Inflation ETFs
Inflation ETFs
3 Lyxor ETFs “Inflation Expectations”
Inflation ETFs 3
Lyxor US$ 10Y Inflation Expectations ETF Simple, low cost access to US inflation expectations
*Source: Lyxor International Asset Management. Data as at 27/01/2017.
**Source: Lyxor International Asset Management. Data as at 27/02/2017.
UCITS ETF Bloomberg
Ticker ISIN Listing currency AuM** TER**
Lyxor US$ 10Y Inflation Expectations INFU IM LU1390062831 EUR, USD, GBP $530m 0.25%
Big
$552m in
Assets under
Management*
Competitive
Total Expense
Ratio of just
0.25%*
Innovative
Access to
inflation
expectations
with no interest
rate risk
INDEX*
Index name
Markit iBoxx USD
Breakeven 10-Year Inflation
Index Nominal_TRI
Bloomberg ticker IBXXUBF1
Currency USD
# components 14
Yield -0.41%
Duration 0.24
(long leg: ~8)
Unique
The 1st and only
US inflation
expectations
ETF on the
Market*
Inflation ETFs 4
Lyxor EUR 2-10Y Inflation Expectations ETF Simple, low cost access to European inflation expectations
*Source: Lyxor International Asset Management. Data as at 27/01/2017.
**Source: Lyxor International Asset Management. Data as at 27/02/2017.
UCITS ETF Bloomberg
Ticker ISIN Listing currency AuM** TER**
Lyxor EUR 2-10Y Inflation Expectations INFL FP LU1390062245 EUR, GBP €314m 0.25%
Big
$267m in
Assets under
Management*
Competitive
Total Expense
Ratio of just
0.25%*
INDEX*
Index name
Markit iBoxx EUR
Breakeven Euro-Inflation
France & Germany Index
Nominal_TRI
Bloomberg ticker IBXXEBF1
Currency EUR
# components 18
Yield -0.73%
Duration -0.06
(long leg: ~5)
Unique
The 1st and only
Euro inflation
expectations
ETF on the
Market*
Innovative
Access to
inflation
expectations
with no interest
rate risk
Inflation ETFs 5
Lyxor UK£ 10Y Inflation Expectations ETF Simple, low cost access to UK£ inflation expectations
Coming soon
Inflation ETFs
ETFs as Risk Management tools
Inflation ETFs 7
ETF: from “Market Access” to “Risk Management”
INTEREST RATE RISK
Etf Short on BTP, BUND & US Treasury
Etf on Floating Rate Bond (EUR)
CURRENCY RISK
Etf Euro Hedged on Equity (S&P 500, Topix, JPX-400, Msci World, Ftse 100, ecc…)
Etf Euro Hedged on Bonds (US Corp IG, US High Yield, US Treasury, Emerging ecc…)
MARKET RISK
Etf Short on Ftse Mib, Dax, Euro Stoxx 50, ecc…
LIQUIDITY RISK
Etf on Smart Cash €, Smart Cash $, Euro Cash Eonia, Fed Fund $
RATING RISK (default)
Etf on € High Yield rating “BB” only
Etf on Bond Ex-Financials
INFLATION RISK
Etf on Inflation Linked Bond (USD, EUR & GBP)
Etf on Inflation Expectations (USD, EUR & GBP)
Inflation ETFs
Inflation Risk
Inflation ETFs 9
Inflation concerns are on the rise Global sentiment has changed from the deflation fears of 2015
► SG Cross Asset Research expects inflation prints to inch higher over the next quarters, supported by the base
effect from oil price normalisation finally kicking in.
Inflation ↑
Deflation
*Source: SG Cross Asset Research, ‘The Virtues of Inflation-linked bonds’, 14/10/2016. Past performance is not a reliable indicator of future performance.
The figures relating to future performance are a forecast and are not a reliable indicator of future results.
Inflation prints to crawl higher over the next quarters*
Inflation ETFs 10
Inflation reduces purchasing power
$ $
$
$ $
$
$ $
$ $
+2% inflation
+5% nominal portfolio return
+3% real return
- =
► Predicting inflation is hard, but it’s better to be prepared...
