 2.1.1 Publication of regulated market trades on equities

2.1.1.1 Participants Participants are requested to be a NYSE Euronext member to trade on TCS for all types of Regulated Market operations.

2.1.1.2 Regulated market operation types The types of operation qualified as Regulated Market trades available for equities are the following ones: - Block trades - Negotiated deals - Out-of-hours trading - VWAP trades - NYSE Euronext Multi-listed Equities – Market(s) other than the Market

of Reference - Prorogation sell and prorogation buy - Delta neutral transactions

REGULATED MARKET

EQUITIES

BLOCK TRADES

SLE

CODE O

SLC

CODE H

Regulatory reference

NYSE Euronext Rule Book 1:4404/2: Block Trades See http://www.euronext.com/tools/documentation/wide/documents-2397-EN.html to download these documents.

Eligible equities All equities listed on NYSE Euronext regulated markets, except markets other than the market of reference for multi-listed equities, are eligible for block trades.

Size requirements For each stock category, the block amount (i.e. quantity of securities multiplied by the price) is compared to the Normal market size (NMS). Each listed stock must be referenced on the CESR website. The ADT used to determine the category of a given stock is accessible there at http://mifiddatabase.cesr.eu/.

Class of average daily turnover (ADT) (in EUR)

ADT < 500 000

500 000 ≤ ADT < 1 000 000

1 000 000 ≤ ADT < 25 000 000

25 000 000 ≤ ADT < 50 000 000

ADT ≥ 50 000 000

Minimum size of orders qualifying as large scale compared with NMS

50 000 100 000 250 000 400 000 500 000

Price control: In order to avoid mistrades, if the price of the transaction exceeds 25% of the last traded price on the central order book, the transaction will be rejected and an error message will be sent to the member. The member can correct the price or request (confirmation to be sent by email to [email protected]) the CMO to register the transaction. Post-trade transparency rules: Cf § 2.1.3


http://www.euronext.com/tools/documentation/wide/documents-2397-EN.html

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REGULATED MARKET

EQUITIES

NEGOTIATED TRADES

SLE

CODE O

SLC

CODE H

A negotiated trade is, under Mifid definition, a transaction involving members of participants of a regulated market or an MTF which is negotiated privately but still executed under the rule 4404 of Euronext Rule Book 1.


NYSE Euronext Rule Book 1:4404/5 Negotiated transactions

See http://www.euronext.com/tools/documentation/wide/documents-2397-EN.html to download these documents.

Eligible equities All equities listed on Euronext regulated markets are eligible for negotiated deals.

Price requirements Negotiated trades should be executed at a price at or within the current volume-weighted average spread reflected in the order book.

Post-trade transparency rules: Cf § 2.1.3

REGULATED MARKET

EQUITIES

OUT-OF-HOURS TRADES

SLE

CODE O

SLC

CODE H

Regulatory reference Euronext Rule Book 1: 4305/1: Out-of-hours trading See http://www.euronext.com/tools/documentation/wide/documents-2397-EN.html to download these documents.

Eligible equities All equities listed on Euronext regulated markets are eligible.

Price requirements Out-of-hours trades shall be affected at a price within a price range of 1% around the last traded price.





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REGULATED MARKET

EQUITIES

VWAP TRADES

SLE

CODE E

SLC

CODE E

This operation allows members to publish volume-weighted-average price (market VWAP) transactions. These transactions are agreements between a member and its client, or two of its clients, to execute a trade at an average price as weighted by volumes traded in the central order book, for a given security, over a fixed period of time in the future. Members can decide at any time to perform such transactions with their clients, before or during the trading session, provided that the period fixed for the operation has not started yet.

Regulatory references NYSE Euronext Rule Book 1: Rule 4404/3: Trading at or around the volume-weighted average price. NYSE Euronext Trading Manual: Article 2.10. See http://www.euronext.com/tools/documentation/wide/documents-2397-EN.html to download these documents. Once declared, the VWAP transaction is considered as a regulated market trade.

Eligible securities NYSE Euronext securities members are authorised to register transactions at market VWAP for any equities traded continuously.

Euronext monitoring Price For each VWAP transaction published, NYSE Euronext will check that the minimum period of time is respected, within the trading session, and that the transaction is performed within the authorised price margin around the VWAP over the relevant period of time, as follows: Authorised margin: 1% on either side of the VWAP price In the event of an error – for example a VWAP not stated or VWAP outside the authorised price margin – the member will receive an error message from Euronext indicating the correct VWAP for the relevant period. The VWAP price is calculated using the following formula based on central order book trades: VWAP=sum(Pi*Qi)/sumQi Where: VWAP=Volume Weighted Average Price Pi = Price of trade I Qi = Quantity of trade i i = Each trade over the defined period of time, excluding cross trades and basket cross trades The VWAP is calculated up to 4 decimal places depending on the trading group. Time period Members must specify the period of time for the VWAP transaction in addition to the usual information provided on a TCS report. This period is determined by a start and end time which can be expressed to the exact second. The following rules must be observed: . the start time cannot be earlier than the official opening time of the trading session; . the end time must have passed before the transaction is reported; . the end time must be earlier than the end of the trading session; . the VWAP period must respect the minimum time period of thirty minutes. If no start time is indicated, the TCS system considers by default that the VWAP trade begins at the opening time of the session and includes the trades stemming from the opening auction in its price. If no end time is indicated, the TCS system considers by default that the VWAP trade ends after the closing auction or after the trading-at-last phase, depending on the session timetable to which the instrument belongs. Quantity There are no quantity criteria.

