ucits semi-annual report - calamos investments

GemCap Investment Funds (Ireland) Plc

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Condensed Interim Report and Unaudited Financial Statements

For the six months ended 30th June 2021

Atlantic House Defined Returns Fund (AHFM) Atlantic House US Enhanced Equity Fund (AUEE)

Atlantic House Total Return Fund (ATRF) Calamos Global Convertible Fund (CGCF) Causeway Defined Growth Fund (CDGF) GSI Global Sustainable Value Fund (GSI)

GSI Global Sustainable Focused Value Fund (GSFVF)* London & Capital Global Balanced Fixed Income Fund (L&CGBFI)

London & Capital Global Conservative Fixed Income Fund (L&CGCFI) London & Capital Global Defensive Equity Fund (L&CGDE)***

London & Capital Global Growth Fund (L&CGG) London & Capital Global Growth Fixed Income Fund (L&CGGFI)

London & Capital Global Star Equity Fund (L&CGSE) London & Capital Global Balanced Fund (L&CGB)

Principal Asset Allocation Fund (PAAF) Semper Total Return Fund (STRF)

TEAM International Equity Fund (TEAM)** Third Avenue Real Estate Value Fund (TAREVF)

Registered Number: 485081

*GSFVF Launched on 22nd April 2021. **TEAM Launched on 24th May 2021. ***L&CGDE was closed by way of compulsory redemption on 28th August 2020.


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Condensed Interim Report and Unaudited Financial Statements For the six months ended 30th June 2021

(Stated in US Dollars)

Pages Directors, Management and Administration 8 - 11 Atlantic House Defined Returns Fund 12 - 26

- Investment Manager’s Report 12 - 16 - Condensed Statement of Financial Position 17 - Condensed Statement of Comprehensive Income 18 - Condensed Statement of Changes in Net Assets attributable to Holders of

Redeemable Participating Shares 19

- Condensed Statement of Cash Flows 20 - Schedule of Investments 21 - 25 - Significant Portfolio Movements 26

Atlantic House US Enhanced Equity Fund 27 - 39




Atlantic House Total Return Fund 40 - 56



- Condensed Statement of Cash Flows 48 - Schedule of Investments 49 - 54 - Significant Portfolio Movements 55 - 56


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Pages Calamos Global Convertible Fund 57 - 76




Causeway Defined Growth Fund 77 - 86

- Investment Manager’s Report 77 - Condensed Statement of Financial Position 78 - Condensed Statement of Comprehensive Income 79 - Condensed Statement of Changes in Net Assets attributable to Holders of



GSI Global Sustainable Value Fund 87 - 122




GSI Global Sustainable Focused Value Fund (launched on 22nd April 2021) 123 - 140





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Pages London & Capital Global Balanced Fixed Income Fund 141 - 153




London & Capital Global Conservative Fixed Income Fund 154 - 164




London & Capital Global Defensive Equity Fund (terminated on 28th August 2020) 165 - 168

- Condensed Statement of Financial Position 165 - Condensed Statement of Comprehensive Income 166 - Condensed Statement of Changes in Net Assets attributable to Holders of


- Condensed Statement of Cash Flows 168 London & Capital Global Growth Fund 169 - 184





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Pages London & Capital Global Growth Fixed Income Fund 185 - 197




London & Capital Global Star Equity Fund 198 - 209




London & Capital Global Balanced Fund 210 - 226





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Pages Principal Asset Allocation Fund 227 - 240




Semper Total Return Fund 241 - 262




TEAM International Equity Fund (launched on 24th May 2021) 263 - 273





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Pages Third Avenue Real Estate Value Fund 274 - 288




Combined Condensed Statement of Financial Position 289 Combined Condensed Statement of Comprehensive Income 290 Combined Condensed Statement of Changes in Net Assets attributable to Holders of Redeemable Participating Shares 291 Combined Condensed Statement of Cash Flows 292 Notes forming part of the Condensed Financial Statements 293 - 362


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Directors, Management and Administration

DIRECTORS DEPOSITARY Karen Nolan (Chairperson) (Irish)* RBC Investor Services Bank S.A., Dublin Branch Conor Hoey (Irish) 4th Floor Kevin O’Neill (Irish)* One George’s Quay Plaza Orla Quigley (Irish) George’s Quay Stuart Alexander (British) Dublin 2 Ireland *Independent Director All Directors are non-executive MANAGER Gemini Capital Management (Ireland) Limited REGISTERED OFFICE 1 WML 1 WML 1 Windmill Lane 1 Windmill Lane Dublin 2 Dublin 2 Ireland Ireland RISK MANAGEMENT CONSULTANTS ADMINISTRATOR Maraging Funds Limited (trading as RiskSystem) RBC Investor Services Ireland Limited 14 Merrion Square North 4th Floor Dublin 2 One George’s Quay Plaza Ireland George’s Quay Dublin 2 LEGAL ADVISERS AND LISTING AGENT Ireland Dillon Eustace 33 Sir John Rogerson’s Quay INDEPENDENT AUDITORS Dublin 2 Deloitte Ireland LLP Ireland Chartered Accountants and Statutory Audit Firm Deloitte and Touche House GLOBAL DISTRIBUTOR Earlsfort Terrace Gemini Capital Management (Ireland) Limited Dublin 2 1 WML Ireland 1 Windmill Lane Dublin 2 COMPANY SECRETARY Ireland Pinsent Masons Corporate Services Ireland Limited 1 WML 1 Windmill Lane Dublin 2 Ireland


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Directors, Management and Administration (Continued)

UK FACILITIES AGENT INFORMATION AGENT IN GERMANY GemCap UK Limited GerFIS – German Fund Information 33 Turner Street Service GmbH C/O Brierley Coleman & Co Zum Eichhagen 4 Manchester M4 1DW 21382 Brietlingen United Kingdom Germany LOCAL AGENT IN GIBRALTAR REPRESENTATIVE IN SPAIN Hassans International Law Firm Seleccion E Inversion De Capital Global, 57/63 Line Wall Road Agencia De Valores, S.A. Gibraltar Maria Francisca, 9 28002 Madrid REPRESENTATIVE AND Spain PAYING AGENT IN SWITZERLAND RBC Investor Services Bank S.A. PAYING AGENT IN GREECE (up to 28 February 2021) Piraeus Bank S.A. Esch-sur-Alzette, Zurich Branch 4, Amerikis Str. Bleicherweg 7 105 64 Athens CH-8027 Zurich Greece Switzerland PAYING AGENT IN SWEDEN REPRESENTATIVE IN SWITZERLAND Skandinaviska Enskilda Banken AB ACOLIN Fund Services AG (publ) (from 1 March 2021) Kungsträdgårdsgatan 8 Leutschenbachstrasse 50 SE-106 40 Stockholm 8050 Zurich Sweden Switzerland PAYING AGENT IN SWITZERLAND Banque Cantonale Vaudoise (from 1 March 2021) Place St-François 14 1003 Lausanne Switzerland REPRESENTATIVE AND PAYING AGENT IN FRANCE Societe Generale 29 Boulevard Haussmann 75009 Paris France REPRESENTATIVE AND PAYING AGENT IN LUXEMBOURG RBC Investor Services Bank S.A. 14 Porte de France L-4360 Esch-sur-Alzette Luxembourg


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INVESTMENT MANAGERS Atlantic House Defined Returns Fund Atlantic House US Enhanced Equity Fund Atlantic House Total Return Fund Atlantic House Fund Management LLP One Eleven Edmund Street Birmingham B3 2HJ West Midlands United Kingdom Calamos Global Convertible Fund Causeway Defined Growth Fund Calamos Advisors LLC Causeway Securities Limited 2020 Calamos Court 12th Floor, Broadgate Tower Naperville 20 Primrose Street Illinois 60563 London United States England EC2M 2QS GSI Global Sustainable Value Fund GSI Global Sustainable Focused Value Fund* Global Systematic Investors LLP 75 King William Street London EC4R 9AN United Kingdom *Launched on 22nd April 2021. London & Capital Global Balanced Fixed Income Fund London & Capital Global Conservative Fixed Income Fund London & Capital Global Defensive Equity Fund** London & Capital Global Growth Fund London & Capital Global Growth Fixed Income Fund London & Capital Global Star Equity Fund London & Capital Global Balanced Fund London and Capital Asset Management Limited Two Fitzroy Place, 8 Mortimer Street London W1T 3JJ United Kingdom **L&CGDE was closed by way of compulsory redemption on 28th August 2020.


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INVESTMENT MANAGERS (Continued) Principal Asset Allocation Fund Semper Total Return Fund Mariana Investment Partners LLP Semper Capital Management L.P. 100 Cannon Street 52 Vanderbilt Avenue, Suite 401 London EC4N 6EU New York United Kingdom NY 10017 United States TEAM International Equity Fund* Third Avenue Real Estate Value Fund Theta Enhanced Asset Management Limited Third Avenue Management LLC Royal Court Chambers 622 Third Avenue 10 Hill Street 32nd Floor St Helier New York JE2 4UA Jersey NY 10017 United States *Launched on 24th May 2021. SUB-INVESTMENT MANAGERS Causeway Defined Growth Fund Atlantic House Fund Management LLP One Eleven Edmund Street Birmingham B3 2HJ West Midlands United Kingdom


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Investment Manager’s Report

Atlantic House Defined Returns Fund Market Review A shot across the bow: The rolling recovery in the global economy continued apace through most of the second quarter despite news of new variants and the spread of the disease in Asia. Vaccines continue to show efficacy versus this fast-changing virus which allows the developed world to start recovering. The main shock to financial markets came from the Federal Reserve and its signalling of future policy. The recovery in consumer spending and manufacturing has super charged the post-lockdown recovery. US GDP has already surpassed its pre-pandemic peak. Fiscal support has been a key non-repeatable contributor to demand and its withdrawal in the coming year will be a headwind. US key economic data:

2019Q1 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2

CPI 1.86 1.65 1.71 2.29 1.54 0.65 1.37 1.36 2.62 4.99

PPI 1.39 0.49 -0.10 1.73 -1.51 -2.27 -1.17 -0.78 5.90 8.71

UE 3.80 3.60 3.50 3.60 4.40 11.10 7.80 6.70 6.00 5.90

Retail_Sales 3.43 3.26 3.65 5.49 -5.86 2.12 5.96 2.31 29.71 28.15

BudBal % GDP -4.13 -4.31 -4.57 -4.70 -4.81 -15.28 -14.79 -15.59 -19.05 -15.03

Industrial_Production 0.55 -0.89 -1.75 -2.17 -5.27 -10.96 -6.56 -3.28 1.52 16.32

GDP 2.30 2.00 2.10 2.30 0.30 -9.00 -2.80 -2.40 0.40 0.40

Source: Bloomberg Q1 2019 to Q2 2021 The data above clearly shows the rapid recovery in US retail sales. This recovery, with a lag, has driven a rebound in industrial production and employment. US unemployment peaked at 14.80% at the end of April 2020 and has since fallen steadily. While the story in Europe and the UK is similar, i.e. a consumer led rebound, it is not nearly as impressive. The UK economy is still 6% below its pre-pandemic levels. The withdrawal of the furlough scheme later this year could be a stumbling block, which is why the July 19th easing of restrictions is so critical. A repeat of the stop start lockdown policies of 2020 will immeasurably setback the UK economy and will undoubtedly worsen the fiscal hole this crisis has created. Decoding Policy The Federal Reserve has led the way in its use of new policy tools, including forward guidance. Policymakers go to great lengths to explain incoming economic data and its likely impact on policy. Much of the Fed’s recent commentary has been on the thorny topic of inflation. The Fed has played down the risk of persistent inflation, sighting the transitory nature of year-on-year comparisons and supply bottlenecks. These comments however failed to ease a growing unease amongst bondholders that the Fed would keep rates low for longer than is necessary. The carrot and stick approach of forward communication clearly lacked a stick. At their June meeting the Fed revised US growth expectations higher and changed expectations of future interest rates through the dot plot presented on the next page.


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Investment Manager’s Report (Continued)

Atlantic House Defined Returns Fund (Continued)

Source: FOMC Projections material, 16th June 2021

Each dot represents a voting member of the Federal Reserve’s Open Market Committee. Committee members now expect two to three rate increases before the end of 2023. While bond investors were already pricing in some monetary tightening, the Fed’s hawkishness came as a shock to equity markets. The selloff that ensued had all the hallmarks of a growth shock. Value stocks sold off, the dollar rallied, and inflation expectations went into reverse.

Source: Bloomberg, June 2010 to June 2020 The chart above shows US 10-year yields in blue and 10-year inflation expectation in orange. We had always maintained that higher inflation was transitory. We expected real rates, the difference between the blue line and the orange line (currently -.82%) to rise through a combination of higher rates and lower inflation expectations. It appears, for now anyway, that falling inflation expectations will cause real rates to rise rather than rising bond yields. This fear was most clear in the gold price below, which has fallen sharply.


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Source: Bloomberg, June 2020 to June 2021 While markets were surprised by the Fed’s reaction to better economic data, the data itself is supportive of risk assets and corporate profits. This brings us to our fixed income and factor positioning. Tis the season to be sceptical: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2021 -3.63 -5.84 -5.36 2.12 0.09 4.27 2020 7.69 6.45 6.22 2.27 -3.03 0.21 3.70 -4.59 0.66 -3.49 1.55 -1.57 2019 0.38 -1.60 5.35 -2.70 7.16 0.74 -0.98 11.99 -2.85 -1.29 -0.58 -2.56 2018 -3.26 -3.24 2.65 -2.47 1.96 0.41 -1.86 1.28 -3.08 -3.15 1.54 4.96 2017 0.81 1.37 -0.85 1.36 1.68 0.58 -0.98 3.31 -2.52 -0.24 0.53 1.39 2016 5.57 2.44 0.15 -0.94 0.60 6.71 1.92 -1.19 -1.69 -4.55 -8.39 -0.92

Source: Bloomberg, January 2016 to June 2021 The data in the table above shows the monthly price return of the iShares 20 year + Treasury bond ETF. As you can see from the data, the long treasury has rallied significantly in June, recouping half of its year-to-date declines. Note also, that the summer months in recent years have been positive for holders of the instrument. While we are not fool hardy enough to ignore the recent turn in the bond market, we are willing to wait a little bit longer before calling time on our tilt toward more cyclical sectors, particularly in the UK. We continue to pay attention to developments in bond yields, corporate profits and fiscal and monetary policy.


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Source: Bloomberg, September 1991 to June 2021 The chart above shows the difference between US 30-year treasury yields and 2-year yields. The relationship between these key interest rates is a good measure of how tight monetary policy is relative to economic potential. The important point to note from both the yield curve and the dot plot earlier, is that the bond market and the Fed agree that US short term rates will peak below 3%. This is at a lower level than many would have expected even 5 years ago and highlights an ingrained scepticism towards the long-term growth of the economy. We agree with the case for slowing long term growth, making any value tilt a tactical rather than structural call. Having lived through a few economic cycles, we are aware that early cycle pauses are rarely good times to go defensive. We expect second quarter earnings, due to be announced in the coming weeks, to highlight the rapid improvement in the economy. Conclusion We continue to believe that corporate profits and economic growth will underpin further outperformance of risk assets. We accept that the economic recovery, particularly in the US, has come a long way. This removes the risk of lasting damage, allowing a lasting economic cycle to take hold. While monetary policy will become less accommodative, supporting bond prices, the key headwind to growth comes from the fiscal policy. Performance Review The Sub-Fund rose 8.5% over the period compared with its UK benchmark which rose 10.9%. Whilst we are not trying to beat equity markets, it always interesting to compare performance to equities given the downside exposure of the Sub-Fund is to broad-based equity indices. As well as looking at the performance over the last 6 months it is also interesting to look at the performance over the last 18 months, just before the pandemic began, and since the Sub-Fund’s launch in 2013. Since launch the Sub-Fund has grown by almost exactly 7% per annum on a compounded basis which is what we have always been aiming for, which is incredibly satisfying. We like doing what we say we are going to do. Over the last 18 months, whilst clearly the journey has been less than smooth, we are pleased to have delivered a return of 8.4% which is over 10% ahead of the UK benchmark and not far from the 7% annualised return we are targeting. We believe that the journey unit holders have been on over this 18 month period has been an important one to really illustrate the risks and benefits of the Sub-Fund and we believe puts us in a strong position to continue growing in future.


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Outlook Despite low volatility and low rates, scenarios which are not to the benefit of the pricing of new derivative contracts the Sub-Fund might want to invest in, we are still able to hit our target of aiming to achieve 7% per annum over the medium to long term. The market rally since March 2020 has ensured that there is a significant amount of cover to the investments in the Sub-Fund paying positive returns and, as these investments roll off and are replaced by new versions, we remain optimistic that in anything other than the bleakest, long-term, equity bear market the Sub-Fund is well positioned to continue to deliver on its objective. Atlantic House Fund Management LLP Date: July 2021


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Condensed Statement of Financial Position as at 30th June 2021

Atlantic House Defined Returns Fund

AHFM AHFM 30 Jun 2021 31 Dec 2020 Note £ £

ASSETS Financial Assets at Fair Value through Profit or Loss:

Investments in Transferable Securities 3 1,164,400,940 1,038,628,410 Investments in Financial Derivative Instruments 3 222,674,774 167,039,525

Cash at bank 4 40,242,177 70,594,365 Cash held as collateral 4 500,000 7,370,000 Dividends and interest receivable 3,340,445 3,222,231 Amount receivable on subscriptions 2,747,503 1,834,272

Other receivables 4,047 -

TOTAL ASSETS 1,433,909,886 1,288,688,803 LIABILITIES Financial Liabilities at Fair Value through Profit or Loss:

Investments in Financial Derivative Instruments 3 28,288,479 30,499,168 Bank Overdraft 4 2,477 - Investment management fees payable 6 1,274,469 587,259 Manager fee payable 6 48,218 47,662 Administration fees payable 6 80,537 58,540 Transfer agency fees payable 6 34,709 3,754 Directors fees payable 6 12,110 10,952 Depositary and depositary oversight fees payable 6 100,438 67,777 Audit fees payable 6 1,974 2,925 Redemptions payable 1,522,562 1,147,201 Other fees payable 2,615 25,342 TOTAL LIABILITIES (excluding net assets attributabl e to holders of redeemable participating shares) 31,368,588 32,450,580

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES 1,402,541,298 1,256,238,223 The accompanying notes and schedules form an integral part of these condensed financial statements.


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Condensed Statement of Comprehensive Income for the Six Months Ended 30th June 2021


AHFM AHFM

Financial

Period Ended Financial

Period Ended 30 Jun 2021 30 Jun 2020 Note £ £

INCOME Bond interest income 6,839,282 7,485,957 Net realised and unrealised gain/(loss) on financial assets and liabilities at fair value through profit or loss 7 110,253,556 (98,746,888) Bank interest 66,553 75,135 Swap interest income 353,007 2,486,773 TOTAL INVESTMENT INCOME/(LOSS) 117,512,398 (88,699,023) EXPENSES Investment management fees 6 3,624,310 3,291,393 Manager fees 6 284,331 295,047 Administration fees 6 46,882 118,302 Director fees 6 8,602 41,525 Depositary and depositary oversight fees 6 72,443 99,065 Audit fees 6 5,424 5,716 Transfer agency fees 6 64,079 4,266 Swap interest expenses 5,342,199 8,208,952 Bank interest expense 98,984 65,158 Other fees and expenses 6 41,754 29,498 Total Operating Expenses 9,589,008 12,158,922 Operating Profit/(Loss) 107,923,390 (100,857,945) Increase/(Decrease) in net assets attributable to holders of redeemable participating shares from operations 107,923,390 (100,857,945)

The accompanying notes and schedules form an integral part of these condensed financial statements. All of the results for the financial period relate to continuing operations.


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Condensed Statement of Changes in Net Assets attributable to Holders of Redeemable Participating Shares


The accompanying notes and schedules form an integral part of these condensed financial statements.

AHFM AHFM

Financial


Period Ended 30 Jun 2021 30 Jun 2020 £ £ Net Assets attributable to holders of Redeemable Participating Shares at the beginning of the financial period 1,256,238,223 1,207,279,648 Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 107,923,390 (100,857,945) Capital transactions Issue of redeemable shares during the financial period 228,337,380 350,180,752Redemption of redeemable shares during the financial period (185,167,377) (210,666,294)Dividends to holders of redeemable participating shares (4,790,318) (4,749,609) Net Assets attributable to Holders of Redeemable Participating Shares at the end of the financial period 1,402,541,298 1,241,186,552


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Condensed Statement of Cash Flows


AHFM AHFM 30 Jun 2021 30 Jun 2020 £ £ Cash flows from operating activities Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 107,923,390 (100,857,945) Adjustment to reconcile increase/(decrease) in net assets attributable to holders of redeemable participating shares from operations to net cash used in operating activities Bond interest income (6,839,282) (7,485,957) Operating profit/(loss) before working capital changes 101,084,108 (108,343,902) Changes in operating assets and liabilities Net increase in financial assets and liabilities at fair value (183,618,468) (77,379,512) Decrease in other receivables 6,865,953 5,065,788 Increase in payables 750,859 271,814 Cash used in operating activities (74,917,548) (180,385,812)

Interest received 6,721,068 6,985,608 Net cash used in operating activities (68,196,480) (173,400,204) Cash flows from financing activities Proceeds from issue of redeemable participating shares 227,424,149 350,180,752 Payment on redemptions of redeemable participating shares (184,792,016) (210,033,852) Dividends to holders of redeemable participating shares (4,790,318) (4,749,609) Net cash provided by financing activities 37,841,815 135,397,291

Net decrease in cash (30,354,665) (38,002,913) Net Cash at the start of the financial period 70,594,365 106,807,184 Net Cash at the end of the financial period 40,239,700 68,804,271 Analysis of Cash Cash at the start of the financial period 70,594,365 106,807,184 Overdraft at the start of the financial period - - Cash at the end of the financial period 40,242,177 68,804,271 Overdraft at the end of the financial period (2,477) - The accompanying notes and schedules form an integral part of these condensed financial statements.


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Schedule of Investments As at 30th June 2021


(expressed in GBP) Acquisition Fair % net Description Quantity Currency cost Value assets

1) INVESTMENTS

A) TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL STOCK EXCHANGE LISTING

1) LISTED SECURITIES : BONDS

CANADA Canadian Imperial Bank of Commerce 7.00% 23/06/2027 EMTN 35,000,000 GBP 35,000,000 34,952,361 2.49

35,000,000 34,952,361 2.49

GREAT BRITAIN HSBC Bank Plc 0.00% 16/11/2022 2,800,000 GBP 2,793,000 3,843,560 0.27 United Kingdom Gilt 1.75% 22/01/2049 20,000,000 GBP 24,052,000 22,429,200 1.60 United Kingdom Inflation-Linked Gilt 0.13% 10/08/2028 53,400,000 GBP 70,037,844 71,025,257 5.06 United Kingdom Inflation-Linked Gilt 0.13% 22/03/2024 118,505,581 GBP 154,788,310 160,541,881 11.45

United Kingdom Inflation-Linked Gilt 0.13% 22/03/2026 216,589,040 GBP 275,938,275 291,898,999 20.81 United Kingdom Inflation-Linked Gilt 1.25% 22/11/2027 96,454,863 GBP 194,600,579 193,382,643 13.79

United Kingdom Inflation-Linked Gilt 1.88% 22/11/2022 9,020,000 GBP 14,157,303 14,252,890 1.02 United Kingdom Inflation-Linked Gilt 2.50% 17/07/2024 80,421,911 GBP 293,714,770 287,437,561 20.49

1,030,082,081 1,044,811,991 74.49

TOTAL LISTED SECURITIES : BONDS 1,065,082,081 1,079,764,352 76.98

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICI AL STOCK EXCHANGE LISTING 1,065,082,081 1,079,764,352 76.98

B) OTHER TRANSFERABLE SECURITIES

1) OTHER TRANSFERABLE SECURITIES : BONDS

FRANCE

Credit Agricole CIB Financial Solutions SA 0.00% 30/01/2026 EMTN 15,450,000 GBP 15,173,740 16,103,535 1.15

15,173,740 16,103,535 1.15


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Schedule of Investments (Continued) As at 30th June 2021



B) OTHER TRANSFERABLE SECURITIES (continued)

1) OTHER TRANSFERABLE SECURITIES : BONDS (continued)

GREAT BRITAIN Investec Bank Plc 0.00% 12/12/2024 18,000,000 GBP 18,049,712 22,804,200 1.63

18,049,712 22,804,200 1.63

LUXEMBOURG Citigroup Global Markets Funding Luxembourg SCA 0.46% 11/02/2022 EMTN 10,000,000 GBP 10,000,000 9,969,700 0.71 Citigroup Global Markets Funding Luxembourg SCA 1.10% 03/01/2024 20,000,000 GBP 20,000,000 19,990,833 1.44 Natixis Structured Issuance SA 0.00% 11/03/2024 EMTN 12,800,000 GBP 12,785,850 15,768,320 1.12

42,785,850 45,728,853 3.27

TOTAL OTHER TRANSFERABLE SECURITIES : BONDS 76,009,302 84,636,588 6.05

TOTAL OTHER TRANSFERABLE SECURITIES 76,009,302 84,636,588 6.05

C) DERIVATIVE INSTRUMENTS

1) FORWARD CURRENCY EXCHANGE CONTRACTS

Unrealised % net

Maturity Currency Bought Currency Sold Counterparty (Depreciation)/

Appreciation assets 01/07/2021 EUR 23,999 GBP (20,623) RBC IS Bank Luxembourg (21) 0.00 01/07/2021 GBP 6,420 USD (8,920) RBC IS Bank Luxembourg (37) 0.00 01/07/2021 EUR 11 GBP (10) RBC IS Bank Luxembourg - 0.00 02/07/2021 GBP 6,283 USD (8,695) RBC IS Bank Luxembourg (11) 0.00 30/07/2021 EUR 7,831,336 GBP (6,729,639) RBC IS Bank Luxembourg (3,167) 0.00 30/07/2021 USD 21,694,317 GBP (15,620,942) RBC IS Bank Luxembourg 81,713 0.01 30/07/2021 USD 53,390 GBP (38,652) RBC IS Bank Luxembourg (7) 0.00

78,470 0.01

TOTAL FORWARD CURRENCY EXCHANGE CONTRACTS 78,470 0.01


23



AUTOCALLABLE SWAPS

Underlying Index % net Maturity Rate Floating Counterparties Basket Notional Currency Fair Value assets 18/11/2022 3m GBP LIBOR Citigroup Global UKX/SPX 2,800,000 GBP (1,153,295) (0.08) 27/07/2023 3m GBP LIBOR JP Morgan Securities Plc. UKX/SPX/SMI 35,235,000 GBP 12,770,180 0.91 27/07/2023 3m GBP LIBOR Societe Generale UKX/SPX/SMI 21,442,000 GBP 7,230,242 0.52 16/08/2023 3m GBP LIBOR Credit Suisse International UKX/SPX/SX5E 51,620,000 GBP 17,092,724 1.22 25/08/2023 3m GBP LIBOR Citigroup Global UKX/SPX/SX5E 21,450,000 GBP 6,930,495 0.49 25/08/2023 3m GBP LIBOR JP Morgan Securities Plc. UKX/SPX/SX5E 30,960,000 GBP 10,217,714 0.73 11/09/2023 3m GBP LIBOR Natixis Paris UKX/RTY 39,337,000 GBP 11,148,106 0.79 19/09/2023 3m GBP LIBOR Natixis Paris UKX/SPX/SX5E 31,358,000 GBP 8,833,549 0.63 05/12/2023 3m GBP LIBOR Citigroup Global UKX/SPX/NKY 18,000,000 GBP (4,953,601) (0.35) 13/12/2023 3m GBP LIBOR Natixis Paris UKX 42,570,000 GBP 10,480,734 0.75 10/01/2024 3m GBP LIBOR JP Morgan Securities Plc. UKX/SX5E/SMI 20,600,000 GBP 6,232,314 0.44 24/01/2024 3m GBP LIBOR Natixis Paris UKX/SPX/HSI 18,407,000 GBP 3,920,691 0.28 11/03/2024 3m GBP LIBOR Natixis Paris UKX/SX5E 40,185,000 GBP 10,399,878 0.74 24/05/2024 3m GBP LIBOR Credit Suisse International UKX/SPX/SX5E 47,737,000 GBP 12,544,291 0.89 18/06/2024 3m GBP LIBOR Citigroup Global UKX/SX5E 51,095,000 GBP 12,129,953 0.86 19/07/2024 3m GBP LIBOR Citigroup Global UKX/SPX 53,265,000 GBP 12,203,012 0.87 19/07/2024 3m GBP LIBOR Natixis Paris UKX/SPX 42,956,000 GBP 8,191,709 0.58 31/07/2024 3m GBP LIBOR Citigroup Global UKX/SPX 49,990,000 GBP 11,947,610 0.85 31/07/2024 3m GBP LIBOR Natixis Paris UKX/RTY 19,615,000 GBP 3,428,702 0.24 06/03/2025 3m GBP LIBOR Citigroup Global UKX/SPX 33,070,000 GBP 6,885,207 0.49 02/05/2025 3m GBP LIBOR UBS AG UKX/SX5E 51,269,000 GBP 8,469,842 0.60 15/05/2025 3m GBP LIBOR Citigroup Global UKX/SPX 39,535,000 GBP 7,883,319 0.56 23/05/2025 3m GBP LIBOR UBS AG UKX/SPX 43,952,000 GBP 7,096,602 0.51 03/10/2025 3m GBP LIBOR Credit Suisse International UKX/SPX/SX5E 11,000,000 GBP 1,845,293 0.13 06/10/2025 3m GBP LIBOR Societe Generale UKX/SX5E 21,420,000 GBP 2,842,434 0.20 28/11/2025 3m GBP LIBOR Societe Generale UKX/SPX/RTY 43,310,000 GBP 4,292,021 0.31 03/12/2025 3m GBP LIBOR UBS AG UKX/SPX/SX5E 43,645,000 GBP 4,985,983 0.36 19/02/2026 3m GBP LIBOR Societe Generale UKX/SPX/SX5E 11,800,000 GBP 1,054,920 0.08 20/02/2026 3m GBP LIBOR Societe Generale UKX/SPX 11,000,000 GBP 893,200 0.06 03/03/2026 3m GBP LIBOR Credit Suisse International UKX 15,464,000 GBP 1,724,811 0.12 30/03/2027 3m GBP LIBOR Merrill Lynch International UKX/SPX/NKY 15,000,000 GBP 364,500 0.03 29/04/2027 3m GBP LIBOR Credit Agricole CIB UKX/SPX/SX5E 15,000,000 GBP (70,500) (0.01) 02/06/2027 3m GBP LIBOR Merrill Lynch International UKX/SPX/NKY 26,000,000 GBP 80,600 0.01 02/06/2027 3m GBP LIBOR Merrill Lynch International UKX/SX5E/NKY 26,000,000 GBP 124,800 0.01 17/06/2027 3m GBP LIBOR Credit Agricole CIB UKX/SPX/SX5E 30,000,000 GBP (165,000) (0.01) 23/06/2027 3m GBP LIBOR Merrill Lynch International UKX/SX5E 30,000,000 GBP (48,000) 0.00

23/06/2027 3m GBP LIBOR Citigroup Global SUKX35FD/SPXF3DT/SX5EFRD3 30,000,000 GBP (82,050) (0.01)

207,772,990 14.80

TOTAL AUTOCALLABLE SWAPS

207,772,990 14.80


24



INFLATION SWAPS

Fair % net Description Counterparties Receives Pays Notional Currency Value assets

UKT 1.88% November 2022 JP Morgan Securities Plc. 1.88

(3m GBP LIBOR+0.25%) 15,004,682 GBP 789,371 0.06

UKT 2.50% July 2024 JP Morgan Securities Plc. 2.50

(3m GBP LIBOR+0.34%) 19,990,891 GBP 728,308 0.05

UKT 0.13% March 2024 JP Morgan Securities Plc. 0.13

(3m GBP LIBOR+0.15%) 30,000,001 GBP (885,179) (0.06)


(3m GBP LIBOR+0.19%) 49,911,045 GBP 1,470,511 0.10


(3m GBP LIBOR+0.08%) 60,000,085 GBP (2,658,753) (0.19)


(3m GBP LIBOR+0.16%) 75,014,665 GBP (4,778,723) (0.34)


(3m GBP LIBOR+0.16%) 1,000,854 GBP (68,029) 0.00


(3m GBP LIBOR+0.03%) 40,004,204 GBP (122,882) (0.01)


(3m GBP LIBOR+0.04%) 39,999,886 GBP 1,806,472 0.13


(3m GBP LIBOR+0.05%) 40,000,429 GBP 1,730,373 0.12


(3m GBP LIBOR+0.05%) 40,009,886 GBP (84,465) (0.01)


(3m GBP LIBOR+0.03%) 19,993,600 GBP 157,293 0.01


(3m GBP LIBOR+0.08%) 25,043,660 GBP (264,025) (0.02)


(3m GBP LIBOR+0.12%) 30,018,739 GBP (512,003) (0.04)


(3m GBP LIBOR+0.12%) 40,026,688 GBP (344,833) (0.02)


(3m GBP LIBOR+0.09%) 30,042,278 GBP (224,291) (0.02)

UKT 1.25% November 2027 RBC IS Bank Luxembourg 1.25

(3m GBP LIBOR+0.05%) 15,000,000 GBP 75,984 0.01

UKT 1.25% November 2027 RBC IS Bank Luxembourg 1.25

(3m GBP LIBOR+0.09%) 30,000,000 GBP (37,744) 0.00

UKT 1.75% January 2049 Merrill Lynch International 1.75

(3m GBP LIBOR+0.03%) 20,000,000 GBP (733,040) (0.05)

UKT 0.13% March 2026 Citigroup Global 0.13 (3m GBP LIBOR+0%) 49,999,471 GBP (3,278,090) (0.23)

UKT 0.13% March 2024 Citigroup Global 0.13 (3m GBP LIBOR+0.01%) 39,999,999 GBP (1,082,306) (0.08)

UKT 2.50% July 2024 Citigroup Global 2.50 (3m GBP LIBOR+0.06%) 49,999,999 GBP 894,779 0.06

UKT 0.13% March 2026 Citigroup Global 0.13 (3m GBP LIBOR-0.01%) 39,999,999 GBP (589,975) (0.04)


25



INFLATION SWAPS (continued)

Fair % net

Description Counterparties Receives Pays Notional Currency Value assets

UKT 0.13% March 2026 Citigroup Global 0.13 (3m GBP LIBOR+0.03%) 39,999,999 GBP (565,576) (0.04)

UKT 0.13% March 2026 Citigroup Global 0.13 (3m GBP LIBOR+0%) 34,999,750 GBP (2,959,753) (0.21)

UKT 2.50% July 2024 Citigroup Global 2.50 (3m GBP LIBOR+0%) 39,999,695 GBP (92,357) (0.01)


UKT 0.13% March 2026 Citigroup Global 0.13 (3m GBP LIBOR+0.07%) 35,000,004 GBP (2,522,405) (0.18)


Citigroup Global Markets Funding Luxembourg SCA 1.10% 07/07/2020 Citigroup Global 1.10

(3m GBP LIBOR+0.84%) 20,000,000 GBP (8,361) 0.00

(13,465,165) (0.96)

TOTAL INFLATION SWAPS (13,465,165) (0.96)

TOTAL DERIVATIVE INSTRUMENTS 194,386,295 13.85

TOTAL INVESTMENTS 1,358,787,235 96.88

OTHER ASSETS 46,834,172 3.34

OTHER LIABILITIES (3,080,109) (0.22)

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PA RTICIPATING SHARES 1,402,541,298 100.00

% of Total Assets

Assets Investment in Transferable Securities 81.20

Investment in Financial Derivative Instruments

13.56

Cash at Bank 2.81

Other Assets and Liabilities 0.24

Total Assets 97.81


26

Significant Portfolio Movements 30th June 2021


Purchases Security Name Quantity Cost % of £ Total Purchases

United Kingdom Inflation-Linked Gilt 0.13% 10/08/2028 53,400,000 70,037,844 45.20

Canadian Imperial Bank of Commerce 7.00% 23/06/2027 EMTN 35,000,000 35,000,000 22.59

United Kingdom Inflation-Linked Gilt 1.25% 22/11/2027 15,100,000 29,927,235 19.31 Citigroup Global Markets Funding Luxembourg SCA 1.10% 03/01/2024 20,000,000 20,000,000 12.90

Sales Security Name Quantity Proceed % of £ Total Sales Royal Bank of Canada 0.98% 20/12/2024 EMTN 20,000,000 20,000,000 51.66

HSBC Bank Plc 0.00% 04/04/2023 8,260,000 11,002,320 28.42

HSBC Bank Plc 0.00% 15/05/2023 5,740,000 7,714,560 19.92 The tables above show a breakdown of material purchases and sales of the Portfolios in accordance with Central Bank UCITS Regulations 79(2) requirements. All purchases and sales of investments exceeding 1% of the total value of each purchases and sales respectively, a minimum of 20 of each such purchases and sales, are disclosed.


27


Atlantic House US Enhanced Equity Fund

Market Review A shot across the bow: The rolling recovery in the global economy continued apace through most of the second quarter despite news of new variants and the spread of the disease in Asia. Vaccines continue to show efficacy versus this fast-changing virus which allows the developed world to start recovering. The main shock to financial markets came from the Federal Reserve and its signalling of future policy. The recovery in consumer spending and manufacturing has super charged the post-lockdown recovery. US GDP has already surpassed its pre-pandemic peak. Fiscal support has been a key non-repeatable contributor to demand and its withdrawal in the coming year will be a headwind. US key economic data:

2019Q1 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2

CPI 1.86 1.65 1.71 2.29 1.54 0.65 1.37 1.36 2.62 4.99

PPI 1.39 0.49 -0.10 1.73 -1.51 -2.27 -1.17 -0.78 5.90 8.71

UE 3.80 3.60 3.50 3.60 4.40 11.10 7.80 6.70 6.00 5.90

Retail_Sales 3.43 3.26 3.65 5.49 -5.86 2.12 5.96 2.31 29.71 28.15

BudBal % GDP -4.13 -4.31 -4.57 -4.70 -4.81 -15.28 -14.79 -15.59 -19.05 -15.03


GDP 2.30 2.00 2.10 2.30 0.30 -9.00 -2.80 -2.40 0.40 0.40

Source: Bloomberg Q1 2019 to Q2 2021. The data above clearly shows the rapid recovery in US retail sales. This recovery, with a lag, has driven a rebound in industrial production and employment. US unemployment peaked at 14.8% at the end of April 2020 and has since fallen steadily. While the story in Europe and the UK is similar, i.e. a consumer led rebound, it is not nearly as impressive. The UK economy is still 6% below its pre-pandemic levels. The withdrawal of the furlough scheme later this year could be a stumbling block, which is why the July 19th easing of restrictions is so critical. A repeat of the stop start lockdown policies of 2020 will immeasurably setback the UK economy and will undoubtedly worsen the fiscal hole this crisis has created. Decoding Policy The Federal Reserve has led the way in its use of new policy tools, including forward guidance. Policymakers go to great lengths to explain incoming economic data and its likely impact on policy. Much of the Fed’s recent commentary has been on the thorny topic of inflation. The Fed has played down the risk of persistent inflation, sighting the transitory nature of year-on-year comparisons and supply bottlenecks. These comments however failed to ease a growing unease amongst bondholders that the Fed would keep rates low for longer than is necessary. The carrot and stick approach of forward communication clearly lacked a stick. At their June meeting the Fed revised US growth expectations higher and changed expectations of future interest rates through the dot plot presented on the next page.


28


Atlantic House US Enhanced Equity Fund (Continued)



Source: Bloomberg, June 2010 to June 2020. The chart above shows US 10-year yields in blue and 10-year inflation expectation in orange. We had always maintained that higher inflation was transitory. We expected real rates, the difference between the blue line and the orange line (currently -.82%) to rise through a combination of higher rates and lower inflation expectations. It appears, for now anyway, that falling inflation expectations will cause real rates to rise rather than rising bond yields. This fear was most clear in the gold price below, which has fallen sharply.


29






30



Source: Bloomberg, September 1991 to June 2021 The chart above shows the difference between US 30-year treasury yields and 2-year yields. The relationship between these key interest rates is a good measure of how tight monetary policy is relative to economic potential. The important point to note from both the yield curve and the dot plot earlier, is that the bond market and the Fed agree that US short term rates will peak below 3%. This is at a lower level than many would have expected even 5 years ago and highlights an ingrained scepticism towards the long-term growth of the economy. We agree with the case for slowing long term growth, making any value tilt a tactical rather than structural call. Having lived through a few economic cycles, we are aware that early cycle pauses are rarely good times to go defensive. We expect second quarter earnings, due to be announced in the coming weeks, to highlight the rapid improvement in the economy. Conclusion We continue to believe that corporate profits and economic growth will underpin further outperformance of risk assets. We accept that the economic recovery, particularly in the US, has come a long way. This removes the risk of lasting damage, allowing a lasting economic cycle to take hold. While monetary policy will become less accommodative, supporting bond prices, the key headwind to growth comes from the fiscal policy. Performance Review The Sub-Fund kept pace with the benchmark over the period, both returning close to 15%. The Sub-Fund suffered some underperformance in the first quarter as the strange phenomenon of rising markets also coincided with rising volatility expectations. This is not usually the case – rising markets ordinarily come with more sanguine views and hence expectations of less volatility in the future. Most of the Sub-Fund’s investments benefit from a rise in markets combined with a fall in volatility. The rise in volatility in the first quarter therefore diluted the Sub-Fund’s increase and was the main contributor to its underperformance versus the benchmark. Subsequently, and as market rose strongly in the second quarter, the Sub-Fund recouped almost of all of those relative losses.


31



Outlook The Sub-Fund remains well positioned to benefit from a US market that will grind higher from here or even consolidate or slightly fall from these current elevated levels rather than a market that continues on its current stratospheric path – in that event the Sub-Fund will rise but will underperform the market, but we are comfortable to be positioned in this way. Atlantic House Fund Management LLP Date: July 2021


32



AUEE AUEE 30 Jun 2021 31 Dec 2020 Note $ $


Investments in Transferable Securities 3 18,784,832 27,662,872 Investments in Financial Derivative Instruments 3 43,448,144 47,856,688

Cash at bank 4 288,767 299,395 Dividends and interest receivable 88,273 88,372 Receivable from Investment Manager 6 88,452 23,985 Other receivables 610,605 623,638

TOTAL ASSETS 63,309,073 76,554,950

LIABILITIES Financial Liabilities at Fair Value through Profit or Loss:

Investments in Financial Derivative Instruments 3 19,690,410 26,243,267 Investment management fees payable 6 75,727 23,251 Manager fee payable 6 3,482 5,201 Administration fees payable 6 18,217 7,498 Transfer agency fees payable 6 5,736 1,875 Directors fees payable 6 1,300 559 Depositary and depositary oversight fees payable 6 15,049 6,336 Audit fees payable 6 1,298 2,190 Redemptions payable 23,138 90,943 Interest payable 609,865 623,638 Other fees payable 12,587 11,100 TOTAL LIABILITIES (excluding net assets attributabl e to holders of redeemable participating shares) 20,456,809 27,015,858

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES 42,852,264 49,539,092 The accompanying notes and schedules form an integral part of these condensed financial statements.


33



AUEE AUEE

Financial


Period Ended 30 Jun 2021 30 Jun 2020 Note $ $

INCOME Bond interest income 136,428 307,466 Net realised and unrealised gain/(loss) on financial assets and liabilities at fair value through profit or loss 7 6,056,661 (2,260,989) Bank Interest - 4,241 Expense reimbursement from Investment Manager 6 93,382 58,841 Swap interest income 60,347 559,125 Other income 92 - TOTAL INVESTMENT INCOME/(LOSS) 6,346,910 (1,331,316) EXPENSES Investment management fees 6 98,784 171,174 Manager fees 6 14,909 34,074 Administration fees 6 15,721 12,824 Director fees 6 5,974 2,159 Depositary and depositary oversight fees 6 13,775 13,753 Audit fees 6 5,020 4,703 Transfer agency fees 6 3,213 3,425 Swap interest expenses 228,126 775,094 Bank interest expense 6,999 22,526 Other fees and expenses 6 25,005 19,047 Total Operating Expenses 417,526 1,058,779 Operating Profit/(Loss) 5,929,384 (2,390,095) Increase/(Decrease) in net assets attributable to holders of redeemable participating shares from operations 5,929,384 (2,390,095) The accompanying notes and schedules form an integral part of these condensed financial statements. All of the results for the financial period relate to continuing operations.


34




AUEE AUEE

Financial


Period Ended 30 Jun 2021 30 Jun 2020 $ $ Net Assets attributable to holders of Redeemable Participating Shares at the beginning of the financial period 49,539,092 70,645,703 Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 5,929,384 (2,390,095) Capital transactions Issue of redeemable shares during the financial period 868,032 5,522,535Redemption of redeemable shares during the financial period (13,484,244) (14,881,868) Net Assets attributable to Holders of Redeemable Participating Shares at the end of the financial period 42,852,264 58,896,275


35



AUEE AUEE 30 Jun 2021 30 Jun 2020 $ $ Cash flows from operating activities Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 5,929,384 (2,390,095) Adjustment to reconcile increase/(decrease) in net assets attributable to holders of redeemable participating shares from operations to net cash provided by operating activities Bond interest income (136,428) (307,466) Operating profit /(loss) before working capital changes 5,792,956 (2,697,561) Changes in operating assets and liabilities Net decrease in financial assets and liabilities at fair value 6,733,727 13,317,330 Increase in other receivables (51,434) (590,579) Increase/(Decrease) in payables 61,613 (539,939) Cash provided by operating activities 12,536,862 9,489,251

Interest received 136,527 800,631 Net cash provided by operating activities 12,673,389 10,289,882 Cash flows from financing activities Proceeds from issue of redeemable participating shares 868,032 5,522,535 Payment on redemptions of redeemable participating shares (13,552,049) (14,651,774) Net cash used in financing activities (12,684,017) (9,129,239)

Net (decrease)/increase in cash (10,628) 1,160,643 Net Cash at the start of the financial period 299,395 3,884,299 Net Cash at the end of the financial period 288,767 5,044,942 Analysis of Cash Cash at the start of the financial period 299,395 3,884,299 Overdraft at the start of the financial period - - Cash at the end of the financial period 288,767 5,044,942 Overdraft at the end of the financial period - - The accompanying notes and schedules form an integral part of these condensed financial statements.


36



(expressed in USD) Acquisition Fair % net Description Quantity Currency cost Value assets

1) INVESTMENTS



GREAT BRITAIN United Kingdom Gilt 2.25% 07/09/2023 1 GBP 2 1 0.00 United Kingdom Gilt 5.00% 07/03/2025 1 GBP 2 2 0.00

4 3 0.00

UNITED STATES (U.S.A.) United States Treasury Inflation Indexed Bonds 2.38% 15/01/2027 5,385,900 USD 8,000,043 8,736,894 20.39

8,000,043 8,736,894 20.39

TOTAL LISTED SECURITIES : BONDS

8,000,047 8,736,897 20.39

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICI AL STOCK EXCHANGE LISTING 8,000,047 8,736,897 20.39

B) OTHER TRANSFERABLE SECURITIES DEALT ON ANOTHER R EGULATED MARKET

1) OTHER ORGANISED MARKET : BONDS


8,997,611 10,047,935 23.45

TOTAL OTHER ORGANISED MARKET : BONDS 8,997,611 10,047,935 23.45

TOTAL OTHER TRANSFERABLE SECURITIES DEALT ON ANOTHE R REGULATED MARKET 8,997,611 10,047,935 23.45


37




1) LISTED SECURITIES : OPTIONS

(expressed in USD) Acquisition Fair % net Description Quantity Currency cost value assets

UNITED STATES (U.S.A.) Put S&P 500 Index 09/07/2021 2,902.00 2,247 USD 183,385 123 0.00 Put S&P 500 Index 09/07/2021 2,539.00 (2,247) USD (77,435) (46) 0.00 Call S&P 500 Index 10/10/2022 3,990.00 1,902 USD 400,199 998,341 2.33 Call S&P 500 Index 10/10/2022 4,352.00 (1,902) USD (196,656) (548,169) (1.28) Put S&P 500 Index 10/10/2022 3,990.00 (1,902) USD (1,197,155) (500,815) (1.17) Put S&P 500 Index 10/10/2022 3,264.00 1,902 USD 586,506 216,491 0.52 Call S&P 500 Index 21/08/2023 3,990.00 1,103 USD 307,999 678,669 1.58 Call S&P 500 Index 21/08/2023 4,715.00 (1,103) USD (102,004) (248,233) (0.58) Put S&P 500 Index 21/08/2023 3,808.00 (1,103) USD (684,000) (348,986) (0.81) Put S&P 500 Index 21/08/2023 3,264.00 1,103 USD 426,006 202,868 0.47 Call S&P 500 Index 10/06/2024 4,352.00 2,730 USD 589,048 1,320,299 3.08 Call S&P 500 Index 10/06/2024 5,078.00 (2,730) USD (222,763) (522,126) (1.22) Put S&P 500 Index 10/06/2024 2,902.00 (2,730) USD (861,298) (453,454) (1.06) Put S&P 500 Index 10/06/2024 2,176.00 2,730 USD 396,010 185,559 0.43 Call S&P 500 Index 17/06/2025 4,352.00 1,792 USD 500,497 1,066,789 2.49 Call S&P 500 Index 17/06/2025 5,078.00 (1,792) USD (217,747) (532,091) (1.24) Put S&P 500 Index 17/06/2025 2,902.00 (1,792) USD (666,253) (389,326) (0.91) Put S&P 500 Index 17/06/2025 2,176.00 1,792 USD 318,503 173,438 0.41 Put S&P 500 Index 21/08/2023 1,813.00 6,893 USD 562,531 176,325 0.41

45,373 1,475,656 3.45

TOTAL LISTED SECURITIES : OPTIONS 45,373 1,475,656 3.45

EQUITY LINKED SWAPS

Underlying Index Fair % net Rate Floating Counterparties Basket Notional Currency Value assets 3m USD LIBOR Natixis Paris SPX 3,316,000 USD 2,212,435 5.16 3m USD LIBOR Natixis Paris SPX 8,432,500 USD 4,672,448 10.90 3m USD LIBOR Natixis Paris SPX 7,800,000 USD (4,502,160) (10.51) 3m USD LIBOR Natixis Paris SPX 4,500,000 USD (6,002,100) (14.01) 3m USD LIBOR JP Morgan Securities Plc. SPX 7,812,129 USD 4,469,655 10.43 3m USD LIBOR JP Morgan Securities Plc. SPX 5,475,000 USD 2,417,152 5.64 3m USD LIBOR JP Morgan Securities Plc. SPX 3,800,000 USD 2,781,257 6.49 3m USD LIBOR JP Morgan Securities Plc. SPX 4,693,059 USD 6,103,287 14.24 3m USD LIBOR JP Morgan Securities Plc. SPX 5,051,492 USD 6,524,356 15.24 3m USD LIBOR JP Morgan Securities Plc. SPX 1,610,000 USD 2,014,111 4.70 3m USD LIBOR Citigroup Global SPX 10,500,000 USD 4,367,748 10.19 3m USD LIBOR Citigroup Global SPX 4,650,000 USD 1,867,673 4.36 3m USD LIBOR Citigroup Global SPX 3,000,000 USD (3,930,657) (9.17) 3m USD LIBOR Citigroup Global SPX 4,600,000 USD 999,120 2.33

23,994,325 55.99

TOTAL EQUITY LINKED SWAPS 23,994,325 55.99


38



INFLATION SWAPS

Fair % net Description Counterparties Receives Pays Notional Currency Value assets

UST 0.25% January 2025 Citigroup Global 0.25 (3m USD LIBOR+0.16%) 8,235,000 USD (976,584) (2.28)

UST 2.38% January 2027 Citigroup Global 2.38 (3m USD LIBOR+0.18%) 5,385,900 USD (735,663) (1.72)

(1,712,247) (4.00)

TOTAL INFLATION SWAPS (1,712,247) (4.00)


TOTAL INVESTMENTS 42,542,566 99.28

OTHER ASSETS 1,076,097 2.51

OTHER LIABILITIES (766,399) (1.79)

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PA RTICIPATING SHARES 42,852,264 100.00

% of Total Assets

Assets Investment in Transferable Securities

29.67

Investment in Financial Derivative Instruments 37.53

Cash at Bank 0.46


Total Assets 67.69


39



Purchases Security Name Quantity Cost % of $ Total Purchases

There were no purchases during the period.

Sales

Security Name Quantity Proceed % of $ Total Sales United Kingdom Inflation-Linked Gilt 0.13% 22/03/2026 3,970,000 7,371,667 78.69 JP Morgan Structured Products BV 0.00% 15/04/2022 EMTN 2,000,000 1,996,000 21.31

The tables above show a breakdown of material purchases and sales of the Portfolios in accordance with Central Bank UCITS Regulations 79(2) requirements. All purchases and sales of investments exceeding 1% of the total value of each purchases and sales respectively, a minimum of 20 of each such purchases and sales, are disclosed.


40


Atlantic House Total Return Fund Market Review A shot across the bow: The rolling recovery in the global economy continued apace through most of the second quarter despite news of new variants and the spread of the disease in Asia. Vaccines continue to show efficacy versus this fast-changing virus which allows the developed world to start recovering. The main shock to financial markets came from the Federal Reserve and its signalling of future policy. The recovery in consumer spending and manufacturing has super charged the post-lockdown recovery. US GDP has already surpassed its pre-pandemic peak. Fiscal support has been a key non-repeatable contributor to demand and its withdrawal in the coming year will be a headwind. US key economic data:

2019Q1 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2

CPI 1.86 1.65 1.71 2.29 1.54 0.65 1.37 1.36 2.62 4.99

PPI 1.39 0.49 -0.10 1.73 -1.51 -2.27 -1.17 -0.78 5.90 8.71

UE 3.80 3.60 3.50 3.60 4.40 11.10 7.80 6.70 6.00 5.90

Retail_Sales 3.43 3.26 3.65 5.49 -5.86 2.12 5.96 2.31 29.71 28.15

BudBal % GDP -4.13 -4.31 -4.57 -4.70 -4.81 -15.28 -14.79 -15.59 -19.05 -15.03


GDP 2.30 2.00 2.10 2.30 0.30 -9.00 -2.80 -2.40 0.40 0.40

Source: Bloomberg Q1 2019 to Q2 2021 The data above clearly shows the rapid recovery in US retail sales. This recovery, with a lag, has driven a rebound in industrial production and employment. US unemployment peaked at 14.8% at the end of April 2020 and has since fallen steadily. While the story in Europe and the UK is similar, i.e. a consumer led rebound, it is not nearly as impressive. The UK economy is still 6% below its pre-pandemic levels. The withdrawal of the furlough scheme later this year could be a stumbling block, which is why the July 19th easing of restrictions is so critical. A repeat of the stop start lockdown policies of 2020 will immeasurably setback the UK economy and will undoubtedly worsen the fiscal hole this crisis has created. Decoding Policy The Federal Reserve has led the way in its use of new policy tools, including forward guidance. Policymakers go to great lengths to explain incoming economic data and its likely impact on policy. Much of the Fed’s recent commentary has been on the thorny topic of inflation. The Fed has played down the risk of persistent inflation, sighting the transitory nature of year-on-year comparisons and supply bottlenecks. These comments however failed to ease a growing unease amongst bondholders that the Fed would keep rates low for longer than is necessary. The carrot and stick approach of forward communication clearly lacked a stick. At their June meeting the Fed revised US growth expectations higher and changed expectations of future interest rates through the dot plot presented on the next page.


41


Atlantic House Total Return Fund (Continued)



Source: Bloomberg, June 2010 to June 2020 The chart above shows US 10-year yields in blue and 10-year inflation expectation in orange. We had always maintained that higher inflation was transitory. We expected real rates, the difference between the blue line and the orange line (currently -.82%) to rise through a combination of higher rates and lower inflation expectations. It appears, for now anyway, that falling inflation expectations will cause real rates to rise rather than rising bond yields. This fear was most clear in the gold price below, which has fallen sharply.


42






43



Source: Bloomberg, September 1991 to June 2021 The chart above shows the difference between US 30-year treasury yields and 2-year yields. The relationship between these key interest rates is a good measure of how tight monetary policy is relative to economic potential. The important point to note from both the yield curve and the dot plot earlier, is that the bond market and the Fed agree that US short term rates will peak below 3%. This is at a lower level than many would have expected even 5 years ago and highlights an ingrained scepticism towards the long-term growth of the economy. We agree with the case for slowing long term growth, making any value tilt a tactical rather than structural call. Having lived through a few economic cycles, we are aware that early cycle pauses are rarely good times to go defensive. We expect second quarter earnings, due to be announced in the coming weeks, to highlight the rapid improvement in the economy. Conclusion We continue to believe that corporate profits and economic growth will underpin further outperformance of risk assets. We accept that the economic recovery, particularly in the US, has come a long way. This removes the risk of lasting damage, allowing a lasting economic cycle to take hold. While monetary policy will become less accommodative, supporting bond prices, the key headwind to growth comes from the fiscal policy. Performance Review The Sub-Fund rose 3.06% over the half-year period. This represents good performance given the Sub-Fund’s goal of earning an annual return over the long-term of cash +4%. The Sub-Fund can be split into four types of asset – equity linked derivative positions which generally benefit from positive markets over the short term; inflation linked assets such as linkers and gold which aim to provide an element of inflation protection; short-dated bonds which aim to produce a steady if unexciting return with little risk; and derivative positions that benefit from rises in short-term volatility across multiple asset classes. Given the strong equity markets over the period, the equity lined positions were responsible for most of the positive performance of the Sub-Fund over the period. Gold and inflation linked positions were a small detractor and, as usual, the short-dated bonds provided a small positive tailwind. Satisfyingly, the long-volatility derivative positions were close to neutral over the period which represents good performance given how much volatility fell over the period. The aim of this part of the portfolio is to make gains when volatility rises but not to bleed too much when it doesn’t, hence the satisfaction with the performance of this part of the portfolio over the period.


44



Outlook In the short-term the major debate in markets is whether or not the current high rates of inflation are transitory or not. The central banks, in particular the FED, are expecting these high inflation prints to be temporary and have indicated that they will not be raising rates any time soon. This has provided a tailwind for markets recently and as long as markets believe that rates will be kept low for a long time then the markets seem to be quite bullish. However, if inflation continues to surprise to the upside and rate expectations rise then markets could become more volatile and are not immune from sharp pullbacks. In this event we envisage that the inflation and long-volatility based investments in the Sub-Fund will offer a degree of protection to the Sub-Fund’s performance and will hopefully enable us to keep hitting our return targets. Atlantic House Fund Management LLP Date: July 2021


45


Atlantic House Total Return Fund

ATRF ATRF 30 Jun 2021 31 Dec 2020 Note £ £


Investments in Transferable Securities 3 30,262,536 15,733,674 Investment in Financial Derivative Instruments 3 911,852 606,951

Cash at bank 4 1,311,742 2,371,480 Cash held as collateral 4 380,000 470,000 Dividends and interest receivable 221,644 83,190 Amount receivable on subscriptions 63,171 55,594 Receivable from Investment Manager 6 56,671 89,475 Other receivable 239 -

TOTAL ASSETS 33,207,855 19,410,364 LIABILITIES Financial Liabilities at Fair Value through Profit or Loss:

Investment in Financial Derivative Instruments 3 342,362 139,624 Investment management fees payable 6 77,916 64,724 Manager fee payable 6 3,179 3,528 Administration fees payable 6 13,184 5,691 Transfer agency fees payable 6 7,788 1,423 Directors fees payable 6 823 243 Depositary and depositary oversight fees payable 6 12,455 2,796 Audit fees payable 6 1,102 1,180 Redemptions payable 23,527 13,483 Other fees payable 54,873 1,368 TOTAL LIABILITIES (excluding net assets attributabl e to holders of redeemable participating shares) 537,209 234,060



46



ATRF ATRF

Financial


Period Ended 30 Jun 2021 30 Jun 2020

Note £ £

INCOME Dividend income - 86,065 Bond interest income 266,780 101,376 Net realised and unrealised gain on financial assets and liabilities at fair value through profit or loss 7 216,605 418,579 Bank interest 385 305 Expense reimbursement from Investment Manager 6 42,233 33,615 Swap interest income 623,025 51,453 TOTAL INVESTMENT INCOME 1,149,028 691,393 EXPENSES Investment management fees 6 90,322 62,863 Manager fees 6 19,850 24,350 Administration fees 6 11,080 15,605 Director fees 6 4,301 583 Depositary and depositary oversight fees 6 12,889 5,324 Audit fees 6 2,604 2,312 Transfer agency fees 6 8,352 2,726 Swap interest expenses 101,663 74,238 Bank interest expenses 536 749 Other fees and expenses 6 17,643 9,925 Total Operating Expenses 269,240 198,675 Operating Profit 879,788 492,718 Withholding tax - 14,655 Increase in net assets attributable to holders of redeemable participating shares from operations 879,788 478,063 The accompanying notes and schedules form an integral part of these condensed financial statements. All of the results for the financial period relate to continuing operations.


47




ATRF ATRF

Financial


Period Ended 30 Jun 2021 30 Jun 2020 £ £ Net Assets attributable to holders of Redeemable Participating Shares at the beginning of the financial period 19,176,304 17,452,038 Increase in Net Assets attributable to Holders of Redeemable Participating Shares from operations 879,788 478,063 Capital transactions Issue of redeemable shares during the financial period 14,305,231 1,446,249 Redemption of redeemable shares during the financial period (1,690,677) (2,254,887)

Net Assets attributable to Holders of Redeemable Participating Shares at the end of the financial period 32,670,646 17,121,463


48



ATRF ATRF 30 Jun 2021 30 Jun 2020 £ £ Cash flows from operating activities Increase in Net Assets attributable to Holders of Redeemable Participating Shares from operations 879,788 478,063 Adjustment to reconcile increase in net assets attributable to holders of redeemable participating shares from operations to net cash (used in)/provided by operating activities Bond interest income (266,780) (101,376) Dividend income - (86,065) Tax expense - 14,655 Operating profit before working capital changes 613,008 305,277 Changes in operating assets and liabilities Net (increase)/decrease in financial assets and liabilities at fair value (14,631,025) 2,470,416 Decrease/(Increase) in other receivables 122,565 (496,619) Increase in payables 90,367 8,549 Cash (used in)/provided by operating activities (13,805,085) 2,287,623 Interest received 128,326 63,585 Dividend received - 78,083 Taxation paid - (14,655) Net cash (used in)/provided by operating activities (13,676,759) 2,414,636 Cash flows from financing activities Proceeds from issue of redeemable participating shares 14,297,654 1,446,249 Payment on redemptions of redeemable participating shares (1,680,633) (2,252,204)

Net cash provided by/(used in) financing activities 12,617,021 (805,955) Net (decrease)/increase in cash (1,059,738) 1,608,681 Net Cash at the start of the financial period 2,371,480 85,510 Net Cash at the end of the financial period 1,311,742 1,694,191 Analysis of Cash Cash at the start of the financial period 2,371,480 85,510 Overdraft at the start of the financial period - - Cash at the end of the financial period 1,311,742 1,694,191 Overdraft at the end of the financial period - - The accompanying notes and schedules form an integral part of these condensed financial statements.


49




1) INVESTMENTS



AUSTRALIA QBE Insurance Group Ltd 6.12% 24/05/2042 500,000 GBP 526,350 521,945 1.60

526,350 521,945 1.60

GREAT BRITAIN A2D Funding II Plc 4.50% 30/09/2026 400,000 GBP 471,080 457,052 1.40 Aviva Plc 6.13% / perpetual 210,000 GBP 227,829 223,631 0.68 BUPA Finance Plc 5.00% 25/04/2023 350,000 GBP 379,925 375,697 1.15 Just Group Plc 9.38% / perpetual 650,000 GBP 750,525 749,899 2.30 Legal & General Group Plc 5.38% 27/10/2045 EMTN 500,000 GBP 578,300 576,920 1.76 Natwest Group Plc 3.62% 14/08/2030 500,000 GBP 536,000 534,090 1.63

Pension Insurance Corp Plc 6.50% 03/07/2024 505,000 GBP 589,978 579,816 1.77 Prudential Plc 6.13% 19/12/2031 EMTN 350,000 GBP 482,825 484,162 1.48 Quilter Plc 4.48% 28/02/2028 750,000 GBP 785,100 781,253 2.39 Rothesay Life Plc 6.88% / perpetual 300,000 GBP 343,125 345,984 1.06 United Kingdom Gilt 0.13% 31/01/2023 1,500,000 GBP 1,502,385 1,501,620 4.59 United Kingdom Gilt 0.50% 22/07/2022 500,000 GBP 503,540 502,535 1.54 United Kingdom Gilt 1.75% 07/09/2022 1,200,000 GBP 1,233,000 1,224,420 3.75 United Kingdom Gilt 4.00% 07/03/2022 2,000,000 GBP 2,103,470 2,054,540 6.29 United Kingdom Inflation-Linked Gilt 0.13% 22/03/2026 3,016,520 GBP 4,000,418 4,065,390 12.44 United Kingdom Inflation-Linked Gilt 1.25% 22/11/2027 519,000 GBP 998,044 1,040,545 3.18 United Kingdom Inflation-Linked Gilt 1.88% 22/11/2022 631,000 GBP 996,974 997,070 3.05 United Kingdom Inflation-Linked Gilt 2.50% 17/07/2024 829,550 GBP 3,003,851 2,964,911 9.08

19,486,369 19,459,535 59.54

IRELAND Phoenix Group Holdings Plc 6.63% 18/12/2025 750,000 GBP 897,385 907,650 2.78

897,385 907,650 2.78

JERSEY Glencore Finance Europe Ltd 3.13% 26/03/2026 EMTN 250,000 GBP 267,675 267,328 0.82

267,675 267,328 0.82


50




A) TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL STOCK EXCHANGE LISTING (continued)

1) LISTED SECURITIES : BONDS (continued)

LUXEMBOURG Aroundtown SA 4.75% EMTN / perpetual 498,000 GBP 529,573 527,387 1.61

529,573 527,387 1.61

NETHERLANDS Cooperatieve Rabobank UA 5.25% 14/09/2027 EMTN 250,000 GBP 301,600 301,398 0.92

301,600 301,398 0.92

UNITED STATES (U.S.A.) Athene Global Funding 1.75% 24/11/2027 500,000 GBP 512,650 505,020 1.54 JPMorgan Chase & Co 0.99% 28/04/2026 500,000 GBP 500,000 500,560 1.53

1,012,650 1,005,580 3.07

TOTAL LISTED SECURITIES : BONDS 23,021,602 22,990,823 70.34

2) LISTED SECURITIES : MORTGAGE BACKED SECURITIES

GREAT BRITAIN Barley Hill No 1 Plc 1.18% 28/08/2059 3,000,000 GBP 1,381,711 1,381,352 4.23 Finsbury Square 2018-2 Plc 1.03% 09/12/2068 1,500,000 GBP 639,567 639,995 1.96 Gosforth Funding 2018-1 Plc 0.66% 25/08/2060 1,600,000 GBP 875,716 876,797 2.68

2,896,994 2,898,144 8.87

TOTAL LISTED SECURITIES : MORTGAGE BACKED SECURITIES 2,896,994 2,898,144 8.87

3) LISTED SECURITIES : EXCHANGE TRADED FUNDS

IRELAND Tabula US Enhanced Inflation UCITS ETF USD 23,790 USD 1,812,538 1,893,448 5.80

1,812,538 1,893,448 5.80

TOTAL LISTED SECURITIES : EXCHANGE TRADED FUNDS 1,812,538 1,893,448 5.80



51




B) OTHER TRANSFERABLE SECURITIES DEALT ON AN OTHER REGULATED MARKET


GREAT BRITAIN Jupiter Fund Management Plc 8.88% 27/07/2030 400,000 GBP 476,800 472,780 1.45

476,800 472,780 1.45

TOTAL OTHER ORGANISED MARKET : BONDS 476,800 472,780 1.45

2) OTHER ORGANISED MARKET : MORTGAGE BACKED SECURIT IES

GREAT BRITAIN Silverstone Master Issuer Plc 0.52% 21/01/2070 380,000 GBP 381,292 381,354 1.17

381,292 381,354 1.17

TOTAL OTHER ORGANISED MARKET : MORTGAGE BACKED SECURITIES 381,292 381,354 1.17

TOTAL OTHER TRANSFERABLE SECURITIES DEALT ON AN OTH ER REGULATED MARKET 858,092 854,134 2.62

C) OTHER TRANSFERABLE SECURITIES 1) OTHER TRANSFERABLE SECURITIES: BONDS

LUXEMBOURG Citigroup Global Markets Funding Luxembourg SCA 0.00% 31/12/2021 EMTN 1,050,000 EUR 929,981 903,261 2.76

929,981 903,261 2.76

UNITED STATES (U.S.A.) Nature Conservancy 0.63% 01/07/2024 1,000,000 USD 729,767 722,726 2.21

729,767 722,726 2.21

TOTAL OTHER TRANSFERABLE SECURITIES: BONDS 1,659,748 1,625,987 4.97



52



D) DERIVATIVE INSTRUMENTS


Unrealised % net Maturity Currency Bought Currency Sold Counterparty Appreciation assets 31/12/2021 GBP 492,580 EUR (550,000) RBC IS Bank Luxembourg 18,688 0.06

18,688 0.06



(expressed in GBP) Acquisition Fair % net Description Quantity Currency cost value assets

SWITZERLAND Put EURO STOXX 50 PR 17/09/2021 3500.00 (370) EUR - (6,907) (0.02) Call EURO STOXX 50 PR 17/09/2021 4500.00 2,590 EUR 5,550 5,431 0.02

5,550 (1,476) 0.00

UNITED STATES (U.S.A.)

Call Basket of Global Stocks 05/05/2023 27.50 4,000,000 USD 110,000 68,642 0.21

Call Basket of Global Stocks 29/06/2023 27.50 2,500,000 USD 70,000 50,476 0.15

180,000 119,118 0.36

TOTAL LISTED SECURITIES : OPTIONS 185,550 117,642 0.36

2) LISTED SECURITIES : SWAPTIONS

(expressed in GBP) Acquisition Fair % net Maturity Counterparty Strike price Quantity Currenc y cost value assets 10/03/2026 Citigroup Global 0.16 40,000,000 USD 91,592 91,353 0.28

91,592 91,353 0.28

TOTAL LISTED SECURITIES : SWAPTIONS 91,592 91,353 0.28


53



EQUITY LINKED SWAPS

Underlying Index Fair % net Rate Floating Counterparties Basket Notional Currency Value assets 3m GBP LIBOR Credit Agricole CIB UKX Index 1,000,000 GBP 83,900 0.26 3m GBP LIBOR Credit Agricole CIB SPX/NKY 1,000,000 GBP 75,500 0.23 3m GBP LIBOR Credit Agricole CIB SX5E/SMI 1,000,000 GBP 61,600 0.19 3m GBP LIBOR Credit Agricole CIB UKX FD/SPX FD 2,000,000 GBP 88,000 0.27 3m GBP LIBOR Credit Agricole CIB UKX/SX5E 1,500,000 GBP 27,900 0.09 3m GBP LIBOR Credit Agricole CIB SX5E/NKY 1,500,000 GBP (23,550) (0.07) 3m GBP LIBOR Merrill Lynch International UKX/SX5E/NKY 2,000,000 GBP - 0.00

12m GBP SONIA RBC IS Bank Luxembourg

Prudential Plc 6.13% 19/12/2031 EMTN 350,000 GBP (145,110) (0.44)

168,240 0.53

TOTAL EQUITY LINKED SWAPS 168,240 0.53

INFLATION SWAPS

Fair % net Description Counterparties Pays Receives Notional Currency Value assets


UKT 0.13% March 2026 Citigroup Global 0.13 (3m GBP LIBOR+0.07%) 1,000,640 GBP (43,714) (0.13)

UKT 0.13% March 2026 Citigroup Global 0.13 (3m GBP LIBOR+0.13%) 2,999,999 GBP (864) 0.00


(3m GBP LIBOR+0.14%) 2,004,227 GBP 9,319 0.03


(3m GBP LIBOR+0.04%) 1,000,808 GBP (42,246) (0.13)

(65,585) (0.19)

TOTAL INFLATION SWAPS (65,585) (0.19)

VOLATILITY SWAPS

Fair % net Description Counterparties Volatility Notional Currency Value assets Basket of Single Stocks vs Index JP Morgan Securities Plc. 23.39 100,000 USD 53,329 0.16 Basket of Single Stocks vs Index JP Morgan Securities Plc. 23.39 120,000 EUR (16,086) (0.05)

37,243 0.11

TOTAL VOLATILITY SWAPS 37,243 0.11


54



INDEX SWAPS

Fair % net Description Counterparties Pays Notional Currency Value assets BXIICNDU Index Barclays Bank Plc. 0.25 6,000,000 GBP (2,536) (0.01) BAEICAE2 Index BofA Securities Europe SA 0.25 7,500,433 EUR 13,041 0.04 BAEIWTUS Index BofA Securities Europe SA 0.25 10,013,948 USD 37,700 0.12 BAEISTUS Index BofA Securities Europe SA 0.25 3,515,668 USD 6,847 0.02 BAEIHWSP Index BofA Securities Europe SA 0.25 3,511,691 USD 147,354 0.45 NKY Index Citigroup Global 0.25 30,000 JPY (11,074) (0.03) CIIRVUT1 Index Citigroup Global 0.25 15,307 USD (50,275) (0.15) CICXRAVD Index Citigroup Global 0.25 4,014,000 USD 13,178 0.04 CSIN0905 Index JP Morgan Securities Plc. 0.25 1,299,820 USD 34,371 0.11 CSIN0905 Index JP Morgan Securities Plc. 0.25 1,205 USD 4,894 0.01

193,500 0.60

TOTAL INDEX SWAPS 193,500 0.60

CURRENCY SWAPS

Fair % net Description Counterparties Receives Pays Notional Currency Value assets USD 0.63% Fixed vs 3m GBP LIBOR

JP Morgan Securities Plc. 0.63

(3m GBP LIBOR+0.27%) 728,651 GBP 8,409 0.03

8,409 0.03

TOTAL CURRENCY SWAPS

8,409 0.03

TOTAL DERIVATIVE INSTRUMENTS 569,490 1.78





% of Total Assets



Cash at Bank 3.95


Total Assets 98.38


55




United Kingdom Gilt 0.13% 31/01/2023 1,500,000 1,502,385 7.44

Barley Hill No 1 Plc 1.18% 28/08/2059 3,000,000 1,381,711 6.84


Tabula US Enhanced Inflation UCITS ETF USD 13,790 1,062,401 5.26


Royal Bank of Canada 0.98% 20/12/2024 EMTN 1,000,000 1,001,640 4.96

United Kingdom Inflation-Linked Gilt 1.88% 22/11/2022 631,000 996,974 4.94

Finsbury Square 2018-2 Plc 1.03% 09/12/2068 1,500,000 905,538 4.48

Quilter Plc 4.48% 28/02/2028 750,000 785,100 3.89

Just Group Plc 9.38% / perpetual 650,000 750,525 3.72

Nature Conservancy 0.63% 01/07/2024 1,000,000 729,767 3.61

Legal & General Group Plc 5.38% 27/10/2045 EMTN 500,000 578,300 2.86

BP Capital Markets Plc 4.25% / perpetual 500,000 539,950 2.67

Natwest Group Plc 3.62% 14/08/2030 500,000 536,000 2.65

Aroundtown SA 4.75% EMTN / perpetual 498,000 529,573 2.62

SSE Plc 3.74% / perpetual 500,000 526,900 2.61

QBE Insurance Group Ltd 6.12% 24/05/2042 500,000 526,350 2.61

Athene Global Funding 1.75% 24/11/2027 500,000 512,650 2.54

United Kingdom Gilt 0.50% 22/07/2022 500,000 503,540 2.49

JPMorgan Chase & Co 0.99% 28/04/2026 500,000 500,000 2.48

Prudential Plc 6.13% 19/12/2031 EMTN 350,000 482,825 2.39

Jupiter Fund Management Plc 8.88% 27/07/2030 400,000 476,800 2.36

Gosforth Funding 2018-1 Plc 0.66% 25/08/2060 800,000 468,202 2.32 Citigroup Global Markets Funding Luxembourg SCA 0.00% 31/12/2021 EMTN 500,000 439,245 2.17

Royal Mint Physical Gold ETC Securities / perpetual 30,250 400,178 1.98

Rothesay Life Plc 6.88% / perpetual 300,000 343,125 1.70

Cooperatieve Rabobank UA 5.25% 14/09/2027 EMTN 250,000 301,600 1.49

Phoenix Group Holdings Plc 6.63% 18/12/2025 250,000 300,385 1.49

Pension Insurance Corp Plc 6.50% 03/07/2024 250,000 289,625 1.44

Legal & General Group Plc 5.63% / perpetual 250,000 283,100 1.40

Glencore Finance Europe Ltd 3.13% 26/03/2026 EMTN 250,000 267,675 1.33


56

Significant Portfolio Movements (Continued) 30th June 2021


Sales

Security Name Quantity Proceed % of £ Total Sales

Royal Bank of Canada 0.98% 20/12/2024 EMTN 2,000,000 2,001,640 37.92

Royal Mint Physical Gold ETC Securities / perpetual 83,100 1,057,712 20.04

Legal & General Group Plc 5.63% / perpetual 490,000 547,998 10.38



Tesco Plc 5.00% 24/03/2023 EMTN 300,000 342,721 6.49

Aviva Plc 6.13% / perpetual 240,000 265,846 5.04



57


Calamos Global Convertible Fund Market Review During the semi-annual reporting period, the global equity and convertible markets were supported by positive economic data, continuing progress in COVID-19 vaccinations, and improving corporate fundamentals. Volatility and rotation were par for the course, however, as capital markets were buffeted by crosscurrents related to monetary policy, fiscal policy uncertainties, the pace of economic growth, rising interest rates, and inflation. Against this backdrop, the Refinitiv Global Convertible Bond Index returned 4.54%, outperforming the global high yield bond market, as represented by the Bloomberg Barclays Global High Yield Index, which returned 3.62%. Convertible securities outperformed bonds as they have historically done during periods of rising interest rates. The yield of the U.S. 10-year U.S. Treasury bond rose from 0.93% on December 31, 2020, to end the reporting period at 1.45% on June 30, 2021. Convertibles also benefited from narrowing high yield credit spreads, which tightened by 64 basis points to end the reporting period at 345 basis points over government securities, according to Bloomberg Barclays. Strong equity prices, elevated volatility, and low but potentially rising interest rates provided favorable conditions for new convertible issuance. During the first half of 2021, companies around the world issued $98.9 billion (USD) of convertible securities. This amount represented an all-time high for new issuance over the first half of any calendar year on record, according to ICE BofA Global Research. From a regional standpoint, U.S. companies led year-to-date new issuance totals with $55.9 billion; Asia ex-Japan companies issued $22.2 billion; Europe saw $18.9 billion in volume, and $1.9 billion came to market in Japan. Performance Review During the reporting period, the Calamos Global Convertible Fund gained 2.29% (U.S. Accumulating A shares) and exceeded the Morningstar EAA Fund Convertible Bond – Global peer group return of 1.61%. The Sub-Fund’s long-term focus on mitigating downside risk exposure moderated the pace of gains relative to the Refinitiv Global Convertible Bond Index’s 4.54% return. The Sub-Fund was relatively underweight to convertibles displaying the highest levels of equity sensitivity (those with deltas greater than 0.8), which outperformed during the period. From an economic sector attribution perspective, the Sub-Fund benefited from favorable security selection in the communication services sector. Here, holdings in the interactive media and services industry made notable contributions to overall returns. An underweight to the lagging utilities industry also proved beneficial. The Sub-Fund’s overweight stance and security selection in the information technology sector detracted, with holdings in the application software industry curbing relative returns. Additionally, within the materials sector, an underweight allocation to the steel industry and security selection in the specialty chemicals industry lagged. From a geographic perspective, the Sub-Fund’s performance was curbed by its selections within the United States and Emerging Latin America. In contrast, an underweight stance and security selection in Europe supported the Sub-Fund’s result, as did strong selection in Japan.


