LYXOR UCITS ETF EURO STOXX 50 DAILY LEVERAGE PROSPECTUS

Transcription

1 LYXOR UCITS ETF EURO STOXX 50 DAILY LEVERAGE PROSPECTUS Page 1

2 TABLE OF CONTENTS DETAILED MEMORANDUM... ERROR! BOOKMARK NOT DEFINED.3 STATUTORY AND REGULATORY DISCLOSURES... ERROR! BOOKMARK NOT DEFINED.3 GENERAL FEATURES...3 FORM OF THE FUND... 3 NAME... 3 LEGAL FORM AND MEMBER STATE IN WHICH THE FUND WAS CREATED... 3 INCEPTION DATE AND PLANNED DURATION... 3 SUMMARY DETAILS...Error! Bookmark not defined.3 AVAILABILITY OF THE LAST ANNUAL REPORT AND PERIODIC REPORT... 3 PARTIES INVOLVED... ERROR! BOOKMARK NOT DEFINED.4 MANAGEMENT COMPANY... 4 CUSTODIAN/REGISTRAR... 4 establishment responsible for holding registers of units and centralising subscription and redemption orders... 4 STATUTORY AUDITORS... 4 REPRESENTATIVES... 4 MANAGEMENT AND OPERATIONS...5 GENERAL FEATURES...Error! Bookmark not defined.4 CHARACTERISTICS OF THE UNITS... 5 INFORMATION ABOUT THE ADMISSION TO TRADING OF UNITS IN THE LYXOR ETF EURO STOXX 50 DAILY LEVERAGE FUND ON EURONEXT PARIS OF NYSE EURONEXT... 5 FINANCIAL YEAR-END... 5 INFORMATION ABOUT THE TAX REGIME... 5 SPECIFIC INFORMATION... 5 ISIN CODE... 5 CLASSIFICATION... 6 INVESTMENT OBJECTIVE... 6 BENCHMARK INDEX... 6 INVESTMENT STRATEGY... 7 RISK PROFILE... 7 SUBSCRIBERS CONCERNED AND TYPICAL INVESTOR PROFILE CALCULATION AND ALLOCATION OF INCOME FREQUENCY OF INCOME DISTRIBUTIONS CHARACTERISTICS OF THE UNITS SUBSCRIPTION AND REDEMPTION PROCEDURES CHARGES AND COMMISSION FEES COMMERCIAL INFORMATION...13 INVESTMENT RULES...14 VALUATION AND ACCOUNTING RULES FOR THE ASSETS...15 REGULATIONS...16 Page 2

3 LYXOR UCITS ETF EURO STOXX 50 DAILY LEVERAGE PROSPECTUS UCITS COMPLIANT WITH EUROPEAN STANDARDS GENERAL FEATURES FORM OF THE FUND Fonds Commun de Placement (FCP) (Unincorporated fund) NAME LYXOR UCITS ETF EURO STOXX 50 DAILY LEVERAGE (hereinafter the FCP or Fund ). LEGAL FORM AND MEMBER STATE IN WHICH THE FUND WAS CREATED Fonds Commun de Placement (FCP, unincorporated mutual fund) registered in France. INCEPTION DATE AND PLANNED DURATION This Fund was approved by the Autorité des Marchés Financiers (Financial Markets Authority) on 11 May It was created on 5 June 2007 for a period of 99 years. On 2 June 2010, the Fund previously named LYXOR ETF LEVERAGED DJ EURO STOXX 50 changed its name to LYXOR ETF EURO STOXX 50 DAILY LEVERAGE. On the same date, the Dow Jones EURO STOXX 50 Leveraged strategy index was replaced by the EURO STOXX 50 DAILY LEVERAGE Net Total Return strategy index. SUMMARY DETAILS ISIN Code Allocation of income Listing currency Target investors Minimum subscription / redemption (primary market and buy/sell transactions (secondary market) Listingmarkets FR Accumulation and/or distribution EUR The Fund is open to all investors EUR 100,000 on primary market None on secondary market Deutsche Boerse (Frankfurt); NYSE Euronext (Paris), Borsa Italiana (Milan), Bolsa de Madrid, SIX Swiss Exchange (Zurich) and NYSE Euronext Brussels (Belgium) (1) No minimum purchase/sale amount is required other than that which may be imposed by the market concerned AVAILABILITY OF THE LAST ANNUAL REPORT AND PERIODIC REPORT The most recent annual report and updates are sent out within eight days at the written request of the investor to: LYXOR INTERNATIONAL ASSET MANAGEMENT. 17, cours Valmy Paris La Défense CEDEX France contact@lyxor.com. Requests for information can also be submitted via the website. Page 3

4 SERVICE PROVIDERS MANAGEMENT COMPANY LYXOR INTERNATIONAL ASSET MANAGEMENT. Public limited company ("société anonyme") with an executive board and supervisory board. Registered office: 17, cours Valmy Paris La Défense CEDEX France. Postal address: Tour Societe Generale - A08-17, cours Valmy Paris-La Défense Cedex France. DEPOSITORY/CUSTODIAN SOCIETE GENERALE. Credit institution created on 8 May 1864, date of the authorisation decree signed by Napoleon III. Registered office: 29, bd Haussmann Paris France. Postal address: Paris Cedex 18 FRANCE. REGISTRAR AND TRANSFER AGENT Registrar and transfer agent functions are delegated by Lyxor International Asset Management to: SOCIETE GENERALE. Credit institution created on 8 May 1864, date of the authorisation decree signed by Napoleon III. Registered office: 29, bd Haussmann Paris France. Postal address of the registrar: 32 rue du Champ de Tir Nantes -France STATUTORY AUDITORS PRICEWATERHOUSECOOPERS AUDIT. Public limited company ("Société anonyme"). Registered office: 63, rue de Villiers Neuilly-sur-Seine FRANCE. Authorised signatory: Marie-Christine Jetil. REPRESENTATIVES Lyxor International Asset Management will delegate the Fund's financial and administrative and account management to : Société Générale Securities Services Net Asset Value Immeuble Colline Sud - 10, passage de l Arche Paris-La Défense Cedex France. The services provided by Société Générale Securities Services Net Asset Value to Lyxor International Asset Management consist in supporting the latter with the administrative and account management of the Fund, and, in particular, carrying out the net asset value calculation, providing the information and material needed for the periodic documents and annual reports and submitting the statistics to the Banque de France. FINANCIAL INSTITUTIONS ACTING AS MARKET MAKERS On 12 June 2007, the financial institutions responsible for ensuring the market-making for the units in the Fund (the Market Makers ) are as follows: Société Générale - Tour Société Générale, 17 Cours Valmy, Paris-La Défense, FRANCE. Page 4

5 MANAGEMENT AND OPERATIONS: GENERAL FEATURES CHARACTERISTICS OF THE UNITS The units are listed in a register in the name of the establishments holding accounts for subscribers on their behalf. The register is kept by Societe Generale's Département des Titres et de la Bourse (Securities and Stock Market Department). Each unit holder has a co-ownership right to the Fund's net assets proportional to the number of units held. The units do not bear any voting rights as decisions are made by the management company. The units are bearer units. Units may not be split. INFORMATION ABOUT THE ADMISSION TO TRADING OF UNITS IN THE LYXOR UCITS ETF EURO STOXX 50 DAILY LEVERAGE FUND ON EURONEXT PARIS OF NYSE EURONEXT - Where the unit is listed on Euronext Paris as indicated under Summary details, investors are reminded of the following rules regarding the listing : In application of article D of the Monetary and Financial Code, according to which units or shares of undertakings for collective investments in transferable securities may be admitted to trading, provided that these undertakings have a system to ensure that the market price of their units or shares does not differ significantly from the net asset value. Moreover, the following rules, determined by NYSE Euronext, apply to the listing of shares in the Fund: reservation thresholds are set by applying a percentage change of 1.5% above or below the FCP s indicative net asset value (see "Indicative Net Asset Value" section), as published by NYSE Euronext and updated on an estimated basis during trading in accordance with fluctuations in the EURO STOXX 50 Daily Leverage Net Total Return Index; The Market Makers will ensure that the market price of the FCP units does not differ beyond 1.5% above or below its Indicative Net Asset Value, in order to comply with the reservation thresholds established by Euronext Paris of NYSE Euronext (see "Indicative Net Asset Value" section). - Where the unit is listed on an exchange other than Euronext Paris, as indicated in the Summary details section, the following rules regarding the admission of units to such exchanges apply: Investors wishing to acquire units in the FCP on any of the exchanges mentioned in the Summary details section Summary detailsshould familiarise themselves with the relevant exchange operator s operating rules in compliance with local regulations, if necessary seeking the assistance of their usual brokers for the financial markets in question. FINANCIAL YEAR-END Last trading day in August. First year-end: last trading day in August INFORMATION ABOUT THE TAX REGIME Investors' attention is drawn to the fact that the following information is only a general summary of the tax regime applicable to investment in a French FCP under current legislation in France. Investors are therefore advised to consider their specific situation with their usual tax advisor. The Fund is eligible for French equity savings (PEA) plans. The Fund will at all times invest at least 75% of its assets in companies with head offices in a member state of the european union or in another state party to the agreement on the European Economic Area, subject to signature of a tax convention with France including an administrative assistance clause for the purpose of fighting fraud and tax evasion. This minimum level of holding satisfies PEA eligibility requirements. 1. FUND In France, the co-ownership structure of Funds means that they fall outside the scope of corporation tax; they therefore benefit from a certain level of transparency. Income received and generated by the Fund through its management activities is not therefore taxable at the level of the Fund. Outside France (in the countries in which the Fund invests), capital gains on the disposal of foreign negotiable securities and income from foreign sources received by the Fund through its management activities may, if applicable, be subject to tax (generally in the form of withholding tax). In certain limited cases, foreign taxation may be reduced or cancelled in the presence of any applicable tax treaties. 2. UNIT HOLDERS 2.1 Unit holders resident in France Income received and capital gains generated are subject to tax under common law. Investors are advised to consider their specific situation with their usual tax advisor. 2.2 Unit holders resident outside France Subject to the applicable tax treaties, income distributed by the Fund may, if applicable, be subject to a standard deduction at source or withholding tax in France. In accordance with article 244 bis C of the French Tax Code, capital gains realised on the purchase/disposal of Fund units are not taxable in France. Unit holders resident outside France will be subject to the applicable tax legislation in their country of residence. MANAGEMENT AND OPERATIONS: SPECIFIC INFORMATION ISIN CODE Page 5