Mandatory publication fields Members must also specify the period of time for the VWAP transaction, in addition to the publication control fields common to all operation types (cf §2.4).



http://www.euronext.com/fic/000/031/726/317268.pdf

http://www.euronext.com/fic/000/031/726/317268.pdf


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REGULATED

MARKET

MULTI LISTED

EQUITIES

OTHER MARKET(S) THAN

THE MARKET OF REFERENCE

SLE

CODE R

SLC

CODE


NYSE Euronext Rule Book 1: 4404/5 NYSE Euronext Cash trading manual:2.11 See http://www.euronext.com/tools/documentation/wide/documents-2397-EN.html to download these documents.

Eligible equities All equities multi-listed on Euronext regulated markets where a market of reference has been determined by NYSE Euronext are eligible. Mandatory matching criteria: - Price - Quantity - Counterparty - Direction - Settlement date - Indicator of guarantee - MIC code of the trading venue.

Price requirements The price of the trade must lie: - Within the average bid-ask spread of the trading line of the market of reference calculated

on the basis of the quantity to be reported at the time of the declaration and; - Between the High and the Low trading price during the day. After the trading hours or if there are no buy and/or sell orders in the trading order book of the market of reference the price has to be equal to the last adjusted closing price.

Post-trade transparency rules: Trades are immediately disseminated.

REGULATED

MARKET

EURONEXT PARIS SRD EQUITIES

PROROGATION SELL

PROROGATION BUY

SLE

CODE BUY

9

SLE

CODE SELL

A

Nyse Euronext Paris only This operation is used only for transactions executed on Euronext Paris to defer settlement under the French SRD (deferred settlement service) system (buyer and seller position). Trades must be sent as cross-orders with a price of zero.

Regulatory references

NYSE Euronext Paris: Instruction N4-07 art 13 ParisBourse SA Notice 2000-4064 21 September 2000

Eligible securities Securities eligible for the SRD service on the NYSE Euronext Paris marketplace.

NYSE Euronext monitoring − Price The price must be equal to the compensation price defined in Instruction N4-07. Members must enter “0” in the price field. − Date Prorogation trades must be reported once a month. The reporting date is defined in the

SRD calendar, published by NYSE Euronext annually via a NYSE Euronext trading announcement (ETA).

Post-trade transparency rules: No dissemination.



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REGULATED MARKET

EQUITIES

DELTA NEUTRAL TRANSACTIONS

SLE CODE

Not applicable

SLC

CODE D

This operation type is an automatic creation of the cash leg for a trade on a derivatives option contract.

Regulatory references

NYSE Euronext Rule book I: 4404/4 NYSE Euronext Paris: Instruction N04-04: Linked transactions between an option contract and its underlying security NYSE Euronext Brussels:Instruction NB2-02: Linked transactions between an option contract and its underlying security

Eligible equities The underlying security for the option must be admitted to trading on the Regulated Market of NYSE Euronext Amsterdam, Brussels or Paris. The list of options on securities that are eligible for this procedure is determined by NYSE Euronext and forms part of the trading procedures on the derivatives trading system, LIFFE CONNECTTM.

Participants If the derivatives member that traded the contingent stock is also a member of the NYSE Euronext cash marketplace on which the underlying security is admitted, the transaction generated in TCS is under its own code. If the derivatives member that traded the contingent stock is not a member of the NYSE Euronext cash marketplace on which the underlying security is admitted, the derivatives member must pass through a cash market member, whose code will be used for the recording of the transaction in TCS. In both cases, the cash market member must authorise NYSE Euronext to automatically create the transactions in TCS.

NYSE Euronext monitoring - Price Without prejudice to the monitoring of the trading conditions for the option, the price of the

underlying security must be established in an interval (including limits) around a reference price fixed by NYSE Euronext.

In general, by applying the following differences, the interval is determined according to the level of the last traded price:

Last traded price (in Euro) Difference price (in Euro)

0 < LTP < 5 Price Min = LTP – 0.10 Price Max = LTP + 0.10





LTP > 100 Price Min = LTP – 5 Price Max = LTP + 5

The reference price is the last traded price (LTP), which may have been adjusted by corporate actions on securities that had taken place since the last transaction.


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Post-trade transparency rules - Disseminated information For every transaction carried out on the underlying security following the recording of a

contingent stock trade, NYSE Euronext shall publish the following information immediately: o The price, quantity and time of the transaction. o A specific indicator identifying the transaction.

- Publication delays There is no publication delay for delta-neutral operations.

