SSgA SPDR ETFs EUROPE II PLC SPDR RUSSELL 2000 U.S. SMALL CAP UCITS ETF

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1 SSgA SPDR ETFs EUROPE II PLC SPDR RUSSELL 2000 U.S. SMALL CAP UCITS ETF Supplement No February 2015 (A sub-fund of SSgA SPDR ETFs Europe II plc, an open-ended investment company constituted as an umbrella fund with segregated liability between sub-funds authorised by the Central Bank of Ireland pursuant to the UCITS Regulations). This Supplement (the Supplement ) forms part of the Prospectus dated 12 February 2015 the ( Prospectus ) in relation to SSgA SPDR ETFs Europe II plc (the Company ) for the purposes of the UCITS Regulations. This Supplement should be read in the context of, and together with, the Prospectus and contains information relating to the SPDR Russell 2000 U.S. Small Cap UCITS ETF (the Fund ) which is a separate sub-fund of the Company, represented by the SPDR Russell 2000 U.S. Small Cap UCITS ETF series of shares in the Company (the Shares ). All Shares in this Fund are designated as ETF Shares. Prospective investors should review this Supplement and the Prospectus carefully and in their entirety. If you are in any doubt about the contents of this Supplement, you should consult your stockbroker, bank manager, solicitor, accountant and/or financial adviser. Potential investors should consider the risk factors set out in the Prospectus and in this Supplement before investing in this Fund. The Company and the Directors of the Company (the Directors ) listed in the Management section of the Prospectus, accept responsibility for the information contained in this Supplement. To the best of the knowledge and belief of the Company and the Directors (who have taken all reasonable care to ensure that such is the case) the information contained in this Supplement is in accordance with the facts and does not omit anything likely to affect the import of such information. The Company and the Directors accept responsibility accordingly

2 Unless otherwise defined herein or unless the context otherwise requires, all defined terms used in this Supplement shall bear the same meaning as in the Prospectus. Base Currency Dealing Deadline USD For cash and in-kind subscriptions, 4.45p.m. (Irish time) on each Dealing Day. For cash and in-kind redemptions, 4.45 p.m. (Irish time) on each Dealing Day. For cash and in-kind subscriptions and/or redemptions on 24 December and 31 December each year, 1.00 p.m. (Irish time) on the relevant Dealing Day. Dealing NAV Index Index Provider Investment Manager ISIN Minimum Subscription Amount Minimum Redemption Amount Valuation Valuation Point Website The Net Asset Value per Share calculated as at the Valuation Point on the relevant Dealing Day. Russell 2000 Index Frank Russell Company State Street Global Advisors Limited IE00BJ38QD84 100,000 Shares and multiples thereof 100,000 Shares and multiples thereof The Net Asset Value per Share is calculated in accordance with the Determination of Net Asset Value section of the Prospectus, using last traded prices for securities p.m. (Irish time) on each Business Day. 2

