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 South 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
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: December 31, 2017
| Item 1. | Reports to Stockholders. |
BARINGS FUNDS TRUST
Semi-Annual Report
December 31, 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 for your continued trust and partnership in 2017. The year was characterized by continued strength across capital markets – as global equity indices achieved record highs and corporate bond markets remained well-supported by an investor base still hungry for yield.
In addition to the strength witnessed across capital markets, the global economy also performed better than many market forecasters had predicted. This momentum was broad-based as the world’s three major growth engines – the U.S., Europe and Asia – accelerated simultaneously.
As we consider what lies ahead in 2018 and beyond, we see both tailwinds and headwinds for the global economy and capital markets. On the positive side, consumer optimism, manufacturing measures and employment trends all look to be in healthy or improving territory across the world’s major economies. Corporate issuers of equity and debt also appear to be in fairly good shape – balance sheets do not appear to be overly leveraged; corporate debt default rates remain low by historical standards; and the earnings outlook continues to be strong across both developed and emerging markets.
However, as we are now nine years removed from the last recession, having witnessed a continued march higher in asset prices over that time, we believe investors must be particularly mindful of risks at this point in the cycle. Interest rates are on the rise in the U.S. with other developed markets potentially to follow. And while the U.S. economy appears poised to handle the impact of higher rates, monetary policy missteps become more likely late in the economic cycle. Similarly, while inflation has been largely absent during the long recovery from the Global Financial Crisis, there are signs that this may soon again become a risk that markets must grapple with. And politic risk, as always, has a way of rearing its head in unexpected ways – elections this year in Mexico and Brazil will have broad implications for both emerging and developed markets; Brexit negotiations will likely be back in the headlines; and the implementation (or lack thereof) of the Trump administration’s policies from tax and immigration reforms to infrastructure spending all have the potential to introduce volatility to markets.
At Barings, our focus continues to be on delivering you, our shareholders, with strong risk-adjusted returns throughout the ups and downs of economic and market cycles. We aim to implement a consistent and repeatable active management approach grounded in rigorous, bottom-up fundamental analysis. From global high yield to emerging markets debt and investment grade corporate credit, our goal is to provide you with the strategies that meet your investment goals today, and to grow and adapt so that we can continue to meet your needs in the future.
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
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 Trusts’ 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 Semi-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 six month reporting period through December 31, 2017 of 2.26%, performing in line with the Credit Suisse Global Loan Benchmark, which returned 2.25%.1 |
What factors influenced performance of the Fund?
| | ∎ | | During the last half of 2017, the global loan markets had positive returns in five of six months and defaults were below historical averages. |
| | ∎ | | From a geographic perspective, the Fund’s slight overweight to European loans helped performance as the European loans in the Fund modestly outperformed the U.S. loans. |
| | ∎ | | From a ratings category perspective, the Fund was overweight the lower segments (B and CCC) of the market, which outperformed, and underweight the BB segment. |
| | ∎ | | Every sector, except consumer durables and media telecom, generated positive returns. The sectors that contributed the most to performance versus the index were finance and retail. The two sectors that detracted the most from performance versus the index were consumer durables and forest products/containers. |
Describe recent portfolio activity.
| | ∎ | | During the period, the Fund increased its exposure to U.S. loans and reduced exposure to European loans, as for most of the period we found more attractive opportunities in the U.S. than in Europe. At the end of the period, European loans started to look more attractive. |
| | ∎ | | Over the last six months, only one of the Fund’s top three sector exposures have changed as oil and gas dropped out. The Fund’s three largest sectors were diversified/conglomerate services, healthcare, education and childcare and chemicals, plastics and rubber. The two sectors that decreased the most during the period were telecommunications and oil and gas. The two sectors that increased the most were finance and chemicals, plastics and rubber. |
| | ∎ | | By ratings category, the Fund increased exposure to the B category and reduced exposure to the BB and CCC categories. |
Describe portfolio positioning at period end.
| | ∎ | | The Fund finished the six month reporting period, ending December 31, 2017, with 85.1% weighting to global senior secured loans, 8.4% to global senior secured high yield bonds and 6.2% to cash. |
| | ∎ | | From an industry perspective, the Fund remains well-diversified across a number of sectors, with higher concentrations in diversified/conglomerate services (11.3%), healthcare, education and childcare (11.0%) and chemicals, plastics and rubber (6.4%) as of December 31, 2017. |
| 1. | Total return describes the return to an investor of Class Y shares and includes the reinvestment of dividends and capital gains. 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 Semi-Annual Report
| | ∎ | | As of December 31, 2017, the Fund had the following credit quality breakdown: 0.9% in BBB assets, 25.4% in BB assets, 55.7% in B assets and 6.5% in CCC and below assets. Approximately 5.3% of the Fund’s assets are not publicly rated. Cash and accrued income accounted for the remaining 6.3% of the portfolio assets.2 |
| | ∎ | | The top five countries in the portfolio at the end of the reporting period are the U.S. (73.0%), the U.K. (5.8%), Germany (4.6%), France (3.9%) and the Netherlands (2.4%). 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.
| | ∎ | | As the global loan market has delivered strong returns over the last two years, some investors may believe that valuations appear rich. While headline spreads for global loans are at the lowest levels since the post-financial crisis years, spreads have been lower in previous low-default environments. |
| | ∎ | | In the current environment, we are seeing pockets of opportunity for strong risk-adjusted returns in B assets, which can offer a substantial spread premium over BB assets. |
| | ∎ | | We believe the stable to improving fundamentals of high yield issuers, expected low defaults, and the strong technical backdrop could cause spreads to further tighten. Looking ahead, the pace of new deal issuance (supply) and fund flows (demand) could have a significant impact on spreads in 2018. |
| 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. 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 Semi-Annual Report
PORTFOLIO COMPOSITION (% OF ASSETS*)
| * | The percentages shown above represent a percentage of the assets as of December 31, 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 December 31, 2017. |
4
Barings Global Credit Income Opportunities Fund 2017 Semi-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 six month reporting period through December 31, 2017 of 2.08% and underperformed the 3-Month USD LIBOR + 500 basis points1 Benchmark, which returned 3.17%.2 |
What factors influenced performance of the Fund?
| | ∎ | | During the second half of 2017, the global high yield bonds market outperformed the global loan market, but both markets had positive returns as defaults remained below historical averages. |
| | ∎ | | CLOs were the top performing asset class, followed by loans and bonds. As bonds had the largest allocation, they were the largest contributors to performance. |
| | ∎ | | From a geographic perspective, the Fund’s North American assets outperformed the European assets, and were the largest contributors to performance. |
| | ∎ | | From a ratings category perspective, the Fund’s B assets were the largest contributors to performance, followed by BB and CCC assets. |
| | ∎ | | Broadcasting, consumer durables and food and drug were the only negative performing sectors during the period. The sectors that contributed the most to performance were healthcare and metals/minerals. |
Describe recent portfolio activity.
| | ∎ | | During the period, the Fund increased its exposure to the U.S. and reduced its exposure to Europe, as for most of the period we found more attractive opportunities in the U.S. than in Europe. At the end of the period, European loans and bonds started to look more attractive versus the U.S. |
| | ∎ | | The Fund’s loan and CLO exposure increased, while the Fund’s bond exposure decreased. |
| | ∎ | | By ratings category, the Fund increased exposure to the BB and CCC categories, and reduced exposure to the B and not publicly rated categories. |
| | ∎ | | Over the last six months, only one of the Fund’s top three sector exposures have changed as finance dropped out. The Fund’s three largest sectors in terms of exposure were oil and gas, diversified/conglomerate services, and healthcare, education and childcare. The two sectors to which the Fund’s exposure decreased the most during the period were oil and gas and diversified/conglomerate manufacturing. The two sectors to which the Fund’s exposure increased the most were insurance and healthcare, education and childcare. |
| 1. | A unit that is equal to 1/100th of 1% or 0.01%. |
| 2. | Total return describes the return to an investor of Class Y shares and includes the reinvestment of dividends and capital gains. 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 Semi-Annual Report
Describe portfolio positioning at period end.
| | ∎ | | The Fund finished the semi-annual reporting period, ending December 31, 2017, with an allocation of 44.7%, 32.7% and 14.4% 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 0.7% and cash at 6.9%. A significant portion of the portfolio (over 60%) is senior secured in nature (includes CLOs backed by secured loans), which can potentially mitigate principal loss in the event that default rates increase. |
| | ∎ | | From an industry perspective, the Fund remains well-diversified across a number of sectors, with higher concentrations in oil and gas (9.3%), diversified/conglomerate services (8.5%), and healthcare, education and childcare (7.3%) as of December 31, 2017. |
| | ∎ | | As of December 31, 2017, the Fund had the following credit quality breakdown: 0.6% in BBB assets, 32.0% in BB assets, 45.0% in B assets and 11.5% in CCC and below assets. Approximately 4.0% of the Fund’s assets are not publicly rated.3 |
| | ∎ | | The top five countries in the portfolio at the end of the reporting period are the U.S. (71.4%), the U.K. (7.7%), the Netherlands (3.5%), Germany (3.0%) and France (1.6%). The Cayman Islands exposure related to the Fund’s CLO holdings is included in the U.S. Overall, the Fund has exposure to 15 different countries, and we continue to focus on building a well-diversified portfolio of global high yield securities. |
Describe market and portfolio outlook.
| | ∎ | | As the global high yield bond and loan markets have delivered strong returns over the last two years, some investors may believe that high yield valuations appear rich. While headline spreads for global loans and high yield bonds are at the lowest levels since the post-financial crisis years, spreads have been lower in previous low-default environments. |
| | ∎ | | In the current environment, we are seeing pockets of opportunity for strong risk-adjusted returns in B assets, which can offer a substantial spread premium over BB assets, with considerably lower duration and higher levels of secured assets. |
| | ∎ | | We believe the stable to improving fundamentals of high yield issuers, expected low defaults, and the strong technical backdrop could cause spreads to further tighten. Looking ahead, the pace of new deal issuance (supply) and fund flows (demand) could have a significant impact on spreads in 2018. Overall, we continue to see select opportunities across both U.S. and European high yield bond and loan markets. |
| 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 Semi-Annual Report
PORTFOLIO COMPOSITION (% OF ASSETS*)
| * | The percentages shown above represent a percentage of the assets as of December 31, 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 December 31, 2017. |
7
Barings Active Short Duration Bond Fund 2017 Semi-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 six month reporting period through December 31, 2017 of 0.79%, outperforming the Bloomberg Barclays U.S. 1-3 Year Government Bond Index, which returned (0.03%).1 |
What factors influenced performance of the Fund?
| | ∎ | | Duration positioning positively contributed to performance relative to the index. The Fund uses Treasury bonds and futures to help manage duration. During the period, the slope points along the curve we monitor flattened. In accordance with our duration management process, the Fund shortened duration to 1.0 year to end the year. |
| | ∎ | | The Fund’s allocation to corporate credit contributed positively to performance. Corporate spreads have tightened over the period to help performance. Allocations to banking and the financial services sectors benefitted the Fund. Information technology and pharmaceuticals detracted over the period. |
| | ∎ | | Asset backed securities (ABS) was the primary contributor within the securitized sector. Allocations to government-guaranteed FFELP student loans and automobile receivable ABS collateral were the largest contributing subsectors. |
| | ∎ | | 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, CMBX to gain exposure to the CMBS sector and a payer/receiver swaption pair to hedge against possible rising volatility detracted from performance during the period. |
Describe recent portfolio activity.
| | ∎ | | The Fund ended the period with a duration position of 1.0 year, as the yield curve between one year and three years remains flattened along all the relevant slope points. |
| | ∎ | | The Fund reduced the CMO agency allocation to help shorten overall Fund duration during the period. The allocation was 1.0% at the end of the period. |
| 1. | Total return describes the return to an investor of Class Y shares and includes the reinvestment of dividends and capital gains. 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 Semi-Annual Report
Describe portfolio positioning at period end.
| | ∎ | | The Fund continues to be well-diversified across corporates, securitized and governments. The corporate allocation is at approximately 42.8%, with 37.6% in investment grade corporates, 4.0% in BB-rated and crossover high yield and 1.2% 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 25.6% at the end of the year. Student loans represent the largest allocation, followed by automotive loan collateral. Additional ABS subsectors consist of other subsectors such as timeshares and franchise receivables, in addition to others. 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. |
Describe market and portfolio outlook.
| | ∎ | | While global growth prospects remain relatively sound, economic data releases in the U.S. have been underwhelming during the year. This pushed short maturity government bond yields higher as market participants have begun to reappraise future monetary policy expectations across both domestic and international markets, although longer dated maturity yields have fallen. However, risk assets have performed well, suggesting that investors are looking at better global growth. |
| | ∎ | | With the flat U.S. Treasury yield curve to end the year, the duration of the Fund remained at 1.0 years in accordance with our duration management process. |
| | ∎ | | The Fund expects to continue to maintain a lower allocation in both Treasury and agency securities, with an active allocation to corporate bonds. Technicals may remain strong for corporate credit with continued robust mutual fund inflows, demand from non-U.S. investors and domestic and pension buying. Fundamentals continue to show signs of improvement. The Fund expects to continue to reinvest within the sector. |
| | ∎ | | The Fund expects to continue to selectively reinvest and 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 Semi-Annual Report
CREDIT QUALITY BREAKDOWN (% OF ASSETS*)
| * | The percentages shown above represent a percentage of the assets as of December 31, 2017. |
PORTFOLIO COMPOSITION (% OF ASSETS*)
| * | The percentages shown above represent a percentage of the assets as of December 31, 2017. |
10
Barings Total Return Bond Fund 2017 Semi-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 six month reporting period through December 31, 2017 of 1.64%, outperforming the Bloomberg Barclays U.S. Aggregate Index (the “Benchmark”), which returned 1.24%.1 |
What factors influenced performance of the Fund?
| | ∎ | | An underweight to Treasuries relative to the Benchmark positively contributed to performance. The Fund seeks to find investment opportunities in asset classes away from government securities. |
| | ∎ | | Investment grade corporate credit was a positive contributor to performance as spreads tightened over the period. Banking and gas pipeline sectors helped performance. Holdings in information technology were the primary detractor. |
| | ∎ | | The Fund has a 4.7% allocation to short weighted average life, AAA-rated collateralized loan obligation (CLO) structured product.2 This out-of-index allocation detracted relative to the Benchmark. |
| | ∎ | | No Fund allocation to taxable municipal bonds detracted from performance during the period. |
| | ∎ | | Asset backed securities (ABS) helped largely due to holdings in private and government-guaranteed Federal Family Education Loan Program (FFELP) student loans, as this sector performed well for the reporting period. Franchise receivables also contributed positively to performance. |
| | ∎ | | A modest currency overlay strategy, which is 5% of the Fund on a notional basis and helps to lower tracking error, was a 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 detracted from performance during the period. |
Describe recent portfolio activity.
| | ∎ | | 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. |
| 1. | Total return describes the return to an investor of Class Y shares, and includes the reinvestment of dividends and capital gains. 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. |
| 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. |
11
Barings Total Return Bond Fund 2017 Semi-Annual Report
| | ∎ | | The Fund remains underweight agency mortgage backed securities (MBS) relative to the Benchmark. During the period, the Fund reduced Federal National Mortgage Association (FNMA) 3.5% coupons in favor of Federal Home Loan Mortgage Corporation (FHLMC) 3.5% and 4.0% coupons, based on relative value. |
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 esoteric collateral that we believe is compelling such as whole business franchise receivables, shipping containers and personal consumer loans, in addition to other subsectors. |
| | ∎ | | Corporate credit represents approximately a 41% allocation versus 31.0% for the Benchmark. Investment grade corporates made up approximately 28%, high yield corporates made up 9.9% of the exposure and USD denominated emerging markets were almost 2.6%. Energy is the largest overweight by 2.9%, as yields are attractive. Positioning is primarily in drillers and pipelines. The food and beverage sector represents the largest underweight by 0.8%. We believe that opportunities remain in select credits based on recommendations from research. |
| | ∎ | | Agency MBS is underweight by 7.4% relative to the Benchmark. |
| | ∎ | | The Fund maintains a 4.7% to structured credit, represented by short weighted average life, AAA-rated collateralized loan obligations. |
Describe market and portfolio outlook.
| | ∎ | | Global growth prospects remain relatively sound. This has pushed government bond yields higher in the short-end of the U.S. Treasury curve as market participants have begun to reappraise future monetary policy expectations. The intermediate to long-end of the curve has flattened, with rates lower than the start of the year. |
| | ∎ | | Risk assets have performed well, suggesting that investors are looking at better global growth. Despite tightening spreads, we believe that opportunities remain in corporate and securitized sectors. |
| | ∎ | | The Fund remains overweight 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 have competitive advantages, such as esoteric ABS, CLOs and emerging market corporates. |
12
Barings Total Return Bond Fund 2017 Semi-Annual Report
CREDIT QUALITY BREAKDOWN (% OF ASSETS*)
| * | The percentages shown above represent a percentage of the assets as of December 31, 2017. |
PORTFOLIO COMPOSITION (% OF ASSETS*)
| * | The percentages shown above represent a percentage of the assets as of December 31, 2017. |
13
Barings Emerging Markets Debt Blended Total Return Fund 2017 Semi-Annual Report
Investment Objective
The Barings Emerging Markets Debt Blended Total Return Fund (“EMD Blended Total Return Fund” or the “Fund”) seeks 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?
| | ∎ | | As a whole, the Fund’s performance was strong during the second half of 2017; all three sub-strategies – EM corporates, EM sovereign and EM local – turned in positive performance. Most developed market central banks remained dovish, including the European Central Bank, Bank of England and Bank of Japan, however the U.S. Fed increased the short-term rates and commodities were higher during the period. |
| | ∎ | | The Fund reported a net total rate of return for the annual reporting period through December 31, 2017 of 4.81%.1 |
What factors influenced performance of the Fund?
| | ∎ | | For the semi-annual reporting period, the Fund’s positions in the currencies of Brazil, South Africa, Malaysia and Eastern European countries performed well. In addition, corporate holdings aided returns. Key detractors from performance were the Fund’s positions in the Chinese renminbi, Mexican peso, Argentinian peso and Chilean peso. |
| | ∎ | | All EM debt asset classes were supported by higher commodity prices, continued dovish central bank policies from the ECB and Bank of Japan, as well as strong flows into EM debt funds, which saw an additional $48.5 billion of positive flows for the second half of 2017 and $112.8 billion for the full year. |
Describe recent portfolio activity.
| | ∎ | | As a result of overall moderate growth, low inflation and high rates in select EM local markets, the Fund increased its local rates exposure to 47% on expectations that local rates will fall over the next 12 months in countries that are well managed and where inflation is falling. The Fund increased its exposure to South Africa, Russia, Ghana, Argentina and Ukraine. The Fund reduced its corporate holdings. |
Describe portfolio positioning at period end.
| | ∎ | | The Fund finished the semi-annual reporting period, December 31, 2017, with a 47% exposure to emerging markets local debt and currencies, 31% exposure to corporate bonds, 21% exposure to sovereign hard currency bonds and a 1.7% cash position. |
| | ∎ | | The top five countries in the portfolio at the end of the semi-annual reporting period were Mexico (18.1%), Brazil (13.7%), South Africa (11.1%), Argentina (7.9%) and Peru (6.0%). The top five corporate issuers were Perobras (3.5%), Fermaca Enterprises (2.2%), Abengoa Transmission (2.0%), Banco Mercantil de Norte (1.98%) and VTR Finance (1.9%). Overall, the Fund had exposure to 26 countries, 16 corporates and 31 different currencies. |
Describe market and portfolio outlook.
| | ∎ | | Global growth continues to improve as economies adjust and consumption in both developed markets and emerging markets accelerates. We expect continued improvement in global GDP in 2018, with EM leading the way. |
| 1. | Total return describes the return to an investor of Class Y shares net expense ratio and includes the reinvestment of dividends and capital gains. 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 Semi-Annual Report
| | ∎ | | Balance of payments and current accounts across EM countries continue to improve. Many economies have made substantial fiscal adjustments given the lower commodity prices, prudent monetary policies and, in some cases, increased tax collection. Stronger growth and significantly lower funding needs, coupled with flows and foreign direct investment (FDI) into stronger countries, will likely remain supportive of currencies and hard currency bonds. |
| | ∎ | | Company fundamentals have improved on the back of economic growth and commodity prices, and leverage is expected to decline. These positive trends may translate into ratings upgrades over the next 12-18 months. |
| | ∎ | | Global trade volumes continue to show signs of recovery, a trend we expect to continue through the upcoming year, providing a positive catalyst for commodity exporters. |
| | ∎ | | We continue to take a constructive view of EM debt as a whole, and expect healthy returns from EM local debt due to moderate growth, lower inflation, and continued fiscal adjustments across many countries. Although sovereign hard currency has tightened significantly, we see select opportunities where spreads continue to overcompensate for defaults. |
15
Barings Emerging Markets Debt Blended Total Return Fund 2017 Semi-Annual Report
PORTFOLIO COMPOSITION (% OF ASSETS*)
| * | The percentages shown above represent a percentage of the assets as of December 31, 2017. |
REGIONAL 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 December 31, 2017. |
| *** | CEEMEA: Central Europe, Eastern Europe, Middle East and Africa. |
| | LATAM: Latin America (includes countries in Central and South America). |
16
Barings Emerging Markets Local Currency Debt Fund 2017 Semi-Annual Report
Investment Objective
The Barings Emerging Markets Local Currency Debt Fund (“EM Local 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?
| | ∎ | | During the second half of 2017, the Fund gained 4.50% and slightly outperformed the J.P. Morgan Government Bond Index Emerging Markets Global Diversified (the “Benchmark”), which returned 4.40% for the same period.1 |
What factors influenced performance of the Fund?
| | ∎ | | For the semi-annual reporting period, the Fund’s positions in South Africa, Turkey, Poland and Malaysia outperformed the Benchmark. The Fund’s currency positioning in Argentina, China, Chile and Mexico detracted from performance. |
| | ∎ | | The Fund turned in strong performance with returns coming from both rates and currencies. EM currencies, overall, are at their strongest levels in years and reflect the significant fiscal adjustments and reforms many countries have made over the past few years. EM local rates have performed well as a result of moderate growth, strong global trade and low inflation across many local markets. |
Describe recent portfolio activity.
| | ∎ | | The Fund increased exposure to Brazil, Russia, South Africa, Argentina and El Salvador, while reducing exposure to Colombia, Hungary, Israel, Czech Republic and Thailand. The Fund also increased its exposure to the Argentinian peso, while paring back exposure to Czech koruna, Mexican peso, Indonesian ringgit and Chinese renminbi. The Fund remains overweight in Eastern European currencies in countries that are experiencing healthy growth and where we expect the currencies to continue appreciating versus the euro. |
Describe portfolio positioning at period end.
| | ∎ | | The Fund finished the semi-annual reporting period, December 31, 2017, with a 90.7% exposure to emerging market bonds and a 9.3% cash position. The Fund had a duration of 2.13 years greater than the Benchmark and 127% exposure to EM currencies, while underweight 27% to developed market currencies. |
| | ∎ | | The top five countries in the portfolio at the end of the semi-annual reporting period (+/- years duration versus the Benchmark) are Brazil (+.88 years) South Africa (+.73 years), Mexico (+.44 years), Colombia (+.39 years) and Malaysia (+.39 years). Overall, the Fund has exposure to 19 different countries and 34 different currencies. |
Describe market and portfolio outlook.
| | ∎ | | We remain optimistic that some emerging markets headwinds are in the process of becoming tailwinds for many economies. EM debt flows, a former headwind, have been positive over the past two years, for a total of $155.5 billion. |
| 1. | Total return describes the return to an investor of Class Y shares and includes the reinvestment of dividends and capital gains. 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. Indices are unmanaged. It is not possible to invest directly in an index. |
17
Barings Emerging Markets Local Currency Debt Fund 2017 Semi-Annual Report
| | ∎ | | Global trade volumes continue to show signs of recovery, a trend we expect to continue through the upcoming year, providing a positive catalyst for commodity exporters. |
| | ∎ | | Global inflation may rise, but 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 select 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 select rates where inflation is falling along with narrowing current account deficits. 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 Semi-Annual Report
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 December 31, 2017. |
CURRENCY 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 December 31, 2017. |
19
Barings Emerging Markets Local Currency Debt Fund 2017 Semi-Annual Report
CONTRIBUTION TO DURATION (IN YEARS**)
| ** | The values shown above represent the contribution to duration, in years, of the assets as of December 31, 2017. |
20
Barings Global High Yield Fund 2017 Semi-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 for the six month reporting period through December 31, 2017 of 2.06% and underperformed the Bank of America Merrill Lynch Non-Financial Developed Markets High Yield Constrained Index (the “Benchmark”), which returned 2.55%.1 |
What factors influenced performance of the Fund?
| | ∎ | | The global high yield bond market finished 2017 with positive performance driven by continued improvement in corporate fundamentals, stability in central bank policies and a firm backdrop for commodity prices. |
| | ∎ | | In general, the BB segment of the market outperformed the B ratings category over the past six months. As a result, the Fund’s underweight to BB assets relative to the benchmark and overweight to B assets were performance detractors. Prudent credit selection within both categories benefitted performance though. While the Fund’s overweight to CCC assets was a benefit to performance, credit selection within CCC assets was a main detractor to performance, primarily due to a couple of credits experiencing mild weakness. |
| | ∎ | | Across industries, credit selection was the primary detractor to performance relative to the benchmark specifically within the diversified conglomerate and manufacturing and oil and gas sectors. Absent idiosyncratic credit events in these two sectors, the Fund’s performance would have been more aligned with Benchmark performance. |
| | ∎ | | From a geographical perspective, the Fund’s positioning across the U.S. and European markets did not have a significant impact on performance as the Fund’s regional exposure relative to the Benchmark was the same. Credit selection within the two regions, however, was more mixed, with U.S.-based credits causing a drag on performance, specifically within the diversified conglomerate and manufacturing and oil and gas sectors. Prudent credit selection within the European region was a positive contributor to performance. |
Describe recent portfolio activity.
| | ∎ | | The Fund currently favors the B and CCC subsets of the global high yield bond market and select opportunities in the BB category. With default expectations remaining low and corporate fundamentals generally healthy, we have found better relative value opportunities in B and CCC assets. Over the last six months, the Fund’s allocation shifted slightly by increasing exposure to CCC rated credits and reducing its allocation to B rated credits. |
| | ∎ | | The Fund’s exposure to the oil and gas sector increased by approximately 1% over the past six months. In general, investment opportunities in this sector have become less attractive based on the ongoing rally and the Fund will seek to reduce credit risk if prices continue to improve. The Fund’s exposure to telecommunications decreased over the period with a focus on a select group of wireless companies based on attractive relative value characteristics, while generally avoiding wireline companies due to the poor industry fundamentals and secular changes taking place. Furthermore, the healthcare, education and childcare and the mining, steel, iron and non-precious metals sectors both experienced modest increases in exposure over the period. |
| 1. | Total return describes the return to an investor of Class Y shares and includes the reinvestment of dividends and capital gains. 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. |
21
Barings Global High Yield Fund 2017 Semi-Annual Report
| | ∎ | | The Fund’s geographical allocations shifted more in favor of the U.S. market over the last six months by approximately 5% and reduced exposure to European assets. The Fund is more aligned with the regional breakdown of the Benchmark, as the U.S. and European markets have offered a similar investment opportunity set and neither market has experienced significant dislocation. |
Describe portfolio positioning at period end.
| | ∎ | | On a traded basis, the Fund finished 2017 with a 27.8% weighting to senior secured high yield bonds and a 68.3% weighting to senior unsecured high yield bonds. The balance of the portfolio was invested in senior secured loans at 1.0%, unsecured loans at 0.9%, and cash and accrued income at 2.0%. |
| | ∎ | | From an industry perspective, the Fund remains diversified across a number of Moody’s-based industries, with higher concentrations in oil and gas (14.8%), healthcare, education, and childcare (9.1%) and mining, steel, iron and non-precious metals (8.6%) as of December 31, 2017. |
| | ∎ | | In terms of portfolio credit quality at the end of 2017, the Fund had the following weighting breakdown: 4.6% in BBB, 28.0% in BB, 45.7% in B, 18.8% in CCC and below and 2.0% in cash and accrued income. A small portion of the portfolio (0.9%) is designated as not publicly rated and is not rated by S&P, Moody’s or Fitch.2 |
| | ∎ | | The top five countries in the portfolio, as of December 31, 2017, are represented by the U.S. (73.9%), the U.K. (11.8%), Ghana (2.7%), France (1.9%) and Canada (1.8%). Overall, the Fund had exposure to 12 countries and supports our focus on building a well-diversified portfolio of global high yield bonds. |
Describe market and portfolio outlook.
| | ∎ | | As the global high yield bond market has delivered strong returns over the last two years, some investors may believe that high yield valuations appear rich. While headline spreads for global high yield bonds are at the lowest levels since the post-financial crisis years, spreads have been lower in previous low-default environments. |
| | ∎ | | In the current environment, we are seeing pockets of opportunity for strong risk-adjusted returns in B assets, which can offer a substantial spread premium over BB assets, with considerably lower duration and higher levels of secured assets. |
| | ∎ | | We believe the stable to improving fundamentals of high yield issuers, expected low defaults, and the strong technical backdrop could cause spreads to further tighten. Looking ahead, the pace of new deal issuance (supply) and fund flows (demand) could have a significant impact on spreads in 2018. |
| 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. |
22
Barings Global High Yield Fund 2017 Semi-Annual Report
CREDIT QUALITY COMPOSITION (% OF ASSETS*)
| * | The percentages shown above represent a percentage of the assets as of December 31, 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 December 31, 2017. |
23
Barings U.S. High Yield Fund 2017 Semi-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 for the six month reporting period through December 31, 2017 of 1.71% and underperformed the Bloomberg Barclays U.S. Corporate High Yield Index, which returned 2.45%.1 |
What factors influenced performance of the Fund?
| | ∎ | | The U.S. high yield bond market finished 2017 with positive performance driven by continued improvement in corporate fundamentals, stability in central bank policies and a firm backdrop for commodity prices. |
| | ∎ | | In general, the BB segment of the market outperformed the B and CCC categories over the last six months. As a result, the Fund’s underweight to BB assets relative to the Benchmark and overweight to the lower-tiered categories were performance detractors. Credit selection within CCC assets was also a detractor, primarily due to a couple of credits experiencing mild weakness. |
| | ∎ | | Across industries, credit selection was the primary detractor to performance relative to the Benchmark, specifically within the diversified conglomerate and manufacturing and oil and gas sectors. Absent idiosyncratic credit events in these two sectors, the Fund’s performance would have been more aligned with Benchmark performance. |
Describe recent portfolio activity.
| | ∎ | | The Fund currently favors the B and CCC subsets of the U.S. high yield bond market and select opportunities in the BB category. With default expectations remaining low and corporate fundamentals generally healthy, we have found better relative value opportunities in B and CCC assets. Over the past six months, the Fund’s allocation shifted slightly by increasing exposure to CCC and BB credits while reducing its allocation to B credits. |
| | ∎ | | The Fund’s exposure to the oil and gas sector decreased by approximately 1% over the last six months. In general, investment opportunities in this sector have become less attractive based on the ongoing rally, and the Fund will seek to reduce credit risk if prices continue to improve. The Fund’s exposure to telecommunications decreased over the period, with a focus on a select group of wireless companies based on attractive relative value characteristics while generally avoiding wireline companies due to the poor industry fundamentals and secular changes taking place. Furthermore, the mining, steel, iron and non-precious metals sector experienced a modest increase in exposure over the period, while the healthcare, education and childcare sector slightly decreased. |
Describe portfolio positioning at period end.
| | ∎ | | On a traded basis, the Fund finished the period ending December 31, 2017 with a 93.2% weighting to high yield bonds. The remaining balance of the portfolio was invested in senior secured loans at 1.7%, unsecured loans at 0.8%, and cash and accrued income at 4.3%. |
| | ∎ | | From a sector perspective, the Fund remains diversified across a number of Moody’s-based industries, with higher concentrations in oil and gas (16.7%), healthcare, education and childcare (8.4%) and mining, steel, iron and non-precious metals (7.4%) as of December 31, 2017. |
| 1. | Total return describes the return to an investor of Class Y shares and includes the reinvestment of dividends and capital gains. 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. 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. |
24
Barings U.S. High Yield Fund 2017 Semi-Annual Report
| | ∎ | | In terms of portfolio credit quality, as of December 31, 2017 the Fund had the following weighting breakdown: 3.9% in BBB, 34.6% in BB, 40.3% in B, 16.1% in CCC and below, and cash and accrued income at 4.3%. A small portion of the portfolio (0.8%) is designated as not publicly rated and is not rated by S&P, Moody’s or Fitch.2 |
Describe market and portfolio outlook.
| | ∎ | | As the U.S. high yield bond market has delivered strong returns over the last two years, some investors may believe that high yield valuations appear rich. While headline spreads for high yield bonds are at the lowest levels since the post-financial crisis years, spreads have been lower in previous low-default environments. |
| | ∎ | | In the current environment, we are seeing pockets of opportunity for strong risk-adjusted returns in B assets, which can offer a substantial spread premium over BB assets, with considerably lower duration and higher levels of secured assets. |
| | ∎ | | We believe the stable to improving fundamentals of high yield issuers, expected low defaults, and the strong technical backdrop could cause spreads to further tighten. Looking ahead, the pace of new deal issuance (supply) and fund flows (demand) could have a significant impact on spreads in 2018. |
| 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. |
25
Barings U.S. High Yield Fund 2017 Semi-Annual Report
CREDIT QUALITY COMPOSITION (% OF ASSETS*)
| * | The percentages shown above represent a percentage of the assets as of December 31, 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 December 31, 2017. |
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Barings Funds Trust 2017 Semi-Annual Report
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27
Barings Funds Trust 2017 Semi-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 July 1, 2017 to December 31, 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 | | | 0.99 | % | | $ | 1,000.00 | | | $ | 1,021.20 | | | $ | 1,010.60 | | | $ | 5.04 | |
Hypothetical | | | 0.99 | % | | | 1,000.00 | | | | 1,020.20 | | | | 1,010.10 | | | | 5.04 | |
| | | | | |
Class C | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1.74 | % | | | 1,000.00 | | | | 1,017.40 | | | | 1,008.70 | | | | 8.85 | |
Hypothetical | | | 1.74 | % | | | 1,000.00 | | | | 1,016.40 | | | | 1,008.20 | | | | 8.84 | |
| | | | | |
Class I | | | | | | | | | | | | | | | | | | | | |
Actual | | | 0.75 | % | | | 1,000.00 | | | | 1,022.50 | | | | 1,011.25 | | | | 3.82 | |
Hypothetical | | | 0.75 | % | | | 1,000.00 | | | | 1,021.40 | | | | 1,010.70 | | | | 3.82 | |
| | | | | |
Class Y | | | | | | | | | | | | | | | | | | | | |
Actual | | | 0.75 | % | | | 1,000.00 | | | | 1,022.60 | | | | 1,011.30 | | | | 3.82 | |
Hypothetical | | | 0.75 | % | | | 1,000.00 | | | | 1,021.40 | | | | 1,010.70 | | | | 3.82 | |
| * | 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 184/365. |
28
Barings Funds Trust 2017 Semi-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 | | | $ | 1,019.50 | | | $ | 1,009.75 | | | $ | 6.11 | |
Hypothetical | | | 1.20 | % | | | 1,000.00 | | | | 1,019.20 | | | | 1,009.60 | | | | 6.11 | |
| | | | | |
Class C | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1.95 | % | | | 1,000.00 | | | | 1,015.70 | | | | 1,007.85 | | | | 9.91 | |
Hypothetical | | | 1.95 | % | | | 1,000.00 | | | | 1,015.40 | | | | 1,007.70 | | | | 9.91 | |
| | | | | |
Class I | | | | | | | | | | | | | | | | | | | | |
Actual | | | 0.95 | % | | | 1,000.00 | | | | 1,020.80 | | | | 1,010.40 | | | | 4.84 | |
Hypothetical | | | 0.95 | % | | | 1,000.00 | | | | 1,020.40 | | | | 1,010.20 | | | | 4.84 | |
| | | | | |
Class Y | | | | | | | | | | | | | | | | | | | | |
Actual | | | 0.95 | % | | | 1,000.00 | | | | 1,020.80 | | | | 1,010.40 | | | | 4.84 | |
Hypothetical | | | 0.95 | % | | | 1,000.00 | | | | 1,020.40 | | | | 1,010.20 | | | | 4.84 | |
| * | 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 184/365. |
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 | | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 3.28 | |
Hypothetical | | | 0.65 | % | | | 1,000.00 | | | | 1,021.90 | | | | 1,010.95 | | | | 3.31 | |
| | | | | |
Class C | | | | | | | | | | | | | | | | | | | | |
Actual | | | 0.90 | % | | | 1,000.00 | | | | 1,000.00 | | | | 1,000.00 | | | | 4.54 | |
Hypothetical | | | 0.90 | % | | | 1,000.00 | | | | 1,020.70 | | | | 1,010.35 | | | | 4.58 | |
| | | | | |
Class I | | | | | | | | | | | | | | | | | | | | |
Actual | | | 0.40 | % | | | 1,000.00 | | | | 1,000.00 | | | | 1,000.00 | | | | 2.02 | |
Hypothetical | | | 0.40 | % | | | 1,000.00 | | | | 1,023.20 | | | | 1,011.60 | | | | 2.04 | |
| | | | | |
Class Y | | | | | | | | | | | | | | | | | | | | |
Actual | | | 0.40 | % | | | 1,000.00 | | | | 1,000.00 | | | | 1,000.00 | | | | 2.02 | |
Hypothetical | | | 0.40 | % | | | 1,000.00 | | | | 1,023.20 | | | | 1,011.60 | | | | 2.04 | |
| * | 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 184/365. |
29
Barings Funds Trust 2017 Semi-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 | | | $ | 1,015.10 | | | $ | 1,007.55 | | | $ | 4.06 | |
Hypothetical | | | 0.80 | % | | | 1,000.00 | | | | 1,021.20 | | | | 1,010.60 | | | | 4.08 | |
| | | | | |
Class C | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1.54 | % | | | 1,000.00 | | | | 1,011.30 | | | | 1,005.65 | | | | 7.81 | |
Hypothetical | | | 1.54 | % | | | 1,000.00 | | | | 1,017.40 | | | | 1,008.70 | | | | 7.83 | |
| | | | | |
Class I | | | | | | | | | | | | | | | | | | | | |
Actual | | | 0.55 | % | | | 1,000.00 | | | | 1,016.40 | | | | 1,008.20 | | | | 2.80 | |
Hypothetical | | | 0.55 | % | | | 1,000.00 | | | | 1,022.40 | | | | 1,011.20 | | | | 2.80 | |
| | | | | |
Class Y | | | | | | | | | | | | | | | | | | | | |
Actual | | | 0.55 | % | | | 1,000.00 | | | | 1,016.40 | | | | 1,008.20 | | | | 2.80 | |
Hypothetical | | | 0.55 | % | | | 1,000.00 | | | | 1,022.40 | | | | 1,011.20 | | | | 2.80 | |
| * | 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 184/365. |
| ** | 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 | | | 1.13 | % | | $ | 1,000.00 | | | $ | 1,046.50 | | | $ | 1,023.25 | | | $ | 5.83 | |
Hypothetical | | | 1.13 | % | | | 1,000.00 | | | | 1,019.50 | | | | 1,009.75 | | | | 5.75 | |
| | | | | |
Class C | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1.88 | % | | | 1,000.00 | | | | 1,042.90 | | | | 1,021.45 | | | | 9.68 | |
Hypothetical | | | 1.88 | % | | | 1,000.00 | | | | 1,015.70 | | | | 1,007.85 | | | | 9.55 | |
| | | | | |
Class I | | | | | | | | | | | | | | | | | | | | |
Actual | | | 0.89 | % | | | 1,000.00 | | | | 1,048.10 | | | | 1,024.05 | | | | 4.59 | |
Hypothetical | | | 0.89 | % | | | 1,000.00 | | | | 1,020.70 | | | | 1,010.35 | | | | 4.53 | |
| | | | | |
Class Y | | | | | | | | | | | | | | | | | | | | |
Actual | | | 0.89 | % | | | 1,000.00 | | | | 1,048.10 | | | | 1,024.05 | | | | 4.59 | |
Hypothetical | | | 0.89 | % | | | 1,000.00 | | | | 1,020.70 | | | | 1,010.35 | | | | 4.53 | |
| * | 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 184/365. |
30
Barings Funds Trust 2017 Semi-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 | | | 1.02 | % | | $ | 1,000.00 | | | $ | 1,043.80 | | | $ | 1,021.90 | | | $ | 5.25 | |
Hypothetical | | | 1.02 | % | | | 1,000.00 | | | | 1,020.10 | | | | 1,010.05 | | | | 5.19 | |
| | | | | |
Class C | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1.66 | % | | | 1,000.00 | | | | 1,039.90 | | | | 1,019.95 | | | | 8.54 | |
Hypothetical | | | 1.66 | % | | | 1,000.00 | | | | 1,016.80 | | | | 1,008.40 | | | | 8.44 | |
| | | | | |
Class I | | | | | | | | | | | | | | | | | | | | |
Actual | | | 0.67 | % | | | 1,000.00 | | | | 1,044.90 | | | | 1,022.45 | | | | 3.45 | |
Hypothetical | | | 0.67 | % | | | 1,000.00 | | | | 1,021.80 | | | | 1,010.90 | | | | 3.41 | |
| | | | | |
Class Y | | | | | | | | | | | | | | | | | | | | |
Actual | | | 0.77 | % | | | 1,000.00 | | | | 1,045.00 | | | | 1,022.50 | | | | 3.97 | |
Hypothetical | | | 0.77 | % | | | 1,000.00 | | | | 1,021.30 | | | | 1,010.65 | | | | 3.92 | |
| * | 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 184/365. |
Barings Global High Yield Fund
| | | | | | | | | | | | | | | | | | | | |
| | | EXPENSE
RATIO | | | BEGINNING
AMOUNT | | | ENDING
VALUE | | | AVERAGE
VALUE | | | OPERATING
EXPENSE
INCURRED* | |
Class A | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1.05 | % | | $ | 1,000.00 | | | $ | 1,019.30 | | | $ | 1,009.65 | | | $ | 5.34 | |
Hypothetical | | | 1.05 | % | | | 1,000.00 | | | | 1,019.90 | | | | 1,009.95 | | | | 5.35 | |
| | | | | |
Class C | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1.80 | % | | | 1,000.00 | | | | 1,015.50 | | | | 1,007.75 | | | | 9.14 | |
Hypothetical | | | 1.80 | % | | | 1,000.00 | | | | 1,016.10 | | | | 1,008.05 | | | | 9.15 | |
| | | | | |
Class I | | | | | | | | | | | | | | | | | | | | |
Actual | | | 0.80 | % | | | 1,000.00 | | | | 1,020.60 | | | | 1,010.30 | | | | 4.07 | |
Hypothetical | | | 0.80 | % | | | 1,000.00 | | | | 1,021.20 | | | | 1,010.60 | | | | 4.08 | |
| | | | | |
Class Y | | | | | | | | | | | | | | | | | | | | |
Actual | | | 0.80 | % | | | 1,000.00 | | | | 1,020.60 | | | | 1,010.30 | | | | 4.07 | |
Hypothetical | | | 0.80 | % | | | 1,000.00 | | | | 1,021.20 | | | | 1,010.60 | | | | 4.08 | |
| * | 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 184/365. |
31
Barings Funds Trust 2017 Semi-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 | | | $ | 1,015.40 | | | $ | 1,007.70 | | | $ | 5.08 | |
Hypothetical | | | 1.00 | % | | | 1,000.00 | | | | 1,020.20 | | | | 1,010.10 | | | | 5.09 | |
| | | | | |
Class C | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1.75 | % | | | 1,000.00 | | | | 1,012.00 | | | | 1,006.00 | | | | 8.87 | |
Hypothetical | | | 1.75 | % | | | 1,000.00 | | | | 1,016.40 | | | | 1,008.20 | | | | 8.89 | |
| | | | | |
Class I | | | | | | | | | | | | | | | | | | | | |
Actual | | | 0.75 | % | | | 1,000.00 | | | | 1,017.10 | | | | 1,008.55 | | | | 3.81 | |
Hypothetical | | | 0.75 | % | | | 1,000.00 | | | | 1,021.40 | | | | 1,010.70 | | | | 3.82 | |
| | | | | |
Class Y | | | | | | | | | | | | | | | | | | | | |
Actual | | | 0.75 | % | | | 1,000.00 | | | | 1,017.10 | | | | 1,008.55 | | | | 3.81 | |
Hypothetical | | | 0.75 | % | | | 1,000.00 | | | | 1,021.40 | | | | 1,010.70 | | | | 3.82 | |
| * | 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 184/365. |
32
Barings Funds Trust 2017 Semi-Annual Report
BARINGS FUNDS TRUST
FINANCIAL REPORT
33
Barings Funds Trust 2017 Semi-Annual Report
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | |
| | | 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 $215,692,000, $179,160,615, $420,951,083 and $32,674,622, respectively) | | $ | 214,593,334 | | | $ | 178,819,802 | | | $ | 420,441,867 | | | $ | 33,032,889 | |
| Investments in affiliates, at fair value (cost $0, $0, $0 and $2,533,202, respectively) | | | – | | | | – | | | | – | | | | 2,639,234 | |
| Cash | | | – | | | | 310,000 | | | | 70,931 | | | | 4,023 | |
| Cash collateral held | | | – | | | | 260,000 | | | | – | | | | – | |
| Foreign currency, at value (cost $739,931, $606,248, $0 and $0, respectively) | | | 743,866 | | | | 615,571 | | | | – | | | | – | |
| Receivable for investments sold | | | 2,233,910 | | | | 606,988 | | | | – | | | | 2,907,939 | |
| Receivable for Fund shares sold | | | 78,730 | | | | 62,116 | | | | 1,895,728 | | | | 14,976 | |
| Interest receivable | | | 1,344,523 | | | | 1,979,723 | | | | 2,048,724 | | | | 181,505 | |
| Receivable from adviser (see Note 3) | | | – | | | | – | | | | – | | | | 6,011 | |
| Receivable for variation margin on open futures contracts | | | – | | | | – | | | | – | | | | 4,094 | |
| Foreign tax reclaims receivable | | | – | | | | 3,878 | | | | – | | | | – | |
| Unrealized appreciation on forward foreign currency exchange contracts | | | 13,444 | | | | 4,297 | | | | – | | | | 11,963 | |
| Prepaid expenses | | | 36,104 | | | | 46,143 | | | | 24,944 | | | | 17,355 | |
| | | | | | | | | | | | | | | | |
Total assets | | | 219,043,911 | | | | 182,708,518 | | | | 424,482,194 | | | | 38,819,989 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Liabilities | | | | | | | | | | | | | | | | |
| Payable for investments purchased | | | 60,053 | | | | 78,635 | | | | – | | | | 350,115 | |
| Payable for TBA and when-issued securities purchased | | | 11,850,335 | | | | 6,777,920 | | | | – | | | | 6,266,721 | |
| Payable for Fund shares repurchased | | | 361,351 | | | | 151,354 | | | | 1,742,540 | | | | 2,017 | |
| Swap contracts, at fair value (up-front net premiums received of $0, $0, $21,113 and $5,086, respectively) | | | – | | | | – | | | | 76,086 | | | | 19,021 | |
| Payable for variation margin on open futures contracts | | | – | | | | – | | | | 46,608 | | | | – | |
| Investment advisory fee payable (see Note 3) | | | 62,092 | | | | 84,254 | | | | 49,659 | | | | – | |
| Directors’ fees payable | | | 10,951 | | | | 9,396 | | | | 12,858 | | | | 6,806 | |
| Cash collateral Due to Broker | | | – | | | | 460,000 | | | | 530,000 | | | | – | |
| Distribution fees payable | | | 17,950 | | | | 13,692 | | | | 34,613 | | | | 218 | |
| Dividends payable | | | 57,341 | | | | 285,889 | | | | 74,998 | | | | 120,980 | |
| Unrealized depreciation on forward foreign currency exchange contracts | | | 379,471 | | | | 288,389 | | | | – | | | | 10,487 | |
| Accrued expenses and other liabilities | | | 265,236 | | | | 194,999 | | | | 317,539 | | | | 59,432 | |
| | | | | | | | | | | | | | | | |
Total liabilities | | | 13,064,780 | | | | 8,344,528 | | | | 2,884,901 | | | | 6,835,797 | |
| | | | | | | | | | | | | | | | |
Total net assets | | $ | 205,979,131 | | | $ | 174,363,990 | | | $ | 421,597,293 | | | $ | 31,984,192 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
34
Barings Funds Trust 2017 Semi-Annual Report
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | |
| | | 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 | | $ | 216 | | | $ | 185 | | | $ | 424 | | | $ | 32 | |
| Additional paid-in capital | | | 210,783,732 | | | | 177,573,642 | | | | 422,186,118 | | | | 31,752,362 | |
| Undistributed net investment loss | | | (1,304,091 | ) | | | (1,245,390 | ) | | | (62,959 | ) | | | (70,588 | ) |
| Accumulated net realized loss | | | (1,983,358 | ) | | | (1,286,182 | ) | | | (285,435 | ) | | | (139,466 | ) |
| Net unrealized appreciation (depreciation) | | | (1,517,368 | ) | | | (678,265 | ) | | | (240,855 | ) | | | 441,852 | |
| | | | | | | | | | | | | | | | |
Total net assets | | $ | 205,979,131 | | | $ | 174,363,990 | | | $ | 421,597,293 | | | $ | 31,984,192 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Class A | | | | | | | | | | | | | | | | |
| Net assets applicable to outstanding shares | | $ | 52,608,735 | | | $ | 33,532,457 | | | $ | 160,489,443 | | | $ | 217,639 | |
| | | | | | | | | | | | | | | | |
| Shares of beneficial interest outstanding | | | 5,521,291 | | | | 3,552,074 | | | | 16,126,560 | | | | 21,588 | |
| | | | | | | | | | | | | | | | |
| Net asset value per share outstanding | | $ | 9.53 | | | $ | 9.44 | | | $ | 9.95 | | | $ | 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) | | $ | 9.82 | | | $ | 9.83 | | | $ | 9.95 | | | $ | 10.50 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Class C | | | | | | | | | | | | | | | | |
| Net assets applicable to outstanding shares | | $ | 7,936,322 | | | $ | 7,970,743 | | | $ | 871,386 | | | $ | 202,233 | |
| | | | | | | | | | | | | | | | |
| Shares of beneficial interest outstanding | | | 835,950 | | | | 845,301 | | | | 87,617 | | | | 20,061 | |
| | | | | | | | | | | | | | | | |
| Net asset value per share outstanding | | $ | 9.49 | | | $ | 9.43 | | | $ | 9.95 | | | $ | 10.08 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
| Net assets applicable to outstanding shares | | $ | 21,738,300 | | | $ | 22,075,183 | | | $ | 301,749 | | | $ | 12,454,996 | |
| | | | | | | | | | | | | | | | |
| Shares of beneficial interest outstanding | | | 2,277,217 | | | | 2,338,810 | | | | 30,319 | | | | 1,235,482 | |
| | | | | | | | | | | | | | | | |
| Net asset value per share outstanding | | $ | 9.55 | | | $ | 9.44 | | | $ | 9.95 | | | $ | 10.08 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Class Y | | | | | | | | | | | | | | | | |
| Net assets applicable to outstanding shares | | $ | 123,695,774 | | | $ | 110,785,607 | | | $ | 259,934,715 | | | $ | 19,109,324 | |
| | | | | | | | | | | | | | | | |
| Shares of beneficial interest outstanding | | | 12,961,789 | | | | 11,737,456 | | | | 26,137,914 | | | | 1,895,492 | |
| | | | | | | | | | | | | | | | |
| Net asset value per share outstanding | | $ | 9.54 | | | $ | 9.44 | | | $ | 9.94 | | | $ | 10.08 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
35
Barings Funds Trust 2017 Semi-Annual Report
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | |
| | | 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 $10,619,772, $19,671,219, $25,937,393 and $32,310,970, respectively) | | $ | 11,151,562 | | | $ | 20,100,602 | | | $ | 26,228,211 | | | $ | 32,504,376 | |
| Cash collateral held | | | – | | | | 70,000 | | | | – | | | | – | |
| Foreign currency, at value (cost $5,849, $7,344, $7,149 and $0, respectively) | | | 5,898 | | | | 7,439 | | | | 7,218 | | | | – | |
| Receivable for investments sold | | | – | | | | – | | | | 656 | | | | 656 | |
| Interest receivable | | | 194,913 | | | | 396,118 | | | | 442,311 | | | | 510,115 | |
| Receivable from adviser (see Note 3) | | | 9,146 | | | | 7,393 | | | | 469 | | | | – | |
| Cash collateral held at broker on open future contracts | | | 8,140 | | | | – | | | | – | | | | – | |
| Foreign tax reclaims receivable | | | – | | | | 2,097 | | | | 2,744 | | | | 297 | |
| Variation margin receivable on open swap contracts | | | – | | | | 8,925 | | | | – | | | | – | |
| Unrealized appreciation on forward foreign currency exchange contracts | | | 166,761 | | | | 247,402 | | | | 8,585 | | | | – | |
| Prepaid expenses | | | 15,986 | | | | 15,951 | | | | 16,965 | | | | 17,206 | |
| | | | | | | | | | | | | | | | |
Total assets | | | 11,552,406 | | | | 20,855,927 | | | | 26,707,159 | | | | 33,032,650 | |
| | | | | | | | | | | | | | | | |
| | | | |
Liabilities | | | | | | | | | | | | | | | | |
| Payable for Fund shares repurchased | | | 50,877 | | | | 342,534 | | | | 1,648 | | | | 11,054 | |
| Due to custodian | | | – | | | | 433 | | | | – | | | | – | |
| Swap contracts, at fair value (up-front net premiums paid of $2,245, $0, $0 and $0, respectively) | | | 54,656 | | | | 190 | | | | – | | | | – | |
| Payable for variation margin on open futures contracts | | | 875 | | | | – | | | | – | | | | – | |
| Investment advisory fee payable (see Note 3) | | | – | | | | – | | | | – | | | | 1,799 | |
| Directors’ fees payable | | | 6,297 | | | | 6,112 | | | | 6,793 | | | | 6,926 | |
| Distribution fees payable | | | 327 | | | | 162 | | | | 231 | | | | 601 | |
| Dividends payable | | | 54,562 | | | | 36,421 | | | | 130,691 | | | | 136,253 | |
| Unrealized depreciation on forward foreign currency exchange contracts | | | 234,829 | | | | 359,744 | | | | 9,528 | | | | – | |
| Accrued expenses and other liabilities | | | 46,996 | | | | 43,820 | | | | 59,784 | | | | 62,476 | |
| | | | | | | | | | | | | | | | |
Total liabilities | | | 449,419 | | | | 789,416 | | | | 208,675 | | | | 219,109 | |
| | | | | | | | | | | | | | | | |
Total net assets | | $ | 11,102,987 | | | $ | 20,066,511 | | | $ | 26,498,484 | | | $ | 32,813,541 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Composition of net assets | | | | | | | | | | | | | | | | |
| Shares of beneficial interest outstanding (par value $0.00001 per share), unlimited number of shares authorized | | $ | 11 | | | $ | 19 | | | $ | 26 | | | $ | 32 | |
| Additional paid-in capital | | | 10,677,381 | | | | 19,707,035 | | | | 26,307,678 | | | | 32,506,788 | |
| Undistributed net investment loss | | | (56,185 | ) | | | (56,851 | ) | | | (134,955 | ) | | | (95 | ) |
| Accumulated net realized gain | | | 81,402 | | | | 125,734 | | | | 34,049 | | | | 113,410 | |
| Net unrealized appreciation | | | 400,378 | | | | 290,574 | | | | 291,686 | | | | 193,406 | |
| | | | | | | | | | | | | | | | |
Total net assets | | $ | 11,102,987 | | | $ | 20,066,511 | | | $ | 26,498,484 | | | $ | 32,813,541 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
36
Barings Funds Trust 2017 Semi-Annual Report
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | |
| | | 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 | |
| | | | |
| Class A | | | | | | | | | | | | | | | | |
| Net assets applicable to outstanding shares | | $ | 620,510 | | | $ | 333,419 | | | $ | 107,833 | | | $ | 2,403,811 | |
| | | | | | | | | | | | | | | | |
| Shares of beneficial interest outstanding | | | 59,444 | | | | 30,903 | | | | 10,686 | | | | 237,128 | |
| | | | | | | | | | | | | | | | |
| Net asset value per share outstanding | | $ | 10.44 | | | $ | 10.79 | | | $ | 10.09 | | | $ | 10.14 | |
| | | | | | | | | | | | | | | | |
| Maximum offering price per share outstanding (Net asset value plus sales charge of 4.00%) | | $ | 10.88 | | | $ | 11.24 | | | $ | 10.51 | | | $ | 10.56 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Class C | | | | | | | | | | | | | | | | |
| Net assets applicable to outstanding shares | | $ | 219,857 | | | $ | 107,881 | | | $ | 243,171 | | | $ | 114,097 | |
| | | | | | | | | | | | | | | | |
| Shares of beneficial interest outstanding | | | 21,058 | | | | 10,000 | | | | 24,095 | | | | 11,257 | |
| | | | | | | | | | | | | | | | |
| Net asset value per share outstanding | | $ | 10.44 | | | $ | 10.79 | | | $ | 10.09 | | | $ | 10.14 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
| Net assets applicable to outstanding shares | | $ | 5,013,282 | | | $ | 7,638,838 | | | $ | 12,513,182 | | | $ | 15,207,650 | |
| | | | | | | | | | | | | | | | |
| Shares of beneficial interest outstanding | | | 480,156 | | | | 708,165 | | | | 1,240,000 | | | | 1,500,279 | |
| | | | | | | | | | | | | | | | |
| Net asset value per share outstanding | | $ | 10.44 | | | $ | 10.79 | | | $ | 10.09 | | | $ | 10.14 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Class Y | | | | | | | | | | | | | | | | |
| Net assets applicable to outstanding shares | | $ | 5,249,338 | | | $ | 11,986,373 | | | $ | 13,634,298 | | | $ | 15,087,983 | |
| | | | | | | | | | | | | | | | |
| Shares of beneficial interest outstanding | | | 502,763 | | | | 1,111,047 | | | | 1,351,083 | | | | 1,488,622 | |
| | | | | | | | | | | | | | | | |
| Net asset value per share outstanding | | $ | 10.44 | | | $ | 10.79 | | | $ | 10.09 | | | $ | 10.14 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
37
Barings Funds Trust 2017 Semi-Annual Report
STATEMENTS OF OPERATIONS
For the Six Months Ended December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | |
| | | 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 (net of withholding tax of $0, $0, $1,193 and $35, respectively) | | $ | 5,437,835 | | | $ | 5,308,525 | | | $ | 4,766,731 | | | $ | 425,113 | |
Dividends from affiliated securities | | | – | | | | – | | | | – | | | | 157,494 | |
Other income | | | 115,327 | | | | 15,126 | | | | 1,690 | | | | 400 | |
| | | | | | | | | | | | | | | | |
Total investment income | | | 5,553,162 | | | | 5,323,651 | | | | 4,768,421 | | | | 583,007 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Operating Expenses | | | | | | | | | | | | | | | | |
Advisory fees | | | 659,624 | | | | 622,445 | | | | 649,994 | | | | 63,349 | |
12b-1 distribution and servicing plan | | | | | | | | | | | | | | | | |
Class A | | | 63,225 | | | | 39,549 | | | | 174,065 | | | | 275 | |
Class C | | | 40,482 | | | | 35,727 | | | | 1,642 | | | | 1,023 | |
Administrator fees | | | 136,185 | | | | 103,806 | | | | 210,580 | | | | 29,928 | |
Custody fees | | | 95,773 | | | | 77,429 | | | | 159,495 | | | | 28,469 | |
Professional fees | | | 51,569 | | | | 44,407 | | | | 38,825 | | | | 18,525 | |
Transfer agent fees | | | 14,109 | | | | 19,675 | | | | 23,455 | | | | 10,928 | |
Directors’ fees | | | 26,584 | | | | 22,671 | | | | 36,344 | | | | 13,125 | |
Registration fees | | | 49,920 | | | | 42,677 | | | | 65,642 | | | | 24,191 | |
Printing and mailing expenses | | | 13,847 | | | | 10,032 | | | | 17,888 | | | | 2,243 | |
Interest expense | | | – | | | | – | | | | 222 | | | | 22 | |
Other operating expenses | | | 15,700 | | | | 12,663 | | | | 23,851 | | | | 4,320 | |
| | | | | | | | | | | | | | | | |
Total operating expenses | | | 1,167,018 | | | | 1,031,081 | | | | 1,402,003 | | | | 196,398 | |
Reimbursement of expenses | | | | | | | | | | | | | | | | |
Class A | | | (76,283 | ) | | | (32,361 | ) | | | (176,917 | ) | | | (3,121 | ) |
Class C | | | (15,321 | ) | | | (9,579 | ) | | | (4,235 | ) | | | (3,064 | ) |
Class I | | | (32,986 | ) | | | (22,794 | ) | | | (3,665 | ) | | | (41,080 | ) |
Class Y | | | (183,082 | ) | | | (102,641 | ) | | | (298,617 | ) | | | (60,714 | ) |
| | | | | | | | | | | | | | | | |
Net operating expenses | | | 859,346 | | | | 863,706 | | | | 918,569 | | | | 88,419 | |
| | | | | | | | | | | | | | | | |
Net investment income | | | 4,693,816 | | | | 4,459,945 | | | | 3,849,852 | | | | 494,588 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
38
Barings Funds Trust 2017 Semi-Annual Report
STATEMENTS OF OPERATIONS (CONTINUED)
For the Six Months Ended December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | |
| | | 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 | | | (377,559 | ) | | | 824,310 | | | | (128,025 | ) | | | 28,312 | |
Net realized gain (loss) on forward foreign currency exchange contracts | | | (995,150 | ) | | | (909,532 | ) | | | – | | | | 6,153 | |
Net realized gain (loss) on foreign currency and translation | | | (41,926 | ) | | | (11,853 | ) | | | – | | | | 2 | |
Net realized gain on futures contracts | | | – | | | | – | | | | 135,097 | | | | (8,197 | ) |
Net realized gain (loss) on swap contracts | | | – | | | | – | | | | (19,908 | ) | | | (3,828 | ) |
| | | | | | | | | | | | | | | | |
Net realized gain (loss) | | | (1,414,635 | ) | | | (97,075 | ) | | | (12,836 | ) | | | 22,442 | |
| | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on investments | | | 1,157,966 | | | | (1,007,386 | ) | | | (1,355,354 | ) | | | 120,101 | |
Net change in unrealized appreciation (depreciation) on unfunded loan commitments | | | (5,000 | ) | | | (4,051 | ) | | | – | | | | – | |
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts | | | (58,509 | ) | | | (23,806 | ) | | | – | | | | (770 | ) |
Net change in unrealized appreciation (depreciation) on foreign currency and translation | | | 7,716 | | | | (50,818 | ) | | | – | | | | – | |
Change in net unrealized appreciation (depreciation) on affiliates | | | – | | | | – | | | | – | | | | (113,346 | ) |
Net change in unrealized appreciation on futures contracts | | | – | | | | – | | | | 72,952 | | | | (14,288 | ) |
Net change in unrealized appreciation on swap contracts | | | – | | | | – | | | | (7,153 | ) | | | (2,142 | ) |
| | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) | | | 1,102,173 | | | | (1,086,061 | ) | | | (1,289,555 | ) | | | (10,445 | ) |
| | | | | | | | | | | | | | | | |
Net realized and unrealized gains (losses) on investments | | | (312,462 | ) | | | (1,183,136 | ) | | | (1,302,391 | ) | | | 11,997 | |
| | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | $ | 4,381,354 | | | $ | 3,276,809 | | | $ | 2,547,461 | | | $ | 506,585 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
39
Barings Funds Trust 2017 Semi-Annual Report
STATEMENTS OF OPERATIONS
For the Six Months Ended December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | |
| | | 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 $1,714, $7,687, $0 and $0, respectively) | | $ | 364,133 | | | $ | 268,618 | | | $ | 972,417 | | | $ | 1,173,735 | |
| | | | | | | | | | | | | | | | |
Total investment income | | | 364,133 | | | | 268,618 | | | | 972,417 | | | | 1,173,735 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Operating Expenses | | | | | | | | | | | | | | | | |
Advisory fees | | | 42,807 | | | | 33,761 | | | | 85,193 | | | | 93,105 | |
12b-1 distribution and servicing plan | | | | | | | | | | | | | | | | |
Class A | | | 617 | | | | 295 | | | | 140 | | | | 3,250 | |
Class C | | | 1,145 | | | | 548 | | | | 1,245 | | | | 594 | |
Administrator fees | | | 17,302 | | | | 13,752 | | | | 28,667 | | | | 32,234 | |
Custody fees | | | 17,246 | | | | 12,592 | | | | 20,633 | | | | 22,814 | |
Professional fees | | | 21,555 | | | | 21,011 | | | | 19,812 | | | | 17,784 | |
Transfer agent fees | | | 13,524 | | | | 9,735 | | | | 10,877 | | | | 9,829 | |
Directors’ fees | | | 11,519 | | | | 11,067 | | | | 12,960 | | | | 13,390 | |
Registration fees | | | 23,706 | | | | 23,767 | | | | 23,964 | | | | 24,137 | |
Printing and mailing expenses | | | 1,102 | | | | 598 | | | | 2,224 | | | | 2,501 | |
Other operating expenses | | | 2,927 | | | | 2,574 | | | | 4,166 | | | | 4,533 | |
| | | | | | | | | | | | | | | | |
Total operating expenses | | | 153,450 | | | | 129,700 | | | | 209,881 | | | | 224,171 | |
Reimbursement of expenses | | | | | | | | | | | | | | | | |
Class A | | | (7,154 | ) | | | (4,648 | ) | | | (3,040 | ) | | | (8,902 | ) |
Class C | | | (5,146 | ) | | | (3,675 | ) | | | (3,470 | ) | | | (2,736 | ) |
Class I | | | (42,954 | ) | | | (33,860 | ) | | | (41,214 | ) | | | (41,442 | ) |
Class Y | | | (45,536 | ) | | | (53,653 | ) | | | (47,183 | ) | | | (40,285 | ) |
| | | | | | | | | | | | | | | | |
Net operating expenses | | | 52,660 | | | | 33,864 | | | | 114,974 | | | | 130,806 | |
| | | | | | | | | | | | | | | | |
Net investment income | | | 311,473 | | | | 234,754 | | | | 857,443 | | | | 1,042,929 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
40
Barings Funds Trust 2017 Semi-Annual Report
STATEMENTS OF OPERATIONS (CONTINUED)
For the Six Months Ended December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | |
| | | 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 | | | 187,223 | (1) | | | 96,756 | (2) | | | 418,299 | | | | 341,888 | |
Net realized gain (loss) on forward foreign currency exchange contracts | | | 13,529 | | | | 172,690 | | | | (316,456 | ) | | | – | |
Net realized gain (loss) on foreign currency and translation | | | (13,269 | ) | | | (80,638 | ) | | | 5,836 | | | | – | |
Net realized gain on futures contracts | | | (8,600 | ) | | | – | | | | – | | | | – | |
Net realized gain on swap contracts | | | 86,909 | | | | 27,151 | | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Net realized gain (loss) | | | 265,792 | | | | 215,959 | | | | 107,679 | | | | 341,888 | |
| | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on investments | | | 71,722 | (3) | | | 121,520 | (4) | | | (462,726 | ) | | | (817,310 | ) |
Net change in unrealized appreciation (depreciation) on unfunded loan commitments | | | – | | | | – | | | | (735 | ) | | | (489 | ) |
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts | | | (48,012 | ) | | | (165,113 | ) | | | 77,840 | | | | – | |
Net change in unrealized appreciation (depreciation) on foreign currency and translation | | | 3,809 | | | | 5,798 | | | | (2,283 | ) | | | – | |
Net change in unrealized appreciation on futures contracts | | | 1,269 | | | | – | | | | – | | | | – | |
Net change in unrealized appreciation on swap contracts | | | (88,669 | ) | | | (50,858 | ) | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) | | | (59,881 | ) | | | (88,653 | ) | | | (387,904 | ) | | | (817,799 | ) |
| | | | | | | | | | | | | | | | |
Net realized and unrealized gains (losses) on investments | | | 205,911 | | | | 127,306 | | | | (280,225 | ) | | | (475,911 | ) |
| | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | $ | 517,384 | | | $ | 362,060 | | | $ | 577,218 | | | $ | 567,018 | |
| | | | | | | | | | | | | | | | |
| (1) | | Net of foreign capital gains taxes of $1,650. |
| (2) | | Net of foreign capital gains taxes of $747. |
| (3) | | Net of change in unrealized appreciation (depreciation) of foreign capital gains taxes of $3,142. |
| (4) | | Net of change in unrealized appreciation (depreciation) of foreign capital gains taxes of $(5,730). |
See accompanying Notes to the Financial Statements.
41
Barings Funds Trust 2017 Semi-Annual Report
STATEMENTS OF CHANGES IN NET ASSETS
(Unaudited)
| | | | | | | | | | | | | | | | |
| | | BARINGS GLOBAL
FLOATING RATE FUND | | | BARINGS GLOBAL
CREDIT INCOME
OPPORTUNITIES FUND | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | |
|
| Operations | |
Net investment income | | $ | 4,693,816 | | | $ | 8,278,260 | | | $ | 4,459,945 | | | $ | 7,530,510 | |
Net realized gain (loss) on investments | | | (1,414,635 | ) | | | (233,299 | ) | | | (97,075 | ) | | | 1,210,122 | |
Net change in unrealized appreciation (depreciation) on investments | | | 1,102,173 | | | | 7,195,702 | | | | (1,086,061 | ) | | | 7,282,710 | |
| | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | 4,381,354 | | | | 15,240,663 | | | | 3,276,809 | | | | 16,023,342 | |
| | | | | | | | | | | | | | | | |
|
| Dividends to Common Shareholders | |
Net investment income | |
Class A | | | (1,132,899 | ) | | | (938,252 | ) | | | (823,879 | ) | | | (998,532 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | (151,277 | ) | | | (185,364 | ) | | | (159,338 | ) | | | (215,973 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | (496,686 | ) | | | (672,463 | ) | | | (612,543 | ) | | | (1,381,435 | ) |
| | | | | | | | | | | | | | | | |
Class Y | | | (2,914,404 | ) | | | (3,901,578 | ) | | | (2,864,675 | ) | | | (4,128,774 | ) |
| | | | | | | | | | | | | | | | |
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 | | | (4,695,266 | ) | | | (8,277,832 | ) | | | (4,460,435 | ) | | | (7,530,329 | ) |
| | | | | | | | | | | | | | | | |
|
| Capital Share Transactions | |
Net proceeds from sale of shares | | | 36,513,186 | | | | 148,677,637 | | | | 35,683,692 | | | | 80,293,147 | |
Net Asset Value of shares issued to
shareholders in payment of distributions
declared | | | 4,334,331 | | | | 6,768,827 | | | | 2,677,425 | | | | 3,419,184 | |
Cost of shares redeemed | | | (30,405,290 | ) | | | (133,201,507 | ) | | | (14,588,677 | ) | | | (39,350,864 | ) |
| | | | | | | | | | | | | | | | |
Net increase in net assets resulting from capital stock transactions | | | 10,442,227 | | | | 22,244,957 | | | | 23,772,440 | | | | 44,361,467 | |
| | | | | | | | | | | | | | | | |
Total increase in net assets | | | 10,128,315 | | | | 29,207,788 | | | | 22,588,814 | | | | 52,854,480 | |
| | | | | | | | | | | | | | | | |
|
| Net Assets | |
Beginning of period | | | 195,850,816 | | | | 166,643,028 | | | | 151,775,176 | | | | 98,920,696 | |
| | | | | | | | | | | | | | | | |
End of period (includes undistributed net investment income of $(1,304,091), $(1,302,641), $(1,245,390) and $(1,244,900), respectively) | | $ | 205,979,131 | | | $ | 195,850,816 | | | $ | 174,363,990 | | | $ | 151,775,176 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
42
Barings Funds Trust 2017 Semi-Annual Report
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
(Unaudited)
| | | | | | | | | | | | | | | | |
| | | BARINGS ACTIVE SHORT
DURATION BOND FUND | | | BARINGS TOTAL
RETURN BOND FUND | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | |
|
| Operations | |
Net investment income | | $ | 3,849,852 | | | $ | 4,633,575 | | | $ | 494,588 | | | $ | 758,446 | |
Net realized gain (loss) on investments | | | (12,836 | ) | | | 1,189,095 | | | | 22,442 | | | | (33,874 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (1,289,555 | ) | | | 172,123 | | | | (10,445 | ) | | | (149,825 | ) |
| | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | 2,547,461 | | | | 5,994,793 | | | | 506,585 | | | | 574,747 | |
| | | | | | | | | | | | | | | | |
|
| Dividends to Common Shareholders | |
Net investment income | |
Class A | | | (1,352,526 | ) | | | (1,605,272 | ) | | | (3,328 | ) | | | (5,751 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | (5,482 | ) | | | (5,353 | ) | | | (2,330 | ) | | | (3,785 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | (2,667 | ) | | | (11,257 | ) | | | (206,186 | ) | | | (357,307 | ) |
| | | | | | | | | | | | | | | | |
Class Y | | | (2,539,840 | ) | | | (3,057,128 | ) | | | (306,427 | ) | | | (433,167 | ) |
| | | | | | | | | | | | | | | | |
Net realized gain | |
Class A | | | (490,289 | ) | | | (38,267 | ) | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Class C | | | (2,453 | ) | | | (114 | ) | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Class I | | | (910 | ) | | | (42 | ) | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Class Y | | | (776,810 | ) | | | (63,403 | ) | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Total dividends to common shareholders | | | (5,170,977 | ) | | | (4,780,836 | ) | | | (518,271 | ) | | | (800,010 | ) |
| | | | | | | | | | | | | | | | |
|
| Capital Share Transactions | |
Net proceeds from sale of shares | | | 185,258,251 | | | | 317,789,229 | | | | 1,949,375 | | | | 5,001,298 | |
Net Asset Value of shares issued to shareholders in payment of distributions declared | | | 4,700,908 | | | | 4,101,768 | | | | 99,347 | | | | 75,328 | |
Cost of shares redeemed | | | (89,726,557 | ) | | | (154,981,250 | ) | | | (408,677 | ) | | | (503,539 | ) |
| | | | | | | | | | | | | | | | |
Net increase in net assets resulting from capital stock transactions | | | 100,232,602 | | | | 166,909,747 | | | | 1,640,045 | | | | 4,573,087 | |
| | | | | | | | | | | | | | | | |
Total increase in net assets | | | 97,609,086 | | | | 168,123,704 | | | | 1,628,359 | | | | 4,347,824 | |
| | | | | | | | | | | | | | | | |
|
| Net Assets | |
Beginning of period | | | 323,988,207 | | | | 155,864,503 | | | | 30,355,833 | | | | 26,008,009 | |
| | | | | | | | | | | | | | | | |
End of period (includes undistributed net investment income of $(62,959), $(12,296), $(70,588) and $(46,905), respectively) | | $ | 421,597,293 | | | $ | 323,988,207 | | | $ | 31,984,192 | | | $ | 30,355,833 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
43
Barings Funds Trust 2017 Semi-Annual Report
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
(Unaudited)
| | | | | | | | | | | | | | | | |
| | | BARINGS EMERGING
MARKETS DEBT BLENDED
TOTAL RETURN FUND | | | BARINGS EMERGING
MARKETS LOCAL
CURRENCY DEBT FUND | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | |
|
| Operations | |
Net investment income | | $ | 311,473 | | | $ | 448,168 | | | $ | 234,754 | | | $ | 138,071 | |
Net realized gain on investments | | | 265,792 | | | | 415,231 | | | | 215,959 | | | | 211,313 | |
Net change in unrealized appreciation (depreciation) on investments | | | (59,881 | ) | | | 312,882 | | | | (88,653 | ) | | | 123,019 | |
| | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | 517,384 | | | | 1,176,281 | | | | 362,060 | | | | 472,403 | |
| | | | | | | | | | | | | | | | |
|
| Dividends to Common Shareholders | |
Net investment income | |
Class A | | | (13,324 | ) | | | (10,093 | ) | | | (6,084 | ) | | | (9,790 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | (5,255 | ) | | | (8,789 | ) | | | (2,330 | ) | | | (9,013 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | (144,459 | ) | | | (254,319 | ) | | | (96,075 | ) | | | (241,257 | ) |
| | | | | | | | | | | | | | | | |
Class Y | | | (153,678 | ) | | | (256,813 | ) | | | (167,985 | ) | | | (241,252 | ) |
| | | | | | | | | | | | | | | | |
Net realized gain | |
Class A | | | (17,856 | ) | | | – | | | | (2,395 | ) | | | (1,816 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | (6,611 | ) | | | – | | | | (774 | ) | | | (1,816 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | (144,527 | ) | | | – | | | | (18,576 | ) | | | (43,584 | ) |
| | | | | | | | | | | | | | | | |
Class Y | | | (152,234 | ) | | | – | | | | (49,187 | ) | | | (43,584 | ) |
| | | | | | | | | | | | | | | | |
Total dividends to common shareholders | | | (637,944 | ) | | | (530,014 | ) | | | (343,406 | ) | | | (592,112 | ) |
| | | | | | | | | | | | | | | | |
|
| Capital Share Transactions | |
Net proceeds from sale of shares | | | 546,822 | | | | 539,240 | | | | 14,961,859 | | | | – | |
Net Asset Value of shares issued to shareholders in payment of distributions declared | | | 31,703 | | | | 2,427 | | | | 107,500 | | | | – | |
Cost of shares redeemed | | | (190,472 | ) | | | (255,428 | ) | | | (362,305 | ) | | | – | |
| | | | | | | | | | | | | | | | |
Net increase in net assets resulting from capital stock transactions | | | 388,053 | | | | 286,239 | | | | 14,707,054 | | | | – | |
| | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | 267,493 | | | | 932,506 | | | | 14,725,708 | | | | (119,709 | ) |
| | | | | | | | | | | | | | | | |
|
| Net Assets | |
Beginning of period | | | 10,835,494 | | | | 9,902,988 | | | | 5,340,803 | | | | 5,460,512 | |
| | | | | | | | | | | | | | | | |
End of period (includes undistributed net investment income of $(56,185), $(50,942), $(56,851) and $(19,131), respectively) | | $ | 11,102,987 | | | $ | 10,835,494 | | | $ | 20,066,511 | | | $ | 5,340,803 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
44
Barings Funds Trust 2017 Semi-Annual Report
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
(Unaudited)
| | | | | | | | | | | | | | | | |
| | | BARINGS GLOBAL
HIGH YIELD FUND | | | BARINGS U.S.
HIGH YIELD FUND | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | |
|
| Operations | |
Net investment income | | $ | 857,443 | | | $ | 1,737,828 | | | $ | 1,042,929 | | | $ | 2,048,058 | |
Net realized gain on investments | | | 107,679 | | | | 1,098,745 | | | | 341,888 | | | | 1,008,031 | |
Net change in unrealized appreciation (depreciation) on investments | | | (387,904 | ) | | | 892,695 | | | | (817,799 | ) | | | 829,782 | |
| | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | 577,218 | | | | 3,729,268 | | | | 567,018 | | | | 3,885,871 | |
| | | | | | | | | | | | | | | | |
|
| Dividends to Common Shareholders | |
Net investment income | |
Class A | | | (3,247 | ) | | | (6,644 | ) | | | (77,115 | ) | | | (123,272 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | (6,285 | ) | | | (10,538 | ) | | | (3,080 | ) | | | (6,069 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | (393,854 | ) | | | (829,764 | ) | | | (488,327 | ) | | | (1,005,037 | ) |
| | | | | | | | | | | | | | | | |
Class Y | | | (454,057 | ) | | | (890,882 | ) | | | (474,407 | ) | | | (913,775 | ) |
| | | | | | | | | | | | | | | | |
Net realized gain | |
Class A | | | (2,628 | ) | | | (3,987 | ) | | | (70,872 | ) | | | (24,333 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | (5,847 | ) | | | (7,212 | ) | | | (3,383 | ) | | | (1,951 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | (305,536 | ) | | | (474,176 | ) | | | (449,823 | ) | | | (274,369 | ) |
| | | | | | | | | | | | | | | | |
Class Y | | | (336,250 | ) | | | (517,180 | ) | | | (446,525 | ) | | | (253,823 | ) |
| | | | | | | | | | | | | | | | |
Total dividends to common shareholders | | | (1,507,704 | ) | | | (2,740,383 | ) | | | (2,013,532 | ) | | | (2,602,629 | ) |
| | | | | | | | | | | | | | | | |
|
| Capital Share Transactions | |
Net proceeds from sale of shares | | | 1,801,529 | | | | 1,640,235 | | | | 2,699,060 | | | | 7,082,995 | |
Net Asset Value of shares issued to shareholders in payment of distributions declared | | | 97,843 | | | | 111,913 | | | | 438,709 | | | | 428,741 | |
Cost of shares redeemed | | | (2,309,978 | ) | | | (172,600 | ) | | | (1,980,333 | ) | | | (3,537,611 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from capital stock transactions | | | (410,606 | ) | | | 1,579,548 | | | | 1,157,436 | | | | 3,974,125 | |
| | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | (1,341,092 | ) | | | 2,568,433 | | | | (289,078 | ) | | | 5,257,367 | |
| | | | | | | | | | | | | | | | |
|
| Net Assets | |
Beginning of period | | | 27,839,576 | | | | 25,271,143 | | | | 33,102,619 | | | | 27,845,252 | |
| | | | | | | | | | | | | | | | |
End of period (includes undistributed net investment income of $(134,955), $(134,955), $(95) and $(95), respectively) | | $ | 26,498,484 | | | $ | 27,839,576 | | | $ | 32,813,541 | | | $ | 33,102,619 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
45
Barings Global Floating Rate Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS A | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | 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 (2) | |
| | | | | |
| Per Common Share Data | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 9.54 | | | $ | 9.13 | | | $ | 9.60 | | | $ | 10.20 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (3) | | | 0.22 | | | | 0.43 | | | | 0.44 | | | | 0.44 | | | | 0.30 | |
Net realized and unrealized gain (loss) on investments | | | (0.01 | ) | | | 0.42 | | | | (0.45 | ) | | | (0.35 | ) | | | 0.08 | |
| | | | | | | | | | | | | | | | | | | | |
Total increase (decrease) from investment operations | | | 0.21 | | | | 0.85 | | | | (0.01 | ) | | | 0.09 | | | | 0.38 | |
| | | | | | | | | | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.22 | ) | | | (0.31 | ) | | | (0.46 | ) | | | (0.68 | ) | | | (0.18 | ) |
From net realized gain | | | – | | | | – | | | | – | | | | (0.01 | ) | | | – | |
From return of capital | | | – | | | | (0.13 | ) | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.22 | ) | | | (0.44 | ) | | | (0.46 | ) | | | (0.69 | ) | | | (0.18 | ) |
| | | | | | | | | | | | | | | | | | | | |
Redemption fees | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | (4) | | | 0.00 | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, at end of period | | $ | 9.53 | | | $ | 9.54 | | | $ | 9.13 | | | $ | 9.60 | | | $ | 10.20 | |
| | | | | | | | | | | | | | | | | | | | |
Total investment return (5) | | | 2.12 | %(6) | | | 9.47 | % | | | (0.04 | )% | | | 0.95 | % | | | 3.81 | %(6) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Supplemental Data and Ratios | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 52,609 | | | $ | 45,363 | | | $ | 13,980 | | | $ | 5,153 | | | $ | 12,464 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 1.30 | %(7) | | | 1.37 | % | | | 1.72 | % | | | 1.74 | % | | | 2.27 | %(7) |
Ratio of net expenses to average net assets (8) | | | 0.99 | %(7)(9) | | | 0.99 | %(10) | | | 1.05 | %(11) | | | 1.05 | %(11) | | | 1.05 | %(7)(11) |
Ratio of net investment income to average net assets | | | 4.48 | %(7) | | | 4.52 | % | | | 4.74 | % | | | 4.44 | % | | | 3.76 | %(7) |
Portfolio turnover rate | | | 27.72 | %(6) | | | 47.06 | % | | | 62.99 | % | | | 63.17 | % | | | 49.51 | %(6) |
| (2) | | Fund commenced operations on September 16, 2013. |
| (3) | | Calculated using average shares outstanding. |
| (4) | | Amount rounds to less than $.01 per share. |
| (5) | | 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. |
| (7) | | Annualized for periods less than one full year. |
| (8) | | 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. |
| (9) | | Net expenses reflect a voluntary expense reimbursement to prevent a negative yield. |
| (10) | | 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. |
| (11) | | Net expenses reflect a previous fee waiver and/or expense reimbursement agreement. |
See accompanying Notes to the Financial Statements.
46
Barings Global Floating Rate Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS C | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | 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 (2) | |
| | | | | |
| Per Common Share Data | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 9.51 | | | $ | 9.10 | | | $ | 9.57 | | | $ | 10.16 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (3) | | | 0.18 | | | | 0.37 | | | | 0.37 | | | | 0.35 | | | | 0.24 | |
Net realized and unrealized gain (loss) on investments | | | (0.02 | ) | | | 0.41 | | | | (0.45 | ) | | | (0.33 | ) | | | 0.07 | |
| | | | | | | | | | | | | | | | | | | | |
Total increase (decrease) from investment operations | | | 0.16 | | | | 0.78 | | | | (0.08 | ) | | | 0.02 | | | | 0.31 | |
| | | | | | | | | | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.18 | ) | | | (0.26 | ) | | | (0.39 | ) | | | (0.60 | ) | | | (0.15 | ) |
From net realized gain | | | – | | | | – | | | | – | | | | (0.01 | ) | | | – | |
From return of capital | | | – | | | | (0.11 | ) | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.18 | ) | | | (0.37 | ) | | | (0.39 | ) | | | (0.61 | ) | | | (0.15 | ) |
| | | | | | | | | | | | | | | | | | | | |
Redemption fees | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | (4) | | | 0.00 | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, at end of period | | $ | 9.49 | | | $ | 9.51 | | | $ | 9.10 | | | $ | 9.57 | | | $ | 10.16 | |
| | | | | | | | | | | | | | | | | | | | |
Total investment return (5) | | | 1.74 | %(6) | | | 8.68 | % | | | (0.81 | )% | | | 0.30 | % | | | 3.15 | %(6) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Supplemental Data and Ratios | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 7,936 | | | $ | 8,018 | | | $ | 6,803 | | | $ | 5,461 | | | $ | 2,396 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 2.12 | %(7) | | | 2.24 | % | | | 2.50 | % | | | 3.12 | % | | | 4.97 | %(7) |
Ratio of net expenses to average net assets (8) | | | 1.74 | %(7)(9) | | | 1.71 | %(10) | | | 1.80 | %(11) | | | 1.80 | %(11) | | | 1.80 | %(7)(11) |
Ratio of net investment income to average net assets | | | 3.74 | %(7) | | | 3.91 | % | | | 4.04 | % | | | 3.60 | % | | | 3.07 | %(7) |
Portfolio turnover rate | | | 27.72 | %(6) | | | 47.06 | % | | | 62.99 | % | | | 63.17 | % | | | 49.51 | %(6) |
| (2) | | Fund commenced operations on September 16, 2013. |
| (3) | | Calculated using average shares outstanding. |
| (4) | | Amount rounds to less than $.01 per share. |
| (5) | | 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. |
| (7) | | Annualized for periods less than one full year. |
| (8) | | 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. |
| (9) | | Net expenses reflect a voluntary expense reimbursement to prevent a negative yield. |
| (10) | | 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. |
| (11) | | Net expenses reflect a previous fee waiver and/or expense reimbursement agreement. |
See accompanying Notes to the Financial Statements.
47
Barings Global Floating Rate Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS I | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | 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 (2) | |
| | | | | |
| Per Common Share Data | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 9.56 | | | $ | 9.15 | | | $ | 9.62 | | | $ | 10.21 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (3) | | | 0.23 | | | | 0.47 | | | | 0.47 | | | | 0.46 | | | | 0.30 | |
Net realized and unrealized gain (loss) on investments | | | (0.01 | ) | | | 0.40 | | | | (0.45 | ) | | | (0.34 | ) | | | 0.10 | |
| | | | | | | | | | | | | | | | | | | | |
Total increase from investment operations | | | 0.22 | | | | 0.87 | | | | 0.02 | | | | 0.12 | | | | 0.40 | |
| | | | | | | | | | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.23 | ) | | | (0.32 | ) | | | (0.49 | ) | | | (0.70 | ) | | | (0.19 | ) |
From net realized gain | | | – | | | | – | | | | – | | | | (0.01 | ) | | | – | |
From return of capital | | | – | | | | (0.14 | ) | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.23 | ) | | | (0.46 | ) | | | (0.49 | ) | | | (0.71 | ) | | | (0.19 | ) |
| | | | | | | | | | | | | | | | | | | | |
Redemption fees | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | (4) | | | 0.00 | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, at end of period | | $ | 9.55 | | | $ | 9.56 | | | $ | 9.15 | | | $ | 9.62 | | | $ | 10.21 | |
| | | | | | | | | | | | | | | | | | | | |
Total investment return (5) | | | 2.25 | %(6) | | | 9.74 | % | | | 0.25 | % | | | 1.34 | % | | | 4.04 | %(6) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Supplemental Data and Ratios | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 21,738 | | | $ | 19,733 | | | $ | 19,903 | | | $ | 25,885 | | | $ | 32,772 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 1.06 | %(7) | | | 1.16 | % | | | 1.29 | % | | | 1.31 | % | | | 1.52 | %(7) |
Ratio of net expenses to average net assets (8) | | | 0.75 | %(7) | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 0.75 | %(7) |
Ratio of net investment income to average net assets | | | 4.70 | %(7) | | | 4.90 | % | | | 5.07 | % | | | 4.69 | % | | | 3.72 | %(7) |
Portfolio turnover rate | | | 27.72 | %(6) | | | 47.06 | % | | | 62.99 | % | | | 63.17 | % | | | 49.51 | %(6) |
| (2) | | Fund commenced operations on September 16, 2013. |
| (3) | | Calculated using average shares outstanding. |
| (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. |
| (7) | | Annualized for periods less than one full year. |
| (8) | | 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.
48
Barings Global Floating Rate Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS Y | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | 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 (2) | |
| | | | | |
| Per Common Share Data | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 9.56 | | | $ | 9.15 | | | $ | 9.62 | | | $ | 10.21 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (3) | | | 0.23 | | | | 0.47 | | | | 0.47 | | | | 0.45 | | | | 0.30 | |
Net realized and unrealized gain (loss) on investments | | | (0.02 | ) | | | 0.40 | | | | (0.45 | ) | | | (0.33 | ) | | | 0.10 | |
| | | | | | | | | | | | | | | | | | | | |
Total increase from investment operations | | | 0.21 | | | | 0.87 | | | | 0.02 | | | | 0.12 | | | | 0.40 | |
| | | | | | | | | | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.23 | ) | | | (0.32 | ) | | | (0.49 | ) | | | (0.70 | ) | | | (0.19 | ) |
From net realized gain | | | – | | | | – | | | | – | | | | (0.01 | ) | | | – | |
From return of capital | | | – | | | | (0.14 | ) | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.23 | ) | | | (0.46 | ) | | | (0.49 | ) | | | (0.71 | ) | | | (0.19 | ) |
| | | | | | | | | | | | | | | | | | | | |
Redemption fees | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | (4) | | | 0.00 | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, at end of period | | $ | 9.54 | | | $ | 9.56 | | | $ | 9.15 | | | $ | 9.62 | | | $ | 10.21 | |
| | | | | | | | | | | | | | | | | | | | |
Total investment return (5) | | | 2.26 | %(6) | | | 9.73 | % | | | 0.22 | % | | | 1.28 | % | | | 4.04 | %(6) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Supplemental Data and Ratios | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 123,696 | | | $ | 122,736 | | | $ | 125,957 | | | $ | 129,659 | | | $ | 66,999 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 1.04 | %(7) | | | 1.14 | % | | | 1.27 | % | | | 1.25 | % | | | 1.53 | %(7) |
Ratio of net expenses to average net assets (8) | | | 0.75 | %(7) | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 0.75 | %(7) |
Ratio of net investment income to average net assets | | | 4.73 | %(7) | | | 4.90 | % | | | 5.08 | % | | | 4.58 | % | | | 3.80 | %(7) |
Portfolio turnover rate | | | 27.72 | %(6) | | | 47.06 | % | | | 62.99 | % | | | 63.17 | % | | | 49.51 | %(6) |
| (2) | | Fund commenced operations on September 16, 2013. |
| (3) | | Calculated using average shares outstanding. |
| (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. |
| (7) | | Annualized for periods less than one full year. |
| (8) | | 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.
49
Barings Global Credit Income Opportunities Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS A | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | 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 (2) | |
| | | | | |
| Per Common Share Data | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 9.51 | | | $ | 8.80 | | | $ | 9.51 | | | $ | 10.45 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (3) | | | 0.25 | | | | 0.55 | | | | 0.56 | | | | 0.54 | | | | 0.40 | |
Net realized and unrealized gain (loss) on investments | | | (0.07 | ) | | | 0.71 | | | | (0.66 | ) | | | (0.57 | ) | | | 0.33 | |
| | | | | | | | | | | | | | | | | | | | |
Total increase (decrease) from investment operations | | | 0.18 | | | | 1.26 | | | | (0.10 | ) | | | (0.03 | ) | | | 0.73 | |
| | | | | | | | | | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.25 | ) | | | (0.50 | ) | | | (0.61 | ) | | | (0.78 | ) | | | (0.28 | ) |
From net realized gain | | | – | | | | – | | | | – | | | | (0.13 | ) | | | – | |
From return of capital | | | – | | | | (0.05 | ) | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.25 | ) | | | (0.55 | ) | | | (0.61 | ) | | | (0.91 | ) | | | (0.28 | ) |
| | | | | | | | | | | | | | | | | | | | |
Redemption fees | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | (4) | | | 0.00 | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, at end of period | | $ | 9.44 | | | $ | 9.51 | | | $ | 8.80 | | | $ | 9.51 | | | $ | 10.45 | |
| | | | | | | | | | | | | | | | | | | | |
Total investment return (5) | | | 1.95 | %(6) | | | 14.61 | % | | | (0.84 | )% | | | (0.11 | )% | | | 7.30 | %(6) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Supplemental Data and Ratios | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 33,532 | | | $ | 26,904 | | | $ | 12,340 | | | $ | 12,718 | | | $ | 2,591 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 1.40 | %(7) | | | 1.56 | % | | | 1.90 | % | | | 1.98 | % | | | 3.95 | %(7) |
Ratio of net expenses to average net assets (8) | | | 1.20 | %(7) | | | 1.20 | % | | | 1.20 | % | | | 1.20 | % | | | 1.20 | %(7) |
Ratio of net investment income to average net assets | | | 5.21 | %(7) | | | 5.83 | % | | | 6.28 | % | | | 5.46 | % | | | 4.88 | %(7) |
Portfolio turnover rate | | | 23.48 | %(6) | | | 48.69 | % | | | 58.08 | % | | | 84.65 | % | | | 99.72 | %(6) |
| (2) | | Fund commenced operations on September 16, 2013. |
| (3) | | Calculated using average shares outstanding. |
| (4) | | Amount rounds to less than $.01 per share. |
| (5) | | 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. |
| (7) | | Annualized for periods less than one full year. |
| (8) | | 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. |
See accompanying Notes to the Financial Statements.
50
Barings Global Credit Income Opportunities Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS C | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | 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 (2) | |
| | | | | |
| Per Common Share Data | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 9.50 | | | $ | 8.79 | | | $ | 9.50 | | | $ | 10.45 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (3) | | | 0.21 | | | | 0.48 | | | | 0.49 | | | | 0.47 | | | | 0.35 | |
Net realized and unrealized gain (loss) on investments | | | (0.07 | ) | | | 0.71 | | | | (0.65 | ) | | | (0.58 | ) | | | 0.32 | |
| | | | | | | | | | | | | | | | | | | | |
Total increase (decrease) from investment operations | | | 0.14 | | | | 1.19 | | | | (0.16 | ) | | | (0.11 | ) | | | 0.67 | |
| | | | | | | | | | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.21 | ) | | | (0.43 | ) | | | (0.55 | ) | | | (0.71 | ) | | | (0.22 | ) |
From net realized gain | | | – | | | | – | | | | – | | | | (0.13 | ) | | | – | |
From return of capital | | | – | | | | (0.05 | ) | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.21 | ) | | | (0.48 | ) | | | (0.55 | ) | | | (0.84 | ) | | | (0.22 | ) |
| | | | | | | | | | | | | | | | | | | | |
Redemption fees | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | (4) | | | 0.00 | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, at end of period | | $ | 9.43 | | | $ | 9.50 | | | $ | 8.79 | | | $ | 9.50 | | | $ | 10.45 | |
| | | | | | | | | | | | | | | | | | | | |
Total investment return (6) | | | 1.57 | %(5) | | | 13.75 | % | | | (1.59 | )% | | | (0.93 | )% | | | 6.75 | %(5) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Supplemental Data and Ratios | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 7,971 | | | $ | 6,628 | | | $ | 3,578 | | | $ | 3,579 | | | $ | 944 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 2.22 | %(7) | | | 2.39 | % | | | 2.91 | % | | | 4.09 | % | | | 10.50 | %(7) |
Ratio of net expenses to average net assets (8) | | | 1.95 | %(7) | | | 1.95 | % | | | 1.95 | % | | | 1.95 | % | | | 1.95 | %(7) |
Ratio of net investment income to average net assets | | | 4.46 | %(7) | | | 5.12 | % | | | 5.50 | % | | | 4.79 | % | | | 4.39 | %(7) |
Portfolio turnover rate | | | 23.48 | %(5) | | | 48.69 | % | | | 58.08 | % | | | 84.65 | % | | | 99.72 | %(5) |
| (2) | | Fund commenced operations on September 16, 2013. |
| (3) | | Calculated using average shares outstanding. |
| (4) | | Amount rounds to less than $.01 per share. |
| (6) | | 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. |
| (7) | | Annualized for periods less than one full year. |
| (8) | | 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. |
See accompanying Notes to the Financial Statements.
51
Barings Global Credit Income Opportunities Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS I | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | 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 (2) | |
| | | | | |
| Per Common Share Data | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 9.50 | | | $ | 8.80 | | | $ | 9.51 | | | $ | 10.46 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (3) | | | 0.26 | | | | 0.58 | | | | 0.58 | | | | 0.56 | | | | 0.41 | |
Net realized and unrealized gain (loss) on investments | | | (0.06 | ) | | | 0.70 | | | | (0.65 | ) | | | (0.58 | ) | | | 0.35 | |
| | | | | | | | | | | | | | | | | | | | |
Total increase (decrease) from investment operations | | | 0.20 | | | | 1.28 | | | | (0.07 | ) | | | (0.02 | ) | | | 0.76 | |
| | | | | | | | | | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.26 | ) | | | (0.52 | ) | | | (0.64 | ) | | | (0.80 | ) | | | (0.30 | ) |
From net realized gain | | | – | | | | – | | | | – | | | | (0.13 | ) | | | – | |
From return of capital | | | – | | | | (0.06 | ) | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.26 | ) | | | (0.58 | ) | | | (0.64 | ) | | | (0.93 | ) | | | (0.30 | ) |
| | | | | | | | | | | | | | | | | | | | |
Redemption fees | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | (4) | | | 0.00 | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, at end of period | | $ | 9.44 | | | $ | 9.50 | | | $ | 8.80 | | | $ | 9.51 | | | $ | 10.46 | |
| | | | | | | | | | | | | | | | | | | | |
Total investment return (6) | | | 2.08 | %(5) | | | 14.90 | % | | | (0.61 | )% | | | 0.05 | % | | | 7.59 | %(5) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Supplemental Data and Ratios | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 22,075 | | | $ | 22,228 | | | $ | 24,689 | | | $ | 26,428 | | | $ | 26,406 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 1.15 | %(7) | | | 1.27 | % | | | 1.54 | % | | | 1.58 | % | | | 1.83 | %(7) |
Ratio of net expenses to average net assets (8) | | | 0.95 | %(7) | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % | | | 0.95 | %(7) |
Ratio of net investment income to average net assets | | | 5.47 | %(7) | | | 6.22 | % | | | 6.54 | % | | | 5.69 | % | | | 5.02 | %(7) |
Portfolio turnover rate | | | 23.48 | %(5) | | | 48.69 | % | | | 58.08 | % | | | 84.65 | % | | | 99.72 | %(5) |
| (2) | | Fund commenced operations on September 16, 2013. |
| (3) | | Calculated using average shares outstanding. |
| (4) | | Amount rounds to less than $.01 per share. |
| (6) | | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
| (7) | | Annualized for periods less than one full year. |
| (8) | | 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. |
See accompanying Notes to the Financial Statements.
52
Barings Global Credit Income Opportunities Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS Y | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | 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 (2) | |
| | | | | |
| Per Common Share Data | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 9.50 | | | $ | 8.80 | | | $ | 9.51 | | | $ | 10.46 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (3) | | | 0.26 | | | | 0.57 | | | | 0.59 | | | | 0.56 | | | | 0.41 | |
Net realized and unrealized gain (loss) on investments | | | (0.06 | ) | | | 0.71 | | | | (0.66 | ) | | | (0.58 | ) | | | 0.35 | |
| | | | | | | | | | | | | | | | | | | | |
Total increase (decrease) from investment operations | | | 0.20 | | | | 1.28 | | | | (0.07 | ) | | | (0.02 | ) | | | 0.76 | |
| | | | | | | | | | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.26 | ) | | | (0.52 | ) | | | (0.64 | ) | | | (0.80 | ) | | | (0.30 | ) |
From net realized gain | | | – | | | | – | | | | – | | | | (0.13 | ) | | | – | |
From return of capital | | | – | | | | (0.06 | ) | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.26 | ) | | | (0.58 | ) | | | (0.64 | ) | | | (0.93 | ) | | | (0.30 | ) |
| | | | | | | | | | | | | | | | | | | | |
Redemption fees | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | (4) | | | 0.00 | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, at end of period | | $ | 9.44 | | | $ | 9.50 | | | $ | 8.80 | | | $ | 9.51 | | | $ | 10.46 | |
| | | | | | | | | | | | | | | | | | | | |
Total investment return (5) | | | 2.08 | %(6) | | | 14.90 | % | | | (0.61 | )% | | | 0.05 | % | | | 7.59 | %(6) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Supplemental Data and Ratios | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 110,786 | | | $ | 96,014 | | | $ | 58,312 | | | $ | 39,006 | | | $ | 33,885 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 1.15 | %(7) | | | 1.28 | % | | | 1.55 | % | | | 1.58 | % | | | 1.84 | %(7) |
Ratio of net expenses to average net assets (8) | | | 0.95 | %(7) | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % | | | 0.95 | %(7) |
Ratio of net investment income to average net assets | | | 5.47 | %(7) | | | 6.14 | % | | | 6.56 | % | | | 5.67 | % | | | 5.04 | %(7) |
Portfolio turnover rate | | | 23.48 | %(6) | | | 48.69 | % | | | 58.08 | % | | | 84.65 | % | | | 99.72 | %(6) |
| (2) | | Fund commenced operations on September 16, 2013. |
| (3) | | Calculated using average shares outstanding. |
| (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. |
| (7) | | Annualized for periods less than one full year. |
| (8) | | 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. |
See accompanying Notes to the Financial Statements.
53
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | |
| | | CLASS A | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
JULY 8, 2015
THROUGH
JUNE 30, 2016 (2) | |
| | | |
| Per Common Share Data | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 10.01 | | | $ | 9.98 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.10 | | | | 0.17 | | | | 0.15 | |
Net realized and unrealized gain (loss) on investments | | | (0.03 | ) | | | 0.03 | | | | (0.03 | )(4) |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.07 | | | | 0.20 | | | | 0.12 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.10 | ) | | | (0.17 | ) | | | (0.14 | ) |
From net realized gain | | | (0.03 | ) | | | (0.00 | )(5) | | | – | |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.13 | ) | | | (0.17 | ) | | | (0.14 | ) |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 9.95 | | | $ | 10.01 | | | $ | 9.98 | |
| | | | | | | | | | | | |
Total investment return (6) | | | 0.67 | %(7) | | | 2.12 | % | | | 1.17 | %(7) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 160,489 | | | $ | 119,189 | | | $ | 39,992 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 0.90 | %(8) | | | 1.06 | % | | | 1.18 | %(8) |
Ratio of net expenses to average net assets (9) | | | 0.65 | %(8) | | | 0.65 | % | | | 0.65 | %(8) |
Ratio of net investment income to average net assets | | | 1.92 | %(8) | | | 1.72 | % | | | 1.51 | %(8) |
Portfolio turnover rate | | | 29.16 | %(7) | | | 88.52 | % | | | 218.67 | %(7) |
| (2) | | Fund commenced operations on July 8, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (4) | | 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. |
| (5) | | Amount rounds to less than $.01 per share. |
| (6) | | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
| (8) | | Annualized for periods less than one full year. |
| (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 .65% as a percentage of average daily net assets. |
See accompanying Notes to the Financial Statements.
54
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | |
| | | CLASS C | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
JULY 8, 2015
THROUGH
JUNE 30, 2016 (2) | |
| | | |
| Per Common Share Data | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 10.01 | | | $ | 9.97 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.08 | | | | 0.19 | | | | 0.07 | |
Net realized and unrealized gain (loss) on investments | | | (0.02 | ) | | | 0.05 | | | | (0.03 | )(4) |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.06 | | | | 0.24 | | | | 0.04 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.09 | ) | | | (0.20 | ) | | | (0.07 | ) |
From net realized gain | | | (0.03 | ) | | | (0.00 | )(5) | | | — | |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.12 | ) | | | (0.20 | ) | | | (0.07 | ) |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 9.95 | | | $ | 10.01 | | | $ | 9.97 | |
| | | | | | | | | | | | |
Total investment return (6) | | | 0.54 | %(7) | | | 2.41 | % | | | 0.39 | %(7) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 871 | | | $ | 236 | | | $ | 257 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 2.19 | %(8) | | | 3.09 | %(9) | | | 5.44 | %(8)(10) |
Ratio of net expenses to average net assets (11) | | | 0.90 | %(8) | | | 0.40 | %(9) | | | 1.40 | %(8)(10) |
Ratio of net investment income to average net assets | | | 1.64 | %(8) | | | 1.94 | %(9) | | | 0.71 | %(8)(10) |
Portfolio turnover rate | | | 29.16 | %(7) | | | 88.52 | % | | | 218.67 | %(7) |
| (2) | | Fund commenced operations on July 8, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (4) | | 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. |
| (5) | | Amount rounds to less than $.01 per share. |
| (6) | | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
| (8) | | Annualized for periods less than one full year. |
| (9) | | 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. |
| (10) | | 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. |
| (11) | | 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. |
See accompanying Notes to the Financial Statements.
55
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | |
| | | CLASS I | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
JULY 8, 2015
THROUGH
JUNE 30, 2016 (2) | |
| | | |
| Per Common Share Data | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 10.01 | | | $ | 9.97 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.11 | | | | 0.18 | | | | 0.16 | |
Net realized and unrealized gain (loss) on investments | | | (0.03 | ) | | | 0.06 | | | | (0.03 | )(4) |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.08 | | | | 0.24 | | | | 0.13 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.11 | ) | | | (0.20 | ) | | | (0.16 | ) |
From net realized gain (5) | | | (0.03 | ) | | | (0.00 | )(4) | | | — | |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.14 | ) | | | (0.20 | ) | | | (0.16 | ) |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 9.95 | | | $ | 10.01 | | | $ | 9.97 | |
| | | | | | | | | | | | |
Total investment return(6) | | | 0.82 | %(7) | | | 2.44 | % | | | 1.35 | %(7) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 302 | | | $ | 100 | | | $ | 5,971 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 3.39 | %(8) | | | 1.67 | % | | | 0.96 | %(8) |
Ratio of net expenses to average net assets (9) | | | 0.40 | %(8) | | | 0.40 | % | | | 0.44 | %(8) |
Ratio of net investment income to average net assets | | | 2.15 | %(8) | | | 1.84 | % | | | 1.67 | %(8) |
Portfolio turnover rate | | | 29.16 | %(7) | | | 88.52 | % | | | 218.67 | %(7) |
| (2) | | Fund commenced operations on July 8, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (4) | | 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. |
| (5) | | Amount rounds to less than $.01 per share. |
| (6) | | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
| (8) | | Annualized for periods less than one full year. |
| (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 .40% as a percentage of average daily net assets. |
See accompanying Notes to the Financial Statements.
56
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | |
| | | CLASS Y | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
JULY 8, 2015
THROUGH
JUNE 30, 2016 (2) | |
| | | |
| Per Common Share Data | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 10.01 | | | $ | 9.97 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.11 | | | | 0.20 | | | | 0.17 | |
Net realized and unrealized gain (loss) on investments | | | (0.04 | ) | | | 0.04 | | | | (0.04 | )(4) |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.07 | | | | 0.24 | | | | 0.13 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.11 | ) | | | (0.20 | ) | | | (0.16 | ) |
From net realized gain | | | (0.03 | ) | | | (0.00 | )(5) | | | — | |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.14 | ) | | | (0.20 | ) | | | (0.16 | ) |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 9.94 | | | $ | 10.01 | | | $ | 9.97 | |
| | | | | | | | | | | | |
Total investment return (6) | | | 0.79 | %(7) | | | 2.38 | % | | | 1.36 | %(7) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 259,935 | | | $ | 204,464 | | | $ | 109,645 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 0.66 | %(8) | | | 0.82 | % | | | 0.87 | %(8) |
Ratio of net expenses to average net assets (9) | | | 0.40 | %(8) | | | 0.40 | % | | | 0.41 | %(8) |
Ratio of net investment income to average net assets | | | 2.17 | %(8) | | | 1.97 | % | | | 1.73 | %(8) |
Portfolio turnover rate | | | 29.16 | %(7) | | | 88.52 | % | | | 218.67 | %(7) |
| (2) | | Fund commenced operations on July 8, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (4) | | 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. |
| (5) | | Amount rounds to less than $.01 per share. |
| (6) | | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
| (8) | | Annualized for periods less than one full year. |
| (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 .40% as a percentage of average daily net assets. |
See accompanying Notes to the Financial Statements.
57
Barings Total Return Bond Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | |
| | | CLASS A | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
JULY 8, 2015
THROUGH
JUNE 30, 2016 (2) | |
|
| Per Common Share Data | |
Net asset value, beginning of period | | $ | 10.08 | | | $ | 10.18 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.15 | | | | 0.25 | | | | 0.25 | |
Net realized and unrealized gain (loss) on investments | | | 0.00 | | | | (0.09 | ) | | | 0.20 | |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.15 | | | | 0.16 | | | | 0.45 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.15 | ) | | | (0.26 | ) | | | (0.25 | ) |
From net realized gain | | | — | | | | — | | | | (0.02 | ) |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.15 | ) | | | (0.26 | ) | | | (0.27 | ) |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 10.08 | | | $ | 10.08 | | | $ | 10.18 | |
| | | | | | | | | | | | |
Total investment return (4) | | | 1.51 | %(5) | | | 1.65 | % | | | 4.63 | %(5) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 218 | | | $ | 218 | | | $ | 211 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 3.64 | %(6) | | | 3.52 | % | | | 5.60 | %(6) |
Ratio of net expenses to average net assets (7)(8) | | | 0.80 | %(6) | | | 0.80 | % | | | 0.80 | %(6) |
Ratio of net investment income to average net assets | | | 2.87 | %(6) | | | 2.49 | % | | | 2.52 | %(6) |
Portfolio turnover rate | | | 111.79 | %(5) | | | 242.55 | % | | | 434.37 | %(5) |
| (2) | | Fund commenced operations on July 8, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (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. |
| (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 .80% as a percentage of average daily net assets. |
| (8) | | 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 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | |
| | | CLASS C | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
JULY 8, 2015
THROUGH
JUNE 30, 2016 (2) | |
|
| Per Common Share Data | |
Net asset value, beginning of period | | $ | 10.08 | | | $ | 10.18 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.11 | | | | 0.17 | | | | 0.17 | |
Net realized and unrealized gain (loss) on investments | | | 0.01 | | | | (0.08 | ) | | | 0.21 | |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.12 | | | | 0.09 | | | | 0.38 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.12 | ) | | | (0.19 | ) | | | (0.18 | ) |
From net realized gain | | | — | | | | — | | | | (0.02 | ) |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.12 | ) | | | (0.19 | ) | | | (0.20 | ) |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 10.08 | | | $ | 10.08 | | | $ | 10.18 | |
| | | | | | | | | | | | |
Total investment return (4) | | | 1.13 | %(5) | | | 0.89 | % | | | 3.87 | %(5) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 202 | | | $ | 202 | | | $ | 204 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 4.54 | %(6) | | | 4.41 | % | | | 6.38 | %(6) |
Ratio of net expenses to average net assets (7)(8) | | | 1.54 | %(6)(9) | | | 1.55 | % | | | 1.55 | %(6) |
Ratio of net investment income to average net assets | | | 2.13 | %(6) | | | 1.74 | % | | | 1.77 | %(6) |
Portfolio turnover rate | | | 111.79 | %(5) | | | 242.55 | % | | | 434.37 | %(5) |
| (2) | | Fund commenced operations on July 8, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (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. |
| (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 1.55% as a percentage of average daily net assets. |
| (8) | | Ratio of net expenses to average net assets does not include expenses of the underlying fund in which the Fund invests. |
| (9) | | Net expenses reflect a voluntary expense reimbursement to prevent a negative yield. |
See accompanying Notes to the Financial Statements.
59
Barings Total Return Bond Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | |
| | | CLASS I | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
JULY 8, 2015
THROUGH
JUNE 30, 2016 (2) | |
|
| Per Common Share Data | |
Net asset value, beginning of period | | $ | 10.08 | | | $ | 10.18 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.16 | | | | 0.28 | | | | 0.27 | |
Net realized and unrealized gain (loss) on investments | | | 0.01 | | | | (0.09 | ) | | | 0.20 | |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.17 | | | | 0.19 | | | | 0.47 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.17 | ) | | | (0.29 | ) | | | (0.27 | ) |
From net realized gain | | | — | | | | — | | | | (0.02 | ) |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.17 | ) | | | (0.29 | ) | | | (0.29 | ) |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 10.08 | | | $ | 10.08 | | | $ | 10.18 | |
| | | | | | | | | | | | |
Total investment return (4) | | | 1.64 | %(5) | | | 1.90 | % | | | 4.89 | %(5) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 12,455 | | | $ | 12,457 | | | $ | 12,582 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 1.20 | %(6) | | | 1.36 | % | | | 1.37 | %(6) |
Ratio of net expenses to average net assets (7)(8) | | | 0.55 | %(6) | | | 0.55 | % | | | 0.55 | %(6) |
Ratio of net investment income to average net assets | | | 3.12 | %(6) | | | 2.74 | % | | | 2.77 | %(6) |
Portfolio turnover rate | | | 111.79 | %(5) | | | 242.55 | % | | | 434.37 | %(5) |
| (2) | | Fund commenced operations on July 8, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (4) | | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
| (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 .55% as a percentage of average daily net assets. |
| (8) | | 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.
60
Barings Total Return Bond Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | |
| | | CLASS Y | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
JULY 8, 2015
THROUGH
JUNE 30, 2016 (2) | |
|
| Per Common Share Data | |
Net asset value, beginning of period | | $ | 10.08 | | | $ | 10.18 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.16 | | | | 0.27 | | | | 0.27 | |
Net realized and unrealized gain (loss) on investments | | | 0.01 | | | | (0.08 | ) | | | 0.20 | |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.17 | | | | 0.19 | | | | 0.47 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.17 | ) | | | (0.29 | ) | | | (0.27 | ) |
From net realized gain | | | — | | | | — | | | | (0.02 | ) |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.17 | ) | | | (0.29 | ) | | | (0.29 | ) |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 10.08 | | | $ | 10.08 | | | $ | 10.18 | |
| | | | | | | | | | | | |
Total investment return (4) | | | 1.64 | %(5) | | | 1.90 | % | | | 4.89 | %(5) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 19,109 | | | $ | 17,478 | | | $ | 13,011 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 1.20 | %(6) | | | 1.36 | % | | | 1.36 | %(6) |
Ratio of net expenses to average net assets (7)(8) | | | 0.55 | %(6) | | | 0.55 | % | | | 0.55 | %(6) |
Ratio of net investment income to average net assets | | | 3.14 | %(6) | | | 2.72 | % | | | 2.77 | %(6) |
Portfolio turnover rate | | | 111.79 | %(5) | | | 242.55 | % | | | 434.37 | %(5) |
| (2) | | Fund commenced operations on July 8, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (4) | | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
| (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 .55% as a percentage of average daily net assets. |
| (8) | | 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.
61
Barings Emerging Markets Debt Blended Total Return Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | |
| | | CLASS A | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
OCTOBER 21, 2015
THROUGH
JUNE 30, 2016 (2) | |
|
| Per Common Share Data | |
Net asset value, beginning of period | | $ | 10.55 | | | $ | 9.90 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.28 | | | | 0.42 | | | | 0.43 | |
Net realized and unrealized gain (loss) on investments | | | 0.20 | | | | 0.73 | | | | (0.19 | ) |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.48 | | | | 1.15 | | | | 0.24 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.29 | ) | | | (0.50 | ) | | | (0.34 | ) |
From net realized gain | | | (0.30 | ) | | | — | | | | (0.00 | )(4) |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.59 | ) | | | (0.50 | ) | | | (0.34 | ) |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 10.44 | | | $ | 10.55 | | | $ | 9.90 | |
| | | | | | | | | | | | |
Total investment return (5) | | | 4.65 | %(6) | | | 11.94 | % | | | 2.62 | %(6) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 621 | | | $ | 211 | | | $ | 198 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 4.03 | %(7) | | | 5.77 | % | | | 6.82 | %(7) |
Ratio of net expenses to average net assets (8) | | | 1.13 | %(7)(9) | | | 1.15 | %(9) | | | 1.16 | %(7) |
Ratio of net investment income to average net assets | | | 5.25 | %(7) | | | 4.17 | % | | | 6.52 | %(7) |
Portfolio turnover rate | | | 39.40 | %(6) | | | 55.66 | % | | | 83.26 | %(6) |
| (2) | | Fund commenced operations on October 21, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (4) | | Amount rounds to less than $.01 per share. |
| (5) | | 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. |
| (7) | | Annualized for periods less than one full year. |
| (8) | | 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. |
| (9) | | Net expenses reflect a voluntary expense reimbursement to prevent a negative yield. |
See accompanying Notes to the Financial Statements.
62
Barings Emerging Markets Debt Blended Total Return Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | |
| | | CLASS C | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
OCTOBER 21, 2015
THROUGH
JUNE 30, 2016 (2) | |
| | | |
| Per Common Share Data | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 10.55 | | | $ | 9.90 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.24 | | | | 0.35 | | | | 0.38 | |
Net realized and unrealized gain (loss) on investments | | | 0.20 | | | | 0.73 | | | | (0.19 | ) |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.44 | | | | 1.08 | | | | 0.19 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.25 | ) | | | (0.43 | ) | | | (0.29 | ) |
From net realized gain | | | (0.30 | ) | | | – | | | | (0.00 | )(4) |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.55 | ) | | | (0.43 | ) | | | (0.29 | ) |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 10.44 | | | $ | 10.55 | | | $ | 9.90 | |
| | | | | | | | | | | | |
Total investment return (5) | | | 4.29 | %(6) | | | 11.11 | % | | | 2.10 | %(6) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 220 | | | $ | 222 | | | $ | 198 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 6.37 | %(7) | | | 6.47 | % | | | 7.57 | %(7) |
Ratio of net expenses to average net assets (8) | | | 1.88 | %(7)(9) | | | 1.89 | %(9) | | | 1.90 | %(7) |
Ratio of net investment income to average net assets | | | 4.50 | %(7) | | | 3.44 | % | | | 5.79 | %(7) |
Portfolio turnover rate | | | 39.40 | %(6) | | | 55.66 | % | | | 83.26 | %(6) |
| (2) | | Fund commenced operations on October 21, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (4) | | Amount rounds to less than $.01 per share. |
| (5) | | 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. |
| (7) | | Annualized for periods less than one full year. |
| (8) | | 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. |
| (9) | | Net expenses reflect a voluntary expense reimbursement to prevent a negative yield. |
See accompanying Notes to the Financial Statements.
63
Barings Emerging Markets Debt Blended Total Return Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | |
| | | CLASS I | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
OCTOBER 21, 2015
THROUGH
JUNE 30, 2016 (2) | |
| | | |
| Per Common Share Data | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 10.55 | | | $ | 9.90 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.30 | | | | 0.45 | | | | 0.45 | |
Net realized and unrealized gain (loss) on investments | | | 0.19 | | | | 0.73 | | | | (0.19 | ) |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.49 | | | | 1.18 | | | | 0.26 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.30 | ) | | | (0.53 | ) | | | (0.36 | ) |
From net realized gain | | | (0.30 | ) | | | – | | | | (0.00 | )(4) |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.60 | ) | | | (0.53 | ) | | | (0.36 | ) |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 10.44 | | | $ | 10.55 | | | $ | 9.90 | |
| | | | | | | | | | | | |
Total investment return (5) | | | 4.81 | %(6) | | | 12.22 | % | | | 2.79 | %(6) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 5,013 | | | $ | 5,063 | | | $ | 4,753 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 2.55 | %(7) | | | 2.76 | % | | | 2.58 | %(7) |
Ratio of net expenses to average net assets (8) | | | 0.89 | %(7)(9) | | | 0.90 | %(9) | | | 0.92 | %(7) |
Ratio of net investment income to average net assets | | | 5.49 | %(7) | | | 4.42 | % | | | 6.77 | %(7) |
Portfolio turnover rate | | | 39.40 | %(6) | | | 55.66 | % | | | 83.26 | %(6) |
| (2) | | Fund commenced operations on October 21, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (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. |
| (7) | | Annualized for periods less than one full year. |
| (8) | | 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. |
| (9) | | Net expenses reflect a voluntary expense reimbursement to prevent a negative yield. |
See accompanying Notes to the Financial Statements.
64
Barings Emerging Markets Debt Blended Total Return Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | |
| | | CLASS Y | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
OCTOBER 21, 2015
THROUGH
JUNE 30, 2016 (2) | |
| | | |
| Per Common Share Data | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 10.55 | | | $ | 9.90 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.30 | | | | 0.45 | | | | 0.45 | |
Net realized and unrealized gain (loss) on investments | | | 0.19 | | | | 0.73 | | | | (0.19 | ) |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.49 | | | | 1.18 | | | | 0.26 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.30 | ) | | | (0.53 | ) | | | (0.36 | ) |
From net realized gain | | | (0.30 | ) | | | – | | | | (0.00 | )(4) |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.60 | ) | | | (0.53 | ) | | | (0.36 | ) |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 10.44 | | | $ | 10.55 | | | $ | 9.90 | |
| | | | | | | | | | | | |
Total investment return (5) | | | 4.81 | %(6) | | | 12.22 | % | | | 2.79 | %(6) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 5,249 | | | $ | 5,340 | | | $ | 4,754 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 2.54 | %(7) | | | 2.77 | % | | | 2.58 | %(7) |
Ratio of net expenses to average net assets (8) | | | 0.89 | %(7)(9) | | | 0.90 | %(9) | | | 0.92 | %(7) |
Ratio of net investment income to average net assets | | | 5.49 | %(7) | | | 4.43 | % | | | 6.77 | %(7) |
Portfolio turnover rate | | | 39.40 | %(6) | | | 55.66 | % | | | 83.26 | %(6) |
| (2) | | Fund commenced operations on October 21, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (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. |
| (7) | | Annualized for periods less than one full year. |
| (8) | | 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. |
| (9) | | Net expenses reflect a voluntary expense reimbursement to prevent a negative yield. |
See accompanying Notes to the Financial Statements.
65
Barings Emerging Markets Local Currency Debt Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | |
| | | CLASS A | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
DECEMBER 8, 2015
THROUGH
JUNE 30, 2016 (2) | |
| | | |
| Per Common Share Data | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 10.68 | | | $ | 10.92 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.27 | | | | 0.25 | | | | 0.50 | |
Net realized and unrealized gain on investments | | | 0.19 | | | | 0.67 | | | | 0.73 | |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.46 | | | | 0.92 | | | | 1.23 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.27 | ) | | | (0.98 | ) | | | (0.31 | ) |
From net realized gain | | | (0.08 | ) | | | (0.18 | ) | | | – | |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.35 | ) | | | (1.16 | ) | | | (0.31 | ) |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 10.79 | | | $ | 10.68 | | | $ | 10.92 | |
| | | | | | | | | | | | |
Total investment return (4) | | | 4.38 | %(5) | | | 9.57 | % | | | 12.58 | %(5) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 333 | | | $ | 107 | | | $ | 109 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 4.96 | %(6) | | | 8.41 | % | | | 8.55 | %(6) |
Ratio of net expenses to average net assets (7) | | | 1.02 | %(6)(8) | | | 1.06 | %(8) | | | 1.08 | %(6) |
Ratio of net investment income to average net assets | | | 4.95 | %(6) | | | 2.41 | % | | | 8.82 | %(6) |
Portfolio turnover rate | | | 19.94 | %(5) | | | 67.23 | % | | | 37.68 | %(5) |
| (2) | | Fund commenced operations on December 8, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (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. |
| (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 1.20% as a percentage of average daily net assets. |
| (8) | | Net expenses reflect a voluntary expense reimbursement to prevent a negative yield. |
See accompanying Notes to the Financial Statements.
66
Barings Emerging Markets Local Currency Debt Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | |
| | | CLASS C | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
DECEMBER 8, 2015
THROUGH
JUNE 30, 2016 (2) | |
| | | |
| Per Common Share Data | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 10.68 | | | $ | 10.92 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.25 | | | | 0.18 | | | | 0.46 | |
Net realized and unrealized gain on investments | | | 0.17 | | | | 0.66 | | | | 0.73 | |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.42 | | | | 0.84 | | | | 1.19 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.23 | ) | | | (0.90 | ) | | | (0.27 | ) |
From net realized gain | | | (0.08 | ) | | | (0.18 | ) | | | – | |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.31 | ) | | | (1.08 | ) | | | (0.27 | ) |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 10.79 | | | $ | 10.68 | | | $ | 10.92 | |
| | | | | | | | | | | | |
Total investment return (4) | | | 3.99 | %(5) | | | 8.77 | % | | | 12.13 | %(5) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 108 | | | $ | 107 | | | $ | 109 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 8.36 | %(6) | | | 9.17 | % | | | 9.30 | %(6) |
Ratio of net expenses to average net assets (7) | | | 1.66 | %(6)(8) | | | 1.80 | %(8) | | | 1.81 | %(6) |
Ratio of net investment income to average net assets | | | 4.47 | %(6) | | | 1.67 | % | | | 8.09 | %(6) |
Portfolio turnover rate | | | 19.94 | %(5) | | | 67.23 | % | | | 37.68 | %(5) |
| (2) | | Fund commenced operations on December 8, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (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. |
| (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 1.95% as a percentage of average daily net assets. |
| (8) | | Net expenses reflect a voluntary expense reimbursement to prevent a negative yield. |
See accompanying Notes to the Financial Statements.
67
Barings Emerging Markets Local Currency Debt Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | |
| | | CLASS I | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
DECEMBER 8, 2015
THROUGH
JUNE 30, 2016 (2) | |
| | | |
| Per Common Share Data | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 10.68 | | | $ | 10.92 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.30 | | | | 0.28 | | | | 0.52 | |
Net realized and unrealized gain on investments | | | 0.18 | | | | 0.67 | | | | 0.73 | |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.48 | | | | 0.95 | | | | 1.25 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.29 | ) | | | (1.01 | ) | | | (0.33 | ) |
From net realized gain | | | (0.08 | ) | | | (0.18 | ) | | | – | |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.37 | ) | | | (1.19 | ) | | | (0.33 | ) |
| | | | | | | | | | | | |
Redemption fees | | | 0.00 | | | | 0.00 | | | | 0.00 | |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 10.79 | | | $ | 10.68 | | | $ | 10.92 | |
| | | | | | | | | | | | |
Total investment return (4) | | | 4.49 | %(5) | | | 9.84 | % | | | 12.73 | %(5) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 7,639 | | | $ | 2,564 | | | $ | 2,621 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 2.91 | %(6) | | | 4.32 | % | | | 4.03 | %(6) |
Ratio of net expenses to average net assets (7) | | | 0.67 | %(6)(8) | | | 0.81 | %(8) | | | 0.84 | %(6) |
Ratio of net investment income to average net assets | | | 5.40 | %(6) | | | 2.65 | % | | | 9.07 | %(6) |
Portfolio turnover rate | | | 19.94 | %(5) | | | 67.23 | % | | | 37.68 | %(5) |
| (2) | | Fund commenced operations on December 8, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (4) | | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
| (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 0.95% as a percentage of average daily net assets. |
| (8) | | Net expenses reflect a voluntary expense reimbursement to prevent a negative yield. |
See accompanying Notes to the Financial Statements.
68
Barings Emerging Markets Local Currency Debt Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | |
| | | CLASS Y | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
DECEMBER 8, 2015
THROUGH
JUNE 30, 2016 (2) | |
| | | |
| Per Common Share Data | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 10.68 | | | $ | 10.92 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.28 | | | | 0.28 | | | | 0.52 | |
Net realized and unrealized gain on investments | | | 0.20 | | | | 0.67 | | | | 0.73 | |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.48 | | | | 0.95 | | | | 1.25 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.29 | ) | | | (1.01 | ) | | | (0.33 | ) |
From net realized gain | | | (0.08 | ) | | | (0.18 | ) | | | – | |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.37 | ) | | | (1.19 | ) | | | (0.33 | ) |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 10.79 | | | $ | 10.68 | | | $ | 10.92 | |
| | | | | | | | | | | | |
Total investment return (4) | | | 4.50 | %(5) | | | 9.84 | % | | | 12.73 | %(5) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 11,986 | | | $ | 2,564 | | | $ | 2,621 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 2.67 | %(6) | | | 4.32 | % | | | 4.03 | %(6) |
Ratio of net expenses to average net assets (7) | | | 0.77 | %(6)(8) | | | 0.81 | %(8) | | | 0.84 | %(6) |
Ratio of net investment income to average net assets | | | 5.14 | %(6) | | | 2.65 | % | | | 9.07 | %(6) |
Portfolio turnover rate | | | 19.94 | %(5) | | | 67.23 | % | | | 37.68 | %(5) |
| (2) | | Fund commenced operations on December 8, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (4) | | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
| (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 0.95% as a percentage of average daily net assets. |
| (8) | | Net expenses reflect a voluntary expense reimbursement to prevent a negative yield. |
See accompanying Notes to the Financial Statements.
69
Barings Global High Yield Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | |
| | | CLASS A | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
OCTOBER 30, 2015
THROUGH
JUNE 30, 2016 (2) | |
| | | |
| Per Common Share Data | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 10.44 | | | $ | 10.05 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.30 | | | | 0.64 | | | | 0.38 | |
Net realized and unrealized gain (loss) on investments | | | (0.10 | ) | | | 0.77 | | | | 0.05 | |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.20 | | | | 1.41 | | | | 0.43 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.30 | ) | | | (0.64 | ) | | | (0.38 | ) |
From net realized gain | | | (0.25 | ) | | | (0.38 | ) | | | – | |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.55 | ) | | | (1.02 | ) | | | (0.38 | ) |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 10.09 | | | $ | 10.44 | | | $ | 10.05 | |
| | | | | | | | | | | | |
Total investment return (4) | | | 1.93 | %(5) | | | 14.61 | % | | | 4.45 | %(5) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 108 | | | $ | 111 | | | $ | 101 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 6.48 | %(6) | | | 6.27 | % | | | 7.14 | %(6) |
Ratio of net expenses to average net assets (7) | | | 1.05 | %(6) | | | 1.05 | % | | | 1.04 | %(6) |
Ratio of net investment income to average net assets | | | 5.80 | %(6) | | | 6.20 | % | | | 5.83 | %(6) |
Portfolio turnover rate | | | 32.79 | %(5) | | | 87.34 | % | | | 83.24 | %(5) |
| (2) | | Fund commenced operations on October 30, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (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. |
| (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 1.05% as a percentage of average daily net assets. |
See accompanying Notes to the Financial Statements.
70
Barings Global High Yield Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | |
| | | CLASS C | |
| | | FOR THE SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
OCTOBER 30, 2015
THROUGH JUNE 30, 2016 (2) | |
| | | |
| Per Common Share Data | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 10.44 | | | $ | 10.05 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.27 | | | | 0.56 | | | | 0.33 | |
Net realized and unrealized gain (loss) on investments | | | (0.10 | ) | | | 0.77 | | | | 0.05 | |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.17 | | | | 1.33 | | | | 0.38 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.27 | ) | | | (0.56 | ) | | | (0.33 | ) |
From net realized gain | | | (0.25 | ) | | | (0.38 | ) | | | – | |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.52 | ) | | | (0.94 | ) | | | (0.33 | ) |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 10.09 | | | $ | 10.44 | | | $ | 10.05 | |
| | | | | | | | | | | | |
Total investment return (4) | | | 1.55 | %(5) | | | 13.75 | % | | | 3.94 | %(5) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 243 | | | $ | 247 | | | $ | 101 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 4.59 | %(6) | | | 4.94 | % | | | 7.89 | %(6) |
Ratio of net expenses to average net assets (7) | | | 1.80 | %(6) | | | 1.80 | % | | | 1.78 | %(6) |
Ratio of net investment income to average net assets | | | 5.05 | %(6) | | | 5.40 | % | | | 5.09 | %(6) |
Portfolio turnover rate | | | 32.79 | %(5) | | | 87.34 | % | | | 83.24 | %(5) |
| (2) | | Fund commenced operations on October 30, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (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. |
| (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 1.80% as a percentage of average daily net assets. |
See accompanying Notes to the Financial Statements.
71
Barings Global High Yield Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | |
| | | CLASS I | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
OCTOBER 30, 2015
THROUGH
JUNE 30, 2016 (2) | |
| | | |
| Per Common Share Data | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 10.44 | | | $ | 10.05 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.32 | | | | 0.67 | | | | 0.39 | |
Net realized and unrealized gain (loss) on investments | | | (0.10 | ) | | | 0.77 | | | | 0.05 | |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.22 | | | | 1.44 | | | | 0.44 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.32 | ) | | | (0.67 | ) | | | (0.39 | ) |
From net realized gain | | | (0.25 | ) | | | (0.38 | ) | | | – | |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.57 | ) | | | (1.05 | ) | | | (0.39 | ) |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 10.09 | | | $ | 10.44 | | | $ | 10.05 | |
| | | | | | | | | | | | |
Total investment return (4) | | | 2.06 | %(5) | | | 14.90 | % | | | 4.62 | %(5) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 12,513 | | | $ | 12,947 | | | $ | 12,466 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 1.43 | %(6) | | | 1.53 | % | | | 1.51 | %(6) |
Ratio of net expenses to average net assets (7) | | | 0.80 | %(6) | | | 0.80 | % | | | 0.79 | %(6) |
Ratio of net investment income to average net assets | | | 6.05 | %(6) | | | 6.46 | % | | | 6.08 | %(6) |
Portfolio turnover rate | | | 32.79 | %(5) | | | 87.34 | % | | | 83.24 | %(5) |
| (2) | | Fund commenced operations on October 30, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (4) | | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
| (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 .80% as a percentage of average daily net assets. |
See accompanying Notes to the Financial Statements.
72
Barings Global High Yield Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | |
| | | CLASS Y | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
OCTOBER 30, 2015
THROUGH
JUNE 30, 2016 (2) | |
| | | |
| Per Common Share Data | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 10.44 | | | $ | 10.05 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.32 | | | | 0.67 | | | | 0.39 | |
Net realized and unrealized gain (loss) on investments | | | (0.10 | ) | | | 0.77 | | | | 0.05 | |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.22 | | | | 1.44 | | | | 0.44 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.32 | ) | | | (0.67 | ) | | | (0.39 | ) |
From net realized gain | | | (0.25 | ) | | | (0.38 | ) | | | – | |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.57 | ) | | | (1.05 | ) | | | (0.39 | ) |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 10.09 | | | $ | 10.44 | | | $ | 10.05 | |
| | | | | | | | | | | | |
Total investment return (4) | | | 2.06 | %(5) | | | 14.90 | % | | | 4.62 | %(5) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 13,634 | | | $ | 14,535 | | | $ | 12,604 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 1.43 | %(6) | | | 1.53 | % | | | 1.51 | %(6) |
Ratio of net expenses to average net assets (7) | | | 0.80 | %(6) | | | 0.80 | % | | | 0.79 | %(6) |
Ratio of net investment income to average net assets | | | 6.05 | %(6) | | | 6.45 | % | | | 6.08 | %(6) |
Portfolio turnover rate | | | 32.79 | %(5) | | | 87.34 | % | | | 83.24 | %(5) |
| (2) | | Fund commenced operations on October 30, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (4) | | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
| (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 .80% as a percentage of average daily net assets. |
See accompanying Notes to the Financial Statements.
73
Barings U.S. High Yield Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | |
| | | CLASS A | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
OCTOBER 30, 2015
THROUGH
JUNE 30, 2016 (2) | |
| | | |
| Per Common Share Data | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 10.59 | | | $ | 10.14 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.31 | | | | 0.65 | | | | 0.39 | |
Net realized and unrealized gain (loss) on investments | | | (0.14 | ) | | | 0.65 | | | | 0.13 | |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.17 | | | | 1.30 | | | | 0.52 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.32 | ) | | | (0.66 | ) | | | (0.38 | ) |
From net realized gain | | | (0.30 | ) | | | (0.19 | ) | | | – | |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.62 | ) | | | (0.85 | ) | | | (0.38 | ) |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 10.14 | | | $ | 10.59 | | | $ | 10.14 | |
| | | | | | | | | | | | |
Total investment return (4) | | | 1.54 | %(5) | | | 13.13 | % | | | 5.36 | %(5) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 2,404 | | | $ | 2,633 | | | $ | 206 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 1.68 | %(6) | | | 1.82 | % | | | 5.47 | %(6) |
Ratio of net expenses to average net assets (7) | | | 1.00 | %(6) | | | 1.00 | % | | | 0.99 | %(6) |
Ratio of net investment income to average net assets | | | 5.93 | %(6) | | | 6.21 | % | | | 5.93 | %(6) |
Portfolio turnover rate | | | 27.53 | %(5) | | | 71.57 | % | | | 77.52 | %(5) |
| (2) | | Fund commenced operations on October 30, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (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. |
| (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. |
See accompanying Notes to the Financial Statements.
74
Barings U.S. High Yield Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | |
| | | CLASS C | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
OCTOBER 30, 2015
THROUGH
JUNE 30, 2016 (2) | |
| | | |
| Per Common Share Data | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 10.59 | | | $ | 10.14 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.27 | | | | 0.58 | | | | 0.33 | |
Net realized and unrealized gain (loss) on investments | | | (0.15 | ) | | | 0.64 | | | | 0.14 | |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.12 | | | | 1.22 | | | | 0.47 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.27 | ) | | | (0.58 | ) | | | (0.33 | ) |
From net realized gain | | | (0.30 | ) | | | (0.19 | ) | | | – | |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.57 | ) | | | (0.77 | ) | | | (0.33 | ) |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 10.14 | | | $ | 10.59 | | | $ | 10.14 | |
| | | | | | | | | | | | |
Total investment return (4) | | | 1.20 | %(5) | | | 12.24 | % | | | 4.85 | %(5) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 114 | | | $ | 118 | | | $ | 101 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 6.35 | %(6) | | | 6.18 | % | | | 7.30 | %(6) |
Ratio of net expenses to average net assets (7) | | | 1.75 | %(6) | | | 1.75 | % | | | 1.73 | %(6) |
Ratio of net investment income to average net assets | | | 5.18 | %(6) | | | 5.50 | % | | | 5.08 | %(6) |
Portfolio turnover rate | | | 27.53 | %(5) | | | 71.57 | % | | | 77.52 | %(5) |
| (2) | | Fund commenced operations on October 30, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (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. |
| (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. |
See accompanying Notes to the Financial Statements.
75
Barings U.S. High Yield Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | |
| | | CLASS I | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
OCTOBER 30, 2015
THROUGH
JUNE 30, 2016 (2) | |
| | | |
| Per Common Share Data | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 10.59 | | | $ | 10.14 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.33 | | | | 0.68 | | | | 0.40 | |
Net realized and unrealized gain (loss) on investments | | | (0.15 | ) | | | 0.64 | | | | 0.13 | |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.18 | | | | 1.32 | | | | 0.53 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.33 | ) | | | (0.68 | ) | | | (0.39 | ) |
From net realized gain | | | (0.30 | ) | | | (0.19 | ) | | | – | |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.63 | ) | | | (0.87 | ) | | | (0.39 | ) |
| | | | �� | | | | | | | | |
Net asset value, at end of period | | $ | 10.14 | | | $ | 10.59 | | | $ | 10.14 | |
| | | | | | | | | | | | |
Total investment return (4) | | | 1.71 | %(5) | | | 13.36 | % | | | 5.53 | %(5) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 15,208 | | | $ | 15,720 | | | $ | 14,863 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 1.27 | %(6) | | | 1.36 | % | | | 1.38 | %(6) |
Ratio of net expenses to average net assets (7) | | | 0.75 | %(6) | | | 0.75 | % | | | 0.74 | %(6) |
Ratio of net investment income to average net assets | | | 6.18 | %(6) | | | 6.50 | % | | | 6.11 | %(6) |
Portfolio turnover rate | | | 27.53 | %(5) | | | 71.57 | % | | | 77.52 | %(5) |
| (2) | | Fund commenced operations on October 30, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (4) | | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
| (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.
76
Barings U.S. High Yield Fund 2017 Semi-Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
| | | | | | | | | | | | |
| | | CLASS Y | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 (1) | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | | | PERIOD FROM
OCTOBER 30, 2015
THROUGH
JUNE 30, 2016 (2) | |
| | | |
| Per Common Share Data | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 10.58 | | | $ | 10.14 | | | $ | 10.00 | |
Income from investment operations: | | | | | | | | | | | | |
Net investment income (3) | | | 0.33 | | | | 0.68 | | | | 0.39 | |
Net realized and unrealized gain (loss) on investments | | | (0.14 | ) | | | 0.63 | | | | 0.14 | |
| | | | | | | | | | | | |
Total increase from investment operations | | | 0.19 | | | | 1.31 | | | | 0.53 | |
| | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | |
From net investment income | | | (0.33 | ) | | | (0.68 | ) | | | (0.39 | ) |
From net realized gain | | | (0.30 | ) | | | (0.19 | ) | | | – | |
| | | | | | | | | | | | |
Total dividends and distributions | | | (0.63 | ) | | | (0.87 | ) | | | (0.39 | ) |
| | | | | | | | | | | | |
Net asset value, at end of period | | $ | 10.14 | | | $ | 10.58 | | | $ | 10.14 | |
| | | | | | | | | | | | |
Total investment return (4) | | | 1.71 | %(5) | | | 13.35 | % | | | 5.52 | %(5) |
| | | | | | | | | | | | |
| | | |
| Supplemental Data and Ratios | | | | | | | | | | | | |
Net assets, end of period (000’s) | | $ | 15,088 | | | $ | 14,631 | | | $ | 12,675 | |
Ratio of total expenses (before reductions and reimbursements) to average net assets | | | 1.28 | %(6) | | | 1.36 | % | | | 1.42 | %(6) |
Ratio of net expenses to average net assets (7) | | | 0.75 | %(6) | | | 0.75 | % | | | 0.74 | %(6) |
Ratio of net investment income to average net assets | | | 6.18 | %(6) | | | 6.50 | % | | | 6.06 | %(6) |
Portfolio turnover rate | | | 27.53 | %(5) | | | 71.57 | % | | | 77.52 | %(5) |
| (2) | | Fund commenced operations on October 30, 2015. |
| (3) | | Calculated using average shares outstanding. |
| (4) | | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
| (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.
77
Barings Global Floating Rate Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | SHARES | | | COST | | | FAIR
VALUE | |
Equities — 0.2%*: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Common Stocks — 0.1%*: | | | | | | | | | | | | | | | | | | | | |
|
Healthcare, Education and Childcare — 0.0%*: | |
Tunstall Group Holdings Ltd.+¤ | | | | | | | | | | | 469 | | | | $— | | | | $— | |
Tunstall Group Holdings Ltd.+¤ | | | | | | | | | | | 310 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Healthcare, Education and Childcare | | | | | | | | | | | 779 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
|
Mining, Steel, Iron and Non-Precious Metals — 0.0%*: | |
Boomerang Tube LLC¤ | | | | | | | | | | | 2,007 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Oil and Gas — 0.1%*: | | | | | | | | | | | | | | | | | | | | |
Paragon Offshore Finance Co. | | | | | | | | | | | 993 | | | | 14,895 | | | | 18,122 | |
Paragon Offshore Finance Co. | | | | | | | | | | | 993 | | | | 496 | | | | 993 | |
Sabine Oil & Gas LLC¤ | | | | | | | | | | | 387 | | | | 22,597 | | | | 17,415 | |
Sabine Oil & Gas LLC¤ | | | | | | | | | | | 1,230 | | | | 5,523 | | | | 7,995 | |
Sabine Oil & Gas LLC¤ | | | | | | | | | | | 219 | | | | 596 | | | | 1,205 | |
Southcross Energy Holdings LP | | | | | | | | | | | 22 | | | | — | | | | — | |
Southcross Energy Partners LP | | | | | | | | | | | 22 | | | | 5,500 | | | | 7,425 | |
Templar Energy LLC¤ | | | | | | | | | | | 8,762 | | | | 50,647 | | | | 22,783 | |
Templar Energy LLC¤ | | | | | | | | | | | 5,602 | | | | 56,021 | | | | 51,819 | |
| | | | | | | | | | | | | | | | | | | | |
Total Oil and Gas | | | | | | | | | | | 18,230 | | | | 156,275 | | | | 127,757 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Common Stocks | | | | | | | | | | | 21,016 | | | | 156,275 | | | | 127,757 | |
| | | | | | | | | | | | | | | | | | | | |
Preferred Stock — 0.1%*: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Farming and Agriculture — 0.1%*: | | | | | | | | | | | | | | | | | | | | |
Pinnacle Agriculture Holdings A 2¤ | | | | | | | | | | | 259,648 | | | | 173,408 | | | | 236,280 | |
| | | | | | | | | | | | | | | | | | | | |
Total Equities | | | | | | | | | | | 280,664 | | | | 329,683 | | | | 364,037 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Fixed Income — 94.0%*: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Bank Loans — 85.6%*§: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Aerospace and Defense — 1.5%*: | | | | | | | | | | | | | | | | | | | | |
Doncasters Finance US LLC, 3M LIBOR + 3.500% | | | 5.19 | % | | | 4/9/2020 | | | | 1,671,044 | | | | 1,644,390 | | | | 1,614,947 | |
TransDigm, Inc., 1M LIBOR + 2.750%+ | | | 4.32 | | | | 5/13/2022 | | | | 1,496,250 | | | | 1,499,359 | | | | 1,499,841 | |
| | | | | | | | | | | | | | | | | | | | |
Total Aerospace and Defense | | | | | | | | | | | 3,167,294 | | | | 3,143,749 | | | | 3,114,788 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Automobile — 1.3%*: | | | | | | | | | | | | | | | | | | | | |
Dragon Merger Sub LLC, 3M LIBOR + 4.000% | | | 5.69 | | | | 7/24/2024 | | | | 309,848 | | | | 308,394 | | | | 312,367 | |
FPC Holdings, Inc., 3M LIBOR + 4.000% | | | 5.69 | | | | 11/19/2019 | | | | 471,742 | | | | 437,164 | | | | 469,266 | |
Gates Global LLC, 3M LIBOR + 3.000% | | | 4.69 | | | | 3/31/2024 | | | | 1,045,285 | | | | 1,048,141 | | | | 1,050,365 | |
NN, Inc., 1M LIBOR + 4.250% | | | 5.32 | | | | 10/19/2022 | | | | 842,102 | | | | 843,853 | | | | 846,843 | |
| | | | | | | | | | | | | | | | | | | | |
Total Automobile | | | | | | | | | | | 2,668,977 | | | | 2,637,552 | | | | 2,678,841 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
78
Barings Global Floating Rate Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Bank Loans (Continued) | | | | | | | | | | | | | | | | | | | | |
|
Beverage, Food and Tobacco — 2.8%*: | |
CTI Foods Holding Co. LLC, 1M LIBOR + 3.500% | | | 5.07 | % | | | 6/29/2020 | | | | 1,371,856 | | | | $1,365,557 | | | | $1,203,804 | |
Del Monte Foods, Inc., 3M LIBOR + 3.250% | | | 4.70 | | | | 2/18/2021 | | | | 229,792 | | | | 209,558 | | | | 182,522 | |
Deoleo S.A., EURIBOR + 3.500%+ | | | 4.50 | | | | 6/11/2021 | | | | 500,000 | | | | 677,963 | | | | 401,949 | |
JBS USA LLC, 3M LIBOR + 2.500% | | | 4.10 | | | | 10/30/2022 | | | | 1,943,354 | | | | 1,937,677 | | | | 1,907,887 | |
Labeyrie Fine Foods SAS, EURIBOR + 4.250%+ | | | 3.92 | | | | 5/23/2023 | | | | 500,000 | | | | 553,591 | | | | 603,422 | |
Refresco Group B.V.+ | | | 2.75 | | | | 9/30/2024 | | | | 500,000 | | | | 585,109 | | | | 599,283 | |
Refresco Group B.V.+ | | | 3.25 | | | | 1/31/2025 | | | | 500,000 | | | | 585,333 | | | | 596,925 | |
Refresco Group B.V.+ | | | 4.44 | | | | 9/26/2024 | | | | 159,042 | | | | 158,644 | | | | 159,042 | |
Refresco Group B.V.+ | | | 4.94 | | | | 1/31/2025 | | | | 159,042 | | | | 158,247 | | | | 158,446 | |
| | | | | | | | | | | | | | | | | | | | |
Total Beverage, Food and Tobacco | | | | | | | | | | | 5,863,086 | | | | 6,231,679 | | | | 5,813,280 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Broadcasting and Entertainment — 3.3%*: | | | | | | | | | | | | | | | | | | | | |
All3Media International, 6M LIBOR + 4.250%+ | | | 5.25 | | | | 6/30/2021 | | | | 1,500,000 | | | | 2,304,350 | | | | 2,020,588 | |
All3Media International, EURIBOR + 7.250%+ | | | 8.25 | | | | 6/30/2022 | | | | 500,000 | | | | 673,052 | | | | 601,053 | |
AP NMT Acquisition B.V., EURIBOR + 6.000%+ | | | 7.00 | | | | 8/13/2021 | | | | 526,788 | | | | 640,495 | | | | 621,270 | |
AP NMT Acquisition B.V., 3M LIBOR + 5.750%+ | | | 7.09 | | | | 8/13/2021 | | | | 1,093,369 | | | | 1,043,278 | | | | 1,084,623 | |
AP NMT Acquisition B.V., 3M LIBOR + 9.000%+ | | | 10.34 | | | | 8/13/2022 | | | | 182,721 | | | | 160,406 | | | | 177,330 | |
Intelsat Jackson Holdings S.A., 3M LIBOR + 2.750% | | | 4.21 | | | | 6/30/2019 | | | | 547,478 | | | | 546,874 | | | | 545,682 | |
Intelsat Jackson Holdings S.A., 3M LIBOR + 3.750% | | | 5.21 | | | | 11/9/2023 | | | | 750,000 | | | | 747,579 | | | | 733,657 | |
Technicolor S.A., EURIBOR + 3.000%+ | | | 3.00 | | | | 12/31/2023 | | | | 500,000 | | | | 538,456 | | | | 599,925 | |
Univision Communications, Inc. | | | 4.32 | | | | 3/15/2024 | | | | 498,648 | | | | 496,218 | | | | 496,709 | |
| | | | | | | | | | | | | | | | | | | | |
Total Broadcasting and Entertainment | | | | | | | | | | | 6,099,004 | | | | 7,150,708 | | | | 6,880,837 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Buildings and Real Estate — 2.0%*: | | | | | | | | | | | | | | | | | | | | |
Capital Automotive L.P., 3M LIBOR + 6.000% | | | 7.57 | | | | 3/24/2025 | | | | 298,553 | | | | 295,852 | | | | 306,017 | |
Core & Main L.P., 6M LIBOR + 3.000% | | | 4.46 | | | | 8/1/2024 | | | | 1,500,000 | | | | 1,512,147 | | | | 1,510,320 | |
PowerTeam Services LLC, 3M LIBOR + 7.250% | | | 8.94 | | | | 11/6/2020 | | | | 500,000 | | | | 497,942 | | | | 500,000 | |
Quikrete Holdings, Inc., 1M LIBOR + 2.750% | | | 4.32 | | | | 11/15/2023 | | | | 1,451,381 | | | | 1,451,523 | | | | 1,453,195 | |
VICI Properties, Inc., 3M LIBOR + 2.250% | | | 3.78 | | | | 12/20/2024 | | | | 332,679 | | | | 331,848 | | | | 332,679 | |
| | | | | | | | | | | | | | | | | | | | |
Total Buildings and Real Estate | | | | | | | | | | | 4,082,613 | | | | 4,089,312 | | | | 4,102,211 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Cargo Transport — 0.2%*: | | | | | | | | | | | | | | | | | | | | |
Kenan Advantage Group, Inc., 1M LIBOR + 3.000% | | | 4.57 | | | | 7/31/2022 | | | | 452,234 | | | | 454,332 | | | | 453,175 | |
| | | | | | | | | | | | | | | | | | | | |
Total Cargo Transport | | | | | | | | | | | 452,234 | | | | 454,332 | | | | 453,175 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
79
Barings Global Floating Rate Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Bank Loans (Continued) | |
|
Chemicals, Plastics and Rubber — 6.2%*: | |
Albaugh LLC | | | 5.19 | % | | | 12/4/2024 | | | | 701,731 | | | | $706,227 | | | | $707,436 | |
Allnex (Luxembourg) & Cy S.C.A., EURIBOR + 3.250%+ | | | 3.25 | | | | 9/13/2023 | | | | 691,250 | | | | 782,207 | | | | 829,653 | |
Allnex (Luxembourg) & Cy S.C.A., 3M LIBOR + 3.250% | | | 4.71 | | | | 9/13/2023 | | | | 422,396 | | | | 420,667 | | | | 424,774 | |
Allnex USA, Inc., 3M LIBOR + 3.250% | | | 4.71 | | | | 9/13/2023 | | | | 318,229 | | | | 316,926 | | | | 320,021 | |
Alpha 3 B.V., 3M LIBOR + 3.000% | | | 4.69 | | | | 1/31/2024 | | | | 1,584,754 | | | | 1,595,179 | | | | 1,593,344 | |
Associated Asphalt Partners LLC, 1M LIBOR + 5.250% | | | 6.82 | | | | 4/5/2024 | | | | 292,444 | | | | 291,134 | | | | 263,930 | |
Colouroz Investment 1 GmbH+ | | | 3.75 | | | | 9/7/2021 | | | | 331,380 | | | | 390,221 | | | | 348,733 | |
Diversey+ | | | Zero Coupon | | | | 9/6/2024 | | | | 500,000 | | | | 590,875 | | | | 598,803 | |
Flint Group GmbH+ | | | 3.75 | | | | 9/7/2021 | | | | 265,560 | | | | 312,713 | | | | 279,465 | |
Flint Group GmbH, 3M LIBOR + 3.000%+ | | | 4.36 | | | | 9/7/2021 | | | | 88,731 | | | | 88,258 | | | | 77,141 | |
Flint Group US LLC, 3M LIBOR + 3.000%+ | | | 4.36 | | | | 9/7/2021 | | | | 536,750 | | | | 533,890 | | | | 466,640 | |
KMG Chemicals, Inc., 1M LIBOR + 4.250% | | | 4.32 | | | | 6/15/2024 | | | | 125,180 | | | | 124,600 | | | | 125,389 | |
MacDermid, Inc., EURIBOR + 2.500% | | | 3.25 | | | | 6/7/2020 | | | | 412,929 | | | | 485,610 | �� | | | 497,127 | |
MacDermid, Inc., 1M LIBOR + 2.500% | | | 4.07 | | | | 6/5/2020 | | | | 1,253,335 | | | | 1,256,419 | | | | 1,260,642 | |
Methanol Holdings (Trinidad) Ltd., 1M LIBOR + 3.500% | | | 5.07 | | | | 6/30/2022 | | | | 1,107,074 | | | | 1,099,945 | | | | 1,107,074 | |
Novacap S.A., EURIBOR + 3.500%+ | | | 3.50 | | | | 6/22/2023 | | | | 500,000 | | | | 558,652 | | | | 599,553 | |
Pinnacle Operating Corp., 1M LIBOR + 7.250% | | | 8.82 | | | | 11/15/2021 | | | | 709,684 | | | | 664,344 | | | | 665,328 | |
Tronox Blocked Borrower LLC, 3M LIBOR + 3.000% | | | 4.69 | | | | 9/22/2024 | | | | 482,838 | | | | 480,501 | | | | 485,595 | |
Tronox Finance LLC, 3M LIBOR + 3.000% | | | 4.69 | | | | 9/22/2024 | | | | 1,114,241 | | | | 1,108,847 | | | | 1,120,603 | |
Univar Inc. | | | 4.07 | | | | 7/1/2024 | | | | 994,994 | | | | 998,665 | | | | 998,188 | |
| | | | | | | | | | | | | | | | | | | | |
Total Chemicals, Plastics and Rubber | | | | | | | | | | | 12,433,500 | | | | 12,805,880 | | | | 12,769,439 | |
| | | | | | | | | | | | | | | | | | | | |
|
Containers, Packaging and Glass — 3.8%*: | |
BWAY Holding Co., 1M LIBOR + 3.250% | | | 4.60 | | | | 4/3/2024 | | | | 1,492,500 | | | | 1,485,731 | | | | 1,497,828 | |
Coveris Holdings S.A., EURIBOR + 4.000% | | | 5.00 | | | | 6/29/2022 | | | | 598,442 | | | | 697,661 | | | | 712,654 | |
Flex Acquisition Co., Inc., 3M LIBOR + 3.000% | | | 4.34 | | | | 12/29/2023 | | | | 1,591,940 | | | | 1,609,172 | | | | 1,598,913 | |
Horizon Holdings III S.A.S.+ | | | 2.75 | | | | 10/28/2022 | | | | 1,390,909 | | | | 1,662,310 | | | | 1,661,822 | |
ProAmpac PG Borrower LLC, 1M LIBOR + 4.000% | | | 4.95 | | | | 11/18/2023 | | | | 744,375 | | | | 747,542 | | | | 749,727 | |
ProAmpac PG Borrower LLC, 3M LIBOR + 8.500% | | | 9.94 | | | | 11/18/2024 | | | | 750,000 | | | | 740,308 | | | | 761,250 | |
W/S Packaging Group, Inc., 1M LIBOR + 5.000% | | | 6.57 | | | | 8/9/2019 | | | | 925,360 | | | | 860,305 | | | | 874,466 | |
| | | | | | | | | | | | | | | | | | | | |
Total Containers, Packaging and Glass | | | | | | | | | | | 7,493,526 | | | | 7,803,029 | | | | 7,856,660 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
80
Barings Global Floating Rate Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Bank Loans (Continued) | |
|
Diversified/Conglomerate Manufacturing — 3.3%*: | |
LTI Holdings, Inc., 1M LIBOR + 4.750% | | | 6.32 | % | | | 5/16/2024 | | | | 821,849 | | | | $814,180 | | | | $824,931 | |
Misys Europe S.A., EURIBOR + 3.250%+ | | | 4.25 | | | | 6/13/2024 | | | | 498,750 | | | | 540,620 | | | | 601,166 | |
MTS Systems Corp., 1M LIBOR + 3.250% | | | 4.69 | | | | 7/5/2023 | | | | 372,200 | | | | 374,764 | | | | 374,992 | |
PCF GmbH, EURIBOR + 3.250%+ | | | 4.00 | | | | 8/1/2024 | | | | 500,000 | | | | 524,768 | | | | 600,524 | |
Pelican Products, Inc., 3M LIBOR + 4.250% | | | 5.94 | | | | 4/11/2020 | | | | 957,889 | | | | 956,821 | | | | 961,481 | |
Project Alpha Intermediate Holding, Inc., 3M LIBOR + 3.500% | | | 5.04 | | | | 4/26/2024 | | | | 592,127 | | | | 589,442 | | | | 578,555 | |
Triple Point Technology, Inc., 3M LIBOR + 4.250% | | | 5.94 | | | | 7/10/2020 | | | | 1,616,914 | | | | 1,548,437 | | | | 1,469,371 | |
Triple Point Technology, Inc., 3M LIBOR + 8.250%†† | | | 9.94 | | | | 7/10/2021 | | | | 258,851 | | | | 238,405 | | | | 209,022 | |
Wilsonart LLC, 3M LIBOR + 3.250% | | | 4.95 | | | | 12/19/2023 | | | | 609,463 | | | | 610,076 | | | | 612,662 | |
Xella International GmbH+ | | | 4.00 | | | | 1/31/2024 | | | | 500,000 | | | | 588,325 | | | | 599,673 | |
| | | | | | | | | | | | | | | | | | | | |
Total Diversified/Conglomerate Manufacturing | | | | | | | | | | | 6,728,043 | | | | 6,785,838 | | | | 6,832,377 | |
| | | | | | | | | | | | | | | | | | | | |
|
Diversified/Conglomerate Service — 10.7%*: | |
Advantage Sales & Marketing, Inc., 1M LIBOR + 3.250% | | | 4.63 | | | | 7/23/2021 | | | | 758,580 | | | | 747,612 | | | | 738,432 | |
Almonde, Inc., 3M LIBOR + 3.500%+ | | | 4.98 | | | | 6/13/2024 | | | | 558,519 | | | | 555,944 | | | | 559,876 | |
Almonde, Inc., 3M LIBOR + 7.250%+ | | | 8.73 | | | | 6/13/2025 | | | | 752,587 | | | | 766,676 | | | | 752,775 | |
Aramark Services, Inc., 1M LIBOR + 2.000% | | | 3.57 | | | | 3/11/2025 | | | | 404,273 | | | | 404,273 | | | | 406,169 | |
EAB (Avatar Purchaser) | | | 5.24 | | | | 9/6/2024 | | | | 757,099 | | | | 753,375 | | | | 760,885 | |
Evertec Group LLC | | | 3.96 | | | | 4/17/2020 | | | | 135,239 | | | | 130,512 | | | | 131,125 | |
Hyland Software, Inc., 1M LIBOR + 3.250% | | | 4.82 | | | | 7/1/2022 | | | | 994,988 | | | | 1,004,176 | | | | 1,000,589 | |
I-Logic Technologies Bidco Ltd. | | | 5.69 | | | | 12/5/2024 | | | | 1,512,013 | | | | 1,509,953 | | | | 1,504,453 | |
Infor (US), Inc., EURIBOR + 2.250% | | | 3.25 | | | | 2/1/2022 | | | | 497,500 | | | | 590,218 | | | | 597,486 | |
Infor (US), Inc., 3M LIBOR + 2.750% | | | 4.44 | | | | 2/1/2022 | | | | 1,488,750 | | | | 1,489,776 | | | | 1,493,410 | |
Kronos, Inc., 3M LIBOR + 3.500% | | | 4.90 | | | | 11/1/2023 | | | | 1,595,030 | | | | 1,598,977 | | | | 1,604,904 | |
MA FinanceCo., LLC, 1M LIBOR + 2.750% | | | 4.32 | | | | 6/21/2024 | | | | 246,297 | | | | 246,624 | | | | 246,297 | |
MH Sub I LLC, 3M LIBOR + 3.750% | | | 5.34 | | | | 9/13/2024 | | | | 573,526 | | | | 571,697 | | | | 574,816 | |
Northgate Information Solutions Ltd., EURIBOR + 5.500%+ | | | 6.50 | | | | 3/23/2022 | | | | 500,000 | | | | 527,833 | | | | 599,175 | |
Prime Security Services Borrower LLC, 1M LIBOR + 2.750% | | | 4.32 | | | | 5/2/2022 | | | | 1,491,104 | | | | 1,494,127 | | | | 1,501,050 | |
Project Leopard Holdings, Inc., 3M LIBOR + 5.500% | | | 7.19 | | | | 7/7/2023 | | | | 504,096 | | | | 507,323 | | | | 506,934 | |
Quest Software US Holdings Inc., 3M LIBOR + 5.500% | | | 6.92 | | | | 10/31/2022 | | | | 1,483,997 | | | | 1,488,808 | | | | 1,505,990 | |
Red Ventures LLC, 1M LIBOR + 4.000% | | | 4.25 | | | | 11/8/2024 | | | | 1,322,736 | | | | 1,322,668 | | | | 1,320,421 | |
Seattle Spinco, Inc., 1M LIBOR + 2.750% | | | 4.32 | | | | 6/21/2024 | | | | 1,663,300 | | | | 1,665,515 | | | | 1,663,300 | |
TierPoint LLC, 1M LIBOR + 3.750% | | | 5.32 | | | | 5/6/2024 | | | | 266,510 | | | | 265,298 | | | | 264,346 | |
Travelport Finance (Luxembourg) S.a.r.l., 3M LIBOR + 2.750% | | | 4.17 | | | | 9/2/2021 | | | | 1,662,636 | | | | 1,663,054 | | | | 1,661,572 | |
See accompanying Notes to the Financial Statements.
81
Barings Global Floating Rate Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Bank Loans (Continued) | |
|
Diversified/Conglomerate Service (Continued) | |
Verisure Holding AB, EURIBOR + 3.000%+ | | | 3.00 | % | | | 10/20/2022 | | | | 700,000 | | | | $762,424 | | | | $833,755 | |
VF Holding Corp., 1M LIBOR + 3.250% | | | 4.82 | | | | 6/30/2023 | | | | 1,728,744 | | | | 1,732,784 | | | | 1,740,776 | |
| | | | | | | | | | | | | | | | | | | | |
Total Diversified/Conglomerate Service | | | | | | | | | | | 21,597,524 | | | | 21,799,647 | | | | 21,968,536 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ecological — 0.8%*: | | | | | | | | | | | | | | | | | | | | |
Emerald 3 Ltd., 3M LIBOR + 7.000% | | | 8.69 | | | | 5/31/2022 | | | | 390,426 | | | | 388,241 | | | | 369,441 | |
Emerald US, Inc., 3M LIBOR + 4.000% | | | 5.33 | | | | 5/9/2021 | | | | 594,977 | | | | 559,450 | | | | 592,252 | |
PHS Group Ltd., 1M LIBOR + 5.250%+ | | | 6.25 | | | | 12/20/2021 | | | | 299,197 | | | | 369,964 | | | | 406,183 | |
Wrangler Buyer Corp. | | | 4.57 | | | | 9/27/2024 | | | | 267,791 | | | | 267,791 | | | | 269,320 | |
| | | | | | | | | | | | | | | | | | | | |
Total Ecological | | | | | | | | | | | 1,552,391 | | | | 1,585,446 | | | | 1,637,196 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Electronics — 4.4%*: | | | | | | | | | | | | | | | | | | | | |
First Data Corp., 1M LIBOR + 2.250% | | | 3.80 | | | | 7/8/2022 | | | | 1,526,007 | | | | 1,524,688 | | | | 1,526,846 | |
Informatica Corp., 3M LIBOR + 3.500% | | | 5.19 | | | | 8/5/2022 | | | | 1,640,552 | | | | 1,635,524 | | | | 1,644,948 | |
ION Trading Technologies S.a.r.l., EURIBOR + 2.750%+ | | | 3.75 | | | | 11/30/2024 | | | | 500,000 | | | | 587,627 | | | | 600,375 | |
Renaissance Learning, Inc., 3M LIBOR + 3.750% | | | 5.44 | | | | 4/9/2021 | | | | 1,740,448 | | | | 1,729,297 | | | | 1,749,150 | |
RP Crown Parent LLC, 1M LIBOR + 3.500% | | | 4.57 | | | | 10/12/2023 | | | | 1,760,231 | | | | 1,756,064 | | | | 1,766,832 | |
Wall Street Systems Delaware, Inc., EURIBOR + 3.000% | | | 4.00 | | | | 11/30/2024 | | | | 500,000 | | | | 587,627 | | | | 600,675 | |
Wall Street Systems Delaware, Inc., 1M LIBOR + 3.000% | | | 4.57 | | | | 11/30/2024 | | | | 1,162,777 | | | | 1,162,776 | | | | 1,163,939 | |
| | | | | | | | | | | | | | | | | | | | |
Total Electronics | | | | | | | | | | | 8,830,015 | | | | 8,983,603 | | | | 9,052,765 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Farming and Agriculture — 0.7%*: | | | | | | | | | | | | | | | | | | | | |
Dole Food Co. Inc., 1M LIBOR + 2.750% | | | 4.24 | | | | 4/6/2024 | | | | 1,467,510 | | | | 1,475,084 | | | | 1,470,166 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Finance — 5.4%*: | | | | | | | | | | | | | | | | | | | | |
Cunningham Lindsey US, Inc., 3M LIBOR + 3.750% | | | 5.44 | | | | 12/10/2019 | | | | 218,254 | | | | 218,316 | | | | 217,381 | |
Cunningham Lindsey US, Inc., 3M LIBOR + 8.000% | | | 9.69 | | | | 6/10/2020 | | | | 748,546 | | | | 749,300 | | | | 736,614 | |
Focus Financial Partners LLC, 3M LIBOR + 3.250% | | | 4.94 | | | | 7/3/2024 | | | | 1,795,500 | | | | 1,818,569 | | | | 1,811,211 | |
Moneygram International, Inc., 3M LIBOR + 3.250% | | | 4.94 | | | | 3/27/2020 | | | | 1,276,742 | | | | 1,233,746 | | | | 1,273,946 | |
NAB Holdings LLC, 1M LIBOR + 3.250% | | | 4.82 | | | | 6/30/2024 | | | | 997,494 | | | | 1,007,171 | | | | 999,369 | |
Nets Holding A/S+ | | | 3.25 | | | | 11/30/2024 | | | | 500,000 | | | | 592,675 | | | | 600,393 | |
NFP Corp., 1M LIBOR + 3.500% | | | 5.07 | | | | 1/8/2024 | | | | 1,536,207 | | | | 1,555,537 | | | | 1,542,736 | |
Tempo Acquisition LLC, 1M LIBOR + 3.000% | | | 4.57 | | | | 5/1/2024 | | | | 1,629,015 | | | | 1,628,503 | | | | 1,622,221 | |
Veritas Bermuda Ltd. | | | 5.50 | | | | 1/27/2023 | | | | 794,000 | | | | 885,231 | | | | 958,635 | |
Veritas Bermuda Ltd., 3M LIBOR + 4.500% | | | 6.19 | | | | 1/27/2023 | | | | 1,290,250 | | | | 1,285,659 | | | | 1,292,405 | |
| | | | | | | | | | | | | | | | | | | | |
Total Finance | | | | | | | | | | | 10,786,008 | | | | 10,974,707 | | | | 11,054,911 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
82
Barings Global Floating Rate Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Bank Loans (Continued) | |
| | | | | |
Healthcare, Education and Childcare — 10.3%*: | | | | | | | | | | | | | | | | | | | | |
Arbor Pharmaceuticals, Inc., 3M LIBOR + 5.000% | | | 6.69 | % | | | 7/5/2023 | | | | 1,566,312 | | | | $1,552,231 | | | | $1,578,059 | |
Cerba Healthcare S.A.S.+ | | | 3.00 | | | | 3/22/2024 | | | | 1,000,000 | | | | 1,172,532 | | | | 1,196,022 | |
Change Healthcare Holdings, Inc., 1M LIBOR + 2.750% | | | 4.32 | | | | 3/1/2024 | | | | 1,492,481 | | | | 1,498,992 | | | | 1,494,541 | |
Domus Vi SA, EURIBOR + 3.250%+ | | | 3.25 | | | | 10/31/2024 | | | | 500,000 | | | | 592,175 | | | | 600,458 | |
Endo Luxembourg Finance Co. I S.a r.l., 1M LIBOR + 4.250% | | | 5.88 | | | | 4/29/2024 | | | | 549,014 | | | | 546,529 | | | | 551,759 | |
Greatbatch Ltd., 1M LIBOR + 3.250% | | | 4.66 | | | | 10/27/2022 | | | | 1,277,979 | | | | 1,289,343 | | | | 1,286,964 | |
Horizon Pharma, Inc., 1M LIBOR + 3.250% | | | 4.75 | | | | 3/29/2024 | | | | 1,000,000 | | | | 1,006,155 | | | | 1,003,440 | |
Indivior Finance S.a.r.l., 3M LIBOR + 4.500% | | | 6.11 | | | | 12/31/2022 | | | | 500,000 | | | | 497,503 | | | | 501,250 | |
Jaguar Holding Co. II, 3M LIBOR + 2.750% | | | 4.38 | | | | 8/18/2022 | | | | 1,498,879 | | | | 1,500,168 | | | | 1,500,243 | |
Kindred Healthcare, Inc., 3M LIBOR + 3.500% | | | 4.88 | | | | 4/9/2021 | | | | 1,664,629 | | | | 1,631,136 | | | | 1,668,790 | |
Mallinckrodt International Finance S.A., 3M LIBOR + 2.750% | | | 4.44 | | | | 9/24/2024 | | | | 1,246,859 | | | | 1,246,859 | | | | 1,243,967 | |
Ortho-Clinical Diagnostics S.A., 3M LIBOR + 3.750% | | | 5.44 | | | | 6/30/2021 | | | | 1,994,667 | | | | 1,987,405 | | | | 1,997,719 | |
Press Ganey Holdings, Inc., 1M LIBOR + 3.000% | | | 4.57 | | | | 12/31/2022 | | | | 1,237,500 | | | | 1,241,992 | | | | 1,244,467 | |
Press Ganey Holdings, Inc., 1M LIBOR + 7.250% | | | 8.07 | | | | 10/21/2024 | | | | 552,969 | | | | 559,492 | | | | 558,498 | |
Riemser Pharma GmbH, EURIBOR + 5.500%+ | | | 5.50 | | | | 6/29/2023 | | | | 500,000 | | | | 541,254 | | | | 582,827 | |
Rodenstock GmbH, EURIBOR + 4.500%+ | | | 4.13 | | | | 5/30/2019 | | | | 1,500,000 | | | | 1,771,592 | | | | 1,748,030 | |
Team Health Holdings, Inc. | | | 4.32 | | | | 2/6/2024 | | | | 997,487 | | | | 972,550 | | | | 970,685 | |
Tunstall Group Holdings Ltd., PIK + 5.000%+ | | | 8.49 | | | | 10/16/2020 | | | | 508,189 | | | | 806,694 | | | | 697,068 | |
Valeant Pharmaceuticals International, Inc., 1M LIBOR + 4.750% | | | 4.94 | | | | 4/1/2022 | | | | 812,508 | | | | 799,919 | | | | 823,493 | |
| | | | | | | | | | | | | | | | | | | | |
Total Healthcare, Education and Childcare | | | | | | | | | | | 20,399,473 | | | | 21,214,521 | | | | 21,248,280 | |
| | | | | | | | | | | | | | | | | | | | |
|
Home and Office Furnishings, Housewares, and Durable Consumer Products — 2.2%*: | |
Hayward Industries, Inc. | | | 5.07 | | | | 8/2/2024 | | | | 997,500 | | | | 1,004,752 | | | | 998,747 | |
Keter Group B.V., EURIBOR + 4.250%+ | | | 5.25 | | | | 10/31/2023 | | | | 500,000 | | | | 520,454 | | | | 601,599 | |
Serta Simmons Bedding LLC, 3M LIBOR + 3.500% | | | 4.85 | | | | 11/8/2023 | | | | 1,717,312 | | | | 1,710,035 | | | | 1,567,527 | |
Serta Simmons Bedding LLC, 1M LIBOR + 8.000% | | | 9.41 | | | | 11/8/2024 | | | | 474,667 | | | | 468,526 | | | | 403,467 | |
Visual Comfort Generation Brands Holdings, Inc., 1M LIBOR + 8.000% | | | 9.57 | | | | 2/28/2025 | | | | 933,333 | | | | 928,921 | | | | 939,166 | |
| | | | | | | | | | | | | | | | | | | | |
Total Home and Office Furnishings, Housewares, and Durable Consumer Products | | | | | | | | | | | 4,622,812 | | | | 4,632,688 | | | | 4,510,506 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
83
Barings Global Floating Rate Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Bank Loans (Continued) | |
|
Hotels, Motels, Inns and Gaming — 1.9%*: | |
Caesars Resort Collection LLC, 3M LIBOR + 2.750% | | | 4.34 | % | | | 12/22/2024 | | | | 1,000,000 | | | | $997,505 | | | | $1,003,930 | |
Cyan Blue Holdco 3 Ltd., LIBOR—GBP + 4.250%+ | | | 4.77 | | | | 7/31/2024 | | | | 500,000 | | | | 647,384 | | | | 678,559 | |
Financiere Sun S.A.S., EURIBOR + 3.250%+ | | | 3.25 | | | | 3/14/2023 | | | | 338,983 | | | | 404,760 | | | | 407,151 | |
HNVR Holdco Ltd., EURIBOR + 5.000%+ | | | 3.25 | | | | 9/12/2023 | | | | 492,449 | | | | 544,075 | | | | 587,355 | |
Tackle S.a.r.l., EURIBOR + 3.500%+ | | | 3.50 | | | | 8/8/2022 | | | | 1,000,000 | | | | 1,116,496 | | | | 1,197,414 | |
| | | | | | | | | | | | | | | | | | | | |
Total Hotels, Motels, Inns and Gaming | | | | | | | | | | | 3,331,432 | | | | 3,710,220 | | | | 3,874,409 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Insurance — 6.0%*: | | | | | | | | | | | | | | | | | | | | |
Alliant Holdings I, Inc., 3M LIBOR + 3.250% | | | 4.80 | | | | 8/12/2022 | | | | 1,815,746 | | | | 1,813,518 | | | | 1,822,646 | |
AmWINS Group, Inc., 1M LIBOR + 2.750% | | | 4.28 | | | | 1/25/2024 | | | | 1,488,722 | | | | 1,492,059 | | | | 1,492,860 | |
AssuredPartners, Inc., 1M LIBOR + 3.500% | | | 5.07 | | | | 10/22/2024 | | | | 1,804,817 | | | | 1,817,606 | | | | 1,814,979 | |
Asurion LLC, 1M LIBOR + 3.000% | | | 4.57 | | | | 11/3/2023 | | | | 1,610,991 | | | | 1,620,752 | | | | 1,618,047 | |
GENEX Holdings, Inc., 1M LIBOR + 4.250% | | | 5.82 | | | | 5/30/2021 | | | | 1,465,823 | | | | 1,462,491 | | | | 1,452,088 | |
Hub International Ltd., 3M LIBOR + 3.000% | | | 4.41 | | | | 10/2/2020 | | | | 1,774,887 | | | | 1,783,071 | | | | 1,782,182 | |
Sedgwick Claims Management Services, Inc., 1M LIBOR + 5.750% | | | 7.32 | | | | 2/28/2022 | | | | 561,418 | | | | 561,041 | | | | 563,524 | |
USI, Inc., 3M LIBOR + 3.000% | | | 4.69 | | | | 5/16/2024 | | | | 242,936 | | | | 242,287 | | | | 242,431 | |
York Risk Services Holding Corp., 1M LIBOR + 3.750% | | | 5.32 | | | | 10/1/2021 | | | | 1,658,790 | | | | 1,631,599 | | | | 1,621,052 | |
| | | | | | | | | | | | | | | | | | | | |
Total Insurance | | | | | | | | | | | 12,424,130 | | | | 12,424,424 | | | | 12,409,809 | |
| | | | | | | | | | | | | | | | | | | | |
| | | |
Leisure, Amusement, Entertainment — 1.8%*: | | | | | | | | | | | | | |
Delta 2 (LUX) S.a.r.l., 1M LIBOR + 3.000%+ | | | 4.57 | | | | 2/1/2024 | | | | 1,587,247 | | | | 1,583,733 | | | | 1,594,850 | |
Dorna Sports, S.L., EURIBOR + 3.000%+ | | | 3.00 | | | | 4/12/2024 | | | | 500,000 | | | | 540,275 | | | | 599,379 | |
SeaWorld Parks & Entertainment, Inc., 3M LIBOR + 3.000% | | | 4.69 | | | | 3/31/2024 | | | | 1,582,018 | | | | 1,572,352 | | | | 1,560,264 | |
| | | | | | | | | | | | | | | | | | | | |
Total Leisure, Amusement, Entertainment | | | | | | | | | | | 3,669,265 | | | | 3,696,360 | | | | 3,754,493 | |
| | | | | | | | | | | | | | | | | | | | |
| | | |
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 2.1%*: | | | | | | | | | | | | | |
Alison Bidco S.a.r.l., 1M LIBOR + 4.500%+ | | | 5.88 | | | | 8/29/2021 | | | | 287,596 | | | | 286,086 | | | | 274,655 | |
Apex Tool Group LLC, 1M LIBOR + 3.250% | | | 4.82 | | | | 1/31/2020 | | | | 1,187,002 | | | | 1,176,666 | | | | 1,182,800 | |
Gardner Denver, Inc., 3M LIBOR + 2.750% | | | 4.44 | | | | 7/30/2024 | | | | 1,370,493 | | | | 1,367,252 | | | | 1,374,289 | |
Husky Injection Molding Systems Ltd., 1M LIBOR + 3.250%+ | | | 4.82 | | | | 6/30/2021 | | | | 1,557,097 | | | | 1,555,989 | | | | 1,563,372 | |
| | | | | | | | | | | | | | | | | | | | |
Total Machinery Non-Agriculture, Non-Construction, Non-Electronic | | | | | | | | | | | 4,402,188 | | | | 4,385,993 | | | | 4,395,116 | |
| | | | | | | | | | | | | | | | | | | | |
| | | |
Mining, Steel, Iron and Non-Precious Metals — 2.9%*: | | | | | | | | | | | | | |
Big River Steel LLC, 3M LIBOR + 5.000% | | | 6.69 | | | | 8/23/2023 | | | | 1,132,485 | | | | 1,141,768 | | | | 1,140,979 | |
Boomerang Tube LLC¤†† | | | 15.00 | | | | 2/2/2020 | | | | 32,825 | | | | 32,869 | | | | 32,825 | |
Boomerang Tube LLC, 1M LIBOR + 15.000%¤†† | | | 16.57 | | | | 2/2/2020 | | | | 111,754 | | | | 111,754 | | | | 111,754 | |
See accompanying Notes to the Financial Statements.
84
Barings Global Floating Rate Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Bank Loans (Continued) | |
|
Mining, Steel, Iron and Non-Precious Metals (Continued) | |
Boomerang Tube LLC, 1M LIBOR + 17.500%¤†† | | | 19.07 | % | | | 2/1/2021 | | | | 95,536 | | | | $95,536 | | | | $10,509 | |
Boomerang Tube LLC¤†† | | | 20.00 | | | | 2/2/2020 | | | | 42,133 | | | | 40,647 | | | | 37,920 | |
Fairmount Santrol, Inc., 3M LIBOR + 6.000% | | | 7.69 | | | | 11/1/2022 | | | | 1,487,879 | | | | 1,466,235 | | | | 1,503,130 | |
H.C. Starck GmbH, EURIBOR + 7.000%+ | | | 8.00 | | | | 5/30/2020 | | | | 518,710 | | | | 558,396 | | | | 641,935 | |
H.C. Starck GmbH, 6M LIBOR + 7.000%+ | | | 8.84 | | | | 5/30/2020 | | | | 521,802 | | | | 503,621 | | | | 537,456 | |
Murray Energy Corp., 3M LIBOR + 7.250% | | | 8.94 | | | | 4/16/2020 | | | | 2,162,457 | | | | 2,073,796 | | | | 1,897,556 | |
| | | | | | | | | | | | | | | | | | | | |
Total Mining, Steel, Iron and Non-Precious Metals | | | | | | | | | | | 6,105,581 | | | | 6,024,622 | | | | 5,914,064 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Oil and Gas — 3.7%*: | | | | | | | | | | | | | | | | | | | | |
Caelus Energy Alaska O3 LLC, 3M LIBOR + 7.500% | | | 9.10 | | | | 4/15/2020 | | | | 1,499,143 | | | | 1,417,632 | | | | 1,326,741 | |
Fieldwood Energy LLC PIK, 3M LIBOR + 7.125% | | | 8.82 | | | | 9/30/2020 | | | | 2,613,837 | | | | 1,883,786 | | | | 1,155,038 | |
Floatel International, Ltd., 3M LIBOR + 5.000% | | | 6.69 | | | | 6/27/2020 | | | | 396,078 | | | | 394,413 | | | | 300,524 | |
Gulf Finance LLC, 3M LIBOR + 5.250% | | | 6.95 | | | | 8/25/2023 | | | | 970,455 | | | | 946,895 | | | | 868,965 | |
Paragon Offshore Finance Co., 3M LIBOR + 6.000% | | | 7.35 | | | | 7/18/2022 | | | | 34,315 | | | | 30,787 | | | | 28,939 | |
Seadrill Partners Finco LLC, 3M LIBOR + 3.000% | | | 4.69 | | | | 2/21/2021 | | | | 2,428,912 | | | | 1,758,703 | | | | 1,955,274 | |
Southcross Holdings Borrower LP | | | 9.00 | | | | 4/13/2023 | | | | 21,153 | | | | 21,153 | | | | 20,730 | |
UTEX Industries, Inc., 1M LIBOR + 4.000% | | | 5.57 | | | | 5/22/2021 | | | | 982,941 | | | | 870,587 | | | | 961,640 | |
UTEX Industries, Inc., 1M LIBOR + 7.250% | | | 8.82 | | | | 5/22/2022 | | | | 1,000,000 | | | | 629,756 | | | | 945,830 | |
| | | | | | | | | | | | | | | | | | | | |
Total Oil and Gas | | | | | | | | | | | 9,946,834 | | | | 7,953,712 | | | | 7,563,681 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Personal, Food and Miscellaneous — 0.8%*: | | | | | | | | | | | | | | | | | | | | |
Atrium Innovations, Inc., 3M LIBOR + 3.500% | | | 4.94 | | | | 2/13/2021 | | | | 1,595,178 | | | | 1,589,588 | | | | 1,599,166 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Printing and Publishing — 1.2%*: | | | | | | | | | | | | | | | | | | | | |
Ascend Learning LLC, 1M LIBOR + 3.250% | | | 4.57 | | | | 7/12/2024 | | | | 701,113 | | | | 703,736 | | | | 704,619 | |
Springer Science+Business Media Deutschland GmbH, 2M LIBOR + 3.500%+ | | | 4.98 | | | | 8/31/2022 | | | | 1,688,947 | | | | 1,694,135 | | | | 1,692,696 | |
| | | | | | | | | | | | | | | | | | | | |
Total Printing and Publishing | | | | | | | | | | | 2,390,060 | | | | 2,397,871 | | | | 2,397,315 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Retail Stores — 2.1%*: | | | | | | | | | | | | | | | | | | | | |
Eyemart Express LLC, 1M LIBOR + 3.000% | | | 4.39 | | | | 8/2/2024 | | | | 1,584,070 | | | | 1,590,538 | | | | 1,584,735 | |
Staples, Inc., 3M LIBOR + 4.000% | | | 5.49 | | | | 9/12/2024 | | | | 1,750,000 | | | | 1,742,065 | | | | 1,714,125 | |
Talbots, Inc., 1M LIBOR + 4.500% | | | 6.07 | | | | 3/19/2020 | | | | 318,118 | | | | 304,731 | | | | 307,302 | |
Thom Europe S.A.S, EURIBOR + 4.500%+ | | | 4.50 | | | | 8/7/2024 | | | | 500,000 | | | | 575,710 | | | | 599,552 | |
| | | | | | | | | | | | | | | | | | | | |
Total Retail Stores | | | | | | | | | | | 4,152,188 | | | | 4,213,044 | | | | 4,205,714 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Telecommunications — 2.0%*: | | | | | | | | | | | | | | | | | | | | |
Digicel International Finance Ltd., 3M LIBOR + 3.750%+ | | | 5.31 | | | | 5/28/2024 | | | | 785,143 | | | | 788,075 | | | | 788,087 | |
GTCR Valor Cos., Inc., 3M LIBOR + 4.250% | | | 5.94 | | | | 6/16/2023 | | | | 472,316 | | | | 471,209 | | | | 477,238 | |
Numericable Group SA, 3M LIBOR + 2.750%+ | | | 4.13 | | | | 7/31/2025 | | | | 995,000 | | | | 992,719 | | | | 948,732 | |
See accompanying Notes to the Financial Statements.
85
Barings Global Floating Rate Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Bank Loans (Continued) | |
|
Telecommunications (Continued) | |
Sprint Communications, Inc., 1M LIBOR + 2.500% | | | 4.13 | % | | | 2/3/2024 | | | | 1,492,481 | | | | $1,499,525 | | | | $1,491,362 | |
Ziggo Secured Finance Partnership+ | | | 3.98 | | | | 4/15/2025 | | | | 500,000 | | | | 501,217 | | | | 495,625 | |
| | | | | | | | | | | | | | | | | | | | |
Total Telecommunications | | | | | | | | | | | 4,244,940 | | | | 4,252,745 | | | | 4,201,044 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Utilities — 2.2%*: | | | | | | | | | | | | | | | | | | | | |
Calpine Construction Finance Co., L.P., 1M LIBOR + 2.500% | | | 4.07 | | | | 1/31/2025 | | | | 640,156 | | | | 639,887 | | | | 639,356 | |
Calpine Corp. | | | 4.20 | | | | 1/16/2024 | | | | 997,443 | | | | 997,443 | | | | 995,478 | |
Dynegy Inc., 1M LIBOR + 2.750% | | | 4.25 | | | | 2/7/2024 | | | | 1,361,358 | | | | 1,366,747 | | | | 1,367,035 | |
Helix Gen Funding LLC, 3M LIBOR + 3.750% | | | 5.44 | | | | 6/2/2024 | | | | 505,834 | | | | 505,764 | | | | 506,992 | |
Vistra Operations Co. LLC, 1M LIBOR + 3.250% | | | 4.20 | | | | 12/14/2023 | | | | 1,078,799 | | | | 1,088,205 | | | | 1,086,124 | |
| | | | | | | | | | | | | | | | | | | | |
Total Utilities | | | | | | | | | | | 4,583,590 | | | | 4,598,046 | | | | 4,594,985 | |
| | | | | | | | | | | | | | | | | | | | |
Total Bank Loans | | | | | | | | | | | 175,089,396 | | | | 177,014,400 | | | | 176,353,764 | |
| | | | | | | | | | | | | | | | | | | | |
Corporate Bonds — 8.4%*: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Automobile — 0.5%*: | | | | | | | | | | | | | | | | | | | | |
AA Bond Co. Ltd.+ | | | 5.50 | | | | 7/31/2022 | | | | 700,000 | | | | 938,419 | | | | 949,472 | |
RAC Bond Co. PLC+ | | | 5.00 | | | | 11/6/2022 | | | | 100,000 | | | | 128,880 | | | | 134,444 | |
| | | | | | | | | | | | | | | | | | | | |
Total Automobile | | | | | | | | | | | 800,000 | | | | 1,067,299 | | | | 1,083,916 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Beverage, Food and Tobacco — 0.2%*: | | | | | | | | | | | | | | | | | | | | |
1011778 BC ULC/New Red Finance, Inc.+^ | | | 5.00 | | | | 10/15/2025 | | | | 327,000 | | | | 327,000 | | | | 329,452 | |
Premier Foods Finance PLC+ | | | 6.50 | | | | 3/15/2021 | | | | 100,000 | | | | 146,216 | | | | 137,378 | |
| | | | | | | | | | | | | | | | | | | | |
Total Beverage, Food and Tobacco | | | | | | | | | | | 427,000 | | | | 473,216 | | | | 466,830 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Broadcasting and Entertainment — 0.2%*: | | | | | | | | | | | | | | | | | | | | |
Entertainment One Ltd.+ | | | 6.88 | | | | 12/15/2022 | | | | 100,000 | | | | 150,212 | | | | 145,276 | |
VTR Finance BV+^ | | | 6.88 | | | | 1/15/2024 | | | | 211,000 | | | | 214,006 | | | | 222,605 | |
| | | | | | | | | | | | | | | | | | | | |
Total Broadcasting and Entertainment | | | | | | | | | | | 311,000 | | | | 364,218 | | | | 367,881 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Cargo Transport — 0.5%*: | | | | | | | | | | | | | | | | | | | | |
Deck Chassis Acquisition, Inc.^ | | | 10.00 | | | | 6/15/2023 | | | | 861,000 | | | | 907,273 | | | | 957,863 | |
WFS Global Holding SAS+ | | | 9.50 | | | | 7/15/2022 | | | | 100,000 | | | | 113,435 | | | | 127,886 | |
| | | | | | | | | | | | | | | | | | | | |
Total Cargo Transport | | | | | | | | | | | 961,000 | | | | 1,020,708 | | | | 1,085,749 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Chemicals, Plastics and Rubber — 0.3%*: | | | | | | | | | | | | | | | | | | | | |
Monitchem HoldCo 3 SA, 3 mo. EURIBOR + 4.750%+ | | | 4.42 | # | | | 6/15/2021 | | | | 150,000 | | | | 174,654 | | | | 178,853 | |
Pinnacle Operating Corp.^ | | | 9.00 | | | | 5/15/2023 | | | | 378,294 | | | | 469,277 | | | | 351,813 | |
| | | | | | | | | | | | | | | | | | | | |
Total Chemicals, Plastics and Rubber | | | | | | | | | | | 528,294 | | | | 643,931 | | | | 530,666 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
86
Barings Global Floating Rate Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Containers, Packaging and Glass — 0.5%*: | | | | | | | | | | | | | | | | | | | | |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.+^ | | | 4.63 | % | | | 5/15/2023 | | | | 500,000 | | | | $502,477 | | | | $510,150 | |
BWAY Holding Co.^ | | | 5.50 | | | | 4/15/2024 | | | | 300,000 | | | | 300,000 | | | | 312,000 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu^ | | | 5.13 | | | | 7/15/2023 | | | | 178,000 | | | | 178,000 | | | | 184,230 | |
| | | | | | | | | | | | | | | | | | | | |
Total Containers, Packaging and Glass | | | | | | | | | | | 978,000 | | | | 980,477 | | | | 1,006,380 | |
| | | | | | | | | | | | | | | | | | | | |
| | | |
Diversified/Conglomerate Manufacturing — 0.2%*: | | | | | | | | | | | | | |
Appvion, Inc.^~ | | | 9.00 | | | | 6/1/2020 | | | | 460,000 | | | | 464,217 | | | | 69,000 | |
Galapagos S.A., 3 mo. EURIBOR + 4.750%+ | | | 4.42 | # | | | 6/15/2021 | | | | 200,000 | | | | 272,630 | | | | 233,275 | |
| | | | | | | | | | | | | | | | | | | | |
Total Diversified/Conglomerate Manufacturing | | | | | | | | | | | 660,000 | | | | 736,847 | | | | 302,275 | |
| | | | | | | | | | | | | | | | | | | | |
| | | |
Diversified/Conglomerate Service — 0.7%*: | | | | | | | | | | | | | |
Carlson Travel, Inc., 3 mo. EURIBOR + 4.750% | | | 4.75 | # | | | 6/15/2023 | | | | 450,000 | | | | 518,907 | | | | 522,849 | |
Prime Security Services Borrower LLC/Prime Finance, Inc.^ | | | 9.25 | | | | 5/15/2023 | | | | 271,000 | | | | 271,000 | | | | 300,810 | |
Sabre GLBL, Inc.^ | | | 5.38 | | | | 4/15/2023 | | | | 561,000 | | | | 569,498 | | | | 577,830 | |
| | | | | | | | | | | | | | | | | | | | |
Total Diversified/Conglomerate Service | | | | | | | | | | | 1,282,000 | | | | 1,359,405 | | | | 1,401,489 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Electronics — 0.1%*: | | | | | | | | | | | | | | | | | | | | |
First Data Corp.^ | | | 5.00 | | | | 1/15/2024 | | | | 179,000 | | | | 178,094 | | | | 184,146 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Finance — 0.8%*: | | | | | | | | | | | | | | | | | | | | |
Arrow Global Finance PLC, 3 mo. EURIBOR + 4.750%+ | | | 4.75 | # | | | 5/1/2023 | | | | 100,000 | | | | 111,463 | | | | 122,307 | |
Galaxy Bidco Ltd., 3M GBP LIBOR + 5.000%+ | | | 5.53 | # | | | 11/15/2019 | | | | 100,000 | | | | 161,331 | | | | 134,948 | |
Garfunkelux Holdco 3 S.A.+ | | | 8.50 | | | | 11/1/2022 | | | | 250,000 | | | | 386,454 | | | | 352,727 | |
Jerrold Finco PLC+ | | | 6.13 | | | | 1/15/2024 | | | | 100,000 | | | | 124,555 | | | | 137,580 | |
Veritas US, Inc./Veritas Bermuda Ltd.^ | | | 7.50 | | | | 2/1/2023 | | | | 817,000 | | | | 869,849 | | | | 855,807 | |
| | | | | | | | | | | | | | | | | | | | |
Total Finance | | | | | | | | | | | 1,367,000 | | | | 1,653,652 | | | | 1,603,369 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Healthcare, Education and Childcare — 0.7%*: | | | | | | | | | | | | | | | | | | | | |
CHS/Community Health Systems, Inc. | | | 5.13 | | | | 8/1/2021 | | | | 959,000 | | | | 945,828 | | | | 863,100 | |
HCA, Inc. | | | 5.25 | | | | 6/15/2026 | | | | 82,000 | | | | 82,000 | | | | 86,920 | |
IDH Finance PLC+ | | | 6.25 | | | | 8/15/2022 | | | | 100,000 | | | | 131,025 | | | | 123,464 | |
Tenet Healthcare Corp.^ | | | 4.63 | | | | 7/15/2024 | | | | 151,000 | | | | 151,000 | | | | 147,225 | |
Tenet Healthcare Corp.^ | | | 5.13 | | | | 5/1/2025 | | | | 104,000 | | | | 104,000 | | | | 101,400 | |
Valeant Pharmaceuticals International, Inc.^ | | | 5.50 | | | | 11/1/2025 | | | | 165,000 | | | | 165,000 | | | | 167,887 | |
| | | | | | | | | | | | | | | | | | | | |
Total Healthcare, Education and Childcare | | | | | | | | | | | 1,561,000 | | | | 1,578,853 | | | | 1,489,996 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Hotels, Motels, Inns and Gaming — 0.2%*: | | | | | | | | | | | | | | | | | | | | |
TVL Finance PLC+ | | | 8.50 | | | | 5/15/2023 | | | | 315,000 | | | | 443,041 | | | | 462,298 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
87
Barings Global Floating Rate Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | | | | | | | | | | | | | | | | | | | | |
|
Leisure, Amusement, Entertainment — 0.2%*: | |
CPUK Finance Ltd.+ | | | 4.88 | % | | | 8/28/2025 | | | | 100,000 | | | | $134,095 | | | | $137,210 | |
Vue International Bidco PLC, 3 mo. EURIBOR + 5.250%+ | | | 4.92 | # | | | 7/15/2020 | | | | 100,000 | | | | 134,569 | | | | 119,985 | |
WMG Acquisition Corp.^ | | | 5.00 | | | | 8/1/2023 | | | | 63,000 | | | | 63,000 | | | | 65,205 | |
| | | | | | | | | | | | | | | | | | | | |
Total Leisure, Amusement, Entertainment | | | | | | | | | | | 263,000 | | | | 331,664 | | | | 322,400 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Oil and Gas — 1.1%*: | | | | | | | | | | | | | | | | | | | | |
Citgo Holding, Inc.^ | | | 10.75 | | | | 2/15/2020 | | | | 1,500,000 | | | | 1,487,804 | | | | 1,608,750 | |
EP Energy LLC/Everest Acquisition Finance, Inc.^ | | | 8.00 | | | | 2/15/2025 | | | | 713,000 | | | | 615,910 | | | | 520,490 | |
Kosmos Energy Ltd.^ | | | 7.88 | | | | 8/1/2021 | | | | 150,000 | | | | 145,676 | | | | 153,375 | |
| | | | | | | | | | | | | | | | | | | | |
Total Oil and Gas | | | | | | | | | | | 2,363,000 | | | | 2,249,390 | | | | 2,282,615 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Personal Transportation — 0.5%*: | | | | | | | | | | | | | | | | | | | | |
Hertz Corp. (The)^ | | | 7.63 | | | | 6/1/2022 | | | | 1,051,000 | | | | 1,048,733 | | | | 1,100,923 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Retail Stores — 0.4%*: | | | | | | | | | | | | | | | | | | | | |
House of Fraser Funding PLC, 3M GBP LIBOR + 5.750%+ | | | 6.27 | # | | | 9/15/2020 | | | | 300,000 | | | | 465,405 | | | | 354,136 | |
HSS Financing PLC+ | | | 6.75 | | | | 8/1/2019 | | | | 68,000 | | | | 112,557 | | | | 84,465 | |
Marcolin SpA, 3 mo. EURIBOR + 4.125%+ | | | 4.13 | # | | | 2/15/2023 | | | | 100,000 | | | | 107,795 | | | | 120,885 | |
Maxeda DIY Holding B.V.+ | | | 6.13 | | | | 7/15/2022 | | | | 100,000 | | | | 114,070 | | | | 120,678 | |
Takko Luxembourg 2 SCA+ | | | 5.38 | | | | 11/15/2023 | | | | 100,000 | | | | 116,475 | | | | 116,431 | |
Travelex Financing PLC+ | | | 8.00 | | | | 5/15/2022 | | | | 100,000 | | | | 108,750 | | | | 121,545 | |
| | | | | | | | | | | | | | | | | | | | |
Total Retail Stores | | | | | | | | | | | 768,000 | | | | 1,025,052 | | | | 918,140 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Telecommunications — 1.3%*: | | | | | | | | | | | | | | | | | | | | |
Hughes Satellite Systems Corp. | | | 5.25 | | | | 8/1/2026 | | | | 1,388,000 | | | | 1,397,304 | | | | 1,415,760 | |
SFR Group SA+^ | | | 6.00 | | | | 5/15/2022 | | | | 646,000 | | | | 645,477 | | | | 654,075 | |
Wind Tre SpA, 3 mo. EURIBOR + 2.750%+ | | | 2.75 | # | | | 1/20/2024 | | | | 200,000 | | | | 235,210 | | | | 235,823 | |
Ziggo Secured Finance B.V.+ | | | 4.25 | | | | 1/15/2027 | | | | 350,000 | | | | 390,408 | | | | 435,864 | |
| | | | | | | | | | | | | | | | | | | | |
Total Telecommunications | | | | | | | | | | | 2,584,000 | | | | 2,668,399 | | | | 2,741,522 | |
| | | | | | | | | | | | | | | | | | | | |
Total Corporate Bonds | | | | | | | | | | | 16,398,294 | | | | 17,822,979 | | | | 17,350,595 | |
| | | | | | | | | | | | | | | | | | | | |
Total Fixed Income | | | | | | | | | | | 191,487,690 | | | | 194,837,379 | | | | 193,704,359 | |
| | | | | | | | | | | | | | | | | | | | |
Short-Term Investments — 10.0%*: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Bank Deposit — 10.0%*: | | | | | | | | | | | | | | | | | | | | |
State Street Bank & Trust Co. Euro Time Deposit | | | 0.12 | | | | 1/2/2018 | | | | 20,524,938 | | | | 20,524,938 | | | | 20,524,938 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | 212,293,292 | | | | 215,692,000 | | | | 214,593,334 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Other assets and liabilities – (4.2%)* | | | | | | | | | | | | | | | | | | | (8,614,203 | ) |
| | | | | |
Net Assets – 100.0% | | | | | | | | | | | | | | | | | | | $205,979,131 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
88
Barings Global Floating Rate Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| ‡‡ | | Unless otherwise indicated, all principal amounts are denominated in United States Dollars. |
| * | | Calculated as a percentage of net assets applicable to common shareholders. |
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 | | | 6.2% | |
| | Germany | | | 4.9% | |
| | France | | | 4.1% | |
| | Netherlands | | | 2.9% | |
| | Luxembourg | | | 1.1% | |
| | Canada | | | 1.0% | |
| | Other (Individually less than 1%) | | | 2.6% | |
| | | | | | |
| | 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 December 31, 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). |
| # | | Variable rate security. The interest rate shown is the rate in effect at December 31, 2017. |
A summary of outstanding derivatives at December 31, 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) | |
| 1/12/18 | | Morgan Stanley & Co. | | | EUR | | | | 522,399 | | | | 627,133 | | | | 618,224 | | | $ | 8,909 | |
| 1/12/18 | | Credit Suisse International | | | EUR | | | | 526,415 | | | | 631,954 | | | | 632,728 | | | | (774 | ) |
| 1/12/18 | | Morgan Stanley & Co. | | | GBP | | | | 345,456 | | | | 466,548 | | | | 462,782 | | | | 3,766 | |
| | | | | | | | | | | | | | | | | | | | | | |
Net unrealized appreciation on forward foreign currency exchange contracts to buy | | | $ | 11,901 | |
| | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
89
Barings Global Floating Rate Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
Forward Foreign Currency Exchange Contracts to Sell
| | | | | | | | | | | | | | | | | | | | | | |
EXPIRATION
DATE | | COUNTERPARTY | | LOCAL
CURRENCY | | | VALUE IN USD | | | IN
EXCHANGE
FOR USD | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| 1/3/18 | | Credit Suisse International | | | EUR | | | | 526,415 | | | | 631,619 | | | | 632,388 | | | $ | 769 | |
| 1/12/18 | | Credit Suisse International | | | EUR | | | | 708,731 | | | | 850,822 | | | | 836,675 | | | | (14,147 | ) |
| 1/12/18 | | Morgan Stanley & Co. | | | EUR | | | | 20,940,226 | | | | 25,138,449 | | | | 24,778,105 | | | | (360,344 | ) |
| 1/12/18 | | Morgan Stanley & Co. | | | GBP | | | | 5,678,550 | | | | 7,669,048 | | | | 7,664,842 | | | | (4,206 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Net unrealized depreciation on forward foreign currency exchange contracts to sell | | | $ | (377,928 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Currency Legend
| | | | |
| EUR | | – | | Euro |
| GBP | | – | | British Pound Sterling |
See accompanying Notes to the Financial Statements.
90
Barings Global Credit Income Opportunities Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | SHARES | | | COST | | | FAIR
VALUE | |
Equities — 0.5%*: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Common Stocks — 0.3%*: | | | | | | | | | | | | | | | | | | | | |
| | | | |
Mining, Steel, Iron and Non-Precious Metals — 0.0%*: | | | | | | | | | | | | | | | | | |
Boomerang Tube LLC¤ | | | | | | | | | | | 2,007 | | | | $— | | | | $— | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Oil and Gas — 0.0%*: | | | | | | | | | | | | | | | | | | | | |
Paragon Offshore Finance Co. | | | | | | | | | | | 873 | | | | 13,095 | | | | 15,932 | |
Paragon Offshore Finance Co. | | | | | | | | | | | 873 | | | | 436 | | | | 873 | |
Southcross Energy Holdings LP | | | | | | | | | | | 11 | | | | — | | | | — | |
Southcross Energy Partners LP | | | | | | | | | | | 11 | | | | 2,750 | | | | 3,713 | |
| | | | | | | | | | | | | | | | | | | | |
Total Oil and Gas | | | | | | | | | | | 1,768 | | | | 16,281 | | | | 20,518 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Retail Stores — 0.3%*: | | | | | | | | | | | | | | | | | | | | |
Maxeda DIY B.V.+¤ | | | | | | | | | | | 18,859,871 | | | | 373,738 | | | | 452,580 | |
Maxeda DIY B.V.+¤ | | | | | | | | | | | 10,446 | | | | — | | | | 113,154 | |
| | | | | | | | | | | | | | | | | | | | |
Total Retail Stores | | | | | | | | | | | 18,870,317 | | | | 373,738 | | | | 565,734 | |
| �� | | | | | | | | | | | | | | | | | | | |
Total Common Stocks | | | | | | | | | | | 18,874,092 | | | | 390,019 | | | | 586,252 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Preferred Stock — 0.2%*: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Farming and Agriculture — 0.2%*: | | | | | | | | | | | | | | | | | | | | |
Pinnacle Agriculture Holdings A 2¤ | | | | | | | | | | | 311,577 | | | | 202,152 | | | | 283,535 | |
| | | | | | | | | | | | | | | | | | | | |
Total Equities | | | | | | | | | | | 19,185,669 | | | | 592,171 | | | | 869,787 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Fixed Income — 92.7%*: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Asset-Backed Securities — 14.5%*: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
CDO/CLO — 14.5%*: | | | | | | | | | | | | | | | | | | | | |
AIMCO CLO 2015-AA E, 3M USD LIBOR + 7.820%^ | | | 9.18 | #% | | | 1/15/2028 | | | | 500,000 | | | | 510,024 | | | | 500,110 | |
AIMCO CLO Series 2015-AA ER, 3M USD LIBOR + 5.200%^¤ | | | 6.92 | # | | | 1/15/2028 | | | | 500,000 | | | | 500,000 | | | | 500,000 | |
ALME Loan Funding III Designated Activity Co. 3A ERV, 3M EURIBOR + 5.400%+^ | | | 5.40 | # | | | 4/15/2030 | | | | 500,000 | | | | 522,121 | | | | 603,554 | |
ALME Loan Funding IV BV 4A ER, 3M EURIBOR + 4.670%^+ | | | 4.67 | # | | | 1/15/2032 | | | | 1,000,000 | | | | 1,141,884 | | | | 1,160,013 | |
Anchorage Capital CLO Ltd. 2015-6A ER, 3M USD LIBOR + 6.350%^ | | | 7.71 | # | | | 7/15/2030 | | | | 500,000 | | | | 514,295 | | | | 515,148 | |
Apidos CLO 2017-27A D, 3M USD LIBOR + 6.400%^ | | | 7.59 | # | | | 7/17/2030 | | | | 700,000 | | | | 700,000 | | | | 713,341 | |
Apidos CLO XV 2013-15A E, 3M USD LIBOR + 5.500%^ | | | 6.86 | # | | | 10/20/2025 | | | | 500,000 | | | | 469,243 | | | | 492,600 | |
Atlas Senior Loan Fund VI Ltd. 2014-6A E, 3M USD LIBOR + 5.200%^ | | | 6.56 | # | | | 10/15/2026 | | | | 800,000 | | | | 742,046 | | | | 804,119 | |
See accompanying Notes to the Financial Statements.
91
Barings Global Credit Income Opportunities Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Asset-Backed Securities (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
CDO/CLO (Continued) | | | | | | | | | | | | | | | | | | | | |
Atrium IX 9A ER, 3M USD LIBOR + 6.450%^ | | | 7.92 | #% | | | 5/28/2030 | | | | 500,000 | | | | $500,000 | | | | $514,934 | |
Avoca CLO XIV Designated Activity Co. 14X FR, 3M EURIBOR + 6.350%+ | | | 6.35 | # | | | 1/12/2031 | | | | 500,000 | | | | 558,021 | | | | 573,225 | |
BlueMountain CLO Ltd. 2014-1A^ | | | Zero Coupon | | | | 4/30/2026 | | | | 250,000 | | | | 241,281 | | | | 126,816 | |
Cairn CLO B.V. 2013-3A E, 6M EURIBOR + 4.900%+^ | | | 4.90 | # | | | 10/20/2028 | | | | 1,000,000 | | | | 1,033,018 | | | | 1,198,487 | |
Carbone CLO Ltd. 2017-1A D, 3M USD LIBOR + 5.900%^ | | | 7.57 | # | | | 1/20/2031 | | | | 500,000 | | | | 500,000 | | | | 501,389 | |
Carlyle Global Market Strategies CLO Ltd. 2013-4A F, 3M USD LIBOR + 5.200%^ | | | 6.56 | # | | | 10/15/2025 | | | | 500,000 | | | | 463,335 | | | | 499,109 | |
Carlyle Global Market Strategies CLO Ltd. 2014-1A E, 3M USD LIBOR + 4.450%^ | | | 5.80 | # | | | 4/17/2025 | | | | 1,000,000 | | | | 906,679 | | | | 1,003,568 | |
Carlyle Global Market Strategies CLO Ltd. 2014-5A D, 3M USD LIBOR + 4.770%^ | | | 6.13 | # | | | 10/16/2025 | | | | 500,000 | | | | 460,926 | | | | 501,865 | |
Carlyle Global Market Strategies CLO Ltd. 2015-1A E1, 3M USD LIBOR + 5.300%^ | | | 6.66 | # | | | 4/20/2027 | | | | 500,000 | | | | 448,387 | | | | 503,949 | |
CBAM Ltd. 2017-3A E, 3M USD LIBOR + 6.500%^ | | | 7.85 | # | | | 10/17/2029 | | | | 750,000 | | | | 750,000 | | | | 769,043 | |
CIFC Funding Ltd. 2017-1A E, 3M USD LIBOR + 6.350%^ | | | 7.71 | # | | | 4/23/2029 | | | | 750,000 | | | | 746,711 | | | | 763,538 | |
CIFC Funding Ltd. 2017-5A D, 3M USD LIBOR + 6.100%^ | | | 7.46 | # | | | 11/16/2030 | | | | 500,000 | | | | 500,000 | | | | 504,985 | |
Dryden 41 Senior Loan Fund 2015-41A E, 3M USD LIBOR + 5.650%^ | | | 7.01 | # | | | 1/15/2028 | | | | 500,000 | | | | 469,077 | | | | 502,793 | |
Dryden 42 Senior Loan Fund 2016-42A E, 3M USD LIBOR + 7.250%^ | | | 8.61 | # | | | 7/15/2027 | | | | 500,000 | | | | 512,808 | | | | 510,522 | |
Dryden 45 Senior Loan Fund 2016-45A E, 3M USD LIBOR + 6.850%^ | | | 8.21 | # | | | 7/15/2027 | | | | 500,000 | | | | 481,221 | | | | 513,111 | |
Dryden XXXI Senior Loan Fund 2014-31A E, 3M USD LIBOR + 4.250%^ | | | 5.60 | # | | | 4/18/2026 | | | | 1,000,000 | | | | 909,589 | | | | 997,628 | |
Eaton Vance CLO Ltd. 2013-1A DR, 3M USD LIBOR + 7.600%^ | | | 8.96 | # | | | 1/15/2028 | | | | 500,000 | | | | 488,007 | | | | 519,422 | |
Galaxy XXI CLO Ltd. 2015-21A E2, 3M USD LIBOR + 6.500%^ | | | 7.86 | # | | | 1/20/2028 | | | | 500,000 | | | | 500,458 | | | | 503,419 | |
Galaxy XXIV CLO Ltd. 2017-24A E, 3M USD LIBOR + 5.500%^ | | | 7.13 | # | | | 1/15/2031 | | | | 700,000 | | | | 700,000 | | | | 701,284 | |
KKR Financial CLO Ltd. 2018 E, 3M USD LIBOR + 6.450%^ | | | 7.80 | # | | | 7/18/2030 | | | | 800,000 | | | | 784,184 | | | | 819,722 | |
LCM XIII LP 2013-A ER, 3M USD LIBOR + 7.300%^ | | | 8.66 | # | | | 7/19/2027 | | | | 750,000 | | | | 722,772 | | | | 780,914 | |
LCM XV LP 2015-A ER, 3M USD LIBOR + 6.500%^ | | | 7.86 | # | | | 7/20/2030 | | | | 500,000 | | | | 500,000 | | | | 517,165 | |
LCM XVII LP 2017-A E, 3M USD LIBOR + 4.750%^ | | | 6.11 | # | | | 10/15/2026 | | | | 1,000,000 | | | | 912,907 | | | | 994,772 | |
See accompanying Notes to the Financial Statements.