2.1.2 Publication of OTC trades on equities Two kinds of function can be used for OTC trades publication purposes: - The one-sided trade function: this function allows the firm to send the trades

without the confirmation of the counterpart. - The matched off-exchange trade function: this function allows the matching of

two opposite declarations.

OTC

EQUITIES

ONE-SIDED OFF-EXCHANGE

PUBLICATION

SLE CODE M

Eligible equities All equities admitted to trading in a European regulated market are eligible for the publication of OTC trades.

Participants The NYSE Euronext trade publication service as per the scope described above is available to all institutions qualifying as investment firms under the Investment Services Directive. No NYSE Euronext membership is needed for the one-sided trade function.

Opening hours The service is open from 07.15 until the close of the service, 20.00 CET, for the publication of one-sided trades.

Cancellation of the one-sided off-exchange declaration The firm issuing the trade is allowed to cancel the trade within the 5 days following the trade.


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OTC

EQUITIES

MATCHED OFF-EXCHANGE TRADE

PUBLICATION

SLE CODE K

This function enables clients to match their off-exchange declarations and the resulting matched off-exchange trade is automatically published to the market and reported to the relevant market authorities. In addition, members can choose to clear their off-exchange trades via LCH.Clearnet, if their price is expressed in the currency of the specific instrument. (cf §4)

Eligible equities This function is available only for NYSE Euronext equities.

Participants Matched off-exchange trade publication is allowed only for NYSE Euronext members.

Opening times The service is open from 07.15 until the close of the service, 19.00 CET, for the entry of a matched trades and publication.

Elimination of the matched off-exchange declaration Any buy or sell off-exchange declaration is automatically eliminated after 15 minutes if no declaration of the opposite direction was received in the meantime.

Cancellation of the matched off-exchange declaration Members can cancel their declarations as long as they have not been matched within the elimination delay of 15 minutes.

Refusal of a matched off-exchange declaration The validation of the declaration entails the sending of a notification to the involved counterpart. The counterpart can then refuse the entered declaration.

Matching of two off-exchange declarations Two off-exchange declarations that have the same following characteristics can be matched: - Instrument code - Buyer - Seller - Quantity - Settlement indicator - Settlement delay - Type of operation - Guarantee indicator - Trading venue - Price notation - Other factors - Quantity notation - Price multiplier

Cancellation of an off-exchange trade An off-exchange trade can be cancelled during the day of its reception. As far as off-exchange trades are concerned, the cancellation request must be sent by both members involved in order for it to be taken into account.



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2.1.3 Post-trade transparency2 on equities

Regulated equities The publication is in real time. However, for trades on European regulated equities a deferred publication of information for a period no longer than D+3 is authorised provided that the following criteria are satisfied:

- The transaction is between an investment firm dealing on own account and a client of that firm; - The size of the transaction is equal to or exceeds the relevant minimum qualifying size based on the Average Daily Turnover of the instrument.

The table below shows, for each permitted delay of publication and each class of shares in terms of average daily turnover (ADT), the minimum qualifying size of transaction that will qualify for that delay in respect of a share of that type.

Class of shares in terms of average daily turnover ADT< €

100 000 € 100 000 <ADT< € 1 000 000

€1 000 000<ADT<€ 50 000 000

ADT>€50 000

000

Minimum qualifying size of transaction for permitted delay During the trading day: 60 minutes After the trading day: next trading day before the opening of the trading day

€ 10 000 Greater of 5% of ADT and € 25 000

Lower of 10% of ADT and € 3 500 000


During the trading day: 180 minutes After the trading day: next trading day before the opening of the trading day




During the trading day: Until end of trading day Trade undertaken in final two hours of trading day or after the trading day: roll over to noon of next trading day




Until end of trading day next after trade € 60 000

Greater of 50% of ADT and € 100 000

Greater of 50% of ADT and €1 000 000

100% of ADT

Until end of second trading day next after trade

€ 80 000 100% of ADT 100% of ADT 250% of ADT

Until end of third trading day next after trade 250% of ADT 250% of ADT

Note that the end of the day for a NYSE Euronext equity is defined by groups and triggered when the milestone of the market surveillance intervention phase has been sent to the market. For European securities, the end of day means 17.40 CET.

Back-up: In a situation where a participant cannot electronically access the service, the desk needs the capability to enter a trade report for that participant

2 For all Regulated market and OTC operations, except for delta neutral operations.


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NYSE Alternext European regulators did not mandate any publication for equities traded on a non-regulated market. However NYSE Euronext fixed some dissemination delay for members who decided to publish their trades on NYSE Alernext® equities.

