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UCITS governed by European Directive 2009/65/EC
PROSPECTUS
I – General characteristics
➢ Name: RMM INDEXi
➢ Legal form: Mutual fund (FCP) governed by French law
➢ Inception date and expected life: UCITS created on 6 August 2002 for a term of 99 years
➢ Summary of the investment offer:
Unit class ISIN code Allocation of
amounts
available for
distribution
Currency of
issue
Minimum
initial
subscription
Subsequent
minimum
subscription
Eligible investors
P unit FR0007075668 Accumulation Euro 1 unit 1 unit All investors
I unit FR0010275628 Accumulation Euro €1,000,000 On ten-thousandth
of a unit
Institutional
investors
➢Where the latest annual report and the latest interim statement can be obtained:
The latest annual and interim documents are sent within eight working days of the unitholder’s written request addressed to:
Rothschild & Co Asset Management Europe
Service commercial
29 avenue de Messine
75008 Paris
These documents are also available on the website site www.am.eu.rothschildandco.com
Further information can be obtained from the sales and marketing department of the management company (tel: 01 40 74 40 84) or
by e-mail at the following address:
II – Parties involved
➢Management Company:
Rothschild & Co Asset Management Europe
Limited Partnership
Registered office: 29 avenue de Messine – 75008 Paris
Portfolio management company authorised by the Autorité des Marchés Financiers on 6 June 2017 under the number GP 17000014
➢Depositary and custodian, institution in charge of the centralisation of subscription/redemption orders by delegation from
the management company and unit registrar:
Rothschild Martin Maurel
Limited Partnership
Registered office: 29 avenue de Messine – 75008 Paris
A credit institution approved by the ACPR (French prudential supervisory and resolution authority)
Description of the depositary’s duties:
In accordance with regulation, the depositary performs the following duties: custody of the assets, monitoring of the cash flows of
UCITS, and verification of the legality of the management company’s decisions,
The depositary is also responsible for the centralisation of subscription and redemption orders as well as managing the UCITS’s unit
registers.
The depositary’s priority is to protect the interests of the holders of the UCITS.
Supervision and management of conflicts of interest:
Rothschild Martin Maurel and Rothschild & Co Asset Management Europe belong to the same Group, Rothschild & Co.
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They have taken all reasonable measures to prevent and detect conflicts of interests and make sure they do not harm the interests of
the unitholders.
Delegates:
The depositary has delegated the safekeeping of foreign financial securities to the Custodian, The Bank of New York Mellon SA/NV
(Belgium).
The list of entities used by Bank of New York Mellon SA/NV (Belgium) in the delegation of safekeeping duties and the information
relating to conflicts of interest likely to result from such delegations are available at www.rothschildandco.com/fr/wealth-
management/rothschild-martin-maurel/informations-bancaires.
Updated information is made available to unitholders free of charge on simple written request.
➢Statutory Auditor:
Cabinet FOUCAULT – Mr Jean-Paul Foucault – 229 boulevard Péreire – 75017 Paris
➢Promoter:
Rothschild & Co Asset Management Europe
➢Delegates:
The accounting management is delegated to:
CACEIS FUND ADMINISTRATION
Registered office: 1-3 place Valhubert – 75013 PARIS
➢Advisers: None
III– Management and operations
1. General characteristics:
➢Characteristics of the units:
Type of right attached to the unit class:
Each unit entitles the holder to joint ownership of the assets and a share in the profits proportional to the fraction of the assets that it
represents.
Liabilities management:
Liabilities are managed by the depositary, Rothschild Martin Maurel. The units are admitted to trading on Euroclear France.
Voting rights:
There are no voting rights attached to the units. Decisions are taken by the management company. The management company’s
voting policy can be consulted at its registered office or requested by mail.
Form of the units: Bearer
Fractions of units: All fund units are fractioned in ten thousandths of units. P units are not fractioned.
➢Closing date of the accounting year: Last trading day of December.
The close of the financial year can be established on the basis of an “estimated” net asset value if the last trading day of December
is not a Friday. In this case, no redemptions or subscriptions will be made on the basis of this net asset value. This value will be used
to calculate performances.
➢ Taxation:
The UCITS is not subject to corporation tax, and any distributions or capital gains or losses are taxed at the level of the unitholder.
The tax regime applicable to the amounts distributed by the UCITS or the unrealised or realised capital gains or losses generated by
the UCITS depends on the unitholder’s individual situation and/or investment jurisdiction of the UCITS.
Unitholders who are unsure about their tax situation should contact a tax adviser.
2. Special provisions:
➢ISIN code: P unit: FR0007075668
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I unit: FR0010275628
➢Classification: Bonds and other debt securities denominated in euros.
➢Investment objective:
The objective of RMM INDEXi is to replicate the performance of eurozone inflation-indexed bonds (French and European).
➢Benchmark:
Bloomberg Barclays Eurozone – All CPI Index (Code Bloomberg LF96TREU) is a perfect reflection of the eurozone sovereign
inflation-indexed bond market (French and European). It is denominated in euro and takes account of the coupons detached by the
bonds composing it. The Bloomberg Barclays indices replicate daily the total performance of eurozone sovereign bonds. They can
be used to measure the performances of the sovereign debt market on different maturities, according to the type of inflation (French
and/or European) and type of issuer.
It is calculated by Bloomberg Barclays Indices and is available at www.bloombergindices.com.
As at the date of the last update of this prospectus, the administrator of the benchmark index is not yet entered on the register of
administrators and benchmark indices maintained by the ESMA.