3 INVESTMENT OBJECTIVE AND STRATEGY Investment Objective: The objective of the Fund is to track the performance of smaller U.S. companies. The investment policy of the Fund is to track the performance of the Russell 2000 Index (or any other index determined by the Directors from time to time to track substantially the same market as the Russell 2000 Index and which is considered by the Directors to be an appropriate index for the Fund to track, in accordance with the Prospectus) (the Index ) as closely as possible, while seeking to minimise as far as possible the tracking error between the Fund s performance and that of the Index. Any determination by the Directors that the Fund should track another index at any time shall be subject to the provision of reasonable notice to Shareholders to enable any shareholders who wish to do so to redeem their Shares prior to implementation of this change and the Supplement will be updated accordingly. The Index is a free float-adjusted (i.e. considering only those shares of the company that are freely available on the open market), market capitalisation-weighted index of approximately 2000 securities, providing investors with a benchmark for smaller U.S. companies. The Index covers approximately 8% of the total U.S. equity market and is rebalanced on an annual basis. Further details of the Index, including its rebalancing frequency and its performance can be found at: Details of the Index components are available at: In order to seek to achieve this investment objective, the Sub-Investment Manager, on behalf of the Fund, will invest, using the optimisation strategy described below and in more detail in the Prospectus, primarily in the securities included in the Index, at all times in accordance with the Investment Restrictions set forth in the Prospectus. In building the Fund s portfolio using the optimisation strategy, the Sub-Investment Manager will select certain securities within the Index rather than all of the Index securities, paying close attention to factors including, but not limited to, the sectors, industries, sizes and currencies of the underlying companies, in order to avoid unintended biases in comparison to the Index. The Sub-Investment Manager also may, in exceptional circumstances, invest in equities, such as mid and large cap US equities, which are not included in the Index but which it believes closely reflect the risk and distribution characteristics of securities which are included in the Index. Details of the Fund s portfolio and the indicative net asset value per share for the Fund are available on the Website. The optimisation strategy used by the Sub-Investment Manager seeks to build a representative portfolio that provides a return comparable to that of the Index. The Sub-Investment Manager uses an optimisation strategy for this Fund because the Index contains too many securities to efficiently purchase and, at times, certain securities included in the Index are difficult to purchase in the open markets. Consequently, the Fund will typically hold only a subset of the securities included in the Index. The securities held by the Fund, representing a subset of all the securities in the Index will generally have the characteristics of the Index and are chosen with the intention of tracking the performance of the Index with a predicted level of tracking error. The securities in which the Fund invests will be primarily listed or traded on Recognised Markets in accordance with the limits set out in the UCITS Regulations. The Fund may invest up to 10% of its net assets in other regulated open-ended funds where the objectives of such funds are consistent with the objective of the Fund and where such funds are authorised in member states of the EEA, USA, Jersey, Guernsey or the Isle of Man and where such funds comply in all material respects with the provisions of the UCITS Regulations. The Fund may hold ancillary liquid assets such as deposits in accordance with the UCITS Regulations. 3

4 The Fund may for the purpose of efficient portfolio management only, and in accordance with the conditions and limits imposed by the Central Bank, use financial derivative instruments ( FDIs ). Any use of FDIs by the Fund shall be limited to equity and index futures, forward foreign exchange contracts (including non-deliverable forwards) and warrants. Efficient portfolio management means investment decisions involving transactions that are entered into for one or more of the following specific aims: the reduction of risk; the reduction of cost; or the generation of additional capital or income for the Fund with an appropriate level of risk, taking into account the risk profile of the Fund. In particular, FDIs may be used for the purpose of minimising tracking error, i.e., the risk that the Fund return varies from the Index return. FDIs are described in the "Investment Objectives and Strategy Use of Financial Derivative Instruments" section of the Prospectus, and will be used within the limits stipulated by the Central Bank as set out within that same section. Accordingly, although FDIs will be inherently leveraged, the primary purpose of the use of FDIs is to reduce tracking error, and, while the Fund will be leveraged as a result of its investments in FDIs, such leverage will not exceed 100% of the Fund s total Net Asset Value. The Fund, subject to the restrictions imposed on the use of FDIs described in the Prospectus and by the UCITS Regulations, may buy and sell futures contracts to either create exposure or reduce exposure to various securities included in the Index or to reduce certain aspects of risk inherent in specific trades. Forward foreign exchange contracts and warrants may be used for efficient portfolio management purposes. The Fund is expected to exhibit an overall high volatility level due to the inherent volatility associated with equity securities. Equity securities tend to have higher volatility relative to other asset classes, such as fixed income investments. Therefore an investment in the Fund may not be appropriate for all investors. Investors should note that the volatility of the Fund may vary over time and there can be no assurance that the historical volatility levels of the Index will continue to be observed in the future. To the extent that the Sub-Investment Manager, on behalf of the Fund, uses FDIs, there may be a risk that the volatility of the Fund may increase. That notwithstanding, the Fund is not expected to have an above average risk profile as a result of its use of or investment in FDIs. The Fund will use the optimisation strategy and may also use FDIs and invest in other regulated open-ended funds as described above in order to seek to track as closely as possible the returns of the Index after deduction of Fees and Expenses. For information in relation to the difficulties associated with tracking indices, please refer to the Risk Information Index Tracking Risk section of the Prospectus. It is currently anticipated that the Fund will track the Index with a potential variation of up to 1% annually under normal market conditions. SUB-INVESTMENT MANAGER Pursuant to a Sub-Investment Management Agreement dated 26 May 2014 (the Sub-Investment Management Agreement ), between the Investment Manager and State Street Global Advisors, a division of State Street Bank & Trust Company (the Sub-Investment Manager ), the Investment Manager has appointed the Sub-Investment Manager as discretionary sub-investment manager in respect of the Fund. Under the Sub-Investment Management Agreement, neither the Sub-Investment Manager nor any of its directors, officers, employees or agents is liable for any loss or damage arising directly or indirectly out of or in connection with the performance by the Sub-Investment Manager of its obligations and duties unless such loss or damage arises out of or in connection with the negligence, wilful default or fraud of the Sub-Investment Manager in the performance of its duties, and in no circumstances shall the Sub-Investment Manager be liable for special, indirect or consequential damages, or for lost profits or loss of business, arising out of the performance of its duties. 4