Dissemination delay Trade type Account type In-Session Out-Session Principal/Agent Real time

Price*Quantity <50 000€ Agent/Agent Real time

Principal/Agent 60 minutes delay Price*Quantity >=50 000€ Agent/Agent Real time

The next trading session before the opening of the market

2.2 Publication on ETFs 2.2.1 Publication of regulated market trades on ETFs

2.2.1.1 Participants Participants are requested to be a NYSE Euronext member to trade on TCS for all types of regulated market operations

2.2.1.2 Regulated market operation types The types of operation qualified as regulated market trades available for ETFs are the following ones : - Block trades - NYSE Euronext Multi-listed Equities – Market(s) other than the Market reference - Out-of-hours trading


14

REGULATED MARKET

ETFs

BLOCK TRADES

SLE CODE

0

SLC CODE

H


NYSE Euronext Rule Book 1:4404/2A: Block TradesSee http://www.euronext.com/tools/documentation/wide/documents-2397-EN.html to download these documents.

Eligible ETFs All ETFs listed on NYSE Euronext regulated markets are eligible for regulated market trades.

Size requirements The normal block size is:

Type of securities NBA ETFs € 1,500,000

Price criteria ETFs based on European indices

Block type In-Session Out-Session

Quantity x Price < 1 NBA Forbidden Min Price = iNAV – 1% Max Price = iNAV + 1%

Quantity x Price > 1 NBA Min Price = iNAV* – 1.5% Max Price = iNAV + 1.5%

Min Price = iNAV – 1.5% Max Price = iNAV + 1.5%

*iNAV= Indicative Net Asset Value

ETFs based on International or global indices

Block type In-Session Out-Session Quantity x Price < 1 NBA Forbidden Forbidden

Quantity x Price > 1 NBA Min Price = iNAV* – 3% Max Price = iNAV* + 3% Forbidden

* iNAV= Indicative Net Asset Value



15

REGULATED MARKET

MULTI LISTED

ETFs

OTHER MARKET(S) THAN

THE MARKET OF REFERENCE

SLE

CODE R

SLC

CODE


NYSE Euronext Rule Book 1: 4404/5 NYSE Euronext Cash trading manual: Art 2.11. See http://www.euronext.com/tools/documentation/wide/documents-2397-EN.html to download these documents.

Eligible equities All ETFs multi-listed on NYSE Euronext regulated markets where a market of reference has been determined by NYSE Euronext are eligible. Mandatory matching criteria:

- Price - Quantity - Counterparty - Direction - Settlement date - Indicator of guarantee - MIC code of the trading venue

Price requirements The price of the trade must lie on the last indicative net asset value. The price control based on the indicative net asset value is the same as the one applicable to the market of reference.


REGULATED

MARKET

ETFs

OUT-OF-HOURS TRADES

SLE

CODE O

SLC

CODE H

Regulatory reference NYSE Euronext Rule Book 1: 4305/1: Out-of-hours trading See http://www.euronext.com/tools/documentation/wide/documents-2397-EN.html to download these documents.

Eligible ETFs NYSE Euronext will decide whether to allow out-of-hours trading for Securities included in the NextTrack segment, depending on the availability of the Indicative Net asset value (iNAV) after the close of trading.

Price requirements Out-of-hours trades shall be effected at a price within a price range of 1% around the last disseminated Indicative Net Asset Value.




16

2.2.2 Post trade transparency for regulated market trades on ETFs

Dissemination delay Trade type Account type In-Session Out-Session Trade size< 1NBA N/A N/A

Agent/Agent Real time Block < 5 NBA Principal/Agent 60 minutes delay Agent/Agent Real time Block > 5 NBA Principal/Agent 120 minutes delay


2.2.3 Publication of OTC trades on ETFs Two kinds of functions can be used for OTC trades publication purposes: - The one-sided trade function: this function allows the firm to send the trades without the

confirmation of the counterpart. - The matched off-exchange trade function: this function allow the matching of two opposite declarations.

OTC

ETFs

ONE SIDED OFF-EXCHANGE PUBLICATION

SLE CODE

M

Eligible ETFs All ETFs admitted to trading in a European regulated market are eligible for the publication of OTC trades.


Opening hours The service is open from 07.15 until the close of the service, 20.00 CET, for the publication of one-sided trades. The trades concerned must be entered in real-time on the day of their execution for the publication service.



17

OTC

ETFs

MATCHED TRADE

PUBLICATION

SLE CODE

K

This function enables them to match their off-exchange declarations and the resulting matched off-exchange trade is automatically published to the market and reported to the relevant market authorities. In addition, members can choose to clear their off-exchange trades via LCH.Clearnet, if their price is expressed in the currency of the specific instrument.(cf §4)

Eligible ETFs This function is available only for NYSE Euronext ETFs.



Elimination of the off-exchange declaration Any buy or sell off-exchange declaration is automatically eliminated after 15 minutes if no declaration of the opposite direction was received in the meantime.

Cancellation of the off-exchange declaration Members can cancel their declarations as long as they have not been matched within the elimination delay of 15 minutes.

Refusal of an off-exchange declaration The validation of the declaration entails the sending of a notification to the involved counterpart. The counterpart can then refuse the entered declaration.

