venture further for yield - lyxor etf · the s&p 500’s yield is currently hovering around 2%,...

Venture further for yield Old problems, new solutions

This document is for the exclusive use of investors acting on their own account and categorised either as “eligible counterparties” or “professional clients” within the meaning of markets in financial instruments directive 2004/39/ce

Index InsightsSeptember 2017

Old problems, new solutions

Good yield hunting 4

European yield staples 6

US yield staples 8

UK yield staples 10

Global yield staples 12

Emerging Market debt 14

Our product range 16

Knowing your risk 18

Lyxor International Asset Management (“LIAM”) or its employees may have or maintain business relationships with companies covered in its research reports. As a result, investors should be aware that LIAM and its employees may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. Please see appendix at the end of this report for the analyst(s) certification(s), important disclosures and disclaimers. Alternatively, visit our global research disclosure website www.lyxoretf.com/compliance.

Lyxor ETF | Yield staples

These days, getting more income from your investments means going that little bit further.

Thankfully, there’s little more comforting than travelling to somewhere you know well. Where there’s little need for research, maps or awkward conversations in a different language. Where everything will be just so.

Our range of yield staples includes the kind of dependable, enduring sources of yield you’d expect to see at the heart of any income portfolio today – credit, high yield bonds and high quality equity dividends.

But don’t confuse staple with stale, even the most familiar of destinations can deliver a little excitement. And, as they are ETFs, they can do it a whole lot cheaper.

Welcome

0.5

0.45

0.4

0.35

0.3

0.25

0.2

0.15

0.1

00.5

0

Outstanding amount of government bonds yielding less the 0 (%total outstanding)

Outstanding amount of corporate bonds yielding less the 0 (%total outstanding)

Jul-14 Nov-14 Mar-15 Jul-15 Nov-15 Mar-16 Jul-16 Nov-16 Mar-17

45%+ of European bonds are still yielding less than 0%

Source: Lyxor, Bloomberg, 26 May 2017

3

USImproving growth numbers keep the outlook for credit (IG & HY) bright for now.

The S&P 500’s yield is currently hovering around 2%, as it has for several years. Finding a higher yield means narrowing down your search. Choose your strategy wisely.

► Cash = 1.25%

► Government bonds yield = 2.29%

► Investment grade bonds yield = 3.8%

► High yield bonds yield = 5.46%

► Quality equity income yield = 2.94%

Emerging market debtEM spreads have compressed, but improving fundamentals justify current valuations. Sovereign yields remain high, some carry should still be available and the risk/reward profile looks decent. Accommodative central banks and the slow pace of tightening elsewhere should keep investors keen.

► Emerging sovereigns yield = 4.85%

► EM corporates yield = 4.3%

► High yield EM corporates yield = 6.16%

► EM quality income dividend yield = 3.27%

No major surprises here – corporate bonds, emerging debt and quality equity income remain dependable and enduring sources of income. Where will your search take you?

Good yield hunting

GlobalGlobal equity income funds offer great diversification and, although yields are lower than in the UK, the income may be more sustainable.





All data: Lyxor International Asset Management, Bloomberg. Data as at 31/07/17. Past performance is not a reliable indicator of future results.


UKIG & HY credit have a rosier long-term outlook than in the US – provided Brexit issues don’t disrupt growth.

UK equities offer some of the best yields available, with the FTSE 100 forecast to yield 4% in 2017. However, it is also highly concentrated, so look to strategies capable of sharing the load.

► Cash = 0.20%





EuropeAgain, IG & HY credit have a rosier long-term outlook than in the US – provided political risk keeps easing. Over to you Italy.

The dividend pool is far deeper in Europe. Prospects also look strong, after a Q1 earnings season far stronger than anything we’ve seen since 2010.

