ldi solutions plus icav - insight investment...ldi solutions plus icav report of the directors...

LDI SOLUTIONS PLUS ICAV

(An Irish Collective Asset-management Vehicle with Variable Capital and Segregated Liability Between Funds)

ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

FINANCIAL YEAR ENDED 31 DECEMBER 2019

For the Sub-Funds of LDI Solutions Plus ICAV listed on pages 342 to 344.

LDI Solutions Plus ICAV

PAGEContents Report of the Directors 1

Investment Manager’s Report (Unaudited) 8

Portfolio and Schedule of Investments

LDI Solutions Plus RPI Funds 2016-2020 29LDI Solutions Plus RPI Funds 2021-2025 30LDI Solutions Plus RPI Funds 2026-2030 31LDI Solutions Plus RPI Funds 2031-2035 32LDI Solutions Plus RPI Funds 2036-2040 33LDI Solutions Plus RPI Funds 2041-2045 34LDI Solutions Plus RPI Funds 2046-2050 35LDI Solutions Plus RPI Funds 2051-2055 36LDI Solutions Plus RPI Funds 2056-2060 37

LDI Solutions Plus Nominal Funds 2016-2020 38LDI Solutions Plus Nominal Funds 2021-2025 39LDI Solutions Plus Nominal Funds 2026-2030 40LDI Solutions Plus Nominal Funds 2031-2035 41LDI Solutions Plus Nominal Funds 2036-2040 42LDI Solutions Plus Nominal Funds 2041-2045 43LDI Solutions Plus Nominal Funds 2046-2050 44LDI Solutions Plus Nominal Funds 2051-2055 45LDI Solutions Plus Nominal Funds 2056-2060 46LDI Solutions Plus Nominal Funds 2061-2065 47

LDI Active 1 Fund 48LDI Active 2 Fund 52LDI Active 3 Fund 56LDI Active 4 Fund 58LDI Active 5 Fund 61LDI Active 6 Fund 64LDI Active 7 Fund 68LDI Active 8 Fund 73LDI Active 9 Fund 77LDI Active 10 Fund 80LDI Active 16 Fund 82LDI Active 18 Fund 85LDI Active 19 Fund 89LDI Active 21 Fund 91LDI Active 22 Fund 94LDI Active 25 Fund 97LDI Active 27 Fund 99LDI Active 28 Fund 101LDI Active 29 Fund 105LDI Active 33 Fund 109LDI Active 34 Fund 113LDI Active 36 Fund (launched 28 January 2019) 115LDI Active 37 Fund 116LDI Euro Active 38 Fund (launched 14 October 2019) 121LDI Euro Active 39 Fund 122LDI Euro Active 40 Fund 124LDI Active 41 Fund 126LDI Active 42 Fund (launched 21 October 2019) 129LDI Active 43 Fund 131LDI Active 44 Fund 133LDI Active 45 Fund 136LDI Active 46 Fund 140LDI Active 47 Fund 142LDI Active 50 Fund 148


PAGEContents (Continued)LDI Active 51 Fund (launched 27 March 2019) 152LDI Active 53 Fund (launched 17 October 2019) 154LDI Active 54 Fund (launched 28 August 2019) 157LDI Active 55 Fund (launched 28 August 2019) 159LDI Active 59 Fund (launched 19 September 2019) 162LDI Active 60 Fund (launched 11 September 2019) 164LDI Active 76 Fund (launched 14 October 2019) 167

LDI Solutions Plus Partially Funded Index-Linked Gilts Funds 2021-2030 169LDI Solutions Plus Partially Funded Index-Linked Gilts Funds 2031-2040 170LDI Solutions Plus Partially Funded Index-Linked Gilts Funds 2041-2050 171LDI Solutions Plus Partially Funded Index-Linked Gilts Funds 2051-2065 172LDI Solutions Plus Partially Funded Gilts Funds 2021-2030 173LDI Solutions Plus Partially Funded Gilts Funds 2031-2040 174LDI Solutions Plus Partially Funded Gilts Funds 2041-2050 175LDI Solutions Plus Partially Funded Gilts Funds 2051-2065 176

LDI Solutions Plus Funded Index-Linked Gilts Funds 2021-2030 177LDI Solutions Plus Funded Index-Linked Gilts Funds 2031-2040 178LDI Solutions Plus Funded Index-Linked Gilts Funds 2041-2050 179LDI Solutions Plus Funded Index-Linked Gilts Funds 2051-2065 180LDI Solutions Plus Funded Gilts Funds 2031-2040 181LDI Solutions Plus Funded Gilts Funds 2041-2050 182LDI Solutions Plus Funded Gilts Funds 2051-2065 183

LDI Solutions Plus Euro 20 Year Fund 184LDI Solutions Plus Euro 30 Year Fund 185LDI Solutions Plus Allocation Fund 187LDI Solutions Plus Euro 50 Year Swap Fund 188LDI Solutions Plus Euro Assets Fund 190LDI Euro Enhanced Real Fund 192LDI Euro Enhanced Nominal Fund 194

LDI Solutions Plus Inflation Focus Funds 2018-2020 196LDI Solutions Plus Inflation Focus Funds 2021-2030 197LDI Solutions Plus Inflation Focus Funds 2031-2040 198LDI Enhanced Selection Inflation Fund 199LDI Enhanced Selection Longer Nominal Fund 202LDI Enhanced Selection Shorter Real Fund 205LDI Enhanced Selection Shorter Nominal Fund 208LDI Enhanced Selection Longer Real Fund 210

KFM GBP Short Real Fund 214KFM GBP Long Real Fund 216KFM GBP Short Nominal Fund 218KFM GBP Long Nominal Fund 220

HRMSL Longer Real Fund 222HRMSL Longer Nominal Fund 224HRMSL Asymmetric Nominal Fund (launched 4 July 2019) 226HRMSL Asymmetric Real Fund (launched 4 July 2019) 228

LDI Synthetic Global Equity Hedged Fund 230LDI Synthetic Global Equity Unhedged Fund 232

WTW Fiduciary Leveraged Long Fixed Fund 233WTW Fiduciary Leveraged Short Real Fund 235WTW Fiduciary Leveraged Long Real Fund 237WTW Fiduciary Leveraged Short Fixed Fund 239WTW Fiduciary Leveraged Allocation Fund 1 (launched 21 February 2019) 241WTW Fiduciary Leveraged Long Real FX Hedging Fund (launched 31 July 2019) 243


PAGEContents (Continued)Statement of Comprehensive Income 245

Statement of Financial Position 277

Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares 310

Statement of Accounting Policies 342

Notes to the Financial Statements 352

Independent Auditor’s Report 535

Report of the Depositary to the Shareholders 540

Directors and Other Information 541

Unaudited Appendix 542


Report of the Directors

1

The Directors have pleasure in submitting the Annual Report together with the audited Financial Statements for the financial year ended 31 December 2019. The Sub-Funds of LDI Solutions Plus ICAV are listed on pages 342 to 344.

Principal Activities

LDI Solutions Plus ICAV (the “ICAV”) is an umbrella type Irish Collective Asset-management Vehicle which was incorporated on 19 December 2005 under Part XIII of the Companies Act 1990 as a designated investment company with variable capital and segregated liability between Sub-Funds. The ICAV made an application to the Central Bank of Ireland (the “Central Bank”) on 28 March 2018 to convert from a designated investment company to an Irish Collective Asset-management Vehicle, which was approved by the Central Bank on 10 April 2018. The ICAV is authorised by the Central Bank pursuant to the Irish Collective Asset-management Vehicles Act 2015 (the “ICAV Act”) as a Qualifying Investor AIF.

The Central Bank shall not be liable by virtue of its authorisation of the ICAV or by reason of the exercise of the functions conferred on it by legislation in relation to the ICAV for any default of the ICAV. Authorisation of the ICAV does not constitute a warranty by the Central Bank as to the credit worthiness or financial standing of the various parties to the ICAV.

The ICAV is organised in the form of an umbrella fund with segregated liability between Sub-Funds (each a “Fund”, collectively the “Funds”). The ICAV with approval from the Central Bank changed the financial year end for 30 Funds listed on page 4 from 31 December to 30 September during the course of the financial year. A separate set of Financial Statements is available for these Funds.

Shares of more than one class may be issued in relation to a Fund.

The Funds are split into the following categories:

(i) Funds designed to achieve real returns referenced to the Retail Price Index in the United Kingdom which measures the rate of inflation expressed as an index and is published by the Office of National Statistics (the RPI Funds);

(ii) Funds designed to return a nominal rate (the Nominal Funds);(iii) Funds designed to provide Shareholders with nominal and inflation linked returns (the Active Funds);(iv) Funds designed to achieve Euro-denominated nominal and/or inflation-linked returns (the Euro Funds); (v) Funds designed to achieve returns referenced to the UK Retail Price Index (the Inflation Focus Funds (the

IFF Funds));(vi) Funds designed to deliver nominal and inflation-linked returns through primarily investing in UK government

gilts and index-linked gilts (the Gilts Funds);(vii) The Enhanced Selection Funds range comprises the LDI Enhanced Selection Inflation Fund (the Inflation

Fund), LDI Enhanced Selection Longer Nominal Fund (the Longer Nominal Fund), LDI Enhanced Selection Shorter Nominal Fund (the Shorter Nominal Fund), the LDI Enhanced Selection Longer Real Fund (the Longer Real Fund) and LDI Enhanced Selection Shorter Real Fund (the Shorter Real Fund). The Inflation Fund seeks to deliver inflation-linked returns, the Longer Nominal Fund and Shorter Nominal Fund seek to deliver nominal returns and the Longer Real Fund and Shorter Real Fund seek to deliver inflation-linked and nominal returns;

(viii) IIFSG Fund 3 and IIFSG Fund 4 seek to deliver capital growth;(ix) Funds designed to be used by Shareholders seeking to reduce investment risk directly relating to the

Shareholder’s financial solvency and where returns provide retirement benefits (the KFM Funds);(x) Funds designated to deliver nominal returns and/or inflation-linked returns (the HRMSL Funds);(xi) The LDI Synthetic Global Equity Hedged Fund and LDI Synthetic Global Equity Unhedged Fund seeks to

provide exposure to global equity markets; and(xii) Funds designed to be used by Shareholders seeking to reduce investment risk directly relating to the

Shareholder’s financial solvency and who will use any return to provide retirement benefits (the WTW Funds).

Results and Business Review

The results for the financial year are stated on pages 245 to 341 of the Financial Statements.

The development and performance of the Funds during the financial year is discussed in the Investment Manager’s Reports.


Report of the Directors (Continued)

2

Principal Risks and Uncertainties

The principal risks and uncertainties faced by the ICAV are market price risk, liquidity risk, foreign currency risk, credit risk and interest rate risk. Further information on the ICAV’s risk management policies is provided in Note 10.

Changes in the UK Political Environment

In a referendum held on 23 June 2016, the electorate of the United Kingdom voted to leave the EU. This set in train a sustained period of uncertainty which brought about political and economic instability and volatility in the financial markets of the United Kingdom and more broadly across the EU.

The election of a Conservative government with a large majority on 12 December 2019 brought about some political certainty, allowing the government to push through legislation to withdraw from the EU, which came into force on 31 January 2020. Following its exit from the EU, the United Kingdom has entered a transition period and faces a 31 December 2020 deadline to negotiate a trade deal between the United Kingdom and the EU.

The impact of the UK’s exit from the EU is unknown and will depend largely upon the trade deals brokered between the United Kingdom and the EU, as well as extent to which the United Kingdom intends to implement existing EU legislation.

Those decisions could materially and adversely affect the regulatory regime to which Insight Investment Funds Management Limited (the “Investment Manager”) and Insight Investment Management (Global) Limited (the “Sub-Investment Manager”) are currently subject in the United Kingdom, particularly in respect of financial services regulation and taxation.

As the nature of the trade deal between the United Kingdom and the EU is determined, we may see continuing uncertainty and periods of volatility in the United Kingdom and some or all of the other 27 members of the EU (some of which are countries in which the Investment Manager and/or Sub-Investment Manager conducts business) and/or the Eurozone.

There may be detrimental implications for the value of certain of a Fund’s investments, its ability to enter into transactions, to value or realise certain of its investments or otherwise to implement its investment policy. This may be due to, among other things, increased uncertainty and volatility in United Kingdom, EU and other financial markets, fluctuations in asset values, fluctuations in exchange rates, increased illiquidity of investments located, traded or listed within the United Kingdom, the EU or elsewhere, changes in the willingness or ability of financial and other counterparties to enter into transactions, or the price and terms on which they are prepared to transact; and/or changes in legal and regulatory regimes to which LDI Solutions Plus ICAV (the “ICAV”)), the Investment Manager, the Sub-Investment Manager and/or certain of a Fund’s assets are or become subject to.

Insight Investment has a fully regulated Irish entity, Insight Investment Management (Europe) Limited (the “Manager”). The Manager’s main business is the provision of fund management services to collective investment schemes such as the ICAV. The Manager is authorised and supervised by the Central Bank of Ireland as a UCITS management company under the UCITS Regulations and is also authorised by the Central Bank of Ireland as an alternative investment fund manager under the European Union (“Alternative Investment Fund Managers”) Regulations. The Manager has been appointed as the manager of the ICAV pursuant to a management agreement, with power to delegate one or more of its functions, subject to the overall control of the ICAV, so that in the event of any regulatory changes resulting from the United Kingdom leaving the EU, the relationship between the ICAV and its investment manager will remain unchanged.

The Manager has delegated certain functions which include the function of investment management and distributor to the Investment Manager. The Investment Manager is a private limited company incorporated under the laws of England and Wales. It is authorised and regulated by the Financial Conduct Authority (the “FCA”) in the United Kingdom as an authorised fund manager of collective investment schemes. The Investment Manager has in turn, sub-delegated its investment manager function to the Sub-Investment Manager pursuant to a sub-investment management agreement. The Sub-Investment Manager is a private limited company incorporated under the laws of England and Wales which is authorised and regulated by the FCA.



3

In February 2019, the FCA agreed a multilateral memorandum of understanding (“MoU”) with the EU and EEA National Competent Authorities (which includes the Central Bank of Ireland) as well an MoU with the European Securities and Markets Authority (“ESMA”). The MoU supports the cross-border supervision of firms and permits the sharing of information with EU counterparties during the transition period. The MoUs allows for continued close cooperation between the remaining 27 countries of the EU and the United Kingdom. The MoUs also allows for EU fund managers (such as the Manager) to delegate portfolio management services to a UK registered manager (such as the Investment Manager).

Future Developments

The ICAV will continue to act as an investment vehicle as set out in its Prospectus. A review and outlook of the Funds is included in the Investment Manager’s Report.

Directors and Secretary

The ICAV has delegated the day to day management and running of the ICAV in accordance with policies approved by the Directors to the Depositary and the Investment Manager. Consequently, all Directors of the ICAV are non-executive.

The following Directors who held office on 31 December 2019, under the Memorandum and Articles of Association, are not required to retire by rotation:

Michael Boyce*John Fitzpatrick*Barry McGrath*Charles Farquharson**Gregory Brisk** *Directors are non-executive and independent of the Investment Manager - Insight Investment Funds Management Limited.**Directors are non-executive. Directors' and Secretary’s Interests

None of the Directors or the Secretary to the ICAV, held any interest in the shares of the Funds, nor had they any interest in any contract of significance of the Funds during the financial year.

