State Street Global Advisors Luxembourg Sicav
Total Page：16
File Type：pdf, Size：1020Kb
Unaudited Semi-Annual Report For the period ended 30 June 2021 STATE STREET GLOBAL ADVISORS LUXEMBOURG SICAV Société d'Investissement à Capital Variable No subscriptions can be received on the basis of the financial report alone. Subscriptions are only valid if made on the basis of the current Prospectus supplemented by a copy of the latest available Annual Report and a copy of the latest available Semi-Annual Report, if published later than the Annual Report. RCS Number B141816 State Street Global Advisors Luxembourg SICAV Semi-Annual Report and Unaudited Financial Statements 2021 Table of Contents Page Directors and Administration 1 Combined Statement of Net Assets 2 Combined Statement of Operations 10 Combined Statement of Changes in Net Assets 18 Statistical Information 26 Schedules of Investments State Street Euro Core Treasury Bond Index Fund 36 State Street EMU Government Bond Index Fund 38 State Street EMU Government Long Bond Index Fund 44 State Street Euro Inflation Linked Bond Index Fund 46 State Street Euro Corporate Bond ESG Screened Index Fund 47 State Street Euro Corporate ex-Financials Bond Index Fund 94 State Street Euro Sustainable Corporate Bond Index Fund 109 State Street Euro Issuer Scored Corporate Bond ESG Screened Index Fund 140 State Street US Corporate Bond ESG Screened Index Fund 148 State Street US Issuer Scored Corporate Bond ESG Screened Index Fund 170 State Street Global Treasury Bond Index Fund 183 State Street Global Aggregate Bond Index Fund 222 State Street Australia Index Equity Fund 368 State Street Canada Index Equity Fund 370 State Street Japan ESG Screened Index Equity Fund 372 State Street Switzerland Index Equity Fund 376 State Street UK Index Equity Fund 377 State Street US ESG Screened Index Equity Fund 379 State Street EMU ESG Screened Index Equity Fund 387 State Street Europe ESG Screened Index Equity Fund 391 State Street Pacific Ex-Japan ESG Screened Index Equity Fund 397 State Street World ESG Screened Index Equity Fund 399 State Street World ESG Index Equity Fund 420 State Street Global Emerging Markets ESG Screened Index Equity Fund 438 State Street Flexible Asset Allocation Plus Fund 453 State Street Europe Value Spotlight Fund 459 State Street Eurozone Value Spotlight Fund 460 State Street US Value Spotlight Fund 461 State Street Asia Pacific Value Spotlight Fund 462 State Street Global Value Spotlight Fund 463 State Street Multi-Factor Global ESG Equity Fund 465 State Street Europe ESG Screened Enhanced Equity Fund 469 State Street North America ESG Screened Enhanced Equity Fund 474 State Street Global ESG Screened Enhanced Equity Fund 478 State Street Emerging Markets SRI Enhanced Equity Fund 485 State Street Emerging Markets ESG Screened Enhanced Equity Fund 494 State Street Global Advisors Luxembourg SICAV Semi-Annual Report and Unaudited Financial Statements 2021 Table of Contents (continued) Page Schedules of Investments (continued) State Street EMU ESG Screened Equity Fund 504 State Street Europe Small Cap ESG Screened Equity Fund 506 State Street Emerging Asia ESG Screened Equity Fund 509 State Street Emerging Markets Select ESG Screened Equity Fund 512 State Street Emerging Markets Small Cap ESG Screened Equity Fund 516 State Street Europe ESG Screened Managed Volatility Equity Fund 523 State Street Global ESG Screened Managed Volatility Equity Fund 525 State Street Global ESG Screened Defensive Equity Fund 528 State Street Europe ESG Screened Defensive Equity Fund 530 State Street Global Treasury 1-10 Year Bond Index Fund 532 State Street Emerging Markets Local Currency Government Bond Index Fund 559 State Street Emerging Markets Opportunities Equity Fund 566 State Street Global Opportunities Equity Fund 568 State Street Sustainable Climate US Corporate Bond Fund 569 State Street Sustainable Climate Euro Corporate Bond Fund 585 State Street Global High Yield Bond ESG Screened Index Fund 598 Notes to the Financial Statements 635 Appendix I - Index Tracking Error 676 Appendix II - Note for investors in Switzerland 678 Appendix III - Securities Financing Transactions 683 State Street Global Advisors Luxembourg SICAV Semi-Annual Report and Unaudited Financial Statements 2021 Directors and Administration BOARD OF DIRECTORS OF THE COMPANY Alex Joseph Castle, Chairman, Senior Managing Director, State Street Global Advisors Limited Tracey McDermott, Independent Director John Li How Cheong, Independent Director Bryan Greener, Managing Director, State Street Global Advisors Limited (until 26 March 2021) Vanessa Donegan, Independent Director Eric Linnane, Managing Director, State Street Global Advisors Limited (appointed 26 March 2021) THE COMPANY CENTRAL ADMINISTRATION, DEPOSITARY, State Street Global Advisors Luxembourg SICAV PRINCIPAL PAYING AGENT, TRANSFER AGENT 49, Avenue J.F. Kennedy AND DOMICILIARY AGENT L-1855 Luxembourg Luxembourg State Street Bank International GmbH, Luxembourg Branch MANAGEMENT COMPANY 49, Avenue J.F. Kennedy State Street Global Advisors Europe Limited* L-1855 Luxembourg 78 Sir John Rogerson's Quay Luxembourg Dublin 2 Ireland SECURITIES LENDING AGENTS *The Management Company changed its name from State Street State Street Bank and Trust Company Global Advisors Funds Management Limited to State Street Global Copley Place Advisors Europe Limited on 17 May 2021. 