► Cash = -0.35%





5

European yield staplesInvestment grade credit► For more cautious investors, investment grade bonds

offer a natural route to more yield

► 95% of the Markit iBoxx EUR Liquid Corporates 125 Mid-Price TCA Index is rated 'BBB' or above

► An ex-financials version is also available, offering exposure to the 20 largest and most liquid euro-denominated IG corporate bonds

High yield bonds► Should equities be a step too far, consider high yield

► The BofA Merrill Lynch BB-CCC Euro Developed Markets Non-Financial High Yield Constrained index holds over 350 EUR denominated sub-investment grade bonds from non-financial issuers

► If credit quality worries you, the Markit iBoxx EUR High Yield Corporates BB Top 50 Mid Price TCA TRI Index tracks the 50 largest and most liquid EUR issues rated from BB- to BB+

► Should rate rises be of concern, consider the BofA Merrill Lynch BB-CCC 1-3Year Euro Developed Markets High Yield Constrained Index

Quality equity income► From Brexit to elections, Europe has been and will

continue to be in the headlines

► Opportunities for income abound, but you may want to limit your risk by focusing on steady and well performing companies

► The SG European Quality Income Index yields 5.45% and targets the 50 companies most capable of keeping their dividend promises

High equity income► If your focus is more on yield than quality, consider high

income equities

► The STOXX Europe Select Dividend 30 index screens companies for positive dividend per share growth rates and dividend to earnings per share ratios, then weights what's left by the size of their dividend yields

Did you know?% of active managers outperforming 1Y 10Y

EUR IG 52% 40%EUR HY 35% 14%EUR DIV 28% 0%Source: Morningstar & Bloomberg data from 31/12/2006 to 31/12/2016. Past performance is not a reliable indicator of future results.


The numbers that matter

Equity income

Index Number of stocks Top 3 sectors Top 3

countries

Current dividend

yield

1Y return

5Y return

1Y annual.

vol

5Y annual.

vol

SG European Quality Income NTR Index

31Utilities 25.7%Industrials 16.7%Telecommunication 16.2%

UK 25.2%Spain 22.8%Finland 12.8%

5.45% 5.15% 49.78% 8.85% 13.54%

STOXX Europe Select Dividend 30 index

30Financials 30.8%Industrials 13.5%Energy 12.4%

UK 26%France 21.5%Switzerland 12.2%

4.3% 9.98% 54.23% 9.83% 14.67%

MSCI Europe Net Return EUR Index

444Financials 21.1%Consumer staples 14.1%Industrials 13.2%

UK 24.7%France 15.8%Germany 14.6%

3.39% 13.54% 62.31% 9.66% 15.41%

Source: Lyxor International Asset Management/Bloomberg/STOXX. Data as at 31/07/2017. Past performance is not a reliable indicator of future results.

Fixed income

Index Number of bonds Top 3 countries Yield* Duration

Avg. credit quality

1Y return

5Y return

1Y annual.

vol

5Y annual.

vol

Markit iBoxx EUR Liquid Corporates 125 Mid Price TCA TRI

125Netherlands 22% Germany 14.6% France 14%

0.77% 4.82 A -0.52% 18.19% 1.96% 2.01%

Markit iBoxx EUR Liquid Non-Financials Mid Price TCA TRI

20Netherlands 28.9% US 27% Germany 20.2%

1.07% 7.07 A -1.68% 17.42% 2.92% 2.39%

BofA Merrill Lynch BB-CCC Euro Developed Markets Non-Financial High Yield Constrained

378France 17.7% Luxembourg 16% Germany 12.7%

2.41% 4.52 BB 8.40% 48.16% N/A N/A

BofA Merrill Lynch BB-CCC 1-3 Year Euro Developed Markets High Yield Constrained Index

92Italy 22.7% France 14.1% Luxembourg 13.1%

1.66% 1. 7 BB 6.73% 34.12% N/A N/A

Markit iBoxx EUR High Yield Corporates BB Top 50 Mid Price TCA TRI

50Luxembourg 20.3% Italy 20.2% US 10.6%

2.46% 4.22 BB 5.08% 9.86% 1.47% 2.87%

*Yield refers to yield to maturity for investment grade indices, and yield to worst for high yield indices.Source: Lyxor International Asset Management/Bloomberg. Data as at 31/07/2017. Past performance is not a reliable indicator of future results.

Why Lyxor for European yield staples?

#1 #1 #1Quality incomePurest quality exposure

High yield Unique benchmark exposure

IG bondsLowest cost IG bond ETF you can buy

Lyxor International Asset Management. Data as at 31/07/2017. Lowest cost European IG bond ETF is in relation to the European ETF market.

7

US yield staples

Quality equity income► The US is not known to be a high yielding market, but if

you dig deeper, you can find a path to yield

► The FTSE USA Qual/Vol/Yield Factor 5% capped Index focuses on companies with strong balance sheets, low volatility and an attractive dividend yield

► This helps deliver a yield of approximately 3%, without falling into any "yield traps", and it helps reduce volatility by +20%**

Did you know?Performance pushes passive (% of active managers outperforming)* 1Y 10Y

US HY 29% 48%US IG 25% 17%*Source: Morningstar & Bloomberg data from 31/12/2006 to 31/12/2016. Past performance is not a reliable indicator of future results.

Investment grade credit► For a conservative income stream with decent

credit quality, consider the Markit iBoxx USD Liquid Investment Grade 150 Mid Price TCA TRI Index

► Invests in the 150 largest and most liquid investment grade corporate bonds issued in USD

► Fewer than 1 in 5 managers outperform the IG benchmark over the long term*

High yield bonds► If you're looking for more income, high yield could hit

the spot

► The Bank of America Merrill Lynch US High Yield Constrained Index is the reference benchmark for the high yield market

► With close to 1,000 issuers and 2,000 constituents, the index is bigger and more diversified than any of its peers

► Even though legend has it otherwise, far fewer than half of active managers in the sector outperform*

**Source: FTSE Russell, data as of end of May 2017.


Why the BoAML $ High Yield Bond index?


Fixed income

Index Number of bonds Yield* Duration

Avg. credit quality

1Y return 5Y return1Y

annual. vol

5Y annual.

vol

Markit iBoxx USD Liquid Investment Grade 150 Mid Price TCA TRI

150 3.80% 9 A 1.10% 12.47% 4.79% 4.75%

BofA Merrill Lynch US High Yield Constrained Index

1,872 5.46% 4.97 B 11.26% 14.32% 2.70% 3.15%

BofA Merrill Lynch BB-CCC 1-3 Year US High Yield Constrained Index

234 5.57 2.07 B 10.10% 35.89% N/A N/A

*Yield refers to yield to maturity for investment grade indices, and yield to worst for high yield indices.Source: Lyxor International Asset Management/Bloomberg. Data as at 31/07/2017. Past performance is not a reliable indicator of future results.

~1,900different index constituents

5.46%*

yield

~900different issuers

B-BB*

avg. credit rating

*Source: Lyxor International Asset Management, as at 31/07/2017. Lowest cost US IG bond ETF is in relation to the European ETF market..

*Source: Lyxor International Asset Management, as at 31/07/2017. Past performance is not a reliable indicator of future results.

Quality equity income

Index Number of stocks Top 3 sectors

Current dividend

yield1Y return 5Y return

1Y annual.

vol

5Y annual.

vol

FTSE USA Qual/Vol/Yield Factor 5% capped Index

149Consumer staples 19.2%Information technology 17.6%Healthcare 14.9%

2.94% 8% 85.6% 7.2% 9%

S&P 500 Net Total Return Index 505Information technology 22.8%Financials 16.2%Healthcare 14.4%

1.98% 15.32% 92.96% 8.03% 12.22%

Source: Lyxor International Asset Management/Bloomberg/FTSE Russell. Data as at 31/07/2017. Past performance is not a reliable indicator of future results.

Why Lyxor for US yield staples?

