Table 1: Systematic factor: index mapping.

FactorIndex

EuropeMSCI EUROPE
AsiaMSCI AC ASIA
North AmericaMSCI NORTH AMERICA
Latin AmericaMSCI EM LATIN AMERICA
Middle East and AfricaMSCI FM AFRICA
PacificMSCI PACIFIC
MaterialsMSCI WRLD/MATERIALS
Consumer productsMSCI WRLD/CONSUMER DISCR
ServicesMSCI WRLD/CONSUMER SVC
FinancialMSCI WRLD/FINANCIALS
IndustrialMSCI WRLD/INDUSTRIALS
GovernmentITRAXX SOVX GLOBAL LIQUID INVESTMENT GRADE