92
Barings Global Credit Income Opportunities Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Asset-Backed Securities (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
CDO/CLO (Continued) | | | | | | | | | | | | | | | | | | | | |
Madison Park Funding XIII Ltd. 2014-13A^ | | | Zero Coupon | | | | 1/19/2025 | | | | 500,000 | | | | $411,458 | | | | $330,515 | |
Oak Hill Credit Partners X Ltd. 2014-10A^ | | | Zero Coupon | | | | 7/20/2026 | | | | 500,000 | | | | 460,136 | | | | 262,553 | |
Sound Point CLO XV Ltd. 2017-1A E, 3M USD LIBOR + 5.960%^ | | | 7.32 | #% | | | 1/23/2029 | | | | 1,000,000 | | | | 981,814 | | | | 1,011,990 | |
Steele Creek CLO Ltd. 2017-1A E, 3M USD LIBOR + 6.200%^ | | | 7.83 | # | | | 1/15/2030 | | | | 500,000 | | | | 500,000 | | | | 501,825 | |
TCI-Symphony CLO Ltd. 2017-1A E, 3M USD LIBOR + 6.450%^ | | | 7.72 | # | | | 7/15/2030 | | | | 1,000,000 | | | | 990,144 | | | | 1,014,548 | |
THL Credit Wind River CLO Ltd. 2017-4A E, 3M USD LIBOR + 5.800%^ | | | 7.31 | # | | | 11/20/2030 | | | | 500,000 | | | | 500,000 | | | | 501,756 | |
Voya CLO Ltd. 2015-2A E, 3M USD LIBOR + 5.300%^ | | | 6.66 | # | | | 7/23/2027 | | | | 500,000 | | | | 484,337 | | | | 498,158 | |
Wellfleet CLO Ltd. 2017-3A D, 3M USD LIBOR + 5.550%^¤ | | | 5.55 | # | | | 1/17/2031 | | | | 1,000,000 | | | | 1,000,000 | | | | 1,000,000 | |
| | | | | | | | | | | | | | | | | | | | |
Total CDO/CLO | | | | | | | | | | | 25,000,000 | | | | 24,516,883 | | | | 25,231,890 | |
| | | | | | | | | | | | | | | | | | | | |
Total Asset-Backed Securities | | | | | | | | | | | 25,000,000 | | | | 24,516,883 | | | | 25,231,890 | |
| | | | | | | | | | | | | | | | | | | | |
Bank Loans — 33.4%*§: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Beverage, Food and Tobacco — 1.1%*: | | | | | | | | | | | | | | | | | | | | |
Deoleo S.A., EURIBOR + 3.500%+ | | | 4.50 | | | | 6/11/2021 | | | | 500,000 | | | | 557,932 | | | | 401,950 | |
JBS USA LLC, 3M LIBOR + 2.500% | | | 4.10 | | | | 10/30/2022 | | | | 909,412 | | | | 895,496 | | | | 892,815 | |
Refresco Group B.V.+ | | | 3.25 | | | | 1/31/2025 | | | | 500,000 | | | | 585,333 | | | | 596,925 | |
| | | | | | | | | | | | | | | | | | | | |
Total Beverage, Food and Tobacco | | | | | | | | | | | 1,909,412 | | | | 2,038,761 | | | | 1,891,690 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Broadcasting and Entertainment — 1.4%*: | | | | | | | | | | | | | | | | | | | | |
All3Media International, 6M LIBOR + 4.250%+ | | | 5.25 | | | | 6/30/2021 | | | | 500,000 | | | | 835,272 | | | | 673,529 | |
AP NMT Acquisition B.V., EURIBOR + 6.000%+ | | | 7.00 | | | | 8/13/2021 | | | | 393,127 | | | | 482,600 | | | | 463,636 | |
AP NMT Acquisition B.V., 3M LIBOR + 9.000%+ | | | 10.34 | | | | 8/13/2022 | | | | 300,000 | | | | 286,060 | | | | 291,150 | |
AP NMT Acquisition B.V., 3M LIBOR + 5.750%+ | | | 7.09 | | | | 8/13/2021 | | | | 493,622 | | | | 459,429 | | | | 489,674 | |
Intelsat Jackson Holdings S.A., 3M LIBOR + 3.750% | | | 5.21 | | | | 11/9/2023 | | | | 250,000 | | | | 249,193 | | | | 244,553 | |
Intelsat Jackson Holdings S.A., 3M LIBOR + 2.750% | | | 4.21 | | | | 6/30/2019 | | | | 182,493 | | | | 182,300 | | | | 181,894 | |
| | | | | | | | | | | | | | | | | | | | |
Total Broadcasting and Entertainment | | | | | | | | | | | 2,119,242 | | | | 2,494,854 | | | | 2,344,436 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Buildings and Real Estate — 0.2%*: | | | | | | | | | | | | | | | | | | | | |
PowerTeam Services LLC, 3M LIBOR + 7.250% | | | 8.94 | | | | 11/6/2020 | | | | 300,000 | | | | 299,370 | | | | 300,000 | |
VICI Properties, Inc., 3M LIBOR + 2.250% | | | 3.78 | | | | 12/13/2024 | | | | 112,707 | | | | 112,426 | | | | 112,707 | |
| | | | | | | | | | | | | | | | | | | | |
Total Buildings and Real Estate | | | | | | | | | | | 412,707 | | | | 411,796 | | | | 412,707 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
93
Barings Global Credit Income Opportunities Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Bank Loans (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Chemicals, Plastics and Rubber — 1.4%*: | | | | | | | | | | | | | | | | | | | | |
Colouroz Investment 1 GmbH+ | | | 3.75 | % | | | 9/7/2021 | | | | 857,707 | | | | $999,497 | | | | $902,620 | |
Diversey+ | | | Zero Coupon | | | | 9/6/2024 | | | | 500,000 | | | | 590,875 | | | | 598,803 | |
Flint Group GmbH+ | | | 3.75 | | | | 9/7/2021 | | | | 287,690 | | | | 339,324 | | | | 302,754 | |
H.B. Fuller Co., 1M LIBOR + 2.250% | | | 3.75 | | | | 10/20/2024 | | | | 222,572 | | | | 222,031 | | | | 223,160 | |
Methanol Holdings (Trinidad) Ltd., 1M LIBOR + 3.500% | | | 5.07 | | | | 6/30/2022 | | | | 343,678 | | | | 341,464 | | | | 343,678 | |
| | | | | | | | | | | | | | | | | | | | |
Total Chemicals, Plastics and Rubber | | | | | | | | | | | 2,211,647 | | | | 2,493,191 | | | | 2,371,015 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Containers, Packaging and Glass — 1.6%*: | | | | | | | | | | | | | | | | | | | | |
BWAY Holding Co., 1M LIBOR + 3.250% | | | 4.60 | | | | 4/3/2024 | | | | 1,342,815 | | | | 1,342,167 | | | | 1,347,609 | |
Horizon Holdings III S.A.S.+ | | | 2.75 | | | | 10/28/2022 | | | | – | | | | 241 | | | | – | |
ProAmpac PG Borrower LLC, 3M LIBOR + 8.500% | | | 9.94 | | | | 11/18/2024 | | | | 500,000 | | | | 493,539 | | | | 507,500 | |
W/S Packaging Group, Inc., 1M LIBOR + 5.000% | | | 6.57 | | | | 8/9/2019 | | | | 925,360 | | | | 860,305 | | | | 874,465 | |
| | | | | | | | | | | | | | | | | | | | |
Total Containers, Packaging and Glass | | | | | | | | | | | 2,768,175 | | | | 2,696,252 | | | | 2,729,574 | |
| | | | | | | | | | | | | | | | | | | | |
|
Diversified/Conglomerate Manufacturing — 2.0%*: | |
LTI Holdings, Inc., 1M LIBOR + 4.750% | | | 6.32 | | | | 5/16/2024 | | | | 760,719 | | | | 756,027 | | | | 763,572 | |
Project Alpha Intermediate Holding, Inc., 3M LIBOR + 3.500% | | | 5.04 | | | | 4/26/2024 | | | | 1,185,828 | | | | 1,182,680 | | | | 1,158,649 | |
Triple Point Technology, Inc., 3M LIBOR + 4.250% | | | 5.94 | | | | 7/10/2020 | | | | 988,060 | | | | 951,235 | | | | 897,899 | |
Triple Point Technology, Inc., 3M LIBOR + 8.250%†† | | | 9.94 | | | | 7/10/2021 | | | | 50,846 | | | | 48,797 | | | | 41,058 | |
Xella International GmbH+ | | | 4.00 | | | | 1/31/2024 | | | | 500,000 | | | | 588,325 | | | | 599,673 | |
| | | | | | | | | | | | | | | | | | | | |
Total Diversified/Conglomerate Manufacturing | | | | | | | | | | | 3,485,453 | | | | 3,527,064 | | | | 3,460,851 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Diversified/Conglomerate Service — 3.7%*: | | | | | | | | | | | | | | | | | | | | |
Almonde, Inc., 3M LIBOR + 3.500%+ | | | 4.98 | | | | 6/13/2024 | | | | 1,423,074 | | | | 1,426,627 | | | | 1,426,532 | |
Aramark Services, Inc., 1M LIBOR + 2.000% | | | 3.57 | | | | 3/7/2025 | | | | 133,378 | | | | 133,378 | | | | 134,003 | |
EAB (Avatar Purchaser) | | | 5.24 | | | | 9/6/2024 | | | | 245,761 | | | | 244,552 | | | | 246,990 | |
I-Logic Technologies Bidco Ltd. | | | 5.69 | | | | 12/5/2024 | | | | 139,113 | | | | 138,418 | | | | 138,418 | |
MH Sub I, LLC, 3M LIBOR + 7.500% | | | 9.09 | | | | 9/15/2025 | | | | 650,000 | | | | 646,088 | | | | 650,813 | |
Project Leopard Holdings, Inc., 3M LIBOR + 5.500% | | | 7.19 | | | | 7/7/2023 | | | | 528,088 | | | | 529,922 | | | | 531,061 | |
Quest Software US Holdings Inc., 3M LIBOR + 5.500% | | | 6.92 | | | | 10/31/2022 | | | | 1,168,762 | | | | 1,171,145 | | | | 1,186,083 | |
Verisure Holding AB, EURIBOR + 3.000%+ | | | 3.00 | | | | 10/21/2022 | | | | 500,000 | | | | 589,695 | | | | 595,539 | |
VF Holding Corp., 1M LIBOR + 3.250% | | | 4.82 | | | | 6/30/2023 | | | | 1,481,993 | | | | 1,488,078 | | | | 1,492,308 | |
| | | | | | | | | | | | | | | | | | | | |
Total Diversified/Conglomerate Service | | | | | | | | | | | 6,270,169 | | | | 6,367,903 | | | | 6,401,747 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
94
Barings Global Credit Income Opportunities Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Bank Loans (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ecological — 0.1%*: | | | | | | | | | | | | | | | | | | | | |
Emerald 3 Ltd., 3M LIBOR + 7.000% | | | 8.69 | % | | | 5/31/2022 | | | | 196,488 | | | | $195,380 | | | | $185,927 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Electronics — 0.4%*: | | | | | | | | | | | | | | | | | | | | |
RP Crown Parent LLC, 1M LIBOR + 3.500% | | | 4.57 | | | | 10/12/2023 | | | | 735,865 | | | | 732,821 | | | | 738,624 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Finance — 2.9%*: | | | | | | | | | | | | | | | | | | | | |
Focus Financial Partners LLC, 3M LIBOR + 3.250% | | | 4.94 | | | | 7/3/2024 | | | | 1,496,250 | | | | 1,514,698 | | | | 1,509,342 | |
Moneygram International, Inc., 3M LIBOR + 3.250% | | | 4.94 | | | | 3/27/2020 | | | | 609,483 | | | | 593,233 | | | | 608,148 | |
Tempo Acquisition LLC, 1M LIBOR + 3.000% | | | 4.57 | | | | 5/1/2024 | | | | 1,522,239 | | | | 1,526,811 | | | | 1,515,891 | |
Veritas Bermuda Ltd., 3M LIBOR + 4.500% | | | 6.19 | | | | 1/27/2023 | | | | 562,901 | | | | 560,971 | | | | 563,841 | |
VFH Parent LLC, 3M LIBOR + 3.750% | | | 5.13 | | | | 12/30/2021 | | | | 782,609 | | | | 790,607 | | | | 788,479 | |
| | | | | | | | | | | | | | | | | | | | |
Total Finance | | | | | | | | | | | 4,973,482 | | | | 4,986,320 | | | | 4,985,701 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Healthcare, Education and Childcare — 4.0%*: | | | | | | | | | | | | | | | | | | | | |
Arbor Pharmaceuticals, Inc., 3M LIBOR + 5.000% | | | 6.69 | | | | 7/5/2023 | | | | 120,307 | | | | 114,592 | | | | 121,209 | |
Cerba Healthcare S.A.S.+ | | | 3.00 | | | | 3/22/2024 | | | | 1,000,000 | | | | 1,177,027 | | | | 1,196,022 | |
Change Healthcare Holdings, Inc., 1M LIBOR + 2.750% | | | 4.32 | | | | 3/1/2024 | | | | 746,241 | | | | 750,689 | | | | 747,270 | |
Endo Luxembourg Finance Co. I S.a r.l., 1M LIBOR + 4.250% | | | 5.88 | | | | 4/29/2024 | | | | 176,934 | | | | 176,133 | | | | 177,819 | |
Horizon Pharma, Inc., 1M LIBOR + 3.250% | | | 4.75 | | | | 3/29/2024 | | | | 1,000,000 | | | | 1,006,156 | | | | 1,003,440 | |
Immucor, Inc., 1M LIBOR + 5.000% | | | 6.57 | | | | 6/15/2021 | | | | 153,975 | | | | 154,146 | | | | 156,285 | |
MModal, Inc. | | | 9.13 | | | | 1/31/2020 | | | | 735,521 | | | | 719,458 | | | | 719,891 | |
Ortho-Clinical Diagnostics S.A., 3M LIBOR + 3.750% | | | 5.44 | | | | 6/30/2021 | | | | 1,238,057 | | | | 1,222,657 | | | | 1,239,952 | |
Parexel International Corp., 1M LIBOR + 3.000% | | | 4.57 | | | | 9/29/2024 | | | | 997,500 | | | | 1,003,636 | | | | 1,001,450 | |
Rodenstock GmbH, EURIBOR + 4.500%+ | | | 4.13 | | | | 5/30/2019 | | | | 500,000 | | | | 545,297 | | | | 582,677 | |
| | | | | | | | | | | | | | | | | | | | |
Total Healthcare, Education and Childcare | | | | | | | | | | | 6,668,535 | | | | 6,869,791 | | | | 6,946,015 | |
| | | | | | | | | | | | | | | | | | | | |
| | |
Home and Office Furnishings, Housewares, and Durable Consumer Products — 2.3%*: | | | | | | | | | |
Hayward Industries, Inc. | | | 5.07 | | | | 8/2/2024 | | | | 997,500 | | | | 1,004,752 | | | | 998,747 | |
Keter Group B.V., EURIBOR + 4.250%+ | | | 5.25 | | | | 10/31/2023 | | | | 500,000 | | | | 520,454 | | | | 601,599 | |
Serta Simmons Bedding LLC, 1M LIBOR + 8.000% | | | 9.41 | | | | 11/8/2024 | | | | 474,667 | | | | 468,526 | | | | 403,467 | |
Serta Simmons Bedding LLC, 3M LIBOR + 3.500% | | | 4.85 | | | | 11/8/2023 | | | | 1,231,873 | | | | 1,230,893 | | | | 1,124,428 | |
Visual Comfort Generation Brands Holdings, Inc., 1M LIBOR + 8.000% | | | 9.57 | | | | 2/28/2025 | | | | 933,333 | | | | 928,921 | | | | 939,166 | |
| | | | | | | | | | | | | | | | | | | | |
Total Home and Office Furnishings, Housewares, and Durable Consumer Products | | | | | | | | | | | 4,137,373 | | | | 4,153,546 | | | | 4,067,407 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
95
Barings Global Credit Income Opportunities Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Bank Loans (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Hotels, Motels, Inns and Gaming — 1.0%*: | | | | | | | | | | | | | | | | | | | | |
Caesars Resort Collection LLC, 3M LIBOR + 2.750% | | | 4.34 | % | | | 9/27/2024 | | | | 387,650 | | | | $386,683 | | | | $389,174 | |
HNVR Holdco Ltd.+ | | | 3.25 | | | | 9/12/2023 | | | | 500,000 | | | | 555,625 | | | | 598,425 | |
Tackle S.a.r.l., EURIBOR + 3.500%+ | | | 3.50 | | | | 8/8/2022 | | | | 600,000 | | | | 704,969 | | | | 718,448 | |
| | | | | | | | | | | | | | | | | | | | |
Total Hotels, Motels, Inns and Gaming | | | | | | | | | | | 1,487,650 | | | | 1,647,277 | | | | 1,706,047 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Insurance — 2.5%*: | | | | | | | | | | | | | | | | | | | | |
AssuredPartners, Inc., 1M LIBOR + 3.500% | | | 5.07 | | | | 10/22/2024 | | | | 997,500 | | | | 1,002,240 | | | | 1,003,116 | |
Asurion LLC, 1M LIBOR + 3.000% | | | 4.57 | | | | 11/3/2023 | | | | 1,987,488 | | | | 2,001,399 | | | | 1,996,193 | |
Hub International Ltd., 3M LIBOR + 3.000% | | | 4.41 | | | | 10/2/2020 | | | | 991,858 | | | | 996,934 | | | | 995,935 | |
York Risk Services Holding Corp., 1M LIBOR + 3.750% | | | 5.32 | | | | 10/1/2021 | | | | 440,412 | | | | 431,819 | | | | 430,392 | |
| | | | | | | | | | | | | | | | | | | | |
Total Insurance | | | | | | | | | | | 4,417,258 | | | | 4,432,392 | | | | 4,425,636 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Leisure, Amusement, Entertainment — 0.6%*: | | | | | | | | | | | | | | | | | | | | |
Delta 2 (LUX) S.a.r.l., 1M LIBOR + 3.000%+ | | | 4.57 | | | | 2/1/2024 | | | | 579,864 | | | | 579,392 | | | | 582,641 | |
Dorna Sports, S.L.+ | | | 5.09 | | | | 4/12/2024 | | | | 500,000 | | | | 500,000 | | | | 494,690 | |
| | | | | | | | | | | | | | | | | | | | |
Total Leisure, Amusement, Entertainment | | | | | | | | | | | 1,079,864 | | | | 1,079,392 | | | | 1,077,331 | |
| | | | | | | | | | | | | | | | | | | | |
| | |
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 0.1%*: | | | | | | | | | |
Alison Bidco S.a.r.l., 1M LIBOR + 4.500%+ | | | 5.88 | | | | 8/29/2021 | | | | 143,798 | | | | 143,043 | | | | 137,327 | |
| | | | | | | | | | | | | | | | | | | | |
Total Machinery Non-Agriculture, Non-Construction, Non-Electronic | | | | | | | | | | | 143,798 | | | | 143,043 | | | | 137,327 | |
| | | | | | | | | | | | | | | | | | | | |
| | | |
Mining, Steel, Iron and Non-Precious Metals — 1.7%*: | | | | | | | | | | | | | |
Big River Steel LLC, 3M LIBOR + 5.000% | | | 6.69 | | | | 8/23/2023 | | | | 119,105 | | | | 120,801 | | | | 119,998 | |
Boomerang Tube LLC, 1M LIBOR + 18.000% | | | 19.57 | | | | 9/1/2018 | | | | 27,865 | | | | 27,865 | | | | 27,865 | |
Boomerang Tube LLC¤†† | | | 15.00 | | | | 2/1/2019 | | | | 75,898 | | | | 75,987 | | | | 75,898 | |
Boomerang Tube LLC¤†† | | | 20.00 | | | | 2/1/2019 | | | | 42,133 | | | | 40,647 | | | | 37,920 | |
Boomerang Tube LLC, 1M LIBOR + 17.500%¤†† | | | 19.07 | | | | 2/1/2021 | | | | 95,536 | | | | 95,536 | | | | 10,509 | |
Boomerang Tube LLC, 1M LIBOR + 15.000%¤†† | | | 16.57 | | | | 2/1/2019 | | | | 111,754 | | | | 111,754 | | | | 111,754 | |
Fairmount Santrol, Inc., 3M LIBOR + 6.000% | | | 7.69 | | | | 11/1/2022 | | | | 1,410,383 | | | | 1,389,866 | | | | 1,424,839 | |
H.C. Starck GmbH, 6M LIBOR + 7.000%+ | | | 8.84 | | | | 5/30/2020 | | | | 700,000 | | | | 711,895 | | | | 721,000 | |
Murray Energy Corp., 3M LIBOR + 7.250% | | | 8.94 | | | | 4/16/2020 | | | | 202,263 | | | | 199,586 | | | | 177,486 | |
Zekelman Industries, Inc., 3M LIBOR + 2.750% | | | 4.07 | | | | 6/14/2021 | | | | 177,501 | | | | 176,265 | | | | 178,211 | |
| | | | | | | | | | | | | | | | | | | | |
Total Mining, Steel, Iron and Non-Precious Metals | | | | | | | | | | | 2,962,438 | | | | 2,950,202 | | | | 2,885,480 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Oil and Gas — 2.9%*: | | | | | | | | | | | | | | | | | | | | |
Caelus Energy Alaska O3 LLC, 3M LIBOR + 7.500% | | | 9.10 | | | | 4/15/2020 | | | | 682,707 | | | | 640,639 | | | | 604,195 | |
Fieldwood Energy LLC PIK, 3M LIBOR + 7.000% | | | 8.69 | | | | 9/30/2020 | | | | 649,368 | | | | 601,327 | | | | 584,432 | |
Fieldwood Energy LLC PIK, 3M LIBOR + 7.125% | | | 8.82 | | | | 9/30/2020 | | | | 1,885,340 | | | | 1,165,720 | | | | 928,873 | |
Floatel International, Ltd., 3M LIBOR + 5.000% | | | 6.69 | | | | 6/27/2020 | | | | 198,039 | | | | 197,207 | | | | 150,262 | |
See accompanying Notes to the Financial Statements.
96
Barings Global Credit Income Opportunities Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Bank Loans (Continued) | | | | | | | | | | | | | | | | | | | | |
|
Oil and Gas (Continued) | |
Gulf Finance LLC, 3M LIBOR + 5.250% | | | 6.95 | % | | | 8/25/2023 | | | | 969,922 | | | | $950,722 | | | | $868,488 | |
Paragon Offshore Finance Co., 3M LIBOR + 6.000% | | | 7.35 | | | | 7/18/2022 | | | | 30,167 | | | | 27,065 | | | | 25,440 | |
Seadrill Partners Finco LLC, 3M LIBOR + 3.000% | | | 4.69 | | | | 2/21/2021 | | | | 249,857 | | | | 186,990 | | | | 201,135 | |
Southcross Holdings Borrower LP | | | 9.00 | | | | 4/13/2023 | | | | 10,576 | | | | 10,576 | | | | 10,365 | |
Summit Midstream Partners Holdings LLC, 1M LIBOR + 6.000% | | | 7.57 | | | | 5/15/2022 | | | | 106,108 | | | | 105,207 | | | | 107,788 | |
UTEX Industries, Inc., 1M LIBOR + 7.250% | | | 8.82 | | | | 5/22/2022 | | | | 355,556 | | | | 323,739 | | | | 336,295 | |
UTEX Industries, Inc., 1M LIBOR + 4.000% | | | 5.57 | | | | 5/22/2021 | | | | 1,258,221 | | | | 1,114,369 | | | | 1,230,955 | |
| | | | | | | | | | | | | | | | | | | | |
Total Oil and Gas | | | | | | | | | | | 6,395,861 | | | | 5,323,561 | | | | 5,048,228 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Personal, Food and Miscellaneous — 0.5%*: | | | | | | | | | | | | | | | | | | | | |
Atrium Innovations, Inc., 3M LIBOR + 3.500% | | | 4.94 | | | | 2/13/2021 | | | | 944,727 | | | | 938,709 | | | | 947,088 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Printing and Publishing — 0.2%*: | | | | | | | | | | | | | | | | | | | | |
Springer Science+Business Media Deutschland GmbH, 2M LIBOR + 3.500%+ | | | 4.98 | | | | 8/31/2022 | | | | 402,593 | | | | 403,830 | | | | 403,487 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Retail Stores — 0.3%*: | | | | | | | | | | | | | | | | | | | | |
Thom Europe S.A.S, EURIBOR + 4.500%+ | | | 4.50 | | | | 8/7/2024 | | | | 500,000 | | | | 575,710 | | | | 599,553 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Telecommunications — 1.0%*: | | | | | | | | | | | | | | | | | | | | |
Altice Financing S.A., 3M LIBOR + 2.750%+ | | | 4.11 | | | | 7/15/2025 | | | | 173,573 | | | | 173,176 | | | | 169,792 | |
GTCR Valor Cos., Inc., 3M LIBOR + 4.250% | | | 5.94 | | | | 6/16/2023 | | | | 1,148,115 | | | | 1,159,529 | | | | 1,160,078 | |
Numericable Group SA, 3M LIBOR + 2.750%+ | | | 4.13 | | | | 7/31/2025 | | | | 497,500 | | | | 496,360 | | | | 474,366 | |
| | | | | | | | | | | | | | | | | | | | |
Total Telecommunications | | | | | | | | | | | 1,819,188 | | | | 1,829,065 | | | | 1,804,236 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Utilities — 1.5%*: | | | | | | | | | | | | | | | | | | | | |
Calpine Corp. | | | 4.20 | | | | 1/16/2024 | | | | 997,442 | | | | 997,442 | | | | 995,477 | |
Dynegy Inc., 1M LIBOR + 2.750% | | | 4.25 | | | | 2/7/2024 | | | | 907,572 | | | | 911,165 | | | | 911,357 | |
EFS Cogen Holdings I LLC, 3M LIBOR + 3.500% | | | 4.95 | | | | 6/28/2023 | | | | 706,467 | | | | 700,906 | | | | 712,267 | |
| | | | | | | | | | | | | | | | | | | | |
Total Utilities | | | | | | | | | | | 2,611,481 | | | | 2,609,513 | | | | 2,619,101 | |
| | | | | | | | | | | | | | | | | | | | |
Total Bank Loans | | | | | | | | | | | 58,653,406 | | | | 58,900,373 | | | | 58,189,208 | |
| | | | | | | | | | | | | | | | | | | | |
Corporate Bonds — 44.8%*: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Aerospace and Defense — 2.6%*: | | | | | | | | | | | | | | | | | | | | |
Park Aerospace Holdings Ltd.^ | | | 4.50 | | | | 3/15/2023 | | | | 584,000 | | | | 584,000 | | | | 557,720 | |
Swissport Financing Sarl+ | | | 9.75 | | | | 12/15/2022 | | | | 300,000 | | | | 394,389 | | | | 374,005 | |
TransDigm, Inc. | | | 5.50 | | | | 10/15/2020 | | | | 500,000 | | | | 506,373 | | | | 506,250 | |
TransDigm, Inc. | | | 6.38 | | | | 6/15/2026 | | | | 1,243,000 | | | | 1,247,373 | | | | 1,255,430 | |
TransDigm, Inc. | | | 6.50 | | | | 5/15/2025 | | | | 203,000 | | | | 205,798 | | | | 207,568 | |
Triumph Group, Inc. | | | 5.25 | | | | 6/1/2022 | | | | 875,000 | | | | 872,022 | | | | 857,500 | |
Triumph Group, Inc.^ | | | 7.75 | | | | 8/15/2025 | | | | 750,000 | | | | 805,417 | | | | 795,937 | |
| | | | | | | | | | | | | | | | | | | | |
Total Aerospace and Defense | | | | | | | | | | | 4,455,000 | | | | 4,615,372 | | | | 4,554,410 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
97
Barings Global Credit Income Opportunities Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Automobile — 2.4%*: | | | | | | | | | | | | | | | | | | | | |
AA Bond Co. Ltd.+ | | | 5.50 | % | | | 7/31/2043 | | | | 600,000 | | | | $792,138 | | | | $813,833 | |
Gates Global LLC/Gates Global Co.^ | | | 6.00 | | | | 7/15/2022 | | | | 1,000,000 | | | | 818,312 | | | | 1,022,500 | |
International Automotive Components Group SA^ | | | 9.13 | | | | 6/1/2018 | | | | 825,000 | | | | 828,303 | | | | 816,750 | |
JB Poindexter & Co., Inc.^ | | | 9.00 | | | | 4/1/2022 | | | | 802,000 | | | | 835,931 | | | | 832,075 | |
RAC Bond Co. PLC+ | | | 5.00 | | | | 11/6/2022 | | | | 450,000 | | | | 589,715 | | | | 604,996 | |
Wabash National Corp.^ | | | 5.50 | | | | 10/1/2025 | | | | 182,000 | | | | 182,000 | | | | 183,365 | |
| | | | | | | | | | | | | | | | | | | | |
Total Automobile | | | | | | | | | | | 3,859,000 | | | | 4,046,399 | | | | 4,273,519 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Beverage, Food and Tobacco — 1.4%*: | | | | | | | | | | | | | | | | | | | | |
Boparan Finance PLC+ | | | 5.50 | | | | 7/15/2021 | | | | 1,100,000 | | | | 1,439,043 | | | | 1,339,560 | |
JBS USA LUX SA/JBS USA Finance, Inc.^ | | | 5.88 | | | | 7/15/2024 | | | | 700,000 | | | | 716,492 | | | | 676,375 | |
Pilgrim’s Pride Corp.^ | | | 5.75 | | | | 3/15/2025 | | | | 186,000 | | | | 189,613 | | | | 192,278 | |
US Foods, Inc.^ | | | 5.88 | | | | 6/15/2024 | | | | 154,000 | | | | 154,000 | | | | 161,700 | |
| | | | | | | | | | | | | | | | | | | | |
Total Beverage, Food and Tobacco | | | | | | | | | | | 2,140,000 | | | | 2,499,148 | | | | 2,369,913 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Broadcasting and Entertainment — 2.4%*: | | | | | | | | | | | | | | | | | | | | |
CCO Holdings LLC/CCO Holdings Capital Corp.^ | | | 5.00 | | | | 2/1/2028 | | | | 1,750,000 | | | | 1,742,616 | | | | 1,701,875 | |
Clear Channel Worldwide Holdings, Inc. | | | 7.63 | | | | 3/15/2020 | | | | 1,000,000 | | | | 1,004,345 | | | | 980,000 | |
DISH DBS Corp. | | | 7.75 | | | | 7/1/2026 | | | | 750,000 | | | | 755,014 | | | | 788,437 | |
Sirius XM Radio, Inc.^ | | | 5.00 | | | | 8/1/2027 | | | | 436,000 | | | | 436,000 | | | | 437,090 | |
VTR Finance BV+^ | | | 6.88 | | | | 1/15/2024 | | | | 250,000 | | | | 244,448 | | | | 263,750 | |
| | | | | | | | | | | | | | | | | | | | |
Total Broadcasting and Entertainment | | | | | | | | | | | 4,186,000 | | | | 4,182,423 | | | | 4,171,152 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Buildings and Real Estate — 1.0%*: | | | | | | | | | | | | | | | | | | | | |
GEO Group, Inc. (The) | | | 5.88 | | | | 1/15/2022 | | | | 500,000 | | | | 479,342 | | | | 515,000 | |
Standard Industries, Inc.^ | | | 4.75 | | | | 1/15/2028 | | | | 885,000 | | | | 885,000 | | | | 887,044 | |
William Lyon Homes, Inc. | | | 7.00 | | | | 8/15/2022 | | | | 295,000 | | | | 299,228 | | | | 303,850 | |
| | | | | | | | | | | | | | | | | | | | |
Total Buildings and Real Estate | | | | | | | | | | | 1,680,000 | | | | 1,663,570 | | | | 1,705,894 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Cargo Transport — 1.5%*: | | | | | | | | | | | | | | | | | | | | |
Deck Chassis Acquisition, Inc.^ | | | 10.00 | | | | 6/15/2023 | | | | 580,000 | | | | 580,000 | | | | 645,250 | |
Kenan Advantage Group, Inc.^ | | | 7.88 | | | | 7/31/2023 | | | | 1,367,000 | | | | 1,367,000 | | | | 1,414,845 | |
WFS Global Holding SAS+ | | | 9.50 | | | | 7/15/2022 | | | | 400,000 | | | | 448,591 | | | | 511,544 | |
| | | | | | | | | | | | | | | | | | | | |
Total Cargo Transport | | | | | | | | | | | 2,347,000 | | | | 2,395,591 | | | | 2,571,639 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Chemicals, Plastics and Rubber — 1.9%*: | | | | | | | | | | | | | | | | | | | | |
A Schulman, Inc. | | | 6.88 | | | | 6/1/2023 | | | | 1,000,000 | | | | 1,030,898 | | | | 1,040,000 | |
Consolidated Energy Finance SA^ | | | 6.75 | | | | 10/15/2019 | | | | 670,000 | | | | 673,500 | | | | 681,725 | |
Consolidated Energy Finance SA^ | | | 6.88 | | | | 6/15/2025 | | | | 440,000 | | | | 437,917 | | | | 466,400 | |
Monitchem HoldCo 2 SA+ | | | 6.88 | | | | 6/15/2022 | | | | 550,000 | | | | 605,437 | | | | 604,544 | |
Pinnacle Operating Corp.^ | | | 9.00 | | | | 5/15/2023 | | | | 453,953 | | | | 552,833 | | | | 422,176 | |
See accompanying Notes to the Financial Statements.
98
Barings Global Credit Income Opportunities Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | | | | | | | | | | | | | | | | | | | | |
|
Chemicals, Plastics and Rubber (Continued) | |
Platform Specialty Products Corp.^ | | | 5.88 | % | | | 12/1/2025 | | | | 180,000 | | | | $180,000 | | | | $178,650 | |
| | | | | | | | | | | | | | | | | | | | |
Total Chemicals, Plastics and Rubber | | | | | | | | | | | 3,293,953 | | | | 3,480,585 | | | | 3,393,495 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Containers, Packaging and Glass — 1.5%*: | | | | | | | | | | | | | | | | | | | | |
Coveris Holdings SA^ | | | 7.88 | | | | 11/1/2019 | | | | 1,400,000 | | | | 1,399,669 | | | | 1,389,500 | |
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc.^ | | | 6.38 | | | | 5/1/2022 | | | | 1,200,000 | | | | 1,192,861 | | | | 1,254,000 | |
| | | | | | | | | | | | | | | | | | | | |
Total Containers, Packaging and Glass | | | | | | | | | | | 2,600,000 | | | | 2,592,530 | | | | 2,643,500 | |
| | | | | | | | | | | | | | | | | | | | |
| | |
Diversified Natural Resources, Precious Metals and Minerals — 0.3%*: | | | | | | | | | |
Parker Drilling Co. | | | 6.75 | | | | 7/15/2022 | | | | 750,000 | | | | 677,837 | | | | 615,000 | |
| | | | | | | | | | | | | | | | | | | | |
|
Diversified/Conglomerate Manufacturing — 1.3%*: | |
Appvion, Inc.^~ | | | 9.00 | | | | 6/1/2020 | | | | 500,000 | | | | 507,003 | | | | 75,000 | |
EnPro Industries, Inc. | | | 5.88 | | | | 9/15/2022 | | | | 400,000 | | | | 402,990 | | | | 416,500 | |
Griffon Corp.^ | | | 5.25 | | | | 3/1/2022 | | | | 1,300,000 | | | | 1,297,305 | | | | 1,313,000 | |
StoneMor Partners LP/Cornerstone Family Services of West Virginia Subsidiary | | | 7.88 | | | | 6/1/2021 | | | | 500,000 | | | | 511,263 | | | | 490,000 | |
| | | | | | | | | | | | | | | | | | | | |
Total Diversified/Conglomerate Manufacturing | | | | | | | | | | | 2,700,000 | | | | 2,718,561 | | | | 2,294,500 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Diversified/Conglomerate Service — 4.8%*: | | | | | | | | | | | | | | | | | | | | |
APTIM Corp.^ | | | 7.75 | | | | 6/15/2025 | | | | 646,000 | | | | 646,000 | | | | 616,930 | |
Carlson Travel, Inc.^ | | | 6.75 | | | | 12/15/2023 | | | | 938,000 | | | | 964,308 | | | | 848,890 | |
Carlson Travel, Inc.^ | | | 9.50 | | | | 12/15/2024 | | | | 277,000 | | | | 277,000 | | | | 222,985 | |
Iron Mountain UK PLC | | | 3.88 | | | | 11/15/2025 | | | | 450,000 | | | | 597,667 | | | | 594,384 | |
Nuance Communications, Inc. | | | 5.63 | | | | 12/15/2026 | | | | 1,000,000 | | | | 991,360 | | | | 1,041,250 | |
Prime Security Services Borrower LLC/Prime Finance, Inc.^ | | | 9.25 | | | | 5/15/2023 | | | | 1,357,000 | | | | 1,431,308 | | | | 1,506,270 | |
ServiceMaster Co. LLC (The)^ | | | 5.13 | | | | 11/15/2024 | | | | 627,000 | | | | 627,000 | | | | 634,837 | |
Verisure Midholding AB+ | | | 5.75 | | | | 12/1/2023 | | | | 1,700,000 | | | | 2,004,554 | | | | 2,053,696 | |
Zachry Holdings, Inc.^ | | | 7.50 | | | | 2/1/2020 | | | | 871,000 | | | | 869,170 | | | | 884,065 | |
| | | | | | | | | | | | | | | | | | | | |
Total Diversified/Conglomerate Service | | | | | | | | | | | 7,866,000 | | | | 8,408,367 | | | | 8,403,307 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Electronics — 1.2%*: | | | | | | | | | | | | | | | | | | | | |
Solera LLC/Solera Finance, Inc.^ | | | 10.50 | | | | 3/1/2024 | | | | 376,000 | | | | 424,516 | | | | 422,993 | |
TIBCO Software, Inc.^ | | | 11.38 | | | | 12/1/2021 | | | | 1,582,000 | | | | 1,733,804 | | | | 1,723,399 | |
| | | | | | | | | | | | | | | | | | | | |
Total Electronics | | | | | | | | | | | 1,958,000 | | | | 2,158,320 | | | | 2,146,392 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Finance — 4.3%*: | | | | | | | | | | | | | | | | | | | | |
Cabot Financial Luxembourg SA+ | | | 7.50 | | | | 10/1/2023 | | | | 350,000 | | | | 465,140 | | | | 494,290 | |
Galaxy Finco Ltd.+ | | | 7.88 | | | | 11/15/2021 | | | | 700,000 | | | | 1,008,646 | | | | 946,287 | |
Garfunkelux Holdco 2 SA+ | | | 11.00 | | | | 11/1/2023 | | | | 400,000 | | | | 574,735 | | | | 580,063 | |
Garfunkelux Holdco 3 S.A.+ | | | 8.50 | | | | 11/1/2022 | | | | 700,000 | | | | 978,644 | | | | 987,635 | |
See accompanying Notes to the Financial Statements.
99
Barings Global Credit Income Opportunities Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Finance (Continued) | | | | | | | | | | | | | | | | | | | | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.^ | | | 6.25 | % | | | 2/1/2022 | | | | 300,000 | | | | $308,861 | | | | $306,750 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.^ | | | 6.38 | | | | 12/15/2025 | | | | 381,000 | | | | 381,000 | | | | 381,038 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | | | 6.75 | | | | 2/1/2024 | | | | 1,250,000 | | | | 1,250,000 | | | | 1,284,375 | |
Jerrold Finco PLC+ | | | 6.13 | | | | 1/15/2024 | | | | 450,000 | | | | 560,255 | | | | 619,112 | |
LPL Holdings, Inc.^ | | | 5.75 | | | | 9/15/2025 | | | | 550,000 | | | | 556,420 | | | | 559,625 | |
Veritas US, Inc./Veritas Bermuda Ltd.^ | | | 7.50 | | | | 2/1/2023 | | | | 817,000 | | | | 869,848 | | | | 855,807 | |
Veritas US, Inc./Veritas Bermuda Ltd.^ | | | 10.50 | | | | 2/1/2024 | | | | 450,000 | | | | 485,700 | | | | 468,000 | |
| | | | | | | | | | | | | | | | | | | | |
Total Finance | | | | | | | | | | | 6,348,000 | | | | 7,439,249 | | | | 7,482,982 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Grocery — 0.4%*: | | | | | | | | | | | | | | | | | | | | |
C&S Group Enterprises LLC^ | | | 5.38 | | | | 7/15/2022 | | | | 270,000 | | | | 262,086 | | | | 254,475 | |
Post Holdings, Inc.^ | | | 5.50 | | | | 3/1/2025 | | | | 201,000 | | | | 201,000 | | | | 208,035 | |
Post Holdings, Inc.^ | | | 5.75 | | | | 3/1/2027 | | | | 249,000 | | | | 249,000 | | | | 253,358 | |
| | | | | | | | | | | | | | | | | | | | |
Total Grocery | | | | | | | | | | | 720,000 | | | | 712,086 | | | | 715,868 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Healthcare, Education and Childcare — 3.3%*: | | | | | | | | | | | | | | | | | | | | |
Avantor, Inc.^ | | | 6.00 | | | | 10/1/2024 | | | | 424,000 | | | | 424,000 | | | | 422,410 | |
CHS/Community Health Systems, Inc. | | | 6.25 | | | | 3/31/2023 | | | | 164,000 | | | | 164,000 | | | | 147,600 | |
Cognita Financing PLC+ | | | 7.75 | | | | 8/15/2021 | | | | 500,000 | | | | 725,569 | | | | 698,365 | |
CTC BondCo GmbH+ | | | 5.25 | | | | 12/15/2025 | | | | 150,000 | | | | 178,537 | | | | 180,044 | |
Halyard Health, Inc. | | | 6.25 | | | | 10/15/2022 | | | | 288,000 | | | | 289,445 | | | | 298,080 | |
IDH Finance PLC+ | | | 6.25 | | | | 8/15/2022 | | | | 400,000 | | | | 501,925 | | | | 493,855 | |
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA^ | | | 6.63 | | | | 5/15/2022 | | | | 735,000 | | | | 693,341 | | | | 738,675 | |
Tenet Healthcare Corp.^ | | | 4.63 | | | | 7/15/2024 | | | | 560,000 | | | | 560,000 | | | | 546,000 | |
Unilabs Subholding AB+ | | | 5.75 | | | | 5/15/2025 | | | | 100,000 | | | | 119,628 | | | | 120,800 | |
Valeant Pharmaceuticals International, Inc. | | | 4.50 | | | | 5/15/2023 | | | | 100,000 | | | | 92,045 | | | | 107,325 | |
Valeant Pharmaceuticals International, Inc.^ | | | 5.50 | | | | 11/1/2025 | | | | 184,000 | | | | 184,000 | | | | 187,220 | |
Valeant Pharmaceuticals International, Inc.^ | | | 6.13 | | | | 4/15/2025 | | | | 1,325,000 | | | | 1,122,400 | | | | 1,212,375 | |
Valeant Pharmaceuticals International, Inc.^ | | | 9.00 | | | | 12/15/2025 | | | | 177,000 | | | | 174,550 | | | | 184,469 | |
West Street Merger Sub, Inc.^ | | | 6.38 | | | | 9/1/2025 | | | | 507,000 | | | | 507,000 | | | | 508,268 | |
| | | | | | | | | | | | | | | | | | | | |
Total Healthcare, Education and Childcare | | | | | | | | | | | 5,614,000 | | | | 5,736,440 | | | | 5,845,486 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Hotels, Motels, Inns and Gaming — 0.5%*: | | | | | | | | | | | | | | | | | | | | |
TVL Finance PLC+ | | | 8.50 | | | | 5/15/2023 | | | | 540,000 | | | | 766,518 | | | | 792,512 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Insurance — 0.6%*: | | | | | | | | | | | | | | | | | | | | |
AssuredPartners, Inc.^ | | | 7.00 | | | | 8/15/2025 | | | | 750,000 | | | | 751,805 | | | | 746,250 | |
USIS Merger Sub, Inc.^ | | | 6.88 | | | | 5/1/2025 | | | | 229,000 | | | | 229,000 | | | | 231,290 | |
| | | | | | | | | | | | | | | | | | | | |
Total Insurance | | | | | | | | | | | 979,000 | | | | 980,805 | | | | 977,540 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Leisure, Amusement, Entertainment — 1.3%*: | | | | | | | | | | | | | | | | | | | | |
AMC Entertainment Holdings, Inc. | | | 6.38 | | | | 11/15/2024 | | | | 750,000 | | | | 969,990 | | | | 1,015,550 | |
Interval Acquisition Corp. | | | 5.63 | | | | 4/15/2023 | | | | 459,000 | | | | 459,000 | | | | 475,065 | |
See accompanying Notes to the Financial Statements.
100
Barings Global Credit Income Opportunities Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | | | | | | | | | | | | | | | | | | | | |
|
Leisure, Amusement, Entertainment (Continued) | |
Perform Group Financing PLC+ | | | 8.50 | % | | | 11/15/2020 | | | | 400,000 | | | | $550,456 | | | | $556,262 | |
WMG Acquisition Corp. | | | 4.13 | | | | 11/1/2024 | | | | 150,000 | | | | 165,758 | | | | 189,541 | |
| | | | | | | | | | | | | | | | | | | | |
Total Leisure, Amusement, Entertainment | | | | | | | | | | | 1,759,000 | | | | 2,145,204 | | | | 2,236,418 | |
| | | | | | | | | | | | | | | | | | | | |
| | |
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 0.7%*: | | | | | | | | | |
Apex Tool Group LLC^ | | | 7.00 | | | | 2/1/2021 | | | | 750,000 | | | | 683,315 | | | | 721,875 | |
Xerium Technologies, Inc. | | | 9.50 | | | | 8/15/2021 | | | | 500,000 | | | | 496,435 | | | | 506,250 | |
| | | | | | | | | | | | | | | | | | | | |
Total Machinery Non-Agriculture, Non-Construction, Non-Electronic | | | | | | | | | | | 1,250,000 | | | | 1,179,750 | | | | 1,228,125 | |
| | | | | | | | | | | | | | | | | | | | |
| | |
Mining, Steel, Iron and Non-Precious Metals — 1.1%*: | | | | | | | | | |
Allegheny Technologies, Inc. | | | 5.95 | | | | 1/15/2021 | | | | 1,000,000 | | | | 1,002,114 | | | | 1,020,000 | |
BlueScope Steel Finance Ltd./BlueScope Steel Finance USA LLC+^ | | | 6.50 | | | | 5/15/2021 | | | | 166,000 | | | | 166,000 | | | | 173,055 | |
Constellium NV | | | 4.25 | | | | 2/15/2026 | | | | 100,000 | | | | 116,620 | | | | 119,997 | |
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.^ | | | 7.50 | | | | 6/15/2025 | | | | 654,000 | | | | 644,820 | | | | 683,430 | |
| | | | | | | | | | | | | | | | | | | | |
Total Mining, Steel, Iron and Non-Precious Metals | | | | | | | | | | | 1,920,000 | | | | 1,929,554 | | | | 1,996,482 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Oil and Gas — 6.4%*: | | | | | | | | | | | | | | | | | | | | |
Chesapeake Energy Corp.^ | | | 8.00 | | | | 12/15/2022 | | | | 756,000 | | | | 782,140 | | | | 815,535 | |
Citgo Holding, Inc.^ | | | 10.75 | | | | 2/15/2020 | | | | 350,000 | | | | 343,943 | | | | 375,375 | |
Energy Transfer Equity LP | | | 4.25 | | | | 3/15/2023 | | | | 903,000 | | | | 903,000 | | | | 896,227 | |
EP Energy LLC/Everest Acquisition Finance, Inc.^ | | | 8.00 | | | | 2/15/2025 | | | | 1,343,000 | | | | 1,296,288 | | | | 980,390 | |
Ferrellgas LP/Ferrellgas Finance Corp. | | | 6.75 | | | | 1/15/2022 | | | | 1,000,000 | | | | 1,009,332 | | | | 925,000 | |
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp. | | | 8.63 | | | | 6/15/2020 | | | | 284,000 | | | | 275,400 | | | | 242,110 | |
Genesis Energy LP/Genesis Energy Finance Corp. | | | 6.00 | | | | 5/15/2023 | | | | 1,000,000 | | | | 983,790 | | | | 1,012,500 | |
Genesis Energy LP/Genesis Energy Finance Corp. | | | 6.75 | | | | 8/1/2022 | | | | 500,000 | | | | 484,546 | | | | 518,750 | |
Jonah Energy LLC/Jonah Energy Finance Corp.^ | | | 7.25 | | | | 10/15/2025 | | | | 863,000 | | | | 867,776 | | | | 869,472 | |
Jupiter Resources, Inc.+^ | | | 8.50 | | | | 10/1/2022 | | | | 1,450,000 | | | | 1,241,077 | | | | 899,000 | |
KCA Deutag UK Finance PLC+^ | | | 9.88 | | | | 4/1/2022 | | | | 200,000 | | | | 197,475 | | | | 212,000 | |
Kosmos Energy Ltd. | | | 7.88 | | | | 8/1/2021 | | | | 1,177,000 | | | | 1,142,557 | | | | 1,203,483 | |
Sunoco LP/Sunoco Finance Corp. | | | 6.25 | | | | 4/15/2021 | | | | 1,000,000 | | | | 1,003,853 | | | | 1,039,500 | |
Welltec A/S^+ | | | 9.50 | | | | 12/1/2022 | | | | 1,137,000 | | | | 1,126,091 | | | | 1,142,685 | |
| | | | | | | | | | | | | | | | | | | | |
Total Oil and Gas | | | | | | | | | | | 11,963,000 | | | | 11,657,268 | | | | 11,132,027 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Personal Transportation — 0.8%*: | | | | | | | | | | | | | | | | | | | | |
Hertz Corp. (The)^ | | | 7.63 | | | | 6/1/2022 | | | | 1,285,000 | | | | 1,281,439 | | | | 1,346,037 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
101
Barings Global Credit Income Opportunities Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Personal, Food and Miscellaneous — 0.3%*: | | | | | | | | | | | | | | | | | | | | |
Ocado Group PLC+ | | | 4.00 | % | | | 6/15/2024 | | | | 350,000 | | | | $449,071 | | | | $470,156 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Retail Stores — 1.6%*: | | | | | | | | | | | | | | | | | | | | |
House of Fraser Funding PLC, 3M GBP LIBOR + 5.750%+ | | | 6.27 | # | | | 9/15/2020 | | | | 150,000 | | | | 232,702 | | | | 177,068 | |
HSS Financing PLC+ | | | 6.75 | | | | 8/1/2019 | | | | 272,000 | | | | 393,304 | | | | 337,862 | |
Maxeda DIY Holding B.V.+ | | | 6.13 | | | | 7/15/2022 | | | | 200,000 | | | | 228,140 | | | | 241,357 | |
Penske Automotive Group, Inc. | | | 5.50 | | | | 5/15/2026 | | | | 1,345,000 | | | | 1,341,203 | | | | 1,364,771 | |
Travelex Financing PLC+ | | | 8.00 | | | | 5/15/2022 | | | | 500,000 | | | | 569,681 | | | | 607,724 | |
| | | | | | | | | | | | | | | | | | | | |
Total Retail Stores | | | | | | | | | | | 2,467,000 | | | | 2,765,030 | | | | 2,728,782 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Telecommunications — 0.5%*: | | | | | | | | | | | | | | | | | | | | |
Altice Finco SA+ | | | 4.75 | | | | 1/15/2028 | | | | 550,000 | | | | 642,358 | | | | 628,571 | |
Zayo Group LLC/Zayo Capital, Inc.^ | | | 5.75 | | | | 1/15/2027 | | | | 186,000 | | | | 186,000 | | | | 189,720 | |
| | | | | | | | | | | | | | | | | | | | |
Total Telecommunications | | | | | | | | | | | 736,000 | | | | 828,358 | | | | 818,291 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Utilities — 0.7%*: | | | | | | | | | | | | | | | | | | | | |
NRG Energy, Inc. | | | 7.25 | | | | 5/15/2026 | | | | 789,000 | | | | 799,375 | | | | 859,016 | |
Viridian Group Finance Co. PLC+ | | | 4.75 | | | | 9/15/2024 | | | | 300,000 | | | | 396,000 | | | | 400,695 | |
| | | | | | | | | | | | | | | | | | | | |
Total Utilities | | | | | | | | | | | 1,089,000 | | | | 1,195,375 | | | | 1,259,711 | |
| | | | | | | | | | | | | | | | | | | | |
Total Corporate Bonds | | | | | | | | | | | 74,854,953 | | | | 78,504,850 | | | | 78,173,138 | |
| | | | | | | | | | | | | | | | | | | | |
Total Fixed Income | | | | | | | | | | | 158,508,359 | | | | 161,922,106 | | | | 161,594,236 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | COUNTERPARTY | | STRIKE
PRICE | | | EXPIRATION
DATE | | | CONTRACTS | | | NOTIONAL | | | COST | | | UNREALIZED
VALUE | | | FAIR
VALUE | |
Purchased Option — 0.2%*: | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Put Option Purchased — 0.2%*: | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | Morgan Stanley & Co. | | | $2,450.00 | | | | 6/15/2018 | | | | 80 | | | | 21,388,880 | | | | 566,560 | | | | (290,560 | ) | | | 276,000 | |
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Short-Term Investments — 9.2%*: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Bank Deposit — 9.2%*: | | | | | | | | | | | | | | | | | | | | |
State Street Bank & Trust Co. Euro Time Deposit | | | 0.12 | % | | | 1/2/2018 | | | | 16,079,779 | | | | 16,079,779 | | | | 16,079,779 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | 193,781,807 | | | | 179,160,616 | | | | 178,819,802 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Other assets and liabilities – (2.6%)* | | | | | | | | | | | | | | | | | | | (4,455,812 | ) |
| | | | | |
Net Assets – 100.0% | | | | | | | | | | | | | | | | | | | $174,363,990 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
102
Barings Global Credit Income Opportunities Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| ‡‡ | | Unless otherwise indicated, all principal amounts are denominated in United States Dollars. |
| * | | Calculated as a percentage of net assets applicable to common shareholders. |
Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:
| | | | | | |
| | United States | | | 76.4% | |
| | United Kingdom | | | 8.3% | |
| | Netherlands | | | 4.2% | |
| | Germany | | | 3.2% | |
| | France | | | 1.7% | |
| | Sweden | | | 1.6% | |
| | Other (Individually less than 1%) | | | 4.6% | |
| | | | | | |
| | 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 December 31, 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). |
| # | | Variable rate security. The interest rate shown is the rate in effect at December 31, 2017. |
A summary of outstanding derivatives at December 31, 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 | |
| 1/12/18 | | Goldman Sachs & Co. | | | EUR | | | | 22,590 | | | | 27,119 | | | | 26,750 | | | $ | 369 | |
| 1/12/18 | | Bank of America N.A. | | | GBP | | | | 295,306 | | | | 398,819 | | | | 396,594 | | | | 2,225 | |
| 1/12/18 | | Goldman Sachs & Co. | | | GBP | | | | 130,019 | | | | 175,594 | | | | 173,891 | | | | 1,703 | |
| | | | | | | | | | | | | | | | | | | | | | |
Net unrealized appreciation on forward foreign currency exchange contracts to buy | | | $ | 4,297 | |
| | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts to Sell
| | | | | | | | | | | | | | | | | | | | | | |
EXPIRATION
DATE | | COUNTERPARTY | | LOCAL
CURRENCY | | | VALUE IN USD | | | IN
EXCHANGE
FOR USD | | | NET UNREALIZED
DEPRECIATION | |
| 1/12/18 | | Goldman Sachs & Co. | | | EUR | | | | 13,224,250 | | | | 15,875,528 | | | | 15,642,168 | | | $ | (233,360 | ) |
| 1/12/18 | | JPMorgan Chase Bank N.A. | | | GBP | | | | 9,947,734 | | | | 13,434,705 | | | | 13,379,676 | | | | (55,029 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Net unrealized depreciation on forward foreign currency exchange contracts to sell | | | $ | (288,389 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
103
Barings Global Credit Income Opportunities Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
Currency Legend
| | | | |
| EUR | | – | | Euro |
| GBP | | – | | British Pound Sterling |
See accompanying Notes to the Financial Statements.
104
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Fixed Income — 77.6%*: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Asset-Backed Securities — 31.2%*: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
CDO/CLO — 4.1%*: | | | | | | | | | | | | | | | | | | | | |
AIMCO CLO 2014-AA AR, 3M USD LIBOR + 1.100%^ | | | 2.46 | #% | | | 7/20/2026 | | | | 1,200,000 | | | | $1,200,000 | | | | $1,202,002 | |
ALM VII Ltd. 2012-7A A1R, 3M USD LIBOR + 1.480%^ | | | 2.84 | # | | | 10/15/2028 | | | | 390,000 | | | | 390,000 | | | | 393,255 | |
ALM XIV Ltd. 2014-14A A1R, 3M USD LIBOR + 1.150%^ | | | 2.53 | # | | | 7/28/2026 | | | | 570,000 | | | | 570,000 | | | | 571,164 | |
Apidos CLO XXV 2016-25A A1, 3M USD LIBOR + 1.460%^ | | | 2.82 | # | | | 10/20/2028 | | | | 470,000 | | | | 470,000 | | | | 471,447 | |
Avery Point III CLO Ltd. 2013-3A AR, 3M USD LIBOR + 1.120%^ | | | 2.47 | # | | | 1/18/2025 | | | | 800,000 | | | | 800,000 | | | | 802,070 | |
BlueMountain CLO Ltd. 2015-2A A1, 3M USD LIBOR + 1.430%^ | | | 2.78 | # | | | 7/18/2027 | | | | 500,000 | | | | 493,400 | | | | 502,355 | |
Carlyle Global Market Strategies CLO Ltd. 2014-4A A1R, 3M USD LIBOR + 1.200%^ | | | 2.56 | # | | | 10/15/2026 | | | | 250,000 | | | | 250,000 | | | | 250,485 | |
Denali Capital CLO Ltd. 2013 1A A1LR, 3M USD LIBOR + 1.050%+^ | | | 2.42 | # | | | 10/26/2027 | | | | 2,420,000 | | | | 2,420,000 | | | | 2,428,252 | |
Galaxy XX CLO Ltd. 2015-20A A, 3M USD LIBOR + 1.450%^ | | | 2.81 | # | | | 7/20/2027 | | | | 250,000 | | | | 247,272 | | | | 250,260 | |
LCM XIV LP 2014-A, 3M USD LIBOR + 1.150%^ | | | 2.51 | # | | | 7/15/2025 | | | | 618,068 | | | | 617,714 | | | | 618,923 | |
LCM XXIII Ltd. 23A A1, 3M USD LIBOR + 1.400%^ | | | 2.76 | # | | | 10/20/2029 | | | | 610,000 | | | | 610,000 | | | | 617,741 | |
Madison Park Funding XIV Ltd. 2014-14A A1R, 3M USD LIBOR + 1.120%^ | | | 2.48 | # | | | 7/20/2026 | | | | 290,000 | | | | 290,000 | | | | 291,296 | |
Madison Park Funding XXII Ltd. 2016-22A A, 3M USD LIBOR + 1.480%^ | | | 2.85 | # | | | 10/25/2029 | | | | 350,000 | | | | 350,000 | | | | 356,150 | |
Magnetite XI Ltd. 2014-11A A1R, 3M USD LIBOR + 1.120%^ | | | 2.47 | # | | | 1/18/2027 | | | | 890,000 | | | | 890,000 | | | | 892,989 | |
Neuberger Berman CLO XX Ltd. 2015-20A BR, 3M USD LIBOR + 1.250%^ | | | 2.69 | # | | | 1/15/2028 | | | | 2,000,000 | | | | 2,000,000 | | | | 2,000,290 | |
OCP CLO Ltd. 2015-8A A2AR, 3M USD LIBOR + 1.450%^ | | | 2.80 | # | | | 4/17/2027 | | | | 900,000 | | | | 900,000 | | | | 902,307 | |
OHA Loan Funding Ltd. 2015-1A AR, 3M USD LIBOR + 1.410%^ | | | 2.83 | # | | | 8/15/2029 | | | | 840,000 | | | | 840,000 | | | | 854,238 | |
Race Point VIII CLO Ltd. 2013-8A AR, 3M USD LIBOR + 1.340%^ | | | 2.78 | # | | | 2/20/2030 | | | | 1,320,000 | | | | 1,320,000 | | | | 1,329,994 | |
Seneca Park CLO Ltd. 2014-1A AR, 3M USD LIBOR + 1.120%^ | | | 2.47 | # | | | 7/17/2026 | | | | 360,000 | | | | 360,000 | | | | 360,378 | |
Symphony CLO XV Ltd. 2014-15A AR, 3M USD LIBOR + 1.180%^ | | | 2.53 | # | | | 10/17/2026 | | | | 1,100,000 | | | | 1,100,000 | | | | 1,103,251 | |
TCI-Symphony CLO Ltd. 2016-1A A, 3M USD LIBOR + 1.480%^ | | | 2.84 | # | | | 10/13/2029 | | | | 320,000 | | | | 320,000 | | | | 325,519 | |
See accompanying Notes to the Financial Statements.
105
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Asset-Backed Securities (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
CDO/CLO (Continued) | | | | | | | | | | | | | | | | | | | | |
Treman Park CLO Ltd. 2015-1A AR, 3M USD LIBOR + 1.370%^ | | | 2.73 | # % | | | 4/20/2027 | | | | 970,000 | | | $ | 970,000 | | | $ | 971,611 | |
| | | | | | | | | | | | | | | | | | | | |
Total CDO/CLO | | | | | | | | | | | 17,418,068 | | | | 17,408,386 | | | | 17,495,977 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Other Asset-Backed Securities — 27.1%*: | | | | | | | | | | | | | | | | | | | | |
321 Henderson Receivables II LLC 2006-3A A1, 1M USD LIBOR + 0.200%^ | | | 1.45 | # | | | 9/15/2041 | | | | 137,665 | | | | 133,736 | | | | 130,176 | |
Access Group, Inc. 2015-1 A, 1M USD LIBOR + 0.700%^ | | | 2.25 | # | | | 7/25/2056 | | | | 138,819 | | | | 135,807 | | | | 138,986 | |
Access Group, Inc. 2015-1 B, 1M USD LIBOR + 1.500%^ | | | 3.05 | # | | | 7/25/2058 | | | | 100,000 | | | | 86,487 | | | | 86,343 | |
AccessLex Institute 2002-A A2, 28 day ARS¤ | | | 1.96 | # | | | 9/25/2037 | | | | 650,000 | | | | 599,611 | | | | 646,100 | |
AccessLex Institute 2004-A A3, 28 day ARS | | | 1.70 | # | | | 7/1/2039 | | | | 1,400,000 | | | | 1,374,055 | | | | 1,381,132 | |
AccessLex Institute 2005-1 A3, 3M USD LIBOR + 0.150% | | | 1.81 | # | | | 6/22/2022 | | | | 41,768 | | | | 41,327 | | | | 41,750 | |
Accredited Mortgage Loan Trust 2004-04 A2D, 1M USD LIBOR + 0.700% | | | 2.25 | # | | | 1/25/2035 | | | | 535,481 | | | | 525,128 | | | | 537,567 | |
American Credit Acceptance Receivables Trust 2016-2 A^ | | | 2.22 | | | | 7/13/2020 | | | | 31,254 | | | | 31,254 | | | | 31,262 | |
American Credit Acceptance Receivables Trust 2017-1 B^ | | | 2.39 | | | | 2/16/2021 | | | | 580,000 | | | | 579,955 | | | | 579,974 | |
American Credit Acceptance Receivables Trust 2017-4 C^ | | | 2.94 | | | | 1/10/2024 | | | | 1,790,000 | | | | 1,789,936 | | | | 1,789,061 | |
AmeriCredit Automobile Receivables Trust 2014-1 D | | | 2.54 | | | | 6/8/2020 | | | | 310,000 | | | | 309,740 | | | | 310,847 | |
Arbys Funding LLC 2015-1A A2^ | | | 4.97 | | | | 10/30/2045 | | | | 78,400 | | | | 78,400 | | | | 80,072 | |
Argent Securities, Inc. Asset-Backed Pass-Through Certificates 2004-W10 M1, 1M USD LIBOR + 0.900% | | | 2.23 | # | | | 10/25/2034 | | | | 292,114 | | | | 265,748 | | | | 282,519 | |
ARI Fleet Lease Trust 2016-A A3^ | | | 2.11 | | | | 7/15/2024 | | | | 200,000 | | | | 199,968 | | | | 199,977 | |
Asset Backed Securities Corp. Home Equity Loan Trust 2005-HE1 M1, 1M USD LIBOR + 0.750% | | | 2.30 | # | | | 3/25/2035 | | | | 348,844 | | | | 346,814 | | | | 356,072 | |
Avant Loans Funding Trust 2017-B A^ | | | 2.29 | | | | 6/15/2020 | | | | 1,456,861 | | | | 1,457,048 | | | | 1,456,489 | |
Avis Budget Rental Car Funding AESOP LLC Series 2012-3A A^ | | | 2.10 | | | | 3/20/2019 | | | | 120,000 | | | | 119,717 | | | | 120,001 | |
BlueVirgo Trust 2015-1A^ | | | 3.00 | | | | 12/15/2022 | | | | 150,778 | | | | 150,289 | | | | 151,113 | |
BRE Grand Islander Timeshare Issuer LLC 2017-1A A^ | | | 2.94 | | | | 5/25/2029 | | | | 284,532 | | | | 284,464 | | | | 281,476 | |
BRE Grand Islander Timeshare Issuer LLC 2017-1A B^ | | | 3.24 | | | | 5/25/2029 | | | | 234,321 | | | | 234,289 | | | | 231,231 | |
Capital Automotive LLC 2017-1A A1^ | | | 3.87 | | | | 4/15/2047 | | | | 307,933 | | | | 307,845 | | | | 312,329 | |
CarFinance Capital Auto Trust 2013-2A C^ | | | 4.04 | | | | 8/15/2019 | | | | 148,554 | | | | 148,930 | | | | 148,593 | |
CarFinance Capital Auto Trust 2014-2 A^ | | | 1.44 | | | | 11/16/2020 | | | | 23,194 | | | | 23,061 | | | | 23,174 | |
Cazenovia Creek Funding I LLC 2015-1A A^ | | | 2.00 | | | | 12/10/2023 | | | | 58,285 | | | | 57,788 | | | | 58,067 | |
See accompanying Notes to the Financial Statements.
106
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Asset-Backed Securities (Continued) | | | | | | | | | | | | | | | | | | | | |
|
Other Asset-Backed Securities (Continued) | |
Centex Home Equity Loan Trust 2006-A AV4, 1M USD LIBOR + 0.250% | | | 1.80 | # % | | | 6/25/2036 | | | | 160,003 | | | $ | 156,322 | | | $ | 160,447 | |
Citigroup Mortgage Loan Trust Asset Backed Pass-Through Certificates 2005-OPT3 M2, 1M USD LIBOR + 0.675% | | | 2.23 | # | | | 5/25/2035 | | | | 164,313 | | | | 163,919 | | | | 164,627 | |
CKE Restaurant Holdings, Inc. 2013-1A A2^ | | | 4.47 | | | | 3/20/2043 | | | | 429,827 | | | | 433,820 | | | | 430,737 | |
CLI Funding V LLC 2013-1A^ | | | 2.83 | | | | 3/18/2028 | | | | 50,900 | | | | 50,675 | | | | 50,176 | |
CLI Funding V LLC 2013-2A^ | | | 3.22 | | | | 6/18/2028 | | | | 1,031,105 | | | | 1,019,723 | | | | 1,024,690 | |
CLI Funding V LLC 2014-1A A^ | | | 3.29 | | | | 6/18/2029 | | | | 869,646 | | | | 865,197 | | | | 864,937 | |
CLI Funding VI LLC 2017-1A A^ | | | 3.62 | | | | 5/18/2042 | | | | 609,026 | | | | 608,959 | | | | 609,443 | |
College Loan Corp. Trust I 2005-2 B, 3M USD LIBOR + 0.490% | | | 1.85 | # | | | 1/15/2037 | | | | 193,356 | | | | 170,632 | | | | 177,766 | |
Commonbond Student Loan Trust 2016-B A1^ | | | 2.73 | | | | 10/25/2040 | | | | 1,851,291 | | | | 1,858,836 | | | | 1,845,289 | |
Commonbond Student Loan Trust 2017-A-GS^ | | | 5.28 | | | | 5/25/2041 | | | | 710,000 | | | | 709,913 | | | | 721,188 | |
CPS Auto Receivables Trust 2015-B A^ | | | 1.65 | | | | 11/15/2019 | | | | 35,494 | | | | 35,328 | | | | 35,473 | |
CPS Auto Receivables Trust 2015-C B^ | | | 2.55 | | | | 2/18/2020 | | | | 94,939 | | | | 94,931 | | | | 95,049 | |
CPS Auto Receivables Trust 2016-A A^ | | | 2.25 | | | | 10/15/2019 | | | | 17,618 | | | | 17,618 | | | | 17,625 | |
CPS Auto Receivables Trust 2016-B A^ | | | 2.07 | | | | 11/15/2019 | | | | 50,080 | | | | 50,079 | | | | 50,068 | |
CPS Auto Receivables Trust 2016-C A^ | | | 1.62 | | | | 1/15/2020 | | | | 50,020 | | | | 50,020 | | | | 49,948 | |
CPS Auto Receivables Trust 2016-C B^ | | | 2.48 | | | | 9/15/2020 | | | | 180,000 | | | | 179,988 | | | | 179,601 | |
CPS Auto Trust 2017-A B^ | | | 2.68 | | | | 5/17/2021 | | | | 1,200,000 | | | | 1,200,000 | | | | 1,201,451 | |
CPS Auto Trust 2017-D A^ | | | 1.87 | | | | 3/15/2021 | | | | 360,033 | | | | 360,028 | | | | 359,250 | |
Credit Suisse ABS Repackaging Trust 2013-A B^ | | | 2.50 | | | | 1/25/2030 | | | | 60,940 | | | | 58,176 | | | | 57,522 | |
DB Master Finance LLC 2015-1A A2II^ | | | 3.98 | | | | 2/20/2045 | | | | 1,167,000 | | | | 1,175,573 | | | | 1,194,928 | |
Diamond Resorts Owner Trust 2013-1 A^ | | | 1.95 | | | | 1/20/2025 | | | | 290,722 | | | | 289,149 | | | | 289,935 | |
Diamond Resorts Owner Trust 2013-2 A^ | | | 2.27 | | | | 5/20/2026 | | | | 411,070 | | | | 408,205 | | | | 410,262 | |
Diamond Resorts Owner Trust 2015-1 A^ | | | 2.73 | | | | 7/20/2027 | | | | 24,391 | | | | 24,389 | | | | 24,231 | |
Diamond Resorts Owner Trust 2015-2 A^ | | | 2.99 | | | | 5/22/2028 | | | | 93,072 | | | | 94,046 | | | | 92,186 | |
Diamond Resorts Owner Trust 2015-2 B^ | | | 3.54 | | | | 5/22/2028 | | | | 33,844 | | | | 33,843 | | | | 33,600 | |
Diamond Resorts Owner Trust 2016-1 A^ | | | 3.08 | | | | 11/20/2028 | | | | 673,526 | | | | 673,526 | | | | 663,062 | |
Domino’s Pizza Master Issuer LLC 2015-1A A2I^ | | | 3.48 | | | | 10/25/2045 | | | | 334,900 | | | | 329,221 | | | | 336,065 | |
DRB Prime Student Loan Trust 2015-A A2^ | | | 3.06 | | | | 7/25/2031 | | | | 67,432 | | | | 66,626 | | | | 67,431 | |
DRB Prime Student Loan Trust 2015-B A2^ | | | 3.17 | | | | 7/25/2031 | | | | 188,276 | | | | 187,585 | | | | 189,139 | |
DRB Prime Student Loan Trust 2015-B A3^ | | | 2.54 | | | | 4/27/2026 | | | | 29,199 | | | | 29,196 | | | | 28,824 | |
DRB Prime Student Loan Trust 2015-D A1, 1M USD LIBOR + 1.700%^ | | | 3.25 | # | | | 1/25/2040 | | | | 223,572 | | | | 220,793 | | | | 227,866 | |
DRB Prime Student Loan Trust 2015-D A2^ | | | 3.20 | | | | 1/25/2040 | | | | 781,727 | | | | 780,927 | | | | 781,070 | |
DRB Prime Student Loan Trust 2016-A A1, 1M USD LIBOR + 2.000%^ | | | 3.55 | # | | | 4/25/2040 | | | | 186,465 | | | | 186,091 | | | | 185,981 | |
DRB Prime Student Loan Trust 2016-B A2^ | | | 2.89 | | | | 6/25/2040 | | | | 210,184 | | | | 210,124 | | | | 210,623 | |
DRB Prime Student Loan Trust 2016-R A1, 1M USD LIBOR + 1.900%^¤ | | | 3.46 | # | | | 10/25/2044 | | | | 1,148,047 | | | | 1,148,047 | | | | 1,159,528 | |
Drive Auto Receivables Trust 2015-AA C^ | | | 3.06 | | | | 5/17/2021 | | | | 253,812 | | | | 256,102 | | | | 254,900 | |
Drive Auto Receivables Trust 2016-BA B^ | | | 2.56 | | | | 6/15/2020 | | | | 1,429,379 | | | | 1,431,903 | | | | 1,430,726 | |
Drive Auto Receivables Trust 2017-1 C | | | 2.84 | | | | 4/15/2022 | | | | 350,000 | | | | 349,955 | | | | 351,479 | |
See accompanying Notes to the Financial Statements.
107
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Asset-Backed Securities (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Other Asset-Backed Securities (Continued) | | | | | | | | | | | | | | | | | | | | |
Drive Auto Receivables Trust 2017-2 C | | | 2.75 | % | | | 9/15/2023 | | | | 200,000 | | | $ | 199,992 | | | $ | 200,229 | |
Drug Royalty Corp Inc. 2012-1 A1, 3M USD LIBOR + 5.250%^ | | | 6.13 | # | | | 7/15/2024 | | | | 29,615 | | | | 30,210 | | | | 29,901 | |
DT Auto Owner Trust 2016-1A B^ | | | 2.79 | | | | 5/15/2020 | | | | 6,315 | | | | 6,315 | | | | 6,316 | |
DT Auto Owner Trust 2016-2A B^ | | | 2.92 | | | | 5/15/2020 | | | | 127,164 | | | | 127,163 | | | | 127,242 | |
Earnest Student Loan Program LLC 2016-B A1, 1M USD LIBOR + 2.050%^ | | | 3.60 | # | | | 2/26/2035 | | | | 241,961 | | | | 241,961 | | | | 242,785 | |
Earnest Student Loan Program LLC 2016-C A2^ | | | 2.68 | | | | 7/25/2035 | | | | 365,644 | | | | 363,601 | | | | 358,903 | |
Earnest Student Loan Program LLC 2016-D A2^ | | | 2.72 | | | | 1/25/2041 | | | | 419,113 | | | | 418,986 | | | | 414,668 | |
ECMC Group Student Loan Trust 2016-1A A, 1M USD LIBOR + 1.350%^ | | | 2.90 | # | | | 7/26/2066 | | | | 480,627 | | | | 480,627 | | | | 485,068 | |
ECMC Group Student Loan Trust 2017-1A A, 1M USD LIBOR + 1.200%^ | | | 2.75 | # | | | 12/27/2066 | | | | 1,442,320 | | | | 1,442,320 | | | | 1,458,942 | |
EdLinc Student Loan Funding Trust 2017-A A, PRIME – 1.15%^¤ | | | 1.01 | # | | | 12/1/2047 | | | | 1,950,000 | | | | 1,936,445 | | | | 1,936,440 | |
Education Loan Asset-Backed Trust I 2013-1 A1, 1M USD LIBOR + 0.800%^ | | | 2.35 | # | | | 6/25/2026 | | | | 482,213 | | | | 476,833 | | | | 482,521 | |
Elara HGV Timeshare Issuer LLC 2014-A B^ | | | 3.02 | #** | | | 2/25/2027 | | | | 29,164 | | | | 28,940 | | | | 29,007 | |
Elara HGV Timeshare Issuer LLC 2016-A A^ | | | 2.73 | | | | 4/25/2028 | | | | 223,658 | | | | 223,654 | | | | 222,330 | |
Elara HGV Timeshare Issuer LLC 2017-A A^ | | | 2.69 | | | | 3/25/2030 | | | | 511,026 | | | | 510,981 | | | | 507,180 | |
Element Rail Leasing II LLC 2015-1A A1+^ | | | 2.71 | | | | 2/19/2045 | | | | 384,926 | | | | 381,590 | | | | 381,520 | |
Element Rail Leasing II LLC 2015-1A A1+^ | | | 3.97 | | | | 3/19/2046 | | | | 128,891 | | | | 128,891 | | | | 130,895 | |
Element Rail Leasing II LLC 2016-1A A2+^ | | | 5.05 | | | | 3/19/2046 | | | | 800,000 | | | | 813,189 | | | | 850,129 | |
Entergy New Orleans Storm Recovery Funding I LLC 2015-1 A | | | 2.67 | | | | 6/1/2027 | | | | 139,849 | | | | 139,821 | | | | 139,534 | |
Enterprise Fleet Financing LLC 2016-1 A2^ | | | 1.83 | | | | 9/20/2021 | | | | 289,162 | | | | 289,135 | | | | 289,006 | |
Enterprise Fleet Financing LLC 2017-1 A3^ | | | 2.60 | | | | 7/20/2022 | | | | 240,000 | | | | 239,950 | | | | 241,170 | |
Exeter Automobile Receivables Trust 2015-2A C^ | | | 3.90 | | | | 3/15/2021 | | | | 800,000 | | | | 808,974 | | | | 809,853 | |
Exeter Automobile Receivables Trust 2016-3A B^ | | | 2.84 | | | | 8/16/2021 | | | | 240,000 | | | | 239,967 | | | | 238,385 | |
Exeter Automobile Receivables Trust 2017-1A B^ | | | 3.00 | | | | 12/15/2021 | | | | 430,000 | | | | 429,920 | | | | 428,440 | |
First Franklin Mortgage Loan Trust 2004-FFH4 M5, 1M USD LIBOR + 1.575% | | | 3.13 | # | | | 1/25/2035 | | | | 327,079 | | | | 328,593 | | | | 332,014 | |
First Franklin Mortgage Loan Trust 2005 FF3 M3, 1M USD LIBOR + 0.720% | | | 2.27 | # | | | 4/25/2035 | | | | 43,364 | | | | 43,159 | | | | 43,451 | |
First Investors Auto Owner Trust 2016-1A A1^ | | | 1.92 | | | | 5/15/2020 | | | | 40,628 | | | | 40,627 | | | | 40,622 | |
First Investors Auto Owner Trust 2016-2A B^ | | | 2.21 | | | | 7/15/2022 | | | | 520,000 | | | | 519,978 | | | | 513,839 | |
First Investors Auto Owner Trust 2017-3A B^ | | | 2.72 | | | | 4/17/2023 | | | | 560,000 | | | | 559,960 | | | | 557,311 | |
Flagship Credit Auto Trust 2015-2 A^ | | | 1.98 | | | | 10/15/2020 | | | | 25,516 | | | | 25,514 | | | | 25,515 | |
Flagship Credit Auto Trust 2015-3 A^ | | | 2.38 | | | | 10/15/2020 | | | | 195,739 | | | | 196,296 | | | | 196,070 | |
Flagship Credit Auto Trust 2016-1 A^ | | | 2.77 | | | | 12/15/2020 | | | | 162,589 | | | | 162,342 | | | | 163,231 | |
Flagship Credit Auto Trust 2016-3 B^ | | | 2.43 | | | | 6/15/2021 | | | | 310,000 | | | | 309,979 | | | | 310,052 | |
Flagship Credit Auto Trust 2016-4 B^ | | | 2.41 | | | | 10/15/2021 | | | | 1,940,000 | | | | 1,941,235 | | | | 1,932,750 | |
See accompanying Notes to the Financial Statements.
108
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Asset-Backed Securities (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Other Asset-Backed Securities (Continued) | | | | | | | | | | | | | | | | | | | | |
Flagship Credit Auto Trust 2016-4 C^ | | | 2.71 | % | | | 11/15/2022 | | | | 410,000 | | | $ | 409,981 | | | $ | 407,815 | |
Flagship Credit Auto Trust 2017-1 B^ | | | 2.83 | | | | 3/15/2023 | | | | 895,000 | | | | 894,975 | | | | 897,289 | |
Flagship Credit Auto Trust 2017-4 C^ | | | 2.92 | | | | 11/15/2023 | | | | 1,140,000 | | | | 1,138,967 | | | | 1,135,802 | |
FNA Trust 2015-1 A^ | | | 3.24 | | | | 12/10/2023 | | | | 114,261 | | | | 114,309 | | | | 113,608 | |
FRS I LLC 2013-1A A1^ | | | 1.80 | | | | 4/15/2043 | | | | 22,088 | | | | 21,869 | | | | 21,948 | |
Global SC Finance II SRL 2014-1A A1+^ | | | 3.19 | | | | 7/17/2029 | | | | 204,083 | | | | 204,043 | | | | 202,608 | |
Global SC Finance IV Ltd.+^ | | | 3.85 | | | | 4/15/2037 | | | | 414,158 | | | | 414,013 | | | | 420,727 | |
Goal Capital Funding Trust 2010-1 A, 3M USD LIBOR + 0.700%^ | | | 2.16 | # | | | 8/25/2048 | | | | 193,874 | | | | 186,160 | | | | 192,389 | |
Goal Structured Solution Trust 2015-1 B, 1M USD LIBOR + 1.500%^ | | | 3.05 | # | | | 9/25/2043 | | | | 100,000 | | | | 76,331 | | | | 90,187 | |
Goodgreen Trust 2016-1 A^ | | | 3.23 | | | | 10/15/2052 | | | | 571,781 | | | | 571,501 | | | | 570,283 | |
GSAMP Trust 2005-SEA2 A1, 1M USD LIBOR + 0.350%^ | | | 1.90 | # | | | 1/25/2045 | | | | 23,333 | | | | 22,452 | | | | 23,286 | |
Hero Funding 2017-3A A1^ | | | 3.19 | | | | 9/20/2048 | | | | 845,266 | | | | 844,980 | | | | 842,960 | |
HERO Funding Trust 2015-1A A^ | | | 3.84 | | | | 9/21/2040 | | | | 908,029 | | | | 924,571 | | | | 923,919 | |
HERO Funding Trust 2016-4A A1^ | | | 3.57 | | | | 9/20/2047 | | | | 385,703 | | | | 385,551 | | | | 391,978 | |
HERO Funding Trust 2017-2A A1^ | | | 3.28 | | | | 9/20/2048 | | | | 133,728 | | | | 133,711 | | | | 133,197 | |
HERO Funding Trust 2017-2A A2^ | | | 4.07 | | | | 9/20/2048 | | | | 105,079 | | | | 107,675 | | | | 107,160 | |
Higher Education Funding I 2004-1 B1, 28 day ARS^ | | | 2.10 | # | | | 1/1/2044 | | | | 950,000 | | | | 827,578 | | | | 886,726 | |
Hilton Grand Vacations Trust 2013-A A^ | | | 2.28 | | | | 1/25/2026 | | | | 51,210 | | | | 50,532 | | | | 50,849 | |
Hilton Grand Vacations Trust 2017-AA B^ | | | 2.96 | #** | | | 12/26/2028 | | | | 351,747 | | | | 351,732 | | | | 347,356 | |
Laurel Road Prime Student Loan Trust 2017-B CFX^ | | | 3.61 | | | | 8/25/2042 | | | | 520,000 | | | | 519,921 | | | | 511,543 | |
Laurel Road Prime Student Loan Trust 2017-C B^ | | | 2.95 | | | | 11/25/2042 | | | | 590,000 | | | | 589,770 | | | | 582,362 | |
Lendmark Funding Trust 2017-1A^ | | | 2.83 | | | | 12/22/2025 | | | | 310,000 | | | | 309,941 | | | | 309,190 | |
Lendmark Funding Trust 2017-2A A^ | | | 2.80 | | | | 5/20/2026 | | | | 679,964 | | | | 679,937 | | | | 679,937 | |
Mariner Finance Issuance Trust 2017-AA A^ | | | 3.62 | | | | 2/20/2029 | | | | 480,000 | | | | 479,911 | | | | 482,625 | |
Mariner Finance Issuance Trust 2017-BA B^ | | | 2.92 | | | | 12/20/2029 | | | | 2,100,000 | | | | 2,099,787 | | | | 2,095,885 | |
Marlette Funding Trust 2016-1A A^ | | | 3.06 | | | | 1/17/2023 | | | | 241,675 | | | | 241,885 | | | | 242,102 | |
Marlette Funding Trust 2017-1A A^ | | | 2.83 | | | | 3/15/2024 | | | | 1,256,528 | | | | 1,259,710 | | | | 1,260,218 | |
Marlette Funding Trust 2017-2A A^ | | | 2.39 | | | | 7/15/2024 | | | | 394,346 | | | | 394,346 | | | | 394,300 | |
Marlette Funding Trust 2017-3A A^ | | | 2.36 | | | | 12/15/2024 | | | | 458,496 | | | | 458,472 | | | | 458,310 | |
Miramax LLC 2014-1A A2^ | | | 3.34 | | | | 7/20/2026 | | | | 104,496 | | | | 104,811 | | | | 104,581 | |
Mosaic Solar Loans LLC 2017-1A A^ | | | 4.45 | | | | 6/20/2042 | | | | 117,263 | | | | 117,230 | | | | 119,645 | |
Mosaic Solar Loans LLC 2017-2A D^ | | | Zero Coupon | | | | 9/20/2042 | | | | 500,000 | | | | 440,389 | | | | 441,614 | |
MVW Owner Trust 2013-1A A^ | | | 2.15 | | | | 4/22/2030 | | | | 337,136 | | | | 334,625 | | | | 332,824 | |
MVW Owner Trust 2015-1A A^ | | | 2.52 | | | | 12/20/2032 | | | | 42,880 | | | | 42,877 | | | | 42,646 | |
MVW Owner Trust 2016-1A A^ | | | 2.25 | | | | 12/20/2033 | | | | 2,011,561 | | | | 1,994,300 | | | | 1,990,063 | |
MVW Owner Trust 2017-1A A^ | | | 2.42 | | | | 12/20/2034 | | | | 115,355 | | | | 115,338 | | | | 114,301 | |
Nations Equipment Finance Funding III LLC 2016-1A A^ | | | 3.61 | | | | 2/20/2021 | | | | 106,342 | | | | 106,340 | | | | 106,464 | |
See accompanying Notes to the Financial Statements.
