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1
Information Classification: Limited Access
State Street Emerging Markets Tilted Hard Currency
Government Bond Index Fund
Website disclosure for an Article 8 fund
A. Summary
The State Street Emerging Markets Tilted Hard Currency Government Bond Fund (“ Fund ”) is an index fund tracking the performance of the J.P. Morgan Screened Tilted and Reweighted EMBI Global Diversified (“ Index ”). The Index has been designated for the purpose of attaining the environmental and social characteristics promoted by the Fund. The environmental and social characteristics promoted by the Fund is the Index designated by the Fund and more specifically the J.P. Morgan Screened Tilted and Reweighted (“ JSTAR ”) issuer scores which are used in the Index construction. In addition, the Index excludes issuers based on their ESG characteristics, considering both their JSTAR scores and their involvement with certain business activities as outlined in the Index methodology.
The Fund promotes environmental or social characteristics, but does not have as its objective a sustainable investment.
The environmental and social characteristics promoted by the Fund is the Index designated by the Fund and more specifically the JSTAR issuer scores which are used in the Index construction.
The investment policy of the Fund is to track the performance of the Index as closely as possible using the Stratified Sampling Strategy as further described in the “Investment Strategies” section of the Prospectus, while seeking to minimise as far as possible the tracking difference between the Fund’s performance and that of the Index. The Fund will seek to build a representative portfolio that matches the risk and return characteristics of the applicable Index in the most efficient way, including, but not limited to, risks related to currencies, countries, sectors, quality, maturity duration and issuers. Consequently, a Fund using this strategy will typically hold only a subset of the securities included in the Index. The requirement to assess good governance does not apply to government bonds.
The Investment Manager employs a binding sustainable investing methodology which aims to build a portfolio where at least 90% of the Fund’s assets are invested in securities which are aligned with environmental and social characteristics promoted by y the Fund. The remaining portion (<10%) of the portfolio will not be aligned with the promoted environmental and social characteristics. To the extent that the Fund may use financial derivative instruments, these will not be used to attain the environmental or social characteristics promoted by the Fund.
The Fund does not commit to making sustainable investments within the meaning of the SFDR or the Taxonomy Regulation .
Page 2
2
Information Classification: Limited Access
The proportion of the Fund’s portfolio invested in securities included in the Index will constitute sustainability indicator used to measure the attainment of each of t the environmental or social characteristics promoted by the Fund.
The link to the Index methodology which captures the environmental or social characteristics promoted by the Fund is made available in the Relevant Supplement and is included below.
The data sources used to attain the relevant environmental or social characteristics are detailed in the Index methodology.
There is a risk that the index provider may make errors, such as incorrect assessment of the screen criteria described in the Investment Policy and/or include incorrect/exclude correct constituents in the screening process. Sustainable investing data may be based on certain assumptions, forecasts, projections, views and opinions which may be based on current market trends or anticipated future events. Given the developing and innovative nature of data models, methodologies and assumptions and the inherent uncertainty in predicting forward-looking events, it cannot be guaranteed that the sustainable investing data is always accurate or correct or that the sustainable investing data will satisfy the aims or requirements of any specific client or investor. Furthermore, there may be data that cannot be sourced due to the lack of availability of data sources. For certain markets and types of companies or securities there may be significant limitations in the amount of screening data that is available or no screening data may be available such that no screening is performed. In certain situations where screening data is not available for a company or a security, the screen provider may, as a proxy, use data relating to a different entity to the company, which presents a risk this data may not accurately reflect the sustainability or other characteristics of the relevant company
State Street Investment Management oversees external vendors, including index providers, in line with its third party risk management programme. State Street Investment Management engages with index providers regularly for service level reviews and also undertakes targeted reviews of index providers’ processes, systems & systems cont rols, data, quality controls & IT security.
Engagement policies are not directly embedded into the Fund’s investment strategy. . Proxy voting and engagement activities are conducted pursuant to the terms of the Sustainability Stewardship Service Proxy Voting and Engagement Policy.
The Fund has designated the Index for the purpose of attaining environmental and social characteristics promoted by the Fund. The Index methodology provides for ongoing review and rebalances on the last U.S. business day of the month.
Please refer to J.P. Morgan Screened Tilted and Reweighted EMBI Global Diversified methodology:
https://www.jpmorgan.com/country/US/en/jpmorgan/ investbk/solutions/research/indices/product
For further information and details please refer to the relevant sections below, the Prospectus and Relevant Supplement.
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3
Information Classification: Limited Access
B. No sustainable investment objective
The Fund promotes environmental or social characteristics, but does not have as its objective a sustainable investment.
