The Strategy seeks an investment return that approximates, as closely as practicable, before expenses, the performance of its benchmark index (the "Index") over the long term. The Strategy implements a screen that results in the exclusion from the Portfolio of securities of issuers based on specific ESG criteria (the “ESG Screen”).
BENCHMARK: Bloomberg U.S. Credit Bond Index
The Strategy is managed using an "indexing" investment approach, by which SSGA attempts to approximate, before expenses, the performance of the Index over the long term. The Strategy will not necessarily own all of the securities included in the Index.
The ESG Screen is provided by MSCI Inc. (or their successors or assigns) on a monthly basis and is intended to screen out companies which significantly engage in producing or distributing adult entertainment, tobacco production, gambling, or conventional, biological, chemical or nuclear weapons production; or companies with any tie to abortion or abortifacients, or companies that manufacture contraceptive products, or which have any involvement in manufacturing and distribution of cannabis, or any tie to embryonic or fetal tissue stem cell research, or involvement in the manufacture of depleted uranium weapons, or companies that manufacture cluster munitions, landmines, or civilian firearms; or which have severe controversies or low ratings related to environment, fair lending, workforce diversity, or human rights or labor compliance.
The Strategy may attempt to invest in the securities comprising the Index, in the same proportions as they are represented in the Index, in limited cases where we believe it is practical to do so. However, due to the diverse composition of securities in the Index and the fact that many of the securities comprising the Index may be unavailable for purchase, it may not be possible for the Strategy to purchase some of the securities comprising the Index. In such a case, SSGA will select securities for the Portfolio that SSGA expects will provide a return comparable to that of the Index.
SSGA expects that it will typically seek to replicate Index returns for the Portfolio through investments in the "cash" bond markets - actual holdings of debt securities and other instruments - rather than through "notional" or "synthetic" positions achieved through the use of derivatives, such as futures contracts or swap transactions (except in the unusual case where SSGA believes that use of derivatives is necessary to achieve an exposure that is not readily available through the cash markets). The Strategy's return may not match the return of the Index. There may be an increased variance between the return of the Strategy and the return of the Index due to differences between the Index pricing source and the source utilized to price the Strategy.
Note:
“Bloomberg®” and all Bloomberg Indices are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”) and have been licensed for use for certain purposes by SSGA. Bloomberg is not affiliated with SSGA, and Bloomberg does not approve, endorse, review, or recommend any SSGA product. Prior to 3/31/2022, all Bloomberg fixed income indices were known as Bloomberg Barclays fixed income indices.
There are risks involved with investing, including possible loss of principal. You should refer to the Strategy's Disclosure Document (SDD) for a complete description of the risks of investing in the Strategy. Please contact SSGA's relationship management team for a copy of the SDD.
