The Sub-Fund aims to provide capital growth in line with a systematic strategy on selected equities as described below (the “Derivative Investment Strategy”) and with the performance of a portfolio of transferable debt securities which are actively managed.
The Derivative Investment Strategy has an anticipated life of 10 years beginning on December 18, 2014 (strike date) and maturing on December 11, 2024 (the “Investment Period”). The Derivative Investment Strategy’s objective across the Investment Period is based on a performance valuation mechanism of an equally weighted reference basket of twenty (20) equities, according to the points a), b), c) and d) below:
- An equally weighted portfolio of the following twenty (20) equities has been constructed.
| Company Name | Sector | Bloomberg Ticker |
| DU PONT (E.I.) DE NEMOURS | Chemicals | DD UN Equity |
| PROCTER & GAMBLE CO/THE | Cosmetics/Personal Care | PG UN Equity |
| AT&T INC | Telecommunications | T UN Equity |
| JOHNSON & JOHNSON | Pharmaceuticals | JNJ UN Equity |
| BANK OF AMERICA CORP | Banks | BAC UN Equity |
| GENERAL ELECTRIC CO | Miscellaneous Manufacturer | GE UN Equity |
| VODAFONE GROUP PLC | Telecommunications | VOD LN Equity |
| DIAGEO PLC | Beverages | DGE LN Equity |
| RIO TINTO PLC | Mining | RIO LN Equity |
| NESTLE SA-REG | Food | NESN VX Equity |
| CREDIT SUISSE GROUP AG-REG | Banks | CSGN VX Equity |
| ROCHE HOLDING AG-GENUSSCHEIN | Pharmaceuticals | ROG VX Equity |
| TOTAL SA | Oil & Gas | FP FP Equity |
| AIR LIQUIDE S.A. | Chemicals | AI FP Equity |
| BAYERISCHE MOTOREN WERKE AG | Auto Manufacturers | BMW GY Equity |
| SIEMENS AG-REG | Miscellaneous Manufacturer | SIE GY Equity |
| KONINKLIJKE PHILIPS NV | Electronics | PHIA NA Equity |
| ANHEUSER-BUSCH INBEV NV | Beverages | ABI BB Equity |
| ALLIANZ SE-REG | Insurance | ALV GY Equity |
| LVMH MOET HENNESSY LOUIS VUITTON | Apparel | MC FP Equity |
Substitution of share(s) in case of corporate action(s) may occur during the Investment Period.
- For the performance calculation of the basket of the twenty (20) equities, the calculation periods are defined as follows:
1st Calculation Period: <18 December, 2014>– <18 December, 2015>
2nd Calculation Period: <18 December, 2014> – <19 December, 2016>
3rd Calculation Period <18 December, 2014>– <18December, 2017>
4th Calculation Period: <18 December, 2014>– <18 December, 2018>
5th Calculation Period: <18 December, 2014>– <18 December, 2019>
6th Calculation Period: <18 December, 2014>– <18 December, 2020>
7th Calculation Period: <18 December, 2014>– <20 December, 2021>
8th Calculation Period: <18 December, 2014>– <19 December, 2022>
9th Calculation Period: <18 December, 2014>– <18 December, 2023>
10th Calculation Period: <18 December, 2014>– <11 December, 2024>
- For the first Calculation Period, the performance of the two highest performing equities is recorded and locked for the rest of the Investment Period at a minimum of 0%. For each of the above Calculation Periods:1) the basket of 20 equities is composed of locked equities from previous Calculation Periods (2 per each Calculation Period) and non-locked equities, 2) the performance of the two highest performing equities amongst the remaining non-locked equities is recorded and locked for the rest of the Investment Period at a minimum of 0%.
- The Derivative Investment Strategy’s payoff at maturity equals the average of the locked performances of the equities in the basket at the last (10th) Calculation Period (the “Pay-off”).
