barings umbrella fund plc · (an open-ended umbrella investment company with variable capital and...

Barings Umbrella Fund Plc(An Open-Ended Umbrella Investment Company with variable capital and segregated liability between Sub-Funds)

Annual Report and Audited Financial StatementsFor the financial year ended 31 December 2017

Registered Number: 491487

1Barings Umbrella Fund Plc

Barings Umbrella Fund Plc

Annual Report and Audited Financial Statementsfor the financial year ended 31 December 2017

Contents

Page

Directors and Other Information 2

Directors’ Report 4

Depositary’s Report 11

Independent Auditor’s Report 12

Investment Managers’ Reports 16

Statement of Comprehensive Income 30

Statement of Financial Position 36

Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares 42

Statement of Cash Flows 48

Notes to the Financial Statements 54

Schedule of Investments - UnauditedBarings Global Senior Secured Bond Fund 195Barings European High Yield Bond Fund 201Barings Global High Yield Bond Fund 208Barings Emerging Markets Corporate Bond Fund 217Barings Emerging Markets Local Debt Fund 223Barings Global Investment Grade Corporate Bond Fund 233Barings Emerging Markets Debt Short Duration Fund 239Barings Active Short Duration Fund 243Barings Emerging Markets Debt Blended Total Return Fund 253Barings Emerging Markets Sovereign Debt Fund 262Barings U.S. High Yield Bond Fund 268Barings U.S. Investment Grade Corporate Bond Fund 273Barings U.S. High Yield Bond Component Fund 282Barings U.S. Short Duration High Yield Bond Component Fund 286

Significant Changes In Portfolio Composition - UnauditedBarings Global Senior Secured Bond Fund 288Barings European High Yield Bond Fund 290Barings Global High Yield Bond Fund 292Barings Emerging Markets Corporate Bond Fund 293Barings Emerging Markets Local Debt Fund 295Barings Global Investment Grade Corporate Bond Fund 297Barings Emerging Markets Debt Short Duration Fund 298Barings Active Short Duration Fund 300Barings Emerging Markets Debt Blended Total Return Fund 301Barings Emerging Markets Sovereign Debt Fund 303Barings U.S. High Yield Bond Fund 305Barings U.S. Investment Grade Corporate Bond Fund 307Barings U.S. High Yield Bond Component Fund 308Barings U.S. Short Duration High Yield Bond Component Fund 310

Additional Information for Investors in the Federal Republic of Germany 311

Disclosure of Remuneration (Unaudited) 312

2 Barings Umbrella Fund Plc


Directors and Other Information

Directors

Mr. Oliver Burgel (UK resident, German national) (resignedwith effect from 24 October 2017)Mr. James Cleary (Irish resident, Irish national)*Mr. Timothy Schulze (US resident, US national)Mr. Peter Clark (UK resident, UK national)(resigned with effect from 14 June 2017,reappointed 29 September 2017)Ms. Barbara Healy (Irish resident, Irish national)*Mr. Julian Swayne (UK resident, UK national)(appointed with effect from 14 June 2017)Mr. David Conway (Irish resident, Irish national)*(appointed with effect from 14 June 2017)

Registered Office

70 Sir John Rogerson’s Quay (with effect from 7 December2017)Dublin 2Ireland

George’s Court (up to 6 December 2017)54-62 Townsend StreetDublin 2Ireland

78 Sir John Rogerson’s Quay (up to 10 July 2017)Dublin 2Ireland

Manager

Baring International Fund Managers (Ireland) LimitedGeorge’s Court54-62 Townsend StreetDublin 2Ireland

Investment Managers

Barings (U.K.) Limited61 AldwychLondon WC2B 4AEUnited Kingdom

Barings LLC550 S. Tryon StreetSuite 3300 CharlotteNorth Carolina 28202USA

Depositary

State Street Custodial Services (Ireland) Limited78 Sir John Rogerson’s QuayDublin 2Ireland

Administrator, Registrar and Transfer Agent

State Street Fund Services (Ireland) Limited78 Sir John Rogerson’s QuayDublin 2Ireland

Company Secretary

Matsack Trust Limited (with effect from 7 December 2017)70 Sir John Rogerson’s QuayDublin 2Ireland

Northern Trust International Fund AdministrationServices (Ireland) Limited (up to 6 December 2017)George’s Court54-62 Townsend StreetDublin 2Ireland

State Street Fund Services (Ireland) Limited (up to 10 July2017)78 Sir John Rogerson’s QuayDublin 2Ireland

Swiss Representative

UBS Fund Management (Switzerland) AGAeschenplatz 64052 BaselSwitzerland

Distributors

Barings (U.K.) Limited61 AldwychLondon WC2B 4AEUnited Kingdom

Barings Australia Pty LimitedLevel 22, Grosvenor Place225 George StreetSydney NSW 2000Australia

Barings Securities LLCIndependence Wharf470 Atlantic AvenueBoston, MA 02210United States

Baring Asset Management Limited155 BishopsgateLondon EC2M 3XYUnited Kingdom

Baring International Fund Managers (Ireland) LimitedGeorges Court54-62 Townsend StreetDublin 2Ireland

Baring SICE (Taiwan) Limited21st FloorNo. 333Sec. 1 Keelung RoadTaipei 11012TaiwanRepublic of China

*Independent Directors



Directors and Other Information (continued)

Distributors (continued)

Baring France SAS10 rue des Pyramides75001 ParisFrance

Baring Asset Management GmbHUlmenstrase 37-3960325 Frankfurt am MainGermany

Baring Asset Management Switzerland S.a r.l.Rue du Marche 281204 GenevaSwitzerland

Baring Asset Management (Japan) Limited12/F Sanno Park Tower2-11-1 Nagata-choChiyoka-KuTokyo 100-6166Japan

Baring Asset Management (Asia) Limited35/F Gloucester Tower15 Queen's Road CentralHong Kong

Independent Auditor

KPMGChartered Accountants1 Harbourmaster PlaceIFSCDublin 1Ireland

Legal Advisers

Matheson70 Sir John Rogerson’s QuayDublin 2Ireland

Swiss Paying Agent

UBS Switzerland AGBahnhofstrasse 458001 Zurich Switzerland

German Information Agent

UBS Deutschland AGBockenheimer Landstraße 2-460306 Frankfurt am MainGermany

Shareholders may obtain the prospectus, the Key Investor Information Document (KIID), the latest annual and semi-annualreports, the changes in the composition of the securities portfolio during the reporting period and copies of the Memorandumand Articles of Association free of charge from the registered office of the Manager, the Administrator, or the localrepresentatives in the countries where the Company is registered and in Switzerland at UBS Switzerland AG, Bahnhofstrasse45, 8001 Zurich, Switzerland.


The Directors submit to the shareholders their report together with the audited financial statements of Barings Umbrella FundPlc (the “Company”) for the financial year ended 31 December 2017.

Barings Umbrella Fund Plc (the “Company”) is incorporated as an Irish open-ended umbrella investment company with variablecapital and segregated liability between Sub-Funds. The Company is authorised by the Central Bank under the EuropeanCommunities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (as amended) and underthe Central Bank (Supervision & Enforcement) Act 2013 (Section 48(1) (Undertakings for Collective Investment in TransferableSecurities) Regulations 2015, as amended (together, the “UCITS Regulations”). The Company is listed on the Irish StockExchange (“ISE”). All share classes launched at financial year end, as detailed in Note 8, were listed on the Global ExchangeMarket of the ISE. At 31 December 2017, the Company had 14 active Sub-Funds (the “Sub-Funds”) as follows:

Sub-Fund Launch Date

Barings Global Senior Secured Bond Fund 27 January 2011Barings European High Yield Bond Fund 31 May 2011Barings Global High Yield Bond Fund 30 April 2012Barings Emerging Markets Corporate Bond Fund 16 April 2014Barings Emerging Markets Local Debt Fund 16 April 2014Barings Global Investment Grade Corporate Bond Fund 01 October 2014Barings Emerging Markets Debt Short Duration Fund 17 November 2014Barings Active Short Duration Fund 18 November 2014Barings Emerging Markets Debt Blended Total Return Fund 03 December 2014Barings Emerging Markets Sovereign Debt Fund 10 September 2015Barings U.S. High Yield Bond Fund 17 February 2016Barings U.S. Investment Grade Corporate Bond Fund 1 July 2016Barings U.S. High Yield Bond Component Fund 18 January 2017Barings U.S. Short Duration High Yield Bond Component Fund 15 February 2017

Prospectus

The Prospectus was originally issued on 9 February 2011 and was updated on 5 April 2012, 17 July 2013, 3 April 2014, 12September 2014, 27 August 2015, 15 January 2016 and 23 June 2016. A revised Prospectus and supplements to theProspectus were issued on 10 July 2017. The Supplements for Barings Global Senior Secured Bond Fund, Barings EuropeanHigh Yield Bond Fund, Barings Global High Yield Bond Fund, Barings Emerging Markets Corporate Bond Fund, BaringsEmerging Markets Local Debt Fund, Barings Global Investment Grade Corporate Bond Fund, Barings Emerging Markets DebtShort Duration Fund, Barings Active Short Duration Fund, Barings Emerging Markets Debt Blended Total Return Fund, BaringsEmerging Markets Sovereign Debt Fund, Barings U.S. High Yield Bond Fund, Barings U.S. Investment Grade Corporate BondFund, Barings U.S. High Yield Bond Component Fund and Barings U.S. Short Duration High Yield Bond Component Fundshould be read in conjunction with the Prospectus.

Investment objectives

Barings Global Senior Secured Bond Fund

The investment objective of the Sub-Fund is to provide high current income generation and, where appropriate, capitalappreciation. To achieve this objective, the Sub-Fund will invest principally in a portfolio of fixed and floating rate corporate debtinstruments, focusing primarily on North American and European senior secured high yield instruments which are listed ortraded on recognised markets in Europe or North America.

Barings European High Yield Bond Fund

The investment objective of the Sub-Fund is to provide high current income generation and, where appropriate, capitalappreciation. To achieve its objective, the Sub-Fund will invest in a portfolio consisting primarily of European high yieldinstruments. European high yield instruments comprise high yield fixed and floating rate corporate debt instruments issuedeither by European corporations in any currency, or issued in a European currency by corporations established outside Europeand/or listed or traded on a recognised market in Europe.

Barings Global High Yield Bond Fund

The investment objective of the Sub-Fund is to provide high current income generation and, where appropriate, capitalappreciation. To achieve its objective, the Sub-Fund will invest principally in a portfolio of high yield fixed and floating ratecorporate debt instruments, focusing primarily on North American and European high yield instruments which are listed ortraded on recognised markets in Europe or North America.


Directors’ Reportfor the financial year ended 31 December 2017


Investment objectives (continued)

Barings Emerging Markets Corporate Bond Fund

The investment objective of the Sub-Fund is to seek maximum total return, consistent with preservation of capital and prudentinvestment management, through high current income generation and, where appropriate, capital appreciation.

Barings Emerging Markets Local Debt Fund

The investment objective of the Sub-Fund is to seek long-term total return through investment in a diversified portfolio ofemerging markets local currency-denominated debt securities.

Barings Global Investment Grade Corporate Bond Fund

The investment objective of the Sub-Fund is to seek a total return outperforming the Barclays Global Aggregate Corporate Index(the “Index”). The Index, which is maintained by Barclays Capital, provides a broad-based measure of the global investmentgrade corporate fixed-rate debt market. The Index is comprised of the corporate issues of the U.S. Aggregate, Pan-EuropeanAggregate, Asian-Pacific Aggregate, Eurodollar, 144A and Euro-Yen Indices. Further information in respect of the Index is setout in the supplement to the Prospectus.

Barings Emerging Markets Debt Short Duration Fund


Barings Active Short Duration Fund

The investment objective of the Sub-Fund is to seek a maximum total rate of return primarily from current income, whileminimising fluctuations in capital values, by investing in short-term investment grade fixed income securities.

Barings Emerging Markets Debt Blended Total Return Fund


Barings Emerging Markets Sovereign Debt Fund

The investment objective of the Sub-Fund is to seek maximum total return, consistent with preparation of capital and prudentinvestment management, through high current income generation and where appropriate, capital appreciation.

Barings U.S. High Yield Bond Fund

The investment objective of the Sub-Fund is to generate total return by providing high current income generation and, whereappropriate, capital appreciation.

Barings U.S. Investment Grade Corporate Bond Fund

The investment objective of the Sub-Fund is to seek a total return outperforming the Barclays US Credit Index.

Barings U.S. High Yield Bond Component Fund


Barings U.S. Short Duration High Yield Bond Component Fund


Review of the performance and future developments of the business

A detailed review of the business and future developments and KPI’s are included in the Investment Managers’ Reports.


Directors’ Reportfor the financial year ended 31 December 2017 (continued)




Results and distributions

The results of operations for the financial year are set out in the Statement of Comprehensive Income. The Directors declareddistributions amounting to the following:

US$7,126,493 from the Barings Global Senior Secured Bond Fund during the financial year (31 December 2016: US$8,427,827)€833,859 from Barings European High Yield Bond Fund (31 December 2016: €370,399)US$36,891 from Barings Global High Yield Bond Fund (31 December 2016: US$19,511)US$37,816 from the Barings Emerging Markets Corporate Bond Fund (31 December 2016: US$75,143)US$56,193 from the Barings Emerging Markets Local Debt Fund (31 December 2016: US$Nil)US$1,525,578 from the Barings Global Investment Grade Corporate Bond Fund (31 December 2016: US$1,230,990)US$1,028,684 from the Barings Emerging Markets Debt Short Duration Fund (31 December 2016: US$775,958)US$Nil from the Barings Active Short Duration Fund (31 December 2016: US$416,592)US$3,707,748 from the Barings Emerging Markets Debt Blended Total Return Fund (31 December 2016: US$2,506,010)US$1,185,021 from the Barings Emerging Markets Sovereign Debt Fund (31 December 2016: US$879,340)US$63,045 from the Barings U.S. High Yield Bond Fund (31 December 2016: US$Nil)US$289,350 from the Barings U.S. High Yield Bond Component Fund (31 December 2016: US$Nil)US$110,584 from the Barings U.S. Short Duration High Yield Bond Component Fund (31 December 2016: US$Nil)

Directors

The names and nationalities of persons who were Directors at any time during the financial year ended 31 December 2017 areset out below:Mr. Oliver Burgel (UK resident, German national) (resigned with effect from 24 October 2017)Mr. James Cleary (Irish resident, Irish national)Mr. Timothy Schulze (US resident, US national)Mr. Peter Clark (UK resident, UK national) (resigned with effect from 14 June 2017, re-appointed 29 September 2017)Ms. Barbara Healy (Irish resident, Irish national)Mr. Julian Swayne (UK resident, UK national) (appointed with effect from 14 June 2017)Mr. David Conway (Irish resident, Irish national) (appointed with effect from 14 June 2017)

Directors’ and Secretary’s interests

Neither the Directors nor the Secretary held any shares in the Company. Mr. Timothy Schulze and Mr. Peter Clark areemployees of the Investment Managers.

Risk management objectives and policies

The principal risks and uncertainties facing the Company are market risk, liquidity risk and credit risk. These risks are explainedin Note 13 of the financial statements along with the risk management framework in place to deal with these risks.

Significant events during the financial year

Please refer to Note 26 for significant events during the financial year.

Significant events since the financial year end

Please refer to Note 27 for significant events since the financial year end.

Statement of Directors’ responsibilities in respect of the Directors’ report and the financial statements

The Directors are responsible for preparing the Directors’ Report and financial statements, in accordance with applicable lawand regulations.

Company law requires the Directors to prepare financial statements for each financial year. Under that law they have electedto prepare the financial statements in accordance with International Financial Reporting Standards (IFRS) as adopted by theEuropean Union (EU) and applicable law.


Statement of Directors’ responsibilities in respect of the Directors’ report and the financial statements (continued)

Under company law the Directors must not approve the financial statements unless they are satisfied that they give a true andfair view of the assets, liabilities and financial position of the Company and of its changes in net assets attributable to holdersof redeemable participating shares for that year. In preparing the financial statements, the Directors are required to:• select suitable accounting policies and then apply them consistently;• make judgments and estimates that are reasonable and prudent;• state whether they have been prepared in accordance with IFRS as adopted by the EU; and• prepare the financial statements on the going concern basis unless it is inappropriate to presume that the Company will

continue in business.

The Directors are responsible for keeping adequate accounting records which disclose with reasonable accuracy at any timethe assets, liabilities, financial position and profit or loss of the Company and enable them to ensure that its financial statementscomply with the Companies Act 2014, the European Communities (Undertakings for Collective Investment in TransferableSecurities) Regulations, 2011 (as amended) and under the Central Bank (Supervision & Enforcement) Act 2013 (Section 48(1)(Undertakings for Collective Investment in Transferable Securities) Regulations 2015, as amended (together, the “UCITSRegulations”). The Directors have appointed State Street Fund Services (Ireland) Limited to keep adequate accounting recordswhich are located at the offices of the administrator at 78 Sir John Rogerson's Quay, Dublin 2, Ireland.

They have general responsibility for taking such steps as are reasonably open to them to safeguard the assets of the Company.In this regard they have entrusted the assets of the Company to State Street Custodial Services (Ireland) Limited (“theDepositary”) for safe-keeping. They have general responsibility for taking such steps as are reasonably open to them to preventand detect fraud and other irregularities. The Directors are also responsible for preparing a Directors’ Report that complies withthe requirements of the Companies Act 2014.

The Investment Manager is responsible for the maintenance and integrity of the corporate and financial information includedon the Company’s website. Legislation in the Republic of Ireland governing the preparation and dissemination of financialstatements may differ from legislation in other jurisdictions.

Relevant audit information

As at the date this Directors’ Report was approved and signed, each Director is satisfied that:

(a) there is no relevant audit information of which the Company’s statutory auditors are unaware; and

(b) she or he has taken all the steps that she or he ought to have taken as a director in order to make herself or himselfaware of any relevant audit information and to establish that the Company’s statutory auditors are aware of thatinformation; and

(c) where “relevant audit information” means information needed by the Company’s statutory auditors in connection withpreparing their report.

Corporate Governance Statement

General Principles

The Company is subject to comply with the requirements of the Companies Act, 2014 (the “Companies Act“), the UCITSRegulations 2015 and the Central Bank of Ireland (the “Central Bank”) UCITS Regulations and guidance notes, as applicableto the Company. The European Communities (Directive 2006/46/EC) Regulations (S.I. 450 of 2009 and S.I. 83 of 2010) (the“Regulations”) requires the inclusion of a corporate governance statement in the Directors’ Report. The aforementionedRegulations apply to entities that are listed on the Irish Stock Exchange (the “ISE”). On 14 December 2011, the Irish FundsIndustry Association (“Irish Funds”) published a corporate governance code (“IF Code”) that may be adopted on a voluntarybasis by Irish authorised collective investment schemes. The Board adopted the IF Code on 6 November 2012, with effect from31 December 2012. The Board considers that the Company has complied with the provisions contained in the IF Codethroughout this accounting financial year.

The Company was also subject to corporate governance practices imposed by:

(i) The Irish Companies Act, 2014 which are available for inspection at the registered office of the Company; and may alsobe obtained at http://www.irishstatutebook.ie/home.html;

(ii) The Articles of Association of the Company which are available for inspection at the registered office of the Companyand at the Companies Registration Office in Ireland;






Corporate Governance Statement (continued)

General Principles (continued)

(iii) The Central Bank of Ireland (the “Central Bank”) in their UCITS Regulations which can be obtained from the CentralBank’s website at: http://www.centralbank.ie/regulation/industry-sectors/funds/Pages/default.aspx and are available forinspection at the registered office of the Company; and

(iv) The Irish Stock Exchange (the “ISE”) through the ISE Code of Listing Requirements and Procedures which can beobtained from the ISE’s website at: http://www.ise.ie/index.asp?locID=7&docID=-1.

The Board did not adopt any further corporate governance codes during the financial year.

It should be noted that the IF Code reflects existing corporate governance practices imposed on Irish authorised collectiveinvestment schemes, as noted above. If the IF Code is adopted on a voluntary basis, it can be referred to in the disclosuresmade in the Directors’ Report in compliance with the provisions of the European Communities (Directive 2006/46/EC)Regulations (i.e. S.I. 450 of 2009 and S.I. 83 of 2010).

Internal Control and Risk Management Systems in Relation to Financial Reporting

The Board is responsible for establishing and maintaining adequate internal control and risk management systems of theCompany in relation to the financial reporting process. Such systems are designed to manage rather than eliminate the risk oferror or fraud in achieving the Company’s financial reporting objectives and can only provide reasonable and not absoluteassurance against material misstatement or loss.

The Board has procedures in place to ensure that all relevant books of account are properly maintained and are readilyavailable, including production of annual and half yearly financial statements. The Board has appointed the Administrator tomaintain the books and records of the Company.

The Administrator is authorised and regulated by the Central Bank and must comply with the rules imposed by the Central Bank.From time to time, the Board examines and evaluates the Administrator’s financial accounting and reporting routines. Theannual financial statements of the Company are produced by the Administrator and reviewed by the Investment Managers.They are required to be approved by the Board and the annual and half yearly financial statements of the Company are requiredto be filed with the Central Bank and the half-yearly financial statements are required to be filed with the ISE.

During the financial year of these financial statements, the Board was responsible for the review and approval of the annualfinancial statements as set out in the Statement of Directors’ Responsibilities. The statutory financial statements are required tobe audited by independent auditors who report annually to the Board on their findings. The Board monitors and evaluates theindependent auditor’s performance, qualifications and independence. As part of its review procedures, the Board receivespresentations from relevant parties including consideration of International Accounting Standards and their impact on theannual financial statements, and presentations and reports on the audit process. The Board evaluates and discusses significantaccounting and reporting issues as the need arises.

Dealings with Shareholders

The convening and conduct of shareholders’ meetings are governed by the Articles of Association of the Company and theCompanies Act.

Although the Directors may convene an extraordinary general meeting of the Company at any time, the Directors were requiredto convene the first annual general meeting of the Company within eighteen months of incorporation and fifteen months of thedate of the previous annual general meeting thereafter, provided that an annual general meeting is held once in each yearwithin six months of the end of each financial year of the Company. At least twenty-one clear days’ notice of every annualgeneral meeting and any meeting convened for the passing of a special resolution must be given to shareholders and fourteendays’ notice must be given in the case of any other general meeting, unless the auditors of the Company and all theshareholders of the Company entitled to attend and vote agree to shorter notice. Two shareholders present either in person orby proxy constitutes a quorum at a general meeting.


Corporate Governance Statement (continued)

Dealings with Shareholders (continued)

The share capital of the Company is divided into different classes of shares and the Companies Act and the Articles ofAssociation provide that the quorum for a general meeting convened to consider any alteration to the rights attached to anyclass of shares, is two or more shareholders present in person or by proxy, holding or representing by proxy at least one thirdof the issued shares of the relevant class. Every holder of participating shares or non-participating shares present, in personor by proxy who votes on a show of hands is entitled to one vote. On a poll, every holder of participating shares present, inperson or by proxy, is entitled to one vote in respect of each share held by him, and every holder of non-participating sharesis entitled to one vote in respect of all non-participating shares held by him. At any general meeting, a resolution put to the voteof the meeting is decided on a show of hands unless, before or upon the declaration of the result of the show of hands, a pollis demanded by the chairman of the general meeting, or by at least two members or shareholders present, in person or byproxy, having the right to vote at such meeting, or any holder or holders of participating shares present, in person or by proxy,representing at least one tenth of the shares in issue having the right to vote at such meeting.

Shareholders may resolve to sanction an ordinary resolution or special resolution at a shareholders’ meeting. Alternatively, aresolution in writing signed by all of the shareholders and holders of non-participating shares for the time being entitled to attendand vote on such resolution at a general meeting of the Company, will be valid and effective for all purposes as if the resolutionhad been passed at a general meeting of the Company duly convened and held. An ordinary resolution of the Company (or ofthe shareholders of a particular Sub-Fund or class of shares) requires a simple majority of the votes cast by the shareholdersvoting, in person or by proxy, at the meeting at which the resolution is proposed. A special resolution of the Company (or of theshareholders of a particular Sub-Fund or class of shares) requires a majority of not less than 75% of shareholders present, inperson or by proxy, and voting in general meeting in order to pass a special resolution including a resolution to amend theArticles of Association.

Board composition and activities

In accordance with the Companies Act and the Articles of Association, unless otherwise determined by an ordinary resolutionof the Company in general meeting, the number of Directors may not be less than two. Currently the Board is comprised of fournon-executive Directors, three of whom are independent. Details of the current Directors are disclosed on page 2.

The business of the Company is managed by the Directors, who exercise all such powers of the Company as required by theCompanies Act or by the Articles of Association of the Company.

The Board is responsible for the Company’s overall direction and strategy and to this end it reserves the decision making poweron issues such as the determination of medium and long-term goals, review of managerial performance, organisationalstructure and capital needs and commitments to achieve the Company’s strategic goals. To achieve these responsibilities, theBoard meets on a quarterly basis to review the operations of the Company, address matters of strategic importance and toreceive reports from the Administrator, Depositary and the Investment Manager. However, a Director may, and the CompanySecretary on the requisition of a Director will, at any time summon a meeting of the Directors and ad hoc meetings in additionto the four meetings that are convened as required.

Questions arising at any meeting of the Directors are determined by the Chairman. In the case of an equality of votes, theChairman of the meeting at which the show of hands takes place or at which the poll is demanded shall be entitled to a secondor casting vote. The quorum necessary for the transaction of business at a meeting of the Directors is two.

Dealings with Connected Persons

Regulation 41(1) of the UCITS Regulations “Restrictions of transactions with connected persons” states that “A responsibleperson shall ensure that any transaction between a UCITS and a connected person is a) conducted at arm’s length; and b) inthe best interest of the unit-holders of the UCITS”.

As required under UCITS Regulation 78.4, the Directors, as responsible persons are satisfied that there are in placearrangements, evidenced by written procedures, to ensure that the obligations that are prescribed by Regulation 41(1) areapplied to all transactions with a connected person; and all transactions with connected persons that were entered into duringthe period to which the report relates complied with the obligations that are prescribed by Regulation 41(1).





Investment Managers’ Reportsfor the financial year ended 31 December 2017

Barings Global Senior Secured Bond Fund

Performance

Full year 2017 produced positive returns across the global high yield bond markets. Corporate fundamentals were stable toimproving and defaults remained below historical averages. The global high yield bond markets experienced large newissuance volumes, with senior secured bonds accounting for 46% of European new issuance and 22% of U.S. new issuance.However, since a large percentage of global high yield bond market new deals were refinancing related, net new issuance wasmore modest. During most of the year, demand outstripped supply and senior secured bond market spreads tightened fromthe beginning of the year.

The U.S. high yield bond market finished 2017 with strong total return performance driven by continued improvement incorporate fundamentals, stability in central bank policy, and a firm backdrop for commodity prices. In general, the market wasin risk-on mode as investors searched for yield. Triple-Cs were the main driver of performance for the year while double-Bs andsingle-Bs also posted positive performance. Utilities rallied in the second half of the year to finish as the top performing sectorin 2017 followed by Chemicals and Gaming/Leisure which all generated double-digit returns. The Retail sector was the onlyindustry finishing the year negative as the sector continues to adjust to secular changes. The option adjusted spread and yield-to-worst for the market tightened by 59 bps to 363 bps and 33 bps to 5.84% over the course of the year, respectively. Newissue activity picked up with gross new issuance totaling $328 billion and surpassing levels over the past two years, however,over 63% of this was refinancing related leaving net new issuance at the lowest levels since 2011. U.S. high yield mutual fundsended the year with $20 billion in outflows capping off a year of weaker retail demand for the asset class, however, retailoutflows were more than offset by institutional inflows, adding to the market’s technical strength. The overall fundamental andtechnical picture remained firm with default rates continuing to decline from 3.57% at the beginning of the year to 1.27%.

The European high yield bond market finished with strong overall performance in 2017. Returns were positive across ratingscategories as double-Bs slightly outperformed single-Bs while triple-Cs materially outperformed. From an industry perspective,outside of Consumer Goods, which was impacted by an idiosyncratic credit event, all sectors saw positive performance led byInsurance, Energy, and Real Estate which all posted double digit returns. The option adjusted spread for the European markettightened by 96 bps to 294 bps, with spreads tightening by 18 bps in the single-B segment, and by 87 bps in double-Bs, whilesingle-Bs continue to offer a significant spread premium of 245 bps vs double-Bs (459 bps vs 214 bps). European newissuance surged in the fourth quarter to end the year at €93.7 billion, surpassing the annual record set in 2014. Thispredominately consisted of single-B and double-B rated issues with triple-Cs only accounting for about 7% of total issuance.Retail flows were negative for the year with €5.9 billion leaving high yield funds in 2017, however, the fundamental pictureremains sound as the default rate continued to decline.

The Fund outperformed its benchmark in 2017. Since its inception in January 2011, the Fund has outperformed its benchmark.

Historical performance is no indicator of current or future performance. The performance data does not take into account of anycommissions and costs charged when subscribing and redeeming shares.

Market & Outlook

Overall, high yield in both the U.S. and Europe performed well, showing little signs of stress, with most companies generatingtop and bottom line growth as well as reasonable balance sheet leverage. Global growth, which appears to be synchronizedacross North America and Europe, remains supportive. Looking into 2018, the fundamental picture should remain sound ascorporate balance sheets continue to improve and default rates continue to stay below historical averages.

Barings (U.K.) Limited

Barings LLC

January 2018



Investment Managers’ Reportsfor the financial year ended 31 December 2017 (continued)


Performance

Full year 2017 produced positive returns across the European high yield bond market. Corporate fundamentals were stable toimproving and defaults remained below historical averages. The high yield market experienced large new issuance volumesbut since a large percentage of the new deals were refinancing related, net new issuance was much more modest. During mostof the year, demand outstripped supply and spreads tightened from the beginning of the year.


The Fund outperformed its benchmark in 2017. Since its inception in May 2011, the Fund has outperformed its benchmark.


Market & Outlook

Overall, high yield in Europe performed well, showing little signs of stress, with most companies generating top and bottom linegrowth as well as reasonable balance sheet leverage. Looking into 2018, the fundamental picture should remain sound ascorporate balance sheets continue to improve and default rates continue to stay below historical averages.


January 2018




Barings Global High Yield Bond Fund

Performance

Full year 2017 produced positive returns across the global high yield bond markets. Corporate fundamentals were stable toimproving and defaults remained below historical averages. The global high yield markets experienced large new issuancevolumes but since a large percentage of the new deals were refinancing related, net new issuance was much more modest.During most of the year, demand outstripped supply and spreads tightened from the beginning of the year.



The Fund outperformed its benchmark in 2017. Since its inception in April 2012, the Fund has outperformed its benchmark.


Market & Outlook

Overall, high yield in both the U.S. and Europe performed well, showing little signs of stress, with most companies generatingtop and bottom line growth as well as reasonable balance sheet leverage. Global growth, which appears to be synchronizedacross North America and Europe, remains supportive. Looking into 2018, the fundamental picture should remain sound ascorporate balance sheets continue to improve and default rates continue to stay below historical averages.


Barings LLC

January 2018



Performance

During 2017, Emerging Markets corporate debt rallied on the back of a positive macroeconomic backdrop, rising commodityprices, improving fundamentals, and strong investor demand for new issuances. Further support for EM corporates comes fromsignificant cost cutting initiatives, capex cuts, and asset sales, resulting in lower leverage and overall healthier balance sheets.Additionally, since commodities turned the corner in 2016, default rates have declined along with improving economies,especially across Latin America.

In 2017, the Fund generated a gross of fees return of 9.78%, outperforming the J.P. Morgan CEMBI Broad Diversified Index,which returned 7.96%.


Market & Outlook

We believe EM corporate debt will continue to benefit from an increasingly stable macroeconomic environment and a gradualpickup in EM growth. Capex adjustments and cost reductions that we saw throughout 2017 hare translated into improvementsin credit fundamentals. As we look towards 2018, selectivity and active management are critical. In our view, a disciplined,bottom-up approach to credit selection is paramount to seeking the most attractive risk-reward opportunities in the growing EMcorporate asset class.


Barings LLC

January 2018





Performance

In 2017, Emerging Markets Local Debt turned in a strong performance with returns coming from both rates and currencies. EMcurrencies, overall, are at their strongest levels in years and reflect the significant fiscal adjustments and reforms manycountries have made over the past few years (up 5.79%). EM local rates have performed well as a result of moderate growth,strong global trade, and low inflation across many local markets. During 2017, the Fund generated a gross of fees return of19.39%, outperforming the J.P. Morgan GBI-EMGD, which returned 15.21%.


Market & Outlook

• We remain optimistic that some Emerging Markets headwinds are in the process of becoming tailwinds for manyeconomies. EM debt flows, a former headwind, have been positive over the past 2 years, for a total of $155.5 billion.

• Global trade volumes continue to show signs of recovery, a trend we expect to continue through the upcoming year,providing a positive catalyst for commodity exporters.

• Global inflation may rise, but will likely remain relatively subdued and manageable over the next several years. Due tothe reduced inflationary pressures, we expect to see lower overall interest rates in countries with floating currencies andcredible central bank policies, where nominal yields offer significant compensation for risk.

• The portfolio continues to add to constructive positioning on select European and Latin American currencies, less so onAsian currencies, while maintaining a watchful eye on commodity prices.

• The portfolio continues to be positioned in select rates where inflation is falling along with narrowing current accountdeficits. A picture of global disinflation should remain favorable for emerging markets local debt and the Fund.


Barings LLC

January 2018




Barings Global Investment Grade Corporate Bond Fund

Performance

The Fund returned 5.72% (net), outperforming the Bloomberg Barclays Global Aggregate Corporate Index, which returned5.70% for the period.

While the U.S. Federal Reserve has been in the process of tightening monetary policy, the European and UK Central Bankshave recently started to discuss the possibility of the conclusion of easy policies. Despite signaling policy changes to markets,global rates, as measured by 10-year securities with the exception of the German Bund, ended at roughly the same yield levelas at the start of the year. While rates traded in a tight range, spreads were tighter for the period. Spreads on the BloombergBarclays Global Aggregate Corporate Index tightened 16 basis points.

Fundamental data showed continued improvement in 3Q17. On a y/y basis, revenue grew 6.3%, EBITDA grew 10.7%, and debtgrew 3.2%. This is a second quarter in a row that EBITDA grew at a higher rate than debt. As a result, gross leverage fell 0.2xy/y to 2.9x, and net leverage fell 0.2x to 2.3x. Margins improved 1.6% to 28.9%, which is a new peak. Gross new issuance forthe year is $1,426B which is 2% above the equivalent period in 2016. Deals are still very well received and price 20 – 25 basispoints inside of initial price talk and are multiple times oversubscribed. Typically deals price on top of secondary issues anddo not perform positively or negatively when they are free to trade. Conversely, net new issuance for 2017 is $630.3B which is9% lower than the equivalent period in 2016. Forecasts are that 2018 gross and net issuance will be roughly in line with 2017numbers. The Bloomberg Barclays US Corporate Index ended the year at a spread of 90bps. Spread levels for the overall indexare near the tightest in a decade. While there should be room for tightening in the year ahead given fundamentals and technical,it will likely be modest.

Fund performance positively benefitted from security selection. An underweight to the Banking sector was the primary positivedriver to performance. Selection in Retail Store and Property and Casualty Insurance also benefitted the Fund. The Metals andMining sector was the primary detractor. Electric Utilities also underperformed. There is little differentiation in sector spreads inthe current environment, with the exception of commodity credits, which trade wider than other credits. With the lack of spreaddifferentiation, higher potential for a “bear” scenario to emerge, but a base case of “grinding” spreads, we believe it may makesense to position the portfolios with very specific overweights as opposed to broad exposure to the market. If investment gradespreads continue to tighten, we believe it may make sense to take overall portfolio beta down and start to think about movingto a more defensive positioning. We still like large, diversified pipelines, domestic, land-based drillers and oil field servicecompanies, and banks.


Market & Outlook

In 2017 the significant factors that we use to evaluate corporate credit (i.e. global growth, monetary policy, fundamentals,technical, and spread levels) were all positive and contributed to strong spread tightening. This is not the case going into 2018as we have mixed signals. The economic backdrop is strong and we don’t see a recession on the horizon. The OECD isprojecting robust global growth of 3.7% in 2018 and 3.6% in 2019. Developed economies, such as the U.S., are projected tobe positive during the next two years but either flat or slowing as we move towards 2019. These factors are unambiguouslypositive for corporate credit, but we acknowledge we are late in the economic cycle. Global monetary policy is at an inflectionpoint with the U.S. slowly beginning “quantitative tightening”, the ECB reducing bond buying and the BoJ holding steady – fornow. Monetary policy may well be the key issue in 2018 and turn negative for corporate credit. Inflation is projected to remainstable and low. Spreads have tightened. That being said, the path of least resistance is for spreads to grind modestly tighter.Currently strong technicals should limit any spread widening.


Barings LLC

January 2018




Barings Emerging Markets Debt Short Duration Fund

Performance

During the second half of 2017, Emerging Markets corporate debt rallied on the back of a positive macroeconomic backdrop,rising commodity prices, improving fundamentals and strong investor demand for new issuances. Further support for EMcorporates comes from significant cost cutting initiatives, capex cuts and asset sales, resulting in lower leverage and overallhealthier balance sheets. Additionally, since commodities turned the corner in 2016, default rates have declined along withimproving economies, especially across Latin America.

In 2017, the Fund generated a gross of fees return of 5.86%.


Market & Outlook

We believe EM corporate debt will continue to benefit from an increasingly stable macroeconomic environment and a gradualpickup in EM growth. Capex adjustments and cost reductions that we saw throughout 2017 have translated into improvementsin credit fundamentals. As we look towards 2018, selectivity and active management are critical. In our view, a disciplined,bottom-up approach to credit selection is paramount to seeking the most attractive risk-reward opportunities in the growing EMcorporate asset class. There are several macroeconomic factors that we believe will continue to be supportive of EM corporatedebt, including GDP growth in Asia and Latin America. Technicals remain favorable and over the next 6 months, we do notexpect to see sharp reversals in fund flows.


Barings LLC

January 2018




Barings Active Short Duration Fund

Performance

The Fund returned 2.65% (net) versus 0.45% for the Barclays 1-3 Year Government Index for the twelve month period.

The front-end of the yield curve, between 3 months and 3 years, was steep to start 2017 with the Fund at its maximum of 3.0years. During the spring, the slope points along the curve we monitor flattened. In accordance with our duration managementprocess the Fund, over time, shortened duration to 1.0 years. The U.S. Federal Reserve did increase rates at the March, Juneand December FOMC meetings. Further hikes are expected in 2018 as the Fed continues to monitor inflation and employmentconditions.

With a flat yield curve, the duration of the Fund remained at 1.0 years at the end of December in accordance with our durationmanagement process. The Fund will continue to maintain an active allocation to securitized and corporate credit. Withinsecuritized, the Asset Backed Security (ABS) allocation was 25% at the end of the year. Student loans represented the largestsub-sector, followed by automotive loan collateral. Additional ABS subsectors consist of timeshares and franchise receivablesin addition to others. The Fund maintained an active positioning in Residential Mortgage Backed Securities (RMBS). Thecorporate allocation ended the period at approximately 43%, with 37% in investment grade corporates, 4% in BB-rated andcrossover high yield, and 2% in U.S. dollar-denominated emerging markets. U.S. money centers and regional banksrepresented the largest corporate allocation to the Fund. Away from the banking sector, select energy names offers attractiveincome opportunities.

Duration positioning positively contributed to performance. As mentioned previously the front-end of the yield curve, between3 months and 3 years, was steep to start 2017, with the Fund at its maximum of 3.0 years. Since April, the slope points alongthe curve we monitor flattened. In accordance with our duration management process, the Fund shortened duration to 1.0years. The Fund’s allocation to corporate credit contributed positively to performance as well. Corporate spreads havetightened since the beginning of the year to bolster performance. Allocations to banking and the life insurance sector benefittedthe Fund. An allocation to BB-rated high yield bonds also helped performance during the period. Exposure to CMBX, asynthetic index, to gain exposure to seasoned hard to source 2012 Commercial Mortgage Backed Securities (CMBS) BBBvintages detracted from performance. The ABS sector positively impacted performance over the period. Allocations togovernment-guaranteed FFELP student loans and automobile receivable ABS collateral were the largest contributing sub-sectors.


Market & Outlook

While global growth prospects remain relatively sound, economic data releases in the U.S. have been underwhelming duringthe year. This pushed short maturity government bond yields higher as market participants have begun to reappraise futuremonetary policy expectations across both domestic and international markets. Although longer dated maturity yields havefallen. However, risk assets have performed well suggesting that investors are looking at better global growth. With the flat USTreasury yield curve to end the year, the duration of the Fund remained at 1.0 years in accordance with our durationmanagement process. The Fund will continue to maintain a lower allocation in both Treasury and Agency securities with anactive allocation to corporate bonds. Technicals may remain strong for corporate credit with continued robust mutual fundinflows, demand from non-US investors and domestic and pension buying. Fundamentals continue to show sign ofimprovement. The Fund will continue to reinvest within the sector. The Fund will continue to selectively reinvest and addexposure to ABS, such as student loans, and franchise whole business deals, as opportunities arise.


Barings LLC

January 2018




Barings Emerging Markets Debt Blended Total Return Fund

Performance

Emerging Markets Debt performed well during the second half of 2017 as central banks remained dovish despite hikes in theU.S. and taper talk from the ECB, global growth continues to improve, and import demand remains strong. Trade balances formost EM economies have been improving steadily since 2012. Higher export volumes and prices should continue to helpimprove trade balances of most EM economies over the next 12 months. Flows, a former headwind, have become a significanttailwind with more than $112.8 billion of flows across EM Corporate, Sovereign, and Local, a 5-year high. The significantincrease in flows is supportive of tighter hard currency spreads, as well as stronger currencies.

In 2017, the EM Debt Blended Total Return Fund returned 16.78% (gross of fees).

Historical performance is no indicator of current or future performance. The performance data does not take account of anycommissions and costs charged when subscribing and redeeming shares.

Market & Outlook

• Global growth continues to improve as economies adjust and consumption in both developed markets and emergingmarkets accelerates. We expect continued improvement in global GDP in 2018, with EM leading the way.

• Balance of payments and current accounts across EM countries continue to improve. Many economies have madesubstantial fiscal adjustments given the lower commodity prices, prudent monetary policies and, in some cases,increased tax collection. Stronger growth and significantly lower funding needs, coupled with flows and foreign directinvestment (FDI) into stronger countries, will likely remain supportive of currencies and hard currency bonds.

• Company fundamentals have improved on the back of economic growth and commodity prices, and leverage isexpected to decline. These positive trends may translate into ratings upgrades over the next 12-18 months.


• We continue to take a constructive view of EM debt as a whole, and expect healthy returns from EM local debt due tomoderate growth, lower inflation, and continued fiscal adjustments across many countries. Although sovereign hardcurrency has tightened significantly, we see select opportunities where spreads continue to overcompensate fordefaults.


Barings LLC

January 2018






Barings Emerging Markets Sovereign Debt Fund

Performance

During 2017, EM sovereign debt, as defined by the JP Morgan EMBI Global Diversified Index, returned 10.26% on the back ofhealthy global growth, strong import demand from the U.S. and Europe, improving trade balances, and strong flows into EMDebt. The Barings Emerging Markets Sovereign Debt Fund returned 16.24% (gross of fees), outperforming its benchmark overthe same period by 5.98%.


Market & Outlook

• Developed market fiscal policies are likely to remain expansionary for the next 12 months, providing further support forglobal growth, which should continue to benefit emerging markets.


• We continue to favor select Latin American and Eastern European countries that have made meaningful fiscaladjustments on the back of lower currency prices and sovereigns, which are the beneficiaries of a pickup in U.S. andEuro-area growth.


Barings LLC

January 2018



Performance

Full year 2017 produced positive returns across the U.S. high yield bond market. Corporate fundamentals were stable toimproving and defaults remained below historical averages. The high yield market experienced large new issuance volumesbut since a large percentage of the new deals were refinancing related, net new issuance was much more modest. During mostof the year, demand outstripped supply and spreads tightened from the beginning of the year.


The Fund outperformed its benchmark in 2017. Since its inception in February 2016, the Fund has outperformed its benchmark.


Market & Outlook

Overall, U.S. high yield bonds performed well, showing little signs of stress, with most companies generating top and bottomline growth as well as reasonable balance sheet leverage. Looking into 2018, the fundamental picture should remain sound ascorporate balance sheets continue to improve and default rates continue to stay below historical averages.


Barings LLC

January 2018




Barings U.S. Investment Grade Corporate Bond Fund

Performance

The Fund returned 6.26% (net), outperforming the Bloomberg Barclays U.S. Credit Index, which returned 6.18% for the period.Performance was helped by tighter investment grade corporate bond spreads and a flatter yield curve over the period.

Fundamental data showed continued improvement in 3Q17. On a y/y basis, revenue grew 6.3%, EBITDA grew 10.7%, and debtgrew 3.2%. This is a second quarter in a row that EBITDA grew at a higher rate than debt. As a result, gross leverage fell 0.2xy/y to 2.9x, and net leverage fell 0.2x to 2.3x. Margins improved 1.6% to 28.9%, which is a new peak. Gross new issuance forthe year is $1,426B which is 2% above than the equivalent period in 2016. Deals are still very well received and price 20 – 25basis points inside of initial price talk and are multiple times oversubscribed. Typically deals price on top of secondary issuesand do not perform positively or negatively when they are free to trade. Conversely, net new issuance for 2017 is $630.3B whichis 9% lower than the equivalent period in 2016. Forecasts are that 2018 gross and net issuance will be roughly in line with 2017numbers. The Bloomberg Barclays US Corporate Index ended the year at a spread of 90bps. Spread levels for the overall indexare near the tightest in a decade. While there should be room for tightening in the year ahead given fundamentals and technical,it will likely be modest.

Fund performance positively benefitted from security selection. An underweight and security selection in Foreign Sovereign wasthe primary positive driver to performance. Selection in Electric Utilities and Property & Casualty Insurance also benefitted theFund. The Oil Equipment sector was the primary detractor. Pharmaceuticals and Leasing also detracted. There is littledifferentiation in sector spreads in the current environment, with the exception of commodity credits, which trade wider thanother credits. With the lack of spread differentiation, higher potential for a “bear” scenario to emerge, but a base case of“grinding” spreads, we believe it may make sense to position the portfolios with very specific overweights as opposed to broadexposure to the market. If investment grade spreads continue to tighten, we believe it may make sense to take overall portfoliobeta down and start to think about moving to a more defensive positioning. We still like large, diversified pipelines, domestic,land-based drillers and oil field service companies, and banks.


Market & Outlook

In 2017 the significant factors that we use to evaluate corporate credit (i.e. global growth, monetary policy, fundamentals,technical, and spread levels) were all positive and contributed to strong spread tightening. This is not the case going into 2018as we have mixed signals. The economic backdrop is strong and we don’t see a recession on the horizon. The OECD isprojecting robust global growth of 3.7% in 2018 and 3.6% in 2019. Developed economies, such as the U.S., are projected tobe positive during the next two years but either flat or slowing as we move towards 2019. These factors are unambiguouslypositive for corporate credit, but we acknowledge we are late in the economic cycle. Global monetary policy is at an inflectionpoint with the U.S. slowly beginning “quantitative tightening”, the ECB reducing bond buying and the BoJ holding steady – fornow. Monetary policy may well be the key issue in 2018 and turn negative for corporate credit. Inflation is projected to remainstable and low. Spreads have tightened. That being said, the path of least resistance is for spreads to grind modestly tighter.Currently strong technicals should limit any spread widening.


Barings LLC

January 2018






Barings U.S. High Yield Bond Component Fund

Performance

Full year 2017 produced positive returns across the U.S. high yield bond market. Corporate fundamentals were stable toimproving and defaults remained below historical averages. The high yield market experienced large new issuance volumesbut since a large percentage of the new deals were refinancing related, net new issuance was much more modest. During mostof the year, demand outstripped supply and spreads tightened from the beginning of the year.


The Fund outperformed its benchmark in 2017. Since its inception in February 2016, the Fund has outperformed its benchmark.


Market & Outlook

Overall, U.S. high yield bonds performed well, showing little signs of stress, with most companies generating top and bottomline growth as well as reasonable balance sheet leverage. Looking into 2018, the fundamental picture should remain sound ascorporate balance sheets continue to improve and default rates continue to stay below historical averages.


Barings LLC

January 2018




Barings U.S. Short Duration High Yield Bond Component Fund

Performance

Full year 2017 produced positive returns for the U.S. short duration high yield bond market. Corporate fundamentals were stableto improving and defaults remained below historical averages. The high yield market experienced large new issuance volumesbut since a large percentage of the new deals were refinancing related, net new issuance was much more modest. During mostof the year, demand outstripped supply and spreads tightened as investors purchased shorter duration bonds.

The U.S. short duration high yield bond market finished 2017 with strong total return performance driven by continuedimprovement in corporate fundamentals, stability in central bank policy, and a firm backdrop for commodity prices. Short-termU.S. Treasury yields remained at historic lows despite three interest rate increases by the U.S. Federal Reserve during the year.In general, the market was in risk-on mode as investors searched for yield in corporate bonds which typically offer higher yieldswith comparable maturities to U.S. Treasury securities. Triple-Cs were the main driver of performance for the year while double-Bs and single-Bs also posted positive performance. Performance was positive across industries with the Transportation sectorleading with double-digit returns during the year followed by the Services sector and the Insurance sector which also postedstrong returns. The option adjusted spread and yield-to-worst for the U.S. short duration high yield market tightened by 87 bpsto 425 bps and 31 bps to 6.18% over the course of the year, respectively. New issue activity picked up with gross new issuancetotaling $328 billion and surpassing levels over the past two years, however, over 63% of this was refinancing related leavingnet new issuance at the lowest levels since 2011. U.S. high yield mutual funds ended the year with $20 billion in outflowscapping off a year of weaker retail demand for the asset class, however, retail outflows were more than offset by institutionalinflows, adding to the market’s technical strength. The overall fundamental and technical picture remained firm with defaultrates continuing to decline from 3.57% at the beginning of the year to 1.27%.


Market & Outlook

Overall, U.S. short duration high yield bonds performed well, showing little signs of stress, with most companies generating topand bottom line growth as well as reasonable balance sheet leverage. Looking into 2018, the fundamental picture shouldremain sound as corporate balance sheets continue to improve and default rates continue to stay below historical averages.


Barings LLC

January 2018



Statement of Comprehensive Incomefor the financial year ended 31 December 2017

Note

Interest income from financial assets designated at fair value through profit or lossIncome from investments

- Realised (loss)/gain on investments- Unrealised gain/(loss) on investments- Realised (loss)/gain on derivatives- Unrealised gain/(loss) on derivatives

Other income- Net gain/(loss) on foreign exchange- Miscellaneous income

Net operating income

Operating expenses 9

Finance costs

Distributions 21Bank interest

Increase in net assets

attributable to holders of

redeemable shares before tax

Taxation

Non-recoverable withholding tax

Change in net assets attributable

to holders of redeemable shares

There are no recognised gains or losses in the financial year other than those dealt with in the Statement of Comprehensive Income and accordingly no statement of total recognisedgains and losses has been presented.

All results are from continuing operations.

The accompanying notes are an integral part of the financial statements.

Barings

Global

Senior Secured

Bond Fund

31 Dec 2017

US$

13,039,522

(2,128,598)14,859,308(1,134,057)1,361,623

193,435-

––––––––––––––26,191,233

––––––––––––––

(1,066,341)

(7,126,493)(2,917)

––––––––––––––

17,995,482

(1,176)––––––––––––––

17,994,306

––––––––––––––––––––––––––––

Barings

European

High Yield

Bond Fund

31 Dec 2017

€

20,533,792

1,428,842(9,331,947)2,754,2412,357,709

(204,996)-

––––––––––––––17,537,641

––––––––––––––

(1,474,746)

(833,859)(39,501)

––––––––––––––

15,189,535

(13,773)––––––––––––––

15,175,762

––––––––––––––––––––––––––––

Barings

Global

High Yield

Bond Fund

31 Dec 2017

US$

42,194,552

16,633,015(601,524)

10,570,46911,178,089

544,927-

––––––––––––––80,519,528

––––––––––––––

(2,975,638)

(36,891)(4,168)

––––––––––––––

77,502,831

(26,342)––––––––––––––

77,476,489

––––––––––––––––––––––––––––

Barings

Emerging

Markets

Corporate

Bond Fund

31 Dec 2017

US$

5,870,420

2,250,8213,042,331(159,737)(200,869)

(3,659)6,736

––––––––––––––10,806,043

––––––––––––––

(924,700)

(37,816)(2,960)

––––––––––––––

9,840,567

(6,951)––––––––––––––

9,833,616

––––––––––––––––––––––––––––

Barings

Emerging

Markets

Local

Debt Fund

31 Dec 2017

US$

29,812,165

(6,819,475)39,594,15616,070,546(4,454,935)

644,001(64,167)

––––––––––––––74,782,291

––––––––––––––

(3,623,473)

(56,193)(49,207)

––––––––––––––

71,053,418

(1,328,062)––––––––––––––

69,725,356

––––––––––––––––––––––––––––



Statement of Comprehensive Incomefor the financial year ended 31 December 2017 (continued)

Note


- Realised gain/(loss) on investments- Unrealised gain on investments- Realised (loss)/gain on derivatives- Unrealised (loss)/gain on derivatives

Other income- Net gain/(loss) on foreign exchange- Miscellaneous income



Finance costs





Taxation







Barings

Global

Investment

Grade

Corporate

Bond Fund

31 Dec 2017

US$

1,576,749

166,4531,683,864(866,006)(219,079)

30,9121,308

––––––––––––––2,374,201

––––––––––––––

(117,028)

(1,525,578)(4,266)

––––––––––––––

727,329

(155)––––––––––––––

727,174

––––––––––––––––––––––––––––

Barings

Emerging

Markets

Debt Short

Duration

Fund

31 Dec 2017

US$

1,836,706

(97,920)273,519154,75131,600

(4,928)-

––––––––––––––2,193,728

––––––––––––––

(229,206)

(1,028,684)(180)

––––––––––––––

935,658

-––––––––––––––

935,658

––––––––––––––––––––––––––––

Barings

Active

Short Duration

Fund

31 Dec 2017

US$

1,544,539

(160,550)46,244

457,838311,972

-9,450

––––––––––––––2,209,493

––––––––––––––

(140,461)

-(1,663)

––––––––––––––

2,067,369

(224)––––––––––––––

2,067,145

––––––––––––––––––––––––––––

Barings

Emerging

Markets

Debt Blended

Total Return

Fund

31 Dec 2017

US$

5,716,099

663,4816,468,2153,345,283(730,303)

2,628147,562

––––––––––––––15,612,965

––––––––––––––

(860,415)

(3,707,748)(11,130)

––––––––––––––

11,033,672

(98,190)––––––––––––––

10,935,482

––––––––––––––––––––––––––––

Barings

Emerging

Markets

Sovereign Debt

Fund

31 Dec 2017

US$

1,342,596

515,7431,363,118

171,954(69,157)

(3,969)57,185

––––––––––––––3,377,470

––––––––––––––

(178,742)

(1,185,021)-

––––––––––––––

2,013,707

(3,226)––––––––––––––

2,010,481

––––––––––––––––––––––––––––




Note


- Realised gain/(loss) on investments- Unrealised (loss)/gain on investments- Realised gain/(loss) on derivatives- Unrealised gain on derivatives

Other income- Net gain on foreign exchange- Miscellaneous income



Finance costs





Taxation




*This Sub-Fund launched on 18 January 2017, therefore there are no comparative figures.**This Sub-Fund launched on 15 February 2017, therefore there are no comparative figures.




Barings

U.S. High Yield

Bond Fund

31 Dec 2017

US$

17,659,158

12,260,807(8,302,585)

91,399178,632

136-

––––––––––––––21,887,547

––––––––––––––

(980,288)

(63,045)(2,802)

––––––––––––––

20,841,412

(15,608)––––––––––––––

20,825,804

––––––––––––––––––––––––––––

Barings

U.S. Investment

Grade

Corporate

Bond Fund

31 Dec 2017

US$

9,636,461

(1,353,776)6,399,336(230,216)

17,299

--

––––––––––––––14,469,104

––––––––––––––

(564,274)

-(83)

––––––––––––––

13,904,747

(1,203)––––––––––––––

13,903,544

––––––––––––––––––––––––––––

Barings

U.S. High Yield

Bond Component

Fund*

31 Dec 2017

US$

8,216,243

1,024,981(186,093)

--

--

––––––––––––––9,055,131

––––––––––––––

(167,843)

(289,350)(241)

––––––––––––––

8,597,697

(9,185)––––––––––––––

8,588,512

––––––––––––––––––––––––––––

Barings

U.S. Short

Duration

High Yield Bond

Component

Fund**

31 Dec 2017

US$

3,837,123

(237,968)(440,209)

--

--

––––––––––––––3,158,946

––––––––––––––

(124,030)

(110,584)-

––––––––––––––

2,924,332

(3,555)––––––––––––––

2,920,777

––––––––––––––––––––––––––––

Company

Total

31 Dec 2017

US$

165,485,693

24,331,61853,654,50031,584,54010,069,103

1,171,836158,074

––––––––––––––286,455,364

––––––––––––––

(13,618,915)

(16,109,671)(124,253)

––––––––––––––

256,602,525

(1,509,441)––––––––––––––

255,093,084

––––––––––––––––––––––––––––



Statement of Comprehensive Incomefor the financial year ended 31 December 2016

Note


- Realised (loss)/gain on investments- Unrealised gain/(loss) on investments- Realised (loss)/gain on derivatives- Unrealised (loss)/gain on derivatives

Other income- Net (loss)/gain on foreign exchange- Miscellaneous income



Finance costs





Taxation







Barings

Global

Senior Secured

Bond Fund

31 Dec 2016

US$

14,712,994

(9,187,074)6,160,744

(59,364)(849,666)

(394,019)-

––––––––––––––10,383,615

––––––––––––––

(1,173,303)

(8,427,827)(3,293)

––––––––––––––

779,192

(10,550)––––––––––––––

768,642

––––––––––––––––––––––––––––

Barings

European

High Yield

Bond Fund

31 Dec 2016

€

10,309,510

164,7245,860,1454,363,196(355,820)

(95,941)-

––––––––––––––20,245,814

––––––––––––––

(719,281)

(370,399)(34,435)

––––––––––––––

19,121,699

-––––––––––––––

19,121,699

––––––––––––––––––––––––––––

Barings

Global

High Yield

Bond Fund

31 Dec 2016

US$

33,039,454

9,032,51321,125,8192,709,850

(5,553,307)

(523,635)9

––––––––––––––59,830,703

––––––––––––––

(2,048,413)

(19,511)(8,028)

––––––––––––––

57,754,751

(46,949)––––––––––––––

57,707,802

––––––––––––––––––––––––––––

Barings

Emerging

Markets

Corporate

Bond Fund

31 Dec 2016

US$

5,808,918

(1,983,230)5,761,433

274,479198,272

(78,234)506

––––––––––––––9,982,144

––––––––––––––

(942,664)

(75,143)(7,880)

––––––––––––––

8,956,457

(1,968)––––––––––––––

8,954,489

––––––––––––––––––––––––––––

Barings

Emerging

Markets

Local

Debt Fund

31 Dec 2016

US$

10,117,352

(1,774,223)(15,902)951,294

2,518,380

130,04410,729

––––––––––––––11,937,674

––––––––––––––

(1,466,753)

-(10,622)

––––––––––––––

10,460,299

(348,137)––––––––––––––

10,112,162

––––––––––––––––––––––––––––




Note


- Realised (loss)/gain on investments- Unrealised gain on investments- Realised gain/(loss) on derivatives- Unrealised gain/(loss) on derivatives

Other income- Net (loss)/gain on foreign exchange- Miscellaneous income



Finance costs





Taxation







Barings

Global

Investment

Grade

Corporate

Bond Fund

31 Dec 2016

US$

1,937,584

(3,180,026)4,405,071

644,15424,368

(91,849)-

––––––––––––––3,739,302

––––––––––––––

(157,269)

(1,230,990)(3,920)

––––––––––––––

2,347,123

(3,165)––––––––––––––

2,343,958

––––––––––––––––––––––––––––

Barings

Emerging

Markets

Debt Short

Duration

Fund

31 Dec 2016

US$

1,339,890

(151,519)397,33361,28332,347

(12,493)-

––––––––––––––1,666,841

––––––––––––––

(160,998)

(775,958)(209)

––––––––––––––

729,676

(326)––––––––––––––

729,350

––––––––––––––––––––––––––––

Barings

Active

Short Duration

Fund

31 Dec 2016

US$

1,891,212

(668,916)618,91861,250

(220,262)

-10,722

––––––––––––––1,692,924

––––––––––––––

(178,290)

(416,592)(237)

––––––––––––––

1,097,805

(818)––––––––––––––

1,096,987

––––––––––––––––––––––––––––

Barings

Emerging

Markets

Debt Blended

Total Return

Fund

31 Dec 2016

US$

4,604,938

(270,652)2,291,823

(4,115,150)531,392

392,492-

––––––––––––––3,434,843

––––––––––––––

(804,979)

(2,506,010)(40,003)

––––––––––––––

83,851

(40,917)––––––––––––––

42,934

––––––––––––––––––––––––––––




Note


- Realised gain/(loss) on investments- Unrealised gain/(loss) on investments- Realised gain/(loss) on derivatives- Unrealised (loss) on derivatives

Other income- Net (loss) on foreign exchange- Miscellaneous income

Net operating income/(expense)


Finance costs


Increase/(decrease) in net assets



Taxation




*This Sub-Fund launched on 17 February 2016, as a result, the above comparative amounts are not entirely comparable.**This Sub-Fund launched on 1 July 2016, as a result, the above comparative amounts are not entirely comparable.




Barings

Emerging

Markets

Sovereign Debt

Fund

31 Dec 2016

US$

1,294,803

842,504128,350163,236(16,963)

(1,023)40,116

––––––––––––––2,451,023

––––––––––––––

(169,833)

(879,340)(8)

––––––––––––––

1,401,842

(133)––––––––––––––

1,401,709

––––––––––––––––––––––––––––

Barings

U.S. High Yield

Bond Fund*

31 Dec 2016

US$

12,687,312

4,400,17712,977,944

(734,343)(178,640)

--

––––––––––––––29,152,450

––––––––––––––

(709,758)

-(6,419)

––––––––––––––

28,436,273

(21,947)––––––––––––––

28,414,326

––––––––––––––––––––––––––––

Barings

U.S. Investment

Grade

Corporate

Bond Fund**

31 Dec 2016

US$

3,845,060

(1,854,485)(8,314,727)

573,834(1,974)

--

––––––––––––––(5,752,292)

––––––––––––––

(274,547)

-(892)

––––––––––––––

(6,027,731)

(1,220)––––––––––––––

(6,028,951)

––––––––––––––––––––––––––––

Company

Total

31 Dec 2016

US$

102,637,322

(4,613,461)51,992,8255,337,379

(3,908,050)

(684,414)62,081

––––––––––––––150,823,682

––––––––––––––

(8,879,228)

(14,739,433)(119,447)

––––––––––––––

127,085,574

(476,128)––––––––––––––

126,609,446

––––––––––––––––––––––––––––



Statement of Financial Positionas at 31 December 2017

NoteAssetsFinancial assets designated at fair value through profit or loss:

- Investments at fair valueFinancial assets held for trading: 6

- Interest rate swaps- Credit default swaps- Swaptions- Futures contracts- Forward foreign currency

exchange contracts

Receivable for fund shares soldReceivable for management fee reimbursement 10Receivable for investments soldInterest receivableOther debtorsAmounts due from broker 5Cash and cash equivalents 4

Total assets

LiabilitiesFinancial liabilities held for trading: 6

- Interest rate swaps- Credit default swaps- Currency rate swaps- Futures contracts- Forward foreign currency

exchange contracts

Amounts due to broker 5Payable for fund shares purchasedPayable for investments purchasedOther payables and accrued expenses 7Capital Gains Tax Payable

Total liabilities (excluding net assets attributable to holders of redeemable shares)

Net assets attributable to holders of redeemable participating shares at mid market prices


BaringsGlobal

Senior SecuredBond Fund

31 Dec 2017US$

230,373,115

----

1,425,017

-

--

3,461,312--

5,809,335––––––––––––––

241,068,779––––––––––––––

----

(925,391)

-(66,136)

-(108,991)

-––––––––––––––

(1,100,518)––––––––––––––

239,968,261––––––––––––––––––––––––––––

BaringsEuropeanHigh Yield

Bond Fund31 Dec 2017

€

347,409,911

----

3,013,630

19,422

--

5,126,413--

4,533,281––––––––––––––

360,102,657––––––––––––––

----

(703,059)

(88,213)(1,033,063)

(139,950)-

––––––––––––––

(1,964,285)––––––––––––––

358,138,372––––––––––––––––––––––––––––

BaringsGlobal

High YieldBond Fund

31 Dec 2017US$

694,369,600

----

7,050,611

10,835,294

--

11,634,081--

19,448,486––––––––––––––

743,338,072––––––––––––––

----

(1,286,715)

--

(743,712)(306,499)

-––––––––––––––

(2,336,926)––––––––––––––

741,001,146––––––––––––––––––––––––––––

BaringsEmerging

MarketsCorporate


US$

96,358,984

-8,308

-3,226

36,405

-

--

1,300,66212,56768,426

5,277,257––––––––––––––

103,065,835––––––––––––––

---

(25,557)

(67,745)

---

(76,466)-

––––––––––––––

(169,768)––––––––––––––

102,896,067––––––––––––––––––––––––––––

BaringsEmerging

MarketsLocal

Debt Fund31 Dec 2017

US$

847,703,276

695,114---

16,497,549

603,160

--

15,272,13310,249

8,801,82517,067,942

––––––––––––––906,651,248

––––––––––––––

(1,242,859)---

(19,181,520)

(2,820,000)(51,008)

-(1,052,945)

(328,032)––––––––––––––

(24,676,364)––––––––––––––

881,974,884––––––––––––––––––––––––––––



Statement of Financial Positionas at 31 December 2017 (continued)



- Interest rate swaps- Credit default swaps- Swaptions- Futures contracts- Forward foreign currency

exchange contracts


Total assets


- Interest rate swaps- Credit default swaps- Currency rate swaps- Futures contracts- Forward foreign currency

exchange contracts

Amounts due to broker 5Payable for fund shares purchasedPayable for investments purchasedOther payables and accrued expenses 7Capital Gains Tax Payable




BaringsGlobal

InvestmentGrade

CorporateBond Fund

31 Dec 2017US$

25,933,088

---

4,703

-

-

10,640-

314,8468,735

40,227398,005

––––––––––––––26,710,244

––––––––––––––

---

(13,971)

(95,054)

--

(296,803)(43,315)

-––––––––––––––

(449,143)––––––––––––––

26,261,101––––––––––––––––––––––––––––

BaringsEmerging

MarketsDebt Short

DurationFund

31 Dec 2017US$

35,211,023

----

86,216

-

5,017-

474,99426,259

-1,093,629

––––––––––––––36,897,138

––––––––––––––

----

(21,149)

---

(94,959)-

––––––––––––––

(116,108)––––––––––––––

36,781,030––––––––––––––––––––––––––––

BaringsActive

Short DurationFund

31 Dec 2017US$

60,600,832

--

218,00065,477

120,976

-

10,540307,867303,758

9,37916,879

1,503,312––––––––––––––

63,157,020––––––––––––––

-(48,049)

-(24,410)

-

(10,000)--

(49,306)-

––––––––––––––

(131,765)––––––––––––––

63,025,255––––––––––––––––––––––––––––

BaringsEmerging

MarketsDebt Blended

Total ReturnFund

31 Dec 2017US$

105,672,264

224,50871,590

--

1,797,219

220,759

--

1,671,24013,437

949,9432,462,702

––––––––––––––113,083,662

––––––––––––––

(424,736)(13,974)

(139,016)(19,883)

(2,200,307)

(370,000)(2,678)

-(124,250)(91,104)

––––––––––––––

(3,385,948)––––––––––––––

109,697,714––––––––––––––––––––––––––––

BaringsEmerging

MarketsSovereign Debt

Fund31 Dec 2017

US$

23,039,009

-27,420

-4,679

20,211

-

7,084-

335,15931,1115,958

310,377––––––––––––––

23,781,008––––––––––––––

-(10,350)

(108,005)-

(92,463)

---

(75,320)-

––––––––––––––

(286,138)––––––––––––––

23,494,870––––––––––––––––––––––––––––



Statement of Financial Positionas at 31 December 2016



- Interest rate swaps- Credit default swaps- Futures contracts- Forward foreign currency

exchange contracts


Total assets


- Interest rate swaps- Futures contracts- Forward foreign currency

exchange contracts

Amounts due to broker 5Payable for fund shares purchasedPayable for investments purchasedOther payables and accrued expenses 7




BaringsGlobal


31 Dec 2016US$

199,616,876

---

2,525,970

2,551,714

--

3,881,097--

5,383,290––––––––––––––

213,958,947––––––––––––––

--

(3,387,967)

---

(94,521)––––––––––––––

(3,482,488)––––––––––––––

210,476,459––––––––––––––––––––––––––––



€

309,862,160

---

1,063,205

-

--

5,313,841--

7,750,215––––––––––––––

323,989,421––––––––––––––

--

(1,110,343)

---

(102,932)––––––––––––––

(1,213,275)––––––––––––––

322,776,146––––––––––––––––––––––––––––

BaringsGlobal

High YieldBond Fund

31 Dec 2016US$

540,818,690

---

2,646,847

37,539

--

9,563,9975,930

-6,654,886

––––––––––––––559,727,889

––––––––––––––

--

(8,061,041)

---

(200,194)––––––––––––––

(8,261,235)––––––––––––––

551,466,654––––––––––––––––––––––––––––

BaringsEmerging

MarketsCorporate


US$

103,861,032

-45,750

-

152,202

-

--

1,329,96321,300

141,5315,069,426

––––––––––––––110,621,204

––––––––––––––

-(29,695)

(12,752)

-(31,186)

-(83,472)

––––––––––––––

(157,105)––––––––––––––

110,464,099––––––––––––––––––––––––––––

BaringsEmerging

MarketsLocal


US$

252,013,653

584,685--

5,712,636

-

--

3,987,10721,888

1,580,0004,027,640

––––––––––––––267,927,609

––––––––––––––

(195,653)-

(4,878,448)

(1,840,275)--

(281,329)––––––––––––––

(7,195,705)––––––––––––––

260,731,904––––––––––––––––––––––––––––






- Interest rate swaps- Futures contracts- Forward foreign currency

exchange contracts


Total assets


- Credit default swaps- Interest rate swaps- Futures contracts- Forward foreign currency

exchange contracts


Total liabilities (excluding net assetsattributable to holders of redeemableshares)



BaringsGlobal

InvestmentGrade

CorporateBond Fund

31 Dec 2016US$

41,286,527

-46,431

88,493

-

7,954-

447,37513,73279,443

1,071,902––––––––––––––

43,041,857––––––––––––––

--

(20,165)

-

--

(974,970)(42,495)

––––––––––––––(1,037,630)

––––––––––––––

42,004,227––––––––––––––––––––––––––––

BaringsEmerging

MarketsDebt Short

DurationFund

31 Dec 2016US$

24,730,755

--

36,447

-

5,815-

397,58840,251

-1,541,826

––––––––––––––26,752,682

––––––––––––––

---

(2,980)

---

(90,650)

––––––––––––––(93,630)

––––––––––––––

26,659,052––––––––––––––––––––––––––––

BaringsActive

Short DurationFund

31 Dec 2016US$

47,798,750

-16,517

143,845

-

8,826314,333282,06214,37713,745

795,478––––––––––––––

49,387,933––––––––––––––

(30,505)-

(6,112)

(357,106)

--

(389,811)(45,092)

––––––––––––––(828,626)

––––––––––––––

48,559,307––––––––––––––––––––––––––––

BaringsEmerging

MarketsDebt Blended

Total ReturnFund

31 Dec 2016US$

78,973,955

382,87823,000

1,984,772

-

--

1,265,46120,43459,554

3,609,305––––––––––––––

86,319,359––––––––––––––

-(84,808)

-

(2,280,137)

(260,000)-

(1,599,747)(114,959)

––––––––––––––(4,339,651)

––––––––––––––

81,979,708––––––––––––––––––––––––––––






- Interest rate swaps- Credit default swaps- Futures contracts- Forward foreign currency

exchange contracts


Total assets


- Credit default swaps- Interest rate swaps- Futures contracts- Forward foreign currency

exchange contracts


Total liabilities (excluding net assetsattributable to holders of redeemableshares)




BaringsEmerging


Fund31 Dec 2016

US$

21,113,826

---

44,610

-

4,856-

364,25341,105

-118,210

––––––––––––––21,686,860

––––––––––––––

(87,437)--

(46,524)

---

(68,510)

––––––––––––––(202,471)

––––––––––––––

21,484,389––––––––––––––––––––––––––––

BaringsU.S. High Yield

Bond Fund*31 Dec 2016

US$

279,427,067

---

1,853

-

--

5,060,36324,776

-8,414,467

––––––––––––––292,928,526

––––––––––––––

---

(180,494)

---

(90,517)

––––––––––––––(271,011)

––––––––––––––

292,657,515––––––––––––––––––––––––––––

BaringsU.S. Investment

GradeCorporate

Bond Fund**31 Dec 2016

US$

208,534,675

--

36,963

-

-

--

2,416,94944,96174,273

3,389,500––––––––––––––

214,497,321––––––––––––––

--

(38,936)

-

--

(2,111,048)(85,190)

––––––––––––––(2,235,174)

––––––––––––––

212,262,147––––––––––––––––––––––––––––

CompanyTotal

31 Dec 2016US$

2,124,352,337

967,56345,750

122,911

14,456,858

2,589,253

27,451314,333

34,589,832248,754

1,948,54648,234,198

––––––––––––––2,227,897,786

––––––––––––––

(117,942)(280,461)(94,908)

(20,376,252)

(2,100,275)(31,186)

(5,075,576)(1,305,281)

––––––––––––––(29,381,881)

––––––––––––––

2,198,515,905––––––––––––––––––––––––––––



Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Sharesfor the financial year ended 31 December 2017

Note

Balance at beginning of the

financial year

Net gain attributable to redeemable participating shareholders from operations

Issue of redeemable shares during the financial year 8Redemption of redeemable shares during the financial year 8

Net movement as a result of share transactions

Foreign currency translation adjustment 3

Balance at end of the financial year


Barings

Global

Senior Secured

Bond Fund

31 Dec 2017

US$

210,476,459

17,994,306

69,488,947

(57,991,451)––––––––––––––

11,497,496

-––––––––––––––

239,968,261

––––––––––––––––––––––––––––

Barings

European

High Yield

Bond Fund

31 Dec 2017

€

322,776,146

15,175,762

67,514,541

(47,328,077)––––––––––––––

20,186,464

-––––––––––––––

358,138,372

––––––––––––––––––––––––––––

Barings

Global

High Yield

Bond Fund

31 Dec 2017

US$

551,466,654

77,476,489

400,270,794

(288,212,791)––––––––––––––

112,058,003

-––––––––––––––

741,001,146

––––––––––––––––––––––––––––

Barings

Emerging

Markets

Corporate

Bond Fund

31 Dec 2017

US$

110,464,099

9,833,616

2,609,700

(20,011,348)––––––––––––––

(17,401,648)

-––––––––––––––

102,896,067

––––––––––––––––––––––––––––

Barings

Emerging

Markets

Local

Debt Fund

31 Dec 2017

US$

260,731,904

69,725,356

667,183,624

(115,666,000)––––––––––––––

551,517,624

-––––––––––––––

881,974,884

––––––––––––––––––––––––––––



Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Sharesfor the financial year ended 31 December 2017 (continued)

Note


financial year







Barings

Global

Investment

Grade

Corporate

Bond Fund

31 Dec 2017

US$

42,004,227

727,174

29,700

(16,500,000)––––––––––––––

(16,470,300)

-––––––––––––––

26,261,101

––––––––––––––––––––––––––––

Barings

Emerging

Markets

Debt Short

Duration

Fund

31 Dec 2017

US$

26,659,052

935,658

14,199,757

(5,013,437)––––––––––––––

9,186,320

-––––––––––––––

36,781,030

––––––––––––––––––––––––––––

Barings

Active

Short Duration

Fund

31 Dec 2017

US$

48,559,307

2,067,145

14,180,565

(1,781,762)––––––––––––––

12,398,803

-––––––––––––––

63,025,255

––––––––––––––––––––––––––––

Barings

Emerging

Markets

Debt Blended

Total Return

Fund

31 Dec 2017

US$

81,979,708

10,935,482

16,984,208

(201,684)––––––––––––––

16,782,524

-––––––––––––––

109,697,714

––––––––––––––––––––––––––––

Barings

Emerging

Markets

Sovereign Debt

Fund

31 Dec 2017

US$

21,484,389

2,010,481

-

-––––––––––––––

-

-––––––––––––––

23,494,870

––––––––––––––––––––––––––––




Note


financial year

Net gain/(loss) attributable to redeemable participating shareholders from operations

Issue of redeemable shares during the financial year/period 8Redemption of redeemable shares during the financial year/period 8






Barings

U.S. High Yield

Bond Fund

31 Dec 2017

US$

292,657,515

20,825,804

11,064,718

(134,436,726)––––––––––––––

(123,372,008)

-––––––––––––––

190,111,311

––––––––––––––––––––––––––––

Barings

U.S. Investment

Grade

Corporate

Bond Fund

31 Dec 2017

US$

212,262,147

13,903,544

25,546,524

(552,735)––––––––––––––

24,993,789

-––––––––––––––

251,159,480

––––––––––––––––––––––––––––

Barings

U.S. High Yield

Bond Component

Fund*

31 Dec 2017

US$

-

8,588,512

160,047,783

(4,517,457)––––––––––––––

155,530,326

-––––––––––––––

164,118,838

––––––––––––––––––––––––––––

Barings

U.S. Short

Duration

High Yield Bond

Component

Fund**

31 Dec 2017

US$

-

2,920,777

85,354,622

(1,413,047)––––––––––––––

83,941,575

-––––––––––––––

86,862,352

––––––––––––––––––––––––––––

Company

Total

31 Dec 2017

US$

2,198,515,905

255,093,084

1,543,252,949

(699,779,568)––––––––––––––

843,473,381

49,982,011––––––––––––––

3,347,064,381

––––––––––––––––––––––––––––



Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Sharesfor the financial year ended 31 December 2016

Note


financial period







Barings

Global

Senior Secured

Bond Fund

31 Dec 2016

US$

227,277,452

768,642

57,690,217

(75,259,852)––––––––––––––

(17,569,635)

-––––––––––––––

210,476,459

––––––––––––––––––––––––––––

Barings

European

High Yield

Bond Fund

31 Dec 2016

€

52,187,062

19,121,699

301,321,262

(49,853,877)––––––––––––––

251,467,385

-––––––––––––––

322,776,146

––––––––––––––––––––––––––––

Barings

Global

High Yield

Bond Fund

31 Dec 2016

US$

186,359,142

57,707,802

514,775,960

(207,376,250)––––––––––––––

307,399,710

-––––––––––––––

551,466,654

––––––––––––––––––––––––––––

Barings

Emerging

Markets

Corporate

Bond Fund

31 Dec 2016

US$

103,144,085

8,954,489

430,403

(2,064,878)––––––––––––––

(1,634,475)

-––––––––––––––

110,464,099

––––––––––––––––––––––––––––

Barings

Emerging

Markets

Local

Debt Fund

31 Dec 2016

US$

124,709,108

10,112,162

128,717,432

(2,806,798)––––––––––––––

125,910,634

-––––––––––––––

260,731,904

––––––––––––––––––––––––––––




Note


financial year







Barings

Global

Investment

Grade

Corporate

Bond Fund

31 Dec 2016

US$

74,660,269

2,343,958

-

(35,000,000)––––––––––––––

(35,000,000)

-––––––––––––––

42,004,227

––––––––––––––––––––––––––––

Barings

Emerging

Markets

Debt Short

Duration

Fund

31 Dec 2016

US$

20,086,801

729,350

5,971,557

(128,656)––––––––––––––

5,842,901

-––––––––––––––

26,659,052

––––––––––––––––––––––––––––

Barings

Active

Short Duration

Fund

31 Dec 2016

US$

58,932,584

1,096,987

18,654,824

(30,125,088)––––––––––––––

(11,470,264)

-––––––––––––––

48,559,307

––––––––––––––––––––––––––––

Barings

Emerging

Markets

Debt Blended

Total Return

Fund

31 Dec 2016

US$

62,923,947

42,934

37,467,220

(18,454,393)––––––––––––––

19,012,827

-––––––––––––––

81,979,708

––––––––––––––––––––––––––––




Note


financial year

Net gain/(loss) attributable to redeemable participating shareholders from operations







Barings

Emerging

Markets

Sovereign Debt

Fund

31 Dec 2016

US$

20,082,680

1,401,709

-

-––––––––––––––

-

-––––––––––––––

21,484,389

––––––––––––––––––––––––––––

Barings

U.S. High Yield

Bond Fund*

31 Dec 2016

US$

-

28,414,326

265,158,789

(915,600)––––––––––––––

264,243,189

-––––––––––––––

292,657,515

––––––––––––––––––––––––––––

Barings

U.S. Investment

Grade

Corporate

Bond Fund**

31 Dec 2016

US$

-

(6,028,951)

229,178,028

(10,886,930)––––––––––––––

218,291,098

-––––––––––––––

212,262,147

––––––––––––––––––––––––––––

Company

Total

31 Dec 2016

US$

934,890,345

126,609,446

1,590,004,764

(437,941,583)––––––––––––––

1,152,063,181

(15,047,067)––––––––––––––

2,198,515,905

––––––––––––––––––––––––––––



Statement of Cash Flowsfor the financial year ended 31 December 2017

Cash flows from operating activitiesChange in net assets attributable to holders of redeemable shares

Adjustments for:

Net realised loss/(gain) on investmentsNet realised loss/(gain) on swaptionsNet unrealised (gain)/loss on investments at fair value through profit or lossNet unrealised (gain)/loss on derivativesNet unrealised loss/(gain) on foreign exchangeNet payments from purchase/sale of investmentsDistributionsMovement in margin cash

Operating cash flows before movements in working capital

Movements in other receivablesMovements in other payables and accrued expenses

Net cash inflows/(outflows) from operating activities

Financing activitiesProceeds from issue of redeemable sharesPayments on redemptions of redeemable sharesDistributions to shareholders

Net cash inflow/(outflow)s from financing activities

Net increase/(decrease) in cash and cash equivalents

Cash and cash equivalents at beginning of the financial year

Unrealised foreign exchange gain/(loss) on cash and cash equivalentsForeign currency translation adjustment

Cash and cash equivalents at end of the financial year

Supplemental information:Interest receivedInterest paidTax paid


BaringsGlobal


31 Dec 2017US$

17,994,306

2,128,598-

(14,859,308)(1,361,623)

(1,553,564)

(18,025,529)7,126,493

-––––––––––––––

(8,550,627)

419,786

14,470––––––––––––––

(8,116,371)

72,040,660

(57,925,315)(7,126,493)

––––––––––––––

6,988,852––––––––––––––

(1,127,519)

5,383,290

1,553,564-

––––––––––––––

5,809,335––––––––––––––––––––––––––––

13,459,307(2,917)

-



€

15,175,762

(1,428,842)-

9,331,947(2,357,709)

(2,314,658)

(44,417,793)833,859

-––––––––––––––

(25,177,434)

187,428

37,018––––––––––––––

(24,952,988)

67,495,119

(47,239,864)(833,859)

––––––––––––––

19,421,396––––––––––––––

(5,531,592)

7,750,215

2,314,658 -

––––––––––––––

4,533,281––––––––––––––––––––––––––––

20,721,220(39,501)

-

BaringsGlobal

High YieldBond Fund

31 Dec 2017US$

77,476,489

(16,633,015)-

601,524(11,178,089)

(11,302,610)

(136,775,707)36,891

-––––––––––––––

(97,774,517)

(2,064,154)

106,304––––––––––––––

(99,732,367)

389,473,039

(288,212,791)(36,891)

––––––––––––––

101,223,357––––––––––––––

1,490,990

6,654,886

11,302,610 -

––––––––––––––

19,448,486––––––––––––––––––––––––––––

40,124,468(4,168)

(19,809)

BaringsEmerging

MarketsCorporate


US$

9,833,616

(2,250,821)-

(3,042,331)200,869

186,237

12,795,20037,81673,105

––––––––––––––

17,833,691

38,033

(7,006)––––––––––––––

17,864,718

2,609,700

(20,042,534)(37,816)

––––––––––––––

(17,470,650)––––––––––––––

394,068

5,069,426

(186,237)-

––––––––––––––

5,277,257––––––––––––––––––––––––––––

5,899,721(2,960)

(38)

BaringsEmerging

MarketsLocal


US$

69,725,356

6,819,475-

(39,594,156)4,454,935

3,987,207

(562,914,942)56,193

(6,242,100)––––––––––––––

(523,708,032)

(11,273,386)

1,099,648––––––––––––––

(533,881,770)

666,580,464

(115,614,992)(56,193)

––––––––––––––

550,909,279––––––––––––––

17,027,509

4,027,640

(3,987,207)-

––––––––––––––

17,067,942––––––––––––––––––––––––––––

18,527,139(49,207)

(895,766)



Statement of Cash Flowsfor the financial year ended 31 December 2017 (continued)


Adjustments for:

Net realised (gain)/loss on investmentsNet realised (gain)/loss on swaptionsNet unrealised (gain)/loss on investments at fair value through profit or lossNet unrealised loss/(gain) on derivativesNet unrealised loss/(gain) on foreign exchangeNet payments from purchase/sale of investmentsDistributionsMovement in margin cash



Net cash inflows/(outflows) fromoperating activities


Net cash inflow/(outflow)s fromfinancing activities

Net increase/(decrease) in cashand cash equivalents


Unrealised foreign exchange (gain)/loss on cash and cash equivalentsForeign currency translation adjustment




BaringsGlobal

InvestmentGrade

CorporateBond Fund

31 Dec 2017US$

727,174

(166,453)-

(1,683,864)219,079

203,588

16,525,5901,525,578

39,216––––––––––––––

17,389,908

134,840

821––––––––––––––

17,525,569

29,700

(16,500,000)(1,525,578)

––––––––––––––

(17,995,878)––––––––––––––

(470,309)

1,071,902

(203,588)-

––––––––––––––

398,005––––––––––––––––––––––––––––

1,709,278(4,266)

(82)

BaringsEmerging

MarketsDebt Short

DurationFund

31 Dec 2017US$

935,658

97,920-

(273,519)(31,600)

(35,114)

(10,304,669)1,028,684

-––––––––––––––

(8,582,640)

(62,616)

4,309––––––––––––––

(8,640,947)

14,199,757

(5,013,437)(1,028,684)

––––––––––––––

8,157,636––––––––––––––

(483,311)

1,541,826

35,114 -

––––––––––––––

1,093,629––––––––––––––––––––––––––––

1,759,300(180)

-

BaringsActive

Short DurationFund

31 Dec 2017US$

2,067,145

160,550(35,383)

(46,244)(311,972)

(311,972)

(13,517,733)-

6,866––––––––––––––

(11,988,743)

(18,412)

4,214––––––––––––––

(12,002,941)

14,180,565

(1,781,762)-

––––––––––––––

12,398,803––––––––––––––

395,862

795,478

311,972-

––––––––––––––

1,503,312––––––––––––––––––––––––––––

1,522,843(1,663)

(159)

BaringsEmerging

MarketsDebt Blended

Total ReturnFund

31 Dec 2017US$

10,935,482

(663,481)-

(6,468,215)730,303

691,815

(21,166,359)3,707,748(780,389)

––––––––––––––

(13,013,096)

(398,782)

100,395––––––––––––––

(13,311,483)

16,763,449

(199,006)(3,707,748)

––––––––––––––

12,856,695––––––––––––––

(454,788)

3,609,305

(691,815)-

––––––––––––––

2,462,702––––––––––––––––––––––––––––

5,310,320(11,130)(91,190)

BaringsEmerging


Fund31 Dec 2017

US$

2,010,481

(515,743)-

(1,363,118)69,157

68,357

(46,322)1,185,021

(5,958)––––––––––––––

1,401,875

36,860

6,810––––––––––––––

1,445,545

-

-(1,185,021)

––––––––––––––

(1,185,021)––––––––––––––

260,524

118,210

(68,357)-

––––––––––––––

310,377––––––––––––––––––––––––––––

1,371,690--





Adjustments for:

Net realised (gain)/loss on investmentsNet realised (gain)/loss on swaptionsNet unrealised loss/(gain) on investments at fair value through profit or lossNet unrealised (gain)/loss on derivativesNet unrealised loss/(gain) on foreign exchangeNet payments from purchase/sale of investmentsDistributionsMovement in margin cash















US$

20,825,804

(12,260,807)-

8,302,585(178,632)

(178,768)

99,811,22863,045

-––––––––––––––

116,384,455

2,124,479

(21,143)––––––––––––––

118,487,791

11,051,352

(134,436,726)(63,045)

––––––––––––––

(123,448,419)––––––––––––––

(4,960,628)

8,414,467

178,768 -

––––––––––––––

3,632,607––––––––––––––––––––––––––––

19,777,640(2,802)

(15,608)


GradeCorporate


US$

13,903,544

1,353,776-

(6,399,336)(17,299)

(17,299)

(34,548,487)-

48,769––––––––––––––

(25,676,332)

(250,112)

1,600––––––––––––––

(25,924,844)

25,546,524

(552,735)-

––––––––––––––

24,993,789––––––––––––––

(931,055)

3,389,500

17,299 -

––––––––––––––

2,475,744––––––––––––––––––––––––––––

9,382,309(83)

-


Bond ComponentFund*

31 Dec 2017US$

8,588,512

(1,024,981)-

186,093-

-

(158,812,645)289,350

-––––––––––––––

(150,773,671)

(2,430,078)

20,195––––––––––––––

(153,183,554)

160,047,783

(4,517,457)(289,350)

––––––––––––––

155,240,976––––––––––––––

2,057,422

-

--

––––––––––––––

2,057,422––––––––––––––––––––––––––––

5,798,308(241)

(8,325)

BaringsU.S. Short

DurationHigh Yield Bond

ComponentFund**

31 Dec 2017US$

2,920,777

237,968-

440,209-

-

(83,508,957)110,584

-––––––––––––––

(79,799,419)

(1,348,374)

15,774––––––––––––––

(81,132,019)

85,354,622

(1,413,047)(110,584)

––––––––––––––

83,830,991––––––––––––––

2,698,972

-

--

––––––––––––––

2,698,972––––––––––––––––––––––––––––

2,501,122-

(3,555)

CompanyTotal

31 Dec 2017US$

255,093,084

(24,331,618)(35,383)

(53,654,500)(10,069,103)

(10,877,706)

(960,681,817)16,109,671(6,860,491)

––––––––––––––

(795,307,863)

(14,880,120)

1,388,222––––––––––––––

(808,799,761)

1,534,147,675

(699,591,251)(16,109,671)

––––––––––––––

818,446,753––––––––––––––

9,646,992

48,234,198

10,877,706916,148

––––––––––––––

69,675,044––––––––––––––––––––––––––––

149,789,498(124,253)

(1,033,570)



Statement of Cash Flowsfor the financial year ended 31 December 2016


Adjustments for:

Net realised loss/(gain) on investmentsNet realised loss/(gain) on swaptionsNet unrealised (gain)/loss on investments at fair value through profit or lossNet unrealised loss/(gain) on derivativesNet unrealised loss/(gain) on foreign exchangeNet payments from purchase/sale of investmentsDistributionsMovement in margin cash



Net cash inflows/(outflows) fromoperating activities


Net cash inflow/(outflow)s from financing activities

Net increase/(decrease) in cash and cash equivalents






BaringsGlobal


31 Dec 2016US$

768,642

9,187,074-

(6,160,744)849,665

883,921

11,539,9858,427,827

-––––––––––––––

25,496,370

156,449

(5,945)––––––––––––––

25,646,874

30,273,545

(50,265,059)(8,427,827)

––––––––––––––

(28,419,341)––––––––––––––

(2,772,467)

9,039,678

(883,921)-

––––––––––––––

5,383,290––––––––––––––––––––––––––––

14,869,442(3,293)

(10,550)



€

19,121,699

(164,724)-

(5,860,145)355,820

357,494

(254,916,172)370,399

-––––––––––––––

(240,735,629)

(4,336,943)

56,175––––––––––––––

(245,016,397)

301,321,262

(49,853,877)(370,399)

––––––––––––––

251,096,986––––––––––––––

6,080,589

2,027,120

(357,494)-

––––––––––––––

7,750,215––––––––––––––––––––––––––––

5,972,566(34,435)

-

BaringsGlobal

High YieldBond Fund

31 Dec 2016US$

57,707,802

(9,032,513)-

(21,125,819)5,553,305

5,551,474

(335,010,985)19,511

-––––––––––––––

(296,337,225)

(6,376,456)

141,336––––––––––––––

(302,572,345)

516,881,370

(207,376,250)(19,511)

––––––––––––––

309,485,609––––––––––––––

6,913,264

5,293,096

(5,551,474)-

––––––––––––––

6,654,886––––––––––––––––––––––––––––

26,637,289(8,028)

(46,949)

BaringsEmerging

MarketsCorporate


US$

8,954,489

1,983,230-

(5,761,433)(198,272)

(129,522)

(8,165,753)75,14330,376

––––––––––––––

(3,211,742)

11,926

10,265––––––––––––––

(3,189,551)

430,403

(2,033,692)(75,143)

––––––––––––––

(1,678,432)––––––––––––––

(4,867,983)

9,807,887

129,522-

––––––––––––––

5,069,426––––––––––––––––––––––––––––

5,812,592(7,879)(1,969)

BaringsEmerging

MarketsLocal


US$

10,112,162

1,774,223(378,804)

15,902(2,312,165)

(1,876,620)

(134,765,253)-

880,275––––––––––––––

(126,550,280)

(2,052,894)

202,176––––––––––––––

(128,400,998)

128,717,432

(2,806,798)-

––––––––––––––

125,910,634––––––––––––––

(2,490,364)

4,641,384

1,876,620-

––––––––––––––

4,027,640––––––––––––––––––––––––––––

8,043,955(10,622)

(348,137)





Adjustments for:

Net realised loss/(gain) on investmentsNet realised (gain)/loss on swaptionsNet unrealised (gain)/loss on investments at fair value through profit or lossNet unrealised (gain)/loss on derivativesNet unrealised loss/(gain) on foreign exchangeNet payments from purchase/sale of investmentsDistributionsMovement in margin cash








Unrealised foreign exchange (gain)/loss on cash and cash equivalentsForeign currency translation adjustment




BaringsGlobal

InvestmentGrade

CorporateBond Fund

31 Dec 2016US$

2,343,958

3,180,026-

(4,405,071)(24,368)

2,624

33,420,3871,230,990

(91,291)––––––––––––––

35,657,255

607,336

(33,087)––––––––––––––

36,231,504

-

(35,000,000)(1,230,990)

––––––––––––––

(36,230,990)––––––––––––––

514

1,074,012

(2,624)-

––––––––––––––

1,071,902––––––––––––––––––––––––––––

2,546,961(3,921)(3,165)

BaringsEmerging

MarketsDebt Short

DurationFund

31 Dec 2016US$

729,350

151,519-

(397,333)(32,347)

(29,875)

(4,892,576)775,958

-––––––––––––––

(3,695,304)

(133,669)

(23,949)––––––––––––––

(3,852,922)

5,971,558

(128,656)(775,958)

––––––––––––––

5,066,944––––––––––––––

1,214,022

297,929

29,875-

––––––––––––––

1,541,826––––––––––––––––––––––––––––

1,197,453(209)(326)

BaringsActive

Short DurationFund

31 Dec 2016US$

1,096,987

668,916(59,906)

(618,918)265,248

213,261

8,962,988416,59244,374

––––––––––––––

10,989,542

12,460

(14,206)––––––––––––––

10,987,796

18,654,824

(30,125,088)(416,592)

––––––––––––––

(11,886,856)––––––––––––––

(899,060)

1,907,799

(213,261)-

––––––––––––––

795,478––––––––––––––––––––––––––––

1,906,861(237)(818)

BaringsEmerging

MarketsDebt Blended

Total ReturnFund

31 Dec 2016US$

42,934

270,652(378,808)

(2,291,823)(325,179)

(134,284)

(16,184,725)2,506,010

595,617––––––––––––––

(15,899,606)

(319,785)

11,100––––––––––––––

(16,208,291)

19,776,332

(763,505)(2,506,010)

––––––––––––––

16,506,817––––––––––––––

298,526

3,176,495

134,284-

––––––––––––––

3,609,305––––––––––––––––––––––––––––

4,276,483(40,003)(40,917)





Adjustments for:

Net realised (gain)/loss on investmentsNet realised (gain)/loss on swaptionsNet unrealised (gain)/loss on investments at fair value through profit or lossNet unrealised loss/(gain) on derivativesNet unrealised loss/(gain) on foreign exchangeNet payments from purchase/sale of investmentsDistributionsMovement in margin cash





Net cash inflows from financing activities

Net increase in cash and cash equivalents







BaringsEmerging


Fund31 Dec 2016

US$

1,401,709

(842,504)-

(128,350)16,963

13,877

(1,716,052)879,340

-––––––––––––––

(375,017)

(106,930)

32,468––––––––––––––

(449,479)

-

-(879,340)

––––––––––––––(879,340)

––––––––––––––(1,328,819)

1,460,906

(13,877)-

––––––––––––––

118,210––––––––––––––––––––––––––––

1,229,824(8)

(133)


Bond Fund*31 Dec 2016

US$

28,414,326

(4,400,177)-

(12,977,944)178,640

178,640

(262,048,946)--

––––––––––––––

(250,655,461)

(5,085,138)

90,517––––––––––––––

(255,650,082)

265,158,789

(915,600)-

––––––––––––––264,243,189

––––––––––––––8,593,107

-

(178,640)-

––––––––––––––

8,414,467––––––––––––––––––––––––––––

7,626,949(6,419)

(21,947)


GradeCorporate

Bond Fund**31 Dec 2016

US$

(6,028,951)

1,854,485-

8,314,7271,973

-

(216,592,838)-

(74,273)––––––––––––––

(212,524,877)

(2,461,911)

85,190––––––––––––––

(214,901,598)

229,178,028

(10,886,930)-

––––––––––––––218,291,098

––––––––––––––3,389,500

-

--

––––––––––––––

3,389,500––––––––––––––––––––––––––––

1,428,111(892)

(1,220)

CompanyTotal

31 Dec 2016US$

126,609,447

4,613,461(817,518)

(51,992,825)4,365,464

5,067,341

(1,206,290,434)14,739,4331,125,078

––––––––––––––

(1,102,580,553)

(20,526,546)

557,752––––––––––––––

(1,122,549,347)

1,547,002,613

(395,224,716)(14,739,433)

––––––––––––––1,137,038,464

––––––––––––––14,489,117

38,902,156

(5,067,341)(89,734)

––––––––––––––

48,234,198––––––––––––––––––––––––––––

82,401,752(119,447)(476,128)



Notes to the Financial Statementsfor the financial year ended 31 December 2017

1. General information

Barings Umbrella Fund Plc (the “Company”) is incorporated as an Irish open-ended umbrella investment company with variablecapital and segregated liability between Sub-Funds. The Company is authorised by the Central Bank under the EuropeanCommunities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (as amended) and underthe Central Bank (Supervision & Enforcement) Act 2013 (Section 48(1) (Undertakings for Collective Investment in TransferableSecurities) Regulations 2015, as amended (together, the “UCITS Regulations”). The Company is listed on the Irish StockExchange. The registered office of the Company is 70 Sir John Rogerson’s Quay, Dublin 2, Ireland.

Shares representing interests in different Sub-Funds may be issued from time to time by the Company. As at 31 December2017, fourteen Sub-Funds were launched:

Sub-Fund Launch Date

Barings Global Senior Secured Bond Fund (“GSSB Fund”) 27 January 2011Barings European High Yield Bond Fund (“EHYB Fund”) 31 May 2011Barings Global High Yield Bond Fund (“GHYB Fund”) 30 April 2012Barings Emerging Markets Corporate Bond Fund (“EMCB Fund”) 16 April 2014Barings Emerging Markets Local Debt Fund (“EMLD Fund”) 16 April 2014Barings Global Investment Grade Corporate Bond Fund (“GCB Fund”) 1 October 2014Barings Emerging Markets Debt Short Duration Fund (“EMDSD Fund”) 17 November 2014Barings Active Short Duration Fund (“ASD Fund”) 18 November 2014Barings Emerging Markets Debt Blended Total Return Fund (“EMDBTR Fund”) 3 December 2014Barings Emerging Markets Sovereign Debt Fund (“EMSD Fund”) 10 September 2015Barings U.S. High Yield Bond Fund (“USHYB” Fund) 17 February 2016Barings U.S. Investment Grade Corporate Bond Fund (“USIGCB Fund”) 1 July 2016Barings U.S. High Yield Bond Component Fund (“USHYBC Fund”) 18 January 2017Barings U.S. Short Duration High Yield Bond Component Fund (“USSDHYBC Fund”) 15 February 2017

The Company may create additional Sub-Funds, with the prior approval of the Central Bank.

The investment objective of each Sub-Fund is to provide high current income generation, and where appropriate, capitalappreciation.

The investment activities of the GSSB Fund, the GHYB Fund, the EMCB Fund, the EMLD Fund, the GCB Fund, the EMDSDFund, the ASD Fund, the EMDBTR Fund and the EMSD Fund are managed by Barings (U.K.) Limited and Barings LLC (the“Investment Managers”). The investment activities of the EHYB Fund are managed by Barings (U.K.) Limited. The investmentactivities of the USHYB Fund and the USIGCB Fund, the USHYBC Fund and the USSDHYBC Fund are managed by BaringsLLC. The administration of the Company is delegated to State Street Fund Services (Ireland) Limited (the “Administrator”).

As at 31 December 2017, the Company had no employees.

2. Basis of Measurement

(a) Basis of preparation

The financial statements have been prepared on a historical cost basis except for those financial assets and financial liabilitiesthat have been measured at fair value.

(b) Statement of compliance

The financial statements for the financial year have been prepared in accordance with International Financial ReportingStandards (“IFRS”), the interpretations adopted by the International Accounting Standards Board (“IASB”) as adopted by theEuropean Union (“EU”) and in accordance with Irish statute comprising the Companies Act, 2014 and UCITS Regulations.

The financial statements for all of the Sub-Funds with the exception of the EHYB Fund are presented in United States Dollars(“US$”) and rounded to the nearest US$. The financial statements for the EHYB Fund are presented in Euro (“€”) and roundedto the nearest €. The combined Company total amounts are presented in US$.



Notes to the Financial Statementsfor the financial year ended 31 December 2017 (continued)

3. Significant accounting policies

(a) New standards, amendments and interpretations issued and effective for the financial year beginning 1 January

2017

There are no standards, interpretations or amendments to existing standards that are effective for the first time for financial yearbeginning 1 January 2017 that have a significant impact on the Company.

(b) New standards, amendments and interpretations issued but not effective for the financial year beginning 1

January 2017 and not early adopted

IFRS 9, published in July 2014, will replace the existing guidance in IAS 39. It includes revised guidance on the classificationand measurement of financial instruments, including a new expected credit loss model for calculating impairment on financialassets, and the new general hedge accounting requirements. It also carries forward the guidance on recognition andderecognition of financial instruments from IAS 39. IFRS 9 is effective for annual reporting periods beginning on or after 1January 2018, with early adoption permitted. Based on the initial assessment, this standard is not expected to have a materialimpact on the Company. The new standard is not expected to have any significant impact on the Fund’s financial position,performance or disclosures in its financial statements as it is expected that the Fund will continue to classify its financial assetsand financial liabilities (both long and short) as being at fair value through profit or loss.

IFRS 15 “Revenue from Contracts with Customers” was issued in May 2014 and will become effective for periods beginning onor after 1 January 2018. The new standard is not expected to have any impact on the Company’s financial position,performance or disclosures in its financial statements.

IFRS 16 “Leases” was issued in January 2016 and will become effective for period beginning on or after 1 January 2019. Thenew standard is not expected to have any impact on the Company’s financial position, performance or disclosures in itsfinancial statements.

There are no other standards, interpretations or amendments to existing standards that are not yet effective that would beexpected to have a significant impact on the Company.

(c) Foreign currency translation

Transactions in foreign currencies are translated at the foreign currency exchange rate ruling at the date of the transaction.Monetary assets and liabilities denominated in foreign currencies are translated to US$ at the foreign currency closingexchange rate ruling at the Statement of Financial Position date. Foreign currency exchange differences arising on translationand realised gains and losses on disposals or settlements of monetary assets and liabilities are recognised in the Statement ofComprehensive Income.

Non-monetary assets and liabilities denominated in foreign currencies that are measured at fair value through profit or loss aretranslated to US$ at the foreign currency exchange rates ruling at the dates that the values were determined.

Foreign currency exchange differences relating to derivative financial instruments are included in net gain/(loss) on derivatives.All other foreign currency exchange differences relating to monetary items, including cash and cash equivalents are includedin the net gain/(loss) on foreign exchange in the Statement of Comprehensive Income. Foreign exchange gains/(losses) onfinancial assets at fair value through profit or loss are included in net gain/(loss) on investments in the Statement ofComprehensive Income.

The Company’s financial statements are presented in US$ which is the functional currency. The functional currency is thecurrency of the primary economic environment in which the entity operates. The Directors believe that US$ most faithfullyrepresents the economic effects of the underlying transaction events and conditions. The base currency of the GSSB Fund,GHYB Fund, EMCB Fund, EMLD Fund, GCB Fund, EMDSD Fund, ASD Fund, EMDBTR Fund, EMSD Fund, USHYB Fund,USIGCB Fund, USHYBC Fund and USSDHYBC Fund is US$. The base currency of the EHYB Fund is €.

The combined financial statements of the Company are measured in the currency of the primary economic operatingenvironment in which the Company operates, which is the US$. For the purpose of producing the Combined Statement ofFinancial Position of the Company, the Statements of Financial Position of the individual Sub-Funds are translated into US$using exchange rates as at 31 December 2017 and accumulated for preparation of the combined financial statements.




3. Significant accounting policies (continued)

(c) Foreign currency translation (continued)

For the purpose of producing the combined Statement of Comprehensive Income and the combined Statement of Changes inNet Assets Attributable to Holders of Redeemable Participating Shares from the accounts of the individual Sub-Funds, averageexchange rates are used. The difference arising from the translation of the primary financial statements at different exchangerates, for the purpose of producing the combined financial statements, is included as a foreign currency translation adjustmentin the Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares. This notional adjustmentdoes not have any impact on the Net Asset Value of any individual Sub-Fund in its base currency. For the financial year ended31 December 2017 this adjustment amounted to US$49,982,011 (31 December 2016: US$(15,047,067)).

(d) Financial instruments

Financial assets and financial liabilities at fair value through profit or loss are recognised on the Company’s Statement ofFinancial Position when the Company becomes a party to the contractual provisions of the instrument. Other financial assetsand financial liabilities are recognised at the date they are originated.

(i) InvestmentsIAS 39 establishes specific categories into which all financial assets and financial liabilities must be classified. The classificationof financial instruments dictates how these assets and liabilities are subsequently measured in the financial statements. Thereare four categories of financial assets: assets at fair value through profit or loss, available for sale, held to maturity and loansand receivables. All investments held at the Statement of Financial Position date are designated at fair value through profit orloss. Derivative financial instruments are categorised as held for trading.

RecognitionPurchases and sales of investments are recognised on trade date - the date on which the relevant Sub-Fund commits topurchase or sell the asset. From this date any gains and losses arising from changes in fair value of the financial assets orfinancial liabilities are recorded in the Statement of Comprehensive Income.

DerecognitionThe Company derecognises a financial asset when the contractual rights to the cash flows from the financial asset expire or ittransfers the financial asset and the transfer qualifies for derecognition in accordance with IAS 39. The Company uses theaverage cost method to determine realised gains and losses on derecognition. A financial liability is derecognised when theobligation specified in the contract is discharged, cancelled or expired.

MeasurementFinancial instruments are measured initially at fair value (transaction price) plus, in the case of financial assets or financialliabilities not at fair value through profit or loss, transaction costs that are directly attributable to the acquisition or issue of thefinancial asset or financial liability. Transaction costs on financial assets and financial liabilities at fair value through profit or lossare expensed immediately, while on other financial instruments they are amortised. Subsequent to initial recognition, allinstruments classified at fair value through profit or loss are measured at fair value with changes in their fair value recognisedin the Statement of Comprehensive Income. Realised gains and losses on investment transactions are calculated using theaverage cost method.

Fair value measurement principlesThe fair value of financial assets and liabilities traded in active markets (such as publicly traded derivatives and tradingsecurities) are based on quoted market prices at the close of trading on the financial year end date.

If a quoted price is not available from a recognised market, or is unrepresentative in the opinion of the Directors or theirdelegate, such a security shall be valued, by estimating with care and in good faith the probable realisation value of theinvestment, by the Directors or their delegate or a competent person, which may be the Investment Managers (appointed bythe Directors and each approved for the purpose by the Depositary) or valued at the probable realisation value estimated withcare and in good faith by any other means, provided that the value is approved by the Depositary.

The value of any security, including debt and equity securities which is not normally quoted, listed or traded on or under therules of a recognised exchange will be determined in accordance with the above provisions or obtained from an independentpricing source (if available).

The fair value of derivatives that are not exchange traded is estimated at the amount that the Company would receive or payto terminate the contract at the Statement of Financial Position date taking into account current market conditions (volatility,appropriate yield curve) and the current creditworthiness of the counterparties.





(d) Financial instruments (continued)

(ii) Financial liabilitiesFinance charges, including premiums payable on settlement or redemption and direct issue costs, are accounted for on anaccruals basis in the Statement of Comprehensive Income and are added to the carrying amount of the instrument to the extentthat they are not settled in the year in which they arise.

(iii) Forward foreign currency exchange contractsForward foreign currency exchange contracts are recognised at fair value on the date on which a derivative contract is enteredinto and are subsequently re-measured at their fair value. All forwards are carried as assets when fair value is positive and asliabilities when fair value is negative. Any changes in fair value are recognised in the Statement of Comprehensive Income.

The fair value of forwards that are not exchange traded is estimated at the amount that the Company would receive or pay toterminate the contract at the year end date taking into account current market conditions and the current creditworthiness ofthe counterparties.

The unrealised gain or loss on open forward foreign currency exchange contracts is calculated as the difference between thecontract price and the forward price as at financial year end.

(iv) Futures contractsFutures contracts are commitments either to purchase or sell a designated financial instrument, currency, commodity or anindex at a specified future date for a specified price and may be settled in cash or another financial asset. Futures arestandardised exchange traded contracts. Initial margin requirements for futures are met in cash or other instruments, andchanges in the future contract values are settled daily. Futures are measured initially at fair value on the date on which thederivative contract is entered into and subsequently remeasured at fair value. Futures contracts have little credit risk becausethe counterparties are futures exchanges. Any changes in fair value are recognised in the Statement of Comprehensive Income.

(v) Interest rate swapsInterest rate swaps are used for trading purposes. Interest rate swaps (“IRSs”) are measured initially at fair value on the dateon which the derivative contract is entered into and subsequently remeasured at fair value. Any changes in fair value arerecognised in the Statement of Comprehensive Income. Fair values are obtained from counterparties or from quoted marketprices in active markets, including recent market transactions, and from valuation techniques using discounted cash flowmodels and option pricing models as appropriate. IRSs are included in assets when the fair value is positive, and in liabilitieswhen the fair value is negative.

(vi) Credit default swapsIn a credit default swap (“CDS”), one party makes payments to another party in exchange for the right to receive a specifiedreturn (or to put a security) if a credit event (e.g. default or a similar event) occurs with respect to a reference entity or entities.The Company may use credit default swaps contracts to provide a measure of protection against defaults of sovereign orcorporate issues (i.e. to reduce risk where the Sub-Fund owns or has exposure to the issuer) or to take an active long or shortposition with respect to the likelihood of a particular issuer's default. The maximum exposure the Company has in selling creditprotection is equal to the notional amount of such credit default swap contracts. CDS’s are measured initially at fair value onthe date on which the derivative contract is entered into and subsequently remeasured at fair value.

For credit default swaps on asset-backed securities, a credit event may be triggered by various occurrences, which mayinclude an issuer's failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swapcontracts on corporate or sovereign issuers, a credit event may be triggered by occurrences such as an issuer bankruptcy,failure to pay interest or principal, repudiation/moratorium and/or restructuring. Any changes in fair value are recognised in theStatement of Comprehensive Income.

(vii) Currency swapA currency swap is an interest rate swap in which the cash flows are in different currencies. Upon initiation of a currency swap,the counterparties make an initial exchange of notional principals in the two currencies. During the life of the swap, each partypays interest (in the currency of the principal received) to the other. At the maturity of the swap, the parties make a finalexchange of the initial principal amounts, reversing the initial exchange at the same spot rate.





(d) Financial instruments (continued)

(viii) OptionsOptions are derivative financial instruments that give the buyer, in exchange for a premium payment, the right but not theobligation to either purchase from (call option) or sell to (put option) the writer a specified underlying instrument at a specifiedprice on or before a specified date. Daily fluctuations in the value of the option contract are recorded for financial reportingpurposes as unrealised gains or losses by the Funds and are recorded as a realised gain or loss when the position is closed.

The best evidence of fair value of a derivative at initial recognition is the transaction price. Subsequent changes in the fair valueof any derivative instrument are recognised immediately in the Statement of Comprehensive Income.

(viii) SwaptionsSwaptions are options that grant the right, with no obligation, to enter into an underlying swap (see below) on pre-agreed terms.When a swaption is exercised, the treatment of the premium is determined by the type of swaption. For purchased put andwritten call swaptions, the premium is included with the proceeds from the sale of the underlying swap in determining therealised gain or loss. For purchased call and written put swaptions, the premium is included in determining the initial fair valueof the swap purchased. Premiums paid/received from the purchase/sale of swaptions which expire unexercised are treated asrealised losses and gains respectively.

(ix) Cash and cash equivalentsCash comprises current deposits with banks. Cash equivalents are short-term highly liquid investments that are readilyconvertible to known amounts of cash, are subject to an insignificant risk of changes in value, and are held for the purpose ofmeeting short-term cash commitments rather than for investment or other purposes.

(x) Amounts due from/(due to) brokers represents cash due from and to brokers and cash collateral.

(e) Use of estimates

The preparation of financial statements in conformity with IFRS requires management to make judgements, estimates andassumptions that affect the application of policies and the reported amounts of assets and liabilities, income and expenses.The estimates and associated assumptions are based on historical experience and various other factors that are believed tobe reasonable under the circumstances, the results of which form the basis of making the judgements about carrying valuesof assets and liabilities that are not readily apparent from other sources. Actual results may differ from these estimates.

The estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to accounting estimates arerecognised in the year in which the estimate is revised if the revision affects only that year, or in the year of the revision andfuture years if the revision affects both current and future years.

(f) Interest income and interest expense

Income on interest bearing securities is accounted for on an effective interest rate basis. Deposit interest is accounted for ona receipts basis. Income which suffers a deduction of tax at source is shown gross of withholding tax. Non-recoverablewithholding tax is disclosed separately in the Statement of Comprehensive Income.

Interest expense is accounted for on an effective interest rate basis.

(g) Expenses

All expenses, including management fees, administration fees and depositary fees, are recognised in the Statement ofComprehensive Income on an accruals basis.

(h) Taxation

The Company is an investment undertaking within the meaning of Section 739B of the Taxes Consolidation Act, 1997 andtherefore is not chargeable to Irish tax on its relevant income or relevant gains other than on the occurrence of a chargeableevent. The Company is resident for tax purposes in Ireland as it is centrally managed and controlled in Ireland.

Distributions of income and capital gains and interest on securities issued in countries other than Ireland may be subject totaxes including withholding taxes imposed by such countries. The Company may not be able to benefit from a reduction in therate of withholding tax by virtue of the double taxation treaties in operation between Ireland and other countries.





(h) Taxation (continued)

Tax may arise for the Company (“Appropriate Tax”) on the happening of a “Chargeable Event” in the Company. A ChargeableEvent includes any payments to shareholders by the Company in respect of their shares or any encashment, redemption,cancellation or transfer of shares. On the happening of a Chargeable Event, the Company will deduct the Appropriate Tax onany payment made to the shareholder in respect of the Chargeable Event. On the occurrence of a Chargeable Event where nopayment is made, the Company may appropriate or cancel the required number of shares to meet the tax liability.

A Chargeable Event also includes a deemed disposal by a shareholder of their shares at the end of a “relevant period”. Arelevant period means a period of eight years beginning with the acquisition of the shares and each subsequent period of eightyears beginning immediately after the preceding relevant period.

The Prospectus dated 10 July 2017 provides a more detailed description of the taxation provisions relating to the Company.

(i) Redeemable participating shares

All redeemable participating shares issued by the Company provide the investors with the right to require redemption for cashat the value proportionate to the investor’s share in the relevant Sub-Fund’s net assets at the redemption date. In accordancewith IAS 32, such instruments give rise to a financial liability for the present value of the redemption amount. Please refer toNote 8 for further details and for details on the anti-dilution levy.

(j) Distributions

Both distribution tranche shares and accumulating tranche shares are available in respect of the 14 active Sub-Funds.

For all Sub-Funds, the Company intends to declare distributions out of the net investment income and, at the discretion of theDirectors, net realised and unrealised capital gains of the Sub-Fund attributable to the distribution tranche shares on or aboutthe last day of each calendar quarter. Such distributions will be paid to the shareholders of distribution tranche shares of recordof the Sub-Fund within 10 Business Days thereof.

Distributions are recognised in the Statement of Comprehensive Income as finance costs when they are authorised and nolonger at the discretion of the relevant Sub-Fund. Please refer to Note 21 for further details.

(k) Transaction costs

Transaction costs are incremental costs that are directly attributable to the acquisition, issue or disposal of a financial asset orfinancial liability. An incremental cost is one that would not have been incurred if the entity had not acquired, issued or disposedof the financial instrument. When a financial asset or financial liability is recognised initially, an entity shall measure it at its fairvalue through profit or loss plus transaction costs that are directly attributable to the acquisition or issue of the financial assetor financial liability.

Transaction costs on the purchase and sale of bonds are included in the purchase and sale price of the investment. Theycannot be practically or reliably gathered as they are embedded in the cost of the investment and cannot be separately verifiedor disclosed. Transaction costs charged by the Depositary on the settlement of purchases and sales of investments areincluded in operating expenses in the Statement of Comprehensive Income for each Sub-Fund. These costs are separatelyidentifiable and are disclosed in Note 11.

(l) Offsetting Financial Instruments

Financial assets and financial liabilities are offset and the net amount reported in the Statement of Financial Position when thereis a legally enforceable right to offset the recognised amounts and there is an intention to settle on a net basis, or realise theasset and settle the liability simultaneously.

4. Cash and cash equivalents

Cash and cash equivalents are held with the Depositary, State Street Custodial Services (Ireland) Limited. State StreetCorporation the parent company of the Depositary, had a Standard & Poors’ credit rating of A as at 31 December 2017 (31December 2016: A).




5. Amounts due to/from broker

Swap collateral is held by Bank of America, BNP Paribas, Citibank, Deutsche Bank and JPMorgan. The Standard & Poors' creditrating at 31 December 2017 was for Bank of America: A+, for BNP Paribas: A, for Citibank: A+, for Deutsche Bank: A-, forJPMorgan: A+ (31 December 2016 was for Bank of America: A, for BNP Paribas: A+, for Citibank: A, for Deutsche Bank: BBB+,for JPMorgan: A-).

The table below provides a breakdown of the amounts due from broker for the financial year ended 31 December 2017.

Cash due from brokerCash Collateral

Cash due to brokerCash Collateral





The table below provides a breakdown of the amounts due from broker for the financial year ended 31 December 2016.





GSSB Fund

31 Dec 2017

US$

--

--

EHYB Fund

31 Dec 2017

€

--

--

GHYB Fund

31 Dec 2017

US$

--

--

EMCB Fund

31 Dec 2017

US$

68,426-

--

EMLD Fund

31 Dec 2017

US$

-8,801,825

-(2,820,000)

GCB Fund

31 Dec 2017

US$

40,227-

--

EMDSD Fund

31 Dec 2017

US$

--

--

ASD Fund

31 Dec 2017

US$

16,879-

-(10,000)

EMDBTR Fund

31 Dec 2017

US$

69,943880,000

-(370,000)

EMSD Fund

31 Dec 2017

US$

5,958-

--

USHYB Fund

31 Dec 2017

US$

--

--

USIGCB Fund

31 Dec 2017

US$

25,504-

--

USHYBC Fund

31 Dec 2017

US$

--

--

USSDHYBC Fund

31 Dec 2017

US$

--

--

Total

31 Dec 2017

US$

226,9379,681,825

-(3,200,000)

GSSB Fund

31 Dec 2016

US$

--

--

EHYB Fund

31 Dec 2016

€

--

--

GHYB Fund

31 Dec 2016

US$

--

--

EMCB Fund

31 Dec 2016

US$

141,531-

--

EMLD Fund

31 Dec 2016

US$

-1,580,000

(275)(1,840,000)

GCB Fund

31 Dec 2016

US$

79,443-

--

EMDSD Fund

31 Dec 2016

US$

--

--

ASD Fund

31 Dec 2016

US$

13,745-

--

EMDBTR Fund

31 Dec 2016

US$

59,554-

-(260,000)

EMSD Fund

31 Dec 2016

US$

--

--

USHYB Fund

31 Dec 2016

US$

--

--

USIGCB Fund

31 Dec 2016

US$

74,273-

--

Total

31 Dec 2016

US$

368,5461,580,000

(275)(2,100,000)




6. Efficient Portfolio Management

Each of the Sub-Funds may use Financial Derivative Instruments (“FDIs”) for efficient portfolio management. The efficientportfolio management purposes for which the Company intends to employ FDIs are reduction of risk, reduction of cost and thegeneration of additional capital or income for the relevant Sub-Fund with an appropriate level of risk, taking into account therisk profile of the Sub-Fund and the general provisions of the UCITS Regulations. The Company may use various types ofderivatives for these purposes, including, without limitation, forwards, futures, options, swaps (including but not limited to totalreturn swaps, credit default swaps, swaptions and IRSs) and contracts for differences for these purposes.

The foreign currency risk that exists to investors in the non base currency share classes is mitigated by a share class hedgingprogramme.

During the year the Company entered into forward foreign currency exchange contracts, futures contracts, options and swapcontracts for efficient portfolio management purposes. Forward foreign currency exchange contracts are entered into by GSSBFund, GHYB Fund, EMCB Fund, EMLD Fund, GCB Fund, EMDSD Fund, ASD Fund, EMDBTR Fund, EMSD Fund, USHYB Fundand USIGCB Fund to hedge non-US$ denominated assets back to US$, the Sub-Funds’ base currency. Forward foreigncurrency exchange contracts are entered into by EHYB Fund to hedge non-€ denominated assets back into €, the Sub-Funds’base currency. EMLD, EMDBTR and EMSD use forward foreign currency exchange contracts to take active foreign exchangeexposure. Futures contracts are entered into by EMCB Fund, GCB Fund, ASD Fund, EMDBTR Fund, EMSD Fund and USIGCBFund, options are entered into by ASD Fund and swaps are entered into by EMCB Fund, EMLD Fund, ASD Fund, EMDBTRFund and EMSD Fund. Details of the gains/(losses) relating to these derivative instruments are contained in the Statement ofComprehensive Income.

The Company shall comply with the conditions and limits laid down from time to time by the Central Bank under the UCITSRegulations.

Forward foreign currency exchange contracts are recognised at fair value on the date on which a derivative contract is enteredinto and are subsequently re-measured at their fair value. All forwards are carried as assets when fair value is positive and asliabilities when fair value is negative. Any changes in fair value are recognised in the Statement of Comprehensive Income.

The fair value of forwards that are not exchange traded is estimated at the amount that the Company would receive or pay toterminate the contract at the period/year end date taking into account current market conditions and the currentcreditworthiness of the counterparties.

The unrealised gain or loss on open forward foreign currency exchange contracts is calculated as the difference between thecontract price and the forward price as at financial year end.

Futures contracts are commitments either to purchase or sell a designated financial instrument, currency, commodity or anindex at a specified future date for a specified price and may be settled in cash or another financial asset. Futures arestandardised exchange traded contracts. Initial margin requirements for futures are met in cash or other instruments, andchanges in the future contract values are settled daily. Futures are measured initially at fair value on the date on which thederivative contract is entered into and subsequently remeasured at fair value. Futures contracts have little credit risk becausethe counterparties are futures exchanges. Any changes in fair value are recognised in the Statement of Comprehensive Income.

Interest rate swaps (“IRSs”) are used for trading purposes. IRSs are measured initially at fair value on the date on which thederivative contract is entered into and subsequently remeasured at fair value. Fair values are obtained from counterparties orfrom quoted market prices in active markets, including recent market transactions, and from valuation techniques usingdiscounted cash flow models and option pricing models as appropriate. IRSs are included in assets when the fair value ispositive, and in liabilities when the fair value is negative.

In a credit default swap (“CDS”), one party makes payments to another party in exchange for the right to receive a specifiedreturn (or to put a security) if a credit event (e.g. default or a similar event) occurs with respect to a reference entity or entities.The Company may use credit default swaps contracts to provide a measure of protection against defaults of sovereign orcorporate issues (i.e. to reduce risk where the Sub-Fund owns or has exposure to the issuer) or to take an active long or shortposition with respect to the likelihood of a particular issuer's default. The maximum exposure the Company has in selling creditprotection is equal to the notional amount of such credit default swap contracts. CDS's are measured initially at fair value onthe date on which the derivative contract is entered into and subsequently remeasured at fair value.




6. Efficient Portfolio Management (continued)

For credit default swaps on asset-backed securities, a credit event may be triggered by various occurrences, which mayinclude an issuer's failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swapcontracts on corporate or sovereign issuers, a credit event may be triggered by occurrences such as an issuer bankruptcy,failure to pay interest or principal, repudiation/moratorium and/or restructuring. Any changes in fair value are recognised in theStatement of Comprehensive Income.

Options are derivative financial instruments that give the buyer, in exchange for a premium payment, the right but not theobligation to either purchase from (call option) or sell to (put option) the writer a specified underlying instrument at a specifiedprice on or before a specified date. Daily fluctuations in the value of the option contract are recorded for financial reportingpurposes as unrealised gains or losses by the Sub-Funds and are recorded as a realised gain or loss when the position isclosed.

The best evidence of fair value of a derivative at initial recognition is the transaction price. Subsequent changes in the fair valueof any derivative instrument are recognised immediately in the Statement of Comprehensive Income.

Risk Monitoring of Global Exposure

The GSSB Fund, the GHYB Fund, the EHYB Fund, the USHYB Fund, the USHYBC Fund and the USSDHYBC Fund (togetherthe “Commitment Approach Funds”) have been classified as non- sophisticated users of FDI and, as permitted by the CentralBank UCITS Regulations, the Company has adopted a commitment approach (“the Commitment Approach”) in the calculationof global exposure for these Sub-Funds during the period.

In accordance with the Central Bank UCITS Regulations, the Commitment Approach has been calculated, in the case offorward currency contracts (“FCCs”), by converting the FCC position into an equivalent position based on the market value ofthe underlying asset. As the FDI are used for hedging purposes in the Commitment Approach Funds, the exposure of the FDIhas been calculated and then netted against the instrument being hedged. The Global Exposure calculation is performed ona daily basis.

The EMLD Fund, the EMCB Fund, the GCB Fund, the ASD Fund, the EMDSD Fund, the EMDBTR Fund, the EMSD Fund andthe USIGCB Fund have the ability to use FDI more extensively and as such, have been designated as “VaR Approach Funds”as the value- at risk (“VaR”) approach is being utilised to calculate their Global Exposure. The Investment Manager hasappointed State Street UCITS Risk Management Service to perform these calculations. All output is reviewed in detail by theInvestment Manager’s Risk team.

Due to the risk profile and investment strategies of the Sub-Funds, certain VaR Approach Funds used a Relative VaR approachas a risk measure. These are:

- Barings Emerging Markets Local Debt (“EMLD Fund”)- Barings Emerging Markets Corporate Bond (“EMCB Fund”)- Barings Global Investment Grade Corporate Bond (“GCB Fund”)- Barings Emerging Markets Sovereign Debt (“EMSD Fund”)- Barings U.S. Investment Grade Corporate Bond (“USIGCB Fund”)

Relative VaR is defined as the VaR of the UCITS divided by the VaR of the benchmark. The Relative VaR on the UCITS portfolio(for applicable Relative VaR Approach Funds) shall not exceed twice the VaR on the comparable benchmark portfolio. Thefollowing parameters are used when determining VaR of the UCITS and their benchmark:

• A one-tailed confidence level of 99%;• A holding period equivalent to 20 business days (1 month);• A historical observation period of at least 250 business days (1 year), unless a shorter observation period is justified by

a significant increase in price volatility;• Daily data set updates of the VaR model.

The other VaR Approach Funds used an Absolute VaR approach, being:

- Barings Emerging Markets Debt Short Duration (“EMDSD Fund”)- Barings Emerging Markets Debt Blended Total Return (“EMDBTR Fund”)- Barings Active Short Duration (“ASD Fund”)




6. Efficient Portfolio Management (continued)

Risk Monitoring of Global Exposure (continued)

The Absolute VaR shall not exceed 20% of the Net Asset Values of the applicable Absolute VaR Approach Fund. The sameabove parameters are used when determining VaR of the UCITS.

Both relative VaR and absolute VaR is being calculated on a daily basis. Further, comprehensive stress testing is performedusing a scenario-based analysis in accordance with the qualitative and quantitative requirements of the Central Bank. Backtesting is performed to assess the accuracy and quality of the VaR model.

The lowest, the highest and the average VaR calculated during the financial year, and the level of leverage employed duringthe financial year, for the relevant Sub-Funds was:

31 December 2017

VaR

Fund Absolute/ Minimum Maximum Average 31 December

Relative VaR Benchmark VaR VaR VaR Leverage 2017

EMCB Fund Relative JPM CEMBI Broad Diversified 105.3% 149.9% 123.7% 13.6% 129.93%EMLD Fund Relative JPM GBI-EM Global Diversified

Composite 115.5% 146.7% 131.1% 212.6% 124.49%GCB Fund Relative Barclays Global Aggregate

Corporates 90.1% 109.7% 99.5% 51.8% 104.13% EMSD Fund Relative JPM EMBI Global Diversified 107.5% 162.7% 134.7% 32.0% 134.19% EMDSD Fund Absolute N/A 0.6% 1.9% 1.4% 7.5% 0.63% ASD Fund Absolute N/A 0.3% 1.6% 0.8% 39.3% 0.28%EMDBTR Fund Absolute N/A 3.6% 9.6% 8.0% 206.9% 3.55% USIGCB Fund Relative Barclays US Credit Index 92.9% 105.4% 98.4% 16.6% 102.95%

The leverage figure shown is the average level of gross notional exposure for the funds for the period ended 29 December 2017(calculated using the sum of notionals of derivatives as a percentage of NAV).

31 December 2016

VaR

Fund Absolute/ Minimum Maximum Average 31 December

Relative VaR Benchmark VaR VaR VaR Leverage 2016

EMCB Fund Relative JPM CEMBI Broad Diversified 107.0% 141.6% 124.6% 19.0% 107.39%EMLD Fund Relative JPM GBI-EM Global Diversified

Composite 100.3% 142.4% 124.7% 243.2% 132.14%GCB Fund Relative Barclays Global Aggregate

Corporates 96.4% 152.5% 114.1% 57.9% 105.91%EMSD Fund Relative JPM EMBI Global Diversified 100.3% 137.4% 120.0% 23.4% 127.42%EMDSD Fund Absolute N/A 1.1% 2.3% 1.6% 7.7% 1.64%ASD Fund Absolute N/A 0.5% 1.2% 0.7% 48.0% 1.07%EMDBTR Fund Absolute N/A 2.9% 8.6% 6.0% 218.4% 8.09%USIGCB Fund Relative Barclays US Credit Index 96.8% 115.2% 108.2% 16.1% 103.33%

The leverage figure shown is the average level of gross notional exposure for the funds for the period ended 30 December 2016(calculated using the sum of notionals of derivatives as a percentage of NAV).




7. Other payables and accrued expenses

Management fee payableAdministration fee payableAudit fee payableMiscellaneous payable





GSSB Fund

31 Dec 2017

US$

(78,237)(11,244)(3,003)

(16,507)––––––––––––––

(108,991)––––––––––––––––––––––––––––

EHYB Fund

31 Dec 2017

€

(91,368)(19,156)(3,155)

(26,271)––––––––––––––

(139,950)––––––––––––––––––––––––––––

GHYB Fund

31 Dec 2017

US$

(233,163)(38,366)(5,392)

(29,578)––––––––––––––

(306,499)––––––––––––––––––––––––––––

EMCB Fund

31 Dec 2017

US$

(52,413)(5,332)(3,639)

(15,082)––––––––––––––

(76,466)––––––––––––––––––––––––––––

EMLD Fund

31 Dec 2017

US$

(404,455)(36,193)(3,602)

(608,695)––––––––––––––

(1,052,945)––––––––––––––––––––––––––––

GCB Fund

31 Dec 2017

US$

(4,779)(2,220)(4,198)

(32,118)––––––––––––––

(43,315)––––––––––––––––––––––––––––

EMDSD Fund

31 Dec 2017

US$

(13,875)(1,910)(3,648)

(75,526)––––––––––––––

(94,959)––––––––––––––––––––––––––––

ASD Fund

31 Dec 2017

US$

(8,014)(3,266)(4,894)

(33,132)––––––––––––––

(49,306)––––––––––––––––––––––––––––

EMDBTR Fund

31 Dec 2017

US$

(49,285)(5,345)(3,608)

(66,012)––––––––––––––

(124,250)––––––––––––––––––––––––––––

EMSD Fund

31 Dec 2017

US$

(10,911)(1,206)(4,620)

(58,583)––––––––––––––

(75,320)––––––––––––––––––––––––––––

USHYB Fund

31 Dec 2017

US$

(45,572)(11,071)(4,166)(8,565)

––––––––––––––(69,374)

––––––––––––––––––––––––––––

USIGCB Fund

31 Dec 2017

US$

(29,744)(12,996)(4,260)

(39,790)––––––––––––––

(86,790)––––––––––––––––––––––––––––

USHYBC Fund

31 Dec 2017

US$

-(7,911)(3,851)(8,433)

––––––––––––––(20,195)

––––––––––––––––––––––––––––

USSDHYBC Fund

31 Dec 2017

US$

-(4,242)(4,122)(7,410)

––––––––––––––(15,774)

––––––––––––––––––––––––––––

Company Total

31 Dec 2017

US$

(1,040,076)(164,286)(56,789)

(1,030,954)––––––––––––––

(2,292,105)––––––––––––––––––––––––––––

GSSB Fund

31 Dec 2016

US$

(66,578)(11,059)(2,450)

(14,434)––––––––––––––

(94,521)––––––––––––––––––––––––––––

EHYB Fund

31 Dec 2016

€

(72,669)(16,786)(2,895)

(10,582)––––––––––––––

(102,932)––––––––––––––––––––––––––––

GHYB Fund

31 Dec 2016

US$

(156,544)(26,634)(3,422)

(13,594)––––––––––––––

(200,194)––––––––––––––––––––––––––––

EMCB Fund

31 Dec 2016

US$

(65,170)(6,046)(3,278)(8,978)

––––––––––––––(83,472)

––––––––––––––––––––––––––––

EMLD Fund

31 Dec 2016

US$

(118,565)(11,963)(3,509)

(147,292)––––––––––––––

(281,329)––––––––––––––––––––––––––––

GCB Fund

31 Dec 2016

US$

(5,998)(2,452)(4,044)

(30,001)––––––––––––––

(42,495)––––––––––––––––––––––––––––

EMDSD Fund

31 Dec 2016

US$

(10,553)(1,644)(3,511)

(74,942)––––––––––––––

(90,650)––––––––––––––––––––––––––––

ASD Fund

31 Dec 2016

US$

(6,566)(3,926)(4,222)

(30,378)––––––––––––––

(45,092)––––––––––––––––––––––––––––

EMDBTR Fund

31 Dec 2016

US$

(47,968)(4,510)(3,511)

(58,970)––––––––––––––

(114,959)––––––––––––––––––––––––––––

EMSD Fund

31 Dec 2016

US$

(9,915)(1,380)(3,204)

(54,011)––––––––––––––

(68,510)––––––––––––––––––––––––––––

USHYB Fund

31 Dec 2016

US$

(62,436)(15,117)(3,797)(9,167)

––––––––––––––(90,517)

––––––––––––––––––––––––––––

USIGCB Fund

31 Dec 2016

US$

(24,978)(11,444)(4,952)

(43,816)––––––––––––––

(85,190)––––––––––––––––––––––––––––

Company Total

31 Dec 2016

US$

(651,767)(113,843)(42,947)

(496,724)––––––––––––––

(1,305,281)––––––––––––––––––––––––––––




8. Redeemable shares

Authorised

The authorised share capital of the Company is 500,000,000,000.00 shares of no par value.

Subscriber shares

As at financial year end two subscriber shares of €1 each were in issue. These subscriber shares were issued for the purposesof the incorporation of the Company, with one subscriber share each being legally and beneficially owned by Barings (U.K.)Limited and Barings LLC. The subscriber shares do not form part of the Net Asset Value of the Company and are thus disclosedin the financial statements by way of this note only.

Redeemable shares

The issued redeemable share capital is at all times equal to the Net Assets attributable to holders of redeemable participatingshares. Redeemable participating shares are redeemable at the shareholders’ option and are classified as financial liabilities.

The Company’s capital is represented by the redeemable participating shares outstanding. The Company has an externallyimposed capital requirement as it is required to maintain a minimum capital of €300,000.

Shareholders may request that shares of a Sub-Fund be redeemed on any dealing day by completing and submitting aredemption application to the Administrator to arrive no later than the redemption cut-off time in order to be effective on adealing day.

The Directors may determine to apply an anti-dilution levy to net subscriptions/redemptions on any dealing day. An anti-dilutionlevy is a provision for market spreads (the difference between the prices at which assets are valued and/or bought or sold),duties and charges and other dealing costs relating to the acquisition or disposal of assets of a Sub-Fund in the event of receiptof subscription requests. There was an anti-dilution levy applied during the financial year ended 31 December 2017 amountingto US$558,406 (31 December 2016: US$1,551,343).

A summary of the shareholder activity during the current year and the previous year is detailed hereunder:

Financial year ended 31 December 2017

GSSB Fund

Balance at 1 January 2017IssuedRedeemed

Balance at 31 December 2017



Class S USD

Distribution

No. of shares

675,000--

––––––––––––––675,000

––––––––––––––––––––––––––––

Class A GBP

Distribution

No. of shares

346,089163,568

(135,122)––––––––––––––

374,535––––––––––––––––––––––––––––

Class B EUR

Distribution

No. of shares

5,15022,927(5,150)

––––––––––––––22,927

––––––––––––––––––––––––––––

Class B GBP

Accumulating

No. of shares

5833,401(800)

––––––––––––––3,184

––––––––––––––––––––––––––––

Class B USD

Accumulating

No. of shares

20,9524,357

(19,814)––––––––––––––

5,495––––––––––––––––––––––––––––

Class F EUR

Accumulating

No. of shares

130,65131,315

(65,341)––––––––––––––

96,625––––––––––––––––––––––––––––

Class D EUR

Accumulating

No. of shares

291,36051,497

(171,460)––––––––––––––

171,397––––––––––––––––––––––––––––

Class F GBP

Accumulating

No. of shares

2,695--

––––––––––––––2,695

––––––––––––––––––––––––––––

Class D USD

Accumulating

No. of shares

216,92611,755(6,467)

––––––––––––––222,214

––––––––––––––––––––––––––––

Class D EUR

Distribution

No. of shares

32,000--

––––––––––––––32,000

––––––––––––––––––––––––––––

Class B USD

Distribution

No. of shares

11,2965,478

(12,962)––––––––––––––

3,812––––––––––––––––––––––––––––

Class B EUR

Accumulating

No. of shares

651885

-––––––––––––––

1,536––––––––––––––––––––––––––––

Class D USD

Distribution

No. of shares

24,954--

––––––––––––––24,954

––––––––––––––––––––––––––––

Class E USD

Distribution

No. of shares

5,3258,679

-––––––––––––––

14,004––––––––––––––––––––––––––––




8. Redeemable shares (continued)

Financial year ended 31 December 2017 (continued)



EHYB Fund







GHYB Fund



Class E EUR

Distribution

No. of shares

1,500315

(315)––––––––––––––

1,500––––––––––––––––––––––––––––

Class C EUR

Accumulating

No. of shares

-116,303

(314)––––––––––––––

115,989––––––––––––––––––––––––––––

Class C GBP

Accumulating

No. of shares

-9,212(447)

––––––––––––––8,765

––––––––––––––––––––––––––––

Class C SEK

Accumulating

No. of shares

-444,652(15,117)

––––––––––––––429,535

––––––––––––––––––––––––––––

Class C USD

Accumulating

No. of shares

-72,378(1,470)

––––––––––––––70,908

––––––––––––––––––––––––––––

Class E GBP

Accumulating

No. of shares

-1,250

-––––––––––––––

1,250––––––––––––––––––––––––––––

Class A EUR

Accumulating

No. of shares

2,440,716-

(2,000)––––––––––––––

2,438,716––––––––––––––––––––––––––––

Class C EUR

Accumulating

No. of shares

2,014--

––––––––––––––2,014

––––––––––––––––––––––––––––

Class D EUR

Distribution

No. of shares

55,0004,810

-––––––––––––––

59,810––––––––––––––––––––––––––––

Class S EUR

Accumulating

No. of shares

6,207--

––––––––––––––6,207

––––––––––––––––––––––––––––

Class E EUR

Accumulating

No. of shares

32,29546,695

(62,565)––––––––––––––

16,425––––––––––––––––––––––––––––

Class A GBP

Distribution

No. of shares

56,500-

(32,500)––––––––––––––

24,000––––––––––––––––––––––––––––

Class A USD

Accumulating

No. of shares

378,448-

(235,178)––––––––––––––

143,270––––––––––––––––––––––––––––

Class C GBP

Accumulating

No. of shares

-17,500

(17,500)––––––––––––––

-––––––––––––––––––––––––––––

Class C USD

Accumulating

No. of shares

-22,751

(22,751)––––––––––––––

-––––––––––––––––––––––––––––

Class D EUR

Accumulating

No. of shares

29,408172,745(27,400)

––––––––––––––174,753

––––––––––––––––––––––––––––

Class B EUR

Accumulating

No. of shares

-716(22)

––––––––––––––694

––––––––––––––––––––––––––––

Class B GBP

Accumulating

No. of shares

-174,644(28,804)

––––––––––––––145,840

––––––––––––––––––––––––––––

Class B GBP

Distribution

No. of shares

-137,984(10,558)

––––––––––––––127,426

––––––––––––––––––––––––––––

Class B USD

Accumulating

No. of shares

1,115,2901,074,437(823,442)

––––––––––––––1,366,285

––––––––––––––––––––––––––––

Class B EUR

Accumulating

No. of shares

1,715,349121,257

(685,251)––––––––––––––

1,151,355––––––––––––––––––––––––––––

Class C USD

Accumulating

No. of shares

341,034397,789

(120,264)––––––––––––––

618,559––––––––––––––––––––––––––––

Class C EUR

Accumulating

No. of shares

15,00071,092

(81,473)––––––––––––––

4,619––––––––––––––––––––––––––––

Class D USD

Accumulating

No. of shares

47,42684,724

(54,026)––––––––––––––

78,124––––––––––––––––––––––––––––

Class E EUR

Accumulating

No. of shares

6,40727,771(7,864)

––––––––––––––26,314

––––––––––––––––––––––––––––

Class F USD

Accumulating

No. of shares

4,9371,842

(41)––––––––––––––

6,738––––––––––––––––––––––––––––

Class D USD

Accumulating

No. of shares

-1,500

-––––––––––––––

1,500––––––––––––––––––––––––––––

Class E CHF

Accumulating

No. of shares

-3,880(610)

––––––––––––––3,270

––––––––––––––––––––––––––––

Class E GBP

Accumulating

No. of shares

-11,510

(300)––––––––––––––

11,210––––––––––––––––––––––––––––

Class E USD

Accumulating

No. of shares

-16,153(1,907)

––––––––––––––14,246

––––––––––––––––––––––––––––










EMCB Fund



Class F EUR

Accumulating

No. of shares

285,84481,209

(171,301)––––––––––––––

195,752––––––––––––––––––––––––––––

Class F GBP

Accumulating

No. of shares

18,456115,506

(8,404)––––––––––––––

125,558––––––––––––––––––––––––––––

Class D USD

Distribution

No. of shares

48104,758

(49)––––––––––––––

104,757––––––––––––––––––––––––––––

Class A EUR

Accumulating

No. of shares

619,23321,248

(118,792)––––––––––––––

521,689––––––––––––––––––––––––––––

Class A USD

Accumulating

No. of shares

485,433-

(143,964)––––––––––––––

341,469––––––––––––––––––––––––––––

Class D GBP

Accumulating

No. of shares

9,2901,878

-––––––––––––––

11,168––––––––––––––––––––––––––––

Class B GBP

Accumulating

No. of shares

-4,413

-––––––––––––––

4,413––––––––––––––––––––––––––––

Class B USD

Accumulating

No. of shares

1,50019,370

-––––––––––––––

20,870––––––––––––––––––––––––––––

Class A GBP

Accumulating

No. of shares

1,960--

––––––––––––––1,960

––––––––––––––––––––––––––––

Class A USD

Accumulating

No. of shares

997,740-

(169,326)––––––––––––––

828,414––––––––––––––––––––––––––––

Class A SEK

Distribution

No. of shares

100,000--

––––––––––––––100,000

––––––––––––––––––––––––––––

Class A USD

Distribution

No. of shares

9015,223(109)

––––––––––––––6,015

––––––––––––––––––––––––––––

Class C AUD

Accumulating

No. of shares

-350,118

-––––––––––––––

350,118––––––––––––––––––––––––––––

Class C CHF

Accumulating

No. of shares

-645,543

-––––––––––––––

645,543––––––––––––––––––––––––––––

Class D EUR

Accumulating

No. of shares

-285,030(99,327)

––––––––––––––185,703

––––––––––––––––––––––––––––

Class D EUR

Distribution

No. of shares

-10,000

-––––––––––––––

10,000––––––––––––––––––––––––––––

Class E CHF

Accumulating

No. of shares

-17

-––––––––––––––

17––––––––––––––––––––––––––––

Class E EUR

Distribution

No. of shares

-92,062

(200)––––––––––––––

91,862––––––––––––––––––––––––––––

Class E USD

Accumulating

No. of shares

-11,948(1,000)

––––––––––––––10,948

––––––––––––––––––––––––––––

Class E GBP

Accumulating

No. of shares

-13

-––––––––––––––

13––––––––––––––––––––––––––––

Class B CHF

Accumulating

No. of shares

-27,306

-––––––––––––––

27,306––––––––––––––––––––––––––––






EMLD Fund





GCB Fund*



EMDSD Fund



ASD Fund



*During the year, GCB Fund share classes changed names from Class D USD Accumulating and Class D USD Distribution to Class A USD Accumulating and Class A USDDistribution

Class A EUR

Accumulating

No. of shares

-411,101

(2,327)––––––––––––––

408,774––––––––––––––––––––––––––––

Class A EUR

Distribution

No. of shares

-26,205

(20)––––––––––––––

26,185––––––––––––––––––––––––––––

Class A GBP

Accumulating

No. of shares

940--

––––––––––––––940

––––––––––––––––––––––––––––

Class A GBP

Distribution

No. of shares

-8-

––––––––––––––8

––––––––––––––––––––––––––––

Class A USD

Accumulating

No. of shares

2,857,7043,473,239

(1,073,847)––––––––––––––

5,257,096––––––––––––––––––––––––––––

Class B USD

Accumulating

No. of shares

-1,413,623

(1)––––––––––––––

1,413,622––––––––––––––––––––––––––––

Class B EUR

Accumulating

No. of shares

-534,113

(2,409)––––––––––––––

531,704––––––––––––––––––––––––––––

Class C EUR

Accumulating

No. of shares

-9-

––––––––––––––9

––––––––––––––––––––––––––––

Class C USD

Accumulating

No. of shares

-478,828

-––––––––––––––

478,828––––––––––––––––––––––––––––

Class D USD

Accumulating

No. of shares

-10

-––––––––––––––

10––––––––––––––––––––––––––––

Class D EUR

Accumulating

No. of shares

-9-

––––––––––––––9

––––––––––––––––––––––––––––

Class E SEK

Accumulating

No. of shares

-43,271

-––––––––––––––

43,271––––––––––––––––––––––––––––

Class A USD

Accumulating

No. of shares

4,055--

––––––––––––––4,055

––––––––––––––––––––––––––––

Class A USD

Distribution

No. of shares

397,065-

(155,236)––––––––––––––

241,829––––––––––––––––––––––––––––

Class S EUR

Accumulating

No. of shares

44,32735,985

(15,020)––––––––––––––

65,292––––––––––––––––––––––––––––

Class S USD

Accumulating

No. of shares

419,98793,533

-––––––––––––––

513,520––––––––––––––––––––––––––––

Class A USD

Accumulating

No. of shares

7,270-

(2,187)––––––––––––––

5,083––––––––––––––––––––––––––––

Class A USD

Distribution

No. of shares

195,560--

––––––––––––––195,560

––––––––––––––––––––––––––––

Class E USD

Accumulating

No. of shares

39,3861,577

(38,562)––––––––––––––

2,401––––––––––––––––––––––––––––

Class B USD

Accumulating

No. of shares

10,27690,905(2,328)

––––––––––––––98,853

––––––––––––––––––––––––––––

Class B SEK

Accumulating

No. of shares

41,030--

––––––––––––––41,030

––––––––––––––––––––––––––––

Class B CHF

Accumulating

No. of shares

-5,829(200)

––––––––––––––5,629

––––––––––––––––––––––––––––

Class B EUR

Accumulating

No. of shares

-37,016(3,391)

––––––––––––––33,625

––––––––––––––––––––––––––––






EMDBTR Fund



EMSD Fund



USHYB Fund



USIGCB Fund*



USHYBC Fund



*During the year, USIGCB Fund share classes changed names from Class D USD Accumulating and Class D GBP Unhedged Accumulating to Class A USD Accumulating and ClassA GBP Unhedged Accumulating.

Class A GBP

Accumulating

No. of shares

129,50464,009

(850)––––––––––––––

192,663––––––––––––––––––––––––––––

Class C GBP

Accumulating

No. of shares

1003,482(293)

––––––––––––––3,289

––––––––––––––––––––––––––––

Class C GBP

Distribution

No. of shares

2911,490(191)

––––––––––––––1,590

––––––––––––––––––––––––––––

Class C USD

Accumulating

No. of shares

-1,925

-––––––––––––––

1,925––––––––––––––––––––––––––––

Class A USD

Accumulating

No. of shares

3,836--

––––––––––––––3,836

––––––––––––––––––––––––––––

Class A USD

Distribution

No. of shares

624,077--

––––––––––––––624,077

––––––––––––––––––––––––––––

Class A NOK

Accumulating

No. of shares

-500,000

-––––––––––––––

500,000––––––––––––––––––––––––––––

Class A USD

Accumulating

No. of shares

4,894--

––––––––––––––4,894

––––––––––––––––––––––––––––

Class A USD

Distribution

No. of shares

195,720--

––––––––––––––195,720

––––––––––––––––––––––––––––

Class A USD

Accumulating

No. of shares

2,392,93322,511

(998,388)––––––––––––––

1,417,056––––––––––––––––––––––––––––

Class A EUR

Accumulating

No. of shares

27,034-

(27,034)––––––––––––––

-––––––––––––––––––––––––––––

Class A GBP

Accumulating

No. of shares

33,585-

(33,585)––––––––––––––

-––––––––––––––––––––––––––––

Class D USD

Accumulating

No. of shares

32,33121,775(2,840)

––––––––––––––51,266

––––––––––––––––––––––––––––

Class A USD

Distribution

No. of shares

-21,699

(12,087)––––––––––––––

9,612––––––––––––––––––––––––––––

Class E USD

Accumulating

No. of shares

-37,006

-––––––––––––––

37,006––––––––––––––––––––––––––––

Class A GBP

Distribution

No. of shares

-100

-––––––––––––––

100––––––––––––––––––––––––––––

Class A USD

Accumulating

No. of shares

500--

––––––––––––––500

––––––––––––––––––––––––––––

Class A GBP

Unhedged

Accumulating

No. of shares

1,642,272190,704

(4,261)––––––––––––––

1,828,715––––––––––––––––––––––––––––

Class X USD

Accumulating

No. of shares

-1,514,922

(39,399)––––––––––––––

1,475,523––––––––––––––––––––––––––––

Class X USD

Distribution

No. of shares

-70,250(3,182)

––––––––––––––67,068

––––––––––––––––––––––––––––






USSDHYBC Fund



Financial year ended 31 December 2016

GSSB Fund







EHYB Fund



Class S USD

Distribution

No. of shares

675,000--

––––––––––––––675,000

––––––––––––––––––––––––––––

Class A GBP

Distribution

No. of shares

409,68636,234

(99,831)––––––––––––––

346,089––––––––––––––––––––––––––––

Class B EUR

Distribution

No. of shares

6,9121,018

(2,780)––––––––––––––

5,150––––––––––––––––––––––––––––

Class B GBP

Accumulating

No. of shares

325583

(325)––––––––––––––

583––––––––––––––––––––––––––––

Class B USD

Accumulating

No. of shares

19,43615,542

(14,026)––––––––––––––

20,952––––––––––––––––––––––––––––

Class F EUR

Accumulating

No. of shares

130,651--

––––––––––––––130,651

––––––––––––––––––––––––––––

Class X USD

Accumulating

No. of shares

-820,003(13,397)

––––––––––––––806,606

––––––––––––––––––––––––––––

Class X USD

Distribution

No. of shares

-31,562

(248)––––––––––––––

31,314––––––––––––––––––––––––––––

Class D EUR

Accumulating

No. of shares

479,683135,993

(324,316)––––––––––––––

291,360––––––––––––––––––––––––––––

Class F GBP

Accumulating

No. of shares

4,205-

(1,510)––––––––––––––

2,695––––––––––––––––––––––––––––

Class D USD

Accumulating

No. of shares

9,632210,673

(3,379)––––––––––––––

216,926––––––––––––––––––––––––––––

Class D EUR

Distribution

No. of shares

32,000--

––––––––––––––32,000

––––––––––––––––––––––––––––

Class B USD

Distribution

No. of shares

-11,296

-––––––––––––––

11,296––––––––––––––––––––––––––––

Class B EUR

Accumulating

No. of shares

-651

-––––––––––––––

651––––––––––––––––––––––––––––

Class D USD

Distribution

No. of shares

40,0004,954

(20,000)––––––––––––––

24,954––––––––––––––––––––––––––––

Class E USD

Distribution

No. of shares

71,26458,073

(124,012)––––––––––––––

5,325––––––––––––––––––––––––––––

Class E EUR

Distribution

No. of shares

1,500--

––––––––––––––1,500

––––––––––––––––––––––––––––

Class D SEK

Distribution

No. of shares

164,56587,983

(252,548)––––––––––––––

-––––––––––––––––––––––––––––

Class A EUR

Accumulating

No. of shares

-2,455,471

(14,755)––––––––––––––

2,440,716––––––––––––––––––––––––––––

Class C EUR

Accumulating

No. of shares

-2,150(136)

––––––––––––––2,014

––––––––––––––––––––––––––––

Class D EUR

Distribution

No. of shares

-55,000

-––––––––––––––

55,000––––––––––––––––––––––––––––

Class S EUR

Accumulating

No. of shares

308,486-

(302,279)––––––––––––––

6,207––––––––––––––––––––––––––––

Class E EUR

Accumulating

No. of shares

32,295--

––––––––––––––32,295

––––––––––––––––––––––––––––

Class A GBP

Distribution

No. of shares

25,38631,114

-––––––––––––––

56,500––––––––––––––––––––––––––––








GHYB Fund





EMCB Fund



EMLD Fund



Class A USD

Accumulating

No. of shares

22,917396,177(40,646)

––––––––––––––378,448

––––––––––––––––––––––––––––

Class D EUR

Accumulating

No. of shares

-29,408

-––––––––––––––

29,408––––––––––––––––––––––––––––

Class B USD

Accumulating

No. of shares

-1,115,290

-––––––––––––––

1,115,290––––––––––––––––––––––––––––

Class B EUR

Accumulating

No. of shares

-2,923,015

(1,207,666)––––––––––––––

1,715,349––––––––––––––––––––––––––––

Class C USD

Accumulating

No. of shares

-384,192(43,158)

––––––––––––––341,034

––––––––––––––––––––––––––––

Class C EUR

Accumulating

No. of shares

-15,000

-––––––––––––––

15,000––––––––––––––––––––––––––––

Class D USD

Accumulating

No. of shares

-67,426

(20,000)––––––––––––––

47,426––––––––––––––––––––––––––––

Class E EUR

Accumulating

No. of shares

-10,710(4,303)

––––––––––––––6,407

––––––––––––––––––––––––––––

Class F USD

Accumulating

No. of shares

4,937--

––––––––––––––4,937

––––––––––––––––––––––––––––

Class F USD

Distribution

No. of shares

352,776-

(352,776)––––––––––––––

-––––––––––––––––––––––––––––

Class F EUR

Accumulating

No. of shares

286,381-

(537)––––––––––––––

285,844––––––––––––––––––––––––––––

Class F GBP

Accumulating

No. of shares

4,13216,002(1,678)

––––––––––––––18,456

––––––––––––––––––––––––––––

Class D USD

Distribution

No. of shares

12,90079

(12,931)––––––––––––––

48––––––––––––––––––––––––––––

Class A EUR

Accumulating

No. of shares

560,84958,384

-––––––––––––––

619,233––––––––––––––––––––––––––––

Class A USD

Accumulating

No. of shares

465,004139,383

(118,954)––––––––––––––

485,433––––––––––––––––––––––––––––

Class D GBP

Accumulating

No. of shares

-9,290

-––––––––––––––

9,290––––––––––––––––––––––––––––

Class B USD

Accumulating

No. of shares

-1,500

-––––––––––––––

1,500––––––––––––––––––––––––––––

Class A GBP

Accumulating

No. of shares

1,960--

––––––––––––––1,960

––––––––––––––––––––––––––––

Class A USD

Accumulating

No. of shares

999,127-

(1,387)––––––––––––––

997,740––––––––––––––––––––––––––––

Class A SEK

Distribution

No. of shares

254,76110,998

(165,759)––––––––––––––

100,000––––––––––––––––––––––––––––

Class A USD

Distribution

No. of shares

1571,552(808)

––––––––––––––901

––––––––––––––––––––––––––––

Class A GBP

Accumulating

No. of shares

940--

––––––––––––––940

––––––––––––––––––––––––––––

Class A USD

Accumulating

No. of shares

1,499,9961,377,708

(20,000)––––––––––––––

2,857,704––––––––––––––––––––––––––––

Class E USD

Accumulating

No. of shares

5,000-

(5,000)––––––––––––––

-––––––––––––––––––––––––––––

Class E EUR

Accumulating

No. of shares

5,000-

(5,000)––––––––––––––

-––––––––––––––––––––––––––––






GCB Fund



EMDSD Fund



ASD Fund



EMDBTR Fund



EMSD Fund



Class B USD

Accumulating

No. of shares

-10,276

-––––––––––––––

10,276––––––––––––––––––––––––––––

Class B SEK

Accumulating

No. of shares

-41,030

-––––––––––––––

41,030––––––––––––––––––––––––––––

Class E USD

Accumulating

No. of shares

-40,610(1,224)

––––––––––––––39,386

––––––––––––––––––––––––––––

Class A USD

Accumulating

No. of shares

5,0832,187

-––––––––––––––

7,270––––––––––––––––––––––––––––

Class A USD

Distribution

No. of shares

195,560--

––––––––––––––195,560

––––––––––––––––––––––––––––

Class D USD

Accumulating

No. of shares

4,055--

––––––––––––––4,055

––––––––––––––––––––––––––––

Class D USD

Distribution

No. of shares

742,300-

(345,235)––––––––––––––

397,065––––––––––––––––––––––––––––

Class S EUR

Accumulating

No. of shares

-75,725

(31,398)––––––––––––––

44,327––––––––––––––––––––––––––––

Class S USD

Accumulating

No. of shares

416,67594,926

(91,614)––––––––––––––

419,987––––––––––––––––––––––––––––

Class S USD

Distribution

No. of shares

169,7524,201

(173,953)––––––––––––––

-––––––––––––––––––––––––––––

Class A GBP

Accumulating

No. of shares

-132,694

(3,190)––––––––––––––

129,504––––––––––––––––––––––––––––

Class C GBP

Accumulating

No. of shares

-100

-––––––––––––––

100––––––––––––––––––––––––––––

Class C GBP

Distribution

No. of shares

-291

-––––––––––––––

291––––––––––––––––––––––––––––

Class E EUR

Distribution

No. of shares

-2,500

(2,500)––––––––––––––

-––––––––––––––––––––––––––––

Class E GBP

Accumulating

No. of shares

-123,950

(123,950)––––––––––––––

-––––––––––––––––––––––––––––

Class A USD

Accumulating

No. of shares

3,836--

––––––––––––––3,836

––––––––––––––––––––––––––––

Class A USD

Distribution

No. of shares

624,077--

––––––––––––––624,077

––––––––––––––––––––––––––––

Class A USD

Accumulating

No. of shares

4,894--

––––––––––––––4,894

––––––––––––––––––––––––––––

Class A USD

Distribution

No. of shares

195,720--

––––––––––––––195,720

––––––––––––––––––––––––––––






USHYB Fund



USIGCB Fund



Distribution Shares

The Company intends to declare distributions out of the net investment income and, at the discretion of the Directors, netrealised and unrealised capital gains of the Sub-Fund attributable to the distribution shares on or about the last day of eachcalendar quarter. Such distributions will be paid to the shareholders of distribution shares of record of the Sub-Fund within 10business days thereof.

Each distribution declared by the Sub-Fund on the outstanding shares of the Sub-Fund will, at the election of each shareholder,be paid in cash or in additional shares of the Sub-Fund. This election should initially be made on a shareholder’s subscriptionagreement and may be changed upon written notice to the Sub-Fund at any time prior to the record date for a particulardistribution. If no election is made, all distribution distributions will be paid in the form of additional shares. Such reinvestmentwill be made at the Net Asset Value per share of the Sub-Fund as of the dealing day in respect of which such distributions aredeclared.

Upon the declaration of any distributions to the holders of shares of the Sub-Fund, the Net Asset Value per share of thedistribution shares of the Sub-Fund will be reduced by the amount of such distributions. Payment of the distributions shall bemade as indicated on a shareholder’s subscription agreement, as amended from time to time, to the address or accountindicated on the register of shareholders.

Any distribution paid on a share of the Sub-Fund that has not been claimed within six years of its declaration shall be forfeitedand shall be paid for the benefit of the Sub-Fund. No interest shall be paid on any distribution. Distributions paid during thefinancial year ended 31 December 2017 and financial year ended 31 December 2016 are detailed in Note 21.

Accumulation Shares

The Directors do not currently intend to declare any distributions in respect of the accumulation shares. Accordingly, netinvestment income on the Sub-Fund’s investments attributable to the accumulation shares is expected to be retained by theSub-Fund, which will result in an increase in the Net Asset Value per share of the accumulation shares.

The Directors nevertheless retain the right to declare distributions in respect of such net investment income on the Sub-Fund’sinvestments attributable to the accumulation tranche shares in their sole discretion. In the event that the Directors have agreedto declare distributions in respect of the accumulation tranche shares in the Sub-Fund, Shareholders will be notified in advanceof any such change in the distribution policy (including the date by which distributions will be paid and the method by whichdistributions will be paid) and full details will be disclosed in an updated Supplement.

Class A USD

Accumulating

No. of shares

-2,401,180

(8,247)––––––––––––––

2,392,933––––––––––––––––––––––––––––

Class A EUR

Accumulating

No. of shares

-27,034

-––––––––––––––

27,034––––––––––––––––––––––––––––

Class A GBP

Accumulating

No. of shares

-33,595

(10)––––––––––––––

33,585––––––––––––––––––––––––––––

Class D USD

Accumulating

No. of shares

-32,331

-––––––––––––––

32,331––––––––––––––––––––––––––––

Class D USD

Accumulating

No. of shares

-500

-––––––––––––––

500––––––––––––––––––––––––––––

Class D GBP

Unhedged

Accumulating

No. of shares

-1,724,855

(82,583)––––––––––––––

1,642,272––––––––––––––––––––––––––––





Share Rights

Each of the shares entitles the holder to attend and vote at meetings of the Company and of the Sub-Funds represented bythose shares. Each shareholder shall be entitled to such number of votes as shall be produced by dividing the aggregate NetAsset Value of that shareholder’s shareholding (expressed or converted in Base Currency, calculated as of the relevant recorddate and excluding, where appropriate, the impact of any Tranche Currency hedging) by one. Where a separate writtenresolution or general meeting of a particular Tranche is held, in such circumstances, the shareholder’s votes shall be calculatedby reference only to the Net Asset Value of each shareholder’s shareholding in that particular Tranche, as appropriate. Theholders of subscriber shares shall have one vote for each subscriber share held.

9. Operating expenses

Management fees (excl. re-imbursement)Administration feesAudit feesProfessional feesDirectors’ feesOther operating expenses

Gross expensesFund reimbursement

Net expenses



Net expenses

GSSB Fund

Year ended

31 Dec 2017

US$

(766,014)(127,278)(16,194)(26,579)(4,217)

(126,059)––––––––––––––

(1,066,341)-

––––––––––––––(1,066,341)

––––––––––––––––––––––––––––

EHYB Fund

Year ended

31 Dec 2017

€

(1,053,319)(217,853)(16,953)(35,147)(3,621)

(147,853)––––––––––––––

(1,474,746)-

––––––––––––––(1,474,746)

––––––––––––––––––––––––––––

GHYB Fund

Year ended

31 Dec 2017

US$

(2,302,292)(389,253)(19,158)(56,262)(4,217)

(204,456)––––––––––––––

2,975,638)-

––––––––––––––(2,975,638)

––––––––––––––––––––––––––––

EMCB Fund

Year ended

31 Dec 2017

US$

(741,002)(72,498)(16,193)(20,560)(4,217)

(70,230)––––––––––––––

(924,700)-

––––––––––––––(924,700)

––––––––––––––––––––––––––––

EMLD Fund

Year ended

31 Dec 2017

US$

(2,609,663)(268,382)(16,193)(42,088)(5,434)

(681,713)––––––––––––––

(3,623,473)-

––––––––––––––(3,623,473)

––––––––––––––––––––––––––––

GCB Fund

Year ended

31 Dec 2017

US$

(70,515)(25,775)(19,157)(14,883)(4,604)

(69,456)––––––––––––––

(204,390)87,362

––––––––––––––(117,028)

––––––––––––––––––––––––––––

EMDSD Fund

Year ended

31 Dec 2017

US$

(148,439)(22,162)(16,193)(14,173)(4,217)

(74,701)––––––––––––––

(279,885)50,679

––––––––––––––(229,206)

––––––––––––––––––––––––––––

ASD Fund

Year ended

31 Dec 2017

US$

(80,684)(34,917)(25,085)(15,600)(4,217)

(73,116)––––––––––––––

(233,619)93,158

––––––––––––––(140,461)

––––––––––––––––––––––––––––

EMDBTR Fund

Year ended

31 Dec 2017

US$

(577,205)(58,044)(16,193)(18,039)(4,217)

(186,717)––––––––––––––

(860,415)-

––––––––––––––(860,415)

––––––––––––––––––––––––––––

EMSD Fund

Year ended

31 Dec 2017

US$

(123,749)(14,519)(16,193)(13,492)(4,217)

(64,314)––––––––––––––

(236,484)57,742

––––––––––––––(178,742)

––––––––––––––––––––––––––––

USHYB Fund

Year ended

31 Dec 2017

US$

(680,038)(167,966)(19,157)(29,950)(4,217)

(78,960)––––––––––––––

(980,288)-

––––––––––––––(980,288)

––––––––––––––––––––––––––––




9. Operating expenses (continued)



Net expenses




Net expenses



Net expenses

USIGCB Fund

Year ended

31 Dec 2017

US$

(323,284)(145,455)(22,121)(27,307)(4,217)

(89,063)––––––––––––––

(611,447)47,173

––––––––––––––(564,274)

––––––––––––––––––––––––––––

USHYBC Fund*

Year ended

31 Dec 2017

US$

-(78,567)(16,120)(18,697)(3,913)

(50,546)––––––––––––––

(167,843)-

––––––––––––––(167,843)

––––––––––––––––––––––––––––

USSDHYBC Fund**

Year ended

31 Dec 2017

US$

-(40,252)(16,008)(14,054)(3,575)

(50,141)––––––––––––––

(124,030)-

––––––––––––––(124,030)

––––––––––––––––––––––––––––

Company Total

Year ended

31 Dec 2017

US$

(9,613,144)(1,691,244)

(253,122)(351,400)(59,571)

(1,986,548)––––––––––––––

(13,955,029)336,114

––––––––––––––(13,618,915)

––––––––––––––––––––––––––––

GSSB Fund

Year ended

31 Dec 2016

US$

(850,394)(160,637)(16,250)(38,461)(4,352)

(103,209)––––––––––––––

(1,173,303)-

––––––––––––––(1,173,303)

––––––––––––––––––––––––––––

EHYB Fund

Year ended

31 Dec 2016

€

(476,874)(122,384)(17,250)(43,362)(3,965)

(55,446)––––––––––––––

(719,281)-

––––––––––––––(719,281)

––––––––––––––––––––––––––––

GHYB Fund

Year ended

31 Dec 2016

US$

(1,544,220)(360,837)(19,004)(62,625)(4,352)

(57,375)––––––––––––––

(2,048,413)-

––––––––––––––(2,048,413)

––––––––––––––––––––––––––––

EMCB Fund

Year ended

31 Dec 2016

US$

(755,693)(70,920)(16,250)(43,906)(4,352)

(51,543)––––––––––––––

(942,664)-

––––––––––––––(942,664)

––––––––––––––––––––––––––––

EMLD Fund

Year ended

31 Dec 2016

US$

(898,394)(98,674)(16,250)(46,916)(4,353)

(402,166)––––––––––––––

(1,466,753)-

––––––––––––––(1,466,753)

––––––––––––––––––––––––––––

GCB Fund

Year ended

31 Dec 2016

US$

(103,536)(35,302)(19,004)(40,888)(4,353)

(46,165)––––––––––––––

(249,248)91,979

––––––––––––––(157,269)

––––––––––––––––––––––––––––

EMDSD Fund

Year ended

31 Dec 2016

US$

(101,168)(17,148)(24,512)(37,387)(4,353)

(49,848)––––––––––––––

(234,416)73,418

––––––––––––––(160,998)

––––––––––––––––––––––––––––

ASD Fund

Year ended

31 Dec 2016

US$

(103,574)(47,484)(16,250)(40,296)(4,353)

(48,176)––––––––––––––

(260,133)81,843

––––––––––––––(178,290)

––––––––––––––––––––––––––––

EMDBTR Fund

Year ended

31 Dec 2016

US$

(550,129)(51,982)(16,250)(40,502)(4,353)

(141,763)––––––––––––––

(804,979)-

––––––––––––––(804,979)

––––––––––––––––––––––––––––

EMSD Fund

Year ended

31 Dec 2016

US$

(118,524)(11,966)(16,250)(37,320)(4,352)

(31,179)––––––––––––––

(219,591)49,758

––––––––––––––(169,833)

––––––––––––––––––––––––––––

USHYB Fund

Year ended

31 Dec 2016

US$

(466,327)(120,593)(19,004)(47,667)(3,719)

(52,448)––––––––––––––

(709,758)-

––––––––––––––(709,758)

––––––––––––––––––––––––––––

USIGCB Fund

Year ended

31 Dec 2016

US$

(132,004)(57,938)(21,758)(32,621)(2,066)

(28,160)––––––––––––––

(274,547)-

––––––––––––––(274,547)

––––––––––––––––––––––––––––

Company Total

Year ended

31 Dec 2016

US$

(6,149,325)(1,168,311)

(219,785)(516,363)(49,324)

(1,073,118)––––––––––––––

(9,176,226)296,998

––––––––––––––(8,879,228)

––––––––––––––––––––––––––––




9. Operating expenses (continued)

The below audit fees are exclusive of VAT.

The table below provides a breakdown of the total fee (inclusive of out of pocket expenses) accrued to the statutory auditorduring the financial year ended 31 December 2017.

Auditor’s fees:Audit work – statutory audit

– audit related services

Non audit work – taxation services– other consultancy

Total fee accrued to statutory auditor

The below audit fees are exclusive of VAT.

The table below provides a breakdown of the total fee (inclusive of out of pocket expenses) accrued to the statutory auditorduring the financial year ended 31 December 2016.

Auditor’s fees:Audit work – statutory audit

– audit related services

Non audit work – taxation services– other consultancy

Total fee accrued to statutory auditor

10. Related party transactions

Investment by Ultimate Parent of Investment Managers

Barings Global Strategies Fund and Barings (U.K.) Limited hold approximately 4% of shares in issuance of the GSSB Fund asat 31 December 2017 (31 December 2016: approximately 8% for Barings (U.K.) Limited and Barings Multi Strategy SterlingFund).

Barings Global Strategies Fund, Barings LLC and Barings (U.K.) Limited hold 3%, of the shares in issuance of the GHYB Fundas at 31 December 2017 (31 December 2016: 6% for Barings Global Strategies Fund, Barings LLC and Barings (U.K.) Limited).

Massachusetts Mutual Life Insurance Company (the ultimate parent company of Barings (U.K.) Limited) and Barings (U.K.)Limited, together hold approximately 0% of the shares in issuance of the EMLD Fund as at 31 December 2017. (31 December2016: 35%)

At 31 December 2017 the following 4 Sub-Funds will be consolidated with Barings LLC due to Barings material holdings ineach:• Barings Global Investment Grade Corporate Bond Fund• Barings Emerging Markets Debt Short Duration Fund• Barings Emerging Markets Debt Blended Total Return Fund• Barings Emerging Markets Sovereign Debt Fund

Company Total

Year ended

31 Dec 2017

US$

(253,122)-

(5,876)-

––––––––––––––(258,998)

––––––––––––––––––––––––––––

Company Total

Year ended

31 Dec 2016

US$

(219,785)-

(6,996)-

––––––––––––––(226,781)

––––––––––––––––––––––––––––




10. Related party transactions (continued)

Under US GAAP Massachusetts Mutual Life Insurance Company (the “Ultimate Parent”) is the Ultimate Parent of the above 4Sub-Funds. The Ultimate Parent is incorporated in the United States. Copies of the group financial statements can be obtainedfrom the company secretary or from MassMutual Financial Group, 1295 State Street, Springfield, MA 01111.

Massachusetts Mutual Life Insurance Company (the ultimate parent company of Barings (U.K.) Limited), Barings LLC andBarings (U.K.) Limited, together hold approximately 87% of the shares in issuance of the EMCB Fund as at 31 December 2017(31 December 2016: 91%).

Barings LLC holds 100% of shares in issuance of GCB as at 31 December 2017 (31 December 2016: 100%).

Barings LLC holds 53% of shares in issuance of EMDSD as at 31 December 2017 (31 December 2016: 68%).

Barings LLC holds 47% of shares in issuance of EMDBTR as at 31 December 2017 (31 December 2016: 83%).

Barings LLC holds 100% of shares in issuance of EMSD as at 31 December 2017 (31 December 2016: 100%).

Massachusetts Mutual Life Insurance Company holds 38% of shares in issuance of USHYB as at 31 December 2017 (31December 2016: 42%).

Transactions with entities with significant influence

Investment Managers

Barings (U.K.) Limited and Barings LLC each own one subscriber share in the Company.

The Company has appointed Barings (U.K.) Limited, an investment management company incorporated in the United Kingdomand Barings LLC, an investment management company incorporated in the United States as Investment Managers to the GSSBFund, GHYB Fund, EMCB Fund, EMLD Fund, GCB Fund, EMDSD Fund, ASD Fund, EMDBTR Fund, EMSD Fund, USHYB Fund,USIGCB Fund, USHYBC Fund and USSDHYBC Fund. The Company has appointed Barings (U.K.) Limited as InvestmentManager to the EHYB Fund. Barings (U.K.) Limited is a subsidiary of Barings LLC.

The Investment Management fee percentages per annum of each Fund’s Net Asset Value are stated in each Funds supplementto the prospectus.

The following note refers to the Investment Managers but does not distinguish between them. The Investment Managers’ feeswill accrue daily and be payable monthly in arrears.

The table below provides the investment management fees charged during the financial year ended 31 December 2017 and31 December 2016:

Fund 31-Dec-17 31-Dec-16

GSSB US$766,014 US$850,394EHYB €1,053,319 €476,874GHYB US$2,302,292 US$1,544,220EMCB US$741,002 US$755,693EMLD US$2,609,663 US$898,394GCB US$70,515 US$103,536EMDSD US$148,439 US$101,168ASD US$80,684 US$103,574EMDBTR US$577,205 US$550,129EMSD US$123,749 US$118,524USHYB US$680,038 US$466,327USIGCB US$323,284 US$132,004USHYBC - -USSDHYBC - -





Investment Managers (continued)

The table below provides the investment management fees which were payable as at 31 December 2017 and 31 December2016.

Fund 31-Dec-17 31-Dec-16

GSSB US$78,237 US$66,578EHYB €91,368 €72,669GHYB US$233,163 US$156,544EMCB US$52,413 US$65,170EMLD US$404,455 US$118,565GCB US$4,779 US$5,998EMDSD US$13,875 US$10,553ASD US$8,014 US$6,566EMDBTR US$49,285 US$47,968EMSD US$10,911 US$9,915USHYB US$45,572 US$62,436USIGCB US$29,744 US$24,978USHYBC US$7,911 -USSDHYBC US$4,242 -

As part of the investment management agreement, certain expenses of the Fund are capped at 20 bps with the exception ofGCB Fund, ASD Fund and USIGCB fund which are capped at 10 bps, of the net assets attributable to holders of redeemableparticipating shares, thus resulting in an expense reimbursement from the Investment Managers. The management feereimbursement for the financial year and the balance outstanding at the financial year ended 31 December 2017 and 31December 2016 was as follows:

Financial year ended 31 Dec 2017

Management fee reimbursement

Balance outstanding


Balance outstanding


Balance outstanding

Financial year ended 31 Dec 2016


Balance outstanding


Balance outstanding

GSSB Fund

US$

-––––––––––––––

-

EHYB Fund

€

-––––––––––––––

-

GHYB Fund

US$

-––––––––––––––

-

EMCB Fund

US$

-––––––––––––––

-

EMLD Fund

US$

-––––––––––––––

-

GCB Fund

US$

87,362––––––––––––––

10,640

EMDSD Fund

US$

50,679––––––––––––––

5,017

ASD Fund

US$

93,158––––––––––––––

10,540

EMDBTR Fund

US$

-––––––––––––––

-

EMSD Fund

US$

57,742––––––––––––––

7,084

USHYB Fund

US$

-––––––––––––––

-

USIGCB Fund

US$

47,173––––––––––––––

5,953

USHYBC Fund

US$

-––––––––––––––

-

USSDHYBC Fund

US$

-––––––––––––––

-

Company Total

US$

336,114––––––––––––––

39,234

GSSB Fund

US$

-––––––––––––––

-

EHYB Fund

€

-––––––––––––––

-

GHYB Fund

US$

-––––––––––––––

-

EMCB Fund

US$

-––––––––––––––

-

EMLD Fund

US$

-––––––––––––––

-

GCB Fund

US$

91,979––––––––––––––

7,954

EMDSD Fund

US$

73,418––––––––––––––

5,815

ASD Fund

US$

81,843––––––––––––––

8,826

EMDBTR Fund

US$

-––––––––––––––

-

EMSD Fund

US$

49,758––––––––––––––

4,856

USHYB Fund

US$

-––––––––––––––

-

USIGCB Fund

US$

-––––––––––––––

-

Company Total

US$

296,998––––––––––––––

27,451





Directors’ relationships

Mr. Peter Clark and Mr. Julian Swayne are managing directors of Barings (U.K.) Limited, the Investment Manager. Mr. TimothySchulze is a managing director of Barings LLC, also an Investment Manager.

For the financial year ended 31 December 2017 and the financial year ended 31 December 2016, these Directors waived theirDirectors’ fees. The remaining Directors earned Directors’ fees as outlined in Note 9.

11. Significant agreements and fees

The Company has appointed Barings (U.K.) Limited, Barings Australia Pty Limited, Barings Securities LLC, Baring AssetManagement Limited, Baring International Fund Managers (Ireland) Limited, Baring SICE (Taiwan) Limited, Baring France SAS,Baring Asset Management GmbH, Baring Asset Management Switzerland S.a r.l., Baring Asset Management (Japan) Limitedand Baring Asset Management (Asia) Limited as Distributors.

There were no distribution fees for the financial year ended 31 December 2017 (31 December 2016: nil).

Administration, Depositary and Operating fees

The aggregate fees and expenses of the Administrator and Depositary which shall accrue daily and be payable monthly inarrears out of the assets of the Sub-Funds will not exceed 0.20% (except for GCB, ASD and USIGCB which is 0.10%) perannum of the Net Asset Value of the relevant Sub-Fund as detailed in the relevant Supplement of the Prospectus. Please referto the Investment Manager’s disclosure above for actions taken if the combined expenses are above or below 0.20% (exceptfor GCB, ASD and USIGCB which is 0.10%) per annum of the Net Asset Value of the relevant Sub-Fund.

Administrator fees of US$1,691,244 have been charged for the financial year ended 31 December 2017 (31 December 2016:US$1,168,911), of which US$164,286 was still outstanding as at 31 December 2017 (31 December 2016: US$96,147).

Depositary fees of US$285,506 have been charged for the financial year ended 31 December 2017 (31 December 2016:US$175,820), of which US$Nil is still outstanding as at 31 December 2017 (31 December 2016: US$18,519).

Directors’ fees

The total Directors’ fees are disclosed in Note 9. Directors’ fees of US$59,571 (31 December 2016: US$49,326) have beencharged for the financial year of which US$44,423 is still outstanding as at 31 December 2017 (31 December 2016:US$17,146). All of these fees were emoluments in respect of services to the Company. The listing of the members of the Boardof Directors is shown on page 2.

Transaction costs

During the financial year ended 31 December 2017 and 31 December 2016, the Sub-Funds incurred transaction costs in thepurchase and sale of investments as follows:

Fund 2017 2016

GSSB - -EHYB - -GHYB - -EMCB US$1,206 US$4,154EMLD US$8,262 US$3,630GCB US$3,127 US$5,141EMDSD - -ASD US$6,204 US$5,096EMDBTR US$2,145 US$2,392EMSD US$100 US$14USHYB - -USIGCB US$12,267 -USHYBC - -USSDHYBC - -

Due to operational challenges in extracting the transaction costs on the purchase and sale of forward foreign currencyexchange contracts, transaction costs on these instruments cannot be identified separately in this note. Purchases and salestransaction costs are included in “Realised gain/(loss) on investments” in the Statement of Comprehensive Income.




12. Fair value hierarchy

In accordance with IFRS 13 the Company classifies fair value measurements using a fair value hierarchy that reflects thesignificance of the inputs used in making the measurements.

The fair value hierarchy has the following levels:

• Level 1 - Quoted market price in an active market for an identical instrument.

• Level 2 - Valuation techniques based on observable inputs. This category includes instruments valued using: quotedmarket prices in active markets for similar instruments; quoted prices for similar instruments in markets that areconsidered less than active; or other valuation techniques where all significant inputs are directly or indirectly observablefrom market data.

• Level 3 - Valuation techniques using significant unobservable inputs. This category includes all instruments where thevaluation technique includes inputs not based on observable data and the unobservable inputs could have a significantimpact on the instrument’s valuation. This category includes instruments that are valued based on quoted prices forsimilar instruments where significant unobservable adjustments or assumptions are required to reflect differencesbetween the instruments.

The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is determined on thebasis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose, the significanceof an input is assessed against the fair value measurement.

If a fair value measurement uses observable inputs that require significant adjustment based on observable inputs, thatmeasurement is a Level 3 measurement. Assessing the significance of a particular input to the fair value measurement in itsentirety requires judgement, considering factors specific to the asset or liability.

The determination of what constitutes “observable” requires significant judgement by the Company. The Company considersobservable data to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, notproprietary and provided by independent sources that are actively involved in the relevant market. Single broker quotes andInvestment Manager priced assets are classified as Level 2 holdings because the inputs into the price supplied by the brokersand Investment Managers are observable, for example, rate yield, industry classification and credit rating. The InvestmentManagers review the prices independently received as single broker quotes and ensures that they are in line with expectations.

The following tables analyse within the fair value hierarchy the Funds’ financial assets and liabilities measured at fair value at31 December 2017:

Total

GSSB Fund Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets

Designated at fair value through profit or loss:Investments 3,501,340 225,132,746 1,739,029 230,373,115

Held for trading:Forward foreign currency exchange contracts - 1,425,017 - 1,425,017

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total 3,501,340 226,557,763 1,739,029 231,798,132

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Held for trading:Forward foreign currency exchange contracts - (925,391) - (925,391)

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - (925,391) - (925,391)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––




12. Fair value hierarchy (continued)

Total

EHYB Fund Level 1 Level 2 Level 3 Fair Value

€ € € €

Assets

Designated at fair value through profit or loss:Investments - 347,409,911 - 347,409,911


–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - 350,423,541 - 350,423,541

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities


–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - (703,059) - (703,059)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Total

GHYB Fund Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets

Designated at fair value through profit or loss:Investments 5,000,000 688,678,936 690,664 694,369,600


–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total 5,000,000 695,729,547 690,664 701,420,211

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Held for trading:Forward foreign currency exchange contracts - (1,286,715) - (1,286,715)

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - (1,286,715) - (1,286,715)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––





Total

EMCB Fund Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets


Held for trading:Forward foreign currency exchange contracts - 36,405 - 36,405Futures 3,226 - - 3,226Swaps - 8,308 - 8,308

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total 3,226 96,403,697 - 96,406,923

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Held for trading:Forward foreign currency exchange contracts - (67,745) - (67,745)Futures (25,557) - - (25,557)

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total (25,557) (67,745) - (93,302)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Total

EMLD Fund Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets


Held for trading:Forward foreign currency exchange contracts - 16,497,549 - 16,497,549Swaps - 695,114 - 695,114

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - 864,895,939 - 864,895,939

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Held for trading:Forward foreign currency exchange contracts - (19,181,520) - (19,181,520)Swaps - (1,242,859) - (1,242,859)

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - (20,424,379) - (20,424,379)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––





Total

GCB Fund Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets


Held for trading:Futures 4,703 - - 4,703

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total 4,703 25,933,088 - 25,937,791

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities


–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total (13,971) (95,054) - (109,025)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Total

EMDSD Fund Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets


Held for trading:Forward foreign currency exchange contracts - 86,216 - 86,216

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - 35,297,239 - 35,297,239

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities


–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - (21,149) - (21,149)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––





Total

ASD Fund Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets

Designated at fair value through profit or loss:Investments - 60,215,934 384,898 60,600,832

Held for trading:Swaptions - 218,000 - 218,000Forward foreign currency exchange contracts - 120,976 - 120,976Futures 65,477 - - 65,477

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total 65,477 60,554,910 384,898 61,005,285

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Held for trading:Swaps - (48,049) - (48,049)Futures (24,410) - - (24,410)

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total (24,410) (48,049) - (72,459)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Total

EMDBTR Fund Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets


Held for trading:Forward foreign currency exchange contracts - 1,797,219 - 1,797,219Swaps - 296,098 - 296,098

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - 107,765,581 - 107,765,581

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Held for trading:Forward foreign currency exchange contracts - (2,200,307) - (2,200,307)Swaps - (577,726) - (577,726)Futures (19,883) - - (19,883)

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total (19,883) (2,778,033) - (2,797,916)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––





Total

EMSD Fund Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets


Held for trading:Forward foreign currency exchange contracts - 20,211 - 20,211Futures 4,679 - - 4,679Swaps - 27,420 - 27,420

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total 4,679 23,086,640 - 23,091,319

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Held for trading:Forward foreign currency exchange contracts - (92,463) - (92,463)Swaps - (118,355) (118,355)

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - (210,818) - (210,818)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Total

USHYB Fund Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets

Designated at fair value through profit or loss:Investments - 182,842,534 731,526 183,574,060

Held for trading:Forward foreign currency exchange contracts - 128 - 128

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - 182,842,662 731,526 183,574,188

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Held for trading:Forward foreign currency exchange contracts - (136) - (136)

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - (136) - (136)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––





Total

USIGCB Fund Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets



–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total 44,289 246,886,735 - 246,931,024

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Held for trading:Futures (28,963) - - (28,963)

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total (28,963) - - (28,963)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Total

USHYBC Fund* Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets


–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - 159,651,533 - 159,651,533

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

*This Sub-Fund launched on 18 January 2017, therefore there are no comparative figures.

Total

USSDHYBC Fund* Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets


–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - 82,830,780 - 82,830,780

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

*This Sub-Fund launched on 15 February 2017, therefore there are no comparative figures.





The following tables analyse within the fair value hierarchy the Funds’ financial assets and liabilities measured at fair value at31 December 2016:

Total

GSSB Fund Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets

Designated at fair value through profit or loss:Investments 1,550,000 198,066,876 - 199,616,876


–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total 1,550,000 200,592,846 - 202,142,846

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities


–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - (3,387,967) - (3,387,967)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Total

EHYB Fund Level 1 Level 2 Level 3 Fair Value

€ € € €

Assets



–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total 1,998,345 308,927,020 - 310,925,365

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Held for trading:Forward foreign currency exchange contracts - (1,110,343) - (1,110,343)Futures - - - -

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - (1,110,343) - (1,110,343)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Total

GHYB Fund Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets



–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total 17,490,000 525,975,537 - 543,465,537

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities


–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - (8,061,041) - (8,061,041)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––





Total

EMCB Fund Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets


Held for trading:Forward foreign currency exchange contracts - 152,202 - 152,202Swaps - 45,750 - 45,750

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - 104,058,984 - 104,058,984

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities


–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total (29,695) (12,752) - (42,447)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Total

EMLD Fund Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets


Held for trading:Forward foreign currency exchange contracts - 5,712,636 - 5,712,636Interest rate swaps - 584,685 - 584,685

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total 12,890,252 245,420,722 - 258,310,974

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Held for trading:Forward foreign currency exchange contracts - (4,878,448) - (4,878,448)Interest rate swaps - (195,653) - (195,653)

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - (5,074,101) - (5,074,101)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––





Total

GCB Fund Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets


Held for trading:Forward foreign currency exchange contracts - 88,493 - 88,493Futures 46,431 - - 46,431

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total 46,431 41,375,020 - 41,421,451

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Held for trading:Forward foreign currency exchange contracts - - - -Futures (20,165) - - (20,165)

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total (20,165) - - (20,165)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Total

EMDSD Fund Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets



–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - 24,767,202 - 24,767,202

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities


–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - (2,980) - (2,980)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––





Total

ASD Fund Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets

Designated at fair value through profit or loss:Investments 3,491 46,796,334 998,925 47,798,750

Held for trading:Forward foreign currency exchange contracts - 143,845 - 143,845Futures 16,517 - - 16,517

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total 20,008 46,940,179 998,925 47,959,112

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Held for trading:Swaps - (30,505) - (30,505)Forward foreign currency exchange contracts - (357,106) - (357,106)Futures (6,112) - - (6,112)

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total (6,112) (387,611) - (393,723)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Total

EMDBTR Fund Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets


Held for trading:Forward foreign currency exchange contracts - 1,984,772 - 1,984,772Interest rate swaps - 382,878 - 382,878Futures 23,000 - - 23,000

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total 3,785,873 77,578,732 - 81,364,605

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Held for trading:Forward foreign currency exchange contracts - (2,280,137) - (2,280,137)Interest rate swaps - (84,808) - (84,808)

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - (2,364,945) - (2,364,945)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––





Total

EMSD Fund Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets



–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - 21,158,436 - 21,158,436

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Held for trading:Forward foreign currency exchange contracts - (46,524) - (46,524)Swaps - (87,437) - (87,437)

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - (133,961) - (133,961)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Total

USHYB Fund Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets



–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - 279,428,920 - 279,428,920

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities


–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total - (180,494) - (180,494)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––





Total

USIGCB Fund Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Assets



–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total 36,963 208,534,675 - 208,571,638

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Held for trading:Futures (38,936) - - (38,936)

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total (38,936) - - (38,936)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

At 31 December 2017 there was one investment held by the GSSB Fund which is disclosed as Level 3:

Transferable Security Fair Value US$

Pinnacle Agriculture Holdings LLC 1,739,029––––––––––––––

1,739,029––––––––––––––––––––––––––––

At 31 December 2017 there were two investments held by the GHYB Fund which is disclosed as Level 3:


Perry Ellis International Inc 7.875% 375,938Pinnacle Agriculture Holdings LLC 314,726

––––––––––––––690,664

––––––––––––––––––––––––––––

At 31 December 2017 there were two investments held by the ASD Fund which are disclosed as Level 3:


DRB Prime Student Loan Trust 2016-R 3.464% 327,153HERO Funding Trust 2015-1 3.840% 57,745

––––––––––––––384,898

––––––––––––––––––––––––––––

At 31 December 2017 there was one investment held by the USHYB Fund which is disclosed as Level 3:


Pinnacle Agriculture Holdings LLC 731,526––––––––––––––

731,526––––––––––––––––––––––––––––







At 31 December 2016 there were four investments held by the ASD Fund which are disclosed as Level 3:


DRB Prime Student Loan Trust 2016-R 2.480% 399,677HERO Funding Trust 2016-4A 3.570% 100,000New Residential Advance Receivables 2.575% 100,000Sofi Consumer Loan Program 2016-5 LLC 3.060% 399,248

––––––––––––––998,925

––––––––––––––––––––––––––––

The following table reconciles fair value changes in the GSSB Fund’s Level 3 holdings for the year ended 31 December 2017:

2017 2016

GSSB US$ US$

Opening balance - -Purchases 1,254,981 -Realised gains and losses - -Movement in unrealised gains and losses 484,048 -Sales - -Transfers from Level 2 to Level 3 - -Transfers from Level 3 to Level 2 - -

–––––––––––––– ––––––––––––––Closing balance 1,739,029 -

–––––––––––––– –––––––––––––––––––––––––––– ––––––––––––––

The following table reconciles fair value changes in the GHYB Fund’s Level 3 holdings for the year ended 31 December 2017:

2017 2016

GHYB US$ US$

Opening balance - -Purchases 217,010 -Realised gains and losses - -Movement in unrealised gains and losses 97,716 -Sales - -Transfers from Level 2 to Level 3 375,938 -Transfers from Level 3 to Level 2 - -

–––––––––––––– ––––––––––––––Closing balance 690,664 -

–––––––––––––– –––––––––––––––––––––––––––– ––––––––––––––

The following table reconciles fair value changes in the ASD Fund’s Level 3 holdings for the year ended 31 December 2017and 31 December 2016:

2017 2016

ASD US$ US$

Opening balance 998,925 1,313,597Purchases - 1,154,212Realised gains and losses (784) (9,399)Movement in unrealised gains and losses 3,628 822Sales (334,777) (1,047,906)Transfers from Level 2 to Level 3 57,745 -Transfers from Level 3 to Level 2 (339,839) (412,401)

–––––––––––––– ––––––––––––––Closing balance 384,898 998,925

–––––––––––––– –––––––––––––––––––––––––––– ––––––––––––––





The following table reconciles fair value changes in the USHYB Fund’s Level 3 holdings for the year ended 31 December 2017:

2017 2016

USHYB US$ US$

Opening balance - -Purchases 468,859 -Realised gains and losses - -Movement in unrealised gains and losses 262,667 -Sales - -Transfers from Level 2 to Level 3 - -Transfers from Level 3 to Level 2 - -

–––––––––––––– ––––––––––––––Closing balance 731,526 -

–––––––––––––– –––––––––––––––––––––––––––– ––––––––––––––

The Fund’s level 3 investments have been valued using unadjusted inputs that have not been internally developed by the Fundwhich involved using single broker quotations for these securities.

The Company determines the fair value for corporate bond instruments using independent, unadjusted indicative brokerquotes. A broker quote is generally not a binding offer. The categorisation of corporate bond instruments is dependent if thebroker quotes reflect actual current market conditions, or if they are indicative prices based on brokers valuation models,depending on the significance and observability of the inputs to the model.

For corporate bond instruments that have been categorised as Level 2, fair value has been determined using independentbroker quotes based on observable inputs. If it could not be verified that the valuation is based significantly on observableinputs, then the investments would fall into Level 3.

The Company considers observable data to be that market data that is readily available, regularly distributed or updated,reliable, not proprietary, and provided by independent sources that are actively involved in the relevant market.

At 31 December 2017, corporate bond instruments with a fair value of US$760,836 (31 December 2016: US$998,925) werecategorised as level 3. This classification was given to these securities as a result of decreased liquidity in the market and widerspreads that are consequently reflected in a broader spectrum of indicative broker quotes, which are factors that indicate thatthe broker quotes are not based on observable prices.

The table below sets out information about significant unobservable inputs used at 31 December 2017 in measuring financialinstruments categorised as Level 3 in the fair value hierarchy.

Unobservable Weighted

Fund Asset Class Fair Value Inputs Ranges Average

GSSB Preferred Stock $1,739,029 Broker Quotes 0.91 0.91GHYB Corporate Bonds $375,938 Broker Quotes 100.25 100.25GHYB Preferred Stock $314,726 Broker Quotes 0.91 0.91ASD Corporate Bonds $384,898 Broker Quotes 101.00 - 101.75 101.11USHYB Preferred Stock $731,526 Broker Quotes 0.91 0.91

The table below sets out information about significant unobservable inputs used at 31 December 2016 in measuring financialinstruments categorised as Level 3 in the fair value hierarchy.

Unobservable Weighted

Fund Asset Class Fair Value Inputs Ranges Average

ASD Corporate Bonds $998,925 Broker Quotes 99.81 - 100.00 99.92

Sensitivity of Level 3 assets measured at fair value to changes in assumptionsThe results of using reasonably possible alternative assumptions for valuing the Level 3 assets may result in the fair valueestimate and recoverability of the assets being subject to uncertainty and a range of possible outcomes are likely. Suchdifferences, if any, may have a material effect on the overall portfolio as at 31 December 2017 or as at 31 December 2016.

If the value of level 3 securities increased/(decreased) by 5%, the effect on the NAV would be US$177,306 (31 December 2016:US$49,946).





Transfers between levels of the fair value hierarchy are deemed to have occurred at the end of the year and are deemed tohave occurred when the pricing source or methodology used to price an investment has changed which triggers a change inlevel as defined under IFRS 13. There were transfers from Level 2 to Level 3 at the year end as shown in the reconciliationabove.

For each class of assets and liabilities not measured at fair value in the Statement of Financial Position but for which fair valueis disclosed, IFRS 13 requires the Company to disclose the level within the fair value hierarchy which the fair value measurementwould be categorised and a description of the valuation technique and inputs used in the technique.

Cash and cash equivalents include deposits held with banks and other short-term investments in an active market and they arecategorised as Level 1. Cash held at broker (including positive cash collateral) and cash due to broker (including negative cashcollateral) are categorised as Level 2.

Receivable for investments sold and other receivables include the contractual amounts for settlement of trades and otherobligations due to the Company. Payable for investments sold and other payables represent the contractual amounts andobligations due by the Company for settlement of trades and expenses. All receivable and payable balances are categorisedas Level 2.

The puttable value of redeemable shares is calculated based on the net difference between total assets and all other liabilitiesof each Sub-Fund within the Company in accordance with the Funds’ offering memorandum. A demand feature is attached tothese shares, as they are redeemable at the holders’ option and can be put back to the Sub-Funds at any dealing date for cashequal to a proportionate share of the Sub-Fund’s net asset value attributable to the share class. The fair value is based on theamount payable on demand. As such, Level 2 is deemed to be the most appropriate categorisation for net assets attributableto holders of redeemable shares.

13. Financial instruments and associated risks

In accordance with IFRS 7 Financial Instruments: Disclosure, this note details the way in which the Company manages risksassociated with the use of financial instruments.

As an investment fund, the management of the financial instruments is fundamental to the management of the Company’sbusiness. The Company’s risk management process is managed by Barings (U.K.) Limited and Barings LLC, in their capacityas Investment Managers and oversight of these functions is carried out by the Board of Directors.

The Sub-Funds’ investment portfolios comprise of debt instruments that they each intend to hold for an indefinite period of time.The Sub-Funds also maintain positions in derivative financial instruments, for the purpose of efficient portfolio management.

The Sub-Funds’ investing activities expose it to various types of risk that are associated with the financial instruments andmarkets in which it invests. The most important types of financial risks to which the Sub-Funds are exposed are market risk,liquidity risk and credit risk.

Asset selection, asset allocation and cash management is determined by the Investment Managers who manage thedistribution of the assets to achieve the investment objectives. The composition of the portfolios is monitored by the InvestmentManagers on an intraday basis.

The nature and extent of the financial instruments outstanding at the Statement of Financial Position date and the riskmanagement policies employed by the Company are discussed below.

Market risk

Market risk embodies the potential for both losses and gains and includes foreign currency risk, interest rate risk and price risk,which are discussed in detail under separate headings within this note.

The Sub-Funds’ exposure to market risk is that the value of assets will generally fluctuate with, among other things, generaleconomic conditions, the condition of certain financial markets, international political events, developments or trends in anyparticular industry and the financial condition of the issuers of the Bonds that the Sub-Funds invest in.

The Sub-Funds’ market risk is managed on a daily basis by the Investment Managers in accordance with policy and proceduresin place. The Sub-Funds’ overall market positions are reported to the Board of Directors on a monthly basis.




13. Financial instruments and associated risks (continued)

Market risk (continued)

As the majority of the financial instruments are carried at fair value through the profit or loss, all changes in market conditionswill directly impact the net assets of the Sub-Funds.

Foreign currency risk

Foreign currency risk is defined in IFRS 7 as the risk that the fair value or future cash flows of a financial instrument will fluctuatebecause of changes in foreign exchange rates. This risk arises on financial instruments that are denominated in a currencyother than the functional currency in which they are measured.

Forward foreign currency exchange contracts are entered into by the GSSB Fund, GHYB Fund, EMCB Fund, EMLD Fund, GCBFund, EMDSD Fund, ASD Fund, EMDBTR Fund, EMSD Fund, USHYB Fund and USIGCB Fund to hedge non-US$ denominatedassets back into US$, the Sub-Funds’ base currency. EMLD Fund, EMDBTR Fund and EMSD Fund use forward foreigncurrency exchange contracts to take active foreign currency exposure. Forward foreign exchange contracts are entered intoby the EHYB Fund to hedge non-€ denominated assets back into €, the Sub-Fund’s base currency. The Investment Managershave appointed State Street Bank Europe Limited to implement and manage this process. The Investment Managers regularlyreview such positions to ensure that they are in line with the Sub-Funds’ investment policies.

The foreign currency risk that exists to investors in these non base currency share classes is mitigated by a share class hedgingprogramme.

Foreign currency risk that exists is hedged by foreign currency swaps, eliminating material foreign currency risk that couldimpact the fair value of the Company's investment.

The following tables set out each Sub-Fund’s exposure to foreign currency risk and the net exposure to foreign currencies ofthe monetary assets and liabilities as at 31 December 2017 and 31 December 2016.

GSSB Fund:

31 December 2017:

Financial assets at Cash

fair value through and cash Other assets Net % of Net

profit or loss equivalents and liabilities* Derivatives** exposure Assets

US$ US$ US$ US$ US$

EUR 49,307,243 3,224,594 (65,288,800) 12,411,926 (345,037) (0.14)GBP 62,319,967 732,896 (55,148,389) (9,252,138) (1,347,664) (0.56)SEK - - (5,252,738) 5,252,196 (542) 0.00

EHYB Fund:

31 December 2017:




€ € € € €

CHF - - (287,885) 288,242 357 0.00GBP 135,007,269 18,303 (33,379,364) (101,622,877) 23,331 0.01SEK 2,009,432 3,029 57,430 (2,076,979) (7,088) 0.00USD 35,826,513 2,937,746 (14,894,246) (24,026,434) (156,421) (0.04)

**Other assets and liabilities are comprised mainly of trade receivables and payables and net assets attributable to holders of redeemable shares.**The forward foreign currency exchange contracts are held for both portfolio and share class hedging purposes.



Foreign currency risk (continued)

GHYB Fund:

31 December 2017:




US$ US$ US$ US$ US$

AUD - - (28,085,249) 28,035,669 (49,580) (0.01)CHF - - (69,769,532) 69,688,252 (81,280) (0.01)EUR 62,542,491 4,197,036 (319,964,410) 244,602,411 (8,622,472) (1.16)GBP 67,817,996 422,689 (25,901,683) (42,486,980) (147,978) (0.02)

EMCB Fund:

31 December 2017:




US$ US$ US$ US$ US$

EUR 3,835,769 66,230 114,470 (4,033,140) (16,671) (0.02)GBP - - (302,665) 302,140 (525) 0.00SEK - - (1,205,522) 1,203,365 (2,157) 0.00







EMLD Fund:

31 December 2017:




US$ US$ US$ US$ US$

ARS 21,609,149 - - 23,781,444 45,390,593 5.15 AUD - - - (17,679,308) (17,679,308) (2.00)BRL 72,116,990 - - 28,419,556 100,536,546 11.40 CHF - - - (17,293,989) (17,293,989) (1.96)CLP 36,291,577 - 31,022 (36,586,707) (264,108) (0.03)CNH - - - (17,464,125) (17,464,125) (1.98)COP 64,431,149 399 1,412,650 (6,205,425) 59,638,773 6.76 CZK - - - 47,100,368 47,100,368 5.34 EGP - - - 17,284,634 17,284,634 1.96 EUR - 391,355 (123,432,605) (5,166,190) (128,207,441) (14.54)GBP - - (158,351) 157,717 (634) 0.00GHS 15,010,831 287 987,731 - 15,998,849 1.81 HKD - - - (27,448,716) (27,448,716) (3.11)HRK - - - 17,600,183 17,600,183 2.00 HUF 3,063,533 - 5,261 71,143,023 74,211,817 8.41 IDR 79,439,092 - 1,250,060 8,601,583 89,290,735 10.12 ILS - - - (26,045,680) (26,045,680) (2.95)INR - - - (26,113,221) (26,113,221) (2.96)JPY - - - 25,415,819 25,415,819 2.88 KRW - - - (17,029,925) (17,029,925) (1.93)KZT - - - 25,175,242 25,175,242 2.85MXN 102,920,411 - 398,185 22,314,403 125,632,999 14.24MYR 55,434,952 - 620,834 15,457,093 71,512,879 8.11NGN 12,077,267 - - - 12,077,267 1.37 NZD - - - (17,242,268) (17,242,268) (1.95)PEN 34,741,472 - 827,010 (10,671,068) 24,897,414 2.82 PLN 20,082,316 - 227,832 101,692,648 122,002,796 13.83 RON 2,645,144 - 13,350 22,846,850 25,505,344 2.89 RSD 7,138,026 - 175,142 10,307,591 17,620,759 2.00 RUB 112,023,954 - 2,670,745 (29,816,113) 84,878,586 9.62SEK - - (550,073) 18,015,008 17,464,935 1.98THB 9,320,963 - 36,405 64,030,036 73,387,404 8.32TRY 49,870,371 - 1,763,501 49,059,030 100,692,902 11.42UYU - 2,220 - - 2,220 0.00ZAR 138,973,367 - 4,120,912 (63,012,617) 80,081,662 9.08







GCB Fund:

31 December 2017:




US$ US$ US$ US$ US$

CAD 442,424 50,491 2,433 (457,841) 37,507 0.14EUR 5,058,616 252,944 67,237 (5,195,028) 183,769 0.70GBP 1,211,814 (9,343) 21,352 (1,227,495) (3,672) (0.01)

EMDSD Fund:

31 December 2017:




US$ US$ US$ US$ US$

CHF - - (586,357) 583,856 (2,501) (0.01)EUR 1,217,132 17,098 (4,090,966) 2,853,952 (2,784) (0.01)SEK - - (513,185) 512,827 (358) 0.00

ASD Fund:

31 December 2017:




US$ US$ US$ US$ US$

EUR - - (8,003,752) 7,979,942 (23,810) (0.04)







EMDBTR Fund:

31 December 2017:




US$ US$ US$ US$ US$

ARS 1,215,463 - - 4,158,644 5,374,107 4.90AUD - - - (2,199,787) (2,199,787) (2.01)BRL 8,805,858 - - (254,160) 8,551,698 7.80CHF - - - (2,739,853) (2,739,853) (2.50)CLP - - - (2,195,099) (2,195,099) (2.00)CNH - - - (2,212,859) (2,212,859) (2.02)COP 4,399,493 38 95,542 (4,457,079) 37,994 0.03CZK - - - 2,032,190 2,032,190 1.85EGP - - - 2,183,055 2,183,055 1.99EUR 5,887,653 - 171,964 (21,699,307) (15,639,690) (14.26)GBP - 219,834 (31,620,155) 31,355,433 (44,888) (0.04)GHS 1,737,395 - 113,873 - 1,851,268 1.69HRK - - - 2,193,360 2,193,360 2.00HUF - - - 4,472,047 4,472,047 4.08IDR 2,072,791 - 16,842 89,682 2,179,315 1.99ILS - - - (3,349,229) (3,349,229) (3.05)INR - - - (3,310,259) (3,310,259) (3.02)JPY - - - 5,472,118 5,472,118 4.99KRW - (1) - (2,171,795) (2,171,796) (1.98)KZT - - - 5,357,989 5,357,989 4.88MXN 6,689,364 - 25,975 3,196,949 9,912,288 9.04MYR 3,217,725 1,235 33,911 2,204,531 5,457,402 4.97NOK - - (6,162,299) 6,154,423 (7,876) (0.01)NGN 1,285,385 - - - 1,285,385 1.17NZD - - - (2,186,605) (2,186,605) (1.99)PEN 4,001,771 - 95,106 (4,013,073) 83,804 0.08PLN - - - 5,481,502 5,481,502 5.00RSD - - - 2,261,155 2,261,155 2.06RUB 5,580,404 1 134,924 (2,208,180) 3,507,149 3.20SEK - - - 2,170,760 2,170,760 1.98TRY - - - 6,893,543 6,893,543 6.28ZAR 9,569,030 - 303,233 (6,315,966) 3,556,297 3.24

EMSD Fund:

31 December 2017:




US$ US$ US$ US$ US$

EUR 2,827,014 (16,136) 36,623 (2,678,833) 168,668 0.72







USHYB Fund:

31 December 2017:




US$ US$ US$ US$ US$

GBP - 136 (13,493) 4 (13,353) (0.01)

GSSB Fund:

31 December 2016:




US$ US$ US$ US$ US$

EUR 44,898,430 285,928 (61,360,231) 16,725,912 550,039 0.26GBP 51,125,260 2,504,257 (41,625,267) (11,785,939) 218,311 0.10

EHYB Fund:

31 December 2016:




€ € € € €

CHF - 44,605 - (44,826) (221) (0.00)GBP 103,021,201 1,871,163 (5,011,459) (99,062,902) 818,003 0.25SEK 3,315,375 6 11,678 (3,332,186) (5,127) (0.00)USD 43,701,466 2,010,744 (38,964,811) (6,483,990) 263,409 0.08

GHYB Fund:

31 December 2016:




US$ US$ US$ US$ US$

CHF - (187) - - (187) (0.00)EUR 46,822,362 109,549 (328,409,172) 281,260,183 (217,078) (0.04)GBP 53,986,153 38,265 (3,191,934) (50,305,842) 526,642 0.10

EMCB Fund:

31 December 2016:




US$ US$ US$ US$ US$

EUR 6,122,677 113,882 136,943 (6,408,424) (34,922) (0.03)GBP - - (307,058) 256,542 (50,516) (0.05)SEK - - (1,126,685) 1,043,286 (83,399) (0.08)









EMLD Fund:

31 December 2016:




US$ US$ US$ US$ US$

AUD - - - (2,172,042) (2,172,042) (0.83)BRL 12,890,252 - - 14,404,220 27,294,472 10.47CAD - - - (12,841,828) (12,841,828) (4.93)CLP 1,343,605 - 28,484 (6,305,016) (4,932,927) (1.89)CNH - - - (21,683,010) (21,683,010) (8.32)COP 19,589,748 208 613,935 1,827,212 22,031,103 8.45EUR - - - 314,749 314,749 0.12GBP - - (122,851) 122,638 (213) (0.00)HRK 3,995,219 - 32,755 - 4,027,974 1.54HUF 5,797,915 - 38,493 1,047,944 6,884,352 2.64IDR 22,154,691 - 404,451 3,114,643 25,673,785 9.85ILS - - - (7,037,062) (7,037,062) (2.70)KZT - - - 5,045,754 5,045,754 1.94MXN 38,423,831 - 168,674 8,569,632 47,162,137 18.09MYR 18,598,170 - 193,431 4,234,071 23,025,672 8.83NZD - - - (4,799,309) (4,799,309) (1.84)PEN 8,973,306 - 246,287 (3,907,470) 5,312,123 2.04PHP - - - (1,103,981) (1,103,981) (0.42)PLN 16,684,642 - 250,502 4,144,945 21,080,089 8.08RON 2,476,393 - 56,087 140,301 2,672,781 1.03RUB 17,750,332 - 466,219 833,447 19,049,998 7.31SEK - - - 7,395,134 7,395,134 2.84SGD - - - (4,799,087) (4,799,087) (1.84)THB 5,921,561 - 24,263 21,001,789 26,947,613 10.34TRY 10,510,604 - 282,861 7,383,978 18,177,443 6.97UYU - 2,176 - - 2,176 0.00ZAR 32,447,416 4,275 919,811 (1,954,065) 31,417,437 12.05





GCB Fund:

31 December 2016:




US$ US$ US$ US$ US$

CAD - 40,606 - (7,984) 32,622 0.08EUR 3,711,076 132,211 46,516 (3,687,423) 202,380 0.48GBP 2,414,008 29,200 31,436 (2,466,946) 7,698 0.02

EMDSD Fund:

31 December 2016:




US$ US$ US$ US$ US$

EUR 1,439,526 55,740 36,818 (1,534,517) (2,433) (0.01)SEK - - (484,643) 446,653 (37,990) (0.14)

ASD Fund:

31 December 2016:




US$ US$ US$ US$ US$

EUR - - (4,733,896) 4,709,367 (24,529) (0.05)









EMDBTR Fund:

31 December 2016:




US$ US$ US$ US$ US$

AUD - - - (3,761) (3,761) (0.00)BRL 3,762,873 - - - 3,762,873 4.59CAD - - - (4,225,225) (4,225,225) (5.15)CLP - - - (1,676,377) (1,676,377) (2.04)CNH - - - (8,055,689) (8,055,689) (9.83)COP 3,692,284 6 68,339 (2,933,053) 827,576 1.01CZK - - - - - -EUR 4,709,131 10,280 124,028 (19,131,170) (14,287,731) (17.43)GBP - - (16,629,388) 16,635,954 6,566 0.01HUF - - - 2,405,504 2,405,504 2.93IDR 1,619,425 - 21,635 - 1,641,060 2.00ILS - - - (2,582,381) (2,582,381) (3.15)KRW - - - - - -KZT - - - 4,096,466 4,096,466 5.00MXN 5,273,247 - 19,101 7,980,060 13,272,408 16.19MYR 2,704,926 - 29,187 (2,875,914) (141,801) (0.17)PEN 4,676,004 - 125,898 (1,693,271) 3,108,631 3.79PLN - - - 8,022,210 8,022,210 9.79SEK - - - 2,334,182 2,334,182 2.85THB - - - 4,135,594 4,135,594 5.04ZAR 5,870,289 - 186,574 (45,502) 6,011,361 7.33

USHYB Fund:

31 December 2016:




US$ US$ US$ US$ US$

EUR - - (3,031,494) 3,031,153 (341) (0.00)GBP - - (4,404,888) 4,381,841 (23,047) (0.01)





Sensitivity analysisThe below currency sensitivity analysis information is a relative estimate of risk and is not intended to be a precise and accuratenumber. The calculations are based on historical data. Future rate movements and correlations between currencies could varysignificantly from those experienced in the past.

At 31 December 2017, had the exchange rate between the US Dollar or Euro and other currencies increased or decreased by5% (31 December 2016: 5%) with all other variables held constant, the increase or decrease in the value of the Net Assetsattributable to holders of redeemable participating shares would be as follows:

31 Dec 2017

ARSAUDBRLCADCHFCLPCNHCOPCZKEGPEURGBPGHSHKDHRKHUFIDRILSINRJPYKRWKZTMXNMYRNGNNOKNZDPENPHPPLNRONRSDRUBSEKSGDTHBTRYUSDUYUZAR

GSSB Fund

US$

----------

(16,430)(64,174)

---------------------

(26)------

EHYB Fund

€

----

17------

1,111---------------------

(338)---

(7,449)--

GHYB Fund

US$

-(2,361)

--

(3,870)-----

(47,682)(7,047)

----------------------------

EMCB Fund

US$

----------

(794)(25)

---------------------

(103)------

EMLD Fund

US$

2,161,457(841,872)

4,787,455-

(823,523)(12,577)

(831,625)2,839,9422,242,875

823,078(6,105,116)

(30)761,850

(1,307,082)838,104

3,533,8964,251,940

(1,240,270)(1,243,487)1,210,277(810,949)

1,198,8215,982,5243,405,375

575,108-

(821,060)1,185,591

-5,809,6571,214,540

839,0844,041,837

831,664-

3,494,6384,794,900

-106

3,813,412

GCB Fund

US$

---

1,786------

8,751(175)

----------------------------








Sensitivity analysis (continued)

31 Dec 2017 (continued)

ARSAUDBRLCADCHFCLPCNHCOPCZKEGPEURGBPGHSHKDHRKHUFIDRILSINRJPYKRWKZTMXNMYRNGNNOKNZDPENPHPPLNRONRSDRUBSEKSGDTHBTRYUSDUYUZAR

EMDSD Fund

US$

----

119-----

(133)----------------------

(17)------

ASD Fund

US$

----------

(1,134)-----------------------------

EMDBTR Fund

US$

255,910(104,752)407,224

-(130,469)(104,529)(105,374)

1,80996,771

103,955(744,747)

(2,138)88,156

-104,446212,955103,777

(159,487)(157,631)260,577

(103,419)255,142472,014259,87661,209

(375)(104,124)

3,991-

261,024-

107,674167,007103,370

--

328,264--

169,347

EMSD Fund

US$

----------

8,032-----------------------------

USHYB Fund

US$

-----------

(636)----------------------------

Company Total

US$

2,417,367(948,985)

5,194,6791,786

(957,604)(117,106)(936,999)

2,841,7512,339,646

927,033(6,898,252)

(72,892)850,006

(1,307,082)942,550

3,746,8514,355,717

(1,399,757)(1,401,118)1,470,854(914,368)

1,453,9636,454,5383,665,251

636,317(375)

(925,184)1,189,582

-6,070,6811,214,540

946,7584,208,844

934,465-

3,494,6385,123,164

(8,938)106

3,982,759





31 Dec 2016

AUDBRLCADCHFCLPCNHCOPEURGBPHRKHUFIDRILSKZTMXNMYRNZDPENPHPPLNRONRUBSGDSEKTHBTRYUSDUYUZAR

GSSB Fund

US$

-------

26,19210,396

--------------------

EHYB Fund

€

---

(11)----

38,953--------------

(244)--

12,543--

GHYB Fund

US$

---

(9)---

(10,337)25,078

--------------------

EMCB Fund

US$

-------

(1,663)(2,406)

--------------

(3,971)-----

EMLD Fund

US$

(103,431)1,299,737(611,516)

-(234,901)

(1,032,524)1,049,100

14,988(10)

191,808327,826

1,222,561(335,098)240,274

2,245,8161,096,461(228,539)252,958(52,571)

1,003,814127,275907,143

(228,528)352,149

1,283,220865,593

-104

1,496,068

GCB Fund

US$

--

1,553----

9,637367

--------------------

EMDSD Fund

US$

-------

2,317---------------

36,181-----









31 Dec 2016 (continued)

AUDBRLCADCHFCLPCNHCOPEURGBPHRKHUFIDRILSKZTMXNMYRNZDPENPHPPLNRONRUBSGDSEKTHBTRYUSDUYUZAR

ASD Fund

US$

-------

(1,168)---------------------

EMDBTR Fund

US$

(179)179,184

(201,201)-

(79,827)(383,604)

39,408(680,368)

313-

114,54878,146

(122,971)195,070632,019

(6,752)-

148,030-

382,010---

111,152196,933

---

286,255

EMSD Fund

US$

-----------------------------

USHYB Fund

US$

-------

(16)(1,097)

--------------------

USIGCB Fund

US$

-----------------------------

Company Total

US$

(103,610)1,478,921(811,164)

(20)(314,729)

(1,416,129)1,088,509(640,418)

71,593191,808442,374

1,300,707(458,069)435,344

2,877,8351,089,708(228,539)400,988(52,571)

1,385,824127,275907,143

(228,528)495,266

1,480,153865,59312,543

1041,782,324



Interest rate risk

This risk is defined as the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changesin market interest rates. This risk arises on financial instruments whose fair value or future cash flows are affected by changesin interest rates. The Company is exposed to interest rate risk through the fixed income portion of its assets.

The Investment Managers monitor the interest rate risk exposure on a daily basis.

The following table details each Sub-Fund’s exposure to interest rate risk. It includes the Sub-Funds’ assets and tradingliabilities at fair values, categorised by the earlier of contractual re-pricing or maturity date measured by the carrying value ofthe assets and liabilities at 31 December 2017:

GSSB Fund Greater than Non-interest

Within 1 year 1-5 years 5 years bearing Total

Assets US$ US$ US$ US$ US$

Financial assets designated at fair value through profit or loss:- Investments 3,023,388 91,596,969 130,512,389 5,240,369 230,373,115Held for trading:- Forward foreign exchange contracts - - - 1,425,017 1,425,017Other receivables - - - 3,461,312 3,461,312Cash and cash equivalents 5,809,335 - - - 5,809,335

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 8,832,723 91,596,969 130,512,389 10,126,698 241,068,779

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Held for trading:- Forward foreign exchange contracts - - - (925,391) (925,391)Other payables and accrued expenses - - - (108,991) (108,991)Payable for fund shares purchased - - - (66,136) (66,136)Net assets attributable to holders of redeemableparticipating shares at mid market prices - - - (239,968,261) (239,968,261)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total liabilities - - - (241,068,779) (241,068,779)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 8,832,723 91,596,969 130,512,389

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––





Interest rate risk (continued)

EHYB Fund Greater than Non-interest


Assets € € € € €

Financial assets designated at fair value through profit or loss:- Investments - 122,675,302 224,733,790 819 347,409,911Held for trading:- Forward foreign exchange contracts - - - 3,013,630 3,013,630Receivable for fund shares sold - - - 19,422 19,422Other receivables - - - 5,126,413 5,126,413Cash and cash equivalents 4,533,281 - - - 4,533,281

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 4,533,281 122,675,302 224,733,790 8,160,284 360,102,657

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Held for trading:- Forward foreign currency exchange contracts - - - (703,059) (703,059)Payable for investments purchased - - - (1,033,063) (1,033,063)Other payables and accrued expenses - - - (139,950) (139,950)Payable for fund shares purchased - - - (88,213) (88,213)Net assets attributable to holders of redeemableparticipating shares at mid market prices - - - (358,138,372) (358,138,372)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 4,533,281 122,675,302 224,733,790

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––

GHYB Fund Greater than Non-interest



Financial assets designated at fair value through profit or loss:- Investments 3,029,659 259,595,539 426,429,676 5,314,726 694,369,600Held for trading:- Forward foreign exchange contracts - - - 7,050,611 7,050,611Receivable for fund shares sold - - - 10,835,294 10,835,294Other receivables - - - 11,634,081 11,634,081Cash and cash equivalents 19,448,486 - - - 19,448,486

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 22,478,145 259,595,539 426,429,676 34,834,712 743,338,072

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Held for trading:- Forward foreign currency exchange contracts - - - (1,286,715) (1,286,715)Other payables and accrued expenses - - - (306,499) (306,499)Payable for investments purchased - - - (743,712) (743,712)Net assets attributable to holders of redeemable participating shares at mid market prices - - - (741,001,146) (741,001,146)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 22,478,145 259,595,539 426,429,676

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––






EMCB Fund Greater than Non-interest



Financial assets designated at fair value through profit or loss:- Investments 1,511,682 21,690,978 73,156,324 - 96,358,984Held for trading:- Credit default swaps - - - 8,308 8,308- Future contracts - - - 3,226 3,226- Forward foreign currency exchange contracts - - - 36,405 36,405Other receivables* - - - 1,313,229 1,313,229Amounts due from broker 68,426 - - - 68,426Cash and cash equivalents 5,277,257 - - - 5,277,257

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 6,857,365 21,690,978 73,156,324 1,361,168 103,065,835

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––*Includes receivable for management fee reimbursement

Liabilities

Held for trading:Future contracts - - - (25,557) (25,557)- Forward foreign currency exchange contracts - - - (67,745) (67,745)Other payables and accrued expenses - - - (76,466) (76,466)Net assets attributable to holders of redeemable participating shares at mid market prices - - - (102,896,067) (102,896,067)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 6,857,365 21,690,978 73,156,324

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––






EMLD Fund Greater than Non-interest



Financial assets deignated at fair valuethrough profit or loss- Investments 33,918,433 98,880,951 702,826,625 12,077,267 847,703,276Held for trading- Interest rate swaps 4,238 15,617 675,259 - 695,114- Forward foreign exchange contracts - - - 16,497,549 16,497,549Receivable for fund shares sold - - - 603,160 603,160Other receivables - - - 15,282,382 15,282,382Amounts due from broker 8,801,825 - - - 8,801,825Cash and cash equivalents 17,067,942 - - - 17,067,942

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 59,792,438 98,896,568 703,501,884 44,460,358 906,651,248


Liabilities

Held for trading- Interest rate swaps - (939,870) (302,988) - (1,242,859)- Forward foreign exchange contracts - - - (19,181,520) (19,181,520)Other payables and accrued expenses* - - - (1,380,977) (1,380,977)Payable for fund shares purchased - - - (51,008) (51,008)Amounts due to broker - - - (2,820,000) (2,820,000)Net assets attributable to holders of redeemableparticipating shares at mid market prices - - - (881,974,884) (881,974,884)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total liabilities - (939,870) (302,988) (905,408,389) (906,651,248)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 59,792,438 97,956,698 703,198,896

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––*Includes Capital Gains Tax Payable






GCB Fund Greater than Non-interest



Financial assets deignated at fair valuethrough profit or loss- Investments - 7,954,590 17,978,498 - 25,933,088Held for trading- Future contracts - - - 4,703 4,703- Forward foreign exchange contracts - - - -Other receivables* - - - 334,221 334,221Amounts due from broker 40,227 - - - 40,227Cash and cash equivalents 398,005 - - - 398,005

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 438,232 7,954,590 17,978,498 338,924 26,710,244


Liabilities

Held for trading- Future contracts - - - (13,971) (13,971)- Forward foreign exchange contracts - - - (95,054) (95,054)Payable for investments purchased - - - (296,803) (296,803)Other payables and accrued expenses - - - (43,315) (43,315)Net assets attributable to holders of redeemable participating shares at mid market prices - - - (26,261,101) (26,261,101)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 438,232 7,954,590 17,978,498

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––

EMDSD Fund Greater than Non-interest



Financial assets deignated at fair valuethrough profit or loss- Investments 1,632,532 26,991,263 6,587,228 - 35,211,023Held for trading- Forward foreign exchange contracts - - - 86,216 86,216Other receivables* - - - 506,270 506,270Cash and cash equivalents 1,093,629 - - - 1,093,629

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 2,726,161 26,991,263 6,587,228 592,486 36,897,138


Liabilities

Held for trading- Forward foreign exchange contracts - - - (21,149) (21,149)Other payables and accrued expenses - - - (94,959) (94,959)Net assets attributable to holders of redeemable participating shares at mid market prices - - - (36,781,030) (36,781,030)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 2,726,161 26,991,263 6,587,228

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––






ASD Fund Greater than Non-interest



Financial assets deignated at fair valuethrough profit or loss- Investments 15,404,991 26,064,598 19,131,243 - 60,600,832Held for trading- Swaptions - - - 218,000 218,000- Future contracts - - - 65,477 65,477- Forward foreign exchange contracts - - - 120,976 120,976Receivable for investments sold - - - 307,867 307,867Other receivables* - - - 323,677 323,677Amounts due from broker 16,879 - - - 16,879Cash and cash equivalents 1,503,312 - - - 1,503,312

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 16,925,182 26,064,598 19,131,243 1,035,997 63,157,020


Liabilities

Held for trading- Credit default swaps - - - (48,049) (48,049)- Future contracts - - - (24,410) (24,410)Amounts due to broker - - - (10,000) (10,000)Other payables and accrued expenses - - - (49,306) (49,306)Net assets attributable to holders of redeemable participating shares at mid market prices - - - (63,025,255) (63,025,255)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 16,925,182 26,064,598 19,131,243

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––






EMDBTR Fund Greater than Non-interest



Financial assets deignated at fair valuethrough profit or loss- Investments 8,177,456 11,326,199 86,168,609 - 105,672,264Held for trading- Interest rate swaps 2,750 7,395 214,363 - 224,508- Credit default swaps - - - 71,590 71,590- Forward foreign exchange contracts - - - 1,797,219 1,797,219Receivable for fund shares sold 220,759 220,759Other receivables* - - - 1,684,677 1,684,677Amounts due from broker 949,943 - - - 949,943Cash and cash equivalents 2,462,702 - - - 2,462,702

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 11,592,851 11,333,594 86,382,972 3,774,245 113,083,662


Liabilities

Held for trading- Interest rate swaps - (424,736) - - (424,736)- Credit default swaps - - - (13,974) (13,974)- Currency rate swaps - - - (139,016) (139,016)- Future contracts - - - (19,883) (19,883)- Forward foreign exchange contracts - - - (2,200,307) (2,200,307)Other payables and accrued expenses* - - - (215,354) (215,354)Payable for fund shares purchased - - - (2,678) (2,678)Amounts due to broker - - - (370,000) (370,000)Net assets attributable to holders of redeemable participating shares at mid market prices - - - (109,697,714) (109,697,714)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total liabilities - (424,736) - (112,658,926) (113,083,662)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 11,592,851 10,908,858 86,382,972

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––*Includes Capital Gains Tax Payable






EMSD Fund Greater than Non-interest



Financial assets deignated at fair valuethrough profit or loss- Investments - 4,628,496 18,410,513 - 23,039,009Held for trading- Credit default swaps - - - 27,420 27,420- Future contracts - - - 4,679 4,679- Forward foreign exchange contracts - - - 20,211 20,211Other receivables* - - - 373,354 373,354Amounts due from broker 5,958 - - - 5,958Cash and cash equivalents 310,377 - - - 310,377

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 316,335 4,628,496 18,410,513 425,664 23,781,008


Liabilities

Held for trading- Credit default swaps - - - (10,350) (10,350)- Currency rate swaps - - - (108,005) (108,005)- Forward foreign exchange contracts - - - (92,463) (92,463)Other payables and accrued expenses - - - (75,320) (75,320)Net assets attributable to holders of redeemable participating shares at mid market prices - - - (23,494,870) (23,494,870)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 316,335 4,628,496 18,410,513

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––

USHYB Fund Greater than Non-interest



Financial assets designated at fair value through profit or loss:- Investments 99,063 64,955,372 117,788,099 731,526 183,574,060Held for trading- Forward foreign exchange contracts - - - 128 128Receivable for fund shares sold - - - 13,366 13,366Other receivables* - - - 2,960,660 2,960,660Cash and cash equivalents 3,632,607 - - - 3,632,607

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 3,731,670 64,955,372 117,788,099 3,705,680 190,180,821


Liabilities

Held for trading:- Forward foreign exchange contracts - - - (136) (136)Other payables and accrued expenses - - - (69,374) (69,374)Net assets attributable to holders of redeemable participating shares at mid market prices - - - (190,111,311) (190,111,311)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 3,731,670 64,955,372 117,788,099

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––






USIGCB Fund Greater than Non-interest



Financial assets designated at fair value through profit or loss:- Investments 6,142,906 91,865,004 148,878,825 - 246,886,735Held for trading- Future contracts - - - 44,289 44,289Receivable for investments sold - - - 1,097,814 1,097,814Other receivables* - - - 2,712,022 2,712,022Amounts due from broker 25,504 - - - 25,504Cash and cash equivalents 2,475,744 - - - 2,475,744

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 8,644,154 91,865,004 148,878,825 3,854,125 253,242,108


Liabilities

Held for trading:- Futures contracts - - - (28,963) (28,963)Payable for investments purchased - - - (1,966,875) (1,966,875)Other payables and accrued expenses - - - (86,790) (86,790)Net assets attributable to holders of redeemable participating shares at mid market prices - - - (251,159,480) (251,159,480)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 8,644,154 91,865,004 148,878,826

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––

USHYBC Fund Greater than Non-interest



Financial assets designated at fair value through profit or loss:- Investments - 44,839,487 114,812,046 - 159,651,533Held for tradingOther receivables* - - - 2,430,078 2,430,078Cash and cash equivalents 2,057,422 - - - 2,057,422

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 2,057,422 44,839,487 114,812,046 2,430,078 164,139,033

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Other payables and accrued expenses - - - (20,195) (20,195)Net assets attributable to holders of redeemableparticipating shares at mid market prices - - - (164,118,838) (164,118,838)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 2,057,422 44,839,487 114,812,046

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––






USSDHYBC Fund Greater than Non-interest



Financial assets designated at fair value through profit or loss:- Investments 6,059,150 67,067,090 9,704,540 - 82,830,780Other receivables - - - 1,348,374 1,348,374Cash and cash equivalents 2,698,972 - - - 2,698,972

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 8,758,122 67,067,090 9,704,540 1,348,374 86,878,126

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Other payables and accrued expenses - - - (15,774) (15,774)Net assets attributable to holders of redeemable participating shares at mid market prices - - - (86,862,352) (86,862,352)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 8,758,122 67,067,090 9,704,540

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––

The following table details each Sub-Fund’s exposure to interest rate risk. It includes the Sub-Funds’ assets and tradingliabilities at fair values, categorised by the earlier of contractual re-pricing or maturity date measured by the carrying value ofthe assets and liabilities at 31 December 2016:

GSSB Fund Greater than Non-interest



Financial assets designated at fair value through profit or loss:- Investments - 93,551,296 104,515,580 1,550,000 199,616,876Held for trading:- Forward foreign currency exchange contracts - - - 2,525,970 2,525,970Other receivables - - - 3,881,097 3,881,097Receivable for investments sold - - - 2,551,714 2,551,714Cash and cash equivalents 5,383,290 - - - 5,383,290

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 5,383,290 93,551,296 104,515,580 10,508,781 213,958,947

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Held for trading:- Forward foreign currency exchange contracts - - - (3,387,967) (3,387,967)Other payables and accrued expenses - - - (94,521) (94,521)Net assets attributable to holders of redeemable participating shares at mid market prices - - - (210,476,459) (210,476,459)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 5,383,290 93,551,296 104,515,580

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––






EHYB Fund Greater than Non-interest


Assets € € € € €

Financial assets designated at fair value through profit or loss:- Investments - 112,720,161 195,143,654 1,998,345 309,862,160Held for trading:- Forward foreign currency exchange contracts - - - 1,063,205 1,063,205Other receivables - - - 5,313,841 5,313,841Cash and cash equivalents 7,750,215 - - - 7,750,215

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 7,750,215 112,720,161 195,143,654 8,375,391 323,989,421

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities



–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 7,750,215 112,720,161 195,143,654

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––

GHYB Fund Greater than Non-interest



Financial assets designated at fair value through profit or loss:- Investments - 210,351,304 312,977,386 17,490,000 540,818,690Held for trading:- Forward foreign currency exchange contracts - - - 2,646,847 2,646,847Other receivables* - - - 9,607,466 9,607,466Cash and cash equivalents 6,654,886 - - - 6,654,886

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 6,654,886 210,351,304 312,977,386 29,744,313 559,727,889


Liabilities



–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 6,654,886 210,351,304 312,977,386

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––






EMCB Fund Greater than Non-interest



Financial assets designated at fair value through profit or loss:- Investments 11,506,511 29,002,828 63,351,693 - 103,861,032Held for trading:- Currency rate swaps - - - 45,750 45,750- Forward foreign currency exchange contracts - - - 152,202 152,202Other receivables* - - - 1,351,263 1,351,263Cash at broker 141,531 - - - 141,531Cash and cash equivalents 5,069,426 - - - 5,069,426

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 16,717,468 29,002,828 63,351,693 1,549,215 110,621,204


Liabilities

Held for trading:- Forward foreign currency exchange contracts - - - (12,752) (12,752)- Futures - - - (29,695) (29,695)Other payables and accrued expenses - - - (83,472) (83,472)Payable to holders of redeemable participating shares - - - (31,186) (31,186)Net assets attributable to holders of redeemable participating shares at mid market prices - - - (110,464,099) (110,464,099)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 16,717,468 29,002,828 63,351,693

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––






EMLD Fund Greater than Non-interest



Financial assets designated at fair value through profit or loss:- Investments 34,557,960 36,845,722 180,609,971 - 252,013,653Held for trading:- Forward foreign currency exchange contracts - - - 5,712,636 5,712,636Interest rate swaps - 122,233 462,452 - 584,685Other receivables* - - - 4,008,995 4,008,995Positive cash collateral (swaps) 1,580,000 1,580,000Receivable for investments sold - - - - -Cash and cash equivalents 4,027,640 - - - 4,027,640

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 38,585,600 36,967,955 181,072,423 11,301,631 267,927,609


Liabilities

Held for trading:- Forward foreign currency exchange contracts - - - (4,878,448) (4,878,448)Interest rate swaps - (87,765) (107,888) - (195,653)Negative cash collateral (swaps) - - - (1,840,000) (1,840,000)Other payables and accrued expenses - - - (281,604) (281,604)Net assets attributable to holders of redeemable participating shares at mid market prices - - - (260,731,904) (260,731,904)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 38,585,600 36,880,190 180,964,535

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––






GCB Fund Greater than Non-interest



Financial assets designated at fair value through profit or loss:- Investments 2,063,210 15,782,471 23,440,846 - 41,286,527Held for trading:- Forward foreign exchange contracts - - - 88,493 88,493- Futures contracts - - - 46,431 46,431Other receivables* - - - 548,504 548,504Receivable for investments sold - - - - -Cash and cash equivalents 1,071,902 - - - 1,071,902

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 3,135,112 15,782,471 23,440,846 683,428 43,041,857


Liabilities

Held for trading:- Forward foreign currency exchange contracts - - - - -- Futures contracts - - - (20,165) (20,165)Other payables and accrued expenses - - - (1,017,465) (1,017,465)Net assets attributable to holders of redeemable participating shares at mid market prices - - - (42,004,227) (42,004,227)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure (1,071,902) - (41,286,527)

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––

EMDSD Fund Greater than Non-interest



Financial assets designated at fair value through profit or loss:- Investments 2,478,056 17,290,602 4,962,097 - 24,730,755Held for trading:- Forward foreign currency exchange contracts - - - 36,447 36,447Other receivables* - - - 443,654 443,654Cash and cash equivalents 1,541,826 - - - 1,541,826

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 4,019,882 17,290,602 4,962,097 480,101 26,752,682


Liabilities

Held for trading:- Forward foreign currency exchange contracts - - - (2,980) (2,980)Other payables and accrued expenses - - - (90,650) (90,650)Net assets attributable to holders of redeemable participating shares at mid market prices - - - (26,659,052) (26,659,052)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 4,019,882 17,290,602 4,962,097

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––






ASD Fund Greater than Non-interest



Financial assets designated at fair value through profit or loss:- Investments 1,350,976 25,726,396 20,721,378 - 47,798,750Held for trading:- Forward foreign exchange contracts - - - 143,845 143,845- Futures contracts - - - 16,517 16,517Other receivables* - - - 319,010 319,010Receivable for investments sold - - - 314,333 314,333Cash and cash equivalents 795,478 - - - 795,478

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 2,146,454 25,726,396 20,721,378 793,705 49,387,933


Liabilities

Forward foreign exchange contracts - - - (357,106) (357,106)Futures contracts - - - (6,112) (6,112)Credit default swaps - - - (30,505) (30,505)Other payables and accrued expenses - - - (45,092) (45,092)Payable for investments purchased - - - (389,811) (389,811)Net assets attributable to holders of redeemable participating shares at mid market prices - - - (48,559,307) (48,559,307)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 2,146,454 25,726,396 20,721,378

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––






EMDBTR Fund Greater than Non-interest



Financial assets designated at fair value through profit or loss:- Investments 7,546,279 9,153,679 62,273,997 - 78,973,955Held for trading:- Forward foreign exchange contracts - - - 1,984,772 1,984,772- Futures contracts - - - 23,000 23,000- Interest rate swaps - 44,233 338,645 - 382,878Other receivables* - - - 1,345,449 1,345,449Receivable for investments sold - - - - -Cash and cash equivalents 3,609,305 - - - 3,609,305

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 11,155,584 9,197,912 62,612,642 3,353,221 86,319,359


Liabilities

Held for trading:- Forward foreign exchange contracts - - - (2,280,137) (2,280,137)- Futures contracts - - - - -- Interest rate swaps - (41,848) (42,960) - (84,808)Amounts due to broker - - - (260,000) (260,000)Other payables and accrued expenses - - - (114,959) (114,959)Payable for investments purchased - - - (1,599,747) (1,599,747)Net assets attributable to holders of redeemable participating shares at mid market prices - - - (81,979,708) (81,979,708)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 11,155,584 9,156,064 62,569,682

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––








EMSD Fund Greater than Non-interest



Financial assets designated at fair value through profit or loss:- Investments 207,250 5,297,907 15,608,669 - 21,113,826Held for trading:- Forward foreign currency exchange contracts - - - 44,610 44,610Other receivables* - - - 410,214 410,214Cash and cash equivalents 118,210 - - - 118,210

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 325,460 5,297,907 15,608,669 454,824 21,686,860


Liabilities

Held for trading:- Forward foreign exchange contracts - - - (46,524) (46,524)- Credit default swaps - - - (87,437) (87,437)Other payables and accrued expenses - - - (68,510) (68,510)Net assets attributable to holders of redeemable participating shares at mid market prices - - - (21,484,389) (21,484,389)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 325,460 5,297,907 15,608,669

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––

USHYB Fund Greater than Non-interest



Financial assets designated at fair value through profit or loss:- Investments - 107,064,272 172,362,795 - 279,427,067Held for trading:- Forward foreign currency exchange contracts - - - 1,853 1,853Other receivables* - - - 5,085,139 5,085,139Cash and cash equivalents 8,414,467 - - - 8,414,467

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 8,414,467 107,064,272 172,362,795 5,086,992 292,928,526


Liabilities

Held for trading:Forward foreign exchange contracts - - - (180,494) (180,494)Other payables and accrued expenses - - - (90,517) (90,517)Net assets attributable to holders of redeemable participating shares at mid market prices - - - (292,657,515) (292,657,515)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 8,414,467 107,064,272 172,362,795

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––




USIGCB Fund Greater than Non-interest



Financial assets designated at fair value through profit or loss:- Investments 4,713,832 71,056,376 132,764,467 - 208,534,675Held for trading:- Futures contracts - - - 36,963 36,963Other receivables* - - - 2,536,183 2,536,183Cash and cash equivalents 3,389,500 - - - 3,389,500

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 8,103,332 71,056,376 132,764,467 2,573,146 214,497,321


Liabilities

Held for trading:- Forward foreign exchange contracts - - - - -- Futures contracts - - - (38,936) (38,936)Other payables and accrued expenses - - - (2,196,238) (2,196,238)Net assets attributable to holders of redeemable participating shares at mid market prices - - - (212,262,147) (212,262,147)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Net exposure 8,103,332 71,056,376 132,764,467

–––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– ––––––––––––––








The below interest rate sensitivity analysis information is a relative estimate of risk and is not intended to be a precise andaccurate number. The calculations are based on historical data. Future interest rate movements could vary significantly fromthose experienced in the past.

Based on the portfolios’ composition as at 31 December 2017, the corresponding (decrease)/increase in Net Assets attributableto holders of redeemable participating shares, from an increase/(decrease) in average interest rates would be as follows:

Based on the portfolios’ composition as at 31 December 2016, the corresponding (decrease)/increase in Net Assets attributableto holders of redeemable participating shares, from an increase/(decrease) in average interest rates would be as follows:

Interest

rate

change

%

-0.50%-0.75%-1.00%

GSSB Fund

31 Dec 2017

% Effect on

NAV

+1.55% +2.33% +3.10%

EHYB Fund

31 Dec 2017

% Effect on

NAV

+1.58% +2.36% +3.15%

GHYB Fund

31 Dec 2017

% Effect on

NAV

+1.71% +2.56% +3.42%

USHYB Fund

31 Dec 2017

% Effect on

NAV

+1.67% +2.50% +3.33%

USHYBC Fund

31 Dec 2017

% Effect on

NAV

+2.01% +3.01% +4.02%

USSDHYBC Fund

31 Dec 2017

% Effect on

NAV

+0.75% +1.13% +1.51%

Interest

rate

change

%

+0.50%+0.75%+1.00%

GSSB Fund

31 Dec 2017

% Effect on

NAV

-1.55% -2.33% -3.10%

EHYB Fund

31 Dec 2017

% Effect on

NAV

-1.58% -2.36% -3.15%

GHYB Fund

31 Dec 2017

% Effect on

NAV

-1.71% -2.56% -3.42%

USHYB Fund

31 Dec 2017

% Effect on

NAV

-1.67% -2.50% -3.33%

USHYBC Fund

31 Dec 2017

% Effect on

NAV

-2.01% -3.01% -4.02%

USSDHYBC Fund

31 Dec 2017

% Effect on

NAV

-0.75% -1.13% -1.51%

Interest

rate

change

%

-0.50%-0.75%-1.00%

GSSB Fund

31 Dec 2016

% Effect on

NAV

+1.30%+1.95%+2.60%

EHYB Fund

31 Dec 2016

% Effect on

NAV

+1.28%+1.92%+2.55%

GHYB Fund

31 Dec 2016

% Effect on

NAV

+1.51%+2.26%+3.02%

USHYB Fund

31 Dec 2016

% Effect on

NAV

+1.72%+2.58%+3.44%

Interest

rate

change

%

+0.50%+0.75%+1.00%

GSSB Fund

31 Dec 2016

% Effect on

NAV

-1.30%-1.95%-2.60%

EHYB Fund

31 Dec 2016

% Effect on

NAV

-1.28%-1.92%-2.55%

GHYB Fund

31 Dec 2016

% Effect on

NAV

-1.51%-2.26%-3.02%

USHYB Fund

31 Dec 2016

% Effect on

NAV

-1.72%-2.58%-3.44%




Accordingly, an increase/decrease of 100 basis points in average interest rates as at the reporting date would havedecreased/increased the Net Assets attributable to holders of redeemable participating shares by:

Fund 2017 2016

GSSB US$7,441,052 US$5,469,502 EHYB €11,290,822 €8,242,333 GHYB US$25,066,743 US$16,641,852 USHYB US$6,333,305 US$10,059,374 USHYBC US$6,593,608 - USSDHYBC US$1,308,726 -

Price risk

Many of the Sub-Funds’ financial instruments are carried at fair value in the Statement of Financial Position. Usually the fair valueof the financial instruments can be reliably determined within a reasonable range of estimates. For certain other financialinstruments, including other debtors, receivable for management fee reimbursement, accounts payable and accruedexpenses, the carrying amounts approximate fair value due to the immediate or short-term nature of these financial instruments.

The carrying amounts of all the Sub-Funds’ financial assets and financial liabilities at the financial year end date approximatedtheir fair values.

Fair value estimates are made at a specific point in time, based on market conditions and information about the financialinstrument. These estimates are subjective in nature and involve uncertainties and matters of significant judgement (e.g. interestrates, volatility, estimated cash flows etc.) and therefore, cannot be determined with precision.

Sensitivity analysis

The below price sensitivity analysis information is a relative estimate of risk and is not intended to be a precise and accuratenumber. The calculations are based on historical data. Future price movements could vary significantly from those experiencedin the past.

A 5% increase or decrease in investment prices at 31 December 2017 and 31 December 2016 would have increased ordecreased the value of investments designated at fair value through profit or loss as follows:

GSSB Fund

31 Dec 2017

11,518,656

EHYB Fund

31 Dec 2017

17,370,496

GHYB Fund

31 Dec 2017

34,718,480

EMCB Fund

31 Dec 2017

4,817,949

EMLD Fund

31 Dec 2017

42,385,164

GCB Fund

31 Dec 2017

1,281,814

EMDSD Fund

31 Dec 2017

1,760,551

ASD Fund

31 Dec 2017

3,030,042

EMDBTR Fund

31 Dec 2017

5,283,613

EMSD Fund

31 Dec 2017

1,151,950

USHYB Fund

31 Dec 2017

9,178,703

USIGCB Fund

31 Dec 2017

12,344,337

USHYBC Fund

31 Dec 2017

7,982,577

USSDHYBC Fund

31 Dec 2017

4,141,539

Company Total

31 Dec 2017

160,437,352

GSSB Fund

31 Dec 2016

9,980,844

EHYB Fund

31 Dec 2016

15,493,108

GHYB Fund

31 Dec 2016

27,040,935

EMCB Fund

31 Dec 2016

5,193,052

EMLD Fund

31 Dec 2016

12,600,683

GCB Fund

31 Dec 2016

2,064,326

EMDSD Fund

31 Dec 2016

1,236,538

ASD Fund

31 Dec 2016

2,389,938

EMDBTR Fund

31 Dec 2016

3,948,698

EMSD Fund

31 Dec 2016

1,055,691

USHYB Fund

31 Dec 2016

13,971,353

USIGCB Fund

31 Dec 2016

10,426,734

Company Total

31 Dec 2016

106,977,276





Credit risk

This is the risk that one party to a financial instrument will cause a financial loss for the other party by failing to discharge anobligation. This includes counterparty risk and issuer risk. In relation to the Company, it can arise from receivables due fromanother party, placing deposits with other entities, purchases of debt securities and entering into derivative contracts.

The Sub-Funds minimise concentrations of credit risk by undertaking transactions with a large number of counterparties. TheCompany’s Prospectus and the UCITS regulations list various investment restrictions with regard to issuer and counterpartyconcentration limits and minimum counterparty credit ratings.

Issuer risk is associated with transacting in exchange traded debt securities and is monitored by use of credit ratings. For Sub-Funds investing in debt securities, the investment objectives provide details of the credit rating restrictions imposed on thatSub-Fund.

The Sub-Funds’ credit risk concentration is spread between a number of issuers. The top ten holdings in the Companyrepresented 14.27% (31 December 2016: 5.88%) of the Company’s assets.

The carrying amounts of financial assets best represent the maximum credit risk exposure at the financial year end date. TheInvestment Managers through their investment strategy will endeavour to avoid losses relating to defaults on the underlyingassets. In-house research is used to identify asset allocation opportunities amongst various fixed income asset classes and totake advantage of episodes of market mis-pricing. The Sub-Funds may utilise different financial instruments to seek to hedgeagainst declines in the value of the Sub-Fund’s positions as a result of changes in currency exchange rates. The Sub-Fundsare exposed to credit risk associated with the forward currency counterparties with whom it trades and will also bear the riskof settlement default.

At 31 December 2017, the Sub-Funds held investments in bonds with the following publically quoted credit ratings as perStandard & Poor's:

Public rating

AAAAA+AAAA-A+AA-BBB+BBBBBB-BB+BBBB-B+BB-CCCC+CCCCCC-DNot publically rated

Total

GSSB Fund

31 Dec 2017

% of

Market Value

---------

6.732.457.19

19.6315.6817.1118.13

-5.41

-1.890.145.64

––––––––––––––100.00

––––––––––––––––––––––––––––

EHYB Fund

31 Dec 2017

% of

Market Value

----------

7.569.05

15.3213.2717.8117.04

-12.012.050.48

-5.41

––––––––––––––100.00

––––––––––––––––––––––––––––

GHYB Fund

31 Dec 2017

% of

Market Value

---------

2.605.817.56

17.9612.9514.8019.00

-13.163.650.480.151.88

––––––––––––––100.00

––––––––––––––––––––––––––––

EMCB Fund

31 Dec 2017

% of

Market Value

----

1.230.593.356.198.13

13.818.055.54

12.188.453.892.63

-----

25.96––––––––––––––

100.00––––––––––––––––––––––––––––

EMLD Fund

31 Dec 2017

% of

Market Value

----

0.17-

16.83-

4.4110.8516.398.51

--

1.42--

1.22---

40.20––––––––––––––

100.00––––––––––––––––––––––––––––

GCB Fund

31 Dec 2017

% of

Market Value

0.803.431.391.942.388.24

15.2523.9920.0519.401.44

----------

1.69––––––––––––––

100.00––––––––––––––––––––––––––––

EMDSD Fund

31 Dec 2017

% of

Market Value

-----

1.684.294.967.779.25

13.359.45

11.067.982.28

------

27.93––––––––––––––

100.00––––––––––––––––––––––––––––







Credit risk (continued)

Public rating

AAAAA+AAAA-A+AA-BBB+BBBBBB-BB+BBBB-B+BB-CCC+CCCCCCC-DNot publically rated

Total

ASD Fund

31 Dec 2017

% of

Market Value

9.5710.245.611.201.68

10.087.359.69

11.5116.095.261.670.29

-0.40

---

0.08--

9.28––––––––––––––

100.00––––––––––––––––––––––––––––

EMDBTR Fund

31 Dec 2017

% of

Market Value

------

9.455.614.297.229.69

12.057.197.693.522.16

-1.85

---

29.28––––––––––––––

100.00––––––––––––––––––––––––––––

EMSD Fund

31 Dec 2017

% of

Market Value

----

1.09--

7.865.91

10.43-

16.8810.276.563.34

10.21-

5.03---

22.42––––––––––––––

100.00––––––––––––––––––––––––––––

USHYB Fund

31 Dec 2017

% of

Market Value

---------

4.476.315.26

23.0310.0613.9316.58

-12.264.451.220.691.74

––––––––––––––100.00

––––––––––––––––––––––––––––

USIGCB Fund

31 Dec 2017

% of

Market Value

1.076.360.933.252.198.94

12.2325.1418.1619.221.500.640.37

---------

––––––––––––––100.00

––––––––––––––––––––––––––––

USHYBC Fund

31 Dec 2017

% of

Market Value

---------

3.0211.4310.9817.8610.1014.4314.08

-11.092.900.730.053.33

––––––––––––––100.00

––––––––––––––––––––––––––––

USSDHYBC Fund

31 Dec 2017

% of

Market Value

---------

2.0921.5011.4423.699.46

17.1311.23

-3.46

----

––––––––––––––100.00

––––––––––––––––––––––––––––




At 31 December 2016, the Sub-Funds held investments in bonds with the following publically quoted credit ratings as perStandard & Poor's:

Public rating

AAAAA+AAAA-A+AA-BBB+BBBBBB-BB+BBBB-B+BB-CCCC+CCCCCC-Not publically rated

Total

GSSB Fund

31 Dec 2016

% of

Market Value

---------

2.363.577.299.66

14.7428.6819.570.83

10.482.82

--

––––––––––––––100.00

––––––––––––––––––––––––––––

EHYB Fund

31 Dec 2016

% of

Market Value

---------

0.654.267.80

14.6315.1327.7111.83

-15.432.390.17

-––––––––––––––

100.00––––––––––––––––––––––––––––

GHYB Fund

31 Dec 2016

% of

Market Value

---------

1.675.242.606.269.76

19.7623.750.06

19.6010.101.20

-––––––––––––––

100.00––––––––––––––––––––––––––––

EMCB Fund

31 Dec 2016

% of

Market Value

---

1.251.091.811.08

10.489.33

22.436.908.463.55

14.851.780.51

----

16.48––––––––––––––

100.00––––––––––––––––––––––––––––

EMLD Fund

31 Dec 2016

% of

Market Value

---

0.60-

16.389.518.750.419.37

-7.53

---

1.98----

45.47––––––––––––––

100.00––––––––––––––––––––––––––––

GCB Fund

31 Dec 2016

% of

Market Value

0.4611.831.553.512.128.10

14.4713.4118.6818.962.220.991.78

-0.96

-----

0.96––––––––––––––

100.00––––––––––––––––––––––––––––






Public rating

AAAAA+AAAA-A+AA-BBB+BBBBBB-BB+BBBB-B+BB-CCC+CCCCCCC-Not publically rated

Total

EMDSD Fund

31 Dec 2016

% of

Market Value

----

0.844.231.628.71.7

21.326.12

16.722.16

12.260.874.25

----

19.21––––––––––––––

100.00––––––––––––––––––––––––––––

ASD Fund

31 Dec 2016

% of

Market Value

25.320.944.862.345.11

13.328.184.89

15.9111.545.182.41

---------

––––––––––––––100.00

––––––––––––––––––––––––––––

EMDBTR Fund

31 Dec 2016

% of

Market Value

------

17.385.31

17.1314.3710.578.791.90

15.861.037.66

-----

––––––––––––––100.00

––––––––––––––––––––––––––––

EMSD Fund

31 Dec 2016

% of

Market Value

----

0.961.121.889.238.40

19.463.09

10.698.28

12.843.77

19.390.89

----

––––––––––––––100.00

––––––––––––––––––––––––––––

USHYB Fund

31 Dec 2016

% of

Market Value

---------

1.536.333.62

10.538.78

16.3123.2718.329.760.251.30

-––––––––––––––

100.00––––––––––––––––––––––––––––

USIGCB Fund

31 Dec 2016

% of

Market Value

0.722.681.044.632.537.76

14.5521.1219.1420.183.021.970.66

--------

––––––––––––––100.00

––––––––––––––––––––––––––––






Credit risk arising on transactions with brokers relates to transactions awaiting settlement. The Sub-Funds monitor the creditrating and financial positions of the brokers used to mitigate this risk. The Investment Managers also monitor the settlementprocess on a regular basis.

At the reporting date, the Sub-Funds’ financial assets exposed to credit risk are as follows:

Investments at fair valueForward foreign currency exchange contractsCredit Default SwapInterest Rate SwapSwaptionsOther receivablesAmounts due from brokerCash held at brokerCash and cash equivalents

Total


Total


Total

GSSB Fund

31 Dec 2017

US$

230,373,115

1,425,017---

3,461,312--

5,809,335––––––––––––––

241,068,779––––––––––––––––––––––––––––

EHYB Fund

31 Dec 2017

€

347,409,911

3,013,630---

5,145,835--

4,533,281––––––––––––––

360,102,657––––––––––––––––––––––––––––

GHYB Fund

31 Dec 2017

US$

694,369,600

7,050,611---

22,469,375--

19,448,486––––––––––––––

743,338,072––––––––––––––––––––––––––––

EMCB Fund

31 Dec 2017

US$

96,358,984

36,4058,308

--

1,313,22968,426

-5,277,257

––––––––––––––103,062,609

––––––––––––––––––––––––––––

EMLD Fund

31 Dec 2017

US$

847,703,276

16,497,549-

695,114-

15,885,5428,801,825

-17,067,942

––––––––––––––906,651,248

––––––––––––––––––––––––––––

GCB Fund

31 Dec 2017

US$

25,933,088

----

334,22140,227

-398,005

––––––––––––––26,705,541

––––––––––––––––––––––––––––

EMDSD Fund

31 Dec 2017

US$

35,211,023

86,216---

506,270--

1,093,629––––––––––––––

36,897,138––––––––––––––––––––––––––––

ASD Fund

31 Dec 2017

US$

60,600,832

120,976--

218,000631,54416,879

-1,503,312

––––––––––––––63,091,543

––––––––––––––––––––––––––––

EMDBTR Fund

31 Dec 2017

US$

105,672,264

1,797,21971,590

224,508-

1,905,436949,943

-2,462,702

––––––––––––––113,083,662

––––––––––––––––––––––––––––

EMSD Fund

31 Dec 2017

US$

23,039,009

20,21127,420

--

373,3545,958

-310,377

––––––––––––––23,776,329

––––––––––––––––––––––––––––

USHYB Fund

31 Dec 2017

US$

183,574,060

128---

2,974,026--

3,632,607––––––––––––––

190,180,821––––––––––––––––––––––––––––

USIGCB Fund

31 Dec 2017

US$

246,886,735

----

3,809,83625,504

-2,475,744

––––––––––––––253,197,819

––––––––––––––––––––––––––––

USHYBC Fund

31 Dec 2017

US$

159,651,533

----

2,430,078--

2,057,422––––––––––––––

164,139,033––––––––––––––––––––––––––––

USSDHYBC Fund

31 Dec 2017

US$

82,830,780

----

1,348,374--

2,698,972––––––––––––––

86,878,126––––––––––––––––––––––––––––






At 31 December 2016, the Sub-Funds’ financial assets exposed to credit risk are as follows:

Investments at fair valueForward foreign currency exchange contractsCredit Default SwapInterest Rate SwapOther receivablesAmounts due from brokerCash held at brokerCash and cash equivalents

Total

Investments at fair valueForward foreign currency exchange contractsInterest Rate SwapOther receivablesAmounts due from brokerCash held at brokerCash and cash equivalents

Total

Amounts in the above tables are based on the carrying value of the financial assets as at the financial year end date.

Substantially all of the assets of the Sub-Funds (including cash) are held by the Depositary, State Street Custodial Services(Ireland) Limited. Bankruptcy or insolvency of the Depositary may cause the Sub-Funds’ rights with respect to securities heldby the Depositary to be delayed or limited. The Sub-Funds monitor their risk by monitoring the credit quality and financialpositions of the Depositary. The long term credit rating of State Street Corporation, the parent company of the Depositary wasA1 as at 31 December 2017 (31 December 2016: A1). The Sub-Funds’ assets and cash are maintained within the Depositary’scustodial network in segregated accounts. The Depositary will ensure that any agent it appoints to assist in safekeeping theassets of the Sub-Funds will segregate these assets. Thus in the event of insolvency or bankruptcy of the Depositary, the Sub-Funds’ assets are segregated and protected and this further reduces counterparty risk.

GSSB Fund

31 Dec 2016

US$

199,616,876

2,525,970--

6,432,811--

5,383,290––––––––––––––

213,958,947––––––––––––––––––––––––––––

EHYB Fund

31 Dec 2016

€

309,862,160

1,063,205--

5,313,841--

7,750,215––––––––––––––

323,989,421––––––––––––––––––––––––––––

GHYB Fund

31 Dec 2016

US$

540,818,690

2,646,847--

9,607,466--

6,654,886––––––––––––––

559,727,889––––––––––––––––––––––––––––

EMCB Fund

31 Dec 2016

US$

103,861,032

152,20245,750

-1,351,263

-141,531

5,069,426––––––––––––––

110,621,204––––––––––––––––––––––––––––

EMLD Fund

31 Dec 2016

US$

252,013,653

5,712,636-

584,6854,008,995

-1,580,0004,027,640

––––––––––––––267,927,609

––––––––––––––––––––––––––––

GCB Fund

31 Dec 2016

US$

41,286,527

88,493--

548,504--

1,071,902––––––––––––––

42,995,426––––––––––––––––––––––––––––

EMDSD Fund

31 Dec 2016

US$

24,730,755

36,447-

443,654-

1,541,826––––––––––––––

26,752,682––––––––––––––––––––––––––––

ASD Fund

31 Dec 2016

US$

47,798,750

143,845-

633,343-

795,478––––––––––––––

49,371,416––––––––––––––––––––––––––––

EMDBTR Fund

31 Dec 2016

US$

78,973,955

1,984,772382,878

1,285,89559,554

3,869,305––––––––––––––

86,556,359––––––––––––––––––––––––––––

EMSD Fund

31 Dec 2016

US$

21,113,826

44,610-

410,214-

118,210––––––––––––––

21,686,860––––––––––––––––––––––––––––

USHYB Fund

31 Dec 2016

US$

279,427,067

1,853-

5,085,139-

8,414,467––––––––––––––

292,928,526––––––––––––––––––––––––––––

USIGCB Fund

31 Dec 2016

US$

208,534,675

--

2,536,183-

3,389,500––––––––––––––

214,460,358––––––––––––––––––––––––––––






The Sub-Funds’ Investment Managers analyse credit concentration based on the counterparty, industry and geographicallocation of the financial assets that the Sub-Funds hold. The Sub-Funds’ financial assets exposed to credit risk wereconcentrated in the following industries:

Asset BackedSecuritiesAutomotiveBankingBasic IndustryBasic MaterialsBrokerage, Asset Managers & ExchangesCapital GoodsCDOCommunicationsConsumer goods/cyclicalConsumer goods/non-cyclicalDiversifiedElectricEnergyFinance CompaniesFinancialFinancial ServicesGovernmentHealthcareIndustrialInfrastructureInsuranceInvestment FundsLeisureLocal AuthorityMediaMetals & MiningMortgage Backed SecuritiesNatural GasNon-Agency CMBSOil & GasOther FinancialOther IndustrialOther UtilityPulp & PaperReal EstateREITSResidential MortgagesRetailServicesSovereignTechnology

GSSB Fund

31 Dec 2017

% of

Market Value

-1.34

-7.87

-

-4.92

--

5.58

---

8.77--

7.84-

10.81--

3.22-

3.53-

13.45-

--------

0.63--

7.5211.91

--

EHYB Fund

31 Dec 2017

% of

Market Value

-2.28

-12.44

-

-8.16

--

3.70

---

2.19--

11.32-

8.53--

3.42-

7.12-

10.92-

--------

0.77--

6.5010.81

--

GHYB Fund

31 Dec 2017

% of

Market Value

-0.71

-13.41

-

-9.01

--

4.76

---

15.07--

6.44-

8.45--

2.41-

1.56-

10.21-

--------

0.12--

3.2010.64

--

EMCB Fund

31 Dec 2017

% of

Market Value

-----

----

4.39

-----

25.79-

1.08-

5.544.41

-----

9.63

---

20.58---

0.937.18

------

EMLD Fund

31 Dec 2017

% of

Market Value

-----

----

-

-------

99.98---------

---------------

GCB Fund

31 Dec 2017

% of

Market Value

--

23.162.72

-

3.121.87

-10.19

4.75

9.30-

6.4110.310.87

--

0.91---

7.650.72

----

-0.38

--

0.370.801.21

--

0.72---

1.697.02

EMDSD Fund

31 Dec 2017

% of

Market Value

-----

----

1.65

-1.87

---

39.74---

5.222.93

-----

6.15

---

15.65----

10.51------






Technology & ElectronicsTelecommunicationsTMTTransportTransportationTreasuryUtilitiesUtility

Total

Asset Backed SecuritiesAutomotiveBankingBasic IndustryBasic MaterialsBrokerage, Asset Managers & ExchangesCapital GoodsCDOCommunicationsConsumer goods/cyclicalConsumer goods/non-cyclicalDiversifiedElectricEnergyFinance CompaniesFinancialFinancial ServicesGovernmentHealthcareIndustrialInfrastructureInsurance

GSSB Fund

31 Dec 2017

% of

Market Value

1.841.60

--

5.19--

3.98––––––––––––––

100.00––––––––––––––––––––––––––––

EHYB Fund

31 Dec 2017

% of

Market Value

0.772.98

--

6.15--

1.94––––––––––––––

100.00––––––––––––––––––––––––––––

GHYB Fund

31 Dec 2017

% of

Market Value

2.544.32

--

5.58--

1.57––––––––––––––

100.00––––––––––––––––––––––––––––

EMCB Fund

31 Dec 2017

% of

Market Value

--

11.312.22

--

6.94-

––––––––––––––100.00

––––––––––––––––––––––––––––

EMLD Fund

31 Dec 2017

% of

Market Value

------

0.02-

––––––––––––––100.00

––––––––––––––––––––––––––––

GCB Fund

31 Dec 2017

% of

Market Value

----

2.403.43

--

––––––––––––––100.00

––––––––––––––––––––––––––––

EMDSD Fund

31 Dec 2017

% of

Market Value

--

7.163.78

--

5.34-

––––––––––––––100.00

––––––––––––––––––––––––––––

ASD Fund

31 Dec 2017

% of

Market Value

16.57-

9.034.13

-

2.103.785.734.42

5.72

8.20-

2.110.402.98

--

3.92---

3.38

EMDBTR Fund

31 Dec 2017

% of

Market Value

-----

----

1.98

-----

7.87-

69.14-

2.15--

EMSD Fund

31 Dec 2017

% of

Market Value

-----

----

0.88

-----

3.22-

72.26-

2.750.75

-

USHYB Fund

31 Dec 2017

% of

Market Value

---

13.11-

1.6811.39

-12.45

11.64

11.80-

1.3119.021.13

------

0.99

USIGCB Fund

31 Dec 2017

% of

Market Value

--

21.302.06

-

1.832.54

-7.32

6.63

10.94-

5.6012.502.06

--

0.35---

6.25

USHYBC Fund

31 Dec 2017

% of

Market Value

-2.091.06

17.77-

-7.25

--

4.70

---

18.75--

4.48-

9.61--

1.44

USSDHYBC Fund

31 Dec 2017

% of

Market Value

--

1.2316.665.80

-9.88

--

2.12

---

17.25--

4.30-

8.30---






Investment FundsLeisureLocal AuthorityMediaMetals & MiningMortgage Backed SecuritiesNatural GasNon-Agency CMBSOil & GasOther FinancialOther IndustrialOther UtilityPulp & PaperReal EstateREITSResidential MortgagesRetailServicesSovereignTechnologyTechnology & ElectronicsTelecommunicationsTMTTransportTransportationTreasuryUtilitiesUtility

Total

ASD Fund

31 Dec 2017

% of

Market Value

0.71----

2.38-

0.73-

13.260.52

---

1.130.04

--

0.723.40

----

2.791.85

--

––––––––––––––100.00

––––––––––––––––––––––––––––

EMDBTR Fund

31 Dec 2017

% of

Market Value

----

1.03

---

5.49-----------

--

6.890.71

--

4.74-

––––––––––––––100.00

––––––––––––––––––––––––––––

EMSD Fund

31 Dec 2017

% of

Market Value

----

1.82

---

9.25-----------

---

4.95--

4.12-

––––––––––––––100.00

––––––––––––––––––––––––––––

USHYB Fund

31 Dec 2017

% of

Market Value

-----

----

0.862.52

---

0.71----

1.96

----

9.43---

––––––––––––––100.00

––––––––––––––––––––––––––––

USIGCB Fund

31 Dec 2017

% of

Market Value

0.46-

1.68--

-0.32

--

0.190.43

---

2.04---

3.905.68

----

1.834.09

--

––––––––––––––100.00

––––––––––––––––––––––––––––

USHYBC Fund

31 Dec 2017

% of

Market Value

-0.18

-8.54

-

--------

1.06--

1.497.19

--

4.005.69

--

2.31--

2.39––––––––––––––

100.00––––––––––––––––––––––––––––

USSDHYBC Fund

31 Dec 2017

% of

Market Value

-1.88

-11.13

-

-----------

0.191.34

--

3.446.02

--

8.88--

1.58––––––––––––––

100.00––––––––––––––––––––––––––––






At 31 December 2016, the Sub-Funds’ financial assets exposed to credit risk were concentrated in the following industries:

Asset Backed SecuritiesAutomotiveBankingBasic industryBrokerage, Asset Managers & ExchangesCapital goods/constructionCommunicationsConsumer goods/cyclicalConsumer Non-cyclicalDiversifiedElectricEnergyFinancialGovernmentHealthcareHealth facilitiesIndustrialInfrastructureInsuranceLeisureMediaMetals & MiningOil & GasOther FinancialPulp & PaperReal estateREITSRetailServicesSovereignTechnologyTechnology & ElectronicsTelecommunicationsTransportationUtilities

Total

GSSB Fund

31 Dec 2016

% of

Market Value

-5.74

-13.54

-5.77

-4.65

---

12.365.17

-7.04

---

1.094.91

14.71------

7.798.76

--

2.763.641.550.52

––––––––––––––100.00

––––––––––––––––––––––––––––

EHYB Fund

31 Dec 2016

% of

Market Value

-4.17

-16.45

-12.00

-4.05

---

1.695.54

-7.73

---

1.816.11

12.38----

0.29-

7.7610.02

--

4.023.292.150.54

––––––––––––––100.00

––––––––––––––––––––––––––––

GHYB Fund

31 Dec 2016

% of

Market Value

-4.26

-15.74

-11.56

-2.38

---

15.712.94

-8.27

---

0.602.828.33

------

2.817.776.44

--

5.624.75

-––––––––––––––

100.00––––––––––––––––––––––––––––

EMCB Fund

31 Dec 2016

% of

Market Value

-0.98

27.2814.93

-1.33

-3.52

---

19.741.35

-----

1.21-

3.52-

1.14--

4.06-

1.110.50

--

0.535.534.958.32

––––––––––––––100.00

––––––––––––––––––––––––––––

EMLD Fund

31 Dec 2016

% of

Market Value

----

---------

16.88---------

83.12-----------

––––––––––––––100.00

––––––––––––––––––––––––––––

GCB Fund

31 Dec 2016

% of

Market Value

--

8.578.95

2.793.138.825.00

11.77-

7.33-

12.842.860.56

---

5.82------

0.421.63

--

13.025.30

--

1.19-

––––––––––––––100.00

––––––––––––––––––––––––––––






Asset Backed SecuritiesAutomotiveBankingBasic industryBasic MaterialsBrokerage, Asset Managers & ExchangesCDOCapital goods/constructionCommunicationsConsumer goods/cyclicalConsumer good/non-cyclicalConsumer productsDiversifiedElectricEnergyFinancialGovernmentHome Equity ABSIndustrialInfrastructureInsuranceInvestment FundsLocal AuthorityMediaMetals & MiningMortgage SecuritiesNatural GasNon-Agency CMBSOil & GasOther FinancialOther IndustrialPulp & PaperReal estateREITSRetailResidential MortgagesSovereignStudent Loans ABSTechnologyTelecommunicationsTMTTransportationUtilities

Total

Credit risk also incorporates counterparty risk which covers the likelihood of a counterparty failing which would principally ariseon transactions with brokers that are awaiting settlement. Risk relating to unsettled transactions is considered small due to theapproval process of the brokers used and an active settlement process employed from the outset by the Investment Managers.

EMDSD Fund

31 Dec 2016

% of

Market Value

--

32.7816.1

-

----

4.99----

21.681.68

----

1.59--

2.99--------

4.33-

1.67----

3.45-

0.807.94

––––––––––––––100.00

––––––––––––––––––––––––––––

ASD Fund

31 Dec 2016

% of

Market Value

7.55-

7.364.66

-

1.475.514.333.496.028.52

--

2.37-

2.76-

0.80--

3.280.48

---

5.340.252.99

-13.270.55

--

0.96-

0.092.08

10.092.97

--

2.81-

––––––––––––––100.00

––––––––––––––––––––––––––––

EMDBTR Fund

31 Dec 2016

% of

Market Value

-----

----

2.65-

----

9.3463.15

-6.91

---------

5.43-----------

5.150.686.69

––––––––––––––100.00

––––––––––––––––––––––––––––

EMSD Fund

31 Dec 2016

% of

Market Value

-----

----

0.96--

0.94--

0.9282.31

-0.98

-----

0.96---

9.91------------

1.161.86

––––––––––––––100.00

––––––––––––––––––––––––––––

USHYB Fund

31 Dec 2016

% of

Market Value

--

0.1211.67

-

0.56-

12.5415.2516.839.94

--

0.9917.620.12

----

1.17--------

0.372.56

--

0.18----

3.96--

6.12-

––––––––––––––100.00

––––––––––––––––––––––––––––

USIGCB Fund

31 Dec 2016

% of

Market Value

--

17.325.48

-

0.41-

3.487.915.33

14.24--

6.0114.592.770.40

---

5.79-

2.37---

0.35--

0.36---

2.58--

3.61-

5.67--

1.33-

––––––––––––––100.00

––––––––––––––––––––––––––––






At 31 December 2017 the Sub-Funds’ financial assets exposed to credit risk were concentrated in the following geographicalareas:

AngolaArgentinaArmeniaAustraliaAzerbaijanBahrainBrazilBelarusBelgiumBermudaBritish Virgin IslandsCanadaChileChinaColombiaCosta RicaCote d'IvoireCroatiaCzech RepublicDominican RepublicDenmarkEcuadorEl SalvadorFinlandFranceGermanyGhanaGreat BritainGuatemalaGuernsey C.I.HondurasHong KongHungaryIndiaIndonesiaIrelandIsraelItalyIvory CoastJamaicaJapan

GSSB Fund

31 Dec 2017

% of

Market Value

--------

1.80--

1.71------

0.63-

1.88---

3.424.612.02

29.61-------

1.34-

0.57---

EHYB Fund

31 Dec 2017

% of

Market Value

--------

1.19---------

0.77-

1.10--

0.836.385.55

-39.14

-------

2.98-

1.22---

GHYB Fund

31 Dec 2017

% of

Market Value

------

0.29-

0.33--

2.74------

0.12-

1.08---

2.261.432.369.26

-------

0.82-

0.36-

0.54-

EMCB Fund

31 Dec 2017

% of

Market Value

-5.84

--

0.72-

9.950.64

----

2.568.806.59

---

0.39---

0.25--------

0.29-

5.231.80

-4.68

--

1.97-

EMLD Fund

31 Dec 2017

% of

Market Value

-2.55

----

8.51-----

4.28-

7.60-------

1.24---

1.77-----

0.36-

9.37------

GCB Fund

31 Dec 2017

% of

Market Value

---

1.69----

1.481.24

-3.38

------------

4.592.89

-5.47

--------

0.610.64

---

EMDSD Fund

31 Dec 2017

% of

Market Value

-1.29

----

13.77-----

1.9513.412.371.72

---------------

2.65-

1.730.92

-2.31

--

0.56-






KazakhstanKenyaKorea, Republic ofKuwaitLuxembourgMacauMalaysiaMexicoMoroccoNetherlandsNew ZelandNigeriaNorwayPakistanPanamaParaguayPeruPhilippinesPolandPortugalQatarRepublic of South KoreaRomaniaRussiaSaudi ArabiaSerbiaSingaporeSouth AfricaSouth KoreaSpainSri LankaSupra NationalSurinameSwedenSwitzerlandTaiwanThailandTrinidad And TobagoTunisiaTurkeyUkraineUnited Arab EmiratesUnited StatesUruguayVirgin Islands (British)Zambia

Total

GSSB Fund

31 Dec 2017

% of

Market Value

-------

0.63-

2.12---------

0.72-

--------

1.56---

0.282.57

-------

44.53---

––––––––––––––100.00

––––––––––––––––––––––––––––

EHYB Fund

31 Dec 2017

% of

Market Value

-------

1.16-

2.03--

0.63------

1.40-

--------

1.84---

3.913.76

-------

26.11---

––––––––––––––100.00

––––––––––––––––––––––––––––

GHYB Fund

31 Dec 2017

% of

Market Value

---------

1.07---------

1.01-

------------

0.431.63

-------

74.27---

––––––––––––––100.00

––––––––––––––––––––––––––––

EMCB Fund

31 Dec 2017

% of

Market Value

0.53--

2.37--

1.066.561.09

-----

1.20-

4.06---

3.62

--

7.18--

1.094.571.08

--

0.55-------

5.671.086.41

-1.26

-0.91

––––––––––––––100.00

––––––––––––––––––––––––––––

EMLD Fund

31 Dec 2017

% of

Market Value

------

6.5412.14

---

1.42----

4.10-

2.37--

-0.31

13.22-

0.84-

16.39--------

1.10--

5.89------

––––––––––––––100.00

––––––––––––––––––––––––––––

GCB Fund

31 Dec 2017

% of

Market Value

-------

0.45-

0.89-----------

-------------

2.46-------

74.21---

––––––––––––––100.00

––––––––––––––––––––––––––––

EMDSD Fund

31 Dec 2017

% of

Market Value

1.17--

3.90---

5.11------

6.45-----

2.83

--

16.23---

3.80--

0.59--------

9.13-

8.11----

––––––––––––––100.00

––––––––––––––––––––––––––––






AngolaArgentinaArmeniaAustraliaAzerbaijanBahrainBrazilBelarusBelgiumBermudaBritish Virgin IslandsCanadaChileChinaColombiaCosta RicaCote d'IvoireCroatiaCzech RepublicDominican RepublicDenmarkEcuadorEl SalvadorFinlandFranceGermanyGhanaGreat BritainGuatemalaGuernsey C.I.HondurasHong KongHungaryIndiaIndonesiaIrelandIsraelItalyIvory CoastJamaicaJapan

ASD Fund

31 Dec 2017

% of

Market Value

---

1.18--

0.40-

0.310.30

-0.69

--

0.21---------

0.75--

0.99------

0.210.590.98

---

2.59

EMDBTR Fund

31 Dec 2017

% of

Market Value

-5.731.16

---

14.421.60

----

2.84-

6.43-

0.531.93

-0.88

--

1.85---

4.16-------

2.81-

2.25--

1.80-

EMSD Fund

31 Dec 2017

% of

Market Value

-9.793.98

---

3.642.52

-1.09

----

2.000.911.147.52

-3.99

--

5.86---

5.06---

0.98-

3.57-

6.21------

USHYB Fund

31 Dec 2017

% of

Market Value

-----------

3.06--------

0.83---

1.05-

3.720.42

---------

0.73-

0.44-

USIGCB Fund

31 Dec 2017

% of

Market Value

---

1.10--

0.87-

1.500.13

-2.62

-0.150.58

---------

0.600.23

-2.99

--------

0.420.74

--

0.50

USHYBC Fund

31 Dec 2017

% of

Market Value

-----------

2.19--------

0.63---

1.4-

2.94----------

0.5-

1.08-

USSDHYBC Fund

31 Dec 2017

% of

Market Value

------------------------

1.84----------------






KazakhstanKenyaKorea, Republic ofKuwaitLuxembourgMacauMalaysiaMexicoMoroccoNetherlandsNew ZelandNigeriaNorwayPakistanPanamaParaguayPeruPhilippinesPolandPortugalQatarRepublic of South KoreaRomaniaRussiaSaudi ArabiaSerbiaSingaporeSouth AfricaSouth KoreaSpainSri LankaSupra NationalSurinameSwedenSwitzerlandTaiwanThailandTrinidad And TobagoTunisiaTurkeyUkraineUnited Arab EmiratesUnited StatesUruguayVirgin Islands (British)Zambia

Total

ASD Fund

31 Dec 2017

% of

Market Value

-------

0.55--

0.58----------

--------

0.78---

0.610.95

----

0.40-

0.0986.73

-0.11

-––––––––––––––

100.00––––––––––––––––––––––––––––

EMDBTR Fund

31 Dec 2017

% of

Market Value

------

3.2617.570.58

--

1.30----

6.00---

1.02

--

6.78---

10.72----------

0.772.071.54

-----

––––––––––––––100.00

––––––––––––––––––––––––––––

EMSD Fund

31 Dec 2017

% of

Market Value

-1.16

-----

8.681.93

-----

4.452.90

--

1.36--

--

0.91-

1.74-

5.60---

0.91------

1.101.094.812.70

-1.46

-0.94

––––––––––––––100.00

––––––––––––––––––––––––––––

USHYB Fund

31 Dec 2017

% of

Market Value

-------------------

1.01-

---------------------

88.74---

––––––––––––––100.00

––––––––––––––––––––––––––––

USIGCB Fund

31 Dec 2017

% of

Market Value

-------

2.24-

0.90----

0.45-

0.200.410.330.33

-

--------

0.15----

2.70-------

79.86---

––––––––––––––100.00

––––––––––––––––––––––––––––

USHYBC Fund

31 Dec 2017

% of

Market Value

-------------------

0.39-

---------------------

90.87---

––––––––––––––100.00

––––––––––––––––––––––––––––

USSDHYBC Fund

31 Dec 2017

% of

Market Value

---------------------

---------------------

98.16---

––––––––––––––100.00

––––––––––––––––––––––––––––






At 31 December 2016 the Sub-Funds’ financial assets exposed to credit risk were concentrated in the following geographicalareas:

AngolaArgentinaArmeniaAustraliaAzerbaijanBahrainBrazilBelgiumBermudaBritish Virgin IslandsCanadaChileChinaColombiaCosta RicaCote d'IvoireCroatiaCzech RepublicDominican RepublicDenmarkEcuadorEl SalvadorFinlandFranceGermanyGhanaGreat BritainGuatemalaGuernsey C.I.HondurasHong KongHungaryIndiaIndonesiaIrelandIsraelItalyIvory CoastJamaicaJapan

GSSB Fund

31 Dec 2016

% of

Market Value

-------

1.83--

1.320.29

-------

0.84--

0.964.135.19

-27.63

-------

1.50-

2.23---

EHYB Fund

31 Dec 2016

% of

Market Value

-------

2.21--

0.17--------

0.44--

1.1510.868.03

-38.05

-------

2.75-

2.60---

GHYB Fund

31 Dec 2016

% of

Market Value

------

0.600.89

--

2.40--------

1.22--

0.103.061.110.98

11.49-------

0.50-

1.12---

EMCB Fund

31 Dec 2016

% of

Market Value

-1.42

----

13.27----

3.395.665.512.26

------

0.46--------

0.890.905.640.80

-3.45

--

2.05-

EMLD Fund

31 Dec 2016

% of

Market Value

------

5.75----

0.60-

8.75--

1.78--------

0.94-----

2.59-

9.88------

GCB Fund

31 Dec 2016

% of

Market Value

---

1.61---

2.220.51

-2.59

------------

2.942.01

-5.33

-------

0.980.321.27

---






KazakhstanKenyaKorea, Republic ofKuwaitLuxembourgMacauMalaysiaMexicoMoroccoNetherlandsNew ZelandNigeriaNorwayPakistanPanamaPeruPhilippinesPolandPortugalQatarRepublic of South KoreaRomaniaRussiaSaudi ArabiaSerbiaSingaporeSouth AfricaSouth KoreaSpainSri LankaSurinameSwedenSwitzerlandTaiwanThailandTrinidad And TobagoTurkeyUkraineUnited Arab EmiratesUnited StatesUruguay

Total

GSSB Fund

31 Dec 2016

% of

Market Value

-------

1.21-

1.08--

0.37----

0.430.80

---------

0.66--

0.732.97

-----

1.1944.64

––––––––––––––100.00

––––––––––––––––––––––––––––

EHYB Fund

31 Dec 2016

% of

Market Value

-------

1.11-

1.01--

0.99-----

0.95-------

0.51-

2.37--

1.944.11

------

20.75––––––––––––––

100.00––––––––––––––––––––––––––––

GHYB Fund

31 Dec 2016

% of

Market Value

-------

0.75-

0.43--

0.25-

----

0.57---------

0.24---

1.27--

1.45--

1.2070.37

––––––––––––––100.00

––––––––––––––––––––––––––––

EMCB Fund

31 Dec 2016

% of

Market Value

0.83-

2.652.18

---

9.892.79

----

-0.606.03

-0.801.702.44

-0.57

10.65--

1.111.33

--

1.40----

0.57-

4.89-

3.87-

––––––––––––––100.00

––––––––––––––––––––––––––––

EMLD Fund

31 Dec 2016

% of

Market Value

------

8.3017.15

-----

--

4.00-

7.46---

1.107.92

---

14.47---

---

2.64-

4.691.98

--

––––––––––––––100.00

––––––––––––––––––––––––––––

GCB Fund

31 Dec 2016

% of

Market Value

-------

1.56-----

-------------

1.78-

1.10--

0.721.98

------

73.08––––––––––––––

100.00––––––––––––––––––––––––––––






AngolaArgentinaArmeniaAustraliaAzerbaijanBahrainBrazilBelgiumBermudaBritish Virgin IslandsCanadaChileChinaColombiaCosta RicaCote d'IvoireCroatiaCzech RepublicDominican RepublicDenmarkEcuadorEl SalvadorFinlandFranceGermanyGhanaGreat BritainGuatemalaGuernsey C.I.HondurasHong KongHungaryIndiaIndonesiaIrelandIsraelItalyIvory CoastJamaicaJapan

EMDSD Fund

31 Dec 2016

% of

Market Value

-4.33

----

15.31----

1.679.622.012.46

----------

1.68----

5.47-

2.551.36

-3.36

----

ASD Fund

31 Dec 2016

% of

Market Value

---

0.87--

0.450.33

-0.250.52

--

0.23---------

0.41--

0.74------

0.240.550.97

---

1.08

EMDBTR Fund

31 Dec 2016

% of

Market Value

--

1.59---

16.58----

3.27-

7.510.71

-0.98

-1.21

--

0.93---

3.36-------

2.43----

1.13-

EMSD Fund

31 Dec 2016

% of

Market Value

0.928.022.00

---

5.50-

1.12--

0.96-

4.341.871.748.77

-4.04

--

4.57---

6.19---

1.02-

2.63-

4.97------

USHYB Fund

31 Dec 2016

% of

Market Value

---

0.45------

2.24--------

1.45---

1.22-

0.730.81

---------

0.71-

0.28-

USIGCB Fund

31 Dec 2016

% of

Market Value

---

1.62--

0.751.80

--

1.46--

0.48---------

0.240.27

-2.06

-------

1.210.55

----






KazakhstanKenyaKorea, Republic ofKuwaitLuxembourgMacauMalaysiaMexicoMoroccoNetherlandsNew ZelandNigeriaNorwayPakistanPanamaPeruPhilippinesPolandPortugalQatarRepublic of South KoreaRomaniaRussiaSaudi ArabiaSerbiaSingaporeSouth AfricaSouth KoreaSpainSri LankaSurinameSwedenSwitzerlandTaiwanThailandTrinidad And TobagoTurkeyUkraineUnited Arab EmiratesUnited StatesUruguay

Total

EMDSD Fund

31 Dec 2016

% of

Market Value

4.72--

2.77---

7.55------

2.48----

0.91--

17.60---

2.38--

1.68------

8.39-

1.70--

––––––––––––––100.00

––––––––––––––––––––––––––––

ASD Fund

31 Dec 2016

% of

Market Value

-------

0.59--

0.62-------

0.53-------

0.74-----

1.04---

0.42--

89.42-

––––––––––––––100.00

––––––––––––––––––––––––––––

EMDBTR Fund

31 Dec 2016

% of

Market Value

------

4.0626.982.43

------

9.73--

1.24---

3.98---

8.83---------

1.27-

1.78--

––––––––––––––100.00

––––––––––––––––––––––––––––

EMSD Fund

31 Dec 2016

% of

Market Value

-1.12

-----

9.230.98

-----

2.07--

1.88---

3.06--

4.24-

5.96---

0.46-----

3.12-

2.31-

6.91––––––––––––––

100.00––––––––––––––––––––––––––––

USHYB Fund

31 Dec 2016

% of

Market Value

------------------

0.60----------------

1.04--

1.3089.17

-––––––––––––––

100.00––––––––––––––––––––––––––––

USIGCB Fund

31 Dec 2016

% of

Market Value

-------

2.94-

0.40----

0.49-

0.480.39

--------

0.66-

0.29---

1.13------

82.78-

––––––––––––––100.00

––––––––––––––––––––––––––––






None of the financial assets and financial liabilities are offset in the Statement of Financial Position. Certain financial assets andfinancial liabilities are subject to an enforceable master netting arrangement or similar agreement that covers similar financialinstruments. While the terms and conditions of these agreements may vary, all transactions under any such agreementconstitute a single contractual relationship. Each party’s obligation to make any payments, deliveries or other transfers inrespect of any transaction under such an agreement may be netted against the other party’s obligations under such agreement.A default by a party in performance with respect to one transaction under such an agreement would give the other party theright to terminate all transactions under such agreement and calculate one net amount owed from one party to the other. Thefollowing tables present information about the offsetting of derivative instruments.

The Company further mitigates its counterparty credit risk on certain derivative transactions by exchanging collateral in the formof stock or cash with certain counterparties with which it trades under ISDA documentation. Stock collateral is held with StateStreet Custodial Services (Ireland) Limited, but does not form part of the funds’ net asset values at 31 December 2017. Thevalue of the collateral pledged by the various counterparties is disclosed at the end of each funds’ Schedule of Investments.Cash collateral received by the funds is reflected as an asset and liability in relevant fund’s Statement of Financial Position. TheCompany has not re-pledged either stock or cash collateral for any other use.

At 31 December 2017, the Company’s derivative assets and liabilities are as follows:

GSSB Value of

derivative Financial Collateral

assets Instrument Received Net

Counterparty US$ US$ US$ US$

National Australia Bank Limited 460,282 (369,848) - 90,434State Street Bank & Trust Company 964,735 (555,543) - 409,192

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––1,425,017 (925,391) - 499,626

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Value of


liabilities Instrument Pledged Net


National Australia Bank Limited (369,848) 369,848 - -State Street Bank & Trust Company (555,543) 555,543 - -

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––(925,391) 925,391 - -

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

EHYB Value of




National Australia Bank Limited 1,549,379 (118,473) - 1,430,906State Street Bank & Trust Company 1,464,251 (584,586) - 879,665

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––3,013,630 (703,059) - 2,310,571

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Value of





–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––(703,059) 703,059 - -

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––






GHYB Value of




National Australia Bank Limited 2,029,134 (599,022) - 1,430,112State Street Bank & Trust Company 5,021,477 (687,693) - 4,333,784

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––7,050,611 (1,286,715) - 5,763,896

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Value of





–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––(1,286,715) 1,286,715 - -

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

EMCB Value of




BNP Paribas 8,308 - - 8,308Goldman Sachs 3,226 (3,226) - -State Street Bank & Trust Company 36,405 (36,405) - -

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––47,939 (39,631) - 8,308

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Value of




Goldman Sachs (25,557) 3,226 22,331 -State Street Bank & Trust Company (67,745) 36,405 - (31,340)

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––(93,302) 39,631 22,331 (31,340)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––






EMLD Value of




Bank of America 2,785,074 (2,785,074) - -Barclays Bank 92,668 (92,668) - -BNP Paribas 1,437,686 (491,195) (946,491) -Citibank 1,211,766 (664,275) (250,000) 297,491Deutsche Bank 74,872 (74,872) - -Goldman Sachs 4,854,805 (3,204,815) (830,000) 819,990HSBC Bank 665,099 (166,444) (420,000) 78,655JPMorgan 3,892,078 (3,892,078) - -Morgan Stanley 190,728 - - 190,728National Australia Bank 521 (9) - 512State Street Bank & Trust Company 1,987,366 (40,063) - 1,947,303

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––17,192,663 (11,411,493) (2,446,491) 3,334,679

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Value of




Bank of America (8,788,130) 2,785,074 5,960,000 (43,056)Barclays Bank (676,491) 92,668 371,826 (211,997)BNP Paribas (491,195) 491,195 - -Citibank (664,275) 664,275 - -Deutsche Bank (288,980) 74,872 - (214,108)Goldman Sachs (3,204,815) 3,204,815 - -HSBC Bank (166,444) 166,444 - -JPMorgan (6,103,977) 3,892,078 - (2,211,899)National Australia Bank Limited (9) 9 - -State Street Bank & Trust Company (40,063) 40,063 - -

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––(20,424,379) 11,411,493 6,331,826 (2,681,060)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––






GCB Value of




Morgan Stanley 4,703 (4,703) - -–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

4,703 (4,703) - -–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Value of




Goldman Sachs (78,312) - - (78,312)JPMorgan (16,742) - - (16,742)Morgan Stanley (13,971) 4,703 9,268 -

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––(109,025) 4,703 9,268 (95,054)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

EMDSD Value of




State Street Bank & Trust Company 86,216 (21,149) - 65,067–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

86,216 (21,149) - 65,067–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Value of




State Street Bank & Trust Company (21,149) 21,149 - -–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

(21,149) 21,149 - -–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

ASD Value of




JP Morgan 218,000 (14,326) - 203,674Morgan Stanley 65,477 (24,410) - 41,067State Street Bank & Trust Company 120,976 - - 120,976

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––404,453 (38,736) - 365,717

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––






Value of




Goldman Sachs (33,723) - - (33,723)JP Morgan (14,326) 14,326 - -Morgan Stanley (24,410) 24,410 - -

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––(72,459) 38,736 - (33,723)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

EMDBTR Value of




Bank of America 485,369 (485,369) - -BNP Paribas 231,910 (13,420) (218,490) -Citibank 60,512 (60,512) - -Goldman Sachs 702,046 (584,300) (117,746) -HSBC Bank 26,945 (3,718) - 23,227JPMorgan 343,291 (343,291) - -Morgan Stanley 21,457 (19,883) - 1,574National Australia Bank 85,480 - - 85,480State Street Bank & Trust Company 136,307 (4,423) - 131,884

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––2,093,317 (1,514,916) (336,236) 242,165

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Value of




Bank of America (1,319,092) 485,369 833,723 -BNP Paribas (13,420) 13,420 - -Citibank (61,022) 60,512 - (510)Deutsche Bank (756) - - (756)Goldman Sachs (584,300) 584,300 - -HSBC Bank (3,718) 3,718 - -JPMorgan (791,302) 343,291 20,000 (428,011)Morgan Stanley (19,883) 19,883 - -State Street Bank & Trust Company (4,423) 4,423 - -

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––(2,797,916) 1,514,916 853,723 (429,277)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

EMSD Value of




Bank of America 15,663 (15,663) - -BNP Paribas 11,757 (11,757) - -Goldman Sachs 20,211 (20,211) - -Morgan Stanley 4,679 - - 4,679

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––52,310 (47,631) - 4,679

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––






Value of




Bank of America (47,741) 15,663 - (32,078)BNP Paribas (15,462) 11,757 - (3,705)Citibank (51,876) - - (51,876)Deutsche Bank (20,790) - - (20,790)Goldman Sachs (74,949) 20,211 - (54,738)

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––(210,818) 47,631 - (163,187)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

USHYB Value of




State Street Bank & Trust Company 128 (128) - -–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

128 (128) - -–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Value of




State Street Bank & Trust Company (136) 128 - (8)–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

(136) 128 - (8)–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

USIGCB Value of




Morgan Stanley 44,289 (28,963) - 15,326–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

44,289 (28,963) - 15,326–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Value of




Morgan Stanley (28,963) 28,963 - -–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

(28,963) 28,963 - -–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––––––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––






At 31 December 2016, the Company’s derivative assets and liabilities are as follows:

GSSB

Counterparty

National Australia Bank LimitedState Street Bank & Trust Company

Counterparty


EHYB

Counterparty

National Australia BankState Street Bank & Trust Company

Counterparty


Value of

derivative

assets

US$

1,243,3771,282,593

––––––––––––––2,525,970

––––––––––––––––––––––––––––

Value of

derivative

liabilities

US$

(1,423,812)(1,964,155)

––––––––––––––(3,387,967)

––––––––––––––––––––––––––––

Financial

Instrument

US$

(1,243,377)(1,282,593)

––––––––––––––(2,525,970)

––––––––––––––––––––––––––––

Financial

Instrument

US$

1,243,3771,282,593

––––––––––––––2,525,970

––––––––––––––––––––––––––––

Collateral

Received

US$

--

––––––––––––––-

––––––––––––––––––––––––––––

Collateral

Pledged

US$

--

––––––––––––––-

––––––––––––––––––––––––––––

Net

US$

--

––––––––––––––-

––––––––––––––––––––––––––––

Net

US$

(180,435)(681,562)

––––––––––––––(861,997)

––––––––––––––––––––––––––––

Value of

derivative

assets

€

541,718521,487

––––––––––––––1,063,205

––––––––––––––––––––––––––––

Value of

derivative

liabilities

€

(476,393)(633,950)

––––––––––––––(1,110,343)

––––––––––––––––––––––––––––

Financial

Instrument

€

(476,393)(521,487)

––––––––––––––(997,880)

––––––––––––––––––––––––––––

Financial

Instrument

€

476,393521,487

––––––––––––––997,880

––––––––––––––––––––––––––––

Collateral

Received

€

--

––––––––––––––-

––––––––––––––––––––––––––––

Collateral

Pledged

€

--

––––––––––––––-

––––––––––––––––––––––––––––

Net

€

65,325-

––––––––––––––65,325

––––––––––––––––––––––––––––

Net

€

-(112,463)

––––––––––––––(112,463)

––––––––––––––––––––––––––––






GHYB

Counterparty


Counterparty


EMCB

Counterparty

Goldman SachsState Street Bank & Trust Company

Counterparty

Goldman SachsState Street Bank & Trust Company

Value of

derivative

assets

US$

1,292,0751,354,772

––––––––––––––2,646,847

––––––––––––––––––––––––––––

Value of

derivative

liabilities

US$

(3,337,852)(4,723,189)

––––––––––––––(8,061,041)

––––––––––––––––––––––––––––

Financial

Instrument

US$

(1,292,075)(1,354,772)

––––––––––––––(2,646,847)

––––––––––––––––––––––––––––

Financial

Instrument

US$

1,292,0751,354,772

––––––––––––––2,646,847

––––––––––––––––––––––––––––

Collateral

Received

US$

--

––––––––––––––-

––––––––––––––––––––––––––––

Collateral

Pledged

US$

--

––––––––––––––-

––––––––––––––––––––––––––––

Net

US$

--

––––––––––––––-

––––––––––––––––––––––––––––

Net

US$

(2,045,777)(3,368,417)

––––––––––––––(5,414,194)

––––––––––––––––––––––––––––

Value of

derivative

assets

US$

45,750152,202

––––––––––––––197,952

––––––––––––––––––––––––––––

Value of

derivative

liabilities

US$

(29,695)(12,752)

––––––––––––––(42,447)

––––––––––––––––––––––––––––

Financial

Instrument

US$

(29,695)(12,752)

––––––––––––––(42,447)

––––––––––––––––––––––––––––

Financial

Instrument

US$

29,69512,752

––––––––––––––42,447

––––––––––––––––––––––––––––

Collateral

Received

US$

--

––––––––––––––-

––––––––––––––––––––––––––––

Collateral

Pledged

US$

--

––––––––––––––-

––––––––––––––––––––––––––––

Net

US$

16,055139,450

––––––––––––––155,505

––––––––––––––––––––––––––––

Net

US$

--

––––––––––––––-

––––––––––––––––––––––––––––






EMLD

Counterparty

Bank of AmericaBNP ParibasCitibankDeutsche BankGoldman SachsHSBC BankJPMorganMorgan StanleyState Street Bank & Trust Company

Counterparty

Bank of AmericaBNP ParibasCitibankDeutsche BankGoldman SachsHSBC BankJPMorganState Street Bank & Trust Company

GCB

Counterparty

Citibank N.A.Morgan Stanley.

Counterparty

Morgan Stanley.

Value of

derivative

assets

US$

524,1182,170,966

394,812294,869295,363151,047

2,371,64794,451

48––––––––––––––

6,297,321––––––––––––––––––––––––––––

Value of

derivative

liabilities

US$

(918,400)(907,487)(746,142)(287,980)(307,762)(32,561)

(1,872,119)(2,650)

––––––––––––––(5,075,101)

––––––––––––––––––––––––––––

Financial

Instrument

US$

(524,118)(907,487)(394,812)(287,980)(295,363)(32,561)

(1,872,119)-

(48)––––––––––––––

(4,314,488)––––––––––––––––––––––––––––

Financial

Instrument

US$

524,118907,487394,812287,980295,36332,561

1,872,11948

––––––––––––––4,314,488

––––––––––––––––––––––––––––

Collateral

Received

US$

-(1,140,000)

----

(290,000)(94,451)

-––––––––––––––

(1,524,451)––––––––––––––––––––––––––––

Collateral

Pledged

US$

394,282-

351,330-----

––––––––––––––745,612

––––––––––––––––––––––––––––

Net

US$

-123,479

-6,889

-118,486209,528

--

––––––––––––––458,382

––––––––––––––––––––––––––––

Net

US$

----

(12,399)--

(2,602)––––––––––––––

(15,001)––––––––––––––––––––––––––––

Value of

derivative

assets

US$

88,49346,431

––––––––––––––134,924

––––––––––––––––––––––––––––

Value of

derivative

liabilities

US$

(20,165)––––––––––––––

(20,165)––––––––––––––––––––––––––––

Financial

Instrument

US$

-(20,165)

––––––––––––––(20,165)

––––––––––––––––––––––––––––

Financial

Instrument

US$

20,165––––––––––––––

20,165––––––––––––––––––––––––––––

Collateral

Received

US$

--

––––––––––––––-

––––––––––––––––––––––––––––

Collateral

Pledged

US$

-––––––––––––––

-––––––––––––––––––––––––––––

Net

US$

88,49326,266

––––––––––––––114,759

––––––––––––––––––––––––––––

Net

US$

-––––––––––––––

-––––––––––––––––––––––––––––






EMDSD

Counterparty

State Street Bank & Trust Company

Counterparty


ASD

Counterparty

JPMorganMorgan StanleyState Street Bank & Trust Company

Counterparty

Credit SuisseGoldman SachsJPMorganMorgan StanleyState Street Bank & Trust Company

Value of

derivative

assets

US$

36,447––––––––––––––

36,447––––––––––––––––––––––––––––

Value of

derivative

liabilities

US$

(2,980)––––––––––––––

(2,980)––––––––––––––––––––––––––––

Financial

Instrument

US$

(2,980)––––––––––––––

(2,980)––––––––––––––––––––––––––––

Financial

Instrument

US$

2,980––––––––––––––

2,980––––––––––––––––––––––––––––

Collateral

Received

US$

-––––––––––––––

-––––––––––––––––––––––––––––

Collateral

Pledged

US$

-––––––––––––––

-––––––––––––––––––––––––––––

Net

US$

33,467––––––––––––––

33,467––––––––––––––––––––––––––––

Net

US$

-––––––––––––––

-––––––––––––––––––––––––––––

Value of

derivative

assets

US$

139,10016,5174,745

––––––––––––––160,362

––––––––––––––––––––––––––––

Value of

derivative

liabilities

US$

(11,725)(13,220)

(139,239)(6,112)

(223,427)––––––––––––––

(393,723)––––––––––––––––––––––––––––

Financial

Instrument

US$

(139,100)(6,112)(4,745)

––––––––––––––(149,957)

––––––––––––––––––––––––––––

Financial

Instrument

US$

--

139,1006,1124,745

––––––––––––––149,957

––––––––––––––––––––––––––––

Collateral

Received

US$

---

––––––––––––––-

––––––––––––––––––––––––––––

Collateral

Pledged

US$

-----

––––––––––––––-

––––––––––––––––––––––––––––

Net

US$

-10,405

-––––––––––––––

10,405––––––––––––––––––––––––––––

Net

US$

(11,725)(13,220)

(139)-

(218,682)––––––––––––––

(243,766)––––––––––––––––––––––––––––






EMDBTR

Counterparty

Bank of AmericaBNP ParibasCitibankGoldman SachsHSBC BankJPMorganMorgan StanleyState Street Bank & Trust Company

Counterparty

Bank of AmericaBNP ParibasCitibankDeutsche BankJPMorganNational Australia BankState Street Bank & Trust Company

EMSD

Counterparty

BNP Paribas

Counterparty

Bank of AmericaBNP ParibasMorgan Stanley

Value of

derivative

assets

US$

296,590601,714286,208

33648,053

1,133,95823,000

790––––––––––––––

2,390,649––––––––––––––––––––––––––––

Value of

derivative

liabilities

US$

(267,165)(364,857)(164,094)( 25,082)

(1,142,882)(215,213)(185,651)

––––––––––––––( 2,364,944)

––––––––––––––––––––––––––––

Financial

Instrument

US$

(267,165)(364,857)(164,094)

--

(1,133,958)-

(790)––––––––––––––

(1,930,864)––––––––––––––––––––––––––––

Financial

Instrument

US$

267,165364,857164,094

-1,133,958

-790

––––––––––––––1,930,864

––––––––––––––––––––––––––––

Collateral

Received

US$

--

(122,114)-----

––––––––––––––(122,114)

––––––––––––––––––––––––––––

Collateral

Pledged

US$

-------

––––––––––––––-

––––––––––––––––––––––––––––

Net

US$

29,425236,857

-336

48,053-

23,000-

––––––––––––––337,671

––––––––––––––––––––––––––––

Net

US$

---

(25,082)(8,924)

(215,213)(184,861)

––––––––––––––(434,080)

––––––––––––––––––––––––––––

Value of

derivative

assets

US$

44,610––––––––––––––

44,610––––––––––––––––––––––––––––

Value of

derivative

liabilities

US$

(46,859)(40,578)(46,524)

––––––––––––––(133,961)

––––––––––––––––––––––––––––

Financial

Instrument

US$

(40,578)––––––––––––––

(40,578)––––––––––––––––––––––––––––

Financial

Instrument

US$

-40,578

-––––––––––––––

40,578––––––––––––––––––––––––––––

Collateral

Received

US$

-––––––––––––––

-––––––––––––––––––––––––––––

Collateral

Pledged

US$

---

––––––––––––––-

––––––––––––––––––––––––––––

Net

US$

4,032––––––––––––––

4,032––––––––––––––––––––––––––––

Net

US$

(46,859)-

(46,524)––––––––––––––

(93,383)––––––––––––––––––––––––––––






USHYB

Counterparty


Counterparty


USIGCB

Counterparty


Counterparty


The counterparties to the over the counter forward foreign currency exchange contracts are State Street Bank and TrustCompany which is rated AA- by Standard and Poor’s (31 December 2016: AA-), JPMorgan which is rated A+ by Standard andPoor’s (31 December 2016: A+), Citibank which is rated A+ by Standard and Poor’s (31 December 2016: A), BNP Paribas whichis rated A by Standard and Poor’s (31 December 2016: A+), Bank of America which is rated A+ by Standard and Poor’s (31December 2016: A) Deutsche Bank which is rated A- by Standard and Poor’s (31 December 2016: BBB+) and NationalAustralia Bank which is rated AA- by Standard and Poor’s (31 December 2016: AA-).

The counterparties to the swaps are Bank of America which is rated A+ by Standard and Poor’s (31 December 2016: A), BNPParibas which is rated A by Standard and Poor’s (31 December 2016: A+), Deutsche Bank which is rated A- by Standard andPoor’s (31 December 2016: BBB+), JPMorgan which is rated A+ by Standard and Poor’s (31 December 2016: A+) and MerrillLynch which is rated A+ by Standard and Poor’s (31 December 2016: A).

The counterparties to the swaptions are BNP Paribas which is rated A by Standard and Poor’s (31 December 2016: A+) andJPMorgan which is rated A+ by Standard and Poor’s (31 December 2016: A+).

Value of

derivative

assets

US$

1,853––––––––––––––

1,853––––––––––––––––––––––––––––

Value of

derivative

liabilities

US$

(180,494)––––––––––––––

(180,494)––––––––––––––––––––––––––––

Financial

Instrument

US$

(1,853)––––––––––––––

(1,853)––––––––––––––––––––––––––––

Financial

Instrument

US$

1,853––––––––––––––

1,853––––––––––––––––––––––––––––

Collateral

Received

US$

-––––––––––––––

-––––––––––––––––––––––––––––

Collateral

Pledged

US$

-––––––––––––––

-––––––––––––––––––––––––––––

Net

US$

-––––––––––––––

-––––––––––––––––––––––––––––

Net

US$

(178,641)––––––––––––––

(178,641)––––––––––––––––––––––––––––

Value of

derivative

assets

US$

36,963––––––––––––––

36,963––––––––––––––––––––––––––––

Value of

derivative

liabilities

US$

(38,936)––––––––––––––

(38,936)––––––––––––––––––––––––––––

Financial

Instrument

US$

(36,963)––––––––––––––

(36,963)––––––––––––––––––––––––––––

Financial

Instrument

US$

36,963––––––––––––––

36,963––––––––––––––––––––––––––––

Collateral

Received

US$

-––––––––––––––

-––––––––––––––––––––––––––––

Collateral

Pledged

US$

-––––––––––––––

-––––––––––––––––––––––––––––

Net

US$

-––––––––––––––

-––––––––––––––––––––––––––––

Net

US$

(1,973)––––––––––––––

(1,973)––––––––––––––––––––––––––––





Liquidity risk

Generally, the Sub-Funds’ assets comprise actively traded and highly liquid securities. The liquidity risks associated with theneed to satisfy shareholders’ requests for redemptions are mitigated by maintaining a pool of cash to satisfy usual levels ofdemand. In addition, the Sub-Funds may restrict redemptions as detailed in the Company’s Prospectus. In highly volatilemarket conditions, the Sub-Funds may not easily liquidate assets and the Directors, at their discretion, may suspend the issueor redemption of redeemable participating shares.

The Sub-Funds avoid entering into derivative contractual arrangements that produce an exposure not covered by sufficientliquid assets or a total investment exposure in excess of total shareholders’ funds.

The Sub-Funds’ Investment Managers monitor their liquidity position on a daily basis.

The tables below set out the Sub-Funds’ gross-settled derivative financial instruments and net assets attributable to holders ofredeemable shares at 31 December 2017.

GSSB Fund Less than 1 month 3 months More than

1 month to 3 months to 1 year 1 year Total

US$ US$ US$ US$ US$

Assets

Forward foreign currency exchange contracts 245,602,250 - - - 245,602,250–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Total assets 245,602,250 - - - 245,602,250–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Forward foreign currency exchange contracts (245,102,624) - - - (245,102,624)Net assets attributable to holders of redeemable shares - (239,968,261) - - (239,968,261)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total liabilities (245,102,624) (239,968,261) - - (485,070,885)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

EHYB Fund Less than 1 month 3 months More than


€ € € € €

Assets


Total assets 243,984,558 - - - 243,984,558–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities



–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––







Liquidity risk (continued)

GHYB Fund Less than 1 month 3 months More than


US$ US$ US$ US$ US$

Assets


Total assets 592,914,654 - - - 592,914,654–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total liabilities (587,150,758) (741,001,146) - - (1,328,151,904)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

EMCB Fund Less than 1 month 3 months More than


US$ US$ US$ US$ US$

Assets

Forward foreign currency exchange contracts 5,487,884 - - - 5,487,884Open futures contracts - 3,226 - - 3,226Credit Default Swaps - - - 8,308 8,308

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 5,487,884 3,226 - 8,308 5,499,418

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Forward foreign currency exchange contracts (5,519,224) - - - (5,519,224)Open futures contracts - (25,557) - - (25,557)Net assets attributable to holders of redeemable shares - (102,896,067) - - (102,896,067)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

EMLD Fund Less than 1 month 3 months More than


US$ US$ US$ US$ US$

Assets

Forward foreign currency exchange contracts 1,425,416,663 85,922,110 23,781,444 - 1,535,120,217Interest rate swaps - - 4,238 690,876 695,114

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 1,425,416,663 85,922,110 23,785,682 690,876 1,535,815,331

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Forward foreign currency exchange contracts (1,427,259,936) (84,544,252) (26,000,000) - (1,537,804,188)Interest rate swaps - - - (1,242,859) (1,242,859)Net assets attributable to holders of redeemable shares - (881,974,884) - - (881,974,884)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total liabilities (1,427,259,936) (966,519,136) (26,000,000) (1,242,859) (2,421,021,931)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––




GCB Fund Less than 1 month 3 months More than


US$ US$ US$ US$ US$

Assets

Open futures contracts - 4,703 - - 4,703Forward foreign currency exchange contracts 6,777,673 - - - 6,777,673

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 6,777,673 4,703 - - 6,782,376

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Open futures contracts - (13,971) - - (13,971)Forward foreign currency exchange contracts (6,872,727) - - - (6,872,727)Net assets attributable to holders of redeemable shares - (26,261,101) - - (26,261,101)


–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

EMDSD Fund Less than 1 month 3 months More than


US$ US$ US$ US$ US$

Assets


Total assets 6,451,304 - - - 6,451,304–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities



–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

ASD Fund Less than 1 month 3 months More than


US$ US$ US$ US$ US$

Assets

Swaptions - - - 218,000 218,000Open futures contracts - 65,477 - - 65,477Forward foreign currency exchange contracts 7,979,942 - - - 7,979,942

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 7,979,942 65,477 - 218,000 8,263,419

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Open Futures Contracts - (24,410) - - (24,410)Credit Default Swap - - - (48,049) (48,049)Forward foreign currency exchange contracts (7,858,966) - - - (7,858,966)Net assets attributable to holders of redeemable shares - (63,025,255) - - (63,025,255)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total liabilities (7,858,966) (63,049,665) - (48,049) (70,956,680)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––






EMDBTR Fund Less than 1 month 3 months More than


US$ US$ US$ US$ US$Assets

Forward foreign currency exchange contracts 183,353,457 9,352,964 4,158,644 - 196,865,065Interest Rate Swap - - 2,750 221,758 224,508Credit default swap - - - 71,590 71,590

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets 183,353,457 9,352,964 4,161,394 293,348 197,161,163

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Forward foreign currency exchange contracts (183,599,866) (9,168,287) (4,500,000) - (197,268,153)Credit default swap - - - (13,974) (13,974)Interest Rate Swap - - - (424,736) (424,736)Currency rate swaps - - - (139,016) (139,016)Open futures contracts - (19,883) - - (19,883)Net assets attributable to holders of redeemable shares - (109,697,714) - - (109,697,714)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total liabilities (183,599,866) (118,885,884) (4,500,000) (577,726) (307,563,476)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

EMSD Fund Less than 1 month 3 months More than


US$ US$ US$ US$ US$

Assets

Forward foreign currency exchange contracts - - - 1,304,388 1,304,388Open Futures Contracts - 4,679 - - 4,679Credit Default Swap - - - 27,420 27,420

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total assets - 4,679 - 1,331,808 1,336,487

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Forward foreign currency exchange contracts - - - (1,376,640) (1,376,640)Credit Default Swap - - - (10,350) (10,350)Currency rate swaps* - - - (108,005) (108,005)Net assets attributable to holders of redeemable shares - (23,494,870) - - (23,494,870)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total liabilities - (23,494,870) - (1,494,995) (24,989,865)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

* Please note that currency rate swaps are settled gross. For further information and detail on these investments please see the Schedule of Investments.

USHYB Fund Less than 1 month 3 months More than


US$ US$ US$ US$ US$

Assets

Forward foreign currency exchange contracts 26,871 - - - 26,871–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Total assets 26,871 - - - 26,871–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Forward foreign currency exchange contracts (26,879) - - - (26,879)Net assets attributable to holders of redeemable shares - (190,111,311) - - (190,111,311)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total liabilities (26,879) (190,111,311) - - (190,138,190)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––






USIGCB Fund Less than 1 month 3 months More than


US$ US$ US$ US$ US$

Assets

Open futures contracts - 44,289 - - 44,289–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Total assets - 44,289 - - 44,289–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Liabilities

Open futures contracts - (28,963) - - (28,963)Net assets attributable to holders of redeemable shares - (251,159,480) - - (251,159,480)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––Total liabilities - (251,188,443) - - (251,188,443)

–––––––––––––– –––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

The tables below set out the Sub-Funds’ gross-settled derivative financial instruments and net assets attributable to holders ofredeemable shares at 31 December 2016.

GSSB Fund

Assets

Forward foreign currency exchange contracts

Total assets

Liabilities

Forward foreign currency exchange contractsNet assets attributable to holders of redeemable shares

Total liabilities

EHYB Fund

Assets


Total assets

Liabilities


Total liabilities

Less than

1 month

US$

265,811,350––––––––––––––

265,811,350––––––––––––––

(266,673,347)-

––––––––––––––(266,673,347)

––––––––––––––

1 month

to 3 months

US$

-––––––––––––––

-––––––––––––––

-(210,476,459)

––––––––––––––(210,476,459)

––––––––––––––

3 months

to 1 year

US$

-––––––––––––––

-––––––––––––––

--

––––––––––––––-

––––––––––––––

More than

1 year

US$

-––––––––––––––

-––––––––––––––

--

––––––––––––––-

––––––––––––––

Total

US$

265,811,350––––––––––––––

265,811,350––––––––––––––

(266,673,347)(210,476,459)

––––––––––––––(477,149,806)

––––––––––––––

Less than

1 month

€

201,204,513––––––––––––––

201,204,513––––––––––––––

(201,251,651)-

––––––––––––––(201,251,651)

––––––––––––––

1 month

to 3 months

€

-––––––––––––––

-––––––––––––––

-(322,776,146)

––––––––––––––(322,776,146)

––––––––––––––

3 months

to 1 year

€

-––––––––––––––

-––––––––––––––

--

––––––––––––––-

––––––––––––––

More than

1 year

€

-––––––––––––––

-––––––––––––––

--

––––––––––––––-

––––––––––––––

Total

€

201,204,513––––––––––––––

201,204,513––––––––––––––

(201,251,651)(322,776,146)

––––––––––––––(524,027,797)

––––––––––––––






GHYB Fund

Assets


Total assets

Liabilities


Total liabilities

EMCB Fund

Assets

Forward foreign currency exchange contractsCredit Default Swaps

Total assets

Liabilities

Forward foreign currency exchange contractsOpen futures contractsNet assets attributable to holders of redeemable shares

Total liabilities

EMLD Fund

Assets

Forward foreign currency exchange contractsInterest rate swaps

Total assets

Liabilities

Forward foreign currency exchange contractsInterest rate swapsNet assets attributable to holders of redeemable shares

Total liabilities

Less than

1 month

US$

452,615,802––––––––––––––

452,615,802––––––––––––––

(458,029,995)-

––––––––––––––(458,029,995)

––––––––––––––

1 month

to 3 months

US$

-––––––––––––––

-––––––––––––––

-(551,466,654)

––––––––––––––(551,466,654)

––––––––––––––

3 months

to 1 year

US$

-––––––––––––––

-––––––––––––––

--

––––––––––––––-

––––––––––––––

More than

1 year

US$

-––––––––––––––

-––––––––––––––

--

––––––––––––––-

––––––––––––––

Total

US$

452,615,802––––––––––––––

452,615,802––––––––––––––

(458,029,995)(551,466,654)

––––––––––––––(1,009,496,649)

––––––––––––––

Less than

1 month

US$

7,871,772-

––––––––––––––7,871,772

––––––––––––––

(7,732,323)--

––––––––––––––(7,732,323)

––––––––––––––

1 month

to 3 months

US$

--

––––––––––––––-

––––––––––––––

-(29,695)

(110,464,099)––––––––––––––

(110,493,794)––––––––––––––

3 months

to 1 year

US$

--

––––––––––––––-

––––––––––––––

--

––––––––––––––-

––––––––––––––

More than

1 year

US$

-45,750

––––––––––––––45,750

––––––––––––––

--

––––––––––––––-

––––––––––––––

Total

US$

7,871,77245,750

––––––––––––––7,917,522

––––––––––––––

(7,732,323)(29,695)

(110,464,099)––––––––––––––

(118,226,117)––––––––––––––

Less than

1 month

US$

333,322,766-

––––––––––––––333,322,766

––––––––––––––

(333,393,791)--

––––––––––––––(333,393,791)

––––––––––––––

1 month

to 3 months

US$

36,222,175-

––––––––––––––36,222,175

––––––––––––––

(36,515,539)-

(260,731,904)––––––––––––––

(297,247,443)––––––––––––––

3 months

to 1 year

US$

9,065,671-

––––––––––––––9,065,671

––––––––––––––

(8,649,551)--

––––––––––––––(8,649,551)

––––––––––––––

More than

1 year

US$

-584,685

––––––––––––––584,685

––––––––––––––

-(195,653)

-––––––––––––––

(195,653)––––––––––––––

Total

US$

378,610,612584,685

––––––––––––––379,195,297

––––––––––––––

(378,558,881)(195,653)

(260,731,904)––––––––––––––

(639,486,438)––––––––––––––






GCB Fund

Assets

Open futures contractsForward foreign currency exchange contracts

Total assets

Liabilities

Open futures contractsForward foreign currency exchange contractsNet assets attributable to holders of redeemable shares

Total liabilities

EMDSD Fund

Assets


Total assets

Liabilities


Total liabilities

ASD Fund

Assets

Open futures contractsForward foreign currency exchange contracts

Total assets

Liabilities

Open futures contractsForward foreign currency exchange contractsCredit default swapsNet assets attributable to holders of redeemable shares

Total liabilities

Less than

1 month

US$

-6,266,228

––––––––––––––6,266,228

––––––––––––––

-(6,177,735)

-––––––––––––––

(6,177,735)––––––––––––––

1 month

to 3 months

US$

46,431-

––––––––––––––46,431

––––––––––––––

(20,165)-

(42,004,227)––––––––––––––

(42,024,392)––––––––––––––

3 months

to 1 year

US$

--

––––––––––––––-

––––––––––––––

--

––––––––––––––-

––––––––––––––

More than

1 year

US$

--

––––––––––––––-

––––––––––––––

--

––––––––––––––-

––––––––––––––

Total

US$

46,4316,266,228

––––––––––––––6,312,659

––––––––––––––

(20,165)(6,177,735)

(42,004,227)––––––––––––––

(48,202,127)––––––––––––––

Less than

1 month

US$

2,022,095––––––––––––––

2,022,095––––––––––––––

(1,988,628)-

––––––––––––––(1,988,628)

––––––––––––––

1 month

to 3 months

US$

-––––––––––––––

-––––––––––––––

-(26,659,052)

––––––––––––––(26,659,052)

––––––––––––––

3 months

to 1 year

US$

-––––––––––––––

-––––––––––––––

--

––––––––––––––-

––––––––––––––

More than

1 year

US$

-––––––––––––––

-––––––––––––––

--

––––––––––––––-

––––––––––––––

Total

US$

2,022,095––––––––––––––

2,022,095––––––––––––––

(1,988,628)(26,659,052)

––––––––––––––(28,647,680)

––––––––––––––

Less than

1 month

US$

-11,378,691

––––––––––––––11,378,691

––––––––––––––

-(11,597,373)

--

––––––––––––––(11,597,373)

––––––––––––––

1 month

to 3 months

US$

16,5174,460,900

––––––––––––––4,477,417

––––––––––––––

(6,112)(4,455,479)

-(48,559,307)

––––––––––––––(53,020,898)

––––––––––––––

3 months

to 1 year

US$

--

––––––––––––––-

––––––––––––––

----

––––––––––––––-

––––––––––––––

More than

1 year

US$

--

––––––––––––––-

––––––––––––––

--

(30,505)-

––––––––––––––(30,505)

––––––––––––––

Total

US$

16,51715,839,591

––––––––––––––15,856,108

––––––––––––––

(6,112)(16,052,852)

(30,505)(48,559,307)

––––––––––––––(64,648,776)

––––––––––––––






EMDBTR Fund

Assets

Forward foreign currency exchange contractsInterest Rate SwapOpen futures contracts

Total assets

Liabilities

Forward foreign currency exchange contractsInterest rate swapsOpen futures contractsNet assets attributable to holders of redeemable shares

Total liabilities

EMSD Fund

Assets


Total assets

Liabilities

Forward foreign currency exchange contractsCredit default swapNet assets attributable to holders of redeemable shares

Total liabilities

USHYB Fund

Assets


Total assets

Liabilities


Total liabilities

Less than

1 month

US$

127,292,673--

––––––––––––––127,292,673

––––––––––––––

(127,763,120)---

––––––––––––––(127,763,120)

––––––––––––––

1 month

to 3 months

US$

12,023,817-

23,000––––––––––––––

12,046,817––––––––––––––

(11,832,209)--

(81,979,708)––––––––––––––

(93,811,917)––––––––––––––

3 months

to 1 year

US$

3,250,000--

––––––––––––––3,250,000

––––––––––––––

(3,269,773)---

––––––––––––––(3,269,773)

––––––––––––––

More than

1 year

US$

-382,878

-––––––––––––––

382,878––––––––––––––

-(84,808)

--

––––––––––––––(84,808)

––––––––––––––

Total

US$

142,566,490382,87823,000

––––––––––––––142,972,368

––––––––––––––

(142,865,102)(84,808)

-(81,979,708)

––––––––––––––(224,929,618)

––––––––––––––

Less than

1 month

US$

-––––––––––––––

-––––––––––––––

---

––––––––––––––-

––––––––––––––

1 month

to 3 months

US$

1,955,390––––––––––––––

1,955,390––––––––––––––

(1,957,304)-

(21,484,389)––––––––––––––

(23,441,693)––––––––––––––

3 months

to 1 year

US$

-––––––––––––––

-––––––––––––––

---

––––––––––––––-

––––––––––––––

More than

1 year

US$

-––––––––––––––

-––––––––––––––

-(87,437)

-––––––––––––––

(87,437)––––––––––––––

Total

US$

1,955,390––––––––––––––

1,955,390––––––––––––––

(1,957,304)(87,437)

(21,484,389)––––––––––––––

(23,529,130)––––––––––––––

Less than

1 month

US$

7,570,506––––––––––––––

7,570,506––––––––––––––

(7,749,146)-

––––––––––––––(7,749,146)

––––––––––––––

1 month

to 3 months

US$

-––––––––––––––

-––––––––––––––

-(292,657,515)

––––––––––––––(292,657,515)

––––––––––––––

3 months

to 1 year

US$

-––––––––––––––

-––––––––––––––

--

––––––––––––––-

––––––––––––––

More than

1 year

US$

-––––––––––––––

-––––––––––––––

--

––––––––––––––-

––––––––––––––

Total

US$

7,570,506––––––––––––––

7,570,506––––––––––––––

(7,749,146)(292,657,515)

––––––––––––––(300,406,661)

––––––––––––––






USIGCB Fund

Assets

Open futures contracts

Total assets

Liabilities

Open futures contractsNet assets attributable to holders of redeemable shares

Total liabilities

Global Exposure

Risk monitoring of Global Exposure is detailed in Note 6.

14. Net Asset Value per Redeemable Share

At 31 December 2017 Net Assets Attributable to Net Asset Value per

Holders of Redeemable Redeemable

Participating Shares Participating Share Units in issue

GSSB Fund

Class A GBP Distribution £39,816,827 £106.31 374,535Class B EUR Accumulation €169,915 €110.65 1,536Class B EUR Distribution €2,403,424 €104.83 22,927Class B GBP Accumulation £371,732 £116.75 3,184Class B USD Accumulation US$652,920 US$118.82 5,495Class B USD Distribution US$417,708 US$109.57 3,812Class C EUR Accumulation €11,638,573 €100.34 115,989Class C GBP Accumulation £880,386 £100.44 8,765Class C SEK Accumulation SEK43,088,731 SEK100.31 429,535Class C USD Accumulation US$7,343,896 US$103.57 70,908Class D EUR Accumulation €22,675,448 €132.30 171,397Class D EUR Distribution €3,258,367 €101.82 32,000Class D USD Accumulation US$28,825,703 US$129.72 222,214Class D USD Distribution US$2,558,487 US$102.53 24,954Class E EUR Distribution €154,045 €102.70 1,500Class E GBP Accumulation £128,279 £102.62 1,250Class E USD Distribution US$1,387,736 US$99.10 14,004Class F EUR Accumulation €14,655,900 €151.68 96,625Class F GBP Accumulation £376,845 £139.85 2,695Class S USD Distribution US$71,459,289 US$105.87 675,000

Less than

1 month

US$

-––––––––––––––

-––––––––––––––

--

––––––––––––––-

––––––––––––––

1 month

to 3 months

US$

36,963––––––––––––––

36,963––––––––––––––

(38,936)(212,262,147)

––––––––––––––(212,301,083)

––––––––––––––

3 months

to 1 year

US$

-––––––––––––––

-––––––––––––––

-

––––––––––––––-

––––––––––––––

More than

1 year

US$

-––––––––––––––

-––––––––––––––

-

––––––––––––––-

––––––––––––––

Total

US$

36,963––––––––––––––

36,963––––––––––––––

(38,936)(212,262,147)

––––––––––––––(212,301,083)

––––––––––––––




14. Net Asset Value per Redeemable Share (continued)

At 31 December 2017 (continued) Net Assets Attributable to Net Asset Value per



EHYB Fund

Class A EUR Accumulation €278,527,030 €114.21 2,438,716Class A GBP Distribution £2,556,767 £106.53 24,000Class A USD Accumulation US$17,109,855 US$119.42 143,270Class B EUR Accumulation €71,397 €102.86 694Class B GBP Accumulation £15,073,546 £103.36 145,840Class B GBP Distribution £12,777,954 £100.28 127,426Class C EUR Accumulation €221,438 €109.95 2,014Class D EUR Accumulation €18,798,236 €107.57 174,753Class D EUR Distribution €6,140,063 €102.66 59,810Class D USD Accumulation US$159,607 US$106.40 1,500Class E CHF Accumulation CHF336,593 CHF102.94 3,270Class E EUR Accumulation €1,891,671 €115.17 16,425Class E GBP Accumulation £1,179,006 £105.17 11,210Class E USD Accumulation US$1,500,779 US$105.35 14,246Class S EUR Accumulation €1,012,704 €163.15 6,207

GHYB Fund

Class A EUR Accumulation €60,992,930 €116.91 521,690Class A USD Accumulation US$41,717,603 US$122.17 341,469Class B CHF Accumulation CHF2,719,628 CHF99.60 27,306Class B EUR Accumulation €140,727,453 €122.23 1,151,355Class B GBP Accumulation £440,619 £99.85 4,413Class B USD Accumulation US$155,684,152 US$113.96 1,366,285Class C AUD Accumulation AUD35,995,178 AUD102.81 350,118Class C CHF Accumulation CHF65,265,619 CHF101.10 645,543Class C EUR Accumulation EUR526,694 EUR114.00 4,619Class C USD Accumulation US$76,321,051 US$123.39 618,559Class D EUR Accumulation €19,246,259 €103.64 185,703Class D EUR Distribution €996,947 €99.69 10,000Class D GBP Accumulation £1,215,201 £108.81 11,168Class D USD Accumulation US$9,063,691 US$116.02 78,124Class D USD Distribution US$10,615,536 US$101.33 104,758Class E CHF Accumulation CHF1,673 CHF99.65 17Class E EUR Accumulation €3,165,569 €120.32 26,314Class E EUR Distribution €9,192,630 €100.07 91,862Class E GBP Accumulation £1,270 £99.83 13Class E USD Accumulation US$1,170,391 US$106.90 10,948Class F EUR Accumulation €32,045,991 €163.71 195,752Class F GBP Accumulation £18,396,218 £147.05 125,558Class F USD Accumulation US$1,151,151 US$170.83 6,738

EMCB Fund

Class A GBP Accumulation £224,171 £114.37 1,960Class A SEK Distribution SEK9,889,015 SEK98.89 100,000Class A USD Accumulation US$98,496,512 US$118.90 828,414Class A USD Distribution US$640,807 US$106.53 6,015Class B USD Accumulation US$2,250,563 US$107.83 20,870








EMLD Fund

Class A EUR Accumulation €44,798,369 €109.59 408,774Class A EUR Distribution €2,741,302 €104.69 26,185Class A GBP Accumulation £116,252 £123.67 940Class A GBP Distribution £807 £100.56 8Class A USD Accumulation US$568,456,041 US$108.13 5,257,096Class B EUR Accumulation €55,250,453 €103.91 531,704Class B USD Accumulation US$141,938,333 US$100.41 1,413,622Class C EUR Accumulation €917 €103.10 9Class C USD Accumulation US$47,438,400 US$99.07 478,828Class D EUR Accumulation €917 €103.10 9Class D USD Accumulation US$1,081 US$103.67 10Class E SEK Accumulation SEK4,503,722 SEK104.08 43,271

GCB Fund

Class A USD Accumulation US$458,836 US$113.17 4,055Class A USD Distribution US$25,802,264 US$106.70 241,829

EMDSD Fund

Class A USD Accumulation US$576,670 US$113.44 5,083Class A USD Distribution US$20,220,440 US$103.40 195,560Class B CHF Accumulation CHF571,375 CHF101.50 5,629Class B EUR Accumulation €3,427,044 €101.92 33,625Class B SEK Accumulation SEK4,209,710 SEK102.60 41,030Class B USD Accumulation US$10,507,064 US$106.29 98,853Class E USD Accumulation US$265,377 US$110.51 2,401

ASD Fund

Class S EUR Accumulation €6,670,631 €102.17 65,292Class S USD Accumulation US$55,021,503 US$107.15 513,520

EMDBTR Fund

Class A GBP Accumulation £22,897,193 £118.85 192,663Class A NOK Accumulation NOK50,596,171 NOK101.19 500,000Class A USD Accumulation US$463,956 US$120.93 3,836Class A USD Distribution US$71,259,503 US$114.18 624,077Class C GBP Accumulation £357,141 £108.59 3,289Class C GBP Distribution £165,387 £103.99 1,590Class C USD Accumulation US$191,801 US$99.63 1,925

EMSD Fund


USHYB Fund

Class A GBP Distribution £9,994 £99.94 100Class A USD Accumulation US$179,807,992 US$126.89 1,417,056Class A USD Distribution US$966,013 US$100.50 9,612Class D USD Accumulation US$5,606,978 US$109.37 51,266Class E USD Accumulation US$3,716,836 US$100.44 37,006








USIGCB Fund

Class A GBP Unhedged Accumulation £185,984,998 £101.70 1,828,715Class A USD Accumulation US$51,684 US$103.37 500

USHYBC Fund*

Class X USD Accumulation US$157,268,155 US$106.58 1,475,523Class X USD Distribution US$6,850,683 US$102.15 67,068

USSDHYBC Fund**

Class X USD Accumulation US$83,724,220 US$103.80 806,606Class X USD Distribution US$3,138,132 US$100.22 31,314





GSSB Fund

Class A GBP Distribution £36,290,890 £106.20 346,089Class B EUR Accumulation €68,027 € 104.50 651Class B EUR Distribution €529,479 € 102.81 5,150Class B GBP Acumulation £63,789 £109.47 583Class B USD Accumulation US$2,306,827 US$110.10 20,952Class B USD Distribution US$1,218,646 US$107.88 11,296Class D EUR Accumulation €36,474,260 € 125.19 291,360Class D EUR Distribution €3,214,848 € 100.46 32,000Class D USD Accumulation US$26,126,585 US$120.44 216,926Class D USD Distribution US$2,518,993 US$100.95 24,954Class E EUR Distribution €151,727 € 101.15 1,500Class E USD Distribution US$519,478 US$97.56 5,325Class F EUR Accumulation €18,641,144 € 142.68 130,651Class F GBP Accumulation £351,911 £130.59 2,695Class S USD Distribution US$70,359,011 US$104.24 675,000

EHYB Fund

Class A EUR Accumulation €262,724,534 €107.64 2,440,716Class A GBP Distribution £6,001,916 £106.23 56,500Class A USD Accumulation US$41,800,115 US$110.45 378,448Class C EUR Accumulation €209,225 €103.89 2,014Class D EUR Accumulation €2,991,925 €101.74 29,408Class D EUR Distribution €5,627,681 €102.32 55,000Class E EUR Accumulation €3,532,122 €109.37 32,295Class S EUR Accumulation €954,466 €153.76 6,207








GHYB Fund

Class A EUR Accumulation €68,324,718 €110.34 619,233Class A USD Accumulation US$54,922,033 US$113.14 485,433Class B EUR Accumulation €198,191,196 €115.54 1,715,349Class B USD Accumulation US$117,883,847 US$105.70 1,115,290Class C EUR Accumulation €1,618,993 €107.93 15,000Class C USD Accumulation US$39,064,906 US$114.55 341,034Class D GBP Accumulation £950,633 £102.33 9,290Class D USD Accumulation US$5,113,123 US$107.81 47,426Class D USD Distribution US$5,128 US$106.92 48Class E EUR Accumulation €733,072 €114.42 6,407Class F EUR Accumulation €44,057,285 €154.13 285,844Class F GBP Accumulation £2,536,609 £137.44 18,456Class F USD Accumulation US$779,032 US$157.81 4,937

EMCB Fund

Class A GBP Accumulation £208,288 £106.27 1,960Class A SEK Distribution SEK 9,510,856 SEK 95.11 100,000Class A USD Accumulation US$108,922,992 US$109.17 997,740Class A USD Distribution US$91,848 US$101.99 901Class B USD Accumulation US$148,632 US$99.09 1,500

EMLD Fund

Class A GBP Accumulation £99,422 £105.77 940Class A USD Accumulation US$260,609,053 US$91.20 2,857,704

GCB Fund

Class D USD Accumulation US$434,036 US$107.05 4,055Class D USD Distribution US$41,570,190 US$104.69 397,065

EMDSD Fund

Class A USD Accumulation US$784,166 US$107.86 7,270Class A USD Distribution US$20,230,763 US$103.45 195,560Class B SEK Accumulation SEK 4,091,091 SEK 99.71 41,030Class B USD Accumulation US$1,039,524 US$101.16 10,276Class E USD Accumulation US$4,155,552 US$105.51 39,386

ASD Fund

Class S EUR Accumulation €4,497,121 €101.45 44,327Class S USD Accumulation US$43,825,411 US$104.35 419,987

EMDBTR Fund

Class A GBP Accumulation £13,456,327 £103.91 129,504Class A USD Accumulation US$400,661 US$104.43 3,836Class A USD Distribution US$64,949,660 US$104.07 624,077Class C GBP Accumulation £9,508 £95.08 100Class C GBP Distribution £27,666 £95.07 291

EMSD Fund









USHYB Fund

Class A EUR Accumulation €2,879,868 €106.53 27,034Class A GBP Accumulation £3,574,236 £106.42 33,585Class A USD Accumulation US$281,926,508 US$117.82 2,392,933Class D USD Accumulation US$3,294,625 US$101.90 32,331

USIGCB Fund

Class D GBP Accumulation £172,195,346 £104.85 1,642,272Class D USD Accumulation US$48,639 US$97.28 500




GSSB Fund

Class A GBP Distribution £41,431,506 £101.13 409,686Class B EUR Distribution €683,964 €98.95 6,912Class B GBP Accumulation £32,251 £99.23 325Class B USD Accumulation US$1,928,588 US$99.23 19,436Class D EUR Accumulation €54,946,230 €114.55 479,683Class D EUR Distribution €3,094,145 €96.69 32,000Class D SEK Distribution SEK 16,236,933 SEK 98.67 164,565Class D USD Accumulation US$1,047,652 US$108.77 9,632Class D USD Distribution US$3,877,286 US$96.93 40,000Class E EUR Distribution €146,040 €97.36 1,500Class E USD Distribution US$6,676,079 US$93.68 71,264Class F EUR Accumulation €16,954,934 €129.77 130,651Class F GBP Accumulation £495,853 £117.92 4,205Class S USD Distribution US$67,564,369 US$100.10 675,000

EHYB Fund

Class A GBP Distribution £2,611,801 £102.88 25,386Class A USD Accumulation US$2,280,165 US$99.50 22,917Class E EUR Accumulation €3,247,888 €100.57 32,295Class S EUR Accumulation €43,298,057 €140.36 308,486

GHYB Fund

Class F USD Distribution US$35,342,341 US$100.18 352,776Class A EUR Accumulation €54,948,634 €97.97 560,849Class A USD Accumulation US$46,114,775 US$99.17 465,004Class D USD Distribution US$1,289,137 US$99.93 12,900Class F EUR Accumulation €39,088,822 €136.49 286,381Class F GBP Accumulation £499,637 £120.91 4,132Class F USD Accumulation US$681,137 US$137.98 4,937

EMCB Fund

Class A GBP Accumulation £191,936 £97.93 1,960Class A SEK Distribution SEK 23,419,908 SEK 91.93 254,761Class A USD Accumulation US$100,071,332 US$100.16 999,127Class A USD Distribution US$15,405 US$98.28 157

EMLD Fund

Class A GBP Accumulation £90,939 £96.74 940Class A USD Accumulation US$123,685,837 US$82.46 1,499,996Class E EUR Accumulation €425,396 €85.08 5,000Class E USD Accumulation US$427,129 US$85.43 5,000










GCB Fund

Class D USD Accumulation US$403,572 US$99.54 4,055Class D USD Distribution US$74,256,697 US$100.04 742,300

EMDSD Fund


ASD Fund

Class S USD Accumulation US$42,155,791 US$101.17 416,675Class S USD Distribution US$16,776,793 US$98.83 169,752

EMDBTR Fund


EMSD Fund


15. US GAAP Supplemental Information

US GAAP Reconciliation of Profit and Net assets attributable to holders of redeemable participating shares as of and for therelevant period to 31 December 2017. The following tables are intended to identify any differences which may arise in thevaluation methods between IFRS and US GAAP. The disclosures contained within this Note are not intended to address therange of financial statements disclosures which are required under US GAAP. The reconciliation of the IFRS basis and USGAAP basis of Accounting is solely disclosed for the applicable funds.


Profit* Net Assets** Profit* Net Assets**

US$ US$ US$ US$

Year ended Year ended Year ended Year ended

31 Dec 2017 31 Dec 2017 31 Dec 2016 31 Dec 2016

IFRS basis 9,833,616 102,896,067 8,954,489 110,464,099–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

Differences between IFRS basis and US GAAP basis of Accounting:GAAP basis of Accounting:

a) Fair Value adjustment - - - -b) Taxation - - - -c) Trades - - - -

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––- - - -

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––US GAAP basis 9,833,616 102,896,067 8,954,489 110,464,099

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––

*Profit refers to “profit for the financial year after tax” as per the audited statutory financial statements of the Fund for the year ended 31 December 2017, and prior year (preparedunder International Financial Reporting Standards (“IFRS”)).

**Net Assets refers to “net assets attributable to holders of redeemable participating shares”.




15. US GAAP Supplemental Information (continued)



US$ US$ US$ US$


31 Dec 2017 31 Dec 2017 31 Dec 2016 31 Dec 2016

IFRS basis 69,725,356 881,974,884 10,112,162 260,731,904–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––



–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––- - - -

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––US GAAP basis 69,725,356 881,974,884 10,112,162 260,731,904

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––





US$ US$ US$ US$


31 Dec 2017 31 Dec 2017 31 Dec 2016 31 Dec 2016

IFRS basis 20,825,804 190,111,311 28,414,326 292,657,515–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––



–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––- - - -

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––US GAAP basis 20,825,804 190,111,311 28,414,326 292,657,515

–––––––––––––– –––––––––––––– –––––––––––––– ––––––––––––––



Net assets attributable to holders of redeemable participating shares

There is a classification difference between IFRS and US GAAP whereby the units in issue are classified in equity in accordancewith US GAAP and in liabilities with IFRS. However, there is no measurement impact of this classification difference.

Fair value adjustment

IFRS 13, “Fair value measurement”, effective for annual periods beginning on or after 1 January 2013 has been adopted by theFund. In accordance with US GAAP (ASC 820, “Fair value measurement”), the investment portfolio should be priced at the mostappropriate point on the bid/ask spread that is most representative of fair value. In accordance with IFRS, if an asset or a liabilitymeasured at fair value has a bid price and an ask price, the standard requires valuation to be based on a price within thebid/ask spread that is most representative of fair value and allows the use of mid-market pricing or other pricing conventionsthat are used by market participants as a practical expedient for fair value measurement within a bid/ask spread. On adoptionof IFRS 13, the Fund’s valuation is aligned with ASC 820 and no adjustments are required.



Fair value adjustment (continued)

DerivativesFor detailed information on the nature and fair value of derivatives by contract type as included in the statement of financialposition as of 31 December 2017 please refer to Note 3 of these financial statements.

Information pertaining to the volume of derivatives activities for both long and short derivative positions as at 31 December 2017and 31 December 2016 is presented in the tables below:

31 December 2017 Long Position Short Position

Primary Underlying Risk Buy Sell Buy Sell

US$ US$

Forward foreign currency exchange contracts 742,924,040(1) 155(2) 491,561,735(1) 124(2)

Notional Amount

US$

Futures 8,801,254Interest Rate Swaps 12,381,900,000Credit Default Swaps 700,000

31 December 2016 Long Position Short Position

Primary Underlying Risk Buy Sell Buy Sell

US$ US$

Forward foreign currency exchange contracts 158,024,901(3) 75(4) 171,826,931(3) 71(4)

Notional Amount

US$

Futures 5,922,821Interest Rate Swaps 11,117,091,389Credit Default Swaps 2,200,000

(1)Based on initial notional amounts for the financial year ended 31 December 2017 which is indicative of the trading volume throughout the period.(2)Based on number of contracts/shares for the financial year ended 31 December 2017 which is indicative of the trading volume throughout the period.(3)Based on initial notional amounts for the financial year ended 31 December 2016 which is indicative of the trading volume throughout the period.(4)Based on number of contracts/shares for the financial year ended 31 December 2016 which is indicative of the trading volume throughout the period.

Uncertain tax positions

ASC 740 “Accounting for Uncertainty in Income Taxes” (“ASC 740”) clarifies the accounting for uncertainty in income taxesrecognised in the Company’s financial statements. ASC 740 prescribes a recognition threshold and measurement attribute forthe financial statement recognition and measurement of a tax position taken or expected to be taken in a tax return. ASC 740requires that the Company determines whether it is more likely than not that a tax position will be sustained upon examinationincluding resolution of any related appeals or litigation processes based on the technical merit of the position. In evaluatingwhether a tax position has met the more likely than not recognition threshold, the Company should presume that the positionwill be examined by the appropriate taxing authority that has full knowledge of all relevant information. A tax position that meetsthe more-likely-than-not recognition threshold is measured to determine the amount of benefit to recognise in the financialstatements. The tax position is measured at the largest amount of benefit that is greater than 50 per cent likely of being realisedupon settlement. The Fund reviews and evaluates their tax positions in its major jurisdictions where the Fund is organised andwhere the Fund makes investments. Management has concluded there are no provisions for uncertain tax positions requiredto be recorded as a result.

Redemptions payable

ASC 480 requires that shares or interests to be redeemed due to an irrevocable redemption request made prior to the reportingperiod end for a redemption effective immediately after the period end and to be paid after the period end either for a fixedamount or at an amount determined based on the NAV at the period end are considered financial liabilities and classified asredemptions payable. The Company had no such redemption requests as at 31 December 2017. The Company had noredemptions on 1 January 2018, which would result in a reduction in the 31 December 2017 net assets consequently,management concluded no payable was required under US GAAP as at 31 December 2017.







Interest income and expenses

For financial instruments carried at amortised cost, the interest expense (for financial liabilities) or revenue (for financial assets)is calculated by using the effective interest rate method (“EIR”). In accordance with US GAAP, for financial assets that arecarried at amortised cost, the calculation of the EIR generally is based on contractual cash flows over the asset’s contractuallife while IFRS requires calculation of EIR using estimated future cash flows over the expected or estimated life of the loan asset.As of 31 December 2017, management has concluded there was no material difference identified.

16. Presentational exchange rates

The following exchange rates (€ against the US$) were used to convert the EHYB Fund (base currency €) into US$ for inclusioninto the Company presentational currency.

Investments and other assets and liabilities denominated in currencies other than US$ were converted at the following rates asat 31 December 2017 and 31 December 2016.

US$ 31 Dec 2017 31 Dec 2016

ARS 18.625000 15.868000AUD 1.281640 1.385713BRL 3.317100 3.254700CAD 1.257000 1.342650CHF 0.974450 1.018300CLP 615.400000 669.795000CNH 6.514000 6.973000COP 2,984.440000 3,002.000000CZK 21.293900 25.670450DKK 6.204700 7.062500EGP 17.780000 18.130000EUR 0.833438 0.949983GBP 0.740658 0.811425GHS 4.521000 4.225000HKD 7.812850 7.754550HRK 6.193000 7.180250HUF 258.957400 293.787150IDR 13,567.500000 13,472.500000ILS 3.479650 3.852050INR 63.827500 67.870000JPY 112.675000 116.875000KRW 1,070.550000 1,207.800000KZT 332.695000 333.685000MXN 19.662500 20.729650MYR 4.047000 4.486000NGN 360.000000 314.980000NOK 8.210600 8.635350NZD 1.411034 1.439470PEN 3.242500 3.356000PHP 49.920000 49.712500PLN 3.480950 4.184650RON 3.888200 4.311700RSD 98.560000 117.225000RUB 57.625000 61.345000SEK 8.203100 9.110600SGD 1.337450 1.448150THB 32.590000 35.810500TRY 3.790500 3.526900USD 1.000000 1.000000UYU 28.710000 29.325000ZAR 12.372500 13.733750


16. Presentational exchange rates (continued)

Investments and other assets and liabilities denominated in currencies other than € were converted at the following rates as at31 December 2017 and 31 December 2016.

€ 31 Dec 2017 31 Dec 2016

ARS 22.347193 16.703457AUD 1.537775 1.458671BRL 3.980020 3.426061CAD 1.508211 1.413341CHF 1.169193 1.071914CLP 738.387259 705.059985CNH 7.815818 7.340131COP 3,580.878242 3,160.056548CZK 25.549471 27.022010DKK 7.444705 7.434344EUR 1.000000 1.000000GBP 0.888678 0.854147HRK 7.430667 7.558293HUF 310.709855 309.255166IDR 16,278.955363 14,181.832728ILS 4.175056 4.054862KRW 1,284.498667 1,271.391172KZT 399.183863 351.253654MXN 23.592037 21.821075MYR 4.855790 4.722190NOK 9.851483 9.090005NZD 1.693028 1.515259PEN 3.890511 3.532695PHP 59.896477 52.329884PLN 4.176615 4.404974RON 4.665254 4.538713RSD 118.257147 123.396945RUB 69.141316 64.574840SEK 9.842484 9.590277SGD 1.604738 1.524396THB 39.103089 37.695938TRY 4.548029 3.712593USD 1.199849 1.052650UYU 34.447673 30.868973ZAR 14.845135 14.456838

Income and expenses were converted at an average rate for the financial year ended 31 December 2017 and for the financialyear ended 31 December 2016:

Average exchange rates Average exchange rates

for the period for the period

1 January 2017 1 January 2016

US$ to 31 December 2017 to 31 December 2016

Euro (€) 0.884949 0.907703




17. Interests in unconsolidated structured entities

The Company meets the definition of an Investment Entity under IFRS 10 and therefore does not consolidate any investments.IFRS 12 requires disclosures around “Unconsolidated Structured Entities”.

IFRS 12 defines a structured entity as an entity that has been designed so that voting or similar rights are not the dominantfactor in deciding who controls the entity, such as when any voting rights relate to the administrative tasks only and the relevantactivities are directed by means of contractual agreements. Disclosures are required where an interest is held in a structuredentity and where, for example, the investor has been involved in the setting up of the structured entity and the investor wouldhave exposure to potential losses or costs over and above the amount actually invested.

Where it is within their investment objectives, at 31 December 2017 and 31 December 2016 the Sub-Funds held variousinvestments in ABS, MBS and investment funds. The nominal value and fair value of each of these investments is listed in eachapplicable Sub-Fund’s Portfolio Statements. The fair value of the ABS and MBS is recorded in the “Transferable Securities” lineand the investment funds are recorded in the “Investment funds” line in the Statement of Financial Position. The carrying valueof these investments is equivalent to fair value, and the Sub-Fund’s maximum exposure to loss from these investments is equalto their total fair value. Once a Sub-Fund has disposed of its holding in any of these investments, the Sub-Fund ceases to beexposed to any risk from that investment. The Sub-Funds have not provided, and would not be required to provide any financialsupport to these investees.

The Sub-Funds have concluded that ABS, MBS and open-ended investment funds in which they invest, but that they do notconsolidate, meet the definition of structured entities because:

• the voting rights in these entities are not the dominant rights in deciding who controls them, as they relate toadministrative tasks only;

• each entity’s activities are restricted by its Prospectus; and• the entities have narrow and well-defined objectives to provide investment opportunities to investors.

These investments are detailed in the following table, as they have been established by the Sub-Funds’ investment manager.The maximum exposure to loss is the carrying amount of the financial assets held.

The table below sets out the interests held by the Sub-Funds in unconsolidated structured entities at 31 December 2017:

Carrying

amount

included

Total Net in ‘Financial % of Total Net

Currency Assets of the assets at Assets of the

of Sub- No. of underlying fair value underlying

Fund Investments Structured through Structured % of Total

Entity* profit or loss’ Entity Net Assets

Investment in open-ended investment funds

Barings Global Senior Secured Bond Fund US$ 1 352,817,197 3,501,340 0.99 1.45Barings Global High Yield Bond Fund US$ 1 352,817,197 5,000,000 1.42 0.67Barings European High Yield Bond Fund € 1 6,305,862,904 819 0.00 0.00

Investment in mortgage backed securities

Barings Active Short Duration Fund US$ 15 2,673,880,262 1,418,505 0.05 2.25

Investment in asset backed securities

Barings Active Short Duration Fund US$ 168 34,983,704,164 19,091,194 0.05 30.23

*Based on the latest available Net Assets of the Structured Entities.




17. Interests in unconsolidated structured entities (continued)

The table below sets out the interests held by the Sub-Funds in unconsolidated structured entities at 31 December 2016:

Total Net Carrying amount

Currency Assets of the included in ‘Financial

of Sub- No. of underlying assets at fair value % of Total

Fund Investments Structured Entity* through profit or loss’ Net Assets

Investment in open-ended investment funds

Barings Global Senior Secured Bond Fund US$ 1 377,239,492 1,550,000 0.74Barings Global High Yield Bond Fund US$ 1 377,239,492 17,490,000 3.17Barings European High Yield Bond Fund € 1 6,687,640,868 1,998,345 0.62

Investment in mortgage backed securities

Barings Active Short Duration Fund US$ 36 6,271,709,858 3,525,012 7.26

Investment in asset backed securities

Barings Active Short Duration Fund US$ 173 35,861,332,000 19,365,430 39.88

*Based on the latest available Net Assets of the Structured Entities.

18. Cross liability

While the provisions of the Companies Act, 2014 provide for segregated liability between Sub-Funds, these provisions have yetto be tested in foreign courts, in particular in satisfying local creditors’ claims. Accordingly, it is not free from doubt that theassets of each Sub-Fund and class may not be exposed to the liabilities of the other Sub-Funds and classes within theCompany. At 31 December 2017, the Directors are not aware of any such existing or contingent liability.

19. Contingent liabilities

There are no contingent liabilities at financial year end 31 December 2017 (31 December 2016: nil).

20. Soft commissions

There were no soft commission arrangements entered into by the Investment Managers, on behalf of the Company, during thefinancial year or during the prior financial year.

21. Distributions

The following distributions were declared by the funds during the financial year ended 31 December 2017.

31 December 2016* 31 March 2017 30 June 2017 30 September 2017 Total

Value Per Share Value Per Share Value Per Share Value Per Share Value

GSSB US$ US$ US$ US$ US$ US$ US$ US$ US$

A GBP Class 576,306 1.67 515,449 1.80 572,787 1.72 567,498 1.65 2,232,040B EUR Class 6,338 1.23 3,480 0.62 27,618 1.27 26,707 1.23 64,143B USD Class 19,073 1.69 8,595 1.72 14,229 1.63 13,754 1.57 55,651D EUR Class 36,775 1.15 38,705 1.21 37,680 1.18 36,300 1.13 149,460D USD Class 38,156 1.53 38,803 1.55 36,852 1.48 35,339 1.42 149,150E EUR Class 1,575 1.05 1,665 0.92 1,941 1.07 1,854 1.02 7,035E USD Class 7,345 1.38 10,756 1.41 18,056 1.33 17,511 1.27 53,668S USD Class 1,127,809 1.67 1,145,417 1.70 1,092,049 1.62 1,050,071 1.56 4,415,346

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Total 1,813,377 1,762,870 1,801,212 1,749,034 7,126,493

–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––

*Dividends were paid 13th January 2017




21. Distributions (continued)



EHYB € € € € € € € € €

A GBP Class 114,851 2.03 114,313 2.02 109,289 1.93 102,786 1.82 441,239B GBP Class - - - - 19,604 1.78 19,544 1.67 39,148C GBP Class - - 32,303 1.85 13,218 1.76 12,400 1.65 57,921D EUR Class 74,228 1.35 75,723 1.38 74,698 1.36 70,902 1.29 295,551

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Total 189,079 222,339 216,809 205,632 833,859

–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––




GHYB US$ US$ US$ US$ US$ US$ US$ US$ US$

D USD Class 81 1.69 3,017 1.59 9,178 1.56 8,857 1.49 21,133E EUR Class - - - - - - 15,758 1.09 15,758

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Total 81 3,017 9,178 24,615 36,891

–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––




EMCB US$ US$ US$ US$ US$ US$ US$ US$ US$

A SEK Class 6,258 0.06 7,388 0.07 7,583 0.08 7,110 0.07 28,339A USD Class 969 0.95 1,467 1.13 2,744 1.16 4,297 1.12 9,477

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Total 7,227 8,855 10,327 11,407 37,816

–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––


30 June 2017 30 September 2017 Total

Value Per Share Value Per Share Value

EMLD US$ US$ US$ US$ US$

A EUR Class 24,000 0.92 32,193 1.23 56,193–––––––––––– –––––––––––– ––––––––––––

Total 24,000 32,193 56,193–––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– ––––––––––––



GCB US$ US$ US$ US$ US$ US$ US$ US$ US$

D USD Class 399,391 1.01 382,492 0.96 379,239 0.96 364,456 0.92 1,525,578–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––

Total 399,391 382,492 379,239 364,456 1,525,578–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––








EMDSD US$ US$ US$ US$ US$ US$ US$ US$ US$

A USD Class 269,410 1.38 263,837 1.35 264,674 1.35 230,763 1.18 1,028,684–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––

Total 269,410 263,837 264,674 230,763 1,028,684–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––




EMDBTR US$ US$ US$ US$ US$ US$ US$ US$ US$

A USD Class 783,918 1.26 978,570 1.57 886,701 1.42 1,054,849 1.69 3,704,038C GBP Class 326 1.12 424 1.46 376 1.29 2,584 1.63 3,710

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Total 784,244 978,994 887,077 1,057,433 3,707,748

–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––




EMSD US$ US$ US$ US$ US$ US$ US$ US$ US$

A USD Class 281,649 1.44 306,143 1.56 299,938 1.53 297,291 1.52 1,185,021–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––

Total 281,649 306,143 299,938 297,291 1,185,021–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––


31 March 2017 30 June 2017 30 September 2017 Total

Value Per Share Value Per Share Value Per Share Value

USHYB US$ US$ US$ US$ US$ US$ US$

A USD Class 16,173 1.62 16,648 1.66 30,224 1.60 63,045–––––––––––– –––––––––––– –––––––––––– ––––––––––––

Total 16,173 16,648 30,224 63,045–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––



USHYBC US$ US$ US$ US$ US$ US$ US$

X USD Class 71,477 1.08 109,006 1.64 108,867 1.63 289,350–––––––––––– –––––––––––– –––––––––––– ––––––––––––

Total 71,477 109,006 108,867 289,350–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––



USSDHYBC US$ US$ US$ US$ US$ US$ US$

X USD Class 20,863 0.67 46,378 1.48 43,343 1.38 110,584–––––––––––– –––––––––––– –––––––––––– ––––––––––––

Total 20,863 46,378 43,343 110,584–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––





The following distributions were declared by the funds during the financial year ended 31 December 2016.



GSSB US$ US$ US$ US$ US$ US$ US$ US$ US$

A GBP Class 986,105 2.41 779,829 2.27 713,313 2.08 626,415 1.91 3,105,662B EUR Class 10,497 1.52 9,248 1.50 8,806 1.43 8,442 1.37 36,993B USD Class - - 4,033 1.65 14,097 1.64 16,289 1.67 34,419D EUR Class 45,794 1.43 45,123 1.41 42,911 1.34 41,000 1.28 174,828D SEK Class 24,816 0.15 37,498 0.15 35,441 0.14 32,757 0.13 130,512D USD Class 59,346 1.48 59,662 1.49 59,428 1.49 30,306 1.52 208,742E EUR Class 2,001 1.33 1,963 1.31 1,862 1.24 1,765 1.18 7,591E USD Class 95,453 1.34 100,381 1.35 120,335 1.34 7,279 1.37 323,448S USD Class 1,093,748 1.62 1,098,930 1.63 1,095,298 1.62 1,117,656 1.66 4,405,632

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Total 2,317,760 2,136,667 2,091,491 1,881,909 8,427,827

–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––




EHYB € € € € € € € € €

A GBP class 59,328 2.34 97,782 2.27 113,615 2.01 99,674 1.76 370,399–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––

Total 59,328 97,782 113,615 99,674 370,399–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––




GHYB US$ US$ US$ US$ US$ US$ US$ US$ US$

D USD Class 19,286 1.50 67 1.47 81 1.74 77 1.63 19,511–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––

Total 19,286 67 81 77 19,511–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––




EMCB US$ US$ US$ US$ US$ US$ US$ US$ US$

A SEK Class 32,930 0.13 19,217 0.10 13,129 0.10 7,280 0.07 72,556A USD Class 220 1.40 187 1.20 1,226 1.23 954 1.10 2,587

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Total 33,150 19,404 14,355 8,234 75,143

–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––








EMDSD US$ US$ US$ US$ US$ US$ US$

A USD Class 253,745 1.30 267,828 1.37 254,385 1.30 775,958–––––––––––– –––––––––––– –––––––––––– ––––––––––––

Total 253,745 267,828 254,385 775,958–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––



ASD US$ US$ US$ US$ US$ US$ US$ US$ US$

S USD Class 103,665 0.61 99,775 0.58 104,067 0.61 109,085 0.63 416,592–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––

Total 103,665 99,775 104,067 109,085 416,592–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––




EMDBTR US$ US$ US$ US$ US$ US$ US$

A USD Class 908,999 1.46 839,110 1.34 753,867 1.21 2,501,976E EUR Class - - 2,345 0.94 1,689 0.68 4,034

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Total 908,999 841,455 755,556 2,506,010

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––



EMSD US$ US$ US$ US$ US$ US$ US$

A USD Class 248,793 1.27 351,306 1.79 279,241 1.43 879,340–––––––––––– –––––––––––– –––––––––––– ––––––––––––

Total 248,793 351,306 279,241 879,340–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––



GCB US$ US$ US$ US$ US$ US$ US$

D USD Class 462,393 0.94 389,205 0.98 379,392 0.96 1,230,990–––––––––––– –––––––––––– –––––––––––– ––––––––––––

Total 462,393 389,205 379,392 1,230,990–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––




22. Seasonal or cyclical changes

The Company is not subject to seasonal or cyclical changes.

23. Total Expense Ratio and Performance Data

Total Expense Ratio (“TER”)

The average TER table shows the actual expenses incurred by the Fund, expressed as an annualised percentage of theaverage (“avg.”) Net Asset Value (“NAV”) of the Fund for the corresponding year.

Expense Expense

% of avg. % of avg.

NAV NAV

31 Dec 17 31 Dec 16

GSSB Fund

Class A GBP Distribution Shares 0.55% 0.55%Class B EUR Accumulating Shares 0.55% 0.55%Class B EUR Distribution Shares 0.55% 0.55%Class B GBP Accumulating Shares 0.55% 0.55%Class B USD Accumulating Shares 0.54% 0.55%Class B USD Distribution Shares 0.54% 0.55%Class C EUR Accumulating Shares 0.65% -Class C GBP Accumulating Shares 0.64% -Class C SEK Accumulating Shares 0.65% -Class C USD Accumulating Shares 0.64% -Class D EUR Accumulating Shares 0.75% 0.75%Class D EUR Distribution Shares 0.75% 0.75%Class D USD Accumulating Shares 0.74% 0.73%Class D USD Distribution Shares 0.74% 0.75%Class E EUR Distribution Shares 1.15% 1.15%Class E GBP Accumulating Shares 1.15% -Class E USD Distribution Shares 1.14% 1.14%Class F EUR Accumulating Shares 0.15% 0.15%Class F GBP Accumulating Shares 0.15% 0.15%Class S USD Distribution Shares 0.39% 0.39%

EHYB Fund

Class A EUR Accumulating Shares 0.37% 0.36%Class A GBP Distribution Shares 0.38% 0.42%Class A USD Accumulating Shares 0.38% 0.40%Class B EUR Accumulating Shares 0.52% -Class B GBP Accumulating Shares 0.53% -Class B GBP Distribution Shares 0.53% -Class C EUR Accumulating Shares 0.62% 0.60%Class D EUR Accumulating Shares 0.72% 0.70%Class D EUR Distribution Shares 0.72% 0.73%Class D USD Accumulating Shares 0.73% -Class E CHF Accumulating Shares 1.13% -Class E EUR Accumulating Shares 1.12% 1.16%Class E GBP Accumulating Shares 1.13% -Class E USD Accumulating Shares 1.13% -Class S EUR Accumulating Shares 0.37% 0.44%




23. Total Expense Ratio and Performance Data (continued)

Total Expense Ratio (“TER”) (continued)

Expense Expense

% of avg. % of avg.

NAV NAV

31 Dec 17 31 Dec 16

GHYB Fund

Class A EUR Accumulating Shares 0.36% 0.36%Class A USD Accumulating Shares 0.35% 0.35%Class B CHF Accumulating Shares 0.51% -Class B EUR Accumulating Shares 0.51% 0.51%Class B GBP Accumulating Shares 0.51% -Class B USD Accumulating Shares 0.50% 0.50%Class C AUD Accumulating Shares 0.61% -Class C CHF Accumulating Shares 0.61% -Class C EUR Accumulating Shares 0.61% 0.61%Class C USD Accumulating Shares 0.60% 0.60%Class D EUR Accumulating Shares 0.71% -Class D EUR Distribution Shares 0.71% -Class D GBP Accumulating Shares 0.71% 0.71%Class D USD Accumulating Shares 0.71% 0.70%Class D USD Distribution Shares 0.70% 0.38%Class E CHF Accumulating Shares 1.10% -Class E EUR Accumulating Shares 1.11% 1.11%Class E EUR Distribution Shares 1.11% -Class E GBP Accumulating Shares 1.10% -Class E USD Accumulating Shares 1.10% -Class F EUR Accumulating Shares 0.11% 0.12%Class F GBP Accumulating Shares 0.11% 0.12%Class F USD Accumulating Shares 0.11% 0.10%

EMCB Fund

Class A GBP Accumulating Shares 0.82% 0.88%Class A SEK Distribution Shares 0.82% 0.88%Class A USD Accumulating Shares 0.82% 0.87%Class A USD Distribution Shares 0.79% 0.87%Class B USD Accumulating Shares 0.86% 0.97%

EMLD Fund

Class A EUR Accumulating Shares 0.71% -Class A EUR Distribution Shares 0.71% -Class A GBP Accumulating Shares 0.71% 0.79%Class A GBP Distribution Shares 0.70% -Class A USD Accumulating Shares 0.70% 0.78%Class B EUR Accumulating Shares 0.81% -Class B USD Accumulating Shares 0.80% -Class C EUR Accumulating Shares 0.85% -Class C USD Accumulating Shares 0.85% -Class D EUR Accumulating Shares 0.91% -Class D USD Accumulating Shares 0.91% -Class E SEK Accumulating Shares 1.45% -

GCB Fund

Class A USD Accumulating Shares 0.28% 0.31%Class A USD Distribution Shares 0.28% 0.31%





Total Expense Ratio (“TER”) (continued)

Expense Expense

% of avg. % of avg.

NAV NAV

31 Dec 17 31 Dec 16

EMDSD Fund

Class A USD Accumulating Shares 0.64% 0.66%Class A USD Distribution Shares 0.64% 0.66%Class B CHF Accumulating Shares 0.75% -Class B EUR Accumulating Shares 0.75% -Class B SEK Accumulating Shares 0.75% 0.79%Class B USD Accumulating Shares 0.74% 0.77%Class E USD Accumulating Shares 1.03% 1.05%

ASD Fund

Class S EUR Accumulating Shares 0.27% 0.27%Class S USD Accumulating Shares 0.26% 0.26%

EMDBTR Fund

Class A GBP Accumulating Shares 0.84% 0.94%Class A NOK Accumulating Shares 0.76% -Class A USD Accumulating Shares 0.83% 0.93%Class A USD Distribution Shares 0.83% 0.93%Class C GBP Accumulating Shares 0.92% 1.17%Class C GBP Distribution Shares 0.96% 1.17%Class C USD Accumulating Shares 0.90% -

EMSD Fund

Class A USD Accumulating Shares 0.79% 0.68%Class A USD Distribution Shares 0.79% 0.80%

USHYB Fund

Class A EUR Accumulating Shares - 0.38%Class A GBP Accumulating Shares - 0.38%Class A GBP Distribution Shares 0.41% -Class A USD Accumulating Shares 0.37% 0.37%Class A USD Distribution Shares 0.37% -Class D USD Accumulating Shares 0.72% 0.71%Class E USD Accumulating Shares 1.12% -

USIGCB Fund

Class A GBP Unhedged Accumulating Shares 0.24% 0.30%Class A USD Accumulating Shares 0.25% -Class D GBP Accumulating - 0.30%

USHYBC Fund

Class X USD Accumulating Shares 0.13% -Class X USD Distribution Shares 0.13% -

USSDHYBC Fund

Class X USD Accumulating Shares 0.19% -Class X USD Distribution Shares 0.19% -





Performance Data

Below is the historical performance data for the year/period ended 31 December 2017:

Net Return % Net Return % Net Return %

31 Dec 17 31 Dec 16 31 Dec 15

GSSB Fund

Class A GBP Distribution Shares 7.71 9.64 5.60Class B USD Accumulating Shares 7.92 10.95 (0.77)Class B USD Distribution Shares 7.50 14.53 -Class B EUR Accumulating Shares 5.89 4.50 -Class B EUR Distribution Shares 5.96 8.96 0.35Class B GBP Accumulating Shares 6.65 10.31 -Class C USD Accumulating Shares 3.57 - -Class C EUR Accumulation Shares 0.34 - -Class C GBP Accumulation Shares 0.44 - -Class C SEK Accumulation Shares 0.31 - -Class D USD Distribution Shares 7.30 10.36 5.14Class D USD Accumulating Shares 7.71 10.73 3.65Class D EUR Distribution Shares 5.75 8.75 4.48Class D EUR Accumulating Shares 5.68 9.29 3.14Class E USD Distribution Shares 6.91 9.94 4.63Class E EUR Distribution Shares 5.28 8.33 3.99Class E GBP Accumulation Shares 2.62 - -Class F EUR Accumulating Shares 6.31 9.95 3.78Class F GBP Accumulating Shares 7.09 10.74 4.46Class E GBP Accumulation Shares 2.62 - -Class S USD Distribution Shares 7.66 10.71 5.57

EHYB Fund

Class A USD Accumulating Shares 8.12 11.01 (0.50)Class A EUR Accumulating Shares 6.10 7.64 -Class A GBP Distribution Shares 7.43 9.84 4.42Class B EUR Accumulating Shares 2.86 - -Class B GBP Accumulating Shares 3.36 - -Class B GBP Distribution Shares 5.39 - -Class C EUR Accumulating Shares 5.83 3.89 -Class D USD Accumulating Shares 6.40 - -Class D EUR Accumulating Shares 5.73 1.74 -Class D EUR Distribution Shares 5.47 3.67 -Class E USD Accumulating Shares 5.35 - -Class E EUR Accumulating Shares 5.30 8.75 0.57Class E GBP Accumulating Shares 5.17 - -Class E CHF Accumulating Shares 2.94 - -Class S EUR Accumulating Shares 6.11 9.55 7.36





Performance Data (continued)


31 Dec 17 31 Dec 16 31 Dec 15

GHYB Fund

Class A USD Accumulating Shares 7.98 14.09 (0.83)Class A EUR Accumulating Shares 5.95 10.34 -Class B USD Accumulating Shares 7.81 5.70 -Class B EUR Accumulating Shares 5.79 15.54 -Class B GBP Accumulation Shares (0.15) - -Class B CHF Accumulation Shares (0.40) - -Class C USD Accumulating Shares 7.72 14.55 -Class C EUR Accumulating Shares 5.62 7.93 -Class C AUD Accumulating Shares 2.81 - -Class C CHF Accumulating Shares 1.10 - -Class D USD Accumulating Shares 7.62 7.81 -Class D USD Distribution Shares 0.48 13.53 6.15Class D EUR Accumulating Shares 3.64 - -Class D EUR Distribution Shares 0.73 - -Class D GBP Accumulating Shares 6.33 2.33 -Class E USD Accumulating Shares 6.90 - -Class E EUR Accumulating Shares 5.16 14.42 -Class E EUR Distribution Shares 1.49 - -Class E GBP Accumulation Shares (0.17) - -Class E CHF Accumulation Shares (0.35) - -Class F USD Accumulating Shares 8.25 14.37 4.98Class F EUR Accumulating Shares 6.22 12.92 4.50Class F GBP Accumulating Shares 6.99 13.68 5.17

EMCB Fund

Class A USD Accumulating Shares 8.91 9.00 (1.21)Class A USD Distribution Shares 8.94 8.34 (0.32)Class A GBP Accumulating Shares 7.62 8.52 (2.07)Class A SEK Distribution Shares 4.27 6.58 (0.60)Class B USD Accumulating Shares 8.82 (0.91) -

EMLD Fund

Class A USD Accumulating Shares 18.56 10.60 (12.72)Class A EUR Accumulating Shares 9.59 - -Class A EUR Distribution Shares 7.83 - -Class A GBP Accumulating Shares 16.92 9.33 (3.26)Class A GBP Distribution Shares 1.96 - -Class B USD Accumulation Shares 0.41 - -Class B EUR Accumulation Shares 3.91 - -Class C USD Accumulating Shares (0.93) - -Class C EUR Accumulation Shares 3.10 - -Class D USD Accumulation Shares 3.67 - -Class D EUR Accumulation Shares 3.10 - -Class E USD Accumulating Shares - - (14.57)Class E EUR Accumulating Shares - - (14.92)Class E SEK Accumulating Shares 4.08 - -

GCB Fund

Class A USD Accumulation 5.72 - -Class A USD Distribution 5.48 - -Class D USD Accumulating Shares - 7.55 (0.46)Class D USD Distribution Shares - 8.53 0.04





Performance Data (continued)


31 Dec 17 31 Dec 16 31 Dec 15

EMDSD Fund

Class A USD Accumulating Shares 5.17 7.40 1.69Class A USD Distribution Shares 4.89 - -Class B USD Accumulating Shares 5.07 1.16 -Class B EUR Accumulating Shares 1.92 - -Class B CHF Accumulating Shares 1.50 - -Class B SEK Accumulating Shares 2.90 (0.29) -Class D USD Distribution Shares - 8.68 0.10Class E USD Accumulating Shares 4.74 5.51 -

ASD Fund

Class S USD Accumulating Shares 2.68 3.14 1.32Class S USD Distribution Shares - - 1.34Class S EUR Accumulating Shares 0.71 1.45 -

EMDBTR Fund

Class A USD Accumulating Shares 15.80 7.89 (1.79)Class A USD Distribution Shares 15.60 9.08 0.23Class A GBP Accumulating Shares 14.38 3.91 -Class A NOK Accumulating Shares 1.19 - -Class C USD Accumulating Shares (0.37) - -Class C GBP Accumulating Shares 14.21 (4.92) -Class C GBP Distribution Shares 15.31 (4.01) -

EMSD Fund

Class A USD Accumulating Shares 15.34 11.39 0.41Class A USD Distribution Shares 14.96 12.79 0.10

USHYB Fund

Class A USD Accumulating Shares 7.70 17.82 -Class A USD Distribution Shares 6.96 - -Class A EUR Accumulating Shares - 6.53 -Class A GBP Accumulating Shares - 6.42 -Class A GBP Distribution Shares 1.61 - -Class D USD Accumulating Shares 7.33 1.90 -Class E USD Accumulating Shares 0.44 - -

USIGCB Fund

Class A USD Accumulation Shares 6.26 - -Class A GBP Unhedged Accumulation Shares (4.70) - -Class D USD Accumulating Shares - (2.72) -Class D GBP Unhedged Accumulating Shares - 4.85 -

USHYBC Fund

Class X USD Accumulating Shares 6.58 - -Class X USD Distribution Shares 8.13 - -

USSDHYBC Fund

Class X USD Accumulating Shares 3.80 - -Class X USD Distribution Shares 5.12 - -





24. Taxation

Under current Irish law and practice, the Company qualifies as an investment undertaking as defined in Section 739B of theTaxes Consolidation Act, 1997 as amended. On that basis, it is not chargeable to Irish tax on its income and gains.

However, Irish tax may arise on the happening of a “chargeable event”. A chargeable event includes any distribution paymentsto shareholders or any encashment, redemption, cancellation or transfer of shares and the holding of shares at the end of eacheight year period beginning with the acquisition of such shares. No Irish tax will arise on the Company in respect of chargeableevents in respect of:

(i) a shareholder who is not an Irish resident and not ordinarily resident in Ireland for tax purposes at the time of thechargeable event, provided appropriate valid declarations in accordance with the provisions of the Taxes ConsolidationAct, 1997 as amended, are held by the Company or the Company has been authorised by the Irish Revenue to makegross payments in the absence of appropriate declarations; and

(ii) certain exempted Irish tax resident investors who have provided the Company with the necessary signed statutorydeclarations.

Dividend income, interest and capital gains (if any) received on investments made by the Company may be subject towithholding and capital gains taxes imposed by the country from which the investment income/gains are received and suchtaxes may not be recoverable by the Company or its shareholders.

25. Material changes to the Prospectus

There were no material changes to the Prospectus during the year.

26. Significant events during the financial year

The following Sub-Funds launched during the financial year:

Launch date

Barings U.S. High Yield Bond Component Fund 18 January 2017Barings U.S. Short Duration High Yield Bond Component Fund 15 February 2017

Mr. Peter Clark resigned as a Director with effect from 14 June 2017 and was reappointed with effect from 29 September 2017.

Mr. Julian Swayne appointed as a Director with effect from 14 June 2017.

Mr. David Conway appointed as a Director with effect from 14 June 2017.

Mr. Oliver Burgel resigned as a Director with effect from 24 October 2017.

The following Sub-Funds launched additional share classes during the financial year:

Barings Global Senior Secured Bond Fund Launch date

Class C EUR Accumulating Shares 20 November 2017Class C GBP Accumulating Shares 20 November 2017 (re-launch date)Class C USD Accumulating Shares 27 April 2017Class C SEK Accumulating Shares 20 November 2017Class E GBP Accumulating Shares 24 April 2017 (re-launch date)Barings Global High Yield Bond Fund

Class B CHF Accumulating Shares 29 November 2017Class B GBP Accumulating Shares 29 November 2017Class C AUD Accumulating Shares 31 May 2017Class C CHF Accumulating Shares 12 June 2017Class D EUR Accumulating Shares 16 February 2017Class D EUR Distribution Shares 13 October 2017Class D USD Distribution Shares 26 January 2017 (re-launch date)Class E EUR Accumulating Shares 29 November 2017Class E EUR Distribution Shares 15 August 2017Class E GBP Accumulating Shares 29 November 2017Class E USD Accumulating Shares 03 January 2017




26. Significant events during the financial year (continued)

The following Sub-Funds launched additional share classes during the financial year: (continued)


Class B EUR Accumulating Shares 03 May 2017Class B GBP Accumulating Shares 03 May 2017Class B GBP Distribution Shares 03 May 2017Class C GBP Distribution Shares 01 February 2017Class C USD Accumulating Shares 09 January 2017Class D USD Accumulating Shares 08 February 2017Class E CHF Accumulating Shares 24 February 2017Class E GBP Accumulating Shares 30 January 2017Class E USD Accumulating Shares 20 February 2017Barings Emerging Markets Local Debt Fund

Class A EUR Accumulating Shares 27 February 2017Class A GBP Distribution Shares 19 December 2017Class A EUR Distribution Shares 21 April 2017Class B EUR Accumulating Shares 08 November 2017Class B USD Accumulating Shares 29 September 2017Class C EUR Accumulating Shares 21 November 2017Class C USD Accumulating Shares 14 September 2017Class D EUR Accumulating Shares 21 November 2017 Class D USD Accumulating Shares 21 November 2017 Class E SEK Accumulating Shares 15 May 2017Barings Emerging Markets Debt Short Duration Fund

Class B CHF Accumulating Shares 22 March 2017Class B EUR Accumulating Shares 22 March 2017Barings Emerging Markets Debt Blended Total Return Fund

Class A NOK Accumulating Shares 25 October 2017Class C USD Accumulating Shares 15 September 2017Barings U.S High Yield Bond Fund

Class A GBP Distribution Shares 22 December 2017Class A USD Distribution Shares 09 March 2017Class E USD Accumulating Shares 26 July 2017Barings U.S. High Yield Bond Component Fund

Class X USD Accumulating Shares 18 January 2017Class X USD Distribution Shares 18 January 2017Barings U.S. Short Duration High Yield Bond Component Fund

Class X USD Accumulating Shares 15 February 2017Class X USD Distribution Shares 15 February 2017

The following Sub-Funds closed share classes during the financial year:Termination date


Class C USD Accumulating Shares 31 October 2017

Effective from 10 July 2017 and up until 6 December 2017, Northern Trust International Fund Administration Services (Ireland)Limited acted as Company Secretary, prior to this date State Street Fund Services (Ireland) Limited acted as Company Secretary.

Effective from 7 December 2017, Matsack Trust Limited were appointed as Company Secretary.

Effective 10 July 2017 Baring International Fund Managers (Ireland) Limited was appointed by the Company to act as managerpursuant to the Management Agreement.

A revised Prospectus and supplements to the Prospectus were issued on 10 July 2017.

As detailed in the Directors and Other Information section on page 2, the Registered Office address of the Company changedduring the financial year.




26. Significant events during the financial year (continued)

The Board of Directors of Barings Umbrella Fund plc transferred the listing of the Company from the Main Securities Market ofthe Irish Stock Exchange (“MSM”) to the Global Exchange Market (“GEM”). GEM is an exchange regulated market which meetsthe criteria of a Multilateral Trading Facility as defined under the Directive on Markets in Financial Instruments 2004/39/EC(MIFID) and authorised by the Central Bank of Ireland. It is not a ‘regulated market’ as defined under MIFID. The transfer waseffective from 31 August 2017.

There have been no other significant events during the financial year.

27. Subsequent events

The following distributions were declared by the funds in January 2018:

EHYB Value Per Share

€ €

A GBP Class 43,842 1.83B GBP Class 213,612 1.66D EUR Class 73,266 1.22

––––––––––––Total 330,720

––––––––––––

GSSB Value Per Share

US$ US$

A GBP Class 549,741 1.47B EUR Class 22,587 0.99B USD Class 5,663 1.49D EUR Class 28,629 0.89D USD Class 33,382 1.34E EUR Class 1,165 0.78E USD Class 16,692 1.19S USD Class 996,107 1.48

––––––––––––Total 1,653,966

––––––––––––

EMCB Value Per Share

US$ US$

A SEK Class 5,924 0.06A USD Class 7,015 1.17

––––––––––––Total 12,939

––––––––––––

GHYB Value Per Share

US$ US$

D EUR Class 10,412 1.04D USD Class 153,176 1.46E EUR Class 30,112 0.33

––––––––––––Total 193,700

––––––––––––

EMDSD Value Per Share

US$ US$

A USD Class 240,872 1.23––––––––––––

Total 240,872––––––––––––




27. Subsequent events (continued)

The following distributions were declared by the funds in January 2018: (continued)

EMDBTR Value Per Share

US$ US$

A USD Class 902,049 1.45C GBP Class 1,997 1.26

––––––––––––Total 904,046

––––––––––––

EMSD Value Per Share

US$ US$

A USD Class 301,336 1.54––––––––––––

Total 301,336––––––––––––

GCB Value Per Share

US$ US$

A USD Class 213,500 0.88––––––––––––

Total 213,500––––––––––––

EMLD Value Per Share

US$ US$

A EUR Class 25,958 0.99A GBP Class 11 1.40

––––––––––––Total 25,969

––––––––––––

USHYB Value Per Share

US$ US$

A GBP Class 167 1.67A USD Class 15,206 1.58

––––––––––––Total 15,373

––––––––––––

USHYBC Value Per Share

US$ US$

X USD Class 105,768 1.58––––––––––––

Total 105,768––––––––––––

USSDHYBC Value Per Share

US$ US$

X USD Class 42,876 1.37––––––––––––

Total 42,876––––––––––––

28. Charges

The Principal Brokers hold a number of charges granting first priority security interest in relation to collateral and principal brokersecurities relating to the Sub-Funds account.

29. Approval of the financial statements

The Board of Directors approved these financial statements on 28 March 2018




Barings Umbrella Fund PlcBarings Global Senior Secured Bond Fund

Schedule of Investments (Unaudited)as at 31 December 2017

Coupon Maturity Fair Value % of Net

Nominal Security Rate Date US$ Assets

Transferable Securities (Corporate Bonds) - 93.82% (31 Dec 2016: 94.10%)

Belgium - 1.69% (31 Dec 2016: 1.72%)

3,000,000 Telenet Finance Luxembourg Notes Sarl 5.500% 01/03/2028 3,010,635 1.25800,000 Telenet Finance VI Luxembourg SCA 4.875% 15/07/2027 1,045,855 0.44

–––––––––––– ––––––––4,056,490 1.69

–––––––––––– ––––––––Canada - 1.60% (31 Dec 2016: 1.24%)

2,750,000 1011778 BC ULC/New Red Finance Inc 5.000% 15/10/2025 2,784,375 1.161,019,000 Northwest Acquisitions ULC/Dominion

Finco Inc 7.125% 01/11/2022 1,054,665 0.44–––––––––––– ––––––––

3,839,040 1.60–––––––––––– ––––––––

Chile - Nil (31 Dec 2016: 0.27%)

Czech Republic - 0.59% (31 Dec 2016: Nil)

1,150,000 RESIDOMO Sro 3.375% 15/10/2024 1,411,535 0.59–––––––––––– ––––––––

Denmark - 1.76% (31 Dec 2016: 0.79%)

2,100,000 Norican A/S 4.500% 15/05/2023 2,447,268 1.021,750,000 Welltec A/S 9.500% 01/12/2022 1,767,500 0.74

–––––––––––– ––––––––4,214,768 1.76

–––––––––––– ––––––––Finland - Nil (31 Dec 2016: 0.90%)

France - 3.21% (31 Dec 2016: 3.88%)

1,400,000 3AB Optique Developpement SAS 4.000% 01/10/2023 1,699,120 0.711,250,000 Loxam SAS 4.250% 15/04/2024 1,605,173 0.671,000,000 Novafives SAS 4.500% 30/06/2021 1,231,225 0.511,429,000 SFR Group SA 6.000% 15/05/2022 1,448,649 0.60

450,000 Verallia Packaging SASU 5.125% 01/08/2022 566,254 0.24750,000 WFS Global Holding SAS 9.500% 15/07/2022 963,451 0.40150,000 WFS Global Holding SAS 9.500% 15/07/2022 192,690 0.08

–––––––––––– ––––––––7,706,562 3.21

–––––––––––– ––––––––Germany - 4.32% (31 Dec 2016: 4.88%)

500,000 CBR Fashion Finance BV 5.125% 01/10/2022 574,758 0.24950,000 Galapagos SA 5.375% 15/06/2021 1,129,149 0.47

2,450,000 Monitchem HoldCo 3 SA 5.250% 15/06/2021 2,976,376 1.24700,000 Nidda Healthcare Holding GmbH 3.500% 30/09/2024 849,255 0.36200,000 Takko Luxembourg 2 SCA 5.375% 15/11/2023 234,748 0.10700,000 Takko Luxembourg 2 SCA 5.375% 15/11/2023 824,407 0.34825,000 Unitymedia Hessen GmbH & Co KG/

Unitymedia NRW GmbH 4.000% 15/01/2025 1,048,694 0.441,550,000 Unitymedia Hessen GmbH & Co KG/

Unitymedia NRW GmbH 6.250% 15/01/2029 2,096,849 0.87500,000 WEPA Hygieneprodukte GmbH 3.750% 15/05/2024 620,195 0.26

–––––––––––– ––––––––10,354,431 4.32

–––––––––––– ––––––––Ghana - 1.90% (31 Dec 2016: Nil)

1,824,000 Kosmos Energy Ltd 7.875% 01/08/2021 1,874,160 0.782,615,000 Kosmos Energy Ltd 7.875% 01/08/2021 2,686,912 1.12

–––––––––––– ––––––––4,561,072 1.90

–––––––––––– ––––––––



Schedule of Investments (Unaudited)as at 31 December 2017 (continued)



Transferable Securities (Corporate Bonds) - 93.82% (31 Dec 2016: 94.10%) (continued)

Ireland - 1.26% (31 Dec 2016: 1.41%)

470,000 Ardagh Packaging Finance Plc/Ardagh Holdings USA Inc 4.250% 15/09/2022 479,400 0.20

1,900,000 Viridian Group FinanceCo Plc/Viridian Power and Energy 4.750% 15/09/2024 2,546,868 1.06

–––––––––––– ––––––––3,026,268 1.26

–––––––––––– ––––––––Italy - 0.54% (31 Dec 2016: 2.10%)

1,100,000 Wind Tre SpA 3.125% 20/01/2025 1,287,709 0.54–––––––––––– ––––––––

Mexico - 0.59% (31 Dec 2016: 1.14%)

300,000 Cemex SAB de CV 4.375% 05/03/2023 380,652 0.16475,000 Cemex SAB de CV 6.125% 05/05/2025 508,013 0.21454,000 Cemex SAB de CV 7.750% 16/04/2026 515,290 0.22

–––––––––––– ––––––––1,403,955 0.59

–––––––––––– ––––––––Netherlands - 1.99% (31 Dec 2016: 1.02%)

1,900,000 Maxeda DIY Holding BV 6.125% 15/07/2022 2,302,260 0.962,000,000 Ziggo Secured Finance BV 3.750% 15/01/2025 2,483,412 1.03

–––––––––––– ––––––––4,785,672 1.99

–––––––––––– ––––––––Norway - Nil (31 Dec 2016: 0.35%)

Poland - Nil (31 Dec 2016: 0.41%)

Portugal - 0.67% (31 Dec 2016: 0.75%)

348,000 Altice Financing SA 6.625% 15/02/2023 365,261 0.151,172,000 Altice Financing SA 7.500% 15/05/2026 1,251,110 0.52

–––––––––––– ––––––––1,616,371 0.67

–––––––––––– ––––––––Spain - 1.46% (31 Dec 2016: 0.62%)

1,600,000 Arena Luxembourg Finance Sarl 2.875% 01/11/2024 1,976,956 0.821,200,000 NH Hotel Group SA 3.750% 01/10/2023 1,524,697 0.64

–––––––––––– ––––––––3,501,653 1.46

–––––––––––– ––––––––Sweden - 0.26% (31 Dec 2016: 0.69%)

495,000 Verisure Holding AB 6.000% 01/11/2022 633,778 0.26–––––––––––– ––––––––

Switzerland - 2.42% (31 Dec 2016: 2.79%)

3,000,000 Swissport Financing Sarl 6.750% 15/12/2021 3,763,889 1.571,600,000 UPCB Finance IV Ltd 4.000% 15/01/2027 2,040,752 0.85

–––––––––––– ––––––––5,804,641 2.42

–––––––––––– ––––––––United Arab Emirates – Nil (31 Dec 2016: 1.12%)

United Kingdom - 27.78% (31 Dec 2016: 26.00%)

2,100,000 AA Bond Co Ltd 5.500% 31/07/2043 2,876,400 1.20800,000 Anglian Water Osprey Financing Plc 5.000% 30/04/2023 1,164,890 0.49

2,550,000 Anglian Water Osprey Financing Plc 4.000% 08/03/2026 3,430,952 1.431,550,000 Arrow Global Finance Plc 5.125% 15/09/2024 2,125,956 0.89







United Kingdom - 27.78% (31 Dec 2016: 26.00%) (continued)

450,000 B&M European Value Retail SA 4.125% 01/02/2022 627,432 0.26675,000 Cabot Financial Luxembourg SA 7.500% 01/10/2023 957,525 0.40

2,900,000 Cognita Financing Plc 7.750% 15/08/2021 4,067,748 1.701,800,000 CPUK Finance Ltd 4.875% 28/08/2025 2,481,609 1.031,000,000 Entertainment One Ltd 6.875% 15/12/2022 1,457,488 0.613,200,000 Galaxy Bidco Ltd 6.375% 15/11/2020 4,390,690 1.833,050,000 Garfunkelux Holdco 3 SA 8.500% 01/11/2022 4,323,858 1.801,000,000 Heathrow Finance Plc 3.875% 01/03/2027 1,347,316 0.56

400,000 House of Fraser Funding Plc 6.270% 15/09/2020 475,962 0.202,774,400 HSS Financing Plc 6.750% 01/08/2019 3,464,919 1.442,100,000 IDH Finance Plc 6.250% 15/08/2022 2,610,394 1.09

900,000 INEOS Group Holdings SA 5.375% 01/08/2024 1,155,751 0.482,350,000 Jerrold Finco Plc 6.125% 15/01/2024 3,251,030 1.351,750,000 KCA Deutag UK Finance Plc 7.250% 15/05/2021 1,706,250 0.71

800,000 KCA Deutag UK Finance Plc 9.875% 01/04/2022 852,000 0.35266,160 Keystone Financing Plc 9.500% 15/10/2019 371,933 0.15650,000 Miller Homes Group Holdings Plc 5.500% 15/10/2024 891,311 0.37750,000 Moto Finance Plc 4.500% 01/10/2022 1,026,537 0.43

2,350,000 Ocado Group Plc 4.000% 15/06/2024 3,169,897 1.322,200,000 Perform Group Financing Plc 8.500% 15/11/2020 3,074,293 1.28

750,000 Pinewood Finco Plc 3.750% 01/12/2023 1,023,929 0.431,500,000 Premier Foods Finance Plc 6.500% 15/03/2021 2,072,313 0.861,600,000 RAC Bond Co Plc 5.000% 06/11/2022 2,153,797 0.902,600,000 Travelex Financing Plc 8.000% 15/05/2022 3,187,616 1.331,980,000 TVL Finance Plc 8.500% 15/05/2023 2,923,947 1.22

36,000 Virgin Media Secured Finance Plc 5.500% 15/01/2025 50,621 0.021,500,000 Virgin Media Secured Finance Plc 4.875% 15/01/2027 2,068,149 0.86

500,000 Virgin Media Secured Finance Plc 6.250% 28/03/2029 726,320 0.30850,000 Voyage Care BondCo Plc 5.875% 01/05/2023 1,165,882 0.49

–––––––––––– ––––––––66,674,715 27.78

–––––––––––– ––––––––United States - 41.78% (31 Dec 2016: 42.02%)

1,149,000 Altice US Finance I Corp 5.375% 15/07/2023 1,177,725 0.492,000,000 Appvion Inc 9.000% 01/06/2020 310,000 0.131,874,000 APTIM Corp 7.750% 15/06/2025 1,799,040 0.752,545,000 Ashtead Capital Inc 4.125% 15/08/2025 2,573,631 1.072,500,000 Avantor Inc 4.750% 01/10/2024 3,016,376 1.261,617,000 BMC East LLC 5.500% 01/10/2024 1,677,638 0.70

638,000 Builders FirstSource Inc 5.625% 01/09/2024 666,359 0.283,624,000 C&S Group Enterprises LLC 5.375% 15/07/2022 3,433,740 1.431,851,000 Calpine Corp 5.250% 01/06/2026 1,820,940 0.761,442,000 Carlson Travel Inc 6.750% 15/12/2023 1,308,615 0.554,021,000 Carrols Restaurant Group Inc 8.000% 01/05/2022 4,252,207 1.771,200,000 Charter Communications Operating LLC/

Charter Communications Operating Capital 4.908% 23/07/2025 1,277,784 0.532,000,000 Charter Communications Operating LLC/

Charter Communications Operating Capital 6.384% 23/10/2035 2,341,668 0.981,000,000 Charter Communications Operating LLC/

Charter Communications Operating Capital 5.375% 01/05/2047 1,029,141 0.43690,000 Chesapeake Energy Corp 8.000% 15/12/2022 746,925 0.31

2,404,000 CHS/Community Health Systems Inc 6.250% 31/03/2023 2,175,620 0.912,744,000 Citgo Holding Inc 10.750% 15/02/2020 2,956,660 1.231,025,000 CITGO Petroleum Corp 6.250% 15/08/2022 1,037,813 0.432,000,000 CVR Partners LP/CVR Nitrogen Finance Corp 9.250% 15/06/2023 2,160,000 0.90





United States - 41.78% (31 Dec 2016: 42.02%) (continued)

2,155,000 Deck Chassis Acquisition Inc 10.000% 15/06/2023 2,408,212 1.002,169,000 Energy Transfer Equity LP 5.875% 15/01/2024 2,288,295 0.95

250,000 Energy Transfer Equity LP 5.500% 01/06/2027 255,625 0.111,867,000 EP Energy LLC/Everest Acquisition Finance Inc 8.000% 29/11/2024 1,937,012 0.812,227,000 EP Energy LLC/Everest Acquisition Finance Inc 8.000% 15/02/2025 1,636,845 0.684,000,000 First Data Corp 5.375% 15/08/2023 4,173,600 1.741,616,000 FXI Holdings Inc 7.875% 01/11/2024 1,616,485 0.67

542,000 HCA Inc 5.250% 15/06/2026 575,875 0.241,010,000 HCA Inc 6.500% 15/02/2020 1,073,125 0.452,500,000 HCA Inc 5.875% 15/03/2022 2,681,250 1.121,197,000 HCA Inc 5.250% 15/04/2025 1,268,820 0.532,695,000 Hertz Corp 7.625% 01/06/2022 2,829,750 1.18

513,000 HRG Group Inc 7.875% 15/07/2019 514,154 0.212,268,000 Hughes Satellite Systems Corp 5.250% 01/08/2026 2,321,865 0.973,052,000 International Automotive Components

Group SA 9.125% 01/06/2018 3,023,387 1.262,374,000 KeHE Distributors LLC/KeHE Finance Corp 7.625% 15/08/2021 2,385,870 0.99

450,000 Kronos International 3.750% 15/09/2025 558,967 0.23202,000 Peabody Energy Corp 6.000% 31/03/2022 210,333 0.09

1,658,000 Peabody Energy Corp 6.375% 31/03/2025 1,730,538 0.722,784,248 Pinnacle Operating Corp 9.000% 15/05/2023 2,617,193 1.092,958,000 Prime Security Services Borrower LLC/

Prime Finance Inc 9.250% 15/05/2023 3,290,775 1.371,973,000 RegionalCare Hospital Partners Holdings Inc 8.250% 01/05/2023 2,091,380 0.87

648,135 Reynolds Group Issuer Inc/Reynolds Group Issuer LLC/Reynolds Group Issuer Lu 6.875% 15/02/2021 657,858 0.27

2,839,000 Reynolds Group Issuer Inc/Reynolds GroupIssuer LLC/Reynolds Group Issuer Lu 5.125% 15/07/2023 2,941,914 1.23

1,538,000 Simmons Foods Inc 5.750% 01/11/2024 1,530,310 0.64975,000 Tenet Healthcare Corp 6.000% 01/10/2020 1,034,524 0.43

1,476,000 Tenet Healthcare Corp 4.625% 15/07/2024 1,444,635 0.602,000,000 United Rentals North America Inc 4.625% 15/07/2023 2,075,240 0.87

896,000 Univision Communications Inc 5.125% 15/05/2023 896,000 0.3759,000 Univision Communications Inc 5.125% 15/02/2025 57,599 0.02

1,306,000 Valeant Pharmaceuticals International Inc 6.500% 15/03/2022 1,374,565 0.572,744,000 Valeant Pharmaceuticals International Inc 7.000% 15/03/2024 2,942,940 1.23

410,000 Veritas US Inc/Veritas Bermuda Ltd 7.500% 01/02/2023 430,500 0.182,050,000 Veritas US Inc/Veritas Bermuda Ltd 7.500% 01/02/2023 2,588,825 1.081,740,000 VFH Parent LLC/Orchestra Co-Issuer Inc 6.750% 15/06/2022 1,835,700 0.77

410,000 WMG Acquisition Corp 5.000% 01/08/2023 425,888 0.18700,000 WMG Acquisition Corp 4.125% 01/11/2024 888,600 0.37

1,850,000 Xerium Technologies Inc 9.500% 15/08/2021 1,877,750 0.78–––––––––––– ––––––––100,254,086 41.78

–––––––––––– ––––––––Total Transferable Securities (Corporate Bonds) 225,132,746 93.82

–––––––––––– ––––––––




Holding Security

Transferable Securities (Preferred Stock) - 0.72% (31 Dec 2016: Nil)

Fair Value % of Net

US$ Assets

United States - 0.72% (31 Dec 2016: Nil)

1,911,020 Pinnacle Agriculture Holdings LLC 1,739,029 0.72–––––––––––– ––––––––

Total Transferable Securities (Preferred Stock) 1,739,029 0.72

–––––––––––– ––––––––

Number of Fair Value % of Net

Shares US$ Assets

Investment Funds- 1.46% (31 Dec 2016: 0.74%)

Ireland - 1.46% (31 Dec 2016: 0.74%)

3,501,340 Institutional Cash Series Plc - Institutional US Dollar Liquidity Fund 3,501,340 1.46–––––––––––– ––––––––

Total Investment Funds 3,501,340 1.46

–––––––––––– ––––––––

Financial Derivative Instruments* - 0.21% (31 Dec 2016: (0.41)%)

Open Forward Foreign Currency Exchange Contracts - 0.21% (31 Dec 2016: (0.41)%)

Unrealised

Settlement Sub-Fund Amount Amount Gain/(Loss) % of Net

Date Counterparty Bought Sold US$ Assets

02/01/2018 State Street Bank € 5,215 US$ 6,183 74 0.0012/01/2018 State Street Bank € 3,195,956 US$ 3,778,611 58,090 0.0212/01/2018 State Street Bank € 166,486 US$ 196,838 3,026 0.0012/01/2018 State Street Bank € 7,948,337 US$ 9,397,398 144,469 0.0612/01/2018 State Street Bank € 2,229,466 US$ 2,635,920 40,523 0.0212/01/2018 State Street Bank € 7,201,084 US$ 8,513,914 130,887 0.0512/01/2018 State Street Bank € 182,850 US$ 216,186 3,324 0.0012/01/2018 State Street Bank € 13,329,138 US$ 15,759,174 242,270 0.1112/01/2018 National Australia Bank € 7,123,577 US$ 8,422,476 129,279 0.0512/01/2018 National Australia Bank € 8,929,573 US$ 10,557,773 162,054 0.0712/01/2018 State Street Bank € 32,844 US$ 38,786 643 0.0012/01/2018 State Street Bank € 207,263 US$ 244,760 4,056 0.0012/01/2018 State Street Bank € 37,520 US$ 44,308 734 0.0012/01/2018 State Street Bank € 53,877 US$ 63,624 1,054 0.0012/01/2018 State Street Bank € 121,099 US$ 143,007 2,370 0.0012/01/2018 State Street Bank € 3,087 US$ 3,645 60 0.0012/01/2018 State Street Bank € 2,802 US$ 3,309 55 0.0012/01/2018 National Australia Bank € 150,039 US$ 177,179 2,941 0.0012/01/2018 National Australia Bank € 119,694 US$ 141,345 2,346 0.0012/01/2018 State Street Bank € 3,313,758 US$ 3,908,541 69,579 0.0312/01/2018 State Street Bank € 300,450 US$ 356,692 3,994 0.0012/01/2018 State Street Bank € 127,800 US$ 152,108 1,315 0.0012/01/2018 State Street Bank € 80,567 US$ 96,716 4 0.0002/01/2018 State Street Bank £ 44,856 US$ 59,953 610 0.0012/01/2018 State Street Bank £ 439,132 US$ 590,224 2,836 0.0012/01/2018 State Street Bank £ 363,461 US$ 488,517 2,348 0.0012/01/2018 State Street Bank £ 13,782,016 US$ 18,523,995 89,021 0.0412/01/2018 State Street Bank £ 125,479 US$ 168,653 811 0.0012/01/2018 State Street Bank £ 367,991 US$ 494,605 2,377 0.0012/01/2018 National Australia Bank £ 25,231,260 US$ 33,912,201 163,351 0.0812/01/2018 State Street Bank £ 7,334 US$ 9,900 4 0.0012/01/2018 State Street Bank £ 240,892 US$ 325,189 143 0.0012/01/2018 State Street Bank £ 7,432 US$ 10,033 4 0.0012/01/2018 State Street Bank £ 2,533 US$ 3,420 2 0.0012/01/2018 State Street Bank £ 5,935 US$ 8,012 4 0.00




Financial Derivative Instruments* - 0.21% (31 Dec 2016: (0.41)%) (continued)

Open Forward Foreign Currency Exchange Contracts - 0.21% (31 Dec 2016: (0.41)%) (continued)

Unrealised



12/01/2018 National Australia Bank £ 513,316 US$ 692,939 310 0.0012/01/2018 State Street Bank £ 255,368 US$ 341,299 3,583 0.0012/01/2018 State Street Bank £ 6,200 US$ 8,316 57 0.0012/01/2018 State Street Bank £ 221,719 US$ 297,401 2,037 0.0012/01/2018 State Street Bank SEK 41,248,136 US$ 4,885,773 145,246 0.0612/01/2018 State Street Bank SEK 36,842 US$ 4,354 140 0.0012/01/2018 State Street Bank SEK 200,560 US$ 23,886 576 0.0012/01/2018 State Street Bank SEK 1,090,562 US$ 128,627 4,389 0.0012/01/2018 State Street Bank SEK 1,498,094 US$ 178,747 3,975 0.0012/01/2018 State Street Bank SEK 19,846 US$ 2,375 46 0.0012/01/2018 State Street Bank SEK 228,439 US$ 27,911 (49) 0.0012/01/2018 State Street Bank US$ 30,644,152 € 25,960,820 (521,451) (0.23)12/01/2018 National Australia Bank US$ 21,239,273 € 17,991,303 (359,035) (0.15)12/01/2018 State Street Bank US$ 630,044 € 533,750 (10,716) 0.0012/01/2018 State Street Bank US$ 38,180 € 32,306 (603) 0.0012/01/2018 State Street Bank US$ 6,189 € 5,215 (71) 0.0012/01/2018 State Street Bank US$ 23,975,111 £ 17,760,131 (10,464) 0.0012/01/2018 National Australia Bank US$ 40,306,906 £ 29,853,275 (10,813) 0.0012/01/2018 State Street Bank US$ 1,005,833 £ 750,000 (7,064) 0.0012/01/2018 State Street Bank US$ 76,715 £ 57,400 (805) 0.0012/01/2018 State Street Bank US$ 60,007 £ 44,856 (573) 0.0012/01/2018 State Street Bank US$ 7,524 SEK 63,791 (257) 0.0012/01/2018 State Street Bank US$ 142,528 SEK 1,197,170 (3,490) 0.00

–––––––––––– ––––––––Unrealised gain on open forward foreign currency exchange contracts 1,425,017 0.59Unrealised loss on open forward foreign currency exchange contracts (925,391) (0.38)

–––––––––––– ––––––––Net unrealised gain on open forward foreign currency exchange contracts 499,626 0.21

–––––––––––– ––––––––Total Financial Derivative Instruments* 499,626 0.21

–––––––––––– ––––––––

Fair Value % of Net

US$ Assets

Total Investments 230,872,741 96.21Cash at bank 5,809,335 2.42Other net assets 3,286,185 1.37

–––––––––––– ––––––––Total net assets at mid market prices 239,968,261 100.00

–––––––––––– –––––––––––––––––––– ––––––––

Classification

*All financial derivative instruments are traded over the counter (“OTC”).The counterparties for the open forward foreign currency exchange contracts are National Australia Bank and State StreetBank.

Analysis of Total Assets % of Total Assets

Transferable securities admitted to an official stock exchange listing 60.99Transferable securities dealt in on another regulated market 32.40Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) 0.72Investment Funds 1.45OTC financial derivative instruments 0.59Other current assets 3.85

––––––––Total Assets 100.00

––––––––––––––––




Barings Umbrella Fund PlcBarings European High Yield Bond Fund



Nominal Security Rate Date € Assets


Belgium - 1.15% (31 Dec 2016: 2.11%)

2,268,000 LSF9 Balta Issuer SARL 7.750% 15/09/2022 2,445,290 0.681,550,000 Telenet Finance VI Luxembourg SCA 4.875% 15/07/2027 1,688,832 0.47

–––––––––––– ––––––––4,134,122 1.15

–––––––––––– ––––––––Canada – Nil (31 Dec 2016: 0.16%)

Czech Republic - 0.74% (31 Dec 2016: Nil)

2,600,000 RESIDOMO Sro 3.375% 15/10/2024 2,659,748 0.74–––––––––––– ––––––––

Denmark - 1.07% (31 Dec 2016: 0.42%)

3,950,000 Norican A/S 4.500% 15/05/2023 3,836,477 1.07–––––––––––– ––––––––

Finland - 0.80% (31 Dec 2016: 1.10%)

1,800,000 Metsa Board OYJ 2.750% 29/09/2027 1,852,434 0.511,000,000 Stora Enso OYJ 2.500% 07/06/2027 1,028,426 0.29

–––––––––––– ––––––––2,880,860 0.80

–––––––––––– ––––––––France - 6.20% (31 Dec 2016: 10.64%)

1,850,000 3AB Optique Developpement SAS 4.000% 01/10/2023 1,871,290 0.522,950,000 Altice Luxembourg SA 6.250% 15/02/2025 2,902,387 0.811,200,000 CMA CGM SA 5.250% 15/01/2025 1,197,198 0.331,642,000 Horizon Holdings I SAS 7.250% 01/08/2023 1,752,424 0.491,200,000 Loxam SAS 4.250% 15/04/2024 1,284,300 0.365,290,000 Loxam SAS 6.000% 15/04/2025 5,781,145 1.612,500,000 Novafives SAS 4.500% 30/06/2021 2,565,375 0.721,000,000 Rexel SA 2.125% 15/06/2025 987,370 0.283,600,000 WFS Global Holding SAS 9.500% 15/07/2022 3,854,286 1.08

–––––––––––– ––––––––22,195,775 6.20

–––––––––––– ––––––––Germany - 5.39% (31 Dec 2016: 6.30%)

1,050,000 CBR Fashion Finance BV 5.125% 01/10/2022 1,005,953 0.281,800,000 CTC BondCo GmbH 5.250% 15/12/2025 1,802,637 0.502,000,000 Galapagos Holding SA 7.000% 15/06/2022 1,676,940 0.473,300,000 IHO Verwaltungs GmbH 3.750% 15/09/2026 3,542,104 0.994,300,000 Monitchem HoldCo 2 SA 6.875% 15/06/2022 3,998,269 1.121,450,000 Nidda Healthcare Holding GmbH 3.500% 30/09/2024 1,466,160 0.41

450,000 Takko Luxembourg 2 SCA 5.375% 15/11/2023 440,208 0.12300,000 Takko Luxembourg 2 SCA 5.375% 15/11/2023 294,468 0.08

4,500,000 Unitymedia Hessen GmbH & Co KG/Unitymedia NRW GmbH 6.250% 15/01/2029 5,073,660 1.42

–––––––––––– ––––––––19,300,399 5.39

–––––––––––– ––––––––Ireland - 2.89% (31 Dec 2016: 2.62%)

3,150,000 Ardagh Packaging Finance Plc/Ardagh Holdings USA Inc 6.750% 15/05/2024 3,477,320 0.97



–––––––––––– ––––––––10,345,527 2.89

–––––––––––– ––––––––







Italy - 1.18% (31 Dec 2016: 2.49%)

1,500,000 Telecom Italia SpA 5.875% 19/05/2023 1,976,186 0.552,250,000 Telecom Italia SpA 2.375% 12/10/2027 2,251,026 0.63

–––––––––––– ––––––––4,227,212 1.18

–––––––––––– ––––––––Mexico - 1.12% (31 Dec 2016: 1.06%)

3,700,000 Cemex Finance LLC 4.625% 15/06/2024 4,024,745 1.12–––––––––––– ––––––––

Netherlands - 1.97% (31 Dec 2016: 0.95%)

2,850,000 Maxeda DIY Holding BV 6.125% 15/07/2022 2,878,186 0.80300,000 Ziggo Secured Finance BV 3.750% 15/01/2025 310,466 0.09

3,700,000 Ziggo Secured Finance BV 4.250% 15/01/2027 3,855,807 1.08–––––––––––– ––––––––

7,044,459 1.97–––––––––––– ––––––––

Norway - 0.61% (31 Dec 2016: 0.94%)

2,500,000 Aker BP ASA 6.000% 01/07/2022 2,187,775 0.61–––––––––––– ––––––––

Portugal - 1.36% (31 Dec 2016: 0.91%)

1,500,000 Altice Financing SA 6.625% 15/02/2023 1,312,165 0.374,000,000 Altice Financing SA 7.500% 15/05/2026 3,558,780 0.99

–––––––––––– ––––––––4,870,945 1.36

–––––––––––– ––––––––Spain - 1.80% (31 Dec 2016: 2.26%)

3,150,000 Arena Luxembourg Finance Sarl 2.875% 01/11/2024 3,243,851 0.911,100,000 Naviera Armas SA 4.250% 15/11/2024 1,122,792 0.311,950,000 NH Hotel Group SA 3.750% 01/10/2023 2,064,953 0.58

–––––––––––– ––––––––6,431,596 1.80

–––––––––––– ––––––––South Africa – Nil (31 Dec 2016: 0.48%)

Sweden - 3.78% (31 Dec 2016: 1.85%)

19,000,000 Com Hem Sweden AB 3.500% 25/02/2022 2,009,432 0.563,100,000 Intrum Justitia AB 3.125% 15/07/2024 3,119,009 0.878,300,000 Verisure Midholding AB 5.750% 01/12/2023 8,415,536 2.35

–––––––––––– ––––––––13,543,977 3.78

–––––––––––– ––––––––Switzerland - 3.65% (31 Dec 2016: 3.92%)

1,000,000 SIG Combibloc Holdings SCA 7.750% 15/02/2023 1,049,250 0.292,000,000 Swissport Financing Sarl 6.750% 15/12/2021 2,091,312 0.583,000,000 Swissport Financing Sarl 9.750% 15/12/2022 3,142,530 0.882,300,000 Unilabs Subholding AB 5.750% 15/05/2025 2,329,794 0.652,910,000 UPCB Finance IV Ltd 5.375% 15/01/2025 2,454,166 0.691,900,000 UPCB Finance IV Ltd 4.000% 15/01/2027 2,019,747 0.56

–––––––––––– ––––––––13,086,799 3.65

–––––––––––– ––––––––United Kingdom - 37.99% (31 Dec 2016: 36.29%)

5,500,000 AA Bond Co Ltd 5.500% 31/07/2043 6,278,647 1.752,250,000 Anglian Water Osprey Financing Plc 4.000% 08/03/2026 2,523,075 0.702,250,000 Arqiva Broadcast Finance Plc 9.500% 31/03/2020 2,645,784 0.741,250,000 Arqiva Broadcast Finance Plc 9.500% 31/03/2020 1,469,880 0.41







United Kingdom - 37.99% (31 Dec 2016: 36.29%) (continued)

3,450,000 Arrow Global Finance Plc 5.125% 15/09/2024 3,943,801 1.103,870,000 Boparan Finance Plc 5.250% 15/07/2019 4,245,783 1.193,100,000 Boparan Finance Plc 5.500% 15/07/2021 3,178,425 0.894,300,000 Cabot Financial Luxembourg SA 7.500% 01/10/2023 5,083,798 1.423,465,000 CEVA Group Plc 7.000% 01/03/2021 2,815,666 0.792,150,000 Cognita Financing Plc 7.750% 15/08/2021 2,513,436 0.703,600,000 Cognita Financing Plc 7.750% 15/08/2021 4,208,543 1.183,000,000 CPUK Finance Ltd 4.875% 28/08/2025 3,447,111 0.962,100,000 Debenhams Plc 5.250% 15/07/2021 2,370,589 0.661,000,000 Entertainment One Ltd 6.875% 15/12/2022 1,214,726 0.342,050,000 Galaxy Bidco Ltd 6.375% 15/11/2020 2,344,283 0.652,882,000 Galaxy Finco Ltd 7.875% 15/11/2021 3,263,288 0.914,350,000 Garfunkelux Holdco 2 SA 11.000% 01/11/2023 5,295,486 1.483,000,000 Garfunkelux Holdco 3 SA 8.500% 01/11/2022 3,544,591 0.991,100,000 Heathrow Finance Plc 5.750% 03/03/2025 1,405,390 0.391,250,000 House of Fraser Funding Plc 6.270% 15/09/2020 1,239,639 0.352,108,000 HSS Financing Plc 6.750% 01/08/2019 2,194,158 0.614,300,000 IDH Finance Plc 6.250% 15/08/2022 4,454,803 1.243,300,000 INEOS Group Holdings SA 5.375% 01/08/2024 3,531,904 0.992,300,000 Jaguar Land Rover Automotive Plc 3.875% 01/03/2023 2,691,419 0.754,650,000 Jerrold Finco Plc 6.125% 15/01/2024 5,361,415 1.501,750,000 KCA Deutag UK Finance Plc 7.250% 15/05/2021 1,422,054 0.404,125,000 KCA Deutag UK Finance Plc 9.875% 01/04/2022 3,661,397 1.02

400,000 KCA Deutag UK Finance Plc 9.875% 01/04/2022 355,045 0.101,749,049 Keystone Financing Plc 9.500% 15/10/2019 2,037,033 0.571,300,000 Miller Homes Group Holdings Plc 5.500% 15/10/2024 1,485,705 0.422,250,000 Moto Finance Plc 4.500% 01/10/2022 2,566,664 0.723,550,000 Ocado Group Plc 4.000% 15/06/2024 3,990,975 1.114,618,000 Perform Group Financing Plc 8.500% 15/11/2020 5,378,360 1.501,250,000 Pinewood Finco Plc 3.750% 01/12/2023 1,422,302 0.402,500,000 Premier Foods Finance Plc 6.500% 15/03/2021 2,878,574 0.805,300,000 RAC Bond Co Plc 5.000% 06/11/2022 5,946,125 1.661,500,000 Thomas Cook Finance 2 Plc 3.875% 15/07/2023 1,529,692 0.432,350,000 Thomas Cook Group Plc 6.250% 15/06/2022 2,547,764 0.715,525,000 Travelex Financing Plc 8.000% 15/05/2022 5,645,445 1.582,600,000 Travis Perkins Plc 4.500% 07/09/2023 3,072,040 0.865,220,000 TVL Finance Plc 8.500% 15/05/2023 6,424,630 1.791,350,000 Virgin Media Secured Finance Plc 5.500% 15/01/2025 1,582,112 0.441,300,000 Virgin Media Secured Finance Plc 4.875% 15/01/2027 1,493,851 0.421,100,000 Virgin Media Secured Finance Plc 6.250% 28/03/2029 1,331,755 0.37

–––––––––––– ––––––––136,037,163 37.99


6,400,000 AMC Entertainment Holdings Inc 6.375% 15/11/2024 7,273,438 2.032,500,000 Auris Luxembourg II SA 8.000% 15/01/2023 2,616,087 0.735,000,000 Avantor Inc 4.750% 01/10/2024 5,027,925 1.401,500,000 Axalta Coating Systems Dutch Holding B BV 3.750% 15/01/2025 1,604,873 0.454,150,000 Carlson Travel Inc 6.750% 15/12/2023 3,138,832 0.881,700,000 Chemours Co 7.000% 15/05/2025 1,544,361 0.432,850,000 Constellium NV 6.625% 01/03/2025 2,508,909 0.701,250,000 Constellium NV 4.250% 15/02/2026 1,258,013 0.358,670,000 Coveris Holdings SA 7.875% 01/11/2019 7,207,843 2.012,150,000 Crown European Holdings SA 3.375% 15/05/2025 2,261,531 0.631,800,000 Diamond BC BV 5.625% 15/08/2025 1,817,280 0.51





United States - 25.30% (31 Dec 2016: 20.88%) (continued)

1,000,000 Equinix Inc 2.875% 01/10/2025 1,011,375 0.281,000,000 Equinix Inc 2.875% 01/02/2026 1,001,725 0.281,650,000 Gates Global LLC/Gates Global Co 5.750% 15/07/2022 1,687,125 0.472,400,000 Hanesbrands Finance Luxembourg SCA 3.500% 15/06/2024 2,598,720 0.736,450,000 Huntsman International LLC 4.250% 01/04/2025 7,392,280 2.062,600,000 Infor US Inc 5.750% 15/05/2022 2,668,900 0.743,950,000 Iron Mountain UK Plc 3.875% 15/11/2025 4,361,242 1.221,200,000 Kronos International Inc 3.750% 15/09/2025 1,242,306 0.35

650,000 Levi Strauss & Co 3.375% 15/03/2027 684,775 0.194,250,000 PSPC Escrow Corp 6.000% 01/02/2023 4,463,095 1.251,900,000 PVH Corp 3.625% 15/07/2024 2,102,139 0.593,150,000 Quintiles IMS Inc 3.250% 15/03/2025 3,262,212 0.911,800,000 Silgan Holdings Inc 3.250% 15/03/2025 1,881,090 0.532,400,000 Spectrum Brands Inc 4.000% 01/10/2026 2,555,815 0.71

250,000 Valeant Pharmaceuticals International Inc 6.500% 15/03/2022 219,298 0.069,350,000 Valeant Pharmaceuticals International Inc 4.500% 15/05/2023 8,441,844 2.363,429,000 Veritas US Inc/Veritas Bermuda Ltd 7.500% 01/02/2023 3,609,022 1.013,950,000 Veritas US Inc/Veritas Bermuda Ltd 10.500% 01/02/2024 3,440,224 0.961,625,000 WMG Acquisition Corp 4.125% 01/11/2024 1,719,234 0.48

–––––––––––– ––––––––90,601,513 25.30


–––––––––––– ––––––––

Number Fair Value % of Net

of Shares € Assets

Investment Funds- 0.00% (31 Dec 2016: 0.62%)

Germany – 0.00% (31 Dec 2016: 0.62%)

819 Deutsche Global Liquidity Series Plc - Managed Euro Fund 819 0.00–––––––––––– ––––––––

Total Investment Funds 819 0.00

–––––––––––– ––––––––

Financial Derivative Instruments* - 0.65% (31 Dec 2016: (0.01)%)

Open Forward Foreign Currency Exchange Contracts - 0.65% (31 Dec 2016: (0.01)%)

Unrealised


Date Counterparty Bought Sold € Assets

12/01/2018 State Street Bank CHF 354,845 € 303,229 290 0.0012/01/2018 State Street Bank € 3,854 CHF 4,511 (4) 0.0012/01/2018 State Street Bank € 11,431 CHF 13,348 13 0.0002/01/2018 State Street Bank € 9,203 £ 8,165 16 0.0002/01/2018 State Street Bank € 3,325 £ 2,950 6 0.0003/01/2018 State Street Bank € 994 £ 883 - 0.0003/01/2018 State Street Bank € 5,899 £ 5,240 2 0.0012/01/2018 State Street Bank € 626 £ 552 5 0.0012/01/2018 State Street Bank € 17,104 £ 15,091 127 0.0012/01/2018 State Street Bank € 70,276,777 £ 61,441,581 1,155,902 0.3312/01/2018 National Australia Bank € 71,043,944 £ 62,131,694 1,146,702 0.3212/01/2018 State Street Bank € 21,196 £ 18,543 336 0.0012/01/2018 State Street Bank € 1,750 £ 1,531 28 0.00




Financial Derivative Instruments** - 0.65% (31 Dec 2016: (0.01)%) (continued)


Unrealised



12/01/2018 State Street Bank € 1,420,986 £ 1,250,000 14,754 0.0012/01/2018 State Street Bank € 816 £ 718 9 0.0012/01/2018 State Street Bank € 26,648 £ 23,436 282 0.0012/01/2018 State Street Bank € 6,959 £ 6,149 42 0.0012/01/2018 State Street Bank € 911 £ 805 5 0.0012/01/2018 State Street Bank € 1,113 £ 982 8 0.0012/01/2018 State Street Bank € 18,663 £ 16,472 132 0.0012/01/2018 State Street Bank € 22,587 £ 19,916 182 0.0012/01/2018 State Street Bank € 3,820 £ 3,368 31 0.0012/01/2018 State Street Bank € 15,865 £ 13,938 186 0.0012/01/2018 State Street Bank € 2,839 £ 2,494 33 0.0012/01/2018 State Street Bank € 1,654 £ 1,460 12 0.0012/01/2018 State Street Bank € 14,727 £ 12,999 104 0.0012/01/2018 State Street Bank € 5,115 £ 4,507 45 0.0012/01/2018 State Street Bank € 20,373 £ 17,951 178 0.0012/01/2018 State Street Bank € 24,331 £ 21,534 106 0.0012/01/2018 State Street Bank € 3,396 £ 3,005 15 0.0012/01/2018 State Street Bank € 3,717 £ 3,300 5 0.0012/01/2018 State Street Bank € 49,160 £ 43,643 62 0.0012/01/2018 State Street Bank € 2,320 £ 2,060 3 0.0012/01/2018 State Street Bank € 12,871 £ 11,427 15 0.0012/01/2018 State Street Bank € 2,124 £ 1,885 3 0.0012/01/2018 State Street Bank € 36,752 £ 32,623 51 0.0012/01/2018 State Street Bank € 37,986 £ 33,759 8 0.0012/01/2018 State Street Bank € 11,311 £ 10,053 2 0.0012/01/2018 State Street Bank € 2,048,166 SEK 20,442,660 (28,812) (0.01)12/01/2018 State Street Bank € 2,266 US$ 2,675 37 0.0012/01/2018 State Street Bank € 113,735 US$ 134,311 1,854 0.0012/01/2018 State Street Bank € 21,304 US$ 25,158 347 0.0012/01/2018 National Australia Bank € 128,691 US$ 151,969 2,101 0.0012/01/2018 State Street Bank € 16,759,811 US$ 19,783,281 280,420 0.0812/01/2018 National Australia Bank € 24,096,959 US$ 28,447,183 400,574 0.1112/01/2018 State Street Bank € 889,487 US$ 1,057,497 8,597 0.0002/01/2018 State Street Bank £ 1,885 € 2,125 (4) 0.0002/01/2018 State Street Bank £ 32,623 € 36,772 (62) 0.0003/01/2018 State Street Bank £ 33,759 € 37,999 (12) 0.0003/01/2018 State Street Bank £ 10,053 € 11,315 (4) 0.0012/01/2018 State Street Bank £ 2,549,682 € 2,898,453 (30,098) (0.01)12/01/2018 State Street Bank £ 1,176,661 € 1,337,616 (13,890) 0.0012/01/2018 State Street Bank £ 14,723,534 € 16,737,566 (173,805) (0.05)12/01/2018 State Street Bank £ 12,975,818 € 14,750,780 (153,174) (0.04)12/01/2018 State Street Bank £ 2,391 € 2,710 (20) 0.0012/01/2018 State Street Bank £ 5,385 € 6,104 (45) 0.0012/01/2018 State Street Bank £ 8,643 € 9,880 (157) 0.0012/01/2018 State Street Bank £ 41,809 € 47,792 (757) 0.0012/01/2018 State Street Bank £ 16,853 € 19,264 (305) 0.0012/01/2018 State Street Bank £ 3,965 € 4,533 (72) 0.0012/01/2018 State Street Bank £ 1,469,097 € 1,679,409 (26,697) (0.01)12/01/2018 State Street Bank £ 5,131 € 5,866 (93) 0.0012/01/2018 State Street Bank £ 8,099 € 9,258 (147) 0.0012/01/2018 State Street Bank £ 11,876 € 13,503 (143) 0.0012/01/2018 State Street Bank £ 5,525 € 6,283 (67) 0.0012/01/2018 State Street Bank £ 721,204 € 816,284 (4,940) 0.0012/01/2018 State Street Bank £ 1,783 € 2,018 (12) 0.0012/01/2018 State Street Bank £ 6,703 € 7,586 (46) 0.00




Financial Derivative Instruments** - 0.65% (31 Dec 2016: (0.01)%) (continued)


Unrealised



12/01/2018 State Street Bank £ 2,975 € 3,370 (24) 0.0012/01/2018 State Street Bank £ 4,286 € 4,856 (34) 0.0012/01/2018 State Street Bank £ 6,660 € 7,554 (61) 0.0012/01/2018 State Street Bank £ 8,327 € 9,443 (76) 0.0012/01/2018 State Street Bank £ 657 € 748 (9) 0.0012/01/2018 State Street Bank £ 746 € 849 (10) 0.0012/01/2018 State Street Bank £ 14,112 € 15,989 (113) 0.0012/01/2018 State Street Bank £ 2,320 € 2,629 (19) 0.0012/01/2018 State Street Bank £ 10,533 € 11,954 (105) 0.0012/01/2018 State Street Bank £ 3,653 € 4,146 (36) 0.0012/01/2018 State Street Bank £ 1,717 € 1,941 (8) 0.0012/01/2018 State Street Bank £ 9,042 € 10,216 (44) 0.0012/01/2018 State Street Bank £ 4,030 € 4,539 (6) 0.0012/01/2018 State Street Bank £ 238,972 € 269,179 (339) 0.0012/01/2018 State Street Bank £ 12,322 € 13,879 (17) 0.0012/01/2018 State Street Bank £ 3,715 € 4,184 (5) 0.0012/01/2018 State Street Bank £ 678,284 € 763,991 (931) 0.0012/01/2018 State Street Bank £ 8,165 € 9,198 (13) 0.0012/01/2018 State Street Bank £ 2,950 € 3,323 (5) 0.0012/01/2018 State Street Bank £ 5,240 € 5,897 (1) 0.0012/01/2018 State Street Bank £ 883 € 994 - 0.0012/01/2018 State Street Bank US$ 8,101,636 € 6,852,379 (103,750) (0.03)12/01/2018 State Street Bank US$ 1,524,667 € 1,289,566 (19,525) (0.01)12/01/2018 State Street Bank US$ 162,077 € 137,085 (2,076) 0.0012/01/2018 National Australia Bank US$ 9,265,813 € 7,836,857 (118,472) (0.03)12/01/2018 State Street Bank US$ 463,884 € 393,242 (6,829) 0.0012/01/2018 State Street Bank US$ 1,010,594 € 856,624 (14,804) 0.0012/01/2018 State Street Bank US$ 230,000 € 193,970 (2,381) 0.00

–––––––––––– ––––––––Unrealised gain on open forward foreign currency exchange contracts 3,013,630 0.84Unrealised loss on open forward foreign currency exchange contracts (703,059) (0.19)

–––––––––––– ––––––––Net unrealised gain on open forward foreign currency exchange contracts 2,310,571 0.65

–––––––––––– ––––––––Total Financial Derivative Instruments* 2,310,571 0.65

–––––––––––– ––––––––

Fair Value % of Net

€ Assets



–––––––––––– –––––––––––––––––––– ––––––––

Classification

*All financial derivative instruments are traded over the counter (“OTC”).The counterparties for the open forward foreign currency exchange contracts are National Australia Bank and State StreetBank.







––––––––––––––––




Barings Umbrella Fund PlcBarings Global High Yield Bond Fund




Transferable Securities (Corporate Bonds) - 92.99% (Dec 2016: 94.90%)

Belgium - 0.30% (Dec 2016: 0.84%)

1,741,500 LSF9 Balta Issuer SARL 7.750% 15/09/2022 2,252,877 0.30–––––––––––– ––––––––

Brazil - 0.26% (Dec 2016: 0.57%)

2,000,000 JBS Investments GmbH 7.250% 03/04/2024 1,972,500 0.26–––––––––––– ––––––––

Canada - 2.55% (Dec 2016: 2.28%)

4,425,000 ATS Automation Tooling Systems Inc 6.500% 15/06/2023 4,646,250 0.6313,465,000 Jupiter Resources Inc 8.500% 01/10/2022 8,415,625 1.131,666,000 Kinross Gold Corp 5.950% 15/03/2024 1,834,683 0.253,243,000 Kinross Gold Corp 4.500% 15/07/2027 3,271,376 0.44

734,000 Northwest Acquisitions ULC/Dominion Finco Inc 7.125% 01/11/2022 759,690 0.10–––––––––––– ––––––––

18,927,624 2.55–––––––––––– ––––––––

Czech Republic - 0.12% (Dec 2016: Nil)

700,000 RESIDOMO Sro 3.375% 15/10/2024 859,195 0.12–––––––––––– ––––––––

Denmark - 1.00% (Dec 2016: 1.16%)

1,600,000 Norican A/S 4.500% 15/05/2023 1,864,585 0.255,500,000 Welltec A/S 9.500% 01/12/2022 5,555,000 0.75

–––––––––––– ––––––––7,419,585 1.00

–––––––––––– ––––––––Finland - Nil (31 Dec 2016: 0.10%)

France - 2.09% (Dec 2016: 2.91%)

2,350,000 Altice Luxembourg SA 6.250% 15/02/2025 2,774,137 0.37550,000 CMA CGM SA 5.250% 15/01/2025 658,376 0.09

2,150,000 Horizon Holdings I SAS 7.250% 01/08/2023 2,753,159 0.37300,000 Loxam SAS 7.000% 23/07/2022 381,210 0.05

1,350,000 Loxam SAS 6.000% 15/04/2025 1,770,185 0.243,577,000 SFR Group SA 6.000% 15/05/2022 3,626,184 0.492,750,000 WFS Global Holding SAS 9.500% 15/07/2022 3,532,652 0.48

–––––––––––– ––––––––15,495,903 2.09

–––––––––––– ––––––––Germany - 1.32% (Dec 2016: 1.06%)

700,000 CBR Fashion Finance BV 5.125% 01/10/2022 804,661 0.11550,000 CTC BondCo GmbH 5.250% 15/12/2025 660,884 0.09

1,978,000 Monitchem HoldCo 2 SA 6.875% 15/06/2022 2,206,767 0.30650,000 Nidda Healthcare Holding GmbH 3.500% 30/09/2024 788,594 0.11150,000 Takko Luxembourg 2 SCA 5.375% 15/11/2023 176,659 0.02150,000 Takko Luxembourg 2 SCA 5.375% 15/11/2023 176,061 0.02

3,650,000 Unitymedia Hessen GmbH & Co KG/Unitymedia NRW GmbH 6.250% 15/01/2029 4,937,742 0.67

–––––––––––– ––––––––9,751,368 1.32

–––––––––––– ––––––––Ghana - 2.21% (Dec 2016: 0.93%)

9,419,000 Kosmos Energy Ltd 7.875% 01/08/2021 9,678,023 1.311,096,000 Kosmos Energy Ltd 7.875% 01/08/2021 1,126,140 0.155,500,000 Tullow Oil Plc 6.250% 15/04/2022 5,548,400 0.75

–––––––––––– ––––––––16,352,563 2.21

–––––––––––– ––––––––






Transferable Securities (Corporate Bonds) - 92.99% (Dec 2016: 94.90%) (continued)

Ireland - 0.76% (Dec 2016: 0.47%)




–––––––––––– ––––––––5,633,269 0.76

–––––––––––– ––––––––Italy - 0.33% (Dec 2016: 1.06%)

1,300,000 Telecom Italia SpA 5.875% 19/05/2023 2,054,975 0.27393,000 Telecom Italia SpA 5.303% 30/05/2024 421,001 0.06

–––––––––––– ––––––––2,475,976 0.33

–––––––––––– ––––––––Jamaica - 0.50% (Dec 2016: Nil)

4,000,000 Digicel Group Ltd 7.125% 01/04/2022 3,719,040 0.50–––––––––––– ––––––––

Mexico - Nil (31 Dec 2016: 0.71%)

Netherlands - 1.00% (Dec 2016: 0.41%)

2,500,000 Maxeda DIY Holding BV 6.125% 15/07/2022 3,029,290 0.413,000,000 Ziggo Secured Finance BV 5.500% 15/01/2027 2,985,000 0.401,100,000 Ziggo Secured Finance BV 4.250% 15/01/2027 1,375,412 0.19

–––––––––––– ––––––––7,389,702 1.00

–––––––––––– ––––––––Norway - Nil (31 Dec 2016: 0.23%)

Portugal - 0.95% (Dec 2016: 0.55%)

2,000,000 Altice Financing SA 6.625% 15/02/2023 2,099,200 0.283,166,000 Altice Financing SA 7.500% 15/05/2026 3,379,705 0.461,500,000 Altice Finco SA 7.625% 15/02/2025 1,531,875 0.21

–––––––––––– ––––––––7,010,780 0.95

–––––––––––– ––––––––Spain - Nil (31 Dec 2016: 0.23%)

Sweden - 0.40% (Dec 2016: Nil)

2,450,000 Verisure Midholding AB 5.750% 01/12/2023 2,980,550 0.40–––––––––––– ––––––––

Switzerland - 1.52% (Dec 2016: 1.21%)

2,400,000 SIG Combibloc Holdings SCA 7.750% 15/02/2023 3,021,461 0.413,200,000 Swissport Financing Sarl 9.750% 15/12/2022 4,021,933 0.55

500,000 Unilabs Subholding AB 5.750% 15/05/2025 607,696 0.08400,000 UPCB Finance IV Ltd 5.375% 15/01/2025 404,760 0.05

2,500,000 UPCB Finance IV Ltd 4.000% 15/01/2027 3,188,674 0.43–––––––––––– ––––––––

11,244,524 1.52–––––––––––– ––––––––

Trinidad And Tobago - Nil (31 Dec 2016: 1.38%)

United Arab Emirates - Nil (31 Dec 2016: 1.14%)





United Kingdom - 8.61% (Dec 2016: 10.91%)

3,500,000 AA Bond Co Ltd 5.500% 31/07/2043 4,794,001 0.65500,000 Arqiva Broadcast Finance Plc 9.500% 31/03/2020 705,454 0.10950,000 Arqiva Broadcast Finance Plc 9.500% 31/03/2020 1,340,362 0.18

1,550,000 Arrow Global Finance Plc 5.125% 15/09/2024 2,125,956 0.29250,000 Boparan Finance Plc 5.250% 15/07/2019 329,089 0.04900,000 Boparan Finance Plc 5.250% 15/07/2019 1,184,721 0.16

1,550,000 Boparan Finance Plc 5.500% 15/07/2021 1,906,815 0.261,250,000 Cabot Financial Luxembourg SA 7.500% 01/10/2023 1,773,195 0.242,200,000 Cognita Financing Plc 7.750% 15/08/2021 3,085,878 0.42

800,000 CPUK Finance Ltd 4.875% 28/02/2047 1,102,937 0.152,525,000 Galaxy Finco Ltd 7.875% 15/11/2021 3,430,438 0.463,575,000 Garfunkelux Holdco 2 SA 11.000% 01/11/2023 5,221,789 0.702,475,000 Garfunkelux Holdco 3 SA 8.500% 01/11/2022 3,508,704 0.472,244,000 HSS Financing Plc 6.750% 01/08/2019 2,802,508 0.381,550,000 IDH Finance Plc 6.250% 15/08/2022 1,926,719 0.261,050,000 INEOS Group Holdings SA 5.375% 01/08/2024 1,348,376 0.181,700,000 Jerrold Finco Plc 6.125% 15/01/2024 2,351,809 0.32

350,000 KCA Deutag UK Finance Plc 9.875% 01/04/2022 372,750 0.051,625,000 KCA Deutag UK Finance Plc 9.875% 01/04/2022 1,730,625 0.231,178,707 Keystone Financing Plc 9.500% 15/10/2019 1,647,133 0.222,125,000 Ocado Group Plc 4.000% 15/06/2024 2,866,397 0.391,700,000 Perform Group Financing Plc 8.500% 15/11/2020 2,375,590 0.321,450,000 Premier Foods Finance Plc 6.500% 15/03/2021 2,003,236 0.271,700,000 RAC Bond Co Plc 5.000% 06/11/2022 2,288,410 0.312,425,000 Travelex Financing Plc 8.000% 15/05/2022 2,973,065 0.403,240,000 TVL Finance Plc 8.500% 15/05/2023 4,784,641 0.651,125,000 Virgin Media Secured Finance Plc 5.500% 15/01/2025 1,581,914 0.211,600,000 Virgin Media Secured Finance Plc 4.875% 15/01/2027 2,206,025 0.30

–––––––––––– ––––––––63,768,537 8.61

–––––––––––– ––––––––United States - 69.07% (Dec 2016: 66.75%)

3,500,000 A Schulman Inc 6.875% 01/06/2023 3,657,500 0.493,151,000 Acrisure LLC/Acrisure Finance Inc 7.000% 15/11/2025 3,044,685 0.415,407,000 Allegheny Technologies Inc 5.950% 15/01/2021 5,542,175 0.757,000,000 Allegiant Travel Co 5.500% 15/07/2019 7,218,750 0.973,370,000 Alliance Resource Operating Partners LP/

Alliance Resource Finance Corp 7.500% 01/05/2025 3,593,262 0.482,018,000 Allison Transmission Inc 4.750% 01/10/2027 2,035,658 0.271,800,000 AMC Entertainment Holdings Inc 6.375% 15/11/2024 2,454,477 0.33

366,000 AMC Entertainment Holdings Inc 6.125% 15/05/2027 365,085 0.056,250,000 American Airlines Group Inc 5.500% 01/10/2019 6,453,125 0.871,321,000 American Airlines Group Inc 4.625% 01/03/2020 1,347,420 0.186,164,000 Apex Tool Group LLC 7.000% 01/02/2021 5,963,670 0.806,500,000 Appvion Inc 9.000% 01/06/2020 1,007,500 0.144,617,000 APTIM Corp 7.750% 15/06/2025 4,432,320 0.604,290,000 ArcelorMittal 7.250% 01/03/2041 5,448,300 0.745,342,000 AssuredPartners Inc 7.000% 15/08/2025 5,328,645 0.722,250,000 Avantor Inc 4.750% 01/10/2024 2,714,739 0.371,500,000 Avantor Inc 6.000% 01/10/2024 1,498,125 0.203,739,000 Avantor Inc 9.000% 01/10/2025 3,692,262 0.504,800,000 Booz Allen Hamilton Inc 5.125% 01/05/2025 4,824,000 0.654,200,000 Brunswick Corp 7.125% 01/08/2027 5,036,849 0.685,337,000 C&S Group Enterprises LLC 5.375% 15/07/2022 5,056,807 0.685,000,000 Cardtronics Inc 1.000% 01/12/2020 4,459,375 0.60







United States - 69.07% (Dec 2016: 66.75%) (continued)

2,866,000 Carlson Travel Inc 6.750% 15/12/2023 2,600,895 0.354,795,000 Carlson Travel Inc 9.500% 15/12/2024 3,871,962 0.524,000,000 Carrols Restaurant Group Inc 8.000% 01/05/2022 4,230,000 0.57

711,000 Catalent Pharma Solutions Inc 4.875% 15/01/2026 715,444 0.101,500,000 CCO Holdings LLC/CCO Holdings Capital Corp 5.750% 15/02/2026 1,561,875 0.21

651,000 CCO Holdings LLC/CCO Holdings Capital Corp 5.875% 01/05/2027 672,158 0.0914,000,000 CCO Holdings LLC/CCO Holdings Capital Corp 5.000% 01/02/2028 13,685,000 1.853,919,000 Chemours Co 5.375% 15/05/2027 4,065,962 0.554,000,000 Chesapeake Energy Corp 8.000% 15/01/2025 4,050,000 0.553,000,000 Chesapeake Energy Corp 8.000% 15/06/2027 2,887,500 0.391,000,000 CHS/Community Health Systems Inc 6.250% 31/03/2023 905,000 0.128,189,000 Citgo Holding Inc 10.750% 15/02/2020 8,823,647 1.19

965,000 Clear Channel Worldwide Holdings Inc 7.625% 15/03/2020 949,319 0.135,100,000 Clear Channel Worldwide Holdings Inc 7.625% 15/03/2020 5,017,125 0.682,972,000 Consolidated Energy Finance SA 6.750% 15/10/2019 3,027,725 0.412,852,000 Consolidated Energy Finance SA 6.875% 15/06/2025 3,030,250 0.412,831,000 Constellium NV 6.625% 01/03/2025 2,990,244 0.401,617,000 Constellium NV 5.875% 15/02/2026 1,651,361 0.221,955,000 Constellium NV 4.250% 15/02/2026 2,360,741 0.32

15,621,000 Coveris Holdings SA 7.875% 01/11/2019 15,581,947 2.117,472,000 Deck Chassis Acquisition Inc 10.000% 15/06/2023 8,349,960 1.13

796,000 Dell International LLC/EMC Corp 5.875% 15/06/2021 827,840 0.111,986,000 Dell International LLC/EMC Corp 7.125% 15/06/2024 2,175,151 0.293,462,000 DISH DBS Corp 7.750% 01/07/2026 3,652,410 0.493,063,000 Endo Dac/Endo Finance LLC/Endo Finco Inc 6.000% 01/02/2025 2,389,140 0.328,000,000 Energy Transfer Equity LP 4.250% 15/03/2023 7,960,000 1.072,542,000 EnPro Industries Inc 5.875% 15/09/2022 2,659,568 0.362,119,000 EP Energy LLC/Everest Acquisition Finance Inc 8.000% 29/11/2024 2,198,463 0.303,821,000 EP Energy LLC/Everest Acquisition Finance Inc 8.000% 15/02/2025 2,808,435 0.38

715,000 Ferrellgas LP/Ferrellgas Finance Corp 6.750% 15/06/2023 659,588 0.091,000,000 Ferrellgas LP/Ferrellgas Finance Corp 6.750% 15/01/2022 930,000 0.135,842,000 Ferrellgas Partners LP/

Ferrellgas Partners Finance Corp 8.625% 15/06/2020 5,009,515 0.683,750,000 GCI Inc 6.875% 15/04/2025 4,012,500 0.541,000,000 Genesis Energy LP/

Genesis Energy Finance Corp 5.625% 15/06/2024 980,000 0.134,540,000 Genesis Energy LP/

Genesis Energy Finance Corp 6.500% 01/10/2025 4,630,800 0.622,086,000 GEO Group Inc 5.125% 01/04/2023 2,096,430 0.283,952,000 Golden Nugget Inc 6.750% 15/10/2024 4,031,040 0.543,782,000 Golden Nugget Inc 8.750% 01/10/2025 3,980,555 0.544,858,000 Halyard Health Inc 6.250% 15/10/2022 5,052,320 0.685,550,000 HCA Inc 5.250% 15/06/2026 5,896,875 0.806,446,000 Hertz Corp 7.625% 01/06/2022 6,768,300 0.911,654,000 Hughes Satellite Systems Corp 6.625% 01/08/2026 1,736,700 0.232,953,000 Hughes Satellite Systems Corp 5.250% 01/08/2026 3,023,134 0.412,775,000 Huntsman International LLC 4.250% 01/04/2025 3,816,000 0.513,271,000 Icahn Enterprises LP/

Icahn Enterprises Finance Corp 6.250% 01/02/2022 3,352,775 0.453,156,000 Icahn Enterprises LP/

Icahn Enterprises Finance Corp 6.375% 15/12/2025 3,164,206 0.432,000 Icahn Enterprises LP/

Icahn Enterprises Finance Corp 6.250% 01/02/2022 2,050 0.002,880,000 International Automotive Components Group SA 9.125% 01/06/2018 2,853,000 0.391,750,000 Iron Mountain UK Plc 3.875% 15/11/2025 2,318,344 0.31








2,660,000 j2 Cloud Services LLC/j2 Global Co-Obligor Inc 6.000% 15/07/2025 2,812,950 0.386,173,000 JB Poindexter & Co Inc 9.000% 01/04/2022 6,419,920 0.874,440,000 JBS USA LUX SA/JBS USA Finance Inc 8.250% 01/02/2020 4,464,420 0.601,974,000 JBS USA LUX SA/JBS USA Finance Inc 5.875% 15/07/2024 1,917,248 0.265,650,000 Jonah Energy LLC/Jonah Energy Finance Corp 7.250% 15/10/2025 5,699,437 0.772,710,000 KAR Auction Services Inc 5.125% 01/06/2025 2,784,525 0.386,533,000 Kenan Advantage Group Inc 7.875% 31/07/2023 6,794,320 0.923,058,000 Kinross Gold Corp 6.875% 01/09/2041 3,474,652 0.474,621,000 Kissner Holdings LP/Kissner Milling Co Ltd/

BSC Holding Inc/Kissner USA 8.375% 01/12/2022 4,690,315 0.639,000,000 LPL Holdings Inc 5.750% 15/09/2025 9,180,000 1.243,183,000 M/I Homes Inc 5.625% 01/08/2025 3,246,405 0.444,724,000 Molina Healthcare Inc 4.875% 15/06/2025 4,735,810 0.643,813,000 MPT Operating Partnership LP/

MPT Finance Corp 5.000% 15/10/2027 3,894,026 0.531,633,000 Nexstar Broadcasting Inc 6.125% 15/02/2022 1,698,320 0.236,000,000 NFP Corp 6.875% 15/07/2025 6,060,000 0.82

765,000 NGPL PipeCo LLC 4.375% 15/08/2022 780,778 0.114,097,000 NGPL PipeCo LLC 4.875% 15/08/2027 4,266,001 0.584,036,000 NRG Energy Inc 7.250% 15/05/2026 4,414,335 0.602,000,000 NRG Energy Inc 6.625% 15/01/2027 2,125,000 0.292,000,000 NRG Energy Inc 5.750% 15/01/2028 2,025,000 0.275,928,000 Ortho-Clinical Diagnostics Inc/

Ortho-Clinical Diagnostics SA 6.625% 15/05/2022 5,987,280 0.813,000,000 Parker Drilling Co 6.750% 15/07/2022 2,475,000 0.334,580,000 PBF Holding Co LLC/PBF Finance Corp 7.250% 15/06/2025 4,820,450 0.652,198,000 Penske Automotive Group Inc 3.750% 15/08/2020 2,244,708 0.304,000,000 Penske Automotive Group Inc 5.500% 15/05/2026 4,068,800 0.55

375,000 Perry Ellis International Inc 7.875% 01/04/2019 375,938 0.052,500,000 Pilgrim's Pride Corp 5.875% 30/09/2027 2,581,250 0.35

503,887 Pinnacle Operating Corp 9.000% 15/05/2023 473,654 0.063,924,000 Platform Specialty Products Corp 5.875% 01/12/2025 3,899,475 0.531,435,000 Post Holdings Inc 5.500% 01/03/2025 1,488,813 0.201,775,000 Post Holdings Inc 5.750% 01/03/2027 1,810,500 0.242,554,000 Post Holdings Inc 5.625% 15/01/2028 2,570,729 0.358,535,000 Prime Security Services Borrower LLC/

Prime Finance Inc 9.250% 15/05/2023 9,495,187 1.282,000,000 PSPC Escrow Corp 6.000% 01/02/2023 2,520,019 0.342,426,000 QEP Resources Inc 5.625% 01/03/2026 2,468,455 0.331,152,000 Rowan Cos Inc 7.375% 15/06/2025 1,177,920 0.162,083,000 Sirius XM Radio Inc 5.375% 15/07/2026 2,163,716 0.293,032,000 Sirius XM Radio Inc 5.000% 01/08/2027 3,054,740 0.411,000,000 Sprint Capital Corp 6.875% 15/11/2028 1,008,750 0.141,500,000 Sprint Communications Inc 7.000% 15/08/2020 1,593,750 0.229,586,000 Sprint Corp 7.875% 15/09/2023 10,233,055 1.382,596,000 Suburban Propane Partners LP/

Suburban Energy Finance Corp 5.875% 01/03/2027 2,550,570 0.344,201,000 SunCoke Energy Partners LP/

SunCoke Energy Partners Finance Corp 7.500% 15/06/2025 4,411,050 0.604,000,000 Sunoco LP/Sunoco Finance Corp 6.250% 15/04/2021 4,168,000 0.561,693,000 Surgery Center Holdings Inc 6.750% 01/07/2025 1,608,350 0.22

10,723,000 TIBCO Software Inc 11.375% 01/12/2021 11,708,229 1.584,650,000 TMS International Corp 7.250% 15/08/2025 4,870,875 0.665,775,000 TransDigm Inc 6.375% 15/06/2026 5,847,187 0.791,900,000 Transocean Inc 6.800% 15/03/2038 1,534,250 0.21








611,000 Transocean Inc 9.350% 15/12/2041 594,198 0.082,403,000 Triumph Group Inc 4.875% 01/04/2021 2,372,963 0.322,664,000 Triumph Group Inc 7.750% 15/08/2025 2,833,830 0.38

580,000 Tronox Finance Plc 5.750% 01/10/2025 597,400 0.081,459,000 United Rentals North America Inc 4.625% 15/10/2025 1,473,590 0.207,143,000 United Rentals North America Inc 4.875% 15/01/2028 7,196,572 0.977,000,000 United States Steel Corp 6.875% 15/08/2025 7,341,600 0.99

798,000 Valeant Pharmaceuticals International Inc 6.500% 15/03/2022 839,895 0.111,387,000 Valeant Pharmaceuticals International Inc 7.000% 15/03/2024 1,487,558 0.20

10,403,000 Valeant Pharmaceuticals International Inc 6.125% 15/04/2025 9,557,756 1.291,617,000 Valeant Pharmaceuticals International Inc 5.500% 01/11/2025 1,653,383 0.221,469,000 Valeant Pharmaceuticals International Inc 9.000% 15/12/2025 1,534,664 0.212,919,000 Veritas US Inc/Veritas Bermuda Ltd 10.500% 01/02/2024 3,050,355 0.412,136,000 VFH Parent LLC/Orchestra Co-Issuer Inc 6.750% 15/06/2022 2,253,480 0.305,291,000 WMG Acquisition Corp 6.750% 15/04/2022 5,542,322 0.751,851,000 Wrangler Buyer Corp 6.000% 01/10/2025 1,915,785 0.262,007,000 Wynn Las Vegas LLC/Wynn Las Vegas

Capital Corp 5.250% 15/05/2027 2,037,105 0.27986,000 York Risk Services Holding Corp 8.500% 01/10/2022 966,280 0.13

8,500,000 Zachry Holdings Inc 7.500% 01/02/2020 8,670,000 1.17–––––––––––– ––––––––511,800,881 69.07


–––––––––––– ––––––––

Number Fair Value % of Net

of Shares US$ Assets

Preferred Stock – 0.04% (31 Dec 2016: Nil)

United States - 0.04% (Dec 2016: Nil)

345,853 Pinnacle Agriculture Holdings LLC 314,726 0.04–––––––––––– ––––––––

Total Preferred Stock 314,726 0.04

–––––––––––– ––––––––Total Transferable Securities 689,369,600 93.03

–––––––––––– ––––––––

Investment Funds - 0.67% (Dec 2016: 3.17%)

Ireland - 0.67% (Dec 2016: 3.17%)

5,000,000 Institutional Cash Series Plc - Institutional US Dollar Liquidity Fund 5,000,000 0.67–––––––––––– ––––––––

Total Investment Funds 5,000,000 0.67

–––––––––––– ––––––––

Financial Derivative Instruments * - 0.78% (Dec 2016: (0.98%))

Open Forward Foreign Currency Exchange Contracts - 0.78% (Dec 2016: (0.98%))

Unrealised



12/01/2018 State Street Bank £ 16,927,937 US$ 22,752,332 109,341 0.0212/01/2018 State Street Bank £ 1,270 US$ 1,707 8 0.0012/01/2018 State Street Bank £ 1,191,393 US$ 1,601,316 7,695 0.00




Financial Derivative Instruments * - 0.78% (Dec 2016: (0.98%)) (continued)

Open Forward Foreign Currency Exchange Contracts - 0.78% (Dec 2016: (0.98%)) (continued)

Unrealised



12/01/2018 State Street Bank £ 1,270 US$ 1,707 8 0.0012/01/2018 State Street Bank £ 0 US$ 0 - 0.0012/01/2018 State Street Bank £ 342,216 US$ 461,970 203 0.0012/01/2018 State Street Bank £ 0 US$ 0 - 0.0012/01/2018 State Street Bank £ 24,079 US$ 32,505 14 0.0012/01/2018 State Street Bank £ 26,519 US$ 35,568 247 0.0012/01/2018 State Street Bank £ 971,245 US$ 1,297,466 14,229 0.0012/01/2018 State Street Bank £ 4,578 US$ 6,108 74 0.0012/01/2018 State Street Bank £ 175,123 US$ 235,662 846 0.0012/01/2018 State Street Bank £ 92,872 US$ 124,123 1,303 0.0012/01/2018 State Street Bank £ 264,735 US$ 354,978 2,555 0.0012/01/2018 State Street Bank £ 37,858 US$ 50,906 222 0.0012/01/2018 State Street Bank € 517,950 US$ 612,378 9,414 0.0012/01/2018 State Street Bank € 27,611,932 US$ 32,645,864 501,876 0.0712/01/2018 State Street Bank € 18,406,893 US$ 21,762,653 334,565 0.0512/01/2018 State Street Bank € 74,599,863 US$ 88,200,164 1,355,930 0.1912/01/2018 State Street Bank € 12,971,823 US$ 15,336,716 235,776 0.0312/01/2018 State Street Bank € 978,136 US$ 1,156,460 17,779 0.0012/01/2018 State Street Bank € 2,179,144 US$ 2,576,423 39,608 0.0112/01/2018 State Street Bank € 2,613,480 US$ 3,089,944 47,503 0.0112/01/2018 National Australia Bank € 18,448,360 US$ 21,812,197 334,801 0.0512/01/2018 National Australia Bank € 32,191,844 US$ 38,061,641 584,219 0.0812/01/2018 National Australia Bank € 59,177,002 US$ 69,967,219 1,073,946 0.1512/01/2018 State Street Bank € 8,690 US$ 10,262 170 0.0012/01/2018 State Street Bank € 16,454 US$ 19,431 322 0.0012/01/2018 State Street Bank € 1,249,871 US$ 1,475,993 24,460 0.0012/01/2018 State Street Bank € 219,797 US$ 259,562 4,301 0.0012/01/2018 State Street Bank € 481,411 US$ 568,506 9,421 0.0012/01/2018 State Street Bank € 38,303 US$ 45,232 750 0.0012/01/2018 State Street Bank € 36,388 US$ 42,971 712 0.0012/01/2018 State Street Bank € 347,697 US$ 410,601 6,804 0.0012/01/2018 State Street Bank € 40,128 US$ 47,469 704 0.0012/01/2018 State Street Bank € 3,292 US$ 3,894 58 0.0012/01/2018 National Australia Bank € 309,979 US$ 366,049 6,076 0.0012/01/2018 National Australia Bank € 540,904 US$ 638,746 10,602 0.0012/01/2018 National Australia Bank € 994,323 US$ 1,174,181 19,490 0.0012/01/2018 State Street Bank € 140,420 US$ 165,811 2,762 0.0012/01/2018 State Street Bank € 11,046 US$ 13,044 217 0.0012/01/2018 State Street Bank € 19,559 US$ 23,072 408 0.0012/01/2018 State Street Bank € 1,444 US$ 1,705 29 0.0012/01/2018 State Street Bank € 10,039 US$ 11,823 229 0.0012/01/2018 State Street Bank € 56,995 US$ 67,123 1,299 0.0012/01/2018 State Street Bank € 10,397 US$ 12,245 237 0.0012/01/2018 State Street Bank € 35,130 US$ 41,647 525 0.0012/01/2018 State Street Bank € 154,413 US$ 183,063 2,308 0.0012/01/2018 State Street Bank € 1,448 US$ 1,717 22 0.0012/01/2018 State Street Bank € 30,102 US$ 35,587 550 0.0012/01/2018 State Street Bank € 94,095 US$ 111,242 1,718 0.0012/01/2018 State Street Bank € 92,012 US$ 108,527 1,932 0.0012/01/2018 State Street Bank € 112 US$ 132 2 0.0012/01/2018 State Street Bank € 40,723 US$ 48,127 760 0.0012/01/2018 State Street Bank € 90,135 US$ 106,523 1,682 0.0012/01/2018 State Street Bank € 10,007 US$ 11,880 133 0.0012/01/2018 State Street Bank € 7,619,010 US$ 9,045,235 101,280 0.0112/01/2018 State Street Bank € 1,806,997 US$ 2,145,254 24,020 0.00




Financial Derivative Instruments * - 0.78% (Dec 2016: (0.98%)) (continued)

Open Forward Foreign Currency Exchange Contracts - 0.78% (Dec 2016: (0.98%)) (continued)

Unrealised



12/01/2018 State Street Bank € 944,310 US$ 1,123,918 9,713 0.0012/01/2018 State Street Bank € 92,064 US$ 109,575 947 0.0012/01/2018 State Street Bank € 217,854 US$ 259,362 2,169 0.0012/01/2018 State Street Bank € 21,041 US$ 25,050 209 0.0012/01/2018 State Street Bank € 1,164,867 US$ 1,382,523 15,884 0.0012/01/2018 State Street Bank € 52,099 US$ 61,833 710 0.0012/01/2018 State Street Bank € 1,344,420 US$ 1,606,595 7,362 0.0012/01/2018 State Street Bank AUD 36,465,480 US$ 27,436,262 1,015,659 0.1412/01/2018 State Street Bank CHF 64,898,985 US$ 65,570,095 1,067,327 0.1412/01/2018 State Street Bank CHF 1,690 US$ 1,708 28 0.0012/01/2018 State Street Bank CHF 1,690 US$ 1,708 28 0.0012/01/2018 State Street Bank CHF 249,861 US$ 252,117 4,437 0.0012/01/2018 State Street Bank CHF 40,096 US$ 40,550 620 0.0012/01/2018 State Street Bank CHF 86,709 US$ 87,751 1,280 0.0012/01/2018 State Street Bank CHF 319,872 US$ 324,958 3,483 0.0012/01/2018 State Street Bank CHF 209,853 US$ 212,699 2,775 0.0012/01/2018 State Street Bank CHF 150,900 US$ 153,733 1,210 0.0012/01/2018 State Street Bank CHF 1,679,513 US$ 1,706,614 17,888 0.0012/01/2018 State Street Bank CHF 234,465 US$ 238,070 2,676 0.0002/01/2018 State Street Bank US$ 1,381,241 € 1,164,867 (16,424) (0.00)02/01/2018 State Street Bank US$ 61,776 € 52,099 (735) (0.00)03/01/2018 State Street Bank US$ 1,605,574 € 1,344,420 (7,528) (0.00)03/01/2018 State Street Bank US$ 50,892 £ 37,858 (222 ) (0.00)12/01/2018 State Street Bank US$ 400,755 AUD 533,490 (15,496) (0.00)12/01/2018 State Street Bank US$ 17 CHF 17 (0) (0.00)12/01/2018 State Street Bank US$ 17 CHF 17 (0) (0.00)12/01/2018 State Street Bank US$ 3,432 CHF 3,377 (36) (0.00)12/01/2018 State Street Bank US$ 129 € 109 (2) (0.00)12/01/2018 State Street Bank US$ 27,631,046 € 23,408,206 (470,178) (0.06)12/01/2018 National Australia Bank US$ 34,643,946 € 29,346,095 (585,632) (0.09)12/01/2018 State Street Bank US$ 2,288 € 1,938 (38) (0.00)12/01/2018 State Street Bank US$ 649,165 € 550,000 (11,102) (0.00)12/01/2018 State Street Bank US$ 2,877 € 2,438 (49) (0.00)12/01/2018 State Street Bank US$ 9,160,016 € 7,760,746 (156,651) (0.02)12/01/2018 State Street Bank US$ 4,549 € 3,862 (88) (0.00)12/01/2018 State Street Bank US$ 2,658 € 2,242 (34) (0.00)12/01/2018 State Street Bank US$ 13 € 11 (0) (0.00)12/01/2018 State Street Bank US$ 21,453 € 18,153 (339) (0.00)12/01/2018 State Street Bank US$ 106 € 90 (1) (0.00)12/01/2018 State Street Bank US$ 234 € 196 (2) (0.00)12/01/2018 State Street Bank US$ 20,996 € 17,636 (176) (0.00)12/01/2018 State Street Bank US$ 744,167 € 619,838 61 (0.00)12/01/2018 State Street Bank US$ 19,580,110 £ 14,504,430 (8,546) (0.00)12/01/2018 National Australia Bank US$ 49,914,549 £ 36,969,167 (13,390) (0.00)12/01/2018 State Street Bank US$ 2,212 £ 1,645 (10) (0.00)12/01/2018 State Street Bank US$ 10,106 £ 7,510 (36) (0.00)

–––––––––––– ––––––––Unrealised gain on open forward foreign currency exchange contracts 7,050,611 0.95Unrealised loss on open forward foreign currency exchange contracts (1,286,715) (0.17)

–––––––––––– ––––––––Net unrealised gain on open forward foreign currency exchange contracts 5,763,896 0.78

–––––––––––– ––––––––Total Financial Derivative Instruments* 5,763,896 0.78

–––––––––––– ––––––––




Fair Value % of Net

US$ Assets



–––––––––––– ––––––––

Classification

*All financial derivative instruments are traded over the counter (“OTC”).The counterparties for the open forward foreign currency exchange contracts are State Street Bank and National AustraliaBank.




––––––––––––––––




Barings Umbrella Fund PlcBarings Emerging Markets Corporate Bond Fund





Argentina - 5.42% (Dec 2016: 1.17%)

680,000 Aeropuertos Argentina 2000 SA 6.875% 01/02/2027 736,936 0.72500,000 IRSA Propiedades Comerciales SA 8.750% 23/03/2023 563,985 0.55500,000 Pampa Energia SA 7.375% 21/07/2023 547,500 0.53200,000 Pampa Energia SA 7.500% 24/01/2027 220,028 0.21

1,200,000 YPF SA 8.500% 23/03/2021 1,360,200 1.32500,000 YPF SA 8.750% 04/04/2024 575,500 0.56500,000 YPF SA 8.500% 28/07/2025 581,250 0.56

1,000,000 YPF SA 7.000% 15/12/2047 993,500 0.97–––––––––––– ––––––––

5,578,899 5.42–––––––––––– ––––––––

Azerbaijan - 0.66% (Dec 2016: Nil)

600,000 Southern Gas Corridor CJSC 6.875% 24/03/2026 683,213 0.66–––––––––––– ––––––––

Belarus - 0.59% (Dec 2016: Nil)

600,000 Eurotorg LLC Via Bonitron DAC 8.750% 30/10/2022 608,130 0.59–––––––––––– ––––––––

Brazil - 9.22% (Dec 2016: 11.11%)

750,000 Banco do Brasil SA/Cayman 4.625% 15/01/2025 741,998 0.72500,000 Braskem Finance Ltd 5.750% 15/04/2021 532,500 0.52828,000 Itau Unibanco Holding SA 6.125% 31/12/2099 836,143 0.81500,000 JBS Investments GmbH 7.750% 28/10/2020 511,875 0.50900,000 Klabin Finance SA 4.875% 19/09/2027 890,550 0.87200,000 Marfrig Holdings Europe BV 8.000% 08/06/2023 209,250 0.20

1,300,000 Petrobras Global Finance BV 8.375% 23/05/2021 1,485,087 1.441,600,000 Petrobras Global Finance BV 4.750% 14/01/2025 2,127,160 2.07

896,000 Petrobras Global Finance BV 5.299% 27/01/2025 899,808 0.87850,000 Petrobras Global Finance BV 5.625% 20/05/2043 762,782 0.74400,000 Vale Overseas Ltd 6.875% 10/11/2039 492,500 0.48

–––––––––––– ––––––––9,489,653 9.22

–––––––––––– ––––––––Chile - 2.38% (Dec 2016: 2.79%)

800,000 Empresa Nacional de Telecomunicaciones SA 4.875% 30/10/2024 842,032 0.82500,000 GNL Quintero SA 4.634% 31/07/2029 522,500 0.51500,000 Transelec SA 3.875% 12/01/2029 497,500 0.48550,000 VTR Finance BV 6.875% 15/01/2024 581,625 0.57

–––––––––––– ––––––––2,443,657 2.38

–––––––––––– ––––––––China - 8.15% (Dec 2016: 6.00%)

900,000 Bank of China Ltd 5.000% 13/11/2024 961,156 0.93500,000 CDBL Funding 1 4.250% 02/12/2024 519,466 0.50

1,150,000 China Life Insurance Co Ltd 4.000% 03/07/2075 1,157,814 1.13500,000 CIFI Holdings Group Co Ltd 7.750% 05/06/2020 525,755 0.51600,000 Country Garden Holdings Co Ltd 7.250% 04/04/2021 622,109 0.60

1,000,000 Future Land Development Holdings Ltd 5.000% 16/02/2020 993,688 0.97500,000 Industrial & Commercial Bank of China Ltd 4.875% 21/09/2025 530,058 0.52200,000 New Metro Global Ltd 5.000% 08/08/2022 195,524 0.19500,000 Powerlong Real Estate Holdings Ltd 7.625% 26/11/2018 511,890 0.50500,000 Proven Honour Capital Ltd 4.125% 06/05/2026 511,812 0.50500,000 Shimao Property Holdings Ltd 8.375% 10/02/2022 541,906 0.53500,000 Yuzhou Properties Co Ltd 6.000% 25/01/2022 506,964 0.49







China - 8.15% (Dec 2016: 6.00%) (continued)

800,000 Yuzhou Properties Co Ltd 6.000% 25/10/2023 806,198 0.78–––––––––––– ––––––––

8,384,340 8.15–––––––––––– ––––––––

Colombia - 6.11% (Dec 2016: 4.54%)

500,000 Banco de Bogota SA 6.250% 12/05/2026 540,400 0.52700,000 Banco de Bogota SA 4.375% 03/08/2027 700,000 0.68980,000 Bancolombia SA 4.875% 18/10/2027 967,995 0.94

1,850,000 Ecopetrol SA 5.875% 18/09/2023 2,048,875 1.991,000,000 Millicom International Cellular SA 5.125% 15/01/2028 1,005,000 0.981,000,000 Transportadora de Gas Internacional SA ESP 5.700% 20/03/2022 1,028,000 1.00

–––––––––––– ––––––––6,290,270 6.11

–––––––––––– ––––––––Costa Rica – Nil (Dec 2016: 1.86)

Czech Republic - 0.36% (Dec 2016: Nil)

300,000 RESIDOMO Sro 3.375% 15/10/2024 368,227 0.36–––––––––––– ––––––––

El Salvador - 0.23% (Dec 2016: 0.37%)

250,000 AES El Salvador Trust II 6.750% 28/03/2023 239,959 0.23–––––––––––– ––––––––

Hong Kong - 0.27% (Dec 2016: 0.73%)

300,000 Li & Fung Ltd 5.250% 29/12/2049 277,663 0.27–––––––––––– ––––––––

Hungary – Nil (Dec 2016: 0.74%)

India – 4.86% (Dec 2016: 4.64%)

720,000 Adani Ports & Special Economic Zone Ltd 4.000% 30/07/2027 715,634 0.70200,000 Adani Transmission Ltd 4.000% 03/08/2026 199,151 0.19250,000 Bharti Airtel International Netherlands BV 5.125% 11/03/2023 265,422 0.26250,000 Bharti Airtel International Netherlands BV 5.350% 20/05/2024 269,775 0.26

1,000,000 GMR Hyderabad International Airport Ltd 4.250% 27/10/2027 984,327 0.96500,000 HPCL-Mittal Energy Ltd 5.250% 28/04/2027 521,331 0.51500,000 JSW Steel Ltd 4.750% 12/11/2019 508,065 0.49

1,050,000 State Bank of India/Dubai 5.500% 29/09/2049 1,098,862 1.07400,000 Vedanta Resources Plc 7.125% 31/05/2023 431,520 0.42

–––––––––––– ––––––––4,994,087 4.86

–––––––––––– ––––––––Indonesia - 1.67% (Dec 2016: 0.66%)

710,000 Chandra Asri Petrochemical Tbk PT 4.950% 08/11/2024 699,748 0.681,000,000 Saka Energi Indonesia PT 4.450% 05/05/2024 1,017,151 0.99

–––––––––––– ––––––––1,716,899 1.67

–––––––––––– ––––––––Israel - 4.35% (Dec 2016: 2.84%)

200,000 Altice Financing SA 7.500% 15/05/2026 213,500 0.211,800,000 Altice Financing SA 6.625% 15/02/2023 1,889,280 1.831,250,000 Israel Electric Corp Ltd 7.750% 15/12/2027 1,613,831 1.571,000,000 Teva Pharmaceutical Finance

Netherlands III BV 4.100% 01/10/2046 764,355 0.74–––––––––––– ––––––––

4,480,966 4.35–––––––––––– ––––––––





Jamaica - 1.82% (Dec 2016: 1.69%)

1,525,000 Digicel Group Ltd 8.250% 30/09/2020 1,504,092 1.46400,000 Digicel Group Ltd 7.125% 01/04/2022 371,904 0.36

–––––––––––– ––––––––1,875,996 1.82

–––––––––––– ––––––––Kazakhstan - 0.49% (Dec 2016: 0.69%)

500,000 Tengizchevroil Finance Co International Ltd 4.000% 15/08/2026 502,875 0.49–––––––––––– ––––––––

Kuwait - 2.20% (Dec 2016: 1.79%)

500,000 Ahli United Sukuk Ltd 5.500% 29/12/2049 511,500 0.50700,000 Equate Petrochemical BV 4.250% 03/11/2026 714,350 0.69

1,000,000 NBK Tier 1 Financing Ltd 5.750% 29/12/2049 1,034,250 1.01–––––––––––– ––––––––

2,260,100 2.20–––––––––––– ––––––––

Malaysia - 0.98% (Dec 2016: Nil)

1,000,000 Press Metal Labuan Ltd 4.800% 30/10/2022 1,010,122 0.98–––––––––––– ––––––––

Mexico - 6.07% (Dec 2016: 8.78%)

600,000 Alpek SAB de CV 5.375% 08/08/2023 636,750 0.621,000,000 Banco Mercantil del Norte SA 7.625% 31/12/2099 1,098,750 1.07

700,000 Banco Mercantil del Norte SA 6.875% 31/12/2099 739,375 0.721,392,000 Fermaca Enterprises S de RL de CV 6.375% 30/03/2038 1,504,056 1.461,107,000 Grupo Idesa SA de CV 7.875% 18/12/2020 1,046,115 1.02

250,000 Mexico City Airport Trust 5.500% 31/10/2046 247,812 0.24470,000 Mexico City Airport Trust 5.500% 31/07/2047 466,475 0.45500,000 Petroleos Mexicanos 6.375% 23/01/2045 503,925 0.49

–––––––––––– ––––––––6,243,258 6.07

–––––––––––– ––––––––Morocco - 1.01% (Dec 2016: 2.30%)

900,000 OCP SA 6.875% 25/04/2044 1,035,306 1.01–––––––––––– ––––––––

Panama - 1.12% (Dec 2016: 0.50%)

840,000 Banco General SA 4.125% 07/08/2027 840,991 0.82300,000 Global Bank Corp 4.500% 20/10/2021 306,360 0.30

–––––––––––– ––––––––1,147,351 1.12

–––––––––––– ––––––––Peru - 3.76% (Dec 2016: 4.74%)

450,000 Cia Minera Milpo SAA 4.625% 28/03/2023 464,625 0.451,000,000 Inkia Energy 5.875% 09/11/2027 1,008,260 0.98

500,000 Lima Metro Line 2 Finance Ltd 5.875% 05/07/2034 542,125 0.531,000,000 Nexa Resources SA 5.375% 04/05/2027 1,062,500 1.03

750,000 Volcan Cia Minera SAA 5.375% 02/02/2022 787,500 0.77–––––––––––– ––––––––

3,865,010 3.76–––––––––––– ––––––––

Poland – Nil (Dec 2016: 0.66%)

Portugal – Nil (Dec 2016: 1.40%)

Qatar - 3.35% (Dec 2016: 2.00%)

300,000 CBQ Finance Ltd 7.500% 18/11/2019 321,131 0.311,000,000 Nakilat Inc 6.067% 31/12/2033 1,170,200 1.141,000,000 Ooredoo International Finance Ltd 3.750% 22/06/2026 995,685 0.97







Qatar - 3.35% (Dec 2016: 2.00%) (continued)

400,000 Qatar Reinsurance Co Ltd 4.950% 31/12/2099 402,114 0.39500,000 Ras Laffan Liquefied Natural Gas Co Ltd III 5.838% 30/09/2027 562,500 0.54

–––––––––––– ––––––––3,451,630 3.35

–––––––––––– ––––––––Russia - 6.66% (Dec 2016: 8.76%)

500,000 Alfa Bank AO Via Alfa Bond Issuance Plc 8.000% 29/12/2049 531,179 0.52600,000 Alfa Holding Issuance Plc 2.626% 28/04/2020 733,737 0.71500,000 DME Airport Ltd 5.875% 11/11/2021 529,342 0.52900,000 Evraz Group SA 5.375% 20/03/2023 937,125 0.91

2,000,000 Lukoil International Finance BV 4.563% 24/04/2023 2,081,990 2.02500,000 Polyus Finance Plc 4.699% 28/03/2022 513,512 0.50900,000 Sberbank of Russia Via SB Capital SA 5.500% 26/02/2024 916,335 0.89600,000 VEON Holdings BV 4.950% 16/06/2024 609,900 0.59

–––––––––––– ––––––––6,853,120 6.66

–––––––––––– ––––––––Singapore - 1.01% (Dec 2016: 0.91%)

1,000,000 Oversea-Chinese Banking Corp Ltd 4.250% 19/06/2024 1,040,834 1.01–––––––––––– ––––––––

South Africa - 4.24% (Dec 2016: 1.10%)

650,000 Myriad International Holdings BV 5.500% 21/07/2025 709,234 0.691,000,000 Myriad International Holdings BV 4.850% 06/07/2027 1,039,416 1.011,050,000 Petra Diamonds US Treasury Plc 7.250% 01/05/2022 1,067,850 1.04

500,000 Sasol Financing International Ltd 4.500% 14/11/2022 508,055 0.491,000,000 Stillwater Mining Co 7.125% 27/06/2025 1,039,150 1.01

–––––––––––– ––––––––4,363,705 4.24

–––––––––––– ––––––––South Korea - 1.00% (Dec 2016: 2.17%)

1,000,000 KEB Hana Bank 4.250% 14/10/2024 1,033,636 1.00–––––––––––– ––––––––

Sri Lanka – Nil (Dec 2016: 1.15%)

Supranational - 0.51% (Dec 2016: Nil)

500,000 Eastern and Southern African Trade and Development Bank 5.375% 14/03/2022 523,125 0.51

–––––––––––– ––––––––Thailand – Nil (Dec 2016: 0.47%)

Turkey - 5.25% (Dec 2016: 4.04%)

500,000 Tupras Turkiye Petrol Rafinerileri AS 4.500% 18/10/2024 495,093 0.48878,165 Turkish Airlines 2015-1 Class A Pass Through Trust4.200% 15/09/2028 858,407 0.84

1,000,000 Turkiye Garanti Bankasi AS 6.125% 24/05/2027 1,000,570 0.97400,000 Turkiye Is Bankasi 5.000% 30/04/2020 405,307 0.39800,000 Turkiye Sinai Kalkinma Bankasi AS 5.375% 30/10/2019 812,892 0.79600,000 Turkiye Sise ve Cam Fabrikalari AS 4.250% 09/05/2020 609,386 0.59500,000 Turkiye Vakiflar Bankasi TAO 2.375% 04/05/2021 606,645 0.59600,000 Yasar Holding AS 8.875% 06/05/2020 614,099 0.60

–––––––––––– ––––––––5,402,399 5.25

–––––––––––– ––––––––United Arab Emirates - 5.94% (Dec 2016: 3.22%)

1,000,000 ADCB Finance Cayman Ltd 4.500% 06/03/2023 1,051,250 1.02500,000 DP World Ltd 6.850% 02/07/2037 616,766 0.60500,000 DP World Ltd 6.850% 02/07/2037 616,766 0.60500,000 Emaar Sukuk Ltd 3.635% 15/09/2026 488,903 0.47







United Arab Emirates - 5.94% (Dec 2016: 3.22%) (continued)

1,500,000 Emirates NBD 2014 Tier 1 Ltd 6.375% 17/12/2049 1,550,475 1.51250,000 Emirates NBD Tier 1 Ltd 5.750% 29/05/2049 254,391 0.25800,000 First Abu Dhabi Bank PJSC 5.250% 29/12/2049 813,400 0.79700,000 MAF Global Securities Ltd 7.125% 29/10/2049 717,454 0.70

–––––––––––– ––––––––6,109,405 5.94


1,000,000 Cox Enterprises Inc 0.000% 02/01/2018 999,792 0.97–––––––––––– ––––––––

Uruguay - 1.16% (Dec 2016: Nil)

500,000 Arcos Dorados Holdings Inc 6.625% 27/09/2023 560,380 0.54600,000 Arcos Dorados Holdings Inc 5.875% 04/04/2027 635,797 0.62

–––––––––––– ––––––––1,196,177 1.16

–––––––––––– ––––––––Zambia - 0.84% (Dec 2016: Nil)

800,000 First Quantum Minerals Ltd 7.250% 01/04/2023 864,000 0.84–––––––––––– ––––––––

Total Transferable Securities (Corporate Bonds) 95,333,804 92.65

–––––––––––– ––––––––Government Bonds - 0.99% (Dec 2016: 0.47%)

Romania – Nil (Dec 2016: 0.47%)

Ukraine - 0.99% (Dec 2016: Nil)

1,040,000 Ukraine Government International Bond 7.375% 25/09/2032 1,025,180 0.99–––––––––––– ––––––––

Total Government Bonds 1,025,180 0.99

–––––––––––– ––––––––

Financial Derivative Instruments – (0.05%)% (Dec 2016: 0.15%)

Open Futures Contracts – (0.02)% (Dec 2016: (0.02%))

Notional Average Unrealised

Amount Cost Price Gain/(Loss) % of Net

US$ US$ Description US$ Assets

1,067,774 152.54 7 of U.S. Long Bond FuturesLong Futures ContractsExpiring March 2018 3,226 0.00

4,202,994 116.75 36 of U.S. 5 Year Note FuturesLong Futures ContractsExpiring March 2018 (21,087) (0.02)

5,138,626 107.05 24 of U.S. 2 Year Note FuturesLong Futures ContractsExpiring March 2018 (1) (0.00)

(1,608,140) 123.70 13 of U.S.10 Year Treasury Note FuturesShort Futures ContractsExpiring March 2018 (4,469) (0.00)

–––––––––––– ––––––––Unrealised gain on open futures contracts 3,226 0.00Unrealised loss on open futures contracts (25,557) (0.02)

–––––––––––– ––––––––Net unrealised loss on open futures contracts (22,331) (0.02)

–––––––––––– ––––––––




Open Forward Foreign Currency Exchange Contracts - ((0.04)%) (Dec 2016: 0.13%)

Unrealised



12/01/2018 State Street Bank £ 4,431 US$ 5,982 3 0.0012/01/2018 State Street Bank £ 219,288 US$ 294,739 1,417 0.0012/01/2018 State Street Bank SEK 9,935,731 US$ 1,176,871 34,985 0.0312/01/2018 State Street Bank US$ 3,965,660 € 3,359,590 (67,481) (0.07)12/01/2018 State Street Bank US$ 8,228 SEK 69,626 (264) 0.00

–––––––––––– ––––––––Unrealised gain on open forward foreign currency exchange contracts 36,405 0.03Unrealised loss on open forward foreign currency exchange contracts (67,745) (0.07)

–––––––––––– ––––––––Net unrealised loss on open forward foreign currency exchange contracts (31,340) (0.04)

–––––––––––– ––––––––

Notional Security Termination Fair Value % of Net

Currency Amount Name Premium Date US$ Assets

USD 700,000 Turkey GovernmentInternational Bond 1.000% 20/12/2021 8,308 (0.03)

–––––––––––– ––––––––Credit default swaps at fair value 8,308 (0.03)

–––––––––––– ––––––––Total Financial Derivative Instruments* (45,363) (0.09)

–––––––––––– ––––––––

Fair Value % of Net

US$ Assets

Total Investments 96,313,621 93.60Cash at bank 5,277,257 5.13Cash held at broker 68,426 0.07Other net assets 1,236,763 1.20


–––––––––––– –––––––––––––––––––– ––––––––

Classification

*All financial derivative instruments are traded over the counter (“OTC”).The counterparty for the open forward foreign currency exchange contracts is State Street Bank.The broker for open futures contracts is Goldman Sachs.The counterparty for credit default swaps is BNP Paribas.


Transferable securities admitted to an official stock exchange listing 68.96Transferable securities dealt in on another regulated market 23.03Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) 1.50Exchange traded financial derivative instruments 0.00OTC financial derivative instruments 0.04Other assets 6.47


––––––––––––––––




Barings Umbrella Fund PlcBarings Emerging Markets Local Debt Fund





El Salvador - 0.02% (31 Dec 2016: Nil)


Ghana - 0.32% (31 Dec 2016: Nil)

13,000,000 ESLA Plc 19.000% 23/10/2024 2,808,571 0.32–––––––––––– ––––––––

United States - Nil (31 Dec 2016: 10.71%)


–––––––––––– ––––––––

Transferable Securities (Government Bonds)- 95.77% (31 Dec 2016: 85.95%)

Argentina - 2.44% (31 Dec 2016: Nil)

265,121,000 Argentine Bonos del Tesoro 16.000% 17/10/2023 14,576,374 1.64127,300,000 Argentine Bonos del Tesoro 15.500% 17/10/2026 7,032,776 0.80

–––––––––––– ––––––––21,609,150 2.44

–––––––––––– ––––––––Brazil - 8.18% (31 Dec 2016: 4.94%)

71,291,000 Brazil Notas do Tesouro Nacional Serie B 6.000% 15/08/2050 72,116,989 8.18–––––––––––– ––––––––

Chile - 4.12% (31 Dec 2016: 0.52%)

20,600,000,000 Bonos de la Tesoreria de la Republica en pesos 4.500% 01/03/2021 34,830,800 3.95

855,300,000 Chile Government International Bond 5.500% 05/08/2020 1,460,776 0.17–––––––––––– ––––––––

36,291,576 4.12–––––––––––– ––––––––

Colombia - 7.31% (31 Dec 2016: 7.51%)

86,630,000,000 Colombian TES 7.750% 18/09/2030 31,619,442 3.5917,500,000,000 Colombian TES 7.000% 30/06/2032 5,928,832 0.6718,257,341,625 Colombian TES 3.000% 25/03/2033 5,753,472 0.6554,437,916,780 Colombian TES 4.750% 04/04/2035 21,129,403 2.40

–––––––––––– ––––––––64,431,149 7.31

–––––––––––– ––––––––Croatia – Nil (31 Dec 2016: 1.53%)

El Salvador - 1.17% (31 Dec 2016: Nil)

4,310,000 El Salvador Government International Bond 8.625% 28/02/2029 5,070,737 0.574,545,000 El Salvador Government International Bond 8.250% 10/04/2032 5,249,475 0.60

–––––––––––– ––––––––10,320,212 1.17

–––––––––––– ––––––––Ghana - 1.39% (31 Dec 2016: 0.80%)

16,215,000 Ghana Government Bond 21.500% 09/03/2020 3,878,298 0.442,600,000 Ghana Government Bond 24.750% 01/03/2021 681,565 0.08

13,730,000 Ghana Government Bond 24.750% 19/07/2021 3,661,136 0.4217,237,000 Ghana Government Bond 18.250% 25/07/2022 3,981,261 0.45

–––––––––––– ––––––––12,202,260 1.39

–––––––––––– ––––––––Hungary - 0.35% (31 Dec 2016: 2.22%)

751,650,000 Hungary Government Bond 5.500% 20/12/2018 3,063,533 0.35–––––––––––– ––––––––






Transferable Securities (Government Bonds) - 95.77% (31 Dec 2016: 85.95%) (continued)

Indonesia - 9.00% (31 Dec 2016: 8.50%)

12,750,000,000 Indonesia Treasury Bond 8.250% 15/07/2021 1,010,697 0.1123,600,000,000 Indonesia Treasury Bond 7.000% 15/05/2022 1,813,378 0.2152,200,000,000 Indonesia Treasury Bond 8.375% 15/03/2024 4,290,846 0.4972,000,000,000 Indonesia Treasury Bond 7.000% 15/05/2027 5,568,318 0.6392,000,000,000 Indonesia Treasury Bond 9.000% 15/03/2029 7,996,355 0.9189,700,000,000 Indonesia Treasury Bond 7.500% 15/08/2032 6,976,667 0.79371,605,000,000 Indonesia Treasury Bond 8.375% 15/03/2034 30,710,308 3.47141,180,000,000 Indonesia Treasury Bond 8.250% 15/05/2036 11,610,058 1.3234,000,000,000 Indonesia Treasury Bond 9.500% 15/05/2041 3,111,185 0.3552,000,000,000 Indonesia Treasury Bond 6.375% 15/04/2042 3,416,842 0.3934,500,000,000 Indonesia Treasury Bond 8.750% 15/02/2044 2,934,439 0.33

–––––––––––– ––––––––79,439,093 9.00

–––––––––––– ––––––––Malaysia - 6.27% (31 Dec 2016: 7.13%)

23,828,000 Malaysia Government Bond 3.418% 15/08/2022 5,820,108 0.663,920,000 Malaysia Government Bond 4.181% 15/07/2024 983,632 0.116,000,000 Malaysia Government Bond 3.955% 15/09/2025 1,475,908 0.173,200,000 Malaysia Government Bond 4.392% 15/04/2026 804,974 0.09

17,060,000 Malaysia Government Bond 3.892% 15/03/2027 4,120,589 0.4712,985,000 Malaysia Government Bond 4.498% 15/04/2030 3,216,548 0.3616,080,000 Malaysia Government Bond 3.844% 15/04/2033 3,733,266 0.4231,095,000 Malaysia Government Bond 4.254% 31/05/2035 7,389,169 0.8483,784,000 Malaysia Government Bond 4.935% 30/09/2043 20,983,099 2.3728,300,000 Malaysia Government Bond 4.736% 15/03/2046 6,907,658 0.78

–––––––––––– ––––––––55,434,951 6.27

–––––––––––– ––––––––Mexico - 11.67% (31 Dec 2016: 14.75%)

273,010,000 Mexican Bonos 7.500% 03/06/2027 13,821,947 1.57654,700,000 Mexican Bonos 7.750% 29/05/2031 33,568,245 3.8012,650,000 Mexican Bonos 10.000% 20/11/2036 791,105 0.09

107,500,000 Mexican Bonos 8.500% 18/11/2038 5,907,955 0.67957,370,000 Mexican Bonos 7.750% 13/11/2042 48,831,160 5.54

–––––––––––– ––––––––102,920,412 11.67

–––––––––––– ––––––––Nigeria - 1.38% (31 Dec 2016: Nil)

1,109,334,000 Nigeria Treasury Bill 0.000% 14/06/2018 2,878,167 0.331,109,334,000 Nigeria Treasury Bill 0.000% 21/06/2018 2,886,580 0.332,447,372,000 Nigeria Treasury Bill 0.000% 05/07/2018 6,312,520 0.72

–––––––––––– ––––––––12,077,267 1.38

–––––––––––– ––––––––Peru - 3.94% (31 Dec 2016: 3.44%)

55,770,000 Peru Government Bond 6.950% 12/08/2031 19,639,249 2.2344,805,000 Peru Government Bond 6.850% 12/02/2042 15,102,223 1.71

–––––––––––– ––––––––34,741,472 3.94

–––––––––––– ––––––––Poland - 2.28% (31 Dec 2016: 6.40%)

69,046,000 Poland Government Bond 2.500% 25/07/2018 20,082,316 2.28–––––––––––– ––––––––





Romania - 0.30% (31 Dec 2016: 0.95%)

9,950,000 Romania Government Bond 5.600% 28/11/2018 2,645,144 0.30–––––––––––– ––––––––

Russia - 12.70% (31 Dec 2016: 6.81%)

378,417,000 Russian Federal Bond - OFZ 7.000% 16/08/2023 6,589,453 0.754,728,000,000 Russian Federal Bond - OFZ 7.000% 16/08/2023 82,329,635 9.331,228,800,000 Russian Federal Bond - OFZ 8.500% 17/09/2031 23,104,866 2.62

–––––––––––– ––––––––112,023,954 12.70

–––––––––––– ––––––––Serbia - 0.81% (31 Dec 2016: Nil)

674,920,000 Serbia Treasury Bonds 5.750% 21/07/2023 7,138,026 0.81–––––––––––– ––––––––

South Africa - 15.74% (31 Dec 2016: 12.45%)

437,267,000 Republic of South Africa Government Bond 6.250% 31/03/2036 25,516,345 2.8811,000,000 Republic of South Africa Government Bond 6.500% 28/02/2041 628,765 0.07

1,457,600,000 Republic of South Africa Government Bond 6.500% 28/02/2041 83,317,034 9.44154,075,000 Republic of South Africa Government Bond 8.750% 28/02/2048 11,280,634 1.28249,000,000 Republic of South Africa Government Bond 8.750% 28/02/2048 18,230,588 2.07

–––––––––––– ––––––––138,973,366 15.74

–––––––––––– ––––––––Thailand - 1.06% (31 Dec 2016: 2.27%)

312,111,204 Thailand Government Bond 1.250% 12/03/2028 9,320,963 1.06–––––––––––– ––––––––

Turkey - 5.66% (31 Dec 2016: 4.03%)

32,000,000 Turkey Government Bond 8.800% 14/11/2018 8,127,440 0.9228,000,000 Turkey Government Bond 10.700% 17/02/2021 7,011,816 0.80

138,000,000 Turkey Government Bond 10.700% 17/08/2022 34,731,116 3.94–––––––––––– ––––––––

49,870,372 5.66–––––––––––– ––––––––

Ukraine - Nil (31 Dec 2016: 1.70%)

–––––––––––– ––––––––Total Transferable Securities (Government Bonds) 844,702,205 95.77


–––––––––––– ––––––––

Financial Derivative Instruments* - (0.36)% (31 Dec 2016: 0.47%)

Open Forward Foreign Currency Exchange Contracts – (0.30)% (31 Dec 2016: 0.32%)

Unrealised



15/06/2018 JPMorgan ARS 487,500,000 US$ 26,000,000 (2,218,555) (0.26)09/01/2018 JPMorgan BRL 59,127,514 US$ 18,681,089 (867,764) (0.10)09/01/2018 Goldman Sachs BRL 16,225,357 US$ 4,908,000 (19,793) (0.00)09/01/2018 JPMorgan BRL 7,251,960 US$ 2,168,000 16,795 0.0009/01/2018 Goldman Sachs BRL 4,860,764 US$ 1,480,000 (15,599) (0.00)09/01/2018 Barclays Bank BRL 3,962,196 US$ 1,236,000 (42,311) (0.00)09/01/2018 JPMorgan BRL 2,904,836 US$ 887,000 (11,861) (0.00)09/01/2018 Bank of America COP 27,668,095,600 US$ 9,046,000 219,434 0.0206/03/2018 Bank of America CZK 221,396,885 € 8,290,000 451,829 0.0606/03/2018 BNP Paribas CZK 187,156,825 € 7,123,000 243,256 0.0406/03/2018 BNP Paribas CZK 163,729,560 € 6,168,000 289,191 0.04




Financial Derivative Instruments* - (0.36)% (31 Dec 2016: 0.47%) (continued)

Open Forward Foreign Currency Exchange Contracts – (0.30)% (31 Dec 2016: 0.32%) (continued)

Unrealised



06/03/2018 BNP Paribas CZK 122,881,355 € 4,709,000 120,838 0.0106/03/2018 Bank of America CZK 117,375,105 € 4,519,000 90,106 0.0106/03/2018 Bank of America CZK 78,230,709 € 3,057,000 5,730 0.0006/03/2018 Bank of America CZK 74,931,782 € 2,943,000 (12,482) (0.00)06/03/2018 Goldman Sachs CZK 73,366,591 € 2,854,000 20,951 0.0006/03/2018 HSBC Bank CZK 62,611,340 € 2,447,000 4,160 0.0006/03/2018 Bank of America CZK 58,500,821 € 2,259,272 36,520 0.0006/03/2018 Barclays Bank CZK 42,388,844 € 1,629,000 36,146 0.0006/03/2018 JPMorgan CZK 38,930,998 € 1,485,000 46,592 0.0106/03/2018 BNP Paribas CZK 37,097,076 € 1,450,000 2,274 0.0006/03/2018 JPMorgan CZK 34,025,400 € 1,309,000 27,319 0.0006/03/2018 Bank of America CZK 28,049,161 € 1,078,000 23,830 0.0006/03/2018 JPMorgan CZK 26,472,276 € 1,018,000 21,763 0.0006/03/2018 Bank of America CZK 24,839,071 € 928,000 53,194 0.0106/03/2018 Citibank CZK 19,162,864 € 738,000 14,446 0.0016/01/2018 Goldman Sachs EGP 101,793,754 US$ 5,625,518 75,841 0.0116/01/2018 Bank of America EGP 101,793,754 US$ 5,623,032 78,327 0.0116/01/2018 Bank of America EGP 23,886,800 US$ 1,330,000 7,874 0.0016/01/2018 JPMorgan EGP 22,717,800 US$ 1,260,000 12,400 0.0016/01/2018 Bank of America EGP 17,463,917 US$ 974,000 4,135 0.0016/01/2018 Bank of America EGP 16,987,225 US$ 953,000 (1,564) (0.00)16/01/2018 JPMorgan EGP 13,568,135 US$ 749,000 10,937 0.0016/01/2018 Citibank EGP 10,393,600 US$ 580,000 2,134 0.0006/03/2018 Bank of America € 16,068,000 CZK 412,626,240 (97,810) (0.01)16/01/2018 JPMorgan € 707,000 PLN 3,013,788 (17,724) (0.00)16/01/2018 Goldman Sachs € 705,000 RON 3,258,630 9,155 0.0002/01/2018 State Street Bank € 1,439 US$ 1,703 25 0.0003/01/2018 State Street Bank € 41,300 US$ 49,305 289 0.0012/01/2018 State Street Bank € 53,087,988 US$ 62,767,733 1,014,178 0.1212/01/2018 State Street Bank € 43,452,751 US$ 51,374,622 831,152 0.1012/01/2018 State Street Bank € 2,660,927 US$ 3,146,041 50,897 0.0112/01/2018 State Street Bank € 818,963 US$ 970,108 13,826 0.0012/01/2018 State Street Bank € 697,009 US$ 824,118 13,295 0.0012/01/2018 State Street Bank € 672,394 US$ 796,488 11,351 0.0012/01/2018 State Street Bank € 417,839 US$ 501,590 417 0.0012/01/2018 State Street Bank € 341,193 US$ 409,582 341 0.0012/01/2018 State Street Bank € 305,669 US$ 361,574 5,669 0.0012/01/2018 State Street Bank € 270,679 US$ 323,293 1,910 0.0012/01/2018 State Street Bank € 251,812 US$ 297,866 4,670 0.0012/01/2018 State Street Bank € 229,170 US$ 271,028 4,305 0.0012/01/2018 State Street Bank € 180,811 US$ 213,167 4,066 0.0012/01/2018 State Street Bank € 132,610 US$ 157,900 1,423 0.0012/01/2018 State Street Bank € 108,973 US$ 128,176 2,748 0.0012/01/2018 State Street Bank € 97,258 US$ 115,212 1,638 0.0012/01/2018 State Street Bank € 97,177 US$ 115,145 1,607 0.0012/01/2018 State Street Bank € 90,758 US$ 107,866 1,174 0.0012/01/2018 State Street Bank € 80,292 US$ 95,061 1,404 0.0012/01/2018 State Street Bank € 42,749 US$ 50,545 815 0.0012/01/2018 State Street Bank € 41,151 US$ 48,745 695 0.0012/01/2018 State Street Bank € 38,586 US$ 45,553 806 0.0012/01/2018 State Street Bank € 31,546 US$ 37,259 641 0.0012/01/2018 State Street Bank € 20,878 US$ 25,063 21 0.0012/01/2018 State Street Bank € 15,421 US$ 18,241 286 0.0012/01/2018 State Street Bank € 902 US$ 1,066 17 0.0012/01/2018 State Street Bank € 902 US$ 1,066 17 0.00






Unrealised



12/01/2018 State Street Bank € 901 US$ 1,065 17 0.0012/01/2018 State Street Bank € 15 US$ 17 - 0.0012/01/2018 State Street Bank € 14 US$ 16 - 0.0012/01/2018 State Street Bank € 14 US$ 16 - 0.0012/01/2018 State Street Bank € 7 US$ 8 - 0.0012/01/2018 State Street Bank € 7 US$ 8 - 0.0012/01/2018 State Street Bank € 5 US$ 6 - 0.0012/01/2018 State Street Bank € 5 US$ 6 - 0.0012/01/2018 State Street Bank € 2 US$ 3 - 0.0012/01/2018 State Street Bank € 2 US$ 3 - 0.0016/01/2018 Goldman Sachs € 106,566,333 US$ 126,493,172 1,568,957 0.1916/01/2018 JPMorgan € 11,300,115 US$ 13,362,000 217,494 0.0216/01/2018 HSBC Bank € 10,657,848 US$ 12,614,000 193,672 0.0216/01/2018 Bank of America € 8,549,692 US$ 9,968,000 306,274 0.0416/01/2018 JPMorgan € 7,988,820 US$ 9,500,000 100,268 0.0116/01/2018 Bank of America € 5,037,742 US$ 5,863,000 190,919 0.0216/01/2018 JPMorgan € 2,038,513 US$ 2,388,025 61,682 0.0116/01/2018 Barclays Bank € 1,720,952 US$ 2,047,690 20,400 0.0016/01/2018 BNP Paribas € 1,389,060 US$ 1,641,000 28,252 0.0012/01/2018 National Australia Bank

Limited £ 56,169 US$ 75,494 510 0.0012/01/2018 State Street Bank £ 56,168 US$ 75,494 509 0.0012/01/2018 State Street Bank £ 1,747 US$ 2,335 29 0.0012/01/2018 National Australia Bank

Limited £ 1,121 US$ 1,507 10 0.0012/01/2018 State Street Bank £ 1,121 US$ 1,507 10 0.0012/01/2018 National Australia Bank

Limited £ 882 US$ 1,192 1 0.0012/01/2018 State Street Bank £ 802 US$ 1,075 10 0.0012/01/2018 State Street Bank £ 651 US$ 877 4 0.0012/01/2018 State Street Bank £ 6 US$ 8 - 0.0016/01/2018 Bank of America HRK 75,755,270 € 10,063,000 135,100 0.0216/01/2018 Goldman Sachs HRK 8,508,504 € 1,128,000 17,857 0.0016/01/2018 Bank of America HRK 7,993,967 € 1,059,000 17,722 0.0016/01/2018 Citibank HRK 6,922,582 € 916,000 16,630 0.0016/01/2018 BNP Paribas HRK 6,195,677 € 821,000 13,461 0.0016/01/2018 Goldman Sachs HRK 3,661,750 € 485,000 8,226 0.0016/01/2018 Goldman Sachs HUF 7,784,783,300 € 25,089,373 4,379 0.0016/01/2018 JPMorgan HUF 1,503,134,092 € 4,784,000 73,442 0.0116/01/2018 Bank of America HUF 1,416,390,166 € 4,496,000 83,530 0.0116/01/2018 HSBC Bank HUF 1,116,743,454 € 3,590,000 11,591 0.0016/01/2018 Bank of America HUF 887,747,541 € 2,845,000 19,845 0.0016/01/2018 Citibank HUF 860,606,004 € 2,796,000 (26,405) (0.00)16/01/2018 HSBC Bank HUF 663,319,175 € 2,125,000 15,748 0.0016/01/2018 Bank of America HUF 1,240,900,015 US$ 4,653,038 153,627 0.0216/01/2018 Goldman Sachs HUF 1,224,955,209 US$ 4,591,286 153,616 0.0216/01/2018 Citibank HUF 819,417,728 US$ 3,065,029 109,011 0.0116/01/2018 BNP Paribas HUF 409,748,690 US$ 1,526,958 60,217 0.0116/01/2018 Goldman Sachs HUF 409,713,933 US$ 1,533,144 53,896 0.0116/01/2018 Goldman Sachs HUF 306,733,642 US$ 1,173,162 14,981 0.0023/01/2018 JPMorgan IDR 139,756,691,370 US$ 10,249,849 71,153 0.0123/01/2018 JPMorgan IDR 14,731,868,000 US$ 1,081,000 6,945 0.0023/01/2018 HSBC Bank IDR 14,514,401,000 US$ 1,067,000 4,885 0.0023/01/2018 JPMorgan IDR 12,855,919,000 US$ 943,000 6,407 0.0023/01/2018 JPMorgan IDR 7,636,893,000 US$ 561,000 2,983 0.00






Unrealised



23/01/2018 Goldman Sachs JPY 1,929,912,287 US$ 17,259,283 (112,101) (0.01)23/01/2018 Barclays Bank JPY 222,509,587 US$ 1,985,000 (8,013) (0.00)23/01/2018 JPMorgan JPY 209,097,754 US$ 1,861,000 (3,176) (0.00)23/01/2018 JPMorgan JPY 166,652,281 US$ 1,471,000 9,698 0.0023/01/2018 JPMorgan JPY 129,340,296 US$ 1,154,000 (4,817) (0.00)23/01/2018 JPMorgan JPY 104,048,350 US$ 926,000 (1,535) (0.00)23/01/2018 BNP Paribas JPY 98,985,298 US$ 874,000 5,480 0.0023/01/2018 JPMorgan KZT 6,520,587,185 US$ 19,234,770 291,219 0.0323/01/2018 JPMorgan KZT 3,260,293,592 US$ 9,630,169 132,826 0.0223/01/2018 Goldman Sachs KZT 652,387,500 US$ 1,933,000 20,584 0.0023/01/2018 JPMorgan KZT 651,854,750 US$ 1,913,000 38,988 0.0023/01/2018 JPMorgan KZT 614,833,900 US$ 1,822,000 19,129 0.0023/01/2018 JPMorgan KZT 545,400,000 US$ 1,616,000 17,208 0.0023/01/2018 Goldman Sachs KZT 324,531,000 US$ 963,000 8,813 0.0009/01/2018 Goldman Sachs MXN 162,023,212 US$ 8,757,585 (485,976) (0.07)09/01/2018 JPMorgan MXN 114,722,708 US$ 5,926,000 (69,176) (0.01)09/01/2018 Citibank MXN 59,768,583 US$ 3,123,000 (71,694) (0.01)09/01/2018 HSBC Bank MXN 51,849,495 US$ 2,728,000 (80,980) (0.01)09/01/2018 JPMorgan MXN 40,267,693 US$ 2,083,000 (27,254) (0.00)09/01/2018 JPMorgan MXN 38,638,400 US$ 1,992,000 (19,432) (0.00)09/01/2018 HSBC Bank MXN 528,360 US$ 27,791 (818) (0.00)23/01/2018 Goldman Sachs MYR 101,968,748 US$ 24,234,997 917,630 0.1123/01/2018 Goldman Sachs MYR 11,050,398 US$ 2,621,000 104,801 0.0123/01/2018 Morgan Stanley MYR 10,669,558 US$ 2,551,000 80,859 0.0123/01/2018 Morgan Stanley MYR 9,939,870 US$ 2,357,000 94,867 0.0123/01/2018 Goldman Sachs MYR 8,633,955 US$ 2,121,000 8,737 0.0023/01/2018 Morgan Stanley MYR 8,144,493 US$ 1,994,000 15,002 0.0023/01/2018 Goldman Sachs MYR 6,760,839 US$ 1,617,000 50,696 0.0123/01/2018 JPMorgan NZD 11,921,896 US$ 8,363,000 113,822 0.0123/01/2018 Goldman Sachs NZD 9,221,741 US$ 6,299,851 257,081 0.0409/01/2018 Goldman Sachs PEN 14,786,850 US$ 4,517,828 43,983 0.0023/01/2018 Goldman Sachs PHP 678,378,095 US$ 13,068,351 534,851 0.0723/01/2018 Barclays Bank PHP 45,536,471 US$ 877,000 36,122 0.0016/01/2018 JPMorgan PLN 200,730,503 € 46,505,225 1,882,085 0.2216/01/2018 JPMorgan PLN 33,079,018 € 7,822,000 119,976 0.0116/01/2018 BNP Paribas PLN 31,076,323 € 7,368,000 89,201 0.0116/01/2018 HSBC Bank PLN 24,891,956 € 5,851,000 132,407 0.0216/01/2018 Bank of America PLN 19,217,879 € 4,519,000 100,152 0.0116/01/2018 Bank of America PLN 15,389,858 € 3,620,000 78,830 0.0116/01/2018 HSBC Bank PLN 14,679,936 € 3,455,000 72,805 0.0116/01/2018 Goldman Sachs PLN 17,306,801 US$ 4,794,418 186,287 0.0216/01/2018 JPMorgan RON 58,397,001 € 12,667,187 (203,815) (0.02)16/01/2018 BNP Paribas RON 7,728,076 € 1,666,000 (14,551) (0.00)16/01/2018 JPMorgan RON 7,268,240 € 1,566,000 (12,641) (0.00)16/01/2018 BNP Paribas RON 5,808,244 € 1,261,000 (21,599) (0.00)16/01/2018 Bank of America RON 4,676,208 € 1,012,000 (13,509) (0.00)16/01/2018 Bank of America RON 4,166,086 € 896,000 (5,303) (0.00)16/01/2018 BNP Paribas RON 3,447,061 € 742,000 (5,158) (0.00)16/01/2018 Deutsche Bank RON 603,945 US$ 155,515 (193) (0.00)16/01/2018 Citibank RSD 565,933,147 € 4,706,305 90,258 0.0116/01/2018 Citibank RSD 565,933,147 € 4,705,913 90,728 0.0116/01/2018 Goldman Sachs RSD 134,372,210 € 1,127,000 9,942 0.0016/01/2018 JPMorgan RSD 127,227,600 € 1,062,000 15,515 0.0016/01/2018 Goldman Sachs RSD 100,520,400 € 844,000 6,332 0.0016/01/2018 Goldman Sachs RSD 97,716,000 € 816,000 11,507 0.00






Unrealised



16/01/2018 Citibank RSD 79,069,081 € 662,000 7,250 0.0016/01/2018 Goldman Sachs RSD 59,610,000 € 500,000 4,360 0.0016/01/2018 JPMorgan RUB 89,486,445 US$ 1,483,000 69,945 0.0112/01/2018 State Street Bank SEK 4,474,482 US$ 529,995 16,799 0.0012/01/2018 State Street Bank SEK 67,002 US$ 7,963 225 0.0012/01/2018 State Street Bank SEK 33,485 US$ 4,091 1 0.0012/01/2018 State Street Bank SEK 25,321 US$ 3,017 77 0.0016/01/2018 Goldman Sachs SEK 98,804,779 US$ 11,865,000 212,065 0.0216/01/2018 Citibank SEK 11,120,642 US$ 1,325,000 34,294 0.0016/01/2018 Deutsche Bank SEK 10,544,669 US$ 1,250,000 38,892 0.0016/01/2018 Citibank SEK 9,654,042 US$ 1,158,000 22,029 0.0016/01/2018 Deutsche Bank SEK 8,020,539 US$ 960,000 20,363 0.0016/01/2018 Citibank SEK 4,757,136 US$ 570,000 11,472 0.0023/01/2018 Goldman Sachs SGD 11,679,494 US$ 8,615,102 127,100 0.0123/01/2018 JPMorgan SGD 780,936 US$ 576,000 8,537 0.0023/01/2018 Citibank THB 1,207,978,638 US$ 36,516,887 569,184 0.0623/01/2018 BNP Paribas THB 185,472,144 US$ 5,720,000 (25,832) (0.00)23/01/2018 HSBC Bank THB 174,468,043 US$ 5,363,000 (6,668) (0.00)23/01/2018 BNP Paribas THB 134,993,373 US$ 4,082,000 62,422 0.0123/01/2018 BNP Paribas THB 113,155,770 US$ 3,427,000 46,988 0.0123/01/2018 JPMorgan THB 100,937,219 US$ 3,050,000 48,867 0.0123/01/2018 BNP Paribas THB 80,080,039 US$ 2,422,000 36,532 0.0023/01/2018 BNP Paribas THB 51,340,805 US$ 1,546,000 30,211 0.0023/01/2018 Citibank THB 37,179,485 US$ 1,141,000 445 0.0016/01/2018 Bank of America TRY 109,778,032 US$ 29,139,711 (306,108) (0.03)16/01/2018 HSBC Bank TRY 30,029,688 US$ 7,663,000 224,408 0.0316/01/2018 Citibank TRY 19,742,450 US$ 5,063,000 122,427 0.0116/01/2018 Goldman Sachs TRY 18,099,370 US$ 4,635,000 118,866 0.0116/01/2018 Goldman Sachs TRY 17,248,511 US$ 4,386,000 144,385 0.0216/01/2018 JPMorgan TRY 16,970,614 US$ 4,268,000 189,394 0.0216/01/2018 BNP Paribas TRY 13,860,582 US$ 3,697,000 (56,467) (0.01)16/01/2018 Citibank TRY 12,634,352 US$ 3,197,000 121,459 0.0116/01/2018 JPMorgan TRY 10,614,815 US$ 2,693,000 95,020 0.0123/01/2018 Goldman Sachs US$ 14,534,351 AUD 19,182,754 (469,921) (0.05)23/01/2018 Deutsche Bank US$ 1,343,000 AUD 1,751,293 (26,818) (0.00)23/01/2018 JPMorgan US$ 1,255,000 AUD 1,668,703 (50,218) (0.01)16/01/2018 Goldman Sachs US$ 11,484,537 CHF 11,098,886 85,585 0.0116/01/2018 Barclays Bank US$ 1,334,000 CHF 1,315,638 (17,207) (0.00)16/01/2018 BNP Paribas US$ 1,249,000 CHF 1,234,877 (19,263) (0.00)16/01/2018 BNP Paribas US$ 966,000 CHF 959,702 (19,648) (0.00)16/01/2018 Citibank US$ 937,000 CHF 920,448 (8,333) (0.00)16/01/2018 JPMorgan US$ 762,000 CHF 738,964 3,058 0.0016/01/2018 JPMorgan US$ 573,000 CHF 570,228 (12,644) (0.00)09/01/2018 Goldman Sachs US$ 13,492,480 CLP 8,517,398,051 (357,398) (0.04)09/01/2018 Bank of America US$ 13,360,624 CLP 8,517,398,051 (489,254) (0.07)09/01/2018 BNP Paribas US$ 2,695,000 CLP 1,719,410,000 (100,879) (0.01)09/01/2018 BNP Paribas US$ 2,517,000 CLP 1,648,635,000 (163,795) (0.02)09/01/2018 Goldman Sachs US$ 2,273,000 CLP 1,440,786,510 (69,818) (0.01)09/01/2018 JPMorgan US$ 1,009,000 CLP 656,465,490 (58,458) (0.01)23/01/2018 Bank of America US$ 12,032,000 CNH 80,376,166 (299,416) (0.03)23/01/2018 HSBC Bank US$ 1,336,000 CNH 8,851,878 (22,067) (0.00)23/01/2018 HSBC Bank US$ 1,252,000 CNH 8,308,258 (22,664) (0.00)23/01/2018 JPMorgan US$ 981,000 CNH 6,531,134 (21,015) (0.00)23/01/2018 BNP Paribas US$ 889,000 CNH 5,899,706 (16,141) (0.00)23/01/2018 HSBC Bank US$ 580,000 CNH 3,864,021 (12,823) (0.00)






Unrealised



09/01/2018 JPMorgan US$ 9,639,776 COP28,769,911,176 5,368 0.0009/01/2018 HSBC Bank US$ 1,458,000 COP 4,376,493,180 (7,591) (0.00)09/01/2018 Bank of America US$ 1,362,000 COP 4,112,559,000 (15,205) (0.00)09/01/2018 JPMorgan US$ 1,224,000 COP 3,600,053,280 18,422 0.0009/01/2018 Citibank US$ 1,101,000 COP 3,344,838,000 (19,112) (0.00)09/01/2018 JPMorgan US$ 657,000 COP 1,994,652,000 (10,965) (0.00)02/01/2018 State Street Bank US$ 115,095 € 97,258 (1,692) (0.00)03/01/2018 State Street Bank US$ 323,136 € 270,679 (1,895) (0.00)12/01/2018 State Street Bank US$ 509,180 € 431,818 (9,623) (0.00)12/01/2018 State Street Bank US$ 397,475 € 337,284 (7,751) (0.00)12/01/2018 State Street Bank US$ 368,413 € 310,606 (4,761) (0.00)12/01/2018 State Street Bank US$ 300,209 € 253,104 (3,880) (0.00)12/01/2018 State Street Bank US$ 271,926 € 230,612 (5,139) (0.00)12/01/2018 State Street Bank US$ 54,807 € 46,403 (943) (0.00)12/01/2018 State Street Bank US$ 51,853 € 43,548 (467) (0.00)12/01/2018 State Street Bank US$ 51,625 € 43,569 (721) (0.00)12/01/2018 State Street Bank US$ 49,328 € 41,300 (291) (0.00)12/01/2018 State Street Bank US$ 32,094 € 27,107 (474) (0.00)12/01/2018 State Street Bank US$ 24,341 € 20,655 (475) (0.00)12/01/2018 State Street Bank US$ 19,077 € 16,219 (409) (0.00)12/01/2018 State Street Bank US$ 18,679 € 15,822 (331) (0.00)12/01/2018 State Street Bank US$ 18,370 € 15,488 (237) (0.00)12/01/2018 State Street Bank US$ 16,652 € 14,122 (315) (0.00)12/01/2018 State Street Bank US$ 13,208 € 11,113 (144) (0.00)12/01/2018 State Street Bank US$ 2,422 € 2,055 (46) (0.00)12/01/2018 State Street Bank US$ 1,705 € 1,439 (24) (0.00)12/01/2018 State Street Bank US$ 1,323 € 1,122 (25) (0.00)12/01/2018 State Street Bank US$ 8 € 7 - 0.0012/01/2018 State Street Bank US$ 8 € 7 - 0.0012/01/2018 State Street Bank US$ 8 € 7 - 0.0012/01/2018 State Street Bank US$ 6 € 5 - 0.0012/01/2018 State Street Bank US$ 6 € 5 - 0.0012/01/2018 State Street Bank US$ 6 € 5 - 0.0012/01/2018 State Street Bank US$ 6 € 5 - 0.0016/01/2018 Bank of America US$ 25,147,095 € 21,202,927 (332,734) (0.04)16/01/2018 JPMorgan US$ 23,618,000 € 19,855,690 (242,837) (0.03)16/01/2018 JPMorgan US$ 11,997,660 € 10,261,795 (334,071) (0.04)12/01/2018 State Street Bank US$ 1,163 £ 866 (9) (0.00)12/01/2018 National Australia Bank

Limited US$ 868 £ 648 (9) (0.00)12/01/2018 State Street Bank US$ 792 £ 591 (8) (0.00)12/01/2018 State Street Bank US$ 7 £ 5 - 0.0023/01/2018 JPMorgan US$ 24,378,602 HKD 189,961,686 68,174 0.0123/01/2018 HSBC Bank US$ 1,975,000 HKD 15,390,274 5,423 0.0023/01/2018 JPMorgan US$ 1,172,000 HKD 9,132,311 3,289 0.0023/01/2018 JPMorgan US$ 5,332,000 IDR 73,021,740,000 (60,640) (0.01)16/01/2018 Bank of America US$ 16,973,195 ILS 59,106,944 (60,673) (0.01)16/01/2018 Bank of America US$ 1,994,000 ILS 7,022,120 (29,686) (0.00)16/01/2018 Deutsche Bank US$ 1,882,000 ILS 6,605,726 (21,686) (0.00)16/01/2018 HSBC Bank US$ 1,473,000 ILS 5,155,793 (12,834) (0.00)16/01/2018 Bank of America US$ 1,405,000 ILS 4,898,549 (6,699) (0.00)16/01/2018 Bank of America US$ 1,136,000 ILS 3,951,448 (2,757) (0.00)16/01/2018 JPMorgan US$ 873,000 ILS 3,057,493 (8,130) (0.00)19/01/2018 JPMorgan US$ 768,000 INR 50,407,680 (21,000) (0.00)23/01/2018 JPMorgan US$ 11,509,087 INR 755,916,847 (319,672) (0.04)






Unrealised



23/01/2018 Bank of America US$ 7,808,000 INR 506,583,040 (119,127) (0.01)23/01/2018 JPMorgan US$ 2,007,000 INR 129,451,500 (18,687) (0.00)23/01/2018 Goldman Sachs US$ 1,882,000 INR 121,972,420 (26,652) (0.00)23/01/2018 Barclays Bank US$ 1,001,000 INR 65,644,579 (26,221) (0.00)23/01/2018 BNP Paribas US$ 592,000 INR 38,776,000 (14,776) (0.00)23/01/2018 Bank of America US$ 14,082,000 KRW15,453,586,800 (372,763) (0.04)23/01/2018 Goldman Sachs US$ 1,300,000 KRW 1,415,947,000 (24,429) (0.00)23/01/2018 JPMorgan US$ 1,224,000 KRW 1,337,158,800 (26,733) (0.00)23/01/2018 Bank of America US$ 6,651,000 KZT 2,267,924,490 (140,332) (0.02)23/01/2018 Bank of America US$ 4,032,000 KZT 1,373,460,480 (80,847) (0.01)23/01/2018 Citibank US$ 1,548,000 KZT 521,381,880 (13,285) (0.00)09/01/2018 JPMorgan US$ 1,633,000 MXN 30,706,799 65,357 0.0123/01/2018 Goldman Sachs US$ 18,545,000 MYR 75,904,685 (178,405) (0.02)23/01/2018 Goldman Sachs US$ 4,392,000 MYR 18,600,120 (196,091) (0.02)23/01/2018 Goldman Sachs US$ 14,147,916 NZD 19,794,631 73,345 0.0123/01/2018 JPMorgan US$ 14,082,000 NZD 20,578,694 (550,062) (0.06)23/01/2018 Barclays Bank US$ 1,324,000 NZD 1,894,130 (22,783) (0.00)23/01/2018 Citibank US$ 1,216,000 NZD 1,776,892 (47,423) (0.01)23/01/2018 JPMorgan US$ 946,000 NZD 1,349,006 (13,183) (0.00)09/01/2018 JPMorgan US$ 11,123,000 PEN 36,522,371 (144,319) (0.02)09/01/2018 BNP Paribas US$ 1,176,000 PEN 3,814,944 (928) (0.00)09/01/2018 BNP Paribas US$ 1,103,000 PEN 3,574,272 321 0.0009/01/2018 Goldman Sachs US$ 947,000 PEN 3,074,909 (1,624) (0.00)09/01/2018 Barclays Bank US$ 736,000 PEN 2,390,013 (1,330) (0.00)23/01/2018 Bank of America US$ 13,886,717 PHP 723,914,566 (629,607) (0.08)16/01/2018 Citibank US$ 7,011,680 RSD 715,149,266 (249,187) (0.03)16/01/2018 Goldman Sachs US$ 17,098,044 RUB 1,005,142,737 (345,173) (0.04)16/01/2018 Citibank US$ 3,994,000 RUB 235,361,228 (90,451) (0.01)16/01/2018 Goldman Sachs US$ 3,713,000 RUB 220,561,483 (114,618) (0.01)16/01/2018 Citibank US$ 3,307,000 RUB 198,535,745 (138,384) (0.02)16/01/2018 BNP Paribas US$ 2,536,229 RUB 148,000,000 (32,159) (0.00)12/01/2018 State Street Bank US$ 4,094 SEK 34,598 (134) (0.00)12/01/2018 State Street Bank US$ 3,923 SEK 33,120 (125) (0.00)12/01/2018 State Street Bank US$ 3,070 SEK 25,604 (59) (0.00)12/01/2018 State Street Bank US$ 2,787 SEK 23,489 (84) (0.00)23/01/2018 Goldman Sachs US$ 9,147,284 SGD 12,460,430 (179,455) (0.02)16/01/2018 JPMorgan US$ 15,943,626 TRY 61,644,195 (247,448) (0.03)16/01/2018 Goldman Sachs US$ 141,008 TRY 552,019 (3,982) (0.00)16/01/2018 Bank of America US$ 26,884,000 ZAR 370,862,172 (3,012,786) (0.35)16/01/2018 Bank of America US$ 15,358,236 ZAR 211,400,091 (1,683,631) (0.20)16/01/2018 Goldman Sachs US$ 6,624,627 ZAR 89,666,580 (603,780) (0.07)16/01/2018 JPMorgan US$ 4,956,000 ZAR 65,684,678 (339,122) (0.04)16/01/2018 Barclays Bank US$ 4,161,000 ZAR 56,810,204 (418,714) (0.05)16/01/2018 Deutsche Bank US$ 1,560,000 ZAR 22,332,063 (240,283) (0.03)16/01/2018 Barclays Bank US$ 1,166,038 ZAR 16,200,000 (139,913) (0.02)16/01/2018 Bank of America ZAR 42,729,880 US$ 2,987,000 457,639 0.06


–––––––––––– ––––––––Net unrealised loss on open forward foreign currency exchange contracts (2,683,971) (0.30)

–––––––––––– –––––––––––––––––––– ––––––––





Interest Rate Swaps – (0.06)% (31 Dec 2016: 0.15%)

Notional Fund Fund Termination Fair Value % of Net

Currency Amount Pays Receives Date US$ Assets

CZK 80,000,000 6 Months PRIBO 0.510% 25/05/2018 4,238 0.00HUF 6,102,000,000 1.215% 6 Months BUBOR 18/05/2022 (772,851) (0.09)HUF 5,832,700,000 1.835% 6 Months BUBOR 24/11/2027 (302,988) (0.03)ILS 90,800,000 0.430% 3 Months TELBO 19/05/2020 (167,020) (0.02)

ZAR 77,000,000 3 Months JIBAR 7.060% 24/03/2020 15,617 0.00ZAR 44,000,000 3 Months JIBAR 9.035% 04/06/2025 121,727 0.01ZAR 47,000,000 3 Months JIBAR 9.350% 17/06/2025 169,334 0.02ZAR 27,000,000 3 Months JIBAR 8.545% 04/12/2025 113,743 0.01ZAR 28,400,000 3 Months JIBAR 8.665% 08/12/2025 137,653 0.02ZAR 53,000,000 3 Months JIBAR 8.260% 07/12/2026 132,802 0.02

–––––––––––– ––––––––Interest rate swaps at positive value 695,114 0.08Interest rate swaps at negative value (1,242,859) (0.14)

–––––––––––– ––––––––Interest rate swaps at fair value (547,745) (0.06)

–––––––––––– ––––––––Total Financial Derivative Instruments (3,231,716) (0.36)

–––––––––––– –––––––––––––––––––– ––––––––

Fair Value % of Net

US$ Assets

Total Investments 844,471,560 95.75Cash at bank 17,067,942 1.94Cash held at broker 5,981,825 0.68Other net assets 14,453,557 1.63


–––––––––––– –––––––––––––––––––– ––––––––

Classification

*All financial derivative instruments are traded over the counter ("OTC").The counterparties for the open forward foreign currency exchange contracts are Bank of America, Barclays Bank, BNPParibas, Citibank, Deutsche Bank, Goldman Sachs, HSBC Bank, JPMorgan, Morgan Stanley, National Australia Bank Limitedand State Street Bank.The counterparties to the interest rate swaps are Bank of America, Deutsche Bank, BNP Paribas and JPMorgan.


Transferable securities admitted to an official stock exchange listing 69.64Transferable securities dealt in on another regulated market 20.03Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) 3.83OTC financial derivative instruments 1.90Other current assets 4.60


––––––––––––––––




Barings Umbrella Fund PlcBarings Global Investment Grade Corporate Bond Fund





Australia - 1.67% (Dec 2016: 1.57%)

130,000 Amcor Finance USA Inc 3.625% 28/04/2026 128,328 0.49100,000 BHP Billiton Finance Ltd 4.300% 25/09/2042 171,001 0.65

75,000 Brambles USA Inc 4.125% 23/10/2025 77,906 0.2960,000 Newcrest Finance Pty Ltd 4.200% 01/10/2022 62,558 0.24

–––––––––––– ––––––––439,793 1.67

–––––––––––– ––––––––Belgium - 1.46% (Dec 2016: 2.17%)

270,000 Anheuser-Busch InBev Finance Inc 3.650% 01/02/2026 279,107 1.0690,000 Anheuser-Busch InBev Finance Inc 4.900% 01/02/2046 104,727 0.40

–––––––––––– ––––––––383,834 1.46

–––––––––––– ––––––––Bermuda - 1.22% (Dec 2016: 0.50%)

65,000 Enstar Group Ltd 4.500% 10/03/2022 66,262 0.25200,000 Fidelity International Ltd 2.500% 04/11/2026 253,677 0.97

–––––––––––– ––––––––319,939 1.22

–––––––––––– ––––––––Canada - 3.33% (Dec 2016: 2.55%)

75,000 Bank of Montreal 3.803% 15/12/2032 74,241 0.28250,000 Cenovus Energy Inc 3.000% 15/08/2022 248,706 0.95300,000 Encana Corp 6.500% 15/05/2019 315,327 1.20235,000 NOVA Chemicals Corp 5.000% 01/05/2025 235,000 0.90

–––––––––––– ––––––––873,274 3.33

–––––––––––– ––––––––France - 4.53% (Dec 2016: 2.90%)

200,000 BNP Paribas SA 2.625% 14/10/2027 258,723 0.98200,000 Orange SA 3.875% 14/01/2021 267,334 1.02275,000 RCI Banque SA 2.250% 29/03/2021 350,301 1.33200,000 Veolia Environnement SA 4.625% 30/03/2027 313,981 1.20

–––––––––––– ––––––––1,190,339 4.53

–––––––––––– ––––––––Germany - 1.19% (Dec 2016: 1.04%)

100,000 Deutsche Bank AG 1.125% 17/03/2025 119,703 0.46100,000 E.ON International Finance BV 6.375% 07/06/2032 192,566 0.73

–––––––––––– ––––––––312,269 1.19

–––––––––––– ––––––––Ireland - Nil (Dec 2016: 0.97%)

Israel - 0.61% (Dec 2016: Nil)

55,000 Teva Pharmaceutical Finance Netherlands III BV 2.200% 21/07/2021 50,283 0.19



–––––––––––– ––––––––161,009 0.61

–––––––––––– ––––––––Italy - 0.63% (Dec 2016: 1.25%)

100,000 Enel Finance International NV 5.625% 14/08/2024 164,926 0.63–––––––––––– ––––––––







Mexico - 0.45% (Dec 2016: 1.53%)

110,000 Petroleos Mexicanos 5.375% 13/03/2022 116,875 0.45–––––––––––– ––––––––

Netherlands - 0.88% (Dec 2016: 0.31%)

150,000 ABN AMRO Bank NV 7.125% 06/07/2022 230,310 0.88–––––––––––– ––––––––

South Africa - Nil (Dec 2016: 1.75%)

Spain –Nil (Dec 2016: 1.08%)

Sweden – Nil (Dec 2016: 0.71%)

Switzerland - 2.43% (Dec 2016: 1.32%)

300,000 Credit Suisse Group Funding Guernsey Ltd 1.250% 14/04/2022 371,685 1.41280,000 Roche Holdings Inc 2.375% 28/01/2027 266,732 1.02

–––––––––––– ––––––––638,417 2.43

–––––––––––– ––––––––United Kingdom - 5.39% (Dec 2016: 5.88%)

200,000 Barclays Plc 4.375% 12/01/2026 208,499 0.79100,000 GlaxoSmithKline Capital Plc 5.250% 10/04/2042 197,469 0.75250,000 HSBC Holdings Plc 6.000% 10/06/2019 325,579 1.24550,000 HSBC Holdings Plc 3.196% 05/12/2023 442,424 1.69130,000 Nationwide Building Society 4.000% 14/09/2026 131,664 0.50110,000 Santander UK Group Holdings Plc 3.125% 08/01/2021 111,154 0.42

–––––––––––– ––––––––1,416,789 5.39


105,000 Abbott Laboratories 3.750% 30/11/2026 108,020 0.41210,000 Advance Auto Parts Inc 4.500% 15/01/2022 220,262 0.84100,000 Air Lease Corp 3.000% 15/09/2023 99,354 0.38

50,000 Amazon.com Inc 4.050% 22/08/2047 54,122 0.21150,000 American International Group Inc 4.500% 16/07/2044 162,200 0.6250,000 American Tower Corp 4.400% 15/02/2026 52,667 0.20

150,000 American Tower Corp 3.550% 15/07/2027 149,202 0.57140,000 Anadarko Petroleum Corp 5.550% 15/03/2026 157,334 0.6035,000 Andeavor 3.800% 01/04/2028 35,156 0.1380,000 Arch Capital Finance LLC 4.011% 15/12/2026 83,443 0.32

130,000 Ares Capital Corp 3.500% 10/02/2023 128,221 0.4965,000 Arrow Electronics Inc 3.250% 08/09/2024 63,787 0.24

525,000 AT&T Inc 3.900% 14/08/2027 529,539 2.02200,000 AT&T Inc 4.750% 15/05/2046 196,362 0.75210,000 Athene Global Funding 4.000% 25/01/2022 216,821 0.8340,000 AutoNation Inc 4.500% 01/10/2025 41,929 0.1660,000 Avnet Inc 3.750% 01/12/2021 60,917 0.23

375,000 Bank of America Corp 1.625% 14/09/2022 474,308 1.81175,000 Bank of America Corp 5.000% 21/01/2044 211,892 0.81100,000 Becton Dickinson and Co 2.894% 06/06/2022 99,477 0.38100,000 Becton Dickinson and Co 3.700% 06/06/2027 100,966 0.3850,000 Becton Dickinson and Co 4.669% 06/06/2047 54,357 0.21

125,000 Blackstone Holdings Finance Co LLC 6.250% 15/08/2042 164,104 0.6240,000 Broadridge Financial Solutions Inc 3.400% 27/06/2026 39,745 0.15

205,000 Brunswick Corp 4.625% 15/05/2021 208,395 0.79100,000 Bunge Finance Europe BV 1.850% 16/06/2023 124,189 0.47250,000 Bunge Ltd Finance Corp 8.500% 15/06/2019 270,912 1.0355,000 Bunge Ltd Finance Corp 3.500% 24/11/2020 56,186 0.21








35,000 Bunge Ltd Finance Corp 3.250% 15/08/2026 33,510 0.13175,000 Burlington Northern Santa Fe LLC 4.900% 01/04/2044 210,269 0.80

5,000 Cameron International Corp 5.950% 01/06/2041 6,219 0.0265,000 Capital One Financial Corp 2.500% 12/05/2020 64,956 0.2560,000 CenterPoint Energy Resources Corp 4.100% 01/09/2047 63,317 0.2495,000 Charter Communications Operating LLC/

Charter Communications Operating Capital 3.579% 23/07/2020 96,828 0.3795,000 Charter Communications Operating LLC/


Charter Communications Operating Capital 6.484% 23/10/2045 116,995 0.4560,000 Chubb INA Holdings Inc 3.350% 03/05/2026 61,298 0.2335,000 Church & Dwight Co Inc 3.150% 01/08/2027 34,554 0.13

250,000 Cimarex Energy Co 4.375% 01/06/2024 265,653 1.01150,000 Cisco Systems Inc 5.900% 15/02/2039 205,493 0.78375,000 Citigroup Inc 2.375% 22/05/2024 493,577 1.8850,000 Citigroup Inc 8.125% 15/07/2039 80,197 0.31

150,000 Comcast Corp 6.950% 15/08/2037 214,617 0.8257,000 ConocoPhillips Co 4.300% 15/11/2044 62,587 0.24

120,000 Crown Castle International Corp 3.650% 01/09/2027 119,948 0.46150,000 CSX Corp 6.150% 01/05/2037 197,426 0.75100,000 Dell International LLC/EMC Corp 4.420% 15/06/2021 104,283 0.4020,000 Dell International LLC/EMC Corp 6.020% 15/06/2026 22,088 0.08

135,000 Delta Air Lines Inc 3.625% 15/03/2022 137,463 0.5270,000 Discovery Communications LLC 2.950% 20/03/2023 69,360 0.2660,000 Discovery Communications LLC 5.200% 20/09/2047 62,863 0.24

150,000 Duke Energy Florida LLC 6.400% 15/06/2038 211,513 0.8125,000 Duke Realty LP 3.250% 30/06/2026 24,823 0.09

205,000 Ecolab Inc 1.000% 15/01/2024 248,560 0.95275,000 Energy Transfer LP 4.750% 15/01/2026 285,771 1.09215,000 EnLink Midstream Partners LP 4.850% 15/07/2026 225,676 0.8635,000 Estee Lauder Cos Inc 4.375% 15/06/2045 39,495 0.15

215,000 First Horizon National Corp 3.500% 15/12/2020 219,703 0.84350,000 Five Corners Funding Trust 4.419% 15/11/2023 375,556 1.4350,000 FLIR Systems Inc 3.125% 15/06/2021 50,410 0.19

108,000 General Electric Co 5.875% 14/01/2038 139,933 0.5395,000 General Motors Co 4.200% 01/10/2027 98,633 0.38

250,000 Goldman Sachs Group Inc 2.625% 19/08/2020 319,748 1.2250,000 Goldman Sachs Group Inc 4.250% 21/10/2025 52,309 0.20

175,000 Goldman Sachs Group Inc 6.750% 01/10/2037 234,689 0.89200,000 Helmerich & Payne International Drilling Co 4.650% 15/03/2025 210,843 0.80185,000 Hercules Capital Inc 4.625% 23/10/2022 187,776 0.7115,000 Hexcel Corp 3.950% 15/02/2027 15,320 0.06

150,000 Home Depot Inc 5.875% 16/12/2036 203,364 0.7750,000 Ingredion Inc 3.200% 01/10/2026 49,183 0.19

560,000 ITC Holdings Corp 5.500% 15/01/2020 588,103 2.24375,000 JPMorgan Chase & Co 1.375% 16/09/2021 469,245 1.79150,000 JPMorgan Chase & Co 6.400% 15/05/2038 206,786 0.7975,000 Kinder Morgan Inc 5.550% 01/06/2045 82,377 0.31

135,000 Kraft Heinz Foods Co 3.000% 01/06/2026 130,147 0.50155,000 Legg Mason Inc 5.625% 15/01/2044 173,423 0.66135,000 Magellan Midstream Partners LP 5.000% 01/03/2026 150,206 0.57115,000 Marriott International Inc 2.300% 15/01/2022 113,012 0.4315,000 Marsh & McLennan Cos Inc 3.300% 14/03/2023 15,391 0.0689,000 Masco Corp 3.500% 01/04/2021 90,838 0.35

150,000 Microsoft Corp 3.500% 12/02/2035 156,365 0.60






44,000 Microsoft Corp 4.450% 03/11/2045 51,702 0.2040,000 Molson Coors Brewing Co 2.100% 15/07/2021 39,238 0.1570,000 Molson Coors Brewing Co 3.000% 15/07/2026 68,642 0.2635,000 Molson Coors Brewing Co 4.200% 15/07/2046 35,813 0.14

350,000 Morgan Stanley 5.000% 24/11/2025 383,614 1.46205,000 Morgan Stanley 3.125% 27/07/2026 202,424 0.77225,000 MPLX LP 4.500% 15/07/2023 237,997 0.9140,000 MPLX LP 5.200% 01/03/2047 44,067 0.1770,000 Mylan NV 3.150% 15/06/2021 70,447 0.2790,000 Neuberger Berman Group LLC/

Neuberger Berman Finance Corp 4.500% 15/03/2027 94,837 0.3695,000 NiSource Finance Corp 3.950% 30/03/2048 97,747 0.37

150,000 O'Reilly Automotive Inc 3.600% 01/09/2027 150,850 0.57150,000 Oracle Corp 5.375% 15/07/2040 190,052 0.7245,000 Oracle Corp 4.000% 15/07/2046 48,004 0.1860,000 Pfizer Inc 7.200% 15/03/2039 92,190 0.3560,000 Phillips 66 Partners LP 3.750% 01/03/2028 60,153 0.2314,000 Phillips 66 Partners LP 4.680% 15/02/2045 14,435 0.05

600,000 Pitney Bowes Inc 6.250% 15/03/2019 621,000 2.3655,000 Pitney Bowes Inc 3.625% 15/09/2020 54,725 0.21

230,000 PPL Capital Funding Inc 3.100% 15/05/2026 225,520 0.86145,000 Priceline Group Inc 3.550% 15/03/2028 143,936 0.5555,000 Prologis LP 3.750% 01/11/2025 57,759 0.22

350,000 Reinsurance Group of America Inc 4.700% 15/09/2023 375,917 1.4390,000 Reinsurance Group of America Inc 3.950% 15/09/2026 92,146 0.35

150,000 Reliance Steel & Aluminum Co 4.500% 15/04/2023 158,292 0.6055,000 RPM International Inc 5.250% 01/06/2045 63,598 0.2440,000 Sabine Pass Liquefaction LLC 4.200% 15/03/2028 40,551 0.1535,000 Spirit AeroSystems Inc 3.850% 15/06/2026 35,603 0.1490,000 Tanger Properties LP 3.125% 01/09/2026 85,830 0.3360,000 Tech Data Corp 3.700% 15/02/2022 60,242 0.23

205,000 Time Warner Inc 2.950% 15/07/2026 194,253 0.74250,000 Trinity Acquisition Plc 3.500% 15/09/2021 255,091 0.9715,000 Trinity Acquisition Plc 4.400% 15/03/2026 15,890 0.06

150,000 UnitedHealth Group Inc 6.875% 15/02/2038 217,972 0.8340,000 Unum Group 3.000% 15/05/2021 40,311 0.15

290,000 Verizon Communications Inc 4.125% 16/03/2027 302,966 1.15125,000 Verizon Communications Inc 3.125% 02/11/2035 167,371 0.64125,000 Virginia Electric & Power Co 8.875% 15/11/2038 216,019 0.8220,000 Weingarten Realty Investors 3.250% 15/08/2026 19,231 0.07

200,000 Wells Fargo Bank NA 5.250% 01/08/2023 318,482 1.21105,000 Western Gas Partners LP 5.450% 01/04/2044 111,969 0.4330,000 Willis North America Inc 3.600% 15/05/2024 30,540 0.12

160,000 XLIT Ltd 6.375% 15/11/2024 186,650 0.7125,000 Xylem Inc 3.250% 01/11/2026 24,916 0.09

–––––––––––– ––––––––18,356,716 69.90


–––––––––––– ––––––––






Transferable Securities (Government Bonds) - 5.05% (Dec 2016: 12.42%)

Germany - 1.67% (Dec 2016: 0.94%)

200,000 Bundesrepublik Deutschland 0.500% 15/02/2026 245,542 0.94100,000 Bundesrepublik Deutschland 4.750% 04/07/2034 192,153 0.73

–––––––––––– ––––––––437,695 1.67

–––––––––––– ––––––––



United States - 3.38% (Dec 2016: 11.48%)

250,000 United States Treasury Note/Bond 1.625% 30/11/2020 247,520 0.9450,000 United States Treasury Note/Bond 2.250% 15/08/2027 49,283 0.19

520,000 United States Treasury Note/Bond 3.500% 15/02/2039 594,100 2.25–––––––––––– ––––––––

890,903 3.38–––––––––––– ––––––––

Total Transferable Securities (Government Bonds) 1,328,598 5.05

–––––––––––– ––––––––

Financial Derivative Instruments* - (0.39)% (Dec 2016: 0.26%)

Open Futures Contracts – (0.03)% (Dec 2016: 0.05%)


Amount Cost Price Gain (Loss) % of Net


216,229 108.11 2 of Can 10 Year Bond FuturesLong Futures ContractsExpiring March 2018 (1,782) (0.01)

586,618 195.54 3 of Euro-Bund FuturesLong Futures ContractsExpiring March 2018 (4,643) (0.02)

941,684 134.53 7 of Euro-Schatz FuturesLong Futures ContractsExpiring March 2018 (1,212) 0.00

(1,067,875) (133.48) 8 of Us 10 Year Ultra FuturesShort Futures ContractsExpiring March 2018 (625) 0.00


(1,046,180) (116.24) 9 of U.S. 5 Year Note FuturesShort Futures ContractsExpiring March 2018 703 0.00

(1,986,339) (152.80) 13 of U.S. Long Bond FuturesShort Futures ContractsExpiring March 2018 (2,662) (0.01)

666,625 166.66 4 of U.S. Ultra Bond FuturesLong Futures ContractsExpiring March 2018 4,000 0.02



–––––––––––– ––––––––




Open Forward Foreign Currency Exchange Contracts – (0.36)% (Dec 2016: 0.21%)

Unrealised



12/01/2018 JPMorgan US$ 446,171 CAD 573,141 (9,888) (0.04)12/01/2018 Goldman Sachs US$ 5,110,861 € 4,322,560 (78,312) (0.29)12/01/2018 JPMorgan US$ 1,220,641 £ 908,899 (6,854) (0.03)

–––––––––––– ––––––––Unrealised loss on open forward foreign currency exchange contracts (95,054) (0.36)


–––––––––––– ––––––––Total Financial Derivative Instruments (104,322) (0.39)

–––––––––––– ––––––––

Fair Value % of Net

US$ Assets

Total Investments 25,828,766 98.35Cash at bank 398,005 1.52Cash due from broker 40,227 0.15Other net liabilities (5,897) (0.02)


–––––––––––– –––––––––––––––––––– ––––––––

Classification

*All financial derivative instruments are traded over the counter (“OTC”).All transferable securities are admitted to an official stock exchange listing.The counterparties for the open forward foreign currency exchange contracts are Goldman Sachs and JPMorgan.The broker for the open futures contracts is Morgan Stanley.


Transferable securities admitted to an official stock exchange listing 76.16Transferable securities dealt in on another regulated market 20.93Exchange traded financial derivative instruments 0.02Other current assets 2.89


––––––––––––––––




Barings Umbrella Fund PlcBarings Emerging Markets Debt Short Duration Fund





Argentina - 1.23% (Dec 2016: 1.64%)

400,000 YPF SA 8.500% 23/03/2021 453,400 1.23–––––––––––– ––––––––

Brazil - 13.19% (Dec 2016: 14.21%)

650,000 B3 SA - Brasil Bolsa Balcao 5.500% 16/07/2020 678,275 1.84550,000 Banco Daycoval SA 5.750% 19/03/2019 563,750 1.53500,000 Braskem Finance Ltd 7.000% 07/05/2020 542,500 1.47400,000 Itau Unibanco Holding SA 6.200% 15/04/2020 423,140 1.15400,000 Itau Unibanco Holding SA 6.200% 21/12/2021 426,400 1.16900,000 Petrobras Global Finance BV 8.375% 23/05/2021 1,028,137 2.80500,000 Petrobras Global Finance BV 6.125% 17/01/2022 531,875 1.45600,000 Voto-Votorantim Overseas Trading

Operations IV Ltd 7.750% 24/06/2020 657,000 1.79–––––––––––– ––––––––

4,851,077 13.19–––––––––––– ––––––––

Chile - 1.87% (Dec 2016: 1.55%)

650,000 VTR Finance BV 6.875% 15/01/2024 687,375 1.87–––––––––––– ––––––––

China - 12.84% (Dec 2016: 8.93%)

400,000 China Life Insurance Co Ltd 4.000% 03/07/2075 402,718 1.09200,000 China Life Insurance Co Ltd 4.000% 03/07/2075 201,359 0.55200,000 China Resources Gas Group Ltd 4.500% 05/04/2022 210,631 0.57600,000 CIFI Holdings Group Co Ltd 7.750% 05/06/2020 630,906 1.72400,000 Country Garden Holdings Co Ltd 7.250% 04/04/2021 414,740 1.13200,000 ENN Energy Holdings Ltd 6.000% 13/05/2021 217,425 0.59800,000 Future Land Development Holdings Ltd 5.000% 16/02/2020 794,950 2.16400,000 Midea Investment Development Co Ltd 2.375% 03/06/2019 397,566 1.08400,000 Powerlong Real Estate Holdings Ltd 7.625% 26/11/2018 409,512 1.11400,000 Shimao Property Holdings Ltd 8.375% 10/02/2022 433,525 1.18600,000 Sino-Ocean Land Treasure Finance I Ltd 4.625% 30/07/2019 609,138 1.66

–––––––––––– ––––––––4,722,470 12.84

–––––––––––– ––––––––Colombia - 2.27% (Dec 2016: 1.87%)

200,000 Bancolombia SA 5.950% 03/06/2021 216,800 0.59600,000 Transportadora de Gas Internacional SA ESP 5.700% 20/03/2022 616,800 1.68

–––––––––––– ––––––––833,600 2.27

–––––––––––– ––––––––Costa Rica - 1.64% (Dec 2016: 2.28%)

300,000 Banco de Costa Rica 5.250% 12/08/2018 301,125 0.82300,000 Banco Nacional de Costa Rica 4.875% 01/11/2018 302,238 0.82

–––––––––––– ––––––––603,363 1.64

–––––––––––– ––––––––Hong Kong - 2.54% (Dec 2016: 5.06%)

400,000 Bank of China Hong Kong Ltd 5.550% 11/02/2020 421,114 1.15500,000 CLP Power HK Finance Ltd 4.250% 29/05/2049 511,961 1.39

–––––––––––– ––––––––933,075 2.54

–––––––––––– ––––––––India - 1.66% (Dec 2016: 2.37%)

600,000 JSW Steel Ltd 4.750% 12/11/2019 609,678 1.66–––––––––––– ––––––––







Indonesia - 0.88% (Dec 2016: 1.26%)

300,000 Majapahit Holding BV 8.000% 07/08/2019 325,290 0.88–––––––––––– ––––––––

Israel - 2.21% (Dec 2016: 3.13%)

600,000 Altice Financing SA 6.625% 15/02/2023 629,760 1.71200,000 Teva Pharmaceutical Finance

Netherlands III BV 2.200% 21/07/2021 182,847 0.50–––––––––––– ––––––––

812,607 2.21–––––––––––– ––––––––

Jamaica - 0.54% (Dec 2016: Nil

200,000 Digicel Group Ltd 8.250% 30/09/2020 197,258 0.54–––––––––––– ––––––––

Kazakhstan - 1.12% (Dec 2016: 4.38%)

400,000 KazMunayGas National Co JSC 9.125% 02/07/2018 412,757 1.12–––––––––––– ––––––––

Kuwait - 3.73% (Dec 2016: 2.57%)

500,000 Equate Petrochemical BV 3.000% 03/03/2022 493,554 1.34850,000 NBK Tier 1 Financing Ltd 5.750% 29/12/2049 879,113 2.39

–––––––––––– ––––––––1,372,667 3.73

–––––––––––– ––––––––Mexico - 4.88% (Dec 2016: 7.00%)

500,000 BBVA Bancomer SA 6.500% 10/03/2021 545,625 1.48200,000 Grupo Idesa SA de CV 7.875% 18/12/2020 189,000 0.51400,000 Petroleos Mexicanos 6.375% 04/02/2021 435,800 1.19400,000 Petroleos Mexicanos 4.875% 24/01/2022 417,900 1.14200,000 Nemak SAB de CV 5.500% 28/02/2023 206,500 0.56

–––––––––––– ––––––––1,794,825 4.88

–––––––––––– ––––––––Panama - 6.18% (Dec 2016: 2.30%)

600,000 Global Bank Corp 5.125% 30/10/2019 621,720 1.69300,000 Sable International Finance Ltd 6.875% 01/08/2022 318,375 0.86

1,450,000 SPARC EM SPC Panama Metro Line 2 SP 0.010% 05/12/2022 1,334,000 3.63–––––––––––– ––––––––

2,274,095 6.18–––––––––––– ––––––––

Qatar - 2.71% (Dec 2016: 0.85%)

400,000 CBQ Finance Ltd 2.875% 24/06/2019 397,888 1.08400,000 CBQ Finance Ltd 7.500% 18/11/2019 428,174 1.17162,850 Ras Laffan Liquefied Natural Gas Co Ltd II 5.298% 30/09/2020 168,989 0.46

–––––––––––– ––––––––995,051 2.71

–––––––––––– ––––––––Russia - 15.53% (Dec 2016: 16.32%)

400,000 Alfa Holding Issuance Plc 2.626% 28/04/2020 489,158 1.33785,000 DME Airport Ltd 5.875% 11/11/2021 831,067 2.26400,000 Gazprom OAO Via Gaz Capital SA 9.250% 23/04/2019 432,234 1.17450,000 GTH Finance BV 6.250% 26/04/2020 473,962 1.29700,000 Lukoil International Finance BV 6.125% 09/11/2020 756,332 2.06600,000 MMC Norilsk Nickel OJSC via MMC Finance DAC5.550% 28/10/2020 639,028 1.74400,000 Novatek OAO via Novatek Finance DAC 6.604% 03/02/2021 439,860 1.19400,000 Rosneft Finance SA 7.250% 02/02/2020 432,000 1.17200,000 Russian Railways via RZD Capital Plc 3.450% 06/10/2020 201,837 0.55





Russia - 15.53% (Dec 2016: 16.32%) (continued)

1,000,000 Sberbank of Russia Via SB Capital SA 5.500% 26/02/2024 1,018,150 2.77–––––––––––– ––––––––

5,713,628 15.53–––––––––––– ––––––––

South Africa - 3.64% (Dec 2016: 2.20%)

200,000 FirstRand Bank Ltd 4.250% 30/04/2020 204,330 0.55700,000 Gold Fields Orogen Holdings BVI Ltd 4.875% 07/10/2020 715,750 1.95200,000 Myriad International Holdings BV 6.000% 18/07/2020 215,463 0.59200,000 Petra Diamonds US Treasury Plc 7.250% 01/05/2022 203,400 0.55

–––––––––––– ––––––––1,338,943 3.64

–––––––––––– ––––––––Sri Lanka - 0.56% (Dec 2016: 1.55%)

200,000 National Savings Bank 8.875% 18/09/2018 206,900 0.56–––––––––––– ––––––––

Turkey - 8.74% (Dec 2016: 7.78%)

600,000 Turkiye Garanti Bankasi AS 4.750% 17/10/2019 610,493 1.66850,000 Turkiye Is Bankasi 5.000% 30/04/2020 861,277 2.34600,000 Turkiye Sinai Kalkinma Bankasi AS 5.375% 30/10/2019 609,669 1.66400,000 Turkiye Sise ve Cam Fabrikalari AS 4.250% 09/05/2020 406,257 1.10600,000 Turkiye Vakiflar Bankasi TAO 2.375% 04/05/2021 727,974 1.98

–––––––––––– ––––––––3,215,670 8.74

–––––––––––– ––––––––United Arab Emirates - 7.77% (Dec 2016: 1.58%)

800,000 Alpha Star Holding Ltd 4.970% 09/04/2019 807,000 2.19800,000 Emirates NBD 2014 Tier 1 Ltd 6.375% 17/12/2049 826,920 2.25800,000 First Abu Dhabi Bank PJSC 5.250% 29/12/2049 813,400 2.21400,000 MAF Global Securities Ltd 7.125% 29/10/2049 409,974 1.12

–––––––––––– ––––––––2,857,294 7.77


–––––––––––– ––––––––

Transferable Securities (Government Bonds) - Nil (31 Dec 2016: 3.94%)

Financial Derivative Instruments* - 0.17% (Dec 2016: 0.13%)

Open Forward Foreign Currency Exchange Contracts - 0.17% (Dec 2016: 0.13%)

Unrealised



12/01/2018 State Street Bank CHF 566,436 USD 572,294 9,316 0.0312/01/2018 State Street Bank CHF 2,188 USD 2,208 39 0.0012/01/2018 State Street Bank € 3,319,486 USD 3,924,662 60,334 0.1612/01/2018 State Street Bank € 6,000 USD 7,113 90 0.0012/01/2018 State Street Bank € 18,271 USD 21,933 1 0.0012/01/2018 State Street Bank € 55,901 USD 66,014 1,094 0.0012/01/2018 State Street Bank € 25,000 USD 29,573 439 0.0012/01/2018 State Street Bank SEK 4,212,415 USD 498,953 14,833 0.0412/01/2018 State Street Bank SEK 21,714 USD 2,578 70 0.0012/01/2018 State Street Bank US$ 3,495 SEK 29,579 (112) 0.00




Financial Derivative Instruments* - 0.17% (Dec 2016: 0.13%) (continued)

Open Forward Foreign Currency Exchange Contracts - 0.17% (Dec 2016: 0.13%) (continued)

Unrealised



12/01/2018 State Street Bank US$ 1,236,265 € 1,047,327 (21,037) (0.06)–––––––––––– ––––––––

Unrealised gain on open forward foreign currency exchange contracts 86,216 0.23Unrealised loss on open forward foreign currency exchange contracts (21,149) (0.06)



–––––––––––– –––––––––––––––––––– ––––––––

Fair Value % of Net

US$ Assets

Total Investments 35,276,090 95.91Cash at bank 1,093,629 2.97Other net assets 411,311 1.12


–––––––––––– –––––––––––––––––––– ––––––––

Classification

*All financial derivative instruments are traded over the counter (“OTC”).All transferable securities are admitted to an official stock exchange listing.The counterparty for the open forward foreign currency exchange contracts is State Street Bank.


Transferable securities admitted to an official stock exchange listing 81.88Transferable securities dealt in on another regulated market 13.55OTC financial derivative instruments 0.23Other current assets 4.34


––––––––––––––––




Barings Umbrella Fund PlcBarings Active Short Duration Fund





Australia - 0.95% (Dec 2016: 0.85%)

150,000 Asciano Finance Ltd 5.000% 07/04/2018 150,964 0.24223,000 Incitec Pivot Finance LLC 6.000% 10/12/2019 236,331 0.37

50,000 Macquarie Bank Ltd 2.850% 15/01/2021 50,283 0.08155,000 Newcrest Finance Pty Ltd 4.200% 01/10/2022 161,607 0.26

–––––––––––– ––––––––599,185 0.95

–––––––––––– ––––––––Belgium - 0.25% (Dec 2016: 0.32%)

155,000 Anheuser-Busch InBev Finance Inc 2.650% 01/02/2021 155,889 0.25–––––––––––– ––––––––

Bermuda - 0.24% (Dec 2016: Nil)

150,000 Enstar Group Ltd 4.500% 10/03/2022 152,911 0.24–––––––––––– ––––––––

Brazil - 0.32% (Dec 2016: 0.44%)

200,000 JBS Investments GmbH 7.750% 28/10/2020 204,750 0.32–––––––––––– ––––––––

British Virgin Islands - 0.09% (Dec 2016: 0.24%)

57,292 Dong Fang Container Finance II SPV Ltd** 1.950% 25/11/2039 56,945 0.09–––––––––––– ––––––––

Canada - 0.56% (Dec 2016: 0.52%)

102,125 Element Rail Leasing I LLC** 2.299% 19/04/2044 101,916 0.16177,658 Element Rail Leasing II LLC** 2.707% 19/02/2045 173,499 0.28

75,818 Element Rail Leasing II LLC Series 2016-1** 3.968% 19/03/2046 77,051 0.12–––––––––––– ––––––––

352,466 0.56–––––––––––– ––––––––

Colombia - 0.17% (Dec 2016: 0.22%)

100,000 Bancolombia SA 5.950% 03/06/2021 108,400 0.17–––––––––––– ––––––––

France - 0.62% (Dec 2016: 0.40%)

400,000 Danone SA 2.077% 02/11/2021 391,638 0.62–––––––––––– ––––––––

Indonesia - 0.17% (Dec 2016: 0.23%)

100,000 Majapahit Holding BV 7.750% 20/01/2020 109,630 0.17–––––––––––– ––––––––

Ireland - 0.47% (Dec 2016: 0.54%)

300,000 Park Aerospace Holdings Ltd 5.250% 15/08/2022 299,250 0.47–––––––––––– ––––––––

Israel - 0.79% (Dec 2016: 0.96%)

200,000 Israel Electric Corp Ltd 7.250% 15/01/2019 208,826 0.33320,000 Teva Pharmaceutical Finance Netherlands III BV2.200% 21/07/2021 292,555 0.46

–––––––––––– ––––––––501,381 0.79

–––––––––––– ––––––––Japan - 3.36% (Dec 2016: 1.07%)

290,000 Mitsubishi UFJ Trust & Banking Corp 2.650% 19/10/2020 290,545 0.46120,000 Nissan Motor Acceptance Corp 1.900% 14/09/2021 116,804 0.19

95,237 Oscar US Funding Trust II** 1.860% 15/10/2019 95,105 0.15120,000 Oscar US Funding Trust II** 2.440% 15/06/2022 119,764 0.1929,293 Oscar US Funding Trust IV** 2.950% 15/07/2020 29,465 0.05

232,774 Oscar US Funding Trust V** 2.310% 15/11/2019 232,641 0.3750,000 Oscar US Funding Trust VI LLC** 2.820% 10/06/2021 50,112 0.08

180,000 Oscar US Funding Trust VI LLC** 3.300% 10/05/2024 181,396 0.29130,000 Sumitomo Mitsui Financial Group Inc 2.058% 14/07/2021 127,466 0.20







Japan - 3.36% (Dec 2016: 1.07%) (continued)

70,000 Sumitomo Mitsui Financial Group Inc 2.846% 11/01/2022 70,179 0.11800,000 The Bank of Tokyo-Mitsubishi UFJ Ltd 1.503% 19/01/2018 799,408 1.27

–––––––––––– ––––––––2,112,885 3.36

–––––––––––– ––––––––Mexico - 0.45% (Dec 2016: 0.58%)

280,000 Coca-Cola Femsa SAB de CV 2.375% 26/11/2018 280,801 0.45–––––––––––– ––––––––

New Zealand - 0.47% (Dec 2016: 0.61%)

295,000 ANZ New Zealand Int'l Ltd 2.250% 01/02/2019 295,006 0.47–––––––––––– ––––––––

Portugal - Nil (Dec 2016: 0.52%)

South Africa - Nil (Dec 2016: 0.73%)

Spain - 0.65% (Dec 2016: Nil)

400,000 Banco Santander SA 3.500% 11/04/2022 408,262 0.65–––––––––––– ––––––––

Sweden - 0.50% (Dec 2016: Nil)

310,000 Telefonaktiebolaget LM Ericsson 4.125% 15/05/2022 312,486 0.50–––––––––––– ––––––––

Switzerland - 0.77% (Dec 2016: 1.02%)

137,000 Glencore Finance Canada Ltd 4.250% 25/10/2022 143,705 0.2345,000 Glencore Funding LLC 3.000% 27/10/2022 44,643 0.07

280,000 Holcim US Finance Sarl & Cie SCS 6.000% 30/12/2019 297,191 0.47–––––––––––– ––––––––

485,539 0.77–––––––––––– ––––––––

Turkey - 0.32% (Dec 2016: 0.41%)

200,000 Turkiye Garanti Bankasi AS 4.750% 17/10/2019 203,498 0.32–––––––––––– ––––––––

United Arab Emirates - 0.07% (Dec 2016: Nil)

44,000 DAE Funding LLC 4.000% 01/08/2020 44,550 0.07–––––––––––– ––––––––


800,000 Abbey National Treasury Services plc 1.390% 16/02/2018 798,363 1.28200,000 Anglo American Capital Plc 3.750% 10/04/2022 203,431 0.32300,000 Imperial Brands Finance Plc 2.950% 21/07/2020 303,081 0.48

–––––––––––– ––––––––1,304,875 2.08


85,000 Abbott Laboratories 2.350% 22/11/2019 85,132 0.14200,000 Abbott Laboratories 2.900% 30/11/2021 202,498 0.32210,000 AbbVie Inc 1.800% 14/05/2018 209,916 0.3360,356 Access Group Inc 2015-1** 2.252% 25/07/2056 60,499 0.1088,387 AccessLex Institute** 1.912% 25/08/2037 79,910 0.1313,226 Aegis Asset Backed Securities Trust 2005-3** 2.022% 25/08/2035 13,338 0.02

250,000 AIMCO CLO Series 2014-A** 2.463% 20/07/2026 250,452 0.40340,000 Aircastle Ltd 5.000% 01/04/2023 359,125 0.57310,000 Ally Financial Inc 3.600% 21/05/2018 311,318 0.4925,000 Ally Financial Inc 4.750% 10/09/2018 25,375 0.04

250,000 ALM VII Ltd** 2.839% 15/10/2028 252,149 0.40800,000 Ameren Corp 0.010% 19/01/2018 799,260 1.27115,000 Ameren Corp 2.700% 15/11/2020 115,456 0.18








7,378 American Airlines 2014-1 Class B Pass Through Trust 4.375% 01/04/2024 7,548 0.01

10,626 American Credit Acceptance Receivables Trust 2016-2** 2.220% 13/07/2020 10,624 0.02

260,000 American Credit Acceptance Receivables Trust 2017-4** 2.940% 10/01/2024 260,102 0.41

800,000 American Express Company 0.010% 06/02/2018 798,840 1.27800,000 American Honda Finance Corporation 1.525% 21/02/2018 798,299 1.27160,000 American International Group Inc 3.300% 01/03/2021 163,227 0.26150,000 American Tower Corp 2.250% 15/01/2022 146,234 0.23100,000 American Tower Corp 3.000% 15/06/2023 99,863 0.16

55,000 Analog Devices Inc 2.500% 05/12/2021 54,509 0.0945,000 Andeavor Logistics LP/

Tesoro Logistics Finance Corp 3.500% 01/12/2022 44,965 0.07250,000 Apidos Clo XXV** 2.823% 20/10/2028 250,820 0.40

98,000 Arbys Funding 2015-1A LLC** 4.969% 30/10/2045 100,277 0.16120,000 Ares Capital Corp 4.875% 30/11/2018 122,767 0.1930,000 Ares Capital Corp 3.625% 19/01/2022 30,152 0.05

110,000 ARI Fleet Lease Trust 2016-A 2.110% 15/07/2024 110,042 0.1783,125 ARL First LLC 3.227% 15/12/2042 83,784 0.13

166,838 Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE1** 2.302% 25/03/2035 171,964 0.27

300,000 Athene Global Funding 4.000% 25/01/2022 309,743 0.49210,000 AutoNation Inc 3.350% 15/01/2021 213,207 0.34225,520 Avant Loans Funding Trust 2017-B** 2.290% 15/06/2020 225,501 0.36250,000 Avery Point III CLO Ltd** 2.474% 18/01/2025 250,665 0.40255,000 Aviation Capital Group Corp 2.875% 17/09/2018 255,894 0.41

50,949 Banc of America Commercial Mortgage Trust 2008-1* 6.184% 10/02/2051 50,932 0.08

360,000 Bank of America Corp 2.250% 21/04/2020 360,372 0.57200,000 Bank of America Corp 2.151% 09/11/2020 199,221 0.32

11,086 Bayview Financial Mortgage Pass-Through Trust 2005-C** 2.064% 28/06/2044 11,145 0.02

14,235 BCC Funding Corp X** 2.224% 20/10/2020 14,215 0.02105,194 BlueVirgo 2015-1 Trust** 3.000% 15/12/2022 105,428 0.1770,000 Boston Scientific Corp 2.850% 15/05/2020 70,595 0.11

225,000 Broadcom Corp/Broadcom Cayman Finance Ltd 3.000% 15/01/2022 223,304 0.35

263,000 Brunswick Corp 4.625% 15/05/2021 267,355 0.42235,000 Bunge Ltd Finance Corp 3.500% 24/11/2020 240,067 0.38

70,000 Bunge Ltd Finance Corp 3.000% 25/09/2022 69,555 0.1175,000 Capital One Financial Corp 2.500% 12/05/2020 74,949 0.127,846 CarFinance Capital Auto Trust 2015-1** 1.750% 15/06/2021 7,833 0.01

250,000 Carlyle Global Market Strategies CLO 2013-4 Ltd** 2.829% 15/10/2025 250,393 0.40

800,000 Caterpillar Financial Services Corporation 1.614% 05/01/2018 799,859 1.2734,694 Cazenovia Creek Funding I LLC** 2.000% 10/12/2023 34,564 0.0530,000 Celgene Corp 2.250% 15/05/2019 29,969 0.05

275,000 Celgene Corp 2.875% 15/08/2020 277,737 0.44155,000 Charter Communications Operating LLC/

Charter Communications Operating Capital 3.579% 23/07/2020 157,982 0.25135,000 Cigna Corp 4.500% 15/03/2021 141,991 0.23131,000 Cigna Corp 4.000% 15/02/2022 136,933 0.22

15,000 Citigroup Inc 2.450% 10/01/2020 15,014 0.02225,000 Citigroup Inc 2.400% 18/02/2020 224,852 0.36






90,000 Citigroup Inc 2.350% 02/08/2021 89,095 0.1436,514 Citigroup Mortgage Loan Trust Series 2005-

OPT3 Asset Backed Pass-Through Certificates** 2.227% 25/05/2035 36,782 0.06186,111 CKE Restaurant Holdings Inc** 4.474% 20/03/2043 187,649 0.3093,000 CNA Financial Corp 5.750% 15/08/2021 101,913 0.16

150,000 CNH Industrial Capital LLC 3.625% 15/04/2018 151,152 0.2420,000 CNH Industrial Capital LLC 4.875% 01/04/2021 21,050 0.03

110,000 CNH Industrial Capital LLC 3.875% 15/10/2021 112,204 0.1848,339 College Loan Corp Trust I** 1.849% 15/01/2037 44,332 0.0755,000 Commercial Mortgage Pass Through

Certificates* 3.147% 10/02/2047 55,355 0.0916,525 Commercial Mortgage Trust 2006-GG7* 5.767% 10/07/2038 16,696 0.03

188,543 Commonbond Student Loan Trust 2016-B** 2.730% 25/10/2040 188,600 0.3083,337 Commonbond Student Loan Trust 2017-A-GS** 2.402% 25/05/2041 84,134 0.13

120,011 CPS Auto Receivables Trust 2017-D** 1.870% 15/03/2021 119,769 0.19150,000 CPS Auto Trust** 2.680% 17/05/2021 150,197 0.2450,783 Credit Suisse ABS Repackaging Trust 2013-A** 2.500% 25/01/2030 47,935 0.08

380,000 Crestline Denali CLO Ltd** 2.421% 26/10/2027 381,391 0.61161,000 Crown Castle International Corp 3.400% 15/02/2021 164,538 0.26225,000 CVS Health Corp 2.125% 01/06/2021 219,759 0.35150,000 DDR Corp 3.500% 15/01/2021 152,373 0.2480,000 Dell International LLC/EMC Corp 3.480% 01/06/2019 81,030 0.13

135,000 Dell International LLC/EMC Corp 4.420% 15/06/2021 140,782 0.22185,000 Delta Air Lines Inc 3.625% 15/03/2022 188,376 0.3064,605 Diamond Resorts Owner Trust 2013-1** 1.950% 20/01/2025 64,605 0.10

116,497 Diamond Resorts Owner Trust 2013-2** 2.270% 20/05/2026 116,470 0.1835,176 Diamond Resorts Owner Trust 2014-1** 2.980% 20/05/2027 35,022 0.0642,306 Diamond Resorts Owner Trust 2015-2** 2.990% 22/05/2028 42,008 0.0728,204 Diamond Resorts Owner Trust 2015-2** 3.540% 22/05/2028 28,071 0.04

139,350 Diamond Resorts Owner Trust 2016-1** 3.080% 20/11/2028 137,534 0.22100,000 Digital Realty Trust LP 3.400% 01/10/2020 102,040 0.1685,000 Discovery Communications LLC 2.950% 20/03/2023 84,223 0.13

290,000 Dollar Tree Inc 5.750% 01/03/2023 304,319 0.48137,900 Domino's Pizza Master Issuer LLC** 3.484% 25/10/2045 139,300 0.2235,000 Dow Chemical Co 8.550% 15/05/2019 37,924 0.0619,721 DRB Prime Student Loan Trust 2015-A** 2.320% 25/04/2030 19,598 0.0339,666 DRB Prime Student Loan Trust 2015-A** 3.060% 25/07/2031 39,784 0.0629,199 DRB Prime Student Loan Trust 2015-B** 2.540% 27/04/2026 28,853 0.0579,847 DRB Prime Student Loan Trust 2015-D** 3.252% 25/01/2040 81,677 0.1354,843 DRB Prime Student Loan Trust 2016-A** 3.552% 25/04/2040 54,749 0.09

323,913 DRB Prime Student Loan Trust 2016-R** 3.464% 25/10/2044 327,153 0.5227,400 Drive Auto Receivables Trust 2016-B** 2.560% 15/06/2020 27,428 0.0460,000 Drive Auto Receivables Trust 2017-1** 2.840% 15/04/2022 60,300 0.1020,000 Drive Auto Receivables Trust 2017-2** 2.750% 15/09/2023 20,039 0.0332,308 Drug Royalty LP 1** 6.130% 15/07/2024 32,629 0.054,118 DT Auto Owner Trust 2016-1** 2.790% 15/05/2020 4,119 0.01

24,880 DT Auto Owner Trust 2016-2** 2.920% 15/05/2020 24,890 0.04130,000 Duke Energy Corp 1.800% 01/09/2021 126,556 0.2045,000 DXC Technology Co 2.875% 27/03/2020 45,243 0.07

211,716 Earnest Student Loan Program 2016-B LLC** 3.602% 26/02/2035 213,140 0.34170,213 Earnest Student Loan Program 2016-C LLC** 2.680% 25/07/2035 167,597 0.27103,061 Earnest Student Loan Program 2016-D LLC** 2.720% 25/01/2041 102,288 0.16202,765 ECMC Group Student Loan Trust 2016-1** 2.902% 26/07/2066 204,842 0.33300,000 EdLinc Student Loan Funding Trust 2017-A** 3.350% 01/12/2047 297,914 0.4729,164 Elara HGV Timeshare Issuer 2014-A LLC** 3.020% 25/02/2027 28,623 0.05








115,704 Elara HGV Timeshare Issuer 2017-A LLC** 2.690% 25/03/2030 115,123 0.18185,000 Entergy Texas Inc 7.125% 01/02/2019 194,402 0.31

50,000 Entergy Texas Inc 2.550% 01/06/2021 49,673 0.0896,387 Enterprise Fleet Financing LLC** 1.830% 20/09/2021 96,341 0.15

160,000 EQT Corp 3.000% 01/10/2022 158,469 0.25100,000 Exeter Automobile Receivables Trust 2015-2** 3.900% 15/03/2021 101,206 0.1680,000 Exeter Automobile Receivables Trust 2016-3** 2.840% 16/08/2021 79,516 0.13

105,000 Expedia Inc 7.456% 15/08/2018 108,310 0.17180,000 Expedia Inc 5.950% 15/08/2020 193,778 0.31300,000 Express Scripts Holding Co 3.300% 25/02/2021 304,929 0.48241,615 Fannie Mae REMICS* 3.000% 25/04/2040 242,826 0.3988,687 Fannie Mae REMICS* 3.000% 25/01/2041 89,295 0.14

2,000,000 Federal Home Loan Bank Discount Notes 0.000% 10/01/2018 1,999,431 3.185,782 First Franklin Mortgage Loan Trust 2005-FF3** 2.272% 25/04/2035 5,802 0.01

330,000 First Horizon National Corp 3.500% 15/12/2020 337,219 0.5490,000 First Investors Auto Owner Trust** 2.720% 17/04/2023 89,692 0.1412,640 First Investors Auto Owner Trust 2016-1** 1.920% 15/05/2020 12,639 0.02

170,000 First Investors Auto Owner Trust 2016-2** 2.210% 15/07/2022 168,142 0.2710,935 Flagship Credit Auto Trust 2015-2** 1.980% 15/10/2020 10,937 0.02

140,000 Flagship Credit Auto Trust 2016-3** 2.430% 15/06/2021 140,135 0.22340,000 Flagship Credit Auto Trust 2016-4** 2.410% 15/10/2021 339,003 0.54120,000 Flagship Credit Auto Trust 2016-4** 2.710% 15/11/2022 117,999 0.19100,000 Flagship Credit Auto Trust 2017-4** 2.920% 15/11/2023 99,550 0.1675,000 FLIR Systems Inc 3.125% 15/06/2021 75,615 0.12

800,000 Florida Power & Light Company 1.884% 15/03/2018 796,999 1.2639,175 FNA 2015-1 Trust** 3.240% 10/12/2023 38,952 0.06

123,397 Freddie Mac REMICS* 3.000% 15/08/2040 124,570 0.20119,759 Freddie Mac REMICS* 3.000% 15/03/2041 120,804 0.1975,000 FS Investment Corp 4.000% 15/07/2019 75,917 0.12

130,000 GATX Corp 2.600% 30/03/2020 130,037 0.21255,000 General Motors Financial Co Inc 3.200% 13/07/2020 258,612 0.41280,000 Genpact Luxembourg Sarl 3.700% 01/04/2022 278,559 0.44

2,270 GLS Auto Receivables Trust 2015-1** 2.250% 15/12/2020 2,269 0.00200,000 Goal Structured Solutions Trust 2016-B** 3.250% 25/08/2051 202,902 0.32175,000 Goldman Sachs Group Inc 2.375% 22/01/2018 175,038 0.28300,000 Goldman Sachs Group Inc 2.550% 23/10/2019 300,696 0.48130,000 Goldman Sachs Group Inc 2.875% 25/02/2021 131,057 0.21

27,019 Government National Mortgage Association* 2.829% 20/05/2041 27,630 0.04290,000 Graphic Packaging International Inc 4.750% 15/04/2021 304,500 0.4828,782 Green Tree Mortgage Loan Trust 2005-HE1** 2.378% 25/12/2032 29,236 0.05

240,000 Harris Corp 1.999% 27/04/2018 239,768 0.3870,000 Harris Corp 2.700% 27/04/2020 70,319 0.11

300,000 HCA Inc 3.750% 15/03/2019 303,375 0.4860,000 Healthcare Trust of America Holdings LP 2.950% 01/07/2022 59,905 0.10

280,000 Hercules Capital Inc 4.625% 23/10/2022 284,202 0.45130,000 Hero Funding 2017-3** 3.190% 20/09/2048 129,805 0.2156,752 HERO Funding Trust 2015-1** 3.840% 21/09/2040 57,745 0.09

100,000 Highwoods Realty LP 7.500% 15/04/2018 101,521 0.16141,646 Hilton Grand Vacations Trust 2013-A** 2.280% 25/01/2026 141,023 0.2231,883 Hilton Grand Vacations Trust 2014-A** 1.770% 25/11/2026 31,428 0.0556,937 HSI Asset Securitization Corp Trust 2005-NC1* 2.317% 25/07/2035 57,241 0.09

267,000 Hughes Satellite Systems Corp 6.500% 15/06/2019 280,016 0.44250,000 Hyundai Capital America 2.550% 06/02/2019 249,627 0.40250,000 International Lease Finance Corp 3.875% 15/04/2018 251,163 0.40300,000 Jackson National Life Global Funding 2.500% 27/06/2022 296,850 0.47








46,335 JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC18* 5.466% 12/06/2047 46,263 0.07

2,988 JP Morgan Mortgage Acquisition Corp 2005-FRE1** 1.772% 25/10/2035 2,989 0.00

170,000 JP Morgan Mortgage Trust 2017-6* 3.500% 25/12/2048 172,655 0.27285,000 JPMorgan Chase & Co 4.500% 24/01/2022 305,135 0.48145,000 Kinross Gold Corp 5.125% 01/09/2021 151,888 0.24235,000 L3 Technologies Inc 5.200% 15/10/2019 246,248 0.39130,000 Laboratory Corp of America Holdings 2.625% 01/02/2020 130,408 0.21100,000 Laurel Road Prime Student Loan Trust 2017-B** 3.610% 25/08/2042 98,874 0.16165,000 Lazard Group LLC 4.250% 14/11/2020 171,976 .27290,000 Lear Corp 5.375% 15/03/2024 306,836 0.49235,000 Leidos Holdings Inc 4.450% 01/12/2020 244,988 0.39230,000 Lennar Corp 4.500% 15/11/2019 236,900 0.3860,000 Lennar Corp 4.750% 01/04/2021 62,625 0.10

115,000 Lincoln National Corp 6.250% 15/02/2020 123,898 0.2025,000 Lincoln National Corp 4.200% 15/03/2022 26,353 0.04

305,000 LyondellBasell Industries NV 5.000% 15/04/2019 313,231 0.5088,264 Marlette Funding Trust 2016-1** 3.060% 17/01/2023 88,437 0.14

108,321 Marlette Funding Trust 2017-1** 2.827% 15/03/2024 108,672 0.1796,857 Marlette Funding Trust 2017-2** 2.390% 15/07/2024 96,877 0.15

102,928 Marlette Funding Trust 2017-3** 2.360% 15/12/2024 102,908 0.16220,000 Marriott International Inc 2.875% 01/03/2021 221,576 0.3565,000 Martin Marietta Materials Inc 2.126% 20/12/2019 65,125 0.1080,000 Martin Marietta Materials Inc 2.096% 22/05/2020 80,454 0.1320,000 Masco Corp 7.125% 15/03/2020 21,909 0.0390,000 Masco Corp 3.500% 01/04/2021 91,859 0.1518,851 Mastr Asset Backed Securities Trust

2005-WMC1** 2.272% 25/03/2035 19,031 0.0390,000 Mattel Inc 1.700% 15/03/2018 90,113 0.1449,760 Miramax LLC** 3.340% 20/07/2026 49,826 0.08

200,000 Mondelez International Holdings Netherlands BV 2.000% 28/10/2021 194,750 0.31

140,000 Morgan Stanley 3.750% 25/02/2023 145,192 0.23250,000 Mosaic Solar Loans 2017-2 LLC** 0.000% 20/09/2042 220,807 0.35

23,995 MVW Owner Trust 2013-1** 2.150% 22/04/2030 23,694 0.0436,156 Nations Equipment Finance Funding III LLC** 3.610% 20/02/2021 36,201 0.06

199,544 Navient Student Loan Trust 2015-1** 3.052% 25/07/2052 200,048 0.32380,000 Navient Student Loan Trust 2016-6** 2.852% 25/03/2066 391,413 0.62100,000 Navient Student Loan Trust 2017-3** 2.602% 26/07/2066 102,803 0.16200,000 Navient Student Loan Trust 2017-4** 2.552% 27/09/2066 202,288 0.32126,234 Navient Student Loan Trust 2017-5** 2.352% 26/07/2066 126,856 0.20

9,394 Navitas Equipment Receivables LLC 2015-1** 2.120% 15/11/2018 9,389 0.0141,218 Nelnet Student Loan Trust 2005-1** 1.477% 25/10/2033 40,483 0.0650,000 Nelnet Student Loan Trust 2005-4** 3.890% 22/03/2032 46,081 0.07

100,000 Nelnet Student Loan Trust 2012-1** 2.328% 25/06/2042 91,788 0.15250,000 Neuberger Berman CLO XX Ltd** 2.612% 15/01/2028 250,073 0.40660,000 New Residential Advance Receivables

Trust Advance Receivables Backed Notes** 2.575% 15/10/2049 654,522 1.0434,000 Newell Brands Inc 2.600% 29/03/2019 34,126 0.05

100,000 NextGear Floorplan Master Owner Trust** 2.380% 15/10/2020 100,120 0.16150,000 NextGear Floorplan Master Owner Trust** 3.177% 15/04/2021 152,349 0.2452,370 North Carolina State Education

Assistance Authority** 2.167% 25/07/2025 52,438 0.0869,505 Northstar Education Finance Inc** 2.128% 30/10/2045 65,100 0.10








100,000 NRZ Advance Receivables Trust 2015-ON1** 3.107% 15/12/2050 99,555 0.16235,000 NXP BV/NXP Funding LLC 4.125% 01/06/2021 240,288 0.38250,000 Oak Hill Credit Partners X Ltd** 2.493% 20/07/2026 250,272 0.40300,000 OCP CLO 2015-8 Ltd** 2.803% 17/04/2027 300,960 0.48100,000 OnDeck Asset Securitization Trust II LLC** 4.210% 17/05/2020 100,402 0.16190,000 OneMain Direct Auto Receivables Trust

2017-2** 2.310% 14/12/2021 189,902 0.306,654 Option One Mortgage Loan Trust 2005-5

Asset-Backed Certificates Series 2005-5** 1.762% 25/12/2035 6,659 0.0178,970 Orange Lake Timeshare Trust 2016-A** 2.610% 08/03/2029 78,368 0.1280,000 Oxford Finance Funding 20s16-1 LLC** 3.968% 17/06/2024 80,337 0.13

800,000 PACCAR Financial Corp 1.250% 04/01/2018 799,918 1.2840,000 Penske Truck Leasing Co Lp/

PTL Finance Corp 4.875% 11/07/2022 43,227 0.07125,000 Penske Truck Leasing Co Lp/PTL Finance Corp 3.050% 09/01/2020 126,558 0.2040,000 Penske Truck Leasing Co Lp/PTL Finance Corp 3.300% 01/04/2021 40,771 0.0670,000 Penske Truck Leasing Co Lp/PTL Finance Corp 2.500% 15/06/2019 70,159 0.11

147,565 PHEAA Student Loan Trust 2016-2** 2.502% 25/11/2065 148,013 0.23365,000 Pitney Bowes Inc 3.625% 01/10/2021 341,275 0.54120,000 Prestige Auto Receivables Trust 2015-1** 2.040% 15/04/2021 119,960 0.1953,000 Puget Energy Inc 6.500% 15/12/2020 58,711 0.0985,000 Puget Energy Inc 6.000% 01/09/2021 94,117 0.15

140,000 QVC Inc 3.125% 01/04/2019 140,565 0.228,639 RAAC Series 2006-RP2 Trust** 1.802% 25/02/2037 8,625 0.01

359 RAMP Series 2005-EFC5 Trust** 1.952% 25/10/2035 359 0.00305,000 Regions Financial Corp 3.200% 08/02/2021 310,547 0.49155,000 Reinsurance Group of America Inc 5.000% 01/06/2021 165,872 0.26243,000 RPM International Inc 6.125% 15/10/2019 258,840 0.41800,000 Ryder System Inc 1.756% 12/01/2018 799,577 1.27235,000 Ryder System Inc 2.875% 01/09/2020 236,768 0.3820,000 Ryder System Inc 2.250% 01/09/2021 19,708 0.03

175,000 S&P Global Inc 3.300% 14/08/2020 178,363 0.28140,000 Santander Drive Auto Receivables Trust 2014-4** 3.100% 16/11/2020 141,353 0.2214,628 Santander Drive Auto Receivables Trust 2016-1** 1.620% 16/03/2020 14,626 0.02

200,000 Santander Drive Auto Receivables Trust 2016-1** 4.020% 15/04/2022 205,230 0.3340,758 Saxon Asset Securities Trust 2005-1** 2.018% 25/05/2035 41,246 0.07

240,000 SBA Tower Trust 3.598% 09/04/2043 239,911 0.38225,000 SBA Tower Trust 3.156% 10/10/2045 227,531 0.3690,000 SBA Tower Trust 3.168% 09/04/2047 89,680 0.14

250,000 Seneca Park CLO Ltd 2014-1** 2.473% 17/07/2026 250,296 0.40213,170 Shellpoint Co-Originator Trust 2016-1* 3.000% 25/10/2031 212,019 0.34180,000 Sherwin-Williams Co 2.750% 01/06/2022 179,486 0.28185,000 Shire Acquisitions Investments Ireland DAC 2.400% 23/09/2021 182,249 0.2919,261 Sierra Timeshare 2013-1 Receivables

Funding LLC** 1.590% 20/11/2029 19,299 0.0313,920 Sierra Timeshare 2014-1 Receivables



Funding LLC** 3.080% 20/09/2032 61,067 0.10160,000 Simon Property Group LP 2.350% 30/01/2022 158,574 0.25303,000 Sirius XM Radio Inc 3.875% 01/08/2022 305,273 0.48100,000 SLC Private Student Loan Trust 2006-A** 1.659% 15/07/2036 99,478 0.16

51,082 SLC Student Loan Trust 2005-1** 1.616% 15/02/2045 47,289 0.08








30,000 SLM Student Loan Trust 2003-14** 1.667% 25/07/2025 29,935 0.0547,885 SLM Student Loan Trust 2004-3** 1.837% 25/10/2064 42,097 0.07

250,000 SLM Student Loan Trust 2004-3** 1.917% 25/10/2064 248,213 0.3958,002 SLM Student Loan Trust 2005-4** 1.547% 25/07/2055 54,313 0.0955,475 SLM Student Loan Trust 2005-6** 1.657% 25/01/2044 52,527 0.08

101,385 SLM Student Loan Trust 2005-8** 1.677% 25/01/2055 92,293 0.15152,934 SLM Student Loan Trust 2006-5** 1.577% 25/10/2040 144,747 0.23100,000 SLM Student Loan Trust 2013-1** 3.128% 25/11/2070 98,908 0.1699,604 SMB Private Education Loan Trust 2015-A** 2.490% 15/06/2027 99,535 0.1634,279 SMB Private Education Loan Trust 2016-A** 2.177% 15/05/2023 34,299 0.05

210,945 Sofi Consumer Loan Program 2016-1 LLC** 3.260% 25/08/2025 212,367 0.34124,522 Sofi Consumer Loan Program 2016-2 LLC** 3.090% 27/10/2025 125,222 0.2090,055 Sofi Consumer Loan Program 2016-3 LLC** 3.050% 26/12/2025 90,550 0.14

239,616 Sofi Consumer Loan Program 2016-5 LLC** 3.060% 25/09/2028 240,283 0.38100,600 Sofi Consumer Loan Program 2017-2 LLC** 3.280% 25/02/2026 101,324 0.16151,005 Sofi Consumer Loan Program 2017-3 LLC** 2.770% 25/05/2026 151,592 0.24120,833 Sofi Professional Loan Program 2016-A LLC** 2.760% 26/12/2036 121,107 0.19120,000 Southern Co 2.350% 01/07/2021 119,387 0.19182,229 SpringCastle America Funding LLC** 3.050% 25/04/2029 183,587 0.29180,000 Springleaf Funding Trust 2016-A** 2.900% 15/11/2029 180,333 0.29125,000 Sprint Communications Inc 9.250% 15/04/2022 149,688 0.24160,000 SPS Servicer Advance Receivables Trust

Advance Receivables Backed Notes 2016-T1** 2.530% 16/11/2048 158,596 0.25165,000 Standard Industries Inc 5.500% 15/02/2023 172,425 0.27280,000 Stanley Black & Decker Inc 2.451% 17/11/2018 280,906 0.45250,000 Symphony CLO XV Ltd** 2.533% 17/10/2026 250,788 0.40158,000 Taco Bell Funding LLC** 3.832% 25/05/2046 161,005 0.2612,807 TAL Advantage V LLC** 1.700% 20/05/2039 12,787 0.02

175,000 TCP Capital Corp 4.125% 11/08/2022 172,423 0.2745,000 Tech Data Corp 3.700% 15/02/2022 45,182 0.0796,108 Textainer Marine Containers V Ltd** 3.520% 20/06/2042 95,687 0.15

305,000 TIAA Asset Management Finance Co LLC 2.950% 01/11/2019 308,051 0.49800,000 Toyota Motor Credit Corporation 0.000% 26/03/2018 796,995 1.26220,000 Trinity Acquisition Plc 3.500% 15/09/2021 224,480 0.36100,000 TRIP Rail Master Funding LLC** 6.024% 15/07/2041 108,878 0.17223,142 Triton Container Finance IV LLC** 3.620% 20/08/2042 223,862 0.3695,233 Triton Container Finance VI LLC** 3.520% 20/06/2042 94,053 0.1555,000 Unum Group 3.000% 15/05/2021 55,427 0.09

120,000 Verizon Communications Inc 2.946% 15/03/2022 120,850 0.19800,000 Virginia Electric and Power Company 1.624% 09/01/2018 799,716 1.27104,050 VSE 2016-A VOI Mortgage LLC** 2.540% 20/07/2033 103,424 0.1615,019 Wachovia Bank Commercial Mortgage

Trust Series 2006-C26* 5.997% 15/06/2045 15,102 0.0223,487 Wachovia Bank Commercial Mortgage

Trust Series 2007-C33* 6.011% 15/02/2051 23,561 0.0466,592 Welk Resorts 2015-A LLC** 2.790% 16/06/2031 65,535 0.10

179,417 Welk Resorts 2017-A LLC** 3.410% 15/06/2033 177,787 0.28371,450 Wendys Funding LLC 2015-1** 3.371% 15/06/2045 373,254 0.60109,909 Westgate Resorts 2015-2 LLC** 3.200% 20/07/2028 109,992 0.1765,000 Weyerhaeuser Co 7.375% 01/10/2019 70,470 0.11

160,000 WFRBS Commercial Mortgage Trust 2013-UBS1* 3.591% 15/03/2046 163,556 0.26

800,000 Wisconsin Gas Co 1.583% 09/01/2018 799,723 1.27








120,000 XLIT Ltd 5.750% 01/10/2021 131,816 0.21102,000 Zimmer Biomet Holdings Inc 2.000% 01/04/2018 102,043 0.16

–––––––––––– ––––––––50,890,593 80.74


–––––––––––– ––––––––



960,000 United States Treasury Note/Bond 0.750% 31/10/2018 952,163 1.51380,000 United States Treasury Note/Bond 1.625% 15/03/2020 377,729 0.60

–––––––––––– ––––––––1,329,892 2.11

–––––––––––– ––––––––Total Transferable Securities (Government Bonds) 1,329,892 2.11

–––––––––––– ––––––––

Financial Derivative Instruments*** - 0.53% (Dec 2016: (0.48)%)

Open Futures Contracts - 0.07% (Dec 2016: 0.02%)





(1,604,719) (133.73) 22 of U.S. 10 Year Ultra FuturesShort Futures ContractsExpiring March 2018 1,969 0.00


(12,957,719) (116.74) 29 of U.S. 5 Year Note FuturesShort Futures ContractsExpiring March 2018 63,508 0.11


–––––––––––– ––––––––Net unrealised gain on open futures contracts 41,067 0.07

–––––––––––– ––––––––

Open Forward Foreign Currency Exchange Contracts – 0.19% (Dec 2016: (0.44)%)

Unrealised



12/01/2018 State Street Bank € 6,535,936 US$ 7,727,503 118,797 0.1912/01/2018 State Street Bank € 111,323 US$ 131,463 2,179 0.00

–––––––––––– ––––––––Unrealised gain on open forward foreign currency exchange contracts 120,976 0.19


–––––––––––– ––––––––




Credit Default Swaps - (0.08)% (Dec 2016: (0.06)%)



USD 100,000 CMBX.NA.BBB- 3.000% 17/11/2045 (14,326) (0.02)USD 170,000 CMBX.NA.BBB- 3.000% 11/05/2063 (24,925) (0.05)USD 60,000 CMBX.NA.BBB- 3.000% 11/05/2063 (8,798) (0.01)

–––––––––––– ––––––––Credit default swaps at fair value (48,049) (0.08)

–––––––––––– ––––––––

Swaptions Purchased - 0.35% (31 Dec 2016: Nil)

Maturity Fair Value % of Net

Nominal Security Date US$ Assets

3,390,000 Put at 2.940 on BCM SWAPTION USD PAYExpiring December 2032 12/13/2032 144,383 0.23

1,660,000 Call at 2.440 on BCM SWAPTION USD PAYExpiring December 2032 12/13/2032 73,617 0.12

–––––––––––– ––––––––218,000 0.35

–––––––––––– ––––––––Total Swaptions Purchased 218,000 0.35

–––––––––––– ––––––––Total Financial Derivative Instruments 331,994 0.53

–––––––––––– ––––––––

Fair Value % of Net

US$ Assets

Total Investments 60,932,826 96.68Cash at bank 1,503,312 2.39Cash at broker 6,879 0.01Other net assets 582,238 0.92


–––––––––––– –––––––––––––––––––– ––––––––

Classification

*Mortgage Backed Securities (US$1,418,505).**Asset Backed Securities (US$ 19,091,194).***All financial derivative instruments are traded over the counter (“OTC”).The broker for the open futures contracts is Morgan Stanley.The counterparty for the open forward foreign currency exchange contracts is State Street Bank.The counterparties for the credit default swaps and swaptions are Goldman Sachs and JP Morgan.


Transferable securities admitted to an official stock exchange listing 53.33Transferable securities dealt in on another regulated market 29.52Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) 13.10Exchange traded financial derivative instruments 0.10OTC financial derivative instruments 0.54Other current assets 3.41


––––––––––––––––




Barings Umbrella Fund PlcBarings Emerging Markets Debt Blended Total Return Fund





Argentina - 1.29% (31 Dec 2016: Nil)

1,350,000 Capex SA 6.875% 15/05/2024 1,413,761 1.29–––––––––––– ––––––––

Belarus - 0.55% (31 Dec 2016: Nil)


Brazil - 4.95% (31 Dec 2016: 7.17%)

828,000 Itau Unibanco Holding SA 6.125% 31/12/2099 836,143 0.76600,000 MARB BondCo Plc 7.000% 15/03/2024 603,750 0.55100,000 Petrobras Global Finance BV 6.125% 17/01/2022 106,375 0.10

1,975,000 Petrobras Global Finance BV 4.750% 14/01/2025 2,625,713 2.39500,000 Petrobras Global Finance BV 7.375% 17/01/2027 551,500 0.50800,000 Petrobras Global Finance BV 5.625% 20/05/2043 717,912 0.65

–––––––––––– ––––––––5,441,393 4.95

–––––––––––– ––––––––Chile - 2.56% (31 Dec 2016: 2.65%)

2,650,000 VTR Finance BV 6.875% 15/01/2024 2,802,376 2.56–––––––––––– ––––––––

Colombia - 0.88% (31 Dec 2016: Nil)

980,000 Bancolombia SA 4.875% 18/10/2027 967,995 0.88–––––––––––– ––––––––

Costa Rica - Nil (31 Dec 2016: 0.57%)

Indonesia - 0.64% (31 Dec 2016: Nil)

710,000 Chandra Asri Petrochemical Tbk PT 4.950% 08/11/2024 699,748 0.64–––––––––––– ––––––––

Israel - 2.02% (31 Dec 2016: Nil)

700,000 Altice Financing SA 7.500% 15/05/2026 747,250 0.681,400,000 Altice Financing SA 6.625% 15/02/2023 1,469,440 1.34

–––––––––––– ––––––––2,216,690 2.02

–––––––––––– ––––––––Jamaica - 1.62% (31 Dec 2016: 0.92%)


Mexico - 6.25% (31 Dec 2016: 11.96%)

1,100,000 Banco Mercantil del Norte SA 7.625% 31/12/2099 1,208,625 1.101,329,987 BBVA Bancomer SA 5.350% 12/11/2029 1,330,000 1.212,551,999 Fermaca Enterprises S de RL de CV 6.375% 30/03/2038 2,757,435 2.52

900,000 Grupo Idesa SA de CV 7.875% 18/12/2020 850,500 0.78710,000 Mexico City Airport Trust 5.500% 31/07/2047 704,675 0.64

–––––––––––– ––––––––6,851,235 6.25

–––––––––––– ––––––––Morocco - 0.52% (31 Dec 2016: 1.97%)

500,000 OCP SA 6.875% 25/04/2044 575,170 0.52–––––––––––– ––––––––

Peru - 1.76% (31 Dec 2016: 2.19%)

1,738,975 Abengoa Transmision Sur SA 6.875% 30/04/2043 1,930,262 1.76–––––––––––– ––––––––

Portugal - Nil (31 Dec 2016: 1.01%)

Qatar - 0.92% (31 Dec 2016: Nil)

1,000,000 Qatar Reinsurance Co Ltd 4.950% 31/12/2099 1,005,286 0.92–––––––––––– ––––––––







Russia - 1.02% (31 Dec 2016: 3.23%)

1,100,000 Sberbank of Russia Via SB Capital SA 5.500% 26/02/2024 1,119,965 1.02–––––––––––– ––––––––

South Africa - 0.93% (31 Dec 2016: Nil)

1,000,000 Petra Diamonds US Treasury Plc 7.250% 01/05/2022 1,017,000 0.93–––––––––––– ––––––––

Turkey - 1.87% (31 Dec 2016: 1.03%)

400,000 Turkiye Is Bankasi 6.125% 25/04/2024 404,302 0.37900,000 Turkiye Is Bankasi 7.000% 29/06/2028 902,874 0.82725,000 Yasar Holding AS 8.875% 06/05/2020 742,036 0.68

–––––––––––– ––––––––2,049,212 1.87


1,600,000 Ameren Corp 0.000% 04/01/2018 1,599,533 1.461,800,000 Hewlett Packard Enterprise Co 1.827% 08/01/2018 1,799,370 1.641,200,000 Mckesson Corp 0.000% 02/02/2018 1,197,702 1.091,300,000 Public Service Enterprise Group Inc 0.010% 22/02/2018 1,296,244 1.181,000,000 Southern Gas Capital Corp 0.010% 16/01/2018 999,221 0.91

–––––––––––– ––––––––6,892,070 6.28


–––––––––––– ––––––––

Transferable Securities (Government Bonds) - 62.27% (31 Dec 2016: 56.07%)

Argentina - 3.85% (31 Dec 2016: 2.67%)

6,800,000 Argentine Bonos del Tesoro 16.000% 17/10/2023 377,879 0.3415,000,000 Argentine Bonos del Tesoro 15.500% 17/10/2026 837,584 0.76

300,000 Argentine Republic Government International Bond 5.250% 15/01/2028 375,253 0.34

730,000 City of Buenos Aires Argentina 7.500% 01/06/2027 813,950 0.74550,000 Province of Santa Fe 6.900% 01/11/2027 585,750 0.53300,000 Provincia de Buenos Aires 5.375% 20/01/2023 382,902 0.35600,000 Provincia de Cordoba 7.125% 10/06/2021 649,500 0.59200,000 Provincia de Mendoza Argentina 8.375% 19/05/2024 223,450 0.20

–––––––––––– ––––––––4,246,268 3.85

–––––––––––– ––––––––Armenia - 1.04% (31 Dec 2016: 1.29%)

1,000,000 Republic of Armenia International Bond 7.150% 26/03/2025 1,145,000 1.04–––––––––––– ––––––––

Belarus - 0.89% (31 Dec 2016: Nil)

900,000 Republic of Belarus International Bond 6.875% 28/02/2023 970,875 0.89–––––––––––– ––––––––

Brazil - 8.04% (31 Dec 2016: 6.99%)

8,705,000 Brazil Notas do Tesouro Nacional Serie B 6.000% 15/08/2050 8,805,857 8.04–––––––––––– ––––––––

Colombia - 4.91% (31 Dec 2016: 6.09%)

860,000 Colombia Government International Bond 5.625% 26/02/2044 988,678 0.906,337,000,000 Colombian TES 7.750% 18/09/2030 2,313,014 2.115,375,506,445 Colombian TES 4.750% 04/04/2035 2,086,478 1.90

–––––––––––– ––––––––5,388,170 4.91

–––––––––––– ––––––––





Croatia - 1.73% (31 Dec 2016: 0.80%)

600,000 Croatia Government International Bond 6.000% 26/01/2024 685,500 0.621,000,000 Croatia Government International Bond 2.750% 27/01/2030 1,220,847 1.11

–––––––––––– ––––––––1,906,347 1.73

–––––––––––– ––––––––Dominican Republic - 0.79% (31 Dec 2016: 0.98%)

800,000 Dominican Republic International Bond 5.875% 18/04/2024 868,000 0.79–––––––––––– ––––––––

El Salvador - 1.65% (31 Dec 2016: 0.76%)

600,000 El Salvador Government International Bond 7.375% 01/12/2019 638,067 0.58730,000 El Salvador Government International Bond 8.625% 28/02/2029 858,849 0.78280,000 El Salvador Government International Bond 8.250% 10/04/2032 323,400 0.29

–––––––––––– ––––––––1,820,316 1.65

–––––––––––– ––––––––Ghana - 3.74% (31 Dec 2016: 4.25%)

3,985,000 Ghana Government Bond 21.500% 09/03/2020 953,447 0.873,393,000 Ghana Government Bond 18.250% 25/07/2022 783,947 0.711,720,000 Ghana Government International Bond 10.750% 14/10/2030 2,371,450 2.16

–––––––––––– ––––––––4,108,844 3.74

–––––––––––– ––––––––Indonesia - 1.89% (31 Dec 2016: 1.98%)

1,100,000,000 Indonesia Treasury Bond 8.375% 15/03/2034 90,907 0.0824,100,000,000 Indonesia Treasury Bond 8.250% 15/05/2036 1,981,884 1.81

–––––––––––– ––––––––2,072,791 1.89

–––––––––––– ––––––––Ivory Coast - 0.48% (31 Dec 2016: Nil)

400,000 Ivory Coast Government International Bond 5.125% 15/06/2025 524,334 0.48–––––––––––– ––––––––

Malaysia - 2.93% (31 Dec 2016: 3.30%)

6,000,000 Malaysia Government Bond 3.955% 15/09/2025 1,475,908 1.356,800,000 Malaysia Government Bond 4.127% 15/04/2032 1,616,595 1.47

500,000 Malaysia Government Bond 4.935% 30/09/2043 125,221 0.11–––––––––––– ––––––––

3,217,724 2.93–––––––––––– ––––––––

Mexico - 9.61% (31 Dec 2016: 10.54%)

131,800,000 Mexican Bonos 7.750% 13/11/2042 6,689,364 6.113,620,000 Mexico Government International Bond 5.750% 12/10/2110 3,829,508 3.50

–––––––––––– ––––––––10,518,872 9.61

–––––––––––– ––––––––Nigeria - 1.18% (31 Dec 2016: Nil)

247,352,000 Nigeria Treasury Bill 0.000% 14/06/2018 643,631 0.59247,352,000 Nigeria Treasury Bill 0.000% 21/06/2018 641,755 0.59

–––––––––––– ––––––––1,285,386 1.18

–––––––––––– ––––––––Peru - 3.64% (31 Dec 2016: 5.70%)

5,000,000 Peru Government Bond 6.950% 12/08/2031 1,759,650 1.602,600,000 Peru Government Bond 6.900% 12/08/2037 903,112 0.82







Peru - 3.64% (31 Dec 2016: 5.70%) (continued)

3,975,000 Peru Government Bond 6.850% 12/02/2042 1,339,009 1.22–––––––––––– ––––––––

4,001,771 3.64–––––––––––– ––––––––

Russia - 5.09% (31 Dec 2016: Nil)

162,200,000 Russian Federal Bond - OFZ 7.000% 25/01/2023 2,818,973 2.57147,000,000 Russian Federal Bond - OFZ 8.500% 17/09/2031 2,761,432 2.52

–––––––––––– ––––––––5,580,405 5.09

–––––––––––– ––––––––South Africa - 8.74% (31 Dec 2016: 7.16%)

42,500,000 Republic of South Africa Government Bond 6.500% 28/02/2041 2,430,791 2.2246,800,000 Republic of South Africa Government Bond 6.500% 28/02/2041 2,676,729 2.4460,900,000 Republic of South Africa Government Bond 8.750% 28/02/2048 4,461,509 4.08

–––––––––––– ––––––––9,569,029 8.74

–––––––––––– ––––––––Suriname - Nil (31 Dec 2016: 0.15%)

Tunisia - 0.69% (31 Dec 2016: Nil)

600,000 Banque Centrale de Tunisie International Bond 5.625% 17/02/2024 758,605 0.69–––––––––––– ––––––––

Ukraine - 1.38% (31 Dec 2016: Nil)

1,540,000 Ukraine Government International Bond 7.375% 25/09/2032 1,518,055 1.38–––––––––––– ––––––––

United Arab Emirates - Nil (31 Dec 2016: 1.45%)

Uruguay - Nil (31 Dec 2016: 1.96%)

–––––––––––– ––––––––Total Transferable Securities (Total Government Bonds) 68,306,649 62.27


–––––––––––– ––––––––

Financial Derivative Instruments* - (0.64)% (31 Dec 2016: 0.03%)

Open Futures Contracts - (0.02)% (31 Dec 2016: 0.03%)




(2,159,648) (166.13) 13 of U.S. Ultra Bond FuturesShort Futures ContractsExpiring March 2018 (19,883) (0.02)


–––––––––––– ––––––––

Open Forward Foreign Currency Exchange Contracts - (0.37)% (31 Dec 2016: (0.36)%)

Unrealised



15/06/2018 JPMorgan ARS 84,375,000 US$ 4,500,000 (341,355) (0.32)09/01/2018 JPMorgan BRL 1,355,480 US$ 412,000 (3,640) 0.0016/01/2018 JPMorgan CHF 2,532,879 US$ 2,550,000 51,453 0.05





Open Forward Foreign Currency Exchange Contracts - (0.37)% (31 Dec 2016: (0.36)%) (continued)

Unrealised



09/01/2018 Bank of America COP 5,997,914,600 US$ 1,961,000 47,610 0.0406/03/2018 BNP Paribas CZK 41,834,920 € 1,576,000 72,746 0.0706/03/2018 Bank of America CZK 63,721,709 € 2,386,000 128,285 0.1306/03/2018 Bank of America CZK 6,678,019 € 257,000 5,078 0.0006/03/2018 Citibank CZK 6,955,456 € 272,000 83 0.0006/03/2018 Bank of America CZK 1,866,722 € 73,000 22 0.0016/01/2018 Bank of America EGP 17,526,422 US$ 968,150 13,486 0.0116/01/2018 Bank of America EGP 2,257,513 US$ 125,000 1,441 0.0016/01/2018 Goldman Sachs EGP 17,526,422 US$ 968,578 13,058 0.0116/01/2018 JPMorgan EGP 1,666,560 US$ 93,000 342 0.0006/03/2018 JPMorgan € 316,000 CZK 8,223,521 (6,829) (0.01)06/03/2018 Bank of America € 2,716,000 CZK 69,746,880 (14,710) (0.01)16/01/2018 Citibank € 202,000 PLN 858,459 (4,065) 0.0016/01/2018 Goldman Sachs € 6,745,294 US$ 8,006,596 92,880 0.0816/01/2018 Citibank € 1,333,273 US$ 1,588,914 12,026 0.0116/01/2018 HSBC Bank € 342,542 US$ 403,000 8,311 0.0116/01/2018 BNP Paribas € 315,421 US$ 372,630 6,115 0.0102/01/2018 State Street Bank £ 2,003 US$ 2,678 27 0.0012/01/2018 State Street Bank £ 192,707 US$ 259,011 1,245 0.0012/01/2018 State Street Bank £ 162,696 US$ 218,675 1,051 0.0012/01/2018 State Street Bank £ 5,739,932 US$ 7,714,870 37,075 0.0312/01/2018 National Australia Bank £ 13,178,150 US$ 17,712,159 85,318 0.0812/01/2018 State Street Bank £ 3,813 US$ 5,148 2 0.0012/01/2018 State Street Bank £ 110,354 US$ 148,971 65 0.0012/01/2018 State Street Bank £ 3,351 US$ 4,524 2 0.0012/01/2018 National Australia Bank £ 268,102 US$ 361,918 162 0.0012/01/2018 State Street Bank £ 8,656 US$ 11,685 5 0.0012/01/2018 State Street Bank £ 4,370 US$ 5,861 41 0.0012/01/2018 State Street Bank £ 4,371 US$ 5,832 71 0.0012/01/2018 State Street Bank £ 116,656 US$ 155,935 1,612 0.0012/01/2018 State Street Bank £ 1,173 US$ 1,568 16 0.0012/01/2018 State Street Bank £ 996 US$ 1,331 14 0.0012/01/2018 State Street Bank £ 29,475 US$ 39,513 293 0.0012/01/2018 State Street Bank £ 1,379,658 US$ 1,849,541 13,727 0.0112/01/2018 State Street Bank £ 25,239 US$ 33,842 244 0.0012/01/2018 State Street Bank £ 2,098,988 US$ 2,814,492 20,254 0.0212/01/2018 State Street Bank £ 46,126 US$ 61,705 590 0.0012/01/2018 State Street Bank £ 59,050 US$ 78,994 755 0.0012/01/2018 State Street Bank £ 59,649 US$ 80,208 350 0.0016/01/2018 Bank of America HRK 12,985,973 € 1,725,000 26,992 0.0216/01/2018 BNP Paribas HRK 588,289 € 78,000 1,398 0.0016/01/2018 Goldman Sachs HUF 1,123,021,000 € 3,619,355 (6,489) (0.01)16/01/2018 HSBC Bank HUF 68,399,892 € 220,000 138 0.0016/01/2018 Citibank HUF 49,939,920 € 160,000 852 0.0023/01/2018 JPMorgan IDR 7,117,022,000 US$ 521,967 3,585 0.0023/01/2018 Goldman Sachs JPY 553,523,178 US$ 4,950,180 (33,260) (0.03)23/01/2018 HSBC Bank JPY 35,705,029 US$ 315,000 2,166 0.0023/01/2018 JPMorgan JPY 26,796,551 US$ 237,000 1,032 0.0023/01/2018 JPMorgan KZT 562,850,458 US$ 1,662,533 22,931 0.0223/01/2018 JPMorgan KZT 1,125,700,917 US$ 3,320,652 50,276 0.0523/01/2018 Citibank KZT 108,077,200 US$ 319,000 4,639 0.0023/01/2018 Bank of America KZT 76,505,400 US$ 228,000 1,097 0.0009/01/2018 Goldman Sachs MXN 56,321,528 US$ 3,044,259 (183,088) (0.18)09/01/2018 JPMorgan MXN 14,751,722 US$ 762,000 (12,603) (0.01)






Unrealised



09/01/2018 HSBC Bank MXN 3,903,144 US$ 202,000 (3,718) 0.0009/01/2018 Bank of America MXN 2,891,576 US$ 149,000 (2,106) 0.0023/01/2018 Goldman Sachs MYR 28,822,915 US$ 6,850,366 237,961 0.2323/01/2018 Morgan Stanley MYR 2,177,304 US$ 514,000 21,457 0.0223/01/2018 Goldman Sachs MYR 606,430 US$ 149,000 137 0.0012/01/2018 State Street Bank NOK 51,211,555 US$ 6,180,871 58,146 0.0512/01/2018 State Street Bank NOK 305,932 US$ 36,548 723 0.0023/01/2018 JPMorgan NZD 2,712,805 US$ 1,902,985 19,118 0.0223/01/2018 Goldman Sachs NZD 1,437,000 US$ 981,689 36,468 0.0309/01/2018 Goldman Sachs PEN 1,817,200 US$ 555,209 5,060 0.0023/01/2018 Goldman Sachs PHP 125,510,020 US$ 2,417,839 95,377 0.1023/01/2018 Goldman Sachs PHP 8,179,080 US$ 156,000 7,778 0.0116/01/2018 JPMorgan PLN 17,956,508 € 4,160,162 163,199 0.1616/01/2018 Bank of America PLN 1,159,085 € 272,000 6,376 0.0116/01/2018 Citibank PLN 823,530 € 196,000 1,235 0.0016/01/2018 Citibank RSD 100,207,025 € 833,322 15,909 0.0116/01/2018 Citibank RSD 100,207,025 € 833,253 15,993 0.0116/01/2018 Goldman Sachs RSD 12,840,000 € 107,000 1,771 0.0016/01/2018 Bank of America RSD 9,645,156 € 81,000 582 0.0016/01/2018 Goldman Sachs SEK 17,021,236 US$ 2,044,000 32,562 0.0316/01/2018 JPMorgan SEK 772,120 US$ 92,000 2,197 0.0023/01/2018 Goldman Sachs SGD 2,676,913 US$ 1,974,562 27,580 0.0323/01/2018 Citibank SGD 172,984 US$ 127,000 2,380 0.0016/01/2018 Bank of America TRY 17,612,175 US$ 4,675,013 (48,152) (0.04)16/01/2018 HSBC Bank TRY 1,149,621 US$ 296,000 6,015 0.0116/01/2018 Goldman Sachs TRY 5,293,319 US$ 1,346,000 44,597 0.0416/01/2018 JPMorgan TRY 1,057,681 US$ 266,000 11,861 0.0116/01/2018 BNP Paribas TRY 1,127,523 US$ 293,000 3,209 0.0023/01/2018 Goldman Sachs US$ 2,044,499 AUD 2,698,375 (60,922) (0.06)23/01/2018 Citibank US$ 93,000 AUD 120,942 (1,366) 0.0009/01/2018 Goldman Sachs US$ 654,073 BRL 2,070,926 30,174 0.0309/01/2018 Goldman Sachs US$ 39,000 BRL 128,193 380 0.0016/01/2018 Goldman Sachs US$ 4,941,311 CHF 4,775,382 36,642 0.0316/01/2018 JPMorgan US$ 313,000 CHF 309,707 (5,092) 0.0016/01/2018 Goldman Sachs US$ 117,000 CHF 115,420 (1,545) 0.0009/01/2018 Bank of America US$ 952,508 CLP 607,224,115 (34,206) (0.03)09/01/2018 Goldman Sachs US$ 961,909 CLP 607,224,115 (24,806) (0.02)09/01/2018 Goldman Sachs US$ 124,000 CLP 78,045,600 (2,821) 0.0009/01/2018 JPMorgan US$ 94,000 CLP 58,370,240 (849) 0.0023/01/2018 Bank of America US$ 1,934,000 CNH 12,919,507 (47,573) (0.04)23/01/2018 BNP Paribas US$ 134,000 CNH 889,270 (2,395) 0.0023/01/2018 Bank of America US$ 94,000 CNH 618,676 (892) 0.0009/01/2018 JPMorgan US$ 5,796,711 COP17,300,283,368 3,112 0.0009/01/2018 Goldman Sachs US$ 433,000 COP 1,312,141,550 (6,416) (0.01)09/01/2018 BNP Paribas US$ 234,000 COP 694,786,903 1,327 0.0016/01/2018 JPMorgan US$ 5,946,000 € 4,998,812 (56,371) (0.05)16/01/2018 Bank of America US$ 3,870,000 € 3,263,014 (48,096) (0.04)16/01/2018 JPMorgan US$ 2,446,725 € 2,092,724 (66,133) (0.06)16/01/2018 JPMorgan US$ 280,610 € 235,844 (2,582) 0.0002/01/2018 State Street Bank US$ 78,923 £ 59,050 (803) 0.0002/01/2018 State Street Bank US$ 61,650 £ 46,126 (627) 0.0003/01/2018 State Street Bank US$ 80,186 £ 59,649 (349) 0.0012/01/2018 State Street Bank US$ 1,101 £ 821 (8) 0.0012/01/2018 State Street Bank US$ 1,215 £ 907 (10) 0.00






Unrealised



12/01/2018 State Street Bank US$ 1,432 £ 1,069 (12) 0.0012/01/2018 State Street Bank US$ 140,257 £ 104,687 (1,126) 0.0012/01/2018 State Street Bank US$ 269 £ 199 — 0.0012/01/2018 State Street Bank US$ 26 £ 19 — 0.0012/01/2018 State Street Bank US$ 256 £ 191 (3) 0.0012/01/2018 State Street Bank US$ 87 £ 65 (1) 0.0012/01/2018 State Street Bank US$ 1,326 £ 989 (9) 0.0012/01/2018 State Street Bank US$ 453 £ 338 (3) 0.0012/01/2018 State Street Bank US$ 853 £ 636 (6) 0.0012/01/2018 State Street Bank US$ 868 £ 647 (6) 0.0012/01/2018 State Street Bank US$ 243 £ 181 (2) 0.0012/01/2018 State Street Bank US$ 2,680 £ 2,003 (26) 0.0012/01/2018 State Street Bank US$ 1,125 £ 837 (5) 0.0023/01/2018 JPMorgan US$ 431,000 IDR 5,902,545,000 (4,870) 0.0016/01/2018 Bank of America US$ 2,907,471 ILS 10,124,890 (3,668) 0.0016/01/2018 Bank of America US$ 192,000 ILS 673,841 (1,745) 0.0016/01/2018 Citibank US$ 144,000 ILS 501,965 (326) 0.0023/01/2018 JPMorgan US$ 1,970,290 INR 129,408,631 (54,647) (0.05)23/01/2018 Bank of America US$ 127,000 INR 8,282,940 (2,608) 0.0023/01/2018 Bank of America US$ 998,000 INR 64,750,240 (15,187) (0.01)23/01/2018 JPMorgan US$ 142,000 INR 9,108,590 (528) 0.0023/01/2018 Bank of America US$ 2,021,000 KRW 2,217,845,400 (57,678) (0.05)23/01/2018 JPMorgan US$ 92,000 KRW 99,351,720 (1,118) 0.0023/01/2018 Citibank US$ 249,000 KZT 83,865,690 (2,137) 0.0009/01/2018 Goldman Sachs US$ 470,392 MXN 8,975,867 14,412 0.0109/01/2018 JPMorgan US$ 317,000 MXN 5,960,842 14,185 0.0123/01/2018 Goldman Sachs US$ 5,532,000 MYR 22,642,476 (36,393) (0.03)12/01/2018 State Street Bank US$ 87,388 NOK 725,853 (1,041) 0.0012/01/2018 State Street Bank US$ 33,050 NOK 274,448 (386) 0.0023/01/2018 Goldman Sachs US$ 2,903,281 NZD 4,062,038 25,206 0.0223/01/2018 JPMorgan US$ 60,000 NZD 87,767 (2,185) 0.0023/01/2018 JPMorgan US$ 2,021,000 NZD 2,953,383 (71,560) (0.08)23/01/2018 Citibank US$ 93,000 NZD 132,733 (1,045) 0.0009/01/2018 JPMorgan US$ 4,061,000 PEN 13,334,294 (50,154) (0.05)09/01/2018 JPMorgan US$ 264,000 PEN 857,472 (371) 0.0009/01/2018 BNP Paribas US$ 196,000 PEN 641,606 (1,816) 0.0023/01/2018 Bank of America US$ 2,564,533 PHP 133,689,100 (112,461) (0.11)23/01/2018 Bank of America US$ 1,906,101 RUB 111,203,471 (20,533) (0.02)23/01/2018 Deutsche Bank US$ 58,000 RUB 3,391,353 (756) 0.0023/01/2018 Goldman Sachs US$ 219,000 RUB 12,859,188 (3,789) 0.0023/01/2018 Goldman Sachs US$ 2,092,128 SGD 2,849,897 (39,393) (0.04)16/01/2018 Bank of America US$ 1,524,662 ZAR 20,986,376 (168,168) (0.16)16/01/2018 Bank of America US$ 2,924,000 ZAR 40,336,296 (329,658) (0.31)16/01/2018 Goldman Sachs US$ 1,967,356 ZAR 26,628,831 (180,614) (0.17)16/01/2018 JPMorgan US$ 356,000 ZAR 4,542,284 (10,396) (0.01)16/01/2018 Bank of America ZAR 11,444,226 US$ 800,000 123,129 0.12



–––––––––––– ––––––––




Interest Rate Swaps – (0.18)% (31 Dec 2016: 0.36%)

Notional Fund Fund Termination Fair Value % of Net

Currency Amount Pays Receives Date US$ Assets

CZK 52,000,000 6 Months PRIBO 0.51% 25/05/2018 2,750 0.00HUF 2,570,000,000 1.22% 6 Months BUBOR 18/05/2022 (324,717) (0.30)ILS 54,500,000 0.43% 3 Months TELBO 19/05/2020 (100,019) (0.09)

ZAR 37,000,000 3 Months JIBAR 7.06% 24/03/2020 7,395 0.01ZAR 30,000,000 3 Months JIBAR 9.35% 17/06/2025 108,151 0.10ZAR 21,900,000 3 Months JIBAR 8.67% 08/12/2025 106,212 0.10

–––––––––––– ––––––––Interest rate swaps at positive value 224,508 0.21Interest rate swaps at negative value (424,736) (0.39)

–––––––––––– ––––––––Interest rate swaps at fair value (200,228) (0.18)

–––––––––––– ––––––––

Credit Default Swaps - 0.06% (31 Dec 2016: Nil)

Notional Termination Fair Value % of Net

Currency Amount Description Premium Date US$ Assets

USD 1,600,000 Peruvian Government

International Bond 1.0000% 20/12/2022 20,538 0.02USD 800,000 Colombia

GovernmentInternational Bond 1.0000% 20/12/2022 (1,646) 0.00

USD 1,600,000 MexicoGovernment

International Bond 1.0000% 20/12/2022 (4,765) 0.00USD 1,600,000 Panama

GovernmentInternational Bond 1.0000% 20/12/2022 25,060 0.03

USD 1,600,000 IndonesiaGovernment

International Bond 1.0000% 20/12/2022 10,316 0.01USD 800,000 Penerbangan

Malaysia 0.0000% 20/12/2022 15,676 0.01USD 1,000,000 Russian

Foreign Bond - Eurobond 1.0000% 20/12/2022 (7,563) (0.01)

–––––––––––– ––––––––Credit default swaps at positive fair value 71,590 0.07Credit default swaps at negative fair value (13,974) (0.01)

–––––––––––– ––––––––Credit default swaps at fair value 57,616 0.06

–––––––––––– ––––––––





Currency Rate Swap– (0.13)% (31 Dec 2016: Nil)

Currency Notional Currency Fund Fund Termination Fair Value % of Net

Received Amount Paid Pays Receives Date US$ Assets

USD 300,000 EUR 5.3750% 7.7690% 20/01/2023 (25,642) (0.02)USD 600,000 EUR 5.6250% 8.3850% 17/02/2024 (18,283) (0.02)USD 400,000 EUR 5.1250% 7.6250% 15/06/2025 (61,291) (0.06)USD 300,000 EUR 5.3000% 7.8500% 15/01/2028 (11,962) (0.01)USD 1,000,000 EUR 2.7500% 4.8900% 27/01/2030 (21,838) (0.02)

–––––––––––– ––––––––Currency rate swaps at negative fair value (139,016) (0.13)

–––––––––––– ––––––––Currency rate swap at fair value (139,016) (0.13)

–––––––––––– ––––––––Total Financial Derivative Instruments* (704,599) (0.64)

–––––––––––– ––––––––

Fair Value % of Net

US$ Assets

Total Investments 104,967,665 95.69Cash at bank 2,462,702 2.24Cash at broker 949,943 0.87Cash due to broker (370,000) (0.34)Other net assets 1,687,404 1.54


–––––––––––– ––––––––

Classification

*All financial derivative instruments are traded over the counter ("OTC").The counterparties for the open forward foreign currency exchange contracts are Bank of America, BNP Paribas, Citibank,Deutsche Bank, Goldman Sachs, HSBC Bank, JPMorgan, Morgan Stanley, National Australia Bank and State Street Bank.The broker for the open futures contracts is Morgan Stanley.The counterparties to the interest rate swaps are Bank of America, BNP Paribas, Citibank, and JPMorgan.The counterparties for credit default swaps are Bank of America, BNP Paribas, Goldman Sachs and HSBC Bank.The counterparties for the currency swaps are Bank of America and Citibank.


Transferable securities admitted to an official stock exchange listing 74.40Transferable securities dealt in on another regulated market 18.42Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) 0.63OTC financial derivative instruments 1.85Other current assets 4.70


––––––––––––––––







Argentina - 0.74% (Dec 2016: Nil)

160,000 Aeropuertos Argentina 2000 SA 6.875% 01/02/2027 173,397 0.74–––––––––––– ––––––––



Brazil - 3.57% (Dec 2016: 3.52%)

700,000 Petrobras Global Finance BV 8.750% 23/05/2026 838,250 3.57

Chile - Nil (Dec 2016: 0.95%)

Croatia - 1.89% (Dec 2016: Nil)

400,000 Hrvatska Elektroprivreda 5.875% 23/10/2022 443,750 1.89–––––––––––– ––––––––

El Salvador - 0.82% (Dec 2016: 0.86%)


Ghana - 0.86% (Dec 2016: Nil)

200,000 Tullow Oil Plc 6.000% 01/11/2020 202,760 0.86–––––––––––– ––––––––

Indonesia - 1.02% (Dec 2016: Nil)

200,000 Pertamina Persero PT 6.450% 30/05/2044 240,112 1.02–––––––––––– ––––––––

Mexico - 3.46% (Dec 2016: 5.08%)

200,000 Grupo Idesa SA de CV 7.875% 18/12/2020 189,000 0.80400,000 Mexico City Airport Trust 5.500% 31/07/2047 397,000 1.69200,000 Petroleos Mexicanos 6.875% 04/08/2026 227,250 0.97

–––––––––––– ––––––––813,250 3.46

–––––––––––– ––––––––Morocco - 1.89% (Dec 2016: 0.97%)

200,000 OCP SA 5.625% 25/04/2024 214,725 0.91200,000 OCP SA 6.875% 25/04/2044 230,068 0.98

–––––––––––– ––––––––444,793 1.89

–––––––––––– ––––––––Panama - 4.37% (Dec 2016: 0.91%)

280,000 Banco General SA 4.125% 07/08/2027 280,330 1.20810,000 SPARC EM SPC Panama Metro Line 2 SP - 05/12/2022 745,200 3.17

–––––––––––– ––––––––1,025,530 4.37

–––––––––––– ––––––––Panama - 4.37% (Dec 2016: Nil)

Poland - 1.33% (Dec 2016: NIL)

250,000 Tauron Polska Energia SA 2.375% 05/07/2027 312,730 1.33–––––––––––– ––––––––

South Africa - 0.87% (Dec 2016: Nil)

200,000 Petra Diamonds US Treasury Plc 7.250% 01/05/2022 203,400 0.87–––––––––––– ––––––––

Supranational - 0.89% (Dec 2016: Nil)

200,000 Eastern and Southern African Trade and Development Bank 5.375% 14/03/2022 209,250 0.89

–––––––––––– ––––––––Turkey - 1.06% (Dec 2016: 1.86%)

250,000 Turkiye Garanti Bankasi AS 6.125% 24/05/2027 250,143 1.06–––––––––––– ––––––––

Barings Umbrella Fund PlcBarings Emerging Markets Sovereign Debt Fund






United Arab Emirates - 2.65% (Dec 2016: 2.27%)

600,000 Topaz Marine SA 9.125% 26/07/2022 623,027 2.65–––––––––––– ––––––––

Zambia - 0.92% (Dec 2016: Nil)

200,000 First Quantum Minerals Ltd 7.250% 01/04/2023 216,000 0.92–––––––––––– ––––––––


–––––––––––– ––––––––


Angola - Nil (Dec 2016: 0.90%)

Argentina - 8.85% (Dec 2016: 7.87%)

200,000 Argentine Republic Government International Bond5.250% 15/01/2028 250,169 1.06250,000 City of Buenos Aires Argentina 7.500% 01/06/2027 278,750 1.19250,000 City of Cordoba 7.875% 29/09/2024 266,250 1.13300,000 Province of Santa Fe 6.900% 01/11/2027 319,500 1.36200,000 Provincia de Buenos Aires 5.375% 20/01/2023 255,268 1.09450,000 Provincia de Cordoba 7.125% 10/06/2021 487,125 2.07200,000 Provincia de Mendoza Argentina 8.375% 19/05/2024 223,450 0.95

–––––––––––– ––––––––2,080,512 8.85

–––––––––––– ––––––––Armenia - 3.90% (Dec 2016: 1.97%)

800,000 Republic of Armenia International Bond 7.150% 26/03/2025 916,000 3.90–––––––––––– ––––––––


350,000 Republic of Belarus International Bond 6.875% 28/02/2023 377,563 1.61–––––––––––– ––––––––

Bermuda - 1.07% (Dec 2016: 1.11%)

250,000 Bermuda Government International Bond 3.717% 25/01/2027 251,406 1.07–––––––––––– ––––––––

Colombia - 1.96% (Dec 2016: 4.26%)

400,000 Colombia Government International Bond 5.625% 26/02/2044 459,850 1.96–––––––––––– ––––––––

Costa Rica - 0.89% (Dec 2016: 0.87%)

200,000 Costa Rica Government International Bond 7.158% 12/03/2045 210,500 0.89–––––––––––– ––––––––

Croatia - 5.48% (Dec 2016: 8.61%)

700,000 Croatia Government International Bond 6.000% 26/01/2024 799,750 3.40400,000 Croatia Government International Bond 2.750% 27/01/2030 488,339 2.08

–––––––––––– ––––––––1,288,089 5.48

–––––––––––– ––––––––Dominican Republic - 3.91% (Dec 2016: 3.98%)

400,000 Dominican Republic International Bond 5.875% 18/04/2024 434,000 1.85400,000 Dominican Republic International Bond 8.625% 20/04/2027 485,014 2.06

–––––––––––– ––––––––919,014 3.91

–––––––––––– ––––––––El Salvador - 4.93% (Dec 2016: 3.63%)

250,000 El Salvador Government International Bond 7.375% 01/12/2019 265,861 1.13200,000 El Salvador Government International Bond 7.750% 24/01/2023 220,250 0.94400,000 El Salvador Government International Bond 5.875% 30/01/2025 404,500 1.72






Transferable Securities (Government Bonds) - 70.86% (Dec 2016: 80.89%) (continued)

El Salvador - 4.93% (Dec 2016: 3.63%) (continued)

90,000 El Salvador Government International Bond 8.625% 28/02/2029 105,886 0.45140,000 El Salvador Government International Bond 8.250% 10/04/2032 161,700 0.69

–––––––––––– ––––––––1,158,197 4.93

–––––––––––– ––––––––Ghana - 4.11% (Dec 2016: 6.09%)

700,000 Ghana Government International Bond 10.750% 14/10/2030 965,125 4.11–––––––––––– ––––––––

Honduras - 0.96% (Dec 2016: 1.00%)

200,000 Honduras Government International Bond 7.500% 15/03/2024 224,750 0.96–––––––––––– ––––––––

Hungary - 3.50% (Dec 2016: 2.59%)

500,000 Hungary Government International Bond 5.750% 22/11/2023 573,750 2.44200,000 Hungary Government International Bond 1.750% 10/10/2027 248,669 1.06

–––––––––––– ––––––––822,419 3.50

–––––––––––– ––––––––Indonesia - 5.07% (Dec 2016: 4.88%)

600,000 Indonesia Government International Bond 2.150% 18/07/2024 756,805 3.22400,000 Indonesia Government International Bond 4.750% 08/01/2026 435,250 1.85

–––––––––––– ––––––––1,192,055 5.07

–––––––––––– ––––––––Ivory Coast - 1.11% (Dec 2016: 1.71%)

200,000 Ivory Coast Government International Bond 5.125% 15/06/2025 262,167 1.11–––––––––––– ––––––––

Kenya - 1.14% (Dec 2016: 1.11%)

250,000 Kenya Government International Bond 6.875% 24/06/2024 267,031 1.14–––––––––––– ––––––––

Mexico - 5.05% (Dec 2016: 3.98%)

200,000 Mexico Government International Bond 6.050% 11/01/2040 235,675 1.00900,000 Mexico Government International Bond 5.750% 12/10/2110 952,087 4.05

–––––––––––– ––––––––1,187,762 5.05

–––––––––––– ––––––––Paraguay - 2.85% (Dec 2016: Nil)

200,000 Paraguay Government International Bond 4.700% 27/03/2027 210,275 0.90400,000 Paraguay Government International Bond 6.100% 11/08/2044 458,500 1.95

–––––––––––– ––––––––668,775 2.85

–––––––––––– ––––––––Poland - Nil (Dec 2016: 1.85%)

Romania - Nil (Dec 2016: 3.01%)

Russia - 0.89% (Dec 2016: Nil)

200,000 Russian Foreign Bond - Eurobond 5.250% 23/06/2047 209,375 0.89–––––––––––– ––––––––

Serbia - 1.71% (Dec 2016: 4.17%)

350,000 Serbia International Bond 7.250% 28/09/2021 401,187 1.71–––––––––––– ––––––––

South Africa - 4.64% (Dec 2016: 5.84%)

1,000,000 Republic of South Africa Government International Bond 5.875% 16/09/2025 1,089,375 4.64

–––––––––––– ––––––––






Transferable Securities (Government Bonds) - 70.86% (Dec 2016: 80.89%) (continued)

Suriname - Nil (Dec 2016: 0.46%)

Turkey - Nil (Dec 2016: 1.19%)

Tunisia - 1.08% (Dec 2016: Nil)

200,000 Banque Centrale de Tunisie International Bond5.625% 17/02/2024 252,868 1.08–––––––––––– ––––––––

Ukraine - 4.72% (Dec 2016: 3.93%)

270,000 Ukraine Government International Bond 7.750% 01/09/2019 284,006 1.21350,000 Ukraine Government International Bond 7.750% 01/09/2020 371,219 1.58460,000 Ukraine Government International Bond 7.375% 25/09/2032 453,445 1.93

–––––––––––– ––––––––1,108,670 4.72

–––––––––––– ––––––––Uruguay - 1.43% (Dec 2016: 2.86%)

300,000 Uruguay Government International Bond 5.100% 18/06/2050 335,250 1.43–––––––––––– ––––––––

Total Transferable Securities (Government Bonds) 16,647,940 70.86

–––––––––––– ––––––––

Financial Derivative Instruments* - ((0.67)%) (31 Dec 2016: (0.42)%)

Open Futures Contracts - 0.02% (31 Dec 2016: Nil)


Amount Cost Price Gain % of Net


(317,456) (158.73) 2 of Euro-Bobl Future Sep17 1,632 0.01Short Futures ContractsExpiring March 2018

(391,031) (195.52) 2 of Euro-Bund Future Sep17 3,047 0.01Short Futures ContractsExpiring March 2018

–––––––––––– ––––––––Unrealised gain on open futures contracts 4,679 0.02

–––––––––––– ––––––––Net unrealised gain on open future contracts 4,679 0.02

–––––––––––– ––––––––

Open Forward Foreign Currency Exchange Contracts* - ((0.31)%) (31 Dec 2016: (0.01)%)

Unrealised



19/03/2018 Goldman Sachs € 364,136 US$ 418,662 20,211 0.0919/03/2018 Goldman Sachs US$ 639,326 € 589,920 (71,673) (0.31)19/03/2018 Deutsche Bank US$ 226,189 € 204,920 (20,790) (0.09)

–––––––––––– ––––––––Unrealised gain on open forward foreign currency exchange contracts 20,211 0.09Unrealised loss on open forward foreign currency exchange contracts (92,463) (0.40)


–––––––––––– ––––––––




Financial Derivative Instruments* - ((0.67)%) (31 Dec 2016: (0.42)%) (continued)

Credit Default Swaps - 0.07% (31 Dec 2016: (0.41)%)



USD 1,600,000 Colombia Government International Bond 1.00% 20/12/2022 (3,292) (0.01)

USD 1,100,000 Mexico Government International Bond 1.00% 20/12/2022 (3,276) (0.01)

USD 1,000,000 Panama Government International Bond 1.00% 20/12/2022 15,663 0.06

USD 600,000 Penerbangan Malaysia 0.00% 20/12/2022 11,757 0.05

USD 500,000 Russian Foreign Bond - Eurobond 1.00% 20/12/2022 (3,782) (0.02)

–––––––––––– ––––––––Credit default swaps at positive fair value 27,420 0.11Credit default swaps at negative fair value (10,350) (0.04)

–––––––––––– ––––––––Credit default swaps at fair value 17,070 0.07

–––––––––––– ––––––––

Currency swaps – (0.45)% (31 Dec 2016: Nil)

Currency Notional Currency Fund Fund Termination Fair Value % of Net

Received Amount Paid Pays Receives Date US$ Assets

USD 200,000 EUR 5.3750% 7.7690% 20/01/2023 (17,095) (0.07)USD 688,200 EUR 2.1500% 4.3010% 18/07/2024 (35,166) (0.14)USD 200,000 EUR 5.1250% 7.6250% 15/06/2025 (30,646) (0.13)USD 200,000 EUR 1.7500% 3.7300% 10/10/2027 (8,388) (0.04)USD 200,000 EUR 5.3000% 7.8500% 15/01/2028 (7,975) (0.03)USD 400,000 EUR 2.7500% 4.8900% 27/01/2030 (8,735) (0.04)

–––––––––––– ––––––––Currency rate swaps at negative value (108,005) (0.45)

–––––––––––– ––––––––Currency rate swaps at fair value (108,005) (0.45)

–––––––––––– ––––––––Total Financial Derivative Instruments * (158,508) (0.67)

–––––––––––– –––––––––––––––––––– ––––––––

Fair Value % of Net

US$ Assets

Total Investments 22,880,501 97.39Cash at bank 310,377 1.32Cash at broker 5,958 0.03Other net assets 298,034 1.26


–––––––––––– –––––––––––––––––––– ––––––––

Classification

*All financial derivative instruments are traded over the counter (“OTC”).The counterparty for the open future contracts is Morgan Stanley.The counterparties for the open forward foreign currency exchange contracts are Deutsche Bank and Goldman Sachs.The counterparties for credit default swaps are Bank of America, BNP Paribas and Goldman Sachs.The counterparties for the currency swaps are Bank of America, BNP Paribas and Citibank.





Transferable securities admitted to an official stock exchange listing 77.20Transferable securities dealt in on another regulated market 18.63Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) 1.05Exchange traded financial derivative instruments 0.02OTC financial derivative instruments 0.20Other current assets 2.90


––––––––––––––––




Barings Umbrella Fund PlcBarings U.S. High Yield Bond Fund


Fair Value % of Net

Nominal Security US$ Assets

Transferable Securities (Preferred Stock) – 0.38% (Dec 2016: Nil)

United States - 0.31% (Dec 2016: Nil)

803,875 Pinnacle Agriculture Holdings LLC 731,526 0.38–––––––––––– ––––––––

Total Transferable Securities (Preferred Stock) 731,526 0.38

–––––––––––– ––––––––



Transferable Securities (Corporate Bonds) –96.56% (Dec 2016: 95.48%)

Australia – Nil (Dec 2016: 0.43%)

Canada - 2.94% (Dec 2016: 2.14%)

4,851,000 Jupiter Resources Inc 8.500% 01/10/2022 3,031,875 1.60882,000 Kinross Gold Corp 5.950% 15/03/2024 971,303 0.51

1,346,000 Kinross Gold Corp 4.500% 15/07/2027 1,357,777 0.71227,000 Northwest Acquisitions ULC/Dominion

Finco Inc 7.125% 01/11/2022 234,945 0.12–––––––––––– ––––––––

5,595,900 2.94–––––––––––– ––––––––

Denmark - 0.80% (Dec 2016: 1.38%)

1,500,000 Welltec A/S 9.500% 01/12/2022 1,515,000 0.80–––––––––––– ––––––––

France - 1.01% (Dec 2016: 1.17%)

2,000,000 Altice Luxembourg SA 7.625% 15/02/2025 1,922,500 1.01–––––––––––– ––––––––

Ghana - 3.57% (Dec 2016: 0.70%)

1,491,000 Kosmos Energy Ltd 7.875% 01/08/2021 1,532,003 0.802,972,000 Kosmos Energy Ltd 7.875% 01/08/2021 3,053,730 1.612,185,000 Tullow Oil Plc 6.250% 15/04/2022 2,204,228 1.16

–––––––––––– ––––––––6,789,961 3.57

–––––––––––– ––––––––Italy - 0.71% (Dec 2016: 0.67%)

1,253,000 Telecom Italia SpA 5.303% 30/05/2024 1,342,276 0.71–––––––––––– ––––––––

Jamaica - 0.42% (Dec 2016: 0.27%)

807,000 Digicel Ltd 6.000% 15/04/2021 797,324 0.42–––––––––––– ––––––––

Portugal - 0.97% (Dec 2016: 0.57%)

1,400,000 Altice Financing SA 6.625% 15/02/2023 1,469,440 0.77365,000 Altice Finco SA 8.125% 15/01/2024 383,250 0.20

–––––––––––– ––––––––1,852,690 0.97

–––––––––––– ––––––––Trinidad And Tobago – Nil (Dec 2016: 0.99%)

United Arab Emirates- Nil (Dec 2016: 1.24%)


750,000 Virgin Media Secured Finance Plc 5.500% 15/08/2026 770,625 0.41–––––––––––– ––––––––


2,666,000 A Schulman Inc 6.875% 01/06/2023 2,785,970 1.47759,000 Acrisure LLC/Acrisure Finance Inc 7.000% 15/11/2025 733,391 0.39








152,000 Aircastle Ltd 5.500% 15/02/2022 163,590 0.09152,000 Aircastle Ltd 5.000% 01/04/2023 160,550 0.08

1,702,000 Aircastle Ltd 4.125% 01/05/2024 1,731,785 0.911,320,000 Allegheny Technologies Inc 5.950% 15/01/2021 1,353,000 0.71

713,000 Alliance Resource Operating Partners LP/Alliance Resource Finance Corp 7.500% 01/05/2025 760,236 0.40

2,296,000 Allison Transmission Inc 5.000% 01/10/2024 2,373,490 1.25872,000 AMC Entertainment Holdings Inc 5.875% 15/11/2026 861,100 0.45

3,812,000 American Airlines Group Inc 5.500% 01/10/2019 3,935,890 2.072,037,000 Amsted Industries Inc 5.375% 15/09/2024 2,128,665 1.121,761,000 Apex Tool Group LLC 7.000% 01/02/2021 1,703,767 0.903,536,000 Appvion Inc 9.000% 01/06/2020 548,080 0.291,488,000 ArcelorMittal 7.250% 01/03/2041 1,889,760 0.991,077,000 AssuredPartners Inc 7.000% 15/08/2025 1,074,308 0.571,195,000 Avantor Inc 6.000% 01/10/2024 1,193,506 0.63

639,000 Avantor Inc 9.000% 01/10/2025 631,013 0.331,277,000 Block Communications Inc 6.875% 15/02/2025 1,344,042 0.711,347,000 Booz Allen Hamilton Inc 5.125% 01/05/2025 1,353,735 0.71

675,000 Brookfield Residential Properties Inc 6.500% 15/12/2020 690,188 0.36158,000 Brunswick Corp 7.375% 01/09/2023 183,013 0.10

1,552,000 Brunswick Corp 7.125% 01/08/2027 1,861,236 0.981,659,000 C&S Group Enterprises LLC 5.375% 15/07/2022 1,571,902 0.83

852,000 Carlson Travel Inc 6.750% 15/12/2023 773,190 0.411,666,000 Carlson Travel Inc 9.500% 15/12/2024 1,345,295 0.71

338,000 CCO Holdings LLC/CCO Holdings Capital Corp 5.750% 15/01/2024 348,140 0.18

1,186,000 CCO Holdings LLC/CCO Holdings Capital Corp 5.875% 01/04/2024 1,239,370 0.65


2,028,000 Chemours Co 7.000% 15/05/2025 2,210,520 1.16395,000 Chemours Co 5.375% 15/05/2027 409,813 0.22

1,932,000 Chesapeake Energy Corp 8.000% 15/01/2025 1,956,150 1.03474,000 Chesapeake Energy Corp 8.000% 15/06/2027 456,225 0.24915,000 CHS/Community Health Systems Inc 6.250% 31/03/2023 828,075 0.44

2,839,000 Citgo Holding Inc 10.750% 15/02/2020 3,059,022 1.612,195,000 Clear Channel Worldwide Holdings Inc 7.625% 15/03/2020 2,159,331 1.141,609,000 Consolidated Energy Finance SA 6.750% 15/10/2019 1,639,169 0.861,228,000 Consolidated Energy Finance SA 6.875% 15/06/2025 1,304,750 0.695,308,000 Coveris Holdings SA 7.875% 01/11/2019 5,294,730 2.794,294,000 Deck Chassis Acquisition Inc 10.000% 15/06/2023 4,798,545 2.52

928,000 DISH DBS Corp 7.750% 01/07/2026 979,040 0.521,533,000 Endo Dac/Endo Finance LLC/Endo Finco Inc 6.000% 01/02/2025 1,195,740 0.632,501,000 Energy Transfer Equity LP 4.250% 15/03/2023 2,488,495 1.312,443,000 EnPro Industries Inc 5.875% 15/09/2022 2,555,989 1.341,551,000 EP Energy LLC/Everest Acquisition Finance 8.000% 15/02/2025 1,139,985 0.60

846,000 EP Energy LLC/Everest Acquisition Finance Inc 9.375% 01/05/2020 719,100 0.38975,000 Ferrellgas Partners LP/

Ferrellgas Partners Finance Corp 8.625% 15/06/2020 836,063 0.442,990,000 Ferrellgas Partners LP/

Ferrellgas Partners Finance Corp 8.625% 15/06/2020 2,563,925 1.351,593,000 GCI Inc 6.875% 15/04/2025 1,704,510 0.90

854,000 Genesis Energy/Genesis Energy Finance Corp 6.500% 01/10/2025 871,080 0.46949,000 Genesis Energy LP/

Genesis Energy Finance Corp 6.000% 15/05/2023 965,608 0.511,209,000 Golden Nugget Inc 6.750% 15/10/2024 1,233,180 0.65






456,000 HCA Inc 5.375% 01/02/2025 473,100 0.251,423,000 HCA Inc 4.500% 15/02/2027 1,433,672 0.751,888,000 Hecla Mining Co 6.875% 01/05/2021 1,942,280 1.021,699,000 Hertz Corp 7.625% 01/06/2022 1,783,950 0.941,358,000 Hughes Satellite Systems Corp 6.625% 01/08/2026 1,425,900 0.751,514,000 Hughes Satellite Systems Corp 5.250% 01/08/2026 1,549,957 0.82

450,000 Icahn Enterprises LP/Icahn Enterprises Finance Corp 6.250% 01/02/2022 461,250 0.24

754,000 Icahn Enterprises LP/Icahn Enterprises Finance Corp 6.375% 15/12/2025 755,960 0.40

100,000 International Automotive Components Group SA 9.125% 01/06/2018 99,063 0.05754,000 Interval Acquisition Corp 5.625% 15/04/2023 784,160 0.41

3,400,000 JB Poindexter & Co Inc 9.000% 01/04/2022 3,536,000 1.861,860,000 JBS USA LUX SA/JBS USA Finance Inc 8.250% 01/02/2020 1,870,230 0.981,239,000 JBS USA LUX SA/JBS USA Finance Inc 5.875% 15/07/2024 1,203,379 0.631,788,000 Jonah Energy LLC/Jonah Energy Finance Corp 7.250% 15/10/2025 1,803,645 0.951,163,000 KAR Auction Services Inc 5.125% 01/06/2025 1,194,982 0.631,220,000 KeHE Distributors LLC/KeHE Finance Corp 7.625% 15/08/2021 1,226,100 0.643,792,000 Kenan Advantage Group Inc 7.875% 31/07/2023 3,943,680 2.071,018,000 Kinross Gold Corp 6.875% 01/09/2041 1,156,702 0.611,818,000 Kissner Holdings LP/Kissner Milling Co Ltd/

BSC Holding Inc/Kissner USA 8.375% 01/12/2022 1,845,270 0.972,629,000 LBC Tank Terminals Holding Netherlands BV 6.875% 15/05/2023 2,750,591 1.452,710,000 LPL Holdings Inc 5.750% 15/09/2025 2,764,200 1.45

569,000 M/I Homes Inc 6.750% 15/01/2021 591,760 0.31882,000 M/I Homes Inc 5.625% 01/08/2025 899,569 0.47455,000 Mattel Inc 6.750% 31/12/2025 462,257 0.24613,000 Midcontinent Communications/

Midcontinent Finance Corp 6.875% 15/08/2023 653,611 0.341,267,000 MPT Operating Partnership LP/

MPT Finance Corp 5.000% 15/10/2027 1,293,924 0.68383,000 NextEra Energy Operating Partners LP 4.250% 15/09/2024 390,660 0.21

1,831,000 NRG Energy Inc 7.250% 15/05/2026 2,002,638 1.051,030,000 Oasis Petroleum Inc 6.875% 15/03/2022 1,059,613 0.562,306,000 Ortho-Clinical Diagnostics Inc/

Ortho-Clinical Diagnostics SA 6.625% 15/05/2022 2,329,060 1.231,289,000 PBF Holding Co LLC/PBF Finance Corp 7.250% 15/06/2025 1,356,672 0.71

525,000 PBF Holding LLC/PBF Finance Corp 7.000% 15/11/2023 548,625 0.292,286,000 Penske Automotive Group Inc 5.500% 15/05/2026 2,325,319 1.221,171,199 Pinnacle Operating Corp 9.000% 15/05/2023 1,100,927 0.58

629,000 Post Holdings Inc 5.500% 01/03/2025 652,588 0.34778,000 Post Holdings Inc 5.750% 01/03/2027 793,560 0.42

2,800,000 Prime Security Services Borrower LLC/Prime Finance Inc 9.250% 15/05/2023 3,115,000 1.64

592,000 RHP Hotel Properties LP/RHP Finance Corp 5.000% 15/04/2023 608,280 0.321,500,000 Rowan Cos Inc 4.750% 15/01/2024 1,327,500 0.70

499,000 Rowan Cos Inc 7.375% 15/06/2025 510,228 0.27286,000 RP Crown Parent LLC 7.375% 15/10/2024 300,300 0.16

1,133,000 SM Energy Co 6.500% 01/01/2023 1,161,325 0.613,713,000 Sprint Corp 7.875% 15/09/2023 3,963,627 2.081,847,000 Standard Industries Inc/NJ 4.750% 15/01/2028 1,852,513 0.971,000,000 StoneMor Partners LP/Cornerstone Family

Services of West Virginia Subsidiary 7.875% 01/06/2021 985,000 0.521,901,000 SunCoke Energy Partners LP/SunCoke

Energy Partners Finance Corp 7.500% 15/06/2025 1,996,050 1.05687,000 Surgery Center Holdings Inc 6.750% 01/07/2025 652,650 0.34








356,000 Tempo Acquisition LLC/Tempo Acquisition Finance Corp 6.750% 01/06/2025 360,450 0.19

1,063,000 Tenet Healthcare Corp 4.625% 15/07/2024 1,040,411 0.553,022,000 TIBCO Software Inc 11.375% 01/12/2021 3,299,661 1.742,820,000 TransDigm Inc 6.375% 15/06/2026 2,855,250 1.50

383,000 Transocean Inc 6.800% 15/03/2038 309,273 0.16291,000 Transocean Inc 9.350% 15/12/2041 282,998 0.15817,000 Triumph Group Inc 4.875% 01/04/2021 806,788 0.42177,000 Triumph Group Inc 5.250% 01/06/2022 174,345 0.09861,000 Triumph Group Inc 7.750% 15/08/2025 915,889 0.48456,000 United Rentals North America Inc 4.625% 15/10/2025 460,560 0.24706,000 United Rentals North America Inc 4.875% 15/01/2028 711,295 0.37936,000 Valeant Pharmaceuticals International Inc 5.500% 01/03/2023 861,120 0.45552,000 Valeant Pharmaceuticals International Inc 7.000% 15/03/2024 592,020 0.31

2,335,000 Valeant Pharmaceuticals International Inc 6.125% 15/04/2025 2,145,281 1.13449,000 Valeant Pharmaceuticals International Inc 5.500% 01/11/2025 459,103 0.24301,000 VFH Parent LLC/Orchestra Co-Issuer Inc 6.750% 15/06/2022 317,555 0.17480,000 Warrior Met Coal Inc 8.000% 01/11/2024 496,800 0.26877,000 Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp 5.250% 15/05/2027 890,155 0.47



–––––––––––– ––––––––

Financial Derivative Instruments* - (0.00%) (Dec 2016: (0.06%))

Open Forward Foreign Currency Exchange Contracts - (0.00%) (Dec 2016: (0.06%))

Unrealised



02/01/2018 State Street Bank US$ 13,366 £ 10,000 (136) 0.0012/01/2018 State Street Bank £ 10,000 US$ 13,777 128 0.00

–––––––––––– ––––––––Unrealised gain on open forward foreign currency exchange contracts 128 0.00Unrealised loss on open forward foreign currency exchange contracts (136) 0.00

–––––––––––– ––––––––Net unrealised loss on open forward foreign currency exchange contracts (8) 0.00

–––––––––––– ––––––––Total Financial Derivative Instruments* (8) 0.00

–––––––––––– –––––––––––––––––––– ––––––––

Fair Value % of Net

US$ Assets



–––––––––––– –––––––––––––––––––– ––––––––

Classification

*All financial derivative instruments are traded over the counter ("OTC").All transferable securities are admitted to an official stock exchange listing.The counterparty for the open forward foreign currency exchange contracts is State Street Bank and Trust Company.





Transferable securities admitted to an official stock exchange listing 51.64Transferable securities dealt in on another regulated market 44.51Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) 0.38Other current assets 3.47


––––––––––––––––







Australia - 1.07% (Dec 2016: 1.59%)

750,000 Amcor Finance USA Inc 3.625% 28/04/2026 740,352 0.30750,000 Asciano Finance Ltd 5.000% 07/04/2018 754,821 0.30500,000 BHP Billiton Finance USA Ltd 5.000% 30/09/2043 614,458 0.24560,000 Newcrest Finance Pty Ltd 4.200% 01/10/2022 583,871 0.23

–––––––––––– ––––––––2,693,502 1.07

–––––––––––– ––––––––Belgium - 1.48% (Dec 2016: 1.77%)

466,000 Anheuser-Busch InBev Finance Inc 2.650% 01/02/2021 468,674 0.19358,000 Anheuser-Busch InBev Finance Inc 3.300% 01/02/2023 366,753 0.15448,000 Anheuser-Busch InBev Finance Inc 3.650% 01/02/2026 463,111 0.18

1,150,000 Anheuser-Busch InBev Finance Inc 4.900% 01/02/2046 1,338,177 0.531,075,000 Anheuser-Busch InBev Worldwide Inc 2.500% 15/07/2022 1,067,983 0.43

–––––––––––– ––––––––3,704,698 1.48

–––––––––––– ––––––––Bermuda - 0.13% (Dec 2016: Nil)

325,000 Enstar Group Ltd 4.500% 10/03/2022 331,308 0.13–––––––––––– ––––––––

Brazil - 0.86% (Dec 2016: 0.74%)

1,700,000 Vale Overseas Ltd 5.875% 10/06/2021 1,855,550 0.74250,000 Vale Overseas Ltd 6.875% 21/11/2036 307,500 0.12

–––––––––––– ––––––––2,163,050 0.86

–––––––––––– ––––––––Canada - 2.58% (Dec 2016: 1.43%)

715,000 Bank of Montreal 3.803% 15/12/2032 707,764 0.28900,000 Canadian Pacific Railway Co 2.900% 01/02/2025 894,323 0.36

1,300,000 Cenovus Energy Inc 3.000% 15/08/2022 1,293,273 0.512,027,000 Encana Corp 6.500% 15/05/2019 2,130,559 0.85

475,000 Encana Corp 6.500% 01/02/2038 601,255 0.24855,000 NOVA Chemicals Corp 5.000% 01/05/2025 855,000 0.34

–––––––––––– ––––––––6,482,174 2.58

–––––––––––– ––––––––Cayman Islands - Nil (Dec 2016: 0.35%)

China - 0.15% (Dec 2016: Nil)

355,000 Alibaba Group Holding Ltd 4.200% 06/12/2047 370,570 0.15–––––––––––– ––––––––

France - 0.60% (Dec 2016: 0.24%)

365,000 BNP Paribas SA 3.800% 10/01/2024 378,144 0.151,125,000 BPCE SA 2.250% 27/01/2020 1,123,055 0.45

–––––––––––– ––––––––1,501,199 0.60

–––––––––––– ––––––––Germany - 0.23% (Dec 2016: 0.26%)

575,000 Deutsche Bank AG 3.700% 30/05/2024 579,684 0.23–––––––––––– ––––––––

Israel - 0.42% (Dec 2016: 0.55%)

220,000 Teva Pharmaceutical Finance Netherlands III BV2.200% 21/07/2021 201,132 0.081,020,000 Teva Pharmaceutical Finance Netherlands III BV3.150% 01/10/2026 843,713 0.34

–––––––––––– ––––––––1,044,845 0.42

–––––––––––– ––––––––

Barings Umbrella Fund PlcBarings U.S. Investment Grade Corporate Bond Fund






Italy - 0.72% (Dec 2016: Nil)

740,000 Enel Finance International NV 2.875% 25/05/2022 738,746 0.30585,000 Enel Finance International NV 3.625% 25/05/2027 582,377 0.23445,000 Enel Finance International NV 4.750% 25/05/2047 483,804 0.19

–––––––––––– ––––––––1,804,927 0.72

–––––––––––– ––––––––Japan - 0.49% (Dec 2016: Nil)

1,300,000 Sumitomo Mitsui Financial Group Inc 2.632% 14/07/2026 1,238,905 0.49–––––––––––– ––––––––

Mexico - 1.37% (Dec 2016: 2.27%)

358,000 America Movil SAB de CV 3.125% 16/07/2022 363,028 0.14680,000 Coca-Cola Femsa SAB de CV 3.875% 26/11/2023 712,623 0.28

1,000,000 Petroleos Mexicanos 8.000% 03/05/2019 1,070,500 0.43280,000 Petroleos Mexicanos 5.375% 13/03/2022 297,500 0.12550,000 Petroleos Mexicanos 6.625% 15/06/2035 589,649 0.23450,000 Petroleos Mexicanos 5.500% 27/06/2044 415,107 0.17

–––––––––––– ––––––––3,448,407 1.37

–––––––––––– ––––––––Netherlands - 0.88% (Dec 2016: 0.39%)

750,000 Cooperatieve Rabobank UA 2.500% 19/01/2021 753,763 0.30800,000 Cooperatieve Rabobank UA 3.950% 09/11/2022 834,998 0.33450,000 Shell International Finance BV 6.375% 15/12/2038 628,586 0.25

–––––––––––– ––––––––2,217,347 0.88

–––––––––––– ––––––––Portugal - 0.32% (Dec 2016: Nil)

800,000 EDP Finance BV 3.625% 15/07/2024 806,330 0.32–––––––––––– ––––––––

South Africa – Nil (Dec 2016: 0.65%)

Spain - 0.15% (Dec 2016: 0.29%)

325,000 Telefonica Emisiones SAU 5.213% 08/03/2047 370,288 0.15–––––––––––– ––––––––

Switzerland - 2.66% (Dec 2016: 1.11%)

61,000 ABB Finance USA Inc 2.875% 08/05/2022 62,058 0.021,200,000 Credit Suisse Group AG 4.282% 09/01/2028 1,252,523 0.502,725,000 Credit Suisse Group Funding Guernsey Ltd 2.750% 26/03/2020 2,737,097 1.09

750,000 Credit Suisse Group Funding Guernsey Ltd 3.450% 16/04/2021 768,107 0.311,115,000 Roche Holdings Inc 2.375% 28/01/2027 1,062,165 0.42

790,000 UBS Group Funding Switzerland AG 3.491% 23/05/2023 803,385 0.32–––––––––––– ––––––––

6,685,335 2.66–––––––––––– ––––––––


455,000 Anglo American Capital Plc 3.750% 10/04/2022 462,806 0.18250,000 Anglo American Capital Plc 3.625% 11/09/2024 249,095 0.10

1,075,000 Barclays Plc 2.750% 08/11/2019 1,077,922 0.431,700,000 Barclays Plc 3.250% 12/01/2021 1,718,219 0.68

90,000 BP Capital Markets Plc 2.750% 10/05/2023 90,104 0.04358,000 BP Capital Markets Plc 3.814% 10/02/2024 376,659 0.15161,000 GlaxoSmithKline Capital Plc 2.850% 08/05/2022 163,518 0.07

1,650,000 HSBC Holdings Plc 2.950% 25/05/2021 1,662,140 0.661,200,000 HSBC Holdings Plc 3.900% 25/05/2026 1,245,902 0.50







United Kingdom - 2.94% (Dec 2016: 2.03%) (continued)

250,000 HSBC Holdings Plc 6.500% 15/09/2037 329,778 0.13–––––––––––– ––––––––

7,376,143 2.94–––––––––––– ––––––––


575,000 21st Century Fox America Inc 6.150% 15/02/2041 765,969 0.31540,000 Abbott Laboratories 3.750% 30/11/2026 555,530 0.22450,000 Abbott Laboratories 4.900% 30/11/2046 518,014 0.21448,000 AbbVie Inc 2.300% 14/05/2021 445,084 0.18358,000 AbbVie Inc 3.600% 14/05/2025 368,627 0.15310,000 Actavis Inc 3.250% 01/10/2022 311,278 0.12800,000 Advance Auto Parts Inc 4.500% 15/01/2022 839,092 0.33900,000 Aetna Inc 3.875% 15/08/2047 890,843 0.35201,000 Agilent Technologies Inc 3.200% 01/10/2022 202,919 0.08

1,250,000 Air Lease Corp 2.125% 15/01/2020 1,241,439 0.49650,000 Air Lease Corp 3.375% 01/06/2021 664,503 0.26390,000 Air Lease Corp 3.000% 15/09/2023 387,482 0.15394,000 Allergan Funding SCS 3.450% 15/03/2022 400,700 0.16448,000 Allergan Funding SCS 3.800% 15/03/2025 456,778 0.18350,000 Allergan Funding SCS 4.550% 15/03/2035 371,452 0.15250,000 Allstate Corp 5.550% 09/05/2035 309,228 0.12750,000 Ally Financial Inc 3.600% 21/05/2018 753,188 0.30750,000 Amazon.com Inc 3.875% 22/08/2037 798,543 0.32

1,700,000 American International Group Inc 4.875% 01/06/2022 1,850,392 0.74750,000 American International Group Inc 4.500% 16/07/2044 811,001 0.32750,000 American Tower Corp 3.450% 15/09/2021 767,228 0.31805,000 American Tower Corp 3.550% 15/07/2027 800,720 0.32750,000 Amgen Inc 4.663% 15/06/2051 842,590 0.34

1,096,000 Anadarko Petroleum Corp 4.850% 15/03/2021 1,158,253 0.46450,000 Anadarko Petroleum Corp 6.450% 15/09/2036 552,770 0.22

90,000 Analog Devices Inc 2.875% 01/06/2023 89,929 0.04335,000 Andeavor 3.800% 01/04/2028 336,494 0.13525,000 Apple Inc 3.000% 09/02/2024 532,095 0.21750,000 Apple Inc 3.850% 04/05/2043 781,126 0.31179,000 Applied Materials Inc 4.300% 15/06/2021 189,924 0.08395,000 Arch Capital Finance LLC 4.011% 15/12/2026 411,999 0.16710,000 Ares Capital Corp 3.500% 10/02/2023 700,282 0.28390,000 Arrow Electronics Inc 3.250% 08/09/2024 382,723 0.15500,000 Associated Banc-Corp 2.750% 15/11/2019 501,916 0.20

1,075,000 AT&T Inc 3.000% 15/02/2022 1,078,230 0.43675,000 AT&T Inc 3.600% 17/02/2023 691,285 0.28116,000 AT&T Inc 3.950% 15/01/2025 118,944 0.05

1,845,000 AT&T Inc 3.900% 14/08/2027 1,860,950 0.741,075,000 AT&T Inc 4.350% 15/06/2045 995,631 0.40

800,000 AT&T Inc 4.500% 09/03/2048 752,583 0.301,075,000 Athene Global Funding 4.000% 25/01/2022 1,109,916 0.44

290,000 Avnet Inc 3.750% 01/12/2021 294,432 0.12620,000 AXIS Specialty Finance Plc 4.000% 06/12/2027 624,037 0.25

1,800,000 Bank of America Corp 6.875% 25/04/2018 1,827,585 0.73750,000 Bank of America Corp 4.450% 03/03/2026 801,928 0.32

1,579,000 Bank of America Corp 3.419% 20/12/2028 1,581,327 0.63500,000 Bank of America Corp 7.750% 14/05/2038 751,463 0.30450,000 Bank of America Corp 5.875% 07/02/2042 597,157 0.2486,000 Baxalta Inc 3.600% 23/06/2022 88,043 0.04

750,000 Bay Area Toll Authority 7.043% 01/04/2050 1,188,577 0.47








20,000 Becton Dickinson and Co 3.125% 08/11/2021 20,187 0.01550,000 Becton Dickinson and Co 2.894% 06/06/2022 547,123 0.22550,000 Becton Dickinson and Co 3.700% 06/06/2027 555,313 0.22280,000 Becton Dickinson and Co 4.669% 06/06/2047 304,399 0.12650,000 Blackstone Holdings Finance Co LLC 6.250% 15/08/2042 853,339 0.34

1,050,000 Brunswick Corp 4.625% 15/05/2021 1,067,386 0.431,500,000 Bunge Ltd Finance Corp 8.500% 15/06/2019 1,625,474 0.65

140,000 Bunge Ltd Finance Corp 3.250% 15/08/2026 134,042 0.05750,000 Burlington Northern Santa Fe LLC 4.900% 01/04/2044 901,153 0.36335,000 Capital One Financial Corp 2.500% 12/05/2020 334,771 0.13163,000 Caterpillar Financial Services Corp 2.625% 01/03/2023 162,645 0.06425,000 Caterpillar Inc 4.300% 15/05/2044 489,765 0.20170,000 Celgene Corp 3.950% 15/10/2020 176,153 0.07813,000 Celgene Corp 3.250% 15/08/2022 826,752 0.33269,000 CenterPoint Energy Houston Electric LLC 1.850% 01/06/2021 264,142 0.11285,000 CenterPoint Energy Resources Corp 4.100% 01/09/2047 300,754 0.12775,000 Charter Communications Operating LLC/


Charter Communications Operating Capital 3.750% 15/02/2028 603,855 0.24750,000 Chubb INA Holdings Inc 4.350% 03/11/2045 848,938 0.34358,000 Church & Dwight Co Inc 2.875% 01/10/2022 358,818 0.14195,000 Church & Dwight Co Inc 3.150% 01/08/2027 192,514 0.08

1,275,000 Cimarex Energy Co 4.375% 01/06/2024 1,354,831 0.54400,000 Cisco Systems Inc 5.900% 15/02/2039 547,982 0.22

1,125,000 Citigroup Inc 2.450% 10/01/2020 1,126,048 0.45825,000 Citigroup Inc 2.700% 30/03/2021 827,889 0.33

1,800,000 Citigroup Inc 4.500% 14/01/2022 1,916,539 0.76750,000 Citigroup Inc 5.500% 13/09/2025 846,250 0.34850,000 Citigroup Inc 3.700% 12/01/2026 876,599 0.35350,000 Citigroup Inc 8.125% 15/07/2039 561,377 0.22358,000 CMS Energy Corp 3.000% 15/05/2026 352,138 0.14750,000 CNA Financial Corp 5.750% 15/08/2021 821,878 0.33210,000 CNA Financial Corp 3.450% 15/08/2027 207,366 0.08750,000 CNH Industrial Capital LLC 3.375% 15/07/2019 757,500 0.30750,000 Comcast Corp 6.950% 15/08/2037 1,073,084 0.43700,000 Commonwealth Edison Co 4.600% 15/08/2043 807,290 0.32915,000 Concho Resources Inc 3.750% 01/10/2027 927,684 0.37250,000 ConocoPhillips 6.500% 01/02/2039 350,997 0.14158,000 ConocoPhillips Co 4.200% 15/03/2021 166,269 0.07179,000 ConocoPhillips Co 4.950% 15/03/2026 203,517 0.08299,000 Consolidated Edison Inc 2.000% 15/05/2021 294,670 0.12

47,000 Consumers Energy Co 2.850% 15/05/2022 47,490 0.02206,000 Consumers Energy Co 3.375% 15/08/2023 211,709 0.0859,000 Covidien International Finance SA 3.200% 15/06/2022 60,338 0.02

740,000 Crown Castle International Corp 3.650% 01/09/2027 739,681 0.29600,000 CSX Corp 6.150% 01/05/2037 789,705 0.31161,000 CVS Health Corp 2.125% 01/06/2021 157,249 0.06750,000 CVS Health Corp 5.125% 20/07/2045 862,891 0.34

1,850,000 Dell International LLC/EMC Corp 3.480% 01/06/2019 1,873,819 0.75500,000 Dell International LLC/EMC Corp 4.420% 15/06/2021 521,416 0.21500,000 Dell International LLC/EMC Corp 6.020% 15/06/2026 552,211 0.22680,000 Delta Air Lines Inc 3.625% 15/03/2022 692,407 0.28280,000 Devon Energy Corp 5.600% 15/07/2041 331,163 0.13750,000 Digital Realty Trust LP 3.950% 01/07/2022 784,277 0.31








390,000 Discovery Communications LLC 2.950% 20/03/2023 386,437 0.15295,000 Discovery Communications LLC 6.350% 01/06/2040 348,142 0.14

95,000 Dominion Energy Inc 2.750% 15/09/2022 94,287 0.04750,000 Duke Energy Carolinas LLC 5.300% 15/02/2040 944,792 0.38

1,000,000 Energy Transfer LP 9.000% 15/04/2019 1,079,342 0.43825,000 Energy Transfer LP 3.600% 01/02/2023 826,777 0.33275,000 Energy Transfer LP 6.500% 01/02/2042 312,377 0.12269,000 Entergy Corp 5.125% 15/09/2020 284,356 0.11525,000 Enterprise Products Operating LLC 5.100% 15/02/2045 601,357 0.24

1,100,000 EQT Corp 4.875% 15/11/2021 1,173,844 0.47421,000 Eversource Energy 2.800% 01/05/2023 419,429 0.17

1,550,000 Expedia Inc 7.456% 15/08/2018 1,598,869 0.641,753,000 Express Scripts Holding Co 3.900% 15/02/2022 1,815,826 0.72

575,000 Exxon Mobil Corp 3.567% 06/03/2045 582,555 0.23425,000 First Horizon National Corp 3.500% 15/12/2020 434,297 0.17575,000 First Republic Bank 4.375% 01/08/2046 590,248 0.24358,000 Florida Power & Light Co 2.750% 01/06/2023 359,118 0.14500,000 Ford Motor Co 4.750% 15/01/2043 508,925 0.20430,000 Ford Motor Credit Co LLC 5.000% 15/05/2018 434,417 0.17

1,450,000 Ford Motor Credit Co LLC 3.336% 18/03/2021 1,473,787 0.59250,000 Ford Motor Credit Co LLC 5.875% 02/08/2021 274,750 0.11

1,250,000 General Electric Co 6.750% 15/03/2032 1,714,908 0.68500,000 General Motors Co 4.875% 02/10/2023 541,768 0.22520,000 General Motors Co 4.200% 01/10/2027 539,883 0.22893,000 General Motors Financial Co Inc 3.100% 15/01/2019 898,007 0.36

1,200,000 General Motors Financial Co Inc 3.200% 06/07/2021 1,212,691 0.48107,000 Gilead Sciences Inc 4.500% 01/04/2021 114,074 0.05550,000 Gilead Sciences Inc 4.750% 01/03/2046 637,759 0.25

1,250,000 Goldman Sachs Group Inc 3.625% 22/01/2023 1,292,777 0.511,500,000 Goldman Sachs Group Inc 4.000% 03/03/2024 1,574,996 0.63

325,000 Goldman Sachs Group Inc 3.850% 08/07/2024 337,393 0.131,025,000 Goldman Sachs Group Inc 4.250% 21/10/2025 1,072,324 0.43

425,000 Goldman Sachs Group Inc 6.250% 01/02/2041 573,910 0.23358,000 Halliburton Co 3.250% 15/11/2021 364,973 0.15116,000 Halliburton Co 3.500% 01/08/2023 119,441 0.05269,000 Halliburton Co 3.800% 15/11/2025 280,024 0.11500,000 Halliburton Co 6.700% 15/09/2038 666,765 0.27750,000 HCA Inc 6.500% 15/02/2020 796,875 0.32265,000 Healthcare Trust of America Holdings LP 2.950% 01/07/2022 264,578 0.11165,000 Healthcare Trust of America Holdings LP 3.500% 01/08/2026 162,754 0.06

1,068,000 Helmerich & Payne International Drilling Co 4.650% 15/03/2025 1,125,899 0.451,130,000 Hercules Capital Inc 4.625% 23/10/2022 1,146,957 0.46

525,000 Hewlett Packard Enterprise Co 4.900% 15/10/2025 555,136 0.2270,000 Hexcel Corp 3.950% 15/02/2027 71,495 0.03

242,000 Home Depot Inc 2.700% 01/04/2023 244,486 0.10500,000 Home Depot Inc 5.875% 16/12/2036 677,880 0.27

1,125,000 Host Hotels & Resorts LP 4.000% 15/06/2025 1,151,453 0.46185,000 Ingredion Inc 3.200% 01/10/2026 181,976 0.07750,000 International Lease Finance Corp 7.125% 01/09/2018 774,028 0.31

1,275,000 International Lease Finance Corp 6.250% 15/05/2019 1,336,518 0.53251,000 ITC Holdings Corp 4.050% 01/07/2023 263,677 0.10922,000 ITC Holdings Corp 3.650% 15/06/2024 947,148 0.38750,000 ITC Holdings Corp 5.300% 01/07/2043 908,209 0.36

1,500,000 JPMorgan Chase & Co 4.350% 15/08/2021 1,591,724 0.633,025,000 JPMorgan Chase & Co 3.875% 10/09/2024 3,158,231 1.26








2,450,000 JPMorgan Chase & Co 3.540% 01/05/2028 2,495,458 0.99500,000 JPMorgan Chase & Co 6.400% 15/05/2038 689,288 0.27

1,800,000 Kinder Morgan Energy Partners LP 3.950% 01/09/2022 1,859,518 0.74675,000 Kinder Morgan Inc 5.550% 01/06/2045 741,396 0.30358,000 Kraft Heinz Foods Co 3.500% 15/07/2022 366,514 0.15750,000 Kraft Heinz Foods Co 5.000% 04/06/2042 807,673 0.32161,000 Kroger Co 2.950% 01/11/2021 162,703 0.06358,000 Kroger Co 4.000% 01/02/2024 372,420 0.15152,000 Kroger Co 3.500% 01/02/2026 152,002 0.06

77,000 Laboratory Corp of America Holdings 3.750% 23/08/2022 79,937 0.03890,000 Lazard Group LLC 3.625% 01/03/2027 889,879 0.35755,000 Legg Mason Inc 5.625% 15/01/2044 844,740 0.34

1,350,000 Lennar Corp 4.500% 15/11/2019 1,390,500 0.55750,000 Liberty Mutual Group Inc 4.250% 15/06/2023 791,260 0.32250,000 Lincoln National Corp 6.150% 07/04/2036 311,031 0.12750,000 Los Angeles Unified School District 6.758% 01/07/2034 1,037,940 0.41179,000 Lowe's Cos Inc 3.800% 15/11/2021 187,094 0.07575,000 Lowe's Cos Inc 3.700% 15/04/2046 578,854 0.2390,000 Marathon Petroleum Corp 3.625% 15/09/2024 91,916 0.04

500,000 McDonald's Corp 4.875% 09/12/2045 581,544 0.23224,000 Medtronic Inc 3.150% 15/03/2022 229,566 0.09750,000 Medtronic Inc 4.625% 15/03/2045 875,932 0.35750,000 Merck & Co Inc 4.150% 18/05/2043 840,668 0.33806,000 Microsoft Corp 2.125% 15/11/2022 796,657 0.32525,000 Microsoft Corp 2.875% 06/02/2024 533,034 0.21

1,225,000 Microsoft Corp 4.000% 12/02/2055 1,314,427 0.52575,000 Molson Coors Brewing Co 4.200% 15/07/2046 588,363 0.23

1,475,000 Morgan Stanley 5.625% 23/09/2019 1,555,017 0.621,500,000 Morgan Stanley 5.500% 28/07/2021 1,642,096 0.651,025,000 Morgan Stanley 3.750% 25/02/2023 1,063,014 0.42

775,000 Morgan Stanley 3.125% 27/07/2026 765,260 0.30350,000 Morgan Stanley 4.300% 27/01/2045 378,430 0.15300,000 MPLX LP 5.500% 15/02/2023 309,099 0.12

1,725,000 MPLX LP 4.875% 01/06/2025 1,851,520 0.74215,000 MPLX LP 5.200% 01/03/2047 236,861 0.09

1,620,000 Nabors Industries Inc 5.500% 15/01/2023 1,579,500 0.63450,000 Neuberger Berman Group LLC/

Neuberger Berman Finance Corp 4.500% 15/03/2027 474,183 0.19825,000 Nevada Power Co 6.650% 01/04/2036 1,148,584 0.46750,000 New York City Water & Sewer System 5.440% 15/06/2043 989,865 0.39700,000 NiSource Finance Corp 4.800% 15/02/2044 795,455 0.32825,000 O'Reilly Automotive Inc 3.600% 01/09/2027 829,676 0.33295,000 Oncor Electric Delivery Co LLC 4.100% 01/06/2022 311,020 0.12

99,000 Oracle Corp 3.625% 15/07/2023 104,022 0.04484,000 Oracle Corp 3.400% 08/07/2024 502,294 0.20750,000 Oracle Corp 4.000% 15/07/2046 800,064 0.32400,000 Pacific Gas & Electric Co 5.125% 15/11/2043 468,000 0.1972,000 PacifiCorp 2.950% 01/02/2022 73,165 0.03

400,000 PepsiCo Inc 3.450% 06/10/2046 389,101 0.15250,000 Pfizer Inc 7.200% 15/03/2039 384,127 0.15950,000 Phillips 66 Partners LP 3.605% 15/02/2025 958,573 0.38355,000 Phillips 66 Partners LP 3.750% 01/03/2028 355,908 0.1482,000 Phillips 66 Partners LP 4.680% 15/02/2045 84,548 0.03

550,000 Pioneer Natural Resources Co 7.200% 15/01/2028 690,571 0.281,500,000 Pitney Bowes Inc 6.250% 15/03/2019 1,552,500 0.62








315,000 Pitney Bowes Inc 3.625% 15/09/2020 313,425 0.121,270,000 Plains All American Pipeline LP/

PAA Finance Corp 4.500% 15/12/2026 1,289,703 0.51750,000 Port Authority of New York & New Jersey 4.926% 01/10/2051 929,978 0.37

1,326,000 Precision Castparts Corp 3.250% 15/06/2025 1,356,678 0.54735,000 Priceline Group Inc 3.550% 15/03/2028 729,607 0.29

1,050,000 Principal Financial Group Inc 4.700% 15/05/2055 1,077,825 0.43145,000 Progress Energy Inc 3.150% 01/04/2022 147,008 0.06750,000 Prologis LP 3.750% 01/11/2025 787,621 0.31152,000 Puget Energy Inc 6.500% 15/12/2020 168,379 0.07661,000 Puget Energy Inc 5.625% 15/07/2022 730,729 0.29287,000 QUALCOMM Inc 3.000% 20/05/2022 287,438 0.11448,000 QUALCOMM Inc 3.450% 20/05/2025 449,441 0.18310,000 Reinsurance Group of America Inc 4.700% 15/09/2023 332,955 0.13750,000 Reinsurance Group of America Inc 3.950% 15/09/2026 767,881 0.31625,000 Reliance Steel & Aluminum Co 4.500% 15/04/2023 659,550 0.26

2,175,000 RenaissanceRe Finance Inc 3.700% 01/04/2025 2,234,991 0.89500,000 Republic Services Inc 6.200% 01/03/2040 666,043 0.27134,000 Rockwell Automation Inc 2.875% 01/03/2025 132,268 0.05290,000 RPM International Inc 5.250% 01/06/2045 335,333 0.13215,000 Sabine Pass Liquefaction LLC 4.200% 15/03/2028 217,964 0.09

1,075,000 Shire Acquisitions Investments Ireland DAC 2.400% 23/09/2021 1,059,015 0.42575,000 Simon Property Group LP 4.250% 01/10/2044 601,452 0.24

56,000 Southern California Edison Co 3.875% 01/06/2021 58,625 0.02750,000 Southern California Edison Co 4.650% 01/10/2043 881,041 0.35753,000 Sprint Communications Inc 9.250% 15/04/2022 901,718 0.36

1,750,000 SVB Financial Group 3.500% 29/01/2025 1,756,915 0.70340,000 Tanger Properties LP 3.125% 01/09/2026 324,245 0.13305,000 Tech Data Corp 3.700% 15/02/2022 306,230 0.12750,000 Time Warner Cable LLC 7.300% 01/07/2038 942,841 0.38

1,125,000 Time Warner Inc 3.600% 15/07/2025 1,129,310 0.45768,000 Toyota Motor Credit Corp 3.400% 15/09/2021 795,091 0.32

1,500,000 Trinity Acquisition Plc 3.500% 15/09/2021 1,530,545 0.61233,000 Tyson Foods Inc 3.950% 15/08/2024 245,384 0.10750,000 Tyson Foods Inc 4.875% 15/08/2034 847,568 0.34448,000 Union Pacific Corp 4.163% 15/07/2022 480,502 0.19350,000 UnitedHealth Group Inc 4.750% 15/07/2045 414,435 0.17400,000 Verizon Communications Inc 3.500% 01/11/2024 407,766 0.16

1,650,000 Verizon Communications Inc 6.550% 15/09/2043 2,161,510 0.86600,000 Virginia Electric & Power Co 3.800% 15/09/2047 623,905 0.25500,000 Visa Inc 4.300% 14/12/2045 570,402 0.23381,000 Weingarten Realty Investors 3.375% 15/10/2022 384,489 0.15548,000 Weingarten Realty Investors 3.850% 01/06/2025 553,950 0.22

1,025,000 Wells Fargo & Co 3.500% 08/03/2022 1,058,990 0.42800,000 Wells Fargo & Co 5.606% 15/01/2044 988,523 0.39555,000 Western Gas Partners LP 5.450% 01/04/2044 591,839 0.24140,000 Willis North America Inc 3.600% 15/05/2024 142,521 0.06750,000 XLIT Ltd 4.450% 31/03/2025 768,284 0.31100,000 Xylem Inc 3.250% 01/11/2026 99,664 0.04

–––––––––––– ––––––––184,362,379 73.40


–––––––––––– ––––––––







Colombia - 0.56% (Dec 2016: 0.48%)

750,000 Colombia Government International Bond 4.000% 26/02/2024 779,063 0.31250,000 Colombia Government International Bond 5.625% 26/02/2044 287,406 0.11325,000 Colombia Government International Bond 5.000% 15/06/2045 344,784 0.14

–––––––––––– ––––––––1,411,253 0.56

–––––––––––– ––––––––Mexico - 0.83% (Dec 2016: 0.61%)

750,000 Mexico Government International Bond 3.625% 15/03/2022 777,094 0.311,150,000 Mexico Government International Bond 5.550% 21/01/2045 1,298,781 0.52

–––––––––––– ––––––––2,075,875 0.83

–––––––––––– ––––––––Panama - 0.44% (Dec 2016: 0.48%)

725,000 Panama Government International Bond 9.375% 01/04/2029 1,099,644 0.44–––––––––––– ––––––––

Peru - 0.19% (Dec 2016: Nil)

375,000 Peruvian Government International Bond 5.625% 18/11/2050 485,156 0.19–––––––––––– ––––––––

Philippines - 0.41% (Dec 2016: 0.47%)

250,000 Philippine Government International Bond 7.750% 14/01/2031 357,188 0.14500,000 Philippine Government International Bond 6.375% 23/10/2034 670,000 0.27

–––––––––––– ––––––––1,027,188 0.41

–––––––––––– ––––––––Poland - 0.33% (Dec 2016: 0.39%)

750,000 Republic of Poland Government International Bond 5.125% 21/04/2021 813,750 0.33


2,000,000 United States Treasury Note/Bond 3.500% 15/09/2019 1,966,875 0.786,600,000 United States Treasury Note/Bond 1.625% 30/11/2020 6,534,774 2.59

650,000 United States Treasury Note/Bond 2.250% 15/08/2027 640,961 0.253,070,000 United States Treasury Note/Bond 3.500% 15/02/2039 3,507,475 1.40

150,000 United States Treasury Note/Bond 2.500% 15/05/2046 142,693 0.06–––––––––––– ––––––––

12,792,778 5.08–––––––––––– ––––––––

Total Government Bonds 19,705,644 7.84

–––––––––––– ––––––––

Financial Derivative Instruments* - 0.01% (31 Dec 2016: 0.00%)

Open Futures Contracts - 0.01% (31 Dec 2016: 0.00%)




(7,355,250) (116.75) 63 of U.S. 5 Year Treasury Note FuturesShort Futures ContractsExpiring March 2018 36,914 0.02

2,440,625 152.54 16 of U.S. Long Bond FuturesLong futures ContractsExpiring March 2018 7,375 0.00

11,158,063 107.29 52 of U.S. 2 Year Treasury Note FuturesLong Futures ContractsExpiring March 2018 (24,375) (0.01)




Financial Derivative Instruments* - 0.01% (31 Dec 2016: 0.00%) (continued)

Open Futures Contracts - 0.01% (31 Dec 2016: 0.00%) (continued)




(498,380) (166.13) 3 of U.S. Ultra Bond FuturesShort Futures ContractsExpiring March 2018 (4,588) (0.00)


–––––––––––– ––––––––Net unrealised gain on open futures contracts 15,326 0.01


–––––––––––– ––––––––

Fair Value % of Net

US$ Assets

Total Investments 246,902,061 98.30Cash at bank 2,475,744 0.99Cash at broker 25,504 0.01Other net assets 1,756,171 0.70


–––––––––––– –––––––––––––––––––– ––––––––

Classification

*All financial derivative instruments are traded over the counter (“OTC”).All transferable securities are admitted to an official stock exchange listing.The broker for the open futures contracts is Morgan Stanley.


Transferable securities admitted to an official stock exchange listing 71.84Transferable securities dealt in on another regulated market 25.26Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) 0.39Exchange traded financial derivative instruments 0.02Other current assets 2.49


––––––––––––––––






Transferable Securities (Corporate Bonds) - 97.28% (Dec 2016: Nil)

Canada – 2.13% (Dec 2016: Nil)

2,000,000 Jupiter Resources Inc 8.500% 01/10/2022 1,250,000 0.76697,000 Kinross Gold Corp 4.500% 15/07/2027 703,099 0.43

1,490,000 Teine Energy Ltd 6.875% 30/09/2022 1,545,875 0.94–––––––––––– ––––––––

3,498,974 2.13–––––––––––– ––––––––

Denmark - 0.62% (Dec 2016: Nil)

1,000,000 Welltec A/S 9.500% 01/12/2022 1,010,000 0.62–––––––––––– ––––––––

France - 1.37% (Dec 2016: Nil)

1,750,000 Altice Luxembourg SA 7.625% 15/02/2025 1,682,188 1.03551,000 SFR Group SA 6.000% 15/05/2022 558,576 0.34

–––––––––––– ––––––––2,240,764 1.37

–––––––––––– ––––––––Ghana - 2.86% (Dec 2016: Nil)

2,600,000 Kosmos Energy Ltd 7.875% 01/08/2021 2,671,500 1.632,000,000 Tullow Oil Plc 6.250% 15/04/2022 2,017,600 1.23

–––––––––––– ––––––––4,689,100 2.86

–––––––––––– ––––––––Italy - 0.49% (Dec 2016: Nil)

744,000 Telecom Italia SpA 5.303% 30/05/2024 797,010 0.49–––––––––––– ––––––––

Jamaica - 1.05% (Dec 2016: Nil)


Portugal - 0.38% (Dec 2016: Nil)

600,000 Altice Financing SA 6.625% 15/02/2023 629,760 0.38–––––––––––– ––––––––

United States – 88.38% (Dec 2016: Nil)

969,000 A Schulman Inc 6.875% 01/06/2023 1,012,605 0.621,586,000 Acrisure LLC/Acrisure Finance Inc 7.000% 15/11/2025 1,532,488 0.931,350,000 AES Corp 5.125% 01/09/2027 1,420,875 0.871,750,000 Aircastle Ltd 5.000% 01/04/2023 1,841,875 1.122,000,000 Allegheny Technologies Inc 5.950% 15/01/2021 2,050,000 1.251,311,000 Alliance Resource Operating Partners LP/

Alliance Resource Finance Corp 7.500% 01/05/2025 1,397,854 0.852,000,000 Allison Transmission Inc 5.000% 01/10/2024 2,067,500 1.261,300,000 Ally Financial Inc 8.000% 01/11/2031 1,696,500 1.03

290,000 AMC Entertainment Holdings Inc 6.125% 15/05/2027 289,275 0.181,617,000 American Airlines Group Inc 5.500% 01/10/2019 1,669,552 1.021,499,000 AmeriGas Partners LP/AmeriGas Finance Corp 5.750% 20/05/2027 1,510,242 0.921,850,000 Amsted Industries Inc 5.375% 15/09/2024 1,933,250 1.18

763,000 Apex Tool Group LLC 7.000% 01/02/2021 738,203 0.45543,000 Appvion Inc 9.000% 01/06/2020 84,165 0.05808,000 ArcelorMittal 7.250% 01/03/2041 1,026,160 0.63438,000 AssuredPartners Inc 7.000% 15/08/2025 436,905 0.27721,000 Avantor Inc 6.000% 01/10/2024 720,099 0.44

1,500,000 Avantor Inc 9.000% 01/10/2025 1,481,250 0.90205,000 Beacon Escrow Corp 4.875% 01/11/2025 206,794 0.13625,000 Big River Steel LLC/BRS Finance Corp 7.250% 01/09/2025 662,500 0.40

1,756,000 Block Communications Inc 6.875% 15/02/2025 1,848,190 1.13408,000 Booz Allen Hamilton Inc 5.125% 01/05/2025 410,040 0.25

1,627,000 C&S Group Enterprises LLC 5.375% 15/07/2022 1,541,582 0.94

Barings Umbrella Fund PlcBarings U.S. High Yield Bond Component Fund





Transferable Securities (Corporate Bonds) - 97.28% (Dec 2016: Nil) (continued)

United States – 88.38% (Dec 2016: Nil) (continued)

607,000 Cardtronics Inc/Cardtronics USA Inc 5.500% 01/05/2025 549,335 0.331,500,000 Carlson Travel Inc 6.750% 15/12/2023 1,361,250 0.831,300,000 Carlson Travel Inc 9.500% 15/12/2024 1,049,750 0.641,394,000 Catalent Pharma Solutions Inc 4.875% 15/01/2026 1,402,712 0.85


3,000,000 CCO Holdings LLC/CCO Holdings Capital Corp 5.125% 01/05/2027 2,962,500 1.81

887,000 Change Healthcare Holdings LLC/Change Healthcare Finance Inc 5.750% 01/03/2025 890,326 0.54

1,264,000 Chemours Co 7.000% 15/05/2025 1,377,760 0.84236,000 Chemours Co 5.375% 15/05/2027 244,850 0.15

1,700,000 Chesapeake Energy Corp 8.000% 15/01/2025 1,721,250 1.05515,000 CHS/Community Health Systems Inc 6.250% 31/03/2023 466,075 0.28

1,534,000 Citgo Holding Inc 10.750% 15/02/2020 1,652,885 1.011,500,000 Clear Channel Worldwide Holdings Inc 7.625% 15/03/2020 1,475,625 0.901,500,000 Clear Channel Worldwide Holdings Inc 7.625% 15/03/2020 1,475,625 0.90

592,000 Consolidated Energy Finance SA 6.750% 15/10/2019 603,100 0.37703,000 Consolidated Energy Finance SA 6.875% 15/06/2025 746,938 0.46

1,825,000 Coveris Holdings SA 7.875% 01/11/2019 1,820,437 1.111,194,000 APTIM Corp 7.750% 15/06/2025 1,146,240 0.70

398,000 Deck Chassis Acquisition Inc 10.000% 15/06/2023 444,765 0.27880,000 Dell Inc 6.500% 15/04/2038 899,800 0.55

2,000,000 Dell International LLC/EMC Corp 7.125% 15/06/2024 2,178,230 1.33750,000 DISH DBS Corp 7.750% 01/07/2026 791,250 0.48

1,700,000 Endeavor Energy Resources/EER Finance Inc 5.750% 30/01/2028 1,752,275 1.07636,000 Endo Dac/Endo Finance LLC/Endo Finco Inc 6.000% 01/02/2025 496,080 0.30

1,509,000 Energy Transfer Equity LP 4.250% 15/03/2023 1,501,455 0.921,200,000 EnPro Industries Inc 5.875% 15/09/2022 1,255,500 0.771,593,000 EP Energy LLC/Everest Acquisition Finance Inc 8.000% 15/02/2025 1,170,855 0.711,500,000 Ferrellgas Partners LP/

Ferrellgas Partners Finance Corp 8.625% 15/06/2020 1,286,250 0.78500,000 Ferrellgas Partners LP/

Ferrellgas Partners Finance Corp 8.625% 15/06/2020 428,750 0.26517,000 Genesis Energy LP/Genesis Energy

Finance Corp 6.500% 01/10/2025 527,340 0.321,000,000 Genesis Energy LP/Genesis Energy

Finance Corp 6.000% 15/05/2023 1,017,500 0.62807,000 Golden Nugget Inc 8.750% 01/10/2025 849,367 0.52835,000 Golden Nugget Inc 6.750% 15/10/2024 851,700 0.52

2,000,000 HCA Inc 5.875% 15/02/2026 2,120,000 1.291,931,000 Hertz Corp 7.625% 01/06/2022 2,027,550 1.24

737,000 Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp 5.625% 15/02/2026 764,638 0.47

2,000,000 Hughes Satellite Systems Corp 5.250% 01/08/2026 2,047,500 1.25780,000 Hughes Satellite Systems Corp 6.625% 01/08/2026 819,000 0.50900,000 Icahn Enterprises LP/Icahn Enterprises

Finance Corp 6.250% 01/02/2022 924,750 0.561,100,000 Icahn Enterprises LP/Icahn Enterprises

Finance Corp 6.375% 15/12/2025 1,104,125 0.671,376,000 IHS Markit Ltd 4.000% 01/03/2026 1,381,160 0.84

757,000 James Hardie International Finance DAC 4.750% 15/01/2025 766,463 0.471,000,000 James Hardie International Finance DAC 5.000% 15/01/2028 1,012,500 0.611,011,000 JBS USA LUX SA/JBS USA Finance Inc 8.250% 01/02/2020 1,016,560 0.621,000,000 JBS USA LUX SA/JBS USA Finance Inc 5.875% 15/07/2024 971,250 0.59










228,000 Jeld-Wen Inc 4.875% 15/12/2027 230,850 0.141,065,000 Jonah Energy LLC/Jonah Energy Finance Corp 7.250% 15/10/2025 1,074,319 0.651,055,000 KeHE Distributors LLC/KeHE Finance Corp 7.625% 15/08/2021 1,060,275 0.651,500,000 Kenan Advantage Group Inc 7.875% 31/07/2023 1,560,000 0.95

800,000 Kinross Gold Corp 6.875% 01/09/2041 909,000 0.551,800,000 Kissner Holdings LP/

Kissner Milling Co Ltd/BSC Holding Inc/Kissner USA 8.375% 01/12/2022 1,827,000 1.11

2,000,000 LBC Tank Terminals Holding Netherlands BV 6.875% 15/05/2023 2,092,500 1.281,500,000 Lennar Corp 4.500% 30/04/2024 1,541,700 0.94

500,000 Louisiana-Pacific Corp 4.875% 15/09/2024 517,500 0.321,500,000 LPL Holdings Inc 5.750% 15/09/2025 1,530,000 0.93

507,000 M/I Homes Inc 5.625% 01/08/2025 517,099 0.32428,000 Mattel Inc 6.750% 31/12/2025 433,885 0.26

1,500,000 Moog Inc 5.250% 01/12/2022 1,556,250 0.95725,000 MPT Operating Partnership LP/

MPT Finance Corp 5.000% 15/10/2027 737,688 0.451,425,000 New Gold Inc 6.250% 15/11/2022 1,474,875 0.90

219,000 NextEra Energy Operating Partners LP 4.250% 15/09/2024 222,833 0.142,000,000 NRG Energy Inc 7.250% 15/05/2026 2,170,000 1.321,171,000 Ortho-Clinical Diagnostics Inc/

Ortho-Clinical Diagnostics SA 6.625% 15/05/2022 1,182,710 0.721,500,000 PBF Holding LLC/PBF Finance Corp 7.000% 15/11/2023 1,567,500 0.961,500,000 Penske Automotive Group Inc 5.375% 01/12/2024 1,530,000 0.93

500,000 Pilgrim's Pride Corp 5.875% 30/09/2027 516,250 0.312,452,000 Platform Specialty Products Corp 5.875% 01/12/2025 2,436,675 1.48

913,000 Post Holdings Inc 5.500% 01/03/2025 947,237 0.581,000,000 Post Holdings Inc 5.750% 01/03/2027 1,020,000 0.622,000,000 Prime Security Services Borrower LLC/

Prime Finance Inc 9.250% 15/05/2023 2,220,000 1.351,500,000 PulteGroup Inc 5.000% 15/01/2027 1,573,125 0.96

931,000 RBS Global/Rexnord LLC 4.875% 15/12/2025 942,637 0.571,665,000 Sirius XM Radio Inc 5.000% 01/08/2027 1,673,325 1.021,500,000 SM Energy Co 6.750% 15/09/2026 1,552,500 0.952,000,000 Sprint Capital Corp 6.875% 15/11/2028 2,017,500 1.23

307,000 Sprint Corp 7.875% 15/09/2023 325,804 0.202,000,000 Standard Industries Inc 5.000% 15/02/2027 2,050,000 1.251,700,000 Starwood Property Trust Inc 4.750% 15/03/2025 1,691,500 1.031,500,000 Suburban Propane Partners LP/

Suburban Energy Finance Corp 5.875% 01/03/2027 1,485,000 0.901,079,000 SunCoke Energy Partners LP/

SunCoke Energy Partners Finance Corp 7.500% 15/06/2025 1,132,950 0.69377,000 Surgery Center Holdings Inc 6.750% 01/07/2025 358,150 0.22

1,250,000 T-Mobile USA Inc 6.500% 15/01/2026 1,367,187 0.83346,000 Teleflex Inc 4.625% 15/11/2027 349,028 0.21209,000 Tempo Acquisition LLC/

Tempo Acquisition Finance Corp 6.750% 01/06/2025 212,658 0.13864,000 Tenet Healthcare Corp 4.625% 15/07/2024 843,480 0.51

3,022,000 TIBCO Software Inc 11.375% 01/12/2021 3,301,535 2.012,000,000 TransDigm Inc 6.375% 15/06/2026 2,025,000 1.23

206,000 Transocean Inc 6.800% 15/03/2038 166,345 0.10157,000 Transocean Inc 9.350% 15/12/2041 152,290 0.09241,000 Trident Merger Sub Inc 6.625% 01/11/2025 241,000 0.15750,000 Triumph Group Inc 4.875% 01/04/2021 740,625 0.45599,000 Triumph Group Inc 5.250% 01/06/2022 590,015 0.36






250,000 Triumph Group Inc 7.750% 15/08/2025 265,938 0.16275,000 United Rentals North America Inc 4.625% 15/10/2025 277,750 0.17404,000 United Rentals North America Inc 4.875% 15/01/2028 407,030 0.25328,000 USIS Merger Sub Inc 6.875% 01/05/2025 332,100 0.20184,000 Valeant Pharmaceuticals International Inc 6.500% 15/03/2022 193,660 0.12322,000 Valeant Pharmaceuticals International Inc 7.000% 15/03/2024 345,345 0.21

2,000,000 Valeant Pharmaceuticals International Inc 6.125% 15/04/2025 1,842,500 1.12306,000 Valeant Pharmaceuticals International Inc 5.500% 01/11/2025 312,885 0.19

1,000,000 Valeant Pharmaceuticals International Inc 9.000% 15/12/2025 1,048,750 0.641,509,000 Veritas US Inc/Veritas Bermuda Ltd 10.500% 01/02/2024 1,576,905 0.96

169,000 VFH Parent LLC/Orchestra Co-Issuer Inc 6.750% 15/06/2022 178,295 0.11315,000 Wabash National Corp 5.500% 01/10/2025 318,150 0.19370,000 Warrior Met Coal Inc 8.000% 01/11/2024 382,950 0.23540,000 West Street Merger Sub Inc 6.375% 01/09/2025 544,050 0.33873,000 Xerium Technologies Inc 9.500% 15/08/2021 886,094 0.54



–––––––––––– ––––––––

Fair Value % of Net

US$ Assets



–––––––––––– –––––––––––––––––––– ––––––––


Transferable securities admitted to an official stock exchange listing 50.59Transferable securities dealt in on another regulated market 46.68Other current assets 2.73


––––––––––––––––






Transferable Securities (Corporate Bonds) - 95.36%

France - 1.75%

1,500,000 SFR Group SA 6.000% 15/05/2022 1,520,625 1.75–––––––––––– ––––––––

United States - 93.61%

2,000,000 Aircastle Ltd 4.625% 15/12/2018 2,037,500 2.353,500,000 Allegiant Travel Co 5.500% 15/07/2019 3,609,375 4.161,000,000 Ally Financial Inc 3.750% 18/11/2019 1,015,100 1.172,150,000 American Airlines Group Inc 5.500% 01/10/2019 2,219,875 2.561,500,000 American Airlines Group Inc 4.625% 01/03/2020 1,530,000 1.761,500,000 Andeavor Logistics LP/

Tesoro Logistics Finance Corp 5.500% 15/10/2019 1,558,905 1.792,000,000 Anixter Inc 5.625% 01/05/2019 2,070,000 2.381,500,000 Antero Resources Corp 5.125% 01/12/2022 1,537,500 1.771,500,000 ArcelorMittal 6.750% 25/02/2022 1,686,562 1.941,000,000 Cablevision Systems Corp 8.000% 15/04/2020 1,070,000 1.23

589,000 CHS/Community Health Systems Inc 6.250% 31/03/2023 533,045 0.611,000,000 Citgo Holding Inc 10.750% 15/02/2020 1,077,500 1.241,000,000 Clear Channel Worldwide Holdings Inc 7.625% 15/03/2020 983,750 1.131,500,000 Clearwater Paper Corp 4.500% 01/02/2023 1,490,625 1.72

788,000 Consolidated Energy Finance SA 6.750% 15/10/2019 802,775 0.921,000,000 Coveris Holdings SA 7.875% 01/11/2019 997,500 1.151,000,000 CSC Holdings LLC 7.625% 15/07/2018 1,025,000 1.181,110,000 CVR Refining LLC/Coffeyville Finance Inc 6.500% 01/11/2022 1,148,850 1.322,000,000 DISH DBS Corp 7.875% 01/09/2019 2,140,000 2.461,500,000 EMC Corp 2.650% 01/06/2020 1,481,429 1.712,498,000 EnPro Industries Inc 5.875% 15/09/2022 2,613,532 3.011,000,000 Ferrellgas LP/Ferrellgas Finance Corp 6.750% 15/01/2022 930,000 1.071,500,000 First Quantum Minerals Ltd 7.250% 01/04/2023 1,620,000 1.871,000,000 Freeport-McMoRan Inc 2.375% 15/03/2018 999,250 1.151,000,000 Frontier Communications Corp 8.125% 01/10/2018 998,650 1.151,000,000 GCI Inc 6.750% 01/06/2021 1,018,750 1.173,700,000 Halyard Health Inc 6.250% 15/10/2022 3,848,000 4.43

165,000 Hughes Satellite Systems Corp 6.500% 15/06/2019 173,044 0.201,500,000 Icahn Enterprises LP/Icahn Enterprises Finance Corp 5.875% 01/02/2022 1,520,625 1.751,000,000 JBS USA LUX SA/JBS USA Finance Inc 7.250% 01/06/2021 1,021,250 1.18

505,000 KeHE Distributors LLC/KeHE Finance Corp 7.625% 15/08/2021 507,525 0.582,500,000 Kinross Gold Corp 5.125% 01/09/2021 2,618,750 3.021,000,000 LBC Tank Terminals Holding Netherlands BV 6.875% 15/05/2023 1,046,250 1.201,500,000 Lennar Corp 2.950% 29/11/2020 1,496,250 1.722,000,000 Lennar Corp 4.125% 15/01/2022 2,047,500 2.361,000,000 Mallinckrodt International Finance SA 3.500% 15/04/2018 998,750 1.151,500,000 NCL Corp Ltd 4.750% 15/12/2021 1,556,250 1.791,000,000 NGPL PipeCo LLC 4.375% 15/08/2022 1,025,000 1.182,500,000 Novelis Corp 6.250% 15/08/2024 2,612,500 3.011,250,000 NRG Energy Inc 6.250% 15/07/2022 1,306,250 1.50

154,000 Penske Automotive Group Inc 3.750% 15/08/2020 157,273 0.181,500,000 PH Glatfelter Co 5.375% 15/10/2020 1,520,625 1.75

224,000 Pilgrim's Pride Corp 5.750% 15/03/2025 232,120 0.271,000,000 Prime Security Services Borrower LLC/

Prime Finance Inc 9.250% 15/05/2023 1,110,000 1.281,000,000 RegionalCare Hospital Partners Holdings Inc 8.250% 01/05/2023 1,060,000 1.222,000,000 Rockies Express Pipeline LLC 6.000% 15/01/2019 2,065,000 2.382,000,000 Sirius XM Radio Inc 3.875% 01/08/2022 2,015,000 2.32

295,000 Southern Star Central Corp 5.125% 15/07/2022 306,800 0.351,500,000 Sprint Communications Inc 7.000% 15/08/2020 1,590,000 1.831,000,000 Sprint Communications Inc 9.250% 15/04/2022 1,197,500 1.381,500,000 Sunoco LP/Sunoco Finance Corp 5.500% 01/08/2020 1,543,500 1.78

Barings Umbrella Fund PlcBarings U.S. Short Duration High Yield Bond Component Fund





Transferable Securities (Corporate Bonds) - 95.36% (continued)

United States - 93.61% (continued)

450,000 TEGNA Inc 5.125% 15/07/2020 461,250 0.531,250,000 TIBCO Software Inc 11.375% 01/12/2021 1,365,625 1.571,500,000 TransDigm Inc 5.500% 15/10/2020 1,520,625 1.751,000,000 Triumph Group Inc 4.875% 01/04/2021 987,500 1.14

416,000 Valeant Pharmaceuticals International Inc 6.500% 15/03/2022 437,840 0.502,000,000 Whiting Petroleum Corp 5.000% 15/03/2019 2,053,500 2.371,679,000 Zachry Holdings Inc 7.500% 01/02/2020 1,712,580 1.97

–––––––––––– ––––––––81,310,155 93.61


–––––––––––– ––––––––

Fair Value % of Net

US$ Assets



–––––––––––– –––––––––––––––––––– ––––––––


Transferable securities admitted to an official stock exchange listing 63.90Transferable securities dealt in on another regulated market 31.44Other current assets 4.66


––––––––––––––––





Significant Changes in Portfolio Composition (Unaudited) for the financial year ended 31 December 2017

Purchases

Cost

Issuer US$

Institutional Cash Series Plc - Institutional US Dollar Liquidity Fund 11,430,000SFR Group SA, 6.000% due 15/05/2022 3,927,754Anglian Water Osprey Financing Plc, 4.000% due 08/03/2026 3,439,439Jerrold Finco Plc, 6.125% due 15/01/2024 3,293,232Ocado Group Plc, 4.000% due 15/06/2024 3,015,509Telenet Finance Luxembourg Notes Sarl, 5.500% due 01/03/2028 3,000,000Avantor Inc, 4.750% due 01/10/2024 2,986,126Travelex Financing Plc, 8.000% due 15/05/2022 2,963,577Swissport Financing Sarl, 6.750% due 15/12/2021 2,873,154Valeant Pharmaceuticals International Inc, 7.000% due 15/03/2024 2,850,875Peabody Energy Corp, 6.375% due 31/03/2025 2,806,125HCA Inc, 5.875% due 15/03/2022 2,693,750Hertz Corp, 7.625% due 01/06/2022 2,687,215Ashtead Capital Inc, 4.125% due 15/08/2025 2,557,500Veritas US Inc/Veritas Bermuda Ltd, 7.500% due 01/02/2023 2,527,421Galaxy Bidco Ltd, 6.375% due 15/11/2020 2,508,400Viridian Group FinanceCo Plc/Viridian Power and Energy, 4.750% due 15/09/2024 2,507,999CHS/Community Health Systems Inc, 6.250% due 31/03/2023 2,452,963EP Energy LLC/Everest Acquisition Finance Inc, 8.000% due 15/02/2025 2,408,500CPUK Finance Ltd, 4.875% due 28/08/2025 2,393,554Norican A/S, 4.500% due 15/05/2023 2,326,732Voyage Care BondCo Plc, 5.875% due 01/05/2023 2,307,276Charter Communications Operating LLC/Charter Communications Operating Capital, 6.384% due 23/10/2035 2,302,120Maxeda DIY Holding BV, 6.125% due 15/07/2022 2,251,356United Rentals North America Inc, 4.625% due 15/07/2023 2,070,000RAC Bond Co Plc, 5.000% due 06/11/2022 2,067,680Heathrow Finance Plc, 3.875% due 01/03/2027 1,944,300Arena Luxembourg Finance Sarl, 2.875% due 01/11/2024 1,898,720APTIM Corp, 7.750% due 15/06/2025 1,874,000Calpine Corp, 5.250% due 01/06/2026 1,851,000Orchestra Borrower LLC, 6.750% due 15/06/2022 1,783,1251011778 BC ULC/New Red Finance Inc, 5.000% due 15/10/2025 1,750,000Welltec A/S, 9.500% due 01/12/2022 1,732,9553AB Optique Developpement SAS, 4.000% due 01/10/2023 1,642,679FXI Holdings Inc, 7.875% due 01/11/2024 1,619,750Simmons Foods Inc, 7.875% due 01/10/2021 1,593,750Chesapeake Energy Corp, 8.000% due 15/12/2022 1,586,250CPUK Finance Ltd, 4.250% due 28/08/2022 1,546,081Simmons Foods Inc, 5.750% due 01/11/2024 1,538,000

Listed above are aggregate purchases of securities exceeding 1 per cent of the total value of purchases for the financial yearended 31 December 2017 and aggregate sales greater than 1 per cent of the total value of sales for the financial year ended31 December 2017.

At a minimum, the largest 20 purchases and sales are required to be disclosed, if applicable.



Significant Changes in Portfolio Composition (Unaudited)for the financial year ended 31 December 2017 (continued)

Sales

Proceeds

Issuer US$

Institutional Cash Series Plc - Institutional US Dollar Liquidity Fund 9,481,693Marlin Intermediate Holdings Plc, 10.500% due 01/08/2020 3,234,272SFR Group SA, 6.000% due 15/05/2022 3,081,293Vue International Bidco Plc, 7.875% due 15/07/2020 2,872,618LSF9 Balta Issuer SARL, 7.750% due 15/09/2022 2,650,934Shelf Drilling Holdings Ltd, 9.500% due 02/11/2020 2,397,794LSB Industries Inc, 8.500% due 01/08/2019 2,252,475Keystone Financing Plc, 9.500% due 15/10/2019 2,222,049Wind Acquisition Finance SA, 4.000% due 15/07/2020 2,154,748Pizzaexpress Financing 2 Plc, 6.625% due 01/08/2021 2,143,063Charter Communications Operating LLC/Charter Communications Operating Capital, 4.908% due 23/07/2025 2,106,940CTP Transportation Products LLC/CTP Finance Inc, 8.250% due 15/12/2019 2,102,280International Car Wash Group Financing Plc, 6.625% due 15/07/2019 2,092,247CPUK Finance Ltd, 7.000% due 28/08/2020 2,091,639eircom Finance DAC, 4.500% due 31/05/2022 1,861,170SFR Group SA, 5.625% due 15/05/2024 1,764,746TPC Group Inc, 8.750% due 15/12/2020 1,746,4021011778 BC ULC/New Red Finance Inc, 6.000% due 01/04/2022 1,744,105Synlab Bondco Plc, 6.250% due 01/07/2022 1,743,843CPUK Finance Ltd, 4.250% due 28/08/2022 1,620,514SMCP Group SAS, 5.875% due 01/05/2023 1,548,601Tenet Healthcare Corp, 6.250% due 01/11/2018 1,356,435Sabine Pass Liquefaction LLC, 5.625% due 15/04/2023 1,326,377Douglas GmbH, 6.250% due 15/07/2022 1,289,465WFS Global Holding SAS, 9.500% due 15/07/2022 1,257,723Sabine Pass Liquefaction LLC, 5.625% due 01/02/2021 1,213,371Constellium NV, 7.875% due 01/04/2021 1,211,726Voyage Care BondCo Plc, 5.875% due 01/05/2023 1,157,042Peabody Energy Corp, 6.375% due 31/03/2025 1,133,000Paroc Group Oy, 6.250% due 15/05/2020 1,117,164WFS Global Holding SAS, 9.500% due 15/07/2022 1,082,239UPCB Finance IV Ltd, 4.000% due 15/01/2027 1,070,210Tenet Healthcare Corp, 5.125% due 01/05/2025 1,021,586AA Bond Co Ltd, 5.500% due 31/07/2022 1,016,123Verallia Packaging SASU, 5.125% due 01/08/2022 958,900BMC East LLC, 5.500% due 01/10/2024 929,929Entertainment One Ltd, 6.875% due 15/12/2022 922,602





Significant Changes in Portfolio Composition (Unaudited)for the financial year ended 31 December 2017

Purchases

Cost

Issuer €

Deutsche Global Liquidity Series Plc - Managed Euro Fund 22,500,000Garfunkelux Holdco 3 SA, 8.500% due 01/11/2022 8,389,411Verisure Midholding AB, 5.750% due 01/12/2023 8,300,000Garfunkelux Holdco 2 SA, 11.000% due 01/11/2023 7,714,286Huntsman International LLC, 4.250% due 01/04/2025 7,062,500RAC Bond Co Plc, 5.000% due 06/11/2022 5,994,337Loxam SAS, 6.000% due 15/04/2025 5,555,113Travelex Financing Plc, 8.000% due 15/05/2022 5,551,663Jerrold Finco Plc, 6.125% due 15/01/2024 5,468,849Avantor Inc, 4.750% due 01/10/2024 5,450,000Cabot Financial Luxembourg SA, 7.500% due 01/10/2023 5,413,061Ardagh Packaging Finance Plc/Ardagh Holdings USA Inc, 4.750% due 15/07/2027 5,251,347INEOS Group Holdings SA, 5.375% due 01/08/2024 5,124,000Iron Mountain UK Plc, 3.875% due 15/11/2025 4,503,751PSPC Escrow Corp, 6.000% due 01/02/2023 4,420,125CPUK Finance Ltd, 4.875% due 28/08/2025 4,252,384Viridian Group FinanceCo Plc/Viridian Power and Energy, 4.750% due 15/09/2024 4,165,439Ocado Group Plc, 4.000% due 15/06/2024 4,033,578Norican A/S, 4.500% due 15/05/2023 3,979,625Veritas US Inc/Veritas Bermuda Ltd, 10.500% due 01/02/2024 3,775,073KCA Deutag UK Finance Plc, 9.875% due 01/04/2022 3,756,898Altice Financing SA, 7.500% due 15/05/2026 3,741,439Metsa Board OYJ, 2.750% due 29/09/2027 3,718,366Constellium NV, 7.000% due 15/01/2023 3,608,813Valeant Pharmaceuticals International Inc, 4.500% due 15/05/2023 3,496,250Welltec A/S, 8.000% due 01/02/2019 3,490,068Boparan Finance Plc, 5.500% due 15/07/2021 3,477,117Carlson Travel Inc, 6.750% due 15/12/2023 3,464,653Voyage Care BondCo Plc, 5.875% due 01/05/2023 3,411,421






Sales

Proceeds

Issuer €

Deutsche Global Liquidity Series Plc - Managed Euro Fund 24,486,291Garfunkelux Holdco 3 SA, 8.500% due 01/11/2022 7,497,738Constellium NV, 7.000% due 15/01/2023 6,056,813SIG Combibloc Holdings SCA, 7.750% due 15/02/2023 5,713,863SFR Group SA, 6.000% due 15/05/2022 4,184,851Bormioli Rocco Holdings SA, 10.000% due 01/08/2018 3,817,290Galaxy Finco Ltd, 7.875% due 15/11/2021 3,460,846Ardagh Packaging Finance Plc/Ardagh Holdings USA Inc, 6.750% due 15/05/2024 3,382,920International Car Wash Group Financing Plc, 6.625% due 15/07/2019 3,308,500Ence Energia y Celulosa SA, 5.375% due 01/11/2022 3,284,250Voyage Care BondCo Plc, 5.875% due 01/05/2023 3,224,309Western Digital Corp, 10.500% due 01/04/2024 3,192,430Constellium NV, 7.875% due 01/04/2021 3,136,546Worldpay Finance Plc, 3.750% due 15/11/2022 3,124,750Garfunkelux Holdco 3 SA, 7.500% due 01/08/2022 3,112,125William Hill Plc, 4.875% due 07/09/2023 3,047,379SMCP Group SAS, 5.875% due 01/05/2023 3,041,100Lock AS, 7.000% due 15/08/2021 2,988,938CPUK Finance Ltd, 4.250% due 28/08/2022 2,873,617Platform Specialty Products Corp, 10.375% due 01/05/2021 2,862,979Western Digital Corp, 7.375% due 01/04/2023 2,851,312eircom Finance DAC, 4.500% due 31/05/2022 2,847,200Huntsman International LLC, 4.250% due 01/04/2025 2,755,750Darling Global Finance BV, 4.750% due 30/05/2022 2,718,938Infor US Inc, 5.750% due 15/05/2022 2,717,000Horizon Holdings I SAS, 7.250% due 01/08/2023 2,695,000Synlab Bondco Plc, 6.250% due 01/07/2022 2,667,438Paroc Group Oy, 6.250% due 15/05/2020 2,581,625Ardagh Packaging Finance Plc/Ardagh Holdings USA Inc, 4.750% due 15/07/2027 2,570,053Garfunkelux Holdco 2 SA, 11.000% due 01/11/2023 2,525,521Galapagos SA, 5.375% due 15/06/2021 2,487,500Iron Mountain Europe Plc, 6.125% due 15/09/2022 2,357,573Verisure Holding AB, 6.000% due 01/11/2022 2,355,274






Purchases

Cost

Issuer US$

Institutional Cash Series Plc - Institutional US Dollar Liquidity Fund 103,600,000CCO Holdings LLC, 5.000%, due 01/02/2028 13,913,038TIBCO Software Inc, 11.375%, due 01/12/2021 11,792,889LPL Holdings Inc, 5.750%, due 15/09/2025 9,090,000Garfunkelux Holdco 2 SA, 11.000%, due 01/11/2023 8,781,785Energy Transfer Equity LP, 4.250%, due 15/03/2023 8,000,000Avantor Inc, 9.000%, due 01/10/2025 8,000,000Allegiant Travel Co, 5.500%, due 15/07/2019 7,245,000United States Steel Corp, 6.875%, due 15/08/2025 7,000,000Accudyne Industries Borrower, 7.750%, due 15/12/2020 6,823,738Icahn Enterprises LP, 6.250%, due 01/02/2022 6,715,130Hertz Corp, 7.625%, due 01/06/2022 6,429,522EP Energy LLC, 8.000%, due 15/02/2025 6,001,781NFP Corp, 6.875%, due 15/07/2025 6,000,000APTIM Corp, 7.750%, due 15/06/2025 5,983,000Hertz Corp, 6.750%, due 15/04/2019 5,901,780Molina Healthcare Inc, 4.875%, due 15/06/2025 5,761,000Ardagh Packaging Finance Plc, 4.750% due 15/07/2027 5,753,281TransDigm Inc, 6.375%, due 15/06/2026 5,721,694Jonah Energy LLC, 7.250%, due 15/10/2025 5,672,314

Sales

Proceeds

Issuer US$

Institutional Cash Series Plc - Institutional US Dollar Liquidity Fund 116,137,972CPI International Inc, 8.750%, due 15/02/2018 12,444,553REV Group Inc, 8.500%, due 01/11/2019 10,445,000Garfunkelux Holdco 3 SA, 8.500%, due 01/11/2022 7,709,636Platform Specialty Products Corp, 10.375%, due 01/05/2021 6,212,845Wind Acquisition Finance SA, 7.375%, due 23/04/2021 5,927,560Hertz Corp, 6.750%, due 15/04/2019 5,925,954Western Digital Corp, 10.500%, due 01/04/2024 5,882,020Continental Resources Inc, 4.900%, due 01/06/2044 5,803,545Hecla Mining Co, 6.875%, due 01/05/2021 5,639,850Oasis Petroleum Inc, 6.875%, due 15/03/2022 5,596,250Xerium Technologies Inc, 9.500%, due 15/08/2021 5,306,435Capsugel SA, 7.000%, due 15/05/2019 5,194,558USIS Merger Sub Inc, 6.875%, due 01/05/2025 5,143,770Infor Software Parent LLC, 7.125%, due 01/05/2021 5,072,730Griffon Corp, 5.250%, due 01/03/2022 4,694,864Ardagh Packaging Finance Plc, 4.750%, due 15/07/2027 4,629,283Avantor Inc, 9.000%, due 01/10/2025 4,344,917CTP Transportation Products LLC, 8.250%, due 15/12/2019 4,326,300Virgin Media Finance Plc, 6.000%, due 15/10/2024 4,235,000






Purchases

Cost

Issuer US$

Kroger Co, 0.000%, due 14/12/2017 4,499,835Bank of Ceylon, 6.875%, due 03/05/2017 3,079,928SPARC EM SPC Panama Metro Line 2 SP, 0.000%, due 05/12/2022 3,067,307Sysco Corp, 0.000%, due 17/03/2017 2,999,906Sysco Corp, 0.000%, due 21/03/2017 2,999,906Centerpoint Engy Inc, 0.000%, due 13/03/2017 2,999,775Centerpoint Engy Inc, 0.000%, due 20/03/2017 2,999,715Exelon Corp, 0.000%, due 15/03/2017 2,999,520Exelon Generation Comp, 0.000%, due 9/03/2017 2,998,787Autozone Inc, 0.000%, due 03/04/2017 2,998,754Amphenol Corp, 0.000%, due 06/04/2017 2,998,600American Electric Power Inc, 0.000%, due 01/02/2017 2,499,879Sysco Corp, 0.000%, due 06/02/2017 2,499,813Exelon Generation Comp, 0.000%, due 21/02/2017 2,499,183Exelon Generation Comp, 0.000%, due 23/01/2017 2,499,028Sysco Corp, 0.000%, due 02/02/2017 2,449,939Sysco Corp, 0.000%, due 03/02/2017 2,449,939Molex Electronic Technologies LLC, 0.000%, due 13/01/2017 2,249,419Avangrid Inc, 0.000%, due 24/01/2017 2,249,381Mckesson HBOC Inc, 0.000%, due 07/02/2017 2,249,178






Sales

Proceeds

Issuer US$

SPARC EM SPC Panama Metro Line 2 SP, 0.000%, due 05/12/2022 3,170,315Petrobras Global Finance BV, 3.750%, due 14/01/2021 1,783,935Digicel Ltd, 6.000%, due 15/04/2021 1,481,250Banistmo SA, 3.650%, due 19/09/2022 1,401,750Rosneft Finance SA, 7.875%, due 13/03/2018 1,330,875National Savings Bank, 8.875%, due 18/09/2018 1,259,100Nemak SAB de CV, 3.250%, due 15/03/2024 1,162,387Lietuvos Energija UAB, 2.000%, due 14/07/2027 1,149,469Tauron Polska Energia SA, 2.375%, due 05/07/2027 1,138,823BBVA Bancomer SA, 6.500%, due 10/03/2021 1,107,500Arcor SAIC, 6.000%, due 06/07/2023 1,075,000Gazprom Neft OAO Via GPN Capital SA, 6.000%, due 27/11/2023 1,072,750Abengoa Transmision Sur SA, 6.875%, due 30/04/2043 1,062,764Lima Metro Line 2 Finance Ltd, 5.875%, due 05/07/2034 1,061,250C&W Senior Financing Designated Activity Co, 6.875%, due 15/09/2027 1,050,000Cencosud SA, 4.875%, due 20/01/2023 1,048,000Alpha Star Holding III Ltd, 6.250%, due 20/04/2022 1,031,250Novolipetsk Steel Via Steel Funding DAC, 4.500%, due 15/06/2023 1,024,300Turkiye Sinai Kalkinma Bankasi AS, 7.625%, due 29/03/2027 1,023,750OCP SA, 6.875%, due 25/04/2044 1,021,500Sigma Alimentos SA de CV, 4.125%, due 02/05/2026 1,018,800Turkiye Is Bankasi, 5.500%, due 21/04/2022 1,018,250SAN Miguel Industrias Pet SA, 4.500%, due 18/09/2022 1,012,000Capex SA, 6.875%, due 15/05/2024 1,011,250Metalloinvest Finance DAC, 4.850%, due 02/05/2024 1,004,500Evraz Group SA, 5.375%, due 20/03/2023 1,001,250Turkiye Is Bankasi, 7.000%, due 29/06/2028 995,000China Jinjiang Environment Holding Co Ltd, 6.000%, due 27/07/2020 994,000Argentine Republic Government International Bond, 6.875%, due 26/01/2027 993,901Topaz Marine SA, 9.125%, due 26/07/2022 990,625Postal Savings Bank of China Co Ltd, 4.500%, due 0//0 985,500GTL Trade Finance Inc, 5.893%, due 29/04/2024 981,000Metalsa SA de CV, 4.900%, due 24/04/2023 941,750Republic of Belarus International Bond, 6.875%, due 28/02/2023 930,375Instituto Costarricense de Electricidad, 6.375%, due 15/05/2043 924,000Sberbank of Russia Via SB Capital SA, 5.500%, due 26/02/2024 923,850




Barings Umbrella Fund PlcBarings Emerging Markets Local Debt FundSignificant Changes in Portfolio Composition (Unaudited)

for the financial year ended 31 December 2017

Purchases

Cost

Issuer US$

Russian Federal Bond - OFZ, 7.000% due 16/08/2023 78,912,717Republic of South Africa Government Bond, 6.500% due 28/02/2041 67,534,255Brazil Notas do Tesouro Nacional Serie B, 6.000% due 15/08/2050 60,933,955Mexican Bonos, 7.750% due 13/11/2042 42,833,598Mexican Bonos, 7.750% due 29/05/2031 36,025,244Turkey Government Bond, 10.700% due 17/08/2022 34,082,006Bonos de la Tesoreria de la Republica en pesos, 4.500% due 01/03/2021 33,256,161Colombian TES, 7.750% due 18/09/2030 28,541,873Colombian TES, 4.750% due 04/04/2035 26,031,281Indonesia Treasury Bond, 8.375% due 15/03/2034 24,263,385Russian Federal Bond - OFZ, 8.500% due 17/09/2031 19,618,217Malaysia Government Bond, 4.935% due 30/09/2043 18,914,717Hungary Government Bond, 3.250% due 22/10/2031 17,046,764Turkey Government Bond, 6.300% due 14/02/2018 17,016,088Peru Government Bond, 6.950% due 12/08/2031 16,392,173Republic of South Africa Government Bond, 8.750 due 28/02/2048 16,267,139Argentine Bonos del Tesoro, 16.000% due 17/10/2023 15,914,264Republic of South Africa Government Bond, 6.250% due 31/03/2036 15,809,699Indonesia Treasury Bond, 8.250% due 15/05/2036 10,298,790Peru Government Bond, 6.850% due 12/02/2042 9,270,742Turkey Government Bond, 8.800% due 14/11/2018 8,799,072Mexican Bonos, 7.500% due 03/06/2027 8,304,158Argentine Bonos del Tesoro, 15.500% due 17/10/2026 8,181,215Indonesia Treasury Bond, 9.000% due 15/03/2029 7,795,186




Barings Umbrella Fund PlcBarings Emerging Markets Local Debt FundSignificant Changes in Portfolio Composition (Unaudited)

for the financial year ended 31 December 2017 (continued)

Sales

Proceeds

Issuer US$

Hungary Government Bond, 3.250% due 22/10/2031 18,356,546Turkey Government Bond, 6.300% due 14/02/2018 16,657,339Turkey Government Bond, 8.000% due 12/03/2025 10,300,489Mexican Bonos, 10.000% due 05/12/2024 9,091,968Colombian TES, 7.500% due 26/08/2026 8,573,528Brazilian Government International Bond, 10.250% due 10/01/2028 7,647,764Colombian TES, 6.000% due 28/04/2028 7,065,073Russian Federal Bond - OFZ, 7.500% due 27/02/2019 7,038,956Hungary Government Bond, 6.750%, due 24/11/2017 6,025,396Republic of South Africa Government Bond, 7.000% due 28/02/2031 5,842,900Colombian TES, 4.750% due 04/04/2035 5,764,320Indonesia Treasury Bond, 8.250% due 15/05/2036 5,622,674Mexican Bonos, 6.500% due 09/06/2022 5,549,455Israel Government Bond - Fixed, 5.500% due 31/01/2042 5,396,559Mexican Bonos, 8.000% due 07/12/2023 5,030,536Ukraine Government International Bond, 0.000% due 31/05/2040 5,005,024Mexican Bonos, 8.000% due 11/06/2020 3,602,099Romania Government Bond, 5.900%, due 26/07/2017 2,604,975Russian Federal Bond - OFZ, 7.600% due 20/07/2022 2,553,782Colombian TES, 7.750% due 18/09/2030 2,377,189Croatia Government Bond, 2.750% due 08/07/2021 2,276,826Peru Government Bond, 7.840% due 12/08/2020 1,978,505Mexican Bonos, 5.750% due 05/03/2026 1,960,123Croatia Government Bond, 4.250% due 14/12/2026 1,692,895Romania Government Bond, 5.800% due 26/07/2027 1,627,890






Purchases

Cost

Issuer US$

United States Treasury Note/Bond, 1.625%, due 31/08/2022 3,846,359United States Treasury Note/Bond, 1.625%, due 30/11/2020 3,233,764United States Treasury Note/Bond, 0.875%, due 15/09/2019 2,756,012United States Treasury Note/Bond, 3.500%, due 15/02/2039 2,576,468United States Treasury Note/Bond, 2.500%, due 15/05/2046 1,841,332United States Treasury Note/Bond, 1.625%, due 31/07/2020 1,556,373United States Treasury Note/Bond, 2.000%, due 15/11/2026 1,360,139United States Treasury Note/Bond, 2.250%, due 15/08/2027 1,136,983Bank of America Corp, 1.625%, due 14/09/2022 915,481Goldman Sachs Group Inc, 2.625%, due 19/08/2020 632,295United States Treasury Note/Bond, 1.000%, due 15/11/2019 543,340AT&T Inc, 3.900%, due 14/08/2027 528,384United States Treasury Note/Bond, 1.625%, due 15/03/2020 502,813United States Treasury Note/Bond, 1.125%, due 30/09/2021 483,529Lloyds Banking Group Plc, 3.750%, due 11/01/2027 451,851Citigroup Inc, 2.375%, due 22/05/2024 436,689RenaissanceRe Finance Inc, 3.700%, due 01/04/2025 425,102HSBC Holdings Plc, 3.196%, due 05/12/2023 421,987RenaissanceRe Finance Inc, 3.700%, due 01/04/2025 419,394JPMorgan Chase & Co, 1.375%, due 16/09/2021 416,396

Sales

Proceeds

Issuer US$

United States Treasury Note/Bond, 1.625%, due 31/08/2022 3,841,421United States Treasury Note/Bond, 1.625%, due 30/11/2020 3,221,436United States Treasury Note/Bond, 0.875%, due 15/09/2019 2,755,266United States Treasury Note/Bond, 2.500%, due 15/05/2046 2,398,678United States Treasury Note/Bond, 1.250%, due 31/03/2021 2,082,613United States Treasury Note/Bond, 3.500%, due 15/02/2039 2,057,564United States Treasury Note/Bond, 1.625%, due 31/07/2020 1,560,115United States Treasury Note/Bond, 2.000%, due 15/11/2026 1,509,280United States Treasury Note/Bond, 0.750%, due 31/10/2018 1,290,746United States Treasury Note/Bond, 2.250%, due 15/08/2027 1,136,164United States Treasury Note/Bond, 1.125%, due 30/09/2021 1,018,951Lazard Group LLC, 4.250%, due 14/11/2020 759,032RPM International Inc, 6.125%, due 15/10/2019 731,106International Lease Finance Corp, 7.125%, due 01/09/2018 684,743CF Industries Inc, 6.875%, due 01/05/2018 619,440United States Treasury Note, 1.000%, due 15/11/2019 544,393Bank of America Corp, 1.625%, due 14/09/2022 504,390United States Treasury Note/Bond, 1.625%, due 15/03/2020 501,816Banco Bilbao Vizcaya Argentaria Colombia SA, 0.625%, due 17/01/2022 477,028Encana Corp, 6.500%, due 15/05/2019 474,372






Purchases

Cost

Issuer US$

SPARC EM SPC Panama Metro Line 2 SP, 0.000%, due 05/12/2022 1,281,728Petrobras Global Finance BV, 8.375%, due 23/05/2021 1,020,750Vimpel Communications Via VIP Finance Ireland Ltd OJSC, 7.748%, due 02/02/2021 895,200Turkiye Is Bankasi, 5.000%, due 30/04/2020 854,250Emirates NBD 2014 Tier 1 Ltd, 6.375%, due 0//0 834,975DME Airport Ltd, 5.875%, due 11/11/2021 832,105Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 5.950%, due 30/01/2024 828,500First Abu Dhabi Bank PJSC, 5.250%, due 0//0 823,000Alpha Star Holding Ltd, 4.970%, due 09/04/2019 809,700Future Land Development Holdings Ltd, 5.000%, due 16/02/2020 798,412Gold Fields Orogen Holdings BVI Ltd, 4.875%, due 07/10/2020 720,000VTR Finance BV, 6.875%, due 15/01/2024 683,813Gerdau Trade Inc, 5.750%, due 30/01/2021 682,563B3 SA - Brasil Bolsa Balcao, 5.500%, due 16/07/2020 681,050NBK Tier 1 Financing Ltd, 5.750%, due 29/12/2049 675,250Voto-Votorantim Overseas Trading Operations IV Ltd, 7.750%, due 24/06/2020 662,850CIFI Holdings Group Co Ltd, 7.750%, due 05/06/2020 644,500Altice Financing SA, 6.625%, due 15/02/2023 622,750Transportadora de Gas Internacional SA ESP, 5.700%, due 20/03/2022 617,800Sino-Ocean Land Treasure Finance I Ltd, 4.625%, due 30/07/2019 616,920PTT Exploration & Production PCL, 4.875%, due 31/12/2099 612,750Turkiye Sinai Kalkinma Bankasi AS, 5.375%, due 30/10/2019 609,550Braskem Finance Ltd, 7.000%, due 07/05/2020 543,100Petrobras Global Finance BV, 6.125%, due 17/01/2022 519,500GTH Finance BV, 6.250%, due 26/04/2020 474,750Shimao Property Holdings Ltd, 8.375%, due 10/02/2022 447,250Rosneft Finance SA, 7.250%, due 02/02/2020 442,100Novatek OAO Via Novatek Finance DAC, 6.604%, due 03/02/2021 440,000YPF SA, 8.500%, due 23/03/2021 434,200Minerva Luxembourg SA, 7.750%, due 31/01/2023 434,190ABH Financial Ltd Via Alfa Holding Issuance Plc, 2.626%, due 28/04/2020 431,360Itau Unibanco Holding SA, 6.200%, due 21/12/2021 431,000CBQ Finance Ltd, 7.500%, due 18/11/2019 430,200Turkiye Vakiflar Bankasi TAO, 2.375%, due 04/05/2021 427,569Itau Unibanco Holding SA, 6.200%, due 15/04/2020 426,600JBS Investments GmbH, 7.750%, due 28/10/2020 424,050Country Garden Holdings Co Ltd, 7.250%, due 04/04/2021 420,800Powerlong Real Estate Holdings Ltd, 7.625%, due 26/11/2018 417,500Banco Daycoval SA, 5.750%, due 19/03/2019 413,000Sberbank of Russia Via SB Capital SA, 5.500%, due 26/02/2024 408,550JSW Steel Ltd, 4.750%, due 12/11/2019 404,000Turkiye Sise ve Cam Fabrikalari AS, 4.250%, due 09/05/2020 400,000CBQ Finance Ltd, 2.875%, due 24/06/2019 393,350Sable International Finance Ltd, 6.875%, due 01/08/2022 319,800Bank of Ceylon, 6.875, due 03/05/2017 302,250






Sales

Proceeds

Issuer US$

Israel Electric Corp Ltd, 5.625%, due 21/06/2018 835,450Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 5.950%, due 30/01/2024 834,000CEMEX Finance LLC, 9.375%, due 12/10/2022 690,300Petrobras Global Finance BV, 3.750%, due 14/01/2021 632,958Minerva Luxembourg SA, 7.750%, due 31/01/2023 632,113VEON Holdings BV, 5.200%, due 13/02/2019 621,600PTT Exploration & Production PCL, 4.875%, due 31/12/2099 612,750Marfrig Overseas Ltd, 9.500%, due 04/05/2020 604,500Lenovo Group Ltd, 4.700%, due 08/05/2019 519,200Turkiye Halk Bankasi AS, 3.875%, due 05/02/2020 481,750YPF SA, 8.875%, due 19/12/2018 433,000Novolipetsk Steel Via Steel Funding DAC, 4.950%, due 26/09/2019 420,000Cencosud SA, 4.875%, due 20/01/2023 419,200JBS Investments GmbH, 7.750%, due 28/10/2020 404,500Intergas Finance BV, 6.375%, due 14/05/2017 403,000Turkiye Is Bankasi, 3.750%, due 10/10/2018 401,000Gerdau Holdings Inc, 7.000%, due 20/01/2020 382,375KazMunayGas National Co JSC, 9.125%, due 02/07/2018 321,750Empresas Publicas de Medellin ESP, 7.625%, due 29/07/2019 281,000Mobile Telesystems OJSC Via MTS International Funding Ltd, 8.625%, due 22/06/2020 233,000Shimao Property Holdings Ltd, 8.125%, due 22/01/2021 217,500Rosneft Finance SA, 7.875%, due 13/03/2018 211,600Petrobras Global Finance BV, 5.750%, due 20/01/2020 209,700Akbank TAS, 6.500%, due 09/03/2018 206,400Stillwater Mining Co, 6.125%, due 27/06/2022 204,500Vanke Real Estate Hong Kong Co Ltd, 3.950%, due 23/12/2019 204,460Russian Agricultural Bank OJSC Via RSHB Capital SA, 5.298%, due 27/12/2017 204,400Sappi Papier Holding GmbH, 4.000%, due 01/04/2023 169,288






Purchases

Cost

Issuer US$

Freddie Mac Discount Note, 0.000%, due 10/10/2017 3,999,120Federal Home Loan Banks, 0.000%, due 10/10/2017 3,998,693United States Treasury Note/Bond, 0.750%, due 31/10/2018 3,089,311Federal Home Loan Banks, 0.000%, due 28/09/2017 3,043,666Federal Home Loan Banks, 0.000%, due 15/12/2017 2,999,235Federal Home Loan Banks, 0.000%, due 06/12/2017 2,997,585Federal Home Loan Banks, 0.000%, due 23/10/2017 2,648,454Federal Home Loan Banks, 0.000%, due 16/11/2017 2,598,241Federal Home Loan Banks, 0.000%, due 24/10/2017 2,499,093United States Treasury Note/Bond, 1.125%, due 30/09/2021 2,283,712Federal Home Loan Banks, 0.000%, due 08/12/2017 1,998,704Federal Home Loan Bank Discount Notes, 0.000%, due 10/01/2018 1,997,708Federal Home Loan Banks, 0.000%, due 20/12/2017 1,997,611Federal Home Loan Banks, 0.000%, due 10/11/2017 1,798,427United States Treasury Note/Bond, 1.250%, due 31/03/2019 1,768,730Federal Home Loan Banks, 0.000%, due 13/11/2017 1,398,658Federal Home Loan Banks, 0.000%, due 29/09/2017 1,059,529Federal Home Loan Banks, 0.000%, due 02/10/2017 999,639Federal Home Loan Banks, 0.000%, due 27/09/2017 999,583Federal Home Loan Banks, 0.000%, due 03/11/2017 999,383Toyota Motor Credit Corp, 1.167%, due 15/12/2017 998,882Federal Home Loan Banks, 0.000%, due 13/12/2017 997,400

Sales

Proceeds

Issuer US$

United States Treasury Note/Bond, 1.125%, due 30/09/2021 2,300,413United States Treasury Note/Bond, 0.750%, due 31/10/2018 2,136,211United States Treasury Note/Bond, 1.250%, due 31/03/2019 1,767,279United States Treasury Note/Bond, 1.875%, due 31/03/2022 712,136United States Treasury Note/Bond, 1.250%, due 31/03/2021 540,332Fannie Mae REMICS, 3.000%, due 25/02/2043 498,870Fannie Mae REMICS, 3.000%, due 25/10/2045 490,874United States Treasury Inflation Indexed Bonds, 0.125%, due 15/04/2021 463,671Morgan Stanley, 2.450%, due 01/02/2019 383,162Imperial Brands Finance Plc, 2.950%, due 21/07/2020 356,125Goodyear Tire & Rubber Co, 5.125%, due 15/11/2023 260,163UnitedHealth Group Inc, 1.700%, due 15/02/2019 254,740Ford Motor Credit Co LLC, 3.157%, due 04/08/2020 251,478Air Lease Corp, 2.125%, due 15/01/2018 250,278BGC Partners Inc, 5.125%, due 27/05/2021 226,151United States Treasury Note/Bond, 1.500%, due 15/06/2020 200,414Stanley Black & Decker Inc, 2.451%, due 17/11/2018 192,018Freddie Mac REMICS, 3.500%, due 15/12/2038 175,632Freddie Mac REMICS, 4.000%, due 15/09/2039 175,588Freddie Mac REMICS, 4.000%, due 15/03/2040 168,339WestJet Airlines Ltd, 3.500%, due 16/06/2021 162,685DRB Prime Student Loan Trust 2015-D, 3.200%, due 25/01/2040 162,365Freddie Mac REMICS, 4.000%, due 15/01/2036 150,565Ecolab Inc, 2.000%, due 14/01/2019 150,374Aetna Inc, 1.900%, due 07/06/2019 149,840






Purchases

Cost

Issuer US$

Brazil Notas do Tesouro Nacional Serie B, 6.000% due 15/08/2050 5,184,781Mexican Bonos, 7.750% due 13/11/2042 3,700,093Russian Federal Bond - OFZ, 7.000% due 25/01/2023 2,640,035Russian Federal Bond - OFZ, 8.500% due 17/09/2031 2,607,940Republic of South Africa Government Bond, 6.500% due 28/02/2041 2,384,121Petrobras Global Finance BV, 4.750% due 14/01/2025 2,116,906Brazilian Government International Bond, 10.250% due 10/01/2028 2,048,488Colombian TES, 4.750% due 04/04/2035 2,014,647Argentine Republic Government International Bond, 6.875% due 26/01/2027 1,982,240Indonesia Treasury Bond, 8.250% due 15/05/2036 1,906,342Digicel Group Ltd, 8.250% due 30/09/2020 1,788,250Ukraine Government International Bond, 7.375% due 25/09/2032 1,540,000Capex SA, 6.875% due 15/05/2024 1,350,000Ghana Government International Bond, 10.750% due 14/10/2030 1,341,200Digicel Ltd, 6.000% due 15/04/2021 1,264,700Banco Mercantil del Norte SA, 7.625% due 31/12/2099 1,187,750Croatia Government International Bond, 2.750% due 27/01/2030 1,153,230Ukraine Government International Bond, 7.750% due 01/09/2020 1,028,150Qatar Reinsurance Co Ltd, 4.950% due 31/12/2099 994,500Petra Diamonds US Treasury Plc, 7.250% due 01/05/2022 992,500Bancolombia SA, 4.875% due 18/10/2027 980,000Yasar Holding AS, 8.875% due 06/05/2020 961,125Ghana Government Bond, 21.500% due 09/03/2020 958,925Argentine Bonos del Tesoro, 15.500% due 17/10/2026 955,904Turkiye Is Bankasi, 7.000% due 29/06/2028 900,000Gerdau Trade Inc, 4.875% due 24/10/2027 891,234Republic of Belarus International Bond, 6.875% due 28/02/2023 889,776Itau Unibanco Holding SA, 6.125% due 31/12/2099 828,000Grupo Idesa SA de CV, 7.875% due 18/12/2020 818,500El Salvador Government International Bond, 8.625% due 28/02/2029 814,550Ghana Government Bond, 18.250% due 25/07/2022 775,374Altice Financing SA, 7.500% due 15/05/2026 756,875Banque Centrale de Tunisie International Bond, 5.625% due 17/02/2024 734,492Mexico City Airport Trust, 5.500% due 31/07/2047 705,726Chandra Asri Petrochemical Tbk PT, 4.950% due 08/11/2024 703,795Nigeria Treasury Bill, 0.000% due 14/06/2018 629,072Altice Financing SA, 6.625% due 15/02/2023 624,000Nigeria Treasury Bill, 0.000% due 21/06/2018 622,637






Sales

Proceeds

Issuer US$

Mexican Bonos, 7.500% due 03/06/2027 2,605,979Brazilian Government International Bond, 8.250% due 20/01/2034 2,210,000Petrobras Global Finance BV, 3.750% due 14/01/2021 2,202,045Brazilian Government International Bond, 10.250% due 10/01/2028 2,165,752Metalsa SA de CV, 4.900% due 24/04/2023 2,132,475Colombian TES, 7.750% due 18/09/2030 2,043,406Argentine Republic Government International Bond, 6.875% due 26/01/2027 1,987,803BBVA Bancomer SA, 6.750% due 30/09/2022 1,711,625Indonesia Treasury Bond, 7.875% due 15/04/2019 1,646,094Uruguay Government International Bond, 4.375%, due 27/10/2027 1,636,000Cemex SAB de CV, 4.375% due 05/03/2023 1,570,034Peru Government Bond, 6.950% due 12/08/2031 1,538,702Sberbank of Russia Via SB Capital SA, 5.500% due 26/02/2024 1,537,350Ghana Government International Bond, 8.500% due 04/10/2017 1,342,250Emirate of Dubai Government International Bonds, 5.250% due 30/01/2043 1,301,750Digicel Ltd, 6.000% due 15/04/2021 1,285,050OCP SA, 6.875% due 25/04/2044 1,248,500Ukraine Government International Bond, 7.750% due 01/09/2020 1,068,100Gerdau Trade Inc, 4.875% due 24/10/2027 909,000Ghana Government International Bond, 7.875% due 07/08/2023 875,700Turkiye Halk Bankasi AS, 3.875% due 05/02/2020 867,150Minerva Luxembourg SA, 6.500% due 20/09/2026 619,500Indonesia Treasury Bond, 7.000% due 15/05/2022 586,477Instituto Costarricense de Electricidad, 6.375% due 15/05/2043 544,800Ghana Government International Bond, 9.250% due 15/09/2022 523,750Mexico City Airport Trust, 4.250% due 31/10/2026 493,750BBVA Bancomer SA, 5.350% due 12/11/2029 474,230Colombia Government International Bond, 5.625% due 26/02/2044 450,400






Purchases

Cost

Issuer US$

Argentine Republic Government International Bond, 6.875% due 26/01/2027 991,120Petrobras Global Finance BV, 8.750% due 23/05/2026 793,450SPARC EM SPC Panama Metro Line 2 SP, 0.000% due 05/12/2022 716,000Indonesia Government International Bond, 2.150% due 18/07/2024 686,542Croatia Government International Bond, 3.000% due 20/03/2027 628,501Topaz Marine SA, 9.125% due 26/07/2022 600,000Croatia Government International Bond, 2.750% due 27/01/2030 461,292Ukraine Government International Bond, 7.375% due 25/09/2032 460,000Ukraine Government International Bond, 7.750% due 01/09/2019 455,150Republic of Armenia International Bond, 7.150% due 26/03/2025 441,000Hrvatska Elektroprivreda, 5.875% due 23/10/2022 424,500Paraguay Government International Bond, 6.100% due 11/08/2044 411,000Mexico City Airport Trust, 5.500% due 31/07/2047 395,546Mexico Government International Bond, 5.750% due 12/10/2110 391,300Ukraine Government International Bond, 7.750% due 01/09/2020 359,850Republic of Belarus International Bond, 6.875% due 28/02/2023 346,024Colombia Government International Bond, 5.000% due 15/06/2045 293,484Uruguay Government International Bond, 5.100% due 18/06/2050 285,000Tauron Polska Energia SA, 2.375% due 05/07/2027 282,951Banco General SA, 4.125% due 07/08/2027 277,376Turkiye Garanti Bankasi AS, 6.125% due 24/05/2027 250,375Zenith Bank Plc, 7.375% due 30/05/2022 250,000MHP SE, 8.250% due 02/04/2020 245,625Ghana Government International Bond, 10.750% due 14/10/2030 239,500Argentine Republic Government International Bond, 5.250% due 15/01/2028 232,386Hungary Government International Bond, 1.750% due 10/10/2027 231,819Serbia International Bond, 7.250% due 28/09/2021 230,800Provincia de Buenos Aires, 5.375% due 20/01/2023 226,897Ivory Coast Government International Bond, 5.125% due 15/06/2025 224,330Pertamina Persero PT, 6.450% due 30/05/2044 220,200OCP SA, 6.875% due 25/04/2044 212,700Banque Centrale de Tunisie International Bond, 5.625% due 17/02/2024 211,242Russian Foreign Bond - Eurobond, 5.250% due 23/06/2047 207,700Borets Finance DAC, 6.500% due 07/04/2022 200,000Eurotorg LLC Via Bonitron DAC, 8.750% due 30/10/2022 200,000First Quantum Minerals Ltd, 7.250% due 01/04/2023 200,000Paraguay Government International Bond, 4.700% due 27/03/2027 200,000Province of Jujuy Argentina, 8.625% due 20/09/2022 200,000Russian Federation, 5.250% due 23/06/2047 200,000Sri Lanka Government International Bond, 6.200% due 11/05/2027 200,000Turkiye Sinai Kalkinma Bankasi AS, 7.625% due 29/03/2027 200,000Petra Diamonds US Treasury Plc, 7.250% due 01/05/2022 199,986Eastern and Southern African Trade and Development Bank, 5.375% due 14/03/2022 198,920Chandra Asri Petrochemical Tbk PT, 4.950% due 08/11/2024 198,252Export Credit Bank of Turkey, 5.375% due 08/02/2021 197,880Tullow Oil Plc, 6.000% due 01/11/2020 195,800Grupo Idesa SA de CV, 7.875% due 18/12/2020 189,750Aeropuertos Argentina 2000 SA, 6.875% due 01/02/2027 159,821






Sales

Proceeds

Issuer US$

Argentine Republic Government International Bond, 6.875% due 26/01/2027 992,470Ukraine Government International Bond, 7.750% due 01/09/2019 959,978Petrobras Global Finance BV, 8.375% due 23/05/2021 778,750Serbia International Bond, 7.250% due 28/09/2021 748,700Croatia Government International Bond, 3.000% due 20/03/2027 691,453Petroleos Mexicanos, 6.875% due 04/08/2026 682,900Croatia Government International Bond, 6.375% due 24/03/2021 664,500Uruguay Government International Bond, 4.375% due 27/10/2027 545,236Colombia Government International Bond, 8.125% due 21/05/2024 512,640Brazilian Government International Bond, 8.250% due 20/01/2034 455,000Indonesia Government International Bond, 4.750% due 08/01/2026 429,000Romania Government International Bond, 4.375%, due 22/08/2023 418,000Ivory Coast Government International Bond, 5.750% due 31/12/2032 370,440Colombia Government International Bond, 5.000% due 15/06/2045 288,000Turkey Government International Bond, 5.625% due 30/03/2021 264,375Ghana Government International Bond, 9.250% due 15/09/2022 261,875Zenith Bank Plc, 7.375% due 30/05/2022 252,875MHP SE, 8.250% due 02/04/2020 249,375Mexico City Airport Trust, 4.250% due 31/10/2026 246,875Panama Government International Bond, 6.700% due 26/01/2036 246,600Romanian Government International Bond, 6.125% due 22/01/2044 244,500Ghana Government International Bond, 10.750% due 14/10/2030 236,000Croatia Government International Bond, 6.000% due 26/01/2024 228,500Indonesia Government International Bond, 5.875% due 15/01/2024 228,000Croatia Government International Bond, 6.750% due 05/11/2019 218,250Instituto Costarricense de Electricidad, 6.950% due 10/11/2021 215,000Borets Finance DAC, 6.500% due 07/04/2022 213,500Province of Jujuy Argentina, 8.625% due 20/09/2022 212,600Poland Government International Bond, 4.000% due 22/01/2024 211,250KOC Holding AS, 5.250% due 15/03/2023 210,500Export Credit Bank of Turkey, 5.375% due 08/02/2021 209,200Republic of Ghana, 8.500% due 04/10/2017 206,500Corp Nacional del Cobre de Chile, 4.500% due 16/09/2025 205,000Turkiye Sinai Kalkinma Bankasi AS, 7.625% due 29/03/2027 205,000Yasar Holding AS, 8.875% due 06/05/2020 204,600Global Bank Corp, 4.500% due 20/10/2021 204,300Angolan Government International Bond, 9.500% due 12/11/2025 203,500Sri Lanka Government International Bond, 6.200% due 11/05/2027 202,540Poland Government International Bond, 3.250% due 06/04/2026 202,200Russian Foreign Bond - Eurobond, 5.250% due 23/06/2047 201,500Chandra Asri Petrochemical Tbk PT, 4.950% due 08/11/2024 197,750Provincia del Chaco Argentina, 9.375% due 18/08/2024 190,800Mexico Government International Bond, 4.350% due 15/01/2047 188,750Republic of South Africa Government International Bond, 5.000% due 12/10/2046 188,500






Purchases

Cost

Issuer US$

LPL Holdings Inc, 5.750%, due 15/09/2025 3,886,000TIBCO Software Inc, 11.375%, due 01/12/2021 3,498,920Six Flags Entertainment Corp, 4.875%, due 31/07/2024 2,970,000TransDigm Inc, 6.375%, due 15/06/2026 2,794,951Allegheny Technologies Inc, 5.950%, due 15/01/2021 2,702,749Energy Transfer Equity LP, 4.250%, due 15/03/2023 2,636,000USIS Merger Sub Inc, 6.875%, due 01/05/2025 2,451,000Clear Channel Worldwide Holdings Inc, 7.625%, due 15/03/2020 2,314,193Ortho-Clinical Diagnostics Inc/Ortho-Clinical Diagnostics SA, 6.625%, due 15/05/2022 2,306,208EP Energy LLC/Everest Acquisition Finance, 8.000%, due 15/02/2025 2,285,416CSVC Acquisition Corp, 7.750%, due 15/06/2025 2,247,000Century Communities Inc, 6.875%, due 15/05/2022 2,217,480Chemours Co, 7.000%, due 15/05/2025 2,169,713Altice Luxembourg SA, 7.625%, due 15/02/2025 2,138,794Altice Financing SA, 7.500%, due 15/05/2026 2,105,000Icahn Enterprises LP/Icahn Enterprises Finance Corp, 6.250%, due 01/02/2022 2,011,500Avantor Inc, 9.000%, due 01/10/2025 2,000,000JBS USA LUX SA/JBS USA Finance Inc, 8.250%, due 01/02/2020 1,986,081Jonah Energy LLC/Jonah Energy Finance Corp, 7.250%, due 15/10/2025 1,891,593SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp, 7.500%, due 15/06/2025 1,872,732Standard Industries Inc/NJ, 4.750%, due 15/01/2028 1,847,000ArcelorMittal, 7.250%, due 01/03/2041 1,828,978Hertz Corp, 6.750%, due 15/04/2019 1,824,118Aircastle Ltd, 4.125%, due 01/05/2024 1,794,000Hertz Corp, 7.625%, due 01/06/2022 1,790,000C&S Group Enterprises LLC, 5.375%, due 15/07/2022 1,729,503Symantec Corp5.000%, due 15/04/2025 1,714,853Icahn Enterprises LP, 6.750%, due 01/02/2024 1,707,000CHS/Community Health Systems, 6.875%, due 01/02/2022 1,670,718Ardagh Packaging Finance Plc, 6.000%, due 15/02/2025 1,661,610Coveris Holdings SA, 7.875%, due 01/11/2019 1,608,851Welltec A/S, 9.500%, due 01/12/2022 1,485,390Amsted Industries Inc, 5.375%, due 15/09/2024 1,483,258Altice Financing SA, 6.625%, due 15/02/2023 1,477,000






Sales

Proceeds

Issuer US$

CPI International Inc, 8.750%, due 15/02/2018 4,935,665Signode Industrial Group Lux SA/Signode Industrial Group US, 6.375%, due 01/05/2022 3,610,375Infor Software Parent LLC/Infor Software Parent Inc, 7.125%, due 01/05/2021 3,453,248Xerium Technologies Inc, 9.500%, due 15/08/2021 3,116,303Platform Specialty Products Corp, 10.375%, due 01/05/2021 3,055,700Six Flags Entertainment Corp, 4.875%, due 31/07/2024 3,035,854Carrols Restaurant Group Inc, 8.000%, due 01/05/2022 2,914,930Griffon Corp, 5.250%, due 01/03/2022 2,879,036Sabine Pass Liquefaction LLC, 5.875%, due 30/06/2026 2,877,476RegionalCare Hospital Partners Holdings Inc, 8.250%, due 01/05/2023 2,784,923Netflix Inc, 4.375%, due 15/11/2026 2,782,818Altice Financing SA, 7.500%, due 15/05/2026 2,773,595Sirius XM Radio, 5.375%, due 15/07/2026 2,758,476Beazer Homes USA Inc, 8.750%, due 15/03/2022 2,682,490Halyard Health, 6.250%, due 15/10/2022 2,671,928BMC East LLC, 5.500%, due 01/10/2024 2,575,000WMG Acquisition Corp, 6.750%, due 15/04/2022 2,559,588Hertz Corp, 6.750%, due 15/04/2019 2,545,630USIS Merger Sub Inc, 6.875%, due 01/05/2025 2,522,171NCL Corp Ltd, 4.750%, due 15/12/2021 2,441,870Western Digital Corp, 10.500%, due 01/04/2024 2,416,685Century Communities Inc, 6.875%, due 15/05/2022 2,279,983CSVC Acquisition Corp, 7.750%, due 15/06/2025 2,193,263Dollar Tree Inc, 5.750%, due 01/03/2023 2,160,425Pinnacle Entertainment, 5.625%, due 01/05/2024 2,157,686US Concrete Inc, 6.375%, due 01/06/2024 2,115,000Murphy Oil USA Inc, 6.000%, due 15/08/2023 2,098,125






Purchases

Cost

Issuer US$

United States Treasury Note/Bond, 2.000%, due 15/11/2026 9,090,816United States Treasury Note/Bond, 3.500%, due 15/02/2039 8,782,655United States Treasury Note/Bond, 1.625%, due 30/11/2020 8,649,199United States Treasury Note/Bond, 2.250%, due 15/08/2027 6,525,479United States Treasury Note/Bond, 1.625%, due 31/07/2020 5,818,594United States Treasury Note/Bond, 0.750%, due 31/10/2018 4,964,453Credit Suisse Group Funding Guernsey Ltd, 2.750%, due 26/03/2020 2,738,321JPMorgan Chase & Co, 3.540%, due 01/05/2028 2,496,207Kinder Morgan Energy Partners LP, 3.950%, due 01/09/2022 2,427,670JPMorgan Chase & Co, 3.875%, due 10/09/2024 2,346,570Lloyds Banking Group Plc, 3.750%, due 11/01/2027 2,303,946RenaissanceRe Finance Inc, 3.700%, due 01/04/2025 2,146,312JPMorgan Chase & Co, 2.250%, due 23/01/2020 2,012,260United States Treasury Note/Bond, 0.875%, due 15/09/2019 1,966,875Vale Overseas Ltd, 5.875%, due 10/06/2021 1,874,250American International Group Inc, 4.875%, due 01/06/2022 1,871,972AT&T Inc, 3.900%, due 14/08/2027 1,849,962Credit Suisse Group AG, 4.282%, due 09/01/2028 1,729,852Morgan Stanley, 5.625%, due 23/09/2019 1,601,068Nabors Industries Inc, 5.500%, due 15/01/2023 1,531,100

Sales

Proceeds

Issuer US$

United States Treasury Note/Bond, 2.000%, due 15/11/2026 10,037,371United States Treasury Note/Bond, 2.250%, due 15/08/2027 5,872,877United States Treasury Note/Bond, 1.625%, due 31/07/2020 5,813,250United States Treasury Note/Bond, 3.500%, due 15/02/2039 5,377,684United States Treasury Note/Bond, 0.750%, due 31/10/2018 4,970,508Nabors Industries Inc, 6.150%, due 15/02/2018 2,346,075Lloyds Banking Group Plc, 3.750%, due 11/01/2027 2,305,709United States Treasury Note/Bond, 1.625%, due 30/11/2020 2,082,609CF Industries Inc, 6.875%, due 01/05/2018 2,064,800JPMorgan Chase & Co, 2.250%, due 23/01/2020 2,015,160Goldman Sachs Group Inc, 6.150%, due 01/04/2018 1,887,822JPMorgan Chase & Co, 2.550%, due 29/10/2020 1,809,378Verizon Communications Inc, 3.500%, due 01/11/2024 1,621,376United States Treasury Note/Bond, 1.000%, due 15/11/2019 1,480,664United States Treasury Note/Bond, 1.625%, due 31/08/2022 1,465,781United States Treasury Note/Bond, 1.625%, due 15/03/2020 1,407,602Kinder Morgan Energy Partners LP, 3.950%, due 01/09/2022 1,316,629Clorox Co, 3.050%, due 15/09/2022 1,222,656EnLink Midstream Partners LP, 4.850%, due 15/07/2026 1,140,302BNP Paribas SA, 2.375%, due 21/05/2020 1,137,724






Purchases

Cost

Issuer US$

TIBCO Software Inc, 11.375%, due 01/12/2021 3,310,011HCA Inc, 5.875%, due 15/02/2026 3,155,000CCO Holdings LLC, 5.125%, due 01/05/2027 3,060,000Kosmos Energy Ltd, 7.875%, due 01/08/2021 2,632,000Platform Specialty Products Corp, 5.875%, due 01/12/2025 2,453,438Dell International LLC, 7.125%, due 15/06/2024 2,217,500T-Mobile USA Inc, 6.500%, due 15/01/2026 2,212,500Prime Security Services Borrower LLC, 9.250%, due 15/05/2023 2,173,813NRG Energy Inc, 7.250%, due 15/05/2026 2,087,500LBC Tank Terminals Holding Netherlands BV, 6.875%, due 15/05/2023 2,085,000JBS USA LUX SA, 5.875%, due 15/07/2024 2,085,000Sprint Capital Corp, 6.875%, due 15/11/2028 2,077,500Century Communities Inc, 6.875%, due 15/05/2022 2,040,000Allison Transmission Inc, 5.000%, due 01/10/2024 2,017,500Allegheny Technologies Inc, 5.950%, due 15/01/2021 2,005,326Icahn Enterprises LP, 6.750%, due 01/02/2024 2,002,500Standard Industries Inc, 5.000%, due 15/02/2027 2,000,000EP Energy LLC, 8.000%, due 15/02/2025 2,000,000Hughes Satellite Systems Corp, 5.250%, due 01/08/2026 1,991,875TransDigm Inc, 6.375%, due 15/06/2026 1,980,000






Sales

Proceeds

Issuer US$

Icahn Enterprises LP, 6.750%, due 01/02/2024 2,113,681Century Communities Inc, 6.875%, due 15/05/2022 2,097,500Ardagh Packaging Finance PLC, 6.000%, due 15/02/2025 1,706,490Alpha 3 BV, 6.250%, due 01/02/2025 1,607,508CNO Financial Group Inc, 5.250%, due 30/05/2025 1,597,500Six Flags Entertainment Corp, 4.875%, due 31/07/2024 1,593,965Meritor Inc, 6.250%, due 15/02/2024 1,588,125Sunoco LP, 6.250%, due 15/04/2021 1,575,000CalAtlantic Group Inc, 5.875%, due 15/11/2024 1,571,250Freeport-McMoRan Inc, 6.875%, due 15/02/2023 1,552,500Sunoco LP, 6.375%, due 01/04/2023 1,545,000Gates Global LLC, 6.000%, due 15/07/2022 1,529,550Symantec Corp, 5.000%, due 15/04/2025 1,523,525Summit Midstream Holdings LLC, 5.750%, due 15/04/2025 1,515,300Silgan Holdings Inc, 4.750%, due 15/03/2025 1,503,750SFR Group SA, 7.375%, due 01/05/2026 1,456,488RegionalCare Hospital Partners Holdings Inc, 8.250%, due 01/05/2023 1,360,862Continental Resources Inc, 4.900%, due 01/06/2044 1,350,544Hertz Corp, 6.750%, due 15/04/2019 1,235,080TreeHouse Foods Inc, 6.000%, due 15/02/2024 1,234,406Hill-Rom Holdings Inc, 5.000%, due 15/02/2025 1,130,411IHS Markit Ltd, 4.750%, due 15/02/2025 1,126,820HCA Inc, 5.875%, due 15/02/2026 1,080,000JBS USA LUX SA, 5.875%, due 15/07/2024 1,045,000Louisiana-Pacific Corp, 4.875%, due 15/09/2024 1,012,500USIS Merger Sub Inc, 6.875%, due 01/05/2025 950,718Wolverine World Wide Inc, 5.000%, due 01/09/2026 929,419Mallinckrodt International Finance SA, 5.500%, due 15/04/2025 903,348T-Mobile USA Inc, 6.500%, due 15/01/2026 828,750Covanta Holding Corp, 5.875%, due 01/07/2025 805,005DISH DBS Corp, 7.750%, due 01/07/2026 795,000CommScope Technologies LLC, 5.000%, due 15/03/2027 787,000Aramark Services Inc, 4.750%, due 01/06/2026 756,375Change Healthcare Holdings LLC, 5.750%, due 01/03/2025 744,690Tenet Healthcare Corp, 5.125%, due 01/05/2025 734,070Xerium Technologies Inc, 9.500%, due 15/08/2021 660,558Koppers Inc, 6.000%, due 15/02/2025 620,880CHS/Community Health Systems Inc, 6.875%, due 01/02/2022 614,165Wynn Las Vegas LLC, 5.250%, due 15/05/2027 535,940

Listed above are aggregate purchases of securities exceeding 1 per cent of the total value of purchases for the financial periodended 31 December 2017 and aggregate sales greater than 1 per cent of the total value of sales for the financial period ended31 December 2017.





Purchases

Cost

Issuer US$

Halyard Health Inc, 6.250%, due 15/10/2022 3,864,500Allegiant Travel Co, 5.500%, due 15/07/2019 3,636,250CF Industries Inc, 6.875%, due 01/05/2018 3,146,250Novelis Corp, 6.250%, due 15/08/2024 2,681,250Kinross Gold Corp, 5.125%, due 01/09/2021 2,596,250American Airlines Group Inc, 5.500%, due 01/10/2019 2,235,500DISH DBS Corp, 7.875%, due 01/09/2019 2,227,500Altice Financing SA, 6.500%, due 15/01/2022 2,194,500HCA Inc, 8.000%, due 01/10/2018 2,190,000Tenet Healthcare Corp, 6.250%, due 01/11/2018 2,130,000Rockies Express Pipeline LLC, 6.000%, due 15/01/2019 2,112,500Anixter Inc, 5.625%, due 01/05/2019 2,105,000Aircastle Ltd, 4.625%, due 15/12/2018 2,077,500EnPro Industries Inc, 5.875%, due 15/09/2022 2,067,500PBF Holding Co LLC, 8.250%, due 15/02/2020 2,040,000Whiting Petroleum Corp, 5.000%, due 15/03/2019 2,027,500Consolidated Energy Finance SA, 6.750%, due 15/10/2019 2,023,750Sirius XM Radio Inc, 3.875%, due 01/08/2022 2,020,000Lennar Corp, 4.125%, due 15/01/2022 1,990,000Welltec A/S, 8.000%, due 01/02/2019 1,887,881Zachry Holdings Inc, 7.500%, due 01/02/2020 1,739,864ArcelorMittal, 6.750%, due 25/02/2022 1,693,125Sprint Communications Inc, 7.000%, due 15/08/2020 1,623,750First Quantum Minerals Ltd, 7.250%, due 01/04/2023 1,588,125Andeavor Logistics LP/Tesoro Logistics Finance Corp, 5.500%, due 15/10/2019 1,578,750SFR Group SA, 6.000%, due 15/05/2022 1,545,000Antero Resources Corp, 5.125%, due 01/12/2022 1,541,250PH Glatfelter Co, 5.375%, due 15/10/2020 1,539,375Sunoco LP/Sunoco Finance Corp, 5.500%, due 01/08/2020 1,530,000Icahn Enterprises LP/Icahn Enterprises Finance Corp, 5.875%, due 01/02/2022 1,526,795American Airlines Group Inc, 4.625%, due 01/03/2020 1,520,625NCL Corp Ltd, 4.750%, due 15/12/2021 1,518,750TransDigm Inc, 5.500%, due 15/10/2020 1,503,125Lennar Corp, 2.950%, due 29/11/2020 1,500,000Clearwater Paper Corp, 4.500%, due 01/02/2023 1,500,000EMC Corp, 2.650%, due 01/06/2020 1,458,750TIBCO Software Inc, 11.375%, due 01/12/2021 1,367,188NRG Energy Inc, 6.250%, due 15/07/2022 1,278,125Sprint Communications Inc, 9.250%, due 15/04/2022 1,235,000CVR Refining LLC/Coffeyville Finance Inc, 6.500%, due 01/11/2022 1,143,300Allegheny Technologies Inc, 9.375%, due 01/06/2019 1,110,000Cablevision Systems Corp, 8.000%, due 15/04/2020 1,097,500Prime Security Services Borrower LLC/Prime Finance Inc, 9.250%, due 15/05/2023 1,093,750Citgo Holding Inc, 10.750%, due 15/02/2020 1,087,500Frontier Communications Corp, 8.125%, due 01/10/2018 1,081,250

Sales

Proceeds

Issuer US$

*There were no sales during the period.

Listed above are aggregate purchases of securities exceeding 1 per cent of the total value of purchases for the financial periodended 31 December 2017 and aggregate sales greater than 1 per cent of the total value of sales for the financial period ended31 December 2017.




Additional Information for Investors in the Federal Republic of Germany

This Country Supplement forms part of and should be read in conjunction with the prospectus for Barings Umbrella

Fund plc (the “Company”) and the supplements for Barings Global Senior Secured Bond Fund, Barings European High

Yield Bond Fund, Barings Global High Yield Bond Fund, Barings Emerging Markets Corporate Bond Fund, Barings

Emerging Markets Local Debt Fund, Barings Active Short Duration Fund, Barings Global Investment Grade Corporate

Bond Fund, Barings Emerging Markets Debt Short Duration Fund, Barings Emerging Markets Debt Blended Total Return

Fund, Barings Emerging Markets Sovereign Debt Fund, Barings U.S. High Yield Bond Fund, Barings U.S. Investment

Grade Corporate Bond Fund, Barings U.S. High Yield Bond Component Fund, Barings U.S. Short Duration High Yield

Bond Component Fund, the sub-funds of the Company (together the “Funds”) dated 10 July 2017 (together the

“Prospectus”). Together with the Prospectus, this Country Supplement, dated 31 December 2017, shall constitute the

Consolidated Prospectus for Germany (the “Consolidated Prospectus”).

Since no Shares in the Funds are issued as printed individual certificates, no paying agent has been appointed in Germany.

Investors should refer to the sections of the Prospectus entitled “Purchase of Shares”; “Redemption of Shares”; and “Purchaseand Redemption of Shares” in order to ascertain how to request subscription, redemption or conversion/exchange of units andwhen they are entitled to receive payments (redemption proceeds and disbursement or other payments) and how they willreceive these payments by the Company.

Investors should also refer to the “Fees and Expenses” section in the Prospectus.

The Information agent in Germany (the “German Information Agent“) is: UBS Deutschland AG, Bockenheimer Landstraße 2-4,D-60306 Frankfurt am Main, Germany.

The latest version of the Prospectus (as defined above), the key investor information documents (the “KIIDs”), the memorandumand articles of association of the Company, the certificate of incorporation of the Company, the material contracts of theCompany, the latest published annual report and any subsequent half-yearly report of the Company may be obtained free ofcharge and in paper form from the German Information Agent or at the registered office of the Company. The issue, redemptionand exchange prices are available free of charge at the German Information Agent.

In addition, in the following cases, information will be provided to investors in Germany through investors’ letters:• suspension of the redemption of Shares;• termination of the management of the Fund or its winding-up;• amendments to the Fund rules which are inconsistent with existing investment principles, affect material investor rights,

or relate to remuneration or the reimbursement of expenses that may be taken out of the assets of the Fund, includingthe reasons for the amendments and the rights of investors;

• the merger of the Fund with one or more other funds;• the conversion of the Fund into a feeder fund or any change to a master fund.

The issue, redemption and exchange prices and any other information and documents which are required to be published inIreland, will be published on the website of the Irish Stock Exchange (http://www.ise.ie). However, documents available forinvestors in Ireland solely for inspection at an office specified in the sales documentation, will be published through the GermanInformation Agent by making those documents available for inspection free of charge at his office.

Tax regulations and the practices of financial authorities are constantly subject to change. Because of the complexity ofGerman tax law, it is recommended that investors contact a tax adviser regarding the effect on their individual tax situationbefore they decide about an investment in the Fund.



Disclosure of Remuneration (Unaudited)for the financial year ended 31 December 2017

General

These disclosures are made in respect of the remuneration policies of Barings International Fund Managers Ireland Limited(“The Manager”). The disclosures are made in accordance with the Undertakings for the Collective Investment in TransferableSecurities Directive (2009/65/EC) (“UCITS”), the European Commission Delegated Regulation supplementing the UCITSdirective and the guidelines on sound remuneration policies under UCITS issued by the European Securities and MarketsAuthority (ESMA/2013/201).

Remuneration Policies and Practices

The Manager is supplied with staff by Barings (U.K.) Limited (“the Investment Manager”) under a services agreement dated 29March 2012 (as amended). The Manager and the Investment Manager share a common remuneration policy (the “Policy”).

Due to the size and nature of the Manager, the Board of Directors of the Manager (the “Manager Board”) considers itappropriate to dis-apply the requirement to appoint a remuneration committee.

The Manager forms part of the Barings Europe Limited (UK) group of companies (“Barings”). Barings has appointed aremuneration committee to take remuneration decisions, namely Barings (U.K.) Limited Senior Compensation Committee (the“Remuneration Committee”).

The Remuneration Committee ensures the fair and proportionate application of the remuneration rules and requirements andto ensure that potential conflicts arising from remuneration are managed and mitigated properly.

The Policy is intended to reflect all applicable regulatory requirements regarding remuneration practices, including those setout in the UCITS Remuneration Code (SYSC 19E) (the “Code”) forming part of the Financial Conduct Authority’s (the “FCA”)Handbook of Rules and Guidance.

Decision-Making Process

The Remuneration Committee is appointed by the Investment Manager’s Board of Directors and comprises the InvestmentManager’s Chairman and a senior executive from Massachusetts Mutual Life Insurance Company.

The Remuneration Committee is responsible for setting and implementing the Policy, periodically reviewing the Policy andapproving any changes thereto on behalf of the Manager and the Investment Manager. The Remuneration Committee alsoreviews and approves the Manager’s and the Investment Manager’s annual promotions and compensation awards andexercises oversight over any material changes that may be proposed to the Manager’s and the Investment Manager’scompensation structures.

Link between Pay and Performance

The Manager’s remuneration structures are designed to support and further the firm’s business strategy, objectives, values andlong term interests. Packages aim to facilitate the retention of existing employees and attract high calibre new employees inorder to achieve the best results for the firm and its clients.

Remuneration arrangements for the Manager’s employees currently comprise some or all of the following components:

(a) fixed salary;(b) a short term incentive scheme (“STI”);(c) a long term incentive scheme (“LTI”); and(d) share of carried interest in certain funds.

The Remuneration Committee’s variable remuneration arrangements are designed to align the interests of staff with theManager’s profits and with the performance of the assets it manages for its clients. As such, a key principle of the STI and LTIawards is that they are linked to the performance of the individual and the firm. Individual performance is assessed by referenceto personal objectives set in the previous year (including both financial and non-financial criteria), the views of line and seniormanagement, and compliance behaviour. The total amount of variable remuneration available for STI and LTI awards in anygiven performance year is based on the profits of the firm. The amount paid out in respect of carried interest is based on theperformance of assets managed by the firm.

The Manager has appointed a separate Risk Manager for the purposes of UCITS. The remuneration of the Risk Manager is notdirectly linked to the performance of particular portfolio management teams or client portfolios. The remuneration of employeeswho perform control functions (including Risk, Legal & Compliance and Human Resources) is generally structured such thatthe fixed component of total remuneration is higher than for employees involved in risk-taking activities. This, combined withcertain restrictions relating to variable remuneration awards, is designed to strengthen the independence of employeesperforming control functions.



Disclosure of Remuneration (Unaudited)for the financial year ended 31 December 2017 (continued)

Link between Pay and Performance (continued)

Note 13 of this Annual Report describes the risks associated with investing in the UCITS. For additional information regardingthe UCITS’ risk profile and information regarding how the Investment Manager seeks to manage conflicts of interest, pleaserefer to the UCITS’ Prospectus.

Total remuneration paid to staff of the Investment Manager during the year to 31 December 2017 and 31 December 2016:

31 Dec 2017 31 Dec 2016

£’000 £’000

All Investment Manager Staff

Fixed remuneration 11,176 10,036Variable remuneration 19,841 16,005

–––––––– ––––––––31,016 26,041

–––––––– ––––––––Number of beneficiaries 126 121

Amounts paid to Senior Staff

Aggregate remuneration paid to senior management 7,765 6,960Aggregate remuneration paid to personnel whose actions have a material impact on the risk profile of the UCITS 12,862 12,370

Note: The total remuneration indicated above reflects an estimate of the proportion of total remuneration of relevant staffattributable to work in respect of the Investment Manager but does not otherwise include remuneration paid to personnelemployed by the Investment Manager’s delegates. It has not been possible to break down the remuneration disclosures at theUCITS level as the information is not readily available.

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