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Ossiam World Minimum Variance Index NRRebalancing Report - 24-Sep-2018

Stock StatisticsThe Ossiam World Developed Minimum Variance IndexNR rebalances semiannually (March and September), onthe third Friday of the month. The new composition isimplemented at the opening of the next business day afterthe third Friday - usually the next Monday. The weightsare computed using closing prices Monday before the thirdFriday. Both the Ossiam World Minimum Variance IndexNR and the benchmark S&P Global 1200 Index NR arecomputed in USD. The calculations in the document areperformed by Ossiam using S&P /Datastream source.

The number of constituents in the index decreased from 117to 116. The Turnover is 92.67%, higher than its historicalmean at 59.84%. The weight of the Index Core Portfoliodecreased from 69.74% to 67.25%.

Characteristics 24-Sep-2018Number of Stocks 116Added Stocks 48Deleted Stocks 49Core Number 68Old weight of Core 69.74%New weight of Core 67.25%Turnover 92.67%Historical Turnover 59.84%

Added and deleted stocks are relative to 24-Sep-2018. The Core is defined as the subsetof stocks that belong to the current as wellas the previous composition.

Volatility/Weight profile

The chart on the right shows the dis-tribution of the new Ossiam WorldMinimum Variance Index NR compositionon 24-Sep-2018 in terms of annualizedvolatility (x-axis) and weight (y-axis).Volatility computed over 502 days endingon 17-Sep-2018. On the upper left cornerwe find low volatile stocks with big weightin the index. On the lower right corner wefind high volatile stocks with low weightin the index. These stocks usually enterthe index for diversification purposes. Wedistinguish between Core index and addedstocks to appreciate how these newlyadded stock are positioned in terms ofvolatility and weight.

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Sector Allocation

The most significant changes in sector exposuresare: 5.84% for C.Discretionary, -4.85% forC.Staples, 3.89% for Financials. The biggestsector exposures are: 17.27% for Financials, 14.69% for C.Discretionary , 13.99% forUtilities .

PREV. CURR. Diff.C.Discretionary 8.85% 14.69% 5.84%C.Staples 16.44% 11.59% -4.85%Communication Services 7.55% 6.71% -0.84%Energy 2.42% 5.44% 3.02%Financials 13.37% 17.27% 3.89%HealthCare 14.48% 11.92% -2.56%IT 6.14% 5.20% -0.95%Industrials 11.37% 10.00% -1.37%Materials 3.52% - -3.52%Real Estate 2.53% 3.20% 0.67%Utilities 13.34% 13.99% 0.65%

The left-hand side of the chart below shows the sector deviations at rebalancing. Differences are shown on the right-hand side. Indexweights are taken as of 21-Sep-2018 (last business day before the new composition is implemented) compared to the new rebalancingweights as of 24-Sep-2018.

Sector breakdown vs. benchmark

The Ossiam World Minimum Variance Index NR overweightsUtilities by 11.20% and C.Discretionary by 4.73% com-pared to S&P Global 1200 Index NR. The Ossiam WorldMinimum Variance Index NR underweights IT by -10.44%and Materials by -4.89% compared to S&P Global 1200Index NR.

Vol.B S Diff. B S

C.Discretionary 9.95% 14.69% 4.73% 10.07% 8.60%C.Staples 8.08% 11.59% 3.51% 9.75% 9.93%Communication Services 8.72% 6.71% -2.01% 12.15% 11.00%Energy 6.54% 5.44% -1.10% 15.26% 16.73%Financials 17.27% 17.27% -0.00% 12.29% 10.53%HealthCare 12.60% 11.92% -0.68% 11.20% 9.69%IT 15.64% 5.20% -10.44% 13.14% 14.30%Industrials 11.05% 10.00% -1.05% 10.37% 11.40%Materials 4.89% - -4.89% 13.52% -Real Estate 2.48% 3.20% 0.72% 11.53% 14.80%Utilities 2.79% 13.99% 11.20% 11.20% 13.27%

The table above shows, for each sector, the weight in the Ossiam World Minimum Variance Index NR (S), in the benchmark S&PGlobal 1200 Index NR (B) and their difference. We also show the annualized volatility of each sector in the Ossiam World MinimumVariance Index NR and in the benchmark. Annualized volatilities are computed using 502 business days ending on 17-Sep-2018

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Country Allocation

The most significant changes in country ex-posures are: -17.28% for US, 6.43% for JP,4.31% for GB. The biggest country exposuresare: 66.53% for US , 19.42% for JP , 4.31%for GB .

PREV. CURR. Diff.AU - 0.18% 0.18%CA 0.35% 2.18% 1.83%CH 1.08% 2.65% 1.57%DE - 0.78% 0.78%DK - 0.54% 0.54%ES - 1.27% 1.27%FR 0.81% 0.88% 0.08%GB - 4.31% 4.31%JP 12.99% 19.42% 6.43%NL 0.34% 1.26% 0.91%SE 0.61% - -0.61%US 83.81% 66.53% -17.28%

The left-hand side of the chart below shows the country deviations at rebalancing. Differences are shown on the right-hand side.Index weights are taken as of 21-Sep-2018 (last business day before the new composition is implemented) compared to the newrebalancing weights as of 24-Sep-2018.

Country breakdown vs. benchmark

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The Ossiam World Minimum Variance Index NR overweights JPby 11.71% and US by 6.89% compared to S&P Global 1200Index NR. The Ossiam World Minimum Variance Index NRunderweights FR by -2.70% and DE by -2.38% compared to S&PGlobal 1200 Index NR.

Vol.B S Diff. B S

AT 0.07% - -0.07% 18.80% -AU 2.29% 0.18% -2.11% 13.83% 18.29%BE 0.42% - -0.42% 14.54% -BR 0.54% - -0.54% 28.59% -CA 3.19% 2.18% -1.00% 10.90% 12.11%CH 2.95% 2.65% -0.30% 11.47% 11.32%CL 0.10% - -0.10% 19.11% -CN 1.55% - -1.55% 19.96% -CO 0.03% - -0.03% 27.31% -DE 3.16% 0.78% -2.38% 13.50% 27.08%DK 0.55% 0.54% -0.01% 14.89% 26.14%ES 1.02% 1.27% 0.25% 17.05% 17.51%FI 0.37% - -0.37% 14.77% -FR 3.58% 0.88% -2.70% 13.04% 17.98%GB 6.05% 4.31% -1.74% 11.42% 11.84%HK 0.78% - -0.78% 14.31% -IE 0.21% - -0.21% 13.60% -IT 0.85% - -0.85% 18.60% -JP 7.71% 19.42% 11.71% 11.90% 10.77%KR 1.14% - -1.14% 22.27% -LU 0.07% - -0.07% 27.61% -MX 0.27% - -0.27% 23.67% -NL 1.12% 1.26% 0.13% 12.93% 21.57%NO 0.24% - -0.24% 16.40% -PE 0.05% - -0.05% 18.64% -PT 0.04% - -0.04% 18.56% -SE 0.94% - -0.94% 13.77% -SG 0.27% - -0.27% 15.63% -TW 0.79% - -0.79% 16.69% -US 59.64% 66.53% 6.89% 9.91% 6.83%

The table above shows, for each country, the weight in the Ossiam World Minimum Variance Index NR (S), in the benchmarkS&P Global 1200 Index NR (B) and their difference. We also show the annualized volatility of each country in the Ossiam WorldMinimum Variance Index NR and in the benchmark. Annualized volatilities are computed using 502 business days ending on17-Sep-2018

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5Added Stocks

The rebalancing has added 48 new stocks. In the table below, T is the current rebalancing date (24-Sep-2018), while T-1 is the previous rebalancing date (19-Mar-2018). Vol(T-1) and Vol(T) are the annualized volatilities computed over 502 business days ending, respectively, on 14-Sep-2018 and 12-Mar-2018. The average dailyvolumes ADV(T-1) and ADV(T), expressed in mln USD, are computed over 125 business days ending on the same dates as before, with the relative ranking overthe benchmark S&P Global 1200 Index NR. WW(T) is the stock weight at the current rebalancing date. Finally, the column Reason Excl. details the reasons ofexclusion at the previous rebalancing.