6 Unit class: FR CLASSIFICATION Equities from eurozone countries. The FCP is constantly exposed up to at least 60% to one or several equity markets in one or Eurozone several countries, including, potentially, the French market. The Fund is a strategy index tracker of the UCITS ETF type. INVESTMENT OBJECTIVE The Fund's investment objective is to give exposure (positive or negative), with daily 2x leverage, to the European equity market, by replicating the movement of the EURO STOXX 50 Daily Leverage Net Total Return strategy index (see "Benchmark index" section below), while minimizing as far as possible the tracking error between the Fund's performance and that of the EURO STOXX 50 Daily Leverage Net Total Return strategy index. The expected tracking error ex-post in normal market conditions is 0.25%. BENCHMARK INDEX The benchmark index is the EURO STOXX 50 Daily Leverage Net Total Return strategy index (net dividends reinvested), denominated in euros (the Benchmark Index ). The Benchmark Index is a strategy index defined by the international index supplier Stoxx Ltd. It is calculated by Deutsche Börse AG. The Benchmark Index is a sub-set of the Euro Stoxx 50 index. It measures the performance of the 50 most important equities belonging to Euro-zone countries. It covers the following countries: Germany, Austria, Belgium, Spain, Finland, France, Greece, Ireland, Italy, Luxembourg, Netherlands and Portugal. The securities are selected for their market capitalisation, liquidity and their sector representativeness. The index strives to comply with a weighting by country and by economic sector mirroring as best as possible the economic structure of the Euro zone. The weighting of each stock in the index is adjusted in line with its free-floating market capitalisation. Each security has its weight in the index capped at 10%. The Benchmark Index is a strategy index which reflects the movement of the EURO STOXX 50 index (the Parent Index ), with a daily x2 leverage effect; in other words, if the Parent Index rises by 2% on a trading day, the Benchmark Index rises by 4% on the same trading day, minus borrowing costs, and vice-versa. The double performance is obtained by the doubling of the investment, on each trading day, via a loan, from the basket of equities in the Benchmark Index. The cost of borrowing is taken into account in calculating the Benchmark Index. The Benchmark Index was created on 27 February 2007, with a base value of 1000 as at 31 December A full description and the complete methodology for the construction of the Benchmark Index and information on the composition of the Benchmark Index will be available by February 2014 at the on the website: The monitored performance is based on the closing prices of the index in euros. STRATEGY INDEX COMPOSITION AND REVISIONS The Benchmark Index is not revised since it depends on the revision of the Parent Index. The Parent Index is adjusted annually, usually in September. The exact composition and index revision rules for the EURO STOXX 50 Daily Leverage Net Total Return strategy index as published by Stoxx Ltd. are available on the web site: The frequency of the adjustments referred to above do not impact on the costs connected to implementing the Investment Strategy. INTEREST OF THE "LEVERAGED" STRATEGY The "Leveraged" strategy (with leverage effect) is a dynamic strategy applied at the level of the Benchmark Index. It allows an investor to double his investment on a trading day in relation to a "simple" investment in Parent Index on the same trading day, thanks to the loan contracted to carry out the strategy. If the Benchmark Index rises, the gains are twice as much on a given trading day than with a "simple" investment in Parent Index on the same trading day. Conversely, in a bear market, the losses on a given trading day are also multiplied by two on the same trading day, due to the multiplier effect of the leverage. The strategy risks are also subject to a multiplier effect. PUBLICATION OF THE BENCHMARK INDEX The Benchmark Index is available via Reuters and Bloomberg. Via Reuters:.SX5TL Via Bloomberg: SX5TL The closing price of the Benchmark Index is available on the following Internet site: Page 6

7 INVESTMENT STRATEGY 1. STRATEGY USED The Fund will comply with the investment rules set out by European directive 2009/65/EC dated 13 July To achieve the highest possible correlation with the performance of the Benchmark Index, the Fund (FCP) the Fund will be exposed to the Benchmark Index by means of an indirect replication method, which means that the Fund will have recourse to (i) the purchase of a basket of balance sheet assets (as defined below) and particularly international shares, and (ii) the conclusion of an OTC futures swap contract enabling the Fund to reach its investment objective by converting the exposure of its balance sheet assets into exposure to the Benchmark Index. The Fund's equity assets will be mainly the equities that make up the Benchmark Index, as well as other international equities from all economic sectors, listed on all markets including small cap markets. The Fund's equity assets will be chosen so as to limit the cost of replicating the Benchmark Index and to obtain a performance of the equity basket close to that of the Benchmark Index. Information on (i) the updated composition of the basket of assets held in the Fund s portfolio, and (ii) the market value of the futures swap transaction concluded by the Fund is available on the page dedicated to the Fund accessible on the website. The frequency of any updates and/or the date on which the information above is updated is also set out on the same page of the above-mentioned website. The Fund will at all times invest at least 75% of its assets in companies with head offices in a member state of the European Union or in another State party to the agreement on the European Economic Area, subject to signature of a tax convention with France including an administrative assistance clause for the purpose of fighting fraud and tax evasion. This minimum level of holding satisfies PEA eligibility requirements. As part of the management of its exposure, up to 20% of the Fund s assets could be exposed to the shares of one and the same issuer. This 20% limit can be increased to 35% for a single issuing entity, when this is shown to be justified by exceptional market conditions, in particular when certain securities are largely dominant and/or in the event of strong volatility of a financial instrument or securities linked to an economic sector represented in the Benchmark Index, particularly in the case of a public offer affecting one of the Benchmark s Index s component securities, or if there is a significant restriction of liquidity affecting one or several financial instruments included in the composition of the Benchmark Index. 2. BALANCE SHEET ASSETS (EXCLUDING EMBEDDED DERIVATIVES) In compliance with the ratios indicated in the applicable regulations, the Fund may hold international shares (across all economic sectors, listed on all markets. Investment in undertakings for collective investment in transferable securities (UCITS) approved in accordance with European Directive 2009/65/EC and/or eligible within the meaning of Article R of the French Monetary and Financial Code is limited to 10% of net assets. In the context of these investments, the Fund may subscribe for units or shares in UCITS or investment funds managed by the management company or a company with which it is affiliated. As part of the future optimisation of the Fund's management, the manager reserves the right to use other instruments in accordance with the regulations in order to achieve its investment objective. 3. OFF-BALANCE SHEET ASSETS (DERIVATIVES) The Fund will use OTC index-linked swaps exchanging the value of the Fund's equity assets (or any other financial instrument held as an asset by the Fund, where applicable) for the value of the Benchmark Index. As part of the future optimisation of the Fund's management, the manager reserves the right to use other instruments in accordance with the regulations in order to achieve its investment objective, such as forward financial instruments other than index-linked swaps. These financial futures instruments (including index-linked swaps) can be negotiated with Société Générale, without prior call for competition with several counterparties. Accordingly, Société Générale will not issue in a formal, traceable and verifiable call for competition to counterparties. The counterparty of the financial futures instruments referred to above (the Counterparty ) will not have discretionary powers over the composition of the Fund s portfolio, nor over the underlying assets of the financial futures instruments. 4. SECURITIES INCLUDING DERIVATIVES None 5. DEPOSITS For up to 20% of the net asset value, the Fund may make deposits with lending institutions belonging to the same group as the custodian in order to optimise its cash management. 6. CASH BORROWING For up to 10% of the net asset value, the Fund may arrange temporary borrowings.. 7. TEMPORARY PURCHASES AND DISPOSALS OF SECURITIES None. The manager will not make use of temporary purchases and/or disposals of securities. 8. FINANCIAL GUARANTEES None. No financial guarantee will be given by the Fund as part of the implementation of its investment objective. Page 7

