Combined TCFD report Article 173 - Rothschild & Co

Combined TCFD report

– Article 173Rothschild & Co Asset Management Europe

December 2020

Article 173 (VI) of the french Law on Energy Transition for a greener growth provides a regulatory framework on climate

change risk management and the integration of environmental, social and governance (ESG) issues in investment policy. It

encourages companies to take a transparent approach to investors on their alignment for a low carbon transition.

The decree governing its entry into force was published on December 31st 2015.

The purpose of this report is to present the initiatives of Rothschild & Co Asset Management Europe responsible investment

initiatives.

This report has two goals:

1. To comply with the obligations related to the "Article 173 VI" decree

2. To integrate the recommendations of the Task Force on Climate-Related Financial Disclosures (CRFD)

In both cases, the required information relates to additional aspects of sustainability issues and their integration into our

investment process. Through TCFD, we focus on climate-related risks and opportunities, while Article 173 also integrates

environmental, social and governance (ESG) aspects.

In order to converge towards both, the structure of this report is based on the TCFD guidelines:

1. Governance

2. Strategy

3. Risk management

4. Indicators

1

Our responsible investment approach has been progressively strengthened since 2011, when Rothschild & Co Asset Management Europe

became a signatory to the UN Principles for Responsible Investment (UN-PRI). It relies on two main pillars:

1) The integration of ESG criteria in fundamental analysis

Extra-financial performance trajectory analysis has gradually become a comprehensive part of our investment decision process. It integrates our usual

analysis grids : assessment of the credibility and the ambitions of the management team, evaluation of the means implemented and the capacity to finance

future developments, analysis of the level of transition of the business model, understanding of the competitive environment. It is therefore a central element

that allows us to apprehend the risk premium, challenge the valuation forecasts, and appreciate the convexity of our investment choices.

2) An active engagement policy

We favour engagement to any mechanism of systematic exclusions (excluding regulatory exclusions): raise awareness amongst management teams of

best practices in their sector, draw their attention to controversies, and use our shareholder leverage alone and/or through collaborative engagement

initiatives and identify the transition levers is part of our role as a responsible investor both vis-à-vis our shareholders and all our stakeholders.

The years 2019 and 2020 have been a milestone in strengthening our ESG integration process, engagement policy and ESG products offering.

Once the integration of ESG criteria across all asset classes under management finalized, we took a further step forward in 2019 with the launch of the

4Change funds range. It is structured around targeted sustainable investment themes and complies with higher minimum ESG standards, like the R-co

4Change Climate Credit Euro and R-co 4Change Climate Equity Europe funds focusing on climate change. Through this new funds range, we have started

to monitor more carefully specific KPIs relating to the negative and positive impacts of our investments and developed new reading grids, focusing on both

the materiality and the additionality of our investments, particularly with the launch of our R-co 4Change Green Bonds fund.

We have also strengthened our engagement policy regarding climate change in 2019 by joining the Climate 100+ initiative, which targets a constructive

dialogue with the biggest GHG emissions emitters regarding their governance of climate issues and their adoption of credible plans to reduce their

environmental impact.

The adoption of common investment principles relating to thermal coal across all the investment business lines of the Group is another important step in our

engagement to fight climate change at both R&Co Asset Management Europe and R&Co levels.

Géraldine Gouges

Group Head of Responsible Investment, Rothschild & Co

Introduction

The responsible approach of

the Rothschild & Co group

1

Rothschild & Co

Corporate Responsability

1.1

Our corporate responsibility strategy sets out a clear commitment regarding the conduct of our activities and presents our

ambitions around 5 pillars:

Rothschild & Co Corporate responsibility

6Source: Rothschild & Co Asset Management Europe – 31/12/20

900,000+ young people helped, collectively, by

the charities that have benefited from

our contributions

of the group's electricity

comes from certified

renewable sources

employees, who make up

the diversity of our teams

decrease in Scope 1

emissions in 2019

(vs. 2018)

of employees have

carried out community

involvement activities

Our priorities

Cultivate a

responsible human

resources culture

Our community

involvement

Promote responsible

business practices

Promote sustainable

investment solutions

Assume our

responsibilities

regarding the

environment

We attach great importance to good conduct, personal

responsibility and involvement in the work both between

employees and with our clients.

Our aim is to attract and retain the most talented people

from a variety of backgrounds, cultures and experiences,

creating an environment that enables our people to develop,

perform and excel.

We want to actively contribute to the evolution of business

practices and the orientation of financial flows towards a

more sustainable economy.

We are determined to contribute to a more environmentally

sustainable economy and to limit our impact on the

environment.

We support young people from underprivileged

backgrounds in carrying out their projects, so that everyone

can build and develop themselves thanks to their abilities

and potential, whatever the environment.

We continually pay attention to the risks and opportunities inherent in the Corporate Responsibility business model.

Corporate Responsibility Strategy

A working group consisting of

members of the Executive Board

carried out an in-depth assessment

of Corporate Responsibility issues.

The objective was to identify the

social, environmental and

governance issues that are most

important to our stakeholders and

likely to create opportunities or

risks for the Group's various

businesses.

The significance matrix presents the

main non-financial risks and

opportunities related to Corporate

Responsibility that have been

assessed and, among these, those

that we considered to be the most

significant. They form the basis for the

development of the Group's Corporate

Responsibility strategy.

The findings of this evaluation

highlight five main areas of

responsibility that represent

important non-financial priorities for

our work.

Methodology: Through discussions with divisional and Group management teams, regulatory texts and recognised

NGO executives, we have identified a long list of potential Corporate Responsibility issues for the Group. Then,

together with the management teams, we prioritised the most significant areas based on regular feedback from

customers, investors, suppliers and our staff, secondary market research and experts within the Group to ensure

regulatory compliance. These views on priorities have been incorporated into the significance matrix of the Group's

Corporate Responsibility issues. The Group's strategy and the resulting priorities were defined by the Group's

Executive Committee and validated by Rothschild & Co Gestion.

Source: Rothschild & Co Asset Management Europe – 31/12/20 7

Materiality matrix

RELEVANCE TO OUR KEY STAKEHOLDERS WITHIN THE BUSINESS LINES

Imp

ort

an

ce

fo

r s

tak

eh

old

ers

Significance for the Group

Biodiversity

Contributions to civil society

Waste management

Responsible consumption

Climate change & GHGHuman rights

Management of the Group's capital

Community Involvement

Responsible/active impact investment

ESG risk and opportunity

management

Employee

development

and well-being

Governance structure

Culture and compliance schemes

Confidentiality

Payroll issues

Social impact

Responsible Investment

Integrity of the company

Environmental management

CORPORATE RESPONSIBILITY ISSUES THAT PRESENT SIGNIFICANT RISKS / OPPORTUNITIES WITHIN THE GROUP

At the heart of our activities and steered by managers at the highest level of the Management and the Supervisory Board

Corporate Responsibility Governance

Our Corporate Responsibility strategy and policy is initiated, defined

and steered by the Group Executive Committee ("GEC"). A member

of this Committee is responsible for all of our global initiatives in this

area. The GEC shall, if necessary, decide on Corporate Responsibility

issues at its ordinary meetings and present the strategy to the

Supervisory Board at least once a year.

In 2019, topics related to Corporate Responsibility were discussed

in 50% of meetings. In 2019, the GEC appointed a Group Corporate

Responsibility Director to help coordinate Group-wide initiatives and

provide consolidated data on the Group's performance with regard to

our strategic objectives. The Group's Corporate Responsibility

Director reports to the responsible GEC member and to one of the

Managing Partners. It is supported by experts related to our priority

areas and works closely with the various Group Management

Committees dedicated to the management and operational

implementation of our initiatives in all our business lines.

Thanks to this integrated approach, we ensure the proper

implementation of our Corporate Responsibility strategy at all

levels and business lines.


Group’s Responsible

Investment Committee

World Committee

for Equality and

Inclusion

World Committee

for Community

Engagement

Environment, Health

and Safety Committee

of the Group

Gro

up

Dir

ecto

r o

f C

orp

ora

te

Re

sp

on

sib

ilit

y

Supervisory

Board

CR Committee

Rothschild & Co

Management

Human resources

Legal and

compliance

Financial management

Risk management

Internal audit

Group

Executive

Committee

Overview of the 4 committees supporting the Executive Committee of the Group

Responsibility

1Group’s

Responsible

Investment

Committee

• By being a committed

investor and offering

sustainable investment

products, we are working

on a Group-wide ESG

integration strategy to

influence the

transformation of

industries towards

sustainable practices.

2World Committee

for Equality and

Inclusion

• Rothschild & Co provides

long-term opportunities

for our talents and

promotes a diverse,

inclusive and flexible

environment that enables

all employees to achieve

their personal and

professional aspirations.

3World Committee

for Community

Engagement

• We define and drive the

Group's community

engagement strategy to

achieve our overall

mission: to make a

meaningful difference for

disadvantaged children

and young people.

4Environment,

Health and Safety

Committee of the

Group

• Through our activities,

products and services,

we are committed to

offering added value to

our businesses and our

customers' activities, by

adopting a sustainable

and environmentally

friendly approach to the

planet's natural resources

conservation and

protection.


A contribution to a more sustainable economy

Environmental management strategy

Through our activities, products and services, we strive to adopt a sustainable and environmentally friendly approach to contribute to

the planet's natural resources conservation and protection.

We seek to actively contribute to four Sustainable Development Goals (SDGs) through all our entities and actions: Affordable and Clean

Energy (SDG 7); Responsible Consumption and Production (SDG 12); Climate Action (SDG 13); Life On Land (SDG 15).

GREENHOUSE GAS EMISSIONS AND CLIMATE CHANGE

RESPONSIBLE CONSUMPTION AND COMMITMENT

MANAGEMENT OF RESOURCES

Our immediate objective is to reduce

Rothschild & Co.'s “corporate”

emissions as much as possible.

We have set a target to purchase

100% renewable electricity for all

our offices by 2025* and to reduce

GHG (greenhouse gas) emissions

per FTE (full time equivalent

employee) by 10% by 2025*.As part of our corporate culture, we

encourage waste reduction, circular

economic practices and the

development of recycling. We aim to

achieve a collective recycling rate

of 80% by 2025*.Responsible resource management is

part of the improvement actions

associated with the Plan. We have set

ourselves the following targets:

reducing office energy consumption

by 10% and paper consumption by

25% per FTE by 2025*.

*vs. 2018


We believe that the protection of environment and strategic partnerships go hand in hand. They

will be increasingly necessary to limit environmental damage and carbon emissions into our

atmosphere.

• Since 2017, the Rothschild & Co Group has been a signatory of the Carbon Disclosure Project

(CDP), of which it became a member in 2019. After disclosing our climate change data, our Group

was given an A- rating in 2020 (B in 2019). CDP is a global non-profit organisation that brings

together investors, businesses and cities to discuss urgent measures to build a truly sustainable

economy by measuring and understanding their impact on the environment.

• To help protect the world's natural resources, biodiversity and the communities that depend on them,

we have chosen to partner with "Cool Earth". Cool Earth is a non-profit organisation that works

alongside rainforest communities to stop deforestation and its impact on climate change.

• The carbon neutrality objective of our financial activities is certified: The Rothschild & Co group has

been awarded the "Climate Neutral Operations for Financial Services" label by South Pole for 2019

and 2020.

Strategic partnerships for the protection of the environment

Environmental management strategy


Responsible investment at

Rothschild & Co

1.2

A Group-wide ESG integration strategy to influence the transformation of industries towards sustainable practices

Responsible Investment Governance

1Supervision

• The Group Executive

Committee ("GEC") validates

and commits to common

ambitions and guidelines.

• The GEC validates the main

decisions and commitments

in terms of responsible

investment.

• The Co-Chairman of the GEC

is the Chairman of the

Responsible Investment (RI)

Committee of the Group.

2Coordination

• Coordination is carried out

transversally for all Group

entities in order to ensure a

coherent approach.

• The Responsible Investment

Committee includes members

from all investment business

lines and all central functions

involved.

• Overall coordination takes

place at Group level, with the

Responsible Investment (RI)

Group team reporting directly

to the Co-Chairman of the

GEC.

• A dedicated project team at

Group level is carrying out

additional work on TCFD and

the Disclosure Regulation.

3Implementation

• In addition to the overall


framework defined at Group

level, each entity applies its

own Responsible Investment

strategy according to its

business and client

constraints.

• Dedicated governance and

resource allocation are

decided at entity level.


One objective: to build a responsible, uniform and robust investment framework over the next three years and to integrate all our

investment businesses into it by 2022

Responsible Investment priorities and roadmap

1The definition of a coherent

responsible investment

framework covering all of

our investment expertises

• Respect a common minimum

exclusion framework

• Use a consistent scoring approach

when possible

• Monitor key ESG indicators to

assess the Group's exposure to non-

financial risks and measure our

positive impact

• Ensure strong governance of

sustainable issues within the Group

2The strengthening of our

engagement policy

• Reinforce the involvement of

Rothschild & Co Responsible

Investment initiatives

• Reinforce our voting policy

• Promote and maintain sustainable

investment practices

3The strengthening of our

offer

• Involve all of our investment

business lines and support functions

in those matters.

• Develop innovative sustainable

investment products

Our responsible investment action plan is built around three main priorities.


15

A roadmap to gradually integrate all the business lines into this project

TCFD Project – State of affairs

Rothschild & Co recognises that the recommendations of the Taskforce on Climate Related Financial Disclosure ("TCFD") facilitate the

identification of climate-related risks and opportunities in our business. The group has committed to start communicating on alignment with

TCFD's recommendations in its next annual report. During the year 2020, Rothschid & Co carried out several actions in order to support the

achievement of this objective.

• The Responsible Investment Committee works to implement tools, group policies and

engagement initiatives in favour of a better integration of climate risks and opportunities

into investment businesses.

• The Environment / Safety / Health Committee of the Group is working on the

implementation of an environmental roadmap for the Group's "corporate" perimeter.

• The CSR Committee of the Supervisory Board is kept informed of the Group's progress in

integrating Climate risks and opportunities and the progress of the TCFD project.

• A working group dedicated to the TCFD project brings together senior members from the

business lines and operational divisions; is working in particular to define an appropriate

governance structure.

• Organisation of a workshop with specialized consultants on climate risks and opportunities

and the Group's exposure for our top management.

• Various training sessions on ESG issues for Group and business line Compliance teams

took place in 2020.

Governance

• Progress on the Group's responsible investment roadmap with,

in particular, the adoption of an investment guidelines for

thermal coal sector, common to all of the Group's investment

businesses.

• Continued improvement of the Group’s engagement policy.

• Most of Rothschild & Co's investment businesses have

developed sustainable investment products that put ESG and

climate related criteria at the heart of their investment process.

Strategy

• Gradual implementation of Climate risk management tools within business lines

• Training of Compliance teams on sustainable finance topics

Risk management

• Common ESG/Climate indicators are being developed to

provide a consolidated view of the investment business of these

risks.

Indicators

Source: Rothschild & Co Asset Management Europe – 31/12/20

1

For companies and financial market participants - both issuers and investors - the economic, operational, legal and reputational risks

induced by climate change are becoming increasingly real.

Take the example of Pacific Gas & Electric (PG&E), California's largest utility, which filed for bankruptcy protection in January 2019 after

accumulating an estimated USD 30 billion in liability for fires caused by its poorly maintained equipment.

An analysis carried out by the Economist Intelligence Unit in 2015 (the cost of inaction), pointed out that global warming of about 4°C could

result in a loss of USD 4.2 trillion in present value of financial assets worldwide, a warming of 5°C could result in a USD 7 trillion loss in

present value, while a warming of 6°C could result in a USD 13.8 trillion loss in present value.

As an indication, the impact of human activities on global warming calculated by the difference between current temperature levels and

those prior to the industrial revolution is estimated to be around 1°C. Strict compliance with the commitments of the Paris Agreement, made

on 12 December 2015, would already lead us to a warming of 3°C by the end of the century.

However, although the focus is on climate risks, opportunities may also arise. According to a research paper published in 2019 by the

Global Commission on Adaptation, investing USD 1.8 trillion worldwide from 2020 to 2030 in key sectors to accelerate the transition could

generate USD 7.1 trillion in total net profits.

Article published in 2020 by the TCFD / Disclosure working group to raise awareness of the Rothschild & Co Group's teams

Climate issues at the heart of our sustainable approaches

16

https://eiuperspectives.economist.com/sustainability/cost-inaction/white-paper/cost-inaction

17

• Physical risks are those resulting from climate volatility, extreme events and long-term changes in climate trends.

2. Physical risks

• Transition risks arise from the policy and technology-driven adjustment process towards a greener, low-carbon

economy.

1. Transition risks

Identification of the main "climate" risk factors for companies

“Climate” risk management strategy

Extreme meteorological conditions have increased

sharply over the past two decades and are expected to

continue, causing enormous and disproportionate

human and economic losses worldwide.

Policy developments can lead to abrupt changes in

cost structures, such as the introduction or increase in

the cost of the carbon tax per ton emitted.

Technological innovation leads to a sharp drop in the

cost of renewable energies and thus strengthens their

pricing power compared to fossil fuels.

18

How does this translate into financial risks and opportunities for banks and investors?

“Climate” risk management strategy

Obviously, financial institutions can be

directly exposed to climate-related risks

through the location of offices in flood-risk

areas.

• Nevertheless, the main environmental risks they face

are indirect via the exposure of their businesses to

activities likely to cause or be affected by

environmental degradation (air pollution, water

pollution and freshwater scarcity, soil contamination,

loss of biodiversity and deforestation).

• Environmental risks therefore increase the credit,

market and liquidity risks to which they are already

exposed.

Climate risks

Physical risks

Transition

risks

Source: use of NGFS report - April 2019

According to our analyses, there is a three-

fold exposure to climate risks and

opportunities for Rothschild & Co:

1. As a company, it invests its balance sheet in liquid

and less liquid assets exposed to climate-related

risks and opportunities.

2. As a stock exchange listed company, sensitive to

investor sentiment and expectations

3. Through its various businesses, which are exposed

to climate-related risks and opportunities

Transmission Financial risks

Financial opportunities

MicroImpact on

businesses and

households

MacroConsolidated

impacts on the

economy

Credit Market

Operational Liquidity

Reputational

Innovative

products

Financial

performance

Attraction/retention

of talent

Incoming flows

Advisory

mandates

Financing needs

Increase in ESG

ratings

Common principles for all Group's investment businesses

Investment guidelines for thermal coal sector

Our goals

• Scope and definition: enterprises directly engaged in the production,

exploration, mining and processing of thermal coal and the

production of electricity from thermal coal.

• We will no longer lend or invest in companies involved in projects to

develop new thermal coal mines or coal-fired power plants.

• No further investment will be made and no new financing will be

granted to companies where:

– more than 30% of turnover comes from thermal coal

activities;

– more than 30% of the energy mix (per MWh generated) is

based on coal.

• No further investment will be made and no new financing will be

granted to companies where:

– the annual production of thermal coal exceeds 20 MT per

year,

– the installed coal-fired capacities are greater than 10

GW.

The efforts of actors who have put in place or are in the process of

formalising a credible coal phase-out policy, after analysis and

possible commitment, will be accompanied and supported.

These principles were implemented from October 2020. The thresholds

apply until the end of 2020 and will be reviewed in 2021.

Our investment principles

relating to thermal coal• Support the transition to a low-

carbon economy.

• Contribute to the improvement of

environmental practices.

• Direct financial flows and give

priority to actors who have adopted

sustainable strategies.

These principles are integrated in our

responsible investment framework and

are:

• Representative of our willingness to

contribute to the transition to a

more sustainable economy,

• A contribution to the response being

developed regarding climate change

related risks in order to better

protect our investors,

• In line with our approach of

integrating extra-financial criteria

into our investment strategies,

• An additional means of action in

favour of our active engagement

policy.

These principles apply to

the discretionary

investment activities of:

✓ Asset management,

✓ Private Banking and

✓ Capital Investment

These are implemented:

✓ on all new and existing

investments,

✓ on open-ended fund

ranges.

Dedicated funds:

Discussions regarding

each client’s conviction

in order to consider

investment guidelines

application

Application

framework


Responsible investment promotion initiatives and

partnerships

Our key initiatives

Sustainable finance

UNPRIRothschild & Co AM Europe / Wealth Management UK / Wealth

Management (Switzerland) / Merchant Banking

Robeco Sustainable Private Banking Circle Rothschild Martin Maurel

AFG - RI Group Rothschild & Co Asset Management Europe

FBF Climate Commission Rothschild & Co

Green Finance Commission OCBF Rothschild & Co

Swiss Sustainable Finance Wealth Management (Switzerland)

Environmental protection

CDP Rothschild & Co

Climate 100+ Rothschild & Co Asset Management Europe

IC20 Merchant Banking

TCFD Rothschild & Co

Impact

GIIN Merchant Banking

Labels

French SRI label Rothschild & Co Asset Management Europe

Towards sustainability Rothschild & Co Asset Management Europe

NGOs

EPIC

Up2Green Reforestation

Duo For a Job

At group level or via its entities, Rothschild & Co is involved in market initiatives to promote responsible investment and forge partnerships.


Rothschild & Co Asset

Management Europe’s approach to

responsible investment

2

Governance

2.1

History

Our pragmatic responsible investment approach has been building up since 2011, when we became signatories to the UN Principles

for Responsible Investment.

We are convinced that the environmental, social and governance (ESG) issues facing our societies require an adaptation of economic

models.

We wish to be part of this transformation by influencing the companies in our investment universe to change their practices and by

participating in the orientation of financial flows towards players who integrate the measurement of these challenges into their strategy and

provide concrete solutions.

Sustainability issues are sources of opportunities and risk factors. Integrating them into our investment allows us to apprehend their

materiality and proves to be an essential reading grid for the generation of performance

Our approach as a responsible investor is expressed through:

• The integration of ESG and financial criteria, at the service of our conviction expertise supporting enhanced analysis of the issuers in which

we invest,

• and the implementation of an engagement policy that enables us to have an impact on the issuers in our investment universe.

Our responsible investment action plan is in line with the three priorities defined at the Group level.

The definition of a coherent

responsible investment framework

covering all of our investment

expertises

1The strengthening of our innovative

sustainable products offering

The strengthening of our engagement

policy

2 3


24

A look back at the history of our responsible investment

approach

2011

• Rothschild & Co AM Europe,

UNPRI signatory

Equity (2011), Bonds (2015),

open architecture (2012)

• Implementation of an SRI

voting policy

Promoting responsible

investment principles (ISS)

2012

• First ESG notation tool

Development of our rating notation

tool on the basis of non-financial

criteria

2015

• Work on the Carbon trajectory

Development of portfolio’s

carbon trajectory assessment or

evaluation

2018

• “Low Carbon”

institutional

mandate

2017

• Change of ESG data provider

• The Rothschild & Co Group

becomes a CDP signatory

• Creation of a Sustainable

Investment team

2019

• Launch of the R-Co 4Change range by

Rothschild & Co AM Europe

• Rothschild & Co AM Europe joins Climate Action

100+

• Up2Green Reforestation partnership

• Creation of a responsible investment committee

Rothschild & Co Group

2020

• Guidelines for thermal coal sector at

Group level

• Institutional mandate dedicated to the

4 pillars of the Church

• Launch of a Green Bonds fund

• Duo for a Job Partnership


Up2Green Reforestation partnership within the scope of

Rothschild & Co Asset Management Europe Corporate Responsability

Beyond the objectives and initiatives led by the Rothschild & Co Group and aware of the growing expectations regarding invested

companies, Rothschild & Co Asset Management Europe has developed in 2019 a 5 year partnership whose objective is to promote

the reforestation and development of local communities in Colombia.

Up2Green Reforestation is an NGO founded in 2009 and whose main activities are reforestation, ecosystem preservation and

sustainable sector development. Its intervention in Colombia is at a national level, but it particularly targets the south-eastern region of

Colombia where the preservation of the ecosystem is essential, since access to drinking water depends on it.

Since 2016, 150,000 trees have been planted by the NGO Up2Green Reforestation. Rothschild & Co Asset Management Europe is

now participating in this reforestation effort. 11,000 trees per year will be planted by Rothschild & Co Asset Management Europe over

the next 5 years.

The support of Rothschild & Co Asset Management Europe made it possible from 2019 to develop a beekeeping project to combine

the restoration of ecosystems with the economic resilience of local populations.


Agroforestry at the heart of the

local community programme

approach

16 beehives in

4 communities through the

beekeeping project

55K trees over 5 years

11K trees per year: theoretical

number of trees to capture a

year of CO2 emissions from

R&Co AM Europe

Responsible Investment is taken into account in our Group governance bodies

The governance of Responsible Investment challenges

Rothschild & Co members

Asset Management Europe

Rothschild & Co

Supervisory Board


Committee

World Committee

for Equality and

Inclusion

Environment,

Health and Safety

Committee of the Group

World Committee for

Community

Engagement

Group Executive Committee

President: Managing Partner | Co-President of the Executive Committee

Members: representatives of all investment business lines and central teams involved in RI (Group Responsible Investment, Risk & Compliance,

CSR, Investor Relations, etc.)

Pierre Baudard

Managing Partner

Ludivine de Quincerot

Manager for ESG and

Financial Analysis


A dedicated team within Rothschild & Co Asset Management Europe supported by an experienced team at Group level and

Responsible Investment representatives

A collaborative approach to support the ESG effort

Responsible Investment advisors within each of

Rothschild & Co Asset Management Europe's areas of

expertise:

ESG and Financial Analysis team at Rothschild & Co AM Europe:

Support from an experienced responsible investment

team at Group level

Rothschild & Co in charge of:

✓ Disseminating best practices within Rothschild & Co Asset

Management Europe

✓ Creating the link between the ESG and Financial Analysis team

and their investment management

Thomas Vincent

Financial engineer


Head of ESG and

Financial Analysis team

Andrea Sekularac

Sustainable Investment

Project Manager

Gabriel Hors

Senior analyst

Marie-Ange Riggio

Junior analyst

Natacha Rousset

Senior analyst

Nicolas

Racaud

Valérie

Oelhoffen

Anthony

Bailly

Linh

Mansion

Edward Luu

Analyst


✓ Coordination of the Group's Responsible Investment (RI) topics

✓ Monitoring regulatory developments, trends and procedures

✓ Supporting entities in their responsible investment

developments

✓ Leading the RI Group committee

Géraldine Gouges

Group Head of



Officer

In the process of

recruitment

Strategy

2.2

As an asset manager, we are exposed to different climate risks and opportunities.

Specific steering of climate risks and opportunities

Our exposure to "climate" risks

Financial risks Reputational risks Other risks Opportunities

Climate Risks and

Opportunities -

Rothschild & Co

Asset Management

Europe

Assets under

management facing

underperformance

risks (credit/liquidity

risks, etc.)

Exposure to

controversial

activities/companies

could affect our

customer

relationships

Younger generations

are concerned about

climate issues / not

integrating them well

is a business risk

Out of conviction

and driven by the

regulations on

sustainable finance,

institutional investors

are increasingly

demanding in terms

of climate issues

integration/

sustainability

Very strong

attractiveness of

sustainable/climate

funds

Europe is at the

forefront of

sustainable finance,

which is a

competitive

advantage

Through:

- our approach to

integrating

sustainability

issues,

- the product

strategy

implemented,

- our engagement

policy,

- and CSR

initiatives,

We make every effort

to manage them.


3 strategic axes: exclusions, the integration of E-S-G* criteria and a engagment policy that provides a common basis for all of our

investment management activities

Approach to responsible investment

We have chosen to integrate ESG criteria into fundamental analysis to reinforce our assessment of the companies in which we invest and to

stregethen our analysis.

Our ESG integration process is supported by an engagement policy based on a voting policy respectful of responsible investment principles, a

dialogue with the companies we meet on sustainable issues and our involvement in collaborative initiatives.

Regulatory and discretionary

exclusions of Rothschild & Co Asset

Management Europe

1• Exclusion of controversial weapons / international sanctions

• Fundamental principles

• Rothschild & Co Group investment guidelines for thermal coal

sector

• Other specific filters relating to the investment strategy

The integration of sustainability-related

challenges

2 • The selection of stocks and funds in the portfolio is based on an

analysis of ESG criteria in addition to financial analysis

• For our direct management, we have set ourselves a BBB

average rating as a minimum target

Our engagement policy3 • Dialogue with companies and asset management companies

• A voting policy that respects responsible investment principles

• Adherence to responsible investment promotion initiatives

STRENGTHENING

OUR CONVICTION

MANAGEMENT

WORKING FOR A

POSITIVE IMPACT

RESPECTING OUR

CONVICTIONS

AND SUPPORTING

THE TRANSITION

* Environment, Social, Governance

According to an adapted process and in the respect of the expertise of the managers 30Source: Rothschild & Co Asset Management Europe – 31/12/20

Focus on the MSCI ESG Research methodology

Integration of sustainability related criteria

We have an ESG rating tool

that is based on the external

rating framework of our

service provider MSCI ESG

Research.

• All the issuers are

covered and analysed in

terms of governance

issues and criteria.

• For each sector, MSCI

ESG Research identifies

3 to 8 material

sustainability issues,

belonging to the Social

and Environmental

pillars.

• The final score calculated

is based on the analysis

of Governance and the

positioning of each

company on these

respective materiality

issues, harmonised

within the studied sector.

Absolute notation1

From its analysis grid, ESG Research selects 3 to 8 key issues depending on the company's sector. The E, S and

G criteria are then weighted according to the relevance of each pillar to the industry.

Environment

Climate

change

Natural

resources

Pollution and

waste

Environmental

opportunities

Carbon

emissions

Carbon footprint

Financing

environmental

impact

Responsiveness

to climate

change

Hydric stress

Biodiversity

and soil

protection

Use of raw

materials

Toxic

emissions and

waste

Packaging

Electricity

consumption

Clean tech

Eco-construction

Renewable

energies

Social

Human

capital

Product

reliability

Opposition to

governanceOpportunities

Management

Health & Safety

Human capital

development

Supply chain

Product quality

Chemical

safety

Safety of

financial

products

Controversies

Access to

communication

services

Access to

financing

Access to

medical care

Private data

security

Responsible

Investment

Risk insurance

Nutrition &

Health

Governance

Corporate

governance

Corporate

behaviour

Executive

Committee

Salaries

Shareholding

Accounting

Ethics

Anti-competitive

practice

Corruption &

Instability

Instability of the

Financial

Department

Fiscal

transparency

The top rated On average The lowest rated

Relative rating: Best-in-Class approach2

In a second step, the companies in each sector are ranked in order to identify the best and worst players in each

industry. No sectoral bias introduced into investment management through this approach.