In accordance with Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016, the Management
Company has a procedure for monitoring the benchmarks used describing the measures to be implemented in the event of substantial
changes to a benchmark or if that benchmark ceases to be provided.
The objective of this UCI is to replicate the performance of its benchmark, the Bloomberg Barclays Eurozone index, over the
recommended investment period. The asset mix of this fund may differ significantly from the composition of the benchmark index.
➢Investment strategy:
a) Strategies used:
The strategy of RMM INDEXi is to build a portfolio of interest rate products. The UCITS will be actively managed in eurozone
indexed bonds in proportions close to the Bloomberg Barclays Eurozone – All CPI Index.
The portfolio will be managed within a sensitivity range of between 0 and 15.
Fixed-income strategies:
The investment strategy is based on four main phases, the basis of the allocation being to take advantage of the configuration of the
yield curve to achieve a performance close to the benchmark.
Phase 1: Decide on the market exposure: sensitivity to interest rates, positioning on the yield curve, exposure to credit risk.
These choices are defined following a macroeconomic committee meeting, which identifies the consensus and then determines
the economic scenario of the management company.
Phase 2 : Quantitative determination of the risk allocation. The quantitative risk allocation is done on two levels. On the one
hand, an allocation by asset class; managers deviate more or less from the strategic allocation. On the other hand, a parallel
control of the implications of this allocation in terms of the overall risk of the UCITS.
The overall risk of a bond UCITS is mainly assessed according to its sensitivity, convexity and rating allocation.
Phase 3: Choice of sovereign and credit issuers by yield curve segment, rating and inflation rate (French inflation or eurozone
inflation). Private issuers are selected according to a specific scale defined by a MMG credit risk committee.
Phase 4: Construction of the portfolio. The RMM INDEX portfolio is built according to the risk allocation choices and type
of issuers.
Regulation (EU) 2019/2088 of 27 November 2019 on sustainability‐related disclosures in the financial services sector as amended
(SFDR) lays down the rules for transparency with regard to the integration of sustainability risks in investment decisions, the
consideration of adverse sustainability impacts and the disclosure of ESG (Environmental, Social and Governance) and
sustainability‐related information.
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A sustainability risk means an ESG event or condition that, if it occurs, could cause a negative material impact on the value of a
fund’s investment. A sustainability risk can either be a risk on its own, or have an impact on other risks and can contribute
significantly to risks such as market risk, operational risk, liquidity risk or counterparty risk. Sustainability risks can have an impact
on long-term returns adjusted according to the risks for investors. The assessment of sustainability risks is complex and can be based
on ESG data that is difficult to obtain and incomplete, estimated, out of date or otherwise materially inaccurate. Even when identified,
there is no guarantee that this data will be correctly evaluated.
The management company integrates sustainability-related risks and opportunities into its research, analysis and investment decision
processes in order to improve its ability to manage risks more comprehensively and to generate lasting long-term returns for investors.
The fund promotes environmental and social characteristics within the meaning of Article 8 of the SFDR and good governance
practices. Sustainability risks are incorporated in investment decision-making through exclusion policies, the portfolio’s extra-
financial rating, its engagement policy, the ESG controls put in place and compliance with Rothschild & Co.’s coal policy.
Investments will be aligned with the ESG policy available on the website
https://am.fr.rothschildandco.com/en/responsible-investing/documentation/
b) Description of asset classes and financial contracts in which the UCITS intends to invest
b1. Assets (excluding embedded derivatives)
Equities: None
Debt securities and money market instruments:
All types of securities are permitted: fixed income, variable or mixed income, low-coupon or zero-coupon, and any other types of
securities that the rating agencies (S&P, Fitch, Moody’s, etc.) do not consider high-risk securities. The issuers selected are sovereign
or private issuers for the most part investment grade or deemed equivalent by the management company. However, for up to 10% of
its net assets, the UCITS can hold fixed income products of high yield issuers (rating below BBB- or deemed equivalent by the
management company) or not rated by any of the main rating agencies; and up to 20% maximum of its assets in callable and puttable
bonds. Private debt securities may represent up to 100% of the assets. These issuers will be used to compensate for the low issue
volumes of certain eurozone countries or the low ratings of some States by the different rating agencies.
The management company has specific credit analysis tools for investment purposes. It has put in place an in-depth credit risk
analysis as well as the procedures necessary to take its buy decisions or, in the case of an event likely to alter an issuer’s risk/return
profile, in order to decide to sell or hold its securities.
Decisions are taken independently by each manager/analyst. In addition, the management company may use external analysis
sources: independent consulting companies or specialised credit analysis firms. Their conclusions can corroborate or qualify those
of the company’s managers/analysts.
However, reference to an issuer’s rating by one of the major rating agencies may be used by the management company to inform its
clients solely for simplification purposes. It is by no means a decision-making criterion.
Units or shares of other UCITS or AIFs:
For cash management purposes, RMM INDEXi may invest up to 10% of its assets in units or shares of French or European UCITS
that cannot invest more than 10% of their assets in units or shares of other UCIs or investment funds and/or in units or shares of
French or European AIFs, provided that they meet the four criteria of Article R.214-13 of the French monetary and financial code.
