# Unaudited supplementary information for the financial year ended 31 July 2021
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 2021 | AUM Absolute Value* | TRSs as % of NAV | TRSs as % of AUM** |
| --- | --- | --- | --- |
| Emerging Markets Equity Fund | US$748,296,633 | 199.57% | 65.57% |
| MS Swiss Life Multi-Asset Protected Fund | CHF107,533,657 | 196.99% | 66.16% |
| MS Scientific Beta Global Equity Factors UCITS ETF | US$2,149,269 | 192.27% | 66.75% |
| MSCI Emerging Markets ESG Equity Fund | US$2,022,717,266 | 197.23% | 66.48% |
| MS Scientific Beta US Equity Factors UCITS ETF | US$33,500,543 | 193.40% | 66.45% |
| Smartfund 80% Protected Balanced Fund | £15,738,712 | 197.36% | 66.08% |
| Smartfund 80% Protected Growth Fund | £11,679,382 | 195.38% | 65.93% |
| 80% Protected Index Portfolio | £46,192,171 | 199.32% | 65.97% |
| Smartfund Growth Fund | £11,751,473 | 195.57% | 66.60% |
| Smartfund Cautious Fund | £7,281,837 | 188.30% | 67.09% |
| Smartfund Balanced Fund | £10,596,152 | 190.20% | 66.79% |
| Cautious 85% Protected Fund | €174,735,978 | 199.85% | 66.16% |
| Equity Risk Managed Fund | €129,130,943 | 194.43% | 66.37% |
| Moderate 80% Protected Fund | €68,645,804 | 198.48% | 65.59% |
| SciBeta HFE Europe Equity 6F EW UCITS ETF | €294,126,210 | 197.88% | 66.04% |
| SciBeta HFE EM Equity 6F EW UCITS ETF | €5,307,317 | 200.28% | 66.06% |
| SciBeta HFE US Equity 6F EW UCITS ETF | €471,042,461 | 193.89% | 66.48% |
| SciBeta HFE Japan Equity 6F EW UCITS ETF | €782,173 | 190.21% | 66.97% |
| SciBeta HFE Pacific ex-Jap Equity 6F EW UCITS ETF | €115,710,065 | 198.49% | 65.62% |
| Morgan Stanley RADAR ex Agriculture & Livestock Fund | US$311,105,323 | 100.17% | 50.29% |
| ACUMEN Capital Protection Portfolio | £330,208,050 | 199.97% | 66.20% |
| ACUMEN Income - Protection Portfolio | £222,628,828 | 196.16% | 66.06% |
| Movestic Avancera 75 | SEK2,712,660,505 | 199.63% | 65.49% |
| Movestic Avancera 85 | SEK1,108,944,835 | 200.14% | 65.22% |
| ACUMEN ESG Protection Portfolio | £141,636,960 | 199.40% | 65.79% |
| Pergola 90 | €57,002,978 | 198.99% | 66.35% |
| SciBeta HFI US Equity 6F EW (USD) UCITS ETF | US$61,580,559 | 193.86% | 66.22% |
| Zebra Kante™ 80 Protect | US$12,316,699 | 192.96% | 65.56% |
| Morgan Stanley Alpha Tracker UCITS Fund | US$57,119,190 | 187.29% | 66.08% |

*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 Fideuram Equity Smart Beta Dynamic Protection 80 Fund, Global Equity Risk Premia Long/Short UCITS Fund, DAX® 80 Garant and MS Fideuram Equity Smart Beta Dynamic Protection 80 Fund – II at 31 July 2021.
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 (ENDE, 2021-07-31):
# Ungeprüfte ergänzende Informationen für das Geschäftsjahr zum 31. Juli 2021
Anhang 1: Wertpapierfinanzierungsgeschäfte und Weiterverwendung
Die folgenden Angaben beziehen sich auf die Verordnung (EU) 2015/2365 über die Transparenz von Wertpapierfinanzierungsgeschäften und der Weiterverwendung („SFT-Verordnung“). Der Verwaltungsrat ist der Ansicht, dass die von den Teilfonds gehaltenen Outperformance Swaps die Definition von Total Return Swaps im Sinne dieser Vorschriften erfüllen.
Allgemeine Angaben
Anteil der verliehenen Wertpapiere und Waren an den gesamten verleihbaren Vermögenswerten:
| Engagierte Vermögenswerte nach SFT-Typ – Total Return Swaps (TRSs) Zum 31. Juli 2021 | Verwaltetes Vermögen, absoluter Wert* | TRS in % des NIW | TRS in % des verwalteten Vermögens** |
| --- | --- | --- | --- |
| Emerging Markets Equity Fund | 748.296.633 USD | 199,57 % | 65,57 % |
| MS Swiss Life Multi-Asset Protected Fund | 107.533.657 CHF | 196,99 % | 66,16 % |
| MS Scientific Beta Global Equity Factors UCITS ETF | 2.149.269 USD | 192,27 % | 66,75 % |
| MSCI Emerging Markets ESG Equity Fund | 2.022.717.266 USD | 197,23 % | 66,48 % |
| MS Scientific Beta US Equity Factors UCITS ETF | 33.500.543 USD | 193,40 % | 66,45 % |
| Smartfund 80% Protected Balanced Fund | 15.738.712 GBP | 197,36 % | 66,08 % |
| Smartfund 80% Protected Growth Fund | 11.679.382 GBP | 195,38 % | 65,93 % |
| 80% Protected Index Portfolio | 46.192.171 GBP | 199,32 % | 65,97 % |
| Smartfund Growth Fund | 11.751.473 GBP | 195,57 % | 66,60 % |
| Smartfund Cautious Fund | 7.281.837 GBP | 188,30 % | 67,09 % |
| Smartfund Balanced Fund | 10.596.152 GBP | 190,20 % | 66,79 % |
| Cautious 85% Protected Fund | 174.735.978 EUR | 199,85 % | 66,16 % |
| Equity Risk Managed Fund | 129.130.943 EUR | 194,43 % | 66,37 % |
| Moderate 80% Protected Fund | 68.645.804 EUR | 198,48 % | 65,59 % |
| SciBeta HFE Europe Equity 6F EW UCITS ETF | 294.126.210 EUR | 197,88 % | 66,04 % |
| SciBeta HFE EM Equity 6F EW UCITS ETF | 5.307.317 EUR | 200,28 % | 66,06 % |
| SciBeta HFE US Equity 6F EW UCITS ETF | 471.042.461 EUR | 193,89 % | 66,48 % |
| SciBeta HFE Japan Equity 6F EW UCITS ETF | 782.173 EUR | 190,21 % | 66,97 % |
| SciBeta HFE Pacific ex-Jap Equity 6F EW UCITS ETF | 115.710.065 EUR | 198,49 % | 65,62 % |
| Morgan Stanley RADAR ex Agriculture & Livestock Fund | 311.105.323 USD | 100,17 % | 50,29 % |
| ACUMEN Capital Protection Portfolio | 330.208.050 GBP | 199,97 % | 66,20 % |
| ACUMEN Income - Protection Portfolio | 222.628.828 GBP | 196,16 % | 66,06 % |
| Movestic Avancera 75 | 2.712.660.505 SEK | 199,63 % | 65,49 % |
| Movestic Avancera 85 | 1.108.944.835 SEK | 200,14 % | 65,22 % |
| ACUMEN ESG Protection Portfolio | 141.636.960 GBP | 199,40 % | 65,79 % |
| Pergola 90 | 57.002.978 EUR | 198,99 % | 66,35 % |
| SciBeta HFI US Equity 6F EW (USD) UCITS ETF | 61.580.559 USD | 193,86 % | 66,22 % |
| Zebra Kante™ 80 Protect | 12.316.699 USD | 192,96 % | 65,56 % |
| Morgan Stanley Alpha Tracker UCITS Fund | 57.119.190 USD | 187,29 % | 66,08 % |

* Der absolute Wert wird ausgedrückt als die Summe des beizulegenden Zeitwerts der Finanzwerte und des absoluten beizulegenden Zeitwerts der finanziellen Verbindlichkeiten.
** Dieser Prozentsatz wird als absoluter Nominalwert der TRS/verwalteten Vermögenswerte berechnet.
Der MS Fideuram Equity Smart Beta Dynamic Protection 80 Fund, Global Equity Risk Premia Long/Short UCITS Fund, DAX® 80 Garant und MS Fideuram Equity Smart Beta Dynamic Protection 80 Fund – II hielten zum 31. Juli 2021 keine Total Return Swaps.
Angaben zur Konzentration Emittenten von Sicherheiten
Im Berichtsjahr wurden Sicherheiten für Total Return Swaps gehalten.
Kontrahenten
Alle Kontrahenten der von den einzelnen Teilfonds gehaltenen Total Return Swaps sind im Anlagenverzeichnis des jeweiligen Teilfonds offengelegt.