58


Calamos Global Convertible Fund (Continued) Outlook We believe convertible securities are an especially compelling choice for navigating the crosscurrents in the markets—both in the near and long term. Equity characteristics make convertibles less vulnerable to rising interest rates than traditional bonds, while fixed income characteristics can mitigate the impact of choppy equity markets. In 2020, the convertible market was energized by $158.6 billion (USD) in new issuance from companies around the world, and as we noted, issuance through the first half of 2021 remained solid at $98.9 billion (USD) as companies continued to seek access to capital in a recovering economy. This robust issuance provides a catalyst for long-term opportunities in the convertible market. We’re encouraged to see new issuers, a good mix of secular and cyclical names, and companies with attractive forward growth expectations. We believe our attention to both risk and reward will be crucial in coming months. Economic reopening and corporate fundamentals provide ample reasons for investor optimism. The rise in inflation that we’ve seen so far this year has been sudden but neither out of control nor surprising given the broader landscape. However, in this phase of the economic cycle, we are prepared for continued volatility and leadership rotations. Many of the concerns that have shaped the market during the first half of the year, such as inflation, interest rate hikes, and the impact of COVID-19 variants, will remain at the forefront of investors’ minds. Fiscal policy will also contribute to volatility, as markets contemplate potential changes to the tax and regulatory environment. Given the crosscurrents of opportunity and volatility we expect, we believe our risk-aware, fundamentally driven approach will serve the Sub-Fund in good stead and that the environment we are in will play to our strengths in individual security selection. We thank you for your trust. Calamos Advisors LLC Date: July 2021


59


Calamos Global Convertible Fund

CGCF CGCF* 30 Jun 2021 30 Dec 2020 Note $ $

ASSETS

Financial Assets at Fair Value through Profit or Loss: Investments in Transferable Securities 3 655,051,802 554,503,314 Investment in Financial Derivative Instruments 3 1,781,755 62,290

Cash at bank 4 17,734 5,739,449 Cash held as collateral 4 5,620,000 - Dividends and interest receivable 1,018,199 1,008,994 Amount receivable on subscriptions 3,098,276 68,154,978 Other receivables 6 1,264,419 1,175,677


Investment in Financial Derivative Instruments 3 857,991 165,210 Bank Overdraft 4 17,974 411,082 Amount payable on purchase of securities 5,249,874 3,183,257 Investment management fees payable 6 689,311 522,751 Manager fee payable 6 27,933 26,860 Administration fees payable 6 65,056 13,875 Transfer agency fees payable 6 23,840 3,519 Directors fees payable 6 990 1,035 Depositary and depositary oversight fees payable 6 48,017 497 Audit fees payable 6 - 1,068 Redemptions payable 504,526 62,592,234 Other fees payable 162,902 765,315 TOTAL LIABILITIES (excluding net assets attributabl e to holders of redeemable participating shares) 7,648,414 67,686,703

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES 660,203,771 562,957,999 *Launched on 30th November 2020. The accompanying notes and schedules form an integral part of these condensed financial statements.


60



CGCF*

Financial

Period Ended 30 Jun 2021

Note $

INCOME Dividend income 1,327,810 Bond interest income 1,682,834 Net realised and unrealised gain on financial assets and liabilities at fair value through profit or loss 7

10,795,628

Bank interest 1,033 Other income 6,707 TOTAL INVESTMENT INCOME 13,814,012 EXPENSES Investment management fees 6 3,583,898 Manager fees 6 185,868 Administration fees 6 51,178 Director fees 6 5,170 Depositary and depositary oversight fees 6 47,922 Audit fees 6 5,977 Transfer agency fees 6 20,321 Bank interest expenses 45,228 Formation expenses 59,036 Other fees and expenses 6 450,482 Total Operating Expenses 4,455,080 Operating Profit 9,358,932 Withholding tax 396,875 Increase in net assets attributable to holders of redeemable participating shares from operations 8,962,057 *Launched on 30th November 2020 therefore no prior period comparative information. The accompanying notes and schedules form an integral part of these condensed financial statements. All of the results for the financial period relate to continuing operations.


61



*Launched on 30th November 2020 therefore no prior period comparative information. The accompanying notes and schedules form an integral part of these condensed financial statements.

CGCF*

Financial

Period Ended 30 Jun 2021 $ Net Assets attributable to holders of Redeemable Participating Shares at the beginning of the financial period 562,957,999 Increase in Net Assets attributable to Holders of Redeemable Participating Shares from operations 8,962,057 Capital transactions Issue of redeemable shares during the financial period 283,069,589 Redemption of redeemable shares during the financial period (194,785,874)

Net Assets attributable to Holders of Redeemable Participating Shares at the end of the financial period

660,203,771


62



CGCF* 30 Jun 2021 $ Cash flows from operating activities Increase in Net Assets attributable to Holders of Redeemable Participating Shares from operations

8,962,057

Adjustment to reconcile increase in net assets attributable to holders of redeemable participating shares from operations to net cash used in operating activities Bond interest income (1,682,834) Dividend income (1,327,810) Tax expense 396,875 Operating profit before working capital changes 6,348,288 Changes in operating assets and liabilities Net increase in financial assets and liabilities at fair value (101,575,172) Increase in other receivables (5,708,742) Increase in payables 1,749,746 Cash used in operating activities (99,185,880) Interest received 1,678,944 Dividend received 1,322,495 Taxation paid (396,875) Net cash used in operating activities (96,581,316) Cash flows from financing activities Proceeds from issue of redeemable participating shares 348,126,291 Payment on redemptions of redeemable participating shares (256,873,582)

Net cash provided by financing activities 91,252,709 Net decrease in cash (5,328,607) Net Cash at the start of the financial period 5,328,367 Net Cash at the end of the financial period (240) Analysis of Cash Cash at the start of the financial period 5,739,449 Overdraft at the start of the financial period (411,082) Cash at the end of the financial period 17,734 Overdraft at the end of the financial period (17,974) *Launched on 30th November 2020 therefore no prior period comparative information. The accompanying notes and schedules form an integral part of these condensed financial statements.


63




1) INVESTMENTS


1) LISTED SECURITIES : EQUITIES

UNITED STATES (U.S.A.) AES Corp 6.88% 15/02/2024 30,078 USD 3,007,800 3,235,490 0.49 American Electric Power Co Inc 6.13% 15/03/2022 / Preference 29,429 USD 1,580,682 1,537,768 0.23 Avantor Inc 6.25% 15/05/2022 / Preference 31,500 USD 2,922,974 3,451,139 0.52 Bank of America Corp 7.25% / Preference 6,280 USD 9,364,959 8,892,479 1.35 Broadcom Inc 8.00% 30/09/2022 / Preference 4,986 USD 6,828,745 7,578,073 1.15 Danaher Corp 4.75% 15/04/2022 / Preference 1,730 USD 2,603,365 3,111,595 0.47 DTE Energy Co 6.25% 01/11/2022 / Preference 32,278 USD 1,580,369 1,595,502 0.24 Essential Utilities Inc 6.00% 30/04/2022 / Preference 66,576 USD 3,987,720 3,806,816 0.58 KKR & Co Inc 6.00% 15/09/2023 / Preference 42,906 USD 2,460,515 3,306,337 0.50 NextEra Energy Inc 6.22% 01/09/2023 / Preference 72,035 USD 3,584,764 3,558,530 0.54 Sempra Energy 6.75% 15/07/2021 / Preference 29,790 USD 3,105,634 2,942,359 0.45 Wells Fargo & Co 7.50% / Preference 6,246 USD 9,013,022 9,532,707 1.44

50,040,549 52,548,795 7.96

TOTAL LISTED SECURITIES : EQUITIES 50,040,549 52,548,795 7.96


AUSTRALIA Afterpay Ltd 0.00% 12/03/2026 8,900,000 AUD 6,649,390 6,166,688 0.93

6,649,390 6,166,688 0.93

CANADA Shopify Inc 0.13% 01/11/2025 2,315,000 USD 2,676,892 3,012,834 0.46

2,676,892 3,012,834 0.46

CAYMAN ISLANDS Meituan 0.00% 27/04/2028 6,500,000 USD 6,559,625 7,066,800 1.07

6,559,625 7,066,800 1.07


64






DENMARK GN Store Nord AS 0.00% 21/05/2024 1,000,000 EUR 1,438,517 1,507,301 0.23

1,438,517 1,507,301 0.23

FRANCE Carrefour SA 0.00% 27/03/2024 8,200,000 USD 10,394,926 11,032,585 1.67 SEB SA 0.00% 17/11/2021 9,508 EUR 2,085,136 2,067,402 0.31 SOITEC 0.00% 01/10/2025 22,435 EUR 5,143,343 5,965,327 0.90 TotalEnergies SE 0.50% 02/12/2022 EMTN 2,600,000 USD 4,483,024 4,475,328 0.68 Vinci SA 0.38% 16/02/2022 3,800,000 USD 4,513,988 4,299,662 0.65

26,620,417 27,840,304 4.21

GERMANY BASF SE 0.93% 09/03/2023 EMTN 6,750,000 USD 7,734,689 7,774,955 1.18 Delivery Hero SE 0.88% 15/07/2025 3,400,000 EUR 4,223,180 4,264,049 0.65 Duerr AG 0.75% 15/01/2026 2,000,000 EUR 2,729,863 2,743,114 0.42 HelloFresh SE 0.75% 13/05/2025 900,000 EUR 2,016,451 2,697,458 0.41 LEG Immobilien SE 0.40% 30/06/2028 3,200,000 EUR 4,045,975 3,962,379 0.60 Symrise AG 0.24% 20/06/2024 2,100,000 EUR 3,189,172 3,250,345 0.49 Zalando SE 0.05% 06/08/2025 3,400,000 EUR 4,873,533 5,345,029 0.81

28,812,863 30,037,329 4.56

GREAT BRITAIN Ocado Group Plc 0.75% 18/01/2027 1,000,000 GBP 3,214,047 3,115,508 0.47

3,214,047 3,115,508 0.47

HONG KONG Xiaomi Best Time International Ltd 0.00% 17/12/2027 2,700,000 USD 3,007,245 2,922,345 0.44

3,007,245 2,922,345 0.44

INDIA Bharti Airtel Ltd 1.50% 17/02/2025 2,480,000 USD 2,840,428 2,870,749 0.43

2,840,428 2,870,749 0.43


65






ISRAEL CyberArk Software Ltd 0.00% 15/11/2024 3,523,000 USD 3,653,798 3,904,181 0.59 Fiverr International Ltd 0.00% 01/11/2025 1,163,000 USD 1,425,656 1,556,594 0.24

5,079,454 5,460,775 0.83

ITALY Nexi SpA 0.00% 24/02/2028 6,600,000 EUR 7,887,868 7,996,007 1.21 Nexi SpA 1.75% 24/04/2027 2,600,000 EUR 3,857,694 3,807,258 0.58

11,745,562 11,803,265 1.79

JAPAN Mercari Inc 0.00% 14/07/2028 370,000,000 JPY 3,437,412 3,435,495 0.52 Mitsubishi Chemical Holdings Corp 0.00% 29/03/2024 340,000,000 JPY 3,259,221 3,230,575 0.49 Nippn Corp 0.00% 20/06/2025 190,000,000 JPY 1,876,383 1,721,588 0.26 Rohm Co Ltd 0.00% 05/12/2024 120,000,000 JPY 1,227,854 1,173,460 0.18 SBI Holdings Inc 0.00% 13/09/2023 330,000,000 JPY 3,293,949 3,066,437 0.46 SCREEN Holdings Co Ltd 0.00% 11/06/2025 290,000,000 JPY 2,986,950 3,076,960 0.47 Teijin Ltd 0.00% 10/12/2021 150,000,000 JPY 1,556,924 1,359,890 0.21

17,638,693 17,064,405 2.59

LUXEMBOURG Corestate Capital Holding SA 1.38% 28/11/2022 4,100,000 EUR 4,906,968 5,012,935 0.76 Global Fashion Group SA 1.25% 15/03/2028 3,700,000 EUR 4,429,085 4,452,996 0.67 Grand City Properties SA 0.25% 02/03/2022 2,600,000 EUR 5,331,736 5,397,348 0.82 Oliver Capital Sarl 0.00% 29/12/2023 4,000,000 EUR 4,919,720 5,093,887 0.77

19,587,509 19,957,166 3.02


66






NETHERLANDS America Movil BV 0.00% 02/03/2024 2,600,000 EUR 3,282,354 3,174,791 0.48 Dufry One BV 0.75% 30/03/2026 2,800,000 CHF 3,041,633 3,004,541 0.46 Just Eat Takeaway.com NV 1.25% 30/04/2026 500,000 EUR 658,215 606,600 0.09 Shop Apotheke Europe NV 0.00% 21/01/2028 2,200,000 EUR 3,178,588 2,740,570 0.42

10,160,790 9,526,502 1.45

NEW ZEALAND Xero Investments Ltd 0.00% 02/12/2025 3,902,000 USD 3,991,444 3,884,910 0.59

3,991,444 3,884,910 0.59

SOUTH KOREA Kakao Corp 0.00% 28/04/2023 2,400,000 USD 2,612,622 4,120,560 0.62

2,612,622 4,120,560 0.62

SPAIN Cellnex Telecom SA 1.50% 16/01/2026 EMTN 1,300,000 EUR 2,679,450 2,847,568 0.43

2,679,450 2,847,568 0.43

UNITED STATES (U.S.A.) Alteryx Inc 0.50% 01/08/2024 1,617,000 USD 1,683,669 1,556,476 0.24 Alteryx Inc 1.00% 01/08/2026 3,370,000 USD 3,272,013 3,187,718 0.48 Expedia Group Inc 0.00% 15/02/2026 2,248,000 USD 2,279,450 2,435,618 0.37 JPMorgan Chase Bank NA 0.00% 07/08/2022 2,900,000 USD 3,954,126 3,865,555 0.59 Marriott Vacations Worldwide Corp 0.00% 15/01/2026 2,967,000 USD 3,003,739 3,279,008 0.50 Microchip Technology Inc 1.63% 15/02/2027 2,398,000 USD 4,701,232 5,336,821 0.81 Palo Alto Networks Inc 0.75% 01/07/2023 1,430,000 USD 1,833,307 2,133,803 0.32 Peloton Interactive Inc 0.00% 15/02/2026 3,849,000 USD 3,772,313 3,740,304 0.57 Snap Inc 0.00% 01/05/2027 10,100,000 USD 10,151,584 10,805,080 1.64


67






UNITED STATES (U.S.A.) (continued) Snap Inc 0.75% 01/08/2026 2,521,000 USD 5,602,254 7,615,362 1.15 Southwest Airlines Co 1.25% 01/05/2025 2,645,000 USD 3,925,516 4,009,133 0.61 Tesla Inc 2.00% 15/05/2024 256,000 USD 2,401,482 2,794,880 0.42 Twitter Inc 0.00% 15/03/2026 6,071,000 USD 6,065,750 5,808,854 0.88 Twitter Inc 0.25% 15/06/2024 5,146,000 USD 5,896,352 7,086,248 1.07 Uber Technologies Inc 0.00% 15/12/2025 5,770,000 USD 5,950,919 5,866,301 0.89 United States Treasury Note/Bond 1.75% 15/07/2022 3,728,000 USD 3,825,155 3,792,075 0.57 Zynga Inc 0.25% 01/06/2024 3,329,000 USD 4,223,384 4,697,442 0.71

72,542,245 78,010,678 11.82

VIETNAM Vingroup JSC 3.00% 20/04/2026 3,200,000 USD 3,369,937 3,578,336 0.54

3,369,937 3,578,336 0.54

VIRGIN ISLANDS (UK) ANLLIAN Capital Ltd 0.00% 05/02/2025 1,600,000 EUR 2,195,401 3,207,919 0.49

2,195,401 3,207,919 0.49


3) LISTED SECURITIES : INVESTMENT FUNDS

IRELAND Goldman Sachs Plc - US$ Liquid Reserves Fund 8,843,760 USD 8,843,761 8,843,760 1.34

8,843,761 8,843,760 1.34

TOTAL LISTED SECURITIES : INVESTMENT FUNDS 8,843,761 8,843,760 1.34



68






BERMUDA ISLANDS Jazz Investments I Ltd 2.00% 15/06/2026 2,888,000 USD 3,489,159 3,848,491 0.58 NCL Corp Ltd 5.38% 01/08/2025 3,324,000 USD 5,279,043 6,061,580 0.92

8,768,202 9,910,071 1.50

CAYMAN ISLANDS 21Vianet Group Inc 0.00% 01/02/2026 2,982,000 USD 3,062,400 2,620,641 0.40 Baozun Inc 1.63% 01/05/2024 1,489,000 USD 1,507,282 1,511,560 0.23 China Yuhua Education Corp Ltd 0.90% 27/12/2024 13,000,000 HKD 1,934,912 1,970,574 0.30 ESR Cayman Ltd 1.50% 30/09/2025 4,512,000 USD 4,783,987 4,890,422 0.74 iQIYI Inc 2.00% 01/04/2025 3,660,000 USD 3,391,708 3,442,523 0.52 Momo Inc 1.25% 01/07/2025 1,408,000 USD 1,184,030 1,261,160 0.19 Pinduoduo Inc 0.00% 01/12/2025 5,089,000 USD 5,523,901 5,244,216 0.79

21,388,220 20,941,096 3.17

GREAT BRITAIN

GSK Finance No 3 Plc 0.00% 22/06/2023 4,816,000 USD 4,981,639 4,905,192 0.74

4,981,639 4,905,192 0.74

INDIA Bharti Airtel Ltd 1.50% 17/02/2025 1,185,000 USD 1,340,176 1,371,709 0.21

1,340,176 1,371,709 0.21

ISRAEL Nice Ltd 0.00% 15/09/2025 2,230,000 USD 2,335,407 2,384,071 0.36 Wix.com Ltd 0.00% 15/08/2025 4,284,000 USD 4,325,354 4,495,244 0.68

6,660,761 6,879,315 1.04

JAPAN CyberAgent Inc 0.00% 19/02/2025 100,000,000 JPY 1,251,424 1,431,569 0.22 Menicon Co Ltd 0.00% 29/01/2025 550,000,000 JPY 5,752,160 5,852,197 0.89 Relo Group Inc 0.00% 17/12/2027 310,000,000 JPY 3,046,343 2,917,844 0.44 Ship Healthcare Holdings Inc 0.00% 13/12/2023 320,000,000 JPY 3,495,616 3,204,726 0.48

13,545,543 13,406,336 2.03


69




B) OTHER TRANSFERABLE SECURITIES DEALT ON ANOTHER R EGULATED MARKET (continued)

1) OTHER ORGANISED MARKET : BONDS (continued)

JERSEY Cornwall Jersey Ltd 0.75% 16/04/2026 2,600,000 GBP 3,568,739 3,495,553 0.53 Novocure Ltd 0.00% 01/11/2025 2,080,000 USD 2,316,083 3,135,767 0.47

5,884,822 6,631,320 1.00

TAIWAN Globalwafers Co Ltd 0.00% 01/06/2026 3,000,000 USD 3,214,500 3,247,770 0.49

3,214,500 3,247,770 0.49

UNITED STATES (U.S.A.) Airbnb Inc 0.00% 15/03/2026 4,649,000 USD 4,728,605 4,381,590 0.66 Akamai Technologies Inc 0.13% 01/05/2025 3,087,000 USD 3,817,605 4,044,896 0.61

Bridgebio Pharma Inc 2.25% 01/02/2029 2,987,000 USD 3,013,153 2,905,575 0.44

Coinbase Global Inc 0.50% 01/06/2026 3,153,000 USD 3,121,425 3,195,219 0.48

Dexcom Inc 0.25% 15/11/2025

4,109,000 USD 4,076,714 4,313,383 0.65

DraftKings Inc 0.00% 15/03/2028

7,847,000 USD 7,877,192 7,074,620 1.07

Dropbox Inc 0.00% 01/03/2028

4,690,000 USD 4,708,658 5,152,997 0.78

Etsy Inc 0.13% 01/09/2027

2,144,000 USD 2,626,068 2,827,307 0.43

Fastly Inc 0.00% 15/03/2026

8,027,000 USD 8,038,514 7,499,706 1.14

Five9 Inc 0.50% 01/06/2025

2,447,000 USD 3,279,477 3,629,684 0.55

Haemonetics Corp 0.00% 01/03/2026 3,065,000 USD 3,056,368 2,584,469 0.39 Halozyme Therapeutics Inc 0.25% 01/03/2027 3,085,000 USD 3,098,738 2,894,901 0.44 Liberty Broadband Corp 2.75% 30/09/2050 2,108,000 USD 2,392,890 2,358,893 0.36 Liberty Media Corp 1.38% 15/10/2023 1,822,000 USD 2,301,533 2,416,502 0.37 Liberty Media Corp 2.13% 31/03/2048 1,537,000 USD 1,623,568 1,611,268 0.24 LivePerson Inc 0.00% 15/12/2026 2,667,000 USD 2,730,813 2,857,048 0.43 Lumentum Holdings Inc 0.50% 15/12/2026 4,146,000 USD 4,768,825 4,494,389 0.68 MicroStrategy Inc 0.00% 15/02/2027 6,258,000 USD 6,301,700 4,677,980 0.71 Middleby Corp 1.00% 01/09/2025 2,171,000 USD 2,764,739 3,138,701 0.48 NeoGenomics Inc 0.25% 15/01/2028 2,812,000 USD 2,962,725 2,763,212 0.42 New Relic Inc 0.50% 01/05/2023 3,224,000 USD 3,144,745 3,204,171 0.49 Oak Street Health Inc 0.00% 15/03/2026 6,358,000 USD 6,334,843 6,504,106 0.98 Okta Inc 0.13% 01/09/2025 3,223,000 USD 4,588,239 4,652,046 0.70 Omnicell Inc 0.25% 15/09/2025 2,130,000 USD 2,742,063 3,446,361 0.52


70






UNITED STATES (U.S.A.) (continued) ON Semiconductor Corp 0.00% 01/05/2027 6,309,000 USD 6,315,139 6,592,779 1.00 Pacira BioSciences Inc 0.75% 01/08/2025 1,949,000 USD 2,245,575 2,150,661 0.33 Redfin Corp 0.00% 15/10/2025 4,305,000 USD 4,891,816 5,395,524 0.82 Repay Holdings Corp 0.00% 01/02/2026 4,395,000 USD 4,577,567 4,366,256 0.66 RingCentral Inc 0.00% 15/03/2026 5,937,000 USD 6,429,403 6,244,368 0.95 Shake Shack Inc 0.00% 01/03/2028 3,035,000 USD 3,080,979 2,891,808 0.44 Splunk Inc 1.13% 15/09/2025 3,286,000 USD 4,868,673 4,022,294 0.61 Square Inc 0.25% 01/11/2027 4,951,000 USD 5,391,012 5,779,006 0.87 Stride Inc 1.13% 01/09/2027 2,265,000 USD 1,902,265 2,116,506 0.32 Tabula Rasa HealthCare Inc 1.75% 15/02/2026 1,600,000 USD 1,395,863 1,625,297 0.25 Tyler Technologies Inc 0.25% 15/03/2026 3,008,000 USD 3,165,530 3,311,808 0.50 Vroom Inc 0.75% 01/07/2026 4,880,000 USD 4,915,941 5,027,620 0.76 Wayfair Inc 0.63% 01/10/2025 4,290,000 USD 4,249,144 4,579,232 0.69 Workday Inc 0.25% 01/10/2022 3,981,000 USD 6,966,869 7,221,850 1.09 Zscaler Inc 0.13% 01/07/2025 1,611,000 USD 2,158,854 2,665,301 0.40

156,653,830 156,619,334 23.71



C) OTHER TRANSFERABLE SECURITIES

1) OTHER TRANSFERABLE SECURITIES : EQUITIES

UNITED STATES (U.S.A.) 2020 Cash Mandatory Exchangeable Trust 5.25% 01/06/2023 / Preference 1,824 USD 2,192,376 2,299,138 0.35

2,192,376 2,299,138 0.35

TOTAL OTHER TRANSFERABLE SECURITIES : EQUITIES 2,192,376 2,299,138 0.35


CANADA Air Canada 4.00% 01/07/2025 3,732,000 USD 5,651,292 5,786,242 0.88 Dye & Durham Ltd 3.75% 01/03/2026 7,500,000 CAD 6,222,689 6,147,539 0.93

11,873,981 11,933,781 1.81


71




C) OTHER TRANSFERABLE SECURITIES (continued)


CAYMAN ISLANDS iQIYI Inc 4.00% 15/12/2026 2,664,000 USD 2,678,613 2,680,010 0.41 Sea Ltd 2.38% 01/12/2025 2,553,000 USD 5,521,559 7,884,175 1.19

8,200,172 10,564,185 1.60

JAPAN CyberAgent Inc 0.00% 17/02/2023 180,000,000 JPY 2,129,168 2,451,805 0.37

2,129,168 2,451,805 0.37

LIBERIA Royal Caribbean Cruises Ltd 4.25% 15/06/2023 6,426,000 USD 9,024,995 8,795,587 1.33

9,024,995 8,795,587 1.33

MAURITIUS ISLANDS MakeMyTrip Ltd 0.00% 15/02/2028 4,491,000 USD 4,672,248 4,687,122 0.71

4,672,248 4,687,122 0.71

TAIWAN Win Semiconductors Corp 0.00% 14/01/2026 2,600,000 USD 2,935,570 2,720,380 0.41

2,935,570 2,720,380 0.41

UNITED STATES (U.S.A.) Bill.com Holdings Inc 0.00% 01/12/2025 2,867,000 USD 3,081,416 3,837,451 0.58 Booking Holdings Inc 0.75% 01/05/2025 2,164,000 USD 3,058,264 3,068,985 0.46 Coherus Biosciences Inc 1.50% 15/04/2026 1,523,000 USD 1,816,103 1,562,994 0.24 Coupa Software Inc 0.38% 15/06/2026 6,192,000 USD 8,137,388 7,169,717 1.09 Datadog Inc 0.13% 15/06/2025 1,628,000 USD 2,129,214 2,187,641 0.33 Enphase Energy Inc 0.00% 01/03/2028 3,085,000 USD 3,095,008 3,003,524 0.45 FireEye Inc 1.63% 01/06/2035 978,000 USD 1,081,934 1,097,671 0.17 IH Merger Sub LLC 3.50% 15/01/2022 1,410,000 USD 1,856,664 2,312,541 0.35 Innoviva Inc 2.50% 15/08/2025 1,439,000 USD 1,464,397 1,566,755 0.24 Insulet Corp 0.38% 01/09/2026 2,329,000 USD 3,073,041 3,167,323 0.48


72




C) OTHER TRANSFERABLE SECURITIES (continued)


UNITED STATES (U.S.A.) (continued) Integra LifeSciences Holdings Corp 0.50% 15/08/2025 2,467,000 USD 2,548,831 2,709,900 0.41 John Bean Technologies Corp 0.25% 15/05/2026 3,206,000 USD 3,303,543 3,408,459 0.52 Liberty Media Corp-Liberty Formula One 1.00% 30/01/2023 1,627,000 USD 2,105,645 2,212,671 0.34 NuVasive Inc 0.38% 15/03/2025 2,036,000 USD 1,849,168 2,021,810 0.31 Pacira BioSciences Inc 2.38% 01/04/2022 150,000 USD 175,953 163,951 0.02 Palo Alto Networks Inc 0.38% 01/06/2025 1,762,000 USD 2,087,991 2,396,179 0.36 Pegasystems Inc 0.75% 01/03/2025 1,196,000 USD 2,128,763 2,150,157 0.33 Pioneer Natural Resources Co 0.25% 15/05/2025 4,693,000 USD 6,001,777 7,489,370 1.13 Proofpoint Inc 0.25% 15/08/2024 3,474,000 USD 3,677,853 4,622,168 0.70 Shift4 Payments Inc 0.00% 15/12/2025 2,131,000 USD 2,218,130 2,886,611 0.44 Silicon Laboratories Inc 0.63% 15/06/2025 1,557,000 USD 1,877,776 2,165,990 0.33 Sunrun Inc 0.00% 01/02/2026 5,973,000 USD 6,225,887 5,393,679 0.82 Teladoc Health Inc 1.25% 01/06/2027 2,391,000 USD 2,820,081 2,684,878 0.41 Turning Point Brands Inc 2.50% 15/07/2024 3,174,000 USD 3,418,347 3,604,013 0.55 Workiva Inc 1.13% 15/08/2026 2,663,000 USD 3,195,404 4,070,101 0.62 Zendesk Inc 0.63% 15/06/2025 3,647,000 USD 5,174,362 5,338,625 0.81

77,602,940 82,293,164 12.49




73





Unrealised % net

Maturity Currency Bought Currency Sold Counterparty Appreciation/ (Depreciation) assets

01/07/2021 USD 7,828 GBP (5,645) RBC IS Bank Luxembourg 20 0.00 01/07/2021 USD 1,408 GBP (1,016) RBC IS Bank Luxembourg 3 0.00 01/07/2021 USD 37,376 EUR (31,351) RBC IS Bank Luxembourg 201 0.00 02/07/2021 GBP 3,606 USD (4,997) RBC IS Bank Luxembourg (8) 0.00 02/07/2021 USD 4,655 GBP (3,362) RBC IS Bank Luxembourg 4 0.00 02/07/2021 EUR 3,316 USD (3,947) RBC IS Bank Luxembourg (16) 0.00 14/07/2021 JPY 205,000,000 USD (1,855,293) RBC IS Bank Luxembourg (9,805) 0.00 14/07/2021 JPY 175,100,000 USD (1,584,692) RBC IS Bank Luxembourg (8,375) 0.00 30/09/2021 GBP 90,633 USD (125,790) RBC IS Bank Luxembourg (398) 0.00 30/09/2021 GBP 1,808,846 USD (2,510,508) RBC IS Bank Luxembourg (7,941) 0.00 30/09/2021 EUR 5,994,396 USD (7,163,213) RBC IS Bank Luxembourg (41,589) (0.01) 30/09/2021 EUR 6,132,972 USD (7,328,810) RBC IS Bank Luxembourg (42,551) (0.01) 30/09/2021 GBP 15,474,488 USD (21,477,135) RBC IS Bank Luxembourg (67,933) (0.01) 30/09/2021 EUR 81,588,316 USD (97,496,814) RBC IS Bank Luxembourg (566,060) (0.09) 30/09/2021 EUR 149,235 USD (178,333) RBC IS Bank Luxembourg (1,035) 0.00 30/09/2021 CHF 16,538,993 USD (18,033,600) RBC IS Bank Luxembourg (112,261) (0.02) 30/09/2021 CHF 316,502 USD (342,975) RBC IS Bank Luxembourg (19) 0.00

(857,763) (0.14)

TOTAL FORWARD CURRENCY EXCHANGE CONTRACTS (857,763) (0.14)



CAYMAN ISLANDS Call Alibaba Group Holding Ltd 19/11/2021 250.00 375 USD 901,993 425,625 0.06 Call Alibaba Group Holding Ltd 19/11/2021 250.00 194 USD 328,013 451,535 0.07

1,230,006 877,160 0.13

FRANCE

Call Schneider Electric SE 17/12/2021 130.00 792 EUR 845,821 904,367 0.14

845,821 904,367 0.14

TOTAL LISTED SECURITIES : OPTIONS 2,075,827 1,781,527 0.27



OTHER ASSETS 11,018,628 1.67




74



(expressed in USD) % net Description assets

% of Total Assets



Cash at Bank 0.00


Total Assets 98.85


75




Goldman Sachs Plc - US$ Liquid Reserves Fund 195,377,289 195,377,289 46.70

Snap Inc 0.00% 01/05/2027 10,100,000 10,151,585 2.43

Fastly Inc 0.00% 15/03/2026 8,027,000 8,038,514 1.92

Nexi SpA 0.00% 24/02/2028 6,600,000 7,887,867 1.89

DraftKings Inc 0.00% 15/03/2028 7,847,000 7,877,192 1.88

Afterpay Ltd 0.00% 12/03/2026 8,900,000 6,649,390 1.59

Meituan 0.00% 27/04/2028 6,500,000 6,559,625 1.57

Oak Street Health Inc 0.00% 15/03/2026 6,358,000 6,334,843 1.51

ON Semiconductor Corp 0.00% 01/05/2027 6,309,000 6,315,139 1.51

MicroStrategy Inc 0.00% 15/02/2027 6,258,000 6,301,700 1.51

Sunrun Inc 0.00% 01/02/2026 5,973,000 6,225,887 1.49

Dye & Durham Ltd 3.75% 01/03/2026 7,500,000 6,222,689 1.49

Twitter Inc 0.00% 15/03/2026 6,071,000 6,065,750 1.45

Menicon Co Ltd 0.00% 29/01/2025 550,000,000 5,752,160 1.37

Vroom Inc 0.75% 01/07/2026 4,880,000 4,915,941 1.18

Airbnb Inc 0.00% 15/03/2026 4,649,000 4,728,604 1.13

Dropbox Inc 0.00% 01/03/2028 4,690,000 4,708,658 1.13

MakeMyTrip Ltd 0.00% 15/02/2028 4,491,000 4,672,247 1.12

Repay Holdings Corp 0.00% 01/02/2026 4,395,000 4,577,564 1.09

Global Fashion Group SA 1.25% 15/03/2028 3,700,000 4,429,085 1.06



76



Sales

Security Name Quantity Proceed % of $ Total Sales

Goldman Sachs Plc - US$ Liquid Reserves Fund 216,286,947 216,286,947 64.80

Carnival Corp 5.75% 01/04/2023 3,210,000 8,435,310 2.53

Snap Inc 0.75% 01/08/2026 2,923,000 8,325,758 2.49

Konami Holdings Corp 0.00% 22/12/2022 440,000,000 6,649,702 1.99

ON Semiconductor Corp 1.63% 15/10/2023 3,396,000 6,461,990 1.94

Harvest International Co 0.00% 21/11/2022 28,000,000 6,380,266 1.91

Under Armour Inc 1.50% 01/06/2024 3,193,000 6,279,861 1.88

8x8 Inc 0.50% 01/02/2024 3,991,000 5,823,343 1.74

Southwest Airlines Co 1.25% 01/05/2025 3,251,000 5,599,088 1.68

WuXi AppTec Co Ltd 0.00% 17/09/2024 2,600,000 5,389,449 1.61

Match Group Financeco 3 Inc 2.00% 15/01/2030 1,913,000 3,766,417 1.13

Booking Holdings Inc 0.75% 01/05/2025 2,492,000 3,614,631 1.08

Omnicell Inc 0.25% 15/09/2025 2,470,000 3,525,772 1.06

Cloudflare Inc 0.75% 15/05/2025 1,283,000 3,263,257 0.98

Guardant Health Inc 0.00% 15/11/2027 2,526,000 2,661,995 0.80

Q2 Holdings Inc 0.75% 01/06/2026 1,596,000 2,593,993 0.78

Air Canada 4.00% 01/07/2025 1,590,000 2,579,632 0.77

Twilio Inc 0.25% 01/06/2023 494,000 2,547,321 0.76

SOITEC 0.00% 01/10/2025 9,750 2,527,834 0.76

Everbridge Inc 0.13% 15/12/2024 1,617,000 2,471,743 0.74 The tables above show a breakdown of material purchases and sales of the Portfolios in accordance with Central Bank UCITS Regulations 79(2) requirements. All purchases and sales of investments exceeding 1% of the total value of each purchases and sales respectively, a minimum of 20 of each such purchases and sales, are disclosed.


77


Causeway Defined Growth Fund

Introduction The Sub-Fund aims to generate capital growth of 7-8% per annum over the medium to long-term and aims to do so in anything but the bleakest of market conditions. It achieves this via exposure to a diversified portfolio of autocallable instruments linked to major global equity indices. Performance Review The Sub-Fund was approved by the Central Bank of Ireland in December 2019 and made its first investments into equity market linked autocallable instruments, collateralised on G7 Government Bonds in March 2020. Since launch the Sub-Fund has invested in twenty-five different autocallable instruments, four of which matured early in March/April 2021. As of 30th June 2021, the Sub-Fund holds a portfolio of twenty-one different instruments with varied underlying indices, durations and return profiles. Existing instruments are topped-up and new instruments added on an ongoing basis depending on the prevailing pricing conditions. Performance from launch is 10.13% (+3.65% year to date). If equity markets remain around their current level, we believe the Sub-Fund’s current portfolio of investments are on track to generate annualised positive returns, with each investment currently performing above its final autocall barrier. Outlook As ever, it is difficult to predict how markets might perform in the future. However, the Sub-Fund is currently well positioned to continue to grow its AUM, increase its portfolio of investments; and in turn deliver its stated aim of returning 7% to 8% per annum over the medium to long term. Conor O’Donnell Date: July 2021


78



CDGF CDGF* 30 Jun 2021 31 Dec 2020 Note $ $

ASSETS

Financial Assets at Fair Value through Profit or Loss: Investments in Transferable Securities 3 17,578,457 10,404,810 Investment in Financial Derivative Instruments 3 1,486,306 610,352

Cash at bank 4 2,762,607 1,069,454 Cash held as collateral 4 390,000 360,000 Dividends and interest receivable 30,836 19,737 Amount receivable on subscriptions - 71,175 Receivable from Investment Manager 6 143,714 80,039 Other receivables 5,657 -


Investment in Financial Derivative Instruments 3 322,824 92,652 Investment management fees payable 6 99,085 36,279 Sub-Investment management fees payable 6 13,581 1,924 Manager fee payable 6 4,951 4,998 Administration fees payable 6 23,312 8,357 Transfer agency fees payable 6 17,390 2,999 Directors fees payable 6 851 106 Depositary and depositary oversight fees payable 6 12,488 5,938 Audit fees payable 6 4,018 4,497 Other fees payable 12,595 10,821 TOTAL LIABILITIES (excluding net assets attributabl e to holders of redeemable participating shares) 511,095 168,571

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES 21,886,482 12,446,996 *Launched on 31st January 2020. The accompanying notes and schedules form an integral part of these condensed financial statements.


79



CDGF CDGF*

Financial



INCOME Bond interest income 44,382 2,894 Net realised and unrealised gain/(loss) on financial assets and liabilities at fair value through profit or loss 7 785,698 (9,107) Bank Interest 156 1,369 Expense reimbursement from Investment Manager 6 63,675 65,009 Swap interest income 13,424 - Other income 533 1,175 TOTAL INVESTMENT INCOME 907,868 61,340 EXPENSES Investment management fees 6 62,806 7,901 Sub-Investment management fees 6 34,125 3,626 Manager fees 6 29,526 17,921 Administration fees 6 20,803 6,128 Director fees 6 5,977 4,540 Depositary and depositary oversight fees 6 11,228 4,926 Audit fees 6 3,954 4,086 Transfer agency fees 6 17,862 3,405 Swap interest expense 67,796 2,996 Bank interest expenses 361 - Formation expenses - 38,778 Other fees and expenses 6 22,488 10,442 Total Operating Expenses 276,926 104,749 Operating Profit/(Loss) 630,942 (43,409) Finance Costs Dividends to holders of redeemable participating shares 90,158 - Profit/(Loss) Before Tax 540,784 (43,409) Increase/(Decrease) in net assets attributable to holders of redeemable participating shares from operations 540,784 (43,409) *Launched on 31st January 2020. The accompanying notes and schedules form an integral part of these condensed financial statements. All of the results for the financial period relate to continuing operations.


80



*Launched on 31st January 2020. The accompanying notes and schedules form an integral part of these condensed financial statements.

CDGF CDGF*

Financial


Period Ended 30 Jun 2021 30 Jun 2020 $ $ Net Assets attributable to holders of Redeemable Participating Shares at the beginning of the financial period 12,446,996 - Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 540,784 (43,409) Capital transactions Issue of redeemable shares during the financial period 11,330,504 3,087,740 Redemption of redeemable shares during the financial period (2,431,802) (94,062)



81



CDGF CDGF* 30 Jun 2021 30 Jun 2020 $ $ Cash flows from operating activities Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 540,784 (43,409) Adjustment to reconcile increase/(decrease) in net assets attributable to holders of redeemable participating shares from operations to net cash used in operating activities Bond interest income (44,382) (2,894) Dividends to holders of redeemable participating shares 90,158 - Operating profit/( loss) before working capital changes 586,560 (46,303) Changes in operating assets and liabilities Net increase in financial assets and liabilities at fair value (7,819,429) (2,573,678) Increase in other receivables (99,332) (140,236) Increase in payables 112,352 42,210 Cash used in operating activities (7,219,849) (2,718,007) Interest received/(paid) 33,283 (10,853) Net cash used in operating activities (7,186,566) (2,728,860) Cash flows from financing activities Proceeds from issue of redeemable participating shares 11,401,679 3,087,740 Payment on redemptions of redeemable participating shares (2,431,802) (91,089) Dividends to holders of redeemable participating shares (90,158) -

Net cash provided by financing activities 8,879,719 2,996,651 Net increase in cash 1,693,153 267,791 Net Cash at the start of the financial period 1,069,454 - Net Cash at the end of the financial period 2,762,607 267,791 Analysis of Cash Cash at the start of the financial period 1,069,454 - Overdraft at the start of the financial period - - Cash at the end of the financial period 2,762,607 267,791 Overdraft at the end of the financial period - - *Launched on 31st January 2020. The accompanying notes and schedules form an integral part of these condensed financial statements.


82




1) INVESTMENTS



GREAT BRITAIN United Kingdom Inflation-Linked Gilt 0.13% 10/08/2028 2,524,000 GBP 4,590,688 4,637,630 21.19

4,590,688 4,637,630 21.19

UNITED STATES (U.S.A.) United States Treasury Inflation Indexed Bonds 0.13% 15/07/2026 2,500,000 USD 2,976,593 3,050,034 13.94 United States Treasury Inflation Indexed Bonds 0.75% 15/07/2028 3,270,000 USD 3,994,642 3,990,565 18.23 United States Treasury Note/Bond 0.25% 15/04/2023 1,000 USD 1,002 1,001 0.00 United States Treasury Note/Bond 0.25% 15/11/2023 1,000 USD 1,000 998 0.00 United States Treasury Note/Bond 2.88% 30/11/2023 1,000 USD 1,080 1,061 0.00

6,974,317 7,043,659 32.17





JAPAN Japan Government Twenty Year Bond 2.10% 20/03/2026 278,700,000 JPY 2,978,826 2,772,888 12.67

2,978,826 2,772,888 12.67


2,988,141 3,124,280 14.28




83





Unrealised % net


30/07/2021 USD 1,363 EUR (1,142) RBC IS Bank Luxembourg 7 0.00 30/07/2021 EUR 711,635 USD (849,335) RBC IS Bank Luxembourg (4,870) (0.02) 30/07/2021 EUR 211,980 USD (252,998) RBC IS Bank Luxembourg (1,451) (0.01) 30/07/2021 EUR 153,300 USD (182,964) RBC IS Bank Luxembourg (1,049) 0.00 30/07/2021 GBP 1,180,468 USD (1,639,670) RBC IS Bank Luxembourg (8,771) (0.04) 30/07/2021 GBP 2,982,021 USD (4,142,027) RBC IS Bank Luxembourg (22,156) (0.10) 30/07/2021 GBP 1,990,163 USD (2,764,337) RBC IS Bank Luxembourg (14,787) (0.07) 30/07/2021 GBP 727,361 USD (1,010,305) RBC IS Bank Luxembourg (5,404) (0.02)

(58,481) (0.26)


AUTOCALLABLE SWAPS

Underlying Index Fair % net

Maturity Rate Floating Counterparties Basket Notional Currency Value assets

21/10/2025 3m USD LIBOR Credit Agricole CIB SPX/HSCEI/NKY 600,000 USD 51,240 0.23

01/12/2025 3m USD LIBOR Credit Agricole CIB NDX/HSCEI/SMI 1,675,000 USD 110,549 0.51

04/03/2026 3m USD LIBOR Societe Generale UKX/SPX/SX5E 411,000 USD 55,855 0.26

05/03/2026 3m USD LIBOR Credit Agricole CIB UKX/SMI/HSCEI 1,575,000 USD 23,310 0.11

27/07/2026 3m USD LIBOR Morgan Stanley SPX/SX5E/NKY 800,000 USD 71,840 0.33

30/07/2026 3m USD LIBOR Morgan Stanley UKX/SX5E/HSI 830,000 USD 74,617 0.34

17/08/2026 3m USD LIBOR Morgan Stanley UKX/SPX/SX5E 680,000 USD 57,936 0.26

20/08/2026 3m USD LIBOR Morgan Stanley UKX/HSI/AS51 740,000 USD 57,868 0.26

10/09/2026 3m USD LIBOR Credit Agricole CIB UKX/SX5E/SMI 1,150,000 USD 97,980 0.45

23/09/2026 3m USD LIBOR Credit Agricole CIB UKX/SPX/SX5E 820,000 USD 82,492 0.38

13/10/2026 3m USD LIBOR Morgan Stanley SPX/NKY 560,000 USD 49,000 0.22

15/10/2026 3m USD LIBOR Credit Agricole CIB SX5E/SMI 500,000 USD 37,450 0.17

20/10/2026 3m USD LIBOR Morgan Stanley SX5E/AS51 600,000 USD 62,280 0.28

30/11/2026 3m USD LIBOR Credit Agricole CIB UKX/SPX/SX5E 1,655,000 USD 113,368 0.52

10/12/2026 3m USD LIBOR Morgan Stanley AS51/NKY/HSCEI 790,000 USD 26,702 0.12


84



AUTOCALLABLE SWAPS (continued)

Underlying Index Fair % net

Maturity Rate Floating Counterparties Basket Notional Currency Value assets

12/01/2027 3m USD LIBOR Credit Agricole CIB UKX/SPX/SX5E 1,955,000 USD 99,705 0.46

08/02/2027 3m USD LIBOR Morgan Stanley SUKX35FD/SX5EFRD3 700,000 USD 34,720 0.16

12/03/2027 3m USD LIBOR Morgan Stanley SPX/SX5EFRD3/NKY 960,000 USD 54,912 0.25

30/03/2027 3m USD LIBOR Credit Agricole CIB TUKXG/SX5T 1,515,000 USD 19,241 0.09

23/04/2027 3m USD LIBOR Morgan Stanley SUKX35FD/AS51/SPTSX60 1,135,000 USD 48,011 0.22

09/06/2027 3m USD LIBOR Morgan Stanley SX5E/NKY/RTY 1,150,000 USD 3,910 0.02

1,232,986 5.64

TOTAL AUTOCALLABLE SWAPS 1,232,986 5.64

CROSS CURRENCY SWAPS

Underlying Index % net Rate Floating Counterparties Basket Notional Currency Fair Value assets 3m USD LIBOR JP Morgan Securities Plc. 3m USD LIBOR 2,988,538 USD (112,259) (0.51) 3m USD LIBOR JP Morgan Securities Plc. 3m USD LIBOR 2,978,031 USD (58,195) (0.27) 3m USD LIBOR JP Morgan Securities Plc.

3m USD LIBOR 2,099,962 USD 20,922 0.10

3m GBP LIBOR JP Morgan Securities Plc. 3m GBP LIBOR 1,504,002 GBP (29,720) (0.14) 3m USD LIBOR JP Morgan Securities Plc. 3m USD LIBOR 4,004,881 USD (12,269) (0.06) 3m GBP LIBOR JP Morgan Securities Plc. 3m GBP LIBOR 1,504,002 GBP - 0.00 3m USD LIBOR RBC IS Bank Luxembourg 3m USD LIBOR 2,999,677 USD 223,889 1.02 3m GBP LIBOR RBC IS Bank Luxembourg 3m GBP LIBOR 1,798,040 GBP (51,893) (0.24) 3m USD LIBOR RBC IS Bank Luxembourg 3m USD LIBOR 2,498,736 USD 8,502 0.04 3m GBP LIBOR RBC IS Bank Luxembourg 3m GBP LIBOR 1,798,040 GBP - 0.00

(11,023) (0.06)

TOTAL CROSS CURRENCY SWAPS (11,023) (0.06)



OTHER ASSETS 3,332,814 15.23




85




% of Total Assets Assets Investment in Transferable Securities 78.48


Cash at Bank 12.33


Total Assets 97.71


86



Purchases Security Name Quantity Cost % of $ Total Purchases United Kingdom Inflation-Linked Gilt 0.13% 10/08/2028 2,524,000 4,590,688 41.04 United States Treasury Inflation Indexed Bonds 0.75% 15/07/2028 3,270,000 3,994,642 35.71 United States Treasury Note/Bond 1.38% 31/05/2021 1,500,000 1,506,152 13.46 United States Treasury Inflation Indexed Bonds 0.63% 15/07/2021 921,000 1,095,764 9.79

Sales Security Name Quantity Proceeds % of $ Total Sales United States Treasury Note/Bond 1.38% 31/05/2021 2,860,000 2,879,663 72.40 United States Treasury Inflation Indexed Bonds 0.63% 15/07/2021 921,000 1,098,022 27.60



87


GSI Global Sustainable Value Fund

Market highlights The Covid19 pandemic continued to dominate markets in the first half of 2021. The Federal Reserve in the US continued to support the market and the incoming Biden administration proposed a significant economic stimulus of around $2 trillion. Markets continued to reposition at the start of the year as optimism grew with vaccination rollouts across the world. The first quarter saw continued outperformance of more cyclical parts of the economy with Energy, Financials and Industrials outpacing other sectors. Small companies generally outperformed large companies in each developed market region but most notably in the US, and value companies outperformed growth. Markets also priced in higher long term interest rates, partly in anticipation of higher inflation. However, in the second quarter some of this reversed as markets grew more cautious. While the overall market continued to post positive returns in the second quarter, interest rate expectations fell back considerably, and small cap stock and value stocks gave up some of their outperformance compared to the first quarter. Over the full 6-month period, global developed markets posted a return of 11.6% in GBP, and small cap and value stocks showed outperformance compared to large cap and growth stocks respectively. Performance review (in GBP) For the 6 months to 30 June 2021.

GSI Global Sustainable Value Fund: 12.97% Solactive Developed Mkt Large/Mid Index (Net): 11.60%

The GSI Global Sustainable Value Fund has two key features that, in the longer term, we expect to generate higher returns compared to market-weighted broad global equity indices: (i) it tilts by approximately 20% towards value stocks based on a blend of value metrics and (ii) it tilts by approximately 10% towards smaller companies based on market capitalisation. Over the 6-month period to end June 2021, value companies outperformed their growth counterparts in both US and non-US markets. The tilt of the Global Sustainable Value Fund towards value stocks contributed around 1.2% of excess return over the period. Small companies outperformed large firms in all regions over the period. The tilt of the Global Sustainable Value Fund towards smaller stocks contributed approximately 0.2% of excess return over the period. Outlook Markets continue to be broadly optimistic regarding economic conditions. For example, earnings are expected to show a significant rebound over the course of 2021 compared to last year. Equity markets, as well as other assets, are generally trading at high prices compared to their history, largely due to exceptionally supportive monetary conditions. However, there is considerable uncertainty as to how the pandemic will evolve. At the beginning of Q3, increasing concerns are being raised about the spread of variants of the Covid virus and how that might impact the reopening of economies and world travel etc. Moreover, at some point the enormous stimulus packages will need to be reduced and eventually paid for, which could have a significant negative effect on equity markets. At GSI, we believe markets will generally price equities to provide an expected equity premium. It therefore makes sense to remain invested even if markets may periodically become highly turbulent as they did in 2020. In fact, research shows that the expected equity premium increases during periods of market stress. For equity investors, it is better to take a disciplined, long-term view and employ a well-diversified, low-turnover investment strategy, with a view to capturing well-researched factor premia related to the broad equity market, smaller companies and companies trading at low prices compared those trading at high prices.


88


GSI Global Sustainable Value Fund (Continued)

Outlook (Continued) As responsible investors, we also believe that it is important to consider how companies manage the risks and opportunities related to those environmental, social, and governance (ESG) issues that are relevant to them. We position our funds so that we overweight companies that we believe better manage those risks and opportunities. The Sub-Fund remains well diversified across markets, sectors, and stocks and we remain confident that the Sub-Fund is well positioned to perform to expectations through the next 6 months. Global Systematic Investors LLP Date: July 2021


89



GSI GSI 30 Jun 2021 31 Dec 2020 Note $ $


Investments in Transferable Securities 3 182,861,819 142,587,973 Cash at bank 4 1,955,308 999,644 Dividends and interest receivable 190,020 145,669 Amount receivable on subscriptions 304,872 686,613 Receivable from Investment Manager 6 - 1,779 Other receivables 923 -

TOTAL ASSETS 185,312,942 144,421,678

LIABILITIES Amount payable on purchase of securities - 572,297 Investment management fees payable 6 51,564 34,500 Manager fee payable 6 14,180 11,894 Administration fees payable 6 20,376 7,832 Transfer agency fees payable 6 10,574 3,075 Directors fees payable 6 1,969 1,233 Depositary and depositary oversight fees payable 6 35,820 11,017 Audit fees payable 6 - 103 Redemptions payable 366,241 79,263 Payable to Investment Manager 671 - Other fees payable 6,918 3,033 TOTAL LIABILITIES (excluding net assets attributabl e to holders of redeemable participating shares) 508,313 724,247



90



GSI GSI

FinancialPeriod Ended

Financial Period Ended

30 Jun 2021 30 Jun 2020 Note $ $

INCOME Dividend income 2,202,112 1,245,598 Net realised and unrealised gain/(loss) on financial assets and liabilities at fair value through profit or loss 7 20,853,319 (7,279,522) Bank Interest - 880 Expense reimbursement from Investment Manager 6 4,166 191 Other income 8,472 1,406 TOTAL INVESTMENT INCOME/(LOSS) 23,068,069 (6,031,447) EXPENSES Investment management fees 6 251,498 124,303 Manager fees 6 74,447 28,123 Administration fees 6 39,321 35,017 Director fees 6 5,974 2,876 Depositary and depositary oversight fees 6 35,198 15,746 Audit fees 6 4,262 2,303 Transfer agency fees 6 12,403 5,490 Bank interest expense 120 12 Other fees and expenses 6 22,451 9,499 Total Operating Expenses 445,674 223,369 Operating Profit/(Loss) 22,622,395 (6,254,816) Finance Costs Dividends to holders of redeemable participating shares 1,066,460 962,420 Profit/(Loss) Before Tax 21,555,935 (7,217,236) Withholding tax 460,434 318,938 Increase/(Decrease) in net assets attributable to holders of redeemable participating shares from operations 21,095,501 (7,536,174) The accompanying notes and schedules form an integral part of these condensed financial statements. All of the results for the financial period relate to continuing operations.


91




GSI GSI Financial



$ $ Net Assets attributable to holders of Redeemable Parti cipating Shares at the beginning of the financial period

143,697,431 73,480,803

Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 21,095,501 (7,536,174) Capital transactions Issue of redeemable shares during the financial period 46,867,865 40,572,608 Redemption of redeemable shares during the financial period (26,856,168) (3,172,459)


184,804,629 103,344,778


92



GSI GSI 30 Jun 2021 30 Jun 2020 $ $ Cash flows from operating activities Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 21,095,501 (7,536,174) Adjustment to reconcile increase/(decrease) in net assets attributable to holders of redeemable participating shares from operations to net cash used in operating activities Dividend income (2,202,112) (1,245,598) Tax expense 460,434 318,938 Dividends to holders of redeemable participating shares 1,066,460 962,420 Operating profit/(loss) before working capital changes 20,420,283 (7,500,414) Changes in operating assets and liabilities Net increase in financial assets and liabilities at fair value (40,273,846) (30,181,903) Decrease in other receivables 856 706,857 Decrease in payables (502,912) (564,292) Cash used in operating activities (20,355,619) (37,539,752)

Interest received - 26 Dividend received 2,157,761 1,217,973 Taxation paid (460,434) (318,938) Net cash used in operating activities (18,658,292) (36,640,691) Cash flows from financing activities Proceeds from issue of redeemable participating shares 47,249,606 40,572,608 Payment on redemptions of redeemable participating shares (26,569,190) (3,173,380) Dividends to holders of redeemable participating shares (1,066,460) (962,420) Net cash provided by financing activities 19,613,956 36,436,808

Net increase/(decrease) in cash 955,664 (203,883) Net Cash at the start of the financial period 999,644 439,267 Net Cash at the end of the financial period 1,955,308 235,384 Analysis of Cash Cash at the start of the financial period 999,644 439,267 Overdraft at the start of the financial period - - Cash at the end of the financial period 1,955,308 235,384 Overdraft at the end of the financial period - - The accompanying notes and schedules form an integral part of these financial statements.


93



(expressed in USD) Acquisition Fair % netDescription Quantity Currency cost Value assets

1) INVESTMENTS



AUSTRALIA ASX Ltd 1,512 AUD 85,655 88,117 0.05Aurizon Holdings Ltd 18,243 AUD 58,855 50,895 0.03Australia & New Zealand Banking Group Ltd 10,334 AUD 172,059 218,162 0.12BHP Group Ltd 8,999 AUD 228,807 327,789 0.18BlueScope Steel Ltd 513 AUD 4,725 8,449 0.00Brambles Ltd 17,441 AUD 140,515 149,634 0.08Cleanaway Waste Management Ltd 20,835 AUD 44,455 41,251 0.02Coles Group Ltd 5,747 AUD 61,126 73,657 0.04Commonwealth Bank of Australia 2,725 AUD 132,216 204,096 0.11Computershare Ltd 3,561 AUD 39,745 45,133 0.02CSL Ltd 553 AUD 96,704 118,275 0.06Endeavour Group Ltd 4,007 AUD 14,660 18,902 0.01Evolution Mining Ltd 14,499 AUD 53,048 48,931 0.03Fortescue Metals Group Ltd 10,099 AUD 103,784 176,771 0.10Insurance Australia Group Ltd 7,267 AUD 28,092 28,121 0.02Macquarie Group Ltd 526 AUD 46,298 61,708 0.03Medibank Pvt Ltd 20,528 AUD 35,813 48,648 0.03National Australia Bank Ltd 4,378 AUD 83,596 86,088 0.05Newcrest Mining Ltd 1,428 AUD 23,338 27,073 0.01OneMarket Ltd 60 AUD 34 40 0.00QBE Insurance Group Ltd 7,062 AUD 55,399 57,145 0.03REA Group Ltd 347 AUD 37,001 43,987 0.02Rio Tinto Ltd 1,384 AUD 116,382 131,444 0.07SEEK Ltd 1,487 AUD 32,473 36,957 0.02Sonic Healthcare Ltd 2,243 AUD 46,557 64,594 0.03Suncorp Group Ltd 11,693 AUD 88,090 97,425 0.05Sydney Airport 9,029 AUD 42,139 39,206 0.02Telstra Corp Ltd 127,305 AUD 303,841 358,976 0.19Transurban Group 8,922 AUD 94,932 95,214 0.05Wesfarmers Ltd 7,410 AUD 241,438 328,426 0.18Westpac Banking Corp 8,584 AUD 154,939 166,154 0.09Woolworths Group Ltd 4,007 AUD 91,927 114,583 0.06

2,758,643 3,355,851 1.80

AUSTRIA BAWAG Group AG 657 EUR 29,104 34,963 0.02Raiffeisen Bank International AG 1,777 EUR 39,146 40,245 0.02

68,250 75,208 0.04


94





1) LISTED SECURITIES : EQUITIES (continued)

BELGIUM Ageas SA 926 EUR 55,912 51,387 0.03Etablissements Franz Colruyt NV 689 EUR 40,623 38,529 0.02Groupe Bruxelles Lambert SA 642 EUR 66,686 71,816 0.04KBC Group NV 2,439 EUR 160,676 185,958 0.10Proximus SADP 2,565 EUR 60,875 49,545 0.03UCB SA 391 EUR 32,090 40,873 0.02

416,862 438,108 0.24

BERMUDA ISLANDS Brookfield Asset Management Reinsurance Partners Ltd 30 CAD 1,357 1,585 0.00Everest Re Group Ltd 478 USD 115,884 120,461 0.07HAL Trust 167 EUR 25,115 29,386 0.02Hongkong Land Holdings Ltd 15,700 USD 77,938 74,732 0.04Pacific Century Premium Developments Ltd 2,376 HKD 542 226 0.00

220,836 226,390 0.13

CANADA Bank of Montreal 3,231 CAD 216,725 331,180 0.18Bank of Nova Scotia 4,642 CAD 244,187 301,902 0.16BCE Inc 12,343 CAD 556,465 608,686 0.33Brookfield Asset Management Inc 4,354 CAD 178,401 222,126 0.12Canadian Imperial Bank of Commerce 1,945 CAD 136,386 221,409 0.12Canadian National Railway Co 983 CAD 87,207 103,716 0.06Canadian Pacific Railway Ltd 1,920 CAD 129,599 147,640 0.08Canadian Tire Corp Ltd 728 CAD 99,821 115,202 0.06CGI Inc 154 CAD 7,084 13,963 0.01Dollarama Inc 926 CAD 38,580 42,386 0.02Empire Co Ltd 1,267 CAD 43,577 39,964 0.02Enbridge Inc 3,203 CAD 115,021 128,239 0.07Gildan Activewear Inc 1,741 CAD 62,821 64,241 0.03Great-West Lifeco Inc 3,008 CAD 91,670 89,347 0.05iA Financial Corp Inc 1,334 CAD 77,121 72,630 0.04IGM Financial Inc 749 CAD 23,328 26,441 0.01Intact Financial Corp 509 CAD 47,809 69,152 0.04Kinross Gold Corp 14,927 CAD 100,244 94,648 0.05Loblaw Cos Ltd 1,116 CAD 54,025 68,683 0.04Magna International Inc 1,960 CAD 115,329 181,469 0.10Manulife Financial Corp 13,675 CAD 242,831 269,176 0.15


95






CANADA (continued) Metro Inc 2,159 CAD 103,749 103,509 0.06National Bank of Canada 1,593 CAD 78,654 119,218 0.06Open Text Corp 836 CAD 39,204 42,454 0.02Pembina Pipeline Corp 1,898 CAD 66,299 60,312 0.03Power Corp of Canada 4,272 CAD 107,152 135,025 0.07Rogers Communications Inc 5,026 CAD 243,177 267,194 0.14Royal Bank of Canada 5,428 CAD 404,357 549,938 0.30Sun Life Financial Inc 4,611 CAD 206,172 237,766 0.13Teck Resources Ltd 2,144 CAD 47,955 49,380 0.03TELUS Corp 1,244 CAD 21,108 27,899 0.02Thomson Reuters Corp 639 CAD 36,528 63,472 0.03Toronto-Dominion Bank 6,693 CAD 344,557 469,039 0.25Wheaton Precious Metals Corp 1,248 CAD 53,038 55,010 0.03

4,420,181 5,392,416 2.91

CAYMAN ISLANDS Budweiser Brewing Co APAC Ltd 13,100 HKD 41,706 41,337 0.02Chow Tai Fook Jewellery Group Ltd 24,400 HKD 42,272 55,750 0.03CK Asset Holdings Ltd 17,000 HKD 105,396 117,358 0.06

189,374 214,445 0.11

CURACAO Schlumberger NV 3,834 USD 113,159 122,726 0.07

113,159 122,726 0.07

DENMARK Carlsberg AS 751 DKK 105,969 139,991 0.08Coloplast A/S 482 DKK 62,600 79,088 0.04DSV PANALPINA A/S 242 DKK 48,376 56,436 0.03Novo Nordisk A/S 4,700 DKK 255,603 393,762 0.21Novozymes A/S 813 DKK 42,405 61,281 0.03Orsted AS 276 DKK 26,879 38,729 0.02Pandora A/S 836 DKK 37,735 112,378 0.06Vestas Wind Systems A/S 5,800 DKK 101,758 226,405 0.12

681,325 1,108,070 0.59


96






FINLAND Huhtamaki Oyj 741 EUR 35,170 35,102 0.02Kesko Oyj 4,731 EUR 92,941 174,745 0.09Kone Oyj 854 EUR 65,776 69,669 0.04Neste Oyj 30 EUR 790 1,837 0.00Nokia Oyj 56,278 EUR 258,877 301,327 0.16Nokian Renkaat Oyj 2,684 EUR 92,220 108,366 0.06Nordea Bank Abp 17,870 SEK 158,029 199,110 0.11Orion Oyj 1,016 EUR 43,942 43,671 0.02Sampo Oyj 1,164 EUR 55,648 53,497 0.03Stora Enso Oyj 2,879 EUR 33,225 52,521 0.03UPM-Kymmene Oyj 2,398 EUR 65,019 90,705 0.05Wartsila OYJ Abp 6,499 EUR 65,369 96,443 0.05

967,006 1,226,993 0.66

FRANCE Accor SA 1,887 EUR 77,909 70,459 0.04Aeroports de Paris 329 EUR 41,780 42,854 0.02Arkema SA 208 EUR 27,678 26,094 0.01Atos SE 2,027 EUR 144,534 123,300 0.07AXA SA 15,162 EUR 373,352 384,467 0.21BNP Paribas SA 2,799 EUR 148,002 175,471 0.09Bollore SA 14,353 EUR 75,141 76,926 0.04Bouygues SA 1,535 EUR 62,170 56,770 0.03Capgemini SE 1,651 EUR 213,903 317,143 0.17Cie de Saint-Gobain 2,716 EUR 164,719 178,866 0.10Cie Generale des Etablissements Michelin SCA 1,345 EUR 155,659 214,505 0.12Danone SA 3,030 EUR 193,622 213,306 0.12Dassault Systemes SE 198 EUR 43,452 48,012 0.03EssilorLuxottica SA 297 EUR 38,881 54,811 0.03Faurecia SE 87 EUR 3,377 4,268 0.00Hermes International 74 EUR 77,711 107,795 0.06Kering SA 145 EUR 77,627 126,715 0.07Legrand SA 946 EUR 79,403 100,125 0.05L'Oreal SA 518 EUR 152,823 230,823 0.12LVMH Moet Hennessy Louis Vuitton SE 632 EUR 301,216 495,574 0.27Orange SA 20,536 EUR 289,015 234,131 0.13Pernod Ricard SA 443 EUR 69,782 98,334 0.05Publicis Groupe SA 2,595 EUR 176,582 165,975 0.09Renault SA 1,044 EUR 43,809 42,195 0.02Safran SA 220 EUR 31,879 30,500 0.02


97






FRANCE (continued) Sanofi 3,363 EUR 315,697 352,351 0.19Schneider Electric SE 2,623 EUR 252,548 412,664 0.22SCOR SE 2,718 EUR 101,667 86,437 0.05Societe Generale SA 1,065 EUR 28,365 31,394 0.02Suez SA 1,608 EUR 23,181 38,229 0.02TotalEnergies SE 8,239 EUR 393,141 372,751 0.20Valeo 1,094 EUR 25,843 32,910 0.02Vinci SA 68 EUR 4,998 7,256 0.00Vivendi SE 4,307 EUR 135,042 144,682 0.08

4,344,508 5,098,093 2.76

GERMANY adidas AG 270 EUR 79,219 100,496 0.05Allianz SE 2,132 EUR 495,664 531,642 0.29Bayerische Motoren Werke AG / Ordinary 2,163 EUR 153,809 229,060 0.12Bayerische Motoren Werke AG / Preference 405 EUR 34,463 36,401 0.02Brenntag SE 791 EUR 50,843 73,552 0.04Commerzbank AG 7,982 EUR 52,584 56,618 0.03Continental AG 740 EUR 95,463 108,787 0.06Covestro AG 874 EUR 39,287 56,439 0.03Daimler AG 2,949 EUR 232,850 263,307 0.14Deutsche Boerse AG 437 EUR 68,479 76,275 0.04Deutsche Post AG 6,791 EUR 288,235 461,887 0.25Deutsche Telekom AG 20,033 EUR 286,670 423,109 0.23Deutsche Wohnen SE 911 EUR 42,105 55,718 0.03Evonik Industries AG 1,736 EUR 48,063 58,213 0.03Fresenius Medical Care AG & Co KGaA 2,762 EUR 204,033 229,384 0.12Fresenius SE & Co KGaA 1,127 EUR 53,683 58,792 0.03Hannover Rueck SE 888 EUR 148,563 148,571 0.08Henkel AG & Co KGaA / Ordinary 913 EUR 77,261 84,063 0.05Henkel AG & Co KGaA / Preference 1,790 EUR 180,466 188,987 0.10Infineon Technologies AG 7,271 EUR 163,683 291,582 0.16Merck KGaA 504 EUR 61,480 96,635 0.05Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen 992 EUR 260,472 271,658 0.15SAP SE 3,153 EUR 404,145 444,304 0.24Siemens AG 2,447 EUR 258,950 387,702 0.21Siemens Energy AG 1,478 EUR 46,915 44,550 0.02Talanx AG 924 EUR 39,194 37,777 0.02Telefonica Deutschland Holding AG 14,780 EUR 38,066 38,994 0.02Volkswagen AG / Preference 480 EUR 132,133 120,207 0.07Vonovia SE 1,009 EUR 64,224 65,229 0.04Zalando SE 1,109 EUR 105,881 134,023 0.07

4,206,883 5,173,962 2.79


98






GREAT BRITAIN 3i Group Plc 9,126 GBP 112,852 148,079 0.08Abrdn Plc 26,431 GBP 84,437 99,083 0.05Anglo American Plc 3,431 GBP 77,746 136,332 0.07Antofagasta Plc 2,550 GBP 26,257 50,636 0.03Ashtead Group Plc 2,068 GBP 69,678 153,446 0.08AstraZeneca Plc 1,040 GBP 89,758 124,916 0.07Aviva Plc 38,243 GBP 181,483 214,727 0.12Barclays Plc 31,557 GBP 42,832 74,699 0.04Barratt Developments Plc 7,152 GBP 50,014 68,779 0.04Berkeley Group Holdings Plc 1,207 GBP 65,483 76,720 0.04BHP Group Plc 6,710 GBP 153,191 197,705 0.11BP Plc 47,976 GBP 232,585 209,050 0.11BT Group Plc 105,403 GBP 234,663 282,860 0.15Bunzl Plc 1,907 GBP 50,869 63,021 0.03Burberry Group Plc 4,147 GBP 84,066 118,517 0.06Centrica Plc 47,051 GBP 42,983 33,493 0.02Coca-Cola Europacific Partners Plc 1,890 USD 98,716 112,115 0.06Compass Group Plc 1,575 GBP 33,853 33,160 0.02ConvaTec Group Plc 14,601 GBP 30,465 48,595 0.03Diageo Plc 4,438 GBP 168,842 212,474 0.11Direct Line Insurance Group Plc 22,414 GBP 94,255 88,365 0.05GlaxoSmithKline Plc 22,075 GBP 448,160 433,433 0.23Halma Plc 1,234 GBP 42,947 45,952 0.02Hikma Pharmaceuticals Plc 1,993 GBP 62,764 67,434 0.04HSBC Holdings Plc 77,737 GBP 442,513 448,738 0.24IMI Plc 2,665 GBP 41,461 63,408 0.03ITV Plc 87,827 GBP 111,581 152,532 0.08J Sainsbury Plc 39,704 GBP 129,310 149,279 0.08Johnson Matthey Plc 1,721 GBP 56,425 73,158 0.04Kingfisher Plc 31,645 GBP 113,105 159,558 0.09Legal & General Group Plc 62,643 GBP 176,912 223,221 0.12Liberty Global Plc - SHS A 3,167 USD 83,356 86,016 0.05Liberty Global Plc - SHS C 6,733 USD 146,863 182,060 0.10Lloyds Banking Group Plc 353,327 GBP 200,426 228,201 0.12London Stock Exchange Group Plc 350 GBP 36,332 38,587 0.02M&G Plc 17,426 GBP 60,959 55,177 0.03Mondi Plc 1,847 GBP 40,779 48,570 0.03National Grid Plc 5,291 GBP 62,732 67,394 0.04Natwest Group Plc 41,765 GBP 104,004 117,396 0.06Pearson Plc 9,634 GBP 80,798 110,612 0.06Persimmon Plc 4,404 GBP 167,671 180,203 0.10


99



(expressed in USD) Acquisition Fair % netDescription Quantity Cur rency cost Value assets



GREAT BRITAIN (continued) Prudential Plc 7,333 GBP 139,331 139,324 0.08Reckitt Benckiser Group Plc 1,029 GBP 81,446 91,056 0.05RELX Plc 5,330 GBP 129,526 141,488 0.08Rentokil Initial Plc 4,971 GBP 34,903 34,038 0.02Rio Tinto Plc 2,945 GBP 201,153 242,351 0.13Royal Dutch Shell Plc - Class B 12,417 GBP 271,700 240,298 0.13Royal Mail Plc 14,518 GBP 122,915 115,958 0.06Schroders Plc 2,265 GBP 87,328 110,068 0.06Sensata Technologies Holding Plc 1,835 USD 110,941 106,375 0.06Severn Trent Plc 2,528 GBP 72,864 87,460 0.05Spectris Plc 1,216 GBP 55,851 54,466 0.03St James's Place Plc 2,395 GBP 28,296 48,933 0.03Standard Chartered Plc 9,300 GBP 64,389 59,306 0.03Taylor Wimpey Plc 29,296 GBP 65,522 64,415 0.03Tesco Plc 12,524 GBP 40,098 38,625 0.02Travis Perkins Plc 1,944 GBP 30,628 45,419 0.02Unilever Plc 4,694 EUR 258,231 274,748 0.15United Utilities Group Plc 9,725 GBP 111,735 131,082 0.07Vodafone Group Plc 189,470 GBP 348,622 318,025 0.17Wickes Group Plc 2,179 GBP 5,712 7,415 0.00Wm Morrison Supermarkets Plc 25,025 GBP 61,005 85,400 0.05

6,956,322 7,913,951 4.27

GUERNSEY Amdocs Ltd 2,376 USD 165,057 183,807 0.10

165,057 183,807 0.10

HONG KONG AIA Group Ltd 33,400 HKD 372,160 415,119 0.22Bank of East Asia Ltd 33,200 HKD 71,811 61,660 0.03Hang Lung Group Ltd 18,000 HKD 45,355 45,903 0.02Hang Lung Properties Ltd 23,000 HKD 57,237 55,869 0.03Hang Seng Bank Ltd 5,500 HKD 97,355 109,869 0.06Henderson Land Development Co Ltd 13,210 HKD 61,877 62,611 0.03HKT Trust & HKT Ltd 71,000 HKD 103,799 96,748 0.05Hong Kong & China Gas Co Ltd 29,213 HKD 41,311 45,376 0.02Hong Kong Exchanges & Clearing Ltd 2,400 HKD 122,571 143,055 0.08Hysan Development Co Ltd 10,000 HKD 42,042 39,862 0.02MTR Corp Ltd 8,000 HKD 41,735 44,563 0.02


100






HONG KONG (continued) New World Development Co Ltd 19,500 HKD 101,121 101,339 0.05Sino Land Co Ltd 44,000 HKD 57,638 69,364 0.04Sun Hung Kai Properties Ltd 10,500 HKD 158,455 156,467 0.08Swire Properties Ltd 21,400 HKD 64,753 63,806 0.03Techtronic Industries Co Ltd 4,000 HKD 73,914 69,858 0.04Wharf Holdings Ltd 11,000 HKD 24,820 41,936 0.02

1,537,954 1,623,405 0.84

IRELAND Accenture Plc 3,752 USD 789,590 1,106,052 0.60Aon Plc 885 USD 173,697 211,303 0.11Eaton Corp Plc 3,094 USD 272,456 458,469 0.25Jazz Pharmaceuticals Plc 391 USD 44,450 69,457 0.04Johnson Controls International Plc 6,563 USD 244,471 450,419 0.24Medtronic Plc 2,539 USD 248,367 315,166 0.17Pentair Plc 1,677 USD 67,965 113,181 0.06Perrigo Co Plc 921 USD 44,774 42,228 0.02Seagate Technology Holdings Plc 3,517 USD 163,544 309,250 0.17Smurfit Kappa Group Plc 2,163 EUR 88,093 117,339 0.06Trane Technologies Plc 3,217 USD 399,336 592,378 0.32

2,536,743 3,785,242 2.04

ISRAEL Bank Hapoalim BM 4,150 ILS 32,338 33,300 0.02Bank Leumi Le-Israel BM 7,155 ILS 51,955 54,340 0.03Check Point Software Technologies Ltd 536 USD 53,554 62,246 0.03

137,847 149,886 0.08

ITALY Assicurazioni Generali SpA 8,502 EUR 149,606 170,423 0.09Eni SpA 7,960 EUR 111,089 96,934 0.05Intesa Sanpaolo SpA 58,123 EUR 141,691 160,548 0.09Mediobanca Banca di Credito Finanziario SpA 4,581 EUR 47,252 53,504 0.03Poste Italiane SpA 6,965 EUR 77,235 92,085 0.05Snam SpA 3,682 EUR 17,569 21,284 0.01Telecom Italia SpA 184,224 EUR 98,958 91,506 0.05Terna SPA 3,858 EUR 25,006 28,747 0.02UniCredit SpA 3,948 EUR 38,389 46,579 0.03