These UCIs may be managed by the management company or a related company.
b2. Derivatives
In order to achieve its investment objective, RMM INDEXi may use futures and options traded on French and foreign regulated
markets or over-the-counter transactions in eurozone fixed income and forex financial instruments (interest rate swaps, OTC options,
forex forwards or swaps). In this way, the manager can obtain positions to hedge the portfolio against the interest rate and foreign
exchange risks through the use of futures, options and forex forwards. In order to make the portfolio more dynamic, the manager can
also use these financial instruments to expose the portfolio to rates. These transactions will be carried out within the maximum limit
of 100 % of the UCITS’s assets.
✓ Types of markets traded on:
regulated: EUREX - LIFFE
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organised,
OTC.
✓ Risks on which the manager intends to intervene:
interest rate,
equity,
foreign exchange,
credit,
other risks: volatility, dividends.
✓ Purpose of the transactions, all of which must be limited to achieving the investment objective:
hedging,
exposure,
arbitrage,
other.
✓ Types of instruments used:
futures:
o on interest rates: bond contracts listed on EUREX, anticipating the trend of German sovereign debt on the main
maturities on quarterly settlement.
options:
o on interest rates: hedging or exposure to the risk of interest rate volatility by trading standardised options on bond
contracts on the EUREX.
swaps:
foreign exchange forwards: hedging of the currency risk.
credit derivatives: none.
other.
Note that the fund will not use total return swaps (TRS).
b3. Securities with embedded derivatives: The fund will not use securities with embedded derivatives, with the
exception of callable and puttable bonds, within the overall limit of 20% of assets.
b4. Deposits:
RMM INDEXi may make deposits of a maximum period of 12 months at one or several credit institutions within the limit of 100%
of its net assets as part of its cash management.
b5. Cash borrowings: None
b6. Securities financing transactions:
✓ General description of transactions:
▪ Purpose of the transactions:
Securities financing transactions shall be carried out in accordance with the French monetary and financial code. They shall be
conducted as part of cash management and/or optimisation of the fund’s income.
▪ Type of transactions used:
These transactions will consist of securities lending and borrowing and/or repos and reverse repos.
✓ General information for each type of transaction:
▪ Type of asset:
Fixed income or credit products (debt securities and money market instruments) of issuers of OECD member countries.
▪ Maximum proportion:
Securities financing transactions involving disposals (securities lending, repurchase agreements) of securities may be carried out for
up to 10% of the UCITS’s assets. Securities financing transactions involving acquisitions (securities borrowing, reverse repurchase
agreements) of securities may be carried out for up to 100% of the UCITS’s assets.
▪ Expected proportion:
The expected proportion of assets under management that will be used in securities financing transactions involving temporary
disposals (securities lending, repurchase agreements) may represent 0% of the assets. The expected proportion of assets under
management that will be used in securities financing transactions involving temporary acquisitions (securities borrowing, reverse
repurchase agreements) may represent 20% of the assets.
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✓ Choice of counterparties:
A procedure for selecting counterparties with which these transactions are entered into makes it possible to prevent the risk of a
conflict of interest when these transactions are used. These counterparties will be credit institutions having their registered office in
a Member State of the European Union and a minimum rating of BBB or deemed equivalent by the management company. These
transactions can be entered into with companies of the Group. Additional information about the counterparties selection procedure
is provided in the “Fees and expenses” section.
✓ Collateral accepted:
In order to protect against counterparty default, securities financing transactions can involve collateral received in the form of
securities and/or cash.
Collateral received is subject to the fund’s investment restrictions in terms of country, maturity, rating and currency, notably apart
from securities that are speculative grade (or deemed equivalent by the management company) and below senior ranking (junior,
subordinate, etc.) which will not be accepted.
✓ Valuation of collateral:
The collateral received as part of these transactions will be the subject of a discount according to the principle described in the section
“Information about the financial collateral of the UCITS”. For more information about the collateral, refer to the section “Information
about the UCITS’s financial collateral”.
✓ Risk management:
Refer to the “Risk profile” section.
✓ Custody:
The collateral shall be kept by the depositary of the UCITS.
✓ Voluntary or regulatory restrictions.
None.
✓ Information about the income generated:
All income resulting from efficient portfolio management techniques, net of direct and indirect operational costs, will be returned to
the UCITS.
Additional information about the remuneration terms of these transactions is provided in the Fees and expenses section of the
prospectus.
Information about the financial collateral of the UCITS:
As part of securities financing transactions and transactions on OTC derivatives, the UCITS may receive securities (such as bonds
or securities issued or guaranteed by a State or issued by international lending agencies and bonds or securities issued by good quality
private issuers) or cash as collateral.
There is no correlation policy insofar as the fund will receive mainly eurozone sovereign securities and/or cash as collateral.
Cash received as collateral is reinvested in accordance with the applicable rules. All of these assets must be issued by high-quality,
liquid, low-volatility, diversified issuers that are not an entity of the counterparty or its group.
Discounts may be applied to the collateral received; they shall take into account, in particular, the credit quality and the volatility of
the prices of the securities. The valuation is performed at least on a daily basis.
Financial collateral received must be able to give rise to full execution by the UCITS at any time and without consultation or approval
of the counterparty.
Financial collateral other than in cash must not be sold, reinvested, or pledged.
Financial collateral received in cash must only be:
- placed in deposit accounts;
- invested in high-quality government bonds;
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- used for the purposes of reverse repurchase transactions, provided that these transactions are concluded with credit institutions
subject to prudential supervision and that the UCI can, at any time, recall the total amount of cash, taking into account the accrued
interest;
- invested in money market UCIs.
➢Risk profile:
Your money will be invested primarily in financial instruments selected by the management company. These instruments will be
subject to market fluctuations and uncertainties.