8 RISK PROFILE Unit holders money will be invested primarily in financial instruments selected by the management company. These instruments will fluctuate in line with the markets. Through the Fund, investors are mainly exposed to the following risks: Equity risk The price of equities may go down as well as up, and in particular reflects company and macroeconomic risk factors. Equities are more volatile than Fixed Income markets where it is possible to estimate revenues for a certain period of time under the same macroeconomic conditions. Risk of capital loss The capital invested is not guaranteed. As a consequence, investor's capital is at risk. The amount invested may not be wholly or partially recovered, in particular if the performance of the Benchmark Index is negative over the investment period. Liquidity risk (primary market) The Fund's liquidity and/or value may be negatively affected if, when the Fund (or one of its financial derivatives instrument counterparties) is rebalancing its exposure, the markets linked to this exposure are limited, closed, or subject to wide bid/offer spreads. An inability, due to low trading volumes, to execute trades in line with the index may also affect the process of subscriptions, conversions and redemptions of units. Liquidity risk (secondary market) The Fund s on-exchange price may deviate from its indicative net asset value. On-exchange liquidity may be limited due to a suspension caused in particular when: (i) the index calculation is suspended or stopped and/or (ii) the underlying market(s) represented by the Benchmark Index is (are) suspended, and/or (iii) the stock exchange cannot obtain or calculate the indicative net asset value and/or (iv) there is a breach by a market maker of the relevant stock exchange rules and/or (v) there is a failure, particularly in the IT or electronic systems, of one of the relevant stock exchanges. Counterparty risk The Fund is exposed to the risk of bankruptcy, settlement default or any other type of default by the counterparty relating to any trading transaction or agreement entered into by the Fund. The Fund is predominantly exposed to counterparty risk resulting from the use of Over-the-Counter (OTC) swaps entered into with Société Générale or any other third party. In line with UCITS guidelines, the counterparty risk (whether the counterparty is Société Générale or another third party) cannot exceed 10% of the fund s total assets per counterparty. If the Counterparty defaults, the contract relating to the OTC may be terminated early. The Fund will accordingly do its utmost to achieve its investment objective by concluding, as appropriate, another contract relating to OTCs with a third counterparty, at the market conditions prevailing when this event occurred. The realisation of this risk could, in particular, impact on the Fund s ability to achieve its investment objective, namely the replication of the Benchmark index. When Société Générale intervenes as counterparty of an OTC, conflicts of interest may arise between the Fund s Management Company and the OTC counterparty. The Management Company manages these risks of a conflict of interest by putting in place procedures intended to identify and limit them and ensure they are resolved fairly, should the case arise. Daily leverage adjustment risk (leverage)investors are doubly exposed to the daily changes which affect the price or level of the Parent Index, in particular each decrease of the underlying market will be amplified and will implicate an even stronger decrease of the net asset value of the Fund. The daily reset in the underlying 'leveraged' index formula implies that the Fund's performance will not be equivalent to double the performance of the Parent Index. For example, if the Parent Index is subject to an increase of 10% on a given trading day, then a decrease of 5% on the following trading day, the ETF will appreciate by a total of 8% (before the deduction of relevant fees) over the two trading days, while the Parent Index will appreciate by 4.5% over the same period. If the Parent Index falls by 5% per day over two consecutive trading days, it will depreciate by 9.75%, while the ETF will depreciate by a total of 19% (before the deduction of relevant feesover the same period. Case unfavourable to a rise Parent Index Benchmark Index Leverage performance day % + 20% x2 performance day 2-5% - 10% x2 performance total period +4.5% +8% x1.78 Case favourable to a rise Parent Index Benchmark Index Leverage performance day 1-5% - 10% x2 performance day 2-5% - 10% x2 performance total period -9.75% -19% x1.95 Moreover, it is possible that over an observation period longer than one day and in the event of high volatility of the Parent Index over this period, the net asset value of the FCP will record a fall while the Parent Index records a rise over this same period. Example: Inverse leverage Page 8 Parent Index Benchmark Index

