blackstone alternative investment funds plc

Blackstone Alternative Investment Funds plc (an umbrella fund with segregated liability between sub-funds)

Annual Report and Audited Financial Statements for the financial year ended 31 December 2020

A claim for exemption has been made pursuant to the U.S Commodity Futures Trading Commission (“CFTC”) Rule 4.7.

Affirmation of the Commodity Pool Operator

To the best of the knowledge and belief of the undersigned, the information contained in the report for the financial

year ended December 31, 2020 is accurate and complete.

Brian Gavin, Principal, on behalf of

Blackstone Alternative Investment Advisors LLC

Investment Manager of

Blackstone Diversified Multi-Strategy Fund

Commodity Pool Operator:

Blackstone Alternative Investment Advisors LLC

345 Park Avenue, 28th

Floor

New York, NY 10154

(212) 583-5000

Commodity Pool:

Blackstone Diversified Multi-Strategy Fund

Blackstone Alternative Investment Funds plc

Contents

Page

Company Information 1

Directors’ Report and Statement of Directors’ Responsibilities 2

Depositary's Report to the Shareholders 6

Investment Manager’s Report 7

Independent Auditors’ Report 11

Statement of Financial Position 14

Statement of Comprehensive Income 15

Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares 16

Statement of Cash Flows 17

Notes to the Financial Statements 18

Schedule of Investments 57

Supplemental Unaudited Information

Total Expense Ratio (“TER”) / Information for Investors in Switzerland 128

Summary of Material Portfolio Changes 129

Remuneration Policy 130

Securities Financing Transactions Regulation (“SFTR”) 131

General Data Protection Regulation ("GDPR") 133


Company Information

1

Directors Mr. Gerald Brady* (Irish resident)

Mr. Brett Condron (U.S. resident)

Mr. Peter Koffler (U.S. resident)

Mr. Carl O’Sullivan* (Irish resident)

Registered Office 78 Sir John Rogerson’s Quay

Dublin 2

Ireland

Investment Manager and Distributor Blackstone Alternative Investment Advisors LLC

345 Park Avenue

New York, NY 10154

United States

Depositary State Street Custodial Services (Ireland) Limited

78 Sir John Rogerson’s Quay

Dublin 2

Ireland

Administrator and Transfer Agent State Street Fund Services (Ireland) Limited

78 Sir John Rogerson’s Quay

Dublin 2

Ireland

Company Secretary Bradwell Limited

10 Earlsfort Terrace

Dublin 2

Ireland

Independent Auditors Deloitte Ireland LLP

Chartered Accountants and Statutory Audit Firm

Deloitte & Touche House

Earlsfort Terrace

Dublin 2

Ireland

Legal Advisers as to Irish Law Arthur Cox

10 Earlsfort Terrace

Dublin 2

Ireland * Independent Director.


Directors' Report and Statement of Directors' Responsibilities

2

Unless otherwise provided for in this report, all capitalised terms should have the same meaning herein as in the most recent prospectus of Blackstone Alternative Investment Funds plc (the “Company”) dated 19 December 2019 and the supplement to the prospectus for Blackstone Diversified Multi-Strategy Fund (the “Fund”) dated 19 December 2019 and the addendum dated 16 March 2020 (together “the Prospectus”). The Directors are responsible for preparing the Directors’ Report and the financial statements in accordance with applicable law and regulations. Section 228 of the Companies Act 2014 requires the Directors to prepare financial statements for each financial year which give a true and fair view of the Company's assets, liabilities and financial position as at the end of the financial year and of the profit or loss of the Company for the financial year. Under Irish company law, the Directors shall not approve the financial statements unless they are satisfied that they give a true and fair view of the assets, liabilities and financial position of the Company as at the financial year end date and of the profit or loss of the Company for the financial year. In preparing the financial statements, the Directors are required to: • oversee the selection of suitable accounting policies and that such policies are consistently applied; • ensure that judgements and estimates are reasonable and prudent;

• state whether the financial statements have been prepared in accordance with applicable accounting standards and identify the standards in question, subject to any material departures from those standards being disclosed and explained in the notes to the financial statements; and

• oversee the preparation of the financial statements on a going concern basis unless it is inappropriate to presume that the Company will continue in business.

The Directors are responsible for ensuring that adequate accounting records are kept that are sufficient to: • correctly record and explain the transactions of the Company; • enable, at any time, the assets, liabilities, financial position and profit or loss of the Company to be determined with

reasonable accuracy; and • enable the Directors to ensure that the financial statements comply with the requirements of the Companies Act 2014 and

enable those financial statements to be audited. The Directors confirm that they believe that they have complied with the above requirements in preparing the financial statements. The Directors are responsible for keeping adequate accounting records that disclose with reasonable accuracy at any time the financial position of the Company and enable them to ensure that its financial statements are prepared in accordance with International Financial Reporting Standards (“IFRS”) as adopted by the European Union and the Companies Act 2014. The books of accounts are kept at 78 Sir John Rogerson’s Quay, Dublin 2, Ireland by State Street Fund Services (Ireland) Limited (the “Administrator”). The Directors are also responsible for safeguarding the assets of the Company, in this regard they have entrusted the assets of the Company to State Street Custodial Services (Ireland) Limited (the "Depositary"), who has been appointed as depositary to the Company pursuant to the terms of a Depositary Agreement. The Directors have a general responsibility for taking such steps as are reasonably open to them to prevent and detect fraud and other irregularities. Directors’ compliance statement

It is the policy of the Company to comply with its relevant obligations (as defined in the Companies Act 2014). As required by Section 225(2) of the Companies Act 2014, the Directors acknowledge that they are responsible for securing the Company's compliance with the relevant obligations. The Directors have drawn up a compliance policy statement as defined in Section 225(3)(a) of the Companies Act 2014 and a compliance policy which refers to the arrangements and structures that are in place and which are, in the Directors' opinion, designed to secure material compliance with the Company's relevant obligations. These arrangements and structures were reviewed by the Company during the financial year. In discharging their responsibilities under Section 225, the Directors relied upon, among other things, the services provided, advice and/or representations from third parties whom the Directors believe have the requisite knowledge and experience in order to secure material compliance with the Company's relevant obligations. The following information is derived from and should be read in conjunction with the full text and definitions section of the Prospectus.


Directors' Report and Statement of Directors' Responsibilities (continued)

3

Principal activities The Company was incorporated on 13 May 2014 under registration number 543808 and was authorised as an undertaking for collective investment in transferable securities (“UCITS”) on 15 July 2014 by the Central Bank of Ireland (the “Central Bank”). The Company is organised as an open-ended investment company with variable capital organised under the laws of Ireland as a public limited company pursuant to the Companies Act 2014 and the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended), (the “UCITS Regulations”) and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019 (the “Central Bank Regulations”). The Company is organised in the form of an umbrella fund with segregated liability between sub-funds. The Articles of Association provide that the Company may offer separate classes of shares, each representing interests in a sub-fund, with each sub-fund comprising a separate and distinct portfolio of investments. The Company has obtained the approval of the Central Bank for the establishment of the initial fund, Blackstone Diversified Multi-Strategy Fund, which commenced operations on 11 August 2014. As at 31 December 2020 this was the only active sub-fund. As at 31 December 2020, Class A (EUR) Accumulating, Class A (EUR) Distributing, Class A (SEK) Accumulating, Class A (USD) Accumulating, Class C (USD) Accumulating, Class I (AUD) Accumulating, Class I (CHF) Accumulating, Class I (EUR) Accumulating, Class I (EUR) Distributing, Class I (GBP) Accumulating, Class I (GBP) Distributing, Class I (JPY) Accumulating, Class I (USD) Accumulating and Class I (USD) Distributing shares were issued and outstanding. Additional sub-funds in respect of which a separate supplement to the Prospectus will be issued may be established by the Company with the prior approval of the Central Bank. Investment objective and policies The investment objective of the Fund is to seek capital appreciation. The Investment Manager seeks to achieve the Fund’s objective by allocating the Fund’s assets among a variety of discretionary and non-discretionary investment advisers (“Sub-Advisers”) with experience managing and/or advising on non-traditional or “alternative” investment strategies. The Investment Manager is responsible for selecting the strategies, for identifying and retaining Sub-Advisers with expertise in the selected strategies, and for determining the amount of Fund assets to allocate to each strategy and to each Sub-Adviser. The Investment Manager also manages a portion of the Fund’s assets directly and may invest a portion of the Fund’s assets in Eligible Collective Investment Schemes. The Fund may invest principally in derivatives. Full details of the investment policies of the Fund can be found in the supplement relating to the Fund. Sub-Advisers During the financial year covered by this report, the Investment Manager had engaged the following entities as Sub-Advisers to provide investment management services to the Fund: • Bayview Asset Management, LLC • Blackstone Real Estate Special Situations Advisors, LLC

• Caspian Capital, LP • Cerberus Sub-Advisory I, LLC • D. E. Shaw Investment Management, LLC

• EJF Capital, LLC • Emso Asset Management Limited • Endeavour Capital Advisors, Inc.

• Good Hill Partners, LP • GSA Capital Partners, LLP (until 2 March 2020) • GSO / Blackstone Debt Funds Management, LLC • H20 AM, LLP (until 26 May 2020)

• HealthCor Management, LP • IPM Informed Portfolio Management, AB • Jasper Capital Hong Kong Limited (effective from 21 August 2020)

• Magnetar Asset Management LLC • Nephila Capital Limited (effective 22 December 2020) • NWI Management, LP • Sage Rock Capital Management, LP

• Seiga Asset Management Limited (effective 1 September 2020) • Shelter Growth Capital Partners, LLC (until 24 June 2020) • Two Sigma Advisers, LP

• Waterfall Asset Management, LLC The Investment Manager may determine not to employ one or more of the above Sub-Advisers and may add new Sub-Advisers at any time. A list of the current Sub-Advisers is available on the Fund's website at www.bxdms.com. A paper copy of the information is available free of charge upon request from the Investment Manager.


Directors' Report and Statement of Directors' Responsibilities (continued)

4

Review of business and future developments The results of operations are detailed in the Statement of Comprehensive Income. The Investment Manager will continue to manage the Fund in accordance with its investment objective of capital appreciation. The Investment Manager will look at many different opportunities, some of which may include: sourcing less-well covered exposures, tapping into developing markets with a demographic dividend, and adding value where changing regulations create opportunities in the financial ecosystem. Accounting records To ensure that adequate accounting records are kept in accordance with Section 281 of the Companies Act 2014, the Directors of the Company have employed the Administrator. The accounting records of the Company are maintained at the offices of the Administrator. Directors The Directors who held office during the financial year and at the financial year end are detailed below: Mr. Gerald Brady Mr. Peter Koffler Mr. Carl O’Sullivan Mr. Brett Condron Directors’ and Company Secretary’s interests

The Directors, their families and the Company Secretary had no beneficial interests in the shares of the Company as at 31 December 2020 or during the financial year then ended. Peter Koffler is a Senior Managing Director of The Blackstone Group Inc. (“Blackstone”), of which the Investment Manager is an indirect wholly-owned subsidiary. Mr. Koffler is also General Counsel for Blackstone’s Hedge Fund Solutions Group. Brett Condron is a Senior Managing Director of Blackstone and Head of the Hedge Fund Solutions Group's Individual Investor Solutions Group. Connected parties Regulation 43 of the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019 (the "Central Bank Regulations") 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 unit-holders of the UCITS”. As required under Regulation 81(4) of the Central Bank Regulations, the Directors are satisfied that there are in place arrangements, 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 financial year to which the report relates complied with the obligations that are prescribed by Regulation 43(1). Securities Financing Transactions Regulation

Securities Financing Transactions Regulation (Regulation (EU) 2015/2365) (“SFTR”) came into force on 12 January 2016 and, amongst other requirements, introduces new disclosure requirements in the Company's annual and half-yearly reports published after 13 January 2017, detailing the Fund's use of securities financing transactions and total return swaps. As a result, additional disclosures have been included in the Supplemental Unaudited Information section to the Annual Report. Corporate governance statement The board of Directors (the “Board”) has assessed the measures included in the voluntary Corporate Governance Code for Collective Investment Schemes as published by Irish Funds (formerly the Irish Funds Industry Association) in December 2011 (the “IF Code”). The Board has voluntarily adopted the corporate governance practices and procedures in the IF Code. Principal Risks Investment in the Company carries with it a degree of risk, including but not limited to, the risks referred to in Note 6 of these financial statements. Information about the financial risk management objectives and policies of the Company is also disclosed in Note 6. Further information on risk may be found in the Prospectus and the risk management policy. Supplementary information in relation to the quantitative risk management limits applied by the Company, the risk management used by the Investment Manager and recent developments in the risk and yield characteristics for the main categories of investment are available on request.


Depositary's Report to the Shareholders

6

Report of the Depositary We have enquired into the conduct of the Company for the financial year ended 31 December 2020, in our capacity as depositary to the Company. This report including the opinion has been prepared for and solely for the shareholders in the Company in accordance with Regulation 34, (1), (3) and (4) in Part 5 of the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011, as amended, (the “UCITS Regulations"), and for no other purpose. We do not, in giving this opinion, accept or assume responsibility for any other purpose or to any other person to whom this report is shown. Responsibilities of the Depositary Our duties and responsibilities are outlined in Regulation 34, (1), (3) and (4) in Part 5 of the UCITS Regulations. One of those duties is to enquire into the conduct of the Company in each annual accounting period and report thereon to the shareholders. Our report shall state whether, in our opinion, the Company has been managed in that financial year in accordance with the provisions of the Company’s constitution (the “Constitution”) and the UCITS Regulations. It is the overall responsibility of the Company to comply with these provisions. If the Company has not so complied, we as Depositary must state why this is the case and outline the steps which we have taken to rectify the situation. Basis of Depositary Opinion The Depositary conducts such reviews as it, in its reasonable opinion, considers necessary in order to comply with its duties as outlined in Regulation 34, (1), (3) and (4) in Part 5 of the UCITS Regulations and to ensure that, in all material respects, the Company has been managed (i) in accordance with the limitations imposed on its investment and borrowing powers by the provisions of the Constitution and the UCITS Regulations and (ii) otherwise in accordance with the Constitution and the appropriate regulations. Opinion In our opinion, the Company has been managed during the financial year, in all material respects: (i) in accordance with the limitations imposed on the investment and borrowing powers of the Company by the Constitution, the

UCITS Regulations and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019 (the “Central Bank UCITS Regulations"); and

(ii) otherwise in accordance with the provisions of the Constitution, the UCITS Regulations and the Central Bank UCITS

Regulations. State Street Custodial Services (Ireland) Limited 78 Sir John Rogerson’s Quay Dublin 2 Ireland Date: 22 March 2021


Investment Manager's Report

7

Dear Shareholder, We are pleased to present this Investment Manager’s report for the Fund for the period 1 January through 31 December 2020 (the “Reporting Period”). The Fund’s investment objective is to seek capital appreciation by allocating assets among a variety of investment sub-advisers with experience managing non-traditional or “alternative” investment strategies

1. The Investment

Manager is responsible for selecting the strategies, for identifying and retaining Sub-Advisers with expertise in the selected strategies, and for determining the amount of Fund assets to allocate to each strategy and to each Sub-Adviser. The Investment Manager also manages a portion of the Fund’s assets directly

2.

Review of Fund Performance During the Reporting Period, the Fund generated a cumulative return, net of fees and expenses, in the Class I (USD) Accumulating share class of (6.80%)

3,4. For a summary of Fund performance of other share classes, please refer to Note 10 of

these audited annual financial statements. Over the same period, the HFRX Global Hedge Fund Index returned 6.81%, the Barclays Global Aggregate Bond Index returned 9.20%, and the MSCI World Total Return Index returned 16.50%

5.

Equity Equity strategies +1.00%

6 contributed positive performance over the Reporting Period.

In the first quarter of 2020, Equity strategies contributed positively to Fund performance against a materially negative global equity market backdrop. Exposure to quantitative Equity Market Neutral sub-strategies generated gains as increased volatility and a large market dislocation created opportunities to exploit mispricing in technical factors. These gains were partially offset by the performance of Equity Long Short sub-strategies, which were impacted by broad-based stock market de-risking, as both healthcare- and financials-focused exposures detracted from performance. Since mid-2017 we have hedged out residual equity beta in this portion of the portfolio via a short S&P 500 futures position, which also helped to mitigate losses in the first quarter. In the second quarter of 2020, Equity strategies produced slight gains as the Fund’s three sub-advisers who employ Equity Hedge strategies generated alpha amid heightened market volatility. Sub-advisers of Equity Market Neutral sub-strategies benefited from exposure to Financials, where the impacts of COVID-19 further accelerated the bifurcation of winners and losers in the sector. Equity Long Short sub-strategies also generated gains and benefited from exposure to a biopharmaceutical company that beat earnings and a managed care provider that hiked its dividend. Losses resulted from exposure to a retail pharmacy that faced headwinds due to the growing threat of e-commerce growth and a medical technology company that abandoned profit guidance for the remainder of the year due to pandemic-related uncertainty. The Fund’s beta-neutral positioning also detracted from Fund performance, as market hedges limited upside participation throughout the quarter. In the third quarter of 2020, Equity strategies were a slight detractor from performance. Losses were driven by Equity Market Neutral strategies, which experienced headwinds resulting from a reversal in volatility and momentum factors in August. These losses were partially offset by gains produced from Equity Long Short sub-strategies, which benefited from net long exposure to Healthcare. Within this portion of the portfolio, exposure to companies within the biotech and medical technology subsectors generated profits, led by a pharmaceutical company that reported record sales of a drug treating a rare autoimmune disease. Detractors were led by exposure to a medical technology company whose shares sold off in light of the market’s concern regarding a device recall, as well as exposure to Pan-Asia stocks, which traded down in concert with the U.S. market selloff.

1 There can be no assurance that the Fund will achieve its goals or avoid losses. 2 Blackstone Alternative Investment Advisors LLC (“BAIA”) manages a portion of the Fund’s assets directly. As of 31/12/2020, such investments included

allocations to structured notes providing exposure to commodity and equity capital markets strategies managed by third-party investment managers,

opportunistic trades and hedging. BAIA allocations are subject to change and BAIA’s fees on directly managed assets are not reduced by a payment to a sub-

adviser. 3 Class I (USD) Accumulating is the Fund’s share class with the longest track record that is currently open to new investors. Net performance for the Class I

(USD) Accumulating class, as well as indices, is from 1/1/2020 – 31/12/2020. 4 Fund performance is shown net of all fees and expenses. Past performance may not be a reliable guide to future performance. The value of Fund shares

may go down as well as up and there can be no assurance that the Fund will achieve its investment objectives or avoid significant losses. 5 The Fund is actively managed and uses the MSCI World Total Return Index, Bloomberg Barclays Global Aggregate Bond Index and HFRX Global Hedge Fund

Index for performance comparison purposes only. While a proportion of the Fund's assets may be components of and have similar weightings to one or

more of the referenced indices, BAIA and the Sub-Advisers may use their discretion to invest a significant proportion of the Fund in assets which are not

included in, or with different weightings to, the indices.. Comparisons to indices have limitations because indices have risk profiles, volatility, asset

composition and other material characteristics that may differ from the Fund. The indices do not reflect the deduction of fees or expenses. In the case of

equity indices, performance of the indices reflects the reinvestment of dividends. There is no guarantee that the Fund's performance will match or exceed

any reference index. 6 Sub-strategy performance is shown gross of all fee and expenses. Performance attribution represents the contribution of each sub-strategy to the Fund’s

total return. Performance is estimated and unaudited.


Investment Manager's Report (continued)

8

Equity (continued) In the fourth quarter of 2020, Equity strategies remained flat. Exposure to Chinese equities were the leading contributor of gains, driven by robust Chinese growth and declines in the value of the U.S. Dollar. Both Equity Long Short and Equity Market Neutral sub-strategies were slight detractors from performance. Within Equity Long Short sub-strategies, gains were generated from exposure to a biopharmaceutical company following the approval of its coronavirus vaccine, but were more than offset by negative contributions from short biotechnology positions as prices in the sector climbed higher throughout the quarter. Similarly, Equity Market Neutral sub-strategies suffered from exposure to quantitative investment strategies that faced headwinds in November associated with a factor rotation that impacted growth and momentum stocks. However, exposure to Real Estate Investment Trusts (“REITs”) helped to offset the losses, as the increased probability of a post-vaccine world led to considerable price appreciation in COVID-impacted sectors, including travel, entertainment, and retail. Credit Credit strategies (4.87%)

6 detracted from performance over the Reporting Period.

In the first quarter of 2020, Credit strategies were the largest detractor from Fund performance. Prior to the COVID-19 outbreak, we observed the fundamental strength of the U.S. consumer relative to global corporations, and increased allocations in the Fund to collateralized securities such as Residential Mortgage Backed Securities (“RMBS”) and Commercial Mortgage Backed Securities (“CMBS”) accordingly. Our credit portfolio was composed of what we believed to be high quality exposure to predominantly residential and commercial mortgages, with smaller exposure to loans and corporate credit. However, in the second half of March, we began to see forced unwinding from a variety of market participants, particularly in mortgages and other Fixed Income – Asset Backed exposures. Against this backdrop, the Fund’s exposure to RMBS and CMBS resulted in negative performance attribution. Driven by similar dynamics, our exposure to Credit Risk Transfer (“CRT”) bonds and debt securities tied to financial institutions also detracted from performance. In the second quarter of 2020, Credit strategies began to recoup losses and were the largest contributor to Fund performance as profits were bolstered by the improved performance of Fixed Income – Asset Backed sub-strategies. These sub-strategies bounced back, benefitting from capital formation and spread tightening. While the recovery was broad-based, we observed greater stabilization in residential mortgage markets, which were aided by reports of slowing loan forbearance growth, and less substantial price appreciation in commercial mortgages, where the government shutdown continued to weigh on corporate revenues. Meanwhile, certain Financials-related exposures continued to feel pain and demonstrated a slower speed of recovery. The performance of Distressed/Restructuring sub-strategies also rebounded in the second quarter. While the credit market dislocation resulted in mark-to-market pain for these sub-advisers, it also presented chances to purchase attractive assets at prices they believed represented discounts to fundamental value. Throughout the quarter, certain sub-advisers took advantage of opportunities to generate risk-adjusted returns in the stressed loan market, as a growing number of companies struggled to service debt and restructured existing financing arrangements. Gains were diverse across sectors, with notable contributions coming from exposure to loans to an automaker and an energy company. In the third quarter of 2020, Credit strategies were once again the largest contributor to Fund performance and benefited from positive returns generated by each sub-adviser. Fixed Income – Asset Backed sub-strategies continued their recovery from the Q1 selloff and were aided by continued spread tightening. Sub-advisers of these sub-strategies noted that prices in securities backed by residential mortgages had rebounded more than those backed by commercial mortgages, where COVID-related uncertainty had persisted and weighed on prices. Distressed/Restructuring sub-strategies also generated gains in the third quarter. Tailwinds associated with record levels of issuance and inflows in the high-yield debt market, as well as a growing number of companies experiencing financial distress, continued to present opportunities for sub-advisers to purchase assets they believe are undervalued throughout the quarter. Gains in this portion of the Fund were bolstered by exposure to loans to natural gas and cruise line companies, while losses resulted from exposure to a loan to a sporting gear company and bonds of a cosmetics company. In the fourth quarter of 2020, Credit strategies produced gains and benefited from positive returns generated by each sub-adviser. The Federal Reserve (“Fed”)’s commitment to a “lower-for-longer” interest rate environment continued to provide tailwinds for Fixed Income – Asset Backed sub-strategies, as bids for high-yielding securitized credit remained strong and facilitated further spread tightening. Distressed/Restructuring sub-strategies also generated gains. Profits came from exposure to the bonds of a cruise line company, which appreciated on positive news related to the development of a COVID-19 vaccine, as well as the bonds of a utility company after it made progress in restructuring its existing debt. Losses came from exposure to loans to a broadcasting company operating television and radio stations.



9

Multi-Asset Multi-Asset strategies +0.34%

6 contributed positively to performance over the Reporting Period.

In the first quarter of 2020, Multi-Asset strategies detracted from performance. Within this part of our portfolio, we have focused on allocating to sub-advisers and exposures that we believe are differentiated and could provide diversifying properties to the portfolio

7. While we liked the risk/return profile that we underwrote for certain emerging market (“EM”) credit exposures,

particularly in sovereign and quasi-sovereign bonds, developments throughout the quarter including declining oil prices and a wave of retail outflows from the sector resulted in a material drawdown. Elsewhere, we reduced our allocation to a risk parity strategy. As a reminder, risk parity strategies typically allocate capital across multiple asset classes by equalizing the risk contributions of each. While this can provide a meaningful source of diversification when negative correlations hold between these asset classes, the strategy can come under pressure when cross-asset correlations increase, as we saw in the first quarter. In the second quarter of 2020, Multi-Asset strategies produced gains and benefited from a notable recovery in the performance of Discretionary Thematic sub-strategies. Emerging market credit exposures generated gains throughout the quarter, as sovereign and quasi-sovereign bond prices appreciated due, in part, to broader risk appetite bolstered by investor optimism and the search for yield. Easing financial conditions and support from the International Monetary Fund (“IMF”) also reduced refinancing risk for sovereign bonds, as interest rates in the US remained near-zero, LIBOR declined for three consecutive months and $250 billion of financial assistance was provided to 77 countries

8. Not to be outdone, aggressive actions from policy

makers, including central bank interest rate cuts (e.g. Mexico, Brazil) and government stimulus measures (e.g. Russia), provided further support for sovereign bonds. Multi-Strategy sub-strategies also produced gains. Exposure to units of Special Purpose Acquisition Companies (“SPACs”) of companies pursuing initial public offerings (“IPOs”) generated profits. Risk Arbitrage sub-strategies delivered mixed performance. These sub-strategies, which invest in mergers and acquisitions through long exposure to targets and short exposure to acquirers, produced gains in April and May before suffering losses in June. For the quarter, losses were led by pairs of theatre, luxury retail and insurance companies. In the third quarter of 2020, Multi-Asset strategies produced gains. Discretionary Thematic sub-strategies were accretive to performance and benefited from profits generated from exposure to emerging market sovereign bonds. These exposures benefited from price appreciation resulting from increased demand, as investors continued to search for available sources of yield in a market environment marked by low and, in some cases, negative central bank interest rate policies. Despite these gains, slight losses were incurred by exposure to Russian bonds amid unrest in Belarus and the poisoning of opposition leader Alexei Navalny. Multi-Strategy sub-strategies also produced gains. Exposure to strategies focused on SPACs benefited from the growing popularity of these vehicles as a favorable alternative to traditional routes of accessing public capital markets, however, these gains were partially offset by cross asset relative value exposures, where losses were incurred as a result of correlation breakdowns in equities and bonds. In the fourth quarter of 2020, Multi-Asset strategies were the largest contributor to Fund performance. Discretionary Thematic sub-strategies contributed positively to performance and benefited from exposure to emerging market sovereign bonds. Gains produced by these exposures were supported by the Fed’s announcement that its low interest rate policy would remain unchanged, with no rate-hikes projected until the end of 2023. Detractors included exposure to the sovereign bonds of a South American country, which were impacted by the government’s diminished foreign exchange reserves as it continued to grapple with economic turmoil in the wake of the pandemic. Exposure to SPACs continued to benefit from the growing prevalence of these IPO vehicles, which claimed over 50% of the IPO market in 2020

9. Risk Arbitrage strategies also contributed positively, as

the landscape for mergers and acquisitions improved throughout the quarter. Exposure to business combinations in the cinema and entertainment space produced gains but were partially offset by losses from deals involving pairs of energy and utility companies. Hedging exposures were also a mild detractor in the quarter, as risk assets rebounded significantly following a volatile September and October.

7 The Fund may shift allocations among strategies and sub-strategies at any time. Accordingly, the exposures are presented for illustrative purposes only and

should not be viewed as predictive of the ongoing composition of the Fund’s portfolio, which may change at any time. 8 Source: International Monetary Fund (“IMF”). As of July 2, 2020.

9 Source: SPAC Analytics. As of December 31, 2020.



10

Sub-Advisers and Strategies Added/Removed At Blackstone, we believe that managing the optimal mix of strategies across the portfolio and adjusting it over time are key to generating returns in different market environments. Over the course of 2020, we added four new sub-advisers and terminated three sub-advisory relationships.

2020 Sub-Adviser Additions:

1. Shelter Growth (Shelter Growth Capital Partners LLC) is a credit-focused investment manager with a concentration on U.S. commercial and residential mortgage-related instruments and consumer linked products. Shelter Growth seeks to provide uncorrelated returns with low volatility through carry, trading gains and capital appreciation.

2. Seiga (Seiga Asset Management Limited): Seiga is a Pan-Asia fundamental long/short equity investment manager focused on deploying capital within a concentrated portfolio of high-conviction mid/large-cap ideas. Seiga seeks to take advantage of mispricings from market inefficiencies throughout Japan and China, with a focus on consumer, industrials, and technology sectors.

3. Jasper (Jasper Capital Hong Kong Limited): Jasper is a quantitative equity investment manager focused on the China A

Shares market. The strategy is primarily centered on extracting signals at the shorter-term time horizon to generate alpha from the structural inefficiencies and trading constraints that are characteristic of the market.

4. Nephila (Nephila Capital Limited): Nephila is the largest asset manager in the insurance linked securities (“ILS”) space, managing approximately $9.5 billion of assets invested in catastrophe (“CAT”) risk, weather risk, and related insurance- and reinsurance-linked securities. Nephila leverages its proprietary models, systems, and industry relationships to find the best relative opportunities across instrument types in the reinsurance market.

2020 Sub-Adviser Terminations:

1. GSA (GSA Capital Partners LLP): GSA has been an inactive sub-adviser since September 2018, and we have mutually agreed to remove them from the Fund’s sub-adviser roster.

2. H2O (H2O AM LLP): H20 has been an inactive sub-adviser since June 2018, and we have mutually agreed to remove them from the Fund’s sub-adviser roster.

3. Shelter Growth (Shelter Growth Capital Partners LLC) has been an inactive sub-adviser since May 2020, and we have

mutually agreed to remove them from the Fund’s sub-adviser roster.

Sub-adviser and strategy additions and terminations are normal events in Blackstone’s hedge fund investment process and result from our dynamic evaluation of the top down assessment of the opportunity set for hedge fund strategies as well as the bottom up evaluation of a manager’s ability to deliver alpha in a given environment. We appreciate your choosing to invest with us, and we look forward to serving you for years to come. Sincerely, Blackstone Alternative Investment Advisors LLC Date: March 2021

Deloitte Ireland LLP

Chartered Accountants &

Statutory Audit Firm

INDEPENDENT AUDITOR’S REPORT TO THE SHAREHOLDERS OF BLACKSTONE ALTERNATIVE INVESTMENT FUNDS PLC

Report on the audit of the financial statements Opinion on the financial statements of Blackstone Alternative Investment Funds plc (“the Company”) In our opinion the financial statements:

• give a true and fair view of the assets, liabilities and financial position of the company as at 31 December 2020 and of the loss for the financial year then ended;

• have been properly prepared in accordance with the relevant financial reporting framework, the applicable Regulations and, in particular, with the requirements of the Companies Act 2014; and

• present fairly, in all material respects, the financial position of the company as of 31 December 2020, and the results of its operations and its cash flows for the year then ended in accordance with the relevant financial reporting framework.

The financial statements we have audited comprise:

• the Statement of Financial Position;

• the Statement of Comprehensive Income;

• the Statement of Changes in Net Assets attributable to holders of Redeemable Participating Shares;

• the Statement of Cash Flows;

• the related notes 1 to 20, including a summary of significant accounting policies as set out in note 3; and

• the Schedule of Investments. The relevant financial reporting framework that has been applied in their preparation is the Companies Act 2014 and International Financial Reporting Standards (IFRS) as adopted by the European Union (“the relevant financial reporting framework”) and interpretations adopted by the International Accounting Standard Board including a reconciliation to accounting principles generally accepted in the United States of America (“US GAAP”). The applicable regulations that have been applied in their preparation is the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 and “The Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019” (“the applicable Regulations”). Basis for opinion We conducted our audit in accordance with International Standards on Auditing (Ireland) (ISAs (Ireland)), auditing standards generally accepted in the United States of America (“US GAAS”) and applicable law. Our responsibilities under those standards are described below in the “Auditor's responsibilities for the audit of the financial statements” section of our report. We are independent of the Company in accordance with the ethical requirements that are relevant to our audit of the financial statements in Ireland, including the Ethical Standard issued by the Irish Auditing and Accounting Supervisory Authority, and we have fulfilled our other ethical responsibilities in accordance with these requirements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. Conclusions relating to going concern In auditing the financial statements, we have concluded that the directors’ use of the going concern basis of accounting in the preparation of the financial statements is appropriate. Based on the work we have performed, we have not identified any material uncertainties relating to events or conditions that, individually or collectively, may cast significant doubt on the Company’s ability to continue as a going concern for a period of at least twelve months from when the financial statements are authorised for issue. Our responsibilities and the responsibilities of the directors with respect to going concern are described in the relevant sections of this report.

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INDEPENDENT AUDITOR’S REPORT TO THE SHAREHOLDERS OF BLACKSTONE ALTERNATIVE INVESTMENT FUNDS PLC

Other information The directors are responsible for the other information. The other information comprises the information included in the Annual Report and Audited Financial Statements, other than the financial statements and our auditor’s report thereon. Our opinion on the financial statements does not cover the other information and, except to the extent otherwise explicitly stated in our report, we do not express any form of assurance conclusion thereon. In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated. If we identify such material inconsistencies or apparent material misstatements, we are required to determine whether there is a material misstatement in the financial statements or a material misstatement of the other information. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard. Responsibilities of directors As explained more fully in the Directors’ Report and Statement of Directors’ Responsibilities, the directors are responsible for the preparation of the financial statements and for being satisfied that they give a true and fair view and otherwise comply with the Companies Act 2014, and for such internal control as the directors determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. In preparing the financial statements, the directors are responsible for assessing the company’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the directors either intend to liquidate the company or to cease operations, or have no realistic alternative but to do so. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with IFRS including a reconciliation to US GAAP; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor’s responsibilities for the audit of the financial statements Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor's report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with either ISAs (Ireland) or US GAAS will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. As part of our audit in accordance with ISAs (Ireland) and US GAAS, we exercise professional judgment and maintain professional scepticism throughout the audit. We also:

• Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.

• Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the company’s internal control. Accordingly, we express no such opinion.

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INDEPENDENT AUDITOR’S REPORT TO THE SHAREHOLDERS OF

BLACKSTONE ALTERNATIVE INVESTMENT FUNDS PLC

• Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the directors and management as well as evaluating the overall presentation of the financial statements.

• Conclude on the appropriateness of the directors’ use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the company’s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of the auditor’s report. However, future events or conditions may cause the entity (or where relevant, the group) to cease to continue as a going concern.

• Evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that the auditor identifies during the audit. Report on other legal and regulatory requirements Opinion on other matters prescribed by the Companies Act 2014 Based solely on the work undertaken in the course of the audit, we report that:

• We have obtained all the information and explanations which we consider necessary for the purposes of our audit.

• In our opinion the accounting records of the company were sufficient to permit the financial statements to be readily and properly audited.

• The financial statements are in agreement with the accounting records.

• In our opinion the information given in the directors’ report is consistent with the financial statements and the directors’ report has been prepared in accordance with the Companies Act 2014.

Matters on which we are required to report by exception Based on the knowledge and understanding of the company and its environment obtained in the course of the audit, we have not identified material misstatements in the directors' report. We have nothing to report in respect of the provisions in the Companies Act 2014 which require us to report to you if, in our opinion, the disclosures of directors’ remuneration and transactions specified by law are not made. Use of our report This report is made solely to the company’s shareholders, as a body, in accordance with Section 391 of the Companies Act 2014. Our audit work has been undertaken so that we might state to the company’s shareholders those matters we are required to state to them in an auditor’s report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the company and the company’s shareholders as a body, for our audit work, for this report, or for the opinions we have formed. Niamh Geraghty For and on behalf of Deloitte Ireland LLP Chartered Accountants and Statutory Audit Firm Deloitte & Touche House Earlsfort Terrace Dublin 2 26 March 2021


Statement of Comprehensive Income

15

Blackstone Diversified

Multi-Strategy Fund


Multi-StrategyFund

31 Dec 2020 31 Dec 2019 Note USD USD

Investment (loss)/gain

Dividends 3 3,829,280 3,909,291

Interest 3 53,934,734 95,363,155

Net (loss)/gain from investments in securities included in financial assets

at fair value through profit or loss 3 (221,189,710) 82,406,555

Net (loss)/gain on foreign exchange 3 (295,677) 59,350

Net gain/(loss) from financial derivative instruments included in financial

assets and financial liabilities at fair value through profit or loss 5 22,592,122 (39,632,371)

Total investment (loss)/gain (141,129,251) 142,105,980

Investment Management fees 11, 12 (24,014,333) (29,342,249)

Administrator fees 11 (3,158,870) (3,696,502)

Performance fees 11, 12 (1,386,638) (11,323,926)

Legal fees (256,946) (379,410)

Audit and tax fees 11 (97,031) (90,900)

Professional fees 11 (778,464) (1,004,256)

Depositary fees 11 (667,880) (523,801)

Trustee fees (416,381) (508,709)

Directors’ fees 11, 12 (80,000) (81,802)

Other operating expenses (311,120) (701,615)

Total expenses (31,167,663) (47,653,170)

Operating (loss)/profit (172,296,914) 94,452,810

Finance costs

Distributions to redeemable participating shareholders 3 (9,663,157) (5,921,615)

Total finance costs (9,663,157) (5,921,615)

(Loss)/profit before tax (181,960,071) 88,531,195

Withholding tax 4 (1,520,519) (3,363,664)

(Decrease)/increase in net assets attributable to holders of redeemable

participating shares resulting from operations (183,480,590) 85,167,531

There are no recognised gains or losses in the financial year other than those dealt with in the Statement of Comprehensive Income. All results are from continuing activities. The accompanying notes are an integral part of these financial statements. For a summary of share class performance in local currency, please refer to Note 10.


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

16


Multi-Strategy Fund


Multi-StrategyFund

31 Dec 2020 31 Dec 2019 Note USD USD

Net assets attributable to holders of redeemable

participating shares at beginning of financial year 2,279,829,860 1,799,644,587

Issuance of shares 10 401,325,490 895,737,748

Redemption of shares 10 (1,222,971,839) (500,720,006)

Net (decrease)/increase from share transactions (821,646,349) 395,017,742

(Decrease)/increase in net assets attributable to holders of redeemable

participating shares from operations 14* (183,480,590) 85,167,531

Net assets attributable to holders of redeemable

participating shares at end of financial year 1,274,702,921 2,279,829,860

The accompanying notes are an integral part of these financial statements. * Performance in local currency for each share class is disclosed in the Financial Highlights within Note 14.


Statement of Cash Flows

17


Multi-Strategy Fund


Multi-StrategyFund

31 Dec 2020 USD

31 Dec 2019USD

Cash flows from operating activities

(Decrease)/increase in net assets attributable to holders of redeemable participating shares resulting from operations (183,480,590) 85,167,531Adjustments to reconcile net increase/(decrease) in net assets resulting from operations to net cash used in operating activities:

Purchases of investments in securities (2,260,716,590) (3,369,413,248)

Proceeds from disposition of investments in securities 2,851,036,428 3,279,000,734

Premiums paid on purchased options (8,682,964) -

Proceeds from disposition of purchased options 8,766,296 -

Proceeds from premiums received on closing options written 12,152,758 -

Premiums paid on options written (13,106,508) -

Premiums paid on swaps (110,709) (1,236,145)

Premiums received on swaps 173,215 181,214

Net realised (loss)/gain on investments in securities and financial derivative instruments (193,924,904) 7,215,765Net change in unrealised gain/(loss) on investments in securities and financial derivative instruments 356,638,075 (116,192,004)

Net amortisation of bonds and swap premium 3,933,213 5,244,284

Changes in assets and liabilities:

Decrease/(Increase) in assets:

Securities purchased under agreement to resell - 95,000,000

Due from broker 69,528,442 (138,494,665)

Interest receivable 7,098,388 (592,527)

Receivable for financial derivative instruments sold 616,862 (832,762)

Other assets 22,190 (6,127)

Increase/(decrease) in liabilities:

Due to broker 21,474,367 254,478

Investment Management fees payable (3,373,895) 1,201,434

Administrator fees payable (1,820,918) 1,115,162

Performance fees payable (10,230,312) 11,323,926

Audit and tax fees payable (17,487) 23,749

Professional fees payable 128,460 388,911

Depositary fees payable (287,763) 165,317

Trustee fees payable (324,543) 280,277

Directors' fees payable 16,153 -

Legal fees payable (102,197) 5,505

Payable for financial derivative instruments purchased (289,911) 1,766,612

Other payables and accrued expenses (97,658) (1,084,466)

Net cash flows provided by/(used in) by operating activities 655,017,898 (139,517,045)

Cash flows from financing activities:

Proceeds from issue of shares 405,484,550 893,220,771

Cost of shares redeemed (1,221,368,520) (522,316,657)

Net cash flows (used in)/provided by financing activities (815,883,970) 370,904,114

Net (decrease)/increase in cash (160,866,072) 231,387,069

Cash at beginning of financial year 269,947,596 38,560,527

Cash at end of financial year 109,081,524 269,947,596

Supplemental information:

Interest received 61,033,122 94,770,628

Dividends received 4,000,327 3,931,402

Interest paid - (1,346,080)

Tax paid (177,495) (175,265)

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


Notes to the Financial Statements for the financial year ended 31 December 2020

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Note 1. Organisation The Company is an open-ended investment company organised under the laws of Ireland as a public limited company pursuant to the Companies Act 2014 and the UCITS Regulations as an umbrella company with variable capital and segregated liability between sub-funds. The Company was incorporated on 13 May 2014 and was authorised by the Central Bank on 15 July 2014 as an undertaking for collective investment in transferable securities. The Company has obtained approval of the Central Bank for the establishment of the initial sub-fund, the Blackstone Diversified Multi-Strategy Fund, which commenced operations on 11 August 2014. The objective of the Fund is to seek capital appreciation. The Investment Manager seeks to achieve the Fund's objective by allocating its assets among a variety of discretionary and non-discretionary Sub-Advisers with experience managing and/or advising on non-traditional or “alternative” investment strategies. The Investment Manager of the Company and the Fund is Blackstone Alternative Investment Advisors LLC. Note 2. Basis of presentation (a) Statement of compliance

The financial statements have been prepared on a going concern basis in accordance with European Union (“EU”) endorsed International Financial Reporting Standards ("IFRS") and interpretations adopted by the International Accounting Standards Board (“IASB”) and the Companies Act 2014 as applicable to companies reporting under IFRS and the UCITS Regulations. Below are the significant accounting and reporting policies adopted by the Company. (b) Basis of preparation The financial statements of the Company are presented in the functional currency of the Fund, the U.S. Dollar (“USD”). These financial statements are prepared on a historical cost basis except for financial assets and financial liabilities at fair value through profit or loss, which have been measured at fair value. The accounting policies have been consistently applied by the Company. (c) Use of estimates The preparation of financial statements in conformity with IFRS requires the use of certain critical accounting estimates and assumptions. It also requires the Board to exercise its judgement in the process of applying the Company’s accounting policies. Actual results may differ from those estimates and assumptions. Note 3. Significant accounting policies (a) Financial assets and financial liabilities at fair value through profit or loss (i) Classification The Company has classified its investments into financial assets and financial liabilities at fair value through profit or loss category in accordance with IFRS 9 “Financial Instruments” (“IFRS 9”). (ii) Recognition The Company recognises financial assets and financial liabilities at fair value through profit or loss. They are recognised initially on the trade date at which the Company becomes a party to contracted provisions of the instruments. From this date any gains and losses arising from changes in fair value of the financial assets or financial liabilities are recorded in the Statement of Comprehensive Income. Other financial assets and financial liabilities are recognised on the date they are originated. (iii) Derecognition A financial asset is derecognised when there is no longer control over the contractual rights that comprise that asset. This occurs when the rights are realised, expire or are surrendered. A financial liability is derecognised when it is extinguished or when the obligation specified in the contract is discharged, cancelled or expired. The specific identification method is used to determine realised gains and losses on derecognition. On derecognition, the difference between the carrying amount and consideration received is recognised in the Statement of Comprehensive Income. (iv) Initial measurement Financial instruments categorised at fair value through profit or loss are recognised initially at fair value, with transaction costs for such instruments being recognised directly in the Statement of Comprehensive Income. Financial liabilities, other than those at fair value through profit or loss, are recognised initially at fair value plus transaction costs that are directly attributable to their acquisition or issue. (v) Subsequent measurement After initial measurement, the Company measures financial instruments which are classified at fair value through profit or loss, at their fair values. Changes in the fair value recognised are recorded in the Statement of Comprehensive Income.


Notes to the Financial Statements for the financial year ended 31 December 2020 (continued)

19

Note 3. Significant accounting policies (continued) (a) Financial assets and financial liabilities at fair value through profit or loss (continued) (vi) Determination of fair value

Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction in the principal (or most advantageous) market at the measurement date under current market conditions (i.e. an exit price) regardless of whether the price is directly observable or estimated using another valuation technique. The Valuation Point of the Fund is as of the close of regular trading session of the New York Stock Exchange (“NYSE”) (normally 4:00 pm (New York Time)) on each Dealing Day. If market quotations are not readily available (or are otherwise not reliable for a particular investment), the fair value will be determined in good faith by the Investment Manager, and such determinations shall be reported to the Board. Due to the inherent uncertainty of these estimates, estimates of fair value may differ from the values that would have been used had a ready market for these investments existed and the differences could be material. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, or broker-dealer quotations), including where events occur after the close of the relevant market, but prior to the close of the NYSE, that materially affect the values of each of the investments. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the Investment Manager, as a competent person appointed by the Board and approved for such purpose by the Depositary, the responsibility for monitoring significant events that may materially affect the values of investments and for determining whether the value of the applicable investments should be re-evaluated in light of such significant events. There were no instances of such determinations made as at 31 December 2020 or 31 December 2019 (other than adjustments based on factors for certain non-U.S. equity securities as described below under “Exchange-Traded Securities”). Exchange Traded Securities Equity securities, including common stocks, listed preferred stock, exchange-traded funds, and financial derivative instruments such as futures contracts and option contracts, that are traded on a regulated market or on the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sales price, official settlement price, or the NASDAQ official closing prices, as applicable. For securities traded on more than one exchange, the last reported sales price on the primary exchanges is used. To the extent these securities and financial derivative instruments are actively traded and adjustments are not applied, they are categorised as Level 1 within the fair value hierarchy. The Company may use a third-party fair valuation service provider to value non-U.S. equity securities that are primarily traded outside of North and South America. The third-party fair valuation service provider calculates a factor (“Fair Value Factor”) that is applied to adjust the last price of each such security in the event that there is movement in excess of a specified trigger (“Fair Value Trigger”) as measured by the movement between the prior close and the current close of the U.S. market. Non-U.S. equities for which the last price has been adjusted by such factor will generally be categorised as Level 2 within the fair value hierarchy. Futures The Fund may enter into futures contracts (“futures”) and may engage in a variety of transactions involving the use of futures. In the ordinary course, the Fund may be exposed to fluctuations in equity prices, interest rates, commodity prices and foreign currency exchange rates. Futures contracts are standardised agreements to buy or sell a security, or deliver a final cash settlement price in connection with an index, interest rate, currency, or other asset. A Fund must deposit an amount (“initial margin”) equal to a certain percentage of the face value of the futures contract. The initial margin may be in the form of cash or securities which is returned when the Fund’s obligations under the contract have been satisfied. If cash is deposited as the initial margin, it is classified within due to/from broker on the Statement of Financial Position. Futures contracts are marked-to-market daily and subsequent payments (“variation margin”) are made or received by the Fund depending on whether unrealised gains or losses are incurred. When the contract is closed or expires, the Fund records a realised gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Options Contracts The Fund may purchase and write call and put options. An option contract purchased by the Fund gives the Fund the right, but not the obligation, to buy (call) or sell (put) an underlying instrument at a fixed exercise price during a specified period. Call options written by the Fund gives the holder the right to buy the underlying instrument from the Fund at a fixed exercise price; put options written by the Fund gives the holder the right to sell the underlying instrument to the Fund at a fixed exercise price. Purchases of put and call options are recorded as investments, the value of which are marked-to-market daily. When a purchased option expires without being exercised, the Fund will realise a loss equal to the premium paid. When a Fund enters into a closing sale transaction, the Fund will realise a gain or loss depending on whether the sales proceeds from the closing sale transaction are greater or less than the premium initially paid for the option. When a Fund exercises a put option, it will realise a gain or loss from the sale of the underlying instrument and the proceeds from such sale will be decreased by the premium originally paid for the put option. When a Fund exercises a call option, the cost of the security which the Fund purchases upon exercise will be increased by the premium originally paid for the call option.