AAA AA A BBB BB B CCC

Source: MSCI ESG Research, Rothschild & Co Asset Management Europe – 31/12/2020 31

32

Our priority: the dialogue with companies on sustainable issues

Our engagement approach

We have chosen to favour dialogue rather than excluding a certain number of sectors or players from our investment universe.

Our engagement policy is built around 4 main lines of action:

• The dialogue with companies and asset management companies:

• From our investable universe to better understand the sustainable risks and opportunities associated with issuers from our investable

universe and to raise awareness among management teams

• In the framework of the implementation of our exclusion policies

• The exercise of voting rights: our voting policy intends to follow the principles of socially responsible investment. To this end, we entrusted the

analysis of the resolutions to the specialised company Institutional Shareholder Services (ISS) (https://www.issgovernance.com)

• The contributing to working groups to take part in raising the awareness of economic actors on a larger scale (Climate 100+, etc.)

• The preparation of ESG reports on a regular basis, a real transparency tool

Goals

Why

Targets

How

Raising awareness and encouraging the improvement of responsible corporate practices

Participation in the adaptation of our economic model to the social and environmental

challenges we face

With companies and asset management

Individual

commitments

Exclusion

policy

Collective

engagement

Voting

policy

4Change

range


https://www.issgovernance.com/

33

5 strategic pillars: taking into account sustainability issues within companies and business

models

Our engagement strategy

Individual

engagements

Exclusion

policy

4Change

range

Collective

engagements

Voting

policy

1,300 dialogues

conducted with

issuers

Sending

questionnaires to

asset management

companies regarding

their sustainable

practices

Promotion of

responsible

investment through

dedicated events and

publications

Specific discussions

(energy transition,

human capital

management, etc.)

Application of the

guidelines for thermal

coal sector

Respect of

fundamental

principles

R-co 4Change

Climate Equity

Europe

R-co 4Change Human

Values

R-co 4Change

Climate Credit Euro

UN PRI: signatory

since 2011

Member of Climate

Action 100+

Support for TCFD

recommendations

Carbon Disclosure

Project: Rothschild &

Co Group is a

member since 2019

Compliance with

responsible

investment

principles via ISS

R-co 4Change

Green Bond

R-co 4Change

Moderate Allocation


https://am.fr.rothschildandco.com/fr/nos-fonds/r-co-4change-climate-equity-europe/

https://am.fr.rothschildandco.com/fr/nos-fonds/r-co-4change-human-values/

https://am.fr.rothschildandco.com/fr/nos-fonds/r-co-4change-climate-credit-euro/

https://am.fr.rothschildandco.com/fr/nos-fonds/r-co-4change-green-bonds/

https://am.fr.rothschildandco.com/fr/nos-fonds/r-co-4change-green-bonds/

https://am.fr.rothschildandco.com/fr/nos-fonds/r-co-4change-moderate-allocation/

https://am.fr.rothschildandco.com/fr/nos-fonds/r-co-4change-moderate-allocation/

1

On the basis of our developments and achievements, we wanted to develop a range of products dedicated to specific

environmental themes:

Focus on Climate funds

The R-co 4Change Climate Equity Europe and R-co 4Change Climate Credit Euro funds, developed and managed by our asset

management teams, have been designed to offer clients with investment products combining a dynamic transition strategy with an active

"low carbon" management.

The carbon intensity of Climate funds must remain below that of their respective benchmarks and follow a downward trajectory, while

investing in all sectors.

These funds offer enhanced protection against certain environmental risks through the implementation of specific climate filters.

The stock selection process also favours companies that best integrate climate issues into their activities and governance.

Part of the management fees are redistributed to the NGO Up2Green Reforestation, which develops social reforestation and agroforestry

programmes.

The funds R-co 4Change Climate Equity Europe and R-co 4Change Climate Credit Euro have been awarded with the French government's

SRI label, a guarantee of the quality and credibility of the implemented investment processes.

Focus on Green Bonds

The fixed income management team also launched a corporate Green Bonds fund in 2020 to help finance the energy and ecological

transition by seeking to contribute to a diverse range of environmental projects.

Our 4Change range to go further on transition support


Risk management

2.3

Main missionsPlayers involved

Integration of sustainability risks and opportunities throughout the investment process

Our teams are mobilised to best integrate ESG criteria

Equity and Credit Analysts• Integration of sustainability topics in their research work and in their discussions

with companies

Investment Managers

Reporting

Risk and compliance

• Raising awareness and involvement in sustainable issues, in particular by

identifying "ESG" advisors within each management expertise

• Making managers responsible for the proper integration of the responsible

investment approach established by the company for their funds

• Active contribution to the development of efficient and reliable monitoring tools

• Automation of ESG reporting and data integration

• Elaboration of solutions for the control and verification of ESG requirements

commitments


37

3 levels of control: Risk & Compliance, Internal Control and Internal Audit

Monitoring device

In addition to the first-level controls carried out by the investment management teams, three other teams continuously monitor compliance with

ESG requirements and sustainability risk management.

Further information

Level Teams Nature of controls

1st level control Risks and compliance

• So-called "regulatory" lists to comply with the Ottawa and Oslo conventions

on cluster munitions and APM

• Lists of so-called "international sanctions" aimed at complying with OFAC,

EU, countries under sanctions

• "Discretionary" list to comply with the Fundamental Principles and

investment guidelines for thermal coal sector

• Systematic checks are carried out to ensure that actions meet the fund's

selection criteria

• Automated IT systems prevent management teams from investing in

excluded shares or shares that do not meet the defined criteria

• The 4Change funds are subject to specific controls

• Audits of the funds held are carried out by the internal audit function

• The 4Change funds are subject to a specific audit plan

2nd level control Internal control

3rd level control Internal audit


https://am.fr.rothschildandco.com/stock/lib/ESG/20190709-Code%20de%20transparence%20Climate%202019-ESG.pdf

38

Integration of ESG topics into the existing risk committee

Risk Committee

The Risk Committee meets on a monthly basis. The services and people present are as follows:

• Risk team

• Middle Office

• Internal Control and Compliance

• Investment management team

• Group Risk Director

• Global COO Rothschild & Co Asset Management Europe

The ESG topics covered are as follows:

• All the constraints related to SRI funds

• ESG Indicators

• Carbon trajectory for 4change Climate funds

• Raising awareness with regard to the settings in our control tools: anticipating updates


39

List of external sources

• Controversial weapons: ISS, MSCI ESG Research

• Regulatory sanctions: Tresor, Bloomberg

• Fundamental principles: external lists of trusted third parties (Norges Bank, etc.)

• Investment guidelines for thermal coal sector: Urgewald

• ESG rating: MSCI ESG Research

• Carbon intensity: MSCI ESG Research, companies

• UNGC / ILO compliance: MSCI ESG Research

• Controversies: MSCI ESG Research

• Voting recommendations: ISS

• Analysis support: brokers’ research papers (Kepler, Natixis, ODDO, etc.), NGO reports, academic findings, financial and

extra-financial reports of companies (CSR reports / sustainability reports), open source data (SBTi / TPI)

• Impact indicators: MSCI ESG Research, Bloomberg

In order to carry out our analyses and controls and to ensure their quality and completeness, we capitalise on

tools and market data providers, in addition to our internal system.


40

Escalation process

Depending on its monitoring frequency, if an investment constraint is not respected, the Risk Management

team informs the portfolio manager of the overrun.

If the overrun persists, the Risk Management team triggers the escalation procedure, which consists of 3

steps:

1. Compliance and the head of investment management are informed of the overrun. The Risk Management

team systematically indicates in the body of the mail the number of days it has been exceeded

2. The Global Chief Operating Advisory is kept informed of the overrun

3. The Chairman of the Management Committee is kept informed of the overrun.

The escalation procedure differentiates between the treatment of active and passive overruns.

All overruns are presented to the Risk Committee on a monthly basis.

This escalation procedure ensures a good distribution of information at all levels of the organisation in terms

of control and monitoring of limits.


Indicators & Tools

2.4

42

% of assets net total of portfolio


20Billion EUR

Total Rothschild & Co Asset

Management Europe AuM

at the end of 2020

18+Billion EUR

AuM covered by an integration of

sustainable issues at the end of 2020

+121%

18+ Billion EUR

289 Mil. EUR

December 2020

205 Mil. EURof AuM dedicated to

environmental

themes

• 3 open-ended

UCIs

• 1 dedicated UCI

9 Mil. EUR

of AuM dedicated to

social themes

• 1 open-ended

UCI

76 Mil. EUR

of AuM focusing on

both environmental

& social challenges

• 1 open-ended UCI

• 1 dedicated UCI

AuM covered by an SRI strategy vs. end 2019

AuM covered by an

integration of

sustainable issues at

the end of 2020

AuM covered by SRI

strategies at the end of 2020

Our assets under managements covered by an integration of

sustainable issues

43

On a quarterly basis, we produce ESG reports integrating:

List of ESG indicators

The average ESG rating of the portfolio: we make sure that the portfolio's rating is above the BBB minimum target rating

Rating

Rating

Score /10

Score /10

G

% of assets net total of portfolio

ESG Rating

Portfolio

Benchmark

Scores E,S,G (out of 10)

E S

Rate of coverage

Number of securities held 54

Number of securities rated 54

8.4AA

7.4AA

7.2 6.7 6.1

100%

AAAAAABBBBB

Funds Index

Distribution of ratings (% out of liquidities)

Synthesis of the ESG ratings


44

On a quarterly basis, we produce ESG reports integrating:


Portfolio ESG Rating evolution: trend in ratings over 12 months rolling at isoperimeter

Rating Trends(12 months)

Sector WeightUnrat

edCCC B BB BBB A AA AAA

Consumer goods 11.6% - - - - - 35.2% 17.4% 47.3%

Energy 1.8% - - - - - - 100.0% -

Financial 19.1% - - - - - 9.1% 42.1% 48.7%

Industry 16.2% - - - - - 8.5% 57.1% 34.4%

Basic materials 9.6% - - - - - 85.5% - 14.5%

Health 15.8% - - - - - 44.9% 23.5% 31.7%

Utilities 6.1% - - - - - 38.9% - 61.1%

Consumer services 3.7% - - - - - - - 100.0%

Technology 11.8% - - - - - - 21.7% 78.3%

Telecommunications 2.1% - - - - - - 100.0% -

UCIs 2.2% - - - - - - 100.0% -

Distribution of ratings per sector (% excluding cash)


Upward Stable Downward

45

On a quarterly basis, we produce ESG reports that integrating:


Calculation of carbon intensity, analysis of differences with the benchmark and a particular focus on the five most important carbon contributors in the portfolio

Coverage rate : Carbon intensity of portfolio :tons of CO2 per million euros of

turnover

Issuers WeightCarbon

intensity

Contribution to

carbon intensity

(%)

Basic materials 9.6% 107.3 48%

Industry 16.2% 50.1 22%

Utilities 6.1% 48.1 21%

Top 3 31.9% 205.4 91%

Rating

Carbon intensity expressed in tons of CO2 per million euros of turnover

Issuers Weight ESG Rating Score E

Score for transition to

a low-carbon

economy

Annual

emissionsCarbon intensity

Contribution to

carbon intensity

(%)

AIR LIQUIDE SA 3.4% A 4.9 7.1 27 812 000 46.2 20.5%

Linde PLC 2.2% A 5.2 6.3 24 900 000 43.3 19.2%

CRH PLC 2.0% AAA 7.7 6.2 38 100 000 29.3 13.0%

ENEL SPA 1.5% AAA 8.8 7.4 100 310 000 21.4 9.5%

EVONIK INDUSTRIES AG 2.6% A 5.1 6.6 8 670 680 15.7 7.0%

Top 5 11.7% 199 792 680 155.9 69.1%

Rating

Carbon intensity expressed in tons of CO 2 (scopes 1 and 2) per million euros of turnover

Carbon intensity (tons of CO2 per million euros of turn over) Main sectors contributing to the fund’s carbon intensity

Carbon intensity (scopes 1 and2)

100% 225

Main issuers contributing to carbon intensity


Funds Index

46

Our flagship funds and related ESG indicators

* Diversified fund without a benchmark index, so comparison with 2 indices


N/A

AA

AA

AA

Dec 2019

R-co Valor*

RMM Trésorerie

R-co Conviction Credit Euro

RMM Short Term

R-co Conviction Credit 12M

R-co Conviction Credit SD

R-co Thematic Real Estate

R-co 4Change Climate Equity Euro

R-co 4Change Climate Credit Euro

R-co 4Change Human Values

R-co 4Change Green Bonds N/A N/A N/A N/A

AA

AA

AA

N/A

A

A

BBB

A

A

BBB

A

MSCI World

iBoxx Corp

iBoxx Corp

iBoxx Corp

iBoxx Corp

iBoxx Corp

Boxx Corp

Euronext IEIF REIT Europe

Stoxx 600

iBoxx Corp

Stoxx 600

N/A N/A

A

A

A

A

A

A

A

A

AA

A

AA

N/A N/A

Funds Benchmark or comparison index

Benchmark or comparison index Funds

Coverage rate (%)

- carbon intensity

Coverage rate (%)

- carbon intensity

Carbon intensity

Scopes 1&2

(TCO2/mil EUR

revenue)

Carbon intensity

Scopes 1&2

(TCO2/mil EUR

revenue)

Coverage rate (%)

- ESG

Coverage rate (%)

- ESG

RatingAUM (mil

EUR)ESG rating

(of 10)

ESG rating

(of 10) RatingAUM (mil

EUR)

Benchmark or

comparison index

Benchmark or

comparison index

ESG score

(of 10)

ESG score

(of 10)

Rating

Rating

Carbon intensity

Scopes 1&2

(TCO2/mil EUR

revenue)

Carbon intensity

Scopes 1&2

(TCO2/mil EUR

revenue)

Dec 2020

R-co Valor*

RMM Trésorerie


RMM Short Term







R-co 4Change Green Bonds

AA

AA

AA

AA

A

AA

A

AA

A

A

A

MSCI World

iBoxx Corp

iBoxx Corp

iBoxx Corp

iBoxx Corp

iBoxx Corp

Boxx Corp

Euronext IEIF REIT Europe

Stoxx 600

iBoxx Corp

Stoxx 600

N/A

A

A

A

A

A

A

A

A

AA

A

AA

A

1

Installed last September in Union Square, at the heart of New York, during “Climate Week”, the “Climate Clock” aims to raise

awareness among world leaders regarding the need to intensify their efforts in order to fight against climate warning. Taking the form

of a countdown, this clock indicates the time remaining before we have completely exhausted the carbon budget that we must stay

within in order not to exceed the global warming target of 1.5° C. Why this level and what are its impacts? What commitments do we

make, as investors and as an asset management company? Explanations by Géraldine Gouges, Group Head of Responsible

Investment at Rothschild & Co.

+ 1.5° C, + 2° C, + 3° C… Why every half-degree matters

As an indication, the impact of human activities on global warming calculated by the difference between current temperature levels and those of

the pre-industrial era is estimated to be around 1°C. If greenhouse gas emissions continue at the current rate, global warming is expected to

rapidly reach 1.5°C between 2030 and 2050 and strict compliance with the Paris Agreement of December 2015 would already lead us to a

warming of 3°C by the end of the century!

However, according to the scientific community, a warming of +1.5°C would already have a significant impact on natural and human systems

(degradation of biodiversity, increase in the frequency and intensity of droughts and climatic disturbances, rise in sea level, etc.).

Current studies also show that climate risks are not linear. There would be biological and technical thresholds whose crossing could lead to

disproportionate effects: these are the "tipping points". Once reached, these “tipping points” would dramatically accentuate the transformations

underway, thus giving rise to new climatic realities, very likely to be irreversible. These include the melting of the Greenland ice sheet, which

would reduce or interrupt the North Atlantic drift and the Gulf Stream(1) current, or the thawing of permafrost, the part of the ground permanently

frozen in the polar regions, which would lead, among other things, to massive methane emissions, with a global warming potential several

times that of CO2. A vicious circle would then set in, hence the urgency of acting today.

The consequences of global warming, already significant at +1.5°C, could therefore become catastrophic at +2°C with an irreversible chain of

events. Conversely, according to the projections presented in the IPCC(2) report, keeping global warming below +1.5°C would have a very clear

positive impact, particularly on biodiversity and the socio-economic situation.

(1) Ocean current originating between Florida and the Bahamas.

(2) Intergovernmental Panel on Climate Change, a group of independent international experts working under the auspices of the World Meteorological Organization and the United Nations Environment Programme.

Transition to a low-carbon economy: why is it essential to steer investments’

carbon trajectory" of one's investments?

Article published in December 2020 - Géraldine Gouges, Group Head of Responsible Investment

47

1

But how to achieve +1.5 degrees?

The IPCC report proposes different theoretical scenarios, all of which have one thing in common: a massive reduction in CO2 emissions. This

reduction will have to take place in all sectors, and will in fact require technical innovations and structural changes in behaviour.

“Carbon budget” and “carbon trajectory”?

Reducing greenhouse gas emissions is the most effective way to limit the rise in global temperature. To achieve this, we must collectively

preserve our “carbon budget”, a concept which describes the maximum amount of CO2 that can be emitted so that global warming does not

exceed a certain level.

Consequently, the difference between the total amount of CO2 emitted to date and the carbon budget makes it possible to calculate the

volumes of CO2 that can still be emitted before crossing a critical threshold. According to the IPCC, the objective of limiting the rise in

temperatures to +1.5°C by 2050 would impose on us a cumulative "carbon budget" of 420 gigatons of CO2 for the next thirty years, i.e. about 14

gigatons per year. By comparison, current emissions are of about 40 gigatons per year!

Other estimates show that if no measures are taken to limit our CO2 emissions, we could exceed 60 gigatons per year (or more than 1,700

gigatons of CO2 by 2050, in cumulative terms), which would cause a temperature rise of +5°C! In this context, it is essential to be able to

manage the "carbon budget", but also to put it in perspective with a horizon of 10, 20, 30 or more years, in order to fully understand its effects

on the environment and on humanity. This is called the "carbon trajectory".

What role can companies play?

For businesses, the stakes are twofold. They are societal, with a common objective of steering the rise in global temperature, but also

economic, with the need to maintain and develop activity, to adapt, innovate and transform. All sectors are concerned but first and foremost, of

course, the largest emitters of CO2.

Companies can achieve this, provided that they are innovative and agree to change not only their business models (by working on all their

value chains) but also their energy mix and production methods. They may even decide to follow a carbon trajectory that meets the ambitious

+1.5°C target, or have their greenhouse gas emission reduction targets validated by independent bodies such as the Science Based Target

initiative(3). Investors also have a key role to play in actively supporting this transformation.

(3) The Science Based Target initiative (SBTi) is an international initiative bringing together several NGOs that act in favour of the climate. The SBTi assists companies in setting targets for reducing their greenhouse

gas emissions by developing clear methodologies and auditing the targets set. To date, 1,040 companies have set targets in line with the recommendations of the SBTi and 498 have targets approved by the SBTi.

48

1

Our commitment across our 4Change funds range

Since 2015, Rothschild & Co Asset Management Europe has been both calculating carbon intensity and analysing the profile and "carbon

trajectory" of the main contributors to CO2 emissions in a large majority of its portfolios. For some of our institutional clients, we have been

building tailor-made "climate" solutions for several years now, such as for example managing the carbon intensity of a mandate below a

dynamic average. We regularly share with our customers our studies on energy transition challenges and on the emissions outlooks for certain

sectors.

We took another step forward in 2019, by creating a range of funds which proactively managed their carbon intensity. We launched the

R-co 4Change Climate Equity Europe and R-co 4Change Climate Credit Euro funds, with the aim of making carbon trajectory a stock selection

tool. In 2019, these two funds obtained the SRI label, created and supported by the French Ministry of Economy, Finance and Recovery and

awarded to responsible and sustainable investment products.

They are managed with the aim to steer the carbon intensity of the portfolios, for each company its direct greenhouse gas emissions ("Scope

1", covering emissions directly linked to the manufacturing of the product) and indirect emissions ("Scope 2", linked to the energy consumption

required for production) are taken into account, assessed and monitored.

Our management teams wish to go even further taken into account, assessed and monitored "Scope 3" emissions corresponding to the entire

life cycle of the product (e.g. emissions linked to supply, transport, use, end of life of the product or its recycling, etc.).

To do so, we use all the tools at our disposal to make the 4Change Climate funds as comprehensive as possible: companies' CO2 emissions

data, their emissions trajectory projections, IPCC trajectory targets, qualitative indicators for analysing the transition initiated within companies,

Open source(4) data such as those of the Transition Pathway Initiative(5) and the Science Based Target initiative on companies’ climate

trajectory.

Our engagement policy has also been strengthened by our contribution to the Climate 100+ initiative, and the development of engagement

questionnaires focused on the transition challenges.

Finally, we have established a partnership with the NGO Up2Green Reforestation, to which we redistribute part of Climate funds management

fees to contribute, through concrete micro-actions, to conserving biodiversity and developing natural carbon sinks.

(4) Data in free access.

(5) The Transition Pathway Initiative (TPI) is a global initiative launched in 2017 led by asset owners and supported by asset managers. As of October 2020, 87 international investors supported TPI, representing

USD 22.5 trillion in assets under management and/or advice. Aimed at investors and openly accessible, the TPI provides independent research to assess the alignment of international companies from polluting

sectors with the objectives of the Paris Agreement.

49

Focus on funds over EUR 500

million at 31/12/2020 and 4Change

funds

2.5

51

1.1 An ESG & Financial Analysis team at the heart of our

management

Emmanuel Petit

Head of Fixed

Income

Thomas Vincent

Financial engineer


Head of ESG and

Financial Analysis

Andrea Sekularac

Sustainable investment

Project manager

Gabriel Hors

Senior analyst

Marie-Ange Riggio

Junior analyst

Natacha Rousset

Senior analyst

Edward Luu

Analyst

ESG and Financial analysis team

Conviction Team

Open Architecture Team

Valor team Thematic team

Damien Bas

Florence de Roux

Julien Boy

Kristell Agaësse

Nicolas Racaud

Philippe Lomné

Yann Roux

Benjamin Fagu Henry Ndong

Jérôme Loire

Yoann Ignatiew

R-co Valor

manager

Marc Terras

Management Director

Open Architecture

Mathieu Six

Stéphane de Kermoal

Sylvie Havard-Duclos

Thomas Ayache

Jade Weill

Linh Mansion

Morgane Wespieser

Pierre Hauvette

Thierry Rigaudière

Head of Thematic

Management

Alban Seydoux

Nathalie Bourdoncle

Thierry Combes

Valérie Oelhoffen

Anthony Bailly

Equity Fund

Manager

Vincent Iméneuraët

Paul Reuge

Charles-Edouard Bilbault

Elsa Fernandez

Henri Captier

Louise Li

Didier Bouvignies

Managing Associate

Head of Management

Ludivine de

Quincerot

Diversified Fund

Manager

Esther Skrhak


A team made up of 7 people with two divisions, the division for financial and ESG analysis, and the "Projects" division, which provides:

✓ Financial analysis for European Equities

✓ ESG analysis on European securities

✓ Expertise in all ESG subjects (fund labelling, calls for tender, implementation of French and European doctrines, reflections on the range,

launch of new products, etc...)

✓ Coordination with the "Group Responsible Investment" team and with "ESG Advisors" defined within each investment management teams.

✓ Disseminating best practices within Rothschild & Co Asset

Management Europe

✓ Creating the link between the ESG and Financial Analysis team

and their investment management

✓ Coordination of the Group's Responsible Investment (RI) topics

✓ Monitoring regulatory developments, trends and procedures

✓ Supporting entities in their Responsible Investment Developments

✓ Leading the RI Group committee

52

A collaborative approach

1.2 Specific resources to support the ESG effort

Responsible Investment advisors

within each of Rothschild & Co

Asset Management Europe's areas of expertise:

ESG and Financial Analysis team at Rothschild & Co Asset Management Europe:

Support from an experienced responsible investment

team at Group level

Rothschild & Co in charge of:

Géraldine Gouges

Head of Responsible Investment

In the

process of

recruitmentNicolas

Racaud

Valérie

Oelhoffen

Anthony

Bailly

Linh

Mansion


53

Inclusion of ESG criteria in our investment process

1.3 Investment process

• Strong investment choices

• Regulatory filters and common discretionary exclusions for the

Rothschild & Co Group

• Inclusion of ESG criteria (MSCI ESG Research provider)

• Use of specific research: brokers' reports, NGO reports, open

source data (TPI/SBTi), academic research

• Internal financial and ESG analyses integrating growth and

valuation indicators

• Analysis of competitive positioning

Exclusions • Controversial weapons + international sanctions

• Fundamental principles

• Investment guidelines for thermal coal sector

Simultaneous integration of

ESG criteria

Convexity analysis

+ 360°C vision

Conviction


54

R-co Valor (1/2)

ESG reports - December 2019


Coverage rate*: 93%

Gross ratings by section

(base/10)

E S G

Consideration of relative ratings

Portfolio ratings (base/10)iBoxx

AA

Above our BBB goal

Details of relative ratings (universe covered by MSCI ESG Research)

Distribution of ratings within sectorsESG Rating Distribution

55% of the portfolio has a rating >=A

ESG Rating Momentum


A trend towards improved ratings

In number of issuers: 5 upgrade(s) / 1 downgrade(s)


No companies have a CCC rating

Energy

Basic materials

Utilities

Industry

Consumer services

Telecommunications

Healthcare

Technology

Consumer goods

UCIs

Source: MSCI ESG Research

6.1 4.8 5.0

For information purposes

MSCI World

A5.9

Financial

55

R-co Valor (2/2)



The carbon intensity of R-co Valor is higher than that of the Stoxx 600 Ⓡ (C) index

R-co Valor Stoxx 600 Ⓡ (C)

Weight Contribution to

carbon intensityWeight Contribution to

carbon intensity

Contribution

gapstCO2 / mil EUR

revenue

Utilities

Materials

Basic consumer goods

Consumer discretionary

Healthcare

Real estate

Telecommunication services

Finance

Information technology

Industry

Energy

UCIs

TOTAL

% Contribution by sector Carbon intensity highly concentrated Breakdown by # issuers

Industry

18%

Materials 32%

Energy 35%

In a small number of sectors

-3 sectors make up 85% of the carbon intensity (7% of the portfolio’s

investments): Energy, Materials, Industry

In a limited number of issuers

- The 5 largest emitters in the portfolio (excluding UCIs)

contributing to 68% of the carbon intensity are: Air Liquide SA,

Canadian Natural Ressources Ltd, Suncor Energy Inc, Ivanhoé

Mines Ltd, Canadian Pacific Rai

- And the top 10 contributors in terms of carbon intensity account

for 85% of the carbon intensity

Others 15

%

Top

10

85%


56

R-co Valor (1/2)



AA

Coverage rate*: 93%


(base/10)

E S G


Portfolio ratings (base/10) iBoxx

AA

Superior to our BBB goal




ESG Rating Momentum


A stable trend in ratings




Energy

Basic materials

Utilities

Industry

Consumer services

Telecommunications

Healthcare

Technology

Consumer goods

UCIs


MSCI World

A


(*) ESG coverage as % of net assets

Financial

57

R-co Valor (2/2)



The carbon intensity of R-co Valor is in line with that of the MSCI World index

R-co Valor MSCI World



carbon intensity

Contribution

gapstCO2 / mil EUR

revenue

Basic materials

Energy

Industry

Utilities

Healthcare

Telecommunications

Technology

Financial

Consumer goods

Utilities

UCIs

TOTAL

% Contribution by sector Carbon intensity concentrated Breakdown by # issuers

Industry 17%

Basic materials

45%

Energy 35%


-3 sectors make up 83% of the carbon intensity (32% of the

portfolio’s investments): Basic materials, Energy, Industry



contributing to 53% of the carbon intensity are: Air Liquide SA,

Canadian Natural Resources Ltd, Teck Resources Ltd,

Canadian Pacific Railway Ltd, Pertium Res

- And the top 10 contributors in terms of carbon intensity

account for 80% of the carbon intensity

Others 20

%

Top

10

80%

Coverage rate*: 90%

Source: MSCI ESG Research(*) Carbon coverage as % of net assets

58

R-co Conviction Credit Euro (1/2)



Coverage rate: 80%


(base/10)

E S G



ABBB

in line with our BBB goal



47% of the portfolio companies have a rating >= a A

ESG Rating Momentum




5 issuers have CCC ratings



Energy

Finance

Healthcare


Materials

Real estate

Utilities

Funds


A


Sovereign wealth funds

Industry

(General Motors, Prosegur Cia de Seguridad

Volkswagen, Wells Fargo & Co, Zimmer Biomet)


59




The carbon intensity of R-co Euro Credit is lower than that of the iBoxx index

R-co Euro Credit iBoxxContribution

gapsWeightContribution to

carbon intensityWeight

Contribution

to carbon

intensitytCO2 / mil EUR revenue

Utilities

Energy


Materials




Healthcare

Finance

Industry

Real estate

UCITS

TOTAL

% Contribution by sector Carbon intensity concentrated to a medium degree Breakdown by # issuers

Industry

9%

Materials

26%

Utilities 39%


- 3 sectors make up 73% of the carbon intensity (9% of the portfolio’s

investments): Utilities, Materials, Industry


- The 5 largest issuers in the portfolio (excluding UCIs) contributing up to 47% of

the carbon intensity are: ArcelorMittal SA, Teollisuuden Voima OYJ, Fortum Oyj,

EP Infrastructure AS, Anglo American PLC

- And the top 10 contributors in terms of carbon intensity account for 64% of the

carbon intensity

Others

36%

Top

10

64%

60




Coverage rate*: 82%


(base/10)

E S G



AA

Above our BBB goal




ESG Rating Momentum






Energy

Basic materials

Utilities

Industry

Consumer services

Telecommunications

Healthcare

Technology

Consumer goods

UCIs

End of December 2020

A



Confidential document with no time limit Source: MSCI ESG Research

Financial

61



Source: Rothschild & Co Asset Management Europe – 31/12/20Source: Rothschild & Co Asset Management Europe – 31/12/20

The carbon intensity of the R-co Conviction Credit Euro is higher than that of the iBoxx index.