9 performance day i value day i performance day i value day i Leverage day 1 20% % 140 x2 day 2-20% 96-40% 84 x2 day 3 30% 124,8 60% x2 day 4-20% 99,84-40% x2 day 5 10% % x2 total period % % x Risk that the investment objective is only partially achieved There is no guarantee of reaching the investment objective. Indeed, no asset or financial instrument allows for a continuous and automatic replication of the benchmark index, particularly if one or more of the following risks occurs: - Risk of using financial derivative instruments In order to reach its investment objective, the Fund can enter into over-the-counter financial derivative instruments ("FDI") in order to achieve the performance of the benchmark index. These FDIs may imply a series of risks including: counterparty risk, hedging disruption, index disruption, taxation risk, regulatory risk, operational risk and liquidity risk. These risks can materially affect an FDI and could lead to an adjustment or even the early termination of the FDI transaction, which could affect the net asset value of the Fund. - Risk due to a shift in Tax policy Any change to the taxation legislation of any jurisdiction where the Fund is registered for sale or cross-listed could affect the tax treatment of the shareholders of the Fund. In the case of such an event, the fund manager shall not be liable to any investor for any payment required to be made by the company or the corresponding fund to a fiscal authority. - Risk due to a shift in the underlyings' Tax policy Any change to the taxation legislation with in any jurisdiction for the underlyings of the Fund could affect the tax treatment of the Fund. As a result, in case of a discrepancy between the estimated and effective tax treatment applied to the Fund and/or to the fund's counterparty to the FDI, the net asset value of the Fund may be affected. - Regulatory Risk affecting the Fund In the event of a change in the regulatory regime in any jurisdiction where the Fund is registered for sale or cross-listed, the process of subscriptions, conversions and redemptions of shares may be affected. - Regulatory Risk affecting the underlyings of the Fund In the event of a change in the regulatory regime in any jurisdiction of the underlyings of the Fund, the net asset value of the Fund as well as the process of subscriptions, conversions and redemptions of shares may be affected. - Benchmark Index Disruption Risk In the event of a Benchmark Index disruption, the manager, acting in accordance with applicable laws and regulations, may have to suspend the subscription and redemption of shares in the Fund. The calculation of the net asset value of the Fund could also be affected. If the Index disruption persists, the manager of the Fund will determine the appropriate measures to be carried out, which could have an impact on the net asset value of the Fund. Index events usually cover the following situations: i) the index is deemed to be inaccurate or does not reflect actual market developments, ii) the index is permanently cancelled by the index provider; iii) the index provider is unable to provide the level or the value of the said index; iv) the index provider makes a material change in the formula for or the method of calculating the index (other than a modification prescribed in that formula or method to maintain the calculation of the index level in the event of changes in the constituent components and weightings and other routine events) which cannot be efficiently replicated, at a reasonable cost, by the fund. (v) one or several components of the Benchmark Index become illiquid, their listing on a regulated market is suspended, or the components traded over-the-counter (e.g. bonds) become illiquid (vi) the components of the Benchmark Index are hit by transaction costs relating to the execution, settlement for delivery, or specific fiscal constraints where such costs are not reflected in the performance of the Benchmark Index. - Operational risk In the event of an operational failure within the management company, or one of its representatives, investors could experience delays in the processing of subscriptions, conversions and redemptions of shares, or other disruptions. Page 9

10 - Corporate action risk An unforeseen review of corporate action policy affecting a component of the index, in contradiction to a previous official announcement made and priced into the Fund or (and/or into the financial derivatives entered into by the Fund), can affect the net asset value of the Fund, particularly in cases where the actual treatment of the corporate event by the Fund differs from the treatment of the corporate event by the Benchmark Index. SUBSCRIBERS CONCERNED AND TYPICAL INVESTOR PROFILE The Fund is open to all investors. Investors subscribing to this Fund are seeking exposure to large company share markets across the euro-zone. The amount that can be reasonably invested in the Fund depends on each investor's personal situation. To determine this amount, investors must take into account their personal wealth and/or estate and their cash requirements at present and for the next five years, as well as whether they wish to take risks or opt instead for a cautious investment approach. Investors are also advised to diversify their investments sufficiently so as not to be exposed solely to the risks of the Fund. All investors are therefore asked to consider their specific situation with the help of their usual investment advisor. The recommended minimum investment period is greater than 5 years. CALCULATION AND ALLOCATION OF INCOME The management company reserves the right to distribute one or several times per year and/or accumulate all or part of the Fund's income. FREQUENCY OF INCOME DISTRIBUTIONS The management company reserves the right to distribute all or part of the Fund s income one or several times per year. CHARACTERISTICS OF THE UNITS Subscriptions are made by amount or whole numbers of units. Redemptions are made in whole numbers of units. LISTING CURRENCY Euro SUBSCRIPTION AND REDEMPTION PROCEDURES 1/CONDITIONS FOR SUBSCRIPTION AND REDEMPTION ON THE PRIMARY MARKET Subscription/redemption requests for units in the Fund will be submitted to Societe Generale's Département des Titres et de la Bourse (Securities and Stock Market Department) between 9.00am and 5.00pm (Paris time), on each Trading Day for execution based on the net asset value published on the same Trading Day, hereinafter the "refnav". Subscription/redemption requests submitted after 5.00pm (Paris time) on a Trading Day will be processed as requests received between 9.00am and 5.00pm (Paris time) on the following Trading Day. Subscriptions/redemptions are carried out for a whole number of fund units, corresponding to a minimum amount of EUR 100,000. Subscriptions/redemptions in cash. Subscriptions/redemptions made exclusively in cash will be carried out on the basis of the refnav. Settlement/delivery of subscriptions/redemptions. Settlement/delivery of subscriptions/redemptions will take place no later than five trading days (as defined below) after the date on which the subscription/redemption requests are received. DATE AND FREQUENCY OF NET ASSET VALUE CALCULATION The net asset value will be calculated and published on a daily basis provided that at least one of the markets on which the Fund is listed is open and provided it is possible to fund orders placed in the primary or secondary markets. Trading Day is defined as a day which does not belong to the closure timetable of the market undertaking of the market on which the Fund s units are listed and which does not belong to the closure timetable of the markets on which the securities included in the Benchmark Index are traded and which does not belong to the Benchmark Index publication calendar. The Fund s net asset value is calculated using the closing price of the Benchmark Index, denominated in EUR. 2/CONDITIONS FOR PURCHASE AND SALE ON THE SECONDARY MARKET A. COMMON PROVISIONS For any purchases/sales of Fund units carried out directly on one of the markets on which the Fund is or will be admitted to continuous trading, there are no minimum purchase/sale requirements other than any requirements of the relevant market. Listed units in Fund acquired on the secondary market cannot generally be directly resold to the listed Fund. Investors must buy and sell their units on a secondary market, through the offices of an intermediary (e.g. a broker) and can, in this way, incur costs. Furthermore, it is possible that investors will pay more than the current net asset value when they buy their units/shares and receive less than the current net asset value when they sell them. B. SPECIFIC PROVISIONS a) If the unit is listed on Euronext Paris as set out in the Summary details section, investors are reminded of the following rules: Negotiability of the units and information about the financial institutions acting as Market Makers : The units are freely negotiable on the regulated market of Euronext Paris under the conditions and according to the applicable legal and regulatory provisions. The Fund units will be listed on a specific trading list, the rules for which are defined in the following instructions published by Euronext Paris SA: - Instruction No "Universal Trading Platform Trading Manual" - Appendix to instruction No "Appendix to the Euronext Cash Market Trading Manual" - Instruction No Documentation to be provided on submission of a request for admission to listing of an ETF, ETN, ETV and open-ended undertakings for collective investment in transferable securities other than ETFs. Page 10

