Solactive H2O Fixed Income 7% RC Index | Adjustment to Announcement of 02/06/2020 | Effective Date: 16th June 2020

On 2^nd June 2020 Solactive announced the replacement of the H2O Multi Bonds SR Fund (ISIN: FR0013393329), serving as underlying in the Solactive H20 Fixed Income 7% RC Index (the ‘Affected Index’), with the H2O Allegro SR Fund (ISIN: FR0013393220). The announcement was published on the Solactive website: https://www.solactive.com/announcement-solactive-h2o-fixed-income-7-rc-index-effective-date-16th-june-2020/.

Today, on the 10^th June 2020, Solactive announces that the H2O Multi Aggregate Fund (ISIN: IE00BHNZKR74) will replace the H2O Multi Bonds SR Fund (ISIN: FR0013393329) instead of the H2O Allegro SR Fund (ISIN: FR0013393220) as initially announced on 2^nd June 2020.

The background to this is that due to the recent cash outflows from the H2O Allegro SR Fund (ISIN: FR0013393220) and the associated reduction of the level of assets under managed by the H2O Allegro SR Fund (ISIN: FR0013393220), there are concerns about the long-term suitability of the H2O Allegro SR Fund (ISIN: FR0013393220) as underlying for the Affected Index.

The circumstance that originally led to the replacement of the H2O Multi Bonds SR Fund (ISIN: FR0013393329) still exists. Due to the introduction of a 5% entry fee in the H20 Multi Bonds SR Fund (ISIN: FR0013393329), Solactive has determined that an “Increased Cost of Trading Event” (as defined in Section 4.5 in the index guideline) has occurred. The H20 Multi Bonds SR Fund (ISIN: FR0013393329) will therefore be replaced by on the Effective Date.

Changes to the Index Guideline

In order to reflect the replacement of the H2O Multi Bonds SR Fund (ISIN: FR0013393329) with the H2O Multi Aggregate Fund (ISIN: IE00BHNZKR74) Section 2. and Section 2.1. will be amended and read as follows:

“2. Index Selection

The Basket underlying the INDEX consists of Mutual Funds, which are listed below:

The Basket is static, meaning the Mutual Fund as listed above will not change.

2.1. Weighting of the Index Components

The Basket holdings as of the 15th June 2020 are as follows:

Defined terms used in this announcement, but not defined herein, have the meaning assigned to them in the respective index guideline of the Affected Index. The amended version of the index guideline will be available on the Effective Date.