Accounting Records

The Directors are responsible for ensuring that accounting records as outlined in Section 110 of the ICAV Act are kept by LDI Solutions Plus ICAV. To achieve this the Directors have employed Northern Trust International Fund Administration Services (Ireland) Limited. The accounting records are kept at the following address:

Georges Court54-62 Townsend StreetDublin 2Ireland

Transactions with Connected Parties

In accordance with the requirements of the Central Bank’s AIF Rulebook any transaction carried out with the ICAV by a depositary, investment manager and/or associates of these (“connected parties”) are carried out as if negotiated at arm’s length and are in the best interests of the Shareholders.

The Directors of the ICAV are satisfied that there are arrangements (evidence by written procedures) in place to ensure that this requirement is applied to all transactions with connected parties, and that all transactions with connected parties during the period complied with this requirement.

Changes in the UK Political Environment (Continued)



4

Dividends

A detailed policy note is included in Note 4 to the Financial Statements on page 373.

Events During the Financial Year

The ICAV, with approval from the Central Bank, changed the financial year end for the 30 Funds listed below from 31 December to 30 September during the course of the financial year. A separate set of Financial Statements is available for these Funds. The events described overleaf therefore relate only to Funds of the ICAV with a 31 December year end.

Funds with a 30 September year end

IIFIG LDI Active 26 FundIIFIG Fixed Income Fund 2IIFIG Bonds Plus FundIIFIG Broad Opportunities Bond FundIIFIG Loan FundIIFIG Bonds Plus 400 FundIIFIG CRE Loan Fund 1IIFIG Special Buy and Maintain Fund 1IIFIG Secured Finance FundIIFIG Secured Finance II FundIIFIG Government Liquidity FundIIFIG Secured Multi-Asset Credit Fund 1IIFIG Secured Multi-Asset Credit Fund 3IIFIG Secured Multi-Asset Credit Fund 4IIFIG Secured Multi-Asset Credit Fund 5IIFIG Secured Multi-Asset Credit Fund 6IIFIG Secured Multi-Asset Credit Fund 7IIFIG Secured Multi-Asset Credit Fund 8IIFIG Secured Multi-Asset Credit Fund 9IIFIG Secured Multi-Asset Credit Fund 10 (launched 4 March 2019)IIFIG Long Dated Buy and Maintain Bond FundIIFIG Maturing Buy and Maintain Bond Funds 2017-2020IIFIG Maturing Buy and Maintain Bond Funds 2021-2025IIFIG Maturing Buy and Maintain Bond Funds 2026-2030IIFIG Maturing Buy and Maintain Bond Funds 2031-2035IIFIG Maturing Buy and Maintain Bond Funds 2036-2040IIFIG Maturing Buy and Maintain Bond Funds 2041-2045LDI GBP Liquidity Plus Holding FundIIFIG Global ABS FundIIFIG UIV Global ABS Fund

The following Funds were launched during the financial year ended 31 December 2019:

Fund Launches DateLDI Active 36 Fund Launched 28.01.2019WTW Fiduciary Leveraged Allocation Fund 1 Launched 21.02.2019LDI Active 51 Fund Launched 27.03.2019HRMSL Asymmetric Nominal Fund Launched 04.07.2019HRMSL Asymmetric Real Fund Launched 04.07.2019WTW Fiduciary Leveraged Long Real FX Hedging Fund Launched 31.07.2019LDI Active 54 Fund Launched 28.08.2019LDI Active 55 Fund Launched 28.08.2019LDI Active 60 Fund Launched 11.09.2019LDI Active 59 Fund Launched 19.09.2019LDI EUR Active 38 Fund Launched 14.10.2019LDI Active 76 Fund Launched 14.10.2019LDI Active 53 Fund Launched 17.10.2019LDI Active 42 Fund Launched 21.10.2019



5

Additionally, the following Funds were authorised by the Central Bank during the financial year but as at 31 December 2019 had not launched:

Fund Authorisations

WTW Fiduciary Funded Short Real FundLDI Solutions Plus Nominal Funds 2021-2030, 2031-2040, 2041-2050, 2051-2060, 2061-2070LDI Solutions Plus RPI Funds 2021-2030, 2031-2040, 2041-2050, 2051-2060, 2061-2070LDI Active Funds 61-75 and 77-82LDI Solutions Plus Partially Funded Gilts Fund 2061+LDI Solutions Plus Partially Funded Index-Linked Gilts Fund 2061+Insight Longer Real De-Risking FundInsight Longer Nominal De-Risking FundInsight Shorter Nominal De-Risking FundInsight Shorter Real De-Risking Fund Fund Closures

LDI Active 11 Fund and LDI Active 12 Fund fully redeemed on 12 December 2017, LDI Active 30 Fund and LDI Active 31 Fund fully redeemed on 15 November 2017. The Funds are in the process of revocation as at 31 December 2019.

IIFIG Secured Multi-Asset Credit Fund 2 fully redeemed on the 14 August 2019, LDI Active 14 Fund fully redeemed on 30 September 2019 and LDI Solutions Plus RPI Funds 2061-2065 fully redeemed on 22 October 2019. The Funds are in the process of revocation as at 31 December 2019.

LDI Solutions Inflation Focus Funds 2051-2060, IIFSG Fund 3 and IIFSG Fund 4 are currently dormant.

On 1 April 2019, the Fixed Operating Expense rates for the Funds listed below were reduced as shown:

● LDI Synthetic Global Equity Hedged Fund reduced from 0.09% p.a. to 0.06% p.a. ● LDI Synthetic Global Equity Unhedged Fund reduced from 0.09% p.a. to 0.06% p.a.

In accordance with section 89(4) of the ICAV Act, the Directors of the ICAV elected at the Board meeting held on 24 April 2019 to dispense with the holding of an AGM.

Subsequent Events

COVID-19 Developments

Since the start of January 2020, global financial markets have been monitoring and reacting to a novel coronavirus known as COVID-19. Global financial markets have reacted sharply, with concerns regarding the economic impact this may have on a global scale. The eventual impact on the global economy and markets will largely depend upon the scale and the duration of the outbreak. The ICAV will continue to monitor the situation closely.

Fund Launches and Closures

LDI Active 49 Fund launched on 13 January 2020.

LDI Active 27 Fund closed on 22 January 2020.

LDI Solutions Plus Nominal Funds 2016-2020, LDI Solutions Plus RPI Funds 2016-2020 and LDI Solutions Plus Inflation Focus Funds 2018-2020 closed on 28 February 2020.

LDI Active 54 Fund launched Class B Income Shares on 2 March 2020.

LDI Active 55 Fund launched Class B Income Shares on 2 March 2020.

LDI Solutions Plus Nominal Funds 2026-2030 and LDI Solutions Plus Nominal Funds 2061-2065 closed on 5 March 2020.

WTW Fiduciary Funded Short Real Fund launched on 9 March 2020.

Events During the Financial Year (Continued)



6

LDI Active 56 Fund launched on 11 March 2020.

LDI Active 48 Fund launched on 17 March 2020.

LDI Solutions Plus RPI Funds 2026-2030, LDI Solutions Plus RPI Funds 2031-2035, LDI Solutions Plus RPI Funds 2036-2040, LDI Solutions Plus RPI Funds 2041-2045, LDI Solutions Plus RPI Funds 2046-2050, LDI Solutions Plus RPI Funds 2051-2055 and LDI Solutions Plus RPI Funds 2056-2060 closed on 18 March 2020.

LDI Solutions Plus RPI Funds 2021-2025, LDI Solutions Plus Nominal Funds 2021-2025, LDI Solutions Plus Nominal Funds 2031-2035, LDI Solutions Plus Nominal Funds 2036-2040, LDI Solutions Plus Nominal Funds 2041-2045, LDI Solutions Plus Nominal Funds 2046-2050, LDI Solutions Plus Nominal Funds 2051-2055 and LDI Solutions Plus Nominal Funds 2056-2060 are expected to close during 2020.

There have been no other subsequent events since the financial year end.

Statement on relevant audit information

In accordance with the ICAV Act each of the persons who are Directors at the time the report is approved confirm the following:

● So far as the Director is aware, there is no relevant audit information of which the ICAV’s statutory auditors are unaware, and

● The Director has taken all the steps that he or she ought to have taken as a Director in order to make himself or herself aware of any relevant audit information and to establish that the ICAV’s statutory auditors are aware of that information.

Statement of Directors' Responsibilities

The Directors are responsible for preparing the Report of the Directors and Financial Statements, in accordance with applicable law and regulations.

The ICAV Act requires the Directors to prepare Financial Statements for each financial year. Under that law they have elected to prepare the Financial Statements in accordance with FRS 102 “The Financial Reporting Standard applicable in the UK and Republic of Ireland”.

The Financial Statements are required to give a true and fair view of the assets, liabilities and financial position of the Funds at the end of the financial year and of the increase/(decrease) in net assets attributable to holders of redeemable participating shares in the Funds for the financial year.

In preparing these Financial Statements, the Directors are required to:

● select suitable accounting and then apply them consistently; ● make judgements and estimates that are reasonable and prudent; ● state whether applicable Accounting Standards have been followed, subject to any material departures

disclosed and explained in the Financial Statements; ● assess the Funds’ abilities to continue as going concerns, disclosing, as applicable, matters related to going

concern; and ● use the going concern basis of accounting for all Funds unless they either intend to liquidate a Sub-Fund or to

cease operations, or have no realistic alternative but to do so.

Subsequent Events (Continued)

Fund Launches and Closures (Continued)



7

The Directors are responsible for keeping adequate accounting records which disclose with reasonable accuracy at any time the assets, liabilities, financial position and change in net assets attributable to holders of redeemable participating shares in the Funds and enable them to ensure that the Financial Statements comply with the ICAV Act. They have general responsibility for taking such steps as are reasonably open to them to safeguard the assets of the Funds. In this regard they have entrusted the assets of the Funds to a depositary for safe-keeping. They are responsible for such internal controls as they determine is necessary to enable the preparation of Financial Statements that are free from material misstatement, whether due to fraud or error, and to prevent and detect fraud and other irregularities. The Directors are also responsible for preparing a Directors’ Report that complies with the requirements of the ICAV Act.

Independent Auditors

The auditors, KPMG, Chartered Accountants, have indicated their willingness to continue in office in accordance with section 125 of the ICAV Act.

Corporate Governance Code

Irish Funds, the association for the funds industry in Ireland, has published a corporate governance code (the “Code”) that may be adopted on a voluntary basis by Irish authorised collective investment schemes. The Board of Directors has adopted the Code, and the ICAV was in compliance with all elements of the Code during the financial year.

On behalf of the Board

Michael Boyce John Fitzpatrick21 April 2020

Statement of Directors' Responsibilities (Continued)


Investment Manager’s Report (Unaudited)Financial year ended 31 December 2019

8

LDI Solutions Plus ICAV contains a range of pooled funds created to help UK defined benefit pension schemes manage their interest and inflation risks effectively and with a high level of precision. There were initially three core ranges of swap-based funds, each designed to replicate one of three types of pension liability that schemes may be required to pay.

Nominal: The Nominal range consists of 10 funds that generate annual cash flows for each consecutive five-year period between 2015 and 2065. This range of funds can be used to match pension liabilities that are fixed monetary amounts or to extend the duration of an existing fixed income portfolio.

RPI: The RPI range consists of 9 funds that generate annual cash flows that are designed to increase in line with the Retail Price Index (RPI) for each consecutive five-year period between 2015 and 2065. The LDI Solutions Plus RPI Funds 2061-2065 Fund closed during the financial period. This range of funds can be used to match pension liabilities linked to RPI or to extend the duration of an existing fixed income portfolio.

LPI: The LPI range consists of 10 funds that generate annual cash flows that are designed to increase in line with Limited Price Indexation (LPI) for each consecutive five-year period from 2010 to 2060. This range of funds can be used to match pension liabilities linked to LPI, where the increase each year is subject to a cap of 5% per annum and a floor of zero. As at 31 December 2019 none of the funds in this range had been seeded.

The above funds share the same simple structure. Each fund has an exposure to cash investments together with swaps which provide five annual consecutive payments.

In late 2010, the ICAV launched two additional ranges: a suite of inflation-only swap-based funds called the Inflation Focus Funds, and a range of gilts funds.

Inflation Focus Funds: These allow clients to hedge inflation separately to nominal rates when building up their LDI mandates. The Inflation Focus Funds have been developed as five individual funds, each offering a bullet maturity in 2020, 2030, 2040, 2050 and 2060 respectively.

Gilts Funds: These originally consisted of one conventional fund targeting 15-year duration and three index-linked funds targeting 10, 20 and 30-year duration. In March 2013, we changed this range of funds to target specific maturities. There are now four conventional funds and four index-linked funds targeting the following maturity bands: 2021-2030, 2031-2040, 2041-2050, and 2051-2065, which are available on a partially-funded and fully-funded basis (not all the funds have been seeded). These funds can be used to match pension liabilities that are fixed or linked to RPI, to extend the duration of an existing bond portfolio, or to provide hedge exposure in a more capital efficient manner.

In 2013, the ICAV launched the Enhanced Selection Funds range. The range offers a liability hedge within single pooled fund structures.

Enhanced Selection Funds: The objective of these funds is to provide nominal, real and inflation-linked returns reflecting a typical liability profile with dynamic instrument selection between primarily gilts and swaps on a partially funded basis. In 2015, we split the pre-existing LDI Enhanced Selection Nominal and LDI Enhanced Selection Real Funds to provide shorter duration and longer duration versions. The changes aimed to provide a more precise hedge and improve the ability to customise exposures.

Euro Enhanced Funds: The investment objective of the Euro Enhanced Nominal Fund is to deliver nominal returns, of the Euro Enhanced Real Fund is to deliver inflation-linked and nominal returns and of the Euro Enhanced Inflation Fund is to deliver inflation-linked returns. As at 31 December 2019, only the Real Fund and Nominal Fund had been launched.

Also included in the LDI Solutions Plus ICAV fund range are the LDI Active Funds, the Euro Funds, the KFM Funds, the HRMSL Funds and the WTW Fiduciary Leveraged Funds.

LDI Active Funds: Each Fund is designed to provide nominal and/or inflation-linked returns for specific pension fund liability profiles.

Euro Funds: Insight Investment Funds Management Limited (the Investment Manager) manages these funds on behalf of Kempen Capital Management. The Euro 20 Year, Euro 30 Year and Euro 50 Year Swap Funds launched in June 2011; the Euro Assets Fund launched in December 2012; and the Allocation Fund launched in March 2013. The investment objective of each Fund is to deliver nominal and/or inflation-linked returns.


Investment Manager’s Report (Unaudited) (Continued)Financial year ended 31 December 2019

9

KFM Funds: The Investment Manager manages these funds on behalf of Kempen Capital Management. These funds launched in June 2016. The Funds are designed to be used by investors seeking to reduce investment risk relating directly to the investors’ financial solvency, and who will use any return to provide retirement benefits.

HRMSL Funds: The Investment Manager manages these funds for Aon Hewitt. These funds launched in March 2017 and July 2019. The Funds are designed to be used by investors seeking to reduce investment risk relating directly to the investors’ financial solvency, and who will use any return to provide retirement benefits.

