annual report€¦ · global bond fund. on 30 september 2000 ... euro denominated fixed rate...

For the year ended 28 February 2019

Annual reportBlackRock Fixed Income Global Opportunities Fund

1 BlackRock Fixed Income Global Opportunities Fund BlackRock Fixed Income Global Opportunities Fund 2

Contents

General Information 2

About the Fund 3

Investment Objective & Policy 3

Fund Managers 3

Significant Events 3

Risk and Reward Profile 4

Performance Table 5

Classification of Investments 6

Investment Report 7

Performance Record 9

Distribution Tables 13

Report on Remuneration 14

Portfolio Statement 20

Statement of Total Return 81

Statement of Change in Net Assets Attributable to Unitholders 81

Balance Sheet 82

Notes to Financial Statements 83

Statement of Manager’s Responsibilities 105

Statement of the Trustee’s Responsibilities in Respect of the Fund and Report of the Trustee to the Unitholders of the Fund for the Year Ended 28 February 2019

106

Independent Auditor’s Report 107

Supplementary Information 110

Manager & RegistrarBlackRock Fund Managers Limited12 Throgmorton Avenue, London EC2N 2DL

Member of The Investment Association and authorised and regulated by the Financial Conduct Authority (“FCA”).

Directors of the ManagerG D Bamping* C L Carter M B Cook (appointed 2 May 2018) W I Cullen* R A Damm (resigned 31 December 2018) R A R Hayes A M Lawrence L E Watkins (appointed 16 May 2018, resigned 1 March 2019) M T Zemek*

* Non-executive Director.

Trustee* & CustodianThe Bank of New York Mellon (International) Limited One Canada Square, London E14 5AL

Authorised by the Prudential Regulation Authority and regulated by the FCA and the Prudential Regulation Authority.

* On 18 June 2018 the Trustee changed from BNY Mellon Trust & Depositary (UK) Limited to The Bank of New York Mellon (International) Limited.

Investment Manager BlackRock Investment Management (UK) Limited12 Throgmorton Avenue, London EC2N 2DL

Authorised and regulated by the FCA.

Investment Adviser BlackRock Financial Management, Inc55 East 52nd Street, New York, NY 10055, United States

Regulated by the Securities and Exchange Commission.

Securities Lending AgentBlackRock Advisors (UK) Limited12 Throgmorton Avenue, London EC2N 2DL

Authorised and regulated by the FCA.

AuditorErnst & Young LLPAtria One, 144 Morrison Street, Edinburgh EH3 8EX

General Information

BlackRock’s proxy voting agent is ISS (Institutional Shareholder Services).

This Report relates to the packaged products of and is issued by:BlackRock Fund Managers Limited12 Throgmorton Avenue, London EC2N 2DLTelephone: 020 7743 3000Dealing and Investor Services: 0800 44 55 22blackrock.co.uk

For your protection, telephone calls are usually recorded.


BlackRock Fixed Income Global Opportunities Fund (the “Fund”) is a UCITS scheme under the COLL Sourcebook. The Fund was established on 18 December 1990. The Fund was previously known as Mercury Global Bond Fund. On 30 September 2000 the Fund changed its name to Merrill Lynch Global Bond Fund. On 28 April 2008 the Fund changed its name to BlackRock Global Bond Fund. The Fund adopted its present name with effect from 19 March 2015. The Fund’s FCA product reference number is 147479.

Investment Objective & Policy

The aim of the Fund is to achieve a total return over the medium to long-term.

The Fund invests primarily in fixed income transferable securities and money market instruments denominated in various currencies issued by governments, agencies and companies worldwide. The full spectrum of available securities, including non-investment grade, may be utilised. Currency exposure will typically be hedged back to sterling in whole or in part.

The Fund may also invest in collective investment schemes, cash, near cash and deposits. Derivatives may be used for investment purposes and the purposes of efficient portfolio management.

Fund Managers

As at 28 February 2019, the Fund Managers of the Fund are Rick Rieder, Bob Miller and Andreas Doerrenhaus.

The former Fund Manager, Scott Thiel, relinquished his fund management responsibilities on 30 November 2018.

Significant Events

Changes in the Directors of the ManagerM B Cook was appointed as a Director effective 2 May 2018. L E Watkins was appointed as a Director effective 16 May 2018, and resigned as a Director effective 1 March 2019. R A Damm resigned as a Director effective 31 December 2018.

Changes to the TrusteeOn 18 June 2018 the Trustee changed from BNY Mellon Trust & Depositary (UK) Limited to The Bank of New York Mellon (International) Limited.

About the Fund

Syndicate Credit FacilityIn April 2018, the Fund entered into a credit facility with JPMorgan Chase Bank, N.A. (“JPMorgan”) whereby JPMorgan, together with other syndicated lenders, made a USD 1,400 million credit facility available to the Fund and the other syndicated funds. This credit facility may be utilised by the Fund and the other syndicated funds for temporary funding purposes, including, without limitation, the funding of investor redemptions. Any interest and commitment fees in relation to drawdowns from such credit facility are borne out of the net assets of the relevant syndicated Fund. As at 28 February 2019, the Fund did not have any outstanding amounts from such credit facility. The credit facility was not used during the period from 1 March 2018 to 28 February 2019.

Risk and Reward Profile

Lower riskTypically lower rewards

Higher riskTypically higher rewards

Unit Class

A Income 1 2 3 4 5 6 7

A Accumulation 1 2 3 4 5 6 7

D Income 1 2 3 4 5 6 7

D Accumulation 1 2 3 4 5 6 7

X Income 1 2 3 4 5 6 7

X Accumulation 1 2 3 4 5 6 7

Z Income 1 2 3 4 5 6 7

Z Accumulation 1 2 3 4 5 6 7

• The risk indicator was calculated incorporating historical or simulated historical data and may not be a reliable indication of the future risk profile of the Fund.

• The risk category shown is not guaranteed and may change over time.

• The lowest category does not mean risk free.

• The use of derivatives will impact the value of the Fund and may expose the Fund to a higher degree of risk. Derivatives are highly sensitive to changes in the value of the asset on which they are based and can increase the size of losses and gains, resulting in greater fluctuations in the value of the Fund. The impact to the Fund can be greater where derivatives are used in an extensive or complex way.

For more information on this, please see the Fund’s Key Investor Information Documents (“KIIDs”), which are available at www.blackrock.com.

Significant Events continued


For the year to 28.2.2019

For the three years to 28.2.2019

For the five years to 28.2.2019

TOTAL RETURN (with net income reinvested)

Class D Accumulation Units

BlackRock Fixed Income Global Opportunities Fund -1.2% +5.8% +10.8%

All Fund figures quoted are based on bid-to-bid dealing prices (the price at which units are sold) and are calculated net of fees. Performance returns are cumulative. All returns are in Sterling.

All financial investments involve an element of risk. Therefore, the value of your investment and the income from it will vary and the return of your initial investment amount cannot be guaranteed. Changes in exchange rates may cause the value of an investment to fluctuate. Past performance is not a guide to future performance and should not be the sole factor of consideration when selecting a product.

Performance Table Classification of Investments

The following charts provide an analysis of the portfolio weightings as at 28 February 2019 and 28 February 2018 by their respective asset types.

28 February 2019

Euro Denominated Fixed Rate Corporate Bonds 1.33%

Euro Denominated Fixed Rate Government Bonds 1.32%

Euro Denominated Variable Rate Corporate Bonds 0.30%

Japanese Yen Denominated Fixed Rate Government Bonds 1.30%

US Dollar Denominated Fixed Rate Corporate Bonds 32.85%

US Dollar Denominated Fixed Rate Government Bonds 11.57%

US Dollar Denominated Fixed Rate Mortgage Backed Securities 11.14%

US Dollar Denominated Variable Rate Mortgage Backed Securities 10.31%

Other 29.88%

28 February 2018

Euro Denominated Fixed Rate Corporate Bonds 1.75%

Euro Denominated Fixed Rate Government Bonds 1.26%

Euro Denominated Variable Rate Corporate Bonds 1.45%

Japanese Yen Denominated Fixed Rate Government Bonds 0.77%

US Dollar Denominated Fixed Rate Corporate Bonds 21.99%

US Dollar Denominated Fixed Rate Government Bonds 27.61%

US Dollar Denominated Fixed Rate Mortgage Backed Securities 11.66%

US Dollar Denominated Variable Rate Mortgage Backed Securities 15.32%

Other 18.19%


Outlook continued

We see low odds of a US recession in 2019, but uncertainty stemming from the state of global growth could lead to episodes where market sell-offs occur as investors move to lower risk investments. Government bonds should serve as a buffer in such scenarios, as they are negatively correlated with risk assets. Therefore, we have been adding interest rate exposure to the Fund and we prefer to own the intermediate and long end of the yield curve.

In Europe, we do not expect the ECB to raise rates in 2019. This view is supported by the recent shift in tone from some of those ECB members traditionally more in favour of higher interest rates now acknowledging downside risks. In terms of positioning, we are short (we believe the currency will go down) the euro, retaining a long position in Italian government bonds.

Moving on to Brexit, further delays are possible, but much more problematic given that the newly elected European Parliament is due to be seated after the elections in May.

Finally, a pause in US monetary policy tightening – and a more stable dollar – underpin our preference for emerging-market assets. In our view, emerging-market debt offers attractive income as the policy backdrop has quickly turned more supportive. We believe that supply-and-demand dynamics are also working in favour of the asset class, with muted issuance being met with strong inflows in early 2019. We expect the new-issue market to take time to restart in earnest.

March 2019

Summary of Performance over the YearRegrettably the Fund returned -1.2%* over the year to 28 February 2019. The Fund returned -0.3%* over the six-month period to 28 February 2019.

The Fund is managed on an absolute return basis and not relative to any benchmark. For reference purposes, the 3-month sterling LIBOR returned 0.8% over the year to 28 February 2019 and 0.4% over the six-month period to 28 February 2019.

Market ReviewGovernment-bond yields were generally lower over the period. In the US, the 10-year Treasury yield fell to 2.64% by the end of the review period. This trend was also evident in Germany, where the yield on the 10-year benchmark bund fell from 0.65% to 0.10% over the 12-month period. The US Federal Reserve (Fed) increased interest rates four times, while the European Central Bank (ECB) ceased its asset-purchase programme, which had included bonds. Reflecting this, spreads (the difference in yield between government and corporate bonds with similar maturities) on US investment-grade (BBB-rated and above) bonds widened from 1.28% to 1.70% over the year, as measured by the Option-Adjusted Spread of the ICE BofA Merrill Lynch US Corporate BBB index. Widening spreads reflected both the lower US Treasury yield, and pockets of risk aversion towards corporate bonds (including high yield debt). Overall, corporate bonds underperformed government bonds over the period. Firstly, risk aversion towards equities and higher-risk credits caused their underperformance relative to US government bonds. The withdrawal of central banks’ bond-buying programmes also inhibited corporate bonds’ returns.

Fund Performance and ActivityThe Fund’s negative return was driven primarily by our exposures to European credit as spreads (the difference in yield between government and corporate bonds with similar maturities) widened in the region. On the other hand, this was partially offset by the positive contribution from our long (where we believe a yield will fall resulting in the price of the bond increasing) US position, as Treasury yields declined throughout the period. Portfolio hedges (investments that seek to reduce the risk of price movements) were also positive contributors to performance.

Overall, we prefer to own diverse sources of income producing assets across the world which include global corporate bonds, securitised assets, select emerging markets, and global government bonds. These assets are owned as we are focusing on higher quality assets, as they tend to be more resilient to changes in the economic climate.

OutlookWe see US growth slowing as the economic cycle moves into the late stage. We expect the Fed to pause interest rate hikes for at least the first half of 2019, with the potential for one rate rise in the second half if economic data is solid.

In our opinion, ongoing monetary policy support and fiscal stimulus underpin Europe’s economy, while resilience in China should put a floor under the synchronised slowdown in emerging market growth.

Investment Report

* Performance figures quoted are based on bid-to-bid dealing prices (the price at which units are sold). Performance is calculated net of fees and reported for the Fund’s class D Accumulation Units.


Comparative Table

D Income Units D Accumulation Units







Pence per unit Pence per unit Pence per unit Pence per unit Pence per unit Pence per unit

Change in net assets per unit

Opening net asset value per unit 160.3 160.1 155.6 368.0 359.0 343.7

Return before operating charges (0.75) 5.06 8.36 (1.87) 11.55 18.38

Operating charges (1.15) (1.13) (1.13) (2.65) (2.55) (2.50)

Return after operating charges (1.90) 3.93 7.23 (4.52) 9.00 15.88

Distributions (4.69) (3.73) (2.73) (10.83) (8.40) (6.66)#

Retained distributions onaccumulation units N/A N/A N/A 10.83 8.40 5.48*

Closing net asset value per unit 153.7 160.3 160.1 363.5 368.0 359.0

After direct transaction costs of (0.05) (0.10) (0.04) (0.12) (0.22) (0.09)

Performance

Return after charges1 (1.19)% 2.45% 4.65% (1.23)% 2.51% 4.46%

Other information

Closing net asset value (£000’s) 11,074 16,329 4,728 39,360 79,047 47,376

Closing number of units 7,204,414 10,183,676 2,953,347 10,829,011 21,481,542 13,195,414

Operating charges2 0.73% 0.70% 0.71% 0.73% 0.70% 0.71%

Direct transaction costs3 0.03% 0.06% 0.02% 0.03% 0.06% 0.02%

Prices Pence per unit Pence per unit Pence per unit Pence per unit Pence per unit Pence per unit

Highest offer unit price 160.9 163.9 162.0 369.1 371.4 360.2

Lowest bid unit price 153.9 159.9 155.7 358.7 358.6 343.9

1 The return after charges figures are based on the net asset value reported for financial statements purposes and are not the same as the performance returns figures quoted in the Performance Table and the Investment Report which are based on bid-to-bid dealing prices (the price at which units are sold).

2 Operating charges are annualised and exclude portfolio trade-related costs, except costs paid to the custodian/trustee and entry/exit charges paid to an underlying collective investment scheme (if any).

3 Direct transaction costs are annualised and principally comprise commissions and taxes, attributable to the Fund’s purchase and sale of debt instruments. See note 14 for further details.

# With effect from 1 September 2016, the Fund moved to a gross pricing basis. All interest distributions paid after 6 April 2017 were made gross, i.e., without the deduction of income tax.

* Difference relates to 20% income tax withheld on distributions in accordance with HMRC.

Comparative Table

A Income Units A Accumulation Units













Distributions (3.88) (2.91) (1.93) (8.78) (6.44) (4.20)#




Performance


Other information

Closing net asset value (£000’s) 1,258 1,560 1,942 9,891 14,321 17,539

Closing number of units 818,483 973,056 1,212,190 2,796,598 3,979,629 4,970,305











Performance Record


Comparative Table

Z Income Units Z Accumulation Units













Distributions (2.98) (2.42) (1.75) (3.18) (2.48) (1.81)#




Performance


Other information

Closing net asset value (£000’s) 1,010 6,208 203 3,317 3,146 1,384

Closing number of units 1,059,550 6,241,192 204,916 3,214,970 3,015,382 1,360,953











Comparative Table

X Income Units X Accumulation Units













Distributions (3.33) (3.28) (2.93) (3.65) (3.41) (2.95)#




Performance


Other information

Closing net asset value (£000’s) –^ –§ –§ 4,693 –§ –§

Closing number of units 100 100 100 4,470,010 100 100









§ Amounts less than £500 are rounded to zero. # With effect from 1 September 2016, the Fund moved to a gross pricing basis. All interest distributions paid after 6 April 2017 were made gross, i.e., without the deduction of

income tax.* Difference relates to 20% income tax withheld on distributions in accordance with HMRC.

Performance Record continued


Final Distribution in Pence per UnitGroup 1 – Units purchased prior to 1 September 2018Group 2 – Units purchased 1 September 2018 to 28 February 2019

A IncomeUnits

A AccumulationUnits

D IncomeUnits

D AccumulationUnits

X IncomeUnits

X AccumulationUnits

Z IncomeUnits

Z AccumulationUnits

Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2

Gross Revenue 1.9074 1.1678 4.3326 2.8123 2.2940 1.2680 5.3317 3.3389 1.6400 1.6400 1.8267 1.1280 1.4724 0.6938 1.5690 0.6982

Equalisation† – 0.7396 – 1.5203 – 1.0260 – 1.9928 – 0.0000 – 0.6987 – 0.7786 – 0.8708

Distribution paid 30.4.2019 1.9074 1.9074 4.3326 4.3326 2.2940 2.2940 5.3317 5.3317 1.6400 1.6400 1.8267 1.8267 1.4724 1.4724 1.5690 1.5690


Interim Distribution in Pence per UnitGroup 1 – Units purchased prior to 1 March 2018 Group 2 – Units purchased 1 March 2018 to 31 August 2018

A IncomeUnits

A AccumulationUnits

D IncomeUnits

D AccumulationUnits

X IncomeUnits

X AccumulationUnits

Z IncomeUnits

Z AccumulationUnits

Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2

Gross Revenue 1.9755 1.2235 4.4457 1.9746 1.6900 1.6900 1.8209 1.0238 2.4000 1.5629 5.5016 3.5343 1.5113 0.7348 1.6140 1.6140

Equalisation† – 0.7520 – 2.4711 – 0.0000 – 0.7971 – 0.8371 – 1.9673 – 0.7765 – 0.0000



† Equalisation applies only to units purchased during the distribution period (Group 2 units). It is the average amount of revenue included in the purchase price of all Group 2 units and is refunded to holders of these units as a return of capital. Being capital, it is not liable to income tax but must be deducted from the cost of units for capital gains tax purposes.

Distribution Tables for the year ended 28 February 2019

The below disclosures are made in respect of the remuneration policies of the BlackRock group (“BlackRock”), as they apply to BlackRock Fund Managers Limited (the “Manager”). The disclosures are made in accordance with the Directive 2009/65/EC on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (“UCITS”), as amended, including in particular by Directive 2014/91/EU of the European Parliament and of the council of 23 July 2014, (the “Directive”), the “Guidelines on sound remuneration policies under the UCITS Directive and AIFMD” issued by the European Securities and Markets Authority, the Financial Conduct Authority Handbook SYSC 19E: The UCITS Remuneration Code (the “UCITS Remuneration Code”), and COLL 4.5.7 R(7).

BlackRock’s UCITS Remuneration Policy (the “UCITS Remuneration Policy”) will apply to the EEA entities within the BlackRock group authorised as a manager of alternative investment funds in accordance with the Directive, and will ensure compliance with the requirements of Article 14b of the Directive and the UCITS Remuneration Code.

The Manager has adopted the UCITS Remuneration Policy, a summary of which is set out below.

Remuneration Governance BlackRock’s remuneration governance in EMEA operates as a tiered structure which includes: (a) the Management Development and Compensation Committee (“MDCC”) (which is the global, independent remuneration committee for BlackRock, Inc. and all of its subsidiaries, including the Manager); and (b) the Manager’s board of directors (the “Manager’s Board”). These bodies are responsible for the determination of BlackRock’s remuneration policies.

(a) MDCC The MDCC’s purposes include:

• providing oversight of:

– BlackRock’s executive compensation programmes;

– BlackRock’s employee benefit plans; and

– such other compensation plans as may be established by BlackRock from time to time for which the MDCC is deemed as administrator;

• reviewing and discussing the compensation discussion and analysis included in the BlackRock, Inc. annual proxy statement with management and approving the MDCC’s report for inclusion in the proxy statement;

• reviewing, assessing and making reports and recommendations to the BlackRock, Inc. board of directors (the “BlackRock, Inc. Board”) as appropriate on BlackRock’s talent development and succession planning, with the emphasis on performance and succession at the highest management levels; and

• in accordance with applicable UK and European regulations and guidance, to act as the Remuneration Committee for BlackRock’s EMEA regulated entities.

The MDCC directly retains its own independent compensation consultant, Semler Brossy Consulting Group LLC, who has no relationship with BlackRock, Inc. or the BlackRock, Inc. Board that would interfere with its ability to provide independent advice to the MDCC on compensation matters.

Report on Remuneration


The BlackRock, Inc. Board has determined that all of the members of the MDCC are “independent” within the meaning of the listing standards of the New York Stock Exchange (NYSE), which requires each meet a “non-employee director” standard.

The MDCC held 10 meetings during 2018. The MDCC charter is available on BlackRock, Inc.’s website (www.blackrock.com).

Through its regular reviews, the MDCC continues to be satisfied with the principles of BlackRock’s compensation policy and approach.

(b) The Manager’s Board The Manager’s Board has the task of supervising and providing oversight of the UCITS Remuneration Policy as it applies to the Manager and its Identified Staff.

The Manager’s Board (through independent review by the relevant control functions) remains satisfied with the implementation of the UCITS Remuneration Policy as it applies to the Manager and its Identified Staff.

Decision-making process Remuneration decisions for employees are made once annually in January following the end of the performance year. This timing allows full-year financial results to be considered along with other non-financial goals and objectives. Although the framework for remuneration decision-making is tied to financial performance, significant discretion is used to determine individual variable remuneration based on achievement of strategic and operating results and other considerations such as management and leadership capabilities.

No set formulas are established and no fixed benchmarks are used in determining annual incentive awards. In determining specific individual remuneration amounts, a number of factors are considered including non-financial goals and objectives and overall financial and investment performance. These results are viewed in the aggregate without any specific weighting, and there is no direct correlation between any particular performance measure and the resulting annual incentive award. The variable remuneration awarded to any individual(s) for a particular performance year may also be zero.

Annual incentive awards are paid from a bonus pool.

The size of the projected bonus pool, including cash and equity awards, is reviewed throughout the year by the MDCC and the final total bonus pool is approved after year-end. As part of this review, the MDCC receives actual and projected financial information over the course of the year as well as final year-end information. The financial information that the MDCC receives and considers includes the current year projected income statement and other financial measures compared with prior year results and the current year budget. The MDCC additionally reviews other metrics of BlackRock’s financial performance (e.g., net inflows of AUM and investment performance) as well as information regarding market conditions and competitive compensation levels.

The MDCC regularly considers management’s recommendation as to the percentage of preincentive operating income that will be accrued and reflected as a compensation expense throughout the year for the cash portion of the total annual bonus pool (the “accrual rate”). The accrual rate of the cash portion of the total annual bonus pool may be modified by the MDCC during the year based on its review of the financial information described above. The MDCC does not apply any particular weighting or formula to the information it considers when determining the size of the total bonus pool or the accruals made for the cash portion of the total bonus pool.

Following the end of the performance year, the MDCC approves the final bonus pool amount.

As part of the year-end review process the Enterprise Risk and Regulatory Compliance departments report to the MDCC on any activities, incidents or events that warrant consideration in making compensation decisions.

Individuals are not involved in setting their own remuneration.

Control functionsEach of the control functions (Enterprise Risk, Legal & Compliance, and Internal Audit) has its own organisational structure which is independent of the business units. The head of each control function is either a member of the Global Executive Committee (“GEC”), the global management committee, or has a reporting obligation to the board of directors of BlackRock Group Limited, the parent company of all of BlackRock’s EMEA regulated entities, including the Manager.

Functional bonus pools are determined with reference to the performance of each individual function. The remuneration of the senior members of control functions is directly overseen by the MDCC.

Link between pay and performance There is a clear and well defined pay-for-performance philosophy and compensation programmes which are designed to meet the following key objectives as detailed below:

• appropriately balance BlackRock’s financial results between shareholders and employees;

• attract, retain and motivate employees capable of making significant contributions to the long-term success of the business;

• align the interests of senior employees with those of shareholders by awarding BlackRock Inc.’s stock as a significant part of both annual and long-term incentive awards;

• control fixed costs by ensuring that compensation expense varies with profitability;

• link a significant portion of an employee’s total compensation to the financial and operational performance of the business as well as its common stock performance;

• discourage excessive risk-taking; and

• ensure that client interests are not negatively impacted by remuneration awarded on a short-term, mid-term and/or long-term basis.

Report on Remuneration continued


Driving a high-performance culture is dependent on the ability to measure performance against objectives, values and behaviours in a clear and consistent way. Managers use a 5-point rating scale to provide an overall assessment of an employee’s performance, and employees also provide a self-evaluation. The overall, final rating is reconciled during each employee’s performance appraisal. Employees are assessed on the manner in which performance is attained as well as the absolute performance itself.

In keeping with the pay-for-performance philosophy, ratings are used to differentiate and reward individual performance – but don’t pre-determine compensation outcomes. Compensation decisions remain discretionary and are made as part of the year-end compensation process.

When setting remuneration levels other factors are considered, as well as individual performance, which may include:

• the performance of the Manager, the funds managed by the Manager and/or the relevant functional department;

• factors relevant to an employee individually; relationships with clients and colleagues; teamwork; skills; any conduct issues; and, subject to any applicable policy, the impact that any relevant leave of absence may have on contribution to the business);

• the management of risk within the risk profiles appropriate for BlackRock’s clients;

• strategic business needs, including intentions regarding retention;

• market intelligence; and

• criticality to business.

A primary product tool is risk management and, while employees are compensated for strong performance in their management of client assets, they are required to manage risk within the risk profiles appropriate for their clients. Therefore, employees are not rewarded for engaging in high-risk transactions outside of established parameters. Remuneration practices do not provide undue incentives for short-term planning or short-term financial rewards, do not reward unreasonable risk and provide a reasonable balance between the many and substantial risks inherent within the business of investment management, risk management and advisory services.

BlackRock operates a total compensation model for remuneration which includes a base salary, which is contractual, and a discretionary bonus scheme.

BlackRock operates an annual discretionary bonus scheme. Although all employees are eligible to be considered for a discretionary bonus, there is no contractual obligation to make any award to an employee under its discretionary bonus scheme. In exercising discretion to award a discretionary bonus, the factors listed above (under the heading “Link between pay and performance”) may be taken into account in addition to any other matters which become relevant to the exercise of discretion in the course of the performance year.

Discretionary bonus awards for all employees, including executive officers, are subject to a guideline that determines the portion paid in cash and the portion paid in BlackRock, Inc. stock and subject to additional vesting/clawback conditions. Stock awards are subject to further performance adjustment through variation in BlackRock, Inc.’s share price over the vesting period. As total annual compensation increases, a greater portion is deferred into stock. The MDCC adopted this approach in 2006 to substantially increase the retention value and shareholder alignment of the compensation package for eligible employees, including the executive officers. The portion deferred into stock vests into three equal instalments over the three years following grant.

Supplementary to the annual discretionary bonus as described above, equity awards from the “Partner Plan” and “Targeted Equity Award Plan” are made to select senior leaders to provide greater linkage with future business results. The long-term incentive awards have been established individually to provide meaningful incentive for continued performance over a multi-year period recognising the scope of the individual’s role, business expertise and leadership skills.

Selected senior leaders are eligible to receive performance-adjusted equity-based awards from the “BlackRock Performance Incentive Plan” (“BPIP”). Awards made from the BPIP have a three-year performance period based on a measurement of As Adjusted Operating Margin1 and Organic Revenue Growth2. Determination of pay-out will be made based on the firm’s achievement relative to target financial results at the conclusion of the performance period. The maximum number of shares that can be earned is 165% of the award in those situations where both metrics achieve pre-determined financial targets. No shares will be earned where the firm’s financial performance in both of the above metrics is below a pre-determined performance threshold. These metrics have been selected as key measures of shareholder value which endure across market cycles.

A limited number of investment professionals have a portion of their annual discretionary bonus (as described above) awarded as deferred cash that notionally tracks investment in selected products managed by the employee. The intention of these awards is to align investment professionals with the investment returns of the products they manage through the deferral of compensation into those products. Clients and external evaluators have increasingly viewed more favourably those products where key investors have “skin in the game” through significant personal investments.

Identified StaffThe UCITS Remuneration Policy sets out the process that will be applied to identify staff as Identified Staff, being categories of staff of the Manager, including senior management, risk takers, control functions and any employee receiving total remuneration that takes them into the same remuneration bracket as senior management and risk takers, whose professional activities have a material impact on the risk profiles of the Manager or of the funds it manages.

The list of Identified Staff will be subject to regular review, being formally reviewed in the event of, but not limited to:

• organisational changes;

• new business initiatives;

• changes in significant influence function lists;

• changes in role responsibilities; and

• revised regulatory direction.

1 As Adjusted Operating Margin: As reported in BlackRock’s external filings, reflects adjusted Operating Income divided by Total Revenue net of distribution and servicing expenses and amortisation of deferred sales commissions.

2 Organic Revenue Growth: Equal to net new base fees plus net new Aladdin revenue generated in the year (in dollars).



Quantitative Remuneration DisclosureThe Manager is required under UCITS to make quantitative disclosures of remuneration. These disclosures are made in line with BlackRock’s interpretation of currently available regulatory guidance on quantitative remuneration disclosures. As market or regulatory practice develops BlackRock may consider it appropriate to make changes to the way in which quantitative remuneration disclosures are calculated. Where such changes are made, this may result in disclosures in relation to a fund not being comparable to the disclosures made in the prior year, or in relation to other BlackRock fund disclosures in that same year.

Disclosures are provided in relation to (a) the staff of the Manager; (b) staff who are senior management; and (c) staff who have the ability to materially affect the risk profile of the Fund, including individuals who, although not directly employed by the Manager, are assigned by their employer to carry out services directly for the Manager.

All individuals included in the aggregated figures disclosed are rewarded in line with BlackRock’s remuneration policy for their responsibilities across the relevant BlackRock business area. As all individuals have a number of areas of responsibilities, only the portion of remuneration for those individuals’ services attributable to the Fund is included in the aggregate figures disclosed.

Members of staff and senior management of the Manager typically provide both UCITS and non-UCITS related services in respect of multiple funds, clients and functions of the Manager and across the broader BlackRock group. Therefore, the figures disclosed are a sum of each individual’s portion of remuneration attributable to the Manager according to an objective apportionment methodology which acknowledges the multiple-service nature of the Manager. Accordingly the figures are not representative of any individual’s actual remuneration or their remuneration structure.

The amount of the total remuneration awarded by the Manager to its staff which has been attributed to the Manager’s UCITS-related business in respect of the Manager’s financial year ending 31 December 2018 is GBP 20.5 million. This figure is comprised of fixed remuneration of GBP 1.5 million and variable remuneration of GBP 19.0 million. There were a total of 59 beneficiaries of the remuneration described above.

The amount of the aggregate remuneration awarded by the Manager, which has been attributed to the Manager’s UCITS-related business in respect of the Manager’s financial year ending 31 December 2018, to its senior management was GBP 0.6 million, and to other members of its staff whose actions have a material impact on the risk profile of the Manager’s UCITS-related business was GBP 19.9 million.

