Methodology Change | Solactive US ARMS Risk Control 4 Index | Effective Date 13th July 2021

Today, on the 29/06/2021, Solactive announces the following changes to the methodology of the following index (the ‘Affected Index’):

Rationale for methodology change

The Affected Index is a Volatility Target Index. It is designed to represent the performance of the AMUNDI FUNDS ABSOLUTE RETURN MULTI-STRATEGY M2 (ISIN: LU1882441147). This share class is no longer available to investor outside Italy, constituting a Fund Trading Disruption, as defined in the updated index rules. Therefore, this fund will be replaced by another share class: AMUNDI FUNDS ABSOLUTE RETURN MULTI-STRATEGY I2 (ISIN:  LU1882440685). Section 2.1 and Section 3.7 of the index rules will be amended accordingly.

Changes to the Index Guideline

1. The table in Section 2.1 will be updated to reference the new share class:

Old Table:

New Table:

• The following Section will replace the old Section 3.7. Market Disruption:

Section 3.7 Index Component Disruption Events

• “Fund NAV Event” means the latest published Fund Asset Under Management being less than 400 Million EUR.
• “Adviser Resignation Event” is, in respect of any Index Component, (1) the resignation, termination or replacement of the Fund Adviser; or (2) the resignation, termination or replacement of the Fund Administrator, the management company, the custodian (if any) or the depositary (if any) of the related Index Component.
• “Fund Insolvency” means, in respect of any Index Component, that by reason of the voluntary or involuntary liquidation, bankruptcy, insolvency, dissolution or winding-up of or any analogous proceeding affecting the Index Component, (i) the holdings of a Hypothetical Investor in the relevant Index Component are required to be transferred to a trustee, or other similar official or (ii) a Hypothetical Investor in the relevant Index Component is legally prohibited from transferring or redeeming its holdings in the relevant Index Component.
• “Fund Insolvency Event” means, in respect of any Index Component, an Insolvency Event (as defined in the Additional Insolvency Definitions set out at the end of Part I) in respect of the related Index Component, the Fund Administrator of such related Index Component and any Fund Service Provider of such related Index Component.
• “Fund Limitation Event” means, in respect of any Index Component, (1) a material limitation is imposed on dealings in such Index Component; (2) the related Index Component’s dealing is changed (including, but not limited to, a change in notice periods for redemptions or the imposition of gating provisions); (3) the occurrence of any other event which restricts, in whole or in part, on a permanent or a temporary basis, dealings of any nature with respect to such Index Components (whether or not such event occurs pursuant to provisions entitling the related Index Component to restrict in any way dealings with respect to such Index Component).
• “Fund Modification” means, in respect of any Index Component, any change or modification of the Fund Documents of the related Index Component which could reasonably be expected to affect the value of such Index Component or the rights and remedies of holders of such Index Component from those prevailing on the Start Date.
• “Regulatory Action” means, in respect of any Index Component, (1) the cancellation, suspension or revocation of the registration or approval of such Index Component by any relevant governmental, legal or regulatory authority; (2) any change in the accounting, legal, regulatory or tax treatments of the related Index Component or its Fund Adviser that is reasonably likely to have an adverse impact on the value of such Index Component or on any investor therein; or (3) the related Index Component or any of its Fund Administrator or Fund Adviser becoming subject to any investigation, proceeding or litigation by any relevant governmental, legal or regulatory authority involving the alleged violation of applicable law for activities relating to or resulting from the operation of such Index Component, Fund Administrator or Fund Adviser.
• “Reporting Disruption” means, in respect of any Index Component, any failure of the Fund Administrator of the relevant Index Component to deliver, or cause to deliver, information (including, but not limited to, annual and half-yearly financial reports) in accordance with the Fund Documents, its regulatory obligations or its normal practice (.
• “Strategy Breach” means, in respect of any Index Component, any breach or violation of any strategy or investment guideline stated in the Fund Documents of the related Index Component which could reasonably be expected to affect the value of such Index Component or the rights and remedies of holders of such Index Component from those prevailing on the START Date.
• “Nationalisation” means, in respect of any Index Component, that all holdings of a Hypothetical Investor in the respective Index Component or all or substantially all the assets of the respective Index Component are nationalised, expropriated or are otherwise required to be transferred to any governmental agency, authority, entity or instrumentality thereof;
• “Change in Law” means that, (i) due to the adoption of or any change in any applicable law or regulation (including, without limitation, any tax law), or (ii) due to the promulgation of or any change in the interpretation by any court, tribunal or regulatory authority with competent jurisdiction of any applicable law or regulation (including any action taken by a taxing authority), (A) it has become illegal for a Hypothetical Investor to hold, acquire or dispose of any holding in the respective Index Constituent, or (B) a Hypothetical Investor will incur materially increased costs with regard to the holding, acquisition and disposal of its holdings in the respective Index Component (including, without limitation, due to any increase in tax liability, decrease in tax benefit or other adverse effect on its tax position).
• “Fund Trading Disruption” means that a Hypothetical Investor or any of its affiliates or agents is unable, or it is impractical for the Hypothetical Investor or any of its affiliates or agents, after using commercially reasonable efforts, to (i) acquire, establish, re-establish, substitute, maintain, unwind or dispose of any transaction or asset it deems necessary or appropriate to hedge the price risk relating to any holdings in the respective Index Component, or (ii) realise, recover or remit the proceeds of any such transaction or asset, including, without limitation, where such inability or impracticability has arisen by reason of (A) any restrictions or increase in charges or fees imposed by an Index Component on an investor’s ability to redeem the related holding the Index Component, in whole or in part, or any existing or new investor’s ability to make new or additional investments in such Index Component, or (B) any mandatory redemption, in whole or in part, of a holding in the Index Component imposed by the related Index Component.
• “Increased Cost of Trading” means that a Hypothetical Investor or any of its affiliates or agents would incur a materially increased amount of tax, duty, expense or fee (other than brokerage commissions) to (i) acquire, establish, re-establish, substitute, maintain, unwind or dispose of any transaction(s) or asset(s) it deems necessary to hedge the price risk relating to any holding in the respective Index Component , or (ii) realise, recover or remit the proceeds of any transaction(s) or asset(s), provided that any such materially increased amount that is incurred solely due to the deterioration of the creditworthiness of the Hypothetical Investor shall not be deemed an Increased Cost of Trading.
• “Fund Disruption Event” means at any time the occurrence or continuance of any of the following events:
• “Fund Valuation Disruption” means any continued postponement of any date at which an Index Component is scheduled, according to the relevant Fund Documents, to determine the net asset value for purposes of calculating the redemption proceeds to be paid to an investor that has submitted a valid and timely notice for redemption.

