-1- State Street Global Advisors Luxembourg SICAV Prospectus March 2011 Subscriptions are not valid unless they are based on this Prospectus or the simplified prospectus in conjunction with the most recent annual report and the most recent semi-annual report where this is published after the annual report. The distribution of this Prospectus is not authorised unless accompanied by the latest available annual report and accounts of the Company and by the latest semi-annual report if published thereafter. No person is authorised to give any information or to make any representation other than those contained in this Prospectus, and any subscription and/or purchase made by any person on the basis of statements or representations not contained in or inconsistent with the information contained in this Prospectus shall be solely at the risk of the subscriber/purchaser.
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State Street Global Advisors Luxembourg SICAV
Prospectus
March 2011
Subscriptions are not valid unless they are based on this Prospectus or the simplified prospectus in conjunction with the most recent annual report and the most recent semi-annual report where this is published after the annual report.
The distribution of this Prospectus is not authorised unless accompanied by the latest available annual report and accounts of the Company and by the latest semi-annual report if published thereafter.
No person is authorised to give any information or to make any representation other than those contained in this Prospectus, and any subscription and/or purchase made by any person on the basis of statements or representations not contained in or inconsistent with the information contained in this Prospectus shall be solely at the risk of the subscriber/purchaser.
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1. INTRODUCTION
If you are in any doubt about the contents of this Prospectus or whether an investment in the Company or any Sub-fund is suitable for you, you should consult your stockbroker, solicitor, accountant, relationship manager or other professional adviser.
Before investing in the Company, potential investors should consider the risks involved in such investment. Please see “General Risk Factors” below and the section entitled “Risk Factors” in the relevant Supplements.
State Street Global Advisors Luxembourg SICAV (the “Company”) is a "société d'investissement àcapital variable" (“SICAV”) established in accordance with the Luxembourg law of 10 August 1915 in its current version (the “1915 Law”) and is authorised as an undertaking for collective investments (“UCITS”) under Part I of the law dated 20 December 2002 (the “2002 Law").
The Company qualifies as a UCITS within the meaning of the 2002 Law and, pursuant to the 2002 Law, is authorised by the Financial Regulator in Luxembourg (the “CSSF”).
The Company is structured as an umbrella fund, which means that various Sub-funds ("Sub-funds") can be created from time to time that reflect different investment portfolios, and that can be issued in different share classes. The shares of each class will rank pari passu with each other in all respects except as to inter alia:-
(a) currency denomination of the class;
(b) dividend policy;
(c) the level and type of fees and expenses to be charged; and
(d) the minimum subscription and minimum holding applicable.
The Company was established with segregated liability between its Sub-funds. The assets of each Sub-fund will be separate from one another and will be invested in accordance with the investment objectives and policies applicable to each Sub-fund as set forth in the respective Supplement.
This Prospectus may only be issued with one or more Supplements, each containing information relating to a separate Sub-fund. If there are different classes of shares representing a Sub-fund, details relating to the separate classes may be dealt with in the same Supplement. The creation of further share classes will be notified in advance to the CSSF and this Prospectus and/or the relevant Supplements will then be amended. This Prospectus and the relevant Supplementsshould be read and constituted as one document. To the extent that there is any inconsistency between this Prospectus and a Supplement, the Supplement shall prevail.The board of directors (the “Board of Directors”) of the Company is authorized to issue shares ("Shares") without par value relating to the relevant Sub-fund, and as described in the section "Description of Shares" or in the relevant Supplement. The Company may issue Share classeswith inter alia different minimum subscriptions, dividend policies and fee structures. The respective Share classes issued in a Sub-fund are defined in the relevant Supplement of the Sub-fund in question. The distribution of Shares in a certain Sub-fund or Share class may be limited to certain countries. The aforementioned Share classes may also be established in different currencies, which will be referenced in the relevant Supplement.The issue of Shares takes place at prices quoted in the currency of denomination of the Sub-fundin question. As described in the Supplement, a subscription fee may be charged. Details of the subscription period and the terms and conditions for the initial issue of each Sub-fund are given in the relevant Supplement. Every Supplement may allow for the possibility of the initial subscription to be made through a total or partial contribution in kind; however, the composition of such contribution in kind must be consistent with the investment limits contained in the general part as well as with the investment objectives and investment policy described in the Supplement of the Sub-fund in question. With regard to the contribution in kind, the auditor of the Company has to execute a special audit report, the cost of which may be borne by the Shareholder requesting such in kind subscription.
The Company may issue Shares in new, additional Sub-funds at any time. A new Supplement will be issued in connection therewith and, where applicable, the Prospectus will be amended accordingly. Shares may be redeemed at a price described in the subsection "Redemption" in the section "General Notes on the Subscription, Redemption and Switching of Shares".
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No person has been authorised to give any information or to make any representation in connection with the offering or placing of Shares other than those contained in this Prospectus and the reports referred to above and, if given or made, such information or representation must not be relied upon as having been authorised by the Company. The delivery of this Prospectus (whether or not accompanied by the reports) or any issue of Shares shall not, under any circumstances, create any implication that the affairs of the Company have not changed since the date of this Prospectus.
This Prospectus and the simplified prospectuses do not constitute an offer or advertisement in those jurisdictions where such an offer or advertisement is prohibited, or in which persons making such offer or advertisement are not authorised to do so, or in which the law is infringed if persons receive such offer or advertisement. Accordingly, persons into whose possession this Prospectus comes are required to inform themselves about and to observe such restrictions.
Potential investors should inform themselves as to:
(a) the legal requirements within the countries of their nationality, residence, ordinary residence or domicile for the acquisition of Shares;
(b) any foreign exchange restrictions or exchange control requirements which they might encounter on the acquisition or sale of Shares; and
(c) the income tax and other taxation consequences to the investor which might be relevant to the acquisition, holding or disposal of Shares.
The Company will be a “recognised scheme” for the purposes of Section 264 of the UK’s Financial Services and Markets Act 2000.The information in this Prospectus and each Supplement is in accordance with the current law and rules and regulations of the Grand Duchy of Luxembourg, and is thus subject to alterations.
Because Shares in the Company are not registered in the United States in accordance with the United States Securities Act of 1933, as amended (the “US Securities Act”), or the securities laws of any of the states or possessions of the United States, and the Company is not registered under the United States Investment Company Act of 1940, as amended (the “US Investment Company Act”), they may neither be offered nor sold nor delivered directly or indirectly in the US, or to or for the account or benefit of any US Person (as such term is defined in Regulation S under the US Securities Act), except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the US Securities Act or any applicable state securities laws. A prospective investor will be required at the time of acquiring Shares to represent that such investor is not a US Person or acquiring Shares for or on behalf of a US Person or acquiring the Shares with the assets of an ERISA plan (as defined below). The prior consent of the Board of Directors or its designated agent(s) is required in respect of each application for Shares and the granting of such consent does not confer on investors a right to acquire Shares in respect of any future or subsequent application, which may be accepted or rejected in whole or in part by theBoard of Directors in their sole discretion without stating any reason therefor.
Shares may not be acquired or owned by, or acquired with the assets of:
(a) any retirement plan subject to Title I of the United States Employee Retirement Income Security Act of 1974, as amended (“ERISA”); or
(b) any individual retirement account or plan subject to Section 4975 of the United States Internal Revenue Code of 1986, as amended;
which are hereinafter collectively referred to as “ERISA plans”.
Shareholders are required to notify State Street Bank Luxembourg S.A., the Administrator,immediately in the event that they become US Persons or otherwise hold Shares which might result in the Company incurring any liability to taxation or suffering pecuniary disadvantages which the Company might not otherwise have incurred or suffered, or requiring the Company to register under the US Investment Company Act, or register any class of its securities under the US Securities Act.
Where the Board of Directors becomes aware that any Shares are directly or beneficially owned by any person in breach of the above restrictions, they may direct the Shareholder to transfer his Shares to a person qualified to own such Shares or to request the Company to redeem the Shares, in default of which the Shareholder shall, on the expiration of 30 days from the giving of such notice, be deemed to have given a request in writing for the redemption of the Shares. The Shares will be redeemed in accordance with the provisions of the Articles.The Prospectus and any Supplements may also be translated into other languages. Any such
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translation shall only contain the same information and have the same meaning as the English language Prospectus and/or Supplement. To the extent that there is any inconsistency between the English language Prospectus and/or Supplement and the Prospectus and/or Supplement in another language, the English language Prospectus and/or Supplement will prevail, except to the extent required by law of any jurisdiction where the Shares are sold, that in an action based upon disclosure in a Prospectus in a language other than English, the language of the Prospectus and/or Supplement on which such action is based shall prevail.
The Shares of each Class of each Sub-fund may be listed on the Luxembourg Stock Exchange. The Supplement for each Sub-fund will indicate if its Shares are so listed.
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TABLE OF CONTENTS
1. INTRODUCTION ............................................................................................................................22. ORGANIZATION AND MANAGEMENT ..............................................................................................73. DEFINITIONS ..............................................................................................................................104. INVESTMENT OBJECTIVE............................................................................................................. 115. INVESTOR PROFILE AND RISK PROFILE .......................................................................................126. GENERAL RISK FACTORS.............................................................................................................127. INVESTMENT LIMITS ...................................................................................................................18
7.1 INVESTMENTS IN TRANSFERABLE SECURITIES, MONEY MARKET INSTRUMENTS,DEPOSITS, DERIVATIVES AND UNITS OF UNDERTAKINGS FOR COLLECTIVE INVESTMENT ..........................................................................................................18
7.2 INVESTMENT RESTRICTIONS .................................................................................197.3. FURTHER INVESTMENT GUIDELINES.....................................................................23
8. SPECIAL INVESTMENT TECHNIQUES AND FINANCIAL INSTRUMENTS ...........................................238.1. OPTIONS ON SECURITIES .........................................................................................238.2. FINANCIAL FUTURES, SWAPS AND OPTIONS ON FINANCIAL INSTRUMENTS..................238.3. SECURITIES LENDING..............................................................................................248.4. SECURITIES REPURCHASE AGREEMENTS AND REVERSE REPURCHASE AGREEMENTS .258.5. TECHNIQUES AND INSTRUMENTS FOR HEDGING CURRENCY RISKS............................268.6. STRUCTURED PRODUCTS .......................................................................................268.7. RISKS ASSOCIATED WITH THE USE OF DERIVATIVES AND OTHER SPECIAL
INVESTMENT TECHNIQUES AND FINANCIAL INSTRUMENTS ..................................269. THE COMPANY ............................................................................................................................2810. CUSTODIAN.................................................................................................................................2911. MANAGEMENT COMPANY, CENTRAL ADMINISTRATOR, DOMICILIARY AND PRINCIPAL PAYING
AGENT ........................................................................................................................................2912. REGISTRAR AND TRANSFER AGENT .............................................................................................2913. INVESTMENT MANAGER .............................................................................................................3014. SUB-INVESTMENT MANAGERS ...................................................................................................3015. DISTRIBUTORS ............................................................................................................................3016. AUDITOR OF ANNUAL REPORT AND LEGAL ADVISER ...................................................................3017. CO-MANAGEMENT ......................................................................................................................3118. DESCRIPTION OF SHARES............................................................................................................3119. GENERAL NOTES ON THE SUBSCRIPTION, REDEMPTION AND SWITCHING OF SHARES.................32
19.1. SUBSCRIPTION..........................................................................................................3219.2. REDEMPTION.............................................................................................................3319.3. SWITCHING................................................................................................................3419.4. DATA-PROTECTION ...................................................................................................35
20. DIVIDENDS .................................................................................................................................3621. CALCULATION OF NET ASSET VALUE ..........................................................................................3622. SUSPENSION OF CALCULATION OF NET ASSET VALUE, AND OF THE SUBSCRIPTION, REDEMPTION
AND SWITCHING OF SHARES .......................................................................................................3723. FEES AND EXPENSES ..................................................................................................................37
23.1 GENERAL ...............................................................................................................3723.2 INVESTMENT MANAGEMENT FEES ........................................................................3823.3 DIRECTOR’S FEES ..................................................................................................3923.4 ANTI-DILUTION LEVY ............................................................................................3923.5 ALLOCATION OF ASSETS AND LIABILITIES.............................................................39
24. TAXATION ...................................................................................................................................4024.1. THE COMPANY........................................................................................................4024.2. THE INVESTORS ......................................................................................................40
25. GENERAL MEETING OF SHAREHOLDERS AND REPORTING...........................................................4026. APPLICABLE LAW, JURISDICTION...............................................................................................4127. DOCUMENTS FOR INSPECTION ....................................................................................................41Supplement No. 1 SSgA Premia Fund................................................................................................42Supplement No. 2 SSgA Emerging Markets Select Equity Fund......................................................52Supplement No. 3 SSgA Europe Alpha Equity Fund.........................................................................62Supplement No. 4 SSgA EMU Alpha Equity Fund ............................................................................72
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Supplement No. 5 SSgA Euro-Aggregate Corporate Bond Index Fund ............................................82Supplement No. 6 SSgA Global Aggregate Bond Index Fund ...........................................................92Supplement No. 7 SSgA Euro Treasury Bond Index Fund..............................................................102Supplement No. 8 SSgA Global Treasury Bond Index Fund ........................................................... 112Supplement No. 9 SSgA Rexiter Global Emerging Markets Local Currency Bond Fund ..............122Supplement No. 10 SSgA Global Corporate Bond Index Fund........................................................133Supplement No. 11 SSgA Enhanced Emerging Markets Equity Fund ...........................................143Supplement No. 12 SSgA Euro Government Liquidity Fund..........................................................153Supplement No. 13 SSgA Global Managed Volatility Equity Fund ................................................163Supplement No. 14 SSgA Europe Managed Volatility Equity Fund ...............................................174Supplement No. 15 SSgA Active Global Inflation-Linked Bond Fund ............................................184Supplement No. 16 SSgA Active Euro Aggregate Bond Fund .........................................................194Supplement No. 17 SSgA Active Euro Corporate Bond Fund .........................................................204Supplement No. 18 SSgA Stable Duration Fund .............................................................................214Supplement No. 19 SSgA Sectoral Healthcare Equity Fund...........................................................224Supplement No. 20 SSgA Euro Core Treasury Bond Index Fund ...................................................235Supplement No. 21 SSgA Euro Sustainable Corporate Bond Index Fund......................................245
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2. ORGANIZATION AND MANAGEMENT
The Company
State Street Global Advisors Luxembourg SICAV49, Avenue J.F. KennedyL-1855 Luxembourg
Board of Directors of the Company
Members:Benoit Fally, Senior Managing Director, State Street Global Advisors LimitedSusanne van Dootingh, Managing Director, State Street Global Advisors LimitedGregory A. Ehret (Chairman), Senior Managing Director, State Street Global Advisors Limited
Management Company
State Street Global Advisors Luxembourg Management Sàrl49, Avenue J.F. KennedyL-1855 Luxembourg Board of Managers of the Management Company
Dirigeants
Patrick Armstrong, Vice President, State Street Global Advisors France S.A.Susanne van Dootingh, Managing Director, State Street Global Advisors Limited
ManagersSusanne van Dootingh, Managing Director, State Street Global Advisors LimitedGregory A. Ehret (Chairman), Senior Managing Director, State Street Global Advisors LimitedNicholas J. Pearce, Vice President, State Street Global Advisors LimitedCarol L’Heveder, Senior Vice President, State Street Bank and Trust CompanyRene H. Guilmet, II, Vice President, State Street Global Advisors, a division of State Street
Bank and Trust Company
The Company has delegated the day-to-day management of the Company, including responsibility for the investment and re-investment of the assets of each of the Sub-funds, to the Management Company pursuant to the Management Company Agreement. Investment ManagerState Street Global Advisors France S.A.Defense Plaza23 – 25 Rue Delariviere-Lefoullon92064 Paris la Defense CedexFrance
The Management Company and the Company have delegated responsibility for the investment and re-investment of the assets of each of the Sub-funds to the Investment Manager pursuant to the Investment Management Agreement. The Investment Manager (subject to the prior consent of theManagement Company and the Company) has the discretion, under its responsibility and control, to appoint and replace advisors to the different Sub-funds from time to time and may also, subject in addition to CSSF approval, delegate the investment decision making to such investment advisors provided such investments are made in accordance with the investment objectives and policies described in this Prospectus and the relevant Supplement.In accordance with the Investment Management Agreement, the Investment Manager may delegate certain of its investment management responsibilities to certain Sub-Investment Managers pursuant to the terms of Sub-Investment Management Agreements. Notwithstanding the appointment of the Sub-Investment Manager(s), the Investment Manager accepts full responsibility to the Management Company and to the Company for all investment transactions.The currently appointed Sub-Investment Manager is as follows:Sub-Investment ManagersState Street Global Advisors, a division of State Street Bank and Trust Company1 Lincoln Street
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BostonMassachusetts 02111
State Street Global Advisors Limited20 Churchill PlaceCanary WharfLondon E14 5HJUnited Kingdom
Rexiter Capital Management, Limited80 Cannon StreetLondon EC4N 6HLUnited Kingdom
Sectoral Asset Management1000 Sherbrooke Street WestSuite 2120Montreal, Qc H3A 3G4Canada
The Investment Manager also may appoint additional Sub-Investment Managers in the future for Sub-funds. The Supplement for each Sub-fund will indicate if such Sub-fund is managed by a Sub-Investment Manager. In addition, Shareholders may request at any time an up-to-date list of the Sub-Investment Managers in charge of the management of a particular Sub-fund. Such a list can be obtained during business hours at the registered office of the Company.
The list of Sub-Investment Managers in charge of the Sub-funds’ management will be included in the semi-annual and annual reports.
Custodian
State Street Bank Luxembourg S.A.49, Avenue J.F. KennedyL-1855 Luxembourg
Under the terms of the Custodian Agreement, the Custodian has full power to delegate the whole or any part of its custodial functions but the liability of the Custodian will not be affected by the fact that it has entrusted to a third party some or all of the investments in its safe keeping.
Central administration, principal paying agent, transfer agent, domiciliary agent and listing agent
State Street Bank Luxembourg S.A.49, Avenue J.F. KennedyL-1855 Luxembourg
Distributor
State Street Global Advisors Limited20 Churchill PlaceCanary WharfLondon E14 5HJUnited Kingdom
Auditor of annual report
PricewaterhouseCoopers Sàrl.400, route d’Esch , P.O. Box 1443L-1014 Luxembourg
Legal Adviser
Linklaters LLP35, Avenue J.F. KennedyP.O. Box 1107
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L-1011 Luxembourg
Supplementary information about the organization of the individual Sub-funds is contained in the relevant Supplement.
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3. DEFINITIONS
1915 Law The law of 10 August 1915 relating to commercial companies as amended from time to time
2002 Law The law of 20 December 2002 relating to undertakings for collective investment as amended from time to time
2010 Law The law of 17 December 2010 relating to undertakings for collective investment as amended from time to timeand replacing the 2002 Law with effect from 1 July 2011
Administrator State Street Bank Luxembourg S.A., in its capacity as Central administrator, principal paying agent, transfer agent, domiciliary agent and listing agent
Anti-Dilution Levy Addition to the subscription price, or deduction from the redemption price, as applicable, of a percentagedetermined by the Investment Manager (or Sub-Investment Manager, if applicable) to ensure that all investors in a Sub-fund are treated equitably with respect to costs arising from subscriptions or redemptions
Articles The Articles of Association of the Company
Board of Directors/Directors The directors of the Company as described under ‘Organization and Management’ above
Board of Managers of the Management Company The managers of the Management Company as described under ‘Organization and Management’ above
Class I Shares Shares reserved to institutional investors as defined in Articles 174 to 176 of the 2010 Law
Class P Shares Shares available to retail and institutional investors
Community law The laws and regulations issued by the European Union and published in the Official Journal
Company State Street Global Advisors Luxembourg SICAV
CSSF Commission de Surveillance du Secteur Financier, the Luxembourg regulatory authority
Custodian State Street Bank Luxembourg S.A.
Cut-off time For each Sub-fund, as defined in such Sub-fund’s Supplement
Dealing Day Each full bank business day in Luxembourg which is not a normal public holiday for the stock exchanges or other markets which represent the basis for valuation of a major part of the net assets of the corresponding Sub-fund, as determined by the Company and anyadditional days set forth in the Supplement relating to a Sub-fund that are not deemed Dealing Days by such Sub-fund
Distributor State Street Global Advisors Limited
€ Euro
Investment Manager State Street Global Advisors France S.A.
Management Company State Street Global Advisors Luxembourg ManagementSàrl
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Mémorial C The Official Gazette of Luxembourg known as theRecueil des Sociétés et Associations
Net Asset Value In relation to a Sub-fund or a Share (of any class), the amount determined in accordance with Sections 21 and 22 of this Prospectus
OECD Organization for Economic Cooperation and Development
Prospectus This document
Recognised country A member state of the OECD and all other countries of Europe, North and South America, Africa, Asia and of the Pacific Rim (including, without limitation, Australia and New Zealand)
Redemption Fee Redemption charge as specified for each Sub-fund in the relevant Supplement of up to 3% of the redemption price
Shares Shares of no par value in the Company in respect of any Sub-fund and means any of the Share classes created for a Sub-fund and set forth in the Supplement for such Sub-fund
Share class Any class of Shares created for any Sub-fund, as appropriate
Shareholder A holder of any class of Shares of a Sub-fund
Sub-fund Compartment of an umbrella fund reflecting an investment portfolio
Sub-Investment Managers State Street Global Advisors, a division of State Street Bank and Trust Company, State Street Global Advisors Limited, Rexiter Capital Management, Limited and any potential Sub-Investment Manager appointed at a future date
Subscription Fee Subscription charge as specified for each Sub-fund in the relevant Supplement of up to 3% of the subscription price
Supplement Supplement forming an integral part of the Prospectus and describing the specific features of a Sub-fund
UCI Undertaking for Collective Investment
UCITS Undertaking for Collective Investment in Transferable Securities
Valuation Point In relation to any Sub-fund, such time on a DealingDay as the Directors may from time to time determine (following consultation with the Administrator) at which the Net Asset Value and the Net Asset Value per Share of such Sub-fund is calculated
4. INVESTMENT OBJECTIVEThe investment objectives determined by the Board of Directors of the Company in relation to each individual Sub-fund are described in the relevant Supplement, in the section "Investment Objectives and Investment Policy". The Company provides investment in professionally managed pools of global securities in different geographical areas and currencies, with the opportunity to achieve capital growth, income, or a balance between growth and income.
Further, the Sub-funds may, in the pursuit of the investment objectives as described in the section
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"Special Investment Techniques and Financial Instruments", employ investment techniques and financial instruments in compliance with the guidelines and limits set according to Luxembourg law.
Although the Company will do its utmost to achieve the investment objectives of each Sub-fund, there can be no guarantee to which extent these objectives will be reached. Consequently, the Net Asset Values of the Shares may increase or decrease and positive or negative returns of different levels may arise.
The historic performance of each Sub-fund is illustrated in its simplified prospectus
5. INVESTOR PROFILE AND RISK PROFILE
The investor profile and risk profile of each Sub-fund are described in the relevant Supplement.
6. GENERAL RISK FACTORS
This Section explains some of the general risks that apply to the Company and Sub-funds. Specific risk factors for individual Sub-funds, in addition to the general risks described below, are described in the relevant Supplement. This Section does not purport to be a complete explanation and other risks may be relevant from time to time. In particular, the Company’s and each Sub-fund’s performance may be affected by changes in market, economic and political conditions, and in legal, regulatory and tax requirements.
In addition to this Section and to the specific risk factors linked to a particular Sub-fund, investors should also consult Section 8.7 below for the Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.
Past performance is not necessarily indicative of future results. The value of Shares, and the return derived from them, can fluctuate and can go down as well as up. There can be no assurance, and no assurance is given, that the Company will achieve its investment objectives. An investor who realises his investment after a short period may, in addition, not realise the amount that he originally invested because of anyinitial charge applicable on the issue of Shares.
In certain circumstances Shareholders’ rights to redeem Shares may be deferred or suspended (see Section19.2 ‘Redemption’ and Section 22 ‘Suspension of calculation of Net Asset Value, and of the Subscription, Redemption and Switching of Shares’ of this Prospectus).
Cash Position Risk
A Sub-fund may hold a significant portion of its assets in cash or cash equivalents at the Investment Manager’s discretion. If a Sub-fund holds a significant cash position for an extended period of time, its investment returns may be adversely affected.
Concentration Risk
A Sub-fund may concentrate its investments in companies in a particular industry or market or economic sector. When a Sub-fund concentrates its investments in a particular industry or sector, financial, economic, business, and other developments affecting issuers in that industry or sector will have a greater effect on the Sub-fund than if it had not concentrated its assets in that industry or sector. In addition, investors may buy or sell substantial amounts of a Sub-fund’s shares in response to factors affecting or expected to affect an industry or sector in which the Sub-fund concentrates its investments, resulting in extreme inflows or outflows of cash into and out of the Sub-fund. Such inflows or outflows might affect management of the Sub-fund adversely, to the extent they were to cause the Sub-fund’s cash position or cash requirements to exceed normal levels.
In particular, certain Sub-funds may invest in securities of companies in technology-related industries. The value of Shares of these Sub-funds may be susceptible to factors affecting technology-related industries and to greater risk and market fluctuation than investment in a broader range of portfolio securities covering different economic sectors. Technology, technology-related, healthcare and telecommunications industries may also be subject to greater government regulation than many other industries. Accordingly, changes in government policies and the need for regulatory approvals may have a materially adverse affect on these industries. Additionally, these companies may be subject to risks of developing technologies, competitive pressures and other factors as well as a relatively high risk of obsolescence caused by scientific and technological advances and are dependent upon consumer and business acceptance as new technologies evolve. Many companies in the technology sector are smaller companies and are therefore also subject to the risks attendant on investing in such companies set out below. The development of these sector-specific investments may differ from the general stock exchange trend.
Conflicts of Interest Risk
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Affiliates of the Investment Manager may provide services to the Company and the Sub-funds, such as securities lending agency services, custodial, administrative, bookkeeping, and accounting services, transfer agency and shareholder servicing, and other services. A Sub-fund may enter into repurchase agreements and derivatives transactions with the Investment Manager or one of its affiliates. A Sub-fund may invest in other pooled investment vehicles sponsored, managed, or otherwise affiliated with the Investment Manager, in which event the Sub-fund will bear a pro rata share of the expenses of those other pooled investment vehicles; those investment vehicles may pay fees and other amounts to the Investment Manager or its affiliates, which might have the effect of increasing the expenses of the Sub-fund. There is no assurance that the rates at which a Sub-fund pays fees or expenses to the Investment Manager or its affiliates, or the terms on which it enters into transactions with the Investment Manager or its affiliates or on which it invests in any such other investment vehicles will be the most favorable available in the market generally or as favorable as the rates the Investment Manager makes available to other clients. There will be no independent oversight of the fee or expenses paid to, or services provided by, those entities. Because of its financial interest, the Investment Manager may have an incentive to enter into transactions or arrangements on behalf of a Sub-fund with itself or its affiliates in circumstances where it might not have done so in the absence of that interest.
Currency Risk
Investments in companies from different countries are often denominated in different currencies. Changes in the values of those currencies relative to a Sub-fund’s base currency may have a positive or negative effect on the values of the Sub-fund’s investments denominated in those currencies. A Sub-fund may, but will not necessarily, invest in currency exchange contracts to reduce exposure to different currencies. These contracts may reduce or eliminate some or all of the benefit that a Sub-fund may experience from favorable currency fluctuations.
The values of other currencies relative to a Sub-fund’s base currency fluctuate in response to, among other factors, interest rate changes, intervention (or failure to intervene) by national governments, central banks, or supranational entities such as the International Monetary Fund, the imposition of currency controls, and other political or regulatory developments. Currency values can decrease significantly both in the short term and over the long term in response to these and other developments.
The Company may offer hedged Share classes of its Sub-funds (collectively, the “Hedged Share Classes”). With respect to the Hedged Share Classes, the Investment Manager (or Sub-Investment Manager) will seek to hedge the applicable currency exposure. There can be no guarantee that the Investment Manager (or Sub-Investment Manager) will be successful in such hedging activities. All gains/losses or expenses arising from such hedging transactions are borne separately by the Shareholders of the respective Hedged Share Classes. Given that there is no segregation of liabilities between Share classes of a Sub-fund, there is a risk that, under certain circumstances, currency hedging transactions in relation to a Hedged Share Classes of a Sub-fund could result in liabilities which might affect the Net Asset Value of the other Share classes of thatSub-fund.
Custodial Risk
There are risks involved in dealing with the custodians or brokers who hold or settle a Sub-fund’s trades. It is possible that, in the event of the insolvency or bankruptcy of a custodian or broker, a Sub-fund would be delayed or prevented from recovering its assets from the custodian or broker, or its estate, and may have only a general unsecured claim against the custodian or broker for those assets.
The Custodian will hold assets in compliance with applicable laws and such specific provisions as agreed in the Custodian Agreement. Such requirements are designed to protect the assets against bankruptcy but do not amount to a guarantee to this effect.
Debt Securities Risk
Fixed-income securities and other income-producing securities are obligations of their issuers to make payments of principal and/or interest on future dates. Income-producing securities may also include preferred stocks, instruments with characteristics of both equity and debt instruments (such as convertible preferred stocks or equity-linked notes), or interests in income-producing trusts, such as income or royalty trusts. As interest rates rise, the values of a Sub-fund’s debt securities or other income-producing investments are likely to fall. This risk is generally greater for obligations with longer maturities. Debt securities and other income-producing securities also carry the risk that the issuer or the guarantor of a security will be unable or unwilling to make timely principal and/or interest payments or otherwise to honor its obligations. This risk is particularly pronounced for lower-quality, high-yielding debt securities. Lower-rated debt securities (commonly known as “high-yield” securities or “junk bonds”) are considered to be of poor standing and predominantly speculative. Securities in the lowest rating categories may have extremely poor prospects of attaining any real investment standing, and some of a Sub-fund’s investments in such securities may be in default. Additional risks that may be part of debt securities risk include the following:
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Credit Risk - The ability, or perceived ability, of the issuer of a debt security to make timely payments of interest and principal on the security will affect the value of the security. It is possible that the ability of an issuer to meet its obligations will decline substantially during the period when a Sub-fund owns securities of that issuer or that the issuer will default on its obligations. An actual or perceived deterioration of the ability of an issuer to meet its obligations will likely have an adverse effect on the value of the issuer’s securities. With certain exceptions, credit risk is generally greater for investments issued at less than their face values and required to make interest payments only at maturity rather than at intervals during the life of the investment. Credit rating agencies base their ratings largely on the issuer’s historical financial condition and the rating agencies’ investment analysis at the time of rating. The rating assigned to any particular investment does not necessarily reflect the issuer’s current financial condition and does not reflect an assessment of an investment’s volatility or liquidity. Although investment-grade investments generally have lower credit risk than investments rated below investment grade, they may share some of the risks of lower-rated investments, including the possibility that the issuers may be unable to make timely payments of interest and principal and thus default. If a security held by a Sub-fund loses its rating or its rating is downgraded, the Sub-fund may nonetheless continue to hold the security in the discretion of the Investment Manager.
Extension Risk - During periods of rising interest rates, the average life of certain types of securities may be extended because of slower-than-expected principal payments. This may lock in a below-market interest rate, increase the security’s duration, and reduce the value of the security.
Income Risk - To the extent a Sub-fund’s income is based on short-term interest rates, which may fluctuate over short periods of time, income received by the Sub-fund may decrease as a result of a decline in interest rates.
Interest Rate Risk - The values of bonds and other debt instruments usually rise and fall in response to changes in interest rates. Declining interest rates generally increase the values of existing debt instruments, and rising interest rates generally reduce the values of existing debt instruments. Interest rate risk is generally greater for investments with longer durations or maturities. Some investments give the issuer the option to call or redeem an investment before its maturity date. If an issuer calls or redeems an investment during a time of declining interest rates, a Sub-fund might have to reinvest the proceeds in an investment offering a lower yield and therefore might not benefit from any increase in value as a result of declining interest rates.
Prepayment Risk - A debt security held by a Sub-fund could be repaid or “called” before the money is due, and the Sub-fund may be required to reinvest the proceeds of the prepayment at lower interest rates. Intermediate-term and long-term bonds commonly provide protection against this possibility, but mortgage-backed securities do not. Mortgage-backed securities are more sensitive to the risks of prepayment because they can be prepaid whenever their underlying collateral is prepaid.
Defensive Investing Risk
In response to market, economic, political, or other conditions, a Sub-fund may depart from its principal investment strategies by temporarily investing for defensive purposes. If a Sub-fund invests for defensive purposes, it may not achieve its investment objective. In addition, the defensive strategy may not work as intended.
Derivatives Risk
A Sub-fund’s use of derivative instruments involves risks different from, and possibly greater than, the risks associated with investing directly in securities and other more traditional investments. Derivatives are subject to a number of risks, such as potential changes in value in response to interest rate changes or other market developments or as a result of the counterparty’s credit quality and the risk that a derivative transaction may not have the effect the Investment Manager anticipated. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value of a derivative may not correlate perfectly with the asset, rate, or index underlying the derivative. Derivative transactions can create investment leverage and may be highly volatile. Use of derivatives other than for hedging purposes may be considered speculative. When a Sub-fund invests in a derivative instrument, it could lose more than the principal amount invested. Certain derivatives have the potential for unlimited loss, regardless of the size of the original investment. Many derivative transactions are entered into “over the counter” (not on an exchange or contract market); as a result, the value of such a derivative transaction will depend on the ability and the willingness of a Sub-fund’s counterparty to perform its obligations under the transaction. A liquid secondary market may not always exist for a Sub-fund’s derivative positions at any time. Use of derivatives may increase the amount and timing of taxes payable by Shareholders. Although the use of derivatives is intended to enhance a Sub-fund’s performance, it may instead reduce returns and increase
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volatility. Derivatives are subject to a number of risks described elsewhere in this section, such as debt security or equity risk, counterparty risk, leverage risk, and management risk, and in Section 8.7 for the Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.
Emerging Markets Risks
Investments in emerging markets may be more volatile than investments in more developed markets. Some of these markets may have relatively unstable governments, economies based on only a few industries and securities markets that trade only a limited number of securities. Many emerging markets do not have well-developed regulatory systems and disclosure standards may be less stringent than those of developed markets.
The risks of expropriation, nationalisation and social, political and economic instability are greater in emerging markets than in more developed markets.
The following is a brief summary of some of the more common risks associated with emerging markets investment:
Fraudulent Securities – Given the lack of an adequate regulatory structure it is possible that securities in which investments are made may be found to be fraudulent. As a result, it is possible that losses may be suffered.
Lack of Liquidity – The accumulation and disposal of holdings may be more expensive, time-consuming and generally more difficult than in more developed markets. Also, due to the lack of liquidity, volatility may be higher. Many emerging markets are small, have low trading volumes, low liquidity and significant price volatility.
Currency Fluctuations – Significant changes in the currencies of the countries in which investments are made vis-à-vis the currency of denomination of the relevant Sub-fund may occur following investment by the Company in these currencies. These changes may impact the total return of the Sub-fund to a significant degree. In respect of currencies of certain emerging market countries, it may not be possible to undertake currency hedging techniques. Some emerging market countries have a higher risk of currency devaluations, and some of these countries may experience periods of high inflation or rapid changes in inflation rates.
Settlement and Custody Risks – Settlement and custody systems in emerging markets are not as well-developed as those in developed markets. Standards may not be as high and supervisory and regulatory authorities not as sophisticated. As a result there may be risks that settlement may be delayed and that cash or securities could be disadvantaged.
Investment and Remittance Restrictions – In some cases, emerging markets may restrict the access of foreign investors to securities. As a result, certain equity securities may not always be available to the Sub-fund because the maximum permitted number of or aggregate investment by foreign Shareholders has been reached. In addition, the outward remittance by foreign investors of their share of net profits, capital and dividends may be restricted or require governmental approval. The Company will only invest in markets in which it believes these restrictions to be acceptable. However, there can be no guarantee that additional restrictions will not be imposed.
Accounting – Accounting, auditing and financial reporting standards, practices and disclosure requirements applicable to companies in emerging countries differ from those applicable in more developed countries in respect of the nature, quality and timeliness of the information disclosed to investors and, accordingly, investment possibilities may be difficult to assess properly.
Equity Risk
The market prices of equity securities owned by a Sub-fund may go up or down, sometimes rapidly or unpredictably. The value of a security may decline for a number of reasons that may directly relate to the issuer, such as management performance, financial leverage, non-compliance with regulatory requirements, and reduced demand for the issuer’s goods or services. The values of equity securities also may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Some Sub-funds may invest in equity warrants, and Shareholders should be aware that the holding of warrants may result in increased volatility of the relevant Sub-fund’s Net Asset Value per Share. A Sub-fund may continue to accept new subscriptions and to make additional investments in equity securities even under general market conditions that the Investment Manager or Sub-Investment Manager, as applicable, view as unfavorable for
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equity securities.
A Sub-fund may at times have the opportunity to invest in securities offered in initial public offerings (“IPOs”). IPOs may not be available to a Sub-fund at all times, and a Sub-fund may not always invest in IPOs offered to it. Investments in IPOs may have a substantial beneficial effect on a Sub-fund’s investment performance. A Sub-fund’s investment return earned during a period of substantial investment in IPOs may not be sustained during other periods when the Sub-fund makes more-limited, or no, investments in IPOs. A Sub-fund may lose money on an investment in securities offered in an IPO.
Frequent Trading Risk
A Sub-fund may engage in frequent trading of investments in furtherance of its investment objective or in response to market conditions. Frequent trading increases transaction costs, which may reduce a Sub-fund's return. Frequent trading can also result in increased tax liability for investors. Investors should consult their tax advisers.
Geographic Concentration Risk
Because a Sub-fund may invest a relatively large percentage of its assets in issuers located in a single country, a small number of countries, or a particular geographic region, the Sub-fund’s performance could be closely tied to the market, currency, economic, political, or regulatory conditions and developments in those countries or that region, and could be more volatile than the performance of more geographically-diversified funds.
Index Risk
Because certain Sub-funds are actively managed, their investment returns will not normally match that of their benchmark index. Investment decisions by any such Sub-fund's investment managers to vary its portfolio investments from the securities included in the index, including as to specific stocks or as to broader investment sectors, will affect the Sub-fund's performance versus that of the index.
Investment in multiple countries
Investments in securities of companies from multiple countries, securities of companies with significant exposure to multiple countries, and exposure to various currencies can involve additional risks relating to market, economic, political, or regulatory conditions and developments. Political, social, and economic instability, the imposition of currency or capital controls, or the expropriation or nationalization of assets in a particular country can cause dramatic declines in that country’s economy. Less stringent regulatory, accounting, and disclosure requirements for issuers and markets are common in certain countries. Enforcing legal rights can be difficult, costly, and slow in some countries, and can be particularly difficult against governments. Additional risks of investing in various countries include trading, settlement, custodial, and other operational risks, and withholding and other taxes. These factors can make investments in multiple countries, especially those in emerging markets, more volatile and less liquid than investments in a single country. In addition, markets in various countries can each react differently to market, economic, political, or regulatory developments.
Leveraging Risk
Certain transactions, including, for example, when-issued, delayed-delivery, and forward commitment purchases, loans of portfolio securities, and the use of some derivatives, can result in leverage. Leverage generally has the effect of increasing the amounts of loss or gain a Sub-fund might realize, and creates the likelihood of greater volatility of the value of a Sub-fund's portfolio. In transactions involving leverage, a relatively small market movement or change in other underlying indicator can lead to significantly larger losses to the fund.
Liquidity Risk
Certain investments and types of investments are subject to restrictions on resale, may trade in the over-the-counter market or in limited volume, or may not have an active trading market. Illiquid securities that may be held in accordance with Article 41(2)(a) of the 2002 Law, may trade at a discount from comparable, more liquid investments and may be subject to wide fluctuations in market value. It may be difficult for a Sub-fund to value illiquid securities accurately. Also, a Sub-fund may not be able to dispose of illiquid securities readily at a favorable time or price or at prices approximating those at which the Sub-fundcurrently values them. Illiquid securities also may entail registration expenses and other transaction costs that are higher than those for liquid securities.
Lower-Rated Securities Risk
Securities rated below investment grade (i.e., high-yield bonds or junk bonds) lack outstanding investment characteristics and have speculative characteristics and are subject to greater credit and market risks than higher-rated securities. The lower ratings of junk bonds reflect a greater possibility that adverse changes in the financial condition of the issuer or in general economic conditions, or an unanticipated rise in interest
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rates, may impair the ability of the issuer to make payments of interest and principal. If this were to occur, the values of such securities held by a Sub-fund may become more volatile.
Management Risk
Each Sub-fund is subject to management risk. The Investment Manager's judgments about the attractiveness, relative value, or potential appreciation of a particular sector, security, or investment strategy may prove to be incorrect, and there can be no assurance that they will produce the desired results. Each Sub-fund will be dependent to a substantial degree on the continued service of members of the Investment Manager or Sub-Investment Manager. In the event of the death, disability or departure of any such individuals, the performance of the applicable Sub-fund may be adversely impacted.
Modeling Risk
The Investment Manager and Sub-Investment Managers use quantitative models in an effort to seek to enhance returns and manage risk. These models may be proprietary to the Investment Manager or they may be licensed from third parties. While the Investment Manager and Sub-Investment Managers expect these models to perform as expected, deviation between the forecasts and the actual events can result in either no advantage or in results opposite to those desired by the Investment Manager and Sub-Investment Managers. In particular, these models may draw from unique historical data that may not predict future trades or market performance adequately. There can be no assurances that the models behave as expected in all market conditions. Availability of third party models could be reduced or eliminated in the future.
No Opportunity for Shareholders to Control or Vote
Shareholders generally will not have any right to amend or terminate the governing documents or any policies of the Sub-funds, nor do Shareholders have any right to appoint, select, vote for or remove the Investment Manager or Sub-Investment Manager, or to participate otherwise in the investment and management decisions with respect to the Sub-funds. Therefore, Shareholders will depend solely on the abilities of the Management Company, Investment Manager and Sub-Investment Manager, as applicable,with respect to these matters.
No Prior Operating History
Each Sub-fund is a newly formed entity with limited operating history and there can be no assurance that it will be successful. Prior performance is no guarantee of future results.
Property Securities Risk
There are special risks associated with investment in securities of companies engaged in property markets. An investment in a property company may be subject to risks similar to those associated with direct ownership of real estate, including losses from casualty or condemnation, and changes in local and general economic conditions, supply and demand, interest rates, zoning laws, regulatory limitations on rents, property taxes and operating expenses. In addition, an investment in a property company is subject to additional risks, such as poor performance by the manager of the property company, adverse changes in tax laws, and the effect of general declines in stock prices. In addition, some property companies have limited diversification because they invest in a limited number of properties, a narrow geographic area, or a single type of property. Also, the organizational documents of a property company may contain provisions that make changes in control of the property investment difficult and time-consuming. As a shareholder in a property company, a Sub-fund, and indirectly the Sub-fund's Shareholders, would bear its ratable share of the property company's expenses and would at the same time continue to pay its own fees and expenses.
Small Companies Risk
Small companies may offer greater opportunities for capital appreciation than larger companies, but they tend to be more vulnerable to adverse developments than larger companies, and investments in such companies may involve certain special risks. Such companies may have limited product lines, markets, or financial resources and may be dependent on a limited management group. In addition, such companies may have been recently organized and have little or no track record of success. Also, the Investment Manager may not have had an opportunity to evaluate such newer companies’ performance in adverse or fluctuating market conditions. The securities of small companies may trade less frequently and in smaller volume than more widely held securities. The prices of these securities may fluctuate more sharply than those of other securities, and a Sub-fund may experience some difficulty in establishing or closing out positions in these securities at prevailing market prices. There may be less publicly available information about the issuers of these securities or less market interest in such securities than in the case of larger companies, both of which can cause significant price volatility. Some securities of smaller issuers may be illiquid or may be restricted as to resale.
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Valuation Risk
A portion of a Sub-fund’s assets may be valued by the Company at fair value using prices provided by a pricing service or, alternatively, a broker-dealer or other market intermediary (sometimes just one broker-dealer or other market intermediary) when other reliable pricing sources may not be available. If information is available from none of those sources or the Company considers it unreliable, the Companymay value a Sub-fund's assets based on such other information as the Company may in its discretion consider appropriate. There can be no assurance that such prices will accurately reflect the price a Sub-fund would receive upon sale of a security, and to the extent a Sub-fund sells a security at a price lower than the price it has been using to value the security, its net asset value will be adversely affected. When a Sub-fund invests in other funds or investment pools, it will generally value its investments in those funds or pools based on the valuations determined by the funds or pools, which may not be the same as if the net assets of the funds or pools had been valued using the procedures employed by the Sub-fund to value its own assets.
The foregoing list of risk factors does not purport to be a complete enumeration or explanation of the risks involved in purchasing Shares of any Sub-fund. Prospective investors should read this entire Prospectus and the relevant Supplements and consult with their own advisors before deciding whether to purchase Shares of any Sub-fund.
7. INVESTMENT LIMITSIn accordance with the 2002 Law and the investment policies of each Sub-fund, the following provisions will be observed:
7.1 INVESTMENTS IN TRANSFERABLE SECURITIES, MONEY MARKET INSTRUMENTS, DEPOSITS, DERIVATIVESAND UNITS OF UNDERTAKINGS FOR COLLECTIVE INVESTMENT
These investments comprise:(a) Transferable securities and money market instruments:
which are admitted to or dealt in on a regulated market (as defined in Article 1 of the 2002 Law); which are dealt in on another regulated market in a member state of the European Union
("EU") which is recognized, open to the public and operates regularly;
which are admitted to official listing on a stock exchange in a recognised country or are traded on another regulated market of a recognised country which is recognized, open to the public and operates regularly;
securities and money market instruments resulting from new issues, provided the terms of issue contain an undertaking to apply for official listing on a stock exchange or another regulated market which is recognized, open to the public and operates regularly, and that the admission will be obtained within one year of the issue.
(b) Sight deposits or deposits repayable on demand maturing in no more than 12 months with qualified credit institutions whose registered office is located in a member state of the EU or in a member state of the OECD or in a country that has ratified the resolutions of the Financial Actions Task Force ("FATF" or Groupe d'Action Financiere Internationale ("GAFI")) ("qualified credit institutions").
(c) Financial derivatives, including equivalent cash-settled instruments, which are dealt in on a regulated market as specified in (a), first, second or third indent, and/or over the counter (“OTC”)derivatives provided that: the underlying securities are instruments as defined by this paragraph 7.1 or are financial
indices, interest rates, exchange rates or currencies in which the Sub-fund may invest according to its investment objectives.
the counterparties in transactions with OTC derivatives are institutions subject to supervision belonging to the categories approved by the CSSF; and
the OTC derivatives are subject to reliable and verifiable valuations on a daily basis and can be sold, liquidated or settled through an offsetting transaction at any time at the initiative of the Company at their fair value.
(d) Shares or units in UCITS authorised in accordance with Directive 85/611/EEC and/or other UCIs within the meaning of Article 1 (2), first and second indent of Directive 85/611/EEC having
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their registered office in a member state of the European Union or a non-EU state, provided that:
such other UCIs are authorised in accordance with legal requirements which submit them to prudential supervision considered by the CSSF to be equivalent to that under the EU community law and that there is sufficient guarantee of cooperation between the authorities;
the level of protection of unitholders of such other UCIs is equivalent to the level of protection of the unitholders of a UCITS and in particular that the requirements for segregation of the fund's assets, borrowing, lending and uncovered sales of transferable securities and money market instruments are equivalent to the requirements of Directive 85/611/EEC;
the business activities of the other UCIs are subject to semi-annual and annual reports which enable an assessment of the assets and liabilities, income and transactions over the reporting period;
the UCITS or other UCI, whose units or shares are to be acquired, may, according to their constitutional documents, invest in total no more than 10% of their net assets in units or shares of other UCITS or UCIs;
if the Company purchases units in UCITS and/or other UCIs which are managed directly or indirectly by the Management Company or by another company to which the Management Company is linked by common management or control or by a substantial direct or indirect shareholding, the Management Company or the other company may not charge the Company any fees for subscription or redemption of shares or units in such UCITS and/or other UCIs.
(e) Money market instruments which are not traded on a regulated market and fall under the definition of Article 1 of the 2002 Law, provided the issue or issuer of these instruments are themselves subject to regulations concerning the protection of savings and investors, and provided:
they are issued or guaranteed by a central, regional or local authority or the central bank of a EU member state, the European Central Bank, the EU or the European Investment Bank, a non-EU state or, in the case of a federal state, one of the members making up the federation, or by a public international institution to which at least one EU member state belongs; or
they are issued by an undertaking whose securities are traded on the regulated markets designated in paragraph 7.1 (a); or
they are issued or guaranteed by an establishment subject to supervision in accordance with the criteria defined by EU Community law, or by an institution which is subject to and complies with prudential rules which in the opinion of the CSSF are at least as stringent as those under EU Community law; or
they are issued by other issuers belonging to a category approved by the CSSF provided such instruments are subject to investor protection regulations which are equivalent to those of the first, second or third indent and provided the issuer is either a company whose capital and reserves amount to at least ten (10) million Euros which presents and publishes its annual accounts in accordance with the provisions of the 4th Directive 78/660/EEC, or an entity within a group comprising one or more companies listed on an official stock exchange which is dedicated to the financing of that group, or is an entity which is dedicated to the financing of the securitization vehicles which benefit from a credit line granted by a bank.
(f) However: the Company may invest no more than 10% of the Net Asset Value of its Sub-funds in
transferable securities and money market instruments other than those referred to in 7.1(a) to (e);
the Company may acquire movable and immovable property which is essential for the direct pursuit of its business;
the Company may not acquire precious metals or certificates representing them.
7.2 INVESTMENT RESTRICTIONS
(a) The Company may invest not more than 10% of the Net Asset Value of each Sub-fund in transferable securities or money market instruments of one and the same issuer. The Company may invest not more than 20% of the Net Asset Value of each Sub-fund in deposits made with one and the same institution.
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The risk exposure to a counterparty in OTC derivatives transactions by the Company must not exceed the following percentages:
10% of the Net Asset Value of each Sub-fund when the counterparty is a qualified credit institution; and otherwise 5% of the Net Asset Value of each Sub-fund.
When applying these limits to the OTC transaction, reference should be made to the net counterparty risk exposure. Thus, the Company will reduce the gross counterparty risk of the Sub-fund’s OTC transaction by causing the swap counterparty to deliver to the Custodian eligible collateral. Such collateral will be enforceable by the Company at all times and will be marked to market at any time. The amount of collateral to be delivered in accordance with the CSSF circular 07/308 will be at least equal to the value by which the overall exposure limit as determined in the Prospectus has been exceeded. Alternatively, the Company may reduce the overall counterparty risk of the Sub-fund's OTC transaction by resetting the OTC transaction. The effect of resetting the OTC transaction is to reduce the marked to market value of the OTC transaction and, herewith, reduce the net counterparty exposure to the applicable rate.The aggregate exposure of a Sub-fund associated with derivatives must not exceed the Net Asset Value of the Sub-fund concerned. When calculating the risk, the market value of the underlying instruments, the counterparty risk, foreseeable market fluctuations and the time available to liquid the positions must be taken into account.The aggregate risk of the underlying instruments must not exceed the investment limits set out in 7.2(a) to (i). The underlying instruments of index-based derivatives do not have to observe these investment limits. However, if a derivative is embedded in a transferable security or money market instrument, it must be taken into account for the purpose of the provisions of this section.
(b) The total value of the issuers' transferable securities and money market instruments in which a Sub-fund invests more than 5% of its Net Asset Value must not exceed 40% of its Net Asset Value. This limitation does not apply to deposits or OTC derivative transactions made with financial institutions subject to prudential supervision.
(c) Irrespective of the individual maximum limits under 7.2(a), a Sub-fund may invest not more than 20% of its Net Asset Value with a single institution in a combination of:
transferable securities or money market instruments issued by this institution;and/or
deposits made with this institution; and/or
exposure arising from OTC derivatives transactions undertaken with this institution.
(d) The limit stated in 7.2(a), first sentence, is raised to 35% if the transferable securities or money market instruments are issued or guaranteed by a EU member state or by its local authorities, by a non-EU state or by public international institutions of which at least one EU member state is a member.
(e)
The limit stated in 7.2(a) is raised to 25% for certain debt securities when they are issued bya credit institution with its registered office in an EU member state which is subject, by law, to special prudential supervision designed to protect investors in debt securities.
In particular sums deriving from the issue of these debt securities must be invested in conformity with the law in assets which, during the whole period of validity of the debt securities, are capable of covering claims attaching to the debt securities and which, in case of bankruptcy of the issuer, would be used on a priority basis for the repayment of principal and of the accrued interest.
If a Sub-fund invests more than 5% of its Net Asset Value in the debt securities referred to in the above paragraph and which are issued by one issuer, the total value of such investments may not exceed 80% of the Net Asset Value of the Sub-fund concerned.
(f)
Transferable securities and money market instruments mentioned in 7.2(d) and 7.2(e) are not taken into account in the calculation of the limit of 40% referred to in 7.2(b).
The limits stated in 7.2(a) to (e) may not be combined, and thus investments in accordance with 7.2(a) to (e) in transferable securities or money market instruments of one and the same issuer or in deposits with the said issuer or in derivatives made with that issuer may
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not exceed a total of 35% of the Net Asset Value of a Sub-fund. Companies which are included in the same group for the purpose of consolidated accounts as
defined in the Directive 83/349/EEC or in accordance with recognized international accounting rules are regarded as a single issuer for the purpose of calculating the aforementioned limits.
The investments by a Sub-fund in transferable securities and money market instruments within the same group may cumulatively not exceed 20% of its Net Asset Value.
(g) Notwithstanding points 7.2(a) to (f), the Company is authorized in accordance with the principle of risk diversification to invest up to 100% of a Sub-fund's Net Asset Value in transferable securities and money market instruments from different issues, which are issued or guaranteed by an EU member state or by its local authorities, by a member state of the OECD or by public international organizations of which at least one EU member state is a member, provided, however, that the Sub-fund must hold transferable securities and money market instruments of at least six different issues, whereby the transferable securities and money market instruments of each single issue may not account for more than 30% of the Net Asset Value of the Sub-fund concerned.
(h) Without prejudice to the limits laid down in 7.2(j), the limits laid down in 7.2(a) for investors in shares and/or debt securities issued by the same issuer may be raised to a maximum of 20% when the investment strategy of the Sub-fund is to replicate the composition of a certain stock or bond index which is recognized by CSSF. This depends on the following conditions:
that the composition of the index is sufficiently diversified;
that the index represents an adequate benchmark for the market to which it refers; that the index is published in an appropriate manner.
This limit is raised to 35% where this proves to be justified by exceptional market conditions, in particular on regulated markets where certain transferable securities or money market instruments are highly dominant. The investment up to this limit is only permitted for a single issuer.
(i)
A Sub-fund may acquire units of UCITS and/or other UCIs as defined within 7.1 (d) above, provided that no more than 10% of a Sub-fund’s Net Asset Value be invested in the units of a UCITS or other UCI, unless the Appendix related to a particular Sub-fund provides for the possibility for such Sub-fund to invest more than 10% of its Net Asset Value in the units of a UCITS or other UCI. A Sub-fund being allowed to invest more than 10% into UCITS or other UCIs may acquire units of UCITS and/or UCIs provided that no more than 20% of its assets are invested in the units of a single UCITS or other UCI.
For the purpose of the application of this investment limit, each sub-fund of a UCI is to be considered as a separate issuer provided that the principle of segregation of the obligations of the various Sub-funds vis-à-vis third parties is ensured.
Investments made in units of UCIs other than UCITS may not in aggregate exceed 30% of the Net Asset Value of a Sub-fund.
The underlying investments held by the UCITS or other UCIs in which the Sub-fund invests do not have to be considered for the purpose of the investment restrictions set forth above.
When a Sub-fund invests in the units of UCITS and/or other UCIs linked to the Company by common management, no subscription or redemption fees may be charged to the Sub-fund on account of its investment in the units of such other UCITS and/or UCIs.
(j)(A) The Company or the Management Company acting in connection with all of the investment funds which it manages and which qualify as a UCITS, may not acquire any shares carrying voting rights which would enable it to exercise significant influence over the management of the issuer. Moreover the Company may acquire no more than:
o 10% of the non-voting shares from the same issuer;o 10% of debt securities from the same issuer;
o 25% of the units of the same target fund; and
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o 10% of the money market instruments of any single issuer.(B) The limits set out in the second, third and fourth indents above may be disregarded at the time of acquisition if at that time the gross amount of debt securities or money market instruments or the net amount of the shares in issue cannot be calculated.
The two preceding paragraphs shall not apply to:
o transferable securities and money market instruments issued or guaranteed by a EU member state or its local authorities;
o transferable securities and money market instruments issued or guaranteed by a non-EU state;
o transferable securities and money market instruments issued by public international institutions of which one or more EU member states are members;
o shares held by the Company in the capital of a company incorporated in a non-EU state which invests its assets mainly in the securities of issuers having their registered office in that state, where under the legislation of that state, such a holding represents the only way in which the Company can invest in the securities of issuers of that state. This derogation, however, shall only apply if in its investment policy the company from the non-EU state complies with the limits laid down in 7.2(a) to (f) and 7.2(i) and 7.2(j) (A) and (B). Where the limits set in 7.2(a) to (f) and 7.2(i) are exceeded, 7.2(k) shall mutatis mutandis apply;
o shares held by the Company alone or together with other UCIs in the capital of subsidiary companies which, exclusively on its or their behalf carry on only the business of management, advice or marketing in the country where the subsidiary is located, in regard to the redemption of shares at the request of Shareholders.
(k) The Company need not comply with the limits laid down herein when exercising
subscription rights attaching to transferable securities and money market instruments which form part of its assets. While ensuring observance of the principle of risk diversification, the Company may derogate from the rules set out in 7.2(a) to (i) for a period of six months following the date of its admission.
If the Company exceeds the limits referred to in the paragraph above for reasons beyond its control or as a result of the exercise of subscription rights, the Company shall give priority, consistent with the best interests of Shareholders, upon sale of securities to disposing of these securities to the extent that they exceed such percentages, provided, however, that in any case where the foregoing percentages are lower than relevant percentages imposed by Luxembourg law, the Company need not give priority to disposing of such securities until the law’s higher limits have been exceeded, and then only to the extent of such excess.
(l) The Company may not borrow for the account of any Sub-fund amounts in excess of 10% of the Net Asset Value of that Sub-fund, any such borrowings to be from banks and to be effected only on a temporary basis, provided that the Company may acquire foreign currencies by means of back to back loans.
(m) The Company may not grant loans or act as guarantor on behalf of third parties for the account of the Sub-fund, without prejudice to points 7.1 and the last two paragraphs of 7.2(a). This shall not prevent the Company from acquiring transferable securities or money market instruments or other financial instruments referred to in 7.1(c), (d) and (e) which are not fully paid.
(n) The Company or the custodian bank acting on behalf of the Company may not carry out uncovered sales of transferable securities or money market instruments or other financial instruments referred to in 7.1(c), (d) and (e).
(o) The Company may hold ancillary liquid assets up to 49% of the Net Asset Value of each Sub-fund; this percentage may be increased as a temporary defensive measure or to provide for redemptions, but always in the best interests of the Shareholders
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7.3. FURTHER INVESTMENT GUIDELINES
(a) The Company will not acquire securities which entail unlimited liability.(b) The Company can implement further investment restrictions in order to comply with the
requirements in countries in which Shares shall be offered for sale.
8. SPECIAL INVESTMENT TECHNIQUES AND FINANCIAL INSTRUMENTS
In the interests of efficient management or for hedging purposes, the Company may make use of the following investment techniques and financial instruments for each Sub-fund. It must at all times comply with the investment restrictions stated in Part I of the 2002 Law and in the section "Investment limits" in this Prospectus, and must in particular be aware of the fact that the underlying of derivative financial instruments and structured products used by each Sub-funds have to be taken into account in the calculation of the investment limits stated in the previous section. The aggregate risk resulting from the use of derivatives must not exceed the Net Asset Value of the Sub-fund concerned. The Company will at all times observe the investment limits as specified by Circular 91/75 of the Luxembourg supervisory authority as well as all circulars supplementing, amending or replacing this Circular and any other applicable prudential rules. In respect of each Sub-fund, the Company will also take into account the requirement to maintain an appropriate level of liquidity when employing special investment techniques and financial instruments (particularly in the case of derivatives and structured products).
The Company will use financial institutions that it reasonably believes are “highly rated” as counterparties for investments in derivative instruments. The Company will consider a number of factors in assessing a financial institution’s creditworthiness. These factors include, but are not limited to, long term and short term credit ratings of such institutions (as published by an international statistical rating organization such as Standard & Poor’s Ratings Services) and bank financial strength ratings. However, there can be no assurance that the credit quality of any counterparty will not deteriorate during the course of a derivative transaction and that a Sub-fund will not sustain a loss on a transaction as a result.
8.1. OPTIONS ON SECURITIES
The Company may, for each Sub-fund and regarding the permitted investments, buy and/or sell call or put options as long as they are traded on a regulated market, or OTC options provided the counterparties of such transactions are highly rated financial institutions specializing in this kind of transactions.
8.2. FINANCIAL FUTURES, SWAPS AND OPTIONS ON FINANCIAL INSTRUMENTS
With the exception of swaps, of hedging operations as described in sections (b) and (c) below, and of swaps, options and other derivative financial instruments which are used for swapping performance and/or income (total return swaps, etc.; see 8.2(e) below), futures and options on financial instruments are limited to contracts traded on regulated markets. OTC options may only be concluded if the counterparties arehighly rated financial institutions which specialize in transactions of this kind.
(a) Hedges against market risks and risks associated with stock market performanceFor the purpose of hedging against poor market performance, the Company may, for each Sub-fund, sell forward transactions and call options on share price indexes, bond market indexes or other indexes or financial instruments or buy put options on share price indexes, bond market indexes or other indexes or buy financial instruments or enter into swaps in which the payments between the Company and the counterparty depend on the development of certain share price indexes, bond market indexes or other indexes or financial instruments.As these call and put transactions are for hedging purposes, there must be a sufficient correlation between the structure of the securities portfolio to be hedged and the composition of the stock index employed.
(b) Hedges against interest rate risksFor the purpose of hedging against the risks associated with changes in interest rates the Company may sell interest rate futures and call options on interest rates, buy put options on interest rates and enter into interest rate swaps, forward rate agreements and options on interest rate swaps (swaptions) with highly rated financial institutions specializing in this kind of transactions as part of OTC transactions for each Sub-fund.
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(c) Hedges against inflation risksFor the purpose of hedging against risks resulting from an unexpected acceleration of inflation, the Company may conclude so-called inflation swaps with highly rated financial institutions specializing in this type of transaction as part of OTC transactions or make use of other instruments to hedge against inflation for each Sub-fund.
(d) Hedges against credit default risk and the risk of a deterioration in a borrower's credit standingFor the purpose of hedging against credit default risk and the risk of losses owing to a deterioration in the borrower's credit standing, the Company may engage in credit options, credit spread swaps ("CSS"), credit default swaps ("CDS"), CDS (index) baskets, credit-linked total return swaps and similar credit derivatives with highly rated financial institutions specializing in this kind of transactions as part of OTC transactions for each Sub-fund.
(e) Non-hedging transactions ("active management")The Company may buy and sell forward contracts and options on all types of financial instrument for each Sub-fund.The Company can also enter into interest and credit swaps (interest rate swaps, CSS, CDS, CDS (index) baskets, etc.), inflation swaps, options on interest rate and credit swaps (swaptions), but also swaps, options or other transactions in financial derivatives in which the Company and the counterparty agree to swap performance and/or income (total return swaps, etc.) for each Sub-fund. The counterparties must be highly rated financial institutions which specialize in such transactions.
(f) Securities forward settlement transactionsIn the interests of efficient management or for hedging purposes, the Company may conclude forward transactions with broker/dealers acting as market makers in such transactions, provided they are highly rated financial institutions specializing in this type of transaction and participate in the OTC markets. The transactions in question include the purchase or sale of securities at their current price; delivery and settlement then take place on a later date that is fixed in advance. Within an appropriate period in advance of the transaction settlement date, the Company can arrange with the broker/dealer either for it to sell or buy back the securities or for it to extend the time limit, all realized profits or losses from the transaction being paid to the broker/dealer or paid by it to the Company. However, the Company concludes purchase transactions with the intention of acquiring the securities in question.The Company can pay the normal charges contained in the price of the securities to the broker/dealer in order to finance the costs incurred by the broker/dealer because of the later settlement.
8.3. SECURITIES LENDING
The Company may enter, for the purpose of efficient portfolio management, into securities lending transactions provided that:
(a) the transactions are entered into within a standardised lending system organised by a recognised securities clearing institution or by a financial institution submitted to prudential rules considered by the CSSF to be equivalent to those laid down in Community law and specialised in this type of operations;
(b) the borrower is submitted to prudential rules considered by the CSSF to be equivalent to those laid down in Community law
(c) collateral (consisting of assets as described in the CSSF circular 08/356 of 4 June 2008) for the lending is maintained which has a value equalling at least 90% of the global valuation (including interest, dividends and other potential rights) of the securities lent and that is revaluated on a daily basis;
(d) securities lending transactions must either be kept at an appropriate level or the Company must have the right to have the securities lent returned to it, so to ensure that it is at all times able to meet its redemption requests; and
(e) the securities lending transactions do not compromise the management of the Company’s assets in accordance with the investment policies of its Sub-funds.
Pursuant to the lending terms, the Company shall be entitled to receive a lending fee (for the account of the relevant Sub-fund) from the counterparty for any stock which is the subject of a loan to such
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counterparty, and the counterparty shall be entitled to receive an agreed rate of return in respect of any collateral which is cash. The Investment Manager (or an affiliate thereof) shall be entitled to receive a fee from the relevant Sub-fund in respect of stock lending services rendered by it. The fee payable to the Investment Manager (or an affiliate thereof) will be calculated as a percentage of the gross income earned from stock lending by the relevant Sub-fund (i.e. the lending fee received by the relevant Sub-fund in respect of any loan plus any income earned in respect of such collateral in excess of the rate of return agreed with the counterparty). Such percentage will be disclosed in the Supplements for each Sub-fund.
8.4. SECURITIES REPURCHASE AGREEMENTS AND REVERSE REPURCHASE AGREEMENTS
The Company may as buyer or seller enter into repurchase agreements which consist in the purchase and sale of securities whereby the terms of agreement entitle the seller to repurchase from the purchaser the securities at an agreed price and time, so long as:
(a) during the lifetime of a repurchase agreement, in case the Company acts as buyer, it may not sell the securities which are the subject of the agreement before the repurchase of the securities by the counterparty has been carried out or before the repurchase period has expired, except if the Company has other means to cover the transactions; and
(b) in case the Company acts as a seller, it must ensure that, on maturity of the transaction, it has sufficient assets to pay, the case being, the agreed upon price for the restitution of the securities to the Company
(c) commitments arising from repurchase agreements do not prevent the Company from meeting redemption obligations.;
(d) the securities of a transaction in which the Company acts as a buyer may only take the form provided for by CSSF circular 08/356 of 4 June 2008 and must comply with the relevant Sub-fund’s investment policy. The securities must, together with the other securities in a Sub-fund’s portfolio, comply in aggregate with the investment restrictions of the Company.
The Company may also enter into reverse repurchase transactions consisting in transactions at the maturity of which the assignor (counterparty) has the obligation to repurchase the asset sold and the Company has the obligation to return the asset received, under the condition that:
(a) during the reverse repurchase agreement, the Company may not sell or pledge/provide as guarantee the securities which are the subject of such agreement, unless it has other means of coverage.
(b) the Company must ensure that the value of the reverse repurchase transactions is kept at a level such that it is at all times able to meet the redemption requests from Shareholders.
(c) the securities which are the subject of the reverse repurchase agreement may only be in the form as provided for by CSSF circular 08/356 of 4 June 2008.
The securities which are the subject of the reverse repurchase transactions must be compliant with the investment policy of the Company’s Sub-funds and must, together with the other portfolio securities of the Sub-funds, comply on an aggregate basis with the investment restrictions of the Sub-fund.
The Company may, finally, enter into repurchase transactions, consisting in transactions at the maturity of which the Company has the obligation to repurchase the assets sold whilst the assignee (counterparty) has the obligation to return the asset received, under the condition that:
(a) the Company must ensure that, on maturity of the repurchase agreement, it has sufficient assets to pay the agreed price for the restitution to the Company; and
(b) the Company must ensure that the value of the repurchase transactions is kept at a level such that it is all the time able to meet the redemption requests from Shareholders.
All such permitted transactions must be effected with counterparties subject to prudential rules considered by the CSSF to be equivalent to those laid down in Community law.
The counterparty risk on any transaction as per 8.3 and 8.4 above may not exceed 10% of the assets of a Sub-fund when the counterparty is a credit institution domiciled in the EU or in a country where the CSSF considers that supervisory regulations are equivalent to those prevailing on the EU. This limit is set at 5% in any other case.
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Cash collateral received by the Company may be re-invested in accordance with CSSF circular 08/356 of 4 June 2008.
8.5. TECHNIQUES AND INSTRUMENTS FOR HEDGING CURRENCY RISKS
For the purpose of hedging against currency risks, the Company may at a stock exchange or on another regulated market, or in the context of OTC transactions, conclude currency futures contracts,sell currency call options or buy currency put options in order to reduce exposure to the currency that is deemed to present a risk or to completely eliminate such risk and to shift into the reference currency or into another of the permissible currencies that is deemed to present less risk for each Sub-fund.Currency futures and swaps may be executed by the Company in the open market with highly ratedfinancial institutions specializing in this kind of transaction.
8.6. STRUCTURED PRODUCTS
The Company may use structured products in the interests of efficient management or for hedging purposes for any Sub-fund. The range of structured products includes in particular credit-linked notes, equity-linked notes, performance-linked notes, index-linked notes and other notes whose performance is linked to basic instruments which are permitted in accordance with Part I of the 2002 Law and the associated implementing regulations. For this, the counterparty must be a highly rated financial institution specializing in this type of transaction. Structured products are combinations of other products. Derivatives and/or other investment techniques and instruments may be embedded in structured products. In addition to the risk features of securities, those of derivatives and other investment techniques and instruments therefore also have to be noted. In general, they are exposed to the risks of the markets or basic instruments underlying them. Depending on the structure, they may be more volatile and thus entail greater risks than direct investments, and there may be a risk of a loss of earnings or even the total loss of the invested capital as a result of price movements on the underlying market or in the basic instrument.
8.7. RISKS ASSOCIATED WITH THE USE OF DERIVATIVES AND OTHER SPECIAL INVESTMENT TECHNIQUES AND FINANCIAL INSTRUMENTS
Prudent use of these derivative and other special investment techniques and financial instruments may bring advantages, but does also entail risks which differ from those of the more conventional forms of investment and in some cases may be even greater. Below there follows a general outline of important risk factors and other aspects relating to the use of derivative and other special investment techniques and financial instruments and about which the investor should be informed before investing in a Sub-fund.
Market risks: These risks are of general nature and are present in all types of investments; the value of a particular financial instrument may change in a way that can be detrimental to the interests of a Sub-fund.Monitoring and control: Derivatives and other special investment techniques and financial instruments are specialized products which require different investment techniques and risk analyses than equities or bonds. The use of derivatives requires not only knowledge of the underlying instrument, but also of the derivative itself, although the performance of the derivative cannot be monitored under all the possible market conditions. The complexity of such products and their use in particular require suitable control mechanisms to be set up for monitoring the transactions and the ability to assess the risks of such products for a Sub-fund and estimate the developments of prices, interest rates and exchange rates.Liquidity risks: Liquidity risks arise when a certain stock is difficult to acquire or dispose of. In large-scale transactions or when markets are partially illiquid (e.g. where there are numerous individually agreed instruments) it may not be possible to execute a transaction or close out a position at an advantageous price.
Counterparty risks: With OTC derivatives there is a risk that a counterparty will not be able to fulfil its obligations and/or that a contract will be cancelled, e.g. due to bankruptcy, subsequent illegality or a change in the tax or accounting regulations since the conclusion of the OTC derivative contract.
Risks associated with Securities Lending: In respect of the securities lending and repurchase activities of the Company, there are as with any extensions of credit, risks of delay and recovery. Should the counterparty fail financially or default in any of its obligations under any securities lending or repurchase transaction, the collateral will be called upon. The value of the collateral will be maintained
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to exceed the value of the securities transferred, however, in the event of a sudden market movement, there is a risk that the value of the collateral may fall below the value of the securities transferred. In addition as a Sub-fund may invest cash collateral received in certain money market-like funds for efficient portfolio management purposes, it will be exposed to the risk of failure or default of that money market-like fund.
Risks associated with CDS transactions: The purchase of credit default swap protection allows the Company, on payment of a premium, to protect itself against the risk of default by an issuer. In the event of default by an issuer, settlement can be effected in cash or in kind. In the case of a cash settlement, the purchaser of the CDS protection receives from the seller of the CDS protection the difference between the nominal value and the attainable redemption amount. Where settlement is made in kind, the purchaser of the CDS protection receives the full nominal value from the seller of the CDS protection and in exchange delivers to him the security which is the subject of the default, or an exchange shall be made from a basket of securities. The detailed composition of the basket of securities shall be determined at the time the CDS contract is concluded. The events which constitute a default and the terms of delivery of bonds and debt certificates shall be defined in the CDS contract. The Company can if necessary sell the CDS protection or restore the credit risk by purchasing call options.
Upon the sale of credit default swap protection, the Sub-fund incurs a credit risk comparable to the purchase of a bond issued by the same issuer at the same nominal value. In either case, the risk in the event of issuer default is in the amount of the difference between the nominal value and the attainable redemption amount.Besides the general counterparty risk (see "Counterparty risks", above), upon the concluding of credit default swap transactions there is also in particular a risk of the counterparty being unable to establish one of the payment obligations which it must fulfil. The different Sub-funds which use credit default swaps will ensure that the counterparties involved in these transactions are selected carefully and that the risk associated with the counterparty is limited and closely monitored.
Risks associated with CSS transactions: Concluding a credit spread swap allows the Company, on payment of a premium, to share the risk of default by an issuer with the counterparty of the transaction concerned. A credit spread swap is based on two different securities with differently rated default risks and normally a different interest rate structure. At maturity, the payment obligations of one or other party to the transaction depend on the differing interest rate structures of the underlying securities.Besides the general counterparty risk (see "Counterparty risks", above), upon the concluding of credit spread swap transactions there is also in particular a risk of the counterparty being unable to establish one of the payment obligations which it must fulfil.Risks associated with inflation swap transactions: The purchase of inflation swap protection helps the Company to hedge a portfolio either entirely or partially from an unexpectedly sharp rise in inflation or to draw a relative performance advantage therefrom. For this purpose, a nominal, non-inflation-indexed debt is exchanged for a real claim that is linked to an inflation index. When the transaction is arranged, the inflation expected at this point is accounted for in the price of the contract. If actual inflation is higher than that expected at the time the transaction was entered into and accounted for in the price of the contract, the purchase of the inflation swap protection results in higher performance; in the opposite instance it results in lower performance than if the protection had not been purchased. The functioning of the inflation swap protection thus corresponds to that of inflation-indexed bonds in relation to normal nominal bonds. It follows that by combining a normal nominal bond with inflation swap protection it is possible to construct synthetically an inflation-indexed bond.On the sale of inflation swap protection the Sub-fund enters into an inflation risk which is comparable with the purchase of a normal nominal bond in relation to an inflation-indexed bond: If actual inflation is lower than that expected at the time the transaction was entered into and accounted for in the price of the contract, the sale of the inflation swap protection results in higher performance; in the opposite instance it results in lower performance than if the protection had not been purchased.
Besides the general counterparty risk (see "Counterparty risks", above), upon the conclusion of inflation swap transactions there is also in particular a risk of the counterparty being unable to establish one of the payment obligations which it must fulfil.
Risks associated with Hedged Share Classes. The Company may offer Hedged Share Classes of its Sub-funds. With respect to the Hedged Share Classes, the Investment Manager (or Sub-Investment Manager) will seek to hedge the applicable currency exposure. There can be no guarantee that the Investment Manager (or Sub-Investment Manager) will be successful in such hedging activities. All gains/losses or expenses arising from such hedging transactions are borne separately by the Shareholders of the respective
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Hedged Share Classes. Given that there is no segregation of liabilities between Share classes of a Sub-fund, there is a risk that, under certain circumstances, currency hedging transactions in relation to a Hedged Share Classes of a Sub-fund could result in liabilities which might affect the Net Asset Value of the other Share classes of that Sub-fund.Other risks: The use of derivative and other special investment techniques and financial instruments also entails the risk that the valuations of financial products will differ as a result of different approved valuation methods (model risks) and the fact that there is no absolute correlation between derivative products and the underlying securities, interest rates, exchange rates and indexes. Numerous derivatives, particularly the OTC derivatives, are complex and are frequently open to subjective valuation. Inaccurate valuations can result in higher cash payment obligations to the counterparty or a loss in value for a Sub-fund. Derivatives do not always fully reproduce the performance of the securities, interest rates, exchange rates or indexes which they are designed to reflect. The use of derivative and other special investment techniques and financial instruments by a Sub-fund may therefore in certain circumstances not always be an effective means of achieving the Sub-fund's investment objective and may even prove counterproductive.
9. THE COMPANY
The Company is established as a "société d'investissement à capital variable" (SICAV) in the Grand Duchy of Luxembourg under the current version of the 2002 Law. The Company is authorized to perform collective investments in transferable securities and other liquid financial assets under Part I of the 2002 Law. The Company was established on 22 September 2008 for an indefinite period with an initial capital of €1,250,000.In the event that the capital of the Company falls below two thirds of the minimum capital laid down by law, the Board of Directors of the Company is required to submit the question of liquidation of the Company to a general meeting within forty (40) days. The general meeting may resolve the question of liquidation with a simple majority of the investors present/represented (no quorum is required).
In the event that the capital of the Company falls below one-fourth of the minimum capital laid down by law, the Board of Directors of the Company is required to submit the question of liquidation of the Company to a general meeting, which must be called within the same period. In this case, a liquidation may be resolved by one-fourth of the votes of the investors present/represented at the general meeting (no quorum is required).The Articles contain no provisions with regard to the remuneration (including pensions and other benefits) of the Board of Directors. The expenses of the Board of Directors are paid by the Company. Remuneration must be approved by the investors in the general meeting.The Company is registered under number B 141 816 in the Luxembourg commercial and companies' register. The Articles may be consulted and sent out on request. They were published in Luxembourg in the Mémorial C of 6 October 2008. The Company's registered office is 49, Avenue J.F. Kennedy, L-1855 Luxembourg.Under the terms of Articles 67 and 142 of the 1915 Law, the Company may be liquidated with the approval of investors. The liquidator is authorized to transfer all assets and liabilities of the Company to a Luxembourg UCITS against the issue of shares in that absorbing company (in proportion to the Shares in the Company in liquidation). Otherwise, any liquidation of the Company is carried out in accordance with Luxembourg law. The distribution of moneys becoming available for distribution to the investors as a result of liquidation will be carried out in proportion to the Shares held, and all claims will forfeit after 30 (thirty) years. Any liquidation sums remaining to be distributed to investors but not claimed by them at the end of liquidation are deposited in the Caisse des Consignations in Luxembourg in accordance with Article 107 of the 2002 Law.In addition, the Shareholders may resolve a merger of the Company with another Luxembourg UCITS, provided the investors in the Company approve such merger with the same quorum and majority requirements as laid down for a change to the Articles. Furthermore, the Board of Directors or the Shareholders may, in the various circumstances set out in the subsection "Redemptions" in the section "General Notes on the Issue, Redemption and Switching of Shares", resolve the merger (or liquidation) of one or more Sub-funds of the Company into another Luxembourg UCITS.
The Company assumes liability in respect of third parties for the obligations of each Sub-fund only with the respective assets of the relevant Sub-fund. In the relationship between the investors, each Sub-fund is treated as an independent unit and the obligations of each Sub-fund are assigned to that Sub-fund in the
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list of assets and liabilities.
Details of the Company's Board of Directors are given in the section entitled "Organization and Management". The Company is managed under the supervision of the Board of Directors.
10. CUSTODIANThe Company has appointed State Street Bank Luxembourg S.A. as the Custodian for its assets.The Custodian has the legal form of a société anonyme according to the laws of the Grand Duchy of Luxembourg. Its registered office is at 49, Avenue J.F. Kennedy, L-1885 Luxembourg.State Street Bank Luxembourg S.A. is registered in the Luxembourg Commercial and Companies' register (RCS) under number B 32 771 and was established in 1990 under the name State Street Bank Luxembourg S.A.. It holds a banking licence in accordance with the Luxembourg law of April 5, 1993, on the financial sector and is specialized in custody, fund management and related services. As at March 31, 2009 the equity capital amounts to €65 million.
In consideration of the services rendered, the Custodian receives a fee based on the Net Asset Value of the respective Sub-fund within one month, as well as transaction related fees, all payable monthly in arrears. In addition, the Custodian is entitled to payment to recover expenses and the fees charged, in turn, by other correspondent banks.The Custodian Agreement provides that all the Company's securities, other authorized assets and cash are to be held by or on behalf of the Custodian. The Custodian may also, on its own responsibility, assign correspondence banks (sub-custodians) the actual custody of the fund assets. The Custodian is also responsible for the payment and collection of the capital, revenues and proceeds from securities bought and sold by the Company.Under the terms of the 2002 Law, the Custodian must ensure that the issue, redemption and annulment of Shares effected by or on behalf of the Company are carried out in accordance with this law and the Articles. The Custodian must also ensure that in transactions involving the assets of the Company, the proceeds are remitted to it within the usual time limits and that the income of the Company is applied in accordance with its Articles and this Prospectus.
11. MANAGEMENT COMPANY, CENTRAL ADMINISTRATOR, DOMICILIARY AND PRINCIPAL PAYING AGENT
The Company is managed by State Street Global Advisors Luxembourg Management Sàrl (the "Management Company"), which is subject to the provisions of Chapter 13 of the 2002 Law.
The Management Company was established on 12 August 2008 for an unlimited period with an initial capital of €2,000,000. It is registered under the number B 141353 in the Luxembourg Commercial and Companies' Register, where copies of the Articles are available for inspection and can be received on request. The Articles may be consulted and sent out on request. On 29 September 2008, the Articles wereamended to rename the Management Company from State Street Global Advisors Luxembourg Sàrl to State Street Global Advisors Luxembourg Management Sàrl. The Articles were published in the Mémorial C in Luxembourg on 19 September 2008 and the amendment was published on 6 October 2008. The Management Company's registered office is at 49, Avenue J.F. Kennedy, L-1885, Grand Duchy of Luxembourg.
State Street Bank Luxembourg S.A. has been appointed to provide services as the administrator and domiciliary agent as well as principal paying agent. In consideration of the services rendered, State Street Bank Luxembourg S.A. receives a remuneration which is based on the Net Asset Value of the respective Sub-fund each month, as well as transaction related fees, all payable monthly in arrears.
12. REGISTRAR AND TRANSFER AGENT
State Street Bank Luxembourg S.A. has been appointed to provide services as the registrar and transfer agent. In consideration of the services rendered, State Street Bank Luxembourg S.A. receives a
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transaction-based remuneration, payable monthly in arrears.
13. INVESTMENT MANAGERThe Management Company and the Company have delegated responsibility for the investment and re-investment of the assets of each of the Sub-funds to State Street Global Advisors France S.A. pursuant to the Investment Management Agreement. The Investment Manager (subject to the prior consent of the Management Company, the Company and the CSSF) has the discretion to appoint and replace sub-investment managers (both affiliated and non-affiliated entities) to the different Sub-funds from time to time and may also delegate the investment decision making to such sub-investment managers provided such investments are made in accordance with the investment objectives and policies described in this Prospectus and any relevant Supplement. In particular, the Investment Manager may delegate its responsibilities to other persons or entities, including affiliates, within its parent company’s organization in accordance with the requirements of the CSSF and prior notification to Shareholders. The Investment Manager will be responsible to the Management Company and the Company in regard to the management of the investment of the assets of each Sub-fund in accordance with the investment objectives and policies described in this Prospectus and any relevant Supplement, subject to the overall supervision and direction of the Board of Directors.The Investment Manager is an indirect, majority owned subsidiary of State Street Corporation. The Investment Manager’s majority shareholder is State Street Banque S.A., an indirect wholly owned subsidiary of State Street Corporation. As at 31 March 2010, funds under management of State Street Global Advisors, the asset management division of State Street Corporation, totalled approximately US$ 2trillion (including assets under management by the Investment Manager).The Investment Management Agreement provides that the appointment of the Investment Manager will continue in force unless and until terminated by (i) the Company without notice or (ii) the Investment Manager with three months prior written notice. The Investment Management Agreement also contains provisions regarding the Investment Manager's legal responsibilities.
14. SUB-INVESTMENT MANAGERSThe Investment Manager may delegate investment decision making authority for some or all of the Sub-funds to a Sub-Investment Manager pursuant to a Sub-Investment Management Agreement between the Investment Manager and the Sub-Investment Manager.The Investment Manager has appointed State Street Global Advisors, the investment management division of State Street Bank and Trust Company, as a Sub-Investment Manager for certain Sub-funds. The Investment Manager may also appoint additional Sub-Investment Managers in the future. The Supplement for each Sub-fund will indicate if such Sub-fund is managed by a Sub-Investment Manager.The Sub-Investment Management Agreement provides that the appointment of the Sub-Investment Manager will continue in force until and unless terminated by (i) the Investment Manager without notice or (ii) the Sub-Investment Manager with three months prior written notice. The Sub-Investment Management Agreement also contains provisions regarding the Sub-Investment Manager's legal responsibilities.
15. DISTRIBUTORSThe Company and the Management Company have, in accordance with the applicable laws, appointed State Street Global Advisors Limited, as the distributor of Shares of the Sub-funds pursuant to a distribution agreement. Under the terms of the distribution agreement, the Distributor may appointother distributors, sub-distributors or dealers for distribution of Shares. The distributors are authorized to retain a selling fee for the Shares they market, or else to waive all or part of the selling fee. Shares also may be purchased directly from the Company.
Details of distributors can be provided by the Company or Management Company upon request.
16. AUDITOR OF ANNUAL REPORT AND LEGAL ADVISERPricewaterhouseCoopers Sàrl, Luxembourg has been appointed auditor of the accounts. The legal adviser
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of the Company in Luxembourg is the law firm Linklaters LLP.
17. CO-MANAGEMENTFor the purpose of effective management, where the investment policies of the funds so permit the Board of Directors may choose that the assets of certain Sub-funds within the range be co-managed together with the assets of other Luxembourg UCIs managed by the same Management Company and established by the same promoter, or have some or all Sub-funds co-managed. In such cases, assets of different funds will be managed in common. The assets which are co-managed shall be referred to as a “pool”, notwithstanding the fact that such pools are used solely for internal management purposes. The pools do not constitute separate entities and are not directly accessible to investors. Each of the co-managed Sub-funds shall be allocated its specific assets.Where the assets of more than one Sub-fund are pooled, the assets attributable to each participating Sub-fund will initially be determined by reference to its initial allocation of assets to such pool and will change in the event of additional allocations or withdrawals.The entitlements of each participating Sub-fund to the co-managed Sub-funds apply to each and every line of investments of such pool. Subscriptions made on behalf of the co-managed Sub-funds shall be allotted to such Sub-funds in accordance with their respective entitlements, whereas redemptions shall be levied similarly on the assets attributable to each participating Sub-fund.Co-managed assets of a Sub-fund may be co-managed only with assets which are to be invested in accordance with investment objectives compatible with those of the Sub-fund's co-managed assets, to ensure that investment decisions are fully compatible with the Sub-fund's investment policy. Co-managed assets of a Sub-fund may be managed jointly only with assets for which the custodian bank also acts as custodian, to ensure that the custodian bank can fully comply with its functions and responsibilities under the 2002 Law on undertakings for collective investment. The custodian bank must always keep the Company's assets separate from those of other co-managed units, and must therefore always be able to identify the Company's assets. As co-managed units may be following an investment policy which is not completely the same as that of a Sub-fund, the joint policy applied may be more restrictive than that of the Sub-fund. The rationale behind co-management of assets is to achieve economies of scale in the management and administration of the assets being pooled. The use of pools enables the Investment Manager to aggregate assets, increase scalability, and reduce tracking error.The Company may end the co-management agreement at any time and without prior notice.
Shareholders may contact the Company's registered office at any time for information on the percentage of assets which is co-managed, and the units with which such co-management exists at the time of their inquiry. Annual and semi-annual reports are also required to specify the composition and percentage proportions of co-managed assets.
18. DESCRIPTION OF SHARES
In the corresponding Supplement relating to a specific Sub-fund, the Company will specify the different Share classes offered for such Sub-fund and indicate the different minimum subscription amounts, dividenddistribution policy, fee structures and currencies of such Share classes.Where a Share class is offered in a currency other than that of the Sub-fund concerned, it must be identified as such. For these additional Share classes the Company may, in relation to the Sub-fundconcerned, hedge the Shares in these Share classes against the currency of the Sub-fund. Where such currency hedging is applied, the Company may, in relation to the Sub-fund concerned and exclusively for this Share class, perform foreign exchange forward transactions, currency futures transactions, currency options transactions and currency swaps, in order to preserve the value of the currency of the class against the currency of the Sub-fund. Where such transactions are performed, the effects of this hedging shall be reflected in the Net Asset Value and hence in the performance of the Share class. Similarly, any costs due to such hedging transactions shall be borne by the Share class in which they were incurred. Such hedging transactions may be performed regardless of whether the currency of the Share class rises or falls in relation to the currency of the Sub-fund. Therefore, where such hedging is carried out, it may protect the investor in the corresponding Share class against a fall in the value of the currency of the Sub-fund relative to the currency of the class, though it may also prevent the investor from profiting from an increase in the value of the currency of the Sub-fund. See also “General Risk Factors – Currency Risk” and
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“Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”Shares in the Company have no par value. The Company will issue only registered Shares for each Sub-fund. Ownership is demonstrated by an entry in the book of registered shareholders. No physical Share certificates will be issued. Registered Shares are issued in fractions of Shares, which are rounded up or down to four decimal places. In addition, within each Sub-fund it is possible to issue distributing and accumulating Shares. Distributing Shares entitle the investor to a dividend as determined at the general meeting of shareholders. Distributing shares may be designated as reinvestment classes or income classes. All distributing classes of shares will be regarded as reinvestment classes unless they are designated as income classes in the relevant supplement. Accumulating Shares do not entitle the investor to a dividend. When dividend payments are made, the dividend amounts are deducted from the Net Asset Value of the distributing Shares. The Net Asset Value of the accumulating Shares, on the other hand, remains unchanged.
Each Share grants a right to part of the profits and result of the Sub-fund in question. Each Share entitles its owner to a vote, which he may exercise at the general meeting of Shareholders or the separate meetings of the Sub-fund in question either in person or through a proxy. The Shares do not include rights of priority or subscription rights. Nor are they now or will they in the future be associated with any outstanding options or special rights. The Shares are transferable without restriction unless the Company, in accordance with the Articles, has restricted ownership of the Shares to specific persons or organizations ("restricted category of purchasers").
19. GENERAL NOTES ON THE SUBSCRIPTION, REDEMPTION AND SWITCHING OF SHARES
19.1. SUBSCRIPTION
The Shares are offered for sale on each Dealing Day following the initial issue. The Board of Directors operates “forward pricing” for all Sub-funds and Share classes, i.e., prices are calculated on the Dealing Dayconcerned after the closing time for acceptance of orders. The Board of Directors may issue Shares of any class on such terms as it may from time to time determine. The terms and conditions applicable to the issue of Shares of any class together with subscription and settlement details and procedures will be set out in the relevant Supplement. Shares shall be issued at the subscription price per Share plus any subscription charges as specified in the relevant Supplement. The subscription price per Share shall be ascertained by:(a) determining the Net Asset Value of the Shares attributable to the relevant class of Share
calculated as at the Valuation Point for the Dealing Day on which the subscription is to be made and adding thereto such sum as the Investment Manager considers appropriate (within permitted limits) as an Anti-Dilution Levy;
(b) dividing the amount calculated under (a) above by the number of Shares of such class of the relevant Sub-fund in issue or deemed to be in issue at the relevant Valuation Point; and
(c) adding thereto such amount as may be necessary to round the resulting total to four decimal places.
There may be added to the subscription price, a subscription fee of up to 3% of the subscription price. The Company will pay any such subscription fee to its Distributor(s) in respect of subscriptions for Shares. Details of the applicable Subscription Fee, if any, are set out in the relevant Supplement.All Shares will be issued in registered form and evidenced by entry on the Company’s register of Shareholders and confirmations of ownership in writing will be issued to Shareholders. Certificates will not be issued. Under the Articles, the Board of Directors is given authority to effect the subscription of Shares and hasabsolute discretion to accept or reject in whole or in part any application for Shares without assigning any reason therefor. The Board of Directors has the power to impose such restrictions it believes are necessary to ensure that no Shares are acquired by any person which might result in the legal and beneficial ownership of Shares by persons who might expose the Company or any Sub-fund to adverse tax or regulatory consequences. In addition, the Company or the Management Company may refuse to accept new applications from new investors for a specific period if this is in the interests of the Company and/or Shareholders, including situations where the Company or a Sub-fund have reached a size such that they can no longer make suitable investments.
If an application is rejected, any monies received will be returned to the applicant (minus any handling charge incurred in any such return) as soon as possible by post or wire transfer (but without interest, costs
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or compensation).Every Supplement may allow for the possibility of the initial subscription to be made through a total or partial contribution in kind; however, the composition of such contribution in kind must be consistent with the investment limits contained in the general part as well as with the investment objectives and investment policy described in the Supplement of the Sub-fund in question. With regard to the contribution in kind, the auditor of the Company has to execute a special audit report, the cost of which may be borne by the Shareholder requesting such in kind subscription.
No Shares will be issued or allotted during a period when the determination of Net Asset Value of that Sub-fund is suspended.Investors can subscribe for Shares directly from the Company. Investors may also purchase Shares in a Sub-fund by using the nominee services offered by the relevant Distributor or its correspondent bank. A Distributor or its correspondent bank seated in a so-called FATF country then subscribes for and holds the Shares as a nominee in its own name but for the account of the investor. The Distributor or correspondent bank then confirms the subscription of the Shares to the investor by means of a letter of confirmation. Distributors that offer nominee services are either seated in countries that have ratified the resolutions adopted by the FATF or execute transactions through a correspondent bank seated in a FATF country. Investors who use a nominee service may issue instructions to the nominee regarding the exercise of votes conferred by their Shares as well as request direct ownership by submitting an appropriate request in writing to the relevant Distributor or custodian bank.
Subscriptions and redemptions shall be made for investment purposes only. The Company and State Street Bank Luxembourg S.A. shall comply with CSSF circular 04/146 relating to the protection of undertakings for collective investment and their investors against Late Trading and Market Timing practices.
The Company may compulsorily redeem the Shares of a Shareholder engaging in or having engaged in such practices. Further, the Company may reject any subscription or conversion order it suspects related to such practices. The Company shall not be liable for any gain or loss resulting from such rejected applications for subscription or conversion or compulsory redemptions.The application procedure (application and confirmation, certificates and registration) is described in the Supplement of the Sub-fund under "Subscriptions - Application Procedures".
19.2. REDEMPTION
Every Shareholder will have the right to require the Company to redeem his Shares on any Dealing Day (save during any period when the calculation of the Net Asset Value is suspended in the circumstances set out herein) in accordance with the procedures set out in the relevant Supplement. The Company reserves the right to withhold redemption proceeds until an original application form and complete identification documents in respect of an original application for Shares has been received. In circumstances where a certificate for Shares has been issued, the original certificate must be received with the redemption request before it will be processed. Shares shall be redeemed at the redemption price per Share minus any redemption charges as specified in the relevant Supplement.The redemption price per Share shall be ascertained by:(a) determining the Net Asset Value of the Shares attributable to the relevant class thereof
calculated as at the Valuation Point for the Dealing Day on which redemption is to be made and deducting therefrom such sum as the Investment Manager considers appropriate (within permitted limits) as an Anti-Dilution Levy or Redemption Fee;
(b) dividing the amount calculated under (a) above by the number of Shares of the relevant Sub-fund then in issue or deemed to be in issue at the relevant Valuation Point; and
(c) deducting therefrom such amount as may be necessary to round the resulting total to fourdecimal places.
There may be deducted from the redemption price, a Redemption Fee of up to 3% of the redemption price, which fee will be paid to the relevant Sub-fund. Details of the applicable Redemption Fee, if any, are set out in the relevant Supplement.If the calculation of the Net Asset Value is suspended or redemption is postponed, Shares offered for redemption will be redeemed on the next Dealing Day after the suspension of valuation or the postponement of redemption has ended at the Net Asset Value applying on that day, unless the redemption request has previously been revoked in writing.
Payments are normally made in the currency of the relevant Sub-fund or Share class on or before three (3)
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bank business days in Luxembourg after the later of the Dealing Day concerned or the date on which the Share certificates are returned to the Company.
In special cases, the Company's Board of Directors may decide to pay the redemption proceeds to the Shareholders on request in the form of a full or partial payment in kind. It must be ensured that all Shareholders are treated equally and the auditor of the Company's annual report must make an independent valuation of the payment in kind, the cost of which may be borne by the Shareholder requesting such redemption in kind.
If, upon execution of a redemption application for part of the Shares of a Sub-fund, the total number of Shares held in one of these Sub-funds falls below the minimum amount set out in the Supplement of the Sub-fund in question, or below the minimum number otherwise determined by the Board of Directors, the Company is entitled to redeem all remaining Shares in that Sub-fund owned by the particular investor.
The Company is not obliged to redeem more than 10% of all issued Shares in a Sub-fund on one Dealing Day or within a period of seven (7) consecutive Dealing Days. For the purposes of this provision, the switching of Shares of a Sub-fund is deemed to constitute redemption of the Shares. If, on any Dealing Dayor over a period of seven (7) consecutive Dealing Days, the number of Shares for which redemption is requested is greater than indicated above, the Company may postpone the redemptions or switches untilthe seventh Dealing Day thereafter. Such applications for redemption/switching will take precedence over applications received subsequently. For this purpose, the switching of Shares of a Sub-fund is deemed to constitute redemption.
If the total Net Asset Value of all outstanding Shares of the Company is less than €100 million, the Company may notify all Shareholders in writing that all the Shares will be redeemed at the Net Asset Value on the next Dealing Day, less the dealing and other charges determined and/or estimated by the Board of Directors, as described in the prospectus, and the liquidation costs. This is subject to all legal provisions concerning liquidation of the Company.
If the Net Asset Value of a Sub-fund, for whatever reason, falls below €50 million or if the Board of Directors deems it necessary because of changes in the economic or political circumstances that affect the Sub-fund, the Board of Directors may, having notified the Shareholders concerned, redeem all, but not some, of the Shares of the Sub-fund concerned on the Dealing Day at a redemption price which reflects the estimated realization and liquidation costs for closure of the Sub-fund concerned, without applying any other Redemption Fee, or, subject to a thirty (30) day’s notice, combine the Sub-fund with another of the Company's Sub-funds or with another Luxembourg UCITS which is subject to Part I of the 2002 Law.The liquidation of a Sub-fund associated with the compulsory redemption of all affected Shares or the merger with another Sub-fund of the Company or with another Luxembourg UCITS for reasons not relating to the minimum volume of its Net Asset Value, or as a result of changes in economic or political circumstances which have a bearing on the Sub-fund in question, may only be carried out with the prior agreement of the Shareholders in the Sub-fund to be liquidated or merged at a meeting of Shareholders of the Sub-fund in question, convened in accordance with the Articles. Such resolution may be passed with no quorum requirement and with a simple majority of the Shares represented and voting.
Such a merger resolved by the Board of Directors or approved by the Shareholders is binding on the Shareholders in the Sub-fund in question 30 days after they have been notified of it except if the merger is with a Luxembourg fonds commun de placement, in which case it is binding only on those Shareholders who have agreed to it. During this thirty-day notification period the Shareholders may redeem their Shares with no redemption fee.Any liquidation proceeds not claimed by the Shareholders after the Sub-fund has been liquidated will be deposited with the Caisse des Consignations in Luxembourg after six (6) months following the decision of the Board of Directors of the Company to liquidate the Sub-fund and are subject to a thirty (30) year expiration period.
The value of Shares at the time of redemption may be higher or lower than their purchase price depending on the market value of the assets of the Company at the time of purchase/redemption. All redeemed Shares are cancelled.
The redemption price may be obtained from the registered office of the Company or from one of the Distributors.
19.3. SWITCHING
As described below, Shareholders may switch between Sub-funds. The Directors shall specify the switching/conversion rights and requirements relating to each class of Shares of a Sub-fund in the
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Supplement relating to such Sub-fund.Generally, Shareholders will be able to switch, on any applicable Dealing Day, Shares in any Sub-fund(the “Original Sub-fund”) (subject to the minimum investment amounts set forth in the Supplementsunder the heading “Minimum Subscriptions/Holdings”), to Shares of another Sub-fund which are being offered at that time (the “New Sub-fund”). If a switch would result in the Shareholder holding a number of Shares in the Original Sub-fund with a value below any minimum holding amount set forth in the Supplement of the Original Sub-fund, the Directors may, at their discretion, convert the whole of the applicant’s holding of Shares in the Original Sub-fund or refuse to effect any conversion. Switching may be effected by application through the Administrator in relation to any Sub-fund. Shareholders should contact the Administrator for a switching application. No switching will be made during any period in which the rights of Shareholders to require the redemption of their Shares are suspended.The general provisions on procedures relating to subscriptions and redemptions set forth in this Prospectus and the Supplements for the Sub-funds will apply equally to switching. Any application forswitching delivered by a Shareholder is irrevocable and must be received by the Administrator within the time limits specified in the applicable Supplement for redemption of Shares in the Original Sub-fund and application for Shares in the New Sub-fund. The redemption price per Share in the Original Sub-fund will be applied towards the subscription/purchase of Shares in the New Sub-fund.The number of Shares to be issued in any New Sub-fund will be calculated in accordance with the following formula:-A = B * [(C*D*F)/E]where:
A = the number of Shares in the New Sub-fund to be issued;B = the number of Shares of the Original Sub-fund to be converted;C = the redemption price per Share of the Original Sub-fund on the relevant Dealing Day;D = the currency conversion factor determined by the central administrator as representing
the effective rate of exchange of settlement on the relevant Dealing Day applicable to the transfer of assets between the relevant Sub-funds (where the base currencies of the relevant Sub-funds are the same, D will equal 1);
E = the subscription price per Share of the New Sub-fund on the relevant Dealing Day; andF = the switching factor to be applied to switching between Sub-funds with different
settlement dates. This factor will be determined by the central administrator and isderived from the borrowing rate of interest where the settlement dates for Shares in the New Sub-fund is earlier than the settlement date for Shares in the Original Sub-fund. In such circumstances, this factor is intended to compensate the New Sub-fund for late settlement. In all other cases, including where the settlement dates of the relevant Sub-funds are the same, F will equal 1. F will not exceed 2% of the amount switched in any case.
To the extent that in any switch/conversion, the subscription fee paid by the Shareholder (if any) on subscription for Shares in the Original Sub-fund(s) shall be less than that payable on subscriptions for Shares in the New Sub-fund(s), the Shareholder shall pay the difference promptly after being advised by the Administrator of such difference. In the event that the Shareholder shall not have discharged such amount within 14 days of being so advised, the Directors shall be entitled to compulsorily redeem sufficient Shares of the New Sub-fund(s) in order that such difference may be discharged.Notwithstanding the foregoing, a Shareholder of a Sub-fund may only switch into another Sub-fund in accordance with the terms of the Supplement for each Sub-fund.Any foreign exchange gain or loss arising from the switching shall be borne by the switching Shareholder.
19.4. DATA-PROTECTION
In accordance with the provisions of the law of 2 August 2002 on the protection of persons with regard to the processing of personal data, the Company has to inform shareholders that their personal data is kept by means of a computer system.The Company collects, stores and processes, by electronic or other means, the data supplied by Shareholders at the time of their subscription for the purpose of fulfilling the services required by the Shareholders and complying with its legal obligations.The data processed includes the name, address and invested amount of each Shareholder (the “Personal
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Data”).A Shareholder may, at his/her/its discretion, refuse to communicate the Personal Data to the Company. In this case however the Company may reject his/her/its request for subscription of Shares in the Company.In particular, the data supplied by Shareholders is processed for the purpose of (i) maintaining the register of Shareholders, (ii) processing subscriptions, redemptions and conversions of Shares and payments of dividends to Shareholders, (iii) performing controls on late trading and market timing practices, (iv) complying with applicable anti-money laundering rules.The Company can delegate to another entity (the “Processors”) (such as the Administrator and the Management Company) the processing of the Personal Data, in compliance and within the limits of the applicable laws and regulations.Each Shareholder has a right to access his/her/its Personal Data and may ask for a rectification thereof in cases where such data is inaccurate and incomplete. In relation thereto, the Shareholder can ask for a rectification by letter addressed to the Company.The Shareholder has a right of opposition regarding the use of its Personal Data for marketing purposes. This opposition can be made by letter addressed to the Company.The Shareholder’s Personal Data shall not be held for longer than necessary with regard to the purpose of the data processing, observing the legal periods of limitation.
20. DIVIDENDSEach of the Sub-funds will aim to maximise total Shareholder return. If considered necessary by the Board of Directors, the Company may declare dividends in respect of a Sub-fund. It is the Director’s intention that any dividends will be declared annually on or about 31 December in each year, unless otherwise specified in the relevant Supplement.
The amount available for distribution shall depend on the profits, being the Sub-fund’s net investment income return (i.e. income from dividends, interest or otherwise, less that Sub-fund’s accrued expenses for the accounting period) and, if considered appropriate in the circumstances, realised and unrealised profits on the disposal/valuation of Investments and other assets less realised and unrealised losses of the relevant Sub-fund. No distributions will have as an effect that the Company’s Net Asset Value will fall below the minimum capital of €1,250,000.
All classes of Shares of a Sub-fund will be deemed accumulating Shares unless otherwise set forth in the relevant Supplement. Any class of Shares designated as distributing Shares will be regarded as reinvestment classes unless they are designated as income classes in the relevant Supplement. The Board of Directors intends to reinvest all dividends declared and paid in respect of distributing Shares that are classified as reinvestment classes. In respect of Sub-funds that seek to maintain a stable Net Asset Value, the Board of Directors may issue additional Shares. Such policy will be stated in the Supplement for any such Sub-fund and for these Sub-funds, dividends declared will be automatically reinvested in the form of additional Shares rather than paid to Shareholders.
In respect of income classes, if any are designated in the relevant Supplement, dividends, if declared, will be paid to the Shareholders, normally by telegraphic transfer or by cheque within one month of the ex date.
Any special dividend arrangement relating to a particular Sub-fund or class will decided by the Board of Directors at the time of the creation of the Sub-fund or class.
Any dividend paid on a Share that has not been claimed will not earn interest and, if not claimed within five years of its declaration, shall be forfeited and shall be escheated for the benefit of that Sub-fund.The dividends fixed are published in the Luxembourg newspaper "Lëtzebuerger Journal" and as the case may be in other newspapers designated by the Company from time to time.
21. CALCULATION OF NET ASSET VALUE
The Net Asset Value of a Sub-fund and the Net Asset Value of the Share classes issued within that Sub-fund are determined in the relevant currency on every Dealing Day apart from in the cases of suspension described in the section "Suspension of Calculation of Net Asset Value, and of the Subscription, Redemption and Switching of Shares". The total Net Asset Value of a Sub-fund represents the market value of its assets less its liabilities. The Net Asset Value per Share in a Share class issued in a Sub-fund is determined by dividing the total Net Asset Value of all Shares in that class within the relevant Sub-fund
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by all outstanding Shares in the same class in the relevant Sub-fund. The Net Asset Values of the Sub-funds are calculated in accordance with the valuation regulations and guidelines (“valuation regulations") set forth in the Articles and issued by the Board of Directors.The valuation of securities held by a Sub-fund and listed on a stock exchange or on another regulated market is based on the latest available price on the principal market on which the securities are traded, using a procedure for determining prices accepted by the Board of Directors. Certain Sub-funds may, however, use the amortized cost method of valuation for certain instruments. If a Sub-fund uses this valuation method, the Supplement for such Sub-fund will include information and details regarding this valuation method.The valuation of securities whose listing price is not representative and all other eligible assets (including securities not listed on a stock exchange or traded on a regulated market) is based on their probable realization price determined with care and in good faith by or, if applicable, under the supervision of the Board of Directors.All assets and liabilities in a currency other than that of the Sub-fund in question are converted using the exchange rate determined at the time of valuation.In its annual reports, the Company must include audited consolidated annual reports for all Sub-funds in Euros.If, in the opinion of the Board of Directors, and as a result of particular circumstances, the calculation of the Net Asset Value of a Sub-fund in the applicable currency is either not reasonably possible or is disadvantageous for the investors in the Company, the calculation of the Net Asset Value, the issue price and the redemption price may temporarily be carried out in another currency.
Valuation of the derivatives and structured products used in any of the Sub-funds is performed on a regular basis by use of the mark-to-market principle, in other words at the last available price.
Additional information relating to the calculation of the Net Asset Value for a Sub-fund and the valuation of assets will be set forth in the Supplement for that Sub-fund.
22. SUSPENSION OF CALCULATION OF NET ASSET VALUE, AND OF THE SUBSCRIPTION,REDEMPTION AND SWITCHING OF SHARES
The Company may temporarily suspend the calculation of the Net Asset Value of each Sub-fund and the issue, redemption and switching of Shares of a Sub-fund in the following circumstances:
(a) where one or more stock exchanges or other markets which are the basis for valuing a significant part of the Net Asset Value are closed (apart from on normal public holidays), or where trading is suspended;
(b) where in the opinion of the Company it is impossible to sell or to value assets as a result of particular circumstances;
(c) where the communication technology normally used in determining the price of a security of the Sub-fund fails or provides only partial functionality;
(d) where the transfer of moneys for the purchase or sale of investments of the Company is impractical; or
(e) in the case of a resolution to liquidate the Company: on or after the date of publication of the first calling of a general meeting of Shareholders for the purpose of such resolution.
Investors having offered their Shares for redemption or conversion will be notified of any suspension in writing within seven (7) days, and of the ending of suspension immediately.
23. FEES AND EXPENSES
23.1 GENERAL
Based on the Net Asset Value of the Sub-fund concerned, an annual fee shall be levied by debiting the Sub-fund in question at the end of each month, as is fully described in the respective Supplement under "Fees and Expenses". The fee is calculated on each Dealing Day and is payable monthly in arrears.The Company will pay out of the assets of each Sub-fund:
(a) the fees payable to the Investment Manager, the Administrator and the Custodian;
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(b) the fees and expenses of the Directors, if such fees have not been waived;(c) any fees in respect of circulating details of the Net Asset Value of each Sub-fund (including
publishing prices) and Net Asset Value per Share of each class;(d) stamp duties; (e) taxes (including value added tax (if any) on fees payable by the Company) and contingent
liabilities as determined from time to time by the Board of Directors;(f) rating fees (if any);(g) brokerage expenses, dealer commissions, margin costs, registration fees or other related or
similar expenses of acquiring and disposing of Investments;(h) fees and expenses of the auditors, tax, legal and other professional advisers of the Company;(i) fees connected with listing of Shares on any stock exchange;(j) fees and expenses in connection with the distribution of Shares and costs of registration of the
Sub-fund in jurisdictions outside Luxembourg;(k) costs of printing and distributing the Prospectus and Supplements, simplified prospectuses,
reports, accounts and any explanatory memoranda;(l) any necessary translation fees;(m) any costs incurred as a result of periodic updates of the Prospectus, any Supplements and
simplified prospectuses, or of a change in law or the introduction of any new law (including any costs incurred as a result of compliance with any applicable code, whether or not having the force of law);
(n) any other fees and expenses relating to the operation of the Company or attributable to the investments of the Company;
(o) in respect of each financial year of the Company in which expenses are being determined, such proportion (if any) of the establishment expenses as are being amortised in that year; and
(p) any regulatory or other fees assessed by the CSSF or other applicable regulatory authority.
The fees payable to the Custodian and to the Administrator are at such rates and/or amounts as may be agreed from time to time with the Company in accordance with customary banking practice in Luxembourg. The maximum fee payable to the Custodian is 0.50% per annum and to the Administrator 0.025% per annum (exclusive specific fees payable for the processing of multiple Share Classes), in each case based on the Net Asset Value of the relevant Sub-fund. In addition, the Custodian and the Administrator are entitled, as the case may be, to a charge per transaction, a flat fee for certain services or products, reimbursements by the Company for out-of-pocket expenses and disbursements and for charges of any correspondents.Where an expense is not considered by the Board of Directors to be attributable to any one class, the expenses will normally be allocated, insofar as practicable to all classes pro rata to their Net Asset Value. In the case of any fees or expenses of a regular or recurring nature, such as audit fees, the Board of Directors may calculate such fees and expenses on an estimated figure for yearly or other periods in advance and accrue the same in equal proportions over any period.In certain jurisdictions where subscriptions, redemptions and conversions are made through a third party agent, additional fees and expenses may be imposed by that third party upon local investors. Such fees and expenses do not accrue to the Company.Sub-funds that may invest in other existing UCIs and UCITS as part of their investment policy can incur charges at the level of both the investment fund concerned and the Company. Investments in shares of such other funds that are managed by the Management Company or by a company controlled by it are not assessed any subscription or redemption fees when such shares are subscribed or redeemed by a Sub-fund.
All fees, costs and expenses payable by the Company are first charged against income, and only subsequently against the capital. The costs and expenditure for the organization and registration of the Company as a UCITS in Luxembourg, which did not exceed €150,000, were borne by the Company and written off in equal amounts over a period of five (5) years from the date they arose. The costs of setting-up, launching and registering an additional Sub-fund are charged to such Sub-fund by the Company and written off in equal amounts over a period of five (5) years from the date this Sub-fund was launched.
23.2 INVESTMENT MANAGEMENT FEES
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The Investment Manager is entitled to charge a fee of up to 3% per annum of the Net Asset Value of each Sub-fund. Different percentages may be charged in respect of different Share classes of the same Sub-fund. The Investment Manager will discharge, from this fee, the fees of the Sub-Investment Manager and any other delegate appointed by it in respect of a Sub-fund.
The management fees charged by the Investment Manager in respect of the Share classes of each Sub-fundare set forth in the Supplement relating to such Sub-fund.
The management fees will be accrued daily based on the Net Asset Value of the relevant Sub-fund as of the relevant Dealing Day and will be paid monthly in arrears.
The total expense ratios attributable to the Share classes of each Sub-fund are set forth in the Supplement relating to each such Sub-fund and incorporate the fees and expenses of the Investment Manager, Administrator and Custodian, any distribution fee not covered by the Subscription Fee where appropriate,and certain other expenses of the relevant Sub-fund set forth in Section 23.1 of this Prospectus. The Investment Manager has voluntarily agreed to reimburse such portions of its fees as is necessary to ensure that the total expense ratio attributable to all Shares shall not exceed the maximum rates set forth in the applicable Supplement. The Investment Manager reserves the right, at a future date, to cease any such reimbursements in which case the Shareholders will be notified thereof prior to the Investment manager ceasing these reimbursements.
23.3 DIRECTOR’S FEES
The Directors have waived their entitlement to director’s fees.
23.4 ANTI-DILUTION LEVY
In the context of the associated costs of acquisition or liquidation (as the case may be) of the underlying Investments of a Sub-fund, there may be added to the subscription price or deducted from the redemptionprice per Share on any purchase, redemption or switching of Shares an Anti-Dilution Levy, not exceeding 2% of the Net Asset Value per Share, as may be decided in the discretion of the Investment Manager (or Sub-Investment Manager) based on market circumstances and other related factors. The Anti-Dilution Levy may be utilised to ensure that all investors in a Sub-fund, those subscribing, redeeming and remaining in the Sub-fund, are treated equitably by ensuring that the dealing costs associated with subscriptions/redemptions are allocated to those investors whose transactions give rise to those costs as the Investment Manager considers appropriate.
23.5 ALLOCATION OF ASSETS AND LIABILITIES
The Articles require the establishment of a separate Sub-fund which has different classes of Shares to be in the following manner:
(a) the records and accounts of each Sub-fund shall be maintained separately in the designated currency of the relevant Sub-fund;
(b) the liabilities of each Sub-fund shall be attributable exclusively to that Sub-fund;(c) the assets of each Sub-fund shall belong exclusively to that Sub-fund, shall be segregated in
the records of the Custodian from the assets of other Sub-funds, shall not be used to discharge directly or indirectly the liabilities of or claims against any other Sub-fund;
(d) the proceeds from the issue of each class of Share shall be applied to the relevant Sub-fund established for that class of Share, and the assets and liabilities and income and expenditure attributable thereto shall be applied to such Sub-fund subject to the provisions of the Articles;
(e) where any asset is derived from another asset, the derived asset shall be applied to the same Sub-fund as the assets from which it was derived and on each revaluation of an asset the increase or diminution in value shall be applied to the relevant Sub-fund; and
(f) in the case where an asset or a liability of the Company which cannot be considered as being attributable to a particular Sub-fund, the Board of Directors shall have discretion, subject to Luxembourg law and the approval of the Auditors to determine the basis upon which any such asset or liability shall be allocated between the Sub-funds and the Board of Directors shall have power at any time and from time to time subject as aforesaid to vary such basis provided that the approval of the Auditors shall not be required in any case where the asset or liability is allocated between all Sub-funds pro rata to their Net Asset Values.
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24. TAXATIONThe following summary is based on the law and the rules and regulations currently applied in the Grand Duchy of Luxembourg, and are subject to changes.
24.1. THE COMPANY
The Company is subject to Luxembourg tax jurisdiction. Under Luxembourg law and the current practice, the Company is subject neither to income tax nor to any tax on capital gains in respect of realized or unrealized valuation profits. No taxes are payable in Luxembourg on the issue of Shares.The Company is subject to an annual tax of 0.05% of the Net Asset Value as valued at the end of each quarter, and which is payable quarterly. To the extent that parts of the Company's assets are invested in other Luxembourg UCITS which are subject to the tax, such parts are not taxed.The Net Asset Value corresponding to the "I" Shares (Shares for institutional investors) is subject to a reduced tax rate of 0.01% per annum, on the basis that the Company classifies the investors in this Share class as institutional investors within the meaning of Articles 174 to 176 of the 2010 Law. This classification is based on the Company's understanding of the current legal situation. This legal situation may change, even with retrospective effect, which may result in a duty of 0.05% being applied, even with retrospective effect. Where applicable, the reduced tax may be applied to further Share classes, as indicated in the relevant Supplement.
Capital gains and income from dividends, interest and interest payments originating in other countries may be subject to a non-recoverable withholding tax or capital gains tax in such countries.
24.2. THE INVESTORS
Under Luxembourg law and current practice, Shareholders in Luxembourg are not subject to capital gains tax, income tax, gifts tax, inheritance tax or other taxes (with the exception of investors domiciled or resident or having their permanent establishment in Luxembourg). Non-resident shareholders are not subject to tax in Luxembourg on any capital gain realized from January 1, 2011, upon disposal of Shares held in the Company.In accordance with the stipulations of Directive 2003/48/EC dated 3 June 2003 concerning the taxation of interest income ("Directive 2003/48") which took effect on 1 July 2005, in cases where the beneficial owner does not opt for the notification procedure, a withholding tax will be charged upon payments of interest covered by Directive 2003/48 in the context of distributions by undertakings in the meaning of Directive 2003/48, or in the context of the assignment, repayment or redemption of Shares in undertakings in the meaning of Directive 2003/48, when a paying agent within the meaning of Directive 2003/48 in an EL) member state makes or receives on their behalf such interest payments for beneficial owners which are natural persons and who reside in another EU member state. After Directive 2003/48 takes effect the withholding tax on interest payments during the first three years will be levied at 15%, during the next three years at 20% and thereafter at 35%.It is the responsibility of investors to seek advice on taxes and other consequences which may result from the subscription, ownership, return (redemption), switching and transfer of Shares, including any regulations regarding the control on the movement of capital.
25. GENERAL MEETING OF SHAREHOLDERS AND REPORTINGThe annual general meeting of Shareholders of the Company takes place in Luxembourg every year at 11.00 a.m. on the fourth Thursday in the month of April. If this date does not fall on a business day in Luxembourg, the general meeting will take place on the following bank business day in Luxembourg. Other extraordinary general meetings of Shareholders of the Company or meetings of individual Sub-funds or their Share classes may be held in addition. Invitations to the general meeting and other meetings are issued in accordance with Luxembourg law. They are published in the Mémorial C, and in such newspapers as designated by the Board of Directors. The published notices contain information about the place and time of the general meeting, the requirements for attending the meeting, the agenda and, if necessary, the quorum requirements and majority requirements for resolutions.The Company's financial year begins on 1 January and ends on 31 December of the same year. The annual financial report, which contains the Company's audited consolidated annual report, is available at the Company's registered office no later than four (4) months after the end of the financial year. Un-audited semi-annual reports are available at the same place no later than two (2) months after the end of the half
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year in question. Copies of these reports may be obtained from the national representatives and from Investment Manager.In addition to the annual financial reports and semi-annual reports referring to all existing Sub-funds, the Company may also produce special annual financial reports and semi-annual reports for one or more Sub-funds.
26. APPLICABLE LAW, JURISDICTIONAny legal disputes between the Company, the investors, the Custodian, the Management Company, the Administrator, the Investment Manager, the national representatives and any distribution agents will be subject to the jurisdiction of the Grand Duchy of Luxembourg. The applicable law is Luxembourg law. However, the above entities may, in relation to claims from investors from other countries, accept the jurisdiction of those countries in which Shares are offered and sold.
27. DOCUMENTS FOR INSPECTION
Copies of the following documents may be inspected at the registered office of the Company in Luxembourg during normal business hours on business days in Luxembourg, and at the offices of the Distributor during its business days:
the investment management agreements, agreements with the Custodian, and the Administrator. These agreements may be amended with the approval of both parties; and
the Articles.
The following documents may be obtained free of charge on request:
the Simplified Prospectus and the Prospectus; and the most recent annual and semi-annual reports.
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STATE STREET GLOBAL ADVISORS LUXEMBOURG SICAV
Supplement No. 1
SSgA Premia Fund
DATED: MARCH 2011
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INTRODUCTION
State Street Global Advisors Luxembourg SICAV (the “Company”) is authorised in Luxembourg by the Commission de Surveillance du Secteur Financier (the “CSSF”) as a UCITS for the purposes of the 2002 Law. The Company is an open-ended umbrella investment company with segregated liability between sub-funds and variable capital.
This Supplement contains information relating to the Shares of the SSgA Premia Fund (the “Sub-fund”), which is a separate sub-fund of the Company. This Supplement forms part of and should be read in the context of and together with the general description of the Company contained in the current Prospectus.
As of the date of this Supplement, the Company currently offers the following Share classes of the Sub-fund:
Class I Shares
Class P Shares
Class P CHF Hedged Shares
Class I Shares are reserved for institutional investors as defined in Articles 174 to 176 of the 2010 Law. Class P Shares and Class P CHF Hedged Shares are available to retail and institutional investors. Further, the Company may, at a future date, create and offer additional Share classes for the Sub-fund.
The Company has listed the Class I Shares of the Sub-fund on the Luxembourg Stock Exchange but does not intend to list the Class P Shares or the Class P CHF Hedged Shares on the Luxembourg Stock Exchange.
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DEFINITIONS
Unless otherwise defined herein or unless the context otherwise requires all defined terms used in this Supplement shall bear the same meaning as in the Prospectus.
Base Currency Euros
Business Day Any day on which banks are open for business in Luxembourg, Franceand the United States (excluding Saturday, Sunday and public holidays).
Dealing Day Each full bank Business Day in Luxembourg, France and the United States which is not a normal public holiday for the stock exchanges or other markets which represent the basis for valuation of a major part of the net assets of the corresponding Sub-fund, as determined by the Company
Redemption Price The redemption price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Redemption.”
Shares The: (i) Class I Shares, (ii) Class P Shares and (iii) Class P CHF Hedged Shares in the Sub-fund to be issued in accordance with this Supplement and the Prospectus.
Subscription Price The subscription price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Subscription.”
Valuation Point Such time on a Dealing Day as the Directors may from time to time determine at which the Net Asset Value and the Net Asset Value per Share of the Sub-fund is calculated.
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1. Issue of Sub-fund sharesClass I Shares, Class P Shares and Class P CHF Hedged Shares in the Sub-fund are available for purchase on each Dealing Day and, as described below, are offered at the applicable Subscription Price per Share, plus a subscription fee of up to 3% of the issue price.
2. Investment objectives and investment policyInvestment objective. The Sub-fund seeks long-term capital appreciation.
Investment philosophy. Recent academic research has demonstrated that the hedge fund industry, as a whole, has derived much of its performance from exposure to well known market risks, such as the equity risk premium, term structure risk premium, credit risk premium, and small stock risk premium. In other words, this research suggests a substantial amount of hedge fund performance is due to the excess return, or “premia,” paid for taking such systematic market, or “beta,” risks. The Investment Manager believes that, by analyzing available information on the investment returns of hedge funds (using one or more available hedge fund databases), it should be generally possible to estimate the overall exposure of hedge funds to those risks and to seek to approximate the exposures of those funds due to such risks. The Sub-fund attempts to approximate that exposure at a much lower cost than the typical cost of hedge-fund investment, using the Investment Manager’s expertise to determine the most cost effective means of obtaining broad market exposures correlated to such risks.
Investment process. The Sub-fund, which is actively managed, attempts to replicate the performance of hedge funds generally derived from hedge funds’ exposures to these betas risks. The Sub-fund does not attempt to replicate the excess returns beyond the exposure to the betas, or "alpha" returns, that any one hedge fund or group of hedge funds attempt to attain. It is, of course, possible that an investment in any one hedge fund, or group of hedge funds, might provide a more favorable investment return than an investment in the Sub-fund over any period of time.
The Investment Manager, itself or in reliance on the work of external consultants, estimates periodically the likely exposures of hedge funds overall to the categories of risk premia described above, and then implements an asset allocation for the Sub-fund designed to approximate the overall performance of hedge funds due to these exposures. The Investment Manager may perform the required analytical work itself, or it may from time to time retain the services of one or more external consultants to provide analytical data, subject in each case to review and oversight by the Investment Manager. The Investment Manager currently relies on analytical data and recommendations for market exposures provided by leading academics. There is no guarantee that this data and recommendations will not be reduced or eliminated in the future. The Investment Manager may rely on different or additional consultants in the future.
Principal investment strategies. The Sub-fund seeks to provide long-term capital appreciation by identifying risk premia contributing to, or correlated with, the investment returns of hedge funds generally, and achieving exposure to those premia, or factors, through lower cost investment than direct investment in hedge funds. Those factors may be identified based on the returns of one or more databases of hedge fund returns.
The Investment Manager expects that it will seek those exposures through a variety of index-based investments, such as exchange-traded funds, total-return swaps, futures contracts, and options. The Sub-fund may also invest directly in equity and fixed-income securities, and may use other derivatives. All investments of the Sub-fund will be made in accordance with the investment-related restrictions of the 2002 Law. The Investment Manager believes that the costs of these types of investments will be significantly lower than the costs associated with typical hedge-fund investments. An investment in any one hedge fund, or group of hedge funds, might provide a more favorable investment return than an investment in the Sub-fund over any period of time.
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The Sub-fund may hold a combination of long and short positions. The nature and amount of any short positions will vary over time depending on the factors (and relative weights) identified at any time as likely to contribute to positive returns and will comply with the requirements of the 2002 Law.
Although the Investment Manager may consider the factors described above in purchasing or selling investments for the Sub-fund, the Investment Manager may purchase, sell, or continue to hold an investment for the Sub-fund whenever it believes that doing so may benefit the Sub-fund, on the basis of any of the factors described above or any other factors.
Principal investments. Due to the varied nature of the exposures the Sub-fund seeks to approximate, the Sub-fund needs the flexibility to obtain exposures to any asset class in order to approximate this exposure, subject in all cases to the investment-related restrictions set forth in the 2002 Law, including, for example, equity and fixed-income securities of any market (including emerging market investments) and any market capitalization, currencies, and cash and cash items. As such, the Sub-fund may invest in equity or debt securities of any kind. The Sub-fund may invest in companies of any size. Issuers of securities in which the Sub-fund invests may be located in any country, and the Sub-fund's investments may be denominated in any currency and may include American depositary receipts ("ADRs") or global depositary receipts ("GDRs"). The Sub-fund may invest in debt securities of any quality, although the Sub-fund would not typically expect to have more than a 20% exposure to debt securities rated below investment grade by nationally recognized ratings organizations. The Sub-fund may take exposure to commodities principally through derivatives on commodity indices in accordance with the Luxembourg Grand-ducal regulation of 8 February 2008 concerning certain definitions of the 2002 Law. The Sub-fund may hold a significant portion of its assets in cash.
The Sub-fund may engage in short transactions by entering into short derivatives positions, subject in all cases to the restrictions set forth in the 2002 Law. The Sub-fund will likely be leveraged to the extent of its short exposures. The aggregate amount of the Portfolio's short positions will not exceed the net asset value of the Sub-fund, as required by the 2002 Law.
The Sub-fund may use derivatives transactions of any kind in compliance with the 2002 Law. For example, the Investment Manager might seek to achieve index exposures by means of total return swaps, futures contracts, or options. It may also use derivatives to achieve indirect exposure to one or more securities or asset classes, and may, but will not necessarily, use derivatives to hedge against adverse market movements. The Sub-fund may enter into foreign currency exchange transactions, including, but not limited to, transactions involving foreign currency forward contracts, futures contracts, and options to achieve exposure to specific currencies or to hedge against the effect of changes in the values of foreign currencies on investments the Sub-fund holds or may purchase. In respect of the Class P CHF Hedged Shares, the Investment Manager will seek to hedge back to Swiss Francs any exposure to any other currency.
In accordance with the general description in the main body of the Prospectus, the Sub-fund may lend its portfolio securities, and may pay a fee to the Investment Manager or an affiliate of the Investment Manager for services provided in connection with effecting securities loans and investing related cash collateral. Such fee shall, as described in the main body of the Prospectus, not exceed 50% of the gross income earned from stock lending by the Sub-fund. The Sub-fund may pay the Investment Manager or an affiliate fees and expenses related to the provision of custodial, administrative, bookkeeping, and accounting services, transfer agency and shareholder servicing, and other services that the Investment Manager may from time to time consider necessary or appropriate. The Sub-fund may enter into repurchase agreements, including transactions with the Investment Manager or an affiliate of the Investment Manager. The Sub-fund may invest in other investment funds that qualify as UCITS or other UCIs within the meaning of Section 7.1. (d) of Chapter 7 "Investment Limits" in the main body of the Prospectus. Such UCITS or other UCIs may include entities sponsored, managed, or otherwise affiliated with the Investment Manager. See "General Risk Factors" and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments” in the Prospectus.
The Sub-fund is actively managed and may have relatively high portfolio turnover, which would likely result in increased expenses, including brokerage expenses and other transaction costs.
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An investment in the Sub-fund may be subject to taxation. Potential Shareholders should consult their own tax counsel as to the specific tax consequences of an investment in the Sub-fund.
Certain Risk Controls. The Investment Manager monitors the overall risk of the Sub-fund, in order to seek to avoid unintended risk exposure. The Investment Manager attempts to managerisk by, among other things, maintaining diversification and performing on-going review of the Sub-fund's exposure to the various risks associated with its portfolio investments in light of the potential for positive returns from those investments.
3. Investment limits of the Sub-fundThe investment and borrowing restrictions set out in the Prospectus apply in their entirety to the Sub-fund.
4. Risk FactorsPotential Shareholders should consider the risk factors set forth in the Prospectus under the sections entititled “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
In view of the Sub-fund’s specialized investment program, the Sub-fund is considered asophisticated fund and Shares are suitable investments for sophisticated investors and financial institutions for whom an investment in Shares does not constitute a complete investment program and who fully understand, are willing to assume, and have the financial resources necessary to withstand the risks that may be involved in the Sub-fund’s investment program.
In relation to investments in derivatives, the use of these instruments involves special risks including (i) dependence on the ability to predict movements in the prices of securities underlying the derivative instruments and movements in interest or currency rates; (ii) imperfect correlation between the derivative instruments and the securities or market sectors to which they relate; (iii) greater volatility than the securities and/or markets to which they relate; (iv) liquidity risk when, for example, a particular derivative instrument is difficult to purchase or sell; (v) market risk, where the market value of the derivative changes in a way that is detrimental to the Sub-fund; (vi) counterparty risk, where the counterparty with which the Sub-fund trades becomes insolvent, bankrupt or defaults; (vii) settlement risk, where a counterparty defaults in settling a trade; and (viii) legal risk, where the enforceability of a derivative contract may be an issue. See “Special Investment Techniques and Financial Instruments” in the Prospectus.
Risks Relating to Hedged Share Classes. With respect to the Class P CHF Hedged Shares (the “Hedged Share Class”), the Investment Manager will seek to hedge the applicable currency exposure. There can be no guarantee that the Investment Manager will be successful in such hedging activities. All gains/losses or expenses arising from such hedging transactions are borne separately by the Shareholders of the Hedged Share Class. Given that there is no segregation of liabilities between Share classes of the Sub-fund, there is a risk that, under certain circumstances, currency hedging transactions in relation to the Hedged Share Class could result in liabilities which might affect the Net Asset Value of the other Share classes of the Sub-fund.
The Company will, on request, provide supplementary information to Shareholders relating to the risk management process employed including the quantitative limits that are applied and any recent developments in the risk and yield characteristics of the main categories of investment.
5. Investment Manager and Sub-Investment ManagerState Street Global Advisors France S.A. has been appointed Investment Manager for the Sub-fund. State Street Global Advisors France S.A. is a company duly authorised by the AMF (French financial markets authority) on 3rd June 1997, under number 97-044. Registered office: Immeuble Defense Plaza, 23-25 Rue Delariviere-Lefoullon 92062, France. Form of incorporation: Societe Anonyme, French company limited by shares. The Investment Manager has delegated certain,
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limited investment decision making authority to State Street Global Advisors, a division of State Street Bank and Trust Company (the “Sub-Investment Manager”). The Sub-Investment Manager is the investment management division of State Street Bank and Trust Company, a Massachusetts trust company, and has its principal offices located at 1 Lincoln Street, Boston, Massachusetts 02111, USA.
6. Valuation Date and Fixed TimeThe Net Asset Value of the Sub-fund will be calculated by the Administrator as at each Valuation Point in accordance with the requirements of the Articles and full details are set forth under the headings “Calculation of Net Asset Value” in the Prospectus. The Net Asset Value of the Sub-fund will be expressed in its Base Currency.
7. DividendsAll classes of Shares of the Sub-fund will be accumulating Shares, and therefore, dividends or other distributions out of the Sub-fund’s profits will not normally be paid to Shareholders.
8. Fees and ExpensesThe Sub-fund shall bear its attributable proportion of the organisational and operating expenses of the Company. These are set out in detail under the heading “Fees and Expenses” in the Prospectus. In addition to the fees and expenses described below, Shareholders should read the section in the Prospectus entitled “Fees and Expenses” for a description of other fees and expenses that may apply to their investment in the Sub-fund.
The Sub-fund will pay the following management fee:
For Class P Shares, up to 1.20% of the average daily Net Asset Value; For Class P CHF Hedged Shares, up to 1.23% of the average daily Net Asset Value; and For Class I Shares, up to 0.60% of the average daily Net Asset Value.
These management fees will be accrued daily based on the Net Asset Value of the Sub-fund as of the relevant Dealing Day and will be paid monthly in arrears. The Investment Manager will discharge from these management fees the fees of the Sub-Investment Manager.
The total expense ratios attributable to the Share classes of the Sub-fund, as set out below, incorporate the fees and expenses of the Investment Manager, Administrator and Custodian, any distribution fee not covered by the subscription fee where appropriate, and certain other expenses of the Sub-fund set forth in Section 23.1 of the Prospectus. The Investment Manager has voluntarily agreed to temporarily reimburse such portions of its fees as is necessary to ensure that the total expense ratio attributable to all Shares shall currently not exceed the following rates:
For the Class P Shares, 1.30% of the average daily Net Asset Value; For the Class P CHF Hedged Shares, 1.33% of the average daily Net Asset Value; and For the Class I Shares, 0.70% of the average daily Net Asset Value.
9. Subscriptions - Application Procedures
All applicants, whether applying in writing or by facsimile, must complete the Application Form prescribed by the Directors (the “Application Form”). An Application Form for additional Shares may be submitted by facsimile provided the Administrator has received the original Application Form for the initial subscription of Shares. Application Forms may be obtained from the Administrator and set out the methods by which and to whom the subscription monies should be sent. Application Forms shall be irrevocable (unless otherwise agreed with the Directors) and may be sent by facsimile at the risk of the applicant. The Application Form should be received by the Administrator, by 11.00 a.m. (Central European Time) at least one Business Day prior to the relevant Dealing Day or such other day as the Directors may determine (provided the application
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is received before the relevant Valuation Point). Any Application Form received after such time will be deemed received as of the next Business Day. The originally executed Application Form for the initial subscription, along with supporting documentation in relation to money laundering prevention checks, should be received by the Administrator within five (5) Business Days after the electronically transmitted (by facsimile only) Application Form is sent to the Administrator.
Failure to provide the original Application Form by such time may, at the discretion of the Directors, result in the rejection of the application and any monies received will be returned to the applicant (minus any handling charge incurred in any such return) as soon as possible by wire transfer (but without interest, costs or compensation) or in the compulsory redemption of the Shares. In any event, applicants will be unable to redeem Shares on request until the original Application Form has been received and all anti-money laundering checks completed and supporting documentation received.
In addition to the Application Form, applicants may be requested to provide other information (e.g. as to identity and corporate authorisation). Failure to provide such information may delay the processing of the application.
Fractions: Subscription monies representing less than the Subscription Price for a Share will not be returned to the applicant. Fractions of Shares will be issued where any part of the subscription monies for Shares represents less than the Subscription Price for one Share, provided however, that fractions shall not be less than .0001 of a Share. Subscription monies, representing less than .0001 of a Share will not be returned to the applicant but will be retained by the Sub-fund in order to defray administration costs.
Offering Periods and Related Pricing: Applications for Shares during the Initial Offer Period must be received and accepted during the Initial Offer Period. Settlement proceeds must also be received in cleared funds within the Initial Offer Period, or such later period as the Directors may in their absolute discretion determine.
The Subscription Price for Shares during the Initial Offer Period is the Initial Offer Price(together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor).
After the Initial Offer Period for any class of Shares has expired, Shares will be issued at the then applicable Subscription Price per Share, which is based on the Net Asset Value per Share. Currently, the Class I Shares, Class P Shares and Class P CHF Hedged Shares are offered at the applicable Subscription Price per Share. See also the section entitled “Pricing” below.
Pricing: Except during the Initial Offer Period, all subscriptions will be dealt on a “forward” pricing basis, i.e. by reference to the Subscription Price for Shares calculated as at the Valuation Point for the relevant Dealing Day (together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Subscription Price (please see Sections 19.1 and 23.4 of the Prospectus). Any Application Forms received after the relevant time for receipt will normally be held over until the next Dealing Day.
10. Payment of Subscription Monies
Method and Currency of Payment: Subscription payments net of all bank charges must be made (i) in respect of Class I Shares and Class P Shares, in Euros, and (ii) in respect of Class P CHF Hedged Shares, in Swiss Francs, and in each case, should be paid by wire transfer to the bank account specified in the Application Form. Other methods of payment are subject to the prior approval of the Directors with the agreement of the Administrator. No interest will be paid in respect of payments received in circumstances where the application is held over to the next Dealing Day.
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Timing of Payment: Payment in respect of subscriptions must be received in cleared funds by 5.00 p.m. (Central European Time) on the third Business Day following the relevant Dealing Day or on such other day as the Directors may determine.
Payment: If payment in cleared funds in respect of a subscription has not been received by the time specified above, any allotment of Shares made in respect of such application may be cancelled. In the event of the non-clearance of subscription monies, any allotment in respect of an application shall be cancelled. In either event and notwithstanding cancellation of the application, the Directors may charge the applicant for any expense incurred by the Company or the Sub-fund or for any loss to the Sub-fund arising out of such non-receipt or non-clearance. In addition, the Directors will have the right to sell all or part of the applicant’s holding of Shares in the relevant class or any other Sub-fund in order to meet those charges.
11. Minimum Subscriptions/Holdings
Initial Subscriptions: The minimum initial subscription amounts for the Shares are as follows:
€50,000 (or less at the discretion of the Directors) for Class I Shares; and The value of a single Share for Class P Shares and Class P CHF Hedged Shares.
Subsequent Subscriptions: Any subsequent subscription amounts for Shares shall be in accordance with the following:
For Class I Shares, a minimum of €5,000 (or less at the discretion of the Directors); and A minimum of the value of a single Share for Class P Shares and Class P CHF Hedged
Shares.
Minimum Holdings: Any Shareholder who redeems or otherwise disposes of part of his holding must maintain the following minimum holdings in the Sub-fund:
Not less than €5,000 for Class I Shares (or less at the discretion of the Directors); and Not less than the value of a single Share in respect of Class P Shares and Class P CHF
Hedged Shares.
The Company may redeem the remaining holdings of any Shareholder who redeems his holdings below the foregoing minimums.
12. Redemptions
Redemption Procedure: Every Shareholder will have the right to require the Company to redeem his Shares in the Sub-fund on any Dealing Day (save during any period when the calculation of the Net Asset Value is suspended or the redemption of Shares is limited in the circumstances set forth in the Prospectus) on furnishing to the Administrator a redemption request in the form of a completed Redemption Form. Shares may be redeemed only by written application or by facsimile through the Administrator.
Redemption Pricing: All redemption requests are dealt with on a “forward” pricing basis, i.e. by reference to the Redemption Price for Shares calculated as at the Valuation Point for the relevant Dealing Day. Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Redemption Price (please see Sections 19.2 and 23.4 of the Prospectus).
Redemption Form: All applicants must complete the Redemption Form prescribed by the Directors. Redemption Forms may be obtained from the Administrator. A redemption request may be made in writing or by facsimile by a Shareholder but if the account details for redemption payments are different from those set out in the Application Form, the original Redemption Form will be required by the Administrator and verification of the details may be required. The Redemption Form sets out the method by which and to whom redemption monies will be sent.
Redemption Forms must be received by 11.00 a.m. (Central European Time) at least one Business Day prior to the relevant Dealing Day.
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If the Redemption Form is received after the relevant time for receipt thereof it shall be treated as a request for redemption on the Dealing Day following such receipt. In extraordinary circumstances, Redemption Forms may be accepted for redemption if received prior to the Valuation Point on the relevant Dealing Day, at the discretion of the Directors, and Shares will be redeemed at the Redemption Price for that day. Shares will be redeemed at the Redemption Price calculated as at the Valuation Point for the relevant Dealing Day.
Redemptions shall be irrevocable and may be sent by facsimile at the risk of the relevant Shareholder. No redemption proceeds will be paid out unless an original initial Application Form is received by the Administrator, together with any other documents required by the Administrator, and cleared funds were received in connection with the original subscription.
Method and Currency of Payment: Redemption payments will be made (i) in respect of Class I Shares and Class P Shares, in Euros, and (ii) in respect of Class P CHF Hedged Shares, in Swiss Francs, and in each case, to the bank account detailed on the Redemption Form.
Timing of Payment: Redemption proceeds in respect of Shares will be paid on the third Business Day following the relevant Dealing Day, or such other day as the Directors may determine,provided that all the required documentation has been furnished to and received by the Administrator.
In the case of a partial redemption of a Shareholder's holding, the Administrator will advise the Shareholder of the remaining Shares held by him.
Fractions: Apart from circumstances in which a Shareholder is redeeming his entire holding of Shares:-
(a) fractions of Shares will be issued where any part of the redemption monies for Shares represents less than the Redemption Price for one Share, provided however that fractions shall not be less than .0001 of a Share; and
(b) redemption monies, representing less than .0001 of a Share will not be returned to a Shareholder but will be retained by the Directors in order to defray administration costs.
Switching: Shareholders of other sub-funds of the Company may switch into the Sub-fund. Furthermore, Shareholders in the Sub-fund may switch into other sub-funds of the Company. Switches are in principle only permitted from one Class of Shares in a sub-fund to the same Class of Shares of another sub-fund, unless the investor fulfils the eligibility criteria of the Class of Shares to be switched into.
Shares can be switched on any Dealing Day which is a Dealing Day for both sub-funds at the Subscription Price valid on that date, provided the application for switching is received by the Company (for the attention of the Administrator) by 11.00 a.m., Central European Time (cut-off time), at the latest on the day preceding the Dealing Day. The provisions relating to the cut-off time and forward pricing also apply concerning switching of Shares and are described in full in this Supplement and the Prospectus.
Applications should be addressed directly to State Street Bank Luxembourg S.A., acting as transfer agent for the Company, or otherwise through one of the Distributors. The application must contain the following information: the number of Shares in the old and new sub-funds and the value ratio according to which the Shares in each sub-fund are to be divided if more than one new sub-fund is intended.
Further detail can be found in the Prospectus under the sub-heading “Switching.”
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STATE STREET GLOBAL ADVISORS LUXEMBOURG SICAV
Supplement No. 2
SSgA Emerging Markets Select Equity Fund
DATED: MARCH 2011
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INTRODUCTION
State Street Global Advisors Luxembourg SICAV (the “Company”) is authorised in Luxembourg by the Commission de Surveillance du Secteur Financier (the “CSSF”) as a UCITS for the purposes of the 2002 Law. The Company is an open-ended umbrella investment company with segregated liability between sub-funds and variable capital.
This Supplement contains information relating to the Shares of the SSgA Emerging Markets Select Equity Fund (the “Sub-fund”), which is a separate sub-fund of the Company. This Supplement forms part of and should be read in the context of and together with the general description of the Company contained in the current Prospectus.
As of the date of this Supplement, the Company currently offers the following Share classes of the Sub-fund:
Class I Shares
Class P Shares
Class I Shares are reserved for institutional investors as defined in Articles 174 to 176 of the 2010 Law. Class P Shares are available to retail and institutional investors. Further, the Company may, at a future date, create and offer additional Share classes for the Sub-fund.
The Company does not intend to list any Class of Shares of the Sub-fund on the Luxembourg Stock Exchange.
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DEFINITIONS
Unless otherwise defined herein or unless the context otherwise requires all defined terms used in this Supplement shall bear the same meaning as in the Prospectus.
Base Currency Euros
Business Day Any day on which banks are open for business in Luxembourg and the United States (excluding Saturday, Sunday and public holidays).
Dealing Day Each full bank Business Day in Luxembourg and the United Stateswhich is not a normal public holiday for the stock exchanges or other markets which represent the basis for valuation of a major part of the net assets of the corresponding Sub-fund, as determined by the Company
Redemption Price The redemption price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Redemption.”
Shares The: (i) Class I Shares; and (ii) Class P Shares in the Sub-fund to be issued in accordance with this Supplement and the Prospectus.
Subscription Price The subscription price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Subscription.”
Valuation Point Such time on a Dealing Day as the Directors may from time to time determine at which the Net Asset Value and the Net Asset Value per Share of the Sub-fund is calculated.
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1. Issue of Sub-fund sharesClass I Shares and Class P Shares in the Sub-fund are available for purchase on each Dealing Day and, as described below, are offered at the applicable Subscription Price per Share, plus a subscription fee of up to 3% of the issue price.
2. Investment objectives and investment policyInvestment objective. The Sub-fund seeks to provide an investment return in excess of the performance of the MSCI Emerging Markets Free IndexSM (the “Index”) over the long term.
Principal investment strategies. The Sub-fund invests principally in equity securities of companies domiciled, or doing a substantial portion of their business, in countries of which the Index is comprised (“emerging markets companies”). In addition, the Sub-fund may invest in securities of companies operating in, registered in or trading in markets other than those included in the Index, and may invest in or create exposures to other instruments (including derivatives) and markets in seeking to achieve its objective. The Sub-fund also may participate in initialpublic offerings (“IPOs”) where the offered company will become a member of the Sub-fund’s investment universe. The Sub-fund focuses its investments in a relatively limited number of stocks (but in conformity with the diversification requirements of the 2002 Law) and will normally invest in a significantly smaller number of companies than comprise the Index.
Using a proprietary quantitative investment process, the Sub-Investment Manager (as defined in Section 5 hereof) attempts to identify countries and companies that it believes offer the greatest potential for outperformance. The Sub-Investment Manager utilizes both country allocation and stock selection models that process and analyze factors that the Sub-Investment Manager expect will drive investment performance and risk. From these models, the Sub-Investment Managerestablishes a ranking of all countries and stocks in the investment universe of the Sub-fund. The Sub-Investment Manager may also use traditional, fundamental investment analysis (from both proprietary and third-party sources) to help maintain and strengthen the accuracy of its quantitative process. The Sub-Investment Manager expects to make substantial use of derivatives in managing the Sub-fund. The Sub-Investment Manager may, but will not necessarily, enter into foreign currency exchange transactions for the Sub-fund.
Although investments in emerging markets offer the potential for attractive returns, they can be highly volatile and can result in losses.
Although the Sub-Investment Manager may consider the factors described above in purchasing or selling investments for the Sub-fund, the Sub-Investment Manager may purchase, sell, or continue to hold an investment for the Sub-fund whenever it believes that doing so may benefit the Sub-fund, on the basis of any of the factors described above or any other factors.
Principal investments. The Sub-fund normally invests most of its assets in equity securities of emerging markets companies. Equity securities may include common stocks, preferred stocks, or other securities convertible into common stock. Equity securities held by the Sub-fund may be denominated in foreign currencies and may be held outside Luxembourg.
The Sub-fund may also make use of derivatives (in accordance with the requirements of the 2002 Law) to obtain indirect exposure to emerging markets, including, by way of example, total return swaps, structured equity notes, equity linked notes, depositary receipts, exchange-traded and OTC options, exchange-traded index futures, and other exchange-traded derivatives that are UCITS III compliant. The Sub-fund may enter into foreign currency exchange transactions, including transactions involving foreign currency forward contracts, futures contracts, and options. The Sub-fund may hold a portion of its assets in cash.
Certain emerging markets may be closed in whole or part to the direct purchase of equity securities by foreigners, or direct investment in those markets may be difficult or expensive. In
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those markets, the Sub-fund may be able to invest in equity securities through other investment funds that qualify as UCITS or other UCIs within the meaning of Section 7.1. (d) of Chapter 7 "Investment Limits" in the main body of the Prospectus. Investment in these funds will typically entail additional expense due to management fees charged by the underlying funds and other expenses of those funds. In addition, such funds may have restrictions on redemptions, limiting the liquidity of those investments. For these funds, investments will be made within the limit of Section 7.1. (f) of the above-mentioned Chapter 7 under the condition that they qualify as transferable securities. Investments into other funds will not impact the capability of the Sub-fund to honor redemption requests.
The Sub-fund may hold a portion of its assets in fixed-income investments of any maturity, including, by way of example, as collateral or otherwise in connection with derivatives transactions entered into by it. Any such fixed-income investments will be rated investment grade by at least one internationally recognized statistical rating organization, such as Standard & Poor’s Ratings Services (or, if unrated, considered by the Sub-Investment Manager to be of comparable quality).
Although certain of the investments described above may exhibit characteristics of leverage transactions, the Sub-Investment Manager will not borrow money or use derivatives in a manner that the Sub-Investment Manager considers to have the purpose of creating investment leverage. Investments made by the Sub-Investment Manager to hedge or reduce risk will not be considered to have been made for the purpose of creating investment leverage; the Sub-Investment Managergenerally will determine whether an investment has the effect of creating investment leverage by evaluating the effect of the investment on the exposure and risk profile of the Sub-fund as a whole.
In accordance with the general description in the main body of the Prospectus, the Sub-fund may lend its portfolio securities, and may pay a fee to the Investment Manager, the Sub-Investment Manager and/or an affiliate of the Investment Manager for services provided in connection with effecting securities loans and investing related cash collateral. Such fee shall, as described in the main body of the Prospectus, not exceed 50% of the gross income earned from stock lending by the Sub-fund. The Sub-fund may pay the Investment Manager, the Sub-Investment Manager and/or an affiliate fees and expenses related to the provision of custodial, administrative, bookkeeping, and accounting services, transfer agency and shareholder servicing, and other services that the Investment Manager and/or Sub-Investment Manager may from time to time consider necessary or appropriate. The Sub-fund may enter into repurchase agreements, including transactions with the Investment Manager, the Sub-Investment Manager and/or an affiliate of the Investment Manager. The Sub-fund may invest in other investment funds that qualify as UCITS or other UCIs within the meaning of Section 7.1. (d) of Chapter 7 "Investment Limits" in the main body of the Prospectus. Such UCITS or other UCIs may include entities sponsored, managed, or otherwise affiliated with the Investment Manager. See "General Risk Factors" and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments” in the Prospectus.
The Sub-fund may have relatively high portfolio turnover, which would likely result in increased expenses, including brokerage expenses and other transaction costs. An investment in the Sub-fund may be subject to taxation. Potential Shareholders should consult their own tax counsel as to the specific tax consequences of an investment in the Sub-fund.
The MSCI Emerging Markets Free IndexSM is a trademark of Morgan Stanley Capital International. The financial product described herein is indexed to an MSCI index. The financial product referred to herein is not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such financial product or any index on which such financial product isbased.
Certain Risk Controls. The Investment Manager and Sub-Investment Manager monitor the overall risk of the Sub-fund in order to seek to avoid unintended risk relative to the Index. The Investment Manager and Sub-Investment Manager attempt to manage risk by, among other things, monitoring country and sector weights and deviations from the Index, maintaining diversification, and performing on-going investment surveillance of the Sub-fund.
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3. Investment limits of the Sub-fundThe investment and borrowing restrictions set out in the Prospectus apply in their entirety to the Sub-fund.
4. Risk FactorsPotential Shareholders should consider the risk factors set forth in the Prospectus under the sections entititled “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
In view of the Sub-fund’s specialized investment program, the Sub-fund is considered a sophisticated fund and Shares are suitable investments for sophisticated investors and financial institutions for whom an investment in Shares does not constitute a complete investment program and who fully understand, are willing to assume, and have the financial resources necessary to withstand the risks that may be involved in the Sub-fund’s investment program.
In relation to investments in derivatives, the use of these instruments involves special risks including (i) dependence on the ability to predict movements in the prices of securities underlying the derivative instruments and movements in interest or currency rates; (ii) imperfect correlation between the derivative instruments and the securities or market sectors to which they relate; (iii) greater volatility than the securities and/or markets to which they relate; (iv) liquidity risk when, for example, a particular derivative instrument is difficult to purchase or sell; (v) market risk, where the market value of the derivative changes in a way that is detrimental to the Sub-fund; (vi) counterparty risk, where the counterparty with which the Sub-fund trades becomes insolvent, bankrupt or defaults; (vii) settlement risk, where a counterparty defaults in settling a trade; and (viii) legal risk, where the enforceability of a derivative contract may be an issue. See “Special Investment Techniques and Financial Instruments” in the Prospectus.
The Company will, on request, provide supplementary information to Shareholders relating to the risk management process employed including the quantitative limits that are applied and any recent developments in the risk and yield characteristics of the main categories of investment.
5. Investment Manager and Sub-Investment ManagerState Street Global Advisors France S.A. has been appointed Investment Manager for the Sub-fund. State Street Global Advisors France S.A. is a company duly authorised by the AMF (French financial markets authority) on 3rd June 1997, under number 97-044. Registered office: Immeuble Defense Plaza, 23-25 Rue Delariviere-Lefoullon 92062, France. Form of incorporation: Societe Anonyme, French company limited by shares. The Investment Manager has delegated investment decision making authority to State Street Global Advisors, a division of State Street Bank and Trust Company (the “Sub-Investment Manager”). The Sub-Investment Manager is the investment management division of State Street Bank and Trust Company, a Massachusetts trust company, and has its principal offices located at 1 Lincoln Street, Boston, Massachusetts 02111, USA.
6. Valuation Date and Fixed TimeThe Net Asset Value of the Sub-fund will be calculated by the Administrator as at each Valuation Point in accordance with the requirements of the Articles and full details are set forth under the headings “Calculation of Net Asset Value” in the Prospectus. The Net Asset Value of the Sub-fund will be expressed in its Base Currency.
7. DividendsAll classes of Shares of the Sub-fund will be accumulating Shares, and therefore, dividends or other distributions out of the Sub-fund’s profits will not normally be paid to Shareholders.
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8. Fees and ExpensesThe Sub-fund shall bear its attributable proportion of the organisational and operating expenses of the Company. These are set out in detail under the heading “Fees and Expenses” in the Prospectus. In addition to the fees and expenses described below, Shareholders should read the section in the Prospectus entitled “Fees and Expenses” for a description of other fees and expenses that may apply to their investment in the Sub-fund.
The Sub-fund will pay the following management fee:
For Class P Shares, up to 1.98% of the average daily Net Asset Value; and For Class I Shares, up to 0.98% of the average daily Net Asset Value.
These management fees will be accrued daily based on the Net Asset Value of the Sub-fund as of the relevant Dealing Day and will be paid monthly in arrears. The Investment Manager will discharge from these management fees the fees of the Sub-Investment Manager.
The total expense ratios attributable to the Share classes of the Sub-fund, as set out below, incorporate the fees and expenses of the Investment Manager, the Sub-Investment Manager, Administrator, and Custodian, any distribution fee not covered by the subscription fee where appropriate, and certain other expenses of the Sub-fund set forth in Section 23.1 of the Prospectus. The Investment Manager has voluntarily agreed to temporarily reimburse such portions of its fees as is necessary to ensure that the total expense ratio attributable to all Shares shall currently not exceed the following rates:
For the Class P Shares, 2.23% of the average daily Net Asset Value; and For the Class I Shares, 1.23% of the average daily Net Asset Value.
9. Subscriptions - Application Procedures
All applicants, whether applying in writing or by facsimile, must complete the Application Form prescribed by the Directors (the “Application Form”). An Application Form for additional Shares may be submitted by facsimile provided the Administrator has received the original Application Form for the initial subscription of Shares. Application Forms may be obtained from the Administrator and set out the methods by which and to whom the subscription monies should besent. Application Forms shall be irrevocable (unless otherwise agreed with the Directors) and may be sent by facsimile at the risk of the applicant. The Application Form should be received by the Administrator, by 11.00 a.m. (Central European Time) at least one (1) Business Day prior to the relevant Dealing Day. Any Application Form received after such time will be deemed received as of the next Dealing Day. The originally executed Application Form for the initial subscription, along with supporting documentation in relation to money laundering prevention checks, should be received by the Administrator within five (5) Business Days after the electronically transmitted (by facsimile only) Application Form is sent to the Administrator.
Failure to provide the original Application Form by such time may, at the discretion of the Directors, result in the rejection of the application and any monies received will be returned to the applicant (minus any handling charge incurred in any such return) as soon as possible by wire transfer (but without interest, costs or compensation) or in the compulsory redemption of the Shares. In any event, applicants will be unable to redeem Shares on request until the original Application Form has been received and all anti-money laundering checks completed and supporting documentation received.
In addition to the Application Form, applicants may be requested to provide other information (e.g. as to identity and corporate authorisation). Failure to provide such information may delay the processing of the application.
Fractions: Subscription monies representing less than the Subscription Price for a Share will not be returned to the applicant. Fractions of Shares will be issued where any part of the subscription monies for Shares represents less than the Subscription Price for one Share, provided however, that fractions shall not be less than .0001 of a Share. Subscription monies, representing less than
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.0001 of a Share will not be returned to the applicant but will be retained by the Sub-fund in order to defray administration costs.
Offering Periods and Related Pricing: Applications for Shares during the Initial Offer Period must be received and accepted during the Initial Offer Period. Settlement proceeds must also be received in cleared funds within the Initial Offer Period, or such later period as the Directors may in their absolute discretion determine.
The Subscription Price for Shares during the Initial Offer Period is the Initial Offer Price(together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor).
After the Initial Offer Period for any class of Shares has expired, Shares will be issued at the then applicable Subscription Price per Share, which is based on the Net Asset Value per Share. Currently, the Class I Shares and the Class P Shares are offered at the applicable Subscription Price per Share. See also the section entitled “Pricing” below.
Pricing: Except during the Initial Offer Period, all subscriptions will be dealt on a “forward” pricing basis, i.e. by reference to the Subscription Price for Shares calculated as at the Valuation Point for the relevant Dealing Day (together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Subscription Price (please see Sections 19.1 and 23.4 of the Prospectus). Any Application Forms received after the relevant time for receipt will normally be held over until the next Dealing Day.
10. Payment of Subscription Monies
Method and Currency of Payment: Subscription payments net of all bank charges must be made in Euros and should be paid by wire transfer to the bank account specified in the Application Form. Other methods of payment are subject to the prior approval of the Directors with the agreement of the Administrator. No interest will be paid in respect of payments received in circumstances where the application is held over to the next Dealing Day.
Timing of Payment: Payment in respect of subscriptions must be received in cleared funds by 5.00 p.m. (Central European Time) on the third Business Day following the relevant Dealing Day or on such other day as the Directors may determine.
Payment: If payment in cleared funds in respect of a subscription has not been received by the time specified above, any allotment of Shares made in respect of such application may be cancelled. In the event of the non-clearance of subscription monies, any allotment in respect of an application shall be cancelled. In either event and notwithstanding cancellation of the application, the Directors may charge the applicant for any expense incurred by the Company or the Sub-fund or for any loss to the Sub-fund arising out of such non-receipt or non-clearance. In addition, the Directors will have the right to sell all or part of the applicant’s holding of Shares in the relevant class or any other Sub-fund in order to meet those charges.
11. Minimum Subscriptions/Holdings
Initial Subscriptions: The minimum initial subscription amounts for the Shares are as follows:
€50,000 (or less at the discretion of the Directors) for Class I Shares; and The value of a single Share for Class P Shares.
Subsequent Subscriptions: Any subsequent subscription amounts for Shares shall be in accordance with the following:
For Class I Shares, a minimum of €5,000 (or less at the discretion of the Directors); and A minimum of the value of a single Share for Class P Shares.
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Minimum Holdings: Any Shareholder who redeems or otherwise disposes of part of his holding must maintain the following minimum holdings in the Sub-fund:
Not less than €5,000 for Class I Shares (or less at the discretion of the Directors); and Not less than the value of a single Share in respect of Class P Shares.
The Company may redeem the remaining holdings of any Shareholder who redeems his holdings below the foregoing minimums.
12. Redemptions
Redemption Procedure: Every Shareholder will have the right to require the Company to redeem his Shares in the Sub-fund on any Dealing Day (save during any period when the calculation of the Net Asset Value is suspended or the redemption of Shares is limited in the circumstances set forth in the Prospectus) on furnishing to the Administrator a redemption request in the form of a completed Redemption Form. Shares may be redeemed only by written application or by facsimile through the Administrator.
Redemption Pricing: All redemption requests are dealt with on a “forward” pricing basis, i.e. by reference to the Redemption Price for Shares calculated as at the Valuation Point for the relevant Dealing Day and by deducting a redemption fee of up to 3% of the Redemption Price per Share for the benefit of the Sub-fund, where at the discretion of the Directors it is considered to be equitable for the Shareholders as a whole. Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Redemption Price (please see Sections 19.2 and 23.4 of the Prospectus).
Redemption Form: All applicants must complete the Redemption Form prescribed by the Directors. Redemption Forms may be obtained from the Administrator. A redemption request may be made in writing or by facsimile by a Shareholder but if the account details for redemption payments are different from those set out in the Application Form, the original Redemption Form will be required by the Administrator and verification of the details may be required. The Redemption Form sets out the method by which and to whom redemption monies will be sent.
Redemption Forms must be received by 11.00 a.m. (Central European Time) at least one (1) Business Day prior to the relevant Dealing Day.
If the Redemption Form is received after the relevant time for receipt thereof it shall be treated as a request for redemption on the Dealing Day following such receipt. In extraordinary circumstances, Redemption Forms may be accepted for redemption if received prior to the Valuation Point on the relevant Dealing Day, at the discretion of the Directors, and Shares will be redeemed at the Redemption Price for that day. Shares will be redeemed at the Redemption Price calculated as at the Valuation Point for the relevant Dealing Day.
Redemptions shall be irrevocable and may be sent by facsimile at the risk of the relevant Shareholder. No redemption proceeds will be paid out unless an original initial Application Form is received by the Administrator, together with any other documents required by the Administrator, and cleared funds were received in connection with the original subscription.
Method and Currency of Payment: Redemption payments will be made in Euros to the bank account detailed on the Redemption Form.
Timing of Payment: Redemption proceeds in respect of Shares will be paid on the third Business Day following the relevant Dealing Day, or such other day as the Directors may determine,provided that all the required documentation has been furnished to and received by the Administrator.
In the case of a partial redemption of a Shareholder's holding, the Administrator will advise the Shareholder of the remaining Shares held by him.
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Fractions: Apart from circumstances in which a Shareholder is redeeming his entire holding of Shares:-
(a) fractions of Shares will be issued where any part of the redemption monies for Shares represents less than the Redemption Price for one Share, provided however that fractions shall not be less than .0001 of a Share; and
(b) redemption monies, representing less than .0001 of a Share will not be returned to a Shareholder but will be retained by the Directors in order to defray administration costs.
Switching: Shareholders of other sub-funds of the Company may switch into the Sub-fund. Furthermore, Shareholders in the Sub-fund may switch into other sub-funds of the Company. Switches are in principle only permitted from one Class of Shares in a sub-fund to the same Class of Shares of another sub-fund, unless the investor fulfils the eligibility criteria of the Class of Shares to be switched into.
Shares can be switched on any Dealing Day which is a Dealing Day for both sub-funds at the Subscription Price valid on that date, provided the application for switching is received by the Company (for the attention of the Administrator) by 11:00 a.m., Central European Time (cut-off time) at least one (1) Business Day prior to the relevant Dealing Day. The provisions relating to the cut-off time and forward pricing also apply concerning switching of Shares and are described in full in this Supplement and the Prospectus.
Applications should be addressed directly to State Street Bank Luxembourg S.A., acting as transfer agent for the Company, or otherwise through one of the Distributors. The application must contain the following information: the number of Shares in the old and new sub-funds and the value ratio according to which the Shares in each sub-fund are to be divided if more than one new sub-fund is intended.
Further detail can be found in the Prospectus under the sub-heading “Switching.”
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STATE STREET GLOBAL ADVISORS LUXEMBOURG SICAV
Supplement No. 3
SSgA Europe Alpha Equity Fund
DATED: MARCH 2011
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INTRODUCTION
State Street Global Advisors Luxembourg SICAV (the “Company”) is authorised in Luxembourg by the Commission de Surveillance du Secteur Financier (the “CSSF”) as a UCITS for the purposes of the 2002 Law. The Company is an open-ended umbrella investment company with segregated liability between sub-funds and variable capital.
This Supplement contains information relating to the Shares of the SSgA Europe Alpha Equity Fund (the “Sub-fund”), which is a separate sub-fund of the Company. This Supplement forms part of and should be read in the context of and together with the general description of the Company contained in the current Prospectus.
As of the date of this Supplement, the Company currently offers the following Share classes of the Sub-fund:
Class I Shares
Class P Shares
Class I Shares are reserved for institutional investors as defined in Articles 174 to 176 of the 2010 Law. Class P Shares are available to retail and institutional investors. Further, the Company may, at a future date, create and offer additional Share classes for the Sub-fund.
The Company does not intend to list any Class of Shares of the Sub-fund on the Luxembourg Stock Exchange.
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DEFINITIONS
Unless otherwise defined herein or unless the context otherwise requires all defined terms used in this Supplement shall bear the same meaning as in the Prospectus.
Base Currency Euros
Business Day Any day on which banks are open for business in Luxembourg, Franceand the United Kingdom (excluding Saturday, Sunday and public holidays).
Dealing Day Each full bank Business Day in Luxembourg, France and the United Kingdom which is not a normal public holiday for the stock exchanges or other markets which represent the basis for valuation of a major part of the net assets of the corresponding Sub-fund, as determined by the Company
Initial Offer Period This Sub-fund is not yet launched as at the date of the Prospectus. The Sub-fund may be launched at the Director's discretion. Confirmation of the launch date will be made available at the registered office of the Company and any provisions in the Prospectus relating to the Sub-fund shall only take effect from the launch date of the Sub-fund.
Initial Offer Price €10 per Share for the Class I Shares and Class P Shares.
Redemption Price The redemption price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Redemption.”
Shares The: (i) Class I Shares; and (ii) Class P Shares in the Sub-fund to be issued in accordance with this Supplement and the Prospectus.
Subscription Price The subscription price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Subscription.”
Valuation Point Such time on a Dealing Day as the Directors may from time to time determine at which the Net Asset Value and the Net Asset Value per Share of the Sub-fund is calculated.
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1. Issue of Sub-fund sharesThe initial issue of Shares in the Sub-fund will take place during the Initial Offer Period, at the Initial Offer Price, plus a subscription fee of up to 3% of the issue price. Shareholders should also note that an Anti-Dilution Levy may be included in the Initial Offer Price. After the Initial Offer Period, Shares in the Sub-fund will be available for purchase on each Dealing Day and, as described below, will be offered at the applicable Subscription Price per Share, plus a subscription fee of up to 3% of the issue price.
Note: This Sub-fund is not yet launched as at the date of the Prospectus. The Sub-fund may be launched at the Director's discretion. Confirmation of the launch date will be made available at the registered office of the Company and any provisions in the Prospectus relating to the Sub-fund shall only take effect from the launch date of the Sub-fund.
2. Investment objectives and investment policyInvestment objective. The Sub-fund seeks to provide an investment return in excess of the performance of the MSCI Europe Index (the “Index”) over the long term.
Principal investment strategies. The Sub-fund invests in equity securities (i) of companies located in, or conducting business in, the countries that the companies in the Index are located, or do business, in and (ii) denominated in the currencies of those countries, that the Investment Manager considers to be undervalued in light of their growth potential. The Sub-fund generally invests in companies with market capitalizations comparable to those of companies included in the Index, although the Sub-fund may invest in smaller companies if the Investment Managerconsiders those investments to be consistent with the Sub-fund’s investment objective. The Sub-fund will normally invest in a significantly smaller number of companies than comprise the Index, but will remain in conformity with the diversification requirements of the 2002 Law.
The Investment Manager attempts to identify stocks that it believes are undervalued by other investors. The Investment Manager chooses investments for the Sub-fund based on its analysis of how companies fare with respect to three broad categories: Value, Growth and Quality. In the “value” category, the Investment Manager looks at the relative value for each stock. In the “growth” category, the Investment Manager searches for companies with strong growth potential by analyzing both short term and long term indicators of growth. In the last category, “quality,” the Investment Manager seeks to identify companies having more conservative revenue recognition practices.
The Investment Manager attempts to develop a Sub-fund that is broadly diversified among countries and industries. The primary focus of the Investment Manager in selecting investments for the Sub-fund is on individual companies or stock picking.
Although the Investment Manager may consider the factors described above in purchasing or selling investments for the Sub-fund, the Investment Manager may purchase, sell, or continue to hold an investment for the Sub-fund whenever it believes that doing so may benefit the Sub-fund, on the basis of any of the factors described above or any other factors.
Principal investments. As described above. the Sub-fund normally invests most of its assets in equity securities (i) of companies located in, or conducting business in, the countries that the companies in the Index are located, or do business, in and (ii) denominated in the currencies of those countries. Equity securities may include common stocks, preferred stocks, or other securities convertible into common stock and may include derivatives selected by the Investment Manager to provide a return comparable to the investment return of equity securities in which the Sub-fund may invest. (If the Sub-fund holds a debt security convertible into equity securities, the debt security will be rated investment grade by Moody’s or Standard & Poor’s or, if unrated, will be considered by the Investment Manager to be of comparable quality.) The Sub-fund may hold a portion of its assets in cash.
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The Sub-fund may buy and sell equity-related futures contracts, and may enter into other exchange-traded or over-the-counter derivatives transactions, in order to increase its exposure to equities at times when it holds cash, as a substitute for investments directly in securities, or in order to adjust its exposure to certain securities. Although certain of the investments described above may exhibit characteristics of leverage transactions, the Investment Manager will not borrow money or use derivatives for the Sub-fund in a manner that the Investment Managerconsiders to have the purpose of creating investment leverage. (Investments made by the Investment Manager to hedge or reduce risk will not be considered to have been made for the purpose of creating investment leverage; the Investment Manager generally will determine whether an investment has the effect of creating investment leverage by evaluating the effect of the investment on the exposure and risk profile of the Sub-fund as a whole.)
In accordance with the general description in the main body of the Prospectus, the Sub-fund may lend its portfolio securities, and may pay a fee the Investment Manager or an affiliate of the Investment Manager for services provided in connection with effecting securities loans and investing related cash collateral. Such fee shall, as described in the main body of the Prospectus, not exceed 50% of the gross income earned from stock lending by the Sub-fund. The Sub-fund may pay the Investment Manager or an affiliate fees and expenses related to the provision of custodial, administrative, bookkeeping, and accounting services, transfer agency and shareholder servicing, and other services that the Investment Manager may from time to time consider necessary or appropriate. The Sub-fund may enter into repurchase agreements, including transactions with the Investment Manager or an affiliate of the Investment Manager. The Sub-fund may invest in other investment funds that qualify as UCITS or other UCIs within the meaning of Section 7.1. (d) of Chapter 7 "Investment Limits" in the main body of the Prospectus. Such UCITS or other UCIs may include entities sponsored, managed, or otherwise affiliated with the Investment Manager. See "General Risk Factors" and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments” in the Prospectus.
The Sub-fund may have relatively high portfolio turnover, which would likely result in increased expenses, including brokerage expenses and other transaction costs. An investment in the Sub-fund may be subject to taxation. Potential Shareholders should consult their own tax counsel as to the specific tax consequences of an investment in the Sub-fund.
The MSCI Europe Index is a trademark of Morgan Stanley Capital International. The financial product described herein is indexed to an MSCI index. The financial product referred to herein isnot sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such financial product or any index on which such financial product is based.
Certain Risk Controls. The Investment Manager monitors the overall risk of the Sub-fund, in order to seek to avoid unintended risk exposure relative to the Index. The Investment Managerattempts to manage risk by, among other things, monitoring industry and sector weights and deviations from the Index, maintaining diversification, and performing on-going reviews of company fundamentals and valuations.
3. Investment limits of the Sub-fundThe investment and borrowing restrictions set out in the Prospectus apply in their entirety to the Sub-fund.
4. Risk FactorsPotential Shareholders should consider the risk factors set forth in the Prospectus under the sections entititled “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
In view of the Sub-fund’s specialized investment program, the Sub-fund is considered a sophisticated fund and Shares are suitable investments for sophisticated investors and financial institutions for whom an investment in Shares does not constitute a complete investment
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program and who fully understand, are willing to assume, and have the financial resources necessary to withstand the risks that may be involved in the Sub-fund’s investment program.
In relation to investments in derivatives, the use of these instruments involves special risks including (i) dependence on the ability to predict movements in the prices of securities underlying the derivative instruments and movements in interest or currency rates; (ii) imperfect correlation between the derivative instruments and the securities or market sectors to which they relate; (iii) greater volatility than the securities and/or markets to which they relate; (iv) liquidity risk when, for example, a particular derivative instrument is difficult to purchase or sell; (v) market risk, where the market value of the derivative changes in a way that is detrimental to the Sub-fund; (vi) counterparty risk, where the counterparty with which the Sub-fund trades becomes insolvent, bankrupt or defaults; (vii) settlement risk, where a counterparty defaults in settling a trade; and (viii) legal risk, where the enforceability of a derivative contract may be an issue. See “Special Investment Techniques and Financial Instruments” in the Prospectus.
The Company will, on request, provide supplementary information to Shareholders relating to the risk management process employed including the quantitative limits that are applied and any recent developments in the risk and yield characteristics of the main categories of investment.
5. Investment Manager and Sub-Investment ManagerState Street Global Advisors France S.A. has been appointed Investment Manager for the Sub-fund. State Street Global Advisors France S.A. is a company duly authorised by the AMF (French financial markets authority) on 3rd June 1997, under number 97-044. Registered office: Immeuble Defense Plaza, 23-25 Rue Delariviere-Lefoullon 92062, France. Form of incorporation: Societe Anonyme, French company limited by shares. The Investment Manager may delegate investment decision making authority to one or several Sub-Investment Managers listed in the main body of the Prospectus, the terms of which delegation shall be set forth in separate delegation agremeements. An updated list of appointed Sub-Investment Managers for the Sub-fund, if any, is available upon request at the registered office of the Company.
6. Valuation Date and Fixed TimeThe Net Asset Value of the Sub-fund will be calculated by the Administrator as at each Valuation Point in accordance with the requirements of the Articles and full details are set forth under the headings “Calculation of Net Asset Value” in the Prospectus. The Net Asset Value of the Sub-fund will be expressed in its Base Currency.
7. DividendsAll classes of Shares of the Sub-fund will be accumulating Shares, and therefore, dividends or other distributions out of the Sub-fund’s profits will not normally be paid to Shareholders.
8. Fees and ExpensesThe Sub-fund shall bear its attributable proportion of the organisational and operating expenses of the Company. These are set out in detail under the heading “Fees and Expenses” in the Prospectus. In addition to the fees and expenses described below, Shareholders should read the section in the Prospectus entitled “Fees and Expenses” for a description of other fees and expenses that may apply to their investment in the Sub-fund.
The Sub-fund will pay the following management fee:
For Class P Shares, up to 1.50% of the average daily Net Asset Value; and For Class I Shares, up to 0.50% of the average daily Net Asset Value.
These management fees will be accrued daily based on the Net Asset Value of the Sub-fund as of the relevant Dealing Day and will be paid monthly in arrears.
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The total expense ratios attributable to the Share classes of the Sub-fund, as set out below, incorporate the fees and expenses of the Investment Manager, Administrator and Custodian, any distribution fee not covered by the subscription fee where appropriate , and certain other expenses of the Sub-fund set forth in Section 23.1 of the Prospectus. The Investment Manager has voluntarily agreed to temporarily reimburse such portions of its fees as is necessary to ensure that the total expense ratio attributable to all Shares shall currently not exceed the following rates:
For the Class P Shares, 1.60% of the average daily Net Asset Value; and For the Class I Shares, 0.60% of the average daily Net Asset Value.
9. Subscriptions - Application Procedures
All applicants, whether applying in writing or by facsimile, must complete the Application Form prescribed by the Directors (the “Application Form”). An Application Form for additional Sharesmay be submitted by facsimile provided the Administrator has received the original Application Form for the initial subscription of Shares. Application Forms may be obtained from the Administrator and set out the methods by which and to whom the subscription monies should be sent. Application Forms shall be irrevocable (unless otherwise agreed with the Directors) and may be sent by facsimile at the risk of the applicant. The Application Form should be received by the Administrator, by 11.00 a.m. (Central European Time) on the relevant Dealing Day. Any Application Form received after such time will be deemed received as of the next Dealing Day. The originally executed Application Form for the initial subscription, along with supporting documentation in relation to money laundering prevention checks, should be received by the Administrator within five (5) Business Days after the electronically transmitted (by facsimile only) Application Form is sent to the Administrator.
Failure to provide the original Application Form by such time may, at the discretion of the Directors, result in the rejection of the application and any monies received will be returned to the applicant (minus any handling charge incurred in any such return) as soon as possible by wire transfer (but without interest, costs or compensation) or in the compulsory redemption of the Shares. In any event, applicants will be unable to redeem Shares on request until the original Application Form has been received and all anti-money laundering checks completed and supporting documentation received.
In addition to the Application Form, applicants may be requested to provide other information (e.g. as to identity and corporate authorisation). Failure to provide such information may delay the processing of the application.
Fractions: Subscription monies representing less than the Subscription Price for a Share will not be returned to the applicant. Fractions of Shares will be issued where any part of the subscription monies for Shares represents less than the Subscription Price for one Share, provided however, that fractions shall not be less than .0001 of a Share. Subscription monies, representing less than .0001 of a Share will not be returned to the applicant but will be retained by the Sub-fund in order to defray administration costs.
Offer Periods and Related Pricing: Applications for Shares during the Initial Offer Period must be received and accepted during the Initial Offer Period. Settlement proceeds must also be received in cleared funds within the Initial Offer Period, or such later period as the Directors may in their absolute discretion determine.
The Subscription Price for Shares during the Initial Offer Period is the Initial Offer Price(together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor).
After the Initial Offer Period for any class of Shares has expired, Shares will be issued at the then applicable Subscription Price per Share, which is based on the Net Asset Value per Share. See also the section entitled “Pricing” below.
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Pricing: Except during the Initial Offer Period, all subscriptions will be dealt on a “forward” pricing basis, i.e. by reference to the Subscription Price for Shares calculated as at the Valuation Point for the relevant Dealing Day (together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Subscription Price (please see Sections 19.1 and 23.4 of the Prospectus). Any Application Forms received after the relevant time for receipt will normally be held over until the next Dealing Day.
10. Payment of Subscription Monies
Method and Currency of Payment: Subscription payments net of all bank charges must be made in Euros and should be paid by wire transfer to the bank account specified in the Application Form. Other methods of payment are subject to the prior approval of the Directors with the agreement of the Administrator. No interest will be paid in respect of payments received in circumstances where the application is held over to the next Dealing Day.
Timing of Payment: Payment in respect of subscriptions must be received in cleared funds by 5.00 p.m. (Central European Time) on the third Business Day following the relevant Dealing Day or on such other day as the Directors may determine.
Payment: If payment in cleared funds in respect of a subscription has not been received by the time specified above, any allotment of Shares made in respect of such application may be cancelled. In the event of the non-clearance of subscription monies, any allotment in respect of an application shall be cancelled. In either event and notwithstanding cancellation of the application, the Directors may charge the applicant for any expense incurred by the Company or the Sub-fund or for any loss to the Sub-fund arising out of such non-receipt or non-clearance. In addition, the Directors will have the right to sell all or part of the applicant’s holding of Shares in the relevant class or any other Sub-fund in order to meet those charges.
11. Minimum Subscriptions/Holdings
Initial Subscriptions: The minimum initial subscription amounts for the Shares are as follows:
€50,000 (or less at the discretion of the Directors) for Class I Shares; and The value of a single Share for Class P Shares.
Subsequent Subscriptions: Any subsequent subscription amounts for Shares shall be in accordance with the following:
For Class I Shares, a minimum of €5,000 (or less at the discretion of the Directors); and A minimum of the value of a single Share for Class P Shares.
Minimum Holdings: Any Shareholder who redeems or otherwise disposes of part of his holding must maintain the following minimum holdings in the Sub-fund:
Not less than €5,000 for Class I Shares (or less at the discretion of the Directors); and Not less than the value of a single Share in respect of Class P Shares.
The Company may redeem the remaining holdings of any Shareholder who redeems his holdings below the foregoing minimums.
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12. Redemptions
Redemption Procedure: Every Shareholder will have the right to require the Company to redeem his Shares in the Sub-fund on any Dealing Day (save during any period when the calculation of the Net Asset Value is suspended or the redemption of Shares is limited in the circumstances set forth in the Prospectus) on furnishing to the Administrator a redemption request in the form of a completed Redemption Form. Shares may be redeemed only by written application or by facsimile through the Administrator.
Redemption Pricing: All redemption requests are dealt with on a “forward” pricing basis, i.e. by reference to the Redemption Price for Shares calculated as at the Valuation Point for the relevant Dealing Day and by deducting a redemption fee of up to 3% of the Redemption Price per Share for the benefit of the Sub-fund, where at the discretion of the Directors it is considered to be equitable for the Shareholders as a whole. Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Redemption Price (please see Sections 19.2 and 23.4 of the Prospectus).
Redemption Form: All applicants must complete the Redemption Form prescribed by the Directors. Redemption Forms may be obtained from the Administrator. A redemption request may be made in writing or by facsimile by a Shareholder but if the account details for redemption payments are different from those set out in the Application Form, the original Redemption Form will be required by the Administrator and verification of the details may be required. The Redemption Form sets out the method by which and to whom redemption monies will be sent.
Redemption Forms must be received by 11.00 a.m. (Central European Time) on the relevant Dealing Day.
If the Redemption Form is received after the relevant time for receipt thereof it shall be treated as a request for redemption on the Dealing Day following such receipt. In extraordinary circumstances, Redemption Forms may be accepted for redemption if received prior to the Valuation Point on the relevant Dealing Day, at the discretion of the Directors, and Shares will be redeemed at the Redemption Price for that day. Shares will be redeemed at the Redemption Price calculated as at the Valuation Point for the relevant Dealing Day.
Redemptions shall be irrevocable and may be sent by facsimile at the risk of the relevant Shareholder. No redemption proceeds will be paid out unless an original initial Application Form is received by the Administrator, together with any other documents required by the Administrator, and cleared funds were received in connection with the original subscription.
Method and Currency of Payment: Redemption payments will be made in Euros to the bank account detailed on the Redemption Form.
Timing of Payment: Redemption proceeds in respect of Shares will be paid on the third Business Day following the relevant Dealing Day, or such other day as the Directors may determine,provided that all the required documentation has been furnished to and received by the Administrator.
In the case of a partial redemption of a Shareholder's holding, the Administrator will advise the Shareholder of the remaining Shares held by him.
Fractions: Apart from circumstances in which a Shareholder is redeeming his entire holding of Shares:-
(a) fractions of Shares will be issued where any part of the redemption monies for Shares represents less than the Redemption Price for one Share, provided however that fractions shall not be less than .0001 of a Share; and
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(b) redemption monies, representing less than .0001 of a Share will not be returned to a Shareholder but will be retained by the Directors in order to defray administration costs.
Switching: Shareholders of other sub-funds of the Company may switch into the Sub-fund. Furthermore, Shareholders in the Sub-fund may switch into other sub-funds of the Company. Switches are in principle only permitted from one Class of Shares in a sub-fund to the same Class of Shares of another sub-fund, unless the investor fulfils the eligibility criteria of the Class of Shares to be switched into.
Shares can be switched on any Dealing Day which is a Dealing Day for both sub-funds at the Subscription Price valid on that date, provided the application for switching is received by the Company (for the attention of the Administrator) by 11:00 a.m., Central European Time (cut-off time) on the relevant Dealing Day. The provisions relating to the cut-off time and forward pricing also apply concerning switching of Shares and are described in full in this Supplement and the Prospectus.
Applications should be addressed directly to State Street Bank Luxembourg S.A., acting as transfer agent for the Company, or otherwise through one of the Distributors. The application must contain the following information: the number of Shares in the old and new sub-funds and the value ratio according to which the Shares in each sub-fund are to be divided if more than one new sub-fund is intended.
Further detail can be found in the Prospectus under the sub-heading “Switching.”
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STATE STREET GLOBAL ADVISORS LUXEMBOURG SICAV
Supplement No. 4
SSgA EMU Alpha Equity Fund
DATED: MARCH 2011
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INTRODUCTION
State Street Global Advisors Luxembourg SICAV (the “Company”) is authorised in Luxembourg by the Commission de Surveillance du Secteur Financier (the “CSSF”) as a UCITS for the purposes of the 2002 Law. The Company is an open-ended umbrella investment company with segregated liability between sub-funds and variable capital.
This Supplement contains information relating to the Shares of the SSgA EMU Alpha Equity Fund (the “Sub-fund”), which is a separate sub-fund of the Company. This Supplement forms part of and should be read in the context of and together with the general description of the Company contained in the current Prospectus.
As of the date of this Supplement, the Company currently offers the following Share classes of the Sub-fund:
Class I Shares
Class P Shares
Class I Shares are reserved for institutional investors as defined in Articles 174 to 176 of the 2010 Law. Class P Shares are available to retail and institutional investors. Further, the Company may, at a future date, create and offer additional Share classes for the Sub-fund.
The Company does not intend to list any Class of Shares of the Sub-fund on the Luxembourg Stock Exchange.
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DEFINITIONS
Unless otherwise defined herein or unless the context otherwise requires all defined terms used in this Supplement shall bear the same meaning as in the Prospectus.
Base Currency Euros
Business Day Any day on which banks are open for business in Luxembourg, Franceand Germany (excluding Saturday, Sunday and public holidays).
Dealing Day Each full bank Business Day in Luxembourg, France and Germany which is not a normal public holiday for the stock exchanges or other markets which represent the basis for valuation of a major part of the net assets of the corresponding Sub-fund, as determined by the Company
Redemption Price The redemption price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Redemption.”
Shares The: (i) Class I Shares; and (ii) Class P Shares in the Sub-fund to be issued in accordance with this Supplement and the Prospectus.
Subscription Price The subscription price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Subscription.”
Valuation Point Such time on a Dealing Day as the Directors may from time to time determine at which the Net Asset Value and the Net Asset Value per Share of the Sub-fund is calculated.
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1. Issue of Sub-fund sharesClass I Shares and Class P Shares in the Sub-fund are available for purchase on each Dealing Day and, as described below, are offered at the applicable Subscription Price per Share, plus a subscription fee of up to 3% of the issue price.
2. Investment objectives and investment policyInvestment objective. The Sub-fund seeks to provide an investment return in excess of the performance of the MSCI EMU® Index (the “Index”) over the long term.
Principal investment strategies. The Sub-fund invests in equity securities of companies in countries in the European Monetary Union and denominated in the Euro that the Investment Manager considers to be undervalued in light of their growth potential. The Sub-fund generally invests in companies with market capitalizations comparable to those of companies included in the Index, although the Sub-fund may invest in smaller companies if the Investment Managerconsiders those investments to be consistent with the Sub-fund’s investment objective. The Sub-fund will normally invest in a significantly smaller number of companies than comprise the Index, but will remain in conformity with the diversification requirements of the 2002 Law.
The Investment Manager attempts to identify stocks that it believes are undervalued by other investors. The Investment Manager chooses investments for the Sub-fund based on its analysis of how companies fare with respect to three broad categories: Value, Growth and Quality. In the “value” category, the Investment Manager looks at the relative value for each stock. In the “growth” category, the Investment Manager searches for companies with strong growth potential by analyzing both short term and long term indicators of growth. In the last category, “quality,”the Investment Manager seeks to identify companies having more conservative revenue recognition practices.
The Investment Manager attempts to develop a Sub-fund that is broadly diversified among countries and industries. The primary focus of the Investment Manager in selecting investments for the Sub-fund is on individual companies or stock picking.
Although the Investment Manager may consider the factors described above in purchasing or selling investments for the Sub-fund, the Investment Manager may purchase, sell, or continue to hold an investment for the Sub-fund whenever it believes that doing so may benefit the Sub-fund, on the basis of any of the factors described above or any other factors.
Principal investments. The Sub-fund normally invests most of its assets in equity securities of companies domiciled in countries in the European Monetary Union and denominated in the Euro. Equity securities may include common stocks, preferred stocks, or other securities convertible into common stock and may include derivatives selected by the Investment Manager to provide a return comparable to the investment return of equity securities in which the Sub-fund may invest. (If the Sub-fund holds a debt security convertible into equity securities, the debt security will be rated investment grade by Moody’s or Standard & Poor’s or, if unrated, will be considered by the Investment Manager to be of comparable quality.) The Sub-fund may hold a portion of its assets in cash.
The Sub-fund may buy and sell equity-related futures contracts, and may enter into other exchange-traded or over-the-counter derivatives transactions, in order to increase its exposure to equities at times when it holds cash, as a substitute for investments directly in securities, or in order to adjust its exposure to certain securities. Although certain of the investments described above may exhibit characteristics of leverage transactions, the Investment Manager will not borrow money or use derivatives for the Sub-fund in a manner that the Investment Managerconsiders to have the purpose of creating investment leverage. (Investments made by the Investment Manager to hedge or reduce risk will not be considered to have been made for the
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purpose of creating investment leverage; the Investment Manager generally will determine whether an investment has the effect of creating investment leverage by evaluating the effect of the investment on the exposure and risk profile of the Sub-fund as a whole.)
In accordance with the general description in the main body of the Prospectus, the Sub-fund may lend its portfolio securities, and may pay a fee to the Investment Manager or an affiliate of the Investment Manager for services provided in connection with effecting securities loans and investing related cash collateral. Such fee shall, as described in the main body of the Prospectus, not exceed 50% of the gross income earned from stock lending by the Sub-fund. The Sub-fund may pay the Investment Manager or an affiliate fees and expenses related to the provision of custodial, administrative, bookkeeping, and accounting services, transfer agency and shareholder servicing, and other services that the Investment Manager may from time to time consider necessary or appropriate. The Sub-fund may enter into repurchase agreements, including transactions with the Investment Manager or an affiliate of the Investment Manager. The Sub-fund may invest in other investment funds that qualify as UCITS or other UCIs within the meaning of Section 7.1. (d) of Chapter 7 "Investment Limits" in the main body of the Prospectus. Such UCITS or other UCIs may include entities sponsored, managed, or otherwise affiliated with the Investment Manager. See "General Risk Factors" and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments” in the Prospectus.
The Sub-fund may have relatively high portfolio turnover, which would likely result in increased expenses, including brokerage expenses and other transaction costs. An investment in the Sub-fund may be subject to taxation. Potential Shareholders should consult their own tax counsel as to the specific tax consequences of an investment in the Sub-fund.
Compliance by any investment with the requirements of any investment guideline, strategy, or limitation applicable to the Sub-fund will apply only at the time of investment.
The MSCI EMU® Index is a trademark of Morgan Stanley Capital International. The financial product described herein is indexed to an MSCI index. The financial product referred to herein isnot sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such financial product or any index on which such financial product is based.
Certain Risk Controls. The Investment Manager monitors the overall risk of the Sub-fund, in order to seek to avoid unintended risk exposure relative to the Index. The Investment Managerattempts to manage risk by, among other things, monitoring industry and sector weights and deviations from the Index, maintaining diversification, and performing on-going reviews of company fundamentals and valuations.
3. Investment limits of the Sub-fundThe investment and borrowing restrictions set out in the Prospectus apply in their entirety to the Sub-fund.
4. Risk FactorsPotential Shareholders should consider the risk factors set forth in the Prospectus under the sections entititled “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
In view of the Sub-fund’s specialized investment program, the Sub-fund is considered a sophisticated fund and Shares are suitable investments for sophisticated investors and financial institutions for whom an investment in Shares does not constitute a complete investment program and who fully understand, are willing to assume, and have the financial resources necessary to withstand the risks that may be involved in the Sub-fund’s investment program.
In relation to investments in derivatives, the use of these instruments involves special risks including (i) dependence on the ability to predict movements in the prices of securities underlying the derivative instruments and movements in interest or currency rates; (ii) imperfect correlation
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between the derivative instruments and the securities or market sectors to which they relate; (iii) greater volatility than the securities and/or markets to which they relate; (iv) liquidity risk when, for example, a particular derivative instrument is difficult to purchase or sell; (v) market risk, where the market value of the derivative changes in a way that is detrimental to the Sub-fund; (vi) counterparty risk, where the counterparty with which the Sub-fund trades becomes insolvent, bankrupt or defaults; (vii) settlement risk, where a counterparty defaults in settling a trade; and (viii) legal risk, where the enforceability of a derivative contract may be an issue. See “Special Investment Techniques and Financial Instruments” in the Prospectus.
The Company will, on request, provide supplementary information to Shareholders relating to the risk management process employed including the quantitative limits that are applied and any recent developments in the risk and yield characteristics of the main categories of investment.
5. Investment Manager and Sub-Investment ManagerState Street Global Advisors France S.A. has been appointed Investment Manager for the Sub-fund. State Street Global Advisors France S.A. is a company duly authorised by the AMF (French financial markets authority) on 3rd June 1997, under number 97-044. Registered office: Immeuble Defense Plaza, 23-25 Rue Delariviere-Lefoullon 92062, France. Form of incorporation: Societe Anonyme, French company limited by shares. The Investment Manager may delegate investment decision making authority to one or several Sub-Investment Managers listed in the main body of the Prospectus, the terms of which delegation shall be set forth in separate delegation agremeements. An updated list of appointed Sub-Investment Managers for the Sub-fund, if any, is available upon request at the registered office of the Company.
6. Valuation Date and Fixed TimeThe Net Asset Value of the Sub-fund will be calculated by the Administrator as at each Valuation Point in accordance with the requirements of the Articles and full details are set forth under the headings “Calculation of Net Asset Value” in the Prospectus. The Net Asset Value of the Sub-fund will be expressed in its Base Currency.
7. DividendsAll classes of Shares of the Sub-fund will be accumulating Shares, and therefore, dividends or other distributions out of the Sub-fund’s profits will not normally be paid to Shareholders.
8. Fees and ExpensesThe Sub-fund shall bear its attributable proportion of the organisational and operating expenses of the Company. These are set out in detail under the heading “Fees and Expenses” in the Prospectus. In addition to the fees and expenses described below, Shareholders should read the section in the Prospectus entitled “Fees and Expenses” for a description of other fees and expenses that may apply to their investment in the Sub-fund.
The Sub-fund will pay the following management fee:
For Class P Shares, up to 1.50% of the average daily Net Asset Value; and For Class I Shares, up to 0.50% of the average daily Net Asset Value.
These management fees will be accrued daily based on the Net Asset Value of the Sub-fund as of the relevant Dealing Day and will be paid monthly in arrears.
The total expense ratios attributable to the Share classes of the Sub-fund, as set out below, incorporate the fees and expenses of the Investment Manager, Administrator and Custodian, any distribution fee not covered by the subscription fee where appropriate, and certain other expenses of the Sub-fund set forth in Section 23.1 of the Prospectus. The Investment Manager has voluntarily agreed to temporarily reimburse such portions of its fees as is necessary to ensure that the total expense ratio attributable to all Shares shall currently not exceed the following
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rates:
For the Class P Shares, 1.60% of the average daily Net Asset Value; and For the Class I Shares, 0.60% of the average daily Net Asset Value.
9. Subscriptions - Application Procedures
All applicants, whether applying in writing or by facsimile, must complete the Application Form prescribed by the Directors (the “Application Form”). An Application Form for additional Shares may be submitted by facsimile provided the Administrator has received the original Application Form for the initial subscription of Shares. Application Forms may be obtained from the Administrator and set out the methods by which and to whom the subscription monies should be sent. Application Forms shall be irrevocable (unless otherwise agreed with the Directors) and may be sent by facsimile at the risk of the applicant. The Application Form should be received by the Administrator, by 11.00 a.m. (Central European Time) on the relevant Dealing Day. Any Application Form received after such time will be deemed received as of the next Dealing Day. The originally executed Application Form for the initial subscription, along with supporting documentation in relation to money laundering prevention checks, should be received by the Administrator within five (5) Business Days after the electronically transmitted (by facsimile only) Application Form is sent to the Administrator.
Failure to provide the original Application Form by such time may, at the discretion of the Directors, result in the rejection of the application and any monies received will be returned to the applicant (minus any handling charge incurred in any such return) as soon as possible by wire transfer (but without interest, costs or compensation) or in the compulsory redemption of the Shares. In any event, applicants will be unable to redeem Shares on request until the original Application Form has been received and all anti-money laundering checks completed and supporting documentation received.
In addition to the Application Form, applicants may be requested to provide other information (e.g. as to identity and corporate authorisation). Failure to provide such information may delay the processing of the application.
Fractions: Subscription monies representing less than the Subscription Price for a Share will not be returned to the applicant. Fractions of Shares will be issued where any part of the subscription monies for Shares represents less than the Subscription Price for one Share, provided however, that fractions shall not be less than .0001 of a Share. Subscription monies, representing less than .0001 of a Share will not be returned to the applicant but will be retained by the Sub-fund in order to defray administration costs.
Offering Periods and Related Pricing: Applications for Shares during the Initial Offer Period must be received and accepted during the Initial Offer Period. Settlement proceeds must also be received in cleared funds within the Initial Offer Period, or such later period as the Directors may in their absolute discretion determine.
The Subscription Price for Shares during the Initial Offer Period is the Initial Offer Price(together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor).
After the Initial Offer Period for any class of Shares has expired, Shares will be issued at the then applicable Subscription Price per Share, which is based on the Net Asset Value per Share. Currently, the Class I Shares and Class P Shares are offered at the applicable Subscription Price per Share. See also the section entitled “Pricing” below.
Pricing: Except during the Initial Offer Period, all subscriptions will be dealt on a “forward” pricing basis, i.e. by reference to the Subscription Price for Shares calculated as at the Valuation Point for the relevant Dealing Day (together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the
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Distributor). Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Subscription Price (please see Sections 19.1 and 23.4 of the Prospectus). Any Application Forms received after the relevant time for receipt will normally be held over until the next Dealing Day.
10. Payment of Subscription Monies
Method and Currency of Payment: Subscription payments net of all bank charges must be made in Euros and should be paid by wire transfer to the bank account specified in the Application Form. Other methods of payment are subject to the prior approval of the Directors with the agreement of the Administrator. No interest will be paid in respect of payments received in circumstances where the application is held over to the next Dealing Day.
Timing of Payment: Payment in respect of subscriptions must be received in cleared funds by 5.00 p.m. (Central European Time) on the third Business Day following the relevant Dealing Day or on such other day as the Directors may determine.
Payment: If payment in cleared funds in respect of a subscription has not been received by the time specified above, any allotment of Shares made in respect of such application may be cancelled. In the event of the non-clearance of subscription monies, any allotment in respect of an application shall be cancelled. In either event and notwithstanding cancellation of the application, the Directors may charge the applicant for any expense incurred by the Company or the Sub-fund or for any loss to the Sub-fund arising out of such non-receipt or non-clearance. In addition, the Directors will have the right to sell all or part of the applicant’s holding of Shares in the relevant class or any other Sub-fund in order to meet those charges.
11. Minimum Subscriptions/Holdings
Initial Subscriptions: The minimum initial subscription amounts for the Shares are as follows:
€50,000 (or less at the discretion of the Directors) for Class I Shares; and The value of a single Share for Class P Shares.
Subsequent Subscriptions: Any subsequent subscription amounts for Shares shall be in accordance with the following:
For Class I Shares, a minimum of €5,000 (or less at the discretion of the Directors); and A minimum of the value of a single Share for Class P Shares.
Minimum Holdings: Any Shareholder who redeems or otherwise disposes of part of his holding must maintain the following minimum holdings in the Sub-fund:
Not less than €5,000 for Class I Shares (or less at the discretion of the Directors); and Not less than the value of a single Share in respect of Class P Shares.
The Company may redeem the remaining holdings of any Shareholder who redeems his holdings below the foregoing minimums.
12. Redemptions
Redemption Procedure: Every Shareholder will have the right to require the Company to redeem his Shares in the Sub-fund on any Dealing Day (save during any period when the calculation of the Net Asset Value is suspended or the redemption of Shares is limited in the circumstances set forth in the Prospectus) on furnishing to the Administrator a redemption request in the form of a completed Redemption Form. Shares may be redeemed only by written application through the Administrator.
Redemption Pricing: All redemption requests are dealt with on a “forward” pricing basis, i.e. by reference to the Redemption Price for Shares calculated as at the Valuation Point for the relevant
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Dealing Day. Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Redemption Price (please see Sections 19.2 and 23.4 of the Prospectus).
Redemption Form: All applicants must complete the Redemption Form prescribed by the Directors. Redemption Forms may be obtained from the Administrator. A redemption request may be made in writing or by facsimile by a Shareholder but if the account details for redemption payments are different from those set out in the Application Form, the original Redemption Form will be required by the Administrator and verification of the details may be required. The Redemption Form sets out the method by which and to whom redemption monies will be sent.
Redemption Forms must be received by 11.00 a.m. (Central European Time) on the relevant Dealing Day.
If the Redemption Form is received after the relevant time for receipt thereof it shall be treated as a request for redemption on the Dealing Day following such receipt. In extraordinary circumstances, Redemption Forms may be accepted for redemption if received prior to the Valuation Point on the relevant Dealing Day, at the discretion of the Directors, and Shares will be redeemed at the Redemption Price for that day. Shares will be redeemed at the Redemption Price calculated as at the Valuation Point for the relevant Dealing Day.
Redemptions shall be irrevocable and may be sent by facsimile at the risk of the relevant Shareholder. No redemption proceeds will be paid out unless an original initial Application Form is received by the Administrator, together with any other documents required by the Administrator, and cleared funds were received in connection with the original subscription.
Method and Currency of Payment: Redemption payments will be made in Euros to the bank account detailed on the Redemption Form.
Timing of Payment: Redemption proceeds in respect of Shares will be paid on the third Business Day following the relevant Dealing Day, or such other day as the Directors may determine,provided that all the required documentation has been furnished to and received by the Administrator.
In the case of a partial redemption of a Shareholder's holding, the Administrator will advise the Shareholder of the remaining Shares held by him.
Fractions: Apart from circumstances in which a Shareholder is redeeming his entire holding of Shares:-
(a) fractions of Shares will be issued where any part of the redemption monies for Shares represents less than the Redemption Price for one Share, provided however that fractions shall not be less than .0001 of a Share; and
(b) redemption monies, representing less than .0001 of a Share will not be returned to a Shareholder but will be retained by the Directors in order to defray administrationcosts.
Switching: Shareholders of other sub-funds of the Company may switch into the Sub-fund. Furthermore, Shareholders in the Sub-fund may switch into other sub-funds of the Company. Switches are in principle only permitted from one Class of Shares in a sub-fund to the same Class of Shares of another sub-fund, unless the investor fulfils the eligibility criteria of the Class of Shares to be switched into.
Shares can be switched on any Dealing Day which is a Dealing Day for both sub-funds at the Subscription Price valid on that date, provided the application for switching is received by the Company (for the attention of the Administrator) by 11:00 a.m., Central European Time (cut-off time),on the relevant Dealing Day. The provisions relating to the cut-off time and forward pricing also apply concerning switching of Shares and are described in full in this Supplement and the Prospectus.
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Applications should be addressed directly to State Street Bank Luxembourg S.A., acting as transfer agent for the Company, or otherwise through one of the Distributors. The application must contain the following information: the number of Shares in the old and new sub-funds and the value ratio according to which the Shares in each sub-fund are to be divided if more than one new sub-fund is intended.
Further detail can be found in the Prospectus under the sub-heading “Switching.”
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STATE STREET GLOBAL ADVISORS LUXEMBOURG SICAV
Supplement No. 5
SSgA Euro-Aggregate Corporate Bond Index Fund
DATED: MARCH 2011
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INTRODUCTION
State Street Global Advisors Luxembourg SICAV (the “Company”) is authorised in Luxembourg by the Commission de Surveillance du Secteur Financier (the “CSSF”) as a UCITS for the purposes of the 2002 Law. The Company is an open-ended umbrella investment company with segregated liability between sub-funds and variable capital.
This Supplement contains information relating to the Shares of the SSgA Euro-Aggregate Corporate Bond Index Fund (the “Sub-fund”), which is a separate sub-fund of the Company. This Supplement forms part of and should be read in the context of and together with the general description of the Company contained in the current Prospectus.
As of the date of this Supplement, the Company currently offers the following Share classes of the Sub-fund:
Class I Shares
Class P Shares
Class I Shares are reserved for institutional investors as defined in Articles 174 to 176 of the 2010 Law. Class P Shares are available to retail and institutional investors. Further, the Company may, at a future date, create and offer additional Share classes for the Sub-fund.
The Company does not intend to list any Class of Shares of the Sub-fund on the Luxembourg Stock Exchange.
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DEFINITIONS
Unless otherwise defined herein or unless the context otherwise requires all defined terms used in this Supplement shall bear the same meaning as in the Prospectus.
Base Currency Euros
Business Day (i) Any day on which banks are open for business in Luxembourg and the United Kingdom (excluding Saturday, Sunday and public holidays)provided always that the London Stock Exchange is open for business on such day; and (ii) weekdays other than days on which the Trans-European Automated Real-Time Gross Settlement Express Transfer (“TARGET”), the Eurosystem interbank funds transfer system, is closed for business.
Dealing Day Each full bank Business Day.
Redemption Price The redemption price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Redemption.”
Shares The: (i) Class I Shares; and (ii) Class P Shares in the Sub-fund to be issued in accordance with this Supplement and the Prospectus.
Subscription Price The subscription price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Subscription.”
Valuation Point Such time on a Dealing Day as the Directors may from time to time determine at which the Net Asset Value and the Net Asset Value per Share of the Sub-fund is calculated.
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1. Issue of Sub-fund sharesClass I Shares and Class P Shares in the Sub-fund are available for purchase on each Dealing Day and, as described below, are offered at the applicable Subscription Price per Share, plus a subscription fee of up to 3% of the issue price.
2. Investment objectives and investment policyInvestment objective. The investment objective of the Sub-fund is to seek to track as closely as reasonably possible the performance of the Barclays Capital Euro-Aggregate Corporate Bond Index (the “Index”). The Index is the corporates component of the Barclays Capital Euro-Aggregate Credit Index, itself a sub-sector of the Barclays Capital Euro-Aggregate Bond Index.
Principal investment strategies. In order to achieve this objective, the Sub-fund will invest primarily in the securities of the Index, subject to the restrictions set forth in the Prospectus.
While the securities comprised in the Index will generally be investment grade securities, they may, from time to time, have their rating downgraded from investment grade. The Sub-fund may continue to hold such investments for so long as they are comprised in the Index or, if in the opinion of the Sub-Investment Manager (as defined in Section 5 below), the security is likely, within a reasonable period of time, to regain its investment grade rating and be restored to the Index.
The Sub-Investment Manager will employ such investment methodology(ies) as it determines is most appropriate to achieve the investment objective of the Sub-fund. As part of these investment methodologies, the Sub-Investment Manager may, for the purpose of efficient portfolio management and in accordance with the conditions and limits imposed by the CSSF combine the purchase of securities with the use of fixed income derivative instruments. These transactions will be implemented within a maximum limit of 100% of the Sub-fund's assets provided however that they will not be used to gain exposure to transferable securities in excess of that permitted by the 2002 Law.
Although the Sub-Investment Manager may consider the factors described above in purchasing or selling investments for the Sub-fund, the Sub-Investment Manager may purchase, sell, or continue to hold an investment for the Sub-fund whenever it believes that doing so may benefit the Sub-fund, on the basis of any of the factors described above or any other factors.
Principal investments. The Sub-fund will invest primarily in securities that are included in the Index or that closely reflect securities of the Index. The Index is a market capitalisation-weighted benchmark of fixed rate Euro denominated investment-grade corporate debt securities. The corporate sector consists of financial, industrial and utilities issues.
The composition of the Sub-fund’s investment portfolio may be adjusted from time to time to reflect changes in the Index and, in particular, in its composition and/or weighting. Where the Sub-Investment Manager deems necessary with a view to the investment methodology applied by the Sub-Investment Manager at the time, it will adjust the composition and weighting of Investments held by the Sub-fund to reflect the change, subject to the 2002 Law and its discretion in implementing the Sub-fund’s investment objective. However, it will not always be possible to invest in all of the investments comprising the Index or to do so in the weightings in which they are included in that Index. In particular, this may result from the application of the investment and borrowing restrictions set forth in the Prospectus, the operating expenses of the Sub-fund, temporary illiquidity or unavailability of an investment comprised in the Index or other unusual or extraordinary circumstance.
The Sub-fund will not lend its portfolio securities. The Sub-fund may pay the Investment Manager, Sub-Investment Manager and/or an affiliate fees and expenses related to the provision of custodial, administrative, bookkeeping, and accounting services, transfer agency and
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shareholder servicing, and other services that the Investment Manager and/or Sub-Investment Manager may from time to time consider necessary or appropriate. The Sub-fund may invest in other investment funds that qualify as UCITS or other UCIs within the meaning of Section 7.1. (d) of Chapter 7 "Investment Limits" in the main body of the Prospectus. Such UCITS or other UCIs may include entities sponsored, managed, or otherwise affiliated with the Investment Manager. See "General Risk Factors" and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments” in the Prospectus.
An investment in the Sub-fund may be subject to taxation. Potential Shareholders should consult their own tax counsel as to the specific tax consequences of an investment in the Sub-fund.
Certain Risk Controls. The Investment Manager and Sub-Investment Manager monitor the overall risk of the Sub-fund, in order to seek to avoid unintended risk exposure relative to the Index. The Investment Manager and Sub-Investment Manager attempt to manage risk by, among other things, monitoring industry and sector weights and deviations from the Index, maintaining diversification, and performing on-going reviews of company fundamentals and valuations.
Other. The Barclays Capital Euro-Aggregate Corporate Bond Index is a service mark of Barclays Capital, Inc. (“Barclays Capital”), which expression shall include any of its affiliates) and has been licensed for use for certain purposes by the Company. The Sub-fund is not sponsored, endorsed, sold or promoted by Barclays Capital. Barclays Capital makes no representation or warranty, express or implied, to the owners of the Sub-fund or any member of the public regarding the advisability of investing in securities generally or in the licensing of certain information, data, trademarks and trade names of Barclays Capital. The Index is determined, composed and calculated by Barclays without regard to the Company or the Sub-fund. Barclays Capital has no obligation to take the needs of the Company or the Shareholders of the Sub-fund into consideration in determining, composing or calculating the Index. Barclays Capital is not responsible for and has not participated in the determination of the prices and amount of the Sub-fund or the timing of the issuance or sale of the Sub-fund or in the determination or calculation of the equation by which the Sub-fund is to be converted into cash. Barclays Capital has no obligation or liability in connection with the administration, marketing or trading of the Sub-fund.
BARCLAYS CAPITAL DOES NOT GUARANTEE THE QUALITY, ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN, OR OTHERWISE OBTAINED BY THE COMPANY OR ITS SUB-FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. BARCLAYS CAPITAL MAKES NO EXPRESS OR IMPLIED WARRANTIES AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OF FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THEFOREGOING, IN NO EVENT SHALL BARCLAYS CAPITAL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
3. Investment limits of the Sub-fundThe investment and borrowing restrictions set out in the Prospectus apply in their entirety to the Sub-fund.
4. Risk FactorsPotential Shareholders should consider the risk factors set forth in the Prospectus under the sections entititled “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
The Sub-fund is considered a non-sophisticated fund and is available to institutional and private investors. Investors should understand that an investment in Shares does not constitute a
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complete investment program and that investors should have the financial resources necessary to withstand the risks that may be involved in the Sub-fund’s investment program.
In relation to investments in derivatives, the use of these instruments involves special risks including (i) dependence on the ability to predict movements in the prices of securities underlying the derivative instruments and movements in interest or currency rates; (ii) imperfect correlation between the derivative instruments and the securities or market sectors to which they relate; (iii) greater volatility than the securities and/or markets to which they relate; (iv) liquidity risk when, for example, a particular derivative instrument is difficult to purchase or sell; (v) market risk, where the market value of the derivative changes in a way that is detrimental to the Sub-fund; (vi) counterparty risk, where the counterparty with which the Sub-fund trades becomes insolvent, bankrupt or defaults; (vii) settlement risk, where a counterparty defaults in settling a trade; and (viii) legal risk, where the enforceability of a derivative contract may be an issue. See “Special Investment Techniques and Financial Instruments” in the Prospectus.
The Company will, on request, provide supplementary information to Shareholders relating to the risk management process employed including the quantitative limits that are applied and any recent developments in the risk and yield characteristics of the main categories of investment.
5. Investment Manager and Sub-Investment ManagerState Street Global Advisors France S.A. has been appointed Investment Manager for the Sub-fund. State Street Global Advisors France S.A. is a company duly authorised by the AMF (French financial markets authority) on 3rd June 1997, under number 97-044. Registered office: Immeuble Defense Plaza, 23-25 Rue Delariviere-Lefoullon 92062, France. Form of incorporation: Societe Anonyme, French company limited by shares. The Investment Manager has delegated investment decision making authority to State Street Global Advisors Limited, a wholly-owned subsidiary of State Street Bank Europe Limited, itself a subsidiary of State Street Bank and Trust Company, which in turn is a subsdiary of State Street Corporation (the “Sub-Investment Manager”). The Sub-Investment Manager has its principal offices located at 20 Churchill Place, Canary Wharf, London E14 5HJ, United Kingdom.
6. Valuation Date and Fixed TimeThe Net Asset Value of the Sub-fund will be calculated by the Administrator as at each Valuation Point in accordance with the requirements of the Articles and full details are set forth under the headings “Calculation of Net Asset Value” in the Prospectus. The Net Asset Value of the Sub-fund will be expressed in its Base Currency.
7. DividendsAll classes of Shares of the Sub-fund will be accumulating Shares, and therefore, dividends or other distributions out of the Sub-fund’s profits will not normally be paid to Shareholders.
8. Fees and ExpensesThe Sub-fund shall bear its attributable proportion of the organisational and operating expenses of the Company. These are set out in detail under the heading “Fees and Expenses” in the Prospectus. In addition to the fees and expenses described below, Shareholders should read the section in the Prospectus entitled “Fees and Expenses” for a description of other fees and expenses that may apply to their investment in the Sub-fund.
The Sub-fund will pay the following management fee:
For Class P Shares, up to 0.30% of the average daily Net Asset Value; For Class I Shares, up to 0.15% of the average daily Net Asset Value.
These management fees will be accrued daily based on the Net Asset Value of the Sub-fund as of the relevant Dealing Day and will be paid monthly in arrears. The Investment Manager will
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discharge from these management fees the fees of the Sub-Investment Manager.
The total expense ratios attributable to the Share classes of the Sub-fund, as set out below, incorporate the fees and expenses of the Investment Manager (and the Sub-Investment Manager), Administrator and Custodian, any distribution fee not covered by the subscription fee where appropriate, and certain other expenses of the Sub-fund set forth in Section 23.1 of the Prospectus. The Investment Manager has voluntarily agreed to temporarily reimburse such portions of its fees as is necessary to ensure that the total expense ratio attributable to all Shares shall currently not exceed the following rates:
For the Class P Shares, 0.40% of the average daily Net Asset Value; For the Class I Shares, 0.25% of the average daily Net Asset Value.
9. Subscriptions - Application Procedures
All applicants, whether applying in writing or by facsimile, must complete the Application Form prescribed by the Directors (the “Application Form”). An Application Form for additional Shares may be submitted by facsimile provided the Administrator has received the original Application Form for the initial subscription of Shares. Application Forms may be obtained from the Administrator and set out the methods by which and to whom the subscription monies should be sent. Application Forms shall be irrevocable (unless otherwise agreed with the Directors) and may be sent by facsimile at the risk of the applicant. The Application Form should be received by the Administrator, by 11.00 a.m. (Central European Time) on the relevant Dealing Day. Any Application Form received after such time will be deemed received as of the next Dealing Day. The originally executed Application Form for the initial subscription, along with supporting documentation in relation to money laundering prevention checks, should be received by the Administrator within five (5) Business Days after the electronically transmitted (by facsimile only) Application Form is sent to the Administrator.
Failure to provide the original Application Form by such time may, at the discretion of the Directors, result in the rejection of the application and any monies received will be returned to the applicant (minus any handling charge incurred in any such return) as soon as possible by wire transfer (but without interest, costs or compensation) or in the compulsory redemption of the Shares. In any event, applicants will be unable to redeem Shares on request until the original Application Form has been received and all anti-money laundering checks completed and supporting documentation received.
In addition to the Application Form, applicants may be requested to provide other information (e.g. as to identity and corporate authorisation). Failure to provide such information may delay the processing of the application.
Fractions: Subscription monies representing less than the Subscription Price for a Share will not be returned to the applicant. Fractions of Shares will be issued where any part of the subscription monies for Shares represents less than the Subscription Price for one Share, provided however, that fractions shall not be less than .0001 of a Share. Subscription monies, representing less than .0001 of a Share will not be returned to the applicant but will be retained by the Sub-fund in order to defray administration costs.