WTW Fiduciary Leveraged Funds: Investment Manager will manage these funds for Willis Towers Watson. The Funds are designed to be used by investors seeking to reduce investment risk relating directly to the investors’ financial solvency, and who will use any return to provide retirement benefits.

Market Review

Risk assets rebounded over the year. Equity markets were unfazed by the weaker growth outlook and earnings pressure, and recorded strong gains over the year. The major indices broke to new all-time highs. Credit also performed well, although spreads at the very lower end of the rating spectrum widened in some markets.

A key focus for the market were trade tensions. The dispute between the US and China escalated through the year with periodic rounds of tariffs and counter-tariffs being applied to trade between the two countries. The US also increased tariffs on Europe, with the World Trade Organization allowing an increase in tariffs on $7.5bn of goods in retaliation for illegal subsidies provided to Airbus. The US also appears likely to retaliate to a 3% tax imposed on technology companies in France. In Asia, relations between Japan and South Korea deteriorated, with trade restrictions imposed by both countries. The result of these disputes was a sharp slowdown in global trade, and this was a key factor in the slowdown in global growth.

The decline in long-term yields was an international phenomenon. In Europe, the persistent weakness of European growth forced the European Central Bank (ECB) to announce it would restart its quantitative easing programme with purchases of €20bn ($22bn) per month from November. In the US, the Federal Reserve Open Markets Committee cut interest rates on three occasions over the year, stressing the risks to the economy stemming from the global slowdown. With US yields falling and 10-year German bond yields moving deep into negative territory, investors dashed for yield across the world.

Investment Review

All Nominal Funds recorded positive returns over the year, with only one Fund underperforming its benchmark. The RPI Funds’ performance was varied, with the majority recording positive returns; however, four Funds underperformed their benchmarks.

The Inflation Focus Funds generated negative performance over the year, but outperformed their benchmarks. Performance for the Partially Funded Gilts Funds and the Fully Funded Gilts Funds was mixed; while the Partially Funded Gilts Funds were ahead of benchmark, the majority of Fully Funded Gilts Funds underperformed benchmark.

Performance for the Enhanced Selection Funds was mixed. All of the Funds outperformed relative to their swaps over the calendar year. Meanwhile, the majority of Funds underperformed relative to their gilt comparators.

Both the Euro Enhanced Real Fund and the Euro Enhanced Nominal Fund generated a positive return and outperformed their benchmarks.

Performance of the LDI Active Funds varied, as did the performance of the KFM GBP Funds, HRMSL Funds and WTW Fiduciary Leveraged Funds. The absolute and relative performance of each Fund depends on multiple factors including the specific assets in the Fund, the composition of the bespoke benchmark, and the level of discretion provided to the portfolio managers.

We continue to look for opportunities to improve the efficiency of our pooled fund offering while at all times ensuring that the funds continue to effectively hedge schemes’ liabilities.



10

Performance: LDI Solutions Plus Nominal Funds

One year (%) Since inception (% p.a.)*Nominal (2016-2020) 2.00 12.88Benchmark** 0.90 12.63Nominal (2021-2025) 10.79 17.26Benchmark** 10.64 16.63Nominal (2026-2030) 20.83 18.73Benchmark** 20.95 18.07Nominal (2031-2035) 23.56 19.01Benchmark** 23.33 18.35Nominal (2036-2040) 23.92 18.79Benchmark** 22.78 17.94Nominal (2041-2045) 22.77 18.44Benchmark** 22.34 17.42Nominal (2046-2050) 31.51 19.89Benchmark** 31.08 19.02Nominal (2051-2055) 30.65 19.88Benchmark** 30.48 19.09Nominal (2056-2060) 33.23 24.43Benchmark** 32.88 23.65Nominal (2061-2065) 45.86 13.76Benchmark** 45.15 12.86

Source: Investment Manager at 31 December 2019. *Since inception on 9 June 2006 for all funds except 2056-2060 Fund (5 February 2010) and 2061-2065 Fund (5 February 2015). **Imputed benchmark performance that reflects manager-calculated relative returns. Manager-calculated returns use internal house valuation curves (ensuring comparability of fund and benchmark performance), adjusted for distortions caused by material inflows/outflows (ensuring consistency with the dual-pricing mechanism reflected in the pooled fund performance) and are not independently verified.



11

Performance: LDI Solutions Plus RPI Funds

One year (%) Since inception (% p.a.)*RPI (2016-2020) -2.56 14.42Benchmark** -3.30 13.57RPI (2021-2025) -3.12 19.53Benchmark** -3.42 17.38RPI (2026-2030) 6.26 21.76Benchmark** 6.30 19.54RPI (2031-2035) 8.56 22.73Benchmark** 8.71 20.23RPI (2036-2040) 8.40 21.45Benchmark** 7.98 20.34RPI (2041-2045) 7.84 21.37Benchmark** 7.64 20.14RPI (2046-2050) 7.60 21.42Benchmark** 7.81 20.23RPI (2051-2055) 6.30 21.13Benchmark** 6.58 20.25RPI (2056-2060) 6.46 19.73Benchmark** 6.10 18.81

Source: Investment Manager at 31 December 2019. *Since inception on 9 June 2006 for all funds except 2056-2060 fund (5 February 2010) and 2061-2065 fund (5 February 2015). **Imputed benchmark performance that reflects manager-calculated relative returns. Manager-calculated returns use internal house valuation curves (ensuring comparability of fund and benchmark performance), adjusted for distortions caused by material inflows/outflows (ensuring consistency with the dual-pricing mechanism reflected in the pooled fund performance) and are not independently verified.

Performance: LDI Solutions Plus Inflation Focus Funds

One year (%) Since inception (% p.a.)*Inflation Focus Funds 2018-2020 -4.62 -6.43Benchmark** -4.73 -7.62Inflation Focus Funds 2021-2030 -10.26 -1.73Benchmark** -10.58 -1.81Inflation Focus Funds 2031-2040 -12.62 -7.45Benchmark** -13.00 -7.67Inflation Focus Funds 2051-2060*** N/A N/ABenchmark** N/A N/A

Source: Investment Manager at 31 December 2019. *Since inception on 7 September 2011 (2040 fund), 7 June 2012 (2030 fund), 29 June 2012 (2060 fund) and 9 September 2013 (2020 fund). **Benchmark returns have been set to equal the fund return for all periods up to and including 30 September 2013. Returns are annualised for periods greater than one year. ***Fund is dormant since 17 July 2017.



12

Performance: LDI Solutions Plus Partially Funded Gilts and Partially Funded Index-Linked Gilts Funds

One year (%) Since inception (% p.a.)Partially Funded Gilts (2021-2030)*** 20.85 21.16Benchmark 20.20 20.64Partially Funded Gilts (2031-2040)* 41.36 27.47Benchmark 41.07 27.41Partially Funded Gilts (2041-2050)** 47.83 23.21Benchmark 47.81 23.24Partially Funded Gilts (2051-2065)** 52.41 25.60Benchmark 52.40 25.70Partially Funded Index-Linked Gilts (2021-2030)* 0.86 25.48Benchmark 0.62 25.10Partially Funded Index-Linked Gilts (2031-2040)* 16.72 28.79Benchmark 16.72 28.70Partially Funded Index-Linked Gilts (2041-2050)* 21.62 26.87Benchmark 21.67 26.74Partially Funded Index-Linked Gilts (2051-2065)** 22.45 22.96Benchmark 22.55 22.78

Source: Investment Manager at 31 December 2019. *Since inception on 15 December 2010. **Since inception on 22 March 2013. ***Since inception on 7 October 2014. Returns for periods greater than one year are annualised. Benchmark to 15 March 2013: 2/3 weight to target duration barbell of the two closest bonds to target duration and 1/3 weight to target duration barbell of the two surrounding bonds, on a partially funded basis. Benchmark from 15 March 2013: bonds as at 15 March 2013 providing equal nominal or real cash flows at maturity (as applicable), on a partially funded basis.