#1 #1 #1Quality income Purest quality exposure

High yield Unique benchmark

IG bonds Lowest cost IG bond ETF you can buy*

9

UK yield staplesInvestment grade credit► Corporate bonds offer a more stable route to income

► The Markit iBoxx GBP Liquid Corporates Long Dated Mid Price TCA TRI index invests in the 40 largest and most liquid sterling-denominated investment grade bonds

Quality equity income► The FTSE 100 has a high yield but comes with

concentration risk, both at a stock level and a sector level

► The FTSE 350 ex Investment Trusts Qual/Vol/Yield Factor 5% capped Index starts from a broader universe

► The strategy selects UK companies that not only have a high trailing yield, but also low volatility and high quality characteristics

► This helps deliver a yield of just under 4%, as well as reduce by volatility by c.18%*

Did you know?% of active managers outperforming 1Y 10Y

UK Div 74% 48%Source: Morningstar & Bloomberg data from 31/12/2006 to 31/12/2016. Past performance is not a reliable indicator of future results.

*Source: FTSE Russell, data as of end of May 2017.



Why factor in quality, low volatility and yield?

Fixed Income

Index Number of bonds Yield* Duration

Avg. credit quality


annual. vol

5Y annual.

vol

Markit iBoxx GBP Liquid Corporates Long Dated Mid Price TCA TRI

40 2.94% 9.67 A 2.74% 37.58% 6.73% 6.30%

FTSE Actuaries UK Conventional Gilts All Stocks Total Return

45 1.56% 10.88 AA -2.54% 20.29% 6.86% 6.46%

Source: Lyxor International Asset Management/Bloomberg. Data as at 31/07/2017. Past performance is not a reliable indicator of future results.

Avoid companies paying a high yield for the wrong reasons

High quality companies prove more resilient during periods

of economic hardship

The low volatility screen helps filter out highly volatile stocks

Avoid the yield trap

Be consistent Reduce risk


Index Number of stocks Top 3 sectors

Current dividend

yield1Y return 5Y return

1Y annual.

vol

5Y annual.

vol

FTSE 350 ex Investment Trusts Qual/Vol/Yield Factor 5% capped Index

110Consumer Staples 23.4%Consumer discretionary 20%Industrials 10.4%

3.88% 3.4% 65.3% 9.3% 9.8%

FTSE 100 Total Return Index GBP 102Financials 19.7%Consumer Staples 17.6%Energy 13.8%

4.12% 14.01% 57.66% 9.86% 13.79%

Source: Lyxor International Asset Management/Bloomberg/FTSE Russell. Data as at 31/07/2017. Past performance is not a reliable indicator of future results.

*Source: Lyxor International Asset Management, as at 31/07/2017. Lowest cost UK quality income and IG bond ETF is in relation to the European ETF market.

Why Lyxor for UK yield staples?

#1 #1 #1Quality income Purest quality income exposure

Quality income Lowest cost exposure*

IG bondsLowest cost IG bond ETF you can buy*

11

Global yield staplesGlobal► Most companies are still increasing or maintaining

their dividends. Just over 10% are cutting them. Opportunities are out there

► If the world is your oyster, consider the SG Global Quality Income strategy

► SGQI currently yields over 4.84%* and targets the 75-125 companies most capable of keeping their dividend promises

How the strategy worksStarting with a universe of global developed world stocks with a market cap great than US$ 3bn, the strategy:

► Screens for quality using metrics on profitability, debt, cashflow, and operational efficiency

► Measures balance sheet strength by looking at amount of debt relative to assets

► Chooses companies with an expected dividend yield of at least 4%**

Did you know?Performance pushes passive (% of active managers outperforming) 1Y 10Y

Global Div 47% 4%Source: Morningstar & Bloomberg data from 31/12/2006 to 31/12/2016.Past performance is not a reliable indicator of future results.* Source: Lyxor International Asset Management, as at 31/07/2017.

Past performance is not a reliable indicator of future results.** Upon quarterly index rebalance, and in order to maintain sufficient diversification

(i.e. minimum number of stocks), rule may be relaxed to a dividend yield of 3.5%.



Source: SG Cross Asset Research/Equity Quant, MSCI, Factset. Data as at July 2017. Past performance is not a reliable indicator of future results.

