Lyxor US Curve Steepening 2-10 UCITS ETF - Acc

Latest NAV
101.1694 USD
Performance YTD


Assets Under Management
130m USD
Dividend Policy
Investment Objective

The Lyxor US Curve Steepening 2-10 UCITS ETF - Acc is a UCITS compliant exchange traded fund that aims to track the Solactive USD Daily (x7) Steepener 2-10 Index. The index tracks the investment performance of a systematic strategy whose returns are directly linked to changes in the US treasury yield curve. The index is constructed such that for a 1bp increase in the steepness of the curve, the index is expected to increase roughly 7bps, though market factors may cause some deviation. The index consists of two underlying components: a long position in the 2Y US Treasury Bond Futures and a short position in the 10Y US Treasury Ultra Bond Futures. Further index details and methodology may be found at Lyxor ETFs are efficient investment vehicles listed on exchange that offer transparent, liquid and low-cost exposure to the underlying benchmark index.


Lyxor US Curve Steepening 2-10 UCITS ETF - Acc


Performance history


The figures relating to [past performances / simulated past performances / past performances and simulated past performances] refer or relate to past periods and are not a reliable indicator of future results. This also applies to historical market data.

Product YTD 1M 3M 1Y 3Y 5Y 10Y ALL
Lyxor US Curve Steepening 2-10 UCITS ETF - Acc ETF 3.01% -1.08% -1.34% 3.61% - - - 2.46%
Solactive USD Daily (x7) Steepener 2-10 Index Benchmark Index 3.27% -1.03% -1.2% 4.18% - - - 3.53%
Data as of 16/06/2021, Source: Lyxor International Asset Management
Product 2020 2019 2018 2017
Lyxor US Curve Steepening 2-10 UCITS ETF - Acc ETF -0.45% - - -
Solactive USD Daily (x7) Steepener 2-10 Index Benchmark Index 0.1% - - -
Data as of 16/06/2021, Source: Lyxor International Asset Management

NAV History

Date NAV Currency Fund AUM
16/06/2021 101.6385 USD 131m USD
15/06/2021 101.4349 USD 131m USD
14/06/2021 101.4742 USD 131m USD
11/06/2021 101.3055 USD 130m USD
10/06/2021 101.2738 USD 130m USD

Dividend History

This fund does not distribute any dividend.


This ETF uses synthetic replication to track the performance of the index. As such, the holdings of the ETF may vary from that of the benchmark index.
You can read more about our approach to replication in our pragmatic guide to replication.

Name Currency Weight Sector Country
US 2YR NOTE (CBT) Sep21 USD 353.9% Government United States
US 10yr Ultra Fut Sep21 USD -77.07% Government United States
Name Listing Currency Quantity Weight Sector Country
T 2 3/4 02/15/28 USD 344,752 29.42% Communication Services United States
T 1 1/2 08/15/26 USD 205,950 16.39% Government United States
WIT 0 1/2 10/31/27 USD 182,271 13.47% Government United States
T 2 5/8 02/15/29 USD 116,487 9.87% Government United States
T 3 3/8 11/15/48 USD 84,576 8.1% Government United States
T 2 7/8 05/15/28 USD 56,490 4.83% Government United States
TII 0 1/8 01/15/30 USD 49,852 4.35% Government United States
ONTTFT 2 04/16/31 USD 5,250 4.08% Government Canada
T 2 7/8 08/15/28 USD 43,840 3.77% Government United States
T 6 1/8 08/15/29 USD 15,975 1.71% Communication Services United States
Swap Information
Basket Adjustment The basket is daily adjusted to the fund outstanding level.
Counterparty Risk Level N/A
Swap Counterparty Société Générale
Date 16/06/2021

1 week moving average of counterparty risk level

Counterparty risk level at daily adjustment time

Swap Price Component

Although past performance is no indicator of future performance, you can get an estimation of the swap price component over the last 12 months by adding the TER to the realized Tracking Difference. the price of being long the index and short the basket of securities held by the ETF (ie. the spread applicable to the index performance provided by the swap counterparty) can be understood as the swap price component. The latter can be positive or negative, depending on the following factors: Read more

Lyxor US Curve Steepening 2-10 UCITS ETF - Acc

1Y Tracking Difference -0.57%
Total Expense Ratio +0.3%
Swap price component estimation =-0.27%

Index Information

Full Name Solactive USD Daily (x7) Steepener 2-10 Index
Index Type Performance
Index Bloomberg Ticker SOUD7STT
Index Currency USD
Number of Index Components 1
Further Information

Index Composition Breakdown

Sector Breakdown

Government 100%

Maturity Breakdown

0-1Y 100%

Ratings Breakdown

AAA 100%

Currency Breakdown

USD 100%

Countries Breakdown

United States 100%
Data as of 16/06/2021, Source: Lyxor International Asset Management


Main Fund Characteristics

ISIN LU2018762653
Share Class Currency USD
Assets Under Management 130.3m USD
Total Expense Ratio 0.3%
Dividend Treatment Capitalisation
EU-SD Status In Scope
Fund Type SICAV
Domicile Luxembourg
Replication Method Indirect (Swap Based)
Umbrella AUM 53,177.8m USD
Portfolio Managers Raphaël Dieterlen, Jean-Marc Guiot
Swap Counterparty Société Générale
Full Property of the Assets Yes
Financial Year End 31/12/2021
Inception Date 18/07/2019
Minimum Investment 1 Share
SFDR Classification 6

DISCLAIMER: This fund includes a risk of capital loss. Investors therefore may not recover all or part of their initial investment. The redemption value of this fund may be less than the amount initially invested. In a worst case scenario, investors could sustain the loss of their entire investment. Be sure to read carefully the Key Investor Information document, and the “risk factors” section of a fund’s performance to better understand the risks involved.

Trading Information

Exchange Ticker Bloomberg Listing Currency Currency Hedged Listing Date Dividend Policy ADV 3M ISIN Fund AUM in CCY
LSE STPU LN USD - 01/08/2019 Capitalisation 153,189USD LU2018762653 131m USD
BX Swiss STPU BW CHF - 30/10/2019 Capitalisation - LU2018762653 118m CHF
Euronext STPU FP EUR - 10/09/2019 Capitalisation 53,815EUR LU2018762653 108m EUR
Borsa Italiana STPU IM EUR - 10/09/2019 Capitalisation 303,059EUR LU2018762653 108m EUR
Xetra UCT2 GY EUR - 10/09/2019 Capitalisation 52,977EUR LU2018762653 108m EUR
*Related Shareclasses

Market Makers

Flow Traders
Société Générale
Data provided by relevant exchanges

Passporting Information

Data as of 16/06/2021, Source: Lyxor International Asset Management


Notice to Shareholders

Notice to Shareholders Annual general meeting Multi Units Luxembourg

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