State Street Global Advisors Gross Roll up Unit Trust
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Annual Report and Audited Financial Statements For the year ended 30 September 2019 State Street Global Advisors Gross Roll Up Unit Trust State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2019 Contents Page Manager and Other Information 1 Background Information 2 Investment Manager’s Report 4 Statement of Manager’s Responsibilities 8 Report of the Depositary to the Unitholders 10 Independent Auditors’ Report to the Unitholders of State Street Global Advisors Gross Roll Up Unit Trust 11 Statement of Comprehensive Income 14 Statement of Financial Position 19 Statement of Changes in Equity 24 Notes to the Financial Statements 29 Schedule of Investments 48 Significant Portfolio Changes (Unaudited) 95 Appendix 1 Remuneration Information (Unaudited) 101 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2019 Manager and Other Information Manager Sub Investment Manager and Distributor State Street Global Advisors Fund Management Limited State Street Global Advisors Limited 78 Sir John Rogerson’s Quay 20 Churchill Place Dublin 2 London Ireland E14 5HJ United Kingdom Directors of the Manager* Eric Linnane (Irish) Depositary Ann Prendergast (Irish) Northern Trust Fiduciary Services (Ireland) Limited William Street (British) (resigned 30 July 2019) Georges Court Nigel Wightman (British)** 54 – 62 Townsend Street Bryan Greener (British) Dublin 2 Scott Sanderson (British) Ireland Margaret Cullen (Irish)** Administrator, Registrar and Transfer Agent Investment Manager and Global Distributor Northern Trust International Fund Administration State Street Global Advisors Ireland Limited Services (Ireland) Limited 78 Sir John Rogerson’s Quay Georges Court Dublin 2 54 – 62 Townsend Street Ireland Dublin 2 Ireland Independent Auditors Deloitte Ireland LLP Legal Advisers Chartered Accountants and Statutory Audit Firm Matheson Deloitte & Touche House 70 Sir John Rogerson’s Quay Earlsfort Terrace Dublin 2 Dublin 2 Ireland Ireland * All Directors of the Manager serve in a non-executive capacity. ** Independent Director. State Street Global Advisors Gross Roll Up Unit Trust 1 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2019 Background Information Capitalised terms used herein shall have the same meaning as capitalised terms used in the Prospectus and the Supplements to the Prospectus, unless otherwise defined herein. Organisation State Street Global Advisors Gross Roll Up Unit Trust (the “Trust”), an open-ended unit trust, was created by a Trust Deed dated 17 October 2003. It is authorised by the Central Bank of Ireland (the “Central Bank”), pursuant to the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended) (the “UCITS Regulations”) and the Central Bank (Supervision Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) regulations 2019 (as amended) (the “Central Bank UCITS Regulations”). The Trust is structured as an umbrella fund so that different Sub-Funds may be established with the prior approval of the Central Bank. In addition, each Sub-Fund may have more than one unit class. 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. The Trust currently comprises of five Sub-Funds (each a ‘Sub-Fund’ or the ‘Sub-Funds’): Sub-Fund Launch Date SSGA GRU Euro Index Equity Fund 10 December 2003 SSGA GRU World Ex Euro Index Equity Fund 10 December 2003 SSGA GRU EMU Bond Index Fund 10 December 2003 SSGA GRU Euro Cash Fund 10 December 2003 SSGA GRU Euribor Plus Fund 18 July 2014 The base currency of these five Sub-Funds is the Euro. Investment Objective SSGA GRU Euro Index Equity Fund The investment objective of the Sub-Fund is to track as closely as reasonably possible the performance of the Benchmark Index, the FTSE Developed Eurozone Index (the “Index”). The Index is a market capitalisation-weighted benchmark of equity securities listed or traded on regulated markets in the Eurozone, comprising approximately 315 stocks which are weighted by the total market capitalisation of the countries comprised in the Index, and by the market capitalisation of stocks within individual countries. The Index is priced daily and is available on Bloomberg, Reuters and other principal information providers. In order to achieve this objective the Sub-Fund will invest primarily in equity securities in the Index, which are traded on regulated markets, mainly in Europe, subject to the restrictions set forth in the Prospectus. SSGA GRU World Ex Euro Index Equity Fund The investment objective of the Sub-Fund is to track as closely as reasonably possible the performance of the Benchmark Index, the FTSE Developed ex Eurozone Index (the “Index”). The Index is comprised of approximately 1,865 stocks which are weighted by the total market capitalisation of stocks of the countries comprised in the Index and by the