11 In application of Article D of the Financial and Monetary Code, units or shares of undertakings for collective investments in transferable securities may be admitted to trading provided that these undertakings have a system to ensure that the market price of the units or shares does not differ significantly from the net asset value. Moreover, the following rules, determined by Euronext Paris SA, apply to the listing of shares in the Fund: reservation thresholds are set by applying a percentage variation of 1.5% above or below the Indicative Net Asset Value or inav (cf. Indicative Net Asset Value section) of the Fund, published by Euronext Paris SA and updated on an estimated basis during trading in accordance with fluctuations in the Benchmark Index. The Market Makers will ensure that the market price of the Fund s units does not move more than 1.5% above or below its indicative net asset value, in order to keep within the reservation thresholds fixed by Euronext Paris SA (cf. Indicative Net Asset Value section). Euronext Paris SA may, under the conditions laid down in its operating rules, suspend the listing of Fund units if the percentage variation in the reservation thresholds referred to above is not kept to. Furthermore, Euronext Paris SA may suspend the listing of Fund units in the following cases: - Listing or calculation of the Benchmark Index ceases; - Euronext Paris SA is unable to obtain the Benchmark Index level; - Euronext Paris SA is unable to obtain the Fund s Net Asset Value; In accordance with the terms and conditions governing admission to trading on Euronext Paris, the Market Makers undertake to provide market making services for units in the Fund from the date of their admission to trading on the Euronext Paris market. In particular, the Market Makers undertake to carry out market-making operations by maintaining a permanent presence on the market, initially through the positioning of a bid/ask spread. More specifically, the Market Makers are required under contract with Euronext Paris SA to comply with the following conditions for the Fund: - a maximum global spread of 2% between the bid and offer price in the centralised order book. - a minimum par value of EUR 100,000 on the buy and sell side. Furthermore, the obligations incumbent upon the Market Makers will be suspended in the following cases: - if the Benchmark Index ceases to be listed or calculated - in the event of difficulties on the stock market, such as a general time lag in prices or disruption rendering normal management of market-making impossible. INDICATIVE NET ASSET VALUE Where the unit is listed on Euronext Paris, NYSE Euronext will calculate and publish the indicative net asset value of the Fund (hereinafter the inav") during the hours of listing on every Trading Day. The inav is a measure of the intra-day value of the Fund s Net Asset Value based on the most recent data. The inav is not the value at which investors buy and sell their Fund units on the secondary market. The inav will be calculated each day on the calendar for the calculation and publication of the Fund's net asset value. For the calculation of the Fund s inav, computed throughout the trading session in Paris (9.05am-5.35pm), NYSE Euronext will use the level of the Benchmark Index available on Reuters. Additional information about the inav of a unit listed on the stock market may, subject to the conditions and limits fixed by the relevant market undertaking, be provided on the website of the regulated market ensuring the listing of this unit. Furthermore, this information is also accessible on the Reuters or Bloomberg pages of the unit in question. Further information about the Bloomberg and Reuters codes corresponding to the indicative net asset value of any unit class of the UCITS ETF type is also available under the Term Sheets heading on the website. Lyxor International Asset Management, the management company of the Fund, will supply NYSE Euronext with all the financial and accounting data required for the calculation by NYSE Euronext of the inav of the Fund and notably as reference net asset value, the net asset value of Fund on the previous business day together with a reference level of the Benchmark Index equal to the closing value on the previous business day. This reference net asset value and the reference levels of the index will be used as a basis for calculations made by NYSE Euronext to establish the inav of the Fund on the following Trading Day and updated in real time. b) If the unit is listed on a market other than Euronext Paris, (cf. Summary details section), investors are reminded of the following rules: Investors wishing to acquire units in the Fund or obtain any further information regarding the conditions for the market-making regarding the admission and trading of funds on such stock markets as referred to in the Summary details section are advised to familiarise themselves with the operating rules laid down by the relevant market undertaking in accordance with local regulations; where applicable, this should be done with the assistance of their usual intermediaries for the placing of orders on such markets. Page 11