R-co Conviction Credit

EuroiBoxx

Contribution

gapsWeight

Contribution to


Contribution

to carbon

intensity

tCO2 / mil EUR

revenue

Basic materials

Financial

Industry

Consumer services

Technology

Consumer goods

Healthcare

Telecommunications

Energy

Utilities

UCITS

TOTAL


Industry 22%

Basic

materials 26%

Utilities 24%



investments): Basic materials, Utilities, Industry


- The 5 largest emitters in the portfolio (excluding UCIs) contributing up to

61% of the carbon intensity are: Heidelberg Cement AG, ArcelorMittal SA,

Teollisuuden Voima OYJ, EP Infrastructure AS, Digital Dutch Finco BV

- And the top 10 contributors in terms of carbon intensity account for 57%

of the carbon intensity



Others

43%

Top 10

57%

(*) Carbon coverage as % of net assets

Confidential document with no time limit

Coverage rate*: 79%

62

R-co Conviction Credit 12M (1/2)



Coverage rate: 94%


(base/10)

E S G



AA




54% of the portfolio is rated >=A

ESG Rating Momentum


A stable trend in ratings




Energy


Utilities

Industry


Finance

Healthcare





A


Real estate

Funds

Basic Materials

63




The carbon intensity of R-co Credit Horizon 12M is higher than that of the iBoxx index

R-co Credit Horizon 12M iBoxxContribution

gapsWeight Contribution to


Contribution

to carbon

intensity

tCO2 / mil EUR

revenue

Materials

Utilities

Industry


Energy

Finance

Healthcare



Real estate


UCIs

TOTAL


Industry

7%

Basic

Materials

42%Utilities 33%


-3 sectors make up 82% of the carbon intensity (30% of the portfolio’s investments):

Materials, Utilities, Industry


- The 5 largest emitters in the portfolio (excluding UCIs) contributing up to 68% of

the carbon intensity are: Heidelberg Cement AG, Fortum Oyj, CEZ AS, Ryanair

Holdings PLC, A2A SpA

- And the top 10 contributors in terms of carbon intensity account for 80% of the

carbon intensity


Others

20%

Top 10

80%

64




Coverage rate*: 94%


(base/10)

E S G



A





ESG Rating Momentum






Energy

Consumer services

Utilities

Industry

Telecommunications

Financial

Healthcare

Technology

Consumer goods


A


UCIs


Euro1.1 Portfolio Rating

Base materials

65




The carbon intensity of the R-co Conviction Credit 12M Euro is lower than that of the iBoxx index

R-co Conviction Credit

12M EuroiBoxx

Contribution

gapsWeight Contribution to

carbon intensity Weight

Contribution to

carbon

intensity

tCO2 / mil EUR

revenue

Consumer services

Utilities

Technology

Telecommunications

Healthcare

Basic materials

Consumer goods

Financial

Energy

Industry

UCITS

TOTAL


Consumer

services 19%

Basic materials

9%

Utilities 59%



investments): Utilities. Consumer services. Basic materials



64% of the carbon intensity are: Fortum Oyj, Ryanair Holdings PLC,

ArcelorMittal, A2A SpA, Carnival Corp

- And the top 10 contributors in terms of carbon intensity account for 66% of

the carbon intensity


Others

34%

Top 10

66%

Coverage rate*: 94%


66

R-co Conviction Credit SD (1/2)




Coverage rate: 92%


(base/10)Portfolio ratings (base/10) iBoxx

E S G

6.1 4.9 5.3

5.6 BBB A

Consideration of relative ratings In line with our BBB goal

ESG Rating Distribution Distribution of ratings within sectors

ESG Rating Momentum






7%

15%

33%

19%

12%11%

3%

11%

83%

6%


20% 40% 60% 80% 100%



Energy

Finance

Healthcare

Industry


Materials

Real estate


Funds


Utilities



67




The carbon intensity of R-co Credit Horizon 1-3 is higher than that of the iBoxx index

R-co Credit Horizon 1-3 iBoxxContribution

gapsWeight

Contribution to

carbon

intensityWeight

Contribution

to carbon

intensity

tCO2 / mil EUR

revenue

Basic Materials

Utilities

Industry

Energy


Healthcare

Finance

Real estate




UCIs

TOTAL


Utilities 23%

Industry 10%

Basic

Materials

48%



investments): Basic Materials, Utilities, Industry



58% of the carbon intensity are: Heidelberg Cement AG, Fortum Oyj,

ArcelorMittal SA, Air France-KLM, Teillisuuden Voima Oyj

- And the top 10 contributors in terms of carbon intensity account for 69% of

the carbon intensity


Others

31%

Top

10

69%

68





Coverage rate*: 89%



E S G

6.5 4.6 4.8

5.9 A

Consideration of relative ratings Above our BBB goal


ESG Rating Momentum







Consumer goods

Energy

Financial

Healthcare

Industry

Technology

Basic materials

UCIs

Telecommunications

Consumer services

Utilities



A


69





The carbon intensity of the R-co Conviction Credit SD Euro is lower than that of the iBoxx index


EuroiBoxx

Contribution

gapsWeight

Contribution to

carbon

intensity

WeightContribution

to carbon

intensity

tCO2 / mil EUR

revenue

Basic materials

Consumer services

Healthcare

Technology

Consumer goods

Telecommunications

Financial

Energy

Industry

Utilities

UCITS

TOTAL

% Contribution by sector Low carbon intensity Breakdown by # issuers

Utilities 38%

Energy 8%

Basic materials

19%



investments): Utilities, Basic materials, Energy



50% of the carbon intensity are: Fortum Oyj, ArcelorMittal SA,

Teollisuuden Voima Oyj, Celanese Corp, EDP FINANCE BV



Others

54%

Top

10

46%


Confidential document with no time limit

Source: MSCI ESC Research


70

RMM Trésorerie (1/2)




Coverage rate: 77%



E S G

6.8 5.1 5.6

7.0 A A



ESG Rating Momentum




A trend towards a downgrading of ratings





Energy

Finance

Healthcare

Industry


Basic Materials

Real estate


Funds


Utilities

1 issuer has a CCC rating

(Volkswagen)


71




The carbon intensity of R-co Treasury is lower than that of the iBoxx index.

R-co Tresorerie iBoxx

Contribution

gapsWeight

Contribution to

carbon

intensity

WeightContribution

to carbon

intensity

tCO2 / mil EUR

revenue

Utilities


Real estate


Finance

Energy

Healthcare



Industry

Basic Materials

UCIs

TOTAL


Utilities 71%

Energy 9%



investments): Utilities, Energy



75% of the carbon intensity are: Engie SA, Veolia Environnement SA,

Endesa SA, Repsol SA, Accor SA



Others

8%

Top

10

92%


72




Financial


Coverage rate*: 71%


(base/10)

E S G



AAA





ESG Rating Momentum







Energy

Base materials

Utilities

Industry

Consumer services

Telecommunications

Healthcare

Technology

Consumer goods

UCIs


73




The carbon intensity of RMM Trésorerie is lower than that of the iBoxx index.

RMM Trésorerie iBoxxContribution

gapsWeight

Contribution to

carbon

intensity

WeightContribution

to carbon

intensity

tCO2 / mil EUR

revenue

Technology

Healthcare

Consumer services

Financial

Telecommunications

Consumer goods

Energy

Basic materials

Industry

Utilities

UCIs

TOTAL


Utilities 65%

Energy 20%



investments): Utilities, Energy, Financial



79% of the carbon intensity are: VEOLIA ENVIRONNEMENT,

IBERDROLA INTL BV, ENI FINANCE INTL SA, REPSOL INTL FINANCE

BV, Fortum Oyj



Others

10%

Top

10

90%


74

RMM Court Terme (1/2)




Coverage rate: 91%



E S G

A A


Distribution of ratings within sectors

ESG Rating Momentum









Energy

Finance

Healthcare

Industry


Basic Materials

Real estate


Utilities

Funds




ESG Rating Distribution

75




The carbon intensity of R-co Short Term is lower than that of the iBoxx index.

R-co Court Terme iBoxxContribution

gapsWeight

Contribution to

carbon

intensity

WeightContribution

to carbon

intensity

tCO2 / mil EUR

revenue

Utilities

Energy

Basic Materials



Real estate

Finance

Industry



Healthcare

UCIs

TOTAL


Utilities 69%

Energy 8%



investments): Utilities, Energy, Basic Materials



57% of the carbon intensity are: Endesa SA, Engie SA, Veolia

Environnement SA, IBERDROLA INTL BV, SA de Gestion de Stocks de

Sec



Others

19%

Top

10

81%


Basic

Materials 5%

76





Coverage rate*: 74%



E S G

AA A


Distribution of ratings within sectors

ESG Rating Momentum







Energy

Basic materials

Utilities

Industry

Consumer services

Telecommunications

Healthcare

Technology

Financial

Consumer goods

UCIs


Source: MSCI ESG Research(*) ESG coverage as % of net assets

ESG Rating Distribution

77




The carbon intensity of RMM Court Terme is lower than that of the iBoxx index

RMM Court Terme iBoxx


carbon intensity


carbon intensity

Contribution

gapstCO2 / mil EUR

revenue

Technology

Telecommunications

Healthcare

Consumer goods

Utilities

Financial

Energy

Utilities

Basic materials

Industry

UCIs

TOTAL


Financial 4%

Utilities 60%

Energy 12%



portfolio’s investments): Utilities, Energy, Industry



contributing up to 70% of the carbon intensity are: VEOLIA

ENVIRONNEMENT, ENERGIE SA, ENDESA SA, ENI

FINANCE INTL SA, IBERDROLA INTL BV



Others

23%

Top

10

77%

Coverage rate*: 65%


78

R-co Thematic Real Estate (1/2)



Coverage rate*: 80%


(base/10)

E S G


Portfolio ratings (base/10) Euronext IEIF REIT Euro

AA

Above our BBB goal




ESG Rating Momentum








Energy

Finance

Healthcare


Basic Materials

Real estate

Utilities

Funds


A



Industry


79




R-co Thematic Real Estate carbon intensity is higher than that of the Euronext index IEIF REIT Euro

R-co Thematic Real

EstateEuronext IEIF REIT Euro


carbon intensity


carbon intensity

Contribution

gapstCO2 / mil EUR

revenue

Real estate

UCITS

TOTAL


Utilities 0%

Real estate

86%



portfolio’s investments): Real estate utilities


- - The 5 largest emitters in the portfolio (excluding UCIs)

contributing up to 49% of the carbon intensity are: Deutsche

Wohnen SE, Klepierre SA, LEG Immobilier AG, Merlin

Properties Socimi SA, ADLER Real Estate AG

- - And the top 10 contributors in terms of carbon intensity


Others

28%

Top

10

72%


80




Coverage rate*: 80%


(base/10)

E S G


Portfolio ratings (base/10)Euronext IEIF REIT

Euro

AA

Above our BBB goal




ESG Rating Momentum






Energy

Basic materials

Utilities

Industry

Telecommunications

Healthcare

Technology

Consumer goods

A


UCIs

Consumer services

Financial


81




The carbon intensity of R-co Thematic Real Estate is lower than that of the Euronext IEIF REIT Euro index