market capitalisation within individual countries. The Index is priced daily and is available on Bloomberg, Reuters and other principal information providers. In order to achieve this objective, the Sub-Fund will invest primarily in equity securities in the Index, which are traded on regulated markets, mainly on a global basis, subject to the restrictions set forth in the Prospectus. SSGA GRU EMU Bond Index Fund The investment objective of the Sub-Fund is to track as closely as reasonably possible the performance of the FTSE EMU Government Bond Index 1-3 Years (the “Index”). The Index tracks the performance of Euro denominated sovereign debt issued by countries that are members of the European Monetary Union (“EMU”). The Index consists of qualifying securities with a maturity greater than or equal to 1 year and less than 3 years. The Index is market capitalisation weighted and is rebalanced once a month. The Index is priced daily and is available on Bloomberg, Reuters and other principal information providers. In order to seek to achieve this investment objective, the Sub-Fund will invest, using sampling methodology, primarily in the securities in the Index, at all times in accordance with the UCITS Regulations and the investment restrictions set out in the Prospectus. State Street Global Advisors Gross Roll Up Unit Trust 2 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2019 Background Information (Continued) SSGA GRU Euro Cash Fund The investment objectives of the Sub-Fund are to maintain a high level of liquidity, preserve capital and stability of principal and, consistent with those objectives, earn current income. The Sub-Fund will invest in a wide range of transferable securities including deposits, certificates of deposit, floating rate notes, commercial paper and bonds with a diversified spread of high quality financial institutions, all of which will be traded on the regulated markets. All investments will, at the time of purchase, have received an investment grade rating from Moody’s Investors Services and from Standard & Poors respectively. If such investments held by the Sub-Fund are re-rated as below investment grade, they will be sold within six months of such re-rating. SSGA GRU Euribor Plus Fund The investment objective of the Sub-Fund is to achieve enhanced cash returns in excess of the BofA Merrill Lynch Euro Currency 3-Month LIBID Constant Maturity Index (the “Index”) by using a fundamental macro and credit research approach. The Index is based on the assumed purchase of a hypothetic instrument having three months to maturity with a coupon equal to the closing quote for the Index. That issue is sold the following day (priced at a yield equal to the current day closing of the Index) and is rolled into a new three month instrument. The Index will therefore always have a constant maturity equal to exactly three months. State Street Global Advisors Gross Roll Up Unit Trust 3 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2019 Investment Manager’s Report Market Review Fixed Income Review During the 12-month period to 30 September 2019 (the “Reporting Period”), the Eurozone economy slowed to 0.2% in the fourth quarter of 2018, the weakest growth rate since the second quarter of 2014, recovered to 0.4% in Q1 of 2019 followed by a slowdown to 0.2% again by Q2 of 2019. According to a preliminary estimate released by Eurostat, GDP increased a seasonally-adjusted 0.2% in Q3 2019. This slowdown in growth mainly reflects the prevailing weakness of international trade in an environment of prolonged global uncertainties, which are particularly affecting the euro area manufacturing sector. Business sentiment mostly remained cautious throughout the period. Even as the Ifo business climate index inched higher in September 2019, it remains near five-year lows. Similarly, the ZEW Economic Sentiment Index has recovered from its lowest level observed since 2011, but current readings remain depressed. Measures of underlying inflation remained generally muted, and indicators of inflation expectations stand at low levels. While labour cost pressures increased amid high levels of capacity utilisation and tightening labour markets, their pass-through to inflation is taking longer than previously anticipated. The headline inflation measure Consumer Price Index (“CPI”) grew at 1.0%, while core inflation grew at 0.9% year on year. As economic data in the region remained weak over the period and prices increased at a rate well below the European Central Bank’s (ECB) expectations, the ECB eased monetary policy further in September. The policy adjustments were largely in line with what the market had anticipated, as the ECB cut its key interest rate 10 bps further into negative territory to -0.50% and reinstituted its quantitative easing program by targeting €20bn in bond purchases per month.