• “Fund Settlement Disruption” means a failure by an Index Component on any day to pay the full amount (whether expressed as a percentage or otherwise) of any fund redemption proceeds with respect to any holding in the respective Index Component scheduled to have been paid on or by such day according to the relevant Fund Documents.

• “Fund Service Provider Cessation” means that one or more Fund Service Provider(s) in respect of an Index Component ceases to provide the service as outlined in the relevant Fund Documents and any such Fund Service Provider is not immediately replaced by another acceptable service provider.
• “Fund Administrator Disruption” means any event or circumstances compromising the independence of a Fund Administrator performing services for an Index Component from the relevant Fund Adviser.
• “Related Agreement Termination” means an Index Component or any of its Fund Administrator or Fund Adviser is in breach of or has terminated any existing agreement with a Hypothetical Investor in respect of, but not limited to, retrocession, dealing fees, liquidity and licensing.

If any of the above disruption events occurred with respect to an Index Component, the Index Administrator may, acting in good faith and a commercially reasonable manner:

• confirm (or not) the occurrence of the disruption event;
• if relevant, determine the date of occurrence of the disruption event;
• if relevant, determine appropriate amendments to the Index which may include, among other things, amendments to the determination of days on which the level of the Index will be published, amendments to the computation of the realised volatility, and/or determination of a substitution of the affected Index Component.

Defined terms used in this announcement, but not defined herein, have the meaning assigned to them in the respective index guideline of the Affected Indices.