Vol ADVName Sector Country WW(T) T-1 T T-1 T Reason Exclusion21ST.CENTURY FOX INCO. Communication Services US 1.08% 24.26% 23.80% 336.91(104) 516.38(61) Excl. Minimum VarianceADIDAS AG C.Discretionary DE 0.78% 27.19% 27.08% 167.80(292) 188.04(248) Excl. Minimum VarianceANADARKO PETROLEUM CORP. Energy US 0.61% 36.60% 29.40% 292.28(140) 318.04(118) Excl. Minimum VarianceANDEAVOR Energy US 0.13% 29.68% 26.52% -Inf(1063) 204.23(223) Excl. MarketCapARCHER DANIELS MIDLAND C.Staples US 0.78% 23.08% 19.10% 139.95(352) 171.12(279) Excl. Minimum VarianceASTELLAS PHARMA INCO. HealthCare JP 2.63% 22.00% 19.05% 103.81(430) 114.48(389) Excl. LiquidityASTRAZENECA PLC. HealthCare GB 0.73% 25.35% 21.39% 159.73(314) 136.86(340) Excl. Minimum VarianceBOOKING HOLDINGS INCO. C.Discretionary US 0.43% 28.59% 23.10% 897.98(22) 813.99(26) Excl. Minimum VarianceBP PLC. Energy GB 0.36% 24.86% 18.39% 212.12(225) 245.61(175) Excl. Minimum VarianceCBS CORP. Communication Services US 0.63% 23.48% 22.79% 324.96(115) 198.25(232) Excl. Minimum VarianceCENTENE CORP. HealthCare US 0.75% 31.98% 28.12% 155.95(323) 182.22(261) Excl. Minimum VarianceCOMMONWEALTH BK.OF AUS. Financials AU 0.18% 22.02% 18.29% 168.44(290) 176.84(269) Excl. Minimum VarianceCONCHO RESOURCES INCO. Energy US 0.65% 31.00% 31.34% 162.67(306) 317.44(119) Excl. Minimum VarianceCONOCOPHILLIPS Energy US 0.40% 32.71% 25.71% 314.78(119) 445.86(73) Excl. Minimum VarianceEQUINIX INCO. Real Estate US 0.20% 22.22% 20.43% 243.07(183) 235.63(192) Excl. Minimum VarianceEXELON CORP. Utilities US 0.76% 19.07% 16.57% 228.35(202) 228.39(199) Excl. Minimum VarianceFIFTH THIRD BANCORP Financials US 0.33% 25.91% 23.37% 159.46(315) 187.69(251) Excl. Minimum VarianceFIRSTENERGY CORP. Utilities US 0.14% 20.57% 19.03% -Inf(1022) 145.54(323) Excl. MarketCapGLAXOSMITHKLINE PLC. HealthCare GB 0.76% 18.43% 16.89% 193.55(252) 171.67(276) Excl. Minimum VarianceHARRIS CORP. Industrials US 1.41% 19.08% 17.92% 96.63(439) 112.44(394) Excl. LiquidityHCA HEALTHCARE INCO. HealthCare US 0.40% 23.68% 24.06% 212.24(224) 195.44(235) InPortfolioHSBC HOLDINGS PLC. Financials GB 0.83% 23.04% 17.04% 255.75(172) 231.48(195) InPortfolioHUNTINGTON BCSH.INCO. Financials US 0.18% 26.89% 22.83% 136.69(355) 132.90(347) Excl. Minimum VarianceINDITEX SA C.Discretionary ES 0.29% 20.39% 21.12% 109.97(413) 99.11(420) Excl. LiquidityJAPAN TOBACCO INCO. C.Staples JP 0.71% 21.93% 18.97% 164.29(301) 159.27(304) InPortfolioKOMATSU LTD. Industrials JP 0.35% 29.63% 26.66% 157.94(318) 146.84(320) Excl. Minimum VarianceLLOYDS BANKING GP.PLC. Financials GB 0.58% 38.80% 21.37% 141.92(348) 140.41(329) Excl. Minimum VarianceMITSUB.CORP. Industrials JP 1.28% 27.95% 21.49% 122.17(379) 117.21(383) Excl. Minimum VarianceMOTOROLA SOLUTIONS INCO. IT US 0.67% 20.45% 17.36% 99.72(436) 121.06(375) Excl. LiquidityNIDEC CORP. Industrials JP 0.30% 27.63% 22.35% 157.26(319) 120.53(378) Excl. Minimum VarianceNINTENDO CO.LTD. Communication Services JP 0.63% 52.31% 34.92% 1103.32(17) 798.19(30) Excl. Minimum VarianceNOVO NORDISK A/S HealthCare DK 0.54% 28.06% 26.14% 158.59(316) 129.14(351) Excl. Minimum VariancePPL CORP. Utilities US 0.56% 16.89% 16.55% 169.97(288) 177.22(268) Excl. Minimum VarianceRECKITT BENCKISER GP.PLC C.Staples GB 0.45% 21.26% 20.16% 146.57(339) 123.67(370) Excl. Minimum VarianceREPSOL YPF SA Energy ES 0.98% 29.30% 20.15% 85.50(459) 89.30(437) Excl. LiquidityROCHE HOLDING AG HealthCare CH 0.71% 18.45% 16.74% 387.60(91) 334.43(109) Excl. Minimum VarianceROYAL BANK OF CANADA Financials CA 0.19% 17.60% 12.70% 178.80(275) 156.87(306) Excl. Minimum VarianceROYAL DUTCH SHELL Energy GB 0.61% 23.67% 18.54% 192.93(253) 191.41(240) Excl. Minimum VarianceSKYWORKS SOLUTIONS INCO. IT US 1.71% 32.84% 28.50% 232.90(197) -Inf(1124) Excl. Minimum VarianceSONY CORPORATION C.Discretionary JP 0.71% 31.46% 25.83% 412.43(83) 310.90(125) Excl. Minimum VarianceSUBARU CORP. C.Discretionary JP 1.26% 28.78% 21.54% 147.86(335) 97.66(424) Excl. Minimum VarianceSUNTRUST BANKS INCO. Financials US 0.67% 24.64% 21.54% 219.80(212) 201.09(228) Excl. Minimum VarianceSUZUKI MOTOR CORP. C.Discretionary JP 1.00% 28.15% 24.53% 105.20(424) 115.44(384) Excl. LiquiditySWISS RE AG Financials CH 0.62% 18.25% 15.33% 151.01(332) 117.55(381) Excl. Minimum VarianceTHE BANK OF NOVA SCOTIA Financials CA 0.99% 19.80% 13.70% 120.97(383) 121.05(376) Excl. Minimum Variance

