DJ OSSIAM EMERGING MARKETS MINIMUM VARIANCE NR: Notice to shareholders
OSSIAM EMERGING MARKETS MINIMUM VARIANCE NR UCITS ETF (DEMV)
OSSIAM EMERGING MARKETS MINIMUM VARIANCE NR: Notice to shareholders
26-Jul-2021 / 07:12 GMT/BST
Dissemination of a Regulatory Announcement, transmitted by EQS Group.
The issuer is solely responsible for the content of this announcement.
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OSSIAM LUX
Société Anonyme qualifying as a Société d'Investissement à Capital Variable
Registered Office: 49 Avenue J.F. Kennedy - L-1855 Luxembourg
R.C.S. Luxembourg B 160071
(the "Company")
Luxembourg, 26 July 2021
Notice to shareholders of the Company
Dear Shareholder,
The board of directors of the Company (the "Board") would like to inform you that the following amendments will be made
to the prospectus of the Company:
1. Amendment to the investment objective and policy of OSSIAM EMERGING MARKETS MINIMUM VARIANCE NR (the "Sub-Fund")
Please note that the Sub-Fund, which is currently a passively managed index tracking ETF sub-fund will become an
actively managed ETF sub-fund promoting ESG characteristics in relation to the investments with effect as from 27
August 2021 (the "Effective Date").
Please find below a table setting out the current investment policy section and the updated investment policy of the
Sub-Fund:
Current investment objective and policy (effective until 26 August New investment objective policy (effective as from
2021) 27 August 2021) (the "New Investment Objective and
Policy")
Investment objective:
The objective of the Fund is to deliver the net
total return of a selection of equities which are
listed on emerging markets while consistently
integrating environmental, social and governance
("ESG") matters.
The Fund is an actively managed UCITS ETF.
Investment policy:
In order to achieve its investment objective, the
Fund will primarily invest in all or part of the
equity securities and depositary receipts which
are selected by applying the investment strategy
described below. Alternatively, the Management
Investment objective: Company may choose an adequate proxy, including
but not limited to depositary receipts, futures,
The investment objective of OSSIAM EMERGING MARKETS MINIMUM VARIANCE depositary receipts, UCIs compliant with Article
NR fund (the "Fund") is to replicate, before the Fund's fees and 41(1)(e) of the Law of 17 December 2010 relating
expenses, the performance of the Ossiam Emerging Markets Minimum to undertakings for collective investment, as
Variance Index Net Return USD closing level. amended from time to time (up to 10%).
The Ossiam Emerging Markets Minimum Variance Index Net Return USD The Fund will be invested for a minimum of 60% in
(the "Index") is a total return index (net dividends reinvested) equities or rights issued by companies which are
expressed in USD, calculated and published by S&P Dow Jones Indices listed in emerging markets (including China and
LLC (the "Index Provider") specifically for Ossiam as a customiszed Russia). The Fund will also invest in Depositary
index. For a detailed description of the Index, see section Receipts.
"Description of the Index".
The anticipated level of tracking error in normal conditions is 1%
over a one-year period. In addition, and on an ancillary basis, the Fund
may use other derivatives for hedging and
investment purposes, as described under "Use of
Derivatives, Special Investment and Hedging
Investment policy: Techniques" in the Prospectus.
In order to achieve its investment objective, the Fund will
primarily use Index swaps with the objective of gaining exposure to
the Index through synthetic replication. In that case, the Fund will The Reference Currency of the Fund is the US
invest in a portfolio of assets, the performance of which will be Dollar.
exchanged against the performance of the Index through swap
agreements with a swap counterparty. This method implies a
counterparty risk as described in the below Risk and Reward Profile.
The portfolio of assets held by the Fund shall be permanently The Fund is actively managed and uses its
invested for a minimum of 60% in equities or rights issued by benchmark, the Solactive GBS Emerging Markets (the
companies having their registered office in OECD countries. The net "Benchmark") for asset allocation and performance
asset value per Share of the Fund will therefore increase (or comparison purposes.
decrease) according to the evolution of the Index. The counterparty
to the swaps will be a first- class financial institution that
specializses in this type of transaction. The Fund may also enter
into multiple swap agreements with multiple swap counterparties with It is foreseen that a significant portion of the
the same characteristics as previously described. In case of Fund's portfolio will be components of the
synthetic replication, an index license contract may exist between Benchmark. However, the portfolio's weightings may
the swap counterparty (ies) and the index provider; therefore, deviate significantly from those of the Benchmark.
licensing fees may be included in the swap costs.