EQUITIES – 0.78%; 28.2.2018 0.63%

FRANCE – 0.00%; 28.2.2018 0.02%

Banks – 0.00%; 28.2.2018 0.02%

GERMANY – 0.08%; 28.2.2018 0.00%

Automobiles & Parts – 0.08%; 28.2.2018 0.00% 1,162 Daimler 53 0.08

ITALY – 0.03%; 28.2.2018 0.00%

Banks – 0.03%; 28.2.2018 0.00% 2,200 UniCredit 23 0.03

NETHERLANDS – 0.08%; 28.2.2018 0.00%

Technology Hardware & Equipment – 0.08%; 28.2.2018 0.00% 800 NXP Semiconductors 55 0.08

UNITED STATES – 0.59%; 28.2.2018 0.61%

Automobiles & Parts – 0.01%; 28.2.2018 0.00% 287 BorgWarner 9 0.01

Banks – 0.06%; 28.2.2018 0.28% 500 JP Morgan Chase 39 0.06

Financial Services – 0.00%; 28.2.2018 0.04%

Fixed Line Telecommunications – 0.00%; 28.2.2018 0.00% 39 AT&T 1 0.00

Food & Drug Retailers – 0.00%; 28.2.2018 0.01%

General Industrials – 0.02%; 28.2.2018 0.00% 125 Packaging Corporation of America 9 0.01 276 WestRock 8 0.01

17 0.02

General Retailers – 0.00%; 28.2.2018 0.07%

Household Goods & Home Construction – 0.23%; 28.2.2018 0.00% 1,600 DR Horton 48 0.07 1,600 Lennar class ‘A’ shares 59 0.08 100 Mohawk Industries 10 0.01 1,235 Pulte Homes 25 0.04 800 Toll BrothersØ 22 0.03

164 0.23

Holding or Market % of Nominal Value Total Net Value Investment £000’s Assets

Portfolio Statement at 28 February 2019


Portfolio Statement continued




Industrial Engineering – 0.01%; 28.2.2018 0.00% 185 Paccar 9 0.01

Industrial Transportation – 0.06%; 28.2.2018 0.02% 300 FedExØ 41 0.06

Media – 0.04%; 28.2.2018 0.04% 1,500 Altice USA 25 0.04

Oil & Gas Producers – 0.02%; 28.2.2018 0.02% 153 Diamondback Energy 12 0.02

Oil Equipment, Services & Distribution – 0.00%; 28.2.2018 0.10% 131 Liberty Oilfield Services 2 0.00

Personal Goods – 0.00%; 28.2.2018 0.01%

Pharmaceuticals & Biotechnology – 0.02%; 28.2.2018 0.00% 130 AbbVie 8 0.01 34 Biogen 8 0.01

16 0.02

Support Services – 0.00%; 28.2.2018 0.01%

Technology Hardware & Equipment – 0.03%; 28.2.2018 0.00% 153 Microchip Technology 10 0.02 119 Texas Instruments 9 0.01

19 0.03

Travel & Leisure – 0.09%; 28.2.2018 0.01% 1,590 Caesars Entertainment 10 0.01 1,443 Delta Air Lines 55 0.08

65 0.09

BONDS – 86.33%; 28.2.2018 86.02%

Argentine Peso Denominated Fixed Rate Government Bonds – 0.00%; 28.2.2018 0.14%

Argentine Peso Denominated Variable Rate Corporate Bonds – 0.00%; 28.2.2018 0.04%

Argentine Peso Denominated Variable Rate Government Bonds – 0.06%; 28.2.2018 0.02% ARS 221,000 Argentina (Republic) 0% Floating Rate Bonds 11/3/2019 5 0.01 ARS 441,000 Argentina (Republic) 0% Floating Rate Bonds 1/3/2020 9 0.01 ARS 1,086,000 Argentina (Republic) 0% Index Linked Notes 6/3/2020 31 0.04

45 0.06

Colombian Peso Denominated Fixed Rate Government Bonds – 0.39%; 28.2.2018 0.00% COP 604,300,000 Colombia (Government) 7% Bonds 30/6/2032 147 0.21 COP 485,000,000 Colombia (Government) 7.5% Bonds 26/8/2026 126 0.18

273 0.39

Danish Krone Denominated Fixed Rate Corporate Bonds – 0.00%; 28.2.2018 0.17%

Egyptian Pound Denominated Fixed Rate Government Bonds – 0.31%; 28.2.2018 0.28% EGP 2,125,000 Egypt (Government) 0% Bonds 2/4/2019 90 0.13 EGP 800,000 Egypt (Government) 0% Bonds 27/8/2019 32 0.05 EGP 2,200,000 Egypt (Government) 0% Treasury Bills 5/3/2019 94 0.13

216 0.31

Euro Denominated Fixed Rate Corporate Bonds – 1.33%; 28.2.2018 1.75% €200,000 Cooperatieve Rabobank UA 4.625% Perpetual Bonds 175 0.25 €100,000 Iberdrola International 3.25% Perpetual Bonds 87 0.12 €200,000 IKB Deutsche Industriebank 4% Bonds 31/1/2028 160 0.23 €100,000 International Business Machines 0.875% European

Medium Term Notes 31/1/2025 86 0.12 €100,000 International Business Machines 1.25% Bonds 29/1/2027 86 0.12 €100,000 International Business Machines 1.75% Bonds 31/1/2031 86 0.12 €100,000 Repsol International Finance 3.875% Perpetual Bonds 90 0.13 €50,479 TAGUS – Sociedade de Titularizacao de Creditos

SA/Volta IV 2.423% Asset Backed Bonds 12/2/2021 44 0.06 €149,117 TAGUS–Sociedade de Titularizacao de Creditos

SA/Volta V 0.85% Asset Backed Bonds 12/2/2022 128 0.18

942 1.33

Euro Denominated Fixed Rate Government Bonds – 1.32%; 28.2.2018 1.26% €60,000 France (Government) 1.5% Bonds 25/5/2050 50 0.07 €104,000 Germany (Federal Republic) 0.1% Inflation Linked Bonds

15/4/2026 101 0.14 €20,000 Greece (Republic) 3.375% Bonds 15/2/2025 17 0.03 €70,000 Greece (Republic) 3.45% Bonds 2/4/2024 62 0.09 €9,126 Greece (Republic) 3.5% Bonds 30/1/2023 8 0.01 €8,348 Greece (Republic) 3.75% Bonds 30/1/2028 7 0.01 €8,901 Greece (Republic) 3.9% Bonds 30/1/2033 7 0.01 €20,282 Greece (Republic) 4% Bonds 30/1/2037 16 0.02 €23,096 Greece (Republic) 4.2% Bonds 30/1/2042 18 0.03 €100,000 Italy (Republic) 2.7% Bonds 1/3/2047 73 0.10 €386,000 Italy (Republic) 2.8% Bonds 1/12/2028 333 0.47 €272,000 Spain (Kingdom) 1.4% Bonds 30/7/2028 238 0.34

930 1.32

Euro Denominated Variable Rate Corporate Bonds – 0.30%; 28.2.2018 1.45% €38,963 Paragon Mortgages 0.172% Floating Rate Mortgage

Backed Bonds 15/10/2041 31 0.04 €9,847 Paragon Mortgages No. 23 0.392% Floating Rate Mortgage

Backed Bonds 15/1/2043 8 0.01 €100,000 Taurus 2018–1 IT 1.% Floating Rate Notes 18/5/2030 84 0.12 €100,000 Telefonica Europe 4.2% Variable Rate Subordinated

Perpetual Bonds 88 0.13

211 0.30





UK Sterling Denominated Fixed Rate Government Bonds – 9.33%; 28.2.2018 0.02% £1,430,000 Treasury 1.75% Gilts 22/7/2019 1,435 2.03 £5,150,000 Treasury 4.5% Gilts 7/3/2019 5,153 7.30

6,588 9.33

UK Sterling Denominated Variable Rate Corporate Bonds – 0.35%; 28.2.2018 0.00% £148,000 Finsbury Square 2018–2 3.01459% Floating Rate Bonds

12/9/2068 147 0.21 £100,000 Finsbury Square 2018–2 3.51459% Floating Rate Bonds

12/9/2068 100 0.14

247 0.35

UK Sterling Denominated Variable Rate Mortgage Backed Securities – 1.06%; 28.2.2018 0.58% £50,000 Canary Wharf Finance II 3.02475% Floating Rate

Mortgage Backed Bonds 22/10/2037 44 0.06 £29,218 Eurosail 2006–2BL 1.06638% Floating Rate Mortgage

Backed Bonds 15/12/2044 29 0.04 £100,000 Hawksmoor Mortgages 2016–1 2.45975% Floating Rate

Mortgage Backed Bonds 25/5/2053 100 0.14 £9,847 Paragon Mortgages No. 23 2.02794% Floating Rate

Mortgage Backed Bonds 15/1/2043 10 0.02 £5,447 Precise Mortgage Funding 2014–1 1.70263% Floating

Rate Notes 12/9/2047 5 0.01 £100,000 Residential Mortgage Securities 29 2.30838% Floating

Rate Mortgage Backed Bonds 20/12/2046 99 0.14 £290,000 Ripon Mortgages 2.35863% Floating Rate Mortgage

Backed Bonds 20/8/2056 288 0.41 £100,000 Turbo Finance 8 2.68013% Floating Rate Asset Backed

Bonds 20/2/2026 99 0.14 £73,190 Warwick Finance Residential Mortgages No One 1.90994%

Floating Rate Mortgage Backed Bonds 21/9/2049 73 0.10

747 1.06

US Dollar Denominated Fixed Rate Corporate Bonds – 32.85%; 28.2.2018 21.99% $75,000 Abbott Laboratories 3.75% Bonds 30/11/2026 57 0.08 $40,000 AbbVie 2.9% Senior Notes 6/11/2022 30 0.04 $75,000 AbbVie 3.75% Bonds 14/11/2023 57 0.08 $158,000 AbbVie 4.25% Bonds 14/11/2028 117 0.17 $60,000 AbbVie 4.5% Bonds 14/5/2035 42 0.06 $14,000 AHS Hospital 5.024% Bonds 1/7/2045 12 0.02 $38,333 Air Canada 2015–2 Class B Pass Through Trust 5% Bonds

15/6/2025 29 0.04 $10,000 Alabama Power 3.7% Bonds 1/12/2047 7 0.01 $10,000 Alamo Community College District 5% Bonds 15/8/2035 9 0.01 $20,000 Alamo Community College District 5% Bonds 15/8/2036 17 0.03 $20,000 Alamo Community College District 5% Bonds 15/8/2037 17 0.03 $135,000 Allergan Funding 3.8% Bonds 15/3/2025 100 0.14

Indonesian Rupiah Denominated Fixed Rate Government Bonds – 0.77%; 28.2.2018 0.36% IDR 2,664,000,000 Indonesia (Government) 6.125% Bonds 15/5/2028 127 0.18 IDR 56,000,000 Indonesia (Government) 6.625% Bonds 15/5/2033 3 0.00 IDR 2,085,000,000 Indonesia (Government) 7.5% Bonds 15/5/2038 103 0.15 IDR 1,960,000,000 Indonesia (Government) 8.25% Bonds 15/5/2029 108 0.15 IDR 704,000,000 Indonesia (Government) 8.25% Bonds 15/5/2036 38 0.05 IDR 1,540,000,000 Indonesia (Government) 8.375% Bonds 15/3/2034 84 0.12 IDR 1,559,000,000 Indonesia (Government) 8.375% Bonds 15/4/2039 84 0.12

547 0.77

Japanese Yen Denominated Fixed Rate Government Bonds – 1.30%; 28.2.2018 0.77% ¥128,600,000 Japan (Government) 0.1% CPI Linked Bonds 10/3/2027 918 1.30

Mexican Peso Denominated Fixed Rate Government Bonds – 0.57%; 28.2.2018 0.00% MXN 45,100 Mexico (Government) 6.5% Bonds 10/6/2021 2 0.00 MXN 3,203,500 Mexico (Government) 7.5% Bonds 3/6/2027 121 0.17 MXN 2,136,500 Mexico (Government) 7.75% Bonds 23/11/2034 78 0.11 MXN 1,321,200 Mexico (Government) 8.5% Bonds 31/5/2029 53 0.08 MXN 2,731,400 Mexico (Government) 8.5% Bonds 18/11/2038 106 0.15 MXN 1,000,000 Mexico (Government) 10% Bonds 20/11/2036 44 0.06

404 0.57

Nigerian Naira Denominated Fixed Rate Government Bonds – 0.04%; 28.2.2018 0.00% NGN 12,661,000 Nigeria (Government) 0% Bonds 21/3/2019 26 0.04

Russian Ruble Denominated Fixed Rate Government Bonds – 0.22%; 28.2.2018 0.61% RUB 6,176,000 Russia (Federation) 6.9% Bonds 23/5/2029 64 0.09 RUB 8,220,000 Russia (Federation) 7.05% Bonds 19/1/2028 88 0.13

152 0.22

South African Rand Denominated Fixed Rate Government Bonds – 0.47%; 28.2.2018 0.23% ZAR 1,620,000 South Africa (Republic) 6.25% Bonds 31/3/2036Ø 63 0.09 ZAR 683,400 South Africa (Republic) 8% Bonds 31/1/2030 34 0.05 ZAR 879,000 South Africa (Republic) 8.75% Bonds 31/1/2044 43 0.06 ZAR 2,490,000 South Africa (Republic) 8.75% Bonds 28/2/2048 121 0.17 ZAR 1,414,515 South Africa (Republic) 9% Bonds 31/1/2040 71 0.10

332 0.47

Sri Lankan Rupee Denominated Fixed Rate Government Bonds – 0.03%; 28.2.2018 0.00% LKR 5,000,000 Sri Lanka (Government) 11% Bonds 1/8/2021 21 0.03

Turkish Lira Denominated Fixed Rate Government Bonds – 0.00%; 28.2.2018 0.05%

UK Sterling Denominated Fixed Rate Corporate Bonds – 0.92%; 28.2.2018 0.75% £100,000 CPUK Finance 4.25% Bonds 28/2/2047 99 0.14 £360,000 Ei 6.875% Bonds 15/2/2021 381 0.54 £100,000 Motor 2016–1 3.75% Asset Backed Bonds 25/11/2025 101 0.14 £32,754 Unique Pub Finance 5.659% Bonds 30/6/2027 35 0.05 £35,160 Unique Pub Finance 6.542% Bonds 30/3/2021 37 0.05

653 0.92





$110,000 Bank of America 3.864% Bonds 23/7/2024 84 0.12 $260,000 Bank of America 3.97% Medium Term Notes 5/3/2029 196 0.28 $104,000 Bank of America 3.974% Medium Term Notes 7/2/2030 79 0.11 $297,000 Bank of America 4.271% Bonds 23/7/2029 229 0.32 $193,000 Bank of America 4.45% Bonds 3/3/2026 148 0.21 $20,000 Bank of America 5% Senior Notes 21/1/2044 16 0.02 $7,000 Bank of America 6.3% Perpetual Bonds 6 0.01 $20,000 Bank of America 6.5% Perpetual Bonds 16 0.02 $110,000 BAT Capital 2.764% Bonds 15/8/2022 80 0.11 $50,000 BAT Capital 3.222% Bonds 15/8/2024 36 0.05 $10,000 Bausch Health 5.625% Bonds 1/12/2021 8 0.01 $36,000 Bausch Health 7% Bonds 15/3/2024 29 0.04 $40,000 Bay Area Toll Authority 6.918% Bonds 1/4/2040 40 0.06 $30,000 Bay Area Toll Authority 7.043% Bonds 1/4/2050 33 0.05 $25,000 Baylor Scott & White 4.185% Bonds 15/11/2045 19 0.03 $20,000 Berks County Industrial Development Authority 5% Bonds

1/11/2047 16 0.02 $20,000 Berks County Industrial Development Authority 5% Bonds

1/11/2050 16 0.02 $20,000 Berkshire Hathaway Energy 6.125% Guaranteed Senior

Bonds 1/4/2036 18 0.03 $19,000 Boeing 3.825% Bonds 1/3/2059 14 0.02 $40,000 Brinker International 5% Bonds 1/10/2024 29 0.04 $95,000 Broadcom Cayman Finance 3% Bonds 15/1/2022 70 0.10 $50,000 Broadcom Cayman Finance 3.875% Bonds 15/1/2027 35 0.05 $44,000 Bruin E&P Partners 8.875% Bonds 1/8/2023 32 0.05 $50,000 Buckeye Tobacco Settlement Financing Authority 5.875%

Bonds 1/6/2047 35 0.05 $30,000 Burlington Northern Santa 3% Bonds 1/4/2025 22 0.03 $58,000 BWAY 5.5% Bonds 15/4/2024 43 0.06 $10,000 California Health Facilities Financing Authority 5% Bonds

15/8/2033 9 0.01 $20,000 California Health Facilities Financing Authority 5% Bonds

15/8/2047 16 0.02 $20,000 California State Public Works Board 8.361% Bonds

1/10/2034 22 0.03 $23,000 Calpine 5.375% Bonds 15/1/2023 17 0.03 $20,000 Calpine 6% Bonds 15/1/2022 15 0.02 $122,000 Capital One Financial 3.9% Bonds 29/1/2024 92 0.13 $50,000 Carpenter Technology 4.45% Bonds 1/3/2023 37 0.05 $3,000 Carrizo Oil & Gas 6.25% Bonds 15/4/2023Ø 2 0.00 $15,000 Catholic Health Initiatives 4.35% Bonds 1/11/2042 10 0.01 $43,000 CCO 5.25% Bonds 30/9/2022 33 0.05 $22,000 CDK Global 3.8% Bonds 15/10/2019 17 0.03 $14,000 CDK Global 5% Bonds 15/10/2024 11 0.02 $69,000 Celgene 3.875% Bonds 15/8/2025 52 0.07

$29,000 Altria 3.8% Bonds 14/2/2024 22 0.03 $40,000 Altria 4% Guaranteed Bonds 31/1/2024 30 0.04 $32,000 Altria 4.4% Bonds 14/2/2026 24 0.03 $60,000 Altria 4.8% Bonds 14/2/2029 45 0.06 $10,000 Altria 5.375% Guaranteed Bonds 31/1/2044 7 0.01 $35,000 Altria 5.95% Bonds 14/2/2049 26 0.04 $60,000 Altria 6.2% Bonds 14/2/2059 45 0.06 $81,000 Altria Group 2.85% Guaranteed Notes 9/8/2022 60 0.09 $90,000 Amazon.com 3.15% Bonds 22/8/2027 67 0.10 $95,000 Amazon.com 4.05% Bonds 22/8/2047 72 0.10 $23,247 Ambac Assurance 5.1% Bonds 7/6/2020 24 0.03 $100,000 American Express 3.4% Bonds 22/2/2024Ø 75 0.11 $20,000 American Express 4.2% Bonds 6/11/2025 16 0.02 $10,000 American Municipal Power 6.449% Bonds 15/2/2044 10 0.02 $20,000 American Municipal Power 7.834% Bonds 15/2/2041 22 0.03 $60,000 American Tower 5% Senior Notes 15/2/2024 48 0.07 $4,000 Amgen 4.4% Notes 1/5/2045 3 0.01 $20,000 Andeavor Logistics 4.25% Bonds 1/12/2027 15 0.02 $36,000 Andeavor Logistics 5.25% Bonds 15/1/2025 28 0.04 $39,000 Andeavor Logistics 6.25% Bonds 15/10/2022 30 0.04 $90,000 Anheuser–Busch InBev Worldwide 4.15% Bonds 23/1/2025 70 0.10 $126,000 Anheuser–Busch InBev Worldwide 4.75% Bonds 23/1/2029 98 0.14 $65,000 Anheuser–Busch InBev Worldwide 5.55% Bonds 23/1/2049 51 0.07 $35,000 Aon 4.5% Bonds 15/12/2028 27 0.04 $30,000 Apache 4.25% Bonds 15/1/2044 19 0.03 $40,000 Apple 2.4% Bonds 3/5/2023 30 0.04 $70,000 Apple 2.45% Bonds 4/8/2026 50 0.07 $100,000 Apple 2.85% Bonds 11/5/2024 75 0.11 $71,000 Apple 3.85% Bonds 4/5/2043 52 0.07 $26,000 Apple 4.25% Bonds 9/2/2047 20 0.03 $30,000 Apple 4.5% Bonds 23/2/2036 24 0.03 $15,000 Applied Materials 4.35% Bonds 1/4/2047 11 0.02 $96,000 Arconic 5.9% Notes 1/2/2027 72 0.10 $79,000 Ares Capital 4.25% Bonds 1/3/2025 56 0.08 $10,000 Arizona State University 5% Bonds 1/7/2043 9 0.01 $40,000 AT&T 3% Bonds 30/6/2022 30 0.04 $91,000 AT&T 3.4% Bonds 15/5/2025 67 0.10 $280,000 AT&T 4.35% Bonds 1/3/2029 209 0.30 $30,000 Atmos Energy 4.125% Bonds 15/3/2049 22 0.03 $2,000 Baltimore Gas & Electric 4.25% Bonds 15/9/2048 1 0.00 $125,000 Bank of America 2.328% Medium Term Notes 1/10/2021 93 0.13 $30,000 Bank of America 3.3% Senior Bonds 11/1/2023 23 0.03 $10,000 Bank of America 3.419% Bonds 20/12/2028 7 0.01 $30,000 Bank of America 3.55% Bonds 5/3/2024 23 0.03 $10,000 Bank of America 3.593% Bonds 21/7/2028 7 0.01 $40,000 Bank of America 3.824% Medium Term Notes 20/1/2028 30 0.04





$10,000 City of Colorado Springs CO Utilities System Revenue 5% Bonds 15/11/2042 9 0.01

$20,000 City of Columbia SC Waterworks & Sewer System Revenue 5% Bonds 1/2/2042 17 0.02

$20,000 City of New York 5% Bonds 1/4/2040 17 0.02 $15,000 City of Riverside Electric Revenue 7.605% Bonds

1/10/2040 16 0.02 $15,000 City of San Antonio TX Electric & Gas Systems Revenue

5% Bonds 1/2/2048 12 0.02 $30,000 Clark County School District 5% Bonds 15/6/2033 26 0.04 $10,000 Colorado Health Facilities Authority 5.25% Bonds 1/2/2031 8 0.01 $5,000 Comcast 3.15% Bonds 15/2/2028 4 0.01 $220,000 Comcast 3.3% Bonds 1/2/2027 161 0.23 $40,000 Comcast 3.7% Bonds 15/4/2024 31 0.04 $20,000 Comcast 3.95% Bonds 15/10/2025 15 0.02 $45,000 Comcast 3.999% Bonds 1/11/2049 31 0.04 $28,000 Comcast 4.15% Bonds 15/10/2028 22 0.03 $10,000 Comcast 4.25% Bonds 15/10/2030 8 0.01 $35,000 Comcast 4.7% Bonds 15/10/2048 27 0.04 $80,000 Comcast 4.95% Bonds 15/10/2058 63 0.09 $21,000 COMM 2015–LC19 Mortgage Trust 3.183% Mortgage

Backed Bonds 10/2/2048 16 0.02 $111,000 Commercial Metals 4.875% Bonds 15/5/2023 82 0.12 $14,000 Commercial Metals 5.375% Bonds 15/7/2027 51 0.07 $30,000 Commercial Metals 5.75% Bonds 15/4/2026 22 0.03 $50,000 Commonwealth Bank of Australia 3.35% Bonds 4/6/2024 38 0.05 $30,000 Commonwealth Financing Authority 3.864% Bonds

1/6/2038 22 0.03 $15,000 Commonwealth Financing Authority 4.144% Bonds

1/6/2038 11 0.02 $100,000 Commonwealth of Puerto Rico 8% Bonds 1/7/2035 37 0.05 $25,000 Concho Resources 4.375% Bonds 15/1/2025 19 0.03 $20,000 Connecticut State Health & Educational Facilities

Authority 5% Bonds 1/7/2045 16 0.02 $20,000 Connecticut State Health & Educational Facilities

Authority 5% Bonds 1/7/2045 17 0.02 $15,466 Conseco Fund 8.06% 1/9/2029 5 0.01 $120,000 Continental Resources 4.5% Bonds 15/4/2023 92 0.13 $10,000 Contra Costa Community College District 6.504% Bonds

1/8/2034 10 0.01 $93,169 Countrywide 6.5% Bonds 25/6/2036 52 0.07 $40,000 County of Clark 5% Bonds 1/6/2043 34 0.05 $20,000 County of King WA Sewer Revenue 5% Bonds 1/7/2047 17 0.02 $5,000 County of Miami–Dade 3.354% Bonds 1/10/2029 4 0.01 $10,000 County of Miami–Dade 3.454% Bonds 1/10/2030 7 0.01 $10,000 County of Miami–Dade 3.504% Bonds 1/10/2031 7 0.01

$157,000 Centennial Resource Production 5.375% Bonds 15/1/2026 112 0.16 $65,000 CenterPoint Energy 3.85% Bonds 1/2/2024 49 0.07 $20,000 Central Puget Sound Regional Transit Authority 5% Bonds

1/11/2050 17 0.03 $10,000 Central Texas Regional Mobility Authority 5% Bonds

1/1/2045 8 0.01 $10,000 Central Texas Regional Mobility Authority 5% Bonds

1/1/2046 8 0.01 $35,000 Charter Communications 5.75% Bonds 1/4/2048 26 0.04 $72,000 Charter Communications Operating 4.908% Bonds

23/7/2025 56 0.08 $190,000 Charter Communications Operating 5.05% Bonds

30/3/2029 146 0.21 $60,000 Charter Communications Operating 6.384% Bonds

23/10/2035 48 0.07 $100,000 Cheniere Corpus Christi 7% Bonds 30/6/2024 83 0.12 $8,000 Cheniere Corpus Christi s 5.125% Bonds 30/6/2027 6 0.01 $9,000 Cheniere Corpus Christi s 5.875% Bonds 31/3/2025 7 0.01 $43,022 Cheniere Energy 4.875% Bonds 28/5/2021 33 0.05 $10,000 Chesapeake Bay Bridge & Tunnel District 5% Bonds

1/7/2041 8 0.01 $10,000 Chesapeake Bay Bridge & Tunnel District 5% Bonds

1/7/2051 8 0.01 $29,000 Chesapeake Energy 6.625% Guaranteed Bonds

15/8/2020 22 0.03 $41,000 CHRISTUS Health 4.341% Bonds 1/7/2028 32 0.05 $25,000 Cigna 3.75% Bonds 15/7/2023 19 0.03 $25,000 Cigna 4.125% Bonds 15/11/2025 19 0.03 $10,000 Cimarex Energy 3.9% Bonds 15/5/2027 7 0.01 $35,000 Cimarex Energy 4.375% Bonds 1/6/2024 27 0.04 $250,000 Citibank 3.65% Bonds 23/1/2024 191 0.27 $40,000 Citigroup 2.75% Bonds 25/4/2022 30 0.04 $35,000 Citigroup 3.2% Bonds 21/10/2026 25 0.04 $126,000 Citigroup 4.075% Bonds 23/4/2029 96 0.14 $20,000 Citigroup 6.125% Perpetual Bonds 15 0.02 $10,000 Citigroup 6.25% Perpetual Bonds 8 0.01 $40,000 City & County of Denver 5% Bonds 1/8/2044 34 0.05 $10,000 City of Atlanta GA Water & Wastewater Revenue 5%

Bonds 1/11/2040 8 0.01 $20,000 City of Atlanta GA Water & Wastewater Revenue 5%

Bonds 1/11/2041 17 0.03 $40,000 City of Aurora CO Water Revenue 5% Bonds 1/8/2041 34 0.05 $50,000 City of Aurora CO Water Revenue 5% Bonds 1/8/2046 42 0.06 $20,000 City of Austin TX Water & Wastewater System Revenue 5%

Bonds 15/11/2043 17 0.03





$30,000 DowDuPont 5.419% Bonds 15/11/2048 24 0.03 $30,000 DTE Energy 3.7% Bonds 1/8/2023 23 0.03 $10,000 DuBois Hospital Authority 5% Bonds 15/7/2043 8 0.01 $10,000 Duke Energy 6.4% Guaranteed Bonds 15/6/2038 10 0.01 $10,000 Duke Energy Progress 4.2% Bonds 15/8/2045 8 0.01 $47,000 Duke University 3.299% Bonds 1/10/2046 32 0.05 $25,000 Dutchess County Local Development 5% Bonds 1/7/2046 21 0.03 $9,000 Dynegy 5.875% Bonds 1/6/2023 7 0.01 $10,000 Dynegy 7.625% Bonds 1/11/2024 8 0.01 $13,000 Ecopetrol 5.875% Bonds 28/5/2045 10 0.01 $42,000 Eli Lilly & 3.95% Bonds 15/3/2049 31 0.04 $39,000 Eli Lilly 4.15% Bonds 15/3/2059 29 0.04 $28,000 Enbridge 4% Senior Notes 1/10/2023 21 0.03 $181,000 Energen 4.625% Bonds 1/9/2021 137 0.19 $11,000 Energy Transfer Equity 7.5% Bonds 15/10/2020 9 0.01 $21,000 Energy Transfer Operating LP 4.5% Bonds 15/4/2024 16 0.02 $140,000 Energy Transfer Operating LP 5.25% Bonds 15/4/2029 110 0.16 $80,000 Energy Transfer Partners 6.5% Guaranteed Senior Bonds

1/2/2042 65 0.09 $50,000 EnLink Midstream Partners 6% Perpetual Bonds 31 0.04 $10,000 Entergy Louisiana 4.2% Bonds 1/9/2048 8 0.01 $20,000 Enterprise Products 3.35% Bonds 15/3/2023 15 0.02 $40,000 Enterprise Products Operating 3.75% Bonds 15/2/2025 30 0.04 $103,000 Enterprise Products Operating 3.9% Bonds 15/2/2024 79 0.11 $80,000 Enterprise Products Operating 4.15% Bonds 16/10/2028 62 0.09 $50,000 Enterprise Products Operating 4.8% Bonds 1/2/2049 38 0.05 $29,000 EOG Resources 4.15% Bonds 15/1/2026 23 0.03 $2,000 Equinix 5.375% Bonds 1/4/2023 2 0.00 $10,000 Exelon 5.1% Bonds 15/6/2045 8 0.01 $10,000 FedEx 3.4% Bonds 14/1/2022 8 0.01 $25,000 FedEx 4.4% Bonds 15/1/2047 17 0.02 $108,000 FedEx 4.95% Bonds 17/10/2048 81 0.11 $35,000 Fifth Third Bancorp 3.65% Bonds 25/1/2024 27 0.04 $93,000 First Data 5% Bonds 15/1/2024 72 0.10 $10,000 First Data 5.375% Bonds 15/8/2023 8 0.01 $45,000 Fiserv 3.8% Bonds 1/10/2023 34 0.05 $10,000 Fiserv 4.2% Bonds 1/10/2028 7 0.01 $47,000 Five Point Operating Five Point Capital 7.88% Bonds

15/11/2025 34 0.05 $20,000 Florida Power & Light 3.99% Bonds 1/3/2049 15 0.02 $10,000 Florida Power & Light 5.69% Bonds 1/3/2040 9 0.01 $15,000 Fox 3.666% Bonds 25/1/2022 11 0.02 $20,000 Fox 4.03% Bonds 25/1/2024 15 0.02 $10,000 GE Capital 3.15% Senior Notes 7/9/2022 7 0.01 $35,000 General Motors 5% Bonds 1/10/2028 26 0.04 $60,000 General Motors Financial 3.15% Bonds 30/6/2022 44 0.06

