DJ OSSIAM iSTOXX EUROPE MINIMUM VARIANCE NR: Restructuration of the sub-fund OSSIAM iSTOXX(R) EUROPE MINIMUM VARIANCE NR
OSSIAM iSTOXX EUROPE MINIMUM VARIANCE NR UCITS ETF (EUMV)
OSSIAM iSTOXX EUROPE MINIMUM VARIANCE NR: Restructuration of the sub-fund OSSIAM iSTOXX(R) EUROPE MINIMUM VARIANCE NR
14-Apr-2021 / 09:46 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, April 14, 2021
London Stock Exchange
10 Paternoster Sq.,
London EC4M 7LS,
The Uniyted Kingdom
NOTICE TO THE MARKET
Re: Restructuration of the sub-fund OSSIAM iSTOXX(R) EUROPE MINIMUM VARIANCE NR (the "Sub-Fund"), Share Class
UCITS ETF 1C (EUR), ISIN code LU0599612842
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 in relation to the Sub-Fund:
1. Amendment to the investment objective and policy of 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 22 May
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 21 New investment objective and policy (effective as from 22
May 2021) May 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 in
Europe.
The Fund is an actively managed UCITS ETF.
Investment policy:
In order to achieve its investment objective, the Fund
can use total return swaps with the objective of
delivering synthetically the performance of a portfolio
of equities which are selected and weighted as detailed
under the investment strategy. This method implies a
counterparty risk as described in the below Risk and
Reward Profile. The net asset value per share of the Fund
will therefore increase (or decrease) according to the
evolution of the portfolio of equities. The counterparty
to the swaps will be a first class financial institution
that specializes in this type of transaction. The Fund
may also enter into multiple swap agreements with
multiple swap counterparties with the same
characteristics as previously described.
Alternatively, the Fund can invest directly in all or
part of the equity securities which are selected by
applying the investment strategy described below.
Investment objective:
In any case, the Fund will be invested in for a minimum
The Fund's objective is to replicate, before the Fund's fees of 75% in equities or rights issued by companies having
and expenses, the performance of the iSTOXX(R) Europe Minimum their registered office in the European Economic Area,
Variance Index Net Return closing level. excluding Liechtenstein.
The iSTOXX(R) Europe Minimum Variance Index Net Return (the In addition and on an ancillary basis, the Fund may use
"Index", ISIN: CH0124001543 ) is a total return index (net other derivatives for hedging and investment purposes as
dividends reinvested) expressed in EUR, calculated and described under "Use of Derivatives, Special Investment
published by STOXX (the "Index Provider") and initiated by and Hedging Techniques" in the Prospectus.
Ossiam. For a detailed description of the Index, see section
"Description of the Index".
The Reference Currency of the Fund is the Euro.
The anticipated level of tracking error in normal conditions The Fund is actively managed and will only use its
is 0.50% over a one-year period. benchmark, the Solactive Europe 600 Index NTR (the
"Benchmark") for performance and carbon emission
comparison purposes. The Fund's portfolio composition is
therefore not constrained by the Benchmark.
Investment policy:
In order to achieve its investment objective, the Fund will
primarily use index swaps with the objective of gaining The Management Company may invest in securities not
exposure to the Index through synthetic replication. In that included in the Benchmark based on the active Investment
case, the Fund will invest in a portfolio of assets, the Strategy further described below. The Fund's holdings may
performance of which will be exchanged against the deviate significantly from the Benchmark's constituents,
performance of the Index through swap agreements with a swap as the Benchmark will not be used as a universe from
counterparty. This method implies a counterparty risk as which to select securities.
described in the below Risk and Reward Profile. The net asset
value per Share of the Fund will therefore increase (or
decrease) according to the evolution of the Index. The
counterparty to the swaps will be a first class financial Investment strategy:
institution that specializes in this type of transaction. The
Fund may also enter into multiple swap agreements with
multiple swap counterparties with the same characteristics as
previously described. In case of synthetic replication, an The Fund seeks to achieve its investment objective by
index license contract may exist between the swap investing primarily in a dynamic selection of equities
counterparty (ies) and the index provider; therefore, listed in Europe (the "Investment Universe"). The
licensing fees may be included in the swap costs. Investment Universe is made up of the largest stocks with
ESG (Environment, Social, Governance) data which are
listed and traded on the major exchanges including but
not limited to the following countries: Austria, Belgium,
Alternatively, the Fund may invest in all or part of the Czech Republic, Denmark, Finland, France, Germany,
equity securities comprised in the Index. Ireland, Italy, Netherlands, Norway, Portugal, Spain,
Sweden, Switzerland, the United Kingdom. The list of
countries can be changed from time to time to take into
account structural changes in each market.