How dividends look today


Index Number of stocks Top 3 sectors Top 3

countries

Current dividend

yield

1Y return

5Y return

1Y annual.

vol

5Y annual.

vol

SG Global Quality Income NTR Index

75Utilities 24.3%Telecommunication 17.6%Energy 14.8%

US 25.3%Australia 13.1%Canada 10.8%

4.84% 0.51% 43.52% 8.41% 10.73%

MSCI Daily TR Net World USD

1,654Financials 19.1%Information Technology 15.9%Consumer Discretionary 12.4%

US 57.1%Japan 8.7%UK 6.9%

2.43% 16.12% 73.32% 6.92 % 10.73%


Asia Pacific ex Japan Europe Japan North America

Mar

ket c

ap %

of t

otal

4%

+ u

nive

rse

Oct

-95

Oct

-96

Oct

-97

Oct

-98

Oct

-99

Oct

-00

Oct

-01

Oct

-02

Oct

-03

Oct

-04

Oct

-05

Oct

-06

Oct

-07

Oct

-08

Oct

-09

Oct

-10

Oct

-11

Oct

-12

Oct

-13

Oct

-14

Oct

-15

Oct

-16

60

50

40

30

20

10

0

Regional Composition of the 4%+ Dividend Yield Universe (by Market Cap)

*Source: Lyxor International Asset Management, as at 31/07/2017. Lowest cost global quality income ETF is in relation to the European ETF market. Efficiency measured over a one year period. The rationale and construction of the efficiency measure are detailed in an academic paper published by Thierry Roncalli, former Head of Research & Development at Lyxor and Professor of Finance at the Evry University, and Marlene Hassine Konqui, ETF strategist. The academic paper can be downloaded from SSRN: http://ssrn.com/abstract=2212596 or from REPEC http://ideas.repec.org/p/pra/mprapa/44298.html Past performance is not a reliable indicator of future results.

Why Lyxor for global yield staples?

#1 #1 #1Purest quality income exposure

Lowest cost exposure*

Most efficient quality income ETF*

13

Emerging market debtEMD► Hard currency EMD is one of our favourite fixed income

asset classes

► Greater competitiveness and economic improvements in Latin America and CEEMEA nations add real impetus

► The Fed’s more gradual approach to normalisation and a brighter outlook for China add further support

How the strategy works► The Markit iBoxx $ Liquid Emerging Markets

Sovereigns Index tracks only the most liquid bonds on the market

► 38 securities, denominated in USD, issued by the 20 largest and most liquid EMs

► No direct exposure to China. Focus is on countries like Turkey, Indonesia, Mexico and Brazil

Did you know?

1 in 3 managers outperformed their hard currency benchmarks over one year

Fewer than 1 in 5 have done it over 10 years

Source: Morningstar & Bloomberg data from 31/12/2006 to 31/12/2016.Past performance is not a reliable indicator of future results.



Source: SG Cross Asset Research/IMF

EM fixed income

Index Number of stocks Top 3 countries Yield* Duration

Avg. credit quality


annual. vol

5Y annual.

vol

Markit iBoxx USD Liquid Emerging Markets Sovereigns Mid Price TCA TRI

38Turkey 11.3%Indonesia 11.1%Mexico 9.5%

4.85% 7.97 BBB 1.83% 11.70% 7.55% 6.75%


EM fundamentals are improving

Why Lyxor for EM yield staples?

#1 #1 #1 Best performer*

Lowest TER*

Most efficient*

EM EM Ex China Dev. economies

10

8

6

4

2

0

-2

-4

-6

05 06 07 08 09 10 11 12 13 14 15 16 17 18

GD

P g

row

th (%

, IM

F fo

reca

st fo

r 20

17 a

nd b

eyon

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*Source: Lyxor International Asset Management, as at 31/07/2017. Lowest cost EM debt ETF is in relation to the European ETF market. Efficiency measured over a one year period. The rationale and construction of the efficiency measure are detailed in an academic paper published by Thierry Roncalli, former Head of Research & Development at Lyxor and Professor of Finance at the Evry University, and Marlene Hassine Konqui, ETF strategist. The academic paper can be downloaded from SSRN: http://ssrn.com/abstract=2212596 or from REPEC http://ideas.repec.org/p/pra/mprapa/44298.html Past performance is not a reliable indicator of future results.