12 CHARGES AND COMMISSION FEES SUBSCRIPTION AND REDEMPTION FEES (CHARGED ONLY ON PRIMARY MARKET TRANSACTIONS) Subscription fees increase the subscription amount paid by the investor, while redemption fees decrease the redemption proceeds paid to the investor. Commission fees paid to the Fund are to compensate for the charges incurred by the Fund in buying or selling the entrusted assets. Any remaining commission fees go to the management company, marketing agent, etc. Fees payable by the investor, charged upon subscription or redemption Subscription fee not allocated to the Fund Subscription fee allocated to the Fund Redemption fee not allocated to the Fund Redemption fee allocated to the Fund Basis Net asset value number of units Net asset value number of units Net asset value number of units Net asset value number of units Rate Maximum of the higher of (i) EUR 50,000 per subscription request and (ii) 5%, which can be onlent to third parties Nil Maximum of the higher of (i) EUR 50,000 per subscription request and (ii) 5%, which can be onlent to third parties Nil OPERATIONAL AND MANAGEMENT FEES These fees cover all the costs invoiced directly to the Fund, except transaction costs. Transaction costs include intermediary fees (brokerage, stock market taxes etc.) as well as transaction fees, if any, that may be charged by the Custodian and the Management Company, in particular. For this Fund, the following fees may be charged in addition to the operational and management fees (see table below):- outperformance commission. This commission is paid to the management company when the Fund exceeds its objectives and are charged to the Fund; - transfer commission charged to the Fund; For more details about actual fees charged to the Fund, please refer to the Fund Statistics section of the Key Investor Information Document (KIID). Fees charged to the Fund Basis Rate Operating and management fees and external management charges (1) Net assets 0.40% p.a. maximum incl. taxes Outperformance fee Net assets Nil Transfer commission: Charge on each transaction (1) including all fees excluding transaction fees, outperformance fees and fees relating to investments in UCITS or investment funds. Nil PROCEDURES FOR CALCULATING AND DISTRIBUTING PAYMENTS ON TEMPORARY SALES AND DISPOSALS OF SECURITIES Payment for transactions concerning the lending of securities is shared between the UCITS and the management company. 50% benefits the UCITS and 50% benefits the management company. Page 12

13 COMMERCIAL INFORMATION Distribution of this prospectus, as well as the offer or purchase of units in the Fund may be subject to restrictions with regard to certain persons or in certain countries by virtue of national regulations applying to such persons or such countries. Each investor is responsible, therefore, for ensuring that he is authorised to subscribe to or invest in this Fund. As a result, the information contained in this prospectus cannot be understood as constituting an offer or solicitation to buy or sell units in the said Fund in a country where such offer or solicitation is unlawful. The Fund has not been registered under the US Securities Act of 1933, as amended (the US Securities Act) and cannot be offered or sold in the United States of America without prior registration under the US Securities Act or unless exempted from registration under the under the US Securities Act. Before any investment in this Fund, investors should approach their financial, tax and legal advisers. PLACE AND METHOD OF PUBLICATION OR COMMUNICATION OF THE NET ASSET VALUE At the registered office of LYXOR INTERNATIONAL ASSET MANAGEMENT, 17 cours Valmy Paris La Défense CEDEX France IMPORTANT INFORMATION ABOUT THE INDEX PROVIDER STOXX and its licensors (the Licensors ) have no relationship to the Licensee, other than the licensing of the EURO STOXX 50 DAILY LEVERAGE Index and the related trademarks for use in connection with the LYXOR UCITS ETF EURO STOXX 50 DAILY LEVERAGE. STOXX and its Licensors do not: Sponsor, endorse, sell or promote the LYXOR UCITS ETF EURO STOXX 50 DAILY LEVERAGE. Recommend that any person invest in the LYXOR UCITS ETF EURO STOXX 50 DAILY LEVERAGE or any other securities. Have any responsibility or liability for or make any decisions about the timing, amount or pricing of LYXOR UCITS ETF EURO STOXX 50 DAILY LEVERAGE. Have any responsibility or liability for the administration, management or marketing of the LYXOR UCITS ETF EURO STOXX 50 DAILY LEVERAGE. Consider the needs of the LYXOR UCITS ETF EURO STOXX 50 DAILY LEVERAGE or the owners of the LYXOR UCITS ETF EURO STOXX 50 DAILY LEVERAGE in determining, composing or calculating the EURO STOXX 50 DAILY LEVERAGE or have any obligation to do so. STOXX and its Licensors will not have any liability in connection with the LYXOR UCITS ETF EURO STOXX 50 DAILY LEVERAGE. Specifically, STOXX and its Licensors do not make any warranty, express or implied and disclaim any and all warranty about: The results to be obtained by the LYXOR UCITS ETF EURO STOXX 50 DAILY LEVERAGE, the owner of the LYXOR UCITS ETF EURO STOXX 50 DAILY LEVERAGE or any other person in connection with the use of the EURO STOXX 50 DAILY LEVERAGE and the data included in the EURO STOXX 50 DAILY LEVERAGE; The accuracy or completeness of the EURO STOXX 50 DAILY LEVERAGE and its data; The merchantability and the fitness for a particular purpose or use of the EURO STOXX 50 DAILY LEVERAGE and its data; STOXX and its Licensors will have no liability for any errors, omissions or interruptions in the EURO STOXX 50 DAILY LEVERAGE or its data; Under no circumstances will STOXX or its Licensors be liable for any lost profits or indirect, punitive, special or consequential damages or losses, even if STOXX or its Licensors knows that they might occur. The licensing agreement between the LYXOR INTERNATIONAL ASSET MANAGEMENT and STOXX is solely for their benefit and not for the benefit of the owners of the LYXOR UCITS ETF EURO STOXX 50 DAILY LEVERAGE or any other third parties. SUPPLEMENTARY INFORMATION The fund's units are admitted to trading by Euroclear France S.A. Subscription and redemption orders are sent by investors' financial intermediaries (members of Euroclear France SA) to Societe Generale's Département des Titres et de la Bourse (Securities and Stock Market Department). The Fund's prospectus, the Key Investor Information Document, the most recent annual report the asset composition statement are sent out within eight business days upon receipt of a written request submitted by investors to: LYXOR INTERNATIONAL ASSET MANAGEMENT 17, cours Valmy Paris La Défense CEDEX France. contact@lyxor.com Requests for information can also be sent to Lyxor International Asset Management via the website. Publication date of the prospectus: 10 June 2013 Pursuant to the provisions of Article L of the French Monetary and Financial Code, you may find relevant information as to the position of the Management Company with regard to criteria relating to social, environmental and corporate governance objectives and performance criteria in the context of its investment policy on the management company's website and in the Fund's annual report. The AMF s website ( contains additional information on the list of regulatory documents and all the provisions relating to investor protection. This prospectus must be made available to subscribers prior to subscription. Page 13