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 vs. physical replication). In order to achieve its investment objective, the
Management Company uses a quantitative model which
implements a rules-based approach that aims to assess the
securities from the Investment Universe.
In both replication strategies, the Fund shall be permanently
invested for a minimum of 75% in equities securities or
rights issued by companies having their registered office in
the European Economic Area, excluding Liechtenstein. The model uses ESG (Environment, Social, Governance) data
provided by leading data providers, such as
Sustainalytics or Trucost, (the "ESG Providers") as
inputs in its quantitative model to first apply, to 90%
In addition and on an ancillary basis, the Fund may use other minimum of the portfolio, an "Ethical Filter" to exclude
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DJ OSSIAM iSTOXX EUROPE MINIMUM VARIANCE NR: -2-
derivatives for hedging and investment purposes and enter securities from the Investment Universe that:
into securities lending and borrowing transactions as well as
repurchase agreement transactions, as described under "Use of
Derivatives, Special Investment and Hedging Techniques" in
the Prospectus. - undergo high-risk controversies;
- are involved in controversial weapons business (e.g.,
cluster munitions or chemical weapons);
The Reference Currency of the Fund is the Euro.
- have significant operations in the tobacco or coal
industries (based on an assessment by the ESG Providers);
Description of the Index: - are not compliant with the Ten Principles of the UN
Global Compact (https://www.unglobalcompact.org/
what-is-gc/mission/principles);
General Description - are referenced in major Scandinavian institutions'
(such as Norges Bank) publicly available exclusion lists;
The iSTOXX(R) Europe Minimum Variance Index reflects the or
performance of a dynamic selection of the 300 most liquid
stocks from the STOXX(R) Europe 600 Index (the "Base Index") - for stocks that are involved in the electricity
which tracks the performance of 600 leading companies in production sub-sector, those that have more than 20% of
major European industries in 18 European countries. their production from coal-fired plants.
Constituents of the Index will be weighted according to an Securities that pass the Ethical Filter are then screened
optimization procedure performed by the Index Provider. As through a liquidity filter (the "Liquidity Filter") to
such, sector and company exposures in the Index will differ exclude the least liquid stocks.
from those of the Base Index.
Securities that pass the Liquidity Filter are screened
according to the Management Company's quantitative model,
based on machine learning techniques. The Management
Index Methodology Company's quantitative model aims to identify securities
which represent potential investment opportunities as
The Index composition will be reconstituted on a monthly opposed to potential investment risks. More precisely,
basis subject to certain provisions and composition the model uses machine learning techniques to integrate
restrictions. Only the 300 most liquid stocks (based on their and process a very large set of ESG and financial data
recent average daily volumes on their respective primary and to select the patterns that show a significant link
exchange) are eligible for inclusion in the Index. between ESG characteristics and financial performance for
the securities in the Investment Universe. The model does
this through quantitative statistical analysis which
includes an analysis of the previous results from the
The optimization procedure uses statistical inputs such as model compared to actual performance. The model uses this
estimates of the historical volatility of eligible stocks and comparison to refine continuously the quantitative
their degree of correlation statistical analysis techniques.
and seeks to minimize the expected volatility of the Index. The outcome of the machine learning process consists of a
The resulting Index composition must comply with the classification of eligible securities (i.e., securities
following constraints (at the time of reconstitution): from the Investment Universe that pass the Liquidity
Filter) into those that, on balance, represent an
"investment opportunity" (i.e., securities that, given
their ESG profile, have a positive outlook) and those
* the Index must be fully invested, that, on balance, represent an "investment risk" (i.e.,
securities that, given their ESG profile, have a negative
* the maximum exposure to a single stock shall not exceed 5% outlook). Securities that are classified as "investment
of the current value of the Index, risk" are excluded from the Investment Universe, with the
remaining securities (i.e., those classified as
* the maximum exposure to an industry sector shall not exceed "investment opportunity") being the "Eligible Universe".