15

Lyxor ETF ISIN Main Ticker TER (bp)*

Income Treat-ment

AUM (€M)*

ETF Trading

Currency

Underlying Index

Currency

Bloomberg index ticker

Europe

SG European Quality Income NTR LU0959210278 SGQE FP 45 D 41 EUR EUR SGQENTR

STOXX Europe Select Dividend 30 FR0010378604 SEL IM 30 D 157 EUR EUR SD3R

Euro Corporate Bond FR0010737544 CRPE IM 20 C 1,120 EUR EUR IBXXLMD1

Euro Corporate Bond Ex Financials FR0010814236 CBEF IM 20 C 229 EUR EUR IBXXNFM1

BofA Merrill Lynch € Short Term High Yield Bond

LU1617164998 HYS IM 30 D 30 EUR EUR H1EC

iBoxx EUR Liquid High Yield BB LU1215415214 HYBB IM 35 C 126 EUR EUR IBXXCBB1

BofAML € High Yield Ex-Financial Bond FR0010975771 HY IM 45 D 268 EUR EUR HEDX

US

USD Liquid Investment Grade Corporate Bonds

LU1285959703 USIG IM 9 D 291 USD USD IBXXLMD3

USD Liquid Investment Grade Corporate Bonds EUR Monthly Hedged

LU1285960032 USIH IM 20 D 291 EUR EUR IBXXLIE1

BofA Merrill Lynch $ High Yield Bond LU1435356149 USHY IM 30 D 237 USD USD HUC0

BofA Merrill Lynch $ High Yield Bond EUR Monthly Hedged

LU1435356495 USYH IM 40 D 237 EUR EUR H0CE

BofA Merrill Lynch $ Short Term High Yield Bond

LU1617164055 HYST LN 30 D 39 USD USD H1AC

BofAML $ Short Term High Yield Bond EUR Monthly Hedged

LU1617164212 HYSTH IM 40 D 39 EUR EUR H1AE

FTSE US Quality Low Vol Dividend FR0013235256 BUCK LN 19 D 8.6 USD USD FUSYQVCN

Global

SG Global Quality Income NTR LU0832436512 SGQI FP 45 D 1,160 EUR EUR SGQINTR

Emerging Markets

iBoxx $ Liquid Emerging Markets Sovereigns

FR0010967323 EMKTB IM 30 D 140 USD USD IBXXLES1

iBoxx Liquid Emerging Markets Sovereigns - EUR Monthly Hedged

FR0013217700 EMBH IM 40 D 140 EUR EUR IBXXLES3

Product Snapshot

Source: Lyxor International Asset Management, as at 08/08/2017.


Venture further for yield

With rate rises and tapering top of mind, income seekers could be in for a bumpy ride. We’ve gone further than most to find the world’s best equity and fixed income opportunities. Come and explore our range if you want to avoid the turbulence.

Follow our lead.

The original pioneers.lyxoretf.co.uk

Discover 25 ways to capture income

This communication is for professional clients only.This document is for the exclusive use of investors acting on their own account and categorised either as “Eligible Counterparties” or “Professional Clients” within the meaning of Markets In Financial Instruments Directive 2004/39/EC. These products comply with the UCITS Directive (2009/65/EC). Lyxor International Asset Management (Lyxor ETF) recommends that investors read carefully the “investment risks” section of the product’s documentation (prospectus and KIID). The prospectus and KIID in English are available free of charge on www.lyxoretf.com, and upon request to [email protected]. Lyxor International Asset Management (Lyxor AM), société par actions simplifiée having its registered office at Tours Société Générale, 17 cours Valmy, 92800 Puteaux (France), 418 862 215 RCS Nanterre, is authorized and regulated by the Autorité des Marchés Financiers (AMF) under the UCITS Directive and the AIFM Directive (2011/31/EU). Lyxor ETF is represented in the UK by Lyxor Asset Management UK LLP, which is authorised and regulated by the Financial Conduct Authority in the UK under Registration Number 435658.

