Source Launch the LGIM Commodity Composite Source ETF

Jan 9 2012

ETP: 09.01.2012

The LGIM Commodity Composite Source ETF tracks a composite of four equally weighted indices, rebalanced Quarterly:

1. Citi CUBES (DJ-UBSCI Weighted) Index Total Return - an enhanced commodities index that aims to outperform its benchmark, the Dow Jones-UBS Commodity Index, through roll yield enhancement. For each commodity, on a monthly basis, the index selects and invests in the future expected to provide the highest yield out of a set of candidate futures based on its prediction of the shape of the commodity futures curve on month forward;

2. Barclays Capital Commodity Index Pure Beta TR - aims to generate returns that are more representative of commodity markets. The index is comprised of a diversified basket of exchange traded commodity futures contracts. However, unlike many standard commodity indices that roll their exposure to the corresponding futures contract on a monthly basis in accordance with a pre-determined futures roll schedule, this index may reference one of a number of futures contracts with varying maturities.

3. UBS Bloomberg Constant Maturity Commodity Index - is a diversified commodity index family made up of 27 components. This index offers the ability to gain exposure to the broad commodity markets, specific sectors including energy, industrial metals, precious metals, agriculture and livestock as well as individual components. It also includes a time dimension by allowing investment across different maturity profiles of underlying futures.

4. JPMCCI Ex-Front Month Energy Light Index (Total Return) – is a representative, robust and diversified index that captures a broad share of the investable commodities universe and is diversified across most maturities. This is achieved in two distinct steps. Firstly, the JPMCCI methodology determines weight exposure between commodities based on historical open interest annually. The exposure to the Energy sector is limited to approximately 33% for the Energy Light version of this JPMCCI family. Secondly, each month, within each commodity, exposure to relevant commodity futures contracts are rebalanced based on open interest except, where possible, the front contract is generally excluded in this allocation mechanism.

The Swap based product is incorporated as a Irish domiciled umbrella open-ended investment company and carry an administration fee of 0.4% plus a swap fee of 0.45%