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Vol ADVName Sector Country WW(T) T-1 T T-1 T Reason ExclusionUNITED CONT.HDG.INCO. Industrials US 0.30% 37.20% 31.91% 328.24(112) 254.14(169) Excl. Minimum VarianceV F CORP. C.Discretionary US 1.07% 24.22% 21.40% 179.77(273) 181.13(263) Excl. Minimum VarianceZURICH INSURANCE GP.AG Financials CH 0.42% 19.17% 14.46% 142.87(346) 147.79(316) Excl. Minimum Variance

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7Deleted Stocks

The rebalancing has deleted 49 new stocks. In the table below, T is the current rebalancing date (24-Sep-2018), while T-1 is the previous rebalancing date (19-Mar-2018). Vol(T-1) and Vol(T) are the annualized volatilities computed over 502 business days ending, respectively, on 14-Sep-2018 and 12-Mar-2018. The average dailyvolumes ADV(T-1) and ADV(T), expressed in mln USD, are computed over 125 business days ending on the same dates as before, with the relative ranking overthe benchmark S&P Global 1200 Index NR. WW(T-1) is the stock weight at the previous rebalancing date. Finally, the column Reason Excl. details the reasons ofexclusion at the current rebalancing.

Vol ADVName Sector Country WW(T-1) T-1 T T-1 T Reason ExclusionAIR LIQUIDE Materials FR 0.33% 20.03% 17.11% 116.04(394) 105.83(405) Excl. Minimum VarianceALEXION PHARMS.INCO. HealthCare US 0.40% 38.04% 36.12% 247.37(178) 197.67(234) Excl. Minimum VarianceANTHEM INCO. HealthCare US 0.33% 22.35% 20.49% 368.94(96) 316.51(120) Excl. Minimum VarianceAPPLE INCO. IT US 0.70% 22.33% 22.66% 5273.08(1) 5329.42(2) InPortfolioAT&T INCO. Communication Services US 2.09% 17.23% 19.24% 1183.02(16) 1180.55(14) Excl. Minimum VarianceBEST BUY CO.INCO. C.Discretionary US 0.24% 33.66% 33.52% 262.24(161) 249.61(172) Excl. Minimum VarianceCELGENE CORP. HealthCare US 0.34% 29.08% 28.55% 792.06(29) 524.55(59) Excl. Minimum VarianceCHEVRON CORP. Energy US 0.53% 17.99% 16.98% 716.93(36) 737.55(33) InPortfolioCIGNA CORP. HealthCare US 0.52% 24.22% 22.00% 311.40(122) 432.97(76) Excl. Minimum VarianceCOLGATE-PALM.CO. C.Staples US 0.56% 15.41% 16.35% 259.41(165) 260.73(162) Excl. Minimum VarianceCOMCAST CORP. Communication Services US 0.61% 19.15% 20.45% 1021.80(18) 828.47(25) Excl. Minimum VarianceCVS HEALTH CORP. HealthCare US 0.62% 22.82% 26.45% 638.92(47) 529.54(56) Excl. Minimum VarianceDANAHER CORP. HealthCare US 0.21% 15.80% 15.92% 236.65(192) 229.11(197) Excl. Minimum VarianceDOWDUPONT INCO. Materials US 0.16% 19.52% 18.42% 588.82(51) 547.27(52) Excl. Minimum VarianceECOLAB INCO. Materials US 0.63% 13.92% 12.99% 156.73(320) 161.19(296) Excl. Minimum VarianceEDISON INTL. Utilities US 0.38% 19.06% 19.54% 202.46(235) 139.56(331) Excl. Minimum VarianceELECTRONIC ARTS INCO. Communication Services