5 The Sub-Investment Management Agreement shall continue in force until terminated by either the Investment Manager or the Sub-Investment Manager at any time upon ninety (90) days prior notice in writing to the other party or until terminated by either the Investment Manager or the Sub-Investment Manager forthwith by notice in writing to the other party in the event that a Force Majeure Event as defined in clause 11 of the Sub-Investment Management Agreement continues for longer than fourteen (14) days or until otherwise terminated by either the Investment Manager or the Sub- Investment Manager in accordance with the terms of the Sub-Investment Management Agreement. SECURITIES LENDING Investors should note that although it is entitled to participate in a securities lending program in accordance with the Investment Objectives and Strategy Use of Repurchase/Reverse Repurchase Agreements/Securities Lending Agreements section of the Prospectus, the Fund does not currently do so. Should the Directors elect to change this policy in the future, due notification will be given to Shareholders and this Supplement will be updated accordingly. INVESTMENT RISKS Investment in the Fund carries with it a degree of risk including the risks described in the Risk Information section of the Prospectus and the risks described in this Supplement. In particular, investors should refer to the Risk Information Small Companies Risk section of the Prospectus for information on the risks associated with investment in smaller companies. These risks are not intended to be exhaustive and potential investors should review the Prospectus and this Supplement carefully and consult with their professional advisers before purchasing Shares. In the event the Fund uses financial derivative instruments, the risk profile of the Fund may increase. For information in relation to the risks associated with the use of financial derivative instruments, please refer to the Risk Information Derivatives Risk section of the Prospectus. Liquidity Risk. Certain investments and types of investments in which the Fund may invest may be subject to restrictions on resale, trade in the over-the-counter market or in limited volume, or not have an active trading market and as a result the Fund may not be able to dispose of such illiquid securities or execute or close out a derivatives transaction readily which might adversely affect the Fund s performance. Illiquid securities may also trade at a discount from comparable, more liquid investments and may be subject to wide fluctuations in market value and therefore the Fund may not be able to dispose of such illiquid securities or execute or close out a derivatives transaction at a price or at prices approximating those at which the Fund currently values them. Normally liquid securities may also become illiquid securities in certain situations including as a result of changing market conditions. Please also refer to the Prospectus for more information on liquidity risk. The Company employs an appropriate liquidity risk management process, which takes into account efficient portfolio management transactions employed by the Fund, in order to ensure that the Fund is able to comply with its stated redemption obligations. However, it is possible that in the type of circumstances described above, the Fund may not be able to realise sufficient assets to meet all redemption requests that it receives or the Company may determine that the circumstances are such that meeting some or all of such requests is not in the best interests of the Shareholders in the Fund as a whole. In such circumstances, the Company may take the decision to apply the redemption gate provisions described in the Purchase and Sale Information - Redemption Limits section of the Prospectus or suspend dealings in the Fund as described in the Determination of Net Asset Value Temporary Suspension of Dealings section of the Prospectus. 5