20

Note 3. Significant accounting policies (continued) (a) Financial assets and financial liabilities at fair value through profit or loss (continued) (vi) Determination of fair value (continued)

Options Contracts (continued) The premium received for a written option is recorded as an asset and an equivalent liability. When a written option expires without being exercised or a Fund enters into a closing purchase transaction, the Fund realises a gain (or loss if the cost of the closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealised gain or loss on the underlying instrument and the liability related to such option is eliminated. When a written call option is exercised, the Fund realises a gain or loss, as adjusted for the premium received, from the sale of the underlying instrument. When a written put option is exercised, the premium received is offset against the amount paid for the purchase of the underlying instrument. Over-the-Counter Market (“OTC”) Financial Derivative Instruments Financial derivative instruments, such as forward foreign currency exchange contracts, OTC options contracts, or swap agreements, derive their value from underlying referenced instruments or obligations, indices, reference rates, and other inputs or a combination of these factors. These instruments are normally valued by pricing service providers or based on broker-dealer quotations. Depending on the product and the terms of the transaction, the value of financial derivative instruments can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, yield curves, dividends and exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorised as Level 2 within the fair value hierarchy. Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange. For centrally cleared credit default swaps the clearing facility requires its members to provide actionable levels across complete term structures. These levels along with external third-party prices are used to produce daily settlement prices. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates to produce the daily settlement price. These securities are categorised as Level 2 within the fair value hierarchy. The fair value of financial derivative instruments is reconciled to counterparty valuation statements on a daily basis. Forward Foreign Currency Exchange Contracts The Fund may enter into forward foreign currency exchange contracts. Forward foreign currency exchange contracts are over-the-counter agreements between two parties to receive or deliver a fixed quantity of foreign currency for an agreed upon price on an agreed upon future date. The fair value of a forward foreign currency contract fluctuates with the changes in foreign currency exchange rates. These contracts are valued daily and the change in fair value is recorded as an unrealised gain or loss on forward foreign currency exchange contracts. Where a forward foreign currency exchange contract is purchased to hedge currency risk of a specific class which is issued in a currency other than the measurement currency of the Company, all gains and losses on the forward foreign currency exchange contract are allocated to that specific class. When a contract is closed, the Fund recognises a realised gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Swap Agreements The Fund may enter into total return, interest rate, cross currency and credit default swap agreements (“swaps”). Swaps are bilaterally negotiated agreements between the Fund and a counterparty in which the Fund and counterparty agree to make either periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the over-the-counter market or may be executed in a multilateral or other trade facility platform, such as a registered exchange (“centrally cleared swaps”). In connection with these agreements, securities or cash (“segregated cash” or “collateral”) may be paid or received, as applicable, by the Fund as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency. Interest Rate Swaps: The Fund may enter into OTC and/or centrally cleared interest rate swap contracts. The Fund is subject to interest rate risk exposure in the normal course of pursuing their investment objectives. The Fund may hold fixed rate bonds, and the value of these bonds may decrease if interest rates rise. Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating rate, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. Interest rate swaps can be purchased or sold with an upfront premium. Upfront payments received and paid by a Fund are reflected in the fair value of swap contracts on the Statement of Financial Position. Interest rate swaps are marked-to-market daily and any change is recorded as an unrealised gain or loss on swaps. Payments, including upfront premiums, received or made are recorded as realised gains or losses at the closing of the contract.



21

Note 3. Significant accounting policies (continued) (a) Financial assets and financial liabilities at fair value through profit or loss (continued) (vi) Determination of fair value (continued)

Over-the-Counter Market (“OTC”) Financial Derivative Instruments (continued) Swap Agreements (continued) Total Return Swaps: The Fund may enter into total return swap agreements to obtain exposure to a security, referenced portfolio of securities, index or market without owning such security or investing directly in that security, index or market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which one party agrees to make periodic payments to another party based on the change in market value of the underlying instrument, which may include a specified security, index, basket/portfolio of securities or securities indices during the specific period, in return for periodic payments based on a fixed or floating rate or the total return from other underlying assets. To the extent the total return of the instrument underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. Total return swaps can also be structured without an interest payment, so that one party pays the other party if the value of the underlying instrument increases and receives payment from the other party if the value of the underlying asset decreases. Credit Default Swaps: In an OTC credit default swap contract, the protection buyer typically makes an upfront payment and a periodic stream of payments to counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructurings and obligation acceleration. Upfront payments received and paid by a Fund are reflected in the fair value of swap contracts on the Statement of Financial Position. Periodic payments received or paid by the Fund are recorded as realised gains or losses. Credit default swaps are marked to market daily and the change is recorded as an unrealised gain or loss on swaps. Upon the occurrence of a credit event, the difference between the par value and the market value of the reference obligation, net of any proportional amount of upfront payment, is recorded as a realised gain or loss on swaps. To Be Announced Securities (“TBAs”): The Fund may transact in TBAs. A seller agrees to issue TBAs at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Fund agrees to accept any security that meets specified terms such as issuer, interest rate and terms of underlying mortgages. The Fund records TBAs on the trade date utilising information associated with the specified terms of the transaction as opposed to the specific mortgages. TBAs are marked-to-market daily and begin earning interest on the settlement date. Losses may occur due to the fact that the actual underlying mortgages received may be less favorable than those anticipated by the Fund. Interest rate swaps, total return swaps, cross currency swaps, credit default swaps and TBAs outstanding at the financial year end are listed in the Fund’s Schedule of Investments. Fixed Income Investments Fixed income securities, including corporate and convertible bonds, U.S. Treasury obligations, sovereign debt obligations, bank loans and trade claims, are normally valued by pricing service providers on the basis of last available bid price. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models to determine the reported price. The pricing service providers’ internal models use observable inputs such as issuer details, interest rates, yield curves, credit risks/spreads and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorised as Level 2 within the fair value hierarchy. Mortgage-related and asset-backed securities (“ABS”) are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, prepayment spreads, default rates and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorised as Level 2 within the fair value hierarchy. Structured notes Structured notes seek to generate income and provide exposure to the performance of an underlying security, group of securities or exchange-traded funds (the “underlying reference instrument”). In a structured note, a fund purchases a note from a bank or broker-dealer and in return, the issuer provides for interest payments during the term of the note. The use of structured notes involves the risk that the value of the note changes unfavorably due to movements in the value of the underlying reference instrument.



22

Note 3. Significant accounting policies (continued) (a) Financial assets and financial liabilities at fair value through profit or loss (continued) (vii) Securities purchased under agreement to resell

The Company may enter into repurchase agreements for efficient portfolio management, subject to conditions and limits set out in the Central Bank Regulations. Repurchase agreements are generally accounted for as collateralised financing transactions and may be recorded at their contractual resell amounts. Under the terms of a typical repurchase agreement, the Company takes possession of securities purchased from a counterparty in a repurchase agreement with a contractual obligation to resell the same securities at an agreed upon price and date. Repurchase agreements are subject to the terms of a master repurchase agreement (the “MRA”). A MRA contains provisions for, among other things, initiation, income payments, events of default and maintenance of securities. A MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty. Entering into repurchase agreements entails certain risks, which includes the risk that the counterparty to the repurchase agreement may not be able to fulfil its obligations, that the parties may disagree as to the meaning or application of contractual terms, or that the instrument may not perform as expected. Generally the Investment Manager seeks to mitigate this risk by ensuring that the counterparty to a repurchase agreement has a minimum credit rating of A-2 or equivalent and that the Fund has ability at any time to recall any securities subject to the repurchase contract or terminate the repurchase contract into which it has entered. (viii) Offsetting financial instruments Financial assets and financial liabilities are not offset and are presented on a gross basis in the Statement of Financial Position. The Fund holds master netting or similar agreements with its counterparties. The Fund considers that it has a current legally enforceable right to set-off certain recognised amounts as further described in Note 6 to the financial statements. (b) Foreign currency transactions Functional and presentation currency

The functional currency of the Fund is the U.S. Dollar. Items included in the Fund’s financial statements are measured using the currency of the primary economic environment in which it operates (the “functional currency”), as the majority of the Fund's investments are held in U.S. Dollar. The Fund has adopted its functional currency as the presentation currency. Transactions and balances Transactions in currencies other than the functional currency are recorded at the rates of exchange prevailing on the dates of the transactions. Foreign exchange gains and losses resulting from the settlement of such transactions and from the translation of financial year end exchange rates of monetary items and non-monetary assets and liabilities that are denominated in foreign currencies are recognised in the Statement of Comprehensive Income in the financial year in which they arise. Foreign exchange gains and losses on financial assets and financial liabilities at fair value through profit or loss are recognised together with other changes in fair value. Net foreign exchange gains/(losses) on non-monetary and monetary financial assets and financial liabilities other than those classified at fair value through profit or loss are included in the line item net (loss)/gain on foreign exchange in the Statement of Comprehensive Income. (c) Cash and cash equivalents Cash at bank, if any, includes cash in hand held by the Depositary. The Company considers short-term, highly liquid investments with original maturities of 90 days or less when acquired to be cash equivalents. As at 31 December 2020 and 31 December 2019, the Fund had no balances related to cash equivalents.



23

Note 3. Significant accounting policies (continued) (d) Due to/from broker Due to/from broker includes margin deposits and collateral for swap contracts, futures contracts, option contracts and forward foreign currency contracts. Amounts appearing in the Statement of Financial Position as due to/from broker reflect exposures which contribute to counterparty risk and which are detailed in the following table. See Note 6 for full details of exposure by counterparty.

31 December 2020 31 December 2019

Due from broker

USD

Due to broker

USD

Due from broker

USD

Due to broker

USD

Barclays Bank plc 350,000 - 1,370,000 -

Citibank N.A. 2,470,000 - 3,833,212 -

Credit Suisse Securities (Europe) Limited - (125,000) 1,890,000 (125,000)

Credit Suisse Securities (USA) LLC 4,781,707 (8,372) 750,698 -

Deutsche Bank AG 280,000 - - (290,000)

Goldman Sachs International 20,072,654 - 15,493,300 -

Goldman Sachs & Co. LLC - - 1,211,395 -

HSBC Bank plc - - 4,740,000 -

J.P. Morgan Securities LLC 1,829,390 (3,296) - -

JPMorgan Chase Bank, N.A. 19,132,000 - 52,432,000 -

Merrill Lynch Capital Services, Inc. 290,000 - 970,000 -

Merrill Lynch, Pierce, Fenner & Smith, Inc.

5,940,034 (1,642,699) 21,144,093 -

Morgan Stanley & Co. LLC 6,561,684 - 1,787,962 -

Morgan Stanley Capital Services LLC 93,737,749 - 119,351,000 -

State Street Bank and Trust Company - (20,110,000) - -

155,445,218 (21,889,367) 224,973,660 (415,000)

(e) Receivable for investments sold and payable for investments purchased Receivable for investments sold and payable for investments purchased represents amounts receivable and payable respectively, for transactions contracted for but for which settlement has not occurred at the end of the financial year. (f) Redeemable participating shares All redeemable participating shares issued by the Fund provide the investors with the right to require redemption for cash at the value proportionate to the investor’s share in the Fund’s net assets at the redemption date. In accordance with IAS 32 “Financial Instruments: Presentation” such instruments give rise to a financial liability for the present value of the redemption amount. (g) Interest income and expense Interest income and expense is recognised in the Statement of Comprehensive Income as it accrues, on an effective interest rate basis. (h) Dividend income

Dividend income from financial assets at fair value through profit or loss is recognised in the Statement of Comprehensive Income within dividends when the Fund’s right to receive payments is established. This will generally be the ex-dividend date or, for certain securities, when notified. Dividend income is recognised gross of withholding tax, if any. (i) Expenses All expenses, including investment management fees, administration fees and depositary fees, are recognised in the Statement of Comprehensive Income on an accrual basis.



24

Note 3. Significant accounting policies (continued) (j) Anti-dilution levy In calculating the subscription/redemption price for shares, the Company may, in the Company's reasonable discretion, on any Dealing Day on which there are net subscriptions/redemptions that result in a Fund incurring dealing costs, adjust the subscription/redemption price for the Fund by adding/deducting an anti-dilution levy of up to 2.50% of the Net Asset Value (“NAV”) per Share to cover dealing costs and to preserve the value of the underlying assets of the Fund. Any anti-dilution levy will be retained by the Fund. No anti-dilution levy was applied for the financial years ended 31 December 2020 or 31 December 2019. (k) Distributions Distributions proposed and approved by the Board subsequent to the financial year end are not recognised as a liability at the financial year end date. Distributions are recognised in the financial year that they are declared and paid by the Board. During the financial year ended 31 December 2020, the Board declared and paid a distribution of USD9,663,157 on the Class I (GBP) Distributing, Class I (USD) Distributing share class and Class A (EUR) Distributing share class. During the financial year ended 31 December 2019, the Board declared and paid a distribution of USD5,921,615 on the Class I (GBP) Distributing, Class I (USD) Distributing share class and Class A (EUR) Distributing share class. (l) Transaction costs Transaction costs are incremental costs that are directly attributable to the acquisition, issue or disposal of a financial asset or financial liability. An incremental cost is one that would not have been incurred if the entity had not acquired, issued or disposed of the financial instrument. When a financial asset or financial liability is recognised initially, an entity shall measure it at its fair value through profit or loss including transaction costs that are directly attributable to the acquisition or issue of the financial asset or financial liability. Transaction costs on the purchases and sales of fixed income securities, swaps and forward foreign currency exchange contracts are included in the purchase and sale price of the investment. They are embedded in the cost of the investment and cannot be separately verified or disclosed. Transaction costs on purchases and sales of equities, options and futures contracts are included in net gain/(loss) from investments in securities included in financial assets at fair value through profit or loss and net (loss) from financial derivative instruments included in financial assets and liabilities at fair value through profit or loss in the Statement of Comprehensive Income. Depositary transaction costs are included in depositary fees in the Statement of Comprehensive Income. The total transaction costs incurred by the Fund during the financial year are disclosed in Note 11. Depositary transaction costs include transaction costs paid to the Depositary. Purchase and sales transaction costs include identifiable brokerage charges, commissions, transaction-related taxes and other market charges. (m) New standards, amendments and interpretations issued and effective for the financial year beginning 1 January

2020 There are no new standards, amendments or interpretations issued and effective for the financial year beginning 1 January 2020 that have a significant impact on the Company’s financial position, performance or disclosures in its financial statements. (n) New standards, amendments and interpretations issued but not effective for the financial year beginning 1

January 2020 and not early adopted IFRS 17 “Insurance Contracts” was issued in May 2017 and will become effective for accounting periods beginning on or after 1 January 2023. It applies to: insurance contracts, including reinsurance contracts, issued by an entity; reinsurance contracts held by an entity; and investment contracts with discretionary participation features issued by an entity that issues insurance contracts. An insurance contract is defined as ‘a contract under which one party (the issuer) accepts significant insurance risk from another party (the policyholder) by agreeing to compensate the policyholder if a specified uncertain future event (the insured event) adversely affects the policyholder’. The new standard is not expected to have a significant impact on the Company’s financial position, performance or disclosures in its financial statements. There are no other standards, interpretations or amendments to existing standards that are not yet effective that would be expected to have a significant impact on the Company.



25

Note 4. Taxation Under current law and practice the Company and the Fund each qualify as an investment undertaking as defined in Section 739B of the Taxes Consolidation Act, 1997, as amended. On that basis, it is not generally chargeable to Irish tax on its income and gains. However, Irish tax may arise on the happening of a “chargeable event”. A chargeable event includes any distribution payments to shareholders or any encashment, redemption, cancellation or transfer of shares, or the holding of shares at the end of each eight year period beginning with the acquisition of such shares. No Irish tax will arise on the Company in respect of chargeable events in respect of: 1) a shareholder who is neither Irish resident nor ordinarily resident in Ireland for tax purposes, at the time of the chargeable

event, provided appropriate valid declarations in accordance with the provisions of the Taxes Consolidation Act, 1997, as amended, are held by the Company, or the Company has been authorised by the Irish Revenue Commissioners to make gross payments in the absence of appropriate declarations; and

2) certain exempted Irish tax resident shareholders who have provided the Company with the necessary signed statutory declarations.

Dividends, interest and capital gains (if any) received on investments made by the Company/Fund may be subject to taxes imposed by the country from which the investments income/gains are received, and such taxes may not be recoverable by the Company or the Fund and its shareholders. Note 5. Financial derivative instruments and efficient portfolio management

The Investment Manager may, on behalf of the Fund and subject to the conditions and limits set out in the UCITS Regulations, the Central Bank Regulations and the Fund’s investment objective and policies as outlined in the Prospectus, employ certain investment management techniques. Such techniques may be used for investment purposes and efficient portfolio management purposes, for example: (i) for the purposes of hedging against market movements, currency exchange, interest rate or other risks; and/or (ii) to enhance the performance of the Fund’s portfolio of investments. Techniques and instruments used may include trading in financial derivative instruments (such as futures, forward foreign currency exchange contracts, options contracts, swap agreements) and repurchase agreements. The gains and losses associated with the financial derivative instruments are included within net gain/(loss) from financial derivative instruments included in financial assets and liabilities at fair value through profit or loss in the Statement of Comprehensive Income, while the interest associated with the repurchase agreements are included within net gain/(loss) from investments in securities included in financial assets at fair value through profit or loss in the Statement of Comprehensive Income. Details regarding the exposure obtained through financial derivative instruments and repurchase agreements are disclosed in the Schedule of Investments. The counterparties to the financial derivative instruments and repurchase agreements are also identified on the Schedule of Investments. The Fund receives cash collateral to reduce counterparty exposure which is classified as due from broker in the Statement of Financial Position.



26

Note 5. Financial derivative instruments and efficient portfolio management (continued) The following table presents information about the amount of net realised gain/(loss) on financial derivative instruments for the financial years ended 31 December 2020 and 31 December 2019 categorised by the primary underlying risk. See Note 3 for disclosure of significant accounting policies and Note 6 for risk disclosures related to financial derivative instruments. The average notional amounts below are representative of trading volumes during the financial year. Approximate average notional values are presented in absolute value. 31 December 2020

Average Interest Rate Credit Equity

Foreign

Exchange Total

Notional USD USD USD USD USD

Net realised gain/(loss) on

derivatives recognised in

income

Swap contracts 679,813,921 716,813 (38,312,424) 28,062,965 (449,662) (9,982,308)

Purchased options (a)

- 6,066,529 - (3,084,503) (2,659,305) 322,721

Options written (b)

- (4,948,614) - 8,128,425 (769,963) 2,409,848

Futures contracts 184,587,935 16,026,591 - (17,192,691) 345,830 (820,270)

Forward foreign currency

exchange contracts 2,103,475,421 - - - 31,415,270 31,415,270

17,861,319 (38,312,424) 15,914,196 27,882,170 23,345,261

Interest Rate Credit Equity

Foreign

Exchange Total

USD USD USD USD USD

Net unrealised (loss)/gain on


income

Swap contracts (329,743) (10,594,616) 3,149,626 - (7,774,733)

Futures contracts 196,179 - 1,473,840 (12,357) 1,657,662

Purchased options 47,901 - 737,421 - 785,322

Options written (21,166) - - (35,708) (56,874)


exchange contracts - - - 4,635,484 4,635,484

(106,829) (10,594,616) 5,360,887 4,587,419 (753,139)

Net gain/(loss) on derivatives

recognised in income 17,754,490 (48,907,040) 21,275,083 32,469,589 22,592,122

(a)

The notional of FX OTC options purchased is disclosed above. Additionally, the average number of Exchange-Traded Options and other OTC options purchased is 5,901,7746, for the year ended 31 December 2020. (b)

The notional of FX OTC options written is disclosed above. Additionally, the average number of Exchange-Traded Options and other OTC options written is 7,3436,573, for the year ended 31 December 2020.



27

Note 5. Financial derivative instruments and efficient portfolio management (continued) 31 December 2019

Average Interest Rate Credit Equity

Foreign

Exchange Total

Notional USD USD USD USD USD

Net realised (loss)/gain on


income

Swap contracts 26,379,495,695 387,124 9,400,213 (3,269,671) 573,832 7,091,498

Purchased options (a)

- - - 134,100 - 134,100

Futures contracts 682,556,035 3,063,048 - 881,134 (2,124,068) 1,820,114


exchange contracts 2,206,159,529 - - - (59,851,357) (59,851,357)

3,450,172 9,400,213 (2,254,437) (61,401,593) (50,805,645)

Interest Rate Credit Equity

Foreign

Exchange Total

USD USD USD USD USD

Net unrealised (loss)/gain on


income

Swap contracts (4,402,935) 15,924,169 2,737,235 - 14,258,469

Futures contracts (4,680,920) - (1,731,397) (2,744,375) (9,156,692)


exchange contracts - - - 6,071,497 6,071,497

(9,083,855) 15,924,169 1,005,838 3,327,122 11,173,274

Net (loss)/gain on derivatives

recognised in income (5,633,683) 25,324,382 (1,248,599) (58,074,471) (39,632,371)

(a)

The notional of FX OTC options purchased is disclosed above. Additionally, the average number of Exchange-Traded Options and other OTC options purchased is Nil, for the year ended 31 December 2019.



28

Note 5. Financial derivative instruments and efficient portfolio management (continued) The following table presents information about the fair value of financial derivative instruments and its location in the Statement of Financial Position on a gross basis, by type of risk and type of financial derivative instrument as at 31 December 2020 and as at 31 December 2019: 31 December 2020

Risk

Exposure

Asset Derivatives

Statement of Financial Position Fair value

Liability Derivatives


USD USD

Interest Rate Swap contracts at fair value 5,119,513 Swap contracts at fair value (6,412,967)

Unrealised gain on futures contract 52,376 Unrealised loss on futures contracts (34,847)

Purchased options at fair value 67,875 Options written at fair value (5,020)

TBA Contracts 60,369 TBA Contracts -

Credit Swap contracts at fair value 1,489,618 Swap contracts at fair value (1,609,265)

Equity Swap contracts at fair value 8,875,118 Swap contracts at fair value (4,140,589)

Unrealised gain on futures contract 159,026 Unrealised loss on futures contracts (536,309)

Purchased options at fair value - Options written at fair value (163,409)

Exchange Unrealised gain on futures contract 7,813 Unrealised loss on futures contracts (20,170) Unrealised gain on forward foreign Unrealised loss on forward foreign

currency exchange contracts 28,455,557 currency exchange contracts (7,211,348) Purchased options at fair value 114,641 Options written at fair value -

Total 44,401,906 (20,133,924)

Amounts not subject to MNA(1)

(6,726,430) 7,989,019

Total gross amounts subject to MNA 37,675,476 (12,144,905)

31 December 2019

Risk

Exposure

Asset Derivatives


Liability Derivatives


USD USD

Interest Rate Swap contracts at fair value 2,566,014 Swap contracts at fair value (3,751,134)

Unrealised gain on futures contracts 106,917 Unrealised loss on futures contracts (285,567)

TBA Contracts 29,106 TBA Contracts (106,014)

Credit Swap contracts at fair value 8,965,345 Swap contracts at fair value (4,212,604)

Equity Swap contracts at fair value 7,317,754 Swap contracts at fair value (4,926,867)

Unrealised gain on futures contracts 288,876 Unrealised loss on futures contracts (2,140,002)

Exchange Unrealised gain on forward foreign Unrealised loss on forward foreign

currency exchange contracts 21,142,386 currency exchange contracts (4,533,661)

Unrealised gain on futures contracts - Unrealised loss on futures contracts -

Total 40,416,398 (19,955,849)

Amounts not subject to MNA(1)

(9,581,030) 8,699,584

Total gross amounts subject to MNA 30,835,368 (11,256,265)

(1) See Note 6 for disclosure of financial derivative instruments assets and liabilities subject to offset under enforceable master netting arrangements (“MNA”).



29

Note 6. Financial instruments and associated risks In the normal course of business, the Fund may engage in investment activity that is subject to certain inherent risks, such as market price risk, credit and counterparty risk, foreign investment risk, and liquidity risk. Additional risks associated with each type of investment are described within the respective security type in the discussion of financial derivative instruments and efficient portfolio management in the Company’s Prospectus. Value at Risk (“VaR”)

The Investment Manager uses an absolute VAR methodology to measure the Fund’s global exposure and to monitor and manage the Fund’s market risk volatility. The Investment Manager calculates VaR at a 99% one-tailed confidence level for a one month holding period (20 business days) using the Monte Carlo model based on historical data. Generally, historical data is based on an observation period of 1 year (250 business days); however, a shorter observation period may be justified by a significant increase in price volatility (for instance, extreme market conditions). The maximum one-month VaR is set at 20% of the Fund’s NAV. As at 31 December 2020, the Fund’s portfolio VaR was 4.60% (31 December 2019: 2.21%). For the financial year ended 31 December 2020, the lowest, highest and average VaR limit utilised was 1.80%, 5.90% and 3.40%, (31 December 2019: 1.56%, 3.57% and 2.92%) respectively. As at 31 December 2020, the level of leverage is 246.24% (31 December 2019: 202.80%) of the Fund’s NAV. The level of leverage is calculated using the sum of the notionals of the Fund’s derivative instruments and does not reflect any netting or hedging arrangements the Fund may have in place and therefore is not intended to be indicative of the risk profile of the Fund, rather just a factor that is considered by the Investment Manager when managing the portfolio. There are inherent limitations to the VaR. There is no guarantee that future market price movements, correlations between markets and levels of market liquidity in conditions of market stress will be consistent with historical patterns and future market conditions could vary significantly from those experienced in the past. Further, market price risk information is a relative estimate of risk rather than a precise and accurate number and represents a hypothetical outcome and is not intended to be predictive. Market Price Risk In the normal course of business, the Fund invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk including price risk, foreign currency risk, and interest rate risk) or failure of the other party to a transaction to perform (credit and counterparty risk). The value of securities held by the Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by the Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. The maximum risk resulting from financial instruments, except for written options and forward foreign currency exchange contracts, equals their fair value. The maximum loss of capital on forward foreign currency exchange contracts is limited to the notional contract values of those positions. With written options, the Fund bears the market risk of an unfavourable change in the price of the security underlying the option. Exercise of an option written by the Fund could result in the Company selling or buying a security at a price significantly different from its fair value. Concentration risk The significant concentration of the Fund's investments to particular countries based on the Funds asset portfolio is disclosed in the following tables, as at 31 December 2020 and as at 31 December 2019. Asset classifications are based on the domicile of the portfolio only.

% of Total % of Total

Geographic Breakdown as at 31 December 2020 Assets Geographic Breakdown as at 31 December 2019 Assets

Africa 0.45 Africa 2.46

Asia 0.95 Asia 1.08

Europe 15.68 Europe 9.91

Middle East 3.48 Middle East 4.20

North America 58.15 North America 57.93

Oceania 0.01 Oceania 0.09

South America 1.09 South America 2.32

Other Regions1 1.90 Other Regions

1 0.90

Other Assets and Liabilities 18.29 Other Assets and Liabilities 21.11

100.00% 100.00% 1 Includes TBA Contracts and Financial Derivative instruments.



30

Note 6. Financial instruments and associated risks Interest Rate Risk This is defined as the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market interest rates. The Company's interest-bearing financial instruments are subject to varying degrees of interest rate risk depending on if they have fixed interest rates or floating interest rates. Floating interest rate instruments are more susceptible to this risk since the rate is changing with market rates. The Company's assets and liabilities that are non-interest bearing have very limited exposure to this risk type. The Investment Manager manages its interest rate risk by having a balanced portfolio of fixed rate, floating rate and non-interest bearing financial instruments and monitors the interest rate risk exposure on a periodic basis through reporting from the Fund Administrator. The interest profile of the Company's financial assets and liabilities as at 31 December 2020 was:

Fixed Rate

USD

Floating Rate

USD

Non-Interest

Bearing

USD

Total

USD

Financial Assets 430,056,156 397,298,138 509,953,600 1,337,307,894

Financial Liabilities (1,669,303) (10,553,555) (50,382,115) (62,604,973) The interest profile of the Company's financial assets and liabilities as at 31 December 2019 was:

Fixed Rate

USD

Floating Rate

USD

Non-Interest

Bearing

USD

Total

USD

Financial Assets 656,264,594 957,574,101 723,604,126 2,337,442,821

Financial Liabilities (10,070,982) (4,926,864) (42,615,115) (57,612,961) Credit and Counterparty Risk The Fund may be exposed to counterparty risk, or the risk that an entity with which the Fund has unsettled or open transactions may default. The potential loss could exceed the value of the financial assets and financial liabilities recorded in the financial statements. Financial assets that potentially expose the Fund to credit and counterparty risk consist principally of cash due from counterparties and investments. The Fund manages counterparty risk by entering into agreements only with counterparties that they believe have the financial resources to honour their obligations and by monitoring the financial stability of those counterparties. The Investment Manager attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. In order to preserve certain safeguards for non- standard settlement trades, the Fund restricts exposure to credit and counterparty losses by entering into a MNA with counterparties with whom they undertake a significant volume of transactions. Collateral requirements may differ by type of financial derivative instrument or other financial transaction, as applicable. Collateral or margin requirements are set by the broker or exchange clearing house for exchange traded derivatives (e.g., futures contracts and exchange traded options) while collateral terms are contract specific for over-the-counter traded derivatives (e.g., forward foreign currency exchange contracts, swap agreements and over-the-counter options). For financial derivative instruments traded under an ISDA master agreement or similar master agreement, the collateral requirements may be netted across all transactions traded under such agreement and certain counterparties may allow one amount to be posted from one party to the other to collateralise such obligations. The ISDA master agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA master agreement gives the Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and may permit net amounts owed under each transaction to be netted to derive one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the ISDA master agreement could result in a reduction of the Fund’s credit risk to such counterparty equal to any amounts payable by the Fund under the applicable transactions, if any. The enforceability of the right to offset may vary by jurisdiction. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchanges’ clearing house, as counterparty to all exchange traded futures, guarantees the futures against default.



31

Note 6. Financial instruments and associated risks (continued)

Credit and Counterparty Risk (continued) The following table presents information related to the Fund’s financial derivative instrument assets and liabilities by counterparty net of amounts available for offset under an MNA and net of related collateral received/pledged by the Fund as at 31 December 2020.

Gross Amounts Not Offset in the Statement of Financial Position

By Counterparty Credit Rating(1)

Gross Amounts of Assets in

Statement of Financial Position

Derivative Financial Instruments

Available to Offset Cash Collateral Received(4)

Non-Cash Collateral Net Amount

(2)

USD USD USD USD USD

Bank of America, N.A. A+ 512,982 - - - 512,982Barclays Bank plc A 112,766 - - - 112,766Citibank, N.A. A+ 3,898,668 (3,898,668) - - -Credit Suisse Securities (USA) LLC A+ 1,235,484 (153,801) - - 1,081,683Deutsche Bank AG BBB+ 246,967 (246,967) - - -Goldman Sachs International A+ 2,212,475 (2,212,475) - - -HSBC Bank plc A+ 99,492 - - - 99,492J.P. Morgan Securities LLC A+ 236,686 (79,125) - - 157,561J.P.Morgan Securities, Inc. A+ 248,309 (248,309) - - -JPMorgan Chase Bank, N.A. A- 1,402,469 (1,326,074) - - 76,395Morgan Stanley & Co. LLC A+ 47,907 - - - 47,907Morgan Stanley Capital Services LLC A+ 3,624,995 (1,191,573) - - 2,433,422State Street Bank and Trust Company AA- 23,796,276 (1,449,622) - - 22,346,654

Total 37,675,476 (10,806,614) - - 26,868,862



32

Note 6. Financial instruments and associated risks (continued) Credit and Counterparty Risk (continued)



Gross Amounts of Liabilities in Statement of Financial Position


Available to Offset Cash Collateral Pledged(5)


(3)

USD USD USD USD USD

Citibank, N.A. A+ (4,797,071) 3,898,668 2,470,000 - 1,571,597Credit Suisse Securities (USA) LLC A+ (153,801) 153,801 - - -Deutsche Bank AG BBB+ (549,030) 246,967 280,000 - (22,063)Goldman Sachs International A+ (2,235,230) 2,212,475 22,755 - -J.P. Morgan Securities LLC A+ (79,125) 79,125 - - -J.P.Morgan Securities, Inc. A+ (326,787) 248,309 - - (78,478)JPMorgan Chase Bank, N.A. A- (1,326,074) 1,326,074 - - -Morgan Stanley Capital Services LLC A+ (1,191,573) 1,191,573 - - -State Street Bank and Trust Company AA- (1,449,622) 1,449,622 - - -Morgan Stanley Co. Inc A+ (18,429) - - - (18,429)Goldman Sachs & Co. A+ (18,163) - - - (18,163)

Total (12,144,905) 10,806,614 2,772,755 - 1,434,464

(1)

Using the higher Standard & Poor’s (“S&P’s”) or Moody’s Investor Service (“Moody’s”) ratings. (2)

Net amount represents the net amount receivable from the counterparty in the event of default. (3)

Net amount represents the net amount payable to the individual counterparty in the event of default. (4)

Additional required collateral received from the individual counterparty is not shown for financial reporting purposes. See Note 3 for collateral exposure by individual counterparty. (5)

Additional required collateral pledged to the individual counterparty is not shown for financial reporting purposes. See Note 3 for collateral exposure by individual counterparty.



33


Credit and Counterparty Risk (continued) The following table presents information related to the Fund’s financial derivative instrument assets and liabilities by counterparty net of amounts available for offset under an MNA and net of related collateral received/pledged by the Fund as at 31 December 2019.



Gross Amounts of Assets in

Statement of Financial Position


Available to Offset Cash Collateral Received(4)


(2)

USD USD USD USD USD

Bank of America, N.A. A+ 55,029 (55,029) - - -Barclays Bank plc A 101,472 (36,128) - - 65,344Citibank N.A. A+ 903,994 (903,994) - - -Citigroup Global Markets, Inc. BBB+ 139,358 (139,358) - - -Credit Suisse International A+ 1,602,046 (150,673) - - 1,451,373Credit Suisse Securities (USA) LLC A+ 24,283 - - - 24,283Deutsche Bank AG BBB+ 1,255,207 (349,684) - - 905,523Goldman Sachs International A+ 2,866,434 (2,570,275) - - 296,159HSBC Bank plc AA- 368,748 - - - 368,748J.P. Morgan Securities LLC A+ 4,591 (4,591) - - -JPMorgan Chase Bank, N.A. A- 1,491,143 (1,011,160) - - 479,983Merrill Lynch Capital Services, Inc. A+ 814,632 - - - 814,632Morgan Stanley & Co. LLC A+ 264 - - - 264Morgan Stanley Capital Services, Inc. A+ 10,254 (10,254) - - -Morgan Stanley Capital Services LLC A+ 1,375,792 (1,375,792) - - -Nomura International plc BBB+ 2,070 - - - 2,070State Street Bank and Trust Company AA- 19,820,051 (1,669,579) - - 18,150,472

Total 30,835,368 (8,276,517) - - 22,558,851



34


Credit and Counterparty Risk (continued)



Gross Amounts of Liabilities in Statement of Financial Position


Available to Offset Cash Collateral Pledged(5)


(3)

USD USD USD USD USD

Bank of America, N.A. A+ (157,428) 55,029 102,399 - -Barclays Bank plc A (36,128) 36,128 - - -Citibank N.A. A+ (1,850,951) 903,994 946,957 - -Citigroup Global Markets, Inc. A+ (166,138) 139,358 - - (26,780)Credit Suisse International A+ (150,673) 150,673 - - -Deutsche Bank AG BBB+ (349,684) 349,684 - - -Goldman Sachs International A+ (2,570,275) 2,570,275 - - -Goldman Sachs & Co. NR (362) - - - (362)J.P. Morgan Securities LLC A+ (7,102) 4,591 - - (2,511)JPMorgan Chase Bank, N.A. A- (1,011,160) 1,011,160 - - -J.P.Morgan Securities, Inc. A+ (866,418) - - - (866,418)Morgan Stanley Capital Services, Inc. A+ (265,918) 10,254 - - (255,664)Morgan Stanley Capital Services LLC A+ (2,154,449) 1,375,792 - - (778,657)State Street Bank and Trust Company AA- (1,669,579) 1,669,579 - - -

Total (11,256,265) 8,276,517 1,049,356 - (1,930,392)

(1)

Using the higher Standard & Poor’s (“S&P’s”) or Moody’s Investor Service (“Moody’s”) ratings. (2)

Net amount represents the net amount receivable from the counterparty in the event of default. (3)

Net amount represents the net amount payable to the individual counterparty in the event of default. (4)

Additional required collateral received from the individual counterparty is not shown for financial reporting purposes. See Note 3 for collateral exposure by individual counterparty. (5)

Additional required collateral pledged to the individual counterparty is not shown for financial reporting purposes. See Note 3 for collateral exposure by individual counterparty.



35

Note 6. Financial instruments and associated risks (continued) Credit and Counterparty Risk (continued) As at 31 December 2020, cash held by the Fund and investments in securities are held with the Depositary. The Fund’s assets are separately identified on the books and records of the Depositary and any appointed sub-custodian. Therefore the rights with respect to those assets should be segregated and protected. However, bankruptcy or insolvency of the Depositary or any sub-custodian may cause access to the Fund’s assets to be delayed. As at 31 December 2020, the Depositary had a credit rating of Aa2 (31 December 2019: Aa2) using the higher of S&P’s or Moody’s ratings.

The Fund is subject to credit risk by investing in fixed income securities such as corporate and convertible bonds, U.S. Treasury obligations, sovereign debt obligations, bank debt, and trade claims. The following table categorises the credit quality of these investments as at 31 December 2020 and 31 December 2019.

Public Rating(1)

% of Market Value % of Market Value


AAA/Aaa(2)

16.73% 3.90%

AA+/Aa1 0.09% 0.54%

AA/Aa2 0.49% 1.09%

AA-/Aa3 - 0.01%

A+/A1 0.21% 0.62%

A/A2 0.66% 0.57%

A-/A3 1.04% 1.29%

BBB+/Baa1 2.12% 1.62%

BBB/Baa2 0.84% 0.69%

BBB-/Baa3 3.80% 5.92%

BB+/Ba1 1.99% 3.21%

BB/Ba2 1.83% 4.44%

BB-/Ba3 2.76% 3.89%

B+/B1 4.56% 4.75%

B/B2 10.98% 10.73%

B-/B3 5.30% 6.01%

CCC+/Caa1 4.80% 5.08%

CCC/Caa2 2.19% 1.99%

CCC-/Caa3 0.89% 0.40%

CC/Ca 2.21% 1.63%

D 0.25% 0.32%

NR(3)

36.26% 41.30%

100.00% 100.00% (1)

Using the higher Standard & Poor’s (“S&P’s”) and/or Moody’s Investor Service (“Moody’s”) ratings.

(2) Includes U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations which are deemed AAA/Aaa by the Investment Manager.

(3) Not Rated (“NR”), primarily includes Asset-Backed Securities and Mortgage-Backed Securities.

Foreign Currency and Investment Risk

The investments in foreign securities may involve risks not present in U.S. investments. Since securities may be denominated in foreign currencies, require settlement in foreign currencies and pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. See the Fund’s Schedule of Investments for a summary of the Fund’s investments by geographical region and non-USD denominated securities. Please refer to the Note 16 for a listing of exchange rates as at 31 December 2020 and 31 December 2019. Liquidity Risk The Fund may encounter liquidity risk in which the Fund may have difficulty meeting obligations associated with financial liabilities that are settled by delivery cash or another financial asset. Exposure to liquidity risk arises because of the possibility that the Fund could be required to pay its liabilities or redeem its shares earlier than expected. The Investment Manager monitors liquidity at the Fund level and at the Sub-Adviser level on a daily basis and conducts regular stress tests and scenario analyses of the portfolio. The Company is exposed to cash redemptions of its redeemable participating shares on a regular basis. Shares are redeemable on each Dealing Day. If redemption requests on any Dealing Day exceed 10% of the NAV of a Fund, the Company, may defer the excess redemptions requests to subsequent Dealing Days and shall redeem such shares rateably.



36

Note 6. Financial instruments and associated risks (continued) Liquidity Risk (continued) As at 31 December 2020, all of the liabilities of the Fund, including the net assets attributable to holders of redeemable participating shares are due within one month with the exception of the following:

1-3 months > 3 months Total

USD USD USD

Futures contracts (554,746) (34,702) (589,448)

Forward foreign currency exchange contracts (4,038,725) (466,135) (4,504,860)

Options (149,520) - (149,520)

Swaps (39,814) (12,051,282) (12,091,096)

Investment Management fee payable (4,652,748) - (4,652,748)

Performance fees payable (1,389,370) - (1,389,370)

Total (10,824,923) (12,552,119) (23,377,042)

As at 31 December 2019, all of the liabilities of the Fund, including the net assets attributable to holders of redeemable participating shares are due within one month with the exception of the following:

1-3 months > 3 months Total

USD USD USD

Futures contracts (2,336,151) (52,577) (2,388,728)

Forward foreign currency exchange contracts (3,683,921) (634,642) (4,318,563)

Swaps - (10,843,061) (10,843,061)

TBA Contracts - (106,014) (106,014)

Investment Management fees (8,026,643) - (8,026,643)

Performance fees (11,619,682) - (11,619,682)

Total (25,666,397) (11,636,294) (37,302,691)

Risk assessment

Following Brexit, a new Trade and Cooperation Agreement (the “TCA”) between the U.K. and the EU was announced on December 24, 2020. The TCA addresses, among other things, trade in goods and the ability of U.K. nationals to travel to the EU on business, but does not address substantive future cooperation with respect to financial services or reciprocal market access under so-called “equivalence” arrangements. In addition, U.K. service suppliers no longer benefit from automatic access to the entire EU single market and free movement of goods is subject to increased bureaucracy. Although the TCA contains provisions on short-term business visits without visas or work permits, these are unlikely to cover provision of services and free movement between the EU and the U.K. The loss of these benefits, together with the ongoing uncertainty with respect to financial services under the TCA, could impact the attractiveness of the U.K. as a global business and financial center. Although the long-term impact of such changes, and of Brexit more broadly, is uncertain, Brexit may have an adverse effect on the rate of economic growth in the U.K. and Europe, which may negatively impact asset values in those regions. In addition, given the size and global significance of the U.K.’s economy, ongoing uncertainty regarding its political and economic relationships with Europe may continue to be a source of instability in markets outside of the U.K. and Europe.

Brexit has impacted Blackstone’s European operations. The main impact has been on Blackstone’s ability to market its products and services in the European Economic Area (“EEA”). Following Brexit, Blackstone’s U.K. subsidiary (BGIP) lost its ability to passport its services into the EEA meaning it cannot market its products and services or conduct other regulated activity in EEA countries unless it has obtained a cross border license or can operate pursuant to a licensing exemption. In jurisdictions where BGIP cannot offer products or services, Blackstone has transferred activities to its regulated European subsidiaries. These post-Brexit arrangements are complex and have resulted in increased operational and compliance burdens for Blackstone.



37

Note 7. Fair value hierarchy

The Company measures fair values using a fair value hierarchy that reflects the significance of the inputs used in making the measurements. The fair value hierarchy has the following levels:

Level 1 Quoted market price in an active market for an identical instrument. Level 2 Valuation techniques based on observable inputs. This category includes instruments valued using:

quoted market prices in active markets for similar instruments; quoted prices for similar instruments in markets that are considered less than active; or other valuation techniques where all significant inputs are directly or indirectly observable from market data.

Level 3 Valuation techniques using significant unobservable inputs. This category includes all instruments where

the valuation technique includes inputs not based on observable data and the unobservable inputs could have a significant impact on the instrument’s valuation. This category includes instruments that are valued based on quoted prices for similar instruments where significant unobservable adjustments or assumptions are required to reflect differences between the instruments.

The level in the fair value hierarchy within which the financial asset or liability is categorised in its entirety is determined on the basis of the lowest level input that is significant to the fair value measurement in its entirety. Assessing the significance of a particular input to the fair value measurement in its entirety requires judgement, considering factors specific to the asset or liability.

The determination of what constitutes “observable” requires significant judgement by the Company. The Company considers observable data to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary and provided by independent sources that are actively involved in the relevant market. Broker quotes are classified as Level 2 holdings because the inputs into the price supplied by the brokers are observable and may include recent trades, interest rates, yields and credit spreads. The Investment Manager reviews the prices independently recorded as broker quotes and ensures that they are in accordance with fair value. For each class of assets and liabilities not measured at fair value in the Statement of Financial Position but for which fair value is disclosed, IFRS 13 “Fair Value Measurement” requires the Company to disclose the level within the fair value hierarchy which the fair value measurement would be categorised and a description of the valuation technique and inputs used in the technique.

Assets and liabilities not carried at fair value are carried at amortised cost, their carrying values being reasonable approximations of fair value. Cash and cash held at broker include deposits held with banks and other short-term investments in an active market and are categorised as Level 1. Receivable for investments sold and other assets include the contractual amounts for settlement of trades and other obligations due to the Company. Payable for investments purchased and other payables represent the contractual amounts and obligations due by the Company for settlement of trades and other obligations due by the Company for settlement of trades and expenses. All of the receivable and payable balances are categorised as Level 2. Transfers between levels in the fair value hierarchy are deemed to have occurred if the pricing source has changed at financial year end. There were transfers for USD9,764,976 between Level 1 and Level 2 during the financial year. Transfers into and out of Level 3 were primarily related to an update to the valuation methodology that is based on the availability of observable inputs. At the financial year end no Fair Value Factor was applied as price movement did not meet the Fair Value Trigger.



38

Note 7. Fair value hierarchy (continued) The financial instruments held as at 31 December 2020 are classified into the following Levels:

Level 1 Level 2 Level 3 Total

USD USD USD USD

Financial assets at fair value through profit or loss:

Common Stock 178,474,506 1,146,703 270,520 179,891,729

Preferred Stock 559,064 - 967,884 1,526,948

Warrant 2,180,472 - - 2,180,472

Asset-Backed Securities - 69,849,993 - 69,849,993

Bank Debt - 59,374,654 14,562,907 73,937,561

Convertible Bonds - 114,805 - 114,805

Corporate Bonds & Notes - 78,788,988 11,385,780 90,174,768

Mortgage-Backed Securities - 231,440,943 - 231,440,943

Sovereign Debt - 132,118,330 1,754,373 133,872,703

Structured Notes 98,030,852 - 98,030,852

U.S. Government Sponsored Agency Securities - 3,657,818 - 3,657,818

U.S. Municipal Debt - 7,631,836 - 7,631,836

U.S. Treasury Obligations - 124,970,333 - 124,970,333

Purchased options 182,516 - - 182,516

Futures contracts 219,215 - - 219,215

Forward foreign currency exchange contracts - 28,455,557 - 28,455,557

Swap contracts - 14,216,278 1,267,971 15,484,249

TBA contracts - 60,369 - 60,369

Cash 109,081,524 - - 109,081,524

Due from broker 155,445,218 - - 155,445,218

Receivable for investments sold - 5,053,965 - 5,053,965

Receivable for Fund shares sold - 33,787 - 33,787

Receivable for financial derivative instruments sold - 534,751 - 534,751

Interest receivable - 5,289,518 - 5,289,518

Other assets - 186,464 - 186,464

Total assets 446,142,515 860,955,944 30,209,435 1,337,307,894



39

Note 7. Fair value hierarchy (continued)


USD USD USD USD

Financial liabilities at fair value through profit or loss:

Options written (168,429) - - (168,429)

Futures contracts (591,326) - - (591,326)

Forward foreign currency exchange contracts - (7,211,348) - (7,211,348)

Swap contracts - (12,162,821) - (12,162,821)

Due to broker (21,889,367) - - (21,889,367)

Payable for Fund shares redeemed - (3,089,329) - (3,089,329)

Payable for investments purchased - (6,805,629) - (6,805,629)

Payable for financial derivative instruments

purchased - (2,197,453) - (2,197,453)

Other payables and accrued expenses - (8,489,271) - (8,489,271)

Total liabilities (excluding net assets

attributable to holders of redeemable

participating shares) (22,649,122) (39,955,851) - (62,604,973)

The financial instruments held as at 31 December 2019 are classified into the following Levels:


USD USD USD USD

Financial assets at fair value through profit or loss:

Common Stock 176,926,028 - - 176,926,028

Preferred Stock 7,977,545 4,348,080 - 12,325,625

Warrant 1,645,653 - - 1,645,653

Asset-Backed Securities - 130,723,679 - 130,723,679

Bank Debt - 62,321,719 20,225,430 82,547,149

Convertible Bonds - 4,583,964 - 4,583,964

Corporate Bonds & Notes - 327,013,976 12,411,610 339,425,586

Mortgage-Backed Securities - 710,360,677 - 710,360,677

Sovereign Debt - 250,355,696 - 250,355,696

U.S. Government Sponsored Agency Securities - 21,389,691 - 21,389,691

U.S. Municipal Debt - 12,929,994 - 12,929,994

U.S. Treasury Obligations - 34,973,656 - 34,973,656

Futures contracts 395,793 - - 395,793

Forward foreign currency exchange contracts - 21,142,386 - 21,142,386

Swap contracts - 17,234,580 1,614,533 18,849,113

TBA contracts - 29,106 - 29,106

Cash 269,947,596 - - 269,947,596

Due from broker 224,973,660 - - 224,973,660

Receivable for investments sold - 5,976,749 - 5,976,749

Receivable for Fund shares sold - 4,192,847 - 4,192,847

Receivable for financial derivative instruments sold - 1,151,613 - 1,151,613

Interest receivable - 12,387,906 - 12,387,906

Other assets - 208,654 - 208,654

Total assets 681,866,275 1,621,324,973 34,251,573 2,337,442,821



40

Note 7. Fair value hierarchy (continued)


USD USD USD USD

Financial liabilities at fair value through profit or loss:

Futures contracts (2,425,569) - - (2,425,569)

Forward foreign currency exchange contracts - (4,533,661) - (4,533,661)

Swap contracts - (12,890,605) - (12,890,605)

TBA contracts - (106,014) - (106,014)

Due to broker (415,000) - - (415,000)

Payable for Fund shares redeemed - (1,486,010) - (1,486,010)

Payable for investments purchased - (8,669,307) - (8,669,307)

Payable for financial derivative instruments

purchased - (2,487,364) - (2,487,364)

Other payables and accrued expenses - (24,599,431) - (24,599,431)

Total liabilities (excluding net assets

attributable to holders of redeemable

participating shares) (2,840,569) (54,772,392) - (57,612,961)

Level 3 Reconciliation The following tables reconcile the fair value changes in the Level 3 holding for the financial year ended 31 December 2020 and the financial year ended 31 December 2019:

Common Stock

USDPreferred Stock

USDBank Debt

USDBalance as at 31 December 2019 - - 20,225,430 Purchases 204,581 3,407,033 7,678,977 Sales - - (15,951,539)Realised gain/(loss) - - 53,711 Movement in unrealised gain/(loss) 65,939 (2,439,149) (1,024,952)Transfers from Level 2 to Level 3 - - 9,610,955 Transfers out from Level 3 - - (6,029,675)

Balance as at 31 December 2020 270,520 967,884 14,562,907

Corporate Bonds

& NotesUSD

Swap ContractsUSD

TotalUSD

Balance as at 31 December 2019 12,411,610 1,614,533 34,251,573 Purchases 2,636,207 1,111,521 15,038,319Sales (1,057,003) (1,547,105) (18,555,647)Realised gain/(loss) 682,856 435,583 1,172,150Movement in unrealised gain/(loss) (1,533,517) (346,561) (5,278,240)Transfers from Level 2 to Level 3 - - 9,610,955 Transfers out from Level 3 - - (6,029,675)

Balance as at 31 December 2020 13,140,153 1,267,971 30,209,435



41

Note 7. Fair value hierarchy (continued) Level 3 Reconciliation (continued)

Bank Debt

USD

Corporate Bonds& Notes

USDSwap Contracts

USDTotalUSD

Balance as at 31 December 2018 6,313,992 4,325,205 - 10,639,197Purchases 19,207,108 7,109,761 2,223,041 28,539,910Sales (3,189,419) - (1,368,696) (4,558,115)Realised gain/(loss) 57,281 407,743 257,176 722,200Movement in unrealised gain/(loss) 270,661 568,901 503,012 1,342,574Transfers out from Level 3 (2,434,193) - - (2,434,193)

Balance as at 31 December 2019 20,225,430 12,411,610 1,614,533 34,251,573

Movement in unrealised gain/(loss) from 1 January to 31 December 2020 for Level 3 positions held at financial year end (7,524,699)Movement in unrealised gain/(loss) from 1 January to 31 December 2019 for Level 3 positions held at financial year end 1,223,258 The following table summarises the quantitative inputs and assumptions used for investments in securities classified within Level 3 of the fair value hierarchy as at 31 December 2020.

Assets Fair Value at Valuation Unobservable Range of inputs

31 Dec 2020 Technique Inputs (Weighted Average)

Common Stock 270,520 Broker-dealer Quotations Indicative Bid N/A

Preferred Stock 967,884 Broker-dealer Quotations Indicative Bid N/A

Bank Debt 14,562,907 Broker-dealer Quotations Indicative Bid N/A

Corporate Bonds & Notes 13,140,153 Broker-dealer Quotations Indicative Bid N/A

Swap contracts 1,267,971 Broker-dealer Quotations Indicative Bid N/A Note 8. Other assets

31 Dec 2020 31 Dec 2019

USD USD

Prepaid expenses 111,000 37,261 Dividends receivable 75,464 171,393

186,464 208,654

Note 9. Other payables and accrued expenses

31 Dec 2020 31 Dec 2019

USD USD

Interest payable (108,766) (31)Other operating expenses payable (84,720) (291,113)

(193,486) (291,144)



42

Note 10. Subscriber and redeemable participating shares

Authorised The authorised share capital of the Company is 500 billion shares of no par value to be issued at the Net Asset Value per Share on such terms as the Directors may deem fit. As at the financial year ended 31 December 2020, the Directors have authorised and issued 300,002 Subscriber Shares of no par value. Subscriber Shares do not participate in the dividends or assets of any sub-fund.

Redeemable participating shares The Company’s capital is represented by the redeemable participating shares outstanding of the Fund. The Fund currently offers Class A, Class B, Class C, Class I and Class Z shares. Class A and Class I offer distributing and accumulating interests (with respect to dividends) in USD, AUD, CAD, EUR, DKK, GBP, JPY, NOK, SEK and CHF. Class C offers distributing and accumulating interests in EUR, CHF and USD, Class B offers accumulating interests in USD and Class Z offers distributing and accumulating interests in USD. As at the financial year ended 31 December 2020, Class A (EUR) Accumulating, Class A (EUR) Distributing, Class A (SEK) Accumulating, Class A (USD) Accumulating, Class C (USD) Accumulating, Class I (AUD) Accumulating, Class I (CHF) Accumulating, Class I (EUR) Accumulating, Class I (EUR) Distributing, Class I (GBP) Accumulating, Class I (GBP) Distributing, Class I (JPY) Accumulating, Class I (USD) Accumulating and Class I (USD) Distributing shares were issued and outstanding. Redeemable participating shares’ rights The issued redeemable participating share capital is at all times equal to the NAV of the Fund. Redeemable participating shares are redeemable at the shareholders’ option and are classified as financial liabilities. The rights attaching to the redeemable participating shares are as follows:

• each of the shares entitles the shareholder to participate equally on a pro-rata basis in the distributions and net assets of the

Fund attributable to the relevant class in respect of which they are issued; and

• each of the shares entitles the holder to attend and vote at meetings of the Company and of the Fund represented by those

shares. No class of share confers on the holder any preferential or pre-emptive rights to participate in the profits and

distributions of any other class of shares or any voting rights in relation to matters relating solely to any other class of shares.



43

Note 10. Subscriber and redeemable participating shares (continued)

The following table represents the movement in the number and value of redeemable participating shares during the financial year ended 31 December 2020:

Class A

(EUR)

Accumulating✝

Class A

(EUR)

Distributing✝

Class A

(SEK)

Accumulating✝

Class A

(USD)

Accumulating

Opening balance 13,959,011 95,029 257,374 1,876,000

Shares issued 2,158,744 38,593 32,698 214,785

Shares redeemed (11,484,515) (111,724) (109,494) (1,217,557)

Closing balance 4,633,240 21,898 180,578 873,228

Subscriptions during the financial year 24,025,468 389,328 321,506 2,242,416

Redemptions during the financial year (115,483,597) (1,069,052) (1,073,209) (11,823,693)

Class C

(USD)

Accumulating

Class I

(AUD)

Accumulating✝

Class I

(CHF)

Accumulating✝

Class I

(EUR)

Accumulating✝

Opening balance 61,324 774,721 161,467 90,419,259

Shares issued 30,725 46,617 13,090 15,618,633

Shares redeemed (30,725) (621,724) (165,707) (69,115,342)

Closing balance 61,324 199,614 8,850 36,922,550

Subscriptions during the financial year 329,987 310,215 129,575 165,542,722

Redemptions during the financial year (291,580) (4,351,217) (1,492,471) (723,917,134)

Class I (EUR)

Distributing✝*

Class I (GBP)

Accumulating✝

Class I (GBP)

Distributing✝

Class I (JPY)

Accumulating✝

Opening balance - 201,137 15,349,880 26,370,024

Shares issued 16,001 83,280 2,679,705 11,784,680

Shares redeemed (2,500) (1,606) (16,506,372) (1,855,669)

Closing balance 13,501 282,811 1,523,213 36,299,035

Subscriptions during the financial year 191,003 968,255 32,273,578 96,542,559

Redemptions during the financial year (30,933) (20,215) (179,846,132) (15,515,046)

Class I

(NOK)

Accumulating✝**

Class I

(USD)

Accumulating

Class I

(USD)

Distributing

Total

USD

Opening balance - 26,969,941 23,378,989.00 199,874,156

Shares issued - 6,551,015 1,221,609.00 40,490,175

Shares redeemed - (15,006,569) (1,791,052) (118,020,556)

Closing balance - 18,514,387 22,809,546 122,343,775

Subscriptions during the financial year - 67,167,965 10,890,913 401,325,490

Redemptions during the financial year - (152,560,367) (15,497,193) (1,222,971,839) ✝These classes are hedged classes

* Share class launched on 28th July 2020. ** As at 16 January 2019 the Class I (NOK) Accumulating Shares was fully redeemed and is dormant. The Class remains open to new investors.



44

Note 10. Subscriber and redeemable participating shares (continued)

The following table represents the movement in the number and value of redeemable participating shares during the financial year ended 31 December 2019:

Class A

(EUR)

Accumulating✝

Class A

(EUR)

Distributing✝

Class A

(SEK)

Accumulating✝

Class A

(USD)

Accumulating

Opening balance 8,843,285 18,776 329,995 1,294,066

Shares issued 8,969,661 89,990 50,541 898,388

Shares redeemed (3,853,935) (13,737) (123,162) (316,454)

Closing balance 13,959,011 95,029 257,374 1,876,000

Subscriptions during the financial year 102,715,952 981,788 539,893 9,778,640

Redemptions during the financial year (43,973,360) (150,900) (1,318,832) (3,456,471)

Class C

(USD)

Accumulating

Class I

(AUD)

Accumulating✝

Class I

(CHF)

Accumulating✝

Class I

(EUR)

Accumulating✝

Opening balance 61,324 1,018,546 166,289 74,567,333

Shares issued - 13,616 3,575 40,359,575

Shares redeemed - (257,441) (8,397) (24,507,649)

Closing balance 61,324 774,721 161,467 90,419,259

Subscriptions during the financial year - 103,668 35,559 473,234,733

Redemptions during the financial year - (1,954,836) (83,759) (287,115,070)

Class I (GBP)

Accumulating✝

Class I (GBP)

Distributing✝

Class I (JPY)

Accumulating✝

Class I

(NOK)

Accumulating✝*

Opening balance 245,822 12,688,192 23,442,739 389,285

Shares issued - 3,742,701 7,584,245 -

Shares redeemed (44,685) (1,081,013) (4,656,960) (389,285)

Closing balance 201,137 15,349,880 26,370,024 -

Subscriptions during the financial year - 48,905,283 71,848,232 -

Redemptions during the financial year (598,840) (14,124,392) (44,297,766) (4,695,248)

Class I

(USD)

Accumulating

Class I

(USD)

Distributing

Total

USD

Opening balance 28,256,192 13,137,554 164,459,398

Shares issued 6,909,059 10,918,306 79,539,657

Shares redeemed (8,195,310) (676,871) (44,124,899)

Closing balance 26,969,941 23,378,989 199,874,156

Subscriptions during the financial year 77,257,820 110,336,180 895,737,748

Redemptions during the financial year (92,053,550) (6,896,982) (500,720,006) ✝These classes are hedged classes

* As at 16 January 2019 the Class I (NOK) Accumulating Shares was fully redeemed and is dormant. The Class remains open to new investors.



45

Note 10. Subscriber and redeemable participating shares (continued) The NAV per redeemable share for the Fund as at 31 December 2020, 31 December 2019 and December 2018 is as follows: Class A (EUR) Accumulating

† 31 December 2020 31 December 2019 31 December 2018

Fund shares outstanding 4,633,240 13,959,011 8,843,285Net Assets EUR43,459,790 EUR143,498,628 EUR86,929,489NAV per share EUR9.38 EUR10.28 EUR9.83Total Return (8.75%) 4.58% (3.72%) Class A (EUR) Distributing

†

Fund shares outstanding 21,898 95,029 18,776Net Assets EUR193,798 EUR931,285 EUR177,054NAV per share EUR8.85 EUR9.80 EUR9.43Total Return (9.69%) 3.92% (3.38%) Class A (SEK) Accumulating

†

Fund shares outstanding 180,578 257,374 329,995Net Assets SEK16,674,616 SEK26,043,677 SEK31,874,192NAV per share SEK92.34 SEK101.19 SEK96.59Total Return (8.75%) 4.76% (3.74%) Class A (USD) Accumulating Fund shares outstanding 873,228 1,876,000 1,294,066Net Assets USD8,968,047 USD20,786,083 USD13,432,404NAV per share USD10.27 USD11.08 USD10.38Total Return (7.31%) 6.74% (0.95%) Class C (USD) Accumulating Fund shares outstanding 61,324 61,324 61,324Net Assets USD604,650 USD651,256 USD607,716NAV per share USD9.86 USD10.62 USD9.91Total Return (7.16%) 7.16% (0.70%) Class I (AUD) Accumulating

†

Fund shares outstanding 199,614 774,721 1,018,546Net Assets AUD2,044,047 AUD8,591,656 AUD10,613,246NAV per share AUD10.24 AUD11.09 AUD10.42Total Return (7.66%) 6.43% (0.57%) Class I (CHF) Accumulating

†

Fund shares outstanding 8,850 161,467 166,289Net Assets CHF80,270 CHF1,609,826 CHF1,584,734NAV per share CHF9.07 CHF9.97 CHF9.53Total Return (9.03%) 4.62% (3.64%) Class I (EUR) Accumulating

†

Fund shares outstanding 36,922,550 90,419,259 74,567,333Net Assets EUR357,041,059 EUR953,018,994 EUR749,401,700NAV per share EUR9.67 EUR10.54 EUR10.05Total Return (8.25%) 4.88% (3.18%) Class I (EUR) Distributing

†*

Fund shares outstanding 13,501 - -Net Assets EUR139,870 - -NAV per share EUR10.36 - -Total Return 3.60% - - Class I (GBP) Accumulating

†

Fund shares outstanding 282,811 201,137 245,822Net Assets GBP2,805,485 GBP2,162,223 GBP2,495,094NAV per share GBP9.92 GBP10.75 GBP10.15Total Return (7.72%) 5.91% (2.03%)



46

Note 10. Subscriber and redeemable participating shares (continued) The NAV per redeemable share for the Fund as at 31 December 2020, 31 December 2019 and December 2018 is as follows (continued): Class I (GBP) Distributing

† 31 December 2020 31 December 2019 31 December 2018

Fund shares outstanding 1,523,213 15,349,880 12,688,191Net Assets GBP14,363,901 GBP158,564,265 GBP125,232,450NAV per share GBP9.43 GBP10.33 GBP9.87Total Return (8.71%) 4.66% (2.28%) Class I (JPY) Accumulating

†

Fund shares outstanding 36,299,035 26,370,024 23,442,739Net Assets JPY35,233,657,946 JPY27,829,077,232 JPY23,567,454,077NAV per share JPY970.65 JPY1,055.33 JPY1,005.32Total Return (8.02%) 4.97% (2.89%) Class I (NOK) Accumulating** Fund shares outstanding - - 389,285Net Assets - - NOK39,652,617NAV per share - - NOK101.86Total Return - - (1.81%) Class I (USD) Accumulating Fund shares outstanding 18,514,387 26,969,941 28,256,192Net Assets USD197,918,800 USD309,345,228 USD302,341,259NAV per share USD10.69 USD11.47 USD10.70Total Return (6.80%) 7.20% (0.37%) Class I (USD) Distributing

Fund shares outstanding 22,809,546 23,378,989 13,137,554Net Assets USD209,391,634 USD238,699,477 USD130,193,158NAV per share USD9.18 USD10.21 USD9.91Total Return (10.09%) 3.03% (2.17%) † These classes are hedged classes.

* Share class launched on 28th July 2020. ** As at 16 January 2019 the Class I (NOK) Accumulating Shares was fully redeemed and is dormant. The Class remains open to new investors.

Note 11. Fees

Investment management fees Under the Investment Management Agreement, the Fund will pay the Investment Manager an investment management and distribution fee (the “Investment Management Fee”), which is calculated and accrued on each Dealing Day based on the average daily NAV of the relevant class. The Investment Management Fee is payable quarterly in arrears.

The Investment Management Fee rates for each active share class as at 31 December 2020 is 1.95% for the Class A shares, 1.40% for the Class I shares and 1.75% for the Class C shares.

In addition, the Investment Manager shall be entitled to be reimbursed certain reasonably vouched out-of-pocket expenses.

Performance fees Under the Investment Management Agreement, the Fund will pay to the Investment Manager a performance fee (the “Performance Fee”) annually in arrears within 45 calendar days of the end of each Performance Period. The Performance Period is defined as the financial year beginning on 1 January and ending on 31 December of each financial year, with the exception of the first Performance Period for a class, which will begin upon the initial issue of shares in that class. The Performance Fee (if any) will accrue each Dealing Day based on the New Net Appreciation of the relevant class.

New Net Appreciation represents the excess, if any, of the positive performance of a class during a Performance Period over any “loss carry forward” applicable at the start of such financial year, adjusted daily for investor redemptions during that financial year. The Performance Fee rate in operation for active classes as at 31 December 2020 is 15.00%.

No equalisation methodology is employed in respect of the Performance Fee calculation. As such, the methodology used in the calculation may result in inequalities between investors in relation to the payment of Performance Fees and may also result in certain investors having more of their capital at risk at any time than others.



47

Note 11. Fees (continued)

Under the sub-advisory agreements between the Investment Manager and each Sub-Adviser, the Investment Manager will pay to the Sub-Adviser an investment management fee and/or a performance fee.

If, as at the end of any Performance Period, the sum of all the Sub-Advisers’ performance fees payable in respect of a Performance Period exceeds the Performance Fee payable to the Investment Manager, the Fund will pay an Additional Performance Fee to the Investment Manager which shall, in turn, remit the Additional Performance Fee to the relevant Sub-Adviser to cover this shortfall. Any such Additional Performance Fee paid by the Fund will be deducted from the Investment Manager’s Performance Fee before the payment to the Investment Manager in subsequent Performance Periods provided that upon a redemption, the amount of the Additional Performance Fee to be deducted from the Investment Manager’s performance fee in subsequent Performance Periods shall be decreased by an amount proportionate to the percentage of outstanding Shares redeemed in the relevant Class.

Performance Fees of USD1,386,638 have been charged to the Fund during the financial year ended 31 December 2020 (31 December 2019: USD11,323,926). As at 31 December 2020, USD1,389,370 (31 December 2019: USD11,619,682) was still outstanding. Sub-Adviser fees Pursuant to the sub-advisory agreements between the Investment Manager and the Sub-Advisers, the Sub-Advisers are compensated for the services they provide to the Fund by the Investment Manager from the Investment Management Fee and/or the Performance Fees, including the Additional Performance Fee (if any), that the Investment Manager receives from the Fund. Expense voluntary waiver The Investment Manager may voluntarily undertake to reduce or waive its Investment Management Fee or to make other arrangements to reduce the specified expenses (as disclosed below) of the Fund to the extent that such expenses exceed such lower expense limitation as the Investment Manager may, by notice to the shareholders, voluntarily declare to be effective (“Expense Waiver”). The Investment Manager has currently undertaken to reimburse the Fund so that Specified Expenses (as described below) of each class in the Fund’s financial year do not exceed the 0.45% of the average daily NAV of each class. There was no voluntary waiver applied in the year ended 31 December 2020 or 31 December 2019.

Specified Expenses include all expenses incurred in the business of the Fund, which include offering costs, administration fees, investor servicing fees and depositary fees. Specified Expenses do not include the following: (i) establishment expenses relating to the Fund; (ii) Investment Management Fees; (iii) Performance Fees or Additional Performance Fees; (iv) distributor fees; (v) Eligible Collective Investment Scheme fees and expenses; (vi) brokerage and trading costs; (vii) interest payments; (viii) taxes; or (ix) extraordinary expenses. The Investment Manager may terminate or modify this arrangement at any time at its sole discretion upon 30 days’ notice in writing to the Fund’s shareholders.

In the event that the Fund invests in a collective investment scheme that is managed by the Investment Manager or its affiliates, the Investment Manager shall undertake to reduce or waive its investment management fee or to make other arrangements in order to avoid the payment of Investment Management Fees in respect of both the Fund and the relevant collective investment scheme. Administrator’s fees The Administrator is entitled to receive an annual fee of USD125,000 out of the assets of the Fund together with transaction charges at normal commercial rates and reasonable out-of-pocket expenses incurred by the Administrator in the performance of its duties. The Administrator shall also be entitled to receive out of the assets of the Fund fees for accounting services that will not exceed 0.12% per annum of the NAV of the Fund. These fees shall accrue and be calculated on each Dealing Day and shall be payable monthly in arrears. Depositary's fees The Depositary is entitled to receive out of the assets of the Fund a tiered fee based on the market value of securities held equal to 0.02% for the first USD500million, 0.0175% for the next USD2billion and 0.0005% thereafter of the Fund’s Net Assets. This fee shall accrue daily and calculated on each Dealing Day and shall be payable monthly in arrears. The Depositary is also entitled to a fee of 0.01% per annum of the Funds’ Net Assets to reflect the Depositary's increased responsibilities under UCITS V Directive which became effective on 18 March 2016. The Depositary, subject to a minimum fee of USD35,000 per annum, is also entitled to receive out of the assets of the Fund all agreed sub-custodian fees and transaction charges. The Depositary shall also be entitled to receive reasonable and properly vouched expenses and disbursements.



48

Note 11. Fees (continued) Audit and tax fees Audit and tax fees of USD97,031 have been charged to the Fund during the financial year ended 31 December 2020 (31 December 2019: USD90,900). There were no other assurance or non-assurance fees incurred during the financial year.


USD USD

Statutory audit fees 85,000 85,000

Tax fees 12,031 5,900

Total 97,031 90,900

Directors’ fees The Directors shall be entitled to be paid a fee from the assets of the Company by way of remuneration for their services at a rate to be determined from time to time by the Directors, provided that the aggregate amount of Directors’ remuneration in any one year shall not exceed EUR85,000 or such other maximum amount as may be determined by the Directors and notified in advance to the shareholders from time to time and disclosed in the Prospectus or the Company’s annual or half-yearly report. The Directors will be entitled to be reimbursed by the Company for all reasonable disbursements and out-of-pocket expenses incurred by them.

The Directors earned fees of USD80,000 during the financial year ended 31 December 2020 (31 December 2019: USD81,802), of which USD16,153 was still outstanding as at 31 December 2020 (31 December 2019: USDNil). Transaction costs

For the financial years ended 31 December 2020 and 31 December 2019, the Fund incurred transaction costs as follows:


Purchase and sale transaction costs related to: USD USD

Equities 453,499 266,137

Fixed Income 234 -

Options 34,424 -

Futures Contracts 43,886 50,593

Depositary transaction costs 125,626 126,210 Professional fees Professional fees are comprised of Arcesium fees. Pursuant to the agreement between the Investment Manager and Arcesium, Arcesium is compensated by the Fund for services rendered. Note 12. Related and connected party transactions Investment Manager Blackstone Alternative Investment Advisors LLC, is an indirect wholly-owned subsidiary of Blackstone. The Investment Manager is registered as an investment adviser with the United States Securities and Exchange Commission (the “SEC”). See the Statement of Comprehensive Income and Statement of Financial Position for the disclosure of Investment Management Fees and Performance Fees charged by the Investment Manager and amounts outstanding at financial year end. Blackstone Alternative Investment Advisors LLC is also the Distributor of the Company. Affiliated shareholders The Company and the Investment Manager consider affiliated funds and entities associated with Blackstone to be affiliates. At 31 December 2020, Blackstone Harrington Partners L.P. is deemed to be affiliates of the Company. Blackstone Harrington Partners L.P. held 9,325,136 (31 December 2019: 10,630,483) of the Class I (USD) Accumulating shares of the Fund. These shares were valued at USD99,685,707 (31 December USD121,931,644) at the financial year end.



49

Note 12. Related and connected party transactions (continued) Directors’ fees and interests As at 31 December 2020, the Directors had no interest in the shares of the Company (31 December 2019: Nil). The Directors are entitled to be paid a fee for the services they provide to the Company. See the Statement of Comprehensive Income and Statement of Financial Position for disclosure of Directors’ fees paid during the financial year and fees outstanding at financial year end. Peter Koffler and Brett Condron waived their fees for the financial year.

Peter Koffler is a Senior Managing Director of Blackstone of which the Investment Manager is an indirect wholly-owned subsidiary. Mr. Koffler is also General Counsel for Blackstone's Hedge Fund Solutions Group. Brett Condron is a Senior Managing Director of Blackstone and Head of the Hedge Fund Solutions Group's Individual Investor Solutions Group. Middle- and Back-Office Provider Blackstone Alternative Asset Management L.P. (“BAAM”), an affiliate of the Investment Manager, owns a non-controlling, minority equity interest in Arcesium LLC (“Arcesium”) and the Chief Operating Officer of BAAM and the Investment Manager serves on the board of Arcesium. The parent company of a Sub-Adviser to the Fund owns a controlling, majority interest in Arcesium. Arcesium provides certain middle- and back-office services and technology to the Investment Manager, the Fund and certain Sub-Advisers. The services and technology provided by Arcesium support various post-trade activities, including trade capture, cash and position reconciliations, asset servicing, margin and collateral monitoring, pricing-related services, portfolio data warehousing, related recordkeeping, and other services and technology as agreed between the applicable entity and Arcesium. BAAM may recommend Arcesium’s services to certain Sub-Advisers, and certain Sub-Advisers from time to time may hire Arcesium. Neither BAAM nor the Investment Manager will require any Sub-Advisers to hire Arcesium as a condition to hiring them nor will the Investment Manager favor Sub-Advisers who use Arcesium over Sub-Advisers who use other qualified middle- and back-office services providers when hiring Sub-Advisers for the Fund’s portfolio. In return for its services, Arcesium receives a one-time upfront implementation fee, an annual software use and service fee (partly based on the relevant fund’s aggregate net asset value), and an annual operations services fee (also based on the relevant fund’s net asset value) (such fees in the aggregate, the “Arcesium Fees”). The Arcesium Fees have been negotiated at arm’s-length and the Investment Manager believes them to be reasonable in relation to the services provided and consistent with prevailing charges from third party providers of the same or substantially similar services. The Arcesium Fees are considered to be Specified Expenses. As at 31 December 2020, the amount due to Arcesium was USD965,585 (31 December 2019: USD837,125). Information regarding the Arcesium Fees is available from the Adviser upon request. In connection with BAAM’s minority equity ownership interest in Arcesium, BAAM may receive cash distributions from Arcesium from time to time. The Fund should not assume that BAAM will receive any distributions that will be rebated to the Fund. Cash distributions received by BAAM from Arcesium will be applied first to reimburse the Arcesium Fees paid by funds managed by the Hedge Fund Solutions Group which are clients of Arcesium (the “HFS Arcesium Clients”) for the amount of Arcesium Fees paid by such entities to Arcesium. There can be no assurance that BAAM will receive any such distributions and therefore that any such reimbursements shall be made to the Fund. Further, if Arcesium is sold to a third-party, there is no guarantee that BAAM will continue to be entitled to such cash distributions or that the HFS Arcesium Clients will be reimbursed for any portion of the Arcesium Fees paid by them. In the event that cash distributions received by BAAM from Arcesium exceed the Arcesium Fees paid by the HFS Arcesium Clients, any excess amounts will be retained by BAAM. As additional BAAM Clients engage Arcesium and pay Arcesium Fees in the future, the reimbursement described above will apply to such BAAM Clients as well. Note 13. Soft commissions The Investment Manager or Sub-Advisers may direct transactions to brokers in return for research services (such as written research reports on companies, sectors, or economies or the subscription of on-line databases that provide real time, historical pricing information and meetings with portfolio company representatives). In such circumstances, the Investment Manager or Sub-Advisers may enter into soft commission agreements or similar arrangements with such brokers. Under such arrangements, the Investment Manager or Sub-Advisers will take reasonable steps to ensure that the broker or counterparty to the arrangement has provided best execution to the sub-funds and that the benefit provided assists the Investment Manager or Sub-Advisers in its provision of investment services to the Fund. Note 14. Supplemental information The Investment Manager is subject to the SEC's amended Rule 206(4)-2 under the Investment Advisers Act of 1940 (the “SEC Depositary Rule”). The Investment Manager has determined that it is required to provide the following information to all investors in order for the financial statements to comply with the requirements of the SEC Depositary Rule. The additional information required is to provide a reconciliation of the requirements between the financial statements which are prepared under IFRS and the accounting standards generally accepted in the United States of America.



50

Note 14. Supplemental information (continued) Financial Highlights Financial highlights for the financial year ended 31 December 2020 are as follows:

Per Share Data 31 Dec 2020

Class A (EUR)

Accumulating

31 Dec 2020

Class A (EUR)

Distributing

31 Dec 2020

Class A (SEK)

Accumulating

31 Dec 2020

Class A (USD)

Accumulating

31 Dec 2020

Class C (USD)

Accumulating

31 Dec 2020

Class I (AUD)

Accumulating

31 Dec 2020

Class I (CHF)

Accumulating

NAV, beginning of financial year/period 10.28 9.80 101.19 11.08 10.62 11.09 9.97

Investment income/(loss):

Net investment income/(loss)(1)

0.08 0.08 0.81 0.10 0.10 0.14 0.24

Net realised and unrealised gain/(loss) (0.98) (1.03) (9.66) (0.91) (0.86) (0.99) (1.14)

Total From Investment Operations (0.90) (0.95) (8.85) (0.81) (0.76) (0.85) (0.90)

Net Asset Value, End of Period 9.38 8.85 92.34 10.27 9.86 10.24 9.07

Total Return before Performance fees

(2) (8.69%) (9.66%) (8.64%) (7.24%) (7.08%) (7.62%) (9.02%)

Performance fees (0.06%) (0.03%) (0.11%) (0.07%) (0.08%) (0.04%) (0.01%)

Total Return after Performance fees (8.75%) (9.69%) (8.75%) (7.31%) (7.16%) (7.66%) (9.03%)

Ratios to Average Net Assets:

(3)

Operating expenses before expense reimbursement (0.36%) (0.36%) (0.36%) (0.32%) (0.33%) (0.37%) (0.34%)

Expense reimbursement 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

Operating expenses after expense reimbursement (0.36%) (0.36%) (0.36%) (0.32%) (0.33%) (0.37%) (0.34%)

Excluded expenses(4)

(1.95%) (1.95%) (1.95%) (1.95%) (1.75%) (1.40%) (1.40%)


Expenses, net of impact of excluded expenses (2.37%) (2.34%) (2.42%) (2.34%) (2.16%) (1.81%) (1.75%)

Net investment income/(loss) 1.11% 1.15% 1.03% 1.13% 1.24% 1.71% 1.88% (1)

The net investment income per share ratio represents the expenses and net investment income divided by monthly shares in issue during the financial year. (2)

The total return is calculated by dividing the change in the per share value for the financial year by the NAV per share at the beginning of the financial year. An individual shareholder’s return may vary from these returns based on different management fee and performance fee arrangements (as applicable) and the timing of capital transactions.

(3) All ratios are annualised with the exception of non-recurring costs.

(4) Represents expenses excluded from reimbursement by the Investment Manager, as defined in the expense waiver, see Note 11.



51

Note 14. Supplemental information (continued) Financial Highlights (continued)


Class I (EUR)

Accumulating

31 Dec 2020

Class I (EUR)

Distributing*

31 Dec 2020

Class I (GBP)

Accumulating

31 Dec 2020

Class I (GBP)

Distributing

31 Dec 2020

Class I (JPY)

Accumulating

31 Dec 2020

Class I (USD)

Accumulating

31 Dec 2020

Class I (USD)

Distributing

NAV, beginning of financial year/period 10.54 10.00 10.75 10.33 1,055.33 11.47 10.21


Net investment income(1)

0.13 (0.01) 0.13 0.18 13.53 0.16 0.23

Net realised and unrealised (loss) (1.00) 0.37 (0.96) (1.08) (98.21) (0.94) (1.26)

Total investment (loss) (0.87) 0.36 (0.83) (0.90) (84.68) (0.78) (1.03)


Total Return before Performance fees(2)

(8.18%) 8.63% (7.58%) (8.69%) (7.90%) (6.71%) (9.98%)


Total Return net of Performance fees (8.25%) 3.60% (7.72%) (8.71%) (8.02%) (6.80%) (10.09%)

Ratios to Average Net Assets:(3)





(1.40%) (1.41%) (1.40%) (1.40%) (1.40%) (1.40%) (1.40%)



Net investment income 1.65% 0.55% 1.47% 1.86% 1.48% 1.63% 2.60%

(1)


The total return is calculated by dividing the change in the per share value for the financial year by the NAV per share at the beginning of the financial year/period. An individual shareholder’s return may vary from these returns based on different management fee and performance fee arrangements (as applicable) and the timing of capital transactions.



* Share class launched on 28th July 2020.



52

Note 14. Supplemental information (continued) Financial Highlights Financial highlights for the financial year ended 31 December 2019 are as follows:


Class A (EUR)

Accumulating

31 Dec 2019

Class A (EUR)

Distributing

31 Dec 2019

Class A (SEK)

Accumulating

31 Dec 2019

Class A (USD)

Accumulating

31 Dec 2019

Class C (USD)

Accumulating

31 Dec 2019

Class I (AUD)

Accumulating

31 Dec 2019

Class I (CHF)

Accumulating

NAV, beginning of financial year/period 9.83 9.43 96.59 10.38 9.91 10.42 9.53


Net investment income/(loss)(1)

0.22 0.20 2.31 0.15 0.18 0.22 0.27

Net realised and unrealised gain/(loss) 0.23 0.17 2.29 0.55 0.53 0.45 0.17

Total From Investment Operations 0.45 0.37 4.60 0.70 0.71 0.67 0.44



(2) 4.68% 4.14% 4.94% 7.67% 8.03% 7.47% 4.72%


Total Return after Performance fees 4.58% 3.92% 4.76% 6.74% 7.16% 6.43% 4.62%

Ratios to Average Net Assets:

(3)





(1.95%) (1.95%) (1.95%) (1.95%) (1.75%) (1.40%) (1.40%)



Net investment income/(loss) 2.43% 2.44% 2.38% 2.48% 2.64% 2.93% 2.96% (1)







53

Note 14. Supplemental information (continued) Financial Highlights (continued)


Class I (EUR)

Accumulating

31 Dec 2019

Class I (GBP)

Accumulating

31 Dec 2019

Class I (GBP)

Distributing

31 Dec 2019

Class I (JPY)

Accumulating

31 Dec 2019

Class I (USD)

Accumulating

31 Dec 2019

Class I (USD)

Distributing

NAV, beginning of financial year/period 10.05 10.15 9.87 1,005.32 10.70 9.91


Net investment income(1)

0.26 0.24 0.22 26.09 0.21 0.53

Net realised and unrealised (loss) 0.23 0.36 0.24 23.92 0.56 (0.23)

Total investment (loss) 0.49 0.60 0.46 50.01 0.77 0.30

Net Asset Value, End of Period 10.54 10.75 10.33 1,055.33 11.47 10.21


(2) 5.22% 6.45% 5.37% 5.33% 8.34% 4.17%

Performance fees (0.34%) (0.54%) (0.71%) (0.36%) (1.14%) (1.14%)

Total Return net of Performance fees 4.88% 5.91% 4.66% 4.97% 7.20% 3.03%

Ratios to Average Net Assets:(3)

Operating expenses before expense reimbursement (0.35%) (0.36%) (0.35%) (0.35%) (0.31%) (0.32%)

Expense reimbursement 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

Operating expenses after expense reimbursement (0.35%) (0.36%) (0.35%) (0.35%) (0.31%) (0.32%)


(1.40%) (1.40%) (1.40%) (1.40%) (1.40%) (1.40%)

Performance fees (0.34%) (0.54%) (0.71%) (0.36%) (1.14%) (1.14%)

Expenses, net of impact of excluded expenses (2.09%) (2.30%) (2.46%) (2.11%) (2.85%) (2.86%)

Net investment income 2.96% 2.96% 2.96% 2.97% 3.00% 6.35%

(1)







54

Note 14. Supplemental information (continued) Uncertain tax positions Accounting Standards Codification 740, Accounting for Uncertainty in Income Taxes (“ASC 740”) clarifies the accounting for uncertainty in income taxes recognised in the Company's financial statements. ASC 740 prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken in a tax return. ASC 740 requires that the Company determines whether it is more likely than not that a tax position will be sustained upon examination including resolution of any related appeals or litigation processes based on the technical merit position. In evaluating whether a tax position has met the more likely than not recognition threshold, the Company should presume that the position will be examined by the appropriate taxing authority that has full knowledge of all relevant information. A tax position that meets the more-likely-than-not recognition threshold is measured to determine the amount of benefit to recognise in the financial statements. The tax position is measured at the largest amount of benefit that is greater than 50 per cent likely of being realised upon settlement. In August 2016, the FASB issued ASU 2016-15, which is intended to reduce diversity in practice in how certain transactions are classified in the statement of cash flows. The issues addressed in the amendment are: debt prepayment or debt extinguishment costs, settlement of zero-coupon debt instruments, contingent consideration payments made after a business combination, proceeds from the settlement of insurance claims, proceeds from the settlement of corporate-owned life insurance policies, including bank-owned life insurance policies, distributions received from equity method investments, beneficial interests in securitization transactions; and, separately identifiable cash flows and application of the predominance principle. The amendment is effective for fiscal years since December 15, 2018. The Investment Manager has determined that there is no significant impact on the financial statements arising from the new standard. In November 2016, the FASB issued ASU 2016-18 “Statement of Cash Flows (Topic 230)”, that requires that a statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of period and end-of-period total amounts shown on the statement of cash flows. This standard is effective for fiscal years since 15 December 2018, and interim periods within fiscal years since 15 December 2019. In March 2017, the FASB issued ASU 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20) Premium Amortization on Purchased Callable Debt Securities - The amendments in this update shorten the amortisation period for certain callable debt securities held at a premium. Specifically, the amendments require the premium to be amortised to the earliest call date. The amendments do not require an accounting change for securities held at a discount; the discount continues to be amortised to maturity. The ASU takes effect for public business entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2018. For all other entities, the amendments are effective for fiscal years beginning after December 15, 2019, and interim periods within fiscal years beginning after December 15, 2020. Early adoption is permitted. In August 2018, the FASB issued ASU 2018-13, “Changes to the Disclosure Requirements for Fair Value Measurements (Topic 820)" - which adds, modifies and removes certain disclosure requirements for fair value measurements. The guidance is effective for fiscal years beginning after 15 December 2019, and for interim periods within those fiscal years, with early adoption permitted. Note 15. Segregated liability The Company is incorporated as an umbrella fund with segregated liability between sub-funds and as such, as a matter of Irish law, the assets of the Fund are segregated and the Fund will not be exposed to the liabilities of the Company’s other sub-funds. Each sub-fund of the Company will be responsible for paying its fees and expenses regardless of the level of its profitability. Notwithstanding the foregoing, there can be no assurance that, should an action be brought against the Company in the courts of another jurisdiction, the segregated nature of the sub-funds would necessarily be upheld. As at 31 December 2020, the Blackstone Diversified Multi-Strategy Fund was the only sub-fund.



55

Note 16. Exchange rates The following exchange rates were used to translate assets and liabilities into U.S. Dollar as at 31 December 2020 and 31 December 2019. Currency Legend: 31 December 2020 31 December 2019ARS Argentine Peso 84.0839 59.8718AUD Australian Dollar 1.2971 1.4250BRL Brazilian Real 5.1942 4.0227CAD Canadian Dollar 1.2729 1.2986CHF Swiss Franc 0.8853 0.9678CNH Chinese Renminbi 6.5029 6.9615CNY Chinese Yuan 6.5398 6.9657CZK Czech Koruna 21.4775 N/ADKK Danish Krone 6.0924 N/AEGP Egyptian Pound 15.7300 16.0500EUR Euro 0.8186 0.8915GBP British Pound 0.7313 0.7549HKD Hong Kong Dollar 7.7525 7.7923HUF Hungarian Forint 296.8486 N/AIDR Indonesian Rupiah 14,050.0000 13,882.5000INR Indian Rupee 73.0675 71.3782JPY Japanese Yen 103.2550 108.6550KRW South Korea Won 1,086.3000 1,156.4500MXN Mexican Peso 19.8995 18.9075NGN Nigerian Naira N/A 362.9200NOK Norwegian Krone 8.5743 8.7793PEN Peruvian Nuevo Sol 3.6200 N/APLN Polish Zloty 3.7357 3.7939RUB Russian Ruble 73.9463 62.0663SEK Swedish Krona 8.2276 9.3664SGD Singapore Dollar 1.3216 1.3450TRY Turkish Lira 7.4330 5.9490UAH Ukrainian Hryvnia N/A 23.8080ZAR South African Rand 14.6950 14.0060 Note 17. Comparative period The comparative amounts in these financial statements are for the financial year ended 31 December 2019.



56

Note 18. Significant events during the financial year The Board declared distributions on the Class A (EUR) Distributing share class and Class I (USD) Distributing share class on 2 January 2020 which was subsequently paid on 10 January 2020. On 28 July 2020, Share class I (EUR) Distributing was launched. Up to the date of approval of these financial statements, the Company has evaluated the impact of all subsequent events and has determined that there were no subsequent events requiring adjustment to or disclosure in the financial statements except for the recent outbreak of the novel coronavirus in many countries which continues to adversely impact global commercial activity and has contributed to significant volatility in financial markets. The global impact of the outbreak has been rapidly evolving, and as cases of the virus have continued to be identified in additional countries, many countries have reacted by instituting quarantines and restrictions on travel. Such actions are creating disruption in global supply chains, and adversely impacting a number of industries, such as transportation, hospitality and entertainment. The outbreak could have a continued adverse impact on economic and market conditions and trigger a period of global economic slowdown. The rapid development and fluidity of this situation precludes any prediction as to the ultimate adverse impact of the novel coronavirus. Nevertheless, the novel coronavirus presents material uncertainty and risk with respect to the Company’s performance and financial results. In addition to the factors described above, other factors described herein that may affect market, economic and geopolitical conditions, and thereby adversely affect the Company include, without limitation economic slowdown in the U.S. and internationally, changes in interest rates and/or a lack of availability of credit in the U.S. and internationally, commodity price volatility and changes in law and/or regulation, and uncertainty regarding government and regulatory policy. COVID-19 and Global Economic and Market Conditions The ongoing novel coronavirus (“COVID-19”) pandemic and restrictions on certain non-essential businesses have caused disruption in the U.S. and global economies. Although an economic recovery is partially underway, it continues to be gradual, uneven, and characterised by meaningful dispersion across sections and regions. The estimates and assumptions underlying these financial statements are based on the information available as of year-end, including judgments about the financial markets and economic conditions which may change over time. There were no other events during the financial year, which require adjustment to, or disclosure in the financial statements. Note 19. Significant events since the financial year end The Board declared distributions of USD1,276,536 on the Class I (USD) Distributing share class on 4 January 2021 which was subsequently paid on 11 January 2021. The Prospectus was updated by way of a second addendum (the "Second Addendum") in order to comply with the requirements of the EU Sustainable Finance Disclosures Regulation (2019/2088) on sustainability-related disclosures in the financial services sector ("SFDR"). The Second Addendum was noted by the Central Bank on 5 March 2021. There were no other events since the financial year end, which require adjustment to, or disclosure in the financial statements. Note 20. Approval of the financial statements The financial statements were approved by the Directors on 22 March 2021.


Schedule of Investments as at 31 December 2020

57

Security Description SharesFair Value

USD

Investment In Securities — 79.81% (2019 – 77.99%)

Common Stock — 14.11% (2019 – 7.76%)

Asia — 0.18% (2019 – 0.59%)

Consumer Discretionary Products — 0.00%

Daiwa House Industry Co. Ltd. 500 14,866

Financial Services — 0.16%

Aspirational Consumer Lifestyle Corp. 200,000 2,090,000

Real Estate — 0.02%

China Evergrande Group 3,000 5,766

China Overseas Land & Investment Ltd. 3,000 6,517

China Resources Land Ltd. 2,000 8,242

CK Asset Holdings Ltd. 2,600 13,304

Country Garden Holdings Co. Ltd. 6,000 8,282

Daiwa House REIT Investment Corp. 2 4,948

GLP J-Reit 3 4,734

Japan Real Estate Investment Corp. 2 11,557

Link REIT 3,400 30,878

Longfor Group Holdings Ltd. 1,500 8,774

Mitsubishi Estate Co. Ltd. 1,200 19,287

Mitsui Fudosan Co. Ltd. 1,500 31,409

Nippon Building Fund, Inc. 2 11,599

Nippon Prologis REIT, Inc. 4 12,496

Nomura Real Estate Master Fund, Inc. 4 5,724

Sumitomo Realty & Development Co. Ltd. 400 12,349

Sun Hung Kai Properties Ltd. 1,400 17,905

Sunac China Holdings Ltd. 2,000 7,393

Sunac Services Holdings Ltd. 64 142

Wharf Real Estate Investment Co. Ltd. 5,000 25,986

247,292

Total Asia 2,352,158

Europe — 0.23% (2019 – 0.23%)


ScION Tech Growth I 210,000 2,171,400

Oil & Gas — 0.02%

BP plc 28,103 96,976

Eni SpA 11,970 124,963

Equinor ASA 2,584 43,609

265,548

Oil, Gas & Coal — 0.03%

Royal Dutch Shell plc 8,130 143,112

TOTAL SE 5,294 228,501

371,613


Aroundtown SA 1,980 14,763

Castellum AB 199 5,073


Schedule of Investments as at 31 December 2020 (continued)

58


USD

Investment In Securities — 79.81% (2019 – 77.99%) (continued)

Common Stock — 14.11% (2019 – 7.76%) (continued)

Europe — 0.23% (2019 – 0.23%) (continued)

Real Estate — 0.01% (continued)

Deutsche Wohnen SE 593 31,639

Gecina SA 86 13,373

Land Securities Group plc 604 5,579

LEG Immobilien AG 113 17,531

Segro plc 2,035 26,406

Swiss Prime Site AG 125 12,254

Unibail-Rodamco-Westfield 188 14,642

UNITE Group plc 308 4,400

Vonovia SE 480 35,056

180,716

Total Europe 2,989,277

Middle East — 0.06% (2019 – Nil)


ION Acquisition Corp 1 Ltd. 59,956 724,268

Total Middle East 724,268

North America — 13.63% (2019 – 6.85%)

Asset Management — 0.30%

Amplitude Healthcare Acquisition Corp. 82,900 829,829

CHP Merger Corp. 133,000 1,364,580

Osprey Technology Acquisition Corp. 150,000 1,570,500

3,764,909

Banking — 3.24%

Bank of America Corp. 16,721 506,814

Byline Bancorp, Inc. 167,488 2,587,690

ConnectOne Bancorp, Inc. 93,752 1,855,352

Eastern Bankshares, Inc. 72,665 1,185,166

First Midwest Bancorp, Inc. 210,829 3,356,398

Independent Bank Group, Inc. 73,110 4,570,837

OceanFirst Financial Corp. 241,039 4,490,557

QCR Holdings, Inc. 62,159 2,460,875

Signature Bank 53,691 7,263,854

Umpqua Holdings Corp. 225,427 3,412,965

Univest Financial Corp. 72,051 1,482,810

Valley National Bancorp 190,963 1,861,889

Veritex Holdings, Inc. 109,385 2,806,819

WSFS Financial Corp. 60,925 2,734,314

Zions Bancorp NA 17,186 746,560

41,322,900


7GC & Co Holdings, Inc. 50,700 534,885

Ajax I 171,600 2,129,556

Apollo Strategic Growth Capital 150,000 1,639,500

Artius Acquisition, Inc. 210,000 2,360,400

ARYA Sciences Acquisition Corp. III 83,556 906,583



59


USD



North America — 13.63% (2019 – 0.00%) (continued)

Financial Services — 7.96% (continued)

Ascendant Digital Acquisition Corp. 130,100 1,334,826

Atlas Crest Investment Corp. 101,900 1,075,045

Brookfield Asset Management, Inc. 141,066 5,821,794

Capstar Special Purpose Acquisition Corp. 131,400 1,333,710

CC Neuberger Principal Holdings I 243,000 2,417,850

CF Acquisition Corp. IV 131,700 1,355,193

CF Finance Acquisition Corp. III 127,800 1,371,294

Chardan Healthcare Acquisition 2 Corp. 23,800 242,760

Churchill Capital Corp. IV 281,300 2,815,812

Churchill Capital Corp. V 87,800 921,900

CM Life Sciences, Inc. 106,845 1,179,569

Cohn Robbins Holdings Corp. 200,000 2,150,000

Corner Growth Acquisition Corp. 87,800 917,510

DD3 Acquisition Corp. II 65,800 690,900

DFP Healthcare Acquisitions Corp. 196,552 2,122,762

dMY Technology Group, Inc. III 107,865 1,229,661

E.Merge Technology Acquisition Corp. 133,998 1,370,800

Executive Network Partnering Corp. 116,400 2,967,036

Falcon Capital Acquisition Corp. 194,000 2,071,920

FirstMark Horizon Acquisition Corp. 127,600 1,454,640

Foley Trasimene Acquisition Corp. 121,998 1,363,938

Forest Road Acquisition Corp. 66,300 696,150

FS Development Corp. 21,300 234,300

GigCapital2, Inc. 100,000 41,310

GO Acquisition Corp. 200,000 2,126,000

Golden Falcon Acquisition Corp. 87,800 913,120

GS Acquisition Holdings Corp. II 157,300 1,714,570

Health Assurance Acquisition Corp. 117,600 1,295,952

HIG Acquisition Corp. 200,000 2,086,000

Highcape Capital Acquisition Corp. 61,100 630,552

Horizon Acquisition Corp. 72,750 728,955

Horizon Acquisition Corp. II 115,400 1,239,396

Jaws Spitfire Acquisition Corp. 71,600 791,180

Landcadia Holdings III, Inc. 200,000 2,234,000

Lefteris Acquisition Corp. 163,500 1,782,150

Lifesci Acquisition II Corp. 46,500 493,830

Live Oak Acquisition Corp. II 157,500 1,708,875

Marquee Raine Acquisition Corp. 87,800 950,874

Montes Archimedes Acquisition Corp. 200,000 2,100,000

Motive Capital Corp. 87,800 925,412

North Mountain Merger Corp. 143,398 1,544,396

Periphas Capital Partnering Corp. 62,917 1,642,763

Pershing Square Tontine Holdings Ltd. 27,200 753,984

PropTech Investment Corp. II 87,300 938,475

RedBall Acquisition Corp. 114,099 1,242,538

Reinvent Technology Partners 100,000 1,225,000

Revolution Acceleration Acquisition Corp. 123,000 1,280,430

SCVX Corp. 89,000 916,700

Senior Connect Acquisition Corp. I 114,200 1,175,118

Social Capital Hedosophia Holdings Corp. IV 67,897 993,333



60


USD





Social Capital Hedosophia Holdings Corp. V 175,652 2,315,093

Social Capital Hedosophia Holdings Corp. VI 94,000 1,213,540

Spartan Acquisition Corp. II 99,700 1,076,760

Sports Entertainment Acquisition Corp. 194,000 2,085,500

Supernova Partners Acquisition Co, Inc. 165,274 1,918,831

Tekkorp Digital Acquisition Corp. 100,700 1,082,525

TPG Pace Tech Opportunities Corp. 196,539 2,232,683

Trebia Acquisition Corp. 151,839 1,638,343

Trepont Acquisition Corp. I 142,300 1,475,651

Turmeric Acquisition Corp. 47,695 489,828

TWC Tech Holdings II Corp. 156,498 1,647,924

Vector Acquisition Corp. 193,100 2,077,756

VPC Impact Acquisition Holdings 100,000 1,057,000

Vy Global Growth 95,070 1,022,953

Yucaipa Acquisition Corp. 186,299 1,900,250

101,419,844

Insurance — 0.15%

Chubb Ltd. 12,498 1,923,692

Media — 0.04%

Liberty Media Corp.-Liberty SiriusXM 11,345 491,866

Private Equity — 0.02%

Millennium Private Equity Ltd. 13,526 270,520


American Tower Corp. 79 17,732

Avalonbay Communities Inc. 4,272 685,357

Boston Properties, Inc. 126 11,911

Colony Capital, Inc. 691,135 3,324,360

Crown Castle International Corp. 38 6,049

CyrusOne, Inc. 34,084 2,493,246

Digital Realty Trust, Inc. 40 5,580

Equinix, Inc. 52 37,137

Equity Residential 316 18,732

Essex Property Trust, Inc. 2,547 604,708

Healthpeak Properties, Inc. 94 2,842

Host Hotels & Resorts, Inc. 111 1,624

JBG SMITH Properties 59 1,845

Mid-America Apartment Communities, Inc. 10,468 1,326,191

Prologis, Inc. 7,223 719,844

Public Storage 131 30,252

Realty Income Corp. 69 4,290

Rexford Industrial Realty, Inc. 5,086 249,773

SBA Communications Corp. 9 2,539

Simon Property Group, Inc. 266 22,684

Terreno Realty Corp. 4,364 255,338

Ventas, Inc. 265 12,996



61


USD




Real Estate — 0.77% (continued)

Vornado Realty Trust 130 4,854

Welltower, Inc. 301 19,451

Weyerhaeuser Co. 62 2,079

9,861,414

Software & Tech Services — 0.24%

Bottomline Technologies DE, Inc. 39,601 2,088,556

I3 Verticals, Inc. 9,978 331,270

Microsoft Corp. 2,900 645,018

3,064,844

Specialty Finance — 0.75%

Fidelity National Information Services, Inc. 43,504 6,154,076

Global Payments, Inc. 15,796 3,402,774

9,556,850

Utilities — 0.16%

Ameren Corp. 896 69,942

American Electric Power Co. Inc. 1,133 94,345

American Water Works Co. Inc. 441 67,680

CMS Energy Corp. 1,110 67,721

Duke Energy Corp. 1,728 158,216

Entergy Corp. 208 20,767

Evergy, Inc. 771 42,798

Eversource Energy 817 70,679

FirstEnergy Corp. 701 21,458

Nextera Energy, Inc. 2,572 198,430

NiSource, Inc. 1,387 31,818

PG&E Corp. 80,788 1,006,617

Pinnacle West Capital Corp. 378 30,221

Southern Co. 1,159 71,197

WEC Energy Group, Inc. 855 78,686

Xcel Energy, Inc. 777 51,803

2,082,378

Total North America 173,759,217

Oceania — 0.01% (2019 – 0.09%)


Dexus 830 6,020

Goodman Group 2,623 38,341

GPT Group 1,438 5,002

Scentre Group 8,122 17,446

66,809

Total Oceania 66,809

Total Common Stock (Cost USD161,955,663) 179,891,729



62


USD


Preferred Stock — 0.12% (2019 – 0.54%)

North America — 0.12% (2019 – 0.54%)


EPR Properties 23,900 559,063

Retail & Whsle - Discretionary — 0.08%

Guitar Center, Inc. 8,819 967,885


Total Preferred Stock (Cost USD3,915,153) 1,526,948

Warrant — 0.18% (2019 – 0.07%)

Asia — 0.00% (2019 – Nil)


SC Health Corp. 24,723 33,376

Total Asia 33,376

Europe — 0.01% (2019 – 0.00%)


Bespoke Capital Acquisition Corp. 75,000 90,000

Total Europe 90,000

North America — 0.17% (2019 – 0.07%)


Amplitude Healthcare Acquisition Corp. 41,300 59,885

CHP Merger Corp. 66,500 84,455

Crescent Acquisition Corp. 75,000 110,250

LIV Capital Acquisition Corp. 57,826 40,478

Osprey Technology Acquisition Corp. 130,625 192,019

Union Acquisition Corp. II 105,000 99,750

586,837


Ascendant Digital Acquisition Corp. 65,050 111,236

Capstar Special Purpose Acquisition Corp. 65,700 92,637

Chardan Healthcare Acquisition 2 Corp. 23,800 23,562

Churchill Capital Corp. IV 56,260 85,515

CM Life Sciences, Inc. 50,866 138,864

DFP Healthcare Acquisitions Corp. 49,138 95,819

E.Merge Technology Acquisition Corp. 44,666 66,999

Foley Trasimene Acquisition Corp. 40,666 102,885

GigCapital2, Inc. 100,000 196,000

GS Acquisition Holdings Corp. II 39,325 100,672

RedBall Acquisition Corp. 38,033 85,194

SCVX Corp. 44,500 75,650



63


USD


Warrant — 0.18% (2019 – 0.07%) (continued)



Subversive Capital Acqcuisition Corp. 61,691 101,790

Trebia Acquisition Corp. 50,613 105,275

TWC Tech Holdings II Corp. 52,166 88,161

1,470,259


Total Warrant (Cost USD1,384,178) 2,180,472

CCYPrincipalAmount

ValueUSD

Asset-backed Securities — 5.48% (2019 – 5.73%)

Europe — 0.29% (2019 – 0.17%)

Banco Santander SA

Series 1, Class E, 6.38%, 25/09/2026 USD 2,146,319 2,189,350

Series 1, Class G, 10.00%, 25/09/2026 1,475,551 1,524,362


North America — 5.19% (2019 – 5.56%)

610 Funding CLO 1 Ltd., Series 2015-1A, Class CR, 4.11%, 21/09/2029 USD 2,000,000 1,960,382

Adams Mill CLO Ltd., Series 2014-1A, Class D1, 3.74%, 15/07/2026 1,500,000 1,485,606

AIG CLO Ltd., Series 2019-2A, Class E, 7.47%, 25/10/2032 250,000 249,046

Alesco Preferred Funding Ltd., Series 16A, Class A, 0.57%, 23/03/2038 9,374,015 7,780,431

Alinea CLO Ltd., Series 2018-1A, Class D, 3.32%, 20/07/2031 1,000,000 981,771Arbor Realty Collateralised Loan Obligation Ltd., Series 2020-FL1, Class C, 2.21%, 15/02/2035 348,000 340,196

Atrium XII, Series 12A, Class ER, 5.47%, 22/04/2027 2,500,000 2,266,367

Black Diamond CLO Ltd., Series 2017-1A, Class C, 4.17%, 24/04/2029 2,250,000 2,146,673

Brookside Mill CLO Ltd., Series 2013-1A, Class DR, 2.87%, 17/01/2028 1,000,000 944,340Carlyle Global Market Strategies CLO Ltd., Series 2014-1A, Class DR, 2.82%, 17/04/2031 1,000,000 876,830

Catamaran CLO Ltd., Series 2015-1A, Class DR, 3.02%, 22/04/2027 1,000,000 966,273

Cent CLO Ltd., Series 2014-21A, Class CR2, 3.42%, 27/07/2030 1,000,000 950,752

CIFC Funding Ltd., Series 2017-2A, Class D, 3.72%, 20/04/2030 750,000 736,248

Colony American Finance Ltd.

Series 2019-1, Class D, 4.82%, 15/03/2052 109,000 111,849

Series 2019-2, Class D, 4.22%, 15/06/2052 100,000 108,667

Series 2019-2, Class XA, 2.38%, 15/06/2052 3,319,256 315,426

Cutwater Ltd., Series 2015-1A, Class DR, 3.69%, 15/01/2029 1,000,000 886,427

Galaxy CLO Ltd., Series 2017-24A, Class C, 1.94%, 15/01/2031 500,000 479,339

Gallatin CLO Ltd.

Series 2017-1A, Class D, 3.49%, 15/07/2027 1,500,000 1,426,991

Series 2018-1A, Class D1, 3.31%, 21/01/2028 1,500,000 1,464,048

Harbourview CLO, Series 7RA, Class D, 3.58%, 18/07/2031 1,009,180 840,338

JMP Credit Advisors CLO Ltd., Series 2014-1RA, Class D, 2.82%, 17/01/2028 1,000,000 933,006



64

Security Description CCYPrincipalAmount

ValueUSD


Asset-backed Securities — 5.48% (2019 – 5.73%) (continued)

North America — 5.19% (2019 – 5.56%) (continued) Long Beach Mortgage Loan Trust, Series 2006-4, Class 2A4, 0.67%, 25/05/2036 USD 2,160,184 958,018

Madison Park Funding Ltd., Series 2013-11A, Class DR, 3.46%, 23/07/2029 1,300,000 1,261,683

Midocean Credit CLO, Series 2017-7A, Class D, 4.12%, 15/07/2029 1,000,000 966,132

Milos CLO Ltd., Series 2017-1A, Class CR, 2.12%, 20/10/2030 820,000 796,004Morgan Stanley ABS Capital I, Inc., Series 2007-HE3, Class A2D, 0.40%, 25/12/2036 374,168 244,415

Mountain View CLO LLC

Series 2015-9A, Class CR, 3.36%, 15/07/2031 2,000,000 1,813,228

Series 2017-1A, Class D, 3.83%, 16/10/2029 1,500,000 1,421,675

Neuberger Berman Loan Advisers CLO Ltd.

Series 2017-26A, Class C, 1.97%, 18/10/2030 250,000 245,696

Series 2018-28A, Class D, 3.07%, 20/04/2030 250,000 248,001

Nomura CRE CDO Ltd., Series 2007-2A, Class D, 0.66%, 21/05/2042 95,475 41,907

Northwoods Capital Ltd., Series 2018-12BA, Class D, 3.37%, 15/06/2031 1,500,000 1,343,417

Oceanview CBO Ltd., Series 1A, Class A1A, 0.68%, 10/06/2032 10,664,614 7,411,906OneMain Financial Issuance Trust, Series 2017-1A, Class A1, 2.37%, 14/09/2032 469,615 469,718

OZLM Ltd., Series 2014-6A, Class CS, 3.35%, 17/04/2031 1,000,000 942,512

Progress Residential Trust

Series 2018-SFR1, Class F, 4.78%, 17/03/2035 1,000,000 1,003,399

Series 2018-SFR2, Class F, 4.95%, 17/08/2035 1,000,000 1,013,939

Regatta XI Funding Ltd., Series 2018-1A, Class D, 3.07%, 17/07/2031 250,000 241,468

RR 2 Ltd., Series 2017-2A, Class C, 3.24%, 15/10/2029 250,000 249,998Sofi Consumer Loan Program LLC, Series 2017-6, Class A2, 2.82%, 25/11/2026 146,136 146,728

Steele Creek CLO Ltd., Series 2015-1A, Class DR, 3.96%, 21/05/2029 1,000,000 932,078

Taberna Preferred Funding Ltd., Series 2005-1A, Class C1, 2.04%, 05/07/2035 6,096,119 2,682,291

TICP CLO Ltd., Series 2018-IA, Class C, 3.26%, 26/04/2028 2,000,000 1,868,530

Tralee CLO Ltd., Series 2018-5A, Class D, 3.42%, 20/10/2028 3,500,000 3,411,453

Trinitas CLO Ltd., Series 2014-2A, Class D, 4.04%, 15/07/2026 1,350,000 1,311,277

Tropic CDO Ltd., Series 2004-4A, Class A4, 1.84%, 15/04/2035 1,000,000 690,000Turbine Engines Securitization Ltd., Series 2013-1A, Class B, 6.38%, 13/12/2048 2,251,652 1,553,773

Venture CLO Ltd., Series 2013-14A, Class DR, 4.22%, 28/08/2029 1,000,000 875,112

VOLT LLC, Series 2020-NPL1, Class A1A, 3.23%, 25/01/2050 672,833 673,722Z Capital Credit Partners CLO Ltd., Series 2015-1A, Class DR, 3.33%, 16/07/2027 2,000,000 1,797,098

Zais CLO Ltd., Series 2018-11A, Class D, 4.22%, 20/01/2032 1,500,000 1,270,097


Total Asset-Backed Securities (Cost USD74,899,750) 69,849,993

Bank Debt — 5.80% (2019 – 3.62%)

Asia — Nil (2019 – 0.01%)

Europe — 0.16% (2019 – 0.05%)

Chemicals — 0.02%

Alpha 3 BV, Term Loan B1, 4.00%, 31/01/2024 USD 53,949 53,714

Composite Resins Subholding B, Term Loan, 5.25%, 01/08/2025 95,811 96,050

149,764



65


ValueUSD


Bank Debt — 5.80% (2019 – 3.62%) (continued)

Europe — 0.16% (2019 – 0.05%) (continued)

Consumer Discretionary Products — 0.00%

Amer Sports Oyj, Term Loan B, 4.50%, 30/03/2026 EUR 26,427 30,715

Entertainment Content — 0.00%

Delta 2 (Lux) SARL, Term Loan B, 3.50%, 01/02/2024 USD 60,431 59,697

Health Care Facilities & Services — 0.00%

Loire Finco Luxembourg SARL, Term Loan, 3.50%, 21/04/2027 49,750 48,755

Medical Equipment & Devices Manufacturing — 0.01%

Ortho Clinical Diagnostics SA, Term Loan, 3.48%, 30/06/2025 96,907 95,405

Oil & Gas — 0.00%

Endeavour International Holdings BV, Term Loan A1, 12.00%, 02/01/2022 55,328 1,118

Other — 0.01%

Auris Luxembourg Iii SARL, Term Loan B, 3.75%, 27/02/2026 65,310 62,861

Property & Casualty Insurance — 0.01%

Hyperion Ins Group Ltd., First Lien Term Loan, 4.50%, 20/12/2024 68,094 67,829

Recreation Facilities & Services — 0.03%

Motion Finco SARL, Term Loan B, 3.00%, 12/11/2026 EUR 373,000 432,058

Refining & Marketing — 0.03%

EG Dutch Finco BV, Term Loan, 4.23%, 07/02/2025 USD 383,301 378,273

Software & Services — 0.02%

ION Trading Technologies SARL, Incremental Loan, 5.00%, 21/11/2024 118,753 118,329Travelport Finance (Luxemburg) SARL, Super Priority Term Loan, 8.00%, 28/02/2025 185,777 182,903

301,232

Wireless Telecommunications Services — 0.03%

Altice France SA, Term Loan B13, 4.22%, 14/08/2026 354,789 352,720


North America — 5.52% (2019 – 3.55%)

Advertising & Marketing — 0.02%

Applovin Corp., Term Loan B, 3.73%, 15/08/2025 USD 57,390 57,175

Terrier Media Buyer, Inc., Term Loan B, 4.38%, 17/12/2026 145,565 145,520

202,695

Aerospace & Defense — 0.02%

Dynasty Acquisition Co., Inc., Term Loan, 3.63%, 06/04/2026 324,600 308,370

Airlines — 0.02%

American Airls, Inc.

Replacement Term Loan, 1.89%, 29/01/2027 107,089 91,561

Term Loan B, 1.97%, 27/06/2025 258,838 212,829

304,390



66


ValueUSD




Auto Parts Manufacturing — 0.02%

Panther Bf Aggregator 2 LP, Term Loan B, 3.72%, 30/04/2026 USD 291,622 290,103

Cable & Satellite — 0.06%

Radiate Holdco LLC, Term Loan, 4.25%, 25/09/2026 175,849 175,932

UPC Broadband Holding BV

Term Loan B1, 3.63%, 31/01/2029 60,556 60,586

Term Loan B2, 3.63%, 31/01/2029 60,556 60,586

Wideopenwest Fin LLC, Term Loan B, 4.25%, 18/08/2023 496,402 493,781

790,885

Casinos & Gaming — 0.00%

Golden Nugget, Inc., Incremental Term Loan B, 3.25%, 04/10/2023 20,666 19,907

Chemicals — 0.06% Ascend Performance Materials Operations LLC, Term Loan B, 6.25%, 27/08/2026 372,632 373,564

Graftech International Ltd., Term Loan B, 4.50%, 12/02/2025 308,357 307,715

PQ Corporation, Incremental Term Loan B, 4.00%, 07/02/2027 63,359 63,294

744,573

Commercial Services — 0.22%

Amentum Govt Servi Holdings LLC, Term Loan B, 3.50%, 01/02/2027 49,750 49,563

Garda World Security Corporation, First Lien Term Loan B, 4.75%, 30/10/2026 162,492 162,492

IMC OP LP, Term Loan, 6.15%, 01/12/2023 2,484,000 2,174,730

Sunshine Luxembourg Vii SARL, Term Loan B1, 5.25%, 01/10/2026 373,250 373,951

2,760,736

Communications Equipment — 0.03%

Commscope, Inc., Term Loan B, 3.49%, 06/04/2026 96,576 95,731

Delta Topco, Inc, Term Loan B, 4.50%, 01/12/2027 314,544 314,217

MLN US Holdco LLC, Term Loan, 4.73%, 30/11/2025 36,486 32,906

442,854

Consumer Discretionary — 0.01%

GT Polaris, Inc., Term Loan B, 4.00%, 24/09/2027 97,506 97,774

Consumer Discretionary Services — 0.01%

Zaxbys Operating Company LLC, Term Loan, 3.75%, 10/12/2027 88,061 88,061

Consumer Finance — 0.61%

Blackstone Mortgage Trust, Inc., Trem Loan B, 2.40%, 23/04/2026 6,801,479 6,682,454

Ocwen Loan Servicing LLC, Term Loan, 7.00%, 16/05/2022 1,037,780 1,029,996

7,712,450

Consumer Services — 0.34%

Allied Universal Holdco LLC, Term Loan B, 4.38%, 10/07/2026 141,900 141,161

APX Group, Inc., Term Loan, 5.13%, 31/12/2025 406,971 404,281

Cambium Learning Group, Inc., Term Loan, 4.74%, 18/12/2025 412,360 409,370

Cast & Crew Payroll LLC, Term Loan, 3.88%, 09/02/2026 275,214 267,731

CHG Healthcare Services, Inc., First Lien Term Loan B, 4.00%, 07/06/2023 103,072 102,316

Conservice Midco LLC, Term Loan B, 4.38%, 13/05/2027 87,495 87,495

Guidehouse LLP, First Lien Term Loan, 4.64%, 01/05/2025 97,724 97,560

Legalzoom Com, Inc., Term Loan B, 4.71%, 21/11/2024 475,617 475,617National Intergovernmental Purchasing Alliance Co., Initial Term Loan, 3.97%, 23/05/2025 35,051 34,613



67


ValueUSD




Consumer Services — 0.34% (continued)

Prime Security Services Borrower LLC, Term Loan B1, 4.25%, 23/09/2026 USD 451,779 452,908

TKC Holdings, Inc.

First Lien Term Loan, 4.75%, 01/02/2023 1,371,859 1,344,134

Second Lien Term Loan, 9.00%, 01/02/2024 416,540 368,743

USS Ultimate Holdings, Inc., First Lien Term Loan, 4.75%, 25/08/2024 162,743 162,387

4,348,316

Containers & Packaging — 0.05%

Berlin Packaging LLC, Term Loan B1, 3.21%, 07/11/2025 98,985 97,241

Fort Dearborn Company, Second Lien Term Loan, 9.50%, 21/10/2024 494,717 488,532

Proampac PG Borrower LLC,

First Lien Term Loan, 4.50%, 20/11/2023 14,103 14,067

Term Loan, 5.00%, 03/11/2025 30,123 30,029

Tricorbraun Holdings, Inc., First Lien Term Loan, 4.75%, 30/11/2023 45,684 45,330

675,199

Educational Services — 0.04%

KC Mergersub, Inc., Term Loan B3, 4.75%, 21/02/2025 220,715 208,686

Learning Care Group, Term Loan B1, 4.25%, 13/03/2025 99,237 93,696

SSH Group Holdings, Inc., First Lien Term Loan, 4.47%, 30/07/2025 198,203 188,293

490,675

Electrical Equipment Manufacturing — 0.01%

Brookfield Wec Holdings, Inc., Term Loan, 3.75%, 01/08/2025 137,544 137,053

Entertainment Content — 0.04%

Diamond Sports Group LLC, Term Loan, 3.38%, 24/08/2026 268,818 236,840

Univision Communications, Inc., Replacement Term Loan, 4.75%, 15/03/2026 242,464 242,362

479,202

Entertainment Resources — 0.42%

Alterra Mountain Company, Term Loan B, 5.50%, 01/08/2026 39,900 40,049

Bulldog Parent, Inc., Term Loan B1, 3.98%, 05/09/2025 769,592 708,987

Cinemark USA, Inc., First Lien Term Loan, 2.00%, 31/03/2025 31,368 28,790

Equinox Holdings, Inc.


Term Loan B1, 4.00%, 08/03/2024 1,548,857 1,382,789

LTF Merger Sub, Inc., Term Loan, 3.75%, 10/06/2022 2,519,045 2,444,731

Six Flags Theme Parks, Inc., Term Loan B, 1.88%, 17/04/2026 66,128 64,495

SMG US Midco 2, Inc., Term Loan, 2.63%, 23/01/2025 96,793 90,906

UFC Holdings LLC, Term Loan, 4.25%, 29/04/2026 102,890 102,456

William Morris Endeavor Entertainment, Term Loan B1, 2.97%, 18/05/2025 310,378 285,029

5,371,443

Exploration & Production — 0.04%

Par Petroleum LLC, Term Loan B, 6.98%, 12/01/2026 500,783 472,615


Advisor Group, Inc., Term Loan B, 5.14%, 31/07/2026 569,469 563,302

Aqgen Ascensus, Inc., Term Loan, 5.00%, 13/12/2026 114,560 114,732

Camelot Us Acquisition 1 Co., Incremental Term Loan, 3.00%, 30/10/2026 49,859 49,812

Deerfield Dakota Holding LLC, Term Loan B, 4.75%, 09/04/2027 459,511 459,584



68


ValueUSD





GI Revelation Acquisition LLC, First Lien Term Loan, 5.23%, 16/04/2025 USD 40,847 40,030

IG Investments Holdings LLC, Refinancing Term Loans, 5.00%, 23/05/2025 509,383 507,727

LD Intermediate Holdings, Inc., Term Loan B, 6.88%, 09/12/2022 93,151 92,452

Minotaur Acquisition, Inc., Term Loan B, 5.25%, 27/03/2026 595,455 583,051

NFP Corp., Term Loan, 3.38%, 15/02/2027 108,337 105,919

Quidditch Acquisition, Inc., Term Loan B, 8.00%, 21/03/2025 44,601 41,591

2,558,200

Food & Beverage — 0.03%

Arterra Wines Canada, Inc., Term Loan, 4.25%, 24/11/2027 34,051 34,201

Chobani LLC, Term Loan B, 4.50%, 20/10/2027 283,419 282,427

Dole Food Co., Inc., Term Loan B, 3.75%, 06/04/2024 64,999 64,837

381,465

Forest & Paper Products — 0.02%

Vertical US Newco. Inc,, Term Loan B, 4.25%, 30/07/2027 199,891 200,569

Gaming, Lodging & Restaurants — 0.01%

K-MAC Holdings Corp., Second Lien Term Loan, 6.75%, 16/03/2026 50,715 49,447

Tacala LLC, First Lien Term Loan, 3.75%, 05/02/2027 109,038 107,970

157,417

Hardware — 0.02%

Cardtronics USA, Inc., Term Loan B, 5.00%, 29/06/2027 166,159 165,881

EXC Holdings Iii Corp., Term Loan B, 4.50%, 02/12/2024 67,114 66,415

232,296


American Renal Holdings, Inc., Term Loan, 5.13%, 21/06/2024 34,230 34,121

Amgh Holdings Corp., Term Loan, 5.25%, 14/03/2025 483,348 477,997

CDRH Parent, Inc., Term Loan B, 5.25%, 01/07/2021 734,653 588,185

Change Healthcare Holdings, Inc., Term Loan B, 3.50%, 01/03/2024 157,724 156,856

Comet Acquisition Corp., First Lien Initial Term Loan, 3.48%, 24/10/2025 29,259 28,674

Enterprise Merger Sub, Inc., Initial Term Loan, 3.98%, 10/10/2025 735,739 611,495

Eresearchtechnology, Inc., Term Loan, 5.50%, 04/02/2027 58,523 57,865

Examworks Group, Inc., Term Loan, 3.25%, 27/07/2023 209,596 209,160

GHX Ultimate Parent Corp., Term Loan B, 4.25%, 28/06/2024 83,466 81,865

Milano Acquisition Corp., Term Loan B, 4.75%, 01/10/2027 104,263 104,089

New Millennium Holdco, Inc., Term Loan, 5.50%, 01/05/2025 513,277 510,710

NMSC Holdings, Inc., Term Loan B, 6.00%, 19/04/2023 133,546 128,871

Onex TSG Inter Corp., First Lien Term Loan, 5.00%, 31/07/2022 523,148 514,322

Pluto Acquisition I, Inc., Incremental Term Loan B, 5.50%, 22/06/2026 35,737 35,737

Quorum Health Corporation, Term Loan, 9.25%, 29/04/2025 2,528,683 2,468,627

Regionalcare Hospital Partners, Term Loan B, 3.88%, 16/11/2025 109,414 108,991

Surgery Ctr Holdings, Inc., First Lien Term Loan, 4.25%, 03/09/2024 523,744 514,070

Team Health, Inc. Del, Term Loan B, 3.75%, 06/02/2024 1,568,755 1,393,117

U.S. Anesthesia Partners, Inc., Term Loan, 4.00%, 23/06/2024 360,533 351,801

Unified Physician Managmt LLC, Term Loan, 5.00%, 16/12/2027 65,761 65,268

8,441,821



69


ValueUSD




Home Improvement — 0.07%

Ai Aqua Merger Sub, Inc.

First Lien Term Loan, 4.25%, 13/12/2023 USD 102,266 101,499

Incremental Term Loan, 6.25%, 13/12/2023 26,773 26,773

Apex Tool Group LLC, Term Loan B, 6.75%, 01/08/2024 408,831 403,328

Cornerstone Building Brands, Term Loan B, 3.98%, 12/04/2025 100,771 100,519

CP Atlas Buyer, Inc.

Delayed Draw Term Loan B2, 5.25%, 23/11/2027 34,754 34,797

Term Loan B1, 5.25%, 23/11/2027 104,262 104,392

Mi Windows And Doors LLC, Term Loan, 4.50%, 18/12/2027 72,691 72,782

844,090

Industrial Other — 0.24%

Brand Energy and Infrastructur, First Lien Term Loan, 5.25%, 21/06/2024 385,525 375,185

DG Invest Intermed Holdings 2, Inc., Term Loan, 3.75%, 03/02/2025 48,639 48,031

HD Supply Waterworks Ltd., Term Loan B, 4.00%, 01/08/2024 58,107 57,768

Qualtek Usa LLC, Term Loan B, 7.25%, 18/07/2025 2,734,845 2,561,647

3,042,631

Industrial Services — 0.02%

GFL Environmental, Inc., Term Loan, 3.00%, 30/05/2025 87,136 87,208

Tutor Perini Corporation, Term Loan B, 4.75%, 13/08/2027 228,240 228,811

316,019

Insurance — 0.01%

Ryan Specialty Group LLC, Term Loan, 3.25%, 01/09/2027 66,500 66,251

Internet Media — 0.03%

Mh Sub I LLC

Amendment No. 2 Initial Term Loan, 3.99%, 13/09/2024 98,223 96,787

Incremental Term Loan, 4.75%, 13/09/2024 159,599 158,961

Shutterfly, Inc., Term Loan B, 7.00%, 25/09/2026 77,993 77,436

Web.Com Group, Inc., Term Loan B2, 7.98%, 09/10/2026 46,292 44,055

377,239

Machinery Manufacturing — 0.17%

Duravant LLC, Second Lien Term Loan, 8.25%, 18/07/2025 1,906,797 1,903,611

Engineered Machinery Holdings, Inc., First Lien Term Loan, 4.00%, 19/07/2024 98,728 98,327

Titan Acquisition Limited, Term Loan B, 3.24%, 28/03/2025 140,909 137,114

Wash Multifamily Laundry LLC, First Lien Term Loan, 4.25%, 14/05/2022 11,764 11,654

Wash Multifamily Laundry Systems, Term Loan B, 4.25%, 14/05/2022 78,819 78,080

2,228,786

Manufactured Goods — 0.12%

Hillman Group, Inc., Initial Term Loan, 4.23%, 31/05/2025 52,242 51,956

LTI Holdings, Inc., Term Loan, 3.73%, 06/09/2025 211,643 205,143

Tecostar Holdings, Inc., First Lien Term Loan, 4.25%, 01/05/2024 86,569 84,946

Wireco Worldgroup, Inc., First Lien Term Loan, 6.00%, 30/09/2023 1,210,123 1,148,104

1,490,149

Materials — 0.04%

Arches Buyer, Inc., Term Loan, 4.00%, 06/12/2027 225,000 225,113

Charter Nex Us, Inc., Term Loan, 4.25%, 01/12/2027 210,534 211,376

Graham Packaging Company, Inc., Term Loan, 3.75%, 04/08/2027 93,758 93,981

530,470

Media — 0.00%

Nielsen Finance LLC, Term Loan B5, 3.75%, 04/06/2025 41,338 41,536



70


ValueUSD




Medical Equipment & Devices Manufacturing — 0.03%

Albany Molecular Resh, Inc., Term Loan, 4.25%, 30/08/2024 USD 90,540 90,691

Athenahealth, Inc., Term Loan B, 4.71%, 11/02/2026 137,550 137,172

CPI Holdco LLC, Term Loan, 4.39%, 04/11/2026 51,160 51,160

CPI International, Inc., Term Loan, 4.50%, 26/07/2024 47,730 46,914

Sotera Health Holdings LLC, Term Loan, 5.50%, 11/12/2026 93,957 94,231

420,168

Pharmaceuticals — 0.23%

Alphabet Holding Company, Inc., Initial Term Loan, 3.74%, 26/09/2024 547,375 541,748

Amneal Pharmaceuticals LLC, Term Loan B, 3.71%, 04/05/2025 118,205 114,979

Arbor Pharmaceuticals LLC, Term Loan B, 6.00%, 05/07/2023 168,380 161,645

Endo Luxembourg Fin Co I SA, Term Loan B, 5.00%, 29/04/2024 118,847 116,767

Mallinckrodt International Finance SA

364 Day Revolver, 3.00%, 28/02/2022 604,985 580,356

Term Loan B, 3.50%, 24/09/2024 1,314,562 1,234,544

Term Loan B, 3.75%, 24/02/2025 205,948 193,163

2,943,202

Pipeline — 0.02%

Lower Cadence Holdings LLC, Term Loan B, 4.21%, 22/05/2026 198,431 193,348


Alliant Holdings I LP, Term Loan B1, 3.38%, 09/05/2025 85,150 83,730

Amwins Group Inc, Term Loan, 3.75%, 25/01/2024 92,083 91,894

Assuredpartners Capital, Inc., Incremental Term Loan B, 5.50%, 12/02/2027 129,025 129,106

Assuredpartners, Inc., Term Loan B, 3.63%, 12/02/2027 177,278 174,453

Asurion LLC, Second Lien Term Loan, 6.72%, 04/08/2025 390,446 392,886

Broadstreet Partners, Inc., Term Loan B, 3.38%, 27/01/2027 85,179 83,599

Hub International Limited, Incremental Term Loan B, 5.00%, 25/04/2025 400,081 400,705

Sedgwick Claims Mgmt Services, Inc., Term Loan B, 4.23%, 03/09/2026 101,379 100,936

USI, Inc., Inc Term Loan B, 4.14%, 02/12/2026 215,745 215,072

1,672,381

Publishing & Broadcasting — 0.17%

A-L Parent LLC


Term Loan B, 4.25%, 01/12/2023 1,270,445 1,142,943

Clear Channel Outdoor Holdings I, Term Loan B, 3.63%, 21/08/2026 98,933 95,046

E-W Scripps Company, Term Loan B3, 3.75%, 15/12/2027 43,549 43,549

Gimli Parent Corp., First Lien Term Loan, 4.38%, 29/08/2025 313,641 311,421

Iheartcommunications, Inc., Term Loan, 3.14%, 01/05/2026 492,433 483,816

LBI Media, Inc., Exit Term Loan, 7.50%, 15/10/2024 86,790 26,471

2,225,050


Geo Group, Inc., Term Loan, 2.75%, 22/03/2024 347,152 312,871

Motion Finco SARL, Term Loan B1, 3.25%, 12/11/2026 517,936 498,514

811,385

Recreation Facilities & Services — 0.01%

Motion Finco SARL, Delayed Draw Term Loan B2, 3.25%, 12/11/2026 68,122 65,567


Citgo Holding, Inc., Term Loan, 8.00%, 01/08/2023 861,577 792,650

Citgo Petroleum Corporation, Term Loan B, 7.25%, 28/03/2024 1,034,942 1,025,110

Gulf Fin LLC, Term Loan B, 6.25%, 25/08/2023 36,744 27,624

1,845,384



71


ValueUSD




Renewable Energy — 0.01%

Granite Acquisition, Inc., Term Loan B, 4.75%, 19/09/2022 USD 177,555 177,832

Restaurants — 0.02%

IRB Holding Corp.

Fourth Amendment Incre Term Loan, 4.25%, 15/12/2027 199,719 199,781

Term Loan B, 3.75%, 05/02/2025 98,232 97,283

297,064

Retail - Consumer Discretionary — 0.13%

Avis Budget Car Rental LLC, Term Loan B, 2.38%, 06/08/2027 66,557 64,124

Bass Pro Group LLC, Term Loan B, 5.75%, 25/09/2024 260,858 261,325

Harbor Freight Tools USA, Inc., Term Loan B, 4.00%, 19/10/2027 137,031 136,802

Lbm Acquisition LLC

Delayed Draw Term Loan, 4.50%, 09/12/2027 14,942 14,926

Term Loan B, 4.50%, 17/12/2027 67,238 67,169

Michaels Stores, Inc., Term Loan B, 4.25%, 01/10/2027 170,891 169,396

Pet Acquisition Merger Sub LLC, Term Loan, 4.25%, 26/01/2023 648,523 619,431

Petsmart, Inc., Consenting Term Loan, 4.50%, 11/03/2022 56,171 56,013

Siteone Landscape Supply Holdings, Term Loan E, 3.75%, 29/10/2024 8,232 8,170

Wand Newco 3, Inc., Term Loan, 3.14%, 05/02/2026 91,432 90,015

White Cap Buyer LLC, Term Loan B, 4.50%, 19/10/2027 211,267 211,003

1,698,374


Access CIG LLC, First Lien Cov Lite Term Loan, 3.97%, 27/02/2025 67,297 66,523

Alpine Fin Merger Sub LLC, Term Loan, 4.00%, 12/07/2024 34,134 33,920

Applied Systems, Inc., Term Loan, 4.25%, 19/09/2024 77,034 76,938

Banff Merger Sub, Inc., Initial Term Loan, 4.49%, 02/10/2025 555,205 552,268

Brave Parent Holdings, Inc., First Lien Term Loan, 4.24%, 18/04/2025 35,601 35,379

Convergeone Holdings, Inc., Term Loan, 5.24%, 04/01/2026 112,318 105,439

Ct Technlgs Intrmdt Hldngs Inc, Term Loan, 6.00%, 09/12/2025 106,870 106,335

Cypress Inter Holdings Iii, Inc., First Lien Term Loan, 4.00%, 29/04/2024 60,387 60,160

Dcert Buyer, Inc., Term Loan B, 4.23%, 16/10/2026 76,704 76,526

Dun & Bradstreet Corp., Term Loan, 3.88%, 06/02/2026 114,240 114,192

Eci Macola Max Holdings LLC, Term Loan, 4.50%, 09/11/2027 496,976 495,525

Emerald Topco, Inc., Term Loan, 3.63%, 24/07/2026 62,857 61,992

Epicor Software Corporation, Term Loan, 5.25%, 30/07/2027 296,249 297,668

Finastra Usa, Inc., Term Loan B, 4.50%, 13/06/2024 208,440 203,946

Flexera Software LLC, Incremental Term Loan, 4.50%, 26/01/2028 134,205 134,037

Genuine Finl Holdings LLC, First Lien Term Loan, 3.98%, 11/07/2025 96,048 92,886

Globallogic Holdings, Inc., Incremental Term Loan B2, 4.50%, 14/09/2027 53,874 53,604

Greeneden US Holdings Ii LLC, Term Loan B, 4.75%, 01/12/2027 278,918 279,180

Help & Systems Holdings, Inc., Term Loan B, 5.75%, 19/11/2026 198,500 197,011

Hyland Software, Inc., Refinancing Term Loan, 4.25%, 01/07/2024 334,246 334,617

Imperva, Inc., First Lien Term Loan, 5.00%, 12/01/2026 430,840 430,301

Imprivata, Inc., Term Loan, 4.25%, 01/12/2027 50,000 50,000

Ivanti Software, Inc., Term Loan B, 5.75%, 01/12/2027 100,000 99,656

Ma Financeco LLC, Term Loan B4, 5.25%, 05/06/2025 146,838 147,817

Mcafee LLC, Term Loan B1, 3.97%, 30/09/2024 94,998 94,926

Mitchell International, Inc.

