UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number(s) 811-22845
Barings Funds Trust
(Exact Name of Registrant as Specified in Charter)
300 S. Tryon Street, Suite 2500
Charlotte, NC 28202
(Address of Principal Executive Offices)
Registrant’s telephone number, including area code: (704) 805-7200
Janice M. Bishop
Vice President, Secretary and Chief Legal Officer
c/o Barings LLC
Independence Wharf
470 Atlantic Avenue
Boston MA 02210
(Name and Address of Agent for Service)
Date of fiscal year end: June 30
Date of reporting period: June 30, 2017
Item 1. | Reports to Stockholders. |
BARINGS FUNDS TRUST
Annual Report
June 30, 2017
BFT Service Providers
ADVISER
Barings LLC
300 South Tryon Street
Suite 2500
Charlotte, NC 28202
SUB-ADVISER
Barings Global Advisers Limited
61 Aldwych
London, UK
WC2B4AE
COUNSEL TO THE TRUST
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, MA 02110
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
30 Rockefeller Plaza
New York, NY
10112-0015
CUSTODIAN
State Street Bank & Trust Company
One Lincoln Street
Boston, MA 02111
TRANSFER AGENT AND REGISTRAR
ALPS Fund Services, Inc.
1290 Broadway
Suite 1100
Denver, CO 80203
FUND ADMINISTRATION/ACCOUNTING
State Street Bank & Trust Company
One Lincoln Street
Boston, MA 02111
FUND DISTRIBUTOR
ALPS Distributors, Inc.
1290 Broadway
Suite 1100
Denver, CO 80203
BLUE SKY ADMINISTRATION
Boston Financial Data Services
2000 Crown Colony Drive
Quincy, MA 02169
PROXY VOTING POLICIES & PROCEDURES
The Trustees of Barings Funds Trust (the “Trust”) have delegated proxy voting responsibilities relating to the voting of securities held by the Trust to Barings LLC (“Barings”). A description of Barings’ proxy voting policies and procedures is available (1) without charge, upon request, by calling, toll-free 1-877-766-0014; (2) on the Trust’s website at http://www.Barings.com; and (3) on the U.S. Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
FORM N-Q
The Trust will file its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. This information is available (i) on the SEC’s website at http://www.sec.gov; and (ii) at the SEC’s Public Reference Room in Washington, DC (which information on their operation may be obtained by calling
1-800-SEC-0330). A complete schedule of portfolio holdings as of each quarter-end is available on the Trust’s website at http://www.Barings.com or upon request by calling, toll-free,
1-877-766-0014.
Duncan Robertson
President
Barings Funds Trust
Barings Funds Trust
Barings Global Floating Rate Fund
Barings Global Credit Income Opportunities Fund
Barings Active Short Duration Bond Fund
Barings Total Return Bond Fund
Barings Emerging Markets Debt Blended Total Return Fund
Barings Emerging Markets Local Currency Debt Fund
Barings Global High Yield Fund
Barings U.S. High Yield Fund
Dear Shareholder,
Thank you, as always, for your continued trust and partnership. The year thus far has proven to be one of positive surprises for investors, overall. We have witnessed equity markets break out to new highs and bond markets, by and large, also delivered positive returns. At the beginning of the year, we noted that we continued to see reasons for optimism while also remaining watchful of potential volatility triggers. The same can be said today as we look ahead to the remainder of 2017.
While certainly not as eventful as 2016, a year memorialized by the surprising results of the U.K.’s European Union referendum (“Brexit”) vote and the election of Donald Trump in the U.S., this year’s political events have kept investors on their toes. Encouragingly, the plethora of political issues – from controversies surrounding the Trump administration, to Brexit negotiations and ongoing geopolitical tensions in the Middle East – have largely been shrugged off by markets. Indeed, the benign, and in some cases, improving economic backdrop has helped to spur a further rally in risk assets, even at a point that some are characterizing as late in the economic cycle.
Can the strength continue? Frankly, it is difficult to say with any degree of certainty. From a bottom-up, research perspective, our investment teams are continuing to find a generally supportive environment for corporate and sovereign issuers. Defaults remain low by historical standards, and while many asset classes have turned in impressive performances in recent years, value can still be found in both developing and emerging markets.
However, as we look ahead to the rest of 2017 and beyond, we do believe that selectivity is becoming even more critical. Our view is that the so-called “beta trade” is likely behind us. In other words, as the economic and credit cycles mature, we believe that simply owning the index – whether in high yield, investment grade credit or emerging markets debt – may lead to disappointing outcomes. Instead, we believe we are entering into a “credit picker’s” market, where we expect performance will be driven mainly by security selection underpinned by deep, fundamental analysis.
At Barings, our investment process is built upon decades of experience conducting rigorous research on every investment we consider. With some of the industry’s largest research teams covering asset classes, including high yield bonds, senior secured loans, emerging markets debt and investment grade credit, we believe we are particularly well positioned to help you uncover value opportunities across the global fixed income spectrum.
On behalf of the entire Barings team, we thank you for your partnership and trust, and we look forward to helping you achieve your investment objectives.
Sincerely,
Duncan Robertson
President,
Barings Funds Trust
Cautionary Notice: Certain statements contained in this report may be “forward looking” statements. Investors are cautioned not to place undue reliance on forward-looking statements, which speak only as of the date in which they are made and reflect management’s current estimates, projections, expectations or beliefs, and which are subject to risks and uncertainties that may cause actual results to differ materially. These statements are subject to change at any time based upon economic, market or other conditions and may not be relied upon as investment advice or an indication of the Trust’s trading intent. References to specific securities are not recommendations of such securities, and may not be representative of the Trust’s current or future investments. We undertake no obligation to publicly update these forward looking statements, whether as a result of new information, future events, or otherwise.
ALPS Distributors, Inc. is the distributor for the Barings mutual funds. ALPS and Barings are separate and unaffiliated. A prospectus can be obtained by calling 1.855.439.5459. Read the prospectus carefully before investing. Investors should carefully consider the investment objective, risks, charges and expenses of any mutual fund before investing. This and other important information is contained in the prospectus.
Barings Global Floating Rate Fund 2017 Annual Report
Investment Objective
The investment objective of the Barings Global Floating Rate Fund (“Global Floating Rate Fund” or the “Fund”) is to seek a high level of current income. Preservation of capital is a secondary goal.
Portfolio Management Commentary
How did the Fund perform?
∎ | The Fund reported a net total rate of return for the annual reporting period from July 1, 2016 through June 30, 2017 of 9.73% and outperformed the Credit Suisse Global Loan Benchmark (the “Benchmark”), which returned 7.59%.1 |
What factors influenced performance of the Fund?
∎ | For the annual reporting period, the Fund’s U.S. and European loans and bonds all contributed to performance relative to the Benchmark, with the U.S. loans being the largest contributor. Commodity-related companies accounted for eight of the Fund’s top ten contributors. |
∎ | Over the last twelve months, the global high yield markets were mostly positive. In the Fund, all sectors, except broadcasting, generated positive returns. Metals/minerals and energy were the two largest sectors contributing to the Fund outperforming the Benchmark. Broadcasting and wireless communications were the two largest sectors detracting from performance versus the Benchmark. |
Describe recent portfolio activity.
∎ | Over the last year the number of holdings in the portfolio was essentially flat, declining from 187 to 186 over the year, while the Fund’s asset size increased $27 million. Over the last 12 months, the Fund increased its exposure to the U.S. and reduced its exposure to Europe. The Fund’s U.S. exposure increased by 7.8% to 73.5%. |
∎ | However, despite the decrease in European exposure, the Fund remained slightly overweight to European assets relative to the global senior secured loan market. The Fund increased its exposure to U.S. assets over the past twelve months as we found it easier to buy more attractive assets in the U.S. market. |
∎ | Over the past 12 months, the Fund’s top sector exposures changed, with only healthcare, education and childcare remaining in the top three. The Fund increased its exposure to the diversified/conglomerate services and telecommunications sectors, while decreasing its exposure to the retail stores and machinery non-agricultural, non-construction, non-electric sectors. |
Describe portfolio positioning at period end.
∎ | The Fund finished the annual reporting period on June 30, 2017, with an 84.8% weighting to global senior secured loans. The remainder of the portfolio was invested primarily in global high yield bonds (8.8%), all senior secured, and cash (6.3%). |
∎ | From an industry perspective, the Fund remains well-diversified across a number of sectors based on Moody’s Industry Classification, with higher concentrations in diversified conglomerate services (12.5%), healthcare, education and childcare (10.7%), and oil & gas (6.4%) as of June 30, 2017. |
1. Total return describes the return to an investor based on the Class Y net expense ratio and includes the reinvestment of dividends and capital gains. Performance data quoted represents past performance. Past performance is no guarantee of future results and investment returns and principal value of the Funds (or of the investment company) will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than performance quoted. Call 1.855.439.5459 or visit barings.com for current month end performance. The net asset value (NAV) will fluctuate with market conditions. All returns 1-year or less are cumulative. The Credit Suisse Global Loan Benchmark is a market capitalization weighted average of the Credit Suisse Leveraged Loan Index and the Credit Suisse Western European Leveraged Loan Index. The Credit Suisse Leveraged Loan Index is designed to mirror the investable universe of the U.S. dollar-denominated leveraged loan market. The Credit Suisse Western European Leveraged Loan Index is designed to mirror the investable universe of the Western European leveraged loan market, with loans denominated in U.S. and Western European currencies. Indices are unmanaged. It is not possible to invest directly in an index.
2
Barings Global Floating Rate Fund 2017 Annual Report
∎ | As of June 30, 2017, the Fund had the following credit quality breakdown: 2.3% in Baa assets, 24.4% in Ba assets, 52.7% in B assets and 7.0% in Caa and below assets. Approximately 7.6% of the Fund’s assets are not publicly rated. Cash and accrued assets accounted for the remaining 6.3% of the portfolio assets. Over the course of the year, the Baa, B and not publically rated assets decreased as the Fund’s exposure to Ba and Caa and below assets increased.2 |
∎ | The top five countries in the portfolio at the end of the annual reporting period are the U.S. (72.5%), the U.K. (7.2%), Germany (4.9%), France (2.9%) and the Netherlands (2.5%). Overall, the Fund has exposure to 15 different countries, and we continue to focus on building a well-diversified portfolio of global floating rate securities. |
Describe market and portfolio outlook.
∎ | On the macroeconomic level, expectations continue for slower to moderate growth coupled with a low-rate environment. In June, the Federal Reserve voted to raise interest rates for the second time in 2017. Along with interest rate hikes, we expect the Federal Reserve will be looking to start winding down its balance sheet. As it stands, the recent rate hikes have had a negligible effect on the high yield market. |
∎ | In Europe, central banks continued a policy of credit easing, and the British exit from the European Union negotiations continued with no substantial consequences. High-profile political transitions took place in Great Britain and France, though markets remained steadfast as concerns of major disruptions receded. Strengthening of economies across the Eurozone has provided the European Central Bank with some much needed flexibility as inflation numbers posted higher than expected and prospects of policy tightening shown on the horizon. |
∎ | The most notable story during the first half of 2017 has been the renewed crude oil price volatility and its effects on energy sector returns. By the end of June, crude oil had experienced a sharp decline from its mid-February high, and more recently has hovered near November 2016 lows. The sharp decline led to declines within the energy sector as a whole, underscoring the growing uncertainty over the short-term outlook for oil and gas producers. |
∎ | As we enter the second half of 2017, we will continue to monitor the geopolitical environment as well as the renewed instability in the energy space. We expect to see ongoing economic growth while labor markets continue to improve and domestic production expands. The U.S. political environment remains in the spotlight as a number of agenda items remain in progress, including tax reform, healthcare and energy production regulations. In the coming months, we expect that crude oil prices, corporate earnings and overall market strength will be drivers of the high yield market. |
2. Ratings shown are the highest rating given by one of the following national rating agencies: S&P, Moody’s or Fitch. Additional information about ratings can be found, respectively, at www.standardandpoors.com, www.moodys.com and www.fitchratings.com. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings categories used by S&P and Fitch; BB, B, CCC/CC/C and D are below investment grade ratings categories used by S&P and Fitch. Aaa, Aa, A and Baa are investment grade ratings categories used by Moody’s; Ba, B, Caa/Ca and C are below investment grade ratings categories used by Moody’s. Ratings categories may include gradations within each category. Bonds backed by U.S. Government or agency securities are given an implied rating equal to the rating of such securities. Holdings designated Not Publicly Rated are not rated by these national rating agencies.
3
Barings Global Floating Rate Fund 2017 Annual Report
PORTFOLIO COMPOSITION (% OF ASSETS*)
* | The percentages shown above represent a percentage of the assets as of June 30, 2017. |
COUNTRY COMPOSITION (% OF ASSETS**)
** | Percentage of assets are expressed by market value excluding cash and accrued income, and may vary over time. The percentages shown above represent a percentage of the assets as of June 30, 2017. |
4
Barings Global Credit Income Opportunities Fund 2017 Annual Report
Investment Objective
The investment objective of the Barings Global Credit Income Opportunities Fund (“Global Credit Income Opportunities Fund” or the “Fund”) is to seek an absolute return, primarily through current income and secondarily through capital appreciation.
Portfolio Management Commentary
How did the Fund perform?
∎ | The Fund reported a net total rate of return for the annual reporting period from July 1, 2016 through June 30, 2017 of 14.90% and outperformed the 3-Month USD LIBOR + 500 basis points1 Benchmark, which retuned 6.09%.2 |
What factors influenced performance of the Fund?
∎ | During the annual reporting period, all asset classes and geographies contributed to performance, with CLOs and North American high yield bonds being the largest contributors. |
∎ | Many of the largest detractors from the prior year’s performance, commodity-related names and CLOs, were contributors to this year’s performance. The energy sector was the largest contributor to performance followed by metals/minerals. The Fund’s CLO holdings returned over 35% and were a major contributor to performance. |
∎ | The Fund’s special situation credits reversed performance from the prior year and produced an attractive return over the last 12 months. |
∎ | The top three detractors from performance were two energy names and one retail name. |
Describe recent portfolio activity.
∎ | The number of holdings in the portfolio increased over the year by 13 positions to 214 issuers as the Fund grew by over $50 million since July 1, 2016. During the year, the portfolio increased its exposure to North America (up 9%) and reduced its European exposure (down 7%). |
∎ | During the year, the Fund increased its exposure to global senior secured loans (up 4.2%) and reduced exposure to global high yield bonds (down 0.6%), CLOs (down 2.7%) and special situations (down 1.1%). |
∎ | The Fund increased its exposure to the diversified/conglomerate services and oil & gas sectors, while decreasing its exposure to the chemicals, plastics & rubber and printing and publishing sectors. |
Describe portfolio positioning at period end.
∎ | The Fund finished the annual reporting period on June 30, 2017 with an allocation of 53.9%, 26.1%, and 12.5% to global high yield bonds, global senior secured loans and CLOs, respectively. The remainder of the portfolio was invested in a few opportunistic special situation credits at 0.6%, equities at 0.6% and cash at 5.5%. Almost 60% of the portfolio is senior secured in nature (includes CLOs backed by secured loans), which can potentially mitigate principal loss in the event that default rates increase. |
1. | A unit that is equal to 1/100th of 1% or 0.01%. |
2. | Total return describes the return to an investor based on the Class Y net expense ratio and includes the reinvestment of dividends and capital gains. Performance data quoted represents past performance. Past performance is no guarantee of future results and investment returns and principal value of the Funds (or of the investment company) will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than performance quoted. Call 1.855.439.5459 or visit barings.com for current month end performance. The net asset value (NAV) will fluctuate with market conditions. All returns 1-year or less are cumulative. The 3-Month USD LIBOR (London Interbank Offered Rate) is an average interest rate, determined by the Intercontinental Exchange, that banks charge one another for the use of short-term money (3 months) in England’s Eurodollar market. The return shown includes 3-Month USD LIBOR plus 500 bps, or 5% per annum. LIBOR is unmanaged. It is not possible to invest directly in LIBOR. No assurance can be given that the Fund’s performance will exceed that of LIBOR by any given increment, or at all. |
5
Barings Global Credit Income Opportunities Fund 2017 Annual Report
∎ | From an industry perspective, the Fund remains well-diversified across a number of sectors based on Moody’s Industry Classification, with higher concentrations in oil & gas (10.8%), diversified/conglomerate services (9.3%), and healthcare, education and childcare (6.4%) as of June 30, 2017. |
∎ | As of June 30, 2017, the Fund had the following credit quality breakdown: 28.1% in Ba assets, 54.3% in B assets and 10.1% in Caa and below assets. Approximately 5.1% of the Fund’s assets are not publicly rated and 5.5% were in cash.3 |
∎ | The top five countries in the portfolio at the end of the annual reporting period are the U.S. (69.5%), the U.K. (10.8%), the Netherlands (2.7%), Germany (2.6%) and France (2.4%). The Cayman Islands exposure related to the Fund’s CLO holdings is included in the U.S. Overall, the Fund has exposure to 17 different countries, and we continue to focus on building a well-diversified portfolio of global high yield securities. |
Describe market and portfolio outlook.
∎ | On the macroeconomic level, expectations continue for slower to moderate growth coupled with a low-rate environment. In June, the Federal Reserve voted to raise interest rates for the second time in 2017. Along with interest rate hikes, we expect the Federal Reserve will be looking to start winding down its balance sheet. As it stands, the recent rate hikes have had a negligible effect on the high yield market. |
∎ | In Europe, Central Banks continued a policy of credit easing and the British exit from the European Union negotiations continued with no substantial consequences. High-profile political transitions took place in Great Britain and France, though markets remained steadfast as concerns of major disruptions receded. Strengthening of economies across the Eurozone has provided the European Central Bank with some much needed flexibility as inflation numbers posted higher than expected and prospects of policy tightening shown on the horizon. |
∎ | The most notable story during the first half of 2017 has been the renewed crude oil price volatility and its effects on energy sector returns. By the end of June, crude oil had experienced a sharp decline from its mid-February high and more recently has hovered near November 2016 lows. The sharp decline led to declines within the energy sector as a whole, underscoring the growing uncertainty over the short-term outlook for oil and gas producers. |
∎ | As we enter the second half of 2017, we will continue to monitor the geopolitical environment as well as the renewed instability in the energy space. We expect to see ongoing economic growth while labor markets continue to improve and domestic production expands. The U.S. political environment remains in the spotlight as a number of agenda items remain in progress, including tax reform, healthcare and energy production regulations. In the coming months, we expect that crude oil prices, corporate earnings and overall market strength will be drivers of the high yield market. |
3. | Ratings shown are the highest rating given by one of the following national rating agencies: S&P, Moody’s or Fitch. Additional information about ratings can be found, respectively, at www.standardandpoors.com, www.moodys.com and www.fitchratings.com. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings categories used by S&P and Fitch; BB, B, CCC/CC/C and D are below investment grade ratings categories used by S&P and Fitch. Aaa, Aa, A and Baa are investment grade ratings categories used by Moody’s; Ba, B, Caa/Ca and C are below investment grade ratings categories used by Moody’s. Ratings categories may include gradations within each category. Bonds backed by U.S. Government or agency securities are given an implied rating equal to the rating of such securities. Holdings designated Not Publicly Rated are not rated by these national rating agencies. |
6
Barings Global Credit Income Opportunities Fund 2017 Annual Report
PORTFOLIO COMPOSITION (% OF ASSETS*)
* | The percentages shown above represent a percentage of the assets as of June 30, 2017. |
COUNTRY COMPOSITION (% OF ASSETS**)
** | Percentage of assets are expressed by market value excluding cash and accrued income, and may vary over time. The percentages shown above represent a percentage of the assets as of June 30, 2017. |
7
Barings Active Short Duration Bond Fund 2017 Annual Report
Investment Objective
Barings Active Short Duration Bond Fund (“Active Short Duration Bond Fund” or the “Fund”) seeks to achieve a high total rate of return primarily from current income while minimizing fluctuations in capital values by investing primarily in a diversified portfolio of short-term investment grade fixed income securities.
Portfolio Management Commentary
How did the Fund perform?
∎ | The Fund reported a net total rate of return for the annual reporting period from July 1, 2016 through June 30, 2017 of 2.38%, outperforming the Bloomberg Barclays U.S. 1-3 Year Government Bond Index, which returned (0.07%).1 |
What factors influenced performance of the Fund?
∎ | Duration positioning positively contributed to performance. The front-end of the yield curve, between three months and three years, was steep to end 2016, and the Fund was in the process of lengthening duration toward its maximum of 3.0 years. Since April, the slope points along the curve we monitor have started to flatten. In accordance with our duration management process, the Fund shortened duration to 1.0 years. |
∎ | The Fund’s allocation to corporate credit contributed positively to performance. Corporate spreads have tightened since the beginning of the year to help performance. Allocations to banking, the financial services industry and pharmaceuticals benefitted the Fund. An allocation to BB-rated high yield bonds also helped performance during the period. |
∎ | An underweight to agency government securities detracted from performance. |
∎ | The securitized sector positively impacted performance over the period. Asset-backed securities (ABS) was the primary contributor within the securitized sector. An allocation to student loans was the largest contributing subsector. Automobile receivables, franchise receivables and timeshares also benefitted ABS performance. Allocations to residential mortgage-backed securities (RMBS) and U.S. agency mortgage-backed securities (MBS) also added to performance. |
∎ | Downside derivative mitigation, such as using investment grade CDX index credit default swaps (a swap where the seller compensates the buyer in the event of a default) to partially hedge our longer-duration ABS exposures, and a payer/receiver swaption pair to hedge against possible rising volatility modestly detracted from performance during the period. |
Describe recent portfolio activity.
∎ | The Fund has recently shortened duration to 1.0 year, as the yield curve between three months and three years flattened along all the appropriate slope points. |
∎ | Recently, the Fund exited the 1% Treasury Inflation Protected Security (TIPS) position entered into in November 2016 after the U.S. Presidential election. |
∎ | The allocation to corporate credit increased by 2% during the period, with purchases in life insurance, metals & mining and REIT sectors. |
1. Total return describes the return to an investor based on the Class Y net expense ratio and includes the reinvestment of dividends and capital gains. Performance data quoted represents past performance. Past performance is no guarantee of future results and investment returns and principal value of the Funds (or of the investment company) will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than performance quoted. Call 1.855.439.5459 or visit barings.com for current month end performance. The net asset value (NAV) will fluctuate with market conditions. All returns 1-year or less are cumulative. The Bloomberg Barclays U.S. 1-3 Year Government Bond Index is comprised of the U.S. Treasury and U.S. Agency Indices. The U.S. Government Index includes Treasuries (public obligations of the U.S. Treasury) and U.S. agency debentures (publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government) that have remaining maturities of more than one year and up to but not including 3 years. Indices are unmanaged. It is not possible to invest directly in an index.
8
Barings Active Short Duration Bond Fund 2017 Annual Report
Describe portfolio positioning at period end.
∎ | Heading into April, growth and inflation prospects receded. Forward market interest rate expectations for higher rates moved lower and the slope of the yield curve flattened. As a result, Fund duration was shortened to 1.0 year by the end of the reporting period. |
∎ | The Fund continues to be well-diversified across corporates, securitized and governments. The corporate allocation is at approximately 45%, with 38% in investment grade corporates, 5% in BB-rated and crossover high yield and 1.5% in U.S. dollar-denominated emerging markets.2 U.S. money centers and regional banks represent the largest corporate allocation to the Fund. Away from the banking sector, insurance still offers attractive income opportunities with decent fundamentals. We also believe that opportunities remain in specific single names based on fundamental research recommendations. |
∎ | The securitized ABS allocation was maintained at 27%. Student loans represent the largest allocation, followed by automotive loan collateral. Additional ABS subsectors consist of timeshares and franchise receivables. The Fund maintains an active positioning in residential mortgage-backed securities (RMBS) and commercial mortgage-backed securities (CMBS), where holdings remain in shorter-maturity seasoned issues. |
∎ | The agency MBS allocation represents 5.5% of the Fund and is invested in agency collateralized mortgage obligations (CMOs), where we prefer the structure’s stable duration characteristics. |
Describe market and portfolio outlook.
∎ | While global growth prospects remain relatively sound, economic data releases in the U.S. have been underwhelming of late. Much, if not all, of the “Trump Fiscal Bump” was priced out of the markets throughout the first half of 2017. Surprisingly, risk assets did well regardless, suggesting investors are looking through the current U.S. soft patch at better global prospects. Arguably, market expectations for fiscal thrust in the U.S. are now so low that any success on tax reform or other Trump initiatives may result in a positive market surprise. |
∎ | With the flattening of the yield curve, the duration of the Fund was shortened to 1.0 year in accordance with our duration management process. |
∎ | The Fund expects to continue to maintain the large underweight in both Treasury and agency securities, with an active allocation to corporate bonds. Supply and demand technicals within investment grade corporate credit remain sound with stabilizing fundamentals. The Fund expects to continue to reinvest within the sector. |
∎ | The Fund expects to continue to selectively add exposure to ABS, such as student loans, and franchise whole business deals, as opportunities arise. |
2. Ratings shown are the highest rating given by one of the following national rating agencies: S&P, Moody’s or Fitch. Additional information about ratings can be found, respectively, at www.standardandpoors.com, www.moodys.com and www.fitchratings.com. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings categories used by S&P and Fitch; BB, B, CCC/CC/C and D are below investment grade ratings categories used by S&P and Fitch. Aaa, Aa, A and Baa are investment grade ratings categories used by Moody’s; Ba, B, Caa/Ca and C are below investment grade ratings categories used by Moody’s. Ratings categories may include gradations within each category. Bonds backed by U.S. Government or agency securities are given an implied rating equal to the rating of such securities. Holdings designated Not Publicly Rated are not rated by these national rating agencies.
9
Barings Active Short Duration Bond Fund 2017 Annual Report
CREDIT QUALITY BREAKDOWN (% OF ASSETS*)
* | The percentages shown above represent a percentage of the assets as of June 30, 2017. |
PORTFOLIO COMPOSITION (% OF ASSETS*)
* | The percentages shown above represent a percentage of the assets as of June 30, 2017. |
10
Barings Total Return Bond Fund 2017 Annual Report
Investment Objective
Barings Total Return Bond Fund (“Total Return Bond Fund” or the “Fund”) seeks a superior total rate of return by investing in fixed income instruments.
Portfolio Management Commentary
How did the Fund perform?
∎ | The Fund reported a net total rate of return for the annual reporting period from July 1, 2016 through June 30, 2017 of 1.90%, outperforming the Bloomberg Barclays U.S. Aggregate Index (the “Benchmark”), which returned (0.31%).1 |
What factors influenced performance of the Fund?
∎ | Investment grade corporate credit was the primary positive contributor to performance as spreads tightened over the period. An overweight to property and casualty insurance and security selection in the retail sector helped performance. An underweight to metals & mining was the primary detractor to the Fund’s performance. |
∎ | An out-of-index allocation to high yield benefitted performance over the period. The Fund holds a position in the Barings U.S. High Yield Fund. |
∎ | Asset-backed securities (ABS) helped largely due to holdings in private and government-guaranteed FFELP student loans, as this sector performed well during the reporting period. Franchise receivables and a small allocation to consumer loans also contributed positively to performance. |
∎ | The commercial mortgage-backed securities (CMBS) allocation detracted from performance during the period. |
∎ | A modest currency overlay strategy, which is 5% of the Fund on a notional basis and helps to lower tracking error, was a slight positive contributor over the period. |
∎ | Downside derivative mitigation, such as using investment grade CDX index credit default swaps (a swap where the seller compensates the buyer in the event of a default) to partially hedge our longer duration ABS exposures, and a payer/receiver swaption pair to hedge against possible rising volatility, modestly detracted from performance during the period. |
Describe recent portfolio activity.
∎ | The Fund has modestly reduced the investment grade corporate allocation by 2% as spreads have tightened, new issuance remains robust and demand has modestly waned. |
∎ | The proceeds were allocated to the agency mortgage-backed securities (MBS) allocation sector. Purchases were in FNMA conventionals based on relative value. |
∎ | The Fund recently exited a 1% U.S. TIPS position as Consumer Price Index (CPI) has trended lower. |
1. Total return describes the return to an investor based on the Class Y net expense ratio, and includes the reinvestment of dividends and capital gains. Performance data quoted represents past performance. Past performance is no guarantee of future results and investment returns and principal value of the Funds (or of the investment company) will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than performance quoted. Call 1.855.439.5459 or visit barings.com for current month end performance. The net asset value (NAV) will fluctuate with market conditions. All returns 1-year or less are cumulative. The Bloomberg Barclays U.S. Aggregate Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. Indices are unmanaged. It is not possible to invest directly in an index.
11
Barings Total Return Bond Fund 2017 Annual Report
Describe portfolio positioning at period end.
∎ | The Fund was duration and curve neutral relative to the Benchmark. |
∎ | The largest overweight relative to the Benchmark is the ABS allocation, which represents 19% of the Fund. The allocation to ABS comprises FFELP student loans, a modest allocation to traditional automotive loan collateral, and compelling esoteric collateral such as timeshares, shipping containers and personal consumer loans. The Fund maintained an active allocation to ABS, with purchases over the period in consumer and commercial sectors, such as student loans, timeshares and shipping containers. |
∎ | Corporate credit represents approximately a 40% allocation versus 31% for the Benchmark. High yield corporates made up 9.5% of the exposure. Insurance is the largest overweight by 2.7%, as yields remain attractive and capital positions are healthy. Food and beverage companies represent the largest underweight by 0.5%. We also believe that opportunities remain in select credits based on recommendations from research. |
∎ | Agency MBS is underweight by 9.0% relative to the Benchmark. Recent purchases have been in FNMA 3.5% coupon, as they are cheap relative to other agency MBS securities. |
∎ | CMBS has organically drifted lower through pay downs. The Fund prefers seasoned vintages, and BBB-rated tranches backed by 2012 vintage collateral, as we believe these represent the best value.2 However, they are difficult to source given their strong underwriting profile. The Fund has gained exposure to these vintages using CMBX, a synthetic index. |
Describe market and portfolio outlook.
∎ | While global growth prospects remain relatively sound, economic data releases in the U.S. have been underwhelming of late. Much, if not all, of the “Trump Fiscal Bump” was priced out of the markets throughout the first half of 2017. Surprisingly, risk assets did well regardless, suggesting investors are looking through the current U.S. soft patch at better global prospects. Arguably, market expectations for fiscal thrust in the U.S. are now so low that any success on tax reform or other Trump initiatives may result in a positive market surprise. |
∎ | Despite tightening spreads, we believe opportunities remain in corporate and securitized sectors. |
∎ | The Fund remains overweight to spread sectors, such as corporates and structured products, relative to liquid products, such as governments and agencies, and seeks to add alpha or return in excess to the Benchmark by investing in under covered sectors where we believe we have competitive advantages, such as esoteric ABS, CLOs and emerging market corporates. |
2. Ratings shown are the highest rating given by one of the following national rating agencies: S&P, Moody’s or Fitch. Additional information about ratings can be found, respectively, at www.standardandpoors.com, www.moodys.com and www.fitchratings.com. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings categories used by S&P and Fitch; BB, B, CCC/CC/C and D are below investment grade ratings categories used by S&P and Fitch. Aaa, Aa, A and Baa are investment grade ratings categories used by Moody’s; Ba, B, Caa/Ca and C are below investment grade ratings categories used by Moody’s. Ratings categories may include gradations within each category. Bonds backed by U.S. Government or agency securities are given an implied rating equal to the rating of such securities. Holdings designated Not Publicly Rated are not rated by these national rating agencies.
12
Barings Total Return Bond Fund 2017 Annual Report
CREDIT QUALITY BREAKDOWN (% OF ASSETS*)
* | The percentages shown above represent a percentage of the assets as of June 30, 2017. |
PORTFOLIO COMPOSITION (% OF ASSETS*)
* | The percentages shown above represent a percentage of the assets as of June 30, 2017. |
13
Barings Emerging Markets Debt Blended Total Return Fund 2017 Annual Report
Investment Objective
The investment objective of the Barings Emerging Markets Debt Blended Total Return Fund (“EMD Blended Total Return Fund” or the “Fund”) is to seek to achieve maximum total return, consistent with preservation of capital and prudent investment management, through high current income generation and, where appropriate, capital appreciation.
Portfolio Management Commentary
How did the Fund perform?
∎ | The Fund reported a net total return from July 1, 2016 through June 30, 2017 of 12.22%.1 |
What factors influenced performance of the Fund?
∎ | For the annual reporting period, the primary contributors to performance came from the Fund’s positioning in: Mexican government bonds, currency and corporates; Brazilian government bonds, currency and corporates; and Peruvian rates, currency and corporate bonds. Corporate holdings in Petrobras, BBVA and Fermaca also aided returns. Key detractors from performance were the Fund’s currency hedges in the Chinese renminbi, Indian rupee and Israeli shekel. These holdings were initiated as hedges against a potential U.S. trade protectionist agenda. |
∎ | The Fund performed well during the first half of 2017 as central banks remained dovish despite hikes in the U.S. and taper talk from the European Central Bank (ECB). Global growth continues to improve and import demand remains strong. Trade balances for most emerging market economies have been improving steadily since 2012. We expect higher export volumes and prices to continue to help improve the trade balances of most emerging market economies over the next 12 months. Flows, a former headwind, have become a significant tailwind. Emerging market corporate, sovereign and local debt have attracted more than $64 billion of flows, surpassing 2016 flows of $42.7 billion. The significant increase is supportive of tighter hard currency spreads as well as stronger currencies. |
Describe recent portfolio activity.
∎ | During the first half of 2017, the Fund added 3.5% exposure to short-dated Turkish government and corporate bonds, 3% to Russian corporates and local currency rates and 2.5% to Indonesian government bonds. Over the period, the Fund reduced exposure to Mexico by 3%, Ghana by 2.5%, Israel by 2% and Brazil by 1.5%. The Fund reduced some exposure to credits where valuations looked stretched in comparison to fundamentals. |
Describe portfolio positioning at period end.
∎ | The Fund finished the reporting period on June 30, 2017 with a 45% exposure to emerging market local currency bonds (up from 38% at the end of 2016), a 30% position in emerging market corporate bonds (down from 35%), a 23% exposure to emerging market sovereign hard currency bonds (down from 25%) and a 3.7% cash position (up from 1.1%). |
∎ | The top five countries in the portfolio at the end of the reporting period are Mexico (19.8%), Brazil (14.5%), Peru (8.1%), Colombia (6.5%) and South Africa (6.9%). The top 5 corporate bonds are BBVA (4%), Petrobras (3.3%), Fermaca (2.3%), Abengo (2%) and Altice (2%). Overall, the Fund has exposure to 27 countries, 14 corporates and 24 different currencies. |
1. | Total return describes the return to an investor based on the Class Y net expense ratio and includes the reinvestment of dividends and capital gains. Performance data quoted represents past performance. Past performance is no guarantee of future results and investment returns and principal value of the Funds (or of the investment company) will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than performance quoted. Call 1.855.439.5459 or visit barings.com for current month end performance. The net asset value (NAV) will fluctuate with market conditions. All returns 1-year or less are cumulative. |
14
Barings Emerging Markets Debt Blended Total Return Fund 2017 Annual Report
Describe market and portfolio outlook.
∎ | We believe developed market fiscal policies are likely to remain expansionary for the next 12 months, providing further support for global growth, which should continue to benefit emerging markets. |
∎ | Although global inflation may rise, we believe it will likely remain relatively subdued and manageable over the next several years. Due to the reduced inflationary pressures, we expect to see lower overall interest rates in countries with floating currencies and credible central bank policies, where nominal yields offer significant compensation for risk. |
∎ | We expect emerging market corporate debt to continue to perform well over the second half of 2017 given the favorable macro trends, meaningful steps to strengthen balance sheets and deleverage, stable commodity prices and improving sovereign stories across Europe and Latin America. |
∎ | Emerging market corporate fundamentals have improved and we believe they are likely to continue to benefit from an increasingly stable macroeconomic environment. |
∎ | Technicals remain favorable and over the next year, we do not expect to see sharp reversals in fund flows, which are at their strongest levels since 2012. Net financing is expected to stay subdued as a result of continued liability management among emerging market corporates. Also supportive of the asset class, we believe cash flows from amortizations and coupons will remain robust in the coming years. |
15
Barings Emerging Markets Debt Blended Total Return Fund 2017 Annual Report
PORTFOLIO COMPOSITION (% OF ASSETS*)
* | The percentages shown above represent a percentage of the assets as of June 30, 2017. |
COUNTRY COMPOSITION (% OF ASSETS*)
* | The percentages shown above represent a percentage of the assets as of June 30, 2017. |
16
Barings Emerging Markets Local Currency Debt Fund 2017 Annual Report
Investment Objective
The investment objective of the Barings Emerging Markets Local Currency Debt Fund (“EM Local Currency Debt Fund” or the “Fund”) is to seek long-term total return through investment in a diversified portfolio of emerging markets local-currency denominated debt securities.
Portfolio Management Commentary
How did the Fund perform?
∎ | The Fund reported a net total rate of return for the annual reporting period from July 1, 2016 through June 30, 2017 of 9.84% and outperformed the J.P. Morgan Government Bond Index Emerging Markets Global Diversified (the “Index”), which returned 6.41%.1 |
What factors influenced performance of the Fund?
∎ | For the reporting period, the Fund’s positions in Mexico, Peru and the euro were the primary contributors to performance relative to the Index. The Fund’s underweight in the Chinese renminbi, Indian rupee, and Israeli shekel were detractors from Fund performance. |
∎ | Mexico experienced a large selloff following the U.S. election in November and Peru sold off due to corruption allegations against its president. Both countries’ assets materially appreciated during the first half of 2017. Since taking office, we believe that President Trump and his administration have been constructive on strong relations with Mexico, for both economic and border security issues. The Mexican peso, the worst performing asset in 2016, has recovered its post-election losses and is currently trading at levels last seen in August 2016. |
Describe recent portfolio activity.
∎ | During the reporting period, the Fund reduced duration in Turkey due to the ongoing political situation, higher inflation and deteriorating fiscal situation. In Brazil, the Fund moved from nominal bonds to inflation-linked bonds due to the potential for higher inflation after 2019, as President Temer’s proposed fiscal and labor reforms may not materialize on the back of an ongoing political saga and prolonged recession. The Fund has also reduced its currency positions in Mexico, Poland and South Africa, after meaningful appreciation, and increased positions in Malaysia, Brazil and Russia on valuations and competitiveness. |
Describe portfolio positioning at period end.
∎ | The Fund finished the reporting period, at June 30, 2017, with an 88.3% exposure to emerging market bonds and an 11.7% cash position. |
∎ | The top five countries in the portfolio at the end of the reporting period are South Africa, Mexico, Indonesia, Malaysia and Brazil. Overall, the Fund has exposure to 16 different countries and 31 different currencies. |
1. | Total return describes the return to an investor based on the Class Y net expense ratio and includes the reinvestment of dividends and capital gains. Performance data quoted represents past performance. Past performance is no guarantee of future results and investment returns and principal value of the Funds (or of the investment company) will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than performance quoted. Call 1.855.439.5459 or visit barings.com for current month end performance. The net asset value (NAV) will fluctuate with market conditions. All returns 1-year or less are cumulative. J.P. Morgan GBI-EM Global Diversified consists of regularly traded, fixed-rate, domestic currency government bonds which international investors can readily access. The maximum weight to any country in the index is capped at 10%. The performance of the index does not reflect the deduction of expenses associated with a fund, such as investment management fees. By contrast, the performance of the Fund reflects the deduction of the fund expenses, including sales charges if applicable. An individual cannot invest directly in an index. |
17
Barings Emerging Markets Local Currency Debt Fund 2017 Annual Report
Describe market and portfolio outlook.
∎ | We remain optimistic that some emerging markets headwinds are in the process of becoming tailwinds for many economies. |
∎ | Emerging market countries continue to see meaningful adjustments to their current accounts to accommodate lower commodity revenues and continue to diversify and compete for export market share. |
∎ | Although global inflation may rise, we believe it will likely remain relatively subdued and manageable over the next several years. Due to the reduced inflationary pressures, we expect to see lower overall interest rates in countries with floating currencies and credible central bank policies, where nominal yields offer significant compensation for risk. |
∎ | The portfolio continues to add to constructive positioning on selected European and Latin American currencies, less so on Asian currencies, while maintaining a watchful eye on commodity prices. |
∎ | The portfolio continues to be positioned in selective rates where inflation is falling along with the narrowing of current account deficits. We believe a picture of global disinflation should remain favorable for emerging markets local debt and the Fund. |
18
Barings Emerging Markets Local Currency Debt Fund 2017 Annual Report
PORTFOLIO COMPOSITION (% OF ASSETS*)
* | Percentage of assets are expressed by market value excluding cash and accrued income, and may vary over time. The percentages shown above represent a percentage of the assets as of June 30, 2017. |
CONTRIBUTION TO DURATION (IN YEARS)
19
Barings Global High Yield Fund 2017 Annual Report
Investment Objective
The investment objective of the Barings Global High Yield Fund (“Global High Yield Fund” or the “Fund”) is to provide high current income generation and, where appropriate, capital appreciation.
Portfolio Management Commentary
How did the Fund perform?
∎ | The Fund reported a net total return from July 1, 2016 through June 30, 2017 of 14.90% and outperformed the Bank of America Merrill Lynch Non-Financial Developed Markets High Yield Constrained Index, which returned 12.58%.1 |
What factors influenced performance of the Fund?
∎ | High yield saw a strong first half of the year, driven by market technicals and fundamentals, although new and recurring headwinds remain present. A strong corporate earnings season and demand for high yield have contributed to positive returns in the U.S. and Europe overall, while renewed volatility in crude oil prices caused the energy sector to weigh on performance across the market. |
∎ | The Fund was able to outperform the Index during this time period in large part due to the selection of quality companies across all industries except consumer-related sectors. Credit selection within the telecommunications and service sectors was a key driver of outperformance relative to the Index. As it pertains to consumer-related sectors, the overweight positioning and credit selection were both detractors to performance during the time period. |
∎ | From a ratings category perspective, the Fund outperformed primarily due to prudent credit selection within the BB and B segments. The Fund’s underweight positioning to BBs and overweight to the B and CCC segments positively impacted performance relative to the Index as the B and CCC categories outperformed the BB portion of the market. Credit selection within CCC rated credits was a detractor to performance as the Fund’s conservative positioning with this ratings category did not keep pace with the market. |
∎ | From a geographical perspective, the Fund’s marketweight positioning to the European and U.S. markets did not have a significant impact on performance. Credit selection within both regions was the key driver of outperformance relative to the Index, with the U.S. having a slight advantage over Europe. |
Describe recent portfolio activity.
∎ | Continuing the trend from the beginning of the year, the Fund remains underweight in the BB ratings category relative to the Index, favoring the B and CCC ratings categories that we believe will continue to outperform as demand for yield persists and corporate fundamentals improve. The Fund’s credit quality allocations have shifted slightly, increasing exposure to CCC rated credits by reducing cash, and maintaining similar allocations to BB and B credits. |
∎ | The Fund’s exposure to the telecommunications and oil & gas sectors experienced the largest market value decreases. The Fund’s largest sector was oil & gas and continues to be an overweight for the strategy relative to the market while telecommunications, the second largest position, continues to be an underweight relative to the market. |
1. Total return describes the return to an investor based on the Class Y net expense ratio and includes the reinvestment of dividends and capital gains. Performance data quoted represents past performance. Past performance is no guarantee of future results and investment returns and principal value of the Funds (or of the investment company) will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than performance quoted. Call 1.855.439.5459 or visit barings.com for current month end performance. The net asset value (NAV) will fluctuate with market conditions. All returns 1-year or less are cumulative. The Bank of America Merrill Lynch Non-Financial Developed Markets High Yield Constrained Index contains all securities in the Bank of America Merrill Lynch Global High Yield Index that are non-financials and from developed markets countries, but caps issuer exposure at 2%. Developed markets is defined as an FX-G10 member, a Western European nation, or a territory of the U.S. or a Western European nation. Indices are unmanaged. It is not possible to invest directly in an index.
20
Barings Global High Yield Fund 2017 Annual Report
∎ | The Fund’s geographical allocations shifted slightly by increasing U.S. exposure by approximately 4% and decreasing exposure to European assets. Relative value opportunities in the U.S. market have generally been more attractive compared to Europe over this time period. As such, the Fund at period-end had a neutral position relative to the market across the two regions. |
Describe portfolio positioning at period end.
∎ | On a traded basis, the Fund finished June 30, 2017 with a 31.3% weighting to senior secured high yield bonds and a 64.5% weighting to senior unsecured high yield bonds. The balance of the portfolio was invested in senior secured loans at 1.6%, unsecured loans at 0.9% and cash and accrued income at 1.8%. |
∎ | From an industry perspective, the Fund remains well-diversified across a number of Moody’s-based industries, with higher concentrations in oil & gas (13.7%), telecommunications (9.0%), and finance (8.1%) as of June 30, 2017. |
∎ | In terms of portfolio credit quality, as of June 30, 2017, the Fund had the following weighting breakdown: 3.4% in Baa, 27.1% in Ba, 51.4% in B, 14.9% in Caa and below and 1.8% in cash and accrued income.2 A small portion of the portfolio (1.4%) is designated as not publicly rated and is not rated by either S&P, Moody’s or Fitch. |
∎ | The top five countries in the portfolio as of June 30, 2017 were the U.S. (68.6%), the U.K. (12.4%), France (3.8%), Switzerland (2.0%) and Ireland (1.8%). Overall, the Fund has exposure to 16 countries and supports our focus on building a well-diversified portfolio of global high yield bonds. |
Describe market and portfolio outlook.
∎ | On the macroeconomic level, expectations continue for slower to moderate growth coupled with a low-rate environment. In June, the Federal Reserve voted to raise interest rates for the second time in 2017. Along with interest rate hikes, we expect the Federal Reserve will be looking to start winding down its balance sheet. As it stands, the recent rate hikes have had a negligible effect on the high yield market. |
∎ | In Europe, Central Banks continued a policy of credit easing and the British exit from the European Union negotiations continued with no substantial consequences. High-profile political transitions took place in Great Britain and France, though markets remained steadfast as concerns of major disruptions receded. Strengthening of economies across the Eurozone has provided the European Central Bank with some much needed flexibility as inflation numbers posted higher than expected and prospects of policy tightening shown on the horizon. |
∎ | The most notable story during the first half of 2017 has been the renewed crude oil price volatility and its effects on Energy sector returns. By the end of June, crude oil experienced a sharp decline from its high in mid-February and more recently hovering near November 2016 lows. The sharp decline further led to declines within the energy sector as a whole putting emphasis on the growing uncertainty over the short term outlook of oil and gas producers. |
∎ | As we enter the second half of 2017, we will continue to monitor the geopolitical environment as well as the renewed instability in the energy space. We expect to see ongoing economic growth while labor markets continue to improve and domestic production expands. The U.S. political environment remains in the spotlight as a number of agenda items remain in progress, including tax reform, healthcare and energy production regulations. In the coming months, we expect that crude oil prices, corporate earnings and overall market strength will be drivers of the high yield market. |
2. Ratings shown are the highest rating given by one of the following national rating agencies: S&P, Moody’s or Fitch. Additional information about ratings can be found, respectively, at www.standardandpoors.com, www.moodys.com and www.fitchratings.com. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings categories used by S&P and Fitch; BB, B, CCC/CC/C and D are below investment grade ratings categories used by S&P and Fitch. Aaa, Aa, A and Baa are investment grade ratings categories used by Moody’s; Ba, B, Caa/Ca and C are below investment grade ratings categories used by Moody’s. Ratings categories may include gradations within each category. Bonds backed by U.S. Government or agency securities are given an implied rating equal to the rating of such securities. Holdings designated Not Publicly Rated are not rated by these national rating agencies.
21
Barings Global High Yield Fund 2017 Annual Report
CREDIT QUALITY COMPOSITION (% OF ASSETS*)
* | The percentages shown above represent a percentage of the assets as of June 30, 2017. |
COUNTRY COMPOSITION (% OF ASSETS**)
** | Percentage of assets are expressed by market value excluding cash and accrued income, and may vary over time. The percentages shown above represent a percentage of the assets as of June 30, 2017. |
22
Barings U.S. High Yield Fund 2017 Annual Report
Investment Objective
The investment objective of the Barings U.S. High Yield Fund (“U.S. High Yield Fund” or the “Fund”) is to seek a high level of total return, with an emphasis on current income, by investing primarily in high yield debt and related securities.
Portfolio Management Commentary
How did the Fund perform?
∎ | The Fund reported a net total return from July 1, 2016 through June 30, 2017 of 13.35% and outperformed the Bloomberg Barclays U.S. Corporate High Yield Index, which returned 12.70%.1 |
What factors influenced performance of the Fund?
∎ | High yield has seen a strong first half of the year driven by market technicals and fundamentals, although new and recurring headwinds remain present. A strong corporate earnings season and demand for high yield have contributed to positive returns overall, while renewed volatility in crude oil prices caused the oil & gas sector to weigh on performance across the market. |
∎ | The Fund was able to outperform the Index during this time period in large part due to the selection of quality companies across all industries. Though the Fund’s exposure to the oil & gas sector was the largest detractor from performance during the period, we remain constructive over the long-term despite the recent volatility. Credit selection within the telecommunications and industrial sectors was a key driver of outperformance relative to the Index. |
∎ | From a ratings category perspective, the Fund outperformed primarily due to prudent credit selection within the BB and B segments. The Fund’s underweight positioning to BBs and overweight to the B and CCC segments positively impacted performance relative to the Index as the B and CCC categories outperformed the BB portion of the market. Credit selection within CCC rated credits was a detractor to performance as the Fund’s conservative positioning with this ratings category did not keep pace with the market. |
Describe recent portfolio activity.
∎ | Continuing the trend from the beginning of the year, the Fund remains underweight in the BB ratings category relative to the Index, favoring the B and CCC ratings categories that we believe will continue to outperform as demand for yield persists and corporate fundamentals improve. The Fund’s credit quality allocations have shifted slightly by decreasing exposure to CCC rated credits and increasing the allocation to B credits. |
∎ | The Fund’s exposure to the telecommunications sector has experienced the largest market value increase compared to other sectors and remains an underweight compared to the market. The Fund’s largest sector was oil & gas, which remained unchanged over the period and continues to be an overweight for the strategy relative to the market. |
1. Total return describes the return to an investor based on the Class Y net expense ratio and includes the reinvestment of dividends and capital gains. Performance data quoted represents past performance. Past performance is no guarantee of future results and investment returns and principal value of the Funds (or of the investment company) will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than performance quoted. Call 1.855.439.5459 or visit barings.com for current month end performance. The net asset value (NAV) will fluctuate with market conditions. All returns 1-year or less are cumulative. The Bloomberg Barclays Capital U.S. Corporate High Yield Index covers the universe of fixed-rate, non-investment grade debt focusing on corporate USD denominated and non-convertible debt. Indices are unmanaged. It is not possible to invest directly in an index.
23
Barings U.S. High Yield Fund 2017 Annual Report
Describe portfolio positioning at period end.
∎ | On a traded basis, the Fund finished June 30, 2017 with a 93.1% weighting to high yield bonds. The balance of the portfolio was invested in senior secured loans at 2.4%, unsecured loans at 0.8% and cash and accrued income at 3.7%. |
∎ | From a sector perspective, the Fund remains well-diversified across a number of Moody’s-based industries, with higher concentrations in oil & gas (17.4%), telecommunications (9.6%) and healthcare, education and childcare (9.3%) as of June 30, 2017. |
∎ | In terms of portfolio credit quality, as of June 30, 2017 the Fund had the following weighting breakdown: 2.7% in Baa, 31.3% in Ba, 47.2% in B, 13.9% in Caa and below, and cash and accrued income at 3.8%.2 A small portion of the portfolio (1.2%) is designated as not publicly rated and is not rated by either S&P, Moody’s or Fitch. |
Describe market and portfolio outlook.
∎ | On the macroeconomic level, expectations continue for slower to moderate growth coupled with a low-rate environment. In June, the Federal Reserve voted to raise interest rates for the second time in 2017. Along with interest rate hikes, we expect the Federal Reserve will be looking to start winding down its balance sheet. As it stands, the recent rate hikes have had a negligible effect on the high yield market. |
∎ | The most notable story during the first half of 2017 has been the renewed crude oil price volatility and its effects on energy sector returns. By the end of June, crude oil experienced a sharp decline from its mid-February high, more recently hovering near November 2016 lows. The sharp decline led to declines within the energy sector as a whole, underscoring the growing uncertainty over the short-term outlook of oil and gas producers. |
∎ | As we enter the second half of 2017, we will continue to monitor the geopolitical environment as well as the renewed instability in the energy space. We expect to see ongoing economic growth while labor markets continue to improve and domestic production expands. The U.S. political environment remains in the spotlight as a number of agenda items remain in progress including tax reform, healthcare and energy production regulations. In the coming months, we believe that crude oil prices, corporate earnings and overall market strength will be drivers of the high yield market. |
2. | Ratings shown are the highest rating given by one of the following national rating agencies: S&P, Moody’s or Fitch. Additional information about ratings can be found, respectively, at www.standardandpoors.com, www.moodys.com and www.fitchratings.com. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings categories used by S&P and Fitch; BB, B, CCC/CC/C and D are below investment grade ratings categories used by S&P and Fitch. Aaa, Aa, A and Baa are investment grade ratings categories used by Moody’s; Ba, B, Caa/Ca and C are below investment grade ratings categories used by Moody’s. Ratings categories may include gradations within each category. Bonds backed by U.S. Government or agency securities are given an implied rating equal to the rating of such securities. Holdings designated Not Publicly Rated are not rated by these national rating agencies. |
24
Barings U.S. High Yield Fund 2017 Annual Report
CREDIT QUALITY COMPOSITION (% OF ASSETS*)
* | The percentages shown above represent a percentage of the assets as of June 30, 2017. |
COUNTRY COMPOSITION (% OF ASSETS*)
* | Percentage of assets are expressed by market value excluding cash and accrued income, and may vary over time. The percentages shown above represent a percentage of the assets as of June 30, 2017. |
25
Barings Funds Trust 2017 Annual Report
SHAREHOLDER EXPENSES (UNAUDITED)
As a shareholder of Barings Global Floating Rate Fund, Barings Global Credit Income Opportunities Fund, Barings Active Short Duration Bond Fund, Barings Total Return Bond Fund, Barings Emerging Markets Debt Blended Total Return Fund, Barings Emerging Markets Local Currency Debt Fund, Barings Global High Yield Fund or Barings U.S. High Yield Fund you incur ongoing expenses, such as management fees, shareholder service fees, distribution fees and other fund expenses. The following table is intended to help you understand your ongoing expenses (in dollars and cents) of investing in the Funds and to compare these expenses with the ongoing expenses of investing in other funds.
The table is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2017 to June 30, 2017.
Actual Expenses
The first line in the table below provides information about the actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for the Fund under the heading entitled “Operating Expense Incurred” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line in the table below provides information about the hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account value and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Barings Global Floating Rate Fund
EXPENSE RATIO | BEGINNING AMOUNT | ENDING VALUE | AVERAGE VALUE | OPERATING EXPENSE INCURRED* | ||||||||||||||||
Class A | ||||||||||||||||||||
Actual | 1.00 | % | $ | 1,000.00 | $ | 1,020.30 | $ | 1,010.15 | $ | 5.01 | ||||||||||
Hypothetical | 1.00 | % | 1,000.00 | 1,019.80 | 1,009.90 | 5.01 | ||||||||||||||
Class C | ||||||||||||||||||||
Actual | 1.75 | % | 1,000.00 | 1,016.40 | 1,008.20 | 8.75 | ||||||||||||||
Hypothetical | 1.75 | % | 1,000.00 | 1,016.10 | 1,008.05 | 8.75 | ||||||||||||||
Class I | ||||||||||||||||||||
Actual | 0.75 | % | 1,000.00 | 1,021.40 | 1,010.70 | 3.76 | ||||||||||||||
Hypothetical | 0.75 | % | 1,000.00 | 1,021.10 | 1,010.55 | 3.76 | ||||||||||||||
Class Y | ||||||||||||||||||||
Actual | 0.75 | % | 1,000.00 | 1,021.40 | 1,010.70 | 3.76 | ||||||||||||||
Hypothetical | 0.75 | % | 1,000.00 | 1,021.10 | 1,010.55 | 3.76 |
* | For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 181/365. |
26
Barings Funds Trust 2017 Annual Report
SHAREHOLDER EXPENSES (UNAUDITED) (CONTINUED)
Barings Global Credit Income Opportunities Fund
EXPENSE RATIO | BEGINNING AMOUNT | ENDING VALUE | AVERAGE VALUE | OPERATING EXPENSE INCURRED* | ||||||||||||||||
Class A | ||||||||||||||||||||
Actual | 1.20 | % | $ | 1,000.00 | $ | 1,044.50 | $ | 1,022.25 | $ | 6.08 | ||||||||||
Hypothetical | 1.20 | % | 1,000.00 | 1,018.80 | 1,009.40 | 6.01 | ||||||||||||||
Class C | ||||||||||||||||||||
Actual | 1.95 | % | 1,000.00 | 1,040.60 | 1,020.30 | 9.87 | ||||||||||||||
Hypothetical | 1.95 | % | 1,000.00 | 1,015.10 | 1,007.55 | 9.74 | ||||||||||||||
Class I | ||||||||||||||||||||
Actual | 0.95 | % | 1,000.00 | 1,045.90 | 1,022.95 | 4.82 | ||||||||||||||
Hypothetical | 0.95 | % | 1,000.00 | 1,020.10 | 1,010.05 | 4.76 | ||||||||||||||
Class Y | ||||||||||||||||||||
Actual | 0.95 | % | 1,000.00 | 1,045.80 | 1,022.90 | 4.82 | ||||||||||||||
Hypothetical | 0.95 | % | 1,000.00 | 1,020.10 | 1,010.05 | 4.76 |
* | For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 181/365. |
Barings Active Short Duration Bond Fund
EXPENSE RATIO | BEGINNING AMOUNT | ENDING VALUE | AVERAGE VALUE | OPERATING EXPENSE INCURRED* | ||||||||||||||||
Class A | ||||||||||||||||||||
Actual | 0.65 | % | $ | 1,000.00 | $ | 1,016.90 | $ | 1,008.45 | $ | 3.25 | ||||||||||
Hypothetical | 0.65 | % | 1,000.00 | 1,021.60 | 1,010.80 | 3.26 | ||||||||||||||
Class C | ||||||||||||||||||||
Actual | 0.90 | % | 1,000.00 | 1,015.60 | 1,007.80 | 4.50 | ||||||||||||||
Hypothetical | 0.90 | % | 1,000.00 | 1,020.30 | 1,010.15 | 4.51 | ||||||||||||||
Class I | ||||||||||||||||||||
Actual | 0.40 | % | 1,000.00 | 1,018.10 | 1,009.05 | 2.00 | ||||||||||||||
Hypothetical | 0.40 | % | 1,000.00 | 1,022.80 | 1,011.40 | 2.01 | ||||||||||||||
Class Y | ||||||||||||||||||||
Actual | 0.40 | % | 1,000.00 | 1,018.10 | 1,009.05 | 2.00 | ||||||||||||||
Hypothetical | 0.40 | % | 1,000.00 | 1,022.80 | 1,011.40 | 2.01 |
* | For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 181/365. |
27
Barings Funds Trust 2017 Annual Report
SHAREHOLDER EXPENSES (UNAUDITED) (CONTINUED)
Barings Total Return Bond Fund
EXPENSE RATIO** | BEGINNING AMOUNT | ENDING VALUE | AVERAGE VALUE | OPERATING EXPENSE INCURRED* | ||||||||||||||||
Class A | ||||||||||||||||||||
Actual | 0.80 | % | $ | 1,000.00 | $ | 1,030.70 | $ | 1,015.35 | $ | 4.03 | ||||||||||
Hypothetical | 0.80 | % | 1,000.00 | 1,020.80 | 1,010.40 | 4.01 | ||||||||||||||
Class C | ||||||||||||||||||||
Actual | 1.55 | % | 1,000.00 | 1,026.80 | 1,013.40 | 7.79 | ||||||||||||||
Hypothetical | 1.55 | % | 1,000.00 | 1,017.10 | 1,008.55 | 7.75 | ||||||||||||||
Class I | ||||||||||||||||||||
Actual | 0.55 | % | 1,000.00 | 1,031.90 | 1,015.95 | 2.77 | ||||||||||||||
Hypothetical | 0.55 | % | 1,000.00 | 1,022.10 | 1,011.05 | 2.76 | ||||||||||||||
Class Y | ||||||||||||||||||||
Actual | 0.55 | % | 1,000.00 | 1,031.90 | 1,015.95 | 2.77 | ||||||||||||||
Hypothetical | 0.55 | % | 1,000.00 | 1,022.10 | 1,011.05 | 2.76 |
* | For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 181/365. |
** | Expense ratios (as disclosed in the table) do not include the expenses of any underlying funds in which the Fund invests. The annualized expense ratios, as stated in the fee table of the Prospectus, may differ from the expense ratios disclosed in this report. |
Barings Emerging Markets Debt Blended Total Return Fund
EXPENSE RATIO | BEGINNING AMOUNT | ENDING VALUE | AVERAGE VALUE | OPERATING EXPENSE INCURRED* | ||||||||||||||||
Class A | ||||||||||||||||||||
Actual | 1.20 | % | $ | 1,000.00 | $ | 1,110.80 | $ | 1,055.40 | $ | 6.28 | ||||||||||
Hypothetical | 1.20 | % | 1,000.00 | 1,018.80 | 1,009.40 | 6.01 | ||||||||||||||
Class C | ||||||||||||||||||||
Actual | 1.95 | % | 1,000.00 | 1,106.80 | 1,053.40 | 10.19 | ||||||||||||||
Hypothetical | 1.95 | % | 1,000.00 | 1,015.10 | 1,007.55 | 9.74 | ||||||||||||||
Class I | ||||||||||||||||||||
Actual | 0.95 | % | 1,000.00 | 1,112.20 | 1,056.10 | 4.98 | ||||||||||||||
Hypothetical | 0.95 | % | 1,000.00 | 1,020.10 | 1,010.05 | 4.76 | ||||||||||||||
Class Y | ||||||||||||||||||||
Actual | 0.95 | % | 1,000.00 | 1,112.20 | 1,056.10 | 4.98 | ||||||||||||||
Hypothetical | 0.95 | % | 1,000.00 | 1,020.10 | 1,010.05 | 4.76 |
* | For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 181/365. |
28
Barings Funds Trust 2017 Annual Report
SHAREHOLDER EXPENSES (UNAUDITED) (CONTINUED)
Barings Emerging Markets Local Currency Debt Fund
EXPENSE RATIO | BEGINNING AMOUNT | ENDING VALUE | AVERAGE VALUE | OPERATING EXPENSE INCURRED* | ||||||||||||||||
Class A | ||||||||||||||||||||
Actual | 1.15 | % | $ | 1,000.00 | $ | 1,134.90 | $ | 1,067.45 | $ | 6.09 | ||||||||||
Hypothetical | 1.15 | % | 1,000.00 | 1,019.10 | 1,009.55 | 5.76 | ||||||||||||||
Class C | ||||||||||||||||||||
Actual | 1.88 | % | 1,000.00 | 1,130.70 | 1,065.35 | 9.93 | ||||||||||||||
Hypothetical | 1.88 | % | 1,000.00 | 1,015.50 | 1,007.75 | 9.39 | ||||||||||||||
Class I | ||||||||||||||||||||
Actual | 0.89 | % | 1,000.00 | 1,136.20 | 1,068.10 | 4.71 | ||||||||||||||
Hypothetical | 0.89 | % | 1,000.00 | 1,020.40 | 1,010.20 | 4.46 | ||||||||||||||
Class Y | ||||||||||||||||||||
Actual | 0.89 | % | 1,000.00 | 1,136.20 | 1,068.10 | 4.71 | ||||||||||||||
Hypothetical | 0.89 | % | 1,000.00 | 1,020.40 | 1,010.20 | 4.46 |
* | For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 181/365. |
Barings Global High Yield Fund
EXPENSE RATIO | BEGINNING AMOUNT | ENDING VALUE | AVERAGE VALUE | OPERATING EXPENSE INCURRED* | ||||||||||||||||
Class A | ||||||||||||||||||||
Actual | 1.05 | % | $ | 1,000.00 | $ | 1,052.60 | $ | 1,026.30 | $ | 5.34 | ||||||||||
Hypothetical | 1.05 | % | 1,000.00 | 1,019.60 | 1,009.80 | 5.26 | ||||||||||||||
Class C | ||||||||||||||||||||
Actual | 1.80 | % | 1,000.00 | 1,048.70 | 1,024.35 | 9.14 | ||||||||||||||
Hypothetical | 1.80 | % | 1,000.00 | 1,015.90 | 1,007.95 | 9.00 | ||||||||||||||
Class I | ||||||||||||||||||||
Actual | 0.80 | % | 1,000.00 | 1,054.00 | 1,027.00 | 4.07 | ||||||||||||||
Hypothetical | 0.80 | % | 1,000.00 | 1,020.80 | 1,010.40 | 4.01 | ||||||||||||||
Class Y | ||||||||||||||||||||
Actual | 0.80 | % | 1,000.00 | 1,054.00 | 1,027.00 | 4.07 | ||||||||||||||
Hypothetical | 0.80 | % | 1,000.00 | 1,020.80 | 1,010.40 | 4.01 |
* | For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 181/365. |
29
Barings Funds Trust 2017 Annual Report
SHAREHOLDER EXPENSES (UNAUDITED) (CONTINUED)
Barings U.S. High Yield Fund
EXPENSE RATIO | BEGINNING AMOUNT | ENDING VALUE | AVERAGE VALUE | OPERATING EXPENSE INCURRED* | ||||||||||||||||
Class A | ||||||||||||||||||||
Actual | 1.00 | % | $ | 1,000.00 | $ | 1,050.00 | $ | 1,025.00 | $ | 5.08 | ||||||||||
Hypothetical | 1.00 | % | 1,000.00 | 1,019.80 | 1,009.90 | 5.01 | ||||||||||||||
Class C | ||||||||||||||||||||
Actual | 1.75 | % | 1,000.00 | 1,045.60 | 1,022.80 | 8.88 | ||||||||||||||
Hypothetical | 1.75 | % | 1,000.00 | 1,016.10 | 1,008.05 | 8.75 | ||||||||||||||
Class I | ||||||||||||||||||||
Actual | 0.75 | % | 1,000.00 | 1,050.70 | 1,025.35 | 3.81 | ||||||||||||||
Hypothetical | 0.75 | % | 1,000.00 | 1,021.10 | 1,010.55 | 3.76 | ||||||||||||||
Class Y | ||||||||||||||||||||
Actual | 0.75 | % | 1,000.00 | 1,050.70 | 1,025.35 | 3.81 | ||||||||||||||
Hypothetical | 0.75 | % | 1,000.00 | 1,021.10 | 1,010.55 | 3.76 |
* | For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 181/365. |
30
Barings Funds Trust 2017 Annual Report
FINANCIAL REPORT
31
Barings Funds Trust 2017 Annual Report
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 2017
BARINGS GLOBAL FLOATING RATE FUND | BARINGS GLOBAL CREDIT INCOME OPPORTUNITIES FUND | BARINGS ACTIVE SHORT DURATION BOND FUND | BARINGS TOTAL RETURN BOND FUND | |||||||||||||
Assets | ||||||||||||||||
Investments, at fair value (cost $201,626,330, $160,059,674, $322,175,713 and $32,131,871, respectively) | $ | 199,369,698 | $ | 160,726,246 | $ | 323,021,851 | $ | 32,589,414 | ||||||||
Cash | – | – | 804,046 | – | ||||||||||||
Cash collateral held | – | 150,000 | – | – | ||||||||||||
Foreign currency, at value (cost $230,651, $90,219, $0 and $0, respectively) | 232,200 | 91,071 | – | – | ||||||||||||
Receivable for investments sold | 5,346,971 | 7,594,448 | 1,419,399 | 2,111,241 | ||||||||||||
Receivable for Fund shares sold | 283,413 | 115,046 | 1,963,394 | 2,400 | ||||||||||||
Interest receivable | 1,338,485 | 1,921,484 | 1,741,946 | 167,457 | ||||||||||||
Receivable from adviser (see Note 3) | – | – | 79,873 | 16,221 | ||||||||||||
Receivable for variation margin on open futures contracts | – | – | 111,874 | – | ||||||||||||
Foreign tax reclaims receivable | 615 | 4,685 | 11 | – | ||||||||||||
Variation margin receivable on open swap contracts | – | – | 339 | 71 | ||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 27,265 | 29,382 | – | 11,347 | ||||||||||||
Unrealized appreciation on unfunded loan commitments | 5,000 | 4,051 | – | – | ||||||||||||
Prepaid expenses | 32,763 | 37,155 | 19,261 | 20,497 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 206,636,410 | 170,673,568 | 329,161,994 | 34,918,648 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Payable for investments purchased | 4,613 | 4,519 | – | 270,248 | ||||||||||||
Payable for TBA and when-issued securities purchased | 9,897,815 | 16,541,931 | 1,755,500 | 4,149,132 | ||||||||||||
Payable for Fund shares repurchased | 253,444 | 116,314 | 2,541,568 | 364 | ||||||||||||
Due to custodian | – | 1,313,982 | 39 | – | ||||||||||||
Swap contracts, at fair value (up-front net premiums received of $0, $0, $21,344 and $5,142, respectively) | – | – | 60,718 | 15,180 | ||||||||||||
Payable for variation margin on open futures contracts | – | – | – | 7,319 | ||||||||||||
Investment advisory fee payable (see Note 3) | 39,431 | 37,466 | – | – | ||||||||||||
Cash collateral Due to Broker | – | 150,000 | 530,000 | – | ||||||||||||
Distribution fees payable | 15,994 | 10,537 | 24,556 | 212 | ||||||||||||
Dividends payable | 56,368 | 280,785 | 71,866 | 59,695 | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 334,783 | 289,668 | – | 9,101 | ||||||||||||
Accrued expenses and other liabilities | 183,146 | 153,190 | 189,540 | 51,564 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 10,785,594 | 18,898,392 | 5,173,787 | 4,562,815 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total net assets | $ | 195,850,816 | $ | 151,775,176 | $ | 323,988,207 | $ | 30,355,833 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
32
Barings Funds Trust 2017 Annual Report
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
June 30, 2017
BARINGS GLOBAL FLOATING RATE FUND | BARINGS GLOBAL CREDIT INCOME OPPORTUNITIES FUND | BARINGS ACTIVE SHORT DURATION BOND FUND | BARINGS TOTAL RETURN BOND FUND | |||||||||||||
Composition of net assets | ||||||||||||||||
Shares of beneficial interest outstanding (par value $0.00001 per share), unlimited number of shares authorized | $ | 205 | $ | 160 | $ | 324 | $ | 30 | ||||||||
Additional paid-in capital | 200,341,516 | 153,801,227 | 321,953,616 | 30,112,319 | ||||||||||||
Undistributed net investment loss | (1,302,641 | ) | (1,244,900 | ) | (12,296 | ) | (46,905 | ) | ||||||||
Accumulated net realized gain (loss) | (568,723 | ) | (1,189,107 | ) | 997,863 | (161,908 | ) | |||||||||
Net unrealized appreciation (depreciation) | (2,619,541 | ) | 407,796 | 1,048,700 | 452,297 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total net assets | $ | 195,850,816 | $ | 151,775,176 | $ | 323,988,207 | $ | 30,355,833 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class A | ||||||||||||||||
Net assets applicable to outstanding shares | $ | 45,363,429 | $ | 26,904,482 | $ | 119,188,835 | $ | 217,975 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of beneficial interest outstanding | 4,753,336 | 2,830,193 | 11,902,060 | 21,618 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share outstanding | $ | 9.54 | $ | 9.51 | $ | 10.01 | $ | 10.08 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Maximum offering price per share outstanding (Net asset value plus sales charge of 3.00%, 4.00%, 0.00% and 4.00%, respectively) | $ | 9.84 | $ | 9.91 | $ | 10.01 | $ | 10.50 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Net assets applicable to outstanding shares | $ | 8,017,810 | $ | 6,628,193 | $ | 235,568 | $ | 202,272 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of beneficial interest outstanding | 843,207 | 698,070 | 23,540 | 20,061 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share outstanding | $ | 9.51 | $ | 9.50 | $ | 10.01 | $ | 10.08 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Net assets applicable to outstanding shares | $ | 19,733,204 | $ | 22,228,109 | $ | 100,217 | $ | 12,457,385 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of beneficial interest outstanding | 2,064,006 | 2,338,763 | 10,010 | 1,235,482 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share outstanding | $ | 9.56 | $ | 9.50 | $ | 10.01 | $ | 10.08 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | ||||||||||||||||
Net assets applicable to outstanding shares | $ | 122,736,373 | $ | 96,014,392 | $ | 204,463,587 | $ | 17,478,201 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of beneficial interest outstanding | 12,841,783 | 10,102,404 | 20,430,677 | 1,733,379 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share outstanding | $ | 9.56 | $ | 9.50 | $ | 10.01 | $ | 10.08 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
33
Barings Funds Trust 2017 Annual Report
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 2017
BARINGS EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND | BARINGS EMERGING MARKETS LOCAL CURRENCY DEBT FUND | BARINGS GLOBAL HIGH YIELD FUND | BARINGS U.S. HIGH YIELD FUND | |||||||||||||
Assets | ||||||||||||||||
Investments, at fair value (cost $10,150,608, $4,839,652, $27,319,678 and $32,351,849, respectively) | $ | 10,607,535 | $ | 5,141,785 | $ | 28,073,222 | $ | 33,362,565 | ||||||||
Cash | 1,100 | – | 655 | 655 | ||||||||||||
Cash collateral held | 110,000 | 30,000 | – | – | ||||||||||||
Foreign currency, at value (cost $19, $3,905, $17,377 and $0, respectively) | 19 | 4,022 | 17,433 | – | ||||||||||||
Receivable for investments sold | – | 229,060 | 25,204 | 836,922 | ||||||||||||
Interest receivable | 182,504 | 102,349 | 466,535 | 508,294 | ||||||||||||
Receivable from adviser (see Note 3) | 15,852 | 16,134 | 7,829 | 7,664 | ||||||||||||
Receivable for variation margin on open futures contracts | 9,955 | – | – | – | ||||||||||||
Swap contracts, at fair value | 3,346 | 26,569 | – | – | ||||||||||||
Foreign tax reclaims receivable | – | 1,197 | 1,727 | 297 | ||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 236,064 | 178,973 | 9,654 | – | ||||||||||||
Unrealized appreciation on unfunded loan commitments | – | – | 735 | 489 | ||||||||||||
Prepaid expenses | 19,713 | 20,001 | 20,100 | 20,076 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 11,186,088 | 5,750,090 | 28,623,094 | 34,736,962 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Payable for investments purchased | – | 214,363 | – | – | ||||||||||||
Payable for TBA and when-issued securities purchased | – | – | 505,372 | 1,439,607 | ||||||||||||
Payable for Fund shares repurchased | 457 | – | 666 | 4,741 | ||||||||||||
Due to custodian | – | 1,718 | – | – | ||||||||||||
Payable for variation margin on open swap contracts | – | 1,647 | – | – | ||||||||||||
Distribution fees payable | 226 | 110 | 226 | 589 | ||||||||||||
Dividends payable | 45,491 | 19,131 | 134,955 | 138,028 | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 256,119 | 126,202 | 88,437 | – | ||||||||||||
Accrued expenses and other liabilities | 48,301 | 46,116 | 53,862 | 51,378 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 350,594 | 409,287 | 783,518 | 1,634,343 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total net assets | $ | 10,835,494 | $ | 5,340,803 | $ | 27,839,576 | $ | 33,102,619 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
34
Barings Funds Trust 2017 Annual Report
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
June 30, 2017
BARINGS EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND | BARINGS EMERGING MARKETS LOCAL CURRENCY DEBT FUND | BARINGS GLOBAL HIGH YIELD FUND | BARINGS U.S. HIGH YIELD FUND | |||||||||||||
Composition of net assets | ||||||||||||||||
Shares of beneficial interest outstanding (par value $0.00001 per share), unlimited number of shares authorized | $ | 10 | $ | 5 | $ | 27 | $ | 31 | ||||||||
Additional paid-in capital | 10,289,329 | 4,999,995 | 26,718,283 | 31,349,353 | ||||||||||||
Undistributed net investment loss | (50,942 | ) | (19,131 | ) | (134,955 | ) | (95 | ) | ||||||||
Accumulated net realized gain | 136,838 | (19,293 | ) | 576,631 | 742,125 | |||||||||||
Net unrealized appreciation | 460,259 | 379,227 | 679,590 | 1,011,205 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total net assets | $ | 10,835,494 | $ | 5,340,803 | $ | 27,839,576 | $ | 33,102,619 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class A | ||||||||||||||||
Net assets applicable to outstanding shares | $ | 210,983 | $ | 106,817 | $ | 111,198 | $ | 2,632,856 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of beneficial interest outstanding | 20,006 | 10,000 | 10,650 | 248,613 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share outstanding | $ | 10.55 | $ | 10.68 | $ | 10.44 | $ | 10.59 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Maximum offering price per share outstanding (Net asset value plus sales charge of 4.00%) | $ | 10.99 | $ | 11.13 | $ | 10.88 | $ | 11.03 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Net assets applicable to outstanding shares | $ | 221,507 | $ | 106,817 | $ | 246,771 | $ | 118,437 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of beneficial interest outstanding | 21,005 | 10,000 | 23,633 | 11,189 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share outstanding | $ | 10.55 | $ | 10.68 | $ | 10.44 | $ | 10.59 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Net assets applicable to outstanding shares | $ | 5,063,463 | $ | 2,563,585 | $ | 12,946,787 | $ | 15,720,125 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of beneficial interest outstanding | 480,156 | 240,000 | 1,240,000 | 1,485,051 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share outstanding | $ | 10.55 | $ | 10.68 | $ | 10.44 | $ | 10.59 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | ||||||||||||||||
Net assets applicable to outstanding shares | $ | 5,339,541 | $ | 2,563,584 | $ | 14,534,820 | $ | 14,631,201 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of beneficial interest outstanding | 506,325 | 240,000 | 1,392,101 | 1,382,293 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share outstanding | $ | 10.55 | $ | 10.68 | $ | 10.44 | $ | 10.58 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
35
Barings Funds Trust 2017 Annual Report
For the Year Ended June 30, 2017
BARINGS GLOBAL FLOATING RATE FUND | BARINGS GLOBAL CREDIT INCOME OPPORTUNITIES FUND | BARINGS ACTIVE SHORT DURATION BOND FUND | BARINGS TOTAL RETURN BOND FUND | |||||||||||||
Investment Income | ||||||||||||||||
Interest income | $ | 9,504,906 | $ | 8,709,213 | $ | 5,849,689 | $ | 711,417 | ||||||||
Dividends | 1,231 | – | – | 203,245 | ||||||||||||
Other income | 215,746 | 95,950 | 527 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 9,721,883 | 8,805,163 | 5,850,216 | 914,662 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Operating Expenses | ||||||||||||||||
Advisory fees | 1,123,060 | 930,139 | 862,959 | 111,712 | ||||||||||||
12b-1 distribution and servicing plan | ||||||||||||||||
Class A | 77,558 | 48,183 | 230,235 | 547 | ||||||||||||
Class C | 76,593 | 48,298 | – | 2,019 | ||||||||||||
Administrator fees | 279,002 | 208,575 | 382,543 | 62,179 | ||||||||||||
Custody fees | 197,157 | 152,629 | 293,239 | 59,280 | ||||||||||||
Professional fees | 114,002 | 97,851 | 66,700 | 32,749 | ||||||||||||
Transfer agent fees | 30,765 | 49,616 | 62,037 | 17,704 | ||||||||||||
Directors’ fees | 51,689 | 40,531 | 61,804 | 21,984 | ||||||||||||
Registration fees | 106,269 | 60,593 | 199,563 | 61,517 | ||||||||||||
Printing and mailing expenses | 34,881 | 25,866 | 42,876 | 9,756 | ||||||||||||
Interest expense | – | – | 174 | 48 | ||||||||||||
Other operating expenses | 43,894 | 31,398 | 53,576 | 11,377 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total operating expenses | 2,134,870 | 1,693,679 | 2,255,706 | 390,872 | ||||||||||||
Reimbursement of expenses | ||||||||||||||||
Class A | (118,533 | ) | (68,571 | ) | (376,687 | ) | (5,965 | ) | ||||||||
Class C | (40,703 | ) | (21,087 | ) | (7,157 | ) | (5,777 | ) | ||||||||
Class I | (80,659 | ) | (78,963 | ) | (7,779 | ) | (100,118 | ) | ||||||||
Class Y | (451,352 | ) | (250,405 | ) | (647,442 | ) | (122,796 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net operating expenses | 1,443,623 | 1,274,653 | 1,216,641 | 156,216 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income | 8,278,260 | 7,530,510 | 4,633,575 | 758,446 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
36
Barings Funds Trust 2017 Annual Report
STATEMENTS OF OPERATIONS (CONTINUED)
For the Year Ended June 30, 2017
BARINGS GLOBAL FLOATING RATE FUND | BARINGS GLOBAL CREDIT INCOME OPPORTUNITIES FUND | BARINGS ACTIVE SHORT DURATION BOND FUND | BARINGS TOTAL RETURN BOND FUND | |||||||||||||
Realized and Unrealized Gains (Losses) on Investments | ||||||||||||||||
Net realized gain (loss) on investments | $ | (2,482,430 | ) | $ | (611,931 | ) | $ | (45,791 | ) | $ | 20,880 | |||||
Net realized gain on forward foreign currency exchange contracts | 2,906,612 | 1,810,370 | 10,370 | 18,211 | ||||||||||||
Net realized gain (loss) on foreign currency and translation | (657,481 | ) | 11,683 | – | – | |||||||||||
Net realized gain (loss) on futures contracts | – | – | 1,238,507 | (56,559 | ) | |||||||||||
Net realized (loss) on swap contracts | – | – | (13,991 | ) | (16,406 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (233,299 | ) | 1,210,122 | 1,189,095 | (33,874 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) on investments | 9,367,633 | 8,944,852 | (170,163 | ) | (59,767 | ) | ||||||||||
Net change in unrealized appreciation on unfunded loan commitments | 5,000 | 4,051 | – | – | ||||||||||||
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts | (2,104,289 | ) | (1,639,169 | ) | 1,972 | 3,858 | ||||||||||
Net change in unrealized appreciation (depreciation) on foreign currency and translation | (72,642 | ) | (27,024 | ) | – | – | ||||||||||
Net change in unrealized appreciation (depreciation) on futures contracts | – | – | 370,423 | (86,817 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) on swap contracts | – | – | (30,109 | ) | (7,099 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) | 7,195,702 | 7,282,710 | 172,123 | (149,825 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gains (losses) on investments | 6,962,403 | 8,492,832 | 1,361,218 | (183,699 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | $ | 15,240,663 | $ | 16,023,342 | $ | 5,994,793 | $ | 574,747 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
37
Barings Funds Trust 2017 Annual Report
STATEMENTS OF OPERATIONS
For the Year Ended June 30, 2017
BARINGS EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND | BARINGS EMERGING MARKETS LOCAL CURRENCY DEBT FUND | BARINGS GLOBAL HIGH YIELD FUND | BARINGS U.S. HIGH YIELD FUND | |||||||||||||
Investment Income | ||||||||||||||||
Interest income (net of withholding tax of $6,808, $9,303, $0 and $0, respectively) | $ | 542,349 | $ | 181,979 | $ | 1,955,870 | $ | 2,291,200 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 542,349 | 181,979 | 1,955,870 | 2,291,200 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Operating Expenses | ||||||||||||||||
Advisory fees | 76,434 | 39,385 | 161,867 | 173,855 | ||||||||||||
12b-1 distribution and servicing plan | ||||||||||||||||
Class A | 507 | 263 | 268 | 4,963 | ||||||||||||
Class C | 2,077 | 1,050 | 1,952 | 1,104 | ||||||||||||
Administrator fees | 34,381 | 27,307 | 57,286 | 63,724 | ||||||||||||
Custody fees | 32,649 | 30,039 | 42,525 | 46,173 | ||||||||||||
Professional fees | 32,440 | 31,354 | 37,577 | 31,394 | ||||||||||||
Transfer agent fees | 23,280 | 16,792 | 18,809 | 16,914 | ||||||||||||
Directors’ fees | 18,378 | 17,374 | 21,816 | 22,695 | ||||||||||||
Registration fees | 60,707 | 60,082 | 60,853 | 61,473 | ||||||||||||
Printing and mailing expenses | 7,071 | 6,429 | 9,556 | 10,071 | ||||||||||||
Other operating expenses | 7,439 | 6,211 | 11,239 | 12,134 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total operating expenses | 295,363 | 236,286 | 423,748 | 444,500 | ||||||||||||
Reimbursement of expenses | ||||||||||||||||
Class A | (9,364 | ) | (7,726 | ) | (5,590 | ) | (16,205 | ) | ||||||||
Class C | (9,500 | ) | (7,738 | ) | (6,133 | ) | (4,892 | ) | ||||||||
Class I | (90,595 | ) | (88,457 | ) | (93,459 | ) | (94,069 | ) | ||||||||
Class Y | (91,723 | ) | (88,457 | ) | (100,524 | ) | (86,192 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net operating expenses | 94,181 | 43,908 | 218,042 | 243,142 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income | 448,168 | 138,071 | 1,737,828 | 2,048,058 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
38
Barings Funds Trust 2017 Annual Report
STATEMENTS OF OPERATIONS (CONTINUED)
For the Year Ended June 30, 2017
BARINGS EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND | BARINGS EMERGING MARKETS LOCAL CURRENCY DEBT FUND | BARINGS GLOBAL HIGH YIELD FUND | BARINGS U.S. HIGH YIELD FUND | |||||||||||||
Realized and Unrealized Gains (Losses) on Investments | ||||||||||||||||
Net realized gain on investments | $ | 137,827 | $ | 18,830 | $ | 668,379 | $ | 1,008,031 | ||||||||
Net realized gain on forward foreign currency exchange contracts | 205,253 | 145,221 | 436,697 | – | ||||||||||||
Net realized gain (loss) on foreign currency and translation | 3,856 | 1,059 | (6,331 | ) | – | |||||||||||
Net realized gain (loss) on futures contracts | (8,404 | ) | (160 | ) | – | – | ||||||||||
Net realized gain on swap contracts | 76,699 | 46,363 | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain | 415,231 | 211,313 | 1,098,745 | 1,008,031 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation on investments | 343,756 | (1) | 79,473 | (2) | 1,241,745 | 829,293 | ||||||||||
Net change in unrealized appreciation on unfunded loan commitments | – | – | 735 | 489 | ||||||||||||
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts | (53,592 | ) | 53,967 | (359,672 | ) | – | ||||||||||
Net change in unrealized appreciation (depreciation) on foreign currency and translation | (1,445 | ) | (2,630 | ) | 9,887 | – | ||||||||||
Net change in unrealized appreciation (depreciation) on futures contracts | (4,335 | ) | – | – | – | |||||||||||
Net change in unrealized appreciation (depreciation) on swap contracts | 28,498 | (7,791 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation | 312,882 | 123,019 | 892,695 | 829,782 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gains on investments | 728,113 | 334,332 | 1,991,440 | 1,837,813 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | $ | 1,176,281 | $ | 472,403 | $ | 3,729,268 | $ | 3,885,871 | ||||||||
|
|
|
|
|
|
|
|
(1) | Net of change in unrealized appreciation (depreciation) of foreign capital gains taxes of $(3,514). |
(2) | Net of change in unrealized appreciation (depreciation) of foreign capital gains taxes of $653. |
See accompanying Notes to the Financial Statements.
