# Additional Information
#### Investment Manager
K2/D&S MANAGEMENT CO., LLC
300 Atlantic Street, 12th Floor Stamford, CT 06901, U.S.A.

#### Sub-Investment Managers
CHILTON INVESTMENT COMPANY, INC. (Previously known as CHILTON INVESTMENT COMPANY, LLC effective name change April 30, 2022)
1290 East Main Street Stamford, CT 06902, U.S.A.
WELLINGTON MANAGEMENT COMPANY, LLP
280 Congress Street Boston, MA 02210, U.S.A.
ELECTRON CAPITAL PARTNERS, LLC
10 East 53rd Street, 19th Floor New York, NY 10022, U.S.A.
ELLINGTON GLOBAL ASSET MANAGEMENT, LLC
53 Forest Avenue
Old Greenwich, CT 06870, U.S.A.
BARDIN HILL ARBITRAGE UCITS MANAGEMENT LP
477 Madison Avenue, 8th Floor New York, NY 10022, U.S.A.
EMSO ASSET MANAGEMENT LIMITED
Iron Trades House, 21 Grosvenor Place London SW1X 7HN, United Kingdom.

#### Investment Managers per Fund as at September 30, 2022
Franklin K2 Athena Risk Premia UCITS Fund
Investment Manager
K2/D&S MANAGEMENT CO., LLC

#### Franklin K2 Bardin Hill Arbitrage UCITS Fund
Investment Manager
K2/D&S MANAGEMENT CO., LLC
Sub-Investment Manager
BARDIN HILL INVESTMENT PARTNERS L.P.

#### Franklin K2 Cat Bond UCITS Fund
Investment Manager
K2/D&S MANAGEMENT CO., LLC

#### Franklin K2 Chilton Equity Long Short UCITS Fund
Investment Manager
K2/D&S MANAGEMENT CO., LLC
Sub-Investment Manager
CHILTON INVESTMENT COMPANY, INC.

#### Franklin K2 Electron Global UCITS Fund
Investment Manager
K2/D&S MANAGEMENT CO., LLC
Sub-Investment Manager
ELECTRON CAPITAL PARTNERS, LLC

#### Franklin K2 Ellington Structured Credit UCITS

#### Fund
Investment Manager
K2/D&S MANAGEMENT CO., LLC
Sub-Investment Manager
ELLINGTON GLOBAL ASSET MANAGEMENT, LLC

#### Franklin K2 EMSO Emerging Markets UCITS Fund
Investment Manager
K2/D&S MANAGEMENT CO., LLC
Sub-Investment Manager
EMSO ASSET MANAGEMENT LIMITED

#### Franklin K2 Wellington Technology Long Short UCITS Fund
Investment Manager
K2/D&S MANAGEMENT CO., LLC
Sub-Investment Manager
WELLINGTON MANAGEMENT COMPANY, LLP
ADDITIONAL INFORMATION

#### Securities Financing Transactions (SFTs) and Total Return Swaps (TRS)
The Company engages in Securities Financing Transactions (as defined in Article 3 of Regulation (EU) 2015/2365, securities financing transactions include repurchase transactions, securities or commodities lending and securities or commodities borrowing, buy-sell back transactions or sell-buy back transactions and margin lending transactions) through its exposure on total return swap contracts during the period, in accordance with Article 13 of Regulation. Information on total return swaps are detailed below.
| Global data |  |  |  |
| --- | --- | --- | --- |
|  |  |  | Total |
|  |  | Gross Volume of | TRS in |
| Fund | Fund Currency | TRS 1 | % of net assets |
| Franklin K2 Athena Risk Premia UCITS Fund | USD | 3,631,747 | 3.36 |
| Franklin K2 Wellington Technology Long Short UCITS Fund | USD | 3,817,228 | 12.01 |

(1) 
absolute value of the unrealised gains/(losses)
| Total return swaps, ten largest counterparties |  |  |  |
| --- | --- | --- | --- |
|  |  |  | Gross Volume of |
|  |  |  | TRS 1 |
| Fund | Fund Currency | Counterparties | in Fund currency |
| Franklin K2 Athena Risk Premia UCITS Fund | USD | Citigroup | 701,510 |
| Franklin K2 Athena Risk Premia UCITS Fund | USD | Credit Suisse | 153,035 |
| Franklin K2 Athena Risk Premia UCITS Fund | USD | Deutsche Bank | 2,666,243 |
| Franklin K2 Athena Risk Premia UCITS Fund | USD | J.P. Morgan | 74,653 |
| Franklin K2 Athena Risk Premia UCITS Fund | USD | Morgan Stanley | 36,306 |
| Franklin K2 Wellington Technology Long Short UCITS Fund | USD | J.P. Morgan | 1,033,546 |
| Franklin K2 Wellington Technology Long Short UCITS Fund | USD | Morgan Stanley | 2,783,682 |

(1) 
absolute value of the unrealised gains/(losses)
When less than 10 counterparties are disclosed, less than 10 counterparties are available.

#### Aggregate Transaction Data
| Total return swaps, maturity tenor and country of incorporation |
| --- |
|  | Fund |  | Country of incorporation | Gross Volume of TRS 1 |
| Fund | Currency | Maturity | of the Counterparty | in Fund currency |
| Franklin K2 Athena Risk Premia UCITS Fund | USD | 3 to 12 months | Germany | 2,666,243 |
| Franklin K2 Athena Risk Premia UCITS Fund | USD | 3 to 12 months | Switzerland | 153,035 |
| Franklin K2 Athena Risk Premia UCITS Fund | USD | 3 to 12 months | United States of America | 812,469 |
| Franklin K2 Wellington Technology Long Short UCITS Fund | USD | 3 to 12 months | United States of America | 3,817,228 |

(1) 
absolute value of the unrealised gains/(losses)
All Funds engaged in total return swap contracts utilise bi-lateral settlement and clearing with their respective counterparty.

#### Data on reuse of collateral
Collaterals received in relation to Total Return Swaps cannot be sold, re-invested or pledged.

#### Safekeeping of collateral
All the collateral received in relation to Total Return Swaps is in custody at J.P. Morgan SE, Luxembourg Branch.

#### Data on return and cost
The return and cost from total return swap contracts is accrued to the Funds.
ADDITIONAL INFORMATION

#### Collateral
The following table reports the collateral held as at September 30, 2022 to reduce counterparty exposure on OTC derivatives
| Fund | Counterparty | Collateral currency | Cash held as collateral | Sovereign Bonds held as collateral |
| --- | --- | --- | --- | --- |
| Franklin K2 Wellington Technology Long Short UCITS Fund | J.P. Morgan | USD | 260,000 | - |

Portfolio Turnover Ratio
The portfolio turnover ratio, expressed as a percentage, is equal to the total of purchases and sales of securities netted against the total value of subscriptions and redemptions, over average net assets of the Fund for the period. It is effectively a measure of how frequently a Fund buys or sells securities.
The portfolio turnover ratio calculation is not applicable to Liquid Reserve and Money Market Funds, as such a ratio is not relevant to such Funds due to the short-term nature of the investments.
| Fund | Portfolio Turnover Ratio |
| --- | --- |
| Franklin K2 Athena Risk Premia UCITS Fund | (1.38)% |
| Franklin K2 Bardin Hill Arbitrage UCITS Fund | 387.12% |
| Franklin K2 Cat Bond UCITS Fund | 20.97% |
| Franklin K2 Chilton Equity Long Short UCITS Fund | 212.15% |
| Franklin K2 Electron Global UCITS Fund | 383.03% |
| Franklin K2 Ellington Structured Credit UCITS Fund | 82.27% |
| Franklin K2 EMSO Emerging Markets UCITS Fund | 78.57% |
| Franklin K2 Wellington Technology Long Short UCITS Fund | 184.96% |

Audited annual report and unaudited semi-annual reports
The audited annual reports and unaudited semi-annual reports will be available on the local Franklin Templeton website,www. franklintempleon.lu or may be obtained, free of charge, on request at the registered office of the Company; they are only distributed to registered shareholders in those countries where local regulation so requires. The complete audited annual reports and unaudited semi-annual reports are available at the registered office of the Company.

Translation (ENIT, 2022-09-30):
# Informazioni supplementari
#### Gestore degli investimenti
K2/D&S MANAGEMENT CO., LLC
300 Atlantic Street, 12th Floor Stamford, CT 06901, U.S.A.

#### Sub-Investment Managers
CHILTON INVESTMENT COMPANY, INC. (già nota come
CHILTON INVESTMENT COMPANY, LLC data di effetto del
cambiamento di nome 30 aprile 2022) 1290 East Main Street
Stamford, CT 06902, U.S.A.
WELLINGTON MANAGEMENT COMPANY, LLP
280 Congress Street Boston, MA 02210, U.S.A.
ELECTRON CAPITAL PARTNERS, LLC
10 East 53rd Street, 19th Floor New York, NY 10022, U.S.A.
ELLINGTON GLOBAL ASSET MANAGEMENT, LLC
53 Forest Avenue
Old Greenwich, CT 06870, U.S.A.
BARDIN HILL ARBITRAGE UCITS MANAGEMENT LP
477 Madison Avenue, 8th Floor New York, NY 10022, U.S.A.
EMSO ASSET MANAGEMENT LIMITED
Iron Trades House, 21 Grosvenor Place London SW1X 7HN, United Kingdom.

#### Gestori del portafoglio per Comparto al 30 settembre 2022
Franklin K2 Athena Risk Premia UCITS Fund
Gestore degli Investimenti
K2/D&S MANAGEMENT CO., LLC

#### Franklin K2 Bardin Hill Arbitrage UCITS Fund
Gestore degli Investimenti
K2/D&S MANAGEMENT CO., LLC
Sub-Gestore degli Investimenti
BARDIN HILL INVESTMENT PARTNERS L.P.

#### Franklin K2 Cat Bond UCITS Fund
Gestore degli Investimenti
K2/D&S MANAGEMENT CO., LLC

#### Franklin K2 Chilton Equity Long Short UCITS Fund
Gestore degli Investimenti
K2/D&S MANAGEMENT CO., LLC
Sub-Gestore degli Investimenti
CHILTON INVESTMENT COMPANY, INC.

#### Franklin K2 Electron Global UCITS Fund
Gestore degli Investimenti
K2/D&S MANAGEMENT CO., LLC
Sub-Gestore degli Investimenti ELECTRON CAPITAL PARTNERS, LLC

#### Franklin K2 Ellington Structured Credit UCITS Fund
Gestore degli Investimenti
K2/D&S MANAGEMENT CO., LLC
Sub-Gestore degli Investimenti
ELLINGTON GLOBAL ASSET MANAGEMENT, LLC

#### Franklin K2 EMSO Emerging Markets UCITS Fund
Gestore degli Investimenti
K2/D&S MANAGEMENT CO., LLC
Sub-Gestore degli Investimenti
EMSO ASSET MANAGEMENT LIMITED

#### Franklin K2 Wellington Technology Long Short UCITS Fund
Gestore degli Investimenti
K2/D&S MANAGEMENT CO., LLC
Sub-Gestore degli Investimenti
WELLINGTON MANAGEMENT COMPANY, LLP
INFORMAZIONI SUPPLEMENTARI

#### Operazioni di finanziamento tramite titoli (SFT) e total return swap (TRS)
La Società perfeziona Operazioni di finanziamento tramite titoli (secondo la definizione di cui all’Articolo 3 del Regolamento (UE) 2015/2365, le operazioni di finanziamento tramite titoli comprendono operazioni di riacquisto e concessioni e assunzioni di prestiti di titoli o materie prime, operazioni di buy-sell back o sell-buy back e operazioni di marginazione) tramite la propria esposizione a contratti di total return swap nel corso del periodo, in conformità all’Articolo 13 del Regolamento. Di seguito sono riportate informazioni dettagliate sui contratti di total return swap.

#### Dati globali
| Comparto | Valuta del Comparto | Volume lordo dei TRS 1 | Totale TRS in % del patrimonio netto |
| --- | --- | --- | --- |
| Franklin K2 Athena Risk Premia UCITS Fund | USD | 3.631.747 | 3,36 |
| Franklin K2 Wellington Technology Long Short UCITS Fund | USD | 3.817.228 | 12,01 |

(1) 
valore assoluto degli utili/(perdite) non realizzati(e)
Total Return Swaps, dieci maggiori controparti
| Comparto | Valuta del Comparto | Controparti | Volume lordo dei TRS 1  nella valuta del Comparto |
| --- | --- | --- | --- |
| Franklin K2 Athena Risk Premia UCITS Fund | USD | Citigroup | 701.510 |
| Franklin K2 Athena Risk Premia UCITS Fund | USD | Credit Suisse | 153.035 |
| Franklin K2 Athena Risk Premia UCITS Fund | USD | Deutsche Bank | 2.666.243 |
| Franklin K2 Athena Risk Premia UCITS Fund | USD | J.P. Morgan | 74.653 |
| Franklin K2 Athena Risk Premia UCITS Fund | USD | Morgan Stanley | 36.306 |
| Franklin K2 Wellington Technology Long Short UCITS Fund | USD | J.P. Morgan | 1.033.546 |
| Franklin K2 Wellington Technology Long Short UCITS Fund | USD | Morgan Stanley | 2.783.682 |

(1) 
valore assoluto degli utili/(perdite) non realizzati(e)
Laddove sono indicate meno di 10 controparti, sono disponibili meno di 10 controparti.

#### Dati aggregati sulle operazioni
Total return swap, scadenza e paese di costituzione
| Comparto | Valuta del Comparto | Scadenza | Paese di costituzione della Controparte | Volume lordo dei TRS 1  nella valuta del Comparto |
| --- | --- | --- | --- | --- |
| Franklin K2 Athena Risk Premia UCITS Fund | USD | Da 3 a 12 mesi | Germania | 2,666,243 |
| Franklin K2 Athena Risk Premia UCITS Fund | USD | Da 3 a 12 mesi | Svizzera | 153,035 |
| Franklin K2 Athena Risk Premia UCITS Fund | USD | Da 3 a 12 mesi | Stati Uniti d’America | 812,469 |
| Franklin K2 Wellington Technology Long Short UCITS Fund | USD | Da 3 a 12 mesi | Stati Uniti d’America | 3,817,228 |

(1) 
valore assoluto degli utili/(perdite) non realizzati(e)
Tutti i Comparti impegnati in contratti di total return swap utilizzano un sistema di compensazione e regolamento bilaterale con la loro rispettiva controparte.

#### Dati sul riutilizzo della garanzia collaterale
Le garanzie collaterali ricevute in relazione a contratti di total return swap non possono essere vendute, reinvestite o costituite in pegno.

#### Custodia della garanzia collaterale
Tutta la garanzia collaterale ricevuta in relazione a contratti di total return swap è custodita presso J.P. Morgan SE, Luxembourg Branch.

#### Dati su rendimento e costo
Il rendimento e il costo dei contratti di total return swap matura a favore dei Comparti.
INFORMAZIONI SUPPLEMENTARI

#### Garanzia collaterale
Nella tabella seguente è riportata la garanzia collaterale detenuta per ridurre l’esposizione alla controparte su derivati OTC al 30 settembre 2022.
| Comparto | Controparte | Valuta della garanzia collaterale | Liquidità detenuta come garanzia collaterale | Titoli sovrani detenuti come garanzia collaterale |
| --- | --- | --- | --- | --- |
| Franklin K2 Wellington Technology Long Short UCITS Fund | J.P. Morgan | USD | 260.000 | - |


###### Turnover di portafoglio
Il turnover di portafoglio, espresso in forma percentuale, è pari al totale degli acquisti e delle vendite dei titoli netti rispetto al valore totale delle sottoscrizioni e dei rimborsi, sul patrimonio netto medio del comparto per il periodo in esame. Questo indice consente di misurare in modo efficace la frequenza di acquisto o di vendita dei titoli da parte di un determinato comparto.
Il calcolo sul turnover di portafoglio non è applicabile ai comparti Liquid Reserve Fund e Money Market Fund a causa della natura a breve termine di tali investimenti.
| Comparto | Turnover di portafoglio |
| --- | --- |
| Franklin K2 Athena Risk Premia UCITS Fund | (1,38)% |
| Franklin K2 Bardin Hill Arbitrage UCITS Fund | 387,12% |
| Franklin K2 Cat Bond UCITS Fund | 20,97% |
| Franklin K2 Chilton Equity Long Short UCITS Fund | 212,15% |
| Franklin K2 Electron Global UCITS Fund | 383,03% |
| Franklin K2 Ellington Structured Credit UCITS Fund | 82,27% |
| Franklin K2 EMSO Emerging Markets UCITS Fund | 78,57% |
| Franklin K2 Wellington Technology Long Short UCITS Fund | 184,96% |


###### Relazione annuale certificata e relazioni semestrali non certificate
Le relazioni annuali sottoposte a revisione e le relazioni semestrali non sottoposte a revisione saranno disponibili sul sito web locale di Franklin Templeton, www.franklintempleton.lu, oppure potranno essere ottenute gratuitamente presso la sede legale della Società; verranno distribuite esclusivamente agli azionisti iscritti nel registro in paesi in cui le leggi locali lo richiedono. La versione integrale delle relazioni annuali soggette a revisione e delle relazioni semestrali non soggette a revisione è disponibile presso la sede legale della Società.