6 INVESTOR PROFILE The Company has been established for the purpose of investing in transferable securities in accordance with the UCITS Regulations. The typical investors of the Fund are expected to be retail and institutional investors who want to take a long or short-term exposure to the performance of smaller U.S. companies and are prepared to accept the risks associated with an investment of this type, including the volatility of such markets. It is expected that the Fund will exhibit an overall high volatility level due to the inherent volatility associated with equity securities. DIVIDEND POLICY The Fund will not make distributions; all income and gains will be reflected in the Net Asset Value per Share. Further information is set out in the Distributions section of the Prospectus. FEES AND EXPENSES Total Expense Ratio: The TER for the Fund will be up to 0.30% per annum of the Net Asset Value of the Fund. Further information is set out in the Fees and Expenses section of the Prospectus. DETERMINATION OF THE NET ASSET VALUE The Net Asset Value of the Fund and Net Asset Value per Share is calculated by the Administrator as at the Valuation Point on each Business Day. SUBSCRIPTIONS PRIMARY MARKET Shares in the Fund are issued on each Dealing Day at the Dealing NAV with an appropriate provision for Duties and Charges in accordance with the provisions set out below and in the Prospectus. Investors may subscribe for Shares for cash or in kind on each Dealing Day by making an application in accordance with the requirements set out below and in the Prospectus at the section entitled Purchase and Sale Information by the Dealing Deadline. Consideration, in the form of cleared subscription monies/securities, must be received by the applicable Settlement Deadline. SETTLEMENT For cash and in kind subscriptions, appropriate cleared subscription monies/securities must be received by 3 p.m. (Irish time) on the third Business Day after the Dealing Day, or such later date as may be determined by the Company and notified to Shareholders from time to time, (the Settlement Deadline ). REDEMPTIONS Shareholders in the Fund may effect a redemption of Shares on any Dealing Day at the appropriate Dealing NAV subject to an appropriate provision for Duties and Charges, provided that a written redemption request is signed by the Shareholder and received by the Administrator by the Dealing Deadline on the relevant Dealing Day in accordance with the provisions set out in this section and in the Purchase and Sale Information section of the Prospectus. Settlement will normally take place within three Business Days of the Dealing Day, but may take longer depending on the settlement schedule of the underlying markets. In any event, settlement will not take place later than 10 Business Days from the Dealing Deadline. 6

7 CONVERSIONS Shareholders should refer to the terms of the Purchase and Sale Information section of the Prospectus for information on Share conversions. Please note that any reference to Product(s) in the below index disclaimer refers to financial products, such as the Fund. INDEX DISCLAIMERS Product(s) is (are) not sponsored, endorsed, sold or promoted by Frank Russell Company ( Russell ). Russell makes no representation or warranty, express or implied, to the owners of the Product(s) or any member of the public regarding the advisability of investing in securities generally or in the Product(s) particularly or the ability of the Russell 2000 Index to track general stock market performance or a segment of the same. Russell s publication of the Russell 2000 Index in no way suggests or implies an opinion by Russell as to the advisability of investment in any or all of the securities upon which the Russell 2000 Index is based. Russell s only relationship to the State Street Corporation is the licensing of certain trademarks and trade names of Russell and of the Russell 2000 Index which is determined, composed and calculated by Russell without regard to the State Street Corporation or the Product(s). Russell is not responsible for and has not reviewed the Product(s) nor any associated literature or publications and Russell makes no representation or warranty express or implied as to their accuracy or completeness, or otherwise. Russell reserves the right, at any time and without notice, to alter, amend, terminate or in any way change the Russell 2000 Index. Russell has no obligation or liability in connection with the administration, marketing or trading of the Product(s). RUSSELL DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE RUSSELL 2000 INDEX OR ANY DATA INCLUDED THEREIN AND RUSSELL SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. RUSSELL MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY STATE STREET CORPORATION, INVESTORS, OWNERS OF THE PRODUCT(S), OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE RUSSELL 2000 INDEX OR ANY DATA INCLUDED THEREIN. RUSSELL MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE RUSSELL 2000 INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL RUSSELL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. 7