C. Environmental or social char acteristics of the financial product
The State Street Emerging Markets Tilted Hard Currency Government Bond Fund is an index fund tracking the performance of the J.P. Morgan Screened Tilted and Reweighted EMBI Global Diversified . The environmental and social characteristics promoted by the Fund is the Index designated by the Fund and more specifically the J.P. Morgan Screened Tilted and Reweighted (JSTAR) issuer scores which are used in the Index construction.
In addition, the Index excludes issuers based on their ESG characteristics, considering both their JSTAR scores and their involvement with certain business activities as outlined in the Index methodology.
D. Investment Strategy
The investment policy of the Fund is to track the performance of the Index as closely as possible using the Stratified Sampling Strategy as further described in the “Investment Strategies” section of the Prospectus, while seeking to minimise as far as possible the tracking difference between the Fund’s performance and that of the Index. The Fund will seek to build a representative portfolio that matches the risk and return characteristics of the applicable Index in the most efficient way, including, but not limited to, risks related to currencies, countries, sectors, quality, maturity duration and issuers. Consequently, a Fund using this strategy will typically hold only a subset of the securities included in the Index.
Securities in the Fund are selected primarily from the constituents of the Index. The Fund also may, in exceptional circumstances, invest in securities not included in the Index but that are believed to closely reflect the risk and distribution characteristics of securities of the Index. The Index measures the performance of investible local currency emerging markets government bonds. The Index applies an ESG scoring and screening methodology using the JSTAR issuer scores to tilt the Index constituents towards issuers ranked higher on ESG criteria and green bond issues, and to underweight and remove issuers that rank lower.
The requirement to assess good governance does not apply to government bonds.
Page 4
4
Information Classification: Limited Access
E. Proportion of investments
The Investment Manager employs a binding sustainable investing methodology which aims to build a portfolio where at least 90% of the Fund’s assets are invested in securities which are aligned with environmental and social characteristics promoted by the Fund. The remaining portion (<10%) of the portfolio will not be aligned with the promoted environmental and social characteristics.
To the extent that the Fund may use financial derivative instruments, these will not be used to attain the environmental or social characteristics promoted by the Fund.
The Fund does not commit to making sustainable investments within the meaning of the SFDR or the Taxonomy Regulation.
F. Monitoring of environmenta l or social characteristics
The sustainability indicators used to measure the attainment of each of the environmental or social characteristics promoted by the Fund are the JSTAR ratings and exclusions and negative screens produced by the Index provider and incorporated into the index construction methodology. The proportion of the Fund’s portfolio invested in securities included in the Index will constitute sustainability indicator used to measure the attainment of each of the environmental or social characteristics promoted by the Fund.
The Fund rebalances on a monthly basis, in line with the Index rebalancing frequency.
G. Methodologies
The link to the Index methodology which captures the environmental or social characteristics promoted by the Fund is made available in the Relevant Supplement and in Section L below.
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5
Information Classification: Limited Access
H. Data sources and processing
The data sources used to attain the relevant environmental or social characteristics are detailed in the Index methodology.
I. Limitations to methodologies and data
There is a risk that the index provider may make errors, such as incorrect assessment of the screen criteria described in the Investment Policy and/or include incorrect/exclude correct constituents in the screening process. Sustainable investing scoring and screening is subject to inherent methodological limitations. Any assessment of sustainable investing criteria by an Index is based on the data provided by third parties. Such assessments are dependent upon information and data that may be incomplete, inaccurate or unavailable, which could cause incorrect assessment of a company’s sustainable investing performance. In particular ther e may be potential inconsistencies, inaccuracy or a lack of availability of required sustainable investing data, particularly where this is issued by external data providers. These limitations may include but are not limited to issues relating to:
• missing or incomplete data from companies (for r example, relating to their capacity to manage their Sustainability Risks) which have been used as input for any scoring model;
• the identification of relevant factors for the sustainable investing analysis; and
• the quantity and quality of sustainable investing data to be processed.