More specifically, RMM INDEXi will mainly react depending on the following risks:
Discretionary management risk:
The discretionary management style of the UCITS is based on anticipating trends on the various fixed income markets. As a result,
there is the risk that the UCITS will not always be invested in the best-performing markets at all times.
Interest rate risk:
The UCITS carries an interest rate risk, the sensitivity of the portfolio to interest rates is between 0 and 15.
The sensitivity expresses the average degree of the reaction of the prices of the fixed income securities held in portfolio when interest
rates vary by 1%.
The net asset value of the UCITS will decrease if interest rates rise and will increase if they drop.
Credit risk:
Credit risk is the risk of a deterioration in the financial and economic position of an issuer, as this deterioration can lead to a drop in
the price of the issuer’s securities, and therefore a decrease in the net asset value of the UCITS.
Capital risk:
Investors should be aware that the UCITS does not offer any guarantee, that it follows the fluctuations of the market and that the
capital they invested may not be returned in full.
Risk related to inflation:
As the UCITS is exposed to inflation-indexed bonds, its return fluctuates according to the trend of the monthly inflation indices
Therefore, in the event of a drop in inflation expectations for the coming years, the value of the inflation-linked bonds could drop,
which could lead to a decrease in the net asset value of the UCITS.
Counterparty risk:
The UCITS is exposed to the counterparty risk resulting from the use of derivative instruments. The contracts of these financial
instruments could be concluded with one or more institutions that are unable to honour their commitment with regard to these
instruments. However, the majority of derivatives will be traded on organised markets, where the deposits and margin calls allow
this risk to be avoided. As forex forwards and swaps (forex and interest rate) are traded over the counter, they will represent the main
source of counterparty risk.
Risk related to lending transactions, repos and reverse repos:
The UCITS can enter into lending transactions, repos and reverse repos. In a securities lending transaction, a UCITS lends securities
via an authorised agent to another party (the “counterparty”) in exchange for income and acceptable collateral. In a repurchase
agreement, a UCITS sells securities for cash through an authorised agent with the requirement to repurchase these same securities
for cash (usually at a lower price) at a later date. In a reverse repurchase agreement, a UCITS acquires securities for cash through an
authorised agent with the requirement to resell these same securities for cash (usually at a higher price) at a later date. We provide
below a list of some of the risks involved in these types of transactions. The counterparty can default on its contractual obligations
or go bankrupt, which would oblige the UCITS to make a claim to recover its investment. The UCITS can suffer a loss if the value
of the securities loaned (in a securities lending transaction) or sold (in a repurchase agreement) increases relative to the value of the
securities held as collateral by the UCITS. The UCITS can suffer a loss if the value of the securities borrowed (in a securities
borrowing transaction) or acquired (in a reverse repurchase agreement) decreases below the price in cash that it paid to the
counterparty. Conducting these transactions with a company of the Group generates a potential risk of conflicts of interest.
Risk related to extra-financial (ESG) criteria:
8
The incorporation of sustainability risks in the investment process and responsible investing are based on the use of extra-financial
criteria. Their application can lead to the exclusion of issuers, meaning market opportunities may be lost. As a result, the performance
of the fund could be higher or lower than that of a fund that does not incorporate these criteria.
ESG data, whether coming from internal or external sources, are derived from assessments that are not subject to strict market
standards. This leaves room for subjectivity, and can result in very different ratings for an issuer from one provider to another.
Moreover, ESG criteria may be incomplete or inaccurate. There is a risk of inaccurate assessment of a security or an issuer.
These various aspects make it difficult to compare strategies that incorporate ESG criteria.
➢Guarantee or protection:
None. Neither the capital or performance are guaranteed.
➢Eligible investors and typical investor profile:
Eligible investors:
P unit: All investors
I unit: Specifically intended for institutional investors
Typical profile: The UCITS is addressed to investors that wish to benefit from bond management of their assets in the different
eurozone countries while being protected from a rise in inflation.
The amount that can be reasonably invested in this UCITS depends on each investor’s personal situation. To determine this amount,
investors must consider their personal wealth, their current needs, and the recommended investment period as well as their
willingness to take risks or, otherwise, favour a cautious investment.
In any case, investors are strongly advised to diversify their investments sufficiently so as not to be exposed solely to the risks of the
UCITS.
➢Recommended investment period: more than 3 years
➢Establishment and allocation of amounts available for distribution:
Full
accumulation
Partial
accumulation
Full
distribution
Partial
distribution
P unit Net income X
Realised net gains or losses X
I unit Net income X
Realised net gains or losses X
➢Characteristics of the units or shares:
Unit class ISIN code
Allocation of
amounts
available for
distribution
Currency
of issue
Eligible
investors
Initial value
of the unit
Minimum
initial
subscription
Subsequent
minimum
subscription
P FR0007075668 Accumulation euro All investors € 500 1 unit 1 unit
I
FR0010275628
Accumulation euro Institutional
investors €100,000
€1,000,000
One ten-
thousandth of
a unit
➢Subscriptions and redemptions:
Subscription and redemption requests are centralised up to 11:30 am on Friday by Rothschild Martin Maurel (D).
Requests received before 11:30 am on Friday will be executed on the basis of the net asset value of that Friday calculated on the
market prices of that Friday.
Requests received after 11:30 am on Friday will be executed on the basis of the net asset value of the following week.
In the event of a bank holiday, orders are centralised up to 11:30 am on the day before and executed on the net asset value calculated
on the market prices of the day before.
