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SGI Merger Arbitrage 2 USD Index

Index level: 873.389 as of 15/06/2021

Main characteristics

Bloomberg Code SGBVMAU2
Inception Date 12/01/2016
Return Type Net Return
Currency USD
Calculated By Solactive
COMPOSED_BY Lutetia Capital

Objective

The SGI Merger Arbitrage II USD Index aims to provide an exposure to the performance of strategies called "Merger Arbitrage", which consist of the acquisition of shares in American and European listed companies subject to takeover bids. This index is based on the expertise of Lutetia Capital, one of the most renowned and awarded merger arbitrage team in Europe.

Mechanism

The components of the strategy are selected by specific criteria (geography, minimum size, liquidity, type of operation, sector diversification) based on its performance target and volatility. The exposure to the strategy is achieved through a daily investment with a 200% leverage on a UCITS compliant managed account -Lyxor-Lutetia Merger Arbitrage Fund (LYLMAIE)- dedicated to the Index. This exposure can be reduced to 100% on a daily basis if a Liquidity Trigger Event occurs regarding SG CDS spread and the Cross Currency Spread.


SGI Merger Arbitrage 2 USD Index (the “Index”) is the exclusive property of Societe Generale. Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade mark or the Index Level at any time or in any other respect.