100, Huntington Avenue INVESTMENT MANAGER Boston State Street Global Advisors Limited Massachusetts 02116 20 Churchill Place USA Canary Wharf State Street Bank International GmbH, London E14 5HJ London Branch United Kingdom 20 Churchill Place SUB-INVESTMENT MANAGERS Canary Wharf State Street Global Advisors Trust Company London E14 5HJ Channel Center United Kingdom 1 Iron Street, Boston Massachusetts 02210 LEGAL ADVISER United States Arendt & Medernach 41A, Avenue J.F. Kennedy State Street Global Advisors Ireland Limited L-2082 Luxembourg 78 Sir John Rogerson's Quay, Luxembourg Dublin 2 Ireland HONG KONG REPRESENTATIVE State Street Global Advisors Asia Limited GLOBAL DISTRIBUTOR 68th Floor, State Street Global Advisors Ireland Limited Two International Finance Centre, 78 Sir John Rogerson's Quay 8 Finance Street, Central, Dublin 2 Ireland Hong Kong AUDITOR PricewaterhouseCoopers, Société coopérative 2, rue Gerhard Mercator L-2182 Luxembourg Luxembourg State Street Global Advisors Luxembourg SICAV 1 State Street Global Advisors Luxembourg SICAV Semi-Annual Report and Unaudited Financial Statements 2021 Combined Statement of Net Assets State Street State Street State Street State Street State Street EMU EMU State Street Euro Corporate Euro Corporate Euro Core Government Government Euro Inflation Bond ESG ex-Financials Treasury Bond Bond Index Long Bond Linked Bond Screened Index Bond Index Combined Index Fund Fund Index Fund Index Fund(a) Fund(a),(b) Fund EUR EUR EUR EUR EUR EUR EUR As at 30 June 2021 Notes ASSETS Investments in securities, at market value 2c 28,840,438,399 641,857,566 549,782,256 46,652,190 146,139,182 1,961,478,102 100,720,732 Cash and liquid assets 383,498,272 446,107 793,564 67,902 106,725 2,225,726 39,443 Dividend and interest receivable 2h 119,580,496 4,588,406 3,985,388 427,789 842,792 12,245,046 621,510 Receivable for investment securities sold 27,475,933 – – – 525,914 16,771,455 – Receivable for fund shares sold 18,502,938 931,224 440,471 51,578 2,000 764,093 – Reimbursement receivable from Investment Manager 3b 708,265 5,889 176,035 2,010 – 40,288 – Unrealised appreciation on forward foreign exchange contracts 2g 648,877 – – – – – – Unrealised appreciation on share class specific forward currency contracts 2g 39,449,591 – – – – – – Unrealised appreciation on futures contracts 2e 1,582,901 – – – – – – Other assets 1,154,627 8,492 20,833 10,192 9,792 – 21,972 Total Assets 29,433,040,299 647,837,684 555,198,547 47,211,661 147,626,405 1,993,524,710 101,403,657 LIABILITIES Bank overdraft 1,328,857 – – – – – – Payable for investment securities purchased 100,923,737 907,450 342,548 30,447 – 8,881,029 – Payable for shares redeemed 3,393,719 93,857 37,573 – – 120,188 – Accrued expenses and other liabilities 9,960,620 138,647 467,402 61,642 65,379 411,210 62,406 Investment Manager fees payable 3b 5,195,870 45,442 52,259 5,744 18,870 152,097 18,452 Unrealised depreciation on forward foreign exchange contracts 2g 94,089 – – – – – – Unrealised depreciation on share class specific forward currency contracts 2g 94,439,552 – – – – – – Unrealised depreciation on futures contracts 2e 1,472,699 – – – – – – Total Liabilities 216,809,143 1,185,396 899,782 97,833 84,249 9,564,524 80,858 TOTAL NET ASSETS 29,216,231,156 646,652,288 554,298,765 47,113,828 147,542,156 1,983,960,186 101,322,799 (a) Sub-fund subject to swing pricing adjustment. Please refer to note 2K. (b) This Sub-fund changed name during this period. Please refer to Note 14 for further details. The accompanying notes are an integral part of these financial statements. State Street Global Advisors Luxembourg SICAV 2 State Street Global Advisors Luxembourg SICAV Semi-Annual Report and Unaudited Financial Statements 2021 Combined Statement of Net Assets (continued) State Street State Street Euro Issuer State Street US Euro Scored State Street US Issuer Scored State Street State Street Sustainable Corporate Bond Corporate Bond Corporate Bond Global Treasury Global State Street Corporate Bond ESG Screened ESG Screened ESG Screened Bond Index Aggregate Bond Australia Index Index Fund(a) Index Fund(b) Index Fund(b) Index Fund(a),(b) Fund(a) Index Fund Equity Fund EUR EUR USD USD USD USD AUD As at 30 June 2021 Notes ASSETS Investments