You have to validate the disclaimer to access this website.

Lutetia Absolute Return x2

Index level: 994.73 as of 28/03/2020

Main characteristics

Bloomberg Code IND1LAR2
Inception Date 06/09/2019
Return Type Total Return
Currency --
Calculated By S&P Dow Jones

Objective

The Lutetia Absolute Return 2 Risk Premia, is a total return index designed to reflect the returns generated by a 200% leveraged position in the Lutetia Absolute Return Fund.

The Index is based on two components (subject to a Liquidity Trigger Event ):

 - the Underlying Fund;

 - An hypothetical borrowing  based on the 3-Month Euro interbank offered rate for deposits in EUR ( EURIBOR Rate)

The Index is calculated net total return and published on a daily basis by S&P Opco, LLC (a subsidiary of S&P Dow Jones Indices LLC) 

 

Mechanism

The constituents of the Index are  the Underlying Fund, and an hypothetical borrowing based on the EURIBOR Rate. The deemed percentage exposure of the Index to the Underlying Fund  is fixed at 200%, subject to a Liquidity Trigger Event.

If a Liquidity Trigger Event occurs on a Calculation Date, then the Index Calculation Agent, after instruction from the Index Sponsor, shall calculate the Index Level with an Exposure equal to 100%, from the third Calculation Date (included) immediately following the Calculation Date on which the Liquidity Trigger Event has occurred for the first time, to the second Calculation Date (included) immediately following the Scheduled Calculation Date on which the Liquidity Trigger Event no longer exists.


Login to add this product to your favorites