istoxx R Europe Minimum Variance Index NR

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1 1 istoxx R Europe Minimum Variance Index NR Rebalancing Report - 19-Jun-2017 Stock Statistics istoxx R Europe Minimum Variance Index NR rebalances each third Friday of the month.the new composition is implemented at the opening of the next business day after the third Friday - usually the next Monday. The weights are computed using closing prices three days prior to the third Friday. Both the istoxx R Europe Minimum Variance Index NR and the benchmark Stoxx Europe 600 Index NR are computed in EUR. The calculations in the document are performed by Ossiam using Stoxx/Datastream source. The number of constituents in the index decreased from 83 to 78. The Turnover is 41.59%, higher than its historical mean at 36.44%. The weight of the Index Core Portfolio decreased from 93.25% to 89.08%. Characteristics 19-Jun-2017 Number of Stocks 78 Added Stocks 9 Deleted Stocks 14 Core Number 69 Old weight of Core 93.25% New weight of Core 89.08% Turnover 41.59% Historical Turnover 36.44% Added and deleted stocks are relative to 19- Jun The Core is defined as the subset of stocks that belong to the current as well as the previous composition. Volatility/Weight profile The chart on the right shows the distribution of the new istoxx R Europe Minimum Variance Index NR composition on 19-Jun-2017 in terms of annualized volatility (x-axis) and weight (y-axis). Volatility computed over 125 days ending on 13-Jun On the upper left corner we find low volatile stocks with big weight in the index. On the lower right corner we find high volatile stocks with low weight in the index. These stocks usually enter the index for diversification purposes. We distinguish between Core index and added stocks to appreciate how these newly added stock are positioned in terms of volatility and weight.

2 2 Sector Allocation The most significant changes in sector exposures are: 7.32% for C.Services, -5.12% for Industrials, 4.18% for HealthCare. The biggest sector exposures are: 17.15% for C.Goods, 17.02% for Financials, 16.16% for Industrials. Close Open Diff. C.Goods 19.18% 17.15% -2.03% C.Services 8.22% 15.54% 7.32% Financials 16.95% 17.02% 0.07% HealthCare 5.82% 10.00% 4.18% Industrials 21.27% 16.16% -5.12% Materials 9.55% 7.34% -2.21% Oil - Gas 2.03% 3.24% 1.21% Technology 4.76% 1.75% -3.01% Telecom. 4.25% 4.07% -0.18% Utilities 7.95% 7.73% -0.22% The left-hand side of the chart below shows the sector deviations at rebalancing. Differences are shown on the right-hand side. Index weights are taken as of 16-Jun-2017 (last business day before the new composition is implemented) compared to the new rebalancing weights as of 19-Jun Sector breakdown vs. benchmark The istoxx R Europe Minimum Variance Index NR overweights C.Services (8.63%) and Utilities (3.68%) compared to Stoxx Europe 600 Index NR. The istoxx R Europe Minimum Variance Index NR underweights Financials (-5.47%) and Oil - Gas (-2.39%) compared to Stoxx Europe 600 Index NR. Vol. B S Diff. B S C.Goods 18.67% 17.15% -1.52% 11.81% 9.48% C.Services 6.91% 15.54% 8.63% 12.69% 8.65% Financials 22.49% 17.02% -5.47% 15.85% 9.37% HealthCare 12.33% 10.00% -2.33% % 10.99% Industrials 14.60% 16.16% 1.55% 12.99% 9.48% Materials 7.36% 7.34% -0.03% 15.10% 17.42% Oil - Gas 5.63% 3.24% -2.39% 13.68% 12.90% Technology 4.05% 1.75% -2.29% 13.30% 11.03% Telecom. 3.90% 4.07% 0.17% 13.86% 9.75% Utilities 4.05% 7.73% 3.68% 12.85% 11.02% The table below shows, for each sector, the weight in the istoxx R Europe Minimum Variance Index NR (S), in the benchmark Stoxx Europe 600 Index NR (B) and their difference. We also show the annualized volatility of each sector in the istoxx R Europe Minimum Variance Index NR and in the benchmark. Annualized volatilities are computed using 125 business days ending on 13-Jun-2017

3 3 Country Allocation The most significant changes in country exposures are: 5.31% for GB, -4.16% for FR, 3.49% for DK. The biggest country exposures are: 28.09% for CH, 21.76% for GB, 14.34% for DE. Close Open Diff. BE 0.30% 0.13% -0.17% CH 31.30% 28.09% -3.22% DE 15.53% 14.34% -1.18% DK 1.67% 5.15% 3.49% ES 8.28% 6.97% -1.31% FI 3.14% 3.64% 0.50% FR 14.43% 10.27% -4.16% GB 16.45% 21.76% 5.31% NL 5.93% 7.03% 1.11% SE 2.98% 2.61% -0.37% The left-hand side of the chart below shows the country deviations at rebalancing. Differences are shown on the right-hand side. Index weights are taken as of 16-Jun-2017 (last business day before the new composition is implemented) compared to the new rebalancing weights as of 19-Jun Country breakdown vs. benchmark The istoxx R Europe Minimum Variance Index NR overweights CH (14.79%) and DK (2.41%) compared to Stoxx Europe 600 Index NR. The istoxx R Europe Minimum Variance Index NR underweights GB (-6.04%) and FR (-5.94%) compared to Stoxx Europe 600 Index NR. Vol. B S Diff. B S AT 0.40% 0.00% -0.40% 16.73% 0.00% BE 1.86% 0.13% -1.72% 12.05% 14.07% CH 13.30% 28.09% 14.79% % 8.82% CZ 0.07% 0.00% -0.07% 11.77% 0.00% DE 14.85% 14.34% -0.51% 12.36% 9.66% DK 2.75% 5.15% 2.41% 13.86% 15.89% ES 5.28% 6.97% 1.69% 14.95% 11.65% FI 1.76% 3.64% 1.88% 14.16% 11.30% FR 16.21% 10.27% -5.94% 13.05% 9.93% GB 27.81% 21.76% -6.04% 13.39% 9.38% IE 0.95% 0.00% -0.95% 15.26% 0.00% IT 3.85% 0.00% -3.85% 19.65% 0.00% LU 0.28% 0.00% -0.28% 23.26% 0.00% NL 4.85% 7.03% 2.18% 13.83% 9.38% NO 0.93% 0.00% -0.93% 16.64% 0.00% PT 0.23% 0.00% -0.23% 14.50% 0.00% SE 4.64% 2.61% -2.03% 13.82% 11.81% The table below shows, for each country, the weight in the istoxx R Europe Minimum Variance Index NR (S), in the benchmark Stoxx Europe 600 Index NR (B) and their difference. We also show the annualized volatility of each country in the istoxx R Europe Minimum Variance Index NR and in the benchmark. Annualized volatilities are computed using 125 business days ending on 13-Jun-2017

4 Added Stocks The rebalancing has added 9 new stocks. In the table below, T is the current rebalancing date (19-Jun-2017), while T-1 is the previous rebalancing date (22-May- 2017). Vol(T-1) and Vol(T) are the annualized volatilities computed over 125 business days ending, respectively, on 16-May-2017 and 13-Jun The average daily volumes ADV(T-1) and ADV(T), expressed in mln EUR, are computed over 50 business days ending on the same dates as before, with the relative ranking over the benchmark Stoxx Europe 600 Index NR. Finally, WW(T) is the stock weight at the current rebalancing date. Vol ADV Sector Country T-1 T WW(T) T-1 T B LF EU BANKIA SA Financials ES 28.16% 25.13% 0.20% 34.31(222) 37.76(211) Y Y Y CARNIVAL PLC. C.Services GB 17.54% 15.86% 0.09% 40.21(189) 41.18(191) Y Y Y COMPASS GROUP PLC. C.Services GB 16.44% 11.93% 1.69% 66.50(121) 72.46(108) Y Y Y DEUTSCHE WOHNEN AG Financials DE 19.06% 16.38% 0.50% 29.71(255) 29.48(258) Y Y Y DSV A/S Industrials DK 14.07% 14.62% 1.21% 22.52(314) 25.25(295) Y N N H LUNDBECK A/S HealthCare DK 23.75% 23.72% 2.81% 17.88(373) 30.84(249) Y N N ICTL.HOTELS GROUP PLC. C.Services GB 16.20% 14.77% 0.24% 29.78(254) 30.27(251) Y Y Y SKY PLC. C.Services GB 41.51% 9.73% 4.16% 54.13(142) 48.02(158) Y Y Y STRAUMANN HLDG.AG HealthCare CH 18.61% 17.21% 0.02% 18.82(367) 29.95(253) Y N N The Column B shows whenever the added stock was in the Stoxx Europe 600 Index NR selection as of 22-May The columns LF/EU show whenever the stock was selected by the liquidity filter/eligible universe as of 22-May

