Annual report MUTUAL FUNDS - MUTUAL FUNDS UNDER FRENCH …€¦ · Statutory auditor CABINET PWC AUDIT 63, rue de Villiers - Crystal Park - 92208 Neuilly-sur-Seine Cedex Distributors

Ann

ual

repo

rtM

UT

UA

L FU

ND

S-

MU

TU

AL

FUN

DS

UN

DE

R F

RE

NC

H L

AW

FundLogicStructured Products

YEAR ENDED : 29.12.2017

FUNDLOGIC SAS

This

tran

slat

ion

is fo

r in

form

atio

n pu

rpos

e on

ly -

Onl

y th

e Fr

ench

ver

sion

is b

indi

ng

cont

ents

2 Mutual Fund - Annual Report - Year ended: 29.12.2017

FUNDLOGIC STRUCTURED PRODUCTS

informations about investments and management. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .3

consolidated annual accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .4

balance sheet . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .5

asset.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .5

liabilities... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .6

off-balance sheet. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .7

income statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .8

appendices. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .9

accounting rules and methods .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .9

Information on the corporate representatives. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .10

Resolution Ordinary General Meeting of 28 April 2018 . . . . . . . . . . . . . . . . .11

Report of statutory auditor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .13

FSP – MS Diversified Backwardated Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .17

informations aboutinvestments and management



Management company FUNDLOGIC SAS

61, rue de Monceau - 75008 Paris

Custodian bank SOCIÉTÉ GÉNÉRALE SARegistered office: 29, boulevard Haussmann - 75009 Paris

Mailing address of the function Depositary:Société Générale, –75886 Paris cedex 18

Mailing address of the function of centralization of orders and record keeping:Société Générale, 32 rue du Champ de Tir - 44000 Nantes

Statutory auditor CABINET PWC AUDIT

63, rue de Villiers - Crystal Park - 92208 Neuilly-sur-Seine Cedex

Distributors MORGAN STANLEY & CO. INTERNATIONAL Plc

25, Cabot Square, Canary Wharf, London E14 4QA, England

MORGAN STANLEY INVESTMENT MANAGEMENT

20, Bank Street, Canary Wharf, London, E14 4AD, England

Board of Directors Chief Executive OfficerUgo CILIBERTI

DirectorsFUNDLOGIC SAS, represented by Mr Werner Eugène BURGHARDTMORGAN STANLEY FRANCE, represented by Mr René PROGLIO MORGAN STANLEY PROPERTIES France, represented by Mr Mathieu DEMONTOY

Classification: The unit trust FundLogic Structured Product is a UCITS with sub-funds

Management objective: The objective of each of the sub-funds is defined in their prospectus.

Each of the sub-funds may be the subject of an application for admission for trading on any regulated stock market, in accordancewith the legislation in force.

The objective of the Fund is thus to offer a set of sub-funds.

As of 30 December 2016, the unit trust FundLogic Structured Products comprised 1 sub-fund:

- FSP – MS Diversified Backwardated Fund

• The settlement value is available from the management company.

• The full prospectus of the Fund and the latest annual and periodic documents will be sent within one period of one week on simple writtenrequest of the holder to FundLogic SAS - 61, rue de Monceau - 75008 Paris.

• Date of approval by the AMF: 28 March 2008

• Date of creation of the sub-fund FSP – MS Diversified Backwardated Fund: 29 July 2011.



consolidatedannual accounts

asset



BALANCE SHEETCurrency EUR EUR

Net assets - -

Deposits - -

Financial instruments 23 757 055,34 22 294 185,34

• EQUITIES AND SIMILAR SECURITIES

Traded on a regulated or similar market - -

Not traded on a regulated or similar market - -

• BONDS AND SIMILAR SECURITIES



• DEBT SECURITIES

Traded on a regulated or similar market

Negotiable debt securities 22 714 927,02 22 271 425,53

Other debt securities - -


• MUTUAL FUNDS

UCITS and general purpose AIF for non-professionals and equivalents in other countries

- -

Other funds for non-professionals and equivalents in other European Union Member States

- -

Professional general purpose funds and equivalents in other European Union Member States and listed securitization bodies

- -

Other Professional Investment Funds and equivalents in other European Union Member States and unlisted securitization bodies

- -

Other non-European organisations - -

• TEMPORARY PURCHASES AND SALES OF SECURITIES

Receivables representing financial repurchase agreements - -

Receivables representing financial securities lendings - -

Borrowed financial securities - -

Repurchase financial agreements - -

Other temporary purchases and sales - -

• FINANCIAL CONTRACTS

Transactions on a regulated or similar market - -

Other transactions 1 042 128,31 22 759,81

• OTHER FINANCIAL INSTRUMENTS - -

Receivables 817 971,03 754 106,21

Foreign exchange forward contracts 817 971,03 754 106,21

Other - -

Financial accounts 704 150,02 593 094,89

Cash and cash equivalents 704 150,02 593 094,89

Other assets - -

Total assets 25 279 176,39 23 641 386,43

29.12.2017 30.12.2016



liabilitiesBALANCE SHEETCurrency EUR EUR

Equity

• Capital 22 080 510,74 21 119 221,90

• Previous undistributed net capital gains and losses - -

• Retained earnings - -

• Net capital gains and losses for the financial year 690 063,57 1 519 819,74

• Result 7 245,85 -94 898,29

Total equity(amount representing net assets) 22 777 820,16 22 544 143,35

Financial instruments 797 638,26 311 806,38

• DISPOSALS OF FINANCIAL INSTRUMENTS - -

• TEMPORARY PURCHASES AND SALES OF FINANCIAL SECURITIES

Debts representing financial repurchase agreements - -

Debts representing financial securities borrowings - -

Other temporary purchases and sales 797 638,26 311 806,38



Other transactions - -

Debts 1 703 717,97 785 436,70


Other 891 270,04 36 796,35

Financial accounts - -

Cash credit - -

Borrowings - -

Total liabilites 25 279 176,39 23 641 386,43

30.12.201629.12.2017

OFF-balance sheet



Currency EUR EUR

Hedging• Commitments on regulated or similar markets

- Futures market (Futures) - -

- Options market (Options) - -

- Credit derivatives - -

- Swaps - -

- Contracts for Differences (CFD) - -

• OTC commitments




- Swaps - -


• Other commitments




- Swaps - -


Other transactions• Commitments on regulated or similar markets




- Swaps - -


• OTC commitments




- Swaps 21 719 007,53 22 493 169,41






- Swaps - -


30.12.201629.12.2017



INCOME statementCurrency EUR EUR

Income from financial transactions

• Income from deposits and financial accounts 11 173,98 1 846,35

• Income from equities and similar securities - -

• Income from bonds and similar securities - -

• Income from debt securities 137 003,21 56 281,07

• Income from temporary purchases and disposals of financial securities - -

• Income from financial contracts - -

• Other financial income - -

Total (I) 148 177,18 58 127,42

Expenses on financial transactions

• Expenses on temporary purchases and disposals of financial securities - -

• Expenses on financial contracts - -

• Expenses on financial debt -0,02 -

• Other financial expenses - -

Total (II) -0,02 -

Profit/loss on financial transactions (I - II) 148 177,16 58 127,42

Other income (III) - -

Management fees and depreciation expense (IV) -138 770,25 -212 882,61

Net income for the period (L.214-9-17-1) (I - II + III - IV) 9 406,90 -154 755,18

Income adjustments for the period (V) -2 161,05 59 856,89

Interim payments in terms of the period (VI) - -

Income (I - II + III - IV +/- V - VI): 7 245,85 -94 898,29

29.12.2017 30.12.2016

accounting rules and methods



appe

ndic

es1

The annual accounts are presented in the form specified by CRC Regulation no. 2003-02 of2 October 2003 on the UCITS chart of accounts, modified by CRC Regulation no. 2005-07of 3 November 2005 approved by Ministerial Ruling of 26 December 2005.

Information common to the sub-funds

Method used for consolidation of the accountsThe holdings of one sub-fund by another are eliminated on the balance sheet by reduction ofthe items “Mutual Fund Units” and “Share Capital” to the level of the value of the units orshares held.

Currency used for consolidation of the sub-fundsThe accounts of the unit trust are kept in euro.

Accounting currency and exchange rate used for consolidation of the accounts

List of sub-funds Accounting Consolidation : currency exchange rate used

FSP – MS Diversified Backwardated Fund USD 1,2008

Sub-funds opened and closed during the financial year

List of sub-funds Opened on: Closed on:

FSP - Emerging Markets SRI 18/04/2008 21/12/2010

FSP - India Equity Index 31/07/2008 20/04/2011

FSP - αlt-Era 17/02/2009 16/06/2014

FSP - Enhanced Forward Rate Bias 14/09/2010 24/08/2011

FSP – MS Diversified Backwardated Fund 29/07/2011 -

Annual accounts of each sub-fund

Reminder of the direction of investments and the management policy (*)

Accounting rules and methods (*)

Additional information (*)

(*) Please refer to the information concerning each sub-fund.



Information on thecorporate representatives

List of all mandates and functions carried out in our company by each of the SICAV's corporate officers during financialyear ending December 2017 (1)

(1) The information concerning the mandates and functions exercised during the year were transmitted to the Mutual Fund byeach corporate officer, under their responsibility.

Corporate officers Offices and duties Sociétés

Ugo CILIBERTI1. Chairman and Managing Director

2. Chairman

1. FUNDLOGIC STRUCTURED PRODUCTS(SICAV)

2. FUNDLOGIC (SAS)

Mehdi Henri-PierreBARONE

1. Permanent representative ofFUNDLOGIC, Director


René PROGLIO 1. Permanent representative ofMORGAN STANLEY(FRANCE ), Director


Mathieu DEMONTOY 1. Permanent representative ofMORGAN STANLEYPROPERTIES FRANCE,Director


11 Rapport annuel - Exercice clos le : 29.12.2017


ResolutionOrdinary General Meeting of 28 April 2018The year two thousand and seventeen, on the twenty eighth of April at eleven am., the company shareholders met for the OrdinaryGeneral Meeting at the company's head offices, after being so convened by a notice placed in the legal notice journal “Les PetitesAffiches”.

An attendance roll was kept and signed by shareholders present as well as the representatives and agents of those shareholdersnot present.

Mr. Ugo CILIBERTI chaired this meeting in his capacity as Chairman of the Board of Directors.

No shareholder present or representing either for themselves or as an agent, the largest number of shares, accepted to be vote teller.

Ms. Karine SANDERS is appointed secretary of the meeting.

The Chairman notes that the representative of the auditor from the PWC SELLAM firm, regularly convened by registered letter,is absent and excused.

The Chairman notes that, according to the attendance roll certified to be true and accurate by the members of the bureau, theMeeting is regularly constituted and can validly deliberate since no quorum is required for an Ordinary General Meeting.

The Chairman places the following documents on the desk and presents them to the members of the meeting:

• convening documents, the copy of the legal notices journal “Les Petites Affiches”,

• the copy of the convening letter sent in registered letter form to the auditor with acknowledgement of receipt,

• the attendance roll, list of shareholders, powers of shareholders represented as well as forms for voting by mail,

• a copy of the Articles of Incorporation,

• company accounts and appendices,

• Board of Directors’ management report,

• the auditor’s reports,

• the copy of the documents sent to shareholders at their request,

• the text of the resolutions put to the meeting.

He declares that the list of shareholders, the Board of Directors’ report, the draft resolutions as well as all documents required bylaw have been available to shareholders at the head offices for the period set by law prior to the annual general meeting.

The meeting acknowledges this statement.

The Chairman reads out the agenda of the meeting:

• Board of Directors’ management report and the auditor's report on the company's accounts for the financial year ending at theend of December 2016.

• Approval of the accounts for this financial year and decision to allocate sums available for distribution for the sub-fund “FSP –MS Diversified Backwardated Fund”.

• Auditor's special report.

• Renewal of the mandate of four directors,

• Powers to carry out formalities.

The board of directors’ management report and the auditor's reports are then read out.

The Chairman then threw the floor open.

After various exchanges of opinion and when no one else wished to address the meeting, the Chairman put the followingresolutions to the vote in the following order:

Resolution One

The Shareholders' Meeting, after hearing:

- the management report on the activity of the SICAV during the financial year ended at the end of December 2016 and thefinancial statements for this period and the Auditor's report on the annual financial statements, approves the financial statementsand the balance sheet for the period as presented, as well as the operations shown in these financial statements and summarisedin these reports.

This resolution is adopted unanimously



Resolution Two

The Shareholders' Meeting approves the allocation and the distribution of sums available for distribution for the period ended atthe end of December 2016, for the sub-fund “FSP – MS Diversified Backwardated Fund”, as proposed by the Board of Directorsand decides that the sums available for distribution shall be fully capitalised for all categories of shares of the sub-fund.Consequently, no dividend will be paid for this period.

In accordance with legal provisions, it is hereby recalled that no dividend has been distributed for the last three periods.

Resolution Three

The Shareholders' Meeting, after hearing the auditors' special report on the transactions mentioned in Article L. 225-38 of theFrench Commercial Code, takes note of the conclusions of this report and approves the terms therein.

This resolution is adopted unanimously.

Resolution Four

The Shareholders’ Meeting, noting that the mandate of the director Mr. Ugo CILIBERTI, expires at the end of this Meeting,renews it for a duration of six financial years expiring at the end of the Shareholders’ Meeting that will vote on the accounts forthe financial year 2022.


Resolution Five

The Shareholders’ Meeting, noting that the director’s mandate of the company FUNDLOGIC SAS, represented by Mr. Henri-PierreBARONE, expires at the end of this Meeting, renews it for a duration of six financial years expiring at the end of the Shareholders’Meeting that will vote on the accounts for the financial year 2022.


Resolution Six

The Shareholders’ Meeting, noting that the director’s mandate of the company MORGAN STANLEY FRANCE, represented byMr. René PROGLIO, expires at the end of this Meeting, renews it for a duration of six financial years expiring at the end of theShareholders’ Meeting that will vote on the accounts for the financial year 2022.


Resolution Seven

The Shareholders’ Meeting, noting that the director’s mandate of the company MORGAN STANLEY FRANCE, represented byMr. Mathieu DEMONTOY, expires at the end of this Meeting, renews it for a duration of six financial years expiring at the endof the Shareholders’ Meeting that will vote on the accounts for the financial year 2022.


Resolution Eight

The general meeting grants full powers to the bearer of a copy or extract of the various documents submitted to the presentMeeting and of the minutes of the latter to fulfil all legal requirements.


Since the agenda has been fully covered and no one wishes to address the meeting, the Chairman declares the meeting closed.

On the basis of the above, these minutes were drawn up, read and approved by the bureau.

The Chairman The Secretary



report of statutory auditor

�� !��"�� #$�%��&�'�(�)��)*�)��)��"$�%��&�'�(�)��)*�)��+��+,��Société d’expertise comptable inscrite au tableau de l’ordre de Paris - Ile de France. Société de commissariat aux comptes membre de la compagnie régionale de

Versailles. Société par Actions Simplifiée au capital de 2 510 460 €. Registered office: 63 rue de Villiers 92200 Neuilly-sur-Seine. RCS Nanterre 672 006 483. TVA n° FR

76 672 006 483. Siret 672 006 483 00362. Code APE 6920 Z. Bureaux : Bordeaux, Grenoble, Lille, Lyon, Marseille, Metz, Nantes, Nice, Paris, Poitiers, Rennes, Rouen,

Strasbourg, Toulouse.

�� !"��#$%��&�� !��!��"�!� "!#��$��-� .��,� � ��%��!�!&�'�� '(!��)*+��,�� !,�-.//0��'(�(�� '(#"!� ��1"�� !22"&�'�� ,2�� ,2�� '!�!&�'�� '(!��+�1�� , �� !��!,�"�� 3� �� ! �'(!��"�&� 3"�!� "!#� 2�!��'��2� �3�� 3�� !��45�� '��4/*-6��,��("�"��+��3"�!� "!#�2�!��'��2�&"��!��,��!��3!"��"�1��3��!22��2�!��#"!�"#"�"�2�!��3��3"�!� "!#�(�2"�"��3��3,��!��45�� '��4/*-6�!��3��2,#�2��3�"�2��(��!�"��2�3��!��+�"��! ��!� ��1"�� ! �,��"�&�(�"� "(#�26��)�*(*�+�,��'(�(��7�� , ��,��!,�"�� "��! ��!� ��1"��(��3�22"��!#�2�!��!��2�!((#" !�#�� "��!� �6�7��#"��!��!,�"��"�� 1��!��!"��"2�2,33" "��!��!((��(�"!��(��"��!��!2"2�3��,��!,�"��("�"��6��,��2(��2"�"#"�"�2�,��2��2�!��!��2�!��2 �"��"��2� �"��/��0 �� 1�� ,��,��,� � �� -� /�"��"2��(��6�� 7�� , ��,��!,�"��&!&�'�� "��! ��!� ��1"�� !((#" !�#��,#�2�� "��(�� +� 3��'�8/9*494/*)� !�� ,(� �� !�� 3� ��"2� ��(��+� !�� "�� (!��" ,#!�� 1�� "�� (��"�� !�� :!,�"��2��" �2�(��"�"��!,�"��2��(��3�22"��!#� ��3��" 26�



- .

�� !��#$�% �&�'��*��$�% �&�'��*��+��+,��

Société d’expertise comptable inscrite au tableau de l’ordre de Paris - Ile de France. Société de commissariat aux comptes membre de la compagnie régionale de




/�*�(+(��(��+��**�**��*

�� "�� ;,"��2� �� " #�2� �604:�� "�#� �� $�� %� ��#��"�� <,2�"" ��"�� ,�� 22�22��2+� �� "�� ,�� "�� 22�22��2� �� #�� "�� (��" ,#�� ,��"�� (�"� "(#�2� �##�� 2"��"" ��2�"��2��(��6�

��2��22�22��2��"�� =��,��,�"��"�� "�#�2��2+��>��2��#�+�� "�,��=(��22"��("�"��"��"�2��(��"2��(��6�

0��(+(��(�� + �� 1�� '�� + �� * ��**� ��*��2��*

�� "��(��22"��#� 2��2��((#" ��#�� "�� +��#2��(�� 2(� "" ��"" ��"��2��;,"�� #��6�

��

7�� 2� �� (�� 2� �� "�� (��2��"�� 2"2�� "�� "�� "�#�2��2��"��"��"��"��(��+��"�� ,��2��22��2��#��2��"��2(� ��"�� "�#�(�2"�"��"�� "�#�2��26��

��

7��2��="2�� +�"��2� �"��(��#�� (�� +�� "��"�� ;,"�� " #�� 644�:-:?� �� "�#� �� $ �� %6�



- .

�� !��#$�% �&�'��*��$�% �&�'��*��+��+,��

Société d’expertise comptable inscrite au tableau de l’ordre de Paris - Ile de France. Société de commissariat aux comptes membre de la compagnie régionale de




�*'��*(�(2(�(�* �+��1�� *� ��1� 3(�� 1�4�� +�� +(��(�2*��*

��"2�� (��2��2(��2"�"#"��(��(��,��2�"�� "�#�2��2�(��2��"��,�� "�� "�� "�� "�� ,��"�� (�"� "(#�2� �� "�(#�� "��#� ��#� �� "�� 2� �((��(�"�� (��(��"�� "�� "�#� 2��2� �� "��"�#��"22��2+��,��,��6�

��(��(��"�� "�� "�#� 2��2+�� "2� ��2(��2"�#�� 22�22"�� ,��2��"#"�� "�,��2��"�� +��"2 #�2"�� "�� "�� "�#� 2��2+��2��((#" ��#�+��2� ��#�� "�� ,2"�� "�� 2"2�� ,��"��,�#�22��"�� "��2��#";,"��,�� 2��(��"��26�

��"2�� (��2��2(��2"�"#"��"��(��(��"��"�� "�#�"��"��2�� " "�� "��#� ��#� �� "2>�� 2�2�� "��#� �,�"��2�2��#��"��(��(��"��(�� 22"��"�� "�#�� ,��"��"��"��6�

��2��"�� "�#�2��2��(��(�� (��6�

��(��*��*'��*(�(2(�(�*+��(��+��+(��(�2*��*�

��

�� "2� �,�� 2(��2"�"#"�� (��(�� (�� "�� "�#� 2��26� �,�� <� �"�� "2� �� "��2��#��22,�� ,�� "�� "�#� 2��2+� ��>��2��#�+�� "�#��"22��6��2��#��22,�� "2��"��#��#��22,�� +��,��"2��,��,�"�� , ��"�� "��(��22"��#�2��2��"##��#��2�� "�#��"22��"��="2�26��"22��2� ��"2��,�� 2"��"�#�"+�"��"�"�,�##��"��+�� ,#��2��#��=(� ��"�#,�� " �� "2"��2��,2��2��>��2"2��2��"�� "�#�2��26��

�2�"��" ��"��" #��604:*�:*�� "�#� ��+��,��2��,��,�"��"�� "�#�2��2�"2��,��"��"#"��;,�#"��,��6�



- .

�2�(��,�"�� , ��"�� "��(��22"��#�2��2��((#" ��#��"�� +��2��,��,�"��,2�2�(��22"��#�<,��,��,��"��,�"�6�@��#2�A�

• "��""�2��22�22�2��"2>2��"�#��"22��"�� "�#�2��2+��,�� ,�� +��2"��2�� (��2��,�"��(�� ,��2��2(��2"�� 2��"2>2+�� "�2��,�"�� "�� "2� 2," "�� ((��(�"�� (��"�� 2"2� �� "2� �("�"��6�� "2>� �� "��"�#��"22��2,#�"��,��"2��"��2,#�"��+��2��,�� "��#�� ##,2"��+� ��+� "��"��#� ��"22"��2+��"2��(��2��"��2+� �� "�� "��#� ��#B�

• ��"�2� �� ,��2��"�� "��#� ��#� ��#�� ,�"�� "�� 2"�� ,�"�(�� ,��2��((��(�"��"�� "� ,�2�� 2+��,��(,�(�2��=(��22"��("�"�� "��22�� (��2�"��#� ��#B�

• ��#,��2� �� ((��(�"��22� �� ,��"�� (�#" "�2� ,2�� 2��#��22� �� ,��"��2�"��2��#��"2 #�2,��2��"��"�� "�#�2��2B�

• �� #,��2� �� ((��(�"��22� �� 2� ,2�� "�� 2"2� �� ,��"��+��2��,�"��"�� "��+��"�#�,� ��"��="2�2��#��2� �� "�"��2� �� 2�� 2"��"" �� ,�� ,��2� ��"#"�� "�,�� 2� �� "�� 6�, �� #,2"��2�� 2�� ,�"��"�� "�� ,(� �� ,��,�"��2��(��6�@��+�,�,��2�� "�"��2�� ,2�� (�� 2�� "�,��2��"�� 6� �� #,�� "�#� ,� ��"��="2�2+�� ;,"�� "�� "��,��,�"��2� ��(�� #��"2 #�2,��2� "�� "�� "�#� 2��2� ��+� "� 2, ��"2 #�2,��2�� (��"��"��;,��+��"22,��;,�#""��("�"��"2 #�"��("�"��B�

• ��#,��2� �� ##� (��2��"�� "�� "�#� 2��2� �� "�� "�#2��2� ��(��2�� ,��#�"�� 2� �"��2� �� 2� "�� "��2� �"��(��2��"��6�

��,"##��2,��"��+��(�"#��+�4�*0�

��,��,�"��

��" ��,2� ��(��2��,�"��

��C�C�" � ��

Ann

ual

repo

rtM

UT

UA

L FU

ND

S-

MU

TU

AL

FUN

DS

UN

DE

R F

RE

NC

H L

AW

FSP – MSDIVERSIFIEDBACKWARDATEDFUND

YEAR ENDED: 29.12.2017

FUNDLOGIC SAS

This

tran

slat

ion

is fo

r in

form

atio

n pu

rpos

e on

ly -

Onl

y th

e Fr

ench

ver

sion

is b

indi

ng

Information about investments and management


FSP – MS DIVERSIFIED BACKWARDATED FUND

Management company FUNDLOGIC SAS61, rue de Monceau - 75008 Paris.

Custodian bank SOCIÉTÉ GÉNÉRALE Registered office: 29, boulevard Haussmann - 75009 Paris.

Statutory auditor CABINET PWC AUDIT63, rue de Villiers - Crystal Park - 92208 Neuilly-sur-Seine Cedex

Distributors MORGAN STANLEY & CO. INTERNATIONAL Plc25, Cabot Square, Canary Wharf, London E14 4QA, England.

MORGAN STANLEY INVESTMENT MANAGEMENT LIMITED20, Bank Street, Canary Wharf, London, E14 4AD, England.

Classification: Diversified

Allocation of earnings: The management company reserves the right to annually distribute all or some of the income and/orcapitalise it.Accounting is undertaken in accordance with the coupons received method.

Management objective: The objective of the sub-fund is to reproduce the evolution, both upwards and downwards, of theMorgan Stanley Diversified Backwardated strategy index (former Morgan Stanley DJUBS Diversified Backwardated) in USdollars ("the Index"), regardless of the evolution to which a monetary component will be added with an anticipated tracking errorof 1% under normal market conditions.

The sub-fund may not be in a position to replicate the strategy's index in the case where the sub-fund is no longer in a position tocontract with the Morgan Stanley & Co International Plc.

Reference indicator: The index of the Morgan Stanley Diversified Backwardated strategy (former Morgan Stanley DJUBSDiversified Backwardated) will be the reference indicator.The Morgan Stanley DJUBS Diversified Backwardated strategy index is an index providing exposure to the futures markets oncommodities. In giving preference to commodities for which the forward prices are less than the cash prices, phenomenon knownunder the name of backwardation, this index optimises the futures roll costs.

At the end of each month, the Index records the sector distribution of the Bloomberg Commodity Index (BCOM) (ex Dow JonesUBS Commodity Index (DJUBS)) and uses a predetermined allocation rule in order to allocate the respective weights of the sectorswithin their components. The weights of these components are published at the end of the month in the fund reporting document.

Thus, at the beginning of the month the sector distribution of the strategy index is identical to that of the BCOM index while thedistribution of the sector components differs. The performance of the strategy index will therefore be different to that of theBCOM index.

Investment strategy: To reach its management objective, the sub-fund will replicate the performance of the index in summaryform and will purchase financial instruments and at one or more swaps negotiated by mutual agreement exposing the sub-fundto the Morgan Stanley Diversified Backwardated index.

The counterpart risk arising from the use of financial futures at all times is limited to 5% of the sub-fund's net assets per counterpart.

In order to obtain its exposure to the monetary return, the compartment will invest its assets in monetary instruments issued bythe American State (TBills).

Categories of assets used

Shares: the compartment may invest in international shares. These securities are mainly large capitalisation shares derived fromall sectors of activity.



Rate products: the compartment may invest in money market instruments or in negotiable debt securities or in bonds issued byissuers of a country of the OECD, private or public, and of a minimum “Investment Grade” rating (minimum rating BBB byStandard & Poor’s).

UCITS shares or units: the compartment may invest up to 10% of its assets in UCITS shares or units.

• Derivative instruments: The compartment may participate on the regulated or private French and/or foreign futures marketsauthorised by the ruling of 6 September 1989 and its modifying texts. On these markets, the compartment may use futures, optionsand swaps.

Morgan Stanley is the sole possible counterpart in this swap, in view of the proprietary nature of the strategy index. The counterpartwill not have any decision-making power with regard to the composition or the management of the investment portfolio or theunderlying assets.

The manager has the option of taking positions on all of these markets in order to:

- hedge the portfolio against the market risks (share and/or index and/or rate);

- hedge the portfolio against the foreign exchange risk;

- and/or meet the management objective of the compartment.

- Performance swap which aims at exchanging the performance of a basket of assets defined by FundLogic for the Indexperformance.

• Securities integrating derivatives: Any warrants held in portfolio will only be held following operations affecting the securitiesheld in portfolio. The compartment does not have the purpose of acquiring this type of asset directly.

• Deposits: The compartment may carry out deposit operations within the limit of 10% of its net assets, and in this way receiveremuneration, subject to the conditions set out in the French Monetary and Financial Code.

• Cash borrowing: The compartment may resort to cash borrowing within the limit of 10% of its net assets.

• Temporary acquisitions and assignments of securities: These transactions are not envisaged.

• Contracts constituting financial guarantees: Within the scope of a signed guarantee with an OTC derivative as counterpart, theUCITS may guarantee the negotiable debt securities (particularly T-bills) or cash with a view to guaranteeing the UCITS defaultcounterpart. The cash received as collateral may be invested in fixed deposits or invested in high-quality government bonds,conforming to the new AEMF orientations.

Risk profile: Your money will be mainly invested in instruments selected by the management company. These instruments willexperience the evolutions and vagaries of the markets.

The holder is exposed through the compartment mainly to the following risks:

Model Risk: the quantitative model from which the index is derived aims to benefit from the roll of the futures underlying theBCOM index. There is therefore a risk that the model is not efficient, as there is no guarantee that past market situations will bereproduced in the future.

Risk linked to a commodities futures contract index: The evolution of the price of a futures contract on commodities is stronglylinked to the current and future level of production of the underlying asset, even the level of the estimated natural reserves,particularly in the case of energy. Climatic and geopolitical factors may also alter the levels of supply and demand of the underlyingproduct in question and modify its expected rarity on the market.

The settlement value of the compartment could evolve in a different way to that of the traditional markets and those of the cashprices.

Risk of loss of capital: the capital initially invested does not benefit from any guarantee. The performance of the strategy maybe negative.

Counterparty risk: the compartment will be exposed to the counterparty risk resulting from the use of forward financial instrumentsentered into with a credit institution or an investment firm. The compartment is therefore exposed to the risk that this institutionor this firm cannot honour its commitments with regard to these instruments. If this is the case, the settlement value may fall.

Foreign exchange risk: The shares I, J and A of the sub-fund, denominated in USD, do not have a foreign exchange risk inrelation to the reference indicator which is denominated in US dollars.

Class K and E shares, hedged against the currency exchange risk, are respectively in Swiss francs (class K shares) and in euros.The aim of the hedging strategies used is to reduce the exposure of classes K and E to currency fluctuations between the USdollar and the Swiss franc and the US dollar and the euro. Nevertheless, these strategies do not guarantee a perfect hedge, and aresidual exposure may be exposed to currency fluctuations.

Other important information:

- As the strategy index is developed by Morgan Stanley & Co International Plc and its structure is not public, only this companyhas the capacity to be the counterparty to the forward exchange contract. The management company is a company of the MorganStanley group.



The management company assesses the cost linked to the forward exchange contract entered into with Morgan Stanley & CoInternational Plc in consideration notably of its duty to act in the exclusive interest of the holders and to obtain the best result forthe UCITS it manages.

- The index is created, managed and calculated by different entities of the Morgan Stanley group and it is not the subject of acalculation or counter-valuation by an external Agent. However, a system for management of conflicts of interest has been establishedby the management company, which ensures the consistency of the daily valuation of the index.

- Owing to the nature of the exposure of the compartment, if for a period of 3 consecutive months the net assets of the compartmentremain under a threshold of 10 million dollars (USD), the management company could no longer be able to implement the strategyand act in the best interest of the holders. Consequently, the management company could decide to liquidate the compartment,subject to the approval of the Autorité des Marchés Financiers.

Guarantee and protection: N/A.

Subscribers concerned and investor profile: The compartment is targeted at all types of investor, and is particularlyintended for professional investors as defined in article D.533-11 of the French Monetary and Financial Code.The amount that it is reasonable to invest in this compartment depends on the investor’s personal situation. To determine this, youmust take account of your personal assets, your current and 24-month requirements, and also your desire to take risks or, on theother hand, give preference to a cautious investment. You are also strongly recommended to diversify your investments sufficientlyso as not to be exposed only to the risks of the compartment.

The minimum recommended duration of investment is 24 months.

Tax regime: The tax regime applicable to the sums distributed by the compartment or to the capital gains or losses, latent orgenerated by the compartment, depends on the tax provisions applicable to the particular situation of each unit holder and/or thejurisdiction from which the shareholder invests the funds.

For further details, the full prospectus is available from the management company on simple request.

• The settlement value is available from the management company.

• The full prospectus of the Fund and the latest annual and periodic documents will be sent within one period of one week on simple writtenrequest of the holder to FundLogic SAS - 61, rue de Monceau - 75008 Paris.

• AMF approval date : 5 July 2010.• Fund creation date: 29 July 2011.



Ladies and Gentlemen,

We have called this shareholder's meeting to report to you on the activity of your company over its last financial year and tosubmit the financial statements for the period ending December 29, 2017 for your approval. Before the presentation of the financialstatements, an overview will be provided on the economic climate and the management policy of the Mutual Fund during thisfinancial period.

The FundLogic Structured Products unit trust was composed of the FSP – MS Diversified Backwardated Fund sub-fund throughoutthe entire period running from the end of December 2015 (last close of the unit trust) to 29 December 2017:

FSP – MS Diversified Backwardated Fund Annual Report

The share A denominated in US dollars aims to replicate the performance of the Morgan Stanley Diversified Backwardated(formerly Morgan Stanley DJUBS Diversified Backwardated) strategy index denominated in USD.

The performance of share A in USD, over the period from 30 December 2016 (last close of the Fund) to 29 December 2017 is7.78% compared to 9.49% for the strategy index denominated in USD.

Since its creation on 14 February 2012 the share A in USD had at 29 December 2017 a performance of -36.55% compared to -31.37% for the strategy index over the same period.

The daily tracking error for the share A is 0.14% since the fund was launched.

The share I denominated in US dollars, launched on 29 February 2012, aims to replicate the performance of the strategy indexdenominated in USD.

The performance of share I in USD, over the period from 30 December 2012 (last close of the Fund) to 29 December 2017 is 8.25%compared to 9.49% for the strategy index denominated in USD.

Since its creation on 29 February 2012 the share I in USD had at 29 December 2017 performance of -36.23% compared to -32.81% for the strategy index over the same period.

The daily tracking error for the share I is 0.14% since the fund was launched.

The share E denominated in Euros, launched on 7 November 2012, was closed on 24 June 2016.

The share K denominated in Swiss Francs (CHF), launched on 12 December 2012, aims to replicate the performance of thestrategy index denominated in USD by hedging the risk of a change in the exchange rate in CHF against the USD.

The performance of share K in CHF, over the period from 31 December 2015 (last close of the Fund) to 29 December 2017 is5.64% compared to 9.49% for the strategy index denominated in USD.

Since its creation on 12 December 2012 the share K in CHF had at 30 December 2016 a performance of -38.42% compared to -30.28% for the strategy index denominated in USD.

The daily tracking error for the share K is 0.31% since the fund was launched.

Past performance is not an indicator of future results in the UCITS.

activityreport

(1) The information concerning the mandates and functions exercised during the year were transmitted to the Mutual Fund by each corporateofficer, under their responsibility.



In application of Article L.533-22-1 of the French Monetary and Financial Code, the unitholder is informed that the investmentpolicy implemented by the management company does not make it possible to take social, environmental and governance qualitycriteria into account.

In accordance with the provisions of Article R. 214-30, al 1 of the French Monetary and Financial Code, the overall risk of theUCITS linked to financial contracts does not exceed its total net worth.

The calculation of the overall risk is based on the commitment method.

Voting rightsThe "voting policy" document and the report on the conditions in which the voting rights were exercised can be sent to anyunitholder when requested in writing.

Selection of intermediariesThe management company has a procedure for selecting counterparties which takes into account, among other items, the price,quality of execution, quality of the secondary market proposed, valuation capacity.

Compensation policyPursuant to Directive 2014/91/EU ("UCITS V"), FundLogic SAS ("the Company") has formulated an employee compensationpolicy, which is in line with the fiduciary duties of a management company, namely act in the best interests of its clients andcontrol risks specific to the Company. The policy is equally aligned with that of Morgan Stanley (the parent company), whichoutlines its compensation policy in detail in the annual documents published on its website.

The Company's compensation policy:

- ensures consistency between the behaviour of the employees concerned and the long-term goals of the Company;

- proscribes any method of compensation that is likely to create undue risks for the Company;

- from a particular threshold, incorporates an adjustment factor to calculate the variable compensation component as a means ofcontributing to achieving the goals set;

- prescribes sound and efficient risk management;

- does not encourage risk-taking;

- is aligned with the economic strategy, as well as the aims and interests of the manager and investors;

- seeks to comply with measures to prevent conflicts of interest.

FundLogic SAS's compensation policy is available on the website www.fundlogic.com or a printed copy can be obtained free ofcharge on request from the Company.

The global amount of fixed and variable compensations paid to FundLogic SAS workforce for 2017 has been 1,190,502 Euros(957,555 Euros for fixed compensation and 232,946 Euros for the variable compensation). Compensations for full time employees,temporary employees dedicated to the Middle Office and prorata temporis compensations for Legal, Compliance and Riskemployees from Morgan Stanley partially allocated to FundLogic SAS are included in this amount.

Further information can be obtained from the asset management company.


FSP - MS DIVERSIFIED BACKWARDATED

FUNDLOGIC STRUCTURED PRODUCTSVariable Capital Investment Company

Registered office : 61, rue de Monceau - 75008 PARIS503 843 088 R.C.S. PARIS

List of all the offices and duties performed in any company by each of the SICAV corporate officers during the financialyear ended at the end of December 2016.

Corporate officers Offices and duties Sociétés

Ugo CILIBERTI1. Chairman and Managing Director

2. Chairman


2. FUNDLOGIC (SAS)

Mehdi Henri-PierreBARONE

1. Permanent representative ofFUNDLOGIC, Director


René PROGLIO 1. Permanent representative ofMORGAN STANLEY(FRANCE ), Director


Mathieu DEMONTOY 1. Permanent representative ofMORGAN STANLEYPROPERTIES FRANCE,Director




TRANSPARENCY OF SECURITIES TRANSACTIONS AND REUSE OF FINANCIAL INSTRUMENTS SFTRREGULATIONS (In accounting currency of the UCI)

1. General information

1.1. Amount of securities and commodities lent in proportion to total lendable assets defined as excludingcash and cash equivalents

Loans ofsecurities

1.2. Amount of assets employed in each type of transaction on securities financing and total rate-of-returnswaps expressed in absolute value (in currency of the undertakings for collective investment – UCI) and inproportion to assets managed by the UCI

ReverseLoans of Securities Repurchase Repurchase

securities borrowings transactions transactions TRS

2. Data on consolidation

2.1. The top ten issuers of guarantees for all types of securities financing transactions and global returnswaps (breakdown of collateral and commodity volumes by issuer names)

2.2. The 10 main counterparties for each type of transaction on securities financing and total rate-of-returnswaps (name of counterparty and gross volume of transactions in process)



3. Aggregated transaction data for each type of transaction on securities financing and total rate-of-returnswaps to be broken down separately into the following categories

3.1. Type and quality of guarantees



Absolute value - - - - 27 351 606,45

% of assets managed 0% 0% 0% 0% 100%

% of lendable assets 0%

1Name US government

Amount -

1Name - - - - -

Amount - - - - 100%

Security - - - - US Tbills

Cash - - - - -

Rating AAA



3.2. Guarantee maturity



3.3. Guarantee currency



3.4. Maturity of transactions on securities financing and total rate-of-return swaps



3.5. Country where counterparties are based



3.6. Settlement and compensation



Less than 1 day - - - - -

1 day – 1 week - - - - -

1 week – 1 month - - - - -

1 – 3 months - - - - 100%

3 months – 1 year - - - - -

More than 1 year - - - - -

Open - - - - -

1Currency - - - - USD

Amount - - - - -

Less than 1 day - - - - -

1 day – 1 week - - - - -

1 week – 1 month - - - - 100%

1 – 3 months - - - - -

3 months – 1 year - - - - -

More than 1 year - - - - -

Open - - - - -

1Country - - - - UK

Amount - - - - -

Three-party - - - - 0

Central counterparty - - - - 0

Bilateral - - - - 0



4. Data on reuse of guarantees (collateral)

5. Custody of guarantees received by the UCI as part of transactions on securities financing and total rate-of-return swaps

6. Custody of guarantees provided by the UCI as part of transactions on securities financing and total rate-of-return swaps

7. Data on revenues and costs from each type of transaction on securities financing and total rate-of-returnswaps

7.1. Revenues



7.2. Costs



Authorised ceiling (%) 0%

Actual amount (%) 0%

Revenue on cash guarantees 0%

Number of custodians 1

1Name SOCIETE GENERALE

Amount -

Separate accounts (%) -

Pooled accounts (%) -

Other accounts (%) 100%

UCI (absolute value) - - - - 0

UCI (% of overall revenue) - - - - 0

Manager (% of absolute value) - - - - 0

Manager (% of overall revenue) - - - - 0

Third party (% of absolute value) - - - - 0

Third party (% of overall revenue) - - - - 0

UCI (absolute value) - - - - 0

UCI (% of overall revenue) - - - - 0

Manager (% of absolute value) - - - - 0

Manager (% of overall revenue) - - - - 0

Third party (% of absolute value) - - - - 0

Third party (% of overall revenue) - - - - 0



annualaccounts

assets



Currency USD USD

Net assets - -

Deposits - -

Financial instruments 28 527 472,05 23 514 791,99

• EQUITIES AND SIMILAR SECURITIES



• BONDS AND SIMILAR SECURITIES



• DEBT SECURITIES


Negotiable debt securities 27 276 084,37 23 490 786,08

Other debt securities - -


• MUTUAL FUNDS

UCITS and general purpose AIF for non-professionals and equivalents in other countries

- -

Other funds for non-professionals and equivalents in other European Union Member States

- -

Professional general purpose funds and equivalents in other European Union Member States and listed securitization bodies

- -

Other Professional Investment Funds and equivalents in other European Union Member States and unlisted securitization bodies

- -

Other non-European organisations - -

• TEMPORARY PURCHASES AND SALES OF SECURITIES

Receivables representing financial repurchase agreements - -

Receivables representing financial securities lendings - -

Borrowed financial securities - -

Repurchase financial agreements - -

Other temporary purchases and sales - -



Other transactions 1 251 387,68 24 005,91

• OTHER FINANCIAL INSTRUMENTS - -

Receivables 982 219,61 795 393,52


Other - -

Financial accounts 845 543,35 625 566,83

Cash and cash equivalents 845 543,35 625 566,83

Other assets - -

Total assets 30 355 235,01 24 935 752,34

29.12.2017 31.12.2016

BALANCE SHEET

Currency USD USD

Equity

• Capital 26 514 277,30 22 275 499,30

• Previous undistributed net capital gains and losses - -

• Retained earnings - -

• Net capital gains and losses for the financial year 828 628,33 1 603 029,87

• Result 8 700,82 -100 093,97

Total equity(amount representing net assets) 27 351 606,45 23 778 435,20

Financial instruments 957 804,02 328 877,78

• DISPOSALS OF FINANCIAL INSTRUMENTS - -

• TEMPORARY PURCHASES AND SALES OF FINANCIAL SECURITIES

Debts representing financial repurchase agreements - -

Debts representing financial securities borrowings - -

Other temporary purchases and sales 957 804,02 328 877,78



Other transactions - -

Debts 2 045 824,54 828 439,36


Other 1 070 237,06 38 810,95

Financial accounts - -

Cash credit - -

Borrowings - -

Total liabilites 30 355 235,01 24 935 752,34



31.12.201629.12.2017

liabilitiesBALANCE SHEET

OFF-balance sheet



Currency USD USD

Hedging• Commitments on regulated or similar markets




- Swaps - -


• OTC commitments




- Swaps - -






- Swaps - -


Other transactions• Commitments on regulated or similar markets




- Swaps - -


• OTC commitments




- Swaps 26 080 184,24 23 724 670,44






- Swaps - -


31.12.201629.12.2017



Currency USD USD

Income from financial transactions

• Income from deposits and financial accounts 13 417,71 1 947,44

• Income from equities and similar securities - -

• Income from bonds and similar securities - -

• Income from debt securities 164 513,45 59 362,46

• Income from temporary purchases and disposals of financial securities - -

• Income from financial contracts - -

• Other financial income - -

Total (I) 177 931,16 61 309,90

Expenses on financial transactions

• Expenses on temporary purchases and disposals of financial securities - -

• Expenses on financial contracts - -

• Expenses on financial debt -0,03 -

• Other financial expenses - -

Total (II) -0,03 -

Profit/loss on financial transactions (I - II) 177 931,13 61 309,90

Other income (III) - -

Management fees and depreciation expense (IV) -166 635,32 -224 537,93

Net income for the period (L.214-9-17-1) (I - II + III - IV) 11 295,81 -163 228,03

Income adjustments for the period (V) -2 594,99 63 134,06

Interim payments in terms of the period (VI) - -

Income (I - II + III - IV +/- V - VI): 8 700,82 -100 093,97

29.12.2017 31.12.2016

INCOMEstatement

accounting rules and methods



appe

ndic

es1

The financial statements are presented in the form provided by the Regulation ANC 2014-01that repealed Regulation CRC 2003-02 amended.

Rules for valuation of the assetsShares, bonds and similar securities are valued on the basis of the closing price of the date ofcalculation of the settlement value or, where applicable, the last known price. Bonded securitieswill be valued on the basis of the average of prices contributed (BGN Bloomberg).Investment securities for which the price has not been recorded on the date of valuation or forwhich the price has been corrected are valued by the manager at their probable trading value.These valuations are communicated to the statutory auditor at the time of its audits. Openpositions on the fixed term markets of the Eurozone are valued at the closing price of that day.Open positions on the conditional term markets of the Eurozone are valued at the closing priceof that day.UCITS shares or units are valued at the last known settlement value.Negotiable debt securities and similar which are the subject of significant transactions arevalued pursuant to an actuarial method, with the rate upheld being that of the issues ofsecurities equivalent allocated, where applicable, with a difference representing the intrinsiccharacteristics of the issuer of the security. However, debt securities of a residual maturity ofless than 3 months, in the absence of particular sensitivity, are valued in accordance with a ratecapitalisation method negotiated until maturity.Cash bonds are valued on a straight line basis.Securities received in pension are recorded in account on their date of acquisition, for thevalue fixed in the contract. Throughout the duration of holding the securities, they aremaintained at this value increased by the interest accrued payable. Impounded pensions arevalued at their contractual value.Securities given in pension are removed from the portfolio on the date of the pension operationand the corresponding receivable is recorded on the assets of the balance sheet, enabling astock market valuation of the securities. The debt representing the securities given in pensionis allocated to the liabilities of the balance sheet at the value fixed in the contract, increasedby the interest accrued payable.Securities borrowed are valued at their stock market value. The debt representing the securitiesborrowed is also valued at the stock market value, increased by the interest accrued on theborrowing.Securities lent are removed from the portfolio on the date of the loan, and the correspondingreceivable is recorded on the assets of the balance sheet for their market value, increased bythe interest accrued on the loan.Index, UCITS and share performance exchange contracts are valued at their market value.Corridor, currency and interest rate exchange contracts are valued at their market value by amethod of actualisation of future cash flow (principal and interest) at the interest and/orcurrency rate of the market. This valuation may be adjusted by the signing risk. The interestof the rate and currency exchange contracts of a duration less than or equal to 3 months isrecorded on a straight line basis over the remaining duration, in accordance with a method ofcapitalisation of the rate negotiated until maturity.Remunerated term deposits are valued on the basis of the characteristics of the operationdefined upon negotiation.

The performance swap of the portfolio is valued from the prices calculated by the counterpartyand validated by the management company from mathematical financial models.

Accounting rulesInterest is recorded in the accounts in accordance with the coupons received method. Portfolio inflow is recorded at its price of acquisition, excluding costs, and outflow at its priceof assignment, excluding costs.Fixed costs are recorded on the basis of provision, based on the last known invoice or budgetannounced. In the event of difference in provisions, an adjustment is made upon actualpayment of the costs.The management commission is calculated daily on the basis of the settlement value X numberof shares.



appe

ndic

esMethods for evaluating off-balance sheet commitmentsOff-balance sheet commitments are evaluated at their commitment value.

The commitment value for futures contracts is equal to the price (in the currency of the UCIT)multiplied by the number of contracts multiplied by the nominal amount.

The commitment value for options contracts is equal to the price of the underlying security(in the currency of the UCIT) multiplied by the number of contracts multiplied by the deltamultiplied by the nominal amount of the underlying security.

The commitment value for swap contracts is equal to the nominal amount of the contract (inthe currency of the UCIT).

Operating and management costsThese fees cover all costs charged directly to the Fund, with the exception of transaction fees.Transaction fees include intermediation expenses (brokerage, stock exchange taxes etc.) andtransfer fees, if applicable, which may be levied by the custodian and the managementcompany.

The following fees may also be charged in addition to operating and management fees:

- excess return fees. These are paid to the management company if the Fund exceeds itsobjectives. They are therefore charged to the Fund;

- transfer fees charged to the Fund;

- a share of income from the temporary acquisition and sale of securities.

For more details of the expenses actually invoiced to the sub-fund, please refer to the KeyInformation for Investors Document (DICI).

(1) including all costs including the costs linked to investments in UCITS or investment funds but excludingtransaction costs and outperformance commissions.

Accounting currencyEuro.

Indication of accounting changes subject to special information to unitholders- Changes made: None.

- Changes to occur: None.

Details of other changes which must be specifically notified to unitholders (notcertified by the statutory auditor)

- Changes made:

• The sub-fund is called FSP - MS DIVERSIFIED BACKWARDATED FUND since February2016.

- Changes to occur: None.

