Asset Management Exchange Master ICAV – Versor Systematic Merger Arbitrage 

SFDR

ARTICLE 8 DISCLOSURES

Summary 

AMX Master ICAV Versor Systematic Merger Arbitrage (the “Sub-Fund”) has been categorised as meeting the provisions set out in Article 8 of the SFDR in relation to products that promote environmental and social characteristics. The investment strategy of the Sub-Fund is principally to invest in an investible universe consisting of announced merger deals in the United States, Europe, the United Kingdom and Canada. The Sub-Fund seeks to capture the risk premia associated with announced merger deals. The below sets out the key information with regards to the environmental characteristics promoted by the Sub-Fund and the approach taken.

Does the Sub-Fund include a sustainability-related investment objective?

The Sub-Fund promotes environmental or social characteristics, but does not have as its objective sustainable investment nor invest in sustainable investments

What environmental and/or social characteristics are promoted by this financial product?

The Sub-Fund promotes social and environmental characteristics by virtue of excluding companies that do not meet certain social or environmental standards. Specifically, the Sub-Fund excludes companies active in the manufacture of certain weapons and companies focused on particular energy and mining activities. 

The Sub-Fund will exclude:

• any companies with revenues over 25% from mining or sale to third parties;
• any companies with revenues over 50% from coal power generation;
• any companies with revenues over 25% from oil sands extraction; and
• any companies with ties to cluster munitions, landmines, biological / chemical weapons, depleted uranium weapons, blinding laser weapons, incendiary weapons, and/or non-detectable fragments

What investment strategy does this financial product follow?

The investment strategy of the Sub-Fund is principally to invest in an investible universe consisting of announced merger deals in the United States, Europe, the United Kingdom and Canada. The Sub-Fund seeks to capture the risk premia associated with announced merger deals. For example, when a merger is announced, the stock price of the target generally trades at a discount to the consideration offered by the acquirer until the deal closes. The Sub-Fund will typically take a long position in the target company and a short position in the acquirer (for deals involving stock as consideration). The discount is essentially the risk premium to be earned if the deal closes at the stated terms and the trade will generally result in losses if the deal terminates or fails to close. The risk premia earned are thus the compensation for taking the deal closure risk and providing liquidity to holders of stock who wish to liquidate positions in stocks undergoing a corporate event.

By excluding mergers involving companies that do not meet certain social or environment standards, the Sub-Fund withholds its support for such mergers. As a result, Sub-Fund investors have no direct or indirect responsibility for the activities of the excluded firms 

The Sub-Fund monitors announced mergers for exclusion based on characteristics of the companies using data published by the companies and by third-party data vendors. The data measure business activities by the companies, for example the activity level in mining, coal power generation, or the manufacture of certain weapons systems. 

Proportion of investments

Solely by virtue of the Sub-Fund’s commitment to the exclusions listed below, it is anticipated that 100% of the Sub-Fund’s investments will be aligned with the environmental and social characteristics being promoted by the Sub-Fund. However, the minimum proportion shall be 0%, for instances where, for example, there may be a dispute as to the calculation of a revenue percentage referenced in the exclusions list below. 

As detailed above the Sub-Fund will exclude:

• any companies with revenues over 25% from mining or sale to third parties;
• any companies with revenues over 50% from coal power generation;
• any companies with revenues over 25% from oil sands extraction; and
• any companies with ties to cluster munitions, landmines, biological / chemical weapons, depleted uranium weapons, blinding laser weapons, incendiary weapons, and/or non-detectable fragments

Monitoring of environmental or social characteristics

The Sub-Fund invests in eligible merger targets once the merger is announced. At the time of announcement, before the position enters the portfolio, Versor’s merger portfolio team evaluates each target company based on its revenue streams and ESG scores. The Sub-Fund only takes a position if the target company clears the minimum investment criteria for the Sub-Fund. 

Versor’s merger portfolio team screens announced mergers using information published by the companies, Bloomberg, Refinitiv, or similar vendors. The information is used to determine the target’s relevant characteristics: 

1. Industrial sector of the company
2. The operations of the company 
3. The sources of revenue for the company

If any of the above information above meets the criteria for excluding the Target, then the security is permanently excluded from the investible universe. 

Methodologies for environmental or social characteristics’ for financial products that promote environmental or social characteristics

The Sub-Fund excludes companies active in the manufacture of certain weapons and companies focused on particular energy and mining activities.

The Sub-Fund aligns its investments with the environmental and social characteristics being promoted by the Sub-Fund by excluding investments that do not meet these environmental and social standards.

Versor’s merger team screens mergers at announcement and permanently excludes deals that do not meet the environmental and social standards of the Sub-Fund. 

Data sources and processing’ for financial products that promote environmental or social characteristics

Versor’s merger portfolio team screens announced mergers using information published by the companies, Bloomberg, Refinitiv, or similar vendors. Upon announcement of a merger, the team collects the relevant firm information from Refinitiv. The data supplied by Refinitiv are a mixture of audited company information, non-audited company information, external assessments by third party data vendors, and external assessments by Refinitiv. For firms in affected industries, the Versor merger team verifies the main characteristics on Bloomberg or in company publications to determine whether the position should be excluded per the criteria listed above. 

Versor Investments has obtained such data from what it believes to be reliable sources. However, Versor Investments has no ability, and has not attempted independently, to verify any of such information. Versor Investments has not generated or independently verified the data included in this document and assumes no responsibility for it. 

Limitations to methodologies and data

The exclusions are implemented based on information published by firms or third-party data vendors. Versor applies best efforts to ensure accuracy of this information. In some instances, however, the information obtained by Versor may be incomplete or inaccurate. 

 This may lead Versor to exclude companies that could have been included or include companies that should have been excluded.

While such inclusions and or exclusions are possible, they are unlikely to materially impair the environmental or social characteristics of the Sub-Fund should they occur. In a typical year, the Sub-Fund makes 100 or more investments and restricts each investment to be less than 10% of the overall net assets. In such a portfolio, the inadvertent erroneous inclusion of one, or a few, positions does not materially change the environmental of social characteristics over time.

Due diligence

Using information published by the companies, Bloomberg, Refinitiv, or similar vendors, Versor’s merger team carries out detailed due diligence on each announced merger to determine its inclusion in the investable universe. Deals that are ineligible at announcement are permanently excluded from the portfolio. 

Engagement policies

Versor does not actively engage with company management at invested or excluded companies. The Sub-Fund promotes social and environmental characteristics by virtue of excluding companies that do not meet certain social or environmental standards.

Designated reference benchmark

No ESG reference benchmark has been designated for this Sub-Fund.

Disclosures:

While Versor may consider ESG factors when making investment decisions, Versor does not pursue an ESG-based investment strategy or limit its investments to those that meet specific ESG criteria or standards.

It should not be assumed that any ESG initiatives, standards, or metrics described herein will apply to each asset in which Versor invests or that any ESG initiatives, standards, or metrics described herein have applied to Versor’s prior investments. ESG is only one of many considerations that affect Versor’s investment decisions. Other considerations outweigh ESG considerations in certain circumstances. The information provided herein is intended solely to provide an indication of the ESG initiatives and standards that Versor applies when seeking to evaluate and/or improve the ESG characteristics of its investments as part of the larger goal of maximizing financial returns on investments. Any ESG initiatives described herein will be implemented with respect to a portfolio investment only to the extent Versor determines these initiatives to be consistent with its broader investment goals and applicable laws. Accordingly, certain investments may exhibit characteristics that are inconsistent with the ESG initiatives, standards, or metrics described herein.