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This document together with the prospectus and/or more generally any information or documents with respect to or in connection with the Fund does not constitute an offer for sale or solicitation of an offer for sale in any jurisdiction (i) in which such offer or solicitation is not authorized, (ii) in which the person making such offer or solicitation is not qualified to do so, or (iii) to any person to whom it is unlawful to make such offer or solicitation. In addition, the shares are not registered under the U.S Securities Act of 1933 and may not be directly or indirectly offered or sold in the United States (including its territories or possessions) or to or for the benefit of a U.S Person (being a “United State Person” within the meaning of Regulation S under the Securities Act of 1933 of the United States, as amended,

and/or any person not included in the definition of “Non-United States Person” within the meaning of Section 4.7 (a) (1) (iv) of the rules of the U.S. Commodity Futures Trading Commission). No U.S federal or state securities commission has reviewed or approved this document and more generally any documents with respect to or in connection with the fund. Any representation to the contrary is a criminal offence.

This document is of a commercial nature and not of a regulatory nature. This document does not constitute an offer, or an invitation to make an offer, from Société Générale, Lyxor Asset Management (together with its affiliates, Lyxor AM) or any of their respective subsidiaries to purchase or sell the product referred to herein.

These funds include a risk of capital loss. The redemption value of this fund may be less than the amount initially invested. The value of this fund can go down as well as up and the return upon the investment will therefore necessarily be variable. In a worst case scenario, investors could sustain the loss of their entire investment.

This document is confidential and may be neither communicated to any third party (with the exception of external advisors on the condition that they themselves respect this confidentiality undertaking) nor copied in whole or in part, without the prior written consent of Lyxor AM or Société Générale. The obtaining of the tax advantages or treatments defined in this document (as the case may be) depends on each investor’s particular tax status, the jurisdiction from which it invests as well as applicable laws. This tax treatment can be modified at any time. We recommend to investors who wish to obtain further information on their tax status that they seek assistance from their tax advisor. The attention of the investor is drawn to the fact that the net asset value stated in this document (as the case may be) cannot be used as a basis for subscriptions and/or redemptions.

The market information displayed in this document is based on data at a given moment and may change from time to time.

Authorizations: Lyxor International Asset Management (Lyxor AM) is a French management company authorized by the Autorité des marchés financiers and placed under the regulations of the UCITS (2009/65/EC) and AIFM (2011/61/EU) Directives.

Société Générale is a French credit institution (bank) authorised by the Autorité de contrôle prudentiel et de résolution (the French Prudential Control Authority.

CONFLICTS OF INTEREST This research contains the views, opinions and recommendations of Lyxor International Asset Management (“LIAM”) Cross Asset and ETF research analysts and/or strategists. To the extent that this research contains trade ideas based on macro views of economic market conditions or relative value, it may differ from the fundamental Cross Asset and ETF Research opinions and recommendations contained in Cross Asset and ETF Research sector or company research reports and from the views and opinions of other departments of LIAM and its affiliates. Lyxor Cross Asset and ETF research analysts and/or strategists routinely consult with LIAM sales and portfolio management personnel regarding market information including, but not limited to, pricing, spread levels and trading activity of ETFs tracking equity, fixed income and commodity indices. Trading desks may trade, or have traded, as principal on the basis of the research analyst(s) views and reports. Lyxor has mandatory research policies and procedures that are reasonably designed to (i) ensure that purported facts in research reports are based on reliable information and (ii) to prevent improper selective or tiered dissemination of research reports. In addition, research analysts receive compensation based, in part, on the quality and accuracy of their analysis, client feedback, competitive factors and LIAM’s total revenues including revenues from management fees and investment advisory fees and distribution fees.

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