(LF) Special Purpose Best Performers III Fund

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 May 7, 2014 (strike date) and maturing on May 7, 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 :

a) An equally weighted portfolio of the following twenty (20) equities has been constructed.


Company Name


Sector


Bloomberg Ticker


ALLIANZ SE-REG


Insurance


ALV GY Equity


APPLE INC


Computers


AAPL UW Equity


BHP BILLITON PLC


Mining


BLT LN Equity


BP PLC


Oil & Gas


BP/ LN Equity


BRISTOL-MYERS SQUIBB CO


Pharmaceuticals


BMY UN Equity


CHRISTIAN DIOR


Apparel


CDI FP Equity


CISCO SYSTEMS INC


Telecommunications


CSCO UW Equity


DIAGEO PLC


Beverages


DGE LN Equity


ENI SPA


Oil & Gas


ENI IM Equity


EXXON MOBIL CORP


Oil & Gas


XOM UN Equity


FEDEX CORP


Transportation


FDX UN Equity


GENERAL ELECTRIC CO


Miscellaneous Manufacturer


GE UN Equity


HSBC HOLDINGS PLC


Banks


HSBA LN Equity


INTL BUSINESS MACHINES CORP


Computers


IBM UN Equity


KONINKLIJKE PHILIPS NV


Electronics


PHIA NA Equity


MEDTRONIC INC


Healthcare-Products


MDT UN Equity


NESTLE SA-REG


Food


NESN VX Equity


SCHLUMBERGER LTD


Oil&Gas Services


SLB UN Equity


SIEMENS AG-REG


Miscellaneous Manufacturer

SIE GY Equity


VOLKSWAGEN AG-PREF


Auto Manufacturers


VOW3 GY Equity


Substitution of share(s) in case of corporate action(s) may occur during the Investment Period.

b) For the performance calculation of the basket of the twenty (20) equities, the calculation periods are defined as follows :

  • 1st Calculation Period : <7 May, 2014>– <7 May, 2015>
  • 2nd Calculation Period : <7 May, 2014> – <9 May, 2016>
  • 3rd Calculation Period<7 May, 2014>– <8 May, 2017>
  • 4th Calculation Period : <7 May, 2014>– <8 May, 2018>
  • 5th Calculation Period : <7 May, 2014>– <7 May, 2019>
  • 6th Calculation Period : <7 May, 2014>– <7 May, 2020>
  • 7th Calculation Period : <7 May, 2014>– <7 May, 2021>
  • 8th Calculation Period : <7 May, 2014>– <9 May, 2022>
  • 9th Calculation Period : <7 May, 2014>– <8 May, 2023>
  • 10th Calculation Period : <7 May, 2014>– <7 May, 2024>

c) 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%.

d) 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”).

2.2. Investment policy

The Sub-Fund seeks to achieve its Investment Objective as follows :

  • primarily, investing mainly in a portfolio composed of bank deposits, money market instruments, debt securities, mortgage-backed securities and asset-backed securities. The Sub-Fund may not invest more than 20% of its assets in mortgage-backed securities and asset-backed securities.
  • secondarily, entering into, one or several, over-the-counter derivative transactions called Equity linked Swap agreements under ISDA (the “Swaps”) with the aim of meeting the Investment Objective. The effect of this transaction is that the Sub-Fund exchanges part of the returns on its portfolio for returns specifically tailored to the Investment Objective of the Sub-Fund. The Swaps’ termination date is scheduled to be May 14, 2024.

The swap counterparty/ies will be selected from the following credit institutions : Barclays Bank PLC ; BNP Paribas S.A. ; Deutsche Bank A.G. ; JPMorgan Chase Bank N.A. ; Royal Bank of Scotland PLC ; Société Générale S.A., Eurobank Ergasias S.A., Credit Agricole S.A., HSBC Bank PLC, Credit Suisse, UBS AG, Bank of America Merrill Lynch, Citigroup Global Markets Ltd, Morgan Stanley & Co International PLC.

The name(s) of the Swap counterparty/ies and the signed Swap(s) will be made available for inspection, upon investor(s) request, during normal business hours at the registered office of the Management Company.

The Swap counterparty/ies pay to or receive from the Sub-Fund during the Investment Period amounts described in the Swap(s) ; payment flows will contribute to realization of the Derivative Investment Strategy.

The Net Asset Value of the Sub-Fund, and therefore the value of the Sub-Fund’s Units will increase (or decrease) in line with the valuation of both the portfolio of securities and the Swaps. The Swaps’ aggregate notional amount will on Strike Date correspond to the Sub-Fund’s Net Asset Value and will be adjusted on an ongoing basis based on the applicable valuation of the Swaps provided on a daily basis by the Swap counterparty/ ies to take into account subscription and redemption requests in the Sub-Fund.

The ability of the Sub-Fund to meet its Investment Objective is dependent on the ability of the Swap counterparty/ies to meet their obligations under the Swaps. Also, the aforementioned ability of the Sub-Fund to meet its Investment Objective is dependent on the performance of the investment portfolio (i.e. the investors could materialize a loss on their capital in the case of issuers’ defaults in the investment portfolio).

The Swap(s) govern(s) any substitution of share(s) in case of corporate action(s).

Liquidities, securities lending and repurchase agreements may be used within the limits described in sections 3.1and 4 of this Prospectus.

The Directors will decide before maturity of theDerivative Investment Strategy, whether the Sub-Fund will be liquidated, prolonged for a new term with a new Investment objective and policy (in which case the prospectus will be amended accordingly) or contributed to another Sub-Fund of the Fund. Unit holders will be informed accordingly in due course after the maturity of the Derivative Investment Strategy. Should the Directors decide that the Sub-Fund will be prolonged for a new term or contributed to another Sub-Fund of the Fund, unit holders will be offered a one month period during which they will have the possibility to redeem their Units free of charge before such changes become effective. After the Swaps’ termination date and before the changes become effective, assets held by the Sub-Fund will be cash and money markets instruments only.

Adresses :

The Sub-Fund has a high-risk profile, mainly associated with the use of financial derivative instruments, linked to equity exposure. The Sub-Fund is addressed to investors with a long-term investment horizon and who are seeking returns from exposure to international equity markets.

KIID Eurobank I (LF) Special Purpose Best Performers III Fund
UCITS DO NOT HAVE A GUARANTEED RETURN
AND PREVIOUS PERFORMANCE DOES NOT GUARANTEE FUTURE RETURNS
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