Performance: LDI Solutions Plus Funded and Index-Linked Gilts Funds

One year (%) Since inception (% p.a.)Funded Gilts Funds (2031-2040)* 8.67 7.00Benchmark 8.81 7.09Funded Gilts Funds (2041-2050)** 11.24 6.29Benchmark 11.46 6.46Funded Gilts Funds (2051-2065)*** 14.53 9.76Benchmark 14.81 9.95Funded Index-Linked Gilts Funds (2021-2030)**** 2.12 4.21Benchmark 2.13 4.30Funded Index-Linked Gilts Funds (2031-2040)**** 5.94 7.80Benchmark 6.02 7.92Funded Index-Linked Gilts Funds (2041-2050)**** 7.97 10.36Benchmark 8.06 10.46Funded Index-Linked Gilts Funds (2051-2065)***** 9.84 11.40Benchmark 9.94 11.30

Source: Investment Manager at 31 December 2019. *Since inception on 22 September 2014. **Since inception on 22 November 2017. ***Since inception on 25 June 2015. ****Since inception on 30 May 2014. *****Since inception on 27 August 2014. Returns for periods greater than one year are annualised.



13

Performance: LDI Enhanced Selection Funds

One year (%) Since inception (% p.a.)Enhanced Selection Longer Real Fund* 15.01 22.02Gilt comparator 20.19 21.30Swap comparator 3.06 16.63Enhanced Selection Shorter Real Fund** 6.49 20.68Gilt comparator 7.64 20.29Swap comparator -5.56 13.35Enhanced Selection Inflation Fund*** -12.15 -14.96Gilt comparator -11.18 -16.36Swap comparator -19.40 -16.33Enhanced Selection Longer Nominal Fund**** 51.18 30.44Gilt comparator 53.11 30.27Swap comparator 39.96 24.95Enhanced Selection Shorter Nominal Fund** 34.01 18.46Gilt comparator 32.31 17.42Swap comparator 23.04 12.72

Source: Investment Manager at 31 December 2019. Fund returns are based on published share prices and are therefore levered returns. Comparators are also provided on a levered basis. *Inception date: 14 February 2013. **Inception date: 11 March 2015. ***Inception date: 15 March 2013. ****Inception date: 1 September 2013.

Performance: Euro Enhanced Real Fund

One year (%) Since inception (% p.a.)Euro Enhanced Real Fund* 51.34 16.36Benchmark 49.85 15.46Euro Enhanced Nominal Fund** 60.45 11.85Benchmark 58.76 10.89

Source: Investment Manager at 31 December 2019. *Inception date: 16 October 2014. **Inception date: 22 March 2016.

Performance: LDI Active Funds

LDI Active 1 Fund

Objective

The objective of the Fund is to reflect the change in value of deferred annuities over variable maturity periods.

The Fund will seek to achieve its investment objective by investing in the instruments and securities as set out in the Supplement. Whilst the Fund’s base currency is sterling, it may invest in non-sterling denominated assets which may not necessarily be hedged back into sterling.

The Fund may take both long and short positions.

Performance

The Fund returned 37.73% over the 12 months to the end of December.



14

LDI Active 2 Fund

Objective

The investment objective of the Fund is to deliver nominal and inflation-linked returns.


The investments of the Fund may or may not be listed on recognised exchanges and markets and will be without restriction as to geographical, industrial or sectoral exposure.


Performance


LDI Active 3 Fund

Objective





Performance


LDI Active 4 Fund

Objective





Performance


Performance: LDI Active Funds (Continued)



15

LDI Active 5 Fund

Objective

The initial investment objective of the Fund is to provide a return based on a number of financial equity indices. In the longer term, the Fund will aim to achieve interest rate and inflation protection in addition to the equity-based returns.

The Fund will seek to achieve its initial investment objective by gaining exposure to financial equity indices through the use of derivative instruments as set out in the Supplement. The interest rate and inflation protection will be achieved through the purchase of bonds and the transaction of interest rate and inflation rate swaps.

Whilst the Fund’s base currency is sterling, it may invest in non-sterling denominated assets which may not necessarily be hedged back into sterling.

The investments of the Fund may or may not be listed on recognised exchanges and markets.


Performance


LDI Active 6, 7 & 8 Funds

Objective

The investment objective of the Funds is to deliver nominal and inflation-linked returns.

The Funds will seek to achieve their investment objective by investing in the instruments and securities set out in the Supplement. Whilst the Funds’ base currency is sterling, they may invest in non-sterling denominated assets which may not necessarily be hedged back into sterling.

The investments of the Funds may or may not be listed on recognised exchanges and markets and will be without restriction as to geographical, industrial or sectoral exposure.

The Funds may take both long and short positions.

Performance

LDI Active 6 Fund returned 12.82% over the 12 months to the end of December.



LDI Active 9 & 10 Funds

Objective

The investment objective of the Funds is to deliver nominal and inflation-linked returns.

The Funds will seek to achieve their investment objective by investing in the instruments and securities as set out in the Supplement. Whilst the Funds’ base currency is sterling, they may invest in non-sterling denominated assets which may not necessarily be hedged back into sterling.

The investments of the Funds may or may not be listed on recognised exchanges and markets and will be without restriction as to geographical, industrial or sectoral exposure.

The Funds may take both long and short positions.

Performance






16

LDI Active 14 Fund

Objective





Performance

The Fund fully redeemed on 30 September 2019.

LDI Active 16 Fund

Objective





Performance

The Fund returned -4.93% over the 12 months to the end of December.

LDI Active 18 Fund

Objective





Performance





17

LDI Active 19 Fund

Objective





Performance


LDI Active 21 Fund

Objective





Performance


LDI Active 22 Fund

Objective

The initial investment objective of the Fund is to provide a return based on a number of financial equity indices. In the longer term, the Fund will aim to achieve interest rate and inflation protection in addition to the equity-based returns.

The Fund will seek to achieve its initial investment objective by gaining exposure to financial equity indices through the use of derivative instruments as set out in the Supplement. The interest rate and inflation protection will be achieved through the purchase of bonds and the transaction of interest rate and inflation rate swaps.

Performance





18

LDI Active 25 Fund

Objective





Performance


LDI Active 27 Fund

Objective





Performance


LDI Active 28 Fund

Objective





Performance





19

LDI Active 29 Fund

Objective





Performance


LDI Active 33 Fund

Objective





Performance


LDI Active 34 Fund

Objective





Performance





20

LDI Active 36 Fund (launched 28 January 2019)

Objective





Performance

The Fund returned 5.42% since launch to the end of December.

LDI Active 37 Fund

Objective





Performance


LDI Euro Active 38 Fund (launched 14 October 2019)

Objective

The investment objective of the Fund is to deliver a return which offers Shareholders the ability to manage their pension scheme risk profile.

The Fund will seek to achieve its investment objective by investing in the instruments and securities as set out in the Supplement, including but not limited to, debt securities, derivatives and sale and repurchase agreements. Whilst the Fund’s base currency is euro, it may invest in non-euro denominated assets which may not necessarily be hedged back into euro.



Performance

The Fund returned 5.08% since launch to the end of December.




21

LDI Euro Active 39 Fund

Objective


The Fund will seek to achieve its investment objective by investing in the instruments and securities as set out in the Supplement. Whilst the Fund’s base currency is euro, it may invest in non-euro denominated assets which may not necessarily be hedged back into euro.