Matching of two off-exchange declarations Two off-exchange declarations that have the same following characteristics can be matched :

- Instrument code - Buyer - Seller - Quantity - Settlement indicator - Settlement delay - Type of operation - Guarantee indicator - Trading venue - Price notation - Other factors - Quantity notation - Price multiplier


2.2.4 Post trade transparency for OTC trades on ETFs

In-Session Out-Session Account type* Agent/Agent

Account type* Principal / Agent

Real-time The next trading session before the opening of the market


* Liquidity Provider and Related party are Principal accounts


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2.3 Publication on other equivalent securities 2.3.1 Publication of regulated market trades on other equivalent securities


2.3.1.2 Regulated market operation types - Block trades - Negotiated deals - NYSE Euronext Multi-listed Stocks – Market(s) other than the Market reference - After hours trades

REGULATED MARKET

OTHER

EQUIVALENT SECURITIES

BLOCK TRADES

SLE

CODE O

SLC

CODE H


NYSE Euronext Rule Book 1:4404/2A: Block TradesSee http://www.euronext.com/tools/documentation/wide/documents-2397-EN.html to download these documents.

Eligible Securities All other equivalent Securities (i.e convertible bonds) listed on NYSE Euronext regulated markets are eligible for block trades.


Type of securities NBA Bonds traded continuously € 100,000 Bonds traded by auction € 50,000

Price requirements Block type In-Session Out-Session

Quantity x Price < 1 NBA Forbidden Min Price = lLAST – 1% Max Price = LAST + 1%

Quantity x Price < 2 NBA Min Price = LAST – 1% Max Price = LAST + 1%



Quantity x Price < 5 NBA Min Price = LAST –4% Max Price = LAST + 4%

Quantity x Price > 5 NBA Min Price = LAST –5% Max Price = LAST + 5%


http://www.euronext.com/cashrules

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REGULATED MARKET

MULTI LISTED OTHER

EQUIVALENT SECURITIES

OTHER MARKET(S) THAN THE MARKET OF

REFERENCE

SLE CODE

R

SLC CODE

R


NYSE Euronext Rule Book 1: 4404/5 NYSE Euronext Cash trading manual: 2.11 See http://www.euronext.com/tools/documentation/wide/documents-2397-EN.html to download these documents.

Eligible equities All other Securities Multi-listed on NYSE Euronext regulated markets where a market of reference has been determined by NYSE Euronext are eligible. Mandatory matching criteria: - Price - Quantity - Counterparty - Direction - Settlement date - Indicator of guarantee - MIC code of the trading venue

Price requirements The price of the trade must lie: - Within the average bid-ask spread of the trading line of the market of reference calculated

on the basis of the quantity to be reported at the time of the declaration and; - Between the High and the Low trading price during the day After the trading hours or if there are no buy and/or sell orders in the trading order book of the market of reference the price has to be equal to the last adjusted closing price.


REGULATED MARKET

OTHER EQUIVALENT SECURITIES

OUT-OF-HOURS TRADES

SLE

CODE O

SLC

CODE H


NYSE Euronext Rule Book 1:4305/1: Out-of-hours trading See http://www.euronext.com/tools/documentation/wide/documents-2397-EN.html to download these documents.

Other Equivalent Securities All other equivalent securities listed on NYSE Euronext regulated markets are eligible for block trades.

Price requirements Out-of-hours trades shall be affected at a price within a price range of 1% around the last traded price.




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2.3.2 Post trade transparency for regulated market trades on other securities These rules don’t apply for trades on markets other than the market of reference for multi-listed other securities.

Dissemination delay Trade type Account type In-Session Out-Session Trade size< 1NBA N/A N/A

Agent/Agent Real time Block < 5 NBA Principal/Agent 60 minutes delay Agent/Agent Real time Block > 5 NBA Principal/Agent 120 minutes delay


2.3.3 Publication of OTC trades on other securities Two kinds of functions can be used for OTC trades publication purposes:

- The one-sided trade function: this function allows the firm to send the trades without the confirmation of the counterpart.

- The matched off-exchange trade function: this function allow the matching of two opposite declarations.

OTC


ONE SIDED OFF-EXCHANGE PUBLICATION

SLE CODE M

Eligible other equivalent securities All other equivalent securities admitted to trading in a European regulated market are eligible for the publication of OTC trades.





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OTC


MATCHED OFF-

EXCHANGE TRADE PUBLICATION

SLE CODE

K

This function enables members to match their off-exchange declarations and the resulting matched off-exchange trade is automatically published to the market and reported to the relevant market authorities. In addition, members can choose to clear their off-exchange trades via LCH.Clearnet, if their price is expressed in the currency of the specific instrument. (cf §4)

Eligible other securities This function is available only for Euronext other Securities.






Matching of two off-exchange declarations Two off-exchange declarations that have the same following characteristics can be matched:

- Instrument code - Buyer - Seller - Quantity - Settlement indicator - Settlement delay - Type of operation - Guarantee indicator - Trading venue - Price notation - Other factors - Quantity notation - Price multiplier


2.3.4 Post trade transparency for OTC trades on other securities

In-Session Out-Session Account type* Agent/Agent




• Liquidity Provider and Related party are Principal accounts


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2.4 Publication of bonds 2.4.1 Publication of regulated market trades for bonds


2.4.1.2 Regulated market operation types - Block trades - NYSE Euronext Multi-listed Stocks – Market(s) other than the Market reference - After hours trades

REGULATED MARKET

BONDS

BLOCK TRADES

SLE

CODE O

SLC

CODE H

Regulatory reference NYSE Euronext Rule Book 1:4404/2B: Block TradesSee http://www.euronext.com/tools/documentation/wide/documents-2397-EN.html to download these documents.