$25,000 County of Miami–Dade Aviation Revenue 2.504% Bonds 1/10/2024 18 0.03

$20,000 County of Miami–Dade FL Aviation Revenue 4.062% Bonds 1/10/2031 15 0.02

$25,000 County of Miami–Dade FL Aviation Revenue 5% Bonds 1/10/2038 21 0.03

$20,000 County of Miami–Dade FL Aviation Revenue 5% Bonds 1/10/2040 17 0.02

$10,000 County of Wake NC 5% Bonds 1/3/2020 8 0.01 $20,000 County of Wake NC 5% Bonds 1/3/2021 16 0.02 $20,000 County of Wake NC 5% Bonds 1/3/2022 17 0.02 $20,000 County of Wake NC 5% Bonds 1/3/2023 17 0.02 $25,000 Cox Communications 3.25% Senior Notes 15/12/2022 19 0.03 $5,000 Cox Communications 3.5% Bonds 15/8/2027 4 0.01 $20,000 Cox Communications 4.6% Bonds 15/8/2047 14 0.02 $92,327 Credit Suisse 4.5% Mortgage Capital Certificates 25/3/2021 70 0.10 $16,000 Crown Castle 3.7% Senior Notes 15/6/2026 12 0.02 $80,000 Crown Castle International 3.65% Bonds 1/9/2027 58 0.08 $27,000 CrownRock Finance 5.625% Bonds 15/10/2025 20 0.03 $200,000 CSC 10.875% Bonds 15/10/2025 174 0.25 $10,000 CSX 4.25% Bonds 15/3/2029 8 0.01 $30,000 CVS Health 3.5% Bonds 20/7/2022 23 0.03 $40,000 CVS Health 3.7% Bonds 9/3/2023 30 0.04 $65,000 CVS Health 4.1% Bonds 25/3/2025 50 0.07 $105,000 CVS Health 4.3% Bonds 25/3/2028 79 0.11 $150,000 Daimler Finance North America 3.4% Bonds 22/2/2022 113 0.16 $20,000 Dallas Area Rapid Transit 5% Bonds 1/12/2041 17 0.02 $20,000 Dallas Area Rapid Transit 5% Bonds 1/12/2046 17 0.02 $5,000 Danaher 3.35% Bonds 15/9/2025 4 0.01 $20,000 DaVita 5.75% Bonds 15/8/2022 15 0.02 $26,000 Delta Airlines 2.875% Guaranteed Senior Notes 13/3/2020 19 0.03 $51,000 Delta Airlines 3.625% Bonds 15/3/2022 38 0.05 $50,000 Denver 5% Bonds 1/8/2048 42 0.06 $110,000 Deutsche Bank 2.7% Bonds 13/7/2020 81 0.11 $20,000 Diamond 1 Finance 4.42% Bonds 15/6/2021 15 0.02 $24,000 Diamond 1 Finance 8.35% Bonds 15/7/2046 21 0.03 $3,000 Diamondback Energy 4.75% Bonds 1/11/2024 2 0.00 $19,000 Diamondback Energy 5.375% Bonds 31/5/2025 15 0.02 $58,000 Dignity Health 2.637% Bonds 1/11/2019 44 0.06 $15,000 Discover Financial Services 4.1% Bonds 9/2/2027 11 0.02 $31,000 Discovery Communications 2.95% Bonds 20/3/2023 23 0.03 $60,000 Discovery Communications 5.2% Bonds 20/9/2047 43 0.06 $25,000 Dow Chemical Co 5.55% Bonds 30/11/2048 20 0.03 $30,000 DowDuPont 3.766% Bonds 15/11/2020 23 0.03 $40,000 DowDuPont 4.205% Bonds 15/11/2023 31 0.04 $25,000 DowDuPont 4.493% Bonds 15/11/2025 20 0.03





$10,000 Indiana Housing & Community Development Authority 3.8% Bonds 1/7/2038 8 0.01

$21,000 Intelsat Connect Finance 9.5% Bonds 15/2/2023 15 0.02 $10,000 Intercontinental Exchange 3.75% Bonds 21/9/2028 8 0.01 $25,000 Intercontinental Exchange 4.25% Bonds 21/9/2048 19 0.03 $45,000 Interpublic of Cos Inc 4.65% Bonds 1/10/2028 34 0.05 $10,000 Iron Mountain US 5.375% Bonds 1/6/2026 7 0.01 $35,000 Jagged Peak Energy 5.875% Bonds 1/5/2026 27 0.04 $40,000 JobsOhio Beverage System 3.985% Bonds 1/1/2029 31 0.04 $10,000 Johnson & Johnson 3.5% Bonds 15/1/2048 7 0.01 $32,000 JP Morgan Chase 3.2% Bonds 15/6/2026 23 0.03 $40,000 JP Morgan Chase 3.25% Senior Notes 23/9/2022 30 0.04 $310,000 JP Morgan Chase 3.559% Bonds 23/4/2024 234 0.33 $105,000 JP Morgan Chase 3.782% Bonds 1/2/2028 79 0.11 $10,000 JP Morgan Chase 3.797% Bonds 23/7/2024 8 0.01 $140,000 JP Morgan Chase 4.01% Bonds 23/4/2029 106 0.15 $265,000 JP Morgan Chase 4.203% Bonds 23/7/2029 204 0.29 $151,000 JP Morgan Chase 4.452% Bonds 5/12/2029 119 0.17 $30,000 JP Morgan Chase 4.5% Senior Bonds 24/1/2022 23 0.03 $10,000 JP Morgan Chase 5.4% Bonds 6/1/2042 9 0.01 $55,000 Kaiser Aluminum 5.875% Bonds 15/5/2024 42 0.06 $56,000 Kaiser Foundation Hospitals 3.5% Bonds 1/4/2022 43 0.06 $6,000 Kaiser Foundation Hospitals 4.15% Bonds 1/5/2047 5 0.01 $10,000 Kentucky Economic Development Finance Authority 5.25%

Bonds 1/6/2050 8 0.01 $10,000 Kentucky Turnpike Authority 5% Bonds 1/7/2020 8 0.01 $45,000 Keurig Dr Pepper 4.057% Bonds 25/5/2023 34 0.05 $48,000 KFC 5% Bonds 1/6/2024 36 0.05 $25,000 Kinder Morgan 4.3% Bonds 1/3/2028 19 0.03 $50,000 Kinder Morgan 4.3% Bonds 1/6/2025 38 0.05 $40,000 Kinder Morgan 5.55% Bonds 1/6/2045 32 0.05 $20,000 Kinder Morgan Energy Partners 3.5% Bonds 1/3/2021 15 0.02 $10,000 Kinder Morgan Energy Partners 5.8% Bonds 1/3/2021 8 0.01 $30,000 Kroger 4.5% Bonds 15/1/2029 23 0.03 $30,000 L3 Technologies 3.85% Bonds 15/12/2026 22 0.03 $23,000 Lam Research 3.75% Bonds 15/3/2026 17 0.02 $15,000 Lam Research 4% Bonds 15/3/2029 11 0.02 $5,000 Lam Research 4.875% Bonds 15/3/2049 4 0.01 $7,000 Largo Resources 9.25% Bonds 1/6/2021 6 0.01 $10,000 Las Vegas Valley Water District 5% Bonds 1/6/2046 8 0.01 $100,000 Lehman Brothers Escrow 6.5% Bonds 19/7/2017# 0 0.00 $130,000 Lennar 4.75% Bonds 15/11/2022 100 0.14 $10,000 Lexington County Health Services District 5% Bonds

1/11/2041 8 0.01 $16,000 Lockheed Martin 3.55% Bonds 15/1/2026 12 0.02 $50,000 Lockheed Martin 3.6% Bonds 1/3/2035 36 0.05

$30,000 General Motors Financial 3.55% Bonds 9/4/2021 23 0.03 $8,000 General Motors Financial 4% Bonds 6/10/2026 6 0.01 $40,000 General Motors Financial 4.2% Bonds 6/11/2021 30 0.04 $70,000 General Motors Financial 5.1% Bonds 17/1/2024 54 0.08 $55,000 General Motors Financial 5.25% Bonds 1/3/2026 42 0.06 $15,000 General Motors Financial 5.65% Bonds 17/1/2029 11 0.02 $103,000 Genneia 8.75% Bonds 20/1/2022 72 0.10 $61,000 George Washington 4.126% 15/9/2048 46 0.07 $20,000 Gilead Sciences 3.5% Bonds 1/2/2025 15 0.02 $75,000 Gilead Sciences 3.65% Bonds 1/3/2026 56 0.08 $65,000 Gilead Sciences 4% Bonds 1/9/2036 45 0.06 $20,000 Gilead Sciences 4.8% Senior Notes 1/4/2044 15 0.02 $5,000 GLP Capital 4.375% Bonds 15/4/2021 4 0.01 $90,000 GLP Capital 5.375% Bonds 1/11/2023 70 0.10 $30,000 GLP Financing 5.25% Bonds 1/6/2025 23 0.03 $49,000 Gol Finance 7% Bonds 31/1/2025 35 0.05 $20,000 Goldman Sachs 2.908% Bonds 5/6/2023 15 0.02 $140,000 Goldman Sachs 3.5% Bonds 16/11/2026 101 0.14 $30,000 Goldman Sachs 3.85% Bonds 26/1/2027 22 0.03 $50,000 Goldman Sachs 4.22% Bonds 1/5/2029 38 0.05 $60,000 Grand Parkway Transportation 5% Bonds 1/10/2043 51 0.07 $10,000 Grant County Public Utility District No 2 4.584% Bonds

1/1/2040 8 0.01 $15,000 Great Lakes Water Authority Water Supply System Revenue

5.25% Bonds 1/7/2033 13 0.02 $10,000 Halliburton 3.8% Bonds 15/11/2025 8 0.01 $60,000 Halliburton 5% Bonds 15/11/2045 46 0.07 $130,000 Harris 4.4% Bonds 15/6/2028 101 0.14 $95,000 HCA 5% Bonds 15/3/2024 74 0.10 $31,000 HCA 5.25% Senior Notes 15/4/2025 25 0.04 $10,000 HCA 5.875% Bonds 1/2/2029 8 0.01 $5,000 HCA 6.25% Bonds 15/2/2021 4 0.01 $92,000 HCA 6.5% Bonds 15/2/2020 71 0.10 $60,000 Health & Educational Facilities Authority of the State of

Missouri 3.086% Bonds 15/9/2051 38 0.05 $15,000 Health & Educational Facilities Authority of the State of

Missouri 3.651% Bonds 15/1/2046 11 0.02 $10,000 Health & Educational Facilities Authority of the State of

Missouri 5% Bonds 15/11/2029 9 0.01 $12,000 Herc Rentals 7.75% Bonds 1/6/2024 10 0.01 $5,000 Home Depot 4.875% Senior Notes 15/2/2044 4 0.01 $17,000 Huntsman International 4.5% Bonds 1/5/2029 13 0.02 $24,000 Huntsman International 5.125% Bonds 15/11/2022 19 0.03 $10,000 Idaho Health Facilities Authority 5% Bonds 1/12/2047 8 0.01 $40,000 Indiana Finance Authority 5% Bonds 1/10/2045 33 0.05 $20,000 Indiana Finance Authority 5% Bonds 1/2/2035 18 0.03





$10,000 Massachusetts Water Resources Authority 5% Bonds 1/8/2040 9 0.01

$40,000 McDonald’s 2.625% Medium Term Notes 15/1/2022 30 0.04 $40,000 McDonald’s 3.35% Bonds 1/4/2023 30 0.04 $45,000 McDonald’s 3.7% Medium Term Notes 30/1/2026 34 0.05 $20,000 McDonald’s 3.8% Bonds 1/4/2028 15 0.02 $44,000 McDonald’s 4.875% Medium Term Notes 9/12/2045 34 0.05 $151,719 MCM Capital 4% Bonds 25/10/2028 113 0.16 $33,000 Meritor 6.25% Bonds 15/2/2024 25 0.04 $20,000 Mesquite Independent School District 5% Bonds 15/8/2042 17 0.02 $20,000 Metropolitan Atlanta Rapid Transit Authority 5% Bonds

1/7/2045 17 0.02 $10,000 Metropolitan Government Nashville & Davidson County

Health & Educational Facs Bd 5% Bonds 1/7/2040 8 0.01 $30,000 Metropolitan St Louis Sewer District 5% Bonds 1/5/2042 26 0.04 $30,000 Metropolitan St Louis Sewer District 5% Bonds 1/5/2047 26 0.04 $20,000 Metropolitan Transportation Authority 5% Bonds

15/11/2042 17 0.02 $10,000 Metropolitan Transportation Authority 5% Bonds

15/11/2045 8 0.01 $15,000 Metropolitan Transportation Authority 6.687% Bonds

15/11/2040 15 0.02 $30,000 Metropolitan Washington Airports Authority 5% Bonds

1/10/2032 26 0.04 $15,000 Metropolitan Washington Airports Authority Dulles Toll

Road Revenue 7.462% Bonds 1/10/2046 16 0.02 $26,000 MGM Growth Properties 5.625% Bonds 1/5/2024 20 0.03 $20,000 Miami–Dade County Educational Facilities Authority 5%

Bonds 1/4/2048 17 0.02 $10,000 Michigan Finance Authority 5% Bonds 15/11/2041 8 0.01 $10,000 Michigan State Housing Development Authority 3.55%

Bonds 1/10/2033 8 0.01 $10,000 Michigan State Housing Development Authority 4%

Bonds 1/10/2043 8 0.01 $10,000 Michigan State Housing Development Authority 4.05%

Bonds 1/10/2048 8 0.01 $30,000 Michigan State Housing Development Authority 4.15%

Bonds 1/10/2053 23 0.03 $9,000 Micron Technology 4.64% Bonds 6/2/2024 7 0.01 $50,000 Micron Technology 5.327% Bonds 6/2/2029 38 0.05 $25,000 Microsoft 2.875% Bonds 6/2/2024 19 0.03 $10,000 Microsoft 3.95% Bonds 8/8/2056 7 0.01 $75,000 Microsoft 4.25% Bonds 6/2/2047 60 0.08 $60,000 Microsoft 4.5% Bonds 6/2/2057 49 0.07 $32,000 Mid–America Apartments 3.95% Bonds 15/3/2029 24 0.03 $15,000 MidAmerican Energy 4.25% Bonds 15/7/2049 12 0.02

$70,000 Lockheed Martin 4.09% Bonds 15/9/2052 51 0.07 $15,000 Los Angeles Community College District 6.6% Bonds

1/8/2042 16 0.02 $35,000 Los Angeles Department of Water & Power 6.603% Bonds

1/7/2050 38 0.05 $10,000 Louisiana Public Facilities Authority 5% Bonds 1/7/2048 8 0.01 $10,000 Louisville & Jefferson County Metropolitan Sewer District

5% Bonds 15/5/2025 9 0.01 $10,000 Marathon Oil 3.85% Bonds 1/6/2025 7 0.01 $10,000 Marathon Petroleum 4.75% Bonds 15/12/2023 8 0.01 $10,000 Marsh & McLennan 3.5% Bonds 29/12/2020 8 0.01 $25,000 Marsh & McLennan 4.9% Bonds 15/3/2049 20 0.03 $45,000 Marsh & McLennan Cos 3.3% Bonds 14/3/2023 34 0.05 $15,000 Marsh & McLennan Cos 3.875% Bonds 15/3/2024 12 0.02 $50,000 Marsh & McLennan Cos 4.375% Bonds 15/3/2029 39 0.06 $20,000 Maryland Community Development Administration 3.85%

Bonds 1/9/2033 15 0.02 $20,000 Maryland Stadium Authority 5% Bonds 1/5/2041 17 0.02 $34,000 Masonite International 5.625% Bonds 15/3/2023 26 0.04 $10,000 Massachusetts Bay Transportation Authority 5% Bonds

1/7/2039 9 0.01 $10,000 Massachusetts Bay Transportation Authority 5% Bonds




1/7/2043 9 0.01 $30,000 Massachusetts Development Finance Agency 5% Bonds





1/7/2053 25 0.04 $10,000 Massachusetts Housing Finance Agency 4.5% Bonds



1/12/2044 4 0.01 $20,000 Massachusetts Port Authority 5% Bonds 1/7/2043 17 0.02





$20,000 New York City Water & Sewer System 5.44% Bonds 15/6/2043 18 0.03

$20,000 New York City Water & Sewer System 5.75% Bonds 15/6/2041 19 0.03

$10,000 New York Convention Center Development 5% Bonds 15/11/2040 8 0.01

$20,000 New York Convention Center Development 5% Bonds 15/11/2046 17 0.02

$20,000 New York State Dormitory Authority 5% Bonds 15/2/2036 17 0.02 $10,000 New York State Dormitory Authority 5% Bonds 15/2/2037 9 0.01 $10,000 New York State Dormitory Authority 5% Bonds 15/2/2038 9 0.01 $10,000 New York State Dormitory Authority 5% Bonds 15/2/2039 9 0.01 $10,000 New York State Dormitory Authority 5% Bonds 15/2/2040 9 0.01 $20,000 New York State Dormitory Authority 5% Bonds 15/2/2041 17 0.02 $30,000 New York State Dormitory Authority 5% Bonds 15/2/2042 26 0.04 $30,000 New York State Dormitory Authority 5% Bonds 15/3/2039 26 0.04 $20,000 New York State Dormitory Authority 5% Bonds 15/3/2041 17 0.02 $20,000 New York State Dormitory Authority 5% Bonds 15/3/2042 17 0.02 $10,000 New York State Dormitory Authority 5% Bonds 15/3/2043 8 0.01 $20,000 New York State Dormitory Authority 5% Bonds 15/3/2043 17 0.02 $30,000 New York State Urban Development 2.86% Bonds

15/3/2024 22 0.03 $30,000 New York State Urban Development 3.12% Bonds

15/3/2025 22 0.03 $50,000 New York State Urban Development 3.32% Bonds

15/3/2029 37 0.05 $10,000 New York Transportation Development 5% Bonds 1/7/2046 8 0.01 $45,000 NextEra Energy Capital 3.34% Bonds 1/9/2020 34 0.05 $30,000 NextEra Energy Capital 3.55% Bonds 1/5/2027 22 0.03 $85,000 NGPL Pipe 7.768% Bonds 15/12/2037 76 0.11 $29,000 Nielsen Finance 5% Bonds 15/4/2022 22 0.03 $10,000 North Carolina Turnpike Authority 5% Bonds 1/1/2035 9 0.01 $7,000 Northern States Power 3.6% Bonds 15/5/2046 5 0.01 $60,000 Northrop Grumman 2.93% Bonds 15/1/2025 44 0.06 $116,000 NOVA Chemicals 5.25% Bonds 1/8/2023 87 0.12 $12,000 NVIDIA 3.2% Bonds 16/9/2026 9 0.01 $25,000 NXP BV/NX Funding 4.875% Bonds 1/3/2024 19 0.03 $200,000 NXP Funding 4.125% Bonds 1/6/2021 151 0.21 $19,000 Ochsner Clinic Foundation 5.897% Bonds 15/5/2045 17 0.02 $31,000 Odebrecht Drilling Norbe VIII/IX 6.35% Bonds 1/12/2021 22 0.03 $20,717 Odebrecht Offshore Drilling Finance 6.72% Bonds

1/12/2022 15 0.02 $10,000 Ohio Power 6.6% Bonds 15/2/2033 9 0.01 $30,000 Ohio Turnpike & Infrastructure Commission 5% Bonds

15/2/2048 24 0.03

$10,000 Mississippi Hospital Equipment & Facilities Authority 5% Bonds 1/9/2046 8 0.01

$55,000 Mitsubishi UFJ Financial 3.741% Bonds 7/3/2029 42 0.06 $105,000 Mitsubishi UFJ Financial 3.761% Bonds 26/7/2023 80 0.11 $47,000 Montefiore Obligated 5.246% Bonds 1/11/2048 35 0.05 $40,000 Morgan Stanley 2.75% Bonds 19/5/2022 30 0.04 $20,000 Morgan Stanley 3.125% Bonds 23/1/2023 15 0.02 $285,000 Morgan Stanley 3.737% Bonds 24/4/2024 216 0.31 $260,000 Morgan Stanley 3.772% Bonds 24/1/2029 192 0.27 $245,000 Morgan Stanley 4.431% Bonds 23/1/2030 190 0.27 $20,000 Morgan Stanley 5.55% Perpetual Bonds 15 0.02 $94 Morgan Stanley 7.125% Perpetual Bonds 2 0.00 $20,000 Morgan Stanley Capital Trust 2018–H3 4.18% Bonds

15/7/2051 16 0.02 $35,000 MPLX 4% Bonds 15/2/2025 26 0.04 $20,000 National Retail Properties 4.3% Bonds 15/10/2028 15 0.02 $55,000 National Retail Properties 4.8% Bonds 15/10/2048 41 0.06 $20,000 NBCUniversal Media 4.45% Bonds 15/1/2043 15 0.02 $14,000 NCR 5% Bonds 15/7/2022 10 0.01 $20,000 New Hope Cultural Education Facilities Finance 5% Bonds

15/8/2047 17 0.02 $10,000 New Jersey Transportation Trust Fund Authority 5% Bonds

15/6/2029 8 0.01 $55,000 New Jersey Transportation Trust Fund Authority 6.104%

Bonds 15/12/2028 43 0.06 $20,000 New Orleans Aviation 5% Municipal Bonds 1/1/2040 16 0.02 $10,000 New York City Housing Development 3.7% Bonds

1/11/2038 8 0.01 $40,000 New York City Housing Development 3.85% Bonds

1/11/2043 30 0.04 $40,000 New York City Housing Development 4% Bonds 1/11/2053 30 0.04 $10,000 New York City Transitional Finance Authority Building Aid

Revenue 5% Bonds 15/7/2040 8 0.01 $45,000 New York City Transitional Finance Authority Future Tax

Secured Revenue 3.05% Bonds 1/5/2027 33 0.05 $65,000 New York City Transitional Finance Authority Future Tax

Secured Revenue 3.55% Bonds 1/5/2025 49 0.07 $10,000 New York City Transitional Finance Authority Future Tax

Secured Revenue 5% Bonds 1/2/2035 9 0.01 $10,000 New York City Transitional Finance Authority Future Tax

Secured Revenue 5% Bonds 1/5/2036 9 0.01 $50,000 New York City Water & Sewer System 5% Bonds

15/6/2039 43 0.06 $60,000 New York City Water & Sewer System 5% Bonds

15/6/2047 51 0.07





$10,000 Public Power Generation Agency 5% Bonds 1/1/2035 8 0.01 $34,000 Pulte 5.5% Bonds 1/3/2026 26 0.04 $56,000 Pulte 7.875% Bonds 15/6/2032 45 0.06 $15,000 QUALCOMM 4.8% Bonds 20/5/2045 11 0.02 $180,000 Quicken Loans 5.75% Bonds 1/5/2025 133 0.19 $20,000 Regents of the University of California Medical Center

Pooled Revenue 5% Bonds 15/5/2047 17 0.03 $40,000 Regents of the University of California Medical Center

Pooled Revenue 6.583% Bonds 15/5/2049 40 0.06 $9,000 Republic Services 2.9% Bonds 1/7/2026 6 0.01 $12,000 Resolute Energy 8.5% Bonds 1/5/2020 9 0.01 $73,652 Reynolds 5.75% Bonds 15/10/2020 55 0.08 $195,000 Reynolds American 4.45% Bonds 12/6/2025 148 0.21 $13,000 Rockies Express Pipeline 5.625% Bonds 15/4/2020 10 0.01 $17,000 Rockwell Automation 3.5% Bonds 1/3/2029 13 0.02 $10,000 Royal Oak Hospital Finance Authority 5% Bonds 1/9/2039 8 0.01 $25,000 Ryder System 3.65% Medium Term Notes 18/3/2024 19 0.03 $21,000 Sabine Pass Liquefaction 5.625% Bonds 1/3/2025 17 0.03 $110,000 Sabine Pass Liquefaction 5.75% Bonds 15/5/2024 89 0.13 $60,000 Sabine Pass Liquefaction 5.875% Bonds 30/6/2026 49 0.07 $90,000 Sable Permian Resources Land / AEPB Finance 13%

Bonds 30/11/2020 70 0.10 $28,000 Sabre GLBL 5.25% Bonds 15/11/2023 22 0.03 $30,000 Sabre GLBL 5.375% Bonds 15/4/2023 23 0.03 $35,000 Salt Lake City Airport Revenue 5% Bonds 1/7/2047 29 0.04 $25,000 Salt Lake City Airport Revenue 5% Bonds 1/7/2047 21 0.03 $20,000 Salt River Project Agricultural Improvement & Power

District 5% Bonds 1/1/2036 18 0.03 $40,000 San Antonio Water System 5% Bonds 15/5/2039 33 0.05 $20,000 San Diego County Regional Airport Authority 5% Bonds

1/7/2047 17 0.03 $25,000 San Diego Public Facilities Financing Authority Sewer

Revenue 5% Bonds 15/5/2039 22 0.03 $50,000 San Francisco City & County Airport Comm–San Francisco

International Airport 5% Bonds 1/5/2046 41 0.06 $70,000 San Jose Redevelopment Agency Successor Agency

2.958% Bonds 1/8/2024 52 0.07 $55,000 San Jose Redevelopment Agency Successor Agency

3.125% Bonds 1/8/2028 40 0.06 $45,000 San Jose Redevelopment Agency Successor Agency

3.25% Bonds 1/8/2029 33 0.05 $200,000 Saudi Government International Bond 4.375% Bonds

16/4/2029 153 0.22 $32,000 Schlumberger 3.75% Bonds 1/5/2024 24 0.03 $6,000 SEACOR 3.25% Bonds 15/5/2030 4 0.01

$4,000 Oncor Electric Delivery 5.3% Guaranteed Senior Bonds 1/6/2042 3 0.01

$40,000 Oracle 2.5% Bonds 15/5/2022 30 0.04 $10,000 Oracle 2.65% Bonds 15/7/2026 7 0.01 $45,000 Oracle 2.95% Bonds 15/11/2024 33 0.05 $20,000 Oracle 5.375% Guaranteed Senior Bonds 15/7/2040 17 0.03 $20,000 Oracle 6.125% Bonds 8/7/2039 19 0.03 $40,000 Orange County Local Transportation Authority 6.908%

Bonds 15/2/2041 40 0.06 $40,000 Oregon School Boards Association 4.759% Bonds 30/6/2028 32 0.05 $20,000 Oregon School Boards Association 5.49% Bonds 30/6/2023 17 0.03 $2,000 Outfront Media Capital 5.625% Bonds 15/2/2024 2 0.00 $5,000 Pacific Drilling 8.375% Bonds 1/10/2023 4 0.01 $30,000 PacifiCorp 3.5% Bonds 15/6/2029 23 0.03 $15,000 PacifiCorp 4.125% Bonds 15/1/2049 11 0.02 $30,000 PacifiCorp 4.15% Bonds 15/2/2050 22 0.03 $10,000 PacifiCorp 6% Bonds 15/1/2039 9 0.01 $100,000 Parsley Energy 5.375% Bonds 15/1/2025 75 0.11 $12,000 Parsley Energy 6.25% Bonds 1/6/2024 9 0.01 $8,000 Partners Healthcare System 3.443% Bonds 1/7/2021 6 0.01 $20,000 Peacehealth 4.787% Bonds 15/11/2048 16 0.02 $10,000 Pennsylvania Economic Development Financing Authority

5% Bonds 31/12/2038 8 0.01 $40,000 Pennsylvania Turnpike Commission 5% Bonds 1/12/2043 34 0.05 $55,000 Pepperdine University 3.948% Bonds 1/12/2057 40 0.06 $4,000 Petrobras Argentina 7.375% Bonds 21/7/2023 3 0.01 $13,000 Petrobras Global Finance 5.999% Bonds 27/1/2028 10 0.01 $14,000 Petrobras Global Finance 6.125% Bonds 17/1/2022 11 0.02 $25,000 Petrobras Global Finance 7.25% Bonds 17/3/2044 20 0.03 $69,000 Petrobras Global Finance 7.375% Bonds 17/1/2027 57 0.08 $4,000 Petrobras Global Finance 8.75% Bonds 23/5/2026 4 0.01 $114,000 Petroleos Mexicanos 5.625% Bonds 23/1/2046 68 0.10 $28,000 Petroleos Mexicanos 6.375% Bond 4/2/2021 22 0.03 $14,000 Petroleos Mexicanos 6.75% Guaranteed Senior European

Medium Term Notes 21/9/2047 9 0.01 $84,000 Petroleos Mexicanos 6.875% Bonds 4/8/2026 63 0.09 $10,000 Plains All American Pipeline 3.65% Senior Bonds 1/6/2022 7 0.01 $30,000 Port Authority of New York & New Jersey 4.458% Bonds

1/10/2062 24 0.03 $10,000 Port Authority of New York & New Jersey 5% Bonds

15/11/2047 8 0.01 $10,000 Port of Seattle WA 5% Bonds 1/5/2043 8 0.01 $68,000 Post 5.5% Bonds 1/3/2025 51 0.07 $39,000 Providence St Joseph Health Obligated 3.93% Bonds

1/10/2048 28 0.04 $39,000 PTL Finance 3.65% Bonds 29/7/2021 29 0.04





$55,000 State Street 3.776% Bonds 3/12/2024 42 0.06 $2,000 Steel Dynamics 4.125% Bonds 15/9/2025 1 0.00 $75,000 Steel Dynamics 5% Bonds 15/12/2026 58 0.08 $10,000 Steel Dynamics 5.125% Bonds 1/10/2021 8 0.01 $49,000 Steel Dynamics 5.5% Bonds 1/10/2024 38 0.05 $10,000 Summit Materials 6.125% Bonds 15/7/2023 8 0.01 $15,000 Suncor Energy 4% Bonds 15/11/2047 11 0.02 $79,000 Sunoco 4.875% Bonds 15/1/2023 60 0.08 $53,000 Sunoco 5.875% Bonds 15/3/2028 39 0.06 $14,000 Sunoco Logistics Partners Operations 4.25% Guaranteed

Bonds 1/4/2024 11 0.02 $20,000 SunTrust Bank 3.689% Bonds 2/8/2024 15 0.02 $127,000 Sutter Health 3.695% Bonds 15/8/2028 96 0.14 $345,000 Suzano Austria 6% Bonds 15/1/2029 274 0.39 $41,000 Talen Energy Supply 10.5% Bonds 15/1/2026 32 0.05 $67,000 Talen Energy Supply 6.5% Bonds 1/6/2025 45 0.06 $67,000 Talen Energy Supply 9.5% Bonds 15/7/2022 54 0.08 $10,000 Tampa Electric 2.6% Bonds 15/9/2022 7 0.01 $10,000 Tampa Electric 4.45% Bonds 15/6/2049 7 0.01 $1,000 Targa Resources Partners LP / Targa Resources Partners

Finance 6.75% Bonds 15/3/2024 1 0.00 $15,000 Telecom Italia Capital 6.375% Bonds 15/11/2033 10 0.02 $52,000 Tenet Healthcare 6% Bonds 1/10/2020 40 0.06 $10,000 Tennessee Housing Development Agency 3.75% Bonds

1/7/2038 8 0.01 $10,000 Tennessee Housing Development Agency 3.85% Bonds

1/7/2043 7 0.01 $5,000 Tennessee Housing Development Agency 3.95% Bonds

1/1/2049 4 0.01 $25,000 Texas A&M University 2.836% Bonds 15/5/2027 18 0.03 $10,000 Texas Municipal Gas Acquisition & Supply I 6.25% Bonds

15/12/2026 9 0.01 $10,000 Texas Private Activity Bond Surface Transportation 5%

Bonds 31/12/2055 8 0.01 $30,000 Texas Water Development Board 5% Bonds 15/10/2038 26 0.04 $30,000 Texas Water Development Board 5% Bonds 15/10/2043 26 0.04 $90,000 Thermo Fisher Scientific 3% Bonds 15/4/2023 67 0.10 $30,000 Tobacco Settlement Finance Authority 7.467% Bonds

1/6/2047 22 0.03 $72,000 Toledo Hospital 5.75% Bonds 15/11/2038 58 0.08 $23,000 Toll Brothers Finance 4.875% Bonds 15/11/2025 17 0.03 $40,000 Total System Services 3.8% Bonds 1/4/2021 30 0.04 $15,000 Total System Services 4% Bonds 1/6/2023 11 0.02 $15,000 Total System Services 4.8% Bonds 1/4/2026 12 0.02 $30,000 TransCanada PipeLines 4.875% Bonds 15/1/2026 24 0.03 $20,000 Transcontinental Gas Pipe Line 7.85% Bonds 1/2/2026 18 0.03

$15,000 Shire Acquisitions Investments Ireland 3.2% Bonds 23/9/2026 11 0.02

$3,000 Silversea Cruise Finance 7.25% Bonds 1/2/2025 2 0.00 $28,000 South Carolina Public Service Authority 2.388% Bonds