Investment strategy:
Alternatively, the Fund may invest in all or part of the equity
securities comprised in the Index. The Fund's investment universe consists of the
securities from the Benchmark (the "Investment
Universe").
The Fund may, with due regard to the best interest of its
Shareholders, decide to switch partially or totally from one of the
above- described policies to the other (i.e. synthetic replication In order to achieve its investment objective, the
vs. physical replication). Management Company uses its proprietary
quantitative model which implements a rules-based
approach that aims to assess the securities from
the Investment Universe.
In addition, and on an ancillary basis, the Fund may use other
derivatives for hedging and investment purposes and enter into
securities lending and borrowing transactions as well as repurchase
agreement transactions, as described under "Use of Derivatives, The model uses ESG data provided by leading data
Special Investment and Hedging Techniques" in the Prospectus. providers, such as Sustainalytics or Trucost (the
"ESG Providers") as raw input to the "Normative
and Exclusion filter" to exclude securities that
are not aligned with the ESG and human rights
The investment objective of the Fund is to replicate an index which objectives of the Fund (as further detailed in the
is based on a quantitative model implementing a rules-based Transparency Code available on the Management
approach. As a result, the Management Company does not undertake any Company's website www.ossiam.com):
assessment of investments and, in particular, does not consider the
adverse impact of investment decisions on sustainability factors as - Are involved in the controversial weapon
defined in Regulation (EU) 2019/2088 of the European Parliament and business (eg, cluster munitions or chemical
of the Council of 27 November 2019 on sustainability-related weapons);
disclosures in the financial services sector (the "SFDR").
- Undergo high-risk controversies;
- Are not compliant with the Ten Principles of the
The Reference Currency of the Fund is the US Dollar. UN Global Compact;
- Have significant operations in the Tobacco or
Thermal Coal industries; or
Description of the Index:
(MORE TO FOLLOW) Dow Jones Newswires
July 26, 2021 02:12 ET (06:12 GMT)
DJ OSSIAM EMERGING MARKETS MINIMUM VARIANCE NR: -2-
- Have a significant part of their electricity
production generated from thermal coal.
General Description
The Ossiam Emerging Markets Minimum Variance Index reflects the The model also uses ESG data as inputs in its
performance of a dynamic selection of the most liquid among the quantitative model to apply a "Best-In-Class
largest stocks from the S&P/IFCI (R)Index (the "Base Index") which filter" which consists in eliminating the 20%
tracks the performance of leading companies in 20 emerging worst ESG rated stocks from the Investment
countries. Universe in each relevant bucket, such as each
sector and each country. The ESG rating that is
used for this filter is an aggregated score that
may be computed by the Management Company using
Constituents of the Index will be weighted according to an ESG granular scores (provided by ESG Providers) on
optimiszation procedure. As such, sector, company, country and key ESG indicators that are relevant to the
currency exposures in the Index will differ from those of the Base investment strategy.
Index.
Only the most liquid securities that pass the
Index Methodology Best-In-Class filter and the Normative and
Exclusion filter may be selected to constitute the
The Index composition will be reconstituted on a semi-annual basis. "Eligible Universe".