Performance


LDI Euro Active 40 Fund

Objective


The Fund will seek to achieve its investment objective by investing in the instruments and securities as set out in the Supplement. Whilst the Fund’s base currency is euro, it may invest in non-euro denominated assets which may not necessarily be hedged back into euro.



Performance


LDI Active 41 Fund

Objective





Performance





22

LDI Active 42 Fund (launched 21 October 2019)

Objective





Performance

The Fund returned -4.66% since launch to the end of December.

LDI Active 43 Fund

Objective





Performance


LDI Active 44 Fund

Objective





Performance





23

LDI Active 45 Fund

Objective





Performance


LDI Active 46 Fund

Objective





Performance


LDI Active 47 Fund

Objective





Performance





24

LDI Active 50 Fund

Objective





Performance


LDI Active 51 Fund (launched 27 March 2019)

Objective

The investment objective of the Fund is to hedge against Shareholders’ underlying exposures as may be communicated to the Sub-Investment Manager from time to time.

The Fund will seek to achieve its investment objective by investing in the instruments and securities as set out in the Supplement, including but not limited to put and call options. Whilst the Fund’s base currency is sterling, it may invest in non-sterling denominated assets which may not necessarily be hedged back into sterling.



Performance



Objective


The Fund will seek to achieve its investment objective by investing in the instruments and securities as set out in the Supplement, including but not limited to, debt securities, derivatives and sale and repurchase agreements. Whilst the Fund’s base currency is sterling, it may invest in non-sterling denominated assets which may not necessarily be hedged back into sterling.



Performance





25

LDI Active 54 Fund (launched 28 August 2019)

Objective

The investment objective of the Fund is to deliver returns linked to, amongst other factors, nominal rates, real rates and financial market movements in order to hedge a portion of the liabilities of Shareholders against changes in interest rate and inflation expectations.

The Fund will seek to achieve its investment objective by investing in, without limitation, the instruments and securities as set out in the Supplement, including but not limited to sale and repurchase agreements, UK government gilts and swaps. Whilst the Fund’s base currency is sterling, it may invest in non-sterling denominated assets which may not necessarily be hedged back into sterling.



Performance


LDI Active 55 Fund (launched 28 August 2019)

Objective

The investment objective of the Fund is to deliver returns linked to, amongst other factors, nominal rates, real rates and financial market movements in order to hedge a portion of the liabilities of Shareholders against changes in interest rate and inflation expectations.

The Fund will seek to achieve its investment objective by investing in, without limitation, the instruments and securities as set out in the Supplement, including but not limited to sale and repurchase agreements, UK government gilts and swaps. Whilst the Fund’s base currency is sterling, it may invest in non-sterling denominated assets which may not necessarily be hedged back into sterling.



Performance


LDI Active 59 Fund (launched 19 September 2019)

Objective


The Fund will seek to achieve its investment objective by investing in the instruments and securities as set out in the Supplement, including but not limited to, UK government gilts, derivatives and sale and repurchase agreements. Whilst the Fund’s base currency is sterling, it may invest in non-sterling denominated assets which may not necessarily be hedged back into sterling.



Performance





26

LDI Active 60 Fund (launched 11 September 2019)

Objective





Performance



Objective





Performance


Performance: Euro Funds

One year (%) Since inception (% p.a.)Euro 20 Year Fund* 16.01 8.55Benchmark return 16.09 7.82Euro 30 Year Fund* 25.52 11.16Benchmark return 25.45 10.03Allocation Fund** -0.60 1.59Benchmark return N/A N/AEuro 50 Year Swap Fund*** 48.72 13.12Benchmark return 47.48 13.22Euro Assets Fund**** 16.26 7.05Benchmark return 16.09 6.22

Source: Investment Manager at 31 December 2019. Returns are gross of fees. Benchmark: Liability Benchmark. *Inception date for performance purposes: 14 September 2011. **Inception date for performance purposes: 30 June 2011. ***Inception date for performance purposes: 31 January 2012. ****Inception date for performance purposes: 17 December 2012.




27

Performance: KFM Funds

One year (%) Since inception (% p.a.)KFM GBP Short Nominal Fund* 6.63 3.42Benchmark return 6.40 3.33KFM GBP Long Nominal Fund* 11.20 6.20Benchmark return 11.40 6.39KFM GBP Short Real Fund* 3.36 4.08Benchmark return 3.39 4.22KFM GBP Long Real Fund* 7.39 7.81Benchmark return 7.39 7.86

Source: Investment Manager at 31 December 2019. Returns are gross of fees. Benchmark: Liability Benchmark. *Inception date for performance purposes: 8 June 2016.

Performance: HRMSL Funds

One year (%) Since inception (% p.a.)HRMSL Longer Real Fund* 7.76 3.11Benchmark return 7.93 3.12HRMSL Longer Nominal Fund* 16.17 6.68Benchmark return 16.36 6.87HRMSL Asymmetric Nominal Fund** N/A -1.84Benchmark return N/A 1.16HRMSL Asymmetric Real Fund** N/A -7.66Benchmark return N/A -4.31

Source: Investment Manager at 31 December 2019. Returns are gross of fees. Benchmark: Liability Benchmark. *Inception date for performance purposes: 13 March 2017. **Inception date for performance purposes: 4 July 2019.

LDI Synthetic Global Equity Hedged Fund

The investment objective of the Fund is to provide exposure to the global equity market hedged to Sterling.

One year (%) Since inception (% p.a.)Synthetic Equity (Hedged) Fund* 76.01 24.08Comparator leverage 75.08 23.48Relative 0.93 0.60

Source: Investment Manager, Bloomberg, Northern Trust. Data as at 31 December 2019. Comparator used is the MSCI World Index. Performance is gross of fees. *Inception date for performance purposes: 21 August 2017. To allow for meaningful comparison with the official NAV returns, the following performance calculation adjustments have been made to the reference index: The reference index is scaled to reflect a like-for-like exposure of the portfolio by combining the returns of the reference index with the returns on a hypothetical cash account. The value of the hypothetical cash account is calculated by the reference index exposure minus the official NAV of the fund. The account appreciates at the periodic LIBOR Fixing Rate and Pay Spread at each Pay Leg reset date.



28

LDI Synthetic Global Equity Unhedged Fund

The investment objective of the Fund is to provide exposure to the global equity market unhedged to Sterling.

One year (%) Since inception (% p.a.)Synthetic Equity (Unhedged) Fund* 59.02 29.15Comparator leverage 59.12 29.42Relative -0.10 -0.27

Source: Investment Manager, Bloomberg, Northern Trust. Data as at 31 December 2019. Comparator used is the MSCI World Index. Performance is gross of fees. *Inception date for performance purposes: 30 April 2018. To allow for meaningful comparison with the official NAV returns, the following performance calculation adjustments have been made to the reference index: The reference index is scaled to reflect a like-for-like exposure of the portfolio by combining the returns of the reference index with the returns on a hypothetical cash account. The value of the hypothetical cash account is calculated by the reference index exposure minus the official NAV of the fund. The account appreciates at the periodic LIBOR Fixing Rate and Pay Spread at each Pay Leg reset date.

WTW Fiduciary Leveraged Funds

The investment objective of the WTW Fiduciary Leveraged Funds is to deliver nominal returns and/or inflation-linked returns. WTW Fiduciary Leveraged Long Real FX Hedging Fund is also seeking to manage US dollar foreign exchange risk in a collateral efficient manner.