Inflation ETFs 11
When inflation rises, interest rates usually follow... ...and rising rates erode bond returns
► Rising inflation tends to result in rising rates as central banks attempt to reign in growth
► Interest rate hikes have a negative impact on bonds, both nominal and inflation-linked
► Some ETFs can help manage this risk...
For illustrative purposes only.
THEN Interest
rates
Bond
prices IF
Inflation ETFs 12
Inflation is historically correlated to rates Correlation has broken down, but may re-appear when rates go back up
► With the end of zero rate policy, the correlation between short term interest rates and inflation could re-appear
Source: Lyxor ETF Research, Bloomberg. Data period 28/02/1970-08/12/2016. Past performance is not a reliable indicator of future returns.
Year-on-year US CPI vs. Fed Fund rate
The story in
Europe is similar...
Inflation ETFs
Inflation Expectations ETFs Hedge against both rising inflation and rising rates
Inflation ETFs 14
Inflation Expectations Determined by the market’s expectations of future inflation
For illustrative purposes only.
► Just like conventional bonds, ILBs are issued with a certain face value
► When traded in the market, their price varies depending on the market’s expectations of future inflation
► The difference in spread between ILBs and nominal bonds with the same maturity is the breakeven inflation rate
Difference in yields
= breakeven rate
NOMINAL BONDS
INFLATION-LINKED BONDS
Yield
Maturity
e.g. 2.50% – 1.00% = 1.50% 10-year US Treasuries TIPS breakeven
Inflation ETFs 15
How does the ETF work? A simple long/short strategy
Index holdings Exposure
Exposure to
inflation
expectations
Long a diversified
basket of recently
issued inflation-
linked bonds
Short traditional
bonds matched for
duration
Isolate inflation.
Helps to maintain
hedging ability
when rates rise
Interest
rates
Interest
rates
Inflation-linked Bonds
e.g. TIPS
Traditional Bonds
e.g. Treasuries
Expected
inflation
Target duration = zero
Inflation ETFs
16
Index construction
1) TIPS constituents are determined as follows:
The weight of the “on the run” TIPS (i.e. last one issued) is fixed at 28%
at each rebalance date.
The remaining five “off the run” TIPS (i.e. next available issues) are
weighted based on age, using an exponential decay and a maximum
weight cap of 28%, with the newest bond having the largest weight.
2) Each TIPS is associated with two (or single) neighboring Treasuries
with closest annual modified duration with the weight of the two (or
single) treasuries determined in a way to neutralize duration.
3) Exposure to any TIPS and to any Treasury bond cannot exceed 30%
at any rebalance date. In addition, Markit iBoxx USD 10-year
Breakeven Inflation Index must contain a total of six TIPS and at least
six Treasury bonds, at any point in time.
A long position in the last
6 U.S. 10-year Treasury
Inflation-Protected
securities (TIPS) issued
Markit iBoxx USD 10-year
Breakeven Inflation Index
A short position in U.S.
Treasury bonds with
adjacent durations
The base inflation index for the TIPS is US CPI
A combination of:
» Key figures of Markit iBoxx USD 10-year Breakeven Inflation INDEX1
Long leg
Markit iBoxx USD 10-Year TIPS
Index
Short leg
Markit iBoxx USD 10-Year
Treasuries Index
1Source Lyxor International Asset
Management. Data observed as of
May, 2016
Index type Total return
Rebalancing frequency Monthly
Index currency USD
Index Bloomberg Ticker IBXXUBF1
ISIN GB00BYVXD172
Duration (Years) 0.07
Modified Duration 0.11
Long leg Maturity 8.96
Number of bonds in the Index 14
Lyxor US$ 10Y Inflation Expectations ETF Index Construction
Inflation ETFs
17
A combination of:
Key figures for Markit iBoxx EUR Breakeven Euro-Inflation France & Germany Index
Long leg Markit iBoxx EUR Breakeven Euro-Inflation
France & Germany Inflation-Linked Index
Short leg Markit iBoxx EUR Breakeven Euro-Inflation
France & Germany Sovereign Index
Markit iBoxx EUR Breakeven Euro-
Inflation France & Germany Index
A long position in
Inflation-linked Bonds
(ILB) issued in priority by
France and Germany
A short position in France
and Germany sovereign
bonds with adjacent
durations
The base inflation index for the TIPS is Euro CPI
Index construction
1) ILB constituents are determined as follows:
Selection of six inflation-linked sovereign bonds issued in priority by
France and Germany, with a minimum investment grade rating, a
minimum outstanding amount of EUR 5 billion and with a maturity
between 2 and 10 years. The inflation-linked bonds are market value
weighted.
2) The nominal sovereign bond position is constructed in a way that
duration of the inflation-linked bonds portion is neutralized.
3) Exposure to any inflation-linked bond and to any nominal sovereign
bond cannot exceed 30% at any rebalance date. In addition, the Index
must contain at least six inflation-linked bonds and at least six nominal
sovereign bonds, at any point in time.
1Source Lyxor International
Asset Management. Data
observed as of May, 2016
Index type Total return
Rebalancing frequency Monthly
Index currency EUR
Index Bloomberg Ticker IBXXEBF1
ISIN GB00BYVXCZ47
Duration (Years) -0.02
Modified Duration 0.02
Long leg Maturity 4.87
Number of bonds in the Index 14
Lyxor EUR 2-10Y Inflation Expectations ETF Index Construction
Inflation ETFs 18
Key Takeway
ETF “INFLATION EXPECTATIONS” ≠ ETF “INFLATION LINKED BONDS”
PROTECTION AGAINST “INFLATION” RISING
PROTECTION AGAINST “RATE” RISING
ETF IS EXPOSED TO INFLATION EXPECTATIONS MOVES ONLY
Alias to “Breakeven Inflation” changes
NO EXPOSURE TO INTEREST RATE RISK (Modified Duration ~ 0)
While Inflation Linked Bond are exposed
Inflation ETFs 19
How does the strategy behave? Comparison with traditional bonds and ILBs
Rise in expected
inflation
Traditional
bond
Rise in nominal
interest rates
Inflation-linked
bond
Breakeven
strategy
=/- + +
- - =
+ Positive effect
= No effect
- Negative effect
Source: Lyxor International Asset Management. For illustrative purposes only.
Rising inflation expectations can mean higher interest rates, in which case traditional bonds & ILBs would fall in value.
► The inflation expectations strategy provides exposure to the inflation driven outperformance of ILBs
+ protection against rising interest rates
► The combined effect of both rising expected inflation and interest rates can be summarised below:
Inflation ETFs
How to use the ETF
Inflation ETFs 21
How to use the ETF
USED AS INFLATION HEDGE FOR A BOND PORTFOLIO
ETF used as an overlay of an existing Nominal Bond Portfolio
USED FOR DIVERSIFICATION OF A BOND PORTFOLIO
ETF as access to the asset class “Inflation” expectation
USED FOR DURATION MANAGEMENT
Within an Inflation Linked Bond portfolio (ETF Mod. Duration ~ 0)
Inflation ETFs 22
Diversification approach ILBs have low correlation with other assets
*Source: The correlation is calculated over a 3-year period using weekly observations of total return indices (euro) and EWMA methodology. For calculating the correlation,
25 financial instruments across various asset classes have been considered. Source: Datastream, Barclays, SG Cross Asset Research/Global Asset Allocation, data from
01/01/05 to 31/08/16. Past performance is not a reliable indicator of future results.
**See appendix for full list of asset classes used in correlation analysis.
► SG Research recently observed
the correlation between ILBs
and other assets*
► 25 asset classes were used in
the analysis (e.g. equities,
nominal bonds, credit, cash,
alternatives**)
► Conclusion ILBs have
strong diversification
properties
Correlation of inflation-linked bonds with other asset classes*
Inflation ETFs 23
Tactical approach Have markets fully priced in European inflation
► Equally, European inflation expectations may also be underpriced by the market
European inflation expectations – SG forecast vs. market expectations
Source: Bloomberg, SG Cross Asset Research/Economics; market expectations for euro area HICP ex tobacco; Bloomberg quarterly estimates for HICP
% yoy. Data as at 06/01/2017. Past performance is not a reliable indicator of future performance. The figures relating to future performance are a
forecast and are not a reliable indicator of future results.
► SG Research
believes inflation
expectations
aren’t priced in
Inflation ETFs 24
Inflation Hedging approach
INDICATIVE RULE
Duration of the client’s Nominal portfolio to be hedged
____________________________________________
Duration of the Breakeven ETF
You can hedge against Inflation even a Portfolio of Corporate Bond
(not possible with traditional Inflation Linked Bond)
Inflation ETFs
ETF sensitivity to inflation
expectations
Inflation ETFs 26
Inflation expectations ETFs - theory vs. reality Making the theory investable
► Inflation breakeven
Theoretical measure of inflation
expectation
Non-investable, yield based measure
Driven by the variation in yield
between bonds
► The Lyxor long/short ETF strategy
An investable proxy of breakeven
inflation (subject to market related
factors impacting performance)
100% liquid UCITS compliant strategy
Driven by outperformance of inflation
linked bonds
%
Yield based index Price based index
Long basket
of ILBs
Short basket
of nominal
bonds
∆ Inflation Expectations x Duration ≈ ∆ ETF performance
APPROX. EQUAL
(IN THEORY)
Inflation ETFs 27
Simply a proxy of inflation breakeven The ETF strategy is not a direct replication of the breakeven rate
► For the avoidance of doubt
Daily ETF performance is not exactly equal to daily change in inflation expectations
ETF performance is driven by the daily outperformance of the long basket of ILBs vs. the short basket
of nominal bonds
This is in theory correlated to changes in inflation expected by the market (i.e. the breakeven rate)
Change in inflation expectations x Duration of long leg basket ≈ approximate change in ETF
► Relationship between duration and breakeven an illustrative example
An approximate calculation for how the ETF should theoretically move in relation to breakeven inflation is:
US Inflation Breakeven rate Markit iBoxx US 10Y Breakeven Index
Yield based index Price based index
Long
basket
Short
basket
+0.4% Duration = 8.7* +3.5% X ≈
*Sensitivity can vary based on other market related factors. See next slide for details.
Inflation ETFs
28
Source : Bloomberg, Markit, 2016
U.S. Inflation Breakeven Markit Iboxx US 10Y Breakeven Index
1. Sensitivity as of May, 2016. Sensitivity can vary.
*Data observed March 2007 to March 2016. Past performance is not a reliable indicator of future returns.
»Movements in the Breakeven rate are approximately multiplied in the ETF by the duration of the index basket
X81 0.42%
»3.3%
» An approximate calculation for how the ETF should move in relation to breakeven inflation is;
Change in inflation expectations [0.42%] x Duration of ETF basket [8 years] = approximate change in ETF [3.3%]
»However, as a real investment, the ETF is also sensitive to market related factors such as inflation seasonality and
liquidity premiums in the short term, which can effect the sensitivity of the index to breakeven inflation.
Inflation ETFs
► Variation between ETF performance and breakeven rate can be explained by variable market related factors
29
Sensitivity to market related factors Duration is the biggest factor but other factors exist
*Source: Bloomberg. Data observed March 2007 to March 2016. Past performance is not a reliable indicator of future returns
Liquidity premiums
Liquidity
premiums on
the inflation-linked
bond market can
also affect pricing
5-10x Average historically
observed sensitivity range of
the Markit iboxx Breakeven
index to a change in inflation
breakeven rate*
Duration
US breakeven has a
10 year duration
whereas the long and
short position of the
product are 8.7 years
due to the diverse
nature of holdings
Seasonality
Inflation rates can
vary significantly
throughout the year.
Inflation-linked bond
performance can
change depend on
entry / exit timing
Inflation ETFs
ETF vs Breakeven rate
Inflation ETFs 31
Does the ETF track the breakeven rate of inflation as
displayed on Bloomberg (*)?
(*) USGGBE10 for the US, FRGGBE10 for France, GEGGBE10 for Germany
The Bloomberg “breakeven rate” is a calculated indicator and not a quoted instrument price. It is
calculated by Bloomberg simply as the differential between the 10Y nominal bond rate and the 10Y
inflation-linked 10Y rates.
By contrast, our product provides exposure to a live portfolio (not to calculated indicator)
which is long in a diversified basket of inflation-linked securities and short in a diversified
basket of nominal treasury securities, with all the characteristics and the implementation
constraints of a live portfolio e.g.:
- duration of the baskets (long and short), which is significantly different from the Bloomberg
breakeven duration,
- cost of financing the short position (which is not discounted in the Bloomberg breakeven
calculation),
- liquidity and associated bid-offer spreads of the portfolio components (that are different from the
single-bond , on-the-run 10Y Bloomberg breakeven pricing conditions),
- volatility of prices on CPI announcement dates that can differ from one instrument to another,
- bid-offer costs associated with rebalancing monthly the index, which do not reflect in the
Bloomberg breakeven performance
Inflation ETFs
► Example: 10Y USD Inflation Breakeven index has shown high correlation with the breakeven rate
► There is no theoretical inflation breakeven for the European product
32
Historical performance is highly correlated Track record of underlying index vs. breakeven rate
Correlation coefficient: 0.96
Source: Lyxor International Asset Management. Data as at April 2016. Past performance is not a reliable indicator of future returns.
Inflation ETFs
ETF Inflation Expectation
vs
ETF Inflation Linked Bond
Inflation ETFs 34
Which ETF strategies can help? Three ways to play inflation
Inflation-linked bond ETFs Inflation expectations ETFs Floating rate note ETFs
► ETFs track a basket of
inflation-linked bonds
► Coupon and principal
adjusted upwards as
inflation rises
► Offer simple inflation
protection
► ETFs track changes in
inflation expectations via
long leg of ILBs and short leg
of nominal bonds
► Strategy aims to offer similar
performance to the inflation
breakeven rate, an indicator
of inflation expectations*
► Attempts to eliminate
interest rate risk
► ETFs exposed to a basket of
floating rate notes (FRNs)
► Why? Because rising rates
often follow a rise in inflation
► FRN coupons are adjusted
upwards as interest rates
rise
*This strategy is a proxy for inflation breakeven rate; performance will generally deviate from the true breakeven rate.
Inflation ETFs 35
Riding the different waves ETF strategies fit for purpose
► The performance of each ETF strategy will depend on the exposure – or ‘wave’ – you wish to capture
Expected inflation wave (minus interest rate risk) Expected inflation wave Rising rates wave
Interest
rate risk Interest
rate risk
Credit
risk
Inflation linked bond ETFs Floating rate note ETFs Inflation expectations ETFs
*TER = Total Expense Ratio of the ETF.
Inflation ETFs 36
When to use inflation expectations ETFs? If you believe both inflation expectations and interest rates will rise
Dual protection from rising inflation and rising rates
► Inflation expectations ETFs can hedge against both rising inflation expectations and rate hikes
When could inflation expectations ETFs be used?
► If you think inflation expectations are too low and are concerned that interest rates will rise
IF THEN Realised
inflation
Expected
inflation
Inflation expectations
ETFs should
outperform
ILB ETFs
Inflation expectations
ETFs should
underperform
ILB ETFs
BUT
For illustrative purposes only. This is not a recommendation.
AND
THEN
Rates
IF Realised
inflation
Expected
inflation AND Rates
Inflation ETFs 37
Choosing a potential inflation ETF strategy It depends on your view on inflation and interest rates
By more or
less than
what the
market
expects?
Nominal
bonds
NO
YES
Do you think
interest
rates will
rise?
Inflation-linked
bonds
Inflation
expectations
YES
NO
Do you
think
inflation
will rise?
LESS
MORE
Floating rate
notes
For illustrative purposes only. This is not a recommendation.
An alternative inflation strategy
Inflation ETFs
Important information
38
Key risks of Lyxor ETFs
It is important for potential investors to evaluate the risks described below and in
the fund prospectus which can be found on www.lyxoretf.com
CAPITAL AT RISK ETFs are tracking instruments: Their risk profile is similar to a direct investment in
the Underlying Index. Investors’ capital is fully at risk and investors may not get
back the amount originally invested.
REPLICATION RISK The fund objectives might not be reached due to unexpected events on the
underlying markets which will impact the index calculation and the efficient fund
replication.
COUNTERPARTY RISK Investors are exposed to risks resulting from the use of an OTC Swap with Societe
Generale. In-line with UCITS guidelines, the exposure to Societe Generale cannot
exceed 10% of the total fund assets. Physically replicated ETFs may have
counterparty risk resulting from the use of a Securities Lending Programme.
UNDERLYING RISK The Underlying Index of a Lyxor ETF may be complex and volatile. When investing
in commodities, the Underlying Index is calculated with reference to commodity
futures contracts exposing the investor to a liquidity risk linked to costs such as cost
of carry and transportation. ETFs exposed to Emerging Markets carry a greater risk
of potential loss than investment in Developed Markets as they are exposed to a
wide range of unpredictable Emerging Market risks.
CURRENCY RISK ETFs may be exposed to currency risk if the ETF is denominated in a currency
different to that of the Underlying Index they are tracking. This means that
exchange rate fluctuations could have a negative or positive effect on returns.
LIQUIDITY RISK Liquidity is provided by registered market-makers on the respective stock exchange
where the ETF is listed, including Societe Generale. On exchange liquidity may be
limited as a result of a suspension in the underlying market represented by the
Underlying Index tracked by the ETF; a failure in the systems of one of the relevant
stock exchanges, Societe Generale or other market-maker systems; or an
abnormal trading situation or event.
Inflation ETFs
Important information
39
Disclaimer
This communication is exclusively directed and available to Institutional Investors as defined
by the 2004/39/EC Directive on markets in financial instruments acting for their own account
and categorised as eligible counterparties or professional clients. This communication is not
directed at retail clients. This document is issued in the UK by Lyxor Asset Management UK
LLP, which is authorized and regulated by the Financial Conduct Authority in the UK under
Registration Number 435658. Some of the funds described in this brochure are investment
companies with Variable Capital (SICAV) incorporated under Luxembourg Law, listed on the
official list of Undertakings for Collective Investment, authorised under Part I of the
Luxembourg Law of 17th December 2010 (the “2010 Law”) on Undertakings for Collective
Investment in accordance with provisions of the Directive 2009/65/EC (the “2009 Directive”)
and subject to the supervision of the Commission de Surveillance du Secteur Financier
(CSSF).The products are a sub-fund of either Multi Units Luxembourg or Lyxor Index Fund
and have been approved by the CSSF.Some of the funds described in this document are
French SICAVs.Each fund complies with the UCITS Directive (2009/65/CE), and has been
approved by the French Autorité des marchés financiers.Société Générale and Lyxor AM
recommend that investors read carefully the “risk factors” section of the product’s prospectus
and Key Investor Information Document (KIID). The prospectus and the KIID are available in
French on the website of the AMF(www.amf-france.org). The prospectus in English and the
KIID in the relevant local language (for all the countries referred to, in this document as a
country in which a public offer of the product is authorised) are available free of charge on
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document together with the prospectus and/or more generally any information or documents
with respect to or in connection with the Fund does not constitute an offer for sale or
solicitation of an offer for sale in any jurisdiction (i) in which such offer or solicitation is not
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or (iii) to any person to whom it is unlawful to make such offer or solicitation. In addition, the
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indirectly offered or sold in the United States (including its territories or possessions) or to or
for the benefit of a U.S Person (being a “United State Person” within the meaning of
Regulation S under the Securities Act of 1933 of the United States, as amended,and/or any
person not included in the definition of “Non-United States Person” within the meaning of
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make an offer, from Société Générale, Lyxor Asset Management (together with its affiliates,
Lyxor AM) or any of their respective subsidiaries to purchase or sell the product referred to
herein.These funds include a risk of capital loss. The redemption value of this fund may be
less than the amount initially invested. The value of this fund can go down as well as up and
the return upon the investment will therefore necessarily be variable. In a worst case
scenario, investors could sustain the loss of their entire investment. This document is
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jurisdiction from which it invests as well as applicable laws. This tax treatment can be
modified at any time. We recommend to investors who wish to obtain further information on
their tax status that they seek assistance from their tax advisor. The attention of the investor
is drawn to the fact that the net asset value stated in this document (as the case may be)
cannot be used as a basis for subscriptions and/or redemptions.The market information
displayed in this document is based on data at a given moment and may change from time
to time. Authorizations: Lyxor International Asset Management (Lyxor AM) is a French
management company authorized by the Autorité des marchés financiers and placed under
the regulations of the UCITS (2009/65/EC) and AIFM (2011/61/EU) Directives.Société
Générale is a French credit institution (bank) authorised by the Autorité de contrôle
prudentiel et de résolution (the French Prudential Control Authority.
Inflation ETFs
Thank you
www.ETF.it
Marcello CHELLI ; Head Italy ; tel. +39 02 89.63.25.28 ; [email protected]
Ilaria PISANI ; Institutional Sales ; tel. +39 02 89.63.25.83 ; [email protected]
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