SSGA EUR Liquidity Fund
Marketing Communication
31 May 2017
Global Cash
Fund Facts
Fund Performance
Structure
OEIC - UCITS
Domicile
Ireland
Regulator
The Central Bank of
Ireland
Currency
EUR
Benchmark
EUR 7 Day Libid
Fitch Fund Rating
AAAmmf
Moody's Fund Rating
Aaa-mf
S&P Fund Rating
AAAm
Net Assets
€4,673,133,352
1 Month 3 Month
(%)
(%)
YTD
(%)
1 Year
(%)
2016
(%)
3 Year
(%)
5 Year
(%)
10 Year
(%)
Since Inception
(% p.a.)
Fund
-0.40
-0.39
-0.39
-0.35
-0.27
-0.04
-0.01
0.98
1.86
Benchmark
-0.54
-0.54
-0.53
-0.52
-0.49
-0.27
-0.23
0.71
1.63
Source: SSGA/Bloomberg, 31 May 2017.
Yield figures are shown annualised and gross of fees.
Yield figures are shown for a stable NAV share class.
Past performance is not a guarantee of future results.
"3 Year" yield figures are shown for the three year period as of the previous year end.
"1 Year" figures are rolling yields.
The performance is calculated in Euro.
Benchmark returns are unmanaged and do not reflect the deduction of any fees or expenses.
Weighted Average Maturity 41
Weighted Average Life
41
Number of Holdings
136
Inception
17 July 2000
Net Asset Value
€1.00
Dealing Frequency
Daily
-0.2
Trading Deadline
1:00pm London
-0.4
Settlement Stable NAV
T+0
Settlement Accumulating
NAV
T+0
Fund Objective
The Fund seeks to maintain a high level of liquidity,
preserve capital and stability of principal expressed in
Euro, and consistent with those objectives, earn current
income and aims to provide a return in line with money
market rates.
Monthly Yield History
%
0.0
-0.6 Jun
16
Jul
16
Aug
16
Sep
16
Nov
16
Dec
16
Jan
17
Feb
17
Mar
17
Apr
17
May
17
SSGA EUR Liquidity Fun
EUR 7 Day Libid
Source: SSGA/Bloomberg, 31 May 2017.
Yield figures are shown annualised and gross of fees.
Past performance is not a guarantee of future results.
Maturity
2016
Investment Strategy
The Investment Manager combines a relative value
approach to investing with credit analysis to seek to identify
investments and issuers that it believes will provide the
greatest stability of capital and the highest probability
of repayment. As part of this process, the Investment
Manager uses in-depth research to identify sectors, issuers
and securities that it deems attractive for purchase in light
of the risks presented. Further, the Investment Manager
considers the liquidity of each investment and the overall
investment portfolio as an important factor in investment
decisions.
Oct
16
2017
Jun
Jul
Aug Sep
Oct
Nov Dec
Weighted Average Maturity (Days)
37
Jan
Feb Mar
Apr May
47
35
47
50
43
44
43
41
53
51
Weighted Average Life (Days)
37
41
47
35
47
50
43
44
44
42
54
52
41
Fund Composition
IMMFA Member
SSGA is a member of the Institutional Money Market
Funds Association (IMMFA), the trade association for AAArated European money market funds.
Credit Quality Distribution1
Commercial Paper - 29.64%
A-1+/P-1 - 32.57%
Certificates of Deposit - 17.16%
A-1/P-1 - 64.38%
Time Deposits - 13.25%
Asset Backed Commercial
Paper - 12.00%
A-1/P-2 - 3.05%
Government Agency - 7.42%
Repurchase Agreement - 6.80%
Government Bill - 5.35%
Collateralised
Commercial Paper - 3.79%
Government Guaranteed - 3.60%
Corporate and Bank
Notes - 0.99%
1
Short-term ratings from S&P and Moody's are used. If no
short-term rating is available, the lower long-term rating is
used. S&P deems the investments rated 'A-1' maturing in
7 days or less equivalent to 'A-1+'. This document reflects
actual issue ratings.
Maturity Distribution
%
40
30
30.0%
27.86%
21.13%
20
0
11.68%
7.94%
10
1.39%
Overnight
2-7
Days
8 - 30
Days
31 - 90
Days
91-180
Days
Source: SSGA Ltd - Legal Maturity, 31 May 2017.