Performance

One year (%) Since inception (% p.a.)WTW Fiduciary Leveraged Long Fixed Fund* 15.45 10.07Benchmark return 15.43 10.12WTW Fiduciary Leveraged Short Real Fund* 5.04 4.68Benchmark return 4.97 4.59WTW Fiduciary Leveraged Long Real Fund* 8.22 5.32Benchmark return 8.36 5.46WTW Fiduciary Leveraged Short Fixed Fund* 6.82 5.12Benchmark return 6.66 4.98WTW Fiduciary Leveraged Allocation Fund 1** N/A 22.29Benchmark return N/A N/AWTW Fiduciary Leveraged Long Real FX hedging Fund*** N/A -13.25Benchmark return N/A N/A

Source: Investment Manager at 31 December 2019. Returns are gross of fees. Benchmark: Liability Benchmark. *Inception date for performance purposes: 25 June 2018. **Inception date for performance purposes: 21 February 2019. ***Inception date for performance purposes: 31 July 2019.


29

Key: The following notations are used in the Portfolio and Schedule of Investments for each Fund on pages 29 to 244:

^ Cross investment holdings. ^^ Related party holdings. 1 Wholly or partially held as collateral for repurchase agreements held by the Fund.* These bonds are inflation linked.** Newly launched Fund in 2019.

LDI Solutions Plus RPI Funds 2016-2020Portfolio and Schedule of InvestmentsAs at 31 December 2019

Security DescriptionXXNominal Holdings XValue £

X% of Net Assets

XCollective investment schemes (2018: 28.22%) Insight Global Funds II PLC - Insight High Grade ABS Fund - Share Class S Sterling Accumulation^^ 22,826 38,686 7.51Insight Global Funds II PLC - Insight Liquid ABS Fund - Share Class S Sterling Accumulation^^ 37,339 40,210 7.81Insight Liquidity Funds PLC - GBP Liquidity Fund - Share Class 2^^ 277,954 277,954 53.94Insight Liquidity Funds PLC - GBP Liquidity Plus Fund - Share Class 2^^ 4,632 6,498 1.26LDI Solutions Plus ICAV - IIFIG Government Liquidity Fund - Share Class 2^ 50,000 50,000 9.70

Total value of collective investment schemes 413,348 80.22

Interest rate swaps (2018: 51.42%)IRSW GBP RCV Z.C. 0.00% Pay Variable (maturity date between 2016-2020) 3,033,947 335,858 65.18IFSW GBP RCV Fixed Pay Variable (maturity date between 2016-2020) 1,975,200 23,957 4.65IFSW GBP RCV UKRPI 1D Pay Fixed (maturity date between 2016-2020) 1,365,000 17,463 3.39IRSW GBP RCV Fixed Pay Variable (maturity date between 2016-2020) 2,687,000 758 0.15IRSW GBP RCV Z.C. 0.00% Pay Variable (maturity date between 2016-2020) (837,700) (6,381) (1.24)IFSW GBP RCV UKRPI 1D Pay Fixed (maturity date between 2016-2020) (3,321,023) (141,404) (27.44)AIS GBP RCV Fixed Pay Variable (maturity date between 2016-2020) (4,534,509) (148,150) (28.75)AIS GBP RCV Variable Pay Fixed (maturity date between 2016-2020) (1,234,100) (480,671) (93.29)

– – –Unrealised gain on interest rate swaps (2018: 121.92%) – 378,036 73.37Unrealised loss on interest rate swaps (2018: (70.50%)) – (776,606) (150.72)Net unrealised loss on interest rate swaps – (398,570) (77.35)

– – –Total Financial Assets - Collective investment schemes 413,348 80.22Total Financial Assets - Financial derivative instruments 378,036 73.37Total Financial Liabilities - Financial derivative instruments (776,606) (150.72)Total Cost of Investments £407,122 (2018: £323,792)

Cash at bank (2018: 1.48%) the

30,716 the

5.96 the

Collateral and margin cash (2018: 18.91%) the

470,000 the

91.21 the

Net current liabilities (2018: (0.03%)) (224) (0.04)

Net assets attributable to holders of redeemable shares 515,270 100.00

A list of approved counterparties can be seen on page 503.


Portfolio and Schedule of InvestmentsAs at 31 December 2019

LDI Solutions Plus RPI Funds 2021-2025

30

Security DescriptionXXNominal Holdings XValue £

X% of Net Assets

XCollective investment schemes (2018: 87.18%) Insight Global Funds II PLC - Insight High Grade ABS Fund - Share Class S Sterling Accumulation^^ 146,167 247,732 5.88Insight Global Funds II PLC - Insight Liquid ABS Fund - Share Class S Sterling Accumulation^^ 155,633 167,602 3.98Insight Liquidity Funds PLC - GBP Liquidity Fund - Share Class 2^^ 1,746,411 1,746,411 41.43Insight Liquidity Funds PLC - GBP Liquidity Plus Fund - Share Class 2^^ 76,029 106,662 2.53

Total value of collective investment schemes 2,268,407 53.82

Interest rate swaps (2018: 0.55%)IRSW GBP RCV Z.C. 0.00% Pay Variable (maturity date between 2016-2020) 46,309,620 6,713,618 159.28IFSW GBP RCV Fixed Pay Variable (maturity date between 2021-2025) 70,243,180 5,647,398 133.99IRSW GBP RCV Z.C. 0.00% Pay Variable (maturity date between 2021-2025) 43,975,754 5,379,420 127.63IFSW GBP RCV RPI 1D Pay Variable (maturity date between 2021-2025) 17,780,692 528,984 12.55IRSW GBP RCV Fixed Pay Variable (maturity date between 2021-2025) 17,535,013 253,693 6.02IFSW GBP RCV UKRPI 1D Pay Variable (maturity date between 2021-2025) 2,075,400 137,610 3.26IFSW GBP RCV UKRPI 1D Pay Fixed (maturity date between 2016-2020) 6,197,900 114,023 2.70IFSW GBP RCV Fixed Pay Variable (maturity date between 2016-2020) 5,855,300 91,272 2.17IRSW Basis GBP RCV Pay Variable (maturity date between 2021-2025) 2,590,500 25,946 0.62IRSW GBP RCV Fixed Pay Variable (maturity date between 2016-2020) 7,545,400 9,867 0.23IRSW Basis GBP RCV Pay Variable (maturity date between 2021-2025) (4,252,100) (16,910) (0.40)IFSW GBP RCV Fixed Pay Variable (maturity date between 2021-2025) (7,197,300) (125,433) (2.97)IFSW GBP RCV RPI 1D Pay Fixed (maturity date between 2021-2025) (11,283,986) (296,415) (7.03)IRSW GBP RCV Variable Pay Z.C. 0.00% (maturity date between 2021-2025) (31,641,333) (4,428,948) (105.08)IRSW GBP RCV Variable Pay Z.C. 0.00% (maturity date between 2016-2020) (53,883,320) (6,921,272) (164.21)IFSW GBP RCV UKRPI 1D Pay Fixed (maturity date between 2021-2025) (102,391,812) (8,972,949) (212.89)

– – –Unrealised gain on interest rate swaps (2018: 326.72%) – 18,901,831 448.45Unrealised loss on interest rate swaps (2018: (326.17%)) – (20,761,927) (492.58)Net unrealised loss on interest rate swaps – (1,860,096) (44.13)

– – –Total Financial Assets - Collective investment schemes 2,268,407 53.82Total Financial Assets - Financial derivative instruments 18,901,831 448.45Total Financial Liabilities - Financial derivative instruments (20,761,927) (492.58)Total Cost of Investments £2,317,159 (2018: £8,622,637)

Cash at bank (2018: 0.35%) the

33,684 the

0.80 the

Collateral and margin cash (2018: 43.14%) the

3,765,000 the

89.33 the

Net current assets (2018: (31.22%)) 7,902 0.18

Net assets attributable to holders of redeemable shares 4,214,897 100.00

A list of approved counterparties can be seen on page 503.


Portfolio and Schedule of

ldi solutions plus icav - insight investment...ldi solutions plus icav report of the directors...

Documents