14 INVESTMENT RULES The Fund will comply with the investment rules set out in European Directive 2009/65/EC dated 13 July The Fund may invest in the particular assets referred to in Article L of the French Monetary and Financial Code in accordance with the ratios for the division of risks and investments under the provisions of Articles R to R of the French Monetary and Financial Code. Notwithstanding the 10% limit set by Paragraph II of Article R of the Monetary and Financial Code, the Fund may use up to 20% of its assets for equities and debt securities from the same issuer in compliance with Article R I of the French Monetary and Financial Code relative to index-tracking funds. Moreover, and in compliance with Article R II, the Fund may increase the 20% limit to 35% for a single issuing entity, when this is shown to be justified by exceptional market conditions, in particular when certain securities are largely dominant. OVERALL RISK The calculation of the overall exposure is carried out using the commitment approach. Page 14

15 VALUATION AND ACCOUNTING RULES FOR THE ASSETS A. VALUATION RULES The Fund's assets are valued in accordance with the applicable laws and regulations, more specifically the rules set out in CRC Regulation no of 2 October 2003 relating to the accounting plan for UCITS (1st part). Financial instruments traded on a regulated market are valued at the closing price recorded on the day prior to the calculation of the net asset value. If these financial instruments are traded on several regulated markets at the same time, the closing price used is that recorded on the regulated market on which they are principally traded. However, in the absence of significant trading on a regulated market, the following financial instruments are valued using the following specific methods: - negotiable debt securities with a residual term to maturity of less than three months on acquisition are valued at their purchase price. Any discount or premium to redemption value is amortised on a straight-line basis over the residual term of the instrument. The management company nevertheless reserves the right to value these instruments at their market price if they are particularly sensitive to any market risks (interest rate risk, etc.). The rate applied is that of issues of equivalent securities adjusted by the risk margin relating to the issuer; - negotiable debt securities with a residual term to maturity of more than three months on acquisition, but with a residual term to maturity at the accounting date on which net asset value is calculated of three months or less are valued at the last known market price. Any discount or premium to redemption value is amortised on a straight-line basis over the residual term of the instrument. The management company nevertheless reserves the right to value these instruments at their market price if they are particularly sensitive to any market risks (interest rate risk, etc.). The rate applied is that of issues of equivalent securities adjusted by the risk margin relating to the issuer; - negotiable debt securities with a residual term to maturity of more than three months at the calculation date of net asset value are valued at their market price. The rate applied is that of issues of equivalent securities adjusted by the risk margin relating to the issuer. Financial futures traded on organised markets are valued at the clearing price on the day prior to the calculation of the net asset value. Options traded on organised markets are valued at their market price on the day prior to the calculation of the net asset value. Futures and options traded over the counter are valued at the price given by the counterparty of the financial instrument. The management company monitors these prices independently. - Deposits are valued at their nominal value plus accrued interest. Warrants, treasury bills, promissory notes and mortgage notes are valued at their probable trading value by the management company. - Temporary purchases and disposals of securities are valued at the market price. - Units and shares in UCITS under French law are valued at the last known net asset value on the day the Fund's net asset value is calculated. - Units and shares in investment funds not registered under French law are valued at the last known net asset value per unit on the day the Fund's net asset value is calculated. Financial instruments traded on a regulated market for which the price has not been observed or the price of which has been corrected are valued at their probable trading value by the management company. The exchange rates used to value financial instruments denominated in currencies other than the Fund's reference currency are the exchange rates provided by the WM Reuters fixing on the day on which the Fund's net asset value is calculated. B. ACCOUNTING METHOD FOR TRADING FEES Trading fees are included in the initial cost of the related transaction. C. ACCOUNTING METHOD: INCOME FROM FIXED-INCOME SECURITIES Income from fixed-income securities is accounted for using the cash-basis method. D. DIVIDEND POLICY The management company reserves the right to accumulate and/or distribute all or part of the revenues one or more times per year. E. ACCOUNTING CURRENCY The Fund's accounts are kept in euros. Page 15