First Lien Term Loan, 3.47%, 29/11/2024 486,706 477,279

Term Loan, 4.75%, 29/11/2024 23,991 23,979



72


ValueUSD




Software & Services — 0.72% (continued)

MPH Acquisition Holdings LLC, Term Loan B, 3.75%, 07/06/2023 USD 126,173 125,464

Navicure, Inc., Incremental Term Loan B, 4.75%, 22/10/2026 190,000 189,525

Park Place Technologies LLC, Term Loan, 6.00%, 10/11/2027 156,243 149,732

Perforce Software, Inc., Term Loan B, 3.89%, 01/07/2026 49,878 48,818

Project Alpha Intermediate HL, Term Loan B, 4.50%, 26/04/2024 524,370 518,906

Project Angel Holdings LLC, Term Loan, 5.00%, 30/05/2025 126,348 125,085

Project Boost Purchaser LLC

Repricing Term Loan, 5.50%, 07/07/2023 29,662 29,533

Term Loan B, 3.73%, 01/06/2026 89,383 88,378

Project Leopard Holdings, Inc., Incremental Term Loan, 5.25%, 07/07/2023 128,655 127,851

Quest Software US Holdings, Inc., Term Loan, 4.47%, 16/05/2025 477,559 468,605

Rackspace Hosting, Inc., Term Loan B Facility, 4.00%, 03/11/2023 162,978 162,612

Rocket Software, Inc., Term Loan, 4.49%, 28/11/2025 297,727 294,792

Sabre Global, Inc., Term Loan B, 4.75%, 17/12/2027 47,214 47,273

Sophia LP, First Lien Term Loan, 4.50%, 07/10/2027 173,010 173,133

STG Fairway Holdings LLC, Term Loan B, 3.64%, 31/01/2027 57,418 56,413

Surf Holdings LLC, Term Loan, 3.63%, 05/03/2027 49,750 49,253

Syncsort Incorporated, Term Loan B, 7.00%, 16/08/2024 228,108 227,682

Tempo Acquisition LLC, Term Loan B, 3.75%, 02/11/2026 80,316 79,664

Tierpoint LLC, Term Loan B, 4.75%, 06/05/2024 495,522 492,836

Ultimate Software Group, Inc., Term Loan B, 3.98%, 04/05/2026 267,272 266,855

Veritas US, Inc., Term Loan B, 6.50%, 01/09/2025 487,321 485,493

Vero Parent, Inc., Term Loan B, 6.38%, 16/08/2024 65,318 65,040

Verscend Holdings Corp., Term Loan B, 4.73%, 27/08/2025 165,549 165,218

VT Topco, Inc., First Lien Term Loan, 3.64%, 01/08/2025 30,458 30,001

9,170,266

Software & Tech Services — 0.01%

Virtusa Corporation, Term Loan B, 4.50%, 01/12/2027 43,833 43,504

Weld North Education LLC, Term Loan B, 4.00%, 15/12/2027 122,254 121,795

165,299

Specialty Finance — 0.01%

PI US Mergerco, Inc., First Lien Term Loan, 3.50%, 03/01/2025 92,414 92,101

Transportation & Logistics — 0.04%

Atlantic Aviation FBO, Inc., Term Loan B, 3.98%, 06/12/2025 47,711 47,473

CTOS LLC, Term Loan B, 4.38%, 18/04/2025 99,042 99,104

Gruden Holdings, Inc., First Lien Term Loan, 6.50%, 18/08/2022 213,597 210,927

IBC Cap US LLC, Term Loan B1, 3.99%, 11/09/2023 145,811 143,624

501,128

Travel & Lodging — 0.04% Casablanca US Holdings, Inc., Amend No.2 Initial Term Loan, 4.23%,

29/03/2024 490,868 393,514

Hornblower Sub LLC, Repriced Term Loan B, 5.75%, 27/04/2025 52,262 44,423

REP WWEX Acquisition Parent LLC, Term Loan, 5.00%, 02/02/2024 105,403 103,769

541,706

Utilities — 0.01%

Pacific Gas & Electric Company, Term Loan, 5.50%, 23/06/2025 63,489 64,140

Waste & Environment Services & Equipment — 0.03%

Energysolutions LLC, Term Loan B1, 4.75%, 09/05/2025 135,865 133,431

Robertshaw US Holding Corp., First Lien Term Loan, 4.25%, 28/02/2025 233,571 217,805

351,236



73


ValueUSD




Wireless Telecommunications Services — 0.01%

CCI Buyer, Inc., Term Loan, 4.75%, 17/12/2027 USD 80,963 80,827

Iridium Satellite LLC, Term Loan B, 4.75%, 04/11/2026 71,062 71,348

152,175

Wireline Telecommunications Services — 0.03%

Colorado Buyer, Inc., Term Loan B, 8.25%, 01/05/2025 436,457 340,201

Securus Tech Holdings, Inc., First Lien Term Loan, 5.50%, 01/11/2024 55,690 52,036

392,237


Oceania — Nil (2019 – 0.01%)

South America — 0.12% (2019 – Nil)

Iron & Steel — 0.12%

Samarco Mineracao SA, Fixed Rate Term Loan, 0.00%, 25/03/2021 2,226,692 1,530,851

Total South America 1,530,851

Total Bank Debt (Cost USD73,757,470) 73,937,561

Convertible bonds — 0.01% (2019 – 0.20%)

North America — 0.01% (2019 – 0.20%)

RWT Holdings, Inc., 5.75%, 01/10/2025 USD 121,000 114,805

Total North America 114,805

Total Convertible Bonds (Cost USD121,000) 114,805

Corporate Bonds & Notes — 7.08% (2019 – 14.89%)

Africa — 0.20% (2019 – 0.08%)

Utilities — 0.20%

Eskom Holdings SOC Ltd.

5.75%, 26/01/2021 USD 2,029,000 2,020,884

8.45%, 10/08/2028 425,000 467,925

2,488,809

Total Africa 2,488,809

Asia — 0.10% (2019 – 0.05%)


VTB Bank OJSC Via VTB Capital SA, 6.95%, 17/10/2022 1,139,000 1,219,650




74


ValueUSD


Corporate Bonds & Notes — 7.08% (2019 – 14.89%) (continued)

Europe — 0.66% (2019 – 4.66%)

Aerospace & Defense — 0.07%

Rolls-Royce plc

1.63%, 09/05/2028 EUR 200,000 227,318

4.63%, 16/02/2026 200,000 263,876

5.75%, 15/10/2027 USD 400,000 443,000

934,194

Automobiles Manufacturing — 0.14%

Aston Martin Capital Holdings Ltd., 10.50%, 30/11/2025 401,000 440,671

Mclaren Finance plc, 5.00%, 01/08/2022 GBP 1,000,000 1,317,928

1,758,599

Banks — 0.19%

HSBC Bank plc, 0.00%, 14/01/2021 EGP 7,175,000 454,648

ICBC Standard Bank plc, 0.00%, 04/03/2021 31,063,724 1,937,924

2,392,572


Unique Pub Finance Co. plc

6.46%, 30/03/2032 GBP 102,000 135,733

7.40%, 28/03/2024 23,000 31,623

167,356

Restaurants — 0.23%

Stonegate Pub Co Financing 2019 plc, 8.25%, 31/07/2025 1,500,000 2,076,891

Wagamama Finance plc, 4.13%, 01/07/2022 600,000 797,198

2,874,089


Wagamama Finance plc, 4.38%, 01/03/2027 200,000 272,980


Middle East — 0.04% (2019 – 0.63%)


MDGH - GMTN BV, 4.50%, 07/11/2028 USD 467,000 560,400

Total Middle East 560,400

North America — 5.94% (2019 – 8.07%)

Airlines — 0.01%

Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd., 6.50%, 20/06/2027 USD 101,038 108,616

Banks — 0.02%

JPMorgan Chase Bank NA, 0.00%, 16/09/2021 EGP 4,040,000 235,977

Commercial Finance — 0.32%

Fortress Transportation and Infrastructure Investors LLC

6.50%, 01/10/2025 USD 1,592,000 1,663,816

6.75%, 15/03/2022 718,000 719,795

9.75%, 01/08/2027 1,439,000 1,649,454

4,033,065



75


ValueUSD




Consumer Finance — 0.04%

Curo Group Holdings Corp., 8.25%, 01/09/2025 USD 546,000 518,700

Consumer Products — 0.13%

Kronos Acquisition Holdings Inc / KIK Custom Products, Inc.

5.00%, 31/12/2026 187,000 194,948

7.00%, 31/12/2027 268,000 280,602

Kronos Acquisition Holdings, Inc., 9.00%, 15/08/2023 1,095,000 1,121,826

1,597,376

Exploration & Production — 0.13%

Par Petroleum LLC / Par Petroleum Finance Corp.

7.75%, 15/12/2025 676,000 648,960

12.88%, 15/01/2026 976,000 1,048,956

1,697,916


Citigroup Global Markets Holdings, Inc., 0.00%, 22/04/2021 EGP 14,792,000 907,292

Corolla Trust, 5.10%, 28/08/2039 USD 5,000,000 5,150,000

6,057,292

Food & Beverage — 0.22%

Cooke Omega Investments, Inc. / Alpha VesselCo Holdings, Inc., 8.50%, 15/12/2022 2,229,000 2,290,298

Del Monte Foods, Inc., 11.88%, 15/05/2025 470,000 533,450

2,823,748


AHP Health Partners, Inc., 9.75%, 15/07/2026 898,000 991,166

Hadrian Merger Sub, Inc., 8.50%, 01/05/2026 240,000 247,800

Surgery Center Holdings, Inc., 6.75%, 01/07/2025 478,000 486,366

1,725,332

Home Improvement — 0.09%

Werner FinCo LP / Werner FinCo. Inc., 8.75%, 15/07/2025 1,109,000 1,175,540

Industrial Other — 0.36%

Brand Industrial Services, Inc., 8.50%, 15/07/2025 173,000 176,676

Michael Baker International LLC, 8.75%, 01/03/2023 4,402,000 4,462,528

4,639,204

Integrated Oils — 0.44%

Petroleos Mexicanos

3.50%, 30/01/2023 483,000 492,563

4.50%, 23/01/2026 293,000 291,972

5.95%, 28/01/2031 570,000 568,575

6.35%, 12/02/2048 889,000 805,879

6.38%, 23/01/2045 595,000 545,318

6.75%, 21/09/2047 2,140,000 2,006,250

6.88%, 16/10/2025 298,000 326,280

6.95%, 28/01/2060 657,000 616,989

5,653,826

Internet Media — 0.13%

Getty Images, Inc., 9.75%, 01/03/2027 1,500,000 1,597,500

Machinery Manufacturing — 0.11%

Granite US Holdings Corp., 11.00%, 01/10/2027 244,000 270,840

Husky III Holding Ltd., 13.00%, 15/02/2025 1,087,000 1,182,112

1,452,952



76


ValueUSD




Manufactured Goods — 0.05%

Hillman Group, Inc., 6.38%, 15/07/2022 USD 617,000 612,373

Oil & Gas Services & Equipment — 0.15%

CSI Compressco LP / CSI Compressco Finance, Inc., 7.25%, 15/08/2022 2,311,000 1,918,130

Pipeline — 0.74% American Midstream Partners LP / American Midstream Finance Corp., 9.50%, 15/12/2021 5,466,000 5,425,005

Martin Midstream Partners LP / Martin Midstream Finance Corp.

10.00%, 29/02/2024 744,488 759,378

11.50%, 28/02/2025 3,380,922 3,237,233

9,421,616


Highlands Holdings Bond Issuer Ltd. / Highlands Holdings Bond Co-Issuer, Inc., 7.63%, 15/10/2025 528,536 564,212

MBIA Global Funding LLC

0.00%, 03/12/2024 EUR 5,000,000 4,092,528

0.00%, 09/06/2025 4,000,000 3,078,558

0.00%, 12/04/2032 5,000,000 4,214,693

6.00%, 06/11/2026 USD 2,500,000 2,385,120

11.50%, 15/01/2033 16,811,000 5,883,850

Residential Reinsurance 2017 Ltd., 5.24%, 06/06/2024 1,000,000 960,000

21,178,961

Publishing & Broadcasting — 0.07%

Clear Channel Worldwide Holdings, Inc., 9.25%, 15/02/2024 855,000 865,688


EPR Properties, 3.75%, 15/08/2029 551,000 528,352MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 3.88%, 15/02/2029 1,000,000 1,022,500

Service Properties Trust

3.95%, 15/01/2028 218,000 210,643

4.38%, 15/02/2030 1,280,000 1,247,998

4.95%, 01/10/2029 302,000 302,756

5.50%, 15/12/2027 6,000 6,558

3,318,807


Citgo Holding, Inc., 9.25%, 01/08/2024 52,000 47,840

CITGO Petroleum Corp., 6.25%, 15/08/2022 833,000 816,340

864,180

Retail & Whsle - Discretionary — 0.00%

ESC GCB, 9.50%, 15/10/2021 3,528,000 -


Boxer Parent Co, Inc., 9.13%, 01/03/2026 326,000 350,450


BCD Acquisition Inc., 9.63%, 15/09/2023 213,000 218,059



77


ValueUSD




Travel & Lodging — 0.20%

Viking Cruises Ltd.

5.88%, 15/09/2027 USD 1,075,000 1,051,327

6.25%, 15/05/2025 40,000 39,200

13.00%, 15/05/2025 1,109,000 1,325,255

VOC Escrow Ltd., 5.00%, 15/02/2028 129,000 128,033

2,543,815

Utilities — 0.09%

Rockpoint Gas Storage Canada Ltd., 7.00%, 31/03/2023 1,157,000 1,145,430


South America — 0.14% (2019 – 1.40%)

Integrated Oils — 0.14%

Petrobras Global Finance BV

6.75%, 03/06/2050 1,323,000 1,643,828

6.90%, 19/03/2049 85,000 107,738

1,751,566


Total Corporate Bonds & Notes (Cost USD91,399,768) 90,174,768

Mortgage-backed Securities — 18.16% (2019 – 31.16%)

Europe — 2.49% (2019 – 1.84%)

Cold Finance plc

Series 1, Class C, 2.00%, 20/08/2029 GBP 122,386 162,552

Series 1, Class D, 2.55%, 20/08/2029 402,978 533,606

Series 1, Class E, 3.60%, 20/08/2029 411,933 529,179

Jepso Residential

Series 2019-1, Class D, 0.93%, 24/11/2057 EUR 260,000 315,485

Series 2019-1, Class E, 0.93%, 24/11/2057 396,000 464,423

Scorpio European Loan Conduit No. 34 DAC

Series 34A, Class C, 2.15%, 17/05/2029 GBP 2,813,766 3,847,304

Series 34A, Class D, 2.45%, 17/05/2029 2,740,850 3,743,999

Series 34A, Class E, 3.20%, 17/05/2029 2,447,187 3,346,109

Taurus CMBS, Series 2020-NL1A, Class E, 3.60%, 20/02/2030 EUR 131,133 152,070

Taurus UK DAC

Series 2019-UK2, Class D, 3.00%, 17/11/2029 GBP 9,975,000 12,997,547

Series 2019-UK2, Class E, 3.35%, 17/11/2029 4,212,000 5,674,695


North America — 15.67% (2019 – 29.32%)

Alternative Loan Trust

Series 2005-21CB, Class A17, 6.00%, 25/06/2035 USD 201,527 198,396

Series 2006-OA10, Class 3A1, 0.53%, 25/08/2046 1,397,275 1,257,844American Home Mortgage Investment Trust, Series 2005-2, Class 5A4C, 5.91%, 25/09/2035 303,335 233,694



78


ValueUSD


Mortgage-backed Securities — 18.16% (2019 – 31.16%) (continued)


Ashford Hospitality Trust, Series 2018-ASHF, Class E, 3.26%, 15/04/2035 USD 2,800,000 2,502,410

Banc of America Funding Trust, Series 2005-B, Class 3M2, 1.20%, 20/04/2035 371,825 336,245Bancorp Commercial Mortgage Trust, Series 2018-CRE4, Class D, 2.26%, 15/09/2035 401,000 389,020

Bear Stearns ALT-A Trust, Series 2006-6, Class 31A1, 3.27%, 25/11/2036 362,257 281,084

Bear Stearns Commercial Mortgage Securities Trust

Series 2006-PW13, Class D, 5.75%, 11/09/2041 386,585 350,637

Series 2007-PW16, Class C, 5.92%, 11/06/2040 1,211,500 1,059,216

Bellemeade Re Ltd.

Series 2017-1, Class M2, 3.50%, 25/10/2027 822,513 817,093

Series 2019-1A, Class B1, 4.15%, 25/03/2029 250,000 241,045

Series 2019-1A, Class M2, 2.85%, 25/03/2029 642,000 641,125

Series 2019-4A, Class M2, 3.00%, 25/10/2029 3,850,000 3,870,032

BX Trust

Series 2017-CQHP, Class E, 3.16%, 15/11/2034 2,000,000 1,512,114

Series 2017-SLCT, Class E, 3.31%, 15/07/2034 850,000 839,421

Series 2017-SLCT, Class F, 4.41%, 15/07/2034 850,000 820,361

Series 2018-EXCL, Class C, 2.13%, 15/09/2037 6,792,404 5,589,693

Cascade Funding Mortgage Trust

Series 2019 RM3, Class C, 4.00%, 25/06/2069 277,020 246,625

Series 2019 RM3, Class D, 4.00%, 25/06/2069 321,597 268,905

Series 2016-CD1, Class D, 2.76%, 10/08/2049 391,000 304,955CFCRE Commercial Mortgage Trust, Series 2016-C6, Class D, 4.20%, 10/11/2049 1,209,000 975,345Chase Mortgage Finance Trust, Series 2007-A2, Class 3A2, 3.51%, 25/06/2035 33,416 32,590

CHT Mortgage Trust

Series 2017-CSMO, Class A, 1.09%, 15/11/2036 1,000,000 989,421

Series 2017-CSMO, Class E, 3.16%, 15/11/2036 1,000,000 960,137

Citigroup Commercial Mortgage Trust

Series 2006-C4, Class C, 6.22%, 15/03/2049 301,352 299,657

Series 2012-GC8, Class D, 4.88%, 10/09/2045 195,000 157,869

Series 2014-GC25, Class D, 3.55%, 10/10/2047 1,000,000 909,327

Series 2015-GC29, Class D, 3.11%, 10/04/2048 2,045,000 1,894,782

Series 2015-GC31, Class D, 4.05%, 10/06/2048 778,000 748,985

Series 2016-C3, Class D, 3.00%, 15/11/2049 624,000 456,049

Series 2018-B2, Class A4, 4.01%, 10/03/2051 830,000 964,823

Series 2005-8, Class 2A3, 5.50%, 25/09/2035 5,544,581 5,460,442COBALT CMBS Commercial Mortgage Trust, Series 2007-C3, Class B, 5.62%, 15/05/2046 1,970,297 1,838,968

Colony Mortgage Capital Ltd., Series 2019-IKPR, Class E, 2.88%, 15/11/2038 3,000,000 2,625,753

COMM Mortgage Trust

Series 2014-CR21, Class E, 3.00%, 10/12/2047 1,000,000 576,185

Series 2015-CR22, Class E, 3.00%, 10/03/2048 170,000 117,162

Series 2015-CR23, Class D, 4.29%, 10/05/2048 956,000 825,897

Series 2015-CR23, Class E, 3.23%, 10/05/2048 1,067,000 745,616

Series 2015-CR25, Class D, 3.78%, 10/08/2048 115,000 101,092

Series 2015-LC21, Class D, 4.34%, 10/07/2048 256,000 220,641Countrywide Asset-Backed Certificates, Series 2005-15, Class 1AF6, 3.68%, 25/04/2036 2 2Credit Suisse Commercial Mortgage Trust, Series 2018-TOP, Class E, 2.41%, 15/08/2035 2,888,092 2,715,295



79


ValueUSD




CSAIL Commercial Mortgage Trust

Series 2015-C2, Class XA, 0.75%, 15/06/2057 USD 11,498,452 285,541

Series 2015-C3, Class D, 3.38%, 15/08/2048 1,087,000 477,286

Series 2015-C3, Class XA, 0.72%, 15/08/2048 16,743,012 462,660

Series 2015-C4, Class F, 3.50%, 15/11/2048 1,383,000 916,433

DBWF Mortgage Trust, Series 2018-GLKS, Class F, 3.64%, 19/12/2030 425,000 359,610

DC Office Trust, Series 2019-MTC, Class X, 0.11%, 15/09/2045 4,055,000 44,183

Eagle RE Ltd.

Series 2019-1, Class M2, 3.45%, 25/04/2029 3,817,000 3,821,401

Series 2020-1, Class M2, 2.15%, 25/01/2030 4,367,000 4,200,818

Fannie Mae Connecticut Avenue Securities

Series 2016-C05, Class 2M2, 4.60%, 25/01/2029 987,606 1,026,493

Series 2017-C01, Class 1X1, 2.30%, 25/07/2029 3,298,727 71,800

Series 2017-C02, Class 2X3, 2.30%, 25/09/2029 6,908,492 163,994

Series 2017-C02, Class 2X4, 2.80%, 25/09/2029 2,247,048 42,494

Series 2017-C03, Class 1X2, 1.80%, 25/10/2029 7,001,361 182,119

Series 2017-C04, Class 2X2, 1.75%, 25/11/2029 9,674,230 131,163

Series 2017-C05, Class 1X3, 1.00%, 25/01/2030 3,749,293 35,982

Series 2017-C06, Class 2X1, 1.80%, 25/02/2030 2,577,737 34,392

Series 2017-C07, Class 1M2C, 2.55%, 25/05/2030 1,644,759 1,617,620

Series 2017-C07, Class 1X3, 1.00%, 25/05/2030 2,156,749 17,925

Series 2018-C01, Class 1X2, 1.40%, 25/07/2030 13,080,948 111,921

Series 2018-C02, Class 2M2C, 2.35%, 25/08/2030 6,636,334 6,462,461

Series 2018-C02, Class 2X2, 1.30%, 25/08/2030 6,358,696 53,629

Series 2018-C03, Class 1M2C, 2.30%, 25/10/2030 1,056,819 1,038,985

Series 2018-C03, Class 1X2, 1.30%, 25/10/2030 1,299,076 9,912

Series 2018-R07, Class 1X2, 1.30%, 25/04/2031 560,483 3,177

Series 2019-R01, Class 2X2, 1.30%, 25/07/2031 1,561,695 16,655

Series 2019-R06, Class 2X2, 1.10%, 25/09/2039 2,836,475 28,075

Series 2020-SBT1, Class 1M2, 3.80%, 25/02/2040 3,274,000 3,285,767

Series 2020-SBT1, Class 2M2, 3.80%, 25/02/2040 5,161,000 5,186,805

Freddie Mac Multifamily Structured Pass Through Certificates

Series K049, Class X3, 1.55%, 25/10/2043 499,000 29,223

Series K061, Class X1, 0.18%, 25/11/2026 12,735,456 130,322

Series K725, Class X1, 0.70%, 25/01/2024 27,882,019 510,046

Freddie Mac Structured Agency Credit Risk Debt Notes

Series 2015-DN1, Class M3, 4.30%, 25/01/2025 758,176 760,071

Series 2016-DNA1, Class M3, 5.70%, 25/07/2028 795,290 829,339

Series 2016-DNA2, Class M3, 4.80%, 25/10/2028 2,440,051 2,525,453

Series 2017-DNA2, Class M2AI, 2.50%, 25/10/2029 618,000 16,972

Series 2017-DNA3, Class M2AI, 1.75%, 25/03/2030 477,200 9,047

Series 2017-HQA1, Class M2AI, 2.50%, 25/08/2029 5,129,692 99,075

Series 2017-HQA2, Class M2AI, 2.00%, 25/12/2029 3,418,669 67,351

Series 2017-HQA2, Class M2B, 2.80%, 25/12/2029 2,845,089 2,813,082

Series 2018-DNA1, Class M2AI, 1.25%, 25/07/2030 2,540,490 20,819


Series 2018-DNA2, Class M2B, 2.30%, 25/12/2030 2,821,500 2,749,199


Series 2018-DNA3, Class M2B, 2.25%, 25/09/2048 3,820,500 3,712,571

Series 2018-HQA1, Class M2AI, 1.50%, 25/09/2030 813,570 10,472

Series 2018-HQA1, Class M2B, 2.45%, 25/09/2030 1,758,000 1,721,522

Series 2018-HRP2, Class B1, 4.35%, 25/02/2047 3,314,000 3,359,568



80


ValueUSD




Series 2018-HRP2, Class M3AI, 1.75%, 25/02/2047 USD 657,200 17,263

Series 2018-HRP2, Class M3B, 2.55%, 25/02/2047 821,500 781,452

GS Mortgage Securities Trust

Series 2013-GC10, Class E, 4.40%, 10/02/2046 792,000 644,698

Series 2014-GC20, Class C, 4.96%, 10/04/2047 519,000 469,348

Series 2014-GC24, Class C, 4.53%, 10/09/2047 100,000 83,144

Series 2017-SLP, Class E, 4.59%, 10/10/2032 1,000,000 935,709

Series 2018-GS10, Class E, 3.00%, 10/07/2051 331,000 274,505

GSR Mortgage Loan Trust

Series 2005-9F, Class 2A2, 6.00%, 25/01/2036 1,770,104 1,371,762

Series 2006-AR2, Class 2A1, 3.14%, 25/04/2036 1,999,312 1,676,807

Hilton USA Trust

Series 2016-HHV, Class F, 4.19%, 05/11/2038 3,780,000 3,603,020

Series 2018-ORL, Class E, 2.81%, 15/12/2034 1,500,000 1,384,146

Home Re Ltd., Series 2018-1, Class M2, 3.15%, 25/10/2028 6,050,000 6,071,247

IMT Trust, Series 2017-APTS, Class FFX, 3.50%, 15/06/2034 129,000 115,947

J.P. Morgan Chase Commercial Mortgage Securities Trust

Series 2006-CB15, Class AM, 5.86%, 12/06/2043 1,432,184 1,333,309

Series 2007-CB20, Class D, 6.28%, 12/02/2051 603,973 534,462

Series 2017-FL11, Class D, 2.30%, 15/10/2032 2,528,578 2,350,571

Series 2018-ASH8, Class E, 3.16%, 15/02/2035 4,500,000 3,692,295

Series 2018-MINN, Class E, 3.50%, 15/11/2035 2,000,000 1,580,836

Series 2018-WPT, Class FFX, 5.54%, 05/07/2033 1,000,000 954,275

JPMBB Commercial Mortgage Securities Trust

Series 2015-C28, Class D, 3.65%, 15/10/2048 2,820,000 2,207,795

Series 2015-C29, Class D, 3.70%, 15/05/2048 100,000 70,985

Series 2015-C30, Class C, 4.27%, 15/07/2048 2,732,000 2,698,875

Series 2015-C30, Class D, 3.77%, 15/07/2048 395,000 352,406

Series 2016-C1, Class E, 4.74%, 15/03/2049 164,000 120,300JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class A5, 3.41%, 15/10/2050 2,100,000 2,373,454

LB-UBS Commercial Mortgage Trust

Series 2005-C3, Class G, 5.11%, 15/07/2040 1,847,108 1,600,133

Series 2006-C1, Class C, 5.34%, 15/02/2041 3,168,253 1,774,222LSTAR Commercial Mortgage Trust, Series 2017-5, Class C, 4.87%, 10/03/2050 225,000 214,499

Morgan Stanley Bank of America Merrill Lynch Trust

Series 2012-C5, Class G, 4.50%, 15/08/2045 3,000,000 2,583,354

Series 2014-C15, Class D, 4.91%, 15/04/2047 2,000,000 1,935,504

Series 2014-C15, Class E, 4.91%, 15/04/2047 3,497,000 2,952,660

Series 2014-C15, Class F, 4.00%, 15/04/2047 2,500,000 1,915,750

Series 2015-C21, Class D, 4.14%, 15/03/2048 3,756,000 2,509,339

Series 2015-C22, Class D, 4.22%, 15/04/2048 151,000 109,515

Series 2016-C29, Class D, 3.00%, 15/05/2049 952,000 662,185

Series 2016-C30, Class D, 3.00%, 15/09/2049 349,000 207,303

Series 2016-C31, Class D, 3.00%, 15/11/2049 565,000 364,488

Series 2016-C32, Class D, 3.40%, 15/12/2049 398,000 249,454

Series 2017-C34, Class A4, 3.54%, 15/11/2052 1,211,376 1,374,258Morgan Stanley Capital I Trust, Series 2016-UB12, Class D, 3.31%, 15/12/2049 602,000 233,908Morgan Stanley Mortgage Loan Trust, Series 2007-10XS, Class A3W, 6.25%, 25/02/2037 11,943,736 8,495,316



81


ValueUSD



North America — 15.67% (2019 – 29.32%) (continued) Natixis Commercial Mortgage Securities Trust, Series 2018-RIVA, Class D, 2.21%, 15/02/2033 USD 100,000 85,352

Palisades Center Trust, Series 2016-PLSD, Class D, 4.74%, 13/04/2033 1,500,000 330,807

PMT Credit Risk Transfer Trust, Series 2019-2R, Class A, 2.90%, 27/05/2023 2,951,319 2,840,323

Radnor RE Ltd.

Series 2018-1, Class M2, 2.85%, 25/03/2028 997,000 997,072

Series 2020-1, Class M2A, 2.15%, 25/02/2030 2,169,000 2,138,675

Series 2020-1, Class M2B, 2.40%, 25/02/2030 610,000 542,633

RALI Trust, Series 2007-QH8, Class A, 1.64%, 25/10/2037 1,678,100 1,513,552

RFMSI Trust, Series 2006-S12, Class 3A4, 5.75%, 25/12/2036 445,584 429,442

Sequoia Mortgage Trust

Series 2018-2, Class B4, 3.75%, 25/02/2048 365,618 350,694

Series 2018-3, Class B4, 3.77%, 25/03/2048 346,000 345,620

Series 2018-8, Class B4, 4.27%, 25/11/2048 311,000 314,347

Series RR Trust, Series 2015-1, Class B, 0.00%, 26/04/2048 631,000 509,700SG Commercial Mortgage Securities Trust, Series 2016-C5, Class D, 4.84%, 10/10/2048 180,000 145,304

Shelter Growth CRE Issuer Ltd., Series 2018-FF1, Class D, 3.13%, 15/01/2035 125,841 125,380Structured Adjustable Rate Mortgage Loan Trust, Series 2005-23, Class 3A1, 3.34%, 25/01/2036 984,528 735,319

Triangle RE Ltd., Series 2019-1, Class M2, 3.05%, 26/11/2029 3,679,000 3,523,235UBS Citigroup Commercial Mortgage Trust, Series 2011-C1, Class E, 6.05%, 10/01/2045 2,898,801 1,176,913

UBS Commercial Mortgage Trust

Series 2018-C9, Class D, 4.88%, 15/03/2051 100,000 84,534

Series 2018-NYCH, Class F, 3.98%, 15/02/2032 361,000 314,910

Verus Securitization Trust, Series 2019-INV1, Class B1, 4.99%, 25/12/2059 180,000 179,748Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class D, 5.72%, 15/10/2048 2,748,921 2,520,485

WaMu Mortgage Pass-Through Certificates Trust

Series 2005-AR19, Class B1, 1.20%, 25/12/2045 311,806 260,903

Series 2006-AR17, Class 1A, 1.56%, 25/12/2046 319,853 292,015

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust

Series 2006-AR10, Class A1, 0.25%, 25/12/2036 345,325 228,369

Series 2006-AR5, Class 4A, 1.60%, 25/06/2046 5,915,940 5,221,391

Series 2007-HY1, Class A3A, 0.38%, 25/02/2037 273,913 229,035

Wells Fargo Commercial Mortgage Trust

Series 2014-LC18, Class D, 3.96%, 15/12/2047 196,000 169,314

Series 2015-C26, Class D, 3.59%, 15/02/2048 892,000 695,235

Series 2015-C27, Class D, 3.77%, 15/02/2048 3,516,000 2,260,806

Series 2015-C31, Class D, 3.85%, 15/11/2048 828,000 700,801

Series 2015-LC20, Class E, 2.63%, 15/04/2050 295,000 181,597

Series 2015-LC22, Class D, 4.54%, 15/09/2058 1,000,000 947,817

Series 2015-NXS2, Class C, 4.29%, 15/07/2058 4,053,000 3,823,523

Series 2015-NXS4, Class E, 3.70%, 15/12/2048 403,000 326,883

Series 2016-C34, Class C, 5.02%, 15/06/2049 3,260,747 2,780,922

Series 2016-C34, Class D, 5.02%, 15/06/2049 1,536,112 942,322

Series 2016-LC24, Class D, 3.21%, 15/10/2049 443,000 398,945

Series 2020-SOP, Class E, 2.87%, 15/01/2035 1,000,000 940,132

WFRBS Commercial Mortgage Trust

Series 2013-C18, Class D, 4.86%, 15/12/2046 1,500,000 1,198,316

Series 2014-C19, Class D, 4.23%, 15/03/2047 205,000 193,392



82


ValueUSD




Series 2014-C22, Class C, 3.76%, 15/09/2057 USD 107,000 103,428

Series 2014-C22, Class D, 3.90%, 15/09/2057 952,000 789,604


Total Mortgage-Backed Securities (Cost USD245,359,545) 231,440,943

Sovereign Debt — 10.50% (2019 – 10.98%)

Africa — 0.25% (2019 – 2.42%)

Angolan Government International Bond, 8.00%, 26/11/2029 456,000 427,764

Nigeria Government International Bond, 7.63%, 21/11/2025 1,767,000 2,028,979

Republic of South Africa Government Bond, 8.25%, 31/03/2032 ZAR 12,636,000 774,143

Total Africa 3,230,886

Asia — 0.67% (2019 – 0.43%)

Russian Federal Bond - OFZ, 6.00%, 06/10/2027 RUB 154,250,000 2,125,936

Russian Federal Bond - OFZ, 7.15%, 12/11/2025 187,273,000 2,739,253

Russian Federal Bond - OFZ, 7.40%, 17/07/2024 173,732,000 2,537,410

Russian Foreign Bond - Eurobond, 5.25%, 23/06/2047 USD 800,000 1,107,000


Europe — 4.20% (2019 – 2.74%)

French Republic Government Bond OAT, 0.10%, 01/03/2025 EUR 2,288,645 2,944,354

Gabon Government International Bond, 6.38%, 12/12/2024 USD 1,000,000 1,040,000

Gabon Government International Bond, 6.63%, 06/02/2031 13,400,000 13,802,768

Republic of Belarus International Bond, 5.88%, 24/02/2026 1,200,000 1,228,848



Turkey Government International Bond, 6.38%, 14/10/2025 678,000 731,379

Ukraine Government International Bond, 0.00%, 31/05/2040 20,450,000 21,037,937




Middle East — 3.38% (2019 – 3.66%)

Bahrain Government International Bond, 7.00%, 26/01/2026 888,000 1,032,088

Egypt Government International Bond, 4.55%, 20/11/2023 600,000 621,600


Egypt Government International Bond, 7.90%, 21/02/2048 3,900,000 4,231,500





Iraq International Bond, 5.80%, 15/01/2028 21,562,500 20,163,093

Iraq International Bond, 6.75%, 09/03/2023 3,400,000 3,311,396

Jordan Government International Bond, 4.95%, 07/07/2025 615,000 652,028

Jordan Government International Bond, 7.38%, 10/10/2047 3,800,000 4,423,472



83


ValueUSD


Sovereign Debt — 10.50% (2019 – 10.98%) (continued)

Middle East — 3.38% (2019 – 3.66%) (continued)

Saudi Government International Bond, 2.75%, 03/02/2032 USD 1,209,000 1,275,447

Saudi Government International Bond, 3.75%, 21/01/2055 427,000 466,049

Total Middle East 43,055,535

North America — 1.17% (2019 – 0.81%)

Commonwealth of Bahamas, 8.95%, 15/10/2032 724,000 789,160

Goldman Sachs International, 0.00%, 27/01/2021 EGP 28,400,000 1,754,373

Mexican Bonos, 7.75%, 29/05/2031 MXN 35,000,000 2,066,477

Mexican Bonos, 8.50%, 18/11/2038 80,000,000 4,984,164

Mexican Bonos, 8.50%, 31/05/2029 60,000,000 3,675,168

Mexico Government International Bond, 3.77%, 24/05/2061 USD 260,000 270,790

Mexico Government International Bond, 4.75%, 27/04/2032 537,000 646,280

Mexico Government International Bond, 5.00%, 27/04/2051 555,000 690,975


South America — 0.83% (2019 – 0.92%)

Argentine Republic Government International Bond, 0.13%, 09/07/2035 1,636,390 597,282

Argentine Republic Government International Bond, 0.13%, 09/07/2046 979,921 359,141

Argentine Republic Government International Bond, 1.00%, 09/07/2029 134,050 57,977

Ecuador Government International Bond, 0.00%, 31/07/2030 802,376 380,126

Ecuador Government International Bond, 0.50%, 31/07/2030 2,570,400 1,645,056



Paraguay Government International Bond, 4.63%, 25/01/2023 2,150,000 2,311,250


Total Sovereign Debt (Cost USD124,907,529) 133,872,703

Structured Notes — 7.68% (2019 – Nil)

Europe — 7.68% (2019 - Nil)


Alphabeta Access Products Ltd., 0.00%, 19/08/2030 22,000,000 22,000,000

Star Compass plc, 0.00%, 18/08/2025 78,799,608 76,030,852

98,030,852

Total Structured Notes (Cost USD100,799,608) 98,030,852

U.S. Government Sponsored Agency Securities — 0.29% (2019 – 0.94%)

North America — 0.29% (2019 – 0.94%)

Government National Mortgage Association

Series 2017-56, Class AS, 6.00%, 20/04/2047 USD 2,217,727 437,283

Series 2017-73, Class SM, 6.05%, 20/05/2047 2,060,210 416,879

Series 2017-114, Class SP, 6.05%, 20/07/2047 2,307,536 400,632

Series 2017-117, Class SA, 6.05%, 20/08/2047 2,434,575 528,510

Series 2017-156, Class SB, 6.05%, 20/10/2047 2,735,280 541,681



84


ValueUSD


U.S. Government Sponsored Agency Securities — 0.29% (2019 – 0.94%) (continued)


Series 2018-48, Class SA, 6.05%, 20/04/2048 3,174,622 664,185

Series 2018-65, Class PS, 6.00%, 20/05/2048 2,407,398 395,555

Series 2018-93, Class SA, 6.05%, 20/07/2048 2,023,195 273,093


Total U.S. Government Sponsored Agency Securities (Cost USD3,659,831) 3,657,818

U.S. Municipal Debt — 0.60% (2019 – 0.57%)

North America — 0.60% (2019 – 0.57%)

California Housing Finance, 0.29%, 15/01/2035 USD 3,125,561 63,011

Commonwealth of Puerto Rico

5.00%, 01/07/2041 1,830,000 1,276,425

5.50%, 01/07/2039 1,385,000 1,011,050

8.00%, 01/07/2035 7,710,000 5,281,350


Total U.S. Municipal Debt (Cost USD5,690,616) 7,631,836

U.S. Treasury Obligations — 9.80% (2019 – 1.53%)

North America — 9.80% (2019 – 1.53%)

United States Treasury Bill

0.00%, 25/03/2021 USD 75,000,000 74,987,500

0.00%, 22/04/2021 25,000,000 24,994,000

0.00%, 15/07/2021 25,000,000 24,988,833


Total U.S. Treasury Obligations (Cost USD124,951,870) 124,970,333

Total Financial Assets at Fair Value through Profit or Loss - Investments in Securities (Cost USD1,012,801,981) 1,017,280,761

TBA Contracts — 0.00% (2019 – 0.00%)

Description Expiration Date Counterparty NotionalAmount

UnrealisedGain/(Loss)

USDFannie Mae 01/14/2051 Morgan Stanley & Co. LLC 2,100,000 3,939Fannie Mae 01/14/2051 Credit Suisse Securities (USA) LLC 4,000,000 19,374Fannie Mae 01/14/2051 Credit Suisse Securities (USA) LLC 4,320,000 35,102Ginnie Mae II 01/21/2051 Morgan Stanley & Co. LLC 2,500,000 1,954Total Unrealised Gain on TBA Contracts – Outstanding 60,369


Schedule of Investments as at 31 December 2020

85

Security Description ContractsValue USD

Purchased Options — 0.01% (2019 - Nil)

Exchange-Traded Call Options — 0.00% (2019 - Nil)

United States Interest Rate Strike Price 1.02 USD, Expires 05/02/2021 16,800,000 67,875

Exchange-Traded Put Options — 0.01% (2019 — Nil)

INR/USD Currency, Stike Price 74.365 USD, Expires 04/01/2021 6,300,000 114,641

Total Purchased Options (Cost USD239,390) 182,516

Written Options — (0.01)% (2019 - Nil)

Exchange-Traded Put Options Written — (0.01)% (2019 - Nil)

S&P 500 Index Strike Price 2,980.00 USD, Expires 15/01/2021 39 (6,825)



United States Interest Rate Strike Price 0.60 USD, Expires 05/02/2021 16,800,000 (5,020)

(168,429)

Total Options Written - Outstanding (168,429)

Futures Contracts — Outstanding at 30 June 2020 — (0.03)% (2019 – (0.09)%)

Description Number ofContracts Exchange

Notional Amount CCY

ExpirationDate


USD

Long Futures

90 Day Eurodollar 2 CME 493,336 USD 13/03/2023 5,389



90 Day Eurodollar 2 CME 495,280 USD 16/12/2024 970




Amsterdam Index 1 Euronext 151,775 EUR 15/01/2021 816

AUD/USD Currency 3 CME 225,926 USD 15/03/2021 5,074

Australian 10-Year Bond 23 SFE 1,747,753 AUD 15/03/2021 7,346

CAC40 10 Euro 1 Euronext 67,750 EUR 15/01/2021 (47)

Canadian 10-Year Bond 9 CDE 1,049,491 CAD 22/03/2021 4,716

DAX Index 1 Eurex 413,638 EUR 19/03/2021 6,182

E-mini Russell 2000 5 CME 477,548 USD 19/03/2021 16,152

Euro Stoxx 50 3 Eurex 128,670 EUR 19/03/2021 1,436

Euro-Bund 14 Eurex 3,030,755 EUR 08/03/2021 7,439

FTSE 100 Index 2NYSE

Euronext Liffe 178,037 GBP 19/03/2021 (2,450)

FTSE/MIB Index 2 IDEM 268,708 EUR 19/03/2021 1,631

Hang Seng China Enterprises Index 3 HKFE 200,651 HKD 28/01/2021 6,400

Kospi2 Index 2 KFE 166,536 KRW 11/03/2021 12,581

Long Gilt 6 ICE 1,099,723 GBP 29/03/2021 12,384



86

Futures Contracts — Outstanding at 30 June 2020 — (0.03)% (2019 – (0.09)%) (continued)

Description Number ofContracts Exchange

Notional Amount CCY

ExpirationDate


USD

Long Futures (continued)

MSCI Emerging Markets 21 FUS 1,313,991 USD 19/03/2021 38,620

MSCI Singapore Index 4 SGX 98,285 SGD 28/01/2021 (434)

New Zealand Dollar Currency 1 CME 70,783 USD 15/03/2021 1,097

OMXS30 Index 8 Nasdaq OMX 184,026 SEK 15/01/2021 (1,397)

S&P/TSX 60 Index 1 CDE 163,450 CAD 18/03/2021 (1,787)

SPI 200 12 SFE 1,517,749 AUD 18/03/2021 (5,839)

Swiss Market Index 3 Eurex 349,583 CHF 19/03/2021 11,108

TOPIX Index 10 OSE 1,717,472 JPY 11/03/2021 30,143

U.S. Treasury 10-Year Note 24 CBOT 3,310,983 USD 22/03/2021 2,892

FTSE Taiwan Index 6 SGX 301,268 USD 28/01/2021 4,912

E-mini NASDAQ 100 Index 3 CME 744,085 USD 19/03/2021 29,045

205,619

Short Futures

90 Day Eurodollar 3 CME 748,580 USD 15/03/2021 (145)



90 Day Eurodollar 6 CME 1,458,484 USD 18/12/2023 (34,241)


British Pound Currency 8 IMM 666,570 USD 15/03/2021 (16,380)

Canadian Dolar Currency 11 CME 863,382 USD 16/03/2021 1,642

Euro FX Currency 3 CME 456,857 USD 15/03/2021 (2,368)

Japanese Yen Currency 2 CME 240,803 USD 15/03/2021 (1,422)

S&P 500 E-Mini 111 CME 20,281,484 USD 19/03/2021 (524,355)

(577,730)

Unrealised Gain on Futures Contracts – Outstanding 219,215

Unrealised (Loss) on Futures Contacts – Outstanding (591,326)

Total Unrealised (Loss) on Futures Contracts – Outstanding (372,111)

Forward Foreign Currency Exchange Contracts — Outstanding at 31 December 2020 — 1.67% (2019 – 0.73%)

Currency Purchased

Amount inCurrency

PurchasedCurrency Sold

Amount in Currency

Sold Counterparty Settlement

Date


USD

AUD 25,450 USD 19,348 State Street Bank and Trust Company 04/01/2021 272

AUD 2,520,903 USD 1,833,711 State Street Bank and Trust Company 19/02/2021 110,624

AUD 430,000 USD 318,935 State Street Bank and Trust Company 15/03/2021 12,767

BRL 840,000 USD 163,752 State Street Bank and Trust Company 15/03/2021 (2,278)

CHF 79,375 USD 87,152 State Street Bank and Trust Company 19/02/2021 2,628



87

Forward Foreign Currency Exchange Contracts — Outstanding at 31 December 2020 — 1.67% (2019 – 0.73%) (continued)

Currency Purchased

Amount inCurrency


Amount in Currency


Date


USD

CHF 1,091 USD 1,242 State Street Bank and Trust Company 19/02/2021 (8)

CHF 2,100,000 USD 2,369,695 State Street Bank and Trust Company 15/03/2021 7,259

CNH 51,000,000 USD 7,247,112 Citibank, N.A. 03/02/2021 580,887

CNH 5,023,284 USD 764,416 JPMorgan Chase Bank, N.A. 17/03/2021 4,416

EUR 612,000 USD 720,569 Citibank, N.A. 26/01/2021 27,470

EUR 2,523,295 USD 2,915,449 Deutsche Bank AG 26/02/2021 170,850

EUR 936,087 USD 1,120,309 Deutsche Bank AG 31/03/2021 25,477

EUR 332,179 USD 404,827 State Street Bank and Trust Company 04/01/2021 980

EUR 441,359,156 USD 522,905,154 State Street Bank and Trust Company 19/02/2021 16,848,392

EUR 3,446,564 USD 4,236,822 State Street Bank and Trust Company 19/02/2021 (21,899)

EUR 3,615,708 USD 4,388,493 State Street Bank and Trust Company 15/03/2021 35,621

GBP 24,978,202 USD 30,884,164 Citibank, N.A. 22/01/2021 3,278,584

GBP 17,364,778 USD 22,836,903 State Street Bank and Trust Company 19/02/2021 916,825

GBP 1,173,000 USD 1,567,738 State Street Bank and Trust Company 15/03/2021 37,042

HKD 2,759,000 USD 355,945 State Street Bank and Trust Company 15/03/2021 6

IDR 1,050,000,000 USD 73,658 State Street Bank and Trust Company 15/03/2021 594

INR 711,207,000 USD 9,450,000 HSBC Bank Plc 09/06/2021 99,492

INR 390,862,500 USD 5,250,000 J.P.Morgan Securities, Inc. 04/01/2021 99,335



JPY 35,256,360,952 USD 335,918,979 State Street Bank and Trust Company 19/02/2021 5,708,620

MXN 217,389,442 USD 10,938,934 Goldman Sachs International 08/01/2021 (18,613)

MXN 3,000,000 USD 150,222 State Street Bank and Trust Company 16/03/2021 (669)

NOK 2,999,861 USD 342,861 State Street Bank and Trust Company 15/03/2021 6,924

RUB 63,319,915 USD 859,881 Deutsche Bank AG 15/01/2021 (3,895)

RUB 10,500,000 USD 141,567 State Street Bank and Trust Company 15/03/2021 (490)

SEK 441,187 USD 53,623 State Street Bank and Trust Company 07/01/2021 2

SEK 17,233,745 USD 2,004,724 State Street Bank and Trust Company 19/02/2021 90,973

SGD 68,001 USD 50,828 State Street Bank and Trust Company 15/03/2021 629

TRY 12,808,926 USD 1,604,682 Barclays Bank Plc 15/01/2021 112,766

USD 362,065 AUD 489,263 State Street Bank and Trust Company 19/02/2021 (15,296)

USD 593,368 AUD 800,000 State Street Bank and Trust Company 15/03/2021 (23,752)

USD 483 CHF 441 State Street Bank and Trust Company 19/02/2021 (16)

USD 259,538 CHF 230,000 State Street Bank and Trust Company 15/03/2021 (795)

USD 7,142,109 CNH 51,000,000 Citibank, N.A. 03/02/2021 (685,890)

USD 3,244,265 EUR 2,861,920 Citibank, N.A. 22/01/2021 (253,503)

USD 726,199 EUR 612,000 Citibank, N.A. 26/01/2021 (21,839)




USD 5,810,120 EUR 5,118,501 Deutsche Bank AG 26/02/2021 (450,434)

USD 1,051,085 EUR 936,087 Deutsche Bank AG 31/03/2021 (94,701)

USD 111,218 EUR 91,405 Morgan Stanley Co. Inc 14/06/2021 (969)

USD 1,981,343 EUR 1,621,778 Morgan Stanley Co. Inc 13/12/2021 (17,460)

USD 450,652 EUR 380,000 State Street Bank and Trust Company 22/01/2021 (13,775)

USD 4,397,068 EUR 3,582,451 State Street Bank and Trust Company 19/02/2021 15,964



88

Forward Foreign Currency Exchange Contracts — Outstanding at 31 December 2020 — 1.67% (2019 – 0.73%) (continued)

Currency Purchased

Amount inCurrency


Amount in Currency


Date


USD

USD 51,760,986 EUR 43,260,535 State Street Bank and Trust Company 19/02/2021 (1,143,835)

USD 5,128,737 EUR 4,225,600 State Street Bank and Trust Company 15/03/2021 (41,630)

USD 32,080,947 GBP 24,978,202 Citibank, N.A. 22/01/2021 (2,081,800)

USD 18,090,269 GBP 14,187,000 Citibank, N.A. 25/03/2021 (1,320,057)

USD 10,579,608 GBP 8,010,000 Citibank, N.A. 18/05/2021 (382,348)

USD 1,244,494 GBP 940,000 Citibank, N.A. 20/05/2021 (41,939)

USD 280,760 GBP 210,708 State Street Bank and Trust Company 19/02/2021 (7,473)

USD 1,550,363 GBP 1,160,000 State Street Bank and Trust Company 15/03/2021 (36,632)

USD 4,724,791 GBP 3,540,000 State Street Bank and Trust Company 16/03/2021 (118,307)

USD 193,518 HKD 1,500,000 State Street Bank and Trust Company 15/03/2021 (3)

USD 3,278,296 IDR 46,761,618,936 JPMorgan Chase Bank, N.A. 17/03/2021 (27,897)

USD 5,139,926 INR 390,862,500 J.P.Morgan Securities, Inc. 04/01/2021 (209,409)



USD 5,487,571 JPY 567,256,755 State Street Bank and Trust Company 19/02/2021 (9,042)

USD 180,736 KRW 196,100,000 State Street Bank and Trust Company 15/03/2021 154

USD 1,610,000 MXN 31,981,845 Goldman Sachs International 08/01/2021 3,427

USD 116,419 NOK 1,000,000 State Street Bank and Trust Company 15/03/2021 (182)

USD 1,202,041 RUB 88,810,376 Bank of America, N.A. 17/03/2021 9,056

USD 6,291,336 RUB 464,785,020 Morgan Stanley & Co. LLC 17/03/2021 47,907

USD 80,276 SEK 664,465 State Street Bank and Trust Company 19/02/2021 (526)

USD 18,771 SEK 158,701 State Street Bank and Trust Company 15/03/2021 (533)

USD 751,919 ZAR 11,505,106 JPMorgan Chase Bank, N.A. 17/03/2021 (23,899)

USD 796,910 ZAR 12,000,000 State Street Bank and Trust Company 15/03/2021 (12,481)

ZAR 26,359,240 USD 1,740,171 Deutsche Bank AG 15/01/2021 50,640

Unrealised Gain on Forward Foreign Currency Exchange Contracts 28,455,557

Unrealised (Loss) on Forward Foreign Currency Exchange Contracts (7,211,348)

Total Forward Foreign Currency Exchange Contracts 21,244,209

OTC Credit Default Swaps on Single-Name Issues (Buy Protection) — Outstanding at 31 December 2020 — (0.00)%

(2019 - (0.00)%)

Reference Obligation

The FundFixed Deal(Pay) Rate

MaturityDate Counterparty

Notional Amount CCY

FairValue

USD

Upfront Premium

Paid/ (Received)

USD


USD

Republic of South Africa (1.00%) 20/06/2022

Morgan Stanley Capital Services LLC 4,000,000 USD (16,168) 231,500 (247,668)

OTC Credit Default Swaps on Single-Name Issues (Buy Protection) at Positive Fair Value - 231,500 -OTC Credit Default Swaps on Single-Name Issues (Buy Protection) at Negative Fair Value (16,168) - (247,668)

Total OTC Credit Default Swaps on Single-Name Issues (Buy Protection) (16,168) 231,500 (247,668)



89

Centrally Cleared Credit Default Swaps on Single-Name Issues (Buy Protection) — Outstanding at 31 December 2020 — (0.00)% (2019 - 0.00%)




Notional Amount CCY

FairValue

USD

Upfront Premium

Paid/ (Received)

USD


USDMalaysia (1.00%) 20/12/2024

Credit Suisse Securities (USA) LLC 2,413,000 USD (69,602) 335 (69,937)

Republic of South Africa

(1.00%) 20/12/2024

Credit Suisse Securities (USA) LLC 4,585,000 USD 124,592 3,311 121,281

Republic of Turkey

(1.00%) 20/06/2022

Credit Suisse Securities (USA) LLC 308,000 USD 4,992 16,504 (11,512)

Republic of Turkey

(1.00%) 20/12/2022


Republic of Turkey

(1.00%) 20/06/2025


United Mexican States

(1.00%) 20/06/2023

Credit Suisse Securities (USA) LLC 914,000 USD (15,906) (180) (15,726)

United Mexican States

(1.00%) 20/12/2023

Credit Suisse Securities (USA) LLC 5,187,000 USD (96,601) 7,924 (104,525)

Credit Default Swaps on Single-Name Issues (Buy Protection) at Positive Fair Value Fair Value 153,750 84,303 121,281

Centrally Cleared Credit Default Swaps on Single-Name Issues (Buy Protection) at Negative Fair Value (182,109) (180) (233,763)

Total Credit Default Swaps on Single-Name Issues (Buy Protection) (28,359) 84,123 (112,482)



90

OTC Credit Default Swaps on Index (Buy Protection) — Outstanding at 31 December 2020 — 0.03% (2019 - 0.00%)



Maturity Date Counterparty

Notional Amount CCY

FairValue

USD

Upfront Premium

Paid/ (Received)

USD


USDCMBX.NA.BBB-.8

(3.00%) 17/10/2057

Morgan Stanley Capital Services LLC 14,000 USD 2,220 2,875 (655)

CMBX.NA.BBB-.9

(3.00%) 17/09/2058

J.P. Morgan Securities LLC 36,000 USD 4,282 1,152 3,130

CMBX.NA.BBB-.10

(3.00%) 17/11/2059

J.P. Morgan Securities LLC 1,618,000 USD 199,917 17,975 181,942

CMBX.NA.BBB-.10

(3.00%) 17/11/2059

Morgan Stanley Capital Services LLC 242,000 USD 29,901 82,327 (52,426)

CMBX.NA.BBB-.10

(3.00%) 17/11/2059

Morgan Stanley Capital Services LLC 878,000 USD 108,484 100,220 8,264

OTC OTC Credit Default Swaps on Index (Buy Protection) at Positive Fair Value 344,804 204,549 193,336

OTC Credit Default Swaps on Index (Buy Protection) at Negative Fair Value - - (53,081)

Total OTC Credit Default Swaps on Index (Buy Protection) 344,804 204,549 140,255

Centrally Cleared Credit Default Swaps on Index (Buy Protection) — Outstanding at 31 December 2020 — (0.06)% (2019 - Nil)




NotionalAmount CCY

FairValue

USD

UpfrontPremium

Paid/(Received)

USD


USD

CDX.EM.31 1.00% 20/06/2024 Merrill Lynch, Pierce, Fenner & Smith, Inc. 94,000 USD (578) 9,870 (10,448)

CDX.NA.HY.34 5.00% 20/06/2025 Merrill Lynch, Pierce, Fenner & Smith, Inc. 221 USD (20) (11) (9)

iTraxx Europe Crossover Series 32

5.00% 20/12/2024 Merrill Lynch, Pierce, Fenner & Smith, Inc. 5,280,055 EUR (703,382) 427,352 (1,130,734)

Centrally Cleared Credit Default Swaps on Index (Buy Protection) at Positive Fair Value Fair Value - 437,222 -Centrally Cleared Credit Default Swaps on Index (Buy Protection) at Negative Fair Value Fair Value (703,980) (11) (1,141,191)

Total Centrally Cleared Credit Default Swaps on Index (Buy Protection) (703,980) 437,211 (1,141,191)

OTC Credit Default Swaps on Index (Sell Protection) — Outstanding at 31 December 2020 — (0.05)% (2019 - 0.02%)




NotionalAmount

(1) CCY Rating

(2)

FairValue

USD

UpfrontPremium

Paid/(Received)

USD


USD

CMBX.NA.AA.9 1.50% 17/09/2058

Morgan Stanley Capital Services LLC 1,000,000 USD AA (7,760) 958 (8,718)

CMBX.NA.AA.9 1.50% 17/09/2058

Morgan Stanley Capital Services LLC 1,000,000 USD AA (7,760) (2,147) (5,613)



91

OTC Credit Default Swaps on Index (Sell Protection) — Outstanding at 31 December 2020 — (0.05)% (2019 - 0.02%) (continued)




NotionalAmount

(1) CCY Rating

(2)

FairValue

USD

UpfrontPremium

Paid/(Received)

USD


USDCMBX.NA.BBB-.8 3.00% 17/10/2057

J.P. Morgan Securities LLC 499,000 USD BBB- (79,125) (26,405) (52,720)

CMBX.NA.BBB-.8 3.00% 17/10/2057 Goldman Sachs International 309,000 USD BBB- (48,997) (16,466) (32,531)

CMBX.NA.BBB-.9 3.00% 17/09/2058 Goldman Sachs International 36,000 USD BBB- (4,282) (1,202) (3,080)

CMBX.NA.BBB-.10

3.00% 17/11/2059 Goldman Sachs International 3,698,000 USD BBB- (456,919) (143,767) (313,152)

CMBX.NA.BBB-.10

3.00% 17/11/2059 Goldman Sachs & Co. 147,000 USD BBB- (18,163) (4,792) (13,371)

OTC Credit Default Swaps on Index (Sell Protection) at Positive Fair Value - 958 -

OTC Credit Default Swaps on Index (Sell Protection) at Negative Fair Value (623,006) (194,779) (429,185)

Total OTC Credit Default Swaps on Index (Sell Protection) (623,006) (193,821) (429,185)

(1)

The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

(2) Using the higher of S&P’s or Moody’s ratings. NR represents a security that is not rated.

Centrally Cleared Credit Default Swaps on Index (Sell Protection) — Outstanding at 31 December 2020 — 0.07% (2019 - 0.19%)


The FundFixed Deal

(Pay) Rate


NotionalAmount

(1) CCY Rating

(2)

Fair Value

USD

UpfrontPremium

Paid/(Received)

USD


USDCDX.EM.34 1.00% 20/12/2025 Merrill Lynch, Pierce,

Fenner & Smith, Inc. 3,500,000 USD A+ (84,003) (224,000) 139,997CDX.NA.HY.35 5.00% 20/12/2025 Merrill Lynch, Pierce,

Fenner & Smith, Inc. 2,823,760 USD A+ 263,341 117,687 145,654iTraxx Europe Crossover Series 29

5.00% 20/06/2023 Merrill Lynch, Pierce, Fenner & Smith, Inc.

7,593,390 EUR A+ 657,854 829,619 (171,765)iTraxx Europe Crossover Series 31


560,004 EUR A+ 69,869 69,132 737

Centrally Cleared Credit Default Swaps on Index (Buy Protection) at Positive Fair Value Fair Value 991,064 1,016,438 286,388

Centrally Cleared Credit Default Swaps on Index (Buy Protection) at Negative Fair Value Fair Value (84,003) (224,000) (171,765)

Total Centrally Cleared Credit Default Swaps on Index (Buy Protection) 907,061 792,438 114,623

(1)

The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

(2) Using the higher of S&P’s or Moody’s ratings. NR represents a security that is not rated.



92

OTC Interest Rate Swaps — Outstanding at 31 December 2020 — (0.01)% (2019 - 0.00%)



Maturity Date Counterparty

NotionalAmount CCY

FairValue

USD

UpfrontPremium

Paid/(Received)

USD


USD

CNY-REPO RATE-CFXS

2.89% 17/03/2026

Credit Suisse Securities (USA) LLC 97,096,661 CNY (153,801) - (153,801)

Total OTC Interest Rate Swaps (153,801) - (153,801)

Centrally Cleared Interest Rate Swaps — Outstanding at 31 December 2020 — (0.09)% (2019 - (0.05)%)

The Fund Pays/ Receives Floating Rate

Floating Rate Index

FixedRate

Maturity Date

Counterparty NotionalAmount CCY

FairValue

USD

Upfront Premium

Paid/ (Received)

USD


USDReceives Three-Month

USD Libor 1.53% 05/02/2022 Bank of America, N.A.

28,915,200 USD (427,268) - (427,268)

Receives Three-Month USD Libor


3,000,000 USD (70,395) - (70,395)


0.65% 08/06/2022 Bank of America, N.A. 25,000,000 USD (167,437) - (167,437)

Pays Three-Month USD Libor

0.41% 29/06/2022 Bank of America, N.A. 9,441,200 USD 31,149 - 31,149













10,000,000 USD (422,496) - (422,496)

Pays 28 Days MXN Banxico

4.40% 15/03/2023 Credit Suisse Securities (USA) LLC

44,814,692 MXN 4,390 - 4,390


2.38% 05/10/2023 Morgan Stanley Capital Services LLC

1,500,000 USD (89,124) - (89,124)



2,000,000 USD (96,318) - (96,318)



354,000 USD 22,772 (288) 23,060



1,000,000 USD (78,834) - (78,834)


1.98% 25/09/2024 Morgan Stanley & Co. International plc

1,798,000 USD 112,549 825 111,724



1,120,000 USD 68,064 (4,379) 72,443



1,000,000 USD (81,286) - (81,286)



1,000,000 USD (80,638) - (80,638)



1,000,000 USD (67,612) - (67,612)



1,122,000 USD 86,242 (544) 86,786



136,000 USD 10,582 (58) 10,640



93

Centrally Cleared Interest Rate Swaps — Outstanding at 31 December 2020 — (0.09)% (2019 - (0.05)%) (continued)


Floating Rate Index

FixedRate

Maturity Date


FairValue

USD

Upfront Premium

Paid/ (Received)

USD


USDPays Three-Month

USD Libor 2.31% 27/12/2024 Morgan Stanley & Co.

International plc

1,648,000 USD 130,267 47 130,220



360,000 USD (28,784) - (28,784)



1,215,000 USD 131,277 - 131,277






0.44% 24/07/2025 Bank of America, N.A. 992,680 USD 2,847 - 2,847


0.46% 29/07/2025 Bank of America, N.A. 196,900 USD 683 - 683





9,600,000 USD (862,340) 57,091 (919,431)



1,252,000 USD 146,927 - 146,927





2,727,000 USD 303,475 (17,973) 321,448



1,209,000 USD 132,343 - 132,343



1,000,000 USD (111,367) - (111,367)



754,000 USD 84,222 (5,160) 89,382

Pays 7 Days CNY CNREPOFIX CFXS Reuters


18,340,686 CNY 22,111 - 22,111



86,163,193 CNY 141,584 - 141,584



187,806,363 CNY 281,875 - 281,875



116,000,000 CNY 139,846 - 139,846



328,042,000 CNY 539,039 - 539,039



193,295,574 CNY 283,237 - 283,237



94



Floating Rate Index

FixedRate

Maturity Date


FairValue

USD

Upfront Premium

Paid/ (Received)

USD


USDPays Three-Month

USD Libor 2.45% 25/03/2026 Morgan Stanley Capital

Services LLC

1,763,000 USD 183,655 - 183,655



5,000,000 USD (638,610) - (638,610)



1,622,000 USD 167,864 - 167,864



2,768,000 USD 117,327 - 117,327



1,714,000 USD 90,240 415 89,825



1,600,000 USD (95,051) 6,115 (101,166)



1,500,000 USD (165,288)

- (165,288)



38,667,474 MXN 4,583

-

4,583



1,486,000 USD 101,887 (325) 102,212



3,357,000 USD 217,965 - 217,965



1,000,000 USD (80,251) - (80,251)



2,400,000 USD (266,202) - (266,202)



1,000,000 USD (46,260) - (46,260)



9,383,000 USD (100,150) - (100,150)



8,264,000 USD (104,423) - (104,423)


3.08% 30/04/2027 Bank of America, N.A. 12,000,000 USD (1,887,029) - (1,887,029)





500,000 USD 5,043 68 4,975



250,000 USD (40,325) - (40,325)



1,300,000 USD (76,181) - (76,181)







41,400,000 MXN 35,691 - 35,691



8,400,000 MXN 7,185 - 7,185



42,000,000 MXN 35,431 - 35,431



50,700,000 MXN 46,073 - 46,073





95



Floating Rate Index

FixedRate

Maturity Date


FairValue

USD

Upfront Premium

Paid/ (Received)

USD


USDPays 28 Days

MXN Banxico


51,300,000 MXN 49,561 - 49,561



16,800,000 MXN 14,254 - 14,254



1,400,000 USD 41,942 - 41,942


0.68% 29/07/2030 Bank of America, N.A. 555,240 USD 11,111 - 11,111



16,800,000 MXN 14,508 - 14,508



16,800,000 MXN 15,148 - 15,148





200,000 USD 3,890 - 3,890

Pays Three-Month USD Libor 0.69% 05/10/2030 Bank of America, N.A.

700,000 USD (14,733) - (14,733)

Receives Three-Month USD Libor 0.95% 03/03/2031 Bank of America, N.A.

1,334,000 USD (773) - (773)



40,612,638 MXN 20,127 - 20,127

Receives Six-Month PLN Wibor


2,863,134 PLN (6,706) - (6,706)



2,863,800 PLN (4,128) - (4,128)



5,812,370 PLN (26,491) - (26,491)

Receives Six-Month SGD SOR Reuters


1,165,280 SGD (6,298) - (6,298)



500,000 USD (110,861) 162 (111,023)

Centrally Cleared Interest Rate Swaps – Outstanding at Positive Fair Value 5,119,516 64,723 5,146,888

Centrally Cleared Interest Rate Swaps – Outstanding at Negative Fair Value (6,259,172) (28,727) (6,322,540)

Total Centrally Cleared Interest Rate Swaps – Outstanding (1,139,656) 35,996 (1,175,652)

OTC Total Return Swaps — Outstanding at 31 December 2020 — 0.37% (2019 - 0.10%)

Reference Instrument

Termination Date Counterparty

NotionalAmount CCY

Fair ValueUSD

Buys

263 Network Communications Co. Ltd. 31/10/2022 JPMorgan Chase Bank, N.A. 198,575 USD 1,000Acacia Communications, Inc. 13/07/2021 JPMorgan Chase Bank, N.A. 16,925 USD 24,880Acacia Communications, Inc. 04/03/2022 Morgan Stanley Capital Services LLC 35,793 USD 52,616



96

OTC Total Return Swaps — Outstanding at 31 December 2020 — 0.37% (2019 - 0.10%) (continued)



NotionalAmount CCY

Fair ValueUSD

Buys (continued)

Accelink Technologies Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 24,600 USD 778Addsino Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 100 USD 16Advanced Micro-Fabrication Equipment, Inc. 08/11/2022 JPMorgan Chase Bank, N.A. 2,103 USD (545)AECC Aviation Power Co. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 900 USD 1,730Aerojet Rocketdyne Holdings, Inc. 23/12/2022 JPMorgan Chase Bank, N.A. 92,769 USD 5,678Aier Eye Hospital Group Co. Ltd. 01/11/2022 JPMorgan Chase Bank, N.A. 4,943 USD 3,363Air China Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 900 USD 45Alexion Pharmaceuticals, Inc. 16/12/2022 JPMorgan Chase Bank, N.A. 34,647 USD 48,852Aluminum Corp. of China Ltd. 30/11/2022 JPMorgan Chase Bank, N.A. 375,200 USD (6,270)Amazon.com, Inc. 25/07/2022 Morgan Stanley Capital Services LLC 152 USD 7,714Amlogic Shanghai Co. Ltd. 26/10/2022 JPMorgan Chase Bank, N.A. 56 USD (30)Anfu Ce Link Ltd 15/09/2022 JPMorgan Chase Bank, N.A. 50 USD (33)Angang Steel Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 75,300 USD (2,132)Anhui Expressway Co. Ltd. 05/12/2022 JPMorgan Chase Bank, N.A. 58,800 USD 918Anhui Gujing Distillery Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 5,659 USD (5,513)Anhui Huangshan Capsule Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 9,700 USD (756)Anhui Jinhe Industrial Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 6,700 USD (93)Anhui Jiuhuashan Tourism Development Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 6,100 USD 413Anhui Kouzi Distillery Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 17,000 USD 3,273Anhui Sinonet & Xonglong Science & Technology Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 133,100 USD 2,575Anhui Yingjia Distillery Co. Ltd. 09/11/2022 JPMorgan Chase Bank, N.A. 700 USD (321)Anji Microelectronics Technology Shanghai Co. Ltd. 21/09/2022 JPMorgan Chase Bank, N.A. 6,214 USD (3,658)Anshan Senyuan Road & Bridge Co. Ltd. 13/12/2022 JPMorgan Chase Bank, N.A. 59,700 USD (486)Aofu Environmental Technology Co. Ltd. 29/11/2022 JPMorgan Chase Bank, N.A. 5,652 USD (2,272)Aoshikang Technology Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 1,900 USD 502Aoyuan Beauty Valley Technology Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 93,000 USD 6,701Apeloa Pharmaceutical Co. Ltd. 12/10/2022 JPMorgan Chase Bank, N.A. 12,132 USD (1,701)Apple Flavor and Fragrance Group Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 300 USD (4)Appotronics Corp. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 10,594 USD (28)Archermind Technology Nanjing Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 3,100 USD 4,883Arcsoft Corp. Ltd. 28/09/2022 JPMorgan Chase Bank, N.A. 9,847 USD (1,422)Asia Cuanon Technology Shanghai Co. Ltd. 20/12/2022 JPMorgan Chase Bank, N.A. 31,500 USD 966Astro-century Education & Technology Co. Ltd. 12/12/2022 JPMorgan Chase Bank, N.A. 12,400 USD (997)Autobio Diagnostics Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 2,981 USD (2,006)Avary Holding Shenzhen Co. Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 3,500 USD (128)Avcon Information Technology Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 28,700 USD (936)Avic Aviation High-Technology Co. Ltd. 28/09/2022 JPMorgan Chase Bank, N.A. 8 USD 3



97




NotionalAmount CCY

Fair ValueUSD

Buys (continued)

Avic Aviation High-Technology Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 8,800 USD 3,632Avic Capital Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 40,100 USD 332AVIC Jonhon Optronic Technology Co. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 5,751 USD 8,665AVIC Xi'an Aircraft Industry Group Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 50 USD 43Bafang Electric Suzhou Co. Ltd. 21/11/2022 JPMorgan Chase Bank, N.A. 900 USD 1,777BAIC BluePark New Energy Technology Co. Ltd. 06/12/2022 JPMorgan Chase Bank, N.A. 80 USD 4BAIC BluePark New Energy Technology Co. Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 86,700 USD 2,053Baiyin Nonferrous Group Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 122,900 USD 172Banbao Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 68 USD (6)Bank of Beijing Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 33,500 USD 232Bank of Chengdu Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 11,000 USD (140)Bank of Communications Co. Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 36,900 USD (248)Bank of Jiangsu Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 6,600 USD (158)Bank of Ningbo Co. Ltd. 23/11/2022 JPMorgan Chase Bank, N.A. 86 USD 15Bankia SA 21/09/2022 JPMorgan Chase Bank, N.A. 150,856 EUR 1,106Baoshan Iron & Steel Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 22,700 USD (259)Baoxiniao Holding Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 85,300 USD (1,532)Beh-Property Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 24,800 USD 244Beijing ABT Networks Co. Ltd. 20/12/2022 JPMorgan Chase Bank, N.A. 1,082 USD (61)Beijing Balance Medical Technology Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 179 USD 22Beijing Baolande Software Corp. 19/12/2022 JPMorgan Chase Bank, N.A. 142 USD 211Beijing Bewinner Communications Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 73,399 USD (2,156)Beijing Career International Co. Ltd. 06/12/2022 JPMorgan Chase Bank, N.A. 10,800 USD 2,799Beijing Century Real Technology Co. Ltd. 23/12/2022 JPMorgan Chase Bank, N.A. 30,800 USD (1,354)Beijing Changjiu Logistics Corp. 16/12/2022 JPMorgan Chase Bank, N.A. 18,200 USD 2Beijing Compass Technology Development Co. Ltd. 23/12/2022 JPMorgan Chase Bank, N.A. 53,600 USD (4,997)Beijing Creative Distribution Automation Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 20 USD 1Beijing Dalong Weiye Real Estate Development Co. Ltd. 23/12/2022 JPMorgan Chase Bank, N.A. 73,200 USD 84Beijing Easpring Material Technology Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 19,800 USD 8,913Beijing E-Hualu Information Technology Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 7,300 USD 3,655Beijing Hotgen Biotech Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 1,129 USD (130)Beijing Kaiwen Education Technology Co. Ltd. 09/12/2022 JPMorgan Chase Bank, N.A. 6,800 USD (210)Beijing Kingsoft Office Software, Inc. 02/12/2022 JPMorgan Chase Bank, N.A. 5,550 USD 39,938Beijing Leadman Biochemistry Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 74,100 USD (5,809)Beijing Lier High-temperature Materials Co. Ltd. 30/11/2022 JPMorgan Chase Bank, N.A. 87,800 USD (2,828)



98




NotionalAmount CCY

Fair ValueUSD

Buys (continued)

Beijing New Building Materials plc 14/09/2022 JPMorgan Chase Bank, N.A. 5,001 USD 3,595Beijing Roborock Technology Co. Ltd. 28/11/2022 JPMorgan Chase Bank, N.A. 200 USD 40Beijing Sanyuan Foods Co. Ltd. 19/12/2022 JPMorgan Chase Bank, N.A. 25,100 USD (670)Beijing Seeyon Internet Software Corp. 13/12/2022 JPMorgan Chase Bank, N.A. 100 USD 18Beijing Shougang Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 41,100 USD (1,222)Beijing Strong Biotechnologies, Inc. 12/12/2022 JPMorgan Chase Bank, N.A. 33,800 USD 1,352Beijing SuperMap Software Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 14,900 USD (288)Beijing Tiantan Biological Products Corp. Ltd. 19/12/2022 JPMorgan Chase Bank, N.A. 12,200 USD (50)Beijing Trust&Far Technology Co. Ltd. 25/10/2022 JPMorgan Chase Bank, N.A. 10 USD -Beijing United Information Technology Co. Ltd. 26/09/2022 JPMorgan Chase Bank, N.A. 600 USD 2,283Beijing Urban-Rural Commercial Group Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 10,600 USD 1,347Beijing Worldia Diamond Tools Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 13,960 USD 32Beijing Yuanliu Hongyuan Electronic Technology Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 3,100 USD 3,377Beijing Yuanlong Yato Culture Dissemination Co. Ltd. 28/10/2022 JPMorgan Chase Bank, N.A. 13,984 USD (1,781)Beijing Zuojiang Technology Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 1,700 USD 292Beken Corp. 30/11/2022 JPMorgan Chase Bank, N.A. 49 USD 97Berry Genomics Co. Ltd. 30/11/2022 JPMorgan Chase Bank, N.A. 16,702 USD (8,290)Betta Pharmaceuticals Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 14,822 USD 3,112Beyondsoft Corp. 30/12/2022 JPMorgan Chase Bank, N.A. 18,800 USD 571BGI Genomics Co. Ltd. 28/11/2022 JPMorgan Chase Bank, N.A. 2,800 USD (844)Biem.L.Fdlkk Garment Co. Ltd. 30/09/2022 JPMorgan Chase Bank, N.A. 40,801 USD (1,999)BizConf Telecom Co. Ltd. 02/11/2022 JPMorgan Chase Bank, N.A. 20,813 USD 2,962Bloomage Biotechnology Corp. Ltd. 28/11/2022 JPMorgan Chase Bank, N.A. 7,474 USD (5,418)Bloomberg Commodity Index 03/12/2120 Morgan Stanley Capital Services LLC 10,200 USD 108,701Blue Sail Medical Co. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 57,100 USD (6,836)Bluefocus Intelligent Communications Group Co. Ltd. 12/12/2022 JPMorgan Chase Bank, N.A. 42,500 USD 94BMC Stock Holdings, Inc. 31/08/2022 Goldman Sachs International 81,790 USD 23,719Bode Energy Equipment Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 14,900 USD 4,497BOE Technology Group Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 1,700 USD 64Bosun Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 38,500 USD (2,398)Bringspring Science and Technology Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 59,900 USD 1,028B-Soft Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 12,200 USD 627BTG Hotels Group Co. Ltd. 22/11/2022 JPMorgan Chase Bank, N.A. 28,600 USD (7,765)BYBON Group Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 25,500 USD (1,582)By-health Co. Ltd. 02/11/2022 JPMorgan Chase Bank, N.A. 72,900 USD (14,701)Cabio Biotech Wuhan Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 5,200 USD (81)



99




NotionalAmount CCY

Fair ValueUSD

Buys (continued)

Caitong Securities Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 10,300 USD 980Camel Group Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 22,307 USD (651)Canny Elevator Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 1,000 USD 15CCCG Real Estate Corp. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 44,200 USD (1,299)Central China Land Media Co. Ltd. 19/12/2022 JPMorgan Chase Bank, N.A. 48,600 USD (1,221)Chacha Food Co. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 14,065 USD (8,456)Changchun High & New Technology Industry Group, Inc. 27/09/2022 JPMorgan Chase Bank, N.A. 1,580 USD 1,259Changjiang & Jinggong Steel Building Group Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 200,200 USD (20,510)Changjiang Publishing & Media Co. Ltd. 12/12/2022 JPMorgan Chase Bank, N.A. 30,100 USD (55)Changsha Jingjia Microelectronics Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 81 USD 104Changying Xinzhi Technology Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 16,400 USD (548)ChangYuan Technology Group Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 17,300 USD 54Changzheng Engineering Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 11,300 USD 459Changzhou Almaden Stock Co. Ltd. 08/11/2022 JPMorgan Chase Bank, N.A. 54 USD 18Changzhou NRB Corp. 07/12/2022 JPMorgan Chase Bank, N.A. 56,600 USD (1,340)Changzhou Tiansheng New Materials Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 21,900 USD 763Changzhou Xingyu Automotive Lighting Systems Co. Ltd. 08/11/2022 JPMorgan Chase Bank, N.A. 10,118 USD 11,502Chaozhou Three-Circle Group Co. Ltd. 25/10/2022 JPMorgan Chase Bank, N.A. 12,870 USD 1,639Chengdu ALD Aviation Manufacturing Corp. 19/10/2022 JPMorgan Chase Bank, N.A. 16,200 USD 19,126Chengdu ALD Aviation Manufacturing Corp. 21/12/2022 JPMorgan Chase Bank, N.A. 14,400 USD 3,205Chengdu CORPRO Technology Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 85 USD (2)Chengdu Guibao Science & Technology Co. Ltd. 21/11/2022 JPMorgan Chase Bank, N.A. 6,900 USD (2,617)Chengdu Haoneng Technology Co. Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 8,000 USD (226)Chengdu Jiafaantai Education Technology Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 9,200 USD 381Chengdu Kanghong Pharmaceutical Group Co. Ltd. 14/11/2022 JPMorgan Chase Bank, N.A. 20,134 USD 6,377Chengdu Kanghua Biological Products Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 100 USD (250)Chengdu Santai Holding Group Co. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 122,600 USD (2,954)Chengdu Spaceon Electronics Co. Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 30,420 USD 3,948Chengdu Wintrue Holding Co. Ltd. 17/10/2022 JPMorgan Chase Bank, N.A. 293,100 USD (6,212)Chengdu Wintrue Holding Co. Ltd. 20/12/2022 JPMorgan Chase Bank, N.A. 55,400 USD (74)Chengdu Xiling Power Science & Technology Incorp Co. 04/01/2023 JPMorgan Chase Bank, N.A. 6,300 USD 499Chengzhi Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 22,500 USD (3,563)China Avionics Systems Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 13 USD 4



100




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Buys (continued)

China CITIC Bank Corp. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 42,700 USD (144)China Co.nstruction Bank Corp. 07/12/2022 JPMorgan Chase Bank, N.A. 69,600 USD (243)China Coal Energy Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 203,897 USD (1,599)China Design Group Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 100 USD 7China Eastern Airlines Corp. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 32,900 USD 723China Enterprise Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 5,800 USD (243)China Everbright Bank Co. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 12 USD -China Express Airlines Co. Ltd. 30/09/2022 JPMorgan Chase Bank, N.A. 7 USD 1China Great Wall Securities Co. Ltd. 31/10/2022 JPMorgan Chase Bank, N.A. 96,497 USD 1,052China Greatwall Technology Group Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 70,500 USD 16,722China Hainan Rubber Industry Group Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 36,500 USD (34)China Jushi Co. Ltd. 20/12/2022 JPMorgan Chase Bank, N.A. 36 USD 12China Kings Resources Group Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 8,300 USD (193)China Marine Information Electronics Co. Ltd. 18/11/2022 JPMorgan Chase Bank, N.A. 13,800 USD 5,044China Merchants Bank Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 800 USD 167China Merchants Expressway Network & Technology Holdings Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 91,900 USD (818)China Merchants Port Group Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 12,200 USD 434China Merchants Property Operation & Service Co. Ltd. 08/11/2022 JPMorgan Chase Bank, N.A. 23,936 USD (1,040)China Merchants Securities Co. Ltd. 07/11/2022 JPMorgan Chase Bank, N.A. 7,616 USD 774China Merchants Shekou Industrial Zone Holdings Co. Ltd. 08/11/2022 JPMorgan Chase Bank, N.A. 13,220 USD 394China National Nuclear Power Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 35,800 USD 499China Nonferrous Metal Industry's Foreign Engineering and Construction Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 12,200 USD (157)China Northern Rare Earth Group High-Tech Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 13,000 USD 735China Oilfield Services Ltd. 28/11/2022 JPMorgan Chase Bank, N.A. 91,600 USD (6,493)China Pacific Insurance Group Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 34,900 USD 10,041China Petroleum Engineering Corp. 15/09/2022 JPMorgan Chase Bank, N.A. 255,400 USD 5,927China Reform Health Management and Services Group Co. Ltd. 13/12/2022 JPMorgan Chase Bank, N.A. 6,300 USD (375)China Shenhua Energy Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 15,500 USD (1,293)China South Publishing & Media Group Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 12,200 USD (90)China Southern Airlines Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 75,872 USD 2,046China Tourism Group Duty Free Corp. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 11,700 USD 51,231China Union Holdings Ltd. 17/10/2022 JPMorgan Chase Bank, N.A. 10 USD -China Yangtze Power Co. Ltd. 20/12/2022 JPMorgan Chase Bank, N.A. 12,300 USD (536)



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Buys (continued)

China Zhenhua Group Science & Technology Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 500 USD 143Chinalin Securities Co. Ltd. 12/12/2022 JPMorgan Chase Bank, N.A. 1,200 USD 167Chongqing Brewery Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 3,000 USD 438Chongqing Fuling Zhacai Group Co. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 3,354 USD (144)Chongyi Zhangyuan Tungsten Industry Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 21,000 USD 469Chow Tai Seng Jewellery Co. Ltd. 21/11/2022 JPMorgan Chase Bank, N.A. 12,000 USD 741Cineplex, Inc. 20/12/2021 JPMorgan Chase Bank, N.A. 48,577 CAD 22,134CIT Group, Inc. 19/10/2022 JPMorgan Chase Bank, N.A. 11,000 USD (6,380)Citic Pacific Special Steel Group Co. Ltd. 08/11/2022 JPMorgan Chase Bank, N.A. 29 USD -CITIC Press Corp. 14/09/2022 JPMorgan Chase Bank, N.A. 32,299 USD (6,310)City Development Environment Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 17,700 USD 409Citychamp Dartong Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 44,200 USD (343)Clenergy Xiamen Technology Co. Ltd. 23/12/2022 JPMorgan Chase Bank, N.A. 31,100 USD 1,393CNHTC Jinan Truck Co. Ltd. 21/10/2022 JPMorgan Chase Bank, N.A. 52,442 USD (4,486)CNPC Capital Co. Ltd. 06/12/2022 JPMorgan Chase Bank, N.A. 38,194 USD (454)Coca-Cola Amatil Ltd. 09/11/2022 JPMorgan Chase Bank, N.A. 528,100 AUD 24,428COFCO Capital Holdings Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 72,001 USD 5,928Concho Resources, Inc. 24/10/2022 Goldman Sachs International 25,687 USD (5,651)Contemporary Amperex Technology Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 200 USD 739COSCO SHIPPING Holdings Co. Ltd. 07/11/2022 JPMorgan Chase Bank, N.A. 36,964 USD 5,971Costar Group Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 19,800 USD 727CRED Holding Co. Ltd. 20/12/2022 JPMorgan Chase Bank, N.A. 37,400 USD (2,184)Crown Castle International Corp. 05/08/2022 Goldman Sachs International 17,256 USD 102,328CSI 500 NTR Index 24/03/2021 Goldman Sachs International 6,615 USD (39,814)CTS International Logistics Corp. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 132,220 USD 3,138Dajin Heavy Industry Corp. 27/09/2022 JPMorgan Chase Bank, N.A. 132,900 USD 515Dalian My Gym Education Technology Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 35,400 USD 54Dalian Zhiyun Automation Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 7,800 USD (93)Daqin Railway Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 24,500 USD (32)Dare Power Dekor Home Co. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 22,600 USD (5,892)DaShenLin Pharmaceutical Group Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 2,000 USD (978)Dazzle Fashion Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 18,600 USD (549)DBAPP Security Ltd. 23/11/2022 JPMorgan Chase Bank, N.A. 124 USD 282Deppon Logistics Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 65,500 USD 1,957Dian Diagnostics Group Co. Ltd. 31/10/2022 JPMorgan Chase Bank, N.A. 56 USD (13)Digiwin Software Co. Ltd. 21/11/2022 JPMorgan Chase Bank, N.A. 6,600 USD 246Dirui Industrial Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 5,400 USD (20)Doctorglasses Chain Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 14,800 USD (51)



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Buys (continued)

Dong Yi Ri Sheng Home Decoration Group Co. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 31,542 USD (1,115)Dongguan Chitwing Technology Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 27,300 USD (1,381)Dongzhu Ecological Environment Protection Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 84,477 USD 1,180Double Medical Technology, Inc. 14/09/2022 JPMorgan Chase Bank, N.A. 22 USD 8Doushen Beijing Education & Technology, Inc. 04/01/2023 JPMorgan Chase Bank, N.A. 13,300 USD (190)Eaglerise Electric & Electronic China Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 12,700 USD (462)Eastern Pioneer Driving School Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 13,400 USD 643Ecovacs Robotics Co. Ltd. 01/11/2022 JPMorgan Chase Bank, N.A. 2,000 USD 4,415EGLS Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 57,400 USD (306)Egypt Government Bond 14/01/2025 Goldman Sachs International 1,593,168 USD 90,936Egypt Treasury Bill 14/01/2021 Citibank, N.A. 441,505 USD 11,727Electric Connector Technology Co. Ltd. 09/12/2022 JPMorgan Chase Bank, N.A. 6,000 USD 5ENC Digital Technology Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 1,405 USD 23ENN Natural Gas Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 13,200 USD 292Espressif Systems (Shanghai) Co Ltd 20/09/2022 JPMorgan Chase Bank, N.A. 10,788 USD (11,865)Eve Energy Co. Ltd. 23/11/2022 JPMorgan Chase Bank, N.A. 26 USD 19Fangda Special Steel Technology Co. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 154,000 USD (1,036)FAW Jiefang Group Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 113,100 USD (1,450)FAWER Automotive Parts Co. Ltd. 18/10/2022 JPMorgan Chase Bank, N.A. 40,782 USD (3)Fitbit, Inc. 03/11/2021 JPMorgan Chase Bank, N.A. 335,649 USD (147,686)FIYTA Precision Technology Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 286,500 USD (5,279)Focus Media Information Technology Co. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 191,800 USD 2,769Focus Technology Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 15,400 USD (553)Fortune Ng Fung Food Hebei Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 15,800 USD (330)Foshan Electrical and Lighting Co. Ltd. 23/12/2022 JPMorgan Chase Bank, N.A. 29,800 USD 451Foshan Haitian Flavouring & Food Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 8,000 USD 7,293Founder Securities Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 50,000 USD 13,016Fu Jian Anjoy Foods Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 800 USD 249Fuda Alloy Materials Co. Ltd. 30/11/2022 JPMorgan Chase Bank, N.A. 15,700 USD (1,314)Fujian Aonong Biological Technology Group, Inc. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 30 USD (4)Fujian Forecam Optics Co. Ltd. 21/09/2022 JPMorgan Chase Bank, N.A. 3,922 USD (78)Fujian Green Pine Co. Ltd. 22/11/2022 JPMorgan Chase Bank, N.A. 7,400 USD (3,467)Fujian Nebula Electronics Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 2,502 USD 1,196Fujian Torch Electron Technology Co. Ltd. 31/10/2022 JPMorgan Chase Bank, N.A. 4,900 USD 10,471Funeng Oriental Equipment Technology Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 15,800 USD 17



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Buys (continued)

Gansu Jiu Steel Group Hongxing Iron & Steel Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 19,600 USD (83)G-bits Network Technology Xiamen Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 1,200 USD (860)GCL Energy Technology Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 18,700 USD (508)GCL System Integration Technology Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 800 USD (45)Georgian Government Bonds 22/09/2021 Credit Suisse Securities (USA) LLC 5,624,967 USD 1,235,484Getein Biotech, Inc. 30/12/2022 JPMorgan Chase Bank, N.A. 3,200 USD 840Giant Network Group Co. Ltd. 12/12/2022 JPMorgan Chase Bank, N.A. 10,300 USD 451Gigadevice Semiconductor Beijing, Inc. 21/11/2022 JPMorgan Chase Bank, N.A. 900 USD 539Glarun Technology Co. Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 12,400 USD 573Glodon Co. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 265 USD 258GoerTek, Inc. 14/09/2022 JPMorgan Chase Bank, N.A. 26,800 USD (927)GoldenHome Living Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 20 USD -Goldman Sachs 05/10/2022 Goldman Sachs International 391,079 USD 791,790Goldman Sachs 07/11/2022 Goldman Sachs International 18,803 USD (940)Goldman Sachs 07/11/2022 Goldman Sachs International 32,343 USD 2,264Goldman Sachs 03/12/2120 Goldman Sachs International 16,218 USD 72,725Goldman Sachs Equal Weight Index 19/02/2021 Goldman Sachs International 3,220,650 USD 143,420Grand Industrial Holding Group Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 18,100 USD 3,171Great Chinasoft Technology Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 26,700 USD (2,265)Greattown Holdings Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 21,200 USD (858)Greenland Holdings Corp. Ltd. 30/11/2022 JPMorgan Chase Bank, N.A. 100,400 USD (3,320)Grubhub, Inc. 15/06/2022 JPMorgan Chase Bank, N.A. 14,327 USD 24,642Grubhub, Inc. 21/06/2022 Goldman Sachs International 24,881 USD 42,795Guangdong Baolihua New Energy Stock Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 23,100 USD (481)Guangdong Chant Group, Inc. 14/09/2022 JPMorgan Chase Bank, N.A. 49 USD (4)Guangdong Chj Industry Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 52,300 USD (989)Guangdong Dazhi Environmental Protection Technology, Inc. Co. 29/12/2022 JPMorgan Chase Bank, N.A. 400 USD 51Guangdong DP Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 3,800 USD (26)Guangdong Golden Dragon Development, Inc. 21/12/2022 JPMorgan Chase Bank, N.A. 12,900 USD 2,599Guangdong Great River Smarter Logistics Co. Ltd. 28/09/2022 JPMorgan Chase Bank, N.A. 58 USD (3)Guangdong Guangzhou Daily Media Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 88,000 USD (614)Guangdong Haid Group Co. Ltd. 14/11/2022 JPMorgan Chase Bank, N.A. 33,568 USD 18,678Guangdong High Dream Intellectualised Machinery Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 3,500 USD 233Guangdong Hongtu Technology Holdings Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 17,850 USD 157Guangdong Hoshion Industrial Aluminium Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 7,400 USD (77)



104




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Buys (continued)

Guangdong Hybribio Biotech Co. Ltd. 13/09/2022 JPMorgan Chase Bank, N.A. 76 USD -Guangdong Hybribio Biotech Co. Ltd. 19/12/2022 JPMorgan Chase Bank, N.A. 43,600 USD (3,825)Guangdong Insight Brand Marketing Group Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 6,600 USD 66Guangdong Jia Yuan Technology Shares Co. Ltd. 16/09/2022 JPMorgan Chase Bank, N.A. 23,566 USD 12,511Guangdong JingYi Metal Co. Ltd. 08/11/2022 JPMorgan Chase Bank, N.A. 103,252 USD (2,113)Guangdong Kinlong Hardware Products Co. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 1,574 USD (261)Guangdong Lingxiao Pump Industry Co. Ltd. 23/09/2022 JPMorgan Chase Bank, N.A. 23,098 USD 1,393Guangdong Marubi Biotechnology Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 2,300 USD (1,890)Guangdong Orient Zirconic Ind Sci & Tech Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 10,450 USD 656Guangdong Redwall New Materials Co. Ltd. 28/09/2022 JPMorgan Chase Bank, N.A. 90 USD (8)Guangdong Senssun Weighing Apparatus Group Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 7,400 USD (627)Guangdong Shirongzhaoye Co. Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 26,500 USD 1,594Guangdong Sirio Pharma Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 2,300 USD 1,932Guangdong South New Media Co. Ltd. 09/11/2022 JPMorgan Chase Bank, N.A. 14,481 USD (1,882)Guangdong Transtek Medical Electronics Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 2,800 USD 212Guangdong Vanward New Electric Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 15,450 USD 157Guangdong Wencan Die Casting Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 32,900 USD (2,892)Guangdong Xianglu Tungsten Co. Ltd. 16/11/2022 JPMorgan Chase Bank, N.A. 98,128 USD (2,585)Guangdong Xinbao Electrical Appliances Holdings Co. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 6,779 USD (3,878)Guangdong Xinhui Meida Nylon Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 136,700 USD (305)Guangdong Yizumi Precision Machinery Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 3,400 USD 59Guangxi Fenglin Wood Industry Group Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 74,500 USD 129Guangxi Guidong Electric Power Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 9,100 USD 630Guangxi Wuzhou Communications Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 28,300 USD (138)Guangzhou Fangbang Electronics Co. Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 143 USD 6Guangzhou Goaland Energy Conservation Tech Co. Ltd. 17/10/2022 JPMorgan Chase Bank, N.A. 50 USD 2Guangzhou Grandbuy Co. Ltd. 20/12/2022 JPMorgan Chase Bank, N.A. 29,100 USD (1,969)Guangzhou GRG Metrology & Test Co. Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 6,600 USD 8,870Guangzhou Guangri Stock Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 14,900 USD 13



105




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Buys (continued)

Guangzhou Jointas Chemical Co. Ltd. 11/10/2022 JPMorgan Chase Bank, N.A. 14 USD -Guangzhou KDT Machinery Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 1,900 USD 1,156Guangzhou Kingmed Diagnostics Group Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 14,230 USD 15,810Guangzhou Pearl River Industrial Development Co. Ltd. 08/11/2022 JPMorgan Chase Bank, N.A. 20 USD -Guangzhou Restaurant Group Co. Ltd. 02/11/2022 JPMorgan Chase Bank, N.A. 48,713 USD (8,779)Guangzhou Shiyuan Electronic Technology Co. Ltd. 12/12/2022 JPMorgan Chase Bank, N.A. 2,705 USD 2,746Guangzhou Sie Consulting Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 6,400 USD 174Guangzhou T, Inc.i Materials Technology Co. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 2 USD (1)Guangzhou Tech-Long Packaging Machinery Co. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 100,061 USD (4,650)Guangzhou Wondfo Biotech Co. Ltd. 14/10/2022 JPMorgan Chase Bank, N.A. 33 USD 2Guangzhou Zhujiang Brewery Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 11,600 USD (336)Guilin Seamild Foods Co Ltd 15/09/2022 JPMorgan Chase Bank, N.A. 4,400 USD (127)Guizhou Qianyuan Power Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 25,415 USD (306)Guizhou Taiyong-Changzheng Technology Co. Ltd. 30/09/2022 JPMorgan Chase Bank, N.A. 52 USD (5)Guizhou Tyre Co. Ltd. 26/10/2022 JPMorgan Chase Bank, N.A. 272,500 USD 6,564Guosen Securities Co. Ltd. 12/12/2022 JPMorgan Chase Bank, N.A. 200 USD 10H&R Century Union Corp. 29/12/2022 JPMorgan Chase Bank, N.A. 6,300 USD 1Haier Smart Home Co. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 5,100 USD 2,012Haimo Technologies Group Corp. 04/01/2023 JPMorgan Chase Bank, N.A. 30,300 USD 3Hainan Dadonghai Tourism Centre Holdings Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 40 USD (1)Hainan Drinda Automotive Trim Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 5,300 USD (211)Hainan Haiyao Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 100 USD 8Hainan Poly Pharm Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 3,600 USD (166)Haisco Pharmaceutical Group Co. Ltd. 15/11/2022 JPMorgan Chase Bank, N.A. 32,614 USD (8,736)Hang Zhou Great Star Industrial Co. Ltd. 03/10/2022 JPMorgan Chase Bank, N.A. 4,800 USD 2,994Hangzhou Binjiang Real Estate Group Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 38,900 USD 344Hangzhou Boiler Group Co. Ltd. 26/10/2022 JPMorgan Chase Bank, N.A. 144,420 USD (1,766)Hangzhou Chang Chuan Technology Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 8,400 USD 733Hangzhou Dptech Technologies Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 5,900 USD (73)Hangzhou First Applied Material Co. Ltd. 28/11/2022 JPMorgan Chase Bank, N.A. 1 USD -Hangzhou Gaoxin Rubber & Plastic Materials Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 41,400 USD 770Hangzhou Hikvision Digital Technology Co. Ltd. 15/11/2022 JPMorgan Chase Bank, N.A. 3,828 USD 1,914



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Fair ValueUSD

Buys (continued)

Hangzhou Hopechart IoT Technology Co. Ltd. 23/11/2022 JPMorgan Chase Bank, N.A. 109 USD (2)Hangzhou Jizhi Mechatronic Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 6,700 USD (1,860)Hangzhou Nbond Nonwovens Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 37,200 USD (5,237)Hangzhou Onechance Tech Corp. 29/12/2022 JPMorgan Chase Bank, N.A. 200 USD 77Hangzhou Oxygen Plant Group Co. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 13,800 USD 2,128Hangzhou Prevail Optoelectronic Equipment Co. Ltd. 20/12/2022 JPMorgan Chase Bank, N.A. 10,800 USD (4,208)Hangzhou Robam Appliances Co. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 7,000 USD (658)Hangzhou Zhongheng Electric Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 15,700 USD 1,490Hanjia Design Group Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 10,300 USD (197)Han's Laser Technology Industry Group Co. Ltd. 16/11/2022 JPMorgan Chase Bank, N.A. 218 USD 81Hanyu Group Joint-Stock Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 27,100 USD (1,255)Harbin Electric Corp. Jiamusi Electric Machine Co. Ltd. 18/10/2022 JPMorgan Chase Bank, N.A. 170,180 USD (963)Harbin Xinguang Optic-Electronics Technology Co. Ltd. 19/09/2022 JPMorgan Chase Bank, N.A. 34,941 USD 3,271HBIS Resources Co. Ltd. 31/10/2022 JPMorgan Chase Bank, N.A. 44,800 USD (27,703)Healthcor LS Index 26/04/2021 Morgan Stanley Capital Services LLC 428,741 USD 190,269Henan Shuanghui Investment & Development Co. Ltd. 20/12/2022 JPMorgan Chase Bank, N.A. 3,400 USD (125)Henan Yuguang Gold & Lead Co. Ltd. 20/12/2022 JPMorgan Chase Bank, N.A. 218,760 USD (3,983)Hengdian Entertainment Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 3,200 USD 795Hengdian Group DMEGC Magnetics Co. Ltd. 28/09/2022 JPMorgan Chase Bank, N.A. 1,843 USD 217Hengdian Group Tospo Lighting Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 5,000 USD (97)HengFeng Information Technology Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 11,900 USD (497)Hengli Petrochemical Co. Ltd. 23/11/2022 JPMorgan Chase Bank, N.A. 51,128 USD 19,751Henglin Home Furnishings Co. Ltd. 23/11/2022 JPMorgan Chase Bank, N.A. 29,500 USD (1,456)Hengtong Logistics Co. Ltd. 21/11/2022 JPMorgan Chase Bank, N.A. 8 USD (2)Hengyi Petrochemical Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 16,900 USD 1,882Heren Health Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 9,400 USD (1,699)Hesteel Co. Ltd. 13/12/2022 JPMorgan Chase Bank, N.A. 68,100 USD (963)Hisense Home Appliances Group Co. Ltd. 21/11/2022 JPMorgan Chase Bank, N.A. 21,000 USD 519Hisense Visual Technology Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 800 USD 30Hithink RoyalFlush Information Network Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 3,200 USD (1,446)HL Corp Shenzhen 02/12/2022 JPMorgan Chase Bank, N.A. 104,201 USD 424HMS Holdings Corp. 23/12/2022 Goldman Sachs International 86,352 USD 18,275Hongda Xingye Co. Ltd. 30/11/2022 JPMorgan Chase Bank, N.A. 69 USD (2)Hongli Zhihui Group Co. Ltd. 19/12/2022 JPMorgan Chase Bank, N.A. 51 USD (5)Hoshine Silicon Industry Co. Ltd. 30/11/2022 JPMorgan Chase Bank, N.A. 8,326 USD (462)Huabao Flavours & Fragrances Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 88 USD 4



107




NotionalAmount CCY

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Buys (continued)

Huachangda Intelligent Equipment Group Co. Ltd. 19/12/2022 JPMorgan Chase Bank, N.A. 55,700 USD (1,676)Huadong Medicine Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 6,626 USD (1,398)Huafang Ltd. Co 15/09/2022 JPMorgan Chase Bank, N.A. 80 USD (1)Huaneng Lancang River Hydropower, Inc. 07/12/2022 JPMorgan Chase Bank, N.A. 40,400 USD (52)Huaneng Power International, Inc. 15/09/2022 JPMorgan Chase Bank, N.A. 357,500 USD (6,060)Huangshan Novel Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 34,000 USD (829)Huayu Automotive Systems Co. Ltd. 21/11/2022 JPMorgan Chase Bank, N.A. 84,200 USD (12,000)Huayuan Property Co. Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 51 USD -Hubei Century Network Technology Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 15,900 USD 1,305Hubei Energy Group Co. Ltd. 31/10/2022 JPMorgan Chase Bank, N.A. 366,200 USD (830)Hubei Feilihua Quartz Glass Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 5,100 USD 386Hubei Forbon Technology Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 15,700 USD 352Hubei Yichang Transportation Group Co. Ltd. 12/10/2022 JPMorgan Chase Bank, N.A. 70 USD 2Huludao Z, Inc. Industry Co 04/01/2023 JPMorgan Chase Bank, N.A. 89,500 USD 264Hunan Corun New Energy Co. Ltd. 06/12/2022 JPMorgan Chase Bank, N.A. 63,900 USD 1,351Hunan Gold Corp. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 37,728 USD (856)Hunan Jiudian Pharmaceutical Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 4,800 USD (43)Hunan Valin Steel Co. Ltd. 31/10/2022 JPMorgan Chase Bank, N.A. 60,900 USD (1,936)Hunan Yujin Machinery Co Ltd 16/12/2022 JPMorgan Chase Bank, N.A. 16,100 USD (1,564)Hundsun Technologies, Inc. 30/12/2022 JPMorgan Chase Bank, N.A. 1,418 USD 2,087Hybio Pharmaceutical Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 10,900 USD (695)HyUnion Holding Co. Ltd. 13/12/2022 JPMorgan Chase Bank, N.A. 73 USD (5)Iflytek Co. Ltd. 22/11/2022 JPMorgan Chase Bank, N.A. 10,400 USD 1,439IKD Co. Ltd. 20/12/2022 JPMorgan Chase Bank, N.A. 15,054 USD (1,722)Indonesia Treasury Bond 18/05/2021 Bank of America, N.A. 2,042,570 USD 318,995Indonesia Treasury Bond 21/05/2021 Bank of America, N.A. 818,711 USD 184,931Industrial Bank Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 35,300 USD 295Ingenic Semiconductor Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 63 USD (57)Inmyshow Digital Technology Group Co. Ltd. 20/12/2022 JPMorgan Chase Bank, N.A. 19,100 USD (615)Inner Mongolia Eerduosi Resources Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 55,100 USD (2,705)Inner Mongolia Furui Medical Science Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 23,400 USD (2,302)Inner Mongolia Junzheng Energy & Chemical Industry Group Co. Ltd. 19/12/2022 JPMorgan Chase Bank, N.A. 207,456 USD (928)Inner Mongolia Xingye Mining Co. Ltd. 23/11/2022 JPMorgan Chase Bank, N.A. 2,800 USD (136)Inner Mongolia Xingye Mining Co. Ltd. 27/12/2022 JPMorgan Chase Bank, N.A. 70,200 USD (505)Inner Mongolia Yili Industrial Group Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 33,100 USD 6,484Innovation Medical Management Co. Ltd. 20/09/2022 JPMorgan Chase Bank, N.A. 34 USD (3)Inphi Corp. 02/11/2022 Goldman Sachs International 39,998 USD 73,996Intco Medical Technology Co. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 39 USD 29



108




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Buys (continued)

JA Solar Technology Co. Ltd. 31/10/2022 JPMorgan Chase Bank, N.A. 28,800 USD (3,237)Jade Bird Fire Co. Ltd. 23/12/2022 JPMorgan Chase Bank, N.A. 7,200 USD (2,357)Jason Furniture Hangzhou Co. Ltd. 02/11/2022 JPMorgan Chase Bank, N.A. 2,200 USD 52JCET Group Co. Ltd. 07/11/2022 JPMorgan Chase Bank, N.A. 13,600 USD 6,986JCET Group Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 16,200 USD 8,066Jiang Xi Sanxin Medtec Co. Ltd. 19/10/2022 JPMorgan Chase Bank, N.A. 61 USD 14Jiangshan Oupai Door Industry Co. Ltd. 18/10/2022 JPMorgan Chase Bank, N.A. 8,400 USD 3,000Jiangshan Oupai Door Industry Co. Ltd. 19/12/2022 JPMorgan Chase Bank, N.A. 10,362 USD 3,621Jiangsu Ankura Smart Transmission Engineering Technology Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 1,825 USD (128)Jiangsu Apon Medical Technology Co. Ltd. 19/09/2022 JPMorgan Chase Bank, N.A. 60 USD (12)Jiangsu Beiren Robot System Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 1,062 USD 22Jiangsu Bioperfectus Technology Co. Ltd 23/12/2022 JPMorgan Chase Bank, N.A. 18 USD (8)Jiangsu Canlon Building Materials Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 2,700 USD (890)Jiangsu Canlon Building Materials Co. Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 5,600 USD (910)Jiangsu Changhai Composite Materials Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 13 USD 2Jiangsu Changshu Automotive Trim Group Co. Ltd. 28/10/2022 JPMorgan Chase Bank, N.A. 1,500 USD (126)Jiangsu Cnano Technology Co. Ltd. 18/10/2022 JPMorgan Chase Bank, N.A. 20,605 USD (1,228)Jiangsu Daybright Intelligent Electric Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 35,700 USD (284)Jiangsu Dewei Advanced Materials Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 29,900 USD (2,329)Jiangsu Eazytec Co. Ltd. 27/12/2022 JPMorgan Chase Bank, N.A. 5,384 USD (1,531)Jiangsu Fengshan Group Co. Ltd. 28/09/2022 JPMorgan Chase Bank, N.A. 14,020 USD (25)Jiangsu Flag Chemical Industry Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 30 USD 5Jiangsu Gaoke Petrochemical Co. Ltd. 05/12/2022 JPMorgan Chase Bank, N.A. 34,502 USD (8,013)Jiangsu Guoxin Corp. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 4,890 USD 306Jiangsu Hengli Hydraulic Co. Ltd. 21/09/2022 JPMorgan Chase Bank, N.A. 1,291 USD 1,392Jiangsu Hengrui Medicine Co. Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 13,300 USD 1,468Jiangsu Huahong Technology Stock Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 30 USD (5)Jiangsu Huaxicun Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 35,900 USD (863)Jiangsu Jinling Sports Equipment Co. Ltd. 19/09/2022 JPMorgan Chase Bank, N.A. 40 USD (3)Jiangsu King's Luck Brewery JSC Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 2,300 USD 209Jiangsu Leike Defense Technology Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 35,700 USD 242Jiangsu Leili Motor Co. Ltd. 20/12/2022 JPMorgan Chase Bank, N.A. 11,100 USD (2,158)Jiangsu Lettall Electronic Co. Ltd. 12/12/2022 JPMorgan Chase Bank, N.A. 15,600 USD 655



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Buys (continued)

Jiangsu Lihua Animal Husbandry Stock Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 3,000 USD (112)Jiangsu Linyang Energy Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 4,300 USD 284Jiangsu Lixing General Steel Ball Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 37,400 USD (637)Jiangsu Luokai Mechanical & Electrical Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 20,300 USD (278)Jiangsu Maysta Chemical Co. Ltd. 06/12/2022 JPMorgan Chase Bank, N.A. 8,300 USD (756)Jiangsu Rainbow Heavy Industries Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 28,000 USD 442Jiangsu Shentong Valve Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 9,600 USD 289Jiangsu Shuangxing Color Plastic New Materials Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 25,700 USD (39)Jiangsu Sidike New Material Science & Technology Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 1,400 USD 271Jiangsu Skyray Instrument Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 36,100 USD (1,171)Jiangsu Suzhou Rural Commercial Bank Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 53,800 USD (253)Jiangsu Xinquan Automotive Trim Co. Ltd. 13/09/2022 JPMorgan Chase Bank, N.A. 4,078 USD 159Jiangsu Yanghe Brewery Joint-Stock Co. Ltd. 23/11/2022 JPMorgan Chase Bank, N.A. 800 USD 2,538Jiangsu Yoke Technology Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 3,100 USD (1,332)Jiangsu Yueda Investment Co. Ltd. 16/09/2022 JPMorgan Chase Bank, N.A. 24,181 USD (488)Jiangsu Yuxing Film Technology Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 15,800 USD (191)Jiangsu Yuyue Medical Equipment & Supply Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 43,000 USD 3,385Jiangsu Zhengdan Chemical Industry Co. Ltd. 20/12/2022 JPMorgan Chase Bank, N.A. 42,190 USD (2,347)JiangSu Zhenjiang New Energy Equipment Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 8,637 USD (357)Jiangsu Zhongchao Holding Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 50 USD 1Jiangsu Zhongnan Construction Group Co. Ltd. 28/11/2022 JPMorgan Chase Bank, N.A. 61 USD (2)Jiangsu Zhongshe Group Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 20 USD (1)Jiangxi Black Cat Carbon Black Co. Ltd. 09/12/2022 JPMorgan Chase Bank, N.A. 72,700 USD 208Jiangxi Fushine Pharmaceutical Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 7,000 USD (374)Jiangxi Hongcheng Environment Co. Ltd. 09/12/2022 JPMorgan Chase Bank, N.A. 33,280 USD 147Jiangxi Huawu Brake Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 21,800 USD (2,135)Jiangxi Selon Industrial Co. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 80,300 USD (3,450)Jiangxi Synergy Pharmaceutical Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 9,800 USD (2,761)Jiangxi Zhengbang Technology Co. Ltd. 06/12/2022 JPMorgan Chase Bank, N.A. 25,031 USD 190Jiangyin Hengrun Heavy Industries Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 12 USD -



110




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Buys (continued)

Jianmin Pharmaceutical Group Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 47,900 USD (3,675)Jiaozuo Wanfang Aluminum Manufacturing Co. Ltd. 21/10/2022 JPMorgan Chase Bank, N.A. 127,180 USD (6,396)Jiaozuo Wanfang Aluminum Manufacturing Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 43,900 USD (743)Jiayou International Logistics Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 10,432 USD (550)Jilin Quanyangquan Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 54,700 USD 38,422Jinduicheng Molybdenum Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 16,400 USD (44)Jinhua Chunguang Technology Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 11,100 USD 66Jinhui Liquor Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 200 USD 19Jinke Properties Group Co. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 117,921 USD 89Jinlei Technology Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 36,000 USD (384)Jinma Technology Entertainment Corp. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 19,256 USD 1,165Jinyu Bio-Technology Co. Ltd. 29/11/2022 JPMorgan Chase Bank, N.A. 41 USD (6)Jizhong Energy Resources Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 30,600 USD (240)Jointo Energy Investment Co. Ltd. Hebei 31/10/2022 JPMorgan Chase Bank, N.A. 228,700 USD 1,029Jointown Pharmaceutical Group Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 8,100 USD 1,020Jones Tech plc 14/12/2022 JPMorgan Chase Bank, N.A. 18,700 USD (672)Jonjee Hi-Tech Industrial And Commercial Holding Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 23,333 USD 7,407Joyoung Co. Ltd. 23/12/2022 JPMorgan Chase Bank, N.A. 1 USD (1)Juewei Food Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 19,800 USD 10,832Juneyao Airlines Co. Ltd. 29/11/2022 JPMorgan Chase Bank, N.A. 46 USD (4)Jushri Technologies, Inc. 28/12/2022 JPMorgan Chase Bank, N.A. 3,300 USD 933Jutze Intelligent Technology Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 60 USD 6Kaiyuan Education Technology Group Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 22,200 USD (309)Keboda Technology Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 2,600 USD (404)Kehua Data Co. Ltd. 31/10/2022 JPMorgan Chase Bank, N.A. 18,500 USD (1,204)Kehua Holdings Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 41,200 USD 12,176Kemen Noodle Manufacturing Co. Ltd. 28/11/2022 JPMorgan Chase Bank, N.A. 11,700 USD (2,756)Kennede Electronics Manufacturing Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 12,500 USD (607)Keshun Waterproof Technologies Co. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 74,926 USD (5,259)Kingsemi Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 3,667 USD 3,670Kuangda Technology Group Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 12,600 USD (100)Kunwu Jiuding Investment Holdings Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 7,800 USD (543)Lafang China Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 55,000 USD (288)Lanzhou Zhuangyuan Pasture Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 300 USD (7)Lao Feng Xiang Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 78 USD 9



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Buys (continued)

Laobaixing Pharmacy Chain JSC 14/12/2022 JPMorgan Chase Bank, N.A. 3,900 USD (845)Ledman Optoelectronic Co. Ltd. 12/10/2022 JPMorgan Chase Bank, N.A. 24 USD (2)Lepu Medical Technology Beijing Co. Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 5,200 USD (1,042)Leshan Giantstar Farming & Husbandry Corp. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 34,500 USD 1,274LianChuang Electronic Technology Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 90 USD (5)Lianhe Chemical Technology Co. Ltd. 06/12/2022 JPMorgan Chase Bank, N.A. 20,167 USD (2,275)Liao Ning Oxiranchem, Inc. 04/01/2023 JPMorgan Chase Bank, N.A. 12,200 USD (324)Liaoning Cheng Da Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 6,000 USD 173Liaoning Kelong Fine Chemical Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 66,080 USD (3,679)Lier Chemical Co. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 67,327 USD (9,460)Lifecome Biochemistry Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 10 USD 1Lingyi iTech Guangdong Co 19/12/2022 JPMorgan Chase Bank, N.A. 24,815 USD (1,909)Lingyuan Iron & Steel Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 46,800 USD 335Livzon Pharmaceutical Group, Inc. 02/12/2022 JPMorgan Chase Bank, N.A. 6,200 USD (560)Loctek Ergonomic Technology Corp. 15/09/2022 JPMorgan Chase Bank, N.A. 4,140 USD (2,785)Lomon Billions Group Co. Ltd. 19/12/2022 JPMorgan Chase Bank, N.A. 43,300 USD (10,061)LONGi Green Energy Technology Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 2,400 USD 385Longxing Chemical Industry Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 115,500 USD (680)Longyan Zhuoyue New Energy Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 2,566 USD (259)Lotus Health Group Co 28/12/2022 JPMorgan Chase Bank, N.A. 39,000 USD (368)Luolai Lifestyle Technology Co. Ltd. 17/10/2022 JPMorgan Chase Bank, N.A. 3,020 USD (70)Luolai Lifestyle Technology Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 600 USD 37Luoxin Pharmaceuticals Group Stock Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 400 USD (46)Luoyang Jianlong Micro-Nano New Material Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 17,031 USD (1,159)Luxshare Precision Industry Co. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 3,820 USD 1,793Luyang Energy-Saving Materials Co. Ltd. 12/12/2022 JPMorgan Chase Bank, N.A. 30,050 USD (1,566)Luzhou Laojiao Co. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 16,900 USD 31,802Lvjing Holding Co. Ltd. 12/10/2022 JPMorgan Chase Bank, N.A. 15,363 USD (86)Maccura Biotechnology Co. Ltd. 15/11/2022 JPMorgan Chase Bank, N.A. 88 USD (10)Macrolink Culturaltainment Development Co. Ltd. 27/12/2022 JPMorgan Chase Bank, N.A. 7,500 USD (193)Maider Medical Industry Equipment Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 166 USD 1Malion New Materials Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 60 USD (8)Mango Excellent Media Co. Ltd. 31/10/2022 JPMorgan Chase Bank, N.A. 8,441 USD 4,352Mastercard, Inc. 18/03/2022 Goldman Sachs International 4,682 USD 105,673Maxim Integrated Products, Inc. 15/07/2022 Goldman Sachs International 75,549 USD 260,644



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Buys (continued)

Maxscend Microelectronics Co. Ltd. 18/10/2022 JPMorgan Chase Bank, N.A. 3,631 USD (10,601)Meinian Onehealth Healthcare Holdings Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 38,200 USD (2,597)Micro-Tech Nanjing Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 2,775 USD (510)Ming Yang Smart Energy Group Ltd. 11/10/2022 JPMorgan Chase Bank, N.A. 14,200 USD 19Mingsheng Holdings Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 62,402 USD (300)Minmetals Capital Co. Ltd. 22/11/2022 JPMorgan Chase Bank, N.A. 60 USD -Minmetals Development Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 30,100 USD (286)MLS Co. Ltd. 06/12/2022 JPMorgan Chase Bank, N.A. 11,700 USD 549Montage Technology Co. Ltd. 21/09/2022 JPMorgan Chase Bank, N.A. 11,737 USD (9,229)Montnets Cloud Technology Group Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 10,400 USD 440Moon Environment Technology Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 89,700 USD 1,681MS Index Swap 21/10/2021 Morgan Stanley Capital Services LLC 907,831 USD 1,787,219MS Intraday Trend 25/10/2022 Morgan Stanley Capital Services LLC 481,752 USD (9,635)MTS Systems Corp. 13/12/2022 Goldman Sachs International 12,911 USD (2,582)Muyuan Foods Co. Ltd. 07/11/2022 JPMorgan Chase Bank, N.A. 2,040 USD 57Nancal Technology Co. Ltd. 07/11/2022 JPMorgan Chase Bank, N.A. 17,200 USD (5,007)Nanjing Iron & Steel Co. Ltd. 20/12/2022 JPMorgan Chase Bank, N.A. 5,600 USD (174)Nanjing OLO Home Furnishing Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 8,000 USD 44Nanjing Quanxin Cable Technology Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 23,700 USD (431)Nanjing Yunhai Special Metals Co. Ltd. 09/12/2022 JPMorgan Chase Bank, N.A. 30,035 USD (927)Nanning Sugar Industry Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 6,500 USD (112)NARI Technology Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 19,400 USD 465Nations Technologies, Inc. 04/01/2023 JPMorgan Chase Bank, N.A. 148,600 USD 4,300Navistar International Corp. 14/11/2022 Goldman Sachs International 108,975 USD (6,539)New China Life Insurance Co. Ltd. 05/12/2022 JPMorgan Chase Bank, N.A. 75 USD (26)New East New Materials Co. Ltd. 20/12/2022 JPMorgan Chase Bank, N.A. 800 USD 847New Huadu Supercenter Co. Ltd. 19/12/2022 JPMorgan Chase Bank, N.A. 10,100 USD (435)New Trend Intern 14/10/2022 JPMorgan Chase Bank, N.A. 71 USD 1Ningbo Henghe Mould Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 31,400 USD (2,587)Ningbo Jifeng Auto Parts Co. Ltd. 20/12/2022 JPMorgan Chase Bank, N.A. 7,500 USD (986)Ningbo Joyson Electronic Corp. 21/11/2022 JPMorgan Chase Bank, N.A. 6,800 USD (487)Ningbo Lehui International Engineering Equipment Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 2,900 USD 457Ningbo Ligong Environment And Energy Technology Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 15,800 USD (1,361)Ningbo Orient Wires & Cables Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 40 USD 6Ningbo Peacebird Fashion Co. Ltd. 08/11/2022 JPMorgan Chase Bank, N.A. 32,117 USD (2,367)Ningbo Ronbay New Energy Technology Co. Ltd. 27/09/2022 JPMorgan Chase Bank, N.A. 46,261 USD (2,633)Ningbo Solartron Technology Co. Ltd. 12/12/2022 JPMorgan Chase Bank, N.A. 152 USD 31



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Fair ValueUSD

Buys (continued)

Ningbo Tianlong Electronics Co. Ltd. 05/12/2022 JPMorgan Chase Bank, N.A. 48 USD (2)Ningbo Yunsheng Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 36,200 USD 238Ningbo Yunsheng Co. Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 5,800 USD 53Ningbo Zhongda Leader Intelligent Transmission Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 12,400 USD (1,508)Ningxia Baofeng Energy Group Co. Ltd. 23/11/2022 JPMorgan Chase Bank, N.A. 176,545 USD 2,107Ningxia Younglight Chemicals Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 29,700 USD (280)Nor, Inc.o International Cooperation Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 51 USD -Norbord, Inc. 23/11/2022 JPMorgan Chase Bank, N.A. 67,600 CAD (45,141)North Electro-Optic Co. Ltd. 13/12/2022 JPMorgan Chase Bank, N.A. 25,200 USD 1,450NSFOCUS Technologies Group Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 12,741 USD (1,059)NWI BDMSF 16/08/2021 Morgan Stanley Capital Services LLC 946,463 USD 1,262,889Ocean's King Lighting Science & Technology Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 80 USD (5)Oceanwide Holdings Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 39,400 USD (464)Offcn Education Technology Co. Ltd. 19/10/2022 JPMorgan Chase Bank, N.A. 24,008 USD (11,711)Offshore Oil Engineering Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 28,100 USD 366Omnijoi Media Corp. 07/12/2022 JPMorgan Chase Bank, N.A. 23,600 USD (473)Oppein Home Group, Inc. 02/12/2022 JPMorgan Chase Bank, N.A. 5,800 USD 6,202ORG Technology Co. Ltd. 27/12/2022 JPMorgan Chase Bank, N.A. 26,100 USD (2,042)Ourpalm Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 29,100 USD (132)Parsley Energy, Inc. 25/10/2022 Goldman Sachs International 191,308 USD 88,002Pengxin International Mining Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 275,000 USD (1,288)Perfect World Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 31,500 USD 167Petpal Pet Nutrition Technology Co. Ltd. 18/10/2022 JPMorgan Chase Bank, N.A. 40,000 USD (4,413)Petpal Pet Nutrition Technology Co. Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 10,400 USD 1,349PetroChina Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 30,600 USD (224)PharmaBlock Sciences Nanjing, Inc. 14/09/2022 JPMorgan Chase Bank, N.A. 6,280 USD 4,839Pharmaron Beijing Co. Ltd. 08/11/2022 JPMorgan Chase Bank, N.A. 9,911 USD 3,098Phenix Optical Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 11,700 USD (595)Piesat Information Technology Co. Ltd. 21/09/2022 JPMorgan Chase Bank, N.A. 178 USD 58Ping An Bank Co. Ltd. 28/09/2022 JPMorgan Chase Bank, N.A. 67,406 USD 4,253Ping An Insurance Group Co of China Ltd. 18/11/2022 JPMorgan Chase Bank, N.A. 17 USD 7PNM Resources, Inc. 25/10/2022 Goldman Sachs International 118,711 USD (64,104)Poly Union Chemical Holding Group Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 32,600 USD (2,041)Porton Pharma Solutions Ltd. 17/10/2022 JPMorgan Chase Bank, N.A. 9,700 USD (570)Princeton IT Services, Inc. 20/12/2022 JPMorgan Chase Bank, N.A. 133 USD (14)Proya Cosmetics Co. Ltd. 02/11/2022 JPMorgan Chase Bank, N.A. 2,307 USD 505



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Buys (continued)

Puyang Refractories Group Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 13,000 USD (326)Qijing Machinery Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 7,220 USD 41Qingdao Gon Technology Co. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 77 USD 8Qingdao Haier Biomedical Co. Ltd. 28/11/2022 JPMorgan Chase Bank, N.A. 73 USD (71)Qingdao Hiron Commercial Cold Chain Co. Ltd. 24/10/2022 JPMorgan Chase Bank, N.A. 1,306 USD 682Qingdao Huicheng Environmental Technology Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 10,679 USD (2,795)Qingdao Richen Food Co. Ltd. 19/12/2022 JPMorgan Chase Bank, N.A. 6,817 USD 621Qingdao Weflo Valve Co. Ltd. 30/11/2022 JPMorgan Chase Bank, N.A. 50 USD 9QuakeSafe Technologies Co. Ltd. 02/11/2022 JPMorgan Chase Bank, N.A. 14,000 USD (3,825)QuakeSafe Technologies Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 2,100 USD (392)Quectel Wireless Solutions Co. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 2,209 USD (490)Qumei Home Furnishings Group Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 17,400 USD (1,451)Raytron Technology Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 6,196 USD (1,586)Repsol SA 30/08/2022 Morgan Stanley Capital Services LLC 6,320 EUR 3,166Rising Nonferrous Metals Share Co. Ltd. 09/12/2022 JPMorgan Chase Bank, N.A. 20 USD (4)Riyue Heavy Industry Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 40,700 USD 3,323Roadmaint Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 100 USD (1)Robotechnik Intelligent Technology 26/10/2022 JPMorgan Chase Bank, N.A. 90 USD (20)Rongfeng Holding Group Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 9,100 USD 13Rongsheng Petro Chemical Co. Ltd. 08/11/2022 JPMorgan Chase Bank, N.A. 37,317 USD 5,433Royal Group Co. Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 86,900 USD (1,408)RSA Insurance Group plc 22/11/2022 Goldman Sachs International 425,987 GBP (6,990)SAIC Motor Corp. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 24 USD (1)Sanan Optoelectronics Co. Ltd. 30/11/2022 JPMorgan Chase Bank, N.A. 7,400 USD (23)Sanbian Sci-Tech Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 2,300 USD (117)Sangfor Technologies, Inc. 23/11/2022 JPMorgan Chase Bank, N.A. 690 USD 508Sanquan Food Co. Ltd. 16/09/2022 JPMorgan Chase Bank, N.A. 75 USD (1)Sansteel Minguang Co. Ltd. Fujian 30/12/2022 JPMorgan Chase Bank, N.A. 27,900 USD 169Sanwei Sports Goods Ltd. 11/10/2022 JPMorgan Chase Bank, N.A. 40 USD 3Sanxiang Impression Co. Ltd. 12/12/2022 JPMorgan Chase Bank, N.A. 36,200 USD (104)SDIC Power Holdings Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 29,900 USD 85SF Holding Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 3,600 USD 497SG Micro Corp. 18/11/2022 JPMorgan Chase Bank, N.A. 13 USD (31)SGSG Science & Technology Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 7,500 USD (140)Shaanxi Coal Industry Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 92,000 USD 510Shaanxi Construction Machinery Co. Ltd. 27/09/2022 JPMorgan Chase Bank, N.A. 50 USD (10)Shaanxi Panlong Pharmaceutical Group Ltd. By Share Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 9,500 USD (931)Shaanxi Xinghua Chemistry Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 800 USD 8



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Buys (continued)

Shandong Bohui Paper Industrial Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 26,800 USD 484Shandong Chenming Paper Holdings Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 18,300 USD (149)Shandong Dawn Polymer Co. Ltd. 02/11/2022 JPMorgan Chase Bank, N.A. 65 USD 22Shandong Delisi Food Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 23,700 USD (1,501)Shandong Fengyuan Chemical Co. 03/01/2023 JPMorgan Chase Bank, N.A. 6,400 USD 1,161Shandong Haihua Co. Ltd. 23/11/2022 JPMorgan Chase Bank, N.A. 43,800 USD 645Shandong Himile Mechanical Science & Technology Co. Ltd. 18/10/2022 JPMorgan Chase Bank, N.A. 8,414 USD 4,398Shandong Hongyu Agricultural Machinery Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 900 USD 326Shandong Hualu Hengsheng Chemical Co. Ltd. 21/11/2022 JPMorgan Chase Bank, N.A. 5,299 USD (34)Shandong Huifa Foodstuff Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 5,000 USD 107Shandong Liancheng Precision Manufacturing Co. Ltd. 11/10/2022 JPMorgan Chase Bank, N.A. 76,700 USD (14,984)Shandong Longda Meat Foodstuff Co. Ltd. 16/11/2022 JPMorgan Chase Bank, N.A. 19,483 USD 66Shandong Ruifeng Chemical Co. Ltd. 28/11/2022 JPMorgan Chase Bank, N.A. 1,060 USD 135Shandong Shuangyi Technology Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 23,500 USD (19,252)Shandong Taihe Water Treatment Technologies Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 10,460 USD (3,427)Shandong Weida Machinery Co. Ltd. 09/11/2022 JPMorgan Chase Bank, N.A. 2,000 USD (50)Shanghai Acrel Co. Ltd. 06/12/2022 JPMorgan Chase Bank, N.A. 31,600 USD (124)Shanghai AtHub Co. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 2,688 USD (610)Shanghai Baosight Software Co. Ltd. 20/12/2022 JPMorgan Chase Bank, N.A. 9,300 USD 5,364Shanghai Bright Power Semiconductor 28/11/2022 JPMorgan Chase Bank, N.A. 937 USD 96Shanghai Daimay Automotive Interior Co. Ltd. 09/11/2022 JPMorgan Chase Bank, N.A. 15 USD (3)Shanghai Datun Energy Resources Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 30,700 USD (740)Shanghai Diesel Engine Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 15,300 USD 38Shanghai East China Computer Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 65 USD 25Shanghai Electric Group Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 158,300 USD (4,635)Shanghai Friendess Electronic Tech 30/09/2022 JPMorgan Chase Bank, N.A. 132 USD 255Shanghai Ganglian E-Commerce Holdings Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 2,400 USD 1,333Shanghai Greencourt Investment Group Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 16,600 USD 1,211Shanghai Hanbell Precise Machinery Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 11 USD 1Shanghai Haohai Biological Technology Co. Ltd. 15/11/2022 JPMorgan Chase Bank, N.A. 3,077 USD (2,651)Shanghai Huace Navigation Technology Ltd. 14/10/2022 JPMorgan Chase Bank, N.A. 20,440 USD 2,729



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Buys (continued)

Shanghai Huace Navigation Technology Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 33,700 USD 3,875Shanghai Huaming Intelligent Terminal Equipment Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 60,800 USD (5,729)Shanghai International Port Group Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 27,800 USD 573Shanghai Jiao Yun Co. Ltd. 23/12/2022 JPMorgan Chase Bank, N.A. 2,900 USD (185)Shanghai Jinjiang International Hotels Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 16,000 USD (2,516)Shanghai Kehua Bio-Engineering Co. Ltd. 20/09/2022 JPMorgan Chase Bank, N.A. 84,800 USD (25,502)Shanghai Kinlita Chemical Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 43,500 USD 8,029Shanghai Lisheng Racing Co. Ltd. 21/10/2022 JPMorgan Chase Bank, N.A. 55,700 USD (3,924)Shanghai LongYun Media Group Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 17,800 USD (2,887)Shanghai M&G Stationery, Inc. 30/12/2022 JPMorgan Chase Bank, N.A. 6,900 USD 1,674Shanghai Medicilon, Inc. 06/12/2022 JPMorgan Chase Bank, N.A. 1,839 USD 1,026Shanghai MicroPort Endovascular MedTech Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 2,388 USD (4,267)Shanghai Moons' Electric Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 22,000 USD (2,638)Shanghai Nar Industrial Co. Ltd. 13/09/2022 JPMorgan Chase Bank, N.A. 31,400 USD (3,156)Shanghai Pudong Development Bank Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 18,200 USD 290Shanghai RAAS Blood Products Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 17,400 USD 215Shanghai Shimao Co. Ltd. 11/10/2022 JPMorgan Chase Bank, N.A. 20 USD (2)Shanghai Sinotec Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 40 USD (7)Shanghai SK Petroleum & Chemical Equipment Corp. Ltd. 26/09/2022 JPMorgan Chase Bank, N.A. 9 USD -Shanghai Smith Adhesive New Material Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 9,700 USD 723Shanghai Sunglow Packaging Technology Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 692 USD (58)Shanghai Weihong Electronic Technology Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 12,400 USD (2,225)Shanghai Welltech Automation Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 1 USD -Shanghai Xinnanyang Only Education & Technology Co. Ltd. 16/09/2022 JPMorgan Chase Bank, N.A. 34 USD -Shanghai Xuerong Bio-Technology Co. Ltd. 20/12/2022 JPMorgan Chase Bank, N.A. 106,800 USD 231Shanghai Yaoji Technology Co. Ltd. 19/09/2022 JPMorgan Chase Bank, N.A. 3 USD (1)Shanghai Yatong Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 800 USD 12Shanghai Yongguan Adhesive Products Corp. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 9,900 USD 951Shanxi C&Y Pharmaceutical Group Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 17,600 USD 297Shanxi Coking Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 67,300 USD (4,669)Shanxi Coking Coal Energy Group Co. Ltd. 19/12/2022 JPMorgan Chase Bank, N.A. 39,290 USD 429Shanxi Lanhua Sci-Tech Venture Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 30,900 USD (86)Shanxi Meijin Energy Co. Ltd. 23/11/2022 JPMorgan Chase Bank, N.A. 369,500 USD (4,339)



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Buys (continued)

Shanxi Road & Bridge Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 62,600 USD (428)Shanxi Xinghuacun Fen Wine Factory Co. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 1,600 USD 13,133Shanxi Yongdong Chemistry Industry Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 32,200 USD 1,149Shenghe Resources Holding Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 180,730 USD 6,478Shengyi Technology Co. Ltd. 13/12/2022 JPMorgan Chase Bank, N.A. 5,900 USD (34)Shenke Slide Bearing Corp. 30/12/2022 JPMorgan Chase Bank, N.A. 17,900 USD 67Shenma Industry Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 18,700 USD (20)Shenyang Xingqi Pharmaceutical Co. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 2,751 USD (637)Shenyu Communication Technology, Inc. 05/12/2022 JPMorgan Chase Bank, N.A. 12,300 USD (1,973)Shenzhen Anche Technologies Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 4,200 USD (20)Shenzhen Asia Link Technology Development Co. Ltd. 06/12/2022 JPMorgan Chase Bank, N.A. 46,300 USD (1,301)Shenzhen Capol International & Associates Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 85,300 USD (11,199)Shenzhen Chengxin Lithium Group Co. Ltd. 16/11/2022 JPMorgan Chase Bank, N.A. 76 USD 18Shenzhen Chengxin Lithium Group Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 9,700 USD 1,726Shenzhen Chipscreen Biosciences Co. Ltd. 19/12/2022 JPMorgan Chase Bank, N.A. 100 USD (36)Shenzhen Comix Group Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 35,121 USD (424)Shenzhen Cotran New Material Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 12,193 USD 214Shenzhen Dynanonic Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 40 USD 70Shenzhen Ellassay Fashion Co. Ltd. 09/11/2022 JPMorgan Chase Bank, N.A. 1,700 USD 191Shenzhen Fine Made Electronics Group Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 1,200 USD (25)Shenzhen Fuanna Bedding and Furnishing Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 10,600 USD 85Shenzhen Genvict Technologies Co. Ltd. 07/11/2022 JPMorgan Chase Bank, N.A. 50 USD 3Shenzhen GuoHua Network Security Technology Co. Ltd. 23/12/2022 JPMorgan Chase Bank, N.A. 27,500 USD (2,893)Shenzhen Inovance Technology Co. Ltd. 08/11/2022 JPMorgan Chase Bank, N.A. 20,200 USD 7,409Shenzhen Jieshun Science And Technology Industry Co. Ltd. 07/11/2022 JPMorgan Chase Bank, N.A. 4,800 USD (250)Shenzhen Jinjia Group Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 30,700 USD (2,210)Shenzhen Jinxinnong Technology Co. Ltd. 21/10/2022 JPMorgan Chase Bank, N.A. 147,100 USD (15,778)Shenzhen Jt Automation Equipment Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 118,700 USD 3,020Shenzhen Kaizhong Precision Technology Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 11,855 USD (843)Shenzhen Kangtai Biological Products Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 9,700 USD 6,764Shenzhen Kexin Communication Technologies Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 8,800 USD 639



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Buys (continued)

Shenzhen Leaguer Co. Ltd. 31/10/2022 JPMorgan Chase Bank, N.A. 107,500 USD (2,091)Shenzhen Lifotronic Technology Co. Ltd. 09/12/2022 JPMorgan Chase Bank, N.A. 277 USD 31Shenzhen Magic Design & Decoration Engineering Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 40 USD (5)Shenzhen Mingdiao Decoration Co. Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 44,200 USD (704)Shenzhen MTC Co. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 36,900 USD 582Shenzhen New Land Tool Planning & Architectural Design Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 11,400 USD (1,284)Shenzhen New Nanshan Holding Group Co. Ltd. 23/12/2022 JPMorgan Chase Bank, N.A. 74 USD 10ShenZhen QuanXinHao Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 22,352 USD (5,491)Shenzhen Rapoo Technology Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 10,200 USD 377Shenzhen Ruihe Construction Decoration Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 19,900 USD (1,024)Shenzhen Senior Technology Material Co. Ltd. 28/11/2022 JPMorgan Chase Bank, N.A. 21,794 USD (2,638)Shenzhen Shengxunda Technology Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 7,800 USD (1,919)Shenzhen Sinovatio Technology Co. Ltd. 06/12/2022 JPMorgan Chase Bank, N.A. 3 USD (1)Shenzhen Sunlord Electronics Co. Ltd. 23/11/2022 JPMorgan Chase Bank, N.A. 13,191 USD (1,380)Shenzhen Sunnypol Optoelectronics Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 1,100 USD 1,192Shenzhen Sunway Communication Co. Ltd. 19/10/2022 JPMorgan Chase Bank, N.A. 45,913 USD (15,192)Shenzhen Techand Ecology & Environment Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 23,400 USD (506)Shenzhen Textile Holdings Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 52,600 USD (342)Shenzhen Topband Co. Ltd. 25/10/2022 JPMorgan Chase Bank, N.A. 129,600 USD (4,110)Shenzhen Topband Co. Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 173,700 USD 673Shenzhen Transsion Holdings Co. Ltd. 28/10/2022 JPMorgan Chase Bank, N.A. 1,889 USD 4,475Shenzhen TVT Digital Technology Co. Ltd. 31/10/2022 JPMorgan Chase Bank, N.A. 32,218 USD (2,849)Shenzhen TXD Technology Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 9,900 USD 282Shenzhen Urovo Technology Co. Ltd. 18/10/2022 JPMorgan Chase Bank, N.A. 15,860 USD (498)Shenzhen Urovo Technology Co. Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 7,000 USD (147)Shenzhen World Union Group, Inc. 31/10/2022 JPMorgan Chase Bank, N.A. 10 USD -Shenzhen YUTO Packaging Technology Co. Ltd. 14/10/2022 JPMorgan Chase Bank, N.A. 19 USD 6Shenzhen Zhilai Sci and Tech Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 6,800 USD (175)Shenzhen Zhongheng Huafa Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 60 USD 3



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Buys (continued)