109
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Asset-Backed Securities (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Other Asset-Backed Securities (Continued) | | | | | | | | | | | | | | | | | | | | |
Navient Student Loan Trust 2017-3A A3, 1M USD LIBOR + 1.050%^ | | | 2.60 | # % | | | 7/26/2066 | | | | 1,000,000 | | | $ | 1,000,000 | | | $ | 1,026,133 | |
Navient Student Loan Trust 2015-1 B, 1M USD LIBOR + 1.500% | | | 3.05 | # | | | 7/25/2052 | | | | 1,100,000 | | | | 1,094,524 | | | | 1,094,606 | |
Navient Student Loan Trust 2015-2 A3, 1M USD LIBOR + 0.570% | | | 2.12 | # | | | 11/26/2040 | | | | 500,000 | | | | 492,763 | | | | 498,694 | |
Navient Student Loan Trust 2016-5A A, 1M USD LIBOR + 1.250%^ | | | 2.80 | # | | | 6/25/2065 | | | | 1,054,765 | | | | 1,059,365 | | | | 1,080,060 | |
Navient Student Loan Trust 2016-6 A3, 1M USD LIBOR + 1.300%^ | | | 2.85 | # | | | 3/25/2066 | | | | 1,100,000 | | | | 1,100,000 | | | | 1,131,063 | |
Navient Student Loan Trust 2017-1A A3, 1M USD LIBOR + 1.150%^ | | | 2.70 | # | | | 7/26/2066 | | | | 1,300,000 | | | | 1,300,000 | | | | 1,330,934 | |
Navient Student Loan Trust 2017-4A A3, 1M USD LIBOR + 1.000%^ | | | 2.55 | # | | | 9/27/2066 | | | | 650,000 | | | | 650,000 | | | | 656,201 | |
Navient Student Loan Trust 2017-5A A, 1M USD LIBOR + 1.000%^ | | | 2.35 | # | | | 7/26/2066 | | | | 631,170 | | | | 630,446 | | | | 633,321 | |
Navistar Financial Dealer Note Master Owner Trust II 2016-1 A, 1M LIBOR + 1.350%^ | | | 2.90 | # | | | 9/27/2021 | | | | 550,000 | | | | 550,000 | | | | 553,234 | |
Navitas Equipment Receivables LLC 2015-1 A2^ | | | 2.12 | | | | 11/15/2018 | | | | 20,876 | | | | 20,873 | | | | 20,875 | |
Nelnet Private Education Loan Trust 2016-A A1A, 1M USD LIBOR + 1.750%^ | | | 3.08 | # | | | 12/26/2040 | | | | 331,832 | | | | 331,832 | | | | 332,484 | |
Nelnet Private Education Loan Trust 2016-A A1B^ | | | 3.60 | | | | 12/26/2040 | | | | 238,929 | | | | 237,379 | | | | 235,838 | |
Nelnet Student Loan Trust 2006-2 A6, 3M USD LIBOR + 0.120% | | | 1.49 | # | | | 4/25/2031 | | | | 280,000 | | | | 274,085 | | | | 280,464 | |
Nelnet Student Loan Trust 2014-6A A, 1M USD LIBOR + 0.650%^ | | | 2.20 | # | | | 11/25/2052 | | | | 358,343 | | | | 347,256 | | | | 355,248 | |
New Residential Advance Receivables Trust Advance Receivables Backed Notes 2016-T2 AT2^ | | | 2.58 | | | | 10/15/2049 | | | | 1,950,000 | | | | 1,950,000 | | | | 1,931,377 | |
NextGear Floorplan Master Owner Trust 2015-2A A^ | | | 2.38 | | | | 10/15/2020 | | | | 100,000 | | | | 99,995 | | | | 100,123 | |
NextGear Floorplan Master Owner Trust 2016-1A A1, 1M LIBOR + 1.700%^ | | | 3.18 | # | | | 4/15/2021 | | | | 490,000 | | | | 490,000 | | | | 497,569 | |
NextGear Floorplan Master Owner Trust 2016-2A A2^ | | | 2.19 | | | | 9/15/2021 | | | | 762,000 | | | | 759,865 | | | | 759,465 | |
Northstar Education Finance, Inc. 2005-1 A5, 3M USD LIBOR + 0.750% | | | 2.13 | # | | | 10/30/2045 | | | | 188,658 | | | | 180,779 | | | | 176,496 | |
NorthStar Student Loan Trust III 2016-1 A, 1M USD LIBOR + 1.250%^ | | | 2.80 | # | | | 5/27/2036 | | | | 238,869 | | | | 228,621 | | | | 238,567 | |
NovaStar Mortgage Funding Trust 2004-4 M5, 1M LIBOR + 1.725% | | | 3.28 | # | | | 3/25/2035 | | | | 580,926 | | | | 580,781 | | | | 587,733 | |
NP SPE II LLC 2017-1A A1^ | | | 3.37 | | | | 10/21/2047 | | | | 455,915 | | | | 455,915 | | | | 453,071 | |
See accompanying Notes to the Financial Statements.
110
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Asset-Backed Securities (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Other Asset-Backed Securities (Continued) | | | | | | | | | | | | | | | | | | | | |
NRZ Advance Receivables Trust 2016-T4 AT4^ | | | 3.11 | % | | | 12/15/2050 | | | | 900,000 | | | $ | 900,000 | | | $ | 895,992 | |
OnDeck Asset Securitization Trust II LLC 2016-1A A^ | | | 4.21 | | | | 5/17/2020 | | | | 110,000 | | | | 109,996 | | | | 110,407 | |
OneMain Direct Auto Receivables Trust 2017-2A A^ | | | 2.31 | | | | 12/14/2021 | | | | 1,130,000 | | | | 1,129,868 | | | | 1,129,009 | |
OneMain Financial Issuance Trust 2014-2A A^ | | | 2.47 | | | | 9/18/2024 | | | | 2,778 | | | | 2,786 | | | | 2,779 | |
Oportun Funding VI LLC 2017-A A^ | | | 3.23 | | | | 6/8/2023 | | | | 500,000 | | | | 499,933 | | | | 497,501 | |
Orange Lake Timeshare Trust 2016-A A^ | | | 2.61 | | | | 3/8/2029 | | | | 223,749 | | | | 223,726 | | | | 221,482 | |
Orange Lake Timeshare Trust 2016-A B^ | | | 2.91 | | | | 3/8/2029 | | | | 335,622 | | | | 333,244 | | | | 330,033 | |
Oscar US Funding Trust II 2015 1A A3+^ | | | 1.86 | | | | 10/15/2019 | | | | 253,965 | | | | 253,491 | | | | 253,533 | |
Oscar US Funding Trust II 2015 1A A4+^ | | | 2.44 | | | | 6/15/2022 | | | | 270,000 | | | | 263,975 | | | | 269,168 | |
Oscar US Funding Trust IV 2016 1A A2B, 1M USD LIBOR + 1.700%+^ | | | 2.95 | # | | | 7/15/2020 | | | | 58,586 | | | | 58,586 | | | | 58,888 | |
Oscar US Funding Trust IV 2016-1A A2A+^ | | | 2.53 | | | | 7/15/2020 | | | | 146,465 | | | | 146,748 | | | | 146,535 | |
Oscar US Funding Trust V 2016-2A A2A+^ | | | 2.31 | | | | 11/15/2019 | | | | 227,714 | | | | 227,696 | | | | 227,482 | |
Oscar US Funding Trust VI LLC 2017-1A A3+^ | | | 2.82 | | | | 6/10/2021 | | | | 370,000 | | | | 369,945 | | | | 369,829 | |
Oscar US Funding Trust VI LLC 2017-1A A4+^ | | | 3.30 | | | | 5/10/2024 | | | | 500,000 | | | | 501,925 | | | | 501,657 | |
Oxford Finance Funding LLC 2016-1A A^ | | | 3.97 | | | | 6/17/2024 | | | | 170,000 | | | | 170,000 | | | | 170,645 | |
PHEAA Student Loan Trust 2016-2A A, 1M USD LIBOR + 0.950%^ | | | 2.50 | # | | | 11/25/2065 | | | | 675,692 | | | | 675,692 | | | | 676,900 | |
Popular ABS Mortgage Pass-Through Trust 2006-B A3, 1M USD LIBOR + 0.280% | | | 1.83 | # | | | 5/25/2036 | | | | 79,097 | | | | 76,045 | | | | 78,957 | |
Prestige Auto Receivables Trust 2015-1 B^ | | | 2.04 | | | | 4/15/2021 | | | | 260,000 | | | | 260,669 | | | | 259,866 | |
Santander Drive Auto Receivables Trust 2014-4 D | | | 3.10 | | | | 11/16/2020 | | | | 540,000 | | | | 544,412 | | | | 545,150 | |
Santander Drive Auto Receivables Trust 2015-2 C | | | 2.44 | | | | 4/15/2021 | | | | 720,000 | | | | 724,239 | | | | 721,514 | |
Santander Drive Auto Receivables Trust 2016-1 A3 | | | 1.62 | | | | 3/16/2020 | | | | 43,885 | | | | 43,881 | | | | 43,877 | |
Santander Drive Auto Receivables Trust 2016-1 B | | | 2.47 | | | | 12/15/2020 | | | | 360,000 | | | | 359,988 | | | | 360,457 | |
Santander Drive Auto Receivables Trust 2016-1 D | | | 4.02 | | | | 4/15/2022 | | | | 430,000 | | | | 438,238 | | | | 440,903 | |
SBA Tower Trust^ | | | 3.17 | | | | 4/11/2022 | | | | 630,000 | | | | 630,862 | | | | 622,532 | |
SBA Tower Trust^ | | | 3.60 | | | | 4/10/2018 | | | | 1,050,000 | | | | 1,048,874 | | | | 1,049,511 | |
SBA Tower Trust 2014-1A C^ | | | 2.90 | | | | 10/15/2044 | | | | 590,000 | | | | 591,522 | | | | 591,418 | |
Sierra Timeshare Receivables Funding LLC 2014-1A A^ | | | 2.07 | | | | 3/20/2030 | | | | 65,426 | | | | 65,058 | | | | 65,273 | |
Sierra Timeshare Receivables Funding LLC 2014-2A A^ | | | 2.05 | | | | 6/20/2031 | | | | 56,658 | | | | 56,060 | | | | 56,542 | |
Sierra Timeshare Receivables Funding LLC 2014-3A A^ | | | 2.30 | | | | 10/20/2031 | | | | 216,823 | | | | 215,587 | | | | 216,086 | |
Sierra Timeshare Receivables Funding LLC 2015 3A B^ | | | 3.08 | | | | 9/20/2032 | | | | 30,624 | | | | 30,624 | | | | 30,457 | |
See accompanying Notes to the Financial Statements.
111
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Asset-Backed Securities (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Other Asset-Backed Securities (Continued) | | | | | | | | | | | | | | | | | | | | |
Sierra Timeshare Receivables Funding LLC 2015-1A A^ | | | 2.40 | % | | | 3/22/2032 | | | | 164,280 | | | $ | 162,358 | | | $ | 162,886 | |
Sierra Timeshare Receivables Funding LLC 2015-2A B^ | | | 3.02 | | | | 6/20/2032 | | | | 25,488 | | | | 25,483 | | | | 25,460 | |
Sierra Timeshare Receivables Funding LLC 2015-3A A^ | | | 2.58 | | | | 9/20/2032 | | | | 30,624 | | | | 30,619 | | | | 30,554 | |
Sierra Timeshare Receivables Funding LLC 2017-1A A^ | | | 2.91 | | | | 3/20/2034 | | | | 938,440 | | | | 941,933 | | | | 939,819 | |
SLC Private Student Loan Trust 2006-A A5, 3M USD LIBOR + 0.170% | | | 1.53 | # | | | 7/15/2036 | | | | 38,006 | | | | 37,796 | | | | 38,006 | |
SLC Private Student Loan Trust 2006-A C, 3M USD LIBOR + 0.450% | | | 1.81 | # | | | 7/15/2036 | | | | 350,000 | | | | 310,843 | | | | 333,859 | |
SLC Student Loan Trust 2005-1 B, 3M USD LIBOR + 0.200% | | | 1.62 | # | | | 2/15/2045 | | | | 459,739 | | | | 402,008 | | | | 423,557 | |
SLC Student Loan Trust 2006-2 B, 3M USD LIBOR + 0.230% | | | 1.60 | # | | | 1/25/2041 | | | | 836,403 | | | | 785,012 | | | | 786,619 | |
SLC Student Loan Trust 2006-2 B, 3M USD LIBOR + 0.230% | | | 1.82 | # | | | 12/15/2039 | | | | 2,111,774 | | | | 1,958,187 | | | | 1,957,007 | |
SLM Student Loan Trust 2003-12 A5, 3M USD LIBOR + 0.280%^ | | | 1.87 | # | | | 9/15/2022 | | | | 8,665 | | | | 8,616 | | | | 8,668 | |
SLM Student Loan Trust 2003-14 A6, 3M USD LIBOR + 0.300% | | | 1.67 | # | | | 7/25/2025 | | | | 40,000 | | | | 38,629 | | | | 39,888 | |
SLM Student Loan Trust 2003-4 B, 3M USD LIBOR + 0.650% | | | 2.24 | # | | | 6/15/2038 | | | | 122,547 | | | | 112,550 | | | | 117,516 | |
SLM Student Loan Trust 2004-3A A6A, 3M USD LIBOR + 0.550%^ | | | 1.92 | # | | | 10/25/2064 | | | | 1,550,000 | | | | 1,522,177 | | | | 1,533,113 | |
SLM Student Loan Trust 2005-4 B, 3M USD LIBOR + 0.180% | | | 1.55 | # | | | 7/25/2055 | | | | 403,111 | | | | 336,757 | | | | 375,873 | |
SLM Student Loan Trust 2005-6 B, 3M USD LIBOR + 0.290% | | | 1.66 | # | | | 1/25/2044 | | | | 998,548 | | | | 916,161 | | | | 941,347 | |
SLM Student Loan Trust 2006-5 B, 3M USD LIBOR + 0.210% | | | 1.58 | # | | | 10/25/2040 | | | | 452,686 | | | | 391,652 | | | | 426,820 | |
SLM Student Loan Trust 2006-7 B, 3M USD LIBOR + 0.200% | | | 1.57 | # | | | 1/27/2042 | | | | 657,445 | | | | 609,026 | | | | 609,893 | |
SLM Student Loan Trust 2006-9 A5, 3M USD LIBOR + 0.100% | | | 1.47 | # | | | 1/26/2026 | | | | 100,775 | | | | 98,384 | | | | 100,466 | |
SLM Student Loan Trust 2012-5 A2, 1M USD LIBOR + 0.300% | | | 1.63 | # | | | 6/25/2019 | | | | 5,693 | | | | 5,675 | | | | 5,693 | |
SMB Private Education Loan Trust 2014-A A2B, 1M USD LIBOR + 1.150%^ | | | 2.63 | # | | | 5/15/2026 | | | | 720,599 | | | | 726,213 | | | | 729,996 | |
SMB Private Education Loan Trust 2015-A A2B, 1M USD LIBOR + 1.000%^ | | | 2.48 | # | | | 6/15/2027 | | | | 99,604 | | | | 97,974 | | | | 100,473 | |
SMB Private Education Loan Trust 2015-A A3, 1M USD LIBOR + 1.500%^ | | | 2.98 | # | | | 2/17/2032 | | | | 900,000 | | | | 921,145 | | | | 924,911 | |
See accompanying Notes to the Financial Statements.
112
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Asset-Backed Securities (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Other Asset-Backed Securities (Continued) | | | | | | | | | | | | | | | | | | | | |
SMB Private Education Loan Trust 2015-C A3, 1M USD LIBOR + 1.950%^ | | | 3.43 | # % | | | 8/16/2032 | | | | 700,000 | | | $ | 731,311 | | | $ | 724,345 | |
SMB Private Education Loan Trust 2016-A A1, 1M USD LIBOR + 0.700%^ | | | 2.18 | # | | | 5/15/2023 | | | | 69,827 | | | | 69,827 | | | | 69,853 | |
SMB Private Education Loan Trust 2016-B A2B, 1M USD LIBOR + 1.450%^ | | | 2.93 | # | | | 2/17/2032 | | | | 132,000 | | | | 132,000 | | | | 135,363 | |
SMB Private Education Loan Trust 2016-C A2B, 1M USD LIBOR + 1.100%^ | | | 2.58 | # | | | 9/15/2034 | | | | 280,000 | | | | 280,000 | | | | 284,674 | |
SMB Private Education Loan Trust 2017-B A2B, 1M USD LIBOR + 0.750%^ | | | 2.10 | # | | | 10/15/2035 | | | | 670,000 | | | | 670,000 | | | | 669,943 | |
SoFi Consumer Loan Program LLC 2016-1A A^ | | | 3.26 | | | | 8/25/2025 | | | | 684,147 | | | | 686,552 | | | | 688,139 | |
SoFi Consumer Loan Program LLC 2016-2A A^ | | | 3.09 | | | | 10/27/2025 | | | | 273,949 | | | | 273,912 | | | | 275,309 | |
SoFi Consumer Loan Program LLC 2016-3 A^ | | | 3.05 | | | | 12/26/2025 | | | | 242,022 | | | | 242,017 | | | | 243,182 | |
SoFi Consumer Loan Program LLC 2016-5 A^ | | | 3.06 | | | | 9/25/2028 | | | | 1,377,793 | | | | 1,373,477 | | | | 1,381,224 | |
SoFi Consumer Loan Program LLC 2017-2 A^ | | | 3.28 | | | | 2/25/2026 | | | | 603,600 | | | | 602,676 | | | | 609,204 | |
SoFi Consumer Loan Program LLC 2017-3 A^ | | | 2.77 | | | | 5/25/2026 | | | | 906,030 | | | | 906,030 | | | | 908,805 | |
SoFi Consumer Loan Program Trust 2015-1 A^ | | | 3.28 | | | | 9/15/2023 | | | | 585,057 | | | | 585,355 | | | | 586,694 | |
SoFi Professional Loan Program LLC 2015-A RC^¤ | | | Zero Coupon | | | | 3/25/2033 | | | | 300 | | | | 844,125 | | | | 600,000 | |
SoFi Professional Loan Program LLC 2015-C A2^ | | | 2.51 | | | | 8/25/2033 | | | | 45,240 | | | | 45,018 | | | | 44,878 | |
SoFi Professional Loan Program LLC 2016 A A1, 1M USD LIBOR + 1.750%^ | | | 3.30 | # | | | 8/25/2036 | | | | 179,557 | | | | 178,026 | | | | 183,927 | |
SoFi Professional Loan Program LLC 2016-B A1, 1M USD LIBOR + 1.200%^ | | | 2.75 | # | | | 6/25/2033 | | | | 212,419 | | | | 212,419 | | | | 215,874 | |
SoFi Professional Loan Program LLC 2016-B A2A^ | | | 1.68 | | | | 3/25/2031 | | | | 81,321 | | | | 81,316 | | | | 81,203 | |
SoFi Professional Loan Program LLC 2016-D A1, 1M USD LIBOR + 0.950%^ | | | 2.50 | # | | | 1/25/2039 | | | | 138,673 | | | | 138,673 | | | | 140,077 | |
SoFi Professional Loan Program LLC 2016-E A2B^ | | | 2.49 | | | | 1/25/2036 | | | | 330,000 | | | | 329,372 | | | | 328,043 | |
SoFi Professional Loan Program LLC 2017-D R1^¤ | | | Zero Coupon | | | | 9/25/2040 | | | | 1,233,700 | | | | 705,663 | | | | 698,151 | |
SpringCastle America Funding LLC 2016-AA A^ | | | 3.05 | | | | 4/25/2029 | | | | 492,693 | | | | 492,676 | | | | 495,749 | |
Springleaf Funding Trust 2016-AA A^ | | | 2.90 | | | | 11/15/2029 | | | | 1,560,000 | | | | 1,559,776 | | | | 1,562,299 | |
SPS Servicer Advance Receivable 2016-T1 AT1^ | | | 2.53 | | | | 11/16/2048 | | | | 1,040,000 | | | | 1,039,911 | | | | 1,030,872 | |
SVO VOI Mortgage LLC 2012-AA A^ | | | 2.00 | | | | 9/20/2029 | | | | 324,886 | | | | 320,685 | | | | 322,103 | |
Taco Bell Funding LLC 2016-1A A2I^ | | | 3.83 | | | | 5/25/2046 | | | | 325,875 | | | | 326,935 | | | | 330,443 | |
TAL Advantage LLC 2017-1A A | | | 4.50 | | | | 4/20/2042 | | | | 674,899 | | | | 682,953 | | | | 692,123 | |
TAL Advantage V LLC 2014-3A A^ | | | 3.27 | | | | 11/21/2039 | | | | 415,000 | | | | 410,644 | | | | 409,297 | |
Trafigura Securitisation Finance PLC 2017-1, 1M USD LIBOR + 1.700%+^ | | | 3.18 | # | | | 12/15/2020 | | | | 900,000 | | | | 902,979 | | | | 904,189 | |
Trinity Rail Leasing LP 2012-1A A1^ | | | 2.27 | | | | 1/15/2043 | | | | 54,285 | | | | 52,703 | | | | 53,381 | |
TRIP Rail Master Funding LLC 2011-1A A2^ | | | 6.02 | | | | 7/15/2041 | | | | 1,250,000 | | | | 1,334,465 | | | | 1,352,586 | |
TRIP Rail Master Funding LLC 2014-1A A2^ | | | 4.09 | | | | 4/15/2044 | | | | 700,000 | | | | 713,922 | | | | 706,931 | |
See accompanying Notes to the Financial Statements.
113
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Asset-Backed Securities (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Other Asset-Backed Securities (Continued) | | | | | | | | | | | | | | | | | | | | |
TRIP Rail Master Funding LLC 2017-1A A1^ | | | 2.71 | % | | | 8/15/2047 | | | | 236,324 | | | $ | 236,321 | | | $ | 235,400 | |
Triton Container Finance IV LLC 2017-2A A^ | | | 3.62 | | | | 8/20/2042 | | | | 873,164 | | | | 873,064 | | | | 874,095 | |
VSE VOI Mortgage LLC 2016-A A^ | | | 2.54 | | | | 7/20/2033 | | | | 572,273 | | | | 572,218 | | | | 567,403 | |
Wachovia Student Loan Trust 2005-1 B, 3M USD LIBOR + 0.300% | | | 1.67 | # | | | 10/25/2040 | | | | 767,652 | | | | 703,804 | | | | 710,880 | |
Welk Resorts LLC 2017-AA B^ | | | 3.41 | | | | 6/15/2033 | | | | 367,804 | | | | 367,744 | | | | 364,182 | |
Wendys Funding LLC 2015-1A A2I^ | | | 3.37 | | | | 6/15/2045 | | | | 928,625 | | | | 926,907 | | | | 931,114 | |
Westgate Resorts LLC 2015-2A A^ | | | 3.20 | | | | 7/20/2028 | | | | 189,044 | | | | 188,828 | | | | 188,714 | |
Westgate Resorts LLC 2017-1A A^ | | | 3.05 | | | | 12/20/2030 | | | | 449,102 | | | | 449,102 | | | | 448,259 | |
Westlake Automobile Receivables Trust 2016-2A A2^ | | | 1.57 | | | | 6/17/2019 | | | | 59,669 | | | | 59,667 | | | | 59,645 | |
| | | | | | | | | | | | | | | | | | | | |
Total Other Asset-Backed Securities | | | | | | | | | | | 114,476,681 | | | | 113,848,951 | | | | 114,194,366 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Asset-Backed Securities | | | | | | | | | | | 131,894,749 | | | | 131,257,337 | | | | 131,690,343 | |
| | | | | | | | | | | | | | | | | | | | |
Corporate Bonds — 42.4%*: | |
|
Advertising — 0.2%*: | |
S&P Global, Inc. | | | 2.50 | | | | 8/15/2018 | | | | 260,000 | | | | 260,266 | | | | 260,752 | |
S&P Global, Inc. | | | 3.30 | | | | 8/14/2020 | | | | 700,000 | | | | 720,252 | | | | 713,021 | |
| | | | | | | | | | | | | | | | | | | | |
Total Advertising | | | | | | | | | | | 960,000 | | | | 980,518 | | | | 973,773 | |
| | | | | | | | | | | | | | | | | | | | |
|
Aerospace/Defense — 0.8%*: | |
Harris Corp. | | | 2.00 | | | | 4/27/2018 | | | | 1,195,000 | | | | 1,195,712 | | | | 1,193,751 | |
Harris Corp. | | | 2.70 | | | | 4/27/2020 | | | | 890,000 | | | | 896,243 | | | | 893,578 | |
L3 Communications Corp. | | | 5.20 | | | | 10/15/2019 | | | | 1,435,000 | | | | 1,492,794 | | | | 1,503,041 | |
| | | | | | | | | | | | | | | | | | | | |
Total Aerospace/Defense | | | | | | | | | | | 3,520,000 | | | | 3,584,749 | | | | 3,590,370 | |
| | | | | | | | | | | | | | | | | | | | |
|
Agriculture — 1.0%*: | |
Bunge Ltd. Finance Corp. | | | 3.00 | | | | 9/25/2022 | | | | 440,000 | | | | 439,917 | | | | 436,723 | |
Bunge Ltd. Finance Corp. | | | 3.50 | | | | 11/24/2020 | | | | 1,620,000 | | | | 1,650,776 | | | | 1,653,796 | |
Imperial Brands Finance PLC+^ | | | 2.05 | | | | 7/20/2018 | | | | 335,000 | | | | 334,679 | | | | 334,698 | |
Imperial Brands Finance PLC+^ | | | 2.95 | | | | 7/21/2020 | | | | 1,747,000 | | | | 1,773,017 | | | | 1,763,865 | |
| | | | | | | | | | | | | | | | | | | | |
Total Agriculture | | | | | | | | | | | 4,142,000 | | | | 4,198,389 | | | | 4,189,082 | |
| | | | | | | | | | | | | | | | | | | | |
|
Airlines — 0.3%*: | |
Delta Air Lines, Inc. | | | 3.63 | | | | 3/15/2022 | | | | 1,050,000 | | | | 1,053,760 | | | | 1,068,142 | |
| | | | | | | | | | | | | | | | | | | | |
|
Auto Manufacturers — 1.0%*: | |
General Motors Co. | | | 3.50 | | | | 10/2/2018 | | | | 250,000 | | | | 251,532 | | | | 252,601 | |
General Motors Financial Co., Inc. | | | 3.20 | | | | 7/13/2020 | | | | 1,600,000 | | | | 1,603,165 | | | | 1,621,716 | |
Hyundai Capital America^ | | | 2.00 | | | | 7/1/2019 | | | | 70,000 | | | | 69,975 | | | | 69,162 | |
Hyundai Capital America^ | | | 2.40 | | | | 10/30/2018 | | | | 150,000 | | | | 150,023 | | | | 149,855 | |
Hyundai Capital America^ | | | 2.55 | | | | 2/6/2019 | | | | 1,138,000 | | | | 1,142,545 | | | | 1,135,999 | |
Hyundai Capital America^ | | | 3.00 | | | | 10/30/2020 | | | | 480,000 | | | | 485,149 | | | | 479,520 | |
Nissan Motor Acceptance Corp.+^ | | | 1.90 | | | | 9/14/2021 | | | | 670,000 | | | | 665,880 | | | | 651,811 | |
| | | | | | | | | | | | | | | | | | | | |
Total Auto Manufacturers | | | | | | | | | | | 4,358,000 | | | | 4,368,269 | | | | 4,360,664 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
114
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | | | | | | | | | | | | | | | | | | | | |
|
Auto Parts&Equipment — 0.5%*: | |
Lear Corp. | | | 5.25 | % | | | 1/15/2025 | | | | 300,000 | | | $ | 322,362 | | | $ | 320,294 | |
Lear Corp. | | | 5.38 | | | | 3/15/2024 | | | | 1,660,000 | | | | 1,769,866 | | | | 1,755,860 | |
| | | | | | | | | | | | | | | | | | | | |
Total Auto Parts&Equipment | | | | | | | | | | | 1,960,000 | | | | 2,092,228 | | | | 2,076,154 | |
| | | | | | | | | | | | | | | | | | | | |
|
Beverages — 0.5%*: | |
Anheuser-Busch InBev Finance, Inc.+ | | | 2.65 | | | | 2/1/2021 | | | | 965,000 | | | | 975,787 | | | | 969,842 | |
Coca-Cola Femsa SAB de CV+ | | | 2.38 | | | | 11/26/2018 | | | | 668,000 | | | | 671,139 | | | | 669,615 | |
Molson Coors Brewing Co. | | | 2.10 | | | | 7/15/2021 | | | | 325,000 | | | | 322,896 | | | | 318,543 | |
| | | | | | | | | | | | | | | | | | | | |
Total Beverages | | | | | | | | | | | 1,958,000 | | | | 1,969,822 | | | | 1,958,000 | |
| | | | | | | | | | | | | | | | | | | | |
|
Biotechnology — 0.6%*: | |
Celgene Corp. | | | 2.25 | | | | 5/15/2019 | | | | 250,000 | | | | 250,213 | | | �� | 249,660 | |
Celgene Corp. | | | 2.88 | | | | 8/15/2020 | | | | 1,350,000 | | | | 1,371,735 | | | | 1,362,582 | |
Celgene Corp. | | | 3.55 | | | | 8/15/2022 | | | | 475,000 | | | | 488,390 | | | | 489,264 | |
Celgene Corp. | | | 4.00 | | | | 8/15/2023 | | | | 223,000 | | | | 234,070 | | | | 234,614 | |
| | | | | | | | | | | | | | | | | | | | |
Total Biotechnology | | | | | | | | | | | 2,298,000 | | | | 2,344,408 | | | | 2,336,120 | |
| | | | | | | | | | | | | | | | | | | | |
|
Chemicals — 2.1%*: | |
Air Liquide Finance SA+^ | | | 1.75 | | | | 9/27/2021 | | | | 1,200,000 | | | | 1,182,067 | | | | 1,160,999 | |
Airgas, Inc.+ | | | 2.38 | | | | 2/15/2020 | | | | 250,000 | | | | 248,773 | | | | 249,837 | |
CF Industries, Inc. | | | 7.13 | | | | 5/1/2020 | | | | 151,000 | | | | 165,306 | | | | 164,635 | |
Dow Chemical Co. (The) | | | 8.55 | | | | 5/15/2019 | | | | 125,000 | | | | 135,869 | | | | 135,397 | |
Ecolab, Inc. | | | 2.00 | | | | 1/14/2019 | | | | 740,000 | | | | 742,837 | | | | 738,771 | |
Incitec Pivot Finance LLC+^ | | | 6.00 | | | | 12/10/2019 | | | | 1,443,000 | | | | 1,530,080 | | | | 1,528,564 | |
LyondellBasell Industries NV | | | 5.00 | | | | 4/15/2019 | | | | 945,000 | | | | 974,973 | | | | 970,257 | |
LyondellBasell Industries NV | | | 6.00 | | | | 11/15/2021 | | | | 985,000 | | | | 1,102,722 | | | | 1,094,141 | |
RPM International, Inc. | | | 3.45 | | | | 11/15/2022 | | | | 380,000 | | | | 392,448 | | | | 389,413 | |
RPM International, Inc. | | | 6.13 | | | | 10/15/2019 | | | | 1,205,000 | | | | 1,279,925 | | | | 1,283,005 | |
Sherwin-Williams Co. (The) | | | 2.75 | | | | 6/1/2022 | | | | 1,245,000 | | | | 1,245,919 | | | | 1,240,167 | |
| | | | | | | | | | | | | | | | | | | | |
Total Chemicals | | | | | | | | | | | 8,669,000 | | | | 9,000,919 | | | | 8,955,186 | |
| | | | | | | | | | | | | | | | | | | | |
|
Commercial Banks — 6.8%*: | |
ANZ New Zealand Int’l Ltd.+^ | | | 2.25 | | | | 2/1/2019 | | | | 2,075,000 | | | | 2,081,557 | | | | 2,076,463 | |
Banco Santander SA+ | | | 3.50 | | | | 4/11/2022 | | | | 2,400,000 | | | | 2,413,884 | | | | 2,447,155 | |
Bancolombia SA+ | | | 5.95 | | | | 6/3/2021 | | | | 315,000 | | | | 338,376 | | | | 340,672 | |
Bank of America Corp. MTN | | | 2.15 | | | | 11/9/2020 | | | | 2,890,000 | | | | 2,873,405 | | | | 2,876,764 | |
Bank of America Corp. MTN | | | 2.25 | | | | 4/21/2020 | | | | 1,330,000 | | | | 1,317,750 | | | | 1,330,929 | |
Capital One Financial Corp. | | | 2.50 | | | | 5/12/2020 | | | | 485,000 | | | | 484,392 | | | | 484,393 | |
Citigroup, Inc. | | | 2.35 | | | | 8/2/2021 | | | | 2,320,000 | | | | 2,313,002 | | | | 2,294,709 | |
Citigroup, Inc. | | | 2.45 | | | | 1/10/2020 | | | | 90,000 | | | | 89,975 | | | | 90,041 | |
First Horizon National Corp. | | | 3.50 | | | | 12/15/2020 | | | | 1,870,000 | | | | 1,885,256 | | | | 1,909,609 | |
First Tennessee Bank N.A. | | | 2.95 | | | | 12/1/2019 | | | | 800,000 | | | | 800,273 | | | | 805,324 | |
Goldman Sachs Group, Inc. (The) | | | 2.38 | | | | 1/22/2018 | | | | 590,000 | | | | 590,238 | | | | 590,120 | |
Goldman Sachs Group, Inc. (The) | | | 2.55 | | | | 10/23/2019 | | | | 650,000 | | | | 649,817 | | | | 651,223 | |
Goldman Sachs Group, Inc. (The) | | | 2.88 | | | | 2/25/2021 | | | | 2,985,000 | | | | 3,024,898 | | | | 3,007,070 | |
Itau Unibanco Holding SA+^ | | | 2.85 | | | | 5/26/2018 | | | | 400,000 | | | | 399,008 | | | | 400,400 | |
See accompanying Notes to the Financial Statements.
115
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Commercial Banks (Continued) | | | | | | | | | | | | | | | | | | | | |
JPMorgan Chase & Co. | | | 4.50 | % | | | 1/24/2022 | | | | 2,145,000 | | | $ | 2,294,263 | | | $ | 2,295,262 | |
Macquarie Bank Ltd.+^ | | | 2.85 | | | | 1/15/2021 | | | | 130,000 | | | | 133,022 | | | | 130,680 | |
Mitsubishi UFJ Trust & Banking Corp.+^ | | | 2.65 | | | | 10/19/2020 | | | | 2,080,000 | | | | 2,093,389 | | | | 2,083,074 | |
Morgan Stanley MTN | | | 3.75 | | | | 2/25/2023 | | | | 1,140,000 | | | | 1,190,234 | | | | 1,181,452 | |
Regions Bank | | | 7.50 | | | | 5/15/2018 | | | | 212,000 | | | | 216,297 | | | | 216,245 | |
Regions Financial Corp. | | | 3.20 | | | | 2/8/2021 | | | | 1,750,000 | | | | 1,790,162 | | | | 1,780,556 | |
Sumitomo Mitsui Financial Group, Inc.+ | | | 2.06 | | | | 7/14/2021 | | | | 682,000 | | | | 676,795 | | | | 668,370 | |
Sumitomo Mitsui Financial Group, Inc.+ | | | 2.85 | | | | 1/11/2022 | | | | 580,000 | | | | 584,618 | | | | 581,152 | |
SVB Financial Group | | | 5.38 | | | | 9/15/2020 | | | | 200,000 | | | | 213,254 | | | | 213,755 | |
Turkiye Garanti Bankasi AS+^ | | | 4.75 | | | | 10/17/2019 | | | | 325,000 | | | | 331,444 | | | | 329,881 | |
| | | | | | | | | | | | | | | | | | | | |
Total Commercial Banks | | | | | | | | | | | 28,444,000 | | | | 28,785,309 | | | | 28,785,299 | |
| | | | | | | | | | | | | | | | | | | | |
|
Construction Materials — 1.1%*: | |
Holcim US Finance Sarl & Cie SCS+^ | | | 6.00 | | | | 12/30/2019 | | | | 1,640,000 | | | | 1,751,022 | | | | 1,739,869 | |
Martin Marietta Materials, Inc., 3M USD LIBOR + 0.650% | | | 2.10 | # | | | 5/22/2020 | | | | 530,000 | | | | 530,000 | | | | 532,820 | |
Martin Marietta Materials, Inc., 3M USD LIBOR + 0.500% | | | 2.13 | # | | | 12/20/2019 | | | | 445,000 | | | | 445,000 | | | | 445,725 | |
Masco Corp. | | | 3.50 | | | | 4/1/2021 | | | | 590,000 | | | | 595,715 | | | | 599,234 | |
Masco Corp. | | | 7.13 | | | | 3/15/2020 | | | | 124,000 | | | | 136,341 | | | | 135,213 | |
Standard Industries, Inc.^ | | | 5.50 | | | | 2/15/2023 | | | | 985,000 | | | | 1,010,057 | | | | 1,026,863 | |
| | | | | | | | | | | | | | | | | | | | |
Total Construction Materials | | | | | | | | | | | 4,314,000 | | | | 4,468,135 | | | | 4,479,724 | |
| | | | | | | | | | | | | | | | | | | | |
|
Diversified Financial Services — 2.9%*: | |
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust+ | | | 3.95 | | | | 2/1/2022 | | | | 1,380,000 | | | | 1,413,926 | | | | 1,422,291 | |
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust+ | | | 4.50 | | | | 5/15/2021 | | | | 300,000 | | | | 316,220 | | | | 315,066 | |
Aircastle Ltd. | | | 5.00 | | | | 4/1/2023 | | | | 2,301,000 | | | | 2,468,201 | | | | 2,424,679 | |
Ally Financial, Inc. | | | 4.75 | | | | 9/10/2018 | | | | 2,431,000 | | | | 2,463,171 | | | | 2,461,387 | |
Athene Global Funding^ | | | 4.00 | | | | 1/25/2022 | | | | 2,370,000 | | | | 2,405,901 | | | | 2,445,608 | |
Genpact Luxembourg Sarl^ | | | 3.70 | | | | 4/1/2022 | | | | 1,575,000 | | | | 1,578,717 | | | | 1,565,681 | |
International Lease Finance Corp. | | | 3.88 | | | | 4/15/2018 | | | | 350,000 | | | | 350,233 | | | | 351,603 | |
Lazard Group LLC | | | 4.25 | | | | 11/14/2020 | | | | 1,188,000 | | | | 1,238,412 | | | | 1,237,396 | |
| | | | | | | | | | | | | | | | | | | | |
Total Diversified Financial Services | | | | | | | | | | | 11,895,000 | | | | 12,234,781 | | | | 12,223,711 | |
| | | | | | | | | | | | | | | | | | | | |
|
Electric — 1.8%*: | |
Ameren Corp. | | | 2.70 | | | | 11/15/2020 | | | | 760,000 | | | | 767,845 | | | | 762,507 | |
Duke Energy Corp. | | | 1.80 | | | | 9/1/2021 | | | | 780,000 | | | | 762,720 | | | | 758,670 | |
EDP Finance BV+^ | | | 4.13 | | | | 1/15/2020 | | | | 981,000 | | | | 1,009,779 | | | | 1,010,934 | |
Enel Finance International NV+^ | | | 2.88 | | | | 5/25/2022 | | | | 1,050,000 | | | | 1,047,206 | | | | 1,047,146 | |
Entergy Texas, Inc. | | | 2.55 | | | | 6/1/2021 | | | | 460,000 | | | | 459,910 | | | | 456,618 | |
Entergy Texas, Inc. | | | 7.13 | | | | 2/1/2019 | | | | 934,000 | | | | 983,759 | | | | 981,210 | |
Israel Electric Corp. Ltd.+^ | | | 7.25 | | | | 1/15/2019 | | | | 320,000 | | | | 335,944 | | | | 333,402 | |
Majapahit Holding B.V.+^ | | | 7.75 | | | | 1/20/2020 | | | | 300,000 | | | | 326,583 | | | | 328,125 | |
See accompanying Notes to the Financial Statements.
116
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | | | | | | | | | | | | | | | | | | | | |
|
Electric (Continued) | |
Puget Energy, Inc. | | | 6.00 | % | | | 9/1/2021 | | | | 675,000 | | | $ | 751,587 | | | $ | 746,781 | |
Puget Energy, Inc. | | | 6.50 | | | | 12/15/2020 | | | | 321,000 | | | | 356,050 | | | | 355,349 | |
Southern Co. (The) | | | 1.85 | | | | 7/1/2019 | | | | 130,000 | | | | 129,987 | | | | 129,214 | |
Southern Co. (The) | | | 2.35 | | | | 7/1/2021 | | | | 570,000 | | | | 569,648 | | | | 566,618 | |
| | | | | | | | | | | | | | | | | | | | |
Total Electric | | | | | | | | | | | 7,281,000 | | | | 7,501,018 | | | | 7,476,574 | |
| | | | | | | | | | | | | | | | | | | | |
|
Electronics — 0.4%*: | |
FLIR Systems, Inc. | | | 3.13 | | | | 6/15/2021 | | | | 480,000 | | | | 487,998 | | | | 483,551 | |
Tech Data Corp. | | | 3.70 | | | | 2/15/2022 | | | | 260,000 | | | | 259,671 | | | | 260,806 | |
Tyco Electronics Group SA+ | | | 2.35 | | | | 8/1/2019 | | | | 585,000 | | | | 587,042 | | | | 584,494 | |
Tyco Electronics Group SA+ | | | 2.38 | | | | 12/17/2018 | | | | 200,000 | | | | 200,777 | | | | 200,450 | |
| | | | | | | | | | | | | | | | | | | | |
Total Electronics | | | | | | | | | | | 1,525,000 | | | | 1,535,488 | | | | 1,529,301 | |
| | | | | | | | | | | | | | | | | | | | |
|
Food — 0.9%*: | |
Danone SA+^ | | | 2.08 | | | | 11/2/2021 | | | | 2,110,000 | | | | 2,095,622 | | | | 2,064,004 | |
JBS Investments GmbH+^ | | | 7.75 | | | | 10/28/2020 | | | | 415,000 | | | | 435,427 | | | | 423,300 | |
Mondelez International Holdings Netherlands B.V.^ | | | 2.00 | | | | 10/28/2021 | | | | 800,000 | | | | 780,741 | | | | 778,292 | |
Tyson Foods, Inc. | | | 2.65 | | | | 8/15/2019 | | | | 335,000 | | | | 336,418 | | | | 336,614 | |
| | | | | | | | | | | | | | | | | | | | |
Total Food | | | | | | | | | | | 3,660,000 | | | | 3,648,208 | | | | 3,602,210 | |
| | | | | | | | | | | | | | | | | | | | |
|
Hand/Machine Tools — 0.4%*: | |
Stanley Black & Decker, Inc. | | | 1.62 | | | | 11/17/2018 | | | | 415,000 | | | | 414,849 | | | | 413,478 | |
Stanley Black & Decker, Inc. | | | 2.45 | | | | 11/17/2018 | | | | 1,200,000 | | | | 1,207,095 | | | | 1,203,625 | |
| | | | | | | | | | | | | | | | | | | | |
Total Hand/Machine Tools | | | | | | | | | | | 1,615,000 | | | | 1,621,944 | | | | 1,617,103 | |
| | | | | | | | | | | | | | | | | | | | |
|
Healthcare-Products — 0.7%*: | |
Abbott Laboratories | | | 2.35 | | | | 11/22/2019 | | | | 600,000 | | | | 599,625 | | | | 600,652 | |
Abbott Laboratories | | | 2.90 | | | | 11/30/2021 | | | | 1,460,000 | | | | 1,465,703 | | | | 1,476,902 | |
Boston Scientific Corp. | | | 2.85 | | | | 5/15/2020 | | | | 350,000 | | | | 352,508 | | | | 352,775 | |
Zimmer Biomet Holdings, Inc. | | | 2.00 | | | | 4/1/2018 | | | | 600,000 | | | | 600,176 | | | | 600,218 | |
| | | | | | | | | | | | | | | | | | | | |
Total Healthcare-Products | | | | | | | | | | | 3,010,000 | | | | 3,018,012 | | | | 3,030,547 | |
| | | | | | | | | | | | | | | | | | | | |
|
Healthcare-Services — 1.1%*: | |
Anthem, Inc. | | | 1.88 | | | | 1/15/2018 | | | | 250,000 | | | | 250,002 | | | | 249,983 | |
Cigna Corp. | | | 4.00 | | | | 2/15/2022 | | | | 442,000 | | | | 467,738 | | | | 461,607 | |
Cigna Corp. | | | 4.50 | | | | 3/15/2021 | | | | 1,170,000 | | | | 1,238,208 | | | | 1,229,738 | |
HCA, Inc. | | | 3.75 | | | | 3/15/2019 | | | | 1,940,000 | | | | 1,963,873 | | | | 1,956,975 | |
Laboratory Corp. of America Holdings | | | 2.63 | | | | 2/1/2020 | | | | 710,000 | | | | 711,884 | | | | 711,869 | |
| | | | | | | | | | | | | | | | | | | | |
Total Healthcare-Services | | | | | | | | | | | 4,512,000 | | | | 4,631,705 | | | | 4,610,172 | |
| | | | | | | | | | | | | | | | | | | | |
|
Home Builders — 0.4%*: | |
Lennar Corp. | | | 4.50 | | | | 6/15/2019 | | | | 150,000 | | | | 151,742 | | | | 153,375 | |
Lennar Corp. | | | 4.50 | | | | 11/15/2019 | | | | 1,090,000 | | | | 1,114,798 | | | | 1,118,613 | |
Lennar Corp. | | | 4.75 | | | | 4/1/2021 | | | | 450,000 | | | | 465,861 | | | | 468,000 | |
| | | | | | | | | | | | | | | | | | | | |
Total Home Builders | | | | | | | | | | | 1,690,000 | | | | 1,732,401 | | | | 1,739,988 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
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Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | | | | | | | | | | | | | | | | | | | | |
|
Housewares — 0.0%*: | |
Newell Brands, Inc. | | | 2.60 | % | | | 3/29/2019 | | | | 171,000 | | | $ | 172,823 | | | $ | 171,584 | |
| | | | | | | | | | | | | | | | | | | | |
|
Insurance — 2.9%*: | |
American International Group, Inc. | | | 3.30 | | | | 3/1/2021 | | | | 1,025,000 | | | | 1,032,614 | | | | 1,044,911 | |
AmTrust Financial Services, Inc. | | | 6.13 | | | | 8/15/2023 | | | | 780,000 | | | | 775,407 | | | | 760,012 | |
CNA Financial Corp. | | | 5.75 | | | | 8/15/2021 | | | | 341,000 | | | | 367,650 | | | | 373,374 | |
Enstar Group Ltd.+ | | | 4.50 | | | | 3/10/2022 | | | | 950,000 | | | | 961,252 | | | | 967,537 | |
Jackson National Life Global Funding^ | | | 2.50 | | | | 6/27/2022 | | | | 1,925,000 | | | | 1,920,806 | | | | 1,903,582 | |
Lincoln National Corp. | | | 4.20 | | | | 3/15/2022 | | | | 725,000 | | | | 769,739 | | | | 763,492 | |
Lincoln National Corp. | | | 6.25 | | | | 2/15/2020 | | | | 400,000 | | | | 427,071 | | | | 430,735 | |
Nuveen FIinance LLC^ | | | 2.95 | | | | 11/1/2019 | | | | 2,070,000 | | | | 2,094,933 | | | | 2,089,790 | |
Reinsurance Group of America, Inc. | | | 5.00 | | | | 6/1/2021 | | | | 969,000 | | | | 1,041,004 | | | | 1,036,153 | |
Trinity Acquisition PLC | | | 3.50 | | | | 9/15/2021 | | | | 1,236,000 | | | | 1,248,559 | | | | 1,260,103 | |
Unum Group | | | 3.00 | | | | 5/15/2021 | | | | 120,000 | | | | 119,820 | | | | 120,838 | |
Willis Towers Watson PLC | | | 5.75 | | | | 3/15/2021 | | | | 370,000 | | | | 396,459 | | | | 402,620 | |
XLIT Ltd. | | | 5.75 | | | | 10/1/2021 | | | | 925,000 | | | | 1,024,134 | | | | 1,015,224 | |
| | | | | | | | | | | | | | | | | | | | |
Total Insurance | | | | | | | | | | | 11,836,000 | | | | 12,179,448 | | | | 12,168,371 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Internet — 0.6%*: | | | | | | | | | | | | | | | | | | | | |
Alibaba Group Holding Ltd.+ | | | 2.50 | | | | 11/28/2019 | | | | 250,000 | | | | 249,090 | | | | 250,728 | |
Expedia, Inc. | | | 5.95 | | | | 8/15/2020 | | | | 746,000 | | | | 809,007 | | | | 802,613 | |
Expedia, Inc. | | | 7.46 | | | | 8/15/2018 | | | | 1,249,000 | | | | 1,289,024 | | | | 1,288,183 | |
| | | | | | | | | | | | | | | | | | | | |
Total Internet | | | | | | | | | | | 2,245,000 | | | | 2,347,121 | | | | 2,341,524 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment Company Security — 0.6%*: | | | | | | | | | | | | | | | | | | | | |
Ares Capital Corp. | | | 3.63 | | | | 1/19/2022 | | | | 420,000 | | | | 423,635 | | | | 421,737 | |
Ares Capital Corp. | | | 3.88 | | | | 1/15/2020 | | | | 427,000 | | | | 435,091 | | | | 434,544 | |
Ares Capital Corp. | | | 4.88 | | | | 11/30/2018 | | | | 200,000 | | | | 202,926 | | | | 204,566 | |
FS Investment Corp. | | | 4.00 | | | | 7/15/2019 | | | | 335,000 | | | | 336,799 | | | | 338,971 | |
TCP Capital Corp. | | | 4.13 | | | | 8/11/2022 | | | | 1,140,000 | | | | 1,135,408 | | | | 1,122,048 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Company Security | | | | | | | | | | | 2,522,000 | | | | 2,533,859 | | | | 2,521,866 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
IT Services — 0.8%*: | | | | | | | | | | | | | | | | | | | | |
Dell International LLC/EMC Corp.^ | | | 3.48 | | | | 6/1/2019 | | | | 405,000 | | | | 406,211 | | | | 410,074 | |
Dell International LLC/EMC Corp.^ | | | 4.42 | | | | 6/15/2021 | | | | 1,180,000 | | | | 1,222,235 | | | | 1,229,583 | |
DXC Technology Co. | | | 2.88 | | | | 3/27/2020 | | | | 270,000 | | | | 269,368 | | | | 271,313 | |
Leidos Holdings, Inc. | | | 4.45 | | | | 12/1/2020 | | | | 1,545,000 | | | | 1,583,544 | | | | 1,602,937 | |
| | | | | | | | | | | | | | | | | | | | |
Total IT Services | | | | | | | | | | | 3,400,000 | | | | 3,481,358 | | | | 3,513,907 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Leisure Time — 0.4%*: | | | | | | | | | | | | | | | | | | | | |
Brunswick Corp.^ | | | 4.63 | | | | 5/15/2021 | | | | 1,476,000 | | | | 1,501,569 | | | | 1,500,304 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Lodging — 0.4%*: | | | | | | | | | | | | | | | | | | | | |
Marriott International, Inc. | | | 2.30 | | | | 1/15/2022 | | | | 300,000 | | | | 299,090 | | | | 294,534 | |
Marriott International, Inc. | | | 2.88 | | | | 3/1/2021 | | | | 1,345,000 | | | | 1,362,892 | | | | 1,353,644 | |
| | | | | | | | | | | | | | | | | | | | |
Total Lodging | | | | | | | | | | | 1,645,000 | | | | 1,661,982 | | | | 1,648,178 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
118
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Machinery-Diversified — 0.5%*: | | | | | | | | | | | | | | | | | | | | |
CNH Industrial Capital LLC | | | 3.38 | % | | | 7/15/2019 | | | | 945,000 | | | $ | 952,840 | | | $ | 952,088 | |
CNH Industrial Capital LLC | | | 3.88 | | | | 10/15/2021 | | | | 1,110,000 | | | | 1,127,126 | | | | 1,129,469 | |
| | | | | | | | | | | | | | | | | | | | |
Total Machinery-Diversified | | | | | | | | | | | 2,055,000 | | | | 2,079,966 | | | | 2,081,557 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Media — 0.8%*: | | | | | | | | | | | | | | | | | | | | |
Charter Communications Operating LLC/Charter Communications Operating Capital | | | 3.58 | | | | 7/23/2020 | | | | 930,000 | | | | 944,207 | | | | 947,336 | |
Discovery Communications LLC | | | 2.95 | | | | 3/20/2023 | | | | 545,000 | | | | 544,346 | | | | 539,374 | |
Sirius XM Radio, Inc.^ | | | 3.88 | | | | 8/1/2022 | | | | 1,888,000 | | | | 1,914,740 | | | | 1,892,720 | |
Viacom, Inc. | | | 2.75 | | | | 12/15/2019 | | | | 118,000 | | | | 119,863 | | | | 117,823 | |
| | | | | | | | | | | | | | | | | | | | |
Total Media | | | | | | | | | | | 3,481,000 | | | | 3,523,156 | | | | 3,497,253 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Mining — 1.1%*: | | | | | | | | | | | | | | | | | | | | |
Anglo American Capital PLC+^ | | | 3.75 | | | | 4/10/2022 | | | | 1,150,000 | | | | 1,165,128 | | | | 1,168,584 | |
Glencore Finance Canada Ltd.+^ | | | 4.25 | | | | 10/25/2022 | | | | 484,000 | | | | 508,890 | | | | 507,135 | |
Glencore Funding LLC^+ | | | 3.00 | | | | 10/27/2022 | | | | 730,000 | | | | 727,915 | | | | 722,883 | |
Kinross Gold Corp. | | | 5.13 | | | | 9/1/2021 | | | | 990,000 | | | | 1,050,537 | | | | 1,032,075 | |
Newcrest Finance Pty Ltd.+^ | | | 4.20 | | | | 10/1/2022 | | | | 1,145,000 | | | | 1,206,759 | | | | 1,192,528 | |
| | | | | | | | | | | | | | | | | | | | |
Total Mining | | | | | | | | | | | 4,499,000 | | | | 4,659,229 | | | | 4,623,205 | |
| | | | | | | | | | | | | | | | | | | | |
|
Office/Business Equip — 0.6%*: | |
Pitney Bowes, Inc. | | | 3.63 | | | | 10/1/2021 | | | | 2,765,000 | | | | 2,741,409 | | | | 2,571,450 | |
| | | | | | | | | | | | | | | | | | | | |
|
Oil and Gas — 0.2%*: | |
EQT Corp. | | | 3.00 | | | | 10/1/2022 | | | | 1,045,000 | | | | 1,041,744 | | | | 1,033,864 | |
| | | | | | | | | | | | | | | | | | | | |
|
Packaging and Containers — 0.5%*: | |
Graphic Packaging International, Inc. | | | 4.75 | | | | 4/15/2021 | | | | 2,006,000 | | | | 2,098,755 | | | | 2,096,270 | |
| | | | | | | | | | | | | | | | | | | | |
|
Pharmaceuticals — 1.6%*: | |
AbbVie, Inc. | | | 1.80 | | | | 5/14/2018 | | | | 1,160,000 | | | | 1,160,767 | | | | 1,159,432 | |
AbbVie, Inc. | | | 2.30 | | | | 5/14/2021 | | | | 150,000 | | | | 148,998 | | | | 148,904 | |
Allergan Funding SCS | | | 2.35 | | | | 3/12/2018 | | | | 655,000 | | | | 655,573 | | | | 655,519 | |
Baxalta, Inc. | | | 2.00 | | | | 6/22/2018 | | | | 705,000 | | | | 704,869 | | | | 704,837 | |
Express Scripts Holding Co. | | | 3.30 | | | | 2/25/2021 | | | | 1,590,000 | | | | 1,613,411 | | | | 1,614,955 | |
Express Scripts Holding Co. | | | 4.75 | | | | 11/15/2021 | | | | 450,000 | | | | 487,998 | | | | 479,443 | |
Shire Acquisitions Investments Ireland DAC | | | 2.40 | | | | 9/23/2021 | | | | 360,000 | | | | 359,579 | | | | 354,334 | |
Teva Pharmaceutical Finance Netherlands III B.V.+ | | | 2.20 | | | | 7/21/2021 | | | | 1,990,000 | | | | 1,957,577 | | | | 1,817,806 | |
| | | | | | | | | | | | | | | | | | | | |
Total Pharmaceuticals | | | | | | | | | | | 7,060,000 | | | | 7,088,772 | | | | 6,935,230 | |
| | | | | | | | | | | | | | | | | | | | |
|
Pipelines — 0.1%*: | |
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | | | 3.50 | | | | 12/1/2022 | | | | 290,000 | | | | 289,116 | | | | 289,450 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
119
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | | | | | | | | | | | | | | | | | | | | |
|
Real Estate Investment Trusts — 1.6%*: | |
American Tower Corp. | | | 2.25 | % | | | 1/15/2022 | | | | 330,000 | | | $ | 329,637 | | | $ | 321,408 | |
American Tower Corp. | | | 3.00 | | | | 6/15/2023 | | | | 1,250,000 | | | | 1,246,811 | | | | 1,246,726 | |
American Tower Corp. | | | 3.30 | | | | 2/15/2021 | | | | 530,000 | | | | 536,269 | | | | 539,718 | |
Crown Castle International Corp. | | | 3.40 | | | | 2/15/2021 | | | | 1,172,000 | | | | 1,202,578 | | | | 1,196,892 | |
DDR Corp. | | | 3.50 | | | | 1/15/2021 | | | | 890,000 | | | | 901,816 | | | | 903,465 | |
DDR Corp. MTN | | | 7.50 | | | | 7/15/2018 | | | | 31,000 | | | | 31,841 | | | | 31,846 | |
Digital Realty Trust LP | | | 3.40 | | | | 10/1/2020 | | | | 385,000 | | | | 387,878 | | | | 392,612 | |
Duke Realty LP | | | 3.88 | | | | 2/15/2021 | | | | 100,000 | | | | 102,305 | | | | 103,350 | |
Healthcare Trust of America Holdings LP | | | 2.95 | | | | 7/1/2022 | | | | 370,000 | | | | 369,795 | | | | 369,025 | |
Highwoods Realty LP | | | 7.50 | | | | 4/15/2018 | | | | 370,000 | | | | 375,454 | | | | 375,599 | |
Simon Property Group LP | | | 2.35 | | | | 1/30/2022 | | | | 955,000 | | | | 950,260 | | | | 945,938 | |
Weyerhaeuser Co. | | | 7.38 | | | | 10/1/2019 | | | | 315,000 | | | | 338,165 | | | | 341,367 | |
| | | | | | | | | | | | | | | | | | | | |
Total REITS | | | | | | | | | | | 6,698,000 | | | | 6,772,809 | | | | 6,767,946 | |
| | | | | | | | | | | | | | | | | | | | |
|
Retail — 1.3%*: | |
AutoNation, Inc. | | | 3.35 | | | | 1/15/2021 | | | | 1,365,000 | | | | 1,379,755 | | | | 1,384,878 | |
CVS Health Corp. | | | 2.13 | | | | 6/1/2021 | | | | 1,415,000 | | | | 1,408,818 | | | | 1,380,911 | |
Dollar Tree, Inc. | | | 5.75 | | | | 3/1/2023 | | | | 1,840,000 | | | | 1,933,379 | | | | 1,927,400 | |
QVC, Inc. | | | 3.13 | | | | 4/1/2019 | | | | 857,000 | | | | 866,564 | | | | 860,198 | |
| | | | | | | | | | | | | | | | | | | | |
Total Retail | | | | | | | | | | | 5,477,000 | | | | 5,588,516 | | | | 5,553,387 | |
| | | | | | | | | | | | | | | | | | | | |
|
Semiconductors — 0.8%*: | |
Analog Devices, Inc. | | | 2.50 | | | | 12/5/2021 | | | | 250,000 | | | | 249,192 | | | | 247,538 | |
Broadcom Corp./Broadcom Cayman Finance Ltd.^ | | | 3.00 | | | | 1/15/2022 | | | | 1,385,000 | | | | 1,385,150 | | | | 1,373,268 | |
KLA-Tencor Corp. | | | 3.38 | | | | 11/1/2019 | | | | 427,000 | | | | 434,560 | | | | 434,040 | |
NXP BV/NXP Funding LLC^ | | | 4.13 | | | | 6/1/2021 | | | | 1,270,000 | | | | 1,299,997 | | | | 1,295,400 | |
| | | | | | | | | | | | | | | | | | | | |
Total Semiconductors | | | | | | | | | | | 3,332,000 | | | | 3,368,899 | | | | 3,350,246 | |
| | | | | | | | | | | | | | | | | | | | |
|
Telecommunications — 1.3%*: | |
Hughes Satellite Systems Corp. | | | 6.50 | | | | 6/15/2019 | | | | 1,932,000 | | | | 2,036,837 | | | | 2,018,940 | |
Sprint Communications, Inc. | | | 9.25 | | | | 4/15/2022 | | | | 705,000 | | | | 857,106 | | | | 840,713 | |
Telefonaktiebolaget LM Ericsson+ | | | 4.13 | | | | 5/15/2022 | | | | 1,970,000 | | | | 2,007,462 | | | | 1,983,830 | |
Verizon Communications, Inc. | | | 2.95 | | | | 3/15/2022 | | | | 760,000 | | | | 771,296 | | | | 764,629 | |
| | | | | | | | | | | | | | | | | | | | |
Total Telecommunications | | | | | | | | | | | 5,367,000 | | | | 5,672,701 | | | | 5,608,112 | |
| | | | | | | | | | | | | | | | | | | | |
|
Toys/Games/Hobbies — 0.1%*: | |
Mattel, Inc. | | | 1.70 | | | | 3/15/2018 | | | | 600,000 | | | | 598,905 | | | | 597,750 | |
| | | | | | | | | | | | | | | | | | | | |
|
Transportation — 1.1%*: | |
Asciano Finance Ltd.+^ | | | 5.00 | | | | 4/7/2018 | | | | 970,000 | | | | 975,588 | | | | 976,170 | |
Penske Truck Leasing Co. LP/PTL Finance Corp.^ | | | 2.50 | | | | 6/15/2019 | | | | 285,000 | | | | 283,018 | | | | 285,551 | |
Penske Truck Leasing Co. LP/PTL Finance Corp.^ | | | 3.05 | | | | 1/9/2020 | | | | 590,000 | | | | 596,382 | | | | 597,076 | |
Penske Truck Leasing Co. LP/PTL Finance Corp.^ | | | 3.20 | | | | 7/15/2020 | | | | 135,000 | | | | 134,949 | | | | 137,014 | |
Penske Truck Leasing Co. LP/PTL Finance Corp.^ | | | 3.30 | | | | 4/1/2021 | | | | 240,000 | | | | 245,422 | | | | 244,441 | |
See accompanying Notes to the Financial Statements.
120
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | | | | | | | | | | | | | | | | | | | | |
|
Transportation (Continued) | |
Penske Truck Leasing Co. LP/PTL Finance Corp.^ | | | 3.38 | % | | | 2/1/2022 | | | | 80,000 | | | $ | 81,191 | | | $ | 81,498 | |
Penske Truck Leasing Co. LP/PTL Finance Corp.^ | | | 4.88 | | | | 7/11/2022 | | | | 490,000 | | | | 533,194 | | | | 528,989 | |
Ryder System, Inc. MTN | | | 2.25 | | | | 9/1/2021 | | | | 635,000 | | | | 631,100 | | | | 625,170 | |
Ryder System, Inc. MTN | | | 2.45 | | | | 9/3/2019 | | | | 200,000 | | | | 202,294 | | | | 200,220 | |
Ryder System, Inc. MTN | | | 2.50 | | | | 3/1/2018 | | | | 250,000 | | | | 250,069 | | | | 250,047 | |
Ryder System, Inc. MTN | | | 2.55 | | | | 6/1/2019 | | | | 185,000 | | | | 184,818 | | | | 185,510 | |
Ryder System, Inc. MTN | | | 2.88 | | | | 9/1/2020 | | | | 310,000 | | | | 310,446 | | | | 312,139 | |
TTX Co.^ | | | 2.25 | | | | 2/1/2019 | | | | 250,000 | | | | 249,882 | | | | 249,386 | |
| | | | | | | | | | | | | | | | | | | | |
Total Transportation | | | | | | | | | | | 4,620,000 | | | | 4,678,353 | | | | 4,673,211 | |
| | | | | | | | | | | | | | | | | | | | |
|
Trucking and Leasing — 1.2%*: | |
Aviation Capital Group LLC^ | | | 2.88 | | | | 9/17/2018 | | | | 1,465,000 | | | | 1,470,135 | | | | 1,469,916 | |
Aviation Capital Group LLC^ | | | 6.75 | | | | 4/6/2021 | | | | 200,000 | | | | 215,104 | | | | 223,523 | |
DAE Funding LLC+^ | | | 4.00 | | | | 8/1/2020 | | | | 276,000 | | | | 276,000 | | | | 278,760 | |
GATX Corp. | | | 2.50 | | | | 7/30/2019 | | | | 250,000 | | | | 251,657 | | | | 249,524 | |
GATX Corp. | | | 2.60 | | | | 3/30/2020 | | | | 685,000 | | | | 680,239 | | | | 684,826 | |
Park Aerospace Holdings Ltd.^ | | | 5.25 | | | | 8/15/2022 | | | | 2,045,000 | | | | 2,120,849 | | | | 2,032,219 | |
| | | | | | | | | | | | | | | | | | | | |
Total Trucking and Leasing | | | | | | | | | | | 4,921,000 | | | | 5,013,984 | | | | 4,938,768 | |
| | | | | | | | | | | | | | | | | | | | |
|
Venture Capital — 0.4%*: | |
Hercules Capital, Inc. | | | 4.63 | | | | 10/23/2022 | | | | 1,725,000 | | | | 1,715,823 | | | | 1,753,662 | |
| | | | | | | | | | | | | | | | | | | | |
Total Corporate Bonds | | | | | | | | | | | 176,097,000 | | | | 179,580,360 | | | | 178,839,215 | |
| | | | | | | | | | | | | | | | | | | | |
Mortgage-Backed Securities — 0.9%*: | |
COMM Mortgage Trust 2014-UBS2 B | | | 4.70 | | | | 3/10/2047 | | | | 600,000 | | | | 643,734 | | | | 629,606 | |
JP Morgan Mortgage Trust 2017-6 A5^ | | | 3.50 | #@ | | | 12/25/2048 | | | | 1,130,000 | | | | 1,145,006 | | | | 1,145,528 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC18 AM | | | 5.47 | #@ | | | 6/12/2047 | | | | 216,229 | | | | 221,419 | | | | 216,062 | |
New Residential Mortgage Loan Trust 2016-4A A1^ | | | 3.75 | #@ | | | 11/25/2056 | | | | 473,421 | | | | 487,572 | | | | 484,667 | |
Shellpoint Co-Originator Trust 2016-1 2A3^ | | | 3.00 | #@ | | | 10/25/2031 | | | | 912,369 | | | | 921,747 | | | | 910,766 | |
Velocity Commercial Capital Loan Trust 2016-2 AFX | | | 3.00 | #@ | | | 10/25/2046 | | | | 390,822 | | | | 390,821 | | | | 390,784 | |
| | | | | | | | | | | | | | | | | | | | |
Total Mortgage-Backed Securities | | | | | | | | | | | 3,722,841 | | | | 3,810,299 | | | | 3,777,413 | |
| | | | | | | | | | | | | | | | | | | | |
U.S. Treasury & Government Agencies — 3.1%*: | |
Federal Home Loan Mortgage Corp., 1M LIBOR + 0.450% | | | 1.93 | # | | | 9/15/2042 | | | | 353,526 | | | | 351,800 | | | | 355,809 | |
Federal Home Loan Mortgage Corp., 1M LIBOR + 0.480% | | | 1.96 | # | | | 10/15/2040 | | | | 398,238 | | | | 397,869 | | | | 400,683 | |
Federal Home Loan Mortgage Corp. | | | 3.00 | | | | 8/15/2040 | | | | 899,038 | | | | 912,507 | | | | 907,158 | |
Federal Home Loan Mortgage Corp. | | | 3.00 | | | | 3/15/2041 | | | | 766,456 | | | | 776,860 | | | | 775,501 | |
See accompanying Notes to the Financial Statements.
121
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
U.S. Treasury & Government Agencies (Continued) | |
Federal National Mortgage Association | | | 3.00 | % | | | 4/25/2040 | | | | 1,173,558 | | | $ | 1,187,304 | | | $ | 1,186,259 | |
Federal National Mortgage Association | | | 3.00 | | | | 1/25/2041 | | | | 606,025 | | | | 613,826 | | | | 613,084 | |
U.S. Treasury Note | | | 0.75 | | | | 10/31/2018 | | | | 2,000,000 | | | | 1,991,858 | | | | 1,983,516 | |
U.S. Treasury Note | | | 0.88 | | | | 7/31/2019 | | | | 1,100,000 | | | | 1,098,211 | | | | 1,083,414 | |
U.S. Treasury Note | | | 1.63 | | | | 3/15/2020 | | | | 5,800,000 | | | | 5,824,113 | | | | 5,764,656 | |
| | | | | | | | | | | | | | | | | | | | |
Total U.S. Treasury & Government Agencies | | | | | | | | | | | 13,096,841 | | | | 13,154,348 | | | | 13,070,080 | |
| | | | | | | | | | | | | | | | | | | | |
Total Fixed Income | | | | | | | | | | | 324,811,431 | | | | 327,802,344 | | | | 327,377,051 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | STRIKE
PRICE | | | EXPIRATION
DATE | | | CONTRACTS | | | NOTIONAL | | | COST | | | UNREALIZED
VALUE | | | FAIR
VALUE | |
| | | | | | | |
Purchased Options — 0.4%*: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
Call Option Purchased — 0.1%*: | |
OTC – BCM Swaption JPMorgan Chase Bank N.A. | | | $2.44 | | | | 12/13/2032 | | | | 11,190,000 | | | | 11,190,000 | | | | 561,458 | | | | (17,520 | ) | | | 543,938 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
Put Option Purchased — 0.3%*: | |
OTC – BCM Swaption JPMorgan Chase Bank N.A. | | | 2.94 | | | | 12/13/2032 | | | | 22,790,000 | | | | 22,790,000 | | | | 1,143,488 | | | | (66,404 | ) | | | 1,077,085 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
| | | | | |
Short-Term Investments — 21.7%*: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Bank Deposit — 0.1%*: | | | | | | | | | | | | | | | | | | | | |
State Street Bank & Trust Co. Euro Time Deposit | | | 0.12 | % | | | 1/2/2018 | | | | 239,949 | | | | 239,949 | | | | 239,949 | |
| | | | | | | | | | | | | | | | | | | | |
Commercial Paper — 21.6%*: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Auto Manufacturers — 1.7%*: | | | | | | | | | | | | | | | | | | | | |
Harley-Davidson Motorcycle Trust | | | Zero Coupon | | | | 1/18/2018 | | | | 3,705,000 | | | | 3,702,446 | | | | 3,702,446 | |
Hyundai Capital America | | | Zero Coupon | | | | 1/29/2018 | | | | 3,640,000 | | | | 3,635,668 | | | | 3,635,668 | |
| | | | | | | | | | | | | | | | | | | | |
Total Auto Manufacturers | | | | | | | | | | | 7,345,000 | | | | 7,338,114 | | | | 7,338,114 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Chemicals — 1.7%*: | | | | | | | | | | | | | | | | | | | | |
Ei Du Pont De Nemours | | | Zero Coupon | | | | 1/2/2018 | | | | 3,491,000 | | | | 3,490,861 | | | | 3,490,861 | |
Potash Corp. of Saskatchewan, Inc. | | | Zero Coupon | | | | 1/26/2018 | | | | 3,500,000 | | | | 3,496,111 | | | | 3,496,111 | |
| | | | | | | | | | | | | | | | | | | | |
Total Chemicals | | | | | | | | | | | 6,991,000 | | | | 6,986,972 | | | | 6,986,972 | |
| | | | | | | | | | | | | | | | | | | | |
|
Electrical Components and Equipment — 1.1%*: | |
Fortive Corp. | | | Zero Coupon | | | | 3/14/2018 | | | | 1,000,000 | | | | 995,800 | | | | 995,800 | |
Molex Electronics Technologies | | | Zero Coupon | | | | 1/4/2018 | | | | 3,750,000 | | | | 3,749,497 | | | | 3,749,497 | |
| | | | | | | | | | | | | | | | | | | | |
Total Electrical Components and Equipment | | | | | | | | | | | 4,750,000 | | | | 4,745,297 | | | | 4,745,297 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Food — 0.4%*: | | | | | | | | | | | | | | | | | | | | |
Anheuser-Busch InBev Worldwide, Inc. | | | Zero Coupon | | | | 1/10/2018 | | | | 1,550,000 | | | | 1,549,438 | | | | 1,549,438 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
122
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Commercial Paper (Continued) | | | | | | | | | | | | | | | | | | | | |
|
Household Products — 0.9%*: | |
Clorox Co. (The) | | | Zero Coupon | | | | 2/5/2018 | | | | 2,500,000 | | | $ | 2,495,382 | | | $ | 2,495,382 | |
Reckitt Benckiser Treasury Services PLC | | | Zero Coupon | | | | 1/16/2018 | | | | 1,500,000 | | | | 1,499,063 | | | | 1,499,063 | |
| | | | | | | | | | | | | | | | | | | | |
Total Household Products | | | | | | | | | | | 4,000,000 | | | | 3,994,445 | | | | 3,994,445 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Lodging — 0.9%*: | | | | | | | | | | | | | | | | | | | | |
Carnival Corp. | | | Zero Coupon | | | | 1/16/2018 | | | | 3,750,000 | | | | 3,747,656 | | | | 3,747,656 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Media — 0.8%*: | | | | | | | | | | | | | | | | | | | | |
Time Warner, Inc. | | | Zero Coupon | | | | 1/4/2018 | | | | 3,500,000 | | | | 3,499,431 | | | | 3,499,431 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Oil and Gas — 2.3%*: | | | | | | | | | | | | | | | | | | | | |
FMC Technologies, Inc. | | | Zero Coupon | | | | 1/8/2018 | | | | 3,750,000 | | | | 3,748,877 | | | | 3,748,877 | |
Schlumberger Holdings Corp. | | | Zero Coupon | | | | 2/27/2018 | | | | 2,500,000 | | | | 2,493,667 | | | | 2,493,667 | |
Suncor Energy, Inc. | | | Zero Coupon | | | | 1/16/2018 | | | | 3,400,000 | | | | 3,397,846 | | | | 3,397,846 | |
| | | | | | | | | | | | | | | | | | | | |
Total Oil and Gas | | | | | | | | | | | 9,650,000 | | | | 9,640,390 | | | | 9,640,390 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Pipelines — 1.8%*: | | | | | | | | | | | | | | | | | | | | |
Enterprise Products Operating LLC | | | Zero Coupon | | | | 1/29/2018 | | | | 3,750,000 | | | | 3,745,421 | | | | 3,745,421 | |
Spectra Energy Partners LP | | | Zero Coupon | | | | 1/8/2018 | | | | 3,760,000 | | | | 3,758,596 | | | | 3,758,596 | |
| | | | | | | | | | | | | | | | | | | | |
Total Pipelines | | | | | | | | | | | 7,510,000 | | | | 7,504,017 | | | | 7,504,017 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Retail — 0.4%*: | | | | | | | | | | | | | | | | | | | | |
Walgreens Boots Alliance, Inc. | | | Zero Coupon | | | | 2/20/2018 | | | | 1,750,000 | | | | 1,746,135 | | | | 1,746,135 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Semiconductors — 0.8%*: | | | | | | | | | | | | | | | | | | | | |
Lam Research Corp. | | | Zero Coupon | | | | 1/4/2018 | | | | 3,500,000 | | | | 3,499,551 | | | | 3,499,551 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Software — 0.7%*: | | | | | | | | | | | | | | | | | | | | |
Thomson Reuters Corp. | | | Zero Coupon | | | | 2/13/2018 | | | | 3,000,000 | | | | 2,994,195 | | | | 2,994,195 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Telecommunications — 2.3%*: | | | | | | | | | | | | | | | | | | | | |
Bell Canada | | | Zero Coupon | | | | 3/2/2018 | | | | 3,750,000 | | | | 3,739,562 | | | | 3,739,562 | |
Rogers Communications, Inc. | | | Zero Coupon | | | | 1/4/2018 | | | | 3,750,000 | | | | 3,749,541 | | | | 3,749,541 | |
Telus Corp. | | | Zero Coupon | | | | 3/12/2018 | | | | 2,000,000 | | | | 1,993,000 | | | | 1,993,000 | |
| | | | | | | | | | | | | | | | | | | | |
Total Telecommunications | | | | | | | | | | | 9,500,000 | | | | 9,482,103 | | | | 9,482,103 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Transportation — 0.9%*: | | | | | | | | | | | | | | | | | | | | |
FedEx Corp. | | | Zero Coupon | | | | 1/8/2018 | | | | 3,750,000 | | | | 3,748,914 | | | | 3,748,914 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Utilities — 4.9%*: | | | | | | | | | | | | | | | | | | | | |
Dominion Resources, Inc. | | | Zero Coupon | | | | 1/16/2018 | | | | 3,500,000 | | | | 3,497,769 | | | | 3,497,769 | |
Entergy Corp. | | | Zero Coupon | | | | 1/29/2018 | | | | 3,750,000 | | | | 3,745,392 | | | | 3,745,392 | |
Public Service Enterprise Group, Inc. | | | Zero Coupon | | | | 1/22/2018 | | | | 3,750,000 | | | | 3,746,675 | | | | 3,746,675 | |
Sempra Energy Holdings | | | Zero Coupon | | | | 1/8/2018 | | | | 3,000,000 | | | | 2,999,113 | | | | 2,999,113 | |
Southern Co. Gas Capital | | | Zero Coupon | | | | 1/16/2018 | | | | 2,000,000 | | | | 1,998,542 | | | | 1,998,542 | |
See accompanying Notes to the Financial Statements.
123
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR VALUE | |
Commercial Paper (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Utilities (Continued) | | | | | | | | | | | | | | | | | | | | |
Southern Co. Gas Capital | | | Zero Coupon | | | | 1/26/2018 | | | | 3,750,000 | | | $ | 3,744,922 | | | $ | 3,744,922 | |
Xcel Energy, Inc. | | | Zero Coupon | | | | 4/23/2018 | | | | 1,000,000 | | | | 994,773 | | | | 994,773 | |
| | | | | | | | | | | | | | | | | | | | |
Total Utilities | | | | | | | | | | | 20,750,000 | | | | 20,727,186 | | | | 20,727,186 | |
| | | | | | | | | | | | | | | | | | | | |
Total Commercial Paper | | | | | | | | | | | 91,296,000 | | | | 91,203,844 | | | | 91,203,844 | |
| | | | | | | | | | | | | | | | | | | | |
Total Short-Term Investments | | | | | | | | | | | 91,535,949 | | | | 91,443,793 | | | | 91,443,793 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | 450,327,380 | | | | 420,951,083 | | | | 420,441,867 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Other assets and liabilities – 0.3%* | | | | | | | | | | | | | | | | | | | 1,155,426 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Assets – 100.0% | | | | | | | | | | | | | | | | | | | $421,597,293 | |
| | | | | | | | | | | | | | | | | | | | |
| ‡‡ | | Unless otherwise indicated, all principal amounts are denominated in United States Dollars. |
| * | | Calculated as a percentage of net assets applicable to common shareholders. |
Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:
| | | | | | |
| | United States | | | 89.1% | |
| | Japan | | | 1.4% | |
| | Ireland | | | 1.1% | |
| | Canada | | | 1.0% | |
| | Other (Individually less than 1%) | | | 7.4% | |
| | | | | | |
| | 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 December 31, 2017. |
| @ | | Effective interest rate for this security is the coupon rate at issue based on the underlying loans. |
| ** | | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. |
A summary of outstanding derivatives at December 31, 2017 is as follows:
Futures
| | | | | | | | | | | | | | | | | | | | | | |
| TYPE | | EXPIRATION
DATE | | CONTRACTS | | | NOTIONAL
AMOUNT | | | POSITION | | | FAIR VALUE | | | UNREALIZED
DEPRECIATION | |
Long Futures | |
U.S. 10-Year Treasury Note | | 03/20/18 | | | 235 | | | | 29,240,956 | | | | Long | | | $ | 29,151,015 | | | $ | (89,941 | ) |
U.S. 2-Year Treasury Note | | 03/29/18 | | | 196 | | | | 42,049,929 | | | | Long | | | | 41,965,438 | | | | (84,491 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Total Long Futures | | | $ | (174,432 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
124
Barings Active Short Duration Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | |
| TYPE | | EXPIRATION
DATE | | CONTRACTS | | | NOTIONAL
AMOUNT | | | POSITION | | | FAIR VALUE | | | UNREALIZED
APPRECIATION | |
Short Futures | |
U.S. 10-Year Ultra Bond | | 03/20/18 | | | 92 | | | | 12,302,547 | | | | Short | | | $ | 12,287,750 | | | $ | 14,797 | |
U.S. 5-Year Treasury Note | | 03/29/18 | | | 861 | | | | 100,500,227 | | | | Short | | | | 100,017,258 | | | | 482,969 | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Short Futures | | | $ | 497,766 | |
| | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps – Sell Protection (1)(2)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
REFERENCE
OBLIGATION | | FIXED-DEAL
RECEIVED
RATE | | | PAYMENT FREQUENCY | | | 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 | % | | | 1M | | | | 11/17/2045 | | | JPMorgan Chase
Bank N.A. | | | 230,000 | | | | 230,000 | | | $ | 524 | | | $ | (33,653 | ) | | $ | (34,177 | ) |
| CMBX.NA.BBB-.6† | | | 3.00 | % | | | 1M | | | | 5/11/2063 | | | Goldman Sachs &
Co. | | | 290,000 | | | | 290,000 | | | | (21,637 | ) | | | (42,433 | ) | | | (20,796 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total OTC Credit Default Swaps | | | | | | | | | | $ | (21,113 | ) | | $ | (76,086 | ) | | $ | (54,973 | ) |
| | | | | | | | | | | | | | | | |
| (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 Portfolio 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.
125
Barings Total Return Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Fixed Income — 88.4%*: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Asset-Backed Securities — 27.4%*: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
CDO/CLO — 4.7%*: | | | | | | | | | | | | | | | | | | | | |
ALM VII Ltd. 2012-7A A1R, 3M USD LIBOR + 1.480%^ | | | 2.84 | #% | | | 10/15/2028 | | | | 250,000 | | | | $250,000 | | | | $252,087 | |
ALM XIV Ltd. 2014-14A A1R, 3M USD LIBOR + 1.150%^ | | | 2.53 | # | | | 7/28/2026 | | | | 250,000 | | | | 250,000 | | | | 250,511 | |
Carlyle Global Market Strategies CLO Ltd. 2014-4A A1R, 3M USD LIBOR + 1.200%^ | | | 2.56 | # | | | 10/15/2026 | | | | 250,000 | | | | 250,000 | | | | 250,485 | |
LCM XXIII Ltd. 23A A1, 3M USD LIBOR + 1.400%^ | | | 2.76 | # | | | 10/20/2029 | | | | 250,000 | | | | 250,000 | | | | 253,172 | |
Madison Park Funding XIV Ltd. 2014-14A A1R, 3M USD LIBOR + 1.120%^ | | | 2.48 | # | | | 7/20/2026 | | | | 250,000 | | | | 250,000 | | | | 251,117 | |
Marble Point CLO XI Ltd. 2017-2A A, 3M USD LIBOR + 1.180%^ | | | 2.79 | # | | | 12/18/2030 | | | | 250,000 | | | | 250,000 | | | | 250,099 | |
| | | | | | | | | | | | | | | | | | | | |
Total CDO/CLO | | | | | | | | | | | 1,500,000 | | | | 1,500,000 | | | | 1,507,471 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Other Asset-Backed Securities — 22.7%*: | | | | | | | | | | | | | | | | | | | | |
Access Group, Inc. 2006-1 B, 3M USD LIBOR + 0.450% | | | 1.91 | # | | | 8/25/2037 | | | | 89,696 | | | | 78,674 | | | | 84,271 | |
Access Group, Inc. 2015-1 A, 1M USD LIBOR + 0.700%^ | | | 2.25 | # | | | 7/25/2056 | | | | 60,356 | | | | 59,047 | | | | 60,429 | |
Access Group, Inc. 2015-1 B, 1M USD LIBOR + 1.500%^ | | | 3.05 | # | | | 7/25/2058 | | | | 100,000 | | | | 86,487 | | | | 86,343 | |
AccessLex Institute 2004-A A3, 28 day ARS | | | 2.29 | # | | | 7/1/2039 | | | | 100,000 | | | | 98,130 | | | | 98,652 | |
Arbys Funding LLC 2015-1A A2^ | | | 4.97 | | | | 10/30/2045 | | | | 39,200 | | | | 39,200 | | | | 40,036 | |
Argent Securities, Inc. Asset-Backed Pass-Through Certificates 2004-W10 M1, 1M USD LIBOR + 0.900% | | | 2.23 | # | | | 10/25/2034 | | | | 52,581 | | | | 47,835 | | | | 50,853 | |
Asset Backed Securities Corp. Home Equity Loan Trust 2005-HE1 M1, 1M USD LIBOR + 0.750% | | | 2.30 | # | | | 3/25/2035 | | | | 60,668 | | | | 60,315 | | | | 61,926 | |
CKE Restaurant Holdings, Inc. 2013-1A A2^ | | | 4.47 | | | | 3/20/2043 | | | | 115,211 | | | | 117,900 | | | | 115,455 | |
CLI Funding V LLC 2013-2A^ | | | 3.22 | | | | 6/18/2028 | | | | 51,427 | | | | 50,859 | | | | 51,107 | |
CLI Funding VI LLC 2016-1A A^ | | | 4.21 | | | | 2/18/2041 | | | | 69,151 | | | | 69,145 | | | | 68,638 | |
College Loan Corp. Trust I 2005-2 B, 3M USD LIBOR + 0.490% | | | 1.85 | # | | | 1/15/2037 | | | | 101,512 | | | | 89,582 | | | | 93,327 | |
College Loan Corp. Trust I 2017-1 B2, 28 day ARS¤ | | | Zero Coupon | | | | 1/25/2047 | | | | 45,000 | | | | 38,402 | | | | 38,700 | |
Credit Suisse ABS Repackaging Trust 2013-A B^ | | | 2.50 | | | | 1/25/2030 | | | | 53,322 | | | | 50,702 | | | | 50,332 | |
CWABS Asset-Backed Certificates Trust 2005-4 MV5, 1M USD LIBOR + 0.670% | | | 2.00 | # | | | 10/25/2035 | | | | 60,000 | | | | 54,043 | | | | 60,088 | |
DB Master Finance LLC 2015-1A A2II^ | | | 3.98 | | | | 2/20/2045 | | | | 48,625 | | | | 49,611 | | | | 49,789 | |
Diamond Resorts Owner Trust 2013-2 A^ | | | 2.27 | | | | 5/20/2026 | | | | 29,957 | | | | 29,782 | | | | 29,898 | |
Diamond Resorts Owner Trust 2015-1 A^ | | | 2.73 | | | | 7/20/2027 | | | | 24,391 | | | | 24,389 | | | | 24,231 | |
Diamond Resorts Owner Trust 2016-1 B^ | | | 3.37 | | | | 11/20/2028 | | | | 69,675 | | | | 69,663 | | | | 68,599 | |
Domino’s Pizza Master Issuer LLC 2015-1A A2I^ | | | 3.48 | | | | 10/25/2045 | | | | 59,100 | | | | 59,100 | | | | 59,306 | |
Domino’s Pizza Master Issuer LLC 2015-1A A2II^ | | | 4.47 | | | | 10/25/2045 | | | | 59,100 | | | | 59,100 | | | | 60,308 | |
See accompanying Notes to the Financial Statements.
126
Barings Total Return Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Asset-Backed Securities (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Other Asset-Backed Securities (Continued) | | | | | | | | | | | | | | | | | | | | |
DRB Prime Student Loan Trust 2015-B A1, 1M USD LIBOR + 1.900%^ | | | 3.24 | #% | | | 10/27/2031 | | | | 45,822 | | | | $45,741 | | | | $46,800 | |
DRB Prime Student Loan Trust 2016-R A1, 1M USD LIBOR + 1.900%^¤ | | | 3.46 | # | | | 10/25/2044 | | | | 79,176 | | | | 79,176 | | | | 79,967 | |
DRB Prime Student Loan Trust 2016-R A2^¤ | | | 3.07 | | | | 10/25/2044 | | | | 79,176 | | | | 79,161 | | | | 79,967 | |
Drive Auto Receivables Trust 2016-BA B^ | | | 2.56 | | | | 6/15/2020 | | | | 9,133 | | | | 9,133 | | | | 9,142 | |
Drug Royalty Corp Inc. 2012-1 A1, 3M USD LIBOR + 5.250%^ | | | 6.13 | # | | | 7/15/2024 | | | | 13,462 | | | | 13,782 | | | | 13,592 | |
Earnest Student Loan Program LLC 2016-C A1, 1M USD LIBOR + 1.850%^ | | | 3.13 | # | | | 10/27/2036 | | | | 60,103 | | | | 60,103 | | | | 61,026 | |
ECMC Group Student Loan Trust 2016-1A A, 1M USD LIBOR + 1.350%^ | | | 2.90 | # | | | 7/26/2066 | | | | 75,098 | | | | 75,098 | | | | 75,792 | |
EdLinc Student Loan Funding Trust 2017-A A, PRIME – 1.15%^¤ | | | 1.01 | # | | | 12/1/2047 | | | | 100,000 | | | | 99,305 | | | | 99,305 | |
Element Rail Leasing II LLC 2015-1A A1+^ | | | 2.71 | | | | 2/19/2045 | | | | 59,219 | | | | 57,252 | | | | 58,695 | |
Entergy New Orleans Storm Recovery Funding I LLC 2015-1 A | | | 2.67 | | | | 6/1/2027 | | | | 77,694 | | | | 77,678 | | | | 77,519 | |
First Franklin Mortgage Loan Trust 2004-FFH4 M6, 1M USD LIBOR + 1.725% | | | 3.28 | # | | | 1/25/2035 | | | | 50,000 | | | | 49,818 | | | | 51,122 | |
First Franklin Mortgage Loan Trust 2005 FF3 M3, 1M USD LIBOR + 0.720% | | | 2.27 | # | | | 4/25/2035 | | | | 7,516 | | | | 7,481 | | | | 7,532 | |
Flagship Credit Auto Trust 2016-2 A2^ | | | 3.05 | | | | 8/16/2021 | | | | 60,000 | | | | 59,997 | | | | 60,375 | |
Flagship Credit Auto Trust 2016-4 C^ | | | 2.71 | | | | 11/15/2022 | | | | 40,000 | | | | 39,998 | | | | 39,787 | |
Flagship Credit Auto Trust 2017-4 C^ | | | 2.92 | | | | 11/15/2023 | | | | 100,000 | | | | 99,814 | | | | 99,632 | |
FNA Trust 2015-1 A^ | | | 3.24 | | | | 12/10/2023 | | | | 16,323 | | | | 16,335 | | | | 16,230 | |
Goodgreen Trust 2017-1A A^ | | | 3.74 | | | | 10/15/2052 | | | | 95,952 | | | | 95,907 | | | | 95,277 | |
GSAMP Trust 2005-SEA2 A1, 1M USD LIBOR + 0.350%^ | | | 1.90 | # | | | 1/25/2045 | | | | 6,437 | | | | 6,194 | | | | 6,424 | |
Helios Issuer LLC 2017-1A A^ | | | 4.94 | | | | 9/20/2049 | | | | 97,788 | | | | 97,742 | | | | 100,203 | |
HERO Funding Trust 2015-1A A^ | | | 3.84 | | | | 9/21/2040 | | | | 102,153 | | | | 104,014 | | | | 103,941 | |
Hilton Grand Vacations Trust 2013-A A^ | | | 2.28 | | | | 1/25/2026 | | | | 76,271 | | | | 76,107 | | | | 75,733 | |
J.G. Wentworth XXXV LLC 2015-2A A^ | | | 3.87 | | | | 3/15/2058 | | | | 47,310 | | | | 47,274 | | | | 49,548 | |
Mariner Finance Issuance Trust 2017-AA A^ | | | 3.62 | | | | 2/20/2029 | | | | 100,000 | | | | 99,981 | | | | 100,547 | |
Marlette Funding Trust 2016-1A A^ | | | 3.06 | | | | 1/17/2023 | | | | 21,015 | | | | 21,039 | | | | 21,052 | |
Marlette Funding Trust 2017-2A B^ | | | 3.19 | | | | 7/15/2024 | | | | 100,000 | | | | 99,992 | | | | 100,199 | |
Miramax LLC 2014-1A A2^ | | | 3.34 | | | | 7/20/2026 | | | | 49,760 | | | | 50,053 | | | | 49,801 | |
Montana Higher Education Student Assistance Corp. 2012-1 A3, 1M USD LIBOR + 1.050% | | | 2.51 | # | | | 7/20/2043 | | | | 150,000 | | | | 145,209 | | | | 152,241 | |
Navient Student Loan Trust 2016-6 A3, 1M USD LIBOR + 1.300%^ | | | 2.77 | # | | | 3/25/2066 | | | | 290,000 | | | | 290,000 | | | | 298,189 | |
Navient Student Loan Trust 2017-1A A3, 1M USD LIBOR + 1.150%^ | | | 2.64 | # | | | 7/26/2066 | | | | 120,000 | | | | 120,000 | | | | 122,855 | |
Navient Student Loan Trust 2017-4A A3, 1M USD LIBOR + 1.000%^ | | | 2.53 | # | | | 9/27/2066 | | | | 100,000 | | | | 100,000 | | | | 100,954 | |
See accompanying Notes to the Financial Statements.
127
Barings Total Return Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | 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 A1B^ | | | 3.60 | % | | | 12/26/2040 | | | | 66,369 | | | | $65,939 | | | | $65,511 | |
New Residential Advance Receivables Trust Advance Receivables Backed Notes 2016-T2 AT2^ | | | 2.58 | | | | 10/15/2049 | | | | 250,000 | | | | 250,000 | | | | 247,613 | |
Northstar Education Finance, Inc. 2005-1 A5, 3M USD LIBOR + 0.750% | | | 2.21 | # | | | 10/30/2045 | | | | 23,830 | | | | 22,835 | | | | 22,294 | |
NovaStar Mortgage Funding Trust 2004-4 M5, 1M LIBOR + 1.725% | | | 3.28 | # | | | 3/25/2035 | | | | 96,821 | | | | 96,797 | | | | 97,955 | |
NRZ Advance Receivables Trust 2016-T4 AT4^ | | | 3.11 | | | | 12/15/2050 | | | | 100,000 | | | | 100,000 | | | | 99,555 | |
NRZ Advance Receivables Trust Advance Receivables Backed 2016-T3 AT3^ | | | 2.83 | | | | 10/16/2051 | | | | 230,000 | | | | 230,000 | | | | 225,907 | |
OnDeck Asset Securitization Trust II LLC 2016-1A A^ | | | 4.21 | | | | 5/17/2020 | | | | 100,000 | | | | 99,977 | | | | 100,370 | |
OneMain Financial Issuance Trust 2014-2A A^ | | | 2.47 | | | | 9/18/2024 | | | | 1,570 | | | | 1,575 | | | | 1,571 | |
OSCAR US Funding Trust V 2016-2A A4+^ | | | 2.99 | | | | 12/15/2023 | | | | 130,000 | | | | 129,209 | | | | 129,461 | |
Oscar US Funding Trust VI LLC 2017-1A A4+^ | | | 3.30 | | | | 5/10/2024 | | | | 30,000 | | | | 29,994 | | | | 30,099 | |
Popular ABS Mortgage Pass-Through Trust 2006-B A3, 1M USD LIBOR + 0.280% | | | 1.83 | # | | | 5/25/2036 | | | | 38,418 | | | | 36,936 | | | | 38,350 | |
Sierra Timeshare Receivables Funding LLC 2015-2A B^ | | | 3.02 | | | | 6/20/2032 | | | | 25,488 | | | | 25,483 | | | | 25,460 | |
SLC Private Student Loan Trust 2006-A A5, 3M USD LIBOR + 0.170% | | | 1.53 | # | | | 7/15/2036 | | | | 10,859 | | | | 10,799 | | | | 10,859 | |
SLC Private Student Loan Trust 2006-A C, 3M USD LIBOR + 0.450% | | | 1.81 | # | | | 7/15/2036 | | | | 140,000 | | | | 125,254 | | | | 133,544 | |
SLC Student Loan Trust 2005-1 B, 3M USD LIBOR + 0.200% | | | 1.62 | # | | | 2/15/2045 | | | | 97,056 | | | | 83,505 | | | | 89,418 | |
SLM Student Loan Trust 2002-7 A11, 28 day ARS | | | 1.38 | # | | | 3/15/2028 | | | | 50,000 | | | | 49,448 | | | | 49,991 | |
SLM Student Loan Trust 2002-7 B, 28 day ARS | | | 4.53 | # | | | 12/15/2039 | | | | 80,000 | | | | 80,061 | | | | 79,945 | |
SLM Student Loan Trust 2003-2 A9, 28 day ARS | | | 1.38 | # | | | 9/15/2028 | | | | 100,000 | | | | 99,770 | | | | 98,977 | |
SLM Student Loan Trust 2003-4 B, 3M USD LIBOR + 0.650% | | | 2.24 | # | | | 6/15/2038 | | | | 69,444 | | | | 63,779 | | | | 66,593 | |
SLM Student Loan Trust 2005-4 B, 3M USD LIBOR + 0.180% | | | 1.55 | # | | | 7/25/2055 | | | | 114,263 | | | | 98,139 | | | | 106,543 | |
SLM Student Loan Trust 2005-6 B, 3M USD LIBOR + 0.290% | | | 1.66 | # | | | 1/25/2044 | | | | 74,891 | | | | 69,051 | | | | 70,601 | |
SLM Student Loan Trust 2006-4 B, 3M USD LIBOR + 0.200% | | | 1.57 | # | | | 1/25/2070 | | | | 61,610 | | | | 57,686 | | | | 57,760 | |
SLM Student Loan Trust 2006-5 B, 3M USD LIBOR + 0.210% | | | 1.58 | # | | | 10/25/2040 | | | | 122,348 | | | | 107,370 | | | | 115,357 | |
SMB Private Education Loan Trust 2017-A B^ | | | 3.62 | | | | 6/17/2041 | | | | 130,000 | | | | 126,046 | | | | 125,522 | |
SoFi Consumer Loan Program LLC 2016-1A A^ | | | 3.26 | | | | 8/25/2025 | | | | 57,012 | | | | 57,007 | | | | 57,345 | |
SoFi Consumer Loan Program LLC 2016-5 A^ | | | 3.06 | | | | 9/25/2028 | | | | 95,846 | | | | 95,546 | | | | 96,085 | |
SoFi Consumer Loan Program LLC 2017-2 A^ | | | 3.28 | | | | 2/25/2026 | | | | 67,067 | | | | 66,964 | | | | 67,689 | |
SoFi Consumer Loan Program Trust 2015-1 A^ | | | 3.28 | | | | 9/15/2023 | | | | 62,162 | | | | 62,194 | | | | 62,336 | |
SoFi Professional Loan Program LLC 2017-A C^ | | | 4.39 | #** | | | 3/26/2040 | | | | 100,000 | | | | 99,479 | | | | 100,866 | |
See accompanying Notes to the Financial Statements.
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Barings Total Return Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Asset-Backed Securities (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Other Asset-Backed Securities (Continued) | | | | | | | | | | | | | | | | | | | | |
SoFi Professional Loan Program LLC 2017-D BFX^ | | | 3.72 | % | | | 9/25/2040 | | | | 100,000 | | | | $99,948 | | | | $97,144 | |
South Carolina Student Loan Corp. 2014-1 B, 1M USD LIBOR + 1.500% | | | 2.94 | # | | | 8/1/2035 | | | | 100,000 | | | | 98,528 | | | | 97,367 | |
SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes 2016-T2 AT2^ | | | 2.75 | | | | 11/15/2049 | | | | 100,000 | | | | 99,986 | | | | 99,875 | |
Taco Bell Funding LLC 2016-1A A23^ | | | 4.76 | | | | 5/25/2046 | | | | 69,125 | | | | 69,742 | | | | 72,209 | |
Taco Bell Funding LLC 2016-1A A2I^ | | | 3.78 | | | | 5/25/2046 | | | | 79,000 | | | | 79,243 | | | | 80,107 | |
Textainer Marine Containers V Ltd. 2017-1A A+^ | | | 3.72 | | | | 5/20/2042 | | | | 93,875 | | | | 93,871 | | | | 94,702 | |
TRIP Rail Master Funding LLC 2011-1A A2^ | | | 6.02 | | | | 7/15/2041 | | | | 100,000 | | | | 107,995 | | | | 108,207 | |
TRIP Rail Master Funding LLC 2014-1A A2^ | | | 4.09 | | | | 4/15/2044 | | | | 100,000 | | | | 101,989 | | | | 100,990 | |
Triton Container Finance IV LLC 2017-2A A^ | | | 3.62 | | | | 8/20/2042 | | | | 135,826 | | | | 135,810 | | | | 135,970 | |
Triton Container Finance VI LLC 2017-1A A^ | | | 3.52 | | | | 6/20/2042 | | | | 95,233 | | | | 95,216 | | | | 93,857 | |
Wachovia Student Loan Trust 2005-1 B, 3M USD LIBOR + 0.300% | | | 1.67 | # | | | 10/25/2040 | | | | 76,765 | | | | 70,380 | | | | 71,088 | |
Welk Resorts LLC 2017-AA B^ | | | 3.41 | | | | 6/15/2033 | | | | 98,679 | | | | 98,725 | | | | 97,707 | |
Wendys Funding LLC 2015-1A A2I^ | | | 3.37 | | | | 6/15/2045 | | | | 127,075 | | | | 126,653 | | | | 127,416 | |
| | | | | | | | | | | | | | | | | | | | |
Total Other Asset-Backed Securities | | | | | | | | | | | 7,319,012 | | | | 7,174,279 | | | | 7,255,951 | |
| | | | | | | | | | | | | | | | | | | | |
Total Asset-Backed Securities | | | | | | | | | | | 8,819,012 | | | | 8,674,279 | | | | 8,763,422 | |
| | | | | | | | | | | | | | | | | | | | |
Corporate Bonds — 31.4%*: | |
|
Advertising — 0.1%*: | |
WPP Finance 2010+ | | | 4.90 | | | | 11/15/2043 | | | | 35,000 | | | | 38,126 | | | | 40,144 | |
| | | | | | | | | | | | | | | | | | | | |
|
Aerospace/Defense — 0.1%*: | |
Spirit AeroSystems, Inc. | | | 3.85 | | | | 6/15/2026 | | | | 5,000 | | | | 4,997 | | | | 5,077 | |
United Technologies Corp. | | | 5.70 | | | | 4/15/2040 | | | | 25,000 | | | | 31,288 | | | | 31,845 | |
| | | | | | | | | | | | | | | | | | | | |
Total Aerospace/Defense | | | | | | | | | | | 30,000 | | | | 36,285 | | | | 36,922 | |
| | | | | | | | | | | | | | | | | | | | |
|
Agriculture — 0.3%*: | |
Bunge Ltd. Finance Corp. | | | 3.25 | | | | 8/15/2026 | | | | 25,000 | | | | 24,980 | | | | 23,892 | |
Bunge Ltd. Finance Corp. | | | 3.50 | | | | 11/24/2020 | | | | 5,000 | | | | 4,997 | | | | 5,104 | |
Reynolds American, Inc. | | | 4.45 | | | | 6/12/2025 | | | | 30,000 | | | | 30,531 | | | | 31,988 | |
Reynolds American, Inc. | | | 5.85 | | | | 8/15/2045 | | | | 25,000 | | | | 30,302 | | | | 31,219 | |
| | | | | | | | | | | | | | | | | | | | |
Total Agriculture | | | | | | | | | | | 85,000 | | | | 90,810 | | | | 92,203 | |
| | | | | | | | | | | | | | | | | | | | |
|
Airlines — 0.2%*: | |
Delta Air Lines, Inc. | | | 3.63 | | | | 3/15/2022 | | | | 45,000 | | | | 44,995 | | | | 45,777 | |
WestJet Airlines Ltd.+^ | | | 3.50 | | | | 6/16/2021 | | | | 14,000 | | | | 13,986 | | | | 14,131 | |
| | | | | | | | | | | | | | | | | | | | |
Total Airlines | | | | | | | | | | | 59,000 | | | | 58,981 | | | | 59,908 | |
| | | | | | | | | | | | | | | | | | | | |
|
Auto Manufacturers — 0.6%*: | |
Ford Motor Co. | | | 7.45 | | | | 7/16/2031 | | | | 10,000 | | | | 12,456 | | | | 13,072 | |
General Motors Co. | | | 4.20 | | | | 10/1/2027 | | | | 30,000 | | | | 29,957 | | | | 31,086 | |
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Auto Manufacturers (Continued) | | | | | | | | | | | | | | | | | | | | |
General Motors Co. | | | 5.15 | % | | | 4/1/2038 | | | | 20,000 | | | | $19,988 | | | | $21,323 | |
General Motors Co. | | | 5.20 | | | | 4/1/2045 | | | | 35,000 | | | | 34,590 | | | | 36,982 | |
General Motors Financial Co., Inc. | | | 3.50 | | | | 11/7/2024 | | | | 50,000 | | | | 49,927 | | | | 49,898 | |
General Motors Financial Co., Inc. | | | 4.30 | | | | 7/13/2025 | | | | 50,000 | | | | 49,714 | | | | 52,105 | |
| | | | | | | | | | | | | | | | | | | | |
Total Auto Manufacturers | | | | | | | | | | | 195,000 | | | | 196,632 | | | | 204,466 | |
| | | | | | | | | | | | | | | | | | | | |
|
Beverages — 0.2%*: | |
Anheuser-Busch InBev Worldwide, Inc.+ | | | 8.20 | | | | 1/15/2039 | | | | 35,000 | | | | 51,697 | | | | 55,663 | |
Molson Coors Brewing Co. | | | 4.20 | | | | 7/15/2046 | | | | 10,000 | | | | 9,937 | | | | 10,190 | |
| | | | | | | | | | | | | | | | | | | | |
Total Beverages | | | | | | | | | | | 45,000 | | | | 61,634 | | | | 65,853 | |
| | | | | | | | | | | | | | | | | | | | |
|
Biotechnology — 0.4%*: | |
Amgen, Inc. | | | 5.15 | | | | 11/15/2041 | | | | 25,000 | | | | 26,024 | | | | 30,003 | |
Celgene Corp. | | | 3.45 | | | | 11/15/2027 | | | | 60,000 | | | | 59,910 | | | | 59,955 | |
Celgene Corp. | | | 4.63 | | | | 5/15/2044 | | | | 25,000 | | | | 26,880 | | | | 26,673 | |
| | | | | | | | | | | | | | | | | | | | |
Total Biotechnology | | | | | | | | | | | 110,000 | | | | 112,814 | | | | 116,631 | |
| | | | | | | | | | | | | | | | | | | | |
|
Chemicals — 0.6%*: | |
Incitec Pivot Finance LLC^+ | | | 6.00 | | | | 12/10/2019 | | | | 30,000 | | | | 31,966 | | | | 31,779 | |
LYB International Finance B.V. | | | 5.25 | | | | 7/15/2043 | | | | 35,000 | | | | 35,978 | | | | 40,706 | |
Monsanto Co. | | | 4.40 | | | | 7/15/2044 | | | | 15,000 | | | | 14,293 | | | | 15,983 | |
Mosaic Co. (The) | | | 3.25 | | | | 11/15/2022 | | | | 30,000 | | | | 29,997 | | | | 29,738 | |
Mosaic Co. (The) | | | 4.05 | | | | 11/15/2027 | | | | 30,000 | | | | 29,942 | | | | 30,079 | |
RPM International, Inc. | | | 3.75 | | | | 3/15/2027 | | | | 15,000 | | | | 14,980 | | | | 15,178 | |
Sherwin-Williams Co. (The) | | | 4.50 | | | | 6/1/2047 | | | | 15,000 | | | | 14,898 | | | | 16,400 | |
| | | | | | | | | | | | | | | | | | | | |
Total Chemicals | | | | | | | | | | | 170,000 | | | | 172,054 | | | | 179,863 | |
| | | | | | | | | | | | | | | | | | | | |
|
Commercial Banks — 3.0%*: | |
Associated Banc-Corp | | | 2.75 | | | | 11/15/2019 | | | | 45,000 | | | | 45,118 | | | | 45,153 | |
Associated Banc-Corp | | | 4.25 | | | | 1/15/2025 | | | | 70,000 | | | | 70,017 | | | | 72,076 | |
Bank of America Corp.^ | | | 3.00 | #** | | | 12/20/2023 | | | | 129,000 | | | | 129,064 | | | | 129,331 | |
Bank of America Corp. | | | 4.18 | | | | 11/25/2027 | | | | 65,000 | | | | 65,000 | | | | 67,877 | |
Bank of America Corp., 3M USD LIBOR + 1.814% | | | 4.24 | # | | | 4/24/2038 | | | | 40,000 | | | | 40,000 | | | | 43,381 | |
Bank of America Corp. MTN | | | 4.45 | | | | 3/3/2026 | | | | 25,000 | | | | 25,000 | | | | 26,685 | |
Bank of America Corp. MTN | | | 5.88 | | | | 2/7/2042 | | | | 25,000 | | | | 28,594 | | | | 33,104 | |
Bank of Montreal+ | | | 3.80 | #** | | | 12/15/2032 | | | | 40,000 | | | | 40,000 | | | | 39,545 | |
Bank of Nova Scotia (The)+ | | | 4.50 | | | | 12/16/2025 | | | | 30,000 | | | | 30,345 | | | | 31,559 | |
Bank of Nova Scotia (The)+ | | | 4.65 | #** | | | 10/12/2022 | | | | 80,000 | | | | 80,300 | | | | 79,524 | |
Citigroup, Inc. | | | 3.88 | | | | 3/26/2025 | | | | 60,000 | | | | 58,657 | | | | 61,419 | |
Citigroup, Inc. | | | 4.60 | | | | 3/9/2026 | | | | 45,000 | | | | 44,924 | | | | 47,890 | |
Fulton Financial Corp. | | | 3.60 | | | | 3/16/2022 | | | | 35,000 | | | | 34,885 | | | | 35,139 | |
Goldman Sachs Group, Inc. (The) | | | 5.15 | | | | 5/22/2045 | | | | 70,000 | | | | 67,806 | | | | 81,175 | |
Goldman Sachs Group, Inc. (The) | | | 5.95 | | | | 1/15/2027 | | | | 32,000 | | | | 35,460 | | | | 37,382 | |
JPMorgan Chase & Co. | | | 3.63 | | | | 12/1/2027 | | | | 30,000 | | | | 29,953 | | | | 30,323 | |
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Commercial Banks (Continued) | | | | | | | | | | | | | | | | | | | | |
JPMorgan Chase & Co. | | | 4.95 | % | | | 6/1/2045 | | | | 40,000 | | | | $39,320 | | | | $46,490 | |
SVB Financial Group | | | 3.50 | | | | 1/29/2025 | | | | 40,000 | | | | 39,239 | | | | 40,096 | |
| | | | | | | | | | | | | | | | | | | | |
Total Commercial Banks | | | | | | | | | | | 901,000 | | | | 903,682 | | | | 948,149 | |
| | | | | | | | | | | | | | | | | | | | |
|
Commercial Services — 0.3%*: | |
ERAC USA Finance LLC^ | | | 4.20 | | | | 11/1/2046 | | | | 70,000 | | | | 69,477 | | | | 68,558 | |
ERAC USA Finance LLC^ | | | 5.63 | | | | 3/15/2042 | | | | 20,000 | | | | 21,507 | | | | 23,616 | |
| | | | | | | | | | | | | | | | | | | | |
Total Commercial Services | | | | | | | | | | | 90,000 | | | | 90,984 | | | | 92,174 | |
| | | | | | | | | | | | | | | | | | | | |
|
Construction Materials — 0.4%*: | |
Owens Corning | | | 4.20 | | | | 12/1/2024 | | | | 50,000 | | | | 49,452 | | | | 52,384 | |
Standard Industries, Inc.^ | | | 5.00 | | | | 2/15/2027 | | | | 70,000 | | | | 70,000 | | | | 71,575 | |
| | | | | | | | | | | | | | | | | | | | |
Total Construction Materials | | | | | | | | | | | 120,000 | | | | 119,452 | | | | 123,959 | |
| | | | | | | | | | | | | | | | | | | | |
|
Distribution/Wholesale — 0.1%*: | |
Ingram Micro, Inc. | | | 5.45 | | | | 12/15/2024 | | | | 45,000 | | | | 46,069 | | | | 44,693 | |
| | | | | | | | | | | | | | | | | | | | |
|
Diversified Financial Services — 4.4%*: | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust+ | | | 3.50 | | | | 5/26/2022 | | | | 150,000 | | | | 149,864 | | | | 152,229 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust+ | | | 3.50 | | | | 1/15/2025 | | | | 160,000 | | | | 159,116 | | | | 158,599 | |
Affiliated Managers Group, Inc. | | | 4.25 | | | | 2/15/2024 | | | | 50,000 | | | | 51,163 | | | | 52,720 | |
Athene Global Funding^ | | | 4.00 | | | | 1/25/2022 | | | | 145,000 | | | | 144,963 | | | | 149,626 | |
Brookfield Finance LLC+ | | | 4.00 | | | | 4/1/2024 | | | | 70,000 | | | | 69,838 | | | | 72,466 | |
Brookfield Finance, Inc.+ | | | 4.25 | | | | 6/2/2026 | | | | 60,000 | | | | 59,497 | | | | 61,929 | |
Discover Financial Services, Inc. | | | 3.75 | | | | 3/4/2025 | | | | 30,000 | | | | 29,041 | | | | 30,198 | |
Discover Financial Services, Inc. | | | 4.10 | | | | 2/9/2027 | | | | 65,000 | | | | 65,435 | | | | 66,582 | |
Discover Financial Services, Inc. | | | 5.50 | #** | | | 10/30/2027 | | | | 160,000 | | | | 160,000 | | | | 164,800 | |
General Electric Co. MTN | | | 6.88 | | | | 1/10/2039 | | | | 35,000 | | | | 46,431 | | | | 50,435 | |
Genpact Luxembourg Sarl^ | | | 3.70 | | | | 4/1/2022 | | | | 65,000 | | | | 65,135 | | | | 64,615 | |
International Lease Finance Corp. | | | 6.25 | | | | 5/15/2019 | | | | 145,000 | | | | 151,847 | | | | 151,946 | |
Lazard Group LLC | | | 3.63 | | | | 3/1/2027 | | | | 30,000 | | | | 29,883 | | | | 29,938 | |
Lazard Group LLC | | | 4.25 | | | | 11/14/2020 | | | | 130,000 | | | | 134,016 | | | | 135,405 | |
Legg Mason, Inc. | | | 4.75 | | | | 3/15/2026 | | | | 5,000 | | | | 4,998 | | | | 5,357 | |
Legg Mason, Inc. | | | 5.63 | | | | 1/15/2044 | | | | 35,000 | | | | 36,291 | | | | 39,560 | |
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.^ | | | 4.50 | | | | 3/15/2027 | | | | 25,000 | | | | 24,814 | | | | 26,295 | |
| | | | | | | | | | | | | | | | | | | | |
Total Diversified Financial Services | | | | | | | | | | | 1,360,000 | | | | 1,382,332 | | | | 1,412,700 | |
| | | | | | | | | | | | | | | | | | | | |
|
Electric — 1.1%*: | |
Appalachian Power Co. | | | 6.70 | | | | 8/15/2037 | | | | 30,000 | | | | 37,283 | | | | 40,670 | |
Cleveland Electric Illuminating Co. (The)^ | | | 3.50 | | | | 4/1/2028 | | | | 25,000 | | | | 24,928 | | | | 25,027 | |
CMS Energy Corp. | | | 3.88 | | | | 3/1/2024 | | | | 50,000 | | | | 51,103 | | | | 52,307 | |
Duke Energy Corp. | | | 3.75 | | | | 9/1/2046 | | | | 40,000 | | | | 39,516 | | | | 39,556 | |
See accompanying Notes to the Financial Statements.
131
Barings Total Return Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Electric (Continued) | | | | | | | | | | | | | | | | | | | | |
Indianapolis Power & Light Co.^ | | | 4.05 | % | | | 5/1/2046 | | | | 45,000 | | | | $44,708 | | | | $46,805 | |
IPALCO Enterprises, Inc.^ | | | 3.70 | | | | 9/1/2024 | | | | 25,000 | | | | 24,976 | | | | 24,977 | |
Oncor Electric Delivery Co. LLC | | | 5.25 | | | | 9/30/2040 | | | | 40,000 | | | | 48,737 | | | | 49,874 | |
Puget Sound Energy, Inc. | | | 4.30 | | | | 5/20/2045 | | | | 30,000 | | | | 30,646 | | | | 33,920 | |
Southwestern Public Service Co. | | | 6.00 | | | | 10/1/2036 | | | | 30,000 | | | | 35,415 | | | | 37,831 | |
| | | | | | | | | | | | | | | | | | | | |
Total Electric | | | | | | | | | | | 315,000 | | | | 337,312 | | | | 350,967 | |
| | | | | | | | | | | | | | | | | | | | |
|
Electrical Components and Equipment — 0.1%*: | |
Legrand France SA+ | | | 8.50 | | | | 2/15/2025 | | | | 35,000 | | | | 45,012 | | | | 45,404 | |
| | | | | | | | | | | | | | | | | | | | |
|
Electronics — 0.2%*: | |
Arrow Electronics, Inc. | | | 3.25 | | | | 9/8/2024 | | | | 25,000 | | | | 24,853 | | | | 24,497 | |
Arrow Electronics, Inc. | | | 3.88 | | | | 1/12/2028 | | | | 25,000 | | | | 24,898 | | | | 24,925 | |
Avnet, Inc. | | | 3.75 | | | | 12/1/2021 | | | | 10,000 | | | | 9,982 | | | | 10,144 | |
Tech Data Corp. | | | 3.70 | | | | 2/15/2022 | | | | 20,000 | | | | 19,975 | | | | 20,062 | |
| | | | | | | | | | | | | | | | | | | | |
Total Electronics | | | | | | | | | | | 80,000 | | | | 79,708 | | | | 79,628 | |
| | | | | | | | | | | | | | | | | | | | |
|
Environmental Control — 0.2%*: | |
Waste Management, Inc. | | | 7.00 | | | | 7/15/2028 | | | | 50,000 | | | | 63,532 | | | | 65,752 | |
| | | | | | | | | | | | | | | | | | | | |
|
Food — 0.1%*: | |
Kraft Heinz Foods Co. | | | 3.00 | | | | 6/1/2026 | | | | 45,000 | | | | 43,990 | | | | 43,303 | |
| | | | | | | | | | | | | | | | | | | | |
|
Forestry and Paper Products — 0.2%*: | |
Domtar Corp. | | | 4.40 | | | | 4/1/2022 | | | | 50,000 | | | | 50,590 | | | | 52,602 | |
| | | | | | | | | | | | | | | | | | | | |
|
Gas — 0.3%*: | |
NiSource Finance Corp. | | | 4.80 | | | | 2/15/2044 | | | | 50,000 | | | | 55,926 | | | | 56,600 | |
Spire, Inc. | | | 4.70 | | | | 8/15/2044 | | | | 25,000 | | | | 25,252 | | | | 27,754 | |
| | | | | | | | | | | | | | | | | | | | |
Total Gas | | | | | | | | | | | 75,000 | | | | 81,178 | | | | 84,354 | |
| | | | | | | | | | | | | | | | | | | | |
|
Healthcare-Products — 0.5%*: | |
Abbott Laboratories | | | 3.75 | | | | 11/30/2026 | | | | 20,000 | | | | 19,865 | | | | 20,537 | |
Abbott Laboratories | | | 4.90 | | | | 11/30/2046 | | | | 15,000 | | | | 14,885 | | | | 17,198 | |
Becton Dickinson and Co. | | | 3.36 | | | | 6/6/2024 | | | | 40,000 | | | | 40,000 | | | | 40,112 | |
Becton Dickinson and Co. | | | 3.70 | | | | 6/6/2027 | | | | 40,000 | | | | 40,000 | | | | 40,308 | |
Becton Dickinson and Co. | | | 4.69 | | | | 12/15/2044 | | | | 25,000 | | | | 25,939 | | | | 27,337 | |
| | | | | | | | | | | | | | | | | | | | |
Total Healthcare-Products | | | | | | | | | | | 140,000 | | | | 140,689 | | | | 145,492 | |
| | | | | | | | | | | | | | | | | | | | |
|
Healthcare-Services — 0.3%*: | |
Humana, Inc. | | | 3.95 | | | | 3/15/2027 | | | | 40,000 | | | | 39,954 | | | | 41,415 | |
Humana, Inc. | | | 4.80 | | | | 3/15/2047 | | | | 20,000 | | | | 19,981 | | | | 22,551 | |
UnitedHealth Group, Inc. | | | 6.88 | | | | 2/15/2038 | | | | 25,000 | | | | 34,252 | | | | 36,261 | |
| | | | | | | | | | | | | | | | | | | | |
Total Healthcare-Services | | | | | | | | | | | 85,000 | | | | 94,187 | | | | 100,227 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
132
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SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | | | | | | | | | | | | | | | | | | | | |
|
Household Products/Wares — 0.0%*: | |
Church & Dwight Co., Inc. | | | 3.15 | % | | | 8/1/2027 | | | | 15,000 | | | | $14,985 | | | | $14,778 | |
| | | | | | | | | | | | | | | | | | | | |
|
Housewares — 0.1%*: | |
Toro Co. (The) | | | 7.80 | | | | 6/15/2027 | | | | 25,000 | | | | 31,269 | | | | 31,605 | |
| | | | | | | | | | | | | | | | | | | | |
|
Insurance — 2.4%*: | |
Allstate Corp. (The), 3M USD LIBOR + 2.938% | | | 5.75 | # | | | 8/15/2053 | | | | 110,000 | | | | 116,459 | | | | 120,010 | |
American International Group, Inc. | | | 3.90 | | | | 4/1/2026 | | | | 20,000 | | | | 19,991 | | | | 20,740 | |
American International Group, Inc. | | | 4.50 | | | | 7/16/2044 | | | | 25,000 | | | | 25,672 | | | | 26,928 | |
AmTrust Financial Services, Inc. | | | 6.13 | | | | 8/15/2023 | | | | 75,000 | | | | 74,558 | | | | 73,078 | |
Arch Capital Group US, Inc. | | | 5.14 | | | | 11/1/2043 | | | | 25,000 | | | | 25,303 | | | | 29,161 | |
AXIS Specialty Finance PLC | | | 4.00 | | | | 12/6/2027 | | | | 40,000 | | | | 39,913 | | | | 40,180 | |
Brown & Brown, Inc. | | | 4.20 | | | | 9/15/2024 | | | | 58,000 | | | | 58,319 | | | | 60,799 | |
CNA Financial Corp. | | | 3.45 | | | | 8/15/2027 | | | | 25,000 | | | | 24,945 | | | | 24,637 | |
Enstar Group Ltd.+ | | | 4.50 | | | | 3/10/2022 | | | | 20,000 | | | | 20,000 | | | | 20,369 | |
Marsh & McLennan Cos., Inc. | | | 5.88 | | | | 8/1/2033 | | | | 20,000 | | | | 22,966 | | | | 25,268 | |
Reinsurance Group of America, Inc. | | | 3.95 | | | | 9/15/2026 | | | | 40,000 | | | | 39,998 | | | | 40,881 | |
Trinity Acquisition PLC | | | 4.40 | | | | 3/15/2026 | | | | 55,000 | | | | 56,502 | | | | 58,167 | |
Unum Group | | | 3.88 | | | | 11/5/2025 | | | | 25,000 | | | | 24,998 | | | | 25,600 | |
Unum Group | | | 4.00 | | | | 3/15/2024 | | | | 30,000 | | | | 30,689 | | | | 31,240 | |
Willis North America, Inc. | | | 7.00 | | | | 9/29/2019 | | | | 50,000 | | | | 53,056 | | | | 53,623 | |
XLIT Ltd. | | | 4.45 | | | | 3/31/2025 | | | | 85,000 | | | | 87,998 | | | | 86,938 | |
XLIT Ltd. | | | 5.50 | | | | 3/31/2045 | | | | 30,000 | | | | 28,792 | | | | 31,875 | |
| | | | | | | | | | | | | | | | | | | | |
Total Insurance | | | | | | | | | | | 733,000 | | | | 750,159 | | | | 769,494 | |
| | | | | | | | | | | | | | | | | | | | |
|
Internet — 0.4%*: | |
Amazon.com, Inc.^ | | | 4.05 | | | | 8/22/2047 | | | | 45,000 | | | | 44,669 | | | | 48,497 | |
Expedia, Inc. | | | 5.00 | | | | 2/15/2026 | | | | 40,000 | | | | 39,845 | | | | 42,761 | |
Expedia, Inc. | | | 7.46 | | | | 8/15/2018 | | | | 45,000 | | | | 46,379 | | | | 46,412 | |
| | | | | | | | | | | | | | | | | | | | |
Total Internet | | | | | | | | | | | 130,000 | | | | 130,893 | | | | 137,670 | |
| | | | | | | | | | | | | | | | | | | | |
|
Investment Company Security — 0.7%*: | |
Ares Capital Corp. | | | 3.50 | | | | 2/10/2023 | | | | 75,000 | | | | 74,945 | | | | 73,888 | |
Ares Capital Corp. | | | 3.88 | | | | 1/15/2020 | | | | 30,000 | | | | 30,350 | | | | 30,530 | |
FS Investment Corp. | | | 4.00 | | | | 7/15/2019 | | | | 30,000 | | | | 30,245 | | | | 30,356 | |
TCP Capital Corp. | | | 4.13 | | | | 8/11/2022 | | | | 75,000 | | | | 74,728 | | | | 73,819 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investment Company Security | | | | | | | | | | | 210,000 | | | | 210,268 | | | | 208,593 | |
| | | | | | | | | | | | | | | | | | | | |
|
Iron/Steel — 0.5%*: | |
Vale Overseas Ltd.+ | | | 5.88 | | | | 6/10/2021 | | | | 125,000 | | | | 136,014 | | | | 136,426 | |
Vale Overseas Ltd.+ | | | 6.88 | | | | 11/21/2036 | | | | 15,000 | | | | 14,988 | | | | 18,375 | |
| | | | | | | | | | | | | | | | | | | | |
Total Iron/Steel | | | | | | | | | | | 140,000 | | | | 151,002 | | | | 154,801 | |
| | | | | | | | | | | | | | | | | | | | |
|
IT Services — 0.4%*: | |
DXC Technology Co. | | | 2.88 | | | | 3/27/2020 | | | | 15,000 | | | | 14,965 | | | | 15,073 | |
See accompanying Notes to the Financial Statements.
133
Barings Total Return Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
IT Services (Continued) | | | | | | | | | | | | | | | | | | | | |
DXC Technology Co. | | | 4.75 | % | | | 4/15/2027 | | | | 40,000 | | | | $39,960 | | | | $42,536 | |
Leidos Holdings, Inc. | | | 4.45 | | | | 12/1/2020 | | | | 75,000 | | | | 76,282 | | | | 77,813 | |
| | | | | | | | | | | | | | | | | | | | |
Total IT Services | | | | | | | | | | | 130,000 | | | | 131,207 | | | | 135,422 | |
| | | | | | | | | | | | | | | | | | | | |
|
Media — 0.8%*: | |
Charter Communications Operating LLC/Charter Communications Operating Capital | | | 4.46 | | | | 7/23/2022 | | | | 37,000 | | | | 38,678 | | | | 38,604 | |
Charter Communications Operating LLC/Charter Communications Operating Capital | | | 5.38 | | | | 5/1/2047 | | | | 50,000 | | | | 50,291 | | | | 51,268 | |
Comcast Corp. | | | 3.40 | | | | 7/15/2046 | | | | 20,000 | | | | 19,830 | | | | 18,923 | |
Discovery Communications LLC | | | 4.88 | | | | 4/1/2043 | | | | 25,000 | | | | 22,809 | | | | 24,827 | |
Discovery Communications LLC | | | 5.00 | | | | 9/20/2037 | | | | 25,000 | | | | 24,975 | | | | 25,902 | |
Time Warner Cable LLC | | | 4.50 | | | | 9/15/2042 | | | | 60,000 | | | | 49,517 | | | | 56,293 | |
Time Warner Cable LLC | | | 5.50 | | | | 9/1/2041 | | | | 35,000 | | | | 32,697 | | | | 36,480 | |
Viacom, Inc. | | | 4.25 | | | | 9/1/2023 | | | | 16,000 | | | | 16,279 | | | | 16,336 | |
| | | | | | | | | | | | | | | | | | | | |
Total Media | | | | | | | | | | | 268,000 | | | | 255,076 | | | | 268,633 | |
| | | | | | | | | | | | | | | | | | | | |
|
Mining — 0.4%*: | |
Glencore Funding LLC^+ | | | 3.00 | | | | 10/27/2022 | | | | 20,000 | | | | 19,918 | | | | 19,805 | |
Glencore Funding LLC^+ | | | 3.88 | | | | 10/27/2027 | | | | 25,000 | | | | 24,790 | | | | 24,669 | |
Glencore Funding LLC+^ | | | 4.00 | | | | 4/16/2025 | | | | 50,000 | | | | 49,939 | | | | 50,502 | |
Glencore Funding LLC+^ | | | 4.63 | | | | 4/29/2024 | | | | 25,000 | | | | 26,040 | | | | 26,395 | |
| | | | | | | | | | | | | | | | | | | | |
Total Mining | | | | | | | | | | | 120,000 | | | | 120,687 | | | | 121,371 | |
| | | | | | | | | | | | | | | | | | | | |
|
Miscellaneous Manufacturing — 0.2%*: | |
Textron, Inc. | | | 4.30 | | | | 3/1/2024 | | | | 50,000 | | | | 51,086 | | | | 52,875 | |
| | | | | | | | | | | | | | | | | | | | |
|
Office/Business Equip — 0.4%*: | |
Pitney Bowes, Inc. | | | 3.63 | | | | 9/15/2020 | | | | 20,000 | | | | 19,957 | | | | 19,800 | |
Pitney Bowes, Inc. | | | 3.63 | | | | 10/1/2021 | | | | 115,000 | | | | 114,758 | | | | 106,950 | |
| | | | | | | | | | | | | | | | | | | | |
Total Office/Business Equip | | | | | | | | | | | 135,000 | | | | 134,715 | | | | 126,750 | |
| | | | | | | | | | | | | | | | | | | | |
|
Oil and Gas — 2.3%*: | |
Anadarko Petroleum Corp. | | | 5.55 | | | | 3/15/2026 | | | | 20,000 | | | | 19,947 | | | | 22,440 | |
Anadarko Petroleum Corp. | | | 6.45 | | | | 9/15/2036 | | | | 50,000 | | | | 58,532 | | | | 61,241 | |
Andeavor | | | 3.80 | | | | 4/1/2028 | | | | 20,000 | | | | 19,971 | | | | 20,048 | |
Andeavor | | | 4.50 | | | | 4/1/2048 | | | | 15,000 | | | | 14,786 | | | | 15,170 | |
Cenovus Energy, Inc.+ | | | 3.00 | | | | 8/15/2022 | | | | 30,000 | | | | 29,690 | | | | 29,813 | |
Cenovus Energy, Inc.+ | | | 4.25 | | | | 4/15/2027 | | | | 50,000 | | | | 49,837 | | | | 49,879 | |
Encana Corp.+ | | | 6.50 | | | | 2/1/2038 | | | | 40,000 | | | | 46,409 | | | | 50,478 | |
EQT Corp. | | | 3.90 | | | | 10/1/2027 | | | | 90,000 | | | | 89,790 | | | | 89,472 | |
Helmerich & Payne International Drilling Co. | | | 4.65 | | | | 3/15/2025 | | | | 25,000 | | | | 26,469 | | | | 26,316 | |
Marathon Petroleum Corp. | | | 6.50 | | | | 3/1/2041 | | | | 30,000 | | | | 33,245 | | | | 37,600 | |
Nabors Industries, Inc. | | | 5.50 | | | | 1/15/2023 | | | | 35,000 | | | | 35,942 | | | | 33,950 | |
Newfield Exploration Co. | | | 5.38 | | | | 1/1/2026 | | | | 140,000 | | | | 139,881 | | | | 148,050 | |
See accompanying Notes to the Financial Statements.
134
Barings Total Return Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Oil and Gas (Continued) | | | | | | | | | | | | | | | | | | | | |
PBF Holding Co. LLC/PBF Finance Corp. | | | 7.00 | % | | | 11/15/2023 | | | | 25,000 | | | | $25,531 | | | | $26,000 | |
Petroleos Mexicanos+ | | | 3.50 | | | | 1/30/2023 | | | | 20,000 | | | | 19,563 | | | | 19,580 | |
Petroleos Mexicanos+ | | | 4.63 | | | | 9/21/2023 | | | | 10,000 | | | | 10,245 | | | | 10,287 | |
Petroleos Mexicanos+ | | | 5.50 | | | | 1/21/2021 | | | | 55,000 | | | | 57,943 | | | | 58,355 | |
Petroleos Mexicanos+^ | | | 6.50 | | | | 3/13/2027 | | | | 15,000 | | | | 14,874 | | | | 16,395 | |
Rowan Cos., Inc. | | | 4.88 | | | | 6/1/2022 | | | | 8,000 | | | | 7,988 | | | | 7,540 | |
| | | | | | | | | | | | | | | | | | | | |
Total Oil and Gas | | | | | | | | | | | 678,000 | | | | 700,643 | | | | 722,614 | |
| | | | | | | | | | | | | | | | | | | | |
|
Oil and Gas Services — 0.4%*: | |
National Oilwell Varco, Inc. | | | 3.95 | | | | 12/1/2042 | | | | 37,000 | | | | 30,512 | | | | 32,634 | |
SESI LLC | | | 7.13 | | | | 12/15/2021 | | | | 32,000 | | | | 33,267 | | | | 32,800 | |
Weatherford International Ltd. | | | 5.95 | | | | 4/15/2042 | | | | 30,000 | | | | 25,222 | | | | 23,400 | |
Weatherford International Ltd. | | | 6.00 | | | | 3/15/2018 | | | | 50,000 | | | | 50,233 | | | | 50,060 | |
| | | | | | | | | | | | | | | | | | | | |
Total Oil and Gas Services | | | | | | | | | | | 149,000 | | | | 139,234 | | | | 138,894 | |
| | | | | | | | | | | | | | | | | | | | |
|
Packaging and Containers — 0.2%*: | |
Brambles USA, Inc.+^ | | | 4.13 | | | | 10/23/2025 | | | | 10,000 | | | | 9,980 | | | | 10,371 | |
Brambles USA, Inc.+^ | | | 5.35 | | | | 4/1/2020 | | | | 50,000 | | | | 52,604 | | | | 52,612 | |
| | | | | | | | | | | | | | | | | | | | |
Total Packaging and Containers | | | | | | | | | | | 60,000 | | | | 62,584 | | | | 62,983 | |
| | | | | | | | | | | | | | | | | | | | |
|
Pharmaceuticals — 1.6%*: | |
AbbVie, Inc. | | | 4.70 | | | | 5/14/2045 | | | | 30,000 | | | | 29,333 | | | | 33,638 | |
Allergan, Inc. | | | 2.80 | | | | 3/15/2023 | | | | 50,000 | | | | 47,253 | | | | 49,459 | |
AstraZeneca PLC+ | | | 6.45 | | | | 9/15/2037 | | | | 35,000 | | | | 44,482 | | | | 47,556 | |
Express Scripts Holding Co. | | | 4.50 | | | | 2/25/2026 | | | | 30,000 | | | | 30,888 | | | | 31,836 | |
Express Scripts Holding Co. | | | 4.80 | | | | 7/15/2046 | | | | 30,000 | | | | 30,186 | | | | 31,914 | |
McKesson Corp. | | | 6.00 | | | | 3/1/2041 | | | | 50,000 | | | | 55,717 | | | | 61,077 | |
Mylan NV | | | 5.25 | | | | 6/15/2046 | | | | 40,000 | | | | 39,994 | | | | 43,829 | |
Mylan, Inc. | | | 2.55 | | | | 3/28/2019 | | | | 60,000 | | | | 59,861 | | | | 60,001 | |
Shire Acquisitions Investments Ireland DAC | | | 2.88 | | | | 9/23/2023 | | | | 60,000 | | | | 59,993 | | | | 58,985 | |
Teva Pharmaceutical Finance Netherlands III B.V.+ | | | 1.70 | | | | 7/19/2019 | | | | 25,000 | | | | 24,515 | | | | 24,289 | |
Teva Pharmaceutical Finance Netherlands III B.V.+ | | | 2.20 | | | | 7/21/2021 | | | | 74,000 | | | | 70,428 | | | | 67,597 | |
Teva Pharmaceutical Finance Netherlands III B.V.+ | | | 4.10 | | | | 10/1/2046 | | | | 10,000 | | | | 9,919 | | | | 7,615 | |
| | | | | | | | | | | | | | | | | | | | |
Total Pharmaceuticals | | | | | | | | | | | 494,000 | | | | 502,569 | | | | 517,796 | |
| | | | | | | | | | | | | | | | | | | | |
|
Pipelines — 2.9%*: | |
Andeavor Logistics LP | | | 6.88 | #** | | | 2/15/2023 | | | | 40,000 | | | | 40,000 | | | | 40,608 | |
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | | | 3.50 | | | | 12/1/2022 | | | | 10,000 | | | | 9,970 | | | | 9,981 | |
Energy Transfer LP | | | 4.20 | | | | 4/15/2027 | | | | 25,000 | | | | 24,951 | | | | 24,870 | |
Energy Transfer LP | | | 4.75 | | | | 1/15/2026 | | | | 30,000 | | | | 29,844 | | | | 31,124 | |
Energy Transfer LP | | | 6.13 | | | | 12/15/2045 | | | | 25,000 | | | | 27,432 | | | | 27,148 | |
Energy Transfer Partners LP | | | 6.25 | #** | | | 2/15/2023 | | | | 60,000 | | | | 60,000 | | | | 58,275 | |
EnLink Midstream Partners LP | | | 2.70 | | | | 4/1/2019 | | | | 30,000 | | | | 30,025 | | | | 29,973 | |
EnLink Midstream Partners LP | | | 4.15 | | | | 6/1/2025 | | | | 25,000 | | | | 25,099 | | | | 25,261 | |
See accompanying Notes to the Financial Statements.
135
Barings Total Return Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Pipelines (Continued) | | | | | | | | | | | | | | | | | | | | |
EnLink Midstream Partners LP | | | 4.85 | % | | | 7/15/2026 | | | | 19,000 | | | | $19,403 | | | | $19,910 | |
Enterprise Products Operating LLC | | | 5.95 | | | | 2/1/2041 | | | | 25,000 | | | | 26,671 | | | | 30,856 | |
Kinder Morgan Energy Partners LP MTN | | | 6.95 | | | | 1/15/2038 | | | | 30,000 | | | | 31,968 | | | | 37,300 | |
Kinder Morgan, Inc. | | | 3.05 | | | | 12/1/2019 | | | | 35,000 | | | | 35,061 | | | | 35,307 | |
Kinder Morgan, Inc.^ | | | 5.63 | | | | 11/15/2023 | | | | 50,000 | | | | 55,100 | | | | 55,205 | |
MPLX LP | | | 4.00 | | | | 2/15/2025 | | | | 77,000 | | | | 75,715 | | | | 78,573 | |
MPLX LP | | | 4.88 | | | | 6/1/2025 | | | | 23,000 | | | | 23,839 | | | | 24,650 | |
MPLX LP | | | 5.20 | | | | 3/1/2047 | | | | 5,000 | | | | 4,966 | | | | 5,487 | |
MPLX LP | | | 5.50 | | | | 2/15/2023 | | | | 20,000 | | | | 20,766 | | | | 20,582 | |
Phillips 66 Partners LP | | | 3.75 | | | | 3/1/2028 | | | | 20,000 | | | | 19,925 | | | | 20,009 | |
Phillips 66 Partners LP | | | 4.68 | | | | 2/15/2045 | | | | 2,000 | | | | 2,000 | | | | 2,054 | |
Phillips 66 Partners LP | | | 4.90 | | | | 10/1/2046 | | | | 15,000 | | | | 14,897 | | | | 15,869 | |
Plains All American Pipeline LP/PAA Finance Corp. | | | 4.50 | | | | 12/15/2026 | | | | 80,000 | | | | 80,015 | | | | 81,096 | |
Plains All American Pipeline LP/PAA Finance Corp. | | | 4.70 | | | | 6/15/2044 | | | | 40,000 | | | | 36,188 | | | | 37,394 | |
Sabine Pass Liquefaction LLC | | | 4.20 | | | | 3/15/2028 | | | | 75,000 | | | | 74,932 | | | | 75,884 | |
Sabine Pass Liquefaction LLC | | | 5.63 | | | | 3/1/2025 | | | | 25,000 | | | | 27,475 | | | | 27,575 | |
Sunoco Logistics Partners Operations LP | | | 4.00 | | | | 10/1/2027 | | | | 20,000 | | | | 19,847 | | | | 19,611 | |
Sunoco Logistics Partners Operations LP | | | 5.30 | | | | 4/1/2044 | | | | 25,000 | | | | 24,667 | | | | 24,672 | |
Western Gas Partners LP | | | 4.00 | | | | 7/1/2022 | | | | 75,000 | | | | 76,928 | | | | 76,513 | |
| | | | | | | | | | | | | | | | | | | | |
Total Pipelines | | | | | | | | | | | 906,000 | | | | 917,684 | | | | 935,787 | |
| | | | | | | | | | | | | | | | | | | | |
|
Real Estate Investment Trusts — 1.1%*: | |
Crown Castle International Corp. | | | 3.20 | | | | 9/1/2024 | | | | 40,000 | | | | 39,894 | | | | 39,585 | |
Crown Castle International Corp. | | | 4.00 | | | | 3/1/2027 | | | | 20,000 | | | | 19,922 | | | | 20,448 | |
Crown Castle International Corp. | | | 4.75 | | | | 5/15/2047 | | | | 10,000 | | | | 9,921 | | | | 10,527 | |
CubeSmart LP | | | 3.13 | | | | 9/1/2026 | | | | 45,000 | | | | 44,803 | | | | 42,899 | |
Healthcare Trust of America Holdings LP | | | 3.75 | | | | 7/1/2027 | | | | 35,000 | | | | 34,830 | | | | 34,858 | |
Host Hotels & Resorts LP | | | 3.88 | | | | 4/1/2024 | | | | 40,000 | | | | 39,847 | | | | 40,696 | |
Host Hotels & Resorts LP | | | 4.75 | | | | 3/1/2023 | | | | 50,000 | | | | 51,806 | | | | 53,189 | |
Kimco Realty Corp. | | | 3.30 | | | | 2/1/2025 | | | | 25,000 | | | | 24,963 | | | | 24,805 | |
Mid-America Apartments LP | | | 3.60 | | | | 6/1/2027 | | | | 25,000 | | | | 24,901 | | | | 25,043 | |
UDR, Inc. MTN | | | 3.50 | | | | 7/1/2027 | | | | 35,000 | | | | 34,921 | | | | 34,992 | |
Weingarten Realty Investors | | | 3.25 | | | | 8/15/2026 | | | | 10,000 | | | | 9,926 | | | | 9,598 | |
| | | | | | | | | | | | | | | | | | | | |
Total REITS | | | | | | | | | | | 335,000 | | | | 335,734 | | | | 336,640 | |
| | | | | | | | | | | | | | | | | | | | |
|
Retail — 0.9%*: | |
CVS Pass-Through Trust^ | | | 5.93 | | | | 1/10/2034 | | | | 29,509 | | | | 33,559 | | | | 33,638 | |
El Puerto de Liverpool SAB de CV+^ | | | 3.95 | | | | 10/2/2024 | | | | 200,000 | | | | 199,233 | | | | 201,000 | |
Wal-Mart Stores, Inc. | | | 5.63 | | | | 4/1/2040 | | | | 30,000 | | | | 35,462 | | | | 40,531 | |
| | | | | | | | | | | | | | | | | | | | |
Total Retail | | | | | | | | | | | 259,509 | | | | 268,254 | | | | 275,169 | |
| | | | | | | | | | | | | | | | | | | | |
|
Semiconductors — 0.1%*: | |
QUALCOMM, Inc. | | | 4.30 | | | | 5/20/2047 | | | | 35,000 | | | | 34,995 | | | | 35,259 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
136
Barings Total Return Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | | | | | | | | | | | | | | | | | | | | |
|
Software — 0.1%*: | |
Oracle Corp. | | | 5.38 | % | | | 7/15/2040 | | | | 35,000 | | | | $38,907 | | | | $44,252 | |
| | | | | | | | | | | | | | | | | | | | |
|
Telecommunications — 1.3%*: | |
AT&T, Inc. | | | 3.40 | | | | 8/14/2024 | | | | 50,000 | | | | 49,920 | | | | 50,257 | |
AT&T, Inc. | | | 3.80 | | | | 3/1/2024 | | | | 40,000 | | | | 39,977 | | | | 40,964 | |
AT&T, Inc. | | | 3.90 | | | | 8/14/2027 | | | | 45,000 | | | | 44,925 | | | | 45,301 | |
AT&T, Inc. | | | 4.75 | | | | 5/15/2046 | | | | 45,000 | | | | 42,280 | | | | 44,012 | |
AT&T, Inc. | | | 4.90 | | | | 8/14/2037 | | | | 25,000 | | | | 25,159 | | | | 25,315 | |
AT&T, Inc. | | | 5.25 | | | | 3/1/2037 | | | | 30,000 | | | | 29,862 | | | | 31,729 | |
Telefonaktiebolaget LM Ericsson+ | | | 4.13 | | | | 5/15/2022 | | | | 55,000 | | | | 56,590 | | | | 55,386 | |
Verizon Communications, Inc. | | | 4.13 | | | | 3/16/2027 | | | | 30,000 | | | | 30,679 | | | | 31,281 | |
Verizon Communications, Inc. | | | 4.86 | | | | 8/21/2046 | | | | 25,000 | | | | 25,430 | | | | 26,041 | |
Verizon Communications, Inc. | | | 6.55 | | | | 9/15/2043 | | | | 56,000 | | | | 69,713 | | | | 73,103 | |
| | | | | | | | | | | | | | | | | | | | |
Total Telecommunications | | | | | | | | | | | 401,000 | | | | 414,535 | | | | 423,389 | |
| | | | | | | | | | | | | | | | | | | | |
|
Venture Capital — 0.5%*: | |
Hercules Capital, Inc. | | | 4.63 | | | | 10/23/2022 | | | | 150,000 | | | | 149,202 | | | | 152,492 | |
| | | | | | | | | | | | | | | | | | | | |
Total Corporate Bonds | | | | | | | | | | | 9,578,509 | | | | 9,791,741 | | | | 10,052,661 | |
| | | | | | | | | | | | | | | | | | | | |
Foreign Government — 0.8%*: | |
|
Colombia — 0.4%*: | |
Colombia Government International Bond+ | | | 6.13 | % | | | 1/18/2041 | | | | 100,000 | | | | $115,476 | | | | $120,500 | |
| | | | | | | | | | | | | | | | | | | | |
|
Mexico — 0.4%*: | |
Mexico Government International Bond+ | | | 4.75 | | | | 3/8/2044 | | | | 68,000 | | | | 69,476 | | | | 68,425 | |
Mexico Government International Bond+ | | | 5.55 | | | | 1/21/2045 | | | | 60,000 | | | | 64,584 | | | | 67,575 | |
| | | | | | | | | | | | | | | | | | | | |
Total Mexico | | | | | | | | | | | 128,000 | | | | 134,060 | | | | 136,000 | |
| | | | | | | | | | | | | | | | | | | | |
Total Foreign Government | | | | | | | | | | | 228,000 | | | | 249,536 | | | | 256,500 | |
| | | | | | | | | | | | | | | | | | | | |
Mortgage-Backed Securities — 0.6%*: | |
GS Mortgage Securities Trust 2015-GC32 B | | | 4.40 | #@ | | | 7/10/2048 | | | | 100,000 | | | | 102,814 | | | | 104,352 | |
JPMorgan Mortgage Trust 2017-1 A11^ | | | 3.50 | #@ | | | 1/25/2047 | | | | 92,726 | | | | 92,299 | | | | 93,279 | |
| | | | | | | | | | | | | | | | | | | | |
Total Mortgage-Backed Securities | | | | | | | | | | | 192,726 | | | | 195,113 | | | | 197,631 | |
| | | | | | | | | | | | | | | | | | | | |
U.S. Treasury & Government Agencies — 28.2%*: | |
Federal Home Loan Mortgage Corp. | | | 3.50 | | | | 7/1/2046 | | | | 52,031 | | | | 54,984 | | | | 53,744 | |
Federal Home Loan Mortgage Corp. | | | 3.50 | | | | 11/1/2046 | | | | 71,648 | | | | 75,644 | | | | 73,937 | |
Federal Home Loan Mortgage Corp. | | | 3.50 | | | | 11/1/2047 | | | | 99,573 | | | | 102,585 | | | | 102,410 | |
Federal Home Loan Mortgage Corp. | | | 3.50 | | | | 12/1/2047 | | | | 799,087 | | | | 821,121 | | | | 821,852 | |
Federal Home Loan Mortgage Corp. | | | 4.00 | | | | 4/1/2047 | | | | 72,001 | | | | 76,672 | | | | 76,094 | |
Federal Home Loan Mortgage Corp. | | | 4.00 | | | | 12/1/2047 | | | | 839,669 | | | | 882,480 | | | | 878,150 | |
Federal Home Loan Mortgage Corp. | | | 4.50 | | | | 8/1/2040 | | | | 15,431 | | | | 16,921 | | | | 16,639 | |
Federal Home Loan Mortgage Corp. | | | 4.50 | | | | 10/1/2040 | | | | 22,332 | | | | 24,369 | | | | 24,032 | |
Federal Home Loan Mortgage Corp. | | | 4.50 | | | | 10/1/2041 | | | | 26,568 | | | | 28,989 | | | | 28,589 | |
Federal Home Loan Mortgage Corp. | | | 4.50 | | | | 9/1/2043 | | | | 17,959 | | | | 19,658 | | | | 19,367 | |
Federal Home Loan Mortgage Corp. | | | 4.50 | | | | 5/1/2047 | | | | 23,894 | | | | 25,726 | | | | 25,400 | |
See accompanying Notes to the Financial Statements.