Eligible bonds All bonds (except convertible bonds which are included in other equivalent securities category and TCN, see below for specific conditions) listed on NYSE Euronext regulated markets are eligible for block trades.


Type of securities NBA Bonds traded continuously € 250,000 Bonds traded by auction € 100,000

Price requirements No price control TCN products specific requirements (TCN include such money market instruments as commercial paper and certificates of deposit): - Trading hours: for TCN this operation type is available from 7.15 am to 8.00 pm - Size requirement: the minimum size requirement is 150 000 € - The clearing service is not available for TCN products


http://www.euronext.com/cashrules

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REGULATED MARKET

MULTI LISTED

BONDS

OTHER MARKET(S) THAN THE MARKET OF

REFERENCE

SLE CODE

R

SLC CODE

R


NYSE Euronext Rule Book 1: 4404/5 NYSE Euronext Cash trading manual: 2.11 See http://www.euronext.com/tools/documentation/wide/documents-2397-EN.html to download these documents.

Eligible equities All bonds (except convertible bonds which are included in Other Equivalent Securities category and TCN) multi-listed on NYSE Euronext regulated markets where a market of reference has been determined by Euronext are eligible. Mandatory matching criteria: - Price - Quantity - Counterparty - Direction - Settlement date - Indicator of guarantee - MIC code of the trading venue

Price requirements The price of the trade must lie:

- Within the average bid-ask spread of the trading line of the market of reference calculated on the basis of the quantity to be reported at the time of the declaration and;

- Between the high and the low trading price during the day; After the trading hours or if there are no buy and/or sell orders in the trading order book of the market of reference the price has to be equal to the last adjusted closing price.


REGULATED

MARKET

BONDS

OUT-OF-HOURS TRADES

SLE

CODE O

SLC

CODE H


NYSE Euronext Rule Book 1:4305/1: Out-of-hours trading See http://www.euronext.com/tools/documentation/wide/documents-2397-EN.html to download these documents.

Eligible bonds All bonds listed on NYSE Euronext regulated markets are eligible for out of hours trades.

Price requirements Except for TCN products Out-of-hours trades shall be effected at a price within a price range of 1 % around the last traded price.

2.4.2 Post trade transparency for regulated market trades for bonds A single aggregated line per Financial Instrument including the quantity, highest and lowest prices is disseminated the next trading session before the opening of the market.




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2.4.3 Publication of OTC trades for bonds Two kinds of functions can be used for OTC trades publication purposes:

- The one-sided trade function: this function allows the firm to send the trades without the confirmation of the counterpart.

- The matched off-exchange trade function: this function allow the matching of two opposite declarations.

OTC

BONDS

ONE SIDED OFF-

EXCHANGE PUBLICATION

SLE CODE

M

Eligible bonds All bonds admitted to trading in a European regulated market are eligible for the publication of OTC trades.



Cancellation of the one-sided off exchange declaration The firm issuing the trade is allowed to cancel the trade within the 5 days following the trade.


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OTC

BONDS MATCHED OFF-

EXCHANGE TRADE PUBLICATION

SLE CODE

K

This function enables members to match their off-exchange declarations and the resulting matched off-exchange trade is automatically published to the market and reported to the relevant market authorities. In addition, members can choose to clear their off-exchange trades via LCH.Clearnet, if their price is expressed in the currency of the specific instrument. (cf §4)

Eligible bonds This function is available only for NYSE Euronext convertible bonds as well as other Euronext bonds.


Opening times The service is open from 07.15 until the close of the service, 1:00 CET, for the entry of a matched trade and publication.




Matching of two off-exchange declarations Two off-exchange declarations that have the same following characteristics can be matched : - Instrument code - Buyer - Seller - Quantity - Settlement indicator - Settlement delay - Type of operation - Guarantee indicator - Trading venue - Price notation - Other factors - Quantity notation - Price multiplier


2.4.4 Post trade transparency for OTC trades on bonds In-Session Out-Session Account type* Agent/Agent




* Liquidity Provider and Related party are Principal accounts


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2.5 Publication control For all types of products mentioned above, trades conducted outside the order book (considered as on the regulated market) as well as OTC trades to be published should contain the following information:

Field identifier Description

Trading venue Possible values are the relevant MIC code or the relevant BIC code for a systematic internalise or OTC trading.

Trade ID Allocated by the subscriber in order to uniquely identify the off-exchange trade in the broadcasting and reporting chain.

Instrument code

Trading code or ISIN code for Euronext instruments, ISIN code for equities/ETFs admitted to trading on other European regulated markets. Only the ISIN will be published in the off-exchange trade

Buy / Sell indicator Defines the side of the issuer and counterpart. This information is not published and is used for internal monitoring purposes and storage.

Price and quantity

The price is monitored with regard to the reference price of the most liquid marketplace for the instrument in question, taking into account the currency. There is also quantity check as well.

Price notation (currency)

Optional field. The currency in which the price of the off-exchange trade is expressed. Only to be filled if the currency traded is different to the value specified in the initialisation message.

Trading date and trading time

Optional field. By default, they are equal to the date and time of the reception of the trade to be published in the system. The trading time entered shall be expressed in CET.

Bypass indicator For OTC one-sided trades, enables investment firms to bypass the price and quantity controls defined by NYSE Euronext

Counterpart member code

− When the counterpart is a NYSE Euronext member, the code to be filled must be the NYSE Euronext code of the counterpart. When the counterpart is NOT a Euronext member, the code to be filled must be the BIC code of the counterpart.

− In certain cases, for example when the counterpart is a trading venue (eg NYSE Euronext or an MTF), the code to be filled in may be the MIC code of the counterpart.

− Depending on the type of trade, this field can also contain the single value “C” for customer.

Publication delay indicator

(also called “deferred trace indicator” in the functional specifications). The investment firm should send the publication details to NYSE Euronext immediately. Using this indicator the investment firm can choose to be published immediately in the case of client / client trade, or to be published following the Mifid deferred publication rules for regulated equities, or NYSE Euronext rules for all other instruments.


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Reporting 3.1 Eligible securities All NYSE Euronext securities as well as equities and ETFs listed on a European regulated market are eligible for trade reporting on TCS.

3.2 Participants The NYSE Euronext trade reporting service is available to all institutions qualifying as investment firms under the Investment Services Directive and having to report to regulators towards which NYSE Euronext had set up link with. No NYSE Euronext membership is needed.

3.3 Eligible Market Authorities The NYSE Euronext trade reporting service is available for reporting to: Autoriteit Financiele Markten (AFM-NL) Autorité des Marchés Financiers (AMF-FR) Commission Bancaire Financière et des Assurances (BEL-CBFA)

3.4 Reporting control From one market authority to another one, the data and the format for trade reporting are different. This operation allows a client to report all its transactions types to its market authority. Depending on the local market authority rules: - The reporting is from real time to end of the next session - The data to be reported

All European market authorities require the following fields:

Field identifier Description Reporting firm identification A unique code to identify the firm which executed the transaction

Trading day The trading day on which the transaction was executed

Trading time The time at which the transaction was executed, reported in the local time of the competent authority to which the transaction will be reported, and the basis in which the transaction is reported expressed as Coordinated Universal Time (UTC) +/- hours.

Buy/sell indicator Identifies whether the transaction was a buy or a sell from the perspective of the reporting investment firm, or, in the case of a report to a client, of the client.

Buy/sell indicator Identifies whether the transaction was a buy or a sell from the perspective of the reporting investment firm, or, in the case of a report to a client, of the client.

Trading capacity Identifies whether the firm executed the transaction: - on its own account (either on its own behalf or on behalf of a

client), - for the account, and on behalf, of a client

Instrument identification This shall consist of: - a unique code, to be decided by the competent authority (if

any) to which the report is made identifying the financial instrument which is subject of the transaction

- if the financial instrument in question does not have a unique identification code, the report must include the name of the instrument or, in the case of a derivative contract, the characteristics of the contract.

Instrument code type The code type used to report the instrument Underlying instrument identification

The instrument identification applicable to the security that is the underlying asset as a derivative contract as well as the transferable security falling within Article 4(1)(18)(c) of Directive 2004/39/EC

Underlying instrument identification code type

The code type used to report the underlying instrument


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Instrument type The harmonised classification of the financial instrument that is the subject of the transaction. The description must at least indicate whether the instrument belongs to one of the top level categories as provided by a uniform internationally accepted standard for financial instruments classification.

Maturity date The maturity date of a bond or other form of securitised debt, or the exercise date/maturity date of a derivative contract

Derivative type The harmonised description of the derivative type should be done according to one of the top level categories as provided by a uniform internationally accepted standard for financial instrument classification.

Put/call Specification whether an option or any other financial instrument is a put or a call.

Strike price The strike price of on option or other financial instrument Price multiplier The number of units of the financial instrument in question which

are contained in a trading lot: for example, the number of derivatives or securities represented by one contract.

Unit price The price per security or derivative contract excluding commission and (where relevant) accrued interest. In the case of a debt instrument, the price may be expressed either in terms of currency or as a percentage.

Price notation The currency in which the price is expressed. If, in the case of a bond or other form of securitised debt, the price is expressed as a percentage, that percentage shall be included.

Quantity The number of units of the financial instruments, the nominal value of bonds, or the number of derivative contracts included in the transaction

Quantity notation An indication as to whether the quantity is a number of units of financial instruments, the nominal value of bonds or the number of derivative contracts.