Offer Periods and Related Pricing: Applications for Shares during the Initial Offer Period must be received and accepted during the Initial Offer Period. Settlement proceeds must also be received in cleared funds within the Initial Offer Period, or such later period as the Directors may in their absolute discretion determine.
The Subscription Price for Shares during the Initial Offer Period is the Initial Offer Price(together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Shareholders should also note that an Anti-Dilution Levy may be included in the Initial Offer Price.
After the Initial Offer Period for any class of Shares has expired, Shares will be issued at the then applicable Subscription Price per Share, which is based on the Net Asset Value per Share.
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Currently, the Class I Shares and Class P Shares are offered at the applicable Subscription Price per Share. See also the section entitled “Pricing” below.
Pricing: Except during the Initial Offer Period, all subscriptions will be dealt on a “forward” pricing basis, i.e. by reference to the Subscription Price for Shares calculated as at the Valuation Point for the relevant Dealing Day (together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Subscription Price (please see Sections 19.1 and 23.4 of the Prospectus). Any Application Forms received after the relevant time for receipt will normally be held over until the next Dealing Day.
10. Payment of Subscription Monies
Method and Currency of Payment: Subscription payments net of all bank charges must be made in Euros and should be paid by wire transfer to the bank account specified in the Application Form. Other methods of payment are subject to the prior approval of the Directors with the agreement of the Administrator. No interest will be paid in respect of payments received in circumstances where the application is held over to the next Dealing Day.
Timing of Payment: Payment in respect of subscriptions must be received in cleared funds by 5.00 p.m. (Central European Time) on the third Business Day following the relevant Dealing Day or on such other day as the Directors may determine.
Payment: If payment in cleared funds in respect of a subscription has not been received by the time specified above, any allotment of Shares made in respect of such application may be cancelled. In the event of the non-clearance of subscription monies, any allotment in respect of an application shall be cancelled. In either event and notwithstanding cancellation of the application, the Directors may charge the applicant for any expense incurred by the Company or the Sub-fund or for any loss to the Sub-fund arising out of such non-receipt or non-clearance. In addition, the Directors will have the right to sell all or part of the applicant’s holding of Shares in the relevant class or any other Sub-fund in order to meet those charges.
11. Minimum Subscriptions/Holdings
Initial Subscriptions: The minimum initial subscription amounts for the Shares are as follows:
€50,000 (or less at the discretion of the Directors) for Class I Shares; and The value of a single Share for Class P Shares.
Subsequent Subscriptions: Any subsequent subscription amounts for Shares shall be in accordance with the following:
For Class I Shares, a minimum of €5,000 (or less at the discretion of the Directors); and A minimum of the value of a single Share for Class P Shares.
Minimum Holdings: Any Shareholder who redeems or otherwise disposes of part of his holding must maintain the following minimum holdings in the Sub-fund:
Not less than €5,000 for Class I Shares (or less at the discretion of the Directors); and Not less than the value of a single Share in respect of Class P Shares.
The Company may redeem the remaining holdings of any Shareholder who redeems his holdings below the foregoing minimums.
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12. Redemptions
Redemption Procedure: Every Shareholder will have the right to require the Company to redeem his Shares in the Sub-fund on any Dealing Day (save during any period when the calculation of the Net Asset Value is suspended or the redemption of Shares is limited in the circumstances set forth in the Prospectus) on furnishing to the Administrator a redemption request in the form of a completed Redemption Form. Shares may be redeemed only by written application or by facsimile through the Administrator.
Redemption Pricing: All redemption requests are dealt with on a “forward” pricing basis, i.e. by reference to the Redemption Price for Shares calculated as at the Valuation Point for the relevant Dealing Day and by deducting a redemption fee of up to 3% of the Redemption Price per Share for the benefit of the Sub-fund, where at the discretion of the Directors it is considered to be equitable for the Shareholders as a whole. Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Redemption Price (please see Sections 19.2 and 23.4 of the Prospectus).
Redemption Form: All applicants must complete the Redemption Form prescribed by the Directors. Redemption Forms may be obtained from the Administrator. A redemption request may be made in writing or by facsimile by a Shareholder but if the account details for redemption payments are different from those set out in the Application Form, the original Redemption Form will be required by the Administrator and verification of the details may be required. The Redemption Form sets out the method by which and to whom redemption monies will be sent.
Redemption Forms must be received by 11.00 a.m. (Central European Time) on the relevant Dealing Day.
If the Redemption Form is received after the relevant time for receipt thereof it shall be treated as a request for redemption on the Dealing Day following such receipt. In extraordinary circumstances, Redemption Forms may be accepted for redemption if received prior to the Valuation Point on the relevant Dealing Day, at the discretion of the Directors, and Shares will be redeemed at the Redemption Price for that day. Shares will be redeemed at the Redemption Price calculated as at the Valuation Point for the relevant Dealing Day.
Redemptions shall be irrevocable and may be sent by facsimile at the risk of the relevant Shareholder. No redemption proceeds will be paid out unless an original initial Application Form is received by the Administrator, together with any other documents required by the Administrator, and cleared funds were received in connection with the original subscription.
Method and Currency of Payment: Redemption payments will be made in Euros to the bank account detailed on the Redemption Form.
Timing of Payment: Redemption proceeds in respect of Shares will be paid on the third Business Day following the relevant Dealing Day, or such other day as the Directors may determine,provided that all the required documentation has been furnished to and received by the Administrator.
In the case of a partial redemption of a Shareholder's holding, the Administrator will advise the Shareholder of the remaining Shares held by him.
Fractions: Apart from circumstances in which a Shareholder is redeeming his entire holding of Shares:-
(a) fractions of Shares will be issued where any part of the redemption monies for Shares represents less than the Redemption Price for one Share, provided however that fractions shall not be less than .0001 of a Share; and
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(b) redemption monies, representing less than .0001 of a Share will not be returned to a Shareholder but will be retained by the Directors in order to defray administration costs.
Switching: Shareholders of other sub-funds of the Company may switch into the Sub-fund. Furthermore, Shareholders in the Sub-fund may switch into other sub-funds of the Company. Switches are in principle only permitted from one Class of Shares in a sub-fund to the same Class of Shares of another sub-fund, unless the investor fulfils the eligibility criteria of the Class of Shares to be switched into.
Shares can be switched on any Dealing Day which is a Dealing Day for both sub-funds at the Subscription Price valid on that date, provided the application for switching is received by the Company (for the attention of the Administrator) by 11:00 a.m., Central European Time (cut-off time) on the relevant Dealing Day. The provisions relating to the cut-off time and forward pricing also apply concerning switching of Shares and are described in full in this Supplement and the Prospectus.
Applications should be addressed directly to State Street Bank Luxembourg S.A., acting as transfer agent for the Company, or otherwise through one of the Distributors. The application must contain the following information: the number of Shares in the old and new sub-funds and the value ratio according to which the Shares in each sub-fund are to be divided if more than one new sub-fund is intended.
Further detail can be found in the Prospectus under the sub-heading “Switching.”
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STATE STREET GLOBAL ADVISORS LUXEMBOURG SICAV
Supplement No. 6
SSgA Global Aggregate Bond Index Fund
DATED: MARCH 2011
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INTRODUCTION
State Street Global Advisors Luxembourg SICAV (the “Company”) is authorised in Luxembourg by the Commission de Surveillance du Secteur Financier (the “CSSF”) as a UCITS for the purposes of the 2002 Law. The Company is an open-ended umbrella investment company with segregated liability between sub-funds and variable capital.
This Supplement contains information relating to the Shares of the SSgA Global Aggregate Bond Index Fund (the “Sub-fund”), which is a separate sub-fund of the Company. This Supplement forms part of and should be read in the context of and together with the general description of the Company contained in the current Prospectus.
As of the date of this Supplement, the Company currently offers the following Share classes of the Sub-fund:
Class I Shares
Class P Shares
Class I Shares are reserved for institutional investors as defined in Articles 174 to 176 of the 2010 Law. Class P Shares are available to retail and institutional investors. Further, the Company may, at a future date, create and offer additional Share classes for the Sub-fund.
The Company does not intend to list any Class of Shares of the Sub-fund on the Luxembourg Stock Exchange.
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DEFINITIONS
Unless otherwise defined herein or unless the context otherwise requires all defined terms used in this Supplement shall bear the same meaning as in the Prospectus.
Base Currency US Dollars
Business Day (i) Any day on which banks are open for business in Luxembourg, the United Kingdom and New York (excluding Saturday, Sunday and public holidays) provided always that the London Stock Exchange is open for business on such day; and (ii) weekdays other than days on which the Trans-European Automated Real-Time Gross Settlement Express Transfer (“TARGET”), the Eurosystem interbank funds transfer system, is closed for business.
Dealing Day Each full bank Business Day.
Initial Offer Period This Sub-fund is not yet launched as at the date of the Prospectus. The Sub-fund may be launched at the Director's discretion. Confirmation of the launch date will be made available at the registered office of the Company and any provisions in the Prospectus relating to the Sub-fund shall only take effect from the launch date of the Sub-fund.
Initial Offer Price $10 per Share for the Class I Shares and Class P Shares, plus such sum as the Investment Manager considers appropriate (within permitted limits) as an Anti-Dilution Levy.
Redemption Price The redemption price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Redemption.”
Shares The: (i) Class I Shares; and (ii) Class P Shares in the Sub-fund to beissued in accordance with this Supplement and the Prospectus.
Subscription Price The subscription price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Subscription.”
Valuation Point Such time on a Dealing Day as the Directors may from time to time determine at which the Net Asset Value and the Net Asset Value per Share of the Sub-fund is calculated.
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1. Issue of Sub-fund sharesThe initial issue of Shares in the Sub-fund will take place during the Initial Offer Period, at the Initial Offer Price, plus a subscription fee of up to 3% of the issue price. Shareholders should also note that an Anti-Dilution Levy may be included in the Initial Offer Price. After the Initial Offer Period, Shares in the Sub-fund will be available for purchase on each Dealing Day and, as described below, will be offered at the applicable Subscription Price per Share, plus a subscription fee of up to 3% of the issue price.
Note: This Sub-fund is not yet launched as at the date of the Prospectus. The Sub-fund may be launched at the Director's discretion. Confirmation of the launch date will be made available at the registered office of the Company and any provisions in the Prospectus relating to the Sub-fund shall only take effect from the launch date of the Sub-fund.
2. Investment objectives and investment policyInvestment objective. The investment objective of the Sub-fund is to seek to track as closely as reasonably possible the performance of the Barclays Capital Global Aggregate Bond Index (the “Index”).
Principal investment strategies. In order to achieve this objective, the Sub-fund will invest primarily in the securities of the Index, subject to the restrictions set forth in the Prospectus.
While the securities comprised in the Index will generally be investment grade securities, they may, from time to time, have their rating downgraded from investment grade. The Sub-fund may continue to hold such investments for so long as they are comprised in the Index or, if in the opinion of the Sub-Investment Manager (as defined in Section 5 below), the security is likely, within a reasonable period of time, to regain its investment grade rating and be restored to the Index.
The Sub-Investment Manager will employ such investment methodology(ies) as it determines is most appropriate to achieve the investment objective of the Sub-fund. As part of these investment methodologies, the Sub-Investment Manager may, for the purpose of efficient portfolio management and in accordance with the conditions and limits imposed by the CSSF combine the purchase of securities with the use of fixed income derivative instruments. These transactions will be implemented within a maximum limit of 100% of the Sub-fund's assets provided however that they will not be used to gain exposure to transferable securities in excess of that permitted by the 2002 Law.
Although the Sub-Investment Manager may consider the factors described above in purchasing or selling investments for the Sub-fund, the Sub-Investment Manager may purchase, sell, or continue to hold an investment for the Sub-fund whenever it believes that doing so may benefit the Sub-fund, on the basis of any of the factors described above or any other factors.
Principal investments. The Sub-fund will invest primarily in securities that are included in the Index or that closely reflect securities of the Index. The Index provides a broad-based measure of the global investment-grade fixed income markets. The three major components of the Index are the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate indices. The Index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and US Dollar investment grade 144A securities). The Sub-fund may enter into foreign currency exchange transactions, including transactions involving foreign currency forward contracts, futures contracts, and options, which may alter the currency exposure characteristics of securities held by the Sub-fund.
The composition of the Sub-fund’s investment portfolio may be adjusted from time to time to reflect changes in the Index and, in particular, in its composition and/or weighting. Where the Sub-Investment Manager deems necessary with a view to the investment methodology applied by
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the Sub-Investment Manager at the time, it will adjust the composition and weighting of Investments held by the Sub-fund to reflect the change, subject to the 2002 Law and its discretion in implementing the Sub-fund’s investment objective. However, it will not always be possible to invest in all of the investments comprising the Index or to do so in the weightings in which they are included in that Index. In particular, this may result from the application of the investment and borrowing restrictions set forth in the Prospectus, the operating expenses of the Sub-fund, temporary illiquidity or unavailability of an investment comprised in the Index or other unusual or extraordinary circumstance.
The Sub-fund will not lend its portfolio securities. The Sub-fund may pay the Investment Manager, Sub-Investment Manager and/or an affiliate fees and expenses related to the provision of custodial, administrative, bookkeeping, and accounting services, transfer agency and shareholder servicing, and other services that the Investment Manager and/or Sub-Investment Manager may from time to time consider necessary or appropriate. The Sub-fund may invest in other investment funds that qualify as UCITS or other UCIs within the meaning of Section 7.1. (d) of Chapter 7 "Investment Limits" in the main body of the Prospectus. Such UCITS or other UCIs may include entities sponsored, managed, or otherwise affiliated with the Investment Manager. See "General Risk Factors" and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments” in the Prospectus.
An investment in the Sub-fund may be subject to taxation. Potential Shareholders should consult their own tax counsel as to the specific tax consequences of an investment in the Sub-fund.
Certain Risk Controls. The Investment Manager and Sub-Investment Manager monitor the overall risk of the Sub-fund, in order to seek to avoid unintended risk exposure relative to the Index. The Investment Manager and Sub-Investment Manager attempt to manage risk by, among other things, monitoring industry and sector weights and deviations from the Index, maintaining diversification, and performing on-going reviews of company fundamentals and valuations.
Other. The Barclays Capital Global Aggregate Bond Index is a service mark of Barclays Capital, Inc. (“Barclays Capital”), which expression shall include any of its affiliates) and has been licensed for use for certain purposes by the Company. The Sub-fund is not sponsored, endorsed, sold or promoted by Barclays Capital. Barclays Capital makes no representation or warranty, express or implied, to the owners of the Sub-fund or any member of the public regarding the advisability of investing in securities generally or in the licensing of certain information, data, trademarks and trade names of Barclays Capital. The Index is determined, composed and calculated by Barclays without regard to the Company or the Sub-fund. Barclays Capital has no obligation to take the needs of the Company or the Shareholders of the Sub-fund into consideration in determining, composing or calculating the Index. Barclays Capital is not responsible for and has not participated in the determination of the prices and amount of the Sub-fund or the timing of the issuance or sale of the Sub-fund or in the determination or calculation of the equation by which the Sub-fund is to be converted into cash. Barclays Capital has no obligation or liability in connection with the administration, marketing or trading of the Sub-fund.
BARCLAYS CAPITAL DOES NOT GUARANTEE THE QUALITY, ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN, OR OTHERWISE OBTAINED BY THE COMPANY OR ITS SUB-FUND, OR ANY OTHER PERSON OR ENTITYFROM THE USE OF THE INDEX IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. BARCLAYS CAPITAL MAKES NO EXPRESS OR IMPLIED WARRANTIES AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OF FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL BARCLAYS CAPITAL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
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3. Investment limits of the Sub-fundThe investment and borrowing restrictions set out in the Prospectus apply in their entirety to the Sub-fund.
4. Risk FactorsPotential Shareholders should consider the risk factors set forth in the Prospectus under the sections entititled “General Risk Factors” and “Risks Associated with the Use of Derivitives and Other Special Investment Techniques and Financial Instruments.”
The Sub-fund is considered a non-sophisticated fund and is available to institutional and private investors. Investors should understand that an investment in Shares does not constitute a complete investment program and that investors should have the financial resources necessary to withstand the risks that may be involved in the Sub-fund’s investment program.
In relation to investments in derivatives, the use of these instruments involves special risks including (i) dependence on the ability to predict movements in the prices of securities underlying the derivative instruments and movements in interest or currency rates; (ii) imperfect correlation between the derivative instruments and the securities or market sectors to which they relate; (iii) greater volatility than the securities and/or markets to which they relate; (iv) liquidity risk when, for example, a particular derivative instrument is difficult to purchase or sell; (v) market risk, where the market value of the derivative changes in a way that is detrimental to the Sub-fund; (vi) counterparty risk, where the counterparty with which the Sub-fund trades becomes insolvent, bankrupt or defaults; (vii) settlement risk, where a counterparty defaults in settling a trade; and (viii) legal risk, where the enforceability of a derivative contract may be an issue. See “Special Investment Techniques and Financial Instruments” in the Prospectus.
The Company will, on request, provide supplementary information to Shareholders relating to the risk management process employed including the quantitative limits that are applied and any recent developments in the risk and yield characteristics of the main categories of investment.
5. Investment Manager and Sub-Investment ManagerState Street Global Advisors France S.A. has been appointed Investment Manager for the Sub-fund. State Street Global Advisors France S.A. is a company duly authorised by the AMF (French financial markets authority) on 3rd June 1997, under number 97-044. Registered office: Immeuble Defense Plaza, 23-25 Rue Delariviere-Lefoullon 92062, France. Form of incorporation: Societe Anonyme, French company limited by shares. The Investment Manager has delegated investment decision making authority to State Street Global Advisors Limited, a wholly-owned subsidiary of State Street Bank Europe Limited, itself a subsidiary of State Street Bank and Trust Company, which in turn is a subsdiary of State Street Corporation (the “Sub-Investment Manager”). The Sub-Investment Manager has its principal offices located at 20 Churchill Place, Canary Wharf, London E14 5HJ, United Kingdom. The Sub-Investment Manager has delegated certain, limited investment decision making authority to State Street Global Advisors, a division of State Street Bank and Trust Company, which is the investment management division of StateStreet Bank and Trust Company, a Massachusetts trust company, and has its principal offices located at 1 Lincoln Street, Boston, Massachusetts 02111, USA.
6. Valuation Date and Fixed TimeThe Net Asset Value of the Sub-fund will be calculated by the Administrator as at each Valuation Point in accordance with the requirements of the Articles and full details are set forth under the headings “Calculation of Net Asset Value” in the Prospectus. The Net Asset Value of the Sub-fund will be expressed in its Base Currency.
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7. DividendsAll classes of Shares of the Sub-fund will be accumulating Shares, and therefore, dividends or other distributions out of the Sub-fund’s profits will not normally be paid to Shareholders.
8. Fees and ExpensesThe Sub-fund shall bear its attributable proportion of the organisational and operating expenses of the Company. These are set out in detail under the heading “Fees and Expenses” in the Prospectus. In addition to the fees and expenses described below, Shareholders should read the section in the Prospectus entitled “Fees and Expenses” for a description of other fees and expenses that may apply to their investment in the Sub-fund.
The Sub-fund will pay the following management fee:
For Class P Shares, up to 0.30% of the average daily Net Asset Value; For Class I Shares, up to 0.15% of the average daily Net Asset Value.
These management fees will be accrued daily based on the Net Asset Value of the Sub-fund as of the relevant Dealing Day and will be paid monthly in arrears. The Investment Manager will discharge from these management fees the fees of the Sub-Investment Manager.
The total expense ratios attributable to the Share classes of the Sub-fund, as set out below, incorporate the fees and expenses of the Investment Manager (and the Sub-Investment Manager), Administrator and Custodian, any distribution fee not covered by the subscription fee where appropriate, and certain other expenses of the Sub-fund set forth in Section 23.1 of the Prospectus. The Investment Manager has voluntarily agreed to temporarily reimburse such portions of its fees as is necessary to ensure that the total expense ratio attributable to all Shares shall currently not exceed the following rates:
For the Class P Shares, 0.40% of the average daily Net Asset Value; For the Class I Shares, 0.25% of the average daily Net Asset Value.
9. Subscriptions - Application Procedures
All applicants, whether applying in writing or by facsimile, must complete the Application Form prescribed by the Directors (the “Application Form”). An Application Form for additional Shares may be submitted by facsimile provided the Administrator has received the original Application Form for the initial subscription of Shares. Application Forms may be obtained from the Administrator and set out the methods by which and to whom the subscription monies should be sent. Application Forms shall be irrevocable (unless otherwise agreed with the Directors) and may be sent by facsimile at the risk of the applicant. The Application Form should be received by the Administrator, by 11.00 a.m. (Central European Time) on the relevant Dealing Day. Any Application Form received after such time will be deemed received as of the next Dealing Day. The originally executed Application Form for the initial subscription, along with supporting documentation in relation to money laundering prevention checks, should be received by the Administrator within five (5) Business Days after the electronically transmitted (by facsimile only) Application Form is sent to the Administrator.
Failure to provide the original Application Form by such time may, at the discretion of the Directors, result in the rejection of the application and any monies received will be returned to the applicant (minus any handling charge incurred in any such return) as soon as possible by wire transfer (but without interest, costs or compensation) or in the compulsory redemption of the Shares. In any event, applicants will be unable to redeem Shares on request until the original Application Form has been received and all anti-money laundering checks completed and supporting documentation received.
In addition to the Application Form, applicants may be requested to provide other information (e.g. as to identity and corporate authorisation). Failure to provide such information may delay the processing of the application.
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Fractions: Subscription monies representing less than the Subscription Price for a Share will not be returned to the applicant. Fractions of Shares will be issued where any part of the subscription monies for Shares represents less than the Subscription Price for one Share, provided however, that fractions shall not be less than .0001 of a Share. Subscription monies, representing less than .0001 of a Share will not be returned to the applicant but will be retained by the Sub-fund in order to defray administration costs.
Offer Periods and Related Pricing: Applications for Shares during the Initial Offer Period must be received and accepted during the Initial Offer Period. Settlement proceeds must also be received in cleared funds within the Initial Offer Period, or such later period as the Directors may in their absolute discretion determine.
The Subscription Price for Shares during the Initial Offer Period is the Initial Offer Price(together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Shareholders should also note that an Anti-Dilution Levy may be included in the Initial Offer Price.
After the Initial Offer Period for any class of Shares has expired, Shares will be issued at the then applicable Subscription Price per Share, which is based on the Net Asset Value per Share. See also the section entitled “Pricing” below.
Pricing: Except during the Initial Offer Period, all subscriptions will be dealt on a “forward” pricing basis, i.e. by reference to the Subscription Price for Shares calculated as at the Valuation Point for the relevant Dealing Day (together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Subscription Price (please see Sections 19.1 and 23.4 of the Prospectus). Any Application Forms received after the relevant time for receipt will normally be held over until the next Dealing Day.
10. Payment of Subscription Monies
Method and Currency of Payment: Subscription payments net of all bank charges must be made in US Dollars and should be paid by wire transfer to the bank account specified in the Application Form. Other methods of payment are subject to the prior approval of the Directors with the agreement of the Administrator. No interest will be paid in respect of payments received in circumstances where the application is held over to the next Dealing Day.
Timing of Payment: Payment in respect of subscriptions must be received in cleared funds by 5.00 p.m. (Central European Time) on the third Business Day following the relevant Dealing Day or on such other day as the Directors may determine.
Payment: If payment in cleared funds in respect of a subscription has not been received by the time specified above, any allotment of Shares made in respect of such application may be cancelled. In the event of the non-clearance of subscription monies, any allotment in respect of an application shall be cancelled. In either event and notwithstanding cancellation of the application, the Directors may charge the applicant for any expense incurred by the Company or the Sub-fund or for any loss to the Sub-fund arising out of such non-receipt or non-clearance. In addition, the Directors will have the right to sell all or part of the applicant’s holding of Shares in the relevant class or any other Sub-fund in order to meet those charges.
11. Minimum Subscriptions/Holdings
Initial Subscriptions: The minimum initial subscription amounts for the Shares are as follows:
$50,000 (or less at the discretion of the Directors) for Class I Shares; and The value of a single Share for Class P Shares.
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Subsequent Subscriptions: Any subsequent subscription amounts for Shares shall be in accordance with the following:
For Class I Shares, a minimum of $5,000 (or less at the discretion of the Directors); and A minimum of the value of a single Share for Class P Shares.
Minimum Holdings: Any Shareholder who redeems or otherwise disposes of part of his holding must maintain the following minimum holdings in the Sub-fund:
Not less than $5,000 for Class I Shares (or less at the discretion of the Directors); and Not less than the value of a single Share in respect of Class P Shares.
The Company may redeem the remaining holdings of any Shareholder who redeems his holdings below the foregoing minimums.
12. Redemptions
Redemption Procedure: Every Shareholder will have the right to require the Company to redeem his Shares in the Sub-fund on any Dealing Day (save during any period when the calculation of the Net Asset Value is suspended or the redemption of Shares is limited in the circumstances set forth in the Prospectus) on furnishing to the Administrator a redemption request in the form of a completed Redemption Form. Shares may be redeemed only by written application or by facsimile through the Administrator.
Redemption Pricing: All redemption requests are dealt with on a “forward” pricing basis, i.e. by reference to the Redemption Price for Shares calculated as at the Valuation Point for the relevant Dealing Day and by deducting a redemption fee of up to 3% of the Redemption Price per Share for the benefit of the Sub-fund, where at the discretion of the Directors it is considered to be equitable for the Shareholders as a whole. Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Redemption Price (please see the Sections 19.2 and 23.4 of the Prospectus).
Redemption Form: All applicants must complete the Redemption Form prescribed by the Directors. Redemption Forms may be obtained from the Administrator. A redemption request may be made in writing or by facsimile by a Shareholder but if the account details for redemption payments are different from those set out in the Application Form, the original Redemption Form will be required by the Administrator and verification of the details may be required. The Redemption Form sets out the method by which and to whom redemption monies will be sent.
Redemption Forms must be received by 11.00 a.m. (Central European Time) on the relevant Dealing Day.
If the Redemption Form is received after the relevant time for receipt thereof it shall be treated as a request for redemption on the Dealing Day following such receipt. In extraordinary circumstances, Redemption Forms may be accepted for redemption if received prior to the Valuation Point on the relevant Dealing Day, at the discretion of the Directors, and Shares will be redeemed at the Redemption Price for that day. Shares will be redeemed at the Redemption Price calculated as at the Valuation Point for the relevant Dealing Day.
Redemptions shall be irrevocable and may be sent by facsimile at the risk of the relevant Shareholder. No redemption proceeds will be paid out unless an original initial Application Form is received by the Administrator, together with any other documents required by the Administrator, and cleared funds were received in connection with the original subscription.
Method and Currency of Payment: Redemption payments will be made in US Dollars to the bank account detailed on the Redemption Form.
Timing of Payment: Redemption proceeds in respect of Shares will be paid on the third Business Day following the relevant Dealing Day, or such other day as the Directors may determine,
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provided that all the required documentation has been furnished to and received by the Administrator.
In the case of a partial redemption of a Shareholder's holding, the Administrator will advise the Shareholder of the remaining Shares held by him.
Fractions: Apart from circumstances in which a Shareholder is redeeming his entire holding of Shares:-
(a) fractions of Shares will be issued where any part of the redemption monies for Shares represents less than the Redemption Price for one Share, provided however that fractions shall not be less than .0001 of a Share; and
(b) redemption monies, representing less than .0001 of a Share will not be returned to a Shareholder but will be retained by the Directors in order to defray administration costs.
Switching: Shareholders of other sub-funds of the Company may switch into the Sub-fund. Furthermore, Shareholders in the Sub-fund may switch into other sub-funds of the Company. Switches are in principle only permitted from one Class of Shares in a sub-fund to the same Class of Shares of another sub-fund, unless the investor fulfils the eligibility criteria of the Class of Shares to be switched into.
Shares can be switched on any Dealing Day which is a Dealing Day for both sub-funds at the Subscription Price valid on that date, provided the application for switching is received by the Company (for the attention of the Administrator) by 11:00 a.m., Central European Time (cut-off time) on the relevant Dealing Day. The provisions relating to the cut-off time and forward pricing also apply concerning switching of Shares and are described in full in this Supplement and the Prospectus.
Applications should be addressed directly to State Street Bank Luxembourg S.A., acting as transfer agent for the Company, or otherwise through one of the Distributors. The application must contain the following information: the number of Shares in the old and new sub-funds and the value ratio according to which the Shares in each sub-fund are to be divided if more than one new sub-fund is intended.
Further detail can be found in the Prospectus under the sub-heading “Switching.”
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STATE STREET GLOBAL ADVISORS LUXEMBOURG SICAV
Supplement No. 7
SSgA Euro Treasury Bond Index Fund
DATED: MARCH 2011
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INTRODUCTION
State Street Global Advisors Luxembourg SICAV (the “Company”) is authorised in Luxembourg by the Commission de Surveillance du Secteur Financier (the “CSSF”) as a UCITS for the purposes of the 2002 Law. The Company is an open-ended umbrella investment company with segregated liability between sub-funds and variable capital.
This Supplement contains information relating to the Shares of the SSgA Euro Treasury Bond Index Fund (the “Sub-fund”), which is a separate sub-fund of the Company. This Supplement forms part of and should be read in the context of and together with the general description of the Company contained in the current Prospectus.
As of the date of this Supplement, the Company currently offers the following Share classes of the Sub-fund:
Class I Shares
Class P Shares
Class I Shares are reserved for institutional investors as defined in Articles 174 to 176 of the 2010 Law. Class P Shares are available to retail and institutional investors. Further, the Company may, at a future date, create and offer additional Share classes for the Sub-fund.
The Company does not intend to list any Class of Shares of the Sub-fund on the Luxembourg Stock Exchange.
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DEFINITIONS
Unless otherwise defined herein or unless the context otherwise requires all defined terms used in this Supplement shall bear the same meaning as in the Prospectus.
Base Currency Euros
Business Day (i) Any day on which banks are open for business in Luxembourg and the United Kingdom (excluding Saturday, Sunday and public holidays)provided always that the London Stock Exchange is open for business on such day; and (ii) weekdays other than days on which the Trans-European Automated Real-Time Gross Settlement Express Transfer (“TARGET”), the Eurosystem interbank funds transfer system, is closed for business.
Dealing Day Each full bank Business Day.
Redemption Price The redemption price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Redemption.”
Shares The: (i) Class I Shares; and (ii) Class P Shares in the Sub-fund to be issued in accordance with this Supplement and the Prospectus.
Subscription Price The subscription price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Subscription.”
Valuation Point Such time on a Dealing Day as the Directors may from time to time determine at which the Net Asset Value and the Net Asset Value per Share of the Sub-fund is calculated.
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1. Issue of Sub-fund sharesClass I Shares and Class P Shares in the Sub-fund are available for purchase on each Dealing Day and, as described below, are offered at the applicable Subscription Price per Share, plus a subscription fee of up to 3% of the issue price.
2. Investment objectives and investment policyInvestment objective. The investment objective of the Sub-fund is to seek to track as closely as reasonably possible the performance of the Barclays Capital Euro Treasury Bond Index (the “Index”). The Index is the Treasury component of the Barclays Capital Euro Government Bond Index, itself a sub-sector of the Barclays Capital Euro-Aggregate Bond Index.
Principal investment strategies. In order to achieve this objective, the Sub-fund will invest primarily in the investment grade government securities of the Index, subject to the restrictions set forth in the Prospectus.
While the securities comprised in the Index will generally be investment grade securities, they may, from time to time, have their rating downgraded from investment grade. The Sub-fund may continue to hold such investments for so long as they are comprised in the Index or, if in the opinion of the Sub-Investment Manager (as defined in Section 5 below), the security is likely, within a reasonable period of time, to regain its investment grade rating and be restored to the Index.
The Sub-Investment Manager will employ such investment methodology(ies) as it determines is most appropriate to achieve the investment objective of the Sub-fund. As part of these investment methodologies, the Sub-Investment Manager may, for the purpose of efficient portfolio management and in accordance with the conditions and limits imposed by the CSSF combine the purchase of securities with the use of fixed income derivative instruments. These transactions will be implemented within a maximum limit of 100% of the Sub-fund's assets provided however that they will not be used to gain exposure to transferable securities in excess of that permitted by the 2002 Law.
Although the Sub-Investment Manager may consider the factors described above in purchasing or selling investments for the Sub-fund, the Sub-Investment Manager may purchase, sell, or continue to hold an investment for the Sub-fund whenever it believes that doing so may benefit the Sub-fund, on the basis of any of the factors described above or any other factors.
Principal investments. The Sub-fund will invest primarily in securities that are included in the Index or that closely reflect the securities that constitute the Index. The Index is a market capitalisation weighted benchmark of Euro denominated debt of European Monetary Union (“EMU”) participating countries.
The composition of the Sub-fund’s investment portfolio may be adjusted from time to time to reflect changes in the Index and, in particular, in its composition and/or weighting. Where the Sub-Investment Manager deems necessary with a view to the investment methodology applied by the Sub-Investment Manager at the time, it will adjust the composition and weighting of Investments held by the Sub-fund to reflect the change, subject to the 2002 Law and its discretion in implementing the Sub-fund’s investment objective. However, it will not always be possible to invest in all of the investments comprising the Index or to do so in the weightings in which they are included in that Index. In particular, this may result from the application of the investment and borrowing restrictions set forth in the Prospectus, the operating expenses of the Sub-fund, temporary illiquidity or unavailability of an investment comprised in the Index or other unusual or extraordinary circumstance.
The Sub-fund will not lend its portfolio securities. The Sub-fund may pay the Investment Manager, Sub-Investment Manager and/or an affiliate fees and expenses related to the provision
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of custodial, administrative, bookkeeping, and accounting services, transfer agency and shareholder servicing, and other services that the Investment Manager and/or Sub-Investment Manager may from time to time consider necessary or appropriate. The Sub-fund may invest in other investment funds that qualify as UCITS or other UCIs within the meaning of Section 7.1. (d) of Chapter 7 "Investment Limits" in the main body of the Prospectus. Such UCITS or other UCIs may include entities sponsored, managed, or otherwise affiliated with the Investment Manager. See "General Risk Factors" and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments” in the Prospectus.
An investment in the Sub-fund may be subject to taxation. Potential Shareholders should consult their own tax counsel as to the specific tax consequences of an investment in the Sub-fund.
Certain Risk Controls. The Investment Manager and Sub-Investment Manager monitor the overall risk of the Sub-fund, in order to seek to avoid unintended risk exposure relative to the Index. The Investment Manager and Sub-Investment Manager attempt to manage risk by, among other things, monitoring industry and sector weights and deviations from the Index, maintaining diversification, and performing on-going reviews of company fundamentals and valuations.
Other. The Barclays Capital Euro Treasury Bond Index is a service mark of Barclays Capital, Inc. (“Barclays Capital”), which expression shall include any of its affiliates) and has been licensed for use for certain purposes by the Company. The Sub-fund is not sponsored, endorsed, sold or promoted by Barclays Capital. Barclays Capital makes no representation or warranty, express or implied, to the owners of the Sub-fund or any member of the public regarding the advisability of investing in securities generally or in the licensing of certain information, data, trademarks and trade names of Barclays Capital. The Index is determined, composed and calculated by Barclays without regard to the Company or the Sub-fund. Barclays Capital has no obligation to take the needs of the Company or the Shareholders of the Sub-fund into consideration in determining, composing or calculating the Index. Barclays Capital is not responsible for and has not participated in the determination of the prices and amount of the Sub-fund or the timing of the issuance or sale of the Sub-fund or in the determination or calculation of the equation by which the Sub-fund is to be converted into cash. Barclays Capital has no obligation or liability in connection with the administration, marketing or trading of the Sub-fund.
BARCLAYS CAPITAL DOES NOT GUARANTEE THE QUALITY, ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN, OR OTHERWISE OBTAINED BY THE COMPANY OR ITS SUB-FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. BARCLAYS CAPITAL MAKES NO EXPRESS OR IMPLIED WARRANTIES AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OF FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL BARCLAYS CAPITAL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
3. Investment limits of the Sub-fundThe investment and borrowing restrictions set out in the Prospectus apply in their entirety to the Sub-fund.
4. Risk FactorsPotential Shareholders should consider the risk factors set forth in the Prospectus under the sections entititled “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
The Sub-fund is considered a non-sophisticated fund and is available to institutional and private investors. Investors should understand that an investment in Shares does not constitute a
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complete investment program and that investors should have the financial resources necessary to withstand the risks that may be involved in the Sub-fund’s investment program.
In relation to investments in derivatives, the use of these instruments involves special risks including (i) dependence on the ability to predict movements in the prices of securities underlying the derivative instruments and movements in interest or currency rates; (ii) imperfect correlation between the derivative instruments and the securities or market sectors to which they relate; (iii) greater volatility than the securities and/or markets to which they relate; (iv) liquidity risk when, for example, a particular derivative instrument is difficult to purchase or sell; (v) market risk, where the market value of the derivative changes in a way that is detrimental to the Sub-fund; (vi) counterparty risk, where the counterparty with which the Sub-fund trades becomes insolvent, bankrupt or defaults; (vii) settlement risk, where a counterparty defaults in settling a trade; and (viii) legal risk, where the enforceability of a derivative contract may be an issue. See “Special Investment Techniques and Financial Instruments” in the Prospectus.
The Company will, on request, provide supplementary information to Shareholders relating to the risk management process employed including the quantitative limits that are applied and any recent developments in the risk and yield characteristics of the main categories of investment.
5. Investment Manager and Sub-Investment ManagerState Street Global Advisors France S.A. has been appointed Investment Manager for the Sub-fund. State Street Global Advisors France S.A. is a company duly authorised by the AMF (French financial markets authority) on 3rd June 1997, under number 97-044. Registered office: Immeuble Defense Plaza, 23-25 Rue Delariviere-Lefoullon 92062, France. Form of incorporation: Societe Anonyme, French company limited by shares. The Investment Manager has delegated investment decision making authority to State Street Global Advisors Limited, a wholly-owned subsidiary of State Street Bank Europe Limited, itself a subsidiary of State Street Bank and Trust Company, which in turn is a subsdiary of State Street Corporation (the “Sub-Investment Manager”). The Sub-Investment Manager has its principal offices located at 20 Churchill Place, Canary Wharf, London E14 5HJ, United Kingdom.
6. Valuation Date and Fixed TimeThe Net Asset Value of the Sub-fund will be calculated by the Administrator as at each Valuation Point in accordance with the requirements of the Articles and full details are set forth under the headings “Calculation of Net Asset Value” in the Prospectus. The Net Asset Value of the Sub-fund will be expressed in its Base Currency.
7. DividendsAll classes of Shares of the Sub-fund will be accumulating Shares, and therefore, dividends or other distributions out of the Sub-fund’s profits will not normally be paid to Shareholders.
8. Fees and ExpensesThe Sub-fund shall bear its attributable proportion of the organisational and operating expenses of the Company. These are set out in detail under the heading “Fees and Expenses” in the Prospectus. In addition to the fees and expenses described below, Shareholders should read the section in the Prospectus entitled “Fees and Expenses” for a description of other fees and expenses that may apply to their investment in the Sub-fund.
The Sub-fund will pay the following management fee:
For Class P Shares, up to 0.30% of the average daily Net Asset Value; For Class I Shares, up to 0.15% of the average daily Net Asset Value.
These management fees will be accrued daily based on the Net Asset Value of the Sub-fund as of the relevant Dealing Day and will be paid monthly in arrears. The Investment Manager will
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discharge from these management fees the fees of the Sub-Investment Manager.
The total expense ratios attributable to the Share classes of the Sub-fund, as set out below, incorporate the fees and expenses of the Investment Manager (and the Sub-Investment Manager), Administrator and Custodian, any distribution fee not covered by the subscription fee where appropriate, and certain other expenses of the Sub-fund set forth in Section 23.1 of the Prospectus. The Investment Manager has voluntarily agreed to temporarily reimburse such portions of its fees as is necessary to ensure that the total expense ratio attributable to all Shares shall currently not exceed the following rates:
For the Class P Shares, 0.40% of the average daily Net Asset Value; For the Class I Shares, 0.25% of the average daily Net Asset Value.
9. Subscriptions - Application Procedures
All applicants, whether applying in writing or by facsimile, must complete the Application Form prescribed by the Directors (the “Application Form”). An Application Form for additional Shares may be submitted by facsimile provided the Administrator has received the original Application Form for the initial subscription of Shares. Application Forms may be obtained from the Administrator and set out the methods by which and to whom the subscription monies should be sent. Application Forms shall be irrevocable (unless otherwise agreed with the Directors) and may be sent by facsimile at the risk of the applicant. The Application Form should be received by the Administrator, by 11.00 a.m. (Central European Time) on the relevant Dealing Day. Any Application Form received after such time will be deemed received as of the next Dealing Day. The originally executed Application Form for the initial subscription, along with supporting documentation in relation to money laundering prevention checks, should be received by the Administrator within five (5) Business Days after the electronically transmitted (by facsimile only) Application Form is sent to the Administrator.
Failure to provide the original Application Form by such time may, at the discretion of the Directors, result in the rejection of the application and any monies received will be returned to the applicant (minus any handling charge incurred in any such return) as soon as possible by wire transfer (but without interest, costs or compensation) or in the compulsory redemption of the Shares. In any event, applicants will be unable to redeem Shares on request until the original Application Form has been received and all anti-money laundering checks completed and supporting documentation received.
In addition to the Application Form, applicants may be requested to provide other information (e.g. as to identity and corporate authorisation). Failure to provide such information may delay the processing of the application.
Fractions: Subscription monies representing less than the Subscription Price for a Share will not be returned to the applicant. Fractions of Shares will be issued where any part of the subscription monies for Shares represents less than the Subscription Price for one Share, provided however, that fractions shall not be less than .0001 of a Share. Subscription monies, representing less than .0001 of a Share will not be returned to the applicant but will be retained by the Sub-fund in order to defray administration costs.
Offer Periods and Related Pricing: Applications for Shares during the Initial Offer Period must be received and accepted during the Initial Offer Period. Settlement proceeds must also be received in cleared funds within the Initial Offer Period, or such later period as the Directors may in their absolute discretion determine.
The Subscription Price for Shares during the Initial Offer Period is the Initial Offer Price(together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Shareholders should also note that an Anti-Dilution Levy may be included in the Initial Offer Price.
After the Initial Offer Period for any class of Shares has expired, Shares will be issued at the then applicable Subscription Price per Share, which is based on the Net Asset Value per Share.
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Currently, the Class I Shares and Class P Shares are offered at the applicable Subscription Price per Share. See also the section entitled “Pricing” below.
Pricing: Except during the Initial Offer Period, all subscriptions will be dealt on a “forward” pricing basis, i.e. by reference to the Subscription Price for Shares calculated as at the Valuation Point for the relevant Dealing Day (together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Subscription Price (please see Sections 19.1 and 23.4 of the Prospectus). Any Application Forms received after the relevant time for receipt will normally be held over until the next Dealing Day.
10. Payment of Subscription Monies
Method and Currency of Payment: Subscription payments net of all bank charges must be made in Euros and should be paid by wire transfer to the bank account specified in the Application Form. Other methods of payment are subject to the prior approval of the Directors with the agreement of the Administrator. No interest will be paid in respect of payments received in circumstances where the application is held over to the next Dealing Day.
Timing of Payment: Payment in respect of subscriptions must be received in cleared funds by 5.00 p.m. (Central European Time) on the third Business Day following the relevant Dealing Day or on such other day as the Directors may determine.
Payment: If payment in cleared funds in respect of a subscription has not been received by the time specified above, any allotment of Shares made in respect of such application may be cancelled. In the event of the non-clearance of subscription monies, any allotment in respect of an application shall be cancelled. In either event and notwithstanding cancellation of the application, the Directors may charge the applicant for any expense incurred by the Company or the Sub-fund or for any loss to the Sub-fund arising out of such non-receipt or non-clearance. In addition, the Directors will have the right to sell all or part of the applicant’s holding of Shares in the relevant class or any other Sub-fund in order to meet those charges.
11. Minimum Subscriptions/Holdings
Initial Subscriptions: The minimum initial subscription amounts for the Shares are as follows:
€50,000 (or less at the discretion of the Directors) for Class I Shares; and The value of a single Share for Class P Shares.
Subsequent Subscriptions: Any subsequent subscription amounts for Shares shall be in accordance with the following:
For Class I Shares, a minimum of €5,000 (or less at the discretion of the Directors); and A minimum of the value of a single Share for Class P Shares.
Minimum Holdings: Any Shareholder who redeems or otherwise disposes of part of his holding must maintain the following minimum holdings in the Sub-fund:
Not less than €5,000 for Class I Shares (or less at the discretion of the Directors); and Not less than the value of a single Share in respect of Class P Shares.
The Company may redeem the remaining holdings of any Shareholder who redeems his holdings below the foregoing minimums.
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12. Redemptions
Redemption Procedure: Every Shareholder will have the right to require the Company to redeem his Shares in the Sub-fund on any Dealing Day (save during any period when the calculation of the Net Asset Value is suspended or the redemption of Shares is limited in the circumstances set forth in the Prospectus) on furnishing to the Administrator a redemption request in the form of a completed Redemption Form. Shares may be redeemed only by written application or by facsimile through the Administrator.
Redemption Pricing: All redemption requests are dealt with on a “forward” pricing basis, i.e. by reference to the Redemption Price for Shares calculated as at the Valuation Point for the relevant Dealing Day and by deducting a redemption fee of up to 3% of the Redemption Price per Share for the benefit of the Sub-fund, where at the discretion of the Directors it is considered to be equitable for the Shareholders as a whole. Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Redemption Price (please see Sections 19.2 and 23.4 of the Prospectus).
Redemption Form: All applicants must complete the Redemption Form prescribed by the Directors. Redemption Forms may be obtained from the Administrator. A redemption request may be made in writing or by facsimile by a Shareholder but if the account details for redemption payments are different from those set out in the Application Form, the original Redemption Form will be required by the Administrator and verification of the details may be required. The Redemption Form sets out the method by which and to whom redemption monies will be sent.
Redemption Forms must be received by 11.00 a.m. (Central European Time) on the relevant Dealing Day.
If the Redemption Form is received after the relevant time for receipt thereof it shall be treated as a request for redemption on the Dealing Day following such receipt. In extraordinary circumstances, Redemption Forms may be accepted for redemption if received prior to the Valuation Point on the relevant Dealing Day, at the discretion of the Directors, and Shares will be redeemed at the Redemption Price for that day. Shares will be redeemed at the Redemption Price calculated as at the Valuation Point for the relevant Dealing Day.
Redemptions shall be irrevocable and may be sent by facsimile at the risk of the relevant Shareholder. No redemption proceeds will be paid out unless an original initial Application Form is received by the Administrator, together with any other documents required by the Administrator, and cleared funds were received in connection with the original subscription.
Method and Currency of Payment: Redemption payments will be made in Euros to the bank account detailed on the Redemption Form.
Timing of Payment: Redemption proceeds in respect of Shares will be paid on the third Business Day following the relevant Dealing Day, or such other day as the Directors may determine,provided that all the required documentation has been furnished to and received by the Administrator.
In the case of a partial redemption of a Shareholder's holding, the Administrator will advise the Shareholder of the remaining Shares held by him.
Fractions: Apart from circumstances in which a Shareholder is redeeming his entire holding of Shares:-
(a) fractions of Shares will be issued where any part of the redemption monies for Shares represents less than the Redemption Price for one Share, provided however that fractions shall not be less than .0001 of a Share; and
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(b) redemption monies, representing less than .0001 of a Share will not be returned to a Shareholder but will be retained by the Directors in order to defray administration costs.
Switching: Shareholders of other sub-funds of the Company may switch into the Sub-fund. Furthermore, Shareholders in the Sub-fund may switch into other sub-funds of the Company. Switches are in principle only permitted from one Class of Shares in a sub-fund to the same Class of Shares of another sub-fund, unless the investor fulfils the eligibility criteria of the Class of Shares to be switched into.
Shares can be switched on any Dealing Day which is a Dealing Day for both sub-funds at the Subscription Price valid on that date, provided the application for switching is received by the Company (for the attention of the Administrator) by 11:00 a.m., Central European Time (cut-off time) on the relevant Dealing Day. The provisions relating to the cut-off time and forward pricing also apply concerning switching of Shares and are described in full in this Supplement and the Prospectus.
Applications should be addressed directly to State Street Bank Luxembourg S.A., acting as transfer agent for the Company, or otherwise through one of the Distributors. The application must contain the following information: the number of Shares in the old and new sub-funds and the value ratio according to which the Shares in each sub-fund are to be divided if more than one new sub-fund is intended.
Further detail can be found in the Prospectus under the sub-heading “Switching.”
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STATE STREET GLOBAL ADVISORS LUXEMBOURG SICAV
Supplement No. 8
SSgA Global Treasury Bond Index Fund
DATED: MARCH 2011
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INTRODUCTION
State Street Global Advisors Luxembourg SICAV (the “Company”) is authorised in Luxembourg by the Commission de Surveillance du Secteur Financier (the “CSSF”) as a UCITS for the purposes of the 2002 Law. The Company is an open-ended umbrella investment company with segregated liability between sub-funds and variable capital.
This Supplement contains information relating to the Shares of the SSgA Global Treasury Bond Index Fund (the “Sub-fund”), which is a separate sub-fund of the Company. This Supplement forms part of and should be read in the context of and together with the general description of the Company contained in the current Prospectus.
As of the date of this Supplement, the Company currently offers the following Share classes of the Sub-fund:
Class I Shares
Class I USD Hedged Shares
Class P Shares
Class I Shares and Class I USD Hedged Shares are reserved for institutional investors as defined in Articles 174 to 176 of the 2010 Law. Class P Shares are available to retail and institutional investors. Further, the Company may, at a future date, create and offer additional Share classes for the Sub-fund.
The Company does not intend to list any Class of Shares of the Sub-fund on the Luxembourg Stock Exchange.
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DEFINITIONS
Unless otherwise defined herein or unless the context otherwise requires all defined terms used in this Supplement shall bear the same meaning as in the Prospectus.
Base Currency US Dollars
Business Day (i) Any day on which banks are open for business in Luxembourg, the United Kingdom and New York (excluding Saturday, Sunday and public holidays) provided always that the London Stock Exchange is open for business on such day; and (ii) weekdays other than days on which the Trans-European Automated Real-Time Gross Settlement Express Transfer (“TARGET”), the Eurosystem interbank funds transfer system, is closed for business.
Dealing Day Each full bank Business Day.
Redemption Price The redemption price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Redemption.”
Shares The: (i) Class I Shares; (ii) Class I USD Hedged Shares; and (iii) Class PShares in the Sub-fund to be issued in accordance with this Supplement and the Prospectus.
Subscription Price The subscription price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Subscription.”
Valuation Point Such time on a Dealing Day as the Directors may from time to time determine at which the Net Asset Value and the Net Asset Value per Share of the Sub-fund is calculated.
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1. Issue of Sub-fund sharesClass I Shares, Class I USD Hedged Shares and Class P Shares in the Sub-fund are available for purchase on each Dealing Day and, as described below, are offered at the applicable Subscription Price per Share, plus a subscription fee of up to 3% of the issue price.
2. Investment objectives and investment policyInvestment objective. The investment objective of the Sub-fund is to seek to track as closely as reasonably possible the performance of the Barclays Capital Global Treasury Bond Index (the “Index”), a sub-sector of the Barclays Capital Global Aggregate Bond Index.
Principal investment strategies. In order to achieve this objective, the Sub-fund will invest primarily in the securities of the Index, subject to the restrictions set forth in the Prospectus.
While the securities comprised in the Index will generally be investment grade securities, they may, from time to time, have their rating downgraded from investment grade. The Sub-fund may continue to hold such investments for so long as they are comprised in the Index or, if in the opinion of the Sub-Investment Manager (as defined in Section 5 below), the security is likely, within a reasonable period of time, to regain its investment grade rating and be restored to the Index.
The Sub-Investment Manager will employ such investment methodology(ies) as it determines is most appropriate to achieve the investment objective of the Sub-fund. As part of these investment methodologies, the Sub-Investment Manager may, for the purpose of efficient portfolio management and in accordance with the conditions and limits imposed by the CSSF combine the purchase of securities with the use of fixed income derivative instruments. These transactions will be implemented within a maximum limit of 100% of the Sub-fund's assets provided however that they will not be used to gain exposure to transferable securities in excess of that permitted by the 2002 Law.
Although the Sub-Investment Manager may consider the factors described above in purchasing or selling investments for the Sub-fund, the Sub-Investment Manager may purchase, sell, or continue to hold an investment for the Sub-fund whenever it believes that doing so may benefit the Sub-fund, on the basis of any of the factors described above or any other factors.
Principal investments. The Sub-fund will invest primarily in securities that are included in the Index or that closely reflect the securities that constitute the Index. The three major constituents of the Index are the U.S. Treasury Index, the Pan-European Treasury Index and the Asian-Pacific Treasury Index in addition to Canadian, Chilean, Mexican and South-African government bonds. The Sub-fund may enter into foreign currency exchange transactions, including transactions involving foreign currency forward contracts, futures contracts, and options, which may alter the currency exposure characteristics of securities held by the Sub-fund.
The composition of the Sub-fund’s investment portfolio may be adjusted from time to time to reflect changes in the Index and, in particular, in its composition and/or weighting. Where the Sub-Investment Manager deems necessary with a view to the investment methodology applied by the Sub-Investment Manager at the time, it will adjust the composition and weighting of Investments held by the Sub-fund to reflect the change, subject to the 2002 Law and its discretion in implementing the Sub-fund’s investment objective. However, it will not always be possible to invest in all of the investments comprising the Index or to do so in the weightings in which they are included in that Index. In particular, this may result from the application of the investment and borrowing restrictions set forth in the Prospectus, the operating expenses of the Sub-fund, temporary illiquidity or unavailability of an investment comprised in the Index or other unusual or extraordinary circumstance.
In respect of the Class I USD Hedged Shares, the Sub-Investment Manager will seek to hedge
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back to US Dollars any exposure to any other currency.
The Sub-fund will not lend its portfolio securities. The Sub-fund may pay the Investment Manager, Sub-Investment Manager and/or an affiliate fees and expenses related to the provision of custodial, administrative, bookkeeping, and accounting services, transfer agency and shareholder servicing, and other services that the Investment Manager and/or Sub-Investment Manager may from time to time consider necessary or appropriate. The Sub-fund may invest in other investment funds that qualify as UCITS or other UCIs within the meaning of Section 7.1. (d) of Chapter 7 "Investment Limits" in the main body of the Prospectus. Such UCITS or other UCIs may include entities sponsored, managed, or otherwise affiliated with the Investment Manager. See "General Risk Factors" and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments” in the Prospectus.
An investment in the Sub-fund may be subject to taxation. Potential Shareholders should consult their own tax counsel as to the specific tax consequences of an investment in the Sub-fund.
Certain Risk Controls. The Investment Manager and Sub-Investment Manager monitor the overall risk of the Sub-fund, in order to seek to avoid unintended risk exposure relative to the Index. The Investment Manager and Sub-Investment Manager attempt to manage risk by, among other things, monitoring industry and sector weights and deviations from the Index, maintaining diversification, and performing on-going reviews of company fundamentals and valuations.
Other. The Barclays Capital Global Treasury Bond Index is a service mark of Barclays Capital, Inc. (“Barclays Capital”), which expression shall include any of its affiliates) and has been licensed for use for certain purposes by the Company. The Sub-fund is not sponsored, endorsed, sold or promoted by Barclays Capital. Barclays Capital makes no representation or warranty, express or implied, to the owners of the Sub-fund or any member of the public regarding the advisability of investing in securities generally or in the licensing of certain information, data, trademarks and trade names of Barclays Capital. The Index is determined, composed and calculated by Barclays without regard to the Company or the Sub-fund. Barclays Capital has no obligation to take the needs of the Company or the Shareholders of the Sub-fund into consideration in determining, composing or calculating the Index. Barclays Capital is not responsible for and has not participated in the determination of the prices and amount of the Sub-fund or the timing of the issuance or sale of the Sub-fund or in the determination or calculation of the equation by which the Sub-fund is to be converted into cash. Barclays Capital has no obligation or liability in connection with the administration, marketing or trading of the Sub-fund.
BARCLAYS CAPITAL DOES NOT GUARANTEE THE QUALITY, ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN, OR OTHERWISE OBTAINED BY THE COMPANY OR ITS SUB-FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. BARCLAYS CAPITAL MAKES NO EXPRESS OR IMPLIED WARRANTIES AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OF FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL BARCLAYS CAPITAL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
3. Investment limits of the Sub-fundThe investment and borrowing restrictions set out in the Prospectus apply in their entirety to the Sub-fund.
4. Risk FactorsPotential Shareholders should consider the risk factors set forth in the Prospectus under the
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sections entititled “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
The Sub-fund is considered a non-sophisticated fund and is available to institutional and private investors. Investors should understand that an investment in Shares does not constitute a complete investment program and that investors should have the financial resources necessary to withstand the risks that may be involved in the Sub-fund’s investment program.
In relation to investments in derivatives, the use of these instruments involves special risks including (i) dependence on the ability to predict movements in the prices of securities underlying the derivative instruments and movements in interest or currency rates; (ii) imperfect correlation between the derivative instruments and the securities or market sectors to which they relate; (iii) greater volatility than the securities and/or markets to which they relate; (iv) liquidity risk when, for example, a particular derivative instrument is difficult to purchase or sell; (v) market risk, where the market value of the derivative changes in a way that is detrimental to the Sub-fund; (vi) counterparty risk, where the counterparty with which the Sub-fund trades becomes insolvent, bankrupt or defaults; (vii) settlement risk, where a counterparty defaults in settling a trade; and (viii) legal risk, where the enforceability of a derivative contract may be an issue. See “Special Investment Techniques and Financial Instruments” in the Prospectus.
Risks Relating to Hedged Share Classes. With respect to the Class I USD Hedged Shares (the “Hedged Share Class”), the Sub-Investment Manager will seek to hedge the applicable currency exposure. There can be no guarantee that the Sub-Investment Manager will be successful in such hedging activities. All gains/losses or expenses arising from such hedging transactions are borne separately by the Shareholders of the Hedged Share Class. Given that there is no segregation of liabilities between Share classes of the Sub-fund, there is a risk that, under certain circumstances, currency hedging transactions in relation to the Hedged Share Class could result in liabilities which might affect the Net Asset Value of the other Share classes of the Sub-fund.
The Company will, on request, provide supplementary information to Shareholders relating to the risk management process employed including the quantitative limits that are applied and any recent developments in the risk and yield characteristics of the main categories of investment.
5. Investment Manager and Sub-Investment ManagerState Street Global Advisors France S.A. has been appointed Investment Manager for the Sub-fund. State Street Global Advisors France S.A. is a company duly authorised by the AMF (French financial markets authority) on 3rd June 1997, under number 97-044. Registered office: Immeuble Defense Plaza, 23-25 Rue Delariviere-Lefoullon 92062, France. Form of incorporation: Societe Anonyme, French company limited by shares. The Investment Manager has delegated investment decision making authority to State Street Global Advisors Limited, a wholly-owned subsidiary of State Street Bank Europe Limited, itself a subsidiary of State Street Bank and Trust Company, which in turn is a subsdiary of State Street Corporation (the “Sub-Investment Manager”). The Sub-Investment Manager has its principal offices located at 20 Churchill Place, Canary Wharf, London E14 5HJ, United Kingdom.
6. Valuation Date and Fixed TimeThe Net Asset Value of the Sub-fund will be calculated by the Administrator as at each Valuation Point in accordance with the requirements of the Articles and full details are set forth under the headings “Calculation of Net Asset Value” in the Prospectus. The Net Asset Value of the Sub-fund will be expressed in its Base Currency.
7. DividendsAll classes of Shares of the Sub-fund will be accumulating Shares, and therefore, dividends or other distributions out of the Sub-fund’s profits will not normally be paid to Shareholders.
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8. Fees and ExpensesThe Sub-fund shall bear its attributable proportion of the organisational and operating expensesof the Company. These are set out in detail under the heading “Fees and Expenses” in the Prospectus. In addition to the fees and expenses described below, Shareholders should read the section in the Prospectus entitled “Fees and Expenses” for a description of other fees and expenses that may apply to their investment in the Sub-fund.
The Sub-fund will pay the following management fee:
For Class P Shares, up to 0.30% of the average daily Net Asset Value; For Class I Shares, up to 0.15% of the average daily Net Asset Value; and For Class I USD Hedged Shares, up to 0.18% of the average daily Net Asset Value.
These management fees will be accrued daily based on the Net Asset Value of the Sub-fund as of the relevant Dealing Day and will be paid monthly in arrears. The Investment Manager will discharge from these management fees the fees of the Sub-Investment Manager.
The total expense ratios attributable to the Share classes of the Sub-fund, as set out below, incorporate the fees and expenses of the Investment Manager (and the Sub-Investment Manager), Administrator and Custodian, any distribution fee not covered by the subscription fee where appropriate, and certain other expenses of the Sub-fund set forth in Section 23.1 of the Prospectus. The Investment Manager has voluntarily agreed to temporarily reimburse such portions of its fees as is necessary to ensure that the total expense ratio attributable to all Shares shall currently not exceed the following rates:
For the Class P Shares, 0.40% of the average daily Net Asset Value; For the Class I Shares, 0.25% of the average daily Net Asset Value; For Class I USD Hedged Shares, 0.28% of the average daily Net Asset Value.
9. Subscriptions - Application Procedures
All applicants, whether applying in writing or by facsimile, must complete the Application Form prescribed by the Directors (the “Application Form”). An Application Form for additional Shares may be submitted by facsimile provided the Administrator has received the original Application Form for the initial subscription of Shares. Application Forms may be obtained from the Administrator and set out the methods by which and to whom the subscription monies should be sent. Application Forms shall be irrevocable (unless otherwise agreed with the Directors) and may be sent by facsimile at the risk of the applicant. The Application Form should be received by the Administrator, by 11.00 a.m. (Central European Time) on the relevant Dealing Day. Any Application Form received after such time will be deemed received as of the next Dealing Day. The originally executed Application Form for the initial subscription, along with supporting documentation in relation to money laundering prevention checks, should be received by the Administrator within five (5) Business Days after the electronically transmitted (by facsimile only) Application Form is sent to the Administrator.
Failure to provide the original Application Form by such time may, at the discretion of the Directors, result in the rejection of the application and any monies received will be returned to the applicant (minus any handling charge incurred in any such return) as soon as possible by wire transfer (but without interest, costs or compensation) or in the compulsory redemption of the Shares. In any event, applicants will be unable to redeem Shares on request until the original Application Form has been received and all anti-money laundering checks completed and supporting documentation received.
In addition to the Application Form, applicants may be requested to provide other information (e.g. as to identity and corporate authorisation). Failure to provide such information may delay the processing of the application.
Fractions: Subscription monies representing less than the Subscription Price for a Share will not be returned to the applicant. Fractions of Shares will be issued where any part of the subscription
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monies for Shares represents less than the Subscription Price for one Share, provided however, that fractions shall not be less than .0001 of a Share. Subscription monies, representing less than .0001 of a Share will not be returned to the applicant but will be retained by the Sub-fund in order to defray administration costs.
Offer Periods and Related Pricing:
After the Initial Offer Period for any class of Shares has expired, Shares will be issued at the then applicable Subscription Price per Share, which is based on the Net Asset Value per Share. Currently, the Class I Shares, Class I USD Hedged Shares and Class P Shares are offered at the applicable Subscription Price per Share. See also the section entitled “Pricing” below.
Pricing: Except during the Initial Offer Period, all subscriptions will be dealt on a “forward” pricing basis, i.e. by reference to the Subscription Price for Shares calculated as at the Valuation Point for the relevant Dealing Day (together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Subscription Price (please see Sections 19.1 and 23.4 of the Prospectus). Any Application Forms received after the relevant time for receipt will normally be held over until the next Dealing Day.
10. Payment of Subscription Monies
Method and Currency of Payment: Subscription payments net of all bank charges must be made in US Dollars and should be paid by wire transfer to the bank account specified in the Application Form. Other methods of payment are subject to the prior approval of the Directors with the agreement of the Administrator. No interest will be paid in respect of payments received in circumstances where the application is held over to the next Dealing Day.
Timing of Payment: Payment in respect of subscriptions must be received in cleared funds by 5.00 p.m. (Central European Time) on the third Business Day following the relevant Dealing Day or on such other day as the Directors may determine.
Payment: If payment in cleared funds in respect of a subscription has not been received by the time specified above, any allotment of Shares made in respect of such application may be cancelled. In the event of the non-clearance of subscription monies, any allotment in respect of an application shall be cancelled. In either event and notwithstanding cancellation of the application, the Directors may charge the applicant for any expense incurred by the Company or the Sub-fund or for any loss to the Sub-fund arising out of such non-receipt or non-clearance. In addition, the Directors will have the right to sell all or part of the applicant’s holding of Shares in the relevant class or any other Sub-fund in order to meet those charges.
11. Minimum Subscriptions/Holdings
Initial Subscriptions: The minimum initial subscription amounts for the Shares are as follows:
$50,000 (or less at the discretion of the Directors) for Class I Shares and Class I USD Hedged Shares; and
The value of a single Share for Class P Shares.
Subsequent Subscriptions: Any subsequent subscription amounts for Shares shall be in accordance with the following:
For Class I Shares and Class I USD Hedged Shares, a minimum of $5,000 (or less at the discretion of the Directors); and
A minimum of the value of a single Share for Class P Shares.
Minimum Holdings: Any Shareholder who redeems or otherwise disposes of part of his holding must maintain the following minimum holdings in the Sub-fund:
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Not less than $5,000 for Class I Shares and Class I USD Hedged Shares (or less at the discretion of the Directors); and
Not less than the value of a single Share in respect of Class P Shares.
The Company may redeem the remaining holdings of any Shareholder who redeems his holdings below the foregoing minimums.
12. Redemptions
Redemption Procedure: Every Shareholder will have the right to require the Company to redeem his Shares in the Sub-fund on any Dealing Day (save during any period when the calculation of the Net Asset Value is suspended or the redemption of Shares is limited in the circumstances set forth in the Prospectus) on furnishing to the Administrator a redemption request in the form of a completed Redemption Form. Shares may be redeemed only by written application or by facsimile through the Administrator.
Redemption Pricing: All redemption requests are dealt with on a “forward” pricing basis, i.e. by reference to the Redemption Price for Shares calculated as at the Valuation Point for the relevant Dealing Day and by deducting a redemption fee of up to 3% of the Redemption Price per Share for the benefit of the Sub-fund, where at the discretion of the Directors it is considered to be equitable for the Shareholders as a whole. Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Redemption Price (please see Sections 19.2 and 23.4 of the Prospectus).
Redemption Form: All applicants must complete the Redemption Form prescribed by the Directors. Redemption Forms may be obtained from the Administrator. A redemption request may be made in writing or by facsimile by a Shareholder but if the account details for redemption payments are different from those set out in the Application Form, the original Redemption Form will be required by the Administrator and verification of the details may be required. The Redemption Form sets out the method by which and to whom redemption monies will be sent.
Redemption Forms must be received by 11.00 a.m. (Central European Time) on the relevant Dealing Day.
If the Redemption Form is received after the relevant time for receipt thereof it shall be treated as a request for redemption on the Dealing Day following such receipt. In extraordinary circumstances, Redemption Forms may be accepted for redemption if received prior to the Valuation Point on the relevant Dealing Day, at the discretion of the Directors, and Shares will be redeemed at the Redemption Price for that day. Shares will be redeemed at the Redemption Price calculated as at the Valuation Point for the relevant Dealing Day.
Redemptions shall be irrevocable and may be sent by facsimile at the risk of the relevant Shareholder. No redemption proceeds will be paid out unless an original initial Application Form is received by the Administrator, together with any other documents required by the Administrator, and cleared funds were received in connection with the original subscription.
Method and Currency of Payment: Redemption payments will be made in US Dollars to the bank account detailed on the Redemption Form.
Timing of Payment: Redemption proceeds in respect of Shares will be paid on the third Business Day following the relevant Dealing Day, or such other day as the Directors may determine,provided that all the required documentation has been furnished to and received by the Administrator.
In the case of a partial redemption of a Shareholder's holding, the Administrator will advise the Shareholder of the remaining Shares held by him.
Fractions: Apart from circumstances in which a Shareholder is redeeming his entire holding of Shares:-
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(a) fractions of Shares will be issued where any part of the redemption monies for Shares represents less than the Redemption Price for one Share, provided however that fractions shall not be less than .0001 of a Share; and
(b) redemption monies, representing less than .0001 of a Share will not be returned to a Shareholder but will be retained by the Directors in order to defray administration costs.
Switching: Shareholders of other sub-funds of the Company may switch into the Sub-fund. Furthermore, Shareholders in the Sub-fund may switch into other sub-funds of the Company. Switches are in principle only permitted from one Class of Shares in a sub-fund to the same Class of Shares of another sub-fund, unless the investor fulfils the eligibility criteria of the Class of Shares to be switched into.
Shares can be switched on any Dealing Day which is a Dealing Day for both sub-funds at the Subscription Price valid on that date, provided the application for switching is received by the Company (for the attention of the Administrator) by 11:00 a.m., Central European Time (cut-off time) on the relevant Dealing Day. The provisions relating to the cut-off time and forward pricing also apply concerning switching of Shares and are described in full in this Supplement and the Prospectus.
Applications should be addressed directly to State Street Bank Luxembourg S.A., acting as transfer agent for the Company, or otherwise through one of the Distributors. The application must contain the following information: the number of Shares in the old and new sub-funds and the value ratio according to which the Shares in each sub-fund are to be divided if more than one new sub-fund is intended.
Further detail can be found in the Prospectus under the sub-heading “Switching.”
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STATE STREET GLOBAL ADVISORS LUXEMBOURG SICAV
Supplement No. 9
SSgA Rexiter Global Emerging Markets Local Currency BondFund
DATED: MARCH 2011
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INTRODUCTION
State Street Global Advisors Luxembourg SICAV (the “Company”) is authorised in Luxembourg by the Commission de Surveillance du Secteur Financier (the “CSSF”) as a UCITS for the purposes of the 2002 Law. The Company is an open-ended umbrella investment company with segregated liability between sub-funds and variable capital.
This Supplement contains information relating to the Shares of the SSgA Rexiter Global Emerging Markets Local Currency Bond Fund (the “Sub-fund”), which is a separate sub-fund of the Company. This Supplement forms part of and should be read in the context of and together with the general description of the Company contained in the current Prospectus.
As of the date of this Supplement, the Company currently offers the following Share classes of the Sub-fund:
Class I Shares
Class P Shares
Class I Shares are reserved for institutional investors as defined in Articles 174 to 176 of the 2010 Law. Class P Shares are available to retail and institutional investors. Further, the Company may, at a future date, create and offer additional Share classes for the Sub-fund.
The Company does not intend to list any Class of Shares of the Sub-fund on the Luxembourg Stock Exchange.
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DEFINITIONS
Unless otherwise defined herein or unless the context otherwise requires all defined terms used in this Supplement shall bear the same meaning as in the Prospectus.
Base Currency US Dollars
Business Day Any day on which banks are open for business in Luxembourg and the United Kingdom (excluding Saturday, Sunday and public holidays).
Dealing Day Each full bank Business Day.
Redemption Price The redemption price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Redemption.”
Shares The: (i) Class I Shares; and (ii) Class P Shares in the Sub-fund to be issued in accordance with this Supplement and the Prospectus.
Subscription Price The subscription price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Subscription.”
Valuation Point Such time on a Dealing Day as the Directors may from time to time determine at which the Net Asset Value and the Net Asset Value per Share of the Sub-fund is calculated.
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1. Issue of Sub-fund sharesClass I Shares and Class P Shares in the Sub-fund are available for purchase on each Dealing Day and, as described below, are offered at the applicable Subscription Price per Share, plus a subscription fee of up to 3% of the issue price.
2. Investment objectives and investment policyInvestment objective. The Sub-fund seeks to provide a total investment return in excess of the performance of the JP Morgan Government Bond Index – Emerging Markets Global Diversified (the “Index”) over the long term.
The Index provides investors with a benchmark that tracks local currency government bonds issued by emerging markets. The Index is ‘diversified’ as this version of the benchmark limits the weights of those Index countries with larger debt stocks and redistributes those weights to the countries with smaller weights. The maximum weight to a country is capped at 10%. Benchmark construction within this asset class is still in its infancy and the opportunity set is changing rapidly. The Sub-Investment Manager recognises these Index limitations and, consequently, the investment and portfolio construction process is designed to take both non-benchmark positions and positioning away from benchmark weightings, with in defined risk tolerances.
Principal investment strategies. The Sub-fund principally invests in local currency denominated fixed income securities issued by government entities of emerging market countries. The Sub-fund also will, on an opportunistic basis, invest in local currency denominated fixed income securities issued by companies domiciled in countries of emerging markets or companies that derive a substantial portion of their revenue and profits from activities in emerging market countries. The Sub-Investment Manager considers the universe of emerging markets as any country included as emerging markets or frontier markets by JP Morgan (JPM) or Morgan Stanley Capital International (MSCI) for their index inclusion criteria or a country that the Sub-Investment Manager reasonably expects to be admitted into the universe in the future. In addition, the Sub-fund may invest in fixed income securities registered in or trading in emerging markets other than those included in the Index, and may invest in or create exposures to other instruments (including derivatives) and markets in seeking to achieve its objective. The Sub-fund also may participate in initial public offerings (“IPOs”).
The Sub-Investment Manager undertakes fundamental research on countries and fixed income markets to identify emerging markets fixed income securities that it believes offer the greatest potential for performance that is higher than the Index. The Sub-Investment Manager’s fixed income and equity teams work together in regional configuration in order to benefit from each other’s specialist knowledge and to enhance performance. Asset allocation is made at regular asset allocation meetings with input from both the fixed income team and the country specialists. The Sub-Investment Manager looks to add value from country selection, yield curve and duration positioning and from security selection. Country selection is the crucial element of the team’s investment process and where they seek to add most value. Scenario analysis is designed to assist in identifying those countries with strong and improving fundamentals and potential investment risks within the asset class. As described below, the Sub-Investment Manager expects to make use of derivatives in managing the Sub-fund. The Sub-Investment Manager may, but will not necessarily, enter into foreign currency exchange transactions to seek to add value to the Sub-fund.
Although investments in emerging markets offer the potential for attractive returns, they can be highly volatile and can result in losses.
Although the Sub-Investment Manager may consider the factors described above in purchasing or selling investments for the Sub-fund, the Sub-Investment Manager may purchase, sell, or continue to hold an investment for the Sub-fund whenever it believes that doing so may benefit the Sub-fund, on the basis of any of the factors described above or any other factors.
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Principal investments. As described above, the Sub-fund principally invests most of its assets in fixed income and cash securities issued by government entities of emerging market countries and may opportunistically invest in fixed income securities of companies located in emerging market countries. Fixed income securities may include, but is not limited to, the following: government and corporate bonds, notes, bills, debentures, convertible securities, bank debt obligations, short-term paper, mortgage and other asset-backed securities, loan participations and loan assignments and other emerging markets fixed income securities. The use of mortgage and other asset-backed securities is limited to 20% of the Sub-fund’s NAV. Fixed income securities held by the Sub-fund will largely be denominated in emerging markets currencies and will primarily be held outside Luxembourg.
The Sub-fund may also make use of derivatives (in accordance with the requirements of the 2002 Law) to obtain indirect exposure to emerging markets, including, by way of example, total return swaps (both deliverable and non-deliverable), interest rate swaps (both deliverable and non-deliverable), exchange-traded and OTC options, exchange-traded index futures, credit default swaps, and other exchange-traded products. The Sub-fund may enter into foreign currency exchange transactions, including, but not limited to, transactions involving foreign currency forward contracts, non-deliverable forward contracts, futures contracts, and options. The Sub-fund may hold a portion of its assets in cash.
Certain emerging markets may be closed in whole or part to the direct purchase of securities by foreigners, or direct investment in those markets may be difficult or expensive. In those markets, the Sub-fund may be able to invest in securities through other pooled investment vehicles. Investment in these pools will typically entail additional expense due to management fees charged by the underlying pools and other expenses of those pools. In addition, such pools may have restrictions on redemptions, limiting the liquidity of those investments. Investments into pooled vehicles will not impact the capability of the Sub-fund to honour redemption requests.
Although certain of the investments described above may exhibit characteristics of leverage transactions, the Sub-Investment Manager will not borrow money or use derivatives in a manner that the Sub-Investment Manager considers to have the purpose of creating investment leverage. Investments made by the Sub-Investment Manager to hedge or reduce risk will not be considered to have been made for the purpose of creating investment leverage; the Sub-Investment Manager generally will determine whether an investment has the effect of creating investment leverage by evaluating the effect of the investment on the exposure and risk profile of the Sub-fund as a whole.
In accordance with the general description in the main body of the Prospectus, the Sub-fund may lend its portfolio securities, and may compensate the Investment Manager or an affiliate of the Investment Manager for services provided in connection with effecting securities loans and investing related collateral. The Sub-fund may pay the Investment Manager or an affiliate fees and expenses related to the provision of custodial, administrative, bookkeeping, and accounting services, transfer agency and shareholder servicing, and other services that the Investment Manager may from time to time consider necessary or appropriate. The Sub-fund may enter into repurchase agreements, including transactions with the Investment Manager or an affiliate of the Investment Manager. The Sub-fund may invest in other pooled investment vehicles, including without limitation registered investment companies, private investment pools, and commingled trust funds, including entities sponsored, managed, or otherwise affiliated with the Investment Manager. See "General Risk Factors" and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments” in the Prospectus.
An investment in the Sub-fund may be subject to taxation. Potential Shareholders should consult their own tax counsel as to the specific tax consequences of an investment in the Sub-fund.
Certain Risk Controls. Both the Investment Manager and the Sub-Investment Manager monitor the overall risk of the Sub-fund in order to seek to avoid unintended risks. The Sub-Investment Manager attempts to manage risk by, among other things, monitoring country and sector weights, maintaining diversification, and performing on-going investment surveillance of the Sub-fund.
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3. Investment limits of the Sub-fundThe investment and borrowing restrictions set out in the Prospectus apply in their entirety to the Sub-fund.
4. Risk FactorsPotential Shareholders should consider the risk factors set forth in the Prospectus under the sections entititled “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
In view of the Sub-fund’s specialized investment program, the Sub-fund is considered a sophisticated fund and Shares are suitable investments for sophisticated investors and financial institutions for whom an investment in Shares does not constitute a complete investment program and who fully understand, are willing to assume, and have the financial resources necessary to withstand the risks that may be involved in the Sub-fund’s investment program.
In relation to investments in derivatives, the use of these instruments involves special risks including (i) dependence on the ability to predict movements in the prices of securities underlying the derivative instruments and movements in interest or currency rates; (ii) imperfect correlation between the derivative instruments and the securities or market sectors to which they relate; (iii) greater volatility than the securities and/or markets to which they relate; (iv) liquidity risk when, for example, a particular derivative instrument is difficult to purchase or sell; (v) market risk, where the market value of the derivative changes in a way that is detrimental to the Sub-fund; (vi) counterparty risk, where the counterparty with which the Sub-fund trades becomes insolvent, bankrupt or defaults; (vii) settlement risk, where a counterparty defaults in settling a trade; and (viii) legal risk, where the enforceability of a derivative contract may be an issue. See “Special Investment Techniques and Financial Instruments” in the Prospectus.
Asset-Backed Securities. The Sub-fund may invest in asset-backed securities, which represent interests in a pool of assets, such as home equity loans, commercial mortgage backed securities, automobile receivables or credit card receivables. Unscheduled prepayments of asset-backed securities may result in a loss of income if the proceeds are invested in lower-yielding securities and this risk may be more pronounced during periods of declining interest rates. In addition, issuers of asset-backed securities may have limited ability to enforce the security interest in the underlying assets, and credit enhancements (if any) may be inadequate in the event of default. In addition, an unscheduled delay in payment of principal may result in an asset-backed security being outstanding for a longer period than initially expected. See also “General Risk Factors –Debt Securities Risk” in the Prospectus.
Mortgage-Backed Securities. The Sub-fund may invest in mortgage-backed securities. Mortgage-backed securities represent participation interests in pools of adjustable and fixed-rate mortgage loans. Adjustable rate mortgages are mortgages whose interest rates are periodically reset when market rates change. Unlike conventional debt obligations, mortgage-backed securities provide monthly payments derived from the monthly interest and principal payments (including any prepayments) made by the individual borrowers on the pooled mortgage loans. As a result, if the Sub-fund purchases these assets at a premium, a faster-than-expected prepayment rate will reduce yield to maturity, and a slower-than-expected prepayment rate will increase yield to maturity. If the Sub-fund purchases mortgage-related securities at a discount, faster-than-expected prepayments will increase, and slower-than-expected prepayments will reduce, yield to maturity. The mortgage loans underlying mortgage-backed securities are generally subject to a greater rate of principal prepayments in a declining interest rate environment and to a lesser rate of principal prepayments in an increasing interest rate environment.
Under certain interest and prepayment rate scenarios, the Sub-fund may fail to recover the full amount of its investment in mortgage-backed securities, notwithstanding any direct or indirect governmental or agency guarantee. Because faster than expected prepayments must usually be invested in lower yielding securities, mortgage-backed securities are less effective than conventional bonds in “locking in” a specified interest rate. For premium bonds (bonds acquired at
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prices that exceed their par or principal value) purchased by the Sub-fund, prepayment risk may be enhanced. Additionally, the value of the Sub-fund’s shares may be adversely affected by fluctuations in interest rates underlying the mortgage-backed securities held by the Sub-fund. In a rising interest rate environment, a declining prepayment rate will extend the average life of many mortgage-backed securities. This possibility is often referred to as extension risk. Extending the average life of a mortgage backed security increases the risk of depreciation due to future increases in market interest rates. Mortgage-backed securities that are purchased at a premium generate current income that exceeds market rates for comparable investments, but tend to decrease in value as they mature, which may cause a resulting decrease in the Sub-fund’s net asset value. See also “General Risk Factors – Debt Securities Risk” in the Prospectus.
Credit Crisis Liquidity Risk. Certain types of credit instruments, such as mortgage- and asset-backed securities, as well as the overall credit markets, became very illiquid beginning in the latter half of 2007. General market uncertainty and consequent re-pricing of risk led to market imbalances of sellers and buyers, which in turn resulted in significant valuation uncertainties in mortgage and credit-related securities and other instruments. These conditions resulted, and in many cases continue to result in, greater volatility, less liquidity, widening credit spreads and a lack of price transparency, with many instruments remaining illiquid and of uncertain value. Such market conditions, and the above factors, may make valuation uncertain and/or result in sudden and significant valuation declines.
The Company will, on request, provide supplementary information to Shareholders relating to the risk management process employed including the quantitative limits that are applied and any recent developments in the risk and yield characteristics of the main categories of investment.
5. Investment Manager and Sub-Investment ManagerState Street Global Advisors France S.A. has been appointed Investment Manager for the Sub-fund. State Street Global Advisors France S.A. is a company duly authorised by the AMF (French financial markets authority) on 3rd June 1997, under number 97-044. Registered office: Immeuble Defense Plaza, 23-25 Rue Delariviere-Lefoullon 92062, France. Form of incorporation: Societe Anonyme, French company limited by shares. The Investment Manager has delegated investment decision making authority to Rexiter Capital Management, Limited (the “Sub-Investment Manager”). The Sub-Investment Manager is a an investment management company incorporated in England and Wales whose registered number is 3302709 and with registered office at 80 Cannon Street, London EC4N 6HL, and authorised and regulated by the Financial Services Authority.
6. Valuation Date and Fixed TimeThe Net Asset Value of the Sub-fund will be calculated by the Administrator as at each Valuation Point in accordance with the requirements of the Articles and full details are set forth under the headings “Calculation of Net Asset Value” in the Prospectus. The Net Asset Value of the Sub-fund will be expressed in its Base Currency.
7. DividendsAll classes of Shares of the Sub-fund will be accumulating Shares, and therefore, dividends or other distributions out of the Sub-fund’s profits will not normally be paid to Shareholders.
8. Fees and ExpensesThe Sub-fund shall bear its attributable proportion of the organisational and operating expenses of the Company. These are set out in detail under the heading “Fees and Expenses” in the Prospectus. In addition to the fees and expenses described below, Shareholders should read the section in the Prospectus entitled “Fees and Expenses” for a description of other fees and expenses that may apply to their investment in the Sub-fund.
The Sub-fund will pay the following management fee:
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For Class P Shares, up to 1.70% of the average daily Net Asset Value; For Class I Shares, up to 0.85% of the average daily Net Asset Value.
These management fees will be accrued daily based on the Net Asset Value of the Sub-fund as of the relevant Dealing Day and will be paid monthly in arrears. The Investment Manager will discharge from these management fees the fees of the Sub-Investment Manager.
The total expense ratios attributable to the Share classes of the Sub-fund, as set out below, incorporate the fees and expenses of the Investment Manager, the Sub-Investment Manager, Administrator and Custodian, any distribution fee not covered by the subscription fee where appropriate, and certain other expenses of the Sub-fund set forth in Section 23.1 of the Prospectus. The Investment Manager has voluntarily agreed to temporarily reimburse such portions of its fees as is necessary to ensure that the total expense ratio attributable to all Shares shall currently not exceed the following rates:
For the Class P Shares, 1.95% of the average daily Net Asset Value; For the Class I Shares, 1.10% of the average daily Net Asset Value.
9. Subscriptions - Application Procedures
All applicants, whether applying in writing or by facsimile, must complete the Application Form prescribed by the Directors (the “Application Form”). An Application Form for additional Shares may be submitted by facsimile provided the Administrator has received the original Application Form for the initial subscription of Shares. Application Forms may be obtained from the Administrator and set out the methods by which and to whom the subscription monies should be sent. Application Forms shall be irrevocable (unless otherwise agreed with the Directors) and may be sent by facsimile at the risk of the applicant. The Application Form should be received by the Administrator, by 11.00 a.m. (Central European Time) at least one Business Day prior to therelevant Dealing Day. Any Application Form received after such time will be deemed received as of the next Dealing Day. The originally executed Application Form for the initial subscription, along with supporting documentation in relation to money laundering prevention checks, should be received by the Administrator within five (5) Business Days after the electronically transmitted (by facsimile only) Application Form is sent to the Administrator.
Failure to provide the original Application Form by such time may, at the discretion of the Directors, result in the rejection of the application and any monies received will be returned to the applicant (minus any handling charge incurred in any such return) as soon as possible by wire transfer (but without interest, costs or compensation) or in the compulsory redemption of the Shares. In any event, applicants will be unable to redeem Shares on request until the original Application Form has been received and all anti-money laundering checks completed and supporting documentation received.
In addition to the Application Form, applicants may be requested to provide other information (e.g. as to identity and corporate authorisation). Failure to provide such information may delay the processing of the application.
Fractions: Subscription monies representing less than the Subscription Price for a Share will not be returned to the applicant. Fractions of Shares will be issued where any part of the subscription monies for Shares represents less than the Subscription Price for one Share, provided however, that fractions shall not be less than .0001 of a Share. Subscription monies, representing less than .0001 of a Share will not be returned to the applicant but will be retained by the Sub-fund in order to defray administration costs.
Offer Periods and Related Pricing: Applications for Shares during the Initial Offer Period must be received and accepted during the Initial Offer Period. Settlement proceeds must also be
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received in cleared funds within the Initial Offer Period, or such later period as the Directors may in their absolute discretion determine.
The Subscription Price for Shares during the Initial Offer Period is the Initial Offer Price(together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Shareholders should also note that an Anti-Dilution Levy may be included in the Initial Offer Price.
After the Initial Offer Period for any class of Shares has expired, Shares will be issued at the then applicable Subscription Price per Share, which is based on the Net Asset Value per Share. Currently, the Class I Shares and Class P Shares are offered at the applicable Subscription Price per Share. See also the section entitled “Pricing” below.
Pricing: Except during the Initial Offer Period, all subscriptions will be dealt on a “forward” pricing basis, i.e. by reference to the Subscription Price for Shares calculated as at the Valuation Point for the relevant Dealing Day (together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Subscription Price (please see Sections 19.1 and 23.4 of the Prospectus). Any Application Forms received after the relevant time for receipt will normally be held over until the next Dealing Day.
10. Payment of Subscription Monies
Method and Currency of Payment: Subscription payments net of all bank charges must be made in US Dollars and should be paid by wire transfer to the bank account specified in the Application Form. Other methods of payment are subject to the prior approval of the Directors with the agreement of the Administrator. No interest will be paid in respect of payments received in circumstances where the application is held over to the next Dealing Day.
Timing of Payment: Payment in respect of subscriptions must be received in cleared funds by 5.00 p.m. (Central European Time) on the third Business Day following the relevant Dealing Day or on such other day as the Directors may determine.
Payment: If payment in cleared funds in respect of a subscription has not been received by the time specified above, any allotment of Shares made in respect of such application may be cancelled. In the event of the non-clearance of subscription monies, any allotment in respect of an application shall be cancelled. In either event and notwithstanding cancellation of the application, the Directors may charge the applicant for any expense incurred by the Company or the Sub-fund or for any loss to the Sub-fund arising out of such non-receipt or non-clearance. In addition, the Directors will have the right to sell all or part of the applicant’s holding of Shares in the relevant class or any other Sub-fund in order to meet those charges.
11. Minimum Subscriptions/Holdings
Initial Subscriptions: The minimum initial subscription amounts for the Shares are as follows:
$50,000 (or less at the discretion of the Directors) for Class I Shares; and The value of a single Share for Class P Shares.
Subsequent Subscriptions: Any subsequent subscription amounts for Shares shall be in accordance with the following:
For Class I Shares, a minimum of $5,000 (or less at the discretion of the Directors); and A minimum of the value of a single Share for Class P Shares.
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Minimum Holdings: Any Shareholder who redeems or otherwise disposes of part of his holding must maintain the following minimum holdings in the Sub-fund:
Not less than $5,000 for Class I Shares (or less at the discretion of the Directors); and Not less than the value of a single Share in respect of Class P Shares.
The Company may redeem the remaining holdings of any Shareholder who redeems his holdings below the foregoing minimums.
12. Redemptions
Redemption Procedure: Every Shareholder will have the right to require the Company to redeem his Shares in the Sub-fund on any Dealing Day (save during any period when the calculation of the Net Asset Value is suspended or the redemption of Shares is limited in the circumstances set forth in the Prospectus) on furnishing to the Administrator a redemption request in the form of a completed Redemption Form. Shares may be redeemed only by written application or by facsimile through the Administrator.
Redemption Pricing: All redemption requests are dealt with on a “forward” pricing basis, i.e. by reference to the Redemption Price for Shares calculated as at the Valuation Point for the relevant Dealing Day and by deducting a redemption fee of up to 3% of the Redemption Price per Share for the benefit of the Sub-fund, where at the discretion of the Directors it is considered to be equitable for the Shareholders as a whole. Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Redemption Price (please see Sections 19.2 and 23.4 of the Prospectus).
Redemption Form: All applicants must complete the Redemption Form prescribed by the Directors. Redemption Forms may be obtained from the Administrator. A redemption request may be made in writing or by facsimile by a Shareholder but if the account details for redemption payments are different from those set out in the Application Form, the original Redemption Form will be required by the Administrator and verification of the details may be required. The Redemption Form sets out the method by which and to whom redemption monies will be sent.
Redemption Forms must be received by 11.00 a.m. (Central European Time) at least one Business Day prior to the relevant Dealing Day.
If the Redemption Form is received after the relevant time for receipt thereof it shall be treated as a request for redemption on the Dealing Day following such receipt. In extraordinary circumstances, Redemption Forms may be accepted for redemption if received prior to the Valuation Point on the relevant Dealing Day, at the discretion of the Directors, and Shares will be redeemed at the Redemption Price for that day. Shares will be redeemed at the Redemption Price calculated as at the Valuation Point for the relevant Dealing Day.
Redemptions shall be irrevocable and may be sent by facsimile at the risk of the relevant Shareholder. No redemption proceeds will be paid out unless an original initial Application Form is received by the Administrator, together with any other documents required by the Administrator, and cleared funds were received in connection with the original subscription.
Method and Currency of Payment: Redemption payments will be made in US Dollars to the bank account detailed on the Redemption Form.
Timing of Payment: Redemption proceeds in respect of Shares will be paid on the third Business Day following the relevant Dealing Day, or such other day as the Directors may determine,provided that all the required documentation has been furnished to and received by the Administrator.
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In the case of a partial redemption of a Shareholder's holding, the Administrator will advise the Shareholder of the remaining Shares held by him.
Fractions: Apart from circumstances in which a Shareholder is redeeming his entire holding of Shares:-
(a) fractions of Shares will be issued where any part of the redemption monies for Shares represents less than the Redemption Price for one Share, provided however that fractions shall not be less than .0001 of a Share; and
(b) redemption monies, representing less than .0001 of a Share will not be returned to a Shareholder but will be retained by the Directors in order to defray administration costs.
Switching: Shareholders of other sub-funds of the Company may switch into the Sub-fund. Furthermore, Shareholders in the Sub-fund may switch into other sub-funds of the Company. Switches are in principle only permitted from one Class of Shares in a sub-fund to the same Class of Shares of another sub-fund, unless the investor fulfils the eligibility criteria of the Class of Shares to be switched into.
Shares can be switched on any Dealing Day which is a Dealing Day for both sub-funds at the Subscription Price valid on that date, provided the application for switching is received by the Company (for the attention of the Administrator) by 11:00 a.m., Central European Time (cut-off time) at least one Business Day prior to the relevant Dealing Day. The provisions relating to the cut-off time and forward pricing also apply concerning switching of Shares and are described in full in this Supplement and the Prospectus.
Applications should be addressed directly to State Street Bank Luxembourg S.A., acting as transfer agent for the Company, or otherwise through one of the Distributors. The application must contain the following information: the number of accumulating Shares in the old and new sub-funds and the value ratio according to which the accumulating Shares in each sub-fund are to be divided if more than one new sub-fund is intended.
Further detail can be found in the Prospectus under the sub-heading “Switching.”
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STATE STREET GLOBAL ADVISORS LUXEMBOURG SICAV
Supplement No. 10
SSgA Global Corporate Bond Index Fund
DATED: MARCH 2011
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INTRODUCTION
State Street Global Advisors Luxembourg SICAV (the “Company”) is authorised in Luxembourg by the Commission de Surveillance du Secteur Financier (the “CSSF”) as a UCITS for the purposes of the 2002 Law. The Company is an open-ended umbrella investment company with segregated liability between sub-funds and variable capital.
This Supplement contains information relating to the Shares of the SSgA Global Corporate Bond Index Fund (the “Sub-fund”), which is a separate sub-fund of the Company. This Supplement forms part of and should be read in the context of and together with the general description of the Company contained in the current Prospectus.
As of the date of this Supplement, the Company currently offers the following Share classes of the Sub-fund:
Class I Shares
Class P Shares
Class I Shares are reserved for institutional investors as defined in Articles 174 to 176 of the 2010 Law. Class P Shares are available to retail and institutional investors. Further, the Company may, at a future date, create and offer additional Share classes for the Sub-fund.
The Company does not intend to list any Class of Shares of the Sub-fund on the Luxembourg Stock Exchange.
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DEFINITIONS
Unless otherwise defined herein or unless the context otherwise requires all defined terms used in this Supplement shall bear the same meaning as in the Prospectus.
Base Currency US Dollars
Business Day (i) Any day on which banks are open for business in Luxembourg, the United Kingdom and New York (excluding Saturday, Sunday and public holidays) provided always that the London Stock Exchange is open for business on such day; and (ii) weekdays other than days on which the Trans-European Automated Real-Time Gross Settlement Express Transfer (“TARGET”), the Eurosystem interbank funds transfer system, is closed for business.
Dealing Day Each full bank Business Day.
Initial Offer Period This Sub-fund is not yet launched as at the date of the Prospectus. The Sub-fund may be launched at the Director's discretion. Confirmation of the launch date will be made available at the registered office of the Company and any provisions in the Prospectus relating to the Sub-fund shall only take effect from the launch date of the Sub-fund.
Initial Offer Price $10 per Share for the Class I Shares and Class P Shares.
Redemption Price The redemption price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Redemption.”
Shares The: (i) Class I Shares; and (ii) Class P Shares in the Sub-fund to be issued in accordance with this Supplement and the Prospectus.
Subscription Price The subscription price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Subscription.”
Valuation Point Such time on a Dealing Day as the Directors may from time to time determine at which the Net Asset Value and the Net Asset Value per Share of the Sub-fund is calculated.
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1. Issue of Sub-fund sharesThe initial issue of Shares in the Sub-fund will take place during the Initial Offer Period, at the Initial Offer Price, plus a subscription fee of up to 3% of the issue price. Shareholders should also note that an Anti-Dilution Levy may be included in the Initial Offer Price. After the Initial Offer Period, Shares in the Sub-fund will be available for purchase on each Dealing Day and, as described below, will be offered at the applicable Subscription Price per Share, plus a subscription fee of up to 3% of the issue price.
Note: This Sub-fund is not yet launched as at the date of the Prospectus. The Sub-fund may be launched at the Director's discretion. Confirmation of the launch date will be made available at the registered office of the Company and any provisions in the Prospectus relating to the Sub-fund shall only take effect from the launch date of the Sub-fund.
2. Investment objectives and investment policyInvestment objective. The investment objective of the Sub-fund is to seek to track as closely as reasonably possible the performance of the Barclays Capital Global Aggregate Corporate Bond Index (the “Index”).
Principal investment strategies. In order to achieve this objective, the Sub-fund will invest primarily in the securities of the Index, subject to the restrictions set forth in the Prospectus.
While the securities comprised in the Index will generally be investment grade securities, they may, from time to time, have their rating downgraded from investment grade. The Sub-fund may continue to hold such investments for so long as they are comprised in the Index or, if in the opinion of the Sub-Investment Manager (as defined in Section 5 below), the security is likely, within a reasonable period of time, to regain its investment grade rating and be restored to the Index.
The Sub-Investment Manager will employ such investment methodology(ies) as it determines is most appropriate to achieve the investment objective of the Sub-fund. As part of these investment methodologies, the Sub-Investment Manager may, for the purpose of efficient portfolio management and in accordance with the conditions and limits imposed by the CSSF combine the purchase of securities with the use of fixed income derivative instruments. These transactions will be implemented within a maximum limit of 100% of the Sub-fund's assets provided however that they will not be used to gain exposure to transferable securities in excess of that permitted by the 2002 Law.
Although the Sub-Investment Manager may consider the factors described above in purchasing or selling investments for the Sub-fund, the Sub-Investment Manager may purchase, sell, or continue to hold an investment for the Sub-fund whenever it believes that doing so may benefit the Sub-fund, on the basis of any of the factors described above or any other factors.
Principal investments. The Sub-fund will invest primarily in securities that are included in the Index or that closely reflect securities of the Index. The Index provides a broad-based measure of the global investment-grade corporate fixed income markets. The three major components of the Index are the U.S. Aggregate Corporate, the Pan-European Aggregate Corporate, and the Asian-Pacific Aggregate Corporate indices. The Index also includes Eurodollar and Euro-Yen corporate bonds. The Sub-fund may enter into foreign currency exchange transactions, including transactions involving foreign currency forward contracts, futures contracts, and options, which may alter the currency exposure characteristics of securities held by the Sub-fund.
The composition of the Sub-fund’s investment portfolio may be adjusted from time to time to reflect changes in the Index and, in particular, in its composition and/or weighting. Where the
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Sub-Investment Manager deems necessary with a view to the investment methodology applied by the Sub-Investment Manager at the time, it will adjust the composition and weighting of Investments held by the Sub-fund to reflect the change, subject to the 2002 Law and its discretion in implementing the Sub-fund’s investment objective. However, it will not always be possible to invest in all of the investments comprising the Index or to do so in the weightings in which they are included in that Index. In particular, this may result from the application of the investment and borrowing restrictions set forth in the Prospectus, the operating expenses of the Sub-fund, temporary illiquidity or unavailability of an investment comprised in the Index or other unusual or extraordinary circumstance.
The Sub-fund will not lend its portfolio securities. The Sub-fund may pay the Investment Manager, Sub-Investment Manager and/or an affiliate fees and expenses related to the provision of custodial, administrative, bookkeeping, and accounting services, transfer agency and shareholder servicing, and other services that the Investment Manager and/or Sub-Investment Manager may from time to time consider necessary or appropriate. The Sub-fund may invest in investment funds that qualify as UCITS or other UCIs within the meaning of Section 7.1. (d) of Chapter 7 "Investment Limits" in the main body of the Prospectus. Such UCITS or other UCIs may include entities sponsored, managed, or otherwise affiliated with the Investment Manager. See "General Risk Factors" and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments” in the Prospectus.
An investment in the Sub-fund may be subject to taxation. Potential Shareholders should consult their own tax counsel as to the specific tax consequences of an investment in the Sub-fund.
Certain Risk Controls. The Investment Manager and Sub-Investment Manager monitor the overall risk of the Sub-fund, in order to seek to avoid unintended risk exposure relative to the Index. The Investment Manager and Sub-Investment Manager attempt to manage risk by, among other things, monitoring industry and sector weights and deviations from the Index, maintaining diversification, and performing on-going reviews of company fundamentals and valuations.
Other. The Barclays Capital Global Aggregate Corporate Bond Index is a service mark of Barclays Capital, Inc. (“Barclays Capital”), which expression shall include any of its affiliates) and has been licensed for use for certain purposes by the Company. The Sub-fund is not sponsored, endorsed, sold or promoted by Barclays Capital. Barclays Capital makes no representation or warranty, express or implied, to the owners of the Sub-fund or any member of the public regarding the advisability of investing in securities generally or in the licensing of certain information, data, trademarks and trade names of Barclays Capital. The Index is determined, composed and calculated by Barclays without regard to the Company or the Sub-fund. Barclays Capital has no obligation to take the needs of the Company or the Shareholders of the Sub-fund into consideration in determining, composing or calculating the Index. Barclays Capital is not responsible for and has not participated in the determination of the prices and amount of the Sub-fund or the timing of the issuance or sale of the Sub-fund or in the determination or calculation of the equation by which the Sub-fund is to be converted into cash.Barclays Capital has no obligation or liability in connection with the administration, marketing or trading of the Sub-fund.
BARCLAYS CAPITAL DOES NOT GUARANTEE THE QUALITY, ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN, OR OTHERWISE OBTAINED BY THE COMPANY OR ITS SUB-FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. BARCLAYS CAPITAL MAKES NO EXPRESS OR IMPLIED WARRANTIES AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OF FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL BARCLAYS CAPITAL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
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3. Investment limits of the Sub-fundThe investment and borrowing restrictions set out in the Prospectus apply in their entirety to the Sub-fund.
4. Risk FactorsPotential Shareholders should consider the risk factors set forth in the Prospectus under the sections entititled “General Risk Factors” and “Risks Associated with the Use of Derivitives and Other Special Investment Techniques and Financial Instruments.”
The Sub-fund is considered a non-sophisticated fund and is available to institutional and private investors. Investors should understand that an investment in Shares does not constitute a complete investment program and that investors should have the financial resources necessary to withstand the risks that may be involved in the Sub-fund’s investment program.
In relation to investments in derivatives, the use of these instruments involves special risks including (i) dependence on the ability to predict movements in the prices of securities underlying the derivative instruments and movements in interest or currency rates; (ii) imperfect correlation between the derivative instruments and the securities or market sectors to which they relate; (iii) greater volatility than the securities and/or markets to which they relate; (iv) liquidity risk when, for example, a particular derivative instrument is difficult to purchase or sell; (v) market risk, where the market value of the derivative changes in a way that is detrimental to the Sub-fund; (vi) counterparty risk, where the counterparty with which the Sub-fund trades becomes insolvent, bankrupt or defaults; (vii) settlement risk, where a counterparty defaults in settling a trade; and (viii) legal risk, where the enforceability of a derivative contract may be an issue. See “Special Investment Techniques and Financial Instruments” in the Prospectus.
The Company will, on request, provide supplementary information to Shareholders relating to the risk management process employed including the quantitative limits that are applied and any recent developments in the risk and yield characteristics of the main categories of investment.
5. Investment Manager and Sub-Investment ManagerState Street Global Advisors France S.A. has been appointed Investment Manager for the Sub-fund. State Street Global Advisors France S.A. is a company duly authorised by the AMF (French financial markets authority) on 3rd June 1997, under number 97-044. Registered office: Immeuble Defense Plaza, 23-25 Rue Delariviere-Lefoullon 92062, France. Form of incorporation: Societe Anonyme, French company limited by shares. The Investment Manager has delegated investment decision making authority to State Street Global Advisors Limited, a wholly-owned subsidiary of State Street Bank Europe Limited, itself a subsidiary of State Street Bank and Trust Company, which in turn is a subsdiary of State Street Corporation (the “Sub-Investment Manager”). The Sub-Investment Manager has its principal offices located at 20 Churchill Place, Canary Wharf, London E14 5HJ, United Kingdom. The Sub-Investment Manager has delegated certain, limited investment decision making authority to State Street Global Advisors, a division of State Street Bank and Trust Company, which is the investment management division of State Street Bank and Trust Company, a Massachusetts trust company, and has its principal offices located at 1 Lincoln Street, Boston, Massachusetts 02111, USA.
6. Valuation Date and Fixed TimeThe Net Asset Value of the Sub-fund will be calculated by the Administrator as at each Valuation Point in accordance with the requirements of the Articles and full details are set forth under the headings “Calculation of Net Asset Value” in the Prospectus. The Net Asset Value of the Sub-fund will be expressed in its Base Currency.
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7. DividendsAll classes of Shares of the Sub-fund will be accumulating Shares, and therefore, dividends or other distributions out of the Sub-fund’s profits will not normally be paid to Shareholders.
8. Fees and ExpensesThe Sub-fund shall bear its attributable proportion of the organisational and operating expenses of the Company. These are set out in detail under the heading “Fees and Expenses” in the Prospectus. In addition to the fees and expenses described below, Shareholders should read the section in the Prospectus entitled “Fees and Expenses” for a description of other fees and expenses that may apply to their investment in the Sub-fund.
The Sub-fund will pay the following management fee:
For Class P Shares, up to 0.30% of the average daily Net Asset Value; For Class I Shares, up to 0.15% of the average daily Net Asset Value.
These management fees will be accrued daily based on the Net Asset Value of the Sub-fund as of the relevant Dealing Day and will be paid monthly in arrears. The Investment Manager will discharge from these management fees the fees of the Sub-Investment Manager.
The total expense ratios attributable to the Share classes of the Sub-fund, as set out below, incorporate the fees and expenses of the Investment Manager (and the Sub-Investment Manager), Administrator and Custodian, any distribution fee not covered by the subscription fee where appropriate, and certain other expenses of the Sub-fund set forth in Section 23.1 of the Prospectus. The Investment Manager has voluntarily agreed to temporarily reimburse such portions of its fees as is necessary to ensure that the total expense ratio attributable to all Shares shall currently not exceed the following rates:
For the Class P Shares, 0.40% of the average daily Net Asset Value; For the Class I Shares, 0.25% of the average daily Net Asset Value.
9. Subscriptions - Application Procedures
All applicants, whether applying in writing or by facsimile, must complete the Application Form prescribed by the Directors (the “Application Form”). An Application Form for additional Shares may be submitted by facsimile provided the Administrator has received the original Application Form for the initial subscription of Shares. Application Forms may be obtained from the Administrator and set out the methods by which and to whom the subscription monies should be sent. Application Forms shall be irrevocable (unless otherwise agreed with the Directors) and may be sent by facsimile at the risk of the applicant. The Application Form should be received by the Administrator, by 11.00 a.m. (Central European Time) on the relevant Dealing Day. Any Application Form received after such time will be deemed received as of the next Dealing Day. The originally executed Application Form for the initial subscription, along with supporting documentation in relation to money laundering prevention checks, should be received by the Administrator within five (5) Business Days after the electronically transmitted (by facsimile only) Application Form is sent to the Administrator.
Failure to provide the original Application Form by such time may, at the discretion of the Directors, result in the rejection of the application and any monies received will be returned to the applicant (minus any handling charge incurred in any such return) as soon as possible by wire transfer (but without interest, costs or compensation) or in the compulsory redemption of the Shares. In any event, applicants will be unable to redeem Shares on request until the original Application Form has been received and all anti-money laundering checks completed and supporting documentation received.
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In addition to the Application Form, applicants may be requested to provide other information (e.g. as to identity and corporate authorisation). Failure to provide such information may delay the processing of the application.
Fractions: Subscription monies representing less than the Subscription Price for a Share will not be returned to the applicant. Fractions of Shares will be issued where any part of the subscription monies for Shares represents less than the Subscription Price for one Share, provided however, that fractions shall not be less than .0001 of a Share. Subscription monies, representing less than .0001 of a Share will not be returned to the applicant but will be retained by the Sub-fund in order to defray administration costs.
Offer Periods and Related Pricing: Applications for Shares during the Initial Offer Period must be received and accepted during the Initial Offer Period. Settlement proceeds must also be received in cleared funds within the Initial Offer Period, or such later period as the Directors may in their absolute discretion determine.
The Subscription Price for Shares during the Initial Offer Period is the Initial Offer Price(together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Shareholders should also note that an Anti-Dilution Levy may be included in the Initial Offer Price.
After the Initial Offer Period for any class of Shares has expired, Shares will be issued at the then applicable Subscription Price per Share, which is based on the Net Asset Value per Share. See also the section entitled “Pricing” below.
Pricing: Except during the Initial Offer Period, all subscriptions will be dealt on a “forward” pricing basis, i.e. by reference to the Subscription Price for Shares calculated as at the Valuation Point for the relevant Dealing Day (together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Subscription Price (please see Sections 19.1 and 23.4 of the Prospectus). Any Application Forms received after the relevant time for receipt will normally be held over until the next Dealing Day.
10. Payment of Subscription Monies
Method and Currency of Payment: Subscription payments net of all bank charges must be made in US Dollars and should be paid by wire transfer to the bank account specified in the Application Form. Other methods of payment are subject to the prior approval of the Directors with the agreement of the Administrator. No interest will be paid in respect of payments received in circumstances where the application is held over to the next Dealing Day.
Timing of Payment: Payment in respect of subscriptions must be received in cleared funds by 5.00 p.m. (Central European Time) on the third Business Day following the relevant Dealing Day or on such other day as the Directors may determine.
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Payment: If payment in cleared funds in respect of a subscription has not been received by the time specified above, any allotment of Shares made in respect of such application may be cancelled. In the event of the non-clearance of subscription monies, any allotment in respect of an application shall be cancelled. In either event and notwithstanding cancellation of the application, the Directors may charge the applicant for any expense incurred by the Company or the Sub-fund or for any loss to the Sub-fund arising out of such non-receipt or non-clearance. In addition, the Directors will have the right to sell all or part of the applicant’s holding of Shares in the relevant class or any other Sub-fund in order to meet those charges.
11. Minimum Subscriptions/Holdings
Initial Subscriptions: The minimum initial subscription amounts for the Shares are as follows:
$50,000 (or less at the discretion of the Directors) for Class I Shares; and The value of a single Share for Class P Shares.
Subsequent Subscriptions: Any subsequent subscription amounts for Shares shall be in accordance with the following:
For Class I Shares, a minimum of $5,000 (or less at the discretion of the Directors); and A minimum of the value of a single Share for Class P Shares.
Minimum Holdings: Any Shareholder who redeems or otherwise disposes of part of his holding must maintain the following minimum holdings in the Sub-fund:
Not less than $5,000 for Class I Shares (or less at the discretion of the Directors); and Not less than the value of a single Share in respect of Class P Shares.
The Company may redeem the remaining holdings of any Shareholder who redeems his holdings below the foregoing minimums.
12. Redemptions
Redemption Procedure: Every Shareholder will have the right to require the Company to redeem his Shares in the Sub-fund on any Dealing Day (save during any period when the calculation of the Net Asset Value is suspended or the redemption of Shares is limited in the circumstances set forth in the Prospectus) on furnishing to the Administrator a redemption request in the form of a completed Redemption Form. Shares may be redeemed only by written application or by facsimile through the Administrator.
Redemption Pricing: All redemption requests are dealt with on a “forward” pricing basis, i.e. by reference to the Redemption Price for Shares calculated as at the Valuation Point for the relevant Dealing Day and by deducting a redemption fee of up to 3% of the Redemption Price per Share for the benefit of the Sub-fund, where at the discretion of the Directors it is considered to be equitable for the Shareholders as a whole. Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Redemption Price (please see the Sections 19.2 and 23.4 of the Prospectus).
Redemption Form: All applicants must complete the Redemption Form prescribed by the Directors. Redemption Forms may be obtained from the Administrator. A redemption request may be made in writing or by facsimile by a Shareholder but if the account details for redemption payments are different from those set out in the Application Form, the original Redemption Form will be required by the Administrator and verification of the details may be required. The Redemption Form sets out the method by which and to whom redemption monies will be sent.
Redemption Forms must be received by 11.00 a.m. (Central European Time) on the relevant Dealing Day.
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If the Redemption Form is received after the relevant time for receipt thereof it shall be treated as a request for redemption on the Dealing Day following such receipt. In extraordinary circumstances, Redemption Forms may be accepted for redemption if received prior to the Valuation Point on the relevant Dealing Day, at the discretion of the Directors, and Shares will be redeemed at the Redemption Price for that day. Shares will be redeemed at the Redemption Price calculated as at the Valuation Point for the relevant Dealing Day.
Redemptions shall be irrevocable and may be sent by facsimile at the risk of the relevant Shareholder. No redemption proceeds will be paid out unless an original initial Application Form is received by the Administrator, together with any other documents required by the Administrator, and cleared funds were received in connection with the original subscription.
Method and Currency of Payment: Redemption payments will be made in US Dollars to the bank account detailed on the Redemption Form.
Timing of Payment: Redemption proceeds in respect of Shares will be paid on the third Business Day following the relevant Dealing Day, or such other day as the Directors may determine,provided that all the required documentation has been furnished to and received by the Administrator.
In the case of a partial redemption of a Shareholder's holding, the Administrator will advise the Shareholder of the remaining Shares held by him.
Fractions: Apart from circumstances in which a Shareholder is redeeming his entire holding of Shares:-
(a) fractions of Shares will be issued where any part of the redemption monies for Shares represents less than the Redemption Price for one Share, provided however that fractions shall not be less than .0001 of a Share; and
(b) redemption monies, representing less than .0001 of a Share will not be returned to a Shareholder but will be retained by the Directors in order to defray administration costs.
Switching: Shareholders of other sub-funds of the Company may switch into the Sub-fund. Furthermore, Shareholders in the Sub-fund may switch into other sub-funds of the Company. Switches are in principle only permitted from one Class of Shares in a sub-fund to the same Class of Shares of another sub-fund, unless the investor fulfils the eligibility criteria of the Class of Shares to be switched into.
Shares can be switched on any Dealing Day which is a Dealing Day for both sub-funds at the Subscription Price valid on that date, provided the application for switching is received by the Company (for the attention of the Administrator) by 11:00 a.m., Central European Time (cut-off time) on the relevant Dealing Day. The provisions relating to the cut-off time and forward pricing also apply concerning switching of Shares and are described in full in this Supplement and the Prospectus.
Applications should be addressed directly to State Street Bank Luxembourg S.A., acting as transfer agent for the Company, or otherwise through one of the Distributors. The application must contain the following information: the number of Shares in the old and new sub-funds (or the monetary amount the Shareholder wishes to convert) and the value ratio according to which the Shares in each sub-fund are to be divided if more than one new sub-fund is intended.
Further detail can be found in the Prospectus under the sub-heading “Switching.”
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STATE STREET GLOBAL ADVISORS LUXEMBOURG SICAV
Supplement No. 11
SSgA Enhanced Emerging Markets Equity Fund
DATED: MARCH 2011
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INTRODUCTION
State Street Global Advisors Luxembourg SICAV (the “Company”) is authorised in Luxembourg by the Commission de Surveillance du Secteur Financier (the “CSSF”) as a UCITS for the purposes of the 2002 Law. The Company is an open-ended umbrella investment company with segregated liability between sub-funds and variable capital.
This Supplement contains information relating to the Shares of the SSgA Enhanced Emerging Markets Equity Fund (the “Sub-fund”), which is a separate sub-fund of the Company. This Supplement forms part of and should be read in the context of and together with the general description of the Company contained in the current Prospectus.
As of the date of this Supplement, the Company currently offers the following Share classes of the Sub-fund:
Class I Shares
Class I EUR Shares
Class P Shares
Class I and Class I EUR Shares are reserved for institutional investors as defined in Articles 174 to 176of the 2010 Law. Class P Shares are available to retail and institutional investors. Class I EUR Shares are denominated in Euros. Further, the Company may, at a future date, create and offer additional Share classes for the Sub-fund.
The Company does not intend to list any Class of Shares of the Sub-fund on the Luxembourg Stock Exchange.
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DEFINITIONS
Unless otherwise defined herein or unless the context otherwise requires all defined terms used in this Supplement shall bear the same meaning as in the Prospectus.
Base Currency US Dollars
Business Day Any day on which banks are open for business in Luxembourg and the United States (excluding Saturday, Sunday and public holidays).
Dealing Day Each full bank Business Day.
Initial Offer Period The period beginning at 9.00 a.m. (Central European time) on 14 March2011 and ending at 5.00 p.m. (Central European time) on 14 May 2011, or such other period as the Directors may determine and notify to the CSSF.
Initial Offer Price €10 per Share for the Class I EUR Shares, plus such sum as the Investment Manager considers appropriate (within permitted limits) as an Anti-Dilution Levy.
Redemption Price The redemption price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Redemption.”
Shares The: (i) Class I Shares; (ii) Class I EUR Shares and (iii) Class P Shares in the Sub-fund to be issued in accordance with this Supplement and the Prospectus.
Subscription Price The subscription price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Subscription.”
Valuation Point Such time on a Dealing Day as the Directors may from time to time determine at which the Net Asset Value and the Net Asset Value per Share of the Sub-fund is calculated.
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1. Issue of Sub-fund sharesThe initial issue of Class I EUR Shares in the Sub-fund will take place during the Initial Offer Period, at the Initial Offer Price, plus a subscription fee of up to 3% of the issue price. Shareholders should also note that an Anti-Dilution Levy may be included in the Initial Offer Price. After the Initial Offer Period, Class I EUR Shares in the Sub-fund will be available for purchase on each Dealing Day and, as described below, will be offered at the applicable Subscription Price per Share, plus a subscription fee of up to 3% of the issue price.
Class I Shares and Class P Shares in the Sub-fund are available for purchase on each Dealing Day and, as described below, are offered at the applicable Subscription Price per Share, plus a subscription fee of up to 3% of the issue price.
2. Investment objectives and investment policyInvestment objective. The Sub-fund seeks to provide an investment return in excess of the performance of the MSCI Emerging Markets IndexSM (the “Index”) over the long term.
Principal investment strategies. The Sub-fund invests principally in equity securities of companies domiciled, or doing a substantial portion of their business, in countries of which the Index is comprised (“emerging markets companies”), including both locally listed securities and securities listed in other countries (including, without limitation American Depositary Receipts and Global Depositary Receipts). The Sub-fund also may participate in initial public offerings (“IPOs”) where the offered company will become a member of the Sub-fund’s investment universe.While maintaining overall risk, style and company size characteristics similar to that of the Index, the Sub-fund seeks to outperform the Index by overweighting and underweighting companies relative to the Index based on the Sub-Investment Manager’s proprietary quantitative investment process. In selecting securities to overweight and underweight, the Sub-Investment Manager considers factors such as earnings growth potential, earnings estimates, fundamental ratio analysis and investor sentiment. The Sub-fund will normally hold between one-third and two-thirds of the total number of securities in the Index. The Sub-Investment Manager may, but will not necessarily, enter into foreign currency exchange transactions for the Sub-fund.
Although investments in emerging markets offer the potential for attractive returns, they can be highly volatile and can result in losses.
Although the Sub-Investment Manager may consider the factors described above in purchasing or selling investments for the Sub-fund, the Sub-Investment Manager may purchase, sell, or continue to hold an investment for the Sub-fund whenever it believes that doing so may benefit the Sub-fund, on the basis of any of the factors described above or any other factors.
Principal investments. The Sub-fund normally invests most of its assets in equity securities of emerging markets companies. Equity securities may include common stocks, preferred stocks, or other securities convertible into common stock. Equity securities held by the Sub-fund may be denominated in foreign currencies and may be held outside Luxembourg.
The Sub-fund may also make use of derivatives (in accordance with the requirements of the 2002 Law) to obtain indirect exposure to emerging markets, including, by way of example, total return swaps, depositary receipts, exchange-traded and OTC options, exchange-traded index futures, and other exchange-traded products that are UCITS III compliant. The Sub-fund may enter into foreign currency exchange transactions, including transactions involving foreign currency forward contracts, futures contracts, and options. The Sub-fund may hold a portion of its assets in cash.
Certain emerging markets may be closed in whole or part to the direct purchase of equity
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securities by foreigners, or direct investment in those markets may be difficult or expensive. In those markets, the Sub-fund may be able to invest in equity securities through other investment funds that qualify as UCITS or other UCIs within the meaning of Section 7.1. (d) of Chapter 7 “Investment Limits” in the main body of the Prospectus. Investment in these funds will typically entail additional expense due to management fees charged by the target funds and other expenses of those funds. Investments into investment funds will not impact the capability of the Sub-fund to honor redemption requests. The Sub-fund may invest more than 20% of its Net Assets into investment funds as described above. The Sub-fund may not invest in a UCITS or other UCI with a management fee exceeding 1.50% per annum. The maximum annual management fee payable directly by the Sub-fund is set forth in Section 8 of this Supplement.However, with effect from 25 March, 2011, the Sub-fund will be permitted to invest only up to 10% of its Net Asset Value in UCITS or other UCIs, in accordance with the provisions of the first bullet point under Section 7.2(i) of the Prospectus.
Although certain of the investments described above may exhibit characteristics of leverage transactions, the Sub-Investment Manager will not borrow money or use derivatives in a manner that the Sub-Investment Manager considers to have the purpose of creating investment leverage. Investments made by the Sub-Investment Manager to hedge or reduce risk will not be considered to have been made for the purpose of creating investment leverage; the Sub-Investment Manager generally will determine whether an investment has the effect of creating investment leverage by evaluating the effect of the investment on the exposure and risk profile of the Sub-fund as a whole.
In accordance with the general description in the main body of the Prospectus, the Sub-fund may lend its portfolio securities, and may compensate the Investment Manager, Sub-Investment Manager or an affiliate of the Investment Manager for services provided in connection with effecting securities loans and investing related cash collateral. The Sub-fund may pay the Investment Manager, Sub-Investment Manager or an affiliate fees and expenses related to the provision of custodial, administrative, bookkeeping, and accounting services, transfer agency and shareholder servicing, and other services that the Investment Manager or Sub-Investment Manager may from time to time consider necessary or appropriate. The Sub-fund may enter into repurchase agreements, including transactions with the Investment Manager, Sub-Investment Manager or an affiliate of the Investment Manager, it being understood that such transactions will be effected on an arms length basis. The Sub-fund may invest in investment funds within the meaning of Section 7.1. (d) of the above-mentioned Chapter 7, including investment fundssponsored, managed, or otherwise affiliated with the Investment Manager or Sub-Investment Manager and. See "General Risk Factors" and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments” in the Prospectus.
An investment in the Sub-fund may be subject to taxation. Potential Shareholders should consult their own tax counsel as to the specific tax consequences of an investment in the Sub-fund.
The MSCI Emerging Markets IndexSM is a trademark of Morgan Stanley Capital International. The financial product described herein is indexed to an MSCI index. The financial product referred to herein is not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such financial product or any index on which such financial product is based.
Certain Risk Controls. The Investment Manager and Sub-Investment Manager monitor the overall risk of the Sub-fund, in order to seek to avoid unintended risk exposure relative to the Index. The Investment Manager and Sub-Investment Manager attempt to manage risk by, among other things, monitoring industry and sector weights and deviations from the Index, maintaining diversification, and performing on-going reviews of company fundamentals and valuations.
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3. Investment limits of the Sub-fundThe investment and borrowing restrictions set out in the Prospectus apply in their entirety to the Sub-fund.
4. Risk FactorsPotential Shareholders should consider the risk factors set forth in the Prospectus under the sections entititled “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
In view of the Sub-fund’s specialized investment program, the Sub-fund is considered a sophisticated fund and Shares are suitable investments for sophisticated investors and financial institutions for whom an investment in Shares does not constitute a complete investment program and who fully understand, are willing to assume, and have the financial resources necessary to withstand the risks that may be involved in the Sub-fund’s investment program.
In relation to investments in derivatives, the use of these instruments involves special risks including (i) dependence on the ability to predict movements in the prices of securities underlying the derivative instruments and movements in interest or currency rates; (ii) imperfect correlation between the derivative instruments and the securities or market sectors to which they relate; (iii) greater volatility than the securities and/or markets to which they relate; (iv) liquidity risk when, for example, a particular derivative instrument is difficult to purchase or sell; (v) market risk, where the market value of the derivative changes in a way that is detrimental to the Sub-fund; (vi) counterparty risk, where the counterparty with which the Sub-fund trades becomes insolvent, bankrupt or defaults; (vii) settlement risk, where a counterparty defaults in settling a trade; and (viii) legal risk, where the enforceability of a derivative contract may be an issue. See “Special Investment Techniques and Financial Instruments” in the Prospectus.
The Company will, on request, provide supplementary information to Shareholders relating to the risk management process employed including the quantitative limits that are applied and any recent developments in the risk and yield characteristics of the main categories of investment.
5. Investment Manager and Sub-Investment ManagerState Street Global Advisors France S.A. has been appointed Investment Manager for the Sub-fund. State Street Global Advisors France S.A. is a company duly authorised by the AMF (French financial markets authority) on 3rd June 1997, under number 97-044. Registered office: Immeuble Defense Plaza, 23-25 Rue Delariviere-Lefoullon 92062, France. Form of incorporation: Societe Anonyme, French company limited by shares. The Investment Manager has delegated investment decision making authority to State Street Global Advisors, a division of State Street Bank and Trust Company (the “Sub-Investment Manager”). The Sub-Investment Manager is the investment management division of State Street Bank and Trust Company, a Massachusetts trust company, and has its principal offices located at 1 Lincoln Street, Boston, Massachusetts 02111, USA.
6. Valuation Date and Fixed TimeThe Net Asset Value of the Sub-fund will be calculated by the Administrator as at each Valuation Point in accordance with the requirements of the Articles and full details are set forth under the headings “Calculation of Net Asset Value” in the Prospectus. The Net Asset Value of the Sub-fund will be expressed in its Base Currency, provided, however, that the Net Asset Value of the Class I EUR Shares will be expressed in Euros.
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7. DividendsAll classes of Shares of the Sub-fund will be accumulating Shares, and therefore, dividends or other distributions out of the Sub-fund’s profits will not normally be paid to Shareholders.
8. Fees and ExpensesThe Sub-fund shall bear its attributable proportion of the organisational and operating expenses of the Company. These are set out in detail under the heading “Fees and Expenses” in the Prospectus. In addition to the fees and expenses described below, Shareholders should read the section in the Prospectus entitled “Fees and Expenses” for a description of other fees and expenses that may apply to their investment in the Sub-fund.
The Sub-fund will pay the following management fee:
For Class P Shares, up to 0.95% of the average daily Net Asset Value; For Class I Shares, up to 0.45% of the average daily Net Asset Value; For Class I EUR Shares, up to 0.45% of the average daily Net Asset Value.
These management fees will be accrued daily based on the Net Asset Value of the Sub-fund as of the relevant Dealing Day and will be paid monthly in arrears. The Investment Manager will discharge from these management fees the fees of the Sub-Investment Manager.
The total expense ratios attributable to the Share classes of the Sub-fund, as set out below, incorporate the fees and expenses of the Investment Manager (and the Sub-Investment Manager), Administrator and Custodian, any distribution fee not covered by the subscription fee where appropriate, and certain other expenses of the Sub-fund set forth in Section 23.1 of the Prospectus. The Investment Manager has voluntarily agreed to temporarily reimburse such portions of its fees as is necessary to ensure that the total expense ratio attributable to all Shares shall currently not exceed the following rates:
For the Class P Shares, 1.20% of the average daily Net Asset Value; For the Class I Shares, 0.70% of the average daily Net Asset Value; For Class I EUR Shares, up to 0.70% of the average daily Net Asset Value.
9. Subscriptions - Application Procedures
All applicants, whether applying in writing or by facsimile, must complete the Application Form prescribed by the Directors (the “Application Form”). An Application Form for additional Shares may be submitted by facsimile provided the Administrator has received the original Application Form for the initial subscription of Shares. Application Forms may be obtained from the Administrator and set out the methods by which and to whom the subscription monies should be sent. Application Forms shall be irrevocable (unless otherwise agreed with the Directors) and may be sent by facsimile at the risk of the applicant. The Application Form should be received by the Administrator, by 11.00 a.m. (Central European Time) at least one (1) Business Day prior tothe relevant Dealing Day. Any Application Form received after such time will be deemed received as of the next Dealing Day. The originally executed Application Form for the initial subscription, along with supporting documentation in relation to money laundering prevention checks, should be received by the Administrator within five (5) Business Days after the electronically transmitted (by facsimile only) Application Form is sent to the Administrator.
Failure to provide the original Application Form by such time may, at the discretion of the Directors, result in the rejection of the application and any monies received will be returned to the applicant (minus any handling charge incurred in any such return) as soon as possible by wire transfer (but without interest, costs or compensation) or in the compulsory redemption of the Shares. In any event, applicants will be unable to redeem Shares on request until the original
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Application Form has been received and all anti-money laundering checks completed and supporting documentation received.
In addition to the Application Form, applicants may be requested to provide other information (e.g. as to identity and corporate authorisation). Failure to provide such information may delay the processing of the application.
Fractions: Subscription monies representing less than the Subscription Price for a Share will not be returned to the applicant. Fractions of Shares will be issued where any part of the subscription monies for Shares represents less than the Subscription Price for one Share, provided however, that fractions shall not be less than .0001 of a Share. Subscription monies, representing less than .0001 of a Share will not be returned to the applicant but will be retained by the Sub-fund in order to defray administration costs.
Offer Periods and Related Pricing: Applications for Shares during the Initial Offer Period must be received and accepted during the Initial Offer Period. Settlement proceeds must also be received in cleared funds within the Initial Offer Period, or such later period as the Directors may in their absolute discretion determine.
The Subscription Price for Shares during the Initial Offer Period is the Initial Offer Price(together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Shareholders should also note that an Anti-Dilution Levy may be included in the Initial Offer Price.
After the Initial Offer Period for any class of Shares has expired, Shares will be issued at the then applicable Subscription Price per Share, which is based on the Net Asset Value per Share.Currently, the Class I Shares and Class P Shares are offered at the applicable Subscription Price per Share. See also the section entitled “Pricing” below.
Pricing: Except during the Initial Offer Period, all subscriptions will be dealt on a “forward” pricing basis, i.e. by reference to the Subscription Price for Shares calculated as at the Valuation Point for the relevant Dealing Day (together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Subscription Price (please see Sections 19.1 and 23.4 of the Prospectus). Any Application Forms received after the relevant time for receipt will normally be held over until the next Dealing Day.
10. Payment of Subscription Monies
Method and Currency of Payment: Subscription payments net of all bank charges must be made (i) in respect of Class I Shares and Class P Shares in US Dollars, and (ii) in respect of Class I EUR Shares in Euros, and in each case, should be paid by wire transfer to the bank account specified in the Application Form. Other methods of payment are subject to the prior approval of the Directors with the agreement of the Administrator. No interest will be paid in respect of payments received in circumstances where the application is held over to the next Dealing Day.
Timing of Payment: Payment in respect of subscriptions must be received in cleared funds by 5.00 p.m. (Central European Time) on the third Business Day following the relevant Dealing Day or on such other day as the Directors may determine.
Payment: If payment in cleared funds in respect of a subscription has not been received by the time specified above, any allotment of Shares made in respect of such application may be cancelled. In the event of the non-clearance of subscription monies, any allotment in respect of an application shall be cancelled. In either event and notwithstanding cancellation of the application, the Directors may charge the applicant for any expense incurred by the Company or the Sub-fund or for any loss to the Sub-fund arising out of such non-receipt or non-clearance. In
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addition, the Directors will have the right to sell all or part of the applicant’s holding of Shares in the relevant class or any other Sub-fund in order to meet those charges.
11. Minimum Subscriptions/Holdings
Initial Subscriptions: The minimum initial subscription amounts for the Shares are as follows:
$50,000 or the equivalent value in Euros (or less at the discretion of the Directors) for Class I Shares and Class I EUR Shares; and
The value of a single Share for Class P Shares.
Subsequent Subscriptions: Any subsequent subscription amounts for Shares shall be in accordance with the following:
For Class I Shares and Class I EUR Shares, a minimum of $5,000 or the equivalent value in Euros (or less at the discretion of the Directors); and
A minimum of the value of a single Share for Class P Shares.
Minimum Holdings: Any Shareholder who redeems or otherwise disposes of part of his holding must maintain the following minimum holdings in the Sub-fund:
Not less than $5,000 or the equivalent value in Euros for Class I Shares and Class I EUR Shares (or less at the discretion of the Directors); and
Not less than the value of a single Share in respect of Class P Shares.
The Company may redeem the remaining holdings of any Shareholder who redeems his holdings below the foregoing minimums. The Administrator will determine any equivalent value in Euros for purposes of investments relating to the Class I EUR Shares.
12. Redemptions
Redemption Procedure: Every Shareholder will have the right to require the Company to redeem his Shares in the Sub-fund on any Dealing Day (save during any period when the calculation of the Net Asset Value is suspended or the redemption of Shares is limited in the circumstances set forth in the Prospectus) on furnishing to the Administrator a redemption request in the form of a completed Redemption Form. Shares may be redeemed only by written application or by facsimile through the Administrator.
Redemption Pricing: All redemption requests are dealt with on a “forward” pricing basis, i.e. by reference to the Redemption Price for Shares calculated as at the Valuation Point for the relevant Dealing Day and by deducting a redemption fee of up to 3% of the Redemption Price per Share for the benefit of the Sub-fund, where at the discretion of the Directors it is considered to be equitable for the Shareholders as a whole. Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Redemption Price (please see Sections 19.2 and 23.4 of the Prospectus).
Redemption Form: All applicants must complete the Redemption Form prescribed by the Directors. Redemption Forms may be obtained from the Administrator. A redemption request may be made in writing or by facsimile by a Shareholder but if the account details for redemption payments are different from those set out in the Application Form, the original Redemption Form will be required by the Administrator and verification of the details may be required. The Redemption Form sets out the method by which and to whom redemption monies will be sent.
Redemption Forms must be received by 11.00 a.m. (Central European Time) at least one (1) Business Day prior to the relevant Dealing Day.
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If the Redemption Form is received after the relevant time for receipt thereof it shall be treated as a request for redemption on the Dealing Day following such receipt. In extraordinary circumstances, Redemption Forms may be accepted for redemption if received prior to the Valuation Point on the relevant Dealing Day, at the discretion of the Directors, and Shares will be redeemed at the Redemption Price for that day. Shares will be redeemed at the Redemption Price calculated as at the Valuation Point for the relevant Dealing Day.
Redemptions shall be irrevocable and may be sent by facsimile at the risk of the relevant Shareholder. No redemption proceeds will be paid out unless an original initial Application Form is received by the Administrator, together with any other documents required by the Administrator, and cleared funds were received in connection with the original subscription.
Method and Currency of Payment: Redemption payments will be made (i) in respect of Class I Shares and Class P Shares, in US Dollars, and (ii) in respect of Class I EUR Shares, in Euros, and in each case, to the bank account detailed on the Redemption Form.
Timing of Payment: Redemption proceeds in respect of Shares will be paid on the third Business Day following the relevant Dealing Day, or such other day as the Directors may determine,provided that all the required documentation has been furnished to and received by the Administrator.
In the case of a partial redemption of a Shareholder's holding, the Administrator will advise the Shareholder of the remaining Shares held by him.
Fractions: Apart from circumstances in which a Shareholder is redeeming his entire holding of Shares:-
(a) fractions of Shares will be issued where any part of the redemption monies for Shares represents less than the Redemption Price for one Share, provided however that fractions shall not be less than .0001 of a Share; and
(b) redemption monies, representing less than .0001 of a Share will not be returned to a Shareholder but will be retained by the Directors in order to defray administration costs.
Switching: Shareholders of other sub-funds of the Company may switch into the Sub-fund. Furthermore, Shareholders in the Sub-fund may switch into other sub-funds of the Company. Switches are in principle only permitted from one Class of Shares in a sub-fund to the same Class of Shares of another sub-fund, unless the investor fulfils the eligibility criteria of the Class of Shares to be switched into.
Shares can be switched on any Dealing Day which is a Dealing Day for both sub-funds at the Subscription Price valid on that date, provided the application for switching is received by the Company (for the attention of the Administrator) by 11:00 a.m., Central European Time (cut-off time) at least one (1) Business Day prior to the relevant Dealing Day. The provisions relating to the cut-off time and forward pricing also apply concerning switching of Shares and are described in full in this Supplement and the Prospectus.
Applications should be addressed directly to State Street Bank Luxembourg S.A., acting as transfer agent for the Company, or otherwise through one of the Distributors. The application must contain the following information: the number of Shares in the old and new sub-funds (or the monetary amount the Shareholder wishes to convert) and the value ratio according to which the Shares in each sub-fund are to be divided if more than one new sub-fund is intended.
Further detail can be found in the Prospectus under the sub-heading “Switching.”
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STATE STREET GLOBAL ADVISORS LUXEMBOURG SICAV
Supplement No. 12
SSgA Euro Government Liquidity Fund
DATED: MARCH 2011
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INTRODUCTION
State Street Global Advisors Luxembourg SICAV (the “Company”) is authorised in Luxembourg by the Commission de Surveillance du Secteur Financier (the “CSSF”) as a UCITS for the purposes of the2002 Law. The Company is an open-ended umbrella investment company with segregated liability between sub-funds and variable capital.
This Supplement contains information relating to the Shares of the SSgA Euro Government LiquidityFund (the “Sub-fund”), which is a separate sub-fund of the Company. This Supplement forms part of and should be read in the context of and together with the general description of the Company contained in the current Prospectus.
As of the date of this Supplement, the Company currently offers the following Share classes of the Sub-fund:
Class I Stable NAV Shares
Class I Accumulating NAV Shares
Class P Stable NAV Shares
Class P Accumulating NAV Shares
Class I Stable NAV Shares and Class I Accumulating NAV Shares are reserved for institutional investors as defined in Articles 174 to 176 of the 2010 Law. Class P Stable NAV Shares and Class P Accumulating NAV Shares are available to retail and institutional investors. Further, the Company may, at a future date, create and offer additional Share classes for the Sub-fund.
The Company does not intend to list any Class of Shares of the Sub-fund on the Luxembourg Stock Exchange.
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DEFINITIONS
Unless otherwise defined herein or unless the context otherwise requires all defined terms used in this Supplement shall bear the same meaning as in the Prospectus.
Base Currency Euros
Business Day (i) Any day on which banks are open for business in Luxembourg (excluding Saturday, Sunday and public holidays); and (ii) weekdays other than days on which the Trans-European Automated Real-Time Gross Settlement Express Transfer (“TARGET”), the Eurosystem interbank funds transfer system, is closed for business..
Class I Shares The Class I Stable NAV Shares and the Class I Accumulating NAV Shares.
Class P Shares The Class P Stable NAV Shares and the Class P Accumulating NAV Shares.
Dealing Day Each full bank Business Day.
Government Securities Any security or securities (including money market instruments) issued or guaranteed by any government, state, province, local authority or other political sub-division of a government, including any agency or instrumentality thereof.
Initial Offer Period This Sub-fund is not yet launched as at the date of the Prospectus. The Sub-fund may be launched at the Director's discretion. Confirmation of the launch date will be made available at the registered office of the Company and any provisions in the Prospectus relating to the Sub-fund shall only take effect from the launch date of the Sub-fund.
Initial Offer Price €10 per Share for the Class I Accumulating NAV Shares and Class PAccumulating NAV Shares. €1 per Share for the Class I Stable NAV Shares and Class P Stable NAV Shares.
Redemption Price The redemption price per Share, as determined in accordance with theprovisions of the Prospectus under the sub-heading “Redemption.”
Shares The: (i) Class I Stable NAV Shares, (ii) Class I Accumulating NAV Shares, (iii) Class P Stable NAV Shares and (iv) Class P Accumulating NAV Shares in the Sub-fund to be issued in accordance with this Supplement and the Prospectus.
Subscription Price The subscription price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Subscription.”
Supranational Organisations
An entity that is formed by two or more central governments through international treaties. The purpose for creating a supranationalorganisation is to promote economic development for the member countries.
Valuation Point Such time on a Dealing Day as the Directors may from time to time determine at which the Net Asset Value and the Net Asset Value per Share of the Sub-fund is calculated.
1. Issue of Sub-fund sharesThe initial issue of Shares in the Sub-fund will take place during the Initial Offer Period, at the Initial Offer Price, plus a subscription fee of up to 3% of the issue price. After the Initial Offer Period, Shares in the Sub-fund will be available for purchase on each Dealing Day and, as described below, will be offered at the applicable Subscription Price per Share, plus a subscription fee of up to 3% of the issue price.
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Note: This Sub-fund is not yet launched as at the date of the Prospectus. The Sub-fund may be launched at the Director's discretion. Confirmation of the launch date will be made available atthe registered office of the Company and any provisions in the Prospectus relating to the Sub-fund shall only take effect from the launch date of the Sub-fund.
2. Investment objectives and investment policyInvestment objective. The Sub-fund seeks to maintain a high level of liquidity, preserve capital and stability of principal expressed in Euros and, consistent with these objectives, earn current income.
Principal investment strategies. The Sub-fund invests principally in a range of high quality fixed and adjustable rate instruments (typically debt securities) primarily denominated in Euros,including, but not limited to, Government Securities, securities issued by Supranational Organisations, and other debt guaranteed by government entities or Supranational Organisations. The Sub-fund may also enter into repurchase agreements that are backed by such securities.
Consistent with the Sub-fund’s investment objectives, investments will be purchased with the intention that they will be held until maturity.
The Sub-Investment Manager uses credit analysis to seek to identify investments and issuers that it believes will provide the greatest stability of capital and the highest probability of repayment. As part of this analysis, the Sub-Investment Manager uses in-depth research to identify issuers and securities that it deems attractive for purchase in light of the risks presented. Further, the Sub-Investment Manager considers the liquidity of each investment and the overall investment portfolio as an important factor in investment decisions.
Although the Sub-Investment Manager may consider the factors described above in purchasing or selling investments for the Sub-fund, the Sub-Investment Manager may purchase, sell, or continue to hold an investment for the Sub-fund whenever it believes that doing so may benefit the Sub-fund, on the basis of any of the factors described above or any other factors.
Principal investments. As described above, the Sub-fund will invest in (i) a range of high quality fixed and adjustable rate instruments (typically debt securities) primarily denominated in Euros,including, but not limited to, Government Securities, securities issued by Supranational Organisations, and other debt guaranteed by government entities or Supranational Organisations, and (ii) repurchase agreements that are backed by such securities.
The weighted average days to maturity and/or reset of the investments held by the Sub-fund will be 60 days or less. The maximum maturity of any investment held by the Sub-fund will be 397 days from the date of purchase (except in relation to floating rate instruments, which may have longer residual maturities, provided they have annual (or shorter) reset dates).
For investments that carry a long-term rating, the Sub-fund is restricted to investing in securities rated at least A2 by Moody’s Investor Services (“Moody’s”) or A by Standard & Poor’s Corporation (“S&P”). For investments that carry a short-term rating, the Sub-fund is restricted to investing in securities rated at least Prime-1 by Moody’s or A-1 by S&P. The Sub-fund may also invest in unrated Government Securities where the issuing government entity has a quality rating of at least A2 by Moody’s or A by S&P. The securities underlying any repurchase agreements entered into by the Sub-Fund will also comply with these credit quality restrictions.
The Sub-fund may also make use of derivatives in accordance with the requirements of the 2002 Law. Typically, these transactions will be used for efficient portfolio management and currency hedging purposes. For example, the Sub-fund may use interest rate derivatives to manage its weighted average maturity or enter into foreign currency exchange transactions to hedge its non-Euro currency exposure.
The Sub-Investment Manager will not borrow money or use derivatives in a manner that the Sub-Investment Manager considers to have the purpose of creating investment leverage in the Sub-
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fund. Investments made by the Sub-Investment Manager to hedge or reduce risk will not beconsidered to have been made for the purpose of creating investment leverage; the Sub-Investment Manager generally will determine whether an investment has the effect of creating investment leverage by evaluating the effect of the investment on the exposure and risk profile of the Sub-fund as a whole.
The Sub-fund may enter into repurchase agreements, including transactions with the Investment Manager, Sub-Investment Manager and/or an affiliate of the Investment Manager, it being understood that such transactions will be effected on an arms length basis. The Sub-fund may invest in investment funds that qualify as UCITS or other UCIs within the meaning of Section 7.1. (d) of Chapter 7 "Investment Limits" in the main body of the Prospectus. Such UCITS or other UCIs may include entities sponsored, managed, or otherwise affiliated with the Investment Manager. See "General Risk Factors" and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments” in the full Prospectus.
The Sub-Investment Manager will seek to attain and maintain an AAA/Aaa rating on the Sub-fund as assigned by at least one rating agency.
An investment in the Sub-fund may be subject to taxation. Potential Shareholders should consult their own tax counsel as to the specific tax consequences of an investment in the Sub-fund.
Certain Risk Controls. Both the Investment Manager and the Sub-Investment Manager monitor the overall risk of the Sub-fund in order to manage unintended risks. The Sub-Investment Manager attempts to manage risk by, among other things, monitoring the credit analysis of investments and issuers, maintaining diversification, and performing on-going investment surveillance of the Sub-fund.
3. Investment limits of the Sub-fundThe investment and borrowing restrictions set out in the Prospectus apply in their entirety to the Sub-fund.
4. Risk FactorsPotential Shareholders should consider the risk factors set forth in the Prospectus under the sections entititled “General Risk Factors” and “Risks Associated with the Use of Derivitives and Other Special Investment Techniques and Financial Instruments.”
The Sub-fund is considered a non-sophisticated fund and is available to institutional and private investors. Investors should understand that an investment in Shares does not constitute a complete investment program and that investors should have the financial resources necessary to withstand the risks that may be involved in the Sub-fund’s investment program.