Details and justification of changes in valuation and implementation proceduresNone.

Details of the type of errors that have been corrected during the period None.

Details of the rights and conditions attached to each unit category Capitalisation of the net capital gains generated.

Fees charged to fund Calculation basis Rate

Operating and management feesuncl. taxes (1)

Net assets Shares I : 0.45% uncl. maxShares J : 0.25% uncl. maxShares A : 0.90% uncl. maxShares E : 0.55% uncl. maxShares K : 0.50% uncl. max

Outperformance fees None None

Providers receiving performance fees None None

appe

ndic

es



Currency USD USD

Net assets at the beginning of the period 23 778 435,20 75 700 847,07

Subscriptions (including the subscription fee allocated to the UCIT)

5 374 480,38 3 541 003,12

Redemptions (with deduction of the redemption fee allocated to the UCIT)

-3 936 800,19 -58 674 194,32

Capital gains on deposits and financial instruments 3 826,97 82 210,99

Capital losses on deposits and financial instruments -94,53 -

Capital gains on financial contracts 3 805 276,41 8 830 506,73

Capital losses on financial contracts -2 935 674,66 -10 044 214,00

Transaction fees - -

Foreign exchange differences 20 846,16 840 300,80

Changes in the estimate difference in deposits and financial instruments:

2 633,13 28 756,36

- Estimate difference – period N 52 068,63 49 435,50

- Estimate difference – period N-1 49 435,50 20 679,14

Changes in the estimate difference in financial contracts:

1 227 381,77 3 636 446,48

- Estimate difference – period N 1 251 387,68 24 005,91

- Estimate difference – period N-1 24 005,91 -3 612 440,57

Distribution over the previous year net capital gains and losses - -

Prior period distribution - -

Net income for the period before adjustment accounts 11 295,81 -163 228,03

Deposit(s) paid(s) during the yearnet capital gains and losses

- -

Interim payment(s) during the period - -

Other items - -

Net assets at the end of the period 27 351 606,45 23 778 435,20

29.12.2017 31.12.2016

changesnet assets2

appe

ndic

es



3.1. Financial instruments: breakdown by legal or economic type of instrument

3.1.1. Breakdown of the "Bonds and similar securities" item by type of instrumentTraded on a regulated

or similar marketNot traded on a regulated

or similar market

Indexed bonds - -

Convertible bonds - -

Fixed-rate bonds - -

Variable-rate bonds - -

Zero-coupon bonds - -

Investments - -

Other instruments - -

3.1.2. Breakdown of the "Debt securities" item by legal or economic type of instrument


Not traded on a regulated or similar market

Treasury Bonds 27 276 084,37 -

Commercial Papers - -

Certificates of deposit - -

MTN - -

Other instruments - -

3.1.3. Breakdown of the "Disposals of financial instruments" item by type of instrument

Disposals of repurchase agreements

Disposals of borrowed securities

Disposals of acquired repurchase agreements

Short sales

Equities - - - -

Bonds - - - -

Debt securities - - - -

Other instruments - - - -

additionalinformation3

appe

ndic

es



3.2. Breakdown by rate type for asset, liability and off-balance sheets itemsFixed rate Variable rates Rollover rate Other

AssetsDeposits

- - - -

Bonds and similar securities - - - -

Debt securities 27 276 084,37 - - -

Temporary purchases and sales offinancial securities

- - - -

Financial accounts - - - 845 543,35

LiabilitiesTemporary purchases and sales offinancial securities

957 804,02 - - -

Financial accounts - - - -

Off-balance sheetHedging

- - - -

Other transactions - - - -

3.3. Breakdown by residual maturity for asset, liability and off-balance sheets items0 - 3 months 3 months - 1 year 1 - 3 years 3 - 5 years > 5 years

AssetsDeposits

- - - - -

Bonds and similar securities - - - - -

Debt securities 996 669,12 26 279 415,25 - - -

Temporary purchases and salesof financial securities

- - - - -

Financial accounts 845 543,35 - - - -

LiabilitiesTemporary purchases and salesof financial securities

- 957 804,02 - - -

Financial accounts - - - - -


- - - - -

Other transactions - - - - -

3.1.4. Breakdown of the off-balance sheet sections by market type (in particular rates, securities)Rates Equities Foreign Exchange Other

HedgingCommitments on regulated or similar markets

- - - -

OTC commitments - - - -

Other commitments - - - -

Other transactionsCommitments on regulated or similar markets

- - - -

OTC commitments - - - 26 080 184,24

Other commitments - - - -

appe

ndic

es



3.4. Breakdown by listing currency or evaluation for asset, liability and off-balance sheets itemsThis breakdown is provided for the main listing and evaluation currencies, except for the currency in which the books are kept.

By main currency CHF EUR - -

AssetsDeposits

- - - -

Equities and similar securities - - - -

Bonds and similar securities - - - -

Debt securities - - - -

Collective investment undertakings - - - -

Temporary purchases and sales offinancial securities

- - - -

Receivables 956 711,34 - - -

Financial accounts 3 211,35 1,12 - -

Other assets - - - -

LiabilitiesDisposal operations on financialinstruments

- - - -

Temporary purchases and sales of financial securities

- - - -

Debts 25 941,29 - - -

Financial accounts - - - -


- - - -

Other transactions - - - -

3.5. Receivables and Debts: breakdown by typeDetails on elements comprising the “other receivables” and “other debts” items, particulary the breakdown of foreign exchange forward contracts by type ofoperation (purchase/sale).

ReceivablesForeign exchange forward contracts: 982 219,61

Forward currency purchases 956 711,34

Total amount traded for forward currency sales 25 508,27

Other Receivables:

- -

- -

- -

- -

Other transactions -

DebtsForeign exchange forward contracts: -

Forward currency sales 2 045 824,54

Total amount traded for forward currency purchases 25 941,29

Other Debts: 949 646,19

Provisioned costs

- 1 024 550,93

- 45 686,13

- -

Other transactions -

appe

ndic

es



3.6. EquitySubscriptions Redemptions

Number of shares issued / redeemedduring the period:

Number of shares Amount Number of shares Amount

SHARE A / FR0011076926 44 626 2 614 180,69 4 719,788 275 424,23

SHARE E / FR0011306430 - - - -

SHARE I / FR0011063361 44 191,715 2 548 464,39 59 051,249 3 521 434,61

SHARE K / FR0011346394 3 500 211 835,30 2 450 139 941,35

Subscription / redemption fee: Amount AmountSHARE A / FR0011076926 - -

SHARE E / FR0011306430 - -

SHARE I / FR0011063361 - -

SHARE K / FR0011346394 - -

Retrocessions: Amount AmountSHARE A / FR0011076926 - -

SHARE E / FR0011306430 - -

SHARE I / FR0011063361 - -

SHARE K / FR0011346394 - -

Commissions allocated to the UCIT:Amount Amount

SHARE A / FR0011076926 - -

SHARE E / FR0011306430 - -

SHARE I / FR0011063361 - -

SHARE K / FR0011346394 - -

appe

ndic

es



3.7. Management fees

Operating and management fees (fixed charges) as a % of the average net assets %Share class:

SHARE A / FR0011076926 0,90

SHARE E / FR0011306430 -

SHARE I / FR0011063361 0,45

SHARE K / FR0011346394 0,50

Outperformance fee (variable charges): amount of fees for the period Amount

Share class:

SHARE A / FR0011076926 -

SHARE E / FR0011306430 -

SHARE I / FR0011063361 -

SHARE K / FR0011346394 -

Retrocession of management fees:- Amount of fees retroceded to the UCIT -

- Breakdown by "target" UCIT:

- UCIT 1 -

- UCIT 2 -

- UCIT 3 -

- UCIT 4 -

appe

ndic

es



3.8. Commitments received and granted3.8.1. Description of the guarantees received by the UCIT with mention of capital guarantees...........................none3.8.2. Description of other commitments received and/or granted ........................................................................none

3.9. Other information

3.9.1. Current value of financial instruments pertaining to a temporary acquisition:

- Financial instruments as repurchase agreements (delivered) -

- Other temporary purchases and sales -

3.9.2. Current value of financial instruments comprising guarantee deposits: Financial instruments received as a guarantee and not written to the balance sheet:

- equities

- bonds -

- debt securities -

- other financial instruments -

Financial instruments granted as a guarantee and maintained in their original item:

- equities -

- bonds -

- debt securities -

- other financial instruments -

3.9.3. Financial instruments held as a portfolio issued by the entities related to the management company (funds) orfinancial managers (Mutual Funds) and UCITS managed by these entities:

- UCITS -

- Swaps 26 080 184,24

- Changes NDF 924 137,92

appe

ndic

es



3.10. Income allocation table (In the accounting currency of the UCIT)

Interim payments in terms of the period

Date Share Class Total amount Unit amount Total tax credit

- - - - -

- - - - -

- - - - -

- - - - -

Total interimpayments

- - -

appe

ndic

es



Income allocation USD USD

Sums remaining to be allocated

Retained earnings - -

Result 8 700,82 -100 093,97

Total 8 700,82 -100 093,97

29.12.2017 31.12.2016

SHARE A / FR0011076926 29.12.2017 31.12.2016

Currency USD USD

Allocation

Distribution - -

Retained earnings for the period - -

Capitalisation -22 788,87 -71 940,21

Total -22 788,87 -71 940,21

Information concerning the shares conferring distributionrights

Number of shares - -

Unit distribution - -

Tax credits - -

SHARE E / FR0011306430 29.12.2017 31.12.2016

Currency USD USD

Allocation

Distribution - -


Capitalisation - -

Total - -


Number of sg - -


Tax credits - -

appe

ndic

es



SHARE I / FR0011063361 29.12.2017 31.12.2016

Currency USD USD

Allocation

Distribution - -


Capitalisation 29 518,44 -25 717,48

Total 29 518,44 -25 717,48




Tax credits - -

SHARE K / FR0011346394 29.12.2017 31.12.2016

Currency USD USD

Allocation

Distribution - -


Capitalisation 1 971,25 -2 436,28

Total 1 971,25 -2 436,28




Tax credits - -

appe

ndic

es



3.11. Allocation table of amounts available for distribution relating to net capital gains and losses(in the accounting currency of the UCITS)

Payments on net capital gains and losses for the financial year

Date Total amount

Unitamount

- - -

- - -

- - -

Total interim payments - -

appe

ndic

es



Allocation of net capital gains and losses USD USD

Amounts remaining to be allocated

Previous undistributed net capital gains and losses - -

Net capital gains and losses for the financial year 828 628,33 1 603 029,87

Payments on net capital gains and losses for the financial year - -

Total 828 628,33 1 603 029,87

29.12.2017 31.12.2016

SHARE A / FR0011076926 29.12.2017 31.12.2016

Currency USD USD

Allocation

Distribution - -

Undistributed net capital gains and losses - -

Capitalisation 436 836,86 784 617,05

Total 436 836,86 784 617,05

Information concerning shares conferring distribution rights



SHARE E / FR0011306430 29.12.2017 31.12.2016

Currency USD USD

Allocation

Distribution - -


Capitalisation - -

Total - -




appe

ndic

es



SHARE I / FR0011063361 29.12.2017 31.12.2016

Currency USD USD

Allocation

Distribution - -


Capitalisation 345 027,99 805 518,14

Total 345 027,99 805 518,14




SHARE K / FR0011346394 29.12.2017 31.12.2016

Currency USD USD

Allocation

Distribution - -


Capitalisation 46 763,48 12 894,68

Total 46 763,48 12 894,68




appe

ndic

es



3.12. Table of results and other characteristic elements of the Fund over the last 5 periodsUCIT creation date: 29 July 2011.

Currency

USD 29.12.2017 31.12.2016 31.12.2015 31.21.2014 30.12.2013

Net assets 27 351 606,45 23 778 435,20 75 700 847,07 197 654 959,89 223 590 192,06

SHARE E / FR0011306430 SHARE currency: EUR

29.12.2017 31.12.2016 31.12.2015 31.21.2014 30.12.2013Number of outstanding shares

- - 130 036 131 612 88 380

Net asset value - - 53,55 77,42 94,72

Unit distribution net capital gains and losses(including interim payments)

- - - - -

Unit distribution (including interim payments)*

- - - - -

Unit tax credit transferred to unit holders (individuals) (1)

- - - - -

Unit capitalisation* - - -34,44 -25,47 -5,84

* The amounts of the unit distribution, the unit capitalization and the tax credits are indicated in the accounting currency of the UCITS. The unit capitalizationis the sum of earnings and higher net capital losses and the number of units outstanding. This calculation method has been applied since 1 January 2013.(1) In application of the Tax Instruction of 4 March 1993 of the General Tax Directorate, the unitary tax credit is determined on the day the dividend is clipped bydividing the total amount of the tax credits amongst the outstanding units on that date.

SHARE A / FR0011076926 SHARE currency: USD


232 638 192 731,788 252 155,788 279 885,38 647 968,788

Net asset value 63,45 58,87 51,39 73,6 90,1


- - - - -


- - - - -


- - - - -

Unit capitalisation* 1,77 3,69 -21,02 -8,85 -0,73


appe

ndic

es



SHARE I / FR0011063361 SHARE currency: USD


182 667,811 197 527,345 438 509,345 405 890,292 299 939,345

Net asset value 63,77 58,91 51,19 72,98 88,96


-


-


Unit capitalisation* 2,05 3,94 -20,60 -8,38 -9,45


SHARE K / FR0011346394 SHARE currency: CHF


14 890 13 840 632 691,199 624 798,199 231 631,199

Net asset value 61,58 58,29 51,77 75,13 92,10


-


-


Unit capitalisation* 3.27 0,75 -22,29 -20,18 -7,65




ati12.29.20174inventory% Actif

netDevise de

cotationValeur

boursièreQuantité

StatutValeur

Libellé valeurCode valeur

Swap de Taux

4,58USD1 251 387,6826 080 184,24PROPREST311248 AUT+M/AUT+MSWAP00083424

4,581 251 387,68Total Swap de Taux

Liquidites

BANQUE OU ATTENTE

-3,75USD-1 024 550,930,00PROPREACH DIFF OP DE CAPI

0,01CHF3 211,350,00PROPREBANQUE CHF SGP

0,00EUR1,120,00PROPREBANQUE EUR SGP

3,08USD842 330,880,00PROPREBANQUE USD SGP

-0,65-179 007,58Total BANQUE OU ATTENTE

FRAIS DE GESTION

-0,11USD-31 152,530,00PROPREPRCOMGESTFIN



-0,17-45 686,13Total FRAIS DE GESTION

-0,82-224 693,71Total Liquidites

Dossiers

AD1 REME:Prise depot de Collateral (Doss.)

-3,52USD-957 804,02-962 000,00PGAR1USA 0% 26/04/PDC-02168145

-3,52-957 804,02Total AD1 REME:Prise depot de Collateral (Doss.)

-3,52-957 804,02Total Dossiers

Creances negociables

Interets precomptes.

14,44USD3 948 487,834 000 000,00PROPREUSA 0% 11/10/2018US912796NZ81

18,07USD4 942 648,275 000 000,00PROPREUSA 0% 13/09/2018US912796NV77

7,24USD1 980 194,722 000 000,00PROPREUSA 0% 16/08/2018US912796NQ82

20,85USD5 701 726,365 750 000,00PROPREUSA 0% 19/07/2018US912796MK22

17,42USD4 766 000,964 800 000,00PROPREUSA 0% 21/06/2018US912796MF37

3,52USD957 804,02962 000,00PGARANUSA 0% 26/04/2018US912796LX51



% Actifnet

Devise decotation

Valeur boursière

QuantitéStatutValeur

Libellé valeurCode valeur

14,56USD3 982 553,094 000 000,00PROPREUSA 0% 26/04/2018US912796LX51

3,64USD996 669,121 000 000,00PROPREUSA 0% 29/03/2018US912796LS66

99,7427 276 084,37Total Interets precomptes.

99,7427 276 084,37Total Creances negociables

Change a terme

3,32CHF908 839,070,00RECUOACT 180112 CHF/USD K

-3,30USD-902 127,200,00VERSEOACT 180112 CHF/USD K





0,09USD25 508,270,00RECUOVCT 180112 CHF/USD

-0,09CHF-25 941,290,00VERSEOVCT 180112 CHF/USD

0,026 632,13Total Change a terme

100,0027 351 606,45Total FSP – MS DIVERSIFIED BACKWARDATED FUND

Documents

Annual report MUTUAL FUNDS - MUTUAL FUNDS UNDER FRENCH …€¦ · Statutory auditor CABINET PWC AUDIT 63, rue de Villiers - Crystal Park - 92208 Neuilly-sur-Seine Cedex Distributors