Sustainable investing data may be based on certain assumptions, forecasts, projections, views and opinions which may be based on current market trends or anticipated future events. To assess company involvement in different activities and to estimate revenue shares as accurately as possible, data providers strive to obtain information directly from companies and issuers. Sources of data include annual reports, regulatory filings, sustainability reports, press releases, investor presentations, company websites, and other r company disclosures. Given the developing and innovative nature of data models, methodologies and assumptions and the inherent uncertainty in predicting forward-looking events, it cannot be guaranteed that the sustainable investing data is always accurate or correct or that the sustainable investing data will satisfy the aims or requirements of any specific client or investor. Furthermore, there may be data that cannot be sourced due to the lack of availability of data sources. For certain markets and types of issuers, companies or securities there may be significant limitations in the amount of sustainable investing data that is available or no sustainable investing data may be available such that no screening is performed by the index provider. In certain situations where screening data is not available for an issuer, an investee company or a security, the index provider may develop and use alternative screening methodologies, as a proxy, use data relating to a different entity to the issuer or the investee company, which presents a risk that this data may not accurately reflect the sustainability or other characteristics of the issuer or the investee company. In certain situations, even where screening data is available it
Page 6
6
Information Classification: Limited Access
may not be used as part of the index provider’s screening process. It is not expected that such limitations would affect how the environmental and social characteristics promoted by the Fund are met.
J. Due diligence
State Street Investment Management oversees ex ternal vendors, including index providers, in line with its third party risk management programme. State Street Investment Management engages with index providers regularly for service level reviews and also undertakes targeted reviews of index providers’ processes, systems & systems cont rols, data, quality controls & IT security.
K. Engagement policies
Is engagement part of the environmental or social investment strategy?
☐ Yes
☒ No
While engagement policies are not directly embedded into the Fund’s investment strategy, proxy voting and engagement activities in respect of securities held by the Fund are conducted pursuant to the terms of the Sustainability Stewardship Service Proxy Voting and Engagement Policy (the “ Sustainability Policy ”). The Sustainability Policy focuses on risks and opportunities that may impact long-term value creation, with a focus on sustainability priorities such as climate change, nature, human rights and diversity.
L. Reference benchmark
Has a reference benchmark been designated for the purpose of attaining these characteristics promoted by the Fund?
☒ Yes
☐ No
The Fund is an index fund tracking the performance of the J.P. Morgan Screened Tilted and Reweighted Emerging Markets Bond Index. The Index has been designated for the purpose of attaining the environmental and social characteristics promoted by the Fund. The Index applies an
Page 7
7
Information Classification: Limited Access
ESG scoring and screening methodology using the JSTAR issuer scores and JSTAR ethical exclusions and negative screening to tilt towards issuers ranked higher on ESG criteria and green bond issues, and to underweight and remove issuers that rank lower.
The Index methodology provides for ongoing review and rebalances on the last U.S. business day of the month.
Please refer to J.P. Morgan Screened Tilted and Reweighted EMBI Global Diversified methodology:
https://www.jpmorgan.com/country/US/en/jpmorgan/ investbk/solutions/research/indices/product
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"text": "constituents towards issuers ranked higher on ESG criteria and green bond issues, and to"
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"text": "Information Classification: Limited Access"
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"text": "E. Proportion of investments"
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"text": "The Investment Manager employs a binding sustainable"
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"text": "investing methodology which aims to build a"
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"text": "portfolio where at least 90% of the Fund\u2019s assets are invested in securities which are aligned with"
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"text": "environmental and social characteristics promoted"
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"text": "by the Fund. The remaining portion (\u003c10%) of the"
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"text": "portfolio will not be aligned with the promoted environmental and social characteristics."
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"text": "To the extent that the Fund may use financial derivative instruments, these will not be used to attain"
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"text": "the environmental or social characteristics promoted by the Fund."
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"text": "The Fund does not commit to making sustainable investments within the meaning of the SFDR or the"
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"text": "Taxonomy Regulation."
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"text": "F. Monitoring of environmenta"
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"text": "l or social characteristics"
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"text": "The sustainability indicators used to measure the attainment of each of the environmental or social"
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"text": "characteristics promoted by the Fund are the JSTAR ratings and exclusions and negative screens"
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"text": "produced by the Index provider and incorporated into the index construction methodology. The"
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"text": "proportion of the Fund\u2019s portfolio invested in securities included in the Index will constitute"
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"text": "sustainability indicator used to measure the attainment of each of the environmental or social"
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"text": "characteristics promoted by the Fund."
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"text": "The Fund rebalances on a monthly basis, in line with the Index rebalancing frequency."
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"text": "G. Methodologies"
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"text": "The link to the Index methodology which captures the environmental or social characteristics"
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"text": "promoted by the Fund is made available in the Relevant Supplement and in Section L below."
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"text": "H. Data sources and processing"
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"text": "The data sources used to attain the relevant environmental or social characteristics are detailed in"
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"text": "I. Limitations to methodologies and data"
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"text": "There is a risk that the index provider may make errors, such as incorrect assessment of the screen"
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