20% of the current value of the Index,
* a proprietary method ensures that a significant number of
stocks are included in the Index. The Management Company analyses the historical
volatilities of the price of each security in the
Eligible Universe as well as the historical correlations
among them. It then selects and weights certain
No Fees are charged at the Index level when changes are made securities so that the resulting portfolio has minimum
to the composition of the Index. expected volatility while complying with the following
constraints (at the time of reconstitution):
- The portfolio must be fully invested, no short selling;
The Index will be calculated and published on a real time and
end-of-day basis by the Index Provider using the latest - The maximum exposure to a single stock issuer shall not
available prices and number of units of each Index exceed 4.5% of the current value of the portfolio;
constituent. The Index Provider may adjust the number of
units of each constituent due to corporate actions (such as - The maximum exposure to an industry sector shall not
stock splits, stock dividends, spin-offs and rights exceed 20% of the current value of the portfolio;
offerings) in accordance with its standard methodology for
the Base Index. - The maximum exposure to stock classified as REITS (Real
Estate Investment Trusts) or stocks issued by companies
which do not have their registered office in the European
Economic Area shall not exceed 20% of the current value
Capital gains and net income of the Fund will be capitalized of the portfolio;
and no dividend will be payable to Shareholders except for
the distributing Shares for which all or part of the capital - Total greenhouse gas emissions must be 40% lower than
and/or income may be distributed once or several times a year the emissions related to the Benchmark as defined above
as may be decided by the Board of Directors. Please refer to in the Investment Policy, (based on an assessment of the
the Prospectus for additional information. absolute value of the previous year's carbon emissions
data for each company);
- Potential greenhouse emissions from reserves must be
The recommended investment horizon is 5 years. 40% lower than the potential emissions related to the
Benchmark (based on an assessment which uses potential
emissions figures calculated using the previous year's
oil reserve data of each company, where applicable); and
- ESG rating must be at least 10% higher than the ESG
rating of the Benchmark (based on ESG ratings for each
company).
In certain market conditions, the composition of 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 Management Company can rateably reduce
some of the constraints (for example, by gradually
reducing the 40% limits).
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DJ OSSIAM iSTOXX EUROPE MINIMUM VARIANCE NR: -3-
The Management Company performs the rebalancing of the
Fund's portfolio on a quarterly basis. In addition, the
Management Company may re-adjust on an ad hoc basis as
deemed necessary.
Capital gains and net income of the Fund will be
capitalized 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 iSTOXX (R) EUROPE MINIMUM VARIANCE NR to OSSIAM EUROPE ESG MACHINE LEARNING 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
Please note that the following risk factors have been added in consideration of the New Investment Policy of the Sub-Fund: - "Market Risk (from 22 May 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 22 May 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." 6. 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 24 May 2021.
Share Class ISIN BBG Ticker Currency UCITS ETF 1C (EUR) LU0599612842 EUMV FP EUR
The last trading day on Euronext Paris will be on 21 May 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
EUMV IM EUR Borsa Italiana
OSX4 GY EUR Xetra
UCITS ETF 1C (EUR) LU0599612842 EUMV LN EUR London Stock Exchange
LEMV LN GBP London Stock Exchange
EUMV 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.
Copies of the Prospectus reflecting the above changes will be available free of charge at the registered office of the Company, once available.
Should you disagree with the planned changes mentioned above, you may redeem your shares, free of redemption charge until 21 May 2021 in accordance with the redemption procedure set out in the Prospectus.
Any further information may be obtained by sending an email to info@ossiam.com.
Yours faithfully,
On behalf of the Company,
The Board -----------------------------------------------------------------------------------------------------------------------
ISIN: LU0599612842 Category Code: MSCH TIDM: EUMV LEI Code: 549300UADKOB3TGCRG62 Sequence No.: 99088 EQS News ID: 1184701 End of Announcement EQS News Service =------------------------------------------------------------------------------------
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April 14, 2021 04:47 ET (08:47 GMT)