706,795 761,610 0.42


101






JAPAN ABC-Mart Inc 600 JPY 33,013 34,403 0.02Advantest Corp 1,800 JPY 66,089 162,186 0.09Aeon Co Ltd 4,000 JPY 91,710 107,476 0.06AGC Inc 1,000 JPY 28,223 41,946 0.02Aisin Corp 2,200 JPY 73,239 94,064 0.05Ajinomoto Co Inc 4,900 JPY 85,765 127,203 0.07Alfresa Holdings Corp 2,100 JPY 43,644 31,360 0.02Alps Alpine Co Ltd 1,500 JPY 20,599 15,838 0.01Amada Co Ltd 3,300 JPY 35,959 33,358 0.02Asahi Group Holdings Ltd 2,100 JPY 87,642 98,124 0.05Asics Corp 400 JPY 5,805 10,125 0.01Astellas Pharma Inc 11,500 JPY 178,619 200,250 0.11Azbil Corp 900 JPY 39,243 37,306 0.02Bandai Namco Holdings Inc 400 JPY 17,736 27,753 0.02Benesse Holdings Inc 1,100 JPY 29,879 27,358 0.01Bridgestone Corp 3,700 JPY 135,943 168,356 0.09Brother Industries Ltd 4,300 JPY 86,890 85,810 0.05Canon Inc 8,600 JPY 210,963 194,535 0.11Casio Computer Co Ltd 2,100 JPY 30,796 35,102 0.02Central Japan Railway Co 100 JPY 21,695 15,167 0.01Chiba Bank Ltd 5,100 JPY 34,646 30,712 0.02Chugai Pharmaceutical Co Ltd 600 JPY 12,696 23,774 0.01Dai Nippon Printing Co Ltd 2,800 JPY 62,519 59,203 0.03Dai-ichi Life Holdings Inc 7,800 JPY 106,250 142,808 0.08Daiichi Sankyo Co Ltd 2,400 JPY 48,852 51,729 0.03Daikin Industries Ltd 400 JPY 46,836 74,495 0.04Daito Trust Construction Co Ltd 400 JPY 43,864 43,746 0.02Daiwa House Industry Co Ltd 4,500 JPY 130,830 135,087 0.07Daiwa Securities Group Inc 17,500 JPY 90,702 96,105 0.05Denso Corp 2,400 JPY 96,982 163,730 0.09Dentsu Group Inc 1,300 JPY 43,620 46,514 0.03DIC Corp 600 JPY 15,358 15,149 0.01East Japan Railway Co 900 JPY 77,615 64,218 0.03Ebara Corp 1,000 JPY 30,783 49,237 0.03Eisai Co Ltd 700 JPY 55,697 68,838 0.04ENEOS Holdings Inc 16,650 JPY 76,631 69,675 0.04FANUC Corp 100 JPY 16,939 24,119 0.01Fast Retailing Co Ltd 100 JPY 51,531 75,278 0.04Fuji Electric Co Ltd 1,500 JPY 36,657 70,075 0.04Fuji Media Holdings Inc 4,700 JPY 57,469 52,206 0.03FUJIFILM Holdings Corp 1,800 JPY 83,444 133,491 0.07


102






JAPAN (continued) Fujitsu Ltd 1,200 JPY 107,800 224,673 0.12Furukawa Electric Co Ltd 1,400 JPY 37,355 34,869 0.02H.U. Group Holdings Inc 1,500 JPY 39,896 38,670 0.02Hamamatsu Photonics KK 200 JPY 7,165 12,062 0.01Haseko Corp 3,800 JPY 51,664 52,060 0.03Hikari Tsushin Inc 100 JPY 20,777 17,562 0.01Hino Motors Ltd 900 JPY 8,409 7,915 0.00Hirose Electric Co Ltd 400 JPY 45,851 58,509 0.03Hisamitsu Pharmaceutical Co Inc 700 JPY 32,152 34,466 0.02Hitachi Ltd 1,500 JPY 47,945 85,886 0.05Honda Motor Co Ltd 3,000 JPY 83,516 95,864 0.05Hoya Corp 400 JPY 33,935 53,036 0.03Hulic Co Ltd 5,200 JPY 53,447 58,509 0.03Ibiden Co Ltd 800 JPY 39,264 43,134 0.02Inpex Corp 7,000 JPY 43,151 52,235 0.03Isuzu Motors Ltd 2,700 JPY 29,149 35,653 0.02Ito En Ltd 800 JPY 46,383 47,455 0.03ITOCHU Corp 6,200 JPY 157,111 178,586 0.10J Front Retailing Co Ltd 6,200 JPY 60,086 54,971 0.03Japan Exchange Group Inc 1,400 JPY 30,434 31,127 0.02Japan Post Insurance Co Ltd 1,400 JPY 30,285 25,884 0.01JSR Corp 3,300 JPY 69,340 99,807 0.05JTEKT Corp 800 JPY 10,844 8,202 0.00Kajima Corp 3,000 JPY 37,787 37,995 0.02Kao Corp 2,100 JPY 159,647 129,200 0.07KDDI Corp 9,500 JPY 260,894 296,301 0.16Keyence Corp 400 JPY 170,905 201,881 0.11Kirin Holdings Co Ltd 3,900 JPY 80,504 76,038 0.04Koito Manufacturing Co Ltd 700 JPY 28,311 43,539 0.02Komatsu Ltd 3,600 JPY 74,719 89,453 0.05Konica Minolta Inc 9,100 JPY 61,581 50,294 0.03Kubota Corp 5,400 JPY 85,397 109,220 0.06Kurita Water Industries Ltd 1,000 JPY 28,111 47,977 0.03Kyocera Corp 1,500 JPY 92,417 92,732 0.05Lion Corp 1,200 JPY 25,794 20,329 0.01Lixil Corp 3,700 JPY 79,386 95,685 0.05Mabuchi Motor Co Ltd 600 JPY 21,951 22,683 0.01Marubeni Corp 8,000 JPY 54,552 69,569 0.04Marui Group Co Ltd 2,100 JPY 37,523 39,469 0.02Mazda Motor Corp 4,900 JPY 48,468 46,047 0.02MEIJI Holdings Co Ltd 300 JPY 20,443 17,958 0.01MINEBEA MITSUMI Inc 1,500 JPY 30,671 39,682 0.02


103






JAPAN (continued) Mitsubishi Chemical Holdings Corp 5,000 JPY 35,839 42,014 0.02Mitsubishi Corp 7,200 JPY 178,862 196,243 0.11Mitsubishi Electric Corp 7,400 JPY 99,302 107,408 0.06Mitsubishi Estate Co Ltd 4,600 JPY 79,351 74,386 0.04Mitsubishi Heavy Industries Ltd 1,900 JPY 70,015 55,908 0.03Mitsubishi UFJ Financial Group Inc 51,100 JPY 257,925 276,026 0.15Mitsui & Co Ltd 7,900 JPY 142,852 177,811 0.10Mitsui Chemicals Inc 1,200 JPY 39,335 41,424 0.02Mitsui Fudosan Co Ltd 1,400 JPY 31,727 32,425 0.02Mizuho Financial Group Inc 12,360 JPY 181,142 176,619 0.10MS&AD Insurance Group Holdings Inc 3,600 JPY 110,779 103,954 0.06Murata Manufacturing Co Ltd 2,000 JPY 116,112 152,698 0.08Nabtesco Corp 800 JPY 23,270 30,244 0.02NEC Corp 2,100 JPY 91,099 108,124 0.06Nexon Co Ltd 1,400 JPY 44,978 31,202 0.02NGK Insulators Ltd 3,200 JPY 40,317 53,691 0.03NGK Spark Plug Co Ltd 4,200 JPY 71,652 62,228 0.03NH Foods Ltd 900 JPY 36,606 34,997 0.02Nidec Corp 200 JPY 11,977 23,178 0.01Nikon Corp 3,700 JPY 53,483 39,466 0.02Nintendo Co Ltd 400 JPY 187,434 232,666 0.13Nippon Express Co Ltd 500 JPY 37,954 38,076 0.02Nippon Telegraph & Telephone Corp 12,800 JPY 303,374 333,495 0.18Nippon Television Holdings Inc 2,300 JPY 29,697 26,645 0.01Nippon Yusen KK 1,300 JPY 51,898 65,881 0.04Nissin Foods Holdings Co Ltd 400 JPY 25,886 28,804 0.02Nitori Holdings Co Ltd 200 JPY 37,066 35,393 0.02Nitto Denko Corp 1,400 JPY 73,226 104,469 0.06Nomura Holdings Inc 13,200 JPY 58,507 67,464 0.04Nomura Real Estate Holdings Inc 700 JPY 13,821 17,756 0.01Nomura Research Institute Ltd 4,000 JPY 82,889 132,319 0.07NSK Ltd 4,700 JPY 40,821 39,725 0.02NTT Data Corp 2,500 JPY 33,976 38,998 0.02Obayashi Corp 8,900 JPY 76,439 70,739 0.04Oji Holdings Corp 4,700 JPY 31,019 26,991 0.01Omron Corp 1,500 JPY 78,946 118,952 0.06Ono Pharmaceutical Co Ltd 1,400 JPY 26,775 31,240 0.02Open House Co Ltd 900 JPY 41,533 42,288 0.02Oriental Land Co Ltd 200 JPY 19,635 28,498 0.02ORIX Corp 2,200 JPY 35,430 37,121 0.02


104






JAPAN (continued) Otsuka Corp 700 JPY 31,828 36,734 0.02Otsuka Holdings Co Ltd 700 JPY 29,671 29,028 0.02Panasonic Corp 3,100 JPY 25,779 35,871 0.02Rakuten Group Inc 2,400 JPY 28,480 27,090 0.01Recruit Holdings Co Ltd 2,500 JPY 93,270 123,093 0.07Resona Holdings Inc 10,600 JPY 46,721 40,761 0.02Ricoh Co Ltd 9,600 JPY 93,133 107,756 0.06Rohm Co Ltd 400 JPY 27,733 36,977 0.02Santen Pharmaceutical Co Ltd 900 JPY 13,777 12,395 0.01SCSK Corp 300 JPY 14,893 17,877 0.01Secom Co Ltd 1,100 JPY 93,857 83,608 0.05Seiko Epson Corp 3,900 JPY 57,101 68,595 0.04Sekisui Chemical Co Ltd 1,600 JPY 24,694 27,350 0.01Sekisui House Ltd 5,700 JPY 111,192 116,904 0.06Shimadzu Corp 900 JPY 32,955 34,795 0.02Shimamura Co Ltd 300 JPY 33,499 28,786 0.02Shimano Inc 200 JPY 47,667 47,437 0.03Shimizu Corp 4,400 JPY 31,362 33,744 0.02Shin-Etsu Chemical Co Ltd 700 JPY 73,245 117,071 0.06Shionogi & Co Ltd 800 JPY 44,960 41,701 0.02Shizuoka Bank Ltd 300 JPY 2,775 2,320 0.00SMC Corp 100 JPY 59,945 59,094 0.03SoftBank Corp 4,500 JPY 61,257 58,875 0.03SoftBank Group Corp 2,200 JPY 83,272 153,967 0.08Sojitz Corp 14,300 JPY 42,167 43,121 0.02Sompo Holdings Inc 2,400 JPY 81,478 88,703 0.05Sony Group Corp 3,500 JPY 251,432 340,722 0.18Stanley Electric Co Ltd 1,200 JPY 34,442 34,727 0.02Subaru Corp 3,800 JPY 96,253 74,960 0.04SUMCO Corp 2,300 JPY 35,704 56,416 0.03Sumitomo Corp 3,700 JPY 49,909 49,558 0.03Sumitomo Electric Industries Ltd 6,600 JPY 88,429 97,371 0.05Sumitomo Heavy Industries Ltd 200 JPY 6,763 5,509 0.00Sumitomo Mitsui Financial Group Inc 4,000 JPY 132,853 137,900 0.07Sumitomo Mitsui Trust Holdings Inc 1,900 JPY 69,021 60,338 0.03Sumitomo Rubber Industries Ltd 3,600 JPY 42,109 49,676 0.03Suntory Beverage & Food Ltd 1,900 JPY 74,572 71,488 0.04Suzuken Co Ltd 800 JPY 30,539 23,439 0.01Suzuki Motor Corp 200 JPY 6,858 8,463 0.00T&D Holdings Inc 2,500 JPY 28,321 32,315 0.02Taisei Corp 300 JPY 14,526 9,829 0.01


105






JAPAN (continued) Taisho Pharmaceutical Holdings Co Ltd 500 JPY 31,832 26,779 0.01Takashimaya Co Ltd 1,300 JPY 14,791 14,136 0.01Takeda Pharmaceutical Co Ltd 3,500 JPY 127,908 117,166 0.06TBS Holdings Inc 1,200 JPY 24,861 18,427 0.01TDK Corp 900 JPY 68,807 109,285 0.06Terumo Corp 200 JPY 5,565 8,105 0.00TIS Inc 1,500 JPY 34,754 38,305 0.02Toho Co Ltd 800 JPY 31,547 32,981 0.02Tokio Marine Holdings Inc 1,900 JPY 92,275 87,360 0.05Tokyo Electron Ltd 600 JPY 126,441 259,670 0.14Tokyo Gas Co Ltd 2,800 JPY 67,974 52,852 0.03Tokyo Tatemono Co Ltd 2,500 JPY 38,344 35,645 0.02TOPPAN Inc 3,300 JPY 55,626 53,022 0.03Toray Industries Inc 6,300 JPY 29,768 41,913 0.02TOTO Ltd 700 JPY 37,993 36,230 0.02Toyo Seikan Group Holdings Ltd 1,500 JPY 24,177 20,482 0.01Toyoda Gosei Co Ltd 1,300 JPY 27,401 32,004 0.02Toyota Industries Corp 700 JPY 37,843 60,552 0.03Toyota Motor Corp 2,600 JPY 165,799 227,247 0.12Toyota Tsusho Corp 1,500 JPY 44,647 70,885 0.04Unicharm Corp 200 JPY 6,294 8,047 0.00USS Co Ltd 1,500 JPY 29,075 26,167 0.01Welcia Holdings Co Ltd 1,100 JPY 34,339 35,942 0.02Yamada Holdings Co Ltd 9,900 JPY 53,654 45,715 0.02Yamaha Corp 400 JPY 17,548 21,711 0.01Yamaha Motor Co Ltd 3,800 JPY 54,915 103,299 0.06Yamato Holdings Co Ltd 1,600 JPY 45,763 45,511 0.02Yokogawa Electric Corp 3,100 JPY 57,952 46,321 0.03Yokohama Rubber Co Ltd 1,000 JPY 19,833 21,414 0.01Z Holdings Corp 7,700 JPY 31,549 38,592 0.02

11,719,059 13,514,791 7.33

JERSEY Aptiv Plc 2,993 USD 255,205 470,889 0.25Experian Plc 1,201 GBP 43,208 46,285 0.03Ferguson Plc 1,526 GBP 157,351 212,147 0.11WPP Plc 14,011 GBP 159,538 188,814 0.10

615,302 918,135 0.49

LIBERIA Royal Caribbean Cruises Ltd 1,144 USD 93,492 97,560 0.05

93,492 97,560 0.05


106






LUXEMBOURG B&M European Value Retail SA 14,756 GBP 111,493 117,001 0.06Millicom International Cellular SA 721 SEK 32,387 28,543 0.02

143,880 145,544 0.08

NETHERLANDS ABN AMRO Bank NV 3,326 EUR 59,154 40,195 0.02Aegon NV 27,075 EUR 125,074 112,333 0.06AerCap Holdings NV 693 USD 40,832 35,489 0.02Akzo Nobel NV 2,130 EUR 199,656 263,172 0.14ASM International NV 500 EUR 160,746 164,226 0.09ASML Holding NV 1,278 EUR 425,564 878,016 0.48CNH Industrial NV 7,069 USD 215,341 304,562 0.16EXOR NV 434 EUR 36,581 34,767 0.02Ferrari NV 166 USD 29,127 34,204 0.02Heineken Holding NV 120 EUR 9,507 12,088 0.01Heineken NV 596 EUR 55,249 72,225 0.04ING Groep NV 14,120 EUR 141,696 186,515 0.10Koninklijke Ahold Delhaize NV 4,652 EUR 121,286 138,289 0.07Koninklijke DSM NV 1,017 EUR 117,554 189,810 0.10Koninklijke KPN NV 46,510 EUR 143,895 145,263 0.08Koninklijke Philips NV 2,386 EUR 105,753 118,232 0.06Koninklijke Vopak NV 856 EUR 44,826 38,875 0.02LyondellBasell Industries NV 1,156 USD 78,992 118,918 0.06NN Group NV 4,097 EUR 175,392 193,252 0.10NXP Semiconductors NV 2,205 USD 250,729 453,613 0.25Randstad NV 1,795 EUR 103,181 137,283 0.07Stellantis NV 5,124 EUR 65,231 100,493 0.05STMicroelectronics NV 7,549 EUR 171,250 273,952 0.15Wolters Kluwer NV 1,353 EUR 105,528 135,918 0.07

2,982,144 4,181,690 2.24

NEW ZEALAND Fletcher Building Ltd 7,207 NZD 35,272 37,883 0.02Meridian Energy Ltd 16,717 NZD 48,947 62,282 0.03Spark New Zealand Ltd 17,795 NZD 49,480 59,706 0.03

133,699 159,871 0.08


107






NORWAY DNB ASA 4,911 NOK 73,502 107,002 0.06Entra ASA 2,288 NOK 49,119 52,296 0.03Equinor ASA 3,494 NOK 58,165 73,929 0.04Gjensidige Forsikring ASA 1,595 NOK 36,039 35,160 0.02Orkla ASA 5,036 NOK 46,485 51,295 0.03Schibsted ASA 807 NOK 37,219 38,953 0.02Schibsted ASA 821 NOK 23,878 34,193 0.02SpareBank 1 SR-Bank ASA 3,218 NOK 44,515 42,495 0.02Telenor ASA 3,831 NOK 68,983 64,561 0.03

437,905 499,884 0.27

PANAMA Carnival Corp 2,164 USD 94,402 57,043 0.03

94,402 57,043 0.03

PORTUGAL Galp Energia SGPS SA 1,166 EUR 17,926 12,653 0.01Jeronimo Martins SGPS SA 3,610 EUR 57,069 65,835 0.04

74,995 78,488 0.05

SINGAPORE CapitaLand Ltd 3,500 SGD 8,508 9,656 0.01City Developments Ltd 4,400 SGD 28,148 23,854 0.01ComfortDelGro Corp Ltd 11,700 SGD 20,700 14,269 0.01DBS Group Holdings Ltd 8,700 SGD 146,659 192,866 0.10Jardine Cycle & Carriage Ltd 1,700 SGD 29,753 27,004 0.01Oversea-Chinese Banking Corp Ltd 6,400 SGD 54,689 56,875 0.03Singapore Exchange Ltd 9,500 SGD 66,478 78,984 0.04Singapore Telecommunications Ltd 104,300 SGD 219,220 177,621 0.10United Overseas Bank Ltd 5,300 SGD 85,637 101,767 0.06UOL Group Ltd 8,800 SGD 50,825 47,773 0.03Venture Corp Ltd 5,800 SGD 75,812 82,857 0.04

786,429 813,526 0.44


108






SPAIN ACS Actividades de Construccion y Servicios SA 221 EUR 8,267 5,920 0.00Aena SME SA 29 EUR 4,653 4,756 0.00Amadeus IT Group SA 612 EUR 46,184 43,047 0.02Banco Bilbao Vizcaya Argentaria SA 42,497 EUR 157,840 263,443 0.14Banco Santander SA 29,990 EUR 95,198 114,487 0.06Enagas SA 1,693 EUR 43,158 39,116 0.02Iberdrola SA 10,101 EUR 87,935 123,126 0.07Industria de Diseno Textil SA 7,968 EUR 239,593 280,702 0.15Naturgy Energy Group SA 1,455 EUR 38,407 37,404 0.02Repsol SA 2,734 EUR 35,932 34,214 0.02Right ACS Actividades de Construccion y Servicios SA 221 EUR - 309 0.00Telefonica SA 57,294 EUR 328,563 267,737 0.14

1,085,730 1,214,261 0.64

SWEDEN Assa Abloy AB 1,541 SEK 44,903 46,420 0.03Atlas Copco AB 1,825 SEK 54,937 101,348 0.05Boliden AB 1,613 SEK 39,411 62,009 0.03Castellum AB 776 SEK 15,179 19,749 0.01Electrolux AB 3,761 SEK 62,432 104,285 0.06Epiroc AB 4,224 SEK 52,567 96,245 0.05Essity AB 2,443 SEK 72,574 81,013 0.04H & M Hennes & Mauritz AB 2,159 SEK 51,953 51,212 0.03Hexagon AB 3,605 SEK 47,782 53,413 0.03Holmen AB 839 SEK 40,316 37,871 0.02Husqvarna AB 4,571 SEK 50,960 60,729 0.03Industrivarden AB 1,291 SEK 49,318 50,203 0.03Investor AB - Shs A 2,336 SEK 51,010 53,322 0.03Investor AB - Shs B 9,800 SEK 181,868 225,873 0.12Kinnevik AB 3,070 SEK 92,678 122,899 0.07L E Lundbergforetagen AB 746 SEK 42,858 48,135 0.03Lundin Energy AB 1,293 SEK 35,241 45,748 0.02Sandvik AB 1,360 SEK 20,971 34,738 0.02Securitas AB 3,047 SEK 52,307 48,100 0.03Skandinaviska Enskilda Banken AB 10,988 SEK 101,669 141,938 0.08Skanska AB 1,742 SEK 29,452 46,206 0.03SKF AB 3,126 SEK 54,891 79,592 0.04Svenska Cellulosa AB SCA 3,997 SEK 73,562 65,503 0.04Svenska Handelsbanken AB 13,204 SEK 139,721 148,979 0.08Tele2 AB 7,528 SEK 102,262 102,565 0.06Telefonaktiebolaget LM Ericsson 11,398 SEK 100,707 143,252 0.08Telia Co AB 36,940 SEK 159,440 163,936 0.09Volvo AB 1,067 SEK 14,393 25,671 0.01

1,835,362 2,260,954 1.24


109






SWITZERLAND ABB Ltd 7,156 CHF 157,222 242,774 0.13Adecco Group AG 2,139 CHF 144,288 145,320 0.08Baloise Holding AG 181 CHF 29,845 28,228 0.02Chubb Ltd 2,612 USD 375,510 415,151 0.22Cie Financiere Richemont SA 2,788 CHF 193,316 337,332 0.18Coca-Cola HBC AG 3,173 GBP 92,893 114,734 0.06Garmin Ltd 1,152 USD 129,640 166,625 0.09Geberit AG 86 CHF 41,453 64,506 0.03Givaudan SA 7 CHF 28,918 32,554 0.02Kuehne + Nagel International AG 284 CHF 94,650 97,178 0.05Logitech International SA 299 CHF 36,701 36,226 0.02Lonza Group AG 55 CHF 33,902 38,983 0.02Nestle SA 7,131 CHF 719,722 888,013 0.48Novartis AG 9,144 CHF 778,076 833,312 0.45Partners Group Holding AG 28 CHF 40,181 42,412 0.02Roche Holding AG 1,928 CHF 622,747 726,295 0.39Roche Holding AG 64 CHF 17,503 25,994 0.01SGS SA 31 CHF 72,998 95,622 0.05Sonova Holding AG 205 CHF 72,336 77,103 0.04Swatch Group AG 422 CHF 126,119 144,764 0.08Swiss Life Holding AG 370 CHF 161,401 179,791 0.10Swiss Re AG 2,251 CHF 201,472 203,095 0.11Swisscom AG 412 CHF 216,947 235,200 0.13TE Connectivity Ltd 2,859 USD 234,402 386,565 0.21UBS Group AG 18,413 CHF 220,545 281,792 0.15Zurich Insurance Group AG 693 CHF 251,180 278,024 0.15

5,093,967 6,117,593 3.29

UNITED STATES (U.S.A.) 3M Co 1,594 USD 260,119 316,616 0.17Abbott Laboratories 758 USD 61,532 87,875 0.05AbbVie Inc 4,339 USD 360,714 488,745 0.26Activision Blizzard Inc 2,361 USD 218,718 225,334 0.12Adobe Inc 1,182 USD 468,291 692,226 0.37Advance Auto Parts Inc 1,057 USD 190,681 216,833 0.12Aflac Inc 6,893 USD 329,590 369,878 0.20Agilent Technologies Inc 1,452 USD 131,820 214,620 0.12Akamai Technologies Inc 1,725 USD 144,918 201,135 0.11Alexion Pharmaceuticals Inc 1,369 USD 173,375 251,499 0.14Allstate Corp 3,535 USD 360,061 461,105 0.25Ally Financial Inc 3,058 USD 135,488 152,411 0.08


110






UNITED STATES (U.S.A.) (continued) Alphabet Inc - Class C 561 USD 799,431 1,406,046 0.76Alphabet Inc - Class A 492 USD 702,527 1,201,361 0.65Amazon.com Inc 702 USD 1,514,750 2,414,992 1.31American Express Co 3,880 USD 509,590 641,092 0.35American Financial Group Inc 588 USD 57,448 73,335 0.04American International Group Inc 818 USD 39,593 38,937 0.02Ameriprise Financial Inc 1,829 USD 270,412 455,202 0.25AmerisourceBergen Corp 1,532 USD 156,266 175,399 0.09Amgen Inc 4,205 USD 886,901 1,024,969 0.55Analog Devices Inc 1,296 USD 141,897 223,119 0.12ANSYS Inc 255 USD 84,412 88,500 0.05Anthem Inc 2,041 USD 595,823 779,254 0.42Apple Inc 52,543 USD 3,680,621 7,196,288 3.89Applied Materials Inc 7,910 USD 396,705 1,126,384 0.61Arista Networks Inc 212 USD 67,848 76,810 0.04Arrow Electronics Inc 1,256 USD 152,940 142,970 0.08AT&T Inc 45,325 USD 1,457,703 1,304,454 0.71Autodesk Inc 638 USD 134,124 186,232 0.10Automatic Data Processing Inc 1,504 USD 275,292 298,724 0.16AutoZone Inc 249 USD 309,158 371,563 0.20Avery Dennison Corp 1,035 USD 143,820 217,598 0.12Baker Hughes Co 1,034 USD 32,253 23,648 0.01Ball Corp 1,872 USD 121,159 151,669 0.08Bank of America Corp 24,981 USD 650,211 1,029,967 0.56Bank of New York Mellon Corp 8,483 USD 367,059 434,584 0.24Berkshire Hathaway Inc 5,243 USD 1,278,895 1,457,135 0.79Best Buy Co Inc 4,024 USD 333,050 462,680 0.25Biogen Inc 2,219 USD 629,170 768,373 0.42Bio-Rad Laboratories Inc 63 USD 36,576 40,590 0.02BlackRock Inc 491 USD 225,960 429,610 0.23Booking Holdings Inc 91 USD 204,697 199,116 0.11BorgWarner Inc 1,624 USD 57,252 78,829 0.04Bristol-Myers Squibb Co 7,220 USD 405,761 482,440 0.26Broadcom Inc 682 USD 247,292 325,205 0.18Broadridge Financial Solutions Inc 902 USD 140,706 145,700 0.08Cadence Design Systems Inc 469 USD 61,009 64,169 0.03Campbell Soup Co 2,865 USD 138,641 130,615 0.07Capital One Financial Corp 1,624 USD 213,496 251,217 0.14Cardinal Health Inc 2,153 USD 117,533 122,915 0.07CarMax Inc 1,103 USD 144,538 142,452 0.08Caterpillar Inc 2,316 USD 311,176 504,031 0.27


111






UNITED STATES (U.S.A.) (continued) Cboe Global Markets Inc 423 USD 46,789 50,358 0.03CBRE Group Inc 4,605 USD 253,791 394,787 0.21CDW Corp 713 USD 115,852 124,525 0.07Celanese Corp 1,018 USD 114,670 154,329 0.08Cerner Corp 2,252 USD 160,084 176,016 0.10Charles Schwab Corp 5,312 USD 221,648 386,767 0.21Charter Communications Inc 232 USD 144,527 167,376 0.09Chevron Corp 1,717 USD 175,739 179,839 0.10Church & Dwight Co Inc 438 USD 30,845 37,326 0.02Cigna Corp 3,309 USD 696,980 784,465 0.42Cincinnati Financial Corp 391 USD 47,125 45,598 0.02Cisco Systems Inc 26,701 USD 1,238,179 1,415,153 0.77Citigroup Inc 12,256 USD 692,438 867,112 0.47Citizens Financial Group Inc 3,649 USD 174,569 167,380 0.09Citrix Systems Inc 1,567 USD 181,383 183,762 0.10Clorox Co 1,145 USD 187,720 205,997 0.11CME Group Inc 2,340 USD 462,456 497,671 0.27Coca-Cola Co 4,288 USD 218,235 232,024 0.13Cognex Corp 558 USD 43,538 46,900 0.03Cognizant Technology Solutions Corp 6,137 USD 409,091 425,049 0.23Colgate-Palmolive Co 4,637 USD 322,795 377,220 0.20Comcast Corp 16,143 USD 780,050 920,474 0.50ConocoPhillips 2,788 USD 162,228 169,789 0.09Consolidated Edison Inc 730 USD 54,073 52,356 0.03Corning Inc 5,328 USD 157,043 217,915 0.12Costco Wholesale Corp 664 USD 226,574 262,725 0.14CSX Corp 12,906 USD 383,425 414,024 0.22Cummins Inc 2,193 USD 412,714 534,675 0.29CVS Health Corp 11,631 USD 821,515 970,491 0.54Danaher Corp 620 USD 97,116 166,383 0.09Darling Ingredients Inc 728 USD 51,389 49,140 0.03DaVita Inc 1,142 USD 94,830 137,531 0.07Deere & Co 1,784 USD 475,507 629,235 0.34Dell Technologies Inc 1,984 USD 127,237 197,745 0.11Delta Air Lines Inc 1,348 USD 62,042 58,314 0.03DENTSPLY SIRONA Inc 786 USD 39,412 49,722 0.03Discover Financial Services 2,873 USD 213,527 339,847 0.18Discovery Inc - Class A 1,380 USD 78,916 42,338 0.02Discovery Inc - Class C 2,397 USD 150,331 69,465 0.04Dollar General Corp 1,487 USD 300,249 321,772 0.17Dollar Tree Inc 1,009 USD 111,184 100,396 0.05


112






UNITED STATES (U.S.A.) (continued)

Dow Inc 2,180 USD 140,535 137,950 0.07

DR Horton Inc 1,490 USD 136,082 134,651 0.07

DuPont de Nemours Inc 5,922 USD 352,907 458,422 0.25

Eastman Chemical Co 337 USD 24,909 39,345 0.02

eBay Inc 7,354 USD 291,904 516,324 0.28

Edwards Lifesciences Corp 2,471 USD 161,670 255,921 0.14

Electronic Arts Inc 3,465 USD 455,308 498,371 0.27

Eli Lilly & Co 1,726 USD 205,463 396,152 0.21

Emerson Electric Co 3,261 USD 227,340 313,839 0.17

Eversource Energy 428 USD 34,635 34,343 0.02

Exelon Corp 4,348 USD 182,404 192,660 0.10

Expeditors International of Washington Inc 1,014 USD 72,201 128,372 0.07

Exxon Mobil Corp 12,719 USD 707,404 802,315 0.43

F5 Networks Inc 41 USD 7,389 7,653 0.00

Facebook Inc 1,805 USD 331,776 627,617 0.34

Fastenal Co 1,171 USD 40,508 60,892 0.03

FedEx Corp 610 USD 170,560 181,981 0.10

Fidelity National Financial Inc 2,045 USD 89,140 88,876 0.05

Fidelity National Information Services Inc 644 USD 96,531 91,235 0.05

Fifth Third Bancorp 5,027 USD 134,539 192,182 0.10

Ford Motor Co 30,609 USD 226,788 454,850 0.25

Fortinet Inc 142 USD 30,569 33,823 0.02

Fox Corp - Class A 1,838 USD 70,808 68,245 0.04

Fox Corp - Class B 2,020 USD 74,506 71,104 0.04

Franklin Resources Inc 2,739 USD 78,635 87,621 0.05

General Mills Inc 6,615 USD 380,750 403,052 0.22

General Motors Co 6,123 USD 204,484 362,298 0.20

Genuine Parts Co 2,342 USD 274,688 296,193 0.16

Gilead Sciences Inc 11,900 USD 821,959 819,434 0.44

Global Payments Inc 142 USD 28,724 26,631 0.01

Globe Life Inc 1,080 USD 106,420 102,870 0.06

Goldman Sachs Group Inc 2,611 USD 535,612 990,953 0.54

Halliburton Co 3,051 USD 43,598 70,539 0.04

Hartford Financial Services Group Inc 4,745 USD 238,358 294,048 0.16

Hasbro Inc 808 USD 73,967 76,372 0.04

HCA Healthcare Inc 573 USD 74,099 118,462 0.06

Henry Schein Inc 2,485 USD 160,683 184,362 0.10

Hershey Co 671 USD 88,416 116,875 0.06

Hewlett Packard Enterprise Co 22,832 USD 299,409 332,891 0.18


113






UNITED STATES (U.S.A.) (continued) Hilton Worldwide Holdings Inc 1,814 USD 162,643 218,805 0.12Home Depot Inc 5,308 USD 1,271,686 1,692,668 0.92Honeywell International Inc 364 USD 52,416 79,843 0.04Hormel Foods Corp 592 USD 25,235 28,268 0.02HP Inc 21,373 USD 465,871 645,251 0.35Humana Inc 744 USD 264,075 329,384 0.18Huntington Bancshares Inc 14,071 USD 195,329 200,793 0.11Illinois Tool Works Inc 2,355 USD 382,642 526,484 0.29Illumina Inc 870 USD 327,482 411,693 0.22Intel Corp 24,593 USD 1,318,419 1,380,651 0.75Intercontinental Exchange Inc 2,819 USD 315,677 334,615 0.18International Business Machines Corp 7,320 USD 948,316 1,073,039 0.58International Paper Co 882 USD 31,783 54,075 0.03Interpublic Group of Cos Inc 5,246 USD 149,699 170,443 0.09Intuit Inc 613 USD 198,756 300,474 0.16IQVIA Holdings Inc 126 USD 28,885 30,532 0.02JB Hunt Transport Services Inc 213 USD 35,903 34,708 0.02JM Smucker Co 1,964 USD 218,716 254,475 0.14JPMorgan Chase & Co 6,538 USD 677,149 1,016,921 0.55Juniper Networks Inc 6,353 USD 161,516 173,755 0.09Kellogg Co 2,183 USD 139,337 140,432 0.08Keurig Dr Pepper Inc 2,349 USD 65,323 82,779 0.04KeyCorp 14,272 USD 204,812 294,717 0.16Keysight Technologies Inc 1,497 USD 187,757 231,152 0.14Kimberly-Clark Corp 3,245 USD 417,631 434,116 0.24Kinder Morgan Inc 5,356 USD 81,662 97,640 0.05KLA Corp 1,190 USD 175,623 385,810 0.21Kohl's Corp 2,358 USD 129,196 129,949 0.07Kraft Heinz Co 6,165 USD 189,532 251,409 0.14Kroger Co 10,706 USD 320,234 410,147 0.22Laboratory Corp of America Holdings 707 USD 159,643 195,026 0.11Lam Research Corp 1,457 USD 373,909 948,070 0.51Lear Corp 593 USD 83,556 103,941 0.06Lennar Corp - Shs A 1,990 USD 198,526 197,707 0.11Liberty Media Corp-Liberty SiriusXM 954 USD 41,329 44,256 0.02Lincoln National Corp 2,653 USD 144,247 166,715 0.09Live Nation Entertainment Inc 444 USD 40,096 38,890 0.02LKQ Corp 4,205 USD 173,372 206,970 0.11Loews Corp 1,014 USD 59,605 55,415 0.03Lowe's Cos Inc 4,975 USD 697,641 965,001 0.52Lululemon Athletica Inc 698 USD 183,165 254,749 0.14Lumen Technologies Inc 14,995 USD 158,099 203,782 0.11


114






UNITED STATES (U.S.A.) (continued) M&T Bank Corp 917 USD 136,996 133,249 0.07Marathon Petroleum Corp 797 USD 30,852 48,155 0.03Marsh & McLennan Cos Inc 1,053 USD 106,944 148,136 0.08Masco Corp 2,981 USD 139,830 175,611 0.11Mastercard Inc 1,588 USD 422,728 579,763 0.31McDonald's Corp 1,229 USD 251,868 283,887 0.15McKesson Corp 1,174 USD 205,124 224,516 0.12Merck & Co Inc 12,738 USD 942,058 990,634 0.54MetLife Inc 9,566 USD 460,983 572,525 0.31Mettler-Toledo International Inc 235 USD 234,382 325,555 0.18Micron Technology Inc 5,839 USD 260,199 496,198 0.27Microsoft Corp 22,538 USD 3,530,719 6,105,543 3.30Mohawk Industries Inc 878 USD 159,204 168,743 0.09Molson Coors Beverage Co 2,031 USD 117,279 109,044 0.06Mondelez International Inc 6,022 USD 323,748 376,014 0.20Moody's Corp 1,013 USD 269,084 367,081 0.20Morgan Stanley 10,957 USD 528,887 1,004,647 0.54Motorola Solutions Inc 941 USD 153,136 204,056 0.11MSCI Inc 184 USD 47,331 98,087 0.05Nasdaq Inc 573 USD 56,109 100,733 0.06NetApp Inc 2,111 USD 125,086 172,722 0.09Netflix Inc 343 USD 184,937 181,176 0.10Newell Brands Inc 6,422 USD 155,257 176,412 0.11Newmont Corp 447 CAD 164,837 211,825 0.11NIKE Inc 2,154 USD 195,909 332,771 0.18Norfolk Southern Corp 1,248 USD 333,557 331,232 0.18Northern Trust Corp 2,716 USD 244,257 314,024 0.17NortonLifeLock Inc 9,209 USD 198,470 250,669 0.14Nuance Communications Inc 2,271 USD 121,418 123,633 0.07Nucor Corp 1,085 USD 109,556 104,084 0.06NVIDIA Corp 1,127 USD 299,067 901,713 0.49NVR Inc 13 USD 46,295 64,653 0.04Okta Inc 462 USD 104,798 113,042 0.06Old Dominion Freight Line Inc 427 USD 102,206 108,373 0.06Omnicom Group Inc 2,675 USD 191,387 213,973 0.12ONEOK Inc 978 USD 50,491 54,416 0.03Oracle Corp 12,434 USD 647,769 967,863 0.52O'Reilly Automotive Inc 956 USD 468,240 541,297 0.29Organon & Co 1,273 USD 47,131 38,521 0.02Owens Corning 1,004 USD 72,655 98,292 0.05


115






UNITED STATES (U.S.A.) (continued) PACCAR Inc 2,776 USD 238,769 247,758 0.13Packaging Corp of America 782 USD 69,301 105,898 0.06Palo Alto Networks Inc 244 USD 79,244 90,536 0.05Parker-Hannifin Corp 677 USD 116,486 207,913 0.11Paychex Inc 2,297 USD 211,005 246,468 0.13PayPal Holdings Inc 976 USD 132,582 284,484 0.15PepsiCo Inc 5,970 USD 800,054 884,575 0.48Pfizer Inc 18,348 USD 642,824 718,508 0.39PNC Financial Services Group Inc 3,496 USD 437,961 666,897 0.36Pool Corp 244 USD 107,154 111,913 0.06PPG Industries Inc 1,052 USD 132,036 178,598 0.10Principal Financial Group Inc 4,279 USD 228,488 270,390 0.15Procter & Gamble Co 4,271 USD 460,400 576,286 0.31Progressive Corp 1,907 USD 154,841 187,286 0.10Prudential Financial Inc 5,788 USD 471,416 593,096 0.32Public Service Enterprise Group Inc 1,555 USD 83,148 92,896 0.05PulteGroup Inc 3,339 USD 159,095 182,209 0.10Qorvo Inc 919 USD 94,462 179,802 0.10QUALCOMM Inc 5,105 USD 405,902 729,658 0.40Quest Diagnostics Inc 1,391 USD 171,156 183,570 0.10Regeneron Pharmaceuticals Inc 394 USD 153,528 220,065 0.12Regions Financial Corp 17,473 USD 282,256 352,605 0.19Rockwell Automation Inc 1,019 USD 171,002 291,454 0.16Roper Technologies Inc 88 USD 35,522 41,378 0.02Ross Stores Inc 1,661 USD 195,739 205,964 0.11S&P Global Inc 1,273 USD 365,627 522,503 0.28salesforce.com Inc 1,167 USD 234,431 285,063 0.15SEI Investments Co 1,558 USD 79,683 96,549 0.05Sempra Energy 1,234 USD 157,059 163,480 0.09ServiceNow Inc 169 USD 81,019 92,874 0.05Skyworks Solutions Inc 1,176 USD 140,260 225,498 0.12Snap-on Inc 156 USD 25,225 34,855 0.02Stanley Black & Decker Inc 432 USD 57,250 88,556 0.05Starbucks Corp 4,950 USD 364,833 553,460 0.30State Street Corp 4,194 USD 277,507 345,082 0.19Synchrony Financial 9,675 USD 348,608 469,431 0.25Synopsys Inc 502 USD 118,096 138,447 0.08Sysco Corp 2,977 USD 194,150 231,462 0.14T Rowe Price Group Inc 2,454 USD 281,833 485,818 0.26Take-Two Interactive Software Inc 356 USD 66,363 63,019 0.03


116






UNITED STATES (U.S.A.) (continued) Target Corp 3,437 USD 448,606 830,860 0.45Tesla Inc 325 USD 129,020 220,903 0.12Texas Instruments Inc 5,213 USD 607,446 1,002,460 0.54Thermo Fisher Scientific Inc 622 USD 206,561 313,780 0.17TJX Cos Inc 2,219 USD 146,873 149,605 0.08T-Mobile US Inc 1,019 USD 79,391 147,582 0.08Tractor Supply Co 961 USD 118,611 178,804 0.10Travelers Cos Inc 2,793 USD 366,161 418,140 0.23Trimble Inc 1,401 USD 103,270 114,644 0.06Truist Financial Corp 1,516 USD 57,080 84,138 0.05Ulta Beauty Inc 465 USD 123,609 160,783 0.09Union Pacific Corp 1,990 USD 391,546 437,661 0.24United Parcel Service Inc 979 USD 129,711 203,603 0.11United Rentals Inc 1,155 USD 164,179 368,457 0.20UnitedHealth Group Inc 1,997 USD 558,080 799,679 0.43US Bancorp 4,676 USD 258,143 266,392 0.14Valero Energy Corp 732 USD 59,007 57,155 0.03Verisk Analytics Inc 211 USD 29,910 36,866 0.02Verizon Communications Inc 23,975 USD 1,357,312 1,343,319 0.73VF Corp 3,317 USD 258,844 272,127 0.15ViacomCBS Inc 2,256 USD 207,283 101,971 0.07Viatris Inc 2,476 USD 38,809 35,382 0.02Visa Inc 2,876 USD 482,020 672,466 0.36VMware Inc 597 USD 97,390 95,502 0.05Voya Financial Inc 1,209 USD 66,719 74,354 0.04W R Berkley Corp 1,417 USD 79,634 105,467 0.06Walgreens Boots Alliance Inc 11,378 USD 597,064 598,597 0.32Walmart Inc 2,601 USD 287,216 366,793 0.20Walt Disney Co 2,552 USD 373,412 448,565 0.24Waste Management Inc 1,244 USD 126,544 174,297 0.09Waters Corp 1,055 USD 247,749 364,619 0.20West Pharmaceutical Services Inc 182 USD 51,580 65,356 0.05Western Digital Corp 2,702 USD 131,627 192,301 0.10Western Union Co 5,406 USD 136,182 124,176 0.07Westrock Co 2,963 USD 103,087 157,691 0.10Whirlpool Corp 952 USD 155,309 207,555 0.11Williams Cos Inc 2,542 USD 49,088 67,490 0.04Williams-Sonoma Inc 353 USD 57,938 56,356 0.03Workday Inc 415 USD 107,094 99,077 0.05WW Grainger Inc 573 USD 184,932 250,974 0.14Xylem Inc 999 USD 91,434 119,840 0.07


117






UNITED STATES (U.S.A.) (continued) Yum China Holdings Inc 577 USD 25,307 38,226 0.02Yum! Brands Inc 2,561 USD 254,321 294,592 0.16Zebra Technologies Corp 212 USD 107,176 112,252 0.06Zions Bancorp NA 1,696 USD 97,861 89,651 0.05Zoetis Inc 99 USD 8,664 18,450 0.01

81,624,888 109,653,846 59.47


2) LISTED SECURITIES : WARRANTS

SWITZERLAND Cie Financiere Richemont SA 5,576 CHF - 3,736 0.00

- 3,736 0.00

TOTAL LISTED SECURITIES : WARRANTS - 3,736 0.00



1) OTHER TRANSFERABLE SECURITIES : REAL ESTATE INVE STMENT TRUSTS

AUSTRALIA Dexus 10,141 AUD 82,450 81,148 0.04Goodman Group 5,943 AUD 67,943 94,354 0.05GPT Group 14,466 AUD 53,868 53,159 0.03Mirvac Group 18,437 AUD 37,678 40,374 0.02Scentre Group 31,101 AUD 74,234 63,908 0.03Stockland 45,219 AUD 151,417 158,030 0.09Vicinity Centres 45,430 AUD 56,062 52,639 0.03

523,652 543,612 0.29

CANADA Canadian Apartment Properties REIT 1,346 CAD 59,078 63,109 0.03RioCan Real Estate Investment Trust 1,811 CAD 27,561 32,258 0.02

86,639 95,367 0.05


118





1) OTHER TRANSFERABLE SECURITIES : REAL ESTATE INVE STMENT TRUSTS (continued)

CAYMAN ISLANDS Wharf Real Estate Investment Co Ltd 12,000 HKD 54,209 69,781 0.04

54,209 69,781 0.04

FRANCE Klepierre SA 2,452 EUR 66,282 63,179 0.03

66,282 63,179 0.03

GREAT BRITAIN British Land Co Plc 8,019 GBP 60,589 54,898 0.03Land Securities Group Plc 5,166 GBP 64,476 48,265 0.03

125,065 103,163 0.06

HONG KONG Link REIT 11,800 HKD 107,844 114,364 0.06

107,844 114,364 0.06

JAPAN Daiwa House REIT Investment Corp 15 JPY 40,388 44,219 0.02Iida Group Holdings Co Ltd 1,500 JPY 36,800 38,616 0.02Japan Metropolitan Fund Invest 40 JPY 27,965 43,350 0.02Nippon Building Fund Inc 6 JPY 35,726 37,427 0.02Nippon Prologis REIT Inc 12 JPY 38,057 38,184 0.02Nomura Real Estate Master Fund Inc 29 JPY 44,714 46,491 0.03Orix JREIT Inc 8 JPY 17,258 15,396 0.01

240,908 263,683 0.14

SINGAPORE Ascendas Real Estate Investment Trust 15,000 SGD 34,025 32,907 0.02CapitaLand Integrated Commercial Trust 31,800 SGD 47,712 49,425 0.03Mapletree Commercial Trust 22,100 SGD 33,934 35,499 0.02Suntec Real Estate Investment Trust 41,700 SGD 45,697 45,276 0.02

161,368 163,107 0.09

SWEDEN Fabege AB 4,293 SEK 63,064 68,874 0.04

63,064 68,874 0.04


119





1) OTHER TRANSFERABLE SECURITIES : REAL ESTATE INVE STMENT TRUSTS (continued)

UNITED STATES (U.S.A.) AGNC Investment Corp 3,593 USD 67,057 60,686 0.03Alexandria Real Estate Equities Inc 831 USD 141,763 151,192 0.08American Tower Corp 939 USD 213,076 253,661 0.14Annaly Capital Management Inc 16,193 USD 144,475 143,794 0.08AvalonBay Communities Inc 1,945 USD 349,221 405,902 0.22Boston Properties Inc 1,855 USD 195,488 212,564 0.12Crown Castle International Corp 923 USD 158,887 180,077 0.10Digital Realty Trust Inc 1,046 USD 144,778 157,381 0.09Duke Realty Corp 1,892 USD 75,538 89,586 0.05Equinix Inc 170 USD 113,145 136,442 0.07Equity Residential 3,873 USD 265,457 298,221 0.16Essex Property Trust Inc 683 USD 188,184 204,907 0.11Extra Space Storage Inc 571 USD 78,137 93,541 0.05Healthpeak Properties Inc 2,870 USD 93,694 95,542 0.05Host Hotels & Resorts Inc 10,181 USD 175,221 173,993 0.09Iron Mountain Inc 2,936 USD 81,400 124,252 0.07Macerich Co 27 USD 1,163 493 0.00Mid-America Apartment Communities Inc 772 USD 115,444 130,020 0.07Prologis Inc 3,225 USD 326,729 385,484 0.21Public Storage 859 USD 209,634 258,293 0.14Realty Income Corp 1,945 USD 123,296 129,809 0.07Regency Centers Corp 1,805 USD 104,870 115,646 0.06SBA Communications Corp 523 USD 144,531 166,680 0.09Simon Property Group Inc 1,409 USD 190,734 183,846 0.10Ventas Inc 3,950 USD 204,646 225,545 0.12Vornado Realty Trust 1,118 USD 61,260 52,177 0.03Welltower Inc 2,110 USD 158,629 175,341 0.09Weyerhaeuser Co 2,803 USD 76,353 96,479 0.05WP Carey Inc 1,448 USD 102,755 108,050 0.06

4,305,565 4,809,604 2.60

TOTAL OTHER TRANSFERABLE SECURITIES : REAL ESTATE INVESTMENT TRUSTS 5,734,596 6,294,734 3.40


TOTAL INVESTMENTS

182,861,819 98.95





120



(expressed in USD) % netDescription assets

% of Total Assets


Cash at Bank 1.06

Other Assets and Liabilities (0.01)

Total Assets 99.73


121




Apple Inc 9,585 1,189,954 2.41

Berkshire Hathaway Inc 4,077 1,035,074 2.10

Microsoft Corp 2,254 562,941 1.14

CVS Health Corp 7,015 520,273 1.05

Home Depot Inc 1,526 461,694 0.93

Intel Corp 7,353 460,484 0.93

Cigna Corp 1,876 455,228 0.92

O'Reilly Automotive Inc 868 426,701 0.86

CME Group Inc 2,019 407,851 0.83

Comcast Corp 7,261 404,574 0.82

American Express Co 2,652 377,950 0.76

Intercontinental Exchange Inc 3,254 364,389 0.74

CSX Corp 3,754 357,926 0.72

Deere & Co 991 353,716 0.72

Cisco Systems Inc 6,790 348,565 0.71

Electronic Arts Inc 2,463 335,784 0.68

Norfolk Southern Corp 1,248 333,557 0.68

AutoZone Inc 246 327,693 0.66

AT&T Inc 10,092 303,231 0.61

Dollar General Corp 1,487 300,249 0.61 The tables above show a breakdown of material purchases and sales of the Portfolios in accordance with Central Bank UCITS Regulations 79(2) requirements. All purchases and sales of investments exceeding 1% of the total value of each purchases and sales respectively, a minimum of 20 of each such purchases and sales, are disclosed.


122



Sales


Johnson & Johnson 10,368 1,679,098 5.62

Apple Inc 6,216 805,776 2.70

Philip Morris International Inc 9,069 805,085 2.69

JPMorgan Chase & Co 4,270 656,481 2.20

Starbucks Corp 4,383 476,629 1.59

Bank of America Corp 11,230 464,695 1.55

Altria Group Inc 8,787 449,671 1.50

AbbVie Inc 4,001 419,719 1.40

Lockheed Martin Corp 1,059 389,193 1.30

Roche Holding AG 1,153 376,092 1.26

Medtronic Plc 3,177 366,028 1.22

UnitedHealth Group Inc 885 352,919 1.18

Ecolab Inc 1,626 343,123 1.15

Toyota Motor Corp 4,300 340,733 1.14

NextEra Energy Inc 4,440 328,565 1.10

BASF SE 3,623 301,890 1.01

Baxter International Inc 3,533 288,765 0.97

Eversource Energy 3,218 270,292 0.90

Linde Plc 880 265,269 0.89

ONEOK Inc 4,634 251,716 0.84 The tables above show a breakdown of material purchases and sales of the Portfolios in accordance with Central Bank UCITS Regulations 79(2) requirements. All purchases and sales of investments exceeding 1% of the total value of each purchases and sales respectively, a minimum of 20 of each such purchases and sales, are disclosed.


123


GSI Global Sustainable Focused Value Fund Market highlights The Covid19 pandemic continued to dominate markets in the first half of 2021. The Federal Reserve in the US continued to support the market and the incoming Biden administration proposed a significant economic stimulus of around $2 trillion. Markets continued to reposition at the start of the year as optimism grew with vaccination rollouts across the world. The first quarter saw continued outperformance of more cyclical parts of the economy with Energy, Financials and Industrials outpacing other sectors. Small companies generally outperformed large companies in each developed market region but most notably in the US, and value companies outperformed growth. Markets also priced in higher long term interest rates, partly in anticipation of higher inflation. However, in the second quarter some of this reversed as markets grew more cautious. While the overall market continued to post positive returns in the second quarter, interest rate expectations fell back considerably, and small cap stock and value stocks gave up some of their outperformance compared to the first quarter. Over the full 6-month period, global developed markets posted a return of 11.6% in GBP, and small cap and value stocks showed outperformance compared to large cap and growth stocks respectively. Performance review (in GBP) For the 6 months to 30 June 2021.

GSI Global Sustainable Focused Value Fund: N/A Solactive Developed Mkt Large/Mid Index (Net): 11.60%

The GSI Global Sustainable Focused Value Fund has two key features that, in the longer term, we expect to generate higher returns compared to market-weighted broad global equity indices: (i) it tilts by approximately 50% towards value stocks based on a blend of value metrics and (ii) it tilts by approximately 12% towards smaller companies based on market capitalisation. The GSI Global Sustainable Focused Value Fund was not live over the full 6-month period therefore it is not reported in the above table. Outlook Markets continue to be broadly optimistic regarding economic conditions. For example, earnings are expected to show a significant rebound over the course of 2021 compared to last year. Equity markets, as well as other assets, are generally trading at high prices compared to their history, largely due to exceptionally supportive monetary conditions. However, there is considerable uncertainty as to how the pandemic will evolve. At the beginning of Q3, increasing concerns are being raised about the spread of variants of the Covid virus and how that might impact the reopening of economies and world travel etc. Moreover, at some point the enormous stimulus packages will need to be reduced and eventually paid for, which could have a significant negative effect on equity markets. At GSI, we believe markets will generally price equities to provide an expected equity premium. It therefore makes sense to remain invested even if markets may periodically become highly turbulent as they did in 2020. In fact, research shows that the expected equity premium increases during periods of market stress. For equity investors, it is better to take a disciplined, long-term view and employ a well-diversified, low-turnover investment strategy, with a view to capturing well-researched factor premia related to the broad equity market, smaller companies and companies trading at low prices compared those trading at high prices.


124


GSI Global Sustainable Focused Value Fund (Continued) Outlook (Continued) As responsible investors, we also believe that it is important to consider how companies manage the risks and opportunities related to those environmental, social, and governance (ESG) issues that are relevant to them. We position our funds so that we overweight companies that we believe better manage those risks and opportunities. The Sub-Fund remains well diversified across markets, sectors, and stocks and we remain confident that the Sub-Fund is well positioned to perform to expectations through the next 6 months. Global Systematic Investors LLP Date: July 2021


125


GSI Global Sustainable Focused Value Fund

GSFVF * 30 Jun 2021 Note $


Investments in Transferable Securities 3 67,509,286 Cash at bank 4 312,435 Dividends and interest receivable 30,888 Amount receivable on subscriptions 498,775 Receivable from Investment Manager 6 2,070

TOTAL ASSETS 68,353,454 LIABILITIES Investment management fees payable 6 5,167 Manager fee payable 6 1,844 Administration fees payable 6 452 Transfer agency fees payable 6 367 Directors fees payable 6 327 Depositary and depositary oversight fees payable 6 532 Audit fees payable 6 206 Redemptions payable 50,707 Other fees payable 1,619 TOTAL LIABILITIES (excluding net assets attributabl e to holders of redeemable participating shares)

61,221

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES

68,292,233 *Launched on 22nd April 2021. The accompanying notes and schedules form an integral part of these condensed financial statements.


126



GSFVF *

Financial


Note $

INCOME Dividend income 42,392 Net realised and unrealised gain on financial assets and liabilities at fair value through profit or loss 7

1,139,972

Expense reimbursement from Investment Manager 6 2,070 TOTAL INVESTMENT INCOME 1,184,434 EXPENSES Investment management fees 6 5,167 Manager fees 6 1,844 Administration fees 6 21,426 Director fees 6 327 Depositary and depositary oversight fees 6 532 Audit fees 6 206 Transfer agency fees 6 367 Formation expenses 227 Other fees and expenses 6 879 Total Operating Expenses 30,975 Operating Profit 1,153,459 Withholding tax 6,810 Increase in net assets attributable to holders of redeemable participating shares from operations 1,146,649 *Launched on 22nd April 2021. The accompanying notes and schedules form an integral part of these condensed financial statements. All of the results for the financial period relate to continuing operations.


127



*Launched on 22nd April 2021. The accompanying notes and schedules form an integral part of these condensed financial statements.

GSFVF*

Financial

Period Ended 30 Jun 2021 $ Net Assets attributable to holders of Redeemable Participating Shares at the beginning of the financial period - Increase in Net Assets attributable to Holders of Redeemable Participating Shares from operations 1,146,649 Capital transactions Issue of redeemable shares during the financial period 67,196,597 Redemption of redeemable shares during the financial period (51,013)


68,292,233


128



GSFVF* 30 Jun 2021 $ Cash flows from operating activities Increase in Net Assets attributable to Holders of Redeemable Participating Shares from operations

1,146,649

Adjustment to reconcile increase in net assets attributable to holders of redeemable participating shares from operations to net cash used in operating activities Bond interest income - Dividend income (42,392) Tax expense 6,810 Operating profit before working capital changes 1,111,067 Changes in operating assets and liabilities Net increase in financial assets and liabilities at fair value (67,509,286) Increase in other receivables (2,070) Increase in payables 10,514 Cash used in operating activities (66,389,775) Interest received - Dividend received 11,504 Taxation paid (6,810) Net cash used in operating activities (66,385,081) Cash flows from financing activities Proceeds from issue of redeemable participating shares 66,697,822 Payment on redemptions of redeemable participating shares (306)

Net cash provided by financing activities 66,697,516 Net increase in cash 312,435 Net Cash at the start of the financial period - Net Cash at the end of the financial period 312,435 Analysis of Cash Cash at the start of the financial period - Overdraft at the start of the financial period - Cash at the end of the financial period 312,435 Overdraft at the end of the financial period - *Launched on 22nd April 2021. The accompanying notes and schedules form an integral part of these condensed financial statements.


129


GSI Global Sustainable Focused Value Fund*


1) INVESTMENTS



AUSTRALIA Ansell Ltd 1,428 AUD 45,009 46,596 0.07 ASX Ltd 1,346 AUD 76,436 78,443 0.11 Australia & New Zealand Banking Group Ltd 10,879 AUD 231,295 229,668 0.34 BHP Group Ltd 6,860 AUD 237,742 249,876 0.37 Brambles Ltd 10,108 AUD 86,130 86,721 0.13 Coles Group Ltd 11,243 AUD 139,612 144,098 0.21 Fortescue Metals Group Ltd 5,019 AUD 83,289 87,852 0.13 JB Hi-Fi Ltd 1,250 AUD 45,613 47,416 0.07 Medibank Pvt Ltd 24,412 AUD 57,021 57,853 0.08 Nine Entertainment Co Holdings Ltd 17,978 AUD 41,111 39,234 0.06 Rio Tinto Ltd 543 AUD 49,351 51,571 0.08 Suncorp Group Ltd 8,993 AUD 75,149 74,929 0.11 Telstra Corp Ltd 74,910 AUD 200,314 211,232 0.31

1,368,072 1,405,489 2.07

BELGIUM KBC Group NV 1,561 EUR 117,830 119,016 0.17

117,830 119,016 0.17

BERMUDA ISLANDS Hongkong Land Holdings Ltd 9,200 USD 45,076 43,792 0.06

45,076 43,792 0.06

CANADA Bank of Montreal 1,955 CAD 202,131 200,389 0.29 Magna International Inc 1,859 CAD 172,090 172,118 0.25 Manulife Financial Corp 8,796 CAD 171,448 173,138 0.25 Rogers Communications Inc 3,910 CAD 203,715 207,865 0.30 Royal Bank of Canada 3,088 CAD 316,132 312,861 0.46 Sun Life Financial Inc 3,135 CAD 162,503 161,656 0.24

1,228,019 1,228,027 1.79

CAYMAN ISLANDS CK Asset Holdings Ltd 10,000 HKD 67,634 69,034 0.10 CK Hutchison Holdings Ltd 6,500 HKD 49,349 50,649 0.07

116,983 119,683 0.17 *Launched on 22nd April 2021.


130






DENMARK Novo Nordisk A/S 3,846 DKK 317,184 322,215 0.47

317,184 322,215 0.47

FINLAND Kesko Oyj 2,706 EUR 98,539 99,949 0.15 Nokia Oyj 51,162 EUR 263,693 273,934 0.40 Nordea Bank Abp 11,665 SEK 129,570 129,842 0.19 Wartsila OYJ Abp 4,674 EUR 69,778 69,361 0.10

561,580 573,086 0.84

FRANCE Atos SE 1,170 EUR 72,356 71,170 0.10 AXA SA 12,116 EUR 314,791 307,229 0.45 Cie de Saint-Gobain 1,470 EUR 98,137 96,809 0.14 Cie Generale des Etablissements Michelin SCA 479 EUR 77,823 76,393 0.11 Danone SA 3,023 EUR 208,160 212,813 0.31 Orange SA 14,731 EUR 174,167 167,948 0.25 Publicis Groupe SA 1,861 EUR 121,317 119,028 0.17 Sanofi 2,739 EUR 289,171 286,973 0.42 Schneider Electric SE 2,178 EUR 347,413 342,655 0.50 TotalEnergies SE 3,152 EUR 150,072 142,604 0.21 Valeo 2,206 EUR 70,469 66,362 0.10 Vivendi SE 6,310 EUR 218,082 211,967 0.31

2,141,958 2,101,951 3.07

GERMANY Allianz SE 1,564 EUR 404,343 390,004 0.57 Bayerische Motoren Werke AG / Ordinary 1,141 EUR 125,371 120,831 0.18 Brenntag SE 774 EUR 72,477 71,972 0.11 Daimler AG 2,140 EUR 199,274 191,074 0.28 Deutsche Post AG 2,829 EUR 192,298 192,413 0.28 Deutsche Telekom AG 12,293 EUR 260,259 259,635 0.38 Fresenius Medical Care AG & Co KGaA 1,819 EUR 150,948 151,068 0.22 Fresenius SE & Co KGaA 2,062 EUR 108,830 107,569 0.16 Hannover Rueck SE 386 EUR 66,393 64,581 0.09

*Launched on 22nd April 2021.


131






GERMANY (continued) Henkel AG & Co KGaA / Ordinary 704 EUR 65,515 64,820 0.09 Henkel AG & Co KGaA / Preference 1,175 EUR 125,035 124,056 0.18 Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen 729 EUR 206,659 199,636 0.29 Siemens AG 1,583 EUR 256,203 250,810 0.37 Volkswagen AG / Preference 285 EUR 75,571 71,373 0.10

2,309,176 2,259,842 3.30

GREAT BRITAIN 3i Group Plc 6,814 GBP 114,593 110,565 0.16 Anglo American Plc 1,885 GBP 72,639 74,901 0.11 Ashtead Group Plc 1,344 GBP 95,701 99,725 0.15 Aviva Plc 17,442 GBP 101,245 97,934 0.14 Berkeley Group Holdings Plc 1,388 GBP 89,286 88,225 0.13 BHP Group Plc 4,680 GBP 132,840 137,893 0.20 BP Plc 17,690 GBP 78,101 77,082 0.11 BT Group Plc 42,900 GBP 120,309 115,127 0.17 GlaxoSmithKline Plc 16,068 GBP 318,555 315,488 0.46 HSBC Holdings Plc 35,210 GBP 210,157 203,250 0.30 J Sainsbury Plc 25,336 GBP 96,030 95,259 0.14 Kingfisher Plc 23,441 GBP 115,732 118,193 0.17 Legal & General Group Plc 42,496 GBP 161,059 151,429 0.22 Lloyds Banking Group Plc 113,967 GBP 74,280 73,607 0.11 National Grid Plc 4,997 GBP 64,486 63,649 0.09 Natwest Group Plc 27,101 GBP 76,428 76,177 0.11 Pearson Plc 8,143 GBP 97,211 93,493 0.14 Persimmon Plc 2,876 GBP 122,077 117,680 0.17 Prudential Plc 4,011 GBP 81,445 76,208 0.11 Rio Tinto Plc 1,241 GBP 99,935 102,125 0.15 Royal Dutch Shell Plc - Class B 4,937 GBP 94,126 95,543 0.14 Royal Mail Plc 9,378 GBP 75,850 74,904 0.11 Spectris Plc 1,438 GBP 65,113 64,410 0.09 Tesco Plc 47,268 GBP 149,277 145,778 0.21 Vodafone Group Plc 134,880 GBP 243,305 226,396 0.33

2,949,780 2,895,041 4.22 *Launched on 22nd April 2021.


132






HONG KONG Hang Seng Bank Ltd 4,200 HKD 82,416 83,900 0.12 Henderson Land Development Co Ltd 11,000 HKD 53,325 52,136 0.08 HKT Trust & HKT Ltd 42,000 HKD 56,860 57,231 0.08 New World Development Co Ltd 13,000 HKD 67,808 67,559 0.10 Sino Land Co Ltd 32,000 HKD 50,764 50,446 0.07 Sun Hung Kai Properties Ltd 7,000 HKD 107,261 104,311 0.15 Wharf Holdings Ltd 12,000 HKD 43,580 45,748 0.07

462,014 461,331 0.67

IRELAND Eaton Corp Plc 1,172 USD 167,877 173,667 0.25 Johnson Controls International Plc 6,849 USD 453,468 470,047 0.69 Trane Technologies Plc 2,112 USD 378,322 388,904 0.57

999,667 1,032,618 1.51

ITALY Assicurazioni Generali SpA 7,467 EUR 150,740 149,677 0.22 Poste Italiane SpA 5,030 EUR 68,831 66,502 0.10 Telecom Italia SpA 124,867 EUR 63,713 62,023 0.09

283,284 278,202 0.41

JAPAN Asahi Kasei Corp 3,600 JPY 38,521 39,550 0.06 Astellas Pharma Inc 8,800 JPY 151,777 153,235 0.22 Bridgestone Corp 1,100 JPY 48,846 50,052 0.07 Canon Inc 3,800 JPY 87,400 85,957 0.13 Central Japan Railway Co 300 JPY 45,872 45,502 0.07 Dai-ichi Life Holdings Inc 2,800 JPY 51,455 51,264 0.09 Daiwa House Industry Co Ltd 3,000 JPY 85,299 90,058 0.13 Dentsu Group Inc 1,300 JPY 44,589 46,514 0.07 FUJIFILM Holdings Corp 1,700 JPY 118,603 126,075 0.18 Fujitsu Ltd 1,000 JPY 172,305 187,227 0.27 Hitachi Ltd 1,200 JPY 64,462 68,709 0.10 Honda Motor Co Ltd 3,800 JPY 117,322 121,428 0.18 Isuzu Motors Ltd 3,200 JPY 41,417 42,256 0.06 ITOCHU Corp 5,800 JPY 166,442 167,064 0.24 JTEKT Corp 2,300 JPY 24,546 23,581 0.03



133






HONG KONG (continued) KDDI Corp 6,200 JPY 192,235 193,375 0.28 Kirin Holdings Co Ltd 3,800 JPY 76,082 74,088 0.11 Komatsu Ltd 3,300 JPY 83,716 81,999 0.12 Kyocera Corp 1,200 JPY 72,284 74,185 0.11 Lixil Corp 2,200 JPY 57,444 56,894 0.08 Marubeni Corp 6,800 JPY 57,442 59,134 0.09 Mitsubishi Corp 4,200 JPY 111,112 114,475 0.17 Mitsubishi Electric Corp 6,300 JPY 94,338 91,442 0.13 Mitsubishi UFJ Financial Group Inc 35,000 JPY 186,649 189,059 0.28 Mitsui & Co Ltd 6,100 JPY 134,092 137,297 0.20 Mitsui Fudosan Co Ltd 2,400 JPY 56,523 55,585 0.08 Mizuho Financial Group Inc 8,500 JPY 120,819 121,461 0.18 MS&AD Insurance Group Holdings Inc 1,400 JPY 39,900 40,427 0.06 NGK Insulators Ltd 2,500 JPY 42,851 41,946 0.06 Nippon Telegraph & Telephone Corp 8,200 JPY 210,338 213,645 0.31 Nomura Holdings Inc 8,600 JPY 43,657 43,954 0.06 Nomura Research Institute Ltd 2,200 JPY 70,673 72,776 0.11 NTT Data Corp 3,300 JPY 50,426 51,478 0.08 Omron Corp 1,200 JPY 92,089 95,162 0.14 ORIX Corp 2,800 JPY 47,401 47,244 0.07 Panasonic Corp 3,500 JPY 41,249 40,499 0.06 Ricoh Co Ltd 4,300 JPY 50,558 48,266 0.07 Secom Co Ltd 1,100 JPY 82,376 83,608 0.12 Seiko Epson Corp 2,400 JPY 42,269 42,213 0.06 Sekisui House Ltd 2,400 JPY 47,027 49,223 0.07 Shin-Etsu Chemical Co Ltd 900 JPY 148,148 150,520 0.22 Shionogi & Co Ltd 1,000 JPY 50,216 52,127 0.08 SoftBank Corp 6,000 JPY 76,549 78,500 0.11 Sompo Holdings Inc 1,000 JPY 36,558 36,959 0.05 Sumitomo Chemical Co Ltd 5,800 JPY 30,497 30,750 0.06 Sumitomo Corp 3,600 JPY 47,087 48,218 0.07 Sumitomo Electric Industries Ltd 3,100 JPY 44,897 45,735 0.07 Sumitomo Mitsui Financial Group Inc 3,000 JPY 103,258 103,425 0.15 Sumitomo Mitsui Trust Holdings Inc 1,500 JPY 47,351 47,635 0.07 Suzuki Motor Corp 1,200 JPY 47,105 50,778 0.07 T&D Holdings Inc 3,100 JPY 39,380 40,070 0.06 Takeda Pharmaceutical Co Ltd 3,400 JPY 112,718 113,818 0.17 TDK Corp 400 JPY 47,487 48,571 0.07 Tokio Marine Holdings Inc 1,600 JPY 71,538 73,566 0.11 Toyota Motor Corp 4,100 JPY 359,227 358,351 0.53 Toyota Tsusho Corp 900 JPY 41,491 42,531 0.06 Trend Micro Inc 800 JPY 41,364 41,910 0.06 Yamaha Motor Co Ltd 2,100 JPY 59,697 57,086 0.08

4,766,974 4,838,457 7.09



134






JERSEY Ferguson Plc 1,702 GBP 232,298 236,615 0.35 Glencore Plc 10,503 GBP 45,599 44,959 0.07 WPP Plc 10,288 GBP 140,561 138,642 0.20

418,458 420,216 0.62

LUXEMBOURG B&M European Value Retail SA 9,011 GBP 68,643 71,449 0.10

68,643 71,449 0.10

NETHERLANDS Akzo Nobel NV 1,376 EUR 174,681 170,012 0.25 ASM International NV 425 EUR 130,937 139,592 0.20 ASR Nederland NV 1,677 EUR 66,643 64,805 0.09 CNH Industrial NV 11,306 USD 185,658 188,697 0.28 Koninklijke Ahold Delhaize NV 6,510 EUR 191,982 193,521 0.28 Koninklijke KPN NV 21,224 EUR 66,783 66,288 0.10 NN Group NV 2,060 EUR 98,302 97,168 0.14 Randstad NV 1,321 EUR 99,922 101,031 0.15 Signify NV 1,293 EUR 80,474 81,780 0.12 Wolters Kluwer NV 1,828 EUR 181,007 183,635 0.27

1,276,389 1,286,529 1.88

NEW ZEALAND Meridian Energy Ltd 14,123 NZD 51,377 52,618 0.08 Spark New Zealand Ltd 16,345 NZD 54,151 54,841 0.08

105,528 107,459 0.16

NORWAY DNB ASA 4,885 NOK 106,685 106,436 0.16

106,685 106,436 0.16

SINGAPORE City Developments Ltd 7,200 SGD 39,271 39,033 0.06 DBS Group Holdings Ltd 9,600 SGD 211,176 212,818 0.31 Oversea-Chinese Banking Corp Ltd 11,000 SGD 97,239 97,754 0.14 Singapore Telecommunications Ltd 68,600 SGD 117,518 116,825 0.17 United Overseas Bank Ltd 6,400 SGD 121,842 122,888 0.18 Venture Corp Ltd 3,400 SGD 47,504 48,571 0.07

634,550 637,889 0.93



135






SPAIN Banco Bilbao Vizcaya Argentaria SA 20,116 EUR 125,004 124,701 0.18 Iberdrola SA 8,747 EUR 113,010 106,622 0.16 Telefonica SA 29,580 EUR 140,531 138,229 0.20

378,545 369,552 0.54

SWEDEN Electrolux AB 2,849 SEK 79,742 78,997 0.12 Skandinaviska Enskilda Banken AB 4,935 SEK 65,141 63,748 0.09 Svenska Handelsbanken AB 9,181 SEK 103,335 103,588 0.15 Tele2 AB 2,295 SEK 31,882 31,268 0.05

280,100 277,601 0.41

SWITZERLAND Chubb Ltd 1,497 USD 237,972 237,933 0.35 Garmin Ltd 1,536 USD 217,899 222,167 0.33 Nestle SA 4,460 CHF 563,630 555,397 0.81 Novartis AG 5,980 CHF 560,335 544,970 0.80 Roche Holding AG 1,236 CHF 469,843 465,612 0.68 Swatch Group AG 295 CHF 101,873 101,198 0.15 Swiss Life Holding AG 158 CHF 79,302 76,776 0.11 Swiss Re AG 1,476 CHF 136,660 133,171 0.20 Swisscom AG 163 CHF 94,504 93,052 0.14 UBS Group AG 8,915 CHF 138,527 136,435 0.20 Zurich Insurance Group AG 494 CHF 201,519 198,187 0.29

2,802,064 2,764,898 4.06

UNITED STATES (U.S.A.) 3M Co 1,542 USD 301,055 306,287 0.45 AbbVie Inc 3,737 USD 428,755 420,936 0.62 Aflac Inc 5,164 USD 273,401 277,100 0.41 Allstate Corp 2,063 USD 263,806 269,098 0.39 Ally Financial Inc 4,132 USD 207,043 205,939 0.30 American Express Co 5,051 USD 825,152 834,577 1.22 Ameriprise Financial Inc 910 USD 219,664 226,481 0.33 AmerisourceBergen Corp 1,738 USD 202,098 198,984 0.29 Amgen Inc 4,236 USD 1,016,392 1,032,525 1.51 Anthem Inc 1,329 USD 498,493 507,412 0.74



136






UNITED STATES (U.S.A.) (continued) Apple Inc 24,003 USD 3,154,328 3,287,450 4.81 AT&T Inc 38,217 USD 1,103,244 1,099,885 1.61 Bank of America Corp 13,219 USD 523,347 545,019 0.80 Bank of New York Mellon Corp 6,360 USD 314,209 325,823 0.48 Berkshire Hathaway Inc 2,425 USD 673,033 673,956 0.99 Best Buy Co Inc 2,979 USD 325,374 342,525 0.50 Biogen Inc 1,187 USD 456,602 411,022 0.60 Broadcom Inc 368 USD 170,441 175,477 0.26 Cardinal Health Inc 3,374 USD 191,221 192,622 0.28 Cerner Corp 3,466 USD 275,082 270,903 0.40 Chevron Corp 1,995 USD 211,001 208,956 0.31 Cigna Corp 3,408 USD 801,958 807,935 1.18 Cisco Systems Inc 22,051 USD 1,171,786 1,168,702 1.71 Citigroup Inc 4,671 USD 319,704 330,473 0.48 Clorox Co 944 USD 165,039 169,835 0.25 CME Group Inc 1,398 USD 300,744 297,327 0.45 Cognizant Technology Solutions Corp 4,864 USD 338,349 336,881 0.49 Colgate-Palmolive Co 4,852 USD 394,929 394,710 0.58 Comcast Corp 21,224 USD 1,215,545 1,210,191 1.77 Costco Wholesale Corp 597 USD 230,301 236,215 0.35 CSX Corp 5,055 USD 160,725 162,164 0.24 Cummins Inc 1,385 USD 327,909 337,677 0.49 CVS Health Corp 11,074 USD 928,148 924,015 1.35 DuPont de Nemours Inc 1,998 USD 153,457 154,665 0.23 eBay Inc 5,808 USD 373,987 407,780 0.60 Electronic Arts Inc 2,522 USD 355,212 362,739 0.53 Exxon Mobil Corp 6,195 USD 384,594 390,781 0.57 Fastenal Co 4,874 USD 251,215 253,448 0.37 Genuine Parts Co 1,652 USD 205,384 208,928 0.31 Gilead Sciences Inc 11,518 USD 775,396 793,129 1.16 Goldman Sachs Group Inc 1,322 USD 470,413 501,739 0.74 HCA Healthcare Inc 1,262 USD 261,743 260,906 0.38 Hewlett Packard Enterprise Co 15,991 USD 236,014 233,149 0.34 Home Depot Inc 4,388 USD 1,348,523 1,399,288 2.05 HP Inc 13,725 USD 401,086 414,358 0.61 Humana Inc 1,081 USD 468,581 478,580 0.70 Intel Corp 10,765 USD 601,889 604,347 0.89 International Business Machines Corp 7,774 USD 1,137,331 1,139,591 1.67 JM Smucker Co 1,182 USD 152,781 153,152 0.22 JPMorgan Chase & Co 2,937 USD 441,702 456,821 0.67 Keurig Dr Pepper Inc 5,006 USD 171,930 176,411 0.26 KeyCorp 10,445 USD 214,201 215,689 0.32



137






UNITED STATES (U.S.A.) (continued) Kroger Co 8,932 USD 351,930 342,185 0.50 Lowe's Cos Inc 5,583 USD 1,056,335 1,082,935 1.59 Lumen Technologies Inc 12,387 USD 174,839 168,339 0.25 McKesson Corp 1,145 USD 215,715 218,970 0.32 Merck & Co Inc 14,233 USD 1,093,331 1,106,900 1.62 MetLife Inc 3,724 USD 221,776 222,881 0.33 Micron Technology Inc 2,517 USD 192,834 213,895 0.31 Morgan Stanley 7,430 USD 637,455 681,257 1.00 Northern Trust Corp 1,889 USD 212,814 218,406 0.32 NortonLifeLock Inc 5,694 USD 153,700 154,991 0.23 Omnicom Group Inc 2,385 USD 190,041 190,776 0.28 Oracle Corp 11,003 USD 854,824 856,474 1.25 PACCAR Inc 2,478 USD 217,356 221,162 0.32 Pfizer Inc 9,880 USD 388,716 386,901 0.57 PNC Financial Services Group Inc 2,374 USD 435,636 452,864 0.66 Principal Financial Group Inc 2,957 USD 181,461 186,853 0.27 Procter & Gamble Co 7,247 USD 963,308 977,838 1.43 Progressive Corp 2,606 USD 245,889 255,935 0.38 Prudential Financial Inc 3,593 USD 360,335 368,175 0.54 QUALCOMM Inc 1,111 USD 153,456 158,795 0.23 Quest Diagnostics Inc 1,605 USD 207,647 211,812 0.31 Regions Financial Corp 11,836 USD 234,958 238,850 0.35 State Street Corp 3,924 USD 317,639 322,867 0.47 Synchrony Financial 4,689 USD 223,488 227,510 0.33 T Rowe Price Group Inc 1,961 USD 380,271 388,219 0.57 Target Corp 4,436 USD 1,034,676 1,072,359 1.57 Travelers Cos Inc 2,271 USD 336,673 339,991 0.50 United Rentals Inc 925 USD 276,334 295,084 0.43 UnitedHealth Group Inc 2,623 USD 1,040,749 1,050,354 1.54 Verizon Communications Inc 20,448 USD 1,151,994 1,145,700 1.68 Walgreens Boots Alliance Inc 6,215 USD 321,109 326,971 0.48 Walmart Inc 5,002 USD 682,201 705,382 1.03 Waters Corp 632 USD 216,811 218,426 0.32 Williams Cos Inc 1,633 USD 43,595 43,356 0.06 Williams-Sonoma Inc 947 USD 151,013 151,189 0.22 WW Grainger Inc 521 USD 231,596 228,198 0.33

41,546,822 42,227,403 61.85





138






AUSTRALIA

Stockland 22,089 AUD 77,761 77,196 0.11

77,761 77,196 0.11

CAYMAN ISLANDS Wharf Real Estate Investment Co Ltd 11,000 HKD 63,675 63,966 0.09

63,675 63,966 0.09

HONG KONG

Link REIT 6,300 HKD 63,188 61,058 0.09 63,188 61,058 0.09

JAPAN Japan Metropolitan Fund Invest 43 JPY 45,201 46,602 0.07 Nomura Real Estate Master Fund Inc 32 JPY 51,090 51,300 0.08 Orix JREIT Inc 21 JPY 40,206 40,414 0.06

136,497 138,316 0.21


AvalonBay Communities Inc 1,266 USD 267,747 264,202 0.39

Boston Properties Inc 1,471 USD 175,798 168,562 0.25

Equity Residential 3,295 USD 261,417 253,715 0.37

Ventas Inc 3,669 USD 211,011 209,500 0.31

Welltower Inc 3,906 USD 312,629 324,589 0.48

1,228,602 1,220,568 1.80




OTHER ASSETS 844,168 1.24





139




% of Total Assets


Cash at Bank 0.46


Total Assets 99.91



140




Apple Inc 24,003 3,154,328 4.72

Home Depot Inc 4,388 1,348,523 2.02

Comcast Corp 21,224 1,215,545 1.82

Cisco Systems Inc 22,051 1,171,786 1.75

Verizon Communications Inc 20,448 1,151,994 1.72

International Business Machines Corp 7,774 1,137,331 1.70

AT&T Inc 38,217 1,103,244 1.65

Merck & Co Inc 14,233 1,093,331 1.64

Lowe's Cos Inc 5,583 1,056,335 1.58

UnitedHealth Group Inc 2,623 1,040,749 1.56

Target Corp 4,436 1,034,676 1.55

Amgen Inc 4,236 1,016,392 1.52

Procter & Gamble Co 7,247 963,308 1.44

CVS Health Corp 11,074 928,148 1.39

Oracle Corp 11,003 854,824 1.28

American Express Co 5,051 825,152 1.23

Cigna Corp 3,408 801,958 1.20

Gilead Sciences Inc 11,518 775,396 1.16

Walmart Inc 5,002 682,201 1.02

Berkshire Hathaway Inc 2,425 673,033 1.01

Sales


There were no sales during the period.

*Launched on 22nd April 2021. The tables above show a breakdown of material purchases and sales of the Portfolios in accordance with Central Bank UCITS Regulations 79(2) requirements. All purchases and sales of investments exceeding 1% of the total value of each purchases and sales respectively, a minimum of 20 of each such purchases and sales, are disclosed.


141


London & Capital Global Balanced Fixed Income Fund

Performance Overview Performance: 31/12/2020 – 30/06/2021 Global Balanced Fixed Income Fund* 1.46% Benchmark (Fed Funds Mid + 2%) 1.76%

* USD X Share Class Market Review There were three macro related themes that dominated the first quarter: increasing economic optimism, fears over rising inflation and higher sovereign bond yields. Economic growth rates were revised higher throughout the first quarter spurred on by the successful rollout of vaccines, the passing of the $1.9 trillion Biden relief package and the relatively strong rebound in consumer spending. The consensus for global growth was raised to almost 6%, with US growth expected to rebound to comfortably over 6% this year. Unsurprisingly markets began to price in higher inflation particularly as Central Banks remain committed to keeping rates accommodative. It is inevitable that over the short-term inflation will rise largely due to base effects (i.e., prices declined during March and May last year and unless this is repeated the annual rate will go up come what may). This change in economic outlook pushed longer-dated government bond yields up towards pre-pandemic levels. The US 10-year briefly rose above 1.7% before trading marginally lower. Shorter-dated maturities were well anchored by the Fed’s guidance and this led to a significant steepening of the yield curve. The evolution of the global health crises and its impact on economic policy and activity remained centre stage for financial markets during Q2-21. Initially, the focus was on the US fiscal package which was scaled down to a sub $1trn package from an initial $2trn plus proposal. US inflation picked up to an annual rate of 5%, fuelling concern that the Fed would tolerate higher above target inflation as they had stated. But by quarter end this had changed and the Fed made clear a hawkish policy pivot, implying it would bear down on inflation quicker than many had expected. This pivot was two-fold: the FOMC dot-plot implied 2 rate hikes by the end of 2023, and a potential tapering in asset purchases by year-end. This sparked a significant flattening in the US Treasury yield curve; longer-dated yields fell whilst short and medium-dated yields edged higher. Although risk markets initially responded nervously, they quickly regained poise and equities rose to record highs while there was a further tightening of credit spreads. In the background economic data remained relatively robust pointing to continued consumer spending, job growth, and a pick-up in orders and production. Credit spreads continued to grind tighter in the reporting period, as both corporates and financial institutions reported buoyant earnings, much of which was used to paydown some of the debt accumulated in the second half of 2020. Some sectors fared particularly well such as consumer cyclicals, energy and banks. Performance Review The USD X-share class returned 1.46% for the year to date, marginally below that of the benchmark return. Broader bond market indices found the going quite tough, particularly in the first 3 months on the year, with the 1-10 year corporate bond index returning -0.52% for the year to date. During the first quarter, in response to the increased market concern over a reduced level of official monetary policy stimulus, some of the Sub-Fund’s longer-dated high grade exposure was sold, with proceeds re-invested into lower “beta” credits that would benefit more a stronger global economy. Some “put” options on US Treasury bonds were also purchased to hedge the Sub-Fund’s capital from a rising bond yield environment. These moves shielded the portfolio from recording negative returns for the reporting period.


142


London & Capital Global Balanced Fixed Income Fund (Continued)

Outlook Much focus is now being given to recent sharp rises in headline inflation, where in the US the latest CPI reading is showing a year-on-year 5.0% rise. This had initially stoked fears of the Federal Reserve responding by signalling a tapering of the pace of quantitative easing, but the central bank’s response is similar to those of the Sub-Fund’s Investment Manager, in that the recent spikes in inflation do not appear to be demand driven but rather supply driven, with items such as semi-conductors pushing prices for new (and second-hand) vehicles higher, while the lack of shipping containers on a global basis has also had dire consequences for goods to be imported and delivered. This more sanguine approach by policymakers should not be interpreted as being irresponsible, but instead as something more pragmatic, as the outlook for 2022 should see the pace of economic activity normalise towards pre-pandemic levels. As a consequence, government bond yields may edge higher rather that ratchet higher to levels last seen in 2019, and fixed income should therefore continue to see strong demand as we head towards year end. London and Capital Asset Management Limited Date: July 2021


143



L&CGBFI L&CGBFI 30 Jun 2021 31 Dec 2020 Note $ $


Investments in Transferable Securities 3 86,602,195 70,363,123 Investments in Financial Derivative Instruments 3 90,601 642,301

Cash at bank 4 2,323,057 2,845,518 Dividends and interest receivable 828,381 753,120 Other receivables 20 1,036


Investments in Financial Derivative Instruments 3 429,023 624,014 Investment management fees payable 6 12,582 11,340 Manager fee payable 6 3,630 3,078 Administration fees payable 6 23,645 14,285 Transfer agency fees payable 6 17,181 6,088 Directors fees payable 6 791 37 Depositary and depositary oversight fees payable 6 21,775 7,386 Audit fees payable 6 - 976 Redemptions payable - 217,432 Other fees payable 12,960 7,385 TOTAL LIABILITIES (excluding net assets attributabl e to holders of redeemable participating shares) 521,587 892,021



144



L&CGBFI L&CGBFI

Financial



INCOME Bond interest income 1,261,394 1,197,752 Net realised and unrealised gain/(loss) on financial assets and liabilities at fair value through profit or loss 7 610,990 (5,508,465) Bank Interest - 5,080 Other income 338 5 TOTAL INVESTMENT INCOME/(LOSS) 1,872,722 (4,305,628) EXPENSES Investment management fees 6 36,677 63,238 Manager fees 6 24,005 14,795 Administration fees 6 32,626 29,986 Director fees 6 5,976 5,480 Depositary and depositary oversight fees 6 21,524 12,370 Audit fees 6 4,933 4,066 Transfer agency fees 6 18,780 11,128 Swap interest expenses 769 123 Bank interest expense 679 688 Other fees and expenses 6 17,703 9,583 Total Operating Expenses 163,672 151,457 Operating Profit/(Loss) 1,709,050 (4,457,085) Finance Costs Dividends to holders of redeemable participating shares 1,183,090 783,846 Profit/(Loss) Before Tax 525,960 (5,240,931) Withholding tax 31,163 33,823 Increase/(Decrease) in net assets attributable to holders of redeemable participating shares from operations 494,797 (5,274,754) The accompanying notes and schedules form an integral part of these condensed financial statements. All of the results for the financial period relate to continuing operations.


145

Statement of Changes in Net Assets attributable to Holders of Redeemable Participating Shares



L&CGBFI L&CGBFI



30 Jun 2021 30 Jun 2020 $ $ Net Assets attributable to holders of Redeemable Participating Shares at the beginning of the financial period

73,713,077 61,429,184

Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 494,797 (5,274,754) Capital tr ansactions Issue of redeemable shares during the financial period 36,391,213 10,026,768 Redemption of redeemable shares during the financial period (21,276,420) (12,344,887)


89,322,667 53,836,311


146


L&CGBFI L&CGBFI 30 Jun 2021 30 Jun 2020 $ $ Cash flows from operating activities Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 494,797 (5,274,754) Adjustment to reconcile increase/(decrease) in net assets attributable to holders of redeemable participating shares from operations to net cash (used in)/provided by operating activities Bond interest income (1,261,394) (1,197,752) Tax expense 31,163 33,823 Dividends to holders of redeemable participating shares 1,183,090 783,846 Operating profit/(loss) before working capital changes 447,656 (5,654,837) Changes in operating assets and liabilities Net (increase)/decrease in financial assets and liabilities at fair value (15,882,363) 6,799,054 Decrease/(Increase) in other receivables 1,016 (7,579) Increase in payables 41,989 652,046 Cash (used in)/provided by operating activities (15,391,702) 1,788,684

Interest received 1,186,133 1,192,555 Taxation paid (31,163) (33,823) - Net cash (used in)/provided by operating activities (14,236,732) 2,947,416 Cash flows from financing activities Proceeds from issue of redeemable participating shares 36,391,213 10,026,768 Payment on redemptions of redeemable participating shares (21,493,852) (12,200,618) Dividends to holders of redeemable participating shares (1,183,090) (783,846) Net cash provided by/(used in) financing activities 13,714,271 (2,957,696)

Net decrease in cash (522,461) (10,280) Net Cash at the start of the financial period 2,845,518 2,163,102 Net Cash at the end of the financial period 2,323,057 2,152,822 Analysis of Cash Cash at the start of the financial period 2,845,518 2,163,102 Overdraft at the start of the financial period - - Cash at the end of the financial period 2,323,057 2,152,822 Overdraft at the end of the financial period - - The accompanying notes and schedules form an integral part of these condensed financial statements.


147




1) INVESTMENTS



BELGIUM Solvay SA 2.50% / perpetual 800,000 EUR 942,564 980,758 1.10

942,564 980,758 1.10

CANADA Royal Bank of Canada 0.48% 26/10/2023 750,000 USD 754,650 754,343 0.84

754,650 754,343 0.84

CAYMAN ISLANDS Baidu Inc 3.88% 29/09/2023 800,000 USD 801,760 851,032 0.95 Country Garden Holdings Co Ltd 5.13% 14/01/2027 1,700,000 USD 1,781,450 1,816,960 2.04

2,583,210 2,667,992 2.99

FRANCE Altice France SA 5.13% 15/07/2029 1,200,000 USD 1,209,000 1,207,380 1.35 BNP Paribas SA 6.63% / perpetual 700,000 USD 723,100 768,439 0.86 CNP Assurances 4.88% / perpetual 1,200,000 USD 1,219,800 1,262,220 1.41 Credit Agricole SA 7.88% / perpetual 1,400,000 USD 1,536,000 1,586,676 1.78 Electricite de France SA 5.25% / perpetual 450,000 USD 456,750 471,569 0.53 Electricite de France SA 6.00% EMTN / perpetual 800,000 GBP 1,071,376 1,237,823 1.39 Engie SA 1.63% / perpetual 900,000 EUR 1,014,822 1,092,050 1.22 Orange SA 1.75% EMTN / perpetual 900,000 EUR 1,016,572 1,099,553 1.23 SCOR SE 5.25% / perpetual 1,800,000 USD 1,907,760 1,906,398 2.14 Societe Generale SA 4.75% / perpetual 1,500,000 USD 1,505,625 1,554,840 1.74 Suez SA 1.63% / perpetual 1,600,000 EUR 1,819,914 1,910,684 2.14 TotalEnergies SE 1.63% EMTN / perpetual 800,000 EUR 978,164 951,244 1.06

14,458,883 15,048,876 16.85

GERMANY Bayer AG 2.38% 12/11/2079 1,500,000 EUR 1,720,309 1,806,280 2.02 Deutsche Bank AG 7.13% / perpetual 700,000 GBP 968,853 1,059,665 1.19 EnBW Energie Baden-Wuerttemberg AG 1.13% 05/11/2079 800,000 EUR 884,977 956,319 1.07 Merck KGaA 1.63% 09/09/2080 900,000 EUR 1,065,430 1,101,229 1.23 RWE AG 6.63% 30/07/2075 1,000,000 USD 1,143,750 1,163,460 1.30

5,783,319 6,086,953 6.81


148






GREAT BRITAIN Barclays Plc 7.88% / perpetual 350,000 GBP 436,625 519,548 0.58 Barclays Plc 8.00% / perpetual 700,000 USD 775,250 798,581 0.90 BP Capital Markets Plc 4.38% / perpetual 1,800,000 USD 1,854,250 1,924,812 2.15 British Telecommunications Plc 1.87% 18/08/2080 1,000,000 EUR 1,114,407 1,158,162 1.30 Cooperatieve Rabobank UA 0.35% 12/01/2024 750,000 USD 751,575 751,650 0.84 Heathrow Finance Plc 6.25% 03/03/2025 500,000 GBP 681,602 762,692 0.86 HSBC Holdings Plc 6.38% / perpetual 2,000,000 USD 2,213,000 2,234,920 2.50 Lloyds Banking Group Plc 7.50% 30/04/2049 1,400,000 USD 1,514,800 1,595,958 1.79 Nationwide Building Society 5.88% / perpetual 600,000 GBP 754,045 914,293 1.02 Natwest Group Plc 5.13% / perpetual 800,000 GBP 1,084,219 1,192,788 1.34 NGG Finance Plc 1.63% 05/12/2079 800,000 EUR 886,123 960,399 1.08 Phoenix Group Holdings Plc 5.63% / perpetual 1,500,000 USD 1,544,500 1,601,190 1.79 RSA Insurance Group LTD 5.13% 10/10/2045 800,000 GBP 1,187,359 1,263,397 1.41 SSE Plc 3.13% / perpetual 1,000,000 EUR 1,295,338 1,287,128 1.44 UBS AG 0.39% 09/02/2024 EMTN 750,000 USD 752,625 751,778 0.84 Virgin Media Secured Finance Plc 5.00% 15/04/2027 400,000 GBP 493,720 575,368 0.64 Vodafone Group Plc 4.88% 03/10/2078 600,000 GBP 791,010 902,913 1.01

18,130,448 19,195,577 21.49

INDIA Reliance Industries Ltd 4.13% 28/01/2025 1,750,000 USD 1,868,213 1,908,725 2.14

1,868,213 1,908,725 2.14

IRELAND Bank of Ireland Group Plc 7.50% / perpetual 700,000 EUR 778,586 982,974 1.10

778,586 982,974 1.10

ITALY Assicurazioni Generali SpA 4.60% EMTN / perpetual 650,000 EUR 832,305 869,587 0.97 Enel SpA 6.63% 15/09/2076 114,000 GBP 164,267 159,544 0.18 Eni SpA 2.63% / perpetual 800,000 EUR 1,026,507 998,091 1.12 UniCredit SpA 3.88% EMTN / perpetual 500,000 EUR 541,611 568,402 0.64

2,564,690 2,595,624 2.91

LUXEMBOURG ArcelorMittal SA 4.55% 11/03/2026 1,200,000 USD 1,262,580 1,354,764 1.52

1,262,580 1,354,764 1.52


149






MAURITIUS ISLANDS Network i2i Ltd 3.98% / perpetual 1,400,000 USD 1,406,676 1,404,326 1.57

1,406,676 1,404,326 1.57

MEXICO Mexico Government International Bond 1.35% 18/09/2027 1,300,000 EUR 1,531,792 1,600,500 1.79

1,531,792 1,600,500 1.79

NETHERLANDS Volkswagen International Finance NV 3.50% / perpetual 1,700,000 EUR 2,069,588 2,180,619 2.44

2,069,588 2,180,619 2.44

SPAIN Banco Bilbao Vizcaya Argentaria SA 6.50% / perpetual 800,000 USD 859,520 873,864 0.98 Banco Santander SA 4.38% / perpetual 600,000 EUR 680,146 736,330 0.82

1,539,666 1,610,194 1.80

SWEDEN

Skandinaviska Enskilda Banken AB 5.13% / perpetual 2,200,000 USD 2,303,250 2,341,415 2.62

Svenska Handelsbanken AB 4.38% / perpetual 1,400,000 USD 1,442,010 1,486,268 1.66

3,745,260 3,827,683 4.28

SWITZERLAND UBS Group AG 3.88% / perpetual 1,500,000 USD 1,499,250 1,504,830 1.68

1,499,250 1,504,830 1.68


Alphabet Inc 2.00% 15/08/2026

2,100,000 USD 2,190,502 2,197,566 2.46

AT&T Inc 2.88% / perpetual

1,000,000 EUR 1,118,304 1,210,341 1.36

Bank of America Corp 3.95% 21/04/2025

650,000 USD 673,075 713,694 0.80

Bank of Nova Scotia 0.60% 15/09/2023

750,000 USD 755,963 755,205 0.85

Duke Energy Corp 2.65% 01/09/2026

1,200,000 USD 1,242,678 1,269,144 1.42

eBay Inc 2.75% 30/01/2023

700,000 USD 715,470 724,836 0.81

Ford Motor Credit Co LLC 3.38% 13/11/2025 1,200,000 USD 1,206,000 1,243,884 1.39


150






UNITED STATES (U.S.A.) (continued) General Electric Co 3.45% / perpetual / Preference 2,350,000 USD 2,208,275 2,307,464 2.58 Hewlett Packard Enterprise Co 1.75% 01/04/2026 1,700,000 USD 1,720,995 1,720,332 1.93 JPMorgan Chase & Co 3.66% / perpetual / Preference 1,000,000 USD 910,000 1,003,390 1.12 Merck & Co Inc 0.75% 24/02/2026 1,400,000 USD 1,398,271 1,389,318 1.56 Microsoft Corp 2.00% 08/08/2023 1,100,000 USD 1,072,280 1,136,377 1.27 Morgan Stanley 4.10% 22/05/2023 950,000 USD 992,635 1,011,408 1.13 Pfizer Inc 0.80% 28/05/2025 1,000,000 USD 997,050 1,002,660 1.12

17,201,498 17,685,619 19.80





MEXICO Mexican Bonos 6.75% 09/03/2023 18,000,000 MXN 944,957 921,263 1.03

944,957 921,263 1.03

NETHERLANDS Siemens Financieringsmaatschappij NV 0.48% 11/03/2024 250,000 USD 250,000 251,328 0.28

250,000 251,328 0.28

SPAIN

Banco Bilbao Vizcaya Argentaria SA 3.10% 15/07/2031 700,000 GBP 1,036,247 1,015,337 1.14

1,036,247 1,015,337 1.14

SWEDEN Vattenfall AB 2.50% 29/06/2083 1,000,000 GBP 1,400,224 1,392,405 1.56

1,400,224 1,392,405 1.56




151






UNITED STATES (U.S.A.) General Motors Financial Co Inc 5.75% / perpetual 1,500,000 USD 1,456,175 1,631,505 1.83

1,456,175 1,631,505 1.83





Unrealised % net


Appreciation assets 30/07/2021 GBP 4,011,062 USD (5,571,366) RBC IS Bank Luxembourg (30,006) (0.03) 30/07/2021 EUR 7,553,321 USD (9,014,873) RBC IS Bank Luxembourg (52,349) (0.06) 30/07/2021 GBP 45,552,491 USD (63,272,409) RBC IS Bank Luxembourg (340,776) (0.38) 30/07/2021 EUR 850,105 USD (1,014,598) RBC IS Bank Luxembourg (5,892) (0.01) 30/07/2021 USD 5,266,401 GBP (3,800,000) RBC IS Bank Luxembourg 16,629 0.02 30/07/2021 USD 22,845,734 EUR (19,200,000) RBC IS Bank Luxembourg 63,641 0.07 30/07/2021 USD 6,089,015 GBP (4,400,000) RBC IS Bank Luxembourg 10,331 0.01

(338,422) (0.38)


TOTAL DERIVATIVE INSTRUMENTS

(338,422) (0.38)





% of Total Assets


Investment in Financial Derivative Instruments (0.38)

Cash at Bank 2.59


Total Assets 99.42


152



Purchases Security Name Quantity Cost % of $ Total Purchases HSBC Holdings Plc 6.38% / perpetual 2,000,000 2,213,000 5.81 Societe Generale SA 4.75% / perpetual 1,500,000 1,505,625 3.96 UBS Group AG 3.88% / perpetual 1,500,000 1,499,250 3.94 UBS Group AG 7.00% / perpetual 1,300,000 1,433,355 3.77 Network i2i Ltd 3.98% / perpetual 1,400,000 1,406,676 3.70 Vattenfall AB 2.50% 29/06/2083 1,000,000 1,400,224 3.68 SSE Plc 3.13% / perpetual 1,000,000 1,295,338 3.40 General Electric Co 3.45% / perpetual / Preference 1,350,000 1,277,650 3.36 CNP Assurances 4.88% / perpetual 1,200,000 1,219,800 3.20 Altice France SA 5.13% 15/07/2029 1,200,000 1,209,000 3.18 Ford Motor Credit Co LLC 3.38% 13/11/2025 1,200,000 1,206,000 3.17 European Bank for Reconstruction & Development 5.20% 22/01/2026 EMTN 85,000,000 1,166,186 3.06 Skandinaviska Enskilda Banken AB 5.13% / perpetual 1,000,000 1,052,250 2.76 Banco Bilbao Vizcaya Argentaria SA 3.10% 15/07/2031 700,000 1,036,247 2.72 Eni SpA 2.63% / perpetual 800,000 1,026,507 2.70 Goldman Sachs Group Inc 3.50% 23/01/2025 900,000 987,210 2.59 TotalEnergies SE 1.63% EMTN / perpetual 800,000 978,164 2.57 Exxon Mobil Corp 2.28% 16/08/2026 800,000 858,112 2.25 eBay Inc 2.75% 30/01/2023 800,000 836,720 2.20 Coca-Cola Co 1.45% 01/06/2027 800,000 818,344 2.15 Bank of Nova Scotia 0.60% 15/09/2023 750,000 755,963 1.99 Royal Bank of Canada 0.48% 26/10/2023 750,000 754,650 1.98 UBS AG 0.39% 09/02/2024 EMTN 750,000 752,625 1.98 Cooperatieve Rabobank UA 0.35% 12/01/2024 750,000 751,575 1.97 Hewlett Packard Enterprise Co 1.75% 01/04/2026 700,000 721,245 1.89 ArcelorMittal SA 4.55% 11/03/2026 500,000 561,355 1.47 Reliance Industries Ltd 4.13% 28/01/2025 500,000 555,625 1.46 Duke Energy Corp 2.65% 01/09/2026 500,000 539,535 1.42 Country Garden Holdings Co Ltd 5.13% 14/01/2027 500,000 536,250 1.41 BP Capital Markets Plc 4.38% / perpetual 500,000 533,500 1.40 Alphabet Inc 2.00% 15/08/2026 500,000 532,375 1.40 Merck & Co Inc 0.75% 24/02/2026 500,000 501,160 1.32 Altice France SA 2.13% 15/02/2025 400,000 473,690 1.24 Credit Agricole SA 7.88% / perpetual 400,000 455,000 1.20 Lloyds Banking Group Plc 7.50% 30/04/2049 400,000 449,800 1.18 Credit Suisse Group AG 7.50% / perpetual 400,000 436,280 1.15 SCOR SE 5.25% / perpetual 400,000 425,200 1.12 Svenska Handelsbanken AB 4.38% / perpetual 400,000 421,000 1.11 HSBC Holdings Plc 6.25% / perpetual 400,000 419,760 1.10 Volkswagen International Finance NV 3.50% / perpetual 300,000 386,969 1.02


153



Sales

Security Name Quantity Proceed % of $ Total Sales Coca-Cola Co 1.45% 01/06/2027 1,800,000 1,813,988 8.45 HSBC Holdings Plc 6.25% / perpetual 1,650,000 1,787,706 8.33 Goldman Sachs Group Inc 3.50% 23/01/2025 1,550,000 1,699,581 7.92 Credit Suisse Group AG 7.50% / perpetual 1,500,000 1,615,125 7.53 Exxon Mobil Corp 2.28% 16/08/2026 1,500,000 1,590,158 7.41 UBS Group AG 7.00% / perpetual 1,300,000 1,461,778 6.81 SSE Plc 3.74% / perpetual 900,000 1,330,670 6.20 Ford Motor Credit Co LLC 3.10% 04/05/2023 1,200,000 1,227,742 5.72 Altice France SA 2.13% 15/02/2025 1,000,000 1,180,093 5.50 European Bank for Reconstruction & Development 5.20% 22/01/2026 EMTN 85,000,000 1,125,528 5.24 TotalEnergies SE 3.37% EMTN / perpetual 800,000 1,087,717 5.07 Nordea Bank Abp 5.25% EMTN / perpetual 1,000,000 1,043,042 4.86 Nissan Motor Acceptance Corp 2.80% 13/01/2022 EMTN 1,000,000 1,021,756 4.76 International Bank for Reconstruction & Development 0.38% 28/07/2025 1,000,000 988,692 4.61 eBay Inc 2.75% 30/01/2023 800,000 835,412 3.89 Brazilian Government International Bond 8.50% 05/01/2024 4,500,000 831,615 3.87 Canara Bank 3.25% 10/08/2022 EMTN 800,000 820,784 3.83



154


London & Capital Global Conservative Fixed Income Fund

Performance Overview Performance: 31/12/2020 – 30/06/2021 Global Conservative Fixed Income Fund* 1.30% Benchmark (Fed Funds Mid + 1%) 1.26%

* USD X Share Class Market Review There were three macro related themes that dominated the first quarter: increasing economic optimism, fears over rising inflation and higher sovereign bond yields. Economic growth rates were revised higher throughout the first quarter spurred on by the successful rollout of vaccines, the passing of the $1.9 trillion Biden relief package and the relatively strong rebound in consumer spending. The consensus for global growth was raised to almost 6%, with US growth expected to rebound to comfortably over 6% this year. Unsurprisingly markets began to price in higher inflation particularly as Central Banks remain committed to keeping rates accommodative. It is inevitable that over the short-term inflation will rise largely due to base effects (i.e., prices declined during March and May last year and unless this is repeated the annual rate will go up come what may). This change in economic outlook pushed longer-dated government bond yields up towards pre-pandemic levels. The US 10-year briefly rose above 1.7% before trading marginally lower. Shorter-dated maturities were well anchored by the Fed’s guidance and this led to a significant steepening of the yield curve. The evolution of the global health crises and its impact on economic policy and activity remained centre stage for financial markets during Q2-21. Initially, the focus was on the US fiscal package which was scaled down to a sub $1trn package from an initial $2trn plus proposal. US inflation picked up to an annual rate of 5%, fuelling concern that the Fed would tolerate higher above target inflation as they had stated. But by quarter end this had changed and the Fed made clear a hawkish policy pivot, implying it would bear down on inflation quicker than many had expected. This pivot was two-fold: the FOMC dot-plot implied 2 rate hikes by the end of 2023, and a potential tapering in asset purchases by year-end. This sparked a significant flattening in the US Treasury yield curve; longer-dated yields fell whilst short and medium-dated yields edged higher. Although risk markets initially responded nervously, they quickly regained poise and equities rose to record highs while there was a further tightening of credit spreads. In the background economic data remained relatively robust pointing to continued consumer spending, job growth, and a pick-up in orders and production. Credit spreads continued to grind tighter in the reporting period, as both corporates and financial institutions reported buoyant earnings, much of which was used to paydown some of the debt accumulated in the second half of 2020. Some sectors fared particularly well such as consumer cyclicals, energy and banks. Performance Review The USD X-share class returned 1.30% for the year to date, more or less matching the benchmark return. Broader bond market indices found the going quite tough, particularly in the first 3 months on the year, with the 1-5 year Multiverse index returning -0.01% for the year to date. During the first quarter, in response to the increased market concern over a reduced level of official monetary policy stimulus, some of the Sub-Fund’s longer-dated high grade exposure was sold, with proceeds re-invested into lower “beta” credits that would benefit more a stronger global economy. Some “put” options on US Treasury bonds were also purchased to hedge the Sub-Fund’s capital from a rising bond yield environment. These moves shielded the portfolio from recording negative returns for the reporting period.


155


London & Capital Global Conservative Fixed Income Fund (Continued)



156



L&CGCFI L&CGCFI 30 Jun 2021 31 Dec 2020 Note $ $


Investments in Transferable Securities 3 19,162,488 21,583,671Investments in Financial Derivative Instruments 3 29,414 295,888

Cash at bank 4 1,002,473 537,028Dividends and interest receivable 194,937 179,451Other receivables - 296


Investments in Financial Derivative Instruments 3 97,770 316,588Investment management fees payable 6 5,101 6,622Manager fee payable 6 3,960 905Administration fees payable 6 21,965 11,644Transfer agency fees payable 6 15,117 3,833Directors fees payable 6 1,027 277Depositary and depositary oversight fees payable 6 14,954 5,944Audit fees payable 6 1,220 1,903Redemptions payable - 63,320Other fees payable 13,217 9,761TOTAL LIABILITIES (excluding net assets attributabl e to holders of redeemable participating shares) 174,331 420,797

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PA RTICIPATING SHARES 20,214,981 22,175,537 The accompanying notes and schedules form an integral part of these condensed financial statements.


157



L&CGCFI L&CGCFI

Financial



INCOME Bond interest income 364,160 598,876 Net realised and unrealised gain/(loss) on financial assets and liabilities at fair value through profit or loss 7 328,944 (3,036,829) Bank Interest - 1,852 Other income 292 81 TOTAL INVESTMENT INCOME /(LOSS) 693,396 (2,436,020) EXPENSES Investment management fees 6 16,157 50,749 Manager fees 6 24,804 16,376 Administration fees 6 25,131 31,529 Director fees 6 5,973 1,095 Depositary and depositary oversight fees 6 13,501 10,865 Audit fees 6 3,765 3,462 Transfer agency fees 6 16,593 7,006 Swap interest expenses 197 54 Bank interest expense 319 436 Other fees and expenses 6 17,184 9,450 Total Operating Expenses 123,624 131,022 Operating Profit/(Loss) 569,772 (2,567,042) Finance Costs Dividends to holders of redeemable participating shares 248,861 325,721 Profit/(Loss) Before Tax 320,911 (2,892,763) Withholding tax 10,968 16,679 Increase/(Decrease) in net assets attributable to holders of redeemable participating shares from operations 309,943 (2,909,442) The accompanying notes and schedules form an integral part of these condensed financial statements. All of the results for the financial period relate to continuing operations.


158




L&CGCFI L&CGCFI

Financial


Period Ended 30 Jun 2021 30 Jun 2020 $ $ Net Assets attributable to holders of Redeemable Participating Shares at the beginning of the financial period 22,175,537 37,603,230 Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 309,943 (2,909,442) Capital transactions Issue of redeemable shares during the financial period 7,736,373 2,442,940Redemption of redeemable shares during the financial period (10,006,872) (9,885,990) Net Assets attributable to Holders of Redeemable Participating Shares at the end of the financial period 20,214,981 27,250,738


159

Statement of Cash Flows


L&CGCFI L&CGCFI 30 Jun 2021 30 Jun 2020 $ $ Cash flows from operating activities Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 309,943 (2,909,442) Adjustment to reconcile increase/(decrease) in net assets attributable to holders of redeemable participating shares from operations to net cash provided by operating activities Bond interest income (364,160) (598,876) Tax expense 10,968 16,679 Dividends to holders of redeemable participating shares 248,861 325,721 Operating profit/(loss) before working capital changes 205,612 (3,165,918) Changes in operating assets and liabilities Net decrease in financial assets and liabilities at fair value 2,468,839 10,000,430 Decrease/(Increase) in other receivables 296 (1,192) Increase in payables 35,672 525,547 Cash provided by operating activities 2,710,419 7,358,867

Interest received 348,674 633,644 Taxation paid (10,968) (16,679) Net cash provided by operating activities 3,048,125 7,975,832 Cash flows from financing activities Proceeds from issue of redeemable participating shares 7,736,373 2,442,940 Payment on redemptions of redeemable participating shares (10,070,192) (9,773,996) Dividends to holders of redeemable participating shares (248,861) (325,721) Net cash used in financing activities (2,582,680) (7,656,777)

Net increase in cash 465,445 319,055 Net Cash at the start of the financial period 537,028 597,731 Net Cash at the end of the financial period 1,002,473 916,786 Analysis of Cash Cash at the start of the financial period 537,028 597,731 Overdraft at the start of the financial period - - Cash at the end of the financial period 1,002,473 916,786 Overdraft at the end of the financial period - - The accompanying notes and schedules form an integral part of these condensed financial statements.


160




1) INVESTMENTS



AUSTRALIA Cooperatieve Rabobank UA 3.25% / perpetual 400,000 EUR 487,705 491,812 2.43

487,705 491,812 2.43


353,461 367,784 1.82

BERMUDA ISLANDS Hiscox Ltd 2.00% 14/12/2022 300,000 GBP 414,405 421,410 2.08

414,405 421,410 2.08

FRANCE CNP Assurances 4.88% / perpetual 400,000 USD 406,600 420,740 2.08 Credit Agricole SA 7.88% / perpetual 500,000 USD 567,500 566,670 2.80 SCOR SE 5.25% / perpetual 600,000 USD 636,360 635,466 3.14 Suez SA 1.63% / perpetual 600,000 EUR 668,896 716,507 3.54

2,279,356 2,339,383 11.56

GERMANY Bayer AG 2.38% 12/11/2079 500,000 EUR 550,113 602,093 2.98 Commerzbank AG 1.75% 22/01/2025 EMTN 300,000 GBP 415,628 419,649 2.08 EnBW Energie Baden-Wuerttemberg AG 1.63% 05/08/2079 400,000 EUR 447,094 478,278 2.37 Merck KGaA 1.63% 09/09/2080 500,000 EUR 591,918 611,794 3.03

2,004,753 2,111,814 10.46

GREAT BRITAIN BP Capital Markets Plc 4.38% / perpetual 550,000 USD 565,150 588,137 2.91 British Telecommunications Plc 1.87% 18/08/2080 500,000 EUR 557,240 579,081 2.86 Heathrow Finance Plc 6.25% 03/03/2025 400,000 GBP 545,282 610,153 3.02 HSBC Holdings Plc 6.38% / perpetual 700,000 USD 774,550 782,222 3.87 Lloyds Banking Group Plc 5.13% / perpetual 300,000 GBP 433,915 440,167 2.18


161






GREAT BRITAIN (continued) Nationwide Building Society 5.88% / perpetual 300,000 GBP 376,977 457,147 2.26 Natwest Group Plc 5.13% / perpetual 450,000 GBP 625,711 670,943 3.32 NGG Finance Plc 1.63% 05/12/2079 500,000 EUR 567,342 600,249 2.97 Phoenix Group Holdings Plc 5.63% / perpetual 700,000 USD 720,500 747,222 3.70 RSA Insurance Group LTD 5.13% 10/10/2045 300,000 GBP 445,260 473,774 2.34 SSE Plc 3.13% / perpetual 450,000 EUR 582,902 579,208 2.87

6,194,829 6,528,303 32.30

MEXICO Mexico Government International Bond 1.35% 18/09/2027 500,000 EUR 589,151 615,577 3.05 Petroleos Mexicanos 6.49% 23/01/2027 600,000 USD 594,850 633,048 3.13

1,184,001 1,248,625 6.18

NETHERLANDS Daimler International Finance BV 1.63% 11/11/2024 EMTN 500,000 GBP 644,613 708,905 3.51 Volkswagen Financial Services NV 1.75% 12/09/2022 EMTN 200,000 GBP 249,131 280,050 1.39

893,744 988,955 4.90

PORTUGAL EDP - Energias de Portugal SA 1.70% 20/07/2080 400,000 EUR 439,100 477,699 2.36

439,100 477,699 2.36

SPAIN Banco Santander SA 4.38% / perpetual 400,000 EUR 453,431 490,887 2.43

453,431 490,887 2.43

SWITZERLAND UBS Group AG 3.88% / perpetual 300,000 USD 299,850 300,966 1.49

299,850 300,966 1.49


162






UNITED STATES (U.S.A.) Alphabet Inc 2.00% 15/08/2026 750,000 USD 801,003 784,845 3.88 AT&T Inc 2.88% / perpetual 500,000 EUR 546,409 605,171 2.99 Bank of Nova Scotia 0.60% 15/09/2023 700,000 USD 705,565 704,858 3.49 General Electric Co 3.45% / perpetual / Preference 600,000 USD 579,000 589,140 2.91 Goldman Sachs Group Inc 5.00% / perpetual / Preference 700,000 USD 704,250 710,836 3.52

3,336,227 3,394,850 16.79



B) DERIVATIVE INSTRUMENTS


Unrealised % net

Maturity Currency Bought Currency Sold Counterparty (Depreciation) /Appreciation assets

30/07/2021 GBP 1,657,799 USD (2,302,682) RBC IS Bank Luxembourg (12,402) (0.06) 30/07/2021 GBP 11,411,364 USD (15,850,385) RBC IS Bank Luxembourg (85,368) (0.42) 30/07/2021 USD 762,242 GBP (550,000) RBC IS Bank Luxembourg 2,407 0.01 30/07/2021 USD 7,377,268 EUR (6,200,000) RBC IS Bank Luxembourg 20,550 0.10 30/07/2021 USD 3,805,634 GBP (2,750,000) RBC IS Bank Luxembourg 6,457 0.03

(68,356) (0.34)


TOTAL DERIVATIVE INSTRUMENTS (68,356) (0.34)






163




% of Total Assets Assets Investment in Transferable Securities 93.98 Investment in Financial Derivative Instruments (0.34) Cash at Bank 4.92 Other Assets and Liabilities 0.58

Total Assets

99.14


164



Purchases Security Name Quantity Cost % of

$ Total Purchases HSBC Holdings Plc 6.38% / perpetual 700,000 774,550 12.45 Bank of Nova Scotia 0.60% 15/09/2023 700,000 705,565 11.34 SSE Plc 3.13% / perpetual 450,000 582,902 9.37 Alphabet Inc 2.00% 15/08/2026 500,000 532,375 8.56 Lloyds Banking Group Plc 5.13% / perpetual 300,000 433,915 6.98 Commerzbank AG 1.75% 22/01/2025 EMTN 300,000 415,628 6.68 CNP Assurances 4.88% / perpetual 400,000 406,600 6.54 UBS Group AG 3.88% / perpetual 300,000 299,850 4.82 Natwest Group Plc 5.13% / perpetual 200,000 287,224 4.62 Exxon Mobil Corp 2.28% 16/08/2026 200,000 214,528 3.45 BP Capital Markets Plc 4.38% / perpetual 200,000 213,400 3.43 SCOR SE 5.25% / perpetual 200,000 212,600 3.42 Phoenix Group Holdings Plc 5.63% / perpetual 200,000 211,500 3.40 HSBC Holdings Plc 6.25% / perpetual 200,000 209,880 3.37 Aviva Plc 6.13% / perpetual 100,000 147,395 2.37 NGG Finance Plc 1.63% 05/12/2079 100,000 124,280 2.00 Suez SA 1.63% / perpetual 100,000 123,328 1.98 British Telecommunications Plc 1.87% 18/08/2080 100,000 120,693 1.94 Petroleos Mexicanos 6.49% 23/01/2027 100,000 104,100 1.67 Goldman Sachs Group Inc 5.00% / perpetual / Preference 100,000 100,500 1.61

Sales Security Name Quantity Proceed % of

$ Total Sales Aviva Plc 6.13% / perpetual 560,000 848,176 9.79 JPMorgan Chase & Co 3.66% / perpetual / Preference 800,000 799,954 9.23 HSBC Holdings Plc 6.25% / perpetual 700,000 758,421 8.76 Exxon Mobil Corp 2.28% 16/08/2026 700,000 742,074 8.57 State Bank of India 3.25% 24/01/2022 EMTN 650,000 663,822 7.66 Baidu Inc 3.88% 29/09/2023 600,000 643,654 7.43 SSE Plc 3.74% / perpetual 400,000 591,409 6.83 Sinopec Group Overseas Development 2012 Ltd 3.90% 17/05/2022 550,000 576,174 6.65 American Honda Finance Corp 1.30% 21/03/2022 400,000 561,331 6.48 Barclays Plc 7.88% / perpetual 500,000 533,422 6.16 EnBW Energie Baden-Wuerttemberg AG 1.13% 05/11/2079 400,000 486,632 5.62 GE Capital UK Funding Unlimited Co 4.13% 13/09/2023 EMTN 300,000 461,881 5.33 Ford Motor Credit Co LLC 3.10% 04/05/2023 400,000 408,763 4.72 Prudential Financial Inc 5.88% 15/09/2042 300,000 326,244 3.77 Microsoft Corp 2.00% 08/08/2023 250,000 260,684 3.00



165


London & Capital Global Defensive Equity Fund

L&CGDE L&CGDE* 30 Jun 2021 31 Dec 2020 Note £ £

ASSETS Cash at bank 4 - 76,838

TOTAL ASSETS - 76,838 LIABILITIES Bank Overdraft - 7,862 Manager fee payable 6 - 4,899 Administration fees payable 6 - 8,094 Directors fees payable 6 - 853 Audit fees payable 6 - 5,022 Legal fees payable - 45,126 Other fees payable - 4,982 TOTAL LIABILITIES (excluding net assets attributabl e to holders of redeemable participating shares) - 76,838

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES - - *L&CGDE was closed by way of compulsory redemption on 28th August 2020. The accompanying notes and schedules form an integral part of these condensed financial statements.


166



L&CGDE L&CGDE *

Financial



Note £ £

INCOME Dividend income - 143,538 Bond interest income - 25,022 Net realised and unrealised loss on financial assets and liabilities at fair value through profit or loss 7 - (628,068) Bank interest - 1,731 Other income - 2,278 TOTAL INVESTMENT LOSS - (455,499) EXPENSES Investment management fees 6 - 23,126 Manager fees 6 - 10,114 Administration fees 6 - 27,758 Director fees 6 - 468 Depositary and depositary oversight fees 6 - 8,628 Audit fees 6 - 2,313 Transfer agency fees 6 - 5,563 Swap interest expenses - 1,781 Bank interest expense - 764 Other fees and expenses 6 - 33,452 Total Operating Expenses - 113,967 Operating Loss - (569,466) Finance Costs Dividends to holders of redeemable participating shares - 51,906 Loss Before Tax - (621,372) Withholding tax - 25,514 Decrease in net assets attributable to holders of redeemable participating shares from operations - (646,886) *L&CGDE was closed by way of compulsory redemption on 28th August 2020. The accompanying notes and schedules form an integral part of these condensed financial statements. All of the results for the financial period relate to continuing operations.


167



*L&CGDE was closed by way of compulsory redemption on 28th August 2020. The accompanying notes and schedules form an integral part of these condensed financial statements.

L&CGDE L&CGDE*

Financial



£ £ Net Assets attributable to holders of Redeemable Participating Shares at the beginning of the financial period - 16,431,319 Decrease in Net Assets attributable to Holders of Redeemable Participating Shares from operations - (646,886) Capital transactions Issue of redeemable shares during the financial period - 466,739 Redemption of redeemable shares during the financial period - (5,483,754) Net Assets attributable to Holders of Redeemable Participating Shares at the end of the financial period - 10,767,418


168



L&CGDE L&CGDE* 30 Jun 2021 30 Jun 2020 £ £ Cash flows from operating activities Decrease in Net Assets attributable to Holders of Redeemable Participating Shares from operations - (646,886) Adjustment to reconcile decrease in net assets attributable to holders of redeemable participating shares from operations to net cash (used in)/provided by operating activities Bond interest income - (25,022) Dividend income - (143,538) Tax expense - 25,514 Dividends to holders of redeemable participating shares - 51,906 Operating loss before working capital changes - (738,026) Changes in operating assets and liabilities Net decrease in financial assets and liabilities at fair value - 4,965,520 Increase in other receivables - (4,625) (Decrease)/Increase in payables (68,976) 57,425 Cash (used in)/provided by operating activities (68,976) 4,280,294

Interest received - 41,174 Dividend received - 150,948 Taxation paid - (25,514) Net cash (used in)/provided by operating activities (68,976) 4,446,902 Cash flows from financing activities Proceeds from issue of redeemable participating shares - 466,739 Payment on redemptions of redeemable participating shares - (5,406,006) Dividends to holders of redeemable participating shares - (51,906) Net cash used in financing activities - (4,991,173)

Net decrease in cash (68,976) (544,271) Net Cash at the start of the financial period 68,976 1,811,518 Net Cash at the end of the financial period - 1,267,247 Analysis of Cash Cash at the start of the financial period 76,838 1,811,518 Overdraft at the start of the financial period (7,862) - Cash at the end of the financial period - 1,267,247 Overdraft at the end of the financial period - - *L&CGDE was closed by way of compulsory redemption on 28th August 2020. The accompanying notes and schedules form an integral part of these condensed financial statements.


169


London & Capital Global Growth Fund

Performance Overview Performance: 31/12/2020 – 30/06/2021 Global Growth Fund* 8.60%

* GBP A Share Class Market Review There were three macro related themes that dominated the first quarter: increasing economic optimism, fears over rising inflation and higher sovereign bond yields. Economic growth rates were revised higher throughout the first quarter spurred on by the successful rollout of vaccines, the passing of the $1.9 trillion Biden relief package and the relatively strong rebound in consumer spending. The consensus for global growth was raised to almost 6%, with US growth expected to rebound to comfortably over 6% this year. However beneath the surface of the equity market we have seen a transition of leadership from cyclicals back towards secular growth stocks for the last two months and most recently this was spurred on by the markets perception of a hawkish tilt in the June Federal Reserve meeting which led to a flattening of the yield curve. The market positioning in the last few months reflected by survey data suggested that participants were overweight cyclicals and underweight secular growth/technology names as we reached this peak cyclical optimism and a peak inflation narrative leading them to get caught offside by this rotation. Alongside this, credit indicators in China (such as the Bloomberg China Credit Impulse) have shown a fairly dramatic tightening in monetary conditions by authorities in the first half of the year and the recent Caixin services PMI data indicated a significant slowdown in the Chinese economic growth backdrop which may feed through to the rest of the global economy over the next 12 months. Additionally, there are some fears materialising on the delta variant which is adding fuel to the flames. This could well bring a bit of a consolidation as we are also past peak liquidity which has propped up markets and probably prevented any significant pullback to date. Performance Review The Global Growth Fund (GBP A Class) performance was 8.6% in the first half of the year. Over the course of the last few months in the Global Growth Fund we have been in the process of taking profits in some of our more opportunistic cyclicals additions over the last year such as Ralph Lauren, Stanley Black & Decker and Genuine Car Parts Co, as we noticed elevated expectations for this group as well as more attractive opportunities in secular growth names that had been out of favour in Q2.


170


London & Capital Global Growth Fund (Continued)

Outlook In the short run we note that the market has remained remarkably buoyant for quite some time and small pullbacks are part of a normal course of a sustained bull market. We have been paying attention to some retail investor indicators which showed signs of over-extended positioning which also creates a bit of temporary fragility in markets. Cyclicals are already consolidating and the longer term outlook is less bright than the market was hoping for three months ago. The forthcoming Q2 results will be a test for markets as results are likely to be above expectations again. However, the key will be the outlooks and how markets react to the news as it will continue to become apparent that there will be a deceleration in growth which is hardly surprising given the impacts of the pandemic and the corresponding measures taken by governments and central banks. London and Capital Asset Management Limited Date: July 2021


171



L& CGG L& CGG 30 Jun 2021 31 Dec 2020 Note £ £


Investments in Transferable Securities 3 75,008,388 42,754,357Investments in Financial Derivative Instruments 3 62,296 498,221

Cash at bank 4 7,153,870 3,043,665Dividends and interest receivable 102,228 123,359Amount receivable on subscriptions 2,635,964 -Other receivables 1,148 412,831


Investments in Financial Derivative Instruments 3 75,455 52,446Amount payable on purchase of securities 1,276,773 -Investment management fees payable 6 110,649 66,100Manager fee payable 6 3,296 2,930Administration fees payable 6 18,220 11,088Transfer agency fees payable 6 9,448 4,042Directors fees payable 6 606 25Depositary and depositary oversight fees payable 6 13,349 5,507Audit fees payable 6 762 1,253Redemptions payable 2,574,627 2,984Other fees payable 6,489 6,296

TOTAL LIABILITIES (excluding net assets attributabl e to holders of redeemable participating shares) 4,089,674 152,671



172



L&CGG L&CGG

Financial



Note £ £

INCOME Dividend income 404,582 307,535 Bond interest income 183,889 266,809 Net realised and unrealised gain/(loss) on financial assets and liabilities at fair value through profit or loss 7 4,717,132 (2,392,549) Bank interest 1 2,586 Other income 249 1,537 TOTAL INVESTMENT INCOME/(LOSS) 5,305,853 (1,814,082) EXPENSES Investment management fees 6 259,917 177,522 Manager fees 6 17,501 18,081 Administration fees 6 30,551 35,599 Director fees 6 4,304 4,351 Depositary and depositary oversight fees 6 11,647 10,329 Audit fees 6 2,712 2,749 Transfer agency fees 6 8,839 7,745 Swap interest expense 72 52 Bank interest expense 1,851 2,133 Other fees and expenses 6 12,809 10,419 Total Operating Expenses 350,203 268,980 Operating Profit/(Loss) 4,955,650 (2,083,062) Finance Costs Dividends to holders of redeemable participating shares 39,948 - Profit/(Loss) Before Tax 4,915,702 (2,083,062) Withholding tax 70,004 59,258 Increase/(Decrease) in net assets attributable to holders of redeemable participating shares from operations 4,845,698 (2,142,320)



173




L&CGG L&CGG

Financial


Period Ended 30 Jun 2021 30 Jun 2020 £ £ Net Assets attributable to holders of Redeemable Participating Shares at the beginning of the financial period 46,679,762 44,475,936 Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 4,845,698 (2,142,320) Capital transactions Issue of redeemable shares during the financial period 36,862,099 2,089,199 Redemption of redeemable shares during the financial period (7,513,339) (4,226,790) Net Assets attributable to Holders of Redeemable Participating Shares at the end of the financial period 80,874,220 40,196,025


174



L&CGG L&CGG 30 Jun 2021 30 Jun 2020 £ £ Cash flows from operating activities Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 4,845,698 (2,142,320) Adjustment to reconcile increase/(decrease) in net assets attributable to holders of redeemable participating shares from operations to net cash (used in)/provided by operating activities Bond interest income (183,889) (266,809) Dividend income (404,582) (307,535) Tax expense 70,004 59,258 Dividends to holders of redeemable participating shares 39,948 - Operating profit/(loss) before working capital changes 4,367,179 (2,657,406) Changes in operating assets and liabilities Net (increase)/decrease in financial assets and liabilities at fair value (31,795,097) 4,659,216 Increase in other receivables (1,148) (1,138) Increase in payables 1,342,351 229,841 Cash (used in)/provided by operating activities (26,086,715) 2,230,513

Interest received 203,868 283,347 Dividend received 405,734 303,629 Taxation paid (70,004) (59,258) Net cash (used in)/provided by operating activities (25,547,117) 2,758,231 Cash flows from financing activities Proceeds from issue of redeemable participating shares 34,638,966 2,089,199 Payment on redemptions of redeemable participating shares (4,941,696) (4,226,790) Dividends to holders of redeemable participating shares (39,948) - Net cash provided by /(used in) financing activities 29,657,322 (2,137,591)

Net increase in cash 4,110,205 620,640 Net Cash at the start of the financial period 3,043,665 2,476,941 Net Cash at the end of the financial period 7,153,870 3,097,581 Analysis of Cash Cash at the start of the financial period 3,043,665 2,476,941 Overdraft at the start of the financial period - - Cash at the end of the financial period 7,153,870 3,097,581 Overdraft at the end of the financial period - - The accompanying notes and schedules form an integral part of these condensed financial statements.


175




1) INVESTMENTS



FRANCE Cie Generale des Etablissements Michelin SCA 5,900 EUR 565,146 681,220 0.84 EssilorLuxottica SA 5,900 EUR 623,975 788,290 0.97 L'Oreal SA 2,600 EUR 564,936 838,770 1.04 LVMH Moet Hennessy Louis Vuitton SE 1,950 EUR 741,151 1,106,996 1.37 Sanofi 6,400 EUR 493,304 485,455 0.60 Vinci SA 6,900 EUR 531,883 533,036 0.66

3,520,395 4,433,767 5.48

GERMANY adidas AG 3,950 EUR 943,145 1,064,391 1.32 Brenntag SE 9,800 EUR 377,862 659,729 0.82

1,321,007 1,724,120 2.14

GREAT BRITAIN Bunzl Plc 20,600 GBP 430,396 492,134 0.61 Burberry Group Plc 8,000 GBP 115,458 165,280 0.20 Diageo Plc 22,300 GBP 672,096 771,803 0.95 Persimmon Plc 33,000 GBP 924,944 976,140 1.21 Unilever Plc 15,200 EUR 698,506 644,133 0.80

2,841,400 3,049,490 3.77

IRELAND Accenture Plc 5,350 USD 867,233 1,141,646 1.41

867,233 1,141,646 1.41

NETHERLANDS Koninklijke Philips NV 8,467 EUR 272,746 303,749 0.38

272,746 303,749 0.38

NORWAY Telenor ASA 38,000 NOK 617,481 463,827 0.57

617,481 463,827 0.57

SPAIN Aena SME SA 4,200 EUR 531,137 498,637 0.62

531,137 498,637 0.62


176






SWITZERLAND Nestle SA 5,400 CHF 412,988 487,248 0.60 Roche Holding AG 3,500 CHF 917,629 955,348 1.18

1,330,617 1,442,596 1.78

TAIWAN Taiwan Semiconductor Manufacturing Co Ltd 15,000 USD 944,329 1,304,716 1.61

944,329 1,304,716 1.61

UNITED STATES (U.S.A.) Adobe Inc 3,920 USD 1,296,570 1,661,811 2.05 Align Technology Inc 1,400 USD 388,892 619,204 0.77 Alphabet Inc - Class C 2,010 USD 2,872,377 3,646,677 4.51 Amgen Inc 2,650 USD 422,376 467,579 0.58 Booking Holdings Inc 805 USD 1,220,094 1,275,046 1.58 Cadence Design Systems Inc 11,000 USD 1,037,799 1,089,449 1.35 Estee Lauder Cos Inc 2,800 USD 424,942 644,702 0.80 General Dynamics Corp 2,300 USD 307,299 313,437 0.39 Genuine Parts Co 3,000 USD 234,540 274,646 0.34 Goldman Sachs Group Inc 5.00% / perpetual / Preference 300,000 USD 215,765 220,525 0.27 Hershey Co 6,150 USD 660,555 775,422 0.96 Intuitive Surgical Inc 1,780 USD 973,322 1,184,957 1.46 Johnson & Johnson 4,700 USD 508,135 560,482 0.69 JPMorgan Chase & Co 3.66% / perpetual / Preference 200,000 USD 148,281 145,266 0.18 Kellogg Co 9,000 USD 403,690 419,103 0.52 Lockheed Martin Corp 3,950 USD 1,003,463 1,081,822 1.34 Mastercard Inc 5,300 USD 1,305,719 1,400,686 1.73 Microsoft Corp 17,800 USD 2,835,831 3,490,549 4.32 Moody's Corp 4,250 USD 1,004,627 1,114,823 1.38 Omnicom Group Inc 10,000 USD 614,772 579,029 0.72 Otis Worldwide Corp 8,500 USD 421,034 503,127 0.62 PepsiCo Inc 10,350 USD 1,063,466 1,110,109 1.37 Procter & Gamble Co 10,200 USD 921,729 996,262 1.23 Raytheon Technologies Corp 7,900 USD 442,666 487,856 0.60 Stanley Black & Decker Inc 2,100 USD 278,095 311,614 0.39 Starbucks Corp 14,200 USD 902,451 1,149,301 1.42 Synopsys Inc 5,000 USD 881,559 998,190 1.23 TJX Cos Inc 21,000 USD 954,354 1,024,880 1.27 Twilio Inc 4,100 USD 972,573 1,169,826 1.45


177






UNITED STATES (U.S.A.) (continued) Uber Technologies Inc 18,000 USD 505,344 653,053 0.81 United Parcel Service Inc 4,500 USD 354,176 677,451 0.84 Verizon Communications Inc 13,600 USD 585,976 551,600 0.68 Visa Inc 11,150 USD 1,729,830 1,887,215 2.33 Walt Disney Co 12,650 USD 1,453,647 1,609,534 1.99 Waste Management Inc 10,800 USD 970,325 1,095,362 1.35 WEC Energy Group Inc 15,200 USD 997,807 978,711 1.21

31,314,081 36,169,306 44.73




179,814 178,006 0.22

CANADA Royal Bank of Canada 4.00% 24/02/2081 350,000 CAD 209,029 212,967 0.26

209,029 212,967 0.26

CAYMAN ISLANDS Banco do Brasil SA 9.00% / perpetual 200,000 USD 170,436 161,591 0.20 Country Garden Holdings Co Ltd 5.13% 14/01/2027 200,000 USD 159,398 154,736 0.19

329,834 316,327 0.39

FRANCE Altice France SA 5.13% 15/07/2029 200,000 USD 144,062 145,666 0.18 BNP Paribas SA 6.63% / perpetual 300,000 USD 255,440 238,395 0.28 CNP Assurances 4.88% / perpetual 400,000 USD 297,707 304,564 0.38 Credit Agricole SA 7.88% / perpetual 300,000 USD 242,317 246,120 0.30 Electricite de France SA 6.00% EMTN / perpetual 200,000 GBP 209,871 224,008 0.28 SCOR SE 5.25% / perpetual 200,000 USD 162,478 153,333 0.19 Societe Generale SA 4.75% / perpetual 200,000 USD 140,741 150,068 0.19 TotalEnergies SE 1.63% EMTN / perpetual 300,000 EUR 266,520 258,219 0.32

1,719,136 1,720,373 2.12


178






GERMANY Bayer AG 2.38% 12/11/2079 300,000 EUR 257,987 261,505 0.32 Deutsche Bank AG 7.13% / perpetual 200,000 GBP 190,603 219,162 0.27 RWE AG 6.63% 30/07/2075 150,000 USD 125,888 126,330 0.16

574,478 606,997 0.75

GREAT BRITAIN Barclays Plc 5.88% / perpetual 200,000 GBP 210,750 215,014 0.27 Barclays Plc 8.00% / perpetual 200,000 USD 161,778 165,164 0.20 BP Capital Markets Plc 4.38% / perpetual 300,000 USD 226,221 232,221 0.29 Centrica Plc 5.25% 10/04/2075 200,000 GBP 217,880 215,888 0.27

Direct Line Insurance Group Plc 4.75% / perpetual 200,000 GBP 199,750 206,124 0.25

HSBC Holdings Plc 5.88% / perpetual

300,000 GBP 317,625 337,122 0.42

Legal & General Group Plc 5.63% / perpetual 200,000 GBP 199,640 224,746 0.28

Lloyds Banking Group Plc 5.13% / perpetual 200,000 GBP 201,800 212,418 0.26

Nationwide Building Society 5.88% / perpetual 200,000 GBP 219,400 220,612 0.27

Natwest Group Plc 5.13% / perpetual

200,000 GBP 204,400 215,858 0.27

Phoenix Group Holdings Plc 5.75% / perpetual 250,000 GBP 270,250 271,025 0.33

SSE Plc 3.13% / perpetual

220,000 EUR 209,294 204,979 0.25

Virgin Media Secured Finance Plc 5.00% 15/04/2027 200,000 GBP 200,632 208,248 0.26 Vodafone Group Plc 4.88% 03/10/2078 200,000 GBP 200,826 217,866 0.27

3,040,246 3,147,285 3.89


181,587 203,301 0.25

ITALY Assicurazioni Generali SpA 4.60% EMTN / perpetual 200,000 EUR 198,077 193,684 0.24 UniCredit SpA 3.88% EMTN / perpetual 300,000 EUR 251,900 246,872 0.31

449,977 440,556 0.55

MAURITIUS ISLANDS Network i2i Ltd 3.98% / perpetual 200,000 USD 141,705 145,223 0.18

141,705 145,223 0.18


179






MEXICO Petroleos Mexicanos 8.25% 02/06/2022 EMTN 200,000 GBP 220,400 211,320 0.26

220,400 211,320 0.26

SPAIN

Banco Bilbao Vizcaya Argentaria SA 6.50% / perpetual 200,000 USD 159,029 158,143 0.20

Banco Santander SA 4.38% / perpetual

200,000 EUR 173,589 177,671 0.22

332,618 335,814 0.42

SWEDEN Skandinaviska Enskilda Banken AB 5.13% / perpetual 200,000 USD 159,817 154,082 0.19

159,817 154,082 0.19


212,306 217,862 0.27

UNITED STATES (U.S.A.) AT&T Inc 2.88% / perpetual 300,000 EUR 252,739 262,842 0.33 Ford Motor Credit Co LLC 3.38% 13/11/2025 200,000 USD 144,226 150,070 0.19 General Electric Co 3.45% / perpetual / Preference 250,000 USD 182,421 177,694 0.22

579,386 590,606 0.74


3) LISTED SECURITIES : EXCHANGE TRADED COMMODITIES

IRELAND iShares Physical Gold ETC / perpetual 77,000 USD 2,073,956 1,921,029 2.38

2,073,956 1,921,029 2.38

TOTAL LISTED SECURITIES : EXCHANGE TRADED COMMODITIES 2,073,956 1,921,029 2.38


180






IRELAND iShares MSCI China A UCITS ETF 100,000 USD 517,658 475,178 0.59 iShares MSCI Taiwan UCITS ETF 8,500 GBP 399,912 516,120 0.64 iShares MSCI UK Small Cap UCITS ETF 10,850 GBP 2,467,642 2,708,160 3.35 Vanguard FTSE Emerging Markets UCITS ETF 149,000 GBP 7,390,906 7,893,237 9.76

10,776,118 11,592,695 14.34



JERSEY WisdomTree Industrial Metals 150,000 USD 1,607,516 1,657,769 2.05

1,607,516 1,657,769 2.05

TOTAL LISTED SECURITIES : WARRANTS 1,607,516 1,657,769 2.05




FRANCE Credit Agricole SA 7.50% / perpetual 200,000 GBP 228,760 238,338 0.29

228,760 238,338 0.29

MEXICO Mexican Bonos 6.75% 09/03/2023 4,000,000 MXN 157,032 148,196 0.18

157,032 148,196 0.18

SWEDEN Vattenfall AB 2.50% 29/06/2083 200,000 GBP 200,875 201,586 0.25

200,875 201,586 0.25


TOTAL OTHER TRANSFERABLE SECURITIES DEALT ON ANOTHE R REGULATED MARKET 586,667 588,120 0.72


181






UNITED STATES (U.S.A.) General Motors Financial Co Inc 5.75% / perpetual 300,000 USD 223,441 236,202 0.29

223,441 236,202 0.29

TOTAL OTHER TRANSFERABLE SECURITIES : BONDS 223,441 236,202 0.29

TOTAL OTHER TRANSFERABLE SECURITIES 223,441 236,202 0.29



Unrealised % net


Appreciation assets 30/07/2021 EUR 12,104,666 GBP (10,401,806) RBC IS Bank Luxembourg (5,278) (0.01) 30/07/2021 USD 3,838,582 GBP (2,763,962) RBC IS Bank Luxembourg 14,561 0.02 30/07/2021 USD 9,438,466 GBP (6,796,145) RBC IS Bank Luxembourg 35,802 0.04 30/07/2021 GBP 1,255,474 CHF (1,600,000) RBC IS Bank Luxembourg 1,631 0.00 30/07/2021 GBP 209,927 CAD (360,000) RBC IS Bank Luxembourg (494) 0.00 30/07/2021 GBP 438,584 NOK (5,200,000) RBC IS Bank Luxembourg 1,196 0.00 30/07/2021 EUR 184,376 GBP (158,792) RBC IS Bank Luxembourg (434) 0.00 30/07/2021 USD 11,324 GBP (8,187) RBC IS Bank Luxembourg 10 0.00 30/07/2021 USD 56,600 GBP (40,920) RBC IS Bank Luxembourg 50 0.00 30/07/2021 USD 269,289 GBP (194,686) RBC IS Bank Luxembourg 236 0.00 30/07/2021 GBP 194,613 USD (269,289) RBC IS Bank Luxembourg (310) 0.00 30/07/2021 EUR 70,000 GBP (60,287) RBC IS Bank Luxembourg (165) 0.00 30/07/2021 GBP 40,466,316 USD (56,000,000) RBC IS Bank Luxembourg (68,774) (0.09) 30/07/2021 GBP 9,027,113 EUR (10,500,000) RBC IS Bank Luxembourg 8,810 0.01

(13,159) (0.03)




OTHER ASSETS 9,893,210 12.23




182



(expressed in GBP) % net Description assets

% of Total Assets Assets Investment in Transferable Securities 88.28 Investment in Financial Derivative Instruments (0.02) Cash at Bank 8.42 Other Assets and Liabilities (1.50)

Total Assets 95.18


183



Purchases Security Name Quantity Cost % of £ Total Purchases Vanguard FTSE Emerging Markets UCITS ETF 87,500 4,557,290 12.36

iShares MSCI UK Small Cap UCITS ETF 10,000 2,325,315 6.31 Microsoft Corp 13,250 2,310,098 6.27

Alphabet Inc - Class C 1,270 2,018,971 5.48

Xtrackers JPX-Nikkei 400 UCITS ETF 160,000 1,949,122 5.29

WisdomTree Industrial Metals 150,000 1,607,516 4.36

Visa Inc 6,600 1,050,391 2.85

Cadence Design Systems Inc 11,000 1,037,799 2.82

Moody's Corp 4,250 1,004,627 2.73

Lockheed Martin Corp 3,950 1,003,463 2.72 Waste Management Inc 10,800 970,325 2.63

Synopsys Inc 5,000 881,559 2.39

Walt Disney Co 6,500 815,826 2.21

Adobe Inc 2,300 809,496 2.20

Booking Holdings Inc 455 738,152 2.00

Twilio Inc 2,875 712,487 1.93

TJX Cos Inc 13,500 638,733 1.73

WEC Energy Group Inc 9,100 614,167 1.67 Mastercard Inc 2,300 595,574 1.62

Persimmon Plc 18,000 564,423 1.53

Intuitive Surgical Inc 950 531,110 1.44

iShares MSCI China A UCITS ETF 100,000 517,658 1.40

Procter & Gamble Co 5,200 501,283 1.36

adidas AG 2,200 498,255 1.35

Roche Holding AG 2,000 493,827 1.34

Starbucks Corp 6,200 488,818 1.33 PepsiCo Inc 4,050 420,092 1.14

Taiwan Semiconductor Manufacturing Co Ltd 5,000 409,273 1.11

Accenture Plc 2,000 405,192 1.10


184



Sales Security Name Quantity Proceed % of £ Total Sales Xtrackers JPX-Nikkei 400 UCITS ETF 175,600 2,057,310 22.15

Ralph Lauren Corp 6,500 630,887 6.79 KL Event Driven UCITS Fund 5,180 608,381 6.55 Emso Clover Plc - Emso Emerging Markets Absolute Return Debt Fund 6,015 597,460 6.43

Lyxor / Sandler US Equity Fund 5,653 516,842 5.57

Rogers Communications Inc 13,800 463,522 4.99

Danone SA 8,300 408,956 4.40

Dominice Funds Plc - Cassiopeia Ucits 2,769 281,052 3.03 MontLake UCITS Platform ICAV - Crabel Gemini UCITS Fund 2,799 273,862 2.95

Societe Generale SA 8.00% / perpetual 300,000 263,176 2.84

Credit Agricole SA 7.50% / perpetual 200,000 231,939 2.50

Nationwide Building Society 5.88% / perpetual 200,000 224,943 2.42


Barclays Plc 7.88% / perpetual 200,000 218,121 2.35


Hasbro Inc 3,000 213,255 2.30 Altice France SA 2.13% 15/02/2025 250,000 210,927 2.27

FCE Bank Plc 2.73% 03/06/2022 EMTN 200,000 206,715 2.23

Engie SA 1.63% / perpetual 200,000 184,374 1.99

Orange SA 1.75% EMTN / perpetual 200,000 183,963 1.98

NGG Finance Plc 1.63% 05/12/2079 200,000 178,610 1.92

Microsoft Corp 1,000 175,582 1.89

ArcelorMittal SA 4.55% 11/03/2026 200,000 166,542 1.79

Standard Chartered Plc 7.75% / perpetual 200,000 159,830 1.72 Ford Motor Credit Co LLC 3.10% 04/05/2023 200,000 146,826 1.58 European Bank for Reconstruction & Development 5.20% 22/01/2026 EMTN 15,000,000 144,571 1.56 Brazilian Government International Bond 8.50% 05/01/2024 750,000 100,611 1.08



185


London & Capital Global Growth Fixed Income Fund

Performance Overview Performance: 31/12/2020 – 30/06/2021 Global Growth Fixed Income Fund* 2.12% Benchmark (Fed Funds Mid + 3%) 2.27%

* USD X Share Class Market Review There were three macro related themes that dominated the first quarter: increasing economic optimism, fears over rising inflation and higher sovereign bond yields. Economic growth rates were revised higher throughout the first quarter spurred on by the successful rollout of vaccines, the passing of the $1.9 trillion Biden relief package and the relatively strong rebound in consumer spending. The consensus for global growth was raised to almost 6%, with US growth expected to rebound to comfortably over 6% this year. Unsurprisingly markets began to price in higher inflation particularly as Central Banks remain committed to keeping rates accommodative. It is inevitable that over the short-term inflation will rise largely due to base effects (i.e., prices declined during March and May last year and unless this is repeated the annual rate will go up come what may). This change in economic outlook pushed longer-dated government bond yields up towards pre-pandemic levels. The US 10-year briefly rose above 1.7% before trading marginally lower. Shorter-dated maturities were well anchored by the Fed’s guidance and this led to a significant steepening of the yield curve. The evolution of the global health crises and its impact on economic policy and activity remained centre stage for financial markets during Q2-21. Initially, the focus was on the US fiscal package which was scaled down to a sub $1trn package from an initial $2trn plus proposal. US inflation picked up to an annual rate of 5%, fuelling concern that the Fed would tolerate higher above target inflation as they had stated. But by quarter end this had changed and the Fed made clear a hawkish policy pivot, implying it would bear down on inflation quicker than many had expected. This pivot was two-fold: the FOMC dot-plot implied 2 rate hikes by the end of 2023, and a potential tapering in asset purchases by year-end. This sparked a significant flattening in the US Treasury yield curve; longer-dated yields fell whilst short and medium-dated yields edged higher. Although risk markets initially responded nervously, they quickly regained poise and equities rose to record highs while there was a further tightening of credit spreads. In the background economic data remained relatively robust pointing to continued consumer spending, job growth, and a pick-up in orders and production. Credit spreads continued to grind tighter in the reporting period, as both corporates and financial institutions reported buoyant earnings, much of which was used to paydown some of the debt accumulated in the second half of 2020. Some sectors fared particularly well such as consumer cyclicals, energy and banks. Performance Review The USD X-share class returned 2.12% for the year to date, more or less matching the benchmark return. Broader bond market indices found the going quite tough, particularly in the first 3 months on the year, with the USD Corporate Bond index returning -1.27% for the year to date. During the first quarter, in response to the increased market concern over a reduced level of official monetary policy stimulus, some of the Sub-Fund’s longer-dated high grade exposure was sold, with proceeds re-invested into lower “beta” credits that would benefit more a stronger global economy. Some “put” options on US Treasury bonds were also purchased to hedge the Sub-Fund’s capital from a rising bond yield environment. These moves shielded the portfolio from recording negative returns for the reporting period.


186


London & Capital Global Growth Fixed Income Fund (Continued)



187



L&CGGFI L&CGGFI 30 Jun 2021 31 Dec 2020 Note $ $



Cash at bank 4 2,363,329 3,886,772 Dividends and interest receivable 508,578 610,180 Other receivables - 178 TOTAL ASSETS 58,676,491 53,050,263 LIABILITIES Financial Liabilities at Fair Value through Profit or Loss:

Investments in Financial Derivative Instruments 3 256,730 568,995 Investment management fees payable 6 12,735 13,099 Manager fee payable 6 3,960 5,302 Administration fees payable 6 22,707 12,951 Transfer agency fees payable 6 15,993 4,209 Directors fees payable 6 889 129 Depositary and depositary oversight fees payable 6 15,689 5,982 Audit fees payable 6 1,603 2,326 Redemptions payable - 20,498 Other fees payable 13,164 9,771 TOTAL LIABILITIES (excluding net assets attributabl e to holders of redeemable participating shares) 343,470 643,262

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PA RTICIPATING SHARES 58,333,021 52,407,001 The accompanying notes and schedules form an integral part of these condensed financial statements.


188



L&CGGFI L&CGGFI

Financial



INCOME Bond interest income 1,061,578 989,569 Net realised and unrealised gain/(loss) on financial assets and liabilities at fair value through profit or loss 7 659,576 (5,461,427) Bank interest - 6,901 Other income 338 88 TOTAL INVESTMENT INCOME/(LOSS) 1,721,492 (4,464,869) EXPENSES Investment management fees 6 37,987 62,071 Manager fees 6 21,561 22,569 Administration fees 6 27,404 34,401 Director fees 6 5,973 1,611 Depositary and depositary oversight fees 6 15,040 11,304 Audit fees 6 4,509 4,615 Transfer agency fees 6 18,468 7,694 Swap interest expenses 534 401 Bank interest expense 645 899 Other fees and expenses 6 17,390 9,655 Total Operating Expenses 149,511 155,220 Operating Profit/(Loss) 1,571,981 (4,620,089) Finance Costs Dividends to holders of redeemable participating shares 930,172 617,433 Profit/(Loss) Before Tax 641,809 (5,237,522)

Withholding tax 31,706 39,073 Increase/(Decrease) in net assets attributable to holders of redeemable participating shares from operations 610,103 (5,276,595)



189




L&CGGFI L&CGGFI

Financial


Period Ended 30 Jun 2021 30 Jun 2020 $ $ Net Assets attributable to holders of Redeemable Participating Shares at the beginning of the financial period 52,407,001 52,281,924 Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 610,103 (5,276,595) Capital transactions Issue of redeemable shares during the financial period 24,625,907 5,106,435 Redemption of redeemable shares during the financial period (19,309,990) (10,864,573) Net Assets attributable to Holders of Redeemable Participating Shares at the end of the financial period 58,333,021 41,247,191


190



L&CGGFI L&CGGFI 30 Jun 2021 30 Jun 2020 $ $ Cash flows from operating activities Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 610,103 (5,276,595) Adjustment to reconcile increase/(decrease) in net assets attributable to holders of redeemable participating shares from operations to net cash (used in)/provided by operating activities Bond interest income (1,061,578) (989,569) Tax expense 31,706 39,073 Dividends to holders of redeemable participating shares 930,172 617,433 Operating profit /(loss) before working capital changes 510,403 (5,609,658) Changes in operating assets and liabilities Net (increase)/decrease in financial assets and liabilities at fair value (7,563,716) 7,636,748 Decrease/(Increase) in other receivables 178 (5,366) Increase in payables 32,971 787,620 Cash (used in)/provided by operating activities (7,020,164) 2,809,344

Interest received 1,163,180 1,059,731 Taxation paid (31,706) (39,073) Net cash (used in)/provided by operating activities (5,888,690) 3,830,002 Cash flows from financing activities Proceeds from issue of redeemable participating shares 24,625,907 5,106,435 Payment on redemptions of redeemable participating shares (19,330,488) (10,829,552) Dividends to holders of redeemable participating shares (930,172) (617,433) Net cash provided by/(used in) financing activities 4,365,247 (6,340,550) Net decrease in cash (1,523,443) (2,510,548) Net Cash at the start of the financial period 3,886,772 3,205,662 Net Cash at the end of the financial period 2,363,329 695,114 Analysis of Cash Cash at the start of the financial period 3,886,772 3,205,662 Overdraft at the start of the financial period - - Cash at the end of the financial period 2,363,329 862,068 Overdraft at the end of the financial period - (166,954) The accompanying notes and schedules form an integral part of these condensed financial statements.


191




1) INVESTMENTS




942,564 980,758 1.68

CAYMAN ISLANDS Banco do Brasil SA 9.00% / perpetual 1,100,000 USD 1,230,150 1,227,765 2.10 Country Garden Holdings Co Ltd 5.13% 14/01/2027 1,600,000 USD 1,674,430 1,710,080 2.93

2,904,580 2,937,845 5.03

FRANCE Altice France SA 5.13% 15/07/2029 1,200,000 USD 1,209,000 1,207,380 2.07 BNP Paribas SA 6.63% / perpetual 800,000 USD 826,400 878,216 1.51 CNP Assurances 4.88% / perpetual 1,000,000 USD 1,016,500 1,051,850 1.80 Credit Agricole SA 7.88% / perpetual 1,300,000 USD 1,425,375 1,473,342 2.53 Electricite de France SA 6.00% EMTN / perpetual 800,000 GBP 1,110,834 1,237,823 2.12 Engie SA 1.63% / perpetual 800,000 EUR 902,064 970,711 1.66 Orange SA 1.75% EMTN / perpetual 900,000 EUR 1,034,263 1,099,553 1.88 SCOR SE 5.25% / perpetual 1,400,000 USD 1,483,280 1,482,754 2.54 Societe Generale SA 4.75% / perpetual 900,000 USD 903,375 932,904 1.60 TotalEnergies SE 1.63% EMTN / perpetual 1,000,000 EUR 1,223,140 1,189,054 2.04

11,134,231 11,523,587 19.75

GERMANY Bayer AG 2.38% 12/11/2079 800,000 EUR 880,181 963,349 1.65 Deutsche Bank AG 7.13% / perpetual 1,000,000 GBP 1,385,370 1,513,807 2.60 RWE AG 6.63% 30/07/2075 1,100,000 USD 1,266,241 1,279,806 2.19

3,531,792 3,756,962 6.44

GREAT BRITAIN Barclays Plc 7.88% / perpetual 250,000 GBP 317,590 371,106 0.64 Barclays Plc 8.00% / perpetual 1,000,000 USD 1,112,500 1,140,830 1.96 Centrica Plc 5.25% 10/04/2075 800,000 GBP 1,075,221 1,192,954 2.06


192






GREAT BRITAIN (continued) Cooperatieve Rabobank UA 0.35% 12/01/2024 500,000 USD 501,050 501,100 0.86 Direct Line Insurance Group Plc 4.75% / perpetual 800,000 GBP 1,096,707 1,139,000 1.95 HSBC Holdings Plc 6.38% / perpetual 600,000 USD 663,900 670,476 1.15 Legal & General Group Plc 5.63% / perpetual 900,000 GBP 1,119,879 1,397,139 2.40 Lloyds Banking Group Plc 5.13% / perpetual 800,000 GBP 1,126,225 1,173,779 2.01 Nationwide Building Society 5.88% / perpetual 900,000 GBP 1,194,613 1,371,440 2.35 Natwest Group Plc 5.13% / perpetual 900,000 GBP 1,218,551 1,341,887 2.30 NGG Finance Plc 1.63% 05/12/2079 800,000 EUR 886,123 960,399 1.65 Phoenix Group Holdings Plc 5.63% / perpetual 1,300,000 USD 1,347,250 1,387,698 2.38 RSA Insurance Group LTD 5.13% 10/10/2045 500,000 GBP 742,099 789,623 1.35 SSE Plc 3.13% / perpetual 650,000 EUR 841,970 836,633 1.43 Virgin Media Secured Finance Plc 5.00% 15/04/2027 700,000 GBP 894,973 1,006,895 1.73 Vodafone Group Plc 4.88% 03/10/2078 800,000 GBP 1,067,712 1,203,884 2.06

15,206,363 16,484,843 28.28

IRELAND Bank of Ireland Group Plc 7.50% / perpetual 800,000 EUR 889,813 1,123,398 1.93

889,813 1,123,398 1.93

ITALY Assicurazioni Generali SpA 4.60% EMTN / perpetual 500,000 EUR 640,235 668,913 1.15 Enel SpA 6.63% 15/09/2076 100,000 GBP 144,093 139,951 0.24 UniCredit SpA 3.88% EMTN / perpetual 1,000,000 EUR 1,082,463 1,136,804 1.95

1,866,791 1,945,668 3.34

MAURITIUS ISLANDS Network i2i Ltd 3.98% / perpetual 1,000,000 USD 1,004,376 1,003,090 1.72

1,004,376 1,003,090 1.72

NETHERLANDS Volkswagen International Finance NV 3.50% / perpetual 1,300,000 EUR 1,571,579 1,667,532 2.86

1,571,579 1,667,532 2.86


193






SPAIN Banco Bilbao Vizcaya Argentaria SA 6.50% / perpetual 1,200,000 USD 1,291,500 1,310,796 2.25 Banco Santander SA 4.38% / perpetual 800,000 EUR 906,862 981,773 1.68

2,198,362 2,292,569 3.93

SWEDEN Skandinaviska Enskilda Banken AB 5.13% / perpetual 1,800,000 USD 1,884,500 1,915,705 3.28

1,884,500 1,915,705 3.28

SWITZERLAND UBS Group AG 3.88% / perpetual 1,300,000 USD 1,299,350 1,304,186 2.24

1,299,350 1,304,186 2.24

UNITED STATES (U.S.A.) AT&T Inc 2.88% / perpetual 1,200,000 EUR 1,336,758 1,452,410 2.49 Coca-Cola Co 1.45% 01/06/2027 500,000 USD 509,608 505,055 0.87 Ford Motor Credit Co LLC 3.38% 13/11/2025 600,000 USD 603,000 621,942 1.07 General Electric Co 3.45% / perpetual / Preference 1,850,000 USD 1,739,538 1,816,515 3.11

Goldman Sachs Group Inc 5.00% / perpetual / Preference 1,000,000 USD 1,006,250 1,015,480 1.74

5,195,154 5,411,402 9.28


TOTAL TRANSFERAB LE SECURITIES ADMITTED TO AN OFFICIAL STOCK EXCHANGE LISTING 49,629,455 52,347,545 89.76



MEXICO Mexican Bonos 6.75% 09/03/2023 20,000,000 MXN 1,046,327 1,023,626 1.75

1,046,327 1,023,626 1.75


194







250,000 251,328 0.43


700,721 696,202 1.19





UNITED STATES (U.S.A.) General Motors Financial Co Inc 5.75% / perpetual 1,300,000 USD 1,257,691 1,413,971 2.42

1,257,691 1,413,971 2.42


TOTAL OTHER TRANSFERABLE SECURITIES

1,257,691 1,413,971 2.42



Unrealised % net


Appreciation assets 30/07/2021 GBP 24,417,755 USD (33,916,262) RBC IS Bank Luxembourg (182,667) (0.31) 30/07/2021 GBP 5,118,857 USD (7,110,092) RBC IS Bank Luxembourg (38,294) (0.07) 30/07/2021 EUR 5,160,940 USD (6,159,572) RBC IS Bank Luxembourg (35,769) (0.06) 30/07/2021 USD 4,019,096 GBP (2,900,000) RBC IS Bank Luxembourg 12,690 0.02 30/07/2021 USD 14,516,560 EUR (12,200,000) RBC IS Bank Luxembourg 40,439 0.07 30/07/2021 USD 11,070,936 GBP (8,000,000) RBC IS Bank Luxembourg 18,783 0.03

(184,818) (0.32)



195










Total Assets 99.42


196



Purchases Security Name Quantity Cost % of $ Total Purchases UBS Group AG 3.88% / perpetual 1,300,000 1,299,350 5.31 Banco Bilbao Vizcaya Argentaria SA 6.50% / perpetual 1,200,000 1,291,500 5.28 TotalEnergies SE 1.63% EMTN / perpetual 1,000,000 1,223,140 5.00 Altice France SA 5.13% 15/07/2029 1,200,000 1,209,000 4.94 European Bank for Reconstruction & Development 5.20% 22/01/2026 EMTN 80,000,000 1,097,588 4.49 Direct Line Insurance Group Plc 4.75% / perpetual 800,000 1,096,707 4.48 CNP Assurances 4.88% / perpetual 1,000,000 1,016,500 4.15 Network i2i Ltd 3.98% / perpetual 1,000,000 1,004,376 4.10 UBS Group AG 7.00% / perpetual 900,000 993,555 4.06 Societe Generale SA 4.75% / perpetual 900,000 903,375 3.69 Lloyds Banking Group Plc 5.13% / perpetual 600,000 867,830 3.55 SSE Plc 3.13% / perpetual 650,000 841,970 3.44 Skandinaviska Enskilda Banken AB 5.13% / perpetual 800,000 841,500 3.44 General Electric Co 3.45% / perpetual / Preference 850,000 803,600 3.28 Vattenfall AB 2.50% 29/06/2083 500,000 700,721 2.86 HSBC Holdings Plc 6.38% / perpetual 600,000 663,900 2.71 Standard Chartered Plc 7.75% / perpetual 600,000 654,000 2.67 Ford Motor Credit Co LLC 3.38% 13/11/2025 600,000 603,000 2.46 Credit Agricole SA 7.88% / perpetual 500,000 568,750 2.33 Country Garden Holdings Co Ltd 5.13% 14/01/2027 500,000 536,250 2.19 Coca-Cola Co 1.45% 01/06/2027 500,000 511,465 2.09 Cooperatieve Rabobank UA 0.35% 12/01/2024 500,000 501,050 2.05 Barclays Plc 8.00% / perpetual 400,000 448,000 1.83 Nationwide Building Society 5.88% / perpetual 300,000 440,568 1.80 General Motors Financial Co Inc 5.75% / perpetual 400,000 418,910 1.71 Orange SA 1.75% EMTN / perpetual 300,000 380,137 1.55 RWE AG 6.63% 30/07/2075 300,000 349,485 1.43 ArcelorMittal SA 4.55% 11/03/2026 300,000 336,813 1.38 BP Capital Markets Plc 4.38% / perpetual 300,000 320,100 1.31 Phoenix Group Holdings Plc 5.63% / perpetual 300,000 317,250 1.30 Centrica Plc 5.25% 10/04/2075 200,000 299,362 1.22 Brazilian Government International Bond 8.50% 05/01/2024 1,400,000 291,881 1.19 Banco do Brasil SA 9.00% / perpetual 250,000 279,000 1.14 Volkswagen International Finance NV 3.50% / perpetual 200,000 257,979 1.06 Siemens Financieringsmaatschappij NV 0.48% 11/03/2024 250,000 250,000 1.02 AT&T Inc 2.88% / perpetual 200,000 243,940 1.00


197



Sales

Security Name Quantity Proceed % of $ Total Sales Altice France SA 2.13% 15/02/2025 1,450,000 1,711,135 10.06 Brazilian Government International Bond 8.50% 05/01/2024 8,900,000 1,644,925 9.67 ArcelorMittal SA 4.55% 11/03/2026 1,250,000 1,423,045 8.37 TotalEnergies SE 3.37% EMTN / perpetual 1,000,000 1,359,646 7.99 Standard Chartered Plc 7.75% / perpetual 1,200,000 1,340,750 7.89 BP Capital Markets Plc 4.38% / perpetual 1,050,000 1,110,630 6.53 Societe Generale SA 8.00% / perpetual 900,000 1,062,050 6.24 European Bank for Reconstruction & Development 5.20% 22/01/2026 EMTN 80,000,000 1,059,613 6.23 UBS Group AG 7.00% / perpetual 900,000 1,012,000 5.95 JPMorgan Chase & Co 3.66% / perpetual / Preference 1,000,000 1,000,845 5.89 SSE Plc 3.74% / perpetual 600,000 887,113 5.22 HSBC Holdings Plc 6.25% / perpetual 600,000 650,075 3.82 Ford Motor Credit Co LLC 3.10% 04/05/2023 600,000 613,871 3.61 FCE Bank Plc 2.73% 03/06/2022 EMTN 400,000 580,066 3.41 Amgen Inc 2.20% 21/02/2027 500,000 525,922 3.09 Nordea Bank Abp 5.25% EMTN / perpetual 500,000 521,273 3.07 Coca-Cola Co 1.45% 01/06/2027 500,000 503,448 2.96



198


London & Capital Global Star Equity Fund Performance Overview Performance: 31/12/2020 – 30/06/2021 Global Star Equity Fund 12.33% Benchmark 13.45%

Market Review In the first half of 2021, equities have delivered another period of strong returns as economic growth has roared back. However, Inflation and Growth are now peaking and will decelerate which suggest that the stock market cycle will progress from the early stage sharp recovery phase into a more normal environment with stock specific fundamentals driving equity performance as opposed to solely the economic backdrop. The strong recovery phase saw the more economically sensitive areas of stock markets producing the best returns in the first 5 months of the year but this trend partially reversed from mid-May as structural growth stocks rebounded into the end of the June. Surprisingly, given the recovery in World Trade, Emerging Markets underperformed Developed Markets but this was predominately due to China which after a very strong January sold off on the realisation that President Biden’s administration was not going to reverse some of the trade war initiatives of the previous administration and, additionally, the Chinese authorities looked to implement several measures to ensure that the domestic economy didn’t overheat in the recovery phase and this dampened domestic consumption. A big feature of the first six months of 2021 for equities has been liquidity and investor positioning which have been extreme and resulted in any moderate market pullback being supported by this liquidity which has prevented a more normal profit taking consolidation. Performance Review The Global Star Equity Fund has made a strong start to the year keeping pace with global equity markets despite the defensive bias. Stock specifics performance came mainly from the more economically sensitive stocks with Industrials performing very strongly and defensive sectors like Consumer Staples and Healthcare lagging. The strategy is all about longer term equity wealth creation and risk adjusted returns. The strong absolute performance since inception is pleasing but it is the risk adjusted ratios, such as Sharpe, which illustrates the real performance objective of the Global Star Equity Fund. Since inception Global Star Equity Fund has seen less volatility than global equities but produced a comparable level of performance. Additionally, the Global Star Equity Fund is designed to produce significant better resilience in a time of market stress than global equities. This has been delivered over time and forms a big part of the fund construction. This is evident in the Sortino ratio performance.


199


London & Capital Global Star Equity Fund (Continued)

Outlook Looking forward into the next part of the equity cycle we remain constructive on equity returns but expect forward returns to be in line with longer term equity averages, mid-single digit on an annualised basis, as opposed to the recent period of supernormal returns as the most probable outcome is that markets re-enter the post Financial Crisis levels of growth and inflation. Furthermore, the valuation gap between Growth and Value has narrowed and now looks in line with historic averages which suggests that stock selection will be a key part of equity performance as the stock market exits the early cycle recovery stage. This means that it will become appropriate to taper more economically sensitive equity exposure which was has started with the sale of Genuine Parts as the economic revival moves from a recovery in goods to a recovery in services. However, one aspect is abundantly clear and it is that this cycle is moving at superspeed due to the unique nature of a pandemic and there is still considerable uncertainty. Therefore, the focus in the Global Star Equity Fund will be on owning high quality compounding stocks that are more resilient to a variety of economic outcomes. London and Capital Asset Management Limited Date: July 2021


200


London & Capital Global Star Equity Fund

L&CGSE L&CGSE 30 Jun 2021 31 Dec 2020 Note $ $


Investments in Transferable Securities 3 226,576,264 184,501,813 Investments in Financial Derivative Instruments 3 483,812 1,405,117

Cash at bank 4 18,921,683 19,511,753 Cash held as collateral 4 40,000 40,000 Dividends and interest receivable 168,895 161,147 Amount receivable on subscriptions 2,013,093 898,673 Other receivables 1,729 -


Investments in Financial Derivative Instruments 3 1,477,950 1,578,195 Investment management fees payable 6 91,387 81,170 Manager fee payable 6 9,807 8,290 Administration fees payable 6 34,688 25,274 Transfer agency fees payable 6 17,181 6,087 Directors fees payable 6 943 175 Depositary and depositary oversight fees payable 6 32,932 13,544 Audit fees payable 6 3,358 3,865 Redemptions payable 188,162 115,109 Other fees payable 8,766 13,906 TOTAL LIABILITIES (excluding net assets attributabl e to holders of redeemable participating shares) 1,865,174 1,845,615



201



L&CGSE L&CGSE

Financial



INCOME Dividend income 3,060,544 1,867,338 Net realised and unrealised gain/(loss) on financial assets and liabilities at fair value through profit or loss 7 23,418,290 (19,527,518) Bank interest 22 22,562 Other income 511 15,076 TOTAL INVESTMENT INCOME/(LOSS) 26,479,367 (17,622,542) EXPENSES Investment management fees 6 257,374 208,333 Manager fees 6 53,323 37,511 Administration fees 6 59,340 53,791 Director fees 6 5,976 5,480 Depositary and depositary oversight fees 6 30,126 22,779 Audit fees 6 3,947 4,615 Transfer agency fees 6 20,065 11,128 Swap interest expense 14,336 - Bank interest expense 5,688 2,497 Other fees and expenses 6 18,575 9,988 Total Operating Expenses 468,750 356,122 Operating Profit/(Loss) 26,010,617 (17,978,664) Finance Costs Dividends to holders of redeemable participating shares 936,676 791,785 Profit/(Loss) Before Tax 25,073,941 (18,770,449) Withholding tax 632,354 416,430 Increase/(Decrease) in net assets attributable to holders of redeemable participating shares from operations 24,441,587 (19,186,879) The accompanying notes and schedules form an integral part of these condensed financial statements. All of the results for the financial period relate to continuing operations.


202




L&CGSE L&CGSE

Financial


Period Ended 30 Jun 2021 30 Jun 2020 $ $ Net Assets attributable to holders of Redeemable Participating Shares at the beginning of the financial period 204,672,888 158,644,045 Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 24,441,587 (19,186,879) Capital transactions Issue of redeemable shares during the financial period 59,604,479 32,240,288 Redemption of redeemable shares during the financial period (42,378,652) (22,223,570) Net Assets attributable to Holders of Redeemable Participating Shares at the end of the financial period 246,340,302 149,473,884


203



L&CGSE L&CGSE 30 Jun 2021 30 Jun 2020 $ $ Cash flows from operating activities Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 24,441,587 (19,186,879) Adjustment to reconcile increase/(decrease) in net assets attributable to holders of redeemable participating shares from operations to net cash used in operating activities Dividend income (3,060,544) (1,867,338) Tax expense 632,354 416,430 Dividends to holders of redeemable participating shares 936,676 791,785 Operating profit/(loss) before working capital changes 22,950,073 (19,846,002) Changes in operating assets and liabilities Net (increase)/decrease in financial assets and liabilities at fair value (41,253,391) 8,868,932 Increase in other receivables (1,729) (44,516) Increase in payables 46,751 44,994 Cash used in operating activities (18,258,296) (10,976,592)

Dividend received 3,052,796 1,815,589 Taxation paid (632,354) (416,430) Net cash used in operating activities (15,837,854) (9,577,433) Cash flows from financing activities Proceeds from issue of redeemable participating shares 58,490,059 32,240,288 Payment on redemptions of redeemable participating shares (42,305,599) (22,033,385) Dividends to holders of redeemable participating shares (936,676) (791,785) Net cash provided by financing activities 15,247,784 9,415,118

Net decrease in cash (590,070) (162,315) Net Cash at the start of the financial period 19,511,753 8,930,504 Net Cash at the end of the financial period 18,921,683 8,768,189 Analysis of Cash Cash at the start of the financial period 19,511,753 8,930,504 Overdraft at the start of the financial period - - Cash at the end of the financial period 18,921,683 8,768,189 Overdraft at the end of the financial period - - The accompanying notes and schedules form an integral part of these condensed financial statements.


204




1) INVESTMENTS



FRANCE Cie Generale des Etablissements Michelin SCA 41,000 EUR 4,821,301 6,539,646 2.65 EssilorLuxottica SA 35,000 EUR 4,643,687 6,460,072 2.62 L'Oreal SA 14,500 EUR 3,868,600 6,462,088 2.62 LVMH Moet Hennessy Louis Vuitton SE 8,500 EUR 3,546,257 6,666,003 2.71 Sanofi 63,000 EUR 6,325,970 6,601,526 2.68 Vinci SA 55,000 EUR 5,410,498 5,869,553 2.38

28,616,313 38,598,888 15.66

GERMANY Brenntag SE 69,000 EUR 3,781,078 6,416,881 2.60

3,781,078 6,416,881 2.60

GREAT BRITAIN Bunzl Plc 198,000 GBP 5,698,527 6,534,562 2.65 Diageo Plc 138,000 GBP 5,413,756 6,598,054 2.68 Unilever Plc 105,000 EUR 6,103,971 6,146,905 2.50

17,216,254 19,279,521 7.83

IRELAND Accenture Plc 22,000 USD 3,198,015 6,485,380 2.63

3,198,015 6,485,380 2.63

NETHERLANDS Koninklijke Philips NV 122,000 EUR 5,432,854 6,046,169 2.45

5,432,854 6,046,169 2.45

NORWAY Telenor ASA 380,000 NOK 7,231,257 6,407,532 2.60

7,231,257 6,407,532 2.60

SWITZERLAND Nestle SA 51,000 CHF 4,696,373 6,357,136 2.58 Roche Holding AG 19,000 CHF 6,592,234 7,164,437 2.91

11,288,607 13,521,573 5.49


205






UNITED STATES (U.S.A.) Amgen Inc 28,000 USD 5,824,283 6,825,000 2.77 General Dynamics Corp 32,000 USD 5,410,633 6,024,320 2.45 Genuine Parts Co 48,000 USD 4,588,680 6,070,560 2.46 Hershey Co 38,000 USD 4,461,675 6,618,840 2.69 Johnson & Johnson 40,000 USD 5,456,336 6,589,600 2.67 Kellogg Co 100,000 USD 6,498,928 6,433,000 2.61 Lockheed Martin Corp 17,000 USD 5,805,504 6,431,950 2.61 Microsoft Corp 28,000 USD 4,526,824 7,585,200 3.08 Omnicom Group Inc 75,000 USD 5,369,033 5,999,250 2.44 Otis Worldwide Corp 85,000 USD 4,745,830 6,950,450 2.82 PepsiCo Inc 43,000 USD 5,141,965 6,371,310 2.59 Procter & Gamble Co 47,000 USD 4,924,037 6,341,710 2.58 Raytheon Technologies Corp 76,000 USD 5,125,727 6,483,560 2.63 Starbucks Corp 57,000 USD 3,900,097 6,373,170 2.59 TJX Cos Inc 101,000 USD 5,714,520 6,809,420 2.76 United Parcel Service Inc 31,000 USD 3,775,672 6,447,070 2.62 Verizon Communications Inc 112,000 USD 6,555,979 6,275,360 2.55 Walt Disney Co 36,000 USD 4,217,222 6,327,720 2.57 Waste Management Inc 48,000 USD 5,369,929 6,725,280 2.73 WEC Energy Group Inc 69,000 USD 5,553,208 6,137,550 2.49

102,966,082 129,820,320 52.71



B) DERIVATIVE INSTRUMENTS


Unrealised % net


Appreciation assets 30/07/2021 GBP 86,475,011 USD (120,113,790) RBC IS Bank Luxembourg (646,915) (0.26) 30/07/2021 GBP 20,562,167 USD (28,560,850) RBC IS Bank Luxembourg (153,824) (0.06) 30/07/2021 EUR 11,381,370 USD (13,583,642) RBC IS Bank Luxembourg (78,880) (0.03) 30/07/2021 USD 12,508,049 CHF (11,500,000) RBC IS Bank Luxembourg 57,800 0.02 30/07/2021 USD 6,076,129 NOK (52,000,000) RBC IS Bank Luxembourg 33,538 0.01 30/07/2021 USD 54,734,572 EUR (46,000,000) RBC IS Bank Luxembourg 152,474 0.06 30/07/2021 USD 12,454,803 GBP (9,000,000) RBC IS Bank Luxembourg 21,131 0.01

(614,676) (0.25)



206





FRANCE

Put L'Oreal SA 17/09/2021 360.00 60 EUR 46,876 49,879 0.02

Call L'Oreal SA 17/09/2021 400.00 (120) EUR (97,235) (51,942) (0.02) Call LVMH Moet Hennessy Louis Vuitton SE 17/09/2021 650.00 (65) EUR (107,173) (250,059) (0.10) Put LVMH Moet Hennessy Louis Vuitton SE 17/09/2021 500.00 65 EUR 70,911 18,114 0.01

(86,621) (234,008) (0.09)

GREAT BRITAIN

Call Diageo Plc 17/09/2021 35.00 (110) GBP (73,138) (130,685) (0.05)

Put Diageo Plc 17/09/2021 30.00 95 GBP 120,351 33,466 0.01

47,213 (97,219) (0.04)

IRELAND

Call Accenture Plc 20/08/2021 310.00 (160) USD (68,820) (25,600) (0.01)

(68,820) (25,600) (0.01)


Call General Dynamics Corp 20/08/2021 200.00 (265) USD (82,018) (35,245) (0.01)

Put General Dynamics Corp 20/08/2021 170.00 140 USD 75,732 18,060 0.01

Call United Parcel Service Inc 20/08/2021 230.00 (230) USD (131,197) (36,800) (0.01)

Put United Parcel Service Inc 20/08/2021 200.00 150 USD 101,937 79,350 0.03

Call Waste Management Inc 15/10/2021 150.00 (400) USD (55,868) (68,000) (0.03)

Put Waste Management Inc 15/10/2021 120.00 200 USD 49,132 20,000 0.01

(42,282) (22,635) 0.00

TOTAL LISTED SECURITIES : OPTIONS (150,510) (379,462) (0.14)



OTHER ASSETS 21,145,400 8.58




207





Total Assets 99.25


208

Significant Portfolio Movements

30th June 2021


Purchases Security Name Quantity Cost % of $ Total Purchases Waste Management Inc 53,000 5,929,296 14.65 Lockheed Martin Corp 17,000 5,805,504 14.34 Procter & Gamble Co 13,000 1,776,846 4.39 Koninklijke Philips NV 30,000 1,631,260 4.03 Verizon Communications Inc 27,000 1,548,706 3.83 WEC Energy Group Inc 17,000 1,517,900 3.75 Microsoft Corp 6,000 1,446,858 3.57 PepsiCo Inc 10,000 1,446,522 3.57 Sanofi 13,500 1,346,919 3.33 Roche Holding AG 4,000 1,343,247 3.32 Kellogg Co 22,000 1,333,715 3.30 Bunzl Plc 41,000 1,329,856 3.29 Unilever Plc 22,000 1,314,056 3.25 Amgen Inc 5,000 1,174,137 2.90 Vinci SA 10,500 1,110,664 2.74 Telenor ASA 64,000 1,099,813 2.72 TJX Cos Inc 16,000 1,065,652 2.63 Nestle SA 8,000 929,803 2.30 Johnson & Johnson 5,000 838,433 2.07 United Parcel Service Inc 4,000 681,125 1.68 Walt Disney Co 4,000 677,024 1.67 L'Oreal SA 1,500 566,154 1.40 Starbucks Corp 5,000 559,871 1.38 Accenture Plc 2,000 545,325 1.35 Otis Worldwide Corp 8,000 537,183 1.33 Cie Generale des Etablissements Michelin SCA 3,500 527,847 1.30 Genuine Parts Co 5,000 502,083 1.24 Hershey Co 3,000 454,802 1.12


209



Sales

Security Name Quantity Proceed % of $ Total Sales Rogers Communications Inc 117,500 5,445,196 27.86 Danone SA 69,000 4,610,370 23.59 Genuine Parts Co 10,000 1,156,985 5.92 Omnicom Group Inc 14,000 1,078,915 5.52 General Dynamics Corp 6,000 1,068,548 5.47 Cie Generale des Etablissements Michelin SCA 6,500 939,065 4.80 United Parcel Service Inc 4,000 801,762 4.10 Microsoft Corp 3,000 722,763 3.70 Waste Management Inc 5,000 686,704 3.51 Walt Disney Co 3,000 563,802 2.89 EssilorLuxottica SA 3,000 492,860 2.52 Raytheon Technologies Corp 6,000 449,271 2.30 Vinci SA 4,000 418,635 2.14 LVMH Moet Hennessy Louis Vuitton SE 500 322,237 1.65 Koninklijke Philips NV 5,000 290,777 1.49 Kellogg Co 4,000 233,514 1.19 Brenntag SE 2,000 156,886 0.80 Starbucks Corp 1,000 107,898 0.55



210


London & Capital Global Balanced Fund Performance Overview Performance: 31/12/2020 – 30/06/2021 Global Balanced Fund* 5.70%

* GBP A Share Class Market Review There were three macro related themes that dominated the first quarter: increasing economic optimism, fears over rising inflation and higher sovereign bond yields. Economic growth rates were revised higher throughout the first quarter spurred on by the successful rollout of vaccines, the passing of the $1.9 trillion Biden relief package and the relatively strong rebound in consumer spending. The consensus for global growth was raised to almost 6%, with US growth expected to rebound to comfortably over 6% this year. However beneath the surface of the equity market we have seen a transition of leadership from cyclicals back towards secular growth stocks for the last two months and most recently this was spurred on by the markets perception of a hawkish tilt in the June Federal Reserve meeting which led to a flattening of the yield curve. The market positioning in the last few months reflected by survey data suggested that participants were overweight cyclicals and underweight secular growth/technology names as we reached this peak cyclical optimism and a peak inflation narrative leading them to get caught offside by this rotation. Alongside this, credit indicators in China (such as the Bloomberg China Credit Impulse) have shown a fairly dramatic tightening in monetary conditions by authorities in the first half of the year and the recent Caixin services PMI data indicated a significant slowdown in the Chinese economic growth backdrop which may feed through to the rest of the global economy over the next 12 months. Additionally, there are some fears materialising on the delta variant which is adding fuel to the flames. This could well bring a bit of a consolidation as we are also past peak liquidity which has propped up markets and probably prevented any significant pullback to date. Performance Review The Global Balanced Fund (GBP A Class) performance was 5.70% in the first half of the year. Over the course of the last few months in the Global Balanced Fund we have been in the process of taking profits in some our more opportunistic cyclicals additions over the last year such as Ralph Lauren, Stanley Black & Decker and Genuine Car Parts Co, as we noticed elevated expectations for this group as well as more attractive opportunities in secular growth names that had been out of favour in Q2.


211


London & Capital Global Balanced Fund (Continued)

Outlook In the short run we note that the market has remained remarkably buoyant for quite some time and small pullbacks are part of a normal course of a sustained bull market. We have been paying attention to some retail investor indicators which showed signs of over-extended positioning which also creates a bit of temporary fragility in markets. Cyclicals are already consolidating and the longer term outlook is less bright than the market was hoping for three months ago. The forthcoming Q2 results will be a test for markets as results are likely to be above expectations again. However, the key will be the outlooks and how markets react to the news as it will continue to become apparent that there will be a deceleration in growth which is hardly surprising given the impacts of the pandemic and the corresponding measures taken by governments and central banks. London and Capital Asset Management Limited Date: July 2021


212


London & Capital Global Balanced Fund

L&CGB L&CGB 30 Jun 2021 31 Dec 2020 Note £ £



Cash at bank 4 2,805,662 3,605,308 Dividends and interest receivable 304,526 292,411 Amount receivable on subscriptions 2,493 513,752


Investments in Financial Derivative Instruments 3 57,021 108,424 Investment management fees payable 6 99,103 88,257 Manager fee payable 6 2,860 3,161 Administration fees payable 6 16,903 11,440 Transfer agency fees payable 6 9,341 3,871 Directors fees payable 6 591 12 Depositary and depositary oversight fees payable 6 13,536 5,766 Audit fees payable 6 284 945 Redemptions payable - 3,023 Other fees payable 5,925 4,311 TOTAL LIABILITIES (excluding net assets attributabl e to holders of redeemable participating shares) 205,564 229,210



213



L&CGB L&CGB

Financial


Period Ended 30 Jun 2021 30 Jun 2020 Note £ £ INCOME

Dividend income 237,338 268,839 Bond interest income 509,140 602,679 Net realised and unrealised gain/(loss) on financial assets and liabilities at fair value through profit or loss 7 2,872,275 (2,265,553) Bank interest - 2,794 Other income 353 790 TOTAL INVESTMENT INCOME/(LOSS) 3,619,106 (1,390,451) EXPENSES Investment management fees 6 273,021 245,028 Manager fees 6 16,588 17,949 Administration fees 6 26,851 29,818 Director fees 6 4,301 1,859 Depositary and depositary oversight fees 6 12,561 10,962 Audit fees 6 3,615 3,665 Transfer agency fees 6 9,051 7,418 Swap interest expense 264 60 Bank interest expense 627 1,871 Other fees and expenses 6 12,809 7,427 Total Operating Expenses 359,688 326,057 Operating Profit/(Loss) 3,259,418 (1,716,508) Finance Costs Dividends to holders of redeemable participating shares 57,227 - Profit/(Loss) Before Tax 3,202,191 (1,716,508) Withholding tax 55,380 67,013 Increase/(Decrease) in net assets attributable to holders of redeemable participating shares from operations 3,146,811 (1,783,521) The accompanying notes and schedules form an integral part of these condensed financial statements. All of the results for the financial period relate to continuing operations.


214




L&CGB L&CGB

Financial


Period Ended 30 Jun 2021 30 Jun 2020 £ £ Net Assets attributable to holders of Redeemable Participating Shares at the beginning of the financial period 59,198,282 56,947,953 Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 3,146,811 (1,783,521) Capital transactions Issue of redeemable shares during the financial period 21,913,450 6,858,544 Redemption of redeemable shares during the financial period (14,955,026) (9,495,381) Net Assets attributable to Holders of Redeemable Participating Shares at the end of the financial period 69,303,517 52,527,595


215

Statement of Cash Flows


L&CGB L&CGB

30 Jun 2021 30 Jun 2020 £ £ Cash flows from operating activities Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 3,146,811 (1,783,521) Adjustment to reconcile increase/(decrease) in net assets attributable to holders of redeemable participating shares from operations to net cash (used in)/provided by operating activities Bond interest income (509,140) (602,679) Dividend income (237,338) (268,839) Tax expense 55,380 67,013 Dividends to holders of redeemable participating shares 57,227 - Operating profit/(loss) before working capital changes 2,512,940 (2,588,026) Changes in operating assets and liabilities Net (increase)/decrease in financial assets and liabilities at fair value (11,431,782) 3,038,088 Increase in other receivables - (3,726) Increase in payables 30,780 324,223 Cash (used in)/provided by operating activities (8,888,062) 770,559

Interest received 496,669 625,532 Dividend received 237,694 265,398 Taxation paid (55,380) (67,013) Net cash (used in)/provided by operating activities (8,209,079) 1,594,476 Cash flows from financing activities Proceeds from issue of redeemable participating shares 22,424,709 6,858,544 Payment on redemptions of redeemable participating shares (14,958,049) (9,490,406) Dividends to holders of redeemable participating shares (57,227) - Net cash provided by/(used in) financing activities 7,409,433 (2,631,862)

Net decrease in cash (799,646) (1,037,386) Net Cash at the start of the financial period 3,605,308 3,620,827 Net Cash at the end of the financial period 2,805,662 2,583,441 Analysis of Cash Cash at the start of the financial period 3,605,308 3,620,827 Overdraft at the start of the financial period - - Cash at the end of the financial period 2,805,662 2,583,441 Overdraft at the end of the financial period - - The accompanying notes and schedules form an integral part of these condensed financial statements.


216




1) INVESTMENTS



FRANCE Cie Generale des Etablissements Michelin SCA 3,000 EUR 295,952 346,383 0.50 EssilorLuxottica SA 3,300 EUR 343,442 440,908 0.64 L'Oreal SA 1,500 EUR 319,688 483,906 0.70 LVMH Moet Hennessy Louis Vuitton SE 1,150 EUR 401,665 652,844 0.94 Sanofi 5,600 EUR 432,166 424,773 0.61 Vinci SA 4,250 EUR 348,743 328,319 0.47

2,141,656 2,677,133 3.86

GERMANY adidas AG 1,500 EUR 387,444 404,199 0.58 Brenntag SE 6,800 EUR 262,813 457,771 0.66

650,257 861,970 1.24

GREAT BRITAIN Bunzl Plc 13,900 GBP 290,956 332,071 0.48 Burberry Group Plc 12,000 GBP 185,362 247,920 0.36 Diageo Plc 18,500 GBP 554,265 640,285 0.92 Persimmon Plc 11,000 GBP 290,056 325,380 0.47 Unilever Plc 10,350 EUR 495,317 438,604 0.63

1,815,956 1,984,260 2.86

IRELAND Accenture Plc 2,175 USD 319,666 464,127 0.67

319,666 464,127 0.67

NETHERLANDS Koninklijke Philips NV 9,182 EUR 313,621 329,399 0.48

313,621 329,399 0.48

NORWAY Telenor ASA 20,980 NOK 335,749 256,081 0.37

335,749 256,081 0.37

SPAIN Aena SME SA 2,700 EUR 314,733 320,552 0.46

314,733 320,552 0.46


217






SWITZERLAND Nestle SA 4,300 CHF 351,089 387,994 0.56 Roche Holding AG 1,650 CHF 459,249 450,378 0.65

810,338 838,372 1.21

TAIWAN Taiwan Semiconductor Manufacturing Co Ltd 8,200 USD 470,485 713,245 1.03

470,485 713,245 1.03

UNITED STATES (U.S.A.) Adobe Inc 2,150 USD 674,098 911,452 1.31 Align Technology Inc 1,150 USD 213,707 508,632 0.73 Alphabet Inc - Class C 935 USD 1,251,643 1,696,340 2.45 Amgen Inc 1,900 USD 305,962 335,246 0.48 Booking Holdings Inc 315 USD 428,374 498,931 0.72 Cadence Design Systems Inc 4,500 USD 440,540 445,684 0.64 Estee Lauder Cos Inc 1,800 USD 268,164 414,451 0.60 General Dynamics Corp 3,025 USD 382,876 412,238 0.59 Genuine Parts Co 3,500 USD 271,051 320,421 0.46 Hershey Co 2,700 USD 292,846 340,429 0.49 Intuitive Surgical Inc 850 USD 490,442 565,850 0.82 Johnson & Johnson 3,100 USD 319,518 369,680 0.53 Kellogg Co 6,600 USD 290,000 307,342 0.44 Lockheed Martin Corp 800 USD 194,571 219,103 0.32 Mastercard Inc 2,300 USD 549,714 607,845 0.88 Microsoft Corp 7,300 USD 1,051,466 1,431,518 2.07 Moody's Corp 2,500 USD 590,957 655,778 0.95 Omnicom Group Inc 4,010 USD 255,785 232,191 0.34 Otis Worldwide Corp 3,675 USD 173,490 217,529 0.31 PepsiCo Inc 5,650 USD 585,082 606,001 0.87 Procter & Gamble Co 3,600 USD 323,533 351,622 0.51 Raytheon Technologies Corp 4,550 USD 269,500 280,980 0.41 Stanley Black & Decker Inc 2,000 USD 271,645 296,775 0.43 Starbucks Corp 8,450 USD 475,931 683,915 0.99 Synopsys Inc 2,500 USD 475,251 499,095 0.72 TJX Cos Inc 2,400 USD 109,477 117,129 0.17 Twilio Inc 1,000 USD 237,664 285,323 0.41 Uber Technologies Inc 5,000 USD 133,215 181,404 0.26 United Parcel Service Inc 2,650 USD 214,520 398,944 0.58 Verizon Communications Inc 7,000 USD 321,256 283,912 0.41 Visa Inc 4,700 USD 709,824 795,508 1.15


218






UNITED STATES (U.S.A.) (continued) Walt Disney Co 5,700 USD 642,392 725,244 1.05 Waste Management Inc 4,000 USD 334,178 405,690 0.59 WEC Energy Group Inc 3,500 USD 234,083 225,361 0.33

13,782,755 16,627,563 24.01




728,825 712,022 1.03

CANADA Royal Bank of Canada 4.00% 24/02/2081 900,000 CAD 537,503 547,629 0.79

537,503 547,629 0.79

CAYMAN ISLANDS Baidu Inc 3.88% 29/09/2023 400,000 USD 326,010 308,021 0.44 Country Garden Holdings Co Ltd 5.13% 14/01/2027 500,000 USD 398,495 386,840 0.56

724,505 694,861 1.00

FRANCE Altice France SA 5.13% 15/07/2029 400,000 USD 288,125 291,332 0.42 BNP Paribas SA 6.63% / perpetual 550,000 USD 468,307 437,058 0.63 CNP Assurances 4.88% / perpetual 800,000 USD 595,414 609,128 0.88 Electricite de France SA 6.00% EMTN / perpetual 500,000 GBP 544,122 560,020 0.81 Engie SA 1.63% / perpetual 700,000 EUR 648,368 614,841 0.89 Orange SA 1.75% EMTN / perpetual 500,000 EUR 441,559 442,190 0.64 SCOR SE 5.25% / perpetual 800,000 USD 644,598 613,332 0.87 Societe Generale SA 4.75% / perpetual 500,000 USD 353,618 375,171 0.54 Suez SA 1.63% / perpetual 800,000 EUR 718,320 691,550 1.00 TotalEnergies SE 1.63% EMTN / perpetual 1,000,000 EUR 890,438 860,729 1.24

5,592,869 5,495,351 7.92


219






GERMANY Bayer AG 2.38% 12/11/2079 800,000 EUR 699,688 697,346 1.01 Deutsche Bank AG 7.13% / perpetual 500,000 GBP 474,946 547,905 0.79 EnBW Energie Baden-Wuerttemberg AG 1.13% 05/11/2079 500,000 EUR 455,817 432,661 0.62 Merck KGaA 1.63% 09/09/2080 500,000 EUR 445,359 442,864 0.64 RWE AG 6.63% 30/07/2075 600,000 USD 518,895 505,321 0.73

2,594,705 2,626,097 3.79

GREAT BRITAIN Aviva Plc 6.13% / perpetual 340,000 GBP 370,528 362,069 0.52 BP Capital Markets Plc 4.25% / perpetual 500,000 GBP 503,000 531,080 0.77

British Telecommunications Plc 1.87% 18/08/2080 800,000 EUR 682,154 670,693 0.97

Cooperatieve Rabobank UA 0.35% 12/01/2024 500,000 USD 355,229 362,735 0.52

Heathrow Finance Plc 6.25% 03/03/2025

400,000 GBP 441,606 441,676 0.64

HSBC Holdings Plc 5.88% / perpetual

600,000 GBP 635,250 674,244 0.97

Lloyds Banking Group Plc 5.13% / perpetual 600,000 GBP 603,150 637,254 0.92

Natwest Group Plc 5.13% / perpetual

450,000 GBP 459,900 485,681 0.70

NGG Finance Plc 1.63% 05/12/2079

500,000 EUR 453,501 434,507 0.63

Phoenix Group Holdings Plc 5.75% / perpetual 600,000 GBP 648,280 650,460 0.94

RSA Insurance Group LTD 5.13% 10/10/2045 600,000 GBP 683,700 685,908 0.99

SSE Plc 3.13% / perpetual

330,000 EUR 313,941 307,469 0.44

Virgin Media Secured Finance Plc 5.00% 15/04/2027 400,000 GBP 420,042 416,496 0.60

6,570,281 6,660,272 9.61

INDIA Reliance Industries Ltd 4.13% 28/01/2025 250,000 USD 204,591 197,383 0.28

204,591 197,383 0.28


363,174 406,601 0.59

ITALY Assicurazioni Generali SpA 4.60% EMTN / perpetual 400,000 EUR 396,154 387,369 0.56 Eni SpA 2.63% / perpetual 500,000 EUR 454,190 451,560 0.65 UniCredit SpA 3.88% EMTN / perpetual 400,000 EUR 332,460 329,162 0.47

1,182,804 1,168,091 1.68


220






MAURITIUS ISLANDS Network i2i Ltd 3.98% / perpetual 500,000 USD 355,202 363,057 0.52

355,202 363,057 0.52

MEXICO Mexico Government International Bond 1.35% 18/09/2027 700,000 EUR 632,524 623,843 0.90

632,524 623,843 0.90

NETHERLANDS Daimler International Finance BV 1.63% 11/11/2024 EMTN 700,000 GBP 704,055 718,424 1.04 Volkswagen International Finance NV 3.50% / perpetual 700,000 EUR 641,504 649,971 0.94

1,345,559 1,368,395 1.98

SPAIN Banco Bilbao Vizcaya Argentaria SA 6.50% / perpetual 600,000 USD 485,049 474,428 0.68 Banco Santander SA 4.38% / perpetual 400,000 EUR 347,177 355,342 0.51

832,226 829,770 1.19

SWEDEN Skandinaviska Enskilda Banken AB 5.13% / perpetual 800,000 USD 634,779 616,326 0.89

634,779 616,326 0.89


566,149 580,966 0.84

UNITED STATES (U.S.A.) AT&T Inc 1.65% 01/02/2028 450,000 USD 351,972 323,390 0.47 AT&T Inc 2.88% / perpetual 600,000 EUR 505,479 525,683 0.76 Bank of America Corp 3.95% 21/04/2025 600,000 USD 497,519 476,886 0.69 Bank of Nova Scotia 0.60% 15/09/2023 1,000,000 USD 721,932 728,901 1.05 General Electric Co 3.45% / perpetual / Preference 900,000 USD 672,822 639,697 0.92 Goldman Sachs Group Inc 5.00% / perpetual / Preference 700,000 USD 548,579 514,558 0.74


221






UNITED STATES (U.S.A.) (continued) JPMorgan Chase & Co 3.66% / perpetual / Preference 600,000 USD 443,999 435,799 0.63 Morgan Stanley 4.10% 22/05/2023 500,000 USD 416,904 385,334 0.56 Oracle Corp 2.40% 15/09/2023 550,000 USD 434,800 413,130 0.60 Prudential Financial Inc 5.88% 15/09/2042 500,000 USD 424,601 382,544 0.55

5,018,607 4,825,922 6.97


3) LISTED SECURITIES : INVESTMENT FUNDS

IRELAND KL Event Driven UCITS Fund 7,130 GBP 767,250 844,099 1.22

767,250 844,099 1.22

TOTAL LISTED SECURITIES : INVESTMENT FUNDS 767,250 844,099 1.22

4) LISTED SECURITIES : EXCHANGE TRADED COMMODITIES

IRELAND iShares Physical Gold ETC / perpetual 50,000 USD 1,346,926 1,247,421 1.80

1,346,926 1,247,421 1.80

TOTAL LISTED SECURITIES : EXCHANGE TRADED COMMODITIES 1,346,926 1,247,421 1.80


IRELAND iShares MSCI China A UCITS ETF 95,000 USD 453,866 451,419 0.65 iShares MSCI Taiwan UCITS ETF 1,500 GBP 73,153 91,080 0.13 iShares MSCI UK Small Cap UCITS ETF 9,000 GBP 2,088,954 2,246,400 3.24 Vanguard FTSE Emerging Markets UCITS ETF 40,400 GBP 1,975,482 2,140,180 3.09

4,591,455 4,929,079 7.11



222






JERSEY WisdomTree Industrial Metals 249,000 USD 2,608,338 2,751,896 3.97

2,608,338 2,751,896 3.97

TOTAL LISTED SECURITIES : WARRANTS 2,608,338 2,751,896 3.97




FRANCE Credit Agricole SA 7.50% / perpetual 600,000 GBP 697,260 715,014 1.03

697,260 715,014 1.03


179,218 181,930 0.26

SPAIN Banco Bilbao Vizcaya Argentaria SA 3.10% 15/07/2031 500,000 GBP 524,000 524,985 0.76

524,000 524,985 0.76


503,500 503,965 0.73




223






UNITED STATES (U.S.A.) General Motors Financial Co Inc 5.75% / perpetual 600,000 USD 449,630 472,404 0.68

449,630 472,404 0.68

TOTAL OTHER TRANSFERABLE SECURITIES : BONDS 449,630 472,404 0.68

2) OTHER TRANSFERABLE SECURITIES : INVESTMENT FUNDS

IRELAND Dominice Funds Plc - Cassiopeia Ucits 4,238 GBP 443,000 456,976 0.66 Lyxor / Sandler US Equity Fund 5,136 USD 468,806 463,081 0.67 MontLake UCITS Platform ICAV - Crabel Gemini UCITS Fund 4,531 GBP 451,500 455,702 0.66

1,363,306 1,375,759 1.99

TOTAL OTHER TRANSFERABLE SECURITIES : INVESTMENT FUNDS 1,363,306 1,375,759 1.99




Unrealised % net


30/07/2021 USD 2,546,324 GBP (1,833,475) RBC IS Bank Luxembourg 9,659 0.01 30/07/2021 USD 9,190,384 GBP (6,617,514) RBC IS Bank Luxembourg 34,862 0.05 30/07/2021 GBP 256,403 NOK (3,040,000) RBC IS Bank Luxembourg 699 0.00 30/07/2021 GBP 625,700 CAD (1,073,000) RBC IS Bank Luxembourg (1,474) 0.00 30/07/2021 GBP 835,675 CHF (1,065,000) RBC IS Bank Luxembourg 1,085 0.00 30/07/2021 GBP 14,606,728 EUR (16,990,000) RBC IS Bank Luxembourg 14,255 0.02 30/07/2021 GBP 32,683,777 USD (45,230,000) RBC IS Bank Luxembourg (55,547) (0.08)

3,539 0.00




224



(expressed in GBP) Fair % net Description Value assets





% of Total Assets Assets Investment in Transferable Securities 95.43 Investment in Financial Derivative Instruments 0.01 Cash at Bank 4.04 Other Assets and Liabilities 0.23

Total Assets 99.71


225



Purchases Security Name Quantity Cost % of £ Total Purchases WisdomTree Industrial Metals 337,000 3,516,856 15.88 iShares MSCI UK Small Cap UCITS ETF 9,000 2,088,954 9.43 Vanguard FTSE Emerging Markets UCITS ETF 18,000 936,931 4.23 TotalEnergies SE 1.63% EMTN / perpetual 1,000,000 890,438 4.02 Bank of Nova Scotia 0.60% 15/09/2023 1,000,000 721,932 3.26 Credit Agricole SA 7.50% / perpetual 600,000 697,260 3.15 CNP Assurances 4.88% / perpetual 800,000 595,414 2.69 Microsoft Corp 3,500 595,123 2.69 Moody's Corp 2,500 590,957 2.67 Alphabet Inc - Class C 375 583,926 2.64 UBS Group AG 3.88% / perpetual 800,000 566,149 2.56 Royal Bank of Canada 4.00% 24/02/2081 900,000 537,503 2.43 Banco Bilbao Vizcaya Argentaria SA 3.10% 15/07/2031 500,000 524,000 2.37 Vattenfall AB 2.50% 29/06/2083 500,000 503,500 2.27 Synopsys Inc 2,500 475,251 2.15 Eni SpA 2.63% / perpetual 500,000 454,190 2.05 iShares MSCI China A UCITS ETF 95,000 453,866 2.05 Cadence Design Systems Inc 4,500 440,540 1.99 Country Garden Holdings Co Ltd 5.13% 14/01/2027 500,000 398,495 1.80 Cooperatieve Rabobank UA 0.35% 12/01/2024 500,000 355,229 1.60 Network i2i Ltd 3.98% / perpetual 500,000 355,202 1.60 Societe Generale SA 4.75% / perpetual 500,000 353,618 1.60 European Bank for Reconstruction & Development 5.20% 22/01/2026 EMTN 35,000,000 349,843 1.58 Waste Management Inc 4,000 334,178 1.51 SSE Plc 3.13% / perpetual 330,000 313,941 1.42 PepsiCo Inc 3,000 306,984 1.39 Adobe Inc 900 306,360 1.38 Visa Inc 1,900 300,839 1.36 Xtrackers JPX-Nikkei 400 UCITS ETF 24,000 300,774 1.36 Altice France SA 5.13% 15/07/2029 400,000 288,125 1.30 Vodafone Group Plc 4.88% 03/10/2078 200,000 221,980 1.00


226



Sales

Security Name Quantity Proceed % of £ Total Sales iShares Physical Gold ETC / perpetual 94,000 2,290,855 18.39 WisdomTree Industrial Metals 88,000 994,318 7.98 TotalEnergies SE 3.37% EMTN / perpetual 800,000 798,852 6.41 Emso Clover Plc - Emso Emerging Markets Absolute Return Debt Fund 7,201 719,636 5.78 Credit Agricole SA 7.50% / perpetual 600,000 706,798 5.67 Vodafone Group Plc 4.88% 03/10/2078 600,000 668,671 5.37 Barclays Plc 7.88% / perpetual 600,000 651,139 5.23 Societe Generale SA 8.00% / perpetual 550,000 467,430 3.75 Amazon.com Inc 2.80% 22/08/2024 600,000 461,515 3.70 Credit Suisse Group AG 7.50% / perpetual 550,000 429,233 3.45 Exxon Mobil Corp 2.28% 16/08/2026 500,000 377,235 3.03 Amgen Inc 2.20% 21/02/2027 500,000 374,295 3.00 Lyxor / Sandler US Equity Fund 3,878 346,761 2.78 Nationwide Building Society 5.88% / perpetual 300,000 337,415 2.71 European Bank for Reconstruction & Development 5.20% 22/01/2026 EMTN 35,000,000 337,400 2.71 ArcelorMittal SA 4.55% 11/03/2026 400,000 333,083 2.68 SSE Plc 3.74% / perpetual 300,000 325,761 2.61 Hasbro Inc 4,500 323,176 2.60 Ralph Lauren Corp 3,200 310,325 2.49 Xtrackers JPX-Nikkei 400 UCITS ETF 24,000 281,181 2.26 Rogers Communications Inc 8,200 275,426 2.21 Danone SA 3,850 189,697 1.52 Duke Energy Corp 2.65% 01/09/2026 200,000 158,034 1.27



227


Principal Asset Allocation Fund Market Review 2021 has been a game of two quarters. The first, as anticipated, saw a significant rise in fixed income yields and continued rotation in equity sectors (primarily from growth into value). This ‘reflation trade’ was, and is, linked to economic re-opening, massive monetary and fiscal stimulus, the release of pent up demand, the potential inflationary impacts of these factors, and, the likely central bank response. The second quarter proved to be a conundrum for financial markets. As expected, inflation roared, making multi-decade high prints across developed economies. Supply bottlenecks emerged to compound 2020 base effects. And yet, fixed income yields fell (both real and nominal). So did volatility. Equities and commodities rose. Overall fixed income yields finished the period higher, as did equity indices. Both USD and commodity prices were higher too.

Key Market Moves: Index Returns

(31/12/20 – 30/06/21) UK 100 11.33% UK Bonds -4.93% Global Equity (GBP) 10.95% SONIA +5% 2.55% Principle Asset Allocation Fund – A GBP 4.28%

Strategy: Our strategic asset allocation consists of a 60:40 split between equity and fixed income. The equity allocation consists of 50 equally weighted stocks drawn from the Stoxx 600 universe. This is Beta hedged by a short Stoxx 600 futures position. In turn this strategy is currency hedged from Euro to GBP. The Fixed Income allocation is designed as a flexible, low duration, ‘carry’ strategy of liquid, high quality bonds. Finally, the Sub-Fund deploys a range of opportunistic, market neutral strategies. These are typically relative value tactical pairs trades in fixed income (rates or credit). The overall strategy aim is to provide low volatility, low correlation returns at every stage in the economic and market cycles. Monthly rebalancing to 60:40 maintained the target asset allocation and the fixed income carry portfolio provided adequate liquidity when required.


228


Principal Asset Allocation Fund (Continued)

Risk & Performance All three strategies contributed positively to performance in H1 2021 (marginally so for the bond portfolio as spread compression and carry were counteracted by a rise in short end GBP yields). The equity portfolio continued to deliver steady, low volatility positive returns while tactical relative value opportunities in fixed income somewhat declined as market dislocations seen in 2020 abated. From a risk perspective the Sub-Fund is positioned appropriately with VaR (one year historic, 99% confidence, 20-day horizon) at 2.7% versus the reference MSCI World equivalent at 9.95%. Half year performance of +4.28% represents a strong outcome with sub 4% volatility. PAAF Total Return 4.28% Max Drawdown 1.96% Standard Deviation (Daily) 0.20% Volatility (Annualised) 3.14% VaR 2.70%

Outlook Our multi-factor equity strategy has consistently produced positive absolute returns with low volatility, and we expect this to continue. On a relative basis we expect to modestly underperform in strong markets while offering significant downside protection during drawdowns. Inflation is here and policy makers (particularly the Federal Reserve) are confident that it will prove ‘transitory’. Markets, at least for the moment, agree. We are not so sure and would argue that stocks at all time highs and deeply negative real yields are somewhat priced for perfection. Given the propensity for policy makers of all stripes to fight the previous war we believe the chances of error are much higher than currently priced. That said it is entirely possible, even likely that any correction is months, even quarters away. Mariana Investment Partners LLP Date: July 2021


229


Principal Asset Allocation Fund

PAAF PAAF 30 Jun 2021 31 Dec 2020 Note £ £



Cash at bank 4 125,462 63,357 Cash held as collateral 4 580,768 752,656 Dividends and interest receivable 17,520 29,526 Amount receivable on subscriptions 50,021 21,885 Amount receivable on sale of securities 48,946 - Receivable from Investment Manager 6 5,021 9,383 Other receivables 30,419 60,840


Investments in Financial Derivative Instruments 3 516 101,208 Collateral due to broker 4 58,127 72,581 Amount payable on purchase of securities 35,784 - Investment management fees payable 6 7,494 8,245 Manager fee payable 6 5,295 5,270 Administration fees payable 6 15,711 6,822 Transfer agency fees payable 6 12,767 3,120 Directors fees payable 6 598 13 Depositary and depositary oversight fees payable 6 10,871 4,498 Audit fees payable 6 849 1,324 Redemptions payable 34,599 50,444 Other fees payable 934 4,684 TOTAL LIABILITIES (excluding net assets attributabl e to holders of redeemable participating shares) 183,545 258,209



230



PAAF PAAF

Financial


Period Ended 30 Jun 2021 30 Jun 2020 Note £ £ INCOME

Dividend income 91,196 38,129 Bond interest income 27,294 8,719 Net realised and unrealised gain on financial assets and liabilities at fair value through profit or loss 7 282,493 875,474 Bank interest 159 1,162 Expense reimbursement from Investment Manager 6 24,887 11,859 TOTAL INVESTMENT INCOME 426,029 935,343 EXPENSES Investment management fees 6 42,905 61,914 Manager fees 6 29,639 32,635 Administration fees 6 19,843 37,373 Director fees 6 4,305 4,352 Depositary and depositary oversight fees 6 10,725 8,631 Audit fees 6 2,712 2,742 Transfer agency fees 6 10,025 5,986 Brokerage fees 14,005 24,294 Bank interest expense 2,629 26,058 Upfront commission on subscription 16,449 28,767 Other fees and expenses 6 14,617 10,803 Total Operating Expenses 167,854 243,555 Operating Profit 258,175 691,788 Withholding tax 10,963 5,966 Increase in net assets attributable to holders of redeemable participating shares from operations 247,212 685,822 The accompanying notes and schedules form an integral part of these condensed financial statements. All of the results for the financial period relate to continuing operations.


231




PAAF PAAF

Financial


Period Ended 30 Jun 2021 30 Jun 2020 £ £ Net Assets attributable to holders of Redeemable Participating Shares at the beginning of the financial period 7,974,014 12,203,833 Increase in Net Assets attributable to Holders of Redeemable Participating Shares from operations 247,212 685,822 Capital transactions Issue of redeemable shares during the financial period 956,830 130,257 Redemption of redeemable shares during the financial period (2,031,150) (3,009,687) Net Assets attributable to Holders of Redeemable Participating Shares at the end of the financial period 7,146,906 10,010,225


232



PAAF PAAF 30 Jun 2021 30 Jun 2020 £ £ Cash flows from operating activities Increase in Net Assets attributable to Holders of Redeemable Participating Shares from operations 247,212 685,822 Adjustment to reconcile increase in net assets attributable to holders of redeemable participating shares from operations to net cash provided by operating activities Bond interest income (27,294) (8,719) Dividend income (91,196) (38,129) Tax expense 10,963 5,966 Operating profit before working capital changes 139,685 644,940 Changes in operating assets and liabilities Net decrease/(increase) in financial assets and liabilities at fair value 721,590 (155,832) Decrease in other receivables 157,725 130,879 Increase in payables 41,873 31,586 Cash provided by operating activities 1,060,873 651,573 Interest paid 38,185 (5,553) Dividend received 92,311 36,815 Taxation paid (10,963) (5,966) Net cash provided by operating activities 1,180,406 676,869 Cash flows from financing activities Proceeds from issue of redeemable participating shares 928,694 130,257 Payment on redemptions of redeemable participating shares (2,046,995) (3,025,954) Net cash used in financing activities (1,118,301) (2,895,697)

Net increase/(decrease) in cash 62,105 (2,218,828) Net Cash at the start of the financial period 63,357 3,834,329 Net Cash at the end of the financial period 125,462 1,615,501 Analysis of Cash Cash at the start of the financial period 63,357 4,776,375 Overdraft at the start of the financial period - (942,046) Cash at the end of the financial period 125,462 1,615,501 Overdraft at the end of the financial period - - The accompanying notes and schedules form an integral part of these condensed financial statements.


233




1) INVESTMENTS



AUSTRIA voestalpine AG 2,802 EUR 91,925 82,479 1.15

91,925 82,479 1.15

DENMARK AP Moller - Maersk A/S 55 DKK 88,245 114,278 1.60 DSV PANALPINA A/S 532 DKK 70,801 89,689 1.25 GN Store Nord AS 1,592 DKK 85,693 100,530 1.41 Netcompany Group A/S 1,102 DKK 91,139 90,510 1.27 Novo Nordisk A/S 1,670 DKK 88,965 101,143 1.42 Novozymes A/S 1,765 DKK 91,416 96,175 1.35

516,259 592,325 8.30

FINLAND Kesko Oyj 3,732 EUR 73,020 99,650 1.39 Nokian Renkaat Oyj 3,256 EUR 92,223 95,034 1.33

165,243 194,684 2.72

FRANCE AXA SA 4,341 EUR 89,299 79,575 1.11 Carrefour SA 6,305 EUR 79,024 89,635 1.25 L'Oreal SA 317 EUR 90,427 102,116 1.43 Sanofi 1,191 EUR 89,801 90,208 1.26

348,551 361,534 5.05

GERMANY Brenntag SE 1,405 EUR 54,140 94,445 1.32 Daimler AG 1,365 EUR 92,110 88,106 1.23 E.ON SE 10,419 EUR 88,007 87,114 1.22 Evonik Industries AG 3,568 EUR 89,377 86,493 1.21 GEA Group AG 2,922 EUR 87,185 85,561 1.20 Merck KGaA 710 EUR 89,181 98,411 1.38

500,000 540,130 7.56


234






GREAT BRITAIN Burberry Group Plc 4,225 GBP 89,536 87,289 1.22 Howden Joinery Group Plc 11,768 GBP 87,782 96,097 1.33 IG Group Holdings Plc 10,851 GBP 85,494 91,908 1.29 IMI Plc 6,575 GBP 89,432 113,090 1.58 Imperial Brands Plc 5,713 GBP 79,135 88,951 1.24 Kingfisher Plc 25,225 GBP 91,647 91,945 1.29 Rio Tinto Plc 1,573 GBP 88,983 93,578 1.31 Royal Mail Plc 15,473 GBP 92,367 89,341 1.25 Softcat Plc 4,794 GBP 90,344 85,141 1.19 Spirax-Sarco Engineering Plc 760 GBP 89,698 103,474 1.45

884,418 940,814 13.15

IRELAND DCC Plc 1,407 GBP 75,959 83,266 1.17 Linde Plc 436 EUR 89,839 90,948 1.27

165,798 174,214 2.44

NETHERLANDS Akzo Nobel NV 1,032 EUR 88,808 92,177 1.29 Randstad NV 1,980 EUR 91,733 109,472 1.53 Wolters Kluwer NV 1,391 EUR 89,766 101,016 1.41

270,307 302,665 4.23

NORWAY TOMRA Systems ASA 2,500 NOK 95,280 99,703 1.39 Yara International ASA 2,524 NOK 90,024 96,040 1.34

185,304 195,743 2.73

POLAND KGHM Polska Miedz SA 2,405 PLN 89,918 85,562 1.20

89,918 85,562 1.20

SWEDEN AAK AB 5,548 SEK 91,747 89,886 1.26 Atlas Copco AB 2,058 SEK 88,699 91,092 1.26 Epiroc AB 5,276 SEK 45,450 86,905 1.22 Husqvarna AB 8,350 SEK 89,568 80,196 1.12


235






SWEDEN (continued) Swedish Match AB 13,940 SEK 73,842 85,935 1.20 Telefonaktiebolaget LM Ericsson 9,183 SEK 90,428 83,433 1.17 Thule Group AB 2,719 SEK 75,074 87,139 1.22 Trelleborg AB 4,795 SEK 87,976 80,481 1.13

642,784 685,067 9.58

SWITZERLAND Geberit AG 188 CHF 89,965 101,939 1.43 Kuehne + Nagel International AG 420 CHF 56,146 103,893 1.45 Logitech International SA 1,041 CHF 92,826 91,176 1.28 Partners Group Holding AG 92 CHF 90,224 100,741 1.41 Sika AG 420 CHF 81,527 99,266 1.39

410,688 497,015 6.96



BERMUDA ISLANDS Hiscox Ltd 2.00% 14/12/2022 100,000 GBP 98,770 101,683 1.42

98,770 101,683 1.42

GREAT BRITAIN Canary Wharf Group Investment Holdings Plc 2.63% 23/04/2025 100,000 GBP 100,208 101,386 1.42 Experian Finance Plc 0.74% 29/10/2025 EMTN 100,000 GBP 100,000 99,051 1.39 Marks & Spencer Plc 6.00% 12/06/2025 EMTN 100,000 GBP 112,956 112,605 1.58 Nationwide Building Society 5.88% / perpetual 200,000 GBP 195,449 220,611 3.09 Scottish Widows Ltd 5.50% 16/06/2023 100,000 GBP 108,328 108,659 1.52

616,941 642,312 9.00

ITALY Telecom Italia SpA 5.88% 19/05/2023 EMTN 100,000 GBP 110,215 108,407 1.52

110,215 108,407 1.52


236






NETHERLANDS Volkswagen Financial Services NV 1.13% 18/09/2023 EMTN 100,000 GBP 99,758 100,863 1.41

99,758 100,863 1.41

SPAIN

Telefonica Emisiones SA 5.29% 09/12/2022 EMTN 50,000 GBP 55,143 53,415 0.75

55,143 53,415 0.75

UNITED STATES (U.S.A.) Discovery Communications LLC 2.50% 20/09/2024 100,000 GBP 100,149 104,410 1.46 DXC Technology Co 2.75% 15/01/2025 EMTN 100,000 GBP 104,473 104,179 1.46 Ford Motor Credit Co LLC 2.75% 14/06/2024 EMTN 100,000 GBP 100,000 101,577 1.42 Goldman Sachs Group Inc 1.00% 16/12/2025 EMTN 100,000 GBP 99,605 99,780 1.40 JPMorgan Chase & Co 0.99% 28/04/2026 100,000 GBP 100,000 100,112 1.40

504,227 510,058 7.14

VIRGIN ISLANDS (UK) Global Switch Holdings Ltd 4.38% 13/12/2022 EMTN 100,000 GBP 107,271 105,184 1.47

107,271 105,184 1.47





GREAT BRITAIN Travis Perkins Plc 3.75% 17/02/2026 100,000 GBP 100,000 106,477 1.49

100,000 106,477 1.49


TOTAL OTHER TRANSFERABLE SECURITIES DEALT ON ANOTHE R REGULATED MARKET 100,000 106,477 1.49


237





1) OTHER TRANSFERABLE SECURITIES : INVESTMENT FUNDS

GREAT BRITAIN LF Equity Income Fund 756,254 GBP 379,471 25,713 0.36

379,471 25,713 0.36

TOTAL OTHER TRANSFERABLE SECURITIES : INVESTMENT FUNDS 379,471 25,713 0.36

TOTAL OTHER TRANSFERABLE SECURITIES 379,471 25,713 0.36


1) FINANCIAL FUTURES ON INDICES

Number of contracts Description Currency

Unrealised gain in % net

Sold GBP assets (179) Dow Jones STOXX 600 Price IX 17/09/2021 EUR

39,433 0.55 39,433 0.55

TOTAL FINANCIAL FUTURES ON INDICES 39,433 0.55

2) FINANCIAL FUTURES ON CURRENCIES

Number of contracts Description Currency

Unrealised gain in % net

Sold GBP assets (3) EUR/GBP Spot - Cross Rates 13/09/2021 GBP 1,069 0.01

(47) EUR/GBP Spot - Cross Rates 13/09/2021 GBP 17,625 0.25

18,694 0.26

TOTAL FINANCIAL FUTURES ON CURRENCIES 18,694 0.26


238




Unrealised % net


01/07/2021 GBP 16,308 EUR (19,000) RBC IS Bank Luxembourg 21 0.00 30/07/2021 EUR 111,928 GBP (96,194) RBC IS Bank Luxembourg (198) 0.00 30/07/2021 EUR 159,613 GBP (137,176) RBC IS Bank Luxembourg (282) 0.00 30/07/2021 USD 1,700,536 GBP (1,222,141) RBC IS Bank Luxembourg 7,097 0.10 30/07/2021 USD 168,702 GBP (121,243) RBC IS Bank Luxembourg 704 0.01 30/07/2021 GBP 967 EUR (1,126) RBC IS Bank Luxembourg 1 0.00 30/07/2021 EUR 19,000 GBP (16,332) RBC IS Bank Luxembourg (36) 0.00

7,307 0.11







% of Total Assets



Cash at Bank 1.71

Other Assets and Liabilities

7.50

Total Assets

97.49


239




Italy Buoni Poliennali Del Tesoro 0.95% 01/03/2037 300,000 269,043 2.01 Portugal Obrigacoes do Tesouro OT 1.00% 12/04/2052 300,000 263,151 1.96 Kingdom of Belgium Government Bond 0.65% 22/06/2071 300,000 259,902 1.94 Italy Buoni Poliennali Del Tesoro 1.50% 30/04/2045 300,000 257,216 1.92 European Union 0.20% 04/06/2036 EMTN 300,000 255,941 1.91 French Republic Government Bond OAT 0.50% 25/05/2072 300,000 255,884 1.91 Lloyds Banking Group Plc 1.99% 15/12/2031 200,000 200,000 1.49 Gatwick Funding Ltd 2.50% 15/04/2030 EMTN 200,000 198,370 1.48 Sage Group Plc 1.63% 25/02/2031 200,000 197,842 1.48 European Investment Bank 0.00% 14/01/2031 200,000 187,177 1.40 European Financial Stability Facility 0.00% 20/01/2031 200,000 185,600 1.38 Logitech International SA 2,176 182,085 1.36 Atlas Copco AB 4,310 181,396 1.35 Adyen NV 111 180,886 1.35 European Investment Bank 0.01% 15/05/2041 EMTN 200,000 180,271 1.34 Sanofi 2,515 177,664 1.32 European Investment Bank 0.05% 27/01/2051 200,000 175,787 1.31 European Financial Stability Facility 0.05% 18/01/2052 200,000 175,645 1.31 ZF Finance GmbH 2.00% 06/05/2027 EMTN 200,000 173,941 1.30 Orange SA 1.38% EMTN / perpetual 200,000 172,962 1.29 Danfoss Finance II BV 0.75% 28/04/2031 EMTN 200,000 172,416 1.29 Banco de Credito Social Cooperativo SA 5.25% 27/11/2031 EMTN 200,000 172,352 1.29 Italy Buoni Poliennali Del Tesoro 2.15% 01/03/2072 200,000 172,008 1.28 Ryanair DAC 0.88% 25/05/2026 EMTN 200,000 171,449 1.28 Wendel SE 1.00% 01/06/2031 200,000 170,863 1.27 European Union 0.00% 04/07/2031 EMTN 200,000 170,761 1.27 Atrium European Real Estate Ltd 3.63% EMTN / perpetual 200,000 170,733 1.27 Hellenic Republic Government Bond 0.75% 18/06/2031 200,000 170,319 1.27 Rakuten Group Inc 6.25% / perpetual 200,000 144,524 1.08 Rakuten Group Inc 5.13% / perpetual 200,000 144,524 1.08


240

Significant Portfolio Movements (continued) 30th June 2021


Sales

Security Name Quantity Proceed % of £ Total Sales Italy Buoni Poliennali Del Tesoro 0.95% 01/03/2037 300,000 269,747 1.82 Portugal Obrigacoes do Tesouro OT 1.00% 12/04/2052 300,000 264,210 1.78 Kingdom of Belgium Government Bond 0.65% 22/06/2071 300,000 260,299 1.76 Italy Buoni Poliennali Del Tesoro 1.50% 30/04/2045 300,000 259,395 1.75 French Republic Government Bond OAT 0.50% 25/05/2072 300,000 257,984 1.74 European Union 0.20% 04/06/2036 EMTN 300,000 256,904 1.73 Man Group Plc 150,882 228,436 1.54 ASML Holding NV 513 215,165 1.45 B&M European Value Retail SA 38,852 214,726 1.45 Logitech International SA 2,639 206,009 1.39 Lloyds Banking Group Plc 1.99% 15/12/2031 200,000 200,210 1.35 Gatwick Funding Ltd 2.50% 15/04/2030 EMTN 200,000 199,970 1.35 Sage Group Plc 1.63% 25/02/2031 200,000 198,056 1.34 ANDRITZ AG 5,349 196,433 1.33 Stora Enso Oyj 14,258 192,502 1.30 Viscofan SA 3,750 188,816 1.27 European Investment Bank 0.00% 14/01/2031 200,000 187,810 1.27 Kone Oyj 3,197 187,755 1.27 Adyen NV 111 186,289 1.26 European Financial Stability Facility 0.00% 20/01/2031 200,000 186,230 1.26 European Investment Bank 0.01% 15/05/2041 EMTN 200,000 181,098 1.22 European Financial Stability Facility 0.05% 18/01/2052 200,000 177,893 1.20 European Investment Bank 0.05% 27/01/2051 200,000 176,374 1.19 ZF Finance GmbH 2.00% 06/05/2027 EMTN 200,000 174,811 1.18 Orange SA 1.38% EMTN / perpetual 200,000 173,223 1.17 Banco de Credito Social Cooperativo SA 5.25% 27/11/2031 EMTN 200,000 173,214 1.17 Italy Buoni Poliennali Del Tesoro 2.15% 01/03/2072 200,000 173,144 1.17 Danfoss Finance II BV 0.75% 28/04/2031 EMTN 200,000 172,986 1.17 Ryanair DAC 0.88% 25/05/2026 EMTN 200,000 171,790 1.16 Atrium European Real Estate Ltd 3.63% EMTN / perpetual 200,000 171,428 1.16 European Union 0.00% 04/07/2031 EMTN 200,000 171,424 1.16 Hellenic Republic Government Bond 0.75% 18/06/2031 200,000 171,096 1.16 Wendel SE 1.00% 01/06/2031 200,000 170,932 1.15 Valmet Oyj 5,132 149,274 1.01



241


Semper Total Return Fund Fund Review The Semper Total Return Fund completed its third fiscal year on a strong note, with performance for the six months ended 30th June 2021 continuing the positive trend we have seen over the past 15 months. 1st January 2021 – 30th June 2021 Net Performance Founders Share Class Distributing, Hedged, GB Pounds: 4.03% Founders Share Class Distributing, Unhedged, US Dollars: 4.18% Bloomberg Barclays U.S. MBS Index: -0.77% Bloomberg Barclays U.S. Aggregate Index: -1.60% The Sub-Fund generated strong relative and absolute performance for the six month period ending 30th June 2021, benefitting from continued strengthening of the residential housing market, consumer credit performance, and general economic growth. As the economy continued to rebound from shutdowns across the country and globe caused by the pandemic, and as vaccines have become available, the markets have increasingly focused on Fed monetary policy. The Fed’s zero interest rate policy, quantitative easing in which they have been purchasing $120 billion of Treasury and Agency MBS each month since last spring, and lending facilities along with fiscal stimulus and numerous government policies provided crucial support to the economy. While employment remains below Fed targets, intermediate Treasury yields rose sharply in the first several months of 2021. The 10-year Treasury yield over the first six months of the Sub-Fund’s fiscal year rose from 85 basis points to 1.60%, nearly doubling. The 2-year Treasury yield remained anchored at about 15 basis points, supported by the Fed’s continued promise to keep rates low for at least two more years. While the 10-year yield has declined since 31st May, the 2-year yield has risen to 25 basis points, a reflection of increased uncertainty about that timing given strong economic data, rapid employment recovery, and inflation above longer-term targets. In anticipation of this potential increase in market yields, Semper Capital reduced duration (interest rate sensitivity) over the end of 2020 and into 2021, by selling bonds with more duration, buying bonds with lower or negative duration and adding floating rate notes that typically benefit from rising short term interest rates. The Sub-Fund’s primary strategy during the period remained unchanged. Throughout the period, the Sub-Fund’s largest allocation was to the non-Agency RMBS sector as it has been since inception. The 30th June allocation to RMBS totalled 93%. Approximately 70% of this RMBS position was allocated to newer issue securitisations supported by recent vintage loans, about 14% consisting of Legacy securitisations including Prime, Alt-A and Subprime bonds, and about 16% consisting of seasoned loans packaged into newer securitisations. Examples of new issue securitisations are Agency Credit Risk Transfer (CRT) bonds issued by Fannie Mae and Freddie Mac, Jumbo 2.0 securitisations, Non-QM (non-qualifying mortgages) securitisations, and Single Family Rental (SFR) bonds. Examples of newer issue securitisations supported by seasoned loans include Reperforming Loan securitisations (RPL) and Non-Performing Loan securitisations (NPL). The Sub-Fund also had an allocation to commercial MBS (CMBS), primarily multi-family housing securities and deals collateralised with industrial properties. The most significant changes to sector allocations included a reduction in Legacy securities and an increase in Agency CRT and SFR bonds, as we sought to reduce fully valued positions and add positions with more price upside and current income. The Total Return Fund did not have an allocation to government agency guaranteed MBS given our continued relative value view on the sector characterised by greater interest rate sensitivity, lower yield, and risk of underperformance when the Fed begins to taper their $40 billion of monthly Agency MBS. Because of the nature of non-Agency RMBS, duration remained low relative to most bond profiles, with portfolio duration of 1.1 years, down from 2.1 years six months earlier, in part due to an increased allocation in floating rate bonds from 48% to 55% during the period. The primary source of performance during the first half of the current calendar year was appreciation of bond prices, averaging about 2.50%. Interest income for the period totalled about 1.70%. Agency CRT was the leading sector for performance, contributing about 1.50% to total return for the six-month period. We expect to maintain a similar overall Sub-Fund composition for the remainder of 2021, with the largest allocation to non-Agencies, with a growing percentage in newer issue securities, a modest allocation to CMBS, and a continued low duration.


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Semper Total Return Fund (Continued)

Outlook The Non-Agency Mortgage-Backed Securities (RMBS) Sector, after outperforming other fixed income sectors over the first half of the year, is even better positioned in our opinion for a continuation of strong performance in the second half of 2021. The RMBS sector today can be characterised by its 3 pillars of value:

• High current yield – most RMBS pay monthly interest and principal, and are fully amortising. The current yield (SEC Yield) of the Total Return Fund is 3.46% as of 31st May

• Low interest rate sensitivity – many RMBS have floating rate notes, short average lives because of expected principal paydowns, in some cases negative durations, and even coupons that increase if bonds aren’t called. In an environment of rising interest rates, these characteristics can protect bond prices

• Low correlation to other asset classes – the duration, credit, and optionality characteristics of many RMBS combined with the bespoke and complex nature of the sector have historically resulted in low price correlation to investment grade bonds, high yield bonds, Agency MBS, Treasuries, and equities. This can result in valuable diversification in volatile markets

Recent Trends We have realised continued price recovery, dating back to last April, and expect this to continue on a go forward basis across most RMBS, especially mezzanine profiles. At the same time, credit quality continued to improve across RMBS sectors, leaving room for additional spread contraction and price appreciation. We believe RMBS offers both an extremely attractive absolute and relative value opportunity compared to other U.S. fixed income sectors. The price recovery for much of this sector, following March 2020’s pandemic-induced liquidity event across the capital markets, has lagged other momentum-driven and Fed-supported sectors. The U.S. housing market which underpins RMBS has gotten even stronger over the course of the year as measured by home price appreciation and subsequent increase in home equity, demand in excess of supply, and credit quality of borrower. Combined with the low interest rate sensitivity of most RMBS and low projected net supply, RMBS has become an increasingly attractive value proposition. Underlying Housing Market and Regulatory/Monetary/Fiscal Support Rising home prices are a strong fundamental tailwind for mortgage credit and RMBS securities. Throughout 2021, the housing market has continued to outperform expectations with strong price appreciation, now running at over 13% year over year nationally. Housing inventory is at record low levels and demand is far outpacing supply, as a result of continued affordability from low rates, increasing incomes, and a pandemic-led shift in housing preferences. We expect this positive trend in home prices to continue throughout 2021 and into 2022. Moreover, new housing supply and construction are still well below current demand and have remained that way since the last recession well over ten years ago, further fuelling the current imbalance. Even though home builders’ activity has increased since the pandemic, it will take years for supply to increase and may well remain below the expected level of demand. In addition, since the pandemic began, the U.S. consumer has benefited from multiple rounds of stimulus, extended unemployment benefits, and eviction and foreclosure moratoriums, which have provided lifelines to borrowers during the worst parts of the COVID crisis. The FHFA’s (Fannie Mae’s and Freddie Mac’s regulator) forbearance programs, which were initially 12 months in length until being extended to 18 months, also provided significant relief to more distressed borrowers by allowing them to pause their mortgage payments while the economy recovered and began to gradually reopen. Of the borrowers that opted into these forbearance programs, on average over 70% have now cured or prepaid their loans. Another recent example of accommodative policy action occurred in April when the FHFA announced a new program aimed at the cohorts of borrowers that were unable to take advantage of historically low mortgage rates. The RefiNow and RefiPossible programs target higher debt-to-income (DTI) borrowers, who may have lost income as a result of the crisis, to refinance into a new more affordable mortgage.


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Overall, strong home price appreciation coupled with continued public policy support, stimulus, extended unemployment benefits and forbearance programs have been a significant credit positive for the RMBS and mortgage credit sector despite the lack of any direct Fed programs specifically targeting RMBS. Rising Rates and RMBS The economic recovery since last spring and the degree of fiscal and monetary support are unprecedented. While the Fed is committed to keeping the target Fed Funds rate near 0% for several quarters, and the $120 billion monthly purchase of Treasuries and Agency MBS through the current Quantitative Easing (QE) program is likely to last until at least late this year, our view is that rates will continue to rise as the economy re-opens and Federal Reserve intervention ends. The 10-year Treasury yield has risen from a low of 50 basis points last August and 90 basis points last December to about 1.5% currently – peaking at 1.7% recently – is likely a preview of things to come. The two-year Treasury yield remains anchored at 15 basis points, but we expect short rates – including the base rate for floating rate coupons – to follow the lead of intermediate rates within several months. Real estate is historically an effective inflation hedge, and we believe that loan performance will remain strong, supporting RMBS credit quality and working in tandem with low duration to support RMBS prices. The below table highlights the total return of Semper’s Total Return Strategy during periods of rising 10-year yields:

Semper Fixed Income Total Return Strategy Net Performance vs. 10-Year Treasury Yield & Bloomberg Barclays Aggregate Index

Growth of 10K – 8/31/2013 to 3/31/2021; periods of rising rates highlighted


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Continued Fundamental Value vs Pre-COVID Market Levels The table below shows relative yield and spread data for a representative RMBS deal, highlighting the relative yield movements of tranches across the capital stack. This is a Non-Qualified Mortgage deal, AOMT 2019-5, issued in October 2019. The table shows each class/tranche in the deal, along with its level of credit enhancement (C/E) in February 2020 before the impact of COVID-19, in November 2020, reflecting growing credit enhancement (better credit quality) and slow recovery of prices/yields/spreads, especially for mezzanine classes, and again in May 2021. C/E is a measure of how much collateral loss a bond can withstand before suffering principal loss. For example, C/E for the BBB rated M1 class increased from 10.7% to 13.3% from February to November, and again to 16.9% by May 2021. At this same time, our view of expected lifetime collateral losses has only marginally increased, a benefit of the very strong housing market and strong loan performance we have witnessed this year.

Bond Class

Tranche Type

Credit Rating

Credit Enhancement (2/29/20)



Yield Spread (2/29/20)



A1 Senior AAA 38.9% 42.4% 47.2% 80 80 75 A2 Senior AA 32.5% 36.4% 41.7% 95 120 95 A3 Senior A 18.9% 23.5% 29.9% 110 135 115 M1 IG Mezz BBB 10.7% 13.3% 16.9% 155 215 165 B1 BIG Mezz BB 6.4% 8.0% 10.2% 220 315 250 B2 BIG Mezz B 2.4% 3.0% 3.9% 315 450 335 Projected Lifetime Collateral Loss Range: 0.50% to 1.50% Source: Semper Capital Credit rating is determined by using the highest credit rating for each security from Moody’s, Standard & Poor’s, Fitch Ratings, DBRS Morningstar Credit Ratings, LLC and Kroll, five credit rating agencies providing credit assessments for mortgage-backed securities. While spreads have continued to contract and mezzanine spreads in particular have improved, the levels remain wider than pre-COVID, while credit quality is much stronger and uncertainty with respect to these bonds’ performance is much lower. Strong Gross Supply and Constrained Net Supply While it is expected that supply throughout 2021 will continue to pick up back to, and above, pre-COVID levels, the market is still recovering from the reduction of supply in 2020. As a result of the COVID crisis, origination temporary halted for certain sectors and the pace of new issuance in the RMBS primary markets dropped meaningfully by the second and third quarters of 2020. This led to an overall shortage of supply in the RMBS market in 2020 at under $100 billion gross supply vs $120-130 billion in the prior years leading up to the COVID crisis, according to a recent Bank of America research report. This reduction in gross supply, coupled with the rapid pay down of structures as a result of elevated prepayment speeds, led to a $30-plus billion decrease in net issuance in the sector (meaning a shrinking of the RMBS sector in 2020 by $30 billion). While issuance projections for the RMBS sector for 2021 range from $140 to $150-plus billion in 2021, which should contribute to a positive net supply this year, at best it still only corrects the imbalance of the negative net supply from 2020 in aggregate. On the demand side, as a result of the strong credit performance and housing data through the COVID crisis, deals continue to get strong traction in the primary market as investors including money managers, banks, REITs, and opportunistic credit funds look to add exposure to the RMBS sector. Overall the limited supply dynamic coupled with the strong demand from investors for RMBS credit offer a technical positive tailwind to the sector in 2021, which in conjunction with strong underlying fundamentals, can help provide a catalyst for further spread tightening in the asset class this year.


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RMBS Relative Value vs Other Risk Assets and Fixed Income RMBS has generally been attractive from a risk-adjusted relative value standpoint since the Great Financial Crisis (GFC), with higher current yield and greater total return opportunities than IG and HY corporate credit. Reasons include the persistent structural complexity premium, smaller size of the sector, over-the-counter nature of the products traded, and barriers to entry including the importance of sector specific expertise. During the severe liquidity-driven economic and market dislocation in March 2020, RMBS prices fell as much or more than other risk assets, and then failed to recover as quickly. The below table highlights how RMBS yields (loss adjusted) remain higher relative to the yields (nominal or gross) for other asset classes since the onset of the pandemic. Our view is that the strong structural and collateral fundamentals are undervalued as a result of this declining but still present price dislocation.

*The Fund YTM is loss adjusted; HY Credit Index YTM is nominal **RMBS sector is represented by the Semper Total Return Fund. YTM based on a range of Semper scenario analyses reflecting different economic, real estate, and RMBS market factors. There is no guarantee this will be achieved. Source: Bloomberg Barclays Indices Summary/Outlook We remain extremely constructive on both the fundamental and technical landscape for the RMBS sector and mortgage credit and see meaningful opportunity for continued spread tightening in the sector. The potential for meaningful continued spread compression is driven by several key themes outlined earlier in the outlook:

(1) Robust Housing Fundamentals Limited inventory created from years of underdevelopment in the housing market after the Great Financial Crisis (GFC), coupled with strong demand for shelter, brought forward as a result of the crisis, plus historically low mortgage rates have been a strong catalyst for growth in the U.S. housing market. The result has been 13% year over year home price appreciation with an expectation of more continued HPA ahead. A strong housing market is extremely supportive for RMBS credit and also leads to deleveraging of collateral by lower LTVs, reducing defaults risks and lower severities.

(2) Limited Supply Due to market volatility in 2020, new RMBS supply dropped meaningfully, and the sector had negative $30 billion in net issuance for the year as the Legacy sector continued to pay down and delevering of newer issue securities rose. While 2021 is expected to have a strong pickup in supply, it’s likely just enough to offset the lower supply from 2020. The lower supply environment has been met with strong demand for RMBS from investors, leading to a strong technical tailwind for the sector. In addition, newly originated collateral backing many of these newly issued deals has had some of the strongest underwriting and credit metrics seen in the sector over the last several years, as lenders tightened lending standards in response to the COVID crisis.

(3) Supportive Policy and Strong Credit Performance Throughout the crisis the U.S. government and FHFA have offered continued policy support to homeowners, providing stimulus and unemployment benefits, relief from payments and other supportive policies as the U.S. economy has gradually reopened. As a result of these actions, mortgage credit has continued to perform well, and future losses related to the crisis are expected to be minimal across the various RMBS sub-sectors.

Sector YTM* (30/06/21) YTM* (31/01/21) YTM* (29/02/20)

Semper Total Return Fund** 4.10% 3.70% 3.10%

US IG Credit 2.10% 1.20% 2.50%

US HY Credit 4.60% 4.30% 5.90%

US Treasury Index 0.90% 2.00% 1.00%

US MBS Index 1.80% 0.60% 1.80%


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(4) Prepayments and Delevering

One of the key benefits of RMBS is that as deals season both the collateral and the structures delever, improving bonds’ credit and further protecting against potential loss. As borrowers pay down their mortgages, the loans delever through amortisation as well as through home price appreciation, lowering the overall underlying LTVs of the deal. For example, the CRT deal STACR 2015-DNA3 had an LTV at issuance of approximately 74%. Today the LTV is under 47%, resulting in over 50% equity for borrowers in their homes. In addition to that, this same deal, through amortisation and prepayments has paid down considerably and now the Last Cash Flow bond in the deal, which originally had 1% of credit enhancement and was rated B by Fitch and DBRS, now has about 4% credit enhancement and has been upgraded to A+ and A by Fitch and DBRS respectively. As a result of the delevering of both the collateral and structure, the bonds trade at a much tighter spread than the spread at the time of issuance, representing an important source of additional total return through roll down and upgrade potential for RMBS securities. As the overall bond market braces for what may be a rough road ahead led by the Fed’s eventual move towards a more hawkish monetary policy, the unique positioning of non-Agency bonds, supported by a housing market with by both strong sector technicals and fundamentals, as well as attractive structural characteristics, offers a compelling case for continued attractive absolute and relative performance.

Semper Capital Management Date: July 2021


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Semper Total Return Fund

STRF STRF 30 Jun 2021 31 Dec 2020 Note $ $


Investments in Transferable Securities 3 217,328,123 313,676,813 Investment in Financial Derivative Instruments 3 255,403 10,437,630

Cash at bank 4 2,934,032 12,639,107 Dividends and interest receivable 420,185 467,813 Amount receivable on subscriptions 687,582 233,680 Amount receivable on sale of securities 510,210 - Other receivables 2,779 26


Investment in Financial Derivative Instruments 3 4,869,842 107,296 Amount payable on purchase of securities 872,026 4,010,990 Investment management fees payable 6 97,371 126,633 Manager fee payable 6 16,913 23,182 Administration fees payable 6 33,895 30,815 Transfer agency fees payable 6 32,173 5,939 Directors fees payable 6 739 - Depositary and depositary oversight fees payable 6 38,724 21,702 Audit fees payable 6 7 1,268 Redemptions payable 465,432 93,348 Other fees payable 15,200 12,480 TOTAL LIABILITIES (excluding net assets attributabl e to holders of redeemable participating shares) 6,442,322 4,433,653



248



STRF STRF

Financial



INCOME Bond interest income 4,435,384 4,000,157 Net realised and unrealised gain/(loss) on financial assets and liabilities at fair value through profit or loss 7 10,922,685 (39,244,424) Bank Interest - 3,156 Other income 138 22,680 TOTAL INVESTMENT INCOME/(LOSS) 15,358,207 (35,218,431) EXPENSES Investment management fees 6 603,834 571,587 Manager fees 6 115,020 115,061 Administration fees 6 15,118 35,541 Director fees 6 5,977 5,482 Depositary and depositary oversight fees 6 33,788 34,414 Audit fees 6 6,480 5,208 Transfer agency fees 6 38,857 10,790 Bank interest expense 47 13,561 Other fees and expenses 6 29,889 18,158 Total Operating Expenses 849,010 809,802 Operating Profit/(Loss) 14,509,197 (36,028,233) Finance Costs Dividends to holders of redeemable participating shares 3,585,457 3,619,220 Increase/(Decrease) in net assets attributable to holders of redeemable participating shares from operations 10,923,740 (39,647,453) The accompanying notes and schedules form an integral part of these condensed financial statements. All of the results for the financial period relate to continuing operations.


249




STRF STRF

Financial


Period Ended 30 Jun 2021 30 Jun 2020 $ $ Net Assets attributable to holders of Redeemable Participating Shares at the beginning of the financial period 333,021,416 252,436,186 Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 10,923,740 (39,647,453) Capital transactions Issue of redeemable shares during the financial period 23,641,328 213,252,887 Redemption of redeemable shares during the financial period (151,890,492) (87,191,347)



250



STRF STRF 30 Jun 2021 30 Jun 2020 $ $ Cash flows from operating activities Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 10,923,740 (39,647,453) Adjustment to reconcile increase/(decrease) in net assets attributable to holders of redeemable participating shares from operations to net cash provided by/(used in) operating activities Bond interest income (4,435,384) (4,000,157) Dividends to holders of redeemable participating shares 3,585,457 3,619,220 Operating profit/( loss) before working capital changes 10,073,813 (40,028,390) Changes in operating assets and liabilities Net decrease/(increase) in financial assets and liabilities at fair value 111,293,463 (73,541,373) (Increase)/Decrease in other receivables (512,963) 596,822 (Decrease)/Increase in payables (3,125,961) 67,096 Cash provided by/(used in) operating activities 117,728,352 (112,905,845) Interest received 4,483,012 3,819,622 Net cash provided by/(used in) operating activities 122,211,364 (109,086,223) Cash flows from financing activities Proceeds from issue of redeemable participating shares 23,187,426 213,252,887 Payment on redemptions of redeemable participating shares (151,518,408) (83,637,130) Dividends to holders of redeemable participating shares (3,585,457) (3,619,220)

Net cash (used in)/provided by financing activities (131,916,439) 125,996,537 Net (decrease)/increase in cash (9,705,075) 16,910,314 Net Cash at the start of the financial period 12,639,107 462,364 Net Cash at the end of the financial period 2,934,032 17,372,678 Analysis of Cash Cash at the start of the financial period 12,639,107 462,364 Overdraft at the start of the financial period - - Cash at the end of the financial period 2,934,032 17,372,678 Overdraft at the end of the financial period - - The accompanying notes and schedules form an integral part of these condensed financial statements.


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1) INVESTMENTS


1) LISTED SECURITIES : MORTGAGE BACKED SECURITIES

BERMUDA ISLANDS Bellemeade Re 2020-2 Ltd 6.09% 26/08/2030 580,000 USD 618,425 613,493 0.28 Oaktown Re VI Ltd 3.02% 25/10/2033 511,000 USD 527,767 523,967 0.24

1,146,192 1,137,460 0.52

UNITED STATES (U.S.A.) Connecticut Avenue Securities Trust 2020-SBT1 6.69% 25/02/2040 1,578,000 USD 1,561,294 1,617,788 0.75 Connecticut Avenue Securities Trust 2020-SBT1 6.84% 25/02/2040 2,644,000 USD 2,588,135 2,659,987 1.23 Fannie Mae Connecticut Avenue Securities 2.69% 25/05/2024 500,000 USD 279,853 270,886 0.13 Fannie Mae Connecticut Avenue Securities 3.84% 25/10/2030 2,569,000 USD 2,625,202 2,677,531 1.24 Fannie Mae Connecticut Avenue Securities 4.94% 25/10/2029 878,000 USD 942,204 937,481 0.43

7,996,688 8,163,673 3.78

TOTAL LISTED SECURITIES : MORTGAGE BACKED SECURITIE S 9,142,880 9,301,133 4.30



1) OTHER ORGANISED MARKET : ASSET BACKED SECURITIES

UNITED STATES (U.S.A.) Citigroup Mortgage Loan Trust 2007-AMC1 0.25% 25/12/2036 1,840,000 USD 294,700 294,002 0.14 GSAMP Trust 2006-HE5 0.24% 25/08/2036 473,000 USD 99,974 105,584 0.05 Mastr Asset Backed Securities Trust 2006-HE2 0.39% 25/06/2036 1,500,000 USD 431,309 408,675 0.19 Morgan Stanley ABS Capital I Inc Trust 2006-WMC2 0.19% 25/07/2036 4,000,000 USD 55,472 62,211 0.03 WaMu Asset-Backed Certificates WaMu Series 2007-HE4 Trust 0.34% 25/07/2047 1,000,000 USD 417,232 433,440 0.20

1,298,687 1,303,912 0.61

TOTAL OTHER ORGANISED MARKET : ASSET BACKED SECURIT IES 1,298,687 1,303,912 0.61


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B) OTHER TRANSFERABLE SECURITIES DEALT ON ANOTHER R EGULATED MARKET (continued) 2) OTHER ORGANISED MARKET : MORTGAGE BACKED SECURIT IES

UNITED STATES (U.S.A.) American Home Mortgage Assets Trust 2006-6 0.28% 25/12/2046 5,436,000 USD 993,338 990,833 0.46 Bear Stearns ALT-A Trust 2006-3 0.47% 25/05/2036 30,000,000 USD 2,256,760 2,198,580 1.02 Connecticut Avenue Securities Trust 2018-R07 4.44% 25/04/2031 3,000,000 USD 2,954,063 3,122,219 1.45 Connecticut Avenue Securities Trust 2019-R01 4.44% 25/07/2031 3,290,000 USD 3,558,015 3,399,733 1.58 Connecticut Avenue Securities Trust 2019-R04 5.34% 25/06/2039 2,000,000 USD 2,125,977 2,079,300 0.96 Connecticut Avenue Securities Trust 2019-R05 4.19% 25/07/2039 2,000,000 USD 2,035,938 2,040,394 0.95 Connecticut Avenue Securities Trust 2019-R06 3.84% 25/09/2039 2,500,000 USD 2,473,125 2,539,795 1.18 Connecticut Avenue Securities Trust 2020-R01 3.34% 25/01/2040 1,565,000 USD 1,578,349 1,570,175 0.73 Fannie Mae Connecticut Avenue Securities 3.84% 25/03/2031 784,000 USD 796,985 806,684 0.37 Fannie Mae Connecticut Avenue Securities 4.34% 25/01/2031 551,000 USD 575,795 577,242 0.27 Fannie Mae Connecticut Avenue Securities 5.84% 25/07/2029 405,000 USD 444,994 448,288 0.21 Freddie Mac Stacr Remic Trust 2019-Hqa4 6.69% 25/11/2049 615,000 USD 615,000 648,795 0.30 Freddie Mac Stacr Remic Trust 2020-DNA1 5.34% 25/01/2050 1,861,000 USD 1,808,289 1,867,196 0.87 Freddie Mac STACR Remic Trust 2020-DNA2 4.89% 25/02/2050 915,000 USD 915,000 911,514 0.42 Freddie Mac STACR REMIC Trust 2020-DNA3 5.19% 25/06/2050 2,637,000 USD 2,759,180 2,768,362 1.28 Freddie Mac STACR REMIC Trust 2020-DNA3 9.44% 25/06/2050 2,000,000 USD 2,350,625 2,414,593 1.12 Freddie Mac STACR REMIC Trust 2020-DNA4 6.09% 25/08/2050 2,596,000 USD 2,754,067 2,791,684 1.29

Freddie Mac STACR REMIC Trust 2020-DNA6 5.67% 25/12/2050 1,500,000 USD 1,547,813 1,569,364 0.73 Freddie Mac STACR REMIC Trust 2020-HQA1 5.19% 25/01/2050 1,550,000 USD 1,556,250 1,541,555 0.71 Freddie Mac Stacr Remic Trust 2020-HQA2 4.19% 25/03/2050 1,205,000 USD 1,222,411 1,248,007 0.58

Freddie Mac STACR REMIC Trust 2020-HQA4 5.34% 25/09/2050 500,000 USD 521,563 529,665 0.25 Freddie Mac STACR REMIC Trust 2021-DNA1 4.77% 25/01/2051 766,000 USD 766,000 789,134 0.37 Freddie Mac STACR REMIC Trust 2021-HQA1 5.02% 25/08/2033 2,375,000 USD 2,375,000 2,414,963 1.12 Freddie Mac STACR Trust 2019-DNA4 6.34% 25/10/2049 698,000 USD 704,301 728,932 0.34


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B) OTHER TRANSFERABLE SECURITIES DEALT ON ANOTHER R EGULATED MARKET (continued) 2) OTHER ORGANISED MARKET : MORTGAGE BACKED SECURIT IES (continued)

UNITED STATES (U.S.A.) (continued) Freddie Mac Structured Agency Credit Risk Debt Notes 3.42% 25/08/2033 2,807,000 USD 2,825,401 2,897,118 1.34 Freddie Mac Structured Agency Credit Risk Debt Notes 4.02% 25/11/2050 1,101,000 USD 1,137,813 1,155,432 0.54 Freddie Mac Structured Agency Credit Risk Debt Notes 6.02% 25/08/2033 1,316,000 USD 1,330,291 1,484,972 0.69 STACR Trust 2018-HRP2 4.29% 25/02/2047 867,000 USD 915,227 917,778 0.43 WaMu Mortgage Pass-Through Certificates Series 2005-AR6 Trust 0.99% 25/04/2045 975,000 USD 313,582 318,855 0.15

46,211,152 46,771,162 21.71

TOTAL OTHER ORGANISED MARKET : MORTGAGE BACKED SECURITIES 46,211,152 46,771,162 21.71



1) OTHER TRANSFERABLE SECURITIES : ASSET BACKED SECURITIES

UNITED STATES (U.S.A.) AMSR 2021-SFR1 Trust 3.87% 17/06/2038 1,100,000 USD 1,099,985 1,110,971 0.52 AMSR 2021-SFR1 Trust 4.97% 17/06/2038 600,000 USD 599,972 619,155 0.29 Bayview Commercial Asset Trust 2006-4 0.50% 25/12/2036 5,017,000 USD 527,719 526,121 0.24 Bear Stearns Second Lien Trust 2007-1 0.53% 25/08/2037 1,600,000 USD 44,929 44,948 0.02 Bear Stearns Second Lien Trust 2007-SV1 1.44% 25/01/2036 1,000,000 USD 72,577 76,039 0.04 CoreVest American Finance 2017-2 Trust 5.62% 25/12/2027 750,000 USD 776,028 822,472 0.38 Corevest American Finance 2019-1 Trust 5.49% 15/03/2052 242,500 USD 232,701 270,104 0.13 Countrywide Asset-Backed Certificates 4.47% 25/10/2046 3,100,000 USD 2,367,702 2,519,030 1.17 First NLC Trust 2007-1 0.16% 25/08/2037 2,900,000 USD 303,655 318,036 0.15 FirstKey Homes 2020-SFR1 Trust 4.28% 17/06/2025 1,596,000 USD 1,672,550 1,655,988 0.77 FirstKey Homes 2020-SFR1 Trust 4.78% 17/06/2025 2,500,000 USD 2,499,986 2,583,580 1.20 FirstKey Homes 2020-SFR2 Trust 3.02% 17/06/2037 2,710,000 USD 2,769,705 2,769,456 1.28 Home Partners of America 2019-1 Trust 4.10% 17/06/2039 500,000 USD 463,666 469,608 0.22 Lehman XS Trust 2006-9 0.61% 25/05/2046 150,000 USD 85,789 86,735 0.04


254




C) OTHER TRANSFERABLE SECURITIES (continued) 1) OTHER TRANSFERABLE SECURITIES : ASSET BACKED SECURITIES (continued)

UNITED STATES (U.S.A.) (continued) Mastr Asset Backed Securities Trust 2006-HE5 0.25% 25/11/2036 1,071,000 USD 354,076 365,627 0.17 Merrill Lynch Mortgage Investors Trust Series 2005-AR1 1.10% 25/06/2036 500,000 USD 390,529 411,353 0.19 Merrill Lynch Mortgage Investors Trust Series 2006-RM2 0.46% 25/05/2037 23,000,000 USD 1,876,523 1,977,325 0.92 Merrill Lynch Mortgage Investors Trust Series 2007-HE2 0.21% 25/02/2037 1,100,000 USD 44,630 45,633 0.02 Mill City Mortgage Loan Trust 2017-1 3.57% 25/11/2058 1,250,000 USD 1,334,717 1,349,483 0.63 Morgan Stanley ABS Capital I Inc Trust 2006-NC5 0.20% 25/10/2036 2,077,720 USD 260,898 272,699 0.13 Morgan Stanley ABS Capital I Inc Trust 2007-NC3 0.15% 25/05/2037 17,764,650 USD 503,315 553,060 0.26 New Residential Mortgage LLC 2018-FNT2 5.12% 25/07/2054 500,000 USD 159,746 159,840 0.07 Progress Residential 2018-SFR2 Trust 5.46% 17/08/2035 2,000,000 USD 1,938,366 2,014,036 0.93 Progress Residential 2018-SFR3 Trust 5.62% 17/10/2035 2,500,000 USD 2,495,277 2,522,196 1.17 Progress Residential 2019-SFR1 Trust 5.31% 17/08/2035 3,000,000 USD 2,954,134 3,077,078 1.43 Progress Residential 2019-SFR2 Trust 5.09% 17/05/2036 750,000 USD 750,581 749,394 0.35 Progress Residential 2020-SFR1 Trust 4.03% 17/04/2037 2,600,000 USD 2,569,014 2,623,680 1.22 Progress Residential 2020-SFR1 Trust 5.27% 17/04/2037 2,050,000 USD 2,005,993 2,087,902 0.97 Progress Residential 2020-SFR3 Trust 6.23% 17/04/2027 606,000 USD 605,997 614,523 0.28 Progress Residential 2021-SFR1 2.76% 17/04/2038 500,000 USD 499,986 493,504 0.23 Progress Residential 2021-SFR1 3.86% 17/04/2038 1,500,000 USD 1,499,972 1,501,757 0.70 Progress Residential 2021-SFR1 5.00% 17/04/2038 250,000 USD 249,994 254,241 0.12 Progress Residential 2021-SFR2 Trust 4.25% 17/04/2038 2,096,000 USD 2,102,483 2,123,969 0.98

Progress Residential 2021-SFR2 Trust 5.00% 17/04/2038 216,000 USD 215,995 217,271 0.10

Progress Residential 2021-SFR3 4.25% 17/05/2026 1,702,000 USD 1,707,499 1,720,553 0.80

Progress Residential 2021-SFR3 4.75% 17/05/2026 367,000 USD 366,992 367,291 0.17 Specialty Underwriting & Residential Finance Trust Series 2006-BC5 0.30% 25/11/2037 4,400,000 USD 1,825,985 2,197,105 1.02 Towd Point Mortgage Trust 2015-5 3.99% 25/05/2055 250,000 USD 248,938 254,892 0.12 Towd Point Mortgage Trust 2016-1 3.72% 25/02/2055 250,000 USD 252,048 255,854 0.12 Towd Point Mortgage Trust 2016-2 3.42% 25/08/2055 1,000,000 USD 1,037,969 1,052,298 0.49 Towd Point Mortgage Trust 2016-4 3.86% 25/07/2056 250,000 USD 248,895 272,435 0.13 Towd Point Mortgage Trust 2018-3 3.66% 25/05/2058 250,000 USD 225,810 250,092 0.12 Towd Point Mortgage Trust 2018-4 3.30% 25/06/2058 250,000 USD 211,500 234,841 0.11 Towd Point Mortgage Trust 2018-5 3.44% 25/07/2058 1,000,000 USD 1,023,027 1,018,585 0.47


255




C) OTHER TRANSFERABLE SECURITIES (continued) 1) OTHER TRANSFERABLE SECURITIES : ASSET BACKED SECURITIES (continued)

UNITED STATES (U.S.A.) (continued) Towd Point Mortgage Trust 2018-5 3.44% 25/07/2058 250,000 USD 216,539 248,054 0.12 Towd Point Mortgage Trust 2018-6 3.87% 25/03/2058 250,000 USD 235,813 266,909 0.12 Towd Point Mortgage Trust 2018-SJ1 5.25% 25/10/2058 1,000,000 USD 1,000,000 1,033,026 0.48 Tricon American Homes 2019-SFR1 Trust 3.75% 17/03/2038 1,480,000 USD 1,548,855 1,517,961 0.70 VOLT XCIV LLC 4.95% 27/02/2051 4,000,000 USD 4,000,156 3,995,761 1.85 WaMu Asset-Backed Certificates WaMu Series 2007-HE2 Trust 0.28% 25/04/2037 3,913,000 USD 1,184,378 1,132,703 0.53 WaMu Asset-Backed Certificates WaMu Series 2007-HE4 Trust 0.26% 25/07/2047 8,250,000 USD 1,903,462 2,228,092 1.03

53,567,056 55,333,266 25.70

TOTAL OTHER ORGANISED MARKET : ASSET BACKED SECURIT IES 53,567,056 55,333,266 25.70

2) OTHER TRANSFERABLE SECURITIES : MORTGAGE BACKED SECURITIES

BERMUDA ISLANDS Bellemeade Re 2020-3 Ltd 3.79% 25/10/2030 736,000 USD 764,750 770,401 0.36 Eagle RE 2021-1 Ltd 2.72% 25/10/2033 490,000 USD 491,906 500,069 0.23 Eagle RE 2021-1 Ltd 4.47% 25/10/2033 798,000 USD 813,428 842,665 0.39 Oaktown Re III Ltd 2.64% 25/07/2029 1,500,000 USD 1,505,625 1,509,006 0.70 Oaktown Re V Ltd 5.34% 25/10/2030 519,000 USD 547,626 548,091 0.25 Oaktown Re VI Ltd 3.97% 25/10/2033 274,000 USD 276,526 286,052 0.13 Radnor RE 2021-1 Ltd 2.71% 27/12/2033 1,500,000 USD 1,501,875 1,503,743 0.70

5,901,736 5,960,027 2.76

UNITED STATES (U.S.A.) Angel Oak Mortgage Trust 2019-3 3.24% 25/05/2059 10,000 USD 2,953 3,104 0.00 Angel Oak Mortgage Trust 2019-3 4.10% 25/05/2059 1,000,000 USD 999,987 1,009,087 0.47 Angel Oak Mortgage Trust 2020-1 3.76% 25/12/2059 500,000 USD 499,988 503,480 0.23 Angel Oak Mortgage Trust I LLC 2019-2 5.02% 25/03/2049 2,457,000 USD 2,513,959 2,498,271 1.16 Angel Oak Mortgage Trust I LLC 2019-4 5.66% 26/07/2049 3,030,919 USD 3,076,383 3,067,559 1.42 Arroyo Mortgage Trust 2018-1 4.09% 25/04/2048 1,000,000 USD 332,091 349,449 0.16 Banc of America Funding Corp 0.54% 25/07/2037 1,500,000 USD 229,902 235,881 0.11 Bear Stearns ALT-A Trust 2005-9 0.61% 25/11/2035 14,500,000 USD 755,711 744,935 0.35 Bellemeade Re Ltd 1.86% 25/06/2031 325,000 USD 326,117 325,901 0.15 Bellemeade Re Ltd 2.91% 25/06/2031 724,000 USD 724,000 726,579 0.34 Bellemeade Re Ltd 4.16% 25/06/2031 469,000 USD 469,000 474,223 0.22 Bellemeade Re Ltd 6.77% 25/03/2031 329,000 USD 329,000 356,901 0.17

CitiMortgage Alternative Loan Trust Series 2007-A7 0.49% 25/07/2037 3,500,000 USD 412,338 383,018 0.18


256




C) OTHER TRANSFERABLE SECURITIES (continued) 2) OTHER TRANSFERABLE SECURITIES : MORTGAGE BACKED SECURITIES (continued)

UNITED STATES (U.S.A.) (continued) Flagstar Mortgage Trust 2017-2 4.11% 25/10/2047 3,485,000 USD 3,152,901 3,285,888 1.52 Flagstar Mortgage Trust 2018-1 4.00% 25/03/2048 3,502,000 USD 3,223,107 3,347,944 1.55 Flagstar Mortgage Trust 2018-1 4.00% 25/03/2048 257,000 USD 255,113 260,327 0.12 Freddie Mac Multifamily Structured Credit Risk 3.77% 25/01/2051 1,963,000 USD 1,987,259 2,085,875 0.97 Freddie Mac Multifamily Structured Credit Risk 7.77% 25/01/2051 856,000 USD 888,809 1,024,371 0.47 Freddie Mac Stacr Remic Trust 2020-HQA2 7.69% 25/03/2050 3,500,000 USD 3,573,125 3,739,209 1.73 Freddie Mac STACR REMIC Trust 2021-DNA3 3.52% 25/10/2033 1,176,000 USD 1,177,289 1,223,170 0.57 Freddie Mac STACR REMIC Trust 2021-DNA3 6.27% 25/10/2033 2,094,000 USD 2,130,660 2,424,922 1.12 Freddie Mac STACR REMIC Trust 2021-HQA2 3.17% 25/12/2033 1,500,000 USD 1,507,500 1,511,298 0.70 Freddie Mac STACR REMIC Trust 2021-HQA2 5.47% 25/12/2033 1,517,000 USD 1,543,255 1,583,369 0.73 Freddie Mac Whole Loan Securities Trust 2017-SC02 3.85% 25/05/2047 5,800,000 USD 1,223,427 1,225,599 0.57 Freddie Mac Whole Loan Securities Trust 2017-SC02 3.85% 25/05/2047 500,000 USD 500,000 509,264 0.24 Freddie Mac Whole Loan Securities Trust 3.61% 25/12/2046 530,000 USD 542,712 538,707 0.25 FREMF 2017-KF35 Mortgage Trust 2.84% 25/08/2024 6,000,000 USD 1,475,605 1,496,240 0.69 GMAC Commercial Mortgage Asset Corp 0.17% 05/10/2050 75,000,000 USD 1,184,053 1,289,153 0.60 GMAC Commercial Mortgage Asset Corp 0.58% 07/10/2050 3,300,000 USD 197,361 202,079 0.09 JP Morgan Mortgage Trust 2006-S4 0.47% 25/01/2037 25,300,000 USD 1,475,810 964,244 0.45 JP Morgan Mortgage Trust 2014-IVR6 2.45% 25/07/2044 1,000,000 USD 990,000 1,058,820 0.49 JP Morgan Mortgage Trust 2017-1 3.50% 25/01/2047 613,000 USD 560,875 555,965 0.26 JP Morgan Mortgage Trust 2017-5 3.09% 26/10/2048 2,000,000 USD 1,610,156 1,922,747 0.89 JP Morgan Mortgage Trust 2017-5 3.09% 26/10/2048 1,661,000 USD 1,471,917 1,585,206 0.73 JP Morgan Mortgage Trust 2018-1 0.22% 25/06/2048 15,000,000 USD 205,270 7,464 0.00 JP Morgan Mortgage Trust 2018-3 0.26% 25/09/2048 50,000,000 USD 338,008 35,878 0.02 JP Morgan Mortgage Trust 2018-3 3.76% 25/09/2048 260,000 USD 234,105 250,144 0.12 JP Morgan Mortgage Trust 2018-4 0.25% 25/10/2048 50,000,000 USD 353,702 30,224 0.01 JP Morgan Mortgage Trust 2018-6 3.93% 25/12/2048 500,000 USD 450,163 477,325 0.22 JP Morgan Trust 2015-5 2.46% 25/05/2045 1,662,000 USD 1,578,900 1,767,830 0.82 Lehman Brothers Small Balance Commercial Mortgage Trust 2006-3 0.48% 25/12/2036 750,000 USD 697,500 722,196 0.33

Lehman Brothers Small Balance Commercial Mortgage Trust 2007-1 0.59% 25/03/2037 750,000 USD 678,750 717,152 0.33


257





UNITED STATES (U.S.A.) (continued) LSTAR Securities Investment Ltd 2019-3 3.60% 04/01/2024 1,397,000 USD 1,249,597 1,416,830 0.66 LSTAR Securities Investment Ltd 2019-4 3.60% 05/01/2024 2,029,000 USD 1,803,260 2,076,281 0.96 LSTAR Securities Investment Ltd 2020-1 1.90% 02/01/2026 500,000 USD 391,573 396,397 0.18 LSTAR Securities Investment Ltd 2021-2 2.84% 03/02/2026 2,250,000 USD 2,250,000 2,311,009 1.07 Multifamily Connecticut Avenue Securities Trust 2019-01 3.34% 15/10/2049 3,500,000 USD 2,870,938 3,556,782 1.65 Multifamily Connecticut Avenue Securities Trust 2019-01 5.59% 15/10/2049 536,000 USD 535,498 550,711 0.26 Multifamily Connecticut Avenue Securities Trust 2020-01 3.84% 25/03/2050 3,500,000 USD 3,040,254 3,653,538 1.69 New Residential Mortgage Loan Trust 2021-NQM2R 3.01% 25/09/2058 437,000 USD 437,000 443,807 0.21 New Residential Mortgage Loan Trust 2021-NQM2R 3.96% 25/09/2058 390,000 USD 390,000 395,348 0.18 PRPM 2020-2 LLC 3.67% 25/08/2025 1,000,000 USD 880,234 887,078 0.41 RALI Series 2006-QO7 Trust 0.92% 25/09/2046 10,442,000 USD 1,192,738 1,368,262 0.63 RALI Series 2007-QS8 Trust 0.69% 25/06/2037 14,000,000 USD 1,861,464 2,220,676 1.03 Reperforming Loan REMIC Trust 2005-R1 0.45% 25/03/2035 9,620,000 USD 348,231 354,609 0.16 Seasoned Credit Risk Transfer Trust 2017-4 4.75% 25/06/2057 2,425,000 USD 2,525,410 2,540,357 1.18 Seasoned Credit Risk Transfer Trust Series 2017-1 4.00% 25/01/2056 550,000 USD 511,758 562,201 0.26 Seasoned Credit Risk Transfer Trust Series 2017-2 4.00% 25/08/2056 800,000 USD 742,000 830,401 0.37 Seasoned Credit Risk Transfer Trust Series 2017-3 4.75% 25/07/2056 750,000 USD 735,586 789,089 0.37 Seasoned Credit Risk Transfer Trust Series 2018-1 4.75% 25/05/2057 750,000 USD 737,930 781,363 0.36 Seasoned Credit Risk Transfer Trust Series 2018-2 0.07% 25/11/2057 98,000,000 USD 300,198 166,571 0.08

Seasoned Credit Risk Transfer Trust Series 2018-2 1.25% 25/11/2057 1,690,000 USD 988,660 861,951 0.40 Seasoned Credit Risk Transfer Trust Series 2018-3 4.75% 25/08/2057 1,000,000 USD 954,438 1,069,322 0.50 Seasoned Credit Risk Transfer Trust Series 2018-4 4.75% 25/03/2058 1,000,000 USD 923,125 1,070,273 0.50 Sequoia Mortgage Trust 2018-2 3.75% 25/02/2048 1,513,000 USD 1,426,654 1,448,901 0.67 Sequoia Mortgage Trust 2018-7 0.22% 25/09/2048 24,000,000 USD 243,248 7,202 0.00

Tricon American Homes 2020-SFR1 4.88% 17/07/2038 1,500,000 USD 1,610,625 1,602,074 0.74


258





UNITED STATES (U.S.A.) (continued) Velocity Commercial Capital Loan Trust 2018-2 4.72% 26/10/2048 500,000 USD 469,280 483,773 0.22 Verus Securitization Trust 2019-4 3.86% 25/11/2059 474,000 USD 473,994 481,475 0.22 Verus Securitization Trust 2019-INV2 4.45% 25/07/2059 500,000 USD 499,984 511,135 0.24 Verus Securitization Trust 2019-INV3 4.79% 25/11/2059 650,000 USD 649,990 655,823 0.30 Verus Securitization Trust 2020-1 3.62% 25/01/2060 935,000 USD 942,329 951,022 0.44 Verus Securitization Trust 2020-5 3.71% 25/05/2065 518,000 USD 517,984 524,812 0.24 Verus Securitization Trust 2020-5 4.71% 25/05/2065 302,000 USD 301,995 306,351 0.14 Verus Securitization Trust 2020-INV1 5.75% 25/03/2060 250,000 USD 266,875 260,518 0.12 Verus Securitization Trust 2021-1 2.98% 25/01/2066 3,150,000 USD 3,149,969 3,144,526 1.46 Verus Securitization Trust 2021-2 3.19% 25/02/2066 548,000 USD 548,411 547,813 0.25 Verus Securitization Trust 2021-2 4.20% 25/02/2066 309,000 USD 309,220 308,793 0.14 Verus Securitization Trust 2021-R1 4.20% 25/10/2063 527,000 USD 528,669 530,094 0.25 Verus Securitization Trust 2021-R3 3.07% 25/04/2064 753,000 USD 752,992 752,428 0.35 Verus Securitization Trust 2021-R3 4.07% 25/04/2064 528,000 USD 527,987 527,608 0.24 VOLT XCIII LLC 4.83% 27/02/2051 2,000,000 USD 2,000,000 1,992,775 0.92 VOLT XCIX LLC 4.95% 25/04/2051 1,250,000 USD 1,250,000 1,250,681 0.58 VOLT XCVII LLC 4.83% 25/04/2051 2,500,000 USD 2,475,000 2,476,268 1.15 VOLT XCVIII LLC 4.95% 25/04/2051 753,000 USD 753,000 753,216 0.35 WaMu Mortgage Pass-Through Certificates Series 2005-AR1 Trust 0.92% 25/01/2045 9,126,000 USD 1,804,419 1,834,053 0.85 WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust 0.99% 25/01/2045 747,500 USD 402,933 400,512 0.19 WaMu Mortgage Pass-Through Certificates Series 2005-AR14 Trust 2.89% 25/12/2035 9,500,000 USD 1,515,187 1,607,329 0.74 WaMu Mortgage Pass-Through Certificates Series 2006-AR14 Trust 2.61% 25/11/2036 500,000 USD 92,996 96,664 0.04 Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR9 Trust 0.96% 25/11/2046 2,625,000 USD 366,640 362,310 0.17 Wells Fargo Mortgage Backed Securities 2018-1 0.19% 25/07/2047 23,619,000 USD 273,980 16,613 0.01

95,703,014 98,658,623 45.68

TOTAL OTHER ORGANISED MARKET : MORTGAGE BACKED SECURITIES 101,604,750 104,618,650 48.44



259





Unrealised % net


Appreciation assets 01/07/2021 GBP 2,983 USD (4,141) RBC IS Bank Luxembourg (14) 0.00 01/07/2021 USD 596,324 GBP (430,000) RBC IS Bank Luxembourg 1,504 0.00 01/07/2021 GBP 149,111 USD (206,965) RBC IS Bank Luxembourg (700) 0.00 02/07/2021 USD 3,205 EUR (2,694) RBC IS Bank Luxembourg 11 0.00 02/07/2021 GBP 17,765 USD (24,616) RBC IS Bank Luxembourg (42) 0.00 02/07/2021 GBP 101,696 USD (140,915) RBC IS Bank Luxembourg (239) 0.00 15/07/2021 EUR 446,166 USD (540,618) RBC IS Bank Luxembourg (11,415) (0.01) 15/07/2021 GBP 4,171,793 USD (5,889,866) RBC IS Bank Luxembourg (118,808) (0.06) 15/07/2021 GBP 161,130,475 USD (227,488,999) RBC IS Bank Luxembourg (4,588,835) (2.13) 15/07/2021 GBP 4,324,213 USD (6,105,058) RBC IS Bank Luxembourg (123,149) (0.06) 15/07/2021 GBP 7,750 USD (10,944) RBC IS Bank Luxembourg (222) 0.00 15/07/2021 GBP 270,000 USD (381,236) RBC IS Bank Luxembourg (7,731) 0.00 15/07/2021 USD 4,070,789 GBP (2,885,897) RBC IS Bank Luxembourg 78,574 0.04 15/07/2021 USD 989,369 GBP (701,391) RBC IS Bank Luxembourg 19,097 0.01 15/07/2021 GBP 7,516 USD (10,524) RBC IS Bank Luxembourg (126) 0.00 15/07/2021 GBP 375,000 USD (525,033) RBC IS Bank Luxembourg (6,276) 0.00 15/07/2021 EUR 4,395 USD (5,234) RBC IS Bank Luxembourg (21) 0.00 15/07/2021 USD 368,748 GBP (264,927) RBC IS Bank Luxembourg 2,260 0.00 15/07/2021 EUR 39,692 USD (47,272) RBC IS Bank Luxembourg (193) 0.00 15/07/2021 USD 11,191,247 GBP (8,040,365) RBC IS Bank Luxembourg 68,590 0.03 15/07/2021 GBP 623 USD (861) RBC IS Bank Luxembourg 1 0.00 15/07/2021 GBP 333,000 USD (460,071) RBC IS Bank Luxembourg 585 0.00 15/07/2021 USD 48,231 GBP (34,622) RBC IS Bank Luxembourg 337 0.00 15/07/2021 USD 12,075,897 GBP (8,668,401) RBC IS Bank Luxembourg 84,444 0.04 15/07/2021 GBP 19,909 USD (27,799) RBC IS Bank Luxembourg (258) 0.00 15/07/2021 GBP 728,000 USD (1,016,496) RBC IS Bank Luxembourg (9,416) 0.00 15/07/2021 GBP 15,821 USD (21,954) RBC IS Bank Luxembourg (69) 0.00 15/07/2021 GBP 430,000 USD (596,712) RBC IS Bank Luxembourg (1,871) 0.00 15/07/2021 GBP 5,742 USD (7,944) RBC IS Bank Luxembourg (1) 0.00 15/07/2021 USD 3,106,469 GBP (2,245,940) RBC IS Bank Luxembourg (456) 0.00

(4,614,439) (2.14)

TOTAL FORWARD CURRENCY EXCHANGE CONTRACTS (4,614,439) (2.14)

TOTAL DERIVATIVE INSTRUMENTS (4,614,439) (2.14)






260




% of Total Assets



Cash at Bank 1.32


Total Assets 97.09


261



Purchases Security Name Quantity Cost % of $ Total Purchases United States Treasury Bill 0.00% 21/01/2021 15,000,000 14,999,863 10.66 United States Treasury Bill 0.00% 04/02/2021 10,000,000 9,999,822 7.11 STACR Trust 2018-HRP2 2.49% 25/02/2047 3,427,000 3,468,303 2.46 Verus Securitization Trust 2021-1 2.98% 25/01/2066 3,150,000 3,149,969 2.24 Angel Oak Mortgage Trust I LLC 2019-4 5.66% 26/07/2049 3,030,919 3,076,383 2.19 Freddie Mac STACR REMIC Trust 2021-HQA1 2.27% 25/08/2033 3,000,000 3,000,000 2.13 Freddie Mac Structured Agency Credit Risk Debt Notes 3.42% 25/08/2033 2,807,000 2,825,401 2.01 Freddie Mac Structured Agency Credit Risk Debt Notes 2.32% 25/08/2033 2,763,000 2,804,868 1.99 FirstKey Homes 2020-SFR2 Trust 3.02% 19/10/2037 2,710,000 2,769,705 1.97 Freddie Mac STACR REMIC Trust 2020-DNA3 5.19% 25/06/2050 2,637,000 2,759,180 1.96 Fannie Mae Connecticut Avenue Securities 3.84% 25/10/2030 2,569,000 2,625,202 1.87 Connecticut Avenue Securities Trust 2020-SBT1 6.84% 25/02/2040 2,644,000 2,588,135 1.84 VOLT XCII LLC 4.95% 27/02/2051 2,500,000 2,500,156 1.78 VOLT XCVII LLC 4.83% 25/04/2051 2,500,000 2,475,000 1.76 Freddie Mac Stacr Remic Trust 2020-HQA2 3.19% 25/03/2050 2,431,000 2,457,806 1.75 Freddie Mac STACR REMIC Trust 2021-HQA1 5.02% 25/08/2033 2,375,000 2,375,000 1.69 Freddie Mac STACR REMIC Trust 2020-DNA3 9.44% 25/06/2050 2,000,000 2,350,625 1.67 LSTAR Securities Investment Ltd 2021-2 2.84% 03/02/2026 2,250,000 2,250,000 1.60 Freddie Mac STACR REMIC Trust 2021-DNA3 2.12% 25/10/2033 2,197,000 2,207,517 1.57 Freddie Mac STACR REMIC Trust 2021-DNA3 6.27% 25/10/2033 2,094,000 2,130,660 1.51 Progress Residential 2021-SFR2 Trust 4.25% 19/04/2038 2,096,000 2,102,483 1.49 Freddie Mac Stacr Remic Trust 2020-HQA2 7.69% 25/03/2050 2,000,000 2,073,125 1.47 VOLT XCIII LLC 4.83% 27/03/2051 2,000,000 2,000,000 1.42 Freddie Mac Multifamily Structured Credit Risk 3.77% 25/01/2051 1,963,000 1,987,259 1.41 Progress Residential 2021-SFR3 4.25% 17/05/2026 1,702,000 1,707,499 1.21 FirstKey Homes 2020-SFR1 Trust 4.28% 17/09/2025 1,596,000 1,672,550 1.19 Angel Oak Mortgage Trust I LLC 2019-2 5.02% 25/03/2049 1,557,000 1,600,973 1.14 Connecticut Avenue Securities Trust 2020-SBT1 6.69% 25/02/2040 1,578,000 1,561,294 1.11 Tricon American Homes 2019-SFR1 Trust 3.75% 17/03/2038 1,480,000 1,548,855 1.10 Freddie Mac STACR REMIC Trust 2021-HQA2 5.47% 25/12/2033 1,517,000 1,543,255 1.10 Freddie Mac STACR REMIC Trust 2021-DNA3 3.52% 25/10/2033 1,537,000 1,538,289 1.09 Freddie Mac STACR REMIC Trust 2021-DNA1 4.77% 25/01/2051 1,526,000 1,526,000 1.08 VCAT 2021-NPL1 LLC 2.29% 26/12/2050 1,510,000 1,510,000 1.07 Freddie Mac STACR REMIC Trust 2021-HQA2 3.17% 25/12/2033 1,500,000 1,507,500 1.07 Radnor RE 2021-1 Ltd 2.71% 27/12/2033 1,500,000 1,501,875 1.07 VOLT XCIV LLC 4.95% 27/02/2051 1,500,000 1,500,000 1.07 Progress Residential 2021-SFR1 3.86% 17/04/2038 1,500,000 1,499,972 1.07


262

Significant Portfolio Movement (Continued) 30th June 2021


Sales

Security Name Quantity Proceed % of $ Total Sales United States Treasury Bill 0.00% 21/01/2021 15,000,000 15,000,000 6.31 United States Treasury Bill 0.00% 04/02/2021 10,000,000 9,999,933 4.21 Connecticut Avenue Securities Trust 2020-R01 2.14% 25/01/2040 3,847,800 3,845,814 1.62 Freddie Mac STACR REMIC Trust 2020-HQA1 1.99% 25/01/2050 3,611,000 3,606,492 1.52 Corevest American Finance 2019-1 Trust 4.82% 15/03/2052 3,200,000 3,517,567 1.48 LSTAR Securities Investment Ltd 2019-5 2.62% 11/01/2024 3,500,000 3,505,848 1.47 STACR Trust 2018-HRP2 2.49% 25/02/2047 3,427,000 3,498,953 1.47 Connecticut Avenue Securities Trust 2020-R02 3.09% 25/01/2040 3,467,000 3,376,507 1.42 Connecticut Avenue Securities Trust 2019-R03 4.19% 25/09/2031 3,200,000 3,302,986 1.39 Progress Residential 2019-SFR4 Trust 3.93% 17/10/2036 3,250,000 3,285,489 1.38 Freddie Mac STACR REMIC Trust 2021-HQA1 2.27% 25/08/2033 3,000,000 3,018,420 1.27 Home Partners of America 2017-1 Trust 3.62% 17/07/2034 3,000,000 3,006,665 1.26 Vericrest Opportunity Loan Trust 2020-NPL2 3.67% 25/02/2050 3,000,000 3,005,508 1.26 Connecticut Avenue Securities Trust 2020-R02 2.09% 25/01/2040 3,000,000 2,995,006 1.26 Freddie Mac Structured Agency Credit Risk Debt Notes 2.32% 25/08/2033 2,763,000 2,837,039 1.19 VOLT LXXXVII LLC 4.34% 25/02/2050 2,781,000 2,790,713 1.17 Mastr Asset Backed Securities Trust 2007-WMC1 0.24% 25/01/2037 16,000,000 2,682,641 1.13 American Home Mortgage Assets Trust 2006-1 0.47% 25/05/2046 18,500,000 2,668,698 1.12 Progress Residential 2018-SFR3 Trust 5.37% 17/10/2035 2,500,000 2,539,701 1.07 Freddie Mac Stacr Remic Trust 2020-HQA2 3.19% 25/03/2050 2,431,000 2,481,789 1.04 Securitized Asset Backed Receivables LLC Trust 2006-WM2 0.21% 25/09/2036 75,251,000 2,460,648 1.04 Connecticut Avenue Securities Trust 2018-R07 2.49% 25/04/2031 5,000,000 2,453,389 1.03 Freddie Mac STACR Remic Trust 2020-DNA2 2.59% 25/02/2050 2,386,000 2,388,699 1.00 Soundview Home Loan Trust 2006-3 0.59% 25/11/2036 2,500,000 2,383,695 1.00



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TEAM International Equity Fund Introduction TEAM’s key current macro investment assumptions are: 1) The economy is booming and we expect strong second quarter corporate earnings. 2021 U.S. economic growth (GDP) is expected to come in at the fastest pace in 37 years. 2) Inflation is rising, but is transitory. 3) Rates will stay near zero for quite some time, with the U.S. Federal Reserve saying they plan to keep it that way for 2022 and a part of 2023. To add to the above, the opening of the global economy, coupled with unprecedented pent-up economic demand meeting an unprecedented amount of governments stimulus money, we have all the ingredients for an historic move in both the economy and consequently, the stock market. According to FactSet, corporate earnings are expected to surge 61.9% year on year in the second quarter of 2021, and revenue is estimated to rise 19.4% year on year (which only makes sense given the market crash last year caused by the pandemic). The second quarter earnings season starts in mid-July and TEAM are anticipating some excellent results. That is positive or bullish news. The key is buying well and hold long. We look for high-quality companies whose underlying businesses have strong prospects for future growth. We know that it often takes time for great companies to generate our expected returns. It may take years of patience and discipline. Regarding inflation, one thing that keeps getting lost in all of the talk is growth. Economies are recovering and only expected to get stronger as the world fully reopens. Typically, high quality equities perform well in moderate inflationary environments. It's not inflation specifically that prompts a downturn, it's more often high interest rates. But this time when they do begin to raise rates, let's say in late 2023, they are essentially starting from zero. It should be noted that over the last 50 years, there's never been a U.S. recession (aside from last year's pandemic-induced plunge), when interest rates have been under 4%. Companies That Interest Us To recap, the Sub-Fund is looking to identify and invest in companies ideally that share 8 factors:

1. Positive Earnings Revisions 2. Positive Earnings Surprises 3. Increased Sales Growth 4. Expanding Operating Margins 5. Strong Cash Flow 6. Earnings Growth 7. Positive Earnings Momentum 8. High Return on Equity


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TEAM International Equity Fund (Continued)

Portfolio Developments Moving onto the portfolio I would highlight some particular positives: Consumer Trends Now that our world is opening up, perfumes, shampoos, and many other personal-care products are returning to our shopping lists. Cosmetics sales for the 12 weeks ending May 22 surged nearly 25% from a year ago, according to Nielsen data. From a recent report from Business Insider: Fragrance sales were up 45% in the first quarter of 2021 versus the year prior, according to data from market research firm NPD Group. Portfolio company Estee Lauder is a well-known manufacturer and marketer of a range of skincare, makeup and haircare products. In its most recent earnings report, Estee Lauder saw its revenue jump to $3.86 billion from $3.35 billion a year ago. The pandemic seriously curtailed the company’s sales of makeup and fragrances. As in-store shopping picks up and life returns to normal in the second half of the year, there is good reason to believe that Estee Lauder will add to its gains. Luxury stocks like this one are a strong recovery play worth buying into. We also own LVMH with its collection of perfumes and cosmetics, such as Acqua Di Parma and Dior. It owns several champagne labels to celebrate reopening with along with its stable of luxury goods products. As the economy jumps into recovery mode, LVMH is poised to be a strong post-pandemic play. This is because the luxury giant also has a strong exposure in China which was among the first nations to be hit by the pandemic. This also means that Asia was the first region to recover from the pandemic which was good news for LVMH’s sales. Adding to the market trends the company has added to its strong portfolio of brands. LVHM’s recent acquisition of Tiffany’s have helped further strengthen the French retailer’s position in the luxury stocks market. With shopping in mind, Etsy is a global online marketplace for creative goods (hand-crafted products, vintage items, etc.). Etsy also stand out because of its low fees for sellers, and its decidedly human element. The company even boasts that its mission is to ”Keep Commerce Human”. What is exciting is the announcement of the acquisition of Depop, the London-based resale fashion site. In my humble opinion, I think this is a fabulous acquisition despite the price tag of $1.625 billion. It’s all about targeting Generation Z shoppers. Apparently, roughly 90% of Depop’s active users are under the age of 26. Moreover, Depop is the 10th most visited site for U.S. Generation Z consumers. So, even if you’re older like me and you don’t use Depop, there are plenty of younger shoppers who know Depop well, and spend money there. This should be viewed as great news for us Etsy shareholders. Etsy as the company is growing into a serious e-commerce player.


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Software Last month, Microsoft released its new version of Windows. It’s the first new version since Windows 10 was introduced in 2015. While the company has provided two updates each year to Windows 10, the new 11 is an all-new iteration of the dominant operating system for personal computers around the world. That’s good news for Microsoft, considering that Windows accounts for 14% of the company’s annual revenues. This new version has some significant changes. Coming six months after Microsoft launched a new version of its Xbox video game console, the newest edition of Windows is sure to prompt in another new sales cycle for the company. The company is doing extremely well across its business units. With a new Xbox console out and a new version of Windows, Microsoft’s sales should remain strong for the foreseeable future. The software giant’s growing success in its Azure cloud computing service is also helping to grow the company to new heights. On top of all that, who hasn’t used or heard of video conferencing service, Microsoft Teams? Teams’ user growth is gaining from continuation of work from home, online education and telehealth trends. In our minds eye, Microsoft Is a Buy-and-Hold Stock E-Commerce & Digital Post pandemic consultants PwC forecast the continuing rise of e-commerce, streaming, on-demand viewing and video calls making the rollout of next-generation infrastructures such 5G "a commercial and political imperative." PwC noted that the $2+ trillion global entertainment & media industry is on track to grow 6.5% in 2021 and 6.7% in 2022. Our Sub-Fund owns Walt Disney and Sony. Internet access accounted for 34% of this spending in 2020 and will increase at a 4.9% compound annual growth rate, to $880 billion in 2025 from $694 billion in 2020, per the report. Mobile internet access continues to drive market growth, “underpinned by the spread of 5G, advances in handset technology and premium content bundles." Nearly a billion new smartphone owners will emerge over the forecast period, the firm said, along with 681 million new mobile internet subscribers. In another report from CapGemini it seems that over 40% of the organisations expect to roll out some kind of 5G solutions in at least a single site or more in the next two years. Industries are picking up on 5G. That is important for the overall 5G market. 5G alone will not work. At the end of the day, the 5G is the connectivity pipe. What actually is at the end of the pipes are most important. The devices, whether the devices are ready for 5G prime time, and whether the applications that will be consuming the data generated by the devices are equally important. And many of these applications require either a cloud solution or an edge compute solution. These innovations go hand in hand with 5G and will drive how 5G will be taken up by the industries in the coming years. In the U.S. the Rural Opportunity Development Fund and the infrastructure plan, together are calling for more than $120 billion to bring high-speed internet to every American. In the U.K. the $6.9 billion Project Gigabit, aims to bring next-generation broadband to more than a million hard-to-reach homes and businesses.


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In Europe, the European Commission is calling for a $160 billion investment to roll out rapid broadband services continentwide starting this year. I’m so excited about the prospects for 5G technology and it is easily a multibillion opportunity for Fund investment company QUALCOMM. Last year, smartphone companies sold about 225 million 5G-enabled phones around the world, according to a recent J.P. Morgan report. That figure is expected to reach 525 million this year, and rise to 725 million by 2022. Stock in Focus Our IM update will also include a portfolio company to review. Our first is Mastercard. Mastercard is one of the largest payment companies in the world. There are more than 2.8 billion of its cards in circulation and they process more than $6 trillion of transactions. The company makes money every time cardholders swipe or use its network. Mastercard isn't a secret but given we expect consumer and business spending to increase as economies open, together with the continued move to a cashless society, we remain confident Mastercard will continue to deliver superior returns. Mark Clubb Fund Manager, Theta Enhanced Asset Management Limited Date: July 2021


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TEAM International Equity Fund

TEAM* 30 Jun 2021 Note £


Investments in Transferable Securities 3 1,827,488 Cash at bank 4 50,078 Dividends and interest receivable 1,124 Other receivables 3,906

TOTAL ASSETS 1,882,596 LIABILITIES Bank Overdraft 4 20,927 Amount payable on purchase of securities 26,849 Investment management fees payable 6 423 Manager fee payable 6 3,885 Administration fees payable 6 462 Directors fees payable 6 872 Other fees payable 1,561 TOTAL LIABILITIES (excluding net assets attributabl e to holders of redeemable participating shares)

54,979

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES

1,827,617 *Launched on 24th May 2021. The accompanying notes and schedules form an integral part of these condensed financial statements.


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TEAM*

Financial


Note £

INCOME Dividend income 1,420 Net realised and unrealised gain on financial assets and liabilities at fair value through profit or loss 7

71,534

TOTAL INVESTMENT INCOME 72,954 EXPENSES Investment management fees 6 423 Manager fees 6 4,324 Administration fees 6 2,405 Director fees 6 872 Bank interest expenses 39 Formation expenses 20,012 Other fees and expenses 6 3,216 Total Operating Expenses 31,291 Operating Profit 41,663 Withholding tax 101 Increase in net assets attributable to holders of redeemable participating shares from operations 41,562 *Launched on 24th May 2021. The accompanying notes and schedules form an integral part of these condensed financial statements. All of the results for the financial period relate to continuing operations.


269



*Launched on 24th May 2021. The accompanying notes and schedules form an integral part of these condensed financial statements.

TEAM*

Financial

Period Ended 30 Jun 2021 £ Net Assets attributable to holders of Redeemable Participating Shares at the beginning of the financial period - Increase in Net Assets attributable to Holders of Redeemable Participating Shares from operations 41,562 Capital transactions Issue of redeemable shares during the financial period 1,786,055


1,827,617


270



TEAM* 30 Jun 2021 £ Cash flows from operating activities Increase in Net Assets attributable to Holders of Redeemable Participating Shares from operations

41,562

Adjustment to reconcile increase in net assets attributable to holders of redeemable participating shares from operations to net cash used in operating activities Dividend income (1,420) Tax expense 101 Operating profit before working capital changes 40,243 Changes in operating assets and liabilities Net increase in financial assets and liabilities at fair value (1,827,488) Increase in other receivables (3,906) Increase in payables 34,052 Cash used in operating activities (1,757,099) Dividend received 296 Taxation paid (101) Net cash used in operating activities (1,756,904) Cash flows from financing activities Proceeds from issue of redeemable participating shares 1,786,055

Net cash provided by financing activities 1,786,055 Net increase in cash 29,151 Net Cash at the start of the financial period - Net Cash at the end of the financial period 29,151 Analysis of Cash Cash at the start of the financial period - Overdraft at the start of the financial period - Cash at the end of the financial period 50,078 Overdraft at the end of the financial period (20,927) *Launched on 24th May 2021. The accompanying notes and schedules form an integral part of these condensed financial statements.


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TEAM International Equity Fund*


1) INVESTMENTS



CANADA Shopify Inc 55 USD 50,047 58,166 3.18

50,047 58,166 3.18

FINLAND Kone Oyj 575 EUR 33,212 33,960 1.86

33,212 33,960 1.86

FRANCE L'Oreal SA 150 EUR 48,948 48,391 2.65 LVMH Moet Hennessy Louis Vuitton SE 95 EUR 53,926 53,931 2.95 TotalEnergies SE 1,950 EUR 67,332 63,870 3.49

170,206 166,192 9.09

GREAT BRITAIN Diageo Plc 1,900 GBP 65,574 65,759 3.60 HSBC Holdings Plc 11,000 GBP 49,744 45,903 2.51 Unilever Plc 1,100 GBP 47,338 46,536 2.55

162,656 158,198 8.66

JAPAN Shimano Inc 200 JPY 32,030 34,371 1.88 Sony Group Corp 600 JPY 42,490 42,321 2.32 Toyota Motor Corp 700 JPY 40,271 44,330 2.43

114,791 121,022 6.63

NETHERLANDS ASML Holding NV 100 EUR 47,789 49,738 2.72

47,789 49,738 2.72

SWITZERLAND Logitech International SA 445 CHF 41,545 39,066 2.14 Nestle SA 500 CHF 43,990 45,116 2.47

85,535 84,182 4.61 *Launched on 24th May 2021.


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UNITED STATES (U.S.A.) 3M Co 300 USD 42,690 43,135 2.36 Activision Blizzard Inc 595 USD 40,672 41,107 2.25 Alphabet Inc - Class A 39 USD 65,961 68,935 3.77 Amazon.com Inc 27 USD 62,880 67,237 3.68 Apple Inc 545 USD 48,925 54,033 2.96 Cisco Systems Inc 1,280 USD 48,391 49,108 2.69 Colgate-Palmolive Co 600 USD 35,778 35,332 1.93 Estee Lauder Cos Inc 200 USD 43,373 46,050 2.52 Etsy Inc 500 USD 59,912 74,500 4.08 Johnson & Johnson 520 USD 61,361 62,011 3.39 JPMorgan Chase & Co 490 USD 56,823 55,170 3.02 Mastercard Inc 185 USD 48,537 48,892 2.68 McCormick & Co Inc 510 USD 32,421 32,606 1.78 Microsoft Corp 350 USD 63,038 68,634 3.76 NVIDIA Corp 90 USD 39,713 52,126 2.85 PayPal Holdings Inc 280 USD 51,858 59,079 3.23 Procter & Gamble Co 730 USD 70,717 71,300 3.90 QUALCOMM Inc 500 USD 47,452 51,732 2.83 Sonos Inc 1,470 USD 37,120 37,488 2.05 United Parcel Service Inc 470 USD 70,586 70,756 3.87 Walt Disney Co 525 USD 65,509 66,799 3.64

1,093,717 1,156,030 63.24







% of Total Assets


Cash at Bank 2.66


Total Assets 97.08

*Launched on 24th May 2021.


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Procter & Gamble Co 730 70,717 4.02 United Parcel Service Inc 470 70,586 4.02 TotalEnergies SE 1,950 67,332 3.83 Alphabet Inc - Class A 39 65,961 3.75 Diageo Plc 1,900 65,574 3.73 Walt Disney Co 525 65,509 3.73 Microsoft Corp 350 63,038 3.59 Amazon.com Inc 27 62,880 3.58 Johnson & Johnson 520 61,361 3.49 Etsy Inc 500 59,912 3.41 JPMorgan Chase & Co 490 56,823 3.23 LVMH Moet Hennessy Louis Vuitton SE 95 53,926 3.07 PayPal Holdings Inc 280 51,858 2.95 Shopify Inc 55 50,047 2.85 HSBC Holdings Plc 11,000 49,744 2.83 L'Oreal SA 150 48,948 2.78 Apple Inc 545 48,925 2.78 Mastercard Inc 185 48,537 2.76 Cisco Systems Inc 1,280 48,391 2.75 ASML Holding NV 100 47,789 2.72 QUALCOMM Inc 500 47,452 2.70 Unilever Plc 1,100 47,338 2.69 Nestle SA 500 43,990 2.50 Estee Lauder Cos Inc 200 43,373 2.47 3M Co 300 42,690 2.43 Sony Group Corp 600 42,490 2.42 Logitech International SA 445 41,545 2.36 Activision Blizzard Inc 595 40,672 2.31 Toyota Motor Corp 700 40,271 2.29 NVIDIA Corp 90 39,713 2.26 Sonos Inc 1,470 37,120 2.11 Colgate-Palmolive Co 600 35,778 2.04 Kone Oyj 575 33,212 1.89 McCormick & Co Inc 510 32,421 1.84 Shimano Inc 200 32,030 1.82

Sales

Security Name Quantity Proceed % of £ Total Sales

There were no sales during the period.

*Launched on 24th May 2021. The tables above show a breakdown of material purchases and sales of the Portfolios in accordance with Central Bank UCITS Regulations 79(2) requirements. All purchases and sales of investments exceeding 1% of the total value of each purchases and sales respectively, a minimum of 20 of each such purchases and sales, are disclosed.


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Third Avenue Real Estate Value Fund Market Review We are pleased to provide you with the Third Avenue Real Estate Value Fund’s (the “Sub-Fund”) report for the period ended June 30, 2021. Through the first half of the calendar year, the Sub-Fund generated a return of +17.35% (after fees) versus +16.11% (before fees) for the Sub-Fund’s most relevant benchmark, the FTSE EPRA NAREIT Developed Index. The most notable contributors to performance during the period were the Sub-Fund’s investments in certain U.S.-based real estate operating companies, which are in varying stages of surfacing value from extensive non-income producing assets (Lennar Corp., Five Point Holdings, and AMERCO) as well as the common stock of St. Modwen Properties plc—a unique U.K.-based real estate operating company that has been held in the portfolio since 2018. The primary detractors during the period included the Sub-Fund’s investments in the preferred equity and common stock of the Federal National Mortgage Association (“Fannie Mae”)—a leading provider of residential mortgage financing in the U.S. Further details on these holdings, as well as the Sub-Fund’s recent investment in Stratus Properties Inc., are included herein. Activity One of the most insightful publications for global real estate professionals each year is Emerging Trends in Real Estate®. Published by PwC and the Urban Land Institute (ULI), the 2021 Report canvases a number of key trends within global real estate including “the shift of capital into sheds and beds being turbocharged during the pandemic.” To paraphrase, institutional capital is increasingly targeting investments in industrial real estate and residential businesses given the favorable supply-and-demand dynamics for these sectors (and where the Sub-Fund has more than 50% of its capital invested). It is also a trend that seemed to be the driving force behind the Blackstone Group’s (“Blackstone”) bid to acquire St. Modwen Properties plc (“St. Modwen”) during the quarter. Held in the Sub-Fund since 2018, St. Modwen is a U.K.-based real estate operating company primarily focused on industrial real estate ownership and homebuilding in the Midlands and Northern regions. The company’s key assets include (i) a 7.6 million square foot commercial real estate portfolio that is industrial centric and benefiting from significant demand alongside e-commerce and last-mile fulfilment and (ii) a homebuilding business that delivers nearly 1,000 units per year with accelerating demand given its focus on the regions at affordable price points. Notably, the company also controls a land bank that can accommodate an additional 19 million square feet of industrial real estate and 26,000 homes. While St. Modwen’s management team had undertaken a significant transformation in recent years, and wisely refocused around the core logistics and residential platforms, the company’s stock price remained at a significant discount to its Net-Asset Value (“NAV”). Insofar as Fund Management can gather, this was largely due to its diversified nature (the public markets tend to place a premium on “pure play” entities focused on a single property type) and lack of a substantial dividend (real estate operating companies tend to retain their earnings and reinvest in the business as opposed to REITs which distribute the vast majority of their earnings via dividends). Regardless, when the public markets fail to recognise value for a company with such a strategic set of assets, the private markets often do. In this case, Blackstone’s offer to acquire St. Modwen in an all-cash deal for $1.7 billion USD and a 30% premium to the “undisturbed price” served to surface value. As a result, the Sub-Fund began to pare back its position (which exceeded 4.0% after the offer) and is expecting to exit the remaining portion alongside the closing of the transaction in July 2021. Through the end of the quarter, the Sub-Fund’s investment in St. Modwen common had generated a 19.5% internal rate of return (IRR) over the three-plus year holding period. Fund Management anticipates additional privatisations in the quarters ahead. To wit, Real Estate Private Equity Funds were estimated to have more than $300 billion of available capital at the end of the most recent fiscal year (per Preqin’s 2021 Global Real Estate Report). Further, as observed in the 2021 Emerging Trends in Real Estate® report: “If you look at the global themes of a negative interest rate, low return environment and challenges in fixed income, fundamentally every investor around the world that you speak to wants to increase their allocations to alternatives, whether that’s infrastructure, debt or real estate.”


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Third Avenue Real Estate Value Fund (Continued)

A portion of the proceeds from St. Modwen were utilised to establish a position in the common stock of Stratus Properties Inc. (“Stratus”). This U.S.-based real estate operating company was spun-out of Freeport McMoran, Inc. in the early 1990’s and subsequently sold its oil and gas assets to primarily focus on unlocking value from its extensive land holdings in Austin, Texas. Since that transformation, Stratus has (i) built out a diversified portfolio of income-producing properties with more than 600,000 square feet of primarily grocery-anchored retail centers and 1,000 multifamily units in central Texas, (ii) undertaken the development of residential-led master planned communities including the sale of more than 4,000 lots in its Barton Creek and Circle C projects in the Austin area, and (iii) delivered a prominent mixed-use location in downtown Austin anchored by the 251-room W Hotel and 3,000-plus seat Austin City Limit (ACL) Live Amphitheatre known as “Block 21.” Stratus was, however, undoubtedly hard hit by measures taken to stem the spread of the Covid-19 pandemic, including “stay-at-home” orders and restrictions on travel and live events. Not only did this lead to a meaningful reduction in the company’s revenues in the ensuing period, but its previous agreement to sell Block 21 to Ryman Hospitality, Inc. for $275 million in gross proceeds fell through. As a result, Stratus has been required to utilise Ryman’s forfeited purchase deposit (as well as other cash proceeds) to cover lost hotel revenues and foregone tickets sales at Block 21 in recent quarters. Having managed through this challenging period, Stratus has reported substantial progress in recent months. Most notably, the company has sold its Saint Mary multi-family complex thus stabilising its liquidity profile, received planning permissions for the final phase of its acclaimed Barton Creek project, and reported an uptick in activity at Block 21. Despite these improvements, the price of Stratus common stock has remained well below pre-pandemic levels, granting the Sub-Fund the opportunity to initiate a position at a significant discount to the company’s published NAV estimate—which could be viewed as a conservative figure when considering the recently announced plans at the Holden Hills phase of Barton Creek are yet to be factored in. It is also Fund Management’s view that the discount could narrow with a further improvement in fundamentals and potential resource conversion activities (e.g., selling Block 21 to a live-event operator and converting to a REIT following anticipated land sales). With this addition, the Third Avenue Real Estate Value Fund seems to have a distinctive exposure in listed real estate with investments in some of the largest residential land owners and homebuilders in Austin, TX through Stratus Properties, Brookfield Homes (a subsidiary of Brookfield Asset Management), and Lennar Corp. As our on-the-ground due-diligence efforts support, all three entities seem well placed to capitalise on the need for more housing in this metropolitan area given the outsized population growth (more than 140 people moved to Austin, TX per day last year) and anticipated job growth stemming from corporate investment and relocations (e.g., Tesla’s “Gigafactory”, Apple’s “HQ-2”, a potential Samsung chip factory, Oracle’s relocation, expanding venture capital, et al). The Sub-Fund also adjusted its holding in the Federal National Mortgage Association (“Fannie Mae”) during the period. As noted in previous shareholder letters, the Sub-Fund established a position in the preferred equity and common stock of Fannie Mae in 2020. It was Fund Management’s view that this enterprise (along with the Federal Home Loan Mortgage Corporation or “Freddie Mac” and collectively the government sponsored entities or “GSEs”) was (i) a critical source of financing for sustainable homeownership and affordable rental housing in the U.S., (ii) among the most profitable real estate firms globally when measured by operating profits, and (iii) had securities trading at fractions of their underlying value due to the GSEs having operated under conservatorship since 2008. Further, it was Fund Management’s opinion that the GSEs would ultimately exit this framework while further rebuilding capital as outlined in the Federal Housing Finance Agency’s (“FHFA”) Strategic Plan—a process that could be expedited once legal rulings addressed controversial changes to its Senior Preferred Stock Purchase Agreement (i.e., the “Net-Worth Sweep”). However, given the significant “process risk” associated with such a substantial repositioning, the Sub-Fund would limit the amount of capital invested in the entities despite an unrivalled price-to-value proposition. During the quarter, the Supreme Court of the United States (“SCOTUS”) issued orders relating to two of the legal challenges outstanding. In Collins v. Yellen, SCOTUS upheld the plaintiffs’ claims that the conservatorship was unconstitutionally structured, remanded the case to the Fifth Circuit of Appeals for potential “retroactive relief”, but declined to deem the entire Net-Worth Sweep void through this particular constitutional claim. While this order fell short of providing outright relief, other challenges relating to “The Implied Covenant of Good Faith and Fair Dealing” and a “Takings, Illegal-Exaction, and Breach-of-Implied Contract Claim” remain ongoing in District Court and Federal Claims Court, respectively. These cases have yielded important discovery and will progress through the remainder of 2021.


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Notwithstanding a more extended timeline, Fund Management continues to hold the view that administrative action would be the most prudent path forward. Put otherwise, recapitalising the entities and releasing them as quasi-utilities with enhanced capital ratios accomplishes key objectives. This primarily includes (i) moving the U.S. taxpayer out of the “first loss position” for the $6.5 trillion of mortgages the entities guarantee, (ii) providing more stability and capital for the enterprises to pursue their mission of promoting affordable housing, and (iii) respecting property rights while also preserving value for GSE stakeholders (including the U.S. Treasury). Such a plan has recently been populated in the Brookings Institute Report: Government Sponsored Enterprises at the Crossroads. It is also one that has been carefully assessed by the Congressional Budget Office (CBO) in its Effects of Recapitalising Fannie Mae and Freddie Mac Through Administrative Actions. As noted within this analysis, “CBO’s model incorporates the judgment that in scenarios in which the GSEs’ common-stock sale did not raise enough funds to redeem the full face value of both the senior preferred and junior preferred shares, the Treasury would take a reduction in the value of its senior preferred stake before requiring junior preferred shareholders to do so.” When factoring in all of these items, as well as the pricing anomalies throughout the capital structures, the Sub-Fund’s remaining investment in the GSEs is now exclusively focused on the preferred equity. At the end of the quarter, these holdings accounted for approximately 2.0% of the Sub-Fund’s capital and the securities traded at prices that represent less than 10% of their Liquidation Preference (e.g., “par value”). Meanwhile, the entities remain quite profitable and are rebuilding significant capital while the matters are addressed. The Sub-Fund’s other activity during the period included (i) participating in a capital raise for National Storage REIT (the leading owner and manager of self-storage facilities in Australia and New Zealand), (ii) exiting BAM Re upon its distribution from Brookfield Asset Management, and (iii) trimming back existing positions in the common stock of Prologis, Lowe’s, and Seritage Growth Properties for portfolio management purposes. Positioning After incorporating the activity in the period, the Sub-Fund had 43% of its capital invested in Residential Real Estate companies that have strong ties to the U.S. and U.K. residential markets, where there are serious supply deficits after years of under-building. In conjunction with record-low inventory levels, there is also very substantial demand for new product at an affordable price point (both for-sale and for-rent). Therefore, these holdings seem poised to benefit from a further recovery in residential construction and ancillary activities. At the end of the quarter, these positions included a diversified set of businesses including homebuilding (Lennar Group and Berkeley Group), timberland ownership and management (Weyerhaeuser and Rayonier), land development (Five Point Holdings and Stratus Properties), the ownership and development of rental properties (American Homes 4 Rent, Grainger plc, and Essex Property Trust), as well as other ancillary businesses (Lowe’s and Trinity Place Holdings). The Sub-Fund also had 39% of its capital invested in Commercial Real Estate enterprises that are involved in long-term wealth creation. These holdings are largely capitalising on secular trends, including structural changes that are driving more demand for industrial properties and self-storage facilities (Prologis, Segro plc, First Industrial, U-Haul, Big Yellow, and National Storage) as well as the further densification and improvements taking place in select urban corridors (CK Asset Holdings, JBG Smith Properties, Derwent London, Henderson Land, Wharf Holdings, and Vornado Realty Trust). In Fund Management’s view, each of these enterprises is very well capitalised, their securities trade at discounts to private-market values (especially in light of the prevailing interest rate environment), and they seem capable of increasing NAV— primarily by increasing rents, undertaking development and redevelopment activities, as well as by making opportunistic acquisitions. An additional 16% of the Sub-Fund’s capital is invested in Real Estate Services. These businesses are generally less capital-intensive than direct property ownership and as a result have historically offered much higher returns on capital—provided the business has a favorable competitive positioning within the real estate value chain. At the present time, these holdings primarily include franchises involved with asset management (Brookfield Asset Management and Patrizia Immobilien), brokerage and property management (CBRE Group and Savills plc), as well as mortgage and title insurance (FNF Group and the GSEs).


277



The remaining 3% of the Sub-Fund’s capital is in Cash & Equivalents and expected to increase to approximately 4% following the closing of the St. Modwen transaction. The Sub-Fund also has certain hedges in place, primarily relating to its foreign currency exposures (Hong Kong Dollar). The Sub-Fund’s allocations across these various business types are outlined in the chart on the following page. In addition, Fund Management reports the Sub-Fund’s exposure by geography (North America, Europe, and Asia-Pacific) and strategy (Core/Core-Plus, Value-Added, Opportunistic, and Debt) for comparison with institutional reporting standards for direct real estate allocations.

Fund Commentary Avid readers of legendary investor Sir John Templeton’s work likely recognise that there are few who have shared so many investment lessons that have withstood the test of time. One that has always resonated with Fund Management, in particular, was spelled out in The Templeton Touch, by William Proctor, where Templeton observed that “in most instances of inflation throughout history, the ownership of real estate was the biggest single way to protect yourself.” This concept is not lost on those who have studied the 1970’s, a decade when inflation averaged more than 6.0% (as measured by CPI) and publicly-traded real estate securities were amongst the leading equity strategies (alongside “Value” and “Small- Cap” per BofA Global Research). It is a proposition, though, that seems to be of greater importance today when considering that (i) the U.S. monetary base has expanded by more than 25% on a year-over-year basis (as measured by M-2 and reported by the Federal Reserve through February 2021) and (ii) escalating input costs are rampant across a wide-range of industries (please see the Third Avenue Value Fund shareholder letter for more on this).


278



Not all real estate is created equal, however. As Templeton also wisely noted, there have been cases in history with rapid inflation where real estate failed in this objective because of price controls (e.g., particularly government intervention in rental housing). It is therefore imperative for those seeking to safeguard one’s capital from inflationary forces to focus on property types within real estate space that maintain elements of pricing power or have distinctive operating leverage tied to unique supply and demand drivers. Companies that seemingly exhibit these attributes, and also represent significant components of the Third Avenue Real Estate Value Fund, include: 1. Sought-after income-producing properties with shorter duration lease structures. The vast majority of the Sub-Fund’s

investments in income-producing properties are focused on property types exhibiting more favorable demand dynamics such as industrial, self-storage, modern-office, and single-family rental portfolios. In addition, the portfolios are primarily concentrated in sub-markets possessing meaningful supply constraints or experiencing significant transformation alongside infrastructure improvements or population growth. Further, these portfolios have a weighted average lease-term of 4.0 years, providing the companies with an opportunity to capture the economics of these supply and demand drivers by resetting approximately one-quarter of rental rates each year. It is also by design that the Sub-Fund has largely eschewed investing capital in property types where the supply-demand dynamics seem less favorable (e.g., commodity office, less strategic retail, and colocation data centers) or in property types with longer-duration lease terms or significant ground-lease components (e.g., net-leased assets, healthcare facilities, and towers).

2. Strategic land positions representing some of the key sources of new residential housing in supply constrained markets. As those well-versed in the economics of residential construction are aware, home price appreciation creates an interesting proposition for strategic land owners as finished lot prices are generally a residual of home prices and tend to increase (or decrease) at a factor of two to three times the final selling price. For instance, if Five Point Holdings sold residential lots in its Valencia community in 2020 for $240,000 per lot (i.e., 35% of the average selling home price of $685,000 in the area) with net margins of $72,500 per lot (i.e., approximately $155,000 of improvement costs per lot), one could infer that the net margins per lot could increase to $84,500 and $96,500 with a 5.0% and 10.0% increase in the average selling price, respectively, assuming the same lot-to-sales ratio and improvement costs. In all reality, home price appreciation has been much more significant though, as the average price of existing home sales in the U.S. increased to $313,000—or nearly 16% above the level one year prior (per the NAR®). As Five Point (and other Sub-Fund holdings that control substantial land banks in supply constrained markets such as Berkeley Group, CK Asset Holdings, St. Modwen Properties, and Henderson Land) undertake additional lot sales, the unrealised value that is accruing alongside significant home price appreciation should ultimately be recognised in higher net margins, Net-Asset Values, and security prices, in our view.

3. Asset managers with leading real estate and real asset franchises. As noted in Preqin’s Special Report: the Future of Alternatives, more than 50% of institutional investors anticipate increasing allocations to real estate by 2025. Asset managers with accomplished track records, capacity in compelling property strategies, and the ability to co-invest alongside partners seem poised to accommodate these additional mandates—thus boosting their fee bearing assets without significant incremental operating costs. For instance, if Patrizia Immobilien, a German-based fund manager and Sub-Fund holding, were to hit its medium term target of €70 billion ($82 billion) of assets under management, the company’s operating income would likely approach €150 million ($175 million) relative to the €117 million ($137 million) reported in 2020 (or more than a 25% increase) given the operating leverage inherent in the fund management model (e.g., operating margins of +40% with further scale relative to the high-30% range more recently). Other Sub-Fund holdings with industry-leading asset management platforms and opportunities to further expand fee-bearing assets include Brookfield, CBRE, and Savills.


279



4. Real Estate resources that serve as the chief inputs in the residential construction process. This portion of the portfolio

primarily relates to highly-productive tracts of timberlands where 3-4% of the merchantable inventory (e.g., standing trees) are being harvested each year and converted to lumber, oriented strand board, plywood, and other uses critical in the residential construction process. One area of significant interest is the Sub-Fund’s exposure to the U.S. South where Southern Yellow Pine (“SYP”) is the predominant species and log prices currently sit at century-low levels (when viewed on an inflationary adjusted basis). In certain wood baskets, however, there are signs of price tension for the first time in more than a decade alongside recent capacity expansions and an emerging export market—a development that could be significant for timberland owners such as Weyerhaeuser and Rayonier. For instance, Rayonier is currently selling SYP logs at approximately $25 per short ton—or $16 below levels realised prior to setbacks in residential construction starting in 2008. Should those previously-achieved prices for SYP be attained once again (in coastal markets), the cash flows from Rayonier’s Southern timberland segment would increase by nearly 30% even assuming that the price for lower-priced pulpwood remained constant.

With significant capital allocated to real estate enterprises such as these, the Third Avenue Real Estate Value Fund seems uniquely placed in the real estate space. That is to say, not only is the Sub-Fund comprised of securities that offer compelling price-to value propositions in Fund Management’s view, but the portfolio also seems to be positioned as a real estate alternative that can guard against the prospects of inflation over time. While these types of allocations may leave the Sub-Fund with exposures that vary from more widely-recognised real estate indices (i.e., the Sub-Fund’s “active share1” exceeds 90%), it was Templeton who observed that “it is impossible to produce a superior performance unless you do something different from the majority.” Third Avenue Management LLC Date: July 2021


280


Third Avenue Real Estate Value Fund

TAREVF TAREVF 30 Jun 2021 31 Dec 2020 Note $ $



Cash at bank 4 3,585,317 16,455,925 Cash held as collateral 4 940,000 290,000 Dividends and interest receivable 58,893 137,427 Amount receivable on sale of securities 108,928 2,221,694 Receivable from Investment Manager 6 21,285 53,897 Other receivables 21,094 -


Investments in Financial Derivative Instruments 3 1,097,098 354,722 Amount payable on purchase of securities 1,644,277 183,969 Investment management fees payable 6 92,824 230,576 Manager fee payable 6 9,838 10,947 Administration fees payable 6 19,640 8,230 Transfer agency fees payable 6 11,338 3,729 Directors fees payable 6 1,238 502 Depositary and depositary oversight fees payable 6 32,320 11,282 Audit fees payable 6 727 1,619 Redemptions payable - 15,670,617 Deferred liability - 27,071 Other fees payable 4,880 10,181 TOTAL LIABILITIES (excluding net assets attributabl e to holders of redeemable participating shares) 2,914,180 16,513,445



281



TAREVF TAREVF

Financial



INCOME Dividend income 1,135,805 1,786,613 Bond interest income - 26,184 Net realised and unrealised gain/(loss) on financial assets and liabilities at fair value through profit or loss 7 18,351,211 (34,533,373) Bank interest 177 17,755 Other income 26,989 38,076 TOTAL INVESTMENT INCOME/(LOSS) 19,514,182 (32,664,745) EXPENSES Investment management fees 6 556,914 745,328 Manager fees 6 60,252 66,255 Administration fees 6 53,353 61,046 Director fees 6 5,974 4,565 Depositary and depositary oversight fees 6 32,082 21,357 Audit fees 6 5,020 4,617 Transfer agency fees 6 12,944 6,751 Bank interest expense 12 149 Other fees and expenses 6 29,729 49,288 Total Operating Expenses 756,280 959,356 Profit/(Loss) before taxation 18,757,902 (33,624,101) Withholding tax 181,326 291,227 Increase/(Decrease) in net assets attributable to holders of redeemable participating shares from operations 18,576,576 (33,915,328) The accompanying notes and schedules form an integral part of these condensed financial statements. All of the results for the financial period relate to continuing operations.


282




TAREVF TAREVF

Financial


Period Ended 30 Jun 2021 30 Jun 2020 $ $ Net Assets attributable to holders of Redeemable Participating Shares at the beginning of the financial period 118,208,343 153,973,873 Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 18,576,576 (33,915,328) Capital transactions Issue of redeemable shares during the financial period 10,186,874 23,882,995 Redemption of redeemable shares during the financial period (29,657,762) (14,553,721) Net Assets attributable to Holders of Redeemable Participating Shares at the end of the financial period 117,314,031 129,387,819


283



TAREVF TAREVF 30 Jun 2021 30 Jun 2020 $ $ Cash flows from operating activities Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 18,576,576 (33,915,328) Adjustment to reconcile increase/(decrease) in net assets attributable to holders of redeemable participating shares from operations to net cash provided by/(used in) operating activities Bond interest income - (26,184) Dividend income (1,135,805) (1,786,613) Tax expense 181,326 291,227 Operating profit/(loss) before working capital changes 17,622,097 (35,436,898) Changes in operating assets and liabilities Net decrease in financial assets and liabilities at fair value 812,527 17,110,875 Decrease in other receivables 1,474,284 2,525,328 Increase in payables 1,328,976 571,339 Cash provided by/(used in) operating activities 21,237,884 (15,229,356) Interest received - 20,355 Dividend received 1,214,339 1,920,533 Taxation paid (181,326) (291,227) Net cash provided by/(used in) operating activities 22,270,897 (13,579,695) Cash flows from financing activities Proceeds from issue of redeemable participating shares 10,186,874 23,882,995 Payment on redemptions of redeemable participating shares (45,328,379) (14,566,544) Net cash (used in)/provided by financing activities (35,141,505) 9,316,451 Net decrease in cash (12,870,608) (4,263,244) Net Cash at the start of the financial period 16,455,925 10,620,848 Net Cash at the end of the financial period 3,585,317 6,357,604 Analysis of Cash Cash at the start of the financial period 16,455,925 10,621,010 Overdraft at the start of the financial period - (162) Cash at the end of the financial period 3,585,317 6,357,604 Overdraft at the end of the financial period - - The accompanying notes and schedules form an integral part of these condensed financial statements.


284




1) INVESTMENTS



CANADA Brookfield Asset Management Inc 163,602 USD 5,526,695 8,340,432 7.11

5,526,695 8,340,432 7.11

CAYMAN ISLANDS CK Asset Holdings Ltd 956,057 HKD 6,036,227 6,600,055 5.63

6,036,227 6,600,055 5.63

GERMANY PATRIZIA AG 55,910 EUR 1,330,434 1,458,496 1.24

1,330,434 1,458,496 1.24

GREAT BRITAIN Berkeley Group Holdings Plc 78,609 GBP 4,156,101 4,996,594 4.26 Grainger Plc 430,671 GBP 1,488,172 1,697,878 1.45 Savills Plc 135,774 GBP 1,643,141 2,159,885 1.84 St Modwen Properties Plc 279,937 GBP 1,278,332 2,156,910 1.84

8,565,746 11,011,267 9.39

HONG KONG Henderson Land Development Co Ltd 892,506 HKD 3,418,578 4,230,171 3.61 Wharf Holdings Ltd 1,166,137 HKD 2,346,466 4,445,702 3.79 Wharf Holdings Ltd 11,000 HKD 19,641 41,936 0.04

5,784,685 8,717,809 7.44

UNITED STATES (U.S.A.) AMERCO 8,392 USD 3,047,359 4,946,244 4.22 CBRE Group Inc 30,551 USD 1,377,961 2,619,135 2.23 Federal National Mortgage Association 8.25% / Preference 1,039,875 USD 4,493,944 2,214,936 1.89 Fidelity National Financial Inc 50,642 USD 1,680,527 2,200,903 1.88 Five Point Holdings LLC 1,092,171 USD 7,342,319 8,824,736 7.52 Lennar Corp - Shs A 6,831 USD 507,648 678,659 0.58 Lennar Corp - Shs B 84,854 USD 4,169,028 6,911,357 5.89


285






UNITED STATES (U.S.A.) (continued) Lowe's Cos Inc 23,153 USD 2,573,560 4,490,989 3.83 Stratus Properties Inc 21,810 USD 542,573 538,053 0.46 Trinity Place Holdings Inc 983,941 USD 4,710,867 2,076,115 1.77

30,445,786 35,501,127 30.27





AUSTRALIA National Storage REIT 556,782 AUD 863,464 826,766 0.69

863,464 826,766 0.69

GREAT BRITAIN Big Yellow Group Plc 123,161 GBP 1,581,397 2,226,718 1.90 Derwent London Plc 92,893 GBP 3,808,818 4,266,165 3.64 Segro Plc 317,626 GBP 3,470,776 4,808,928 4.10

8,860,991 11,301,811 9.64

UNITED STATES (U.S.A.) American Homes 4 Rent 96,431 USD 2,977,440 3,746,345 3.19 Essex Property Trust Inc 5,833 USD 1,343,294 1,749,960 1.49 First Industrial Realty Trust Inc 38,233 USD 1,529,746 1,996,909 1.70 JBG SMITH Properties 135,031 USD 4,736,022 4,254,830 3.63 Prologis Inc 48,819 USD 3,882,122 5,835,337 4.97 Rayonier Inc 155,495 USD 4,408,328 5,586,932 4.76 Seritage Growth Properties 68,245 USD 1,030,217 1,255,708 1.07 Vornado Realty Trust 41,617 USD 1,652,737 1,942,265 1.65 Weyerhaeuser Co 155,787 USD 4,021,394 5,362,189 4.57

25,581,300 31,730,475 27.03




286





Unrealised % net


Appreciation assets 02/07/2021 EUR 31,552,112 USD (38,489,727) RBC IS Bank Luxembourg (1,075,990) (0.92) 02/07/2021 EUR 130,000 USD (158,244) RBC IS Bank Luxembourg (4,093) 0.00 02/07/2021 EUR 365,000 USD (445,184) RBC IS Bank Luxembourg (12,376) (0.01) 02/07/2021 EUR 94,991 USD (115,202) RBC IS Bank Luxembourg (2,564) 0.00 02/07/2021 USD 151,424 EUR (127,243) RBC IS Bank Luxembourg 542 0.00 02/07/2021 EUR 230,000 USD (274,804) RBC IS Bank Luxembourg (2,075) 0.00 02/07/2021 USD 590,770 EUR (495,000) RBC IS Bank Luxembourg 3,811 0.00

(1,092,745) (0.93)

TOTAL FORWARD CURRENCY EXCHANGE CONTRACTS (1,092,745) (0.93)



UNITED STATES (U.S.A.) Call USD/HKD Spot Cross 05/08/2021 7.90 9,400,000 USD 12,502 103 0.00

12,502 103 0.00

TOTAL LISTED SECURITIES : OPTIONS 12,502 103 0.00

TOTAL DERIVATIVE INSTRUMENTS (1,092,642) (0.93)





% of Total Assets



Cash at Bank

2.98


Total Assets 97.58


287



Purchases Security Name Quantity Cost % of $ Total Purchases Federal National Mortgage Association 8.25% / Preference 846,575 2,755,130 25.27 American Homes 4 Rent 29,394 1,112,858 10.21 Lennar Corp - Shs B 10,570 813,194 7.46 Five Point Holdings LLC 96,594 756,550 6.94 Wharf Holdings Ltd 158,000 549,270 5.04 Stratus Properties Inc 21,810 542,572 4.98 Brookfield Asset Management Inc 8,588 427,311 3.92 CK Asset Holdings Ltd 49,700 334,206 3.06 Prologis Inc 2,564 304,357 2.79 Rayonier Inc 8,162 290,835 2.67 Weyerhaeuser Co 8,179 283,965 2.60 National Storage REIT 177,647 277,657 2.55 Berkeley Group Holdings Plc 4,127 267,425 2.45 Segro Plc 16,833 251,931 2.31 Derwent London Plc 4,876 233,168 2.14 Henderson Land Development Co Ltd 46,300 220,998 2.03 CBRE Group Inc 1,595 136,848 1.25 AMERCO 226 128,051 1.17 JBG SMITH Properties 3,601 122,506 1.12 Fidelity National Financial Inc 2,659 118,424 1.09 Big Yellow Group Plc 6,430 114,539 1.05 Savills Plc 7,127 114,423 1.05 Lowe's Cos Inc 618 113,246 1.04


288



Sales

Security Name Quantity Proceed % of $ Total Sales St Modwen Properties Plc 568,763 4,222,149 13.90 Lennar Corp - Shs A 28,271 2,847,695 9.37 Segro Plc 132,331 1,763,862 5.81 Brookfield Asset Management Inc 36,580 1,594,879 5.25 Federal National Mortgage Association 1,014,350 1,421,384 4.68 Weyerhaeuser Co 34,833 1,284,608 4.23 CK Asset Holdings Ltd 214,000 1,272,443 4.19 AMERCO 2,286 1,271,713 4.19 Five Point Holdings LLC 184,273 1,266,754 4.17 Rayonier Inc 34,767 1,214,446 4.00 Prologis Inc 10,918 1,192,093 3.92 Berkeley Group Holdings Plc 17,579 1,138,416 3.75 Lowe's Cos Inc 5,322 1,012,492 3.33 JBG SMITH Properties 31,015 978,163 3.22 Derwent London Plc 20,774 959,792 3.16 Henderson Land Development Co Ltd 163,541 726,284 2.39 Lennar Corp - Shs B 8,803 724,863 2.39 Wharf Holdings Ltd 240,000 679,061 2.24 Essex Property Trust Inc 2,279 631,465 2.08 Seritage Growth Properties 31,674 503,347 1.66 Fidelity National Financial Inc 11,326 492,993 1.62 Savills Plc 30,359 481,037 1.58 CBRE Group Inc 5,742 434,780 1.43 Vornado Realty Trust 9,561 409,947 1.35 First Industrial Realty Trust Inc 8,551 397,101 1.31 American Homes 4 Rent 9,985 351,219 1.16 PATRIZIA AG 12,502 346,498 1.14 Big Yellow Group Plc 18,846 314,568 1.04



289

Condensed Combined Statement of Financial Position as at 30th June 2021

Company Total Company Total 30 Jun 2021 31 Dec 2020 Note $ $


Investments in Transferable Securities 3 3,522,165,492 3,073,368,308 Investments in Financial Derivative Instruments 3 357,200,359 292,796,672

Cash at bank 4 107,968,123 173,049,025 Cash held as collateral 4 9,010,680 12,440,457 Dividends and interest receivable 9,053,976 8,701,016 Amount receivable on subscriptions 14,209,575 73,926,541 Amount receivable on sale of securities 686,845 2,221,694 Receivable from Investment Manager 6 340,860 294,888 Other receivables 1,962,225 1,884,050

TOTAL ASSETS 4,022,598,135 3,638,682,651 LIABILITIES Financial Liabilities at Fair Value through Profit or Loss:

Investments in Financial Derivative Instruments 3 68,888,648 72,307,879 Bank overdraft 4 50,348 421,833 Collateral due to broker 80,407 99,255 Amount payable on purchase of securities 9,618,977 7,950,513 Investment management fees payable 6 3,404,709 2,200,166 Sub-Investment management fees payable 6 13,581 1,924 Manager fee payable 6 192,810 192,895 Administration fees payable 6 484,555 279,802 Transfer agency fees payable 6 269,327 63,520 Directors fees payable 6 32,643 20,597 Depositary and depositary oversight fees payable 6 476,693 207,703 Audit fees payable 6 19,313 37,112 Redemptions payable 7,346,254 80,607,196 Payable to Investment Manager 671 - Interest payable 609,865 623,638 Deferred liability - 27,071 Legal fees payable - 61,710 Other fees payable 364,957 918,002 TOTAL LIABILITIES (excluding net assets attributabl e to holders of redeemable participating shares) 91,853,758 166,020,816

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES 3,930,744,377 3,472,661,835 These Combined Statements include a translation adjustment converting the results of the £ Sub-Funds to the presentation currency of the Company and has no impact on the dealing Net Asset Values of any Sub-Fund. The accompanying notes and schedules form an integral part of these condensed financial statements.


290

Condensed Combined Statement of Comprehensive Income for the Six Months Ended 30th June 2021

Company Total Company Total

Financial

Period EndedFinancial


INCOME Dividend income 8,788,551 5,964,369Bond interest income 19,852,924 17,833,530Net realised and unrealised gain/(loss) on financial assets and liabilities at fair value through profit or loss 7 258,337,643 (246,464,341)Bank Interest 94,552 169,399Expense reimbursement from Investment Manager 6 256,488 181,405Swap interest income 1,428,970 3,761,034Other income 45,246 84,397TOTAL INVESTMENT INCOME/(LOSS) 288,804,374 (218,470,207) EXPENSES Investment management fees 6 11,468,914 6,876,307Sub-Investment management fees 6 34,125 3,626Manager fees 6 1,122,396 854,974Administration fees 6 552,492 633,866Director fees 6 96,323 100,320Depositary and depositary oversight fees 6 421,702 327,828Audit fees 6 71,771 62,271Transfer agency fees 6 319,201 109,334Swap interest expenses 7,870,908 11,230,094Brokerage fees 19,446 30,646Bank interest expense 205,424 162,795Upfront commission on subscription 22,839 36,289Formation expenses 87,049 38,778Other fees and expenses 6 794,578 273,182Total Operating Expenses 23,087,168 20,740,310 Operating Profit/(Loss) 265,717,206 (239,210,517) Finance Costs Dividends to holders of redeemable participating shares 8,175,799 7,165,903 Profit/(Loss) Before Tax 257,541,407 (246,376,420) Withholding tax 1,941,091 1,333,655 Increase/(Decrease) in net assets attributable to holders of redeemable participating shares from operations 255,600,316 (247,710,075) These Combined Statements include a translation adjustment in order to present the totals in the presentation currency of the Fund. All of the results for the financial period relate to continuing operations. The accompanying notes and schedules form an integral part of these condensed financial statements.


291

Condensed Combined Statement of Changes in Net Assets attributable to Holders of Redeemable Participating Shares


Company Total Company Total

Financial


Period Ended 30 Jun 2021 30 Jun 2020 Note $ $ Net Assets attributable to holders of Redeemable Participating Shares at the beginning of the financial period 3,472,661,835 2,654,915,262 Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 255,600,316 (247,710,075) Capital transactions Issue of redeemable shares during the financial period 993,839,681 791,744,314 Redemption of redeemable shares during the financial period (805,594,624) (471,831,664) Dividends to holders of redeemable participating shares (6,651,251) (5,991,513) Currency translation adjustment 2 20,888,420 (116,079,916)

Net Assets attributable to Holders of Redeemable Participating Shares at the end of the financial period 3,930,744,377 2,605,046,408


292

Combined Statement of Cash Flows

Total Total 30 Jun 2021 30 Jun 2020 $ $ Cash flows from operating activities Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from operations 255,600,316 (247,710,075) Adjustment to reconcile increase/(decrease) in net assets attributable to holders of redeemable participating shares from operations to net cash used in operating activities Bond interest income (19,852,924) (17,833,530) Dividend income (8,788,551) (5,964,369) Tax expense 1,941,091 1,333,655 Dividends to holders of redeemable participating shares 8,175,799 7,165,903 Operating profit/(loss) before working capital changes 237,075,731 (263,008,416) Changes in operating assets and liabilities Net increase in financial assets and liabilities at fair value (516,620,099) (15,071,502) Decrease in other receivables 4,840,479 9,444,655 Increase in payables 2,884,593 2,652,210 Cash used in operating activities (271,819,296) (265,983,053) Interest received 19,508,174 17,814,053 Dividend received 8,780,340 6,133,750 Taxation paid (1,941,091) (1,333,655) Net cash used in operating activities (245,471,873) (243,368,905) Cash flows from financing activities Proceeds from issue of redeemable participating shares 1,053,556,647 791,744,314 Payment on redemptions of redeemable participating shares (878,855,566) (466,798,323) Dividends to holders of redeemable participating shares (14,827,050) (13,157,416) Net cash provided by financing activities 159,874,031 311,788,575 Net (decrease)/increase in cash (85,597,842) 68,419,670 Currency translation adjustment^ 20,888,420 (116,079,916) Net Cash at the start of the financial period 172,627,197 187,437,568 Net Cash at the end of the financial period 107,917,775 139,777,322 Analysis of Cash Cash at the start of the financial period 173,049,030 188,685,470 Overdraft at the start of the financial period (421,833) (1,247,902) Cash at the end of the financial period 107,968,123 139,944,276 Overdraft at the end of the financial period (50,348) (166,954) ^The currency translation adjustment above is as a result of the £ Sub-Funds having a different functional currency (£) to the presentation currency of the Company ($). This is an accounting adjustment for financial reporting presentation purposes and has no impact on the dealing Net Assets Values.



293

Notes forming part of the Financial Statements

1. GENERAL INFORMATION

GemCap Investment Funds (Ireland) Plc (the “Company”) is an umbrella type open-ended investment company with variable capital incorporated on 1st June 2010, with limited liability and segregated liability between sub-funds, under the laws of Ireland with registered number 485081 under the Companies Act 2014. The Company is authorised in Ireland by the Central Bank of Ireland (the “Central Bank”) pursuant to the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (the “UCITS Regulations”) and Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019 (the “CBI UCITS Regulations”).

As at 30th June 2021, the Company had seventeen separate active investment portfolios (“Sub-Funds”) authorised by the Central Bank:

Atlantic House Defined Returns Fund (AHFM)/ Atlantic House US Enhanced Equity Fund (AUEE)/ Atlantic House Total Return Fund (ATRF)/ Calamos Global Convertible Fund (CGCF)

Causeway Defined Growth Fund (CDGF) GSI Global Sustainable Value Fund (GSI) GSI Global Sustainable Focused Value Fund (GSFVF)1

London & Capital Global Balanced Fixed Income Fund (L&CGBFI) London & Capital Global Conservative Fixed Income Fund (L&CGCFI) London & Capital Global Growth Fund (L&CGG) London & Capital Global Growth Fixed Income Fund (L&CGGFI) London & Capital Global Star Equity Fund (L&CGSE) London & Capital Global Balanced Fund (L&CGB) Principal Asset Allocation Fund (PAAF)/ Semper Total Return Fund (STRF)/ TEAM International Equity Fund (TEAM)2

Third Avenue Real Estate Value Fund (TAREVF)/

/Listed on the Irish Stock Exchange. 1Launched on 22nd April 2021. 2Launched on 24th May 2021.

The active Sub-Funds have the following investment objectives:

Atlantic House Defined Returns Fund - The investment objective is to generate capital growth over the medium to longer term.

Atlantic House US Enhanced Equity Fund - The investment objective is to generate capital growth over the medium to longer term.

Atlantic House Total Return Fund - The investment objective is to generate positive returns in most market conditions over any given three-year period.

Calamos Global Convertible Fund - The investment objective is to achieve high long-term total return through capital appreciation and current income.


294

Notes forming part of the Financial Statements (Continued)

1. GENERAL INFORMATION (Continued)

Causeway Defined Growth Fund – The investment objective is to generate capital growth over the medium to longer term. GSI Global Sustainable Value Fund - The investment objective is to achieve long-term total return. GSI Global Sustainable Focused Value Fund - The investment objective is to achieve long-term total return. London & Capital Global Balanced Fixed Income Fund - The investment objective is to seek to provide absolute growth through investments in a full range of global fixed income securities including government bonds and corporate bonds with the aim of producing balanced investment returns with a relatively low level of volatility (below 8% over a business cycle). London & Capital Global Conservative Fixed Income Fund - The investment objective is to seek to provide absolute growth through a highly diversified portfolio of investments in global fixed income securities, investing in government bonds and corporate bonds with the aim of producing investment returns with a relatively low level of volatility (below 5% over a business cycle). London & Capital Global Growth Fund - The investment objective is to seek to provide growth through investments in a full range of global equity, fixed income instruments and collective investment schemes. London & Capital Global Growth Fixed Income Fund - The investment objective is to seek to provide absolute growth through investments in a full range of global growth fixed income securities including, higher yielding corporate bonds with the aim of producing investment returns with a relatively high level of volatility (below 10% over a business cycle). It is envisaged that an important source of potential rise in the Sub-Fund’s Net Asset Value will be through capital appreciation of the Sub-Fund, on top of the income stream generated by the coupons (or annual interest) on the bonds. "Absolute" in this context refers to the strategies' ability to use financial derivative instruments to protect the capital value of the Sub-Fund during periods of high market volatility. London & Capital Global Star Equity Fund - The investment objective is to seek to provide growth through investments in a full range of global equities. London & Capital Global Balanced Fund - The investment objective is to seek to provide growth through investments in a full range of global equity, fixed income instruments and collective investment schemes. Principal Asset Allocation Fund - The investment objective is to seek to achieve a positive return in all market conditions over a three-year period. Semper Total Return Fund - The investment objective is to generate capital growth over the medium to longer term. TEAM International Equity Fund - The investment objective is to achieve a long-term total return through investments in a portfolio of international equities. Third Avenue Real Estate Value Fund - The investment objective is to achieve long-term capital appreciation, primarily through investment in equities.


295


2. PRINCIPAL ACCOUNTING POLICIES

The principal accounting policies adopted by the Company are as follows: Statement of Compliance The condensed financial statements have been prepared in accordance with International Financial Reporting Standards (“IFRS”) and interpretations as adopted by the European Union (the “EU”). The condensed financial statements are prepared on a going concern basis. Basis of Preparation The financial statements have been prepared in accordance with the Companies Act 2014 and International Financial Reporting Standards (“IFRS”) as adopted by the European Union (the “EU”). Accounting convention The financial statements are prepared on a going concern basis and under the historical cost convention except for the inclusion of financial assets and liabilities at fair value. Significant accounting policies The same accounting policies, presentation and methods of computation are followed in these condensed financial statements as were applied in the preparation of the Company’s financial statements for the financial year ended 31st December 2020. Accounting estimates The preparation of financial statements in conformity with IFRS requires management to make judgements, estimates and assumptions that effect the application of policies and the reported amounts of assets and liabilities, income and expense. The estimates and associated assumptions are based on historical experience and various other factors that are believed to be reasonable under the circumstances, the results of which form the basis of making judgements about the carrying values of 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 are recognised in the period in which the estimate is revised if the revision affects only that period or in the period of the revision and future years if the revision affects both current and future years. There were no significant estimates used in measuring the fair value of investments at the financial period end date of 30th June 2021 and 31st December 2020. Offsetting financial assets and liabilities Financial assets and liabilities are offset and the net amount reported in the Statement of Financial Position when there is a legally enforceable right to set-off the recognised amounts (which are not contingent on a future event), and there is an intention to settle on a net basis, or realise the asset and settle the liability simultaneously.


296


2. PRINCIPAL ACCOUNTING POLICIES (Continued)

New standards, amendments and interpretations effective after 1st January 2021 and have not been early adopted A number of new standards, amendments to standards and interpretations are effective for annual periods beginning after 1st January 2021, and have not been early adopted in preparing these financial statements. None of these are expected to have a material effect on the financial statements of the Company. Cash and cash equivalents Cash and cash equivalents include cash in hand, deposits held at call with banks and bank overdrafts. Cash balances held as collateral is held in relation to the derivatives contracts held by the Company for investment transactions that have not settled at the date of the financial statements and the amount of cash required by the brokers to hold as collateral for trading. All cash balances are accounted for in the Statement of Financial Position. For further details of Cash and cash equivalents please refer to note 4. Foreign Currencies Securities transactions are recorded in the financial statements on the trade date of the transaction and translated into the functional currency of the Sub-Fund at the exchange rate prevailing at the close of business on the trade date. Monetary assets and liabilities denominated in foreign currencies are translated into the functional currency of the Sub-Fund at the exchange rates ruling at the financial period end date. Non-monetary foreign currency denominated assets and liabilities that are carried at fair value are translated into the functional currency of the Sub-Fund at the date the fair values are determined. Foreign exchange differences arising on translation and realised gains and losses from trading activities are recognised through profit or loss in the Statement of Comprehensive Income for the financial period. Items included in the Company’s financial statements are measured using the primary economic environment in which the respective Sub-Fund operates (“the functional currency”). The presentational currency of the Company is United States Dollar. If indicators of the primary economic environment are mixed, then management uses its judgement to determine the functional currency that most faithfully represents the economic effects of the underlying transactions, events and conditions.


297


2. PRINCIPAL ACCOUNTING POLICIES (Continued)

Foreign Currencies (Continued) The functional currencies of the active Sub-Funds as at 30th June 2021 and 31st December 2020 are as follows: Sub-Fund Name Functional Currency Atlantic House Defined Returns Fund (AHFM) £ Atlantic House US Enhanced Equity Fund (AUEE) $ Atlantic House Total Return Fund (ATRF) £ Calamos Global Convertible Fund (CGCF) $ Causeway Defined Growth Fund (CDGF) $ GSI Global Sustainable Value Fund (GSI) $ GSI Global Sustainable Focused Value Fund (GSFVF)* $ London & Capital Global Balanced Fixed Income Fund (L&CGBFI) $ London & Capital Global Conservative Fixed Income Fund (L&CGCFI) $ London & Capital Global Growth Fund (L&CGG) £ London & Capital Global Growth Fixed Income Fund (L&CGGFI) $ London & Capital Global Star Equity Fund (L&CGSE) $ London & Capital Global Balanced Fund (L&CGB) £ Principal Asset Allocation Fund (PAAF) £ Semper Total Return Fund (STRF) $ TEAM International Equity Fund (TEAM)** £ Third Avenue Real Estate Value Fund (TAREVF) $ *Launched on 22nd April 2021. **Launched on 24th May 2021.

The foreign currency translation adjustment arising from translation of Sterling balances relating to Atlantic House Defined Returns Fund, Atlantic House Total Return Fund, London & Capital Global Growth Fund, London & Capital Global Balanced Fund, Principal Asset Allocation Fund and TEAM International Equity Fund for the purposes of preparing the Company total USD amounts has been included in the Statement of Changes in Net Assets attributable to Holders of Redeemable Participating shares and the Statement of Cash Flows. The notional currency translation adjustment for the financial period ended 30th June 2021 was $20,888,420 (2020: $(116,079,916)). This does not impact the NAV of any individual Sub-Fund.


298


3. FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH PROFIT OR LOSS

When available, the Company measures the fair value of an instrument using quoted prices in an active market for that instrument. A market is regarded as active if quoted prices are readily and regularly available and represent actual and regularly occurring market transactions on an arm’s length basis. These instruments are included within level 1 of the fair value hierarchy and include bonds admitted and actively traded on an official stock exchange listing. Bonds, other than those listed and actively traded on an official stock exchange, are valued by independent pricing services based on pricing models that evaluate the mean between the most recently quoted bid and ask price. The models also take into consideration data received from active market makers and broker-dealers, yield curves, and the spread over comparable bond issues. The spreads change daily in response to market conditions and are generally obtained from the new issue market and broker dealer sources. To the extent that these inputs are observable, the values of these bonds are categorised within level 2 of the fair value hierarchy. The fair values of forward foreign currency exchange contracts are calculated by reference to current exchange rates for contracts with similar maturity and risk profiles. The determination of fair value for financial assets and liabilities for which there is no observable market price requires valuation techniques. IFRS establishes a fair value hierarchy for inputs used in measuring fair value that maximises the use of observable inputs and minimises the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Company. Unobservable inputs reflect the Company management’s assumptions, made in good faith, about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. These include investments which are valued using cost price, stale price or a price which is more than a week prior to the valuation date. The fair value hierarchy is categorised into three levels based on the inputs as follows: Level 1 - Valuations based on quoted prices in active markets for identical assets or liabilities; Level 2 - Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly (as prices) or indirectly (derived from prices); and Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement. Inputs are used in applying the various valuation techniques and broadly refer to the assumptions that market participants use to make valuation decisions, including assumptions about risk. Inputs may include price information, volatility statistics, specific and broad credit data, liquidity statistics, and other factors. A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. However, the determination of what constitutes “observable” requires significant judgement by the Company. The Company considers observable data to be that market data which is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. The categorisation of a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Company’s perceived risk of that instrument.


299


3. FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH PROFIT OR LOSS (Continued)

Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-specific measure. Therefore, even when market assumptions are not readily available, the Company’s assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The Company uses prices and inputs that are current as of the measurement date, including periods of market dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for many securities. This condition could cause a security to be reclassified to a lower level within the fair value hierarchy. The following tables present information about the Company’s financial assets and liabilities measured at fair value on a recurring basis as of 30th June 2021 and 31st December 2020: Atlantic House Defined Returns Fund

Total Level 1 Level 2 Level 3 30 June 2021 £ £ £ £ Financial assets at fair value through profit or loss Investments in transferrable securities at fair value

-Bonds 1,164,400,940 - 1,164,400,940 - Investments in financial derivative instruments -Forward Exchange Contracts 81,713 - 81,713 - -Autocallable Swaps 214,245,436 - - 214,245,436 -Inflation Swaps 8,347,625 - 8,347,625 - Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Forward Exchange Contracts (3,243) - (3,243) - -Autocallable Swaps (6,472,446) - - (6,472,446) -Inflation Swaps (21,812,790) - (21,812,790) -

Total 1,358,787,235 - 1,151,014,245 207,772,990

Total Level 1 Level 2 Level 3 31 December 2020 £ £ £ £ Financial assets at fair value through profit or loss Investments in transferrable securities at fair value

-Bonds 1,038,628,410 - 1,038,628,410 - Investments in financial derivative instruments -Forward Exchange Contracts 406 - 406 - -Autocallable Swaps 160,283,068 - - 160,283,068 -Inflation Swaps 6,553,129 - 6,553,129 - -Total Return Swaps 202,922 - 202,922 - Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Forward Exchange Contracts (178,589) - (178,589) - -Autocallable Swaps (8,196,350) - - (8,196,350) -Inflation Swaps (22,124,229) - (22,124,229) -

Total 1,175,168,767 - 1,023,082,049 152,086,718


300


3. FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH PROF IT OR LOSS (Continued)

Atlantic House US Enhanced Equity Fund Total Level 1 Level 2 Level 3

30 June 2021 $ $ $ $

Financial assets at fair value through profit or loss Investments in transferrable securities at fair value

-Bonds 18,784,832 - 18,784,832 -

Investments in financial derivative instruments -Options 5,018,902 5,018,902 - - -Equity Linked Swaps 38,429,242 - 38,429,242 - Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Options (3,543,246) (3,543,246) -Equity Linked Swaps (14,434,917) - (14,434,917) - -Inflation Swaps (1,712,247) - (1,712,247) - Total 42,542,566 1,475,656 41,066,910 -

Total Level 1 Level 2 Level 3

31 December 2020 $ $ $ $


-Bonds 27,662,872 - 27,662,872 -

Investments in financial derivative instruments -Cross Currency Swaps 6,516,289 - 6,516,289 - -Equity Linked Swaps 41,340,399 - 41,340,399 - Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Cross Currency Swaps (6,634,667) - (6,634,667) - -Equity Linked Swaps (17,735,273) - (17,735,273) - -Inflation Swaps (1,873,327) - (1,873,327) - Total 49,276,293 - 49,276,293 -


301




Total Level 1 Level 2 Level 3 30 June 2021 £ £ £ £ Financial assets at fair value through profit or loss Investments in transferrable securities at fair value -Bonds 25,089,590 - 25,089,590 - -Mortgage-Backed Securities 3,279,498 - 3,279,498 - -Exchange Traded Funds 1,893,448 1,893,448 - - Investments in financial derivative instruments -Forward Exchange Contracts 18,688 - 18,688 - -Options 124,549 124,549 - - -Swaptions 91,353 - 91,353 - -Equity Linked Swaps 336,900 - 336,900 - -Inflation Swaps 21,239 - 21,239 - -Volatility Swaps 53,329 - 53,329 - -Index Swaps 257,385 - 257,385 - -Currency Swaps 8,409 - 8,409 - Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Options (6,907) (6,907) - - -Equity Linked Swaps (168,660) - (168,660) - -Inflation Swaps (86,824) - (86,824) - -Volatility Swaps (16,086) - (16,086) - -Index Swaps (63,885) - (63,885) -

Total 30,832,026 2,011,090 28,820,936 -

Total Level 1 Level 2 Level 3 31 December 2020 £ £ £ £ Financial assets at fair value through profit or loss Investments in transferrable securities at fair value -Bonds 13,367,118 - 13,367,118 - -Exchange Traded Commodities 731,015 731,015 - - -Exchange Traded Funds 753,928 753,928 - - -Mortgage-Backed Securities 881,613 - 881,613 - Investments in financial derivative instruments -Equity Linked Swaps 548,860 - 548,860 - -Inflation Swaps 6,721 - 6,721 - -Volatility Swaps 51,370 - 51,370 - Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Forward Exchange Contracts (2,780) - (2,780) - -Equity Linked Swaps (32,822) - (32,822) - -Inflation Swaps (104,022) - (104,022) -

Total 16,201,001 1,484,943 14,716,058 -


302



Calamos Global Convertible Fund Total Level 1 Level 2 Level 3

30 June 2021 $ $ $ $

Financial assets at fair value through profit or loss Investments in transferrable securities at fair value -Equities 54,847,933 54,847,933 - - -Bonds 591,360,109 - 591,360,109 - -Investment Funds 8,843,760 - 8,843,760 -

Investments in financial derivative instruments -Forward Exchange Contracts 228 - 228 - -Options 1,781,527 1,781,527 - - Financial liabilities at fair value through profit or l oss Investments in financial derivative instruments -Forward Exchange Contracts (857,991) - (857,991) - Total 655,975,566 56,629,460 599,346,106 -


31 December 2020 $ $ $ $

Financial assets at fair value through profit or loss Investments in transferrable securities at fair value -Equities 50,950,453 50,950,453 - - -Bonds 473,799,443 - 473,799,443 - -Investment Funds 29,753,418 - 29,753,418 -

Investments in financial derivative instruments -Forward Exchange Contracts 62,290 - 62,290 - Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Forward Exchange Contracts (165,210) - (165,210) - Total 554,400,394 50,950,453 503,449,941 -


303



Causeway Defined Growth Fund Total Level 1 Level 2 Level 3

30 June 2021 $ $ $ $


-Bonds 17,578,457 - 17,578,457 -

Investments in financial derivative instruments -Forward Exchange Contracts 7 - 7 - -Autocallable Swaps 1,232,986 - - 1,232,986 -Cross Currency Swaps 253,313 253,313 - Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Forward Exchange Contracts (58,488) - (58,488) - -Cross Currency Swaps (264,336) - (264,336) - Total 18,741,939 - 17,508,953 1,232,986


31 December 2020 $ $ $ $


-Bonds 10,404,810 - 10,404,810 -

Investments in financial derivative instruments -Forward Exchange Contracts 93,501 - 93,501 - -Autocallable Swaps 516,851 - - 516,851 Financial liabilities at fair value through profit or lo ss Investments in financial derivative instruments -Forward Exchange Contracts (367) - (367) - -Autocallable Swaps (8,300) - - (8,300) -Cross Currency Swaps (83,985) - (83,985) - Total 10,922,510 - 10,413,959 508,551


304




Total Level 1 Level 2 Level 3 30 June 2021 $ $ $ $ Financial assets at fair value through profit or loss Investments in transferrable securities at fair value

-Equities 176,563,349 176,563,309 - 40 -Real Estate Investment Trusts 6,294,734 6,294,734 - - -Warrants 3,736 3,736 - -

Total 182,861,819 182,861,779 - 40

Total Level 1 Level 2 Level 3 31 December 2020 $ $ $ $ Financial assets at fair value through profit or loss Investments in transferrable securities at fair value

-Equities 141,010,565 141,010,524 - 41 -Real Estate Investment Trusts 1,575,959 1,575,959 - - -Warrants 1,449 1,449 - -

Total 142,587,973 142,587,932 - 41


Total Level 1 Level 2 Level 3 30 June 2021 $ $ $ $ Financial assets at fair value through profit or loss Investments in transferrable securities at fair value

-Equities 65,948,182 65,948,182 - - -Real Estate Investment Trusts 1,561,104 1,561,104 - -

Total 67,509,286 67,509,286 - -



305



London & Capital Global Balanced Fixed Income Fund Total Level 1 Level 2 Level 3

30 June 2021 $ $ $ $


-Bonds 86,602,195 - 86,602,195 -

Investments in financial derivative instruments -Forward Exchange Contracts 90,601 - 90,601 -

Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Forward Exchange Contracts (429,023) - (429,023) - Total 86,263,773 - 86,263,773 -


31 December 2020 $ $ $ $


-Bonds 70,363,123 - 70,363,123 -



London & Capital Global Conservative Fixed Income Fund Total Level 1 Level 2 Level 3

30 June 2021 $ $ $ $

Financial assets at fair value through profit or loss

Investments in transferrable securities at fair value -Bonds 19,162,488 - 19,162,488 -




306



London & Capital Global Conservative Fixed Income Fund (Continued) Total Level 1 Level 2 Level 3

31 December 2020 $ $ $ $

Financial assets at fair value through profit or loss

Investments in transferrable securities at fair value -Bonds 21,583,671 - 21,583,671 -



London & Capital Global Growth Fund Total Level 1 Level 2 Level 3

30 June 2021 £ £ £ £

Financial assets at fair value through profit or loss Investments in transferrable securities at fair value -Equities 50,531,854 50,531,854 - - -Bonds 9,305,041 - 9,305,041 - -Exchange Traded Commodities 1,921,029 1,921,029 - - -Exchange Traded Funds 11,592,695 11,592,695 - - -Warrants 1,657,769 1,657,769 - -

Investments in financial derivative instruments

-Forward Exchange Contracts 62,296 - 62,296 - Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Forward Exchange Contracts (75,455) - (75,455) - Total 74,995,229 65,703,347 9,291,882 -


31 December 2020 £ £ £ £

Financial assets at fair value through profit or loss Investments in transferrable securities at fair value -Equities 26,499,444 26,354,224 145,220 - -Bonds 8,001,315 - 8,001,315 - -Investment Funds 2,253,148 - 2,253,148 - -Exchange Traded Funds 3,918,079 3,918,079 - - -Warrants 2,082,371 2,082,371 - -


-Forward Exchange Contracts 498,221 - 498,221 - Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Forward Exchange Contracts (52,446) - (52,446) - Total 43,200,132 32,354,674 10,845,458 -


307



London & Capital Global Growth Fixed Income Fund Total Level 1 Level 2 Level 3

30 June 2021 $ $ $ $


-Bonds 55,732,672 - 55,732,672 -

Investments in financial derivative instruments -Forward Exchange Contracts 71,912 - 71,912 - Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Forward Exchange Contracts (256,730) - (256,730) - Total 55,547,854 - 55,547,854 -


31 December 2020 $ $ $ $


-Bonds 48,136,791 - 48,136,791 -

Investments in financial derivative instruments -Forward Exchange Contracts 416,342 - 416,342 - Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Forward Exchange Contracts (568,995) - (568,995) - Total 47,984,138 - 47,984,138 -

London & Capital Global Star Equity Fund Total Level 1 Level 2 Level 3

30 June 2021 $ $ $ $


-Equities 226,576,264 226,576,264 - - Investments in financial derivative instruments

-Forward Exchange Contracts 264,943 - 264,943 - -Options 218,869 218,869 - -

Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Forward Exchange Contracts (879,619) - (879,619) - -Options (598,331) (598,331) - - Total 225,582,126 226,196,802 (614,676) -


308



London & Capital Global Star Equity Fund (Continued) Total Level 1 Level 2 Level 3

31 December 2020 $ $ $ $


-Equities 184,501,813 184,501,813 - - Investments in financial derivative instruments

-Forward Exchange Contracts 1,405,117 - 1,405,117 - Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Forward Exchange Contracts (1,578,195) - (1,578,195) - Total 184,328,735 184,501,813 (173,078) -

London & Capital Global Balanced Fund Total Level 1 Level 2 Level 3

30 June 2021 £ £ £ £

Financial assets at fair value through profit or loss Investments in transferrable securities at fair value -Equities 25,072,702 25,072,702 - - -Bonds 30,114,884 - 30,114,884 - -Investment Funds 2,219,858 - 2,219,858 - -Exchange Traded Commodities 1,247,421 1,247,421 - - -Exchange Traded Funds 4,929,079 4,929,079 - - -Warrants 2,751,896 2,751,896 - - Investments in financial derivative instruments -Forward Exchange Contracts 60,560 - 60,560 - Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Forward Exchange Contracts (57,021) - (57,021) - Total 66,339,379 34,001,098 32,338,281 -


31 December 2020 £ £ £ £

Financial assets at fair value through profit or loss Investments in transferrable securities at fair value -Equities 19,126,276 19,126,276 - - -Bonds 27,466,883 - 27,466,883 - -Investment Funds 2,692,240 - 2,692,240 - -Exchange Traded Funds 1,206,895 1,206,895 - - -Warrants 3,894,305 3,894,305 - - Investments in financial derivative instruments -Forward Exchange Contracts 629,422 - 629,422 - Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Forward Exchange Contracts (108,424) - (108,424) - Total 54,907,597 24,227,476 30,680,121 -


309



Principal Asset Allocation Fund Total Level 1 Level 2 Level 3

30 June 2021 £ £ £ £


-Equities 4,652,232 4,652,232 - - -Bonds 1,728,399 - 1,728,399 - -Investment Funds 25,713 - 25,713 -


-Forward Exchange Contracts 7,823 - 7,823 - -Futures 58,127 58,127 - -

Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Forward Exchange Contracts (516) - (516) - Total 6,471,778 4,710,359 1,761,419 -


31 December 2020 £ £ £ £


-Equities 1,955,161 - 1,955,161 - -Bonds 5,228,265 5,228,265 - - -Investment Funds 38,569 - 38,569 -


-Futures 72,581 72,581 - -

Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Forward Exchange Contracts (20,039) - (20,039) - -Futures (81,169) (81,169) - - Total 7,193,368 5,219,677 1,973,691 -

Semper Total Return Fund Total Level 1 Level 2 Level 3

30 June 2021 $ $ $ $


-Asset-Backed Securities 56,637,178 - 56,637,178 - -Mortgage-Backed Securities 160,690,945 - 157,730,941 2,960,004

Investments in financial derivative instruments -Forward Exchange Contracts 255,403 - 255,403 - Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Forward Exchange Contracts (4,869,842) - (4,869,842) - Total 212,713,684 - 209,753,680 2,960,004


310



Semper Total Return Fund (Continued) Total Level 1 Level 2 Level 3

31 December 2020 $ $ $ $


-Asset-Backed Securities 149,742,601 - 149,742,601 - -Mortgage-Backed Securities 163,934,212 - 152,916,762 11,017,450

Investments in financial derivative instruments -Forward Exchange Contracts 10,437,630 - 10,437,630 - Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Forward Exchange Contracts (107,296) - (107,296) - Total 324,007,147 - 312,989,697 11,017,450


Total Level 1 Level 2 Level 3 30 June 2021 £ £ £ £ Financial assets at fair value through profit or loss Investments in transferrable securities at fair value

-Equities 1,827,488 1,827,488 - - Total 1,827,488 1,827,488 - -

*Launched on 24th May 2021. Third Avenue Real Estate Value Fund

Total Level 1 Level 2 Level 3 30 June 2021 $ $ $ $ Financial assets at fair value through profit or loss Investments in transferable securities, at fair value -Equities 71,629,186 71,629,186 - - -Real Estate Investment Trusts 43,859,052 43,859,052 - - Investments in financial derivative instruments -Forwards Exchange Contracts 4,353 - 4,353 - -Options 103 103 - - Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Forwards Exchange Contracts (1,097,098) - (1,097,098) - Total 114,395,596 115,488,341 (1,092,745) -


311




Total Level 1 Level 2 Level 3 31 December 2020 $ $ $ $ Financial assets at fair value through profit or loss Investments in transferable securities, at fair value -Equities 70,894,507 70,894,507 - - -Real Estate Investment Trusts 44,496,136 44,496,136 - - Investments in financial derivative instruments -Forwards Exchange Contracts 171,864 - 171,864 - -Options 338 338 - - Financial liabilities at fair value through profit or loss Investments in financial derivative instruments -Options (354,722) (354,722) - - Total 115,208,123 115,036,259 171,864 -

All level 3 financial assets are valued using broker prices. Therefore, unobservable inputs are not developed in arriving at the fair value of the financial assets. The following table presents the movement in Level 3 instruments for the financial period ended 30th June 2021 by class of financial instrument.

Unquoted securities at fair value through profit or loss Atlantic House Defined Returns Fund

£

Opening balance as at 1st January 2020 135,142,111

Total realised gain/(loss) (1,798,060)

Total movement in unrealised gain/(loss) 18,742,667

Purchases -

Sales -

Transfers into or out of Level 3 -

Closing balance as at 31st December 2020 152,086,718

Total realised gain/(loss) 44,646,290

Total movement in unrealised gain/(loss) 11,039,982

Purchases -

Sales -


Closing balance as at 30th June 2021 207,772,990


312



Unquoted securities at fair value through profit or loss Atlantic House US Enhanced Equity Fund

$


Total realised gain/(loss) 4,000

Total movement in unrealised gain/(loss) (5,960)

Purchases -

Sales (4,004,000)


Closing balance as at 31st December 2020 -

Unquoted securities at fair value through profit or loss Causeway Defined Growth Fund

$

Opening balance as at 1st January 2020 -

Total realised gain/(loss) -

Total movement in unrealised gain/(loss) 508,551

Purchases -

Sales -


Closing balance as at 31st December 2020 508,551



Purchases -

Sales -




313



Unquoted securities at fair value through profit or loss GSI Global Sustainable Value Fund

$

Opening balance as at 1st January 2020 121

Total realised gain/(loss) 78

Total movement in unrealised gain/(loss) (80)

Purchases -

Sales (78)


Closing balance as at 31st December 2020 41

Total realised gain/(loss) -

Total movement in unrealised gain/(loss) (1)

Purchases -

Sales -


Closing balance as at 30th June 2021 40

Unquoted securities at fair value through profit or loss Semper Total Return Fund

$


Total realised gain/(loss) (841,843)


Purchases 7,784,913

Sales (13,888,329)

Transfers into or out of Level 3 (4,387,802)

Closing balance as at 31st December 2020 11,017,450


Total movement in unrealised gain/(loss) (117,038)

Purchases -

Sales (8,720,155)




314


4. CASH AND CASH EQUIVALENTS

At the financial period end the following cash and overdraft balances were held: 30 Jun 31 Dec 2021 2020 $ $ Cash at bank RBC Investor Services Bank S.A., Dublin Branch 99,781,527 173,049,020 NatWest Markets - 5 BNP Paribas

8,186,596 - Cash balances held as collateral RBC Investor Services Bank S.A., Dublin Branch 7,491,650 723,750 ED & F Man International Inc. 803,376 1,029,256 Societe Generale S.A. - 9,394,726 Citibank N.A. 165,996 642,725 JPMorgan Chase Bank 549,658 290,000 Morgan Stanley And Co. - 230,000 Goldman Sachs International - 130,000 Total 116,978,803 185,489,482 Bank overdraft RBC Investor Services Bank S.A., Dublin Branch 50,348 421,833 Collateral due to brokers ED & F Man International Inc. 80,407 99,255 Total 130,755 521,088

5. SHARE CAPITAL

Capital Management The authorised share capital of the Company is 2 Subscriber Shares of €1 each which are held with Stuart Alexander and GemCap UK Limited and 1,000,000,000,000 shares of no par value initially designated as unclassified participating shares. The minimum issued share capital of the Company is €2 or its equivalent in another currency. The maximum issued share capital of the Company is €1,000,000,000,000 or its equivalent in any other currency. The Articles provide un-issued shares are at the disposal of the Directors who may offer, allot, issue, grant options over or otherwise dispose of them to such persons, at such times, for such consideration and on such terms and conditions as the Directors see fit. The Company may by ordinary resolution increase its share capital, consolidate its shares or subdivide any of them into Shares of a smaller amount or cancel authorised but unissued shares. The holders of shares (excluding the holder of subscriber shares) shall: (i) have the right to vote at a general meeting. On a show of hands, be entitled to one vote per holder

and, on a poll, be entitled to one vote per share; (ii) be entitled to such dividends as the Directors may from time to time declare; and (iii) in the event of a winding up or dissolution of the Company, have the entitlements referred to under

“Liquidation” in the section under the heading “Memorandum and Articles of Association” in the prospectus of the Company;


315


5. SHARE CAPITAL (Continued)


Class B – GBP

Class Class B – GBP

Class Class I – GBP


Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 665,106,328.90 640,751,182.60 209,974,506.50 188,280,012.91 Redeemable Participating Shares issued 91,439,432.15 258,382,892.41 64,580,026.45 151,627,643.55 Redeemable Participating Share redeemed (84,418,174.96) (234,027,746.11) (43,473,957.22) (129,933,149.96) Number of Redeemable Participating Shares at end of financial period 672,127,586.09 665,106,328.90 231,080,575.73 209,974,506.50

Class B (Hedged)

– USD Class Class B (Hedged)

– USD Class Class B (Hedged)

– EUR Class Class B (Hedged)

– EUR Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 10,464,800.29 15,433,238.94 4,394,260.48 4,263,957.43 Redeemable Participating Shares issued 8,506,098.42 7,240,244.38 2,663,542.92 1,504,758.72 Redeemable Participating Share redeemed (2,235,106.78) (12,208,683.03) (501,528.98) (1,374,455.67) Number of Redeemable Participating Shares at end of financial period 16,735,791.93 10,464,800.29 6,556,274.42 4,394,260.48

Class I – GBP

Dist Class Class I – GBP

Dist Class 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 2,506,449.33 - Redeemable Participating Shares issued 773,995.76 2,514,298.33 Redeemable Participating Share redeemed (23,486.51) (7,849.00) Number of Redeemable Participating Shares at end of financial period 3,256,958.58 2,506,449.33


Class A – USD

Class Class A – USD

Class 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 25,721,508.60 41,942,138.20 Redeemable Participating Shares issued 431,852.96 4,953,261.07 Redeemable Participating Share redeemed (6,719,557.35) (21,173,890.67) Number of Redeemable Participating Shares at end of financial period 19,433,804.21 25,721,508.60


316




Class A – GBP

Class Class A – GBP

Class 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 17,261,467.83 16,967,227.51 Redeemable Participating Shares issued 12,766,380.54 4,644,664.50 Redeemable Participating Share redeemed (1,498,162.78) (4,350,424.18) Number of Redeemable Participating Shares at end of financial period 28,529,685.59 17,261,467.83


Class I (Inc) –

USD Class Class I (Inc) –

USD Class Class A –

USD Class Class A –

USD Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 424,530.17 - 8,727,749.73 - Redeemable Participating Shares issued 108,566.95 431,112.80 2,869,192.50 8,831,655.51 Redeemable Participating Share redeemed (85,723.95) (6,582.63) (1,315,638.89) (103,905.78) Number of Redeemable Participating Shares at end of financial period 447,373.17 424,530.17 10,281,303.34 8,727,749.73

Class A –

GBP Class Class A –

GBP Class Class C –

USD Class Class C –

USD Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 6,450.00 - 1,330,181.37 - Redeemable Participating Shares issued - 6,450.00 137,064.23 1,344,173.05 Redeemable Participating Share redeemed (400.00) - (51,220.06) (13,991.68) Number of Redeemable Participating Shares at end of financial period 6,050.00 6,450.00 1,416,025.54 1,330,181.37

Class C –

EUR Class Class C –

EUR Class Class I –

GBP Class Class I –

GBP Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 14,407.58 - 92,730.54 - Redeemable Participating Shares issued - 15,327.10 42,878.56 133,792.84 Redeemable Participating Share redeemed (4,257.19) (919.52) (22,186.19) (41,062.30) Number of Redeemable Participating Shares at end of financial period 10,150.39 14,407.58 113,422.91 92,730.54


317



Calamos Global Convertible Fund (Continued)

Class X –

USD Class Class X –

USD Class Class I –

USD Class Class I –

USD Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 1,410,981.85 - 4,887,748.31 - Redeemable Participating Shares issued - 1,410,981.85 1,950,026.08 7,360,427.25 Redeemable Participating Share redeemed (1,054,104.53) - (998,201.38) (2,472,678.94) Number of Redeemable Participating Shares at end of financial period 356,877.32 1,410,981.85 5,839,573.01 4,887,748.31

Class A (Inc) –

USD Class Class A (Inc) –

USD Class Class C (Inc) –

USD Class Class C (Inc) –

USD Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 741,128.95 - 98,880.65 - Redeemable Participating Shares issued 114,268.31 741,128.95 3,260.54 98,880.65 Redeemable Participating Share redeemed (78,673.13) - (7,669.18) - Number of Redeemable Participating Shares at end of financial period 776,724.13 741,128.95 94,472.01 98,880.65

Class A –

EUR Class Class A –



EUR Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 402,315.10 - 359,662.34 - Redeemable Participating Shares issued 181,031.19 403,489.91 9,913.57 365,583.23 Redeemable Participating Share redeemed (149,889.62) (1,174.81) (32,885.37) (5,920.89) Number of Redeemable Participating Shares at end of financial period 433,456.67 402,315.10 336,690.54 359,662.34

Class Z –

CHF Class Class Z –

CHF Class Class Z –

EUR Class Class Z –

EUR Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 1,114,562.81 - 1,413,523.56 - Redeemable Participating Shares issued 267,190.40 1,116,062.81 7,234,020.14 1,443,379.43 Redeemable Participating Share redeemed (209,979.81) (1,500.00) (3,295,528.17) (29,855.87) Number of Redeemable Participating Shares at end of financial period 1,171,773.40 1,114,562.81 5,352,015.53 1,413,523.56


318



Calamos Global Convertible Fund (Continued)

Class Z –

GBP Class Class Z –

GBP Class Class Z –

USD Class Class Z –

USD Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 76,414.98 - 7,993,277.75 - Redeemable Participating Shares issued 804,244.52 76,414.98 466,799.33 7,993,742.75 Redeemable Participating Share redeemed (15,576.73) - (2,968,577.08) (465.00) Number of Redeemable Participating Shares at end of financial period 865,082.77 76,414.98 5,491,500.00 7,993,277.75


Class B – GBP Hedged Class


Class A – USD Class

Class A – USD Class

30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 2,752,120.78 - 2,907,940.19 - Redeemable Participating Shares issued 565,686.75 3,017,173.52 3,809,445.20 2,998,372.79 Redeemable Participating Share redeemed (550,147.49) (265,052.74) (314,061.45) (90,432.60) Number of Redeemable Participating Shares at end of financial period 2,767,660.04 2,752,120.78 6,403,323.94 2,907,940.19

Class B – USD

Class Class B – USD

Class Class A – GBP Hedged Class

Class A – GBP Hedged Class

30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 1,188,467.81 - 1,747,555.61 - Redeemable Participating Shares issued 966,108.61 1,288,086.34 448,464.21 1,944,367.17 Redeemable Participating Share redeemed (230,526.69) (99,618.53) (360,920.64) (196,811.56) Number of Redeemable Participating Shares at end of financial period 1,924,049.73 1,188,467.81 1,835,099.18 1,747,555.61


319



Causeway Defined Growth Fund (Continued)

Class C – USD

Class Class C – USD

Class Class C (Hedged)

– GBP Class Class C (Hedged)

– GBP Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 475,000.00 - 469,065.20 - Redeemable Participating Shares issued 219,646.81 475,000.00 677,379.95 469,065.20 Redeemable Participating Share redeemed - - (9,748.02) - Number of Redeemable Participating Shares at end of financial period 694,646.81 475,000.00 1,136,697.13 469,065.20

Class B (Hedged)

– EUR Class Class B (Hedged)

– EUR Class Class D (Hedged)

– GBP Class Class D (Hedged)

– GBP Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 90,000.00 - 242,442.88 - Redeemable Participating Shares issued 687,747.43 90,000.00 500,915.43 242,442.88 Redeemable Participating Share redeemed (90,000.00) - (40,458.19) - Number of Redeemable Participating Shares at end of financial period 687,747.43 90,000.00 702,900.12 242,442.88

Class D – USD

Class Class D – USD

Class Class A (Hedged)

– EUR Class* Class C – EUR

Class** 30 Jun 2021 31 Dec 2020 30 Jun 2021 30 Jun 2021 Number of Redeemable Participating Shares at beginning of financial period 116,977.91 - - - Redeemable Participating Shares issued 1,290,512.44 116,977.91 291,736.23 213,229.51 Redeemable Participating Share redeemed (151,098.35) - (143,349.76) - Number of Redeemable Participating Shares at end of financial period 1,256,392.00 116,977.91 148,386.47 213,229.51

*Launched on 8th January 2021. **Launched on 28th April 2021.


320




Class A – GBP




Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 553,062.07 325,165.96 132,619.05 44,710.59 Redeemable Participating Shares issued 134,133.99 253,930.92 89,482.95 111,812.86 Redeemable Participating Share redeemed (54,312.72) (26,034.81) (82,891.59) (23,904.40) Number of Redeemable Participating Shares at end of financial period 632,883.34 553,062.07 139,210.41 132,619.05

Class C – EUR

Class Class C – EUR

Class 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 8,396.85 2,620.51 Redeemable Participating Shares issued 1,798.04 5,776.34 Redeemable Participating Share redeemed (131.44) - Number of Redeemable Participating Shares at end of financial period 10,063.45 8,396.85


Class A – GBP

Dist Class* Class I – GBP

Acc Class* Class J – GBP

Dist Class* 30 Jun 2021 30 Jun 2021 30 Jun 2021 Number of Redeemable Participating Shares at beginning of financial period - - - Redeemable Participating Shares issued 1,171.43 205,342.72 282,569.36 Redeemable Participating Share redeemed - (165.99) (199.07) Number of Redeemable Participating Shares at end of financial period 1,171.43 205,176.73 282,370.29


Class I – USD

Class Class I – USD



Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 6,441.31 13,223.47 35,823.81 88,350.17 Redeemable Participating Shares issued 4,293.94 - 13,390.84 24,036.89 Redeemable Participating Share redeemed (4,477.53) (6,782.16) (15,422.09) (76,563.25) Number of Redeemable Participating Shares at end of financial period 6,257.72 6,441.31 33,792.56 35,823.81



321



London & Capital Global Balanced Fixed Income Fund (Continued)

Class X – USD

Class Class X – USD

Class Class X – GBP



*Launched on 3rd February 2021.


Class I – GBP




Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 22,481.43 92,011.93 116,941.50 132,171.36 Redeemable Participating Shares issued 951.56 3,320.15 44,605.22 50,695.77 Redeemable Participating Share redeemed (8,715.95) (72,850.65) (45,644.43) (65,925.63) Number of Redeemable Participating Shares at end of financial period 14,717.04 22,481.43 115,902.29 116,941.50

Class X – USD




Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020

Number of Redeemable Participating Shares at beginning of financial period 28,933.32 69,704.03 1,739.16 2,789.16 Redeemable Participating Shares issued 9,734.69 6,799.85 5,946.29 735.00 Redeemable Participating Share redeemed (21,785.80) (47,570.56) (1,739.16) (1,785.00) Number of Redeemable Participating Shares at end of financial period 16,882.21 28,933.32 5,946.29 1,739.16

Class X – EUR

Class Class X – EUR

Class Class I – EUR

Class* 30 Jun 2021 31 Dec 2020 30 Jun 2021 Number of Redeemable Participating Shares at beginning of financial period 78,625.04 5,198.24 - Redeemable Participating Shares issued 14,284.60 76,430.01 8,500.00 Redeemable Participating Share redeemed (11,014.29) (3,003.21) - Number of Redeemable Participating Shares at end of financial period 81,895.35 78,625.04 8,500.00


322



London & Capital Global Conservative Fixed Income Fund (Continued)

*Terminated on 16th November 2020.

London & Capital Global Defensive Equity Fund*

Class I – GBP




Class 31 Dec 2020 31 Dec 2020 31 Dec 2020 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 52,947.56 61,716.04 34,660.89 810.20 Redeemable Participating Shares issued 1,024.43 2,895.11 456.33 - Redeemable Participating Share redeemed (53,971.99) (64,611.15) (35,117.22) (810.20) Number of Redeemable Participating Shares at end of financial period - - - - *Terminated on 28th August 2020.


Class I – GBP

Class* Class I – GBP



Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 11.28 97.30 339,310.54 353,721.99 Redeemable Participating Shares issued - - 109,184.73 40,146.70 Redeemable Participating Share redeemed (11.28) (86.02) (39,571.58) (54,558.15) Number of Redeemable Participating Shares at end of financial period - 11.28 408,923.69 339,310.54

Class B – USD




Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 30,848.25 29,693.39 42,495.64 37,897.40 Redeemable Participating Shares issued 47,124.28 14,439.14 52,577.18 12,325.32 Redeemable Participating Share redeemed (4,204.52) (13,284.28) (5,006.65) (7,727.08) Number of Redeemable Participating Shares at end of financial period 73,768.01 30,848.25 90,066.17 42,495.64 *Terminated on 12th January 2021.

Class X – EUR


Class*

30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period - 514.63

Redeemable Participating Shares issued - - Redeemable Participating Share redeemed - (514.63)

Number of Redeemable Participating Shares at end of financial period - -


323



London & Capital Global Growth Fund (Continued)

Class A – USD


Class Class B – EUR

Class* 30 Jun 2021 31 Dec 2020 30 Jun 2021 Number of Redeemable Participating Shares at beginning of financial period 13,778.07 6,994.74 - Redeemable Participating Shares issued 21,984.90 9,831.71 139,276.90 Redeemable Participating Share redeemed (2,571.02) (3,048.38) (18,048.68) Number of Redeemable Participating Shares at end of financial period 33,191.95 13,778.07 121,228.22 *Launched on 29th April 2021. London & Capital Global Growth Fixed Income Fund

Class I – GBP





Class I – USD




Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 12,436.45 16,135.14 106,968.61 100,933.99 Redeemable Participating Shares issued - - 23,468.77 45,310.96 Redeemable Participating Share redeemed (9,994.58) (3,698.69) (33,559.08) (39,276.34) Number of Redeemable Participating Shares at end of financial period 2,441.87 12,436.45 96,878.30 106,968.61

Class X – EUR


Class 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 45,821.71 5,962.92 Redeemable Participating Shares issued 14,384.55 42,542.43 Redeemable Participating Share redeemed (6,057.10) (2,683.64) Number of Redeemable Participating Shares at end of financial period 54,149.16 45,821.71


324




Class I – GBP





Class I – USD





Class X – EUR


Class 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 62,066.63 49,291.58 Redeemable Participating Shares issued 20,548.33 32,264.22 Redeemable Participating Share redeemed (1,971.49) (19,489.17) Number of Redeemable Participating Shares at end of financial period 80,643.47 62,066.63


Class I – GBP

Class* Class I – GBP


Class* Class X – GBP

Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 59.26 164.77 36.88 36.88 Redeemable Participating Shares issued - - - - Redeemable Participating Share redeemed (59.26) (105.51) (36.88) - Number of Redeemable Participating Shares at end of financial period - 59.26 - 36.88 *Terminated on 12th January 2021.


325



London & Capital Global Balanced Fund (Continued)

Class A – GBP





Class B – GBP






Class A – GBP




Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 29,984.20 62,918.89 3,874.08 3,120.98 Redeemable Participating Shares issued 176.39 575.31 5,104.38 1,050.67 Redeemable Participating Share redeemed (6,636.28) (33,510.00) (311.02) (297.57) Number of Redeemable Participating Shares at end of financial period 23,524.31 29,984.20 8,667.44 3,874.08

Class C – GBP

Class Class C – GBP

Class Class B – EUR (Hedged) Class

Class B – EUR (Hedged) Class

30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 41,684.36 60,021.85 310.00 310.00 Redeemable Participating Shares issued - - 1,724.85 - Redeemable Participating Share redeemed (14,704.83) (18,337.49) (310.00) - Number of Redeemable Participating Shares at end of financial period 26,979.53 41,684.36 1,724.85 310.00


326



Principal Asset Allocation Fund (Continued)

Class C – EUR (Hedged) Class

Class C – EUR (Hedged) Class

Class B – USD (Hedged) Class

Class B – USD (Hedged) Class

30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 1,755.63 1,849.42 13,173.51 12,758.19 Redeemable Participating Shares issued - - 4,228.31 5,320.17 Redeemable Participating Share redeemed (421.31) (93.79) (447.72) (4,904.85) Number of Redeemable Participating Shares at end of financial period 1,334.32 1,755.63 16,954.10 13,173.51

Class C – USD (Hedged) Class

Class C – USD (Hedged) Class

30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 1,662.80 11,317.74 Redeemable Participating Shares issued - - Redeemable Participating Share redeemed - (9,654.94) Number of Redeemable Participating Shares at end of financial period 1,662.80 1,662.80


Class I (Inc) –

USD Class Class I (Inc) –

USD Class

Class I (Inc) – GBP Hedged

Class

Class I (Inc) – GBP Hedged

Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 27,664.79 29,150.91 2,675,021.79 1,505,285.17 Redeemable Participating Shares issued 723.23 6,582.81 126,968.69 2,468,037.95 Redeemable Participating Share redeemed (23,085.02) (8,068.93) (1,205,700.01) (1,298,301.33) Number of Redeemable Participating Shares at end of financial period 5,303.00 27,664.79 1,596,290.47 2,675,021.79

Class I (Inc) –

GBP Class Class I (Inc) –

GBP Class Class B – GBP Hedged Class


30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 6,104.69 75,688.83 45,857.33 174,879.30 Redeemable Participating Shares issued 2,615.51 40,660.61 57,443.92 51,326.45 Redeemable Participating Share redeemed (1,647.37) (110,244.75) (34,258.50) (180,348.42) Number of Redeemable Participating Shares at end of financial period 7,072.83 6,104.69 69,042.75 45,857.33


327




Class C – GBP Hedged Class

Class C – GBP Hedged Class

Class B – USD Class

Class B – USD Class

30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 55,031.25 55,663.02 85,972.45 109,923.65 Redeemable Participating Shares issued 5,036.57 21,646.35 - 100,864.18 Redeemable Participating Share redeemed (11,415.64) (22,278.12) (7,941.22) (124,815.38) Number of Redeemable Participating Shares at end of financial period 48,652.18 55,031.25 78,031.23 85,972.45

Class A – GBP Hedged Class*

Class A – GBP Hedged Class

Class I (Inc)– EUR Hedged

Class

Class I (Inc)– EUR Hedged

Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 1,779.96 4,982.62 4,851.29 472.50 Redeemable Participating Shares issued - 1,874.68 687.78 4,570.21 Redeemable Participating Share redeemed (1,779.96) (5,077.34) (59.27) (191.42) Number of Redeemable Participating Shares at end of financial period - 1,779.96 5,479.80 4,851.29 *Terminated on 25th March 2021. TEAM International Equity Fund*

Class C – GBP

Acc Class* Class I – GBP

Acc Class* 30 Jun 2021 30 Jun 2021 Number of Redeemable Participating Shares at beginning of financial period - - Redeemable Participating Shares issued 955,052.71 829,500.00 Redeemable Participating Share redeemed - - Number of Redeemable Participating Shares at end of financial period 955,052.71 829,500.00 *Launched on 24th May 2021.


328




Class A1 – (USD Retail

Acc) Class

Class A1 – (USD Retail

Acc) Class

Class A4 – (USD Institutional

Acc) Class

Class A4 – (USD Institutional

Acc) Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 143,826.20 138,726.12 1,767,918.91 1,817,423.05 Redeemable Participating Shares issued 50,366.48 133,254.47 42,211.46 2,475,328.97 Redeemable Participating Share redeemed (94.88) (128,154.39) (298,302.51) (2,524,833.11) Number of Redeemable Participating Shares at end of financial period 194,097.80 143,826.20 1,511,827.86 1,767,918.91

Class A5 – (EUR Institutional

Acc) Class

Class A5 – (EUR Institutional

Acc) Class

Class D4 – (USD Institutional

Dist) Class

Class D4 – (USD Institutional

Dist) Class 30 Jun 2021 31 Dec 2020 30 Jun 2021 31 Dec 2020 Number of Redeemable Participating Shares at beginning of financial period 1,878,039.00 2,991,736.00 121,285.37 96,731.76 Redeemable Participating Shares issued 210,125.86 2,728,514.00 - 42,775.90 Redeemable Participating Share redeemed (643,404.00) (3,842,211.00) (54,195.42) (18,222.29) Number of Redeemable Participating Shares at end of financial period 1,444,760.86 1,878,039.00 67,089.95 121,285.37


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6. FEES AND EXPENSES

Investment Management Fees Atlantic House Defined Returns Fund Atlantic House Fund Management LLP is paid a fee from the Company monthly in arrears at the rate of 0.55% per annum of the Net Asset Value of Class B Shares, Class B (Hedged) Shares and Class I Shares and 1.30% per annum of the Net Asset Value of Class A Shares of the Fund. Reasonable out-of-pocket expenses incurred by the Investment Manager in the performance of its duties will be reimbursed by the Company as may be approved from time to time by the Directors. Investment Management fees charged for the financial period ended 30th June 2021 amounted to £3,624,310 (2020: £3,291,393), with fees payable at 30th June 2021 amounting to £1,274,469 (31st December 2020: £587,259). Atlantic House US Enhanced Equity Fund Atlantic House Fund Management LLP is paid a fee from the Company monthly in arrears at the rate of up to 0.55% per annum of the Net Asset Value of Class A Shares and Class D Shares up until 15th April 2021 and thereafter up to 0.40% per annum of the Net Asset Value of Class A Shares and Class D Shares of the Fund. Reasonable out-of-pocket expenses incurred by the Investment Manager in the performance of its duties will be reimbursed by the Company as may be approved from time to time by the Directors. The Investment Manager may waive or rebate all or part of its investment management fee to the shareholders of a Class, it being acknowledged that such waiver or rebate, if any, may differ between shareholders in different classes and that the Investment Manager will have ultimate discretion in this matter. Investment Management fees charged for the financial period ended 30th June 2021 amounted to $98,784 (2020: $171,174), with fees payable at 30th June 2021 amounting to $75,727 (31st December 2020: $23,251). The “Investment Manager capped fees” reimbursement for Atlantic House US Enhanced Equity Fund for the financial period ended 30th June 2021 amounted to $93,382 (2020: $58,841), with an amount receivable from the Investment Manager at 30th June 2021 of $88,452 (31st December 2020: $23,985). Atlantic House Total Return Fund Atlantic House Fund Management LLP is paid a fee from the Company monthly in arrears at the rate of up to 0.75% per annum of the Net Asset Value of Class A Shares, Class B Shares and Class I Shares up until 15th April 2021 and thereafter up to 0.60% per annum of the Net Asset Value of Class A Shares, Class B Shares and Class I Shares of the Fund. Reasonable out-of-pocket expenses incurred by the Investment Manager in the performance of its duties will be reimbursed by the Company as may be approved from time to time by the Directors.


330


6. FEES AND EXPENSES (Continued)

Investment Management Fees (Continued) Atlantic House Total Return Fund (Continued) The Investment Manager may waive or rebate all or part of its investment management fee to the shareholders of a Class, it being acknowledged that such waiver or rebate, if any, may differ between shareholders in different classes and that the Investment Manager will have ultimate discretion in this matter. Investment Management fees charged for the financial period ended 30th June 2021 amounted to £90,322 (2020: £62,863), with fees payable at 30th June 2021 amounting to £77,916 (31st December 2020: £64,724). The “Investment Manager capped fees” reimbursement for Atlantic House Total Return Fund for the financial period ended 30th June 2021 amounted to £42,233 (2020: £33,615), with an amount receivable from the Investment Manager at 30th June 2021 of £56,671 (31st December 2020: £89,475). Calamos Global Convertible Fund Calamos Advisors LLC will be paid a fee from the Company accrued daily and payable monthly in arrears at the rate of 1.65% per annum of the Net Asset Value of Class A Shares and Class C Shares of the Fund, at the rate of 1.05% per annum of the Net Asset Value of Class I Shares of the Fund, at the rate of 0.75% per annum of the Net Asset Value of Class Z Shares of the Fund. In respect of the Class X Shares, the Investment Manager is entitled to an investment management fee which will be payable under a separate agreement with the Investment Manager into which each Shareholder must enter prior to their initial subscription for Class X Shares of the Fund. Reasonable out-of-pocket expenses incurred by the Investment Manager in the performance of its duties will be reimbursed by the Company as may be approved from time to time by the Directors. The Investment Manager may waive or rebate all or part of its investment management fee to the shareholders of a Class, it being acknowledged that such waiver or rebate, if any, may differ between shareholders in different classes and that the Investment Manager will have ultimate discretion in this matter. Investment management fees charged for the financial period ended 30th June 2021 amounted to $3,583,898 (2020: $Nil), with fees payable at 30th June 2021 amounting to $689,311 (31st December 2020: $522,751). Causeway Defined Growth Fund Causeway Securities Limited is paid a fee from the Company monthly in arrears at the rate of 0.50% per annum of the Net Asset Value of each Class A Shares, Class A (Hedged) Shares, Class C Shares and Class C (Hedged) Shares at the rate of 1% per annum of the Net Asset Value of each Class B Shares, Class B (Hedged) Shares, Class D Shares and Class D (Hedged) Shares. Reasonable out-of-pocket expenses incurred by the Investment Manager in the performance of its duties will be reimbursed by the Company as may be approved from time to time by the Director.


331



Investment Management Fees (Continued) Causeway Defined Growth Fund (Continued) The Investment Manager may waive or rebate all or part of its investment management fee to the shareholders of a Class, it being acknowledged that such waiver or rebate, if any, may differ between shareholders in different classes and that the Investment Manager will have ultimate discretion in this matter. Investment management fees charged for the financial period ended 30th June 2021 amounted to $62,806 (2020: $7,901), with fees payable at 30th June 2021 amounting to $99,085 (31st December 2020: $36,279). The “Investment Manager capped fees” reimbursement for Causeway Defined Growth Fund for the financial period ended 30th June 2021 amounted to $63,675 (2020: $65,009), with an amount receivable from the Investment Manager of $143,714 (31st December 2020: $80,039). GSI Global Sustainable Value Fund Global Systematic Investors LLP is paid a fee from the Company monthly in arrears at the rate of 0.30% per annum, of the Net Asset Value of Class A Shares, Class B Shares and Class C Shares of the Fund. Reasonable out-of-pocket expenses incurred by the Investment Manager in the performance of its duties will be reimbursed by the Company as may be approved from time to time by the Directors. The Investment Manager may waive or rebate all or part of its investment management fee to the shareholders of a Class, it being acknowledged that such waiver or rebate, if any, may differ between shareholders in different classes and that the Investment Manager will have ultimate discretion in this matter. Investment management fees charged for the financial period ended 30th June 2021 amounted to $251,498 (2020: $124,303), with fees payable at 30th June 2021 amounting to $51,564 (31st December 2020: $34,500). The “Investment Manager capped fees” for the financial period ended 30th June 2021 amounted to $4,166 (2020: $191), with an amount receivable from the Investment Manager at 30th June 2021 of $Nil (31st December 2020: $1,779) and payable to the Investment Manager of $671 (31st December 2020: $Nil). GSI Global Sustainable Focused Value Fund Global Systematic Investors LLP is paid a fee from the Company monthly in arrears at the rates of 0.40% per annum, of the Net Asset Value of Class A Distributing Shares, and 0.28% per annum, of the Net Asset Value of Class I Accumulation Shares and Class J Distributing Shares of the Fund Reasonable out-of-pocket expenses incurred by the Investment Manager in the performance of its duties will be reimbursed by the Company as may be approved from time to time by the Director.


332



Investment Management Fees (Continued) GSI Global Sustainable Focused Value Fund (Continued) The Investment Manager may waive or rebate all or part of its investment management fee to the Shareholders of a Class, it being acknowledged that such waiver or rebate, if any, may differ between Shareholders in different Classes and that the Investment Manager will have ultimate discretion in this matter. Investment management fees charged for the financial period ended 30th June 2021 amounted to $5,167, with fees payable at 30th June 2021 amounting to $5,167. The “Investment Manager capped fees” for the financial period ended 30th June 2021 amounted to $2,070, with an amount receivable from the Investment Manager at 30th June 2021 of $2,070. London & Capital Global Balanced Fixed Income Fund, London & Capital Global Conservative Fixed Income Fund, London & Capital Global Defensive Equity Fund*, London & Capital Global Growth Fixed Income Fund and London & Capital Global Star Equity Fund London and Capital Asset Management Limited is paid a fee from the Company monthly in arrears at the rate of 1% per annum of the Net Asset Value of non Class X Shares of the Funds. Reasonable out-of-pocket expenses incurred by the Investment Manager in the performance of its duties will be reimbursed by the Company as may be approved from time to time by the Directors.

Class X Shares may only be issued to investors who have in place an agreement with the Investment Manager in relation to the collection of an investment management fee or similar fee arrangement, which is not payable from the Net Asset Value.

Investment management fees charged for the financial period ended 30th June 2021 amounted to $348,195 (2020: $413,564), with fees payable at 30th June 2021 amounting to $121,805 (31st December 2020: $112,232). *L&CGDE was closed by way of compulsory redemption on 28th August 2020.

London & Capital Global Growth Fund London and Capital Asset Management Limited is paid a fee from the Company monthly in arrears at the rate of 1% per annum of the Net Asset Value of Class I Shares up until 14th May 2019 and thereafter up to 1.50% per annum of the Net Asset Value of Class B Shares and Class I Shares of the Fund. Reasonable out-of- pocket expenses incurred by the Investment Manager in the performance of its duties will be reimbursed by the Company as may be approved from time to time by the Directors.

Class A Shares and Class X Shares may only be issued to investors who have in place an agreement with the Investment Manager in relation to the collection of an investment management fee or similar fee arrangement, which is not payable from the Net Asset Value.

Investment management fees charged for the financial period ended 30th June 2021 amounted to £259,917 (2020: £177,522), with fees payable at 30th June 2021 amounting to £110,649 (31st December 2020: £66,100).


333



Investment Management Fees (Continued) London & Capital Global Balanced Fund London and Capital Asset Management Limited is paid a fee from the Company monthly in arrears at the rate of 1% per annum of the Net Asset Value of Class I Shares up until 21st June 2019 and thereafter 1.50% per annum of the Net Asset Value of Class B Shares and Class I Shares of the Fund. Reasonable out-of-pocket expenses incurred by the Investment Manager in the performance of its duties will be reimbursed by the Company as may be approved from time to time by the Directors.

Class A Shares and Class X Shares may only be issued to investors who have in place an agreement with the Investment Manager in relation to the collection of an investment management fee or similar fee arrangement, which is not payable from the Net Asset Value.

Investment management fees charged for the financial period ended 30th June 2021 amounted to £273,021 (2020: £245,028), with fees payable at 30th June 2021 amounting to £99,103 (31st December 2020: £88,257). Principal Asset Allocation Fund The Investment Manager is paid a fee from the Company monthly in arrears at the rate of up to 0.65% per annum of the Net Asset Value of Class A GBP Shares, Class A USD (Hedged) Shares, Class A EUR (Hedged) Shares, Class A PLN (Hedged) Shares and Class A CZK (Hedged) Shares, up to 1.15% per annum of the Net Asset Value of Class B GBP Shares, Class B USD (Hedged) Shares, Class B EUR (Hedged) Shares, Class B PLN (Hedged) Shares and Class B CZK (Hedged) Shares, and up to 1.65% per annum of the Net Asset Value of Class C GBP Shares, Class C USD (Hedged) Shares, Class C EUR (Hedged) Shares, Class C PLN (Hedged) Shares and Class C CZK (Hedged) Shares, of the Sub-Fund. Reasonable out-of-pocket expenses incurred by the Investment Manager in the performance of its duties will be reimbursed by the Company as may be approved from time to time by the Directors. The Investment Manager may waive or rebate all or part of its investment management fee to the shareholders of a Class, it being acknowledged that such waiver or rebate, if any, may differ between shareholders in different classes and that the Investment Manager will have ultimate discretion in this matter. Investment management fees charged for the financial period ended 30th June 2021 amounted to £42,905 (2020: £61,914), with fees payable at 30th June 2021 amounting to £7,494 (31st December 2020: £8,245). The “Investment Manager capped fees” for the financial period ended 30th June 2021 amounted to £24,887 (2020: £11,859), with an amount receivable from the Investment Manager at 30th June 2021 of £5,021 (31st December 2020: £9,383). Semper Total Return Fund Semper Capital Management, L.P. is paid a fee from the Company monthly in arrears at the rate of 0.75% per annum of the Net Asset Value of Class A Shares and Class C Shares, 0.45% per annum of the Net Asset Value of Class I (Inc) Shares and Class B Shares of the Sub-Fund. Reasonable out-of-pocket expenses incurred by the Investment Manager in the performance of its duties will be reimbursed by the Company as may be approved from time to time by the Directors.


334



Investment Management Fees (Continued) Semper Total Return Fund (Continued) The Investment Manager may waive or rebate all or part of its investment management fee to the shareholders of a Class, it being acknowledged that such waiver or rebate, if any, may differ between shareholders in different classes and that the Investment Manager will have ultimate discretion in this matter. Investment management fees charged for the financial period ended 30th June 2021 amounted to $603,834 (2020: $571,587), with fees payable at 30th June 2021 amounting to $97,371 (31st December 2020: $126,633). The “Investment Manager capped fees” reimbursement for Semper Total Return Fund for the financial period ended 30th June 2021 amounted to $Nil (2020: $Nil), with an amount receivable from the Investment Manager of $Nil (31st December 2020: $Nil). TEAM International Equity Fund Theta Enhanced Asset Management Limited is paid a fee from the Company monthly in arrears at the rate of up to 0.50% per annum of the Net Asset Value of Class I Shares on the Valuation Point. The Investment Manager will be paid a fee from the Company monthly in arrears at the rate of up to 0.75% per annum of the Net Asset Value of Class R Shares on the Valuation Point. Class C Shares may only be issued to investors who have in place an agreement with the Investment Manager in relation to the collection of an investment management fee or similar fee arrangement, as agreed on a case by case basis with the Investment Manager, which is not payable from the Net Asset Value. Reasonable out-of-pocket expenses incurred by the Investment Manager in the performance of its duties will be reimbursed by the Company as may be approved from time to time by the Director. Investment management fees charged for the financial period ended 30th June 2021 amounted to $423, with fees payable at 30th June 2021 amounting to $423. Third Avenue Real Estate Value Fund Third Avenue Management LLC Fund is entitled to a fee from the Company monthly in arrears at the rate of up to 1.25% (plus VAT, if any) per annum of the Net Asset Value of Class A1 Shares, A3 Shares, D1 Shares and D3 Shares, and up to 0.90% (plus VAT, if any) per annum of the Net Asset Value of Class A2 Institutional Shares, A4 Institutional Shares, A5 Institutional Shares, D2 Institutional Shares, D4 Institutional Shares and D5 Institutional Income Shares of the Fund. The Investment Manager may waive or rebate all or part of its investment management fee to the shareholders of a Class, it being acknowledged that such waiver or rebate, if any, may differ between shareholders in different classes and that the Investment Manager will have ultimate discretion in this matter. Investment management fees charged for the financial period ended 30th June 2021 amounted to $556,914 (2020: $745,328), with fees payable at 30th June 2021 amounting to $92,824 (31st December 2020: $230,576).


335



Investment Management Fees (Continued) Third Avenue Real Estate Value Fund (Continued) The Investment Manager shall be entitled to be reimbursed out of the assets of the Fund for the reasonable out-of-pocket costs and expenses incurred by the Investment Manager in the performance of its duties. The “Investment Manager capped fees” reimbursement for the financial period ended 30th June 2021 amounted to $Nil (2020: $Nil), with an amount receivable from the Investment Manager at 30th June 2021 of $21,285 (31st December 2020: $53,897). Sub-Investment Management Fees Causeway Defined Growth Fund Atlantic House Fund Management LLP is paid a fee from the Company monthly in arrears at a variable rate per annum dependent on the sum of the Net Asset Value of all Share Classes. The rate will be equal to 0.40% per annum on the first EUR 50,000,000 and 0.30% per annum thereafter. Reasonable out-of-pocket expenses incurred by the Sub-Investment Manager in the performance of its duties will be reimbursed by the Company as may be approved from time to time by the Directors. Sub-Investment Management Fees charged for the financial period ended 30th June 2021 amounted to $34,125 (2020: $3,626), with fees payable at 30th June 2021 amounting to $13,581 (31st December 2020: $1,924). Manager Fees The Manager shall be entitled to receive out of the assets of each Fund a fee of 0.10% per annum of the Net Asset Value of the Fund payable monthly in arrears subject to a minimum annual fee of €75,000. The Manager will also be entitled to be reimbursed out of the assets of the Fund for all reasonable, vouched out-of-pocket expenses incurred by it on behalf of the Fund. Manager’s fees charged for the financial period ended 30th June 2021 amounted to $1,122,396 (2020: $854,974), with fees payable at 30th June 2021 amounting to $192,810 (31st December 2020: $192,895). Global Distributor and UK Facilities Agent Fee The Company will discharge, out of the Manager’s fee, the fees and expenses of the Global Distributor and UK Facilities Agent, GemCap UK Limited.


336



Formation and Organisation Costs The costs of forming the Company including the fees and expenses of legal advisers, product development fees and expenses, regulatory and listing fees and expenses and any other fees and expenses arising on the formation and launch of the Company have been expensed by the Company. In the event that new Sub-Funds are created within the Company, the formation and organisation costs relating to each new Sub-Fund, as determined by the Directors, will be charged to the new Sub-Fund and amortised over a period of five financial years in the NAV calculations. However in accordance with IFRS these costs will be written off as charged in the financial statements. Formation and Organisation Costs charged for the financial period ended 30th June 2021 were $59,036 on Calamos Global Convertible Fund, $227 on GSI Global Sustainable Focused Value Fund and £20,012 on TEAM International Equity Fund. Administration Fees The Administrator, in relation to the provision of its services is entitled to a fee payable out of the assets of each Sub-Fund accruing daily and payable monthly in arrears at the end of each calendar month, at an annual rate of up to 0.0285% of the Net Asset Value per Sub-Fund for the first €100,000,000, up to 0.023% of the Net Asset Value per Sub-Fund for the next €400,000,000 and up to 0.0155% of the Net Asset Value per Sub-Fund in excess of €500,000,000. The charges are subject to a minimum annual fee of €33,600 per Sub-Fund. The Administrator is also entitled in respect of its registrar and transfer agent services, to a fee of €1,250 per share class per annum subject to a minimum annual fee of €5,000 per Sub-Fund, exclusive of out-of-pocket expenses.


337



Administration Fees (Continued)

Below is the breakdown for administration and transfer agency fees charged and payable during and as at financial period ended 30th June 2021 and 30th June 2020:

30 June 2021 Admin fees Admin fees Transfer agency Transfer agency charged to payable at fees charged to fees payable at Sub-Fund Name 30 June 2021 30 June 2021 30 June 2021 30 June 2021

AHFM £ 46,882 80,537 64,079 34,709

AUEE $ 15,721 18,217 3,213 5,736

ATRF £ 11,080 13,184 8,352 7,788

CGCF $ 51,178 65,056 20,321 23,840

CDGF $ 20,803 23,312 17,862 17,390

GSI $ 39,321 20,376 12,403 10,574

GSFVF* $ 21,426 452 367 367

L&CGBFI $ 32,626 23,645 18,780 17,181

L&CGCFI $ 25,131 21,965 16,593 15,117

L&CGG £ 30,551 18,220 8,839 9,448

L&CGGFI $ 27,404 22,707 18,468 15,993

L&CGSE $ 59,340 34,688 20,065 17,181

L&CGB £ 26,851 16,903 9,051 9,341

PAAF £ 19,843 15,711 10,025 12,767

STRF $ 15,118 33,895 38,857 32,173

TEAM** £ 2,405 462 - -

TAREVF $ 53,353 19,640 12,944 11,338 *Launched on 22nd April 2021. **Launched on 24th May 2021.

30 June 2020 Admin fees Admin fees Transfer agency Transfer agency charged to payable at fees charged to fees payable at Sub-Fund Name 30 June 2020 30 June 2020 30 June 2020 30 June 2020

AHFM £ 118,302 116,605 4,266 5,513

AUEE $ 12,824 12,702 3,425 4,584

ATRF £ 15,605 2,521 2,726 3,617

CDGF $ 6,128 6,128 3,405 3,405

GSI $ 35,017 18,922 5,490 6,926

L&CGBFI $ 29,986 23,059 11,128 14,879

L&CGCFI $ 31,529 22,392 7,006 9,368

L&CGDE* £ 27,758 17,660 5,563 7,380

L&CGG £ 35,599 20,409 7,745 10,275

L&CGGFI $ 34,401 23,435 7,694 10,287

L&CGSE $ 53,791 29,294 11,128 14,879

L&CGB £ 29,818 19,117 7,418 9,841

PAAF £ 37,373 17,364 5,986 7,945

STRF $ 35,541 44,184 10,790 14,227

TAREVF $ 61,046 21,302 6,751 8,817 *L&CGDE was closed by way of compulsory redemption on 28th August 2020.


338



Depositary and Depositary Oversight Fees Transaction and Safekeeping fees based on the Net Asset Value of the Company's assets that vary, from 0.003% to 1.08% per annum, depending on the country in which the security is traded and held, subject to a minimum monthly fee, exclusive of transaction charges and out-of-pocket expenses, of €400 per Sub-Fund. The Sub-Fund shall also bear the cost of all sub-custodian charges and transaction charges incurred by the Depositary, or any sub-custodian, which shall not exceed normal commercial rates. The Depositary shall also be entitled to reimbursement of properly vouched out of pocket expenses incurred by the Depositary, or any sub-custodian, for the benefit of the Sub-Fund out of the assets of the Sub-Fund in respect of which such charges and expenses were incurred. Depositary Fees will be accrued daily and paid monthly in arrears. The Depositary, in respect of its depositary oversight services, shall be entitled to a fee payable out of the assets of each Sub-Fund accruing daily and payable monthly in arrears at the end of each calendar month at an annual rate of up to 0.0175% of the Net Asset Value per Sub-Fund for the first €100,000,000, up to 0.0125% of the Net Asset Value per Sub-Fund for the next €400,000,000 and up to 0.0075% of the Net Asset Value per Sub-Fund in excess of €500,000,000. The charges are subject to a minimum annual fee for each Sub-Fund, exclusive of out-of-pocket expenses, of €7,500 and an annual fee of €4,000 per Sub-Fund for cash flow monitoring and reconciliation. Depositary and depositary oversight fees charged for the financial period ended 30th June 2021 amounted to $421,702 (2020: $327,828), with fees payable at 30th June 2021 amounting to $476,693 (31st December 2020: $207,703). Directors’ Fees The Directors are entitled to remuneration which will be accrued at the each Valuation Point of each Sub-Fund and paid quarterly for their services as Directors, provided that the aggregate emoluments of such Directors in respect of any 12 month financial year shall not exceed €200,000 plus any VAT or such other amount as the Directors may determine from time to time and notify to shareholders in advance. The Directors are entitled to be reimbursed for their reasonable out of pocket expenses (including travelling expenses) incurred in discharging their duties as Directors. Directors’ fees and expenses charged for the financial period ended 30th June 2021 amounted to $96,323 (2020: $100,320), with fees payable at 30th June 2021 amounting to $32,643 (31st December 2020: $15,906). Audit Fees Audit fees charged for the financial period ended 30th June 2021 were $71,771 (2020: $62,271), with fees payable at 30th June 2021 amounting to $19,313 (31st December 2020: $37,112).


339



Other Fees and Expenses Below is the breakdown for other fees and expenses charged during the financial period ended 30th June 2021 and 30th June 2020.

AHFM AHFM AUEE AUEE ATRF ATRF CGCF

** CDGF CDGF

30 Jun

2021 30 Jun

2020 30 Jun

2021 30 Jun

2020 30 Jun

2021 30 Jun

2020 30 Jun

2021 30 Jun

2021 30 Jun

2020

£ £ $ $ £ £ $ $ $

Distribution fees - - - - - - 167,664 - -

Financial statements fees - 435 - 548 - 436 - - 454

Legal fees 4,434 7,503 6,041 9,995 4,341 5,667 74,711 5,977 4,540

MIFID fees - - - - - 322 - - -

Miscellaneous fees - - - - - - 44,443 - -

Other fees - 6,348 - - - - - - -

Paying agent fees - - - - - - 26,896 - -

Professional fees 22,477 - 6,687 - 7,068 - 61,937 6,342 -

Regulatory fees - - - - - - 38,850 - -

Risk management fees 4,886 2,610 6,898 3,288 3,865 2,618 8,358 7,180 3,178

Valuation fees* 5,166 5,221 5,379 4,946 2,151 - - 2,989 2,270

VAT fees 4,791 7,381 - 270 218 882 27,623 - - Total Other Fees and Expenses 41,754 29,498 25,005 19,047 17,643 9,925

450,482

22,488 10,442

GSI GSI GSFVF

***

L&CG

BFI L&CG

BFI

L&CG

CFI L&CG

CFI L&CG

DE****

30 Jun

2021 30 Jun

2020 30 Jun

2021 30 Jun

2021 30 Jun

2020 30 Jun

2021 30 Jun

2020 30 Jun

2020

$ $ $ $ $ $ $ £

Financial statements fees - 548 - - - - - -

Legal fees 5,977 5,513 327 5,976 5,941 5,976 5,733 29,500

Miscellaneous fees - - - 15 1 - - 5

Professional fees 12,136 - 327 7,602 297 7,092 429 1,041

Risk management fees 3,997 3,289 225 4,110 3,288 4,116 3,288 2,611

VAT fees 341 149 - - 56 - - 295 Total Other Fees and Expenses 22,451 9,499 879 17,703 9,583 17,184 9,450 33,452

*Valuation fee is fee paid to vendor, Future Value Consultant for providing independent valuation services to the funds, Atlantic House Defined Returns, Atlantic House US Enhanced Equity, Atlantic House Total Returns and Causeway Defined Growth. **Launched on 30th November 2020. ***Launched on 22nd April 2021. ****Terminated on 28th August 2020.


340



Other Fees and Expenses (Continued)

L&CG

G L&CG

G L&CG

GFI L&CG

GFI L&CG

SE L&CG

SE L&CG

B L&CG

B PAAF PAAF

30 Jun

2021 30 Jun

2020 30 Jun

2021 30 Jun

2020 30 Jun

2021 30 Jun

2020 30 Jun

2021 30 Jun

2020 30 Jun

2021 30 Jun

2020

£ £ $ $ $ $ £ £ £ £

Financial statements fees - - - - - - - - - 435

Legal fees 4,304 6,079 5,976 6,054 5,976 5,837 4,304 4,388 4,323 5,402

Miscellaneous fees 3 - 12 - 1 1 5 1 - -

Professional fees 5,570 1,417 7,285 313 8,456 862 5,562 427 7,366 1,500

Risk management fees 2,932 2,611 4,117 3,288 4,142 3,288 2,938 2,611 2,826 2,612

VAT fees - 312 - - - - - - 102 854 Total Other Fees and Expenses 12,809 10,419 17,390 9,655 18,575 9,988 12,809 7,427 14,617 10,803

STRF STRF TEAM* TARE

VF TARE

VF TOTAL*** TOTAL***

30 Jun

2021 30 Jun

2020 30 Jun

2021 30 Jun

2021 30 Jun

2020 30 Jun

2021 30 Jun

2020

$ $ £ $ $ $ $

Distribution fees 5,977 4,540 - 6,645 4,540 180,286 9,080

Financial statements fees - - - - 550 - 3,748

Legal fees 5,993 8,664 1,743 5,986 19,644 161,474 145,767

Miscellaneous fees - - - - 885 44,482 894

MIFID fees - - - - - - 406

Other fees - - - - - - 8,008

Paying agent fees - - - - - 26,896 -

Professional fees 13,739 - 872 9,023 18,189 208,545 25,622

Regulatory fees - - - - - 38,850 -

Risk management fees 4,096 3,289 601 7,064 3,289 79,361 49,257

Valuation fees** - - - - - 18,528 13,802

VAT fees 84 1,665 - 1,011 2,191 36,156 16,598 Total Other Fees and Expenses

29,889 18,158

3,216

29,729 49,288 794,578 273,182

*Launched on 24th May 2021. **Valuation fee is fee paid to vendor, Future Value Consultant for providing independent valuation services to the funds, Atlantic House Defined Returns, Atlantic House US Enhanced Equity, Atlantic House Total Returns and Causeway Defined Growth. ***Total other fees and expenses include a translation adjustment converting the results of the £ Sub-Funds to the presentation currency of the Company and has no impact on the dealing Net Asset Values of any Sub-Fund.


341


7. NET REALISED AND UNREALISED GAIN/(LOSS) ON FINAN CIAL ASSETS AND

LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS

AHFM AHFM AUEE AUEE ATRF ATRF 30 Jun

2021 30 Jun

2020 30 Jun

2021 30 Jun

2020 30 Jun

2021 30 Jun

2020 GB£ GB£ US$ US$ GB£ GB£

Net Realised Gain/(Loss) on Investment in Transferable Securities 4,620,575 931,584 856,775 (2,206,425) (84,531) (255,076) Net Change in Unrealised Gain/(Loss) on Investment in Transferable Securities 2,596,790 (1,283,513) (407,875) 1,634,090 (19,626) 294,713 Net Realised Gain/(Loss) on Investment in Financial Derivative Instruments 45,184,428 (6,406,024) 3,463,632 2,264,365 306,267 226,992 Net Change in Unrealised Gain/(Loss) on Investment in Financial Derivative Instruments 57,845,938 (91,712,671) 2,144,313 (3,950,799) 5,802 (112,865) Net Currency Gain/(Loss) 5,825 (276,264) (184) (2,220) 8,693 264,815 Net realised and unrealised gain/(loss) on financial assets at fair value through profit or loss 110,253,556 (98,746,888) 6,056,661 (2,260,989) 216,605 418,579

CGCF* CDGF CDGF GSI GSI 30 Jun

2021 30 Jun

2021 30 Jun

2020 30 Jun

2021 30 Jun

2020 US$ US$ US$ US$ US$

Net Realised Gain/(Loss) on Investment in Transferable Securities 16,339,160 (16,028) - 6,024,555 (1,798,537) Net Change in Unrealised (Loss)/Gain on Investment in Transferable Securities (731,972) (40,230) (3,167) 14,916,395 (5,354,032) Net Realised (Loss)/Gain on Investment in Financial Derivative Instruments (3,674,245) 206,305 (51,362) - (20) Net Change in Unrealised (Loss)/Gain on Investment in Financial Derivative Instruments (1,049,144) 645,782 69,353 - - Net Currency Loss (88,171) (10,131) (23,931) (87,631) (126,933) Net realised and unrealised gain/(loss) on financial assets at fair value through profit or loss 10,795,628 785,698 (9,107) 20,853,319 (7,279,522) *Launched on 30th November 2020.


342



LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS (C ontinued)

GSFVF* L&CG

BFI L&CG

BFI L&CG

CFI L&CG

CFI 30 Jun

2021 30 Jun

2021 30 Jun

2020 30 Jun

2021 30 Jun

2020 US$ US$ US$ US$ US$

Net Realised Gain/(Loss) on Investment in Transferable Securities - 224,389 (503,646) 423,018 (398,864) Net Change in Unrealised Gain/(Loss) on Investment in Transferable Securities 675,160 (523,795) (2,725,747) (511,473) (1,516,770) Net Realised Gain/(Loss) on Investment in Financial Derivative Instruments - 999,497 (1,355,263) 352,410 (540,673) Net Change in Unrealised Loss on Investment in Financial Derivative Instruments - (356,709) (902,232) (47,655) (635,318) Net Currency Gain/(Loss) 464,812 267,608 (21,577) 112,644 54,796 Net realised and unrealised gain/(loss) on financial assets at fair value through profit or loss 1,139,972 610,990 (5,508,465) 328,944 (3,036,829)

L&CG

DE** L&CG

G L&CG

G L&CG

GFI L&CG

GFI

30 Jun

2020 30 Jun

2021 30 Jun

2020 30 Jun

2021 30 Jun

2020 GB£ GB£ GB£ US$ US$ Net Realised (Loss)/Gain on Investment in Transferable Securities (11,068) 198,384 (836,120) 407,105 (286,099) Net Change in Unrealised (Loss)/Gain on Investment in Transferable Securities (470,724) 4,457,107 (91,607) (277,375) (3,165,193) Net Realised (Loss)/Gain on Investment in Financial Derivative Instruments (248,205) 659,855 (1,496,209) 315,827 (1,141,872) Net Change in Unrealised Gain/(Loss)on Investment in Financial Derivative Instruments 23,793 (458,934) 38,098 (32,165) (830,505) Net Currency Gain/(Loss) 78,136 (139,280) (6,711) 246,184 (37,758) Net realised and unrealised (loss)/gain on financial assets at fair value through profit or loss (628,068) 4,717,132 (2,392,549) 659,576 (5,461,427)

*Launched on 22nd April 2021. **Terminated on 28th August 2020.


343



LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS (C ontinued)

L&CG SE

L&CG SE

L&CG B

L&CG B PAAF PAAF

30 Jun 2021

30 Jun 2020

30 Jun 2021

30 Jun 2020

30 Jun 2021

30 Jun 2020

US$ US$ GB£ GB£ GB£ GB£

Net Realised Gain/(Loss) on Investment in Transferable Securities 1,545,997 (2,846,428) (330,563) (1,018,144) 690,854 (689,719) Net Change in Unrealised Gain/(Loss) on Investment in Transferable Securities 19,609,020 (12,957,582) 2,525,293 629,898 (105,115) 408,679 Net Realised Gain/(Loss) on Investment in Financial Derivative Instruments 2,573,401 (2,045,458) 1,315,985 (1,940,433) (373,553) 949,469 Net Change in Unrealised (Loss)/Gain on Investment in Financial Derivative Instruments (670,548) (1,676,402) (517,458) 95,854 94,061 79,862 Net Currency Gain/(Loss) 360,420 (1,648) (120,982) (32,728) (23,754) 127,183 Net realised and unrealised gain/(loss) on financial assets at fair value through profit or loss 23,418,290 (19,527,518) 2,872,275 (2,265,553) 282,493 875,474

STRF STRF TEAM* TARE

VF TARE

VF

30 Jun

2021 30 Jun

2020 30 Jun

2021 30 Jun

2021 30 Jun

2020 US$ US$ GB£ US$ US$ Net Realised Gain/(Loss) on Investment in Transferable Securities 8,311,602 (11,496,653) - 5,963,296 (10,437,805) Net Change in Unrealised (Loss)/Gain on Investment in Transferable Securities (887,813) (9,527,228) 71,479 13,838,864 (23,456,104) Net Realised Gain/(Loss)on Investment in Financial Derivative Instruments 18,212,235 (17,762,025) - (519,942) 228,245 Net Change in Unrealised Loss on Investment in Financial Derivative Instruments (14,944,773) (3,711,149) - (891,101) (893,598) Net Currency Gain/(Loss) 231,434 3,252,631 55 (39,906) 25,889 Net realised and unrealised gain/(loss) on financial assets at fair value through profit or loss 10,922,685 (39,244,424) 71,534 18,351,211 (34,533,373)

*Launched on 24th May 2021.


344


8. RELATED PARTIES

Parties are considered to be related if one party has the ability to control the other party or exercise significant influence over the other party in making financial or operational decisions. There were no transactions with related parties other than those in the normal course of business. Amounts payable to the related parties mentioned in this note at the financial period end are disclosed in Note 6. Orla Quigley, a Director of the Company, is head of legal of Gemini Capital Management (Ireland) Limited, the Manager and Global Distributor of the Company. Conor Hoey, a Director of the Company, is an executive Director of Gemini Capital Management (Ireland) Limited, the Manager and Global Distributor of the Company. Stuart Alexander, a Director of the Company, is the CEO of GemCap UK Limited, UK Facilities Agent of the Company and is also an executive Director of Gemini Capital Management (Ireland) Limited, the Manager and Global Distributor of the Company and also owns a founder share in the Company. GemCap UK Limited has also been appointed by Gemini Capital Management (Ireland) Limited to provide distribution oversight services to the Company. Distribution oversight and UK facilities agent fees are paid out of the manager’s fees. Manager’s fees charged for the financial period ended 30th June 2021 amounted to $1,122,396 (2020: $854,974), with fees payable at ended 30th June 2021 amounting to $192,810 (31st December 2020: $192,895). Investment Management fees charged for the financial period ended 30th June 2021 amounted to $11,468,914 (2020: $6,876,307), with fees payable at ended 30th June 2021 amounting to $3,404,709 (31st December 2020: $2,200,166). Expense reimbursement from Investment Manager for the financial period ended 30th June 2021 amounted to $256,488 (2020: $181,405), with fees receivable at ended 30th June 2021 amounting to $340,860 (31st December 2020: $294,888) and fees payable at ended 30th June 2021 amounting to $671 (31st December 2020: $Nil). Directors’ fees charged for the financial period amounted to $96,323 (2020: $100,320), with fees payable at 30th June 2021 amounting to $32,643 (31st December 2020: $20,597). As at 30th June 2021 and 30th June 2020, there were no Directors’ interest in shares.

9. CONNECTED PERSONS

Regulation 43 of the Central Bank UCITS Regulations “Restrictions of transactions with connected persons” states that “A responsible person shall ensure that any transaction between a UCITS and a connected person is conducted a) at arm’s length; and b) in the best interest of the shareholders of the UCITS”.

As required under Central Bank UCITS Regulation 78.4, the Directors, as responsible persons are satisfied that there are arrangements in place, evidenced by written procedures, to ensure that the obligations that are prescribed by Regulation 43(1) are applied to all transactions with a connected party and all transactions with connected parties that were entered into during the period to which the report relates complied with the obligations that are prescribed by Regulation 43(l). The Directors are satisfied that the transactions with connected parties during the financial period were carried out as if negotiated at arm's length and in the best interests of the Shareholders.


345


10. NAV HISTORY

30 Jun 31 Dec 31 Dec 2020 2020 2019 Atlantic House Defined Returns Fund Class B – GBP Class Reported NAV £1,119,049,854 £1,020,236,802 £984,231,531 Reported NAV per share £1.6649 £1.5339 £1.5361 Class B (Hedged) – USD Class Reported NAV $21,737,104 $12,519,612 $17,975,405 Reported NAV per share $1.2988 $1.1964 $1.1647 Class B (Hedged) – EUR Class Reported NAV €7,803,108 €4,837,592 €4,675,947 Reported NAV per share €1.1902 €1.1009 €1.0966 Class I – GBP Class Reported NAV £257,457,864 £219,896,232 £205,516,457 Reported NAV per share £1.1141 £1.0473 £1.0915 Class I – GBP Dist Class* Reported NAV £3,599,178 £2,616,655 - Reported NAV per share £1.1051 £1.0440 - Atlantic House US Enhanced Equity Fund Class A – USD Class Reported NAV $42,852,264 $49,539,092 $70,645,703 Reported NAV per share $2.2050 $1.9260 $1.6844

Atlantic House Total Return Fund Class A – GBP Class Reported NAV £32,670,646 £19,176,304 £17,452,038 Reported NAV per share £1.1451 £1.1109 £1.0286

*Launched on 8th July 2020.


346


10. NAV HISTORY (Continued)

30 Jun 31 Dec 31 Dec 2021 2020 2019 Calamos Global Convertible Fund Class I (Inc) – USD Class* Reported NAV $8,018,295 $7,416,820 - Reported NAV per share $17.9231 $17.4707 - Class A – USD Class* Reported NAV $206,592,964 $171,458,314 - Reported NAV per share $20.0940 $19.6452 - Class A – GBP Class* Reported NAV £91,184 £95,295 - Reported NAV per share £15.0717 £14.7745 - Class C – USD Class* Reported NAV $31,094,279 $28,698,738 - Reported NAV per share $21.9588 $21.5751 - Class C – EUR Class* Reported NAV €150,031 €210,470 - Reported NAV per share €14.7809 €14.6083 - Class X – USD Class* Reported NAV $8,962,375 $34,360,710 - Reported NAV per share $25.1133 $24.3523 - Class I – USD Class* Reported NAV $154,132,399 $125,753,127 - Reported NAV per share $26.3945 $25.7282 - Class I – GBP Class* Reported NAV £1,836,539 £1,467,923 - Reported NAV per share £16.1919 £15.8300 - Class A (Inc) – USD Class* Reported NAV $11,225,405 $10,471,720 - Reported NAV per share $14.4522 $14.1294 - Class C (Inc) – USD Class* Reported NAV $1,375,716 $1,414,749 - Reported NAV per share $14.5622 $14.3076 - Class A – EUR Class* Reported NAV €6,025,928 €5,503,713 - Reported NAV per share €13.9020 €13.6801 - Class I – EUR Class* Reported NAV €6,177,985 €6,471,479 - Reported NAV per share €18.3491 €17.9932 - Class Z – CHF Class* Reported NAV CHF16,778,960 CHF15,654,642 - Reported NAV per share CHF14.3192 CHF14.0455 - Class Z – EUR Class* Reported NAV €81,390,627 €21,071,353 - Reported NAV per share €15.2075 €14.9070 - Class Z – GBP Class* Reported NAV £15,436,805 £1,330,498 - Reported NAV per share £17.8443 £17.4115 - Class Z – USD Class* Reported NAV $85,489,830 $121,115,392 - Reported NAV per share $15.5677 $15.1522 -

*Launched on 30th November 2020.


347



30 Jun 31 Dec 31 Dec 2021 2020 2019 Causeway Defined Growth Fund Class B – GBP Hedged Class* Reported NAV £2,979,403 £2,865,339 - Reported NAV per share £1.0765 £1.0411 - Class B – USD Class* Reported NAV $2,103,157 $1,253,932 - Reported NAV per share $1.0931 $1.0551 - Class A – USD Class** Reported NAV $7,043,414 $3,079,369 - Reported NAV per share $1.1000 $1.0590 - Class A – GBP Hedged Class*** Reported NAV £1,987,853 $1,826,184 - Reported NAV per share £1.0832 $1.0450 - Class C – USD Class**** Reported NAV $700,160 $472,705 - Reported NAV per share $1.0079 $0.9952 - Class C (Hedged) – GBP Class***** Reported NAV £1,179,584 £481,494 - Reported NAV per share £1.0378 £1.0265 - Class B (Hedged) – EUR Class****** Reported NAV €710,906 €92,165 - Reported NAV per share €1.0336 €1.0241 - Class D (Hedged) – GBP Class******* Reported NAV £727,156 £248,696 - Reported NAV per share £1.0345 £1.0258 - Class D – USD Class******** Reported NAV $1,269,687 $117,013 - Reported NAV per share $1.0106 $1.0003 - Class A (Hedged) – EUR Class********* Reported NAV €151,583 - - Reported NAV per share €1.0215 - - Class C – EUR Class********** Reported NAV €211,786 - - Reported NAV per share €0.9933 - -

*Launched on 31st January 2020. **Launched on 2nd April 2020. ***Launched on 25th February 2020. ****Launched on 12th March 2020. *****Launched on 5th November 2020. ******Launched on 10th August 2020. *******Launched on 6 th November 2020. ********Launched on 16 th November 2020. *********Launched on 8 th January 2021. **********Launched on 28 th April 2021.


348



30 Jun 31 Dec 31 Dec 2021 2020 2019 GSI Global Sustainable Value Fund Class A – GBP Class Reported NAV £115,668,959 £90,069,970 £50,733,371 Reported NAV per share £182.7651 £162.8569 £156.0230 Class B – GBP Class Reported NAV £16,889,897 £14,243,645 £4,519,583 Reported NAV per share £121.3264 £107.4027 £101.0853 Class C – EUR Class Reported NAV €1,211,035 €858,306 €265,928 Reported NAV per share €120.3399 €102.2177 €101.4794

GSI Global Sustainable Focused Value Fund* Class A – GBP Dist Class* Reported NAV £118,334 - - Reported NAV per share £101.0166 - - Class I – GBP Acc Class* Reported NAV £20,726,454 - - Reported NAV per share £101.0176 - - Class J – GBP Dist Class* Reported NAV £28,524,278 - - Reported NAV per share £101.0173 - -

London & Capital Global Balanced Fixed Income Fund Class I – USD Class Reported NAV $797,067 $812,576 $1,592,961 Reported NAV per share $127.3733 $126.1508 $120.4646 Class I – GBP Class Reported NAV £4,021,818 £4,227,300 £10,130,592 Reported NAV per share £119.0149 £118.0025 £114.6641 Class X – USD Class Reported NAV $10,120,402 $12,587,455 $17,024,896 Reported NAV per share $108.6524 $109.3438 $107.1029 Class X – GBP Class Reported NAV £45,573,639 £33,438,059 £21,785,858 Reported NAV per share £101.2422 £101.3089 £100.6571 Class X – EUR Class Reported NAV €7,474,750 €7,213,749 €472,169 Reported NAV per share €91.2720 €91.7487 €90.8300 Class I – EUR Class** Reported NAV €854,790 - - Reported NAV per share €100.5636 - -

*Launched on 22nd April 2021. **Launched on 3rd February 2021.


349



30 Jun 31 Dec 31 Dec 2021 2020 2019 London & Capital Global Conservative Fixed Income Fund Class I – USD Class Reported NAV $678,506 $196,854 $303,821 Reported NAV per share $114.1058 $113.1888 $108.9291 Class I – GBP Class Reported NAV £1,634,048 £2,479,594 £9,907,836 Reported NAV per share £111.0310 £110.2952 £107.6799 Class X – USD Class Reported NAV $1,742,927 $3,074,446 $7,262,038 Reported NAV per share $103.2405 $106.2597 $104.1839 Class X – GBP Class Reported NAV £11,246,343 £11,349,908 £12,726,818 Reported NAV per share £97.0330 £97.0563 £96.2903 Class X – EUR Class* Reported NAV - - €46,426 Reported NAV per share - - €90.2100

London & Capital Global Defensive Equity Fund** Class I – GBP Class Reported NAV - - £6,106,266 Reported NAV per share - - £115.3267 Class X – USD Class Reported NAV - - $4,264,518 Reported NAV per share - - $123.0354 Class X – GBP Class Reported NAV - - £7,026,669 Reported NAV per share - - £113.8548 Class X – EUR Class Reported NAV - - €93,555 Reported NAV per share - - €115.4700

London & Capital Global Growth Fund Class I – GBP Class*** Reported NAV - £1,137 £9,231 Reported NAV per share - £100.7923 £94.8734 Class A – USD Class Reported NAV $4,115,181 $1,576,361 $752,577 Reported NAV per share $123.9813 $114.4109 $107.5920 Class A – GBP Class Reported NAV £10,972,046 £4,785,940 £4,039,212 Reported NAV per share £121.8221 £112.6219 £106.5828 Class B – USD Class Reported NAV $9,216,233 $3,561,948 $3,172,904 Reported NAV per share $124.9354 $115.4668 $106.8555 Class B – GBP Class Reported NAV £49,680,790 £38,133,726 £37,464,306 Reported NAV per share £121.4916 £112.3859 £105.9146 Class B – EUR Class**** Reported NAV €12,345,770 - - Reported NAV per share €101.8391 - -

*Terminated on 16th November 2020. **L&CGDE was closed by way of compulsory redemption on 28th August 2020. ***Terminated on 12th January 2021. ****Launched on 29th April 2021.


350



30 Jun 31 Dec 31 Dec 2021 2020 2019 London & Capital Global Growth Fixed Income Fund Class I – USD Class Reported NAV $332,621 $1,667,011 $2,045,398 Reported NAV per share $136.2161 $134.0423 $126.7667 Class I – GBP Class Reported NAV £5,114,906 £4,422,343 £11,014,902 Reported NAV per share £127.0953 £125.2077 £121.0180 Class X – USD Class Reported NAV $10,880,692 $11,998,864 $11,011,351 Reported NAV per share $112.3130 $112.1718 $109.0946 Class X – GBP Class Reported NAV £24,530,848 £19,985,592 £18,116,441 Reported NAV per share £106.0262 £105.7478 £104.9680 Class X – EUR Class Reported NAV €5,190,970 €4,394,344 €564,302 Reported NAV per share €95.8643 €95.9009 €94.6400

London & Capital Global Star Equity Fund Class I – USD Class Reported NAV $25,348,718 $22,137,129 $19,939,097 Reported NAV per share $186.3348 $166.6730 $158.1729 Class I – GBP Class Reported NAV £20,530,990 £21,204,159 £20,595,892 Reported NAV per share £171.7544 £153.9118 £149.6976 Class X – USD Class Reported NAV $57,396,336 $58,506,727 $53,123,717 Reported NAV per share $178.2141 $159.6532 $152.9426 Class X – GBP Class Reported NAV £88,148,026 £62,500,247 £38,829,848 Reported NAV per share £159.2197 £142.7376 £139.8608 Class X – EUR Class Reported NAV €11,355,188 €7,853,619 €6,108,671 Reported NAV per share €140.8073 €126.5353 €123.9300


351



30 Jun 31 Dec 31 Dec 2021 2020 2019 London & Capital Global Balanced Fund Class I – GBP Class* Reported NAV - £7,326 £19,528 Reported NAV per share - £123.6191 £118.5158 Class X – GBP Class* Reported NAV - £4,398 £4,174 Reported NAV per share - £119.2427 £113.1635 Class A – USD Class Reported NAV $2,578,061 $1,025,505 $916,517 Reported NAV per share $115.1634 $109.2232 $104.4081 Class A – GBP Class Reported NAV £11,793,983 £5,132,833 £4,099,275 Reported NAV per share £112.9056 £107.6266 £103.7620 Class B – USD Class Reported NAV $9,273,283 $10,201,749 $7,727,314 Reported NAV per share $115.7186 $109.9771 $103.9418 Class B – GBP Class Reported NAV £48,936,440 £45,840,364 £46,300,099 Reported NAV per share £113.2016 £107.6394 £103.2235

Principal Asset Allocation Fund Class A – GBP Class Reported NAV £2,397,541 £2,930,372 £5,539,464 Reported NAV per share £101.9176 £97.7305 £88.0413 Class B – GBP Class Reported NAV £836,987 £358,753 £260,383 Reported NAV per share £96.5668 £92.6036 £83.4299 Class B – USD (Hedged) Class Reported NAV $1,692,807 $1,261,377 $1,098,643 Reported NAV per share $99.8465 $95.7510 $86.1100 Class B – EUR (Hedged) Class Reported NAV €177,003 €28,289 €25,753 Reported NAV per share €102.6192 €91.2541 €83.0700 Class C – GBP Class Reported NAV £2,319,795 £3,489,549 £4,657,231 Reported NAV per share £85.9835 £83.7136 £77.5923 Class C – USD (Hedged) Class Reported NAV $168,176 $163,580 $1,027,416 Reported NAV per share $101.1403 $98.3762 $90.7800 Class C – EUR (Hedged) Class Reported NAV €111,455 €143,339 €141,435 Reported NAV per share €83.5294 €81.6453 €76.4800

*Terminated on 11th January 2021.


352



30 Jun 31 Dec 31 Dec 2021 2020 2019 Semper Total Return Fund Class B – GBP Hedged Class Reported NAV £6,528,212 £4,169,243 £17,963,043 Reported NAV per share £94.5532 £90.9177 £102.7168 Class B – USD Class Reported NAV $7,579,491 $8,015,898 $11,508,430 Reported NAV per share $97.1341 $93.2380 $104.6948 Class C – GBP Hedged Class Reported NAV £4,161,763 £4,586,278 £5,465,946 Reported NAV per share £85.5412 £83.3395 £98.1971 Class I (Inc) – GBP Class Reported NAV £576,254 £482,942 £7,703,789 Reported NAV per share £81.4743 £79.1100 £101.7823 Class I (Inc) – GBP Hedged Class Reported NAV £138,409,252 £226,110,456 £147,977,218 Reported NAV per share £86.7068 £84.5266 £98.3051 Class I (Inc) – USD Class Reported NAV $483,415 $2,435,363 $2,969,497 Reported NAV per share $91.1589 $88.0311 $101.8664 Class A – GBP Hedged Class* Reported NAV - £156,969 £509,162 Reported NAV per share - £88.1867 £102.1875 Class I (Inc) – EUR Hedged Class Reported NAV €495,038 €422,260 €46,973 Reported NAV per share €90.3387 €87.0408 €99.4144

TEAM International Equity Fund** Class C – GBP Acc Class** Reported NAV £978,322 - - Reported NAV per share £1.0244 - - Class I – GBP Acc Class** Reported NAV £849,295 - - Reported NAV per share £1.0239 - -

Third Avenue Real Estate Value Fund Class A1 – USD Retail Acc Class Reported NAV $12,467,123 $7,872,358 $8,308,935 Reported NAV per share $64.2311 $54.7352 $59.8945 Class A4 – USD Institutional Acc Class Reported NAV $66,775,457 $66,427,320 $74,376,529 Reported NAV per share $44.1687 $37.5737 $40.9242 Class A5 – EUR Institutional Acc Class Reported NAV €31,461,381 €34,977,667 €62,641,231 Reported NAV per share €21.7762 €18.6246 €20.9381 Class D4 – USD Institutional Dist Class Reported NAV $766,118 $1,178,198 $1,030,004 Reported NAV per share $11.4193 $9.7143 $10.6480

*Terminated on 25th March 2021. **Launched on 24th May 2021.


353


11. NAV RECONCILIATION

The net asset value in the financial statements as at 30th June 2021 differs from that included in the published valuations as at 30th June 2021. The difference is due to the change in methodology in accounting for organisation costs as prescribed by IFRS, and the methodology indicated in the most recent Prospectus. This does not have any effect on the published or dealing Net Asset Values of any of the Sub-Funds and all amounts are immaterial in nature. The above mentioned NAVs are the reported NAVs.

12. DIVIDEND POLICY

For Atlantic House Defined Returns Fund, the Class A Shares, Class B Shares and Class B (Hedged) Shares are accumulating Classes and therefore, it is not currently intended for the Company to declare and distribute dividends to the Shareholders in each Class. Any income and earnings and gains on these Classes will be accumulated and reinvested on behalf of shareholders. The Class I Shares are intended to be a distributing Class and as such the Company may, at its discretion, declare dividends on the Class I Shares in the Fund quarterly as at May 4, August 4, November 4 and February 4 and/or at such other periodic intervals as shall be determined by the Company, and notified to Shareholders at that time. Class I Distribution 4% Shares will distribute a quarterly dividend equal to 1% of the Fund’s Net Asset Value and Class I Distribution 5% Shares will distribute a quarterly dividend equal to 1.25% of the Fund’s Net Asset Value. Such distributions made from the Class I Shares may be declared out of the capital of the Fund. Such distributions, when declared, will be paid by electronic transfer within two months thereafter.

The following dividends per share were declared with ex-date 5th February 2021 and paid on 15th February 2021:

Sub-Fund Name Class I – GBP Class Class I –

GBP Dist Class Atlantic House Defined Returns Fund £0.010499 £0.013083

The following dividends per share were declared with ex-date 5th May 2021 and paid on 14th May 2021:

Sub-Fund Name Class I –

GBP Class Class I –

GBP Dist Class Atlantic House Defined Returns Fund £0.011061 £0.013749

For Atlantic House US Enhanced Equity Fund, the Class A Shares is an accumulating Class and therefore, it is not currently intended to distribute dividends to the Shareholders of the Class A Shares. The income and earnings and gains of the Class A Shares will be accumulated and reinvested on behalf of Shareholders. The Class D Shares are intended to be a distributing Class and as such the Company may, at its discretion, distribute capital on the Class D Shares in the Fund quarterly as at, May 4, August 4, November 4 and February 4 and/or at such other periodic intervals as shall be determined by the Company, and notified to Shareholders at that time. Such distributions made from the Class D Shares may be declared out of the capital of the Fund. Such distributions, when declared, will be paid by electronic transfer within two months thereafter. For Atlantic House Total Return Fund, the Class A Shares and Class B Shares are accumulating Classes and therefore, it is not currently intended for the Company to declare and distribute dividends to the Shareholders in each Class. Any income and earnings and gains on these Classes will be accumulated and reinvested on behalf of shareholders.


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12. DIVIDEND POLICY (Continued)

The Class I Shares are intended to be a distributing Class and as such the Company may, at its discretion, declare dividends on the Class I Shares in the Fund quarterly as at May 4, August 4, November 4 and February 4 and/or at such other periodic intervals as shall be determined by the Company, and notified to Shareholders at that time. Such distributions made from the Class I Shares may be declared out of the capital of the Fund. Such distributions, when declared, will be paid by electronic transfer within two months thereafter. For Calamos Global Convertible Fund, it is not intended that dividends be declared and distributed in the Accumulating Shares. Any income and earnings and gains on these Classes will be accumulated and reinvested on behalf of Shareholders. The Directors intend to declare a dividend in respect of the Shares which are identified as distributing Classes. All of the Fund’s income and capital gains will be reinvested in accordance with the investment objectives and investment policies of the Fund except in respect of the distributing Classes. The Directors intend to declare a dividend quarterly in March, June, September and December in respect of the distributing Classes of the Fund. Dividends for the distributing Classes may, at the sole discretion of the Directors, be paid from the Fund’s net income and realised gains net of realised losses and net unrealised losses. For Causeway Defined Growth Fund the Class A Shares, Class A (Hedged) Shares, Class B Shares and Class B (Hedged) Shares are accumulating Classes and therefore, it is not currently intended for the Company to declare and distribute dividends to the Shareholders in each Class. Any income and earnings and gains on these Classes will be accumulated and reinvested on behalf of Shareholders. The Class C Shares, Class C (Hedged) Shares, Class D Shares and Class D (Hedged) Shares are intended to be distributing Classes and as such the Company may, at its discretion, declare dividends on the Class C Shares, Class C (Hedged) Shares, Class D Shares and Class D (Hedged) Shares in the Fund quarterly as at May 4, August 4, November 4 and February 4 and/or at such other periodic intervals as shall be determined by the Company, and notified to Shareholders at that time. The Class C Shares, Class C (Hedged) Shares, Class D Shares and Class D (Hedged) Shares will each distribute a quarterly dividend equal to 1.25% of the Fund’s Net Asset Value. Such distributions may be declared out of the capital of the Fund and, when declared, will be paid by electronic transfer within two months thereafter. The following dividends per share were declared with ex-date 4th February 2021 and paid on 12th February 2021:

Sub-Fund Name Class C

– USD Class Class C (Hedged)

– GBP Class Class D

– USD Class Causeway Defined Growth Fund $0.012439 £0.012824 $0.012498

Class D (Hedged)

– GBP Class

£0.012810 The following dividends per share were declared with ex-date 4th May 2021 and paid on 13th May 2021:

Sub-Fund Name Class C (Hedged)

– GBP Class Class D

– USD Class Class D (Hedged)

– GBP Class Causeway Defined Growth Fund £0.013045 $0.012708 £0.013014


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For GSI Global Sustainable Value Fund, the Class B Shares and Class C Shares in the Fund are accumulating Classes and therefore, it is not currently intended to distribute dividends to the Shareholders of the Class B Shares or Class C Shares. The income and earnings and gains of the Class B Shares and Class C Shares will be accumulated and reinvested on behalf of Shareholders. It is the current intention of the Directors to declare dividends in respect of the distributing Class A Shares. Such dividends in respect of Class A Shares, at the sole discretion of the Directors, may be paid out of net income together with the net realised and unrealised capital gains (net of realised and unrealised losses) of the Fund. Such dividends may also be declared out of the capital of the Fund. Such dividends will usually be declared semi-annually on the last Business Day in May and November (or at a time and frequency to be determined at the discretion of the Directors following prior notification to the Shareholders). Dividends will be automatically reinvested in additional Shares of the same Class unless the Shareholder has specifically elected on the Application Form or subsequently notified the Administrator in writing of its requirement to be paid in cash sufficiently in advance of the declaration of the next distribution payment. The following dividends per share were declared with ex-date 28th May 2021 and paid on 11th June 2021:

Sub-Fund Name Class A – USD Class GSI Global Sustainable Value Fund $1.664000

For GSI Global Sustainable Focused Value Fund, the Class I Accumulation Shares in the Fund is an accumulating Class and therefore it is not currently intended to distribute dividends to the Shareholders of the Class I Accumulation Shares. The income, earnings, and gains of the Class I Accumulation will be accumulated and reinvested on behalf of Shareholders. It is the current intention of the Directors to declare dividends in respect of the Class A Distributing Shares and Class J Distributing Shares. Such dividends in respect of Class A Distributing Shares and Class J Distributing Shares, at the sole discretion of the Directors, may be paid out of net income together with the net realised and unrealised capital gains (net of realised and unrealised losses) of the Fund. Such dividends may also be declared out of the capital of the Fund. Such dividends will usually be declared semi-annually on the last Business Day in May and November (or at a time and frequency to be determined at the discretion of the Directors following prior notification to the Shareholders). Dividends will be automatically reinvested in additional Shares of the same Class unless the Shareholder has specifically elected on the Application Form or subsequently notified the Administrator in writing of its requirement to be paid in cash sufficiently in advance of the declaration of the next distribution payment. For London & Capital sub-funds the Company may, at its discretion, declare dividends on any class of shares in the Fund at such intervals as shall be determined by the Company, and notified to shareholders at that time. Such dividends may be declared out of the capital of the Funds. Dividends will be paid by electronic transfer within two months thereafter.


356



The following dividends per share were declared with ex-date 7th April 2021 and paid on 14th April 2021:

Sub-Fund Name Class X – GBP



Class

London & Capital Global Balanced Fixed Income Fund £1.383776 $2.278515 €1.404223

London & Capital Global Conservative Fixed Income Fund £1.135654 $4.384400 -

London & Capital Global Growth Fixed Income Fund £1.840169 $2.217240 €1.645389

London & Capital Global Star Equity Fund £0.785357 $1.102381 €0.665828

Class A – GBP


Class

London & Capital Global Growth Fund £0.511474 $0.347956

London & Capital Global Balanced Fund £0.817811 $0.277879 For Principal Asset Allocation Fund the Company may, at its discretion, declare dividends on any class of share in the Fund at such intervals as shall be determined by the Company, and notified to shareholders at that time. Dividends will be paid by electronic transfer within two months thereafter. For Semper Total Return Fund the Class I (Inc) Shares and Class C Shares are intended to be distributing Shares and as such the Company may, at its discretion, declare dividends on the Class I (Inc) Shares and Class C Shares in the Fund quarterly as at 1 March, 1 June, 1 September, 1 December and/or at such other periodic intervals as shall be determined by the Company, and notified to Shareholders at that time. Such distributions made from the Class I (Inc) Shares and Class C Shares may be declared out of the capital of the Fund. Such distributions, when declared, will be paid by electronic transfer within two months thereafter. The Class A Shares and Class B Shares are accumulating Classes and therefore, it is not currently intended for the Company to declare and distribute dividends to the Shareholders in each Class. Any income and earnings and gains on these Classes will be accumulated and reinvested on behalf of Shareholders. The following dividends per share were declared with ex-date 1st March 2021 and paid on 8th March 2021:

Sub-Fund Name Class I (Inc) – GBP

Hedged Class Class I (Inc) – USD

Class Class C – GBP Hedged Class

Semper Total Return Fund £0.550977 $0.537177 £0.460203 The following dividends per share were declared with ex-date 1st June 2021 and paid on 9th June 2021:

Sub-Fund Name Class I (Inc) – GBP

Hedged Class Class C – GBP Hedged Class

Semper Total Return Fund £0.653268 £0.560214


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For TEAM International Equity Fund, the Shares designated as Distribution Shares, dividends will, at the sole discretion of the Company, be paid biannually within five business days of the last business day in March and September (and/or at such other periodic intervals as shall be determined by the Company, and notified to Shareholders at that time). Dividends may be paid out of net income together with the net realised and unrealised capital gains (net of realised and unrealised losses) of the Fund. Shares designated as Accumulation Shares, are accumulating share classes and therefore it is not currently intended for the Company to declare and distribute dividends to the Shareholders in these share classes. Any income and earnings and gains on these share classes will be accumulated and reinvested on behalf of Shareholders. For Third Avenue Real Estate Value Fund the Company may, at its discretion, declare dividends on Class D1, Class D2, Class D3, Class D4 and Class D5 Shares in the Fund annually. These dividends will be paid within 30 days of the date of that declaration. Dividends will be paid by telegraphic transfer or bank transfer unless Shareholders specifically request that dividends be re-invested by subscription for additional Shares of the same Class. Additional Shares will be issued to Shareholders on the same day if it is a Dealing Day, or if not, on the next Dealing Day at a price calculated in the same way as for other issues of the relevant Class on this date but without incurring any subscription fee. There is no minimum of such further Shares which may be so subscribed. Class A1 Shares, Class A2 Shares (GBP Institutional), Class A3 Shares, Class A4 Shares (USD Institutional) and Class A5 Shares (Euro Institutional) are accumulation shares and therefore carry no right to any dividend. The net income attributable to the Shares shall be retained within the Fund and the value of the Shares will rise accordingly.

13. SIGNIFICANT EVENTS DURING THE FINANCIAL PERIOD

On 11th January 2021, the termination and compulsory repurchase of Class X Shares and Class I Shares in the London & Capital Global Balanced Fund and London & Capital Global Growth Fund took effect. On 11th January 2021, updated supplements for London & Capital Global Balanced Fund and London & Capital Global Growth Fund were noted by the Central Bank of Ireland. Principal changes to each Sub-Fund were: clarification that the fixed income securities the Sub-Funds may invest in includes exchange traded commodities (ETCs), removing reference to Class X and Class I shares, removing the following sentence in respect of the administrator’s fee: “The maximum annual fee for fund accounting activities is €100,000 and the maximum annual fee for shareholder services activities is €100,000”, incorporating that the Sub-Funds are actively managed without reference to any benchmark and additionally in respect of London & Capital Global Growth Fund that the Investment Manager may typically allocate between 50% and 90% of the Net Asset Value rather than 60%-100% to equities. On 21st January 2021, an updated supplement for TEAM International Equity Fund was noted by the Central Bank of Ireland, changing the valuation point to the close of business of the relevant market on the Dealing Day. On 25th January 2021, an updated supplement for London & Capital Global Star Equity Fund was noted by the Central Bank of Ireland. Principal changes were: changing the investment policy of the Sub-Fund to remove the reference to “and may be close to 30 different holdings” in “The Fund's holding range is diversified and it is expected that the actual number of securities will be a minimum of 16 securities and may be close to 30 different holdings.”, removing the following sentence in respect of the administrator’s fee: “The maximum annual fee for fund accounting activities is €100,000 and the maximum annual fee for shareholder services activities is €100,000” and incorporating the index used as a performance target for the Sub-Fund.


358


13. SIGNIFICANT EVENTS DURING THE FINANCIAL PERIOD (Continued)

On 29th January 2021, an updated supplement for the Principal Asset Allocation Fund was noted by the Central Bank of Ireland. Principal changes were: to change the benchmark used for performance comparison purposes, clarification that the corporate bonds rated BB or higher by Standard and Poor's that the Sub-Fund invests in may also have an equivalent rating with Moody’s or Fitch, inclusion of an entry charge of up to 5.00% which may be deducted from subscription money before the remainder is used to subscribe for shares in respect of Class A shares and removing the following sentence in respect of the administrator’s fee: “The maximum annual fee for fund accounting activities is €100,000 and the maximum annual fee for shareholder services activities is €100,000”. On 18th February 2021, a revised supplement for the Semper Total Return Fund was noted by the Central Bank of Ireland following an extraordinary general meeting of the shareholders of the Sub-Fund to approve certain changes. Principal changes were: amendment to the investment policies of the Sub-Fund to reflect that the Sub-Fund invests primarily in US securities, with up to 10% of its assets in global (i.e. non-US) securities, change to number of decimal places for the issue, transfer or conversion of Shares from four to three and incorporating the benchmark used for performance comparison purposes. Karen Nolan replaced Stuart Alexander as Chairperson of the Company with effect from 23rd February 2021. On 10th March 2021, the Fifth Addendum to the Prospectus was noted by the Central Bank of Ireland. The Fifth Addendum incorporates into the prospectus and supplements certain pre-contractual disclosures required by the implementation of the Sustainable Finance Disclosure Regulation (SFDR). On 15th March 2021, a revised supplement for the Third Avenue Real Estate Value Fund was noted by the Central Bank of Ireland to incorporate that the Sub-Fund is considered to be actively managed without reference to any benchmark. On 24th March 2021, termination and compulsory repurchase of Class A GBP Hedged Shares in the Semper Total Return Fund took effect. On 25th March 2021, an amended supplement for Causeway Defined Growth Fund was noted by the Central Bank of Ireland, incorporating two new classes, Class C (Hedged) Distributing Shares in Euro and Class D (Hedged) Distributing Shares in Euro. On 16th April 2021, amended supplements for Atlantic House Defined Returns Fund, Atlantic House US Enhanced Equity Fund, Atlantic House Total Return Fund and Causeway Defined Growth Fund were noted by the Central Bank of Ireland. Principal changes were as follows: change of legal status of the investment manager of Atlantic House Defined Return Fund, Atlantic House US Enhanced Equity Fund, Atlantic House Total Return Fund and sub-investment manager of Causeway Defined Growth Fund from Atlantic House Fund Management LLP to Atlantic House Investments Limited; reduction of the investment manager’s fee for Atlantic House US Enhanced Equity Fund from 0.55% to 0.40% and reduction of the investment manager’s fee for Atlantic House Total Return Fund from 0.75% to 0.60%. On 22nd April 2021, a new Sub-Fund GSI Global Sustainable Focused Value Fund was launched. On 30th April 2021, a new Sub-Fund Atlantic House Global Defined Returns Fund was approved by the Central Bank of Ireland. This Sub-Fund had not yet launched at the financial period end date. On 24th May 2021, a new Sub-Fund TEAM International Equity Fund was launched.


359


13. SIGNIFICANT EVENTS DURING THE FINANCIAL PERIOD (Continued)

On 28th May 2021, a revised supplement for Calamos Global Convertible Fund was noted by the Central Bank of Ireland. The principal change was to reduce the Sub-Fund’s investment limit in collective investment schemes from 20% to 10% of its net asset value. There were no other significant events during the financial period to note.

14. TAXATION

The Company will be regarded as resident for tax purposes in Ireland if it is centrally managed and controlled in Ireland. It is intended that the Directors of the Company will conduct the affairs of the Company in a manner that will allow for this. The Directors have been advised that the Company is an investment undertaking within the meaning of Section 739B of the Taxes Consolidation Act (“TCA”) and therefore is not chargeable to Irish tax on its relevant income or relevant gains so long as the Company is resident for tax purposes in Ireland only. On this basis, under current Irish law and practice it should generally not be chargeable to Irish tax on its income and gains. However, Irish tax may still arise on occurrence of a “Chargeable Event” in respect of the Company. Shareholders, other than Irish residents, who complete a declaration confirming that they are neither Irish residents nor ordinarily residents, will not be liable to Irish tax on income or gains arising to them from their investment in the Company and no tax will be deducted on distributions from the Company or payments by the Company in respect of a redemption or other disposal of their investment. In the absence of an appropriate declaration, the Company will be liable to Irish tax on the occurrence of a chargeable event. A chargeable event includes any distribution to shareholders or any redemption or transfer of shares. A chargeable event does not include: (i) any transactions in relation to shares held in a recognised clearing system as designated by order of the Revenue Commissioners of Ireland; (ii) an exchange of shares representing one Portfolio for another Portfolio of the Company; (iii) an exchange of shares arising on a qualifying amalgamation or reconstruction of the Company with another fund; or (iv) certain exchanges of shares between spouses and former spouses. Capital gains, dividends and interest received may be subject to withholding taxes imposed by the country of origin and such taxes may not be recoverable by the Company or its shareholders.


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15. EXCHANGE RATES USED IN THIS REPORT

The following exchange rates were used for AHFM, ATRF and TEAM to translate assets and liabilities into one £:

30 Jun 31 Dec 2021 2020 Canadian Dollar - 1.741495 Euro 1.164896 1.117200 Hong Kong Dollar - 10.599141 Indonesia Rupee - 19,206.82872 Japanese Yen 153.327147 141.130739 Swiss Franc 1.276944 1.208315 United States Dollar 1.381450 1.366950

The following exchange rates were used for AUEE & CDGF to translate assets and liabilities into one $:

30 Jun 31 Dec 2021 2020 Euro 0.843241 0.817294 Great British Pound 0.723877 0.731556 Japanese Yen 110.990009 103.24499

The following exchange rates were used for CGCF, GSI, GSFVF, STRF and TAREVF to translate assets and liabilities into one $:

30 Jun 31 Dec 2021 2020 Australian Dollar 1.333422 1.297101 Canadian Dollar 1.239600 1.272899 Danish Krone 6.271244 6.092397 Euro 0.843348 0.818565 Great British Pound 0.722909 0.731261 Hong Kong Dollar 7.764277 7.752479 Israelische Schekel 3.260154 3.213450 Japanese Yen 111.094941 103.255011 South Korean Won - 1,085.776330 New Zealand Dollar 1.430615 1.389854 Norwegian Krone 8.610150 8.574270 Singapore Dollar 1.344701 1.321599 Swedish Krona 8.558127 8.227609 Swiss Franc 0.925250 0.885300 South African Rand - 14.684719

The following exchange rates were used for L&CGBFI, L&CGCFI, L&CGGFI and L&CGSE to translate assets and liabilities into one $:

30 Jun 31 Dec 2021 2020 Brazillian Real 5.017838 - Canadian Dollar - 1.274001 Euro 0.843241 0.817294 Great British Pound 0.723877 0.731556 Indian Rupee 74.327338 - Mexican Peso 19.910403 - Norwegian Krone 8.605185 8.561937 Swiss Franc 0.924350 0.883950


361


15. EXCHANGE RATES USED IN THIS REPORT (Continued)

The following exchange rates were used for L&CGG and L&CGB to translate assets and liabilities into one £:

30 Jun 31 Dec 2021 2020 Brazilian Real 6.931893 7.100228 Canadian Dollar 1.710649 1.741495 Euro 1.164896 1.117200 Indian Rupee 102.679501 - Mexican Peso 27.505226 27.237133 Norwegian Krone 11.887633 11.703740 Swiss Franc 1.276944 1.208315 United States Dollar 1.381450 1.366950

The following exchange rates were used for PAAF to translate assets and liabilities into one £:

30 Jun 31 Dec 2021 2020 Danish Krone 8.675012 8.331353 Euro 1.166603 1.119388 Japanese Yen - 141.201227 Norwegian Krone 11.910420 11.725315 Poland New Zloty 5.274517 - Swedish Krona 11.838457 11.251255 Swiss Franc 1.279898 1.210647 United States Dollar 1.383300 1.367500

16. COMMITMENTS AND CONTINGENT LIABILITIES

At the financial period end date, the Company had no commitments and contingent liabilities.

17. SOFT COMMISSION ARRANGEMENTS The Investment Manager may effect transactions through the agency of another person with whom the Investment Manager has an arrangement under which that party will, from time to time, provide or procure for the Investment Manager as research. Under such arrangements, no direct payment is made or required to be made for such services or benefits, but instead the Investment Manager undertakes to place business with that party. For the avoidance of doubt, such services do not include travel, accommodation, entertainment, general administrative goods or services, general office equipment or premises, membership fees, employees’ salaries or direct money payments. In such case, the Investment Manager as the case may be, shall ensure that such arrangements shall assist in the provision of investment services to the relevant Sub-Fund and the broker/counterparty to the arrangement has agreed to provide best execution to the relevant Sub-Fund. During the period ended 30th June 2021, only Calamos Advisors LLC have entered into such research arrangements with brokers in respect of which services used to support the investment decision process were received. During the year ended 31st December 2020, only Calamos Advisors LLC and Third Avenue Management LLC entered into such research arrangements.


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18. SUBSEQUENT EVENTS

On 22nd July 2021, a revised supplement for GSI Global Sustainable Focused Value Fund was noted by the Central Bank of Ireland. The principal change was to add a new share class, Class K Accumulation Shares denominated in Euro. There were no other significant events to note after the financial period end.

19. APPROVAL OF FINANCIAL STATEMENTS

The Directors authorised the financial statements for issue on 24th August 2021.

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