Please note the overnight and 2-7 day maturity buckets do not include all government agency securities.
Fund composition, Quality and Maturity distribution are as of the date indicated, are subject to change,
and should not be relied upon as current thereafter.
180-397
Days
SSGA EUR Liquidity Fund
31 May 2017
State Street Global Advisors
Investment Commentary
For more information, please contact:
With no meeting scheduled in May, the European Central Bank’s (ECB’s) policy and rates remained unchanged; the
main refinancing rate remains at 0.00%, the deposit facility rate at -0.40% and the marginal lending rate at 0.25%. At
April’s meeting there were no formal changes to the ECB’s forward guidance and ECB President Mario Draghi
confirmed the Bank’s commitment to make purchases of €60 billion per month until at least the end of the year. Draghi
welcomed the eurozone’s recovery, describing it as “solid and broad” but cautioned that inflationary pressures
remained too weak to contemplate paring back ECB stimulus. Current implied rates indicate a 13% probability of a
rate hike by December 2017, 22% by March 2018 and 40% in the second quarter of 2018. The probability of a rate cut
in 2017 has fallen to around 2%. The Governing Council next meets on 8 June and the markets will focus on any
changes to their dialogue, specifically language removing references to interest-rate cuts and expanding quantitative
easing, in its forward guidance.
EMEA Cash Client Service
Political events remained a focus for the markets. Ahead of the 8 June general election in the UK, the polls at the end of
May showed a narrowing of the Conservatives’ lead over Labour. German elections are also approaching, on 24
September, and there is an increasing possibility of an earlier snap election in Italy. Meanwhile, Brexit negotiations
have now begun. In the US, President Donald Trump announced a controversial budget proposing severe cuts to social
programmes (impacting Medicaid, food stamps and welfare payments), new tax breaks and €1.6 billion towards the
construction of a Mexican border wall.
SSGA Germany
Eurozone consumer price inflation for May showed a surprise dip to 1.4%, down from April’s four-year annual high of
1.9%. Core inflation, which excludes volatile components such as food and energy prices, fell from 1.2% to 0.9%,
suggesting that underlying inflation is subdued. However, the strength of recent activity indicators suggests that core
inflation will pick up. The unemployment rate fell from 9.4% in March to 9.3% in April, a further indication of the
economic recovery; the ECB will be closely monitoring wage growth in light of this latest unemployment data. May’s
eurozone composite purchasing mangers’ index (PMI) was unchanged at 56.8, still the highest level since April 2011,
and consistent with a GDP forecast of +0.7% for the second quarter. Germany’s Ifo business climate indicator
continued rising, from 113 in April to 114.6 in May, the highest level since July 2011, driven by a pick-up in the current
conditions and expectations components. The second estimate of the eurozone’s first-quarter GDP showed a 0.5%
quarterly expansion and annual growth of 1.7%. Growth is expected to improve further in the second quarter, with
consensus expectations of the annual growth rate at 2%.
SSGA Italy
After averaging -0.359% in May, EONIA (the Euro Overnight Index Average) closed the month at -0.348%. Excess
liquidity continued to rise, reaching an all-time high of €1.654 trillion on 9 May and ending the month at €1.623
trillion. Libor fixings were lower six months out; three-month Euribor averaged -0.329% compared to -0.33% in April;
six-month Euribor averaged -0.251% compared to -0.245% in April and one-year Euribor averaged -0.127% compared
to -0.119% in April. At month end, bank deposits traded at -0.45% to -0.50% and core government repo collateral was
offered a little more expensively at -0.58%. We maintained our sovereign and government agency paper holdings,
keeping these relatively short to maintain liquidity targets. We added top-tier corporate entities and financials where
fund limits allowed, targeting three-to-six-month maturities. The fund’s weighted average maturity was in the high 40
days, with a well-laddered portfolio of diversified assets at all times.
+44 (0)20 3395 2333
[email protected]
Visit our website at www.ssga.com/cash or contact
your local SSGA office.
