# Unaudited supplementary information for the financial year ended 31 July 2022
## Appendix 1: Securities financing transactions and reuse
The following information is presented with regard to Regulation (EU) 2015/2365 on transparency of securities financing transactions and of reuse (“SFTR”). The Board of Directors considers the outperformance swaps held by the Sub-Funds to meet the definition of total return swaps within those regulations.

## Global data

## Securities and commodities on loan as a proportion of total lendable assets
| Assets engaged by SFT Type - Total Return Swaps (TRSs) As at 31 July 2022 | AUM Absolute Value* | TRSs as % of NAV | TRSs as % of AUM** |
| --- | --- | --- | --- |
| Emerging Markets Equity Fund | US$48,516,313 | 196.81% | 65.81% |
| MS Swiss Life Multi-Asset Protected Fund | CHF91,707,838 | 196.04% | 65.77% |
| MSCI Emerging Markets ESG Equity Fund | US$1,520,773,445 | 194.33% | 66.46% |
| MS Scientific Beta US Equity Factors UCITS ETF | US$2,081,132 | 204.63% | 65.68% |
| 80% Protected Index Portfolio | £30,357,419 | 197.51% | 65.87% |
| Cautious 85% Protected Fund | €146,772,008 | 196.89% | 66.15% |
| Equity Risk Managed Fund | €69,579,371 | 194.49% | 66.25% |
| Moderate 80% Protected Fund | €58,334,238 | 197.69% | 66.03% |
| SciBeta HFE Europe Equity 6F EW UCITS ETF | €278,598,957 | 197.48% | 66.07% |
| SciBeta HFE EM Equity 6F EW UCITS ETF | €4,034,003 | 196.99% | 66.04% |
| SciBeta HFE US Equity 6F EW UCITS ETF | €581,039,191 | 195.72% | 65.77% |
| SciBeta HFE Japan Equity 6F EW UCITS ETF | €830,245 | 194.00% | 66.41% |
| SciBeta HFE Pacific ex-Jap Equity 6F EW UCITS ETF | €47,898,041 | 197.29% | 66.13% |
| ACUMEN Capital Protection Portfolio | £221,820,515 | 197.98% | 65.67% |
| ACUMEN Megatrends Protection Portfolio | £222,802,097 | 199.30% | 66.64% |
| Movestic Avancera 75 | SEK2,162,835,207 | 201.24% | 66.06% |
| Movestic Avancera 85 | SEK821,013,212 | 202.79% | 66.13% |
| ACUMEN ESG Protection Portfolio | £121,674,229 | 197.01% | 65.07% |
| Pergola 90 | €32,790,733 | 200.16% | 66.03% |
| SciBeta HFI US Equity 6F EW (USD) UCITS ETF | US$91,435,718 | 388.49% | 79.84% |
| Zebra Kante™ 80 Protect | US$12,209,320 | 196.48% | 66.40% |
| Morgan Stanley Alpha Tracker UCITS Fund | US$83,897,738 | 203.15% | 65.06% |
| Ibercaja Vida Consolida Sostenible | €9,501,881 | 196.37% | 65.67% |


## *Absolute value is expressed as the sum of the fair value of financial assets and absolute fair value of financial liabilities.

## **This percentage is calculated as the Absolute Notional Value of TRS / Assets Under Management.
No total return swaps were held by MS Scientific Beta Global Equity Factors UCITS ETF, Smartfund 80% Protected Balanced Fund, Smartfund 80% Protected Growth Fund, Smartfund Growth Fund, Smartfund Cautious Fund, Smartfund Balanced Fund and Morgan Stanley RADAR ex Agriculture & Livestock Fund at 31 July 2022.

## Concentration Data Collateral Issuers

## For the financial year under review, collateral was held on Total Return Swaps.

## Counterparties

## All counterparties to the total return swaps held by each Sub-Fund are disclosed in the schedule of investments for that Sub-Fund.

Translation (ENFR, 2022-07-31):
# Informations complémentaires non auditées pour l’exercice clos le 31 juillet 2022
## Annexe 1 : Transparence des opérations de financement sur titres et de la réutilisation
L’information ci-dessous se rapporte au Règlement (UE) 2015/2365 relatif à la transparence des opérations de financement sur titres et de la réutilisation (« SFTR »). Le Conseil d’administration considère que les contrats d’échange de surperformance détenus par les Compartiments correspondent à la définition des contrats d’échange sur rendement total dudit règlement.

## Données globales

## Titres et matières premières prêtés en proportion de l’actif prêtable global
| Actifs engagés par type d’opération de financement sur titres - Contrats d’échange sur rendement total (TRS) au 31 juillet 2022 | Valeur absolue de l’actif sous gestion* | TRS en % de la VL | TRS en % de l’encours de gestion |
| --- | --- | --- | --- |
| Emerging Markets Equity Fund | 48 516 313 USD | 196,81 % | 65,81 % |
| MS Swiss Life Multi-Asset Protected Fund | 91 707 838 CHF | 196,04 % | 65,77 % |
| MSCI Emerging Markets ESG Equity Fund | 1 520 773 445 USD | 194,33 % | 66,46 % |
| MS Scientific Beta US Equity Factors UCITS ETF | 2 081 132 USD | 204,63 % | 65,68 % |
| 80% Protected Index Portfolio | 30 357 419 GBP | 197,51 % | 65,87 % |
| Cautious 85% Protected Fund | 146 772 008 EUR | 196,89 % | 66,15 % |
| Equity Risk Managed Fund | 69 579 371 EUR | 194,49 % | 66,25 % |
| Moderate 80% Protected Fund | 58 334 238 EUR | 197,69 % | 66,03 % |
| SciBeta HFE Europe Equity 6F EW UCITS ETF | 278 598 957 EUR | 197,48 % | 66,07 % |
| SciBeta HFE EM Equity 6F EW UCITS ETF | 4 034 003 EUR | 196,99 % | 66,04 % |
| SciBeta HFE US Equity 6F EW UCITS ETF | 581 039 191 EUR | 195,72 % | 65,77 % |
| SciBeta HFE Japan Equity 6F EW UCITS ETF | 830 245 EUR | 194,00 % | 66,41 % |
| SciBeta HFE Pacific ex-Jap Equity 6F EW UCITS ETF | 47 898 041 EUR | 197,29 % | 66,13 % |
| ACUMEN Capital Protection Portfolio | 221 820 515 GBP | 197,98 % | 65,67 % |
| ACUMEN Megatrends Protection Portfolio | 222 802 097 GBP | 199,30 % | 66,64 % |
| Movestic Avancera 75 | 2 162 835 207 SEK | 201,24 % | 66,06 % |
| Movestic Avancera 85 | 821 013 212 SEK | 202,79 % | 66,13 % |
| ACUMEN ESG Protection Portfolio | 121 674 229 GBP | 197,01 % | 65,07 % |
| Pergola 90 | 32 790 733 EUR | 200,16 % | 66,03 % |
| SciBeta HFI US Equity 6F EW (USD) UCITS ETF | 91 435 718 USD | 388,49 % | 79,84 % |
| Zebra Kante™ 80 Protect | 12 209 320 USD | 196,48 % | 66,40 % |
| Morgan Stanley Alpha Tracker UCITS Fund | 83 897 738 USD | 203,15 % | 65,06 % |
| Ibercaja Vida Consolida Sostenible | 9 501 881 EUR | 196,37 % | 65,67 % |


## *La valeur absolue est la somme de la juste valeur des actifs financiers et de la juste valeur absolue des passifs financiers.

## **Ce pourcentage = valeur notionnelle absolue des TRS/encours de gestion.
Aucun contrat d’échange sur rendement total n’était détenu par les Compartiments MS Scientific Beta Global Equity Factors UCITS ETF, Smartfund 80% Protected Balanced Fund, Smartfund 80% Protected Growth Fund, Smartfund Growth Fund, Smartfund Cautious Fund, Smartfund Balanced Fund et Morgan Stanley RADAR ex Agriculture & Livestock Fund au 31 juillet 2022.

## Données de concentration

## Émetteurs de la garantie

## Pour l’exercice considéré, une garantie sur les Contrats d’échange sur rendement total était détenue.

## Contreparties

## Toutes les contreparties des contrats d’échange sur rendement total détenus par les différents Compartiments sont indiquées

## dans l’état des investissements du Compartiment concerné.