# Unaudited supplementary information for the financial year ended 31 July 2022 (continued)
## Appendix 4: Sustainable Finance Disclosures Regulation (SFDR) (continued)

## Product Name: Ibercaja Vida Consolida Sostenible SFDR Categorisation: Article 8

## Product Legal Entity Identifier (LEI): 635400F4CXSGKH6WGA18 Reporting period: 1 August 2021 to 29 July 2022

## Article 11 SFDR Periodic Report on the environmental and social characteristics of the Ibercaja Vida Consolida Sostenible
The Ibercaja Vida Consolida Sostenible (“Sub-Fund”) is passively managed and has met its environmental, social and governance (“ESG”) characteristics during the reporting period through its investment portfolio (“Investment Portfolio”), which has included: fixed income securities, through UCITS exchange traded Funds (“UCITS ETFs”), which are classified as promoting an environmental or social characteristic (i.e. an article 8 fund under the Sustainable Finance Disclosure Regulation (“SFDR”)), together the “ESG Investment Portfolio”.

## During the reporting period, the weight of the ESG Portfolio within the Sub-Fund has varied depending on a risk control mechanism.

## The Sub-Fund did not have exposure to equity-related assets during the period starting 15 July 2022 until 29 July 2022.

## Fixed income asset group

## The Sub-Fund has invested in UCITS exchange traded funds (“ETFs”) which are classified as article 8 funds under the

## SFDR and are promoting an environmental or social characteristic.
Please note that (i) the Sub-Fund, while permitted to do so, is not invested in article 9 funds under the SFDR as at 29th July 2022 and (ii) the UCITS eligible indices will not be classified as promoting any ESG characteristics. The UCITS eligible indices will provide long exposure to government issued bond futures and are developed and operated by Morgan Stanley & Co. International plc, in its capacity as index sponsor (“MSIP”). The exposure to each fixed income asset is managed systematically and may vary based on market conditions (including but not limited to the performance of each UCITS ETF and index).
The allocation of the equity asset group and fixed income asset group is performed through a systematic mechanism based on the volatility of each asset group, which will allocate a weight to each asset group and to a cash component with the sum of the weights being 100% of the Investment Portfolio. In the event that market conditions are such that the systematic mechanism cannot maintain a volatility of the Investment Portfolio close to 6%, the investment manager systematically adjusts the exposure between the Investment Portfolio and cash, based on certain volatility rules.
| Indicator | Description | Investment Portfolio value as at 29th July 2022 (the Sub-Fund was launched on 15th July 2022) |
| --- | --- | --- |
| Investment in UCITS ETFs which are classified as article 8 funds under the SFDR | iShares $ High Yield Corp Bond ESG UCITS ETF; UBS (Lux) Fund Solutions - Bloomberg Barclays MSCI US Liquid Corporates Sustainable UCITS ETF; iShares EUR High Yield Corp Bond ESG UCITS ETF; and iShares EUR Corp Bond ESG UCITS ETF. | 26% of Investment Portfolio |

Translation (ENFR, 2022-07-31):
# Informations complémentaires non auditées pour l’exercice clos le 31 juillet 2022 (suite)
## Annexe 1 : Transparence des opérations de financement sur titres et de la réutilisation (suite)

## Données de transaction agrégées

## Type et devise de la garantie

## Il y a une garantie détenue sur les Contrats d’échange sur rendement total.

## Type de garantie : Obligations d’État (néant), Liquidités (néant) USD (en milliers)

## Date d’échéance

## Les dates d’échéance des contrats d’échange sur rendement total par contrepartie sont indiquées dans l’état des investissements de chaque Compartiment.

## Contrats d’échange sur rendement total (TRS)		Pays des contreparties

## Règlement et compensation

## Emerging Markets Equity Fund	R.-U., É.-U.	Dérivés de gré à gré*

## MS Swiss Life Multi-Asset Protected Fund	R.-U., É.-U.	Dérivés de gré à gré*

## MSCI Emerging Markets ESG Equity Fund	R.-U., É.-U.	Dérivés de gré à gré*

## MS Scientific Beta US Equity Factors UCITS ETF	R.-U., É.-U.	Dérivés de gré à gré*

## 80% Protected Index Portfolio	R.-U., É.-U.	Dérivés de gré à gré*

## Cautious 85% Protected Fund	R.-U., É.-U.	Dérivés de gré à gré*

## Equity Risk Managed Fund	R.-U., É.-U.	Dérivés de gré à gré*

## Moderate 80% Protected Fund	R.-U., É.-U.	Dérivés de gré à gré*

## SciBeta HFE Europe Equity 6F EW UCITS ETF	R.-U., É.-U.	Dérivés de gré à gré*

## SciBeta HFE EM Equity 6F EW UCITS ETF	R.-U., É.-U.	Dérivés de gré à gré*

## SciBeta HFE US Equity 6F EW UCITS ETF	R.-U., É.-U.	Dérivés de gré à gré*

## SciBeta HFE Japan Equity 6F EW UCITS ETF	R.-U., É.-U.	Dérivés de gré à gré*

## SciBeta HFE Pacific ex-Jap Equity 6F EW UCITS ETF	R.-U., É.-U.	Dérivés de gré à gré*

## ACUMEN Capital Protection Portfolio	R.-U., É.-U.	Dérivés de gré à gré*

## ACUMEN Megatrends Protection Portfolio	R.-U., É.-U.	Dérivés de gré à gré*

## Movestic Avancera 75	R.-U., É.-U.	Dérivés de gré à gré*

## Movestic Avancera 85	R.-U., É.-U.	Dérivés de gré à gré*

## ACUMEN ESG Protection Portfolio	R.-U., É.-U.	Dérivés de gré à gré*

## Pergola 90	R.-U., É.-U.	Dérivés de gré à gré*

## SciBeta HFI US Equity 6F EW (USD) UCITS ETF	R.-U., É.-U.	Dérivés de gré à gré*

## Zebra Kante™ 80 Protect	R.-U., É.-U.	Dérivés de gré à gré*

## Morgan Stanley Alpha Tracker UCITS Fund	R.-U., É.-U.	Dérivés de gré à gré*

## Ibercaja Vida Consolida Sostenible	R.-U., É.-U.	Dérivés de gré à gré*

## *Les dérivés de gré à gré font l’objet de contrats bilatéraux.