MARLBOROUgH GLOBAL BOND FUNDfunds.marlboroughfunds.com/uploads/documents... · Distributions (pence per unit) Year 2019 Year 2018 Year 2017 Year 2016 Class A Income Net income paid

INTERIM REPORT AND UNAUDITED FINANCIAL STATEMENTS

for the six month period ended 20 August 2019

MARLBOROUgHGLOBAL BOND FUND

MARLBOROUGH GLOBAL BOND FUND Authorised Fund Manager and Registrar Marlborough Fund Managers Ltd Marlborough House 59 Chorley New Road Bolton BL1 4QP Investor Support: (0808) 145 2500 (FREEPHONE) Authorised and Regulated by the Financial Conduct Authority. Trustee HSBC Bank plc 8 Canada Square London E14 5HQ Authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority. Auditor Barlow Andrews LLP Carlyle House 78 Chorley New Road Bolton BL1 4BY Directors of Marlborough Fund Managers Limited Andrew Staley Chairman Nicholas F J Cooling Deputy Chairman Allan Hamer Joint Managing Director Wayne D Green Joint Managing Director Dom Clarke Finance Director Geoffrey Hitchin Investment Director Helen Derbyshire Director – Compliance & Risk Richard Goodall Director – Strategy & Business Development Guy Sears Non-Executive Director David Kiddie Non-Executive Director

MARLBOROUGH GLOBAL BOND FUND

CONTENTS PAGE

AUTHORISED INVESTMENT ADVISER’S REPORT 1

AUTHORISED STATUS AND GENERAL INFORMATION 3

DIRECTORS’ STATEMENT 3

COMPARATIVE TABLE 4

SYNTHETIC RISK AND REWARD INDICATOR 7

PORTFOLIO STATEMENT 8

PORTFOLIO TRANSACTIONS 19

UNAUDITED INTERIM FINANCIAL STATEMENTS

STATEMENT OF TOTAL RETURN 20

STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO UNITHOLDERS 20

BALANCE SHEET 21

NOTES TO THE INTERIM FINANCIAL STATEMENTS 21

MARLBOROUGH GLOBAL BOND FUND AUTHORISED INVESTMENT ADVISER’S REPORT for the six month period ended 20 August 2019 Percentage change and sector position to 20 August 2019

Six months 1 year 3 years 5 years Since launch* Marlborough Global Bond Fund 11.17% 10.59% 15.43% 40.99% 941.63% IA Global Bond sector 9.02% 8.51% 11.51% 29.43% 410.49% Quartile Ranking** 2 2 1 2 1

* 5 August 1987. ** Based on ranking within The Investment Association Global Bond sector. External Source of Economic Data: Morningstar (Class P Inc - bid to bid, net income reinvested). Class P units first priced on 2 January 2013. In the period to that date, the past performance information for the Class A shares has been used.

This period has seen a substantial price rise in the Fund with the Class P Income unit price rising from 153.65p to 166.02p. There has also been a payment of 2.398293p per Class P income unit relating to the period. The outlook for global growth and inflation combined with the continuing uncertainties around Brexit remain the main factors in the future prospects for the Fund. Global growth continues to decelerate, and inflation rates remain at or below the annual rate of 2% which is targeted by the majority of the G10 central banks. As a result, the central banks are continuing to stimulate their economies, the latest being the European Central Bank which reduced its interest rate further so that it is now -0.5%. Since the growth and inflation rates are not changing much the major influence on bond prices now seems to be how far the central banks are changing their policies in line with expectations or whether they are adding to or reducing the level of stimulus. This means that there are changes to bond prices, but as long as interest rates remain at the current low level, or indeed fall further, bond funds will continue to benefit.

The two biggest downside risks to global growth are probably the ongoing uncertainty over trade tensions and the risk that the global industrial slowdown feeds through into much slower growth in the more resilient services sector. The fact that the employment sector is still performing reasonably well is an offsetting factor. The overall picture seems to be supportive for global bonds as the downside risks mean that worldwide, interest rates generally will stay low and may move closer to the levels currently being seen in Europe and Japan. So far as Brexit is concerned different outcomes would have different effects for the Fund. Falls in sterling help the Fund because of its overseas exposure and such falls are more likely in the event of no deal; this would also help sterling bonds. A rise in sterling would not help the Fund but this would be mitigated to some extent by the holdings denominated in sterling within the Fund. On the currency side we still believe in further strength for the US dollar. Although their interest rates have begun to fall, interest rate differentials between major countries should not change much and therefore the US rate should remain attractive compared to other developed countries. In addition, the increased risks of a substantial global downturn make the Japanese yen and Swiss franc, two currencies popular when global risks rise, increasingly attractive. Geoff Hitchin 10 October 2019

1

MARLBOROUGH GLOBAL BOND FUND AUTHORISED INVESTMENT ADVISER’S REPORT for the six month period ended 20 August 2019 Distributions (pence per unit)

Year 2019 Year 2018 Year 2017 Year 2016 Class A Income Net income paid 20 April 1.810480 1.821583 2.243373 1.768417 Net income paid 20 October 1.815287 1.973280 2.159536 1.829073 Class A Accumulation Net income paid 20 April 3.171708 3.113435 3.629520 2.867764 Net income paid 20 October 3.219139 3.411149 3.634770 3.037106 Class B Income Net income paid 20 April 2.189568 2.211911 2.668563 2.220380 Net income paid 20 October 2.201310 2.346335 2.548315 2.114439 Class B Accumulation Net income paid 20 April 2.634278 2.584453 2.906881 2.441444 Net income paid 20 October 2.685159 2.780100 2.931247 2.403872 Class P Income Net income paid 20 April 2.384560 2.413466 2.860746 2.331407 Net income paid 20 October 2.398293 2.538970 2.748873 2.283423 Class P Accumulation Net income paid 20 April 2.971242 2.911252 3.248111 2.631999 Net income paid 20 October 3.036529 3.111826 3.258839 2.619453

Portfolio changes

Largest purchases Cost (£) Largest sales Proceeds (£)

Principal Financial Group 3.7% 15.05.29 2,727,684 Barclays Bank 14% Step-Up Perp 2,000,000 Sainsbury (J) 2.875% Perp 2,407,400 Sainsbury (J) 6.5% Perp 1,926,480 Fidelity National Info Services 2.602% 2,343,860 RWE 7% Perp 1,800,000 Barclays Bank 10% 21.05.21 1,879,060 Anglo American Capital 4.75% 10.04.27 1,611,468 Merck 2.875% 25.06.79 1,847,975 Telecom Italia 6.375% 24.06.19 1,450,000 Hartford Financial Serv Group 6.625% 1,740,036 TP ICAP 5.25% 11.06.19 1,394,000 Enel 5.75% 22.06.37 1,463,620 Applied Materials 5.1% 01.10.35 1,318,819 Pension Insurance 8% 23.11.26 1,453,500 Northern Gas Ntwrks Finance 5.875% 1,200,000 Westlake Chemical 1.625% 17.07.29 1,450,786 Principal Financial Group 3.7% 15.05.29 1,112,485 A2D Funding 4.75% 18.10.22 1,439,845 WPP Finance 6.375% 06.11.20 1,086,290

Other purchases 69,003,815 Other sales 17,827,550

Total purchases for the period 87,757,581 Total sales for the period 32,727,092

2

MARLBOROUGH GLOBAL BOND FUND AUTHORISED STATUS AND GENERAL INFORMATION Authorised status Marlborough Global Bond Fund (the Fund) is an authorised unit trust scheme within the meaning of The Financial Services and Markets Act 2000 and is a UCITS scheme operating under the Collective Investment Schemes Sourcebook (COLL) as issued by the Financial Conduct Authority. Investment objective The investment objective of the Fund is to provide both income and capital growth by investing mainly in fixed interest securities. The Fund may, in addition to its other investment powers, use cash and near cash (which includes money market instruments and deposits) and exchange traded and over the counter derivatives and forward currency contracts for hedging and investment purposes. Using these investment powers for investment purposes means, in particular, maintaining positions in these investments for the long term rather than just for tactical short-term purposes. The Fund may also invest in other transferable securities and units/shares in collective investment schemes. Furthermore use may be made of stock lending and borrowing and other investment techniques permitted in the COLL. The use of these investment powers is also limited to prevent the global exposure exceeding the total net value of the Fund’s portfolio. A risk management process is in place to monitor the exposure. The Fund’s investment powers in relation to derivatives mean that for regulatory purposes it will be regarded as a high volatility fund. However, the use of derivative techniques will have the overall intention of reducing the volatility of returns, reflecting the investment policy for the Fund generally. Rights and terms attaching to each unit class Each unit of each class represents a proportional entitlement to the assets of the Fund. The allocation of income and taxation and the rights of each unit in the event the Fund is wound up are on the same proportional basis. Changes in prospectus With effect from 1 April 2019 the Fund has changed from a dual priced unit trust to a single priced unit trust and is operating a ‘swinging’ single price mechanism. Also, on that date, the initial service charge that applied to P class units was removed. An initial service charge will still be applied to class A and class B units. Details of these charges can be found in the Prospectus. Up to date Key Investor Information Documents, Prospectus and Long Reports and Financial Statements for any fund within the manager’s range can be requested by the investor at any time. DIRECTORS’ STATEMENT This report has been prepared in accordance with the requirements of the Collective Investment Schemes Sourcebook as issued and amended by the Financial Conduct Authority. ALLAN HAMER JOINT MANAGING DIRECTOR G R HITCHIN INVESTMENT DIRECTOR MARLBOROUGH FUND MANAGERS LTD 15 October 2019

3

MARLBOROUGH GLOBAL BOND FUND COMPARATIVE TABLE Income units were first offered at 50p on 5 August 1987. On 31 December 2012, the existing units were reclassified as Class A units and Class B and P units became available for purchase.

Class A income units Period to Year to Year to Year to Change in net assets per unit 20.08.2019 20.02.2019 20.02.2018 20.02.2017

pence pence pence pence Opening net asset value per unit 148.74 149.18 153.67 136.30 Return before operating charges* 16.94 5.12 1.34 23.61 Operating charges (0.91) (1.78) (1.85) (2.17) Return after operating charges* 16.03 3.34 (0.51) 21.44 Distributions on income units (1.82) (3.78) (3.98) (4.07) Closing net asset value per unit 162.95 148.74 149.18 153.67

* after direct transaction costs of: 0.00 0.00 0.02 0.00

Performance Return after charges 10.78% 2.24% -0.33% 15.73%

Other information Closing net asset value £29,283,171 £28,516,870 £25,415,927 £12,569,604 Closing number of units 17,970,665 19,172,892 17,036,806 8,179,738 Operating charges 1.18%A 1.18% 1.19% 1.19% Direct transaction costs 0.00%A 0.00% 0.01% 0.00%

Prices Highest unit price 165.33p 162.80p 168.84p 168.60p Lowest unit price 147.12p 147.22p 150.57p 136.99p

Class A accumulation units Period to Year to Year to Year to Change in net assets per unit 20.08.2019 20.02.2019 20.02.2018 20.02.2017

pence pence pence pence Opening net asset value per unit 263.75 258.00 259.01 224.04 Return before operating charges* 30.05 8.84 2.13 38.56 Operating charges (1.62) (3.09) (3.14) (3.59) Return after operating charges* 28.43 5.75 (1.01) 34.97 Distributions on accumulation units (3.22) (6.58) (6.75) (6.67) Retained distributions on accumulation units 3.22 6.58 6.75 6.67 Closing net asset value per unit 292.18 263.75 258.00 259.01





A These figures have been annualised.

4

MARLBOROUGH GLOBAL BOND FUND COMPARATIVE TABLE

Class B income units Period to Year to Year to Year to Change in net assets per unit 20.08.2019 20.02.2019 20.02.2018 20.02.2017

pence pence pence pence Opening net asset value per unit 148.62 149.06 153.55 136.16 Return before operating charges* 16.96 5.13 1.34 23.29 Operating charges (0.53) (1.03) (1.07) (1.12) Return after operating charges* 16.43 4.10 0.27 22.17 Distributions on income units (2.20) (4.54) (4.76) (4.78) Closing net asset value per unit 162.85 148.62 149.06 153.55


Performance Return after charges 11.06% 2.75% 0.18% 16.28%

Other information Closing net asset value £462,627 £304,375 £1,611,780 £1,474,411 Closing number of units 284,074 204,796 1,081,321 960,209 Operating charges 0.68%A 0.68% 0.69% 0.69% Direct transaction costs 0.00%A 0.00% 0.01% 0.00%


Class B accumulation units Period to Year to Year to Year to Change in net assets per unit 20.08.2019 20.02.2019 20.02.2018 20.02.2017

Pence pence pence pence Opening net asset value per unit 181.50 176.64 176.83 152.20 Return before operating charges* 20.70 6.09 1.05 25.89 Operating charges (0.64) (1.23) (1.24) (1.26) Return after operating charges* 20.06 4.86 (0.19) 24.63 Distributions on accumulation units (2.69) (5.41) (5.52) (5.31) Retained distributions on accumulation units 2.69 5.41 5.52 5.31 Closing net asset value per unit 201.56 181.50 176.64 176.83



Other information Closing net asset value £1,644,523 £1,951,279 £2,653,440 £2,482,865 Closing number of units 815,889 1,075,109 1,502,133 1,404,127 Operating charges 0.68%A 0.68% 0.69% 0.69% Direct transaction costs 0.00%A 0.00% 0.01% 0.00%


A These figures have been annualised.

5

MARLBOROUGH GLOBAL BOND FUND COMPARATIVE TABLE

Class P income units Period to Year to Year to Year to Change in net assets per unit 20.08.2019 20.02.2019 20.02.2018 20.02.2017

pence pence pence pence Opening net asset value per unit 148.88 149.31 153.81 136.38 Return before operating charges* 17.00 5.14 1.34 23.31 Operating charges (0.33) (0.65) (0.68) (0.74) Return after operating charges* 16.67 4.49 0.66 22.57 Distributions on income units (2.40) (4.92) (5.16) (5.14) Closing net asset value per unit 163.15 148.88 149.31 153.81





Class P accumulation units Period to Year to Year to Year to Change in net assets per unit 20.08.2019 20.02.2019 20.02.2018 20.02.2017

Pence pence pence pence Opening net asset value per unit 188.56 183.06 182.41 156.63 Return before operating charges* 21.52 6.31 1.47 26.64 Operating charges (0.42) (0.81) (0.82) (0.86) Return after operating charges* 21.10 5.50 0.65 25.78 Distributions on accumulation units (3.04) (6.08) (6.17) (5.87) Retained distributions on accumulation units 3.04 6.08 6.17 5.87 Closing net asset value per unit 209.66 188.56 183.06 182.41





A These figures have been annualised. Operating charges are the same as the ongoing charges and are the total expenses paid by each unit class in the period. Direct transaction costs are the total charges for the period, included in the purchase and sale of investments in the portfolio of the Fund. These amounts are expressed as a percentage of the average net asset value over the period and the average units in issue for the pence per unit figures.

6

MARLBOROUGH GLOBAL BOND FUND SYNTHETIC RISK AND REWARD INDICATOR Lower risk Higher risk Typically lower rewards Typically higher rewards

The synthetic risk and reward indicator above aims to provide you with an indication of the overall risk and reward profile of the Fund. It is calculated based on the volatility of the Fund using weekly historic returns over the last five years. If five years data is not available for a fund, the returns of a representative portfolio are used. The Fund has been measured as 3 because it has experienced low to moderate volatility historically. During the period the synthetic risk and reward indicator has remained unchanged.

1 2 3 4 5 6 7

7


PORTFOLIO STATEMENTas at 20 August 2019

Bid Percentage ofvalue total net assets

£ %AUSTRALIA (1.47%, February 2019 - 0.96%)

GBP 504,000 AMP Group Finance Services 6.875% 23.08.22 541,457 0.11USD 850,000 Australia & New Zealand Banking Group 4.5% 19.03.24 747,907 0.15GBP 1,750,000 BHP Billiton Finance FRN 22.10.77 1,981,035 0.41AUD 1,070,000 General Property Trust 3.657% 24.08.26 655,522 0.13GBP 500,000 Pacific National Finance 5% 19.09.23 559,020 0.12USD 1,200,000 QBE Insurance Group 5.875% 17.06.46 1,052,460 0.22GBP 1,000,000 Scentre Group Trust 1/2 2.375% 08.04.22 1,027,860 0.21USD 680,000 Scentre Group Trust 1/2 3.25% 28.10.25 578,794 0.12

Total Australia 7,144,055 1.47

AUSTRIA (0.21%, February 2019 - 0.22%)EUR 472,428 Kaerntner Ausgleichszahlungs-Fonds 0% 14.01.32 434,586 0.09EUR 500,000 UNIQA Insurance Group FRN 27.07.46 560,353 0.12

Total Austria 994,939 0.21

BELGIUM (0.83%, February 2019 - 0.96%)GBP 480,000 Anheuser-Busch InBev 2.25% 24.05.29 499,934 0.10USD 512,000 Anheuser-Busch InBev Worldwide 4.439% 06.10.48 478,844 0.10USD 400,000 Anheuser-Busch InBev Worldwide 4.95% 15.01.42 386,846 0.08EUR 1,200,000 Ethias 5% 14.01.26 1,284,677 0.26EUR 1,300,000 Solvay Finance 5.869% Perp 1,402,722 0.29

Total Belgium 4,053,023 0.83

BERMUDA (0.93%, February 2019 - 1.27%)USD 1,731,000 Aircastle 5% 01.04.23 1,526,236 0.31USD 296,000 Bermuda 4.854% 06.02.24 270,114 0.06GBP 860,000 Fidelity International 6.75% 19.10.20 909,278 0.19GBP 630,000 Fidelity International 7.125% 13.02.24 771,750 0.16EUR 1,000,000 XLIT 3.25% 29.06.47 1,018,026 0.21

Total Bermuda 4,495,404 0.93

BRAZIL (0.68%, February 2019 - 0.73%)BRL 3,000,000 Brazil 10.25% 10.01.28 747,228 0.15USD 1,800,000 Fibria Overseas Finance 5.5% 17.01.27 1,606,344 0.33USD 1,100,000 JBS Investments 6.75% 15.02.28 982,748 0.20

Total Brazil 3,336,320 0.68

CANADA (1.61%, February 2019 - 1.87%)GBP 900,000 Bank of Nova Scotia 1.25% 08.06.22 907,830 0.19USD 1,000,000 Bank of Nova Scotia 2.45% 19.09.22 839,058 0.17USD 716,000 Canadian National Railway 6.25% 01.08.34 854,254 0.18USD 800,000 Canadian Pacific Railway 6.125% 15.09.15 988,266 0.20USD 1,800,000 Kinross Gold 6.875% 01.09.41 1,723,745 0.35USD 1,000,000 Toronto-Dominion Bank 3.625% 15.09.31 859,284 0.18USD 1,900,000 Transcanada Trust 5.875% 15.08.76 1,648,377 0.34

Total Canada 7,820,814 1.61

CAYMAN ISLANDS (0.07%, February 2019 - 0.08%)USD 400,000 Kuwait Projects 5% 15.03.23 348,146 0.07

Total Cayman Islands 348,146 0.07

CHINA (0.19%, February 2019 - 0.36%)USD 1,100,000 Huarong Finance 4.5% Perp 917,399 0.19

Total China 917,399 0.19

Holding ornominal value

8




£ %COLUMBIA (0.21%, February 2019 - 0.21%)

USD 1,050,000 Ecopetrol 5.875% 28.05.45 1,000,083 0.21Total Columbia 1,000,083 0.21

COSTA RICA (0.07%, February 2019 - 0.07%)USD 480,000 Instituto Costarricense de Electricidad 6.375% 15.05.43 326,487 0.07

Total Costa Rica 326,487 0.07

CZECH REPUBLIC (0.14%, February 2019 - 0.14%)USD 650,000 CEZ 5.625% 03.04.42 659,669 0.14

Total Czech Republic 659,669 0.14

DENMARK (0.32%, February 2019 - 0.37%)NOK 4,000,000 AP Moller-Maersk 3.3% 22.06.26 377,804 0.08GBP 450,000 AP Moller-Maersk 4% 04.04.25 486,585 0.10GBP 500,000 Ørsted 4.875% 12.01.32 674,360 0.14

Total Denmark 1,538,749 0.32

FINLAND (0.34%, February 2019 - Nil)USD 1,650,000 UPM-Kymmene 7.45% 26.11.27 1,656,259 0.34

Total Finland 1,656,259 0.34

FRANCE (3.27%, February 2019 - 3.41%)EUR 100,000 Arkema 4.75% Perp 96,484 0.02GBP 1,200,000 AXA 5.453% Perp 1,344,600 0.28USD 360,000 AXA 8.6% 15.12.30 429,352 0.09USD 600,000 BNP Paribas 7.625% Perp 519,919 0.11GBP 260,000 Cie de Saint-Gobain 4.625% 09.10.29 324,867 0.07GBP 200,000 CNP Assurances 7.375% 30.09.41 221,050 0.05GBP 260,000 Crédit Agricole 7.5% Perp 296,400 0.06GBP 500,000 Crédit Agricole 8.125% Perp 505,110 0.10EUR 1,400,000 Crédit Agricole Assurances 4.75% 27.09.48 1,529,128 0.31GBP 100,000 Électricité de France 5.5% 17.10.41 150,733 0.03GBP 1,800,000 Électricité de France 6% Perp 1,976,922 0.41EUR 1,000,000 Engie 3.875% Perp 1,030,353 0.21GBP 700,000 Engie 7% 30.10.28 1,036,560 0.21EUR 1,280,000 La Mondiale 5.05% Perp 1,345,192 0.28GBP 400,000 Orange 0.375% 27.06.21 391,732 0.08EUR 1,000,000 Orange 5% Perp 1,108,250 0.23GBP 800,000 Orange 5.625% 23.01.34 1,148,720 0.24USD 850,000 Pernod Ricard 3.25% 08.06.26 739,523 0.15EUR 220,000 Société Générale 6.75% Perp 214,360 0.04EUR 1,400,000 Total 3.369% Perp 1,461,936 0.30

Total France 15,871,191 3.27

GEORGIA (0.04%, February 2019 - 0.04%)USD 200,000 Georgian Railway 7.75% 11.07.22 181,174 0.04

Total Georgia 181,174 0.04

GERMANY (3.96%, February 2019 - 4.12%)USD 600,000 Allianz 5.5% Perp 499,420 0.10EUR 400,000 Bilfinger 4.5% 14.06.24 382,153 0.08GBP 550,000 BMW International Investment 1.75% 19.04.22 559,152 0.12GBP 260,000 Commerzbank 6.625% 30.08.19 260,289 0.05USD 500,000 Daimler Finance North America 3.35% 04.05.21 420,884 0.09GBP 1,200,000 Daimler International Finance 2% 04.09.23 1,234,440 0.25GBP 400,000 Deutsche Bahn Finance 3.125% 24.07.26 453,784 0.09


9




£ %GERMANY (continued)

DKK 10,000,000 Deutsche Finance (Netherlands) 0% 18.11.26 1,013,319 0.21EUR 200,000 Deutsche Telekom 0.5% 05.07.27 189,072 0.04GBP 650,000 Deutsche Telekom International Finance 2.25% 13.04.29 673,751 0.14USD 300,000 Dresdner Funding Trust I 8.151% 30.06.31 336,053 0.07USD 410,000 E.ON International Finance 6.65% 30.04.38 469,992 0.10USD 1,050,000 EnBW 5.125% 05.04.77 901,431 0.19GBP 800,000 Henkel 0.875% 13.09.22 802,600 0.17GBP 300,000 innogy Finance 5.625% 06.12.23 354,390 0.07GBP 550,000 innogy Finance 6.25% 03.06.30 773,569 0.16GBP 650,000 innogy Finance 6.5% 20.04.21 705,985 0.15USD 2,800,000 KFW 0% 18.04.36 1,651,657 0.34NZD 1,100,000 Landwirtschaftliche Rentenbank 5.375% 23.04.24 689,954 0.14EUR 2,000,000 Merck 2.875% 25.06.79 1,957,082 0.40GBP 300,000 Munich Re FRN 26.05.42 339,105 0.07USD 200,000 Norddeutsche Landesbank Girozentrale 6.25% 10.04.24 149,021 0.03EUR 200,000 OTE 3.5% 09.07.20 188,628 0.04EUR 300,000 OTE 4.375% 02.12.19 278,368 0.06USD 650,000 Rheinland-Pfalz Bank 6.875% 23.02.28 695,862 0.14GBP 400,000 Volkswagen Financial Services 1.875% 07.09.21 404,100 0.08EUR 1,900,000 Volkswagen International Finance 3.875% Perp 1,814,322 0.37USD 1,200,000 ZF North America Capital 4.5% 29.04.22 1,022,445 0.21

Total Germany 19,220,828 3.96

HONG KONG (0.37%, February 2019 - 0.41%)USD 2,100,000 AIA Group 3.2% 11.03.25 1,810,915 0.37

Total Hong Kong 1,810,915 0.37

INDIA (0.32%, February 2019 - 0.38%)EUR 200,000 ONGC Videsh 2.75% 15.07.21 192,597 0.04USD 1,650,000 REC 3.068% 18.12.20 1,373,337 0.28

Total India 1,565,934 0.32

INDONESIA (0.47%, February 2019 - 0.48%)USD 1,600,000 Indonesia 6.625% 17.02.37 1,816,982 0.37USD 480,000 Pertamina 6% 03.05.42 481,034 0.10

Total Indonesia 2,298,016 0.47

ISRAEL (0.24%, February 2019 - 0.34%)EUR 1,480,000 Teva Pharmaceutical Finance Netherlands II 4.5% 01.03.25 1,164,971 0.24

Total Israel 1,164,971 0.24

ITALY (2.03%, February 2019 - 1.92%)GBP 200,000 Assicurazioni Generali 6.269% Perp 211,142 0.04EUR 500,000 Enel 3.375% 24.11.81 481,804 0.10GBP 1,500,000 Enel 5.75% 22.06.37 2,139,990 0.44GBP 1,350,000 Eni Finance International 4.75% 28.01.21 1,411,735 0.29GBP 2,500,000 FCA Bank (Ireland) 1.625% 29.09.21 2,503,350 0.52GBP 1,600,000 Leonardo 8% 16.12.19 1,632,016 0.34USD 330,000 Meccanica Holdings USA 6.25% 15.01.40 292,676 0.06GBP 1,050,000 Telecom Italia 5.875% 19.05.23 1,158,906 0.24

Total Italy 9,831,619 2.03

JAPAN (0.60%, February 2019 - 0.69%)USD 420,000 Dai-ichi Life Insurance 7.25% Perp 374,334 0.08USD 475,000 Mitsui Sumitomo Insurance FRN 15.03.72 430,049 0.09USD 460,000 Nippon Life Insurance 5% 18.10.42 403,466 0.08

nominal valueHolding or

10




£ %JAPAN (continued)

USD 550,000 Sumitomo Life Insurance 6.5% 20.09.73 509,795 0.10AUD 2,000,000 Sumitomo Mitsui Finance Group 3.604% 07.03.23 1,193,935 0.25

Total Japan 2,911,579 0.60

JERSEY (0.33%, February 2019 - 0.38%)GBP 1,500,000 British Land (White) 2015 0% 09.06.20 1,478,850 0.30GBP 130,000 The Great Rolling Stock Co 6.25% 27.07.20 135,725 0.03

Total Jersey 1,614,575 0.33

LUXEMBOURG (0.69%, February 2019 - 0.66%)USD 750,000 Actavis Funding 4.75% 15.03.45 667,470 0.14CAD 1,644,000 European Bank for Rec & Dev 0.5% 20.12.28 885,153 0.18SEK 4,000,000 European Investment Bank 1.25% 12.05.25 367,704 0.08EUR 1,400,000 SES 5.625% Perp 1,421,511 0.29

Total Luxembourg 3,341,838 0.69

MEXICO (0.57%, February 2019 - 0.64%)EUR 650,000 America Movil 6.375% 06.09.73 716,777 0.15AUD 600,000 Corporación Andina de Fomento 6.25% 08.11.23 396,267 0.08EUR 650,000 Fomento Economico Mexicano 1.75% 20.03.23 630,897 0.13EUR 1,000,000 United Mexican States 3% 06.03.45 1,028,058 0.21

Total Mexico 2,771,999 0.57

NETHERLANDS (2.18%, February 2019 - 2.07%)EUR 450,000 Achmea 4.25% Perp 449,967 0.09GBP 160,000 Aegon 6.625% 16.12.39 266,354 0.05USD 2,400,000 AerCap Ireland Capital 3.65% 21.07.27 2,010,104 0.41USD 855,000 Ahold Finance USA 6.875% 01.05.29 920,998 0.19GBP 1,182,000 Brit Insurance Holdings 6.625% 09.12.30 1,201,349 0.25GBP 260,000 Coöperatieve Rabobank 4.625% 23.05.29 308,701 0.06USD 500,000 Heineken 3.5% 29.01.28 441,817 0.09GBP 266,815 Highbury Finance 7.017% 20.03.23 305,623 0.06GBP 1,200,000 ING Groep 3% 18.02.26 1,285,368 0.26USD 200,000 Koninklijke KPN 8.375% 01.10.30 225,088 0.05USD 400,000 Koninklijke Philips 6.875% 11.03.38 493,564 0.10EUR 1,250,000 NN Group 4.625% 13.01.48 1,337,310 0.28EUR 1,250,000 Stichting AK Rabobank Certificaten 6.5% Perp 1,392,426 0.29

Total Netherlands 10,638,669 2.18

NEW ZEALAND (0.35%, February 2019 - 0.41%)GBP 1,650,000 Chorus 6.75% 06.04.20 1,702,404 0.35

Total New Zealand 1,702,404 0.35

NIGERIA (0.03%, February 2019 - 0.04%)USD 200,000 Nigeria 7.143% 23.02.30 164,405 0.03

Total Nigeria 164,405 0.03

NORWAY (0.43%, February 2019 - 0.09%)USD 365,000 Norsk Hydro 7.25% 23.09.27 409,182 0.08EUR 1,600,000 Telenor 1.75% 31.05.34 1,686,835 0.35

Total Norway 2,096,017 0.43

PORTUGAL (0.42%, February 2019 - 0.33%)GBP 1,586,000 EDP Finance 8.625% 04.01.24 2,056,868 0.42

Total Portugal 2,056,868 0.42


11




£ %QATAR (0.48%, February 2019 - 0.20%)

USD 400,000 Ooredoo International Finance 3.875% 31.01.28 358,380 0.07USD 230,000 Qatar 6.4% 20.01.40 283,250 0.06USD 1,700,000 QNB Finance 3.5% 28.03.24 1,452,124 0.30USD 280,000 Ras Laffan Liquefied Natural Gas III 5.838% 30.09.27 265,789 0.05

Total Qatar 2,359,543 0.48

REPUBLIC OF IRELAND (0.67%, February 2019 - 0.17%)USD 1,000,000 Avolon Holdings Funding 3.625% 01.05.22 839,465 0.17USD 1,000,000 Avolon Holdings Funding 4.375% 01.05.26 867,177 0.18GBP 150,000 Bank of Ireland 13.375% Perp 307,500 0.06CAD 480,000 Depfa ACS Bank 5.25% 31.03.25 357,950 0.07GBP 220,000 Lambay Capital Securities 6.25% Perp 2,726 0.00USD 925,000 Smurfit Kappa Treasury Funding 7.5% 20.11.25 905,924 0.19

Total Republic of Ireland 3,280,742 0.67

RUSSIA (0.61%, February 2019 - 0.47%)USD 200,000 ALROSA Finance 7.75% 03.11.20 175,170 0.04GBP 2,037,000 Gazprom 4.25% 06.04.24 2,177,451 0.45GBP 450,000 RZD Capital 7.487% 25.03.31 587,642 0.12

Total Russia 2,940,263 0.61

SINGAPORE (0.49%, February 2019 - 0.58%)AUD 3,108,000 BOC Aviation 5.375% 03.03.21 1,838,833 0.38SGD 250,000 Temasek Financial I 3.265% 19.02.20 150,346 0.03USD 400,000 Temasek Financial I 3.375% 23.07.42 370,041 0.08

Total Singapore 2,359,220 0.49

SOUTH AFRICA (0.70%, February 2019 - 0.79%)USD 590,000 AngloGold Ashanti Holdings 5.125% 01.08.22 512,539 0.11GBP 500,000 Investec 4.5% 05.05.22 533,985 0.11USD 2,000,000 Republic of South Africa 4.85% 27.09.27 1,694,120 0.35USD 220,000 Sasol Financing International 4.5% 14.11.22 186,491 0.04USD 500,000 Transnet SOC 4% 26.07.22 415,658 0.09

Total South Africa 3,342,793 0.70

SOUTH KOREA (0.91%, February 2019 - 1.02%)USD 1,000,000 Export-Import Bank of Korea 3.25% 10.11.25 880,016 0.18AUD 1,200,000 Export-Import Bank of Korea 4% 07.06.27 771,137 0.16GBP 1,755,000 Korea Development Bank 1.75% 15.12.22 1,784,554 0.37AUD 1,640,000 Korea South-East Power 5.75% 25.09.20 961,403 0.20

Total South Korea 4,397,110 0.91

SPAIN (1.49%, February 2019 - 1.36%)GBP 750,000 Iberdrola Finanzas 6% 01.07.22 850,642 0.18EUR 800,000 Iberdrola International 2.625% Perp 781,085 0.16EUR 400,000 Repsol International Finance 4.5% 25.03.75 417,079 0.09EUR 800,000 Spain (Kingdom of) 1.85% 30.07.35 885,183 0.18GBP 1,600,000 Spain (Kingdom of) 5.25% 06.04.29 2,094,752 0.43EUR 500,000 Telefónica Europe 3.875% Perp 483,589 0.10EUR 1,300,000 Telefónica Europe 5.875% Perp 1,380,135 0.28USD 280,000 Telefónica Europe 8.25% 15.09.30 334,326 0.07

Total Spain 7,226,791 1.49


12




£ %SWEDEN (0.34%, February 2019 - 0.41%)

GBP 1,200,000 Svenska Handelsbanken 1.625% 18.06.22 1,218,564 0.25GBP 250,000 Vattenfall 6.875% 15.04.39 444,628 0.09

Total Sweden 1,663,192 0.34

SWITZERLAND (1.06%, February 2019 - 1.36%)GBP 750,000 Credit Suisse Group Funding (Guernsey) 2.75% 08.08.25 785,655 0.16GBP 1,100,000 Credit Suisse Group Funding (Guernsey) 3% 27.05.22 1,148,873 0.24USD 750,000 Tyco Electronics Group 7.125% 01.10.37 883,444 0.18USD 1,600,000 UBS Group Funding Switzerland 2.859% 15.08.23 1,342,587 0.28USD 200,000 Willow No. 2 Ireland 4.25% 01.10.45 171,029 0.03USD 650,000 Xstrata Finance Canada 6% 15.11.41 616,520 0.13GBP 160,000 Zurich Finance (UK) 6.625% Perp 178,781 0.04

Total Switzerland 5,126,889 1.06

TURKEY (0.22%, February 2019 - 0.25%)USD 440,000 Anadolu Efes Biracilik Ve Malt Sanayii 3.375% 01.11.22 354,398 0.07USD 440,000 Turk Telekomunikasyon 4.875% 19.06.24 345,743 0.07USD 450,000 Turkey 5.75% 22.03.24 365,245 0.08

Total Turkey 1,065,386 0.22

UNITED ARAB EMIRATES (0.15%, February 2019 - 0.20%)USD 247,671 Avangardco Investments Public 10% 29.10.18 16,724 0.00USD 130,950 Emirates Airline 4.5% 06.02.25 110,588 0.02NZD 380,000 Emirates NBD 6% 08.10.19 202,580 0.04USD 330,000 IPIC GMTN 6.875% 01.11.41 442,305 0.09

Total United Arab Emirates 772,197 0.15

UNITED KINGDOM (26.26%, February 2019 - 29.96%)GBP 1,804,200 A2D Funding 4.75% 18.10.22 1,949,348 0.40GBP 290,000 A2D Funding II 4.5% 30.09.26 332,511 0.07GBP 203,000 AA Bond Co 4.2487% 31.07.20 205,724 0.04GBP 700,000 AA Bond Co 5.5% 31.07.22 575,372 0.12GBP 260,000 ABP Finance 6.25% 14.12.26 324,449 0.07GBP 330,000 Admiral Group 5.5% 25.07.24 367,283 0.08GBP 250,000 Anglian Water (Osprey) Financing 4% 08.03.26 233,905 0.05GBP 750,000 Anglian Water (Osprey) Financing 5% 30.04.23 760,342 0.16USD 1,800,000 Ashtead Capital 5.25% 01.08.26 1,569,074 0.32GBP 217,264 Aspire Defence Finance 4.674% 31.03.40 289,663 0.06GBP 400,000 Aviva 4.375% 12.09.49 426,168 0.09GBP 1,400,000 BAE Systems 4.125% 08.06.22 1,510,488 0.31GBP 1,300,000 Balfour Beatty 10.75p Cum Cnv Red Pref 1,352,000 0.28GBP 1,050,000 Barclays 3% 08.05.26 1,066,831 0.22GBP 1,625,000 Barclays Bank 10% 21.05.21 1,851,639 0.38GBP 850,000 BAT Capital 2.125% 15.08.25 856,681 0.18GBP 400,000 BAT International Finance 5.75% 05.07.40 544,468 0.11USD 400,000 Beazley Insurance 5.875% 04.11.26 344,128 0.07GBP 2,776,000 Beazley Ireland Holdings 5.375% 25.09.19 2,778,443 0.57GBP 645,000 Birmingham Airport (Finance) 6.25% 22.02.21 690,402 0.14GBP 1,600,000 BP Capital Markets 1.177% 12.08.23 1,618,624 0.33GBP 400,000 BP Capital Markets 2.274% 03.07.26 426,124 0.09USD 200,000 British Telecommunications 9.125% 15.12.30 251,299 0.05GBP 2,214,000 Bruntwood Investments 6% 24.07.20 2,263,726 0.47GBP 1,400,000 BUPA Finance 5% 08.12.26 1,583,610 0.33GBP 200,000 Cadent Finance 2.625% 22.09.38 210,638 0.04GBP 800,000 Canary Wharf Finance II 5.952% 22.01.35 1,201,328 0.25GBP 1,800,000 Centrica 5.25% 10.04.75 1,901,754 0.39


13




£ %UNITED KINGDOM (continued)

GBP 400,000 Centrica 7% 19.09.33 606,124 0.12GBP 210,000 Clerical Medical Finance 7.375% Perp 210,521 0.04GBP 1,410,000 Close Brothers Finance 3.875% 27.06.21 1,479,598 0.30GBP 400,000 Clydesdale Bank 4.625% 08.06.26 494,348 0.10GBP 120,000 Coventry Building Society 12.125% PIBS 228,035 0.05GBP 1,000,000 Coventry Building Society 5.875% 28.09.22 1,138,500 0.23GBP 2,400,000 CRH Finance (UK) 4.125% 02.12.29 2,894,880 0.60GBP 250,000 Daily Mail & General Trust 6.375% 21.06.27 295,053 0.06GBP 400,000 Direct Line Insurance Group 9.25% 27.04.42 472,316 0.10GBP 1,100,000 Eastern Power Networks 4.75% 30.09.21 1,185,327 0.24GBP 535,000 Ecclesiastical Insurance Office 8.625% Non-Cum Irrd Pref 807,850 0.17GBP 180,000 Ei Group 6.875% 15.02.21 182,902 0.04GBP 100,000 Ei Group 7.5% 15.03.24 105,606 0.02GBP 330,000 Electricity North West 8.875% 25.03.26 478,203 0.10GBP 1,750,000 FCE Bank 2.759% 13.11.19 1,754,252 0.36GBP 500,000 FCE Bank 3.25% 19.11.20 509,400 0.10GBP 800,000 First Hydro Finance 9% 31.07.21 912,416 0.19GBP 800,000 FirstGroup 5.25% 29.11.22 874,752 0.18GBP 500,000 FirstGroup 8.75% 08.04.21 553,575 0.11GBP 510,000 Friends Life Holdings 8.25% 21.04.22 598,811 0.12GBP 210,000 GKN Holdings 5.375% 19.09.22 228,984 0.05GBP 2,119,000 GKN Holdings 6.75% 28.10.19 2,137,796 0.44USD 280,000 GlaxoSmithKline Capital 6.375% 15.05.38 330,084 0.07GBP 150,000 HBOS 5.75% Perp 150,000 0.03GBP 600,000 Heathrow Finance 5.75% 03.03.25 658,524 0.14GBP 1,000,000 Heathrow Funding 6% 20.03.20 1,026,950 0.21GBP 500,000 Heathrow Funding 9.2% 29.03.21 563,375 0.12GBP 440,000 Hiscox FRN 24.11.45 483,226 0.10GBP 860,000 Home Group 0% 11.05.27 665,692 0.14GBP 1,600,000 HSBC Holdings 2.625% 16.08.28 1,667,440 0.34GBP 1,000,000 Iceland Bondco 4.625% 15.03.25 861,290 0.18GBP 2,000,000 Imperial Brands Finance 4.875% 07.06.32 2,474,140 0.51GBP 1,030,000 InterContinental Hotels Group 3.875% 28.11.22 1,114,759 0.23GBP 180,000 Intermediate Capital Group 5% 24.03.23 188,932 0.04GBP 400,000 Intermediate Capital Group 6.25% 19.09.20 413,512 0.09EUR 950,000 International Personal Finance 5.75% 07.04.21 754,482 0.16GBP 160,000 John Lewis 4.25% 18.12.34 156,350 0.03GBP 280,000 John Lewis 6.125% 21.01.25 318,640 0.07GBP 1,855,000 Kelda Finance No. 3 5.75% 17.02.20 1,864,071 0.38GBP 800,000 Ladbrokes Group Finance 5.125% 08.09.23 845,328 0.17GBP 155,000 Leeds Building Society 13.375% PIBS 322,400 0.07GBP 1,000,000 Legal & General Group 5.375% 27.10.45 1,109,850 0.23GBP 1,200,000 Lendlease Europe Finance 6.125% 12.10.21 1,303,608 0.27GBP 1,780,000 Liverpool Victoria Friendly Society 6.5% 22.05.43 1,982,778 0.41USD 800,000 Lloyds Bank 12% Perp 804,207 0.17GBP 252,500 Lloyds Bank 7.375% 01.06.20 260,966 0.05GBP 241,000 Lloyds Banking Group 7.875% Perp 272,892 0.06GBP 250,000 London Power Networks 6.125% 07.06.27 330,375 0.07GBP 1,658,000 London Stock Exchange Group 4.75% 02.11.21 1,777,260 0.37GBP 1,630,000 Manchester Airport Group Funding 4.125% 02.04.24 1,830,865 0.38GBP 400,000 Marks & Spencer 3% 08.12.23 412,904 0.09USD 330,000 Marks & Spencer 7.125% 01.12.37 315,512 0.06GBP 159,923 Mitchells & Butlers Finance 5.574% 15.12.30 184,181 0.04GBP 650,000 Mitchells & Butlers Finance 6.469% 15.09.30 751,478 0.15GBP 1,900,000 Morrison (Wm) Supermarkets 3.5% 27.07.26 2,110,007 0.43GBP 1,326,900 National Grid 1.25% RPI Linked 06.10.21 1,703,501 0.35


14





GBP 357,000 National Westminster Bank 11.5% Perp 585,480 0.12GBP 10,000 National Westminster Bank 11.5% Perp 'Reg S' 16,415 0.00EUR 1,500,000 Nationwide Building Society 2% 25.07.29 1,377,963 0.28GBP 100,000 Nationwide Building Society 7.859% Perp 120,760 0.02GBP 134,000 Natwest Markets 5.1% 01.02.20 135,774 0.03GBP 444,000 Newcastle Building Society 3.849% 23.12.19 422,910 0.09GBP 1,100,000 NGG Finance 5.625% 18.06.73 1,213,223 0.25GBP 690,500 Northern Electric 8.061p Net Cum Irrd Pref 959,795 0.20GBP 280,000 Northern Gas Networks Finance 4.875% 15.11.35 390,947 0.08GBP 1,200,000 Northumbrian Water Finance 2.375% 05.10.27 1,266,588 0.26GBP 800,000 NRAM 6.375% 02.12.19 809,928 0.17GBP 2,031,000 NWEN Finance 5.875% 21.06.21 2,117,947 0.44GBP 83,491 Octagon Healthcare Funding 5.333% 31.12.35 108,651 0.02USD 200,000 Pearson Funding Five 3.25% 08.05.23 165,864 0.03GBP 132,000 Peel South East 10% 30.04.26 186,474 0.04GBP 2,014,000 Pennon Group 2.875% Perp 2,021,552 0.42GBP 1,200,000 Pension Insurance 8% 23.11.26 1,450,896 0.30GBP 450,000 Phoenix Group Holdings 5.75% 07.07.21 481,235 0.10GBP 125,000 Places for People Finance 4.25% 15.12.23 129,150 0.03GBP 680,000 Places for People Treasury 2.875% 17.08.26 703,256 0.14GBP 300,000 Porterbrook Rail Finance 4.625% 04.04.29 354,657 0.07GBP 120,000 Provident Financial 5.125% 09.10.23 115,159 0.02GBP 455,000 Provident Financial 6% 27.09.21 460,041 0.09GBP 400,000 Prudential 5.625% 20.10.51 449,644 0.09USD 1,200,000 RELX Capital 3.5% 16.03.23 1,033,626 0.21USD 220,000 Rio Tinto Finance USA 7.125% 15.07.28 249,388 0.05GBP 350,000 RL Finance Bonds No. 2 6.125% 30.11.43 393,390 0.08GBP 150,000 RL Finance Bonds No. 3 6.125% 13.11.28 171,311 0.04GBP 400,000 Rothschilds Continuation Finance (CI) 9% Perp 482,000 0.10GBP 1,400,000 Royal Bank of Scotland Group 3.125% 28.03.27 1,432,368 0.29GBP 350,000 RSA Insurance Group 7.375% Cum Irrd Pref 434,000 0.09DKK 4,000,000 RSA Insurance Group FRN Perp 497,219 0.10GBP 610,000 Sainsbury (J) 6.5% Perp 637,017 0.13GBP 600,000 Santander UK 1.875% 17.02.20 602,358 0.12GBP 700,000 Santander UK 5.875% 14.08.31 852,712 0.18GBP 902,000 Severn Trent 1.3% 11.07.22 1,115,323 0.23GBP 700,000 Severn Trent Utilities Finance 1.625% 04.12.22 712,173 0.15GBP 640,000 Severn Trent Utilities Finance 4.875% 24.01.42 938,682 0.19GBP 2,555,000 Sky 4% 26.11.29 3,133,478 0.65GBP 200,000 South Eastern Power Networks 5.625% 30.09.30 275,446 0.06GBP 800,000 SP Distribution 5.875% 17.07.26 1,012,840 0.21GBP 1,250,000 SSE 4.25% 14.09.21 1,329,825 0.27GBP 800,000 SSE 8.375% 20.11.28 1,224,064 0.25GBP 120,000 Standard Chartered 8.25% Non-Cum Irrd Pref 162,600 0.03USD 200,000 Standard Life Aberdeen 4.25% 30.06.48 165,783 0.03GBP 310,000 Sunderland (SHG) Finance 6.38% 31.03.42 460,905 0.09GBP 800,000 TalkTalk Telecom Group 5.375% 15.01.22 817,728 0.17GBP 496,000 Telereal Securitisation 4.9741% 10.09.27 569,043 0.12GBP 3,172,000 Tesco Personal Finance 5% 21.11.20 3,246,098 0.67GBP 522,777 Tesco Property Finance 1 7.6227% 13.07.39 776,209 0.16GBP 280,000 Thames Water (Kemble) Finance 5.875% 15.07.22 286,499 0.06GBP 330,000 Thames Water Utilities Cayman Finance 2.375% 03.05.23 332,082 0.07EUR 1,650,000 Thomas Cook Group 6.25% 15.06.22 329,482 0.07GBP 500,000 Trafford Centre Finance 4.25% 28.04.24 541,020 0.11GBP 450,000 Travis Perkins 4.5% 07.09.23 471,456 0.10GBP 160,000 Unique Pub Finance 6.464% 30.03.32 177,424 0.04


15





GBP 460,000 Unique Pub Finance 7.395% 28.03.24 527,482 0.11GBP 740,000 UNITE Group 6.125% 12.06.20 763,007 0.16GBP 800,000 United Kingdom Treasury 4.5% 07.09.34 1,229,484 0.25USD 600,000 United Utilities 6.875% 15.08.28 629,566 0.13GBP 600,000 Vodafone Group 0% 26.11.20 588,750 0.12EUR 1,600,000 Vodafone Group 2.875% 20.11.37 1,808,446 0.37GBP 100,000 Wessex Water Services Finance 4% 24.09.21 106,053 0.02GBP 860,000 Western Power Distribution (South West) 2.375% 16.05.29 908,392 0.19GBP 400,000 Western Power Distribution (West Midlands) 3.875% 17.10.24 446,192 0.09GBP 1,400,000 Western Power Distribution 3.625% 06.11.23 1,494,024 0.31GBP 430,000 William Hill 4.875% 07.09.23 452,042 0.09GBP 1,250,000 WPP Finance 2013 2.875% 14.09.46 1,160,712 0.24GBP 271,000 Yorkshire Building Society 4.125% 20.11.24 272,566 0.06GBP 200,000 Yorkshire Power Finance 7.25% 04.08.28 292,714 0.06GBP 250,000 Yorkshire Water Finance 3.75% 22.03.46 261,055 0.05

Total United Kingdom 127,493,193 26.26

UNITED STATES (27.50%, February 2019 - 23.99%)USD 1,000,000 AbbVie 3.75% 14.11.23 870,702 0.18USD 1,000,000 AbbVie 4.4% 06.11.42 853,671 0.18USD 1,400,000 Aflac 6.45% 15.08.40 1,637,246 0.34USD 1,100,000 Air Lease 3.625% 01.04.27 945,142 0.19USD 700,000 Air Lease 3.625% 01.12.27 600,955 0.12EUR 1,500,000 Altria Group 3.125% 15.06.31 1,578,834 0.33USD 430,000 Altria Group 9.95% 10.11.38 575,370 0.12USD 1,700,000 Amazon.com 4.8% 05.12.34 1,784,869 0.37GBP 1,700,000 American International Group 5% 26.04.23 1,918,518 0.40GBP 250,000 Amgen 4% 13.09.29 298,660 0.06USD 500,000 Amgen 6.375% 01.06.37 549,007 0.11USD 2,500,000 Anthem 3.65% 01.12.27 2,184,990 0.45USD 170,000 Appalachian Power 6.375% 01.04.36 190,422 0.04EUR 1,250,000 AT&T 3.15% 04.09.36 1,395,054 0.29USD 1,500,000 AvalonBay Communities 3.3% 01.06.29 1,325,677 0.27USD 850,000 Avon International Operations 7.875% 15.08.22 728,632 0.15USD 330,000 BAC Capital Trust XIV FRN Perp 236,417 0.05USD 750,000 Bank of America 4.183% 25.11.27 673,243 0.14GBP 800,000 Bank of America 4.25% 10.12.26 952,416 0.20GBP 800,000 Bank of America 6.125% 15.09.21 881,104 0.18GBP 1,800,000 Becton, Dickinson and Co 3.02% 24.05.25 1,911,348 0.39USD 750,000 Becton, Dickinson and Co 6% 15.05.39 741,248 0.15USD 400,000 Bed Bath & Beyond 5.165% 01.08.44 214,511 0.04USD 1,800,000 Boardwalk Pipelines 4.45% 15.07.27 1,544,898 0.32EUR 1,400,000 Celanese US Holdings 1.25% 11.02.25 1,332,770 0.27USD 420,000 Cencosud 6.625% 12.02.45 375,895 0.08USD 1,500,000 Centene 4.75% 15.01.25 1,282,715 0.26USD 1,500,000 CF Industries 4.5% 01.12.26 1,340,943 0.28USD 1,600,000 Charter Communications Operating Capital 6.384% 23.10.35 1,609,256 0.33USD 400,000 Citigroup 3.98% 20.03.30 364,616 0.08GBP 1,400,000 Citigroup 5.15% 21.05.26 1,720,222 0.35USD 1,200,000 CNA Financial 3.9% 01.05.29 1,071,969 0.22USD 1,200,000 Commercial Metals 4.875% 15.05.23 1,011,264 0.21USD 800,000 Conagra Brands 7.125% 01.10.26 812,029 0.17USD 750,000 Continental Resources 3.8% 01.06.24 629,711 0.13USD 750,000 CVS Health 6.125% 15.09.39 780,440 0.16USD 1,650,000 Diamond 1/2 Finance 8.1% 15.07.36 1,704,526 0.35GBP 400,000 Digital Stout Holding 4.75% 13.10.23 448,836 0.09


16




£ %UNITED STATES (continued)

USD 400,000 Dignity Health 5.267% 01.11.64 405,081 0.08USD 1,250,000 Discover Bank 3.45% 27.07.26 1,077,422 0.22USD 500,000 Discovery Communications 5% 20.09.37 452,895 0.09USD 1,400,000 Discovery Communications 6.35% 01.06.40 1,426,679 0.29USD 1,000,000 Dominion Energy 2.579% 01.07.20 829,298 0.17USD 1,681,000 Domtar 6.75% 15.02.44 1,588,903 0.33USD 204,000 DPL 7.25% 15.10.21 181,208 0.04USD 1,500,000 Duke Realty 4% 15.09.28 1,366,024 0.28USD 1,800,000 Energy Transfer Operating 5.5% 01.06.27 1,688,216 0.35USD 1,000,000 Energy Transfer Partners 4.95% 15.06.28 916,273 0.19USD 200,000 Estée Lauder 3.7% 15.08.42 181,951 0.04USD 1,600,000 FedEx 4.9% 15.01.34 1,550,696 0.32USD 600,000 Ford Motor Credit 3.35% 01.11.22 498,281 0.10GBP 1,000,000 General Electric 4.875% 18.09.37 1,060,170 0.22USD 1,155,000 General Electric 5% Perp 889,639 0.18USD 1,000,000 General Motors Financial Co 4.2% 06.11.21 857,025 0.18USD 250,000 Global Bank 5.125% 30.10.19 207,833 0.04USD 1,000,000 Goldman Sachs Group 2.83% 20.10.22 816,316 0.17GBP 280,000 Goldman Sachs Group 6.875% 18.01.38 431,620 0.09USD 1,845,000 Hartford Financial Services Group 6.625% 30.03.40 2,140,599 0.44USD 1,600,000 HCA 4.125% 15.06.29 1,398,045 0.29USD 600,000 HCP 4% 01.06.25 529,943 0.11USD 1,381,000 Heinz (HJ) Finance 6.75% 15.03.32 1,422,476 0.29USD 1,200,000 Hilton Domestic Operating 4.875% 15.01.30 1,048,534 0.22USD 490,000 Humana 8.15% 15.06.38 598,024 0.12USD 400,000 Ingersoll-Rand Global Holding 4.25% 15.06.23 353,371 0.07NZD 545,000 International Bank for Rec & Dev 0.5% 06.07.20 286,398 0.06BRL 2,500,000 International Finance 0% 26.05.27 314,889 0.06USD 800,000 iStar 5.25% 15.09.22 672,023 0.14USD 1,000,000 JPMorgan Chase & Co 3.54% 01.05.28 885,253 0.18GBP 250,000 Juneau Investments 5.9% 22.02.21 259,545 0.05USD 900,000 Kansas City Southern 4.7% 01.05.48 892,487 0.18USD 650,000 Kinder Morgan Energy Partners 6.55% 15.09.40 682,547 0.14USD 600,000 Lam Research 3.8% 15.03.25 534,710 0.11USD 850,000 Las Vegas Sands 3.9% 08.08.29 722,056 0.15USD 2,000,000 Lennar 4.875% 15.12.23 1,751,698 0.36USD 280,000 Lexmark International 7.125% 15.03.20 224,946 0.05USD 800,000 Liberty Mutual Group 7.8% 15.03.37 834,852 0.17USD 1,000,000 Liberty Property 3.25% 01.10.26 854,729 0.18USD 1,800,000 Louisiana-Pacific 4.875% 15.09.24 1,528,077 0.31GBP 2,000,000 McDonald's 5.875% 23.04.32 2,889,980 0.60USD 1,500,000 MetLife 6.4% 15.12.36 1,439,560 0.30GBP 600,000 Metropolitan Life Global Funding I 1.625% 09.06.22 606,978 0.12GBP 800,000 Metropolitan Life Global Funding I 2.625% 05.12.22 837,392 0.17USD 2,600,000 Microsoft 3.45% 08.08.36 2,378,055 0.49USD 600,000 Molson Coors Brewing 5% 01.05.42 550,213 0.11USD 1,200,000 Mondelez International 3.625% 07.05.23 1,041,924 0.21EUR 400,000 Montenegro 3.875% 18.03.20 373,805 0.08GBP 1,000,000 Northern Powergrid Holdings 7.25% 15.12.22 1,193,630 0.25USD 540,000 Oncor Electric Delivery 7.25% 15.01.33 672,714 0.14USD 1,200,000 Owens Corning 7% 01.12.36 1,238,223 0.26USD 927,000 Packaging Corp of America 3.65% 15.09.24 810,581 0.17USD 460,000 Partners Healthcare System 4.117% 01.07.55 440,692 0.09USD 1,200,000 Priceline 3.55% 15.03.28 1,063,665 0.22USD 2,050,000 Principal Financial Group 3.7% 15.05.29 1,828,123 0.38GBP 1,600,000 Proctor & Gamble 1.375% 03.05.25 1,639,856 0.34


17




£ %UNITED STATES (continued)

USD 1,000,000 Public Service Electric and Gas Co 3.65% 01.09.28 917,383 0.19USD 1,000,000 Radian Group 4.875% 15.03.27 834,438 0.17USD 400,000 Reynolds American 7.25% 15.06.37 429,889 0.09USD 330,000 Reynolds American 8.125% 01.05.40 371,973 0.08USD 1,500,000 Seagate HDD Cayman 4.875% 01.06.27 1,248,551 0.26USD 1,000,000 Sempra Energy 3.4% 01.02.28 858,107 0.18USD 1,800,000 TerraForm Power Operating 5% 31.01.28 1,532,922 0.32GBP 2,310,000 Textron 6.625% 07.04.20 2,377,567 0.49USD 1,600,000 The Boeing Company 3.75% 01.02.50 1,432,981 0.30USD 500,000 The Interpublic Group of Companies 4.65% 01.10.28 466,761 0.10USD 1,000,000 The Southern Co 3.25% 01.07.26 851,785 0.18USD 400,000 Time Warner Cable 6.55% 01.05.37 391,837 0.08USD 850,000 Time Warner Cable 7.3% 01.07.38 890,365 0.18USD 1,200,000 Tyson Foods 4.875% 15.08.34 1,181,714 0.24USD 1,100,000 United Continental Holdings 5% 01.02.24 961,156 0.20USD 4,000,000 United States Treasury 0% 15.02.31 2,717,616 0.56USD 2,800,000 United States Treasury 2.375% 15.08.24 2,421,215 0.50USD 300,000 Unum Group 5.75% 15.08.42 303,632 0.06USD 750,000 Unum Group 6.75% 15.12.28 776,437 0.16USD 420,000 Valmont Industries 5.25% 01.10.54 371,929 0.08USD 1,727,000 Ventas Realty 4.875% 15.04.49 1,719,631 0.35USD 2,400,000 VEREIT Operating Partnership 3.95% 15.08.27 2,119,269 0.44USD 1,250,000 VeriSign 5.25% 01.04.25 1,123,281 0.23GBP 2,250,000 Verizon Communications 3.375% 27.10.36 2,618,055 0.54USD 345,000 VF 6% 15.10.33 379,447 0.08USD 850,000 Visa 2.75% 15.09.27 736,214 0.15USD 700,000 Visa 4.15% 14.12.35 703,766 0.14USD 315,000 Wachovia Capital Trust III FRN Perp 260,565 0.05GBP 2,600,000 Walgreens Boots Alliance 3.6% 20.11.25 2,819,596 0.58GBP 300,000 Wells Fargo & Co 4.875% 29.11.35 392,931 0.08GBP 2,000,000 Welltower 4.5% 01.12.34 2,482,160 0.51EUR 1,600,000 Westlake Chemical 1.625% 17.07.29 1,518,466 0.31USD 600,000 Williams Partners 3.9% 15.01.25 521,716 0.11USD 1,078,000 WRKCo 3.375% 15.09.27 916,237 0.19USD 500,000 WRKCo 4.65% 15.03.26 455,842 0.09USD 650,000 Zoetis 4.5% 13.11.25 598,045 0.12USD 370,000 Zurich Reinsurance 7.125% 15.10.23 357,473 0.07

Total United States 133,505,201 27.50

VENEZUELA (0.01%, February 2019 - 0.01%)USD 240,000 Venezuela 11.75% 21.10.26 29,816 0.01

Total Venezuela 29,816 0.01

UNLISTED (3.73%, February 2019 - 3.48%)USD 1,400,000 Allergan 2.8% 15.03.23 1,168,039 0.24USD 1,500,000 Andeavor 5.125% 15.12.26 1,380,959 0.28USD 480,000 Appalachian Power 7% 01.04.38 576,402 0.12USD 1,100,000 Bayer US Finance II 5.5% 15.08.25 1,001,434 0.21CAD 330,000 Bombardier 7.35% 22.12.26 198,842 0.04USD 500,000 Bristol-Myers Squibb 4.125% 15.06.39 473,828 0.10USD 1,420,000 CenterPoint Energy Resources 5.85% 15.01.41 1,560,498 0.32USD 2,000,000 Cheniere Corpus Christi Holdings 5.125% 30.06.27 1,826,238 0.38USD 1,300,000 Discovery Communications 3.95% 15.06.25 1,125,319 0.23USD 657,784 Eletson Holdings 9.625% 15.01.22 184,375 0.04AUD 280,000 European Investment Bank 0.5% 21.07.23 153,519 0.03GBP 2,300,000 Fidelity National Information Services 2.602% 21.05.25 2,419,692 0.50


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£ %UNLISTED (continued)

USD 1,662,000 Keurig Dr Pepper 4.417% 25.05.25 1,502,283 0.31USD 850,000 Nutrien 4.125% 15.03.35 738,457 0.15GBP 2,400,000 Sainsbury (J) 2.875% Perp 2,408,400 0.50NZD 820,000 Spark Finance 4.5% 25.03.22 465,909 0.10USD 250,000 Tronox 6.5% 15.04.26 192,045 0.04USD 800,000 WRKCo 4% 15.03.28 702,678 0.14

Total Unlisted 18,078,917 3.73

Portfolio of stock investments 427,175,602 87.99

Counterparty Foreign Currency Hedges

HSBC Sell EUR 2,145,000 for GBP 1,927,545 - 27 August 2019 (41,555) (0.01)HSBC Sell EUR 1,605,000 for GBP 1,440,164 - 27 August 2019 (33,219) (0.01)HSBC Sell EUR 3,300,000 for SEK 34,730,030 - 9 September 2019 (68,339) (0.01)HSBC Sell EUR 3,100,000 for CHF 3,443,707 - 9 September 2019 67,404 0.01HSBC Sell AUD 2,000,000 for USD 1,387,916 - 30 September 2019 25,128 0.01HSBC Sell EUR 2,800,000 for USD 3,134,258 - 1 October 2019 17,941 0.01HSBC Sell EUR 2,250,000 for GBP 2,021,039 - 1 October 2019 (46,888) (0.01)HSBC Sell EUR 1,400,000 for JPY 166,681,690 - 7 October 2019 13,236 0.00HSBC Sell NZD 1,200,000 for USD 785,467 - 7 October 2019 12,539 0.00HSBC Sell EUR 1,200,000 for USD 1,347,102 - 7 October 2019 10,381 0.00HSBC Sell USD 2,456,595 for NOK 22,000,000 - 8 October 2019 (7,372) 0.00HSBC Sell USD 669,746 for NOK 6,000,000 - 8 October 2019 (1,816) 0.00

Net value of all derivative positions (52,560) (0.01)

Portfolio of investments and derivative positions 427,123,042 87.98Net current assets (excluding derivative positions) 58,357,215 12.02Total net assets 485,480,257 100.00

Portfolio split by investment grade

Investments of investment grade 345,198,000 71.10Investments below investment grade:BB+ 25,884,992 5.33BB 12,457,224 2.57BB- 9,799,660 2.02B+ 2,785,085 0.57B 1,308,725 0.27B- 390,887 0.08CCC+ 554,428 0.12D 214,191 0.04Unrated 28,582,410 5.89

Portfolio of stock investments 427,175,602 87.99Net value of all derivative positions (52,560) (0.01)Net current assets (excluding derivative positions) 58,357,215 12.02Total net assets 485,480,257 100.00

PORTFOLIO TRANSACTIONS £for the six month period ended 20 August 2019

Total purchases costs, including transaction charges 87,757,581

Total sales proceeds, net of transaction charges 32,727,092


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STATEMENT OF TOTAL RETURNfor the six month period ended 20 August 2019

20 August 2019 20 August 2018£ £ £ £

Income:Net capital gains/(losses) 40,126,750 6,035,445Revenue 7,521,450 6,516,383

Expenses (1,115,077) (935,002)Net revenue/(expense) before taxation 6,406,373 5,581,381

Taxation 11,062 (5,264)

Net revenue/(expense) after taxation 6,417,435 5,576,117

Total return before distributions 46,544,185 11,611,562

Distributions (6,417,435) (5,576,117)

Change in net assets attributable to unitholders frominvestment activities 40,126,750 6,035,445

STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO UNITHOLDERSfor the six month period ended 20 August 2019

20 August 2019 20 August 2018£ £ £ £

Opening net assets attributable to unitholders * 384,539,124 320,891,718

Amounts receivable on issue of units 61,493,190 38,102,258Amounts payable on cancellation of units (6,051,179) (7,822,983)Amounts payable on unit class conversions (423) (35)

55,441,588 30,279,240

Change in net assets attributable to unitholders frominvestment activities 40,126,750 6,035,445

Retained distribution on accumulation units 5,372,795 4,396,849

Closing net assets attributable to unitholders 485,480,257 * 361,603,252

* These figures are not the same as the comparatives are taken from the preceding interim period and not the last final accounts.

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BALANCE SHEETas at 20 August 2019

20 August 2019 20 February 2019

£ £Assets:Fixed Assets:Investment assets 427,322,231 338,032,090

Current Assets:Debtors 9,137,823 6,397,859Cash and bank balances 54,764,942 43,827,455Total assets 491,224,996 388,257,404

Liabilities:Investment liabilities 199,189 245,213

Creditors:Bank overdrafts 3,560,456 697,757Distribution payable on income units 1,480,534 1,387,787Other creditors 504,560 1,387,523Total liabilities 5,744,739 3,718,280

Net assets attributable to unitholders 485,480,257 384,539,124

NOTES TO THE INTERIM FINANCIAL STATEMENTSfor the six month period ended 20 August 2019

Basis for preparation

Accounting policies

The investments of the Fund have been valued at their fair value at 12 noon on 20 August 2019.

The interim financial statements have been prepared in compliance with FRS102 and in accordance with the Statement ofRecommended Practice for UK Authorised Funds issued by The Investment Association in May 2014.

The interim financial statements are prepared in sterling, which is the functional currency of the Fund. Monetary amounts inthese financial statements are rounded to the nearest pound.

The interim financial statements have been prepared on the historical cost convention, modified to include the revaluation ofinvestments and certain financial instruments at fair value.

The accounting policies applied are consistent with those of the annual financial statements for the year ended 20 February2019 and are described in those annual financial statements.

21

Marlborough Fund Managers LtdMarlborough House,59 Chorley New Road,Bolton BL1 4QP

Investor Support: 0808 145 2500 (FREEPHONE)Dealing: 0808 145 2501 (FREEPHONE)Fax: 01204 533045

Email: [email protected]: www.marlboroughfunds.com

Marlborough Fund Managers Ltd. Registered in England No. 2061177Authorised and regulated by the Financial Conduct Authority and a member of The Investment Association