LYXOR INTERNATIONAL ASSET MANAGEMENT (LIAM) LYXOR ETF FTSE EPRA/NAREIT UNITED STATES

Transcription

1 LYXOR INTERNATIONAL ASSET MANAGEMENT (LIAM) LYXOR ETF FTSE EPRA/NAREIT UNITED STATES FISCAL YEAR ENDING ON:

2 Information on the investments and management... 3 Activity s report... 8 Auditor's report Annual accounts Balance sheet Assets Liabilities Contents Offbalance sheet commitments Profit and loss account Appendix Accounting rules and methods Evolution of the net assets Information supplements UCITS inventory MF Annual report Fiscal year ending on:

3 Investment company Depository and Custodian Underwriters Statutory auditors LYXOR INTERNATIONAL ASSET MANAGEMENT 17, cours Valmy Puteaux. SOCIÉTÉ GÉNÉRALE Paris Cedex 18. SOCIÉTÉ GÉNÉRALE Paris Cedex 18. KPMG 1, cours Valmy Paris La Défense Cedex. Signatory: Pascal LAGAND. INFORMATION ON THE INVESTMENTS AND MANAGEMENT Classification: International equities. The MF is indexbased. Income determination and allocation terms: Unit DEUR and unit DUSD: The management company reserves the right to distribute and/or capitalise all or part of the revenues one or more times each year. Unit CUSD: Capitalisation. Management objective: The objective of this MF is to replicate the upward or downward movement of the FTSE EPRA/NAREIT United States Index Net TRI (cf. section Benchmark Indicator ) that represents building societies listed on the American market, while insofar as possible minimizing the tracking error between the MF s performances and those of the FTSE EPRA/NAREIT United States Index Net TRI. The tracking error objective, calculated over a period of 52 weeks, is less than 1%. Should the tracking error nevertheless be higher than 1%, the objective is still to remain below 5% of the volatility of the FTSE EPRA/NAREIT United States Index Net TRI index. Benchmark indicator: FTSE EPRA/NAREIT United States Index Net TRI (Net Total Return net dividends reinvested), listed in US dollars (USD). Description of the Index The FTSE EPRA/NAREIT United States Index Net TRI is an index that represents companies listed on the American market which are active in the real estate sector. It is made up of listed companies divided into 2 subsectors: Real Estate Investment Companies, irrespective of their segment (office properties, industrial parks, commercial, residential or diversified properties), Real estate promotion and management companies. The monitored performance is that of the index closing prices. Investment strategy: 1. Strategy employed The MF will comply with the investment rules dictated by the European directive no. 2009/65/EC dated 13 July In pursuit of the greatest possible correlation with the performance of the FTSE EPRA/NAREIT United States Index Net TRI index, the MF will undertake (i) the purchase of a basket of balance sheet assets (as defined below) and notably international equities, and/or (ii) a forward swap contract traded overthecounter that will allow the MF to reach its management objective, if relevant, by transforming the exposure to its assets into an exposure to the FTSE EPRA/NAREIT United States Index Net TRI index MF Annual report Fiscal year ending on:

4 If necessary, the shares held as assets by the MF will notably be shares that make up the FTSE EPRA/NAREIT United States Index Net TRI index, as well as other international shares, from all economic sectors, listed on all markets, including the small capitalisation markets. In this case, the shares held as assets by the MF will be chosen in order to limit the costs linked to the replication of the index. In compliance with the provisions of article R II of the Monetary and Financial Code, the MF can, for the purpose of attaining its management objective, receive or grant the guarantees indicated in article L of the Monetary and Financial Code, under the conditions defined in this same article, as well as receive joint and several sureties or first demand guarantees. In keeping with this regulatory framework, the MF can notably receive, as pledges, financial instrument accounts as a guarantee for commitments received by the MF. As part of the management of the basket of shares, the MF benefits from the exceptional ratios of the indexbased UCITS: it can use up to 20% of its assets to acquire shares and debt instruments from a single issuing entity. This 20% limit can be increased to 35% for a single issuing entity when this proves to be justified by exceptional conditions within the market, notably when certain securities are heavily dominant. In the present case, the manager intends to primarily use the following assets: 2. Balance sheet assets (excluding integrated derivatives) The MF may hold, in compliance with the ratios contained in the regulation, international shares (from all economic sectors, listed on all markets), for up to 100% of the net assets. For up to 10% of its net assets, the fund can invest in the assets of UCITS that comply with Directive 2009/65/EC and/or UCITS eligible within the meaning of article R21413 of the Monetary and Financial Code. As part of a future optimisation of the MF s management, the manager reserves the right to use other instruments within the limits of the regulations in order to achieve the management objective. When the company acquires units of another fund directly or indirectly managed by itself or by a company with which it is related as part of common management or control or by a direct or indirect participation with more than 10% of the capital or voting rights, no commission can be deducted from the MF s assets relative to such investments. The company can also not debit the fund for the possible issue or redemption commissions of the related underlying funds. 3. Offbalance sheet assets (derivative instruments) The MF will have recourse to indexlinked swaps negotiated overthecounter, exchanging the value of the securities held as assets by the MF (or of any other financial instrument or asset held by the MF, where appropriate) against the value of the FTSE EPRA/NAREIT United States Index Net TRI index. As part of a future optimisation of the MF management, the manager reserves the right to use other instruments within the limits of the regulations, such as to reach the management objective, for example including forward financial instruments other than indexlinked swaps. This contract can be negotiated with the Société Générale, without open competition involving several counterparties. In order to limit the risk that such instruments might not be carried out under the best conditions, the Société Générale has accepted to include the MF in the professional customer category, which is more protective than the eligible counterparty category. When there is no open competition between several counterparties, the manager also requires the Société Générale to contractually commit to undertaking all reasonable measures in order to obtain, when placing orders, the best possible result for the MF, in compliance with article L of the [French] Monetary and Financial Code. 4. Securities with integrated derivatives None. As part of a future optimisation of the MF management, the manager reserves the right to use other instruments within the limits of the regulations in order to reach the management objective, for example including debt securities with integrated derivatives. 5. Deposits Up to a maximum of 20% of its net assets, the MF can have recourse to deposits with lending institutions belonging to the same group as the depositary in order to optimise its cash management MF Annual report Fiscal year ending on:

5 6. Cash borrowing Up to a maximum of 10% of its net assets, the MF can turn temporarily to borrowing, notably in order to optimise its cash management. 7. Temporary stock acquisition and sale operations None. For the purposes of an efficient management of the MF, the manager reserves the right to carry out temporary securities acquisition and sale operations, including for example: repurchase agreements; lending and borrowing of debt securities, equity securities and money market instruments, in accordance with the provisions of article R21418 of the [French] Monetary and Financial Code. These operations will be all performed according to market conditions. Risk profile: The bearer's money will primarily be invested in financial instruments selected by the management company. These instruments will be subject to the vagaries of the markets. Through the MF, the bearer is primarily exposed to the following risks: 1. Equity risk A share price can vary upward or downward, and it notably reflects the changing risks related to the issuing company or the economic situation of the corresponding market. The equity markets are more volatile than the rate markets, in which it is possible, over a given period and with equal macroeconomic conditions, to estimate the earnings. 2. Risk related to low diversification of the index The reference index to which the investors are exposed covers a given region, area or strategy and therefore does not necessarily allow for as broad a diversification of the assets as would be the case of an index that is exposed to several regions, sectors or strategies. The exposure to an index with such low diversification can result in greater volatility than in more diversified markets. Nevertheless, the diversification rules resulting from the UCITS standards always apply to the MF s underlyings. 3. Capital loss risk The capital initially invested is not guaranteed. The investor consequently runs the risk of loss of the capital. The entire or part of the amount initially invested may not be recovered, notably should the performance of the benchmark index be negative over the investment period. 4. Liquidity risk (primary market) Should the MF (or one of its counterparties for future financial instrument (FFI)) adjust its exposure and the markets related to this exposure are then limited, closed or subject to significant purchase / sale price discrepancies, the value and/or liquidity of the MF could be negatively affected. Should low volumes of exchanges result in an inability to carry out transactions linked to the replication of the index, this can also have consequences on the processes related to the subscription, conversion or redemption of units. 5. Liquidity risk on a place of listing The MF s share price can deviate from its indicative net asset value. The liquidity of the MF s units or equities on a place of listing can be affected by any suspension, that could notably be due to: i) suspension or stoppage of the calculation of the index, and/or ii) suspension of the market(s) of the underlyings used by the benchmark index, and/or iii) the impossibility for a given place of listing to obtain or calculate the MF s indicative net asset value, and/or iv) a market maker s violation of the rules applicable to this marketplace, and/or v) a failure of this marketplace s IT or electronic systems. 6. Counterparty risk The MF is exposed to the risk of bankruptcy, payment default or any other type of default of any counterparty with which it has entered into a contract or transaction. It is particularly exposed to the counterparty risk resulting from its use of Future financial instruments ( FFI ) traded overthecounter with Société Générale or with any other counterparty. In compliance with the UCITS regulations, the counterparty risk (whether this counterparty is the Société Générale or any other entity) cannot exceed 10% of the total value of the MF s assets MF Annual report Fiscal year ending on:

6 7. Risk that the management objective may only be partially reached Nothing guarantees that the management objective will be reached. Indeed, no asset or financial instrument will allow an automatic and continuous replication of the benchmark indicator, notably should one or more of the following risks arise. Risk related to the use of derivative instruments In order to reach its investment objective, the MF uses future financial instruments ( FFI ) negotiated overthecounter, that can notably take the form of swap contracts that will allow it to obtain the performance of the benchmark index. These FFIs can result in a series of risks on the level of the FFIs that notably include: counterparty risk, event affecting the hedging, event affecting the index, risk related to the tax regime, risk related to the regulations, operational risk and liquidity risk. These risks can directly affect a FFI and can result in the adjustment and/or early termination of the FFI transaction, which could affect the MF s net asset value. Risk related to a change of the tax regime Any change to the tax legislation in any of the countries in which the MF is established, authorised for marketing or listed can affect the tax treatment of the investors. In this case, the MF s manager assumes no liability relative to investors with regard to the payments having to be made to any competent tax authority. Risk related to a change of the tax regime affecting the underlyings Any change of the tax legislation applicable to the MF s underlyings can affect the MF s tax treatment. Consequently, in case of divergence between the anticipated tax treatment and the one actually applied to the MF (and/or to its counterparty in the FFI), the MF s net asset value may be affected. Risk related to regulations In case of change of the regulations in any country in which the MF is established, authorised for marketing or listed, the processes for the subscription, conversion and redemption of the units may be affected. Risk related to the regulations applicable to the underlyings In case of change of the regulations applicable to the MF s underlyings, the MF s net asset value can be affected, as can the processes for the subscription, conversion and redemption of the units. Risk related to events affecting the index In case of events affecting the benchmark index, the manager may, under the conditions and limits of the applicable legislation, have to suspend the subscription and redemption of MF units. The calculation of the MF s net asset value can also be affected. If the event persists, the MF s manager will decide on measures having to be adopted, which can have an impact on the MF s net asset value. Events affecting the index are understood to mean the following situations: i) the index is considered to be incorrect or not reflective of the market s actual evolution, ii) the index is definitively discontinued by its supplier, iii) the supplier of the index is incapable of providing the level or value of the said index, iv) the supplier of the index makes a significant change to its formula or calculation method (other than a minor modification such as the adjustment of the underlyings used with this index or of the respective weightings between its various components), that cannot be effectively replicated by the MF at a reasonable cost. Operational risk In case of an operational failure within the management company or of one of its representatives, investors may incur delays in the processing of subscriptions, conversions and redemptions of the units, or other disturbances. Securities transaction risk Should the issuer of a security underlying the index undertake an unanticipated review of a securities transaction ( ST ), that contradicts a prior and official announcement that had resulted in a valuation of the ST by the MF (and/or in a valuation of the ST by the MF s counterparty in a future financial instrument), the MF s net asset value may be affected, notably should the actual treatment of the ST by the MF differ from the ST s treatment in the methodology used by the benchmark index MF Annual report Fiscal year ending on:

7 8. Exchange risk linked to the class of units DEUR (EUR/USD) The abovementioned class of units is exposed to an exchange risk to the extent that it is listed in a currency other than that of the index. The net asset value of the abovementioned class of units can therefore decrease due to fluctuating exchange rates even though the value of the benchmark index has increased. Subscribers concerned and typical investor profile: The MF is open to any subscriber. An investor subscribing to this MF wishes to obtain an exposure to the market of equities of companies investing in the American real estate market. The amount that it is reasonable to invest in this MF depends on each investor s personal situation. To determine this amount, the investor must take into account his/her personal wealth and/or estate, cash requirements at the present and for five years, but also his/her desire to take risks or, on the contrary, to prefer a cautious investment. It is also highly recommended to sufficiently diversify one s investments so as to avoid an exposure only to this MF s risks. Investors are therefore recommended to study their individual situations with their usual estate management advisers. The minimum recommended investment duration is greater than 5 years. Indications on the tax treatment: Investors should take note that the following information constitutes only a general summary of the tax regime applicable to an investment in a French MF, under the current French tax legislation. Investors are therefore requested to study their personal situations with their usual tax advisers. Units DEUR (only): France The MF can serve as the support for a life insurance contract denominated in account units. 1. ON THE LEVEL OF THE MF In France, the coownership status of MFs (FCP) means that they are automatically exempt from corporate tax; by nature, they therefore benefit from a certain degree of transparency. As such, the earnings collected and generated by the MF through its management are not taxable at the level of the MF itself. Abroad (in countries in which the MF is invested), capital gains on the disposal of foreign transferable securities and foreign income received by the MF as part of its management may, if relevant, be subject to tax (generally in the form of a withholding tax). In certain limited cases, the foreign taxation can be reduced or cancelled in the presence of tax agreements that may be applicable. 2. ON THE LEVEL OF THE BEARERS OF MF UNITS 2.1 Bearers residing in France Collected revenues and generated capital gains are taxable under the ordinary law conditions. Investors are invited to study their personal situations with their usual tax advisers. 2.2 Bearers not residing in France Subject to any applicable tax agreements, income distributed by the MF may, in certain circumstances, be subject to a levy or withholding tax in France. Pursuant to article 244 bis C of the General Tax Code, capital gains on the redemption / disposal of MF units are not taxable in France. Bearers residing outside of France will be subject to the provisions of the tax legislation applicable in their country of residence. For more details, the complete prospectus can be obtained by requesting it from the management company. The net asset value is available from the head office of Lyxor lnternational Asset Management. The UCITS complete prospectus and the latest annual and periodic documents are sent within one week of the bearer s written request, submitted to Lyxor International Asset Management, 17, cours Valmy Paris La Défense Cedex France. Approval date by the AMF (Financial Markets Authority): 15 December MF creation date: Units DEUR: 2 February Units DUSD: 17 February MF Annual report Fiscal year ending on:

8 Activity s report Data as of 31 May 2012 AMF classification: International equities LYXOR ETF FTSE EPRA/NAREIT UNITED STATES MANAGEMENT REPORT from 31 May 2011 to 31 May 2012 Minimum investment duration Over 5 years Management objective Value code unit DEUR: FR Value code unit DUSD: FR Original net asset value Unit DEUR : Original net asset value Unit DUSD : Net asset value Unit DEUR on 31 May 2011: Net asset value Unit DUSD on 31 May 2011: Net asset value Unit DEUR on 31 May 2012: Net asset value Unit DUSD on 31 May 2012: Performance since the start of the year Unit DEUR : Performance since the start of the year Unit DUSD : Performance since the launch Unit DEUR : Performance since the launch Unit DUSD : Performance Unit DEUR since 31 May 2011: Performance Unit DUSD since 31 May 2011: Fluctuation of the net asset value since inception % 7.70% 68.54% 48.34% 16.86% 0.52% The objective of this MF is to replicate the upward or downward movement of the FTSE EPRA/NAREIT United States Index Net TRI (cf. section Benchmark Indicator ) that represents building societies listed on the American market, while insofar as possible minimizing the tracking error between the MF s performances and those of the FTSE EPRA/NAREIT United States Index Net TRI. The tracking error objective, calculated over a period of 52 weeks, is less than 1%. Should the tracking error nevertheless be higher than 1%, the objective is still to remain below 5% of the volatility of the FTSE EPRA/NAREIT United States Index Net TRI index. Particular events On 6 June 2011: change the name of the units: unit DEUR replaces unit A, unit DUSD replaces unit B. On 20 March 2012: change of the Fund s name: LYXOR ETF FTSE EPRA/NAREIT UNITED STATES replaces LYXOR ETF MSCI USA REAL ESTATE. On 20 March 2012: change of the benchmark index: the MSCI USA Real Estate index becomes FTSE EPRA/NAREIT United States Index Net TRI index MF Annual report Fiscal year ending on:

9 Activity s report (continuation and end) Evolution of the basket since inception Performance Closing price on Initial price on UNIT DEUR 19 March January 2010 higher MSCI USA REAL ESTATE 42.62% Performance Closing price on Initial price on UNIT DUSD 19 March February 2010 higher MSCI USA REAL ESTATE 48.25% Performance Closing price on Initial price on UNIT DEUR 31 May March 2012 lower EPRA/NAREIT US NET $ 1.33% Performance Closing price on Initial price on UNIT DUSD 31 May March 2012 lower EPRA/NAREIT US NET $ 1.33% Explanation of the Net Asset Value The net asset value of the unit DEUR of the LYXOR ETF FTSE EPRA/NAREIT UNITED STATES MF is up by 16.86% over the fiscal year and stands at EUR on 31 May 2012, meaning a performance of the unit DEUR of 68.54% since its launch date. The net asset value of the unit DUSD of the LYXOR ETF FTSE EPRA/NAREIT UNITED STATES MF is up by 0.52% over the fiscal year and stands at USD on 31 May 2012, meaning a performance of the unit D USD of 48.34% since its launch date. The fund replicates the performance of the FTSE EPRA/NAREIT United States Index Net TRI index, listed in US dollars (USD). The objective of the FTSE EPRA/NAREIT United States Index TRI Net Total Return index is to represent the range of listed companies whose main activity involves the American real estate market. This index is showing an evolution of +0.72% over the fiscal year. As the unit DEUR is not valued in the index currency, the evolution of its net asset value is subject to an exchange risk. Over the fiscal year, the USD has climbed by 15.15% against the EUR. Following the summary indexbased management method, the replication of the index is provided via an indexlinked swap. This forward swap contract negotiated overthecounter serves to exchange the value of the shares that comprise the MF s assets for the value of the FTSE EPRA/NAREIT United States Index Net TRI index. On 31 May 2012, the tracking error reached a level of %. In compliance with the UCITS prospectus, as proposed by the investment advisor, the manager traded future financial instruments directly with the Société Générale, without carrying out an open competition between several counterparties. The figures referring to past performance relate to past periods and are not a reliable indicator of future results. Regulatory information Transfer commission (not audited by the auditor) None. Provisions for providing the investors with the various documents and reports relative to the management company s voting policy and its implementation. The voting policy document, the report from the management company on the conditions whereby it exercised the voting rights of the UCITS that it manages and the information relative to the vote on each resolution can, pursuant to article 32275, and of the AMF [Financial Markets Authority] General Regulations, be consulted either on the management company s website or at its head office (upon request). Global exposure of the UCITS Method chosen by the management company to calculate the global exposure of the UCITS : the chosen method is the commitment approach MF Annual report Fiscal year ending on:

10 Auditor's report Mutual fund LYXOR ETF FTSE EPRA/NAREIT UNITED STATES (ex LYXOR ETF MSCI USA REAL ESTATE) 17, cours Valmy Paris La Défense cedex Auditor s report on the annual accounts Fiscal year closing on 31 May 2012 Ladies, Gentlemen, As part of the mission entrusted to us by the fund management company s executive committee, we hereby present our report relative to the fiscal year closing on 31 May 2012 concerning: the verification of the annual accounts of the mutual fund LYXOR ETF FTSE EPRA/NAREIT UNITED STATES (ex LYXOR ETF MSCI USA REAL ESTATE), as they are attached to the present report, the bases of our assessments, the specific verifications and information required by law. The annual accounts have been closed by the management company. It is our duty to express an opinion on these accounts based on our audit. 1. Opinion on the annual accounts We have conducted our audit in accordance with the generally accepted auditing standards in France. These standards require that we apply the procedures necessary to obtain reasonable assurance that the annual financial statements do not include any significant misstatements. An audit involves verifying, by sampling and other selection methods, the elements underlying the amounts and information contained in the annual financial statements. It also involves assessing the implemented accounting principles, the significant estimates that have been used, and assessing the overall presentation of the financial statements. We feel that the collected evidence is sufficient and appropriate for the basis of our opinion MF Annual report Fiscal year ending on:

11 Mutual fund LYXOR ETF FTSE EPRA/NAREIT UNITED STATES (ex LYXOR ETF MSCI USA REAL ESTATE) Auditor s report on the annual accounts 13 September 2012 We certify that, in accordance with French accounting rules and principles, the annual financial statements are truthful and in order, and present a fair picture of the operating profits and losses for the past fiscal year, as well as the financial situation and assets of the UCITS at the end of said fiscal year. 2. Justification of the assessments In application of the provisions of article L.8239 of the [French] Commercial Code relative to the justification of our assessments, we draw your attention to the following elements: As part of our assessment of the accounting principles used by the UCITS and described in the Accounting rules and methods note in the appendix, we have notably verified the correct application of the assessment methods chosen for the financial instruments in the portfolio. The assessments made in this way are in line with our approach for the audit of the annual accounts, taken as a whole, and they therefore contributed to the formulation of our opinion as expressed in the first part of this report. 3. Specific information and audit procedures We have also conducted the auditing procedures required by law, in accordance with the applicable professional standards in France. We have no observations to report regarding the truthfulness or consistency with the annual accounts of the information included in the annual report and in the documents sent to the shareholders concerning the company s situation and annual accounts. Paris La Défense, 13 September 2012 KPMG Audit KPMG S.A. Department (signature) Pascal Lagand Partner MF Annual report Fiscal year ending on:

12 ANNUAL ACCOUNTS MF Annual report Fiscal year ending on:

13 BALANCE SHEET assets Currency EUR EUR Net fixed assets Deposits Financial instruments , ,16 SHARES AND SIMILAR SECURITIES Negotiated on a regulated or similar market Not negotiated on a regulated or similar market , ,90 BONDS AND SIMILAR SECURITIES Negotiated on a regulated or similar market Not negotiated on a regulated or similar market DEBT INSTRUMENTS Negotiated on a regulated or similar market Negotiable debt instruments Other debt instruments Not negotiated on a regulated or similar market MUTUAL FUND SHARES European coordinated UCITS and French UCITS of a general nature UCITS reserved for certain investors FCPR (type of collective investment MF) FCIMT (type of MF intervening on futures markets) Listed SPVs and investment funds Nonlisted SPVs and investment funds , ,00 TEMPORARY OPERATIONS INVOLVING SECURITIES Receivables representing securities under reverse repurchase agreements Receivables representing loaned securities Securities borrowed Securities under repurchase agreements Other temporary operations FUTURE FINANCIAL INSTRUMENTS Operations on a regulated or similar market Other operations ,26 OTHER FINANCIAL INSTRUMENTS Liabilities Future foreign currency operations Other Financial accounts Liquidities , ,02 0,01 0, , ,21 0,01 0,01 Total assets , , MF Annual report Fiscal year ending on:

14 BALANCE SHEET liabilities Currency EUR EUR Shareholders equity Capital , ,01 Carried forward Adjustment of carried forward Result , ,55 Total shareholders equity (amount representing the net assets) , ,56 Financial instruments ,10 OPERATIONS INVOLVING THE SALE OF FINANCIAL INSTRUMENTS TEMPORARY OPERATIONS INVOLVING SECURITIES Debts representing securities under repurchase agreements Debts representing borrowed securities Other temporary operations FUTURE FINANCIAL OPERATIONS Operations on a regulated or similar exchange market Other operations ,10 Debts Future foreign exchange operations Other Financial accounts Current bank accommodations Loans , , , ,82 Total liabilities , , MF Annual report Fiscal year ending on:

15 Offbalance sheet commitments Currency EUR EUR Hedging operations Commitments on regulated or similar markets Futures market Options market Credit derivatives Swaps Contracts for Differences (CFD) Overthecounter commitments Futures market Options market Credit derivatives Swaps Contracts for Differences (CFD) Other commitments Futures market Options market Credit derivatives Swaps Contracts for Differences (CFD) Other operations Commitments on regulated or similar markets Futures market Options market Credit derivatives Swaps Contracts for Differences (CFD) Overthecounter commitments Futures market Options market Credit derivatives Performance swaps Contracts for Differences (CFD) , ,00 Other commitments Futures market Options market Credit derivatives Swaps Contracts for Differences (CFD) MF Annual report Fiscal year ending on:

16 Profit and loss account Currency EUR EUR Earnings on financial operations Earnings on deposits and financial accounts Earnings on shares and similar securities Earnings on bonds and similar securities Earnings on debt instruments , ,00 Earnings on temporary acquisitions and sales of securities Earnings on future financial instruments Other financial earnings Total (I) , ,00 Charges on financial operations Charges on temporary acquisitions and sales of securities Charges on future financial instruments Charges on financial debts 58,98 9,96 Other financial charges Total (II) 58,98 9,96 Earnings on financial operations (I II) , ,04 Other earnings (III) Management fees and depreciation expenses (IV) Net earnings of the fiscal year (L.2149) (I II + III IV) Adjustment of the fiscal year's earnings (V) Advances paid for the fiscal year (VI) , , , , , , , ,99 Earnings (I II + III IV +/ V VI): , , MF Annual report Fiscal year ending on:

17 1 Accounting rules and methods The annual accounts are presented in the format pursuant to the provisions of CRC Regulation no of 2 October 2003 relative to the chart of accounts of UCITS, modified by CRC regulation no of 3 November 2005, and approved by the ministerial decree of 26 December appendix Assessment rules for the assets The MF s assets are assessed in compliance with the applicable laws and regulations, and more particularly with the rules defined in regulation no of the Comité de la Réglementation Comptable dated 2 October 2003 relative to the chart of accounts of UCITS (1st part). The financial instruments negotiated on a regulated market are assessed at the closing price on the day before the calculation date of the net asset value. When these financial instruments are negotiated on several regulated markets at the same time, the chosen closing price is the one of the regulated market in which they are primarily negotiated. However, in the absence of significant transactions on a regulated market, the following financial instruments are assessed using the following specific methods: negotiable debt securities ( NDS ) having a residual life upon acquisition that is less than or equal to 3 months are assessed with a linear distribution, over the residual lifespan, of the difference between the acquisition value and the redemption value. The management company nevertheless reserves the possibility of assessing these securities at the current value in case of particular sensitivity to market risks (rates, etc.). The chosen rate is that of the equivalent security issues allocated to the risk margin related to the issuer; NDS, of which the residual lifespan at acquisition is greater than 3 months but of which the residual lifespan on the net asset value closing date is equal to or less than 3 months, are assessed by means of a linear distribution, over the residual lifespan, of the difference between the last adopted current value and the reimbursement value. The management company nevertheless reserves the possibility of assessing these securities at the current value in case of particular sensitivity to market risks (rates, etc.). The chosen rate is that of the equivalent security issues allocated to the risk margin related to the issuer; NDS, of which the residual lifespan on the net asset value closing date is greater than 3 months, are assessed at their current value. The chosen rate is that of the equivalent security issues allocated to the risk margin related to the issuer. Firm future financial instruments negotiated on organised markets are assessed at the clearing price on the day before the net asset value calculation date. Conditional future financial instruments negotiated on organised markets are assessed at the market value on the day before the net asset value calculation date. Overthecounter firm or conditional future financial instruments are assessed at the price given by the financial instrument s counterparty. They are presented in the offbalance sheet on the basis of the nominal value defined in the contract. Deposits are assessed at their nominal value, plus any related interest that has accrued. Subscription warrants, cash certificates, promissory notes and mortgage notes are assessed at their probable market value, under the management company s responsibility. Temporary acquisitions and sales of securities are assessed at the market price. Units and shares in undertakings for collective investment in transferable securities operating under French law are assessed at the last net asset value known on the calculation date of the MF s net asset value MF Annual report Fiscal year ending on:

18 Units and shares of investment funds operating under foreign law are assessed at the last unit net asset value known on the calculation date of the MF s net asset value. Financial instruments negotiated on a regulated market for which the price has not been determined or for which the price has been corrected are assessed at their probable market value, under the management company s responsibility. The exchange rate used for the assessment of financial instruments drafted in a currency other than the MF s reference currency are the exchange rates disseminated by the WM Reuters fixing the day before the closing date of the MF s net asset value. Posting method for the trading fees The chosen method is that of included fees. Posting method of revenues from fixed revenue securities The chosen method is that of the collected coupon. appendix Valuation methods for offbalance sheet commitments Offbalance sheet operations are valued at the commitment value. The commitment value for firm futures contracts is equal to the price (in the currency of the UCITS) multiplied by the number of contracts multiplied by the face value. The commitment value for conditional operations is equal to the price of the underlying security (in the currency of the UCITS) multiplied by the number of contracts multiplied by the delta multiplied by the underlying face value. The commitment value for the swap contracts is equal to the initial net asset value X the number of units at closure (in the currency of the UCITS). Operation and management fees of DEUR and DUSD units These fees include all of the fees invoiced directly to the MF, except for the transaction fees. The transaction fees include intermediation fees (brokerage, stock market tax, etc.) and the transaction commission which, if relevant, may notably be collected by the custodian and management company. The following can be added to the operation and management fees: outperformance commissions. These reward the management company when the MF has exceeded its objectives. They are therefore invoiced to the MF; transaction commissions invoiced to the MF; a portion of the earnings from temporary acquisitions and sales of securities. For more details on the fees actually invoiced to the compartment, refer to the Statistical Part of the Key Investor Information Document KIID. Fees invoiced to the MF Basis Schedule, rate Operation and management fees, tax incl. (1) Net assets maximum 0.40% per year Outperformance commissions Net assets None Service providers collecting transaction commissions Collection on each transaction None (1) including all fees excluding transaction fees, outperformance commissions and fees related to investments in UCITS or investment funds. No transaction commission will be charged to the MF MF Annual report Fiscal year ending on:

19 Indication of accountancy changes declared to each of the bearers individually Occurred change: None. Future change: None. Indication of other changes declared to each of the bearers individually (Not certified by the auditor) Occurred change: On 6 June 2011: change the name of the units: unit DEUR replaces unit A, unit DUSD replaces unit B. On 20 March 2012: change of the Fund s name: LYXOR ETF FTSE EPRA/NAREIT UNITED STATES replaces LYXOR ETF MSCI USA REAL ESTATE. On 20 March 2012: change of the benchmark index: the MSCI USA Real Estate index becomes FTSE EPRA/NAREIT United States Index Net TRI index. Future change: None. appendix Indication and justification of the changes to estimates and application provisions None. Indication of the nature of the errors corrected during the fiscal year None. Indication of the rights and conditions attached to each category of units Unit DEUR and unit DUSD: The management company reserves the right to distribute and/or capitalise all or part of the revenues one or more times each year. Unit CUSD: Capitalisation. LYXOR ETF FTSE EPRA/NAREIT United States in no way benefits from the sponsorship, support or promotion, and is not sold by FTSE International Limited (hereinafter FTSE ), London Stock Exchange Plc, the European Public Real Estate Association ("EPRA ), or National Association of Real Estate Investment Trusts ("NAREIT ), (collectively the Holders ). The Holders grant no guarantee and undertake no commitment, whether explicitly or implicitly, relative to the results to be obtained through the use of the FTSE EPRA/NAREIT United States Index Net TRI index (hereinafter the "Index") and/or relative to the level at which the said index may be at any given moment or day, or of any other type. The index is calculated by or in the name of FTSE. The Holders will not be liable (whether on the basis of negligence or any other basis) for any error affecting the index with regard to any party, and it will have no obligation to inform anyone of any possible error affecting the Index. FTSE is a trademark of LSEG, NAREIT is a trademark of National Association of Real Estate Investment Trusts and "EPRA " is a trademark of EPRA; they are used under licence by FTSE International Limited (hereinafter FTSE ) MF Annual report Fiscal year ending on:

20 2. Evolution of the net assets Currency EUR EUR Net assets at the start of the fiscal year Subscriptions (including subscription commission acquired by the UCITS) Redemptions (less the redemption commission acquired by the UCITS) Capital gains generated on deposits and financial instruments Capital losses generated on deposits and financial instruments Capital gains generated on future financial instruments Capital losses generated on future financial instruments Trading fees Exchange differentials Changes to the estimate difference of the deposits and financial instruments: Estimate difference fiscal year N Estimate difference fiscal year N1 Changes to the estimate difference of future financial instruments: Estimate difference fiscal year N Estimate difference fiscal year N1 Distribution from the previous fiscal year Net earnings of the fiscal year before adjustment account Advance(s) paid during the fiscal year Other elements , , , , , , , , , , , , , , , , , , , , , , , , , , , , ,99 Net assets at the end of the fiscal year , , MF Annual report Fiscal year ending on:

21 3. Information supplements 3.1 Financial instruments: breakdown by the instrument s legal or economic type Breakdown of the Bonds and similar securities item by instrument type Negotiated on a regulated or similar market Not negotiated on a regulated or similar market Indexed bonds Convertible bonds Fixedrate bonds Variablerate bonds Zero coupon bonds Equity interests Other instruments Breakdown of the Debt securities item by legal or economic type Negotiated on a regulated or similar market Not negotiated on a regulated or similar market Treasury Bonds Commercial paper Deposit certificates Negotiable mediumterm notes ( BMTN ) Other instruments Breakdown of the Sale operations on financial instruments item by instrument type Securities under reverse repurchase agreements sold Securities borrowed sold Securities acquired with redemption right sold Short sales Equities Bonds Debt securities Other instruments MF Annual report Fiscal year ending on:

22 3.1.4 Breakdown of the offbalance sheet headings by market type (notably rates, equities) Rate Equities Exchange Other Hedging operations Commitments on regulated or similar markets Overthecounter commitments Other commitments Other operations Commitments on regulated or similar markets Overthecounter commitments ,96 Other commitments 3.2 Breakdown by rate types of the asset, liability and offbalance sheet items Fixed rate Variable rate Revisable rate Other Assets Deposits Bonds and similar securities Debt instruments Temporary operations on securities Financial accounts 0,01 Liabilities Temporary operations on securities Financial accounts Offbalance sheet Hedging operations Other operations 3.3 Breakdown by residual maturity of the asset, liability and offbalance sheet items 03 months 3 months 1 year 13 years 35 years >5 years Assets Deposits Bonds and similar securities Debt instruments Temporary operations on securities Financial accounts 0,01 Liabilities Temporary operations on securities Financial accounts Offbalance sheet Hedging operations Other operations MF Annual report Fiscal year ending on:

23 3.4 Breakdown by listing or assessment currency of the asset, liability and offbalance sheet items This breakdown is given for the main listing or assessment currencies, with the exception of the currency in which the accounting is maintained. By main currency JPY CHF SEK Other currencies Assets Deposits Equities and similar securities , , ,86 Bonds and similar securities Debt instruments MF shares Temporary operations on securities Forward financial instruments on the asset side Receivables Financial accounts Liabilities Sale operations on financial instruments Temporary operations on securities Forward financial instruments on the liability side Debts Financial accounts Offbalance sheet Hedging operations Other operations 3.5 Receivables and Debts: breakdown by type Details of the elements comprising the "other receivables" and "other debts" items, notably breakdown of the future currency exchange operations by type of operation (purchase/sale). Receivables ,02 Future currency exchange operations Future purchases of currency Total negotiated amount of future currency sales Other receivables: Deferred settlement sales ,02 Other operations Debts ,57 Future currency exchange operations Future sales of currency Total negotiated amount of future currency purchases Other debts: Deferred settlement purchases ,02 Provisioned costs 4 901,55 Other operations MF Annual report Fiscal year ending on:

24 3.6 Shareholders equity Subscriptions Redemptions Category of units issued/redeemed Number of units Amount Number of units Amount during the fiscal year: UNIT DEUR / FR , ,00 UNIT DUSD / FR ,45 Subscription / redemption commission by share category: Amount Amount UNIT DEUR / FR UNIT DUSD / FR Retrocessions by share category: Amount Amount UNIT DEUR / FR UNIT DUSD / FR Commissions acquired by the UCITS by share category: Amount Amount UNIT DEUR / FR UNIT DUSD / FR Management fees Operating and management fees (fixed fees) as % of the average net assets: % Share category: UNIT DEUR / FR ,40 UNIT DUSD / FR ,40 Performance commissions (variable fees): amount of costs for the year Amount Share category: UNIT DEUR / FR UNIT DUSD / FR Retrocession of management fees: Total amount of fees retroceded to the UCITS Breakdown by "target" UCITS UCITS 1 UCITS 2 UCITS 3 UCITS Commitments given and received Description of guarantees received by the UCITS with indication of the capital guarantees... None Description of the other commitments received and/or given... None MF Annual report Fiscal year ending on:

25 3.9 Other information Current value of the financial instruments that are the subject of temporary acquisition: Financial instruments under reverse repurchase agreements Other temporary operations Current value of the financial instruments comprising security deposits: Financial instruments received as guarantees and not included in the balance sheet: equities bonds debt instruments other financial instruments Financial instruments given as guarantees and maintained in their original item: equities bonds debt instruments other financial instruments Financial instruments held in the portfolio, issued by entities linked to the management company (fund) or to the financial managers (MF) and UCITS managed by these entities UCITS securities ,75 Swaps , MF Annual report Fiscal year ending on:

26 3.10 Allocation of the earnings table (in the UCITS currency of account) Advances paid during the fiscal year Date Share category Overall amount Unit amount Total tax credits Unit tax credits 07/12/11 DEUR ,00 0,73 07/12/11 DUSD ,14 0,29 Total advances ,14 1, Allocation of the profit/loss EUR EUR Sums still to be allocated Carried forward Adjustment of carried forward Earnings , ,55 Total , , MF Annual report Fiscal year ending on:

27 UNIT DEUR / FR Currency EUR EUR Allocation Distribution Carried forward for the fiscal year Capitalisation , , ,57 Total , ,57 Information relative to the units giving rise to a distribution right Number of units ,00 Distribution per unit 0,0900 Tax credits UNIT DUSD / FR Currency EUR EUR Allocation Distribution Carried forward for the fiscal year Capitalisation 9 138, , ,98 Total , ,98 Information relative to the units giving rise to a distribution right Number of units ,00 Distribution per unit 0,0326 Tax credits MF Annual report Fiscal year ending on:

28 3.11 Table of the earnings and other characteristic elements of the MF during the last 5 fiscal years UCITS creation date: Units DEUR: 2 February 2010; Units DUSD: 17 February UCITS currency EUR Net assets , ,56 UNIT DEUR / FR Number of outstanding units Currency of the unit and of the NAV: EUR Net asset value 32, ,9511 Unit distribution (including advances)* 0,82 Unit tax credit transferred to unit holders (natural persons) (1) Unit capitalization * 0,01 * The amounts of the unit distribution, the unit capitalisation and the tax credits are indicated in the accounting currency of the UCITS. (1) Fiscal year closed; pursuant to the Fiscal Instruction of 4 March 1993 from the General Tax Department, the unit tax credit will be determined on the day of the dividend's detachment by distribution of the total amount of the fiscal tax credits between the securities outstanding on that date. UNIT DUSD / FR Number of outstanding units Currency of the unit and of the NAV: USD Net asset value 16, ,0701 Unit distribution (including advances)* 0,32 Unit tax credit transferred to unit holders (natural persons) (1) Unit capitalization * 0,01 * The amounts of the unit distribution, the unit capitalisation and the tax credits are indicated in the accounting currency of the UCITS. (1) Fiscal year closed; pursuant to the Fiscal Instruction of 4 March 1993 from the General Tax Department, the unit tax credit will be determined on the day of the dividend's detachment by distribution of the total amount of the fiscal tax credits between the securities outstanding on that date MF Annual report Fiscal year ending on:

29 4. UCITS inventory appendix Security code Name of the security Security status Quantity Market value Listing currency % Net Assets LYXOR ETF FTSE EPRA/NAREIT UNITED STATES Investment Securities Equity Total Equity UCITS Total UCITS Total Investment Securities MF Annual report Fiscal year ending on:

30 Security code Name of the security Security status Quantity Market value Listing currency % Net Assets Performance swaps Total Performance swaps Cash AT BANK OR PENDING Total AT BANK OR PENDING MANAGEMENT FEES Total MANAGEMENT FEES Total Cash Total LYXOR ETF FTSE EPRA/NAREIT UNITED STATES OTHER OTHER OTHER Def. purchases EUR securities Def. sales EUR securities EUR SGP bank MF Annual report Fiscal year ending on: