LYXOR ANSWER TO THE CONSULTATION PAPER "ESMA'S GUIDELINES ON ETFS AND OTHER UCITS ISSUES"

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1 Friday 30 March, 2012 LYXOR ANSWER TO THE CONSULTATION PAPER "ESMA'S GUIDELINES ON ETFS AND OTHER UCITS ISSUES" Lyxor Asset Management ( Lyxor ) is an asset management company regulated in France according to the UCITS Directive. At end of February 2012, Lyxor, together with its subsidiaries, manages approximately 77 billion Euros, including 29 billion Euros of ETF, which makes it number 3 in Europe, with a market share of 15%. Lyxor ETFs are all UCITS that are cross-listed in Europe and in Asia. Lyxor welcomes ESMA s policy orientations that are in this Consultation paper and would like to thank ESMA for the opportunity to participate in this consultation. I. INDEX-TRACKING UCITS Q1: Do you agree with the proposed guidelines? Yes we agree with these transparency measures. Q2: Do you see merit in ESMA developing further guidelines on the way that tracking error should be calculated? If yes, please provide your views on the criteria which should be used, indicating whether different criteria should apply to physical and synthetic UCITS ETFs. Yes, we believe that ESMA should develop some guidelines about the way tracking error should be calculated. We see 3 reasons for this: 1. A clear distinction should be made between two key concepts: the "Tracking Error" and the "Tracking Difference". Please note that these concepts are properly explained in the recent IOSCO consultation 1. As mentioned in the consultation: 1 "Principles for the Regulation of Exchange Traded Funds - Consultation Report - 1

2 "The Tracking Error (TE) measures how consistently an ETF follows its benchmark. Tracking error is defined by the industry as the volatility of the differences in returns between a fund and its benchmark index. The tracking error helps measure the quality of the replication. The Tracking Difference (TD) measures the actual under- or outperformance of the fund compared to the benchmark index. Tracking difference is defined as the total return difference between a fund and its benchmark index over a certain period of time. " We have seen some confusion in the market, where some ETF providers have named "Tracking Error" what is in fact the "Tracking Difference". For the sake of clarity, ESMA should affirm the above definition of Tracking Error. 2. We see only advantages for the profession and for investors to harmonize precisely the definition of Tracking Error as regards for example the data that must be used. That will contribute to a better comparability of funds, which is one objective of UCITS regulations. European regulations have already done much more difficult works, like defining a "Synthetic Risk Reward Indicator (SRRI)". Tracking Error is a simple concept and very well defined by specialized literature. It will be an easy task. Indeed at least one regulator, the French regulator, AMF, already defines tracking error The publication of clear Tracking Error data is very important in order to assess that funds that hold themselves as indexed funds are really indexed. Above a certain tracking error level, an indexed fund is not really an indexed fund and investors, at least sophisticated investors, should be allowed to be able to assess this fact by reading the prospectus and the reports of the fund. There should be of course no distinction between so-called "synthetic" and "physical" replication. They are all indexed funds and, as such, they should be transparent as regards their tracking error. Q3: Do you consider that the disclosures on tracking error should be complemented by information on the actual evolution of the fund compared to its benchmark index over a given time period? This question relates to the second concept mentioned in the IOSCO consultation quoted above: the "Tracking Difference" 3. page 9, Box 3 2 See: "Principles for the Regulation of Exchange Traded Funds - Consultation Report - page 9, Box 3 2

3 We agree that the Tracking Difference is an important concept, but we don't see any need to do anything new, because the Tracking Difference is already mentioned prominently in the "Key Investor Information Document (KIID)". Articles 15 to 19 of Commission Regulation 583/2010 define the presentation of past performances. Each year of past performance is compared to the benchmark which, in the case of an indexed fund, is by definition the index. So there will be nothing easier for an investor than to see the difference between the performance of the fund and the performance of the index. II. INDEX-TRACKING LEVERAGED UCITS Q4: Do you agree with the proposed guidelines for index-tracking leveraged UCITS? Yes we agree with these guidelines. Q5: Do you believe that additional guidelines should be introduced requiring index-tracking leveraged UCITS to disclose the way the fund achieves leverage? All UCITS should already disclose in their prospectus how they achieve their strategy. We don't think that specific guidelines are required. III. UCITS EXCHANGE TRADED FUNDS DEFINITION OF UCITS ETFS AND TITLE Q6: Do you agree with the proposed definition of UCITS ETFs? In particular, do you consider that the proposed definition allows the proper distinction between Exchange- Traded UCITS versus other listed UCITS that exist in some EU jurisdictions and that may be subject to additional requirements (e.g. restrictions on the role of the market maker)? Yes. However, we would wish to have stronger market making requirements. It seems to us that the ETF name has become a brand and that there is a risk that some UCITS that are not properly liquid would try to name themselves ETFs without having any real intra-day liquidity. We are at the disposal of ESMA to reflect on more market making requirements in order to ensure that the secondary market liquidity is a really liquid market. Q7: Do you agree with the proposed guidelines in relation to the identifier? 3

4 Yes we agree. We wish that the PRIPS Directive will allow ESMA to prohibit the use of the word "ETF" by non-ucits products or equivalent products. Q8: Do you think that the identifier should further distinguish between synthetic and physical ETFs? No we do not think that it would make sense. There are several reasons for that: 1. Funds are usually classified according to their strategy, not according to how they implement their strategy. There are several classification systems for funds. None are based on the instruments they use. They are always based on the strategy of the fund, which is the main characteristic of a fund that investors should be able to understand. 2. Classifying funds in their names is not consistent with UCITS regulations The issue of understanding the fund and how it is managed has been addressed by UCITS 4. The UCITS 4 solution to this problem is the Key Investor Information Document (KIID). The fundamental idea is to have for each fund a two pages document, the KIID, written in simple language, which explains the fundamental characteristics of the fund. We do not see why we should depart from the UCITS 4 construction, which has not even been fully implemented yet (the KIID will be completely in place only in July 2012). If such requirement were applicable to all ETFs, it should be applicable to all UCITS. The logic behind such proposition would be to have a system of classification of all UCITS in their names. That is very unlikely to be effective. It is already difficult to explain the fundamental characteristics of a fund with two pages so in the name this is clearly impossible. It seems to us that the real challenge as regards investors' information is to produce good quality KIID, written in simple language and explaining clearly all the characteristics and risks of a fund. It seems to us that this should be the real focus of asset managers and regulators. 3. Such classification would be a bad classification That would put to prominence something which is of second order, the way the fund replicates the index. Whereas there are plenty of other characteristics that are more important: is it equity or fixed income, is the index broad or narrow, is it sampling replication or full replication, what is the degree of risks of such fund etc. We could argue that all these characteristics should also be in the name. And the name would be as long as the KIID. 4. Such prominent mention would mislead investors The purpose of those who are in favor of such proposal is to frighten investors away from synthetic replication by mentioning "swap-based" or something of this kind, whereas nothing would be 4

5 mentioned for so-called "physical replication". This is not fair. Investors would have the feeling that such structure is more risky, whereas this is not necessarily true. Securities lending create equivalent risks to investors. Depending on the effective collateral used, a "physical replication" fund may be more risky than a "synthetic replication" fund. If there is an identifier, there should be 2 identifiers: one would be "securities lending" and other would be "swap-based". But would investors really understand what all this is about? It would also mislead investors, to the extent that "physical replication" is misleading. Investors may think that the fund holds the securities, whereas they may be lent, or investors may think that the fund owns the whole securities that constitute the index, whereas this may be not true, due to sampling strategies. 5. What about mixed situations? If an ETF replicates an index by purchasing the constituents of the index, for 60%, and with some swaps for 40% of the index, is it physical or synthetic replication? If such regulation is adopted there should be some guidelines about how to deal with such mixed situations. Q9: Do you think that the use of the words Exchange-Traded Fund should be allowed as an alternative identifier for UCITS ETFs? No that would make things more complex in terms of implementation in all non-english languages. Q10: Do you think that there should be stricter requirements on the minimum number of market makers, particularly when one of them is an affiliated entity of the ETF promoter? We do not believe that there should be a distinction as to whether or not a market-maker belongs to the same group as the asset manager. That would introduce a new concept in European UCITS regulation. Until now, no UCITS regulation makes any difference linked to the affiliation of an entity. European regulations of conflict of interests rely on standards, policies and controls, not on regulations linked to affiliation. We believe that regulators should make sure that conflict of interest regulations are properly implemented. They should not altogether prohibit or restrict intra-group transactions or agreements. However, we do believe that, in order to be allowed to qualify itself as an ETF, a UCITS should have an effective secondary market, with some strict constraints, and we believe that it would be a good idea to require that each ETF has at least 2 market makers. We would favor the harmonization of ETF listing rules in Europe, with strong rules that would ensure that the secondary market is really liquid. We are at the disposal of ESMA to reflect on such rules. 5

6 ACTIVELY-MANAGED UCITS ETFS Q11: Do you agree with the proposed guidelines in relation to actively-managed UCITS ETFs? Are there any other matters that should be disclosed in the prospectus, the KIID or any marketing communications of the UCITS ETF? Yes. This is fine as proposed. SECONDARY MARKET INVESTORS Q12: Which is your preferred option for the proposed guidelines for secondary market investors? Do you have any alternative proposals? What is important for investors is that they must be sure that they will be able to get their shares redeemed when they wish so. In this respect, option 1 or option 2 are both acceptable. We believe that both options should therefore be allowed. Q13: With respect to paragraph 2 of option 1 in Box 5, do you think there should be further specific investor protection measures to ensure the possibility of direct redemption during the period of disruption? If yes, please elaborate. We believe that investors should have the right to redeem at NAV if the secondary market is disrupted, with no excessive fees. This can happen in different ways and there is no need to regulate in details the actual process. We would be in favor of adding to proposed ESMA guidelines that the prospectus of the fund should clarify such right. Q14: Do you believe that additional guidelines should be provided as regards the situation existing in certain jurisdictions where certificates representing the UCITS ETF units are traded in the secondary markets? If yes, please provide details on the main issues related to such certificates. We are not aware of any issue here. As far as we know, the issue is that some funds that do not have a local Central Depository issue a Global Certificate that is then held in custody by a registrar. We tend to think that such schemes are transparent for the fund shareholders, do not create any additional risks for them and do not allow regulatory arbitrage or regulatory evasion. 6

7 However, if the subject here is the issue of Certificates which underlying is an ETF, that are marketed separately from the ETF and according to different rules, that is a broader issue and a very different one. Maybe the PRIPS Directive will be the right legal instrument to deal with such situations. Q15: Can you provide further details on the relationship between the ETF s register of unitholders, the sub-register held by the central securities depositaries and any other subregisters held, for example by a broker or an intermediary? IV. EFFICIENT PORTFOLIO MANAGEMENT TECHNIQUES Q16: Do you agree with the proposed guidelines in Box 6? In particular, are you in favour of requiring collateral received in the context of EPM techniques to comply with CESR s guidelines on Risk Measurement and Calculation of Global Exposure and Counterparty Risk for UCITS? Yes we agree. CESR s "guidelines on Risk Measurement and Calculation of Global Exposure and Counterparty Risk for UCITS" include detailed guidelines for the collateral of derivatives. There is no need to "reinvent the wheel". The solution proposed by ESMA, which is to extend the scope of such guidelines to EPM techniques, makes a lot of sense. This solution has the advantage of treating equally the collateral of derivatives and the collateral of EPM, which also makes a lot of sense, since the risks involved are identical. Q17: Do you think that the proposed guidelines set standards that will ensure that the collateral received in the context of EPM techniques is of good quality? If no, please justify. We believe that such standards are a first step in the right direction, the direction of a strong regulation of collateral for the sake of investors' protection. Q18: Do you see merit in the development of further guidelines in respect of the reinvestment of cash collateral received in the context of EPM techniques (the same question is relevant to Box 7 below)? 7

8 Yes this is necessary because the reinvestment of collateral may create a regulatory loophole. We should avoid all the situations where regulations concerning the investments of the fund can be avoided by investing the collateral, outside the scope of the regulation. We are in favor of ESMA guidelines mentioning clearly that all reinvestment of collateral should be seen as an investment of the fund for the sake of eligibility, diversification, exposure and costs transparency regulations. Q19: Would you be in favor of requiring a high correlation between the collateral provided and the composition of the UCITS underlying portfolio? Please explain your view. No, that does not look necessary. Q20: Do you agree that the combination of the collateral received by the UCITS and the assets of the UCITS not on loan should comply with the UCITS diversification rules? No we believe that there is no need to require diversification of the collateral. Collateral is useful as a safety against the potential bankruptcy of the counterparty. Diversification is not necessarily needed since the fund has no direct exposure to this collateral. Q21: With regards to eligibility of assets to be used as collateral, do you have a preference for a list of qualitative criteria (as set out in CESR s guidelines on risk measurement) only or should this be complemented by an indicative list of eligible assets? We believe that the qualitative criteria are already a significant progress in the protection of investors. Q22: Alternatively, do you see merit in prescribing an exhaustive list of assets eligible for use as collateral? If so, please provide comments on whether the list of assets in paragraph 52 is appropriate. We believe that there should be some flexibility for the management of the collateral, subjected to strong and effective risk controls from the Asset Manager or the Investment Manager and their risk departments. Q23: Do you believe that the counterparty risk created by EPM techniques should be added to the counterparty risk linked to OTC derivative transaction when calculating the maximum exposure under Article 52.1 of the UCITS Directive? Yes we believe that it makes sense to cumulate those risks. Our view is that all counterparty risks should be aggregated and regulated on a consolidated basis. This is the best way to achieve a consistent and efficient regulatory framework. 8