9
The net asset value is published on the second trading day following its calculation.
The depositary settles the units on the day of publication of the net asset value (D+2).
This process also applies to switches from one unit class to another, which is subject to the normal procedures for
subscription/redemptions.
Orders are executed in accordance with the table below:
D business day D business day D: day of NAV
calculation
D+2 business
days
D+2 business
days
D+2 business
days
Centralisation
of subscription
orders before
11:30 am¹
Centralisation
of redemption
orders before
11:30 am¹
Execution of
the order no
later than day
D
Publication of
net asset value
Settlement of
subscriptions
Settlement of
redemptions
¹Unless otherwise agreed with your financial institution.
➢Net asset value calculation:
The calculation of the net asset value is weekly, with the exception of public holidays in France (Euronext official calendar), even if
the reference stock exchange is open; in this case, it is calculated on the previous business day.
➢Fees and expenses:
Subscription and redemption fees:
The subscription and redemption fees shown below respectively increase the subscription price paid by the investor or decrease the
redemption price received. The fees retained by the UCITS are used to offset the costs incurred by the fund when investing or
divesting the entrusted assets. Any fees not retained by the UCITS are paid to the management company, marketer, etc.
Fees charged to the investor, deducted at the time of
subscription and redemption Base Rate
Subscription fee not retained by the UCITS Net asset value x
the number of units
All unit classes:
Maximum 0.20%
Subscription fee retained by the UCITS (*) Net asset value x
the number of units
All unit classes:
Maximum 0.10%
Redemption fee not retained by the UCITS Net asset value x
the number of units None
Redemption fee retained by the UCITS Net asset value x
the number of units None
(*) subscription fees paid to the fund do not apply if, for a given net asset value, the amount of subscriptions is identical to the total
amount of redemptions.
Operating expenses and management fees:
These charges cover all costs billed directly to the UCITS, with the exception of transaction costs. Transaction costs include
intermediation fees (brokerage, etc.) and turnover commissions, where applicable, which notably may be charged by the Depositary
and the Management Company.
The following may be added to the operating expenses and management fees:
- performance fees. These remunerate the management company for achieving performance in excess of the UCITS’s
objectives. They are therefore billed to the UCITS;
- turnover commissions charged to the UCITS;
- a share of the income from securities financing transactions.
For more information on the charges actually billed to the UCITS, refer to the Key Investor Information Document.
10
Fees charged to the UCITS Base Rate/Scale
Financial management fees and
administrative fees external to the
management company
Net assets excluding units or shares of
UCIs managed by Rothschild & Co Asset
Management Europe
P unit: Maximum 0.60%, all taxes
included
I unit: Maximum 0.25%, all taxes
included
Maximum indirect charges (management
fees and charges) Net assets None
Service providers collecting turnover
commissions Deducted on each transaction None
Turnover commissions Deducted on each transaction None
Research-related expenses within the meaning of Article 314-21 of the AMF’s General Regulation can be charged to the fund.
Additional information concerning securities financing transactions:
The income from repos is fully retained by the UCITS, which does not bear any fees/costs on these transactions.
For securities financing transactions, the UCITS’s service provider shall be one or more credit institutions having their head office
in a member state of the European Union. The service providers shall act independently of the UCITS and shall systematically be
counterparties of transactions on the market. These service providers could be companies of the Group and could generate a potential
conflict of interest.
Intermediary selection procedure
The Management Company may in some cases use brokers to invest in other financial instruments. In these cases, the UCI may be
charged brokerage fees.
When the Management Company trades other types of assets listed on a market (shares or units of UCITS, AIFs or open-ended
foreign investment funds, shares or units of closed-end investment companies, derivatives, etc.), it selects its financial intermediaries
according to a policy that consists of taking into account qualitative criteria (price) and quantitative criteria (market position, internal
organisation, speed, etc.) that are set based on an internal assessment grid.
Because this type of transaction does not represent a majority, Rothschild & Co Asset Management Europe may select only one
intermediary for their execution.
IV – Commercial information
• Terms for the redemption or repayment of units:
Subscription and redemption requests are centralised up to Friday before 11:30 am by Rothschild Martin Maurel
• Disclosure of information concerning the UCITS:
Rothschild & Co Asset Management Europe
Service commercial
29 avenue de Messine
75008 Paris
• Environmental, Social and Governance (ESG) criteria:
Information on how social, environmental, and governance criteria are taken into account in the investment policy is available on
the management company’s website at www.am.eu.rothschildandco.com and in the fund’s annual report.
The website of the AMF www.amf-france.org contains additional information on the list of regulatory documents and all provisions
pertaining to investor protection.
V – Investment rules
The UCITS complies with the eligibility rules and investment limits laid out by current regulation, notably Articles L 214-20 and R
214-9 and following of the French monetary and financial code.
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VI – Overall risk
Method of calculation of the overall risk: Commitment method.
VII – Asset valuation rules
The undertaking complies with the accounting rules prescribed by current regulation, and notably the UCITS accounting charter
(Notice of the Conseil National de la Comptabilité No. 2003-08 of 24 June 2003).
The accounting currency of the UCITS is the euro.
The statements relating to the securities portfolio are prepared with reference to the historical cost: entries (acquisitions and
subscriptions) and exits (sales or redemptions) of assets are accounted for based on acquisition price, excluding costs. All exits
generate a sale or redemption capital gain or loss and potentially a redemption premium.
The UCITS values its portfolio at the present value, resulting from the market value, or if there is no market from financial methods
by all external means: appraisal values, price used in a takeover bid, significant transactions, etc.
The difference of the entry value - present value generates a capital gain or loss that will be recorded under “estimated differences in
the portfolio”.
The valuation rules are set by the management company, under its responsibility.
➢Asset valuation rules:
The net asset value of the unit is calculated in accordance with the valuation rules below:
Financial instruments and securities traded on a regulated market are valued at market price.
However, the following instruments are valued according to the following specific methods:
− European bonds and equities are valued at closing price, and foreign securities at the last known closing price.
− Negotiable debt securities with a life of over three months are valued at market rates.
− Negotiable debt securities with a residual life below or equal to three months, and in the absence of particular sensitivity, are
valued using the straight-line method.
− Negotiable debt securities with a life of less than three months are valued at the negotiated purchase rate. The discount or
premium is amortised on a linear basis over the life of the negotiable debt security.
− UCI units or shares are valued at the last known net asset value.
− Financial instruments for which a price was not quoted on the valuation date or was adjusted are valued at their probable trading
value under the responsibility of the management company. These valuations and their justification are communicated to the
statutory auditor during the audits.
− Securities that are used in securities financing transactions are valued in accordance with current regulations according to the
terms of the original contract.
− Financial instruments not traded on a regulated market are valued under the responsibility of the management company at their
probable trading price.
− Warrants or subscription warrants obtained for free in a private placement or capital increase will be valued as soon as they are
admitted on a regulated market.
− Contracts:
Futures are valued at settlement price and options according to the underlying.
The market value for futures is equal to the euro price multiplied by the number of contracts.
The market value for options is equal to the conversion in their underlying equivalent.
Interest rate swaps are valued at market rates in accordance with the contractual provisions.
Off-balance sheet transactions are valued at market value.
− Financial collateral:
Financial collateral is marked to market on a daily basis, in compliance with the valuation rules described above.
Practical modalities:
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The portfolio (equities, bonds, UCIs, negotiable debt securities and other assets) is valued on the basis of the prices extracted mainly
from Bloomberg or, failing this, Thomson Reuters, Telekurs or Morning Star (UCIs) depending on their listing venue:
− Europe: extraction at 8:00 am on the NAV calculation date +1 for a listing at closing price.
− Futures positions are valued at each net asset value on the basis of the day’s settlement prices.
− Option positions are valued at each net asset value based on the principles used for their underlying.
➢ Accounting methods:
Accounting method for income from fixed income products:
Income from bonds, participating securities, government paper and all types of debt securities held by the UCITS are recognised on
an accrual basis between the acquisition date or previous close and the closing of the accounts. It is booked under distributable
income on an accrual basis.
Accounting method for securities acquisition costs:
Acquisition costs are booked as trading costs for the UCITS.
Accounting method for management fees:
Management fees are booked on the income statement of the UCITS at each net asset value calculation.
Management fees cover the costs of the financial management, administrative and accounting management, custody of assets, the
distribution of assets and controls by the depositary.
Management fees are calculated based on the net assets less the units of UCIs managed by the management company.
VIII – Remuneration
Rothschild & Co Asset Management Europe is included in the remuneration policy of the Rothschild & Co Group.
The management company has put in place an appropriate remuneration policy for its organisation and activities.
The aim of this policy is to provide a framework for the remuneration practices concerning employees with decision-making, control
or risk-taking powers.
This remuneration policy was defined in accordance with the objectives, values and interests of the Group, the UCITS managed by
the company and their holders.
The aim of this policy is to not encourage excessive risk-taking that is incompatible with the risk profile of the UCITS managed:
The remuneration policy is approved and overseen by the company’s supervisory board.
The remuneration policy is available at www.am.eu.rothschildandco.com or free of charge on simple written request to the
management company.
Date of publication of this prospectus: 12 March 2021
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RULES
MUTUAL FUND (FONDS COMMUN DE PLACEMENT) RMM INDEXi
SECTION 1 - ASSETS AND UNITS
Article 1 – Co-ownership units
The rights of owners are expressed in units, each unit corresponding to a same fraction of the fund’s assets. Each unitholder has a
right of joint ownership of the fund’s assets in proportion to the number of units held.
The term of the fund is 99 years from 6 August 2002, except in the case of early dissolution or extension provided for in these rules.
The characteristics of the various unit classes and their access conditions are set out in the fund’s prospectus. The different unit
classes may:
- have different arrangements for distributing income (paid out or accumulated);
- be denominated in different currencies;
- be subject to different management fees;
- be subject to different subscription and redemption fees;
- have a different nominal value;
- be systematically hedged against risk, either partially or in full, as set out in the prospectus. This hedging process is conducted
using financial instruments that reduce the impact of the hedging transactions for the other unit classes of the UCITS to a
maximum;
- be reserved for one or more distribution networks. Possibility to group together or split units.
Units may be subdivided on decision of the management company into tenths, hundredths, thousandths, or ten-thousandths, referred
to as fractions of units.
The provisions of the articles of association governing the issue and redemption of units shall also apply to the fractions of units, the
value of which shall always be proportionate to that of the unit they represent. All other provisions of the rules relating to units shall
apply to fractions of units without any need to make a specific provision. Lastly, the management company alone can decide as to
the division of units through the creation of new units that are attributed to the unitholders in exchange for the former units.
Article 2 – Minimum assets
Units may not be redeemed if the fund’s assets fall below €300,000; when assets remain below this amount for 30 days, the portfolio
management company shall take the necessary measures to liquidate the fund, or carry out one of the transactions referred to in
Article 411-16 of the AMF´s General Regulation (conversion of the UCITS).
Article 3 – Issues and redemptions of units
Units may be issued at any time at the request of the unitholders on the basis of their net asset value plus, where applicable, the
subscription fees. Redemptions and subscriptions are made under the conditions and according to the procedures specified in the
prospectus.
Mutual fund units may be admitted for trading according to the regulation in force.
Subscriptions must be fully paid on the day of calculation of the net asset value. They can be made in cash and/or the contribution
of financial instruments. The management company has the right to refuse the securities proposed, and to this effect has a period of
seven days from their deposit to notify its decision. If accepted, the assets contributed are valued according to the rules set out in
Article 4, and the subscription is made on the basis of the first net asset valuation following the acceptance of the securities concerned.
Redemptions can be made in cash and/or in kind. If the redemption in kind corresponds to a representative share of assets in the
portfolio, then only the written signed agreement of the unitholder must be obtained by the UCITS or the management company. If
the redemption in kind does not correspond to a representative share of assets in the portfolio, all unitholders must give their written
approval authorising the redemption of the outgoing unitholder’s units against certain specific assets, as defined explicitly in the
agreement.
In derogation from the above, when the fund is an ETF, redemptions on the primary market can, with the agreement of the portfolio
management company and in respect of the interests of unitholders, be made in kind according to the conditions defined in the
prospectus or the fund’s rules. The assets will then be delivered by the issuer account holder under the conditions defined in the
fund’s prospectus.
In general, the assets redeemed are valued according to the rules set out in Article 4, and the redemption in kind takes effect based
on the first net asset valuation following the acceptance of the securities concerned.
The redemptions are settled by the issuer account holder within a maximum of five days following the date of valuation of the unit.
However, if in exceptional circumstances the redemption requires the prior realisation of assets in the fund, this period could be
extended, without exceeding 30 days.
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Except in the case of inheritance or inter-vivos gifts, the sale or transfer of units from one unitholder to another or to a third party
shall be treated as a redemption followed by a subscription; in the case of a third party, the amount of the sale or transfer must, where
necessary, be made up by the beneficiary to reach the required minimum subscription amount specified in the prospectus.
Pursuant to Article L. 214-8-7 of the French financial and monetary code, the redemption of units by the fund, like for the issue of
new units, may be suspended on a temporary basis by the management company when exceptional circumstances so require and if
it is in the best interest of the unitholders to do so.
If the net assets of the fund fall below the minimum regulatory requirement, no unit redemptions may be made.
In application of Articles L. 214-8-7 of the French monetary and financial code and 411-20-1 of the AMF General Regulation, the
management company can decide to cap redemptions if required by exceptional circumstances and if it is in the best interest of the
unitholders or the public to do so.
The terms of application of the capping mechanism and information to unitholders must be precisely described.
Units may be subject to minimum subscription conditions, pursuant to the terms specified in the prospectus.
The fund may cease to issue units pursuant to the second paragraph of Article L.214-8-7 of the French monetary and financial code,
provisionally or definitively, in part or in full, in situations that objectively require the closure of subscriptions, such as when the
maximum number of units has been issued, a maximum amount of assets has been reached, or a specific subscription period has
expired. The triggering of this tool will be the object of information by any means to existing unitholders relative to its activation as
well as to the threshold and the objective situation having led to the partial or full closure decision. In the event of partial closure of
subscriptions, this information by all means will explicitly indicate the terms under which existing unitholders can continue to
subscribe throughout the duration of this partial closure. Unitholders are also informed by all means of the decision by the
management company either to end the full or partial closure of subscriptions (after a fall below the trigger threshold) or not to end
it (if the threshold is changed or the objective situation that led to the tool being implemented changes). A change in the objective
situation invoked or in the trigger threshold for the tool should always be undertaken in the interests of the unitholders. The
information by all means points out the exact reasons for these changes.
Article 4 – Calculation of net asset value
The net asset value of the share is calculated in accordance with the valuation rules specified in the prospectus.
Contributions in kind may only consist of the securities, instruments, or contracts eligible to form part of the UCITS’s assets;
Contributions and redemptions in kind are valued in accordance with the valuation rules applicable to the calculation of the net asset
value.
SECTION 2 - OPERATION OF THE FUND
Article 5 – The Management Company
The fund is managed by the management company in accordance with the guidelines defined for the fund.
The management company acts in all circumstances in the exclusive interest of the unitholders and it alone can exercise the voting
rights attached to the securities held by the fund.
Article 5a – Rules of operation
The instruments and deposits eligible as fund assets and the investment rules are described in the prospectus.
Article 5b – Admission to trading on a regulated market and/or a multilateral trading facility
The units may be admitted for trading on a regulated market and/or multilateral trading facility in compliance with applicable laws
and regulations. In the event that a fund whose units are admitted to trading on a regulated market has an investment objective based
on an index, it must have put in place a mechanism to ensure that the price of its units do not deviate significantly from its net asset
value.
Article 6 – The Depositary
The depositary shall perform the duties for which it is responsible in accordance with the legal and regulatory provisions in force
and those contractually entrusted to it by the management company. It must, in particular, ensure that the management company’s
decisions are lawful. Where applicable, the depositary must take any protective measures that it deems useful. It shall inform the
French regulator, l’Autorité des Marchés Financiers (AMF), in the event of a dispute with the management company.