1/12/2023 20 0.03 $15,000 Southern 4.4% Bonds 1/7/2046 11 0.02 $25,000 Southern Baptist Hospital of Florida 4.857% Bonds

15/7/2045 20 0.03 $50,000 Spectra Energy 4.75% Senior Notes 15/3/2024 39 0.06 $45,000 Sprint 7.875% Senior Notes 15/9/2023 36 0.05 $50,000 Sprint Communications 7% Bonds 1/3/2020 39 0.06 $405,625 Sprint Spectrum 3.36% Bonds 20/3/2023 303 0.43 $63,000 SSM Health Care 3.688% Bonds 1/6/2023 48 0.07 $38,000 Stanley Black & Decker 3.4% Bonds 1/3/2026 28 0.04 $30,000 State of California 7.3% Bonds 1/10/2039 32 0.05 $10,000 State of California 7.35% Bonds 1/11/2039 11 0.02 $35,000 State of California 7.5% Bonds 1/4/2034 37 0.05 $15,000 State of California 7.55% Bonds 1/4/2039 17 0.03 $65,000 State of Connecticut 3.31% Bonds 15/1/2026 47 0.07 $20,000 State of Illinois 5% Bonds 1/11/2022 16 0.02 $50,000 State of Illinois 5% Bonds 1/11/2024 40 0.06 $140,000 State of Illinois 5% Bonds 1/11/2025 114 0.16 $10,000 State of Illinois 5% Bonds 1/12/2024 8 0.01 $20,000 State of Illinois 5% Bonds 1/5/2020 15 0.02 $60,000 State of Minnesota 5% Bonds 1/8/2036 54 0.08 $10,000 State of Ohio 5% Bonds 1/5/2034 9 0.01 $10,000 State of Ohio 5% Bonds 1/5/2035 9 0.01 $20,000 State of Ohio 5% Bonds 1/5/2036 17 0.03 $20,000 State of Ohio 5% Bonds 1/5/2037 17 0.03 $20,000 State of Ohio 5% Bonds 15/3/2032 17 0.03 $20,000 State of Texas 5% Bonds 1/4/2040 17 0.03 $30,000 State of Texas 5% Bonds 1/4/2043 25 0.04 $20,000 State of Washington 5% Bonds 1/2/2041 17 0.03 $10,000 State of Washington 5% Bonds 1/8/2030 9 0.01 $30,000 State of Washington 5% Bonds 1/8/2040 25 0.04 $10,000 State of Washington 5% Bonds 1/8/2040 9 0.01 $10,000 State of Washington 5% Bonds 1/8/2041 9 0.01 $20,000 State of West Virginia 5% Bonds 1/12/2040 17 0.03 $30,000 State of West Virginia 5% Bonds 1/6/2040 26 0.04 $20,000 State of Wisconsin 3.154% Bonds 1/5/2027 15 0.02 $10,000 State of Wisconsin 5% Bonds 1/5/2032 9 0.01 $10,000 State of Wisconsin 5% Bonds 1/5/2033 9 0.01 $10,000 State of Wisconsin 5% Bonds 1/5/2034 9 0.01 $10,000 State of Wisconsin 5% Bonds 1/5/2036 9 0.01 $10,000 State of Wisconsin 5% Bonds 1/5/2038 9 0.01 $10,000 State Street 3.7% Senior Notes 20/11/2023 8 0.01





$10,000 Verizon Communications 4.125% Bonds 16/3/2027 8 0.01 $10,000 Verizon Communications 4.272% Bonds 15/1/2036 7 0.01 $110,000 Verizon Communications 4.329% Bonds 21/9/2028 85 0.12 $172,000 Verizon Communications 4.672% Notes 15/3/2055 125 0.18 $110,000 Verizon Communications 5.012% Bonds 15/4/2049 86 0.12 $40,000 Verizon Communications 5.15% Senior Notes 15/9/2023 33 0.05 $30,000 Viacom 5.875% Bonds 28/2/2057 22 0.03 $25,000 Virginia Electric & Power 3.8% Bonds 15/9/2047 17 0.03 $30,000 Virginia Small Business Financing Authority 5% Bonds

31/12/2052 24 0.03 $20,000 Virginia Small Business Financing Authority 5% Bonds

31/12/2056 16 0.02 $30,000 Vodafone 3.75% Bonds 16/1/2024 22 0.03 $15,000 Vodafone 4.125% Bonds 30/5/2025 11 0.02 $35,000 Vodafone 5.25% Bonds 30/5/2048 25 0.04 $28,000 Walgreens Boots Alliance 3.8% Bonds 18/11/2024 21 0.03 $40,000 Walmart 3.4% Bonds 26/6/2023 31 0.04 $40,000 Walmart 3.7% Bonds 26/6/2028 31 0.04 $20,000 Walmart 4.05% Bonds 29/6/2048 15 0.02 $113,000 Wal–Mart Stores 2.65% Bonds 15/12/2024 84 0.12 $10,000 Washington Metropolitan Area Transit Authority 5% Bonds

1/7/2036 9 0.01 $50,000 Washington State Convention Center Public Facilities

District 5% Bonds 1/7/2058 41 0.06 $26,000 Weekley Homes 6% Bonds 1/2/2023 19 0.03 $35,000 Weekley Homes Finance 6.625% Bonds 15/8/2025 25 0.04 $20,000 Weld County School District No RE–4 5.25% Bonds

1/12/2041 17 0.03 $83,000 Wells Fargo 3% Bonds 22/4/2026 60 0.08 $37,000 Wells Fargo 3% Senior Notes 22/4/2026 27 0.04 $40,000 Wells Fargo 3.5% Senior Notes 8/3/2022 30 0.04 $140,000 Wells Fargo 3.55% Medium Term Notes 29/9/2025 105 0.15 $25,000 Wells Fargo 3.584% Medium Term Notes 22/5/2028 19 0.03 $420,000 Wells Fargo 3.75% Bonds 24/1/2024 321 0.46 $20,000 Wells Fargo 3.9% Medium Term Notes 1/5/2045 14 0.02 $169,000 Wells Fargo 4.15% Bonds 24/1/2029 130 0.18 $20,000 Wells Fargo 5.875% Perpetual Bonds 16 0.02 $20,000 Wells Fargo 6.55% Bonds 15/10/2035 18 0.03 $17,000 Welltower 3.625% Bonds 15/3/2024 13 0.02 $30,000 Welltower 4.125% Bonds 15/3/2029 22 0.03 $10,000 West Virginia Hospital Finance Authority 5% Bonds

1/6/2019 8 0.01 $10,000 West Virginia Hospital Finance Authority 5% Bonds

1/6/2020 8 0.01 $10,000 West Virginia Hospital Finance Authority 5% Bonds

1/6/2021 8 0.01

$12,000 TransDigm 5.5% Bonds 15/10/2020 9 0.01 $75,000 TransDigm 6% Bonds 15/7/2022 57 0.08 $27,000 Travelers Cos Inc 4.1% Bonds 4/3/2049 20 0.03 $24,000 Trinity Health 4.125% Bonds 1/12/2045 17 0.03 $20,000 TSASC 5% Bonds 1/6/2041 16 0.02 $11,601 Turkish Airlines 2015–1 Class A Pass Through Trust 4.2%

Bonds 15/9/2028 7 0.01 $18,000 Tyson Foods 4% Bonds 1/3/2026 13 0.02 $87,000 Tyson Foods 4.35% Bonds 1/3/2029 66 0.09 $200,000 UBS Funding Switzerland 3.491% Bonds 23/5/2023 150 0.21 $200,000 UBS Funding Switzerland 7% Perpetual Bonds 152 0.22 $11,000 Union Pacific 2.75% Bonds 1/3/2026 8 0.01 $22,000 Union Pacific 3.15% Bonds 1/3/2024 16 0.02 $40,000 Union Pacific 3.7% Bonds 1/3/2029 30 0.04 $16,000 Union Pacific 4.3% Bonds 1/3/2049 12 0.02 $39,000 United Airlines 2019–1 Class AA Pass Through Trust 4.15%

Bonds 25/8/2031 29 0.04 $51,000 United Rentals North America 5.75% Bonds 15/11/2024 39 0.06 $10,000 United Technologies 2.65% Bonds 1/11/2026 7 0.01 $50,000 United Technologies 2.8% Bonds 4/5/2024 36 0.05 $170,000 United Technologies 3.65% Bonds 16/8/2023 129 0.18 $40,000 United Technologies 3.95% Bonds 16/8/2025 31 0.04 $90,000 United Technologies 4.125% Bonds 16/11/2028 69 0.10 $50,000 United Technologies 4.625% Bonds 16/11/2048 38 0.05 $20,000 UnitedHealth 3.7% Bonds 15/12/2025 15 0.02 $10,000 UnitedHealth 3.75% Bonds 15/10/2047 7 0.01 $60,000 UnitedHealth 3.75% Bonds 15/7/2025 46 0.07 $35,000 UnitedHealth 4.25% Bonds 15/6/2048 27 0.04 $200,000 Unitymedia Hessen 5% Bonds 15/1/2025 154 0.22 $20,000 University of California 3.063% Bonds 1/7/2025 15 0.02 $20,000 University of California 4.601% Bonds 15/5/2031 16 0.02 $30,000 University of Delaware 4.221% Bonds 1/11/2058 23 0.03 $10,000 University of Houston 5% Bonds 15/2/2033 9 0.01 $10,000 University of Houston 5% Bonds 15/2/2034 9 0.01 $20,000 University of Houston 5% Bonds 15/2/2035 17 0.03 $20,000 University of Houston 5% Bonds 15/2/2036 17 0.03 $22,000 University of Notre Dame du Lac 3.394% Bonds 15/2/2048 15 0.02 $20,000 University of Oregon 5% Bonds 1/4/2046 17 0.03 $3,000 University of Southern California 3.028% Bonds 1/10/2039 2 0.00 $50,000 US Bancorp 3.375% Bonds 5/2/2024 38 0.05 $31,000 Valvoline 5.5% Bonds 15/7/2024 23 0.03 $13,000 Venator Finance 5.75% Bonds 15/7/2025 9 0.01 $15,000 Ventas Realty 4.4% Bonds 15/1/2029 11 0.02 $61,000 Ventas Realty LP 3.5% Bonds 15/4/2024 46 0.07 $140,000 VeriSign 4.625% Bonds 1/5/2023 107 0.15 $40,000 Verizon Communications 3.125% Bonds 16/3/2022 30 0.04





US Dollar Denominated Fixed Rate Mortgage Backed Securities – 11.14%; 28.2.2018 11.66% $17,046 ACE 0% Perpetual Bonds 10 0.01 $107,630 Ajax Mortgage Loan Trust 2017–D 3.75% Asset Backed

Bonds 25/12/2057 80 0.11 $18,492 Alternative Loan Trust 2006–11CB 6.5% Mortgage Backed

Bonds 25/5/2036 11 0.02 $163,116 Argent Mortgage Loan Trust 2005–W1 2.3047% Asset

Backed Securities 25/5/2035 115 0.16 $110,000 Aventura Mall Trust 2013–AVM 3.86743% Mortgage

Backed Bonds 5/12/2032 84 0.12 $501,018 B2R Mortgage Trust 2015–2 2.406% Asset Backed Bonds

15/11/2048# 12 0.02 $50,102 B2R Mortgage Trust 2015–2 3.336% Asset Backed Bonds

15/11/2048 38 0.05 $58,665 Banc of America Commercial Mortgage Trust 2007–1

5.482% Mortgage Backed Bonds 15/1/2049 44 0.06 $30,000 Banc of America Commercial Mortgage Trust 2016–UBS10

5.07533% Mortgage Backed Bonds 15/7/2049 23 0.03 $1,000,000 Banc of America Commercial Mortgage Trust 2017–BNK3

0.78151% Mortgage Backed Bonds 15/2/2050 33 0.05 $40,226 Banc of America Funding 2014–R2 Trust 0% Mortgage

Backed Bonds 26/11/2036 5 0.01 $84,532 Banc of America Funding 2016–R2 Trust 4.7% Mortgage

Backed Bonds 1/5/2033 63 0.09 $10,911 Bear Stearns Commercial Mortgage Securities

Trust 2007–TOP26 5.45989% Mortgage Backed Bonds 12/1/2045 8 0.01

$20,000 Benchmark 2018–B5 Mortgage Trust 4.2076% Mortgage Backed Bonds 15/7/2051 16 0.02

$40,000 BXP Trust 2017–GM 3.53896% Mortgage Backed Bonds 13/6/2039 27 0.04

$111,805 Carlyle Global Market Strategies 2015–4 10.8475% Asset Backed Bonds 20/10/2027 81 0.12

$12,851 CD 2006–CD3 Mortgage Trust 5.648% Mortgage Backed Bonds 15/10/2048 10 0.01

$10,000 CFCRE Commercial Mortgage Trust 2016–C3 3.865% Mortgage Backed Bonds 10/1/2048 8 0.01

$400,000 CGBAM Commercial Mortgage Trust 2015–SMRT 3.91208% Mortgage Backed Bonds 10/4/2028 303 0.43

$71,691 CHL Mortgage Pass–Through Trust 2007–15 6.5% Mortgage Backed Bonds 25/9/2037 39 0.06

$29,680 Citicorp Mortgage Securities Trust Series 2008–2 6.5% Mortgage Backed Bonds 25/6/2038 19 0.03

$20,000 Citigroup Commercial Mortgage Trust 2015–GC27 4.57552% Mortgage Backed Bonds 10/2/2048 15 0.02

$10,000 West Virginia Hospital Finance Authority 5% Bonds 1/6/2022 8 0.01 $10,000 West Virginia Hospital Finance Authority 5% Bonds 1/6/2023 8 0.01 $10,000 West Virginia Hospital Finance Authority 5% Bonds 1/6/2024 9 0.01 $8,000 Western Gas Partners 4.65% Bonds 1/7/2026 6 0.01 $40,000 Westpac Banking 3.3% Bonds 26/2/2024 30 0.04 $10,000 Williams 5.4% Bonds 4/3/2044 8 0.01 $20,000 Williams 8.75% Senior Bonds 15/3/2032 20 0.03 $21,000 Williams Partners 3.9% Bonds 15/1/2025 16 0.02 $20,000 Williams Partners 4% Bonds 15/9/2025 15 0.02 $9,000 Williams Partners LP 3.75% Bonds 15/6/2027 7 0.01 $10,000 Wisconsin Health & Educational Facilities Authority 5%

Bonds 15/12/2044 8 0.01 $16,000 YPF 7% Bonds 15/12/2047 10 0.02 $30,000 Zayo Capital 6% Bonds 1/4/2023 23 0.03 $10,000 Zayo Capital 6.375% Bonds 15/5/2025 7 0.01

23,194 32.85

US Dollar Denominated Fixed Rate Government Bonds – 11.57%; 28.2.2018 27.61% $130,000 Argentina (Republic) 4.625% Bonds 11/1/2023 83 0.12 $82,000 Argentina (Republic) 5.625% Bonds 26/1/2022 55 0.08 $254,000 Argentina (Republic) 6.25% Bonds 22/4/2019Ø 191 0.27 $220,000 Argentina (Republic) 6.875% Bonds 22/4/2021 157 0.22 $114,000 Argentina (Republic) 8% Bonds 8/10/2020 87 0.12 $254,000 Colombia (Government) 4.375% International Bonds

12/7/2021 195 0.28 $200,000 Egypt (Government) 5.577% Bonds 21/2/2023 150 0.21 $200,000 Indonesia (Government) 3.7% Bonds 8/1/2022Ø 151 0.21 $254,000 Indonesia (Government) 4.875% Bonds 5/5/2021 197 0.28 $129,000 Indonesia (Government) 5.875% Bonds 13/3/2020 100 0.14 $72,000 Mexico (Government) 5.75% Bonds 12/10/2010 53 0.08 $258,000 South Africa (Republic) 6.875% Bonds 27/5/2019 195 0.28 $200,000 US Treasury 0.375% Bonds 15/1/2027 152 0.22 $597,500 US Treasury 0.625% Inflation Indexed Bonds 15/4/2023 455 0.64 $384,000 US Treasury 2.5% Bonds 15/1/2022 289 0.41 $5,744,000 US Treasury 2.625% Bonds 30/6/2023Ø 4,343 6.15 $10,000 US Treasury 2.625% Bonds 15/2/2029 7 0.01 $96,000 US Treasury 2.875% Bonds 15/11/2021 73 0.10 $5,000 US Treasury 2.875% Bonds 31/10/2023 4 0.01 $5,000 US Treasury 2.875% Bonds 30/11/2023 4 0.01 $854,000 US Treasury 2.875% Bonds 31/5/2025 654 0.93 $21,300 US Treasury 2.875% Bonds 15/5/2028 16 0.02 $10,000 US Treasury 2.875% Bonds 15/8/2028 8 0.01 $701,100 US Treasury 3% Bonds 15/8/2048 521 0.74 $9,000 US Treasury 3.125% Bonds 15/11/2028 7 0.01 $17,000 US Treasury 3.375% Bonds 15/11/2048 14 0.02

8,161 11.57





$100,000 DBJPM 17–C6 Mortgage Trust 1% Mortgage Backed Bonds 10/6/2050 5 0.01

$20,000 DBUBS 2017–BRBK Mortgage Trust 3.64767% Mortgage Backed Bonds 10/10/2034 13 0.02

$24,654 Deutsche ALT–A Securities ALT 2.5769% Collateralised Mortgage Obligation 27/1/2037 18 0.03

$100,000 Eleven Madison Trust 2015–11MD Mortgage Trust 3.67329% Mortgage Backed Bonds 10/9/2035 76 0.11

$3,580,000 Fannie Mae Pool 4.5% Mortgage Backed Bonds 1/3/2049 2,788 3.95 $43,000 Fannie Mae–Aces 3.5778% Mortgage Backed Bonds

25/8/2028 33 0.05 $1,300 Federal Home Loan Mortgage 8.375% Perpetual Bonds 9 0.01 $99,255 Federal Home Loan Mortgage Corporation Multifamily

Structured Pass Through Certificates 0.98475% Mortgage Backed Bonds 25/6/2027 4 0.01

$30,000 Federal Home Loan Mortgage Corporation Multifamily Structured Pass Through Certificates 3.12% Mortgage Backed Bonds 25/9/2026 23 0.03




$1,300 Federal National Mortgage Association 8.25% Perpetual Bonds 10 0.01

$59,462 Federal National Mortgage Association–Aces 2.684036% Mortgage Backed Bonds 25/1/2039 3 0.00

$4,000 Federal National Mortgage Association–Aces 3.061% Mortgage Backed Bonds 25/5/2027 3 0.00

$78,517 Government National Mortgage Association 0.58372% Mortgage Backed Bonds 16/6/2053 1 0.00

$1,648,467 Government National Mortgage Association 0.67478% Mortgage Backed Bonds 16/2/2050 56 0.08




$20,000 COMM 2014–LC15 Mortgage Trust 4.006% Mortgage Backed Bonds 10/4/2047 16 0.02

$160,000 COMM 2015–CCRE23 Mortgage Trust 3.80732% Mortgage Backed Bonds 10/5/2048 120 0.17



$40,000 COMM 2015–LC19 Mortgage Trust 4.40197% Mortgage Backed Bonds 10/2/2048 30 0.04

$150,000 COMM 2016–667M Mortgage Trust 3.28455% Mortgage Backed Bonds 10/10/2036 103 0.15

$29,667 Conseco Finance 6.98% Asset Backed Bonds 1/9/2030 19 0.03 $18,193 Conseco Finance Securitizations 8.31% Asset Backed

Bonds 1/5/2032 6 0.01 $12,424 Conseco Financial 6.28% Asset Backed Bonds 1/9/2030 10 0.01 $12,964 Conseco Financial 6.63% Asset Backed Securities 1/6/2030 9 0.01 $13,299 Conseco Financial 7.5% Asset Backed Bonds 1/3/2030 7 0.01 $105,000 Core Industrial Trust 2015–CALW 3.978739% Mortgage

Backed Bonds 10/2/2034 78 0.11 $992,497 Core Industrial Trust 2015–TEXW 0.9% Mortgage Backed

Bonds 10/2/2034 14 0.02 $981,425 Core Industrial Trust 2015–WEST 1.0757% Mortgage

Backed Bonds 10/2/2037 36 0.05 $13,832 Countrywide Asset–Backed Certificates 6.651838% Asset

Backed Bonds 25/1/2029 11 0.02 $16,833 Credit Suisse First Boston Mortgage Securities 4.952%

Mortgage Backed Bonds 15/7/2037 13 0.02 $78,062 Credit Suisse Mortgage Capital Certificates 6.5%

Mortgage Backed Bonds 27/10/2037 33 0.05 $66,425 Credit–Based Asset Servicing and Securitization 5.556%

Asset Backed Bonds 25/9/2036 8 0.01 $10,000 Csail 2015–C2 Commercial Mortgage Trust 3.504%

Mortgage Backed Bonds 15/6/2057 8 0.01 $1,528 CWHEQ Home Equity Loan Trust Series 2006–S2 5.841%

Asset Backed Bonds 25/7/2027 2 0.00 $406 CWHEQ Home Equity Loan Trust Series 2006–S5 5.842%

Asset Backed Bonds 25/6/2035 1 0.00 $15,313 CWHEQ Home Equity Loan Trust Series 2006–S5 6.155%

Asset Backed Bonds 25/6/2035 12 0.02 $10,000 DBGS 2018–BIOD Mortgage Trust 4.466% Mortgage

Backed Bonds 15/10/2051 8 0.01





$100,000 Morgan Stanley Capital I Trust 2017–H1 4.281% Mortgage Backed Bonds 15/6/2050 73 0.10

$100,000 Mosaic Solar Loan Trust 2019–1 4.37% Asset Backed Bonds 21/12/2043 76 0.11

$179,778 Nomura Asset Acceptance Alternative Loan Trust Series 2001–R1A 7% Mortgage Backed Bonds 19/2/2030 136 0.19

$100,000 Olympic Tower 2017–OT Mortgage Trust 4.0768% Mortgage Backed Bonds 10/5/2039 70 0.10

$200,000 One Market Plaza Trust 2017–1MKT 0% Mortgage Backed Bonds 10/2/2032* – 0.00

$1,000,000 One Market Plaza Trust 2017–1MKT 0.21839% Mortgage Backed Bonds 10/2/2032 3 0.00

$3,862 OneMain Financial Issuance Trust 2015–2 3.1% Asset Backed Bonds 18/7/2025 3 0.00



$110,448 Option One Mortgage Loan Trust 2007–FXD1 5.866% Asset Backed Bonds 25/1/2037 78 0.11

$126,505 Option One Mortgage Loan Trust 2007–FXD2 5.82% Asset Backed Bonds 25/3/2037 94 0.13

$100,000 Progress Residential 2018–SFR1 Trust 4.778% Asset Backed Bonds 17/3/2035 75 0.11

$40,890 RALI Series 2007–QH9 Trust 3.0283% Mortgage Backed Bonds 25/11/2037 27 0.04

$19,873 Seasoned Credit Risk Transfer Trust Series 2017–3 0% Mortgage Backed Bonds 25/7/2056 2 0.00

$100,000 SMB Private Education Loan Trust 2015–B 3.5% Asset Backed Bonds 17/12/2040# 74 0.10

$300,000 Springleaf Funding Trust 2015–A 3.62% Asset Backed Securities 15/11/2024 226 0.32

$100,000 Springleaf Funding Trust 2016–A 3.8% Asset Backed Bonds 15/11/2029 75 0.11

$135,332 Stanwich Mortgage Loan 2017–NPL–B–1 3.5981% Asset Backed Bonds 17/5/2022 101 0.14

$293,223 Velocity Commercial Capital Loan Trust 2017–2 4.24% Mortgage Backed Bonds 25/11/2047 218 0.31

$58,793 Washington Mutual Mortgage Pass–Through Certificates WMALT Series 2006–4 Trust 6% Mortgage Backed Bonds 25/4/2036 40 0.06

$31,491 Washington Mutual Mortgage Pass–Through Certificates WMALT Series 2006–4 Trust 6.35% Mortgage Backed Bonds 25/5/2036 20 0.03



$130,000 GRACE 2014–GRCE Mortgage Trust 3.70977% Mortgage Backed Bonds 10/6/2028 97 0.14

$20,813 Home Equity Mortgage Trust 2006–2 5.8672% Asset Backed Bonds 25/7/2036 5 0.01

$100,000 IMT Trust 2017–APTS 3.478% Mortgage Backed Bonds 15/6/2034 76 0.11



$30,000 JP Morgan Chase Commercial Mortgage Securities Trust 2014–C20 3.8046% Mortgage Backed Bonds 15/7/2047 23 0.03

$50,000 JP Morgan Chase Commercial Mortgage Securities Trust 2015–JP1 4.39958% Mortgage Backed Bonds 15/1/2049 35 0.05

$100,000 JP Morgan Chase Commercial Mortgage Securities Trust 2015–UES 3.7417% Mortgage Backed Bonds 5/9/2032 75 0.11

$130,000 JP Morgan Chase Commercial Mortgage Securities Trust 2016–JP3 0.75% Mortgage Backed Bonds 15/8/2049 4 0.01

$200,000 LCCM 2014–909 Mortgage Trust 4.02782% Collateralised Mortgage Obligation 15/5/2031 149 0.21

$889,729 LSTAR Commercial Mortgage Trust 2017–5 1.27053% Mortgage Backed Bonds 10/3/2050 30 0.04

$100,000 MAD Mortgage Trust 2017–330M 4.10802% Mortgage Backed Bonds 15/8/2034 74 0.10

$100,000 MAD Mortgage Trust 2017–330M 4.16651% Mortgage Backed Bonds 15/8/2034 73 0.10

$100,000 Merrill Lynch Mortgage Trust 2005–MKB2 6.52674% Mortgage Backed Bonds 12/9/2042 77 0.11

$332,434 Morgan Stanley Bank of America Merrill Lynch Trust 2015–C22 1.2591% Mortgage Backed Bonds 15/5/2046 12 0.02

$10,000 Morgan Stanley Bank of America Merrill Lynch Trust 2017–C33 4.558% Mortgage Backed Bonds 15/5/2050 7 0.01

$1,825 Morgan Stanley Capital I Trust 2006–TOP21 5.26583% Mortgage Backed Bonds 12/10/2052 1 0.00

$300,000 Morgan Stanley Capital I Trust 2014–CPT 3.5603% Mortgage Backed Bonds 13/7/2029 220 0.31

$200,000 Morgan Stanley Capital I Trust 2017–H1 2.36033% Mortgage Backed Bonds 15/6/2050 23 0.03





US Dollar Denominated Variable Rate Mortgage Backed Securities – 10.31%; 28.2.2018 15.32% $27,627 ACE Securities Home Equity Loan Trust 2.61988%

Floating Rate Asset Backed Bonds 25/5/2037 6 0.01 $69,873 Ajax Mortgage Loan Trust 2018–A 0% Floating Rate Asset

Backed Bonds 25/4/2058 29 0.04 $151,211 Ajax Mortgage Loan Trust 2018–D 3.75% Floating Rate

Asset Backed Bonds 25/8/2058 112 0.16 $350,000 Allegro 3.90344% Floating Rate Notes 17/1/2031 261 0.37 $250,000 ALM XVI 4.68731% Floating Rate Asset Backed Bonds

15/7/2027 186 0.26 $45,108 Alternative Loan Trust 2005–22T1 2.83988% Floating Rate

Mortgage Backed Bonds 25/6/2035 30 0.04 $48,163 Alternative Loan Trust 2006–OA16 2.82988% Floating Rate

Mortgage Backed Bonds 25/10/2046 24 0.03 $17,861 Alternative Loan Trust 2006–OC10 2.71988% Floating Rate

Mortgage Backed Bonds 25/11/2036 11 0.02 $132,849 Alternative Loan Trust 2006–OC7 2.73988% Floating Rate

Mortgage Backed Bonds 25/7/2046 79 0.11 $21,951 Alternative Loan Trust 2007–OA3 2.66988% Floating Rate

Mortgage Backed Bonds 25/4/2047 3 0.00 $5,806 Alternative Loan Trust 2007–OH2 2.72988% Floating Rate

Mortgage Backed Bonds 25/8/2047 3 0.00 $34,622 American Home Mortgage Assets Trust 2006–3 3.27181%

Floating Rate Mortgage Backed Bonds 25/10/2046 23 0.03 $76,677 American Home Mortgage Assets Trust 2006–5 3.25181%

Floating Rate Mortgage Backed Bonds 25/11/2046 29 0.04 $250,000 Anchorage Capital 5–R 4.23731% Floating Rate Notes

15/1/2030 185 0.26 $250,000 Anchorage Capital 7 3.74731% Floating Rate Notes

15/10/2027 187 0.26 $51,762 APS Resecuritization Trust 2016–3 5.08988% Floating Rate

Mortgage Backed Bonds 27/4/2047 40 0.06 $68,529 APS Resecuritization Trust 2016–3 5.33988% Floating Rate

Mortgage Backed Bonds 27/9/2046 53 0.08 $100,000 Arbor Realty Collateralized Loan Obligation 2017–FL3

3.47875% Floating Rate Asset Backed Bonds 15/12/2027 75 0.11 $100,000 BAMLL Commercial Mortgage Securities Trust 2016–ISQ

3.6063% Mortgage Backed Bonds 14/8/2034 68 0.10 $13,206 Bayview C 2.84988% Floating Rate Asset Backed Bonds

25/4/2036 10 0.01 $14,137 Bayview Commercial Asset Trust 2005–4 2.78988%

Floating Rate Mortgage Backed Bonds 25/1/2036 10 0.01

$190,000 Wells Fargo Commercial Mortgage Trust 2015–C27 3.894% Mortgage Backed Bonds 15/2/2048 137 0.19


$10,000 Wells Fargo Commercial Mortgage Trust 2016–NXS5 5.04098% Mortgage Backed Bonds 15/1/2059 8 0.01



$5,000 World Financial Network Credit Card Master Trust 3.34% Asset Backed Bonds 17/4/2023 4 0.01

7,875 11.14

US Dollar Denominated Variable Rate Corporate Bonds – 1.69%; 28.2.2018 0.96% $250,000 ALM 3.67% Floating Rate Notes 16/4/2027 187 0.27 $109,667 Ambac LSNI 7.8030% Floating Rate Bonds 12/2/2023 83 0.12 $25,000 Arizona Health Facilities Authority 2.68% Floating Rate

Bonds 1/1/2037 18 0.03 $50,000 AT&T 3.95594% Floating Rate Bonds 12/6/2024 37 0.05 $9,149 Countrywide 2.68% Floating Rate Notes 25/7/2046 7 0.01 $200,000 Credit Suisse 2.71% Floating Rate Notes 27/2/2036# 141 0.20 $200,000 Credit Suisse 7.5% Perpetual Subordinated Floating Rate

Notes 161 0.23 $45,000 General Motors 3.66713% Floating Rate Bonds 10/9/2021 33 0.05 $10,000 JP Morgan Chase 5.3% Perpetual Subordinated Floating

Rate Notes 8 0.01 $20,000 JP Morgan Chase 6.75% Perpetual Subordinated Floating

Rate Notes 16 0.02 $13,566 Lehman Brothers Small Balance Commercial Mortgage

Trust 2007–1 2.73988% Floating Rate Mortgage Backed Bonds 25/3/2037 10 0.01

$250,000 Madison Park Funding 3.71% Floating Rate Notes 19/4/2030 186 0.26 $250,000 Madison Park Funding 8.51% Floating Rate Notes 19/4/2030 180 0.25 $9,000 Prudential Financial 5.875% Guaranteed Subordinated

Floating Rate Bonds 15/9/2042 7 0.01 $20,000 Sacramento County Sanitation Districts Financing

Authority 2.365% Floating Rate Bonds 1/12/2035 15 0.02 $60,000 Tarjeta Naranja 40.625% Floating Rate Bonds 11/4/2022 18 0.03 $40,000 United Technologies 3.1% Senior Notes 1/6/2022 30 0.04 $75,000 Wells Fargo 3.584% Floating Rate Senior Medium Term

Notes 22/5/2028 56 0.08

1,193 1.69





$350,000 Cedar Funding VI CLO 3.851% Floating Rate Asset Backed Bonds 20/10/2028 262 0.37




$100,000 CGDBB Commercial Mortgage Trust 2017–BIOC 3.27875% Floating Rate Mortgage Backed Bonds 15/7/2032 75 0.11

$100,000 CGDBB Commercial Mortgage Trust 2017–BIOC 4.63875% Floating Rate Mortgage Backed Bonds 15/7/2032 75 0.11

$8,247 CHL Mortgage Pass–Through Trust 2006–OA5 2.68988% Floating Rate Mortgage Backed Bonds 25/4/2046 6 0.01

$10,000 Citigroup Commercial Mortgage Trust 2016–C1 4.95192% Mortgage Backed Bonds 10/5/2049 8 0.01

$152,593 Citigroup Mortgage Loan Trust 2007–AHL2 2.68988% Floating Rate Asset Backed Bonds 25/5/2037 84 0.12

$69,075 Citigroup Mortgage Loan Trust 2007–AHL2 2.75988% Floating Rate Asset Backed Bonds 25/5/2037 38 0.05

$100,000 COMM 2014–PAT Mortgage Trust 4.93888% Floating Rate Mortgage Backed Bonds 13/8/2027 75 0.11

$12,834 Conseco Finance 7.24% Floating Rate Asset Backed Bonds 15/11/2028 8 0.01

$14,202 Conseco Financial 7.21% Asset Backed Bonds 15/1/2029 11 0.02 $17,900 Conseco Financial 7.86% Asset Backed Bonds 1/3/2030 9 0.01 $30,248 Countrywide Alternative Loan Trust 2005–72 3.08988%

Collateralised Mortgage Backed Obligations 25/1/2036 19 0.03 $13,227 Countrywide Alternative Loan Trust 2005–76 3.33181%

Floating Rate Mortgage Backed Bonds 25/2/2036 9 0.01 $200,000 Countrywide Asset–Backed Certificates 2.77988%

Floating Rate Asset Backed Bonds 25/11/2036 128 0.18 $57,468 Credit–Based Asset Servicing & Securitization 2.82988%

Floating Rate Asset Backed Bonds 25/7/2037 28 0.04 $14,730 CSFB Mortgage–Backed Pass–Through Certificates Series

2005–10 3.83988% Floating Rate Mortgage Backed Bonds 25/11/2035 4 0.01

$31,782 CSMC Mortgage–Backed Trust 2007–5 7% Floating Rate Mortgage Backed Bonds 25/8/2037 19 0.03

$28,503 CSMC Series 2009–5R 3.7978% Floating Rate Mortgage Backed Bonds 25/6/2036 20 0.03


$14,137 Bayview Commercial Asset Trust 2005–4 2.93988% Floating Rate Mortgage Backed Bonds 25/1/2036 10 0.01





$126,044 Bayview Financial Revolving Asset Trust 2004–B 3.493% Floating Rate Asset Backed Bonds 28/5/2039 89 0.13

$15,000 BBCMS 2018–TALL Mortgage Trust 3.21075% Floating Rate Mortgage Backed Bonds 15/3/2037 11 0.02

$1,000,000 BBCMS Trust 2015–SRCH 0.19484% Mortgage Backed Bonds 10/8/2035# 12 0.02

$1,000,000 BBCMS Trust 2015–SRCH 0.95697% Mortgage Backed Bonds 10/8/2035# 47 0.07

$12,688 Bear Stearns 2.62988% Floating Rate Notes 25/3/2037 9 0.01 $2,408 Bear Stearns Asset Backed Securities I Trust 2004–HE7

4.21488% Floating Rate Asset Backed Bonds 25/8/2034 2 0.00 $67,530 Bear Stearns Asset Backed Securities I Trust 2006–HE1

3.16988% Floating Rate Asset Backed Bonds 25/12/2035 60 0.08 $81,927 Bear Stearns Asset Backed Securities I Trust 2007–FS1

2.65988% Floating Rate Asset Backed Bonds 25/5/2035 65 0.09 $28,758 Bear Stearns Asset Backed Securities I Trust 2007–HE2

2.62988% Floating Rate Asset Backed Bonds 25/3/2037 22 0.03 $6,017 Bear Stearns Asset Backed Securities Trust 2005–4

3.68988% Floating Rate Asset Backed Bonds 25/1/2036 4 0.01 $18,921 Bear Stearns Mortgage Funding Trust 2006–SL1

2.76988% Floating Rate Mortgage Backed Bonds 25/8/2036 14 0.02

$7,252 Bear Stearns Mortgage Funding Trust 2007–AR2 2.65988% Floating Rate Mortgage Backed Bonds 25/3/2037 5 0.01

$85,987 Carrington Mortgage Loan Trust Series 2006–NC4 2.64988% Floating Rate Asset Backed Bonds 25/10/2036 60 0.08

$57,977 C–BASS 2007–CB5 Trust 2.65988% Floating Rate Asset Backed Bonds 25/4/2037 32 0.05

$300,000 CCRESG Commercial Mortgage Trust 2016–HEAT 1.38581% Mortgage Backed Bonds 10/4/2029 5 0.01

$10,000 CCRESG Commercial Mortgage Trust 2016–HEAT 5.48825% Mortgage Backed Bonds 10/4/2029 7 0.01





$30,397 HarborView Mortgage Loan Trust 2007–4 2.73038% Floating Rate Mortgage Backed Bonds 19/7/2047 20 0.03

$26,264 Home Equity Mortgage Loan Asset–Backed Trust Series SPMD 2004–A 4.28436% Floating Rate Notes 25/7/2034 19 0.03

$79,562 Home Loan Mortgage Loan Trust 2005–1 3.20875% Floating Rate Asset Backed Bonds 15/4/2036 55 0.08

$28,736 IndyMac INDX Mortgage Loan Trust 2007–FLX5 2.72988% Floating Rate Mortgage Backed Bonds 25/8/2037 19 0.03

$100,000 Invitation Homes 2018–SFR1 Trust 4.98138% Floating Rate Asset Backed Bonds 17/3/2037 74 0.10

$841,742 IXIS Real Estate Capital Trust 2007–HE1 2.71988% Floating Rate Asset Backed Bonds 25/5/2037 221 0.31

$100,000 JPMorgan Chase Commercial Mortgage Securities Trust 2017–MAUI 4.46688% Floating Rate Mortgage Backed Bonds 15/7/2034 75 0.11



$250,000 LCM 26 3.831% Floating Rate Asset Backed Bonds 20/1/2031 186 0.26

$17,621 Lehman ABS Mortgage Loan Trust 2.57988% Floating Rate Asset Backed Bonds 25/6/2037 9 0.01

$58,216 LFRF 15–1 0% Floating Rate Bonds 31/12/2049# 44 0.06 $90,000 LoanCore 2018–CRE1 Issuer 3.61875% Floating Rate

Asset Backed Bonds 15/5/2028 68 0.10 $17,072 Long Beach Mortgage Loan Trust 2006–2 2.66988%

Floating Rate Asset Backed Bonds 25/3/2046 9 0.01 $86,749 Long Beach Mortgage Loan Trust 2006–3 2.66988%

Floating Rate Asset Backed Bonds 25/5/2046 26 0.04 $55,426 Long Beach Mortgage Loan Trust 2006–5 2.63988%

Floating Rate Asset Backed Bonds 25/6/2036 23 0.03 $125,738 LSTAR Securities Investment 2018–1 4.05913% Floating

Rate Mortgage Backed Bonds 1/2/2023 95 0.13 $250,000 Madison Park Funding X 4.661% Floating Rate Asset

Backed Bonds 20/1/2029 188 0.27 $250,000 Mariner CLO 2016–3 6.57238% Floating Rate Asset Backed

Bonds 23/7/2029 187 0.26 $257,136 Mastr Asset Backed Securities Trust 2006–HE2 2.63988%

Floating Rate Asset Backed Bonds 25/6/2036 105 0.15 $25,000 Mastr Asset Backed Securities Trust 2007–HE1 2.76988%

Floating Rate Asset Backed Bonds 25/5/2037 16 0.02


$120,000 CSMC Trust 2017–PFHP 3.43875% Floating Rate Mortgage Backed Bonds 15/12/2030 90 0.13

$10,411 CWABS Revolving Home Equity Loan Trust Series 2004–U 2.75875% FRN 15/3/2034 7 0.01

$101,235 CWHEQ Revolving Home Equity Loan Resecuritization Trust Series 2006–RES 2.67875% Floating Rate Asset Backed Bonds 15/5/2035 71 0.10

$11,454 CWHEQ Revolving Home Equity Loan Resecuritization Trust Series 2006–RES 2.67875% FRN 15/5/2035 8 0.01

$21,977 CWHEQ Revolving Home Equity Loan Trust Series 2006–H 2.63875% Floating Rate Asset Backed Bonds 15/11/2036 13 0.02

$108,199 Deutsche Alt–A Securities Mortgage Loan Trust Series 2007–OA4/DE 2.65988% Floating Rate Mortgage Backed Bonds 25/8/2047 55 0.08

$100,000 Exantas Capital 2018–RSO6 3.31875% Floating Rate Mortgage Backed Bonds 15/6/2035 75 0.11

$131,357 Federal National Mortgage Association –Aces 0.33395% Mortgage Backed Bonds 25/6/2027 2 0.00

$21,000 Federal National Mortgage Association –Aces 2.98619% Mortgage Backed Bonds 25/12/2027 15 0.02

$262,312 FHLMC Multifamily Structured Pass Through Certificates 0.97477% Mortgage Backed Bonds 25/1/2026 10 0.01

$94,514 Freddie Mac Multifamily Structured Pass Through Certificates 0.62296% Mortgage Backed Bonds 25/1/2022 1 0.00



$54,484 Greenpoint Manufactured Housing 9.23% Asset Backed Bonds 15/12/2029 34 0.05

$15,115 GreenPoint Mortgage Funding Trust 2006–AR2 4.33181% Floating Rate Mortgage Backed Bonds 25/3/2036 11 0.02

$100,000 GS Mortgage Securities Trust 2018–CHILL 4.83875% Floating Rate Mortgage Backed Bonds 15/2/2037 75 0.11

$16,997 GSMPS Mortgage Loan Trust 2005–RP1 2.83988% Floating Rate Mortgage Backed Bonds 25/1/2035 12 0.02



$20,936 HarborView Mortgage Loan Trust 2007–3 2.71038% Floating Rate Mortgage Backed Bonds 19/5/2047 13 0.02





$18,966 Resource Capital 2017–CRE5 4.48875% Floating Rate Mortgage Backed Bonds 15/7/2034 14 0.02

$250,000 Rockford Tower CLO 5.33731% Floating Rate Asset Backed Bonds 15/4/2029 187 0.26

$100,000 Rosslyn Portfolio Trust 2017–ROSS 5.509% Floating Rate Mortgage Backed Bonds 15/6/2033 75 0.11

$10,000 Seasoned Credit Risk Transfer Trust Series 2018–1 4.75% Floating Rate Mortgage Backed Bonds 25/5/2057 7 0.01

$9,986 Seasoned Credit Risk Transfer Trust Series 2018–1 5.23425% Floating Rate Mortgage Backed Bonds 25/5/2057 3 0.00

$19,331 Securitized Asset Backed Receivables Trust 2006–WM4 2.56988% Floating Rate Asset Backed Bonds 25/11/2036 6 0.01



$70,267 SG Mortgage Securities Trust 2006–FRE2 2.64988% Floating Rate Asset Backed Bonds 25/7/2036 16 0.02

$226,485 SLM Private Credit Student Loan Trust 2004–A 3.18819% Floating Rate Asset Backed Bonds 15/6/2033 168 0.24

$49,263 SLM Private Credit Student Loan Trust 2004–B 3.11819% Floating Rate Notes 15/3/2024 37 0.05

$176,805 SLM Private Credit Student Loan Trust 2005–B 3.18819% Floating Rate Asset Backed Bonds 15/6/2039 130 0.18

$15,762 SLM Private Credit Student Loan Trust 3.25819% Floating Rate Asset Backed Bonds 15/9/2033 12 0.02

$66,221 SLM Student Trust 2012–2 3.18988% Floating Rate Asset Backed Bonds 25/1/2029 49 0.07

$290,000 Triaxx Prime CDO 2006–1 3.18813% Floating Rate Asset Backed Bonds 3/3/2039 14 0.02

$12,829 WaMu Mortgage Pass–Through Certificates Series 2005–AR2 Trust 3.01988% Floating Rate Mortgage Backed Bonds 25/1/2045 6 0.01

$63,286 Washington Mutual Asset–Backed Certificates WMABS Series 2006–HE4 Trust 2.66988% Floating Rate Notes 25/9/2036 22 0.03


$250,000 York 9.161% Floating Rate Notes 20/10/2029 182 0.26

7,276 10.31

$28,028 Merrill Lynch Alternative Note Asset Trust Series 2007–OAR2 2.69988% Floating Rate Mortgage Backed Bonds 25/4/2037 18 0.03

$31,198 Merrill Lynch First Franklin Mortgage Loan Trust Series 2007–2 2.72988% Floating Rate Asset Backed Bonds 25/5/2037 16 0.02

$11,564 Merrill Lynch Mortgage Investors Trust Series 2006–RM3 2.57988% Floating Rate Notes 25/6/2037 3 0.00

$25,835 Merrill Lynch Mortgage Trust 2005–CIP1 5.60132% Floating Rate Mortgage Backed Bonds 12/7/2038 20 0.03

$139,815 Morgan Stanley ABS Capital Trust 2007–NC1 2.61988% Floating Rate Notes 25/11/2036 62 0.09

$100,000 Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19 1.18649% 15/12/2047 4 0.01

$59,000 Morgan Stanley Capital Trust 2017–CLS 5.08875% Floating Rate Notes 15/11/2034 44 0.06

$12,921 Morgan Stanley Mortgage Loan Trust 2007–9SL 2.80988% Floating Rate Asset Backed Bonds 25/7/2037 9 0.01

$100,000 Navient Private Education Loan Trust 2014–CT 4.23875% Floating Rate Asset Backed Bonds 17/10/2044 76 0.11

$7,547 Nomura Asset Acceptance Alternative Loan Trust Series 2007–2 2.90988% Floating Rate Mortgage Backed Bonds 25/4/2047 5 0.01

$9,707 Oakwood Mortgage Investors 5.26% Asset Backed Bonds 15/1/2019 5 0.01

$0 OBX 2018–EXP1 Trust 4% Floating Rate Mortgage Backed Bonds 25/4/2048 0 0.00

$250,000 Octagon Investment Partners 24 3.54125% Floating Rate Asset Backed Bonds 21/5/2027 187 0.26

$100,000 OFSI Fund 3.91731% Floating Rate Notes 20/3/2025 74 0.10 $25,000 Option One Mortgage Loan Trust 2007–CP1 2.69988%

Floating Rate Asset Backed Bonds 25/3/2037 12 0.02 $34,023 Origen Manufactured Housing Contract Trust 2001–A 7.82%

Asset Backed Bonds 15/3/2032 25 0.04 $23,767 Origen Manufactured Housing Contract Trust 2007–B

3.68875% Floating Rate Asset Backed Bonds 15/10/2037 18 0.03 $250,000 Palmer Square 2014–1 3.90344% Floating Rate Notes

17/1/2031 186 0.26 $250,000 Park Avenue Institutional Advisers 2017–1 8.91288%

Floating Rate Notes 14/11/2029 180 0.25 $9,308 Resource Capital 2017–CRE5 3.28875% Floating Rate

Mortgage Backed Bonds 15/7/2034 7 0.01


Holding or Underlying Market % of Nominal Exposure – Derivatives Value Total Net Value Investment £000’s £000’s Assets



30,000 Citibank (Airbus) 1% 20/12/2023 28 (1) 0.00 54,000 Citibank (BP) 1% 20/12/2023 46 (1) 0.00 20,000 Citibank (Carlsberg Breweries) 1% 20/12/2023 19 (1) 0.00 119,000 Citibank (Colombia (Republic of)) 1%

20/12/2023^ 136 – 0.00 32,160 Citibank (Heidelberg Cement) 5% 20/12/2023 29 (6) (0.01) 27,000 Citibank (Heineken) 1% 20/12/2023 24 (1) 0.00 105,000 Citibank (South Africa (Republic of)) 0%

20/12/2023 – 2 0.00 105,000 Citibank (South Africa (Republic of)) 1%

20/12/2023 80 2 0.00 230,022 Citibank (Turkey (Government)) 1% 20/12/2023 236 14 0.02 525,054 Citibank (United Mexican States Government)

1% 20/12/2023 390 3 0.00 182,900 Credit Suisse International (CDX) 1%

20/6/2023 140 (3) 0.00 0 Credit Suisse International (CMBX) 0%

17/9/2058^ – – 0.00 50,000 Credit Suisse International (CMBX) 0.5%

17/9/2058^ 38 – 0.00 (8,000) Credit Suisse International (CMBX) 1.5%

17/1/2047^ 6 – 0.00 640,570 Credit Suisse International (iTraxx) 1%

20/12/2023 507 (11) (0.02) 40,000 Deutsche Bank (CMBX) 0.5% 17/9/2058^ 30 – 0.00 164,542 Deutsche Bank (CMBX) 0.5% 11/5/2063 125 (1) 0.00 (65,000) Deutsche Bank (CMBX) 3% 17/9/2058 49 (3) 0.00 61,000 Deutsche Bank (Colombia (Republic of)) 1%

20/12/2023^ 70 – 0.00 90,000 Deutsche Bank (Turkey (Government)) 1%

20/12/2023 92 6 0.01 103,000 Deutsche Bank (United Mexican States

Government) 1% 20/12/2023 77 1 0.00 20,000 Goldman Sachs International (Airbus) 1%

20/12/2023 19 (1) 0.00 160,000 Goldman Sachs International (Brazil

(Federative Republic of)) 1% 20/12/2023 121 3 0.00 8,000 Goldman Sachs International (CMBX) 1.5%

17/1/2047^ 6 – 0.00 (50,000) Goldman Sachs International (CMBX) 2%

17/10/2057^ 38 – 0.00 (15,000) Goldman Sachs International (CMBX) 3%

17/9/2058 11 (1) 0.00 639,356 Goldman Sachs International (iTraxx) 5%

20/12/2023 606 (59) (0.08) 206,000 Goldman Sachs International (South Africa

(Republic of)) 1% 20/12/2023 157 5 0.01

DERIVATIVES – 0.99%; 28.2.2018 (3.67)%

Credit Default Swaps – (0.02)%; 28.2.2018 (0.42)% 20,000 Bank of America Merrill Lynch (Airbus) 1%

20/12/2023 19 (1) 0.00 5,000 Bank of America Merrill Lynch (Airbus) 1%

20/12/2023^ 5 – 0.00 38,000 Bank of America Merrill Lynch

(Colombia (Republic of)) 1% 20/12/2023^ 43 – 0.00 (414,000) Bank of America Merrill Lynch (iTraxx) 1%

20/12/2022 354 7 0.01 (100,000) Bank of America Merrill Lynch (iTraxx) 1%

20/12/2023 86 (2) 0.00 1,506,000 Bank of America Merrill Lynch (iTraxx) 1%

20/12/2023 618 (23) (0.03) (36,260) Bank of America Merrill Lynch (iTraxx) 5%

20/12/2023 149 2 0.00 (213,510) Bank of America Merrill Lynch

(Mexico (Government)) 1% 20/6/2020 161 1 0.00 213,510 Bank of America Merrill Lynch

(Mexico (Government)) 1% 20/9/2020 159 (1) 0.00 670,000 Barclays Bank (Brazil (Federative Republic of))

1% 20/12/2023 506 11 0.01 122,000 Barclays Bank (Colombia (Republic of))

1% 20/12/2023^ 139 – 0.00 40,000 Barclays Bank (Enel) 1% 20/12/2023^ 42 – 0.00 221,000 Barclays Bank (United Mexican States

Government) 1% 20/12/2023 164 1 0.00 0 Barclays Bank (Vodafone) 0% 20/12/2023^ – – 0.00 40,000 Barclays Bank (Volkswagen) 1% 20/12/2023^ 34 – 0.00 35,000 BNP Paribas (BP Capital Markets America) 1%

20/12/2023 30 (1) 0.00 40,000 BNP Paribas (Carlsberg Breweries) 1%

20/12/2023 37 (1) 0.00 15,000 BNP Paribas (Heineken) 1% 20/12/2023^ 13 – 0.00 30,000 BNP Paribas (International Paper) 1%

20/12/2023^ 25 – 0.00 321,000 BNP Paribas (Philippines (Republic Of)) 1%

20/12/2023 338 (5) (0.01) 100,000 BNP Paribas (Santander International Debt)

1% 20/12/2023 90 2 0.00 80,000 BNP Paribas (Turkey (Government)) 1%

20/12/2023 82 5 0.01 65,000 BNP Paribas (United Mexican States

Government) 0% 20/12/2023^ – – 0.00 102,000 BNP Paribas (United Mexican States

Government) 1% 20/12/2023 76 1 0.00





Currency Swaps – 0.00%; 28.2.2018 0.00% 46,627 JP Morgan Chase Bank (US Dollar/Turkish Lira)

19/6/2024^ 35 – 0.00 (249,692) JP Morgan Chase Bank (Turkish Lira/US Dollar)

19/6/2024 35 (2) 0.00

70 (2) 0.00

Forward Currency Contracts – 0.90%; 28.2.2018 (2.06)% ARS 6,028,372 Argentine peso vs US dollar^ 219 – 0.00 AUD 201,000 Australian dollar vs Canadian dollar 217 (1) 0.00 AUD 254,886 Australian dollar vs Euro 274 (1) 0.00 AUD 335,000 Australian dollar vs Japanese yen 359 1 0.00 AUD 353,000 Australian dollar vs New Zealand dollar 380 (1) 0.00 AUD 118,000 Australian dollar vs Swiss franc^ 127 – 0.00 AUD 599,000 Australian dollar vs US dollar 644 (1) 0.00 BRL 4,305,452 Brazilian real vs US dollar 1,726 5 0.01 CA$191,568 Canadian dollar vs Australian dollar 217 2 0.00 CA$204,000 Canadian dollar vs Norwegian krone^ 233 – 0.00 CA$103,000 Canadian dollar vs Swedish krona^ 117 – 0.00 CA$1,007,947 Canadian dollar vs US dollar 1,149 2 0.00 CLP 22,846,250 Chilean peso vs US dollar^ 53 – 0.00 CNY 1,903,119 Chinese yuan renminbi vs US dollar 426 2 0.00 CNY 1,470,000 Chinese yuan renminbi vs US dollar 328 2 0.00 COP 490,090,000 Columbian peso vs US dollar 238 2 0.00 EGP 989,075 Egyptian pound vs US dollar^ 83 1 0.00 €161,000 Euro vs Australian dollar^ 276 – 0.00 €226,000 Euro vs Japanese yen 385 3 0.00 €40,500 Euro vs Mexican peso^ 69 – 0.00 €104,000 Euro vs New Zealand dollar 178 1 0.00 €103,000 Euro vs Swiss franc^ 177 – 0.00 €90,581 Euro vs UK sterling 78 (2) 0.00 €1,228,176 Euro vs US dollar 2,110 (1) 0.00 IDR 3,739,189,856 Indonesian rupiah vs US dollar^ 395 – 0.00 ¥16,532,959 Japanese yen vs Australian dollar 225 (1) 0.00 ¥28,911,999 Japanese yen vs Euro 395 (2) 0.00 ¥186,538,083 Japanese yen vs US dollar 2,557 (25) (0.04) MXN 902,000 Mexican peso vs Euro^ 70 – 0.00 MXN 12,549,566 Mexican peso vs US dollar 961 19 0.03 NZD 372,540 New Zealand dollar vs Australian dollar 381 2 0.00 NZD 45,000 New Zealand dollar vs Japanese yen^ 46 – 0.00 NZD 182,000 New Zealand dollar vs Swiss franc 188 (1) 0.00 NZD 91,000 New Zealand dollar vs US dollar 93 1 0.00 NOK 1,316,253 Norwegian krone vs Canadian dollar^ 233 – 0.00 NOK 1,102,000 Norwegian krone vs Swedish krona 192 3 0.00 NOK 435,857 Norwegian krone vs US dollar^ 77 – 0.00

150,978 Goldman Sachs International (Turkey (Government)) 1% 20/12/2023 155 9 0.01

90,000 Goldman Sachs International (Weyerhaeuser) 1% 20/12/2023 75 (2) 0.00

401,615 HSBC Bank (Brazil (Federative Republic of)) 1% 20/12/2023 303 7 0.01

50,000 JP Morgan Chase Bank (Aviva) 1% 20/12/2023^ 47 – 0.00 (182,900) JP Morgan Chase Bank (CDX) 1% 20/6/2023 138 3 0.00 (89,000) JP Morgan Chase Bank (Ford Motor) 5%

20/12/2023 67 9 0.01 (43,128) JP Morgan Chase Bank (General Motor) 5%

20/12/2023 33 6 0.01 (130,000) JP Morgan Chase Bank (Intesa Sanpaolo) 1%

20/12/2023 111 (11) (0.02) 213,510 JP Morgan Chase Bank (Mexico (Government))

1% 20/6/2020 159 (1) 0.00 (213,510) JP Morgan Chase Bank (Mexico (Government))

1% 20/9/2020 161 1 0.00 115,000 JP Morgan Chase Bank (South Africa (Republic

of)) 1% 20/12/2023 88 3 0.00 75,000 JP Morgan Chase Bank (Turkey (Government))

1% 20/12/2023 77 5 0.01 130,000 JP Morgan Chase Bank (Unicredit) 1%

20/12/2023 100 11 0.01 0 JP Morgan Chase Bank (Vodafone) 0%

20/12/2023^ – – 0.00 50,000 Morgan Stanley International (Anglo American

Capital) 5% 20/6/2024 52 (8) (0.01) 26,000 Morgan Stanley International (BP) 1%

20/12/2023 22 (1) 0.00 250,000 Morgan Stanley International (CMBX) 0.5%

17/9/2058 190 (2) 0.00 (10,000) Morgan Stanley International (CMBX) 2%

17/10/2057^ 8 – 0.00 (25,000) Morgan Stanley International (CMBX) 2%

11/5/2063^ 19 – 0.00 13,400 Morgan Stanley International (Heidelberg

Cement) 5% 20/12/2023 12 (2) 0.00 (419,000) Morgan Stanley International (iTraxx) 1%

20/12/2023 359 5 0.01 235,000 Morgan Stanley International (South Africa

(Republic of)) 1% 20/12/2023 180 5 0.01 105,000 Morgan Stanley International (Turkey

(Government)) 1% 20/12/2023 108 7 0.01

8,714 (13) (0.02)





Futures – (0.02)%; 28.2.2018 0.00% (42) 90–Day Euro$ March 2020 31,577 (27) (0.04) (6) 90–Day Euro$ March 2021 4,511 (2) 0.00 6 90–Day Euro$ December 2020^ 4,511 – 0.00 (2) Australia 10 Year Bond March 2019 144 (4) (0.01) (1) Canada 10 Year Bond June 2019 77 – 0.00 3 Euro–Bobl March 2019 681 (1) 0.00 10 Euro–BTP March 2019 1,098 5 0.01 (8) Euro–Bund March 2019 1,415 2 0.00 (3) Euro–Oat March 2019^ 130 – 0.00 36 Euro–Schatz March 2019 3,446 (2) 0.00 (1) Japan 10 Year Bond (OSE) March 2019 1,032 (5) (0.01) (3) Long Gilt June 2019 377 4 0.01 6 MSCI Emerging Markets March 2019 237 12 0.02 (2) S&P 500 E–Mini March 2019^ 209 – 0.00 (17) Short Euro–BTP March 2019 1,620 (8) (0.01) 1 Topix Index March 2019 108 2 0.00 53 US 2 Year Note (CBT) June 2019 8,615 (1) 0.00 6 US 5 Year Note (CBT) June 2019 516 (1) 0.00 (60) US 10 Year Note (CBT) June 2019 5,503 11 0.02 (92) US 10 Year Ultra Note June 2019 8,954 1 0.00 (30) US Long Bond (CBT) June 2019 3,258 9 0.01 27 US Ultra Bond (CBT) June 2019 3,240 (16) (0.02)

81,259 (21) (0.02)

Inflation Swaps – 0.00%; 28.2.2018 0.00% 39,000 Morgan Stanley International (UK sterling) 3.533%

15/11/2046 40 1 0.00

Interest Rate Swaps – 0.03%; 28.2.2018 0.11% CAD 3,150,000 Bank of America Merrill Lynch (Canadian dollar)

2.13% vs Variable 27/2/2020^ 1,798 – 0.00 CAD 2,430,000 Bank of America Merrill Lynch (Canadian dollar)

2.158% vs Variable 19/2/2020 1,387 (1) 0.00 CAD 2,430,000 Bank of America Merrill Lynch (Canadian dollar)

2.16% vs Variable 21/2/2020 1,387 (1) 0.00 CAD 3,225,000 Bank of America Merrill Lynch (Canadian dollar)


2.18% vs Variable 6/2/2020^ 711 – 0.00 CAD 1,240,000 Bank of America Merrill Lynch (Canadian dollar)

2.19% vs Variable 6/2/2020^ 708 – 0.00 CAD 2,525,000 Bank of America Merrill Lynch (Canadian dollar)


2.2% vs Variable 21/2/2021^ 1,442 – 0.00

RUB 7,565,250 Russian ruble vs US dollar 172 1 0.00 ZAR 9,810,066 South African rand vs US dollar 1,049 2 0.00 KRW 142,607,600 South Korean won vs US dollar^ 191 – 0.00 SEK 708,998 Swedish krona vs Canadian dollar 117 (1) 0.00 SEK 1,423,219 Swedish krona vs Euro^ 233 – 0.00 SEK 1,153,815 Swedish krona vs Norwegian krone 192 (3) 0.00 SEK 2,233,935 Swedish krona vs Swiss franc 368 (2) 0.00 SEK 882,791 Swedish krona vs US dollar^ 145 – 0.00 CHF 85,053 Swiss franc vs Australian dollar 128 1 0.00 CHF 117,410 Swiss franc vs Euro^ 177 – 0.00 CHF 125,198 Swiss franc vs New Zealand dollar 188 1 0.00 CHF 244,222 Swiss franc vs Swedish krona 368 2 0.00 CHF 179,001 Swiss franc vs US dollar^ 272 – 0.00 TWD 4,319,000 Taiwan dollar vs US dollar^ 211 – 0.00 TRY 732,432 Turkish lira vs US dollar 203 (2) 0.00 £59,561 UK sterling vs Brazilian real 60 (1) 0.00 £36,603 UK sterling vs Canadian dollar 36 1 0.00 £3,023,878 UK sterling vs Euro 2,957 67 0.10 £929,773 UK sterling vs Japanese yen 901 29 0.04 £74,890 UK sterling vs Mexican peso 74 1 0.00 £92,380 UK sterling vs South African rand 87 5 0.01 £52,207,553 UK sterling vs US dollar 51,607 600 0.85 $122,736 US dollar vs Argentine peso 183 1 0.00 $382,686 US dollar vs Australian dollar 574 1 0.00 $789,115 US dollar vs Brazilian real 1,187 (1) 0.00 $733,167 US dollar vs Canadian dollar 1,105 (4) (0.01) $129,000 US dollar vs Chilean peso 195 (1) 0.00 $282,600 US dollar vs Chinese yuan renminbi 427 (2) 0.00 $311,728 US dollar vs Columbian peso 471 (4) (0.01) $1,270,613 US dollar vs Euro 1,905 3 0.00 $506,075 US dollar vs Indonesian rupiah 717 1 0.00 $1,139,000 US dollar vs Japanese yen 1,699 12 0.02 $728,796 US dollar vs Mexican peso 1,096 (3) 0.00 $112,903 US dollar vs New Zealand dollar^ 170 – 0.00 $51,000 US dollar vs Norwegian krone^ 77 – 0.00 $135,000 US dollar vs Russian ruble 203 (1) 0.00 $794,337 US dollar vs South African rand 1,192 (1) 0.00 $105,000 US dollar vs South Korean won^ 158 – 0.00 $67,000 US dollar vs Swedish krona 100 1 0.00 $272,000 US dollar vs Swiss franc^ 408 – 0.00 $177,000 US dollar vs Turkish lira^ 266 – 0.00 $4,507,682 US dollar vs UK sterling 3,388 (70) (0.10)

91,133 643 0.90





¥14,000,000 Bank of America Merrill Lynch (Japanese yen) 0.353% vs Variable 20/9/2028 97 (2) 0.00

¥3,290,000 Bank of America Merrill Lynch (Japanese yen) 0.355% vs Variable 4/2/2034^ 22 – 0.00



MXN 130,787 Bank of America Merrill Lynch (Mexican peso) 6.27% vs Variable 5/12/2025 5 (1) 0.00

MXN 2,235,000 Bank of America Merrill Lynch (Mexican peso) 6.31% vs Variable 11/8/2025 79 8 0.01

MXN 2,096,557 Bank of America Merrill Lynch (Mexican peso) 8.125% vs Variable 2/2/2024^ 82 – 0.00


MXN 602,475 Bank of America Merrill Lynch (Mexican peso) 8.165% vs Variable 2/2/2024^ 24 – 0.00





PLN 250,000 Bank of America Merrill Lynch (Polish zloty) 2.075% vs Variable 19/6/2024^ 50 – 0.00

PLN 250,000 Bank of America Merrill Lynch (Polish zloty) 2.145% vs Variable 19/6/2024^ 50 – 0.00

ZAR 1,750,000 Bank of America Merrill Lynch (South African rand) 8.791% vs Variable 20/3/2029 98 (5) (0.01)

SEK 310,000 Bank of America Merrill Lynch (Swedish krona) 0.975% vs Variable 20/3/2029^ 25 – 0.00

SEK 140,000 Bank of America Merrill Lynch (Swedish krona) 1.278% vs Variable 20/3/2029^ 12 – 0.00

$2,179,000 Bank of America Merrill Lynch (US dollar) 0% vs Variable 22/12/2022 1,644 (7) (0.01)

$252,900 Bank of America Merrill Lynch (US dollar) 2.205% vs Variable 22/1/2023 188 2 0.00

$7,050,000 Bank of America Merrill Lynch (US dollar) 2.413% vs Variable 20/3/2019^ 5,300 – 0.00


$300,000 Bank of America Merrill Lynch (US dollar) 2.454% vs Variable 28/2/2022^ 225 – 0.00

CAD 305,000 Bank of America Merrill Lynch (Canadian dollar) 2.215% vs Variable 30/1/2021^ 174 – 0.00

CAD 1,260,000 Bank of America Merrill Lynch (Canadian dollar) 2.23% vs Variable 6/2/2021^ 720 – 0.00

CAD 1,265,000 Bank of America Merrill Lynch (Canadian dollar) 2.235% vs Variable 6/2/2021^ 722 – 0.00

CNY 910,000 Bank of America Merrill Lynch (Chinese yuan) 2.86% vs Variable 20/3/2024 102 1 0.00

CNY 470,000 Bank of America Merrill Lynch (Chinese yuan) 2.898% vs Variable 19/6/2024^ 53 – 0.00

€ 1,370,000 Bank of America Merrill Lynch (Euro) 0% vs Variable 11/12/2020^ 1,173 – 0.00

€ 2,860,000 Bank of America Merrill Lynch (Euro) 0% vs Variable 9/4/2021 2,448 1 0.00

€ 260,000 Bank of America Merrill Lynch (Euro) 0% vs Variable 13/2/2022^ 222 – 0.00

€ 330,000 Bank of America Merrill Lynch (Euro) 0.003% vs Variable 28/1/2022^ 282 – 0.00

€ 460,000 Bank of America Merrill Lynch (Euro) 0.025% vs Variable 7/2/2022^ 394 – 0.00

€ 1,085,000 Bank of America Merrill Lynch (Euro) 0.143% vs Variable 18/6/2021 933 (4) 0.00

€ 1,360,000 Bank of America Merrill Lynch (Euro) 0.319% vs Variable 23/2/2023^ 1,164 – 0.00

€ 935,000 Bank of America Merrill Lynch (Euro) 0.364% vs Variable 21/12/2022 803 3 0.01

€ 570,000 Bank of America Merrill Lynch (Euro) 0.42% vs Variable 17/12/2022 490 (2) 0.00

€ 1,208,500 Bank of America Merrill Lynch (Euro) 0.54% vs Variable 28/6/2024 1,051 (16) (0.02)


€ 390,000 Bank of America Merrill Lynch (Euro) 1.37% vs Variable 20/2/2029 356 (23) (0.03)


¥28,000,000 Bank of America Merrill Lynch (Japanese yen) 0.14% vs Variable 20/9/2023 191 1 0.00










$10,852,800 Bank of America Merrill Lynch (US dollar) 2.582% vs Variable 12/1/2022 8,168 14 0.02





$555,000 Bank of America Merrill Lynch (US dollar) 2.636% vs Variable 5/3/2023 421 (5) (0.01)


$1,300,000 Bank of America Merrill Lynch (US dollar) 2.667% vs Variable 15/3/2023 988 (13) (0.02)







$1,280,000 Bank of America Merrill Lynch (US dollar) 2.722% vs Variable 22/12/2021 965 3 0.00


$3,461,900 Bank of America Merrill Lynch (US dollar) 2.728% vs Variable 25/2/2024 2,623 (28) (0.04)

$800,000 Bank of America Merrill Lynch (US dollar) 2.737% vs Variable 11/1/2021 603 (2) 0.00

$1,310,000 Bank of America Merrill Lynch (US dollar) 2.744% vs Variable 21/12/2022 987 (3) 0.00



$1,090,000 Bank of America Merrill Lynch (US dollar) 2.791% vs Variable 21/2/2029 825 (10) (0.01)





$1,585,000 Bank of America Merrill Lynch (US dollar) 2.49% vs Variable 10/1/2023 1,191 (1) 0.00

















$5,170,000 Bank of America Merrill Lynch (US dollar) 2.576% vs Variable 15/3/2021 3,886 (4) 0.00





















BRL 1,530,000 Citibank (Brazilian real) 8.53% vs Variable 2/1/2023 311 6 0.01

BRL 608,592 Citibank (Brazilian real) 8.67% vs Variable 2/1/2025 122 1 0.00

BRL 720,014 Citibank (Brazilian real) 9.48% vs Variable 2/1/2020 154 10 0.01

CNY 460,000 Citibank (Chinese yuan) 2.93% vs Variable 20/3/2024^ 52 – 0.00

CNY 450,000 Citibank (Chinese yuan) 2.96% vs Variable 19/6/2024^ 50 – 0.00

MXN 1,039,000 Citibank (Mexican peso) 6.325% vs Variable 17/7/2025 37 (4) 0.00

$2,283,500 Citibank (US dollar) 2.222% vs Variable 1/11/2021 1,706 (8) (0.01)

€ 80,000 Credit Suisse International (Euro) 0% vs Variable 11/12/2020^ 68 – 0.00




























BRL 217,303 JP Morgan Chase Bank (Brazilian real) 12.17% vs Variable 4/1/2021 52 9 0.01


CNY 460,000 JP Morgan Chase Bank (Chinese yuan) 2.765% vs Variable 19/6/2024 51 1 0.00

MXN 2,085,000 Morgan Stanley International (Mexican peso) 6.32% vs Variable 17/7/2025 74 (7) (0.01)

MXN 1,699,678 UBS (Mexican peso) 7.64% vs Variable 18/11/2026 64 2 0.00

162,842 27 0.03

Options – 0.04%; 28.2.2018 0.21% (202,000) Bank of America Merrill Lynch (Australian

dollar Call Japanese yen 19/3/2019 Put @ 80)^ 63 – 0.00 (312,000) Bank of America Merrill Lynch (Euro Call

US dollar 5/4/2019 Put @ 1.14) 289 (3) 0.00 416,000 Bank of America Merrill Lynch (Euro Call

US dollar 24/6/2019 Put @ 1.175) 188 2 0.00 210,000 Bank of America Merrill Lynch (Euro Put

US dollar 8/3/2019 Call @ 1.14)^ – – 0.00 (105,000) Bank of America Merrill Lynch (Euro Put

US dollar 19/3/2019 Call @ 1.13)^ 45 – 0.00 (104,000) Bank of America Merrill Lynch (New Zealand

dollar Call Japanese yen 11/3/2019 Put @ 77)^ 16 – 0.00 (260,000) Bank of America Merrill Lynch (New Zealand

dollar Put Japanese yen 25/3/2019 Call @ 74)^ 51 – 0.00 208,000 Bank of America Merrill Lynch (New Zealand

dollar Put Japanese yen 25/3/2019 Call @ 75) 73 1 0.00 201,600 Bank of America Merrill Lynch (US dollar Call

Chinese yuan renminbi 13/3/2019 Put @ 6.85)^ 4 – 0.00 (110,050) Bank of America Merrill Lynch (US dollar Call

Mexican peso 20/3/2019 Put @ 19.3) 86 (1) 0.00 (252,000) Bank of America Merrill Lynch (US dollar Put

Japanese yen 15/3/2019 Call @ 109)^ 29 – 0.00 202,000 Bank of America Merrill Lynch (US dollar Put

Japanese yen 15/3/2019 Call @ 110)^ – – 0.00 205,000 Barclays Bank (Australian dollar Put US dollar

8/8/2019 Call @ 0.7) 1 1 0.00 (104,000) Barclays Bank (Euro Call New Zealand dollar

11/3/2019 Put @ 1.6575) 133 (1) 0.00 100,000 Barclays Bank (US dollar Call Canadian dollar

5/3/2019 Put @ 1.3225)^ 44 – 0.00 (101,000) Barclays Bank (US dollar Call Canadian dollar

5/3/2019 Put @ 1.325)^ 33 – 0.00 (146,000) BNP Paribas (Australian dollar Call Canadian

dollar 11/3/2019 Put @ 0.9466)^ 34 – 0.00

€ 680,000 Credit Suisse International (Euro) 0.565% vs Variable 15/2/2028 579 (2) 0.00

€ 20,000 Credit Suisse International (Euro) 1.38% vs Variable 22/2/2029 18 (1) 0.00

MXN 1,200,000 Credit Suisse International (Mexican peso) 8.72% vs Variable 3/1/2029 48 1 0.00

SEK 220,000 Credit Suisse International (Swedish krona) 1.096% vs Variable 20/3/2029^ 18 – 0.00

SEK 370,000 Credit Suisse International (Swedish krona) 1.195% vs Variable 20/3/2029 31 1 0.00

SEK 440,000 Credit Suisse International (Swedish krona) 1.212% vs Variable 20/3/2029 37 1 0.00

$10,000 Credit Suisse International (US dollar) 0% vs Variable 15/2/2044 #N/A (1) 0.00

$10,000 Credit Suisse International (US dollar) 0% vs Variable 15/5/2044 #N/A (1) 0.00

$500,000 Credit Suisse International (US dollar) 2.612% vs Variable 18/2/2021 376 (1) 0.00

$250,000 Credit Suisse International (US dollar) 3.31% vs Variable 9/11/2048 206 (21) (0.03)

MXN 4,148,917 Deutsche Bank (Mexican peso) 6.307% vs Variable 11/8/2025 147 15 0.02



$1,570,000 Deutsche Bank (US dollar) 1.154% vs Variable 22/7/2021 1,139 40 0.06

MXN 3,198,000 Goldman Sachs International (Mexican peso) 6.321% vs Variable 6/8/2025 113 (11) (0.02)

MXN 3,900,000 Goldman Sachs International (Mexican peso) 7.481% vs Variable 14/4/2027 145 (7) (0.01)

$2,226,100 Goldman Sachs International (US dollar) 1.626% vs Variable 14/7/2019 1,665 10 0.01

$70,000 Goldman Sachs International (US dollar) 2.231% vs Variable 13/1/2027 51 1 0.00



$10,000 Goldman Sachs International (US dollar) 2.251% vs Variable 13/1/2027^ 7 – 0.00







260,000 Citibank (Euro Put Czech koruna 25/7/2019 Call @ 25)^ 51 – 0.00

10,000 Citibank (US dollar Call Japanese yen 8/4/2019 Put @ 104)^ – – 0.00

(30,000) Citibank (US dollar Call Mexican peso 14/3/2019 Put @ 20)^ 3 – 0.00

255,000 Citibank (US dollar Call Mexican peso 14/3/2019 Put @ 20.5)^ 1 – 0.00

(48,000) Citibank (US dollar Call South African rand 15/3/2019 Put @ 14.2)^ 29 – 0.00

302,000 Citibank (US dollar Call South African rand 8/4/2019 Put @ 15) 72 1 0.00

(246,000) Citibank (US dollar Call South African rand 8/4/2019 Put @ 15.5)^ 26 – 0.00

(48,000) Citibank (US dollar Call South African rand 10/4/2019 Put @ 13.95) 43 (1) 0.00

207,000 Citibank (US dollar Call South African rand 14/5/2019 Put @ 14.25) 147 4 0.01

(279,000) Citibank (US dollar Call South African rand 14/5/2019 Put @ 14.9) 114 (2) 0.00

(203,000) Citibank (US dollar Put Japanese yen 8/4/2019 Call @ 104)^ 1 – 0.00

543,000 Citibank (US dollar Put Japanese yen 12/4/2019 Call @ 105)^ 12 – 0.00

202,000 Citibank (US dollar Put Japanese yen 6/6/2019 Call @ 98)^ 1 – 0.00

(263,000) Citibank (US dollar Put South African rand 21/3/2019 Call @ 13.1)^ 5 – 0.00

182,000 Citibank (US dollar Put South African rand 21/3/2019 Call @ 13.35)^ 13 – 0.00

(72,000) Citibank (US dollar Put South African rand 10/4/2019 Call @ 13.15)^ 6 – 0.00

96,000 Citibank (US dollar Put South African rand 10/4/2019 Call @ 13.6) 30 1 0.00

414,000 Citibank (US dollar Put South African rand 14/5/2019 Call @ 12.5)^ 13 – 0.00

67,500 Deutsche Bank (Australian dollar Call Japanese yen 5/3/2019 Put @ 75.5) 71 2 0.00

(67,500) Deutsche Bank (Australian dollar Call Japanese yen 5/3/2019 Put @ 78) 63 (1) 0.00

206,000 Deutsche Bank (Euro Call US dollar 5/3/2019 Put @ 1.1365) 219 1 0.00

206,000 Deutsche Bank (Euro Put US dollar 5/3/2019 Call @ 1.131)^ 59 – 0.00

(100,000) Deutsche Bank (US dollar Call Canadian dollar 5/3/2019 Put @ 1.3225)^ 44 – 0.00

(146,000) BNP Paribas (Australian dollar Put Canadian dollar 11/3/2019 Call @ 0.9466) 123 (1) 0.00

755,000 BNP Paribas (Euro Call Japanese yen 12/4/2019 Put @ 130) 151 1 0.00

(93,000) BNP Paribas (Euro Put US dollar 26/7/2019 Call @ 1.08)^ 12 – 0.00

93,000 BNP Paribas (Euro Put US dollar 26/7/2019 Call @ 1.12) 39 1 0.00

104,000 BNP Paribas (US dollar Call Canadian dollar 11/3/2019 Put @ 1.3188)^ 69 – 0.00

(52,000) BNP Paribas (US dollar Call South African rand 8/3/2019 Put @ 14.08)^ 38 – 0.00

(141,400) BNP Paribas (US dollar Call South African rand 19/3/2019 Put @ 14.9)^ 20 – 0.00

(50,000) BNP Paribas (US dollar Call South African rand 8/4/2019 Put @ 15)^ 12 – 0.00

(72,000) BNP Paribas (US dollar Call South Korean won 27/3/2019 Put @ 1130)^ 41 – 0.00

(101,000) BNP Paribas (US dollar Put Canadian dollar 5/3/2019 Call @ 1.325) 119 (1) 0.00

250,000 BNP Paribas (US dollar Put Canadian dollar 8/3/2019 Call @ 1.3)^ 37 – 0.00

104,000 BNP Paribas (US dollar Put Canadian dollar 11/3/2019 Call @ 1.3188)^ 87 – 0.00

(42,000) BNP Paribas (US dollar Put South African rand 8/3/2019 Call @ 13.8)^ 9 – 0.00

104,000 BNP Paribas (US dollar Put South African rand 22/3/2019 Call @ 13.6)^ 22 – 0.00

(282,000) BNP Paribas (US dollar Put South African rand 8/4/2019 Call @ 13.3) 38 (1) 0.00

202,000 BNP Paribas (US dollar Put South African rand 8/4/2019 Call @ 13.6) 62 1 0.00

72,000 BNP Paribas (US dollar Put South Korean won 27/3/2019 Call @ 1110)^ 23 – 0.00

67,500 Citibank (Australian dollar Call Japanese yen 6/3/2019 Put @ 76) 71 1 0.00

(67,500) Citibank (Australian dollar Call Japanese yen 6/3/2019 Put @ 78.5)^ 53 – 0.00

205,000 Citibank (Australian dollar Call US dollar 12/3/2019 Put @ 0.73)^ 12 – 0.00

(260,000) Citibank (Australian dollar Call US dollar 12/3/2019 Put @ 0.74)^ 2 – 0.00

83,333 Citibank (Australian dollar Put Japanese yen 7/3/2019 Call @ 76.5)^ 1 – 0.00

203,000 Citibank (Australian dollar Put US dollar 12/3/2019 Call @ 0.685)^ 3 – 0.00





230,000 Goldman Sachs International (US dollar Put Japanese yen 12/4/2019 Call @ 106.5)^ 18 – 0.00

410,000 Goldman Sachs International (US dollar Put Swiss franc 9/5/2019 Call @ 0.95)^ 40 – 0.00

(65,000) HSBC Bank (US dollar Call Chinese yuan renminbi 13/3/2019 Put @ 6.85)^ 1 – 0.00

93,000 HSBC Bank (US dollar Put South Korean won 15/3/2019 Call @ 1118)^ 43 – 0.00

(536,655) HSBC Bank (US dollar Put South Korean won 16/5/2019 Call @ 1062)^ 24 – 0.00

403,333 HSBC Bank (US dollar Put South Korean won 16/5/2019 Call @ 1085) 74 1 0.00

402,000 JP Morgan Chase Bank (Australian dollar Put US dollar 12/3/2019 Call @ 0.685)^ 6 – 0.00

(155,250) JP Morgan Chase Bank (Australian dollar Put US dollar 12/3/2019 Call @ 0.715) 103 (1) 0.00

155,000 JP Morgan Chase Bank (Australian dollar Put US dollar 2/4/2019 Call @ 0.71) 76 1 0.00

72,000 JP Morgan Chase Bank (US dollar Call Chilean peso 4/4/2019 Put @ 660)^ 43 – 0.00

(108,000) JP Morgan Chase Bank (US dollar Call Chilean peso 4/4/2019 Put @ 678)^ 24 – 0.00

(48,000) JP Morgan Chase Bank (US dollar Call Colombian peso 27/3/2019 Put @ 3105)^ 29 – 0.00

(50,000) JP Morgan Chase Bank (US dollar Call South African rand 14/3/2019 Put @ 14)^ 44 – 0.00

166 JP Morgan Chase Bank (US dollar Call South African rand 8/4/2019 Put @ 15)^ – – 0.00

196,800 JP Morgan Chase Bank (US dollar Call South African rand 8/4/2019 Put @ 15.5)^ 21 – 0.00

115,500 JP Morgan Chase Bank (US dollar Call Turkish lira 21/3/2019 Put @ 5.75)^ 12 – 0.00

(165,000) JP Morgan Chase Bank (US dollar Call Turkish lira 21/3/2019 Put @ 5.9)^ 5 – 0.00

(360,000) JP Morgan Chase Bank (US dollar Put Japanese yen 15/3/2019 Call @ 104.5)^ – – 0.00

(360,000) JP Morgan Chase Bank (US dollar Put Japanese yen 15/3/2019 Call @ 104.5)^ – – 0.00

360,000 JP Morgan Chase Bank (US dollar Put Japanese yen 15/3/2019 Call @ 107.5)^ 4 – 0.00

360,000 JP Morgan Chase Bank (US dollar Put Japanese yen 15/3/2019 Call @ 107.5)^ 4 – 0.00

155,000 JP Morgan Chase Bank (US dollar Put South African rand 11/3/2019 Call @ 12.75)^ – – 0.00

62,000 Deutsche Bank (US dollar Call Russian ruble 18/3/2019 Put @ 67.5)^ 20 – 0.00

(81,000) Deutsche Bank (US dollar Put Canadian dollar 5/3/2019 Call @ 1.3175)^ 64 – 0.00

198,000 Deutsche Bank (US dollar Put South African rand 21/3/2019 Call @ 13.1)^ 4 – 0.00

(80,000) Deutsche Bank (US dollar Put South African rand 21/3/2019 Call @ 13.35)^ 6 – 0.00

55 Euro Stoxx Call Option 21/6/2019 100 100 5 0.01 (55) Euro Stoxx Call Option 21/6/2019 110 32 (1) 0.00 (21) EURO$ Call Option 13/12/2019 97.625 1,626 (8) (0.01) 21 EURO$ Call Option 13/12/2019 97.75 1,333 6 0.01 21 EURO$ Call Option 16/12/2019 97.25 2,372 8 0.01 (21) EURO$ Call Option 16/12/2019 97.375 1,815 (5) (0.01) 51 EURO$ Call Option 17/06/2019 97.75 307 1 0.00 (51) EURO$ Call Option 17/06/2019 97.875^ 247 – 0.00 51 EURO$ Call Option 16/03/2020 97.75 2,465 9 0.01 (51) EURO$ Call Option 16/03/2020 97.875 1,924 (6) (0.01) 10 EURO$ Put Option 12/07/2019 97^ 92 – 0.00 3 EURO$ Put Option 12/07/2019 97.125^ 46 – 0.00 4 EURO$ Put Option 12/07/2019 97.25^ 159 – 0.00 4 General Electric Put Option 15/3/2019 9^ – – 0.00 (81,000) Goldman Sachs International (Australian dollar

Call US dollar 12/3/2019 Put @ 0.73)^ 5 – 0.00 (124,000) Goldman Sachs International (Australian dollar

Call US dollar 12/3/2019 Put @ 0.73)^ 7 – 0.00 260,000 Goldman Sachs International (Australian dollar

Call US dollar 12/3/2019 Put @ 0.74)^ 2 – 0.00 (605,000) Goldman Sachs International (Australian dollar

Put US dollar 12/3/2019 Call @ 0.685)^ 10 – 0.00 155,250 Goldman Sachs International (Australian dollar

Put US dollar 12/3/2019 Call @ 0.715) 103 1 0.00 (155,000) Goldman Sachs International (Australian dollar

Put US dollar 2/4/2019 Call @ 0.71) 76 (1) 0.00 202,000 Goldman Sachs International (Australian dollar

Put US dollar 10/5/2019 Call @ 0.65)^ 3 – 0.00 70,000 Goldman Sachs International (US dollar Call

Mexican peso 14/3/2019 Put @ 19.25)^ 60 – 0.00 (105,000) Goldman Sachs International (US dollar Call

Mexican peso 14/3/2019 Put @ 19.75)^ – – 0.00 (250,000) Goldman Sachs International (US dollar Put

Canadian dollar 8/3/2019 Call @ 1.3)^ 37 – 0.00 (230,000) Goldman Sachs International (US dollar Put

Japanese yen 12/4/2019 Call @ 103.5)^ 1 – 0.00





(270,345) JP Morgan Chase Bank (US dollar Put South Korean won 16/5/2019 Call @ 1062)^ 12 – 0.00

201,667 JP Morgan Chase Bank (US dollar Put South Korean won 16/5/2019 Call @ 1085)^ 25 – 0.00

(201,500) JP Morgan Chase Bank (US dollar Put Swedish krona 8/3/2019 Call @ 9)^ 3 – 0.00

201,500 JP Morgan Chase Bank (US dollar Put Swedish krona 9/5/2019 Call @ 8.8)^ 30 – 0.00

165,000 JP Morgan Chase Bank (US dollar Put Turkish lira 21/3/2019 Call @ 5.4) 125 2 0.00

182,000 Morgan Stanley International (US dollar Call Mexican peso 12/4/2019 Put @ 20.5)^ 27 – 0.00

(202,000) Morgan Stanley International (US dollar Call Mexican peso 12/4/2019 Put @ 21)^ 9 – 0.00

30,000 Morgan Stanley International (US dollar Call Mexican peso 14/3/2019 Put @ 20)^ 3 – 0.00

(255,000) Morgan Stanley International (US dollar Call Mexican peso 14/3/2019 Put @ 20.5)^ 1 – 0.00

50,000 Morgan Stanley International (US dollar Call South African rand 14/3/2019 Put @ 14)^ 44 – 0.00

(72,000) Morgan Stanley International (US dollar Call South Korean won 6/3/2019 Put @ 1135)^ 11 – 0.00

72,000 Morgan Stanley International (US dollar Put South Korean won 6/3/2019 Call @ 1110)^ 3 – 0.00

(121,000) Nomura International (Australian dollar Put Japanese yen 7/3/2019 Call @ 78)^ 21 – 0.00

(105,000) Royal Bank of Canada (Euro Call Japanese yen 8/3/2019 Put @ 126) 130 (1) 0.00

101,000 Royal Bank of Canada (US dollar Call Canadian dollar 5/3/2019 Put @ 1.325)^ 33 – 0.00

101,000 Royal Bank of Canada (US dollar Put Canadian dollar 5/3/2019 Call @ 1.325) 119 1 0.00

(303,000) Royal Bank of Canada (US dollar Put Japanese yen 8/4/2019 Call @ 102.5)^ – – 0.00

155,000 Royal Bank of Canada (US dollar Put Japanese yen 8/4/2019 Call @ 104)^ 1 – 0.00

202,000 Royal Bank of Canada (US dollar Put Japanese yen 8/4/2019 Call @ 105)^ 3 – 0.00

88 SPDR S&P Call Option 15/03/2019 282 542 9 0.01 (20) SPDR S&P Call Option 29/03/2019 280 189 (5) (0.01) 36 SPDR S&P Call Option 20/12/2019 300 207 14 0.02 28 Sterling 2 Year Mid Curve Put Option

14/06/2019 98^ – – 0.00

18,181 35 0.04

Synthetic Caps – 0.03%; 28.2.2018 0.00% 9,365,100 Goldman Sachs International 2–10 year CMS

CAP 0.2125% 7,041 13 0.02 (9,365,100) Goldman Sachs International 2–10 year CMS

CAP 0.7125% 7,041 (2) 0.00 6,000,000 Goldman Sachs International 5–30 year CMS

CAP 0.35% 4,511 2 0.00 (6,000,000) Goldman Sachs International 5–30 year CMS

CAP 0.45% 4,511 (1) 0.00 8,900,000 Morgan Stanley International 5–10 year CMS

CAP 0.14% 6,691 5 0.01

29,795 17 0.03

Swaptions – (0.02)%; 28.2.2018 0.06% (7,599,500) Bank of America Merrill Lynch (Sell 2 Year Right

to Pay 5/10/2020 3.55) 515 (3) (0.01) (6,204,400) Bank of America Merrill Lynch (Sell 2 Year Right

to Pay 13/10/2020 3.75) 290 (2) 0.00 460,000 Barclays Bank (Buy 5 Year Right to Pay

15/2/2021 0.551) 203 5 0.01 460,000 Barclays Bank (Buy 5 Year Right to Receive

15/2/2021 0.551) 187 4 0.01 16,750,000 Barclays Bank (Buy 15 Year Right to Pay

14/9/2020 0.66) 25 1 0.00 16,750,000 Barclays Bank (Buy 15 Year Right to Receive

14/9/2020 0.66) 88 4 0.01 540,000 Barclays Bank (Buy 30 Year Right to Pay

7/6/2021 3.8) 59 5 0.01 (1,100,000) Barclays Bank (Sell 2 Year Right to Pay

12/3/2019 0.025)^ – – 0.00 (2,420,000) Barclays Bank (Sell 2 Year Right to Pay

14/6/2019 0.143)^ 58 – 0.00 (1,115,000) Barclays Bank (Sell 2 Year Right to Pay

1/7/2019 2.9)^ 82 – 0.00 (860,000) Barclays Bank (Sell 2 Year Right to Pay

23/1/2020 0.2) 171 (1) 0.00 (5,410,000) Barclays Bank (Sell 2 Year Right to Pay


24/8/2020 3.5) 167 (1) 0.00 (700,000) Barclays Bank (Sell 2 Year Right to Pay


15/2/2021 0.209) 642 (5) (0.01) (1,115,000) Barclays Bank (Sell 2 Year Right to Receive

1/7/2019 2.1)^ 73 – 0.00





(1,420,000) Barclays Bank (Sell 2 Year Right to Receive 15/2/2021 0.209) 570 (4) (0.01)

(623,000) Barclays Bank (Sell 5 Year Right to Pay 25/6/2019 0.6)^ 21 – 0.00

(4,391,300) Barclays Bank (Sell 5 Year Right to Pay 26/6/2019 0.78)^ 40 – 0.00

(400,000) Barclays Bank (Sell 10 Year Right to Pay 4/5/2021 2) 36 (1) 0.00

(1,150,000) Barclays Bank (Sell 10 Year Right to Pay 7/6/2021 3.87) 125 (4) (0.01)

790,000 Citibank (Buy 5 Year Right to Pay 26/2/2020 2.521) 318 6 0.01

790,000 Citibank (Buy 5 Year Right to Receive 26/2/2020 2.521) 276 7 0.01

160,000 Citibank (Buy 10 Year Right to Pay 22/3/2019 2.7)^ 77 – 0.00

240,000 Citibank (Buy 10 Year Right to Receive 22/3/2019 2.6)^ 24 – 0.00



50,000 Citibank (Buy 30 Year Right to Pay 29/1/2024 2.97) 15 3 0.00


(2,690,000) Citibank (Sell 2 Year Right to Pay 23/7/2019 2.96)^ 166 – 0.00

(1,920,000) Citibank (Sell 2 Year Right to Pay 26/2/2020 2.46) 766 (6) (0.01)

(1,220,000) Citibank (Sell 2 Year Right to Pay 29/12/2020 3.25) 168 (1) 0.00

(2,690,000) Citibank (Sell 2 Year Right to Receive 23/7/2019 2.46) 729 (4) (0.01)



(1,660,000) Deutsche Bank (Sell 2 Year Right to Pay 14/2/2020 3.35)^ 77 – 0.00

(2,670,000) Deutsche Bank (Sell 2 Year Right to Pay 14/4/2020 2.877) 532 (3) (0.01)

(1,330,000) Deutsche Bank (Sell 2 Year Right to Pay 29/5/2020 2.9) 266 (2) 0.00

(1,660,000) Deutsche Bank (Sell 2 Year Right to Receive 14/2/2020 2.35) 491 (5) (0.01)

(2,670,000) Deutsche Bank (Sell 2 Year Right to Receive 14/4/2020 2.877) 1,475 (21) (0.03)

(1,330,000) Deutsche Bank (Sell 2 Year Right to Receive 29/5/2020 2.9) 734 (11) (0.02)

1,210,000 Goldman Sachs International (Buy 10 Year Right to Receive 23/7/2019 2.59) 293 8 0.01

410,000 Goldman Sachs International (Buy 15 Year Right to Pay 3/5/2022 3.25) 111 10 0.01

200,000 Goldman Sachs International (Buy 30 Year Right to Pay 3/2/2020 4)^ 5 – 0.00



80,000 Goldman Sachs International (Buy 30 Year Right to Receive 26/4/2023 3.112) 38 7 0.01

(1,870,000) Goldman Sachs International (Sell 2 Year Right to Pay 6/9/2019 3.3)^ 24 – 0.00

(750,000) Goldman Sachs International (Sell 2 Year Right to Pay 3/1/2020 2.8) 164 (1) 0.00

(1,400,000) Goldman Sachs International (Sell 2 Year Right to Pay 5/5/2020 3.15) 156 (1) 0.00



(1,150,000) Goldman Sachs International (Sell 2 Year Right to Pay 15/6/2020 3.35)^ 88 – 0.00

(5,936,100) Goldman Sachs International (Sell 2 Year Right to Receive 25/6/2019 2.7) 3,049 (19) (0.03)

(1,030,000) Goldman Sachs International (Sell 5 Year Right to Pay 3/5/2022 3.25) 245 (8) (0.01)

3,811,900 JP Morgan Chase Bank (Buy 5 Year Right to Pay 14/3/2019 3.2)^ – – 0.00

426,000 JP Morgan Chase Bank (Buy 10 Year Right to Pay 2/5/2028 3.183) 121 16 0.02

77,500 JP Morgan Chase Bank (Buy 10 Year Right to Pay 22/2/2039 2.86) 15 3 0.00

426,000 JP Morgan Chase Bank (Buy 10 Year Right to Receive 2/5/2028 3.183) 200 19 0.03

77,500 JP Morgan Chase Bank (Buy 10 Year Right to Receive 22/2/2039 2.86) 43 3 0.00

16,900,000 JP Morgan Chase Bank (Buy 20 Year Right to Pay 16/4/2021 0.78) 36 2 0.00

16,900,000 JP Morgan Chase Bank (Buy 20 Year Right to Receive 16/4/2021 0.78) 78 5 0.01





(4,770,000) JP Morgan Chase Bank (Sell 2 Year Right to Pay 3/7/2019 2.9)^ 359 – 0.00

(120,000) JP Morgan Chase Bank (Sell 2 Year Right to Pay 8/7/2019 0.4)^ – – 0.00

(2,540,000) JP Morgan Chase Bank (Sell 2 Year Right to Pay 8/7/2019 2.95)^ 143 – 0.00

(1,030,000) JP Morgan Chase Bank (Sell 2 Year Right to Pay 16/12/2019 2.7) 283 (1) 0.00



(4,770,000) JP Morgan Chase Bank (Sell 2 Year Right to Receive 3/7/2019 2.1) 318 (1) 0.00

(7,923,000) JP Morgan Chase Bank (Sell 2 Year Right to Receive 31/7/2019 2.34) 1,508 (8) (0.01)

(2,540,000) JP Morgan Chase Bank (Sell 2 Year Right to Receive 8/7/2019 2.15) 216 (1) 0.00

(700,000) JP Morgan Chase Bank (Sell 10 Year Right to Pay 19/4/2021 2.15) 45 (2) 0.00

(1,775,000) JP Morgan Chase Bank (Sell 10 Year Right to Receive 31/7/2019 2.48) 311 (8) (0.01)

4,940,000 Morgan Stanley International (Buy 1 Year Right to Receive 30/1/2020 2.95) 2,980 19 0.03

90,000 Morgan Stanley International (Buy 10 Year Right to Pay 11/1/2029 3.037) 27 4 0.01

90,000 Morgan Stanley International (Buy 10 Year Right to Receive 11/1/2029 3.037) 41 4 0.01

1,075,000 Morgan Stanley International (Buy 10 Year Right to Receive 11/3/2019 2.7) 251 4 0.01


16,750,000 Morgan Stanley International (Buy 15 Year Right to Pay 14/9/2020 0.66) 25 1 0.00


(7,410,000) Morgan Stanley International (Sell 1 Year Right to Receive 30/1/2020 2.45) 2,265 (10) (0.01)

(1,718,600) Morgan Stanley International (Sell 2 Year Right to Pay 27/11/2020 3.065) 310 (2) 0.00

(1,718,600) Morgan Stanley International (Sell 2 Year Right to Receive 27/11/2020 3.065) 982 (18) (0.03)

(1,075,000) Morgan Stanley International (Sell 10 Year Right to Receive 11/3/2019 2.6) 49 (1) 0.00

90,000 Nomura International (Buy 10 Year Right to Pay 10/1/2029 3.04) 27 4 0.01

90,000 Nomura International (Buy 10 Year Right to Receive 10/1/2029 3.04) 41 4 0.01

(12,400,000) Nomura International (Sell 1 Year Right to Receive 16/4/2020 2.45) 4,202 (22) (0.03)

(1,590,000) Nomura International (Sell 2 Year Right to Pay 3/7/2019 2.9)^ 120 – 0.00

(960,000) Nomura International (Sell 2 Year Right to Pay 26/8/2019 2.7) 245 (1) 0.00

(1,590,000) Nomura International (Sell 2 Year Right to Receive 3/7/2019 2.1)^ 106 – 0.00

360,000 UBS (Buy 20 Year Right to Pay 18/1/2028 3) 44 10 0.01 (1,600,000) UBS (Sell 2 Year Right to Pay 21/2/2020 3.35)^ 77 – 0.00 (1,600,000) UBS (Sell 2 Year Right to Receive 21/2/2020

2.35) 476 (5) (0.01)

32,865 (19) (0.02)

TBA Mortgage–Backed Securities – 0.00%; 28.2.2018 (1.65)%

Total Return Swaps – 0.05%; 28.2.2018 0.08% 1,162,000 JP Morgan Chase Bank (Iboxx US Dollar Liquid

High Yield Index) 2.824% 21/9/2019 910 32 0.05 644,000 JP Morgan Chase Bank (Iboxx US Dollar Liquid

Investment Index) 2.792% 21/3/2019 484 (3) 0.00

1,394 29 0.05

Portfolio of investments 62,198 88.10Net other assets 8,405 11.90

Total net assets 70,603 100.00

Unless otherwise stated, all securities are either listed on a recognised exchange or traded on an eligible securities market.* Suspended investment fair valued at zero.# Investments valued using significant unobservable inputs. Ø All or a portion of this investment represents a security on loan, see note 2(b)(vi) for further details. ^ Investments which are less than £500 are rounded to zero.The total return swaps (“TRS”) shown in the portfolio statement on this page are expressed at both their mark–to–market and original notional value, which when added together represent the current notional value of the TRS. The current notional value of a TRS represents the reference amount used to calculate payments between the counterparties to the TRS. The full notional value represents the economic interest in the security underlying the TRS, but does not change hands in full between the counterparties.The counterparties for the forward currency contract are Bank of America Merrill Lynch, Barclays Bank Plc, BNP Paribas Arbitrage SNC, Citigroup Global Markets Limited, Credit Suisse International, Deutsche Bank AG, HSBC Bank Plc, J.P. Morgan Securities Plc, Morgan Stanley & Co. International Plc, Royal Bank of Scotland, State Street Global Advisors, Standard Chartered Plc and Toronto-Dominion Bank.Underlying exposure has been calculated according to the guidelines issued by the European Securities and Markets Authority (“ESMA”) and represents the market value of an equivalent position in the assets underlying each financial derivative instrument.


Notes £000’s


£000’s £000’s


£000’s

Income

Net capital (losses)/gains 3 (5,283) 10

Revenue 4 4,272 3,294

Expenses 5 (698) (613)

Interest payable and similar charges 6 (334) (607)

Net revenue before taxation 3,240 2,074

Taxation 7 (26) (106)

Net revenue after taxation 3,214 1,968

Total return before distributions (2,069) 1,978

Distributions 8 (3,231) (2,072)

Change in net assets attributable to unitholders from investment activities (5,300) (94)

Statement of Change in Net Assets Attributable to Unitholdersfor the year ended 28 February 2019

£000’s


£000’s £000’s


£000’s

Opening net assets attributable to unitholders 120,611 73,172

Amounts receivable on issue of units 72,301 65,375

Amounts payable on cancellation of units (119,439) (19,652)

(47,138) 45,723

Change in net assets attributable to unitholders from investment activities (5,300) (94)

Retained distribution on accumulation units 2,430 1,809

Unclaimed distributions over 6 years old – 1

Closing net assets attributable to unitholders 70,603 120,611

Statement of Total Return for the year ended 28 February 2019

Notes

28.2.2019 £000’s

28.2.2018£000’s

Assets:

Fixed assets

– Investment assets 63,719 112,226

Current assets

– Debtors 9 958 15,273

– Cash and bank balances 10 12,327 19,571

– Cash collateral posted 330 213

Total assets 77,334 147,283

Liabilities:

Investment liabilities (1,521) (12,148)

Creditors

– Amounts held at futures clearing houses and brokers (19) (154)

– Cash collateral payable (10) –

– Distributions payable (196) (304)

– Other creditors 11 (4,985) (14,066)

Total liabilities (6,731) (26,672)

Net assets attributable to unitholders 70,603 120,611

G D Bamping (Director)R A R Hayes (Director)BlackRock Fund Managers Limited2 May 2019

Balance Sheet at 28 February 2019

BlackRock Fixed Income Global Opportunities Fund 8483 BlackRock Fixed Income Global Opportunities Fund

1. Accounting and Distribution Policies

Accounting Policies

(a) The financial statements have been prepared in accordance with the Statement of Recommended Practice for Authorised Funds (the “SORP”) issued by the Investment Management Association (now known as the Investment Association) in May 2014 and amended in June 2017.

(b) Revenue from fixed interest securities is recognised on an effective interest rate basis.

Accrued interest purchased and sold on interest bearing securities is excluded from the capital cost of these securities and dealt with as part of the revenue of the Fund.

All revenue is recognised as a gross amount that takes account of any withholding taxes but excludes any other taxes such as attributable tax credits.

Revenue from securities lending is accounted for net of associated costs and is recognised on an accruals basis.

Returns from bond futures are streamed into revenue and capital components.

Returns from total return swaps in the form of dividends or interest received from the underlying security or index are recognised as revenue. Capital gains on the underlying security or index are treated as capital.

Bank interest is recognised on an accruals basis.

The Fund receives Manager’s charge rebates from BlackRock related investments in the normal course of business. These are recognised on an accruals basis and are treated as revenue, unless it is the policy of the underlying fund to charge its fees to capital, in which case these rebates will be recognised as capital.

(c) All expenses, except those relating to the purchase and sale of investments are charged against revenue. All expenses are recognised on an accruals basis.

(d) Provision for corporation tax is made at the current rate on the excess of taxable revenue over allowable expenses. Provision is made on all material timing differences arising from the different treatment of items for accounting and tax purposes. A deferred tax asset is recognised only to the extent that it is considered more likely than not that there will be taxable profits in the future against which the asset can be offset.

(e) The investments of the Fund have been valued at market values, defined as fair value, which is usually bid value at 12 noon on the last business day of the accounting period. In the case of an investment which is not quoted, listed or dealt in on a recognised market, or in respect of which a listed, traded or dealt price or quotation is not available at the time of valuation, the fair value of such investment shall be estimated with care and in good faith by a competent professional person, body, firm or corporation including the Manager’s pricing committee and such fair value shall be determined on the basis of the probable realisation value of the investment. The Manager shall be entitled to adopt an alternative method of valuing any particular asset if it considers that the methods of valuation set out above do not provide a fair valuation of a particular asset or liability.

For Over-the-Counter (“OTC”) derivatives including Credit Default Swaps, Currency Swaps, Forward Currency Contracts, Inflation Swaps, Interest Rate Swaps, OTC Options, Swaptions, Synthetic Caps, Total Return Swaps and Volatility Swaps; fair value is determined based on valuation pricing models which take into account relevant market inputs as well as the time values, liquidity and volatility factors underlying the positions. The fair value of exchange traded and over the counter derivatives represents the price that would be required to close out the contracts at the Balance Sheet date. Amounts due to and from an individual counterparty which falls under a legally enforceable master netting agreement are netted.

Notes to Financial Statements for the year ended 28 February 2019

Investments in single priced Collective Investment Schemes have been valued at market values, defined as fair value, which is usually the latest available price at the Fund’s 12 noon valuation point on the last business day of the accounting period.

(f) Any transactions in foreign currencies are translated into Sterling at the rates of exchange ruling on the date of any such transaction. Assets and liabilities in foreign currencies are translated into Sterling at the exchange rates ruling at 12 noon on the last business day of the accounting period. Revenue items in foreign currencies are translated into Sterling at the exchange rate when the revenue is received.

(g) Where appropriate, certain permitted financial instruments such as derivatives are used for efficient portfolio management. Where such financial instruments are used to protect or enhance revenue, the revenue and expenses derived therefrom are included in ‘Revenue’ in the Statement of Total Return. Where such financial instruments are used to protect or enhance capital, the gains and losses derived therefrom are included in ‘Net capital (losses)/gains’ in the Statement of Total Return.

Premiums received on written options are treated as capital.

(h) Cash and bank balances consist of deposits held on call with banks and cash held with clearing brokers and counterparties.

(i) Cash collateral provided by the Fund is identified on the Balance Sheet as pledged cash collateral and is not included as a component of cash and cash equivalents.

For collateral other than cash provided by the Fund, the party to whom the collateral is provided has the right by contract to sell or repledge the collateral but has an obligation to return equivalent securities to the Fund on maturity or sale of the contract. The Fund classifies these assets on its Balance Sheet separately from other assets and identifies the asset as pledged investments. Such assets are valued consistently with the accounting policies listed above.

Cash collateral provided to the Fund by counterparties is identified in the Balance Sheet as cash collateral payable. The Fund may reinvest this cash collateral and the assets purchased are included in investment assets or cash equivalents on the Balance Sheet.

For collateral received from counterparties other than cash, a disclosure of the collateral provided is made in the notes to the financial statements.

Distribution Policies

(j) Returns from bond futures recognised as revenue from long positions form part of the distribution; amounts recognised as revenue from short positions reduce the amounts available for distribution.

(k) All of the net revenue available for distribution at the final accounting period end will be distributed to unitholders with the balance attributable to accumulation unitholders retained within the Fund. In order to conduct a controlled dividend flow to unitholders, interim distributions may be made at the Manager’s discretion, up to a maximum of the distributable revenue available for the period. Should expenses and taxation together exceed revenue, there will be no distribution and the shortfall will be met from capital.

(l) The Fund has satisfied the qualifying investment test as specified in S468L ICTA 1988 at all times throughout the distribution period. As such, any revenue available for distribution will be paid as an interest distribution.

Notes to Financial Statements continued


2. Financial Instruments and RisksThe Fund’s investment activities expose it to the various types of risk which are associated with the financial instruments and markets in which it invests. The following information is not intended to be a comprehensive summary of all risks and investors should refer to the Prospectus for a more detailed discussion of the risks inherent in investing in the Fund.

Risk management framework

The Manager has delegated the day-to-day administration of the investment programme to the Investment Manager. The Investment Manager is also responsible for ensuring that the Fund is managed within the terms of its investment guidelines and limits set out in the Prospectus. The Manager reserves to itself the investment performance, product risk monitoring and oversight and the responsibility for the monitoring and oversight of regulatory and operational risk for the Fund.

The Manager has appointed a risk manager who has responsibility for the daily risk management process with assistance from key risk management personnel of the Investment Manager, including members of the BlackRock Risk and Quantitative Analysis Group (“RQA Group”) which is a centralised group which performs an independent risk management function. The RQA Group independently identifies, measures and monitors investment risk. The RQA Group tracks the actual risk management practices being deployed across the different funds. By breaking down the components of the process, the RQA Group has the ability to determine if the appropriate risk management processes are in place for the Fund. This captures the risk management tools employed, how the levels of risk are controlled, ensuring risk/return is considered in portfolio construction and reviewing outcomes.

The principal risk exposure of the Fund is set out as follows:

a) Market riskMarket risk arises mainly from uncertainty about future values of financial instruments influenced by other price, currency and interest rate movements. It represents the potential loss the Fund may suffer through holding market positions in the face of market movements. The Fund is exposed to market risk by virtue of its investments in corporate bonds, government bonds, credit default swaps, currency swaps, inflation swaps, Options, synthetic caps, swaptions, interest rate swaps, futures contracts, total return swaps and forward currency contracts.

A key metric the RQA Group uses to measure market risk is Value-at-Risk (“VaR”) which encompasses price, currency and interest rate risk. VaR is a statistical risk measure that estimates the potential portfolio loss from adverse market moves in an ordinary market environment. VaR analysis reflects the interdependencies between risk variables, unlike a traditional sensitivity analysis.

The VaR calculations are based on an adjusted historical simulation model with a confidence level of 99%, a holding period of one day and a historical observation period of not less than one year (250 days). A VaR number is defined at a specified probability and a specified time horizon. A 99% one day VaR means that the expectation is that 99% of the time over a one day period the Fund will lose less than this number in percentage terms. Therefore, higher VaR numbers indicate higher risk.

It is noted that the use of the VaR methodology has limitations, namely that the use of historical market data as a basis for estimating future events does not encompass all possible scenarios, particularly those that are of an extreme nature and that the use of a specified confidence level (e.g. 99%) does not take into account losses that occur beyond this level. There is some probability that the loss could be greater than the VaR amounts. These limitations and the nature of the VaR measure mean that the Fund can neither guarantee that losses will not exceed the VaR amounts indicated, nor that losses in excess of the VaR amounts will not occur more frequently.

The one day VaR as at 28 February 2019 and 28 February 2018 based on a 99% confidence level was 0.19% and 0.13% respectively.

i) Market risk arising from foreign currency risk

Exposure to foreign currency risk

Foreign currency risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in foreign exchange rates.

The Fund may invest in securities which may be denominated in currencies other than its reporting currency.

The Fund may also invest in forward currency contracts and thus gain further exposure to foreign currency risk.

As at the Balance Sheet date the assets and liabilities of the Fund are denominated mainly in Sterling, therefore the Balance Sheet and Statement of Total Return are unlikely to be directly affected by currency movements.

Management of foreign currency risk

Foreign currency exposures are managed within parameters utilising forward currency contracts. The details of the contracts in place at the year end are disclosed in the portfolio statement.

ii) Market risk arising from other price risk

Exposure to other price risk

Other price risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market prices (other than those arising from interest rate risk or currency risk), whether those changes are caused by factors specific to the individual financial instrument or its issuer, or factors affecting similar financial instruments traded in the market.

The Fund is exposed to other price risk arising from its investments. The exposure of the Fund to other price risk is the market value of the investments held as shown in the portfolio statement of the Fund.

Management of other price risk

The Investment Manager manages the Fund’s other price risk on a daily basis in accordance with the Fund’s investment objective.

By diversifying the portfolio, where this is appropriate and consistent with the Fund’s objectives, the risk that a price change of a particular investment will have a material impact on the Net Asset Value (“NAV”) of the Fund is minimised. The investment concentrations within the portfolio are disclosed in the portfolio statement by investment type.



iii) Market risk arising from interest rate risk

Exposure to interest rate risk

Interest rate risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market interest rates.

The Fund is exposed to interest rate risk on its cash and bank balances held at The Bank of New York Mellon (International) Limited, amounts held at futures clearing houses and brokers, cash equivalent holdings and its investments in fixed and floating rate interest bearing securities where the value of these securities may fluctuate as a result of a change in interest rates. Cash held on deposit at The Bank of New York Mellon (International) Limited receives/incurs interest at the prevailing daily rate which may be negative depending on the currency in which the cash is held.

The Fund also has indirect exposure to interest rate risk through its investments in futures contracts, whereby the value of the underlying asset may fluctuate as a result of a change in interest rates through its investments in interest-bearing securities.

The interest rate risk profile of the Fund’s investments as at 28 February 2019 was as follows:

Floating Rate Investments

£000’s

Fixed Rate Investments

£000’s

Non-interest Bearing Investments

£000’sTotal

£000’s

9,719 51,232 1,247 62,198

The interest rate risk profile of the Fund’s investments as at 28 February 2018 was as follows:

Floating Rate Investments

£000’s

Fixed Rate Investments

£000’s

Non-interest Bearing Investments

£000’sTotal

£000’s

22,165 81,580 (3,667) 100,078

Management of interest rate risk

Interest rate risk exposure is managed by constantly monitoring the position for deviations outside a pre-determined tolerance level and, when necessary, rebalancing back to the original desired parameters.

b) Counterparty credit riskExposure to counterparty credit risk

Counterparty credit risk is the risk that one party to a financial instrument will cause a financial loss for the other party by failing to discharge an obligation.

The Fund is exposed to counterparty credit risk from the parties with which it trades and will bear the risk of settlement default.

Management of counterparty credit risk

Counterparty credit risk is monitored and managed by BlackRock’s RQA Counterparty & Concentration Risk Team. The team is headed by BlackRock’s Chief Counterparty Credit Officer who reports directly to the Global Head of RQA. Credit authority resides with the Chief Counterparty Credit Officer and selected team members to whom specific credit authority has been delegated. As such, counterparty approvals may be granted by the Chief Counterparty Credit Officer or by identified RQA Credit Risk Officers who have been formally delegated authority by the Chief Counterparty Credit Officer as deemed appropriate.

BlackRock’s RQA Counterparty & Concentration Risk Team completes a formal review of each new counterparty, monitors and reviews all approved counterparties on an ongoing basis and maintains an active oversight of counterparty exposures.

The Manager maintains a list of approved counterparties. This list is regularly monitored and revised for changes based on the counterparty’s creditworthiness, market reputation and expectations of future financial performance. Transactions will only be opened with financial intermediaries on the approved counterparties list.

i) Exchange Traded Financial Derivative Instruments

The Fund’s holdings in futures contracts and exchange traded options expose the Fund to counterparty credit risk.

Management of counterparty credit risk related to futures contracts and exchange traded options

The exposure is limited by trading the contracts through a clearing house. The Fund’s exposure to counterparty credit risk on contracts in which it currently has a gain position is reduced by such gains received in cash from the counterparty under the daily mark-to market mechanism on exchange traded futures contracts (variation margin). The Fund’s exposure to credit risk on contracts in which it currently has a loss position is equal to the amount of margin posted to the counterparty which has not been transferred to the exchange under the daily mark-to-market mechanism. The counterparty for futures contracts and exchange traded options is Goldman Sachs International.

Margin is paid or received on futures and exchange traded options to cover any exposure by the counterparty or the Fund to each other. Margin receivable from the Fund’s clearing brokers and various counterparties is included in “Cash and bank balances” on the Balance Sheet. Margin payable to the Fund’s clearing brokers and various counterparties is included in “Amounts held at futures clearing houses and brokers” on the Balance Sheet.

Counterparty exposure has not been disclosed for exchange traded derivatives as the exchange requirements in respect of collateral mean that, in the opinion of the Manager, the counterparty risk is mitigated.



ii) Over-the-Counter (“OTC”) Financial Derivative Instruments (“FDIs”)

The Fund’s holdings in credit default swaps, forward currency contracts, interest rate swaps, OTC options and swaptions expose the Fund to counterparty credit risk. Counterparty credit risk arises from the failure of the counterparty to perform according to the terms of the contract. The Fund’s exposure to counterparty credit risk is limited to the contracts in which it currently has a gain position reduced by the cash collateral received from the counterparty or to counterparties which have received collateral from the Fund.

All OTC FDIs and total return swaps are entered into by the Fund under an International Swaps and Derivatives Associations, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs OTC FDIs (including total return swaps) entered into by the parties. The parties’ exposures under the ISDA Master Agreement are netted and collateralised together, therefore any collateral disclosures provided are in respect of all OTC FDIs entered into by the Fund under the ISDA Master Agreement, not just total return swaps. All non-cash collateral received/posted by the Fund under the ISDA Master Agreement is transferred bilaterally under a title transfer arrangement.

Cash held as security by the counterparty to derivative contracts is subject to the credit risk of the counterparty.

The carrying value of financial assets together with cash best represents the Fund’s gross maximum exposure to counterparty credit risk at the reporting date, before including the effect of ISDA Master Agreements and close-out netting, which would reduce the overall counterparty credit risk exposure.

The Fund’s maximum exposure to counterparty credit risk from holding forward currency contracts will be equal to the notional amount of the currency and any net unrealised gains or losses as disclosed in the portfolio statement.

Management of counterparty credit risk related to OTC FDIs

For TRSs held by the Fund, cash movements take place on a daily basis, above a certain threshold for each counterparty. The risk is further mitigated as contracts are reset on a monthly basis (1 year rolling maturity at each monthly reset) with the gain or loss being realised. The Fund is required to maintain the collateral with the counterparties to secure these financial instruments.

Forward currency contracts do not require variation margin and thus the counterparty credit risk is monitored through the BlackRock RQA Counterparty & Concentration Risk Team which monitors the creditworthiness of the counterparty. The counterparties for forward currency contracts are disclosed in the portfolio statement.

The lowest credit rating of any one counterparty as at 28 February 2019 was BBB+ (28 February 2018: BBB) (Standard & Poor’s rating).

The following tables detail the number of counterparties the Fund is exposed to and the maximum exposure (which is calculated on a net basis) to any one counterparty.

28 February 2019

Counterparty

Credit Default Swaps£000’s

Currency Swaps £000’s

Forwards £000’s

Inflation Swaps £000’s

InterestRate

Swaps£000’s

OTC Options

£000’s

Synthetic Caps

£000’sSwaptions

£000’s

Total Return Swaps£000’s

Total Exposure

£000’s

Bank of America Merrill Lynch International

(17) – 3 – (29) (1) – (5) – (49)

Barclays Bank Plc 12 – (2) – – – – 1 – 11

BNP Paribas Arbitrage SNC 1 – 37 – – – – – – 38

CitiGroup Global Markets Limited

11 – 555 – 5 4 – 5 – 580

Credit Suisse AG (14) – (2) – (24) – – – – (40)

Deutsche Bank AG 3 – (2) – 61 2 – (42) – 22

Goldman Sachs International (46) – – – (4) – 12 3 – (35)

HSBC Bank Plc 7 – – – 1 – – – 8

J.P. Morgan Securities Plc 26 (2) 1 – 23 2 – 23 29 102

Morgan Stanley & Co. International Plc

4 – (19) 1 (7) – 5 6 – (10)

Nomura International Plc – – – – – – – (15) – (15)

Royal Bank of Scotland Plc – – 2 – – – – – – 2

Standard Chartered Plc – – 5 – – – – – – 5

State Street Global Advisors – – 45 – – – – – – 45

Toronto-Dominion Bank – – 20 – – – – – – 20

UBS AG – – – – 2 – – 5 – 7



28 February 2018

Counterparty

Credit Default Swaps£000’s

Forwards £000’s

InterestRate

Swaps£000’s

OTC Options

£000’sSwaptions

£000’sSynthetic

Caps

Total Return Swaps£000’s

Total Exposure

£000’s

Bank of America Merrill Lynch (50) (23) (29) 25 6 – – (71)

Barclays Bank Plc (30) (2,282) (1) – (62) 4 – (2,371)

BNP Paribas Arbitrage SNC (2) (22) (4) 2 – – – (26)

Citigroup Global Markets Limited

(27) (57) 11 31 45 6 – 9

Credit Suisse Securities (Europe) Limited

(138) (14) (19) – – – – (171)

Deutsche Bank AG (34) (23) 72 14 21 – – 50

Goldman Sachs International (53) (3) 34 3 34 – 93 108

HSBC Bank Plc 2 (2) 2 22 – – – 24

J.P. Morgan Securities Plc (261) (8) 73 8 4 – (2) (186)

Merrill Lynch International – – 6 – – – – 6

Morgan Stanley & Co. International Plc

75 16 (6) 24 3 – – 112

Nomura International Plc – (32) – – – – – (32)

Royal Bank of Canada – (3) – – – – – (3)

Royal Bank of Scotland Plc – (12) – – – – – (12)

Société Générale SA (4) – – – – – – (4)

State Street Global Advisors – (9) – – – – – (9)

UBS AG – 7 (1) 3 6 – – 15

iii) Trustee and Custodian

The Fund’s Trustee and Custodian is The Bank of New York Mellon (International) Limited (the “Trustee” and “Custodian”).

Substantially all of the investments other than FDIs of the Fund are held by the Custodian at year end. Investments are segregated from the assets of the Custodian, with ownership rights remaining with the Fund. Bankruptcy or insolvency of the Custodian may cause the Fund’s rights with respect to its investments held by the Custodian to be delayed or limited. The maximum exposure to this risk is the total amount of equity and bond investments disclosed in the portfolio statement.

The Fund will be exposed to the credit risk of the Custodian, or any depositary used by the Trustee regarding cash balances held in accounts with same. In the event of insolvency or bankruptcy of the Custodian or any depositary used by the Trustee, the Fund will be treated as a general creditor of the Trustee.

Management of counterparty credit risk related to the Trustee and Custodian

To mitigate the Fund’s credit risk with respect to the Trustee, the Investment Manager of the Fund employs specific procedures to ensure that the Trustee employed is a reputable institution and that the associated credit risk is acceptable to the Fund. The Fund only transacts with counterparties that are regulated entities subject to prudential supervision, or with high credit-ratings assigned by international credit-rating agencies.

The long term credit rating of the parent company of the Trustee and Custodian, The Bank of New York Mellon Corporation, as at 28 February 2019 was A (28 February 2018: A) (Standard & Poor’s rating).

iv) Counterparties

All transactions in listed securities are settled/paid for upon delivery using approved brokers. The risk of default is considered minimal, as delivery of securities sold is only made once the broker has received payment. Payment is made on a purchase once the securities have been received by the broker. The trade will fail if either party fails to meet its obligation.

Counterparty credit risk arising on transactions with brokers relates to transactions awaiting settlement. Risk relating to unsettled transactions is considered small due to the short settlement period involved and the high credit quality of the brokers used.

Management of counterparty credit risk related to Counterparties

The Manager monitors the credit rating and financial position of the brokers used to further mitigate this risk.

v) Debt securities

Issuer credit risk is the default risk of one of the issuers of any securities held by the Fund.

Bonds or other debt securities involve credit risk to the issuer which may be evidenced by the issuer’s credit rating. Securities which are subordinated and/or have a higher credit risk have a greater possibility of default than more highly rated securities. The Fund invests into sovereign debt which exposes the Fund to the risk that the issuer of the bonds may default on interest or principal payments.

Management of counterparty credit risk related to debt securities

To manage this risk the Investment Manager invests in a wide range of securities, subject to the investment objective of the Fund and monitors the credit ratings of the investments as disclosed in the portfolio statement. The ratings of the debt securities are continually monitored by the BlackRock Portfolio Management Group.

The following tables detail the credit rating profile of the debt securities held by the Fund as a percentage of the NAV as at the Balance Sheet date:

28 February 2019

Investment grade%

Non-investment grade%

Not rated%

Total%

64.73 14.91 6.69 86.33



28 February 2018

Investment grade%

Non-investment grade%

Not rated%

Total%

46.82 19.84 19.36 86.02

vi) Securities lending

The Fund engages in security lending activities which expose the Fund to counterparty credit risk. The maximum exposure to the Fund is equal to the value of the securities loaned.

Securities lending transactions entered into by the Fund are subject to a written legal agreement between the Fund and the Securities Lending Agent, BlackRock Advisors (UK) Limited, a related party to the Fund, and separately between the Securities Lending Agent and the approved borrowing counterparty. Collateral received in exchange for securities lent is transferred under a title transfer arrangement and is delivered to and held in an account with a tri-party collateral manager in the name of The Bank of New York Mellon (International) Limited on behalf of the Fund. Collateral received is segregated from the assets belonging to the Fund’s Trustee or the Lending Agent.

The following table details the value of securities on loan (individually identified in the portfolio statement) and associated collateral received, analysed by borrowing counterparty as at the Balance Sheet date.

Counterparty’s country of establishment

28 February 2019 28 February 2018

Counterparty

Securities on loan £000’s

Collateral received

£000’s

Securities on loan £000’s

Collateral received

£000’s

Barclays Capital Securities Limited UK – – 2,668 2,923

BNP Paribas Arbitrage SNC France 144 150 137 144

Credit Suisse Securities (Europe) Limited

UK 1 2 – –

Citigroup Global Markets Limited UK – –– 263 274

Deutsche Bank AG Germany 154 161 507 556

Goldman Sachs International UK 72 75 – –

HSBC Bank Plc UK 48 51 3,099 3,385

Macquarie Bank Limited Australia – – 2,303 2,549

Merrill Lynch International UK – – 76 104

Morgan Stanley & Co. International Plc UK 31 32 – –

Nomura International Plc UK – – 47 52

Société Générale SA France 4,126 4,528 214 232

UBS AG Switzerland – – 144 473

Total 4,576 4,999 9,458 10,692

At 28 February 2019, collateral received from these borrowing counterparties comprised of 6.62% in debt securities, 90.77% in equity securities and 2.61% in cash. (28 February 2018: 9.52% in debt securities and 90.48% in equity securities).

Non-cash collateral accepted is in the form of sovereign debt rated AA or better from approved governments only, supranational debt obligations rated AAA or better, equity securities and exchange traded funds listed on a recognised exchange.

Management of counterparty credit risk related to securities lending

To mitigate this risk, the Fund receives either cash or securities as collateral equal to a certain percentage in excess of the fair value of the securities loaned. The Investment Manager monitors the fair value of the securities loaned and additional collateral is obtained, if necessary. As at 28 February 2019 and 28 February 2018, all non-cash collateral received consists of securities admitted to or dealt on a recognised exchange.

The Fund also benefits from a borrower default indemnity provided by BlackRock Inc. The indemnity allows for full replacement of securities lent. BlackRock Inc. bears the cost of indemnification against borrower default.

vii) Collateral

The Fund engages in activities which may require collateral to be provided to a counterparty (“pledged collateral”) or may hold collateral received (“inbound collateral”) from a counterparty.

Management of counterparty credit risk related to collateral

The Fund uses inbound collateral received from a counterparty to reduce the credit risk associated with any trading activity the Fund has engaged in.

Cash collateral posted by the Fund is separately identified on the Balance Sheet as cash collateral posted and is not included as a component of cash and cash equivalents. Cash collateral received by the Fund is reflected on the Balance Sheet as cash collateral payable.

As at 28 February 2019, collateral posted by the Fund in respect of OTC FDIs was £330,000 in the form of cash. Collateral received by the Fund in respect of OTC FDIs was £10,000 in the form of cash.

As at 28 February 2018, collateral posted by the Fund in respect of OTC FDIs was £213,000 in the form of cash. There was no collateral received by the Fund in respect of OTC FDIs.

c) Liquidity riskExposure to liquidity risk

Liquidity risk is the risk that the Fund will encounter difficulties in meeting its obligations associated with financial liabilities.

Liquidity risk to the Fund arises from the redemption requests of unitholders and the liquidity of the underlying investments the Fund is invested in. The Fund’s unitholders may redeem their units on the close of any daily dealing deadline for cash equal to a proportionate share of the Fund’s NAV. The Fund is therefore potentially exposed to the liquidity risk of meeting the unitholders’ redemptions and may need to sell assets at prevailing market prices to meet liquidity demands.

The Fund is also exposed to the liquidity risk of daily margin calls on derivatives.

All non-derivative financial liabilities including distributions payable held by the Fund as at 28 February 2019 and 28 February 2018, based on contractual maturities, fall due within one to three months.



Management of liquidity risk

Liquidity risk is minimised by holding sufficient liquid investments which can be readily realised to meet liquidity demands.

At times of excessive redemptions the Manager may decide to defer redemptions at any valuation point to the next valuation point where the requested aggregate redemptions exceed 10 per cent of the Fund’s NAV. This will therefore allow the Manager to protect the interests of continuing unitholders by allowing the Manager to match the sale of scheme property to the level of redemptions. This should reduce the impact of dilution on the Fund. All unitholders who have sought to redeem units at any valuation point at which redemptions are deferred will be treated consistently and any redemption requests received in the meantime will not be processed until the redemption requests that have been deferred to the subsequent valuation points have been processed.

The Fund’s liquidity risk is managed on a daily basis by the Investment Manager in accordance with established policies and procedures in place. The portfolio managers review daily forward looking cash reports which project cash obligations. These reports allow them to manage the Fund’s cash obligations.

d) Valuation of financial instrumentsThe Fund classifies financial instruments measured at fair value using a fair value hierarchy. The fair value hierarchy has the following categories:

Level 1 – Unadjusted quoted prices for identical instruments in active markets

A financial instrument is regarded as quoted in an active market if quoted prices are readily and regularly available and those prices represent actual and regularly occurring market transactions on an arm’s length basis. The Fund does not adjust the quoted price for these instruments.

Level 2 – Valuation techniques using observable inputs other than quoted prices in level 1

This category includes instruments valued using quoted prices in active markets for similar instruments; quoted prices for similar instruments in markets that are considered less than active; or other valuation techniques where all significant inputs are directly or indirectly observable from market data.

Valuation techniques used for non-standardised financial instruments such as OTC derivatives, include the use of comparable recent arm’s length transactions, reference to other instruments that are substantially the same, discounted cash flow analysis, option pricing models and other valuation techniques commonly used by market participants making the maximum use of market inputs and relying as little as possible on entity determined inputs.

Level 3 – Valuation techniques using significant unobservable inputs

This category includes all instruments where the valuation techniques used include inputs not based on market data and these inputs could have a significant impact on the instrument’s valuation.

This category also includes instruments that are valued based on quoted prices for similar instruments where significant entity determined adjustments or assumptions are required to reflect differences between the instruments and instruments for which there is no active market.

The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is determined on the basis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose, the significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement uses observable inputs that require significant adjustment based on unobservable inputs, that measurement is a level 3 measurement.

Assessing the significance of a particular input to the fair value measurement in its entirety requires judgement, considering factors specific to the asset or liability. The determination of what constitutes ‘observable’ inputs requires significant judgement by the Investment Manager. The Investment Manager considers observable inputs to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market.

The table below is an analysis of the Fund’s investment assets and investment liabilities measured at fair value at the Balance Sheet date.

Level 1£000’s

Level 2£000’s

Level 3£000’s

Total£000’s

28 February 2019

Investment assets 7,236 56,153 330* 63,719

Investment liabilities (92) (1,429) – (1,521)

28 February 2018

Investment assets 1,097 110,507 622 112,226

Investment liabilities (191) (11,957) – (12,148)

* The level 3 securities are identified in the Fund’s portfolio statement.

Securities with a value less than £500 are not disclosed in the table above. These securities are identified on the portfolio statement.



e) Global exposureThe Manager is required by the COLL Sourcebook to employ a risk management process in respect of the Fund, which enables it to accurately monitor and manage the global exposure from FDIs.

The Manager uses the Absolute VaR methodology to measure the Fund’s global exposure.

The tables below detail the highest, lowest and average utilisation of the VaR limit, expressed as a percentage of the respective absolute VaR regulatory limit.

28 February 2019

Highest utilisation of the VaR limit

Lowest utilisation of the VaR limit

Average utilisation of the VaR limit

5.14% 2.01% 3.11%

28 February 2018

Highest utilisation of the VaR limit

Lowest utilisation of the VaR limit

Average utilisation of the VaR limit

6.04% 2.24% 3.69%

The exposures to FDIs at year end are marked on the portfolio statement.

f) LeverageThe use of derivatives may expose the Fund to a higher degree of risk. In particular, derivative contracts can be highly volatile and the amount of initial margin is generally small relative to the size of the contract so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard bonds or equities. Leveraged derivative positions can therefore increase a fund’s volatility.

The leverage is calculated on a gross exposure basis, by taking the sum of the notional values of the derivatives used by the Fund, without netting, and is expressed as a percentage of the NAV.

The average level of leverage employed by the Fund during the year was 667.67% (28 February 2018: 622.67%).

3. Net Capital (Losses)/Gains


£000’s


£000’s

The net capital (losses)/gains comprise:

Gains/(losses) on non-derivative securities 3,846 (8,069)

(Losses)/gains on derivative securities (8,768) 5,734

Currency (losses)/gains (208) 2,450

Custodian transaction costs (153) (105)

Net capital (losses)/gains (5,283) 10

4. Revenue


£000’s


£000’s

Interest from overseas fixed interest securities 3,571 2,651

Interest from UK bank deposits 64 26

Interest from UK fixed interest securities 385 354

Manager's charge rebates – 1

Overseas dividends 12 91

Returns from bond futures 222 160

Securities lending revenue 18 11

Total revenue 4,272 3,294

5. Expenses


£000’s


£000’s

Payable to the Manager or associates of the Manager:

– Manager’s charge 598 538

– Registrar’s fees 58 45

656 583

Other expenses:

– Audit fee 9 8

– Legal and other professional fees 2 2

– Safe custody fees 11 4

– Trustee’s fees 20 16

42 30

Total expenses 698 613



8. Distributions


£000’s


£000’s

Interim distribution 1,897 868

Final distribution 1,027 1,478

2,924 2,346

Add: Amounts deducted on cancellation of units 722 116

Less: Amounts received on issue of units (415) (390)

Distributions 3,231 2,072

The distributable amount has been calculated as follows:

Net revenue after taxation 3,214 1,968

Add: Capitalised corporation tax on offshore fund gains 17 104

Distributions 3,231 2,072

Details of the interim and final distributions per unit are set out in the tables on page 13.

9. Debtors

28.2.2019 £000’s

28.2.2018£000’s

Accrued revenue 513 588

Amounts receivable for issue of units 391 114

Currency sales awaiting settlement – 215

Sales awaiting settlement 54 14,356

Total debtors 958 15,273

10. Cash and Bank Balances

28.2.2019 £000’s

28.2.2018£000’s

Amount held at futures clearing houses and brokers 451 1,171

Cash and bank balances 11,876 18,400

Total cash and bank balances 12,327 19,571

6. Interest Payable and Similar Charges


£000’s


£000’s

Collateral interest payable 3 –

Interest on bank overdrafts 14 3

Interest paid on margin deposits – 3

Returns from short position bond futures 317 601

Total interest payable and similar charges 334 607

7. Taxation(a) Analysis of tax charge


£000’s


£000’s

Corporation tax 18 104

Less: Double taxation relief (4) (7)

Overseas tax 12 9

Total tax charge [see note 7(b)] 26 106

(b) Factors affecting the tax charge

The tax assessed for the year is lower than the standard rate of corporation tax in the UK for an authorised unit trust. The differences are explained below:


£000’s


£000’s

Net revenue before taxation 3,240 2,074

Corporation tax at 20% (28 February 2018: 20%) 648 415

Effects of:

Capitalised income subject to tax 17 107

Double taxation relief (4) (7)

Indexation relief on index linked bonds – (3)

Overseas tax 12 9

Relief for overseas tax treated as an expense (1) –

Revenue not subject to tax (2) (16)

Tax deductible interest distributions (644) (399)

Total tax charge [see note 7(a)] 26 106



13. Related Parties continued

As at 28 February 2019 and 28 February 2018, none of the unitholders:

(i) are funds managed by the BlackRock Group or are affiliates of BlackRock Inc. or

(ii) are investors, other than those included in (i) above, who held 51% or more of the voting units in issue in the Fund and are as a result, considered to be related parties to the Fund.

14. Portfolio Transaction CostsFor the year ended 28 February 2019

Direct Transaction Costs

Purchases (excluding derivatives)Transaction Value

£000’s Commissions

£000’s %Taxes

£000’s %

Equity instruments 626 – – – –

Debt instruments 587,345 – – – –

Collective investment schemes 17,108 – – – –

Total purchases 605,079 – –

Total purchases including transaction costs 605,079


Sales (excluding derivatives)Transaction Value


£000’s %Taxes

£000’s %


Debt instruments 632,491 – – 1 0.00


Total sales 650,494 – 1

Total sales net of transaction costs 650,493

Derivative transaction costs 35 –

Total transaction costs 35 1

Total transaction costsas a % of average net assets 0.03% 0.00%

11. Other Creditors

28.2.2019 £000’s

28.2.2018£000’s

Accrued Audit fee 8 8

Accrued FCA fee 1 1

Accrued Manager’s charge 100 109

Accrued Registrar’s fee 13 17

Accrued Safe custody fees 4 1

Accrued Trustee’s fees 4 3

Amounts payable for cancellation of units 1,287 258

Corporation tax payable 14 97

Currency purchases awaiting settlement – 214

Custodian transaction costs 39 33

Purchases awaiting settlement 3,515 13,325

Total other creditors 4,985 14,066

12. Contingent Assets and LiabilitiesThere were no contingent assets or liabilities at the Balance Sheet date (28 February 2018: Nil).

13. Related PartiesParties are considered to be related if one party has the ability to control the other party or exercise significant influence over the other party in making financial or operational decisions.

The following entities were related parties of the Fund during the year ended 28 February 2019:

Manager/Registrar: BlackRock Fund Managers Limited Investment Manager: BlackRock Investment Management (UK) Limited Investment Adviser: BlackRock Financial Management, Inc Securities lending agent: BlackRock Advisors (UK) Limited

The ultimate holding company of the Manager, Registrar, Investment Manager, Investment Adviser and securities lending agent is BlackRock Inc. (“BlackRock”), a company incorporated in Delaware, USA. PNC Financial Services Group Inc. PNC Financial Services Group Inc. (“PNC”) is a substantial shareholder in BlackRock Inc. PNC did not provide any services to the Fund during the years ended 28 February 2019 and 28 February 2018.

The Manager acts as either principal or agent for the Trustee in respect of all transactions of units of the Fund. The aggregate monies received through issue and paid through cancellation of units are disclosed in the Statement of Change in Net Assets Attributable to Unitholders and note 8. Any amounts due to or from the Manager at the year end are disclosed in notes 9 and 11. Management fees and registration fees paid to the Manager are shown in note 5. The balances due at the year end in respect of these fees are shown in note 11. Securities lending revenue earned by the Fund is disclosed in note 4.



14. Portfolio Transaction Costs continued

Transaction costs for derivatives positions will be either incurred as direct costs or form part of the dealing spread for the instruments. Any direct costs are identified in the analysis above. Dealing spread costs incurred by the Fund vary considerably for the different asset/instrument types depending on a number of factors including transaction value and market sentiment.

At the Balance Sheet date the average portfolio dealing spread (difference between bid and offer prices of all investments expressed as a percentage of the offer price value) was 0.52% (28 February 2018: 0.37%).

15. Units in IssueThe movement in units in issue for the year ended 28 February 2019 is as follows:

A IncomeUnits

A Accumulation Units

D Income Units

D Accumulation Units

Balance at the beginning of the year 973,056 3,979,629 10,183,676 21,481,542

Issued during the year 14,059 297,996 2,916,591 16,416,281

Cancelled during the year (167,850) (1,481,027) (5,896,635) (27,068,812)

Converted during the year (782) – 782 –

Balance at the end of the year 818,483 2,796,598 7,204,414 10,829,011

X IncomeUnits

X Accumulation Units

Z Income Units

Z Accumulation Units

Balance at the beginning of the year 100 100 6,241,192 3,015,382

Issued during the year – 5,163,883 797,360 663,751

Cancelled during the year – (693,973) (5,979,002) (464,163)

Converted during the year – – – –

Balance at the end of the year 100 4,470,010 1,059,550 3,214,970

Revenue is allocated each day pro rata to the capital value of assets attributable to each class and taxation is computed by reference to the net revenue after expenses attributable to each class. The distribution per unit class is given in the distribution table. All unit classes have the same rights on winding up.

16. Post Balance Sheet EventsThere have been no significant events subsequent to the year end, which, in the opinion of the Manager, may have had an impact on the financial statements for the year ended 28 February 2019.

14. Portfolio Transaction Costs continued

For the year ended 28 February 2018


Purchases (excluding derivatives)Transaction Value


£000’s %Taxes

£000’s %

Equity instruments 838 1 0.12 – –

Debt instruments 638,900 – – – –


Total purchases 677,440 1 –

Total purchases including transaction costs 677,441


Sales (excluding derivatives)Transaction Value


£000’s %Taxes

£000’s %


Debt instruments 596,881 – – 9 0.00

Collective investment schemes 39,275 1 0.00 1 0.00

Total sales 636,323 1 10

Total sales net of transaction costs 636,312

Derivative transaction costs 44 –

Total transaction costs 46 10

Total transaction costsas a % of average net assets 0.05% 0.01%

The above analysis covers direct transaction costs incurred by the Fund during the year. However it is important to understand the nature of other transaction costs associated with different investment asset classes and instruments types.

For the Fund’s investment transactions in debt and money market instruments any applicable transaction charges form part of the dealing spread for these instruments. Transactions in money market instruments to manage the Fund’s daily liquidity position are excluded from the analysis.

During the year the Fund utilised FDIs including credit default swaps, currency swaps, inflation swaps, Options, synthetic caps, swaptions, interest rate swaps, futures contracts, total return swaps and forward currency contracts covering different underlying asset classes. The settlement values for opening and closing derivative positions are not comparable to principal values for transactions in direct holding investments and therefore purchase and sale amounts for derivative transactions are not quantified in the analysis above.


The Manager is required by the rules of the COLL Sourcebook to prepare the financial statements for each financial year. These financial statements must be prepared in accordance with generally accepted accounting standards in the United Kingdom to give a true and fair view of the state of affairs of the Fund at the year end and of the net revenue and net losses for the year.

The financial statements should comply with the disclosure requirements of the Statement of Recommended Practice (the “SORP”) for Authorised Funds issued by the Investment Management Association (subsequently The Investment Association) and must comply with any relevant provisions of the Trust Deed.

The Manager is responsible for keeping such accounting records as are necessary to enable it to ensure that the financial statements comply with the COLL Sourcebook, the SORP and the Trust Deed.

Statement of Manager’s Responsibilities

The Depositary in its capacity as Trustee of the Fund must ensure that the Fund is managed in accordance with the Financial Conduct Authority’s Collective Investment Schemes Sourcebook, the Financial Services and Markets Act 2000, as amended, (together “the Regulations”), the Trust Deed and Prospectus (together “the Scheme documents”) as detailed below.

The Trustee must in the context of its role act honestly, fairly, professionally, independently and in the interests of the Fund and its investors.

The Trustee is responsible for the safekeeping of all the custodial assets and maintaining a record of all other assets of the Fund in accordance with the Regulations.

The Trustee must ensure that:

• the Fund’s cash flows are properly monitored and that cash of the Fund is booked in cash accounts in accordance with the Regulations;

• the sale, issue, repurchase, redemption and cancellation of units are carried out in accordance with the Regulations;

• the value of units of the Fund are calculated in accordance with the Regulations;

• any consideration relating to transactions in the Fund’s assets is remitted to the Fund within the usual time limits

• the Fund’s income is applied in accordance with the Regulations; and

• the instructions of the Authorised Fund Manager (“the AFM”), which is the UCITS Management Company, are carried out (unless they conflict with the Regulations).

The Trustee also has a duty to take reasonable care to ensure that the Fund is managed in accordance with the Regulations and the Scheme documents of the Fund in relation to the investment and borrowing powers applicable to the Fund.

Having carried out such procedures as we considered necessary to discharge our responsibilities as Trustee of the Fund, it is our opinion, based on the information available to us and the explanations provided, that, in all material respects the Fund, acting through the AFM:

(i) has carried out the issue, sale, redemption and cancellation, and calculation of the price of the Fund’s units and the application of the Fund’s income in accordance with the Regulations and the Scheme documents of the Fund; and

(ii) has observed the investment and borrowing powers and restrictions applicable to the Fund in accordance with the Regulations and the Scheme documents of the Fund.

The Bank of New York Mellon London(International) Limited 2 May 2019

Statement of the Trustee’s Responsibilities in Respect of the Fund and Report of the Trustee to the Unitholders of the Fund for the Year Ended 28 February 2019


Independent Auditor’s Report to the Unitholders of BlackRock Fixed Income Global Opportunities Fund

Opinion

We have audited the financial statements of BlackRock Fixed Income Global Opportunities Fund (“the Fund”) for the year ended 28 February 2019 which comprise the Statement of Total Return and Statement of Change in Net Assets Attributable to Unitholders together with the Balance Sheet, the accounting policies of the Fund, the related notes and the Distribution Tables. The financial reporting framework that has been applied in their preparation is applicable law and United Kingdom Accounting Standards (United Kingdom Generally Accepted Accounting Practice) including FRS 102 ‘The Financial Reporting Standard applicable to the UK and Republic of Ireland’.

In our opinion, the financial statements:

• give a true and fair view of the financial position of the Fund as at 28 February 2019 and of the net revenue and the net capital losses on the scheme property of the Fund for the year then ended; and

• have been properly prepared in accordance with United Kingdom Generally Accepted Accounting Practice including FRS 102 ‘The Financial Reporting standard applicable in the UK and Republic of Ireland’.

Basis for opinion

We conducted our audit in accordance with International Standards on Auditing (UK) (ISAs (UK)) and applicable law. Our responsibilities under those standards are further described in the Auditor’s responsibilities for the audit of the financial statements section of our report below. We are independent of the fund in accordance with the ethical requirements that are relevant to our audit of the financial statements in the UK, including the FRC’s Ethical Standard, and we have fulfilled our other ethical responsibilities in accordance with these requirements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Conclusions relating to going concern

We have nothing to report in respect of the following matters in relation to which the ISAs (UK) require us to report to you where:

• the manager’s use of the going concern basis of accounting in the preparation of the financial statements is not appropriate; or

• the manager has not disclosed in the financial statements any identified material uncertainties that may cast significant doubt about the fund’s ability to continue to adopt the going concern basis of accounting for a period of at least twelve months from the date when the financial statements are authorised for issue.

Other information

The other information comprises the information included in the annual report, other than the financial statements and our auditor’s report thereon. The manager is responsible for the other information.

Our opinion on the financial statements does not cover the other information and, except to the extent otherwise explicitly stated in this report, we do not express any form of assurance conclusion thereon.

In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated. If we identify such material inconsistencies or apparent material misstatements, we are required to determine whether there is a material misstatement in the financial statements or a material misstatement of the other information. If, based on the work we have performed, we conclude that there is a material misstatement of the other information, we are required to report that fact.

We have nothing to report in this regard.

Opinions on other matters prescribed by the rules of the Collective Investment Schemes Sourcebook of the Financial Conduct Authority

In our opinion:

• the financial statements have been properly prepared in accordance with the Statement of Recommended Practice relating to Authorised Funds, the rules of the Collective Investment Schemes Sourcebook of the Financial Conduct Authority and the Trust Deed;

• the information given in the manager’s report for the financial year for which the financial statements are prepared is consistent with the financial statements; and

• there is nothing to indicate that proper accounting records have not been kept or that the financial statements are not in agreement with those records.

Matters on which we are required to report by exception

We have nothing to report in respect of the following matter in relation to which the Collective Investment Schemes Sourcebook of the Financial Conduct Authority rules requires us to report to you if, in our opinion:

• we have not received all the information and explanations which, to the best of our knowledge and belief, are necessary for the purposes of our audit.


Responsibilities of the manager

As explained more fully in the manager’s responsibilities statement set out on page 105, the manager is responsible for the preparation of the financial statements and for being satisfied that they give a true and fair view, and for such internal control as the manager determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, the manager is responsible for assessing the fund’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the manager either intends to liquidate the fund or to cease operations, or has no realistic alternative but to do so.

Auditor’s responsibilities for the audit of the financial statements

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with ISAs (UK) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

A further description of our responsibilities for the audit of the financial statements is located on the Financial Reporting Council’s website at https://www.frc.org.uk/auditorsresponsibilities. This description forms part of our auditor’s report.

Use of our report

This report is made solely to the unitholders of the fund, as a body, pursuant to Paragraph 4.5.12 of the rules of the Collective Investment Schemes Sourcebook of the Financial Conduct Authority. Our audit work has been undertaken so that we might state to the unitholders of the fund those matters we are required to state to them in an auditor’s report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the fund and the unitholders of the fund as a body, for our audit work, for this report, or for the opinions we have formed.

Ernst & Young LLP EdinburghStatutory Auditor 2 May 2019

Supplementary Information

Efficient Portfolio Management TechniquesThe Manager may, on behalf of the Fund and subject to the conditions and within the limits laid down by the FCA and the Prospectus, employ techniques and instruments relating to transferable securities, including investments in OTC FDIs provided that such techniques and instruments are used for efficient portfolio management purposes or to provide protection against exchange risk or for direct investment purposes, where applicable.

In addition to the investments in OTC FDIs, the Fund may employ other techniques and instruments relating to transferable securities and money market instruments, subject to the conditions set out in the Fund’s Prospectus, as amended from time to time, and the relevant ESMA Guidelines, such as repurchase/reverse repurchase transactions (“repo transactions”) and securities lending.

Securities Lending and Total Return Swaps (TRS)The following table details the value of securities on loan as a proportion of the Fund’s total lendable assets and NAV and the value of TRS as a proportion of the Fund’s NAV, as at 28 February 2019 and the returns earned for the year ended 28 February 2019. Total lendable assets represents the aggregate value of assets forming part of the Fund’s securities lending programme. This excludes any assets held by the Fund that are not considered lendable due to any market, regulatory, investment or other restriction. The value of TRS is based on the underlying exposure value on a gross absolute basis as disclosed in the Fund’s portfolio statement.

Securities on loan TRS

Currency%

of lendable assets%

of NAV%

of NAVReturns earned

£000's

GBP 12.60 6.48 1.97 –

The total income earned from securities lending transactions is split between the relevant Fund and the Securities Lending Agent. The Fund receives 62.5% while the Securities Lending Agent receives 37.5% of such income, with all operational costs borne out of the Securities Lending Agent’s share. Income earned during the year by the Fund from securities lending transactions is disclosed in the notes to the financial statements.

All returns and costs from TRS will accrue to the Fund and are not subject to any returns or cost sharing arrangements with the Fund’s Manager or any other third parties.


Supplementary Information continued

The following tables detail the underlying exposure value on a gross absolute basis for TRS, analysed by counterparty as at 28 February 2019.

Counterparty’s country of establishment

TRS

Counterparty Underlying exposure

£000’s

J.P. Morgan Securities Plc United Kingdom 1,394

Total 1,394

The value of securities on loan and associated collateral analysed by counterparty, as at 28 February 2019, is disclosed in the notes to the financial statements.

The following table provides an analysis of the maturity tenor of TRS as at 28 February 2019.

Maturity Tenor

31 - 90 days 91 - 365 days More than 365 days Open transactions Total

£000’s £000’s £000’s £000’s £000’s

484 910 – – 1,394

The above maturity tenor analysis has been based on the respective transaction contractual maturity date. All securities on loan have an open maturity tenor as they are recallable or terminable on a daily basis.

CollateralThe Fund engages in activities which may require collateral to be provided to a counterparty (“collateral posted”) or may hold collateral received (“collateral received”) from a counterparty.

The following table provides an analysis by currency of the cash and underlying non-cash collateral received/ posted by way of title transfer collateral arrangement by the Fund, in respect of securities lending transactions and OTC FDIs (including TRS), as at 28 February 2019.

Currency

Cash collateral received

Cash collateral

posted

Non-cash collateral received

£000’s £000’s £000’s

Securities lending transactions

CHF – – 31

CNY – – 655

DKK – – 42

EUR – – 1,128

GBP 131 – 304

HKD – – 214

JPY – – 859

SEK – – 1

SGD – – 1

USD – – 1,633

131 – 4,868

OTC FDIs

GBP 10 330 –

10 330 –

Total 141 330 4,868

The Fund is the legal owner of inbound collateral and can sell the assets and withhold the cash in the case of default. All cash received or posted as collateral has an open maturity tenor as it’s not subject to a contractual maturity date.

Non-cash collateral received by way of title transfer collateral arrangement in relation to securities lending transactions and OTC FDIs, cannot be sold, re-invested or pledged.


Supplementary Information continued

Collateral continued

The following table provides an analysis of the type, quality and maturity tenor of non-cash collateral received by the Fund by way of title transfer collateral arrangement in respect of securities lending transactions and OTC FDIs (including TRS), as at 28 February 2019.

Maturity Tenor

Collateral type and quality 31 - 90

days91 - 365

days More than 365 days

Open transactions Total

£000’s £000’s £000’s £000’s £000’s

Collateral received – securities lending

Fixed Income

Investment grade – 39 292 – 331

Equities

Recognised equity index – – – 4,520 4,520

ETFs

UCITS – – 17 17

Total – 39 292 4,537 4,868

Investment grade securities are those issued by an entity with a minimum investment grade credit rating from at least one globally recognised credit rating agency; Standard & Poor’s, Moody’s or Fitch.

A recognised equity index contains at least 20 equities where no single equity represents more than 20% of the total index and no five equities combined represent more than 60% of the total index.

The maturity tenor analysis for fixed income securities received as collateral is based on the respective contractual maturity date, while equity securities and ETFs received as collateral are presented as open transactions as they are not subject to a contractual maturity date.

Collateral continued

As at 28 February 2019, all non-cash collateral received by the Fund in respect of securities lending transactions and OTC FDIs (including TRS) is held by the Fund’s Trustee (or through its delegates), with the exception of the amounts disclosed in the following table which are held through a securities settlement system.

Non-cash collateral received

Custodian Securities lending OTC FDIs

£000’s £000’s

Euroclear Bank SA/NV 183 –

The following table lists all of the issuers of non-cash collateral received by the Fund by way of title transfer collateral arrangement across securities lending transactions as at 28 February 2019.

Issuer Value % of the Fund’s NAV

£000’s

Société Générale SA 4,528 6.41

BNP Paribas Arbitrage SNC 151 0.21

Goldman Sachs International 75 0.11

HSBC Bank Plc 50 0.07

Morgan Stanley & Co International Plc 32 0.05

Deutsche Bank AG 31 0.04

Credit Suisse Securities (Europe) Limited 1 0.00

Total 4,868 6.89

No securities collateral received from a single issuer, in relation to efficient portfolio management and OTC FDIs, has exceeded 20% of the Fund’s NAV at the year end date.

The Fund has not been fully collateralised in securities issued or guaranteed by an EU member state at the year end date.

About us

Want to know more?

blackrock.co.uk [email protected] 0800 44 55 22

BlackRock is a premier provider of asset management, risk management, and advisory services to institutional, intermediary, and individual clients worldwide. As of 31 March 2019, the fi rm manages £4.99 trillion across asset classes in separate accounts, mutual funds, other pooled investment vehicles, and the industry-leading iShares® exchange-traded funds. Through BlackRock Solutions®, the fi rm offers risk management and advisory services that combine capital markets expertise with proprietarily-developed analytics, systems, and technology. Through BlackRock Solutions, the Firm provides risk management and enterprise investment services for over 200 clients.

BlackRock serves clients in North and South America, Europe, Asia, Australia, Africa, and the Middle East. Headquartered in New York, the fi rm maintains offi ces in over 30 countries around the world.