137
Barings Total Return Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
U.S. Treasury & Government Agencies (Continued) | | | | | | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp. | | | 4.50 | % | | | 6/1/2047 | | | | 285,400 | | | | $307,358 | | | | $303,363 | |
Federal Home Loan Mortgage Corp. TBA | | | 3.50 | | | | 1/1/2048 | | | | 100,000 | | | | 102,680 | | | | 102,693 | |
Federal National Mortgage Association | | | 3.50 | | | | 12/1/2028 | | | | 46,798 | | | | 49,546 | | | | 48,455 | |
Federal National Mortgage Association | | | 3.50 | | | | 9/1/2047 | | | | 297,863 | | | | 306,520 | | | | 306,009 | |
Federal National Mortgage Association | | | 3.50 | | | | 11/1/2047 | | | | 274,436 | | | | 283,204 | | | | 281,942 | |
Federal National Mortgage Association | | | 3.50 | | | | 12/1/2047 | | | | 49,841 | | | | 51,305 | | | | 51,204 | |
Federal National Mortgage Association | | | 4.00 | | | | 8/1/2047 | | | | 147,022 | | | | 154,892 | | | | 153,892 | |
Federal National Mortgage Association | | | 4.00 | | | | 10/1/2047 | | | | 124,600 | | | | 131,449 | | | | 130,428 | |
Federal National Mortgage Association | | | 4.00 | | | | 5/1/2056 | | | | 176,497 | | | | 184,900 | | | | 185,545 | |
Federal National Mortgage Association | | | 4.00 | | | | 6/1/2056 | | | | 156,480 | | | | 165,897 | | | | 164,483 | |
Federal National Mortgage Association | | | 4.50 | | | | 3/1/2041 | | | | 17,300 | | | | 18,982 | | | | 18,672 | |
Federal National Mortgage Association | | | 4.50 | | | | 8/1/2047 | | | | 122,945 | | | | 132,590 | | | | 130,961 | |
Federal National Mortgage Association | | | 5.00 | | | | 6/1/2040 | | | | 11,114 | | | | 12,342 | | | | 12,136 | |
Federal National Mortgage Association | | | 5.00 | | | | 7/1/2040 | | | | 81,968 | | | | 90,638 | | | | 88,474 | |
Federal National Mortgage Association | | | 5.00 | | | | 2/1/2044 | | | | 32,402 | | | | 35,936 | | | | 35,035 | |
Federal National Mortgage Association TBA | | | 3.50 | | | | 1/1/2048 | | | | 700,000 | | | | 718,141 | | | | 718,703 | |
Federal National Mortgage Association TBA | | | 4.00 | | | | 1/1/2048 | | | | 135,000 | | | | 141,328 | | | | 141,175 | |
Government National Mortgage Association | | | 3.50 | | | | 9/20/2047 | | | | 74,657 | | | | 77,641 | | | | 77,256 | |
Government National Mortgage Association | | | 3.50 | | | | 10/20/2047 | | | | 422,944 | | | | 440,885 | | | | 437,658 | |
Government National Mortgage Association | | | 3.50 | | | | 11/20/2047 | | | | 99,840 | | | | 103,831 | | | | 103,544 | |
Government National Mortgage Association | | | 3.50 | | | | 12/15/2047 | | | | 25,000 | | | | 25,913 | | | | 25,894 | |
Government National Mortgage Association | | | 3.50 | | | | 12/20/2047 | | | | 50,000 | | | | 51,905 | | | | 51,738 | |
Government National Mortgage Association | | | 4.00 | | | | 10/20/2047 | | | | 24,932 | | | | 26,407 | | | | 26,201 | |
Government National Mortgage Association TBA | | | 3.50 | | | | 1/1/2048 | | | | 525,000 | | | | 542,391 | | | | 542,719 | |
Government National Mortgage Association TBA | | | 4.00 | | | | 1/1/2048 | | | | 350,000 | | | | 365,148 | | | | 364,848 | |
U.S. Treasury Bond | | | 2.50 | | | | 5/15/2046 | | | | 815,000 | | | | 743,702 | | | | 775,269 | |
U.S. Treasury Bond1 | | | 3.50 | | | | 2/15/2039 | | | | 355,000 | | | | 395,412 | | | | 405,463 | |
U.S. Treasury Notes | | | 1.63 | | | | 11/30/2020 | | | | 420,000 | | | | 417,085 | | | | 415,784 | |
U.S. Treasury Notes | | | 1.63 | | | | 8/31/2022 | | | | 520,000 | | | | 510,732 | | | | 507,142 | |
U.S. Treasury Notes | | | 2.25 | | | | 8/15/2027 | | | | 300,000 | | | | 296,545 | | | | 295,781 | |
| | | | | | | | | | | | | | | | | | | | |
Total U.S. Treasury & Government Agencies | | | | | | | | | | | 8,782,232 | | | | 9,014,454 | | | | 9,022,681 | |
| | | | | | | | | | | | | | | | | | | | |
Total Fixed Income | | | | | | | | | | | 27,600,479 | | | | 27,925,123 | | | | 28,292,895 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | SHARES | | | COST | | | FAIR
VALUE | |
Mutual Fund — 8.3%*: | | | | | | | | | | | | | | | | | | | | |
Barings U.S. High Yield Fund | | | | | | | | | | | 260,279 | | | | 2,533,202 | | | | 2,639,234 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
138
Barings Total Return Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | COUNTERPARTY | | STRIKE
PRICE | | | EXPIRATION
DATE | | | CONTRACTS | | | NOTIONAL | | | COST | | | UNREALIZED
VALUE | | | FAIR
VALUE | |
Purchased Options — 0.6%*: | | | | | | | | | | | | | | | | | |
| | | |
Call Option Purchased — 0.2%*: | | | | | | | | | | | | | |
OTC—BCM | | Swaption JPMorgan Chase Bank N.A. | | $ | 2.44 | | | | 12/13/2032 | | | | 1,270,000 | | | | 1,270,000 | | | | 63,722 | | | | (1,988 | ) | | | 61,734 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Put Option Purchased — 0.4%*: | | | | | | | | | | | | | | | | | | | | | |
OTC—BCM Swaption | | JPMorgan Chase Bank N.A. | | | 2.94 | | | | 12/13/2032 | | | | 2,580,000 | | | | 2,580,000 | | | | 129,451 | | | | (7,517 | ) | | | 121,934 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Short-Term Investments — 14.2%*: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Bank Deposit — 1.1%*: | | | | | | | | | | | | | | | | | | | | |
State Street Bank & Trust Co. Euro Time Deposit | | | 0.12 | % | | | 1/2/2018 | | | | 362,022 | | | | $362,022 | | | | $362,022 | |
| | | | | | | | | | | | | | | | | | | | |
Commercial Paper — 13.1%*: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Auto Manufacturers — 0.8%*: | | | | | | | | | | | | | | | | | | | | |
Ford Motor Credit Co. LLC | | | Zero Coupon | | | | 2/14/2018 | | | | 250,000 | | | | 249,526 | | | | 249,526 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Diversified Financial Services — 0.8%*: | | | | | | | | | | | | | | | | | | | | |
NASDAQ, Inc. | | | Zero Coupon | | | | 1/24/2018 | | | | 250,000 | | | | 249,741 | | | | 249,741 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Electrical Components and Equipment — 0.7%*: | | | | | | | | | | | | | | | | | | | | |
Molex Electronics Technologies | | | Zero Coupon | | | | 3/13/2018 | | | | 250,000 | | | | 249,014 | | | | 249,014 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
IT Services — 1.5%*: | | | | | | | | | | | | | | | | | | | | |
Hewlett Packard Enterprise Co. | | | Zero Coupon | | | | 1/3/2018 | | | | 250,000 | | | | 249,978 | | | | 249,978 | |
HP, Inc. | | | Zero Coupon | | | | 1/8/2018 | | | | 250,000 | | | | 249,925 | | | | 249,925 | |
| | | | | | | | | | | | | | | | | | | | |
Total IT Services | | | | | | | | | | | 500,000 | | | | 499,903 | | | | 499,903 | |
| | | | | | | | | | | | | | | | | | | | |
|
Lodging — 0.8%*: | |
Carnival Corp. | | | Zero Coupon | | | | 1/2/2018 | | | | 250,000 | | | | 249,989 | | | | 249,989 | |
| | | | | | | | | | | | | | | | | | | | |
|
Mining — 0.8%*: | |
Glencore Funding LLC+ | | | Zero Coupon | | | | 1/23/2018 | | | | 250,000 | | | | 249,740 | | | | 249,740 | |
| | | | | | | | | | | | | | | | | | | | |
|
Oil and Gas — 0.8%*: | |
Suncor Energy, Inc.+ | | | Zero Coupon | | | | 1/18/2018 | | | | 250,000 | | | | 249,821 | | | | 249,821 | |
| | | | | | | | | | | | | | | | | | | | |
|
Pipelines — 0.8%*: | |
Spectra Energy Partners LP | | | Zero Coupon | | | | 1/25/2018 | | | | 250,000 | | | | 249,697 | | | | 249,697 | |
| | | | | | | | | | | | | | | | | | | | |
|
Software — 0.8%*: | |
Thomson Reuters Corp.+ | | | Zero Coupon | | | | 2/13/2018 | | | | 250,000 | | | | 249,516 | | | | 249,516 | |
| | | | | | | | | | | | | | | | | | | | |
|
Transportation — 0.8%*: | |
FedEx Corp. | | | Zero Coupon | | | | 1/5/2018 | | | | 250,000 | | | | 249,959 | | | | 249,959 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
139
Barings Total Return Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Commercial Paper (Continued) | | | | | | | | | | | | | | | | | | | | |
|
Utilities — 4.5%*: | |
Entergy Corp. | | | Zero Coupon | % | | | 1/11/2018 | | | | 250,000 | | | | $249,895 | | | | $249,895 | |
Florida Power & Light Co. | | | Zero Coupon | | | | 1/23/2018 | | | | 250,000 | | | | 249,771 | | | | 249,771 | |
Public Service Enterprise Group, Inc. | | | Zero Coupon | | | | 1/22/2018 | | | | 250,000 | | | | 249,774 | | | | 249,774 | |
Public Service Enterprise Group, Inc. | | | Zero Coupon | | | | 2/20/2018 | | | | 700,000 | | | | 697,958 | | | | 697,958 | |
| | | | | | | | | | | | | | | | | | | | |
Total Utilities | | | | | | | | | | | 1,450,000 | | | | 1,447,398 | | | | 1,447,398 | |
| | | | | | | | | | | | | | | | | | | | |
Total Commercial Paper | | | | | | | | | | | 4,200,000 | | | | 4,194,304 | | | | 4,194,304 | |
| | | | | | | | | | | | | | | | | | | | |
Total Short-Term Investments | | | | | | | | | | | 4,562,022 | | | | 4,556,326 | | | | 4,556,326 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | 36,272,780 | | | | 35,207,824 | | | | 35,672,123 | |
| | | | | | | | | | | | | | | | | | | | |
| |
Other assets and liabilities – (11.5%)* | | | | (3,687,931 | ) |
| |
Net Assets – 100.0% | | | | $31,984,192 | |
| | | | | | | | | | | | | | | | | | | | |
| 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. |
| @ | | Effective interest rate for this security is the coupon rate at issue based on the underlying loans. |
| ‡‡ | | Unless otherwise indicated, all principal amounts are denominated in United States Dollars. |
| * | | Calculated as a percentage of net assets applicable to common shareholders. |
Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:
| | | | |
| United States | | | 91.2% | |
| Canada | | | 2.8% | |
| Mexico | | | 1.3% | |
| Switzerland | | | 1.0% | |
| 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). |
| # | | Variable rate security. The interest rate shown is the rate in effect at December 31, 2017. |
| ** | | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. |
See accompanying Notes to the Financial Statements.
140
Barings Total Return Bond Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
Affiliate Table
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | NUMBER OF
SHARES
HELD AT
6/30/17 | | | VALUE AT
6/30/17 | | | COST OF
PURCHASES | | | PROCEEDS
FROM
SHARES
SOLD | | | REALIZED
GAIN
(LOSS) | | | CHANGE IN
UNREALIZED
APPRECIATION/ DEPRECIATION | | | NUMBER OF
SHARES
HELD
AT 12/31/17 | | | VALUE AT
12/31/17 | | | DIVIDEND
INCOME | | | CAPITAL
GAINS
DISTRIBUTIONS | |
| Barings U.S. High Yield Fund | | | 245,051 | | | $ | 2,595,086 | | | $ | 157,494 | | | $ | – | | | $ | – | | | $ | (113,346 | ) | | | 260,279 | | | $ | 2,639,234 | | | $ | 157,494 | | | $ | – | |
A summary of outstanding derivatives at December 31, 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 | | Bank of America N.A. | | | 19,000 | | | | 487,920 | | | $ | (103 | ) |
| 3/6/18 | | CZK/EUR | | JPMorgan Chase Bank N.A. | | | 2,000 | | | | 52,048 | | | | (43 | ) |
| 3/6/18 | | CZK/EUR | | BNP Paribas S.A. | | | 2,000 | | | | 52,282 | | | | (54 | ) |
| 3/6/18 | | EUR/CZK | | Citibank N.A. | | | 25,966 | | | | 1,000 | | | | 19 | |
| 3/6/18 | | EUR/CZK | | BNP Paribas S.A. | | | 345,085 | | | | 13,000 | | | | 600 | |
| 3/6/18 | | EUR/CZK | | Bank of America N.A. | | | 534,130 | | | | 20,000 | | | | 1,075 | |
| 1/16/18 | | EUR/HRK | | Bank of America N.A. | | | 90,337 | | | | 12,000 | | | | 188 | |
| 1/16/18 | | EUR/HUF | | Goldman Sachs & Co. | | | 7,775,000 | | | | 25,058 | | | | (45 | ) |
| 1/16/18 | | EUR/PLN | | JPMorgan Chase Bank N.A. | | | 133,240 | | | | 30,869 | | | | 1,211 | |
| | | | | | | | | | | | | | | | |
Net unrealized appreciation on cross currency forward foreign currency exchange contracts | | | $ | 2,848 | |
| | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts to Buy
| | | | | | | | | | | | | | | | | | | | | | |
EXPIRATION
DATE | | COUNTERPARTY | | LOCAL
CURRENCY | | | VALUE IN USD | | | IN
EXCHANGE
FOR USD | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| 1/16/18 | | JPMorgan Chase Bank N.A. | | | CHF | | | | 16,886 | | | | 17,343 | | | | 17,000 | | | $ | 343 | |
| 1/9/18 | | Bank of America N.A. | | | COP | | | | 41,837,000 | | | | 14,011 | | | | 13,679 | | | | 332 | |
| 1/16/18 | | Bank of America N.A. | | | EGP | | | | 135,759 | | | | 7,604 | | | | 7,500 | | | | 104 | |
| 1/16/18 | | Goldman Sachs & Co. | | | EGP | | | | 135,759 | | | | 7,604 | | | | 7,503 | | | | 101 | |
| 1/16/18 | | Goldman Sachs & Co. | | | EUR | | | | 61,982 | | | | 74,425 | | | | 73,572 | | | | 853 | |
| 1/16/18 | | JPMorgan Chase Bank N.A. | | | GHS | | | | 66,600 | | | | 14,633 | | | | 14,899 | | | | (266 | ) |
| 1/23/18 | | Goldman Sachs & Co. | | | JPY | | | | 4,014,661 | | | | 35,662 | | | | 35,903 | | | | (241 | ) |
| 1/23/18 | | JPMorgan Chase Bank N.A. | | | KZT | | | | 12,337,000 | | | | 36,943 | | | | 36,408 | | | | 535 | |
| 1/9/18 | | Goldman Sachs & Co. | | | MXN | | | | 1,309,072 | | | | 66,502 | | | | 70,757 | | | | (4,255 | ) |
| 1/9/18 | | JPMorgan Chase Bank N.A. | | | MXN | | | | 96,796 | | | | 4,917 | | | | 5,000 | | | | (83 | ) |
| 1/23/18 | | Goldman Sachs & Co. | | | MYR | | | | 305,768 | | | | 75,197 | | | | 72,673 | | | | 2,524 | |
| 3/6/18 | | BNP Paribas S.A. | | | NGN | | | | 5,535,000 | | | | 16,151 | | | | 15,000 | | | | 1,151 | |
| 1/23/18 | | JPMorgan Chase Bank N.A. | | | NZD | | | | 15,681 | | | | 11,110 | | | | 10,999 | | | | 111 | |
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | |
EXPIRATION
DATE | | COUNTERPARTY | | LOCAL
CURRENCY | | | VALUE IN USD | | | IN
EXCHANGE
FOR USD | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| 1/23/18 | | Goldman Sachs & Co. | | | NZD | | | | 9,995 | | | | 7,082 | | | | 6,828 | | | | 254 | |
| 1/23/18 | | Goldman Sachs & Co. | | | PHP | | | | 905,256 | | | | 18,127 | | | | 17,439 | | | | 688 | |
| 1/16/18 | | Goldman Sachs & Co. | | | RUB | | | | 844,829 | | | | 14,639 | | | | 14,000 | | | | 639 | |
| 1/16/18 | | Goldman Sachs & Co. | | | SEK | | | | 116,584 | | | | 14,223 | | | | 14,000 | | | | 223 | |
| 1/23/18 | | Goldman Sachs & Co. | | | SGD | | | | 20,339 | | | | 15,212 | | | | 15,002 | | | | 210 | |
| 1/16/18 | | Bank of America N.A. | | | TRY | | | | 129,909 | | | | 34,128 | | | | 34,483 | | | | (355 | ) |
| 1/16/18 | | Goldman Sachs & Co. | | | TRY | | | | 43,259 | | | | 11,364 | | | | 11,000 | | | | 364 | |
| | | | | | | | | | | | | | | | | | | | | | |
Net unrealized appreciation on forward foreign currency exchange contracts to buy | | | $ | 3,232 | |
| | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts to Sell
| | | | | | | | | | | | | | | | | | | | | | |
EXPIRATION
DATE | | COUNTERPARTY | | LOCAL
CURRENCY | | | VALUE
IN USD | | | IN
EXCHANGE
FOR USD | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| 1/23/18 | | Goldman Sachs & Co. | | | AUD | | | | 19,161 | | | | 14,950 | | | | 14,517 | | | $ | (433 | ) |
| 1/16/18 | | Goldman Sachs & Co. | | | CHF | | | | 35,311 | | | | 36,267 | | | | 36,538 | | | | 271 | |
| 1/9/18 | | Bank of America N.A. | | | CLP | | | | 4,592,543 | | | | 7,463 | | | | 7,204 | | | | (259 | ) |
| 1/9/18 | | Goldman Sachs & Co. | | | CLP | | | | 4,592,543 | | | | 7,463 | | | | 7,275 | | | | (188 | ) |
| 1/23/18 | | Bank of America N.A. | | | CNH | | | | 93,523 | | | | 14,344 | | | | 14,000 | | | | (344 | ) |
| 1/9/18 | | JPMorgan Chase Bank N.A. | | | COP | | | | 41,837,000 | | | | 14,011 | | | | 14,019 | | | | 8 | |
| 1/16/18 | | Bank of America N.A. | | | EUR | | | | 25,295 | | | | 30,373 | | | | 30,000 | | | | (373 | ) |
| 1/16/18 | | JPMorgan Chase Bank N.A. | | | EUR | | | | 38,318 | | | | 46,010 | | | | 45,295 | | | | (715 | ) |
| 1/16/18 | | Bank of America N.A. | | | ILS | | | | 77,916 | | | | 22,403 | | | | 22,375 | | | | (28 | ) |
| 1/23/18 | | JPMorgan Chase Bank N.A. | | | INR | | | | 964,901 | | | | 15,098 | | | | 14,691 | | | | (407 | ) |
| 1/23/18 | | Bank of America N.A. | | | INR | | | | 454,160 | | | | 7,106 | | | | 6,999 | | | | (107 | ) |
| 1/23/18 | | Bank of America N.A. | | | KRW | | | | 15,363,600 | | | | 14,399 | | | | 13,999 | | | | (400 | ) |
| 1/23/18 | | Goldman Sachs & Co. | | | MYR | | | | 155,534 | | | | 38,250 | | | | 38,000 | | | | (250 | ) |
| 1/23/18 | | Goldman Sachs & Co. | | | NZD | | | | 25,676 | | | | 18,192 | | | | 18,351 | | | | 159 | |
| 1/23/18 | | JPMorgan Chase Bank N.A. | | | NZD | | | | 20,459 | | | | 14,496 | | | | 14,000 | | | | (496 | ) |
| 1/23/18 | | Bank of America N.A. | | | PHP | | | | 905,256 | | | | 18,127 | | | | 17,366 | | | | (761 | ) |
| 1/23/18 | | Goldman Sachs & Co. | | | SGD | | | | 20,339 | | | | 15,212 | | | | 14,931 | | | | (281 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Net unrealized depreciation on forward foreign currency exchange contracts to sell | | | $ | (4,604 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Currency Legend
| | | | |
| AUD | | – | | Australian Dollar |
| CHF | | – | | Swiss Franc |
| CLP | | – | | Chilean Peso |
| CNH | | – | | Chinese Yuan Renminbi |
| COP | | – | | Colombian Peso |
| CZK | | – | | Czech Koruna |
| EGP | | – | | Egyptian Pound |
| EUR | | – | | Euro |
| GHS | | – | | Ghana Cedi |
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | |
| HRK | | – | | Croatian Kuna |
| HUF | | – | | Hungarian Forint |
| 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 |
| PHP | | – | | Philippines Peso |
| PLN | | – | | Polish Zloty |
| RON | | – | | Romanian New Leu |
| RUB | | – | | Russian Ruble |
| SEK | | – | | Swedish Krona |
| SGD | | – | | Singapore Dollar |
| TRY | | – | | Turkish New Lira |
Futures
| | | | | | | | | | | | | | | | | | | | | | |
| TYPE | | EXPIRATION
DATE | | CONTRACTS | | | NOTIONAL
AMOUNT | | | POSITION | | | FAIR
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Long Futures | |
U.S. 2-Year Treasury Note | | 03/29/18 | | | 15 | | | | 3,219,265 | | | | Long | | | $ | 3,211,641 | | | $ | (7,624 | ) |
U.S. 5-Year Treasury Note | | 03/29/18 | | | 15 | | | | 1,750,904 | | | | Long | | | | 1,742,461 | | | | (8,443 | ) |
U.S. Ultra Bond | | 03/20/18 | | | 4 | | | | 664,545 | | | | Long | | | | 670,625 | | | | 6,080 | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Long Futures | | | $ | (9,987 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps – Sell Protection (1)(2)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
REFERENCE
OBLIGATION | | FIXED-
DEAL
RECEIVED
RATE | | PAYMENT FREQUENCY | | | 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% | | | 1M | | | | 11/17/2045 | | | JPMorgan
Chase
Bank N.A. | | | 60,000 | | | | 60,000 | | | $ | 137 | | | $ | (8,779 | ) | | $ | (8,916 | ) |
| CMBX.NA.BBB-.6† | | 3.00% | | | 1M | | | | 5/11/2063 | | | Goldman
Sachs &
Co. | | | 70,000 | | | | 70,000 | | | | (5,223 | ) | | | (10,242 | ) | | | (5,019 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total OTC Credit Default Swaps | | | | | | | | | | | (5,086 | ) | | | (19,021 | ) | | | (13,935 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| (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 Portfolio 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
See accompanying Notes to the Financial Statements.
144
Barings Emerging Markets Debt Blended Total Return Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Fixed Income — 98.8%*: | |
|
Corporate Bonds — 30.9%*: | |
|
Chemicals — 3.5%*: | |
Chandra Asri Petrochemical Tbk PT^+ | | | 4.95 | % | | | 11/8/2024 | | | | 200,000 | | | | $198,283 | | | | $196,500 | |
Grupo Idesa SA de CV+^ | | | 7.88 | | | | 12/18/2020 | | | | 200,000 | | | | 183,815 | | | | 188,000 | |
| | | | | | | | | | | | | | | | | | | | |
Total Chemicals | | | | | | | | | | | 400,000 | | | | 382,098 | | | | 384,500 | |
| | | | | | | | | | | | | | | | | | | | |
|
Commercial Banks — 5.6%*: | |
Banco Mercantil del Norte SA, 10 year CMT + 5.353%^+ | | | 7.63 | # | | | 10/6/2066 | | | | 200,000 | | | | 219,199 | | | | 219,000 | |
Itau Unibanco Holding SA^+ | | | 6.13 | #** | | | 6/12/2066 | | | | 200,000 | | | | 200,000 | | | | 199,937 | |
Turkiye Is Bankasi, 5 year USD Swap + 5.117%+ | | | 7.00 | # | | | 6/29/2028 | | | | 200,000 | | | | 200,000 | | | | 200,000 | |
| | | | | | | | | | | | | | | | | | | | |
Total Commercial Banks | | | | | | | | | | | 600,000 | | | | 619,199 | | | | 618,937 | |
| | | | | | | | | | | | | | | | | | | | |
|
Electric — 3.4%*: | |
Abengoa Transmision Sur SA+^ | | | 6.88 | | | | 4/30/2043 | | | | 198,740 | | | | 203,589 | | | | 219,608 | |
Capex SA+^ | | | 6.88 | | | | 5/15/2024 | | | | 150,000 | | | | 150,000 | | | | 156,750 | |
| | | | | | | | | | | | | | | | | | | | |
Total Electric | | | | | | | | | | | 348,740 | | | | 353,589 | | | | 376,358 | |
| | | | | | | | | | | | | | | | | | | | |
|
Engineering&Construction — 1.8%*: | |
Mexico City Airport Trust+^ | | | 5.50 | | | | 7/31/2047 | | | | 200,000 | | | | 198,801 | | | | 197,500 | |
| | | | | | | | | | | | | | | | | | | | |
|
Gas — 2.2%*: | |
Fermaca Enterprises S de RL de CV+^ | | | 6.38 | | | | 3/30/2038 | | | | 232,000 | | | | 226,406 | | | | 249,516 | |
| | | | | | | | | | | | | | | | | | | | |
|
Media — 3.8%*: | |
Altice Financing SA+^ | | | 6.63 | | | | 2/15/2023 | | | | 200,000 | | | | 197,170 | | | | 209,420 | |
VTR Finance BV+^ | | | 6.88 | | | | 1/15/2024 | | | | 200,000 | | | | 210,090 | | | | 211,000 | |
| | | | | | | | | | | | | | | | | | | | |
Total Media | | | | | | | | | | | 400,000 | | | | 407,260 | | | | 420,420 | |
| | | | | | | | | | | | | | | | | | | | |
|
Mining — 1.8%*: | |
Petra Diamonds US Treasury plc+^ | | | 7.25 | | | | 5/1/2022 | | | | 200,000 | | | | 198,575 | | | | 202,750 | |
| | | | | | | | | | | | | | | | | | | | |
|
Oil and Gas — 3.5%*: | |
Petrobras Global Finance BV+ | | | 4.75 | | | | 1/14/2025 | | | | 225,000 | | | | 240,219 | | | | 297,637 | |
Petrobras Global Finance BV+ | | | 5.63 | | | | 5/20/2043 | | | | 100,000 | | | | 75,865 | | | | 89,375 | |
| | | | | | | | | | | | | | | | | | | | |
Total Oil and Gas | | | | | | | | | | | 325,000 | | | | 316,084 | | | | 387,012 | |
| | | | | | | | | | | | | | | | | | | | |
|
Retail — 1.8%*: | |
Eurotorg LLC Via Bonitron DAC^+ | | | 8.75 | | | | 10/30/2022 | | | | 200,000 | | | | 200,000 | | | | 202,280 | |
| | | | | | | | | | | | | | | | | | | | |
|
Telecommunications — 3.5%*: | |
Digicel Group Ltd.^+ | | | 8.25 | | | | 9/30/2020 | | | | 200,000 | | | | 198,587 | | | | 196,758 | |
Digicel Ltd.+^ | | | 6.75 | | | | 3/1/2023 | | | | 200,000 | | | | 190,127 | | | | 196,632 | |
| | | | | | | | | | | | | | | | | | | | |
Total Telecommunications | | | | | | | | | | | 400,000 | | | | 388,714 | | | | 393,390 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Corporate Bonds | | | | | | | | | | | 3,305,740 | | | | 3,290,726 | | | | 3,432,663 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
|
Foreign Government — 67.9%*: | |
|
Argentina — 6.5%*: | |
Argentine Bonos del Tesoro+ | | | 15.50 | % | | | 10/17/2026 | | | | 1,800,000 | | | | $108,526 | | | | $96,664 | |
Argentine Republic Government International Bond+ | | | 5.25 | | | | 1/15/2028 | | | | 200,000 | | | | 232,396 | | | | 249,559 | |
Province of Santa Fe+^ | | | 6.90 | | | | 11/1/2027 | | | | 150,000 | | | | 150,000 | | | | 159,000 | |
Provincia de Cordoba+^ | | | 7.13 | | | | 6/10/2021 | | | | 200,000 | | | | 200,000 | | | | 215,750 | |
| | | | | | | | | | | | | | | | | | | | |
Total Argentina | | | | | | | | | | | 2,350,000 | | | | 690,922 | | | | 720,973 | |
| | | | | | | | | | | | | | | | | | | | |
|
Armenia — 2.0%*: | |
Republic of Armenia International Bond+^ | | | 7.15 | | | | 3/26/2025 | | | | 200,000 | | | | 211,100 | | | | 228,250 | |
| | | | | | | | | | | | | | | | | | | | |
|
Brazil — 8.3%*: | |
Brazil Notas do Tesouro Nacional Serie B+ | | | 6.00 | | | | 8/15/2050 | | | | 930,000 | | | | 884,653 | | | | 919,185 | |
| | | | | | | | | | | | | | | | | | | | |
|
Colombia — 4.3%*: | |
Colombian TES+ | | | 4.75 | | | | 4/4/2035 | | | | 666,022,111 | | | | 249,708 | | | | 257,258 | |
Colombian TES+ | | | 7.75 | | | | 9/18/2030 | | | | 605,000,000 | | | | 209,564 | | | | 220,104 | |
| | | | | | | | | | | | | | | | | | | | |
Total Colombia | | | | | | | | | | | 1,271,022,111 | | | | 459,272 | | | | 477,362 | |
| | | | | | | | | | | | | | | | | | | | |
|
Croatia — 2.2%*: | |
Croatia Government International Bond+ | | | 2.75 | | | | 1/27/2030 | | | | 200,000 | | | | 230,599 | | | | 243,269 | |
| | | | | | | | | | | | | | | | | | | | |
|
El Salvador — 1.9%*: | |
El Salvador Government International Bond+^ | | | 7.38 | | | | 12/1/2019 | | | | 200,000 | | | | 203,495 | | | | 211,689 | |
| | | | | | | | | | | | | | | | | | | | |
|
Ghana — 4.3%*: | |
Ghana Government Bond+ | | | 18.25 | | | | 7/25/2022 | | | | 408,000 | | | | 92,798 | | | | 93,929 | |
Ghana Government Bond+ | | | 21.50 | | | | 3/9/2020 | | | | 480,000 | | | | 114,450 | | | | 114,446 | |
Ghana Government International Bond+^ | | | 10.75 | | | | 10/14/2030 | | | | 200,000 | | | | 212,982 | | | | 275,000 | |
| | | | | | | | | | | | | | | | | | | | |
Total Ghana | | | | | | | | | | | 1,088,000 | | | | 420,230 | | | | 483,375 | |
| | | | | | | | | | | | | | | | | | | | |
|
Indonesia — 2.3%*: | |
Indonesia Treasury Bond+ | | | 8.38 | | | | 3/15/2034 | | | | 3,140,000,000 | | | | 215,246 | | | | 258,340 | |
| | | | | | | | | | | | | | | | | | | | |
|
Ivory Coast — 1.2%*: | |
Ivory Coast Government International Bond+^ | | | 5.13 | | | | 6/15/2025 | | | | 100,000 | | | | 112,165 | | | | 130,784 | |
| | | | | | | | | | | | | | | | | | | | |
|
Malaysia — 3.4%*: | |
Malaysia Government Bond+ | | | 4.13 | | | | 4/15/2032 | | | | 1,610,000 | | | | 361,499 | | | | 380,111 | |
| | | | | | | | | | | | | | | | | | | | |
|
Mexico — 10.5%*: | |
Mexican Bonos+ | | | 7.75 | | | | 11/13/2042 | | | | 14,200,000 | | | | 811,130 | | | | 713,675 | |
Mexico Government International Bond+ | | | 5.75 | | | | 10/12/2110 | | | | 430,000 | | | | 413,504 | | | | 453,543 | |
| | | | | | | | | | | | | | | | | | | | |
Total Mexico | | | | | | | | | | | 14,630,000 | | | | 1,224,634 | | | | 1,167,218 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
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Barings Emerging Markets Debt Blended Total Return Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Foreign Government (Continued) | |
|
Nigeria — 1.3%*: | |
Nigeria Treasury Bill+ | | | Zero Coupon | | | | 6/14/2018 | | | | 27,284,000 | | | | $70,179 | | | | $70,711 | |
Nigeria Treasury Bill+ | | | Zero Coupon | | | | 6/21/2018 | | | | 27,284,000 | | | | 69,556 | | | | 70,504 | |
| | | | | | | | | | | | | | | | | | | | |
Total Nigeria | | | | | | | | | | | 54,568,000 | | | | 139,735 | | | | 141,215 | |
| | | | | | | | | | | | | | | | | | | | |
|
Peru — 4.0%*: | |
Peru Government Bond+ | | | 6.85 | % | | | 2/12/2042 | | | | 495,000 | | | | 154,466 | | | | 165,940 | |
Peru Government Bond+ | | | 6.90 | | | | 8/12/2037 | | | | 315,000 | | | | 103,292 | | | | 108,931 | |
Peru Government Bond+ | | | 6.95 | | | | 8/12/2031 | | | | 480,000 | | | | 160,555 | | | | 168,320 | |
| | | | | | | | | | | | | | | | | | | | |
Total Peru | | | | | | | | | | | 1,290,000 | | | | 418,313 | | | | 443,191 | |
| | | | | | | | | | | | | | | | | | | | |
|
Russia — 4.9%*: | |
Russian Federal Bond — OFZ+ | | | 7.00 | | | | 1/25/2023 | | | | 14,000,000 | | | | 225,840 | | | | 243,115 | |
Russian Federal Bond — OFZ+ | | | 8.50 | | | | 9/17/2031 | | | | 16,000,000 | | | | 282,004 | | | | 300,325 | |
| | | | | | | | | | | | | | | | | | | | |
Total Russia | | | | | | | | | | | 30,000,000 | | | | 507,844 | | | | 543,440 | |
| | | | | | | | | | | | | | | | | | | | |
|
South Africa — 9.0%*: | |
South Africa Government Bond+ | | | 6.50 | | | | 2/28/2041 | | | | 8,200,000 | | | | 409,925 | | | | 466,738 | |
South Africa Government Bond+ | | | 8.75 | | | | 2/28/2048 | | | | 7,300,000 | | | | 464,626 | | | | 532,221 | |
| | | | | | | | | | | | | | | | | | | | |
Total South Africa | | | | | | | | | | | 15,500,000 | | | | 874,551 | | | | 998,959 | |
| | | | | | | | | | | | | | | | | | | | |
|
Ukrainian — 1.8%*: | |
Ukraine Government International Bond+^ | | | 7.38 | | | | 9/25/2032 | | | | 200,000 | | | | 200,000 | | | | 196,750 | |
| | | | | | | | | | | | | | | | | | | | |
Total Foreign Government | | | | | | | | | | | 4,533,888,111 | | | | 7,154,258 | | | | 7,544,111 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Fixed Income | | | | | | | | | | | 4,537,193,851 | | | | 10,444,984 | | | | 10,976,774 | |
| | | | | | | | | | | | | | | | | | | | |
|
Short-Term Investments — 1.6%*: | |
|
Bank Deposit — 1.6%*: | |
State Street Bank & Trust Co. Euro Time Deposit | | | 0.12 | | | | 1/2/2018 | | | | 174,788 | | | | 174,788 | | | | 174,788 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | 4,537,368,639 | | | | 10,619,772 | | | | 11,151,562 | |
| | | | | | | | | | | | | | | | | | | | |
| |
Other assets and liabilities – (0.4%)* | | | | (48,575 | ) |
| | | | | | | | | | | | | | | | | | | | |
| |
Net Assets – 100.0% | | | | $11,102,987 | |
| | | | | | | | | | | | | | | | | | | | |
| ‡‡ | | Unless otherwise indicated, all principal amounts are denominated in United States Dollars. |
| * | | Calculated as a percentage of net assets applicable to common shareholders. |
| ** | | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. |
See accompanying Notes to the Financial Statements.
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Barings Emerging Markets Debt Blended Total Return Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:
| | | | |
| Mexico | | | 18.4% | |
| Brazil | | | 11.9% | |
| South Africa | | | 11.0% | |
| Argentina | | | 8.0% | |
| Peru | | | 6.0% | |
| Russia | | | 5.0% | |
| Ghana | | | 4.4% | |
| Colombia | | | 4.4% | |
| Indonesia | | | 4.1% | |
| Jamaica | | | 3.6% | |
| Malaysia | | | 3.5% | |
| Croatia | | | 2.2% | |
| Armenia | | | 2.1% | |
| El Salvador | | | 1.9% | |
| Chile | | | 1.9% | |
| Portugal | | | 1.9% | |
| Belarus | | | 1.8% | |
| Turkey | | | 1.8% | |
| Belize | | | 1.8% | |
| Ukrainian | | | 1.8% | |
| Nigeria | | | 1.3% | |
| Ivory Coast | | | 1.2% | |
| | | | |
| 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. |
| # | | Variable rate security. The interest rate shown is the rate in effect at December 31, 2017. |
A summary of outstanding derivatives at December 31, 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. | | | 35,111 | | | | 919,359 | | | $ | (1,025 | ) |
| 3/6/18 | | CZK/EUR | | Bank of America N.A. | | | 303,000 | | | | 7,781,040 | | | | (1,641 | ) |
| 3/6/18 | | EUR/CZK | | Citibank N.A. | | | 649,149 | | | | 25,000 | | | | 472 | |
| 3/6/18 | | EUR/CZK | | BNP Paribas S.A. | | | 5,096,640 | | | | 192,000 | | | | 8,862 | |
| 3/6/18 | | EUR/CZK | | Bank of America N.A. | | | 7,798,298 | | | | 292,000 | | | | 15,700 | |
| 1/16/18 | | EUR/HRK | | Bank of America N.A. | | | 1,460,451 | | | | 194,000 | | | | 3,036 | |
| 1/16/18 | | EUR/HUF | | Goldman Sachs & Co. | | | 2,400,861 | | | | 7,738 | | | | (14 | ) |
| 1/16/18 | | EUR/PLN | | JPMorgan Chase Bank N.A. | | | 2,100,940 | | | | 486,746 | | | | 19,095 | |
| 1/16/18 | | EUR/RSD | | Citibank N.A. | | | 22,552,200 | | | | 187,536 | | | | (1,620 | ) |
| | | | | | | | | | | | | | | | |
Net unrealized appreciation on cross currency forward foreign currency exchange contracts | | | $ | 42,865 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
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Barings Emerging Markets Debt Blended Total Return Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
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 | | | | 462,072 | | | | 500,000 | | | $ | (37,928 | ) |
| 1/9/18 | | JPMorgan Chase Bank N.A. | | | BRL | | | | 148,050 | | | | 44,602 | | | | 45,000 | | | | (398 | ) |
| 1/16/18 | | JPMorgan Chase Bank N.A. | | | CHF | | | | 267,194 | | | | 274,428 | | | | 269,000 | | | | 5,428 | |
| 1/9/18 | | Bank of America N.A. | | | COP | | | | 672,892,000 | | | | 225,341 | | | | 220,000 | | | | 5,341 | |
| 1/16/18 | | Bank of America N.A. | | | EGP | | | | 2,009,313 | | | | 112,539 | | | | 110,993 | | | | 1,546 | |
| 1/16/18 | | Goldman Sachs & Co. | | | EGP | | | | 2,009,313 | | | | 112,539 | | | | 111,042 | | | | 1,497 | |
| 1/16/18 | | Goldman Sachs & Co. | | | EUR | | | | 398,403 | | | | 478,387 | | | | 472,901 | | | | 5,486 | |
| 1/16/18 | | Citibank N.A. | | | EUR | | | | 159,993 | | | | 192,113 | | | | 190,670 | | | | 1,443 | |
| 1/16/18 | | BNP Paribas S.A. | | | EUR | | | | 117,660 | | | | 141,281 | | | | 139,000 | | | | 2,281 | |
| 1/16/18 | | Goldman Sachs & Co. | | | HUF | | | | 127,109,790 | | | | 491,167 | | | | 486,155 | | | | 5,012 | |
| 1/23/18 | | Goldman Sachs & Co. | | | JPY | | | | 64,835,617 | | | | 575,932 | | | | 579,828 | | | | (3,896 | ) |
| 1/23/18 | | JPMorgan Chase Bank N.A. | | | KZT | | | | 195,667,500 | | | | 585,929 | | | | 577,446 | | | | 8,483 | |
| 1/9/18 | | Goldman Sachs & Co. | | | MXN | | | | 5,167,371 | | | | 262,506 | | | | 279,304 | | | | (16,798 | ) |
| 1/9/18 | | JPMorgan Chase Bank N.A. | | | MXN | | | | 2,400,543 | | | | 121,949 | | | | 124,000 | | | | (2,051 | ) |
| 1/23/18 | | Goldman Sachs & Co. | | | MYR | | | | 3,359,686 | | | | 826,237 | | | | 798,499 | | | | 27,738 | |
| 1/23/18 | | JPMorgan Chase Bank N.A. | | | NZD | | | | 321,747 | | | | 227,967 | | | | 225,700 | | | | 2,267 | |
| 1/23/18 | | Goldman Sachs & Co. | | | NZD | | | | 159,205 | | | | 112,801 | | | | 108,761 | | | | 4,040 | |
| 1/9/18 | | Goldman Sachs & Co. | | | PEN | | | | 149,270 | | | | 46,022 | | | | 45,606 | | | | 416 | |
| 1/23/18 | | Goldman Sachs & Co. | | | PHP | | | | 14,774,240 | | | | 295,840 | | | | 284,613 | | | | 11,227 | |
| 1/16/18 | | Goldman Sachs & Co. | | | RUB | | | | 678,080 | | | | 11,750 | | | | 11,385 | | | | 365 | |
| 1/16/18 | | Goldman Sachs & Co. | | | SEK | | | | 1,915,305 | | | | 233,664 | | | | 230,000 | | | | 3,664 | |
| 1/23/18 | | Goldman Sachs & Co. | | | SGD | | | | 298,300 | | | | 223,107 | | | | 220,034 | | | | 3,073 | |
| 1/16/18 | | Bank of America N.A. | | | TRY | | | | 2,059,950 | | | | 541,166 | | | | 546,798 | | | | (5,632 | ) |
| 1/16/18 | | Goldman Sachs & Co. | | | TRY | | | | 641,019 | | | | 168,401 | | | | 163,000 | | | | 5,401 | |
| 1/16/18 | | JPMorgan Chase Bank N.A. | | | TRY | | | | 95,430 | | | | 25,070 | | | | 24,000 | | | | 1,070 | |
| 1/16/18 | | Bank of America N.A. | | | ZAR | | | | 987,065 | | | | 79,620 | | | | 69,000 | | | | 10,620 | |
| | | | | | | | | | | | | | | | | | | | | | |
Net unrealized appreciation on forward foreign currency exchange contracts to buy | | | $ | 39,695 | |
| | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts to Sell
| | | | | | | | | | | | | | | | | | | | | | |
EXPIRATION
DATE | | COUNTERPARTY | | LOCAL
CURRENCY | | | VALUE IN USD | | | IN
EXCHANGE
FOR USD | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| 1/23/18 | | Goldman Sachs & Co. | | | AUD | | | | 295,076 | | | | 230,234 | | | | 223,572 | | | $ | (6,662 | ) |
| 1/9/18 | | Goldman Sachs & Co. | | | BRL | | | | 217,062 | | | | 65,393 | | | | 68,556 | | | | 3,163 | |
| 1/16/18 | | Goldman Sachs & Co. | | | CHF | | | | 554,413 | | | | 569,423 | | | | 573,677 | | | | 4,254 | |
| 1/9/18 | | Bank of America N.A. | | | CLP | | | | 73,352,318 | | | | 119,194 | | | | 115,062 | | | | (4,132 | ) |
| 1/9/18 | | Goldman Sachs & Co. | | | CLP | | | | 73,352,318 | | | | 119,195 | | | | 116,198 | | | | (2,997 | ) |
| 1/23/18 | | Bank of America N.A. | | | CNH | | | | 1,543,126 | | | | 236,682 | | | | 231,000 | | | | (5,682 | ) |
| 1/9/18 | | JPMorgan Chase Bank N.A. | | | COP | | | | 2,118,706,526 | | | | 709,522 | | | | 709,903 | | | | 381 | |
| 1/16/18 | | Bank of America N.A. | | | EUR | | | | 406,401 | | | | 487,990 | | | | 482,000 | | | | (5,990 | ) |
| 1/16/18 | | JPMorgan Chase Bank N.A. | | | EUR | | | | 828,101 | | | | 994,350 | | | | 980,755 | | | | (13,595 | ) |
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | |
EXPIRATION
DATE | | COUNTERPARTY | | LOCAL
CURRENCY | | | VALUE IN USD | | | IN
EXCHANGE
FOR USD | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| 1/23/18 | | JPMorgan Chase Bank N.A. | | | IDR | | | | 273,900,000 | | | | 20,226 | | | | 20,000 | | | $ | (226 | ) |
| 1/16/18 | | Bank of America N.A. | | | ILS | | | | 1,185,692 | | | | 340,914 | | | | 340,484 | | | | (430 | ) |
| 1/23/18 | | JPMorgan Chase Bank N.A. | | | INR | | | | 15,207,144 | | | | 237,956 | | | | 231,534 | | | | (6,422 | ) |
| 1/23/18 | | Bank of America N.A. | | | INR | | | | 7,266,560 | | | | 113,704 | | | | 112,000 | | | | (1,704 | ) |
| 1/23/18 | | Bank of America N.A. | | | KRW | | | | 249,109,800 | | | | 233,478 | | | | 227,000 | | | | (6,478 | ) |
| 1/9/18 | | JPMorgan Chase Bank N.A. | | | MXN | | | | 1,015,412 | | | | 51,584 | | | | 54,000 | | | | 2,416 | |
| 1/23/18 | | Goldman Sachs & Co. | | | MYR | | | | 2,504,916 | | | | 616,026 | | | | 612,000 | | | | (4,026 | ) |
| 1/23/18 | | Goldman Sachs & Co. | | | NZD | | | | 480,952 | | | | 340,769 | | | | 343,753 | | | | 2,984 | |
| 1/23/18 | | JPMorgan Chase Bank N.A. | | | NZD | | | | 331,726 | | | | 235,038 | | | | 227,000 | | | | (8,038 | ) |
| 1/9/18 | | JPMorgan Chase Bank N.A. | | | PEN | | | | 1,579,364 | | | | 486,940 | | | | 481,000 | | | | (5,940 | ) |
| 1/23/18 | | Bank of America N.A. | | | PHP | | | | 14,774,240 | | | | 295,840 | | | | 283,412 | | | | (12,428 | ) |
| 1/16/18 | | Goldman Sachs & Co. | | | RUB | | | | 12,332,554 | | | | 213,701 | | | | 209,784 | | | | (3,917 | ) |
| 1/23/18 | | Goldman Sachs & Co. | | | SGD | | | | 298,300 | | | | 223,107 | | | | 218,984 | | | | (4,123 | ) |
| 1/16/18 | | Bank of America N.A. | | | ZAR | | | | 6,402,463 | | | | 516,444 | | | | 464,420 | | | | (52,024 | ) |
| 1/16/18 | | Goldman Sachs & Co. | | | ZAR | | | | 2,803,035 | | | | 226,102 | | | | 207,090 | | | | (19,012 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Net unrealized depreciation on forward foreign currency exchange contracts to sell | | | $ | (150,628 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Currency Legend
| | | | |
| ARS | | – | | Argentine Peso |
| AUD | | – | | Australian Dollar |
| BRL | | – | | Brazilian Real |
| CHF | | – | | Swiss Franc |
| CLP | | – | | Chilean Peso |
| CNH | | – | | Chinese Yuan Renminbi |
| COP | | – | | Colombian Peso |
| CZK | | – | | Czech Koruna |
| EGP | | – | | Egyptian Pound |
| EUR | | – | | Euro |
| 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 |
| NZD | | – | | New Zealand Dollar |
| PEN | | – | | Peruvian Nouveau Sol |
| PHP | | – | | Philippines Peso |
| PLN | | – | | Polish Zloty |
| RSD | | – | | Serbian Dinar |
| RUB | | – | | Russian Ruble |
See accompanying Notes to the Financial Statements.
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Barings Emerging Markets Debt Blended Total Return Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | |
| SEK | | – | | Swedish Krona |
| SGD | | – | | Singapore Dollar |
| TRY | | – | | Turkish New Lira |
| ZAR | | – | | South African Rand |
FUTURES
| | | | | | | | | | | | | | | | | | | | | | |
| TYPE | | EXPIRATION
DATE | | CONTRACTS | | | NOTIONAL
AMOUNT | | | POSITION | | | FAIR VALUE | | | UNREALIZED
DEPRECIATION | |
Short Futures | |
U.S. Ultra Bond | | 03/20/18 | | | 2 | | | | 332,247 | | | | Short | | | $ | 335,313 | | | $ | (3,066 | ) |
OTC – Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NOTIONAL AMOUNT | | | PAY/RECEIVE PAYMENT
FREQUENCY | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | | | VALUE | |
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 | | | | 308,000,000 | | | | 1Y/6M | | | $ | (29,961 | ) | | $ | (29,961 | ) |
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 | | | | 3M/3M | | | | 3,218 | | | | 3,218 | |
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 | | | | 1Y/3M | | | | (7,079 | ) | | | (7,079 | ) |
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 | | | | 3M/3M | | | | 5,279 | | | | 5,279 | |
| | | | | | | | | | | | | | | | | | | | |
Total OTC Interest Rate Swaps | | | $ | (28,543 | ) | | $ | (28,543 | ) |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
151
Barings Emerging Markets Debt Blended Total Return Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
OTC Credit Default Swaps – Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
REFERENCE
OBLIGATION | | FIXED-DEAL
RECEIVED
RATE | | | PAYMENT
FREQUENCY | | | MATURITY
DATE | | | COUNTERPARTY | | ORIGINAL
NOTIONAL
AMOUNT | | | CURRENT
NOTIONAL
AMOUNT (2) | | | UPFRONT
PREMIUMS
PAID/
(RECEIVED) | | | FAIR
VALUE (3) | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Penerbangan Malaysia Bhd | | | 0.00 | % | | | 3M | | | | 12/20/2022 | | | BNP
Paribas
S.A. | | | 100,000 | | | | 100,000 | | | $ | 1,534 | | | $ | (1,954 | ) | | $ | (3,488 | ) |
OTC Credit Default Swaps – Sell Protection(1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
REFERENCE
OBLIGATION | | FIXED-DEAL
RECEIVED
RATE | | | PAYMENT
FREQUENCY | | | MATURITY
DATE | | | COUNTERPARTY | | | ORIGINAL
NOTIONAL
AMOUNT | | | CURRENT
NOTIONAL
AMOUNT (2) | | | UPFRONT
PREMIUMS
PAID/
(RECEIVED) | | | FAIR
VALUE (3) | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Colombia Government International Bond | | | 1.00 | % | | | 3M | | | | 12/20/2022 | | | | BNP Paribas S.A. | | | $ | 100,000 | | | $ | 100,000 | | | $ | (1,242 | ) | | $ | (2,778 | ) | | $ | (1,536 | ) |
| Indonesia Government International Bond | | | 1.00 | % | | | 3M | | | | 12/20/2022 | | | | BNP Paribas S.A. | | | | 200,000 | | | | 200,000 | | | | (39 | ) | | | 1,394 | | | | 1,433 | |
| Mexico Government International Bond | | | 1.00 | % | | | 3M | | | | 12/20/2022 | | |
| Goldman Sachs
International |
| | | 200,000 | | | | 200,000 | | | | (760 | ) | | | (628 | ) | | | 132 | |
| Panama Government International Bond | | | 1.00 | % | | | 3M | | | | 12/20/2022 | | |
| Bank of America
N.A. |
| | | 200,000 | | | | 200,000 | | | | 1,943 | | | | 3,107 | | | | 1,164 | |
| Peruvian Government International Bond | | | 1.00 | % | | | 3M | | | | 12/20/2022 | | | | BNP Paribas S.A. | | | | 200,000 | | | | 200,000 | | | | 1,973 | | | | 2,649 | | | | 676 | |
| Russian Government International Bond | | | 1.00 | % | | | 3M | | | | 12/20/2022 | | | | BNP Paribas S.A. | | | | 100,000 | | | | 100,000 | | | | (1,039 | ) | | | (835 | ) | | | 204 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total OTC Credit Default Swaps | | | | 836 | | | | 2,909 | | | | 2,073 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
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Barings Emerging Markets Debt Blended Total Return Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
OTC Cross Currency Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
NOTIONAL
AMOUNT | | FUND
PAYS | | | PAY/RECEIVE
PAYMENT
FREQUENCY | | | MATURITY
DATE | | | COUNTERPARTY | | NOTIONAL
AMOUNT | | | FUND
RECEIVES | | | UPFRONT
PREMIUMS
PAID/
(RECEIVED) | | | FAIR
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| 100,000 EUR | | | 5.125 | | | | 1Y/6M | | | | 6/15/2025 | | | Bank of America N.A. | | $ | 100,000 USD | | | | 7.625 | % | | $ | (75 | ) | | $ | (14,923 | ) | | $ | (14,848 | ) |
| 200,000 EUR | | | 5.30 | % | | | 1Y/6M | | | | 1/15/2028 | | | Citibank N.A. | | | 200,000 USD | | | | 7.85 | % | | | (40 | ) | | | (8,592 | ) | | | (8,552 | ) |
| 200,000 EUR | | | 2.75 | % | | | 1Y/6M | | | | 1/27/2030 | | | Citibank N.A. | | | 200,000 USD | | | | 4.89 | % | | | (10 | ) | | | (3,553 | ) | | | (3,543 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total OTC Cross Currency Swaps | | | | (125 | ) | | | (27,068 | ) | | | (26,943 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make 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. 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) | | The maximum potential amount the Portfolio 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. |
| (3) | | 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.
153
Barings Emerging Markets Local Currency Debt Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Fixed Income — 90.8%*: | |
|
Foreign Government — 90.8%*: | |
|
Argentina — 3.7%*: | |
Argentine Bonos del Tesoro+ | | | 15.50 | % | | | 10/17/2026 | | | | 2,045,000 | | | | $124,334 | | | | $108,655 | |
Argentine Bonos del Tesoro+ | | | 16.00 | | | | 10/17/2023 | | | | 11,833,000 | | | | 670,579 | | | | 624,911 | |
| | | | | | | | | | | | | | | | | | | | |
Total Argentina | | | | | | | | | | | 13,878,000 | | | | 794,913 | | | | 733,566 | |
| | | | | | | | | | | | | | | | | | | | |
|
Brazil — 8.0%*: | |
Brazil Notas do Tesouro Nacional Serie B+ | | | 6.00 | | | | 8/15/2050 | | | | 1,632,000 | | | | 1,642,593 | | | | 1,613,027 | |
| | | | | | | | | | | | | | | | | | | | |
|
Chile — 4.3%*: | |
Bonos de la Tesoreria de la Republica en pesos+ | | | 4.50 | | | | 3/1/2021 | | | | 485,000,000 | | | | 788,355 | | | | 807,184 | |
Chile Government International Bond+ | | | 5.50 | | | | 8/5/2020 | | | | 32,300,000 | | | | 47,608 | | | | 54,966 | |
| | | | | | | | | | | | | | | | | | | | |
Total Chile | | | | | | | | | | | 517,300,000 | | | | 835,963 | | | | 862,150 | |
| | | | | | | | | | | | | | | | | | | | |
|
Colombia — 6.8%*: | |
Colombian TES+ | | | 3.00 | | | | 3/25/2033 | | | | 676,369,556 | | | | 214,986 | | | | 212,128 | |
Colombian TES+ | | | 4.75 | | | | 4/4/2035 | | | | 2,013,966,066 | | | | 782,838 | | | | 777,900 | |
Colombian TES+ | | | 7.75 | | | | 9/18/2030 | | | | 1,048,000,000 | | | | 343,181 | | | | 381,263 | |
| | | | | | | | | | | | | | | | | | | | |
Total Colombia | | | | | | | | | | | 3,738,335,622 | | | | 1,341,005 | | | | 1,371,291 | |
| | | | | | | | | | | | | | | | | | | | |
|
El Salvador — 1.0%*: | |
El Salvador Government International Bond^+ | | | 8.25 | | | | 4/10/2032 | | | | 159,000 | | | | 176,824 | | | | 182,850 | |
El Salvador Government International Bond^+ | | | 8.63 | | | | 2/28/2029 | | | | 10,000 | | | | 10,711 | | | | 11,715 | |
| | | | | | | | | | | | | | | | | | | | |
Total El Salvador | | | | | | | | | | | 169,000 | | | | 187,535 | | | | 194,565 | |
| | | | | | | | | | | | | | | | | | | | |
|
Ghana — 1.6%*: | |
Ghana Government Bond+ | | | 18.25 | | | | 7/25/2022 | | | | 785,000 | | | | 179,303 | | | | 180,662 | |
Ghana Government Bond+ | | | 21.50 | | | | 3/9/2020 | | | | 330,000 | | | | 78,914 | | | | 78,656 | |
Ghana Government Bond+ | | | 24.75 | | | | 3/1/2021 | | | | 100,000 | | | | 26,678 | | | | 26,131 | |
Ghana Government Bond+ | | | 24.75 | | | | 7/19/2021 | | | | 110,000 | | | | 28,456 | | | | 29,278 | |
| | | | | | | | | | | | | | | | | | | | |
Total Ghana | | | | | | | | | | | 1,325,000 | | | | 313,351 | | | | 314,727 | |
| | | | | | | | | | | | | | | | | | | | |
|
Hungary — 0.3%*: | |
Hungary Government Bond+ | | | 5.50 | | | | 12/20/2018 | | | | 14,750,000 | | | | 58,629 | | | | 60,094 | |
| | | | | | | | | | | | | | | | | | | | |
|
Indonesia — 9.3%*: | |
Indonesia Treasury Bond+ | | | 7.00 | | | | 5/15/2027 | | | | 900,000,000 | | | | 67,420 | | | | 69,272 | |
Indonesia Treasury Bond+ | | | 8.38 | | | | 3/15/2024 | | | | 1,000,000,000 | | | | 81,651 | | | | 81,740 | |
Indonesia Treasury Bond+ | | | 8.38 | | | | 3/15/2034 | | | | 20,829,000,000 | | | | 1,635,115 | | | | 1,713,681 | |
| | | | | | | | | | | | | | | | | | | | |
Total Indonesia | | | | | | | | | | | 22,729,000,000 | | | | 1,784,186 | | | | 1,864,693 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
154
Barings Emerging Markets Local Currency Debt Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Foreign Government (Continued) | | | | | | | | | | | | | | | | | |
|
Malaysia — 4.6%*: | |
Malaysia Government Bond+ | | | 4.74 | % | | | 3/15/2046 | | | | 2,995,000 | | | | $718,831 | | | | $724,851 | |
Malaysia Government Bond+ | | | 4.94 | | | | 9/30/2043 | | | | 803,000 | | | | 190,887 | | | | 199,201 | |
| | | | | | | | | | | | | | | | | | | | |
Total Malaysia | | | | | | | | | | | 3,798,000 | | | | 909,718 | | | | 924,052 | |
| | | | | | | | | | | | | | | | | | | | |
|
Mexico — 4.6%*: | |
Mexican Bonos+ | | | 7.75 | | | | 5/29/2031 | | | | 850,000 | | | | 45,843 | | | | 43,348 | |
Mexican Bonos+ | | | 7.75 | | | | 11/13/2042 | | | | 17,300,000 | | | | 959,663 | | | | 873,788 | |
| | | | | | | | | | | | | | | | | | | | |
Total Mexico | | | | | | | | | | | 18,150,000 | | | | 1,005,506 | | | | 917,136 | |
| | | | | | | | | | | | | | | | | | | | |
|
Nigeria — 1.5%*: | |
Nigeria Treasury Bill+ | | | Zero Coupon | | | | 6/14/2018 | | | | 14,391,000 | | | | 37,133 | | | | 37,297 | |
Nigeria Treasury Bill+ | | | Zero Coupon | | | | 6/21/2018 | | | | 14,391,000 | | | | 36,839 | | | | 37,187 | |
Nigeria Treasury Bill+ | | | Zero Coupon | | | | 7/5/2018 | | | | 90,550,000 | | | | 234,938 | | | | 232,613 | |
| | | | | | | | | | | | | | | | | | | | |
Total Nigeria | | | | | | | | | | | 119,332,000 | | | | 308,910 | | | | 307,097 | |
| | | | | | | | | | | | | | | | | | | | |
|
Peru — 4.2%*: | |
Peru Government Bond+ | | | 6.85 | | | | 2/12/2042 | | | | 2,160,000 | | | | 700,727 | | | | 724,547 | |
Peru Government Bond+ | | | 6.95 | | | | 8/12/2031 | | | | 343,000 | | | | 115,259 | | | | 120,353 | |
| | | | | | | | | | | | | | | | | | | | |
Total Peru | | | | | | | | | | | 2,503,000 | | | | 815,986 | | | | 844,900 | |
| | | | | | | | | | | | | | | | | | | | |
|
Poland — 4.8%*: | |
Poland Government Bond+ | | | 2.50 | | | | 7/25/2018 | | | | 3,325,000 | | | | 918,270 | | | | 963,502 | |
| | | | | | | | | | | | | | | | | | | | |
|
Romania — 3.3%*: | |
Romania Government Bond+ | | | 5.60 | | | | 11/28/2018 | | | | 2,510,000 | | | | 656,705 | | | | 664,846 | |
| | | | | | | | | | | | | | | | | | | | |
|
Russia — 11.7%*: | |
Russian Federal Bond — OFZ+ | | | 7.00 | | | | 8/16/2023 | | | | 83,843,000 | | | | 1,401,121 | | | | 1,458,680 | |
Russian Federal Bond — OFZ+ | | | 8.50 | | | | 9/17/2031 | | | | 47,130,000 | | | | 867,321 | | | | 885,471 | |
| | | | | | | | | | | | | | | | | | | | |
Total Russia | | | | | | | | | | | 130,973,000 | | | | 2,268,442 | | | | 2,344,151 | |
| | | | | | | | | | | | | | | | | | | | |
|
Serbia — 1.1%*: | |
Serbia Treasury Bond+ | | | 5.75 | | | | 7/21/2023 | | | | 20,120,000 | | | | 206,348 | | | | 211,553 | |
| | | | | | | | | | | | | | | | | | | | |
|
South Africa — 12.8%*: | |
South Africa Government Bond+ | | | 6.50 | | | | 2/28/2041 | | | | 31,500,000 | | | | 1,660,654 | | | | 1,791,872 | |
South Africa Government Bond+ | | | 8.75 | | | | 2/28/2048 | | | | 10,700,000 | | | | 686,636 | | | | 779,631 | |
| | | | | | | | | | | | | | | | | | | | |
Total South Africa | | | | | | | | | | | 42,200,000 | | | | 2,347,290 | | | | 2,571,503 | |
| | | | | | | | | | | | | | | | | | | | |
|
Thailand — 2.4%*: | |
Thailand Government Bond+ | | | 1.20 | | | | 7/14/2021 | | | | 9,150,930 | | | | 248,838 | | | | 279,232 | |
Thailand Government Bond+ | | | 3.88 | | | | 6/13/2019 | | | | 6,450,000 | | | | 201,524 | | | | 204,858 | |
| | | | | | | | | | | | | | | | | | | | |
Total Thailand | | | | | | | | | | | 15,600,930 | | | | 450,362 | | | | 484,090 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
155
Barings Emerging Markets Local Currency Debt Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Foreign Government (Continued) | | | | | | | | | | | | | | | | | |
|
Turkey — 4.8%*: | |
Turkey Government Bond+ | | | 10.70 | % | | | 2/17/2021 | | | | 400,000 | | | | $96,464 | | | | $100,063 | |
Turkey Government Bond+ | | | 10.70 | | | | 8/17/2022 | | | | 3,450,000 | | | | 843,953 | | | | 868,506 | |
| | | | | | | | | | | | | | | | | | | | |
Total Turkey | | | | | | | | | | | 3,850,000 | | | | 940,417 | | | | 968,569 | |
| | | | | | | | | | | | | | | | | | | | |
Total Foreign Government | | | | | | | | | | | 27,378,751,552 | | | | 17,786,129 | | | | 18,215,512 | |
| | | | | | | | | | | | | | | | | | | | |
Total Fixed Income | | | | | | | | | | | 27,378,751,552 | | | | 17,786,129 | | | | 18,215,512 | |
| | | | | | | | | | | | | | | | | | | | |
Short-Term Investments — 9.4%*: | |
|
Bank Deposit — 9.4%*: | |
State Street Bank & Trust Co. Euro Time Deposit | | | 0.12 | | | | 1/2/2018 | | | | 1,885,090 | | | | 1,885,090 | | | | 1,885,090 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | 27,380,636,642 | | | | 19,671,219 | | | | 20,100,602 | |
| | | | | | | | | | | | | | | | | | | | |
| |
Other assets and liabilities – (0.2%)* | | | | (34,091 | ) |
| |
Net Assets – 100.0% | | | | $20,066,511 | |
| | | | | | | | | | | | | | | | | | | | |
| ‡‡ | | Unless otherwise indicated, all principal amounts are denominated in United States Dollars. |
| * | | Calculated as a percentage of net assets applicable to common shareholders. |
Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:
| | | | | | |
| | South Africa | | | 14.1% | |
| | Russia | | | 12.9% | |
| | Indonesia | | | 10.2% | |
| | Brazil | | | 8.9% | |
| | Colombia | | | 7.5% | |
| | Turkey | | | 5.3% | |
| | Poland | | | 5.3% | |
| | Malaysia | | | 5.1% | |
| | Mexico | | | 5.0% | |
| | Chile | | | 4.7% | |
| | Peru | | | 4.6% | |
| | Argentina | | | 4.0% | |
| | Romania | | | 3.7% | |
| | Thailand | | | 2.7% | |
| | Ghana | | | 1.7% | |
| | Nigeria | | | 1.7% | |
| | Serbia | | | 1.2% | |
| | El Salvador | | | 1.1% | |
| | Other (Individually less than 1%) | | | 0.3% | |
| | | | | | |
| | 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. |
See accompanying Notes to the Financial Statements.
156
Barings Emerging Markets Local Currency Debt Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
A summary of outstanding derivatives at December 31, 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 | | Bank of America N.A. | | | 257,000 | | | | 6,599,760 | | | $ | (1,565 | ) |
| 3/6/18 | | EUR/CZK | | Goldman Sachs & Co. | | | 7,139,628 | | | | 275,000 | | | | 5,335 | |
| 3/6/18 | | EUR/CZK | | Citibank N.A. | | | 11,855,084 | | | | 464,000 | | | | (26 | ) |
| 3/6/18 | | EUR/CZK | | BNP Paribas S.A. | | | 6,374,210 | | | | 242,000 | | | | 9,003 | |
| 3/6/18 | | EUR/CZK | | Bank of America N.A. | | | 4,389,245 | | | | 165,000 | | | | 8,176 | |
| 3/6/18 | | EUR/CZK | | JPMorgan Chase Bank N.A. | | | 337,915 | | | | 13,000 | | | | 271 | |
| 1/16/18 | | EUR/HRK | | Bank of America N.A. | | | 1,181,912 | | | | 157,000 | | | | 2,108 | |
| 1/16/18 | | EUR/HRK | | Citibank N.A. | | | 83,131 | | | | 11,000 | | | | 200 | |
| 1/16/18 | | EUR/HRK | | Goldman Sachs & Co. | | | 1,282,310 | | | | 170,000 | | | | 2,691 | |
| 1/16/18 | | EUR/HUF | | Goldman Sachs & Co. | | | 288,091,312 | | | | 919,638 | | | | 10,790 | |
| 1/16/18 | | EUR/HUF | | Bank of America N.A. | | | 5,928,718 | | | | 19,000 | | | | 132 | |
| 1/16/18 | | EUR/PLN | | JPMorgan Chase Bank N.A. | | | 1,416,982 | | | | 328,286 | | | | 13,286 | |
| 1/16/18 | | EUR/PLN | | Bank of America N.A. | | | 157,300 | | | | 37,000 | | | | 806 | |
| 1/16/18 | | EUR/PLN | | Goldman Sachs & Co. | | | 3,259,298 | | | | 773,000 | | | | 9,066 | |
| 1/16/18 | | EUR/RON | | JPMorgan Chase Bank N.A. | | | 756,636 | | | | 164,126 | | | | (2,641 | ) |
| 1/16/18 | | EUR/RON | | Bank of America N.A. | | | 41,847 | | | | 9,000 | | | | (53 | ) |
| 1/16/18 | | EUR/RSD | | Citibank N.A. | | | 19,687,044 | | | | 163,711 | | | | (1,773 | ) |
| 1/16/18 | | EUR/RSD | | Bank of America N.A. | | | 8,823,020 | | | | 74,000 | | | | (1,859 | ) |
| 1/16/18 | | PLN/EUR | | JPMorgan Chase Bank N.A. | | | 31,000 | | | | 132,146 | | | | (776 | ) |
| 1/16/18 | | RON/EUR | | Goldman Sachs & Co. | | | 12,000 | | | | 55,466 | | | | 156 | |
| | | | | | | | | | | | | | | | |
Net unrealized appreciation on cross currency forward foreign currency exchange contracts | | | $ | 53,327 | |
| | | | | | | | | | | | | | | | |
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 | | | | 320,135 | | | | 350,000 | | | $ | (29,865 | ) |
| 1/9/18 | | JPMorgan Chase Bank N.A. | | | BRL | | | | 958,042 | | | | 288,629 | | | | 302,689 | | | | (14,060 | ) |
| 1/9/18 | | Goldman Sachs & Co. | | | BRL | | | | 145,408 | | | | 43,807 | | | | 45,000 | | | | (1,193 | ) |
| 1/9/18 | | Citibank N.A. | | | BRL | | | | 1,104,099 | | | | 332,632 | | | | 332,000 | | | | 632 | |
| 1/9/18 | | Bank of America N.A. | | | COP | | | | 422,086,800 | | | | 141,348 | | | | 138,000 | | | | 3,348 | |
| 1/16/18 | | Bank of America N.A. | | | EGP | | | | 1,698,304 | | | | 95,120 | | | | 93,813 | | | | 1,307 | |
| 1/16/18 | | Goldman Sachs & Co. | | | EGP | | | | 1,698,304 | | | | 95,120 | | | | 93,855 | | | | 1,265 | |
| 1/16/18 | | JPMorgan Chase Bank N.A. | | | EGP | | | | 3,413,350 | | | | 191,178 | | | | 190,000 | | | | 1,178 | |
| 1/16/18 | | JPMorgan Chase Bank N.A. | | | EUR | | | | 16,526 | | | | 19,860 | | | | 19,360 | | | | 500 | |
| 1/16/18 | | BNP Paribas S.A. | | | EUR | | | | 21,162 | | | | 25,430 | | | | 25,000 | | | | 430 | |
| 1/16/18 | | Goldman Sachs & Co. | | | EUR | | | | 1,992,067 | | | | 2,393,893 | | | | 2,359,790 | | | | 34,103 | |
| 1/16/18 | | Citibank N.A. | | | HUF | | | | 15,875,591 | | | | 61,495 | | | | 59,383 | | | | 2,112 | |
| 1/16/18 | | Goldman Sachs & Co. | | | HUF | | | | 94,940,083 | | | | 367,753 | | | | 360,643 | | | | 7,110 | |
See accompanying Notes to the Financial Statements.
