Lyxor US Curve Steepening 2-10 UCITS ETF - Acc

Latest NAV
85,4929 EUR
Performance YTD


Assets Under Management
104mio EUR
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 1Y
Lyxor US Curve Steepening 2-10 UCITS ETF - Acc 4,32%
Benchmark Index 4,89%
Data as of 13/01/2022, Source: Lyxor International Asset Management
Product YTD 1M 3M 1Y 3Y 5Y 10Y ALL
Lyxor US Curve Steepening 2-10 UCITS ETF - Acc -0,4% -1,04% -0,92% 4,32% - - - -3,61%
Benchmark Index -0,38% -1% -0,79% 4,89% - - - -2,36%
Data as of 13/01/2022, Source: Lyxor International Asset Management
Product 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012
Lyxor US Curve Steepening 2-10 UCITS ETF - Acc 6,45% -8,67% - - - - - - - -
Benchmark Index 7,03% -8,17% - - - - - - - -
Data as of 13/01/2022, Source: Lyxor International Asset Management

NAV History

Date NAV Currency Fund AUM
13/01/2022 85,4929 EUR 104mio EUR
12/01/2022 85,8326 EUR 105mio EUR
11/01/2022 86,5945 EUR 105mio EUR
10/01/2022 86,9121 EUR 106mio EUR
07/01/2022 86,8403 EUR 106mio 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 Sector Country
US 2YR NOTE (CBT) Mar22 USD 363,01% United States
US 10yr Ultra Fut Mar22 USD -78,37%
Name Listing Currency Quantity Weight Sector Country
T 2 1/4 08/15/27 USD 321 963 28,13% Government United States
WIT 1 1/4 03/31/28 USD 342 000 28,03% Government United States
T 2 3/8 05/15/51 USD 260 835 23,28% Government United States
T 2 3/8 11/15/49 USD 91 383 8,12% Government United States
T 2 7/8 05/15/43 USD 63 941 6,04% Government United States
T 2 3/4 02/15/28 USD 47 443 4,27% Government United States
VZ 0 03/16/22 USD 1 000 0,84% Communications United States
BMW Float 08/12/22 USD 450 0,38% Consumer Discretionary Netherlands
T 0 5/8 08/15/30 USD 4 703 0,36% Government United States
ITC 2.7 11/15/22 USD 250 0,21% Utilities 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 12/01/2022

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

Maturity Breakdown

0-1Y 17,76%
1-3Y 82,24%

Sector Breakdown

Government 100%

Ratings Breakdown

NR 100%

Currency Breakdown

USD 100%

Countries Breakdown

United States 127,53%
Data as of 12/01/2022, Source: Lyxor International Asset Management


Main Fund Characteristics

ISIN LU2018762653
Assets Under Management 104,1mio EUR
Total Expense Ratio 0,3%
Tax data (PEA) No
EU-SD Status In Scope
Fund Type SICAV
Domicile Luxembourg
Replication Method Indirect (Unfunded swap)
Portfolio Managers Raphaël Dieterlen, Jean-Marc Guiot
Share Class Currency USD
Dividend Treatment Capitalisation
Umbrella AUM 51 230,8mio EUR
Financial Year End 31/12/2022
Swap Counterparty Société Générale
Full Property of the Assets Yes
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
Euronext STPU FP EUR - 10/09/2019 Capitalisation 9 135EUR LU2018762653 104mio EUR
Borsa Italiana STPU IM EUR - 10/09/2019 Capitalisation 136 152EUR LU2018762653 104mio EUR
Xetra UCT2 GY EUR - 10/09/2019 Capitalisation 5 685EUR LU2018762653 104mio EUR
BX Swiss STPU BW CHF - 30/10/2019 Capitalisation - LU2018762653 109mio CHF
LSE STPU LN USD - 01/08/2019 Capitalisation 106 588USD LU2018762653 119mio USD
*Related Shareclasses

Market Makers

Flow Traders
Société Générale
Data provided by relevant exchanges

Passporting Information

Data as of 13/01/2022, Source: Lyxor International Asset Management


ETF Name Type Language Publication Date Size
Lyxor US Curve Steepening 2-10 UCITS ETF - Acc
Prospectus English 05/11/2021 4427 Ko


Notice to Shareholders

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