Lyxor US Curve Flattening 2-10 UCITS ETF - Acc

Latest NAV
81.3771 EUR
Performance YTD


Assets Under Management
1m EUR
Dividend Policy
Investment Objective

The Lyxor US Curve Flattening 2-10 UCITS ETF - Acc is a UCITS compliant exchange traded fund that aims to track the Solactive USD Daily (x7) Flattener 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 decrease 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 short position in the 2Y US Treasury Bond Futures and a long position in the 10Y US Treasury Ultra Bond Futures. Further index details and methodology may be found at www.solactive.com. 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 Flattening 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.

Cumulative Performance

Product YTD 1M 3M 6M 1Y 3Y 5Y ALL
Lyxor US Curve Flattening 2-10 UCITS ETF - Acc ETF -2.1% -2.14% -3.88% -5.77% -12.45% - - -12.36%
Solactive USD Daily (x7) Flattener 2-10 Index Benchmark Index -2.01% -2.1% -3.75% -5.52% -11.97% - - -11.64%
Data as of 01/03/2021, Source: Lyxor International Asset Management

Calendar Performance

Product 2020 2019 2018 2017
Lyxor US Curve Flattening 2-10 UCITS ETF - Acc ETF -8.52% - - -
Solactive USD Daily (x7) Flattener 2-10 Index Benchmark Index -8.02% - - -
Data as of 01/03/2021, Source: Lyxor International Asset Management

NAV History

Date NAV Currency Fund AUM
01/03/2021 81.3771 EUR 1m EUR
26/02/2021 80.864 EUR 1m EUR
25/02/2021 80.119 EUR 1m EUR
24/02/2021 81.2676 EUR 1m EUR
23/02/2021 81.1241 EUR 1m EUR

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
US 10yr Ultra Fut Jun21 USD 75.84%
US 2YR NOTE (CBT) Jun21 USD -344.4%
Name Listing Currency Quantity Weight
T 2 7/8 05/15/43 USD 2,295 27.75%
T 2 7/8 05/15/28 USD 1,613 19.3%
T 1 7/8 01/31/22 USD 929 10.09%
T 3 3/8 11/15/48 USD 541 7.22%
TII 0 1/8 01/15/30 USD 611 7.12%
T 2 7/8 08/15/28 USD 260 3.09%
T 3 02/15/49 USD 233 2.89%
CM 0 06/16/22 USD 23 2.48%
WSTP Float 01/13/23 USD 23 2.47%
RY 0 04/29/22 USD 23 2.47%
Swap Information
Basket Adjustment The basket is daily adjusted to the fund outstanding level.
Counterparty Risk Level N/A
Swap Counterparty Société Générale
Date 26/02/2021

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 Flattening 2-10 UCITS ETF - Acc

1Y Tracking Difference -0.48%
Total Expense Ratio +0.3%
Swap price component estimation =-0.18%

Index Information

Full Name Solactive USD Daily (x7) Flattener 2-10 Index
Index Type Performance
Index Bloomberg Ticker SOUD7FTT
Index Currency USD
Number of Index Components 1
Further Information www.solactive.com

Index Composition Breakdown

Sector Breakdown

Government 100%

Maturity Breakdown

0-1Y 100%

Ratings Breakdown

AA 100%

Currency Breakdown

USD 100%

Countries Breakdown

United States 100%
Data as of 26/02/2021, Source: Lyxor International Asset Management


Main Fund Characteristics

ISIN LU2018761762
Share Class Currency USD
Assets Under Management 0.8m EUR
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 38,903.8m EUR
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

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
BX Swiss FLTU BW CHF - 30/10/2019 Capitalisation - LU2018761762 1m CHF
Euronext FLTU FP EUR - 10/09/2019 Capitalisation - LU2018761762 1m EUR
Xetra FLTU GY EUR - 10/09/2019 Capitalisation - LU2018761762 1m EUR
Borsa Italiana FLTU IM EUR - 10/09/2019 Capitalisation - LU2018761762 1m EUR
LSE FLTU LN USD - 10/09/2019 Capitalisation 66USD LU2018761762 1m USD
*Related Shareclasses

Market Makers

Flow Traders
Société Générale
Data provided by relevant exchanges

Passporting Information

Data as of 01/03/2021, Source: Lyxor International Asset Management
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