ANNEX List of instruments bearing residual risks referred to in Article 2

1.

options where the pay-offs depend on the path followed by the price of the underlying asset and not just its final price on the exercise date;

2.

options that start at a predefined date in the future and whose strike price is not yet determined at the time at which the option is in the trading book of the institution;

3.

options whose underlying is another option;

4.

options with discontinuous pay-offs;

5.

options allowing the holder to modify the strike price or other terms of the contract before the maturity of the options;

6.

options that can be exercised on a finite set of predetermined dates;

7.

options whose underlying is denominated in one currency but whose pay-offs are settled in a different currency, with a predetermined exchange rate between the two currencies;

8.

multi-underlying options, excluding those referred to in Article 3, points (c) and (d);

9.

options subject to behavioural risk, only where all of the following conditions are met: