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23/08/2017

GB: Swing Pricing

Information Notice
UCITS unit classes

H2O ADAGIO

Introduction of swing pricing
scheduled for 28 August 2017
R (C) unit FR0010923359
HUSD-R (C) unit FR0011981745
HCHF-R (C) unit FR0011981752*
HSGD-R (C) unit FR0011981711*
HGBP-R (C) unit FR0012489730
I (C) unit FR0010929794
I (C/D) unit FR0012916682*
HUSD-I (C) unit FR0011981786
HCHF-I (C) unit FR0011981794*
HSGD-I (C) unit FR0011981778*
HGBP-I (C) unit FR0011981810
HAUD-I (C) unit FR0013186756*
N (C) unit FR0013186772*
HJPY-I (C) unit FR0013186764*
HGBP-I-(B) (C) unit FR0013239720*


H2O MODERATO**

Introduction of swing pricing
scheduled for 28 August 2017


R (C) unit FR0010923367*
HCHF-R (C) unit FR0011061779*
HUSD-R (C) unit FR0013055209*
I (C) unit FR0010929836*
HCHF-I (C) unit FR0011973643*

HUSD-I (C) unit FR0013055217*
N (C) unit FR0013185196*
HSEK-R (C) unit FR0013185204*
HSEK-I (C) unit FR0013185212*
HGBP-I (C) unit FR0013185220*


H2O MULTIEQUITIES**

Introduction of swing pricing
scheduled for 28 August 2017
R (C) unit FR0011008762*
RUSD (C) unit FR0011978204*
HCHF-R (C) unit FR0011707520*
HUSD-R (C) unit FR0012971018*
I (C) unit FR0011008770*
IUSD (C) unit FR0011559590*
HCHF-I (C) unit FR0011707538*
HUSD-I (C) unit FR0012971026*
N (C) unit FR0013198439*


H2O MULTIEMERGING DEBT**

Introduction of swing pricing
scheduled for 28 August 2017
R (C) unit FR0012329068*
RUSD (C) unit FR0012329076*
I (C) unit FR0012329084*
IUSD (C) unit FR0012329092*


H2O MULTISTRATEGIES**

Introduction of swing pricing
scheduled for 28 August 2017
R (C) unit FR0010923383*
RUSD (C) unit FR0011978238*

HCHF-R (C) unit FR0011061803*
HSGD-R (C) unit FR0012517241*
HUSD-R (C) unit FR0013055225*
HSEK-R (C) unit FR0013187929*
I (C) unit FR0010930446*
IUSD (C) unit FR0011978253*

HCHF-I (C) unit FR0011978261*

HSGD-I (C) unit FR0012517233*
HUSD-I (C) unit FR0013055233*
HSEK-I (C) unit FR0013186723*
N (C) unit FR0013186749*

*The unit class is not registered in The United Kingdom.
** The Fund is not registered in The United Kingdom.
 

We hereby inform you that, as of 28 August 2017, H2O AM LLP has decided to implement a net asset value adjustment mechanism – known as “swing pricing” – for all units and/or shares of the UCITS mentioned above.

This mechanism consists of making investors subscribing for or redeeming their units or shares of a UCITS bear the costs associated with transactions carried out on the assets of that UCITS as a result of the movements (subscriptions or redemptions). Its purpose is to protect the non-trading shareholders who remain in the mutual fund from the dilution effect of these costs, which impact the UCITS’ performance by making them bear the lowest possible costs.
The result is an adjusted "swing" NAV.

H2O AM LLP opted for the so-called “swing pricing model with trigger threshold”. Protection is therefore triggered only after a certain predetermined threshold, which takes into account the net subscription / redemption balance as a percentage of the net assets of the UCITS. An adjustment factor, called a "swing factor", is then applied to adjust the net asset value upward in the case of net inflows, or downward in the case of net redemptions.

It is also noted that the volatility of the net asset value of the UCITS may not reflect only the volatility of the securities held in the portfolio due to the application of the adjustment mechanism.
Implementation of swing pricing does not generate additional costs for the relevant UCITS: the mechanism only results in a different allocation of costs between the holders/shareholders. Swing pricing settings are confidential and cannot be confirmed . Other characteristics of mutual funds remain unchanged.

We also inform you that, as of 28 August 2017, these UCITS may enter into total return swaps (“TRS”) which seek to swap the performance of all or some of the assets held by the Funds (and held by the Funds’s custodian) for the performance of an index or an asset class listed in the section entitled “Description of asset classes and financial contracts” of the prospectuses.

The proportion of asset under management that may be used for TRS is as below:

UCITS Expected percentage Maximum percentage
H2O Adagio 100% 100%
H2O Moderato ** 100% 100%
H2O MultiEquities** 100% 100%
H2O MultiEmergingDebt** 25% 50%
H2O MultiStrategies** 25% 50%
** The Fund is not registered in The United Kingdom.