In relation to investments in derivatives, the use of these instruments involves special risks including (i) dependence on the ability to predict movements in the prices of securities underlying the derivative instruments and movements in interest or currency rates; (ii) imperfect correlation between the derivative instruments and the securities or market sectors to which they relate; (iii) greater volatility than the securities and/or markets to which they relate; (iv) liquidity risk when, for example, a particular derivative instrument is difficult to purchase or sell; (v) market risk, where the market value of the derivative changes in a way that is detrimental to the Sub-fund; (vi) counterparty risk, where the counterparty with which the Sub-fund trades becomes insolvent,bankrupt or defaults; (vii) settlement risk, where a counterparty defaults in settling a trade; and (viii) legal risk, where the enforceability of a derivative contract may be an issue. See “Special Investment Techniques and Financial Instruments” in the Prospectus.
The Sub-Investment Manager will seek to maintain a stable Net Asset Value per Share in respect of the Class P Stable NAV Shares and the Class I Stable NAV Shares. However, there can be no assurance that the Sub-Investment Manager will achieve this, and the Net Asset Value of the Class P Stable NAV Shares and the Class I Stable NAV Shares may fluctuate.
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The Company will, on request, provide supplementary information to Shareholders relating to the risk management process employed including the quantitative limits that are applied and any recent developments in the risk and yield characteristics of the main categories of investment.
5. Investment Manager and Sub-Investment ManagerState Street Global Advisors France S.A. has been appointed Investment Manager for the Sub-fund. State Street Global Advisors France S.A. is a company duly authorised by the AMF (French financial markets authority) on 3rd June 1997, under number 97-044. Registered office: Immeuble Defense Plaza, 23-25 Rue Delariviere-Lefoullon 92062, France. Form of incorporation: Societe Anonyme, French company limited by shares. The Investment Manager has delegated investment decision making authority to State Street Global Advisors Limited, a wholly-owned subsidiary of State Street Bank Europe Limited, itself a subsidiary of State Street Bank and Trust Company, which in turn is a subsdiary of State Street Corporation (the “Sub-Investment Manager”). The Sub-Investment Manager has its principal offices located at 20 Churchill Place, Canary Wharf, London E14 5HJ, United Kingdom.
6. Calculation of Net Asset ValueThe Net Asset Value of the Sub-fund will be calculated by the Administrator as at each Valuation Point in accordance with the principles set forth below and the requirements of the Articles. The Net Asset Value of the Sub-fund will be expressed in its Base Currency.The Sub-fund will be managed in a manner designed to stabilise the Net Asset Value of the Class I Stable NAV Shares and Class P Stable NAV Shares of the Sub-fund at the Initial Offer Price by declaring dividends attributable to the Class I Stable NAV Shares and the Class P Stable NAV Shares daily out of net investment income (i.e., income from dividends, interest, realised and unrealised gains or losses on the disposal or valuation or assets or otherwise, less the Sub-fund’s accrued expenses) of the Sub-fund attributable to these Share classes. There can be no assurance, however, that the stable Net Asset Value for these Share classes will be achieved.
The investments of the Sub-fund will be valued using the amortised cost method of valuation. The amortised cost method of valuation involves valuing an instrument at its cost and thereafter assuming a constant amortisation or accretion to maturity of any premium or discount. This method of valuation will only be used in accordance with Committee of European Securities Regulators (CESR) guidelines concerning eligible assets for investments by UCITS and only with respect to securities with a maturity at issuance or residual term to maturity of 397 days or less or securities that undergo regular yield adjustments at least every 397 days and provided the Fund’s investments also maintain a weighted average duration of 60 days or less.
The Directors will periodically review the deviations between the amortised method of valuation and the current market value of the Sub-fund’s investments and recommend changes where necessary to ensure that such investments are valued at their true value as determined in good faith. There may be periods during which the stated value of an instrument determined under the amortised cost method of valuation is higher or lower than the price the Sub-fund would receive if the instrument were sold, and the accuracy of the amortised cost valuation can be affected by changes in interest rates and the credit standing of issuers of each Sub-fund’s investments.
Furthermore, if in the view of the Board of Directors, on the advice of the Sub-Investment Manager, it is inadvisable to continue to seek to maintain a constant Net Asset Value for the Sub-fund, the Board of Directors may discontinue using the amortised cost method of valuation for Sub-fund.
7. DividendsThe Class I Stable NAV Shares and the Class P Stable NAV Shares are distributing Shares and are designated as reinvestment classes, and consequently, dividends will be declared in respect of the Class I Stable NAV Shares and the Class P Stable NAV Shares on each Dealing Day, will be
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payable monthly to Shareholders and will be automatically reinvested in the form of additional Shares rather than paid to Shareholders.
The Class I Accumulating Shares and the Class P Accumulating Shares are designated as accumulating classes, and therefore, no dividends or other distributions will be attributable to these classes.
8. Fees and ExpensesThe Sub-fund shall bear its attributable proportion of the organisational and operating expenses of the Company. These are set out in detail under the heading “Fees and Expenses” in the Prospectus. In addition to the fees and expenses described below, Shareholders should read the section in the Prospectus entitled “Fees and Expenses” for a description of other fees and expenses that may apply to their investment in the Sub-fund.
The Sub-fund will pay the following management fee:
For Class P Shares, up to 0.55% of the average daily Net Asset Value; For Class I Shares, up to 0.15% of the average daily Net Asset Value.
These management fees will be accrued daily based on the Net Asset Value of the Sub-fund as of the relevant Dealing Day and will be paid monthly in arrears. The Investment Manager will discharge from these management fees the fees of the Sub-Investment Manager.
The total expense ratios attributable to the Share classes of the Sub-fund, as set out below, incorporate the fees and expenses of the Investment Manager, the Sub-Investment Manager, Administrator and Custodian, any distribution fee not covered by the subscription fee where appropriate and certain other expenses of the Sub-fund set forth in Section 23.1 of the Prospectus. The Investment Manager has voluntarily agreed to temporarily reimburse such portions of its fees as is necessary to ensure that the total expense ratio attributable to all Shares shall currently not exceed the following rates:
For the Class P Shares, 0.60% of the average daily Net Asset Value; For the Class I Shares, 0.20% of the average daily Net Asset Value.
9. Subscriptions - Application Procedures
All applicants, whether applying in writing or by facsimile, must complete the Application Form prescribed by the Directors (the “Application Form”). An Application Form for additional Shares may be submitted by facsimile provided the Administrator has received the original Application Form for the initial subscription of Shares. Application Forms may be obtained from the Administrator and set out the methods by which and to whom the subscription monies should be sent. Application Forms shall be irrevocable (unless otherwise agreed with the Directors) and may be sent by facsimile at the risk of the applicant. The Application Form should be received by the Administrator, by 11.00 a.m. (Central European Time) on the relevant Dealing Day. Any Application Form received after such time will be deemed received as of the next Dealing Day. The originally executed Application Form for the initial subscription, along with supporting documentation in relation to money laundering prevention checks, should be received by the Administrator within five (5) Business Days after the electronically transmitted (by facsimile only) Application Form is sent to the Administrator.
Failure to provide the original Application Form by such time may, at the discretion of the Directors, result in the rejection of the application and any monies received will be returned to the applicant (minus any handling charge incurred in any such return) as soon as possible by wire transfer (but without interest, costs or compensation) or in the compulsory redemption of the Shares. In any event, applicants will be unable to redeem Shares on request until the original Application Form has been received and all anti-money laundering checks completed and supporting documentation received.
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In addition to the Application Form, applicants may be requested to provide other information (e.g. as to identity and corporate authorisation). Failure to provide such information may delay the processing of the application.
Fractions: Subscription monies representing less than the Subscription Price for a Share will not be returned to the applicant. Fractions of Shares will be issued where any part of the subscription monies for Shares represents less than the Subscription Price for one Share, provided however, that fractions shall not be less than .0001 of a Share. Subscription monies, representing less than .0001 of a Share will not be returned to the applicant but will be retained by the Sub-fund in order to defray administration costs.
Offer Periods and Related Pricing: Applications for Shares during the Initial Offer Period must be received and accepted during the Initial Offer Period. Settlement proceeds must also be received in cleared funds within the Initial Offer Period, or such later period as the Directors may in their absolute discretion determine.
The Subscription Price for Shares during the Initial Offer Period is the Initial Offer Price(together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor).
After the Initial Offer Period for any class of Shares has expired, Shares will be issued at the then applicable Subscription Price per Share, which is based on the Net Asset Value per Share. See also the section entitled “Pricing” below.
Pricing: Except during the Initial Offer Period, all subscriptions will be dealt on a “forward” pricing basis, i.e. by reference to the Subscription Price for Shares calculated as at the Valuation Point for the relevant Dealing Day (together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Any Application Forms received after the relevant time for receipt will normally be held over until the next Dealing Day.
10. Payment of Subscription Monies
Method and Currency of Payment: Subscription payments net of all bank charges must be made in Euros and should be paid by wire transfer to the bank account specified in the Application Form. Other methods of payment are subject to the prior approval of the Directors with the agreement of the Administrator. No interest will be paid in respect of payments received in circumstances where the application is held over to the next Dealing Day.
Timing of Payment: Payment in respect of subscriptions must be received in cleared funds by3.00 p.m. (Central European Time) on:
The relevant dealing day for the Class I Stable NAV Shares and Class P Stable NAV Shares, or on such other day as the Directors may determine; and
The Business Day following the relevant Dealing Day for the Class I Accumulating NAV Shares and Class P Accumulating NAV Shares, or on such other day as the Directors may determine.
Payment: If payment in cleared funds in respect of a subscription has not been received by the time specified above, any allotment of Shares made in respect of such application may be cancelled. In the event of the non-clearance of subscription monies, any allotment in respect of an application shall be cancelled. In either event and notwithstanding cancellation of the application, the Directors may charge the applicant for any expense incurred by the Company or the Sub-fund or for any loss to the Sub-fund arising out of such non-receipt or non-clearance. In addition, the Directors will have the right to sell all or part of the applicant’s holding of Shares in the relevant class or any other Sub-fund in order to meet those charges.
11. Minimum Subscriptions/Holdings
Initial Subscriptions: The minimum initial subscription amounts for the Shares are as follows:
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€50,000 (or less at the discretion of the Directors) for Class I Shares; and €50,000 (or less at the discretion of the Directors) for Class P Shares.
Subsequent Subscriptions: Any subsequent subscription amounts for Shares shall be in accordance with the following:
For Class I Shares, a minimum of €5,000 (or less at the discretion of the Directors); and For Class P Shares, a minimum of €5,000 (or less at the discretion of the Directors).
Minimum Holdings: Any Shareholder who redeems or otherwise disposes of part of his holding must maintain the following minimum holdings in the Sub-fund:
Not less than €5,000 for Class I Shares (or less at the discretion of the Directors); and Not less than €5,000 for Class P Shares (or less at the discretion of the Directors).
The Company may redeem the remaining holdings of any Shareholder who redeems his holdings below the foregoing minimums.
12. Redemptions
Redemption Procedure: Every Shareholder will have the right to require the Company to redeem his Shares in the Sub-fund on any Dealing Day (save during any period when the calculation of the Net Asset Value is suspended or the redemption of Shares is limited in the circumstances set forth in the Prospectus) on furnishing to the Administrator a redemption request in the form of a completed Redemption Form. Shares may be redeemed only by written application or by facsimile through the Administrator.
Redemption Pricing: All redemption requests are dealt with on a “forward” pricing basis, i.e., by reference to the Redemption Price for Shares calculated as at the Valuation Point for the relevant Dealing Day and by deducting a redemption fee of up to 3% of the Redemption Price per Share for the benefit of the Sub-fund, where at the discretion of the Directors it is considered to be equitable for the Shareholders as a whole.
Redemption Form: All applicants must complete the Redemption Form prescribed by the Directors. Redemption Forms may be obtained from the Administrator. A redemption request may be made in writing or by facsimile by a Shareholder but if the account details for redemption payments are different from those set out in the Application Form, the original Redemption Form will be required by the Administrator and verification of the details may be required. The Redemption Form sets out the method by which and to whom redemption monies will be sent.
Redemption Forms must be received by 11:00 a.m. (Central European Time) on the relevant Dealing Day.
If the Redemption Form is received after the relevant time for receipt thereof it shall be treated as a request for redemption on the Dealing Day following such receipt. In extraordinary circumstances, Redemption Forms may be accepted for redemption if received prior to the Valuation Point on the relevant Dealing Day, at the discretion of the Directors, and Shares will be redeemed at the Redemption Price for that day. Shares will be redeemed at the Redemption Price calculated as at the Valuation Point for the relevant Dealing Day.
Redemptions shall be irrevocable and may be sent by facsimile at the risk of the relevant Shareholder. No redemption proceeds will be paid out unless an original initial Application Form is received by the Administrator, together with any other documents required by the Administrator, and cleared funds were received in connection with the original subscription.
Method and Currency of Payment: Redemption payments will be made in Euros to the bank account detailed on the Redemption Form.
Timing of Payment: Redemption proceeds in respect of Shares will be paid on:
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The Dealing day for the Class I Stable NAV Shares and Class P Stable NAV Shares (or such other day as the Directors may determine); and
The Business Day following the relevant Dealing Day for the Class I Accumulating Shares and Class P Accumulating NAV Shares (or such other day as the Directors may determine);
provided in all cases that all the required documentation has been furnished to and received by the Administrator.
In the case of a partial redemption of a Shareholder's holding, the Administrator will advise the Shareholder of the remaining Shares held by him.
Fractions: Apart from circumstances in which a Shareholder is redeeming his entire holding of Shares:-
(a) fractions of Shares will be issued where any part of the redemption monies for Shares represents less than the Redemption Price for one Share, provided however that fractions shall not be less than .0001 of a Share; and
(b) redemption monies, representing less than .0001 of a Share will not be returned to a Shareholder but will be retained by the Directors in order to defray administration costs.
Switching: Shareholders of other sub-funds of the Company may switch into the Sub-fund. Furthermore, Shareholders in the Sub-fund may switch into other sub-funds of the Company. Switches are in principle only permitted from one Class of Shares in a sub-fund to the same Class of Shares of another sub-fund, unless the investor fulfils the eligibility criteria of the Class of Shares to be switched into.
Shares can be switched on any Dealing Day which is a Dealing Day for both sub-funds at the Subscription Price valid on that date, provided the application for switching is received by the Company (for the attention of the Administrator) by 11:00 a.m., Central European Time (cut-off time) on the relevant Dealing Day. The provisions relating to the cut-off time and forward pricing also apply concerning switching of Shares and are described in full in this Supplement and the Prospectus.
Applications should be addressed directly to State Street Bank Luxembourg S.A., acting as transfer agent for the Company, or otherwise through one of the Distributors. The application must contain the following information: the number of Shares in the old and new sub-funds (or the monetary amount the Shareholder wishes to convert) and the value ratio according to which the Shares in each sub-fund are to be divided if more than one new sub-fund is intended.
Further detail can be found in the Prospectus under the sub-heading “Switching.”
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STATE STREET GLOBAL ADVISORS LUXEMBOURG SICAV
Supplement No. 13
SSgA Global Managed Volatility Equity Fund
DATED: MARCH 2011
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INTRODUCTION
State Street Global Advisors Luxembourg SICAV (the “Company”) is authorised in Luxembourg by the Commission de Surveillance du Secteur Financier (the “CSSF”) as a UCITS for the purposes of the 2002 Law. The Company is an open-ended umbrella investment company with segregated liability between sub-funds and variable capital.
This Supplement contains information relating to the Shares of the SSgA Global Managed Volatility Equity Fund (the “Sub-fund”), which is a separate sub-fund of the Company. This Supplement forms part of and should be read in the context of and together with the general description of the Company contained in the current Prospectus.
As of the date of this Supplement, the Company currently offers the following Share classes of the Sub-fund:
Class I Shares
Class P Shares
Class I Shares are reserved for institutional investors as defined in Articles 174 to 176 of the 2010 Law. Class P Shares are available to retail and institutional investors. Further, the Company may, at a future date, create and offer additional Share classes for the Sub-fund.
The Company does not intend to list any Class of Shares of the Sub-fund on the Luxembourg Stock Exchange.
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DEFINITIONS
Unless otherwise defined herein or unless the context otherwise requires all defined terms used in this Supplement shall bear the same meaning as in the Prospectus.
Base Currency US Dollars
Business Day Any day on which banks are open for business in Luxembourg and the United States (excluding Saturday, Sunday and public holidays).
Dealing Day Each full bank Business Day which is not a normal public holiday for the stock exchanges or other markets which represent the basis for valuation of a major part of the net assets of the Sub-fund, as determined by the Company.
Redemption Price The redemption price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Redemption.”
Shares The: (i) Class I Shares; and (ii) Class P Shares in the Sub-fund to be issued in accordance with this Supplement and the Prospectus.
Subscription Price The subscription price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Subscription.”
Valuation Point Such time on a Dealing Day as the Directors may from time to time determine at which the Net Asset Value and the Net Asset Value per Share of the Sub-fund is calculated.
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1. Issue of Sub-fund sharesClass I Shares and Class P Shares in the Sub-fund are available for purchase on each Dealing Day and, as described below, are offered at the applicable Subscription Price per Share, plus a subscription fee of up to 3% of the issue price.
2. Investment objectives and investment policyInvestment objective. The Sub-fund seeks to provide competitive returns relative to the MSCI World Index (Net) (the “Index”) over the long term, while maintaining relatively low volatility.
Principal investment strategies. The Sub-fund invests principally in equity securities from the countries of which the Index is comprised. The Sub-Investment Manager utilizes a proprietary quantitative investment process to select securities it expects to exhibit lower volatility than the Index, and that the Sub-Investment Manager believes have the potential to outperform the Index. By constructing a portfolio of assets with the goal of seeking to limit total risk (as opposed to seeking to limit active or benchmark-relative risk), the Sub-Investment Manager seeks to favor securities with lower exposure to market risk factors, such as beta, and will also favor securities with lower security-specific risk. As an additional element of the investment process, the Sub-Investment Manager incorporates information from a quantitative security selection ranking process in a further effort to identify mispriced securities. The Sub-Investment Manager seeks to overweight higher ranked securities and underweight lower ranked securities, while at the same time seeking to limit total portfolio risk as described above. The investment process allows the Sub-investment Manager to favor higher ranking securities consistent with the Sub-fund’s principles of risk management and diversification.
In order to seek to achieve appropriate levels of diversification, the Sub-Investment Manager employs and monitors absolute risk constraints at the security, country, industry, and sector levels.
Because the Sub-fund is actively managed and seeks to outperform the Index, its portfolio of assets will differ from that of the Index (including, potentially, with respect to the country exposures) and will be a function of a security’s risk characteristics and the Sub-fund’s securityselection process and absolute risk constraints. Thus, an investment in the Sub-fund is not a traditional “indexed” investment and the Sub-fund’s returns will likely differ from the Index’s return.
Although the Sub-Investment Manager may consider the factors described above in purchasing or selling investments for the Sub-fund, the Sub-Investment Manager may purchase, sell, or continue to hold an investment for the Sub-fund whenever it believes that doing so may benefit the Sub-fund, on the basis of any of the factors described above or any other factors it may in its discretion consider.
Principal investments. The Sub-fund invests principally in equity securities from the countries of which the Index is comprised. Equity securities may include common stocks, preferred stocks, or other securities convertible into common stock. Equity securities held by the Sub-fund may be denominated in foreign currencies and may be held outside Luxembourg. As described above, given the active management of the Sub-fund, the Sub-fund is unlikely to own all of the securitiesincluded in the Index, and may not be invested in all of the countries of which the Index is comprised. The Sub-fund may also invest in securities outside the Index (including securities from countries outside the Index) if the quantitative evaluation process described above suggests that these securities are expected to help control total portfolio risk or if the securities rank highly in the stock ranking. The Sub-fund may hold a portion of its assets in cash and cash instruments.
The Sub-fund may use derivative transactions, including without limitation, buying and sellingequity-related futures contracts and options, and entering into other exchange-traded or over-the-counter derivatives transactions, subject in all cases to the investment-related restrictions set forth in the 2002 Law. Although certain of the investments described above may exhibit characteristics of leverage transactions, the Sub-Investment Manager will not borrow money or
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use derivatives for the Sub-fund in a manner that the Sub-Investment Manager considers to have the purpose of creating investment leverage.
The Sub-fund may enter into foreign currency exchange transactions, including, but not limited to, transactions involving foreign currency forward contracts, futures contracts, and options to achieve exposure to specific currencies or to hedge against the effect of changes in the values of foreign currencies on investments the Sub-fund holds or may purchase.
In accordance with the general description in the main body of the Prospectus, the Sub-fund may lend its portfolio securities, and may pay a fee to the Investment Manager, the Sub-Investment Manager or an affiliate of the Investment Manager for services provided in connection with effecting securities loans and investing related cash collateral. Such fee shall, as described in the main body of the Prospectus, not exceed 50% of the gross income earned from stock lending by the Sub-fund. The Sub-fund may pay the Investment Manager, the Sub-Investment Manager or an affiliate fees and expenses related to the provision of custodial, administrative, bookkeeping, and accounting services, transfer agency and shareholder servicing, and other services that the Investment Manager or the Sub-Investment Manager may from time to time consider necessary or appropriate. The Sub-fund may enter into repurchase agreements, including transactions with the Investment Manager, the Sub-Investment Manager or an affiliate of the Investment Managerit being understood that such transactions will be effected on an arms length basis. The Sub-fund may invest in other investment funds that qualify as UCITS or other UCIs within the meaning of Section 7.1. (d) of Chapter 7 "Investment Limits" in the main body of the Prospectus. Such UCITS or other UCIs may include entities sponsored, managed, or otherwise affiliated with the Investment Manager. See "General Risk Factors" and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments” in the Prospectus.
An investment in the Sub-fund may be subject to taxation. Potential Shareholders should consult their own tax counsel as to the specific tax consequences of an investment in the Sub-fund.
Certain Risk Controls. Both the Investment Manager and the Sub-Investment Manager monitor the overall risk of the Sub-fund in an effort to minimize total risk, as opposed to managing for active or benchmark-relative risk. The Sub-Investment Manager attempts to manage risk by, among other things, monitoring the expected total risk, incorporating absolute portfolio constraints, and maintaining a high level of diversification.
Other. THIS SUB-FUND IS NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY MSCI INC. (“MSCI”), ANY OF ITS AFFILIATES, ANY OF ITS INFORMATION PROVIDERS OR ANY OTHER THIRD PARTY INVOLVED IN, OR RELATED TO, COMPILING, COMPUTING OR CREATING ANY MSCI INDEX (COLLECTIVELY, THE “MSCI PARTIES”). THE MSCI INDEXES ARE THE EXCLUSIVE PROPERTY OF MSCI. MSCI AND THE MSCI INDEX NAMES ARE SERVICE MARK(S) OF MSCI OR ITS AFFILIATES AND HAVE BEEN LICENSED FOR USE FOR CERTAIN PURPOSES BY STATE STREET GLOBAL ADVISORS, A DIVISION OF STATE STREET BANK AND TRUST COMPANY. NONE OF THE MSCI PARTIES MAKES ANY REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, TO THE ISSUER OR OWNERS OF THIS SUB-FUND OR ANY OTHER PERSON OR ENTITY REGARDING THE ADVISABILITY OF INVESTING IN FUNDS GENERALLY OR IN THIS SUB-FUND PARTICULARLY OR THE ABILITY OF ANY MSCI INDEX TO TRACK CORRESPONDING STOCK MARKET PERFORMANCE. MSCI OR ITS AFFILIATES ARE THE LICENSORS OF CERTAIN TRADEMARKS, SERVICE MARKS AND TRADE NAMES AND OF THE MSCI INDEXES WHICH ARE DETERMINED, COMPOSED AND CALCULATED BY MSCI WITHOUT REGARD TO THIS SUB-FUND OR THE COMPANY OR OWNERS OF THIS SUB-FUND OR ANY OTHER PERSON OR ENTITY. NONE OF THE MSCI PARTIES HAS ANY OBLIGATION TO TAKE THE NEEDS OF THE COMPANY OR OWNERS OF THIS SUB-FUND OR ANY OTHER PERSON OR ENTITY INTO CONSIDERATION IN DETERMINING, COMPOSING OR CALCULATING THE MSCI INDEXES. NONE OF THE MSCI PARTIES IS RESPONSIBLE FOR OR HAS PARTICIPATED IN THE DETERMINATION OF THE TIMING OF, PRICES AT, OR QUANTITIES OF THIS SUB-FUND TO BE ISSUED OR IN THE DETERMINATION OR CALCULATION OF THE EQUATION BY OR THE CONSIDERATION INTO WHICH THIS SUB-FUND IS REDEEMABLE. FURTHER, NONE OF THE MSCI
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PARTIES HAS ANY OBLIGATION OR LIABILITY TO THE COMPANY OR OWNERS OF THIS SUB-FUND OR ANY OTHER PERSON OR ENTITY IN CONNECTION WITH THE ADMINISTRATION, MARKETING OR OFFERING OF THIS SUB-FUND.
ALTHOUGH MSCI SHALL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE MSCI INDEXES FROM SOURCES THAT MSCI CONSIDERS RELIABLE, NONE OF THE MSCI PARTIES WARRANTS OR GUARANTEES THE ORIGINALITY, ACCURACY AND/OR THE COMPLETENESS OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. NONE OF THE MSCI PARTIES MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE COMPANY OF THE SUB-FUND, OWNERS OF THE SUB-FUND, OR ANY OTHER PERSON OR ENTITY, FROM THE USE OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. NONE OF THE MSCI PARTIES SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS OF OR IN CONNECTION WITH ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. FURTHER, NONE OF THE MSCI PARTIES MAKES ANY EXPRESS OR IMPLIED WARRANTIES OF ANY KIND, AND THE MSCI PARITES HEREBY EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE, WITH RESPECT TO EACH MSCI INDEX AND ANY DATA INCLUDED THEREIN.WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL ANY OF THE MSCI PARTIES HAVE ANY LIABILITY FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
3. Investment limits of the Sub-fundThe investment and borrowing restrictions set out in the Prospectus apply in their entirety to the Sub-fund.
4. Risk FactorsPotential Shareholders should consider the risk factors set forth in the Prospectus under the sections entititled “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
In view of the Sub-fund’s specialized investment program, the Sub-fund is considered a sophisticated fund and Shares are suitable investments for sophisticated investors and financial institutions for whom an investment in Shares does not constitute a complete investment program and who fully understand, are willing to assume, and have the financial resources necessary to withstand the risks that may be involved in the Sub-fund’s investment program.
In relation to investments in derivatives, the use of these instruments involves special risks including (i) dependence on the ability to predict movements in the prices of securities underlying the derivative instruments and movements in interest or currency rates; (ii) imperfect correlation between the derivative instruments and the securities or market sectors to which they relate; (iii) greater volatility than the securities and/or markets to which they relate; (iv) liquidity risk when, for example, a particular derivative instrument is difficult to purchase or sell; (v) market risk, where the market value of the derivative changes in a way that is detrimental to the Sub-fund; (vi) counterparty risk, where the counterparty with which the Sub-fund trades becomes insolvent, bankrupt or defaults; (vii) settlement risk, where a counterparty defaults in settling a trade; and (viii) legal risk, where the enforceability of a derivative contract may be an issue. See “Special Investment Techniques and Financial Instruments” in the Prospectus.
The Company will, on request, provide supplementary information to Shareholders relating to the risk management process employed including the quantitative limits that are applied and any recent developments in the risk and yield characteristics of the main categories of investment.
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5. Investment Manager and Sub-Investment ManagerState Street Global Advisors France S.A. has been appointed Investment Manager for the Sub-fund. State Street Global Advisors France S.A. is a company duly authorised by the AMF (French financial markets authority) on 3rd June 1997, under number 97-044. Registered office: Immeuble Defense Plaza, 23-25 Rue Delariviere-Lefoullon 92062, France. Form of incorporation: Societe Anonyme, French company limited by shares. The Investment Manager has delegated investment decision making authority to State Street Global Advisors, a division of State Street Bank and Trust Company (the “Sub-Investment Manager”). The Sub-Investment Manager is the investment management division of State Street Bank and Trust Company, a Massachusetts trust company, and has its principal offices located at 1 Lincoln Street, Boston, Massachusetts 02111, USA.
6. Valuation Date and Fixed TimeThe Net Asset Value of the Sub-fund will be calculated by the Administrator as at each Valuation Point in accordance with the requirements of the Articles and full details are set forth under the headings “Calculation of Net Asset Value” in the Prospectus. The Net Asset Value of the Sub-fund will be expressed in its Base Currency.
7. DividendsAll classes of Shares of the Sub-fund will be accumulating Shares, and therefore, dividends or other distributions out of the Sub-fund’s profits will not normally be paid to Shareholders.
8. Fees and ExpensesThe Sub-fund shall bear its attributable proportion of the organisational and operating expenses of the Company. These are set out in detail under the heading “Fees and Expenses” in the Prospectus. In addition to the fees and expenses described below, Shareholders should read the section in the Prospectus entitled “Fees and Expenses” for a description of other fees and expenses that may apply to their investment in the Sub-fund.
The Sub-fund will pay the following management fee:
For Class P Shares, up to 0.90% of the average daily Net Asset Value; For Class I Shares, up to 0.45% of the average daily Net Asset Value.
These management fees will be accrued daily based on the Net Asset Value of the Sub-fund as of the relevant Dealing Day and will be paid monthly in arrears. The Investment Manager will discharge from these management fees the fees of the Sub-Investment Manager.
The total expense ratios attributable to the Share classes of the Sub-fund, as set out below, incorporate the fees and expenses of the Investment Manager, the Sub-Investment Manager, Administrator and Custodian, any distribution fee not covered by the subscription fee where appropriate, and certain other expenses of the Sub-fund set forth in Section 23.1 of the Prospectus. The Investment Manager has voluntarily agreed to temporarily reimburse such portions of its fees as is necessary to ensure that the total expense ratio attributable to all Shares shall currently not exceed the following rates:
For the Class P Shares, 1.00% of the average daily Net Asset Value; For the Class I Shares, 0.55% of the average daily Net Asset Value.
9. Subscriptions - Application Procedures
All applicants, whether applying in writing or by facsimile, must complete the Application Form prescribed by the Directors (the “Application Form”). An Application Form for additional Shares may be submitted by facsimile provided the Administrator has received the original Application Form for the initial subscription of Shares. Application Forms may be obtained from the
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Administrator and set out the methods by which and to whom the subscription monies should be sent. Application Forms shall be irrevocable (unless otherwise agreed with the Directors) and may be sent by facsimile at the risk of the applicant. The Application Form should be received by the Administrator, by 11.00 a.m. (Central European Time) at least one Business Day prior to therelevant Dealing Day. Any Application Form received after such time will be deemed received as of the next Dealing Day. The originally executed Application Form for the initial subscription, along with supporting documentation in relation to money laundering prevention checks, should be received by the Administrator within five (5) Business Days after the electronically transmitted (by facsimile only) Application Form is sent to the Administrator.
Failure to provide the original Application Form by such time may, at the discretion of the Directors, result in the rejection of the application and any monies received will be returned to the applicant (minus any handling charge incurred in any such return) as soon as possible by wire transfer (but without interest, costs or compensation) or in the compulsory redemption of the Shares. In any event, applicants will be unable to redeem Shares on request until the original Application Form has been received and all anti-money laundering checks completed and supporting documentation received.
In addition to the Application Form, applicants may be requested to provide other information (e.g. as to identity and corporate authorisation). Failure to provide such information may delay the processing of the application.
Fractions: Subscription monies representing less than the Subscription Price for a Share will not be returned to the applicant. Fractions of Shares will be issued where any part of the subscription monies for Shares represents less than the Subscription Price for one Share, provided however, that fractions shall not be less than .0001 of a Share. Subscription monies, representing less than .0001 of a Share will not be returned to the applicant but will be retained by the Sub-fund in order to defray administration costs.
Offer Periods and Related Pricing: Applications for Shares during the Initial Offer Period must be received and accepted during the Initial Offer Period. Settlement proceeds must also be received in cleared funds within the Initial Offer Period, or such later period as the Directors may in their absolute discretion determine.
The Subscription Price for Shares during the Initial Offer Period is the Initial Offer Price(together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Shareholders should also note that an Anti-Dilution Levy may be included in the Initial Offer Price.
After the Initial Offer Period for any class of Shares has expired, Shares will be issued at the then applicable Subscription Price per Share, which is based on the Net Asset Value per Share.Currently the Class I Shares and Class P Shares are offered at the applicable Subscription Price per Share. See also the section entitled “Pricing” below.
Pricing: Except during the Initial Offer Period, all subscriptions will be dealt on a “forward” pricing basis, i.e. by reference to the Subscription Price for Shares calculated as at the Valuation Point for the relevant Dealing Day (together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Subscription Price (please see Sections 19.1 and 23.4 of the Prospectus). Any Application Forms received after the relevant time for receipt will normally be held over until the next Dealing Day.
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10. Payment of Subscription Monies
Method and Currency of Payment: Subscription payments net of all bank charges must be made in US Dollars and should be paid by wire transfer to the bank account specified in the Application Form. Other methods of payment are subject to the prior approval of the Directors with the agreement of the Administrator. No interest will be paid in respect of payments received in circumstances where the application is held over to the next Dealing Day.
Timing of Payment: Payment in respect of subscriptions must be received in cleared funds by 5.00 p.m. (Central European Time) on the third Business Day following the relevant Dealing Day or on such other day as the Directors may determine.
Payment: If payment in cleared funds in respect of a subscription has not been received by the time specified above, any allotment of Shares made in respect of such application may be cancelled. In the event of the non-clearance of subscription monies, any allotment in respect of an application shall be cancelled. In either event and notwithstanding cancellation of the application, the Directors may charge the applicant for any expense incurred by the Company or the Sub-fund or for any loss to the Sub-fund arising out of such non-receipt or non-clearance. In addition, the Directors will have the right to sell all or part of the applicant’s holding of Shares in the relevant class or any other Sub-fund in order to meet those charges.
11. Minimum Subscriptions/Holdings
Initial Subscriptions: The minimum initial subscription amounts for the Shares are as follows:
$50,000 (or less at the discretion of the Directors) for Class I Shares; and The value of a single Share for Class P Shares.
Subsequent Subscriptions: Any subsequent subscription amounts for Shares shall be in accordance with the following:
For Class I Shares, a minimum of $5,000 (or less at the discretion of the Directors); and A minimum of the value of a single Share for Class P Shares.
Minimum Holdings: Any Shareholder who redeems or otherwise disposes of part of his holding must maintain the following minimum holdings in the Sub-fund:
Not less than $5,000 for Class I Shares (or less at the discretion of the Directors); and Not less than the value of a single Share in respect of Class P Shares.
The Company may redeem the remaining holdings of any Shareholder who redeems his holdings below the foregoing minimums.
12. Redemptions
Redemption Procedure: Every Shareholder will have the right to require the Company to redeem his Shares in the Sub-fund on any Dealing Day (save during any period when the calculation of the Net Asset Value is suspended or the redemption of Shares is limited in the circumstances set forth in the Prospectus) on furnishing to the Administrator a redemption request in the form of a completed Redemption Form. Shares may be redeemed only by written application or by facsimile through the Administrator.
Redemption Pricing: All redemption requests are dealt with on a “forward” pricing basis, i.e. by reference to the Redemption Price for Shares calculated as at the Valuation Point for the relevant Dealing Day and by deducting a redemption fee of up to 3% of the Redemption Price per Share for the benefit of the Sub-fund, where at the discretion of the Directors it is considered to be equitable for the Shareholders as a whole. Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Redemption Price (please see Sections 19.2 and 23.4 of the Prospectus).
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Redemption Form: All applicants must complete the Redemption Form prescribed by the Directors. Redemption Forms may be obtained from the Administrator. A redemption request may be made in writing or by facsimile by a Shareholder but if the account details for redemption payments are different from those set out in the Application Form, the original Redemption Form will be required by the Administrator and verification of the details may be required. The Redemption Form sets out the method by which and to whom redemption monies will be sent.
Redemption Forms must be received by 11.00 a.m. (Central European Time) at least one Business Day prior to the relevant Dealing Day.
If the Redemption Form is received after the relevant time for receipt thereof it shall be treated as a request for redemption on the Dealing Day following such receipt. In extraordinary circumstances, Redemption Forms may be accepted for redemption if received prior to the Valuation Point on the relevant Dealing Day, at the discretion of the Directors, and Shares will be redeemed at the Redemption Price for that day. Shares will be redeemed at the Redemption Price calculated as at the Valuation Point for the relevant Dealing Day.
Redemptions shall be irrevocable and may be sent by facsimile at the risk of the relevant Shareholder. No redemption proceeds will be paid out unless an original initial Application Form is received by the Administrator, together with any other documents required by the Administrator, and cleared funds were received in connection with the original subscription.
Method and Currency of Payment: Redemption payments will be made in US Dollars to the bank account detailed on the Redemption Form.
Timing of Payment: Redemption proceeds in respect of Shares will be paid on the third Business Day following the relevant Dealing Day, or such other day as the Directors may determine,provided that all the required documentation has been furnished to and received by the Administrator.
In the case of a partial redemption of a Shareholder's holding, the Administrator will advise the Shareholder of the remaining Shares held by him.
Fractions: Apart from circumstances in which a Shareholder is redeeming his entire holding of Shares:-
(a) fractions of Shares will be issued where any part of the redemption monies for Shares represents less than the Redemption Price for one Share, provided however that fractions shall not be less than .0001 of a Share; and
(b) redemption monies, representing less than .0001 of a Share will not be returned to a Shareholder but will be retained by the Directors in order to defray administration costs.
Switching: Shareholders of other sub-funds of the Company may switch into the Sub-fund. Furthermore, Shareholders in the Sub-fund may switch into other sub-funds of the Company. Switches are in principle only permitted from one Class of Shares in a sub-fund to the same Class of Shares of another sub-fund, unless the investor fulfils the eligibility criteria of the Class of Shares to be switched into.
Shares can be switched on any Dealing Day which is a Dealing Day for both sub-funds at the Subscription Price valid on that date, provided the application for switching is received by the Company (for the attention of the Administrator) by 11:00 a.m., Central European Time (cut-off time) at least one Business Day prior to the relevant Dealing Day. The provisions relating to the cut-off time and forward pricing also apply concerning switching of Shares and are described in full in this Supplement and the Prospectus.
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Shareholders should contact State Street Bank Luxembourg S.A., acting as transfer agent for the Company, for a switching application form and for any questions concerning the information required in the switching application form.
Further detail can be found in the Prospectus under the sub-heading “Switching.”
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STATE STREET GLOBAL ADVISORS LUXEMBOURG SICAV
Supplement No. 14
SSgA Europe Managed Volatility Equity Fund
DATED: MARCH 2011
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INTRODUCTION
State Street Global Advisors Luxembourg SICAV (the “Company”) is authorised in Luxembourg by the Commission de Surveillance du Secteur Financier (the “CSSF”) as a UCITS for the purposes of the 2002 Law. The Company is an open-ended umbrella investment company with segregated liability between sub-funds and variable capital.
This Supplement contains information relating to the Shares of the SSgA Europe Managed Volatility Equity Fund (the “Sub-fund”), which is a separate sub-fund of the Company. This Supplement forms part of and should be read in the context of and together with the general description of the Company contained in the current Prospectus.
As of the date of this Supplement, the Company currently offers the following Share classes of the Sub-fund:
Class I Shares
Class P Shares
Class I Shares are reserved for institutional investors as defined in Articles 174 to 176 of the 2010 Law. Class P Shares are available to retail and institutional investors. Further, the Company may, at a future date, create and offer additional Share classes for the Sub-fund.
The Company does not intend to list any Class of Shares of the Sub-fund on the Luxembourg Stock Exchange.
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DEFINITIONS
Unless otherwise defined herein or unless the context otherwise requires all defined terms used in this Supplement shall bear the same meaning as in the Prospectus.
Base Currency Euros
Business Day Any day on which banks are open for business in Luxembourg, Franceand the United Kingdom (excluding Saturday, Sunday and public holidays).
Dealing Day Each full bank Business Day in Luxembourg, France and the United Kingdom which is not a normal public holiday for the stock exchanges or other markets which represent the basis for valuation of a major part of the net assets of the Sub-fund, as determined by the Company.
Redemption Price The redemption price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Redemption.”
Shares The: (i) Class I Shares; and (ii) Class P Shares in the Sub-fund to be issued in accordance with this Supplement and the Prospectus.
Subscription Price The subscription price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Subscription.”
Valuation Point Such time on a Dealing Day as the Directors may from time to time determine at which the Net Asset Value and the Net Asset Value per Share of the Sub-fund is calculated.
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1. Issue of Sub-fund sharesClass I Shares and Class P Shares in the Sub-fund are available for purchase on each Dealing Day and, as described below, are offered at the applicable Subscription Price per Share, plus a subscription fee of up to 3% of the issue price.
2. Investment objectives and investment policyInvestment objective. The Sub-fund seeks to provide competitive returns relative to the MSCI Europe Index (Net) (the “Index”) over the long term, while maintaining relatively low volatility.
Principal investment strategies. The Sub-fund invests principally in equity securities from the countries of which the Index is comprised. The Investment Manager utilizes a proprietary quantitative investment process to select securities it expects to exhibit lower volatility than the Index, and that the Investment Manager believes have the potential to outperform the Index. By constructing a portfolio of assets with the goal of seeking to limit total risk (as opposed to seeking to limit active or benchmark-relative risk), the Investment Manager seeks to favor securities with lower exposure to market risk factors, such as beta, and will also favor securities with lower security-specific risk. As an additional element of the investment process, the Investment Manager incorporates information from a quantitative security selection ranking process in a further effort to identify mispriced securities. The Investment Manager seeks to overweight higher ranked securities and underweight lower ranked securities, while at the same time seeking to limit total portfolio risk as described above. The investment process allows the Investment Manager to favor higher ranking securities consistent with the Sub-fund’s principles of risk management and diversification.
In order to seek to achieve appropriate levels of diversification, the Investment Manager employs and monitors absolute risk constraints at the security, country, industry, and sector levels.
Because the Sub-fund is actively managed and seeks to outperform the Index, its portfolio of assets will differ from that of the Index (including, potentially, with respect to the country exposures) and will be a function of a security’s risk characteristics and the Sub-fund’s securityselection process and absolute risk constraints. Thus, an investment in the Sub-fund is not a traditional “indexed” investment and the Sub-fund’s returns will likely differ from the Index’s return.
Although the Investment Manager may consider the factors described above in purchasing or selling investments for the Sub-fund, the Investment Manager may purchase, sell, or continue to hold an investment for the Sub-fund whenever it believes that doing so may benefit the Sub-fund, on the basis of any of the factors described above or any other factors it may in its discretion consider.
Principal investments. The Sub-fund invests principally in equity securities from the countries ofwhich the Index is comprised. Equity securities may include common stocks, preferred stocks, or other securities convertible into common stock. Equity securities held by the Sub-fund may be denominated in foreign currencies and may be held outside Luxembourg. As described above, given the active management of the Sub-fund, the Sub-fund is unlikely to own all of the securitiesincluded in the Index, and may not be invested in all of the countries of which the Index is comprised. The Sub-fund may also invest in securities outside the Index (including securities from countries outside the Index) if the quantitative evaluation process described above suggests that these securities are expected to help control total portfolio risk or if the securities rank highly in the stock ranking. The Sub-fund may hold a portion of its assets in cash and cash instruments.
The Sub-fund may use derivative transactions, including without limitation, buying and sellingequity-related futures contracts and options, and entering into other exchange-traded or over-the-counter derivatives transactions, subject in all cases to the investment-related restrictions set forth in the 2002 Law. Although certain of the investments described above may exhibit characteristics of leverage transactions, the Investment Manager will not borrow money or use derivatives for the Sub-fund in a manner that the Investment Manager considers to have the
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purpose of creating investment leverage.
The Sub-fund may enter into foreign currency exchange transactions, including, but not limited to, transactions involving foreign currency forward contracts, futures contracts, and options to achieve exposure to specific currencies or to hedge against the effect of changes in the values of foreign currencies on investments the Sub-fund holds or may purchase.
In accordance with the general description in the main body of the Prospectus, the Sub-fund may lend its portfolio securities, and may pay a fee to the Investment Manager or an affiliate of the Investment Manager for services provided in connection with effecting securities loans and investing related cash collateral. Such fee shall, as described in the main body of the Prospectus, not exceed 50% of the gross income earned from stock lending by the Sub-fund. The Sub-fund may pay the Investment Manager or an affiliate fees and expenses related to the provision of custodial, administrative, bookkeeping, and accounting services, transfer agency and shareholder servicing, and other services that the Investment Manager may from time to time consider necessary or appropriate. The Sub-fund may enter into repurchase agreements, including transactions with the Investment Manager or an affiliate of the Investment Manager it being understood that such transactions will be effected on an arms length basis. The Sub-fund may invest in other investment funds that qualify as UCITS or other UCIs within the meaning of Section 7.1. (d) of Chapter 7 "Investment Limits" in the main body of the Prospectus. Such UCITS or other UCIs may include entities sponsored, managed, or otherwise affiliated with the Investment Manager. See "General Risk Factors" and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments” in the Prospectus.
An investment in the Sub-fund may be subject to taxation. Potential Shareholders should consult their own tax counsel as to the specific tax consequences of an investment in the Sub-fund.
Certain Risk Controls. The Investment Manager monitors the overall risk of the Sub-fund in an effort to minimize total risk, as opposed to managing for active or benchmark-relative risk. The Investment Manager attempts to manage risk by, among other things, monitoring the expected total risk, incorporating absolute portfolio constraints, and maintaining a high level of diversification.
Other. THIS SUB-FUND IS NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY MSCI INC. (“MSCI”), ANY OF ITS AFFILIATES, ANY OF ITS INFORMATION PROVIDERS OR ANY OTHER THIRD PARTY INVOLVED IN, OR RELATED TO, COMPILING, COMPUTING OR CREATING ANY MSCI INDEX (COLLECTIVELY, THE “MSCI PARTIES”). THE MSCI INDEXES ARE THE EXCLUSIVE PROPERTY OF MSCI. MSCI AND THE MSCI INDEX NAMES ARE SERVICE MARK(S) OF MSCI OR ITS AFFILIATES AND HAVE BEEN LICENSED FOR USE FOR CERTAIN PURPOSES BY STATE STREET GLOBAL ADVISORS, A DIVISION OF STATE STREET BANK AND TRUST COMPANY. NONE OF THE MSCI PARTIES MAKES ANY REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, TO THE ISSUER OR OWNERS OF THIS SUB-FUND OR ANY OTHER PERSON OR ENTITY REGARDING THE ADVISABILITY OF INVESTING IN FUNDS GENERALLY OR IN THIS SUB-FUND PARTICULARLY OR THE ABILITY OF ANY MSCI INDEX TO TRACK CORRESPONDING STOCK MARKET PERFORMANCE. MSCI OR ITS AFFILIATES ARE THE LICENSORS OF CERTAIN TRADEMARKS, SERVICE MARKS AND TRADE NAMES AND OF THE MSCI INDEXES WHICH ARE DETERMINED, COMPOSED AND CALCULATED BY MSCI WITHOUT REGARD TO THIS SUB-FUND OR THE COMPANY OR OWNERS OF THIS SUB-FUND OR ANY OTHER PERSON OR ENTITY. NONE OF THE MSCI PARTIES HAS ANY OBLIGATION TO TAKE THE NEEDS OF THE COMPANY OR OWNERS OF THIS SUB-FUND OR ANY OTHER PERSON OR ENTITY INTO CONSIDERATION IN DETERMINING, COMPOSING OR CALCULATING THE MSCI INDEXES. NONE OF THE MSCI PARTIES IS RESPONSIBLE FOR OR HAS PARTICIPATED IN THE DETERMINATION OF THE TIMING OF, PRICES AT, OR QUANTITIES OF THIS SUB-FUND TO BE ISSUED OR IN THE DETERMINATION OR CALCULATION OF THE EQUATION BY OR THE CONSIDERATION INTO WHICH THIS SUB-FUND IS REDEEMABLE. FURTHER, NONE OF THE MSCI PARTIES HAS ANY OBLIGATION OR LIABILITY TO THE COMPANY OR OWNERS OF THIS SUB-FUND OR ANY OTHER PERSON OR ENTITY IN CONNECTION WITH THE ADMINISTRATION, MARKETING OR OFFERING OF THIS SUB-FUND.
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ALTHOUGH MSCI SHALL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE MSCI INDEXES FROM SOURCES THAT MSCI CONSIDERS RELIABLE, NONE OF THE MSCI PARTIES WARRANTS OR GUARANTEES THE ORIGINALITY, ACCURACY AND/OR THE COMPLETENESS OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. NONE OF THE MSCI PARTIES MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE COMPANY OF THE SUB-FUND, OWNERS OF THE SUB-FUND, OR ANY OTHER PERSON OR ENTITY, FROM THE USE OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. NONE OF THE MSCI PARTIES SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS OF OR IN CONNECTION WITH ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. FURTHER, NONE OF THE MSCI PARTIES MAKES ANY EXPRESS OR IMPLIED WARRANTIES OF ANY KIND, AND THE MSCI PARITES HEREBY EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE, WITH RESPECT TO EACH MSCI INDEX AND ANY DATA INCLUDED THEREIN.WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL ANY OF THE MSCI PARTIES HAVE ANY LIABILITY FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
3. Investment limits of the Sub-fundThe investment and borrowing restrictions set out in the Prospectus apply in their entirety to the Sub-fund.
4. Risk FactorsPotential Shareholders should consider the risk factors set forth in the Prospectus under the sections entititled “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
In view of the Sub-fund’s specialized investment program, the Sub-fund is considered a sophisticated fund and Shares are suitable investments for sophisticated investors and financial institutions for whom an investment in Shares does not constitute a complete investment program and who fully understand, are willing to assume, and have the financial resources necessary to withstand the risks that may be involved in the Sub-fund’s investment program.
In relation to investments in derivatives, the use of these instruments involves special risks including (i) dependence on the ability to predict movements in the prices of securities underlying the derivative instruments and movements in interest or currency rates; (ii) imperfect correlation between the derivative instruments and the securities or market sectors to which they relate; (iii) greater volatility than the securities and/or markets to which they relate; (iv) liquidity risk when, for example, a particular derivative instrument is difficult to purchase or sell; (v) market risk, where the market value of the derivative changes in a way that is detrimental to the Sub-fund; (vi) counterparty risk, where the counterparty with which the Sub-fund trades becomes insolvent, bankrupt or defaults; (vii) settlement risk, where a counterparty defaults in settling a trade; and (viii) legal risk, where the enforceability of a derivative contract may be an issue. See “Special Investment Techniques and Financial Instruments” in the Prospectus.
The Company will, on request, provide supplementary information to Shareholders relating to the risk management process employed including the quantitative limits that are applied and any recent developments in the risk and yield characteristics of the main categories of investment.
5. Investment Manager and Sub-Investment ManagerState Street Global Advisors France S.A. has been appointed Investment Manager for the Sub-fund. State Street Global Advisors France S.A. is a company duly authorised by the AMF (French financial markets authority) on 3rd June 1997, under number 97-044. Registered office: Immeuble Defense Plaza, 23-25 Rue Delariviere-Lefoullon 92062, France. Form of incorporation: Societe
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Anonyme, French company limited by shares. The Investment Manager may delegate investment decision making authority to one or several Sub-Investment Managers listed in the main body of the Prospectus, the terms of which delegation shall be set forth in separate delegation agreements. An updated list of appointed Sub-Investment Managers for the Sub-fund, if any, is available upon request at the registered office of the Company.
6. Valuation Date and Fixed TimeThe Net Asset Value of the Sub-fund will be calculated by the Administrator as at each Valuation Point in accordance with the requirements of the Articles and full details are set forth under the headings “Calculation of Net Asset Value” in the Prospectus. The Net Asset Value of the Sub-fund will be expressed in its Base Currency.
7. DividendsAll classes of Shares of the Sub-fund will be accumulating Shares, and therefore, dividends or other distributions out of the Sub-fund’s profits will not normally be paid to Shareholders.
8. Fees and ExpensesThe Sub-fund shall bear its attributable proportion of the organisational and operating expenses of the Company. These are set out in detail under the heading “Fees and Expenses” in the Prospectus. In addition to the fees and expenses described below, Shareholders should read the section in the Prospectus entitled “Fees and Expenses” for a description of other fees and expenses that may apply to their investment in the Sub-fund.
The Sub-fund will pay the following management fee:
For Class P Shares, up to 0.90% of the average daily Net Asset Value; For Class I Shares, up to 0.45% of the average daily Net Asset Value.
These management fees will be accrued daily based on the Net Asset Value of the Sub-fund as of the relevant Dealing Day and will be paid monthly in arrears. The Investment Manager will discharge from these management fees the fees of any appointed Sub-Investment Manager.
The total expense ratios attributable to the Share classes of the Sub-fund, as set out below, incorporate the fees and expenses of the Investment Manager, the Sub-Investment Manager, Administrator and Custodian, any distribution fee not covered by the subscription fee where appropriate, and certain other expenses of the Sub-fund set forth in Section 23.1 of the Prospectus. The Investment Manager has voluntarily agreed to temporarily reimburse such portions of its fees as is necessary to ensure that the total expense ratio attributable to all Shares shall currently not exceed the following rates:
For the Class P Shares, 1.00% of the average daily Net Asset Value; For the Class I Shares, 0.55% of the average daily Net Asset Value.
9. Subscriptions - Application Procedures
All applicants, whether applying in writing or by facsimile, must complete the Application Form prescribed by the Directors (the “Application Form”). An Application Form for additional Shares may be submitted by facsimile provided the Administrator has received the original Application Form for the initial subscription of Shares. Application Forms may be obtained from the Administrator and set out the methods by which and to whom the subscription monies should be sent. Application Forms shall be irrevocable (unless otherwise agreed with the Directors) and may be sent by facsimile at the risk of the applicant. The Application Form should be received by the Administrator, by 11.00 a.m. (Central European Time) on the relevant Dealing Day. Any Application Form received after such time will be deemed received as of the next Dealing Day. The originally executed Application Form for the initial subscription, along with supportingdocumentation in relation to money laundering prevention checks, should be received by the
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Administrator within five (5) Business Days after the electronically transmitted (by facsimile only) Application Form is sent to the Administrator.
Failure to provide the original Application Form by such time may, at the discretion of the Directors, result in the rejection of the application and any monies received will be returned to the applicant (minus any handling charge incurred in any such return) as soon as possible by wire transfer (but without interest, costs or compensation) or in the compulsory redemption of the Shares. In any event, applicants will be unable to redeem Shares on request until the original Application Form has been received and all anti-money laundering checks completed and supporting documentation received.
In addition to the Application Form, applicants may be requested to provide other information (e.g. as to identity and corporate authorisation). Failure to provide such information may delay the processing of the application.
Fractions: Subscription monies representing less than the Subscription Price for a Share will not be returned to the applicant. Fractions of Shares will be issued where any part of the subscription monies for Shares represents less than the Subscription Price for one Share, provided however, that fractions shall not be less than .0001 of a Share. Subscription monies, representing less than .0001 of a Share will not be returned to the applicant but will be retained by the Sub-fund in order to defray administration costs.
Offer Periods and Related Pricing: Applications for Shares during the Initial Offer Period must be received and accepted during the Initial Offer Period. Settlement proceeds must also be received in cleared funds within the Initial Offer Period, or such later period as the Directors may in their absolute discretion determine.
The Subscription Price for Shares during the Initial Offer Period is the Initial Offer Price(together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Shareholders should also note that an Anti-Dilution Levy may be included in the Initial Offer Price.
After the Initial Offer Period for any class of Shares has expired, Shares will be issued at the then applicable Subscription Price per Share, which is based on the Net Asset Value per Share. Currently, the Class I Shares and Class P Shares are offered at the applicable Subscription Price per Share. See also the section entitled “Pricing” below.
Pricing: Except during the Initial Offer Period, all subscriptions will be dealt on a “forward” pricing basis, i.e. by reference to the Subscription Price for Shares calculated as at the Valuation Point for the relevant Dealing Day (together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Subscription Price (please see Sections 19.1 and 23.4 of the Prospectus). Any Application Forms received after the relevant time for receipt will normally be held over until the next Dealing Day.
10. Payment of Subscription Monies
Method and Currency of Payment: Subscription payments net of all bank charges must be made in Euros and should be paid by wire transfer to the bank account specified in the Application Form. Other methods of payment are subject to the prior approval of the Directors with the agreement of the Administrator. No interest will be paid in respect of payments received in circumstances where the application is held over to the next Dealing Day.
Timing of Payment: Payment in respect of subscriptions must be received in cleared funds by 5.00 p.m. (Central European Time) on the third Business Day following the relevant Dealing Day or on such other day as the Directors may determine.
Payment: If payment in cleared funds in respect of a subscription has not been received by the time specified above, any allotment of Shares made in respect of such application may be
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cancelled. In the event of the non-clearance of subscription monies, any allotment in respect of an application shall be cancelled. In either event and notwithstanding cancellation of the application, the Directors may charge the applicant for any expense incurred by the Company or the Sub-fund or for any loss to the Sub-fund arising out of such non-receipt or non-clearance. In addition, the Directors will have the right to sell all or part of the applicant’s holding of Shares in the relevant class or any other Sub-fund in order to meet those charges.
11. Minimum Subscriptions/Holdings
Initial Subscriptions: The minimum initial subscription amounts for the Shares are as follows:
€50,000 (or less at the discretion of the Directors) for Class I Shares; and The value of a single Share for Class P Shares.
Subsequent Subscriptions: Any subsequent subscription amounts for Shares shall be in accordance with the following:
For Class I Shares, a minimum of €5,000 (or less at the discretion of the Directors); and A minimum of the value of a single Share for Class P Shares.
Minimum Holdings: Any Shareholder who redeems or otherwise disposes of part of his holding must maintain the following minimum holdings in the Sub-fund:
Not less than €5,000 for Class I Shares (or less at the discretion of the Directors); and Not less than the value of a single Share in respect of Class P Shares.
The Company may redeem the remaining holdings of any Shareholder who redeems his holdings below the foregoing minimums.
12. Redemptions
Redemption Procedure: Every Shareholder will have the right to require the Company to redeem his Shares in the Sub-fund on any Dealing Day (save during any period when the calculation of the Net Asset Value is suspended or the redemption of Shares is limited in the circumstances set forth in the Prospectus) on furnishing to the Administrator a redemption request in the form of a completed Redemption Form. Shares may be redeemed only by written application or by facsimile through the Administrator.
Redemption Pricing: All redemption requests are dealt with on a “forward” pricing basis, i.e. by reference to the Redemption Price for Shares calculated as at the Valuation Point for the relevant Dealing Day and by deducting a redemption fee of up to 3% of the Redemption Price per Share for the benefit of the Sub-fund, where at the discretion of the Directors it is considered to be equitable for the Shareholders as a whole. Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Redemption Price (please see Sections 19.2 and 23.4 of the Prospectus).
Redemption Form: All applicants must complete the Redemption Form prescribed by the Directors. Redemption Forms may be obtained from the Administrator. A redemption request may be made in writing or by facsimile by a Shareholder but if the account details for redemption payments are different from those set out in the Application Form, the original Redemption Form will be required by the Administrator and verification of the details may be required. The Redemption Form sets out the method by which and to whom redemption monies will be sent.
Redemption Forms must be received by 11.00 a.m. (Central European Time) on the relevant Dealing Day.
If the Redemption Form is received after the relevant time for receipt thereof it shall be treated as a request for redemption on the Dealing Day following such receipt. In extraordinary circumstances, Redemption Forms may be accepted for redemption if received prior to the Valuation Point on the relevant Dealing Day, at the discretion of the Directors, and Shares will be
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redeemed at the Redemption Price for that day. Shares will be redeemed at the Redemption Price calculated as at the Valuation Point for the relevant Dealing Day.
Redemptions shall be irrevocable and may be sent by facsimile at the risk of the relevant Shareholder. No redemption proceeds will be paid out unless an original initial Application Form is received by the Administrator, together with any other documents required by the Administrator, and cleared funds were received in connection with the original subscription.
Method and Currency of Payment: Redemption payments will be made in Euros to the bank account detailed on the Redemption Form.
Timing of Payment: Redemption proceeds in respect of Shares will be paid on the third Business Day following the relevant Dealing Day, or such other day as the Directors may determine,provided that all the required documentation has been furnished to and received by the Administrator.
In the case of a partial redemption of a Shareholder's holding, the Administrator will advise the Shareholder of the remaining Shares held by him.
Fractions: Apart from circumstances in which a Shareholder is redeeming his entire holding of Shares:-
(a) fractions of Shares will be issued where any part of the redemption monies for Shares represents less than the Redemption Price for one Share, provided however that fractions shall not be less than .0001 of a Share; and
(b) redemption monies, representing less than .0001 of a Share will not be returned to a Shareholder but will be retained by the Directors in order to defray administration costs.
Switching: Shareholders of other sub-funds of the Company may switch into the Sub-fund. Furthermore, Shareholders in the Sub-fund may switch into other sub-funds of the Company. Switches are in principle only permitted from one Class of Shares in a sub-fund to the same Class of Shares of another sub-fund, unless the investor fulfils the eligibility criteria of the Class of Shares to be switched into.
Shares can be switched on any Dealing Day which is a Dealing Day for both sub-funds at the Subscription Price valid on that date, provided the application for switching is received by the Company (for the attention of the Administrator) by 11:00 a.m., Central European Time (cut-off time) on the relevant Dealing Day. The provisions relating to the cut-off time and forward pricing also apply concerning switching of Shares and are described in full in this Supplement and the Prospectus.
Shareholders should contact State Street Bank Luxembourg S.A., acting as transfer agent for the Company, for a switching application form and for any questions concerning the information required in the switching application form.
Further detail can be found in the Prospectus under the sub-heading “Switching.”
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STATE STREET GLOBAL ADVISORS LUXEMBOURG SICAV
Supplement No. 15
SSgA Active Global Inflation-Linked Bond Fund
DATED: MARCH 2011
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INTRODUCTION
State Street Global Advisors Luxembourg SICAV (the “Company”) is authorised in Luxembourg by the Commission de Surveillance du Secteur Financier (the “CSSF”) as a UCITS for the purposes of the 2002 Law. The Company is an open-ended umbrella investment company with segregated liability between sub-funds and variable capital.
This Supplement contains information relating to the Shares of the SSgA Active Global Inflation-Linked Bond Fund (the “Sub-fund”), which is a separate sub-fund of the Company. This Supplement forms part of and should be read in the context of and together with the general description of the Company contained in the current Prospectus.
As of the date of this Supplement, the Company currently offers the following Share classes of the Sub-fund:
Class I Shares
Class P Shares
Class I Shares are reserved for institutional investors as defined in Articles 174 to 176 of the 2010 Law. Class P Shares are available to retail and institutional investors. Further, the Company may, at a future date, create and offer additional Share classes for the Sub-fund.
The Company does not intend to list any Class of Shares of the Sub-fund on the Luxembourg Stock Exchange.
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DEFINITIONS
Unless otherwise defined herein or unless the context otherwise requires all defined terms used in this Supplement shall bear the same meaning as in the Prospectus.
Base Currency US Dollars
Business Day (i) Any day on which banks are open for business in Luxembourg, the United Kingdom and New York City (excluding Saturday, Sunday and public holidays) provided always that the London Stock Exchange is open for business on such day; and (ii) weekdays other than days on which the Trans-European Automated Real-Time Gross Settlement Express Transfer (“TARGET”), the Eurosystem interbank funds transfer system, is closed for business.
Dealing Day Each full bank Business Day.
Redemption Price The redemption price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Redemption.”
Shares The: (i) Class I Shares; and (ii) Class P Shares in the Sub-fund to be issued in accordance with this Supplement and the Prospectus.
Subscription Price The subscription price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Subscription.”
Valuation Point Such time on a Dealing Day as the Directors may from time to time determine at which the Net Asset Value and the Net Asset Value per Share of the Sub-fund is calculated.
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1. Issue of Sub-fund sharesClass I Shares and Class P Shares are available for purchase on each Dealing Day and, as described below, are offered at the applicable Subscription Price per Share, plus a subscription fee of up to 3% of the issue price.
2. Investment objectives and investment policyInvestment objective. The investment objective of the Sub-fund is to seek to outperform the performance of the Barclays Capital Global Inflation-Linked Bond Index (the “Index”), evaluated on a three-year rolling basis.
Principal investment strategies. The Sub-Investment Manager manages the Sub-fund by initially building a portfolio that, prior to applying any active investment views, broadly reflects the market exposures of the Index. The Sub-Investment Manager typically applies an active investment view to the portfolio across a diversified range of sources of returns that seeks to exploit investment opportunities providing the potential for out-performance of the Sub-fund relative to the Index. Active positions will be implemented using a risk budgeting approach that aims to introduce risk into the Sub-fund in a controlled manner that is appropriate to the level of out-performance being sought. There may, however, be times when the Sub-Investment Manager, in its sole discretion, chooses not to implement active positions.
The Sub-Investment Manager employs an investment process that uses a combination of dedicated internal fundamental research and quantitative tools. The fundamentally-driven macro research process seeks to analyse economies and markets from both a top-down and bottom-up perspective and aims to identify potential investment opportunities. The Sub-Investment Manager uses a variety of evaluation tools and techniques (technical and fundamental) to evaluate these opportunities in order to determine which trade ideas may represent attractive strategies for the Sub-fund. The Sub-Investment Manager also uses quantitative tools and models to complement the fundamental research and to provide objective measures and guidance regarding potential investment opportunities.
Through this investment process and the use of the risk budgeting approach described above, the Sub-Investment Manager aims to identify active investment opportunities that when incorporated into the Sub-fund may be expected to, in the aggregate, help achieve the investment objective of the Sub-fund. The Sub-Investment Manager may seek to utilize a range of different sources of returns that are available across the wider fixed income markets and may not be directly related to the specific sector of the market reflected in the Index. The sources of active return may include, but would not be limited to, strategies relating to (i) asset allocation andcountry selection, (ii) portfolio duration relative to the Index, (iii) anticipated changes in the shapes of yield curves, (iv) breakeven inflation levels, (v) swap spreads, (vi) sector/security selection, and (vii) currencies.
The Sub-Investment Manager may seek to achieve market exposures for the Sub-fund through direct investment in fixed income securities or through the use of derivatives in accordance with the 2002 Law.
Although the Sub-Investment Manager may consider the factors described above in purchasing or selling investments for the Sub-fund, the Sub-Investment Manager may purchase, sell or continue to hold an investment for the Sub-fund whenever it believes that doing so may benefit the Sub-fund, on the basis of any of the factors described above or any other factors.
Principal investments. The Sub-fund may make direct investments in debt securities of any kind, including, but not limited to, government securities; corporate debt securities; and, up to 20% of its Net Asset Value, mortgage-backed (both residential and commercial) and other asset-backed securities. Securities in which the Sub-fund invests may be fixed rate securities, zero-coupon securities, variable rate securities or inflation-linked securities.
The Sub-fund may use derivative transactions, including without limitation, buying and selling
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futures contracts and options, foreign exchange transactions, and entering into other exchange-traded or over-the-counter derivatives transactions, subject in all cases to the investment-related restrictions set forth in the 2002 Law. Although certain of the investments described above may create leverage, as stated above, all such investments and the related exposures and risk of loss will be made in accordance with the investment requirements and restrictions of the 2002 Law. The use of derivative transactions, and the potential for these investments to create leverage, may expose the Sub-fund to the risks described in the Prospectus under the headings “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
The Sub-fund will not engage in securities lending. The Sub-fund may pay the Investment Manager, the Sub-Investment Manager or an affiliate fees and expenses related to the provision of custodial, administrative, bookkeeping, and accounting services, transfer agency and shareholder servicing, and other services that the Investment Manager or the Sub-Investment Manager may from time to time consider necessary or appropriate. The Sub-fund may enter into repurchase agreements, including transactions with the Investment Manager, the Sub-Investment Manager or an affiliate of the Investment Manager. The Sub-fund may invest in other investment funds that qualify as UCITS or other UCIs within the meaning of Section 7.1. (d) of Chapter 7 "Investment Limits" in the main body of the Prospectus. Such UCITS or other UCIs may include entities sponsored, managed, or otherwise affiliated with the Investment Manager. See "General Risk Factors" and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments” in the Prospectus.
An investment in the Sub-fund may be subject to taxation. Potential Shareholders should consult their own tax counsel as to the specific tax consequences of an investment in the Sub-fund.
Certain Risk Controls. Both the Investment Manager and the Sub-Investment Manager monitor the overall risk of the Sub-fund in an effort to seek to ensure that active or benchmark-relative risk is appropriate for the investment objectives of the Sub-fund. The Sub-Investment Manager attempts to manage risk by, among other things, monitoring the expected total risk, incorporating absolute portfolio constraints, and maintaining a high level of diversification.
Other. The Barclays Capital Global Inflation-Linked Bond Index is a service mark of Barclays Capital, Inc. (“Barclays Capital”), which expression shall include any of its affiliates) and has been licensed for use for certain purposes by the Company. The Sub-fund is not sponsored, endorsed, sold or promoted by Barclays Capital. Barclays Capital makes no representation or warranty, express or implied, to the owners of the Sub-fund or any member of the public regarding the advisability of investing in securities generally or in the licensing of certain information, data, trademarks and trade names of Barclays Capital. The Index is determined, composed and calculated by Barclays without regard to the Company or the Sub-fund. Barclays Capital has no obligation to take the needs of the Company or the Shareholders of the Sub-fund into consideration in determining, composing or calculating the Index. Barclays Capital is not responsible for and has not participated in the determination of the prices and amount of the Sub-fund or the timing of the issuance or sale of the Sub-fund or in the determination or calculation of the equation by which the Sub-fund is to be converted into cash. Barclays Capital has noobligation or liability in connection with the administration, marketing or trading of the Sub-fund.
BARCLAYS CAPITAL DOES NOT GUARANTEE THE QUALITY, ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN, OR OTHERWISE OBTAINED BY THE COMPANY OR ITS SUB-FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. BARCLAYS CAPITAL MAKES NO EXPRESS OR IMPLIED WARRANTIES AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OF FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL BARCLAYS CAPITAL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
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3. Investment limits of the Sub-fundThe investment and borrowing restrictions set out in the Prospectus apply in their entirety to the Sub-fund.
4. Risk FactorsPotential Shareholders should consider the risk factors set forth in the Prospectus under the sections entititled “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
In view of the Sub-fund’s specialized investment program, the Sub-fund is considered a sophisticated fund and Shares are suitable investments for sophisticated investors and financial institutions for whom an investment in Shares does not constitute a complete investment program and who fully understand, are willing to assume, and have the financial resources necessary to withstand the risks that may be involved in the Sub-fund’s investment program.
In relation to investments in derivatives, the use of these instruments involves special risks including (i) dependence on the ability to predict movements in the prices of securities underlying the derivative instruments and movements in interest or currency rates; (ii) imperfect correlation between the derivative instruments and the securities or market sectors to which they relate; (iii) greater volatility than the securities and/or markets to which they relate; (iv) liquidity risk when, for example, a particular derivative instrument is difficult to purchase or sell; (v) market risk, where the market value of the derivative changes in a way that is detrimental to the Sub-fund; (vi) counterparty risk, where the counterparty with which the Sub-fund trades becomes insolvent, bankrupt or defaults; (vii) settlement risk, where a counterparty defaults in settling a trade; and (viii) legal risk, where the enforceability of a derivative contract may be an issue. See “Special Investment Techniques and Financial Instruments” in the Prospectus.
The Company will, on request, provide supplementary information to Shareholders relating to the risk management process employed including the quantitative limits that are applied and any recent developments in the risk and yield characteristics of the main categories of investment.
5. Investment Manager and Sub-Investment ManagerState Street Global Advisors France S.A. has been appointed Investment Manager for the Sub-fund. State Street Global Advisors France S.A. is a company duly authorised by the AMF (French financial markets authority) on 3rd June 1997, under number 97-044. Registered office: Immeuble Defense Plaza, 23-25 Rue Delariviere-Lefoullon 92062, France. Form of incorporation: Societe Anonyme, French company limited by shares. The Investment Manager has delegated investment decision making authority to State Street Global Advisors Limited, a wholly-owned subsidiary of State Street Bank Europe Limited, itself a subsidiary of State Street Bank and Trust Company, which in turn is a subsdiary of State Street Corporation (the “Sub-Investment Manager”). The Sub-Investment Manager has its principal offices located at 20 Churchill Place, Canary Wharf, London E14 5HJ, United Kingdom.
6. Valuation Date and Fixed TimeThe Net Asset Value of the Sub-fund will be calculated by the Administrator as at each Valuation Point in accordance with the requirements of the Articles and full details are set forth under the headings “Calculation of Net Asset Value” in the Prospectus. The Net Asset Value of the Sub-fund will be expressed in its Base Currency.
7. DividendsAll classes of Shares of the Sub-fund will be accumulating Shares, and therefore, dividends or other distributions out of the Sub-fund’s profits will not normally be paid to Shareholders.
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8. Fees and ExpensesThe Sub-fund shall bear its attributable proportion of the organisational and operating expenses of the Company. These are set out in detail under the heading “Fees and Expenses” in the Prospectus. In addition to the fees and expenses described below, Shareholders should read the section in the Prospectus entitled “Fees and Expenses” for a description of other fees and expenses that may apply to their investment in the Sub-fund.
The Sub-fund will pay the following management fee:
For Class P Shares, up to 0.70% of the average daily Net Asset Value; For Class I Shares, up to 0.35% of the average daily Net Asset Value.
These management fees will be accrued daily based on the Net Asset Value of the Sub-fund as of the relevant Dealing Day and will be paid monthly in arrears. The Investment Manager will discharge from these management fees the fees of the Sub-Investment Manager.
The total expense ratios attributable to the Share classes of the Sub-fund, as set out below, incorporate the fees and expenses of the Investment Manager, the Sub-Investment Manager, Administrator and Custodian, any distribution fee not covered by the subscription fee where appropriate, and certain other expenses of the Sub-fund set forth in Section 23.1 of the Prospectus. The Investment Manager has voluntarily agreed to temporarily reimburse such portions of its fees as is necessary to ensure that the total expense ratio attributable to all Shares shall currently not exceed the following rates:
For the Class P Shares, 0.80% of the average daily Net Asset Value; For the Class I Shares, 0.45% of the average daily Net Asset Value.
9. Subscriptions - Application Procedures
All applicants, whether applying in writing or by facsimile, must complete the Application Form prescribed by the Directors (the “Application Form”). An Application Form for additional Shares may be submitted by facsimile provided the Administrator has received the original Application Form for the initial subscription of Shares. Application Forms may be obtained from the Administrator and set out the methods by which and to whom the subscription monies should be sent. Application Forms shall be irrevocable (unless otherwise agreed with the Directors) and may be sent by facsimile at the risk of the applicant. The Application Form should be received by the Administrator, by 11.00 a.m. (Central European Time) on the relevant Dealing Day. Any Application Form received after such time will be deemed received as of the next Dealing Day. The originally executed Application Form for the initial subscription, along with supporting documentation in relation to money laundering prevention checks, should be received by the Administrator within five (5) Business Days after the electronically transmitted (by facsimile only) Application Form is sent to the Administrator.
Failure to provide the original Application Form by such time may, at the discretion of the Directors, result in the rejection of the application and any monies received will be returned to the applicant (minus any handling charge incurred in any such return) as soon as possible by wire transfer (but without interest, costs or compensation) or in the compulsory redemption of the Shares. In any event, applicants will be unable to redeem Shares on request until the original Application Form has been received and all anti-money laundering checks completed and supporting documentation received.
In addition to the Application Form, applicants may be requested to provide other information (e.g. as to identity and corporate authorisation). Failure to provide such information may delay the processing of the application.
Fractions: Subscription monies representing less than the Subscription Price for a Share will not be returned to the applicant. Fractions of Shares will be issued where any part of the subscription monies for Shares represents less than the Subscription Price for one Share, provided however, that fractions shall not be less than .0001 of a Share. Subscription monies, representing less than
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.0001 of a Share will not be returned to the applicant but will be retained by the Sub-fund in order to defray administration costs.
Offer Periods and Related Pricing:
After the Initial Offer Period for any class of Shares has expired, Shares will be issued at the then applicable Subscription Price per Share, which is based on the Net Asset Value per Share. Currently, the Class I Shares and Class P Shares are offered at the applicable Subscription Price per Share. See also the section entitled “Pricing” below.
Pricing: Except during the Initial Offer Period, all subscriptions will be dealt on a “forward” pricing basis, i.e. by reference to the Subscription Price for Shares calculated as at the Valuation Point for the relevant Dealing Day (together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Subscription Price (please see Sections 19.1 and 23.4 of the Prospectus). Any Application Forms received after the relevant time for receipt will normally be held over until the next Dealing Day.
10. Payment of Subscription Monies
Method and Currency of Payment: Subscription payments net of all bank charges must be made in US Dollars and should be paid by wire transfer to the bank account specified in the Application Form. Other methods of payment are subject to the prior approval of the Directors with the agreement of the Administrator. No interest will be paid in respect of payments received in circumstances where the application is held over to the next Dealing Day.
Timing of Payment: Payment in respect of subscriptions must be received in cleared funds by 5.00 p.m. (Central European Time) on the third Business Day following the relevant Dealing Day or on such other day as the Directors may determine.
Payment: If payment in cleared funds in respect of a subscription has not been received by the time specified above, any allotment of Shares made in respect of such application may be cancelled. In the event of the non-clearance of subscription monies, any allotment in respect of an application shall be cancelled. In either event and notwithstanding cancellation of the application, the Directors may charge the applicant for any expense incurred by the Company or the Sub-fund or for any loss to the Sub-fund arising out of such non-receipt or non-clearance. In addition, the Directors will have the right to sell all or part of the applicant’s holding of Shares in the relevant class or any other Sub-fund in order to meet those charges.
11. Minimum Subscriptions/Holdings
Initial Subscriptions: The minimum initial subscription amounts for the Shares are as follows:
$50,000 (or less at the discretion of the Directors) for Class I Shares; and The value of a single Share for Class P Shares.
Subsequent Subscriptions: Any subsequent subscription amounts for Shares shall be in accordance with the following:
For Class I Shares, a minimum of $5,000 (or less at the discretion of the Directors); and A minimum of the value of a single Share for Class P Shares.
Minimum Holdings: Any Shareholder who redeems or otherwise disposes of part of his holding must maintain the following minimum holdings in the Sub-fund:
Not less than $5,000 for Class I Shares (or less at the discretion of the Directors); and Not less than the value of a single Share in respect of Class P Shares.
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The Company may redeem the remaining holdings of any Shareholder who redeems his holdings below the foregoing minimums.
12. Redemptions
Redemption Procedure: Every Shareholder will have the right to require the Company to redeem his Shares in the Sub-fund on any Dealing Day (save during any period when the calculation of the Net Asset Value is suspended or the redemption of Shares is limited in the circumstances set forth in the Prospectus) on furnishing to the Administrator a redemption request in the form of a completed Redemption Form. Shares may be redeemed only by written application or by facsimile through the Administrator.
Redemption Pricing: All redemption requests are dealt with on a “forward” pricing basis, i.e. by reference to the Redemption Price for Shares calculated as at the Valuation Point for the relevant Dealing Day and by deducting a redemption fee of up to 3% of the Redemption Price per Share for the benefit of the Sub-fund, where at the discretion of the Directors it is considered to be equitable for the Shareholders as a whole. Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Redemption Price (please see Sections 19.2 and 23.4 of the Prospectus).
Redemption Form: All applicants must complete the Redemption Form prescribed by the Directors. Redemption Forms may be obtained from the Administrator. A redemption request may be made in writing or by facsimile by a Shareholder but if the account details for redemption payments are different from those set out in the Application Form, the original Redemption Form will be required by the Administrator and verification of the details may be required. The Redemption Form sets out the method by which and to whom redemption monies will be sent.
Redemption Forms must be received by 11.00 a.m. (Central European Time) on the relevant Dealing Day.
If the Redemption Form is received after the relevant time for receipt thereof it shall be treated as a request for redemption on the Dealing Day following such receipt. In extraordinary circumstances, Redemption Forms may be accepted for redemption if received prior to the Valuation Point on the relevant Dealing Day, at the discretion of the Directors, and Shares will be redeemed at the Redemption Price for that day. Shares will be redeemed at the Redemption Price calculated as at the Valuation Point for the relevant Dealing Day.
Redemptions shall be irrevocable and may be sent by facsimile at the risk of the relevant Shareholder. No redemption proceeds will be paid out unless an original initial Application Form is received by the Administrator, together with any other documents required by the Administrator, and cleared funds were received in connection with the original subscription.
Method and Currency of Payment: Redemption payments will be made in US Dollars to the bank account detailed on the Redemption Form.
Timing of Payment: Redemption proceeds in respect of Shares will be paid on the third Business Day following the relevant Dealing Day, or such other day as the Directors may determine,provided that all the required documentation has been furnished to and received by the Administrator.
In the case of a partial redemption of a Shareholder's holding, the Administrator will advise the Shareholder of the remaining Shares held by him.
Fractions: Apart from circumstances in which a Shareholder is redeeming his entire holding of Shares:-
(a) fractions of Shares will be issued where any part of the redemption monies for Shares represents less than the Redemption Price for one Share, provided however thatfractions shall not be less than .0001 of a Share; and
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(b) redemption monies, representing less than .0001 of a Share will not be returned to a Shareholder but will be retained by the Directors in order to defray administration costs.
Switching: Shareholders of other sub-funds of the Company may switch into the Sub-fund. Furthermore, Shareholders in the Sub-fund may switch into other sub-funds of the Company. Switches are in principle only permitted from one Class of Shares in a sub-fund to the same Class of Shares of another sub-fund, unless the investor fulfils the eligibility criteria of the Class of Shares to be switched into.
Shares can be switched on any Dealing Day which is a Dealing Day for both sub-funds at the Subscription Price valid on that date, provided the application for switching is received by State Street Bank Luxembourg S.A. (as the central administrator) by 11:00 a.m., Central European Time (cut-off time) on the relevant Dealing Day. The provisions relating to the cut-off time and forward pricing also apply concerning switching of Shares and are described in full in this Supplement and the Prospectus.
Shareholders should contact State Street Bank Luxembourg S.A., acting as the central administrator for the Company, for a switching application form and for any questions concerning the information required in the switching application form.
Further detail can be found in the Prospectus under the sub-heading “Switching.”
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STATE STREET GLOBAL ADVISORS LUXEMBOURG SICAV
Supplement No. 16
SSgA Active Euro Aggregate Bond Fund
DATED: MARCH 2011
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INTRODUCTION
State Street Global Advisors Luxembourg SICAV (the “Company”) is authorised in Luxembourg by the Commission de Surveillance du Secteur Financier (the “CSSF”) as a UCITS for the purposes of the 2002 Law. The Company is an open-ended umbrella investment company with segregated liability between sub-funds and variable capital.
This Supplement contains information relating to the Shares of the SSgA Active Euro Aggregate BondFund (the “Sub-fund”), which is a separate sub-fund of the Company. This Supplement forms part of and should be read in the context of and together with the general description of the Company contained in the current Prospectus.
As of the date of this Supplement, the Company currently offers the following Share classes of the Sub-fund:
Class I Shares
Class P Shares
Class I Shares are reserved for institutional investors as defined in Articles 174 to 176 of the 2010 Law. Class P Shares are available to retail and institutional investors. Further, the Company may, at a future date, create and offer additional Share classes for the Sub-fund.
The Company does not intend to list any Class of Shares of the Sub-fund on the Luxembourg Stock Exchange.
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DEFINITIONS
Unless otherwise defined herein or unless the context otherwise requires all defined terms used in this Supplement shall bear the same meaning as in the Prospectus.
Base Currency Euros
Business Day (i) Any day on which banks are open for business in Luxembourg and the United Kingdom (excluding Saturday, Sunday and public holidays)provided always that the London Stock Exchange is open for business on such day; and (ii) weekdays other than days on which the Trans-European Automated Real-Time Gross Settlement Express Transfer (“TARGET”), the Eurosystem interbank funds transfer system, is closed for business.
Dealing Day Each full bank Business Day.
Initial Offer Period This Sub-fund is not yet launched as at the date of the Prospectus. The Sub-fund may be launched at the Director's discretion. Confirmation of the launch date will be made available at the registered office of the Company and any provisions in the Prospectus relating to the Sub-fund shall only take effect from the launch date of the Sub-fund.
Initial Offer Price €10 per Share for the Class I Shares and Class P Shares, plus such sum as the Investment Manager considers appropriate (within permitted limits) as an Anti-Dilution Levy.
Redemption Price The redemption price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Redemption.”
Shares The: (i) Class I Shares; and (ii) Class P Shares in the Sub-fund to be issued in accordance with this Supplement and the Prospectus.
Subscription Price The subscription price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Subscription.”
Valuation Point Such time on a Dealing Day as the Directors may from time to time determine at which the Net Asset Value and the Net Asset Value per Share of the Sub-fund is calculated.
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1. Issue of Sub-fund sharesThe initial issue of Shares in the Sub-fund will take place during the Initial Offer Period, at the Initial Offer Price, plus a subscription fee of up to 3% of the issue price. Shareholders should also note that an Anti-Dilution Levy may be included in the Initial Offer Price. After the Initial Offer Period, Shares in the Sub-fund will be available for purchase on each Dealing Day and, as described below, will be offered at the applicable Subscription Price per Share, plus a subscription fee of up to 3% of the issue price.
Note: This Sub-fund is not yet launched as at the date of the Prospectus. The Sub-fund may be launched at the Director's discretion. Confirmation of the launch date will be made available at the registered office of the Company and any provisions in the Prospectus relating to the Sub-fund shall only take effect from the launch date of the Sub-fund.
2. Investment objectives and investment policyInvestment objective. The investment objective of the Sub-fund is to seek to outperform the performance of the Barclays Capital Euro-Aggregate Bond Index (the “Index”), evaluated on a three-year rolling basis.
The Index consists of bonds issued in the Euro or the legacy currencies of the sovereign countries participating in the European Monetary Union. All bonds must be investment grade rated, fixed-rate securities with at least one year remaining to maturity. The Index comprises the Euro Treasury, Government-related, Corporate and Securitized sectors of the investment-grade, fixed-rate debt markets.
Principal investment strategies. The Sub-Investment Manager manages the Sub-fund by initially building a portfolio that, prior to applying any active investment views, broadly reflects the market exposures of the Index. The Sub-Investment Manager typically applies an active investment view to the portfolio across a diversified range of sources of returns that seeks to exploit investment opportunities providing the potential for out-performance of the Sub-fund relative to the Index. Active positions will be implemented using a risk budgeting approach that aims to introduce risk into the Sub-fund in a controlled manner that is appropriate to the level of out-performance being sought. There may, however, be times when the Sub-Investment Manager, in its sole discretion, chooses not to implement active positions.
The Sub-Investment Manager employs an investment process that uses a combination of dedicated internal fundamental research and quantitative tools. The fundamentally-driven macro research process seeks to analyse economies and markets from both a top-down and bottom-up perspective and aims to identify potential investment opportunities. The Sub-Investment Manager uses a variety of evaluation tools and techniques (technical and fundamental) to evaluate these opportunities in order to determine which trade ideas may represent attractive strategies for the Sub-fund. The Sub-Investment Manager also uses quantitative tools and models to complement the fundamental research and to provide objective measures and guidance regarding potential investment opportunities.
Through this investment process and the use of the risk budgeting approach described above, the Sub-Investment Manager aims to identify active investment opportunities that when incorporated into the Sub-fund may be expected to, in the aggregate, help achieve the investment objective of the Sub-fund. The Sub-Investment Manager may seek to utilize a range of different sources of returns that are available across the wider fixed income markets and may not be directly related to the specific sector of the market reflected in the Index. The sources of active return may include, but would not be limited to, strategies relating to (i) asset allocation and country selection, (ii) portfolio duration relative to the Index, (iii) anticipated changes in the shapes of yield curves, (iv) breakeven inflation levels, (v) swap spreads, (vi) sector/security selection, and (vii) currencies.
The Sub-Investment Manager may seek to achieve market exposures for the Sub-fund through direct investment in fixed income securities or through the use of derivatives in accordance with
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the 2002 Law.
Although the Sub-Investment Manager may consider the factors described above in purchasing or selling investments for the Sub-fund, the Sub-Investment Manager may purchase, sell or continue to hold an investment for the Sub-fund whenever it believes that doing so may benefit the Sub-fund, on the basis of any of the factors described above or any other factors.
Principal investments. The Sub-fund may make direct investments in debt securities of any kind, including, but not limited to, government securities; corporate debt securities; and, up to 20% of its Net Asset Value, mortgage-backed (both residential and commercial) and other asset-backed securities. Securities in which the Sub-fund invests may be fixed rate securities, zero-coupon securities, variable rate securities or inflation-linked securities.
The Sub-fund may use derivative transactions, including without limitation, buying and sellingfutures contracts and options, foreign exchange transactions, and entering into other exchange-traded or over-the-counter derivatives transactions, subject in all cases to the investment-related restrictions set forth in the 2002 Law. Although certain of the investments described above may create leverage, as stated above, all such investments and the related exposures and risk of loss will be made in accordance with the investment requirements and restrictions of the 2002 Law. The use of derivative transactions, and the potential for these investments to create leverage, may expose the Sub-fund to the risks described in the Prospectus under the headings “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
The Sub-fund will not engage in securities lending. The Sub-fund may pay the Investment Manager, the Sub-Investment Manager or an affiliate fees and expenses related to the provision of custodial, administrative, bookkeeping, and accounting services, transfer agency and shareholder servicing, and other services that the Investment Manager or the Sub-Investment Manager may from time to time consider necessary or appropriate. The Sub-fund may enter into repurchase agreements, including transactions with the Investment Manager, the Sub-Investment Manager or an affiliate of the Investment Manager. The Sub-fund may invest in other investment funds that qualify as UCITS or other UCIs within the meaning of Section 7.1. (d) of Chapter 7 "Investment Limits" in the main body of the Prospectus. Such UCITS or other UCIs may include entities sponsored, managed, or otherwise affiliated with the Investment Manager. See "General Risk Factors" and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments” in the Prospectus.
An investment in the Sub-fund may be subject to taxation. Potential Shareholders should consult their own tax counsel as to the specific tax consequences of an investment in the Sub-fund.
Certain Risk Controls. Both the Investment Manager and the Sub-Investment Manager monitor the overall risk of the Sub-fund in an effort to seek to ensure that active or benchmark-relative risk is appropriate for the investment objectives of the Sub-fund. The Sub-Investment Manager attempts to manage risk by, among other things, monitoring the expected total risk, incorporating absolute portfolio constraints, and maintaining a high level of diversification.
Other. The Barclays Capital Euro-Aggregate Bond Index is a service mark of Barclays Capital,Inc. (“Barclays Capital”), which expression shall include any of its affiliates) and has beenlicensed for use for certain purposes by the Company. The Sub-fund is not sponsored, endorsed,sold or promoted by Barclays Capital. Barclays Capital makes no representation or warranty,express or implied, to the owners of the Sub-fund or any member of the public regarding the advisability of investing in securities generally or in the licensing of certain information, data, trademarks and trade names of Barclays Capital. The Index is determined, composed and calculated by Barclays without regard to the Company or the Sub-fund. Barclays Capital has no obligation to take the needs of the Company or the Shareholders of the Sub-fund into consideration in determining, composing or calculating the Index. Barclays Capital is not responsible for and has not participated in the determination of the prices and amount of the Sub-fund or the timing of the issuance or sale of the Sub-fund or in the determination or calculation of the equation by which the Sub-fund is to be converted into cash. Barclays Capital has noobligation or liability in connection with the administration, marketing or trading of the Sub-
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fund.
BARCLAYS CAPITAL DOES NOT GUARANTEE THE QUALITY, ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN, OR OTHERWISE OBTAINED BY THE COMPANY OR ITS SUB-FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. BARCLAYS CAPITAL MAKES NO EXPRESS OR IMPLIED WARRANTIES AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OF FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL BARCLAYS CAPITAL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
3. Investment limits of the Sub-fundThe investment and borrowing restrictions set out in the Prospectus apply in their entirety to the Sub-fund.
4. Risk FactorsPotential Shareholders should consider the risk factors set forth in the Prospectus under the sections entititled “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
In view of the Sub-fund’s specialized investment program, the Sub-fund is considered a sophisticated fund and Shares are suitable investments for sophisticated investors and financial institutions for whom an investment in Shares does not constitute a complete investment program and who fully understand, are willing to assume, and have the financial resources necessary to withstand the risks that may be involved in the Sub-fund’s investment program.
In relation to investments in derivatives, the use of these instruments involves special risks including (i) dependence on the ability to predict movements in the prices of securities underlying the derivative instruments and movements in interest or currency rates; (ii) imperfect correlation between the derivative instruments and the securities or market sectors to which they relate; (iii) greater volatility than the securities and/or markets to which they relate; (iv) liquidity risk when, for example, a particular derivative instrument is difficult to purchase or sell; (v) market risk, where the market value of the derivative changes in a way that is detrimental to the Sub-fund; (vi) counterparty risk, where the counterparty with which the Sub-fund trades becomes insolvent, bankrupt or defaults; (vii) settlement risk, where a counterparty defaults in settling a trade; and (viii) legal risk, where the enforceability of a derivative contract may be an issue. See “Special Investment Techniques and Financial Instruments” in the Prospectus.
The Company will, on request, provide supplementary information to Shareholders relating to the risk management process employed including the quantitative limits that are applied and any recent developments in the risk and yield characteristics of the main categories of investment.
5. Investment Manager and Sub-Investment ManagerState Street Global Advisors France S.A. has been appointed Investment Manager for the Sub-fund. State Street Global Advisors France S.A. is a company duly authorised by the AMF (French financial markets authority) on 3rd June 1997, under number 97-044. Registered office: Immeuble Defense Plaza, 23-25 Rue Delariviere-Lefoullon 92062, France. Form of incorporation: Societe Anonyme, French company limited by shares. The Investment Manager has delegated investment decision making authority to State Street Global Advisors Limited, a wholly-owned subsidiary of State Street Bank Europe Limited, itself a subsidiary of State Street Bank and Trust Company, which in turn is a subsdiary of State Street Corporation (the “Sub-Investment Manager”). The Sub-Investment Manager has its principal offices located at 20 Churchill Place, Canary Wharf, London E14 5HJ, United Kingdom.
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6. Valuation Date and Fixed TimeThe Net Asset Value of the Sub-fund will be calculated by the Administrator as at each Valuation Point in accordance with the requirements of the Articles and full details are set forth under the headings “Calculation of Net Asset Value” in the Prospectus. The Net Asset Value of the Sub-fund will be expressed in its Base Currency.
7. DividendsAll classes of Shares of the Sub-fund will be accumulating Shares, and therefore, dividends or other distributions out of the Sub-fund’s profits will not normally be paid to Shareholders.
8. Fees and ExpensesThe Sub-fund shall bear its attributable proportion of the organisational and operating expenses of the Company. These are set out in detail under the heading “Fees and Expenses” in the Prospectus. In addition to the fees and expenses described below, Shareholders should read the section in the Prospectus entitled “Fees and Expenses” for a description of other fees and expenses that may apply to their investment in the Sub-fund.
The Sub-fund will pay the following management fee:
For Class P Shares, up to 0.80% of the average daily Net Asset Value; For Class I Shares, up to 0.40% of the average daily Net Asset Value.
These management fees will be accrued daily based on the Net Asset Value of the Sub-fund as of the relevant Dealing Day and will be paid monthly in arrears. The Investment Manager will discharge from these management fees the fees of the Sub-Investment Manager.
The total expense ratios attributable to the Share classes of the Sub-fund, as set out below, incorporate the fees and expenses of the Investment Manager, the Sub-Investment Manager, Administrator and Custodian, any distribution fee not covered by the subscription fee where appropriate, and certain other expenses of the Sub-fund set forth in Section 23.1 of the Prospectus. The Investment Manager has voluntarily agreed to temporarily reimburse such portions of its fees as is necessary to ensure that the total expense ratio attributable to all Shares shall currently not exceed the following rates:
For the Class P Shares, 0.90% of the average daily Net Asset Value; For the Class I Shares, 0.50% of the average daily Net Asset Value.
9. Subscriptions - Application Procedures
All applicants, whether applying in writing or by facsimile, must complete the Application Form prescribed by the Directors (the “Application Form”). An Application Form for additional Shares may be submitted by facsimile provided the Administrator has received the original Application Form for the initial subscription of Shares. Application Forms may be obtained from the Administrator and set out the methods by which and to whom the subscription monies should be sent. Application Forms shall be irrevocable (unless otherwise agreed with the Directors) and may be sent by facsimile at the risk of the applicant. The Application Form should be received by the Administrator, by 11.00 a.m. (Central European Time) on the relevant Dealing Day. Any Application Form received after such time will be deemed received as of the next Dealing Day. The originally executed Application Form for the initial subscription, along with supporting documentation in relation to money laundering prevention checks, should be received by the Administrator within five (5) Business Days after the electronically transmitted (by facsimile only) Application Form is sent to the Administrator.
Failure to provide the original Application Form by such time may, at the discretion of the Directors, result in the rejection of the application and any monies received will be returned to the applicant (minus any handling charge incurred in any such return) as soon as possible by wire
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transfer (but without interest, costs or compensation) or in the compulsory redemption of the Shares. In any event, applicants will be unable to redeem Shares on request until the original Application Form has been received and all anti-money laundering checks completed and supporting documentation received.
In addition to the Application Form, applicants may be requested to provide other information (e.g. as to identity and corporate authorisation). Failure to provide such information may delay the processing of the application.
Fractions: Subscription monies representing less than the Subscription Price for a Share will not be returned to the applicant. Fractions of Shares will be issued where any part of the subscription monies for Shares represents less than the Subscription Price for one Share, provided however, that fractions shall not be less than .0001 of a Share. Subscription monies, representing less than .0001 of a Share will not be returned to the applicant but will be retained by the Sub-fund in order to defray administration costs.
Offer Periods and Related Pricing: Applications for Shares during the Initial Offer Period must be received and accepted during the Initial Offer Period. Settlement proceeds must also be received in cleared funds within the Initial Offer Period, or such later period as the Directors may in their absolute discretion determine.
The Subscription Price for Shares during the Initial Offer Period is the Initial Offer Price(together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Shareholders should also note that an Anti-Dilution Levy may be included in the Initial Offer Price.
After the Initial Offer Period for any class of Shares has expired, Shares will be issued at the then applicable Subscription Price per Share, which is based on the Net Asset Value per Share. See also the section entitled “Pricing” below.
Pricing: Except during the Initial Offer Period, all subscriptions will be dealt on a “forward” pricing basis, i.e. by reference to the Subscription Price for Shares calculated as at the Valuation Point for the relevant Dealing Day (together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Subscription Price (please see Sections 19.1 and 23.4 of the Prospectus). Any Application Forms received after the relevant time for receipt will normally be held over until the next Dealing Day.
10. Payment of Subscription Monies
Method and Currency of Payment: Subscription payments net of all bank charges must be made in Euros and should be paid by wire transfer to the bank account specified in the Application Form. Other methods of payment are subject to the prior approval of the Directors with the agreement of the Administrator. No interest will be paid in respect of payments received in circumstances where the application is held over to the next Dealing Day.
Timing of Payment: Payment in respect of subscriptions must be received in cleared funds by 5.00 p.m. (Central European Time) on the third Business Day following the relevant Dealing Day or on such other day as the Directors may determine.
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Payment: If payment in cleared funds in respect of a subscription has not been received by the time specified above, any allotment of Shares made in respect of such application may be cancelled. In the event of the non-clearance of subscription monies, any allotment in respect of an application shall be cancelled. In either event and notwithstanding cancellation of the application, the Directors may charge the applicant for any expense incurred by the Company or the Sub-fund or for any loss to the Sub-fund arising out of such non-receipt or non-clearance. In addition, the Directors will have the right to sell all or part of the applicant’s holding of Shares in the relevant class or any other Sub-fund in order to meet those charges.
11. Minimum Subscriptions/Holdings
Initial Subscriptions: The minimum initial subscription amounts for the Shares are as follows:
€50,000 (or less at the discretion of the Directors) for Class I Shares; and The value of a single Share for Class P Shares.
Subsequent Subscriptions: Any subsequent subscription amounts for Shares shall be in accordance with the following:
For Class I Shares, a minimum of €5,000 (or less at the discretion of the Directors); and A minimum of the value of a single Share for Class P Shares.
Minimum Holdings: Any Shareholder who redeems or otherwise disposes of part of his holding must maintain the following minimum holdings in the Sub-fund:
Not less than €5,000 for Class I Shares (or less at the discretion of the Directors); and Not less than the value of a single Share in respect of Class P Shares.
The Company may redeem the remaining holdings of any Shareholder who redeems his holdings below the foregoing minimums.
12. Redemptions
Redemption Procedure: Every Shareholder will have the right to require the Company to redeem his Shares in the Sub-fund on any Dealing Day (save during any period when the calculation of the Net Asset Value is suspended or the redemption of Shares is limited in the circumstances set forth in the Prospectus) on furnishing to the Administrator a redemption request in the form of a completed Redemption Form. Shares may be redeemed only by written application or by facsimile through the Administrator.
Redemption Pricing: All redemption requests are dealt with on a “forward” pricing basis, i.e. by reference to the Redemption Price for Shares calculated as at the Valuation Point for the relevant Dealing Day and by deducting a redemption fee of up to 3% of the Redemption Price per Share for the benefit of the Sub-fund, where at the discretion of the Directors it is considered to be equitable for the Shareholders as a whole. Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Redemption Price (please see Sections 19.2 and 23.4 of the Prospectus).
Redemption Form: All applicants must complete the Redemption Form prescribed by the Directors. Redemption Forms may be obtained from the Administrator. A redemption request may be made in writing or by facsimile by a Shareholder but if the account details for redemption payments are different from those set out in the Application Form, the original Redemption Form will be required by the Administrator and verification of the details may be required. The Redemption Form sets out the method by which and to whom redemption monies will be sent.
Redemption Forms must be received by 11.00 a.m. (Central European Time) on the relevant Dealing Day.
If the Redemption Form is received after the relevant time for receipt thereof it shall be treated as a request for redemption on the Dealing Day following such receipt. In extraordinary
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circumstances, Redemption Forms may be accepted for redemption if received prior to the Valuation Point on the relevant Dealing Day, at the discretion of the Directors, and Shares will be redeemed at the Redemption Price for that day. Shares will be redeemed at the Redemption Price calculated as at the Valuation Point for the relevant Dealing Day.
Redemptions shall be irrevocable and may be sent by facsimile at the risk of the relevant Shareholder. No redemption proceeds will be paid out unless an original initial Application Form is received by the Administrator, together with any other documents required by the Administrator, and cleared funds were received in connection with the original subscription.
Method and Currency of Payment: Redemption payments will be made in Euros to the bank account detailed on the Redemption Form.
Timing of Payment: Redemption proceeds in respect of Shares will be paid on the third Business Day following the relevant Dealing Day, or such other day as the Directors may determine,provided that all the required documentation has been furnished to and received by the Administrator.
In the case of a partial redemption of a Shareholder's holding, the Administrator will advise the Shareholder of the remaining Shares held by him.
Fractions: Apart from circumstances in which a Shareholder is redeeming his entire holding of Shares:-
(a) fractions of Shares will be issued where any part of the redemption monies for Shares represents less than the Redemption Price for one Share, provided however that fractions shall not be less than .0001 of a Share; and
(b) redemption monies, representing less than .0001 of a Share will not be returned to a Shareholder but will be retained by the Directors in order to defray administration costs.
Switching: Shareholders of other sub-funds of the Company may switch into the Sub-fund. Furthermore, Shareholders in the Sub-fund may switch into other sub-funds of the Company. Switches are in principle only permitted from one Class of Shares in a sub-fund to the same Class of Shares of another sub-fund, unless the investor fulfils the eligibility criteria of the Class of Shares to be switched into.
Shares can be switched on any Dealing Day which is a Dealing Day for both sub-funds at the Subscription Price valid on that date, provided the application for switching is received by State Street Bank Luxembourg S.A. (as the central administrator) by 11:00 a.m., Central European Time (cut-off time) on the relevant Dealing Day. The provisions relating to the cut-off time and forward pricing also apply concerning switching of Shares and are described in full in this Supplement and the Prospectus.
Shareholders should contact State Street Bank Luxembourg S.A., acting as the central administrator for the Company, for a switching application form and for any questions concerning the information required in the switching application form.
Further detail can be found in the Prospectus under the sub-heading “Switching.”
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STATE STREET GLOBAL ADVISORS LUXEMBOURG SICAV
Supplement No. 17
SSgA Active Euro Corporate Bond Fund
DATED: MARCH 2011
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INTRODUCTION
State Street Global Advisors Luxembourg SICAV (the “Company”) is authorised in Luxembourg by the Commission de Surveillance du Secteur Financier (the “CSSF”) as a UCITS for the purposes of the 2002 Law. The Company is an open-ended umbrella investment company with segregated liability between sub-funds and variable capital.
This Supplement contains information relating to the Shares of the SSgA Active Euro Corporate BondFund (the “Sub-fund”), which is a separate sub-fund of the Company. This Supplement forms part of and should be read in the context of and together with the general description of the Company contained in the current Prospectus.
As of the date of this Supplement, the Company currently offers the following Share classes of the Sub-fund:
Class I Shares
Class P Shares
Class I Shares are reserved for institutional investors as defined in Articles 174 to 176 of the 2010 Law. Class P Shares are available to retail and institutional investors. Further, the Company may, at a future date, create and offer additional Share classes for the Sub-fund.
The Company does not intend to list any Class of Shares of the Sub-fund on the Luxembourg Stock Exchange.
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DEFINITIONS
Unless otherwise defined herein or unless the context otherwise requires all defined terms used in this Supplement shall bear the same meaning as in the Prospectus.
Base Currency Euros
Business Day (i) Any day on which banks are open for business in Luxembourg and the United Kingdom (excluding Saturday, Sunday and public holidays)provided always that the London Stock Exchange is open for business on such day; and (ii) weekdays other than days on which the Trans-European Automated Real-Time Gross Settlement Express Transfer (“TARGET”), the Eurosystem interbank funds transfer system, is closed for business.
Dealing Day Each full bank Business Day.
Initial Offer Period This Sub-fund is not yet launched as at the date of the Prospectus. The Sub-fund may be launched at the Director's discretion. Confirmation of the launch date will be made available at the registered office of the Company and any provisions in the Prospectus relating to the Sub-fund shall only take effect from the launch date of the Sub-fund.
Initial Offer Price €10 per Share for the Class I Shares and Class P Shares, plus such sum as the Investment Manager considers appropriate (within permitted limits) as an Anti-Dilution Levy.
Redemption Price The redemption price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Redemption.”
Shares The: (i) Class I Shares; and (ii) Class P Shares in the Sub-fund to be issued in accordance with this Supplement and the Prospectus.
Subscription Price The subscription price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Subscription.”
Valuation Point Such time on a Dealing Day as the Directors may from time to time determine at which the Net Asset Value and the Net Asset Value per Share of the Sub-fund is calculated.
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1. Issue of Sub-fund sharesThe initial issue of Shares in the Sub-fund will take place during the Initial Offer Period, at the Initial Offer Price, plus a subscription fee of up to 3% of the issue price. Shareholders should also note that an Anti-Dilution Levy may be included in the Initial Offer Price. After the Initial Offer Period, Shares in the Sub-fund will be available for purchase on each Dealing Day and, as described below, will be offered at the applicable Subscription Price per Share, plus a subscription fee of up to 3% of the issue price.
Note: This Sub-fund is not yet launched as at the date of the Prospectus. The Sub-fund may be launched at the Director's discretion. Confirmation of the launch date will be made available at the registered office of the Company and any provisions in the Prospectus relating to the Sub-fund shall only take effect from the launch date of the Sub-fund.
2. Investment objectives and investment policyInvestment objective. The investment objective of the Sub-fund is to seek to outperform the performance of the Barclays Capital Euro-Aggregate Corporate Bond Index (the “Index”),evaluated on a three-year rolling basis. The Index is the corporates component of the Barclays Capital Euro-Aggregate Credit Index, itself a sub-sector of the Barclays Capital Euro-Aggregate Bond Index.
Principal investment strategies. The Sub-Investment Manager manages the Sub-fund by initially building a portfolio that, prior to applying any active investment views, broadly reflects the market exposures of the Index. The Sub-Investment Manager typically applies an active investment view to the portfolio across a diversified range of sources of returns that seeks to exploit investment opportunities providing the potential for out-performance of the Sub-fund relative to the Index. Active positions will be implemented using a risk budgeting approach that aims to introduce risk into the Sub-fund in a controlled manner that is appropriate to the level of out-performance being sought. There may, however, be times when the Sub-Investment Manager, in its sole discretion, chooses not to implement active positions.
The Sub-Investment Manager employs an investment process that uses a combination of dedicated internal fundamental research and quantitative tools. The fundamentally-driven macro research process seeks to analyse economies and markets from both a top-down and bottom-up perspective and aims to identify potential investment opportunities. The Sub-Investment Manager uses a variety of evaluation tools and techniques (technical and fundamental) to evaluate these opportunities in order to determine which trade ideas may represent attractive strategies for the Sub-fund. The Sub-Investment Manager also uses quantitative tools and models to complement the fundamental research and to provide objective measures and guidance regarding potential investment opportunities.
Through this investment process and the use of the risk budgeting approach described above, the Sub-Investment Manager aims to identify active investment opportunities that when incorporated into the Sub-fund may be expected to, in the aggregate, help achieve the investment objective of the Sub-fund. The Sub-Investment Manager may seek to utilize a range of different sources of returns that are available across the wider fixed income markets and may not be directly related to the specific sector of the market reflected in the Index. The sources of active return may include, but would not be limited to, strategies relating to (i) asset allocation and country selection, (ii) portfolio duration relative to the Index, (iii) anticipated changes in the shapes of yield curves, (iv) breakeven inflation levels, (v) swap spreads, (vi) sector/security selection, and (vii) currencies.
The Sub-Investment Manager may seek to achieve market exposures for the Sub-fund through direct investment in fixed income securities or through the use of derivatives in accordance with the 2002 Law.
Although the Sub-Investment Manager may consider the factors described above in purchasing or selling investments for the Sub-fund, the Sub-Investment Manager may purchase, sell or continue
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to hold an investment for the Sub-fund whenever it believes that doing so may benefit the Sub-fund, on the basis of any of the factors described above or any other factors.
Principal investments. The Sub-fund may make direct investments in debt securities of any kind, including, but not limited to, government securities; corporate debt securities; and, up to 20% of its Net Asset Value, mortgage-backed (both residential and commercial) and other asset-backed securities. Securities in which the Sub-fund invests may be fixed rate securities, zero-coupon securities, variable rate securities or inflation-linked securities.
The Sub-fund may use derivative transactions, including without limitation, buying and sellingfutures contracts and options, foreign exchange transactions, and entering into other exchange-traded or over-the-counter derivatives transactions, subject in all cases to the investment-related restrictions set forth in the 2002 Law. Although certain of the investments described above may create leverage, as stated above, all such investments and the related exposures and risk of loss will be made in accordance with the investment requirements and restrictions of the 2002 Law. The use of derivative transactions, and the potential for these investments to create leverage, may expose the Sub-fund to the risks described in the Prospectus under the headings “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
The Sub-fund will not engage in securities lending. The Sub-fund may pay the Investment Manager, the Sub-Investment Manager or an affiliate fees and expenses related to the provision of custodial, administrative, bookkeeping, and accounting services, transfer agency and shareholder servicing, and other services that the Investment Manager or the Sub-Investment Manager may from time to time consider necessary or appropriate. The Sub-fund may enter into repurchase agreements, including transactions with the Investment Manager, the Sub-Investment Manager or an affiliate of the Investment Manager. The Sub-fund may invest in other investment funds that qualify as UCITS or other UCIs within the meaning of Section 7.1. (d) of Chapter 7 "Investment Limits" in the main body of the Prospectus. Such UCITS or other UCIs may include entities sponsored, managed, or otherwise affiliated with the Investment Manager. See "General Risk Factors" and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments” in the Prospectus.
An investment in the Sub-fund may be subject to taxation. Potential Shareholders should consult their own tax counsel as to the specific tax consequences of an investment in the Sub-fund.
Certain Risk Controls. Both the Investment Manager and the Sub-Investment Manager monitor the overall risk of the Sub-fund in an effort to seek to ensure that active or benchmark-relative risk is appropriate for the investment objectives of the Sub-fund. The Sub-Investment Manager attempts to manage risk by, among other things, monitoring the expected total risk, incorporating absolute portfolio constraints, and maintaining a high level of diversification.
Other. The Barclays Capital Euro-Aggregate Corporate Bond Index is a service mark of Barclays Capital, Inc. (“Barclays Capital”), which expression shall include any of its affiliates) and has been licensed for use for certain purposes by the Company. The Sub-fund is not sponsored, endorsed, sold or promoted by Barclays Capital. Barclays Capital makes no representation or warranty, express or implied, to the owners of the Sub-fund or any member of the public regarding the advisability of investing in securities generally or in the licensing of certain information, data, trademarks and trade names of Barclays Capital. The Index is determined, composed and calculated by Barclays without regard to the Company or the Sub-fund. Barclays Capital has no obligation to take the needs of the Company or the Shareholders of the Sub-fund into consideration in determining, composing or calculating the Index. Barclays Capital is not responsible for and has not participated in the determination of the prices and amount of the Sub-fund or the timing of the issuance or sale of the Sub-fund or in the determination or calculation of the equation by which the Sub-fund is to be converted into cash. Barclays Capital has noobligation or liability in connection with the administration, marketing or trading of the Sub-fund.
BARCLAYS CAPITAL DOES NOT GUARANTEE THE QUALITY, ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN, OR OTHERWISE
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OBTAINED BY THE COMPANY OR ITS SUB-FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. BARCLAYS CAPITAL MAKES NO EXPRESS OR IMPLIED WARRANTIES AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OF FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL BARCLAYS CAPITAL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
3. Investment limits of the Sub-fundThe investment and borrowing restrictions set out in the Prospectus apply in their entirety to the Sub-fund.
4. Risk FactorsPotential Shareholders should consider the risk factors set forth in the Prospectus under the sections entititled “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
In view of the Sub-fund’s specialized investment program, the Sub-fund is considered a sophisticated fund and Shares are suitable investments for sophisticated investors and financial institutions for whom an investment in Shares does not constitute a complete investment program and who fully understand, are willing to assume, and have the financial resources necessary to withstand the risks that may be involved in the Sub-fund’s investment program.
In relation to investments in derivatives, the use of these instruments involves special risks including (i) dependence on the ability to predict movements in the prices of securities underlying the derivative instruments and movements in interest or currency rates; (ii) imperfect correlation between the derivative instruments and the securities or market sectors to which they relate; (iii) greater volatility than the securities and/or markets to which they relate; (iv) liquidity risk when, for example, a particular derivative instrument is difficult to purchase or sell; (v) market risk, where the market value of the derivative changes in a way that is detrimental to the Sub-fund; (vi) counterparty risk, where the counterparty with which the Sub-fund trades becomes insolvent, bankrupt or defaults; (vii) settlement risk, where a counterparty defaults in settling a trade; and (viii) legal risk, where the enforceability of a derivative contract may be an issue. See “Special Investment Techniques and Financial Instruments” in the Prospectus.
The Company will, on request, provide supplementary information to Shareholders relating to the risk management process employed including the quantitative limits that are applied and any recent developments in the risk and yield characteristics of the main categories of investment.
5. Investment Manager and Sub-Investment ManagerState Street Global Advisors France S.A. has been appointed Investment Manager for the Sub-fund. State Street Global Advisors France S.A. is a company duly authorised by the AMF (French financial markets authority) on 3rd June 1997, under number 97-044. Registered office: Immeuble Defense Plaza, 23-25 Rue Delariviere-Lefoullon 92062, France. Form of incorporation: Societe Anonyme, French company limited by shares. The Investment Manager has delegated investment decision making authority to State Street Global Advisors Limited, a wholly-owned subsidiary of State Street Bank Europe Limited, itself a subsidiary of State Street Bank and Trust Company, which in turn is a subsdiary of State Street Corporation (the “Sub-Investment Manager”). The Sub-Investment Manager has its principal offices located at 20 Churchill Place, Canary Wharf, London E14 5HJ, United Kingdom.
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6. Valuation Date and Fixed TimeThe Net Asset Value of the Sub-fund will be calculated by the Administrator as at each Valuation Point in accordance with the requirements of the Articles and full details are set forth under the headings “Calculation of Net Asset Value” in the Prospectus. The Net Asset Value of the Sub-fund will be expressed in its Base Currency.
7. DividendsAll classes of Shares of the Sub-fund will be accumulating Shares, and therefore, dividends or other distributions out of the Sub-fund’s profits will not normally be paid to Shareholders.
8. Fees and ExpensesThe Sub-fund shall bear its attributable proportion of the organisational and operating expenses of the Company. These are set out in detail under the heading “Fees and Expenses” in the Prospectus. In addition to the fees and expenses described below, Shareholders should read the section in the Prospectus entitled “Fees and Expenses” for a description of other fees and expenses that may apply to their investment in the Sub-fund.
The Sub-fund will pay the following management fee:
For Class P Shares, up to 0.80% of the average daily Net Asset Value; For Class I Shares, up to 0.40% of the average daily Net Asset Value.
These management fees will be accrued daily based on the Net Asset Value of the Sub-fund as of the relevant Dealing Day and will be paid monthly in arrears. The Investment Manager will discharge from these management fees the fees of the Sub-Investment Manager.
The total expense ratios attributable to the Share classes of the Sub-fund, as set out below, incorporate the fees and expenses of the Investment Manager, the Sub-Investment Manager, Administrator and Custodian, any distribution fee not covered by the subscription fee where appropriate, and certain other expenses of the Sub-fund set forth in Section 23.1 of the Prospectus. The Investment Manager has voluntarily agreed to temporarily reimburse such portions of its fees as is necessary to ensure that the total expense ratio attributable to all Shares shall currently not exceed the following rates:
For the Class P Shares, 0.90% of the average daily Net Asset Value; For the Class I Shares, 0.50% of the average daily Net Asset Value.
9. Subscriptions - Application Procedures
All applicants, whether applying in writing or by facsimile, must complete the Application Form prescribed by the Directors (the “Application Form”). An Application Form for additional Shares may be submitted by facsimile provided the Administrator has received the original Application Form for the initial subscription of Shares. Application Forms may be obtained from the Administrator and set out the methods by which and to whom the subscription monies should be sent. Application Forms shall be irrevocable (unless otherwise agreed with the Directors) and may be sent by facsimile at the risk of the applicant. The Application Form should be received by the Administrator, by 11.00 a.m. (Central European Time) on the relevant Dealing Day. Any Application Form received after such time will be deemed received as of the next Dealing Day. The originally executed Application Form for the initial subscription, along with supporting documentation in relation to money laundering prevention checks, should be received by the Administrator within five (5) Business Days after the electronically transmitted (by facsimile only) Application Form is sent to the Administrator.
Failure to provide the original Application Form by such time may, at the discretion of the Directors, result in the rejection of the application and any monies received will be returned to the applicant (minus any handling charge incurred in any such return) as soon as possible by wire
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transfer (but without interest, costs or compensation) or in the compulsory redemption of the Shares. In any event, applicants will be unable to redeem Shares on request until the original Application Form has been received and all anti-money laundering checks completed and supporting documentation received.
In addition to the Application Form, applicants may be requested to provide other information (e.g. as to identity and corporate authorisation). Failure to provide such information may delay the processing of the application.
Fractions: Subscription monies representing less than the Subscription Price for a Share will not be returned to the applicant. Fractions of Shares will be issued where any part of the subscription monies for Shares represents less than the Subscription Price for one Share, provided however, that fractions shall not be less than .0001 of a Share. Subscription monies, representing less than .0001 of a Share will not be returned to the applicant but will be retained by the Sub-fund in order to defray administration costs.
Offer Periods and Related Pricing: Applications for Shares during the Initial Offer Period must be received and accepted during the Initial Offer Period. Settlement proceeds must also be received in cleared funds within the Initial Offer Period, or such later period as the Directors may in their absolute discretion determine.
The Subscription Price for Shares during the Initial Offer Period is the Initial Offer Price(together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Shareholders should also note that an Anti-Dilution Levy may be included in the Initial Offer Price.
After the Initial Offer Period for any class of Shares has expired, Shares will be issued at the then applicable Subscription Price per Share, which is based on the Net Asset Value per Share. See also the section entitled “Pricing” below.
Pricing: Except during the Initial Offer Period, all subscriptions will be dealt on a “forward” pricing basis, i.e. by reference to the Subscription Price for Shares calculated as at the Valuation Point for the relevant Dealing Day (together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Subscription Price (please see Sections 19.1 and 23.4 of the Prospectus). Any Application Forms received after the relevant time for receipt will normally be held over until the next Dealing Day.
10. Payment of Subscription Monies
Method and Currency of Payment: Subscription payments net of all bank charges must be made in Euros and should be paid by wire transfer to the bank account specified in the Application Form. Other methods of payment are subject to the prior approval of the Directors with the agreement of the Administrator. No interest will be paid in respect of payments received in circumstances where the application is held over to the next Dealing Day.
Timing of Payment: Payment in respect of subscriptions must be received in cleared funds by 5.00 p.m. (Central European Time) on the third Business Day following the relevant Dealing Day or on such other day as the Directors may determine.
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Payment: If payment in cleared funds in respect of a subscription has not been received by the time specified above, any allotment of Shares made in respect of such application may be cancelled. In the event of the non-clearance of subscription monies, any allotment in respect of an application shall be cancelled. In either event and notwithstanding cancellation of the application, the Directors may charge the applicant for any expense incurred by the Company or the Sub-fund or for any loss to the Sub-fund arising out of such non-receipt or non-clearance. In addition, the Directors will have the right to sell all or part of the applicant’s holding of Shares in the relevant class or any other Sub-fund in order to meet those charges.
11. Minimum Subscriptions/Holdings
Initial Subscriptions: The minimum initial subscription amounts for the Shares are as follows:
€50,000 (or less at the discretion of the Directors) for Class I Shares; and The value of a single Share for Class P Shares.
Subsequent Subscriptions: Any subsequent subscription amounts for Shares shall be in accordance with the following:
For Class I Shares, a minimum of €5,000 (or less at the discretion of the Directors); and A minimum of the value of a single Share for Class P Shares.
Minimum Holdings: Any Shareholder who redeems or otherwise disposes of part of his holding must maintain the following minimum holdings in the Sub-fund:
Not less than €5,000 for Class I Shares (or less at the discretion of the Directors); and Not less than the value of a single Share in respect of Class P Shares.
The Company may redeem the remaining holdings of any Shareholder who redeems his holdings below the foregoing minimums.
12. Redemptions
Redemption Procedure: Every Shareholder will have the right to require the Company to redeem his Shares in the Sub-fund on any Dealing Day (save during any period when the calculation of the Net Asset Value is suspended or the redemption of Shares is limited in the circumstances set forth in the Prospectus) on furnishing to the Administrator a redemption request in the form of a completed Redemption Form. Shares may be redeemed only by written application or by facsimile through the Administrator.
Redemption Pricing: All redemption requests are dealt with on a “forward” pricing basis, i.e. by reference to the Redemption Price for Shares calculated as at the Valuation Point for the relevant Dealing Day and by deducting a redemption fee of up to 3% of the Redemption Price per Share for the benefit of the Sub-fund, where at the discretion of the Directors it is considered to be equitable for the Shareholders as a whole. Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Redemption Price (please see Sections 19.2 and 23.4 of the Prospectus).
Redemption Form: All applicants must complete the Redemption Form prescribed by the Directors. Redemption Forms may be obtained from the Administrator. A redemption request may be made in writing or by facsimile by a Shareholder but if the account details for redemption payments are different from those set out in the Application Form, the original Redemption Form will be required by the Administrator and verification of the details may be required. The Redemption Form sets out the method by which and to whom redemption monies will be sent.
Redemption Forms must be received by 11.00 a.m. (Central European Time) on the relevant Dealing Day.
If the Redemption Form is received after the relevant time for receipt thereof it shall be treated as a request for redemption on the Dealing Day following such receipt. In extraordinary
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circumstances, Redemption Forms may be accepted for redemption if received prior to the Valuation Point on the relevant Dealing Day, at the discretion of the Directors, and Shares will be redeemed at the Redemption Price for that day. Shares will be redeemed at the Redemption Price calculated as at the Valuation Point for the relevant Dealing Day.
Redemptions shall be irrevocable and may be sent by facsimile at the risk of the relevant Shareholder. No redemption proceeds will be paid out unless an original initial Application Form is received by the Administrator, together with any other documents required by the Administrator, and cleared funds were received in connection with the original subscription.
Method and Currency of Payment: Redemption payments will be made in Euros to the bank account detailed on the Redemption Form.
Timing of Payment: Redemption proceeds in respect of Shares will be paid on the third Business Day following the relevant Dealing Day, or such other day as the Directors may determine,provided that all the required documentation has been furnished to and received by the Administrator.
In the case of a partial redemption of a Shareholder's holding, the Administrator will advise the Shareholder of the remaining Shares held by him.
Fractions: Apart from circumstances in which a Shareholder is redeeming his entire holding of Shares:-
(a) fractions of Shares will be issued where any part of the redemption monies for Shares represents less than the Redemption Price for one Share, provided however that fractions shall not be less than .0001 of a Share; and
(b) redemption monies, representing less than .0001 of a Share will not be returned to a Shareholder but will be retained by the Directors in order to defray administration costs.
Switching: Shareholders of other sub-funds of the Company may switch into the Sub-fund. Furthermore, Shareholders in the Sub-fund may switch into other sub-funds of the Company. Switches are in principle only permitted from one Class of Shares in a sub-fund to the same Class of Shares of another sub-fund, unless the investor fulfils the eligibility criteria of the Class of Shares to be switched into.
Shares can be switched on any Dealing Day which is a Dealing Day for both sub-funds at the Subscription Price valid on that date, provided the application for switching is received by State Street Bank Luxembourg S.A. (as the central administrator) by 11:00 a.m., Central European Time (cut-off time) on the relevant Dealing Day. The provisions relating to the cut-off time and forward pricing also apply concerning switching of Shares and are described in full in this Supplement and the Prospectus.
Shareholders should contact State Street Bank Luxembourg S.A., acting as the central administrator for the Company, for a switching application form and for any questions concerning the information required in the switching application form.
Further detail can be found in the Prospectus under the sub-heading “Switching.”
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STATE STREET GLOBAL ADVISORS LUXEMBOURG SICAV
Supplement No. 18
SSgA Stable Duration Fund
DATED: MARCH 2011
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INTRODUCTION
State Street Global Advisors Luxembourg SICAV (the “Company”) is authorised in Luxembourg by the Commission de Surveillance du Secteur Financier (the “CSSF”) as a UCITS for the purposes of the 2002 Law. The Company is an open-ended umbrella investment company with segregated liability between sub-funds and variable capital.
This Supplement contains information relating to the Shares of the SSgA Stable Duration Fund (the “Sub-fund”), which is a separate sub-fund of the Company. This Supplement forms part of and should be read in the context of and together with the general description of the Company contained in the current Prospectus.
As of the date of this Supplement, the Company currently offers the following Share classes of the Sub-fund:
Class I Shares
Class P Shares
Class I Shares are reserved for institutional investors as defined in Articles 174 to 176 of the 2010 Law. Class P Shares are available to retail and institutional investors. Further, the Company may, at a future date, create and offer additional Share classes for the Sub-fund.
The Company does not intend to list any Class of Shares of the Sub-fund on the Luxembourg Stock Exchange.
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DEFINITIONS
Unless otherwise defined herein or unless the context otherwise requires all defined terms used in this Supplement shall bear the same meaning as in the Prospectus.
Base Currency Euros
Business Day (i) Any day on which banks are open for business in Luxembourg and the United Kingdom (excluding Saturday, Sunday and public holidays)provided always that the London Stock Exchange is open for business on such day; and (ii) weekdays other than days on which the Trans-European Automated Real-Time Gross Settlement Express Transfer(“TARGET”), the Eurosystem interbank funds transfer system, is closed for business.
Dealing Day Each full bank Business Day.
Initial Offer Period This Sub-fund is not yet launched as at the date of the Prospectus. The Sub-fund may be launched at the Director's discretion. Confirmation of the launch date will be made available at the registered office of the Company and any provisions in the Prospectus relating to the Sub-fund shall only take effect from the launch date of the Sub-fund.
Initial Offer Price €10 per Share for the Class I Shares and Class P Shares, plus such sum as the Investment Manager considers appropriate (within permitted limits) as an Anti-Dilution Levy.
Redemption Price The redemption price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Redemption.”
Shares The: (i) Class I Shares; and (ii) Class P Shares in the Sub-fund to be issued in accordance with this Supplement and the Prospectus.
Subscription Price The subscription price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Subscription.”
Valuation Point Such time on a Dealing Day as the Directors may from time to time determine at which the Net Asset Value and the Net Asset Value per Share of the Sub-fund is calculated.
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1. Issue of Sub-fund sharesThe initial issue of Shares in the Sub-fund will take place during the Initial Offer Period, at the Initial Offer Price, plus a subscription fee of up to 3% of the issue price. Shareholders should also note that an Anti-Dilution Levy may be included in the Initial Offer Price. After the Initial Offer Period, Shares in the Sub-fund will be available for purchase on each Dealing Day and, as described below, will be offered at the applicable Subscription Price per Share, plus a subscription fee of up to 3% of the issue price.
Note: This Sub-fund is not yet launched as at the date of the Prospectus. The Sub-fund may be launched at the Director's discretion. Confirmation of the launch date will be made available at the registered office of the Company and any provisions in the Prospectus relating to the Sub-fund shall only take effect from the launch date of the Sub-fund.
2. Investment objectives and investment policyInvestment objective. The investment objective of the Sub-fund is to seek to provide exposure to a Euro interest rate with a stable duration of 30 years.
Principal investment strategies. The Sub-Investment Manager manages the Sub-fund by seeking to maintain a stable duration target of approximately 30 years while taking into account liquidity and transaction costs. In order to reach this duration target, the Sub-Investment Manager will aim to build a laddered portfolio primarily composed of long duration zero-coupon interest rate swaps. The average duration of the swaps will be equal to approximately 30 years. The Sub-Investment Manager will continuously monitor the duration of these swaps and rebalance the portfolio by entering into new swaps once it determines it is appropriate to do so in order to maintain the stable duration target. The Sub-Investment Manager intends to focus on three key aspects of portfolio duration:
maintaining the average duration around the target of approximately 30 years; limiting the difference between the shorter dated and longer dated instruments (this
difference is referred to as “curve exposure”), which impacts the average duration of the portfolio and enables the Sub-Investment Manager to determine when to rebalance the portfolio; and
as the portfolio’s overall average duration moves slightly below the target duration of approximately 30 years as the maturities of the swaps shorten, the Sub-fund’s portfolio is rebalanced at a slightly higher duration than the duration target in order to reduce transaction costs and the curve exposure.
The Sub-Investment Manager does not intend to incur exposure in excess of the Sub-fund’s Net Asset Value. The cash held by the Sub-fund (generally equal to the unfunded amount of the swaps) will typically be invested in money market instruments, including without limitation money market/liquidity funds that qualify as UCITS or other UCIs within the meaning of Section 7.1. (d) of Chapter 7 "Investment Limits" in the main body of the Prospectus.
Due to the fact that the Sub-fund will primarily hold derivatives, the performance of the Sub-fund will be affected by the returns achieved from the investment of any cash held by the Sub-fund. Thus, the total return generated by the Sub-fund will generally equal the returns from the derivative instruments held by the Sub-fund and the returns from the investment of any cash held by the Sub-fund after meeting the payment obligations of any derivative instruments utilised. It is possible that returns on the investment of this cash may have a negative impact on the performance and/or returns of the Sub-fund.
Shareholders should note that the Sub-fund will primarily hold only derivative instruments, and particularly, the long duration zero-coupon interest rate swaps (apart from the instruments representing the investment of cash equal to the unfunded amount of the swaps, as described above). The use of derivatives will at all times be in accordance with the 2002 Law. In the event that 30 year duration investment grade fixed income securities are offered for sale in the physical securities markets and liquidity conditions permit, the Sub-fund may hold these securities if the
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Sub-Investment Manager determines they would be in furtherance of the investment objective of the Sub-fund.
Although the Sub-Investment Manager may consider the factors described above in purchasing or selling investments for the Sub-fund, the Sub-Investment Manager may purchase, sell or continue to hold an investment for the Sub-fund whenever it believes that doing so may benefit the Sub-fund, on the basis of any of the factors described above or any other factors.
Principal investments. The Sub-fund will primarily invest in long duration zero-coupon interest rate swaps and money market instruments (as defined by the 2002 Law) in order to seek to achieve its investment objective. These swaps will generally be denominated in Euros and will have a maturity of close to 30 years. Additionally, the Sub-fund may invest in other types of derivative transactions and may hold cash and invest in long dated investment grade securities, including without limitation, long duration fixed income securities.
The Sub-fund’s use of swaps and other derivative transactions will at all times be in accordancewith the investment-related and borrowing restrictions set forth in the 2002 Law. Although the use of swaps and other derivatives may exhibit characteristics of leveraged transactions, as stated above, all such investments and the related exposures and risk of loss will be made in accordance with the investment and borrowing requirements and restrictions of the 2002 Law. The Sub-Investment Manager intends to manage the Sub-fund on a non-leveraged basis. The use of derivative transactions and the potential for those investments to create leverage may expose the Sub-fund to the risks described in the Prospectus under the headings “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
The Sub-fund will not engage in securities lending. The Sub-fund may pay the Investment Manager, the Sub-Investment Manager or an affiliate fees and expenses related to the provision of custodial, administrative, bookkeeping, and accounting services, transfer agency and shareholder servicing, and other services that the Investment Manager or the Sub-Investment Manager may from time to time consider necessary or appropriate. The Sub-fund may enter into repurchase agreements, including transactions with the Investment Manager, the Sub-Investment Manager or an affiliate of the Investment Manager it being understood that such transactions will be effected on an arms length basis. The Sub-fund may invest in other investment funds that qualify as UCITS or other UCIs within the meaning of Section 7.1. (d) of Chapter 7 "Investment Limits" in the main body of the Prospectus. Such UCITS or other UCIs may include entities sponsored, managed, or otherwise affiliated with the Investment Manager. See "General Risk Factors" and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments” in the Prospectus.
An investment in the Sub-fund may be subject to taxation. Potential Shareholders should consult their own tax counsel as to the specific tax consequences of an investment in the Sub-fund.
Certain Risk Controls. Both the Investment Manager and the Sub-Investment Manager monitor the risk of the Sub-fund in absolute or overall terms (“Absolute Risk”), as opposed to managing for specific or active or benchmark-relative risks. The Investment Manager and Sub-Investment Manager seek to manage the Absolute Risk such that it is at a level that is consistent with the investment objectives of the Sub-fund.
3. Investment limits of the Sub-fundThe investment and borrowing restrictions set out in the Prospectus apply in their entirety to the Sub-fund.
4. Risk FactorsPotential Shareholders should consider the risk factors set forth in the Prospectus under the sections entititled “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
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In view of the Sub-fund’s specialized investment program, the Sub-fund is considered a sophisticated fund and Shares are suitable investments for sophisticated investors and financial institutions for whom an investment in Shares does not constitute a complete investment program and who fully understand, are willing to assume, and have the financial resources necessary to withstand the risks involved in the Sub-fund’s investment program.
In relation to investments in derivatives, the use of these instruments involves certain additionalrisks including (i) dependence on the ability to predict movements in the prices and volatility of securities underlying the derivative instruments and movements in interest or currency rates; (ii) imperfect correlation between the derivative instruments and the securities or market sectors to which they relate; (iii) greater volatility than the securities and/or markets to which they relate; (iv) liquidity risk when, for example, a particular derivative instrument is difficult to purchase or sell; (v) market risk, where the market value of the derivative changes in a way that is detrimental to the Sub-fund; (vi) counterparty risk, where the counterparty with which the Sub-fund trades becomes insolvent, bankrupt or defaults; (vii) settlement risk, where a counterparty defaults in settling a trade; and (viii) legal risk, where the enforceability of a derivative contract may be an issue. See “Special Investment Techniques and Financial Instruments” in the Prospectus.
The Company will, on request, provide supplementary information to Shareholders relating to the risk management process employed including the quantitative limits that are applied and any recent developments in the risk and yield characteristics of the main categories of investment.
5. Investment Manager and Sub-Investment ManagerState Street Global Advisors France S.A. has been appointed Investment Manager for the Sub-fund. State Street Global Advisors France S.A. is a company duly authorised by the AMF (French financial markets authority) on 3rd June 1997, under number 97-044. Registered office: Immeuble Defense Plaza, 23-25 Rue Delariviere-Lefoullon 92062, France. Form of incorporation: Societe Anonyme, French company limited by shares. The Investment Manager has delegated investment decision making authority to State Street Global Advisors Limited, a wholly-owned subsidiary of State Street Bank Europe Limited, itself a subsidiary of State Street Bank and Trust Company, which in turn is a subsdiary of State Street Corporation (the “Sub-Investment Manager”). The Sub-Investment Manager has its principal offices located at 20 Churchill Place, Canary Wharf, London E14 5HJ, United Kingdom.
6. Valuation Date and Fixed TimeThe Net Asset Value of the Sub-fund will be calculated by the Administrator as at each Valuation Point in accordance with the requirements of the Articles and full details are set forth under the headings “Calculation of Net Asset Value” in the Prospectus. The Net Asset Value of the Sub-fund will be expressed in its Base Currency.
7. DividendsAll classes of Shares of the Sub-fund will be accumulating Shares, and therefore, dividends or other distributions out of the Sub-fund’s profits will not normally be paid to Shareholders.
8. Fees and ExpensesThe Sub-fund shall bear its attributable proportion of the organisational and operating expenses of the Company. These are set out in detail under the heading “Fees and Expenses” in the Prospectus. In addition to the fees and expenses described below, Shareholders should read the section in the Prospectus entitled “Fees and Expenses” for a description of other fees and expenses that may apply to their investment in the Sub-fund.
The Sub-fund will pay the following management fee:
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For Class P Shares, up to 0.30% of the average daily Net Asset Value; For Class I Shares, up to 0.15% of the average daily Net Asset Value.
These management fees will be accrued daily based on the Net Asset Value of the Sub-fund as of the relevant Dealing Day and will be paid monthly in arrears. The Investment Manager will discharge from these management fees the fees of the Sub-Investment Manager.
The total expense ratios attributable to the Share classes of the Sub-fund, as set out below, incorporate the fees and expenses of the Investment Manager, the Sub-Investment Manager, Administrator and Custodian, any distribution fee not covered by the subscription fee where appropriate, and certain other expenses of the Sub-fund set forth in Section 23.1 of the Prospectus. The Investment Manager has voluntarily agreed to temporarily reimburse such portions of its fees as is necessary to ensure that the total expense ratio attributable to all Shares shall currently not exceed the following rates:
For the Class P Shares, 0.45% of the average daily Net Asset Value; For the Class I Shares, 0.30% of the average daily Net Asset Value.
9. Subscriptions - Application Procedures
All applicants, whether applying in writing or by facsimile, must complete the Application Form prescribed by the Directors (the “Application Form”). An Application Form for additional Shares may be submitted by facsimile provided the Administrator has received the original Application Form for the initial subscription of Shares. Application Forms may be obtained from the Administrator and set out the methods by which and to whom the subscription monies should be sent. Application Forms shall be irrevocable (unless otherwise agreed with the Directors) and may be sent by facsimile at the risk of the applicant. The Application Form should be received by the Administrator, by 11.00 a.m. (Central European Time) at least one Business Day prior to the relevant Dealing Day. Any Application Form received after such time will be deemed received as of the next Dealing Day. The originally executed Application Form for the initial subscription, along with supporting documentation in relation to money laundering prevention checks, should be received by the Administrator within five (5) Business Days after the electronically transmitted (by facsimile only) Application Form is sent to the Administrator.
Failure to provide the original Application Form by such time may, at the discretion of the Directors, result in the rejection of the application and any monies received will be returned to the applicant (minus any handling charge incurred in any such return) as soon as possible by wire transfer (but without interest, costs or compensation) or in the compulsory redemption of the Shares. In any event, applicants will be unable to redeem Shares on request until the original Application Form has been received and all anti-money laundering checks completed and supporting documentation received.
In addition to the Application Form, applicants may be requested to provide other information (e.g. as to identity and corporate authorisation). Failure to provide such information may delay the processing of the application.
Fractions: Subscription monies representing less than the Subscription Price for a Share will not be returned to the applicant. Fractions of Shares will be issued where any part of the subscription monies for Shares represents less than the Subscription Price for one Share, provided however, that fractions shall not be less than .0001 of a Share. Subscription monies, representing less than .0001 of a Share will not be returned to the applicant but will be retained by the Sub-fund in order to defray administration costs.
Offer Periods and Related Pricing: Applications for Shares during the Initial Offer Period must be received and accepted during the Initial Offer Period. Settlement proceeds must also be received in cleared funds within the Initial Offer Period, or such later period as the Directors may in their absolute discretion determine.
The Subscription Price for Shares during the Initial Offer Period is the Initial Offer Price(together with an additional subscription fee of up to 3% of the Subscription Price per Share, if
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applicable, as determined by the Directors upon the advice of the Distributor). Shareholders should also note that an Anti-Dilution Levy may be included in the Initial Offer Price.
After the Initial Offer Period for any class of Shares has expired, Shares will be issued at the then applicable Subscription Price per Share, which is based on the Net Asset Value per Share. See also the section entitled “Pricing” below.
Pricing: Except during the Initial Offer Period, all subscriptions will be dealt on a “forward” pricing basis, i.e. by reference to the Subscription Price for Shares calculated as at the Valuation Point for the relevant Dealing Day (together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Subscription Price (please see Sections 19.1 and 23.4 of the Prospectus). Any Application Forms received after the relevant time for receipt will normally be held over until the next Dealing Day.
10. Payment of Subscription Monies
Method and Currency of Payment: Subscription payments net of all bank charges must be made in Euros and should be paid by wire transfer to the bank account specified in the Application Form. Other methods of payment are subject to the prior approval of the Directors with the agreement of the Administrator. No interest will be paid in respect of payments received in circumstances where the application is held over to the next Dealing Day.
Timing of Payment: Payment in respect of subscriptions must be received in cleared funds by 5.00 p.m. (Central European Time) on the third Business Day following the relevant Dealing Day or on such other day as the Directors may determine.
Payment: If payment in cleared funds in respect of a subscription has not been received by the time specified above, any allotment of Shares made in respect of such application may be cancelled. In the event of the non-clearance of subscription monies, any allotment in respect of an application shall be cancelled. In either event and notwithstanding cancellation of the application, the Directors may charge the applicant for any expense incurred by the Company or the Sub-fund or for any loss to the Sub-fund arising out of such non-receipt or non-clearance. In addition, the Directors will have the right to sell all or part of the applicant’s holding of Shares in the relevant class or any other Sub-fund in order to meet those charges.
11. Minimum Subscriptions/Holdings
Initial Subscriptions: The minimum initial subscription amounts for the Shares are as follows:
€50,000 (or less at the discretion of the Directors) for Class I Shares; and The value of a single Share for Class P Shares.
Subsequent Subscriptions: Any subsequent subscription amounts for Shares shall be in accordance with the following:
For Class I Shares, a minimum of €5,000 (or less at the discretion of the Directors); and A minimum of the value of a single Share for Class P Shares.
Minimum Holdings: Any Shareholder who redeems or otherwise disposes of part of his holding must maintain the following minimum holdings in the Sub-fund:
Not less than €5,000 for Class I Shares (or less at the discretion of the Directors); and Not less than the value of a single Share in respect of Class P Shares.
The Company may redeem the remaining holdings of any Shareholder who redeems his holdings below the foregoing minimums.
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12. Redemptions
Redemption Procedure: Every Shareholder will have the right to require the Company to redeem his Shares in the Sub-fund on any Dealing Day (save during any period when the calculation of the Net Asset Value is suspended or the redemption of Shares is limited in the circumstances set forth in the Prospectus) on furnishing to the Administrator a redemption request in the form of a completed Redemption Form. Shares may be redeemed only by written application or by facsimile through the Administrator.
Redemption Pricing: All redemption requests are dealt with on a “forward” pricing basis, i.e. by reference to the Redemption Price for Shares calculated as at the Valuation Point for the relevant Dealing Day and by deducting a redemption fee of up to 3% of the Redemption Price per Share for the benefit of the Sub-fund, where at the discretion of the Directors it is considered to be equitable for the Shareholders as a whole. Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Redemption Price (please see Sections 19.2 and 23.4 of the Prospectus).
Redemption Form: All applicants must complete the Redemption Form prescribed by the Directors. Redemption Forms may be obtained from the Administrator. A redemption request may be made in writing or by facsimile by a Shareholder but if the account details for redemption payments are different from those set out in the Application Form, the original Redemption Formwill be required by the Administrator and verification of the details may be required. The Redemption Form sets out the method by which and to whom redemption monies will be sent.
Redemption Forms must be received by 11.00 a.m. (Central European Time) at least one Business Day prior to the relevant Dealing Day.
If the Redemption Form is received after the relevant time for receipt thereof it shall be treated as a request for redemption on the Dealing Day following such receipt. In extraordinary circumstances, Redemption Forms may be accepted for redemption if received prior to the Valuation Point on the relevant Dealing Day, at the discretion of the Directors, and Shares will be redeemed at the Redemption Price for that day. Shares will be redeemed at the Redemption Price calculated as at the Valuation Point for the relevant Dealing Day.
Redemptions shall be irrevocable and may be sent by facsimile at the risk of the relevant Shareholder. No redemption proceeds will be paid out unless an original initial Application Form is received by the Administrator, together with any other documents required by the Administrator, and cleared funds were received in connection with the original subscription.
Method and Currency of Payment: Redemption payments will be made in Euros to the bank account detailed on the Redemption Form.
Timing of Payment: Redemption proceeds in respect of Shares will be paid on the third Business Day following the relevant Dealing Day, or such other day as the Directors may determine,provided that all the required documentation has been furnished to and received by the Administrator.
In the case of a partial redemption of a Shareholder's holding, the Administrator will advise the Shareholder of the remaining Shares held by him.