Article 7 – Statutory Auditor
A statutory auditor is appointed for six financial years, after approval by the AMF, by the management company’s governing body.
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The statutory auditor shall certify that the accounts are true and fair.
The statutory auditor may be reappointed to office.
The statutory auditor shall inform the AMF as soon as possible of any event or decision concerning the UCITS of which the statutory
auditor has become aware in the course of the work that may:
1°/ Constitute an infringement of applicable laws or regulations applicable to this undertaking and which may have a significant
effect on the financial position, earnings, or assets;
2°/ Adversely affect the conditions or the continuity of its operations;
3°/ Result in the statutory auditor expressing a qualified opinion or refusing to certify the accounts.
Asset valuations and the determination of exchange ratios used in conversions, mergers, or splits shall be audited by the statutory
auditor.
The statutory auditor assesses all contributions or redemptions in kind under its responsibility, except under
the framework of redemptions in kind for an ETF on the primary market. The statutory auditor shall certify the accuracy of the composition of the assets and other information before it is reported.
The statutory auditor’s fees shall be set by mutual agreement between the statutory auditor and the management company’s governing
body on the basis of a work schedule specifying the procedures deemed to be necessary.
The statutory auditor shall certify the circumstances underlying any interim distributions.
The statutory auditor’s fees are included in the management fees.
Article 8 – Financial statements and management report
At the end of each financial year, the management company prepares the summary documents and draws up a management report
on the fund for the year just ended.
The management company draws up a list of the fund’s holdings, at least each half-year and under the control of the depositary. The
management company makes these documents available to unitholders within four months following the end of the financial year
and informs them of the amount of income they are entitled to: these documents are either sent by post at the express request of the
unitholder, or made available to them at the management company.
SECTION 3 - ALLOCATION OF INCOME
Article 9 – Allocation of amounts available for distribution
Net income for the year is equal to the amount of interest, arrears, dividends, premiums, bonuses, and directors’ fees, as well as
all income relating to securities that constitute the fund’s portfolio, plus income from temporary cash holdings, less management
fees and borrowing costs.
Amounts available for distribution consist of the following:
1° Net income for the year, plus retained earnings and plus or minus the balance of the income equalisation account;
2° Capital gains realised, net of costs, minus capital losses realised, net of costs recorded during the period, plus net capital gains
of the same type recorded during earlier periods that were not the subject of any payout or accumulation and minus or plus the
balance of the capital gains equalisation account.
The amounts indicated in points 1° and 2° above may be distributed independently of each other, in whole or in part.
Amounts available for distribution must be paid within a maximum period of five (5) months from the year-end.
The management company decides on the allocation of the sums available for distribution.
For each unit class, where applicable, the Fund may choose one of the following options for each of the amounts mentioned in
points 1° and 2°:
- Accumulation only: distributable amounts shall be fully accumulated, with the exception of those amounts which are
subject to compulsory payout by law;
- Distribution only: all amounts available for distribution shall be paid out to the nearest round number; the company may
make interim dividend payouts;
- For funds that would like to remain free to accumulate and/or pay out, and/or retain amounts available for distribution, the
management company shall decide each year on the allocation of the amounts indicated in points 1° and 2°.
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Where applicable, the management company can decide, during the year, to distribute one or more interim dividends within the
limit of the net income from each of the amounts indicated in 1° and 2°, booked on the decision date, as well as their amounts
and their distribution dates.
For the (i) distribution only and (ii) accumulation and/or distribution units, the management company shall decide each year how
to allocate the capital gains (accumulated, paid out, and/or retained).
More precise details concerning the allocation of distributable amounts are provided in the prospectus.
SECTION 4 - MERGERS - SPLITS - DISSOLUTION - LIQUIDATION
Article 10 – Mergers - Splits
The management company can either contribute all or part of the fund’s assets to another UCITS, or split the fund into two or several
other mutual funds.
These merger or split transactions can only take place after their notification to the unitholders. Following the transaction a new
certificate will be delivered specifying the number of units held by each holder.
Article 11 – Dissolution - Extension
If the fund’s assets remain below the amount set in article 2 above for a period of 30 days, the management company will inform the
AMF and dissolve the fund, unless it is merged with another mutual fund.
The management company can dissolve the fund before the end of its intended term; it must inform the unitholders of its decision,
and subscription and redemption requests will no longer be accepted after that date.
The management company can also dissolve the fund in the event of a request for the redemption of all units, if the depositary ceases
to perform its duties and no other depositary has been appointed, or on expiry of the term of the fund, if it has not been extended.
The management company shall inform the AMF by post of the dissolution date and procedure chosen. It will then send the statutory
auditor’s report to the AMF.
The management company can decide to extend the fund with the agreement of the depositary. Its decision must be taken at least
three months before the expiry of the intended term of the fund and notified to the unitholders and the AMF.
Article 12 – Liquidation
In the event of dissolution, the management company takes on the role of liquidator; failing this, a liquidator will be assigned by a
court of law at the request of any stakeholder. To this end, the liquidator is vested with the most extensive powers for liquidating
assets, paying creditors and distributing the available balance to unitholders in cash or securities.
The auditor and the depositary shall continue to carry out their duties until the liquidation operations have been completed.
SECTION 5 – DISPUTES
Article 13 – Jurisdiction – Election of domicile
All disputes related to the fund that may arise during its operation or liquidation, either between unitholders or between unitholders
and the management company or the depositary, shall be referred to the competent courts.