39
Barings Funds Trust 2017 Annual Report
STATEMENTS OF CHANGES IN NET ASSETS
BARINGS GLOBAL FLOATING RATE FUND | BARINGS GLOBAL CREDIT INCOME OPPORTUNITIES FUND | |||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | FOR THE YEAR ENDED JUNE 30, 2016 | FOR THE YEAR ENDED JUNE 30, 2017 | FOR THE YEAR ENDED JUNE 30, 2016 | |||||||||||||
Operations | ||||||||||||||||
Net investment income | $ | 8,278,260 | $ | 8,206,929 | $ | 7,530,510 | $ | 5,621,819 | ||||||||
Net realized gain (loss) on investments | (233,299 | ) | (3,068,981 | ) | 1,210,122 | (2,698,429 | ) | |||||||||
Net change in unrealized appreciation (depreciation) on investments | 7,195,702 | (4,711,060 | ) | 7,282,710 | (3,086,490 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 15,240,663 | 426,888 | 16,023,342 | (163,100 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends to Common Shareholders | ||||||||||||||||
Net investment income |
| |||||||||||||||
Class A | (938,252 | ) | (304,354 | ) | (998,532 | ) | (835,584 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | (185,364 | ) | (268,027 | ) | (215,973 | ) | (205,363 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | (672,463 | ) | (1,191,256 | ) | (1,381,435 | ) | (1,782,878 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | (3,901,578 | ) | (6,742,434 | ) | (4,128,774 | ) | (3,292,537 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Return of capital |
| |||||||||||||||
Class A | (539,887 | ) | – | (128,650 | ) | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | (92,940 | ) | – | (27,208 | ) | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | (292,699 | ) | – | (142,739 | ) | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | (1,654,649 | ) | – | (507,018 | ) | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends to common shareholders | (8,277,832 | ) | (8,506,071 | ) | (7,530,329 | ) | (6,116,362 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Share Transactions | ||||||||||||||||
Net proceeds from sale of shares | 148,677,637 | 76,837,249 | 80,293,147 | 38,204,380 | ||||||||||||
Net Asset Value of shares issued to shareholders in payment of distributions declared | 6,768,827 | 6,057,323 | 3,419,184 | 2,714,185 | ||||||||||||
Cost of shares redeemed | (133,201,507 | ) | (74,331,498 | ) | (39,350,864 | ) | (17,451,036 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from capital stock transactions | 22,244,957 | 8,563,074 | 44,361,467 | 23,467,529 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase in net assets | 29,207,788 | 483,891 | 52,854,480 | 17,188,067 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | ||||||||||||||||
Beginning of year | 166,643,028 | 166,159,137 | 98,920,696 | 81,732,629 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of year (includes undistributed net investment income of $(1,302,641), $(1,114,593), $(1,244,900) and $(704,256), respectively) | $ | 195,850,816 | $ | 166,643,028 | $ | 151,775,176 | $ | 98,920,696 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
40
Barings Funds Trust 2017 Annual Report
STATEMENTS OF CHANGES IN NET ASSETS
BARINGS ACTIVE SHORT DURATION BOND FUND | BARINGS TOTAL RETURN BOND FUND | |||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (1) | FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (1) | |||||||||||||
Operations | ||||||||||||||||
Net investment income | $ | 4,633,575 | $ | 1,645,747 | $ | 758,446 | $ | 675,606 | ||||||||
Net realized gain (loss) on investments | 1,189,095 | (74,313 | ) | (33,874 | ) | (74,427 | ) | |||||||||
Net change in unrealized appreciation (depreciation) on investments | 172,123 | 876,577 | (149,825 | ) | 602,122 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 5,994,793 | 2,448,011 | 574,747 | 1,203,301 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends to Common Shareholders | ||||||||||||||||
Net investment income |
| |||||||||||||||
Class A | (1,605,272 | ) | (189,128 | ) | (5,751 | ) | (5,003 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | (5,353 | ) | (2,030 | ) | (3,785 | ) | (3,522 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | (11,257 | ) | (328,113 | ) | (357,307 | ) | (336,827 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | (3,057,128 | ) | (1,108,430 | ) | (433,167 | ) | (338,788 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain |
| |||||||||||||||
Class A | (38,267 | ) | – | – | (403 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | (114 | ) | – | – | (402 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | (42 | ) | – | – | (24,782 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | (63,403 | ) | – | – | (24,827 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends to common shareholders | (4,780,836 | ) | (1,627,701 | ) | (800,010 | ) | (734,554 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Share Transactions | ||||||||||||||||
Net proceeds from sale of shares | 317,789,229 | 209,020,134 | 5,001,298 | 25,427,645 | ||||||||||||
Net Asset Value of shares issued to shareholders in payment of distributions declared | 4,101,768 | 841,543 | 75,328 | 111,617 | ||||||||||||
Cost of shares redeemed | (154,981,250 | ) | (54,817,484 | ) | (503,539 | ) | – | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from capital stock transactions | 166,909,747 | 155,044,193 | 4,573,087 | 25,539,262 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase in net assets | 168,123,704 | 155,864,503 | 4,347,824 | 26,008,009 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | ||||||||||||||||
Beginning of year | 155,864,503 | – | 26,008,009 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of year (includes undistributed net investment income of $(12,296), $29,798, $(46,905) and $(5,783), respectively) | $ | 323,988,207 | $ | 155,864,503 | $ | 30,355,833 | $ | 26,008,009 | ||||||||
|
|
|
|
|
|
|
|
(1) | Fund commenced operations on July 8, 2015. |
See accompanying Notes to the Financial Statements.
41
Barings Funds Trust 2017 Annual Report
STATEMENTS OF CHANGES IN NET ASSETS
BARINGS EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND | BARINGS EMERGING MARKETS LOCAL CURRENCY DEBT FUND | |||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM OCTOBER 21, 2015 THROUGH JUNE 30, 2016 (1) | FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM DECEMBER 8, 2015 THROUGH JUNE 30, 2016 (2) | |||||||||||||
Operations | ||||||||||||||||
Net investment income | $ | 448,168 | $ | 448,418 | $ | 138,071 | $ | 257,477 | ||||||||
Net realized gain (loss) on investments | 415,231 | (334,735 | ) | 211,313 | 110,231 | |||||||||||
Net change in unrealized appreciation on investments | 312,882 | 147,377 | 123,019 | 256,208 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 1,176,281 | 261,060 | 472,403 | 623,916 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends to Common Shareholders | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | (10,093 | ) | (6,867 | ) | (9,790 | ) | (3,143 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | (8,789 | ) | (5,895 | ) | (9,013 | ) | (2,726 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | (254,319 | ) | (172,655 | ) | (241,257 | ) | (78,768 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | (256,813 | ) | (172,655 | ) | (241,252 | ) | (78,767 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain | ||||||||||||||||
Class A | – | (62 | ) | (1,816 | ) | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | – | (62 | ) | (1,816 | ) | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | – | (1,488 | ) | (43,584 | ) | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | – | (1,488 | ) | (43,584 | ) | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends to common shareholders | (530,014 | ) | (361,172 | ) | (592,112 | ) | (163,404 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Share Transactions | ||||||||||||||||
Net proceeds from sale of shares | 539,240 | 10,000,000 | – | 5,000,000 | ||||||||||||
Net Asset Value of shares issued to shareholders in payment of distributions declared | 2,427 | 3,100 | – | – | ||||||||||||
Cost of shares redeemed | (255,428 | ) | – | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from capital stock transactions | 286,239 | 10,003,100 | – | 5,000,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 932,506 | 9,902,988 | (119,709 | ) | 5,460,512 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | ||||||||||||||||
Beginning of year | 9,902,988 | – | 5,460,512 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of year (includes undistributed net investment income of $(50,942), $(81,669), $(19,131) and $197,484, respectively) | $ | 10,835,494 | $ | 9,902,988 | $ | 5,340,803 | $ | 5,460,512 | ||||||||
|
|
|
|
|
|
|
|
(1) | Fund commenced operations on October 21, 2015. |
(2) | Fund commenced operations on December 8, 2015. |
See accompanying Notes to the Financial Statements.
42
Barings Funds Trust 2017 Annual Report
STATEMENTS OF CHANGES IN NET ASSETS
BARINGS GLOBAL HIGH YIELD FUND | BARINGS U.S. HIGH YIELD FUND | |||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (1) | FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (1) | |||||||||||||
Operations | ||||||||||||||||
Net investment income | $ | 1,737,828 | $ | 980,491 | $ | 2,048,058 | $ | 1,053,626 | ||||||||
Net realized gain on investments | 1,098,745 | 345,486 | 1,008,031 | 288,570 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investments | 892,695 | (213,105 | ) | 829,782 | 181,423 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 3,729,268 | 1,112,872 | 3,885,871 | 1,523,619 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends to Common Shareholders | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | (6,644 | ) | (3,764 | ) | (123,272 | ) | (4,605 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | (10,538 | ) | (3,285 | ) | (6,069 | ) | (3,286 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | (829,764 | ) | (486,534 | ) | (1,005,037 | ) | (559,016 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | (890,882 | ) | (486,908 | ) | (913,775 | ) | (486,719 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain | ||||||||||||||||
Class A | (3,987 | ) | – | (24,333 | ) | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | (7,212 | ) | – | (1,951 | ) | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | (474,176 | ) | – | (274,369 | ) | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | (517,180 | ) | – | (253,823 | ) | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends to common shareholders | (2,740,383 | ) | (980,491 | ) | (2,602,629 | ) | (1,053,626 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Share Transactions | ||||||||||||||||
Net proceeds from sale of shares | 1,640,235 | 25,138,500 | 7,082,995 | 27,302,500 | ||||||||||||
Net Asset Value of shares issued to shareholders in payment of distributions declared | 111,913 | 262 | 428,741 | 72,759 | ||||||||||||
Cost of shares redeemed | (172,600 | ) | – | (3,537,611 | ) | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from capital stock transactions | 1,579,548 | 25,138,762 | 3,974,125 | 27,375,259 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase in net assets | 2,568,433 | 25,271,143 | 5,257,367 | 27,845,252 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | ||||||||||||||||
Beginning of year | 25,271,143 | – | 27,845,252 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of year (includes undistributed net investment income of $(134,955), $54,471, $(95) and $0, respectively) | $ | 27,839,576 | $ | 25,271,143 | $ | 33,102,619 | $ | 27,845,252 | ||||||||
|
|
|
|
|
|
|
|
(1) | Fund commenced operations on October 30, 2015. |
See accompanying Notes to the Financial Statements.
43
Barings Global Floating Rate Fund 2017 Annual Report
CLASS A | ||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | FOR THE YEAR ENDED JUNE 30, 2016 | FOR THE YEAR ENDED JUNE 30, 2015 | PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (1) | |||||||||||||
Per Common Share Data | ||||||||||||||||
Net asset value, beginning of year | $ | 9.13 | $ | 9.60 | $ | 10.20 | $ | 10.00 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income (2) | 0.43 | 0.44 | 0.44 | 0.30 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 0.42 | (0.45 | ) | (0.35 | ) | 0.08 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) from investment operations | 0.85 | (0.01 | ) | 0.09 | 0.38 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less dividends and distributions: | ||||||||||||||||
From net investment income | (0.31 | ) | (0.46 | ) | (0.68 | ) | (0.18 | ) | ||||||||
From net realized gain | – | – | (0.01 | ) | – | |||||||||||
From return of capital | (0.13 | ) | – | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends and distributions | (0.44 | ) | (0.46 | ) | (0.69 | ) | (0.18 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Redemption fees | 0.00 | 0.00 | 0.00 | (3) | 0.00 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, at end of year | $ | 9.54 | $ | 9.13 | $ | 9.60 | $ | 10.20 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment return (4) | 9.47 | % | (0.04 | )% | 0.95 | % | 3.81 | %(5) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Supplemental Data and Ratios | ||||||||||||||||
Net assets, end of year (000’s) | $ | 45,363 | $ | 13,980 | $ | 5,153 | $ | 12,464 | ||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.37 | % | 1.72 | % | 1.74 | % | 2.27 | %(6) | ||||||||
Ratio of net expenses to average net assets (7) | 0.99 | %(8) | 1.05 | %(9) | 1.05 | %(9) | 1.05 | %(6)(9) | ||||||||
Ratio of net investment income to average net assets | 4.52 | % | 4.74 | % | 4.44 | % | 3.76 | %(6) | ||||||||
Portfolio turnover rate | 47.06 | % | 62.99 | % | 63.17 | % | 49.51 | %(5) |
(1) | Fund commenced operations on September 16, 2013. |
(2) | Calculated using average shares outstanding. |
(3) | Amount rounds to less than $.01 per share. |
(4) | Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(5) | Not annualized. |
(6) | Annualized for periods less than one full year. |
(7) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.00% as a percentage of average daily net assets. |
(8) | Net expenses reflect a one-time voluntary reimbursement to the Fund during the period in connection with a change to the fee waiver and/or expense reimbursement agreement. |
(9) | Net expenses reflect a previous fee waiver and/or expense reimbursement agreement. |
See accompanying Notes to the Financial Statements.
44
Barings Global Floating Rate Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS C | ||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | FOR THE YEAR ENDED JUNE 30, 2016 | FOR THE YEAR ENDED JUNE 30, 2015 | PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (1) | |||||||||||||
Per Common Share Data | ||||||||||||||||
Net asset value, beginning of year | $ | 9.10 | $ | 9.57 | $ | 10.16 | $ | 10.00 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income (2) | 0.37 | 0.37 | 0.35 | 0.24 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 0.41 | (0.45 | ) | (0.33 | ) | 0.07 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) from investment operations | 0.78 | (0.08 | ) | 0.02 | 0.31 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less dividends and distributions: | ||||||||||||||||
From net investment income | (0.26 | ) | (0.39 | ) | (0.60 | ) | (0.15 | ) | ||||||||
From net realized gain | – | – | (0.01 | ) | – | |||||||||||
From return of capital | (0.11 | ) | – | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends and distributions | (0.37 | ) | (0.39 | ) | (0.61 | ) | (0.15 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Redemption fees | 0.00 | 0.00 | 0.00 | (3) | 0.00 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, at end of year | $ | 9.51 | $ | 9.10 | $ | 9.57 | $ | 10.16 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment return (4) | 8.68 | % | (0.81 | )% | 0.30 | % | 3.15 | %(5) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Supplemental Data and Ratios | ||||||||||||||||
Net assets, end of year (000’s) | $ | 8,018 | $ | 6,803 | $ | 5,461 | $ | 2,396 | ||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 2.24 | % | 2.50 | % | 3.12 | % | 4.97 | %(6) | ||||||||
Ratio of net expenses to average net assets (7) | 1.71 | %(8) | 1.80 | %(9) | 1.80 | %(9) | 1.80 | %(6)(9) | ||||||||
Ratio of net investment income to average net assets | 3.91 | % | 4.04 | % | 3.60 | % | 3.07 | %(6) | ||||||||
Portfolio turnover rate | 47.06 | % | 62.99 | % | 63.17 | % | 49.51 | %(5) |
(1) | Fund commenced operations on September 16, 2013. |
(2) | Calculated using average shares outstanding. |
(3) | Amount rounds to less than $.01 per share. |
(4) | Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(5) | Not annualized. |
(6) | Annualized for periods less than one full year. |
(7) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.75% as a percentage of average daily net assets. |
(8) | Net expenses reflect a one-time voluntary reimbursement to the Fund during the period in connection with a change to the fee waiver and/or expense reimbursement agreement. |
(9) | Net expenses reflect a previous fee waiver and/or expense reimbursement agreement. |
See accompanying Notes to the Financial Statements.
45
Barings Global Floating Rate Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS I | ||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | FOR THE YEAR ENDED JUNE 30, 2016 | FOR THE YEAR ENDED JUNE 30, 2015 | PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (1) | |||||||||||||
Per Common Share Data | ||||||||||||||||
Net asset value, beginning of year | $ | 9.15 | $ | 9.62 | $ | 10.21 | $ | 10.00 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income (2) | 0.47 | 0.47 | 0.46 | 0.30 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 0.40 | (0.45 | ) | (0.34 | ) | 0.10 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase from investment operations | 0.87 | 0.02 | 0.12 | 0.40 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less dividends and distributions: | ||||||||||||||||
From net investment income | (0.32 | ) | (0.49 | ) | (0.70 | ) | (0.19 | ) | ||||||||
From net realized gain | – | – | (0.01 | ) | – | |||||||||||
From return of capital | (0.14 | ) | – | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends and distributions | (0.46 | ) | (0.49 | ) | (0.71 | ) | (0.19 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Redemption fees | 0.00 | 0.00 | 0.00 | (3) | 0.00 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, at end of year | $ | 9.56 | $ | 9.15 | $ | 9.62 | $ | 10.21 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment return (4) | 9.74 | % | 0.25 | % | 1.34 | % | 4.04 | %(5) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Supplemental Data and Ratios | ||||||||||||||||
Net assets, end of year (000’s) | $ | 19,733 | $ | 19,903 | $ | 25,885 | $ | 32,772 | ||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.16 | % | 1.29 | % | 1.31 | % | 1.52 | %(6) | ||||||||
Ratio of net expenses to average net assets (7) | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | %(6) | ||||||||
Ratio of net investment income to average net assets | 4.90 | % | 5.07 | % | 4.69 | % | 3.72 | %(6) | ||||||||
Portfolio turnover rate | 47.06 | % | 62.99 | % | 63.17 | % | 49.51 | %(5) |
(1) | Fund commenced operations on September 16, 2013. |
(2) | Calculated using average shares outstanding. |
(3) | Amount rounds to less than $.01 per share. |
(4) | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(5) | Not annualized. |
(6) | Annualized for periods less than one full year. |
(7) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .75% as a percentage of average daily net assets. |
See accompanying Notes to the Financial Statements.
46
Barings Global Floating Rate Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS Y | ||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | FOR THE YEAR ENDED JUNE 30, 2016 | FOR THE YEAR ENDED JUNE 30, 2015 | PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (1) | |||||||||||||
Per Common Share Data | ||||||||||||||||
Net asset value, beginning of year | $ | 9.15 | $ | 9.62 | $ | 10.21 | $ | 10.00 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income (2) | 0.47 | 0.47 | 0.45 | 0.30 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 0.40 | (0.45 | ) | (0.33 | ) | 0.10 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase from investment operations | 0.87 | 0.02 | 0.12 | 0.40 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less dividends and distributions: | ||||||||||||||||
From net investment income | (0.32 | ) | (0.49 | ) | (0.70 | ) | (0.19 | ) | ||||||||
From net realized gain | – | – | (0.01 | ) | – | |||||||||||
From return of capital | (0.14 | ) | – | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends and distributions | (0.46 | ) | (0.49 | ) | (0.71 | ) | (0.19 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Redemption fees | 0.00 | 0.00 | 0.00 | (3) | 0.00 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, at end of year | $ | 9.56 | $ | 9.15 | $ | 9.62 | $ | 10.21 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment return (4) | 9.73 | % | 0.22 | % | 1.28 | % | 4.04 | %(5) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Supplemental Data and Ratios | ||||||||||||||||
Net assets, end of year (000’s) | $ | 122,736 | $ | 125,957 | $ | 129,659 | $ | 66,999 | ||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.14 | % | 1.27 | % | 1.25 | % | 1.53 | %(6) | ||||||||
Ratio of net expenses to average net assets (7) | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | %(6) | ||||||||
Ratio of net investment income to average net assets | 4.90 | % | 5.08 | % | 4.58 | % | 3.80 | %(6) | ||||||||
Portfolio turnover rate | 47.06 | % | 62.99 | % | 63.17 | % | 49.51 | %(5) |
(1) | Fund commenced operations on September 16, 2013. |
(2) | Calculated using average shares outstanding. |
(3) | Amount rounds to less than $.01 per share. |
(4) | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(5) | Not annualized. |
(6) | Annualized for periods less than one full year. |
(7) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .75% as a percentage of average daily net assets. |
See accompanying Notes to the Financial Statements.
47
Barings Global Credit Income Opportunities Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS
CLASS A | ||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | FOR THE YEAR ENDED JUNE 30, 2016 | FOR THE YEAR ENDED JUNE 30, 2015 | PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (1) | |||||||||||||
Per Common Share Data | ||||||||||||||||
Net asset value, beginning of year | $ | 8.80 | $ | 9.51 | $ | 10.45 | $ | 10.00 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income (2) | 0.55 | 0.56 | 0.54 | 0.40 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 0.71 | (0.66 | ) | (0.57 | ) | 0.33 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) from investment operations | 1.26 | (0.10 | ) | (0.03 | ) | 0.73 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Less dividends and distributions: | ||||||||||||||||
From net investment income | (0.50 | ) | (0.61 | ) | (0.78 | ) | (0.28 | ) | ||||||||
From net realized gain | – | – | (0.13 | ) | – | |||||||||||
From return of capital | (0.05 | ) | – | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends and distributions | (0.55 | ) | (0.61 | ) | (0.91 | ) | (0.28 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Redemption fees | 0.00 | 0.00 | 0.00 | (3) | 0.00 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, at end of year | $ | 9.51 | $ | 8.80 | $ | 9.51 | $ | 10.45 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment return (4) | 14.61 | % | (0.84 | )% | (0.11 | )% | 7.30 | %(5) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Supplemental Data and Ratios | ||||||||||||||||
Net assets, end of year (000’s) | $ | 26,904 | $ | 12,340 | $ | 12,718 | $ | 2,591 | ||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.56 | % | 1.90 | % | 1.98 | % | 3.95 | %(7) | ||||||||
Ratio of net expenses to average net assets (6) | 1.20 | % | 1.20 | % | 1.20 | % | 1.20 | %(7) | ||||||||
Ratio of net investment income to average net assets | 5.83 | % | 6.28 | % | 5.46 | % | 4.88 | %(7) | ||||||||
Portfolio turnover rate | 48.69 | % | 58.08 | % | 84.65 | % | 99.72 | %(5) |
(1) | Fund commenced operations on September 16, 2013. |
(2) | Calculated using average shares outstanding. |
(3) | Amount rounds to less than $.01 per share. |
(4) | Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(5) | Not annualized. |
(6) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.20% as a percentage of average daily net assets. |
(7) | Annualized for periods less than one full year. |
See accompanying Notes to the Financial Statements.
48
Barings Global Credit Income Opportunities Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS C | ||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | FOR THE YEAR ENDED JUNE 30, 2016 | FOR THE YEAR ENDED JUNE 30, 2015 | PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (1) | |||||||||||||
Per Common Share Data | ||||||||||||||||
Net asset value, beginning of year | $ | 8.79 | $ | 9.50 | $ | 10.45 | $ | 10.00 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income (2) | 0.48 | 0.49 | 0.47 | 0.35 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 0.71 | (0.65 | ) | (0.58 | ) | 0.32 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) from investment operations | 1.19 | (0.16 | ) | (0.11 | ) | 0.67 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Less dividends and distributions: | ||||||||||||||||
From net investment income | (0.43 | ) | (0.55 | ) | (0.71 | ) | (0.22 | ) | ||||||||
From net realized gain | – | – | (0.13 | ) | – | |||||||||||
From return of capital | (0.05 | ) | – | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends and distributions | (0.48 | ) | (0.55 | ) | (0.84 | ) | (0.22 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Redemption fees | 0.00 | 0.00 | 0.00 | (3) | 0.00 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, at end of year | $ | 9.50 | $ | 8.79 | $ | 9.50 | $ | 10.45 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment return (4) | 13.75 | % | (1.59 | )% | (0.93 | )% | 6.75 | %(5) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Supplemental Data and Ratios | ||||||||||||||||
Net assets, end of year (000’s) | $ | 6,628 | $ | 3,578 | $ | 3,579 | $ | 944 | ||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 2.39 | % | 2.91 | % | 4.09 | % | 10.50 | %(7) | ||||||||
Ratio of net expenses to average net assets (6) | 1.95 | % | 1.95 | % | 1.95 | % | 1.95 | %(7) | ||||||||
Ratio of net investment income to average net assets | 5.12 | % | 5.50 | % | 4.79 | % | 4.39 | %(7) | ||||||||
Portfolio turnover rate | 48.69 | % | 58.08 | % | 84.65 | % | 99.72 | %(5) |
(1) | Fund commenced operations on September 16, 2013. |
(2) | Calculated using average shares outstanding. |
(3) | Amount rounds to less than $.01 per share. |
(4) | Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(5) | Not annualized. |
(6) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.95% as a percentage of average daily net assets. |
(7) | Annualized for periods less than one full year. |
See accompanying Notes to the Financial Statements.
49
Barings Global Credit Income Opportunities Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS I | ||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | FOR THE YEAR ENDED JUNE 30, 2016 | FOR THE YEAR ENDED JUNE 30, 2015 | PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (1) | |||||||||||||
Per Common Share Data | ||||||||||||||||
Net asset value, beginning of year | $ | 8.80 | $ | 9.51 | $ | 10.46 | $ | 10.00 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income (2) | 0.58 | 0.58 | 0.56 | 0.41 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 0.70 | (0.65 | ) | (0.58 | ) | 0.35 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) from investment operations | 1.28 | (0.07 | ) | (0.02 | ) | 0.76 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Less dividends and distributions: | ||||||||||||||||
From net investment income | (0.52 | ) | (0.64 | ) | (0.80 | ) | (0.30 | ) | ||||||||
From net realized gain | – | – | (0.13 | ) | – | |||||||||||
From return of capital | (0.06 | ) | – | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends and distributions | (0.58 | ) | (0.64 | ) | (0.93 | ) | (0.30 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Redemption fees | 0.00 | 0.00 | 0.00 | (3) | 0.00 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, at end of year | $ | 9.50 | $ | 8.80 | $ | 9.51 | $ | 10.46 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment return (4) | 14.90 | % | (0.61 | )% | 0.05 | % | 7.59 | %(5) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Supplemental Data and Ratios | ||||||||||||||||
Net assets, end of year (000’s) | $ | 22,228 | $ | 24,689 | $ | 26,428 | $ | 26,406 | ||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.27 | % | 1.54 | % | 1.58 | % | 1.83 | %(7) | ||||||||
Ratio of net expenses to average net assets (6) | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | %(7) | ||||||||
Ratio of net investment income to average net assets | 6.22 | % | 6.54 | % | 5.69 | % | 5.02 | %(7) | ||||||||
Portfolio turnover rate | 48.69 | % | 58.08 | % | 84.65 | % | 99.72 | %(5) |
(1) | Fund commenced operations on September 16, 2013. |
(2) | Calculated using average shares outstanding. |
(3) | Amount rounds to less than $.01 per share. |
(4) | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(5) | Not annualized. |
(6) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .95% as a percentage of average daily net assets. |
(7) | Annualized for periods less than one full year. |
See accompanying Notes to the Financial Statements.
50
Barings Global Credit Income Opportunities Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS Y | ||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | FOR THE YEAR ENDED JUNE 30, 2016 | FOR THE YEAR ENDED JUNE 30, 2015 | PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (1) | |||||||||||||
Per Common Share Data | ||||||||||||||||
Net asset value, beginning of year | $ | 8.80 | $ | 9.51 | $ | 10.46 | $ | 10.00 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income (2) | 0.57 | 0.59 | 0.56 | 0.41 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 0.71 | (0.66 | ) | (0.58 | ) | 0.35 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) from investment operations | 1.28 | (0.07 | ) | (0.02 | ) | 0.76 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Less dividends and distributions: | ||||||||||||||||
From net investment income | (0.52 | ) | (0.64 | ) | (0.80 | ) | (0.30 | ) | ||||||||
From net realized gain | – | – | (0.13 | ) | – | |||||||||||
From return of capital | (0.06 | ) | – | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends and distributions | (0.58 | ) | (0.64 | ) | (0.93 | ) | (0.30 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Redemption fees | 0.00 | 0.00 | 0.00 | (3) | 0.00 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, at end of year | $ | 9.50 | $ | 8.80 | $ | 9.51 | $ | 10.46 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment return (4) | 14.90 | % | (0.61 | )% | 0.05 | % | 7.59 | %(5) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Supplemental Data and Ratios | ||||||||||||||||
Net assets, end of year (000’s) | $ | 96,014 | $ | 58,312 | $ | 39,006 | $ | 33,885 | ||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.28 | % | 1.55 | % | 1.58 | % | 1.84 | %(7) | ||||||||
Ratio of net expenses to average net assets (6) | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | %(7) | ||||||||
Ratio of net investment income to average net assets | 6.14 | % | 6.56 | % | 5.67 | % | 5.04 | %(7) | ||||||||
Portfolio turnover rate | 48.69 | % | 58.08 | % | 84.65 | % | 99.72 | %(5) |
(1) | Fund commenced operations on September 16, 2013. |
(2) | Calculated using average shares outstanding. |
(3) | Amount rounds to less than $.01 per share. |
(4) | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(5) | Not annualized. |
(6) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .95% as a percentage of average daily net assets. |
(7) | Annualized for periods less than one full year. |
See accompanying Notes to the Financial Statements.
51
Barings Active Short Duration Bond Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS
CLASS A | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 9.98 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.17 | 0.15 | ||||||
Net realized and unrealized gain (loss) on investments | 0.03 | (0.03 | )(3) | |||||
|
|
|
| |||||
Total increase from investment operations | 0.20 | 0.12 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (0.17 | ) | (0.14 | ) | ||||
From net realized gain | (0.00 | )(4) | – | |||||
|
|
|
| |||||
Total dividends and distributions | (0.17 | ) | (0.14 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.01 | $ | 9.98 | ||||
|
|
|
| |||||
Total investment return (5) | 2.12 | % | 1.17 | %(6) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 119,189 | $ | 39,992 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.06 | % | 1.18 | %(8) | ||||
Ratio of net expenses to average net assets (7) | 0.65 | % | 0.65 | %(8) | ||||
Ratio of net investment income to average net assets | 1.72 | % | 1.51 | %(8) | ||||
Portfolio turnover rate | 88.52 | % | 218.67 | %(6) |
(1) | Fund commenced operations on July 8, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and unrealized gains and losses at such time. |
(4) | Amount rounds to less than $.01 per share. |
(5) | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(6) | Not annualized. |
(7) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .65% as a percentage of average daily net assets. |
(8) | Annualized for periods less than one full year. |
See accompanying Notes to the Financial Statements.
52
Barings Active Short Duration Bond Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS C | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 9.97 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.19 | 0.07 | ||||||
Net realized and unrealized gain (loss) on investments | 0.05 | (0.03 | )(3) | |||||
|
|
|
| |||||
Total increase from investment operations | 0.24 | 0.04 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (0.20 | ) | (0.07 | ) | ||||
From net realized gain | (0.00 | )(4) | – | |||||
|
|
|
| |||||
Total dividends and distributions | | (0.20 | ) | (0.07 | ) | |||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.01 | $ | 9.97 | ||||
|
|
|
| |||||
Total investment return (5) | 2.41 | % | 0.39 | %(6) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 236 | $ | 257 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 3.09 | %(7) | 5.44 | %(8)(10) | ||||
Ratio of net expenses to average net assets (9) | 0.40 | %(7) | 1.40 | %(8)(10) | ||||
Ratio of net investment income to average net assets | 1.94 | %(7) | 0.71 | %(8)(10) | ||||
Portfolio turnover rate | 88.52 | % | 218.67 | %(6) |
(1) | Fund commenced operations on July 8, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and unrealized gains and losses at such time. |
(4) | Amount rounds to less than $.01 per share. |
(5) | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(6) | Not annualized. |
(7) | Expenses shown reflect a reimbursement to the Fund during the period for an overaccrual of 12b-1 fees made during and prior to the period. |
(8) | Expenses shown reflect an overaccrual of 12b-1 fees for the period of $1,478 or 0.50% of average net assets over the period. Subsequent to the period, the Fund was reimbursed for the overaccrued amount. |
(9) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 0.90% as a percentage of average daily net assets. |
(10) | Annualized for periods less than one full year. |
See accompanying Notes to the Financial Statements.
53
Barings Active Short Duration Bond Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS I | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 9.97 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.18 | 0.16 | ||||||
Net realized and unrealized gain (loss) on investments | 0.06 | (0.03 | )(3) | |||||
|
|
|
| |||||
Total increase from investment operations | 0.24 | 0.13 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (0.20 | ) | (0.16 | ) | ||||
From net realized gain | (0.00 | )(4) | – | |||||
|
|
|
| |||||
Total dividends and distributions | (0.20 | ) | (0.16 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.01 | $ | 9.97 | ||||
|
|
|
| |||||
Total investment return (5) | 2.44 | % | 1.35 | %(6) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 100 | $ | 5,971 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.67 | % | 0.96 | %(8) | ||||
Ratio of net expenses to average net assets (7) | 0.40 | % | 0.44 | %(8) | ||||
Ratio of net investment income to average net assets | 1.84 | % | 1.67 | %(8) | ||||
Portfolio turnover rate | 88.52 | % | 218.67 | %(6) |
(1) | Fund commenced operations on July 8, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and unrealized gains and losses at such time. |
(4) | Amount rounds to less than $.01 per share. |
(5) | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(6) | Not annualized. |
(7) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .40% as a percentage of average daily net assets. |
(8) | Annualized for periods less than one full year. |
See accompanying Notes to the Financial Statements.
54
Barings Active Short Duration Bond Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS Y | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 9.97 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.20 | 0.17 | ||||||
Net realized and unrealized gain (loss) on investments | 0.04 | (0.04 | )(3) | |||||
|
|
|
| |||||
Total increase from investment operations | 0.24 | 0.13 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (0.20 | ) | (0.16 | ) | ||||
From net realized gain | (0.00 | )(4) | – | |||||
|
|
|
| |||||
Total dividends and distributions | (0.20 | ) | (0.16 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.01 | $ | 9.97 | ||||
|
|
|
| |||||
Total investment return (5) | 2.38 | % | 1.36 | %(6) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 204,464 | $ | 109,645 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 0.82 | % | 0.87 | %(8) | ||||
Ratio of net expenses to average net assets (7) | 0.40 | % | 0.41 | %(8) | ||||
Ratio of net investment income to average net assets | 1.97 | % | 1.73 | %(8) | ||||
Portfolio turnover rate | 88.52 | % | 218.67 | %(6) |
(1) | Fund commenced operations on July 8, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and unrealized gains and losses at such time. |
(4) | Amount rounds to less than $.01 per share. |
(5) | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(6) | Not annualized. |
(7) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .40% as a percentage of average daily net assets. |
(8) | Annualized for periods less than one full year. |
See accompanying Notes to the Financial Statements.
55
Barings Total Return Bond Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS
CLASS A | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 10.18 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.25 | 0.25 | ||||||
Net realized and unrealized gain (loss) on investments | (0.09 | ) | 0.20 | |||||
|
|
|
| |||||
Total increase from investment operations | 0.16 | 0.45 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (0.26 | ) | (0.25 | ) | ||||
From net realized gain | – | (0.02 | ) | |||||
|
|
|
| |||||
Total dividends and distributions | (0.26 | ) | (0.27 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.08 | $ | 10.18 | ||||
|
|
|
| |||||
Total investment return (3) | 1.65 | % | 4.63 | %(4) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 218 | $ | 211 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 3.52 | % | 5.60 | %(6) | ||||
Ratio of net expenses to average net assets (5)(7) | 0.80 | % | 0.80 | %(6) | ||||
Ratio of net investment income to average net assets | 2.49 | % | 2.52 | %(6) | ||||
Portfolio turnover rate | 242.55 | % | 434.37 | %(4) |
(1) | Fund commenced operations on July 8, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(4) | Not annualized. |
(5) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .80% as a percentage of average daily net assets. |
(6) | Annualized for periods less than one full year. |
(7) | Ratio of net expenses to average net assets does not include expenses of the underlying fund in which the Fund invests. |
See accompanying Notes to the Financial Statements.
56
Barings Total Return Bond Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS C | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 10.18 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.17 | 0.17 | ||||||
Net realized and unrealized gain (loss) on investments | (0.08 | ) | 0.21 | |||||
|
|
|
| |||||
Total increase from investment operations | 0.09 | 0.38 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (0.19 | ) | (0.18 | ) | ||||
From net realized gain | – | (0.02 | ) | |||||
|
|
|
| |||||
Total dividends and distributions | (0.19 | ) | (0.20 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.08 | $ | 10.18 | ||||
|
|
|
| |||||
Total investment return (3) | 0.89 | % | 3.87 | %(4) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 202 | $ | 204 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 4.41 | % | 6.38 | %(6) | ||||
Ratio of net expenses to average net assets (5)(7) | 1.55 | % | 1.55 | %(6) | ||||
Ratio of net investment income to average net assets | 1.74 | % | 1.77 | %(6) | ||||
Portfolio turnover rate | 242.55 | % | 434.37 | %(4) |
(1) | Fund commenced operations on July 8, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(4) | Not annualized. |
(5) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.55% as a percentage of average daily net assets. |
(6) | Annualized for periods less than one full year. |
(7) | Ratio of net expenses to average net assets does not include expenses of the underlying fund in which the Fund invests. |
See accompanying Notes to the Financial Statements.
57
Barings Total Return Bond Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS I | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 10.18 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.28 | 0.27 | ||||||
Net realized and unrealized gain (loss) on investments | (0.09 | ) | 0.20 | |||||
|
|
|
| |||||
Total increase from investment operations | 0.19 | 0.47 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (0.29 | ) | (0.27 | ) | ||||
From net realized gain | – | (0.02 | ) | |||||
|
|
|
| |||||
Total dividends and distributions | (0.29 | ) | (0.29 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.08 | $ | 10.18 | ||||
|
|
|
| |||||
Total investment return (3) | 1.90 | % | 4.89 | %(4) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 12,457 | $ | 12,582 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.36 | % | 1.37 | %(6) | ||||
Ratio of net expenses to average net assets (5)(7) | 0.55 | % | 0.55 | %(6) | ||||
Ratio of net investment income to average net assets | 2.74 | % | 2.77 | %(6) | ||||
Portfolio turnover rate | 242.55 | % | 434.37 | %(4) |
(1) | Fund commenced operations on July 8, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(4) | Not annualized. |
(5) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .55% as a percentage of average daily net assets. |
(6) | Annualized for periods less than one full year. |
(7) | Ratio of net expenses to average net assets does not include expenses of the underlying fund in which the Fund invests. |
See accompanying Notes to the Financial Statements.
58
Barings Total Return Bond Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS Y | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 10.18 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.27 | 0.27 | ||||||
Net realized and unrealized gain (loss) on investments | (0.08 | ) | 0.20 | |||||
|
|
|
| |||||
Total increase from investment operations | 0.19 | 0.47 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (0.29 | ) | (0.27 | ) | ||||
From net realized gain | – | (0.02 | ) | |||||
|
|
|
| |||||
Total dividends and distributions | (0.29 | ) | (0.29 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.08 | $ | 10.18 | ||||
|
|
|
| |||||
Total investment return (3) | 1.90 | % | 4.89 | %(4) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 17,478 | $ | 13,011 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.36 | % | 1.36 | %(6) | ||||
Ratio of net expenses to average net assets (5)(7) | 0.55 | % | 0.55 | %(6) | ||||
Ratio of net investment income to average net assets | 2.72 | % | 2.77 | %(6) | ||||
Portfolio turnover rate | 242.55 | % | 434.37 | %(4) |
(1) | Fund commenced operations on July 8, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(4) | Not annualized. |
(5) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .55% as a percentage of average daily net assets. |
(6) | Annualized for periods less than one full year. |
(7) | Ratio of net expenses to average net assets does not include expenses of the underlying fund in which the Fund invests. |
See accompanying Notes to the Financial Statements.
59
Barings Emerging Markets Debt Blended Total Return Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS
CLASS A | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM OCTOBER 21, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 9.90 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.42 | 0.43 | ||||||
Net realized and unrealized gain (loss) on investments | 0.73 | (0.19 | ) | |||||
|
|
|
| |||||
Total increase from investment operations | 1.15 | 0.24 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (0.50 | ) | (0.34 | ) | ||||
From net realized gain | – | (0.00 | )(3) | |||||
|
|
|
| |||||
Total dividends and distributions | (0.50 | ) | (0.34 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.55 | $ | 9.90 | ||||
|
|
|
| |||||
Total investment return (4) | 11.94 | % | 2.62 | %(5) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 211 | $ | 198 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 5.77 | % | 6.82 | %(7) | ||||
Ratio of net expenses to average net assets (6) | 1.15 | %(8) | 1.16 | %(7) | ||||
Ratio of net investment income to average net assets | 4.17 | % | 6.52 | %(7) | ||||
Portfolio turnover rate | 55.66 | % | 83.26 | %(5) |
(1) | Fund commenced operations on October 21, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | Amount rounds to less than $.01 per share. |
(4) | Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(5) | Not annualized. |
(6) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.20% as a percentage of average daily net assets. |
(7) | Annualized for periods less than one full year. |
(8) | Net expenses reflect voluntary expense reimbursements to prevent a negative yield. |
See accompanying Notes to the Financial Statements.
60
Barings Emerging Markets Debt Blended Total Return Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS C | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM OCTOBER 21, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 9.90 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.35 | 0.38 | ||||||
Net realized and unrealized gain (loss) on investments | 0.73 | (0.19 | ) | |||||
|
|
|
| |||||
Total increase from investment operations | 1.08 | 0.19 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (0.43 | ) | (0.29 | ) | ||||
From net realized gain | – | (0.00 | )(3) | |||||
|
|
|
| |||||
Total dividends and distributions | (0.43 | ) | (0.29 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.55 | $ | 9.90 | ||||
|
|
|
| |||||
Total investment return (4) | 11.11 | % | 2.10 | %(5) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 222 | $ | 198 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 6.47 | % | 7.57 | %(7) | ||||
Ratio of net expenses to average net assets (6) | 1.89 | %(8) | 1.90 | %(7) | ||||
Ratio of net investment income to average net assets | 3.44 | % | 5.79 | %(7) | ||||
Portfolio turnover rate | 55.66 | % | 83.26 | %(5) |
(1) | Fund commenced operations on October 21, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | Amount rounds to less than $.01 per share. |
(4) | Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(5) | Not annualized. |
(6) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.95% as a percentage of average daily net assets. |
(7) | Annualized for periods less than one full year. |
(8) | Net expenses reflect voluntary expense reimbursements to prevent a negative yield. |
See accompanying Notes to the Financial Statements.
61
Barings Emerging Markets Debt Blended Total Return Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS I | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM OCTOBER 21, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 9.90 | $ | 10.00 | ||||
Income from investment operations: | �� | |||||||
Net investment income (2) | 0.45 | 0.45 | ||||||
Net realized and unrealized gain (loss) on investments | 0.73 | (0.19 | ) | |||||
|
|
|
| |||||
Total increase from investment operations | 1.18 | 0.26 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (0.53 | ) | (0.36 | ) | ||||
From net realized gain | – | (0.00 | )(3) | |||||
|
|
|
| |||||
Total dividends and distributions | (0.53 | ) | (0.36 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.55 | $ | 9.90 | ||||
|
|
|
| |||||
Total investment return (4) | 12.22 | % | 2.79 | %(5) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 5,063 | $ | 4,753 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 2.76 | % | 2.58 | %(7) | ||||
Ratio of net expenses to average net assets (6) | 0.90 | %(8) | 0.92 | %(7) | ||||
Ratio of net investment income to average net assets | 4.42 | % | 6.77 | %(7) | ||||
Portfolio turnover rate | 55.66 | % | 83.26 | %(5) |
(1) | Fund commenced operations on October 21, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | Amount rounds to less than $.01 per share. |
(4) | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(5) | Not annualized. |
(6) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .95% as a percentage of average daily net assets. |
(7) | Annualized for periods less than one full year. |
(8) | Net expenses reflect voluntary expense reimbursements to prevent a negative yield. |
See accompanying Notes to the Financial Statements.
62
Barings Emerging Markets Debt Blended Total Return Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS Y | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM OCTOBER 21, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 9.90 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.45 | 0.45 | ||||||
Net realized and unrealized gain (loss) on investments | 0.73 | (0.19 | ) | |||||
|
|
|
| |||||
Total increase from investment operations | 1.18 | 0.26 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (0.53 | ) | (0.36 | ) | ||||
From net realized gain | – | (0.00 | )(3) | |||||
|
|
|
| |||||
Total dividends and distributions | (0.53 | ) | (0.36 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.55 | $ | 9.90 | ||||
|
|
|
| |||||
Total investment return (4) | 12.22 | % | 2.79 | %(5) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 5,340 | $ | 4,754 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 2.77 | % | 2.58 | %(7) | ||||
Ratio of net expenses to average net assets (6) | 0.90 | %(8) | 0.92 | %(7) | ||||
Ratio of net investment income to average net assets | 4.43 | % | 6.77 | %(7) | ||||
Portfolio turnover rate | 55.66 | % | 83.26 | %(5) |
(1) | Fund commenced operations on October 21, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | Amount rounds to less than $.01 per share. |
(4) | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(5) | Not annualized. |
(6) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .95% as a percentage of average daily net assets. |
(7) | Annualized for periods less than one full year. |
(8) | Net expenses reflect voluntary expense reimbursements to prevent a negative yield. |
See accompanying Notes to the Financial Statements.
63
Barings Emerging Markets Local Currency Debt Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS
CLASS A | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM DECEMBER 8, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 10.92 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.25 | 0.50 | ||||||
Net realized and unrealized gain on investments | 0.67 | 0.73 | ||||||
|
|
|
| |||||
Total increase from investment operations | 0.92 | 1.23 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (0.98 | ) | (0.31 | ) | ||||
From net realized gain | (0.18 | ) | – | |||||
|
|
|
| |||||
Total dividends and distributions | (1.16 | ) | (0.31 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.68 | $ | 10.92 | ||||
|
|
|
| |||||
Total investment return (3) | 9.57 | % | 12.58 | %(4) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 107 | $ | 109 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 8.41 | % | 8.55 | %(6) | ||||
Ratio of net expenses to average net assets (5) | 1.06 | %(7) | 1.08 | %(6) | ||||
Ratio of net investment income to average net assets | 2.41 | % | 8.82 | %(6) | ||||
Portfolio turnover rate | 67.23 | % | 37.68 | %(4) |
(1) | Fund commenced operations on December 8, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(4) | Not annualized. |
(5) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.20% as a percentage of average daily net assets. |
(6) | Annualized for periods less than one full year. |
(7) | Net expenses reflect voluntary expense reimbursements to prevent a negative yield. |
See accompanying Notes to the Financial Statements.
64
Barings Emerging Markets Local Currency Debt Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS C | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM DECEMBER 8, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 10.92 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.18 | 0.46 | ||||||
Net realized and unrealized gain on investments | 0.66 | 0.73 | ||||||
|
|
|
| |||||
Total increase from investment operations | 0.84 | 1.19 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (0.90 | ) | (0.27 | ) | ||||
From net realized gain | (0.18 | ) | – | |||||
|
|
|
| |||||
Total dividends and distributions | (1.08 | ) | (0.27 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.68 | $ | 10.92 | ||||
|
|
|
| |||||
Total investment return (3) | 8.77 | % | 12.13 | %(4) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 107 | $ | 109 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 9.17 | % | 9.30 | %(6) | ||||
Ratio of net expenses to average net assets (5) | 1.80 | %(7) | 1.81 | %(6) | ||||
Ratio of net investment income to average net assets | 1.67 | % | 8.09 | %(6) | ||||
Portfolio turnover rate | 67.23 | % | 37.68 | %(4) |
(1) | Fund commenced operations on December 8, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(4) | Not annualized. |
(5) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.95% as a percentage of average daily net assets. |
(6) | Annualized for periods less than one full year. |
(7) | Net expenses reflect voluntary expense reimbursements to prevent a negative yield. |
See accompanying Notes to the Financial Statements.
65
Barings Emerging Markets Local Currency Debt Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS I | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM DECEMBER 8, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 10.92 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.28 | 0.52 | ||||||
Net realized and unrealized gain on investments | 0.67 | 0.73 | ||||||
|
|
|
| |||||
Total increase from investment operations | 0.95 | 1.25 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (1.01 | ) | (0.33 | ) | ||||
From net realized gain | (0.18 | ) | – | |||||
|
|
|
| |||||
Total dividends and distributions | (1.19 | ) | (0.33 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.68 | $ | 10.92 | ||||
|
|
|
| |||||
Total investment return (3) | 9.84 | % | 12.73 | %(4) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 2,564 | $ | 2,621 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 4.32 | % | 4.03 | %(6) | ||||
Ratio of net expenses to average net assets (5) | 0.81 | %(7) | 0.84 | %(6) | ||||
Ratio of net investment income to average net assets | 2.65 | % | 9.07 | %(6) | ||||
Portfolio turnover rate | 67.23 | % | 37.68 | %(4) |
(1) | Fund commenced operations on December 8, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(4) | Not annualized. |
(5) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 0.95% as a percentage of average daily net assets. |
(6) | Annualized for periods less than one full year. |
(7) | Net expenses reflect voluntary expense reimbursements to prevent a negative yield. |
See accompanying Notes to the Financial Statements.
66
Barings Emerging Markets Local Currency Debt Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS Y | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM DECEMBER 8, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 10.92 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.28 | 0.52 | ||||||
Net realized and unrealized gain on investments | 0.67 | 0.73 | ||||||
|
|
|
| |||||
Total increase from investment operations | 0.95 | 1.25 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (1.01 | ) | (0.33 | ) | ||||
From net realized gain | (0.18 | ) | – | |||||
|
|
|
| |||||
Total dividends and distributions | (1.19 | ) | (0.33 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.68 | $ | 10.92 | ||||
|
|
|
| |||||
Total investment return (3) | 9.84 | % | 12.73 | %(4) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 2,564 | $ | 2,621 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 4.32 | % | 4.03 | %(6) | ||||
Ratio of net expenses to average net assets (5) | 0.81 | %(7) | 0.84 | %(6) | ||||
Ratio of net investment income to average net assets | 2.65 | % | 9.07 | %(6) | ||||
Portfolio turnover rate | 67.23 | % | 37.68 | %(4) |
(1) | Fund commenced operations on December 8, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(4) | Not annualized. |
(5) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 0.95% as a percentage of average daily net assets. |
(6) | Annualized for periods less than one full year. |
(7) | Net expenses reflect voluntary expense reimbursements to prevent a negative yield. |
See accompanying Notes to the Financial Statements.
67
Barings Global High Yield Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS
CLASS A | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 10.05 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.64 | 0.38 | ||||||
Net realized and unrealized gain on investments | 0.77 | 0.05 | ||||||
|
|
|
| |||||
Total increase from investment operations | 1.41 | 0.43 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (0.64 | ) | (0.38 | ) | ||||
From net realized gain | (0.38 | ) | – | |||||
|
|
|
| |||||
Total dividends and distributions | (1.02 | ) | (0.38 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.44 | $ | 10.05 | ||||
|
|
|
| |||||
Total investment return (3) | 14.61 | % | 4.45 | %(4) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 111 | $ | 101 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 6.27 | % | 7.14 | %(6) | ||||
Ratio of net expenses to average net assets (5) | 1.05 | % | 1.04 | %(6) | ||||
Ratio of net investment income to average net assets | 6.20 | % | 5.83 | %(6) | ||||
Portfolio turnover rate | 87.34 | % | 83.24 | %(4) |
(1) | Fund commenced operations on October 30, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(4) | Not annualized. |
(5) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.05% as a percentage of average daily net assets. |
(6) | Annualized for periods less than one full year. |
See accompanying Notes to the Financial Statements.
68
Barings Global High Yield Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS C | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 10.05 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.56 | 0.33 | ||||||
Net realized and unrealized gain on investments | 0.77 | 0.05 | ||||||
|
|
|
| |||||
Total increase from investment operations | 1.33 | 0.38 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (0.56 | ) | (0.33 | ) | ||||
From net realized gain | (0.38 | ) | – | |||||
|
|
|
| |||||
Total dividends and distributions | (0.94 | ) | (0.33 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.44 | $ | 10.05 | ||||
|
|
|
| |||||
Total investment return (3) | 13.75 | % | 3.94 | %(4) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 247 | $ | 101 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 4.94 | % | 7.89 | %(6) | ||||
Ratio of net expenses to average net assets (5) | 1.80 | % | 1.78 | %(6) | ||||
Ratio of net investment income to average net assets | 5.40 | % | 5.09 | %(6) | ||||
Portfolio turnover rate | 87.34 | % | 83.24 | %(4) |
(1) | Fund commenced operations on October 30, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(4) | Not annualized. |
(5) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.80% as a percentage of average daily net assets. |
(6) | Annualized for periods less than one full year. |
See accompanying Notes to the Financial Statements.
69
Barings Global High Yield Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS I | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 10.05 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.67 | 0.39 | ||||||
Net realized and unrealized gain on investments | 0.77 | 0.05 | ||||||
|
|
|
| |||||
Total increase from investment operations | 1.44 | 0.44 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (0.67 | ) | (0.39 | ) | ||||
From net realized gain | (0.38 | ) | – | |||||
|
|
|
| |||||
Total dividends and distributions | (1.05 | ) | (0.39 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.44 | $ | 10.05 | ||||
|
|
|
| |||||
Total investment return (3) | 14.90 | % | 4.62 | %(4) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 12,947 | $ | 12,466 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.53 | % | 1.51 | %(6) | ||||
Ratio of net expenses to average net assets (5) | 0.80 | % | 0.79 | %(6) | ||||
Ratio of net investment income to average net assets | 6.46 | % | 6.08 | %(6) | ||||
Portfolio turnover rate | 87.34 | % | 83.24 | %(4) |
(1) | Fund commenced operations on October 30, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(4) | Not annualized. |
(5) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .80% as a percentage of average daily net assets. |
(6) | Annualized for periods less than one full year. |
See accompanying Notes to the Financial Statements.
70
Barings Global High Yield Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS Y | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 10.05 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.67 | 0.39 | ||||||
Net realized and unrealized gain on investments | 0.77 | 0.05 | ||||||
|
|
|
| |||||
Total increase from investment operations | 1.44 | 0.44 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (0.67 | ) | (0.39 | ) | ||||
From net realized gain | (0.38 | ) | – | |||||
|
|
|
| |||||
Total dividends and distributions | (1.05 | ) | (0.39 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.44 | $ | 10.05 | ||||
|
|
|
| |||||
Total investment return (3) | 14.90 | % | 4.62 | %(4) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 14,535 | $ | 12,604 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.53 | % | 1.51 | %(6) | ||||
Ratio of net expenses to average net assets (5) | 0.80 | % | 0.79 | %(6) | ||||
Ratio of net investment income to average net assets | 6.45 | % | 6.08 | %(6) | ||||
Portfolio turnover rate | 87.34 | % | 83.24 | %(4) |
(1) | Fund commenced operations on October 30, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(4) | Not annualized. |
(5) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .80% as a percentage of average daily net assets. |
(6) | Annualized for periods less than one full year. |
See accompanying Notes to the Financial Statements.
71
Barings U.S. High Yield Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS
CLASS A | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 10.14 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.65 | 0.39 | ||||||
Net realized and unrealized gain on investments | 0.65 | 0.13 | ||||||
|
|
|
| |||||
Total increase from investment operations | 1.30 | 0.52 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (0.66 | ) | (0.38 | ) | ||||
From net realized gain | (0.19 | ) | – | |||||
|
|
|
| |||||
Total dividends and distributions | (0.85 | ) | (0.38 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.59 | $ | 10.14 | ||||
|
|
|
| |||||
Total investment return (3) | 13.13 | % | 5.36 | %(4) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 2,633 | $ | 206 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.82 | % | 5.47 | %(6) | ||||
Ratio of net expenses to average net assets (5) | 1.00 | % | 0.99 | %(6) | ||||
Ratio of net investment income to average net assets | 6.21 | % | 5.93 | %(6) | ||||
Portfolio turnover rate | 71.57 | % | 77.52 | %(4) |
(1) | Fund commenced operations on October 30, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(4) | Not annualized. |
(5) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.00% as a percentage of average daily net assets. |
(6) | Annualized for periods less than one full year. |
See accompanying Notes to the Financial Statements.
72
Barings U.S. High Yield Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS C | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 10.14 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.58 | 0.33 | ||||||
Net realized and unrealized gain on investments | 0.64 | 0.14 | ||||||
|
|
|
| |||||
Total increase from investment operations | 1.22 | 0.47 | ||||||
|
| �� |
|
| ||||
Less dividends and distributions: | ||||||||
From net investment income | (0.58 | ) | (0.33 | ) | ||||
From net realized gain | (0.19 | ) | – | |||||
|
|
|
| |||||
Total dividends and distributions | (0.77 | ) | (0.33 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.59 | $ | 10.14 | ||||
|
|
|
| |||||
Total investment return (3) | 12.24 | % | 4.85 | %(4) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 118 | $ | 101 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 6.18 | % | 7.30 | %(6) | ||||
Ratio of net expenses to average net assets (5) | 1.75 | % | 1.73 | %(6) | ||||
Ratio of net investment income to average net assets | 5.50 | % | 5.08 | %(6) | ||||
Portfolio turnover rate | 71.57 | % | 77.52 | %(4) |
(1) | Fund commenced operations on October 30, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(4) | Not annualized. |
(5) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.75% as a percentage of average daily net assets. |
(6) | Annualized for periods less than one full year. |
See accompanying Notes to the Financial Statements.
73
Barings U.S. High Yield Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS I | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 10.14 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.68 | 0.40 | ||||||
Net realized and unrealized gain on investments | 0.64 | 0.13 | ||||||
|
|
|
| |||||
Total increase from investment operations | 1.32 | 0.53 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (0.68 | ) | (0.39 | ) | ||||
From net realized gain | (0.19 | ) | – | |||||
|
|
|
| |||||
Total dividends and distributions | (0.87 | ) | (0.39 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.59 | $ | 10.14 | ||||
|
|
|
| |||||
Total investment return (3) | 13.36 | % | 5.53 | %(4) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 15,720 | $ | 14,863 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.36 | % | 1.38 | %(6) | ||||
Ratio of net expenses to average net assets (5) | 0.75 | % | 0.74 | %(6) | ||||
Ratio of net investment income to average net assets | 6.50 | % | 6.11 | %(6) | ||||
Portfolio turnover rate | 71.57 | % | 77.52 | %(4) |
(1) | Fund commenced operations on October 30, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(4) | Not annualized. |
(5) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .75% as a percentage of average daily net assets. |
(6) | Annualized for periods less than one full year. |
See accompanying Notes to the Financial Statements.
74
Barings U.S. High Yield Fund 2017 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS Y | ||||||||
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 10.14 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.68 | 0.39 | ||||||
Net realized and unrealized gain on investments | 0.63 | 0.14 | ||||||
|
|
|
| |||||
Total increase from investment operations | 1.31 | 0.53 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (0.68 | ) | (0.39 | ) | ||||
From net realized gain | (0.19 | ) | – | |||||
|
|
|
| |||||
Total dividends and distributions | (0.87 | ) | (0.39 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 10.58 | $ | 10.14 | ||||
|
|
|
| |||||
Total investment return (3) | 13.35 | % | 5.52 | %(4) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 14,631 | $ | 12,675 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.36 | % | 1.42 | %(6) | ||||
Ratio of net expenses to average net assets (5) | 0.75 | % | 0.74 | %(6) | ||||
Ratio of net investment income to average net assets | 6.50 | % | 6.06 | %(6) | ||||
Portfolio turnover rate | 71.57 | % | 77.52 | %(4) |
(1) | Fund commenced operations on October 30, 2015. |
(2) | Calculated using average shares outstanding. |
(3) | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(4) | Not annualized. |
(5) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .75% as a percentage of average daily net assets. |
(6) | Annualized for periods less than one full year. |
See accompanying Notes to the Financial Statements.
75
Barings Global Floating Rate Fund 2017 Annual Report
June 30, 2017
SHARES | COST | FAIR VALUE | ||||||||||||||||||
Equities — 0.2%*: | ||||||||||||||||||||
Common Stocks — 0.1%*: | ||||||||||||||||||||
Mining, Steel, Iron and Non-Precious Metals — 0.0%*: |
| |||||||||||||||||||
Boomerang Tube LLC¤ | 2,007 | $– | $– | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 0.1%*: |
| |||||||||||||||||||
Sabine Oil & Gas LLC¤ | 387 | 22,597 | 17,221 | |||||||||||||||||
Sabine Oil & Gas LLC¤ | 1,230 | 5,523 | 8,918 | |||||||||||||||||
Sabine Oil & Gas LLC¤ | 219 | 596 | 1,369 | |||||||||||||||||
Southcross Energy Holdings LP¤ | 22 | – | – | |||||||||||||||||
Southcross Energy Partners LP | 22 | 5,500 | 12,595 | |||||||||||||||||
Templar Energy LLC¤ | 8,763 | 50,647 | 48,194 | |||||||||||||||||
Templar Energy LLC¤ | 5,602 | 56,021 | 51,819 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Oil and Gas | 16,245 | 140,884 | 140,116 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Healthcare, Education and Childcare — 0.0%*: | ||||||||||||||||||||
Tunstall Group Holdings Ltd.+¤ | 469 | – | – | |||||||||||||||||
Tunstall Group Holdings Ltd.+¤ | 310 | – | – | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Healthcare, Education and Childcare | 779 | – | – | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Common Stocks | 19,031 | 140,884 | 140,116 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Preferred Stock — 0.1%*: | ||||||||||||||||||||
Chemicals, Plastics and Rubber — 0.1%*: | ||||||||||||||||||||
Pinnacle Agriculture Holdings A 2¤ | 254,165 | 170,939 | 218,582 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Equities | 273,196 | 311,823 | 358,698 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Fixed Income — 93.3%*: | ||||||||||||||||||||
Bank Loans — 84.5%*§: | ||||||||||||||||||||
Aerospace and Defense — 0.9%*: | ||||||||||||||||||||
CPI International, Inc. | 8.46 | % | 4/7/2022 | 234,173 | 233,063 | 234,173 | ||||||||||||||
Doncasters Finance US LLC | 4.80 | 4/9/2020 | 1,680,037 | 1,647,461 | 1,621,236 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Aerospace and Defense | 1,914,210 | 1,880,524 | 1,855,409 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Automobile — 1.2%*: | ||||||||||||||||||||
FPC Holdings, Inc. | 5.30 | 11/19/2019 | 471,742 | 427,904 | 461,128 | |||||||||||||||
Gates Global LLC | 4.55 | 4/1/2024 | 1,050,538 | 1,054,335 | 1,049,582 | |||||||||||||||
NN, Inc. | 5.48 | 10/19/2022 | 852,249 | 854,206 | 850,118 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Automobile | 2,374,529 | 2,336,445 | 2,360,828 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Beverage, Food and Tobacco — 2.6%*: | ||||||||||||||||||||
CTI Foods Holding Co. LLC | 4.73 | 6/29/2020 | 1,371,856 | 1,364,284 | 1,289,545 | |||||||||||||||
Del Monte Foods, Inc. | 4.43 | 2/18/2021 | 1,482,260 | 1,369,059 | 1,189,513 |
See accompanying Notes to the Financial Statements.
76
Barings Global Floating Rate Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) | ||||||||||||||||||||
Beverage, Food and Tobacco (Continued) | ||||||||||||||||||||
Deoleo S.A.+ | 4.50 | % | 6/11/2021 | 500,000 | $677,750 | $421,299 | ||||||||||||||
JBS USA LLC | 5.75 | 10/30/2022 | 1,451,888 | 1,454,964 | 1,414,139 | |||||||||||||||
Labeyrie Fine Foods SAS+ | 4.25 | 5/23/2023 | 500,000 | 541,956 | 572,503 | |||||||||||||||
Iglo Foods Midco Ltd.+ | 3.91 | 5/15/2024 | 218,165 | 217,630 | 218,505 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Beverage, Food and Tobacco | 5,524,169 | 5,625,643 | 5,105,504 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Broadcasting and Entertainment — 3.5%*: | ||||||||||||||||||||
All3Media International+ | 5.25 | 6/30/2021 | 1,500,000 | 2,303,704 | 1,962,349 | |||||||||||||||
All3Media International+ | 8.25 | 6/30/2022 | 500,000 | 672,682 | 569,647 | |||||||||||||||
AP NMT Acquisition B.V.+ | 6.90 | 8/13/2021 | 1,099,020 | 1,041,908 | 1,028,496 | |||||||||||||||
AP NMT Acquisition B.V.+ | 7.00 | 8/13/2021 | 529,510 | 642,529 | 562,748 | |||||||||||||||
AP NMT Acquisition B.V.+ | 10.15 | 8/13/2022 | 182,721 | 157,969 | 136,726 | |||||||||||||||
Intelsat Jackson Holdings S.A. | 4.00 | 6/30/2019 | 500,000 | 492,596 | 495,390 | |||||||||||||||
Technicolor S.A.+ | 3.00 | 12/31/2023 | 500,000 | 538,344 | 573,039 | |||||||||||||||
Univision Communications, Inc. | 3.98 | 3/15/2024 | 1,491,955 | 1,488,372 | 1,461,489 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Broadcasting and Entertainment | 6,303,206 | 7,338,104 | 6,789,884 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Buildings and Real Estate — 0.8%*: |
| |||||||||||||||||||
Capital Automotive L.P. | 7.22 | 3/24/2025 | 303,331 | 300,279 | 307,501 | |||||||||||||||
Cemex SAB de CV+ | 3.00 | 7/23/2020 | 97,070 | 106,733 | 110,591 | |||||||||||||||
Cemex SAB de CV+ | 4.23 | 7/23/2020 | 441,849 | 441,849 | 440,007 | |||||||||||||||
Jeld-Wen, Inc. | 4.30 | 7/1/2022 | 760,200 | 767,799 | 765,902 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Buildings and Real Estate | 1,602,450 | 1,616,660 | 1,624,001 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Chemicals, Plastics and Rubber — 5.4%*: |
| |||||||||||||||||||
Allnex (Luxembourg) & Cy S.C.A.+ | 3.25 | 9/13/2023 | 694,750 | 785,872 | 799,904 | |||||||||||||||
Allnex (Luxembourg) & Cy S.C.A. | 4.41 | 9/13/2023 | 424,535 | 422,643 | 424,802 | |||||||||||||||
Allnex USA, Inc. | 4.41 | 9/13/2023 | 319,840 | 318,415 | 320,042 | |||||||||||||||
Alpha 3 B.V. | 4.30 | 1/31/2024 | 1,592,718 | 1,603,988 | 1,594,709 | |||||||||||||||
Associated Asphalt Partners LLC | 6.48 | 3/21/2024 | 295,611 | 294,181 | 299,675 | |||||||||||||||
Flint Group GmbH+ | 4.15 | 9/7/2021 | 89,190 | 88,649 | 87,963 | |||||||||||||||
Flint Group US LLC+ | 4.15 | 9/7/2021 | 539,524 | 536,256 | 532,106 | |||||||||||||||
INEOS Styrolution Group GmbH+ | 3.25 | 4/1/2024 | 416,565 | 447,559 | 481,194 | |||||||||||||||
KMG Chemicals, Inc. | 5.41 | 6/15/2024 | 193,396 | 192,431 | 195,152 | |||||||||||||||
MacDermid Funding LLC | 4.25 | 6/7/2020 | 491,287 | 530,220 | 564,895 | |||||||||||||||
MacDermid, Inc. | 4.73 | 6/5/2020 | 1,355,610 | 1,362,936 | 1,358,999 | |||||||||||||||
Methanol Holdings (Trinidad) Ltd. | 4.73 | 6/30/2022 | 1,112,752 | 1,104,782 | 1,109,970 | |||||||||||||||
Novacap S.A.+ | 4.25 | 6/22/2023 | 500,000 | 558,440 | 575,763 | |||||||||||||||
OXEA Finance & Cy S.C.A.+ | 4.50 | 1/15/2020 | 489,848 | 519,799 | 560,061 | |||||||||||||||
OXEA Finance LLC+ | 4.40 | 1/15/2020 | 348,700 | 344,922 | 343,470 | |||||||||||||||
Tronox Pigments (Netherlands) B.V. | 4.80 | 3/19/2020 | 1,382,005 | 1,344,707 | 1,388,915 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Chemicals, Plastics and Rubber | 10,246,331 | 10,455,800 | 10,637,620 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
77
Barings Global Floating Rate Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) | ||||||||||||||||||||
Containers, Packaging and Glass — 5.8%*: |
| |||||||||||||||||||
BWAY Holding Co. | 4.33 | % | 4/3/2024 | 1,500,000 | $1,492,649 | $1,499,190 | ||||||||||||||
Coveris Holdings S.A. | 5.55 | 6/26/2022 | 348,143 | 346,402 | 345,967 | |||||||||||||||
Flex Acquisition Co., Inc. | 4.40 | 12/29/2023 | 1,599,940 | 1,618,714 | 1,603,603 | |||||||||||||||
Go Daddy Operating Co. LLC | 3.73 | 2/15/2024 | 1,469,223 | 1,470,583 | 1,471,794 | |||||||||||||||
ProAmpac Intermediate, Inc. | 5.19 | 11/18/2023 | 746,250 | 749,697 | 753,250 | |||||||||||||||
ProAmpac Intermediate, Inc. | 9.67 | 11/18/2024 | 750,000 | 739,598 | 760,785 | |||||||||||||||
Reynolds Group Holdings, Inc. | 4.23 | 2/5/2023 | 1,769,591 | 1,772,763 | 1,770,883 | |||||||||||||||
Signode Industrial Group US, Inc. | 4.01 | 5/3/2021 | 1,430,960 | 1,436,903 | 1,429,171 | |||||||||||||||
Tekni-Plex, Inc. | 4.73 | 6/1/2022 | 1,646,677 | 1,630,096 | 1,652,853 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Containers, Packaging and Glass | 11,260,784 | 11,257,405 | 11,287,496 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified/Conglomerate Manufacturing — 3.8%*: |
| |||||||||||||||||||
LTI Holdings, Inc. | 5.92 | 5/16/2024 | 823,909 | 815,715 | 815,670 | |||||||||||||||
Misys Europe S.A.+ | 4.25 | 6/13/2024 | 500,000 | 541,763 | 578,305 | |||||||||||||||
MTS Systems Corp. | 5.33 | 7/5/2023 | 389,863 | 386,505 | 392,787 | |||||||||||||||
PCF GmbH+ | 4.00 | 4/7/2024 | 500,000 | 525,541 | 576,072 | |||||||||||||||
Pelican Products, Inc. | 5.55 | 4/11/2020 | 962,865 | 961,554 | 964,473 | |||||||||||||||
Project Alpha Intermediate Holding, Inc. | 4.67 | 4/26/2024 | 595,102 | 592,189 | 590,639 | |||||||||||||||
STS Operating, Inc. | 4.96 | 2/12/2021 | 296,080 | 296,312 | 296,820 | |||||||||||||||
Triple Point Technology, Inc. | 5.55 | 7/10/2020 | 1,702,601 | 1,616,737 | 1,593,004 | |||||||||||||||
Triple Point Technology, Inc.†† | 9.55 | 7/10/2021 | 258,851 | 235,480 | 209,186 | |||||||||||||||
Wilsonart LLC | 4.80 | 12/19/2023 | 1,496,241 | 1,514,584 | 1,499,607 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Manufacturing | 7,525,512 | 7,486,380 | 7,516,563 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified/Conglomerate Service — 12.1%*: |
| |||||||||||||||||||
Almonde, Inc.+ | 8.46 | 6/13/2025 | 752,587 | 767,168 | 765,486 | |||||||||||||||
Aquilex Holdings LLC | 5.12 | 12/31/2020 | 183,471 | 183,239 | 179,801 | |||||||||||||||
Atrium Innovations, Inc. | 4.80 | 2/13/2021 | 1,603,382 | 1,596,867 | 1,608,401 | |||||||||||||||
Brickman Group Ltd. LLC | 4.22 | 12/18/2020 | 1,463,370 | 1,470,394 | 1,464,058 | |||||||||||||||
Hyland Software, Inc. | 4.55 | 7/1/2022 | 1,000,000 | 1,010,000 | 1,005,500 | |||||||||||||||
Infor (US), Inc. | 3.75 | 2/1/2022 | 498,750 | 537,716 | 573,566 | |||||||||||||||
Infor (US), Inc. | 4.05 | 2/1/2022 | 1,496,250 | 1,497,412 | 1,485,836 | |||||||||||||||
inVentiv Health, Inc. | 4.95 | 11/9/2023 | 1,609,304 | 1,628,212 | 1,611,316 | |||||||||||||||
Kronos, Inc. | 4.68 | 11/1/2023 | 1,603,056 | 1,607,365 | 1,612,674 | |||||||||||||||
MA FinanceCo LLC | 4.05 | 4/29/2024 | 246,296 | 246,648 | 246,604 | |||||||||||||||
Misys Europe S.A.+ | 4.74 | 6/13/2024 | 559,918 | 557,136 | 559,711 | |||||||||||||||
Northgate Information Solutions Ltd.+ | 6.50 | 3/23/2022 | 500,000 | 524,129 | 538,238 | |||||||||||||||
PowerTeam Services LLC | 8.55 | 11/6/2020 | 500,000 | 497,578 | 490,000 | |||||||||||||||
Prime Security Services Borrower LLC | 3.97 | 5/2/2022 | 1,498,597 | 1,493,977 | 1,497,668 | |||||||||||||||
Project Leopard Holdings, Inc. | 6.80 | 5/31/2023 | 239,112 | 238,514 | 239,411 | |||||||||||||||
Quest Software US Holdings, Inc. | 7.23 | 10/31/2022 | 1,491,587 | 1,477,241 | 1,513,215 | |||||||||||||||
RP Crown Parent LLC | 4.73 | 10/12/2023 | 1,769,122 | 1,764,550 | 1,778,604 | |||||||||||||||
Seattle Spinco, Inc. | 4.05 | 4/19/2024 | 1,663,300 | 1,665,675 | 1,665,380 | |||||||||||||||
TierPoint LLC | 4.98 | 5/5/2024 | 267,850 | 266,534 | 267,737 |
See accompanying Notes to the Financial Statements.
78
Barings Global Floating Rate Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) | ||||||||||||||||||||
Diversified/Conglomerate Service (Continued) | ||||||||||||||||||||
Verisure Holding AB+ | 3.00 | % | 10/20/2022 | 500,000 | $527,175 | $572,828 | ||||||||||||||
Veritas Bermuda Ltd. | 5.50 | 6/30/2023 | 798,000 | 891,207 | 916,622 | |||||||||||||||
Veritas Bermuda Ltd. | 5.80 | 1/27/2023 | 1,296,750 | 1,291,886 | 1,298,099 | |||||||||||||||
VF Holding Corp. | 4.55 | 6/30/2023 | 1,737,497 | 1,741,925 | 1,734,960 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Service | 23,278,199 | 23,482,548 | 23,625,715 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Ecological — 0.7%*: |
| |||||||||||||||||||
Emerald 3 Ltd. | 8.30 | 5/31/2022 | 390,426 | 387,991 | 358,540 | |||||||||||||||
Emerald US, Inc. | 5.30 | 5/9/2021 | 600,000 | 558,787 | 564,000 | |||||||||||||||
PHS Group Ltd.+ | 6.25 | 12/20/2021 | 299,197 | 369,971 | 394,482 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Ecological | 1,289,623 | 1,316,749 | 1,317,022 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Electronics — 5.1%*: |
| |||||||||||||||||||
Dell, Inc. | 3.73 | 9/7/2023 | 1,995,000 | 2,014,096 | 2,001,643 | |||||||||||||||
First Data Corp. | 3.47 | 7/8/2022 | 1,526,007 | 1,524,378 | 1,522,909 | |||||||||||||||
Informatica Corp. | 4.80 | 8/5/2022 | 1,648,981 | 1,643,394 | 1,646,920 | |||||||||||||||
Micro Holding Corp. | 4.98 | 7/8/2021 | 574,963 | 573,058 | 578,379 | |||||||||||||||
Renaissance Learning, Inc. | 5.05 | 4/9/2021 | 1,742,202 | 1,729,314 | 1,747,097 | |||||||||||||||
Wall Street Systems Delaware, Inc. | 4.25 | 8/26/2023 | 310,217 | 327,806 | 356,529 | |||||||||||||||
Wall Street Systems Delaware, Inc. | 4.79 | 8/26/2023 | 1,243,750 | 1,249,788 | 1,249,198 | |||||||||||||||
Western Digital Corp. | 3.98 | 4/29/2023 | 939,485 | 945,214 | 942,660 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Electronics | 9,980,605 | 10,007,048 | 10,045,335 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Farming and Agriculture — 0.8%*: |
| |||||||||||||||||||
Dole Food Co., Inc. | 4.15 | 4/6/2024 | 1,486,086 | 1,494,180 | 1,487,944 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Finance — 3.0%*: |
| |||||||||||||||||||
Cunningham Lindsey US, Inc. | 5.05 | 12/10/2019 | 478,466 | 477,522 | 430,223 | |||||||||||||||
Cunningham Lindsey US, Inc. | 9.30 | 6/10/2020 | 748,546 | 749,455 | 374,273 | |||||||||||||||
Moneygram International, Inc. | 4.55 | 3/27/2020 | 1,283,595 | 1,230,568 | 1,283,056 | |||||||||||||||
NFP Corp. | 4.80 | 1/8/2024 | 1,543,966 | 1,565,005 | 1,546,374 | |||||||||||||||
SAM Finance Lux S.a.r.l.+ | 5.00 | 12/17/2020 | 335,477 | 542,368 | 438,170 | |||||||||||||||
Tempo Acquisition LLC | 4.06 | 5/1/2024 | 1,637,201 | 1,636,595 | 1,640,016 | |||||||||||||||
VFH Parent LLC | 5.05 | 10/15/2021 | 168,381 | 168,171 | 169,294 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Finance | 6,195,632 | 6,369,684 | 5,881,406 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Healthcare, Education and Childcare — 9.7%*: |
| |||||||||||||||||||
Alere, Inc. | 4.48 | 6/18/2022 | 1,711,502 | 1,713,923 | 1,714,565 | |||||||||||||||
Arbor Pharmaceuticals, Inc. | 6.30 | 7/5/2023 | 1,586,522 | 1,570,105 | 1,600,404 | |||||||||||||||
CareCore National LLC | 5.23 | 3/5/2021 | 1,522,867 | 1,527,919 | 1,538,095 | |||||||||||||||
Endo Luxembourg Finance Co. I S.a r.l. | 5.50 | 4/29/2024 | 551,772 | 549,076 | 556,601 | |||||||||||||||
Explorer Holdings, Inc. | 6.17 | 5/2/2023 | 523,387 | 519,104 | 527,312 | |||||||||||||||
Greatbatch Ltd. | 4.71 | 10/27/2022 | 1,336,516 | 1,340,077 | 1,340,526 | |||||||||||||||
Immucor, Inc. | 5.00 | 8/17/2018 | 155,436 | 151,533 | 155,371 |
See accompanying Notes to the Financial Statements.
79
Barings Global Floating Rate Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) | ||||||||||||||||||||
Healthcare, Education and Childcare (Continued) |
| |||||||||||||||||||
Jaguar Holding Co. II | 4.01 | % | 8/18/2022 | 1,506,565 | $1,508,002 | $1,506,836 | ||||||||||||||
Kindred Healthcare, Inc. | 4.69 | 4/9/2021 | 1,668,927 | 1,630,266 | 1,673,099 | |||||||||||||||
Ortho-Clinical Diagnostics, Inc. | 5.05 | 6/30/2021 | 2,005,002 | 1,996,633 | 1,992,070 | |||||||||||||||
Press Ganey Holdings, Inc. | 4.48 | 10/21/2023 | 1,243,750 | 1,254,734 | 1,246,859 | |||||||||||||||
Press Ganey Holdings, Inc. | 8.48 | 10/21/2024 | 821,256 | 831,883 | 837,681 | |||||||||||||||
Riemser Pharma GmbH+ | 5.50 | 6/29/2023 | 500,000 | 539,084 | 512,540 | |||||||||||||||
Rodenstock GmbH+ | 4.13 | 5/30/2019 | 1,500,000 | 1,769,918 | 1,660,115 | |||||||||||||||
Tunstall Group Holdings Ltd.+ | 8.49 | 10/16/2020 | 500,699 | 796,264 | 657,026 | |||||||||||||||
Valeant Pharmaceuticals International, Inc. | 5.83 | 4/1/2022 | 1,525,522 | 1,495,085 | 1,545,552 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Healthcare, Education and Childcare | 18,659,723 | 19,193,606 | 19,064,652 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Home and Office Furnishings, Housewares, and Durable Consumer Products — 1.4%*: |
| |||||||||||||||||||
Keter Group B.V.+ | 5.25 | 10/31/2023 | 500,000 | 519,112 | 575,655 | |||||||||||||||
Serta Simmons Bedding LLC | 4.59 | 11/8/2023 | 1,725,963 | 1,718,020 | 1,723,253 | |||||||||||||||
Serta Simmons Bedding LLC | 9.18 | 11/8/2024 | 500,000 | 493,056 | 497,710 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Home and Office Furnishings, Housewares, and Durable Consumer Products | 2,725,963 | 2,730,188 | 2,796,618 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Hotels, Motels, Inns and Gaming — 1.1%*: |
| |||||||||||||||||||
Cyan Blue Holdco 3 Ltd.+ | 4.56 | 2/25/2022 | 500,000 | 738,623 | 658,551 | |||||||||||||||
Financiere Sun S.A.S.+ | 4.25 | 3/14/2023 | 338,983 | 369,560 | 391,428 | |||||||||||||||
HNVR Holdco Ltd.+ | 5.00 | 9/12/2023 | 492,449 | 543,027 | 569,599 | |||||||||||||||
Tackle S.a.r.l+ | 3.50 | 8/8/2022 | 500,000 | 554,189 | 573,525 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Hotels, Motels, Inns and Gaming | 1,831,432 | 2,205,399 | 2,193,103 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Insurance — 5.4%*: |
| |||||||||||||||||||
Alliant Holdings I, Inc. | 4.42 | 8/14/2024 | 1,825,041 | 1,822,508 | 1,821,391 | |||||||||||||||
AmWINS Group, Inc. | 4.13 | 1/25/2024 | 1,496,241 | 1,499,874 | 1,495,313 | |||||||||||||||
Asurion LLC | 4.23 | 11/3/2023 | 1,619,107 | 1,629,766 | 1,627,203 | |||||||||||||||
GENEX Holdings, Inc. | 5.48 | 5/30/2021 | 1,473,418 | 1,469,574 | 1,462,367 | |||||||||||||||
Hub International Ltd. | 4.42 | 10/2/2020 | 1,784,085 | 1,793,768 | 1,787,618 | |||||||||||||||
Sedgwick Claims Management Services, Inc. | 6.98 | 2/28/2022 | 561,418 | 560,995 | 564,225 | |||||||||||||||
USI Holdings | 4.18 | 5/16/2024 | 243,545 | 242,342 | 241,718 | |||||||||||||||
York Risk Services Holding Corp. | 4.98 | 10/1/2021 | 1,667,362 | 1,636,478 | 1,626,929 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Insurance | 10,670,217 | 10,655,305 | 10,626,764 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Leisure, Amusement, Entertainment — 2.0%*: |
| |||||||||||||||||||
Delta 2 (LUX) S.a.r.l.+ | 4.50 | 2/1/2024 | 1,587,247 | 1,583,442 | 1,587,580 | |||||||||||||||
Delta 2 (LUX) S.a.r.l.+ | 8.00 | 7/29/2022 | 131,250 | 131,134 | 131,954 | |||||||||||||||
Dorna Sports, S.L.+ | 3.25 | 4/12/2024 | 500,000 | 540,275 | 575,061 | |||||||||||||||
SeaWorld Parks & Entertainment, Inc. | 4.30 | 4/2/2024 | 1,589,987 | 1,579,478 | 1,585,615 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Leisure, Amusement, Entertainment | 3,808,484 | 3,834,329 | 3,880,210 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
80
Barings Global Floating Rate Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) | ||||||||||||||||||||
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 2.9%*: |
| |||||||||||||||||||
Alison Bidco S.a.r.l.+ | 5.80 | % | 8/29/2021 | 289,083 | $287,356 | $287,154 | ||||||||||||||
Apex Tool Group LLC | 4.50 | 1/31/2020 | 1,702,264 | 1,685,721 | 1,656,525 | |||||||||||||||
Gardner Denver, Inc. | 4.57 | 7/30/2020 | 1,373,928 | 1,315,691 | 1,375,274 | |||||||||||||||
Husky Injection Molding Systems Ltd.+ | 4.48 | 6/30/2021 | 1,691,115 | 1,689,729 | 1,697,254 | |||||||||||||||
Schenck Measuring and Process Technologies+ | 6.25 | 5/13/2022 | 500,000 | 550,500 | 570,601 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Machinery Non-Agriculture, Non-Construction, Non-Electronic | 5,556,390 | 5,528,997 | 5,586,808 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mining, Steel, Iron and Non-Precious Metals — 2.5%*: |
| |||||||||||||||||||
Arch Coal, Inc. | 5.23 | 3/7/2024 | 1,468,737 | 1,472,499 | 1,465,683 | |||||||||||||||
Boomerang Tube LLC¤†† | 15.00 | 2/2/2020 | 32,825 | 32,879 | 32,825 | |||||||||||||||
Boomerang Tube LLC¤†† | 16.23 | 2/2/2020 | 102,996 | 102,996 | 102,996 | |||||||||||||||
Boomerang Tube LLC¤†† | 18.73 | 2/1/2021 | 86,959 | 86,959 | 9,565 | |||||||||||||||
Boomerang Tube LLC¤†† | 20.00 | 2/2/2020 | 38,176 | 36,330 | 34,358 | |||||||||||||||
H.C. Starck GmbH+ | 8.00 | 5/30/2020 | 521,802 | 556,989 | 595,481 | |||||||||||||||
H.C. Starck GmbH+ | 8.45 | 5/30/2020 | 521,802 | 499,820 | 523,107 | |||||||||||||||
Murray Energy Corp. | 8.55 | 4/16/2020 | 1,258,927 | 1,242,714 | 1,227,454 | |||||||||||||||
Peabody Energy Corp. | 5.73 | 3/31/2022 | 315,646 | 313,982 | 314,936 | |||||||||||||||
Zekelman Industries, Inc. | 4.79 | 6/14/2021 | 595,400 | 590,648 | 598,228 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Mining, Steel, Iron and Non-Precious Metals | 4,943,270 | 4,935,816 | 4,904,633 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 4.9%*: |
| |||||||||||||||||||
Caelus Energy Alaska O3 LLC | 8.75 | 4/15/2020 | 1,499,143 | 1,399,670 | 1,286,759 | |||||||||||||||
Eastern Power LLC | 5.23 | 10/2/2023 | 1,848,343 | 1,839,742 | 1,838,640 | |||||||||||||||
Fieldwood Energy LLC PIK | 8.42 | 9/30/2020 | 2,613,837 | 1,749,859 | 1,647,412 | |||||||||||||||
Floatel International, Ltd. | 6.30 | 6/27/2020 | 398,186 | 396,174 | 291,671 | |||||||||||||||
Gulf Finance LLC | 6.55 | 8/25/2023 | 975,249 | 949,459 | 905,763 | |||||||||||||||
Paragon Offshore Finance Co.~ | 6.00 | 7/18/2021 | 545,863 | 474,033 | 208,793 | |||||||||||||||
Seadrill Partners Finco LLC | 4.30 | 2/21/2021 | 2,441,563 | 1,663,839 | 1,552,834 | |||||||||||||||
Southcross Holdings Borrower LP | 9.00 | 4/13/2023 | 20,574 | 20,574 | 17,899 | |||||||||||||||
UTEX Industries, Inc. | 5.23 | 5/22/2021 | 988,034 | 858,309 | 878,530 | |||||||||||||||
UTEX Industries, Inc. | 8.48 | 5/22/2022 | 1,000,000 | 587,232 | 881,250 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Oil and Gas | 12,330,792 | 9,938,891 | 9,509,551 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Personal Transportation — 0.9%*: |
| |||||||||||||||||||
Travelport Finance (Luxembourg) S.a.r.l. | 4.43 | 9/2/2021 | 1,749,000 | 1,760,850 | 1,751,187 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Printing and Publishing — 1.0%*: |
| |||||||||||||||||||
Ascend Learning LLC | 4.55 | 7/5/2022 | 202,870 | 201,856 | 202,870 | |||||||||||||||
Springer Science+Business Media Deutschland GmbH+ | 4.80 | 8/14/2020 | 1,698,530 | 1,691,463 | 1,699,600 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Printing and Publishing | 1,901,400 | 1,893,319 | 1,902,470 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
81
Barings Global Floating Rate Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | �� | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | |||||||||||||||
Bank Loans (Continued) | ||||||||||||||||||||
Retail Stores — 1.9%*: |
| |||||||||||||||||||
Academy, Ltd. | 5.20 | % | 7/1/2022 | 1,502,582 | $1,471,521 | $1,161,496 | ||||||||||||||
Advantage Sales & Marketing, Inc. | 4.55 | 7/23/2021 | 942,512 | 938,679 | 901,871 | |||||||||||||||
Maxeda DIY B.V.+ | 7.00 | 6/28/2019 | 583,334 | 653,770 | 662,683 | |||||||||||||||
Nature’s Bounty Co. (The) | 4.80 | 5/5/2023 | 995,000 | 995,000 | 995,537 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Retail Stores | 4,023,428 | 4,058,970 | 3,721,587 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Telecommunications — 3.5%*: |
| |||||||||||||||||||
Digicel International Finance Ltd.+ | 4.94 | 5/28/2024 | 787,110 | 790,284 | 791,786 | |||||||||||||||
Numericable Group SA+ | 3.94 | 7/31/2025 | 1,000,000 | 997,555 | 990,940 | |||||||||||||||
Numericable US LLC+ | 4.42 | 1/14/2025 | 1,492,500 | 1,488,278 | 1,489,395 | |||||||||||||||
Telenet Financing USD LLC+ | 3.00 | 3/31/2026 | 500,000 | 531,841 | 575,238 | |||||||||||||||
Virgin Media Bristol LLC+ | 3.91 | 1/31/2025 | 1,600,000 | 1,615,336 | 1,599,600 | |||||||||||||||
Ziggo Secured Finance Partnership+ | 3.66 | 4/15/2025 | 1,502,234 | 1,499,929 | 1,497,111 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Telecommunications | 6,881,844 | 6,923,223 | 6,944,070 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Utilities — 1.6%*: |
| |||||||||||||||||||
Dynegy, Inc. | 4.48 | 2/7/2024 | 1,496,250 | 1,496,250 | 1,492,435 | |||||||||||||||
Helix Gen Funding LLC | 4.96 | 6/2/2024 | 524,121 | 523,938 | 526,930 | |||||||||||||||
Vistra Operations Co. LLC | 4.47 | 12/14/2023 | 1,084,248 | 1,094,438 | 1,083,434 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Utilities | 3,104,619 | 3,114,626 | 3,102,799 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Bank Loans | 167,167,898 | 167,440,689 | 165,519,179 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Corporate Bonds — 8.8%*: | ||||||||||||||||||||
Broadcasting and Entertainment — 0.2%*: |
| |||||||||||||||||||
Entertainment One Ltd.+ | 6.88 | 12/15/2022 | 100,000 | 150,222 | 142,618 | |||||||||||||||
VTR Finance BV+ | 6.88 | 1/15/2024 | 211,000 | 214,207 | 223,660 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Broadcasting and Entertainment | 311,000 | 364,429 | 366,278 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Cargo Transport — 0.6%*: |
| |||||||||||||||||||
Deck Chassis Acquisition, Inc.^ | 10.00 | 6/15/2023 | 861,000 | 910,630 | 955,710 | |||||||||||||||
WFS Global Holding SAS+ | 9.50 | 7/15/2022 | 100,000 | 113,435 | 124,454 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Cargo Transport | 961,000 | 1,024,065 | 1,080,164 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Chemicals, Plastics and Rubber — 0.2%*: |
| |||||||||||||||||||
Pinnacle Operating Corp.^ | 9.00 | 5/15/2023 | 378,294 | 479,681 | 359,379 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Containers, Packaging and Glass — 0.5%*: |
| |||||||||||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.^+ | 4.63 | 5/15/2023 | 500,000 | 502,679 | 512,295 | |||||||||||||||
BWAY Holding Co.^ | 5.50 | 4/15/2024 | 300,000 | 300,000 | 306,375 | |||||||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu^ | 5.13 | 7/15/2023 | 178,000 | 178,000 | 184,898 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Containers, Packaging and Glass | 978,000 | 980,679 | 1,003,568 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
82
Barings Global Floating Rate Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Diversified/Conglomerate Manufacturing — 0.2%*: |
| |||||||||||||||||||
Appvion, Inc.^ | 9.00 | % | 6/1/2020 | 460,000 | $464,994 | $239,200 | ||||||||||||||
Galapagos SA/ Luxembourg+ | 4.42 | # | 6/15/2021 | 200,000 | 272,630 | 226,089 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Manufacturing | 660,000 | 737,624 | 465,289 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified/Conglomerate Service — 0.5%*: |
| |||||||||||||||||||
Carlson Travel, Inc. | 4.75 | # | 6/15/2023 | 150,000 | 158,362 | 172,813 | ||||||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc.^ | 9.25 | 5/15/2023 | 271,000 | 271,000 | 294,485 | |||||||||||||||
Sabre GLBL, Inc.^ | 5.38 | 4/15/2023 | 561,000 | 570,197 | 584,842 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Service | 982,000 | 999,559 | 1,052,140 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Electronics — 0.1%*: |
| |||||||||||||||||||
First Data Corp.^ | 5.00 | 1/15/2024 | 179,000 | 178,031 | 184,089 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Finance — 0.9%*: |
| |||||||||||||||||||
Arrow Global Finance PLC+ | 4.75 | # | 5/1/2023 | 100,000 | 111,369 | 119,122 | ||||||||||||||
Galaxy Bidco Ltd.+ | 5.32 | # | 11/15/2019 | 100,000 | 161,274 | 130,570 | ||||||||||||||
Garfunkelux Holdco 3 S.A.+ | 5.50 | # | 10/1/2021 | 300,000 | 329,255 | 348,384 | ||||||||||||||
Garfunkelux Holdco 3 S.A.+ | 8.50 | 11/1/2022 | 250,000 | 386,526 | 348,161 | |||||||||||||||
Jerrold Finco PLC+ | 6.13 | 1/15/2024 | 100,000 | 124,555 | 131,951 | |||||||||||||||
Marlin Intermediate Holdings PLC MTN+ | 10.50 | 8/1/2020 | 500,000 | 813,164 | 690,271 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Finance | 1,350,000 | 1,926,143 | 1,768,459 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Grocery — 0.1%*: |
| |||||||||||||||||||
Premier Foods Finance PLC+ | 6.50 | 3/15/2021 | 100,000 | 146,280 | 131,899 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Healthcare, Education and Childcare — 1.0%*: |
| |||||||||||||||||||
CHS/Community Health Systems, Inc. | 5.13 | 8/1/2021 | 959,000 | 944,181 | 970,987 | |||||||||||||||
HCA, Inc. | 5.25 | 6/15/2026 | 82,000 | 82,000 | 88,437 | |||||||||||||||
IDH Finance PLC+ | 6.25 | 8/15/2022 | 100,000 | 131,025 | 126,566 | |||||||||||||||
Tenet Healthcare Corp.^ | 4.63 | 7/15/2024 | 67,000 | 67,000 | 67,084 | |||||||||||||||
Tenet Healthcare Corp. | 4.75 | # | 6/15/2020 | 489,000 | 487,495 | 493,890 | ||||||||||||||
THC Escrow Corp. III^ | 4.63 | 7/15/2024 | 84,000 | 84,000 | 84,227 | |||||||||||||||
THC Escrow Corp. III^ | 5.13 | 5/1/2025 | 104,000 | 104,000 | 104,390 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Healthcare, Education and Childcare | 1,885,000 | 1,899,701 | 1,935,581 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Hotels, Motels, Inns and Gaming — 0.2%*: |
| |||||||||||||||||||
TVL Finance PLC+ | 8.50 | 5/15/2023 | 315,000 | 444,375 | 454,717 | |||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
83
Barings Global Floating Rate Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Leisure, Amusement, Entertainment — 0.2%*: |
| |||||||||||||||||||
CPUK Finance Ltd.+ | 4.25 | % | 8/28/2022 | 100,000 | $128,840 | $131,005 | ||||||||||||||
Vue International Bidco PLC+ | 4.92 | # | 7/15/2020 | 100,000 | 134,702 | 114,646 | ||||||||||||||
WMG Acquisition Corp.^ | 5.00 | 8/1/2023 | 63,000 | 63,000 | 64,575 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Leisure, Amusement, Entertainment | 263,000 | 326,542 | 310,226 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 1.4%*: |
| |||||||||||||||||||
Citgo Holding, Inc.^ | 10.75 | 2/15/2020 | 1,500,000 | 1,485,306 | 1,629,375 | |||||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc.^ | 8.00 | 2/15/2025 | 1,303,000 | 1,147,635 | 970,735 | |||||||||||||||
Kosmos Energy Ltd.^ | 7.88 | 8/1/2021 | 200,000 | 193,560 | 204,000 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Oil and Gas |
| 3,003,000 | 2,826,501 | 2,804,110 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Personal Transportation — 0.5%*: |
| |||||||||||||||||||
Hertz Corp. (The)^ | 7.63 | 6/1/2022 | 1,051,000 | 1,048,523 | 1,048,478 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Retail Stores — 0.8%*: |
| |||||||||||||||||||
House of Fraser Funding PLC+ | 6.04 | # | 9/15/2020 | 300,000 | 465,025 | 322,489 | ||||||||||||||
HSS Financing PLC+ | 6.75 | 8/1/2019 | 68,000 | 112,557 | 88,159 | |||||||||||||||
International Car Wash Group Financing PLC+ | 6.63 | 7/15/2019 | 350,000 | 399,078 | 405,283 | |||||||||||||||
Marcolin SpA+ | 4.13 | # | 2/15/2023 | 100,000 | 107,795 | 116,031 | ||||||||||||||
Takko Luxembourg 2 S.C.A. MTN+ | 9.88 | 4/15/2019 | 425,000 | 397,647 | 447,794 | |||||||||||||||
Travelex Financing PLC+ | 8.00 | 5/15/2022 | 100,000 | 108,750 | 112,597 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Retail Stores |
| 1,343,000 | 1,590,852 | 1,492,353 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Telecommunications — 1.4%*: |
| |||||||||||||||||||
Hughes Satellite Systems Corp. | 5.25 | 8/1/2026 | 1,388,000 | 1,397,733 | 1,450,460 | |||||||||||||||
Numericable SFR Group SA+^ | 6.00 | 5/15/2022 | 646,000 | 645,426 | 675,877 | |||||||||||||||
Numericable SFR Group SA+^ | 7.38 | 5/1/2026 | 217,000 | 217,000 | 235,445 | |||||||||||||||
Ziggo Secured Finance B.V.+ | 4.25 | 1/15/2027 | 350,000 | 390,407 | 423,042 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Telecommunications |
| 2,601,000 | 2,650,566 | 2,784,824 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Corporate Bonds |
| 16,360,294 | 17,623,551 | 17,241,554 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Fixed Income |
| 183,528,192 | 185,064,240 | 182,760,733 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Short-Term Investment — 8.3%*: |
| |||||||||||||||||||
Bank Deposit — 8.3%*: |
| |||||||||||||||||||
State Street Bank & Trust Co. Euro Time Deposit | 0.09 | 7/3/2017 | 16,250,267 | 16,250,267 | 16,250,267 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Investments |
| 200,051,655 | 201,626,330 | 199,369,698 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Other assets and liabilities — (1.8%)* |
| (3,518,882 | ) | |||||||||||||||||
|
| |||||||||||||||||||
Net Assets — 100.0% |
| $195,850,816 | ||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements.
84
Barings Global Floating Rate Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
MTN | Medium Term Note | |
PIK | Payment-in-kind |
‡‡ | Unless otherwise indicated, all principal amounts are denominated in United States Dollars. |
* | Calculated as a percentage of net assets applicable to common shareholders. |
+ | Foreign security. |
Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows: |
United States | 77.2% | |||
United Kingdom | 7.6% | |||
Germany | 5.3% | |||
France | 3.1% | |||
Netherlands | 2.7% | |||
Spain | 1.1% | |||
Other (Individually less than 1%) | 3.0% | |||
|
| |||
Total | 100.0% | |||
|
|
^ | Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers. |
§ | Bank loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for bank loans are the current interest rates at June 30, 2017. Bank loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. |
¤ | For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 2). |
†† | Illiquid security. |
~ | Defaulted security. |
# | Variable rate security. The interest rate shown is the rate in effect at June 30, 2017. |
A summary of outstanding derivatives at June 30, 2017 is as follows:
Forward Foreign Currency Exchange Contracts to Buy
EXPIRATION DATE | COUNTERPARTY | LOCAL CURRENCY | VALUE IN USD | IN EXCHANGE FOR USD | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
7/14/17 | Morgan Stanley & Co. | EUR | 1,129,352 | 1,290,484 | 1,266,225 | $ | 24,259 | |||||||||||||||
7/14/17 | Morgan Stanley & Co. | GBP | 110,182 | 143,549 | 140,553 | 2,996 | ||||||||||||||||
|
| |||||||||||||||||||||
Net unrealized appreciation on forward foreign currency exchange contracts to buy | $ | 27,255 | ||||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements.
85
Barings Global Floating Rate Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
Forward Foreign Currency Exchange Contracts to Sell
EXPIRATION DATE | COUNTERPARTY | LOCAL CURRENCY | VALUE IN USD | IN EXCHANGE FOR USD | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
7/3/17 | Morgan Stanley & Co. | EUR | 114,368 | 130,626 | 130,636 | $ | 10 | |||||||||||||||
7/14/17 | Morgan Stanley & Co. | EUR | 17,205,567 | 19,660,396 | 19,367,027 | (293,369 | ) | |||||||||||||||
7/14/17 | Morgan Stanley & Co. | GBP | 5,545,883 | 7,225,349 | 7,183,935 | (41,414 | ) | |||||||||||||||
|
| |||||||||||||||||||||
Net unrealized depreciation on forward foreign currency exchange contracts to sell | $ | (334,773 | ) | |||||||||||||||||||
|
|
Currency Legend
EUR | – | Euro | ||
GBP | – | British Pound Sterling |
See accompanying Notes to the Financial Statements.
86
Barings Global Credit Income Opportunities Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS
June 30, 2017
SHARES | COST | FAIR VALUE | ||||||||||||||||||
Equities — 0.6%*: |
| |||||||||||||||||||
Common Stocks — 0.4%*: |
| |||||||||||||||||||
Retail Stores — 0.4%*: |
| |||||||||||||||||||
Maxeda DIY B.V.+¤ | 18,859,871 | $373,738 | $430,816 | |||||||||||||||||
Maxeda DIY B.V.+¤ | 10,446 | – | 107,712 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Retail Stores | 18,870,317 | 373,738 | 538,528 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mining, Steel, Iron and Non-Precious Metals — 0.0%*: |
| |||||||||||||||||||
Boomerang Tube LLC¤ | 2,007 | – | – | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 0.0%*: |
| |||||||||||||||||||
Southcross Energy Partners LP | 11 | 2,750 | 6,298 | |||||||||||||||||
Southcross Energy Holdings LP¤ | 11 | – | – | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Oil and Gas |
| 22 | 2,750 | 6,298 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Common Stocks | 18,872,346 | 376,488 | 544,826 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Preferred Stock — 0.2%*: | ||||||||||||||||||||
Chemicals, Plastics and Rubber — 0.2%*: | ||||||||||||||||||||
Pinnacle Agriculture Holdings A 2¤ | 304,998 | 199,275 | 262,298 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Equities | 19,177,344 | 575,763 | 807,124 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Fixed Income — 94.1%*: |
| |||||||||||||||||||
Asset-Backed Securities — 12.4%*: |
| |||||||||||||||||||
CDO/CLO — 12.4%*: |
| |||||||||||||||||||
AIMCO CLO 2015-AA E^ | 8.98 | #% | 1/15/2028 | 500,000 | 510,390 | 506,742 | ||||||||||||||
ALME Loan Funding III Designated Activity Co. 3A ERV+^ | 5.40 | # | 4/15/2030 | 500,000 | 521,793 | 570,367 | ||||||||||||||
Apidos CLO 2017-27A D^ | 7.70 | # | 7/17/2030 | 700,000 | 700,000 | 700,000 | ||||||||||||||
Apidos CLO XV 2013-15A E^ | 6.66 | # | 10/20/2025 | 500,000 | 467,833 | 475,656 | ||||||||||||||
Apidos CLO XVI 2013-16A D^ | 5.66 | # | 1/19/2025 | 500,000 | 447,523 | 495,409 | ||||||||||||||
Atlas Senior Loan Fund VI Ltd. 2014-6A E^ | 6.36 | # | 10/15/2026 | 800,000 | 739,772 | 784,878 | ||||||||||||||
Atrium IX 9A E^ | 7.65 | # | 5/28/2030 | 500,000 | 500,000 | 502,170 | ||||||||||||||
BlueMountain CLO Ltd. 2014-1A^ | Zero Coupon | 4/30/2026 | 250,000 | 240,768 | 145,992 | |||||||||||||||
Cairn CLO B.V. 2013-3A E+^ | 4.90 | # | 10/20/2028 | 1,000,000 | 1,029,807 | 1,125,980 | ||||||||||||||
Carlyle Global Market Strategies CLO Ltd. 2013-4A F^ | 6.36 | # | 10/15/2025 | 500,000 | 461,643 | 472,533 | ||||||||||||||
Carlyle Global Market Strategies CLO Ltd. 2014-1A E^ | 5.61 | # | 4/17/2025 | 1,000,000 | 902,010 | 990,571 | ||||||||||||||
Carlyle Global Market Strategies CLO Ltd. 2014-5A D^ | 5.93 | # | 10/16/2025 | 500,000 | 459,121 | 500,016 | ||||||||||||||
Carlyle Global Market Strategies CLO Ltd. 2015-1A E1^ | 6.46 | # | 4/20/2027 | 500,000 | 446,650 | 494,498 | ||||||||||||||
CIFC Funding Ltd. 2015-2A E^ | 6.66 | # | 4/15/2027 | 750,000 | 745,332 | 745,370 |
See accompanying Notes to the Financial Statements.
87
Barings Global Credit Income Opportunities Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Asset-Backed Securities (Continued) |
| |||||||||||||||||||
CDO/CLO (Continued) | ||||||||||||||||||||
CIFC Funding Ltd. 2017-1A E^ | 7.23 | #% | 4/23/2029 | 750,000 | $746,637 | $746,617 | ||||||||||||||
Dryden 41 Senior Loan Fund 2015-41A E^ | 6.81 | # | 1/15/2028 | 500,000 | 468,083 | 500,115 | ||||||||||||||
Dryden 45 Senior Loan Fund 2016-45A E^ | 8.01 | # | 7/15/2027 | 500,000 | 480,600 | 505,180 | ||||||||||||||
Dryden XXXI Senior Loan Fund 2014-31A E^ | 5.41 | # | 4/18/2026 | 1,000,000 | 905,782 | 981,934 | ||||||||||||||
Eaton Vance CLO Ltd. 2013-1A DR^ | 8.76 | # | 1/15/2028 | 500,000 | 487,652 | 510,068 | ||||||||||||||
Galaxy XXI CLO Ltd. 2015-21A E2^ | 7.66 | # | 1/20/2028 | 500,000 | 500,560 | 502,004 | ||||||||||||||
KKR Financial CLO Ltd. 2018 E+ | 7.75 | # | 7/18/2030 | 800,000 | 783,876 | 783,876 | ||||||||||||||
LCM XIII LP 2013A ER^ | 8.46 | # | 7/19/2027 | 750,000 | 721,894 | 768,754 | ||||||||||||||
LCM XV LP 2015-A ER^ | 7.69 | # | 7/20/2030 | 500,000 | 500,000 | 499,901 | ||||||||||||||
LCM XVII LP 2017-A E^ | 5.91 | # | 10/15/2026 | 1,000,000 | 909,439 | 994,547 | ||||||||||||||
Madison Park Funding XIII Ltd. 2014-13A^ | Zero Coupon | 1/19/2025 | 500,000 | 405,490 | 372,397 | |||||||||||||||
Oak Hill Credit Partners X Ltd. 2014-10A^ | Zero Coupon | 7/20/2026 | 500,000 | 457,915 | 282,045 | |||||||||||||||
Pinnacle Park CLO Ltd. 2014-1A E^ | 6.11 | # | 4/15/2026 | 500,000 | 473,928 | 484,524 | ||||||||||||||
Sound Point CLO XV Ltd. 2017-1A E^ | 7.00 | # | 1/23/2029 | 1,000,000 | 981,297 | 982,663 | ||||||||||||||
TCI-Symphony CLO Ltd. 2017-1A E+ | 7.75 | # | 7/15/2030 | 1,000,000 | 990,000 | 990,000 | ||||||||||||||
Voya CLO Ltd. 2015-2A E^ | 6.45 | # | 7/23/2027 | 500,000 | 483,858 | 492,556 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total CDO/CLO | 19,300,000 | 18,469,653 | 18,907,363 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Asset-Backed Securities | 19,300,000 | 18,469,653 | 18,907,363 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Bank Loans — 27.0%*§: | ||||||||||||||||||||
Beverage, Food and Tobacco — 0.9%*: | ||||||||||||||||||||
Deoleo S.A.+ | 4.50 | 6/11/2021 | 500,000 | 556,601 | 421,299 | |||||||||||||||
JBS USA LLC | 5.75 | 10/30/2022 | 914,284 | 898,884 | 890,513 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Beverage, Food and Tobacco | 1,414,284 | 1,455,485 | 1,311,812 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Broadcasting and Entertainment — 1.2%*: | ||||||||||||||||||||
All3Media International+ | 5.25 | 6/30/2021 | 500,000 | 835,035 | 654,116 | |||||||||||||||
AP NMT Acquisition B.V.+ | 6.90 | 8/13/2021 | 496,173 | 457,012 | 464,334 | |||||||||||||||
AP NMT Acquisition B.V.+ | 7.00 | 8/13/2021 | 395,159 | 484,060 | 419,963 | |||||||||||||||
AP NMT Acquisition B.V.+ | 10.15 | 8/13/2022 | 300,000 | 280,739 | 224,484 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Broadcasting and Entertainment | 1,691,332 | 2,056,846 | 1,762,897 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Buildings and Real Estate — 0.9%*: | ||||||||||||||||||||
CD&R Plumb Buyer, LLC¤ | 7.05 | 6/26/2018 | 1,387,164 | 1,387,164 | 1,387,164 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Chemicals, Plastics and Rubber — 0.5%*: | ||||||||||||||||||||
INEOS Styrolution Group GmbH+ | 3.25 | 4/1/2024 | 347,138 | 372,966 | 400,995 | |||||||||||||||
Methanol Holdings (Trinidad) Ltd. | 4.73 | 6/30/2022 | 345,440 | 342,966 | 344,577 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Chemicals, Plastics and Rubber | 692,578 | 715,932 | 745,572 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Containers, Packaging and Glass — 1.2%*: | ||||||||||||||||||||
BWAY Holding Co. | 4.33 | 4/3/2024 | 1,349,563 | 1,348,793 | 1,348,834 | |||||||||||||||
ProAmpac Intermediate, Inc. | 9.67 | 11/18/2024 | 500,000 | 492,898 | 507,190 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Containers, Packaging and Glass | 1,849,563 | 1,841,691 | 1,856,024 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
88
Barings Global Credit Income Opportunities Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Diversified/Conglomerate Manufacturing — 1.9%*: |
| |||||||||||||||||||
LTI Holdings, Inc. | 5.92 | % | 5/8/2024 | 762,626 | $757,543 | $754,999 | ||||||||||||||
Project Alpha Intermediate Holding, Inc. | 4.67 | 4/26/2024 | 1,191,787 | 1,188,359 | 1,182,849 | |||||||||||||||
Triple Point Technology, Inc. | 5.55 | 7/10/2020 | 1,040,421 | 994,063 | 973,449 | |||||||||||||||
Triple Point Technology, Inc.†† | 9.55 | 7/10/2021 | 50,845 | 48,504 | 41,090 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Manufacturing | 3,045,679 | 2,988,469 | 2,952,387 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified/Conglomerate Service — 5.4%*: | ||||||||||||||||||||
Aquilex Holdings LLC | 5.12 | 12/31/2020 | 91,735 | 91,619 | 89,901 | |||||||||||||||
Atrium Innovations, Inc. | 4.80 | 2/13/2021 | 949,585 | 942,593 | 952,558 | |||||||||||||||
MA FinanceCo LLC | 4.05 | 4/29/2024 | 55,360 | 55,502 | 55,429 | |||||||||||||||
MH Sub I LLC | 8.73 | 7/8/2022 | 650,000 | 647,243 | 657,039 | |||||||||||||||
Misys Europe S.A.+ | 4.74 | 6/13/2024 | 1,426,640 | 1,430,450 | 1,426,112 | |||||||||||||||
PowerTeam Services LLC | 8.55 | 11/6/2020 | 300,000 | 299,258 | 294,000 | |||||||||||||||
Project Leopard Holdings, Inc. | 6.80 | 5/31/2023 | 529,412 | 531,397 | 530,073 | |||||||||||||||
Quest Software US Holdings, Inc. | 7.23 | 10/31/2022 | 1,000,830 | 993,193 | 1,015,342 | |||||||||||||||
RP Crown Parent LLC | 4.73 | 10/12/2023 | 739,582 | 736,250 | 743,546 | |||||||||||||||
Seattle Spinco, Inc. | 4.05 | 4/19/2024 | 373,857 | 374,269 | 374,325 | |||||||||||||||
Veritas Bermuda Ltd. | 5.80 | 1/27/2023 | 565,737 | 563,615 | 566,325 | |||||||||||||||
VF Holding Corp. | 4.55 | 6/30/2023 | 1,489,497 | 1,496,155 | 1,487,322 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Service | 8,172,235 | 8,161,544 | 8,191,972 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Ecological — 0.1%*: |
| |||||||||||||||||||
Emerald 3 Ltd. | 8.30 | 5/31/2022 | 196,488 | 195,254 | 180,441 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Electronics — 0.4%*: |
| |||||||||||||||||||
First Data Corp. | 3.47 | 7/8/2022 | 600,000 | 602,784 | 598,782 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Finance — 2.1%*: |
| |||||||||||||||||||
Moneygram International, Inc. | 4.55 | 3/27/2020 | 612,754 | 592,680 | 612,497 | |||||||||||||||
Tempo Acquisition LLC | 4.06 | 5/1/2024 | 1,529,888 | 1,534,764 | 1,532,520 | |||||||||||||||
VFH Parent LLC | 5.05 | 10/15/2021 | 1,000,000 | 1,011,250 | 1,005,420 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Finance |
| 3,142,642 | 3,138,694 | 3,150,437 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Healthcare, Education and Childcare — 2.0%*: |
| |||||||||||||||||||
Arbor Pharmaceuticals, Inc. | 6.30 | 7/5/2023 | 121,860 | 115,541 | 122,926 | |||||||||||||||
Endo Luxembourg Finance Co. I S.a r.l. | 5.50 | 4/29/2024 | 177,823 | 176,906 | 179,379 | |||||||||||||||
Immucor, Inc. | 5.00 | 8/17/2018 | 155,436 | 149,809 | 155,371 | |||||||||||||||
MModal, Inc. | 9.00 | 1/31/2020 | 745,174 | 724,960 | 720,956 | |||||||||||||||
Ortho-Clinical Diagnostics, Inc. | 5.05 | 6/30/2021 | 1,244,472 | 1,226,751 | 1,236,445 | |||||||||||||||
Rodenstock GmbH+ | 4.13 | 5/30/2019 | 500,000 | 541,008 | 553,371 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Healthcare, Education and Childcare | 2,944,765 | 2,934,975 | 2,968,448 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
89
Barings Global Credit Income Opportunities Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Home and Office Furnishings, Housewares, and Durable Consumer Products — 0.9%*: |
| |||||||||||||||||||
Keter Group B.V.+ | 5.25 | % | 10/31/2023 | 500,000 | $519,112 | $575,655 | ||||||||||||||
Serta Simmons Bedding LLC | 4.59 | 11/8/2023 | 235,566 | 234,485 | 235,196 | |||||||||||||||
Serta Simmons Bedding LLC | 9.18 | 11/8/2024 | 500,000 | 493,056 | 497,710 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Home and Office Furnishings, Housewares, and Durable Consumer Products | 1,235,566 | 1,246,653 | 1,308,561 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Hotels, Motels, Inns and Gaming — 0.4%*: |
| |||||||||||||||||||
HNVR Holdco Ltd.+ | 4.00 | 9/12/2023 | 500,000 | 556,325 | 576,928 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Insurance — 1.5%*: |
| |||||||||||||||||||
Asurion LLC | 4.23 | 11/3/2023 | 997,500 | 1,004,981 | 1,002,487 | |||||||||||||||
Hub International Ltd. | 4.42 | 10/2/2020 | 996,998 | 1,003,034 | 998,973 | |||||||||||||||
York Risk Services Holding Corp. | 4.98 | 10/1/2021 | 340,491 | 332,830 | 332,234 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Insurance |
| 2,334,989 | 2,340,845 | 2,333,694 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Leisure, Amusement, Entertainment — 0.1%*: |
| |||||||||||||||||||
Delta 2 (LUX) S.a.r.l.+ | 4.50 | 2/1/2024 | 106,114 | 105,603 | 106,136 | |||||||||||||||
Delta 2 (LUX) S.a.r.l.+ | 8.00 | 7/29/2022 | 37,500 | 37,360 | 37,701 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Leisure, Amusement, Entertainment | 143,614 | 142,963 | 143,837 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 0.1%*: |
| |||||||||||||||||||
Alison Bidco S.a.r.l.+ | 5.80 | 8/29/2021 | 144,542 | 134,200 | 143,577 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mining, Steel, Iron and Non-Precious Metals — 0.5%*: |
| |||||||||||||||||||
Arch Coal, Inc. | 5.23 | 3/7/2024 | 208,108 | 207,113 | 207,675 | |||||||||||||||
Boomerang Tube LLC¤†† | 15.00 | 8/2/2020 | 56,319 | 56,373 | 56,319 | |||||||||||||||
Boomerang Tube LLC¤†† | 16.23 | 2/2/2020 | 102,996 | 102,996 | 102,996 | |||||||||||||||
Boomerang Tube LLC¤†† | 18.73 | 2/1/2021 | 86,959 | 86,959 | 9,565 | |||||||||||||||
Boomerang Tube LLC¤†† | 19.23 | 8/1/2017 | 18,577 | 18,577 | 18,577 | |||||||||||||||
Boomerang Tube LLC¤†† | 19.23 | 2/6/2018 | 9,289 | 9,289 | 9,289 | |||||||||||||||
Boomerang Tube LLC¤†† | 20.00 | 2/2/2020 | 38,176 | 36,330 | 34,358 | |||||||||||||||
Murray Energy Corp. | 8.55 | 4/16/2020 | 203,345 | 200,060 | 198,262 | |||||||||||||||
Zekelman Industries, Inc. | 4.79 | 6/14/2021 | 178,397 | 176,973 | 179,245 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Mining, Steel, Iron and Non-Precious Metals | 902,166 | 894,670 | 816,286 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 4.1%*: |
| |||||||||||||||||||
Caelus Energy Alaska O3 LLC | 8.75 | 4/15/2020 | 682,707 | 631,369 | 585,988 | |||||||||||||||
Eastern Power LLC | 5.23 | 10/2/2023 | 993,928 | 988,980 | 988,710 | |||||||||||||||
Fieldwood Energy LLC PIK | 8.30 | 9/30/2020 | 649,368 | 592,241 | 605,536 | |||||||||||||||
Fieldwood Energy LLC PIK | 8.42 | 9/30/2020 | 1,885,340 | 1,033,705 | 1,249,773 | |||||||||||||||
Floatel International, Ltd. | 6.30 | 6/27/2020 | 199,093 | 198,087 | 145,835 | |||||||||||||||
Gulf Finance LLC | 6.55 | 8/25/2023 | 974,713 | 953,673 | 905,265 | |||||||||||||||
Jonah Energy LLC | 7.73 | 5/12/2021 | 173,566 | 172,126 | 165,178 |
See accompanying Notes to the Financial Statements.
90
Barings Global Credit Income Opportunities Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Oil and Gas (Continued) |
| |||||||||||||||||||
Paragon Offshore Finance Co.~ | 6.00 | % | 7/18/2021 | 479,874 | $408,235 | $183,552 | ||||||||||||||
Seadrill Partners Finco LLC | 4.30 | 2/21/2021 | 251,159 | 178,033 | 159,737 | |||||||||||||||
Southcross Holdings Borrower LP | 9.00 | 4/12/2023 | 10,287 | 10,287 | 8,950 | |||||||||||||||
Summit Midstream Holdings LLC | 7.23 | 5/15/2022 | 115,335 | 114,242 | 116,488 | |||||||||||||||
UTEX Industries, Inc. | 5.23 | 5/22/2021 | 1,264,740 | 1,098,649 | 1,124,569 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Oil and Gas |
| 7,680,110 | 6,379,627 | 6,239,581 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Printing and Publishing — 0.6%*: |
| |||||||||||||||||||
Springer Science+Business Media Deutschland GmbH+ | 4.80 | 8/14/2020 | 404,877 | 396,685 | 405,132 | |||||||||||||||
Springer Science+Business Media Deutschland GmbH+ | 9.00 | 8/14/2021 | 446,875 | 516,561 | 515,502 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Printing and Publishing |
| 851,752 | 913,246 | 920,634 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Retail Stores — 0.7%*: |
| |||||||||||||||||||
Academy, Ltd. | 5.20 | 7/2/2022 | 492,023 | 474,220 | 380,334 | |||||||||||||||
Maxeda DIY B.V.+ | 7.00 | 6/28/2019 | 583,333 | 640,757 | 662,683 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Retail Stores |
| 1,075,356 | 1,114,977 | 1,043,017 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Telecommunications — 0.4%*: |
| |||||||||||||||||||
Altice Financing S.A.+ | 3.91 | 6/21/2025 | 174,446 | 174,019 | 173,846 | |||||||||||||||
Numericable Group SA+ | 3.94 | 7/21/2025 | 500,000 | 498,778 | 495,470 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Telecommunications |
| 674,446 | 672,797 | 669,316 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Utilities — 1.1%*: |
| |||||||||||||||||||
Dynegy, Inc. | 4.48 | 2/7/2024 | 997,500 | 997,500 | 994,956 | |||||||||||||||
EFS Cogen Holdings I LLC | 4.80 | 6/28/2023 | 728,256 | 721,998 | 730,339 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Utilities |
| 1,725,756 | 1,719,498 | 1,725,295 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Bank Loans |
| 42,405,027 | 41,594,639 | 41,026,662 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Corporate Bonds — 54.7%*: |
| |||||||||||||||||||
Aerospace and Defense — 2.0%*: |
| |||||||||||||||||||
Swissport Investments SA+ | 9.75 | 12/15/2022 | 200,000 | 247,162 | 254,471 | |||||||||||||||
TransDigm, Inc. | 5.50 | 10/15/2020 | 500,000 | 507,435 | 510,000 | |||||||||||||||
TransDigm, Inc. | 6.38 | 6/15/2026 | 1,243,000 | 1,247,580 | 1,261,645 | |||||||||||||||
TransDigm, Inc. | 6.50 | 5/15/2025 | 203,000 | 205,948 | 206,553 | |||||||||||||||
Triumph Group, Inc. | 5.25 | 6/1/2022 | 875,000 | 871,724 | 869,531 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Aerospace and Defense |
| 3,021,000 | 3,079,849 | 3,102,200 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Automobile — 2.0%*: |
| |||||||||||||||||||
Gates Global LLC/Gates Global Co.^ | 6.00 | 7/15/2022 | 1,000,000 | 803,237 | 1,002,500 | |||||||||||||||
International Automotive Components Group SA^ | 9.13 | 6/1/2018 | 940,000 | 948,095 | 918,850 | |||||||||||||||
JB Poindexter & Co., Inc.^ | 9.00 | 4/1/2022 | 1,000,000 | 1,044,568 | 1,048,750 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Automobile |
| 2,940,000 | 2,795,900 | 2,970,100 | ||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
91
Barings Global Credit Income Opportunities Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Banking — 0.2%*: |
| |||||||||||||||||||
Intrum Justitia AB+ | 3.13 | % | 7/15/2024 | 250,000 | $280,000 | $284,306 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Beverage, Food and Tobacco — 1.1%*: |
| |||||||||||||||||||
Boparan Finance PLC+ | 5.50 | 7/15/2021 | 700,000 | 929,547 | 884,363 | |||||||||||||||
JBS USA LUX SA/JBS USA Finance, Inc.^ | 5.88 | 7/15/2024 | 700,000 | 717,534 | 656,250 | |||||||||||||||
US Foods, Inc.^ | 5.88 | 6/15/2024 | 154,000 | 154,000 | 159,775 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Beverage, Food and Tobacco |
| 1,554,000 | 1,801,081 | 1,700,388 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Broadcasting and Entertainment — 2.9%*: |
| |||||||||||||||||||
Arqiva Broadcast Finance PLC+ | 9.50 | 3/31/2020 | 600,000 | 783,435 | 832,265 | |||||||||||||||
Clear Channel Worldwide Holdings, Inc. | 7.63 | 3/15/2020 | 1,000,000 | 1,005,248 | 995,000 | |||||||||||||||
DISH DBS Corp. | 7.75 | 7/1/2026 | 750,000 | 755,221 | 888,750 | |||||||||||||||
Entertainment One Ltd.+ | 6.88 | 12/15/2022 | 200,000 | 302,491 | 285,237 | |||||||||||||||
Sirius XM Radio, Inc.^ | 5.00 | 8/1/2027 | 436,000 | 436,000 | 439,270 | |||||||||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH+ | 3.50 | 1/15/2027 | 300,000 | 326,987 | 353,164 | |||||||||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH+ | 6.25 | 1/15/2029 | 200,000 | 246,064 | 258,932 | |||||||||||||||
VTR Finance BV+^ | 6.88 | 1/15/2024 | 250,000 | 244,087 | 265,000 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Broadcasting and Entertainment |
| 3,736,000 | 4,099,533 | 4,317,618 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Buildings and Real Estate — 0.5%*: |
| |||||||||||||||||||
GEO Group, Inc. (The) | 5.88 | 1/15/2022 | 500,000 | 477,161 | 520,000 | |||||||||||||||
William Lyon Homes, Inc. | 7.00 | 8/15/2022 | 295,000 | 299,615 | 305,325 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Buildings and Real Estate |
| 795,000 | 776,776 | 825,325 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Cargo Transport — 1.9%*: |
| |||||||||||||||||||
Deck Chassis Acquisition, Inc.^ | 10.00 | 6/15/2023 | 580,000 | 580,000 | 643,800 | |||||||||||||||
Kenan Advantage Group, Inc.^ | 7.88 | 7/31/2023 | 1,367,000 | 1,367,000 | 1,435,350 | |||||||||||||||
WFS Global Holding SAS+ | 9.50 | 7/15/2022 | 700,000 | 780,044 | 871,180 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Cargo Transport |
| 2,647,000 | 2,727,044 | 2,950,330 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Chemicals, Plastics and Rubber — 2.1%*: |
| |||||||||||||||||||
A Schulman, Inc. | 6.88 | 6/1/2023 | 1,000,000 | 1,033,288 | 1,057,500 | |||||||||||||||
Consolidated Energy Finance SA^ | 6.75 | 10/15/2019 | 670,000 | 674,419 | 683,400 | |||||||||||||||
Consolidated Energy Finance SA^ | 6.88 | 6/15/2025 | 440,000 | 437,811 | 452,672 | |||||||||||||||
Monitchem HoldCo 2 SA+ | 6.88 | 6/15/2022 | 550,000 | 604,317 | 626,662 | |||||||||||||||
Pinnacle Operating Corp.^ | 9.00 | 5/15/2023 | 453,953 | 564,181 | 431,255 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Chemicals, Plastics and Rubber |
| 3,113,953 | 3,314,016 | 3,251,489 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Containers, Packaging and Glass — 2.7%*: |
| |||||||||||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.+ | 4.75 | 7/15/2027 | 350,000 | 450,782 | 455,174 | |||||||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.+^ | 6.00 | 2/15/2025 | 313,000 | 313,000 | 328,650 |
See accompanying Notes to the Financial Statements.
92
Barings Global Credit Income Opportunities Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Containers, Packaging and Glass (Continued) |
| |||||||||||||||||||
Bormioli Rocco Holdings SA+ | 10.00 | % | 8/1/2018 | 100,000 | $109,292 | $115,775 | ||||||||||||||
Coveris Holdings SA^ | 7.88 | 11/1/2019 | 1,400,000 | 1,399,588 | 1,379,000 | |||||||||||||||
Horizon Holdings I SASU+ | 7.25 | 8/1/2023 | 500,000 | 572,330 | 604,864 | |||||||||||||||
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc.^ | 6.38 | 5/1/2022 | 1,200,000 | 1,192,161 | 1,254,000 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Containers, Packaging and Glass |
| 3,863,000 | 4,037,153 | 4,137,463 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified Natural Resources, Precious Metals and Minerals — 0.4%*: |
| |||||||||||||||||||
Parker Drilling Co. | 6.75 | 7/15/2022 | 750,000 | 671,554 | 575,625 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified/Conglomerate Manufacturing — 2.5%*: |
| |||||||||||||||||||
Appvion, Inc.^ | 9.00 | 6/1/2020 | 500,000 | 508,297 | 260,000 | |||||||||||||||
CTP Transportation Products LLC/CTP Finance, Inc.^ | 8.25 | 12/15/2019 | 648,000 | 658,286 | 603,450 | |||||||||||||||
EnPro Industries, Inc. | 5.88 | 9/15/2022 | 400,000 | 403,266 | 417,000 | |||||||||||||||
Griffon Corp. | 5.25 | 3/1/2022 | 800,000 | 791,770 | 815,000 | |||||||||||||||
Norican A/S+ | 4.50 | 5/15/2023 | 150,000 | 164,970 | 174,749 | |||||||||||||||
StoneMor Partners LP/Cornerstone Family Services of West Virginia Subsidiary | 7.88 | 6/1/2021 | 500,000 | 512,707 | 496,250 | |||||||||||||||
West Corp.^ | 5.38 | 7/15/2022 | 1,000,000 | 969,023 | 1,010,000 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Manufacturing | 3,998,000 | 4,008,319 | 3,776,449 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified/Conglomerate Service — 4.5%*: |
| |||||||||||||||||||
Carlson Travel, Inc.^ | 6.75 | 12/15/2023 | 938,000 | 966,137 | 954,415 | |||||||||||||||
Carlson Travel, Inc.^ | 9.50 | 12/15/2024 | 277,000 | 277,000 | 283,579 | |||||||||||||||
CSVC Acquisition Corp.^ | 7.75 | 6/15/2025 | 728,000 | 728,000 | 743,470 | |||||||||||||||
Loxam SAS+ | 6.00 | 4/15/2025 | 250,000 | 269,300 | 309,023 | |||||||||||||||
Nuance Communications, Inc.^ | 5.63 | 12/15/2026 | 1,000,000 | 990,992 | 1,067,500 | |||||||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc.^ | 9.25 | 5/15/2023 | 1,357,000 | 1,436,911 | 1,474,597 | |||||||||||||||
ServiceMaster Co. LLC (The)^ | 5.13 | 11/15/2024 | 627,000 | 627,000 | 648,945 | |||||||||||||||
Veritas US, Inc./Veritas Bermuda Ltd.^ | 10.50 | 2/1/2024 | 450,000 | 487,902 | 491,625 | |||||||||||||||
Zachry Holdings, Inc.^ | 7.50 | 2/1/2020 | 871,000 | 868,776 | 897,130 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Service |
| 6,498,000 | 6,652,018 | 6,870,284 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Electronics — 0.5%*: |
| |||||||||||||||||||
CDW LLC/CDW Finance Corp. | 5.00 | 9/1/2025 | 306,000 | 306,000 | 317,475 | |||||||||||||||
WESCO Distribution, Inc. | 5.38 | 6/15/2024 | 443,000 | 443,000 | 462,381 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Electronics |
| 749,000 | 749,000 | 779,856 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Finance — 4.5%*: |
| |||||||||||||||||||
Arrow Global Finance PLC+ | 5.13 | 9/15/2024 | 400,000 | 509,572 | 539,214 | |||||||||||||||
Cabot Financial Luxembourg SA+ | 7.50 | 10/1/2023 | 350,000 | 466,923 | 491,186 | |||||||||||||||
Galaxy Finco Ltd.+ | 7.88 | 11/15/2021 | 700,000 | 1,009,157 | 934,964 |
See accompanying Notes to the Financial Statements.
93
Barings Global Credit Income Opportunities Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Finance (Continued) |
| |||||||||||||||||||
Garfunkelux Holdco 3 S.A.+ | 8.50 | % | 11/1/2022 | 1,100,000 | $1,600,993 | $1,531,909 | ||||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 6.75 | 2/1/2024 | 1,250,000 | 1,250,000 | 1,303,250 | |||||||||||||||
Jerrold Finco PLC+ | 6.13 | 1/15/2024 | 450,000 | 560,215 | 593,780 | |||||||||||||||
LPL Holdings, Inc.^ | 5.75 | 9/15/2025 | 550,000 | 556,754 | 572,000 | |||||||||||||||
National Financial Partners Corp.^ | 9.00 | 7/15/2021 | 779,000 | 779,061 | 817,405 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Finance |
| 5,579,000 | 6,732,675 | 6,783,708 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Grocery — 0.8%*: |
| |||||||||||||||||||
C&S Group Enterprises LLC^ | 5.38 | 7/15/2022 | 270,000 | 261,338 | 265,950 | |||||||||||||||
Post Holdings, Inc.^ | 5.50 | 3/1/2025 | 201,000 | 201,000 | 207,281 | |||||||||||||||
Post Holdings, Inc.^ | 5.75 | 3/1/2027 | 249,000 | 249,000 | 255,848 | |||||||||||||||
Premier Foods Finance PLC+ | 6.50 | 3/15/2021 | 400,000 | 587,582 | 527,594 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Grocery |
| 1,120,000 | 1,298,920 | 1,256,673 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Healthcare, Education and Childcare — 4.5%*: |
| |||||||||||||||||||
Alere, Inc. | 6.50 | 6/15/2020 | 1,000,000 | 1,009,422 | 1,015,000 | |||||||||||||||
Capsugel SA PIK^ | 7.00 | 5/15/2019 | 500,000 | 503,135 | 500,000 | |||||||||||||||
CHS/Community Health Systems, Inc. | 6.25 | 3/31/2023 | 164,000 | 164,000 | 169,306 | |||||||||||||||
Cognita Financing PLC+ | 7.75 | 8/15/2021 | 600,000 | 883,305 | 814,057 | |||||||||||||||
Halyard Health, Inc. | 6.25 | 10/15/2022 | 288,000 | 289,574 | 300,240 | |||||||||||||||
IDH Finance PLC+ | 6.25 | 8/15/2022 | 400,000 | 500,663 | 506,262 | |||||||||||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA^ | 6.63 | 5/15/2022 | 550,000 | 507,327 | 525,250 | |||||||||||||||
Quintiles IMS, Inc.^ | 5.00 | 10/15/2026 | 533,000 | 533,000 | 549,656 | |||||||||||||||
RegionalCare Hospital Partners Holdings, Inc.^ | 8.25 | 5/1/2023 | 150,000 | 154,377 | 160,875 | |||||||||||||||
Tenet Healthcare Corp.^ | 4.63 | 7/15/2024 | 249,000 | 248,999 | 249,311 | |||||||||||||||
THC Escrow Corp. III^ | 4.63 | 7/15/2024 | 311,000 | 311,000 | 311,840 | |||||||||||||||
Valeant Pharmaceuticals International, Inc. | 4.50 | 5/15/2023 | 100,000 | 90,608 | 93,633 | |||||||||||||||
Valeant Pharmaceuticals International, Inc.^ | 6.13 | 4/15/2025 | 1,325,000 | 1,112,758 | 1,121,281 | |||||||||||||||
Valeant Pharmaceuticals International, Inc.^ | 6.38 | 10/15/2020 | 500,000 | 464,419 | 484,375 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Healthcare, Education and Childcare |
| 6,670,000 | 6,772,587 | 6,801,086 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Home and Office Furnishings, Housewares, and Durable Consumer Products — 0.3%*: |
| |||||||||||||||||||
LSF9 Balta Issuer SA+ | 7.75 | 9/15/2022 | 369,842 | 440,856 | 459,840 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Hotels, Motels, Inns and Gaming — 0.8%*: |
| |||||||||||||||||||
Thomas Cook Group PLC+ | 6.25 | 6/15/2022 | 300,000 | 319,905 | 369,200 | |||||||||||||||
TVL Finance PLC+ | 8.50 | 5/15/2023 | 540,000 | 768,472 | 779,515 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Hotels, Motels, Inns and Gaming |
| 840,000 | 1,088,377 | 1,148,715 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Insurance — 0.3%*: |
| |||||||||||||||||||
USIS Merger Sub, Inc.^ | 6.88 | 5/1/2025 | 500,000 | 500,000 | 508,750 | |||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
94
Barings Global Credit Income Opportunities Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Leisure, Amusement, Entertainment — 2.5%*: |
| |||||||||||||||||||
AMC Entertainment Holdings, Inc. | 6.38 | % | 11/15/2024 | 500,000 | $639,422 | $698,110 | ||||||||||||||
CPUK Finance Ltd.+ | 4.25 | 8/28/2022 | 200,000 | 257,680 | 262,010 | |||||||||||||||
CPUK Finance Ltd.+ | 4.88 | 8/28/2025 | 100,000 | 128,840 | 131,959 | |||||||||||||||
Interval Acquisition Corp. | 5.63 | 4/15/2023 | 459,000 | 459,000 | 475,065 | |||||||||||||||
Moto Finance PLC+ | 4.50 | 10/1/2022 | 350,000 | 425,390 | 462,714 | |||||||||||||||
Perform Group Financing PLC+ | 8.50 | 11/15/2020 | 400,000 | 552,215 | 544,424 | |||||||||||||||
WMG Acquisition Corp. | 4.13 | 11/1/2024 | 150,000 | 165,758 | 180,745 | |||||||||||||||
WMG Acquisition Corp.^ | 6.75 | 4/15/2022 | 950,000 | 906,043 | 998,688 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Leisure, Amusement, Entertainment |
| 3,109,000 | 3,534,348 | 3,753,715 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 0.8%*: |
| |||||||||||||||||||
Apex Tool Group LLC^ | 7.00 | 2/1/2021 | 750,000 | 674,314 | 697,500 | |||||||||||||||
Xerium Technologies, Inc. | 9.50 | 8/15/2021 | 500,000 | 496,030 | 531,250 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Machinery Non-Agriculture, Non-Construction, Non-Electronic | 1,250,000 | 1,170,344 | 1,228,750 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mining, Steel, Iron and Non-Precious Metals — 2.8%*: |
| |||||||||||||||||||
Allegheny Technologies, Inc. | 5.95 | 1/15/2021 | 1,000,000 | 1,002,429 | 1,002,500 | |||||||||||||||
BlueScope Steel Finance Ltd./BlueScope Steel Finance USA LLC+^ | 6.50 | 5/15/2021 | 166,000 | 166,000 | 175,130 | |||||||||||||||
Constellium NV+ | 7.00 | 1/15/2023 | 600,000 | 649,365 | 704,588 | |||||||||||||||
Peabody Energy Corp.^ | 6.38 | 3/31/2025 | 700,000 | 714,388 | 689,500 | |||||||||||||||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.^ | 7.50 | 6/15/2025 | 654,000 | 644,368 | 645,825 | |||||||||||||||
TMS International Corp.^ | 7.63 | 10/15/2021 | 1,000,000 | 963,637 | 1,012,500 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Mining, Steel, Iron and Non-Precious Metals | 4,120,000 | 4,140,187 | 4,230,043 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 6.7%*: |
| |||||||||||||||||||
Chesapeake Energy Corp.^ | 8.00 | 12/15/2022 | 1,000,000 | 1,037,469 | 1,057,500 | |||||||||||||||
Citgo Holding, Inc.^ | 10.75 | 2/15/2020 | 350,000 | 342,710 | 380,188 | |||||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc.^ | 8.00 | 2/15/2025 | 1,343,000 | 1,294,091 | 1,000,535 | |||||||||||||||
Ferrellgas LP/Ferrellgas Finance Corp. | 6.75 | 1/15/2022 | 1,000,000 | 1,010,330 | 940,000 | |||||||||||||||
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp.^ | 8.63 | 6/15/2020 | 284,000 | 273,859 | 268,380 | |||||||||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 6.00 | 5/15/2023 | 1,000,000 | 982,527 | 980,000 | |||||||||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 6.75 | 8/1/2022 | 500,000 | 483,153 | 501,250 | |||||||||||||||
Jupiter Resources, Inc.+^ | 8.50 | 10/1/2022 | 1,450,000 | 1,224,794 | 1,087,500 | |||||||||||||||
KCA Deutag UK Finance PLC+^ | 9.88 | 4/1/2022 | 200,000 | 197,240 | 194,000 | |||||||||||||||
Kosmos Energy Ltd.^ | 7.88 | 8/1/2021 | 1,325,000 | 1,282,756 | 1,351,500 | |||||||||||||||
Sunoco LP/Sunoco Finance Corp. | 5.50 | 8/1/2020 | 302,000 | 302,000 | 309,550 | |||||||||||||||
Sunoco LP/Sunoco Finance Corp. | 6.25 | 4/15/2021 | 1,000,000 | 1,004,384 | 1,045,000 | |||||||||||||||
Welltec A/S+^ | 8.00 | 2/1/2019 | 1,000,000 | 1,016,024 | 970,000 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Oil and Gas |
| 10,754,000 | 10,451,337 | 10,085,403 | ||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
95
Barings Global Credit Income Opportunities Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Personal and Non-Durable Consumer Products Mfg. Only — 0.2%*: |
| |||||||||||||||||||
Wolverine World Wide, Inc.^ | 5.00 | % | 9/1/2026 | 283,000 | $283,000 | $279,109 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Personal Transportation — 2.5%*: |
| |||||||||||||||||||
AA Bond Co. Ltd.+ | 5.50 | 7/31/2022 | 850,000 | 1,153,769 | 1,149,129 | |||||||||||||||
Hertz Corp. (The) | 6.75 | 4/15/2019 | 1,296,000 | 1,294,505 | 1,296,000 | |||||||||||||||
Hertz Corp. (The)^ | 7.63 | 6/1/2022 | 1,285,000 | 1,281,107 | 1,281,916 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Personal Transportation |
| 3,431,000 | 3,729,381 | 3,727,045 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Personal, Food and Miscellaneous — 0.3%*: |
| |||||||||||||||||||
Ocado Group PLC+ | 4.00 | 6/15/2024 | 150,000 | 191,197 | 192,146 | |||||||||||||||
Wagamama Finance PLC+ | 7.88 | 2/1/2020 | 200,000 | 294,936 | 270,540 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Personal, Food and Miscellaneous |
| 350,000 | 486,133 | 462,686 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Retail Stores — 2.1%*: |
| |||||||||||||||||||
House of Fraser Funding PLC+ | 6.04 | # | 9/15/2020 | 150,000 | 232,513 | 161,245 | ||||||||||||||
HSS Financing PLC+ | 6.75 | 8/1/2019 | 204,000 | 307,966 | 264,478 | |||||||||||||||
International Car Wash Group Financing PLC+ | 6.63 | 7/15/2019 | 300,000 | 376,392 | 347,386 | |||||||||||||||
Penske Automotive Group, Inc. | 5.50 | 5/15/2026 | 1,345,000 | 1,341,026 | 1,338,275 | |||||||||||||||
Takko Luxembourg 2 S.C.A.+ | 6.67 | 4/15/2019 | 100,000 | 74,822 | 102,051 | |||||||||||||||
Takko Luxembourg 2 S.C.A. MTN+ | 9.88 | 4/15/2019 | 525,000 | 531,416 | 553,157 | |||||||||||||||
Travelex Financing PLC+ | 8.00 | 5/15/2022 | 300,000 | 326,250 | 337,790 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Retail Stores |
| 2,924,000 | 3,190,385 | 3,104,382 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Telecommunications — 1.8%*: |
| |||||||||||||||||||
Altice Luxembourg SA+ | 6.25 | 2/15/2025 | 250,000 | 284,145 | 311,593 | |||||||||||||||
Numericable SFR Group SA+^ | 6.00 | 5/15/2022 | 315,000 | 315,000 | 329,569 | |||||||||||||||
Virgin Media Finance PLC+ | 6.38 | 10/15/2024 | 250,000 | 374,768 | 349,887 | |||||||||||||||
Virgin Media Secured Finance PLC+ | 6.25 | 3/28/2029 | 250,000 | 332,648 | 352,352 | |||||||||||||||
Wind Acquisition Finance SA+^ | 7.38 | 4/23/2021 | 1,200,000 | 1,171,571 | 1,248,000 | |||||||||||||||
Zayo Group LLC/Zayo Capital, Inc.^ | 5.75 | 1/15/2027 | 186,000 | 186,000 | 194,602 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Telecommunications | 2,451,000 | 2,664,132 | 2,786,003 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Utilities — 0.5%*: |
| |||||||||||||||||||
NRG Energy, Inc. | 7.25 | 5/15/2026 | 789,000 | 799,830 | 816,615 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Corporate Bonds | 78,454,795 | 82,274,735 | 82,973,956 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Fixed Income | 140,159,822 | 142,339,027 | 142,907,981 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
96
Barings Global Credit Income Opportunities Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
STRIKE PRICE | EXPIRATION DATE | NOTIONAL | COST | FAIR VALUE | ||||||||||||||||
Purchased Options — 0.0%*: | ||||||||||||||||||||
Put Options Purchased — 0.0%*: |
| |||||||||||||||||||
OTC-BCM Swaption with Goldman Sachs International | $101.50 | 9/20/2017 | 13,000,000 | $94,770 | $25,993 | |||||||||||||||
S&P 500 Index | 2,100.00 | 12/15/2017 | 2,200 | 105,446 | 40,480 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Purchased Options | 13,002,200 | 200,216 | 66,473 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Short-Term Investment — 11.2%*: | ||||||||||||||||||||
Bank Deposit — 11.2%*: |
| |||||||||||||||||||
State Street Bank & Trust Co. Euro Time Deposit | 0.09 | % | 7/3/2017 | 16,944,668 | 16,944,668 | 16,944,668 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Investments | 189,284,034 | 160,059,674 | 160,726,246 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Other assets and liabilities – (5.9%)* | (8,951,070 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Net Assets – 100.0% | $151,775,176 | |||||||||||||||||||
|
|
MTN | Medium Term Note |
OTC | Over the Counter |
PIK | Payment-in-kind |
‡‡ | Unless otherwise indicated, all principal amounts are denominated in United States Dollars. |
* | Calculated as a percentage of net assets applicable to common shareholders. |
+ | Foreign security. |
Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:
United States | 73.8% | |||||
United Kingdom | 11.7% | |||||
Netherlands | 2.8% | |||||
Germany | 2.7% | |||||
France | 2.5% | |||||
Cayman Islands | 1.7% | |||||
Other (Individually less than 1%) | 4.8% | |||||
|
| |||||
Total | 100.0% | |||||
|
|
^ | Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers. |
§ | Bank loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for bank loans are the current interest rates at June 30, 2017. Bank loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. |
See accompanying Notes to the Financial Statements.
97
Barings Global Credit Income Opportunities Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
¤ | For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 2). |
†† | Illiquid security. |
~ | Defaulted security. |
# | Variable rate security. The interest rate shown is the rate in effect at June 30, 2017. |
A summary of outstanding derivatives at June 30, 2017 is as follows:
Forward Foreign Currency Exchange Contracts to Buy
EXPIRATION DATE | COUNTERPARTY | LOCAL CURRENCY | VALUE IN USD | IN EXCHANGE FOR USD | NET UNREALIZED APPRECIATION | |||||||||||||||||
7/14/17 | Citibank N.A. | EUR | 1,024,553 | 1,170,733 | 1,149,690 | $ | 21,043 | |||||||||||||||
7/14/17 | Goldman Sachs & Co. | EUR | 16,625 | 18,997 | 18,630 | 367 | ||||||||||||||||
7/14/17 | JPMorgan Chase Bank N.A. | EUR | 52,528 | 60,023 | 60,021 | 2 | ||||||||||||||||
7/14/17 | JPMorgan Chase Bank N.A. | GBP | 5,848 | 7,619 | 7,485 | 134 | ||||||||||||||||
7/14/17 | Goldman Sachs & Co. | GBP | 221,475 | 288,544 | 280,708 | 7,836 | ||||||||||||||||
|
| |||||||||||||||||||||
Net unrealized appreciation on forward foreign currency exchange contracts to buy | $ | 29,382 | ||||||||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts to Sell
EXPIRATION DATE | COUNTERPARTY | LOCAL CURRENCY | VALUE IN USD | IN EXCHANGE FOR USD | NET UNREALIZED DEPRECIATION | |||||||||||||||||
7/3/17 | JPMorgan Chase Bank N.A. | EUR | 52,528 | 59,995 | 59,987 | $ | (8 | ) | ||||||||||||||
7/14/17 | Goldman Sachs & Co. | EUR | 12,545,523 | 14,335,473 | 14,136,246 | (199,227 | ) | |||||||||||||||
7/14/17 | JPMorgan Chase Bank N.A. | EUR | 244,250 | 279,099 | 272,447 | (6,652 | ) | |||||||||||||||
7/14/17 | Goldman Sachs & Co. | GBP | 11,853,512 | 15,443,124 | 15,359,343 | (83,781 | ) | |||||||||||||||
|
| |||||||||||||||||||||
Net unrealized depreciation on forward foreign currency exchange contracts to sell | $ | (289,668 | ) | |||||||||||||||||||
|
|
Currency Legend
EUR | – | Euro | ||
GBP | – | British Pound Sterling |
See accompanying Notes to the Financial Statements.
98
Barings Active Short Duration Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Fixed Income — 97.9%*: | ||||||||||||||||||||
Asset-Backed Securities — 32.5%*: | ||||||||||||||||||||
CDO/CLO — 4.0%*: | ||||||||||||||||||||
AIMCO CLO Series 2014-A^ | 2.18 | #% | 7/20/2026 | 1,200,000 | $1,200,000 | $1,199,963 | ||||||||||||||
ALM Loan Funding VII 2012-7A A1R^ | 2.64 | # | 10/15/2028 | 390,000 | 390,000 | 392,427 | ||||||||||||||
ALM XIV Ltd. 2014-14A A1R^ | 2.32 | # | 7/28/2026 | 570,000 | 570,000 | 571,482 | ||||||||||||||
Apidos CLO XXV 2016-25A A1^ | 2.62 | # | 10/20/2028 | 470,000 | 470,000 | 471,450 | ||||||||||||||
Avery Point III CLO Ltd. 2013-3A AR^ | 2.28 | # | 1/18/2025 | 800,000 | 800,000 | 800,195 | ||||||||||||||
BlueMountain CLO Ltd. 2013-3A A^ | 2.57 | # | 10/29/2025 | 500,000 | 497,222 | 500,134 | ||||||||||||||
BlueMountain CLO Ltd. 2015-2A A1^ | 2.59 | # | 7/18/2027 | 500,000 | 493,102 | 502,221 | ||||||||||||||
Carlyle Global Market Strategies CLO Ltd. 2014-4A A1R^ | 2.36 | # | 10/15/2026 | 250,000 | 250,000 | 250,142 | ||||||||||||||
Galaxy XX CLO Ltd. 2015-20A A^ | 2.61 | # | 7/20/2027 | 250,000 | 247,148 | 250,018 | ||||||||||||||
LCM XIV LP 2014-A^ | 2.31 | # | 7/15/2025 | 700,000 | 699,199 | 699,266 | ||||||||||||||
LCM XXIII Ltd. 23A A1^ | 2.56 | # | 10/20/2029 | 610,000 | 610,000 | 614,720 | ||||||||||||||
Madison Park Funding XIV Ltd. 2014-14A A1R^ | 2.28 | # | 7/20/2026 | 290,000 | 290,000 | 290,123 | ||||||||||||||
Madison Park Funding XXII Ltd. 2016-22A A^ | 2.64 | # | 10/25/2029 | 350,000 | 350,000 | 353,733 | ||||||||||||||
Magnetite XI Ltd. 2014-11A A1R^ | 2.28 | # | 1/18/2027 | 890,000 | 890,000 | 890,358 | ||||||||||||||
Magnetite XVIII Ltd. 2016-8A A^ | 2.58 | # | 11/15/2028 | 380,000 | 380,000 | 384,150 | ||||||||||||||
OHA Loan Funding Ltd. 2015-1A AR^ | 2.59 | # | 8/15/2029 | 840,000 | 840,000 | 845,375 | ||||||||||||||
Race Point VIII CLO Ltd. 2013-8A AR^ | 2.51 | # | 2/20/2030 | 1,320,000 | 1,320,000 | 1,322,961 | ||||||||||||||
Seneca Park CLO Ltd. 2014-1A AR^ | 2.28 | 7/17/2026 | 360,000 | 360,000 | 360,170 | |||||||||||||||
Symphony CLO XV Ltd. 2014-15A AR^ | 2.34 | # | 10/17/2026 | 1,100,000 | 1,100,000 | 1,103,370 | ||||||||||||||
TCI-Symphony CLO Ltd. 2016-1A A^ | 2.40 | # | 10/13/2029 | 320,000 | 320,000 | 322,372 | ||||||||||||||
Treman Park CLO Ltd. 2015-1A AR^ | 2.53 | # | 4/20/2027 | 970,000 | 970,000 | 973,851 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total CDO/CLO | 13,060,000 | 13,046,671 | 13,098,481 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Other Asset-Backed Securities — 28.5%*: |
| |||||||||||||||||||
321 Henderson Receivables II LLC 2006-3A A1^ | 1.19 | # | 9/15/2041 | 165,607 | 160,832 | 156,294 | ||||||||||||||
Access Group, Inc. 2015-1 A^ | 1.92 | # | 7/25/2056 | 155,834 | 152,427 | 154,826 | ||||||||||||||
Access Group, Inc. 2015-1 B^ | 2.72 | # | 7/25/2058 | 100,000 | 86,408 | 85,598 | ||||||||||||||
AccessLex Institute 2002-A A2¤ | 1.96 | # | 9/25/2037 | 750,000 | 690,686 | 745,350 | ||||||||||||||
AccessLex Institute 2004-A A3 | 1.70 | # | 7/1/2039 | 1,400,000 | 1,373,564 | 1,377,362 | ||||||||||||||
AccessLex Institute 2005-1 A3 | 1.44 | # | 6/22/2022 | 63,407 | 62,676 | 63,367 | ||||||||||||||
Accredited Mortgage Loan Trust 2004-04 A2D | 1.92 | # | 1/25/2035 | 584,315 | 572,752 | 577,135 | ||||||||||||||
Alterna Funding I LLC Series 2014-1A^ | 1.64 | 2/15/2021 | 125,568 | 124,388 | 124,313 | |||||||||||||||
American Credit Acceptance Receivables Trust 2015-3 A^ | 1.95 | 9/12/2019 | 3,534 | 3,534 | 3,534 | |||||||||||||||
American Credit Acceptance Receivables Trust 2016-1A^ | 2.37 | 5/12/2020 | 18,891 | 18,891 | 18,899 | |||||||||||||||
American Credit Acceptance Receivables Trust 2016-2^ | 2.22 | 7/13/2020 | 144,530 | 144,528 | 144,646 | |||||||||||||||
American Credit Acceptance Receivables Trust 2017-1 B^ | 2.39 | 2/16/2021 | 580,000 | 579,948 | 579,868 |
See accompanying Notes to the Financial Statements.
99
Barings Active Short Duration Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Asset-Backed Securities (Continued) | ||||||||||||||||||||
Other Asset-Backed Securities (Continued) | ||||||||||||||||||||
AmeriCredit Automobile Receivables Trust 2014-1 D | 2.54 | % | 6/8/2020 | 310,000 | $309,689 | $312,172 | ||||||||||||||
Arbys Funding LLC 2015-1A A2^ | 4.97 | 10/30/2045 | 78,800 | 78,800 | 78,948 | |||||||||||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates Series 2004-W10 | 2.12 | # | 10/25/2034 | 315,274 | 286,182 | 301,185 | ||||||||||||||
ARI Fleet Lease Trust 2016-A A3^ | 2.11 | 7/15/2024 | 200,000 | 199,966 | 200,225 | |||||||||||||||
Asset Backed Securities Corp. Home Equity Loan Trust 2005-HE1 M1 | 1.97 | # | 3/25/2035 | 432,038 | 429,470 | 437,811 | ||||||||||||||
AVANT Loans Funding Trust 2016-C A^ | 2.96 | 9/16/2019 | 11,919 | 11,919 | 11,923 | |||||||||||||||
Avis Budget Rental Car Funding AESOP LLC Series 2012-3A A^ | 2.10 | 3/20/2019 | 240,000 | 239,206 | 240,441 | |||||||||||||||
Blackbird Capital Aircraft Lease Securitization Ltd. 2016-1^ | 2.49 | 12/16/2041 | 360,208 | 360,208 | 358,879 | |||||||||||||||
BlueVirgo Trust 2015-1A^ | 3.00 | 12/15/2022 | 206,262 | 205,531 | 207,436 | |||||||||||||||
BRE Grand Islander Timeshare Issuer 2017-A LLC^ | 2.94 | 5/25/2029 | 321,062 | 320,982 | 321,182 | |||||||||||||||
BRE Grand Islander Timeshare Issuer 2017-A LLC^ | 3.24 | # | 5/25/2029 | 264,404 | 264,367 | 263,799 | ||||||||||||||
Capital Automotive REIT 2017-1A A1^ | 3.87 | 4/15/2047 | 309,483 | 309,394 | 311,320 | |||||||||||||||
CarFinance Capital Auto Trust 2013-2A^ | 4.04 | 8/15/2019 | 604,452 | 606,437 | 607,924 | |||||||||||||||
CarFinance Capital Auto Trust 2014-2^ | 1.44 | 11/16/2020 | 65,944 | 65,503 | 65,897 | |||||||||||||||
Cazenovia Creek Funding I LLC 2015-1A A^ | 2.00 | 12/10/2023 | 104,729 | 103,764 | 104,074 | |||||||||||||||
Centex Home Equity Loan Trust 2006-A AV4 | 1.47 | # | 6/25/2036 | 194,503 | 189,928 | 195,321 | ||||||||||||||
Chesapeake Funding II LLC 2016-2A A1^ | 1.88 | 6/15/2028 | 279,107 | 279,094 | 278,790 | |||||||||||||||
Citi Held For Asset Issuance 2015-PM3 A^ | 2.56 | 5/16/2022 | 2,610 | 2,610 | 2,610 | |||||||||||||||
Citigroup Mortgage Loan Trust Asset Backed Pass-Through Certificates 2005-OPT3 M2 | 1.89 | # | 5/25/2035 | 288,055 | 287,352 | 288,634 | ||||||||||||||
CKE Restaurant Holdings, Inc. 2013-1A A2^ | 4.47 | 3/20/2043 | 442,320 | 446,484 | 441,451 | |||||||||||||||
CLI Funding V LLC 2013-1A^ | 2.83 | 3/18/2028 | 55,900 | 55,642 | 55,040 | |||||||||||||||
CLI Funding V LLC 2013-2A^ | 3.22 | 6/18/2028 | 1,131,355 | 1,118,371 | 1,121,183 | |||||||||||||||
CLI Funding V LLC 2014-1A A^ | 3.29 | 6/18/2029 | 174,801 | 169,962 | 173,990 | |||||||||||||||
CLI Funding VI LLC 2017-1A A^ | 3.62 | 5/18/2042 | 642,183 | 642,111 | 642,111 | |||||||||||||||
College Loan Corp. Trust I 2005-2 B | 1.65 | # | 1/15/2037 | 208,131 | 183,175 | 190,229 | ||||||||||||||
Commonbond Student Loan Trust 2017-A-GS^ | 5.28 | 5/25/2041 | 710,000 | 709,912 | 707,127 | |||||||||||||||
CPS Auto Receivables Trust 2013-A A^ | 1.31 | 6/15/2020 | 83,109 | 82,884 | 82,911 | |||||||||||||||
CPS Auto Receivables Trust 2014-D A^ | 1.49 | 4/15/2019 | 28,669 | 28,586 | 28,668 | |||||||||||||||
CPS Auto Receivables Trust 2015-B A^ | 1.65 | 11/15/2019 | 76,325 | 75,873 | 76,358 | |||||||||||||||
CPS Auto Receivables Trust 2015-C A^ | 1.77 | 6/17/2019 | 17,790 | 17,789 | 17,797 | |||||||||||||||
CPS Auto Receivables Trust 2015-C B^ | 2.55 | 2/18/2020 | 100,000 | 99,989 | 100,473 | |||||||||||||||
CPS Auto Receivables Trust 2016-A A^ | 2.25 | 10/15/2019 | 53,589 | 53,588 | 53,700 | |||||||||||||||
CPS Auto Receivables Trust 2016-B A^ | 2.07 | 11/15/2019 | 112,357 | 112,355 | 112,460 | |||||||||||||||
CPS Auto Receivables Trust 2016-C A^ | 1.62 | 1/15/2020 | 96,000 | 96,000 | 95,857 | |||||||||||||||
CPS Auto Receivables Trust 2016-C B^ | 2.48 | 9/15/2020 | 180,000 | 179,986 | 179,638 | |||||||||||||||
CPS Auto Trust 2017-A B^ | 2.68 | 5/17/2021 | 1,200,000 | 1,200,000 | 1,207,492 | |||||||||||||||
Credit Suisse ABS Repackaging Trust 2013-A B^ | 2.50 | 1/25/2030 | 82,193 | 78,336 | 77,034 |
See accompanying Notes to the Financial Statements.
100
Barings Active Short Duration Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Asset-Backed Securities (Continued) | ||||||||||||||||||||
Other Asset-Backed Securities (Continued) | ||||||||||||||||||||
DB Master Finance LLC 2015-1A A2I^ | 3.26 | % | 2/20/2045 | 997,050 | $994,076 | $1,003,022 | ||||||||||||||
DB Master Finance LLC 2015-1A A2II^ | 3.98 | 2/20/2045 | 1,173,000 | 1,181,705 | 1,201,515 | |||||||||||||||
Diamond Resorts Owner Trust 2013-1^ | 1.95 | 1/20/2025 | 361,112 | 359,029 | 358,709 | |||||||||||||||
Diamond Resorts Owner Trust 2013-2 A^ | 2.27 | 5/20/2026 | 514,493 | 510,715 | 511,750 | |||||||||||||||
Diamond Resorts Owner Trust 2015-1 A^ | 2.73 | 7/20/2027 | 32,402 | 32,399 | 32,193 | |||||||||||||||
Diamond Resorts Owner Trust 2015-2^ | 2.99 | 5/22/2028 | 129,365 | 130,773 | 128,995 | |||||||||||||||
Diamond Resorts Owner Trust 2015-2 B^ | 3.54 | 5/22/2028 | 47,042 | 47,039 | 47,045 | |||||||||||||||
Diamond Resorts Owner Trust 2016-1^ | 3.08 | 11/20/2028 | 983,615 | 983,615 | 976,677 | |||||||||||||||
Domino’s Pizza Master Issuer LLC 2012-1A A2^ | 5.22 | 1/25/2042 | 231,175 | 236,670 | 231,286 | |||||||||||||||
Domino’s Pizza Master Issuer LLC 2015 1A-A2I^ | 3.48 | 10/25/2045 | 335,750 | 329,997 | 339,084 | |||||||||||||||
DRB Prime Student Loan Trust 2015-A A2^ | 3.06 | 7/25/2031 | 80,837 | 79,842 | 78,556 | |||||||||||||||
DRB Prime Student Loan Trust 2015-B A2^ | 3.17 | 7/25/2031 | 222,976 | 222,133 | 224,098 | |||||||||||||||
DRB Prime Student Loan Trust 2015-B A3^ | 2.54 | 4/27/2026 | 40,955 | 40,951 | 40,516 | |||||||||||||||
DRB Prime Student Loan Trust 2015-D A1^ | 2.92 | # | 1/25/2040 | 274,265 | 270,849 | 279,642 | ||||||||||||||
DRB Prime Student Loan Trust 2015-D A2^ | 3.20 | 1/25/2040 | 894,639 | 893,709 | 905,345 | |||||||||||||||
DRB Prime Student Loan Trust 2016-A A1^ | 3.22 | # | 4/25/2040 | 228,777 | 228,313 | 228,162 | ||||||||||||||
DRB Prime Student Loan Trust 2016-B^ | 2.89 | 6/25/2040 | 244,470 | 244,398 | 244,616 | |||||||||||||||
DRB Prime Student Loan Trust 2016-R A1^¤ | 3.12 | # | 10/25/2044 | 1,332,211 | 1,332,211 | 1,336,874 | ||||||||||||||
Drive Auto Receivables Trust 2015-AA C^ | 3.06 | 5/17/2021 | 421,226 | 425,561 | 424,274 | |||||||||||||||
Drive Auto Receivables Trust 2016-BA^ | 2.56 | 6/15/2020 | 130,000 | 129,997 | 130,426 | |||||||||||||||
Drive Auto Receivables Trust 2017-1 | 2.84 | 4/15/2022 | 350,000 | 349,950 | 349,556 | |||||||||||||||
Drug Royalty Corp Inc. 2012-1 A1^ | 6.13 | # | 7/15/2024 | 41,179 | 42,058 | 41,699 | ||||||||||||||
DT Auto Owner Trust 2016-1A B^ | 2.79 | 5/15/2020 | 229,724 | 229,717 | 230,227 | |||||||||||||||
DT Auto Owner Trust 2016-2A B^ | 2.92 | 5/15/2020 | 460,000 | 459,993 | 461,740 | |||||||||||||||
Earnest Student Loan Program LLC 2016-B A1^ | 3.27 | # | 2/26/2035 | 311,007 | 311,007 | 312,101 | ||||||||||||||
Earnest Student Loan Program LLC 2016-C A2^ | 2.68 | 7/25/2035 | 447,998 | 445,440 | 435,177 | |||||||||||||||
Earnest Student Loan Program LLC 2016-D A2^ | 2.72 | 1/25/2041 | 518,555 | 518,395 | 519,338 | |||||||||||||||
ECMC Group Student Loan Trust 2016-1A A^ | 2.57 | # | 7/26/2066 | 555,537 | 555,538 | 558,485 | ||||||||||||||
ECMC Group Student Loan Trust 2017-1A A^ | 2.42 | # | 12/27/2066 | 1,535,149 | 1,535,149 | 1,536,517 | ||||||||||||||
Education Loan Asset-Backed Trust I 2013-1 A1^ | 2.02 | # | 6/25/2026 | 576,043 | 569,282 | 576,683 | ||||||||||||||
Elara HGV Timeshare Issuer LLC 2014-A B^ | 3.02 | 2/25/2027 | 34,773 | 34,492 | 34,858 | |||||||||||||||
Elara HGV Timeshare Issuer LLC 2016-A^ | 2.73 | 4/25/2028 | 264,029 | 264,025 | 261,851 | |||||||||||||||
Element Rail Leasing II LLC 2015-1A A1+^ | 2.71 | 2/19/2045 | 431,923 | 428,134 | 425,523 | |||||||||||||||
Element Rail Leasing II LLC 2015-1A A1+^ | 3.97 | 3/19/2046 | 139,944 | 139,944 | 141,494 | |||||||||||||||
Element Rail Leasing II LLC 2016-1A A2+^ | 5.05 | 3/19/2046 | 800,000 | 813,296 | 831,148 | |||||||||||||||
Entegry New Orleans Storm Recovery Funding I LLC 2015-1 A | 2.67 | 6/1/2027 | 149,852 | 149,820 | 151,332 | |||||||||||||||
Enterprise Fleet Financing LLC 2016-1 A2^ | 1.83 | 9/20/2021 | 429,409 | 429,364 | 429,389 | |||||||||||||||
Enterprise Fleet Financing LLC 2017-1 A3^ | 2.60 | 7/20/2022 | 240,000 | 239,944 | 240,202 | |||||||||||||||
Exeter Automobile Receivables Trust 2015-2A C^ | 3.90 | 3/15/2021 | 800,000 | 810,293 | 812,204 | |||||||||||||||
Exeter Automobile Receivables Trust 2015-3A A^ | 2.00 | 3/16/2020 | 43,020 | 43,033 | 43,026 | |||||||||||||||
Exeter Automobile Receivables Trust 2016-3A B^ | 2.84 | 8/16/2021 | 240,000 | 239,963 | 239,449 | |||||||||||||||
Exeter Automobile Receivables Trust 2017-1A B^ | 3.00 | 12/15/2021 | 430,000 | 429,911 | 431,482 | |||||||||||||||
First Franklin Mortgage Loan Trust 2004-FFH4 M5 | 2.79 | # | 1/25/2035 | 390,429 | 392,286 | 394,805 | ||||||||||||||
First Franklin Mortgage Loan Trust 2005 FF3 M3 | 1.94 | # | 4/25/2035 | 179,843 | 178,976 | 179,852 |
See accompanying Notes to the Financial Statements.
101
Barings Active Short Duration Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Asset-Backed Securities (Continued) | ||||||||||||||||||||
Other Asset-Backed Securities (Continued) | ||||||||||||||||||||
First Investors Auto Owner Trust 2015-2A A1^ | 1.59 | % | 12/16/2019 | 7,726 | $7,726 | $7,726 | ||||||||||||||
First Investors Auto Owner Trust 2016-1A A1^ | 1.92 | 5/15/2020 | 136,386 | 136,384 | 136,484 | |||||||||||||||
First Investors Auto Owner Trust 2016-2A B^ | 2.21 | 7/15/2022 | 520,000 | 519,975 | 517,275 | |||||||||||||||
Flagship Credit Auto Trust 2013-2 B^ | 3.21 | 8/15/2019 | 55,809 | 56,230 | 55,874 | |||||||||||||||
Flagship Credit Auto Trust 2015-2 A^ | 1.98 | 10/15/2020 | 43,728 | 43,725 | 43,792 | |||||||||||||||
Flagship Credit Auto Trust 2015-3 A^ | 2.38 | 10/15/2020 | 304,875 | 305,893 | 305,244 | |||||||||||||||
Flagship Credit Auto Trust 2016-1 A^ | 2.77 | 12/15/2020 | 239,813 | 239,389 | 241,663 | |||||||||||||||
Flagship Credit Auto Trust 2016-3 B^ | 2.43 | 6/15/2021 | 310,000 | 309,976 | 309,580 | |||||||||||||||
Flagship Credit Auto Trust 2016-4 B^ | 2.41 | 10/15/2021 | 940,000 | 939,897 | 932,767 | |||||||||||||||
Flagship Credit Auto Trust 2016-4 C^ | 2.71 | 11/15/2022 | 410,000 | 409,980 | 407,331 | |||||||||||||||
Flagship Credit Auto Trust 2017-1 B^ | 2.83 | 3/15/2023 | 895,000 | 894,973 | 895,308 | |||||||||||||||
FNA Trust 2015-1 A^ | 3.24 | 12/10/2023 | 180,958 | 181,039 | 180,031 | |||||||||||||||
FRS I LLC 2013-1A A1^ | 1.80 | 4/15/2043 | 30,363 | 30,059 | 30,104 | |||||||||||||||
Global SC Finance II SRL 2014-1A A1+^ | 3.19 | 7/17/2029 | 219,583 | 219,538 | 216,990 | |||||||||||||||
Global SC Finance IV Ltd.+^ | 3.85 | 4/15/2037 | 434,072 | 433,917 | 439,874 | |||||||||||||||
Goal Capital Funding Trust 2010-1 A^ | 1.89 | # | 8/25/2048 | 215,645 | 206,990 | 213,821 | ||||||||||||||
Goal Structured Solution Trust 2015-1 B^ | 2.72 | # | 9/25/2043 | 100,000 | 76,096 | 89,397 | ||||||||||||||
Goodgreen Trust 2016-1 A^¤ ¤ | 3.23 | 10/15/2052 | 611,363 | 611,061 | 597,852 | |||||||||||||||
GSAMP Trust 2005-SEA2 A1^ | 1.57 | # | 1/25/2045 | 36,619 | 35,216 | 36,490 | ||||||||||||||
HERO Funding Trust 2015-1A^ | 3.84 | 9/21/2040 | 1,070,455 | 1,090,228 | 1,091,864 | |||||||||||||||
HERO Funding Trust 2016-4A A1^ | 3.57 | 9/20/2047 | 423,649 | 423,480 | 428,945 | |||||||||||||||
Higher Education Funding I 2004-1 B1^ | 2.10 | # | 1/1/2044 | 950,000 | 825,387 | 879,404 | ||||||||||||||
Hilton Grand Vacations Trust 2013-A^ | 2.28 | 1/25/2026 | 63,582 | 62,693 | 63,384 | |||||||||||||||
Hilton Grand Vacations Trust 2017-AA B^ | 2.96 | # | 12/26/2028 | 384,280 | 384,263 | 383,562 | ||||||||||||||
Leaf Receivables Funding 12 LLC^ | 1.50 | 4/15/2018 | 1,167,685 | 1,167,685 | 1,167,703 | |||||||||||||||
Lendmark Funding Trust 2017-1A^ | 2.83 | 1/22/2024 | 310,000 | 309,937 | 309,937 | |||||||||||||||
Mariner Finance Issuance Trust 2017-AA A^ | 3.62 | 2/20/2029 | 480,000 | 479,908 | 483,720 | |||||||||||||||
Marlette Funding Trust 2016-1A A^ | 3.06 | 1/17/2023 | 516,406 | 516,896 | 515,547 | |||||||||||||||
Marlette Funding Trust 2017-1A A^ | 2.83 | 3/15/2024 | 926,327 | 926,327 | 929,537 | |||||||||||||||
Marlette Funding Trust 2017-2^ | 2.39 | 7/15/2024 | 570,000 | 570,000 | 569,999 | |||||||||||||||
Miramax LLC 2014-1A A2^ | 3.34 | 7/20/2026 | 119,028 | 119,405 | 118,506 | |||||||||||||||
Mosaic Solar Loans LLC 2017-1A A^ | 4.45 | 6/20/2042 | 135,266 | 135,228 | 137,277 | |||||||||||||||
MVW Owner Trust 2013-1A A^ | 2.15 | 4/22/2030 | 174,663 | 172,490 | 174,101 | |||||||||||||||
MVW Owner Trust 2015-1A A^ | 2.52 | 12/20/2032 | 53,140 | 53,137 | 52,685 | |||||||||||||||
MVW Owner Trust 2016-1A A^ | 2.25 | 12/20/2033 | 83,465 | 83,457 | 81,763 | |||||||||||||||
Nations Equipment Finance Funding III LLC 2016-1A A^ | 3.61 | 2/20/2021 | 185,363 | 185,360 | 186,120 | |||||||||||||||
Navient Student Loan Trust 2015-2 A3 | 1.79 | # | 11/26/2040 | 500,000 | 492,661 | 498,207 | ||||||||||||||
Navient Student Loan Trust 2016-5A A^ | 2.47 | # | 6/25/2065 | 1,152,876 | 1,157,939 | 1,171,062 | ||||||||||||||
Navient Student Loan Trust 2016-6 A3^ | 2.52 | # | 3/25/2066 | 1,100,000 | 1,100,000 | 1,123,497 | ||||||||||||||
Navient Student Loan Trust 2017-1A A3^ | 2.37 | # | 7/26/2066 | 1,300,000 | 1,300,000 | 1,299,999 | ||||||||||||||
Navient Student Loan Trust 2017-3^ | 2.27 | 7/26/2066 | 1,000,000 | 1,000,000 | 1,010,582 | |||||||||||||||
Navistar Financial Dealer Note Master Owner Trust II 2016-1 A^ | 2.57 | # | 9/27/2021 | 550,000 | 550,000 | 552,935 | ||||||||||||||
Navitas Equipment Receivables LLC 2015-1 A2^ | 2.12 | 11/15/2018 | 92,177 | 92,161 | 92,209 |
See accompanying Notes to the Financial Statements.
102
Barings Active Short Duration Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Asset-Backed Securities (Continued) | ||||||||||||||||||||
Other Asset-Backed Securities (Continued) | ||||||||||||||||||||
Nelnet Private Education Loan Trust 2016-A A1A^ | 2.77 | #% | 12/26/2040 | 416,263 | $416,263 | $417,103 | ||||||||||||||
Nelnet Private Education Loan Trust 2016-A A1B^ | 3.60 | 12/26/2040 | 299,714 | 297,744 | 299,580 | |||||||||||||||
Nelnet Student Loan Trust 2006-2 A6 | 1.28 | # | 4/25/2031 | 280,000 | 273,931 | 280,429 | ||||||||||||||
Nelnet Student Loan Trust 2014-6A A^ | 1.67 | # | 11/25/2052 | 387,757 | 375,648 | 383,751 | ||||||||||||||
New Residential Advance Receivables Trust Advance Receivables Backed Notes 2016-T2 AT2^ | 2.58 | 10/15/2049 | 1,950,000 | 1,950,000 | 1,937,347 | |||||||||||||||
NextGear Floorplan Master Owner Trust 2015-2A A^ | 2.38 | 10/15/2020 | 100,000 | 99,994 | 100,453 | |||||||||||||||
NextGear Floorplan Master Owner Trust 2016-1A A1^ | 2.69 | # | 4/15/2021 | 490,000 | 490,000 | 497,903 | ||||||||||||||
NextGear Floorplan Master Owner Trust 2016-2A A2^ | 2.19 | 9/15/2021 | 762,000 | 759,590 | 759,167 | |||||||||||||||
Northstar Education Finance, Inc. 2005-1 A5 | 1.92 | # | 10/30/2045 | 210,219 | 201,357 | 208,232 | ||||||||||||||
NorthStar Student Loan Trust III 2016-1 A^ | 2.47 | # | 5/27/2036 | 268,152 | 256,412 | 259,369 | ||||||||||||||
NovaStar Mortgage Funding Trust 2004-4 M5 | 2.94 | # | 3/25/2035 | 600,000 | 599,817 | 605,793 | ||||||||||||||
NRZ Advance Receivables Trust 2016-T4 AT4^ | 3.11 | 12/15/2050 | 900,000 | 900,000 | 887,738 | |||||||||||||||
OnDeck Asset Securitization Trust II LLC 2016-1A A^ | 4.21 | 5/17/2020 | 110,000 | 109,995 | 109,481 | |||||||||||||||
OneMain Financial Issuance Trust 2014-2A A^ | 2.47 | 9/18/2024 | 61,079 | 61,263 | 61,158 | |||||||||||||||
Oportun Funding VI LLC 2017-A A^ | 3.23 | 6/8/2023 | 500,000 | 499,928 | 502,337 | |||||||||||||||
Orange Lake Timeshare Trust 2016-A^ | 2.61 | 3/8/2029 | 272,434 | 272,404 | 271,556 | |||||||||||||||
Oscar US Funding Trust II 2015 1A A3+^ | 1.86 | 10/15/2019 | 481,876 | 480,730 | 480,233 | |||||||||||||||
Oscar US Funding Trust II 2015 1A A4+^ | 2.44 | 6/15/2022 | 270,000 | 263,346 | 267,972 | |||||||||||||||
Oscar US Funding Trust IV 2016 1A A2B+^ | 2.69 | # | 7/15/2020 | 108,138 | 108,138 | 108,414 | ||||||||||||||
Oscar US Funding Trust IV 2016-1A A2A+^ | 2.53 | 7/15/2020 | 270,345 | 270,967 | 270,643 | |||||||||||||||
Oscar US Funding Trust V 2016-2A A2A+^ | 2.31 | 11/15/2019 | 380,875 | 380,839 | 380,646 | |||||||||||||||
Oscar US Funding Trust VI LLC 2017-1A A1+^ | 1.18 | 4/10/2018 | 461,890 | 461,890 | 461,492 | |||||||||||||||
Oscar US Funding Trust VI LLC 2017-1A A3+^ | 2.82 | 6/10/2021 | 370,000 | 369,937 | 371,874 | |||||||||||||||
Oscar US Funding Trust VI LLC 2017-1A A4+^ | 3.30 | 5/10/2024 | 500,000 | 502,061 | 503,971 | |||||||||||||||
Oxford Finance Funding LLC 2016-1A A^ | 3.97 | 6/17/2024 | 170,000 | 170,000 | 168,655 | |||||||||||||||
PHEAA Student Loan Trust 2016-2A A^ | 2.17 | # | 11/25/2065 | 754,677 | 754,677 | 756,048 | ||||||||||||||
Popular ABS Mortgage Pass-Through Trust 2006-B A3 | 1.50 | # | 5/25/2036 | 103,536 | 99,451 | 103,323 | ||||||||||||||
Prestige Auto Receivables Trust 2015-1 B^ | 2.04 | 4/15/2021 | 260,000 | 260,767 | 260,345 | |||||||||||||||
Santander Drive Auto Receivables Trust 2014-4 D | 3.10 | 11/16/2020 | 540,000 | 545,147 | 548,070 | |||||||||||||||
Santander Drive Auto Receivables Trust 2015-2 C | 2.44 | 4/15/2021 | 720,000 | 724,858 | 724,675 | |||||||||||||||
Santander Drive Auto Receivables Trust 2016-1 A3 | 1.62 | 3/16/2020 | 180,000 | 179,981 | 180,004 | |||||||||||||||
Santander Drive Auto Receivables Trust 2016-1 B | 2.47 | 12/15/2020 | 360,000 | 359,986 | 362,080 | |||||||||||||||
Santander Drive Auto Receivables Trust 2016-1 D | 4.02 | 4/15/2022 | 430,000 | 439,122 | 439,280 | |||||||||||||||
SBA Tower Trust 2014-1A C^ | 2.90 | 10/15/2044 | 590,000 | 591,541 | 593,108 | |||||||||||||||
Sierra Timeshare Receivables Funding LLC 2014-1A A^ | 2.07 | 3/20/2030 | 83,662 | 83,176 | 83,552 | |||||||||||||||
Sierra Timeshare Receivables Funding LLC 2014-2A A^ | 2.05 | # | 6/20/2031 | 72,449 | 71,659 | 72,340 | ||||||||||||||
Sierra Timeshare Receivables Funding LLC 2014-3A A^ | 2.30 | 10/20/2031 | 277,946 | 276,314 | 277,909 | |||||||||||||||
Sierra Timeshare Receivables Funding LLC 2015 3A B^ | 3.08 | 9/20/2032 | 39,757 | 39,757 | 39,927 | |||||||||||||||
Sierra Timeshare Receivables Funding LLC 2015-1A A^ | 2.40 | 3/22/2032 | 208,785 | 206,272 | 208,649 | |||||||||||||||
Sierra Timeshare Receivables Funding LLC 2015-2A B^ | 3.02 | 6/20/2032 | 32,624 | 32,618 | 32,731 | |||||||||||||||
Sierra Timeshare Receivables Funding LLC 2015-3A A^ | 2.58 | 9/20/2032 | 39,757 | 39,749 | 39,851 | |||||||||||||||
Sierra Timeshare Receivables Funding LLC 2017-1A A^ | 2.91 | 3/20/2034 | 851,316 | 851,258 | 859,359 | |||||||||||||||
SLC Private Student Loan Trust 2006-A A5 | 1.33 | # | 7/15/2036 | 107,113 | 106,508 | 107,113 |
See accompanying Notes to the Financial Statements.
103
Barings Active Short Duration Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Asset-Backed Securities (Continued) | ||||||||||||||||||||
Other Asset-Backed Securities (Continued) | ||||||||||||||||||||
SLC Private Student Loan Trust 2006-A C | 1.61 | #% | 7/15/2036 | 350,000 | $310,015 | $325,555 | ||||||||||||||
SLC Student Loan Trust 2005-1 B | 1.38 | # | 2/15/2045 | 485,741 | 423,951 | 446,914 | ||||||||||||||
SLM Student Loan Trust 2003-12 A5^ | 1.53 | # | 9/15/2022 | 37,547 | 37,320 | 37,568 | ||||||||||||||
SLM Student Loan Trust 2003-14 A6 | 1.46 | # | 7/25/2025 | 40,000 | 38,545 | 39,466 | ||||||||||||||
SLM Student Loan Trust 2003-4 B | 1.90 | # | 6/15/2038 | 129,662 | 118,878 | 121,090 | ||||||||||||||
SLM Student Loan Trust 2005-4 B | 1.34 | # | 7/25/2055 | 413,684 | 345,037 | 383,919 | ||||||||||||||
SLM Student Loan Trust 2005-6 B | 1.45 | # | 1/25/2044 | 1,055,089 | 966,948 | 994,194 | ||||||||||||||
SLM Student Loan Trust 2006-5 B | 1.37 | # | 10/25/2040 | 466,369 | 402,518 | 432,315 | ||||||||||||||
SLM Student Loan Trust 2006-9 A5 | 1.26 | # | 1/26/2026 | 120,052 | 117,060 | 119,768 | ||||||||||||||
SLM Student Loan Trust 2012-5 A2 | 1.52 | # | 6/25/2019 | 29,420 | 29,300 | 29,431 | ||||||||||||||
SMB Private Education Loan Trust 2014-A A2B^ | 2.31 | # | 5/15/2026 | 911,295 | 918,993 | 920,004 | ||||||||||||||
SMB Private Education Loan Trust 2015-A^ | 2.66 | # | 2/17/2032 | 900,000 | 921,976 | 922,341 | ||||||||||||||
SMB Private Education Loan Trust 2015-A A2B^ | 2.16 | # | 6/15/2027 | 100,000 | 98,302 | 99,309 | ||||||||||||||
SMB Private Education Loan Trust 2015-C A3^ | 3.11 | # | 8/16/2032 | 700,000 | 732,308 | 731,214 | ||||||||||||||
SMB Private Education Loan Trust 2016-A A1^ | 1.86 | # | 5/15/2023 | 239,304 | 239,304 | 239,556 | ||||||||||||||
SMB Private Education Loan Trust 2016-B A2B^ | 2.61 | # | 2/17/2032 | 132,000 | 132,000 | 135,783 | ||||||||||||||
SMB Private Education Loan Trust 2016-C^ | 2.26 | # | 9/15/2034 | 280,000 | 280,000 | 284,655 | ||||||||||||||
SoFi Consumer Loan Program 2017-3 LLC^ | 2.77 | 5/25/2026 | 1,199,964 | 1,199,964 | 1,204,883 | |||||||||||||||
SoFi Consumer Loan Program LLC 2016-1A A^ | 3.26 | 8/25/2025 | 833,388 | 836,488 | 844,230 | |||||||||||||||
SoFi Consumer Loan Program LLC 2016-2A A^ | 3.09 | 10/27/2025 | 358,637 | 358,586 | 361,846 | |||||||||||||||
SoFi Consumer Loan Program LLC 2016-3 A^ | 3.05 | 12/26/2025 | 313,187 | 313,181 | 315,592 | |||||||||||||||
SoFi Consumer Loan Program LLC 2016-5 A^¤ | 3.06 | 9/25/2028 | 1,778,110 | 1,772,322 | 1,796,736 | |||||||||||||||
SoFi Consumer Loan Program LLC 2017-2 A^ | 3.28 | 2/25/2026 | 785,141 | 783,875 | 782,180 | |||||||||||||||
SoFi Consumer Loan Program Trust 2015-1 A^ | 3.28 | 9/15/2023 | 838,141 | 838,601 | 840,207 | |||||||||||||||
SoFi Professional Loan Program 2015-A LLC^¤ | Zero Coupon | 3/25/2033 | 300 | 844,125 | 765,000 | |||||||||||||||
SoFi Professional Loan Program LLC 2015-C A2^ | 2.51 | 8/25/2033 | 54,422 | 54,149 | 54,445 | |||||||||||||||
SoFi Professional Loan Program LLC 2016 A A1^ | 2.97 | # | 8/25/2036 | 217,470 | 215,589 | 223,716 | ||||||||||||||
SoFi Professional Loan Program LLC 2016-B A1^ | 2.42 | # | 6/25/2033 | 251,018 | 251,018 | 253,664 | ||||||||||||||
SoFi Professional Loan Program LLC 2016-B A2A^ | 1.68 | 3/25/2031 | 160,569 | 160,556 | 160,527 | |||||||||||||||
SoFi Professional Loan Program LLC 2016-D A1^ | 2.17 | # | 1/25/2039 | 173,362 | 173,362 | 175,198 | ||||||||||||||
SoFi Professional Loan Program LLC 2016-E A2B^ | 2.49 | 1/25/2036 | 330,000 | 329,358 | 329,402 | |||||||||||||||
SpringCastle America Funding LLC 2016-AA A^ | 3.05 | 4/25/2029 | 581,486 | 581,465 | 584,911 | |||||||||||||||
Springleaf Funding Trust 2016-AA A^ | 2.90 | 11/15/2029 | 1,560,000 | 1,559,768 | 1,567,473 | |||||||||||||||
SPS Servicer Advance Receivable 2016-T1 AT1^ | 2.53 | 11/16/2048 | 1,040,000 | 1,039,910 | 1,030,935 | |||||||||||||||
SVO VOI Mortgage LLC 2012-AA A^ | 2.00 | 9/20/2029 | 386,736 | 381,548 | 383,088 | |||||||||||||||
Taco Bell Funding LLC 2016-1A A2I^ | 3.83 | 5/25/2046 | 327,525 | 328,600 | 334,101 | |||||||||||||||
TAL Advantage LLC 2017-1A A^ | 4.50 | 4/21/2042 | 709,687 | 718,252 | 745,490 | |||||||||||||||
TAL Advantage V LLC^ | 3.27 | 11/21/2039 | 445,000 | 440,257 | 442,969 | |||||||||||||||
Trafigura Securitisation Finance plc 2017-1+^ | 2.91 | 12/15/2020 | 350,000 | 350,000 | 350,000 | |||||||||||||||
Trinity Rail Leasing LP 2012-1A A1^ | 2.27 | 1/15/2043 | 59,796 | 58,028 | 58,035 | |||||||||||||||
Trip Rail Master Funding LLC 2011-1A A2^ | 6.02 | 7/15/2041 | 900,000 | 957,059 | 960,077 |
See accompanying Notes to the Financial Statements.
104
Barings Active Short Duration Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Asset-Backed Securities (Continued) | ||||||||||||||||||||
Other Asset-Backed Securities (Continued) | ||||||||||||||||||||
VSE VOI Mortgage LLC 2016-A A^ | 2.54 | % | 7/20/2033 | 686,873 | $686,805 | $683,714 | ||||||||||||||
Wachovia Student Loan Trust 2005-1 B | 1.46 | # | 10/25/2040 | 817,570 | 748,544 | 748,581 | ||||||||||||||
Welk Resorts LLC 2017-A A B^ | 3.41 | 6/15/2033 | 410,000 | 409,931 | 409,134 | |||||||||||||||
Wendys Funding LLC 2015 1A A2I^ | 3.37 | 6/15/2045 | 933,375 | 931,630 | 941,383 | |||||||||||||||
Westgate Resorts LLC 2015-2A A^ | 3.20 | 7/20/2028 | 237,627 | 237,345 | 236,483 | |||||||||||||||
Westgate Resorts LLC 2017-1A A^ | 3.05 | 12/20/2030 | 509,414 | 509,047 | 508,574 | |||||||||||||||
Westlake Automobile Receivables Trust 2016-1A A2B^ | 2.21 | # | 1/15/2019 | 91,231 | 91,231 | 91,346 | ||||||||||||||
Westlake Automobile Receivables Trust 2016-2A A2^ | 1.57 | 6/17/2019 | 166,979 | 166,973 | 166,960 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Other Asset-Backed Securities | 91,518,869 | 91,687,894 | 92,221,976 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Asset-Backed Securities | 104,578,869 | 104,734,565 | 105,320,457 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Corporate Bonds — 44.7%*: | ||||||||||||||||||||
Advertising — 0.3%*: |
| |||||||||||||||||||
S&P Global, Inc. | 2.50 | 8/15/2018 | 260,000 | 260,478 | 261,814 | |||||||||||||||
S&P Global, Inc. | 3.30 | 8/14/2020 | 700,000 | 724,011 | 717,641 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Advertising | 960,000 | 984,489 | 979,455 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Aerospace/Defense — 1.0%*: |
| |||||||||||||||||||
Harris Corp. | 2.00 | 4/27/2018 | 995,000 | 996,227 | 996,359 | |||||||||||||||
Harris Corp. | 2.70 | 4/27/2020 | 590,000 | 593,205 | 596,109 | |||||||||||||||
L-3 Communications Corp. | 5.20 | 10/15/2019 | 1,435,000 | 1,508,632 | 1,531,873 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Aerospace/Defense | 3,020,000 | 3,098,064 | 3,124,341 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Agriculture — 0.9%*: |
| |||||||||||||||||||
Bunge Ltd. Finance Corp. | 3.50 | 11/24/2020 | 1,520,000 | 1,552,921 | 1,558,319 | |||||||||||||||
Imperial Brands Finance PLC+^ | 2.05 | 7/20/2018 | 335,000 | 334,391 | 335,126 | |||||||||||||||
Imperial Brands Finance PLC+^ | 2.95 | 7/21/2020 | 1,097,000 | 1,116,375 | 1,115,534 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Agriculture | 2,952,000 | 3,003,687 | 3,008,979 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Airlines — 0.6%*: |
| |||||||||||||||||||
Delta Air Lines, Inc. | 3.63 | 3/15/2022 | 1,050,000 | 1,054,182 | 1,077,916 | |||||||||||||||
WestJet Airlines Ltd.+^ | 3.50 | 6/16/2021 | 760,000 | 760,251 | 776,676 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Airlines | 1,810,000 | 1,814,433 | 1,854,592 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Auto Manufacturers — 1.1%*: |
| |||||||||||||||||||
General Motors Co. | 3.50 | 10/2/2018 | 250,000 | 252,546 | 254,389 | |||||||||||||||
General Motors Financial Co., Inc. | 3.20 | 7/13/2020 | 1,350,000 | 1,347,253 | 1,375,535 | |||||||||||||||
Hyundai Capital America^ | 2.00 | 7/1/2019 | 70,000 | 69,967 | 69,444 | |||||||||||||||
Hyundai Capital America^ | 2.40 | 10/30/2018 | 150,000 | 150,036 | 150,314 | |||||||||||||||
Hyundai Capital America^ | 2.55 | 2/6/2019 | 838,000 | 843,863 | 841,143 | |||||||||||||||
Hyundai Capital America^ | 3.00 | 10/30/2020 | 280,000 | 284,203 | 282,696 | |||||||||||||||
Nissan Motor Acceptance Corp.+^ | 1.90 | 9/14/2021 | 670,000 | 665,347 | 654,105 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Auto Manufacturers | 3,608,000 | 3,613,215 | 3,627,626 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
105
Barings Active Short Duration Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Auto Parts&Equipment — 0.9%*: |
| |||||||||||||||||||
Goodyear Tire & Rubber Co. (The) | 5.13 | % | 11/15/2023 | 1,355,000 | $1,399,003 | $1,419,363 | ||||||||||||||
Lear Corp. | 4.75 | 1/15/2023 | 1,420,000 | 1,468,785 | 1,469,187 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Auto Parts&Equipment | 2,775,000 | 2,867,788 | 2,888,550 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Beverages — 0.9%*: |
| |||||||||||||||||||
Anheuser-Busch InBev Finance, Inc.+ | 2.65 | 2/1/2021 | 965,000 | 977,479 | 977,939 | |||||||||||||||
Coca-Cola Femsa SAB de CV+ | 2.38 | 11/26/2018 | 1,564,000 | 1,576,048 | 1,571,791 | |||||||||||||||
Molson Coors Brewing Co. | 2.10 | 7/15/2021 | 325,000 | 322,614 | 319,596 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Beverages | 2,854,000 | 2,876,141 | 2,869,326 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Biotechnology — 0.5%*: |
| |||||||||||||||||||
Celgene Corp. | 2.13 | 8/15/2018 | 420,000 | 420,442 | 421,623 | |||||||||||||||
Celgene Corp. | 2.25 | 5/15/2019 | 250,000 | 250,290 | 251,738 | |||||||||||||||
Celgene Corp. | 2.88 | 8/15/2020 | 850,000 | 868,951 | 869,191 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Biotechnology | 1,520,000 | 1,539,683 | 1,542,552 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Chemicals — 2.6%*: |
| |||||||||||||||||||
Air Liquide Finance SA+^ | 1.75 | 9/27/2021 | 700,000 | 690,158 | 680,335 | |||||||||||||||
Airgas, Inc.+ | 2.38 | 2/15/2020 | 250,000 | 248,493 | 251,902 | |||||||||||||||
Airgas, Inc.+ | 3.05 | 8/1/2020 | 660,000 | 671,665 | 676,328 | |||||||||||||||
CF Industries, Inc. | 6.88 | 5/1/2018 | 1,470,000 | 1,528,809 | 1,526,962 | |||||||||||||||
Dow Chemical Co. (The) | 8.55 | 5/15/2019 | 125,000 | 139,777 | 140,005 | |||||||||||||||
Ecolab, Inc. | 2.00 | 1/14/2019 | 740,000 | 744,195 | 743,223 | |||||||||||||||
Incitec Pivot Finance LLC+^ | 6.00 | 12/10/2019 | 523,000 | 556,458 | 558,931 | |||||||||||||||
LyondellBasell Industries NV | 5.00 | 4/15/2019 | 505,000 | 528,185 | 527,948 | |||||||||||||||
LyondellBasell Industries NV | 6.00 | 11/15/2021 | 985,000 | 1,117,117 | 1,112,752 | |||||||||||||||
RPM International, Inc. | 3.45 | 11/15/2022 | 30,000 | 30,310 | 30,811 | |||||||||||||||
RPM International, Inc. | 6.13 | 10/15/2019 | 1,005,000 | 1,084,266 | 1,090,416 | |||||||||||||||
RPM International, Inc. | 6.50 | 2/15/2018 | 237,000 | 243,151 | 243,870 | |||||||||||||||
Sherwin-Williams Co. (The) | 2.75 | 6/1/2022 | 895,000 | 894,458 | 894,466 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Chemicals | 8,125,000 | 8,477,042 | 8,477,949 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Commercial Banks — 6.4%*: |
| |||||||||||||||||||
ANZ New Zealand Int’l Ltd.+^ | 2.25 | 2/1/2019 | 1,425,000 | 1,430,357 | 1,432,243 | |||||||||||||||
Banco Santander SA+ | 3.50 | 4/11/2022 | 1,800,000 | 1,800,995 | 1,842,259 | |||||||||||||||
Bancolombia SA+ | 5.95 | 6/3/2021 | 315,000 | 341,580 | 347,791 | |||||||||||||||
Bank of America Corp. | 2.15 | 11/9/2020 | 1,460,000 | 1,444,474 | 1,453,391 | |||||||||||||||
Bank of America Corp. MTN | 2.25 | 4/21/2020 | 1,330,000 | 1,315,172 | 1,330,543 | |||||||||||||||
Capital One Financial Corp. | 2.50 | 5/12/2020 | 485,000 | 484,267 | 487,101 | |||||||||||||||
Citigroup, Inc. | 2.35 | 8/2/2021 | 1,470,000 | 1,465,478 | 1,456,651 | |||||||||||||||
Citigroup, Inc. | 2.45 | 1/10/2020 | 90,000 | 89,969 | 90,541 | |||||||||||||||
First Horizon National Corp. | 3.50 | 12/15/2020 | 1,570,000 | 1,579,333 | 1,610,256 | |||||||||||||||
First Tennessee Bank N.A. | 2.95 | 12/1/2019 | 550,000 | 547,797 | 556,001 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 2.38 | 1/22/2018 | 590,000 | 592,326 | 592,617 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 2.55 | 10/23/2019 | 650,000 | 649,767 | 657,093 |
See accompanying Notes to the Financial Statements.
106
Barings Active Short Duration Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Commercial Banks (Continued) |
| |||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 2.88 | % | 2/25/2021 | 2,155,000 | $2,187,647 | $2,178,102 | ||||||||||||||
Itau Unibanco Holding SA+^ | 2.85 | 5/26/2018 | 400,000 | 397,785 | 401,000 | |||||||||||||||
JPMorgan Chase & Co. | 4.50 | 1/24/2022 | 1,580,000 | 1,698,161 | 1,710,901 | |||||||||||||||
Macquarie Bank Ltd.+^ | 2.85 | 1/15/2021 | 130,000 | 133,503 | 131,283 | |||||||||||||||
Mitsubishi UFJ Trust & Banking Corp.+^ | 2.65 | 10/19/2020 | 1,480,000 | 1,488,740 | 1,489,417 | |||||||||||||||
Regions Bank | 7.50 | 5/15/2018 | 212,000 | 222,083 | 221,937 | |||||||||||||||
Regions Financial Corp. | 3.20 | 2/8/2021 | 1,230,000 | 1,262,154 | 1,257,564 | |||||||||||||||
Sumitomo Mitsui Financial Group, Inc.+ | 2.06 | 7/14/2021 | 682,000 | 676,092 | 670,512 | |||||||||||||||
Sumitomo Mitsui Financial Group, Inc.+ | 2.85 | 1/11/2022 | 250,000 | 250,000 | 252,762 | |||||||||||||||
SVB Financial Group | 5.38 | 9/15/2020 | 200,000 | 215,622 | 217,672 | |||||||||||||||
Turkiye Garanti Bankasi AS+^ | 4.75 | 10/17/2019 | 325,000 | 333,185 | 332,242 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Commercial Banks | 20,379,000 | 20,606,487 | 20,719,879 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Construction Materials — 1.4%*: |
| |||||||||||||||||||
Holcim US Finance Sarl & Cie SCS+^ | 6.00 | 12/30/2019 | 1,410,000 | 1,527,460 | 1,526,020 | |||||||||||||||
James Hardie International Finance Ltd.+^ | 5.88 | 2/15/2023 | 850,000 | 896,511 | 890,375 | |||||||||||||||
Martin Marietta Materials, Inc. | 1.82 | # | 5/22/2020 | 530,000 | 530,000 | 531,477 | ||||||||||||||
Masco Corp. | 3.50 | 4/1/2021 | 590,000 | 596,552 | 605,912 | |||||||||||||||
Masco Corp. | 7.13 | 3/15/2020 | 124,000 | 139,083 | 139,013 | |||||||||||||||
Standard Industries, Inc.^ | 5.50 | 2/15/2023 | 685,000 | 696,519 | 722,675 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Construction Materials | 4,189,000 | 4,386,125 | 4,415,472 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified Financial Services — 2.8%*: |
| |||||||||||||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust+ | 3.95 | 2/1/2022 | 1,380,000 | 1,417,820 | 1,436,827 | |||||||||||||||
Air Lease Corp. | 2.13 | 1/15/2018 | 880,000 | 879,405 | 881,559 | |||||||||||||||
Air Lease Corp. | 2.13 | 1/15/2020 | 400,000 | 398,887 | 398,087 | |||||||||||||||
Air Lease Corp. | 2.63 | 9/4/2018 | 125,000 | 124,753 | 125,929 | |||||||||||||||
Air Lease Corp. | 3.38 | 1/15/2019 | 200,000 | 202,383 | 203,720 | |||||||||||||||
Ally Financial, Inc. | 4.75 | 9/10/2018 | 1,645,000 | 1,675,429 | 1,690,237 | |||||||||||||||
Athene Global Funding^ | 4.00 | 1/25/2022 | 1,670,000 | 1,679,135 | 1,734,699 | |||||||||||||||
Genpact Luxembourg Sarl^ | 3.70 | 4/1/2022 | 1,395,000 | 1,396,336 | 1,409,950 | |||||||||||||||
International Lease Finance Corp. | 3.88 | 4/15/2018 | 350,000 | 350,642 | 355,327 | |||||||||||||||
Lazard Group LLC | 4.25 | 11/14/2020 | 898,000 | 938,557 | 947,401 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified Financial Services | 8,943,000 | 9,063,347 | 9,183,736 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Electric — 2.3%*: |
| |||||||||||||||||||
Ameren Corp. | 2.70 | 11/15/2020 | 760,000 | 769,170 | 769,062 | |||||||||||||||
Duke Energy Corp. | 1.80 | 9/1/2021 | 780,000 | 760,454 | 761,417 | |||||||||||||||
EDP Finance BV+^ | 4.13 | 1/15/2020 | 1,280,000 | 1,309,387 | 1,323,200 | |||||||||||||||
EDP Finance BV+^ | 4.90 | 10/1/2019 | 89,000 | 92,414 | 93,454 | |||||||||||||||
Enel Finance International NV+^ | 2.88 | 5/25/2022 | 1,050,000 | 1,046,909 | 1,051,456 | |||||||||||||||
Entergy Texas, Inc. | 2.55 | 6/1/2021 | 170,000 | 169,751 | 168,925 | |||||||||||||||
Entergy Texas, Inc. | 7.13 | 2/1/2019 | 934,000 | 1,006,404 | 1,004,416 | |||||||||||||||
IPALCO Enterprises, Inc. | 5.00 | 5/1/2018 | 660,000 | 673,481 | 670,725 |
See accompanying Notes to the Financial Statements.
107
Barings Active Short Duration Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Electric (Continued) |
| |||||||||||||||||||
Israel Electric Corp. Ltd.+^ | 7.25 | % | 1/15/2019 | 320,000 | $343,498 | $343,165 | ||||||||||||||
Majapahit Holding B.V.+^ | 7.75 | 1/20/2020 | 300,000 | 332,812 | 335,625 | |||||||||||||||
Puget Energy, Inc. | 6.50 | 12/15/2020 | 254,000 | 285,474 | 283,930 | |||||||||||||||
Southern Co. (The) | 1.85 | 7/1/2019 | 130,000 | 129,983 | 129,496 | |||||||||||||||
Southern Co. (The) | 2.35 | 7/1/2021 | 570,000 | 569,602 | 565,847 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Electric | 7,297,000 | 7,489,339 | 7,500,718 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Electronics — 0.5%*: |
| |||||||||||||||||||
FLIR Systems, Inc. | 3.13 | 6/15/2021 | 480,000 | 489,110 | 483,823 | |||||||||||||||
Tech Data Corp. | 3.70 | 2/15/2022 | 260,000 | 259,635 | 265,307 | |||||||||||||||
Tech Data Corp. | 3.75 | 9/21/2017 | 60,000 | 60,231 | 60,182 | |||||||||||||||
Tyco Electronics Group SA+ | 2.35 | 8/1/2019 | 585,000 | 587,675 | 588,258 | |||||||||||||||
Tyco Electronics Group SA+ | 2.38 | 12/17/2018 | 200,000 | 201,179 | 201,277 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Electronics | 1,585,000 | 1,597,830 | 1,598,847 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Engineering&Construction — 0.5%*: |
| |||||||||||||||||||
SBA Tower Trust^ | 3.17 | 4/15/2022 | 630,000 | 630,871 | 630,197 | |||||||||||||||
SBA Tower Trust^ | 3.60 | 4/15/2018 | 1,050,000 | 1,048,860 | 1,050,337 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Engineering&Construction | 1,680,000 | 1,679,731 | 1,680,534 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Food — 0.9%*: |
| |||||||||||||||||||
Danone SA+^ | 2.08 | 11/2/2021 | 1,510,000 | 1,503,164 | 1,489,669 | |||||||||||||||
JBS Investments GmbH+^ | 7.75 | 10/28/2020 | 415,000 | 438,742 | 393,130 | |||||||||||||||
Mondelez International Holdings Netherlands B.V.^ | 2.00 | 10/28/2021 | 800,000 | 778,348 | 779,454 | |||||||||||||||
Tyson Foods, Inc. | 2.65 | 8/15/2019 | 335,000 | 336,846 | 339,224 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Food | 3,060,000 | 3,057,100 | 3,001,477 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Hand/Machine Tools — 0.5%*: |
| |||||||||||||||||||
Stanley Black & Decker, Inc. | 1.62 | 11/17/2018 | 415,000 | 414,763 | 413,984 | |||||||||||||||
Stanley Black & Decker, Inc. | 2.45 | 11/17/2018 | 1,200,000 | 1,211,120 | 1,211,685 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Hand/Machine Tools | 1,615,000 | 1,625,883 | 1,625,669 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Healthcare-Products — 0.8%*: |
| |||||||||||||||||||
Abbott Laboratories | 2.35 | 11/22/2019 | 600,000 | 599,528 | 604,511 | |||||||||||||||
Abbott Laboratories | 2.90 | 11/30/2021 | 1,010,000 | 1,010,723 | 1,021,282 | |||||||||||||||
Boston Scientific Corp. | 2.85 | 5/15/2020 | 350,000 | 353,020 | 354,854 | |||||||||||||||
Zimmer Biomet Holdings, Inc. | 2.00 | 4/1/2018 | 600,000 | 600,534 | 601,086 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Healthcare-Products | 2,560,000 | 2,563,805 | 2,581,733 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Healthcare-Services — 1.4%*: |
| |||||||||||||||||||
Anthem, Inc. | 1.88 | 1/15/2018 | 250,000 | 250,025 | 250,208 | |||||||||||||||
Cigna Corp. | 4.00 | 2/15/2022 | 442,000 | 470,700 | 467,205 | |||||||||||||||
Cigna Corp. | 4.50 | 3/15/2021 | 1,170,000 | 1,248,468 | 1,248,390 | |||||||||||||||
HCA, Inc. | 3.75 | 3/15/2019 | 1,680,000 | 1,707,299 | 1,713,600 |
See accompanying Notes to the Financial Statements.
108
Barings Active Short Duration Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Healthcare-Services (Continued) |
| |||||||||||||||||||
Humana, Inc. | 6.30 | % | 8/1/2018 | 150,000 | $156,740 | $156,995 | ||||||||||||||
Laboratory Corp. of America Holdings | 2.63 | 2/1/2020 | 710,000 | 712,326 | 715,847 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Healthcare-Services | 4,402,000 | 4,545,558 | 4,552,245 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Home Builders — 0.5%*: |
| |||||||||||||||||||
Lennar Corp. | 4.50 | 6/15/2019 | 150,000 | 152,324 | 155,062 | |||||||||||||||
Lennar Corp. | 4.50 | 11/15/2019 | 1,090,000 | 1,121,219 | 1,130,875 | |||||||||||||||
Lennar Corp. | 4.75 | 4/1/2021 | 240,000 | 244,739 | 254,400 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Home Builders | 1,480,000 | 1,518,282 | 1,540,337 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Housewares — 0.1%*: |
| |||||||||||||||||||
Newell Brands, Inc. | 2.60 | 3/29/2019 | 171,000 | 173,554 | 172,667 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Insurance — 2.8%*: |
| |||||||||||||||||||
American International Group, Inc. | 3.30 | 3/1/2021 | 800,000 | 801,706 | 823,066 | |||||||||||||||
CNA Financial Corp. | 5.75 | 8/15/2021 | 341,000 | 371,091 | 380,566 | |||||||||||||||
Enstar Group Ltd.+ | 4.50 | 3/10/2022 | 915,000 | 926,384 | 944,006 | |||||||||||||||
Jackson National Life Global Funding^ | 2.50 | 6/27/2022 | 1,570,000 | 1,565,253 | 1,558,839 | |||||||||||||||
Lincoln National Corp. | 4.20 | 3/15/2022 | 350,000 | 374,409 | 372,464 | |||||||||||||||
Lincoln National Corp. | 6.25 | 2/15/2020 | 400,000 | 433,239 | 438,759 | |||||||||||||||
Nuveen FIinance LLC^ | 2.95 | 11/1/2019 | 1,425,000 | 1,444,485 | 1,445,366 | |||||||||||||||
Reinsurance Group of America, Inc. | 5.00 | 6/1/2021 | 859,000 | 930,286 | 933,615 | |||||||||||||||
Trinity Acquisition PLC | 3.50 | 9/15/2021 | 986,000 | 993,413 | 1,009,693 | |||||||||||||||
Unum Group | 3.00 | 5/15/2021 | 120,000 | 119,795 | 121,143 | |||||||||||||||
Willis Towers Watson PLC | 5.75 | 3/15/2021 | 370,000 | 400,381 | 408,190 | |||||||||||||||
XLIT Ltd. | 5.75 | 10/1/2021 | 585,000 | 654,282 | 654,769 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Insurance | 8,721,000 | 9,014,724 | 9,090,476 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Internet — 0.6%*: |
| |||||||||||||||||||
Alibaba Group Holding Ltd.+ | 2.50 | 11/28/2019 | 250,000 | 248,858 | 251,898 | |||||||||||||||
Expedia, Inc. | 5.95 | 8/15/2020 | 276,000 | 301,832 | 301,611 | |||||||||||||||
Expedia, Inc. | 7.46 | 8/15/2018 | 1,249,000 | 1,320,941 | 1,320,429 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Internet | 1,775,000 | 1,871,631 | 1,873,938 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Investment Company Security — 0.3%*: |
| |||||||||||||||||||
Ares Capital Corp. | 3.63 | 1/19/2022 | 120,000 | 120,272 | 121,388 | |||||||||||||||
Ares Capital Corp. | 3.88 | 1/15/2020 | 427,000 | 437,008 | 435,377 | |||||||||||||||
Ares Capital Corp. | 4.88 | 11/30/2018 | 200,000 | 204,505 | 206,995 | |||||||||||||||
FS Investment Corp. | 4.00 | 7/15/2019 | 335,000 | 337,365 | 338,383 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Investment Company Security | 1,082,000 | 1,099,150 | 1,102,143 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
IT Services — 0.9%*: |
| |||||||||||||||||||
Dell International LLC^ | 3.48 | 6/1/2019 | 405,000 | 406,632 | 414,467 | |||||||||||||||
Dell International LLC/EMC Corp.^ | 4.42 | 6/15/2021 | 930,000 | 963,734 | 980,423 | |||||||||||||||
Everett Spinco, Inc.^ | 2.88 | 3/27/2020 | 270,000 | 269,231 | 273,395 |
See accompanying Notes to the Financial Statements.
109
Barings Active Short Duration Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
IT Services (Continued) |
| |||||||||||||||||||
Leidos Holdings, Inc. | 4.45 | % | 12/1/2020 | 1,175,000 | $1,197,547 | $1,227,875 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total IT Services | 2,780,000 | 2,837,144 | 2,896,160 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Leisure Time — 0.5%*: |
| |||||||||||||||||||
Brunswick Corp.^ | 4.63 | 5/15/2021 | 1,476,000 | 1,505,099 | 1,508,062 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Lodging — 0.3%*: |
| |||||||||||||||||||
Marriott International, Inc. | 2.30 | 1/15/2022 | 300,000 | 298,983 | 296,052 | |||||||||||||||
Marriott International, Inc. | 2.88 | 3/1/2021 | 825,000 | 834,648 | 837,171 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Lodging | 1,125,000 | 1,133,631 | 1,133,223 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Machinery-Diversified — 0.5%*: |
| |||||||||||||||||||
CNH Industrial Capital LLC | 3.38 | 7/15/2019 | 945,000 | 955,322 | 960,356 | |||||||||||||||
CNH Industrial Capital LLC | 3.88 | 10/15/2021 | 550,000 | 548,324 | 564,438 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Machinery-Diversified | 1,495,000 | 1,503,646 | 1,524,794 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Media — 0.8%*: |
| |||||||||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 3.58 | 7/23/2020 | 645,000 | 653,649 | 666,527 | |||||||||||||||
Sirius XM Radio, Inc.^ | 3.88 | 8/1/2022 | 338,000 | 338,000 | 340,643 | |||||||||||||||
Sirius XM Radio, Inc.^ | 4.25 | 5/15/2020 | 625,000 | 630,502 | 632,172 | |||||||||||||||
Sirius XM Radio, Inc.^ | 5.75 | 8/1/2021 | 870,000 | 900,220 | 898,275 | |||||||||||||||
Viacom, Inc. | 2.75 | 12/15/2019 | 118,000 | 120,331 | 119,334 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Media | 2,596,000 | 2,642,702 | 2,656,951 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mining — 0.4%*: |
| |||||||||||||||||||
Anglo American Capital PLC+^ | 3.75 | 4/10/2022 | 640,000 | 640,000 | 643,200 | |||||||||||||||
Glencore Finance Canada Ltd.+^ | 2.70 | 10/25/2017 | 630,000 | 630,000 | 630,944 | |||||||||||||||
Glencore Finance Canada Ltd.+^ | 4.25 | 10/25/2022 | 144,000 | 149,839 | 149,180 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Mining | 1,414,000 | 1,419,839 | 1,423,324 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Office/Business Equip — 0.6%*: |
| |||||||||||||||||||
Pitney Bowes, Inc. | 3.38 | 10/1/2021 | 1,685,000 | 1,675,073 | 1,673,711 | |||||||||||||||
Pitney Bowes, Inc. | 4.75 | 5/15/2018 | 200,000 | 204,280 | 204,919 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Office/Business Equip | 1,885,000 | 1,879,353 | 1,878,630 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 0.5%*: |
| |||||||||||||||||||
Concho Resources, Inc. | 5.50 | 10/1/2022 | 1,455,000 | 1,506,098 | 1,493,194 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Packaging and Containers — 0.5%*: |
| |||||||||||||||||||
Graphic Packaging International, Inc. | 4.75 | 4/15/2021 | 1,396,000 | 1,462,973 | 1,467,545 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Pharmaceuticals — 1.8%*: |
| |||||||||||||||||||
AbbVie, Inc. | 1.80 | 5/14/2018 | 1,160,000 | 1,161,811 | 1,161,464 | |||||||||||||||
AbbVie, Inc. | 2.30 | 5/14/2021 | 150,000 | 148,855 | 149,628 | |||||||||||||||
Allergan Funding SCS | 2.35 | 3/12/2018 | 655,000 | 657,064 | 657,734 |
See accompanying Notes to the Financial Statements.
110
Barings Active Short Duration Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Pharmaceuticals (Continued) |
| |||||||||||||||||||
Baxalta, Inc. | 2.00 | % | 6/22/2018 | 705,000 | $704,730 | $706,138 | ||||||||||||||
Express Scripts Holding Co. | 3.30 | 2/25/2021 | 1,275,000 | 1,290,633 | 1,313,134 | |||||||||||||||
Express Scripts Holding Co. | 4.75 | 11/15/2021 | 250,000 | 276,627 | 270,161 | |||||||||||||||
Shire Acquisitions Investments Ireland DAC | 2.40 | 9/23/2021 | 290,000 | 289,733 | 286,618 | |||||||||||||||
Teva Pharmaceutical Finance Netherlands III B.V.+ | 2.20 | 7/21/2021 | 1,440,000 | 1,430,168 | 1,413,589 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Pharmaceuticals | 5,925,000 | 5,959,621 | 5,958,466 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Real Estate Investment Trusts — 1.9%*: |
| |||||||||||||||||||
American Tower Corp. | 2.25 | 1/15/2022 | 330,000 | 329,595 | 321,774 | |||||||||||||||
American Tower Corp. | 3.30 | 2/15/2021 | 530,000 | 537,230 | 543,846 | |||||||||||||||
American Tower Corp. | 4.50 | 1/15/2018 | 300,000 | 303,779 | 304,110 | |||||||||||||||
Crown Castle International Corp. | 3.40 | 2/15/2021 | 972,000 | 1,000,889 | 998,096 | |||||||||||||||
DDR Corp. | 3.50 | 1/15/2021 | 890,000 | 903,662 | 901,146 | |||||||||||||||
DDR Corp. | 4.75 | 4/15/2018 | 445,000 | 452,988 | 453,709 | |||||||||||||||
DDR Corp. MTN | 7.50 | 7/15/2018 | 31,000 | 32,614 | 32,598 | |||||||||||||||
Digital Realty Trust LP | 3.40 | 10/1/2020 | 385,000 | 388,381 | 393,647 | |||||||||||||||
Duke Realty LP | 3.88 | 2/15/2021 | 100,000 | 102,656 | 103,953 | |||||||||||||||
Healthcare Trust of America Holdings LP | 2.95 | 7/1/2022 | 370,000 | 369,773 | 370,110 | |||||||||||||||
Highwoods Realty LP | 7.50 | 4/15/2018 | 370,000 | 385,011 | 385,102 | |||||||||||||||
Simon Property Group LP | 2.35 | 1/30/2022 | 955,000 | 949,710 | 946,315 | |||||||||||||||
Weyerhaeuser Co. | 7.38 | 10/1/2019 | 315,000 | 344,630 | 349,423 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total REITS | 5,993,000 | 6,100,918 | 6,103,829 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Retail — 1.4%*: |
| |||||||||||||||||||
AutoNation, Inc. | 3.35 | 1/15/2021 | 935,000 | 941,590 | 951,931 | |||||||||||||||
CVS Health Corp. | 2.13 | 6/1/2021 | 1,245,000 | 1,238,146 | 1,229,821 | |||||||||||||||
Dollar Tree, Inc. | 5.75 | 3/1/2023 | 1,610,000 | 1,698,389 | 1,699,033 | |||||||||||||||
QVC, Inc. | 3.13 | 4/1/2019 | 657,000 | 666,481 | 664,280 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Retail | 4,447,000 | 4,544,606 | 4,545,065 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Semiconductors — 1.0%*: |
| |||||||||||||||||||
Analog Devices, Inc. | 2.50 | 12/5/2021 | 250,000 | 249,094 | 250,226 | |||||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd.^ | 3.00 | 1/15/2022 | 1,245,000 | 1,242,092 | 1,256,128 | |||||||||||||||
KLA-Tencor Corp. | 2.38 | 11/1/2017 | 390,000 | 390,478 | 390,909 | |||||||||||||||
KLA-Tencor Corp. | 3.38 | 11/1/2019 | 427,000 | 436,581 | 439,029 | |||||||||||||||
NXP BV/NXP Funding LLC^ | 4.13 | 6/1/2021 | 970,000 | 988,598 | 1,021,410 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Semiconductors | 3,282,000 | 3,306,843 | 3,357,702 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Telecommunications — 1.0%*: |
| |||||||||||||||||||
Hughes Satellite Systems Corp. | 6.50 | 6/15/2019 | 1,412,000 | 1,512,656 | 1,524,960 | |||||||||||||||
Telefonaktiebolaget LM Ericsson+ | 4.13 | 5/15/2022 | 1,570,000 | 1,608,695 | 1,599,548 | |||||||||||||||
Verizon Communications, Inc. | 1.75 | 8/15/2021 | 290,000 | 288,957 | 280,502 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Telecommunications | 3,272,000 | 3,410,308 | 3,405,010 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
111
Barings Active Short Duration Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Transportation — 1.3%*: |
| |||||||||||||||||||
Asciano Finance Ltd.+^ | 5.00 | % | 4/7/2018 | 970,000 | $986,205 | $987,695 | ||||||||||||||
PT Penske Truck Leasing Co. LP/L Finance Corp.^ | 2.50 | 6/15/2019 | 285,000 | 282,351 | 286,450 | |||||||||||||||
PT Penske Truck Leasing Co. LP/L Finance Corp.^ | 3.05 | 1/9/2020 | 590,000 | 597,914 | 601,568 | |||||||||||||||
PT Penske Truck Leasing Co. LP/L Finance Corp.^ | 3.20 | 7/15/2020 | 135,000 | 134,939 | 138,451 | |||||||||||||||
PT Penske Truck Leasing Co. LP/L Finance Corp.^ | 3.30 | 4/1/2021 | 240,000 | 246,229 | 246,556 | |||||||||||||||
PT Penske Truck Leasing Co. LP/L Finance Corp.^ | 3.38 | 2/1/2022 | 80,000 | 81,328 | 81,951 | |||||||||||||||
PT Penske Truck Leasing Co. LP/L Finance Corp.^ | 4.88 | 7/11/2022 | 200,000 | 217,723 | 218,485 | |||||||||||||||
Ryder System, Inc. | 2.25 | 9/1/2021 | 575,000 | 570,402 | 567,668 | |||||||||||||||
Ryder System, Inc. | 2.45 | 9/3/2019 | 200,000 | 202,976 | 201,819 | |||||||||||||||
Ryder System, Inc. | 2.50 | 3/1/2018 | 250,000 | 250,283 | 251,278 | |||||||||||||||
Ryder System, Inc. | 2.55 | 6/1/2019 | 185,000 | 184,755 | 186,923 | |||||||||||||||
Ryder System, Inc. | 2.88 | 9/1/2020 | 310,000 | 310,530 | 313,447 | |||||||||||||||
TTX Co.^ | 2.25 | 2/1/2019 | 250,000 | 249,829 | 250,137 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Transportation | 4,270,000 | 4,315,464 | 4,332,428 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Trucking and Leasing — 0.7%*: |
| |||||||||||||||||||
Aviation Capital Group Corp.^ | 2.88 | 9/17/2018 | 1,265,000 | 1,271,683 | 1,277,177 | |||||||||||||||
Aviation Capital Group Corp.^ | 6.75 | 4/6/2021 | 200,000 | 217,261 | 226,969 | |||||||||||||||
GATX Corp. | 2.60 | 3/30/2020 | 685,000 | 679,220 | 692,093 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Trucking and Leasing | 2,150,000 | 2,168,164 | 2,196,239 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Corporate Bonds | 141,524,000 | 144,263,497 | 144,893,863 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mortgage-Backed Securities — 2.1%*: |
| |||||||||||||||||||
Banc of America Commercial Mortgage Trust 2007-4 AM | 6.16 | # | 2/10/2051 | 83,656 | 89,275 | 83,683 | ||||||||||||||
Banc of America Commercial Mortgage Trust 2008-1 A1A | 6.42 | # | 2/10/2051 | 565,872 | 590,993 | 571,923 | ||||||||||||||
Banc of America Commercial Mortgage Trust 2008-1 A4 | 6.47 | # | 2/10/2051 | 148,475 | 161,261 | 149,705 | ||||||||||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17 AM | 5.92 | # | 6/11/2050 | 160,000 | 171,623 | 160,339 | ||||||||||||||
COMM Mortgage Trust 2014-UBS2 B | 4.70 | 3/10/2047 | 600,000 | 644,108 | 636,176 | |||||||||||||||
Fannie Mae Connecticut Avenue Securities CAS 2015-C04 1M1 | 2.82 | # | 4/25/2028 | 19,813 | 19,813 | 19,843 | ||||||||||||||
Fannie Mae Connecticut Avenue Securities CAS 2016-C04 1M1 | 2.67 | # | 1/25/2029 | 672,314 | 674,742 | 680,128 | ||||||||||||||
Fannie Mae Connecticut Avenue Securities CAS 2016-C05 2M1 | 2.57 | # | 1/25/2029 | 671,235 | 672,997 | 676,556 |
See accompanying Notes to the Financial Statements.
112
Barings Active Short Duration Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Mortgage-Backed Securities (Continued) | ||||||||||||||||||||
Fannie Mae Connecticut Avenue Securities CAS 2016-C06 1M1 | 2.52 | #% | 4/25/2029 | 548,245 | $548,246 | $555,246 | ||||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA1 M1 | 2.67 | # | 7/25/2028 | 106,708 | 106,708 | 107,105 | ||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP7 AM | 6.14 | # | 4/17/2045 | 4,888 | 5,068 | 4,888 | ||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC18 AM | 5.47 | # | 6/12/2047 | 241,186 | 247,014 | 241,004 | ||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC20 AM | 6.24 | # | 2/12/2051 | 179,869 | 195,152 | 180,995 | ||||||||||||||
ML-CFC Commercial Mortgage Trust 2007-9 AM | 5.86 | # | 9/12/2049 | 450,000 | 467,617 | 453,428 | ||||||||||||||
Morgan Stanley Capital I Trust 2008-TOP29 A4 | 6.50 | # | 1/11/2043 | 161,013 | 175,848 | 163,339 | ||||||||||||||
New Residential Mortgage Loan Trust 2016-4A A1^ | 3.75 | # | 11/25/2056 | 529,961 | 545,894 | 545,051 | ||||||||||||||
Shellpoint Co-Originator Trust 2016-1 2A3^ | 3.00 | # | 10/25/2031 | 982,318 | 992,709 | 988,227 | ||||||||||||||
Velocity Commercial Capital Loan Trust 2016-2 AFX | 3.00 | # | 10/25/2046 | 444,518 | 444,519 | 444,570 | ||||||||||||||
Wachovia Bank Commercial Mortgage Trust 2007-C33 A1A | 6.17 | # | 2/15/2051 | 51,025 | 54,816 | 50,984 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Mortgage-Backed Securities | 6,621,096 | 6,808,403 | 6,713,190 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
U.S. Treasury & Government Agencies — 18.6%*: |
| |||||||||||||||||||
Federal Home Loan Mortgage Corp. | 1.61 | # | 9/15/2042 | 397,878 | 395,916 | 398,199 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 1.64 | # | 10/15/2040 | 436,955 | 436,549 | 439,263 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 3.50 | 6/15/2042 | 477,026 | 501,542 | 495,177 | |||||||||||||||
Federal Home Loan Mortgage Corp. | 4.00 | 3/15/2040 | 398,215 | 424,456 | 416,255 | |||||||||||||||
Federal National Mortgage Association | 2.00 | 9/25/2040 | 2,584,194 | 2,540,738 | 2,541,764 | |||||||||||||||
Federal National Mortgage Association | 3.00 | 9/25/2042 | 3,558,276 | 3,649,199 | 3,639,682 | |||||||||||||||
Federal National Mortgage Association | 3.00 | 2/25/2043 | 3,152,612 | 3,240,052 | 3,224,331 | |||||||||||||||
Federal National Mortgage Association | 3.00 | 10/25/2045 | 3,131,467 | 3,205,662 | 3,192,171 | |||||||||||||||
Federal National Mortgage Association REMICS 2012-111 EC | 2.00 | 12/25/2041 | 1,068,371 | 1,071,613 | 1,052,016 | |||||||||||||||
Federal National Mortgage Association REMICS 2015-58 JP | 2.50 | 3/25/2037 | 81,948 | 83,646 | 82,482 | |||||||||||||||
Federal National Mortgage Association REMICS 2015-62 VA | 4.00 | 10/25/2026 | 124,353 | 133,419 | 133,558 | |||||||||||||||
Federal National Mortgage Association REMICS 2016-62 FA | 1.72 | # | 9/25/2046 | 897,408 | 897,408 | 906,282 | ||||||||||||||
Federal National Mortgage Association REMICS 2016-62 FC | 1.72 | # | 9/25/2046 | 618,781 | 618,395 | 621,602 | ||||||||||||||
Federal National Mortgage Association REMICS 2016-74 GF | 1.72 | # | 10/25/2046 | 818,437 | 818,437 | 824,112 | ||||||||||||||
U.S. Treasury Note | 0.75 | 10/31/2018 | 2,000,000 | 1,986,958 | 1,984,532 |
See accompanying Notes to the Financial Statements.
113
Barings Active Short Duration Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
U.S. Treasury & Government Agencies (Continued) |
| |||||||||||||||||||
U.S. Treasury Note(1) | 0.88 | % | 7/31/2019 | 8,600,000 | $8,592,056 | $8,508,625 | ||||||||||||||
U.S. Treasury Note | 1.25 | 3/31/2019 | 17,700,000 | 17,707,910 | 17,661,980 | |||||||||||||||
U.S. Treasury Note | 1.50 | 6/15/2020 | 2,200,000 | 2,199,064 | 2,196,907 | |||||||||||||||
U.S. Treasury Note | 1.63 | 3/15/2020 | 11,500,000 | 11,560,636 | 11,536,386 | |||||||||||||||
U.S. Treasury Note | 1.88 | 3/31/2022 | 500,000 | 502,464 | 500,293 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total U.S. Treasury & Government Agencies |
| 60,245,921 | 60,566,120 | 60,355,617 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Fixed Income | 312,969,886 | 316,372,585 | 317,283,127 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
STRIKE PRICE | EXPIRATION DATE | NOTIONAL | COST | FAIR VALUE | ||||||||||||||||
Purchased Options — 0.2%*: | ||||||||||||||||||||
Call Option Purchased — 0.1%*: | ||||||||||||||||||||
OTC – BCM Swaption with JPMorgan Chase Bank, N.A. | $2.60 | 1/11/2022 | 1,488,000 | 193,961 | 157,427 | |||||||||||||||
Put Options Purchased — 0.1%*: | ||||||||||||||||||||
OTC – BCM Swaption with JPMorgan Chase Bank, N.A. | 2.60 | 1/11/2022 | 2,480,000 | 323,268 | 295,398 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Purchased Options | 3,968,000 | 517,229 | 452,825 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Short-Term Investments — 1.6%*: | ||||||||||||||||||||
Bank Deposit — 0.7%*: | ||||||||||||||||||||
State Street Bank & Trust Co. Euro Time Deposit | 0.09 | % | 7/3/2017 | 2,286,124 | 2,286,124 | 2,286,124 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Commercial Paper — 0.9%*: | ||||||||||||||||||||
Farming and Agriculture — 0.9%*: | ||||||||||||||||||||
BAT International Finance PLC | Zero Coupon | 7/3/2017 | 3,000,000 | 2,999,775 | 2,999,775 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Short-Term Investments | 5,286,124 | 5,285,899 | 5,285,899 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Investments | 322,224,010 | 322,175,713 | 323,021,851 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Other assets and liabilities — 0.3%* | 966,356 | |||||||||||||||||||
|
| |||||||||||||||||||
Net Assets — 100.0% | $323,988,207 | |||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements.
114
Barings Active Short Duration Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
MTN | Medium Term Note | |
OTC | Over the Counter |
(1) | All or a portion of this security is held for swaps collateral. |
‡‡ | Unless otherwise indicated, all principal amounts are denominated in United States Dollars. |
* | Calculated as a percentage of net assets applicable to common shareholders. |
+ | Foreign security. |
Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:
United States | 87.8% | |||
Japan | 1.8% | |||
United Kingdom | 1.6% | |||
France | 1.0% | |||
Switzerland | 1.0% | |||
Other (Individually less than 1%) | 6.8% | |||
|
| |||
Total | 100.0% | |||
|
|
^ | Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers. |
¤ | For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 2). |
# | Variable rate security. The interest rate shown is the rate in effect at June 30, 2017. |
A summary of outstanding derivatives at June 30, 2017 is as follows:
Futures
TYPE | EXPIRATION DATE | CONTRACTS | POSITION | FAIR VALUE | UNREALIZED DEPRECIATION | |||||||||||||||
Long Future |
| |||||||||||||||||||
U.S. 10-Year Treasury Note | 09/20/17 | 305 | Long | $ | 38,287,031 | $ | (82,169) | |||||||||||||
|
| |||||||||||||||||||
TYPE | EXPIRATION DATE | CONTRACTS | POSITION | FAIR VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Short Futures |
| |||||||||||||||||||
U.S. 10-Year Ultra Bond | 09/20/17 | 127 | Short | $ | 17,121,187 | $ | 33,214 | |||||||||||||
U.S. 2-Year Treasury Note | 09/29/17 | 10 | Short | 2,161,094 | 344 | |||||||||||||||
U.S. 5-Year Treasury Note | 09/29/17 | 896 | Short | 105,581,000 | 303,350 | |||||||||||||||
U.S. Long Bond | 09/20/17 | 4 | Short | 614,750 | (4,357 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total Short Futures | $ | 332,551 | ||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements.
115
Barings Active Short Duration Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
OTC Credit Default Swaps – Sell Protection(1)(2)
REFERENCE OBLIGATION | FIXED-DEAL RECEIVED RATE | MATURITY DATE | COUNTERPARTY | ORIGINAL NOTIONAL AMOUNT | CURRENT NOTIONAL AMOUNT(3) | UPFRONT PREMIUMS PAID/ (RECEIVED) | FAIR VALUE(4) | UNREALIZED DEPRECIATION | ||||||||||||||||||||||
CMBX.NA.BBB-.6† | 3.00 | % | 11/17/2045 | JPMorgan Chase Bank N.A. | 230,000 | 230,000 | $ | 534 | $ | (26,856 | ) | $ | (27,390 | ) | ||||||||||||||||
CMBX.NA.BBB-.6† | 3.00 | % | 5/11/2063 | Goldman Sachs & Co. | 290,000 | 290,000 | (21,878 | ) | (33,862 | ) | (11,984 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total OTC Credit Default Swaps | $ | (21,344 | ) | $ | (60,718 | ) | $ | (39,374 | ) | |||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Credit Default Swap – Buy Protection
REFERENCE OBLIGATION | FIXED-DEAL RECEIVED RATE | MATURITY DATE | ORIGINAL NOTIONAL AMOUNT | CURRENT NOTIONAL AMOUNT(3) | UPFRONT PREMIUMS PAID/ (RECEIVED) | FAIR VALUE(4) | UNREALIZED DEPRECIATION | |||||||||||||||||||
CDX.NA.IG.28 | 1.00% | 6/20/2022 | 2,310,000 | 2,310,000 | $ | (33,554 | ) | $ | (42,000 | ) | $ | (8,446 | ) | |||||||||||||
|
|
|
|
|
|
|
|
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | Represents an investment grade index of single name credit default swaps (CDS). All of the companies underlying the single name CDS within the index are rated investment grade or higher. Rating represents a weighted average of the credit ratings of all the companies underlying the single name CDS within the index. |
(3) | The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit event as defined under the terms of that particular swap agreement. |
(4) | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the expected amount paid or received for the credit derivative if the amount of the swap agreement was closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreements. |
† | Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index. |
Abbreviation Legend
OTC | Over the Counter |
See accompanying Notes to the Financial Statements.
116
Barings Total Return Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Fixed Income — 87.8%*: | ||||||||||||||||||||
Asset-Backed Securities — 26.8%*: | ||||||||||||||||||||
CDO/CLO — 4.1%*: | ||||||||||||||||||||
ALM Loan Funding VII 2012-7A A1R^ | 2.64 | #% | 10/15/2028 | 250,000 | $250,000 | $251,556 | ||||||||||||||
ALM XIV Ltd. 2014-14A A1R^ | 2.32 | # | 7/28/2026 | 250,000 | 250,000 | 250,650 | ||||||||||||||
Carlyle Global Market Strategies CLO Ltd. 2014-4A A1R^ | 2.36 | # | 10/15/2026 | 250,000 | 250,000 | 250,142 | ||||||||||||||
LCM XXIII Ltd. 23A A1^ | 2.56 | # | 10/20/2029 | 250,000 | 250,000 | 251,934 | ||||||||||||||
Madison Park Funding XIV Ltd. 2014-14A A1R^ | 2.28 | # | 7/20/2026 | 250,000 | 250,000 | 250,106 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total CDO/CLO | 1,250,000 | 1,250,000 | 1,254,388 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Other Asset-Backed Securities — 22.7%*: | ||||||||||||||||||||
Access Group, Inc. 2006-1 B | 1.64 | # | 8/25/2037 | 95,488 | 83,534 | 89,659 | ||||||||||||||
Access Group, Inc. 2015-1 A^ | 1.92 | # | 7/25/2056 | 67,754 | 66,273 | 67,316 | ||||||||||||||
Access Group, Inc. 2015-1 B^ | 2.72 | # | 7/25/2058 | 100,000 | 86,408 | 85,598 | ||||||||||||||
AccessLex Institute 2004-A A3 | 2.29 | # | 7/1/2039 | 100,000 | 98,094 | 98,383 | ||||||||||||||
American Credit Acceptance Receivables Trust 2016-1A^ | 2.37 | 5/12/2020 | 4,723 | 4,723 | 4,725 | |||||||||||||||
Arbys Funding LLC 2015-1A A2^ | 4.97 | 10/30/2045 | 39,400 | 39,400 | 39,474 | |||||||||||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates Series 2004-W10 | 2.12 | # | 10/25/2034 | 56,749 | 51,513 | 54,213 | ||||||||||||||
Asset Backed Securities Corp. Home Equity Loan Trust 2005-HE1 M1 | 1.97 | # | 3/25/2035 | 75,137 | 74,690 | 76,141 | ||||||||||||||
CKE Restaurant Holdings, Inc. 2013-1A A2^ | 4.47 | 3/20/2043 | 118,560 | 121,357 | 118,327 | |||||||||||||||
CLI Funding V LLC 2013-2A^ | 3.22 | 6/18/2028 | 56,427 | 55,779 | 55,919 | |||||||||||||||
CLI Funding VI LLC 2016 1A A^ | 4.21 | 2/18/2041 | 76,493 | 76,485 | 76,811 | |||||||||||||||
College Loan Corp. Trust I 2005-2 B | 1.65 | # | 1/15/2037 | 109,269 | 96,167 | 99,870 | ||||||||||||||
CPS Auto Receivables Trust 2013-A A^ | 1.31 | 6/15/2020 | 35,321 | 35,226 | 35,237 | |||||||||||||||
Credit Suisse ABS Repackaging Trust 2013-A B^ | 2.50 | 1/25/2030 | 34,247 | 32,681 | 32,098 | |||||||||||||||
CWABS Asset-Backed Certificates Trust 2005-4 MV5 | 1.89 | # | 10/25/2035 | 60,000 | 53,921 | 56,764 | ||||||||||||||
DB Master Finance LLC 2015-1A A2I^ | 3.26 | 2/20/2045 | 97,750 | 97,779 | 98,336 | |||||||||||||||
DB Master Finance LLC 2015-1A A2II^ | 3.98 | 2/20/2045 | 48,875 | 49,876 | 50,063 | |||||||||||||||
Diamond Resorts Owner Trust 2013-2 A^ | 2.27 | 5/20/2026 | 37,493 | 37,263 | 37,293 | |||||||||||||||
Diamond Resorts Owner Trust 2015-1 A^ | 2.73 | 7/20/2027 | 32,402 | 32,399 | 32,193 | |||||||||||||||
Diamond Resorts Owner Trust 2016-1 B^ | 3.37 | 11/20/2028 | 101,753 | 101,735 | 101,041 | |||||||||||||||
Domino’s Pizza Master Issuer LLC 2015 1A-A2I^ | 3.48 | 10/25/2045 | 59,250 | 59,250 | 59,838 | |||||||||||||||
Domino’s Pizza Master Issuer LLC 2015-1A A2II^ | 4.47 | 10/25/2045 | 59,250 | 59,250 | 61,037 | |||||||||||||||
DRB Prime Student Loan Trust 2015-B^ | 3.12 | # | 10/27/2031 | 55,595 | 55,496 | 56,614 | ||||||||||||||
DRB Prime Student Loan Trust 2016-R^¤ | 3.07 | 10/25/2044 | 92,278 | 92,261 | 92,601 | |||||||||||||||
DRB Prime Student Loan Trust 2016-R A1^¤ | 3.12 | # | 10/25/2044 | 91,877 | 91,877 | 92,198 | ||||||||||||||
Drive Auto Receivables Trust 2016-BA^ | 2.56 | 6/15/2020 | 20,000 | 19,999 | 20,066 | |||||||||||||||
Drug Royalty Corp Inc. 2012-1 A1^ | 6.13 | # | 7/15/2024 | 18,718 | 19,192 | 18,954 | ||||||||||||||
Earnest Student Loan Program LLC 2016-C A1^ | 3.07 | # | 10/27/2036 | 78,325 | 78,326 | 78,325 | ||||||||||||||
ECMC Group Student Loan Trust 2016-1A A^ | 2.57 | # | 7/26/2066 | 86,803 | 86,803 | 87,263 | ||||||||||||||
Element Rail Leasing II LLC 2015-1A A1+^ | 2.71 | 2/19/2045 | 66,450 | 64,215 | 65,465 |
See accompanying Notes to the Financial Statements.
117
Barings Total Return Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Asset-Backed Securities (Continued) | ||||||||||||||||||||
Other Asset-Backed Securities (Continued) | ||||||||||||||||||||
Entegry New Orleans Storm Recovery Funding I LLC 2015-1 A | 2.67 | % | 6/1/2027 | 83,251 | $83,233 | $84,073 | ||||||||||||||
First Franklin Mortgage Loan Trust 2004-FFH4 | 2.94 | # | 1/25/2035 | 50,000 | 49,815 | 50,099 | ||||||||||||||
First Franklin Mortgage Loan Trust 2005 FF3 M3 | 1.94 | # | 4/25/2035 | 31,173 | 31,022 | 31,174 | ||||||||||||||
Flagship Credit Auto Trust 2016-2 A2^ | 3.05 | 8/16/2021 | 60,000 | 59,997 | 60,535 | |||||||||||||||
Flagship Credit Auto Trust 2016-4 C^ | 2.71 | 11/15/2022 | 40,000 | 39,998 | 39,740 | |||||||||||||||
FNA Trust 2015-1 A^ | 3.24 | 12/10/2023 | 25,851 | 25,872 | 25,719 | |||||||||||||||
Goodgreen Trust 2017-1A^¤ | 3.74 | 10/15/2052 | 99,285 | 99,239 | 100,374 | |||||||||||||||
GSAMP Trust 2005-SEA2 A1^ | 1.57 | # | 1/25/2045 | 10,102 | 9,715 | 10,066 | ||||||||||||||
Helios Issuer LLC 2017-1A A^ | 4.94 | 9/20/2049 | 100,000 | 99,953 | 99,898 | |||||||||||||||
HERO Funding Trust 2015-1A^ | 3.84 | 9/21/2040 | 120,426 | 122,651 | 122,835 | |||||||||||||||
J.G. Wentworth XXXV LLC 2015-2A A^ | 3.87 | 3/15/2058 | 48,408 | 48,371 | 48,535 | |||||||||||||||
Mariner Finance Issuance Trust 2017-AA A^ | 3.62 | 2/20/2029 | 100,000 | 99,981 | 100,775 | |||||||||||||||
Marlette Funding Trust 2016-1A A^ | 3.06 | 1/17/2023 | 44,905 | 44,960 | 44,830 | |||||||||||||||
Marlette Funding Trust 2017-2A B^ | 3.19 | 7/15/2024 | 100,000 | 99,992 | 99,991 | |||||||||||||||
Miramax LLC 2014-1A A2^ | 3.34 | 7/20/2026 | 56,680 | 57,031 | 56,431 | |||||||||||||||
Montana Higher Education Student Assistance Corp. 2012-1 A3 | 2.26 | # | 7/20/2043 | 150,000 | 145,157 | 147,195 | ||||||||||||||
Navient Student Loan Trust 2016-6 A3^ | 2.52 | # | 3/25/2066 | 290,000 | 290,000 | 296,195 | ||||||||||||||
Navient Student Loan Trust 2017-1A A3^ | 2.37 | # | 7/26/2066 | 120,000 | 120,000 | 120,000 | ||||||||||||||
Nelnet Private Education Loan Trust 2016-A A1B^ | 3.60 | 12/26/2040 | 83,254 | 82,707 | 83,217 | |||||||||||||||
New Residential Advance Receivables Trust Advance Receivables Backed Notes 2016-T2 AT2^ | 2.58 | 10/15/2049 | 250,000 | 250,000 | 248,378 | |||||||||||||||
Northstar Education Finance, Inc. 2005-1 A5 | 1.92 | # | 10/30/2045 | 26,554 | 25,435 | 26,303 | ||||||||||||||
NovaStar Mortgage Funding Trust 2004-4 M5 | 2.94 | # | 3/25/2035 | 100,000 | 99,969 | 100,965 | ||||||||||||||
NRZ Advance Receivables Trust 2016-T4 AT4^ | 3.11 | 12/15/2050 | 100,000 | 100,000 | 98,638 | |||||||||||||||
NRZ Advance Receivables Trust Advance Receivables Backed 2016-T3 AT3^ | 2.83 | 10/16/2051 | 230,000 | 230,000 | 227,405 | |||||||||||||||
OnDeck Asset Securitization Trust II LLC 2016-1A A^ | 4.21 | 5/17/2020 | 100,000 | 99,973 | 99,528 | |||||||||||||||
OneMain Financial Issuance Trust 2014-2A A^ | 2.47 | 9/18/2024 | 34,523 | 34,627 | 34,568 | |||||||||||||||
OSCAR US Funding Trust V 2016-2A A4+^ | 2.99 | 12/15/2023 | 130,000 | 129,149 | 129,507 | |||||||||||||||
Oscar US Funding Trust VI LLC 2017-1A A4+^ | 3.30 | 5/10/2024 | 30,000 | 29,994 | 30,238 | |||||||||||||||
Popular ABS Mortgage Pass-Through Trust 2006-B A3 | 1.50 | # | 5/25/2036 | 50,289 | 48,305 | 50,186 | ||||||||||||||
Sierra Timeshare Receivables Funding LLC 2015-2A B^ | 3.02 | 6/20/2032 | 32,624 | 32,618 | 32,731 | |||||||||||||||
SLC Private Student Loan Trust 2006-A A5 | 1.33 | # | 7/15/2036 | 30,604 | 30,431 | 30,604 | ||||||||||||||
SLC Private Student Loan Trust 2006-A C | 1.61 | # | 7/15/2036 | 140,000 | 124,941 | 130,222 | ||||||||||||||
SLC Student Loan Trust 2005-1 B | 1.38 | # | 2/15/2045 | 102,545 | 88,035 | 94,349 | ||||||||||||||
SLM Student Loan Trust 2002-7 A11 | 1.38 | # | 3/15/2028 | 50,000 | 49,425 | 49,999 | ||||||||||||||
SLM Student Loan Trust 2002-7 B | 4.53 | # | 12/15/2039 | 80,000 | 80,062 | 79,224 | ||||||||||||||
SLM Student Loan Trust 2003-2 A9 | 1.38 | # | 9/15/2028 | 100,000 | 99,761 | 99,993 | ||||||||||||||
SLM Student Loan Trust 2003-4 B | 1.90 | # | 6/15/2038 | 73,475 | 67,364 | 68,618 | ||||||||||||||
SLM Student Loan Trust 2005-4 B | 1.34 | # | 7/25/2055 | 117,260 | 100,570 | 108,823 |
See accompanying Notes to the Financial Statements.
118
Barings Total Return Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Asset-Backed Securities (Continued) | ||||||||||||||||||||
Other Asset-Backed Securities (Continued) | ||||||||||||||||||||
SLM Student Loan Trust 2005-6 B | 1.45 | #% | 1/25/2044 | 58,616 | $54,220 | $55,233 | ||||||||||||||
SLM Student Loan Trust 2006-5 B | 1.37 | # | 10/25/2040 | 126,046 | 110,376 | 116,842 | ||||||||||||||
SMB Private Education Loan Trust 2017-A B^ | 3.50 | 6/17/2041 | 130,000 | 125,993 | 126,469 | |||||||||||||||
SoFi Consumer Loan Program LLC 2016-1A A^ | 3.26 | 8/25/2025 | 69,449 | 69,442 | 70,352 | |||||||||||||||
SoFi Consumer Loan Program LLC 2016-5 A^¤ | 3.06 | 9/25/2028 | 123,695 | 123,292 | 124,990 | |||||||||||||||
SoFi Consumer Loan Program LLC 2017-2 A^ | 3.28 | 2/25/2026 | 87,238 | 87,097 | 86,909 | |||||||||||||||
SoFi Consumer Loan Program Trust 2015-1 A^ | 3.28 | 9/15/2023 | 89,052 | 89,101 | 89,272 | |||||||||||||||
SoFi Professional Loan Program LLC 2017-AC^ | 4.43 | # | 3/26/2040 | 100,000 | 99,472 | 98,855 | ||||||||||||||
South Carolina Student Loan Corp. 2014-1B | 2.55 | # | 8/1/2035 | 100,000 | 98,502 | 92,563 | ||||||||||||||
SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes 2016-T2^ | 2.75 | 11/15/2049 | 100,000 | 99,986 | 100,178 | |||||||||||||||
Taco Bell Funding LLC 2016-1A A23^ | 4.97 | 5/25/2046 | 69,475 | 70,100 | 73,411 | |||||||||||||||
Taco Bell Funding LLC 2016-1A A2I^ | 3.83 | 5/25/2046 | 79,400 | 79,647 | 80,994 | |||||||||||||||
Textainer Marine Containers V Ltd. 2017-1A A+^ | 3.72 | 5/20/2042 | 98,218 | 98,214 | 99,123 | |||||||||||||||
Triton Container Finance VI LLC 2017-1A A^ | 3.52 | 6/20/2042 | 100,000 | 99,982 | 99,845 | |||||||||||||||
Wachovia Student Loan Trust 2005-1 B | 1.46 | # | 10/25/2040 | 81,757 | 74,854 | 74,858 | ||||||||||||||
Welk Resorts LLC 2017-A A B^ | 3.41 | 6/15/2033 | 60,000 | 59,990 | 59,873 | |||||||||||||||
Wendys Funding LLC 2015 1A A2I^ | 3.37 | 6/15/2045 | 127,725 | 127,296 | 128,821 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Other Asset-Backed Securities | 6,968,267 | 6,819,889 | 6,882,371 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Asset-Backed Securities | 8,218,267 | 8,069,889 | 8,136,759 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Corporate Bonds — 30.5%*: | ||||||||||||||||||||
Advertising — 0.1%*: | ||||||||||||||||||||
WPP Finance 2010+ | 5.63 | 11/15/2043 | 35,000 | 38,156 | 40,264 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Aerospace/Defense — 0.0%*: | ||||||||||||||||||||
Spirit AeroSystems, Inc. | 3.85 | 6/15/2026 | 5,000 | 4,996 | 5,047 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Agriculture — 0.2%*: | ||||||||||||||||||||
Bunge Ltd. Finance Corp. | 3.25 | 8/15/2026 | 25,000 | 24,978 | 23,887 | |||||||||||||||
Bunge Ltd. Finance Corp. | 3.50 | 11/24/2020 | 5,000 | 4,997 | 5,126 | |||||||||||||||
Reynolds American, Inc. | 4.45 | 6/12/2025 | 30,000 | 30,562 | 32,141 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Agriculture | 60,000 | 60,537 | 61,154 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Airlines — 0.2%*: | ||||||||||||||||||||
Delta Air Lines, Inc. | 3.63 | 3/15/2022 | 45,000 | 44,994 | 46,197 | |||||||||||||||
WestJet Airlines Ltd.+^ | 3.50 | 6/16/2021 | 14,000 | 13,985 | 14,307 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Airlines | 59,000 | 58,979 | 60,504 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Auto Manufacturers — 0.9%*: | ||||||||||||||||||||
Ford Motor Co. | 7.45 | 7/16/2031 | 10,000 | 12,519 | 12,643 | |||||||||||||||
General Motors Co. | 5.20 | 4/1/2045 | 35,000 | 34,587 | 34,338 | |||||||||||||||
General Motors Financial Co., Inc. | 3.15 | 6/30/2022 | 60,000 | 59,898 | 60,093 | |||||||||||||||
General Motors Financial Co., Inc. | 3.20 | 7/6/2021 | 80,000 | 79,881 | 80,899 | |||||||||||||||
General Motors Financial Co., Inc. | 3.70 | 5/9/2023 | 25,000 | 24,945 | 25,387 |
See accompanying Notes to the Financial Statements.
119
Barings Total Return Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Auto Manufacturers (Continued) | ||||||||||||||||||||
General Motors Financial Co., Inc. | 4.30 | % | 7/13/2025 | 50,000 | $49,698 | $50,998 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Auto Manufacturers | 260,000 | 261,528 | 264,358 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Beverages — 0.2%*: | ||||||||||||||||||||
Anheuser-Busch InBev Worldwide, Inc.+ | 8.20 | 1/15/2039 | 35,000 | 51,930 | 54,228 | |||||||||||||||
Molson Coors Brewing Co. | 4.20 | 7/15/2046 | 10,000 | 9,937 | 9,862 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Beverages | 45,000 | 61,867 | 64,090 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Biotechnology — 0.1%*: | ||||||||||||||||||||
Amgen, Inc. | 5.15 | 11/15/2041 | 25,000 | 26,035 | 27,867 | |||||||||||||||
Gilead Sciences, Inc. | 4.75 | 3/1/2046 | 10,000 | 9,960 | 10,978 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Biotechnology | 35,000 | 35,995 | 38,845 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Chemicals — 0.9%*: | ||||||||||||||||||||
Celanese US Holdings LLC | 4.63 | 11/15/2022 | 25,000 | 26,280 | 26,929 | |||||||||||||||
LYB International Finance B.V. | 5.25 | 7/15/2043 | 35,000 | 35,987 | 39,045 | |||||||||||||||
Monsanto Co. | 4.40 | 7/15/2044 | 15,000 | 14,286 | 15,256 | |||||||||||||||
RPM International, Inc. | 3.75 | 3/15/2027 | 15,000 | 14,980 | 15,243 | |||||||||||||||
RPM International, Inc. | 6.13 | 10/15/2019 | 90,000 | 96,555 | 97,649 | |||||||||||||||
Sherwin-Williams Co. (The) | 4.50 | 6/1/2047 | 15,000 | 14,897 | 15,717 | |||||||||||||||
Westlake Chemical Corp. | 3.60 | 7/15/2022 | 50,000 | 49,597 | 50,894 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Chemicals | 245,000 | 252,582 | 260,733 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Commercial Banks — 3.8%*: | ||||||||||||||||||||
Associated Banc-Corp | 2.75 | 11/15/2019 | 45,000 | 45,148 | 45,334 | |||||||||||||||
Associated Banc-Corp | 4.25 | 1/15/2025 | 70,000 | 70,018 | 71,395 | |||||||||||||||
Banco Santander SA+ | 4.25 | 4/11/2027 | 200,000 | 198,248 | 207,568 | |||||||||||||||
Bank of America Corp. | 4.18 | 11/25/2027 | 65,000 | 65,000 | 66,110 | |||||||||||||||
Bank of America Corp. | 4.24 | # | 4/24/2038 | 40,000 | 40,000 | 41,594 | ||||||||||||||
Bank of America Corp. | 7.63 | 6/1/2019 | 120,000 | 131,735 | 132,321 | |||||||||||||||
Bank of America Corp. MTN | 4.45 | 3/3/2026 | 25,000 | 25,000 | 26,019 | |||||||||||||||
Bank of America Corp. MTN | 5.88 | 2/7/2042 | 25,000 | 28,633 | 31,329 | |||||||||||||||
Bank of Nova Scotia (The)+ | 4.50 | 12/16/2025 | 30,000 | 30,363 | 31,530 | |||||||||||||||
Capital One Financial Corp. | 2.50 | 5/12/2020 | 45,000 | 44,932 | 45,195 | |||||||||||||||
Citigroup, Inc. | 3.88 | 3/26/2025 | 60,000 | 58,578 | 60,371 | |||||||||||||||
Citigroup, Inc. | 4.60 | 3/9/2026 | 45,000 | 44,920 | 47,220 | |||||||||||||||
First Horizon National Corp. | 3.50 | 12/15/2020 | 30,000 | 30,686 | 30,769 | |||||||||||||||
Fulton Financial Corp. | 3.60 | 3/16/2022 | 35,000 | 34,873 | 35,413 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 5.15 | 5/22/2045 | 70,000 | 67,789 | 77,753 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 5.95 | 1/15/2027 | 32,000 | 35,614 | 37,351 | |||||||||||||||
JPMorgan Chase & Co. | 3.63 | 12/1/2027 | 80,000 | 79,868 | 79,181 | |||||||||||||||
JPMorgan Chase & Co. | 4.95 | 6/1/2045 | 40,000 | 39,318 | 44,623 | |||||||||||||||
SVB Financial Group | 3.50 | 1/29/2025 | 40,000 | 39,193 | 39,261 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Commercial Banks | 1,097,000 | 1,109,916 | 1,150,337 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
120
Barings Total Return Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Commercial Services — 0.3%*: | ||||||||||||||||||||
ERAC USA Finance LLC^ | 4.20 | % | 11/1/2046 | 70,000 | $69,473 | $65,891 | ||||||||||||||
ERAC USA Finance LLC^ | 5.63 | 3/15/2042 | 20,000 | 21,523 | 22,713 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Commercial Services | 90,000 | 90,996 | 88,604 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Construction Materials — 0.6%*: | ||||||||||||||||||||
Masco Corp. | 3.50 | 4/1/2021 | 48,000 | 47,875 | 49,295 | |||||||||||||||
Owens Corning | 4.20 | 12/1/2024 | 50,000 | 49,418 | 52,354 | |||||||||||||||
Standard Industries, Inc.^ | 5.00 | 2/15/2027 | 70,000 | 70,000 | 71,400 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Construction Materials | 168,000 | 167,293 | 173,049 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Distribution/Wholesale — 0.1%*: | ||||||||||||||||||||
Ingram Micro, Inc. | 5.45 | 12/15/2024 | 45,000 | 46,133 | 46,240 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified Financial Services — 3.5%*: | ||||||||||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust+ | 3.50 | 5/26/2022 | 150,000 | 149,850 | 153,936 | |||||||||||||||
Affiliated Managers Group, Inc. | 4.25 | 2/15/2024 | 50,000 | 51,247 | 52,336 | |||||||||||||||
Athene Global Funding^ | 4.00 | 1/25/2022 | 145,000 | 144,959 | 150,618 | |||||||||||||||
Brookfield Finance LLC+ | 4.00 | 4/1/2024 | 70,000 | 69,826 | 71,804 | |||||||||||||||
Brookfield Finance, Inc.+ | 4.25 | 6/2/2026 | 60,000 | 59,473 | 61,625 | |||||||||||||||
Discover Financial Services Inc. | 3.75 | 3/4/2025 | 30,000 | 28,984 | 29,642 | |||||||||||||||
Discover Financial Services Inc. | 4.10 | 2/9/2027 | 40,000 | 39,965 | 40,069 | |||||||||||||||
General Electric Co. MTN | 6.88 | 1/10/2039 | 35,000 | 46,594 | 50,733 | |||||||||||||||
Genpact Luxembourg Sarl^ | 3.70 | 4/1/2022 | 55,000 | 54,988 | 55,589 | |||||||||||||||
International Lease Finance Corp. | 6.25 | 5/15/2019 | 145,000 | 154,295 | 155,525 | |||||||||||||||
Lazard Group LLC | 3.63 | 3/1/2027 | 30,000 | 29,878 | 29,632 | |||||||||||||||
Lazard Group LLC | 4.25 | 11/14/2020 | 130,000 | 134,684 | 137,151 | |||||||||||||||
Legg Mason, Inc. | 4.75 | 3/15/2026 | 5,000 | 4,998 | 5,283 | |||||||||||||||
Legg Mason, Inc. | 5.63 | 1/15/2044 | 30,000 | 30,870 | 31,880 | |||||||||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.^ | 4.50 | 3/15/2027 | 25,000 | 24,806 | 26,168 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified Financial Services | 1,000,000 | 1,025,417 | 1,051,991 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Electric — 0.8%*: | ||||||||||||||||||||
Appalachian Power Co. | 6.70 | 8/15/2037 | 30,000 | 37,395 | 39,570 | |||||||||||||||
CMS Energy Corp. | 3.88 | 3/1/2024 | 50,000 | 51,183 | 52,300 | |||||||||||||||
Duke Energy Corp. | 3.75 | 9/1/2046 | 25,000 | 24,986 | 23,750 | |||||||||||||||
Indianapolis Power & Light Co.^ | 4.05 | 5/1/2046 | 45,000 | 44,705 | 44,377 | |||||||||||||||
Puget Sound Energy, Inc. | 4.30 | 5/20/2045 | 30,000 | 30,653 | 32,261 | |||||||||||||||
Southwestern Public Service Co. | 6.00 | 10/1/2036 | 30,000 | 35,507 | 36,893 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Electric | 210,000 | 224,429 | 229,151 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Electrical Components and Equipment — 0.1%*: | ||||||||||||||||||||
Legrand France SA+ | 8.50 | 2/15/2025 | 35,000 | 45,619 | 45,765 | |||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
121
Barings Total Return Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Electronics — 0.4%*: | ||||||||||||||||||||
Agilent Technologies, Inc. | 3.88 | % | 7/15/2023 | 50,000 | $50,498 | $52,309 | ||||||||||||||
Arrow Electronics, Inc. | 3.88 | 1/12/2028 | 25,000 | 24,894 | 24,792 | |||||||||||||||
Avnet, Inc. | 3.75 | 12/1/2021 | 10,000 | 9,980 | 10,162 | |||||||||||||||
FLIR Systems, Inc. | 3.13 | 6/15/2021 | 25,000 | 24,986 | 25,199 | |||||||||||||||
Tech Data Corp. | 3.70 | 2/15/2022 | 20,000 | 19,972 | 20,408 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Electronics | 130,000 | 130,330 | 132,870 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Environmental Control — 0.4%*: | ||||||||||||||||||||
Republic Services, Inc. | 4.75 | 5/15/2023 | 50,000 | 53,591 | 54,965 | |||||||||||||||
Waste Management, Inc. | 7.00 | 7/15/2028 | 50,000 | 64,050 | 65,641 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Environmental Control | 100,000 | 117,641 | 120,606 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Food — 0.3%*: | ||||||||||||||||||||
Kraft Heinz Foods Co. | 3.00 | 6/1/2026 | 20,000 | 19,921 | 19,141 | |||||||||||||||
WhiteWave Foods Co. (The) | 5.38 | 10/1/2022 | 52,000 | 57,856 | 58,655 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Food | 72,000 | 77,777 | 77,796 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Forestry and Paper Products — 0.5%*: | ||||||||||||||||||||
Celulosa Arauco y Constitucion SA+ | 4.75 | 1/11/2022 | 30,000 | 30,948 | 31,231 | |||||||||||||||
Domtar Corp. | 4.40 | 4/1/2022 | 50,000 | 50,653 | 52,545 | |||||||||||||||
International Paper Co. | 9.38 | 5/15/2019 | 73,000 | 81,577 | 82,407 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Forestry and Paper Products | 153,000 | 163,178 | 166,183 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Gas — 0.1%*: | ||||||||||||||||||||
Spire, Inc. | 4.70 | 8/15/2044 | 25,000 | 25,254 | 25,696 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Healthcare-Products — 0.6%*: | ||||||||||||||||||||
Abbott Laboratories | 2.90 | 11/30/2021 | 30,000 | 29,953 | 30,335 | |||||||||||||||
Abbott Laboratories | 3.75 | 11/30/2026 | 20,000 | 19,859 | 20,416 | |||||||||||||||
Abbott Laboratories | 4.90 | 11/30/2046 | 15,000 | 14,884 | 16,522 | |||||||||||||||
Becton Dickinson and Co. | 3.36 | 6/6/2024 | 40,000 | 40,000 | 40,091 | |||||||||||||||
Becton Dickinson and Co. | 3.70 | 6/6/2027 | 40,000 | 40,000 | 40,126 | |||||||||||||||
Becton Dickinson and Co. | 4.69 | 12/15/2044 | 25,000 | 25,948 | 25,747 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Healthcare-Products | 170,000 | 170,644 | 173,237 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Healthcare-Services — 0.3%*: |
| |||||||||||||||||||
Humana, Inc. | 3.95 | 3/15/2027 | 40,000 | 39,952 | 41,686 | |||||||||||||||
Humana, Inc. | 4.80 | 3/15/2047 | 20,000 | 19,981 | 22,040 | |||||||||||||||
UnitedHealth Group, Inc. | 6.88 | 2/15/2038 | 25,000 | 34,399 | 35,510 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Healthcare-Services | 85,000 | 94,332 | 99,236 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Housewares — 0.1%*: |
| |||||||||||||||||||
Toro Co. (The) | 7.80 | 6/15/2027 | 25,000 | 31,535 | 31,318 | |||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
122
Barings Total Return Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Insurance — 2.8%*: |
| |||||||||||||||||||
Allstate Corp. (The) | 5.75 | #% | 8/15/2053 | 110,000 | $116,489 | $120,450 | ||||||||||||||
American International Group, Inc. | 3.90 | 4/1/2026 | 20,000 | 19,991 | 20,460 | |||||||||||||||
Arch Capital Group US, Inc. | 5.14 | 11/1/2043 | 25,000 | 25,305 | 28,212 | |||||||||||||||
Brown & Brown, Inc. | 4.20 | 9/15/2024 | 58,000 | 58,340 | 60,845 | |||||||||||||||
Enstar Group Ltd.+ | 4.50 | 3/10/2022 | 20,000 | 20,000 | 20,634 | |||||||||||||||
Marsh & McLennan Cos., Inc. | 5.88 | 8/1/2033 | 20,000 | 23,031 | 24,733 | |||||||||||||||
MetLife Capital Trust IV^ | 7.88 | 12/15/2037 | 100,000 | 124,920 | 135,010 | |||||||||||||||
Prudential Financial, Inc. | 5.63 | # | 6/15/2043 | 50,000 | 52,529 | 54,937 | ||||||||||||||
Prudential Financial, Inc. | 8.88 | # | 6/15/2038 | 100,000 | 117,102 | 106,281 | ||||||||||||||
Reinsurance Group of America, Inc. | 3.95 | 9/15/2026 | 40,000 | 40,003 | 40,655 | |||||||||||||||
Trinity Acquisition PLC | 4.40 | 3/15/2026 | 55,000 | 56,580 | 57,432 | |||||||||||||||
Unum Group | 3.00 | 5/15/2021 | 20,000 | 19,966 | 20,191 | |||||||||||||||
Unum Group | 3.88 | 11/5/2025 | 25,000 | 24,997 | 25,341 | |||||||||||||||
Unum Group | 4.00 | 3/15/2024 | 30,000 | 30,739 | 30,986 | |||||||||||||||
Willis North America, Inc. | 3.60 | 5/15/2024 | 25,000 | 24,979 | 25,252 | |||||||||||||||
Willis North America, Inc. | 7.00 | 9/29/2019 | 50,000 | 53,909 | 54,966 | |||||||||||||||
XLIT Ltd. | 5.50 | 3/31/2045 | 30,000 | 28,783 | 32,016 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Insurance | 778,000 | 837,663 | 858,401 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Internet — 1.0%*: |
| |||||||||||||||||||
Baidu, Inc.+ | 2.25 | 11/28/2017 | 200,000 | 200,210 | 200,229 | |||||||||||||||
Expedia, Inc. | 5.00 | 2/15/2026 | 40,000 | 39,837 | 43,798 | |||||||||||||||
Expedia, Inc. | 7.46 | 8/15/2018 | 45,000 | 47,477 | 47,574 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Internet | 285,000 | 287,524 | 291,601 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Investment Company Security — 0.2%*: |
| |||||||||||||||||||
Ares Capital Corp. | 3.88 | 1/15/2020 | 30,000 | 30,433 | 30,588 | |||||||||||||||
FS Investment Corp. | 4.00 | 7/15/2019 | 30,000 | 30,323 | 30,303 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Investment Company Security | 60,000 | 60,756 | 60,891 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Iron/Steel — 0.1%*: |
| |||||||||||||||||||
Vale Overseas Ltd.+ | 5.88 | 6/10/2021 | 25,000 | 27,031 | 26,900 | |||||||||||||||
Vale Overseas Ltd.+ | 6.88 | 11/21/2036 | 15,000 | 14,988 | 16,088 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Iron/Steel | 40,000 | 42,019 | 42,988 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
IT Services — 0.7%*: |
| |||||||||||||||||||
Dell International LLC/EMC Corp.^ | 4.42 | 6/15/2021 | 45,000 | 44,990 | 47,440 | |||||||||||||||
Everett Spinco, Inc.^ | 2.88 | 3/27/2020 | 15,000 | 14,957 | 15,189 | |||||||||||||||
Everett Spinco, Inc.^ | 4.25 | 4/15/2024 | 20,000 | 19,907 | 20,692 | |||||||||||||||
Everett Spinco, Inc.^ | 4.75 | 4/15/2027 | 40,000 | 39,958 | 41,707 | |||||||||||||||
Leidos Holdings, Inc. | 4.45 | 12/1/2020 | 75,000 | 76,492 | 78,375 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total IT Services | 195,000 | 196,304 | 203,403 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Media — 0.4%*: |
| |||||||||||||||||||
Comcast Corp. | 3.40 | 7/15/2046 | 20,000 | 19,829 | 18,212 |
See accompanying Notes to the Financial Statements.
123
Barings Total Return Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Media (Continued) | ||||||||||||||||||||
Discovery Communications LLC | 4.88 | % | 4/1/2043 | 25,000 | $22,789 | $23,341 | ||||||||||||||
Time Warner Cable LLC | 4.50 | 9/15/2042 | 60,000 | 49,422 | 57,090 | |||||||||||||||
Time Warner Cable LLC | 5.50 | 9/1/2041 | 35,000 | 32,674 | 37,613 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Media | 140,000 | 124,714 | 136,256 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mining — 0.2%*: |
| |||||||||||||||||||
Glencore Funding LLC+^ | 4.00 | 4/16/2025 | 50,000 | 49,935 | 50,020 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Miscellaneous Manufacturing — 0.4%*: |
| |||||||||||||||||||
Carlisle Cos., Inc. | 3.75 | 11/15/2022 | 50,000 | 50,157 | 50,417 | |||||||||||||||
Textron, Inc. | 3.65 | 3/15/2027 | 15,000 | 14,981 | 15,059 | |||||||||||||||
Textron, Inc. | 4.30 | 3/1/2024 | 50,000 | 51,164 | 53,095 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Miscellaneous Manufacturing | 115,000 | 116,302 | 118,571 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Office/Business Equip — 0.4%*: |
| |||||||||||||||||||
Pitney Bowes, Inc. | 3.38 | 10/1/2021 | 115,000 | 114,728 | 114,229 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 1.4%*: |
| |||||||||||||||||||
Anadarko Petroleum Corp. | 5.55 | 3/15/2026 | 20,000 | 19,944 | 22,350 | |||||||||||||||
Cimarex Energy Co. | 3.90 | 5/15/2027 | 15,000 | 14,963 | 15,082 | |||||||||||||||
Encana Corp.+ | 6.50 | 2/1/2038 | 15,000 | 17,074 | 17,058 | |||||||||||||||
Marathon Petroleum Corp. | 6.50 | 3/1/2041 | 30,000 | 33,280 | 34,647 | |||||||||||||||
Nabors Industries, Inc.^ | 5.50 | 1/15/2023 | 35,000 | 36,024 | 33,162 | |||||||||||||||
Newfield Exploration Co. | 5.38 | 1/1/2026 | 140,000 | 139,875 | 144,900 | |||||||||||||||
PBF Holding Co. LLC/PBF Finance Corp. | 7.00 | 11/15/2023 | 25,000 | 25,568 | 24,625 | |||||||||||||||
Petroleos Mexicanos+ | 5.50 | 1/21/2021 | 55,000 | 58,395 | 57,695 | |||||||||||||||
Petroleos Mexicanos+^ | 6.50 | 3/13/2027 | 15,000 | 14,869 | 16,114 | |||||||||||||||
Pioneer Natural Resources Co. | 7.50 | 1/15/2020 | 50,000 | 55,206 | 56,273 | |||||||||||||||
Rowan Cos., Inc. | 4.88 | 6/1/2022 | 8,000 | 7,987 | 7,420 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Oil and Gas | 408,000 | 423,185 | 429,326 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas Services — 0.5%*: |
| |||||||||||||||||||
National Oilwell Varco, Inc. | 2.60 | 12/1/2022 | 33,000 | 31,241 | 31,908 | |||||||||||||||
National Oilwell Varco, Inc. | 3.95 | 12/1/2042 | 37,000 | 30,448 | 30,525 | |||||||||||||||
SESI LLC | 7.13 | 12/15/2021 | 32,000 | 33,408 | 30,480 | |||||||||||||||
Weatherford International Ltd. | 5.95 | 4/15/2042 | 30,000 | 25,186 | 23,400 | |||||||||||||||
Weatherford International Ltd. | 6.00 | 3/15/2018 | 50,000 | 50,813 | 50,375 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Oil and Gas Services | 182,000 | 171,096 | 166,688 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Packaging and Containers — 0.3%*: |
| |||||||||||||||||||
Brambles USA, Inc.+^ | 4.13 | 10/23/2025 | 10,000 | 9,979 | 10,257 | |||||||||||||||
Brambles USA, Inc.+^ | 5.35 | 4/1/2020 | 50,000 | 53,165 | 53,643 | |||||||||||||||
Sonoco Products Co. | 4.38 | 11/1/2021 | 41,000 | 42,953 | 43,345 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Packaging and Containers | 101,000 | 106,097 | 107,245 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
124
Barings Total Return Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Pharmaceuticals — 1.5%*: |
| |||||||||||||||||||
AbbVie, Inc. | 3.20 | % | 5/14/2026 | 35,000 | $34,879 | $34,587 | ||||||||||||||
AbbVie, Inc. | 4.70 | 5/14/2045 | 30,000 | 29,327 | 31,879 | |||||||||||||||
Allergan, Inc. | 2.80 | 3/15/2023 | 50,000 | 47,015 | 49,509 | |||||||||||||||
AstraZeneca PLC+ | 6.45 | 9/15/2037 | 35,000 | 44,634 | 47,134 | |||||||||||||||
Express Scripts Holding Co. | 4.50 | 2/25/2026 | 30,000 | 30,934 | 31,794 | |||||||||||||||
Express Scripts Holding Co. | 4.80 | 7/15/2046 | 25,000 | 24,957 | 25,429 | |||||||||||||||
McKesson Corp. | 6.00 | 3/1/2041 | 50,000 | 55,782 | 61,113 | |||||||||||||||
Mylan NV+ | 5.25 | 6/15/2046 | 40,000 | 39,994 | 43,756 | |||||||||||||||
Mylan, Inc. | 2.55 | 3/28/2019 | 60,000 | 59,805 | 60,433 | |||||||||||||||
Shire Acquisitions Investments Ireland DAC | 2.88 | 9/23/2023 | 60,000 | 59,993 | 59,470 | |||||||||||||||
Teva Pharmaceutical Finance Netherlands III B.V.+ | 4.10 | 10/1/2046 | 10,000 | 9,918 | 9,211 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Pharmaceuticals | 425,000 | 437,238 | 454,315 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Pipelines — 2.0%*: |
| |||||||||||||||||||
Energy Transfer LP | 4.20 | 4/15/2027 | 25,000 | 24,949 | 24,992 | |||||||||||||||
Energy Transfer LP | 4.75 | 1/15/2026 | 30,000 | 29,836 | 31,210 | |||||||||||||||
EnLink Midstream Partners LP | 2.70 | 4/1/2019 | 30,000 | 30,034 | 29,934 | |||||||||||||||
EnLink Midstream Partners LP | 4.85 | 7/15/2026 | 17,000 | 17,312 | 17,687 | |||||||||||||||
Enterprise Products Operating LLC | 5.95 | 2/1/2041 | 25,000 | 26,689 | 29,617 | |||||||||||||||
Kinder Morgan Energy Partners LP MTN | 6.95 | 1/15/2038 | 30,000 | 31,992 | 35,829 | |||||||||||||||
Kinder Morgan, Inc. | 3.05 | 12/1/2019 | 35,000 | 35,076 | 35,608 | |||||||||||||||
Kinder Morgan, Inc.^ | 5.63 | 11/15/2023 | 50,000 | 55,486 | 55,323 | |||||||||||||||
MPLX LP | 4.00 | 2/15/2025 | 77,000 | 75,638 | 77,524 | |||||||||||||||
MPLX LP | 4.13 | 3/1/2027 | 15,000 | 14,976 | 15,051 | |||||||||||||||
MPLX LP | 4.88 | 12/1/2024 | 38,000 | 39,736 | 40,514 | |||||||||||||||
MPLX LP | 4.88 | 6/1/2025 | 23,000 | 23,887 | 24,389 | |||||||||||||||
MPLX LP | 5.20 | 3/1/2047 | 5,000 | 4,965 | 5,149 | |||||||||||||||
MPLX LP | 5.50 | 2/15/2023 | 20,000 | 20,832 | 20,535 | |||||||||||||||
Phillips 66 Partners LP | 4.90 | 10/1/2046 | 15,000 | 14,897 | 14,766 | |||||||||||||||
Plains All American Pipeline LP/PAA Finance Corp. | 4.50 | 12/15/2026 | 30,000 | 29,919 | 30,341 | |||||||||||||||
Sabine Pass Liquefaction LLC^ | 4.20 | 3/15/2028 | 75,000 | 74,929 | 75,773 | |||||||||||||||
Western Gas Partners LP | 4.00 | 7/1/2022 | 30,000 | 30,768 | 30,753 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Pipelines | 570,000 | 581,921 | 594,995 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Real Estate — 0.1%*: |
| |||||||||||||||||||
Prologis LP | 3.35 | 2/1/2021 | 25,000 | 25,369 | 25,819 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Real Estate Investment Trusts — 1.3%*: |
| |||||||||||||||||||
Brandywine Operating Partnership LP | 4.95 | 4/15/2018 | 40,000 | 40,779 | 40,870 | |||||||||||||||
Crown Castle International Corp. | 4.00 | 3/1/2027 | 20,000 | 19,918 | 20,586 | |||||||||||||||
Crown Castle International Corp. | 4.75 | 5/15/2047 | 10,000 | 9,921 | 10,176 | |||||||||||||||
CubeSmart LP | �� | 3.13 | 9/1/2026 | 45,000 | 44,793 | 42,760 | ||||||||||||||
DDR Corp. | 4.75 | 4/15/2018 | 3,000 | 3,059 | 3,059 | |||||||||||||||
Digital Realty Trust LP | 3.40 | 10/1/2020 | 20,000 | 19,970 | 20,449 | |||||||||||||||
Digital Realty Trust LP | 3.95 | 7/1/2022 | 35,000 | 35,187 | 36,688 |
See accompanying Notes to the Financial Statements.
125
Barings Total Return Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Real Estate Investment Trusts (Continued) | ||||||||||||||||||||
Healthcare Trust of America Holdings LP | 2.95 | % | 7/1/2022 | 15,000 | $14,991 | $15,004 | ||||||||||||||
Healthcare Trust of America Holdings LP | 3.75 | 7/1/2027 | 35,000 | 34,823 | 34,596 | |||||||||||||||
Host Hotels & Resorts LP | 3.88 | 4/1/2024 | 40,000 | 39,836 | 40,688 | |||||||||||||||
Host Hotels & Resorts LP | 4.75 | 3/1/2023 | 50,000 | 51,964 | 53,499 | |||||||||||||||
Mid-America Apartments LP | 3.60 | 6/1/2027 | 25,000 | 24,896 | 24,933 | |||||||||||||||
UDR, Inc. MTN | 3.50 | 7/1/2027 | 35,000 | 34,918 | 34,530 | |||||||||||||||
Weingarten Realty Investors | 3.25 | 8/15/2026 | 10,000 | 9,922 | 9,533 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total REITS | 383,000 | 384,977 | 387,371 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Retail — 1.2%*: |
| |||||||||||||||||||
Advance Auto Parts, Inc. | 4.50 | 12/1/2023 | 75,000 | 80,469 | 79,598 | |||||||||||||||
CVS Pass-Through Trust^ | 5.93 | 1/10/2034 | 30,050 | 34,261 | 34,449 | |||||||||||||||
El Puerto de Liverpool SAB de CV+^ | 3.95 | 10/2/2024 | 200,000 | 199,183 | 201,250 | |||||||||||||||
Wal-Mart Stores, Inc. | 5.63 | 4/1/2040 | 30,000 | 35,536 | 38,692 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Retail | 335,050 | 349,449 | 353,989 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Semiconductors — 0.3%*: |
| |||||||||||||||||||
Lam Research Corp. | 2.75 | 3/15/2020 | 50,000 | 49,946 | 50,637 | |||||||||||||||
QUALCOMM, Inc. | 4.30 | 5/20/2047 | 35,000 | 34,995 | 35,753 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Semiconductors | 85,000 | 84,941 | 86,390 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Software — 0.2%*: |
| |||||||||||||||||||
CA, Inc. | 3.60 | 8/15/2022 | 20,000 | 19,983 | 20,224 | |||||||||||||||
Oracle Corp. | 5.38 | 7/15/2040 | 35,000 | 38,956 | 42,568 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Software | 55,000 | 58,939 | 62,792 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Telecommunications — 1.0%*: |
| |||||||||||||||||||
AT&T, Inc. | 3.80 | 3/1/2024 | 40,000 | 39,976 | 40,904 | |||||||||||||||
AT&T, Inc. | 4.75 | 5/15/2046 | 45,000 | 42,258 | 44,127 | |||||||||||||||
AT&T, Inc. | 5.25 | 3/1/2037 | 30,000 | 29,860 | 31,961 | |||||||||||||||
Telefonaktiebolaget LM Ericsson+ | 4.13 | 5/15/2022 | 55,000 | 56,758 | 56,035 | |||||||||||||||
Verizon Communications, Inc. | 4.13 | 3/16/2027 | 30,000 | 30,710 | 30,984 | |||||||||||||||
Verizon Communications, Inc. | 5.15 | 9/15/2023 | 20,000 | 22,205 | 22,216 | |||||||||||||||
Verizon Communications, Inc. | 6.55 | 9/15/2043 | 56,000 | 69,848 | 69,455 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Telecommunications | 276,000 | 291,615 | 295,682 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Corporate Bonds | 8,772,050 | 9,039,906 | 9,248,046 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Foreign Government — 0.8%*: | ||||||||||||||||||||
Colombia — 0.4%*: |
| |||||||||||||||||||
Colombia Government International Bond+ | 6.13 | 1/18/2041 | 100,000 | 115,650 | 115,300 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mexico — 0.4%*: |
| |||||||||||||||||||
Mexico Government International Bond+ | 4.75 | 3/8/2044 | 68,000 | 69,490 | 68,068 | |||||||||||||||
Mexico Government International Bond+ | 5.55 | 1/21/2045 | 60,000 | 64,624 | 67,200 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Mexico | 128,000 | 134,114 | 135,268 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Foreign Government | 228,000 | 249,764 | 250,568 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
126
Barings Total Return Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Mortgage-Backed Securities — 2.0%*: | ||||||||||||||||||||
Banc of America Commercial Mortgage Trust 2008-1 A4 | 6.47 | #% | 2/10/2051 | 82,486 | $89,584 | $83,169 | ||||||||||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17 AM | 5.92 | # | 6/11/2050 | 85,000 | 91,175 | 85,180 | ||||||||||||||
GS Mortgage Securities Trust 2015-GC32 B | 4.55 | # | 7/10/2048 | 100,000 | 102,846 | 105,208 | ||||||||||||||
JP Morgan Mortgage Trust 2017-1 A11^ | 3.50 | # | 1/25/2047 | 97,490 | 97,036 | 98,197 | ||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP7 AM | 6.14 | # | 4/17/2045 | 2,666 | 2,764 | 2,666 | ||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC20 AM | 6.24 | # | 2/12/2051 | 94,217 | 102,229 | 94,807 | ||||||||||||||
Morgan Stanley Capital I Trust 2008-TOP29 A4 | 6.50 | # | 1/11/2043 | 91,007 | 99,392 | 92,322 | ||||||||||||||
Wachovia Bank Commercial Mortgage Trust 2007-C33 A1A | 6.17 | # | 2/15/2051 | 27,832 | 30,119 | 27,810 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Mortgage-Backed Securities | 580,698 | 615,145 | 589,359 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
U.S. Treasury & Government Agencies — 27.7%*: |
| |||||||||||||||||||
Federal Home Loan Mortgage Corp. | 3.50 | 11/1/2045 | 131,447 | 136,661 | 135,605 | |||||||||||||||
Federal Home Loan Mortgage Corp. | 3.50 | 7/1/2046 | 57,229 | 60,512 | 59,126 | |||||||||||||||
Federal Home Loan Mortgage Corp. | 3.50 | 11/1/2046 | 78,252 | 82,660 | 80,785 | |||||||||||||||
Federal Home Loan Mortgage Corp. | 3.50 | 1/1/2047 | 97,580 | 101,662 | 100,881 | |||||||||||||||
Federal Home Loan Mortgage Corp. | 3.50 | 3/1/2047 | 173,682 | 177,149 | 178,568 | |||||||||||||||
Federal Home Loan Mortgage Corp. | 4.00 | 4/1/2047 | 74,569 | 79,452 | 79,294 | |||||||||||||||
Federal Home Loan Mortgage Corp. | 4.50 | 8/1/2040 | 17,061 | 18,732 | 18,528 | |||||||||||||||
Federal Home Loan Mortgage Corp. | 4.50 | 10/1/2040 | 24,132 | 26,362 | 26,084 | |||||||||||||||
Federal Home Loan Mortgage Corp. | 4.50 | 10/1/2041 | 28,797 | 31,454 | 31,124 | |||||||||||||||
Federal Home Loan Mortgage Corp. | 4.50 | 1/1/2042 | 21,614 | 23,612 | 23,313 | |||||||||||||||
Federal Home Loan Mortgage Corp. | 4.50 | 9/1/2043 | 19,935 | 21,841 | 21,651 | |||||||||||||||
Federal Home Loan Mortgage Corp. TBA | 3.50 | 7/1/2047 | 300,000 | 309,117 | 308,195 | |||||||||||||||
Federal Home Loan Mortgage Corp. TBA | 4.00 | 7/1/2047 | 350,000 | 368,430 | 367,395 | |||||||||||||||
Federal Home Loan Mortgage Corp. TBA | 4.50 | 7/1/2047 | 125,000 | 134,102 | 133,908 | |||||||||||||||
Federal National Mortgage Association | 3.50 | 12/1/2028 | 53,003 | 56,236 | 55,298 | |||||||||||||||
Federal National Mortgage Association | 3.50 | 11/1/2045 | 284,138 | 295,880 | 293,199 | |||||||||||||||
Federal National Mortgage Association | 3.50 | 12/1/2045 | 98,132 | 101,393 | 101,350 | |||||||||||||||
Federal National Mortgage Association | 3.50 | 1/1/2046 | 265,398 | 275,605 | 274,014 | |||||||||||||||
Federal National Mortgage Association | 3.50 | 12/1/2046 | 122,024 | 124,990 | 125,422 | |||||||||||||||
Federal National Mortgage Association | 3.50 | 2/1/2047 | 123,062 | 126,341 | 126,471 | |||||||||||||||
Federal National Mortgage Association | 3.50 | 6/1/2047 | 75,000 | 77,373 | 77,077 | |||||||||||||||
Federal National Mortgage Association | 4.00 | 6/1/2047 | 298,884 | 316,024 | 314,341 | |||||||||||||||
Federal National Mortgage Association | 4.00 | 5/1/2056 | 190,245 | 199,355 | 201,056 | |||||||||||||||
Federal National Mortgage Association | 4.00 | 6/1/2056 | 168,872 | 179,094 | 178,419 | |||||||||||||||
Federal National Mortgage Association | 4.50 | 9/1/2040 | 12,897 | 14,104 | 13,960 | |||||||||||||||
Federal National Mortgage Association | 4.50 | 3/1/2041 | 18,406 | 20,220 | 19,985 | |||||||||||||||
Federal National Mortgage Association | 4.50 | 10/1/2042 | 25,005 | 27,324 | 27,069 | |||||||||||||||
Federal National Mortgage Association | 4.50 | 11/1/2042 | 46,723 | 51,234 | 50,724 | |||||||||||||||
Federal National Mortgage Association | 4.50 | 6/1/2044 | 26,826 | 28,871 | 29,128 | |||||||||||||||
Federal National Mortgage Association | 5.00 | 6/1/2040 | 12,179 | 13,542 | 13,454 |
See accompanying Notes to the Financial Statements.
127
Barings Total Return Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
U.S. Treasury & Government Agencies (Continued) | ||||||||||||||||||||
Federal National Mortgage Association | 5.00 | % | 7/1/2040 | 91,425 | $101,222 | $100,131 | ||||||||||||||
Federal National Mortgage Association | 5.00 | 2/1/2044 | 36,071 | 40,045 | 39,592 | |||||||||||||||
Federal National Mortgage Association TBA | 3.50 | 7/1/2047 | 700,000 | 720,633 | 718,949 | |||||||||||||||
Federal National Mortgage Association TBA | 4.50 | 7/1/2047 | 150,000 | 161,355 | 160,904 | |||||||||||||||
Government National Mortgage Association | 3.50 | 4/20/2047 | 1,169,259 | 1,214,678 | 1,212,372 | |||||||||||||||
Government National Mortgage Association TBA | 4.00 | 7/1/2047 | 350,000 | 369,578 | 368,293 | |||||||||||||||
U.S. Treasury Bond | 2.50 | 5/15/2046 | 595,000 | 537,010 | 553,560 | |||||||||||||||
U.S. Treasury Bond(1) | 3.50 | 2/15/2039 | 525,000 | 578,939 | 593,148 | |||||||||||||||
U.S. Treasury Note | 1.88 | 3/31/2022 | 755,000 | 756,701 | 755,442 | |||||||||||||||
U.S. Treasury Note | 2.00 | 11/15/2026 | 460,000 | 453,919 | 448,536 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total U.S. Treasury & Government Agencies | 8,151,847 | 8,413,412 | 8,416,351 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Fixed Income | 25,950,862 | 26,388,116 | 26,641,083 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
SHARES | COST | FAIR VALUE | ||||||||||||||||||
Mutual Fund — 8.6%*: | ||||||||||||||||||||
Barings U.S. High Yield Fund | 245,051 | 2,375,708 | 2,595,086 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
STRIKE PRICE | EXPIRATION DATE | NOTIONAL | COST | FAIR VALUE | ||||||||||||||||
Purchased Options — 0.3%*: | ||||||||||||||||||||
Call Option Purchased — 0.1%*: |
| |||||||||||||||||||
OTC — BCM Swaption with JPMorgan Chase Bank N.A. | $2.60 | 1/11/2022 | 342,000 | 44,580 | 36,183 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Put Option Purchased — 0.2%*: |
| |||||||||||||||||||
OTC — BCM Swaption with JPMorgan Chase Bank, N.A. | 2.60 | 1/11/2022 | 570,000 | 74,299 | 67,894 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Purchased Options | 912,000 | 118,879 | 104,077 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Short-Term Investments — 10.7%*: | ||||||||||||||||||||
Bank Deposit — 1.8%*: |
| |||||||||||||||||||
State Street Bank & Trust Co. Euro Time Deposit | 0.09 | % | 7/3/2017 | 551,905 | 551,905 | 551,905 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Commercial Paper — 8.9%*: | ||||||||||||||||||||
Advertising — 0.8%*: |
| |||||||||||||||||||
WPP CP LLC+ | Zero Coupon | 7/12/2017 | 250,000 | 249,889 | 249,889 | |||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
128
Barings Total Return Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Commercial Paper (Continued) | ||||||||||||||||||||
Agriculture — 0.8%*: |
| |||||||||||||||||||
BAT International Finance PLC+ | Zero Coupon | 7/20/2017 | 250,000 | $249,809 | $249,809 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Chemicals — 1.7%*: |
| |||||||||||||||||||
Monsanto Co. | Zero Coupon | 8/21/2017 | 250,000 | 249,454 | 249,454 | |||||||||||||||
ONEOK Partners LP | Zero Coupon | 7/31/2017 | 250,000 | 249,625 | 249,625 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Chemicals | 500,000 | 499,079 | 499,079 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified Financial Services — 0.8%*: |
| |||||||||||||||||||
NASDAQ, Inc. | Zero Coupon | 9/25/2017 | 250,000 | 249,056 | 249,056 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Electric — 2.3%*: |
| |||||||||||||||||||
Commonwealth Edison Co. | Zero Coupon | 7/5/2017 | 700,000 | 699,886 | 699,886 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Healthcare-Products — 0.9%*: |
| |||||||||||||||||||
Becton Dickinson and Co. | Zero Coupon | 7/5/2017 | 250,000 | 249,961 | 249,961 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Lodging — 0.8%*: |
| |||||||||||||||||||
Marriott International, Inc. | Zero Coupon | 7/26/2017 | 250,000 | 249,740 | 249,740 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas Services — 0.8%*: |
| |||||||||||||||||||
Schlumberger Holdings Corp. | Zero Coupon | 7/18/2017 | 250,000 | 249,843 | 249,843 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Commercial Paper | 2,700,000 | 2,697,263 | 2,697,263 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Short-Term Investments | 3,251,905 | 3,249,168 | 3,249,168 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Investments | 30,359,818 | 32,131,871 | 32,589,414 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Other assets and liabilities — (7.4%)* | (2,233,581 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Net Assets — 100.0% | $30,355,833 | |||||||||||||||||||
|
|
MTN | Medium Term Note |
OTC | Over the Counter |
TBA | To Be Announced: Securities purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date will be determined upon settlement. |
(1) | All or a portion of this security is held for swaps collateral. |
‡‡ | Unless otherwise indicated, all principal amounts are denominated in United States Dollars. |
* | Calculated as a percentage of net assets applicable to common shareholders. |
+ | Foreign security. |
Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:
United States | 92.0% | |||
United Kingdom | 1.8% | |||
Mexico | 1.3% | |||
Other (Individually less than 1%) | 4.9% | |||
|
| |||
Total | 100.0% | |||
|
|
See accompanying Notes to the Financial Statements.
129
Barings Total Return Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
^ | Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers. |
¤ | For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 2). |
# | Variable rate security. The interest rate shown is the rate in effect at June 30, 2017. |
A summary of outstanding derivatives at June 30, 2017 is as follows:
Cross Currency Forward Foreign Currency Exchange Contracts
EXPIRATION DATE | DELIVER/RECEIVE | COUNTERPARTY | CONTRACT AMOUNT PURCHASED | CONTRACT AMOUNT SOLD | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
3/6/18 | CZK/EUR | BNP Paribas S.A. | 2,000 | 52,282 | $ | (10 | ) | |||||||||
3/6/18 | EUR/CZK | Bank of America N.A. | 534,130 | 20,000 | 607 | |||||||||||
3/6/18 | EUR/CZK | BNP Paribas S.A. | 345,085 | 13,000 | 302 | |||||||||||
7/18/17 | EUR/PLN | BNP Paribas S.A. | 282,564 | 66,255 | 524 | |||||||||||
7/18/17 | PLN/EUR | Bank of America N.A. | 2,000 | 8,487 | (4 | ) | ||||||||||
7/18/17 | PLN/EUR | BNP Paribas S.A. | 33,000 | 140,837 | (288 | ) | ||||||||||
|
| |||||||||||||||
Net unrealized appreciation on cross currency forward foreign currency exchange contracts | $ | 1,131 | ||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts to Buy
EXPIRATION DATE | COUNTERPARTY | LOCAL CURRENCY | VALUE IN USD | IN EXCHANGE FOR USD | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
9/6/17 | Goldman Sachs & Co. | BRL | 72,831 | 21,699 | 22,000 | $ | (301 | ) | ||||||||||||||
7/25/17 | BNP Paribas S.A. | CLP | 593,400 | 893 | 895 | (2 | ) | |||||||||||||||
9/6/17 | JPMorgan Chase Bank N.A. | CLP | 13,335,345 | 20,054 | 20,100 | (46 | ) | |||||||||||||||
8/7/17 | JPMorgan Chase Bank N.A. | EGP | 127,118 | 6,945 | 7,000 | (55 | ) | |||||||||||||||
7/18/17 | Bank of America N.A. | EUR | 35,084 | 40,098 | 38,427 | 1,671 | ||||||||||||||||
9/6/17 | Bank of America N.A. | EUR | 60,249 | 69,037 | 67,863 | 1,174 | ||||||||||||||||
9/6/17 | JPMorgan Chase Bank N.A. | JPY | 2,472,652 | 22,042 | 22,000 | 42 | ||||||||||||||||
9/6/17 | Citibank N.A. | KRW | 24,108,000 | 21,070 | 21,121 | (51 | ) | |||||||||||||||
7/25/17 | Bank of America N.A. | KZT | 11,655,000 | 36,013 | 36,790 | (777 | ) | |||||||||||||||
7/11/17 | JPMorgan Chase Bank N.A. | MXN | 2,674,274 | 147,212 | 142,530 | 4,682 | ||||||||||||||||
7/25/17 | JPMorgan Chase Bank N.A. | MYR | 464,831 | 107,925 | 107,000 | 925 | ||||||||||||||||
|
| |||||||||||||||||||||
Net unrealized appreciation on forward foreign currency exchange contracts to buy | $ | 7,262 | ||||||||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts to Sell
EXPIRATION DATE | COUNTERPARTY | LOCAL CURRENCY | VALUE IN USD | IN EXCHANGE FOR USD | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
9/6/17 | JPMorgan Chase Bank N.A. | CHF | 34,340 | 35,953 | 36,000 | $ | 47 | |||||||||||||||
7/25/17 | Citibank N.A. | CLP | 593,400 | 894 | 896 | 2 | ||||||||||||||||
9/6/17 | Bank of America N.A. | CLP | 23,157,680 | 34,825 | 34,303 | (522 | ) | |||||||||||||||
11/14/17 | BNP Paribas S.A. | CNH | 502,158 | 73,384 | 72,000 | (1,384 | ) |
See accompanying Notes to the Financial Statements.
130
Barings Total Return Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EXPIRATION DATE | COUNTERPARTY | LOCAL CURRENCY | VALUE IN USD | IN EXCHANGE FOR USD | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
7/18/17 | Goldman Sachs & Co. | EUR | 28,650 | 32,745 | 30,573 | $ | (2,172 | ) | ||||||||||||||
7/18/17 | JPMorgan Chase Bank N.A. | EUR | 3,980 | 4,548 | 4,550 | 2 | ||||||||||||||||
7/18/17 | JPMorgan Chase Bank N.A. | ILS | 77,916 | 22,346 | 21,376 | (970 | ) | |||||||||||||||
7/25/17 | Bank of America N.A. | INR | 952,420 | 14,705 | 14,547 | (158 | ) | |||||||||||||||
8/28/17 | BNP Paribas S.A. | INR | 471,716 | 7,256 | 7,215 | (41 | ) | |||||||||||||||
9/6/17 | JPMorgan Chase Bank N.A. | KRW | 24,108,000 | 21,070 | 21,513 | 443 | ||||||||||||||||
9/6/17 | Goldman Sachs & Co. | KZT | 11,803,000 | 36,143 | 37,000 | 857 | ||||||||||||||||
7/11/17 | Bank of America N.A. | MXN | 1,365,202 | 75,151 | 73,000 | (2,151 | ) | |||||||||||||||
7/25/17 | JPMorgan Chase Bank N.A. | MYR | 159,063 | 36,931 | 37,000 | 69 | ||||||||||||||||
9/6/17 | Citibank N.A. | NZD | 49,413 | 36,169 | 36,000 | (169 | ) | |||||||||||||||
|
| |||||||||||||||||||||
Net unrealized depreciation on forward foreign currency exchange contracts to sell | $ | (6,147 | ) | |||||||||||||||||||
|
|
Currency Legend
BRL | – | Brazilian Real | ||
CHF | – | Swiss Franc | ||
CLP | – | Chilean Peso | ||
CNH | – | Chinese Yuan Renminbi | ||
CZK | – | Czech Koruna | ||
EGP | – | Egyptian Pound | ||
EUR | – | Euro | ||
ILS | – | Israeli Shekel | ||
INR | – | Indian Rupee | ||
JPY | – | Japanese Yen | ||
KRW | – | South Korean Won | ||
KZT | – | Kazakhstani Tenge | ||
MXN | – | Mexican Peso | ||
MYR | – | Malaysian Ringgit | ||
NZD | – | New Zealand Dollar | ||
PLN | – | Polish Zloty |
Futures
TYPE | EXPIRATION DATE | CONTRACTS | POSITION | FAIR VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
Long Futures |
| |||||||||||||||||
U.S. 10-Year Ultra Bond | 09/20/17 | 1 | Long | $ | 134,813 | $ | 12 | |||||||||||
U.S. 2-Year Treasury Note | 09/29/17 | 16 | Long | 3,457,750 | (5,317 | ) | ||||||||||||
U.S. 5-Year Treasury Note | 09/29/17 | 15 | Long | 1,767,539 | (1,714 | ) | ||||||||||||
U.S. Ultra Bond | 09/20/17 | 5 | Long | 829,375 | 11,320 | |||||||||||||
|
| |||||||||||||||||
Total Long Futures |
| $ | 4,301 | |||||||||||||||
|
|
See accompanying Notes to the Financial Statements.
131
Barings Total Return Bond Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
OTC Credit Default Swaps – Sell Protection(1)(2)
REFERENCE OBLIGATION | FIIXED-DEAL RECEIVED RATE | MATURITY DATE | COUNTERPARTY | ORIGINAL NOTIONAL AMOUNT | CURRENT NOTIONAL AMOUNT(3) | UPFRONT PREMIUMS PAID/ (RECEIVED) | FAIR VALUE(4) | UNREALIZED DEPRECIATION | ||||||||||||||||||||||
CMBX.NA. BBB-.6† | 3.00 | % | 11/17/2045 | JPMorgan Chase Bank N.A. | 60,000 | 60,000 | $ | 139 | $ | (7,006 | ) | $ | (7,145 | ) | ||||||||||||||||
CMBX.NA. BBB-.6† | 3.00 | % | 5/11/2063 | Goldman Sachs & Co. | 70,000 | 70,000 | (5,281 | ) | (8,174 | ) | (2,893 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total OTC Credit Default Swaps |
| $ | (5,142 | ) | $ | (15,180 | ) | $ | (10,038 | ) | ||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Credit Default Swap – Buy Protection
REFERENCE OBLIGATION | FIXED-DEAL RECEIVED RATE | MATURITY DATE | ORIGINAL NOTIONAL AMOUNT | CURRENT NOTIONAL AMOUNT(3) | UPFRONT PREMIUMS PAID/ (RECEIVED) | FAIR VALUE(4) | UNREALIZED DEPRECIATION | |||||||||||||||||||||
CDX.NA.BBB-.6 | 1.00 | % | 6/20/2022 | 480,000 | 480,000 | $ | (6,972 | ) | $ | (8,727 | ) | (1,755 | ) | |||||||||||||||
|
|
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | Represents an investment grade index of single name credit default swaps (CDS). All of the companies underlying the single name CDS within the index are rated investment grade or higher. Rating represents a weighted average of the credit ratings of all the companies underlying the single name CDS within the index. |
(3) | The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit event as defined under the terms of that particular swap agreement. |
(4) | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the expected amount paid or received for the credit derivative if the amount of the swap agreement was closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreements. |
† | Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index. |
Abbreviation Legend
OTC | Over the Counter |
See accompanying Notes to the Financial Statements.
132
Barings Emerging Markets Debt Blended Total Return Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Fixed Income — 95.2%*: |
| |||||||||||||||||||
Corporate Bonds — 29.4%*: |
| |||||||||||||||||||
Commercial Banks — 9.5%*: | ||||||||||||||||||||
BBVA Bancomer SA+^ | 5.35 | #% | 11/12/2029 | 200,000 | $198,626 | $202,500 | ||||||||||||||
BBVA Bancomer SA+^ | 6.75 | 9/30/2022 | 200,000 | 219,161 | 226,500 | |||||||||||||||
Sberbank of Russia Via SB Capital SA+^ | 5.50 | # | 2/26/2024 | 200,000 | 188,138 | 203,500 | ||||||||||||||
Turkiye Halk Bankasi AS+^ | 3.88 | 2/5/2020 | 200,000 | 196,046 | 194,250 | |||||||||||||||
Turkiye Is Bankasi+ | 7.00 | 6/29/2028 | 200,000 | 200,000 | 201,700 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Commercial Banks |
| 1,000,000 | 1,001,971 | 1,028,450 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Construction Materials — 1.7%*: |
| |||||||||||||||||||
Cemex SAB de CV+ | 4.38 | 3/5/2023 | 150,000 | 165,592 | 181,019 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Electric — 3.4%*: |
| |||||||||||||||||||
Abengoa Transmision Sur SA+^ | 6.88 | 4/30/2043 | 199,240 | 204,139 | 217,172 | |||||||||||||||
Capex SA^+ | 6.88 | 5/15/2024 | 150,000 | 150,000 | 151,312 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Electric |
| 349,240 | 354,139 | 368,484 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Food — 3.7%*: |
| |||||||||||||||||||
Minerva Luxembourg SA+^ | 6.50 | 9/20/2026 | 200,000 | 198,295 | 194,750 | |||||||||||||||
Yasar Holding AS^+ | 8.88 | 5/6/2020 | 200,000 | 208,236 | 205,347 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Food |
| 400,000 | 406,531 | 400,097 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Gas — 2.3%*: |
| |||||||||||||||||||
Fermaca Enterprises S de RL de CV+^ | 6.38 | 3/30/2038 | 235,504 | 229,759 | 251,106 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Media — 3.9%*: |
| |||||||||||||||||||
Altice Financing SA+^ | 6.63 | 2/15/2023 | 200,000 | 196,942 | 212,188 | |||||||||||||||
VTR Finance BV+^ | 6.88 | 1/15/2024 | 200,000 | 187,467 | 212,000 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Media | 400,000 | 384,409 | 424,188 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 3.2%*: |
| |||||||||||||||||||
Petrobras Global Finance BV+ | 4.75 | 1/14/2025 | 225,000 | 240,319 | 262,123 | |||||||||||||||
Petrobras Global Finance BV+ | 5.63 | 5/20/2043 | 100,000 | 75,713 | 83,075 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Oil and Gas | 325,000 | 316,032 | 345,198 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Telecommunications — 1.7%*: |
| |||||||||||||||||||
Digicel Ltd.+^ | 6.75 | 3/1/2023 | 200,000 | 189,356 | 188,066 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Corporate Bonds | 3,059,744 | 3,047,789 | 3,186,608 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Foreign Government — 64.7%*: |
| |||||||||||||||||||
Argentina — 3.3%*: |
| |||||||||||||||||||
Province of Santa Fe+^ | 6.90 | 11/1/2027 | 150,000 | 150,000 | 150,375 | |||||||||||||||
Provincia de Cordoba+^ | 7.13 | 6/10/2021 | 200,000 | 200,000 | 211,500 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Argentina | 350,000 | 350,000 | 361,875 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Armenia — 2.0%*: |
| |||||||||||||||||||
Republic of Armenia International Bond+^ | 7.15 | 3/26/2025 | 200,000 | 211,707 | 218,500 | |||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
133
Barings Emerging Markets Debt Blended Total Return Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Foreign Government (Continued) | ||||||||||||||||||||
Brazil — 9.5%*: |
| |||||||||||||||||||
Brazil Notas do Tesouro Nacional Serie B+ | 6.00 | % | 8/15/2050 | 680,000 | $613,862 | $647,577 | ||||||||||||||
Brazilian Government International Bond+ | 8.25 | 1/20/2034 | 200,000 | 230,008 | 250,000 | |||||||||||||||
Brazilian Government International Bond+ | 10.25 | 1/10/2028 | 411,000 | 134,025 | 132,125 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Brazil | 1,291,000 | 977,895 | 1,029,702 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Colombia — 6.3%*: |
| |||||||||||||||||||
Colombia Government International Bond+ | 5.63 | 2/26/2044 | 200,000 | 206,392 | 218,500 | |||||||||||||||
Colombian TES+ | 7.75 | 9/18/2030 | 1,311,000,000 | 454,384 | 465,299 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Colombia |
| 1,311,200,000 | 660,776 | 683,799 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Croatia — 2.0%*: |
| |||||||||||||||||||
Croatia Government International Bond+^ | 5.50 | 4/4/2023 | 200,000 | 206,634 | 218,500 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Dominican Republic — 1.9%*: |
| |||||||||||||||||||
Dominican Republic International Bond+^ | 5.88 | 4/18/2024 | 200,000 | 197,189 | 211,500 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
El Salvador — 1.9%*: |
| |||||||||||||||||||
El Salvador Government International Bond+^ | 7.38 | 12/1/2019 | 200,000 | 204,346 | 202,250 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Ghana — 2.3%*: |
| |||||||||||||||||||
Ghana Government International Bond+^ | 10.75 | 10/14/2030 | 200,000 | 213,236 | 247,000 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Indonesia — 5.1%*: |
| |||||||||||||||||||
Indonesia Treasury Bond+ | 7.00 | 5/15/2022 | 1,300,000,000 | 98,391 | 98,518 | |||||||||||||||
Indonesia Treasury Bond+ | 7.00 | 5/15/2027 | 2,700,000,000 | 202,236 | 204,513 | |||||||||||||||
Indonesia Treasury Bond+ | 8.38 | 3/15/2034 | 3,140,000,000 | 215,043 | 252,331 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Indonesia |
| 7,140,000,000 | 515,670 | 555,362 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Malaysia — 3.3%*: |
| |||||||||||||||||||
Malaysia Government Bond+ | 4.13 | 4/15/2032 | 1,610,000 | 361,136 | 358,718 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mexico — 11.8%*: |
| |||||||||||||||||||
Mexican Bonos+ | 7.75 | 11/13/2042 | 14,200,000 | 811,416 | 830,831 | |||||||||||||||
Mexico Government International Bond+ | 5.75 | 10/12/2110 | 430,000 | 413,421 | 446,125 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Mexico |
| 14,630,000 | 1,224,837 | 1,276,956 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Peru — 5.9%*: |
| |||||||||||||||||||
Peru Government Bond+ | 6.85 | 2/12/2042 | 590,000 | 184,197 | 194,168 | |||||||||||||||
Peru Government Bond+ | 6.90 | 8/12/2037 | 600,000 | 196,944 | 201,601 | |||||||||||||||
Peru Government Bond+ | 6.95 | 8/12/2031 | 720,000 | 241,351 | 244,600 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Peru |
| 1,910,000 | 622,492 | 640,369 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Russia — 2.7%*: |
| |||||||||||||||||||
Russian Federal Bond — OFZ+ | 8.50 | 9/17/2031 | 16,000,000 | 282,140 | 287,775 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
South Africa — 6.7%*: |
| |||||||||||||||||||
South Africa Government Bond+ | 6.50 | 2/28/2041 | 4,200,000 | 206,925 | 223,756 | |||||||||||||||
South Africa Government Bond+ | 8.75 | 2/28/2048 | 7,300,000 | 464,491 | 497,757 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total South Africa |
| 11,500,000 | 671,416 | 721,513 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Foreign Government |
| 8,499,491,000 | 6,699,474 | 7,013,819 | ||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
134
Barings Emerging Markets Debt Blended Total Return Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Government Bonds — 1.1%*: |
| |||||||||||||||||||
Sovereign — 1.1%*: |
| |||||||||||||||||||
Ivory Coast Government International Bond^+ | 5.13 | % | 6/15/2025 | 100,000 | $112,165 | $115,928 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Fixed Income |
| 8,502,650,744 | 9,859,428 | 10,316,355 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Short-Term Investment — 2.7%*: |
| |||||||||||||||||||
Bank Deposit — 2.7%*: |
| |||||||||||||||||||
State Street Bank & Trust Co. Euro Time Deposit | 0.09 | % | 7/3/2017 | 291,180 | 291,180 | 291,180 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Investments |
| 8,502,941,924 | 10,150,608 | 10,607,535 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Other assets and liabilities — 2.1%* |
| 227,959 | ||||||||||||||||||
|
| |||||||||||||||||||
Net Assets — 100.0% | $10,835,494 | |||||||||||||||||||
|
|
‡‡ Unless otherwise indicated, all principal amounts are denominated in United States Dollars.
* | Calculated as a percentage of net assets applicable to common shareholders. |
+ | Foreign security. |
Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows: |
Mexico | 20.7% | |||
Brazil | 15.2% | |||
Peru | 8.3% | |||
South Africa | 7.0% | |||
Colombia | 6.6% | |||
Turkey | 5.8% | |||
Indonesia | 5.4% | |||
Argentina | 5.0% | |||
Russia | 4.8% | |||
Malaysia | 3.5% | |||
Ghana | 2.4% | |||
Armenia | 2.1% | |||
Croatia | 2.1% | |||
Portugal | 2.1% | |||
Chile | 2.1% | |||
Dominican Republic | 2.0% | |||
El Salvador | 2.0% | |||
Jamaica | 1.8% | |||
Ivory Coast | 1.1% | |||
|
| |||
Total | 100.0% | |||
|
|
See accompanying Notes to the Financial Statements.
135
Barings Emerging Markets Debt Blended Total Return Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
^ | Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers. |
# | Variable rate security. The interest rate shown is the rate in effect at June 30, 2017. |
A summary of outstanding derivatives at June 30, 2017 is as follows:
Cross Currency Forward Foreign Currency Exchange Contracts
EXPIRATION DATE | DELIVER/RECEIVE | COUNTERPARTY | CONTRACT AMOUNT PURCHASED | CONTRACT AMOUNT SOLD | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
3/6/18 | CZK/EUR | JPMorgan Chase Bank N.A. | 9,111 | 242,740 | $ | (251 | ) | |||||||||
3/6/18 | EUR/CZK | BNP Paribas S.A. | 5,096,640 | 192,000 | 4,452 | |||||||||||
3/6/18 | EUR/CZK | Bank of America N.A. | 7,798,298 | 292,000 | 8,868 | |||||||||||
7/18/17 | EUR/PLN | BNP Paribas S.A. | 4,084,402 | 957,701 | 7,573 | |||||||||||
7/18/17 | HUF/EUR | Citibank N.A. | 406,504 | 127,012,029 | (5,353 | ) | ||||||||||
7/18/17 | PLN/EUR | BNP Paribas S.A. | 464,000 | 1,980,259 | (4,045 | ) | ||||||||||
|
| |||||||||||||||
Net unrealized appreciation on cross currency forward foreign currency exchange contracts | $ | 11,244 | ||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts to Buy
EXPIRATION DATE | COUNTERPARTY | LOCAL CURRENCY | VALUE IN USD | IN EXCHANGE FOR USD | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
6/15/18 | JPMorgan Chase Bank N.A. | ARS | 9,375,000 | 480,593 | 500,000 | $ | (19,407 | ) | ||||||||||||||
9/6/17 | Goldman Sachs & Co. | BRL | 556,164 | 165,704 | 168,000 | (2,296 | ) | |||||||||||||||
9/6/17 | BNP Paribas S.A. | BRL | 93,772 | 27,939 | 28,000 | (61 | ) | |||||||||||||||
7/25/17 | BNP Paribas S.A. | CLP | 5,617,200 | 8,458 | 8,474 | (16 | ) | |||||||||||||||
9/6/17 | JPMorgan Chase Bank N.A. | CLP | 196,712,925 | 295,823 | 296,500 | (677 | ) | |||||||||||||||
8/7/17 | JPMorgan Chase Bank N.A. | EGP | 1,906,776 | 104,170 | 105,000 | (830 | ) | |||||||||||||||
7/18/17 | Bank of America N.A.55 | EUR | 529,322 | 604,967 | 579,759 | 25,208 | ||||||||||||||||
9/6/17 | Bank of America N.A. | EUR | 850,853 | 974,953 | 958,381 | 16,572 | ||||||||||||||||
7/18/17 | Bank of America N.A. | HUF | 127,109,790 | 470,311 | 434,316 | 35,995 | ||||||||||||||||
9/6/17 | JPMorgan Chase Bank N.A. | JPY | 24,501,739 | 218,418 | 218,000 | 418 | ||||||||||||||||
9/6/17 | Citibank N.A. | KRW | 363,916,000 | 318,057 | 318,833 | (776 | ) | |||||||||||||||
7/25/17 | Bank of America N.A. | KZT | 164,636,500 | 508,706 | 519,685 | (10,979 | ) | |||||||||||||||
7/11/17 | JPMorgan Chase Bank N.A. | MXN | 35,791,965 | 1,970,261 | 1,909,393 | 60,868 | ||||||||||||||||
7/25/17 | JPMorgan Chase Bank N.A. | MYR | 5,629,700 | 1,307,105 | 1,300,000 | 7,105 | ||||||||||||||||
10/4/17 | Citibank N.A. | NGN | 182,785,000 | 540,251 | 526,000 | 14,251 | ||||||||||||||||
9/6/17 | Bank of America N.A. | PHP | 27,417,740 | 540,315 | 553,000 | (12,685 | ) | |||||||||||||||
9/6/17 | Citibank N.A. | RUB | 1,498,238 | 25,065 | 25,000 | 65 | ||||||||||||||||
7/5/17 | JPMorgan Chase Bank N.A. | TRY | 792,186 | 225,025 | 219,800 | 5,225 | ||||||||||||||||
|
| |||||||||||||||||||||
Net unrealized appreciation on forward foreign currency exchange contracts to buy | $ | 117,980 | ||||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements.
136
Barings Emerging Markets Debt Blended Total Return Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
Forward Foreign Currency Exchange Contracts to Sell
EXPIRATION DATE | COUNTERPARTY | LOCAL CURRENCY | VALUE IN USD | IN EXCHANGE FOR USD | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
12/15/17 | JPMorgan Chase Bank N.A. | ARS | 8,735,000 | 485,133 | 500,000 | $ | 14,867 | |||||||||||||||
9/6/17 | JPMorgan Chase Bank N.A. | CHF | 519,864 | 544,283 | 545,000 | 717 | ||||||||||||||||
7/25/17 | Citibank N.A. | CLP | 5,617,200 | 8,457 | 8,479 | 22 | ||||||||||||||||
9/6/17 | Bank of America N.A. | CLP | 343,417,560 | 516,442 | 508,699 | (7,743 | ) | |||||||||||||||
11/14/17 | BNP Paribas S.A. | CNH | 7,143,357 | 1,043,916 | 1,025,000 | (18,916 | ) | |||||||||||||||
11/14/17 | JPMorgan Chase Bank N.A. | CNH | 388,176 | 56,727 | 56,000 | (727 | ) | |||||||||||||||
7/11/17 | Goldman Sachs & Co. | COP | 1,079,336,614 | 353,909 | 371,862 | 17,953 | ||||||||||||||||
7/11/17 | Citibank N.A. | COP | 404,458,500 | 132,620 | 141,000 | 8,380 | ||||||||||||||||
7/18/17 | Goldman Sachs & Co. | EUR | 1,210,979 | 1,384,041 | 1,292,231 | (91,810 | ) | |||||||||||||||
9/6/17 | BNP Paribas S.A. | EUR | 98,570 | 112,947 | 113,000 | 53 | ||||||||||||||||
8/28/17 | State Street Bank & Trust Co. | IDR | 259,274,000 | 19,338 | 19,313 | (25 | ) | |||||||||||||||
7/18/17 | JPMorgan Chase Bank N.A. | ILS | 1,132,770 | 324,877 | 310,769 | (14,108 | ) | |||||||||||||||
7/25/17 | Bank of America N.A. | INR | 13,469,940 | 207,966 | 205,742 | (2,224 | ) | |||||||||||||||
8/28/17 | BNP Paribas S.A. | INR | 7,277,904 | 111,943 | 111,321 | (622 | ) | |||||||||||||||
9/6/17 | JPMorgan Chase Bank N.A. | KRW | 363,916,000 | 318,057 | 324,751 | 6,694 | ||||||||||||||||
7/11/17 | Bank of America N.A. | MXN | 20,010,498 | 1,101,529 | 1,070,000 | (31,529 | ) | |||||||||||||||
7/11/17 | JPMorgan Chase Bank N.A. | MXN | 11,364,976 | 625,614 | 620,986 | (4,628 | ) | |||||||||||||||
7/25/17 | JPMorgan Chase Bank N.A. | MYR | 2,483,264 | 576,564 | 576,103 | (461 | ) | |||||||||||||||
10/4/17 | JPMorgan Chase Bank N.A. | NGN | 16,801,298 | 49,659 | 49,561 | (98 | ) | |||||||||||||||
9/6/17 | Citibank N.A. | NZD | 448,832 | 328,530 | 327,000 | (1,530 | ) | |||||||||||||||
7/25/17 | BNP Paribas S.A. | PEN | 636,317 | 195,700 | 194,236 | (1,464 | ) | |||||||||||||||
7/5/17 | Citibank N.A. | TRY | 792,186 | 225,025 | 208,000 | (17,025 | ) | |||||||||||||||
7/18/17 | Citibank N.A. | ZAR | 2,751,246 | 209,833 | 204,000 | (5,833 | ) | |||||||||||||||
9/6/17 | Bank of America N.A. | ZAR | 7,261,815 | 549,222 | 550,000 | 778 | ||||||||||||||||
|
| |||||||||||||||||||||
Net unrealized depreciation on forward foreign currency exchange contracts to sell | $ | (149,279 | ) | |||||||||||||||||||
|
|
Currency Legend
ARS | – | Argentine Peso | ||
BRL | – | Brazilian Real | ||
CHF | – | Swiss Franc | ||
CLP | – | Chilean Peso |
See accompanying Notes to the Financial Statements.
137
Barings Emerging Markets Debt Blended Total Return Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
CNH | – | Chinese Yuan Renminbi | ||
COP | – | Colombian Peso | ||
CZK | – | Czech Koruna | ||
EGP | – | Egyptian Pound | ||
EUR | – | Euro | ||
HUF | – | Hungarian Forint | ||
IDR | – | Indonesian Rupiah | ||
ILS | – | Israeli Shekel | ||
INR | – | Indian Rupee | ||
JPY | – | Japanese Yen | ||
KRW | – | South Korean Won | ||
KZT | – | Kazakhstani Tenge | ||
MXN | – | Mexican Peso | ||
MYR | – | Malaysian Ringgit | ||
NGN | – | Nigeria Naira | ||
NZD | – | New Zealand Dollar | ||
PEN | – | Peruvian Nouveau Sol | ||
PHP | – | Philippines Peso | ||
PLN | – | Polish Zloty | ||
RUB | – | Russian Ruble | ||
TRY | – | Turkish New Lira | ||
ZAR | – | South African Rand |
Futures
TYPE | EXPIRATION DATE | CONTRACTS | POSITION | FAIR VALUE | UNREALIZED DEPRECIATION | |||||||||||||
Short Future |
| |||||||||||||||||
U.S. Ultra Bond | 09/20/17 | 2 | Short | $ | 331,750 | $ | (4,335 | ) | ||||||||||
|
|
OTC – Interest Rate Swaps
DESCRIPTION | NOTIONAL | UNREALIZED APPRECIATION (DEPRECIATION) | VALUE | |||||||||||||
Agreement with Bank of America N.A. dated 12/9/15 paying a fixed rate of 1.48% receiving the notional amount multiplied by the KRW-KSDA rate. Expiring 10/24/26 | KRW | 172,000,000 | $ | 5,323 | $ | 5,323 | ||||||||||
Agreement with Bank of America N.A. dated 12/9/15 receiving a fixed rate of 8.09% paying the notional amount multiplied by the ZAR-JIBAR rate. Expiring 1/12/27 | ZAR | 4,300,000 | 2,155 | 2,155 | ||||||||||||
Agreement with Bank of America N.A. dated 5/18/17 receiving a fixed rate of 1.22% paying the notional amount multiplied by the HUF-BUBOR rate. Expiring 5/18/22 | HUF | 308,000,000 | (3,425 | ) | (3,425 | ) | ||||||||||
Agreement with Bank of America N.A. dated 6/1517 receiving a fixed rate of 5.13% paying the notional amount multiplied by the USD-LIBOR rate. Expiring 6/15/25 | USD | 111,880 | (1,944 | ) | (2,019 | ) | ||||||||||
Agreement with JPMorgan Chase Bank N.A. dated 4/26/16 paying a fixed rate of 0.26% receiving the notional amount multiplied by the CZK-PRIBO rate. Expiring 7/15/21 | CZK | 15,800,000 | 17,513 | 17,513 |
See accompanying Notes to the Financial Statements.
138
Barings Emerging Markets Debt Blended Total Return Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
DESCRIPTION | NOTIONAL | UNREALIZED APPRECIATION (DEPRECIATION) | VALUE | |||||||||||||
Agreement with JPMorgan Chase Bank N.A. dated 5/19/17 paying a fixed rate of 0.43% receiving the notional amount multiplied by the ILS-TELBO rate. Expiring 5/19/20 | ILS | 6,500,000 | $ | (3,239 | ) | $ | (3,239 | ) | ||||||||
Agreement with JPMorgan Chase Bank N.A. dated 12/9/15 receiving a fixed rate of 7.45% paying the notional amount multiplied by the ZAR-JIBAR rate. Expiring 1/12/20 | ZAR | 4,460,000 | 4,768 | 4,768 | ||||||||||||
Agreement with JPMorgan Chase Bank N.A. dated 5/19/16 paying a fixed rate of 1.64% receiving the notional amount multiplied by the KRW-KSDA rate. Expiring 5/20/26 | KRW | 190,000,000 | 3,223 | 3,223 | ||||||||||||
|
| |||||||||||||||
Total OTC Interest Rate Swaps | $ | 24,299 | ||||||||||||||
|
|
OTC Credit Default Swaps – Sell Protection (1)(2)
REFERENCE OBLIGATION | FIXED-DEAL RECEIVED | MATURITY DATE | COUNTERPARTY | ORIGINAL NOTIONAL AMOUNT | CURRENT NOTIONAL AMOUNT (3) | UPFRONT PREMIUMS PAID/ (RECEIVED) | FAIR VALUE (4) | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||||||
Brazilian Government International Bond | 1.00 | % | 6/20/2022 | Bank of America N.A. | 300,000 | 300,000 | $ | (17,653 | ) | $ | (18,820 | ) | $ | (1,167 | ) | |||||||||||||||
Colombia Government International Bond | 1.00 | % | 6/20/2022 | Bank of America N.A. | 100,000 | 100,000 | (1,823 | ) | (1,683 | ) | 140 | |||||||||||||||||||
Indonesia Government International Bond | 1.00 | % | 6/20/2022 | Citibank N.A. | 200,000 | 200,000 | (2,712 | ) | (1,590 | ) | 1,122 | |||||||||||||||||||
Mexico Government International Bond | 1.00 | % | 6/20/2022 | BNP Paribas S.A. | 200,000 | 200,000 | (3,826 | ) | (1,212 | ) | 2,614 | |||||||||||||||||||
Panama Government International Bond | 1.00 | % | 6/20/2022 | Bank of America N.A. | $ | 200,000 | 200,000 | (1,742 | ) | 375 | 2,117 | |||||||||||||||||||
Penerbangan Malaysia Bhd | 1.00 | % | 6/20/2022 | BNP Paribas S.A. | 100,000 | 100,000 | (226 | ) | 671 | 897 | ||||||||||||||||||||
Peruvian Government International Bond | 1.00 | % | 6/20/2022 | Citibank N.A. | 200,000 | 200,000 | (365 | ) | 1,306 | 1,671 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total OTC Credit Default Swaps |
| (28,347 | ) | (20,953 | ) | 7,394 | ||||||||||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
139
Barings Emerging Markets Debt Blended Total Return Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | Represents an investment grade index of single name credit default swaps (CDS). All of the companies underlying the single name CDS within the index are rated investment grade or higher. Rating represents a weighted average of the credit ratings of all the companies underlying the single name CDS within the index. |
(3) | The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit event as defined under the terms of that particular swap agreement. |
(4) | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the expected amount paid or received for the credit derivative if the amount of the swap agreement was closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreements. |
Abbreviation Legend
OTC | Over the Counter |
See accompanying Notes to the Financial Statements.
140
Barings Emerging Markets Local Currency Debt Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Fixed Income — 85.2%*: | ||||||||||||||||||||
Foreign Government — 85.2%*: | ||||||||||||||||||||
Brazil — 6.6%*: |
| |||||||||||||||||||
Brazil Notas do Tesouro Nacional Serie B+ | 6.00 | % | 8/15/2050 | 345,000 | $314,109 | $328,514 | ||||||||||||||
Brazil Notas do Tesouro Nacional Serie F+ | 10.00 | 1/1/2025 | 79,000 | 23,982 | 23,196 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Brazil | 424,000 | 338,091 | 351,710 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Chile — 3.0%*: |
| |||||||||||||||||||
Bonos de la Tesoreria de la Republica en pesos+ | 4.50 | 3/1/2021 | 70,000,000 | 110,266 | 110,004 | |||||||||||||||
Chile Government International Bond+ | 5.50 | 8/5/2020 | 32,300,000 | 47,768 | 51,629 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Chile | 102,300,000 | 158,034 | 161,633 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Colombia — 7.5%*: |
| |||||||||||||||||||
Colombian TES+ | 4.75 | 4/4/2035 | 122,463,550 | 47,644 | 45,713 | |||||||||||||||
Colombian TES+ | 7.50 | 8/26/2026 | 137,000,000 | 47,056 | 47,789 | |||||||||||||||
Colombian TES+ | 7.75 | 9/18/2030 | 863,000,000 | 237,883 | 305,535 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Colombia | 1,122,463,550 | 332,583 | 399,037 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Ghana — 1.0%*: |
| |||||||||||||||||||
Ghana Government Bond+ | 24.75 | 3/1/2021 | 100,000 | 26,728 | 26,241 | |||||||||||||||
Ghana Government Bond+ | 24.75 | 7/19/2021 | 110,000 | 28,527 | 29,292 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Ghana | 210,000 | 55,255 | 55,533 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Hungary — 4.7%*: |
| |||||||||||||||||||
Hungary Government Bond+ | 3.25 | 10/22/2031 | 71,600,000 | 250,057 | 252,149 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Indonesia — 10.9%*: |
| |||||||||||||||||||
Indonesia Treasury Bond+ | 7.00 | 5/15/2027 | 900,000,000 | 67,412 | 68,171 | |||||||||||||||
Indonesia Treasury Bond+ | 8.38 | 3/15/2024 | 1,000,000,000 | 81,985 | 80,911 | |||||||||||||||
Indonesia Treasury Bond+ | 8.38 | 3/15/2034 | 5,369,000,000 | 368,065 | 431,454 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Indonesia | 7,269,000,000 | 517,462 | 580,536 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Israel — 1.8%*: |
| |||||||||||||||||||
Israel Government Bond+ | 5.50 | 1/31/2042 | 244,000 | 88,033 | 97,356 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Malaysia — 8.8%*: |
| |||||||||||||||||||
Malaysia Government Bond+ | 3.48 | 3/15/2023 | 1,190,000 | 268,512 | 271,833 | |||||||||||||||
Malaysia Government Bond+ | 4.50 | 4/15/2030 | 550,000 | 128,555 | 128,171 | |||||||||||||||
Malaysia Government Bond+ | 4.94 | 9/30/2043 | 300,000 | 67,482 | 70,617 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Malaysia | 2,040,000 | 464,549 | 470,621 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mexico — 4.5%*: |
| |||||||||||||||||||
Mexican Bonos+ | 7.75 | 11/13/2042 | 4,130,000 | 227,653 | 242,297 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Peru — 4.7%*: |
| |||||||||||||||||||
Peru Government Bond+ | 6.85 | 2/12/2042 | 470,000 | 140,767 | 154,676 | |||||||||||||||
Peru Government Bond+ | 6.95 | 8/12/2031 | 285,000 | 95,421 | 96,821 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Peru | 755,000 | 236,188 | 251,497 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
141
Barings Emerging Markets Local Currency Debt Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Foreign Government (Continued) | ||||||||||||||||||||
Poland — 4.9%*: |
| |||||||||||||||||||
Poland Government Bond+ | 2.50 | % | 7/25/2018 | 950,000 | $249,167 | $258,542 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Romania — 4.4%*: |
| |||||||||||||||||||
Romania Government Bond+ | 5.60 | 11/28/2018 | 550,000 | 142,985 | 146,347 | |||||||||||||||
Romania Government Bond+ | 5.90 | 7/26/2017 | 360,000 | 85,578 | 90,393 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Romania | 910,000 | 228,563 | 236,740 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Russia — 4.3%*: |
| |||||||||||||||||||
Russian Federal Bond—OFZ+ | 7.00 | 8/16/2023 | 8,243,000 | 118,227 | 134,191 | |||||||||||||||
Russian Federal Bond—OFZ+ | 8.50 | 9/17/2031 | 5,300,000 | 88,340 | 94,853 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Russia | 13,543,000 | 206,567 | 229,044 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
South Africa — 8.8%*: |
| |||||||||||||||||||
South Africa Government Bond+ | 6.50 | 2/28/2041 | 3,400,000 | 170,605 | 180,859 | |||||||||||||||
South Africa Government Bond+ | 8.75 | 2/28/2048 | 4,200,000 | 254,147 | 285,944 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total South Africa | 7,600,000 | 424,752 | 466,803 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Thailand — 4.6%*: |
| |||||||||||||||||||
Thailand Government Bond+ | 1.20 | 7/14/2021 | 8,536,960 | 229,474 | 247,406 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Turkey — 4.7%*: |
| |||||||||||||||||||
Turkey Government Bond+ | 6.30 | 2/14/2018 | 900,000 | 240,430 | 248,087 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Foreign Government | 8,605,606,510 | 4,246,858 | 4,548,991 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Fixed Income | 8,605,606,510 | 4,246,858 | 4,548,991 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Short-Term Investment — 11.1%*: | ||||||||||||||||||||
Bank Deposit — 11.1%*: |
| |||||||||||||||||||
State Street Bank & Trust Co. Euro Time Deposit | 0.09 | 7/3/2017 | 592,794 | 592,794 | 592,794 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Investments | 8,606,199,304 | 4,839,652 | 5,141,785 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Other assets and liabilities – 3.7%* | 199,018 | |||||||||||||||||||
|
| |||||||||||||||||||
Net Assets – 100.0% | $5,340,803 | |||||||||||||||||||
|
|
‡‡ | Unless otherwise indicated, all principal amounts are denominated in United States Dollars. |
* | Calculated as a percentage of net assets applicable to common shareholders. |
+ | Foreign security. |
Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:
Indonesia | 12.8% | |||
Malaysia | 10.4% | |||
South Africa | 10.3% |
See accompanying Notes to the Financial Statements.
142
Barings Emerging Markets Local Currency Debt Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
Colombia | 8.8% | |||
Brazil | 7.7% | |||
Poland | 5.7% | |||
Hungary | 5.5% | |||
Peru | 5.5% | |||
Turkey | 5.5% | |||
Thailand | 5.4% | |||
Mexico | 5.3% | |||
Romania | 5.2% | |||
Russia | 5.0% | |||
Chile | 3.6% | |||
Israel | 2.1% | |||
Ghana | 1.2% | |||
|
| |||
Total | 100.0% | |||
|
|
A summary of outstanding derivatives at June 30, 2017 is as follows:
Cross Currency Forward Foreign Currency Exchange Contracts
EXPIRATION DATE | DELIVER/RECEIVE | COUNTERPARTY | CONTRACT AMOUNT PURCHASED | CONTRACT AMOUNT SOLD | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
3/6/18 | EUR/CZK | Bank of America N.A. | 3,765,617 | 141,000 | $ | 4,306 | ||||||||||
3/6/18 | EUR/CZK | BNP Paribas S.A. | 6,374,210 | 242,000 | 3,447 | |||||||||||
9/6/17 | EUR/HRK | JPMorgan Chase Bank N.A. | 697,198 | 94,000 | (34 | ) | ||||||||||
7/18/17 | EUR/HUF | Citibank N.A. | 41,834,583 | 135,000 | 369 | |||||||||||
7/18/17 | EUR/PLN | BNP Paribas S.A. | 147,009 | 34,470 | 299 | |||||||||||
7/18/17 | EUR/RON | Citibank N.A. | 980,247 | 219,557 | (5,162 | ) | ||||||||||
9/6/17 | EUR/RON | BNP Paribas S.A. | 425,754 | 93,000 | 312 | |||||||||||
9/6/17 | EUR/RON | Bank of America N.A. | 18,311 | 3,995 | 19 | |||||||||||
9/6/17 | EUR/RSD | Bank of America N.A. | 12,268,750 | 99,262 | 2,006 | |||||||||||
7/18/17 | HUF/EUR | Citibank N.A. | 110,655 | 34,581,341 | (1,376 | ) | ||||||||||
7/18/17 | PLN/EUR | Bank of America N.A. | 48,000 | 203,277 | (30 | ) | ||||||||||
7/18/17 | PLN/EUR | BNP Paribas S.A. | 124,000 | 529,207 | (1,177 | ) | ||||||||||
|
| |||||||||||||||
Net unrealized appreciation on cross currency forward foreign currency exchange contracts | $ | 2,979 | ||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts to Buy
EXPIRATION DATE | COUNTERPARTY | LOCAL CURRENCY | VALUE IN USD | IN EXCHANGE FOR USD | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
6/15/18 | JPMorgan Chase Bank N.A. | ARS | 6,562,500 | 338,248 | 350,000 | $ | (11,752 | ) | ||||||||||||||
7/11/17 | State Street Bank & Trust Co. | BRL | 865,359 | 260,823 | 262,787 | (1,964 | ) | |||||||||||||||
7/11/17 | JPMorgan Chase Bank N.A. | BRL | 172,432 | 51,972 | 53,889 | (1,917 | ) | |||||||||||||||
9/6/17 | BNP Paribas S.A. | BRL | 56,933 | 16,958 | 17,000 | (42 | ) | |||||||||||||||
7/25/17 | BNP Paribas S.A. | CLP | 30,216,900 | 45,435 | 45,583 | (148 | ) |
See accompanying Notes to the Financial Statements.
143
Barings Emerging Markets Local Currency Debt Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EXPIRATION DATE | COUNTERPARTY | LOCAL CURRENCY | VALUE IN USD | IN EXCHANGE FOR USD | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
9/6/17 | JPMorgan Chase Bank N.A. | CLP | 116,767,200 | 175,340 | 176,000 | $ | (660 | ) | ||||||||||||||
11/14/17 | JPMorgan Chase Bank N.A. | CNH | 198,610 | 29,024 | 28,000 | 1,024 | ||||||||||||||||
11/14/17 | Bank of America N.A. | CNH | 82,294 | 12,026 | 12,000 | 26 | ||||||||||||||||
11/14/17 | Goldman Sachs & Co. | CNH | 119,308 | 17,435 | 17,000 | 435 | ||||||||||||||||
8/7/17 | JPMorgan Chase Bank N.A. | EGP | 944,308 | 51,589 | 52,000 | (411 | ) | |||||||||||||||
8/7/17 | BNP Paribas S.A. | EGP | 1,016,400 | 55,528 | 56,000 | (472 | ) | |||||||||||||||
7/18/17 | Bank of America N.A. | EUR | 224,671 | 256,419 | 246,079 | 10,340 | ||||||||||||||||
9/6/17 | Bank of America N.A. | EUR | 399,690 | 457,347 | 450,202 | 7,145 | ||||||||||||||||
9/6/17 | JPMorgan Chase Bank N.A. | EUR | 123,399 | 141,200 | 139,701 | 1,499 | ||||||||||||||||
9/6/17 | JPMorgan Chase Bank N.A. | GBP | 78,153 | 101,711 | 101,439 | 272 | ||||||||||||||||
7/18/17 | Bank of America N.A. | HUF | 63,280,114 | 233,619 | 216,219 | 17,400 | ||||||||||||||||
8/28/17 | Bank of America N.A. | IDR | 1,050,169,000 | 78,273 | 78,236 | 37 | ||||||||||||||||
8/28/17 | Citibank N.A. | IDR | 227,936,000 | 16,989 | 17,000 | (11 | ) | |||||||||||||||
9/6/17 | JPMorgan Chase Bank N.A. | JPY | 12,026,083 | 107,314 | 107,000 | 314 | ||||||||||||||||
9/6/17 | Citibank N.A. | KRW | 177,940,000 | 155,557 | 155,896 | (339 | ) | |||||||||||||||
7/25/17 | Bank of America N.A. | KZT | 49,036,500 | 151,517 | 154,787 | (3,270 | ) | |||||||||||||||
7/11/17 | JPMorgan Chase Bank N.A. | MXN | 13,846,085 | 764,269 | 728,731 | 35,538 | ||||||||||||||||
7/25/17 | JPMorgan Chase Bank N.A. | MYR | 1,399,891 | 325,140 | 317,343 | 7,797 | ||||||||||||||||
10/4/17 | Citibank N.A. | NGN | 90,738,700 | 268,691 | 259,941 | 8,750 | ||||||||||||||||
9/6/17 | Bank of America N.A. | PHP | 8,924,400 | 175,716 | 180,000 | (4,284 | ) | |||||||||||||||
7/18/17 | Citibank N.A. | PLN | 2,499,050 | 673,863 | 625,002 | 48,861 | ||||||||||||||||
7/18/17 | JPMorgan Chase Bank N.A. | RUB | 11,729,433 | 197,438 | 200,767 | (3,329 | ) | |||||||||||||||
9/6/17 | BNP Paribas S.A. | RUB | 1,154,005 | 19,224 | 20,000 | (776 | ) | |||||||||||||||
7/25/17 | JPMorgan Chase Bank N.A. | SGD | 70,453 | 51,185 | 51,015 | 170 | ||||||||||||||||
7/25/17 | Citibank N.A. | THB | 5,060,672 | 148,975 | 146,398 | 2,577 | ||||||||||||||||
7/18/17 | Citibank N.A. | TRY | 841,932 | 238,006 | 235,000 | 3,006 | ||||||||||||||||
7/18/17 | JPMorgan Chase Bank N.A. | TRY | 159,012 | 44,951 | 41,774 | 3,177 | ||||||||||||||||
7/18/17 | Bank of America N.A. | ZAR | 962,071 | 73,263 | 68,433 | 4,830 | ||||||||||||||||
|
| |||||||||||||||||||||
Net unrealized appreciation on forward foreign currency exchange contracts to buy | $ | 123,823 | ||||||||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts to Sell
EXPIRATION DATE | COUNTERPARTY | LOCAL CURRENCY | VALUE IN USD | IN EXCHANGE FOR USD | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
12/15/17 | JPMorgan Chase Bank N.A. | ARS | 6,114,500 | 340,753 | 350,000 | $ | 9,247 | |||||||||||||||
9/6/17 | JPMorgan Chase Bank N.A. | CHF | 102,065 | 106,999 | 107,000 | 1 | ||||||||||||||||
7/25/17 | Citibank N.A. | CLP | 30,216,900 | 45,435 | 45,614 | 179 | ||||||||||||||||
9/6/17 | Bank of America N.A. | CLP | 216,059,709 | 324,439 | 321,246 | (3,193 | ) | |||||||||||||||
9/6/17 | JPMorgan Chase Bank N.A. | CLP | 17,548,700 | 26,351 | 26,000 | (351 | ) | |||||||||||||||
11/14/17 | BNP Paribas S.A. | CNH | 3,037,089 | 443,822 | 436,000 | (7,822 | ) | |||||||||||||||
11/14/17 | JPMorgan Chase Bank N.A. | CNH | 880,803 | 128,715 | 126,000 | (2,715 | ) | |||||||||||||||
7/11/17 | BNP Paribas S.A. | COP | 36,528,000 | 11,948 | 12,000 | 52 | ||||||||||||||||
7/11/17 | Citibank N.A. | COP | 63,976,000 | 20,925 | 21,923 | 998 |
See accompanying Notes to the Financial Statements.
144
Barings Emerging Markets Local Currency Debt Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EXPIRATION DATE | COUNTERPARTY | LOCAL CURRENCY | VALUE IN USD | IN EXCHANGE FOR USD | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
7/18/17 | Goldman Sachs & Co. | EUR | 531,691 | 606,825 | 567,366 | $ | (39,459 | ) | ||||||||||||||
9/6/17 | BNP Paribas S.A. | GBP | 78,153 | 101,712 | 101,000 | (712 | ) | |||||||||||||||
7/18/17 | JPMorgan Chase Bank N.A. | ILS | 904,086 | 259,190 | 248,031 | (11,159 | ) | |||||||||||||||
8/28/17 | BNP Paribas S.A. | INR | 10,250,472 | 157,622 | 156,789 | (833 | ) | |||||||||||||||
9/6/17 | JPMorgan Chase Bank N.A. | KRW | 177,940,000 | 155,558 | 158,790 | 3,232 | ||||||||||||||||
7/11/17 | JPMorgan Chase Bank N.A. | MXN | 402,243 | 22,203 | 21,979 | (224 | ) | |||||||||||||||
7/11/17 | Bank of America N.A. | MXN | 2,412,481 | 133,163 | 129,000 | (4,163 | ) | |||||||||||||||
7/11/17 | BNP Paribas S.A. | MXN | 865,073 | 47,750 | 48,000 | 250 | ||||||||||||||||
7/25/17 | JPMorgan Chase Bank N.A. | MYR | 731,075 | 169,801 | 170,000 | 199 | ||||||||||||||||
10/4/17 | JPMorgan Chase Bank N.A. | NGN | 8,432,835 | 24,971 | 24,876 | (95 | ) | |||||||||||||||
9/6/17 | BNP Paribas S.A. | NZD | 221,030 | 161,656 | 161,000 | (656 | ) | |||||||||||||||
8/28/17 | BNP Paribas S.A. | PEN | 82,563 | 25,297 | 25,000 | (297 | ) | |||||||||||||||
7/18/17 | JPMorgan Chase Bank N.A. | RON | 1,124,391 | 281,510 | 265,082 | (16,428 | ) | |||||||||||||||
7/18/17 | JPMorgan Chase Bank N.A. | RUB | 695,985 | 11,715 | 12,000 | 285 | ||||||||||||||||
7/25/17 | JPMorgan Chase Bank N.A. | SGD | 70,453 | 51,185 | 50,244 | (941 | ) | |||||||||||||||
7/18/17 | State Street Bank & Trust Co. | ZAR | 962,071 | 73,263 | 73,508 | 245 | ||||||||||||||||
9/6/17 | Bank of America N.A. | ZAR | 739,385 | 55,835 | 56,000 | 165 | ||||||||||||||||
9/6/17 | Citibank N.A. | ZAR | 249,428 | 18,836 | 19,000 | 164 | ||||||||||||||||
|
| |||||||||||||||||||||
Net unrealized depreciation on forward foreign currency exchange contracts to sell | $ | (74,031 | ) | |||||||||||||||||||
|
|
Currency Legend
ARS | – | Argentine Peso | ||
BRL | – | Brazilian Real | ||
CHF | – | Swiss Franc | ||
CLP | – | Chilean Peso | ||
CNH | – | Chinese Yuan Renminbi | ||
COP | – | Colombian Peso | ||
CZK | – | Czech Koruna | ||
EGP | – | Egyptian Pound | ||
EUR | – | Euro | ||
GBP | – | British Pound Sterling | ||
HRK | – | Croatian Kuna | ||
HUF | – | Hungarian Forint | ||
IDR | – | Indonesian Rupiah | ||
ILS | – | Israeli Shekel | ||
INR | – | Indian Rupee | ||
JPY | – | Japanese Yen | ||
KRW | – | South Korean Won | ||
KZT | – | Kazakhstani Tenge | ||
MXN | – | Mexican Peso | ||
MYR | – | Malaysian Ringgit | ||
NGN | – | Nigeria Naira |
See accompanying Notes to the Financial Statements.
145
Barings Emerging Markets Local Currency Debt Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
NZD | – | New Zealand Dollar | ||
PEN | – | Peruvian Nouveau Sol | ||
PHP | – | Philippines Peso | ||
PLN | – | Polish Zloty | ||
RON | – | Romanian New Leu | ||
RSD | – | Serbian Dinar. | ||
RUB | – | Russian Ruble | ||
SGD | – | Singapore Dollar | ||
THB | – | Thai Baht | ||
TRY | – | Turkish New Lira | ||
ZAR | – | South African Rand |
OTC – Interest Rate Swaps
DESCRIPTION | NOTIONAL AMOUNT | UNREALIZED APPRECIATION (DEPRECIATION) | VALUE | |||||||||
Agreement with Bank of America N.A. dated 12/12/15 receiving a fixed rate of 1.06% paying the notional amount multiplied by the CZK-PRIBO rate. Expiring 4/4/27 | CZK | 1,511,300 | $ | 1,259 | $ | 1,259 | ||||||
Agreement with Bank of America N.A. dated 12/9/15 receiving a fixed rate of 8.68% paying the notional amount multiplied by the ZAR-JIBAR rate. Expiring 12/9/25 | ZAR | 8,000,000 | 29,957 | 29,957 | ||||||||
Agreement with Bank of America N.A. dated 5/18/17 paying a fixed rate of 1.22% receiving the notional amount multiplied by the HUF-BUBOR rate. Expiring 5/18/22 | HUF | 92,000,000 | (1,021 | ) | (1,021 | ) | ||||||
Agreement with JPMorgan Chase Bank N.A. dated 12/9/15 receiving a fixed rate of 6.35% paying the notional amount multiplied by the MXN-TIIE rate. Expiring 11/27/25 | MXN | 4,750,000 | (12,635 | ) | (12,635 | ) | ||||||
Agreement with JPMorgan Chase Bank N.A. dated 12/12/15 paying a fixed rate of 0.25% receiving the notional amount multiplied by the CZK-PRIBO rate. Expiring 2/16/21 | CZK | 2,500,000 | 2,397 | 2,397 | ||||||||
Agreement with JPMorgan Chase Bank N.A. dated 5/19/16 paying a fixed rate of 1.64% receiving the notional amount multiplied by the KRW-KSDA rate. Expiring 5/20/26 | KRW | 159,000,000 | 2,698 | 2,698 | ||||||||
Agreement with JPMorgan Chase Bank N.A. dated 5/19/17 paying a fixed rate of 0.43% receiving the notional amount multiplied by the ILS-TELBO rate. Expiring 5/19/20 | ILS | 1,700,000 | (847 | ) | (847 | ) | ||||||
Agreement with JPMorgan Chase Bank N.A. dated 7/13/16 paying a fixed rate of 0.26% receiving the notional amount multiplied by the CZK-PRIBO rate. Expiring 7/15/21 | CZK | 4,300,000 | 4,761 | 4,761 | ||||||||
|
| |||||||||||
Total OTC Interest Rate Swaps | $ | 26,569 | ||||||||||
|
|
See accompanying Notes to the Financial Statements.
146
Barings Emerging Markets Local Currency Debt Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
Centrally Cleared Interest Rate Swap
FLOATING RATE REFERENCE | PAY/ RECEIVE FLOATING RATE | FIXED RATE | MATURITY DATE | NOTIONAL AMOUNT | CLEARED EXCHANGE | UNREALIZED APPRECIATION | ||||||||||||||||
MXN_TIIE Rate | Receive | 7.77 | % | 4/5/27 | 14,700,000 | CME | 2,120 | |||||||||||||||
|
|
Abbreviation Legend
OTC | Over the Counter |
See accompanying Notes to the Financial Statements.
147
Barings Global High Yield Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Fixed Income — 98.8%*: | ||||||||||||||||||||
Bank Loans — 2.0%*§: | ||||||||||||||||||||
Beverage, Food and Tobacco — 0.2%*: |
| |||||||||||||||||||
Del Monte Foods, Inc. | 4.43 | % | 2/18/2021 | 74,538 | $66,979 | $59,817 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Buildings and Real Estate — 0.9%*: |
| |||||||||||||||||||
CD&R Plumb Buyer, LLC¤ | 7.05 | 6/26/2018 | 255,372 | 255,372 | 255,372 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mining, Steel, Iron and Non-Precious Metals — 0.5%*: |
| |||||||||||||||||||
Murray Energy Corp. | 8.55 | 4/16/2020 | 149,603 | 143,337 | 145,862 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 0.4%*: |
| |||||||||||||||||||
Gulf Finance LLC | 6.55 | 8/25/2023 | 104,667 | 103,759 | 97,210 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Bank Loans | 584,180 | 569,447 | 558,261 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Corporate Bonds — 96.8%*: | ||||||||||||||||||||
Aerospace and Defense — 2.4%*: |
| |||||||||||||||||||
American Airlines Group, Inc.^ | 5.50 | 10/1/2019 | 265,000 | 269,064 | 279,072 | |||||||||||||||
Swissport Investments SA+ | 9.75 | 12/15/2022 | 100,000 | 123,135 | 127,235 | |||||||||||||||
TransDigm, Inc. | 6.38 | 6/15/2026 | 262,000 | 259,748 | 265,930 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Aerospace and Defense | 627,000 | 651,947 | 672,237 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Automobile — 1.8%*: |
| |||||||||||||||||||
International Automotive Components Group SA^ | 9.13 | 6/1/2018 | 250,000 | 250,954 | 244,375 | |||||||||||||||
JB Poindexter & Co., Inc.^ | 9.00 | 4/1/2022 | 250,000 | 261,201 | 262,188 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Automobile | 500,000 | 512,155 | 506,563 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Banking — 0.4%*: |
| |||||||||||||||||||
Intrum Justitia AB+ | 3.13 | 7/15/2024 | 100,000 | 112,000 | 113,722 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Beverage, Food and Tobacco — 1.7%*: |
| |||||||||||||||||||
Boparan Finance PLC+ | 5.25 | 7/15/2019 | 150,000 | 191,660 | 193,414 | |||||||||||||||
JBS USA LUX SA/JBS USA Finance, Inc.^ | 5.88 | 7/15/2024 | 137,000 | 140,839 | 128,437 | |||||||||||||||
KeHE Distributors LLC/KeHE Finance Corp.^ | 7.63 | 8/15/2021 | 150,000 | 151,423 | 150,375 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Beverage, Food and Tobacco | 437,000 | 483,922 | 472,226 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Broadcasting and Entertainment — 5.1%*: |
| |||||||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.^ | 5.75 | 2/15/2026 | 250,000 | 250,000 | 267,500 | |||||||||||||||
Clear Channel Worldwide Holdings, Inc. | 7.63 | 3/15/2020 | 245,000 | 243,851 | 241,775 | |||||||||||||||
DISH DBS Corp. | 7.75 | 7/1/2026 | 316,000 | 316,000 | 374,460 | |||||||||||||||
Sirius XM Radio, Inc.^ | 5.00 | 8/1/2027 | 250,000 | 250,000 | 251,875 | |||||||||||||||
Sirius XM Radio, Inc.^ | 5.38 | 7/15/2026 | 156,000 | 155,062 | 161,460 | |||||||||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH+ | 6.25 | 1/15/2029 | 100,000 | 117,986 | 129,466 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Broadcasting and Entertainment | 1,317,000 | 1,332,899 | 1,426,536 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
148
Barings Global High Yield Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Buildings and Real Estate — 0.9%*: |
| |||||||||||||||||||
Brookfield Residential Properties, Inc.^ | 6.50 | % | 12/15/2020 | 250,000 | $249,554 | $258,125 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Cargo Transport — 4.2%*: |
| |||||||||||||||||||
Deck Chassis Acquisition, Inc.^ | 10.00 | 6/15/2023 | 387,000 | 394,215 | 429,570 | |||||||||||||||
Kenan Advantage Group, Inc.^ | 7.88 | 7/31/2023 | 400,000 | 411,962 | 420,000 | |||||||||||||||
WFS Global Holding SAS+ | 9.50 | 7/15/2022 | 250,000 | 279,340 | 311,136 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Cargo Transport | 1,037,000 | 1,085,517 | 1,160,706 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Chemicals, Plastics and Rubber — 4.1%*: |
| |||||||||||||||||||
Chemours Co. (The) | 5.38 | 5/15/2027 | 156,000 | 154,532 | 161,053 | |||||||||||||||
Chemours Co. (The) | 7.00 | 5/15/2025 | 88,000 | 89,060 | 95,920 | |||||||||||||||
Consolidated Energy Finance SA^ | 6.88 | 6/15/2025 | 300,000 | 298,507 | 308,640 | |||||||||||||||
INEOS Group Holdings SA+ | 5.38 | 8/1/2024 | 100,000 | 111,085 | 120,739 | |||||||||||||||
LBC Tank Terminals Holding Netherlands BV^ | 6.88 | 5/15/2023 | 215,000 | 208,014 | 223,063 | |||||||||||||||
Monitchem HoldCo 2 SA+ | 6.88 | 6/15/2022 | 100,000 | 98,140 | 113,939 | |||||||||||||||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. | 6.38 | 5/1/2022 | 100,000 | 116,683 | 121,707 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Chemicals, Plastics and Rubber | 1,059,000 | 1,076,021 | 1,145,061 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Containers, Packaging and Glass — 5.0%*: |
| |||||||||||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.+ | 4.75 | 7/15/2027 | 100,000 | 128,795 | 130,050 | |||||||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.+^ | 6.00 | 2/15/2025 | 366,000 | 366,000 | 384,300 | |||||||||||||||
Coveris Holdings SA^ | 7.88 | 11/1/2019 | 572,000 | 554,703 | 563,420 | |||||||||||||||
Horizon Holdings I SASU+ | 7.25 | 8/1/2023 | 100,000 | 115,929 | 120,973 | |||||||||||||||
SIG Combibloc Holdings SCA+ | 7.75 | 2/15/2023 | 150,000 | 171,817 | 182,280 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Containers, Packaging and Glass | 1,288,000 | 1,337,244 | 1,381,023 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified/Conglomerate Manufacturing — 2.5%*: |
| |||||||||||||||||||
Amsted Industries, Inc.^ | 5.38 | 9/15/2024 | 46,000 | 45,890 | 47,610 | |||||||||||||||
Appvion, Inc.^ | 9.00 | 6/1/2020 | 327,000 | 198,270 | 170,040 | |||||||||||||||
EnPro Industries, Inc. | 5.88 | 9/15/2022 | 221,000 | 222,752 | 230,393 | |||||||||||||||
West Corp.^ | 5.38 | 7/15/2022 | 250,000 | 241,614 | 252,500 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Manufacturing | 844,000 | 708,526 | 700,543 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified/Conglomerate Service — 5.2%*: |
| |||||||||||||||||||
Carlson Travel, Inc.^ | 9.50 | 12/15/2024 | 280,000 | 280,000 | 286,650 | |||||||||||||||
CSVC Acquisition Corp.^ | 7.75 | 6/15/2025 | 275,000 | 275,000 | 280,844 | |||||||||||||||
Loxam SAS+ | 6.00 | 4/15/2025 | 100,000 | 107,720 | 123,609 | |||||||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc.^ | 9.25 | 5/15/2023 | 250,000 | 250,000 | 271,665 | |||||||||||||||
Veritas US, Inc./Veritas Bermuda Ltd.^ | 10.50 | 2/1/2024 | 200,000 | 216,845 | 218,500 | |||||||||||||||
Zachry Holdings, Inc.^ | 7.50 | 2/1/2020 | 250,000 | 252,015 | 257,500 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Service | 1,355,000 | 1,381,580 | 1,438,768 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
149
Barings Global High Yield Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Electronics — 2.6%*: |
| |||||||||||||||||||
Dell International LLC/EMC Corp.^ | 7.13 | % | 6/15/2024 | 154,000 | $154,000 | $169,285 | ||||||||||||||
j2 Cloud Services LLC/j2 Global Co-Obligor, Inc.^ | 6.00 | 7/15/2025 | 95,000 | 95,000 | 97,850 | |||||||||||||||
TIBCO Software, Inc.^ | 11.38 | 12/1/2021 | 258,000 | 281,307 | 284,445 | |||||||||||||||
Western Digital Corp. | 10.50 | 4/1/2024 | 150,000 | 150,000 | 176,952 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Electronics | 657,000 | 680,307 | 728,532 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Finance — 8.2%*: |
| |||||||||||||||||||
Aircastle Ltd. | 4.13 | 5/1/2024 | 250,000 | 250,000 | 254,850 | |||||||||||||||
Aircastle Ltd. | 5.00 | 4/1/2023 | 19,000 | 19,941 | 20,282 | |||||||||||||||
Aircastle Ltd. | 5.50 | 2/15/2022 | 19,000 | 20,316 | 20,710 | |||||||||||||||
Arrow Global Finance PLC+ | 5.13 | 9/15/2024 | 100,000 | 118,746 | 134,804 | |||||||||||||||
Cabot Financial Luxembourg SA+ | 7.50 | 10/1/2023 | 100,000 | 135,962 | 140,339 | |||||||||||||||
Galaxy Finco Ltd.+ | 7.88 | 11/15/2021 | 250,000 | 381,374 | 333,916 | |||||||||||||||
Garfunkelux Holdco 3 S.A.+ | 8.50 | 11/1/2022 | 300,000 | 459,758 | 417,793 | |||||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.+ | 6.75 | 2/1/2024 | 250,000 | 250,000 | 260,650 | |||||||||||||||
Jerrold Finco PLC+ | 6.13 | 1/15/2024 | 100,000 | 124,555 | 131,951 | |||||||||||||||
LPL Holdings, Inc.^ | 5.75 | 9/15/2025 | 300,000 | 300,000 | 312,000 | |||||||||||||||
Marlin Intermediate Holdings PLC MTN+ | 10.50 | 8/1/2020 | 100,000 | 140,292 | 138,054 | |||||||||||||||
Orchestra Borrower LLC/Orchestra Co-Issuer, Inc.^ | 6.75 | 6/15/2022 | 102,000 | 102,000 | 105,101 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Finance | 1,890,000 | 2,302,944 | 2,270,450 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Grocery — 1.9%*: | ||||||||||||||||||||
Post Holdings, Inc.^ | 5.50 | 3/1/2025 | 200,000 | 200,000 | 206,250 | |||||||||||||||
Post Holdings, Inc.^ | 5.75 | 3/1/2027 | 200,000 | 200,000 | 205,500 | |||||||||||||||
Premier Foods Finance PLC+ | 6.50 | 3/15/2021 | 100,000 | 146,280 | 131,899 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Grocery | 500,000 | 546,280 | 543,649 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Healthcare, Education and Childcare — 7.4%*: | ||||||||||||||||||||
CHS/Community Health Systems, Inc. | 6.25 | 3/31/2023 | 177,000 | 177,000 | 182,726 | |||||||||||||||
CHS/Community Health Systems, Inc. | 6.88 | 2/1/2022 | 184,000 | 161,509 | 160,770 | |||||||||||||||
Cognita Financing PLC+ | 7.75 | 8/15/2021 | 100,000 | 135,170 | 135,676 | |||||||||||||||
Eagle Holding Co. II LLC PIK^ | 7.63 | 5/15/2022 | 120,000 | 120,000 | 123,450 | |||||||||||||||
HCA, Inc. | 5.38 | 2/1/2025 | 200,000 | 202,992 | 210,960 | |||||||||||||||
IDH Finance PLC+ | 6.25 | 8/15/2022 | 100,000 | 131,025 | 126,566 | |||||||||||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC^ | 5.50 | 4/15/2025 | 11,000 | 9,954 | 9,625 | |||||||||||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA^ | 6.63 | 5/15/2022 | 152,000 | 141,397 | 145,160 | |||||||||||||||
RegionalCare Hospital Partners Holdings, Inc.^ | 8.25 | 5/1/2023 | 145,000 | 145,413 | 155,512 | |||||||||||||||
Tenet Healthcare Corp.^ | 4.63 | 7/15/2024 | 111,000 | 111,000 | 111,139 | |||||||||||||||
THC Escrow Corp. III^ | 4.63 | 7/15/2024 | 139,000 | 139,000 | 139,375 | |||||||||||||||
Valeant Pharmaceuticals International, Inc.^ | 5.50 | 3/1/2023 | 101,000 | 75,027 | 85,723 |
See accompanying Notes to the Financial Statements.
150
Barings Global High Yield Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Healthcare, Education and Childcare (Continued) | ||||||||||||||||||||
Valeant Pharmaceuticals International, Inc.^ | 5.88 | % | 5/15/2023 | 42,000 | $34,652 | $36,015 | ||||||||||||||
Valeant Pharmaceuticals International, Inc.^ | 6.13 | 4/15/2025 | 224,000 | 195,473 | 189,560 | |||||||||||||||
Valeant Pharmaceuticals International, Inc.^ | 6.50 | 3/15/2022 | 118,000 | 118,000 | 123,753 | |||||||||||||||
Valeant Pharmaceuticals International, Inc.^ | 7.00 | 3/15/2024 | 125,000 | 125,000 | 131,406 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Healthcare, Education and Childcare | 2,049,000 | 2,022,612 | 2,067,416 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Home and Office Furnishings, Housewares, and Durable Consumer Products — 0.6%*: |
| |||||||||||||||||||
LSF9 Balta Issuer SA+ | 7.75 | 9/15/2022 | 139,020 | 158,140 | 172,850 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Hotels, Motels, Inns and Gaming — 3.0%*: | ||||||||||||||||||||
Pinnacle Entertainment, Inc.^ | 5.63 | 5/1/2024 | 250,000 | 251,152 | 260,000 | |||||||||||||||
Thomas Cook Group PLC+ | 6.25 | 6/15/2022 | 150,000 | 159,953 | 184,600 | |||||||||||||||
TVL Finance PLC+ | 8.50 | 5/15/2023 | 180,000 | 255,953 | 259,838 | |||||||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.^ | 5.25 | 5/15/2027 | 125,000 | 125,000 | 128,047 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Hotels, Motels, Inns and Gaming | 705,000 | 792,058 | 832,485 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Insurance — 0.9%*: | ||||||||||||||||||||
York Risk Services Holding Corp.^ | 8.50 | 10/1/2022 | 250,000 | 228,153 | 240,625 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Leisure, Amusement, Entertainment — 5.6%*: | ||||||||||||||||||||
AMC Entertainment Holdings, Inc. | 6.38 | 11/15/2024 | 100,000 | 121,910 | 139,622 | |||||||||||||||
Brunswick Corp. | 7.13 | 8/1/2027 | 817,000 | 865,814 | 949,462 | |||||||||||||||
Perform Group Financing PLC+ | 8.50 | 11/15/2020 | 100,000 | 149,868 | 136,106 | |||||||||||||||
WMG Acquisition Corp.^ | 5.00 | 8/1/2023 | 160,000 | 160,000 | 164,000 | |||||||||||||||
WMG Acquisition Corp.^ | 6.75 | 4/15/2022 | 150,000 | 150,959 | 157,687 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Leisure, Amusement, Entertainment | 1,327,000 | 1,448,551 | 1,546,877 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mining, Steel, Iron and Non-Precious Metals — 5.5%*: |
| |||||||||||||||||||
Allegheny Technologies, Inc. | 5.95 | 1/15/2021 | 260,000 | 261,038 | 260,650 | |||||||||||||||
Alliance Resource Operating Partners LP/Alliance Resource Finance Corp.^ | 7.50 | 5/1/2025 | 215,000 | 215,000 | 226,019 | |||||||||||||||
Constellium NV+ | 7.00 | 1/15/2023 | 130,000 | 127,424 | 152,661 | |||||||||||||||
Hecla Mining Co. | 6.88 | 5/1/2021 | 250,000 | 221,207 | 259,375 | |||||||||||||||
Kinross Gold Corp.+ | 5.95 | 3/15/2024 | 127,000 | 132,202 | 140,295 | |||||||||||||||
Kinross Gold Corp. | 6.88 | 9/1/2041 | 82,000 | 81,594 | 87,535 | |||||||||||||||
Peabody Energy Corp.^ | 6.00 | 3/31/2022 | 74,000 | 74,000 | 73,445 | |||||||||||||||
Peabody Energy Corp.^ | 6.38 | 3/31/2025 | 98,000 | 98,000 | 96,530 | |||||||||||||||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.^ | 7.50 | 6/15/2025 | 250,000 | 246,318 | 246,875 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Mining, Steel, Iron and Non-Precious Metals | 1,486,000 | 1,456,783 | 1,543,385 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 13.5%*: | ||||||||||||||||||||
Chesapeake Energy Corp.^ | 8.00 | 1/15/2025 | 200,000 | 197,186 | 198,000 | |||||||||||||||
Chesapeake Energy Corp.^ | 8.00 | 6/15/2027 | 125,000 | 125,000 | 122,813 |
See accompanying Notes to the Financial Statements.
151
Barings Global High Yield Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Oil and Gas (Continued) | ||||||||||||||||||||
Citgo Holding, Inc.^ | 10.75 | % | 2/15/2020 | 341,000 | $344,420 | $370,411 | ||||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc.^ | 8.00 | 11/29/2024 | 125,000 | 125,000 | 124,687 | |||||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc.^ | 8.00 | 2/15/2025 | 350,000 | 350,000 | 260,750 | |||||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc. | 9.38 | 5/1/2020 | 58,000 | 53,982 | 45,748 | |||||||||||||||
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp.^ | 8.63 | 6/15/2020 | 500,000 | 492,325 | 472,500 | |||||||||||||||
Jupiter Resources, Inc.+^ | 8.50 | 10/1/2022 | 405,000 | 327,658 | 303,750 | |||||||||||||||
KCA Deutag UK Finance PLC^+ | 9.88 | 4/1/2022 | 100,000 | 103,214 | 97,000 | |||||||||||||||
Kosmos Energy Ltd.^ | 7.88 | 8/1/2021 | 450,000 | 430,379 | 459,000 | |||||||||||||||
Newfield Exploration Co. | 5.38 | 1/1/2026 | 250,000 | 242,352 | 258,750 | |||||||||||||||
Rowan Cos., Inc. | 7.38 | 6/15/2025 | 188,000 | 188,000 | 175,310 | |||||||||||||||
Topaz Marine SA+^ | 8.63 | 11/1/2018 | 400,000 | 392,981 | 397,256 | |||||||||||||||
Transocean, Inc. | 6.80 | 3/15/2038 | 42,000 | 33,567 | 30,660 | |||||||||||||||
Transocean, Inc. | 9.35 | 12/15/2041 | 32,000 | 29,763 | 28,480 | |||||||||||||||
Tullow Oil PLC+^ | 6.25 | 4/15/2022 | 250,000 | 203,518 | 227,812 | |||||||||||||||
Welltec A/S^+ | 8.00 | 2/1/2019 | 200,000 | 195,182 | 194,000 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Oil and Gas | 4,016,000 | 3,834,527 | 3,766,927 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Personal Transportation — 1.9%*: | ||||||||||||||||||||
AA Bond Co. Ltd.+ | 5.50 | 7/31/2022 | 200,000 | 276,668 | 270,383 | |||||||||||||||
Hertz Corp. (The)^ | 7.63 | 6/1/2022 | 250,000 | 250,000 | 249,400 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Personal Transportation | 450,000 | 526,668 | 519,783 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Personal, Food and Miscellaneous — 0.5%*: | ||||||||||||||||||||
Ocado Group PLC+ | 4.00 | 6/15/2024 | 100,000 | 128,148 | 128,098 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Retail Stores — 2.4%*: | ||||||||||||||||||||
HSS Financing PLC+ | 6.75 | 8/1/2019 | 68,000 | 98,033 | 88,159 | |||||||||||||||
International Car Wash Group Financing PLC+ | 6.63 | 7/15/2019 | 100,000 | 104,191 | 115,795 | |||||||||||||||
Penske Automotive Group, Inc. | 5.50 | 5/15/2026 | 250,000 | 250,000 | 248,750 | |||||||||||||||
Takko Luxembourg 2 S.C.A. MTN+ | 9.88 | 4/15/2019 | 100,000 | 81,036 | 105,363 | |||||||||||||||
Travelex Financing PLC+ | 8.00 | 5/15/2022 | 100,000 | 108,750 | 112,597 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Retail Stores | 618,000 | 642,010 | 670,664 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Telecommunications — 8.6%*: | ||||||||||||||||||||
Altice Financing SA+^ | 6.63 | 2/15/2023 | 250,000 | 251,418 | 265,235 | |||||||||||||||
Altice Luxembourg SA+ | 6.25 | 2/15/2025 | 100,000 | 113,658 | 124,637 | |||||||||||||||
Digicel Ltd.+^ | 6.00 | 4/15/2021 | 250,000 | 231,984 | 239,687 | |||||||||||||||
GTT Communications, Inc.^ | 7.88 | 12/31/2024 | 250,000 | 250,000 | 267,500 | |||||||||||||||
Numericable SFR Group SA+^ | 6.00 | 5/15/2022 | 222,000 | 230,396 | 232,268 | |||||||||||||||
Sprint Corp. | 7.00 | 8/15/2020 | 75,000 | 74,248 | 82,500 | |||||||||||||||
Sprint Corp. | 7.88 | 9/15/2023 | 452,000 | 436,137 | 519,800 | |||||||||||||||
UPCB Finance IV Ltd.+ | 4.00 | 1/15/2027 | 100,000 | 108,296 | 118,841 |
See accompanying Notes to the Financial Statements.
152
Barings Global High Yield Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Telecommunications (Continued) | ||||||||||||||||||||
Virgin Media Secured Finance PLC MTN+ | 5.13 | % | 1/15/2025 | 150,000 | $227,602 | $204,919 | ||||||||||||||
Wind Acquisition Finance SA+^ | 7.38 | 4/23/2021 | 200,000 | 204,747 | 208,000 | |||||||||||||||
Ziggo Bond Finance BV+ | 4.63 | 1/15/2025 | 99,999 | 103,444 | 120,878 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Telecommunications | 2,148,999 | 2,231,930 | 2,384,265 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Textiles and Leather — 0.9%*: | ||||||||||||||||||||
Hanesbrands, Inc.^ | 4.88 | 5/15/2026 | 246,000 | 246,000 | 249,690 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Corporate Bonds | 25,396,019 | 26,176,476 | 26,941,206 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Fixed Income | 25,980,199 | 26,745,923 | 27,499,467 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Short-Term Investment — 2.0%*: | ||||||||||||||||||||
Bank Deposit — 2.0%*: | ||||||||||||||||||||
State Street Bank & Trust Co. Euro Time Deposit | 0.09 | 7/3/2017 | 573,755 | 573,755 | 573,755 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Investments | 26,553,954 | 27,319,678 | 28,073,222 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Other assets and liabilities — (0.8%)* | (233,646 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Net Assets — 100.0% | $27,839,576 | |||||||||||||||||||
|
|
MTN | Medium Term Note |
‡‡ | Unless otherwise indicated, all principal amounts are denominated in United States Dollars. |
* | Calculated as a percentage of net assets applicable to common shareholders. |
+ | Foreign security. |
Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:
United States | 69.7% | |||
United Kingdom | 12.7% | |||
France | 3.9% | |||
Switzerland | 2.0% | |||
Canada | 1.6% | |||
Ireland | 1.4% | |||
United Arab Emirates | 1.4% | |||
Germany | 1.3% | |||
Portugal | 1.0% | |||
Other (Individually less than 1%) | 5.0% | |||
|
| |||
Total | 100.0% | |||
|
|
^ | Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers. |
§ | Bank loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates |
See accompanying Notes to the Financial Statements.
153
Barings Global High Yield Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
shown for bank loans are the current interest rates at June 30, 2017. Bank loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. |
¤ | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 2). |
A summary of outstanding derivatives at June 30, 2017 is as follows:
Forward Foreign Currency Exchange Contracts to Buy
EXPIRATION DATE | COUNTERPARTY | LOCAL CURRENCY | VALUE IN USD | IN EXCHANGE FOR USD | NET UNREALIZED APPRECIATION | |||||||||||||||||
7/10/17 | BNP Paribas S.A. | EUR | 8,312 | 9,496 | 9,315 | $ | 181 | |||||||||||||||
7/10/17 | Citibank N.A. | EUR | 10,980 | 12,544 | 12,532 | 12 | ||||||||||||||||
7/10/17 | JPMorgan Chase Bank N.A. | EUR | 221,825 | 253,422 | 250,073 | 3,349 | ||||||||||||||||
7/10/17 | Goldman Sachs & Co. | EUR | 113,250 | 129,382 | 127,267 | 2,115 | ||||||||||||||||
7/10/17 | Citibank N.A. | GBP | 112,612 | 146,696 | 143,976 | 2,720 | ||||||||||||||||
7/10/17 | Goldman Sachs & Co. | GBP | 98,884 | 128,813 | 127,536 | 1,277 | ||||||||||||||||
|
| |||||||||||||||||||||
Net unrealized appreciation on forward foreign currency exchange contracts to buy | $ | 9,654 | ||||||||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts to Sell
EXPIRATION DATE | COUNTERPARTY | LOCAL CURRENCY | VALUE IN USD | IN EXCHANGE FOR USD | NET UNREALIZED DEPRECIATION | |||||||||||||||||
7/5/17 | Citibank N.A. | EUR | 10,980 | 12,541 | 12,529 | $ | (12 | ) | ||||||||||||||
7/10/17 | Citibank N.A. | EUR | 2,465 | 2,816 | 2,779 | (37 | ) | |||||||||||||||
7/10/17 | Goldman Sachs & Co. | EUR | 2,667,982 | 3,048,017 | 2,997,235 | (50,782 | ) | |||||||||||||||
7/10/17 | JPMorgan Chase Bank N.A. | EUR | 100,000 | 114,244 | 111,502 | (2,742 | ) | |||||||||||||||
7/10/17 | Goldman Sachs & Co. | GBP | 2,758,950 | 3,593,985 | 3,559,121 | (34,864 | ) | |||||||||||||||
|
| |||||||||||||||||||||
Net unrealized depreciation on forward foreign currency exchange contracts to sell | $ | (88,437 | ) | |||||||||||||||||||
|
|
Currency Legend
EUR | – | Euro | ||
GBP | – | British Pound Sterling |
See accompanying Notes to the Financial Statements.
154
Barings U.S. High Yield Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Fixed Income — 96.7%*: | ||||||||||||||||||||
Bank Loans — 2.8%*§: | ||||||||||||||||||||
Beverage, Food and Tobacco — 0.2%*: | ||||||||||||||||||||
Del Monte Foods, Inc. | 4.43 | % | 2/18/2021 | 74,538 | $66,979 | $59,817 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Buildings and Real Estate — 0.8%*: | ||||||||||||||||||||
CD&R Plumb Buyer, LLC¤ | 7.05 | 6/26/2018 | 255,643 | 255,643 | 255,643 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mining, Steel, Iron and Non-Precious Metals — 0.4%*: |
| |||||||||||||||||||
Murray Energy Corp. | 8.55 | 4/16/2020 | 149,603 | 143,336 | 145,862 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 1.4%*: | ||||||||||||||||||||
Fieldwood Energy LLC PIK | 8.30 | 9/30/2020 | 172,215 | 157,065 | 160,590 | |||||||||||||||
Fieldwood Energy LLC PIK | 8.42 | 9/30/2020 | 364,000 | 200,462 | 222,729 | |||||||||||||||
Gulf Finance LLC | 6.55 | 8/25/2023 | 104,667 | 103,759 | 97,210 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Oil and Gas | 640,882 | 461,286 | 480,529 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Bank Loans | 1,120,666 | 927,244 | 941,851 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Corporate Bonds — 93.9%*: | ||||||||||||||||||||
Aerospace and Defense — 2.6%*: | ||||||||||||||||||||
American Airlines Group, Inc.^ | 4.63 | 3/1/2020 | 250,000 | 249,199 | 258,568 | |||||||||||||||
American Airlines Group, Inc.^ | 5.50 | 10/1/2019 | 282,000 | 287,225 | 296,974 | |||||||||||||||
TransDigm, Inc. | 6.38 | 6/15/2026 | 307,000 | 304,362 | 311,605 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Aerospace and Defense | 839,000 | 840,786 | 867,147 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Automobile — 3.0%*: | ||||||||||||||||||||
Allison Transmission, Inc.^ | 5.00 | 10/1/2024 | 176,000 | 176,000 | 180,400 | |||||||||||||||
Gates Global LLC/Gates Global Co.^ | 6.00 | 7/15/2022 | 125,000 | 100,405 | 125,313 | |||||||||||||||
International Automotive Components Group SA^ | 9.13 | 6/1/2018 | 250,000 | 250,954 | 244,375 | |||||||||||||||
JB Poindexter & Co., Inc.^ | 9.00 | 4/1/2022 | 410,000 | 428,364 | 429,987 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Automobile | 961,000 | 955,723 | 980,075 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Beverage, Food and Tobacco — 2.8%*: | ||||||||||||||||||||
Carrols Restaurant Group, Inc. | 8.00 | 5/1/2022 | 260,000 | 272,475 | 276,575 | |||||||||||||||
JBS USA LUX SA/JBS USA Finance, Inc.^ | 5.88 | 7/15/2024 | 165,000 | 169,627 | 154,688 | |||||||||||||||
KeHE Distributors LLC/KeHE Finance Corp.^ | 7.63 | 8/15/2021 | 203,000 | 200,592 | 203,507 | |||||||||||||||
Welbilt, Inc. | 9.50 | 2/15/2024 | 250,000 | 250,000 | 290,000 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Beverage, Food and Tobacco | 878,000 | 892,694 | 924,770 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Broadcasting and Entertainment — 6.1%*: | ||||||||||||||||||||
Block Communications, Inc.^ | 6.88 | 2/15/2025 | 434,000 | 434,000 | 465,465 | |||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.^ | 5.75 | 2/15/2026 | 500,000 | 500,000 | 535,000 | |||||||||||||||
Clear Channel Worldwide Holdings, Inc. | 7.63 | 3/15/2020 | 275,000 | 271,819 | 271,375 | |||||||||||||||
DISH DBS Corp. | 7.75 | 7/1/2026 | 316,000 | 316,000 | 374,460 | |||||||||||||||
Sirius XM Radio, Inc.^ | 5.00 | 8/1/2027 | 375,000 | 375,000 | 377,813 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Broadcasting and Entertainment | 1,900,000 | 1,896,819 | 2,024,113 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
155
Barings U.S. High Yield Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Buildings and Real Estate — 3.6%*: | ||||||||||||||||||||
Brookfield Residential Properties, Inc.^ | 6.50 | % | 12/15/2020 | 250,000 | $249,554 | $258,125 | ||||||||||||||
Century Communities, Inc.^ | 5.88 | 7/15/2025 | 250,000 | 249,688 | 248,750 | |||||||||||||||
GEO Group, Inc. (The) | 6.00 | 4/15/2026 | 250,000 | 250,000 | 259,375 | |||||||||||||||
M/I Homes, Inc. | 6.75 | 1/15/2021 | 250,000 | 250,000 | 261,875 | |||||||||||||||
USG Corp.^ | 4.88 | 6/1/2027 | 162,000 | 162,000 | 166,658 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Buildings and Real Estate | 1,162,000 | 1,161,242 | 1,194,783 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Cargo Transport — 2.9%*: | ||||||||||||||||||||
Deck Chassis Acquisition, Inc.^ | 10.00 | 6/15/2023 | 454,000 | 464,089 | 503,940 | |||||||||||||||
Kenan Advantage Group, Inc.^ | 7.88 | 7/31/2023 | 450,000 | 464,033 | 472,500 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Cargo Transport | 904,000 | 928,122 | 976,440 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Chemicals, Plastics and Rubber — 3.8%*: | ||||||||||||||||||||
A Schulman, Inc. | 6.88 | 6/1/2023 | 237,000 | 246,762 | 250,627 | |||||||||||||||
Chemours Co. (The) | 5.38 | 5/15/2027 | 156,000 | 154,532 | 161,053 | |||||||||||||||
Chemours Co. (The) | 7.00 | 5/15/2025 | 254,000 | 257,788 | 276,860 | |||||||||||||||
Consolidated Energy Finance SA^ | 6.88 | 6/15/2025 | 300,000 | 298,507 | 308,640 | |||||||||||||||
LBC Tank Terminals Holding Netherlands BV^ | 6.88 | 5/15/2023 | 250,000 | 241,877 | 259,375 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Chemicals, Plastics and Rubber | 1,197,000 | 1,199,466 | 1,256,555 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Containers, Packaging and Glass — 2.1%*: | ||||||||||||||||||||
Coveris Holdings SA^ | 7.88 | 11/1/2019 | 712,000 | 683,007 | 701,320 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified/Conglomerate Manufacturing — 3.4%*: |
| |||||||||||||||||||
Amsted Industries, Inc.^ | 5.38 | 9/15/2024 | 200,000 | 193,605 | 207,000 | |||||||||||||||
Appvion, Inc.^ | 9.00 | 6/1/2020 | 366,000 | 221,978 | 190,320 | |||||||||||||||
EnPro Industries, Inc. | 5.88 | 9/15/2022 | 220,000 | 221,744 | 229,350 | |||||||||||||||
StoneMor Partners LP/Cornerstone Family Services of West Virginia Subsidiary | 7.88 | 6/1/2021 | 250,000 | 257,068 | 248,125 | |||||||||||||||
West Corp.^ | 5.38 | 7/15/2022 | 250,000 | 241,618 | 252,500 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Manufacturing | 1,286,000 | 1,136,013 | 1,127,295 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified/Conglomerate Service — 5.5%*: | ||||||||||||||||||||
Carlson Travel, Inc.^ | 6.75 | 12/15/2023 | 250,000 | 255,621 | 254,375 | |||||||||||||||
Carlson Travel, Inc.^ | 9.50 | 12/15/2024 | 350,000 | 350,000 | 358,312 | |||||||||||||||
CSVC Acquisition Corp.^ | 7.75 | 6/15/2025 | 375,000 | 375,000 | 382,969 | |||||||||||||||
KAR Auction Services, Inc.^ | 5.13 | 6/1/2025 | 300,000 | 300,000 | 305,625 | |||||||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc.^ | 9.25 | 5/15/2023 | 250,000 | 250,000 | 271,665 | |||||||||||||||
Zachry Holdings, Inc.^ | 7.50 | 2/1/2020 | 250,000 | 252,015 | 257,500 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Service | 1,775,000 | 1,782,636 | 1,830,446 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Electronics — 2.6%*: | ||||||||||||||||||||
Dell International LLC/EMC Corp.^ | 7.13 | 6/15/2024 | 154,000 | 154,000 | 169,285 |
See accompanying Notes to the Financial Statements.
156
Barings U.S. High Yield Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Electronics (Continued) | ||||||||||||||||||||
j2 Cloud Services LLC/j2 Global Co-Obligor, Inc.^ | 6.00 | % | 7/15/2025 | 95,000 | $95,000 | $97,850 | ||||||||||||||
TIBCO Software, Inc.^ | 11.38 | 12/1/2021 | 258,000 | 281,307 | 284,445 | |||||||||||||||
Western Digital Corp. | 10.50 | 4/1/2024 | 250,000 | 250,000 | 294,920 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Electronics | 757,000 | 780,307 | 846,500 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Finance — 4.4%*: | ||||||||||||||||||||
Aircastle Ltd. | 5.00 | 4/1/2023 | 271,000 | 272,040 | 289,292 | |||||||||||||||
Aircastle Ltd. | 5.50 | 2/15/2022 | 21,000 | 22,454 | 22,890 | |||||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 6.75 | 2/1/2024 | 250,000 | 250,000 | 260,650 | |||||||||||||||
LPL Holdings, Inc.^ | 5.75 | 9/15/2025 | 400,000 | 400,000 | 416,000 | |||||||||||||||
Orchestra Borrower LLC/Orchestra Co-Issuer, Inc.^ | 6.75 | 6/15/2022 | 257,000 | 257,000 | 264,813 | |||||||||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp.^ | 6.75 | 6/1/2025 | 210,000 | 210,000 | 214,725 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Finance | 1,409,000 | 1,411,494 | 1,468,370 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Grocery — 1.3%*: | ||||||||||||||||||||
C&S Group Enterprises LLC^ | 5.38 | 7/15/2022 | 24,000 | 23,829 | 23,640 | |||||||||||||||
Post Holdings, Inc.^ | 5.50 | 3/1/2025 | 200,000 | 200,000 | 206,250 | |||||||||||||||
Post Holdings, Inc.^ | 5.75 | 3/1/2027 | 200,000 | 200,000 | 205,500 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Grocery | 424,000 | 423,829 | 435,390 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Healthcare, Education and Childcare — 9.4%*: | ||||||||||||||||||||
CHS/Community Health Systems, Inc. | 6.25 | 3/31/2023 | 177,000 | 177,000 | 182,726 | |||||||||||||||
CHS/Community Health Systems, Inc. | 6.88 | 2/1/2022 | 228,000 | 200,001 | 199,215 | |||||||||||||||
Eagle Holding Co. II LLC PIK^ | 7.63 | 5/15/2022 | 120,000 | 120,000 | 123,450 | |||||||||||||||
Endo Ltd./Endo Finance LLC/Endo Finco, Inc.^ | 6.00 | 2/1/2025 | 200,000 | 180,137 | 163,000 | |||||||||||||||
HCA, Inc. | 5.25 | 6/15/2026 | 225,000 | 225,000 | 242,662 | |||||||||||||||
HCA, Inc. | 5.38 | 2/1/2025 | 375,000 | 380,610 | 395,550 | |||||||||||||||
inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc.^ | 7.50 | 10/1/2024 | 156,000 | 156,000 | 169,260 | |||||||||||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC^ | 5.50 | 4/15/2025 | 13,000 | 11,763 | 11,375 | |||||||||||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC^ | 5.63 | 10/15/2023 | 57,000 | 54,082 | 52,013 | |||||||||||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA^ | 6.63 | 5/15/2022 | 180,000 | 167,443 | 171,900 | |||||||||||||||
RegionalCare Hospital Partners Holdings, Inc.^ | 8.25 | 5/1/2023 | 145,000 | 145,413 | 155,513 | |||||||||||||||
Tenet Healthcare Corp.^ | 4.63 | 7/15/2024 | 111,000 | 111,000 | 111,139 | |||||||||||||||
THC Escrow Corp. III^ | 4.63 | 7/15/2024 | 139,000 | 139,000 | 139,375 | |||||||||||||||
THC Escrow Corp. III^ | 5.13 | 5/1/2025 | 250,000 | 250,000 | 250,937 | |||||||||||||||
Valeant Pharmaceuticals International, Inc.^ | 5.50 | 3/1/2023 | 118,000 | 87,656 | 100,151 | |||||||||||||||
Valeant Pharmaceuticals International, Inc.^ | 5.88 | 5/15/2023 | 50,000 | 41,252 | 42,875 |
See accompanying Notes to the Financial Statements.
157
Barings U.S. High Yield Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Healthcare, Education and Childcare (Continued) | ||||||||||||||||||||
Valeant Pharmaceuticals International, Inc.^ | 6.13 | % | 4/15/2025 | 391,000 | $341,844 | $330,884 | ||||||||||||||
Valeant Pharmaceuticals International, Inc.^ | 6.50 | 3/15/2022 | 118,000 | 118,000 | 123,753 | |||||||||||||||
Valeant Pharmaceuticals International, Inc.^ | 7.00 | 3/15/2024 | 125,000 | 125,000 | 131,406 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Healthcare, Education and Childcare | 3,178,000 | 3,031,201 | 3,097,184 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Home and Office Furnishings, Housewares, and Durable Consumer Products — 0.8%*: |
| |||||||||||||||||||
Louisiana-Pacific Corp. | 4.88 | 9/15/2024 | 250,000 | 250,000 | 255,313 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Hotels, Motels, Inns and Gaming — 0.4%*: | ||||||||||||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.^ | 5.25 | 5/15/2027 | 125,000 | 125,000 | 128,047 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Insurance — 0.7%*: | ||||||||||||||||||||
York Risk Services Holding Corp.^ | 8.50 | 10/1/2022 | 250,000 | 228,153 | 240,625 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Leisure, Amusement, Entertainment — 4.5%*: | ||||||||||||||||||||
AMC Entertainment Holdings, Inc.^ | 5.88 | 11/15/2026 | 250,000 | 250,000 | 260,937 | |||||||||||||||
Brunswick Corp. | 7.13 | 8/1/2027 | 567,000 | 602,161 | 658,929 | |||||||||||||||
NCL Corp. Ltd.^ | 4.75 | 12/15/2021 | 250,000 | 250,000 | 259,497 | |||||||||||||||
WMG Acquisition Corp.^ | 5.00 | 8/1/2023 | 160,000 | 160,000 | 164,000 | |||||||||||||||
WMG Acquisition Corp.^ | 6.75 | 4/15/2022 | 150,000 | 150,959 | 157,688 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Leisure, Amusement, Entertainment | 1,377,000 | 1,413,120 | 1,501,051 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 0.1%*: |
| |||||||||||||||||||
Accudyne Industries Borrower/Accudyne Industries LLC^ | 7.75 | 12/15/2020 | 23,000 | 23,281 | 23,000 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mining, Steel, Iron and Non-Precious Metals — 4.5%*: |
| |||||||||||||||||||
Allegheny Technologies, Inc. | 5.95 | 1/15/2021 | 309,000 | 310,235 | 309,772 | |||||||||||||||
Alliance Resource Operating Partners LP/Alliance Resource Finance Corp.^ | 7.50 | 5/1/2025 | 215,000 | 215,000 | 226,019 | |||||||||||||||
Hecla Mining Co. | 6.88 | 5/1/2021 | 250,000 | 221,207 | 259,375 | |||||||||||||||
Kinross Gold Corp.+ | 5.95 | 3/15/2024 | 152,000 | 158,255 | 167,913 | |||||||||||||||
Kinross Gold Corp. | 6.88 | 9/1/2041 | 99,000 | 98,510 | 105,683 | |||||||||||||||
Peabody Energy Corp.^ | 6.00 | 3/31/2022 | 74,000 | 74,000 | 73,445 | |||||||||||||||
Peabody Energy Corp.^ | 6.38 | 3/31/2025 | 98,000 | 98,000 | 96,530 | |||||||||||||||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.^ | 7.50 | 6/15/2025 | 250,000 | 246,318 | 246,875 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Mining, Steel, Iron and Non-Precious Metals |
| 1,447,000 | 1,421,525 | 1,485,612 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 16.1%*: | ||||||||||||||||||||
Chesapeake Energy Corp.^ | 8.00 | 1/15/2025 | 300,000 | 295,778 | 297,000 | |||||||||||||||
Citgo Holding, Inc.^ | 10.75 | 2/15/2020 | 341,000 | 344,421 | 370,411 | |||||||||||||||
Continental Resources, Inc. | 5.00 | 9/15/2022 | 250,000 | 240,018 | 245,312 | |||||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc.^ | 8.00 | 11/29/2024 | 150,000 | 150,000 | 149,625 | |||||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc.^ | 8.00 | 2/15/2025 | 350,000 | 350,000 | 260,750 |
See accompanying Notes to the Financial Statements.
158
Barings U.S. High Yield Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Oil and Gas (Continued) | ||||||||||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc. | 9.38 | % | 5/1/2020 | 65,000 | $60,498 | $51,269 | ||||||||||||||
Ferrellgas LP/Ferrellgas Finance Corp. | 6.75 | 1/15/2022 | 100,000 | 101,033 | 94,000 | |||||||||||||||
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp.^ | 8.63 | 6/15/2020 | 600,000 | 593,654 | 567,000 | |||||||||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 6.00 | 5/15/2023 | 100,000 | 98,253 | 98,000 | |||||||||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 6.75 | 8/1/2022 | 250,000 | 245,485 | 250,625 | |||||||||||||||
Jupiter Resources, Inc.+^ | 8.50 | 10/1/2022 | 479,000 | 389,963 | 359,250 | |||||||||||||||
Kosmos Energy Ltd.^ | 7.88 | 8/1/2021 | 466,000 | 446,475 | 475,320 | |||||||||||||||
Newfield Exploration Co. | 5.38 | 1/1/2026 | 250,000 | 242,352 | 258,750 | |||||||||||||||
Rowan Cos., Inc. | 7.38 | 6/15/2025 | 188,000 | 188,000 | 175,310 | |||||||||||||||
SM Energy Co. | 6.50 | 1/1/2023 | 250,000 | 192,041 | 238,125 | |||||||||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp. | 5.88 | 3/1/2027 | 300,000 | 300,000 | 298,500 | |||||||||||||||
Sunoco LP/Sunoco Finance Corp. | 6.25 | 4/15/2021 | 250,000 | 250,000 | 261,250 | |||||||||||||||
Topaz Marine SA+^ | 8.63 | 11/1/2018 | 400,000 | 392,982 | 397,256 | |||||||||||||||
Transocean, Inc. | 6.80 | 3/15/2038 | 51,000 | 40,758 | 37,230 | |||||||||||||||
Transocean, Inc. | 9.35 | 12/15/2041 | 38,000 | 35,343 | 33,820 | |||||||||||||||
Tullow Oil PLC+^ | 6.25 | 4/15/2022 | 250,000 | 203,518 | 227,813 | |||||||||||||||
Welltec A/S+^ | 8.00 | 2/1/2019 | 200,000 | 193,709 | 194,000 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Oil and Gas | 5,628,000 | 5,354,281 | 5,340,616 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Personal Transportation — 1.4%*: | ||||||||||||||||||||
Hertz Corp. (The)^ | 7.63 | 6/1/2022 | 250,000 | 250,000 | 249,400 | |||||||||||||||
Watco Cos. LLC/Watco Finance Corp.^ | 6.38 | 4/1/2023 | 196,000 | 196,401 | 204,330 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Personal Transportation | 446,000 | 446,401 | 453,730 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Retail Stores — 0.8%*: | ||||||||||||||||||||
Penske Automotive Group, Inc. | 5.50 | 5/15/2026 | 250,000 | 250,000 | 248,750 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Telecommunications — 9.5%*: | ||||||||||||||||||||
Altice Financing SA+^ | 6.63 | 2/15/2023 | 250,000 | 251,418 | 265,235 | |||||||||||||||
Altice Luxembourg SA+^ | 7.63 | 2/15/2025 | 225,000 | 240,087 | 246,656 | |||||||||||||||
Digicel Ltd.+^ | 6.00 | 4/15/2021 | 250,000 | 231,863 | 239,687 | |||||||||||||||
GTT Communications, Inc.^ | 7.88 | 12/31/2024 | 285,000 | 285,000 | 304,950 | |||||||||||||||
Numericable SFR Group SA+^ | 6.00 | 5/15/2022 | 475,000 | 483,414 | 496,969 | |||||||||||||||
Numericable SFR Group SA+^ | 7.38 | 5/1/2026 | 350,000 | 350,000 | 379,750 | |||||||||||||||
RP Crown Parent LLC^ | 7.38 | 10/15/2024 | 96,000 | 96,000 | 99,840 | |||||||||||||||
Sprint Corp. | 7.00 | 8/15/2020 | 75,000 | 74,248 | 82,500 | |||||||||||||||
Sprint Corp. | 7.88 | 9/15/2023 | 489,000 | 473,376 | 562,350 | |||||||||||||||
T-Mobile USA, Inc. | 5.38 | 4/15/2027 | 200,000 | 200,000 | 214,500 | |||||||||||||||
Telecom Italia SpA+^ | 5.30 | 5/30/2024 | 250,000 | 263,519 | 268,125 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Telecommunications | 2,945,000 | 2,948,925 | 3,160,562 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
159
Barings U.S. High Yield Fund 2017 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2017
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) | ||||||||||||||||||||
Textiles and Leather — 0.8%*: | ||||||||||||||||||||
Hanesbrands, Inc.^ | 4.88 | % | 5/15/2026 | 246,000 | $246,000 | $249,690 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Utilities — 0.8%*: | ||||||||||||||||||||
NRG Energy, Inc. | 7.25 | 5/15/2026 | 250,000 | 250,000 | 258,750 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Corporate Bonds | 30,619,000 | 30,080,025 | 31,076,134 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Fixed Income | 31,739,666 | 31,007,269 | 32,017,985 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Short-Term Investment — 4.1%*: | ||||||||||||||||||||
Bank Deposit — 4.1%*: | ||||||||||||||||||||
State Street Bank & Trust Co. Euro Time Deposit | 0.09 | 7/3/2017 | 1,344,580 | 1,344,580 | 1,344,580 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Investments | 33,084,246 | 32,351,849 | 33,362,565 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Other assets and liabilities — (0.8%)* | (259,946 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Net Assets — 100.0% | $33,102,619 | |||||||||||||||||||
|
|
PIK | Payment-in-kind |
‡‡ | Unless otherwise indicated, all principal amounts are denominated in United States Dollars. |
* | Calculated as a percentage of net assets applicable to common shareholders. |
+ | Foreign security. |
Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:
United States | 89.9% | |||||
France | 3.5% | |||||
Canada | 1.7% | |||||
United Arab Emirates | 1.2% | |||||
Other (Individually less than 1%) | 3.7% | |||||
|
| |||||
Total | 100.0% | |||||
|
|
^ | Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers. |
¤ | For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 2). |
See accompanying Notes to the Financial Statements.
160
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS
June 30, 2017
1. | Organization |
Barings Funds Trust (formerly known as Babson Capital Funds Trust) (the “Trust”) was organized as a business trust under the laws of the Commonwealth of Massachusetts on May 3, 2013 and commenced operations on September 16, 2013. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. As of June 30, 2017, the Trust consists of eight funds (separately, a “Fund” and collectively, the “Funds”): Barings Global Floating Rate Fund (formerly known as Babson Global Floating Rate Fund) (“Global Floating Rate Fund”), Barings Global Credit Income Opportunities Fund (formerly known as Babson Global Credit Income Opportunities Fund) (“Global Credit Income Opportunities Fund”), Barings Active Short Duration Bond Fund (formerly known as Babson Active Short Duration Bond Fund) (“Active Short Duration Bond Fund”), Barings Total Return Bond Fund (formerly known as Babson Total Return Bond Fund) (“Total Return Bond Fund”), Barings Emerging Markets Debt Blended Total Return Fund (formerly known as Babson Emerging Markets Debt Blended Total Return Fund) (“Emerging Markets Debt Blended Total Return Fund”), Barings Emerging Markets Local Currency Debt Fund (formerly known as Babson Emerging Markets Local Currency Debt Fund) (“Emerging Markets Local Currency Debt Fund”), Barings Global High Yield Fund (formerly known as Babson Global High Yield Fund) (“Global High Yield Fund”) and Barings U.S. High Yield Fund (formerly known as Babson U.S. High Yield Fund) (“U.S. High Yield Fund”). Each Fund, other than Active Short Duration Bond Fund and Total Return Bond Fund, is a “non-diversified” investment company. Active Short Duration Bond Fund and Total Return Bond Fund commenced operations on July 8, 2015. Emerging Markets Debt Blended Total Return Fund commenced operations on October 21, 2015. Emerging Markets Local Currency Debt Fund commenced operations on December 8, 2015. Global High Yield Fund and U.S. High Yield Fund commenced operations on October 30, 2015.
Barings LLC (the “Adviser”), a wholly-owned indirect subsidiary of Massachusetts Mutual Life Insurance Company, is a registered investment adviser under the Investment Advisers Act of 1940, as amended (the “Advisers Act”), and serves as investment adviser to the Funds.
Barings Global Advisers Limited (“BGA”), an indirect wholly-owned subsidiary of the Adviser, is a registered investment adviser under the Advisers Act and serves as a
sub-adviser with respect to the Global Floating Rate Fund, Global Credit Income Opportunities Fund, Emerging Markets Debt Blended Total Return Fund and Global High Yield Fund European investments.
During the relevant period, Barings Real Estate Advisers LLC (“BREA”), a direct wholly-owned subsidiary of the Adviser, was a registered investment adviser under the Advisers Act and served as sub-adviser to the Active Short Duration Bond Fund and Total Return Bond Fund investment in commercial mortgage-backed securities. Effective following the close of markets on December 30, 2016, BREA merged with and into the Adviser.
The primary investment objective of the Global Floating Rate Fund is to seek a high level of current income. The Global Floating Rate Fund seeks preservation of capital as a secondary investment objective. The investment objective of the Global Credit Income Opportunities Fund is to seek an absolute return, primarily through current income and secondarily through capital appreciation. The investment objective of the Active Short Duration Bond Fund is to seek to achieve a high total rate of return primarily from current income while minimizing fluctuations in capital values by investing primarily in a diversified portfolio of short-term investment grade fixed income securities. The investment objective of the Total Return Bond Fund is to seek a superior total rate of return by investing in fixed income instruments. The investment objective of the Emerging Markets Debt Blended Total Return Fund is to seek to achieve maximum total return, consistent with preservation of capital and prudent investment management, through high current income generation and, where appropriate, capital appreciation. The investment objective of the Emerging Markets Local Currency Debt Fund is to seek long-term total return through investment in a diversified portfolio of emerging markets local currency denominated debt securities. The investment objective of the Global High Yield Fund is to seek to provide high current income generation and, where appropriate, capital appreciation. The investment objective of the U.S. High Yield Fund is to seek to achieve a high level of total return, with an emphasis on current income, by investing primarily in high yield debt and related securities.
There can be no assurance that the Funds will achieve their investment objectives. Under normal market conditions, the Global Floating Rate Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in income-producing floating rate debt securities, consisting of
161
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
floating rate loans, bonds and notes, issued primarily by North American and Western European companies that are primarily, at the time of purchase, rated below-investment grade (below Baa3 by Moody’s Investors Service, Inc. (“Moody’s”) or below BBB- by either Standard & Poor’s Rating Services, a division of the McGraw-Hill Company, Inc. (“S&P”) or Fitch, Inc. (“Fitch”)) or, if unrated, determined by the Adviser or BGA to be of comparable quality. Under normal market conditions, the Global Credit Income Opportunities Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in debt instruments, consisting of loans, bonds and notes. Investments may be based in U.S. and non-U.S. markets, as well as over-the-counter and exchange traded derivatives. Investments may be issued or guaranteed by governments and their agencies, corporations, financial institutions and supranational organizations that the Adviser believes have the potential to provide a high total return over time. A significant portion of the Global Floating Rate Fund and Global Credit Income Opportunities Fund’s investments in debt instruments will be denominated in a currency other than the U.S. dollar. Although the investments in non-U.S. dollar denominated assets may be on a currency hedged or unhedged basis, the Global Floating Rate Fund and Global Credit Income Opportunities Fund expect that, under current market conditions, they will seek to hedge substantially all of their exposure to foreign currencies. Under normal market conditions, the Active Short Duration Bond Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in investment grade fixed income securities (rated Baa3 or higher by Moody’s or BBB- or higher by S&P or Fitch or, if unrated, determined to be of comparable quality by the Adviser). These typically include U.S. dollar-denominated corporate obligations, securities issued or guaranteed by the U.S. government or its agencies or instrumentalities, U.S. and foreign issuer dollar-denominated bonds including, but not limited to, corporate obligations, government and agency issues, private placement bonds, securities subject to resale pursuant to Rule 144A, mortgage-backed, and other asset-backed securities. Under normal market conditions, the Total Return Bond Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in fixed income securities. These typically include: U.S. dollar denominated corporate obligations and bank loans, securities issued or guaranteed by the U.S.
government or its agencies or instrumentalities, U.S. and foreign issuer dollar denominated bonds including, but not limited to, corporate obligations, government and agency issues, private placement bonds, securities subject to resale pursuant to Rule 144A, convertible bonds, mortgage-backed, and other asset-backed securities. Under normal market conditions, the Emerging Markets Debt Blended Total Return Fund will invest at least 80% of its net assets (including the amount of any borrowings for investment purposes) in (i) securities denominated in currencies of the emerging market countries, (ii) fixed income securities or debt instruments issued by emerging market entities or sovereign nations, and/or (iii) debt instruments denominated in or based on the currencies, interest rates, or issues of emerging market countries. Emerging market countries are defined to include any country that did not become a member of the Organization for Economic Cooperation and Development (O.E.C.D.) prior to 1975 and Turkey. Certain emerging market countries are referred to as “frontier” market countries. The Emerging Markets Debt Blended Total Return Fund will likely focus its investments in Asia, Africa, the Middle East, Latin America and the developing countries of Europe. Under normal market conditions, the Emerging Markets Local Currency Debt Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in local currency-denominated debt instruments issued by emerging markets governments, and their quasi sovereign agencies (including supranational and sub-national government issuers). The Adviser will select the Fund’s country and currency composition based on its evaluation of relative interest rates, inflation rates, exchange rates, monetary and fiscal policies, trade and current account balances, legal and political developments, and any other specific factors the Adviser believes to be relevant. The Emerging Markets Local Currency Debt Fund will likely focus its investments in Asia, Africa, the Middle East, Latin America and the developing countries of Europe. Under normal conditions, the Global High Yield Fund will invest at least 80% of its net assets (including the amount of any borrowing for investment purposes) in below investment grade (“high yield”) fixed and floating rate corporate debt securities including bonds, notes and other fixed and floating rate income securities issued primarily by North American and Western European companies. For this purpose, debt instruments issued by issuers based in the Channel Islands, Cayman Islands and Bermuda will be considered North American and Western European
162
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
companies. Such debt securities may be secured or unsecured, and, either senior or subordinated. Secured debt means that collateral has been pledged as security against default, while investors in senior debt instruments are legally entitled to be repaid ahead of investors in subordinated (i.e. non-senior) instruments issued by the same corporation. Derivative instruments that provide exposure to such high yield debt securities or have similar economic characteristics may be used to satisfy the Fund’s 80% policy. The Adviser expects that such instruments will primarily, at the time of purchase, be rated below investment grade (commonly referred to as “junk bonds”) by at least one credit rating agency (below Baa3 by Moody’s or below BBB- by either S&P or Fitch) or, if unrated, determined by the Adviser or BGA, to be of comparable quality. The Global High Yield Fund may invest in high yield securities of any rating, including securities that are in default at the time of purchase. Under normal circumstances, the U.S. High Yield Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in lower rated fixed income securities (rated below Baa3 by Moody’s or BBB- by either S&P or Fitch (using the lower rating) or, if unrated, determined by the Adviser to be of comparable quality), and at least 80% of its net assets (including the amount of any borrowings for investment purposes) in securities of U.S. issuers. The U.S. High Yield Fund may also invest in convertible securities, preferred stocks, warrants, bank loans, and other fixed income securities, including Rule 144A securities, of both U.S. and foreign issuers. Currently, the Adviser does not expect that the U.S. High Yield Fund will invest more than 20% of its total assets in bank loans. The U.S. High Yield Fund may invest up to 15% of its total assets in securities that are not denominated in U.S. dollars including, but not limited to, corporate bonds, government and agency issues, Rule 144A securities, convertible securities, bank loans, mortgage-backed, and asset-backed securities.
Each Fund has four classes of shares: Class A, C, I, and Y, each with different expenses and dividends. With the exception of Active Short Duration Bond Fund, which has no sales charge on any class, a front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. There is no front-end sales charge in the case of Class C, I, and Y shares. There may be a contingent deferred sales charge (“CDSC”) in certain cases as follows: Class A shares purchased without an initial sales charge and redeemed within the first year of purchase (subject to certain exceptions as set forth in each Fund’s prospectus)
and Class C shares redeemed within the first year of purchase. All classes of shares have equal voting rights, with the exception of matters that relate solely to one class.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed consistently by the Funds in the preparation of their financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”).
A. | Valuation of Investments |
The Funds’ investments in fixed income securities are generally valued using the prices provided directly by independent third party services or provided directly from one or more broker dealers or market makers, each in accordance with the valuation policies and procedures approved by the Funds’ Board of Trustees (the “Board”).
The pricing services may use valuation models or matrix pricing, which consider yield or prices with respect to comparable bond quotations from bond dealers or by reference to other securities that are considered comparable in such characteristics as credit rating, interest rates and maturity date to determine the current value. The Funds’ investments in bank loans are normally valued at the bid quotation obtained from dealers in loans by an independent pricing service in accordance with the Funds’ valuation policies and procedures approved by the Board. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value. Derivative financial instruments, such as futures contracts or options contracts that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. Futures traded on inactive markets are valued using broker quotations. OTC derivative financial instruments, such as foreign currency contracts, options contracts, or swaps agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of an independent pricing service providers or broker dealer quotations. Depending on the derivative type and the terms of the derivative, the value of the derivative financial instruments is assigned by independent pricing service providers using a series of techniques, which may include pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, volatilities, dividends and exchange rates.
163
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
The assets and liabilities shown in the Statements of Assets and Liabilities related to investments purchased for “to-be-announced” (“TBA”) or when-issued securities approximate fair value and are determined using Level 2 inputs, as of June 30, 2017. The assets and liabilities shown in the Statements of Assets and Liabilities related to cash collateral held at broker for futures contracts are determined using Level 1 inputs as of June 30, 2017.
A Valuation Committee, made up of officers of the Trust and employees of the Adviser, is responsible for determining, in accordance with the Funds’ valuation policies and procedures approved by the Board; (1) whether market quotations are readily available for investments held by the Fund; and (2) the fair value of investments held by the Fund for which market quotations are not readily available or are deemed not reliable by the Adviser. In certain cases, authorized pricing service vendors may not provide prices for a security held by the Funds, or the price provided by such pricing service vendor is deemed unreliable by the Adviser. In such cases, the Funds may use market maker quotations provided by an established market maker for that security (i.e., broker quotes) to value the security if the Adviser has experience obtaining quotations from the market maker and the Adviser determines that quotations obtained from the market maker in the past have generally been reliable (or, if the Adviser has no such experience with respect to a market maker, it determines based on other information available to it that quotations to be obtained by it from the market maker are reasonably likely to be reliable). In any such case, the Adviser will review any market quotations so obtained in light of other information in its possession for their general reliability.
Bond investments are valued on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Bank loan positions are valued at the bid price from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated
tranche-specific spread to the benchmark yield based on the unique attributes of the tranche.
Bank loans in which the Funds may invest have similar risks to lower-rated fixed income securities. Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. Senior secured bank loans are supported by collateral; however, the value of the collateral may be insufficient to cover the amount owed to the Funds. By relying on a third party to administer a loan, the Funds are subject to the risk that the third party will fail to perform its obligations. The loans in which the Funds will invest are largely floating rate instruments; therefore, the interest rate risk generally is lower than for fixed-rate debt obligations. However, from the perspective of the borrower, an increase in interest rates may adversely affect the borrower’s financial condition. Due to the unique and customized nature of loan agreements evidencing loans and the private syndication thereof, loans are not as easily purchased or sold as publicly traded securities. Although the range of investors in loans has broadened in recent years, there can be no assurance that future levels of supply and demand in loan trading will provide the degree of liquidity which currently exists in the market. In addition, the terms of the loans may restrict their transferability without borrower consent. These factors may have an adverse effect on the market price and the Funds’ ability to dispose of particular portfolio investments. A less liquid secondary market also may make it more difficult for the Funds to obtain precise valuations of the high yield loans in its portfolio.
The Funds may invest in collateralized debt obligations (“CDOs”), which include collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”). CBOs and CLOs are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade
164
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.
Fair value is defined as the price that the Funds would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is utilized to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. For example, market participants would consider the risk inherent in a particular valuation technique used to measure fair value, such as a pricing model, and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
Level 1 – quoted prices in active markets for identical securities
Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The following is a summary of the inputs used as of June 30, 2017 in valuing the Funds’ investments:
Global Floating Rate Fund
DESCRIPTION | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL INVESTMENTS | ||||||||||||
Assets:* | ||||||||||||||||
Equities: | ||||||||||||||||
Common Stocks | $ | – | $ | 12,595 | $ | 127,521 | ** | $ | 140,116 | |||||||
Preferred Stock | – | – | 218,582 | 218,582 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equities | – | 12,595 | 346,103 | 358,698 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Fixed Income: | ||||||||||||||||
Bank Loans | – | 165,339,435 | 179,744 | 165,519,179 | ||||||||||||
Corporate Bonds | – | 17,241,554 | – | 17,241,554 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income | – | 182,580,989 | 179,744 | 182,760,733 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments: | ||||||||||||||||
Bank Deposit | – | 16,250,267 | – | 16,250,267 | ||||||||||||
Derivative Securities: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | – | 27,265 | – | 27,265 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | – | $ | 198,871,116 | $ | 525,847 | $ | 199,396,963 | ||||||||
|
|
|
|
|
|
|
|
165
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
DESCRIPTION | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL INVESTMENTS | ||||||||||||
Liabilities:* | ||||||||||||||||
Derivative Securities: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | – | $ | (334,783 | ) | $ | – | $ | (334,783 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | – | $ | 198,536,333 | $ | 525,847 | $ | 199,062,180 | ||||||||
|
|
|
|
|
|
|
|
* | There were no transfers between levels during the year ended June 30, 2017. |
** | Includes four securities valued at $0. |
The following table is a summary of quantitative information about significant unobservable valuation inputs for Level 3 fair value measurement for investments held as of June 30, 2017:
TYPE OF ASSETS | FAIR VALUE AS OF JUNE 30 2017 | VALUATION TECHNIQUE(S) | UNOBSERVABLE INPUT | |||||
Equities | ||||||||
Boomerang Tube LLC | $ | – | Model Price | Average Enterprise Valuation Multiple: 5.0x; EBITDA: $25 million; Discount Rate 15% | ||||
Sabine Oil & Gas LLC | $ | 17,221 | Broker Quote | $44.5; Price source depth of 1 | ||||
Sabine Oil & Gas LLC | $ | 8,918 | Broker Quote | $7.25; Price source depth of 1 | ||||
Sabine Oil & Gas LLC | $ | 1,369 | Broker Quote | $6.25; Price source depth of 1 | ||||
Templar Energy LLC | $ | 48,194 | Broker Quote | $5.5; Price source depth of 1 | ||||
Templar Energy LLC | $ | 51,819 | Broker Quote | $9.25; Price source depth of 1 | ||||
Pinnacle Agriculture Holdings A 2 | $ | 218,582 | Model Price | Adjusted Enterprise Valuation Multiple: 8.51x; EBITDA; $111.1 million | ||||
Bank Loans | ||||||||
Boomerang Tube LLC | $ | 32,825 | Model Price | Average Enterprise Valuation Multiple: 5.0x; EBITDA: $25 million; Discount Rate 15% | ||||
Boomerang Tube LLC | $ | 102,996 | Model Price | Average Enterprise Valuation Multiple: 5.0x; EBITDA: $25 million; Discount Rate 15% | ||||
Boomerang Tube LLC | $ | 9,565 | Model Price | Average Enterprise Valuation Multiple: 5.0x; EBITDA: $25 million; Discount Rate 15% | ||||
Boomerang Tube LLC | $ | 34,358 | Model Price | Average Enterprise Valuation Multiple: 5.0x; EBITDA: $25 million; Discount Rate 15% |
Although the Company believes the valuation methods described above are appropriate, the use of different methodologies or assumptions to determine fair value could result in different estimates of fair value at the reporting date.
166
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
INVESTMENTS IN SECURITIES | BALANCE AS OF JULY 1, 2016 | REALIZED (LOSS) | CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) | NET TRANSFERS IN��(OUT) OF LEVEL 3 | ACCRUED PREMIUMS/ | PURCHASES | SALES | BALANCE AS OF | CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM INVESTMENTS HELD AT JUNE 30, 2017 | |||||||||||||||||||||||||||
Equities | ||||||||||||||||||||||||||||||||||||
Common Stock | $ | – | $ | – | $ | (7,863 | ) | $ | – | $ | – | $ | 135,384 | $ | – | $ | 127,521 | $ | (7,863 | ) | ||||||||||||||||
Preferred Stock | $ | – | $ | – | $ | 47,643 | $ | – | $ | – | $ | 170,939 | $ | – | $ | 218,582 | $ | 47,643 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Fixed Income | ||||||||||||||||||||||||||||||||||||
Bank Loans | $ | 221,345 | $ | – | $ | (78,771 | ) | $ | – | $ | 692 | $ | 36,478 | $ | – | $ | 179,744 | $ | (78,771 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 221,345 | $ | – | $ | (38,991 | ) | $ | – | $ | 692 | $ | 342,801 | $ | – | $ | 525,847 | $ | (38,991 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Global Credit Income Opportunities Fund
DESCRIPTION | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL INVESTMENTS | ||||||||||||
Assets:* | ||||||||||||||||
Equities: | ||||||||||||||||
Common Stocks | $ | – | $ | 6,298 | $ | 538,528 | ** | $ | 544,826 | |||||||
Preferred Stock | – | – | 262,298 | 262,298 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equities | – | 6,298 | 800,826 | 807,124 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Fixed Income: | ||||||||||||||||
Asset-Backed Securities | – | 18,907,363 | – | 18,907,363 | ||||||||||||
Bank Loans | – | 39,408,394 | 1,618,268 | 41,026,662 | ||||||||||||
Corporate Bonds | – | 82,973,956 | – | 82,973,956 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income | – | 141,289,713 | 1,618,268 | 142,907,981 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchased Options: | ||||||||||||||||
Put Options Purchased | – | 66,473 | – | 66,473 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Purchased Options | – | 66,473 | – | 66,473 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments: | ||||||||||||||||
Bank Deposit | – | 16,944,668 | – | 16,944,668 | ||||||||||||
Derivative Securities: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | – | 29,382 | – | 29,382 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | – | $ | 158,336,534 | $ | 2,419,094 | $ | 160,755,628 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities:* | ||||||||||||||||
Derivative Securities: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | – | (289,668 | ) | – | (289,668 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | – | $ | 158,046,866 | $ | 2,419,094 | $ | 160,465,960 | ||||||||
|
|
|
|
|
|
|
|
* | There were no transfers between levels during the year ended June 30, 2017. |
** | Includes two securities valued at $0. |
167
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
The following table is a summary of quantitative information about significant unobservable valuation inputs for Level 3 fair value measurement for investments held as of June 30, 2017:
TYPE OF ASSETS | FAIR VALUE AS OF JUNE 30 2017 | VALUATION TECHNIQUE(S) | UNOBSERVABLE INPUT | |||||
Equities | ||||||||
Maxeda DIY B.V. | $ | 430,816 | Model Price | Average Comparable Valuation 6.5x; EBITDA €97m; net debt €420m | ||||
Maxeda DIY B.V. | $ | 107,712 | Model Price | Average Comparable Valuation 6.5x; EBITDA €97m; net debt €420m | ||||
Boomerang Tube LLC | $ | – | Model Price | Average Enterprise Valuation Multiple: 5.5x; EBITDA: $25 million | ||||
Pinnacle Agriculture Holdings A 2 | $ | 262,298 | Model Price | Adjusted Enterprise Valuation Multiple: 8.51x; EBITDA; $111.1 million | ||||
Bank Loans | ||||||||
Boomerang Tube LLC | $ | 56,319 | Model Price | Average Enterprise Valuation Multiple: 5.0x; EBITDA: $25 million; Discount Rate 15% | ||||
Boomerang Tube LLC | $ | 102,996 | Model Price | Average Enterprise Valuation Multiple: 5.0x; EBITDA: $25 million; Discount Rate 15% | ||||
Boomerang Tube LLC | $ | 9,565 | Model Price | Average Enterprise Valuation Multiple: 5.0x; EBITDA: $25 million; Discount Rate 15% | ||||
Boomerang Tube LLC | $ | 18,577 | Model Price | Average Enterprise Valuation Multiple: 5.0x; EBITDA: $25 million; Discount Rate 15% | ||||
Boomerang Tube LLC | $ | 9,289 | Model Price | Average Enterprise Valuation Multiple: 5.0x; EBITDA: $25 million; Discount Rate 15% | ||||
Boomerang Tube LLC | $ | 34,358 | Model Price | Average Enterprise Valuation Multiple: 5.0x; EBITDA: $25 million; Discount Rate 15% | ||||
CD&R Plumb Buyer, LLC | $ | 1,387,164 | Recent Purchase | Priced at cost, $100 |
Although the Company believes the valuation methods described above are appropriate, the use of different methodologies or assumptions to determine fair value could result in different estimates of fair value at the reporting date.
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
INVESTMENTS IN SECURITIES | BALANCE AS OF JULY 1, 2016 | REALIZED (LOSS) | CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) | NET TRANSFERS IN (OUT) OF LEVEL 3 | ACCRUED PREMIUMS/ | PURCHASES | SALES | BALANCE AS OF | CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM INVESTMENTS HELD AT JUNE 30, 2017 | |||||||||||||||||||||||||||
Equities | ||||||||||||||||||||||||||||||||||||
Common Stock | $ | 418,595 | $ | – | $ | 119,933 | $ | – | $ | – | $ | – | $ | – | $ | 538,528 | $ | 119,933 | ||||||||||||||||||
Preferred Stock | $ | – | $ | – | $ | 63,023 | $ | – | $ | – | $ | 199,275 | $ | – | $ | 262,298 | $ | 63,023 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Fixed Income | ||||||||||||||||||||||||||||||||||||
Bank Loans | $ | 221,345 | $ | – | $ | (78,770 | ) | $ | – | $ | 691 | $ | 1,475,002 | $ | – | $ | 1,618,268 | $ | (78,770 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 639,940 | $ | – | $ | 104,186 | $ | – | $ | 691 | $ | 1,674,277 | $ | – | $ | 2,419,094 | $ | 104,186 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
168
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
Active Short Duration Bond Fund
DESCRIPTION | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL INVESTMENTS | ||||||||||||
Assets:* | ||||||||||||||||
Fixed Income: | ||||||||||||||||
Asset-Backed Securities | $ | – | $ | 100,078,645 | $ | 5,241,812 | $ | 105,320,457 | ||||||||
Corporate Bonds | – | 144,893,863 | – | 144,893,863 | ||||||||||||
Mortgage-Backed Securities | – | 6,713,190 | – | 6,713,190 | ||||||||||||
U.S. Treasury & Government Agencies | – | 60,355,617 | – | 60,355,617 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income | – | 312,041,315 | 5,241,812 | 317,283,127 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchased Options: | ||||||||||||||||
Call Option Purchased | – | 157,427 | – | 157,427 | ||||||||||||
Put Option Purchased | – | 295,398 | – | 295,398 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Purchased Options | – | 452,825 | – | 452,825 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments: | ||||||||||||||||
Bank Deposit | – | 2,286,124 | – | 2,286,124 | ||||||||||||
Commercial Paper | – | 2,999,775 | – | 2,999,775 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | – | 5,285,899 | – | 5,285,899 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Securities: | ||||||||||||||||
Futures** | 336,908 | – | – | 336,908 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 336,908 | $ | 317,780,039 | $ | 5,241,812 | $ | 323,358,759 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities:* | ||||||||||||||||
Derivative Securities: | ||||||||||||||||
Centrally Cleared Credit Default Swaps** | – | (8,446 | ) | – | (8,446 | ) | ||||||||||
Futures** | (86,526 | ) | – | – | (86,526 | ) | ||||||||||
OTC – Credit Default Swaps | – | (60,718 | ) | – | (60,718 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Derivative Securities | (86,526 | ) | (69,164 | ) | – | (155,690 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 250,382 | $ | 317,710,875 | $ | 5,241,812 | $ | 323,203,069 | ||||||||
|
|
|
|
|
|
|
|
* | There were no transfers between levels during the year ended June 30, 2017. |
** | Centrally Cleared Swaps and Futures are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statement of Assets and Liabilities. |
The following table is a summary of quantitative information about significant unobservable valuation inputs for Level 3 fair value measurement for investments held as of June 30, 2017:
TYPE OF ASSETS | FAIR VALUE AS OF JUNE 30 2017 | VALUATION TECHNIQUE(S) | UNOBSERVABLE INPUT | |||||
Asset-Backed Securities | ||||||||
AccessLex Institute 2002-A A2 | $ | 745,350 | Broker Quote | $99.38; Price source depth of 1 | ||||
DRB Prime Student Loan Trust 2016-R A1 | $ | 1,336,874 | Broker Quote | $100.35; Price source depth of 1 | ||||
Goodgreen Trust 2016-1 A | $ | 597,852 | Broker Quote | $97.790; Price source depth of 1 |
169
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
TYPE OF ASSETS | FAIR VALUE AS OF JUNE 30 2017 | VALUATION TECHNIQUE(S) | UNOBSERVABLE INPUT | |||||
SoFi Consumer Loan Program LLC 2016-5 A | $ | 1,796,736 | Broker Quote | $101.0475; Price source depth of 1 | ||||
SoFi Professional Loan Program 2015-A LLC | $ | 765,000 | Broker Quote | $255,000; Price source depth of 1 |
Although the Company believes the valuation methods described above are appropriate, the use of different methodologies or assumptions to determine fair value could result in different estimates of fair value at the reporting date.
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
INVESTMENTS IN SECURITIES | BALANCE AS OF JULY 1, 2016 | REALIZED (LOSS) | CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) | NET TRANSFERS IN (OUT) OF LEVEL 3 | ACCRUED PREMIUMS/ | PURCHASES | SALES | BALANCE AS OF | CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM INVESTMENTS HELD AT JUNE 30, 2017 | |||||||||||||||||||||||||||
Asset Backed Securities | $ | – | $ | 17,793 | $ | (34,370 | ) | $ | 897,750 | $ | 2,855 | $ | 5,219,867 | $ | (862,083 | ) | $ | 5,241,812 | $ | (34,370 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | – | $ | 17,793 | $ | (34,370 | ) | $ | 897,750 | $ | 2,855 | $ | 5,219,867 | $ | (862,083 | ) | $ | 5,241,812 | $ | (34,370 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return Bond Fund
DESCRIPTION | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL INVESTMENTS | ||||||||||||
Assets:* | ||||||||||||||||
Fixed Income: | ||||||||||||||||
Asset-Backed Securities | $ | – | $ | 7,726,596 | $ | 410,163 | $ | 8,136,759 | ||||||||
Corporate Bonds | – | 9,248,046 | – | 9,248,046 | ||||||||||||
Foreign Government | – | 250,568 | – | 250,568 | ||||||||||||
Mortgage-Backed Securities | – | 589,359 | – | 589,359 | ||||||||||||
U.S. Treasury & Government Agencies | – | 8,416,351 | – | 8,416,351 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income | – | 26,230,920 | 410,163 | 26,641,083 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Fund: | ||||||||||||||||
Mutual Fund | 2,595,086 | – | – | 2,595,086 | ||||||||||||
Purchased Options: | ||||||||||||||||
Call Option Purchased | – | 36,183 | – | 36,183 | ||||||||||||
Put Option Purchased | – | 67,894 | – | 67,894 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Purchased Options | – | 104,077 | – | 104,077 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments: | ||||||||||||||||
Bank Deposit | – | 551,905 | – | 551,905 | ||||||||||||
Commercial Paper | – | 2,697,263 | – | 2,697,263 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | – | 3,249,168 | – | 3,249,168 | ||||||||||||
|
|
|
|
|
|
|
|
170
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
DESCRIPTION | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL INVESTMENTS | ||||||||||||
Derivative Securities: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | – | $ | 11,347 | $ | – | $ | 11,347 | ||||||||
Futures** | 11,332 | – | – | 11,332 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Derivative Securities | 11,332 | 11,347 | – | 22,679 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,606,418 | $ | 29,595,512 | $ | 410,163 | $ | 32,612,093 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities:* | ||||||||||||||||
Derivative Securities: | ||||||||||||||||
Centrally Cleared Credit Default Swaps** | – | (1,755 | ) | – | (1,755 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | – | (9,101 | ) | – | (9,101 | ) | ||||||||||
Futures** | (7,031 | ) | – | – | (7,031 | ) | ||||||||||
OTC – Credit Default Swaps | – | (15,180 | ) | – | (15,180 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Derivative Securities | (7,031 | ) | (26,036 | ) | – | (33,067 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,599,387 | $ | 29,569,476 | $ | 410,163 | $ | 32,579,026 | ||||||||
|
|
|
|
|
|
|
|
* | There were no transfers between levels 1 and 2 during the year ended June 30, 2017. |
** | Centrally Cleared Swaps and Futures are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statement of Assets and Liabilities. |
The following table is a summary of quantitative information about significant unobservable valuation inputs for Level 3 fair value measurement for investments held as of June 30, 2017:
TYPE OF ASSETS | FAIR VALUE AS OF JUNE 30 2017 | VALUATION TECHNIQUE(S) | UNOBSERVABLE INPUT | |||||
Asset-Backed Securities | ||||||||
DRB Prime Student Loan Trust 2016-R | $ | 92,601 | Broker Quote | $100.35; Price source depth of 1 | ||||
DRB Prime Student Loan Trust 2016-R A1 | $ | 92,198 | Broker Quote | $100.35; Price source depth of 1 | ||||
Goodgreen Trust 2017-1A | $ | 100,374 | Broker Quote | $101.0965; Price source depth of 1 | ||||
SoFi Consumer Loan Program LLC 2016-5 A | $ | 124,990 | Broker Quote | $101.0475; Price source depth of 1 |
Although the Company believes the valuation methods described above are appropriate, the use of different methodologies or assumptions to determine fair value could result in different estimates of fair value at the reporting date.
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
INVESTMENTS IN SECURITIES | BALANCE AS OF JULY 1, 2016 | REALIZED (LOSS) | CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) | NET TRANSFERS IN (OUT) OF LEVEL 3 | ACCRUED PREMIUMS/ | PURCHASES | SALES | BALANCE AS OF | CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM INVESTMENTS HELD AT JUNE 30, 2017 | |||||||||||||||||||||||||||
Asset Backed Securities | $ | – | $ | 121 | $ | 3,494 | $ | – | $ | (8 | ) | $ | 457,863 | $ | (51,307 | ) | $ | 410,163 | $ | 3,494 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | – | $ | 121 | $ | 3,494 | $ | – | $ | (8 | ) | $ | 457,863 | $ | (51,307 | ) | $ | 410,163 | $ | 3,494 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
171
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
Emerging Markets Debt Blended Total Return Fund
DESCRIPTION | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL INVESTMENTS | ||||||||||||
Assets:* | ||||||||||||||||
Fixed Income: | ||||||||||||||||
Corporate Bonds | $ | – | $ | 3,186,608 | $ | – | $ | 3,186,608 | ||||||||
Foreign Government | – | 7,013,819 | – | 7,013,819 | ||||||||||||
Government Bonds | – | 115,928 | – | 115,928 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income | – | 10,316,355 | – | 10,316,355 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments: | ||||||||||||||||
Bank Deposit | – | 291,180 | – | 291,180 | ||||||||||||
Derivative Securities: | ||||||||||||||||
OTC – Credit Default Swaps | – | 2,352 | – | 2,352 | ||||||||||||
Forward Foreign Currency Exchange Contracts | – | 236,064 | – | 236,064 | ||||||||||||
Interest Rate Swaps | – | 32,982 | – | 32,982 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Derivative Securities | – | 271,398 | – | 271,398 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | – | $ | 10,878,933 | $ | – | $ | 10,878,933 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities:* | ||||||||||||||||
Derivative Securities: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | – | (256,119 | ) | – | (256,119 | ) | ||||||||||
Futures** | (4,335 | ) | – | – | (4,335 | ) | ||||||||||
Interest Rate Swaps | – | (8,683 | ) | – | (8,683 | ) | ||||||||||
OTC – Credit Default Swaps | – | (23,305 | ) | – | (23,305 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Derivative Securities | (4,335 | ) | (288,107 | ) | – | (292,442 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | (4,335 | ) | $ | 10,590,826 | $ | – | $ | 10,586,491 | |||||||
|
|
|
|
|
|
|
|
* | There were no transfers between levels during the year ended June 30, 2017. |
** | Centrally Cleared Swaps and Futures are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statement of Assets and Liabilities. |
Emerging Markets Local Currency Debt Fund
DESCRIPTION | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL INVESTMENTS | ||||||||||||
Assets:* | ||||||||||||||||
Fixed Income: | ||||||||||||||||
Foreign Government | $ | – | $ | 4,548,991 | $ | – | $ | 4,548,991 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income | – | 4,548,991 | – | 4,548,991 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments: | ||||||||||||||||
Bank Deposit | – | 592,794 | – | 592,794 | ||||||||||||
Derivative Securities: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | – | 178,973 | – | 178,973 | ||||||||||||
OTC – Interest Rate Swaps | – | 41,072 | – | 41,072 | ||||||||||||
Centrally Cleared Interest Rate Swap** | – | 2,120 | – | 2,120 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Derivative Securities | – | 222,165 | – | 222,165 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | – | $ | 5,363,950 | $ | – | $ | 5,363,950 | ||||||||
|
|
|
|
|
|
|
|
172
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
DESCRIPTION | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL INVESTMENTS | ||||||||||||
Liabilities:* | ||||||||||||||||
Derivative Securities: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | – | $ | (126,202 | ) | $ | – | $ | (126,202 | ) | ||||||
Interest Rate Swaps | – | (14,503 | ) | – | (14,503 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Derivative Securities | – | (140,705 | ) | – | (140,705 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | – | $ | 5,223,245 | $ | – | $ | 5,223,245 | ||||||||
|
|
|
|
|
|
|
|
* | There were no transfers between levels during the year ended June 30, 2017. |
** | Centrally Cleared Swaps and Futures are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statement of Assets and Liabilities. |
Global High Yield Fund
DESCRIPTION | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL INVESTMENTS | ||||||||||||
Assets:* | ||||||||||||||||
Fixed Income: | ||||||||||||||||
Bank Loans | $ | – | $ | 302,889 | $ | 255,372 | $ | 558,261 | ||||||||
Corporate Bonds | – | 26,941,206 | – | 26,941,206 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income | – | 27,244,095 | 255,372 | 27,499,467 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments: | ||||||||||||||||
Bank Deposit | – | 573,755 | – | 573,755 | ||||||||||||
Derivative Securities: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | – | 9,654 | – | 9,654 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | – | $ | 27,827,504 | $ | 255,372 | $ | 28,082,876 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities:* | ||||||||||||||||
Derivative Securities: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | – | (88,437 | ) | – | (88,437 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | – | $ | 27,739,067 | $ | 255,372 | $ | 27,994,439 | ||||||||
|
|
|
|
|
|
|
|
* | There were no transfers between levels during the year ended June 30, 2017. |
The following table is a summary of quantitative information about significant unobservable valuation inputs for Level 3 fair value measurement for investments held as of June 30, 2017:
TYPE OF ASSETS | FAIR VALUE AS OF JUNE 30 2017 | VALUATION TECHNIQUE(S) | UNOBSERVABLE INPUT | |||||
Bank Loans | ||||||||
CD&R Plumb Buyer, LLC | $ | 255,372 | Recent Purchase | Priced at cost; $100 |
Although the Company believes the valuation methods described above are appropriate, the use of different methodologies or assumptions to determine fair value could result in different estimates of fair value at the reporting date.
173
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
INVESTMENTS IN SECURITIES | BALANCE AS OF JULY 1, 2016 | REALIZED GAIN (LOSS) | CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) | NET TRANSFERS IN (OUT) OF LEVEL 3 | ACCRUED PREMIUMS/ DISCOUNTS | PURCHASES | SALES | BALANCE AS OF JUNE 30, 2017 | CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM INVESTMENTS HELD AT JUNE 30, 2017 | |||||||||||||||||||||||||||
Fixed Income | ||||||||||||||||||||||||||||||||||||
Bank Loans | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 255,372 | $ | — | $ | 255,372 | $ | — | ||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 255,372 | $ | — | $ | 255,372 | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. High Yield Fund
DESCRIPTION | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL INVESTMENTS | ||||||||||||
Assets:* | ||||||||||||||||
Fixed Income: | ||||||||||||||||
Bank Loans | $ | – | $ | 686,208 | $ | 255,643 | $ | 941,851 | ||||||||
Corporate Bonds | – | 31,076,134 | – | 31,076,134 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income | – | 31,762,342 | 255,643 | 32,017,985 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments: | ||||||||||||||||
Bank Deposit | – | 1,344,580 | – | 1,344,580 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | – | $ | 33,106,922 | $ | 255,643 | $ | 33,362,565 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | – | $ | 33,106,922 | $ | 255,643 | $ | 33,362,565 | ||||||||
|
|
|
|
|
|
|
|
* | There were no transfers between levels during the year ended June 30, 2017. |
The following table is a summary of quantitative information about significant unobservable valuation inputs for Level 3 fair value measurement for investments held as of June 30, 2017:
TYPE OF ASSETS | FAIR VALUE AS OF JUNE 30 2017 | VALUATION TECHNIQUE(S) | UNOBSERVABLE INPUT | |||||
Bank Loans | ||||||||
CD&R Plumb Buyer, LLC | $ | 255,643 | Recent Purchase | Priced at cost; $100 |
Although the Company believes the valuation methods described above are appropriate, the use of different methodologies or assumptions to determine fair value could result in different estimates of fair value at the reporting date.
174
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
INVESTMENTS IN SECURITIES | BALANCE AS OF JULY 1, 2016 | REALIZED GAIN (LOSS) | CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) | NET TRANSFERS IN (OUT) OF LEVEL 3 | ACCRUED PREMIUMS/ DISCOUNTS | PURCHASES | SALES | BALANCE AS OF JUNE 30, 2017 | CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM INVESTMENTS HELD AT JUNE 30, 2017 | |||||||||||||||||||||||||||
Fixed Income | ||||||||||||||||||||||||||||||||||||
Bank Loans | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 255,643 | $ | — | $ | 255,643 | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 255,643 | $ | — | $ | 255,643 | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
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|
|
B. | When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions |
The Funds may enter into when-issued, delayed-delivery, forward commitment, or TBA transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although a Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. As a result, each of these types of transactions may create investment leverage in a Fund’s portfolio and increase the volatility of the Fund. If a Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.
These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized
appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.
C. | Cash and Short-Term Investments |
Cash and cash equivalents consist principally of short-term investments that are readily convertible into cash and have original maturities of three months or less. At June 30, 2017, all cash and cash equivalents are held by the custodian.
D. | Investment Transactions, Related Investment Income and Expenses |
Investment transactions are accounted for on a trade date basis. Interest income is recorded on the accrual basis, including the amortization of premiums and accretion of discounts on bonds held using the yield-to-maturity method.
Realized gains and losses on investment transactions and unrealized appreciation and depreciation of investments are reported for financial statement and Federal income tax purposes on the identified cost method.
Expenses are recorded on the accrual basis as incurred.
E. | Redemption Fees |
The Funds do not have redemption fees.
F. | Use of Estimates |
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of
175
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates.
G. | Federal Income Taxation |
The Funds have elected to be taxed as a Regulated Investment Company (“RIC”) under sub-chapter M of the U.S. Internal Revenue Code of 1986, as amended, and intend to maintain this qualification and to distribute substantially all of their net taxable income to their shareholders. As of June 30, 2017, the Funds had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Funds file a U.S. federal income tax return annually after their fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of the filings.
H. | Dividends and Distributions |
Each Fund declares a dividend daily based on the Adviser’s projections of the Funds’ estimated net investment income and distributes such dividend monthly. To the extent that these distributions exceed net investment income, they may be classified as return of capital. The Funds also pay a distribution at least annually from their net realized capital gains, if any. Dividends and distributions are recorded on the ex-dividend date. All common shares have equal dividend and other distribution rights. A notice disclosing the source(s) of a distribution will be provided if payment is made from any source other than net investment income. Any such notice would be provided only for informational purposes in order to comply with the requirements of Section 19(a) of the 1940 Act and not for tax reporting purposes. The tax composition of the Funds’ distributions for each calendar year is reported on Internal Revenue Service Form 1099-DIV.
Dividends from net investment income and distributions from realized gains from investment transactions have been determined in accordance with Federal income tax regulations and may differ from net investment income and realized gains recorded by the Funds for financial reporting purposes. These differences, which could be temporary or permanent in nature may result in reclassification of distributions; however, net investment income, net realized gains and losses, and net assets are not affected.
I. | Bank Loans |
The Funds may invest in bank loans, which usually take the form of loan participations and assignments. Loan participations and assignments are agreements to make money available to U.S. or foreign corporations, partnerships or other business entities (the “Borrower”) in a specified amount, at a specified rate and within a specified time. A loan is typically originated, negotiated and structured by a U.S. or foreign bank, insurance company or other financial institution (the “Agent”) for a group of loan investors (“Loan Investors”). The Agent typically administers and enforces the loan on behalf of the other Loan Investors in the syndicate and may hold any collateral on behalf of the Loan Investors. Such loan participations and assignments are typically senior, secured and collateralized in nature. The Funds record an investment when the Borrower withdraws money and records interest as earned. These loans pay interest at rates which are periodically reset by reference to a base lending rate plus a spread. These base lending rates are generally the prime rate offered by a designated U.S. bank or London InterBank Offered Rate (“LIBOR”).
The loans in which the Funds invest may be subject to some restrictions on resale. For example, the Funds may be contractually obligated to receive approval from the Agent and/or Borrower prior to the sale of these investments. The Funds generally have no right to enforce compliance with the terms of the loan agreement with the Borrower. As a result, the Funds assume the credit risk of the Borrower, the selling participant and any other persons interpositioned between the Funds and the Borrower (“Intermediate Participants”). In the event that the Borrower, selling participant or Intermediate Participants become insolvent or enter into bankruptcy, the Funds may incur certain costs and delays in realizing payment or may suffer a loss of principal and/or interest.
Unfunded commitments represent the remaining obligation of the Funds to the Borrower. At any point in time, up to the maturity date of the issue, the Borrower may demand the unfunded portion. Until demanded by the Borrower, unfunded commitments are not recognized as an asset on the Statements of Assets and Liabilities. Unrealized appreciation/depreciation on unfunded commitments presented on the Statements of Assets and Liabilities represents mark to market of the
176
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
unfunded portion of the Funds’ bank loans. As of June 30, 2017, the following Funds had unfunded loan commitments:
FUND | SECURITY | AMOUNT | ||||
Global Floating Rate Fund | CenturyLink, Inc., 6.30%, 2/17/18 | $ | 1,000,000 | |||
Global Credit Income Opportunities Fund | CenturyLink, Inc., 6.30%, 2/17/18 | $ | 810,207 | |||
Global High Yield Fund | CenturyLink, Inc., 6.30%, 2/17/18 | $ | 147,079 | |||
U.S. High Yield Fund | CenturyLink, Inc., 6.30%, 2/17/18 | $ | 148,571 |
J. | Derivative Instruments |
The following is a description of the derivative instruments that the Funds utilize as part of their investment strategy, including the primary underlying risk exposures related to the instrument.
The Funds are subject to foreign currency exchange rate risk in the normal course of pursuing their investment objectives. The Funds may use forward foreign currency exchange contracts to hedge against changes in the value of foreign currencies. The Funds may enter into forward foreign currency exchange contracts obligating the Funds to deliver or receive a currency at a specified future date. Forward contracts are valued daily and unrealized appreciation or depreciation is recorded daily as the difference between the contract exchange rate and the closing forward rate applied to the face amount of the contract. A realized gain or loss is recorded at the time the forward contract expires. Credit risk may arise as a result of the failure of the counterparty to comply with the terms of the contract. The Funds consider the creditworthiness of each counterparty to a contract in evaluating potential credit risk quarterly. The Funds are also subject to credit risk with respect to the counterparties to derivative contracts that are not cleared through a central counterparty but instead are traded over-the-counter between two counterparties. If a counterparty to an over-the-counter derivative becomes bankrupt or otherwise fails to perform its obligations under a derivative contract due to financial difficulties, the Funds may experience significant delays in obtaining any recovery under the derivative contract in a bankruptcy or other reorganization proceeding. The Funds may obtain only a limited recovery or may obtain no recovery in such circumstances. The counterparty risk for cleared derivatives is generally lower than for
uncleared over-the-counter derivative transactions since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing house for performance of financial obligations. However, there can be no assurance that the clearing house, or its members, will satisfy its obligations to the Funds. In addition, in the event of a bankruptcy of a clearing house, the Funds could experience a loss of the funds deposited with such clearing house as margin and of any profits on its open positions. The counterparty risk to the Funds is limited to the net unrealized gain, if any, on the contract.
The use of forward foreign currency exchange contracts does not eliminate fluctuations in the underlying prices of the Funds’ investment securities; however, it does establish a rate of exchange that can be achieved in the future. The use of forward foreign currency exchange contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward foreign currency exchange contract would limit the risk of loss due to a decline in the value of a particular currency; however, it would also limit any potential gain that might result should the value of the currency increase instead of decrease. These contracts may involve market risk in excess of the amount of receivable or payable reflected on the Statement of Assets and Liabilities.
The Funds may purchase and sell futures contracts to enhance returns, to attempt to hedge some of its investment risk, or as a substitute position in lieu of holding the underlying asset on which the instrument is based. At the time of entering into a futures transaction, an investor is required to deposit and maintain a specified amount of cash or eligible securities called “initial margin.” Subsequent payments made or received by a Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. Each Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain (loss) is recorded equal to the difference between the opening and closing value of the contract.
The Funds may purchase call or put options. When a Fund purchases an option, the premium paid by the Fund is recorded as an asset and is subsequently adjusted to the current fair value of the option purchased. Purchasing call options tends to increase the Fund’s exposure to the
177
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
underlying instrument. Purchasing put options tends to decrease the Fund’s exposure to the underlying instrument. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying security to determine the realized gain or loss. The risks associated with purchasing put and call options are potential loss of the premium paid and, in the instances of over-the-counter derivatives, the failure of the counterparty to honor its obligation under the contract.
The Funds may enter into swap options (“swaptions”). A swaption is an option to enter into a pre-defined swap agreement by some specified date in the future. The writer of the swaption becomes the counterparty to the swap if the buyer exercises. The interest rate swaption agreement will specify whether the buyer of the swaption will be a fixed rate receiver or a fixed rate buyer. Depending on the terms of the particular option agreement, a Fund generally will incur a greater degree of risk when the Fund writes a swaption than the Fund will incur when it purchases a swaption. When a Fund purchases a swaption, the Fund’s risk of loss is limited to the amount of the premium it has paid should it decide to let the swaption expire unexercised.
When a Fund writes a covered call or a put option, an amount equal to the premium received by the Fund is included in the Fund’s Statement of Assets and Liabilities as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. The Fund receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in stock value above the exercise price of the option, and when a Fund writes a put option, it is exposed to a decline in the price of the underlying security.
Whether an option which a Fund has written expires on its stipulated expiration date or a Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss, if the cost of a closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a call option which a Fund has written is exercised, the Fund realizes a capital gain or loss from the sale of the underlying security, and the cost basis of the lots sold are decreased by the premium originally
received. When a put option which a Fund has written is exercised, the amount of the premium originally received will reduce the cost of the security which the Fund purchases upon exercise of the option. Realized gains (losses) on purchased options are included in net realized gain (loss) from investments.
The Funds’ use of written options involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statements of Assets and Liabilities. The face or contract amounts of these instruments reflect the extent of the Funds’ exposure to market risk. The risks may be caused by an imperfect correlation between movements in the price of the instrument and the price of the underlying securities, currencies and interest rates.
The Funds may enter into credit default swap contracts. As a seller of a credit default swap contract (“seller of protection”), a Fund is required to pay the notional amount or other agreed-upon value of a referenced debt obligation to the counterparty (or central clearing party in the case of centrally cleared swaps) in the event of a default by or other credit event involving the referenced issuer, obligation or index. In return, a Fund receives from the counterparty (or central clearing party in the case of centrally cleared swaps) a periodic stream of payments over the term of the contract.
As a purchaser of a credit default swap contract (“buyer of protection”), a Fund would receive the notional amount or other agreed upon value of a referenced debt obligation from the counterparty (or central clearing party in the case of centrally cleared swaps) in the event of default by or other credit event involving the referenced issuer, obligation or index. In return, a Fund would make periodic payments to the counterparty (or central clearing party in the case of centrally cleared swaps) over the term of the contracts, provided no event of default has occurred.
These credit default swaps may have as a reference obligation corporate or sovereign issuers or credit indices. These credit indices are comprised of a basket of securities representing a particular sector of the market. During the period, Active Short Duration Bond Fund and Total Return Bond Fund entered into credit default swaps based on a CMBX index, which is comprised of commercial mortgage-backed securities, and a CDX index, which is based on 25 mortgage-backed securities.
Credit default swaps are fair valued based upon quotations from counterparties, brokers or market-makers and the change in value, if any, is recorded as an
178
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
unrealized appreciation or depreciation. For a credit default swap sold by a Fund, payment of the agreed-upon amount made by a Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation purchased/received. For a credit default swap purchased by a Fund, the agreed-upon amount received by a Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by a Fund.
Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the custodian bank or broker in accordance with the swap agreement. The value and credit rating of each credit default swap where a Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the central clearing party daily.
Entering into swap agreements involves counterparty and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, that there may be unfavorable changes in interest rates, and, in the case of credit default swaps, that the Adviser does not correctly predict the creditworthiness of the issuers of the reference obligation on which the credit default swap is based. In the case of centrally cleared swaps,
counterparty risk is minimal due to protections provided by the central clearing party.
Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) with respect to a notional amount of principal. When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate, and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.
During the period ended June 30, 2017, the Funds’ direct investment in derivatives consisted of forward foreign currency exchange contracts, futures contracts, credit default swaps, interest rate swaps and purchased options.
179
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
The following is a summary of the fair value of derivative instruments held directly by the Funds as of June 30, 2017:
Global Floating Rate Fund
ASSET DERIVATIVES | STATEMENTS OF ASSETS AND LIABILITIES LOCATION | FOREIGN EXCHANGE CONTRACTS RISK | ||||
Forward Foreign Currency Exchange Contracts | Unrealized appreciation on forward foreign currency exchange contracts | $ | 27,265 | |||
|
| |||||
Total | $ | 27,265 | ||||
|
| |||||
LIABILITY DERIVATIVES | STATEMENTS OF ASSETS AND LIABILITIES LOCATION | FOREIGN EXCHANGE CONTRACTS RISK | ||||
Forward Foreign Currency Exchange Contracts | Unrealized depreciation on forward foreign currency exchange contracts | $ | (334,783 | ) | ||
|
| |||||
Total | $ | (334,783 | ) | |||
|
|
Global Credit Income Opportunities Fund
ASSET DERIVATIVES | STATEMENTS OF ASSETS AND LIABILITIES LOCATION | FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | EQUITY RISK | TOTAL | |||||||||||||
Forward Foreign Currency Exchange Contracts | Unrealized appreciation on forward foreign currency exchange contracts | $ | 29,382 | $ | – | $ | – | $ | 29,382 | |||||||||
Purchased Options | Investments, at fair value | – | 25,993 | 40,480 | 66,473 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 29,382 | $ | 25,993 | $ | 40,480 | $ | 95,855 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
LIABILITY DERIVATIVES | STATEMENTS OF ASSETS AND LIABILITIES LOCATION | FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | EQUITY | TOTAL | |||||||||||||
Forward Foreign Currency Exchange Contracts | Unrealized depreciation on forward foreign currency exchange contracts | $ | (289,668 | ) | $ | – | $ | – | $ | (289,668 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (289,668 | ) | $ | – | $ | – | $ | (289,668 | ) | ||||||||
|
|
|
|
|
|
|
|
180
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
Active Short Duration Bond Fund
ASSET DERIVATIVES | STATEMENTS OF ASSETS AND LIABILITIES LOCATION | FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | CREDIT RISK | TOTAL | |||||||||||||
Futures Contracts | Includes cumulative unrealized appreciation/ depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. | $ | – | $ | 336,908 | $ | – | $ | 336,908 | |||||||||
Purchased Options | Investments, at fair value | – | 452,825 | 452,825 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ | – | $ | 789,733 | $ | – | $ | 789,733 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
LIABILITY DERIVATIVES | STATEMENTS OF ASSETS AND LIABILITIES LOCATION | FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | CREDIT RISK | TOTAL | |||||||||||||
Futures Contracts | Includes cumulative unrealized appreciation/ depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. | $ | – | $ | (86,526 | ) | $ | – | $ | (86,526 | ) | |||||||
OTC – Swaps Contracts | Swap contracts, at fair value | – | – | (60,718 | ) | (60,718 | ) | |||||||||||
Centrally Cleared Credit Default Swaps Contracts | Includes cumulative unrealized appreciation/depreciation of swap contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. | – | – | (8,446 | ) | (8,446 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ | – | $ | (86,526 | ) | $ | (69,164 | ) | $ | (155,690 | ) | |||||||
|
|
|
|
|
|
|
|
181
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
Total Return Bond Fund
ASSET DERIVATIVES | STATEMENTS OF ASSETS AND LIABILITIES LOCATION | FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | CREDIT RISK | TOTAL | |||||||||||||
Forward Foreign Currency Exchange Contracts | Unrealized appreciation on forward foreign currency exchange contracts | $ | 11,347 | $ | – | $ | – | $ | 11,347 | |||||||||
Futures Contracts | Includes cumulative unrealized appreciation/ depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. | – | 11,332 | – | 11,332 | |||||||||||||
Purchased Options | Investments, at fair value | – | 104,077 | – | 104,077 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 11,347 | $ | 115,409 | $ | – | $ | 126,756 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
LIABILITY DERIVATIVES | STATEMENTS OF ASSETS AND LIABILITIES LOCATION | FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | CREDIT RISK | TOTAL | |||||||||||||
Forward Foreign Currency Exchange Contracts | Unrealized depreciation on forward foreign currency exchange contracts | $ | (9,101 | ) | $ | – | $ | – | $ | (9,101 | ) | |||||||
Futures Contracts | Includes cumulative unrealized appreciation/ depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. | – | (7,031 | ) | – | (7,031 | ) | |||||||||||
OTC – Swaps Contracts | Swap contracts, at fair value | – | – | (15,180 | ) | (15,180 | ) | |||||||||||
Centrally Cleared Credit Default Swaps Contracts | Includes cumulative unrealized appreciation/ depreciation of swap contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. | – | – | (1,755 | ) | (1,755 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (9,101 | ) | $ | (7,031 | ) | $ | (16,935 | ) | $ | (33,067 | ) | ||||||
|
|
|
|
|
|
|
|
182
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
Emerging Markets Debt Blended Total Return Fund
ASSET DERIVATIVES | STATEMENTS OF ASSETS AND LIABILITIES LOCATION | FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | CREDIT RISK | TOTAL | |||||||||||||
Forward Foreign Currency Exchange Contracts | Unrealized appreciation on forward foreign currency exchange contracts | $ | 236,064 | $ | – | $ | – | $ | 236,064 | |||||||||
OTC – Swaps Contracts | Swap contracts, at fair value | – | 32,982 | 2,352 | 35,334 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 236,064 | $ | 32,982 | $ | 2,352 | $ | 271,398 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
LIABILITY DERIVATIVES | STATEMENTS OF ASSETS AND LIABILITIES LOCATION | FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | CREDIT RISK | TOTAL | |||||||||||||
Forward Foreign Currency Exchange Contracts | Unrealized depreciation on forward foreign currency exchange contracts | $ | (256,119 | ) | $ | – | $ | $ | (256,119 | ) | ||||||||
Futures Contracts | Includes cumulative unrealized appreciation/ depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. | – | (4,335 | ) | – | (4,335 | ) | |||||||||||
OTC – Swaps Contracts | Swap contracts, at fair value | – | (8,683 | ) | (23,305 | ) | (31,988 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (256,119 | ) | $ | (13,018 | ) | $ | (23,305 | ) | $ | (292,442 | ) | ||||||
|
|
|
|
|
|
|
|
Emerging Markets Local Currency Debt Fund
ASSET DERIVATIVES | STATEMENTS OF ASSETS AND LIABILITIES LOCATION | FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | TOTAL | ||||||||||
Forward Foreign Currency Exchange Contracts | Unrealized appreciation on forward foreign currency exchange contracts | $ | 178,973 | $ | – | $ | 178,973 | |||||||
Centrally Cleared Interest Rate Swap | Includes cumulative unrealized appreciation/ depreciation of swap contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. | – | 2,120 | 2,120 | ||||||||||
OTC – Swaps Contracts | Swap contracts, at fair value | – | 41,072 | 41,072 | ||||||||||
|
|
|
|
|
| |||||||||
Total | $ | 178,973 | $ | 43,192 | $ | 222,165 | ||||||||
|
|
|
|
|
|
183
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
LIABILITY DERIVATIVES | STATEMENTS OF ASSETS AND LIABILITIES LOCATION | FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | TOTAL | ||||||||||
Forward Foreign Currency Exchange Contracts | Unrealized depreciation on forward foreign currency exchange contracts | $ | (126,202 | ) | $ | – | $ | (126,202 | ) | |||||
OTC – Swaps Contracts | Swap contracts, at fair value | – | (14,503 | ) | (14,503 | ) | ||||||||
|
|
|
|
|
| |||||||||
Total | $ | (126,202 | ) | $ | (14,503 | ) | $ | (140,705 | ) | |||||
|
|
|
|
|
|
Global High Yield Fund
ASSET DERIVATIVES | STATEMENTS OF ASSETS AND LIABILITIES LOCATION | FOREIGN EXCHANGE CONTRACTS RISK | ||||
Forward Foreign Currency Exchange Contracts | Unrealized appreciation on forward foreign currency exchange contracts | $ | 9,654 | |||
|
| |||||
Total | $ | 9,654 | ||||
|
|
LIABILITY DERIVATIVES | STATEMENTS OF ASSETS AND LIABILITIES LOCATION | FOREIGN EXCHANGE CONTRACTS RISK | ||||
Forward Foreign Currency Exchange Contracts | Unrealized depreciation on forward foreign currency exchange contracts | $ | (88,437 | ) | ||
|
| |||||
Total | $ | (88,437 | ) | |||
|
|
Amount of Realized Gain/(Loss) on Derivatives:
Global Floating Rate Fund
FOREIGN EXCHANGE CONTRACTS RISK | ||||
Forward Foreign Currency Exchange Contracts | $ | 2,906,612 | ||
|
| |||
Total | $ | 2,906,612 | ||
|
|
184
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
Global Credit Income Opportunities Fund
FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | EQUITY RISK | TOTAL | |||||||||||||
Forward Foreign Currency Exchange Contracts | $ | 1,810,370 | $ | – | $ | – | $ | 1,810,370 | ||||||||
Purchased Options | – | (545,946 | ) | (24,818 | ) | (570,764 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,810,370 | $ | (545,946 | ) | $ | (24,818 | ) | $ | 1,239,606 | ||||||
|
|
|
|
|
|
|
|
Active Short Duration Bond Fund
FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | CREDIT RISK | TOTAL | |||||||||||||
Forward Foreign Currency Exchange Contracts | $ | 10,370 | $ | – | $ | – | $ | 10,370 | ||||||||
Futures Contracts | – | 1,238,507 | – | 1,238,507 | ||||||||||||
Swaps Contracts | – | – | (13,991 | ) | (13,991 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 10,370 | $ | 1,238,507 | $ | (13,991 | ) | $ | 1,234,886 | |||||||
|
|
|
|
|
|
|
|
Total Return Bond Fund
FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | CREDIT RISK | TOTAL | |||||||||||||
Forward Foreign Currency Exchange Contracts | $ | 18,211 | $ | – | $ | – | $ | 18,211 | ||||||||
Futures Contracts | – | (56,559 | ) | – | (56,559 | ) | ||||||||||
Swaps Contracts | – | – | (16,406 | ) | (16,406 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 18,211 | $ | (56,559 | ) | $ | (16,406 | ) | $ | (54,754 | ) | |||||
|
|
|
|
|
|
|
|
Emerging Markets Debt Blended Total Return Fund
FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | CREDIT RISK | TOTAL | |||||||||||||
Forward Foreign Currency Exchange Contracts | $ | 205,253 | $ | – | $ | – | $ | 205,253 | ||||||||
Futures Contracts | – | (8,404 | ) | – | (8,404 | ) | ||||||||||
Swaps Contracts | – | 56,088 | 20,611 | 76,699 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 205,253 | $ | 47,684 | $ | 20,611 | $ | 273,548 | ||||||||
|
|
|
|
|
|
|
|
Emerging Markets Local Currency Debt Fund
FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | TOTAL | ||||||||||
Forward Foreign Currency Exchange Contracts | $ | 145,221 | $ | – | $ | 145,221 | ||||||
Futures Contracts | – | (160 | ) | (160 | ) | |||||||
Swaps Contracts | – | 46,363 | 46,363 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 145,221 | $ | 46,203 | $ | 191,424 | ||||||
|
|
|
|
|
|
185
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
Global High Yield Fund
FOREIGN EXCHANGE CONTRACTS RISK | ||||
Forward Foreign Currency Exchange Contracts | $ | 436,697 | ||
|
| |||
Total | $ | 436,697 | ||
|
|
Change in Unrealized Appreciation/(Depreciation) on Derivatives:
Global Floating Rate Fund
FOREIGN EXCHANGE CONTRACTS RISK | ||||
Forward Foreign Currency Exchange Contracts | $ | (2,104,289 | ) | |
|
| |||
Total | $ | (2,104,289 | ) | |
|
|
Global Credit Income Opportunities Fund
FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | EQUITY RISK | TOTAL | |||||||||||||
Forward Foreign Currency Exchange Contracts | $ | (1,639,169 | ) | $ | – | $ | – | $ | (1,639,169 | ) | ||||||
Purchased Options | – | (68,777 | ) | (64,966 | ) | (133,743 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (1,639,169 | ) | $ | (68,777 | ) | $ | (64,966 | ) | $ | (1,772,912 | ) | ||||
|
|
|
|
|
|
|
|
Active Short Duration Bond Fund
FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | CREDIT RISK | TOTAL | |||||||||||||
Forward Foreign Currency Exchange Contracts | $ | 1,972 | $ | – | $ | – | $ | 1,972 | ||||||||
Futures Contracts | – | 370,423 | – | 370,423 | ||||||||||||
Purchased Options | – | (64,404 | ) | – | (64,404 | ) | ||||||||||
Swaps Contracts | – | – | (30,109 | ) | (30,109 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,972 | $ | 306,019 | $ | (30,109 | ) | $ | 277,882 | |||||||
|
|
|
|
|
|
|
|
Total Return Bond Fund
FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | CREDIT RISK | TOTAL | |||||||||||||
Forward Foreign Currency Exchange Contracts | $ | 3,858 | $ | – | $ | – | $ | 3,858 | ||||||||
Futures Contracts | – | (86,817 | ) | – | (86,817 | ) | ||||||||||
Purchased Options | – | (14,802 | ) | – | (14,802 | ) | ||||||||||
Swaps Contracts | – | – | (7,099 | ) | (7,099 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,858 | $ | (101,619 | ) | $ | (7,099 | ) | $ | (104,860 | ) | |||||
|
|
|
|
|
|
|
|
186
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
Emerging Markets Debt Blended Total Return Fund
FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | CREDIT RISK | TOTAL | |||||||||||||
Forward Foreign Currency Exchange Contracts | $ | (53,592 | ) | $ | – | $ | – | $ | (53,592 | ) | ||||||
Futures Contracts | — | (4,335 | ) | – | (4,335 | ) | ||||||||||
Swaps Contracts | – | 21,104 | 7,394 | 28,498 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (53,592 | ) | $ | 16,769 | $ | 7,394 | $ | (29,429 | ) | ||||||
|
|
|
|
|
|
|
|
Emerging Markets Local Currency Debt Fund
FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | TOTAL | ||||||||||
Forward Foreign Currency Exchange Contracts | $ | 53,967 | $ | – | $ | 53,967 | ||||||
Swaps Contracts | – | (7,791 | ) | (7,791 | ) | |||||||
|
|
|
|
|
| |||||||
Total | $ | 53,967 | $ | (7,791 | ) | $ | 46,176 | |||||
|
|
|
|
|
|
Global High Yield Fund
FOREIGN EXCHANGE CONTRACTS RISK | ||||
Forward Foreign Currency Exchange Contracts | $ | (359,672 | ) | |
|
| |||
Total | $ | (359,672 | ) | |
|
|
Global Floating Rate Fund
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OF SHARES/UNITS | FOREIGN CONTRACTS RISK | |||
Forward Foreign Currency Exchange Contracts(1) | $ | 29,915,935 | ||
|
| |||
Total | $ | 29,915,935 | ||
|
|
(1) | Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period. |
Global Credit Income Opportunities Fund
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OF SHARES/UNITS | FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | EQUITY RISK | TOTAL | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | $ | 30,939,858 | $ | – | $ | – | $ | 30,939,858 | ||||||||
Purchased Options(1) | – | 76,970,000 | 2,200 | 76,972,200 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 30,939,858 | $ | 76,970,000 | $ | 2,200 | $ | 107,912,058 | ||||||||
|
|
|
|
|
|
|
|
(1) | Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period. |
187
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
Active Short Duration Bond Fund
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OF SHARES/UNITS | FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | CREDIT RISK | TOTAL | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | $ | 8,546,338 | $ | – | $ | – | $ | 8,546,338 | ||||||||
Futures Contracts(2) | – | 520 | – | 520 | ||||||||||||
Purchased Options(1) | – | 3,968,000 | – | 3,968,000 | ||||||||||||
Centrally Cleared Credit Default Swaps Contracts(1) | – | – | 2,290,000 | 2,290,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 8,546,338 | $ | 3,968,520 | $ | 2,290,000 | $ | 14,804,858 | ||||||||
|
|
|
|
|
|
|
|
(1) | Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period. |
(2) | Volume of derivative activity is based on an average of month-end contracts outstanding during the period. |
Total Return Bond Fund
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OF SHARES/UNITS | FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | CREDIT RISK | TOTAL | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | $ | 2,939,471 | $ | – | $ | – | $ | 2,939,471 | ||||||||
Futures Contracts(2) | – | 40 | – | 40 | ||||||||||||
Purchased Options(1) | – | 912,000 | – | 912,000 | ||||||||||||
Centrally Cleared Credit Default Swaps Contracts(1) | – | – | 610,000 | 610,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,939,471 | $ | 912,040 | $ | 610,000 | $ | 4,461,511 | ||||||||
|
|
|
|
|
|
|
|
(1) | Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period. |
(2) | Volume of derivative activity is based on an average of month-end contracts outstanding during the period. |
Emerging Markets Debt Blended Total Return Fund
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OF SHARES/UNITS | FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | CREDIT RISK | TOTAL | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | $ | 13,593,558 | $ | – | $ | – | $ | 13,593,558 | ||||||||
Futures Contracts(2) | – | 2 | – | 2 | ||||||||||||
Centrally Cleared Credit Default Swaps Contracts(1) | – | 381,695,490 | 1,300,000 | 382,995,490 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 13,593,558 | $ | 381,695,492 | $ | 1,300,000 | $ | 396,589,050 | ||||||||
|
|
|
|
|
|
|
|
(1) | Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period. |
(2) | Volume of derivative activity is based on an average of month-end contracts outstanding during the period. |
Emerging Markets Local Currency Debt Fund
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OF SHARES/UNITS | FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | TOTAL | |||||||||
Forward Foreign Currency Exchange Contracts(1) | $ | 8,787,290 | $ | – | $ | 8,787,290 | ||||||
Centrally Cleared Credit Default Swaps Contracts(1) | – | 240,434,410 | 240,434,410 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 8,787,290 | $ | 240,434,410 | $ | 249,221,700 | ||||||
|
|
|
|
|
|
(1) | Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period. |
188
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
Global High Yield Fund
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OF SHARES/UNITS | FOREIGN CONTRACTS RISK | |||
Forward Foreign Currency Exchange Contracts(1) | $ | 6,676,814 | ||
|
| |||
Total | $ | 6,676,814 | ||
|
|
(1) | Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period. |
K. | Disclosures about Offsetting Assets and Liabilities |
The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”). These disclosure requirements are intended to help better assess the effect or potential effect of offsetting arrangements on a Fund’s financial position. In addition, FASB issued Accounting Standards Update No. 2013-01 “Clarifying the Scope of Offsetting Assets and Liabilities” (“ASU 2013-01”), specifying which transactions are subject to disclosures about offsetting. In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements. The result would cause the Fund to accelerate payment of any net liability owed to the counterparty.
The following tables illustrate gross and net information about recognized assets eligible for offset in the Statement of Assets and Liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between two counterparties who have multiple contracts with each other that provides for the net settlement of all contracts, as well as cash collateral, through a single payment in the event of default on or termination of any one contract:
Global Floating Rate Fund
DESCRIPTION | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 27,265 | $ | — | $ | 27,265 | ||||||
|
|
|
|
|
| |||||||
Total | $ | 27,265 | $ | — | $ | 27,265 | ||||||
|
|
|
|
|
|
189
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | ||||||||||||||||
COUNTERPARTY | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | FINANCIAL INSTRUMENT | CASH COLLATERAL RECEIVED (a) | NET AMOUNT (b) | ||||||||||||
Morgan Stanley & Co. | $ | 27,265 | $ | (27,265 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 27,265 | $ | (27,265 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
|
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty. |
(b) | Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2017. |
DESCRIPTION | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 334,783 | $ | — | $ | 334,783 | ||||||
|
|
|
|
|
| |||||||
Total | $ | 334,783 | $ | — | $ | 334,783 | ||||||
|
|
|
|
|
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | ||||||||||||||||
COUNTERPARTY | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | FINANCIAL INSTRUMENT | CASH COLLATERAL PLEDGED (a) | NET AMOUNT (b) | ||||||||||||
Morgan Stanley & Co. | $ | 334,783 | $ | (27,265 | ) | $ | �� — | $ | 307,518 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 334,783 | $ | (27,265 | ) | $ | — | $ | 307,518 | |||||||
|
|
|
|
|
|
|
|
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty. |
(b) | Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2017. |
Global Credit Income Opportunities Fund
DESCRIPTION | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 29,382 | $ | — | $ | 29,382 | ||||||
Purchased Options | 66,473 | — | 66,473 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 95,855 | $ | — | $ | 95,855 | ||||||
|
|
|
|
|
|
190
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | ||||||||||||||||
COUNTERPARTY | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | FINANCIAL INSTRUMENT | CASH COLLATERAL RECEIVED (a) | NET AMOUNT (b) | ||||||||||||
Citibank N.A. | $ | 21,043 | $ | — | $ | — | $ | 21,043 | ||||||||
Goldman Sachs & Co. | 34,196 | (8,203 | ) | — | 25,993 | |||||||||||
JPMorgan Chase Bank N.A. | 136 | (136 | ) | — | — | |||||||||||
Morgan Stanley & Co. | 40,480 | — | — | 40,480 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 95,855 | $ | (8,339 | ) | $ | — | $ | 87,516 | |||||||
|
|
|
|
|
|
|
|
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty. |
(b) | Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2017. |
DESCRIPTION | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 289,668 | $ | — | $ | 289,668 | ||||||
|
|
|
|
|
| |||||||
Total | $ | 289,668 | $ | — | $ | 289,668 | ||||||
|
|
|
|
|
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | ||||||||||||||||
COUNTERPARTY | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | FINANCIAL INSTRUMENT | CASH COLLATERAL PLEDGED (a) | NET AMOUNT (b) | ||||||||||||
Goldman Sachs & Co. | $ | 283,008 | $ | (8,203 | ) | $ | — | $ | 274,805 | |||||||
JPMorgan Chase Bank N.A. | 6,660 | (136 | ) | — | 6,524 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 289,668 | $ | (8,339 | ) | $ | — | $ | 281,329 | |||||||
|
|
|
|
|
|
|
|
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty. |
(b) | Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2017. |
191
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
Active Short Duration Bond Fund
DESCRIPTION | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | |||||||||
Purchased Options | $ | 452,825 | $ | — | $ | 452,825 | ||||||
|
|
|
|
|
| |||||||
Total | $ | 452,825 | $ | — | $ | 452,825 | ||||||
|
|
|
|
|
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | ||||||||||||||||
COUNTERPARTY | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | FINANCIAL INSTRUMENT | CASH COLLATERAL RECEIVED (a) | NET AMOUNT (b) | ||||||||||||
JPMorgan Chase Bank N.A. | $ | 452,825 | $ | (27,390 | ) | $ | (530,000 | ) | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 452,825 | $ | (27,390 | ) | $ | (530,000 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty. |
(b) | Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2017. |
DESCRIPTION | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | |||||||||
Swap Contracts | $ | 39,374 | $ | — | $ | 39,374 | ||||||
|
|
|
|
|
| |||||||
Total | $ | 39,374 | $ | — | $ | 39,374 | ||||||
|
|
|
|
|
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | ||||||||||||||||
COUNTERPARTY | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | FINANCIAL INSTRUMENT | CASH COLLATERAL PLEDGED (a) | NET AMOUNT (b) | ||||||||||||
Goldman Sachs & Co. | $ | 11,984 | $ | — | $ | — | $ | 11,984 | ||||||||
JPMorgan Chase Bank N.A. | 27,390 | (27,390 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 39,374 | $ | (27,390 | ) | $ | — | $ | 11,984 | |||||||
|
|
|
|
|
|
|
|
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty. |
(b) | Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2017. |
192
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
Total Return Bond Fund
DESCRIPTION | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 11,347 | $ | — | $ | 11,347 | ||||||
Purchased Options | 104,077 | — | 104,077 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 115,424 | $ | — | $ | 115,424 | ||||||
|
|
|
|
|
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | ||||||||||||||||
COUNTERPARTY | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | FINANCIAL INSTRUMENT | CASH COLLATERAL RECEIVED (a) | NET AMOUNT (b) | ||||||||||||
Bank of America N.A. | $ | 3,452 | $ | (3,452 | ) | $ | — | $ | — | |||||||
BNP Paribas S.A. | 826 | (826 | ) | — | — | |||||||||||
Citibank N.A. | 2 | (2 | ) | — | — | |||||||||||
Goldman Sachs & Co. | 857 | (857 | ) | — | — | |||||||||||
JPMorgan Chase Bank N.A. | 110,287 | (8,216 | ) | — | 102,071 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 115,424 | $ | (13,353 | ) | $ | — | $ | 102,071 | |||||||
|
|
|
|
|
|
|
|
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty. |
(b) | Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2017. |
DESCRIPTION | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 9,101 | $ | — | $ | 9,101 | ||||||
Swap Contracts | 10,038 | — | 10,038 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 19,139 | $ | — | $ | 19,139 | ||||||
|
|
|
|
|
|
193
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | ||||||||||||||||
COUNTERPARTY | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | FINANCIAL INSTRUMENT | CASH COLLATERAL PLEDGED (a) | NET AMOUNT (b) | ||||||||||||
Bank of America N.A. | $ | 3,612 | $ | (3,452 | ) | $ | — | $ | 160 | |||||||
BNP Paribas S.A. | 1,725 | (826 | ) | — | 899 | |||||||||||
Citibank N.A. | 220 | (2 | ) | — | 218 | |||||||||||
Goldman Sachs & Co. | 5,366 | (857 | ) | — | 4,509 | |||||||||||
JPMorgan Chase Bank N.A. | 8,216 | (8,216 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 19,139 | $ | (13,353 | ) | $ | — | $ | 5,786 | |||||||
|
|
|
|
|
|
|
|
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty. |
(b) | Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2017. |
Emerging Markets Debt Blended Total Return Fund
DESCRIPTION | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 236,064 | $ | — | $ | 236,064 | ||||||
Swap Contracts | 41,543 | — | 41,543 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 277,607 | $ | — | $ | 277,607 | ||||||
|
|
|
|
|
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | ||||||||||||||||
COUNTERPARTY | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | FINANCIAL INSTRUMENT | CASH COLLATERAL RECEIVED (a) | NET AMOUNT (b) | ||||||||||||
Bank of America N.A. | $ | 97,156 | $ | (71,771 | ) | $ | — | $ | 25,385 | |||||||
BNP Paribas S.A. | 15,589 | (15,589 | ) | — | — | |||||||||||
Citibank N.A. | 25,511 | (25,511 | ) | — | — | |||||||||||
Goldman Sachs & Co. | 17,953 | (17,953 | ) | — | — | |||||||||||
JPMorgan Chase Bank N.A. | 121,398 | (44,426 | ) | — | 76,972 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 277,607 | $ | (175,250 | ) | $ | — | $ | 102,357 | |||||||
|
|
|
|
|
|
|
|
194
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty. |
(b) | Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2017. |
DESCRIPTION | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 256,119 | $ | — | $ | 256,119 | ||||||
Swap Contracts | 9,850 | — | 9,850 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 265,969 | $ | — | $ | 265,969 | ||||||
|
|
|
|
|
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | ||||||||||||||||
COUNTERPARTY | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | FINANCIAL INSTRUMENT | CASH COLLATERAL PLEDGED (a) | NET AMOUNT (b) | ||||||||||||
Bank of America N.A. | $ | 71,771 | $ | (71,771 | ) | $ | — | $ | — | |||||||
BNP Paribas S.A. | 25,124 | (15,589 | ) | — | 9,535 | |||||||||||
Citibank N.A. | 30,517 | (25,511 | ) | — | 5,006 | |||||||||||
Goldman Sachs & Co. | 94,106 | (17,953 | ) | — | 76,153 | |||||||||||
JPMorgan Chase Bank N.A. | 44,426 | (44,426 | ) | — | — | |||||||||||
State Street Bank & Trust Co. | 25 | — | — | 25 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 265,969 | $ | (175,250 | ) | $ | — | $ | 90,719 | |||||||
|
|
|
|
|
|
|
|
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty. |
(b) | Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2017. |
Emerging Markets Local Currency Debt Fund
DESCRIPTION | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 178,973 | $ | – | $ | 178,973 | ||||||
Swap Contracts | 41,072 | – | 41,072 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 220,045 | $ | – | $ | 220,045 | ||||||
|
|
|
|
|
|
195
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | ||||||||||||||||
COUNTERPARTY | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | FINANCIAL INSTRUMENT | CASH COLLATERAL RECEIVED (a) | NET AMOUNT (b) | ||||||||||||
Bank of America N.A. | $ | 77,490 | $ | (15,961 | ) | $ | – | $ | 61,529 | |||||||
BNP Paribas S.A. | 4,360 | (4,360 | ) | – | – | |||||||||||
Citibank N.A. | 64,904 | (6,888 | ) | – | 58,016 | |||||||||||
Goldman Sachs & Co. | 435 | (435 | ) | – | – | |||||||||||
JPMorgan Chase Bank N.A. | 72,611 | (63,498 | ) | – | 9,113 | |||||||||||
State Street Bank & Trust Co. | 245 | (245 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 220,045 | $ | (91,387 | ) | $ | – | $ | 128,658 | |||||||
|
|
|
|
|
|
|
|
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty. |
(b) | Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2017. |
DESCRIPTION | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 126,202 | $ | – | $ | 126,202 | ||||||
Swap Contracts | 14,503 | – | 14,503 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 140,705 | $ | – | $ | 140,705 | ||||||
|
|
|
|
|
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | ||||||||||||||||
COUNTERPARTY | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | FINANCIAL INSTRUMENT | CASH COLLATERAL PLEDGED (a) | NET AMOUNT (b) | ||||||||||||
Bank of America N.A. | $ | 15,961 | $ | (15,961 | ) | $ | – | $ | – | |||||||
BNP Paribas S.A. | 12,935 | (4,360 | ) | – | 8,575 | |||||||||||
Citibank N.A. | 6,888 | (6,888 | ) | – | – | |||||||||||
Goldman Sachs & Co. | 39,459 | (435 | ) | – | 39,024 | |||||||||||
JPMorgan Chase Bank N.A. | 63,498 | (63,498 | ) | – | – | |||||||||||
State Street Bank & Trust Co. | 1,964 | (245 | ) | – | 1,719 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 140,705 | $ | (91,387 | ) | $ | — | $ | 49,318 | |||||||
|
|
|
|
|
|
|
|
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty. |
(b) | Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2017. |
196
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
Global High Yield Fund
DESCRIPTION | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 9,654 | $ | – | $ | 9,654 | ||||||
|
|
|
|
|
| |||||||
Total | $ | 9,654 | $ | – | $ | 9,654 | ||||||
|
|
|
|
|
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | ||||||||||||||||
COUNTERPARTY | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | FINANCIAL INSTRUMENT | CASH COLLATERAL RECEIVED (a) | NET AMOUNT (b) | ||||||||||||
BNP Paribas S.A. | $ | 181 | $ | – | $ | – | $ | 181 | ||||||||
Citibank N.A. | 2,732 | (49 | ) | – | 2,683 | |||||||||||
Goldman Sachs & Co. | 3,392 | (3,392 | ) | – | – | |||||||||||
JPMorgan Chase Bank N.A. | 3,349 | (2,742 | ) | – | 607 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 9,654 | $ | (6,183 | ) | $ | – | $ | 3,471 | |||||||
|
|
|
|
|
|
|
|
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty. |
(b) | Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2017. |
DESCRIPTION | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 88,437 | $ | – | $ | 88,437 | ||||||
|
|
|
|
|
| |||||||
Total | $ | 88,437 | $ | – | $ | 88,437 | ||||||
|
|
|
|
|
|
197
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | ||||||||||||||||
COUNTERPARTY | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | FINANCIAL INSTRUMENT | CASH COLLATERAL PLEDGED (a) | NET AMOUNT (b) | ||||||||||||
Citibank N.A. | $ | 49 | $ | (49 | ) | $ | – | $ | – | |||||||
Goldman Sachs & Co. | 85,646 | (3,392 | ) | – | 82,254 | |||||||||||
JPMorgan Chase Bank N.A. | 2,742 | (2,742 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 88,437 | $ | (6,183 | ) | $ | – | $ | 82,254 | |||||||
|
|
|
|
|
|
|
|
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty. |
(b) | Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2017. |
L. | Foreign Securities |
Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and the U.S. government. These risks include valuation of currencies and adverse political and economic developments. Moreover, securities of many foreign companies, foreign governments, and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. companies and the U.S. government.
M. | Foreign Currency Translation |
The books and records of the Funds are maintained in U.S. dollars. Foreign currency transactions are translated into U.S. dollars on the following basis: (i) market value of investment securities, assets and liabilities at the daily rates of exchange, and (ii) purchases and sales of investment securities, dividend and interest income and certain expenses at the rates of exchange prevailing on the respective dates of such transactions. For financial reporting purposes, the Funds do not isolate changes in the exchange rate of investment securities from the fluctuations arising from changes in the market prices of securities. However, for Federal income tax purposes, the Funds do isolate and treat as ordinary income the effect of changes in foreign exchange rates on realized gain or loss from the sale of investment securities and payables and receivables arising from trade-date and settlement-date differences.
N. | Counterparty Risk |
The Funds seek to manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations. The Adviser monitors the financial stability of the Funds’ counterparties.
3. | Advisory Fee |
The Funds have entered into an Investment Management Agreement (the “Agreement”) with the Adviser. Pursuant to the Agreement, the Funds have agreed to pay the Adviser a fee payable at the end of each calendar month as set forth below:
Global Floating Rate Fund | 0.65% of average daily net assets | |
Global Credit Income Opportunities Fund | 0.75% of average daily net assets | |
Active Short Duration Bond Fund | 0.35% of average daily net assets | |
Total Return Bond Fund | 0.40% of average daily net assets | |
Emerging Markets Debt Blended Total Return Fund | 0.75% of average daily net assets | |
Emerging Markets Local Currency Debt Fund | 0.75% of average daily net assets | |
Global High Yield Fund | 0.60% of average daily net assets | |
U.S. High Yield Fund | 0.55% of average daily net assets |
198
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
The Adviser has contractually agreed to waive and/or reimburse a portion of its fees and/or reimburse expenses (excluding distribution and service (12b-1) fees, interest expenses, taxes, acquired fund fees and expenses, fees incurred in acquiring and disposing of securities and extraordinary expenses) such that total net annual operating expenses (including 12b-1 fees) for each class do not exceed the following rates (as a percentage of average daily net assets allocated to each such class):
CLASS A | CLASS C | CLASS I | CLASS Y | |||||||||||||
Global Floating Rate Fund | 1.00 | % | 1.75 | % | 0.75 | % | 0.75 | % | ||||||||
Global Credit Income Opportunities Fund | 1.20 | % | 1.95 | % | 0.95 | % | 0.95 | % | ||||||||
Active Short Duration Bond Fund | 0.65 | % | 0.90 | % | 0.40 | % | 0.40 | % | ||||||||
Total Return Bond Fund | 0.80 | % | 1.55 | % | 0.55 | % | 0.55 | % | ||||||||
Emerging Markets Debt Blended Total Return Fund | 1.20 | % | 1.95 | % | 0.95 | % | 0.95 | % | ||||||||
Emerging Markets Local Currency Debt Fund | 1.20 | % | 1.95 | % | 0.95 | % | 0.95 | % | ||||||||
Global High Yield Fund | 1.05 | % | 1.80 | % | 0.80 | % | 0.80 | % | ||||||||
U.S. High Yield Fund | 1.00 | % | 1.75 | % | 0.75 | % | 0.75 | % |
Pursuant to the expense waiver/reimbursement agreement, the Adviser is entitled to be reimbursed for any fees the Adviser waives and Fund expenses that the Adviser reimburses for a period of three years following such fee waivers and expense reimbursements, to the extent that such reimbursement of the Adviser by a Fund will not cause the Fund to exceed any applicable expense limitation that is in place for the Fund.
The contractual fee waiver and expense reimbursement agreements between the Funds and the Adviser will remain in effect until November 1, 2017 and may be terminated only upon the approval of the Funds’ Board of Trustees.
Subject to the supervision of the Adviser and the Board, BGA manages the investment and reinvestment of a
portion of the assets of the Global Floating Rate Fund, Global Credit Income Opportunities Fund, Emerging Markets Debt Blended Total Return Fund and Global High Yield Fund, as allocated from time to time to BGA. The Adviser (not the Funds) will pay a portion of the fees it receives to BGA in return for its services.
The Adviser or its affiliates voluntarily agreed to waive certain fees for the Global Floating Rate Fund, the Total Return Bond Fund, the Emerging Markets Debt Blended Total Return Fund and the Emerging Markets Local Currency Debt Fund in order to maintain a minimum net investment income of not less than $0. Such arrangements may be discontinued by the investment adviser at any time. For the year ended June 30, 2017 the amount of the waivers were $93, $2, $5,220 and $7,293, respectively.
4. | 12b-1 Distribution and Service Plan |
ALPS Distributors, Inc. (the “Distributor”) is the Distributor of the Funds’ shares as of June 30, 2017.
The Funds have adopted a Distribution and Shareholder Services Plan (the “Plan”), pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, each Fund’s Class A and Class C shares may compensate certain financial institutions, including the Distributor, for certain distribution and shareholder servicing activities. The Funds’ Class A shares may expend an aggregate amount, on an annual basis, not to exceed 0.25% of the value of the average daily net assets of a Fund attributable to Class A shares and 1.00% (0.50% for Active Short Duration Bond Fund) of the value of the average daily net assets of a Fund attributable to Class C shares. The Plan provides that the distribution and service fees are payable to the Distributor regardless of the amounts actually expended by the Distributor for distribution of the Funds’ shares and service activities.
Under its terms, the Funds’ Plan shall remain in effect from year to year, provided such continuance is approved annually by a vote of a majority of the Boards’ members and a majority of those Boards’ members who are not “interested persons” of the Funds and who have no direct or indirect financial interest in the operation of the Plan or in any agreement related to the Plan.
199
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
5. | Sales Charges and Commissions |
For the year ended June 30, 2017, the amount of sales charges retained by the Distributor on sales of Class A and Class C shares of the Funds were as follows:
CLASS C | ||||
Global Floating Rate Fund | $ | 688 | ||
Global Credit Income Opportunities Fund | 490 |
For the year ended June 30, 2017, the Distributor received the following commissions on sales of shares of the Funds, after concessions were paid to authorized dealers:
DISTRIBUTOR COMMISSIONS | DEALERS’ CONCESSIONS | |||||||
Global Floating Rate Fund | $ | 2,653 | $ | 305,239 | ||||
Global Credit Income Opportunities Fund | 13,725 | 172,495 | ||||||
Active Short Duration Bond Fund | – | 140 | ||||||
Emerging Markets Debt Blended Total Return Fund | – | 97 | ||||||
Global High Yield Fund | 55 | 1,776 | ||||||
U.S. High Yield Fund | – | 121 |
6. | Administrator, Custody, and Transfer Agent Fees |
The Funds have engaged State Street Bank and Trust (“SSB”) to serve as the Funds’ administrator, custodian, and fund accountant. The Funds have engaged ALPS Fund Services, Inc. (“ALPS”) to serve as the Funds’ transfer
agent. For each of these services, the Funds have agreed to pay SSB and ALPS fees payable at the end of each calendar month pursuant to fee agreements between SSB, ALPS, and the Funds, respectively. For the year ended June 30, 2017, the fee for these services was at the following annual rate of each Fund’s average daily managed assets:
Aggregate Administrator, Custodian and Fund Accountant fee to SSB:
Global Floating Rate Fund | 0.28 | % | ||
Global Credit Income Opportunities Fund | 0.29 | % | ||
Active Short Duration Bond Fund | 0.27 | % | ||
Total Return Bond Fund | 0.43 | % | ||
Emerging Markets Debt Blended Total Return Fund | 0.66 | % | ||
Emerging Markets Local Currency Debt Fund | 1.09 | % | ||
Global High Yield Fund | 0.37 | % | ||
U.S. High Yield Fund | 0.35 | % |
Transfer Agency fee to ALPS:
Global Floating Rate Fund | 0.02 | % | ||
Global Credit Income Opportunities Fund | 0.04 | % | ||
Active Short Duration Bond Fund | 0.03 | % | ||
Total Return Bond Fund | 0.06 | % | ||
Emerging Markets Debt Blended Total Return Fund | 0.23 | % | ||
Emerging Markets Local Currency Debt Fund | 0.32 | % | ||
Global High Yield Fund | 0.07 | % | ||
U.S. High Yield Fund | 0.05 | % |
7. | Income Taxes |
It is the Funds’ intention to qualify as a RIC under subchapter M of the Internal Revenue Code and distribute all of its taxable income. Accordingly, no provision for Federal income taxes is required in the financial statements.
The tax character of dividends paid to shareholders during the year ended June 30, 2017 was as follows:
ORDINARY INCOME | NET LONG-TERM CAPITAL GAINS | RETURN OF CAPITAL | TOTAL DISTRIBUTIONS PAID | |||||||||||||
Global Floating Rate Fund | $ | 5,697,657 | $ | – | $ | 2,580,175 | $ | 8,277,832 | ||||||||
Global Credit Income Opportunities Fund | 6,724,714 | – | 805,615 | 7,530,329 | ||||||||||||
Active Short Duration Bond Fund | 4,705,679 | 75,157 | – | 4,780,836 | ||||||||||||
Total Return Bond Fund | 800,010 | – | – | 800,010 | ||||||||||||
Emerging Markets Debt Blended Total Return Fund | 530,014 | – | – | 530,014 | ||||||||||||
Emerging Markets Local Currency Debt Fund | 559,981 | 32,131 | – | 592,112 | ||||||||||||
Global High Yield Fund | 2,356,560 | 383,823 | – | 2,740,383 | ||||||||||||
U.S. High Yield Fund | 2,602,629 | – | – | 2,602,629 |
200
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
The tax character of dividends paid to shareholders during the tax year ended June 30, 2016 was as follows:
ORDINARY INCOME | NET LONG-TERM CAPITAL GAINS | TOTAL DISTRIBUTIONS PAID | ||||||||||
Global Floating Rate Fund | $ | 8,506,071 | $ | – | $ | 8,506,071 | ||||||
Global Credit Income Opportunities Fund | 6,116,362 | – | 6,116,362 | |||||||||
Active Short Duration Bond Fund | 1,627,701 | – | 1,627,701 | |||||||||
Total Return Bond Fund | 732,690 | 1,864 | 734,554 |
ORDINARY INCOME | NET LONG-TERM CAPITAL GAINS | TOTAL DISTRIBUTIONS PAID | ||||||||||
Emerging Markets Debt Blended Total Return Fund | 358,072 | 3,100 | 361,172 | |||||||||
Emerging Markets Local Currency Debt Fund | 163,404 | – | 163,404 | |||||||||
Global High Yield Fund | 980,491 | – | 980,491 | |||||||||
U.S. High Yield Fund | 1,053,626 | – | 1,053,626 |
As of June 30, 2017, the components of distributable earnings on a tax-basis were as follows:
UNDISTRIBUTED ORDINARY INCOME | UNDISTRIBUTED LONG-TERM CAPITAL GAINS | LATE YEAR ORDINARY AND POST OCT CAPITAL LOSS DEFERRALS | CAPITAL LOSS CARRYFORWARDS | UNREALIZED APPRECIATION (DEPRECIATION) | TOTAL DISTRIBUTABLE EARNINGS | |||||||||||||||||||
Global Floating Rate Fund | $ | – | $ | – | $ | (1,246,273 | ) | $ | (561,793 | ) | $ | (2,626,471 | ) | $ | (4,434,537 | ) | ||||||||
Global Credit Income Opportunities Fund | – | – | (989,614 | ) | (1,406,076 | ) | 650,265 | (1,745,425 | ) | |||||||||||||||
Active Short Duration Bond Fund | 377,066 | 899,625 | – | – | 829,442 | 2,106,133 | ||||||||||||||||||
Total Return Bond Fund | 997 | – | (73,433 | ) | (36,384 | ) | 411,999 | 303,179 | ||||||||||||||||
Emerging Markets Debt Blended Total Return Fund | 95,128 | 27,046 | – | – | 469,472 | 591,646 | ||||||||||||||||||
Emerging Markets Local Currency Debt Fund | 420 | 45,100 | – | – | 314,414 | 359,934 | ||||||||||||||||||
Global High Yield Fund | 497,699 | 162 | – | – | 758,360 | 1,256,221 | ||||||||||||||||||
U.S. High Yield Fund | 771,006 | 109,052 | – | – | 1,011,205 | 1,891,263 |
In accordance with the Regulated Investment Company Modernization Act of 2010, the Funds will carryforward capital losses incurred in taxable years beginning after December 22, 2010 (“post-enactment losses”) indefinitely.
Post-enactment losses will also retain their character as either short-term or long-term and be utilized before any pre-enactment losses.
201
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
On June 30, 2017, the following funds had capital loss carryforwards available to be offset against future net capital gains as follows:
UNLIMITED - SHORT TERM | UNLIMITED - LONG TERM | |||||||
Global Floating Rate Fund | $ | — | $ | 561,793 | ||||
Global Credit Income Opportunities Fund | 224,783 | 1,181,293 | ||||||
Total Return Bond Fund | 36,384 | — |
Under current tax rules, regulated investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year. As of June 30, 2017, Global Floating Rate Fund and Global Credit Income Opportunities Fund have elected to defer late-year ordinary losses incurred of $1,246,273 and $964,115, respectively. As of June 30, 2017, Global Credit Income Opportunities Fund and Total Return Bond Fund have elected to defer current year post-October losses of $25,499 and $73,433, respectively.
As of June 30, 2017, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:
COST OF INVESTMENTS | GROSS UNREALIZED APPRECIATION | GROSS UNREALIZED DEPRECIATION | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
Global Floating Rate Fund | $ | 201,940,789 | $ | 2,578,088 | $ | (5,149,179 | ) | $ | (2,571,091 | ) | ||||||
Global Credit Income Opportunities Fund | 160,077,483 | 4,096,538 | (3,447,775 | ) | 648,763 | |||||||||||
Active Short Duration Bond Fund | 322,192,409 | 1,730,791 | (901,349 | ) | 829,442 | |||||||||||
Total Return Bond Fund | 32,178,434 | 548,674 | (137,694 | ) | 410,980 | |||||||||||
Emerging Markets Debt Blended Total Return Fund | 10,150,608 | 469,860 | (12,933 | ) | 456,927 | |||||||||||
Emerging Markets Local Currency Debt Fund | 4,839,652 | 307,055 | (4,922 | ) | 302,133 | |||||||||||
Global High Yield Fund | 27,319,678 | 1,159,979 | (406,435 | ) | 753,544 | |||||||||||
U.S. High Yield Fund | 32,351,849 | 1,316,654 | (305,938 | ) | 1,010,716 |
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to wash sales and partnership book-tax differences.
Permanent items identified during the year ended June 30, 2017 have been reclassified among the components of net assets based on their tax basis treatment as follows:
UNDISTRIBUTED NET INVESTMENT INCOME | ACCUMULATED NET REALIZED GAIN (LOSS) | |||||||
Global Floating Rate Fund | $ | (2,768,651 | ) | $ | 2,768,651 | |||
Global Credit Income Opportunities Fund | (1,346,440 | ) | 1,346,440 | |||||
Active Short Duration Bond Fund | 3,341 | (3,341 | ) | |||||
Total Return Bond Fund | 442 | (442 | ) |
UNDISTRIBUTED NET INVESTMENT INCOME | ACCUMULATED NET REALIZED GAIN (LOSS) | |||||||
Emerging Markets Debt Blended Total Return Fund | 112,573 | (112,573 | ) | |||||
Emerging Markets Local Currency Debt Fund | 146,626 | (146,626 | ) | |||||
Global High Yield Fund | (189,426 | ) | 189,426 |
The permanent differences are primarily attributable to foreign currency gains (losses) partnership basis adjustments, swap income reclasses and the tax treatment of certain distributions.
202
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
8. | Investment Transactions |
Purchases and sales of securities (excluding short-term debt securities) for the year ended June 30, 2017 were as follows:
PURCHASES | SALES | GOVERNMENT PURCHASES | GOVERNMENT | |||||||||||||
Global Floating Rate Fund | $ | 144,904,975 | $ | 76,271,286 | $ | – | $ | – | ||||||||
Global Credit Income Opportunities Fund | 126,726,479 | 56,640,341 | – | – | ||||||||||||
Active Short Duration Bond Fund | 197,702,355 | 9,125,267 | 235,141,077 | 202,817,041 | ||||||||||||
Total Return Bond Fund | 11,759,048 | 4,747,439 | 62,128,023 | 60,536,712 | ||||||||||||
Emerging Markets Debt Blended Total Return Fund | 5,753,766 | 5,373,225 | – | – | ||||||||||||
Emerging Markets Local Currency Debt Fund | 3,081,610 | 3,789,455 | – | – | ||||||||||||
Global High Yield Fund | 26,073,606 | 23,039,051 | – | – | ||||||||||||
U.S. High Yield Fund | 28,592,793 | 21,535,949 | – | – |
9. | Capital Share Transactions |
Transactions in common stock for the year ended June 30, 2017 were as follows:
Global Floating Rate Fund
FOR THE YEAR ENDED JUNE 30, 2017 | FOR THE YEAR ENDED JUNE 30, 2016 | |||||||||||||||
CLASS A | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Shares sold | 3,829,613 | $ | 36,363,931 | 1,852,982 | $ | 17,065,312 | ||||||||||
Shares sold through reinvestments of distributions | 146,369 | 1,393,229 | 32,710 | 300,004 | ||||||||||||
Shares redeemed | (753,451 | ) | (7,217,797 | ) | (891,508 | ) | (8,232,099 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 3,222,531 | $ | 30,539,363 | 994,184 | $ | 9,133,217 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS C | ||||||||||||||||
Shares sold | 282,492 | $ | 2,668,145 | 373,886 | $ | 3,471,934 | ||||||||||
Shares sold through reinvestments of distributions | 28,770 | 272,104 | 26,532 | 241,938 | ||||||||||||
Shares redeemed | (215,649 | ) | (2,030,225 | ) | (223,482 | ) | (2,060,431 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 95,613 | $ | 910,024 | 176,936 | $ | 1,653,441 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS I | ||||||||||||||||
Shares sold | 2,214,829 | $ | 21,195,710 | – | $ | – | ||||||||||
Shares sold through reinvestments of distributions | 51,957 | 499,056 | 19,954 | 191,212 | ||||||||||||
Shares redeemed | (2,378,284 | ) | (22,670,813 | ) | (535,014 | ) | (5,000,000 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (111,498 | ) | $ | (976,047 | ) | (515,060 | ) | $ | (4,808,788 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
CLASS Y | ||||||||||||||||
Shares sold | 9,291,951 | $ | 88,449,851 | 6,086,197 | $ | 56,300,003 | ||||||||||
Shares sold through reinvestments of distributions | 484,693 | 4,604,438 | 579,714 | 5,324,169 | ||||||||||||
Shares redeemed | (10,706,795 | ) | (101,282,672 | ) | (6,374,723 | ) | (59,038,968 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (930,151 | ) | $ | (8,228,383 | ) | 291,188 | $ | 2,585,204 | ||||||||
|
|
|
|
|
|
|
|
203
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
Global Credit Income Opportunities Fund
FOR THE YEAR ENDED | FOR THE YEAR ENDED | |||||||||||||||
CLASS A | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Shares sold | 2,302,114 | $ | 21,436,358 | 649,098 | $ | 5,795,169 | ||||||||||
Shares sold through reinvestments of distributions | 106,536 | 999,227 | 84,775 | 750,428 | ||||||||||||
Shares redeemed | (980,824 | ) | (9,084,434 | ) | (668,631 | ) | (5,921,877 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 1,427,826 | $ | 13,351,151 | 65,242 | $ | 623,720 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS C | ||||||||||||||||
Shares sold | 419,598 | $ | 3,942,417 | 112,563 | $ | 1,006,877 | ||||||||||
Shares sold through reinvestments of distributions | 21,444 | 200,486 | 17,988 | 158,913 | ||||||||||||
Shares redeemed | (150,039 | ) | (1,403,298 | ) | (100,203 | ) | (894,804 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 291,003 | $ | 2,739,605 | 30,348 | $ | 270,986 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS I | ||||||||||||||||
Shares sold | 3,073 | $ | 26,732 | – | $ | 666 | ||||||||||
Shares sold through reinvestments of distributions | 98 | 913 | 27,127 | 254,427 | ||||||||||||
Shares redeemed | (470,459 | ) | (4,473,652 | ) | – | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (467,288 | ) | $ | (4,446,007 | ) | 27,127 | $ | 255,093 | ||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS Y | ||||||||||||||||
Shares sold | 5,823,585 | $ | 54,887,640 | 3,557,814 | $ | 31,402,334 | ||||||||||
Shares sold through reinvestments of distributions | 236,560 | �� | 2,218,558 | 173,660 | 1,549,751 | |||||||||||
Shares redeemed | (2,585,294 | ) | (24,389,480 | ) | (1,205,725 | ) | (10,634,355 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 3,474,851 | $ | 32,716,718 | 2,525,749 | $ | 22,317,730 | ||||||||||
|
|
|
|
|
|
|
|
Active Short Duration Bond Fund
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM JULY 8, 2015* | |||||||||||||||
CLASS A | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Shares sold | 15,421,798 | $ | 153,874,328 | 4,326,156 | $ | 42,899,831 | ||||||||||
Shares sold through reinvestments of distributions | 162,991 | 1,626,866 | 18,550 | 184,208 | ||||||||||||
Shares redeemed | (7,690,111 | ) | (76,746,051 | ) | (337,324 | ) | (3,344,883 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 7,894,678 | $ | 78,755,143 | 4,007,382 | $ | 39,739,156 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS C | ||||||||||||||||
Shares sold | 2,805 | $ | 28,000 | 47,683 | $ | 474,468 | ||||||||||
Shares sold through reinvestments of distributions | 543 | 5,417 | 124 | 1,231 | ||||||||||||
Shares redeemed | (5,554 | ) | (55,396 | ) | (22,061 | ) | (218,571 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,206 | ) | $ | (21,979 | ) | 25,746 | $ | 257,128 | ||||||||
|
|
|
|
|
|
|
|
204
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM JULY 8, 2015* | |||||||||||||||
CLASS I | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Shares sold | 10,010 | $ | 100,000 | 2,230,000 | $ | 22,300,000 | ||||||||||
Shares sold through reinvestments of distributions | – | – | 4,437 | 44,099 | ||||||||||||
Shares redeemed | (598,837 | ) | (5,976,390 | ) | (1,635,600 | ) | (16,250,000 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (588,827 | ) | $ | (5,876,390 | ) | 598,837 | $ | 6,094,099 | ||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS Y | ||||||||||||||||
Shares sold | 16,431,103 | $ | 163,786,901 | 14,461,202 | $ | 143,345,835 | ||||||||||
Shares sold through reinvestments of distributions | 247,545 | 2,469,485 | 61,721 | 612,005 | ||||||||||||
Shares redeemed | (7,243,098 | ) | (72,203,413 | ) | (3,527,796 | ) | (35,004,030 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 9,435,550 | $ | 94,052,973 | 10,995,127 | $ | 108,953,810 | ||||||||||
|
|
|
|
|
|
|
|
* | Commencement of operations |
Total Return Bond Fund
FOR THE YEAR ENDED | PERIOD FROM JULY 8, 2015* THROUGH JUNE 30, 2016 | |||||||||||||||
CLASS A | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Shares sold | 1,859 | $ | 19,007 | 20,626 | $ | 206,304 | ||||||||||
Shares sold through reinvestments of distributions | 45 | 449 | 83 | 821 | ||||||||||||
Shares redeemed | (995 | ) | (9,908 | ) | – | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 909 | $ | 9,548 | 20,709 | $ | 207,125 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS C | ||||||||||||||||
Shares sold | – | $ | – | 20,000 | $ | 200,000 | ||||||||||
Shares sold through reinvestments of distributions | – | – | 61 | 596 | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | – | $ | – | 20,061 | $ | 200,596 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS I | ||||||||||||||||
Shares sold | – | $ | – | 1,230,000 | $ | 12,300,000 | ||||||||||
Shares sold through reinvestments of distributions | – | – | 5,482 | 54,097 | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | – | $ | – | 1,235,482 | $ | 12,354,097 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS Y | ||||||||||||||||
Shares sold | 497,579 | $ | 4,982,291 | 1,271,976 | $ | 12,721,341 | ||||||||||
Shares sold through reinvestments of distributions | 7,463 | 74,879 | 5,682 | 56,103 | ||||||||||||
Shares redeemed | (49,321 | ) | (493,631 | ) | – | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 455,721 | $ | 4,563,539 | 1,277,658 | $ | 12,777,444 | ||||||||||
|
|
|
|
|
|
|
|
* | Commencement of operations |
205
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
Emerging Markets Debt Blended Total Return Fund
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM OCTOBER 21, 2015* THROUGH JUNE 30, 2016 | |||||||||||||||
CLASS A | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Shares sold | – | $ | – | 20,000 | $ | 200,000 | ||||||||||
Shares sold through reinvestments of distributions | – | – | 6 | 62 | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | – | $ | – | 20,006 | $ | 200,062 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS C | ||||||||||||||||
Shares sold | 981 | $ | 9,740 | 20,000 | $ | 200,000 | ||||||||||
Shares sold through reinvestments of distributions | 20 | 208 | 6 | 62 | ||||||||||||
Shares redeemed | (2 | ) | (17 | ) | – | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 999 | $ | 9,931 | 20,006 | $ | 200,062 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS I | ||||||||||||||||
Shares sold | – | $ | – | 480,000 | $ | 4,800,000 | ||||||||||
Shares sold through reinvestments of distributions | – | – | 156 | 1,488 | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | – | $ | – | 480,156 | $ | 4,801,488 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS Y | ||||||||||||||||
Shares sold | 50,328 | $ | 529,500 | 480,000 | $ | 4,800,000 | ||||||||||
Shares sold through reinvestments of distributions | 212 | 2,219 | 156 | 1,488 | ||||||||||||
Shares redeemed | (24,371 | ) | (255,411 | ) | – | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 26,169 | $ | 276,308 | 480,156 | $ | 4,801,488 | ||||||||||
|
|
|
|
|
|
|
|
* | Commencement of operations |
Emerging Markets Local Currency Debt Fund
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM DECEMBER 8, 2015* THROUGH JUNE 30, 2016 | |||||||||||||||
CLASS A | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Shares sold | – | $ | – | 10,000 | $ | 100,000 | ||||||||||
Shares sold through reinvestments of distributions | – | – | – | – | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | – | $ | – | 10,000 | $ | 100,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS C | ||||||||||||||||
Shares sold | – | $ | – | 10,000 | $ | 100,000 | ||||||||||
Shares sold through reinvestments of distributions | – | – | – | – | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | – | $ | – | 10,000 | $ | 100,000 | ||||||||||
|
|
|
|
|
|
|
|
206
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM DECEMBER 8, 2015* THROUGH JUNE 30, 2016 | |||||||||||||||
CLASS I | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Shares sold | – | $ | – | 240,000 | $ | 2,400,000 | ||||||||||
Shares sold through reinvestments of distributions | – | – | – | – | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | – | $ | – | 240,000 | $ | 2,400,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS Y | ||||||||||||||||
Shares sold | – | $ | – | 240,000 | $ | 2,400,000 | ||||||||||
Shares sold through reinvestments of distributions | – | – | – | – | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | – | $ | – | 240,000 | $ | 2,400,000 | ||||||||||
|
|
|
|
|
|
|
|
* | Commencement of operations |
Global High Yield Fund
FOR THE | PERIOD FROM OCTOBER 30, 2015* THROUGH JUNE 30, 2016 | |||||||||||||||
CLASS A | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Shares sold | 1,210 | $ | 12,543 | 10,000 | $ | 100,000 | ||||||||||
Shares sold through reinvestments of distributions | 34 | 351 | – | – | ||||||||||||
Shares redeemed | (594 | ) | (6,118 | ) | – | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 650 | $ | 6,776 | 10,000 | $ | 100,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS C | ||||||||||||||||
Shares sold | 13,247 | $ | 137,325 | 10,000 | $ | 100,000 | ||||||||||
Shares sold through reinvestments of distributions | 803 | 8,287 | – | – | ||||||||||||
Shares redeemed | (417 | ) | (4,337 | ) | – | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 13,633 | $ | 141,275 | 10,000 | $ | 100,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS I | ||||||||||||||||
Shares sold | – | $ | – | 1,240,000 | $ | 12,400,000 | ||||||||||
Shares sold through reinvestments of distributions | – | – | – | – | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | – | $ | – | 1,240,000 | $ | 12,400,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS Y | ||||||||||||||||
Shares sold | 143,843 | $ | 1,490,367 | 1,253,790 | $ | 12,538,500 | ||||||||||
Shares sold through reinvestments of distributions | 10,017 | 103,275 | 27 | 262 | ||||||||||||
Shares redeemed | (15,575 | ) | (162,145 | ) | – | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 138,285 | $ | 1,431,497 | 1,253,817 | $ | 12,538,762 | ||||||||||
|
|
|
|
|
|
|
|
* | Commencement of operations |
207
Barings Funds Trust 2017 Annual Report
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
June 30, 2017
U.S. High Yield Fund
FOR THE YEAR ENDED JUNE 30, 2017 | PERIOD FROM OCTOBER 30, 2015* THROUGH JUNE 30, 2016 | |||||||||||||||
CLASS A | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Shares sold | 548,169 | $ | 5,757,935 | 20,304 | $ | 202,500 | ||||||||||
Shares sold through reinvestments of distributions | 12,725 | 133,626 | 11 | 107 | ||||||||||||
Shares redeemed | (332,596 | ) | (3,522,759 | ) | – | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 228,298 | $ | 2,368,802 | 20,315 | $ | 202,607 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS C | ||||||||||||||||
Shares sold | 1,155 | $ | 12,126 | 10,000 | $ | 100,000 | ||||||||||
Shares sold through reinvestments of distributions | 37 | 390 | – | – | ||||||||||||
Shares redeemed | (3 | ) | (32 | ) | – | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 1,189 | $ | 12,484 | 10,000 | $ | 100,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS I | ||||||||||||||||
Shares sold | – | $ | – | 1,458,295 | $ | 14,500,000 | ||||||||||
Shares sold through reinvestments of distributions | 19,404 | 203,243 | 7,352 | 72,465 | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 19,404 | $ | 203,243 | 1,465,647 | $ | 14,572,465 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS Y | ||||||||||||||||
Shares sold | 125,106 | $ | 1,312,934 | 1,249,862 | $ | 12,500,000 | ||||||||||
Shares sold through reinvestments of distributions | 8,719 | 91,482 | 18 | 187 | ||||||||||||
Shares redeemed | (1,412 | ) | (14,820 | ) | – | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 132,413 | $ | 1,389,596 | 1,249,880 | $ | 12,500,187 | ||||||||||
|
|
|
|
|
|
|
|
* | Commencement of operations |
10. | Line of Credit |
During the year ended June 30, 2017, the Trust (the “Borrower”) renewed its Credit Agreement (the “Credit Agreement”) with State Street Bank and Trust Company (the “Bank”). The Credit Agreement provides for a revolving credit facility of $40,000,000 (the “Facility Amount”) to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. Per the Credit Agreement, outstanding principal on the loan shall bear interest at a variable rate per annum equal to the higher of (a) the Federal Funds Rate as in effect on the day of the borrowing plus 1.25% and (b) the Overnight LIBOR rate as in effect on the day of the borrowing plus 1.25%. In addition, the Borrower shall pay to the Bank a commitment fee at the rate of 0.25% per annum on the daily unused portion of the Facility Amount. As of June 30, 2017, there were no loans outstanding pursuant to the Credit Agreement.
11. | Subsequent Events |
Effective following the adjournment of the August 3, 2017 Board meeting, Cynthia Plouché was elected by the Trustees as a Trustee of the Funds.
Management has considered the circumstances under which the Funds should recognize or make disclosures regarding events or transactions occurring subsequent to June 30, 2017 through the date the financial statements were issued. Adjustments or additional disclosures, if any, have been included in these financial statements.
208
Barings Funds Trust 2017 Annual Report
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Barings Funds Trust and Shareholders of Barings Global Floating Rate Fund, Barings Global Credit Income Opportunities Fund, Barings Active Short Duration Bond Fund, Barings Total Return Bond Fund, Barings Emerging Markets Debt Blended Total Return Fund, Barings Emerging Markets Local Currency Debt Fund, Barings Global High Yield Fund, and Barings U.S. High Yield Fund (collectively, the “Funds”):
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Barings Funds Trust (formerly Babson Capital Funds Trust) (the “Funds”) comprising the Barings Global Floating Rate Fund (formerly Babson Global Floating Rate Fund), Barings Global Credit Income Opportunities Fund (formerly Babson Global Credit Income Opportunities Fund), Barings Active Short Duration Bond Fund (formerly Babson Active Short Duration Bond Fund), Barings Total Return Bond Fund (formerly Babson Total Return Bond Fund), Barings Emerging Markets Debt Blended Total Return Fund (formerly Babson Emerging Markets Debt Blended Total Return Fund), Barings Emerging Markets Local Currency Debt Fund (formerly Babson Emerging Markets Local Currency Debt Fund), Barings Global High Yield Fund (formerly Babson Global High Yield Fund), and Barings U.S. High Yield Fund (formerly Babson U.S. High Yield Fund) as of June 30, 2017, and the related statements of operations for the year then ended, and the statements of changes in net assets and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of June 30, 2017, by correspondence with the custodian, brokers, and agent banks; when replies were not received from brokers and agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds constituting Barings Funds Trust as of June 30, 2017, the results of their operations for the year then ended, and the changes in their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
New York, NY
August 29, 2017
209
Barings Funds Trust 2017 Annual Report
FEDERAL TAX INFORMATION (UNAUDITED)
The following Funds designate long-term capital gain distributions as listed below:
FUND | LONG-TERM CAPITAL GAIN DISTRIBUTIONS | |||
Barings Active Short Duration Bond Fund | $ | 75,157 | ||
Barings Emerging Markets Local Currency Debt Fund | $ | 32,131 | ||
Barings Global High Yield Fund | $ | 383,823 |
The following Funds paid foreign taxes during the year ended June 30, 2017 that are available as income tax credits:
FUND | FOREIGN TAX CREDIT | |||
Barings Emerging Markets Debt Blended Total Return Fund | $ | 5,031 | ||
Barings Emerging Markets Local Currency Debt Fund | $ | 7,583 |
The following Funds generated net foreign source income during the year ended June 30, 2017 as listed below:
FUND | FOREIGN SOURCE INCOME | |||
Barings Emerging Markets Debt Blended Total Return Fund | $ | 629,972 | ||
Barings Emerging Markets Local Currency Debt Fund | $ | 286,863 |
210
Barings Funds Trust 2017 Annual Report
June 30, 2017
NAME (AGE), ADDRESS | POSITION(S) WITH THE TRUST | OFFICE TERM AND LENGTH OF TIME SERVED | PRINCIPAL OCCUPATIONS DURING PAST 5 YEARS | PORTFOLIOS OVERSEEN IN FUND COMPLEX | OTHER DIRECTORSHIPS HELD BY DIRECTOR | |||||
Thomas M. Finke (53) 300 South Tryon Street Suite 2500 Charlotte, NC 28202 | Trustee | Trustee since 2013 | Chairman and Chief Executive Officer (since 2008), Member of the Board of Managers (since 2006), President (2007-2008), Managing Director (2002-2008), Barings; Chief Investment Officer and Executive Vice President (2008-2011), Massachusetts Mutual Life Insurance Company. | 9 | Trustee (since 2013), Barings Global Short Duration High Yield Fund (close-end investment company advised by Barings); Chairman (2012-2015), Director (since 2008), Barings (U.K.) Limited (investment advisory firm); Director (since 2008), Barings Guernsey Limited (holding company); Vice Chairman and Manager (since 2011), MM Asset Management Holding LLC (holding company); Director (since 2004), Jefferies Finance LLC (finance company); Chairman and Director (2012-2015), Barings Global Advisers Limited (investment advisory firm); Manager (2011-2016), Wood Creek Capital Management, LLC (investment advisory firm); Chairman and Manager (2007-2016), Barings Real Estate Advisers LLC (real estate advisory firm); Manager (2007-2015), Credit Strategies Management LLC (general partner of an investment fund); Manager (since 2005), Loan Strategies Management, LLC (general partner of an investment fund); Manager (since 2005), Jefferies Finance CP Funding LLC (investment company); Manager (2004-2012), Class C Member LLC (equity holding company). |
211
Barings Funds Trust 2017 Annual Report
June 30, 2017
NAME (AGE), ADDRESS | POSITION(S) WITH THE TRUST | OFFICE TERM AND LENGTH OF TIME SERVED | PRINCIPAL OCCUPATIONS DURING PAST 5 YEARS | PORTFOLIOS OVERSEEN IN FUND COMPLEX | OTHER DIRECTORSHIPS HELD BY DIRECTOR | |||||
Rodney J. Dillman (64) 300 South Tryon Street Suite 2500 Charlotte, NC 28202 | Trustee, Chairman | Trustee since 2013 | Retired (since 2012); Deputy General Counsel (2011-2012), Senior Vice President (2008-2012), Vice President (2000-2008), Massachusetts Mutual Life Insurance Company; Member of the Board of Directors and President (2008-2011), MassMutual International LLC; General Counsel (2006-2008), Babson Capital Management LLC (currently known as Barings LLC). | 9 | Trustee (since 2012), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); Director (2016-2017), Social Reality, Inc. (digital platform technology and management software company for internet advertising). | |||||
Bernard A. Harris, Jr. (61) 300 South Tryon Street Suite 2500 Charlotte, NC 28202 | Trustee | Trustee since 2013 | Chief Executive Officer and Managing Partner (since 2002), Vesalius Ventures, Inc.; Director and President (since 1998), The Space Agency; President (since 1999), The Harris Foundation; Clinical Scientist, Flight Surgeon and Astronaut (1986-1996), NASA. | 9 | Trustee (since 2012), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); Director (since 2016), AIMIS, Inc. (American Institute of Minimally Invasive Surgery, an educator of advanced surgical techniques for women’s health specialists); Trustee (since 2011), Salient Midstream & MLP Fund and Salient MLP & Energy Infrastructure Fund; Trustee (since 2010), Salient Absolute Return Fund; Director (since 2009), Monebo Technologies Inc. (medical technology design company); Director (since 2009), The Endowment Funds (TEF); Director (since 2008), US Physical Therapy (USPH); Director (since 2012), E-Cardio, Inc. (provides services for cardiac monitoring). | |||||
Thomas W. Okel (54) 300 South Tryon Street Suite 2500 Charlotte, NC 28202 | Trustee | Trustee since 2013 | Executive Director (since 2011), Catawba Lands Conservancy; Global Head of Syndicated Capital Markets (1998-2010), Bank of America Merrill Lynch. | 9 | Trustee (since 2012), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); Trustee (since 2015), Horizon Funds (mutual fund complex). |
212
Barings Funds Trust 2017 Annual Report
INDEPENDENT TRUSTEES (CONTINUED)
June 30, 2017
NAME (AGE), ADDRESS | POSITION(S) WITH THE TRUST | OFFICE TERM AND LENGTH OF TIME SERVED | PRINCIPAL OCCUPATIONS DURING PAST 5 YEARS | PORTFOLIOS OVERSEEN IN FUND COMPLEX | OTHER DIRECTORSHIPS HELD BY DIRECTOR | |||||
Martin A. Sumichrast (50) 300 South Tryon Street Suite 2500 Charlotte, NC 28202 | Trustee | Trustee since 2013 | Managing Partner, Vice Chairman and Principal (since 2013), Stone Street Partners, LLC (merchant banking); Managing Director (since 2012), Washington Capital, LLC (family office); Managing Director (2002-2012), Lomond International (business advisory firm). | 9 | Trustee (since 2012), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); Chairman and Director (since 2014), Kure Corp. (retail); Director (since 2014), Jadeveon Clowney Help-In-Time Foundation; Director (since 2015), Social Reality, Inc. (digital platform technology and management software company for internet advertising); Chief Executive Officer (since 2016), Director (since 2015), Level Brands (a retail/e-commerce beauty investment/management company). |
213
Barings Funds Trust 2017 Annual Report
June 30, 2017
NAME (AGE), ADDRESS | POSITION(S) WITH THE TRUST | OFFICE TERM* AND LENGTH OF TIME SERVED | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | |||
Duncan Robertson (47) 300 South Tryon Street Charlotte, NC 28202 | President | Vice President (2014-2016), Barings Funds Trust; Head of Global Business Development Group (since 2016), Managing Director (since 2008), Barings; President (since 2016), Barings Securities LLC (registered broker-dealer). | ||||
Carlene Pollock (49) 300 South Tryon Street Charlotte, NC 28202 | Chief Financial Officer | Since 2016 | Assistant Treasurer (2015-2016), Barings Global Short Duration High Yield Fund; Director (since 2015), Barings; Director (2013-2015), Corrum Capital Management (investment adviser); Vice President (2008-2013), Bank of New York Mellon (third party administrator); Chief Financial Officer (since 2016), Assistant Treasurer (2015-2016), Barings Funds Trust (open-end investment company advised by Barings). | |||
Lesley Mastandrea (40) 300 South Tryon Street Charlotte, NC 28202 | Treasurer | Since 2016 | Managing Director (since 2014), Director (2007-2014), Associate Director (2006-2007), Barings; Treasurer (since 2016), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings). | |||
Paul Thompson (45) 300 South Tryon Street Charlotte, NC 28202 | Vice President | Since 2013 | Chief Financial Officer (since 2015), Chief Operating Officer (since 2010) and Head of Global Investment Services (since 2010), Head of Operations and Portfolio/Client Services (2002-2010), Managing Director (since 2008), Barings. | |||
Melissa LaGrant (43) 300 South Tryon Street Charlotte, NC 28202 | Chief Compliance Officer | Since 2012 | Managing Director (since 2005), Barings; Chief Compliance Officer (since 2013), Barings Finance LLC; Chief Compliance Officer (since 2006), Barings Corporate Investors and Barings Participation Investors (closed-end investment companies advised by Barings); Chief Compliance Officer (since 2013), Barings Funds Trusts (open-end investment company advised by Barings). | |||
Janice M. Bishop (52) 300 South Tryon Street Charlotte, NC 28202 | Vice President, Secretary and Chief Legal Officer | Since 2012 | Senior Counsel and Managing Director (since 2014), Counsel (2007-2014), Barings; Vice President, Secretary and Chief Legal Officer (since 2015), Associate Secretary (2008-2015), Barings Corporate Investors and Barings Participation Investors (closed-end investment companies advised by Barings); Vice President, Secretary and Chief Legal Officer (since 2013), Barings Funds Trust (open-end investment company advised by Barings); Vice President and Secretary (since 2015), Assistant Secretary (2008-2015), CI Subsidiary Trust and PI Subsidiary Trust. | |||
Michelle Manha (44) 300 South Tryon Street Charlotte, NC 28202 | Assistant Secretary | Since 2012 | Associate General Counsel and Managing Director (since 2014), Counsel (2008-2014), Barings; Assistant Secretary (since 2013), Barings Funds Trust (open-end investment company advised by Barings). |
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Barings Funds Trust 2017 Annual Report
OFFICERS OF THE TRUST (CONTINUED)
June 30, 2017
NAME (AGE), ADDRESS | POSITION(S) WITH THE TRUST | OFFICE TERM* AND LENGTH OF TIME SERVED | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | |||
Kristin Goodchild (31) 300 South Tryon Street Charlotte, NC 28202 | Assistant Secretary | Since 2015 | Counsel (since 2016), Senior Paralegal (2013-2016), Paralegal (2008-2012), Barings; Assistant Secretary (since 2015), Barings Funds Trust (open-end investment company advised by Barings); Associate Secretary (since 2015), Barings Corporate Investors and Barings Participation Investors (closed-end investment companies advised by Barings); Assistant Secretary (since 2015), CI Subsidiary Trust and PI Subsidiary Trust. |
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Barings Funds Trust 2017 Annual Report
JOINT PRIVACY NOTICE OF BARINGS LLC AND
BARINGS FUNDS TRUST
This privacy notice is being provided on behalf of Barings LLC and its affiliates: Barings Securities LLC; Barings Australia Pty Ltd; Barings Advisers (Japan) KK; Barings Investment Advisers (Hong Kong) Limited; Barings Funds Trust; Barings Global Short Duration High Yield Fund; Barings Corporate Investors and Barings Participation Investors (together, for purposes of this privacy notice, “Barings”).
When you use Barings you entrust us not only with your hard-earned assets but also with your personal and financial data. We consider your data to be private and confidential, and protecting its confidentiality is important to us. Our policies and procedures regarding your personal information are summarized below.
We may collect non-public personal information about you from:
∎ | Applications or other forms, interviews, or by other means; |
∎ | Consumer or other reporting agencies, government agencies, employers or others; |
∎ | Your transactions with us, our affiliates, or others; and |
∎ | Our Internet website. |
We may share the financial information we collect with our financial service affiliates, such as insurance companies, investment companies and securities broker-dealers. Additionally, so that we may continue to offer you products and services that best meet your investment needs and to effect transactions that you request or authorize, we may disclose the information we collect, as described above, to companies that perform administrative or marketing services on our behalf, such as transfer agents, custodian banks, service providers or printers and mailers that assist us in the distribution of investor materials or that provide operational support to Barings. These companies are required to protect this information and will use this information only for the services for which we hire them, and are not permitted to use or share this information for any other purpose. Some of these companies may perform such services in jurisdictions other than the United States. We may share some or all of the information we collect with other financial institutions with whom we jointly market products. This may be done only if it is permitted by the state in which you live. Some disclosures may be limited to your name, contact and transaction information with us or our affiliates.
Any disclosures will be only to the extent permitted by federal and state law. Certain disclosures may require us to get an “opt-in” or “opt-out” from you. If this is required, we will do so before information is shared. Otherwise, we do not share any personal information about our customers or former customers unless authorized by the customer or as permitted by law.
We restrict access to personal information about you to those employees who need to know that information to provide products and services to you. We maintain physical, electronic and procedural safeguards that comply with legal standards to guard your personal information. As an added measure, we do not include personal or account information in non-secure e-mails that we send you via the Internet without your prior consent. We advise you not to send such information to us in non-secure e-mails.
This joint notice describes the privacy policies of Barings, the Funds and Barings Securities LLC. It applies to all Barings and the Funds accounts you presently have, or may open in the future, using your social security number or federal taxpayer identification number – whether or not you remain a shareholder of our Funds or as an advisory client of Barings. As mandated by rules issued by the Securities and Exchange Commission, we will be sending you this notice annually, as long as you own shares in the Funds or have an account with Barings.
Barings Securities LLC is a member of the Financial Industry Regulatory Authority (FINRA) and the Securities Investor Protection Corporation (SIPC). Investors may obtain information about SIPC including the SIPC brochure by contacting SIPC online at www.sipc.org or calling (202)-371-8300. Investors may obtain information about FINRA including the FINRA Investor Brochure by contacting FINRA online at www.finra.org or by calling (800) 289-9999.
January 2017
216
BARINGS FUNDS TRUST
ANNUAL REPORT
June 30, 2017
Item 2. | Code of Ethics. |
The Registrant adopted a Code of Ethics for Principal Executive and Senior Financial Officers (the “Code”) on July 29, 2013, which is available on the Registrant’s website at www.barings.com/assets/user/media/Open-End-Fund-Code-of-Ethics.pdf. During the period covered by this Form N-CSR, there were no amendments to, or waivers from, the Code.
Item 3. | Audit Committee Financial Expert. |
The Registrant’s Board of Trustees has determined that Dr. Bernard A. Harris, Jr., Mr. Thomas W. Okel and Mr. Martin A. Sumichrast, constituting all the members of the Registrant’s Audit Committee, are audit committee financial experts. Dr. Harris, Mr. Okel and Mr. Sumichrast are “independent” for purposes of this Item 3 as required by applicable regulation.
Item 4. | Principal Accountant Fees and Services. |
The Registrant has engaged its principal accountant, Deloitte & Touche LLP (“Deloitte”), to perform audit services, audit-related services, tax services and other services. The following tables detail the aggregate fees billed or expected to be billed for each of the last two fiscal years by Deloitte.
Fees Billed to the Registrant:
Year Ended | Year Ended | |||||||
June 30, 2017 | June 30, 2016 | |||||||
Audit Fees | $ | 325,700 | $ | 241,960 | ||||
Audit-Related Fees | $ | 0 | $ | 0 | ||||
Tax Fees | $ | 94,300 | $ | 90,000 | ||||
All Other Fees | $ | 0 | $ | 0 | ||||
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Total Fees | $ | 420,000 | $ | 331,960 |
Non-Audit Fees Billed to Barings and MassMutual:
Year Ended | Year Ended | |||||||
June 30, 2017 | June 30, 2016 | |||||||
Audit Fees | $ | 5,066,751 | $ | 3,511,806 | ||||
Audit-Related Fees | $ | 0 | $ | 0 | ||||
Tax Fees | $ | 2,898,725 | $ | 2,156,622 | ||||
All Other Fees | $ | 15,342,278 | $ | 963,660 | ||||
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Total Fees | $ | 23,307,754 | $ | 6,632,088 |
The category “Audit Fees” refers to performing an audit of the Registrant’s, Barings LLC’s (“Barings”) or Massachusetts Mutual Life Insurance Company’s (“MassMutual”) annual financial statements or services that are normally provided by the principal accountant in connection with statutory and regulatory filings or engagements. The category “Audit-Related Fees” reflects fees billed by Deloitte for various non-audit and non-tax services rendered to the Registrant, Barings, and MassMutual. Preparation of Federal, state and local income tax and tax compliance work are representative of the fees reported in the “Tax Fees” category. The category “All Other Fees” represents fees billed by Deloitte for consulting rendered to the Registrant, Barings, and MassMutual.
The Sarbanes-Oxley Act of 2002 and its implementing regulations allow the Registrant’s Audit Committee to establish a pre-approval policy for certain services rendered by the Registrant’s principal accountant, Deloitte. During the fiscal year ended June 30, 2017, the Registrant’s Audit Committee approved all of the services rendered to the Registrant by Deloitte and did not rely on such a pre-approval policy for any such services.
The Audit Committee has also reviewed the aggregate fees billed for professional services rendered by Deloitte for the years ended June 30, 2016 and June 30, 2017 for the Registrant and for the non-audit services provided to Barings, and Barings’ parent, MassMutual. As part of this review, the Audit Committee considered whether the provision of such non-audit services was compatible with maintaining the principal accountant’s independence.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Schedule of Investments. |
(a) | The Registrant’s Consolidated Schedule of Investments as of the close of the reporting period is included in the Report to Shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Investment Management Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to procedures by which the shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. | Controls and Procedures. |
(a) | The Registrant’s principal executive officer and principal financial officer, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”), are effective as of the date within 90 days of the filing date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. | Exhibits. |
(a)(1) | The Registrant has posted its Code of Ethics on its website at www.barings.com/assets/user/media/Open-End-Fund-Code-of-Ethics.pdf. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act are attached hereto. |
Exhibit 99.1 Cert
Exhibit 99.2 Cert
(a)(3) | Not applicable. |
(b) | Certification pursuant to Rule 30a-2(b) under the 1940 Act is attached hereto. |
Exhibit 99.906 Cert
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Barings Funds Trust |
By (Signature and Title) | /s/ Duncan Robertson | |||
Duncan Robertson, President (Principal Executive Officer) |
Date | September 8, 2017 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Duncan Robertson | |||
Duncan Robertson, President (Principal Executive Officer) |
Date | September 8, 2017 |
By (Signature and Title) | /s/ Carlene Pollock | |||
Carlene Pollock, Chief Financial Officer (Principal Financial Officer) |
Date | September 8, 2017 |