Counterparty Identification of the counterparty to the transaction shall consist of : - where the counterparty is an investment firm, a unique code for that firm, to be determined by the competent authority (if any) to which the report is made, - where the counterparty is a regulated market or MTF or any entity acting as its central counterparty, the unique harmonised identification code for that market, MTF or any entity acting as central counterparty, as specified in the list published by the competent authority of the home Member State of that entity in accordance with Article 13(2), - where the counterparty is not an investment firm, a regulated market an MTF or an entity acting as central counterparty, it should be identified as “customer/client” of the investment firm which executed the transaction.

Venue Identification Identification of the venue where the transaction was executed. That identification shall consist in: - where the venue is a trading venue: its unique harmonised

identification code, - otherwise the code OTC.

Transaction reference number A unique identification number for the transaction provided by the investment firm or a third party reporting on its behalf.

Cancellation flag An indication as to whether the transaction was cancelled.

In addition each European member state can require additional data, for example:

Country Field identifier Description Belgium, France Total amount of the trade Number of instrument

multiplied by the price Belgium, France Settlement delay UK, Portugal Client Identification code Code for the final client UK, Portugal Code type client identification code


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4. Appendix

Appendix 1

Publication services

Reporting services CCP clearing

Investment firms concerned

NYSE Euronext members X X X Non NYSE Euronext members X X X

Instrument concerned

All NYSE Euronext instruments negotiated in their NYSE Euronext quotation currency

X X X(*)

All listed equities and ETFs admitted to trading in other regulated markets

X X

Types of operation

- Regulated market trades in NYSE Euronext securities for members

X X X(*)

- One-sided off-exchange trade

OTC trade for publication OTC trade for transaction reporting OTC trade for publication and transaction reporting

X

X X

- Dedicated matched off-exchange trade in NYSE Euronext securities for members

OTC trade

X

X

X(*)

(*) Except TCN products


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Appendix 2

Classification of financial instruments

The NYSE Euronext market undertakings jointly publish hereafter the list of securities, which shall be regarded, for purposes of Rule 4403 (block trading rules), as shares, bonds or ETFs.

1. The following securities shall be regarded as shares: - Ordinary shares; - shares with special rights (including preferential shares); - Subscription or acquisition warrants, as well as, where applicable, bonds to which

these warrants are attached; - Investment certificates (share certificates without voting rights) and co-operative

investment certificates; - Voting rights certificates; - Deposit receipt; - Subscription and allotment rights; - Convertible bonds or bonds redeemable in shares; - Bonds exchangeable for shares or with an option to exchange for shares; - Belgian strips (tax credit attached to a Security); - Covered warrants; - Investment funds admitted to trading in the Dutch or Belgian market (Collective

schemes units); - All other equivalent securities issued under foreign law.

2. The following securities shall be regarded as bonds: - Any type of bond other than those mentioned in point 1 above; - Contingent value rights; - Subscription or acquisition warrants on debt securities; - All other complex debt Securities (including certificates admitted to trading in

Amsterdam and Paris as well as reverse convertible bonds admitted to trading in Brussels);

- Equity loans (participating / non-voting shares); - Subordinated shares; - Securities issued by debt investment funds; - All other equivalent securities issued under foreign Law.

3. It should be noted that ETFs (i.e. securities issued by index-based investment collective schemes admitted by NYSE Euronext to the NextTrack segment) shall not be regarded as shares or bonds for the purposes of Rule 4403, but benefit from a dedicated regime. For purposes of Rule 4503/2 of the Rule Book (post-trade publication rules), the same classification applies, although in this case, ETFs are regarded as shares.

This publication is solely intended as information and does not constitute any investment advice or an offer, solicitation or recommendation to acquire or dispose of any investment or to engage in any transaction. Although this publication is issued in good faith, no representation or warranty, express or implied, is or will be made and no responsibility or liability is or will be accepted by NYSE Euronext or by any of its officers, employees or agents in relation to the accuracy or completeness of this publication and any such liability is expressly disclaimed. No information set out or referred to in this publication shall form the basis of any contract. The creation of rights and obligations in respect of financial products that are traded on the exchanges operated by NYSE Euronext’s subsidiaries shall depend solely on the applicable rules of the market operator. NYSE Euronext encourages you to reach your own opinion as to whether investments are appropriate or relevant and recommends you not to make any decisions on the basis of the information contained in this publication before checking it, as you will bear full responsibility for any use that you make of it. Persons wishing to trade products available on NYSE Euronext markets or wishing to offer such products to third parties are advised, before doing so, to check their legal and regulatory position in the relevant territory and to understand the related risks. All proprietary rights and interest in or connected with this publication are vested in NYSE Euronext. No part of it may be redistributed or reproduced in any form or by any means or used to make any derivative work (such as translation, transformation, or adaptation) without the prior written permission of NYSE Euronext. NYSE Euronext refers to NYSE Euronext and its affiliates and references to NYSE Euronext in this publication include each and any such company as the context dictates. NYSE Euronext®, Euronext®, NYSE Alternext®, NSC®, LIFFE CONNECTTM are registered marks of NYSE Euronext. © 2009, NYSE Euronext - All rights reserved.


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