At each rebalancing date, the universe of eligible stocks is a
selection of the most liquid stocks (based on their recent average
daily traded amounts on their respective primary exchange) among the
largest companies (in terms of free float market capitaliszation) in The Management Company analyses the historical
the Base Index. volatilities of the price of each security in the
Eligible Universe as well as the historical
correlations among them. It then applies an
optimisation procedure to select and weight
The optimiszation procedure uses statistical inputs such as certain securities in order to optimise the
estimates of the historical volatility of eligible stocks and their trade-off between the expected variance and the
degree of correlation and seeks to minimisze the expected volatility expected risk-adjusted performance of the
of the Index. The resulting Index composition must comply with the resulting portfolio while complying with the
following constraints (at the time of reconstitution): following constraints (at the time of
reconstitution):
- The portfolio must be fully invested, no short
* the Index must be fully invested, selling;
* the maximum exposure to a single stock shall not exceed 3.50% of - The maximum exposure to a single stock issuer
the current value of the Index, shall not exceed 3.5% of the current value of the
portfolio;
* the maximum exposure to an industry sector shall not exceed 20% of
the current value of the Index, - The maximum difference between weights of
countries represented in the portfolio and the
* the maximum exposure to a country shall not exceed 20% of the relative weights in the Investment Universe shall
current value of the Index, not exceed 20% of the current value of the
portfolio;
* a dispersion method ensures that a significant number of stocks
are included in the Index. - Total greenhouse gas emissions shall be 50%
lower than the emissions related to the Investment
Universe;
The Index will be calculated and published on a real time and - Potential greenhouse gas emissions from reserves
end-of-day basis by the Index Provider using the latest available shall be 50% lower than the potential emissions
prices and number of units of each Index constituent. The Index related to the Investment Universe; and
Provider may adjust the number of units of each constituent due to
corporate actions (such as stock splits, stock dividends, spin-offs - ESG rating is targeted to be equal or greater
and rights offerings) in accordance with its standard methodology than the ESG rating of the Benchmark (based on ESG
for the Base Index. ratings for each company).
No fees are charged at the Index level when changes are made to the Non- financial analysis based on ESG data shall be
composition of the Index. applied on at least 90% of the resulting
portfolio.
Income derived from the Fund is distributed for distributing Shares
and reinvested for accumulating Shares, as further detailed in this In certain market conditions, the composition of
Appendix. Please refer to the Prospectus for additional information. the equities in the Eligible Universe may make it
impossible to perform the weighting optimisation
while complying exactly with the list of
constraints above. In such circumstances, the
The recommended investment horizon is 5 years. Management Company can rateably reduce some of the
constraints (for example, by gradually reducing
the 50% limit on Total greenhouse gas emissions).
The Management Company performs the rebalancing of
the Fund's portfolio on a semi-annual basis.
Capital gains and net income of the Fund will be
capitalised and no dividend will be payable to
Shareholders except for the distributing Shares
for which all or part of the capital and/or income
may be distributed once or several times a year as
may be decided by the Board of Directors. Please
refer to the Prospectus for additional
information.
The recommended investment horizon is 5 years. 2. Change of name of the Sub-Fund
As a consequence of the above changes, please note that the name of the Sub-Fund will be changed from OSSIAM EMERGING MARKETS MINIMUM VARIANCE NR to OSSIAM EMERGING MARKETS ESG LOW CARBON with effect on the Effective Date, to reflect the amended investment policy of the Sub-Fund. 3. Compliance with the provisions of Regulation (EU) 2019/2088 of the European Parliament and of the Council of 27
November 2019 on sustainability-related disclosures in the financial services sector (the "SFDR")
The SFDR defines two product categories: - Products that promote environmental and/or social characteristics ("Article 8" products), and - Products that have sustainable investment as their objective ("Article 9" products).
Please note that the Sub-Fund does not currently fall within any of the above categories.
However, as from the Effective Date, as a result of the changes to its investment objective and policy, the Sub-Fund will be in the "Article 8" category and its legal documentation includes: - Information on how environmental and/or social characteristics are met, and - If an index has been designated as a reference benchmark, information on whether and how this index is consistent
with the environmental and/or social characteristics of the Sub-Fund. 4. Compliance with AMF Position 2020-03 on the disclosure of non-financial criteria
Please note the new investment objective and policy of the Sub-Fund is aligned with the requirements set out in AMF Position 2020-03 on the information to be provided by collective investment schemes incorporating non-financial approaches, and the necessary disclosures have been made. 5. Addition of risk factors in the section "Risk and Reward Profile" of the Sub-Fund
(MORE TO FOLLOW) Dow Jones Newswires
July 26, 2021 02:12 ET (06:12 GMT)
DJ OSSIAM EMERGING MARKETS MINIMUM VARIANCE NR: -3-
Please note that the following risk factors have been added in consideration of the New Investment Policy of the Sub-Fund: - "Market Risk (from 27 August 2021)
The value of the Fund's Shares is linked to equities, the value of which may rise or fall. Hence, investors should note that the value of their investment could fall as well as rise and they should accept that there is no guarantee that the strategy of the Fund will indeed result in a return above any comparable investment strategy or that they will recover their initial investment. - ESG Risk (from 27 August 2021)
There is a risk that ESG investments may underperform the broad market. ESG information from third-party data providers may be incomplete, inaccurate or unavailable. As a result, there is a risk that the Management Company may incorrectly assess a security or issuer, resulting in the incorrect inclusion or exclusion of a security in the portfolio of a Fund."