US 0.40% 28.59% 26.82% 404.33(88) 446.65(72) Excl. Minimum VarianceELI LILLY & CO. HealthCare US 1.63% 20.28% 20.31% 334.70(105) 331.94(111) Excl. Minimum VarianceESTEE LAUDER COS.INCO. C.Staples US 0.79% 17.92% 19.43% 223.24(207) 282.03(143) Excl. Minimum VarianceEXXON MOBIL CORP. Energy US 0.73% 16.03% 16.05% 961.70(19) 970.90(21) Excl. Minimum VarianceFANUC CORP. Industrials JP 1.44% 27.48% 23.44% 290.55(141) 231.56(194) Excl. Minimum VarianceGILEAD SCIENCES INCO. HealthCare US 0.43% 26.29% 24.69% 727.44(34) 495.80(65) Excl. Minimum VarianceH&M C.Discretionary SE 0.61% 28.84% 29.38% -Inf(838) -Inf(832) Excl. MarketCapINCYTE CORP. HealthCare US 0.37% 40.54% 41.99% 183.33(267) -Inf(711) Excl. MarketCapJOHNSON & JOHNSON HealthCare US 1.15% 13.94% 14.48% 898.35(21) 831.13(23) Excl. Minimum VarianceKIMBERLY-CLARK CORP. C.Staples US 0.53% 16.44% 18.32% 253.11(173) 257.23(164) Excl. Minimum VarianceMASTERCARD INCO. IT US 0.57% 16.69% 16.72% 576.05(55) 655.21(44) Excl. Minimum VarianceMERCK & COMPANY INCO. HealthCare US 0.73% 19.23% 19.51% 692.35(40) 601.32(48) Excl. Minimum VarianceNEWMONT MINING CORP. Materials US 0.75% 35.37% 27.87% 185.92(261) 175.99(271) Excl. Minimum VariancePFIZER INCO. HealthCare US 0.89% 17.57% 16.91% 704.99(39) 769.88(32) Excl. Minimum VariancePHILIP MORRIS INTL.INCO. C.Staples US 0.34% 16.71% 21.60% 498.58(69) 534.67(55) Excl. Minimum VarianceRECRUIT HOLDINGS CO.LTD. Industrials JP 1.04% 27.11% 28.02% 146.21(340) 113.34(392) Excl. Minimum VarianceROSS STORES INCO. C.Discretionary US 0.55% 22.32% 22.12% 195.39(245) 227.60(200) Excl. Minimum VarianceSEMPRA EN. Utilities US 0.51% 16.14% 19.43% 202.21(237) 237.70(187) Excl. Minimum VarianceSHIN-ETSU CHM.CO.LTD. Materials JP 0.31% 25.51% 23.65% 162.68(305) 125.85(361) Excl. Minimum VarianceSYMANTEC CORP. IT US 0.55% 25.82% 31.56% 177.64(277) -Inf(769) Excl. MarketCapTAKEDA PHARM.CO.LTD. HealthCare JP 0.65% 21.29% 21.20% 116.72(391) 198.73(230) Excl. Minimum VarianceTHE CLOROX CO. C.Staples US 0.86% 16.54% 18.95% 131.86(363) 160.31(298) Excl. Minimum VarianceTHE SHERWIN-WILLIAMS CO. Materials US 1.32% 18.83% 18.69% 238.07(191) 263.14(160) Excl. Minimum VarianceUNION PACIFIC CORP. Industrials US 0.64% 21.12% 19.63% 558.36(58) 534.69(54) InPortfolioUNITED TECHS.CORP. Industrials US 0.37% 16.23% 15.56% 504.48(65) 487.13(66) Excl. Minimum VarianceUNITEDHEALTH GROUP INCO. HealthCare US 0.34% 17.52% 18.26% 724.17(35) 671.38(41) Excl. Minimum VarianceUS BANCORP Financials US 0.26% 17.27% 15.73% 331.45(108) 342.61(105) Excl. Minimum VarianceVALERO ENERGY CORP. Energy US 0.39% 25.06% 22.00% 293.36(137) 363.18(98) Excl. Minimum VarianceVERIZON COMMUNICATIONS Communication Services US 0.16% 18.42% 19.17% 852.61(27) 709.87(36) Excl. Minimum Variance