9 Q24: Do you agree that entities to which cash collateral is deposited should comply with Article 50(f) of the UCITS Directive? Yes we agree. Q25: Do you believe that the proportion of the UCITS portfolio that can be subject to securities lending activity should be limited? If so, what would be an appropriate percentage threshold? No we believe that such limit would not be in the interest of investors because securities lending activities, like Total Return Swaps, can improve the performance of the fund. We believe, however, that more transparency on the amount that is lent would be welcome. Most funds concentrate their lending during the dividend season, so the amount that is lent on average is not a real indicator of their securities lending activities. We suggest that the annual and semi-annual reports of the fund provide data about the levels of such activity, especially the maximum percentage of the asset of the fund that has been lent. Q26: What is the current market practice regarding the proportion of assets that are typically lent? The market practice for the amount that is lent differs per asset class and per exposure but it is clear that in some cases the amount lent can be very high. Some physical providers seem to set a limit of 95% of the fund that can be lent out. During dividend season the figure for equity funds is typically quite high. Outside of dividend season the amount that is lent is usually lower. Q27: For the purposes of Q25 above, should specific elements be taken into account in determining the proportion of assets (e.g. the use made by the counterparty of the lent securities)? No, as we said before, we believe that securities lending should not face quantitative limits. Q28: Do you consider that the information to be disclosed in the prospectus in line with paragraphs 1 and 2 of Box 6 should be included in the fund rules? Prospectus seems to us appropriate. 9

10 Q29: Do you see the merit in prescribing the identification of EPM counterparties more frequently than on a yearly basis? If yes, what would be the appropriate frequency and medium? Appropriate reporting should be yearly and half-yearly reports of the funds. Q30: In relation to the valuation of the collateral by the depositary of the UCITS, are there situations (such as when the depositary is an affiliated entity of the bank that provides the collateral to the UCITS) which may raise risks of conflict of interests? If yes, please explain how these risks could be mitigated? The question is also valid for collateral received by the UCITS in the context of total return swaps There are already rules that are applicable to conflict of interests and they seem to us appropriate. Until now, no UCITS regulation makes any difference linked to the affiliation of an entity. European regulations of conflict of interests rely on standards, policies and controls, not on regulations linked to affiliation. We believe that regulators should make sure that conflict of interest regulations are properly implemented. They should not altogether prohibit or restrict intra-group transactions or agreements. Q31: Do you think that the automation of portfolio management can conflict with the duties of the UCITS management company to provide effective safeguards against potential conflicts of interest and ensure the existence of collateral of appropriate quality and quantity? This question is also relevant to Box 7 below. Automation is useful for productivity reasons. Provided automatic management operates under the guidelines, supervision and control by the risk management department of the asset management company, we do not see any specific problem. V. TOTAL RETURN SWAPS Q32: Do you agree with the proposed guidelines? 1. We do not agree with the last sentence of paragraph 58 of the consultation: "This investment can represent up to 100% of the assets, in which case the UCITS can be qualified as a structured UCITS." 10