Finally, a specific reference to the risks linked to investments in China A-Shares, in Russia and in Depositary Receipts, has been included. 6. Change of the Dealing Deadline for classes UCITS ETF 1C (USD) & UCITS ETF 1C (EUR) and 2C (EUR) of the Sub-Fund
Please note that The Dealing Deadline when a Dealing Day is a Friday will be changed from 10:15 a.m. on the prior dealing day to 10:45 a.m on the prior dealing day 7. Clarification of the continuous level of exposition to equity with respect to the German Investment Tax Act (GITA)
Please note that the Sub-Fund qualifies as an equity fund pursuant to GITA. In this respect, it has been clarified that the the continuous level of exposition to equity is at least 50%. 8. Delisting of the share classes of the Sub-Fund from Euronext Paris
As a consequence of the change from a passively managed index tracking ETF sub-fund to an actively managed ETF sub-fund, please note that the following share class of the Sub-Fund will be delisted from Euronext Paris, in line with the requirements of the Autorité des marchés financiers ("AMF") on 26 August 2021.
Share Class ISIN BBG Ticker Currency UCITS ETF 1C (EUR) LU0705291903 EMMV FP EUR
The last trading day on Euronext Paris will be on 26 August 2021.
Following the above-mentioned delisting, the share class will only be removed from Euronext Paris. If investors want to sell their positions on the secondary market, it can be made on the following stock exchanges where the share class remains listed:
Share Class ISIN BBG Ticker Currency Stock Exchange
EMMV IM EUR Borsa Italiana
UCITS ETF 1C (EUR) LU0705291903 OSX9 GY EUR Xetra
EMMV SW EUR SIX Stock Exchange
After the delisting from Euronext Paris, investors who purchased their shares on Euronext Paris and who intend to sell their holding may need to instruct their custodian or broker to transfer their shares into another stock exchange where the share class is listed prior to being able to sell their shares. Such instruction to custodians and brokers may involve additional costs to be paid by the investors. Investors who are invested through Euronext Paris should consult their custodian or broker as to the potential impact of the above delisting which may be specific to their individual case. 9. Change of Dealing Deadline of OSSIAM EUROPE ESG MACHINE LEARNING
The Dealing Deadline for the sub-fund will be amended as follows:
Previous Dealing Deadline New Dealing Deadline 3:30 pm (Luxembourg time) 3:00 pm (Luxembourg time)
]
Should you disagree with the planned changes mentioned above, you may redeem your shares, free of redemption charge until 26 August 2021 in accordance with the redemption procedure set out in the Prospectus.
The abovementioned changes will become effective as of 27 August 2021 and will be reflected in the next version of the Prospectus. Copies of the Prospectus reflecting the above changes will be available free of charge at the registered office of the Company, once available.
Any further information may be obtained by sending an email to info@ossiam.com.
Yours faithfully,
On behalf of the Company,
The Board -----------------------------------------------------------------------------------------------------------------------
ISIN: LU0705291812 Category Code: CAN TIDM: DEMV LEI Code: 549300638ZUB446T5F70 Sequence No.: 118401 EQS News ID: 1221489 End of Announcement EQS News Service =------------------------------------------------------------------------------------ Image link: https://eqs-cockpit.com/cgi-bin/fncls.ssp?fn=show_t_gif&application_id=1221489&application_name=news
(END) Dow Jones Newswires
July 26, 2021 02:12 ET (06:12 GMT)