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Vol ADVName Sector Country WW(T-1) T-1 T T-1 T Reason ExclusionWALGREENS BTS.ALL.INCO. C.Staples US 0.44% 19.70% 21.24% 490.74(70) 422.12(78) Excl. Minimum VarianceWASTE MANAGEMENT INCO. Industrials US 0.93% 13.58% 13.96% 173.97(282) 170.97(280) Excl. Minimum VarianceXILINX INCO. IT US 0.69% 22.47% 23.71% 162.05(307) 168.08(287) Excl. Minimum VarianceZOETIS INCO. HealthCare US 0.22% 19.12% 18.34% 176.41(278) 206.47(219) Excl. Minimum Variance

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9Ranking Index Constituents - Top 25

The table shows the top 25 positions in the Ossiam World Minimum Variance Index NR as of 24-Sep-2018. The column WW indicates the weights in the OssiamWorld Minimum Variance Index NR as of 24-Sep-2018. The column Vol gives the annualized volatility computed over 502 business days ending on 17-Sep-2018. Wealso provide the ranking of these volatilities (Rank Vol) relative to the Filtered Selection at the rebalancing date. The column Corr gives the average correlation ofeach stock relative to the rest of the filtered selection, computed over 500 business days ending on 17-Sep-2018. We also provide the ranking of these correlations(Rank Corr) relative to the Filtered Selection at the rebalancing date. The Rank Blend is computed as 66% Rank Vol + 34% Rank Corr. The lower the stock’sRank Blend, the higher the likelihood that the stock will be overweighted in the Index. Finally, the column Core shows whether the stock was in the Ossiam WorldMinimum Variance Index NR already (YES) or it entered at this rebalancing (NO).

Sector Country WW Vol Rank Vol Corr Rank Corr Rank Blend CoreNISSAN MOTOR CO.LTD. C.Discretionary JP 2.72% 15.53% 79 11.90% 277 146 YESTHE SOUTHERN CO. Utilities US 2.65% 15.27% 68 2.67% 6 46 YESASTELLAS PHARMA INCO. HealthCare JP 2.63% 19.05% 336 6.98% 46 237 NOCME GROUP INCO. Financials US 2.57% 17.36% 170 9.00% 105 147 YESCONSTELLATION BNS.INCO. C.Staples US 2.38% 18.52% 269 8.79% 95 209 YESNEXTERA ENERGY INCO. Utilities US 2.14% 14.79% 48 5.08% 16 37 YESMCDONALD S CORP. C.Discretionary US 1.93% 14.63% 42 14.27% 477 189 YESNORTHROP GRUMMAN CORP. Industrials US 1.85% 18.10% 231 9.30% 123 194 YESAETNA INCO. HealthCare US 1.75% 18.74% 297 9.91% 154 248 YESDUKE ENERGY CORP. Utilities US 1.73% 14.13% 25 5.60% 21 23 YESSKYWORKS SOLUTIONS INCO. IT US 1.71% 28.50% 993 9.12% 113 693 NONTT DOCOMO INCO. Communication Services JP 1.65% 17.59% 193 9.45% 132 172 YESROCKWELL COLLINS INCO. Industrials US 1.63% 16.00% 108 12.13% 291 170 YESTJX COMPANIES INCO. C.Discretionary US 1.60% 17.96% 221 9.64% 140 193 YESPUBLIC STORAGE INCO. Real Estate US 1.57% 18.67% 288 6.96% 45 205 YESHARRIS CORP. Industrials US 1.41% 17.92% 216 12.11% 289 240 NODTE ENERGY CO. Utilities US 1.41% 14.23% 29 6.75% 44 34 YESDOMINION ENERGY INCO. Utilities US 1.35% 15.49% 77 6.55% 37 63 YESTHE PROCTER & GAMBLE CO. C.Staples US 1.33% 13.36% 14 14.07% 460 165 YESMITSUB.CORP. Industrials JP 1.28% 21.49% 560 13.94% 441 519 NOMITSUI & CO.LTD. Industrials JP 1.27% 18.69% 291 15.74% 636 408 YESSUBARU CORP. C.Discretionary JP 1.26% 21.54% 562 10.50% 183 433 NOKON.AHOLD DLHZ.NV C.Staples NL 1.26% 21.57% 569 10.74% 200 443 YESAMERICAN INTL.GP.INCO. Financials US 1.25% 17.71% 204 13.57% 405 272 YESOMNICOM GROUP INCO. Communication Services US 1.18% 18.63% 282 9.99% 157 239 YES