11 We believe that such mention creates a lot of legal confusion. Structured UCITS is a specific concept that is already defined in the Commission regulation related to the KIID 4 : "( ) structured UCITS shall be understood as UCITS which provide investors, at certain predetermined dates, with algorithm-based payoffs that are linked to the performance, or to the realization of price changes or other conditions, of financial assets, indices or reference portfolios or UCITS with similar features." We believe that this sentence should be deleted from the final guidelines. 2. We are against a specific measure targeted at only a specific structure which is a TRS. We are in favor of broader derivatives regulations For the sake of consistency, we believe that there should be only one body of derivatives regulations. It does not make much sense to isolate a specific form of derivatives, a TRS, and to apply specific regulations to them. Regulations are better when they have a broader and general application. We are against isolated regulations that do not belong to a broader coherent system. Moreover, there is no recognized definition of a TRS. If the swap applies only to the difference of performance, is it still a TRS? The proposed guidelines are also completely unclear as to whether such guidelines would be applicable to all TRS or only to TRS that are used on the whole assets of the fund. They are also unclear as to whether they are applicable when the fund has several counterparties. 3. As regards information to be provided, we agree with the proposal, provided that disclosing the counterparties is possible only to the extent that there is a stable and permanent counterparty. If there are several counterparties and changing often, it is not possible to disclose them in the prospectus. 4. We disagree with the diversification requirements. We believe that there is no need to require diversification of the collateral or of direct assets that play the same economic role as collateral. Collateral is useful as a safety against the potential bankruptcy of the counterparty. Diversification is not needed since the fund has no direct exposure to this collateral. 4 COMMISSION REGULATION (EU) No 583/2010 of 1 July 2010 implementing Directive 2009/65/EC of the European Parliament and of the Council as regards key investor information and conditions to be met when providing key investor information or the prospectus in a durable medium other than paper or by means of a website 11

12 5. We strongly disagree with BOX 7 paragraph 5 (d), which in some circumstances requires that the counterparty be considered as an investment manager. Box 7, paragraph 5 (d) is the following: "Where the swap counterparty has discretion over the composition or management of the UCITS portfolio or can take any other discretionary decision related to the UCITS portfolio then the agreement between the UCITS and the swap counterparty should be considered as an investment management delegation arrangement and should comply with the UCITS requirements on delegation. Thus, the counterparty should be treated and disclosed as an investment manager." We strongly disagree: a) It is not correct to qualify as an investment manager a swap counterparty. A swap counterparty may have a limited discretion under the supervision of the investment manager. That does not make such counterparty an investment manager. This would be legally weird. The investment manager would have to negotiate, under a delegation of the asset manager, with himself, as counterparty of the fund. That does not make sense. How could we have arms length negotiation with a counterparty if such counterparty is already the investment manager of the fund? b) It is very extreme to consider that any flexibility that is given to the swap counterparty makes such counterparty and investment manager. We would understand this position if the swap counterparty could have an impact on the performances of the fund. But we are not in this case. In ETFs, swap counterparties discretion is limited to the choice of the collateral portfolio, under the control and following the guidelines of the risk department of the investment manager. Their decisions have no impact on the performance of the fund. If these guidelines proposals are confirmed, we would suggest to replace in the proposed paragraph: "Where the swap counterparty has discretion over the composition or management of the UCITS portfolio" by "Where the swap counterparty has discretion over the composition or management of the UCITS portfolio and is therefore able to have an impact on the performances of the UCITS". c) No such requirement exists for securities lending. Indeed, in securities lending operations, the collateral is often posted by the counterparty freely and those operations are under the control of the lending agent. Therefore the lending agent and/or the lending counterparty have some degree of flexibility in the management of the fund, deciding which securities are lent and which collateral is accepted. And ESMA does not propose to treat the lending agent or the counterparty of securities lending operations as an Investment Manager. This is an unfair double standard. As a matter of fairness, consistency and in order to avoid regulatory arbitrage, ESMA should treat in the same way operations that are economically similar. d) How can we manage several counterparties? We are dealing with several counterparties and such counterparties can change every month. How would we manage those changes if counterparties are supposed to be investment managers? That cannot work in practice. ESMA should give some indication about how we would manage such permanent change of counterparties. 12

13 Q33: Do you think that the proposed guidelines set standards that ensure that the collateral received in the context of total return is of good quality? If not, please justify. Yes we agree. Proposed guidelines are recent (July 2010) and have been implemented only since UCITS 4 (July 2011). There is no reason to believe that they are not appropriate. Q34: Do you consider that the information to be disclosed in the prospectus in line with paragraph 5 of Box 7 should be included in the fund rules? No we believe that including this information in the prospectus is appropriate. Q35: With regards to eligibility of assets to be used as collateral, do you have a preference for a list of qualitative criteria (as set out in CESR s guidelines on risk measurement) only or should this be complemented by an indicative list of eligible assets? No, qualitative guidelines seem to us appropriate. There should be enough flexibility for the manager. Again, we fully support the proposal of ESMA to treat in the same way the collateral of securities lending operations and the collateral of Total Return Swaps. Q36: Alternatively, do you see merit in prescribing an exhaustive list of assets eligible for use as collateral? If so, please provide comments on whether the list of assets in paragraph 73 is appropriate. Again, we believe that collateral regulations should be in line with the collateral regulations of securities lending operations. We believe that qualitative criteria, as existing under current CESR guidelines, are appropriate. Q37: Do you agree that the combination of the collateral received by the UCITS and the assets of the UCITS not on loan should comply with the UCITS diversification rules? No we disagree. We believe that there is no need to require diversification of the collateral or of direct assets that play the same economic role as collateral. Collateral is useful as a safety against the potential bankruptcy of the counterparty. Diversification is not needed since the fund has no direct exposure to this collateral. Q38: Do you consider that the guidelines in Box 7 and in particular provisions on the diversification of the collateral and the haircut policies should apply to all OTC derivative transactions and not be limited to TRS? We believe that any regulation concerning the collateral of TRS should be applicable to all derivatives and all "Efficient Portfolio Techniques", for the sake of consistency and fairness. 13

14 VI. STRATEGY INDICES Q39: Do you consider the proposed guidelines on strategy indices appropriate? Please explain your view. We agree with the guidelines, with the exception of the following comments: As they are today, the proposed guidelines would create many legal uncertainties. What is missing is a clear definition of their scope: a) Are these guidelines applicable to all indices or to only a subset of the indices world named "Strategy Indices"? If they are applicable only to Strategy Indices, the guidelines should define what a Strategy Index is. For the sake of consistency, we believe that it would be more appropriate to have only one regulatory framework for all indices, as regards the application of Article 51 of the UCITS Directive. It does not make much sense to isolate a specific form of indices, Strategy Indices, and to apply specific regulations to them. Regulations are better when they have a broader and general application. We are against isolated regulations that do not belong to a broader coherent system. We therefore suggest that ESMA clarifies that these guidelines are applicable to all indices. b) Are these guidelines applicable to all UCITS or only to UCITS that are indexed on an index? For example, if a UCITS purchases an option on a Strategy index, which nominal is only 10% of the UCITS NAV, are such regulations applicable? For the same reasons as in a), we would suggest that ESMA clarifies that such regulations are applicable to all uses of Strategy Indices by UCITS, whatever they may be. c) Are these guidelines regulating the use of the word "Indices" or are they implementing Article 51 of the UCITS Directive? In other words, we believe that it should be clear that the regulation is applicable to Indices, only to the extent that they concern the derivatives exemption of Article 51, paragraph 3, sub-paragraph 3, second sentence of the UCITS Directive: "Member States may provide that, when a UCITS invests in index-based financial derivative instruments, those investments are not required to be combined for the purposes of the limits laid down in Article 52". When the manager accepts not to use Article 51, paragraph 3, sub-paragraph 3 of the UCITS Directive, i.e. when the manager agrees to treat an index as transparent and will look through it for regulatory purposes, there is no need to regulate such index. ESMA should clarify this. Q40: Do you think that further consideration should be given to potential risks of conflict of interests when the index provider is an affiliated firm of the management company? We don't see any conflict of interest when the index provider is an affiliated firm of the management company or even the management company itself. Management companies have the right to manage 14

15 discretionary funds. So in a worst case scenario, if we assume that an asset manager manages the index without following its rules, the fund will simply be an actively-managed fund. Provided that the prospectus is clear about what the manager is doing, we don't see any issue. In fact we strongly believe the opposite. Asset Management companies should have the right and be encouraged to manage indices themselves. Index providers are, to some extent, Asset Managers, because they actually determine investments. It would be very paradoxical to propose that regulated Asset Managers cannot sponsor indices and track them, whereas index providers, that are not regulated, could sponsor any index. VII. TRANSITIONAL PROVISIONS Q41: Do you consider the proposed transitional provisions appropriate? Please explain your view. Yes we do. We are against grand fathering clause that last more than 6 months and would create some embedded competitive advantages for existing funds, at the expense of other funds and asset managers. We are at the disposal of ESMA for further information or discussion. Please contact us at the following address and telephones. Yours faithfully, Alain Dubois Chairman Lyxor Asset Management alain.dubois@lyxor.com Tel: Mobile:

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