Shifeng Cultural Development Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 100 USD 3Shijiazhuang Tonhe Electronics Technologies Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 16,100 USD (466)Shijiazhuang Yiling Pharmaceutical Co. Ltd. 18/10/2022 JPMorgan Chase Bank, N.A. 46,500 USD 2,210Shunfa Hengye Corp. 09/12/2022 JPMorgan Chase Bank, N.A. 139,700 USD (1,432)Sichuan Dowell Science and Technology, Inc. 02/12/2022 JPMorgan Chase Bank, N.A. 36,400 USD (2,973)Sichuan Golden Summit Group 04/01/2023 JPMorgan Chase Bank, N.A. 12,800 USD 28Sichuan Guangan AAA PCL 23/12/2022 JPMorgan Chase Bank, N.A. 12,800 USD (25)Sichuan Huiyuan Optical Communications Co. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 46,900 USD (1,711)Sichuan Jiuyuan Yinhai Software Co. Ltd. 22/11/2022 JPMorgan Chase Bank, N.A. 4,720 USD (366)Sichuan Kelun Pharmaceutical Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 16,000 USD (447)Sichuan Xun You Network Technology Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 5,400 USD (12)Sichuan Yahua Industrial Group Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 2,500 USD 999Sino Medical Sciences Technology, Inc. 16/11/2022 JPMorgan Chase Bank, N.A. 46,846 USD (5,410)Sino-Agri Leading Biosciences Co. Ltd. 20/12/2022 JPMorgan Chase Bank, N.A. 40 USD (4)Sinofibers Technology Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 10,100 USD 5,770Sinosoft Co. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 6,191 USD (2,289)Sinosteel New Materials Co. Ltd. 12/12/2022 JPMorgan Chase Bank, N.A. 75 USD (3)Slack Technologies, Inc. 06/12/2022 JPMorgan Chase Bank, N.A. 94,350 USD (31,136)SMS Electric Co. Ltd. 30/09/2022 JPMorgan Chase Bank, N.A. 20 USD (2)Southern Shuanglin Bio-pharmacy Co. Ltd. 28/10/2022 JPMorgan Chase Bank, N.A. 21 USD (3)Spring Airlines Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 5,100 USD 295Streamax Technology Co. Ltd. 21/11/2022 JPMorgan Chase Bank, N.A. 2,500 USD (1,260)Sumec Corp. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 23,400 USD 755Sungrow Power Supply Co. Ltd. 07/11/2022 JPMorgan Chase Bank, N.A. 45,643 USD 44,014Suntront Techonology Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 28,600 USD (171)Sunwoda Electronic Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 4,100 USD 392Suzhou Dongshan Precision Manufacturing Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 14,000 USD (276)Suzhou Etron Technologies Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 8,600 USD (1,668)Suzhou Goldengreen Technologies Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 16,200 USD 21Suzhou Harmontronics Automation Technology Co. Ltd. 17/10/2022 JPMorgan Chase Bank, N.A. 31,493 USD 160Suzhou HYC Technology Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 11,126 USD 283Suzhou Hycan Holdings Co. Ltd. 23/11/2022 JPMorgan Chase Bank, N.A. 64,700 USD (2,571)Suzhou Secote Precision Electronic Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 14,400 USD (973)Suzhou TFC Optical Communication Co. Ltd. 14/11/2022 JPMorgan Chase Bank, N.A. 57 USD (1)Suzhou TZTEK Technology Co. Ltd. 17/10/2022 JPMorgan Chase Bank, N.A. 12,525 USD (2,299)



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Fair ValueUSD

Buys (continued)

Suzhou Xingye Materials Technology Co. Ltd. 28/11/2022 JPMorgan Chase Bank, N.A. 7,300 USD (672)SVG Optronics Co. Ltd. 30/11/2022 JPMorgan Chase Bank, N.A. 12,500 USD 764Tangshan Huizhong Instrumentation Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 13,080 USD (685)Tangshan Sanyou Chemical Industries Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 47,900 USD (130)TCF Financial Corp. 16/12/2022 Goldman Sachs International 59,800 USD 51,187TDG Holdings Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 120,200 USD 5,824Tech-Bank Food Co. Ltd. 08/11/2022 JPMorgan Chase Bank, N.A. 34,499 USD (2,535)Teranga Gold Corp. 18/11/2022 JPMorgan Chase Bank, N.A. 4,900 CAD (3,734)The Republic Of Cote D'Ivoire 17/12/2021 J.P. Morgan Securities LLC 5,989,900 EUR 32,487The Republic Of Cote D'Ivoire 17/12/2021 J.P. Morgan Securities LLC 4,492,425 EUR -Thinkingdom Media Group Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 17,600 USD 4,012Three Squirrels, Inc. 30/12/2022 JPMorgan Chase Bank, N.A. 4,200 USD 619Thunder Software Technology Co. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 25,293 USD 41,642Tianjin Guifaxiang 18th Street Mahua Food Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 14,600 USD (3,944)Tianjin Keyvia Electric Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 300 USD 2Tianjin Lvyin Landscape and Ecology Construction Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 25,730 USD (187)Tianjin Pengling Group Co. Ltd. 30/09/2022 JPMorgan Chase Bank, N.A. 10 USD -Tianjin Ringpu Bio-Technology Co. Ltd. 18/10/2022 JPMorgan Chase Bank, N.A. 25,660 USD (5,584)Tianqi Lithium Corp. 23/11/2022 JPMorgan Chase Bank, N.A. 20 USD 13Tianrun Industry Technology Co. Ltd. 31/10/2022 JPMorgan Chase Bank, N.A. 6,800 USD (220)Tianshui Zhongxing Bio-technology Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 6,200 USD (142)Tibet GaoZheng Explosive Co. Ltd. 09/11/2022 JPMorgan Chase Bank, N.A. 86 USD (7)Tibet Huayu Mining Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 10,200 USD 1,237Tibet Mineral Development Co. 28/11/2022 JPMorgan Chase Bank, N.A. 45,600 USD (3,344)Tibet Urban Development and Investment Co. Ltd. 27/12/2022 JPMorgan Chase Bank, N.A. 135,225 USD 1,871Tiffany & Co. 30/11/2021 JPMorgan Chase Bank, N.A. 23,016 USD 7,365Tikkurila Oyj 21/12/2022 Goldman Sachs International 33,153 EUR 6,776Tilray, Inc. 20/12/2022 JPMorgan Chase Bank, N.A. 17,100 USD (2,223)TKD Science and Technology Co. Ltd. 09/12/2022 JPMorgan Chase Bank, N.A. 25,500 USD (7,544)TongFu Microelectronics Co. Ltd. 18/10/2022 JPMorgan Chase Bank, N.A. 55,600 USD (3,678)Tonghua Dongbao Pharmaceutical Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 300 USD (15)Tongling Nonferrous Metals Group Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 74,200 USD (442)Tongyu Heavy Industry Co. Ltd. 31/10/2022 JPMorgan Chase Bank, N.A. 196,600 USD (4,026)Tongyu Heavy Industry Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 109,900 USD (350)Topchoice Medical Corp. 21/12/2022 JPMorgan Chase Bank, N.A. 4,600 USD 9,025Traffic Control Technology Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 194 USD (55)Tsingtao Brewery Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 21,857 USD (391)



121




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Buys (continued)

Tus-Pharmaceutical Group Co. Ltd. 20/09/2022 JPMorgan Chase Bank, N.A. 40 USD (5)UE Furniture Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 52,600 USD (134)UniTTEC Co. Ltd. 20/12/2022 JPMorgan Chase Bank, N.A. 31,880 USD 392Vantone Neo Development Group Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 37,400 USD (377)Varian Medical Systems, Inc. 05/08/2022 JPMorgan Chase Bank, N.A. 21,589 USD 8,636Varian Medical Systems, Inc. 08/08/2022 Goldman Sachs International 12,522 USD 5,009Vats Liquor Chain Store Management JSC Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 3,200 USD (1,831)Venustech Group, Inc. 07/12/2022 JPMorgan Chase Bank, N.A. 42,100 USD (8,910)Victory Giant Technology Huizhou Co. Ltd. 19/12/2022 JPMorgan Chase Bank, N.A. 7,900 USD (1,734)Viewshine Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 30,900 USD (689)Vohringer Home Technology Co. Ltd. 12/10/2022 JPMorgan Chase Bank, N.A. 90 USD (9)Waddell & Reed Financial, Inc. 07/12/2022 JPMorgan Chase Bank, N.A. 15,869 USD 4,285Walvax Biotechnology Co. Ltd. 26/10/2022 JPMorgan Chase Bank, N.A. 13,200 USD (1,968)Wanda Film Holding Co. Ltd. 28/11/2022 JPMorgan Chase Bank, N.A. 27,650 USD 1,057Wanda Film Holding Co. Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 54,700 USD 5,736Wangneng Environment Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 9,100 USD 1,274Warom Technology, Inc. Co. 07/12/2022 JPMorgan Chase Bank, N.A. 30,700 USD 3,448Wasu Media Holding Co. Ltd. 23/12/2022 JPMorgan Chase Bank, N.A. 100 USD 2Wedge Industrial Co. Ltd. 30/11/2022 JPMorgan Chase Bank, N.A. 15,059 USD 2Weifu High-Technology Group Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 9,500 USD (763)Well Lead Medical Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 20 USD -Wenzhou Yihua Connector Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 19,100 USD 5Western Mining Co. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 44,800 USD (385)Western Superconducting Technologies Co. Ltd. 13/09/2022 JPMorgan Chase Bank, N.A. 34,420 USD 44,712Whole Easy Internet Technology Co. Ltd. 19/12/2022 JPMorgan Chase Bank, N.A. 90,300 USD (874)Will Semiconductor Co. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 1,010 USD 1,103Willis Towers Watson plc 04/03/2022 Morgan Stanley Capital Services LLC 12,289 USD 36,498Willis Towers Watson plc 11/03/2022 JPMorgan Chase Bank, N.A. 16,328 USD 48,494Winning Health Technology Group Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 11,800 USD 1,568Wonders Information Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 13,600 USD 1,278Wuhan DDMC Culture & Sports Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 19,200 USD (816)Wuhan Department Store Group Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 71 USD (2)Wuhan DR Laser Technology Corp. Ltd. 30/11/2022 JPMorgan Chase Bank, N.A. 4,340 USD 1,881Wuhan Easydiagnosis Biomedicine Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 20,500 USD (1,327)Wuhan Golden Laser Co. Ltd. 20/12/2022 JPMorgan Chase Bank, N.A. 59 USD (17)Wuhan Guide Infrared Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 3,155 USD 255



122




NotionalAmount CCY

Fair ValueUSD

Buys (continued)

Wuhan Jingce Electronic Group Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 5,600 USD 66Wuhan Raycus Fiber Laser Technologies Co. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 3,950 USD 4,584Wuhan Sante Cableways Group Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 28,100 USD (2,460)Wuhan Thalys Medical Technology, Inc. 28/12/2022 JPMorgan Chase Bank, N.A. 200 USD 2Wuhu Conch Profiles and Science Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 20,800 USD 30WuXi AppTec Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 100 USD 92Wuxi Best Precision Machinery Co. Ltd. 19/12/2022 JPMorgan Chase Bank, N.A. 10,200 USD (2,116)Wuxi Commercial Mansion Grand Orient Co. Ltd. 12/12/2022 JPMorgan Chase Bank, N.A. 2,622 USD (43)Wuxi Huadong Heavy Machinery Co. Ltd. 29/12/2022 JPMorgan Chase Bank, N.A. 14,400 USD (471)Wuxi Lead Intelligent Equipment Co. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 35,600 USD 48,169Wuxi Smart Auto-Control Engineering Co. Ltd. 26/10/2022 JPMorgan Chase Bank, N.A. 156 USD (6)Wuxi Xuelang Environmental Technology Co. Ltd. 12/12/2022 JPMorgan Chase Bank, N.A. 38,700 USD (1,267)Xiamen Anne Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 50 USD (3)Xiamen Comfort Science & Technology Group Co. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 58,200 USD (1,597)Xiamen Faratronic Co. Ltd. 15/11/2022 JPMorgan Chase Bank, N.A. 12 USD 4Xiamen Intretech, Inc. 04/01/2023 JPMorgan Chase Bank, N.A. 1,900 USD (123)Xiamen Jihong Technology Co. Ltd. 23/09/2022 JPMorgan Chase Bank, N.A. 24 USD 4Xiamen Meiya Pico Information Co. Ltd. 18/10/2022 JPMorgan Chase Bank, N.A. 78,592 USD (8,506)Xiamen Xindeco Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 27,600 USD (1,484)Xi'an Bright Laser Technologies Co. Ltd. 27/09/2022 JPMorgan Chase Bank, N.A. 229 USD 807Xi'an Tourism Co. Ltd. 06/12/2022 JPMorgan Chase Bank, N.A. 1 USD -Xiandai Investment Co. Ltd. 19/12/2022 JPMorgan Chase Bank, N.A. 43,400 USD 56Xilinx, Inc. 31/10/2022 Goldman Sachs International 42,977 USD (150,849)Xingye Leather Technology Co. Ltd. 07/11/2022 JPMorgan Chase Bank, N.A. 9,700 USD 2,393Xinjiang Ba Yi Iron & Steel Co. Ltd. 30/11/2022 JPMorgan Chase Bank, N.A. 47,800 USD 696Xinjiang Goldwind Science & Technology Co. Ltd. 21/11/2022 JPMorgan Chase Bank, N.A. 15,800 USD 1,268Xinjiang International Industry Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 59,800 USD (180)Xinjiang Joinworld Co. Ltd. 31/10/2022 JPMorgan Chase Bank, N.A. 201,900 USD (9,151)Xinjiang Korla Pear Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 23,701 USD 3,123Xinjiang Zhongtai Chemical Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 21,000 USD 1,006Xinjiang Zhundong Petroleum Technology Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 44,500 USD (2,081)Xinyangfeng Agricultural Technology Co. Ltd. 28/09/2022 JPMorgan Chase Bank, N.A. 97,108 USD 19,496



123




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Buys (continued)

Xiongan Kerong Environment Co. Ltd. 19/12/2022 JPMorgan Chase Bank, N.A. 22,500 USD (965)Xuancheng Valin Precision Technology Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 14,600 USD (1,411)Xuzhou Handler Special Vehicle Co. Ltd. 28/09/2022 JPMorgan Chase Bank, N.A. 86 USD (4)Yangzhou Chenhua New Material Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 14,400 USD (548)Yankershop Food Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 20 USD (27)Yankershop Food Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 4,100 USD (4,485)Yantai Changyu Pioneer Wine Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 30,677 USD (10,138)Yantai China Pet Foods Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 50 USD (2)Yantai Dongcheng Pharmaceutical Co. Ltd. 23/12/2022 JPMorgan Chase Bank, N.A. 19,700 USD (2,871)Yantai Jereh Oilfield Services Group Co. Ltd. 28/11/2022 JPMorgan Chase Bank, N.A. 18,195 USD 1,411Yantai Zhenghai Bio-tech Co. Ltd. 19/10/2022 JPMorgan Chase Bank, N.A. 98 USD (71)Yanzhou Coal Mining Co. Ltd. 13/12/2022 JPMorgan Chase Bank, N.A. 21,500 USD (266)Yifeng Pharmacy Chain Co. Ltd. 02/11/2022 JPMorgan Chase Bank, N.A. 10,370 USD (2,268)Yijiahe Technology Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 1,400 USD (54)Yindu Kitchen Equipment Co. Ltd. 30/11/2022 JPMorgan Chase Bank, N.A. 37,500 USD (704)Yingkou Jinchen Machinery Co. 04/01/2023 JPMorgan Chase Bank, N.A. 8,400 USD 77Yipinhong Pharmaceutical Co. Ltd. 30/11/2022 JPMorgan Chase Bank, N.A. 6,400 USD (353)Yixintang Pharmaceutical Group Co. Ltd. 21/10/2022 JPMorgan Chase Bank, N.A. 5,948 USD (2,877)Yonggao Co. Ltd. 21/11/2022 JPMorgan Chase Bank, N.A. 261,000 USD (1,219)Yonyou Network Technology Co. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 97 USD 31Yuhuan CNC Machine Tool Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 52,900 USD (3,683)Yunda Holding Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 17,200 USD (206)Yunnan Aluminium Co. Ltd. 28/11/2022 JPMorgan Chase Bank, N.A. 80 USD (1)Yunnan Baiyao Group Co. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 2,500 USD 1,291Yunnan Chihong Zinc & Germanium Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 238,700 USD (940)Yunnan Energy New Material Co. Ltd. 09/11/2022 JPMorgan Chase Bank, N.A. 1,441 USD 238Yunnan Luoping Z, Inc. & Electricity Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 45,000 USD 5,167YunNan Metropolitan Real Estate Development Co. Ltd. 23/12/2022 JPMorgan Chase Bank, N.A. 18,900 USD (147)Yunnan Tin Co. Ltd. 28/11/2022 JPMorgan Chase Bank, N.A. 29,400 USD 595Yunnan Xiyi Industrial Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 22,000 USD (1,587)Yunnan Yuntianhua Co. Ltd. 05/12/2022 JPMorgan Chase Bank, N.A. 34,800 USD 488Yusys Technologies Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 20,000 USD (903)Zanyu Technology Group Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 14,300 USD 118Zhefu Holding Group Co. Ltd. 18/10/2022 JPMorgan Chase Bank, N.A. 62,930 USD 753Zhejiang Anglikang Pharmaceutical Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 21,200 USD (2,257)Zhejiang Bangjie Holding Group Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 8,800 USD (99)



124




NotionalAmount CCY

Fair ValueUSD

Buys (continued)

Zhejiang Century Huatong Group Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 18,200 USD 197Zhejiang Cfmoto Power Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 2,600 USD 1,645Zhejiang Changsheng Sliding Bearings Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 12,700 USD (2,700)Zhejiang Chengbang Landscape Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 300 USD (9)Zhejiang Chint Electrics Co. Ltd. 09/12/2022 JPMorgan Chase Bank, N.A. 4,100 USD 1,344Zhejiang Dahua Technology Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 60,700 USD 5,490Zhejiang Dingli Machinery Co. Ltd. 15/09/2022 JPMorgan Chase Bank, N.A. 47 USD (16)Zhejiang Garden Bio-Chemical High-tech Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 10,000 USD 417Zhejiang Haers Vacuum Containers Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 26,900 USD (680)Zhejiang HangKe Technology, Inc. Co 21/09/2022 JPMorgan Chase Bank, N.A. 11 USD 11Zhejiang Huahai Pharmaceutical Co. Ltd. 09/12/2022 JPMorgan Chase Bank, N.A. 24,300 USD (1,541)Zhejiang Huatong Meat Products Co. Ltd. 12/12/2022 JPMorgan Chase Bank, N.A. 14,461 USD (1,123)ZheJiang Jiaxin Silk Corp. Ltd. 21/11/2022 JPMorgan Chase Bank, N.A. 51 USD 4Zhejiang Jiecang Linear Motion Technology Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 2,801 USD 501Zhejiang Jiemei Electronic & Technology Co. Ltd. 14/09/2022 JPMorgan Chase Bank, N.A. 29 USD (7)Zhejiang Jingxing Paper JSC Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 70,900 USD (128)Zhejiang JIULI Hi-tech Metals Co. Ltd. 28/11/2022 JPMorgan Chase Bank, N.A. 58,270 USD 2,064Zhejiang Jiuzhou Pharmaceutical Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 5,400 USD (95)Zhejiang Jiuzhou Pharmaceutical Co. Ltd. 21/12/2022 JPMorgan Chase Bank, N.A. 34,800 USD 3,754Zhejiang Juhua Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 37,100 USD 357Zhejiang Kaishan Compressor Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 12,600 USD (1,592)Zhejiang KangLongDa Special Protection Technology Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 9,100 USD (15,985)Zhejiang Langdi Group Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 14,900 USD (868)Zhejiang Meida Industrial Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 13,500 USD 801ZheJiang MeiLi High Technology Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 11,700 USD (302)Zhejiang Ming Jewelry Co. Ltd. 23/12/2022 JPMorgan Chase Bank, N.A. 48,300 USD (1,434)Zhejiang Narada Power Source Co. Ltd. 16/12/2022 JPMorgan Chase Bank, N.A. 22,720 USD 2,688Zhejiang Satellite Petrochemical Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 300 USD (4)Zhejiang Shouxiangu Pharmaceutical Co. Ltd. 16/11/2022 JPMorgan Chase Bank, N.A. 90 USD (124)Zhejiang Shuanghuan Driveline Co. Ltd. 11/10/2022 JPMorgan Chase Bank, N.A. 6,515 USD 342Zhejiang Supor Co. Ltd. 09/11/2022 JPMorgan Chase Bank, N.A. 3,943 USD 2,303Zhejiang Three Stars New Materials Co. Ltd. 31/10/2022 JPMorgan Chase Bank, N.A. 54,700 USD (473)



125




NotionalAmount CCY

Fair ValueUSD

Buys (continued)

Zhejiang Tiantai Xianghe Industrial Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 9,900 USD (526)Zhejiang Tiantie Industry Co. Ltd. 20/09/2022 JPMorgan Chase Bank, N.A. 91,094 USD (20,106)Zhejiang Wanliyang Co. Ltd. 21/11/2022 JPMorgan Chase Bank, N.A. 194,200 USD 4,475Zhejiang Wansheng Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 12,040 USD 234Zhejiang Weixing New Building Materials Co. Ltd. 04/11/2022 JPMorgan Chase Bank, N.A. 68,046 USD 902Zhejiang Xianju Pharmaceutical Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 10,900 USD (20)Zhejiang Xinguang Pharmaceutical Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 12,600 USD (1,992)Zhejiang Xinhua Chemical Co. Ltd. 03/01/2023 JPMorgan Chase Bank, N.A. 21,600 USD 1,167Zhejiang Xinnong Chemical Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 6,300 USD (261)Zhejiang Zhongjian Technology Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 14,100 USD 200Zhende Medical Co. Ltd. 12/10/2022 JPMorgan Chase Bank, N.A. 12,470 USD (1,076)Zhende Medical Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 6,500 USD (548)Zhengzhou Coal Mining Machinery Group Co. Ltd. 15/11/2022 JPMorgan Chase Bank, N.A. 179 USD (26)Zheshang Development Group Co. Ltd. 21/09/2022 JPMorgan Chase Bank, N.A. 44,458 USD (142)Zhongbai Holdings Group Co. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 71,700 USD 694Zhongfu Information, Inc. 08/11/2022 JPMorgan Chase Bank, N.A. 6,080 USD 1,206Zhongji Innolight Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 4,300 USD (568)Zhongjin Gold Corp. Ltd. 14/12/2022 JPMorgan Chase Bank, N.A. 46 USD (3)Zhongmin Energy Co. Ltd. 04/01/2023 JPMorgan Chase Bank, N.A. 18,200 USD (154)Zhuhai Bojay Electronics Co. Ltd. 26/10/2022 JPMorgan Chase Bank, N.A. 1,500 USD (843)Zhuhai Enpower Electric Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 4,900 USD (960)Zhuhai Hokai Medical Instruments Co. Ltd. 30/12/2022 JPMorgan Chase Bank, N.A. 16,100 USD (129)Zhuhai Huajin Capital Co. Ltd. 25/10/2022 JPMorgan Chase Bank, N.A. 1,601 USD 49Zhuhai Zhongfu Enterprise Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 32,400 USD 3,501Zhuzhou Hongda Electronics Corp. Ltd. 26/10/2022 JPMorgan Chase Bank, N.A. 15,908 USD 8,022Zhuzhou Kibing Group Co. Ltd. 21/11/2022 JPMorgan Chase Bank, N.A. 25,500 USD 590Zhuzhou Smelter Group Co. Ltd. 28/12/2022 JPMorgan Chase Bank, N.A. 53,400 USD 218Zibo Qixiang Tengda Chemical Co. Ltd. 02/12/2022 JPMorgan Chase Bank, N.A. 32,200 USD (3,071)Zijin Mining Group Co. Ltd. 07/12/2022 JPMorgan Chase Bank, N.A. 130,000 USD 7,704Zoomlion Heavy Industry Science and Technology Co. Ltd. 12/12/2022 JPMorgan Chase Bank, N.A. 145,700 USD (442)

Total Buys 6,947,610

Sells

Advanced Micro Devices, Inc. 31/10/2022 Goldman Sachs International 67,687 USD 102,884

Analog Devices, Inc. 15/07/2022 Goldman Sachs International 44,876 USD (230,663)

Aon plc 04/03/2022 Morgan Stanley Capital Services LLC 12,801 USD (27,138)

Aon plc 05/04/2022 JPMorgan Chase Bank, N.A. 16,255 USD (34,461)

Aphria, Inc. 20/12/2022 JPMorgan Chase Bank, N.A. 19,598 USD 5,683



126




NotionalAmount CCY

Fair ValueUSD

Sells (continued)

Apple, Inc. 25/07/2022 Morgan Stanley Capital Services LLC 2,600 USD (11,596)

AstraZeneca plc 16/12/2022 JPMorgan Chase Bank, N.A. 69,248 USD (21,467)

BancorpSouth Bank 23/07/2021 Morgan Stanley Capital Services LLC 70,244 USD 19,668

Bank of Hawaii Corp. 13/07/2022 Goldman Sachs International 11,826 USD 9,461

Bank of New York Mellon Corp. 21/11/2022 Goldman Sachs International 43,870 USD (42,074)

Builders FirstSource, Inc. 31/08/2022 Goldman Sachs International 107,012 USD (8,561)

CaixaBank SA 21/09/2022 JPMorgan Chase Bank, N.A. 102,690 EUR 1,882

Capitol Federal Financial, Inc. 23/09/2022 Goldman Sachs International 296,115 USD (121,407)

Cathay General Bancorp 23/07/2021 Morgan Stanley Capital Services LLC 109,821 USD (173,517)

Chevron Corp. 25/07/2022 Morgan Stanley Capital Services LLC 3,276 USD 5,373

ConocoPhillips 24/10/2022 Goldman Sachs International 37,105 USD 9,276

Douglas Emmett, Inc. 29/11/2022 Goldman Sachs International 15,181 USD 3,036

Endeavour Mining Corp. 18/11/2022 JPMorgan Chase Bank, N.A. 2,208 CAD 2,376

Exxon Mobil Corp. 25/07/2022 Morgan Stanley Capital Services LLC 8,332 USD 6,082

Financial Select Sector Index 08/03/2022 Morgan Stanley Capital Services LLC 32,176 USD (296,663)

First Citizens BancShares, Inc. 19/10/2022 JPMorgan Chase Bank, N.A. 682 USD 6,554First Commonwealth Financial Corp. 23/07/2021 Morgan Stanley Capital Services LLC 20,155 USD (10,682)First Commonwealth Financial Corp. 14/10/2022 Goldman Sachs International 11,206 USD (5,939)

First Hawaiian, Inc. 09/03/2022 Goldman Sachs International 184,099 USD (152,802)

First Interstate BancSystem, Inc. 23/07/2021 Morgan Stanley Capital Services LLC 2,824 USD (2,965)

First Interstate BancSystem, Inc. 23/09/2022 Goldman Sachs International 16,790 USD (17,630)

Goldman Sachs 03/12/2120 Goldman Sachs International 16,340 USD (65,633)

Goldman Sachs Overweight Crude 19/02/2021 Goldman Sachs International 3,578,500 USD 196,927

Huntington Bancshares, Inc. 16/12/2022 Goldman Sachs International 179,478 USD (59,370)

Just Eat Takeaway.com NV 15/06/2022 JPMorgan Chase Bank, N.A. 8,870 EUR (40,527)

Just Eat Takeaway.com NV 21/06/2022 Goldman Sachs International 16,464 EUR (75,224)

KeyCorp. 15/06/2022 Goldman Sachs International 197,348 USD (130,250)

Marvell Technology Group Ltd. 02/11/2022 Goldman Sachs International 85,220 USD (24,714)

National Bank Holdings Corp. 23/07/2021 Morgan Stanley Capital Services LLC 35,176 USD (4,925)

NewStar Financial, Inc. 23/07/2021 Morgan Stanley Capital Services LLC 8,407 USD -

Northwest Bancshares, Inc. 23/07/2021 Morgan Stanley Capital Services LLC 33,604 USD (16,130)

People's United Financial, Inc. 23/07/2021 Morgan Stanley Capital Services LLC 183,632 USD (23,872)

Pioneer Natural Resources Co. 25/10/2022 Goldman Sachs International 23,833 USD (71,499)

Piper Sandler Cos 19/08/2022 Goldman Sachs International 4,149 USD 7,925

Preferred Bank 23/07/2021 Morgan Stanley Capital Services LLC 43,021 USD (122,180)

Prosperity Bancshares, Inc. 16/03/2022 Goldman Sachs International 44,870 USD (26,473)

Renasant Corp. 11/10/2022 Goldman Sachs International 61,841 USD (82,249)

S&P 500 Index 02/03/2022 Morgan Stanley Capital Services LLC 1,428 USD (87,059)

S&P Regional Banks Select Index 25/10/2022 Morgan Stanley Capital Services LLC 7,584 USD (346,589)

salesforce.com, Inc. 06/12/2022 JPMorgan Chase Bank, N.A. 7,117 USD 28,041

Sandy Spring Bancorp, Inc. 23/07/2021 Morgan Stanley Capital Services LLC 19,022 USD (16,549)

Simmons First National Corp. 20/01/2021 Goldman Sachs International 93,149 USD (71,725)

SL Green Realty Corp. 29/11/2022 Goldman Sachs International 4,006 USD (15,303)

Synchrony Financial 03/06/2021 Goldman Sachs International 49,911 USD (66,382)



127




NotionalAmount CCY

Fair ValueUSD

Sells (continued)

T Rowe Price Group, Inc. 11/03/2022 Goldman Sachs International 7,851 USD (21,433)

US Bancorp 09/03/2022 Goldman Sachs International 45,529 USD (57,367)

Verra Mobility Corp. 14/12/2022 Goldman Sachs International 41,880 USD (3,350)

Vornado Realty Trust 29/04/2022 Goldman Sachs International 40,821 USD (47,352)

Walmart, Inc. 25/07/2022 Morgan Stanley Capital Services LLC 2,305 USD 4,195

Washington Federal, Inc. 23/07/2021 Morgan Stanley Capital Services LLC 15,272 USD (10,385)

West Fraser Timber Co Ltd. 23/11/2022 JPMorgan Chase Bank, N.A. 45,158 CAD 53,215

WEX, Inc. 21/11/2022 Goldman Sachs International 8,391 USD (31,550)

Total Sells (2,213,077)

Unrealised Gain on OTC Total Return Swaps 8,875,115

Unrealised (Loss) on OTC Total Return Swaps (4,140,582)

Net Unrealised Gain on OTC Total Return Swaps 4,734,533

Total Financial Assets and Liabilities at Fair Value Through Profit or Loss — 81.71% (2019 – 78.89%) 1,041,548,743

Cash and Cash Equivalents — 8.56% (2019 – 11.84%) 109,081,524

Other Net Assets — 9.73% (2019 – 9.27%) 124,072,654

Net Assets Attributable to Holders of Redeemable Participating Shares — 100.00% (2019 – 100.00%) 1,274,702,921

% of Total

Portfolio Analysis Assets

Transferable securities admitted to an official stock exchange listing 32.34

Transferable securities dealt in on another regulated market 11.51

Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) 32.22

OTC financial derivative instruments 2.83

Financial derivative instruments dealt in on a regulated market 0.49

Other assets 20.61

100.00

Abbreviation Legend:

CBOT Chicago Board of Trade

CDE Montreal Exchange

CME Chicago Mercantile Exchange

Eurex Eurex Exchange

Euronext Euronext Paris

FUS ICE Futures U,S,

HKFE Hong Kong Futures Exchange Ltd,

ICE Ice Futures Europe

IDEM Italian Derivatives Exchange Market

IMM International Monetary Market (Chicago)

KFE Korea Exchange (Futures Market)

Nasdaq OMX Nasdaq Nordic (comprising the following Nasdaq exchanges - Copenhagen, Stockholm, Helsinki,

Baltic, Iceland and Armenia)

NR Not Rated

NYSE New York Stock Exchange

OSE Osaka Exchange

OTC Over the Counter

SFE ASX Trade24

SGX Singapore Exchange


Total Expense Ratio (“TER”) / Information for Investors in Switzerland

128

Methodology The TER has been calculated on an ex-post basis (i.e. based on the actual costs charged), by reference to the preceding 12 month financial period ended 31 December 2020. The TER is equal to the ratio of the Fund's total operating costs, including Performance Fees, attributable to the relevant share class, to the average net asset value of that share class. Total operating costs are expenses deducted from the assets for the relevant fiscal period. The average net asset value is calculated using the net asset value as at each valuation point.

TER% Performance Fee% Launch Date

Class I (USD) Accumulating 1.82% 0.09% 11 September 2014

Class I (EUR) Accumulating 1.83% 0.07% 02 December 2014

Class I (JPY) Accumulating 1.90% 0.12% 02 February 2015

Class I (CHF) Accumulating 1.75% 0.01% 07 April 2015

Class I (GBP) Distributing 1.77% 0.02% 02 July 2015

Class I (AUD) Accumulating 1.81% 0.04% 11 August 2015

Class A (EUR) Accumulating 2.37% 0.06% 26 April 2016

Class A (USD) Accumulating 2.34% 0.07% 03 May 2016

Class I (GBP) Accumulating 1.91% 0.14% 24 May 2016

Class A (SEK) Accumulating 2.42% 0.11% 25 October 2016

Class I (USD) Distributing 1.84% 0.11% 01 February 2017

Class C (USD) Accumulating 2.16% 0.08% 30 June 2017

Class A (EUR) Distributing 2.34% 0.03% 27 July 2017

Class I (EUR) Distributing 6.81% 5.03% 28 July 2020 The method of calculation of the TER is in accordance with the provisions set out in the “Guidelines on the calculation and disclosure of the Total Expense Ratio (TER) of collective investment schemes” published by the Swiss Funds and Asset Management Association (“SFAMA”) on 16 May 2008, in its current version dated 20 April 2015. Performance data

2020 2019 2018

01/01/20 to 31/12/20 01/01/19 to 31/12/19 01/01/18 to 31/12/18

Launch Date* Net Return % Net Return % Net Return %

Class I (USD) Accumulating 11 September 2014 (6.80) 7.20 (0.37)

Class I (EUR) Accumulating 02 December 2014 (8.25) 4.88 (3.18)

Class I (JPY) Accumulating 02 February 2015 (8.02) 4.97 (2.89)

Class I (CHF) Accumulating 07 April 2015 (9.03) 4.62 (3.64)

Class I (GBP) Distributing 02 July 2015 (8.71) 4.66 (2.28)

Class I (AUD) Accumulating 11 August 2015 (7.66) 6.43 (0.57)

Class I (NOK) Accumulating 16 October 2015 - - (1.81)

Class A (EUR) Accumulating 26 April 2016 (8.75) 4.58 (3.72)

Class A (USD) Accumulating 03 May 2016 (7.31) 6.74 (0.95)

Class I (GBP) Accumulating 24 May 2016 (7.72) 5.91 (2.03)

Class A (SEK) Accumulating 25 October 2016 (8.75) 4.76 (3.74)

Class I (USD) Distributing 01 February 2017 (10.09) 3.03 (2.17)

Class C (USD) Accumulating 30 June 2017 (7.16) 7.16 (0.70)

Class A (EUR) Distributing 27 July 2017 (9.69) 3.92 (3.38)

Class I (EUR) Distributing 28 July 2020 3.60 - - * Where a Share Classes' launch date is within a performance period, figures are shown from the launch date to the end of the relevant period.

Past performance does not guarantee and is not a reliable indicator of future results. Performance is NAV to NAV, and does not take account of commissions and costs incurred on the issue and redemption of units. The Representative and Paying Agent in Switzerland is Société Générale, Paris, Zweigniederlassung Zürich, Talacker 50, Postfach 5070, 8021 Zürich. The Company's Prospectus, key investor information documents (KIIDs) relating to the share classes offered in Switzerland, the Constitution, the latest annual and semi-annual reports, (if applicable) as well as a listing of purchases and sales can be obtained free of charge from the Representative in Switzerland.


Supplemental Unaudited Information Summary of Material Portfolio Changes for the financial year ended 31 December 2020

129

Purchases

Cost

Shares/Principal CCY Security Name USD

125,000,000 USD U.S. Treasury Bills, 0.00%, 24/09/2020 124,996,868


87,000,000 USD Star Compass plc, 0.00%, 18/08/2025 87,000,000





52,740,000 USD Petroleos Mexicanos, 6.75%, 21/09/2047 42,963,964

34,448,000 USD Ukraine Government International Bond, 0.00%, 31/05/2040 33,407,626

22,000,000 USD Alphabeta Access Products Ltd. 22,000,000

18,200,000 USD Gabon Government International Bond, 6.63%, 06/02/2031 17,243,844

529,029 USD Bank of America Corp. 14,772,827

12,695,000 USD Connecticut Avenue Securities Trust, Series 2020-R02, Class 2M2, 2.18%, 25/01/2040 12,695,000

83,709 USD Fidelity National Information Services, Inc. 11,913,420 11,433,874 USD Fannie Mae Connecticut Avenue Securities, Series 2018-C01, Class 1M2C, 2.43%,

25/07/2030 11,613,244

12,000,000 USD Iraq International Bond, 5.80%, 15/01/2028 11,057,500

10,500,000 USD Ivory Coast Government International Bond, 6.13%, 15/06/2033 11,012,151

5,385,000 GBP Aviva plc, 6.88%, 20/05/2058 10,574,095

10,000,000 USD Petrobras Global Finance BV, 5.60%, 03/01/2031 10,347,500

12,000,000 USD Angolan Government International Bond, 9.38%, 08/05/2048 9,465,500

Sales

Proceeds

Shares/Principal CCY Security Name USD

51,650,000 USD Petroleos Mexicanos, 6.75%, 21/09/2047 41,335,039



35,000,000 USD U.S. Treasury Bills, 0.00%, 03/09/2020 34,994,633 33,629,000 USD Fannie Mae Connecticut Avenue Securities, Series 2018-C01, Class 1M2, 2.43%,

25/07/2030 34,224,076

35,500,000 USD Motion Bondco DAC, 6.63%, 15/11/2027 30,591,548

30,648,000 USD Ukraine Government International Bond 7.38% 25/09/2032 28,154,773

28,165,000 USD Petrobras Global Finance BV, 5.09%, 15/01/2030 27,066,269




28,434,375 USD Iraq International Bond, 5.80%, 15/01/2028 23,799,445

24,744,000 USD Intelsat Jackson Holdings SA, 8.50%, 15/10/2024 22,142,846 18,864,111 USD Fannie Mae Connecticut Avenue Securities, Series 2018-C02, Class 2M2, 2.35%,

25/12/2020 19,138,230

19,333,260 USD United States Treasury Inflation Indexed Bonds, 0.13%, 15/07/2026 18,837,845

20,200,000 USD Egypt Government International Bond, 7.90%, 21/02/2048 17,260,530

562,091 USD Bank of America Corp. 15,597,724

15,500,000 USD Ivory Coast Government International Bond, 6.13%, 15/06/2033 14,237,060 16,512,872 USD Fannie Mae Connecticut Avenue Securities, Series 2018-C04, Class 2M2, 2.70%,

25/12/2020 14,186,741 13,031,000 USD Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2, 3.15%,

25/12/2020 13,633,638

Significant portfolio changes are defined as the aggregate purchases of a security exceeding one per cent of the total value of purchases for the financial year and aggregate sales of a security exceeding one per cent of the total value of sales for the financial year. At a minimum, the 20 largest purchases and 20 largest sales must be shown.


Supplemental Unaudited Information (continued) Remuneration Policy

130

In line with the requirements of the UCITS Regulations, the Company has adopted a remuneration policy which is consistent with the principles outlined in the ESMA guidelines on sound remuneration policies under the UCITS Directive (the “Remuneration Guidelines”). The remuneration policy is appropriate to the Company's size, internal organisation and the nature, scope and complexity of its activities. The Company's remuneration policy applies to certain identified staff whose professional activities have a material impact on the risk profile of the Company. As at 31 December 2020, the Company did not have any employees and the Company's remuneration policy applies only to members of the Company's management body (i.e. the board of directors and the Company's designated persons). The directors not affiliated with the Investment Manager receive a fixed annual fee which is in line with the fees paid by other Irish funds and compensates these directors for their tasks, expertise and responsibilities. Directors and designated persons that are employees of the Investment Manager (or an affiliate) are not paid any fees for their services as directors. The remuneration policy is reviewed and approved at least annually by the Board. There were no material changes to the remuneration policy for the financial year ending 31 December 2020. Details of the performance fees paid by the Fund to the Investment Manager / Sub-Advisers are set out in the Statement of Comprehensive Income. Total remuneration paid to non-affiliated directors of the Company for the financial year ended 31 December 2020:

USDFixed remuneration 59,451.66Variable remuneration -Total remuneration paid 59,451.66Number of beneficiaries 2


Supplemental Unaudited Information (continued) Securities Financing Transactions Regulation (“SFTR”)

131

Article 13 of Regulation (EU) 2015/2365 on transparency of securities financing transactions (“SFTs”) and of reuse and amending Regulation (EU) No 648/2012, requires UCITS investment companies to provide the following information on the use made of SFTs and total return swaps (“TRS”). Below are details of the SFTs and TRS held by the Fund as at 31 December 2020. The value of assets engaged in TRS as at 31 December 2020 is as follows:

Total Return Swaps USDValue 4,734,533% of Net Assets 0.37% The counterparties used for the repurchase agreement and TRS as at 31 December 2020 are as follows:

Outstanding Transactions / Country of Establishment

Counterparty Name USDBank of America, N.A. 503,926 United States Citibank, N.A. 11,727 United Kingdom Credit Suisse Securities (USA) LLC 1,235,484 United StatesGoldman Sachs International 502,629 United Kingdom J.P. Morgan Securities LLC 32,487 United States JPMorgan Chase Bank, N.A. 123,775 United States Morgan Stanley Capital Services LLC 2,324,505 United States The TRS are settled on a bi-lateral basis. The maturity tenor of the TRS held as at 31 December 2020 is as follows: USD1 week to 1 month (59,998)1 to 3 months 300,5333 months to 1 year 4,491,048Greater than 1 year 2,950

Collateral The collateral received and pledged in relation to the TRS is in the form of U.S. Dollar cash. The Fund does have the ability to reinvest cash collateral, and will, depending on exposure levels, for bi-lateral collateral received for TRS. The Fund does not have the ability to reinvest cash collateral received and held through tri-party agreement for TRS.


Supplemental Unaudited Information (continued) Securities Financing Transactions Regulation (“SFTR”) (continued)

132

Collateral (continued)

Below are the details of the custodians who are responsible for the safe-keeping of the collateral received in relation to the TRS:

Cash Collateral

USDDepositary/Delegate Total Return Swaps: Barclays Bank plc 350,000 Citibank NA 2,470,000Credit Suisse Securities (Europe) Limited (125,000)Deutsche Bank AG 280,000 Goldman Sachs International 19,753,300JPMorgan Chase Bank, N.A. 20,958,094 Merrill Lynch Capital Services, Inc. 290,000 Morgan Stanley Capital Services LLC 93,737,748State Street Bank and Trust Company (20,110,000) Returns and costs of the TRS:

Total Return Swaps

USDNet gains/(losses) (29,362,596)Net returns (29,362,596) Direct and indirect operational costs are embedded in the cost of the investments in both the repurchase agreement and TRS and are therefore not separately identifiable.


Supplemental Unaudited Information (continued) General Data Protection Regulation ("GDPR")

133

Data Protection Notice

Investors should note that by completing the application form they have provided personal information, which may constitute “personal data” within the meaning of the Irish Data Protection Acts 1988 to 2018, the General Data Protection Regulation (Regulation (EU) 2016/679), the EU ePrivacy Directive 2002/58/EC (as amended), the European Communities (Electronic Communications Networks and Services) (Privacy and Electronic Communications) Regulations 2011 and any relevant transposition of, or successor or replacement to, those laws (including, when it comes into force the successor to the ePrivacy Directive) (together, the “Data Protection Legislation”). Investors’ personal data will be used by the Company for the following purposes:

• to manage and administer an investor’s holding in the Company and any related accounts on an ongoing basis in accordance with the contract between the investor and the Company;

• to carry out statistical analysis and market research as the Company’s legitimate business interest;

• to comply with legal and regulatory obligations applicable to the investor and the Company from time to time including applicable anti-money laundering and counter terrorist financing legislation. In particular, in order to comply with the information reporting regimes set out in Section 891C and Section 891E to Section 891G (inclusive) of the Taxes Consolidation Act 1997 (as amended) and regulations made pursuant to those sections), Shareholders’ personal data (including financial information) may be shared with the Irish Revenue Commissioners. They in turn may exchange information (including personal data and financial information) with foreign tax authorities (including the U.S. Internal Revenue Service and foreign tax authorities located outside the European Economic Area). Please consult the AEOI (Automatic Exchange of Information) webpage on www.revenue.ie for further information in this regard; and

• for any other specific purposes where the investor has given specific consent. Investors’ personal data may be disclosed by the Company to its delegates, professional advisors, service providers, regulatory bodies, auditors, technology providers and any duly authorised agents or related, associated or affiliated companies of the foregoing for the same or related purposes. Investors’ personal data may be transferred to countries which may not have the same or equivalent data protection laws as Ireland. If such transfer occurs, the Company is required to ensure that such processing of investors’ personal data is in compliance with Data Protection Legislation and, in particular, that appropriate measures are in place such as entering into model contractual clauses (as published by the European Commission) or ensuring that the recipient is “Privacy Shield” certified, if appropriate. For more information on the means of transfer of investors’ data or a copy of the relevant safeguards, please contact [email protected]. Pursuant to the Data Protection Legislation, investors have a number of rights which may be exercised in respect of their personal data, i.e.

• the right of access to personal data held by the Company;

• the right to amend and rectify any inaccuracies in personal data held by the Company;

• the right to erase personal data held by the Company;

• the right to data portability of personal data held by the Company; and

• the right to request restriction of the processing of personal data held by the Company; and

• the right to object to processing of personal data by the Company. These rights will be exercisable subject to limitations as provided for in the Data Protection Legislation. In certain circumstances it may not be feasible for the Company to discharge these rights, for example because of the structure of the Company or the manner in which the Shareholder holds Shares in a Fund. Investors may make a request to the Company to exercise these rights by contacting [email protected]. Please note that personal data may be retained by the Company for the duration of an investor’s investment and afterwards in accordance with the Company’s legal and regulatory obligations, including but not limited to the Company’s record retention policy. The Company is a data controller within the meaning of the Data Protection Legislation and undertakes to hold any personal information provided by investors in confidence and in accordance with the Data Protection Legislation. For queries, requests or comments in respect of this notice or the way in which the Company uses investors’ personal data, please contact [email protected]. Investors have the right to lodge a complaint with the Office of the Data Protection Commissioner if they are dissatisfied with the manner in which their personal data is used by the Company. For the avoidance of doubt, the Company is the data controller and State Street Fund Services (Ireland) Limited, as data processor, has agreed to provide the above email address as a contact point to support the Company in discharging its obligations as data controller.

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