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10

DISCLAIMERS

This document is of a commercial and not of a regulatory nature.

Ossiam, a subsidiary of Natixis Investment Managers, is a French asset manager authorized by the Au-torite des Marches Financiers (Agreement No. GP-10000016). Although information contained herein is fromsources believed to be reliable, Ossiam makes no representation or warranty regarding the accuracy of anyinformation of which it is not the source. The information presented in this document is based on marketdata at a given moment and may change from time to time.

This material has been prepared solely for informational purposes only and it is not intended to be and shouldnot be considered as an offer, or a solicitation of an offer, or an invitation or a personal recommendation tobuy or sell participating shares in any Ossiam Fund, or any security or financial instrument, or to participatein any investment strategy, directly or indirectly. It is intended for use only by those recipients to whom it ismade directly available by Ossiam. Ossiam will not treat recipients of this material as its clients by virtue oftheir receiving this material.

This material reflects the views and opinions of the individual authors at this date and in no way the officialposition or advices of any kind of these authors or of Ossiam and thus does not engage the responsibility ofOssiam nor of any of its officers or employees. Past performance is not a guide to future performance. Anyopinions expressed herein are statements of our judgment on this date and are subject to change withoutnotice. Ossiam assume no fiduciary responsibility or liability for any consequences, financial or otherwise,arising from, an investment in any security or financial instrument described herein or in any other security,or from the implementation of any investment strategy. This information contained herein is not intended fordistribution to, or use by, any person or entity in any country or jurisdiction where to do so would be contraryto law or regulation or which would subject Ossiam to any registration requirements in these jurisdictions.The risks associated with the Fund and the Index are detailed in the “General Risk Considerations’ sectionof the Prospectus, available in English on www.ossiam.com. Investments decision should only be made on thebasis of the Prospectus. Investors should also be well informed about the main characteristics of the Index(number of stocks, sector and or country breakdown, past evolution...) in order to have an overview of therisks and opportunities related to an exposure to the Index.

Ossiam World Minimum Variance Index NR (the Index) is the exclusive property of Ossiam, which has con-tracted with Standard & Poor’s Financial Services LLC (S&P) to maintain and calculate the Index. Standard& Poor’s R© and S&P R© are registered trademarks of Standard & Poor’s Financial Services LLC - Calculatedby S&P Custom Indices- and its related stylized mark(s) are service marks of Standard & Poor’s FinancialServices LLC and have been licensed for use by Ossiam. S&P and its affiliates shall have no liability for anyerrors or omissions in calculating the Index. OSSIAM WORLD MINIMUM VARIANCE NR UCITS ETF isnot sponsored, endorsed, sold or promoted by S&P, its affiliates or their third party licensors and neither S&P,its affiliates nor their third party licensors make any representation regarding the advisability of investing inOSSIAM WORLD MINIMUM VARIANCE NR UCITS ETF.In order to minimize any potential for conflicts caused by the fact that Ossiam determines the weight ofthe index components at each rebalancing date (and acts as asset manager, Ossiam has retained unaffiliatedthird parties to calculate and publish index, namely S&P.

This material may not be distributed, published, or reproduced, in whole or in part.

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