5 Deleted Stocks The rebalancing has deleted 14 new stocks. In the table below, T is the current rebalancing date (19-Jun-2017), while T-1 is the previous rebalancing date (22-May- 2017). Vol(T-1) and Vol(T) are the annualized volatilities computed over 125 business days ending, respectively, on 16-May-2017 and 13-Jun The average daily volumes ADV(T-1) and ADV(T), expressed in mln EUR, are computed over 50 business days ending on the same dates as before, with the relative ranking over the benchmark Stoxx Europe 600 Index NR. Finally, WW(T-1) is the stock weight at the previous rebalancing date. Vol ADV Sector Country T-1 T WW(T-1) T-1 T B LF EU AMADEUS IT GROUP Industrials ES 12.98% 15.54% 1.31% 36.91(204) 41.56(188) Y Y Y ATOS Technology FR 16.02% 17.02% 0.97% 37.05(203) 35.96(221) Y Y Y CLARIANT AG Materials CH 14.08% 15.90% 1.04% 31.93(234) 61.04(127) Y Y Y DANONE C.Goods FR 13.62% 13.69% 0.53% (68) (59) Y Y Y DEUTSCHE TELEKOM AG Telecom. DE 13.76% 13.52% 0.11% (41) (35) Y Y Y GALAPAGOS HealthCare BE 23.95% 24.48% 0.29% 34.28(223) 37.88(210) Y Y Y ILIAD SA Technology FR 17.88% 17.52% 0.86% 25.50(286) 23.89(312) Y N N INVESTOR AB Financials SE 13.69% 13.45% 0.09% 47.30(165) 47.66(162) Y Y Y KONINKLIJKE DSM Materials NL 15.34% 15.07% 0.19% 45.71(169) 43.53(178) Y Y Y MERCK KGAA HealthCare DE 15.23% 15.32% 0.21% 43.43(178) 39.96(198) Y Y Y MICHELIN C.Goods FR 15.53% 16.28% 0.38% 60.98(130) 64.97(122) Y Y Y MICRO FOCUS INTL.PLC. Technology GB 20.82% 21.72% 0.62% 35.72(213) 38.81(205) Y Y Y NN GROUP Financials NL 20.48% 20.96% 0.06% 33.91(225) 36.20(220) Y Y Y SKF AB Industrials SE 19.52% 20.15% 0.07% 50.90(151) 53.37(144) Y Y Y The Column B shows whenever the deleted stock was in the Stoxx Europe 600 Index NR selection as of 19-Jun The columns LF/EU show whenever the stock was selected by the liquidity filter/eligible universe as of 19-Jun

6 Ranking Index Constituents - Top 25 The table shows the top 25 positions in the istoxx R Europe Minimum Variance Index NR as of 19-Jun The column WW indicates the weights in the istoxx R Europe Minimum Variance Index NR as of 19-Jun The column Vol gives the annualized volatility computed over 125 business days ending on 13-Jun We also provide the ranking of these volatilities (Rank Vol) relative to the Filtered Selection at the rebalancing date. The column Corr gives the average correlation of each stock relative to the rest of the filtered selection, computed over 500 business days ending on 13-Jun We also provide the ranking of these correlations (Rank Corr) relative to the Filtered Selection at the rebalancing date. The Rank Blend is computed as 66% Rank Vol + 34% Rank Corr. The lower the stock s Rank Blend, the higher the likelihood that the stock will be overweighted in the Index. Finally, the column Core shows whether the stock was in the istoxx R Europe Minimum Variance Index NR already (YES) or it entered at this rebalancing (NO). Sector Country WW Vol Rank Vol Corr Rank Corr Rank Blend Core RANDGOLD RESOURCES LTD. Materials GB 4.34% 28.62% % YES SKY PLC. C.Services GB 4.16% 9.73% % 3 4 NO PARTNERS GROUP HOLDING Financials CH 3.66% 10.83% % YES RELX PLC. C.Services GB 2.81% 9.11% % YES H LUNDBECK A/S HealthCare DK 2.81% 23.72% % NO RELX NV C.Services NL 2.79% 9.37% % YES SGS SA Industrials CH 2.71% 10.37% % YES SONOVA HOLDING AG HealthCare CH 2.63% 12.03% % YES SWISSCOM Telecom. CH 2.49% 9.95% % YES KUEHNE+NAGEL INTL.G Industrials CH 2.33% 11.42% % YES GEBERIT AG Industrials CH 2.29% 10.94% % YES HENKEL AG & CO.KGAA C.Goods DE 2.28% 11.51% % YES HEINEKEN NV C.Goods NL 2.25% 11.30% % YES BEIERSDORF AG C.Goods DE 2.13% 11.11% % YES NESTLE AG C.Goods CH 2.13% 10.64% % YES SAMPO OYJ Financials FI 1.99% 11.57% % YES MUNCHENER RUCK.GESELL.AG Financials DE 1.95% 11.95% % YES ROYAL DUTCH SHELL Oil - Gas GB 1.81% 13.18% % YES HERMES INTERNATIONAL C.Goods FR 1.77% 13.27% % YES ZURICH INSURANCE GP.AG Financials CH 1.77% 11.60% % YES SAP AG Technology DE 1.75% 11.03% % YES COMPASS GROUP PLC. C.Services GB 1.69% 11.93% % NO VONOVIA SE Financials DE 1.67% 13.17% % YES FORTUM OYJ Utilities FI 1.65% 14.55% % YES SWISS RE AG Financials CH 1.64% 11.17% % YES 6