Fractions: Apart from circumstances in which a Shareholder is redeeming his entire holding of Shares:-
(a) fractions of Shares will be issued where any part of the redemption monies for Shares represents less than the Redemption Price for one Share, provided however that fractions shall not be less than .0001 of a Share; and
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(b) redemption monies, representing less than .0001 of a Share will not be returned to a Shareholder but will be retained by the Directors in order to defray administration costs.
Switching: Shareholders of other sub-funds of the Company may switch into the Sub-fund. Furthermore, Shareholders in the Sub-fund may switch into other sub-funds of the Company. Switches are in principle only permitted from one Class of Shares in a sub-fund to the same Class of Shares of another sub-fund, unless the investor fulfils the eligibility criteria of the Class of Shares to be switched into.
Shares can be switched on any Dealing Day which is a Dealing Day for both sub-funds at the Subscription Price valid on that date, provided the application for switching is received by the Company (for the attention of the Administrator) by 11:00 a.m., Central European Time (cut-off time) at least one Business Day prior to the relevant Dealing Day. The provisions relating to the cut-off time and forward pricing also apply concerning switching of Shares and are described in full in this Supplement and the Prospectus.
Applications should be addressed directly to State Street Bank Luxembourg S.A., acting as transfer agent for the Company, or otherwise through one of the Distributors. The application must contain the following information: the number of Shares in the old and new sub-funds (or the monetary amount the Shareholder wishes to convert) and the value ratio according to which the Shares in each sub-fund are to be divided if more than one new sub-fund is intended.
Further detail can be found in the Prospectus under the sub-heading “Switching.”
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STATE STREET GLOBAL ADVISORS LUXEMBOURG SICAV
Supplement No. 19
SSgA Sectoral Healthcare Equity Fund
DATED: MARCH 2011
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INTRODUCTION
State Street Global Advisors Luxembourg SICAV (the “Company”) is authorised in Luxembourg by the Commission de Surveillance du Secteur Financier (the “CSSF”) as a UCITS for the purposes of the 2002 Law. The Company is an open-ended umbrella investment company with segregated liability between sub-funds and variable capital.
This Supplement contains information relating to the Shares of the SSgA Sectoral Healthcare EquityFund (the “Sub-fund”), which is a separate sub-fund of the Company. This Supplement forms part of and should be read in the context of and together with the general description of the Company contained in the current Prospectus.
As of the date of this Supplement, the Company currently offers the following Share classes of the Sub-fund:
Class I Shares
Class P Shares
Class I Shares are reserved for institutional investors as defined in Articles 174 to 176 of the 2010 Law. Class P Shares are available to retail and institutional investors. Further, the Company may, at a future date, create and offer additional Share classes for the Sub-fund.
The Company does not intend to list any Class of Shares of the Sub-fund on the Luxembourg Stock Exchange.
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DEFINITIONS
Unless otherwise defined herein or unless the context otherwise requires all defined terms used in this Supplement shall bear the same meaning as in the Prospectus.
Base Currency US Dollars
Business Day (i) Any day on which banks are open for business in Luxembourg and the United States (excluding Saturday, Sunday and public holidays).
Dealing Day Each full bank Business Day.
Redemption Price The redemption price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Redemption.”
Shares The: (i) Class I Shares; and (ii) Class P Shares in the Sub-fund to be issued in accordance with this Supplement and the Prospectus.
Subscription Price The subscription price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Subscription.”
Valuation Point Such time on a Dealing Day as the Directors may from time to time determine at which the Net Asset Value and the Net Asset Value per Share of the Sub-fund is calculated.
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1. Issue of Sub-fund sharesClass I Shares and Class P Shares are available for purchase on each Dealing Day and, as described below, are offered at the applicable Subscription Price per Share, plus a subscription fee of up to 3% of the issue price.
2. Investment objectives and investment policyInvestment objective. The investment objective of the Sub-fund is to seek to outperform the MSCI Daily TR World Net Health Care USD Index (the “Index”) over the long term.
Principal investment strategies. The Sub-fund primarily will invest in equity securities of issuers, located worldwide, in the following industries: Pharmaceuticals, Generics, Biotechs and Medical Technologies (“Medtechs”).
The Sub-Investment Manager specializes in the area of global healthcare investments and employs a bottom-up, research intensive investment approach. The security selection process is based on primary research, analysis of industry and company fundamentals, and close contacts with company managements. Typically, once a potential investment is identified, the Sub-Investment Manager will perform (1) an analysis of the target’s business fundamentals, primarily through research, due diligence and contact with management, and (2) a review of the valuation of the investment by using various financial models to perform a financial analysis of the investment. The Sub-fund typically aims to be invested in approximately 25 to 35 securities.
Given the complexity of the sector, the Sub-Investment Manager relies on a team of over 10 specialized individuals, many of which have a dual background in health sciences and in finance. As described above, these investment professionals conduct scientific due diligence (e.g.,literature reviews, company visits, discussions with expert clinicians and scientists, assessment of specific research and development projects, etc.) and overall financial analysis of potential investments. They are supported in this effort by a proprietary Scientific Advisory Network (“SAN”) composed of 10 consultants specialized in different healthcare areas. The purpose of the SAN is to provide the Sub-Investment Manager with a unique and flexible resource to assess the scientific and technological quality of an investment opportunity and to provide its investment professionals with information about recent developments in science and technology.
The Sub-fund will be invested with a medium to long-term investment horizon (1 and 3-year price targets) but will also seek to exploit opportunities created by volatility in the market.
Because the Sub-fund is actively managed and seeks to outperform the Index, its portfolio of assets will differ from that of the Index and will be a function of a security’s risk characteristics and the Sub-fund’s security selection process and absolute risk constraints. Thus, an investment in the Sub-fund is not a traditional “indexed” investment and the Sub-fund’s returns will likely differ from the Index’s return.
Although the Sub-Investment Manager may consider the factors described above in purchasing or selling investments for the Sub-fund, the Sub-Investment Manager may purchase, sell, or continue to hold an investment for the Sub-fund whenever it believes that doing so may benefit the Sub-fund, on the basis of any of the factors described above or any other factors it may in its discretion consider.
Principal investments. The Sub-fund seeks to invest principally in equity securities of issuers in the following industries: Pharmaceuticals, Generics, Biotechs and Medtechs. Equity securities may include common stocks, preferred stocks, or other securities convertible into common stock. Equity securities held by the Sub-fund may be denominated in foreign currencies and may be held outside Luxembourg. The Sub-fund may hold a portion of its assets in cash and cash instruments.
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The Sub-fund may use derivative transactions, including without limitation, swaps, buying and selling equity-related futures contracts and options, and entering into other exchange-traded or over-the-counter derivatives transactions, subject in all cases to the investment-related and borrowing restrictions set forth in the 2002 Law and given the Sub-fund’s classification as a non-sophisticated fund. The use of derivative transactions will typically consist of using derivatives to obtain indirect exposures in certain emerging markets where obtaining direct exposures through direct investment would be, in the view of the Sub-Investment Manager, prohibitively expensive for the Sub-fund. The use of derivative transactions may expose the Sub-fund to the risks described in the Prospectus under the headings “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
The Sub-fund may enter into foreign currency exchange transactions, including, but not limited to, transactions involving foreign currency forward contracts, futures contracts, and options to achieve exposure to specific currencies or to hedge against the effect of changes in the values of foreign currencies on investments the Sub-fund holds or may purchase.
In accordance with the general description in the main body of the Prospectus, the Sub-fund may lend its portfolio securities, and may pay a fee to the Investment Manager, the Sub-Investment Manager or an affiliate of the Investment Manager for services provided in connection with effecting securities loans and investing related cash collateral. Such fee shall, as described in the main body of the Prospectus, not exceed 50% of the gross income earned from stock lending by the Sub-fund. The Sub-fund may pay the Investment Manager, the Sub-Investment Manager or an affiliate fees and expenses related to the provision of custodial, administrative, bookkeeping, and accounting services, transfer agency and shareholder servicing, and other services that the Investment Manager or the Sub-Investment Manager may from time to time consider necessary or appropriate. The Sub-fund may enter into repurchase agreements including transactions with the Investment Manager, the Sub-Investment Manager or an affiliate of the Investment Managerit being understood that such transactions will be effected on an arms length basis. The Sub-fund may invest in other investment funds that qualify as UCITS or other UCIs within the meaning of Section 7.1. (d) of Chapter 7 "Investment Limits" in the main body of the Prospectus. Such UCITS or other UCIs may include entities sponsored, managed, or otherwise affiliated with the Investment Manager. See "General Risk Factors" and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments” in the Prospectus.
An investment in the Sub-fund may be subject to taxation. Potential Shareholders should consult their own tax counsel as to the specific tax consequences of an investment in the Sub-fund.
Certain Risk Controls. Both the Investment Manager and the Sub-Investment Manager monitor the overall risk of the Sub-fund, in order to seek to avoid unintended risk exposure relative to the Index. The Investment Manager and Sub-Investment Manager attempt to manage risk by, among other things, monitoring industry and sector weights and deviations from the Index, maintaining a certain level of diversification, and performing on-going reviews of company fundamentals and valuations
Other. THIS SUB-FUND IS NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY MSCI INC. (“MSCI”), ANY OF ITS AFFILIATES, ANY OF ITS INFORMATION PROVIDERS OR ANY OTHER THIRD PARTY INVOLVED IN, OR RELATED TO, COMPILING, COMPUTING OR CREATING ANY MSCI INDEX (COLLECTIVELY, THE “MSCI PARTIES”). THE MSCI INDEXES ARE THE EXCLUSIVE PROPERTY OF MSCI. MSCI AND THE MSCI INDEX NAMES ARE SERVICE MARK(S) OF MSCI OR ITS AFFILIATES AND HAVE BEEN LICENSED FOR USE FOR CERTAIN PURPOSES BY STATE STREET GLOBAL ADVISORS, A DIVISION OF STATE STREET BANK AND TRUST COMPANY. NONE OF THE MSCI PARTIES MAKES ANY REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, TO THE ISSUER OR OWNERS OF THIS SUB-FUND OR ANY OTHER PERSON OR ENTITY REGARDING THE ADVISABILITY OF INVESTING IN FUNDS GENERALLY OR IN THIS
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SUB-FUND PARTICULARLY OR THE ABILITY OF ANY MSCI INDEX TO TRACK CORRESPONDING STOCK MARKET PERFORMANCE. MSCI OR ITS AFFILIATES ARE THE LICENSORS OF CERTAIN TRADEMARKS, SERVICE MARKS AND TRADE NAMES AND OF THE MSCI INDEXES WHICH ARE DETERMINED, COMPOSED AND CALCULATED BY MSCI WITHOUT REGARD TO THIS SUB-FUND OR THE COMPANY OR OWNERS OF THIS SUB-FUND OR ANY OTHER PERSON OR ENTITY. NONE OF THE MSCI PARTIES HAS ANY OBLIGATION TO TAKE THE NEEDS OF THE COMPANY OR OWNERS OF THIS SUB-FUND OR ANY OTHER PERSON OR ENTITY INTO CONSIDERATION IN DETERMINING, COMPOSING OR CALCULATING THE MSCI INDEXES. NONE OF THE MSCI PARTIES IS RESPONSIBLE FOR OR HAS PARTICIPATED IN THE DETERMINATION OF THE TIMING OF, PRICES AT, OR QUANTITIES OF THIS SUB-FUND TO BE ISSUED OR IN THE DETERMINATION OR CALCULATION OF THE EQUATION BY OR THE CONSIDERATION INTO WHICH THIS SUB-FUND IS REDEEMABLE. FURTHER, NONE OF THE MSCI PARTIES HAS ANY OBLIGATION OR LIABILITY TO THE COMPANY OR OWNERS OF THIS SUB-FUND OR ANY OTHER PERSON OR ENTITY IN CONNECTION WITH THE ADMINISTRATION, MARKETING OR OFFERING OF THIS SUB-FUND.
ALTHOUGH MSCI SHALL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE MSCI INDEXES FROM SOURCES THAT MSCI CONSIDERS RELIABLE, NONE OF THE MSCI PARTIES WARRANTS OR GUARANTEES THE ORIGINALITY, ACCURACY AND/OR THE COMPLETENESS OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. NONE OF THE MSCI PARTIES MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE COMPANY OF THE SUB-FUND, OWNERS OF THE SUB-FUND, OR ANY OTHER PERSON OR ENTITY, FROM THE USE OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. NONE OF THE MSCI PARTIES SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS OF OR IN CONNECTION WITH ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. FURTHER, NONE OF THE MSCI PARTIES MAKES ANY EXPRESS OR IMPLIED WARRANTIES OF ANY KIND, AND THE MSCI PARITES HEREBY EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE, WITH RESPECT TO EACH MSCI INDEX AND ANY DATA INCLUDED THEREIN.WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL ANY OF THE MSCI PARTIES HAVE ANY LIABILITY FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
3. Investment limits of the Sub-fundThe investment and borrowing restrictions set out in the Prospectus apply in their entirety to the Sub-fund.
4. Risk FactorsPotential Shareholders should consider the risk factors set forth in the Prospectus under the sections entititled “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
The Sub-fund is considered a non-sophisticated fund and is available to institutional and private investors. Investors should understand that an investment in Shares does not constitute a complete investment program and that investors should have the financial resources necessary to withstand the risks that may be involved in the Sub-fund’s investment program.
In relation to investments in derivatives, the use of these instruments involves special risks including (i) dependence on the ability to predict movements in the prices of securities underlying the derivative instruments and movements in interest or currency rates; (ii) imperfect correlation between the derivative instruments and the securities or market sectors to which they relate; (iii)
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greater volatility than the securities and/or markets to which they relate; (iv) liquidity risk when, for example, a particular derivative instrument is difficult to purchase or sell; (v) market risk, where the market value of the derivative changes in a way that is detrimental to the Sub-fund; (vi) counterparty risk, where the counterparty with which the Sub-fund trades becomes insolvent, bankrupt or defaults; (vii) settlement risk, where a counterparty defaults in settling a trade; and (viii) legal risk, where the enforceability of a derivative contract may be an issue. See “Special Investment Techniques and Financial Instruments” in the Prospectus.
The Company will, on request, provide supplementary information to Shareholders relating to the risk management process employed including the quantitative limits that are applied and any recent developments in the risk and yield characteristics of the main categories of investment.
5. Investment Manager and Sub-Investment ManagerState Street Global Advisors France S.A. has been appointed Investment Manager for the Sub-fund. State Street Global Advisors France S.A. is a company duly authorised by the AMF (French financial markets authority) on 3rd June 1997, under number 97-044. Registered office: Immeuble Defense Plaza, 23-25 Rue Delariviere-Lefoullon 92062, France. Form of incorporation: Societe Anonyme, French company limited by shares. The Investment Manager has delegated investment decision making authority to Sectoral Asset Management, an SEC (US Securities andExchange Commission) registered investment adviser specializing in managing global investment portfolios in the healthcare sector (the “Sub-Investment Manager”). The Sub-Investment Manager has its principal offices located at 1000 Sherbrooke Street West, Suite 2120, Montreal, Qc H3A 3G4, Canada.
6. Valuation Date and Fixed TimeThe Net Asset Value of the Sub-fund will be calculated by the Administrator as at each Valuation Point in accordance with the requirements of the Articles and full details are set forth under the headings “Calculation of Net Asset Value” in the Prospectus. The Net Asset Value of the Sub-fund will be expressed in its Base Currency.
7. DividendsAll classes of Shares of the Sub-fund will be accumulating Shares, and therefore, dividends or other distributions out of the Sub-fund’s profits will not normally paid to Shareholders.
8. Fees and ExpensesThe Sub-fund shall bear its attributable proportion of the organisational and operating expenses of the Company. These are set out in detail under the heading “Fees and Expenses” in the Prospectus. In addition to the fees and expenses described below, Shareholders should read the section in the Prospectus entitled “Fees and Expenses” for a description of other fees and expenses that may apply to their investment in the Sub-fund.
The Sub-fund will pay the following management fee:
For Class P Shares, up to 1.50% of the average daily Net Asset Value; For Class I Shares, up to 0.75% of the average daily Net Asset Value.
These management fees will be accrued daily based on the Net Asset Value of the Sub-fund as of the relevant Dealing Day and will be paid monthly in arrears. The Investment Manager will discharge from these management fees the fees of the Sub-Investment Manager.
The total expense ratios attributable to the Share classes of the Sub-fund, as set out below, incorporate the fees and expenses of the Investment Manager, the Sub-Investment Manager,
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Administrator and Custodian, any distribution fee not covered by the subscription fee where appropriate, and certain other expenses of the Sub-fund set forth in Section 23.1 of the Prospectus. The Investment Manager has voluntarily agreed to temporarily reimburse such portions of its fees as is necessary to ensure that the total expense ratio attributable to all Shares shall currently not exceed the following rates:
For the Class P Shares, 1.70% of the average daily Net Asset Value; For the Class I Shares, 0.95% of the average daily Net Asset Value.
9. Subscriptions - Application Procedures
All applicants, whether applying in writing or by facsimile, must complete the Application Form prescribed by the Directors (the “Application Form”). An Application Form for additional Shares may be submitted by facsimile provided the Administrator has received the original Application Form for the initial subscription of Shares. Application Forms may be obtained from the Administrator and set out the methods by which and to whom the subscription monies should be sent. Application Forms shall be irrevocable (unless otherwise agreed with the Directors) and may be sent by facsimile at the risk of the applicant. The Application Form should be received by the Administrator, by 11.00 a.m. (Central European Time) at least one Business Day prior to therelevant Dealing Day. Any Application Form received after such time will be deemed received as of the next Dealing Day. The originally executed Application Form for the initial subscription, along with supporting documentation in relation to money laundering prevention checks, should be received by the Administrator within five (5) Business Days after the electronically transmitted (by facsimile only) Application Form is sent to the Administrator.
Failure to provide the original Application Form by such time may, at the discretion of the Directors, result in the rejection of the application and any monies received will be returned to the applicant (minus any handling charge incurred in any such return) as soon as possible by wire transfer (but without interest, costs or compensation) or in the compulsory redemption of the Shares. In any event, applicants will be unable to redeem Shares on request until the original Application Form has been received and all anti-money laundering checks completed and supporting documentation received.
In addition to the Application Form, applicants may be requested to provide other information (e.g. as to identity and corporate authorisation). Failure to provide such information may delay the processing of the application.
Fractions: Subscription monies representing less than the Subscription Price for a Share will not be returned to the applicant. Fractions of Shares will be issued where any part of the subscription monies for Shares represents less than the Subscription Price for one Share, provided however, that fractions shall not be less than .0001 of a Share. Subscription monies, representing less than .0001 of a Share will not be returned to the applicant but will be retained by the Sub-fund in order to defray administration costs.
Offer Periods and Related Pricing:
After the Initial Offer Period for any class of Shares has expired, Shares will be issued at the then applicable Subscription Price per Share, which is based on the Net Asset Value per Share. Currently, the Class I Shares and Class P Shares are offered at the applicable Subscription Price per Share. See also the section entitled “Pricing” below.
Pricing: Except during the Initial Offer Period, all subscriptions will be dealt on a “forward” pricing basis, i.e. by reference to the Subscription Price for Shares calculated as at the Valuation Point for the relevant Dealing Day (together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Subscription Price (please see Sections 19.1 and 23.4 of the Prospectus). Any Application
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Forms received after the relevant time for receipt will normally be held over until the next Dealing Day.
10. Payment of Subscription Monies
Method and Currency of Payment: Subscription payments net of all bank charges must be made in US Dollars and should be paid by wire transfer to the bank account specified in the Application Form. Other methods of payment are subject to the prior approval of the Directors with the agreement of the Administrator. No interest will be paid in respect of payments received in circumstances where the application is held over to the next Dealing Day.
Timing of Payment: Payment in respect of subscriptions must be received in cleared funds by 5.00 p.m. (Central European Time) on the third Business Day following the relevant Dealing Day or on such other day as the Directors may determine.
Payment: If payment in cleared funds in respect of a subscription has not been received by the time specified above, any allotment of Shares made in respect of such application may be cancelled. In the event of the non-clearance of subscription monies, any allotment in respect of an application shall be cancelled. In either event and notwithstanding cancellation of the application, the Directors may charge the applicant for any expense incurred by the Company or the Sub-fund or for any loss to the Sub-fund arising out of such non-receipt or non-clearance. In addition, the Directors will have the right to sell all or part of the applicant’s holding of Shares in the relevant class or any other Sub-fund in order to meet those charges.
11. Minimum Subscriptions/Holdings
Initial Subscriptions: The minimum initial subscription amounts for the Shares are as follows:
$50,000 (or less at the discretion of the Directors) for Class I Shares; and The value of a single Share for Class P Shares.
Subsequent Subscriptions: Any subsequent subscription amounts for Shares shall be in accordance with the following:
For Class I Shares, a minimum of $5,000 (or less at the discretion of the Directors); and A minimum of the value of a single Share for Class P Shares.
Minimum Holdings: Any Shareholder who redeems or otherwise disposes of part of his holding must maintain the following minimum holdings in the Sub-fund:
Not less than $5,000 for Class I Shares (or less at the discretion of the Directors); and Not less than the value of a single Share in respect of Class P Shares.
The Company may redeem the remaining holdings of any Shareholder who redeems his holdings below the foregoing minimums.
12. Redemptions
Redemption Procedure: Every Shareholder will have the right to require the Company to redeem his Shares in the Sub-fund on any Dealing Day (save during any period when the calculation of the Net Asset Value is suspended or the redemption of Shares is limited in the circumstances set forth in the Prospectus) on furnishing to the Administrator a redemption request in the form of a completed Redemption Form. Shares may be redeemed only by written application or by facsimile through the Administrator.
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Redemption Pricing: All redemption requests are dealt with on a “forward” pricing basis, i.e. by reference to the Redemption Price for Shares calculated as at the Valuation Point for the relevant Dealing Day and by deducting a redemption fee of up to 3% of the Redemption Price per Share for the benefit of the Sub-fund, where at the discretion of the Directors it is considered to be equitable for the Shareholders as a whole. Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Redemption Price (please see Sections 19.2 and 23.4 of the Prospectus).
Redemption Form: All applicants must complete the Redemption Form prescribed by the Directors. Redemption Forms may be obtained from the Administrator. A redemption request may be made in writing or by facsimile by a Shareholder but if the account details for redemption payments are different from those set out in the Application Form, the original Redemption Form will be required by the Administrator and verification of the details may be required. The Redemption Form sets out the method by which and to whom redemption monies will be sent.
Redemption Forms must be received by 11.00 a.m. (Central European Time) at least one Business Day prior to the relevant Dealing Day.
If the Redemption Form is received after the relevant time for receipt thereof it shall be treated as a request for redemption on the Dealing Day following such receipt. In extraordinary circumstances, Redemption Forms may be accepted for redemption if received prior to the Valuation Point on the relevant Dealing Day, at the discretion of the Directors, and Shares will be redeemed at the Redemption Price for that day. Shares will be redeemed at the Redemption Price calculated as at the Valuation Point for the relevant Dealing Day.
Redemptions shall be irrevocable and may be sent by facsimile at the risk of the relevant Shareholder. No redemption proceeds will be paid out unless an original initial Application Form is received by the Administrator, together with any other documents required by the Administrator, and cleared funds were received in connection with the original subscription.
Method and Currency of Payment: Redemption payments will be made in US Dollars to the bank account detailed on the Redemption Form.
Timing of Payment: Redemption proceeds in respect of Shares will be paid on the third Business Day following the relevant Dealing Day, or such other day as the Directors may determine,provided that all the required documentation has been furnished to and received by the Administrator.
In the case of a partial redemption of a Shareholder's holding, the Administrator will advise the Shareholder of the remaining Shares held by him.
Fractions: Apart from circumstances in which a Shareholder is redeeming his entire holding of Shares:-
(a) fractions of Shares will be issued where any part of the redemption monies for Shares represents less than the Redemption Price for one Share, provided however that fractions shall not be less than .0001 of a Share; and
(b) redemption monies, representing less than .0001 of a Share will not be returned to a Shareholder but will be retained by the Directors in order to defray administration costs.
Switching: Shareholders of other sub-funds of the Company may switch into the Sub-fund. Furthermore, Shareholders in the Sub-fund may switch into other sub-funds of the Company. Switches are in principle only permitted from one Class of Shares in a sub-fund to the same Class of Shares of another sub-fund, unless the investor fulfils the eligibility criteria of the Class of Shares to be switched into.
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Shares can be switched on any Dealing Day which is a Dealing Day for both sub-funds at the Subscription Price valid on that date, provided the application for switching is received by the Company (for the attention of the Administrator) by 11:00 a.m., Central European Time (cut-off time) at least one Business Day prior to the relevant Dealing Day. The provisions relating to the cut-off time and forward pricing also apply concerning switching of Shares and are described in full in this Supplement and the Prospectus.
Applications should be addressed directly to State Street Bank Luxembourg S.A., acting as transfer agent for the Company, or otherwise through one of the Distributors. The application must contain the following information: the number of Shares in the old and new sub-funds (or the monetary amount the Shareholder wishes to convert) and the value ratio according to which the Shares in each sub-fund are to be divided if more than one new sub-fund is intended.
Further detail can be found in the Prospectus under the sub-heading “Switching.”
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STATE STREET GLOBAL ADVISORS LUXEMBOURG SICAV
Supplement No. 20
SSgA Euro Core Treasury Bond Index Fund
DATED: MARCH 2011
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INTRODUCTION
State Street Global Advisors Luxembourg SICAV (the “Company”) is authorised in Luxembourg by the Commission de Surveillance du Secteur Financier (the “CSSF”) as a UCITS for the purposes of the 2002 Law. The Company is an open-ended umbrella investment company with segregated liability between sub-funds and variable capital.
This Supplement contains information relating to the Shares of the SSgA Euro Core Treasury Bond Index Fund (the “Sub-fund”), which is a separate sub-fund of the Company. This Supplement forms part of and should be read in the context of and together with the general description of the Company contained in the current Prospectus.
As of the date of this Supplement, the Company currently offers the following Share classes of the Sub-fund:
Class I Shares
Class P Shares
Class I Shares are reserved for institutional investors as defined in Articles 174 to 176 of the 2010 Law. Class P Shares are available to retail and institutional investors. Further, the Company may, at a future date, create and offer additional Share classes for the Sub-fund.
The Company does not intend to list any Class of Shares of the Sub-fund on the Luxembourg Stock Exchange.
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DEFINITIONS
Unless otherwise defined herein or unless the context otherwise requires all defined terms used in this Supplement shall bear the same meaning as in the Prospectus.
Base Currency Euros
Business Day (i) Any day on which banks are open for business in Luxembourg and the United Kingdom (excluding Saturday, Sunday and public holidays)provided always that the London Stock Exchange is open for business on such day; and (ii) weekdays other than days on which the Trans-European Automated Real-Time Gross Settlement Express Transfer (“TARGET”), the Eurosystem interbank funds transfer system, is closed for business.
Dealing Day Each full bank Business Day.
Initial Offer Period This Sub-fund is not yet launched as at the date of the Prospectus. The Sub-fund may be launched at the Director's discretion. Confirmation of the launch date will be made available at the registered office of the Company and any provisions in the Prospectus relating to the Sub-fund shall only take effect from the launch date of the Sub-fund.
Initial Offer Price €10 per Share for the Class I Shares and Class P Shares, plus such sum as the Investment Manager considers appropriate (within permitted limits) as an Anti-Dilution Levy.
Redemption Price The redemption price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Redemption.”
Shares The: (i) Class I Shares; and (ii) Class P Shares in the Sub-fund to be issued in accordance with this Supplement and the Prospectus.
Subscription Price The subscription price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Subscription.”
Valuation Point Such time on a Dealing Day as the Directors may from time to time determine at which the Net Asset Value and the Net Asset Value per Share of the Sub-fund is calculated.
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1. Issue of Sub-fund sharesThe initial issue of Shares in the Sub-fund will take place during the Initial Offer Period, at the Initial Offer Price, plus a subscription fee of up to 3% of the issue price. Shareholders should also note that an Anti-Dilution Levy may be included in the Initial Offer Price. After the Initial Offer Period, Shares in the Sub-fund will be available for purchase on each Dealing Day and, as described below, will be offered at the applicable Subscription Price per Share, plus a subscription fee of up to 3% of the issue price.
Note: This Sub-fund is not yet launched as at the date of the Prospectus. The Sub-fund may be launched at the Director's discretion. Confirmation of the launch date will be made available at the registered office of the Company and any provisions in the Prospectus relating to the Sub-fund shall only take effect from the launch date of the Sub-fund.
2. Investment objectives and investment policyInvestment objective. The investment objective of the Sub-fund is to seek to track as closely as reasonably possible the performance of a customized subset of the Barclays Capital Global Treasury Bond Index (the “Index”). The Index is composed of the following weighted indices: 40% Barclays Capital Global Treasury Germany Bond Index, 40% Barclays Capital Global Treasury France Bond Index and 20% Barclays Capital Global Treasury Netherlands Bond Index. The weights are rebalanced once a month.
Principal investment strategies. In order to achieve this objective, the Sub-fund will, using the strategy described below, invest primarily in the investment grade government securities of theIndex, subject to the restrictions set forth in the Prospectus. In very limited circumstances, typically related to market and liquidity issues, the Sub-Investment Manager also may invest in securities that it believes closely reflect the risk and distribution characteristics of securities of the Index. The Sub-Investment Manager will typically seek to purchase these securities in the physical markets but may, if it deems to be beneficial to the Sub-fund, obtain exposure to these securities through investment in derivative instruments, as described below.
The Sub-Investment Manager will employ a stratified sampling methodology in the management of the Sub-fund. This methodology seeks to create a representative sample from the securities that make up the Index. As it would be impractical and costly to invest in every security in the Index, the Sub-Investment Manager, through the use of this sampling methodology, seeks to build a diversified portfolio of securities by investing primarily in a representative sample group of the securities of the Index. The sample group is chosen with the intent of creating an overall exposure that closely matches the Index’s primary risk characteristics of interest rate risk, yield curve risk and quality and country distribution. Individual security selection is based upon availability in the market and the Sub-Investment Manager’s analysis of its impact on the portfolio exposure versus the Index.
As part of this strategy, the Sub-Investment Manager may, for the purpose of efficient portfolio management and in accordance with the conditions and limits imposed by the CSSF combine the purchase of securities with the use of fixed income derivative instruments. These transactions will be implemented within a maximum limit of 100% of the Sub-fund's assets provided however that they will not be used to gain exposure to transferable securities in excess of that permitted by the 2002 Law.
While the securities comprised in the Index will generally be investment grade securities, they may, from time to time, have their rating downgraded from investment grade. The Sub-fund may continue to hold such investments for so long as they are comprised in the Index or, if in the opinion of the Sub-Investment Manager (as defined in Section 5 below), the security is likely, within a reasonable period of time, to regain its investment grade rating and be restored to the Index.
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Although the Sub-Investment Manager may consider the factors described above in purchasing or selling investments for the Sub-fund, the Sub-Investment Manager may purchase, sell, or continue to hold an investment for the Sub-fund whenever it believes that doing so may benefit the Sub-fund, on the basis of any of the factors described above or any other factors.
Principal investments. The Sub-fund will invest primarily in securities that are included in the Index, however, as noted above, in very limited circumstances, the Sub-fund may invest in securities that closely reflect securities of the Index. The Index is a customized weighted benchmark comprised of three core European countries, namely Germany, France and the Netherlands.
While the Sub-Investment Manager will typically seek to purchase these securities in the physical markets, it may, if it deems to be beneficial to the Sub-fund, obtain exposure to these securities through investment in fixed income derivative instruments. Any investment in derivatives would be for the purpose of efficient portfolio management and in accordance with the conditions and limits imposed by the CSSF. These instruments would likely include interest rate bond futures and interest rate swaps. These transactions will be implemented within a maximum limit of 100% of the Sub-fund's assets provided however that they will not be used to gain exposure to transferable securities in excess of that permitted by the 2002 Law.
The composition of the Sub-fund’s investment portfolio may be adjusted from time to time to reflect changes in the Index and, in particular, in its composition and/or weighting. Where the Sub-Investment Manager deems necessary with a view to the investment methodology applied by the Sub-Investment Manager at the time, it will adjust the composition and weighting of Investments held by the Sub-fund to reflect the change, subject to the 2002 Law and its discretion in implementing the Sub-fund’s investment objective. However, it will not always be possible to invest in all of the investments comprising the Index or to do so in the weightings in which they are included in that Index. In particular, this may result from the application of the investment and borrowing restrictions set forth in the Prospectus, the operating expenses of the Sub-fund, temporary illiquidity or unavailability of an investment comprised in the Index or other unusual or extraordinary circumstance.
The Sub-fund will not lend its portfolio securities. The Sub-fund may pay the Investment Manager, Sub-Investment Manager and/or an affiliate fees and expenses related to the provision of custodial, administrative, bookkeeping, and accounting services, transfer agency and shareholder servicing, and other services that the Investment Manager and/or Sub-Investment Manager may from time to time consider necessary or appropriate. The Sub-fund may invest in other investment funds that qualify as UCITS or other UCIs within the meaning of Section 7.1. (d) of Chapter 7 "Investment Limits" in the main body of the Prospectus. Such UCITS or other UCIs may include entities sponsored, managed, or otherwise affiliated with the Investment Manager. See "General Risk Factors" and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments” in the Prospectus.
An investment in the Sub-fund may be subject to taxation. Potential Shareholders should consult their own tax counsel as to the specific tax consequences of an investment in the Sub-fund.
Certain Risk Controls. The Investment Manager and Sub-Investment Manager monitor the overall risk of the Sub-fund, in order to seek to avoid unintended risk exposure relative to the Index. The Investment Manager and Sub-Investment Manager attempt to manage risk by, among other things, monitoring country, yield curve and maturity deviations from the Index, maintaining diversification.
Other. The Barclays Capital Global Treasury Bond Index is a service mark of Barclays Capital, Inc. (“Barclays Capital”), which expression shall include any of its affiliates and has been licensed for use for certain purposes by the Company. The Sub-fund is not sponsored, endorsed, sold or promoted by Barclays Capital. Barclays Capital makes no representation or warranty, express or implied, to the owners of the Sub-fund or any member of the public regarding the advisability of investing in securities generally or in the licensing of certain information, data, trademarks and trade names of Barclays Capital. The Index is determined, composed and calculated by Barclays without regard to the Company or the Sub-fund. Barclays Capital has no obligation to take the
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needs of the Company or the Shareholders of the Sub-fund into consideration in determining, composing or calculating the Index. Barclays Capital is not responsible for and has not participated in the determination of the prices and amount of the Sub-fund or the timing of the issuance or sale of the Sub-fund or in the determination or calculation of the equation by which the Sub-fund is to be converted into cash. Barclays Capital has no obligation or liability in connection with the administration, marketing or trading of the Sub-fund.
BARCLAYS CAPITAL DOES NOT GUARANTEE THE QUALITY, ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN, OR OTHERWISE OBTAINED BY THE COMPANY OR ITS SUB-FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. BARCLAYS CAPITAL MAKES NO EXPRESS OR IMPLIED WARRANTIES AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OF FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL BARCLAYS CAPITAL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
3. Investment limits of the Sub-fundThe investment and borrowing restrictions set out in the Prospectus apply in their entirety to the Sub-fund.
4. Risk FactorsPotential Shareholders should consider the risk factors set forth in the Prospectus under the sections entititled “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
The Sub-fund is considered a non-sophisticated fund and is available to institutional and private investors. Investors should understand that an investment in Shares does not constitute a complete investment program and that investors should have the financial resources necessary to withstand the risks that may be involved in the Sub-fund’s investment program.
In relation to investments in derivatives, the use of these instruments involves special risks including (i) dependence on the ability to predict movements in the prices of securities underlying the derivative instruments and movements in interest or currency rates; (ii) imperfect correlation between the derivative instruments and the securities or market sectors to which they relate; (iii) greater volatility than the securities and/or markets to which they relate; (iv) liquidity risk when, for example, a particular derivative instrument is difficult to purchase or sell; (v) market risk, where the market value of the derivative changes in a way that is detrimental to the Sub-fund; (vi) counterparty risk, where the counterparty with which the Sub-fund trades becomes insolvent, bankrupt or defaults; (vii) settlement risk, where a counterparty defaults in settling a trade; and (viii) legal risk, where the enforceability of a derivative contract may be an issue. See “Special Investment Techniques and Financial Instruments” in the Prospectus.
The Company will, on request, provide supplementary information to Shareholders relating to the risk management process employed including the quantitative limits that are applied and any recent developments in the risk and yield characteristics of the main categories of investment.
5. Investment Manager and Sub-Investment ManagerState Street Global Advisors France S.A. has been appointed Investment Manager for the Sub-fund. State Street Global Advisors France S.A. is a company duly authorised by the AMF (French financial markets authority) on 3rd June 1997, under number 97-044. Registered office: Immeuble Defense Plaza, 23-25 Rue Delariviere-Lefoullon 92062, France. Form of incorporation: Societe Anonyme, French company limited by shares. The Investment Manager has delegated investment decision making authority to State Street Global Advisors Limited, a wholly-owned
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subsidiary of State Street Bank Europe Limited, itself a subsidiary of State Street Bank and Trust Company, which in turn is a subsdiary of State Street Corporation (the “Sub-Investment Manager”). The Sub-Investment Manager has its principal offices located at 20 Churchill Place, Canary Wharf, London E14 5HJ, United Kingdom.
6. Valuation Date and Fixed TimeThe Net Asset Value of the Sub-fund will be calculated by the Administrator as at each Valuation Point in accordance with the requirements of the Articles and full details are set forth under the headings “Calculation of Net Asset Value” in the Prospectus. The Net Asset Value of the Sub-fund will be expressed in its Base Currency.
7. DividendsAll classes of Shares of the Sub-fund will be accumulating Shares, and therefore, dividends or other distributions out of the Sub-fund’s profits will not normally be paid to Shareholders.
8. Fees and ExpensesThe Sub-fund shall bear its attributable proportion of the organisational and operating expenses of the Company. These are set out in detail under the heading “Fees and Expenses” in the Prospectus. In addition to the fees and expenses described below, Shareholders should read the section in the Prospectus entitled “Fees and Expenses” for a description of other fees and expenses that may apply to their investment in the Sub-fund.
The Sub-fund will pay the following management fee:
For Class P Shares, up to 0.30% of the average daily Net Asset Value; For Class I Shares, up to 0.15% of the average daily Net Asset Value.
These management fees will be accrued daily based on the Net Asset Value of the Sub-fund as of the relevant Dealing Day and will be paid monthly in arrears. The Investment Manager will discharge from these management fees the fees of the Sub-Investment Manager.
The total expense ratios attributable to the Share classes of the Sub-fund, as set out below, incorporate the fees and expenses of the Investment Manager (and the Sub-Investment Manager), Administrator and Custodian, any distribution fee not covered by the subscription fee where appropriate, and certain other expenses of the Sub-fund set forth in Section 23.1 of the Prospectus. The Investment Manager has voluntarily agreed to temporarily reimburse such portions of its fees as is necessary to ensure that the total expense ratio attributable to all Shares shall currently not exceed the following rates:
For the Class P Shares, 0.40% of the average daily Net Asset Value; For the Class I Shares, 0.25% of the average daily Net Asset Value.
9. Subscriptions - Application Procedures
All applicants, whether applying in writing or by facsimile, must complete the Application Form prescribed by the Directors (the “Application Form”). An Application Form for additional Shares may be submitted by facsimile provided the Administrator has received the original Application Form for the initial subscription of Shares. Application Forms may be obtained from the Administrator and set out the methods by which and to whom the subscription monies should be sent. Application Forms shall be irrevocable (unless otherwise agreed with the Directors) and may be sent by facsimile at the risk of the applicant. The Application Form should be received by the Administrator, by 11.00 a.m. (Central European Time) on the relevant Dealing Day. Any Application Form received after such time will be deemed received as of the next Dealing Day. The originally executed Application Form for the initial subscription, along with supporting documentation in relation to money laundering prevention checks, should be received by the
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Administrator within five (5) Business Days after the electronically transmitted (by facsimile only) Application Form is sent to the Administrator.
Failure to provide the original Application Form by such time may, at the discretion of the Directors, result in the rejection of the application and any monies received will be returned to the applicant (minus any handling charge incurred in any such return) as soon as possible by wire transfer (but without interest, costs or compensation) or in the compulsory redemption of the Shares. In any event, applicants will be unable to redeem Shares on request until the original Application Form has been received and all anti-money laundering checks completed and supporting documentation received.
In addition to the Application Form, applicants may be requested to provide other information (e.g. as to identity and corporate authorisation). Failure to provide such information may delay the processing of the application.
Fractions: Subscription monies representing less than the Subscription Price for a Share will not be returned to the applicant. Fractions of Shares will be issued where any part of the subscription monies for Shares represents less than the Subscription Price for one Share, provided however, that fractions shall not be less than .0001 of a Share. Subscription monies, representing less than .0001 of a Share will not be returned to the applicant but will be retained by the Sub-fund in order to defray administration costs.
Offer Periods and Related Pricing: Applications for Shares during the Initial Offer Period must be received and accepted during the Initial Offer Period. Settlement proceeds must also be received in cleared funds within the Initial Offer Period, or such later period as the Directors may in their absolute discretion determine.
The Subscription Price for Shares during the Initial Offer Period is the Initial Offer Price(together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Shareholders should also note that an Anti-Dilution Levy may be included in the Initial Offer Price.
After the Initial Offer Period for any class of Shares has expired, Shares will be issued at the then applicable Subscription Price per Share, which is based on the Net Asset Value per Share. Currently, the Class I Shares and Class P Shares are offered at the applicable Subscription Price per Share. See also the section entitled “Pricing” below.
Pricing: Except during the Initial Offer Period, all subscriptions will be dealt on a “forward” pricing basis, i.e. by reference to the Subscription Price for Shares calculated as at the Valuation Point for the relevant Dealing Day (together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Subscription Price (please see Sections 19.1 and 23.4 of the Prospectus). Any Application Forms received after the relevant time for receipt will normally be held over until the next Dealing Day.
10. Payment of Subscription Monies
Method and Currency of Payment: Subscription payments net of all bank charges must be made in Euros and should be paid by wire transfer to the bank account specified in the Application Form. Other methods of payment are subject to the prior approval of the Directors with the agreement of the Administrator. No interest will be paid in respect of payments received in circumstances where the application is held over to the next Dealing Day.
Timing of Payment: Payment in respect of subscriptions must be received in cleared funds by 5.00 p.m. (Central European Time) on the third Business Day following the relevant Dealing Day or on such other day as the Directors may determine.
Payment: If payment in cleared funds in respect of a subscription has not been received by the time specified above, any allotment of Shares made in respect of such application may be
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cancelled. In the event of the non-clearance of subscription monies, any allotment in respect of an application shall be cancelled. In either event and notwithstanding cancellation of the application, the Directors may charge the applicant for any expense incurred by the Company or the Sub-fund or for any loss to the Sub-fund arising out of such non-receipt or non-clearance. In addition, the Directors will have the right to sell all or part of the applicant’s holding of Shares in the relevant class or any other Sub-fund in order to meet those charges.
11. Minimum Subscriptions/Holdings
Initial Subscriptions: The minimum initial subscription amounts for the Shares are as follows:
€50,000 (or less at the discretion of the Directors) for Class I Shares; and The value of a single Share for Class P Shares.
Subsequent Subscriptions: Any subsequent subscription amounts for Shares shall be in accordance with the following:
For Class I Shares, a minimum of €5,000 (or less at the discretion of the Directors); and A minimum of the value of a single Share for Class P Shares.
Minimum Holdings: Any Shareholder who redeems or otherwise disposes of part of his holding must maintain the following minimum holdings in the Sub-fund:
Not less than €5,000 for Class I Shares (or less at the discretion of the Directors); and Not less than the value of a single Share in respect of Class P Shares.
The Company may redeem the remaining holdings of any Shareholder who redeems his holdings below the foregoing minimums.
12. Redemptions
Redemption Procedure: Every Shareholder will have the right to require the Company to redeem his Shares in the Sub-fund on any Dealing Day (save during any period when the calculation of the Net Asset Value is suspended or the redemption of Shares is limited in the circumstances set forth in the Prospectus) on furnishing to the Administrator a redemption request in the form of a completed Redemption Form. Shares may be redeemed only by written application or by facsimile through the Administrator.
Redemption Pricing: All redemption requests are dealt with on a “forward” pricing basis, i.e. by reference to the Redemption Price for Shares calculated as at the Valuation Point for the relevant Dealing Day and by deducting a redemption fee of up to 3% of the Redemption Price per Share for the benefit of the Sub-fund, where at the discretion of the Directors it is considered to be equitable for the Shareholders as a whole. Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Redemption Price (please see Sections 19.2 and 23.4 of the Prospectus).
Redemption Form: All applicants must complete the Redemption Form prescribed by the Directors. Redemption Forms may be obtained from the Administrator. A redemption request may be made in writing or by facsimile by a Shareholder but if the account details for redemption payments are different from those set out in the Application Form, the original Redemption Form will be required by the Administrator and verification of the details may be required. The Redemption Form sets out the method by which and to whom redemption monies will be sent.
Redemption Forms must be received by 11.00 a.m. (Central European Time) on the relevant Dealing Day.
If the Redemption Form is received after the relevant time for receipt thereof it shall be treated as a request for redemption on the Dealing Day following such receipt. In extraordinary circumstances, Redemption Forms may be accepted for redemption if received prior to the Valuation Point on the relevant Dealing Day, at the discretion of the Directors, and Shares will be
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redeemed at the Redemption Price for that day. Shares will be redeemed at the Redemption Price calculated as at the Valuation Point for the relevant Dealing Day.
Redemptions shall be irrevocable and may be sent by facsimile at the risk of the relevant Shareholder. No redemption proceeds will be paid out unless an original initial Application Form is received by the Administrator, together with any other documents required by the Administrator, and cleared funds were received in connection with the original subscription.
Method and Currency of Payment: Redemption payments will be made in Euros to the bank account detailed on the Redemption Form.
Timing of Payment: Redemption proceeds in respect of Shares will be paid on the third Business Day following the relevant Dealing Day, or such other day as the Directors may determine,provided that all the required documentation has been furnished to and received by the Administrator.
In the case of a partial redemption of a Shareholder's holding, the Administrator will advise the Shareholder of the remaining Shares held by him.
Fractions: Apart from circumstances in which a Shareholder is redeeming his entire holding of Shares:-
(a) fractions of Shares will be issued where any part of the redemption monies for Shares represents less than the Redemption Price for one Share, provided however that fractions shall not be less than .0001 of a Share; and
(b) redemption monies, representing less than .0001 of a Share will not be returned to a Shareholder but will be retained by the Directors in order to defray administration costs.
Switching: Shareholders of other sub-funds of the Company may switch into the Sub-fund. Furthermore, Shareholders in the Sub-fund may switch into other sub-funds of the Company. Switches are in principle only permitted from one Class of Shares in a sub-fund to the same Class of Shares of another sub-fund, unless the investor fulfils the eligibility criteria of the Class of Shares to be switched into.
Shares can be switched on any Dealing Day which is a Dealing Day for both sub-funds at the Subscription Price valid on that date, provided the application for switching is received by the Company (for the attention of the Administrator) by 11:00 a.m., Central European Time (cut-off time) on the relevant Dealing Day. The provisions relating to the cut-off time and forward pricing also apply concerning switching of Shares and are described in full in this Supplement and the Prospectus.
Applications should be addressed directly to State Street Bank Luxembourg S.A., acting as transfer agent for the Company, or otherwise through one of the Distributors. The application must contain the following information: the number of Shares in the old and new sub-funds and the value ratio according to which the Shares in each sub-fund are to be divided if more than one new sub-fund is intended.
Further detail can be found in the Prospectus under the sub-heading “Switching.”
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STATE STREET GLOBAL ADVISORS LUXEMBOURG SICAV
Supplement No. 21
SSgA Euro Sustainable Corporate Bond Index Fund
DATED: MARCH 2011
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INTRODUCTION
State Street Global Advisors Luxembourg SICAV (the “Company”) is authorised in Luxembourg by the Commission de Surveillance du Secteur Financier (the “CSSF”) as a UCITS for the purposes of the 2002 Law. The Company is an open-ended umbrella investment company with segregated liability between sub-funds and variable capital.
This Supplement contains information relating to the Shares of the SSgA Euro Sustainable Corporate Bond Index Fund (the “Sub-fund”), which is a separate sub-fund of the Company. This Supplement forms part of and should be read in the context of and together with the general description of the Company contained in the current Prospectus.
As of the date of this Supplement, the Company currently offers the following Share classes of the Sub-fund:
Class I Shares
Class I Distributing Shares
Class P Shares
Class P Distributing Shares
Class I and Class I Distributing Shares are reserved for institutional investors as defined in Articles 174 to 176 of the 2010 Law. Class P and P Distributing Shares are available to retail and institutional investors. Further, the Company may, at a future date, create and offer additional Share classes for the Sub-fund.
The Company does not intend to list any Class of Shares of the Sub-fund on the Luxembourg Stock Exchange.
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DEFINITIONS
Unless otherwise defined herein or unless the context otherwise requires all defined terms used in this Supplement shall bear the same meaning as in the Prospectus.
Base Currency Euros
Business Day (i) Any day on which banks are open for business in Luxembourg and the United Kingdom (excluding Saturday, Sunday and public holidays) provided always that the London Stock Exchange is open for business on such day; and (ii) weekdays other than days on which the Trans-European Automated Real-Time Gross Settlement Express Transfer (“TARGET”), the Eurosystem interbank funds transfer system, is closed for business.
Dealing Day Each full bank Business Day.
Initial Offer Period The period beginning at 9.00 a.m. (Central European time) on 14 March 2011 and ending at 5.00 p.m. (Central European time) on 14 May 2011, or such other period as the Directors may determine and notify to the CSSF.
Initial Offer Price €10 per Share for the Class I Shares, Class I Distributing Shares, Class P Shares and Class P Distributing Shares, plus such sum as the Investment Manager considers appropriate (within permitted limits) as an Anti-Dilution Levy.
Redemption Price The redemption price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Redemption.”
Shares The: (i) Class I Shares; (ii) Class I Distributing Shares; (iii) Class P Shares; and (iv) Class P Distributing Shares in the Sub-fund to be issued in accordance with this Supplement and the Prospectus.
Subscription Price The subscription price per Share, as determined in accordance with the provisions of the Prospectus under the sub-heading “Subscription.”
Valuation Point Such time on a Dealing Day as the Directors may from time to time determine at which the Net Asset Value and the Net Asset Value per Share of the Sub-fund is calculated.
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1. Issue of Sub-fund shares
The initial issue of Shares in the Sub-fund will take place during the Initial Offer Period, at the Initial Offer Price, plus a subscription fee of up to 3% of the issue price. Shareholders should also note that an Anti-Dilution Levy may be included in the Initial Offer Price. After the Initial Offer Period, Shares in the Sub-fund will be available for purchase on each Dealing Day and, as described below, will be offered at the applicable Subscription Price per Share, plus a subscription fee of up to 3% of the issue price.
2. Investment objectives and investment policyInvestment objective. The investment objective of the Sub-fund is to seek to track as closely as reasonably possible the performance of the Markit iBoxx Euro Sustainable Corporate Bond Custom Index (the “Index”).
Principal investment strategies. In order to achieve this objective, the Sub-fund will, using the strategy described below, invest primarily in the investment grade securities of theIndex, subject to the restrictions set forth in the Prospectus. In very limited circumstances,typically related to market and liquidity issues, the Sub-Investment Manager also may invest in securities that it believes closely reflect the risk and distribution characteristics of securities of the Index. The Sub-Investment Manager will typically seek to purchase these securities in the physical markets but may, if it deems to be beneficial to the Sub-fund, obtain exposure to these securities through investment in derivative instruments, as described below.
The Index is a customized version of the Markit iBoxx EUR Corporates Index. It is a sub-set of the broad Euro Corporate investment grade universe defined by Markit iBoxx (“Markit”) that consists of Euro-denominated fixed income securities, with at least one year until maturity, issued by financial, industrial and utilities companies. The securities that Markit includes in the Index are selected from a list of screened companies provided by Triodos MeesPierson Sustainable Investment Management B.V. (“TMP”) and based on certain sustainability criteria. TMP performs the screening in two steps:
Step 1 – a relative analysis is performed by TMP using sustainability data supplied by a well-reputed research organisation. The sustainability performance of issuers is judged on three themes: Environment, Social and Governance. Within each theme are certain subjects on which the issuers are ranked and an overall theme score is assigned to each issuer. The issuer qualifies for inclusion if it scores higher than the average score of all issuers in the same sector or industry group.
Step 2 – taking the narrowed group of issuers from Step 1, TMP applies an absolute constraint analysis that uses four categories of inquiry to further limit the pool of issuers. These categories focus on each issuer’s involvement in or with: (1) controversies, (2) controversial products, (3) high risk sectors without a defined corporate policy on certain social topics, and (4) animal testing or Genetically Modified Organisms or exposure to animal welfare issues without a well-defined policy to prevent the company from becoming involved in a controversy. Issuers that are substantially involved in one or more of these categories will be excluded from the investment universe.
Once the screening process is completed, TMP delivers a list of screened issuers to Markit, which then uses the list to create the Index. TMP performs the screening process described above on a semi-annual basis across the Markit iBoxx EUR Corporates investment grade universe. The screened issuer list will be reviewed by Markit for the April and October versions of the Index unless otherwise advised by TMP. In addition, Markit will rebalance the Index on a monthly basis to account for any changes needed to comply with the
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composition requirements of the Index.
In order to seek to achieve the investment objective of the Sub-fund, the Sub-Investment Manager will employ a stratified sampling methodology in the management of the Sub-fund. This methodology seeks to create a representative portfolio of securities that provides a return comparable to that of the Index. The Sub-Investment Manager uses thissampling methodology for the Sub-fund because the Index contains too many securities to efficiently purchase and, at times, certain securities included in the Index may be difficult to purchase in the open markets. Consequently, the Sub-fund will typically hold only a diversified subset of the securities included in the Index.
In building the Sub-fund’s portfolio using the sampling methodology, the Sub-Investment Manager will select certain securities within the Index rather than all of the Index securities, paying close attention to the overall weights and exposures, including, but not limited to, sector weights, individual issuer weights, currency weights and interest rate risk in order to avoid unintended biases. The sampling seeks to create an overall exposure that closely matches the Index’s primary risk characteristics of interest rate risk, yield curve risk and quality and country distribution.
As part of this strategy, the Sub-Investment Manager may, for the purpose of efficient portfolio management and in accordance with the conditions and limits imposed by the CSSF combine the purchase of securities with the use of fixed income derivative instruments. These transactions will be implemented within a maximum limit of 100% of the Sub-fund's assets provided however that they will not be used to gain exposure to transferable securities in excess of that permitted by the 2002 Law.
While the securities comprised in the Index will generally be investment grade securities, they may, from time to time, have their rating downgraded from investment grade. The Sub-fund may continue to hold such securities for so long as they are comprised in the Index or, if in the opinion of the Sub-Investment Manager, the security is likely, within a reasonable period of time, to regain its investment grade rating and be restored to the Index.
Although the Sub-Investment Manager may consider the factors described above in purchasing or selling investments for the Sub-fund, the Sub-Investment Manager may purchase, sell, or continue to hold an investment for the Sub-fund whenever it believes that doing so may benefit the Sub-fund, on the basis of any of the factors described above or any other factors.
The Sub-Investment Manager relies on the services of TMP to perform the screening process for the Index and provide data to the Sub-Investment Manager and index provider, subject to the review and oversight of the Sub-Investment Manager. Further, the Sub-Investment Manager relies on the services of Markit to create the Index from the screened list of issuers. While the Sub-Fund pays fees for these services, there is no guarantee that these services will not be reduced or eliminated in the future. In such a circumstance, the Sub-Investment Manager may rely on different or additional service providers in the future. See also “Risk Factors – Index Risk” and “Fees and Expenses” below.
Principal investments. The Sub-fund will invest primarily in securities that are included in the Index however, as noted above, in very limited circumstances, the Sub-fund may invest in securities or that closely reflect securities of the Index in accordance with the methodology described above. In addition, as described above, the Sub-fund may use fixed income derivative instruments to obtain exposures, at all times in accordance with the 2002 Law.
The composition of the Sub-fund’s investment portfolio may be adjusted from time to time to reflect changes in the Index and, in particular, in its composition, investible universe of screened issuers and/or weighting. Where the Sub-Investment Manager deems necessary
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with a view to the investment methodology described above, it will adjust the composition and weighting of Investments held by the Sub-fund to reflect the change, subject to the 2002 Law and its discretion in implementing the Sub-fund’s investment objective. Shareholders should note that the Sub-fund, due to the sampling methodology used and described above, will not hold all of the securities of the Index but rather will create a portfolio that is intended to be a representative sample of the Index and provide a comparable return to that of the Index. Further, the application of the investment and borrowing restrictions set forth in the Prospectus, the operating expenses of the Sub-fund, temporary illiquidity or unavailability of an investment comprised in the Index or other unusual or extraordinary circumstance may affect the composition of the Sub-fund’s investment portfolio.
The Sub-fund will not lend its portfolio securities. The Sub-fund may pay the Investment Manager, Sub-Investment Manager and/or an affiliate fees and expenses related to the provision of custodial, administrative, bookkeeping, and accounting services, transfer agency and shareholder servicing, and other services that the Investment Manager and/or Sub-Investment Manager may from time to time consider necessary or appropriate. The Sub-fund may invest in other investment funds that qualify as UCITS or other UCIs within the meaning of Section 7.1. (d) of Chapter 7 "Investment Limits" in the main body of the Prospectus. Such UCITS or other UCIs may include entities sponsored, managed, or otherwise affiliated with the Investment Manager. See "General Risk Factors" and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments” in the Prospectus.
An investment in the Sub-fund may be subject to taxation. Potential Shareholders should consult their own tax counsel as to the specific tax consequences of an investment in the Sub-fund.
Certain Risk Controls. The Investment Manager and Sub-Investment Manager monitorthe overall risk of the Sub-fund, in order to seek to avoid unintended risk exposure relative to the Index. The Investment Manager and Sub-Investment Manager attempt to managerisk by, among other things, monitoring industry and sector weights and deviations from the Index, maintaining diversification, and performing on-going reviews of company fundamentals and valuations.
Other. Further information on the Index rules can be found at the following location: http://indices.markit.com/news/guides.asp
Markit makes no representation or warranty, express or implied, and expressly disclaims all warranties of accuracy, merchantability or fitness for a particular purpose or use with respect to Markit iBoxx Euro Sustainable Corporate Bond Custom Index or any data included there with regard to the Markit iBoxx Euro Sustainable Corporate Bond Custom Index, or any data from which it is based. Markit shall have no liability for any errors, omissions, or interruptions therein. Markit make no warranty, express or implied, as to results to be obtained from the use of the Markit iBoxx Euro Sustainable Corporate Bond Custom Index. Markit does not sponsor, endorse, sell, or promote any investment fund or other vehicle that is offered by State Street Global Advisors or third parties and that seeks to provide an investment return based on the returns of the Markit iBoxx Euro Sustainable Corporate Bond Custom Index. A decision to invest in any such investment fund or other vehicle should not be made in reliance on any of the statements set forth in this document. Prospective investors are advised to make an investment in any such fund or vehicle only after carefully considering the risks associated with investing in such funds, as detailed in an offering memorandum or similar document that is prepared by or on behalf of the issuer of the investment fund or vehicle.
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3. Investment limits of the Sub-fundThe investment and borrowing restrictions set out in the Prospectus apply in their entirety to the Sub-fund.
4. Risk FactorsPotential Shareholders should consider the risk factors set forth in the Prospectus under the sections entititled “General Risk Factors” and “Risks Associated with the Use of Derivatives and Other Special Investment Techniques and Financial Instruments.”
The Sub-fund is considered a non-sophisticated fund and is available to institutional and private investors. Investors should understand that an investment in Shares does not constitute a complete investment program and that investors should have the financial resources necessary to withstand the risks that may be involved in the Sub-fund’s investment program.
In relation to investments in derivatives, the use of these instruments involves special risks including (i) dependence on the ability to predict movements in the prices of securities underlying the derivative instruments and movements in interest or currency rates; (ii) imperfect correlation between the derivative instruments and the securities or market sectors to which they relate; (iii) greater volatility than the securities and/or markets to which they relate; (iv) liquidity risk when, for example, a particular derivative instrument is difficult to purchase or sell; (v) market risk, where the market value of the derivative changes in a way that is detrimental to the Sub-fund; (vi) counterparty risk, where the counterparty with which the Sub-fund trades becomes insolvent, bankrupt or defaults; (vii) settlement risk, where a counterparty defaults in settling a trade; and (viii) legal risk, where the enforceability of a derivative contract may be an issue. See “Special Investment Techniques and Financial Instruments” in the Prospectus.
Index Risk: There is a risk that Markit and TMP may make errors in the calculation of the Index and/or the screening process. Errors may include, but are not limited to, incorrect constituents, incorrect interpretation of company accounts, transcription errors from company accounts, incorrect assessment of sustainability criteria and incorrect scaling of constituent weights. There is an additional risk that Markit may discontinue the Index or that TMP may discontinue its screening services. In such circumstances, the Companymay change the Index of the Sub-fund or the screening provider although there is no guarantee that a replacement Index or screening provided would result in a similar Index or screening process or would be available.
The Company will, on request, provide supplementary information to Shareholders relating to the risk management process employed including the quantitative limits that are applied and any recent developments in the risk and yield characteristics of the main categories of investment.
5. Investment Manager and Sub-Investment ManagerState Street Global Advisors France S.A. has been appointed Investment Manager for the Sub-fund. State Street Global Advisors France S.A. is a company duly authorised by the AMF (French financial markets authority) on 3rd June 1997, under number 97-044. Registered office: Immeuble Defense Plaza, 23-25 Rue Delariviere-Lefoullon 92062, France. Form of incorporation: Societe Anonyme, French company limited by shares. The Investment Manager has delegated investment decision making authority to State Street Global Advisors Limited, a wholly-owned subsidiary of State Street Bank Europe Limited, itself a subsidiary of State Street Bank and Trust Company, which in turn is a subsdiary of State Street Corporation (the “Sub-Investment Manager”). The Sub-Investment Manager
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has its principal offices located at 20 Churchill Place, Canary Wharf, London E14 5HJ, United Kingdom.
6. Valuation Date and Fixed TimeThe Net Asset Value of the Sub-fund will be calculated by the Administrator as at each Valuation Point in accordance with the requirements of the Articles and full details are set forth under the headings “Calculation of Net Asset Value” in the Prospectus. The Net Asset Value of the Sub-fund will be expressed in its Base Currency.
7. DividendsThe Class I Distributing and Class P Distributing Shares are distributing Shares and are designated as an income class, and consequently, dividends will be declared in respect of Class I Distributing and Class P Distributing Shares annually on or about 31 January in each year and payable to the Shareholders in accordance with the terms of the Articles and the Prospectus.
The Class I Shares and Class P Shares will be accumulating Shares, and therefore, dividends or other distributions out of the Sub-fund’s profits will not normally be paid to Shareholders.
8. Fees and ExpensesThe Sub-fund shall bear its attributable proportion of the organisational and operating expenses of the Company. These are set out in detail under the heading “Fees and Expenses” in the Prospectus. In addition to the fees and expenses described below, Shareholders should read the section in the Prospectus entitled “Fees and Expenses” for a description of other fees and expenses that may apply to their investment in the Sub-fund.
The Sub-fund will pay the following management fee:
For Class P Shares, up to 0.45% of the average daily Net Asset Value; For Class P Distributing Shares, up to 0.45% of the average daily Net Asset Value; For Class I Shares, up to 0.20% of the average daily Net Asset Value; For Class I Distributing Shares, up to 0.20% of the average daily Net Asset Value.
These management fees will be accrued daily based on the Net Asset Value of the Sub-fund as of the relevant Dealing Day and will be paid monthly in arrears. The Investment Manager will discharge from these management fees the fees of the Sub-Investment Manager.
The total expense ratios attributable to the Share classes of the Sub-fund, as set out below, incorporate the fees and expenses of the Investment Manager (and the Sub-Investment Manager), Administrator and Custodian, any distribution fee not covered by the subscription fee where appropriate, the fees of TMP and the Index provider, and certain other expenses of the Sub-fund set forth in Section 23.1 of the Prospectus. The Investment Manager has voluntarily agreed to temporarily reimburse such portions of its fees as is necessary to ensure that the total expense ratio attributable to all Shares shall currently not exceed the following rates:
For the Class P Shares, 0.57% of the average daily Net Asset Value; For the Class P Distributing Shares, 0.57% of the average daily Net Asset Value For the Class I Shares, 0.32% of the average daily Net Asset Value; For the Class I Distributing Shares, 0.32% of the average daily Net Asset Value.
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9. Subscriptions - Application Procedures
All applicants, whether applying in writing or by facsimile, must complete the Application Form prescribed by the Directors (the “Application Form”). An Application Form for additional Shares may be submitted by facsimile provided the Administrator has received the original Application Form for the initial subscription of Shares. Application Forms may be obtained from the Administrator and set out the methods by which and to whom the subscription monies should be sent. Application Forms shall be irrevocable (unless otherwise agreed with the Directors) and may be sent by facsimile at the risk of the applicant. The Application Form should be received by the Administrator, by 11.00 a.m. (Central European Time) on the relevant Dealing Day. Any Application Form received after such time will be deemed received as of the next Dealing Day. The originally executed Application Form for the initial subscription, along with supporting documentation in relation to money laundering prevention checks, should be received by the Administrator within five (5) Business Days after the electronically transmitted (by facsimile only) Application Form is sent to the Administrator.
Failure to provide the original Application Form by such time may, at the discretion of the Directors, result in the rejection of the application and any monies received will be returned to the applicant (minus any handling charge incurred in any such return) as soon as possible by wire transfer (but without interest, costs or compensation) or in the compulsory redemption of the Shares. In any event, applicants will be unable to redeem Shares on request until the original Application Form has been received and all anti-money laundering checks completed and supporting documentation received.
In addition to the Application Form, applicants may be requested to provide other information (e.g. as to identity and corporate authorisation). Failure to provide such information may delay the processing of the application.
Fractions: Subscription monies representing less than the Subscription Price for a Share will not be returned to the applicant. Fractions of Shares will be issued where any part of the subscription monies for Shares represents less than the Subscription Price for one Share, provided however, that fractions shall not be less than .0001 of a Share. Subscription monies, representing less than .0001 of a Share will not be returned to the applicant but will be retained by the Sub-fund in order to defray administration costs.
Offer Periods and Related Pricing: Applications for Shares during the Initial Offer Period must be received and accepted during the Initial Offer Period. Settlement proceeds must also be received in cleared funds within the Initial Offer Period, or such later period as the Directors may in their absolute discretion determine.
The Subscription Price for Shares during the Initial Offer Period is the Initial Offer Price(together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Shareholders should also note that an Anti-Dilution Levy may be included in the Initial Offer Price.
After the Initial Offer Period for any class of Shares has expired, Shares will be issued at the then applicable Subscription Price per Share, which is based on the Net Asset Value per Share. See also the section entitled “Pricing” below.
Pricing: Except during the Initial Offer Period, all subscriptions will be dealt on a “forward” pricing basis, i.e. by reference to the Subscription Price for Shares calculated as at the Valuation Point for the relevant Dealing Day (together with an additional subscription fee of up to 3% of the Subscription Price per Share, if applicable, as determined by the Directors upon the advice of the Distributor). Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Subscription Price
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(please see Sections 19.1 and 23.4 of the Prospectus). Any Application Forms received after the relevant time for receipt will normally be held over until the next Dealing Day.
10. Payment of Subscription Monies
Method and Currency of Payment: Subscription payments net of all bank charges must be made in Euros and should be paid by wire transfer to the bank account specified in the Application Form. Other methods of payment are subject to the prior approval of the Directors with the agreement of the Administrator. No interest will be paid in respect of payments received in circumstances where the application is held over to the next Dealing Day.
Timing of Payment: Payment in respect of subscriptions must be received in cleared funds by 5.00 p.m. (Central European Time) on the third Business Day following the relevant Dealing Day or on such other day as the Directors may determine.
Payment: If payment in cleared funds in respect of a subscription has not been received by the time specified above, any allotment of Shares made in respect of such application may be cancelled. In the event of the non-clearance of subscription monies, any allotment in respect of an application shall be cancelled. In either event and notwithstanding cancellation of the application, the Directors may charge the applicant for any expense incurred by the Company or the Sub-fund or for any loss to the Sub-fund arising out of such non-receipt or non-clearance. In addition, the Directors will have the right to sell all or part of the applicant’s holding of Shares in the relevant class or any other Sub-fund in order to meet those charges.
11. Minimum Subscriptions/Holdings
Initial Subscriptions: The minimum initial subscription amounts for the Shares are as follows:
€50,000 (or less at the discretion of the Directors) for Class I and Class I Distributing Shares; and
The value of a single Share for Class P and Class P Distributing Shares.
Subsequent Subscriptions: Any subsequent subscription amounts for Shares shall be in accordance with the following:
For Class I and Class I Distributing Shares, a minimum of €5,000 (or less at the discretion of the Directors); and
A minimum of the value of a single Share for Class P and Class P Distributing Shares.
Minimum Holdings: Any Shareholder who redeems or otherwise disposes of part of his holding must maintain the following minimum holdings in the Sub-fund:
Not less than €5,000 for Class I and Class I Distributing Shares (or less at the discretion of the Directors); and
Not less than the value of a single Share in respect of Class P and Class P Distributing Shares.
The Company may redeem the remaining holdings of any Shareholder who redeems his holdings below the foregoing minimums.
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12. Redemptions
Redemption Procedure: Every Shareholder will have the right to require the Company to redeem his Shares in the Sub-fund on any Dealing Day (save during any period when the calculation of the Net Asset Value is suspended or the redemption of Shares is limited in the circumstances set forth in the Prospectus) on furnishing to the Administrator a redemption request in the form of a completed Redemption Form. Shares may be redeemed only by written application or by facsimile through the Administrator.
Redemption Pricing: All redemption requests are dealt with on a “forward” pricing basis, i.e. by reference to the Redemption Price for Shares calculated as at the Valuation Point for the relevant Dealing Day and by deducting a redemption fee of up to 3% of the Redemption Price per Share for the benefit of the Sub-fund, where at the discretion of the Directors it is considered to be equitable for the Shareholders as a whole. Further, Shareholders should also note that an Anti-Dilution Levy may be included in the Redemption Price (please see Sections 19.2 and 23.4 of the Prospectus).
Redemption Form: All applicants must complete the Redemption Form prescribed by the Directors. Redemption Forms may be obtained from the Administrator. A redemption request may be made in writing or by facsimile by a Shareholder but if the account details for redemption payments are different from those set out in the Application Form, the original Redemption Form will be required by the Administrator and verification of the details may be required. The Redemption Form sets out the method by which and to whom redemption monies will be sent.
Redemption Forms must be received by 11.00 a.m. (Central European Time) on the relevant Dealing Day.
If the Redemption Form is received after the relevant time for receipt thereof it shall be treated as a request for redemption on the Dealing Day following such receipt. In extraordinary circumstances, Redemption Forms may be accepted for redemption if received prior to the Valuation Point on the relevant Dealing Day, at the discretion of the Directors, and Shares will be redeemed at the Redemption Price for that day. Shares will be redeemed at the Redemption Price calculated as at the Valuation Point for the relevant Dealing Day.
Redemptions shall be irrevocable and may be sent by facsimile at the risk of the relevant Shareholder. No redemption proceeds will be paid out unless an original initial Application Form is received by the Administrator, together with any other documents required by the Administrator, and cleared funds were received in connection with the original subscription.
Method and Currency of Payment: Redemption payments will be made in Euros to the bank account detailed on the Redemption Form.
Timing of Payment: Redemption proceeds in respect of Shares will be paid on the third Business Day following the relevant Dealing Day, or such other day as the Directors may determine, provided that all the required documentation has been furnished to and received by the Administrator.
In the case of a partial redemption of a Shareholder's holding, the Administrator will advise the Shareholder of the remaining Shares held by him.
Fractions: Apart from circumstances in which a Shareholder is redeeming his entire holding of Shares:-
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(a) fractions of Shares will be issued where any part of the redemption monies for Shares represents less than the Redemption Price for one Share, provided however that fractions shall not be less than .0001 of a Share; and
(b) redemption monies, representing less than .0001 of a Share will not be returned to a Shareholder but will be retained by the Directors in order to defray administration costs.
Switching: Shareholders of other sub-funds of the Company may switch into the Sub-fund. Furthermore, Shareholders in the Sub-fund may switch into other sub-funds of the Company. Switches are in principle only permitted from one Class of Shares in a sub-fund to the same Class of Shares of another sub-fund, unless the investor fulfils the eligibility criteria of the Class of Shares to be switched into.
Shares can be switched on any Dealing Day which is a Dealing Day for both sub-funds at the Subscription Price valid on that date, provided the application for switching is received by the Company (for the attention of the Administrator) by 11:00 a.m., Central European Time (cut-off time) on the relevant Dealing Day. The provisions relating to the cut-off time and forward pricing also apply concerning switching of Shares and are described in full in this Supplement and the Prospectus.
Applications should be addressed directly to State Street Bank Luxembourg S.A., acting as transfer agent for the Company, or otherwise through one of the Distributors. The application must contain the following information: the number of Shares in the old and new sub-funds and the value ratio according to which the Shares in each sub-fund are to be divided if more than one new sub-fund is intended.
Further detail can be found in the Prospectus under the sub-heading “Switching.”
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