R-co Thematic Real EstateEuronext IEIF REIT

Euro



carbon intensity

Contribution

gapstCO2 / mil EUR

revenue

TOTAL


Consumer

goods 0%

Financial 95%



portfolio’s investments): Financials, Consumer Goods, Technology


- - The 5 largest emitters in the portfolio (excluding UCIs)

contributing up to 62% of the carbon intensity are: Deutsche

Wohnen SE, LEG Immobilier AG, Klepierre SA, ADO

Properties SA, Unibail-Rodamaco-Westfield

- - And the top 10 contributors in terms of carbon intensity


Others

21%

Top

10

79%

Technology 0%

Coverage rate*: 80%

Consumer goods

Technology

Healthcare

Telecommunications

Consumer services

Industry

Utilities

Basic materials

Energy

Financial

UCIs


82

R-co 4Change Climate Equity Euro (1/2)



Coverage rate*: 97%


(base/10)

E S G


Portfolio ratings (base/10) Stoxx 600

AAAA




80% of the portfolio has a rating of A or above

ESG Rating Momentum

Upward Stable DownwardAAA AA A BBB BB B CCC


Healthcare

Energy

Finance

Industry

Basic Materials

Real estate


Funds

A






Utilities


83




The carbon intensity of R-co 4Change Climate Equity is lower than that of the Stoxx 600 Ⓡ (C) index

R-co 4Change Climate

EquityStoxx 600 Ⓡ (C)


carbon intensity


carbon intensity

Contribution

gapstCO2 / mil EUR

revenue

TOTAL


Utilities 39%

Financial 14%



portfolio’s investments): Utilities, Basic Materials, Energy



contributing up to 54% of the carbon intensity are Enel Spa,

Veolia Environnement SA, Sakvay SA, Cie de Saint-Gobain,

Electricite de France SA



Others

26%

Top

10

74%

Basic Materials

15%

Basic Materials

Healthcare

Consumer goods

Real estate

Finance

Utilities


Industry

Energy


Discretionary consumption

UCIs


84




Coverage rate*: 100%


(base/10)

E S G



AAA





ESG Rating Momentum




Healthcare

Energy

Financial

Industry

Basic materials

Telecommunications

Consumer services

UCIs

AA


Technology

Consumer goods



Utilities


85




The carbon intensity of R-co 4Change Climate Equity is lower than that of the Stoxx 600 index


Equity EuropeStoxx 600


carbon intensity


carbon intensity

Contribution

gapstCO2 / mil EUR

revenue

TOTAL


Basic materials

15%

Industry 14%



portfolio’s investments): Utilities, Basic materials, Energy



contributing up to 54% of the carbon intensity are: Enel SpA,

Solvay SA, EDP – Energias de Portugal SA, Electricite de

France SA, TOTAL SA



Others

27%

Top

10

73%

Utilities 34%

Energy

Consumer goods

Technology

Telecommunication

Consumer services

Healthcare

Financial

Utilities

Industry

Basic materials

UCIs



86

R-co 4Change Climate Credit Euro (1/2)





(base/10)

E S G



AAA





ESG Rating Momentum



Healthcare

Energy

Finance

Industry

Basic Materials

Real estate


Funds

A






Utilities


87




The carbon intensity of R-co 4Change Climate Euro Bords is lower than that of the iBoxx index

R-co 4Change Climate Euro

BordsiBoxx

WeightContribution

to carbon

intensity

Weight

Contribution

to carbon

intensity

Contribution

gapstCO2 / mil EUR

revenue

TOTAL


UCITS 12%

Energy 7%


- 3 sectors contribute to 72% of the carbon intensity: Utilities, Basic

Materials, Energy

-These sectors make up 15% of the portfolio’s investments

compared to 18% in the index



contributing with 45% of the carbon intensity are: EDP –

Energias de Portugal SA, Vattenfall AB, Veolia Envronnement

SA, Enel SpA, ERG SpA



Others

35%

Top

10

65%

Utilities 57%

Basic

Materials

8%

Basic Materials

Utilities

Energy


Healthcare



Financial

Industry

Real estate


UCIs


88




Coverage rate*: 98%


(base/10)

E S G



AAA





ESG Rating Momentum



Healthcare

Energy

Financial

Industry

Basic materials

Telecommunications

Consumer services

UCIs


Technology

Consumer goods



Utilities


89





Credit EuroIBoxx

Weight

Contribution

to carbon

intensityWeight

Contribution

to carbon

intensity

Contribution

gapstCO2 / mil EUR

revenue

TOTAL

% Contribution by sector Low carbon intensity Breakdown by # issuers

Utilities 66%



portfolio’s investments): Utilities, Basic materials, Consumer

services



contributing up to 47% of the carbon intensity are: EDP –

Energias de Portugal SA, Vattenfall AB, Engie SA, Enel SpA,

ERG SpA



Others

54%

Top

10

46%

Consumer

services 5%

Basic materials

10%

Coverage rate*: 93%

Utilities

Consumer goods

Telecommunications

Technology

Healthcare

Financial

Consumer goods

Basic materials

Energy

Industry

UCIs


90

R-co 4Change Human Values (1/2)



Coverage rate over the modelable universe: 100%


(base/10)

E S G



AAAA





ESG Rating Momentum



Healthcare

Energy

Finance

Industry

Basic Materials

Real estate


Funds

A






Utilities


91




The carbon intensity of R-co 4Change Human Values is higher than that of the Stoxx 600 index

R-co 4Change Human

ValuesStoxx 600

Weight

Contribution

to carbon

intensityWeight

Contribution

to carbon

intensity

Contribution

gapstCO2 / mil EUR

revenue

TOTAL


Industry 9%In a small number of sectors


portfolio’s investments): Basic Materials, Utilities, Industry



contributing up to 68% of the carbon intensity are: Linde PLC,

Air Liquide SA, CRH PLC, Enel SpA, Red Electrica Corp SA



Others

12%

Top

10

88%

Utilities 20%

Basic

Materials

59%

Energy


Utilities


Financial



Real estate

Healthcare

Industry

Basic Materials

UCIs


92




Coverage rate*: 99%


(base/10)

E S G



AAAA

Above our BBB goal




ESG Rating Momentum



Healthcare

Energy

Financial

Industry

Basic materials

Telecommunications

Consumer services

UCIs


Technology

Consumer goods



Utilities


93




The carbon intensity of R-co 4Change Human Values is higher than that of the Stoxx 600 index

R-co 4Change

Human ValuesStoxx 600



carbon intensity

Contribution

gapstCO2 / mil EUR

revenue

TOTAL


Basic materials

47%Industry 24%


-3 sectors account for 90% of the carbon intensity (32% of the

portfolio's investments), Basic materials, Industry, Utilities



contributing up to 68% of the carbon intensity are: Air Liquide

SA, Linde PLC, CRH PLC, Evonik Industries AG, Enel SpA



Others

12%

Top

10

88%

Utilities 19%

Coverage rate*: 99%

Basic materials

Industry

Healthcare

Technology

Telecommunications

Consumer services

Consumer goods

Financial

Energy

Utilities

UCIs


By the end of December 2020

Our flagship funds and related ESG indicators

* Diversified fund without a benchmark index, so comparison with 2

indices


Coverage rate (%)

- carbon intensity

Carbon intensity

Scopes 1&2

(TCO2/mil EUR

revenue)

Dec 2020

R-co Valor*

RMM Trésorerie


RMM Short Term







R-co 4Change Green Bonds

AA

AA

AA

AA

A

AA

A

AA

A

A

A

MSCI World

iBoxx Corp

iBoxx Corp

iBoxx Corp

iBoxx Corp

iBoxx Corp

Boxx Corp

Euronext IEIF REIT

Stoxx 600

iBoxx Corp

Stoxx 600

Global Green Bold Corp

A

A

A

A

A

A

A

A

AA

A

AA

A

Funds Benchmark or comparison index

Coverage rate (%)

- carbon intensity

Carbon intensity

Scopes 1&2

(TCO2/mil EUR

revenue)

Coverage rate (%)

- ESGRating

AUM (mil

EUR)ESG rating

(of 10)

Benchmark or

comparison indexESG score

(of 10) Rating

Carbon intensity

Scopes 1&2

(TCO2/mil EUR

revenue)

MSCI ESG Research rating conversion table

Rating Score /10

AAA 8.6 - 10.0

AA 7.1 - 8.6

A 5.7 - 7.1

BBB 4.3 - 5.7

BB 2.9 - 4.3

B 1.4 - 2.9

CCC 0.0 - 1.4


96

Disclaimer


• MSCI ESG Research:

Although Rothschild & Co Asset Management Europe information providers, including without limitation, MSCI ESG Research LLC and

its affiliates (the "ESG Parties"), obtain information (the "Information") from sources they consider reliable, none of the ESG Parties

warrants or guarantees the originality, accuracy and/or completeness of any data herein and expressly disclaim all express or implied

warranties, including those of merchantability and fitness for a particular purpose.

The Information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used as a

basis, or a component of, any financial instruments or products or indices. Further, none of the Information can in and of itself be used to

determine which securities to buy or sell or when to buy or sell them. None of the ESG Parties shall have any liability for any errors or

omissions in connection with any data herein, or any liability for any direct, indirect, special, punitive, consequential or any other damages

(including lost profits) even if notified of the possibility of such damages.

• Rothschild & Co Asset Management Europe:

"The information contained in this document is strictly confidential and is only provided at the sole request of the recipient. The latter

agrees not to disclose this information to any other person except its directors, associates, managers, employees, lawyers, agents and

representatives, who may use the information contained herein solely for the purpose of evaluating its potential interest in the investments

described herein and for no other purpose. (Any reproduction and distribution, even partial, of this document is strictly forbidden.)

This is not in any way a promotional document and should not be considered as investment advice, tax advice, as a recommendation or

investment advice from Rothschild & Co Asset Management Europe.

The information/opinions/data contained in this document, considered to be legitimate and correct on the day of their publication, in

accordance with the economic and financial environment in place at that date, are likely to change at any time. Although this document

has been prepared with the utmost care from sources believed to be reliable by Rothschild & Co Asset Management Europe, it does not

guarantee the accuracy and completeness of the information and assessments contained herein, which are only indicative and are

subject to change without notice.

Combined TCFD report Article 173 - Rothschild & Co

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