7 7 DISCLAIMERS This document is of a commercial and not of a regulatory nature. Ossiam, a subsidiary of Natixis Global Asset Management, is a French asset manager authorized by the Autorité des Marchés Financiers (Agreement No. GP ). Although information contained herein is from sources believed to be reliable, Ossiam makes no representation or warranty regarding the accuracy of any information of which it is not the source. The information presented in this document is based on market data at a given moment and may change from time to time. This material has been prepared solely for informational purposes only and it is not intended to be and should not be considered as an offer, or a solicitation of an offer, or an invitation or a personal recommendation to buy or sell participating shares in any Ossiam Fund, or any security or financial instrument, or to participate in any investment strategy, directly or indirectly. It is intended for use only by those recipients to whom it is made directly available by Ossiam. Ossiam will not treat recipients of this material as its clients by virtue of their receiving this material. This material reflects the views and opinions of the individual authors at this date and in no way the official position or advices of any kind of these authors or of Ossiam and thus does not engage the responsibility of Ossiam nor of any of its officers or employees. Past performance is not a guide to future performance. Any opinions expressed herein are statements of our judgment on this date and are subject to change without notice. Ossiam assume no fiduciary responsibility or liability for any consequences, financial or otherwise, arising from, an investment in any security or financial instrument described herein or in any other security, or from the implementation of any investment strategy. This information contained herein is not intended for distribution to, or use by, any person or entity in any country or jurisdiction where to do so would be contrary to law or regulation or which would subject Ossiam to any registration requirements in these jurisdictions. The risks associated with the Fund and the Index are detailed in the General Risk Considerations section of the Prospectus, available in English on Investments decision should only be made on the basis of the Prospectus. Investors should also be well informed about the main characteristics of the Index (number of stocks, sector and or country breakdown, past evolution...) in order to have an overview of the risks and opportunities related to an exposure to the Index. The STOXX R Indices and the data composed therein (the Index Data) are the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland (STOXX) and/or its licensors (the STOXX Licensors). The use of the Index Data requires a license from STOXX. STOXX and the STOXX Licensors do not make any warranties or representations, express or implied with respect to the timeliness, sequency, accuracy, completness, currentness, merchantability, quality or fitness for any particular purpose of the Index Data. In particular, the inclusion of a company in a STOXX R Index does not in any way reflect an opinion of STOXX or the STOXX Licensors on the merits of that company. STOXX and the STOXX Licensors are not providing investment, tax or other professional advice through the publication of the STOXX R Indices or in connection there with STOXX and its licensors have no relationship to Ossiam, other than the licensing of the istoxx R Europe Minimum Variance Index and the related trademarks for use in connection with OSSIAM ETF indexed to the Index. STOXX and its Licensors do not sponsor, endorse, sell or promote the OSSIAM UCITS ETF istoxx Europe Minimum Variance Index NR. This material may not be distributed, published, or reproduced, in whole or in part.