SICAV

Luxembourg

16/12/1999

DJ EURO STOXX 50 (NR)

Structured Products

Open funds

STEP

EUR

1

2

3

4

5

6

4 years

The sub-fund seeks to increase the value of its assets thanks to a partial participation in the performance of the equity market in the Euro zone while protecting them from possible decreases in value. The assets of the sub-fund are mainly invested in fixed income securities and baskets of shares included in the Dow Jones Euro Stoxx 50 index. The sub-fund can also hold derivatives to protect or maximise the capital invested.

BNP PARIBAS INVESTMENT PARTNERS LUXEMBOURG

The protective Floor amounts to 90% of the initial Net Asset Value. At each anniversary date of the Fund's creation (Dec. 16th) the Floor is revised to represent 90% of the net asset value as of the anniversary date. Between two anniversary dates the protection level will be increased whenever the net asset values increase by 10%. The Floor will then represent 90% of the latest NAV.

1,275.82 EUR

1,274.02 EUR

1.80 EUR

0.14%

571.55 Million EUR

571.55 Million EUR

447,989.42

Emerging markets were down significantly. These movements were based on intense fears over peripheral European countries' sovereign debt and despite the massive emergency plans announced at the start of the month. The austerity policies announced, following this plan, seem to have dented market morale due to their consequences in terms of growth in the coming quarters.

The fund declined during the period, while remaining fairly resistant to equity market movements. Our “restrike option” strategy helped absorb the significant market decline. We resold half of these positions, as well as corresponding call options on the low points in May.

For the shorter term, we purchased a put spread to play the continuation of market struggles over the summer.

The macroeconomic backdrop appears unfavourable to risky assets.
Indeed, austerity measures are likely to sober the timid growth seen in the last few quarters. We will keep a conservative profile over the short term.

Unknown price

Unknown price

Daily

BNP PARIBAS SECURITIES SERVICES (Luxembourg)

BNP PARIBAS SECURITIES SERVICES (Luxembourg)

Day D before 3pm (Luxembourg time)

A max. of 5% (payable to the intermediary)

None

None unless in the case of a sizeable withdrawal, a max. of 1% (accruing to the fund)

A max. of 2% (payable to the intermediary)

1.00  share

Classic Category : 1.50% per year

n.d.