SSGA Belgium
+32 (0) 2 663 2016
+49 (0) 69 66 77 45 016
SSGA Ireland
+353 1 776 3036
+39 02 3206 6130
SSGA Middle East & North Africa
+971 (0) 4 437 2800
SSGA Netherlands
+31 (0) 20 718 1701
SSGA Switzerland
+41 (0) 44 245 7099
SSGA United Kingdom
+44 (0) 20 3395 2333
This is a marketing document for informational
purposes only. We recommend you read the Key Investor
Information Document/Prospectus and supplement for
full details about the Fund, including fees and risks.
Our Client Relationship team will also be pleased to
provide you with further information about this Fund.
Please note that full details of underlying fund holdings
can be found on www.ssga.com/cash.
Investing involves risk including the risk of loss of
principal.
The views expressed in this material are the views of Alison Scott through the period ended at the date above and are subject to change based on market and other conditions. Please note that any such statements
are not guarantees of any future performance and actual results or developments may differ materially from those projected.
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is a branch of State Street Global Advisors Limited, a company registered in the UK, authorised and regulated by the Financial Conduct Authority (FCA ), with a capital of GBP
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office: 20 Churchill Place, Canary Wharf, London, E14 5HJ. Telephone: 020 3395 6000. Facsimile: 020 3395 6350. Web: www.ssga.com
The information provided does not constitute investment advice as such term is defined under the Markets in Financial Instruments Directive (2004/39/EC) or applicable Swiss regulation and it should not be relied on as
such. It should not be considered a solicitation to buy or an offer to sell any investment. It does not take into account any investor's or potential investor's particular investment objectives, strategies, tax status, risk appetite
or investment horizon. If you require investment advice you should consult your tax and financial or other professional advisor. All material has been obtained from sources believed to be reliable. There is no
representation or warranty as to the accuracy of the information and State Street shall have no liability for decisions based on such information.
Although a money market fund seeks to preserve the value of your investment at 1.00 Stable NAV unit per share, it is possible to lose money by investing in a money market fund. The funds are not available to US
investors. This document is issued in the UK by State Street Global Advisors Limited, 20 Churchill Place, Canary Wharf, London, E14 5HJ.
State Street Global Advisors Liquidity Public Limited Company ("the Company") is an umbrella type investment company with variable capital having segregated liability between its sub-funds. The Company is organised
as an Undertaking for Collective Investment in Transferable Securities (UCITS) under the laws of Ireland and authorised as a UCITS by the Central Bank of Ireland. The Company is a recognised scheme under Section
264 of the Financial Services and Markets Act 2000 ("the Act") and is directed at 'professional clients' in the UK (within the meaning of the rules of the Act) who are deemed both knowledgeable and experienced in matters
relating to investments. The products and services to which this communication relates are only available to such persons and persons of any other description should not rely on this communication. Many of the
protections provided by the UK regulatory system do not apply to the operation of the Company, and compensation will not be available under the UK Financial Services Compensation Scheme. Investments in asset
backed and mortgage backed securities are subject to prepayment risk which can limit the potential for gain during a declining interest rate environment and increases the potential for loss in a rising interest rate
environment.
The information contained in this communication is not a research recommendation or ‘investment research’ and is classified as a ‘Marketing Communication’ in accordance with the European Communities
(Markets in Financial Instruments) Regulations 2007 or applicable Swiss regulation. This means that this marketing communication (a) has not been prepared in accordance with legal requirements designed to
promote the independence of investment research is not subject to any prohibition on dealing ahead of the dissemination of investment research.
This document should be read in conjunction with its prospectus and or the relevant Key Investor Information Document. All transactions should be based on the latest available Key Investor Information
Document/Prospectus which contains more information regarding the charges, expenses and risks involved in your investment.
This communication is directed at professional clients (this includes Eligible Counterparties as defined by the Appropriate EU Regulator or applicable Swiss regulation) who are deemed both Knowledgeable and
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For Investors in Switzerland The collective investment scheme referred to herein is a collective investment scheme under Irish law. Prospective investors may obtain the current sales prospectus, the articles of
incorporation, the simplified prospectuses as well as the latest annual and semi-annual report free of charge from the Swiss Representative and Paying agent, State Street Bank GmbH Munich, Zurich Branch,
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which can be obtained from the Swiss representative, or at www.SSGA.com or at www.ssga.com/cash
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EUMKT- 5337 Expiration Date: 31/07/2017