157
Barings Emerging Markets Local Currency Debt Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | |
EXPIRATION
DATE | | COUNTERPARTY | | LOCAL
CURRENCY | | | VALUE IN USD | | | IN
EXCHANGE
FOR USD | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| 1/16/18 | | BNP Paribas S.A. | | | HUF | | | | 7,938,469 | | | | 30,750 | | | | 29,583 | | | $ | 1,167 | |
| 1/16/18 | | Bank of America N.A. | | | HUF | | | | 24,028,549 | | | | 93,075 | | | | 90,100 | | | | 2,975 | |
| 1/23/18 | | JPMorgan Chase Bank N.A. | | | IDR | | | | 2,704,900,040 | | | | 199,756 | | | | 198,379 | | | | 1,377 | |
| 1/23/18 | | Goldman Sachs & Co. | | | IDR | | | | 2,123,004,000 | | | | 156,783 | | | | 156,000 | | | | 783 | |
| 1/23/18 | | Goldman Sachs & Co. | | | JPY | | | | 32,633,551 | | | | 289,948 | | | | 291,844 | | | | (1,896 | ) |
| 1/23/18 | | JPMorgan Chase Bank N.A. | | | JPY | | | | 33,127,249 | | | | 294,334 | | | | 295,000 | | | | (666 | ) |
| 1/23/18 | | JPMorgan Chase Bank N.A. | | | KZT | | | | 163,171,836 | | | | 488,620 | | | | 481,546 | | | | 7,074 | |
| 1/23/18 | | Goldman Sachs & Co. | | | KZT | | | | 98,550,000 | | | | 295,109 | | | | 292,000 | | | | 3,109 | |
| 1/9/18 | | Goldman Sachs & Co. | | | MXN | | | | 16,396,093 | | | | 837,053 | | | | 886,232 | | | | (49,179 | ) |
| 1/9/18 | | JPMorgan Chase Bank N.A. | | | MXN | | | | 2,526,754 | | | | 128,996 | | | | 132,000 | | | | (3,004 | ) |
| 1/9/18 | | BNP Paribas S.A. | | | MXN | | | | 18,840,235 | | | | 961,832 | | | | 982,764 | | | | (20,932 | ) |
| 1/23/18 | | Goldman Sachs & Co. | | | MYR | | | | 4,133,633 | | | | 1,019,643 | | | | 993,715 | | | | 25,928 | |
| 1/23/18 | | JPMorgan Chase Bank N.A. | | | NZD | | | | 205,071 | | | | 145,811 | | | | 143,853 | | | | 1,958 | |
| 1/23/18 | | Goldman Sachs & Co. | | | NZD | | | | 133,271 | | | | 94,760 | | | | 91,045 | | | | 3,715 | |
| 1/9/18 | | Goldman Sachs & Co. | | | PEN | | | | 106,173 | | | | 32,755 | | | | 32,439 | | | | 316 | |
| 1/23/18 | | Goldman Sachs & Co. | | | PHP | | | | 11,430,950 | | | | 229,220 | | | | 220,208 | | | | 9,012 | |
| 1/16/18 | | Goldman Sachs & Co. | | | PLN | | | | 1,815,126 | | | | 522,373 | | | | 502,835 | | | | 19,538 | |
| 1/16/18 | | Goldman Sachs & Co. | | | RUB | | | | 1,254,591 | | | | 21,771 | | | | 21,225 | | | | 546 | |
| 1/16/18 | | Citibank N.A. | | | SEK | | | | 100,042 | | | | 12,228 | | | | 12,000 | | | | 228 | |
| 1/16/18 | | Goldman Sachs & Co. | | | SEK | | | | 3,252,755 | | | | 397,589 | | | | 387,000 | | | | 10,589 | |
| 1/23/18 | | Goldman Sachs & Co. | | | SGD | | | | 182,082 | | | | 136,290 | | | | 134,309 | | | | 1,981 | |
| 1/23/18 | | BNP Paribas S.A. | | | THB | | | | 29,410,614 | | | | 902,934 | | | | 906,000 | | | | (3,066 | ) |
| 1/23/18 | | Citibank N.A. | | | THB | | | | 10,374,318 | | | | 318,501 | | | | 313,822 | | | | 4,679 | |
| 1/16/18 | | Bank of America N.A. | | | TRY | | | | 2,568,765 | | | | 674,695 | | | | 681,858 | | | | (7,163 | ) |
| 1/16/18 | | Citibank N.A. | | | TRY | | | | 106,702 | | | | 28,026 | | | | 27,000 | | | | 1,026 | |
| 1/16/18 | | Goldman Sachs & Co. | | | TRY | | | | 235,958 | | | | 61,975 | | | | 60,000 | | | | 1,975 | |
| 1/16/18 | | JPMorgan Chase Bank N.A. | | | TRY | | | | 202,789 | | | | 53,263 | | | | 51,000 | | | | 2,263 | |
| 1/16/18 | | BNP Paribas S.A. | | | TRY | | | | 3,167,192 | | | | 831,875 | | | | 813,000 | | | | 18,875 | |
| 1/16/18 | | JPMorgan Chase Bank N.A. | | | ZAR | | | | 934,345 | | | | 75,322 | | | | 65,306 | | | | 10,016 | |
| | | | | | | | | | | | | | | | | | | | | | |
Net unrealized appreciation on forward foreign currency exchange contracts to buy | | | $ | 50,091 | |
| | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts to Sell
| | | | | | | | | | | | | | | | | | | | | | |
EXPIRATION
DATE | | COUNTERPARTY | | LOCAL
CURRENCY | | | VALUE IN USD | | | IN
EXCHANGE
FOR USD | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| 1/23/18 | | Goldman Sachs & Co. | | | AUD | | | | 247,800 | | | | 193,823 | | | | 187,753 | | | $ | (6,070 | ) |
| 1/23/18 | | Citibank N.A. | | | AUD | | | | 250,542 | | | | 195,968 | | | | 192,000 | | | | (3,968 | ) |
| 1/16/18 | | Goldman Sachs & Co. | | | CHF | | | | 187,327 | | | | 192,392 | | | | 193,836 | | | | 1,444 | |
| 1/16/18 | | JPMorgan Chase Bank N.A. | | | CHF | | | | 190,641 | | | | 195,795 | | | | 193,000 | | | | (2,795 | ) |
| 1/9/18 | | Bank of America N.A. | | | CLP | | | | 133,465,509 | | | | 217,024 | | | | 209,358 | | | | (7,666 | ) |
| 1/9/18 | | Goldman Sachs & Co. | | | CLP | | | | 133,465,509 | | | | 217,024 | | | | 211,424 | | | | (5,600 | ) |
| 1/9/18 | | BNP Paribas S.A. | | | CLP | | | | 261,580,000 | | | | 425,347 | | | | 410,000 | | | | (15,347 | ) |
| 1/23/18 | | Bank of America N.A. | | | CNH | | | | 1,269,238 | | | | 194,728 | | | | 190,000 | | | | (4,728 | ) |
| 1/23/18 | | Goldman Sachs & Co. | | | CNH | | | | 1,284,338 | | | | 197,045 | | | | 194,000 | | | | (3,045 | ) |
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | |
EXPIRATION
DATE | | COUNTERPARTY | | LOCAL
CURRENCY | | | VALUE IN USD | | | IN
EXCHANGE
FOR USD | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| 1/9/18 | | JPMorgan Chase Bank N.A. | | | COP | | | | 452,047,740 | | | | 151,381 | | | | 151,465 | | | $ | 84 | |
| 1/16/18 | | Bank of America N.A. | | | EUR | | | | 351,933 | | | | 422,923 | | | | 417,400 | | | | (5,523 | ) |
| 1/16/18 | | JPMorgan Chase Bank N.A. | | | EUR | | | | 507,938 | | | | 610,395 | | | | 600,455 | | | | (9,940 | ) |
| 1/23/18 | | JPMorgan Chase Bank N.A. | | | HKD | | | | 3,051,830 | | | | 390,559 | | | | 391,654 | | | | 1,095 | |
| 1/23/18 | | JPMorgan Chase Bank N.A. | | | IDR | | | | 1,506,450,000 | | | | 111,251 | | | | 110,000 | | | | (1,251 | ) |
| 1/16/18 | | Bank of America N.A. | | | ILS | | | | 2,074,663 | | | | 597,892 | | | | 592,805 | | | | (5,087 | ) |
| 1/23/18 | | JPMorgan Chase Bank N.A. | | | INR | | | | 12,737,507 | | | | 199,319 | | | | 193,932 | | | | (5,387 | ) |
| 1/23/18 | | Bank of America N.A. | | | INR | | | | 6,617,760 | | | | 103,556 | | | | 102,000 | | | | (1,556 | ) |
| 1/23/18 | | BNP Paribas S.A. | | | INR | | | | 19,485,930 | | | | 304,920 | | | | 303,000 | | | | (1,920 | ) |
| 1/23/18 | | Bank of America N.A. | | | KRW | | | | 210,700,800 | | | | 197,082 | | | | 192,000 | | | | (5,082 | ) |
| 1/23/18 | | JPMorgan Chase Bank N.A. | | | KRW | | | | 213,316,600 | | | | 199,529 | | | | 196,000 | | | | (3,529 | ) |
| 1/23/18 | | Bank of America N.A. | | | KZT | | | | 36,122,890 | | | | 108,170 | | | | 105,999 | | | | (2,171 | ) |
| 1/23/18 | | Citibank N.A. | | | KZT | | | | 29,302,470 | | | | 87,747 | | | | 87,000 | | | | (747 | ) |
| 1/23/18 | | Goldman Sachs & Co. | | | MYR | | | | 1,346,814 | | | | 332,219 | | | | 326,000 | | | | (6,219 | ) |
| 1/23/18 | | Goldman Sachs & Co. | | | NZD | | | | 338,342 | | | | 240,571 | | | | 241,825 | | | | 1,254 | |
| 1/23/18 | | JPMorgan Chase Bank N.A. | | | NZD | | | | 280,579 | | | | 199,500 | | | | 192,000 | | | | (7,500 | ) |
| 1/23/18 | | State Street Bank & Trust Co. | | | NZD | | | | 283,945 | | | | 201,893 | | | | 199,000 | | | | (2,893 | ) |
| 1/9/18 | | JPMorgan Chase Bank N.A. | | | PEN | | | | 1,031,080 | | | | 318,093 | | | | 314,000 | | | | (4,093 | ) |
| 1/23/18 | | Bank of America N.A. | | | PHP | | | | 11,430,950 | | | | 229,220 | | | | 219,278 | | | | (9,942 | ) |
| 1/16/18 | | Citibank N.A. | | | RON | | | | 1,124,391 | | | | 289,170 | | | | 289,560 | | | | 390 | |
| 1/16/18 | | Goldman Sachs & Co. | | | RUB | | | | 14,639,509 | | | | 254,039 | | | | 249,026 | | | | (5,013 | ) |
| 1/16/18 | | Citibank N.A. | | | RUB | | | | 12,435,348 | | | | 215,790 | | | | 211,000 | | | | (4,790 | ) |
| 1/23/18 | | Goldman Sachs & Co. | | | SGD | | | | 182,082 | | | | 136,290 | | | | 133,668 | | | | (2,622 | ) |
| 1/16/18 | | Goldman Sachs & Co. | | | TRY | | | | 126,534 | | | | 33,235 | | | | 32,322 | | | | (913 | ) |
| 1/16/18 | | JPMorgan Chase Bank N.A. | | | TRY | | | | 970,775 | | | | 254,978 | | | | 251,081 | | | | (3,897 | ) |
| 1/16/18 | | Bank of America N.A. | | | ZAR | | | | 5,597,022 | | | | 451,200 | | | | 405,880 | | | | (45,320 | ) |
| 1/16/18 | | Goldman Sachs & Co. | | | ZAR | | | | 1,075,999 | | | | 86,741 | | | | 79,496 | | | | (7,245 | ) |
| 1/16/18 | | BNP Paribas S.A. | | | ZAR | | | | 5,447,770 | | | | 439,168 | | | | 411,000 | | | | (28,168 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Net unrealized depreciation on forward foreign currency exchange contracts to sell | | | $ | (215,760 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Currency Legend
| | | | |
| ARS | | – | | Argentine Peso |
| AUD | | – | | Australian Dollar |
| BRL | | – | | Brazilian Real |
| CHF | | – | | Swiss Franc |
| CLP | | – | | Chilean Peso |
| CNH | | – | | Chinese Yuan Renminbi |
| COP | | – | | Colombian Peso |
| CZK | | – | | Czech Koruna |
| EGP | | – | | Egyptian Pound |
| EUR | | – | | Euro |
| HKD | | – | | Hong Kong Dollar |
| HRK | | – | | Croatian Kuna |
| HUF | | – | | Hungarian Forint |
See accompanying Notes to the Financial Statements.
159
Barings Emerging Markets Local Currency Debt Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | |
| 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 |
| NZD | | – | | New Zealand Dollar |
| PEN | | – | | Peruvian Nouveau Sol |
| PHP | | – | | Philippines Peso |
| PLN | | – | | Polish Zloty |
| RON | | – | | Romanian New Leu |
| RSD | | – | | Serbian Dinar. |
| RUB | | – | | Russian Ruble |
| SEK | | – | | Swedish Krona |
| SGD | | – | | Singapore Dollar |
| THB | | – | | Thai Baht |
| TRY | | – | | Turkish New Lira |
| ZAR | | – | | South African Rand |
OTC – Interest Rate Swaps
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NOTIONAL
AMOUNT | | | PAY/RECEIVE
PAYMENT
FREQUENCY | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | | | VALUE | |
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 | | | | 3M/3M | | | $ | 36,887 | | | $ | 36,887 | |
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 | | | | 1Y/6M | | | | (8,971 | ) | | | (8,971 | ) |
Agreement with Bank of America N.A. dated 5/18/17 paying a fixed rate of 1.84% receiving the notional amount multiplied by the HUF-BUBOR rate. Expiring 11/24/27 | | HUF | | | 76,800,000 | | | | 1Y/6M | | | | (3,429 | ) | | | (3,429 | ) |
Agreement with Bank of America N.A. dated 5/18/17 paying a fixed rate of 1.73% receiving the notional amount multiplied by the HUF-BUBOR rate. Expiring 12/21/27 | | HUF | | | 67,700,000 | | | | 1YR/6M | | | | (85 | ) | | | (85 | ) |
See accompanying Notes to the Financial Statements.
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Barings Emerging Markets Local Currency Debt Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NOTIONAL
AMOUNT | | | PAY/RECEIVE
PAYMENT
FREQUENCY | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | | | VALUE | |
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 | | | | 28D/28D | | | $ | (22,736 | ) | | $ | (22,736 | ) |
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 | | | | 1YR/3M | | | | (1,856 | ) | | | (1,856 | ) |
| | | | | | | | | | | | | | | | | | |
Total OTC Interest Rate Swaps | | | | (190 | ) | | $ | (190 | ) |
| | | | | | | | | | | |
Centrally Cleared Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | |
FLOATING RATE
REFERENCE | | PAY/ RECEIVE
FLOATING
RATE | | FIXED
RATE | | | MATURITY
DATE | | | PAY/RECEIVE
PAYMENT
FREQUENCY | | | NOTIONAL
AMOUNT | | | CLEARED
EXCHANGE | | | UNREALIZED
APPRECIATION | |
MXN_TIIE
Rate | | Pay | | | 7.77 | % | | | 4/5/27 | | | | 1M/1M | | | | 14,700,000 | | | | CME | | | | (6,669 | ) |
MXN_TIIE
Rate | | Pay | | | 7.73 | % | | | 12/8/25 | | | | 28D/28D | | | | 18,100,000 | | | | CME | | | | (15,310 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Centrally Cleared Interst Rate swaps | | | | (21,979 | ) |
| | | | | |
Abbreviation Legend
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Fixed Income — 98.7%*: | |
|
Bank Loans — 1.9%*§: | |
|
Beverage, Food and Tobacco — 0.1%*: | |
Del Monte Foods, Inc., 3M LIBOR + 3.250% | | | 4.70 | % | | | 2/18/2021 | | | | 46,056 | | | | $42,033 | | | | $36,582 | |
| | | | | | | | | | | | | | | | | | | | |
|
Healthcare, Education and Childcare — 0.9%*: | |
Centene Corp., 3M LIBOR + 3.500%¤ | | | 5.19 | | | | 9/13/2018 | | | | 250,000 | | | | 250,000 | | | | 249,375 | |
| | | | | | | | | | | | | | | | | | | | |
|
Mining, Steel, Iron and Non-Precious Metals — 0.5%*: | |
Murray Energy Corp., 3M LIBOR + 7.250% | | | 8.94 | | | | 4/16/2020 | | | | 148,807 | | | | 143,698 | | | | 130,578 | |
| | | | | | | | | | | | | | | | | | | | |
|
Oil and Gas — 0.4%*: | |
Gulf Finance LLC, 3M LIBOR + 5.250% | | | 6.95 | | | | 8/25/2023 | | | | 104,153 | | | | 103,323 | | | | 93,260 | |
| | | | | | | | | | | | | | | | | | | | |
Total Bank Loans | | | | | | | | | | | 549,016 | | | | 539,054 | | | | 509,795 | |
| | | | | | | | | | | | | | | | | | | | |
Corporate Bonds — 96.8%*: | |
|
Aerospace and Defense — 2.6%*: | |
Swissport Financing Sarl+ | | | 9.75 | | | | 12/15/2022 | | | | 100,000 | | | | 132,463 | | | | 124,668 | |
TransDigm, Inc. | | | 6.38 | | | | 6/15/2026 | | | | 262,000 | | | | 259,844 | | | | 264,620 | |
Triumph Group, Inc. | | | 4.88 | | | | 4/1/2021 | | | | 38,000 | | | | 36,759 | | | | 37,335 | |
Triumph Group, Inc.^ | | | 7.75 | | | | 8/15/2025 | | | | 250,000 | | | | 250,000 | | | | 265,313 | |
| | | | | | | | | | | | | | | | | | | | |
Total Aerospace and Defense | | | | | | | | | | | 650,000 | | | | 679,066 | | | | 691,936 | |
| | | | | | | | | | | | | | | | | | | | |
|
Automobile — 3.9%*: | |
AA Bond Co. Ltd.+ | | | 5.50 | | | | 7/31/2043 | | | | 200,000 | | | | 276,734 | | | | 271,278 | |
Allison Transmission, Inc.^ | | | 4.75 | | | | 10/1/2027 | | | | 247,000 | | | | 247,000 | | | | 248,544 | |
International Automotive Components Group SA^ | | | 9.13 | | | | 6/1/2018 | | | | 178,000 | | | | 178,313 | | | | 176,220 | |
JB Poindexter & Co., Inc.^ | | | 9.00 | | | | 4/1/2022 | | | | 201,000 | | | | 209,199 | | | | 208,537 | |
RAC Bond Co. PLC+ | | | 5.00 | | | | 11/6/2022 | | | | 100,000 | | | | 128,880 | | | | 134,444 | |
| | | | | | | | | | | | | | | | | | | | |
Total Automobile | | | | | | | | | | | 926,000 | | | | 1,040,126 | | | | 1,039,023 | |
| | | | | | | | | | | | | | | | | | | | |
|
Beverage, Food and Tobacco — 3.5%*: | |
Boparan Finance PLC+ | | | 5.50 | | | | 7/15/2021 | | | | 150,000 | | | | 188,470 | | | | 182,667 | |
JBS USA LUX SA/JBS USA Finance, Inc.^ | | | 5.88 | | | | 7/15/2024 | | | | 137,000 | | | | 140,611 | | | | 132,376 | |
JBS USA LUX SA/JBS USA Finance, Inc.^ | | | 8.25 | | | | 2/1/2020 | | | | 114,000 | | | | 115,512 | | | | 114,342 | |
KeHE Distributors LLC/KeHE Finance Corp.^ | | | 7.63 | | | | 8/15/2021 | | | | 150,000 | | | | 151,271 | | | | 150,375 | |
Pilgrim’s Pride Corp.^ | | | 5.88 | | | | 9/30/2027 | | | | 200,000 | | | | 200,000 | | | | 206,000 | |
Premier Foods Finance PLC+ | | | 6.50 | | | | 3/15/2021 | | | | 100,000 | | | | 146,216 | | | | 137,378 | |
| | | | | | | | | | | | | | | | | | | | |
Total Beverage, Food and Tobacco | | | | | | | | | | | 851,000 | | | | 942,080 | | | | 923,138 | |
| | | | | | | | | | | | | | | | | | | | |
|
Broadcasting and Entertainment — 5.2%*: | |
CCO Holdings LLC/CCO Holdings Capital Corp.^ | | | 5.00 | | | | 2/1/2028 | | | | 300,000 | | | | 300,282 | | | | 291,750 | |
CCO Holdings LLC/CCO Holdings Capital Corp.^ | | | 5.75 | | | | 2/15/2026 | | | | 250,000 | | | | 250,000 | | | | 259,687 | |
Clear Channel Worldwide Holdings, Inc. | | | 7.63 | | | | 3/15/2020 | | | | 245,000 | | | | 244,047 | | | | 239,850 | |
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | |
|
Broadcasting and Entertainment (Continued) | |
DISH DBS Corp. | | | 7.75 | % | | | 7/1/2026 | | | | 216,000 | | | $ | 216,000 | | | $ | 227,070 | |
Sirius XM Radio, Inc.^ | | | 5.00 | | | | 8/1/2027 | | | | 229,000 | | | | 229,000 | | | | 229,573 | |
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH+ | | | 6.25 | | | | 1/15/2029 | | | | 100,000 | | | | 117,537 | | | | 134,621 | |
| | | | | | | | | | | | | | | | | | | | |
Total Broadcasting and Entertainment | | | | | | | | | | | 1,340,000 | | | | 1,356,866 | | | | 1,382,551 | |
| | | | | | | | | | | | | | | | | | | | |
|
Buildings and Real Estate — 1.9%*: | |
Beacon Escrow Corp.^ | | | 4.88 | | | | 11/1/2025 | | | | 250,000 | | | | 250,000 | | | | 250,937 | |
Standard Industries, Inc.^ | | | 4.75 | | | | 1/15/2028 | | | | 250,000 | | | | 250,000 | | | | 250,578 | |
| | | | | | | | | | | | | | | | | | | | |
Total Buildings and Real Estate | | | | | | | | | | | 500,000 | | | | 500,000 | | | | 501,515 | |
| | | | | | | | | | | | | | | | | | | | |
|
Cargo Transport — 4.7%*: | |
American Airlines Group, Inc.^ | | | 5.50 | | | | 10/1/2019 | | | | 265,000 | | | | 268,190 | | | | 272,288 | |
Deck Chassis Acquisition, Inc.^ | | | 10.00 | | | | 6/15/2023 | | | | 387,000 | | | | 393,742 | | | | 430,537 | |
Kenan Advantage Group, Inc.^ | | | 7.88 | | | | 7/31/2023 | | | | 400,000 | | | | 411,159 | | | | 414,000 | |
WFS Global Holding SAS+ | | | 9.50 | | | | 7/15/2022 | | | | 100,000 | | | | 111,351 | | | | 127,886 | |
| | | | | | | | | | | | | | | | | | | | |
Total Cargo Transport | | | | | | | | | | | 1,152,000 | | | | 1,184,442 | | | | 1,244,711 | |
| | | | | | | | | | | | | | | | | | | | |
|
Chemicals, Plastics and Rubber — 4.4%*: | |
Chemours Co. (The) | | | 5.38 | | | | 5/15/2027 | | | | 156,000 | | | | 154,589 | | | | 161,460 | |
Chemours Co. (The) | | | 7.00 | | | | 5/15/2025 | | | | 88,000 | | | | 89,008 | | | | 95,480 | |
Consolidated Energy Finance SA^ | | | 6.88 | | | | 6/15/2025 | | | | 300,000 | | | | 298,580 | | | | 318,000 | |
Huntsman International LLC | | | 4.25 | | | | 4/1/2025 | | | | 100,000 | | | | 130,266 | | | | 136,682 | |
INEOS Group Holdings SA+ | | | 5.38 | | | | 8/1/2024 | | | | 100,000 | | | | 110,725 | | | | 127,970 | |
LBC Tank Terminals Holding Netherlands BV^ | | | 6.88 | | | | 5/15/2023 | | | | 215,000 | | | | 208,500 | | | | 223,869 | |
Monitchem HoldCo 2 SA+ | | | 6.88 | | | | 6/15/2022 | | | | 100,000 | | | | 98,702 | | | | 109,917 | |
| | | | | | | | | | | | | | | | | | | | |
Total Chemicals, Plastics and Rubber | | | | | | | | | | | 1,059,000 | | | | 1,090,370 | | | | 1,173,378 | |
| | | | | | | | | | | | | | | | | | | | |
|
Containers, Packaging and Glass — 3.3%*: | |
Coveris Holdings SA^ | | | 7.88 | | | | 11/1/2019 | | | | 572,000 | | | | 558,092 | | | | 567,710 | |
Horizon Holdings I SASU+ | | | 7.25 | | | | 8/1/2023 | | | | 100,000 | | | | 115,502 | | | | 127,034 | |
SIG Combibloc Holdings SCA+ | | | 7.75 | | | | 2/15/2023 | | | | 150,000 | | | | 171,089 | | | | 187,792 | |
| | | | | | | | | | | | | | | | | | | | |
Total Containers, Packaging and Glass | | | | | | | | | | | 822,000 | | | | 844,683 | | | | 882,536 | |
| | | | | | | | | | | | | | | | | | | | |
|
Diversified/Conglomerate Manufacturing — 1.2%*: | |
Amsted Industries, Inc.^ | | | 5.38 | | | | 9/15/2024 | | | | 46,000 | | | | 45,896 | | | | 47,840 | |
Appvion, Inc.^~ | | | 9.00 | | | | 6/1/2020 | | | | 327,000 | | | | 213,682 | | | | 49,050 | |
EnPro Industries, Inc. | | | 5.88 | | | | 9/15/2022 | | | | 221,000 | | | | 222,604 | | | | 230,116 | |
| | | | | | | | | | | | | | | | | | | | |
Total Diversified/Conglomerate Manufacturing | | | | | | | | | | | 594,000 | | | | 482,182 | | | | 327,006 | |
| | | | | | | | | | | | | | | | | | | | |
|
Diversified/Conglomerate Service — 6.0%*: | |
APTIM Corp.^ | | | 7.75 | | | | 6/15/2025 | | | | 156,000 | | | | 156,000 | | | | 148,980 | |
Carlson Travel, Inc.^ | | | 9.50 | | | | 12/15/2024 | | | | 280,000 | | | | 280,000 | | | | 225,400 | |
Iron Mountain UK PLC | | | 3.88 | | | | 11/15/2025 | | | | 100,000 | | | | 132,815 | | | | 132,085 | |
See accompanying Notes to the Financial Statements.
163
Barings Global High Yield Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | |
|
Diversified/Conglomerate Service (Continued) | |
Loxam SAS+ | | | 6.00 | % | | | 4/15/2025 | | | | 100,000 | | | $ | 107,720 | | | $ | 130,434 | |
Prime Security Services Borrower LLC/Prime Finance, Inc.^ | | | 9.25 | | | | 5/15/2023 | | | | 250,000 | | | | 250,000 | | | | 277,500 | |
United Rentals North America, Inc. | | | 4.63 | | | | 10/15/2025 | | | | 125,000 | | | | 125,000 | | | | 125,938 | |
United Rentals North America, Inc. | | | 4.88 | | | | 1/15/2028 | | | | 125,000 | | | | 125,306 | | | | 125,625 | |
Verisure Midholding AB+ | | | 5.75 | | | | 12/1/2023 | | | | 150,000 | | | | 176,872 | | | | 181,208 | |
Zachry Holdings, Inc.^ | | | 7.50 | | | | 2/1/2020 | | | | 250,000 | | | | 251,652 | | | | 253,750 | |
| | | | | | | | | | | | | | | | | | | | |
Total Diversified/Conglomerate Service | | | | | | | | | | | 1,536,000 | | | | 1,605,365 | | | | 1,600,920 | |
| | | | | | | | | | | | | | | | | | | | |
|
Electronics — 1.8%*: | |
j2 Cloud Services LLC/j2 Global Co-Obligor, Inc.^ | | | 6.00 | | | | 7/15/2025 | | | | 95,000 | | | | 95,000 | | | | 99,987 | |
TIBCO Software, Inc.^ | | | 11.38 | | | | 12/1/2021 | | | | 339,000 | | | | 367,522 | | | | 369,300 | |
| | | | | | | | | | | | | | | | | | | | |
Total Electronics | | | | | | | | | | | 434,000 | | | | 462,522 | | | | 469,287 | |
| | | | | | | | | | | | | | | | | | | | |
|
Finance — 7.9%*: | |
Aircastle Ltd. | | | 4.13 | | | | 5/1/2024 | | | | 250,000 | | | | 250,000 | | | | 253,750 | |
Aircastle Ltd. | | | 5.00 | | | | 4/1/2023 | | | | 19,000 | | | | 19,867 | | | | 20,021 | |
Aircastle Ltd. | | | 5.50 | | | | 2/15/2022 | | | | 19,000 | | | | 20,184 | | | | 20,354 | |
Arrow Global Finance PLC+ | | | 5.13 | | | | 9/15/2024 | | | | 100,000 | | | | 118,905 | | | | 136,332 | |
Cabot Financial Luxembourg SA+ | | | 7.50 | | | | 10/1/2023 | | | | 100,000 | | | | 135,422 | | | | 141,226 | |
Galaxy Finco Ltd.+ | | | 7.88 | | | | 11/15/2021 | | | | 250,000 | | | | 381,173 | | | | 337,960 | |
Garfunkelux Holdco 3 S.A.+ | | | 8.50 | | | | 11/1/2022 | | | | 300,000 | | | | 448,651 | | | | 423,272 | |
Jerrold Finco PLC+ | | | 6.13 | | | | 1/15/2024 | | | | 100,000 | | | | 124,555 | | | | 137,580 | |
LPL Holdings, Inc.^ | | | 5.75 | | | | 9/15/2025 | | | | 300,000 | | | | 300,000 | | | | 305,250 | |
Veritas US, Inc./Veritas Bermuda Ltd.^ | | | 10.50 | | | | 2/1/2024 | | | | 200,000 | | | | 215,866 | | | | 208,000 | |
VFH Parent LLC/Orchestra Co-Issuer, Inc.^ | | | 6.75 | | | | 6/15/2022 | | | | 102,000 | | | | 102,000 | | | | 107,355 | |
| | | | | | | | | | | | | | | | | | | | |
Total Finance | | | | | | | | | | | 1,740,000 | | | | 2,116,623 | | | | 2,091,100 | |
| | | | | | | | | | | | | | | | | | | | |
|
Grocery — 0.8%*: | |
Post Holdings, Inc.^ | | | 5.75 | | | | 3/1/2027 | | | | 200,000 | | | | 200,000 | | | | 203,500 | |
| | | | | | | | | | | | | | | | | | | | |
|
Healthcare, Education and Childcare — 8.3%*: | |
Avantor, Inc.^ | | | 9.00 | | | | 10/1/2025 | | | | 220,000 | | | | 220,000 | | | | 216,700 | |
Catalent Pharma Solutions, Inc.^ | | | 4.88 | | | | 1/15/2026 | | | | 227,000 | | | | 227,000 | | | | 227,851 | |
CHS/Community Health Systems, Inc. | | | 6.25 | | | | 3/31/2023 | | | | 177,000 | | | | 177,000 | | | | 159,300 | |
Cognita Financing PLC+ | | | 7.75 | | | | 8/15/2021 | | | | 100,000 | | | | 134,546 | | | | 139,673 | |
HCA, Inc. | | | 5.38 | | | | 2/1/2025 | | | | 200,000 | | | | 202,828 | | | | 207,000 | |
IDH Finance PLC+ | | | 6.25 | | | | 8/15/2022 | | | | 100,000 | | | | 131,025 | | | | 123,464 | |
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA^ | | | 6.63 | | | | 5/15/2022 | | | | 220,000 | | | | 209,341 | | | | 221,100 | |
Valeant Pharmaceuticals International, Inc.^ | | | 5.50 | | | | 3/1/2023 | | | | 101,000 | | | | 76,718 | | | | 92,415 | |
Valeant Pharmaceuticals International, Inc.^ | | | 5.88 | | | | 5/15/2023 | | | | 42,000 | | | | 35,130 | | | | 38,955 | |
Valeant Pharmaceuticals International, Inc.^ | | | 6.13 | | | | 4/15/2025 | | | | 224,000 | | | | 196,814 | | | | 204,960 | |
Valeant Pharmaceuticals International, Inc.^ | | | 6.50 | | | | 3/15/2022 | | | | 118,000 | | | | 118,000 | | | | 123,900 | |
See accompanying Notes to the Financial Statements.
164
Barings Global High Yield Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | |
|
Healthcare, Education and Childcare (Continued) | |
Valeant Pharmaceuticals International, Inc.^ | | | 7.00 | % | | | 3/15/2024 | | | | 125,000 | | | $ | 125,000 | | | $ | 133,750 | |
West Street Merger Sub, Inc.^ | | | 6.38 | | | | 9/1/2025 | | | | 300,000 | | | | 300,000 | | | | 300,750 | |
| | | | | | | | | | | | | | | | | | | | |
Total Healthcare, Education and Childcare | | | | | | | | | | | 2,154,000 | | | | 2,153,402 | | | | 2,189,818 | |
| | | | | | | | | | | | | | | | | | | | |
|
Hotels, Motels, Inns and Gaming — 1.5%*: | |
TVL Finance PLC+ | | | 8.50 | | | | 5/15/2023 | | | | 180,000 | | | | 255,495 | | | | 264,170 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.^ | | | 5.25 | | | | 5/15/2027 | | | | 125,000 | | | | 125,000 | | | | 126,719 | |
| | | | | | | | | | | | | | | | | | | | |
Total Hotels, Motels, Inns and Gaming | | | | | | | | | | | 305,000 | | | | 380,495 | | | | 390,889 | |
| | | | | | | | | | | | | | | | | | | | |
|
Insurance — 2.0%*: | |
Acrisure LLC/Acrisure Finance, Inc.^ | | | 7.00 | | | | 11/15/2025 | | | | 250,000 | | | | 250,000 | | | | 240,940 | |
AssuredPartners, Inc.^ | | | 7.00 | | | | 8/15/2025 | | | | 286,000 | | | | 286,000 | | | | 284,570 | |
| | | | | | | | | | | | | | | | | | | | |
Total Insurance | | | | | | | | | | | 536,000 | | | | 536,000 | | | | 525,510 | |
| | | | | | | | | | | | | | | | | | | | |
|
Leisure, Amusement, Entertainment — 6.5%*: | |
AMC Entertainment Holdings, Inc. | | | 6.38 | | | | 11/15/2024 | | | | 200,000 | | | | 254,832 | | | | 270,813 | |
Brunswick Corp. | | | 7.13 | | | | 8/1/2027 | | | | 817,000 | | | | 864,041 | | | | 978,029 | |
Perform Group Financing PLC+ | | | 8.50 | | | | 11/15/2020 | | | | 100,000 | | | | 150,121 | | | | 139,066 | |
WMG Acquisition Corp.^ | | | 5.00 | | | | 8/1/2023 | | | | 160,000 | | | | 160,000 | | | | 165,600 | |
WMG Acquisition Corp.^ | | | 6.75 | | | | 4/15/2022 | | | | 150,000 | | | | 150,872 | | | | 156,750 | |
| | | | | | | | | | | | | | | | | | | | |
Total Leisure, Amusement, Entertainment | | | | | | | | | | | 1,427,000 | | | | 1,579,866 | | | | 1,710,258 | |
| | | | | | | | | | | | | | | | | | | | |
|
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 0.3%*: | |
Apex Tool Group LLC^ | | | 7.00 | | | | 2/1/2021 | | | | 75,000 | | | | 70,821 | | | | 72,187 | |
| | | | | | | | | | | | | | | | | | | | |
|
Mining, Steel, Iron and Non-Precious Metals — 8.2%*: | |
Allegheny Technologies, Inc. | | | 5.95 | | | | 1/15/2021 | | | | 260,000 | | | | 260,903 | | | | 265,200 | |
Alliance Resource Operating Partners LP/Alliance Resource Finance Corp.^ | | | 7.50 | | | | 5/1/2025 | | | | 215,000 | | | | 215,000 | | | | 228,437 | |
ArcelorMittal | | | 7.25 | | | | 3/1/2041 | | | | 165,000 | | | | 192,293 | | | | 208,725 | |
Big River Steel LLC/BRS Finance Corp.^ | | | 7.25 | | | | 9/1/2025 | | | | 250,000 | | | | 250,000 | | | | 264,375 | |
Constellium NV | | | 4.25 | | | | 2/15/2026 | | | | 100,000 | | | | 118,099 | | | | 119,997 | |
Hecla Mining Co. | | | 6.88 | | | | 5/1/2021 | | | | 250,000 | | | | 224,367 | | | | 256,250 | |
Kinross Gold Corp.+ | | | 5.95 | | | | 3/15/2024 | | | | 127,000 | | | | 131,869 | | | | 139,224 | |
Kinross Gold Corp. | | | 6.88 | | | | 9/1/2041 | | | | 82,000 | | | | 81,598 | | | | 92,762 | |
Northwest Acquisitions ULC/Dominion Finco, Inc.^+ | | | 7.13 | | | | 11/1/2022 | | | | 83,000 | | | | 82,167 | | | | 85,698 | |
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.^ | | | 7.50 | | | | 6/15/2025 | | | | 250,000 | | | | 246,491 | | | | 261,250 | |
Warrior Met Coal, Inc.^ | | | 8.00 | | | | 11/1/2024 | | | | 240,000 | | | | 240,000 | | | | 247,800 | |
| | | | | | | | | | | | | | | | | | | | |
Total Mining, Steel, Iron and Non-Precious Metals | | | | | | | | | | | 2,022,000 | | | | 2,042,787 | | | | 2,169,718 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
165
Barings Global High Yield Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | |
|
Oil and Gas — 14.5%*: | |
Chesapeake Energy Corp.^ | | | 8.00 | % | | | 1/15/2025 | | | | 200,000 | | | $ | 197,324 | | | $ | 202,000 | |
Chesapeake Energy Corp.^ | | | 8.00 | | | | 6/15/2027 | | | | 125,000 | | | | 125,000 | | | | 120,000 | |
Citgo Holding, Inc.^ | | | 10.75 | | | | 2/15/2020 | | | | 341,000 | | | | 343,833 | | | | 365,722 | |
Energy Transfer Equity LP | | | 4.25 | | | | 3/15/2023 | | | | 250,000 | | | | 250,000 | | | | 248,125 | |
EP Energy LLC/Everest Acquisition Finance, Inc.^ | | | 8.00 | | | | 2/15/2025 | | | | 314,000 | | | | 314,000 | | | | 229,220 | |
EP Energy LLC/Everest Acquisition Finance, Inc. | | | 9.38 | | | | 5/1/2020 | | | | 58,000 | | | | 54,600 | | | | 49,010 | |
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp. | | | 8.63 | | | | 6/15/2020 | | | | 500,000 | | | | 493,489 | | | | 426,250 | |
Genesis Energy LP/Genesis Energy Finance Corp. | | | 6.50 | | | | 10/1/2025 | | | | 300,000 | | | | 300,000 | | | | 304,500 | |
Jonah Energy LLC/Jonah Energy Finance Corp.^ | | | 7.25 | | | | 10/15/2025 | | | | 250,000 | | | | 250,000 | | | | 251,875 | |
Jupiter Resources, Inc.+^ | | | 8.50 | | | | 10/1/2022 | | | | 405,000 | | | | 333,097 | | | | 251,100 | |
KCA Deutag UK Finance PLC+^ | | | 9.88 | | | | 4/1/2022 | | | | 100,000 | | | | 102,931 | | | | 106,000 | |
Kosmos Energy Ltd.^+ | | | 7.88 | | | | 8/1/2021 | | | | 450,000 | | | | 432,365 | | | | 460,125 | |
NGPL PipeCo LLC^ | | | 4.38 | | | | 8/15/2022 | | | | 56,000 | | | | 56,000 | | | | 56,945 | |
NGPL PipeCo LLC^ | | | 4.88 | | | | 8/15/2027 | | | | 65,000 | | | | 65,000 | | | | 67,438 | |
Rowan Cos., Inc. | | | 7.38 | | | | 6/15/2025 | | | | 188,000 | | | | 188,000 | | | | 191,290 | |
Transocean, Inc. | | | 6.80 | | | | 3/15/2038 | | | | 42,000 | | | | 33,642 | | | | 33,705 | |
Transocean, Inc. | | | 9.35 | | | | 12/15/2041 | | | | 32,000 | | | | 29,774 | | | | 30,960 | |
Tullow Oil PLC+^ | | | 6.25 | | | | 4/15/2022 | | | | 250,000 | | | | 207,334 | | | | 250,950 | |
Welltec A/S^+ | | | 9.50 | | | | 12/1/2022 | | | | 200,000 | | | | 198,081 | | | | 201,000 | |
| | | | | | | | | | | | | | | | | | | | |
Total Oil and Gas | | | | | | | | | | | 4,126,000 | | | | 3,974,470 | | | | 3,846,215 | |
| | | | | | | | | | | | | | | | | | | | |
|
Personal Transportation — 1.0%*: | |
Hertz Corp. (The)^ | | | 7.63 | | | | 6/1/2022 | | | | 250,000 | | | | 250,000 | | | | 261,875 | |
| | | | | | | | | | | | | | | | | | | | |
|
Personal, Food and Miscellaneous — 0.5%*: | |
Ocado Group PLC+ | | | 4.00 | | | | 6/15/2024 | | | | 100,000 | | | | 128,127 | | | | 134,330 | |
| | | | | | | | | | | | | | | | | | | | |
|
Retail Stores — 2.2%*: | |
HSS Financing PLC+ | | | 6.75 | | | | 8/1/2019 | | | | 68,000 | | | | 98,064 | | | | 84,465 | |
Maxeda DIY Holding B.V.+ | | | 6.13 | | | | 7/15/2022 | | | | 100,000 | | | | 114,070 | | | | 120,679 | |
Penske Automotive Group, Inc. | | | 5.50 | | | | 5/15/2026 | | | | 250,000 | | | | 250,000 | | | | 253,675 | |
Travelex Financing PLC+ | | | 8.00 | | | | 5/15/2022 | | | | 100,000 | | | | 108,750 | | | | 121,545 | |
| | | | | | | | | | | | | | | | | | | | |
Total Retail Stores | | | | | | | | | | | 518,000 | | | | 570,884 | | | | 580,364 | |
| | | | | | | | | | | | | | | | | | | | |
|
Telecommunications — 4.1%*: | |
Altice Luxembourg SA+ | | | 6.25 | | | | 2/15/2025 | | | | 100,000 | | | | 113,593 | | | | 117,585 | |
Sprint Communications, Inc. | | | 7.00 | | | | 8/15/2020 | | | | 75,000 | | | | 74,357 | | | | 79,500 | |
Sprint Corp. | | | 7.88 | | | | 9/15/2023 | | | | 452,000 | | | | 437,090 | | | | 481,380 | |
Telecom Italia SpA/Milano+ | | | 5.88 | | | | 5/19/2023 | | | | 100,000 | | | | 151,790 | | | | 157,672 | |
UPCB Finance IV Ltd.+ | | | 4.00 | | | | 1/15/2027 | | | | 100,000 | | | | 108,320 | | | | 127,058 | |
Ziggo Bond Finance BV+ | | | 4.63 | | | | 1/15/2025 | | | | 100,000 | | | | 103,687 | | | | 123,566 | |
| | | | | | | | | | | | | | | | | | | | |
Total Telecommunications | | | | | | | | | | | 927,000 | | | | 988,837 | | | | 1,086,761 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
166
Barings Global High Yield Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | |
|
Utilities — 0.5%*: | |
Viridian Group Finance Co. PLC+ | | | 4.75 | % | | | 9/15/2024 | | | | 100,000 | | | $ | 132,000 | | | $ | 133,565 | |
| | | | | | | | | | | | | | | | | | | | |
Total Corporate Bonds | | | | | | | | | | | 24,344,000 | | | | 25,312,014 | | | | 25,632,091 | |
| | | | | | | | | | | | | | | | | | | | |
Total Fixed Income | | | | | | | | | | | 24,893,016 | | | | 25,851,068 | | | | 26,141,886 | |
| | | | | | | | | | | | | | | | | | | | |
Short-Term Investments — 0.3%*: | |
|
Bank Deposit — 0.3%*: | |
State Street Bank & Trust Co. Euro Time Deposit | | | 0.12 | | | | 1/2/2018 | | | | 86,325 | | | | 86,325 | | | | 86,325 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | 24,979,341 | | | | 25,937,393 | | | | 26,228,211 | |
| | | | | | | | | | | | | | | | | | | | |
| |
Other assets and liabilities — 1.0%* | | | | 270,273 | |
| |
Net Assets — 100.0% | | | | $26,498,484 | |
| | | | | | | | | | | | | | | | | | | | |
| ‡‡ | | Unless otherwise indicated, all principal amounts are denominated in United States Dollars. |
| * | | Calculated as a percentage of net assets applicable to common shareholders. |
Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:
| | | | | | |
| | United States | | | 75.4% | |
| | United Kingdom | | | 12.0% | |
| | Ghana | | | 2.7% | |
| | France | | | 1.9% | |
| | Canada | | | 1.8% | |
| | Switzerland | | | 1.7% | |
| | Other (Individually less than 1%) | | | 4.5% | |
| | | | | | |
| | 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 December 31, 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). |
See accompanying Notes to the Financial Statements.
167
Barings Global High Yield Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
A summary of outstanding derivatives at December 31, 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 | |
| 1/8/18 | | Goldman Sachs & Co. | | | EUR | | | | 6,796 | | | | 8,157 | | | | 8,090 | | | $ | 67 | |
| | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts to Sell
| | | | | | | | | | | | | | | | | | | | | | |
EXPIRATION
DATE | | COUNTERPARTY | | LOCAL
CURRENCY | | | VALUE IN USD | | | IN
EXCHANGE
FOR USD | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| 1/8/18 | | Bank of America N.A. | | | EUR | | | | 1,817,190 | | | | 2,181,003 | | | | 2,171,475 | | | $ | (9,528 | ) |
| 1/8/18 | | Goldman Sachs & Co. | | | GBP | | | | 2,636,471 | | | | 3,560,180 | | | | 3,568,698 | | | | 8,518 | |
| | | | | | | | | | | | | | | | | | | | | | |
Net unrealized depreciation on forward foreign currency exchange contracts to sell | | | $ | (1,010 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Currency Legend
| | | | |
| EUR | | – | | Euro |
| GBP | | – | | British Pound Sterling |
See accompanying Notes to the Financial Statements.
168
Barings U.S. High Yield Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Fixed Income — 96.3%*: | |
|
Bank Loans — 2.5%*§: | |
|
Beverage, Food and Tobacco — 0.1%*: | |
Del Monte Foods, Inc., 3M LIBOR + 3.250% | | | 4.70 | % | | | 2/18/2021 | | | | 46,056 | | | | $42,033 | | | | $36,582 | |
| | | | | | | | | | | | | | | | | | | | |
|
Healthcare, Education and Childcare — 0.8%*: | |
Centene Corp., 3M LIBOR + 3.500%¤ | | | 5.19 | | | | 9/13/2018 | | | | 250,000 | | | | 250,000 | | | | 249,375 | |
| | | | | | | | | | | | | | | | | | | | |
|
Mining, Steel, Iron and Non-Precious Metals — 0.4%*: | |
Murray Energy Corp., 3M LIBOR + 7.250% | | | 8.94 | | | | 4/16/2020 | | | | 148,807 | | | | 143,698 | | | | 130,578 | |
| | | | | | | | | | | | | | | | | | | | |
|
Oil and Gas — 1.2%*: | |
Fieldwood Energy LLC PIK, 3M LIBOR + 7.000% | | | 8.69 | | | | 8/31/2020 | | | | 172,215 | | | | 159,474 | | | | 154,994 | |
Fieldwood Energy LLC PIK, 3M LIBOR + 7.125% | | | 8.82 | | | | 9/30/2020 | | | | 364,000 | | | | 225,813 | | | | 150,438 | |
Gulf Finance LLC, 3M LIBOR + 5.250% | | | 6.95 | | | | 8/25/2023 | | | | 104,153 | | | | 103,323 | | | | 93,260 | |
| | | | | | | | | | | | | | | | | | | | |
Total Oil and Gas | | | | | | | | | | | 640,368 | | | | 488,610 | | | | 398,692 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Bank Loans | | | | | | | | | | | 1,085,231 | | | | 924,341 | | | | 815,227 | |
| | | | | | | | | | | | | | | | | | | | |
|
Corporate Bonds — 93.8%*: | |
|
Aerospace and Defense — 1.9%*: | |
TransDigm, Inc. | | | 6.38 | | | | 6/15/2026 | | | | 307,000 | | | | 304,473 | | | | 310,070 | |
Triumph Group, Inc. | | | 4.88 | | | | 4/1/2021 | | | | 43,000 | | | | 41,596 | | | | 42,248 | |
Triumph Group, Inc.^ | | | 7.75 | | | | 8/15/2025 | | | | 250,000 | | | | 250,000 | | | | 265,312 | |
| | | | | | | | | | | | | | | | | | | | |
Total Aerospace and Defense | | | | | | | | | | | 600,000 | | | | 596,069 | | | | 617,630 | |
| | | | | | | | | | | | | | | | | | | | |
|
Automobile — 3.6%*: | |
Allison Transmission, Inc.^ | | | 4.75 | | | | 10/1/2027 | | | | 247,000 | | | | 247,000 | | | | 248,544 | |
Allison Transmission, Inc.^ | | | 5.00 | | | | 10/1/2024 | | | | 176,000 | | | | 176,000 | | | | 181,500 | |
Gates Global LLC/Gates Global Co.^ | | | 6.00 | | | | 7/15/2022 | | | | 25,000 | | | | 20,458 | | | | 25,563 | |
International Automotive Components Group SA^ | | | 9.13 | | | | 6/1/2018 | | | | 170,000 | | | | 170,299 | | | | 168,300 | |
JB Poindexter & Co., Inc.^ | | | 9.00 | | | | 4/1/2022 | | | | 329,000 | | | | 342,415 | | | | 341,337 | |
Wabash National Corp.^ | | | 5.50 | | | | 10/1/2025 | | | | 204,000 | | | | 204,000 | | | | 205,530 | |
| | | | | | | | | | | | | | | | | | | | |
Total Automobile | | | | | | | | | | | 1,151,000 | | | | 1,160,172 | | | | 1,170,774 | |
| | | | | | | | | | | | | | | | | | | | |
|
Beverage, Food and Tobacco — 3.1%*: | |
Carrols Restaurant Group, Inc. | | | 8.00 | | | | 5/1/2022 | | | | 260,000 | | | | 271,357 | | | | 273,650 | |
JBS USA LUX SA/JBS USA Finance, Inc.^ | | | 5.88 | | | | 7/15/2024 | | | | 165,000 | | | | 169,351 | | | | 159,431 | |
JBS USA LUX SA/JBS USA Finance, Inc.^ | | | 8.25 | | | | 2/1/2020 | | | | 135,000 | | | | 136,790 | | | | 135,405 | |
KeHE Distributors LLC/KeHE Finance Corp.^ | | | 7.63 | | | | 8/15/2021 | | | | 203,000 | | | | 200,846 | | | | 203,508 | |
Pilgrim’s Pride Corp.^ | | | 5.88 | | | | 9/30/2027 | | | | 225,000 | | | | 225,000 | | | | 231,750 | |
| | | | | | | | | | | | | | | | | | | | |
Total Beverage, Food and Tobacco | | | | | | | | | | | 988,000 | | | | 1,003,344 | | | | 1,003,744 | |
| | | | | | | | | | | | | | | | | | | | |
|
Broadcasting and Entertainment — 6.2%*: | |
Block Communications, Inc.^ | | | 6.88 | | | | 2/15/2025 | | | | 434,000 | | | | 434,000 | | | | 454,615 | |
CCO Holdings LLC/CCO Holdings Capital Corp.^ | | | 5.00 | | | | 2/1/2028 | | | | 124,000 | | | | 122,169 | | | | 120,590 | |
See accompanying Notes to the Financial Statements.
169
Barings U.S. High Yield Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | |
|
Broadcasting and Entertainment (Continued) | |
CCO Holdings LLC/CCO Holdings Capital Corp.^ | | | 5.75 | % | | | 2/15/2026 | | | | 500,000 | | | $ | 500,000 | | | $ | 519,375 | |
Clear Channel Worldwide Holdings, Inc. | | | 7.63 | | | | 3/15/2020 | | | | 275,000 | | | | 272,359 | | | | 269,219 | |
DISH DBS Corp. | | | 7.75 | | | | 7/1/2026 | | | | 316,000 | | | | 316,000 | | | | 332,195 | |
Sirius XM Radio, Inc.^ | | | 5.00 | | | | 8/1/2027 | | | | 350,000 | | | | 350,000 | | | | 350,875 | |
| | | | | | | | | | | | | | | | | | | | |
Total Broadcasting and Entertainment | | | | | | | | | | | 1,999,000 | | | | 1,994,528 | | | | 2,046,869 | |
| | | | | | | | | | | | | | | | | | | | |
|
Buildings and Real Estate — 5.5%*: | |
Beacon Escrow Corp.^ | | | 4.88 | | | | 11/1/2025 | | | | 250,000 | | | | 250,000 | | | | 250,937 | |
Brookfield Residential Properties, Inc.^ | | | 6.50 | | | | 12/15/2020 | | | | 250,000 | | | | 249,613 | | | | 255,000 | |
Century Communities, Inc. | | | 5.88 | | | | 7/15/2025 | | | | 250,000 | | | | 249,704 | | | | 251,250 | |
Jeld-Wen, Inc.^ | | | 4.63 | | | | 12/15/2025 | | | | 69,000 | | | | 69,000 | | | | 69,518 | |
Jeld-Wen, Inc.^ | | | 4.88 | | | | 12/15/2027 | | | | 118,000 | | | | 118,000 | | | | 119,180 | |
M/I Homes, Inc. | | | 6.75 | | | | 1/15/2021 | | | | 250,000 | | | | 250,000 | | | | 258,750 | |
MPT Operating Partnership LP/MPT Finance Corp. | | | 5.00 | | | | 10/15/2027 | | | | 300,000 | | | | 300,000 | | | | 305,625 | |
Standard Industries, Inc.^ | | | 4.75 | | | | 1/15/2028 | | | | 300,000 | | | | 300,000 | | | | 300,693 | |
| | | | | | | | | | | | | | | | | | | | |
Total Buildings and Real Estate | | | | | | | | | | | 1,787,000 | | | | 1,786,317 | | | | 1,810,953 | |
| | | | | | | | | | | | | | | | | | | | |
|
Cargo Transport — 4.6%*: | |
American Airlines Group, Inc.^ | | | 4.63 | | | | 3/1/2020 | | | | 250,000 | | | | 249,343 | | | | 254,062 | |
American Airlines Group, Inc.^ | | | 5.50 | | | | 10/1/2019 | | | | 282,000 | | | | 286,101 | | | | 289,755 | |
Deck Chassis Acquisition, Inc.^ | | | 10.00 | | | | 6/15/2023 | | | | 454,000 | | | | 463,427 | | | | 505,075 | |
Kenan Advantage Group, Inc.^ | | | 7.88 | | | | 7/31/2023 | | | | 450,000 | | | | 463,090 | | | | 465,750 | |
| | | | | | | | | | | | | | | | | | | | |
Total Cargo Transport | | | | | | | | | | | 1,436,000 | | | | 1,461,961 | | | | 1,514,642 | |
| | | | | | | | | | | | | | | | | | | | |
|
Chemicals, Plastics and Rubber — 4.6%*: | |
A Schulman, Inc. | | | 6.88 | | | | 6/1/2023 | | | | 237,000 | | | | 246,058 | | | | 246,480 | |
Chemours Co. (The) | | | 5.38 | | | | 5/15/2027 | | | | 156,000 | | | | 154,589 | | | | 161,460 | |
Chemours Co. (The) | | | 7.00 | | | | 5/15/2025 | | | | 254,000 | | | | 257,601 | | | | 275,590 | |
Consolidated Energy Finance SA^ | | | 6.88 | | | | 6/15/2025 | | | | 300,000 | | | | 298,580 | | | | 318,000 | |
LBC Tank Terminals Holding Netherlands BV^ | | | 6.88 | | | | 5/15/2023 | | | | 250,000 | | | | 242,442 | | | | 260,313 | |
Platform Specialty Products Corp.^ | | | 5.88 | | | | 12/1/2025 | | | | 250,000 | | | | 248,050 | | | | 248,125 | |
| | | | | | | | | | | | | | | | | | | | |
Total Chemicals, Plastics and Rubber | | | | | | | | | | | 1,447,000 | | | | 1,447,320 | | | | 1,509,968 | |
| | | | | | | | | | | | | | | | | | | | |
|
Containers, Packaging and Glass — 2.2%*: | |
Coveris Holdings SA^ | | | 7.88 | | | | 11/1/2019 | | | | 712,000 | | | | 688,649 | | | | 706,660 | |
| | | | | | | | | | | | | | | | | | | | |
|
Diversified/Conglomerate Manufacturing — 1.7%*: | |
Appvion, Inc.^~ | | | 9.00 | | | | 6/1/2020 | | | | 366,000 | | | | 239,223 | | | | 54,900 | |
EnPro Industries, Inc. | | | 5.88 | | | | 9/15/2022 | | | | 220,000 | | | | 221,596 | | | | 229,075 | |
StoneMor Partners LP/Cornerstone Family Services of West Virginia Subsidiary | | | 7.88 | | | | 6/1/2021 | | | | 150,000 | | | | 153,758 | | | | 147,000 | |
Teleflex, Inc. | | | 4.63 | | | | 11/15/2027 | | | | 119,000 | | | | 119,000 | | | | 120,017 | |
| | | | | | | | | | | | | | | | | | | | |
Total Diversified/Conglomerate Manufacturing | | | | | | | | | | | 855,000 | | | | 733,577 | | | | 550,992 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
170
Barings U.S. High Yield Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | |
|
Diversified/Conglomerate Service — 5.5%*: | |
APTIM Corp.^ | | | 7.75 | % | | | 6/15/2025 | | | | 203,000 | | | $ | 203,000 | | | $ | 193,865 | |
Carlson Travel, Inc.^ | | | 6.75 | | | | 12/15/2023 | | | | 250,000 | | | | 255,259 | | | | 226,250 | |
Carlson Travel, Inc.^ | | | 9.50 | | | | 12/15/2024 | | | | 350,000 | | | | 350,000 | | | | 281,750 | |
KAR Auction Services, Inc.^ | | | 5.13 | | | | 6/1/2025 | | | | 300,000 | | | | 300,000 | | | | 307,500 | |
Prime Security Services Borrower LLC/Prime Finance, Inc.^ | | | 9.25 | | | | 5/15/2023 | | | | 250,000 | | | | 250,000 | | | | 277,500 | |
United Rentals North America, Inc. | | | 4.63 | | | | 10/15/2025 | | | | 125,000 | | | | 125,000 | | | | 125,937 | |
United Rentals North America, Inc. | | | 4.88 | | | | 1/15/2028 | | | | 125,000 | | | | 125,306 | | | | 125,625 | |
Zachry Holdings, Inc.^ | | | 7.50 | | | | 2/1/2020 | | | | 250,000 | | | | 251,652 | | | | 253,750 | |
| | | | | | | | | | | | | | | | | | | | |
Total Diversified/Conglomerate Service | | | | | | | | | | | 1,853,000 | | | | 1,860,217 | | | | 1,792,177 | |
| | | | | | | | | | | | | | | | | | | | |
|
Electronics — 2.0%*: | |
Dell, Inc. | | | 6.50 | | | | 4/15/2038 | | | | 133,000 | | | | 136,312 | | | | 135,327 | |
RP Crown Parent LLC^ | | | 7.38 | | | | 10/15/2024 | | | | 96,000 | | | | 96,000 | | | | 100,560 | |
TIBCO Software, Inc.^ | | | 11.38 | | | | 12/1/2021 | | | | 384,000 | | | | 416,631 | | | | 418,322 | |
| | | | | | | | | | | | | | | | | | | | |
Total Electronics | | | | | | | | | | | 613,000 | | | | 648,943 | | | | 654,209 | |
| | | | | | | | | | | | | | | | | | | | |
|
Finance — 4.7%*: | |
Aircastle Ltd. | | | 5.00 | | | | 4/1/2023 | | | | 271,000 | | | | 271,958 | | | | 285,566 | |
Aircastle Ltd. | | | 5.50 | | | | 2/15/2022 | | | | 21,000 | | | | 22,308 | | | | 22,496 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.^ | | | 6.25 | | | | 2/1/2022 | | | | 135,000 | | | | 138,988 | | | | 138,038 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.^ | | | 6.38 | | | | 12/15/2025 | | | | 165,000 | | | | 165,000 | | | | 165,017 | |
LPL Holdings, Inc.^ | | | 5.75 | | | | 9/15/2025 | | | | 400,000 | | | | 400,000 | | | | 407,000 | |
Tempo Acquisition LLC/Tempo Acquisition Finance Corp.^ | | | 6.75 | | | | 6/1/2025 | | | | 210,000 | | | | 210,000 | | | | 212,100 | |
Veritas US, Inc./Veritas Bermuda Ltd.^ | | | 10.50 | | | | 2/1/2024 | | | | 40,000 | | | | 41,969 | | | | 41,600 | |
VFH Parent LLC/Orchestra Co-Issuer, Inc.^ | | | 6.75 | | | | 6/15/2022 | | | | 257,000 | | | | 257,000 | | | | 270,492 | |
| | | | | | | | | | | | | | | | | | | | |
Total Finance | | | | | | | | | | | 1,499,000 | | | | 1,507,223 | | | | 1,542,309 | |
| | | | | | | | | | | | | | | | | | | | |
|
Grocery — 1.1%*: | |
C&S Group Enterprises LLC^ | | | 5.38 | | | | 7/15/2022 | | | | 174,000 | | | | 171,946 | | | | 163,995 | |
Post Holdings, Inc.^ | | | 5.75 | | | | 3/1/2027 | | | | 200,000 | | | | 200,000 | | | | 203,500 | |
| | | | | | | | | | | | | | | | | | | | |
Total Grocery | | | | | | | | | | | 374,000 | | | | 371,946 | | | | 367,495 | |
| | | | | | | | | | | | | | | | | | | | |
|
Healthcare, Education and Childcare — 7.7%*: | |
Avantor, Inc.^ | | | 9.00 | | | | 10/1/2025 | | | | 250,000 | | | | 250,000 | | | | 246,250 | |
Catalent Pharma Solutions, Inc.^ | | | 4.88 | | | | 1/15/2026 | | | | 227,000 | | | | 227,000 | | | | 227,851 | |
CHS/Community Health Systems, Inc. | | | 6.25 | | | | 3/31/2023 | | | | 142,000 | | | | 142,000 | | | | 127,800 | |
Endo Ltd./Endo Finance LLC/Endo Finco, Inc.^ | | | 6.00 | | | | 2/1/2025 | | | | 200,000 | | | | 181,127 | | | | 155,000 | |
HCA, Inc. | | | 5.38 | | | | 2/1/2025 | | | | 375,000 | | | | 380,302 | | | | 388,125 | |
inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc.^ | | | 7.50 | | | | 10/1/2024 | | | | 94,000 | | | | 94,000 | | | | 101,520 | |
See accompanying Notes to the Financial Statements.
171
Barings U.S. High Yield Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | |
|
Healthcare, Education and Childcare (Continued) | |
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA^ | | | 6.63 | % | | | 5/15/2022 | | | | 260,000 | | | $ | 247,385 | | | $ | 261,300 | |
Valeant Pharmaceuticals International, Inc.^ | | | 5.50 | | | | 3/1/2023 | | | | 118,000 | | | | 89,632 | | | | 107,970 | |
Valeant Pharmaceuticals International, Inc.^ | | | 5.88 | | | | 5/15/2023 | | | | 50,000 | | | | 41,822 | | | | 46,375 | |
Valeant Pharmaceuticals International, Inc.^ | | | 6.13 | | | | 4/15/2025 | | | | 391,000 | | | | 344,159 | | | | 357,765 | |
Valeant Pharmaceuticals International, Inc.^ | | | 6.50 | | | | 3/15/2022 | | | | 118,000 | | | | 118,000 | | | | 123,900 | |
Valeant Pharmaceuticals International, Inc.^ | | | 7.00 | | | | 3/15/2024 | | | | 125,000 | | | | 125,000 | | | | 133,750 | |
West Street Merger Sub, Inc.^ | | | 6.38 | | | | 9/1/2025 | | | | 250,000 | | | | 250,000 | | | | 250,625 | |
| | | | | | | | | | | | | | | | | | | | |
Total Healthcare, Education and Childcare | | | | | | | | | | | 2,600,000 | | | | 2,490,427 | | | | 2,528,231 | |
| | | | | | | | | | | | | | | | | | | | |
|
Home and Office Furnishings, Housewares, and Durable Consumer Products — 1.2%*: | |
Louisiana-Pacific Corp. | | | 4.88 | | | | 9/15/2024 | | | | 250,000 | | | | 250,000 | | | | 258,125 | |
Mattel, Inc.^ | | | 6.75 | | | | 12/31/2025 | | | | 125,000 | | | | 125,000 | | | | 126,681 | |
| | | | | | | | | | | | | | | | | | | | |
Total Home and Office Furnishings, Housewares, and Durable Consumer Products | | | | | | | | | | | 375,000 | | | | 375,000 | | | | 384,806 | |
| | | | | | | | | | | | | | | | | | | | |
|
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 | | | | 126,719 | |
| | | | | | | | | | | | | | | | | | | | |
|
Insurance — 1.8%*: | |
Acrisure LLC/Acrisure Finance, Inc.^ | | | 7.00 | | | | 11/15/2025 | | | | 250,000 | | | | 250,000 | | | | 240,940 | |
AssuredPartners, Inc.^ | | | 7.00 | | | | 8/15/2025 | | | | 139,000 | | | | 139,335 | | | | 138,305 | |
York Risk Services Holding Corp.^ | | | 8.50 | | | | 10/1/2022 | | | | 220,000 | | | | 202,107 | | | | 214,500 | |
| | | | | | | | | | | | | | | | | | | | |
Total Insurance | | | | | | | | | | | 609,000 | | | | 591,442 | | | | 593,745 | |
| | | | | | | | | | | | | | | | | | | | |
|
Leisure, Amusement, Entertainment — 3.8%*: | |
AMC Entertainment Holdings, Inc. | | | 5.88 | | | | 11/15/2026 | | | | 250,000 | | | | 250,000 | | | | 246,250 | |
Brunswick Corp. | | | 7.13 | | | | 8/1/2027 | | | | 567,000 | | | | 600,882 | | | | 678,755 | |
WMG Acquisition Corp.^ | | | 5.00 | | | | 8/1/2023 | | | | 160,000 | | | | 160,000 | | | | 165,600 | |
WMG Acquisition Corp.^ | | | 6.75 | | | | 4/15/2022 | | | | 150,000 | | | | 150,872 | | | | 156,750 | |
| | | | | | | | | | | | | | | | | | | | |
Total Leisure, Amusement, Entertainment | | | | | | | | | | | 1,127,000 | | | | 1,161,754 | | | | 1,247,355 | |
| | | | | | | | | | | | | | | | | | | | |
|
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 0.6%*: | |
Apex Tool Group LLC^ | | | 7.00 | | | | 2/1/2021 | | | | 207,000 | | | | 195,410 | | | | 199,238 | |
| | | | | | | | | | | | | | | | | | | | |
|
Mining, Steel, Iron and Non-Precious Metals — 7.0%*: | |
Allegheny Technologies, Inc. | | | 5.95 | | | | 1/15/2021 | | | | 309,000 | | | | 310,075 | | | | 315,180 | |
Alliance Resource Operating Partners LP/Alliance Resource Finance Corp.^ | | | 7.50 | | | | 5/1/2025 | | | | 328,000 | | | | 332,669 | | | | 348,500 | |
ArcelorMittal | | | 7.25 | | | | 3/1/2041 | | | | 197,000 | | | | 229,589 | | | | 249,205 | |
Big River Steel LLC/BRS Finance Corp.^ | | | 7.25 | | | | 9/1/2025 | | | | 250,000 | | | | 250,000 | | | | 264,375 | |
Hecla Mining Co. | | | 6.88 | | | | 5/1/2021 | | | | 250,000 | | | | 224,367 | | | | 256,250 | |
Kinross Gold Corp.+ | | | 5.95 | | | | 3/15/2024 | | | | 152,000 | | | | 157,855 | | | | 166,630 | |
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | |
|
Mining, Steel, Iron and Non-Precious Metals (Continued) | |
Kinross Gold Corp. | | | 6.88 | % | | | 9/1/2041 | | | | 99,000 | | | $ | 98,515 | | | $ | 111,994 | |
Northwest Acquisitions ULC/Dominion Finco, Inc.+^ | | | 7.13 | | | | 11/1/2022 | | | | 83,000 | | | | 82,167 | | | | 85,697 | |
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.^ | | | 7.50 | | | | 6/15/2025 | | | | 250,000 | | | | 246,491 | | | | 261,250 | |
Warrior Met Coal, Inc.^ | | | 8.00 | | | | 11/1/2024 | | | | 240,000 | | | | 240,000 | | | | 247,800 | |
| | | | | | | | | | | | | | | | | | | | |
Total Mining, Steel, Iron and Non-Precious Metals | | | | | | | | | | | 2,158,000 | | | | 2,171,728 | | | | 2,306,881 | |
| | | | | | | | | | | | | | | | | | | | |
|
Oil and Gas — 15.5%*: | |
Chesapeake Energy Corp.^ | | | 8.00 | | | | 1/15/2025 | | | | 300,000 | | | | 295,986 | | | | 303,000 | |
Citgo Holding, Inc.^ | | | 10.75 | | | | 2/15/2020 | | | | 341,000 | | | | 343,834 | | | | 365,722 | |
Energy Transfer Equity LP | | | 4.25 | | | | 3/15/2023 | | | | 250,000 | | | | 250,000 | | | | 248,125 | |
EP Energy LLC/Everest Acquisition Finance, Inc.^ | | | 8.00 | | | | 2/15/2025 | | | | 248,000 | | | | 248,000 | | | | 181,040 | |
EP Energy LLC/Everest Acquisition Finance, Inc. | | | 9.38 | | | | 5/1/2020 | | | | 65,000 | | | | 61,190 | | | | 54,925 | |
Ferrellgas LP/Ferrellgas Finance Corp. | | | 6.75 | | | | 1/15/2022 | | | | 100,000 | | | | 100,933 | | | | 92,500 | |
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp. | | | 8.63 | | | | 6/15/2020 | | | | 600,000 | | | | 594,613 | | | | 511,500 | |
Genesis Energy LP/Genesis Energy Finance Corp. | | | 6.00 | | | | 5/15/2023 | | | | 100,000 | | | | $ 98,379 | | | | 101,250 | |
Genesis Energy LP/Genesis Energy Finance Corp. | | | 6.75 | | | | 8/1/2022 | | | | 250,000 | | | | 245,862 | | | | 259,375 | |
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp.^ | | | 5.63 | | | | 2/15/2026 | | | | 250,000 | | | | 250,000 | | | | 258,125 | |
Jonah Energy LLC/Jonah Energy Finance Corp.^ | | | 7.25 | | | | 10/15/2025 | | | | 348,000 | | | | 349,005 | | | | 350,610 | |
Jupiter Resources, Inc.+^ | | | 8.50 | | | | 10/1/2022 | | | | 479,000 | | | | 396,245 | | | | 296,980 | |
Kosmos Energy Ltd.^ | | | 7.88 | | | | 8/1/2021 | | | | 377,000 | | | | 358,913 | | | | 385,482 | |
NGPL PipeCo LLC^ | | | 4.38 | | | | 8/15/2022 | | | | 56,000 | | | | 56,000 | | | | 56,945 | |
NGPL PipeCo LLC^ | | | 4.88 | | | | 8/15/2027 | | | | 65,000 | | | | 65,000 | | | | 67,438 | |
PBF Holding Co. LLC/PBF Finance Corp. | | | 7.25 | | | | 6/15/2025 | | | | 250,000 | | | | 246,065 | | | | 262,500 | |
Rowan Cos., Inc. | | | 7.38 | | | | 6/15/2025 | | | | 188,000 | | | | 188,000 | | | | 191,290 | |
SM Energy Co. | | | 6.50 | | | | 1/1/2023 | | | | 227,000 | | | | 177,862 | | | | 231,540 | |
Suburban Propane Partners LP/Suburban Energy Finance Corp. | | | 5.88 | | | | 3/1/2027 | | | | 300,000 | | | | 300,000 | | | | 293,250 | |
Sunoco LP/Sunoco Finance Corp. | | | 6.25 | | | | 4/15/2021 | | | | 250,000 | | | | 250,000 | | | | 259,875 | |
Transocean, Inc. | | | 6.80 | | | | 3/15/2038 | | | | 51,000 | | | | 40,849 | | | | 40,928 | |
Transocean, Inc. | | | 9.35 | | | | 12/15/2041 | | | | 38,000 | | | | 35,357 | | | | 36,765 | |
Welltec A/S+^ | | | 9.50 | | | | 12/1/2022 | | | | 250,000 | | | | 247,601 | | | | 251,250 | |
| | | | | | | | | | | | | | | | | | | | |
Total Oil and Gas | | | | | | | | | | | 5,383,000 | | | | 5,199,694 | | | | 5,100,415 | |
| | | | | | | | | | | | | | | | | | | | |
|
Personal Transportation — 1.3%*: | |
Hertz Corp. (The)^ | | | 7.63 | | | | 6/1/2022 | | | | 250,000 | | | | 250,000 | | | | 261,875 | |
Watco Cos. LLC/Watco Finance Corp.^ | | | 6.38 | | | | 4/1/2023 | | | | 173,000 | | | | 173,327 | | | | 179,055 | |
| | | | | | | | | | | | | | | | | | | | |
Total Personal Transportation | | | | | | | | | | | 423,000 | | | | 423,327 | | | | 440,930 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | EFFECTIVE
INTEREST RATE | | | DUE DATE | | | PRINCIPAL ‡‡ | | | COST | | | FAIR
VALUE | |
Corporate Bonds (Continued) | |
|
Retail Stores — 0.8%*: | |
Penske Automotive Group, Inc. | | | 5.50 | % | | | 5/15/2026 | | | | 250,000 | | | $ | 250,000 | | | $ | 253,675 | |
| | | | | | | | | | | | | | | | | | | | |
|
Telecommunications — 6.2%*: | |
Altice Financing SA+^ | | | 6.63 | | | | 2/15/2023 | | | | 250,000 | | | | 251,312 | | | | 261,775 | |
Altice Luxembourg SA+^ | | | 7.63 | | | | 2/15/2025 | | | | 225,000 | | | | 239,303 | | | | 215,438 | |
SFR Group SA+^ | | | 6.00 | | | | 5/15/2022 | | | | 475,000 | | | | 482,643 | | | | 480,937 | |
Sprint Communications, Inc. | | | 7.00 | | | | 8/15/2020 | | | | 75,000 | | | | 74,358 | | | | 79,500 | |
Sprint Corp. | | | 7.88 | | | | 9/15/2023 | | | | 489,000 | | | | 474,309 | | | | 520,785 | |
T-Mobile USA, Inc. | | | 5.38 | | | | 4/15/2027 | | | | 200,000 | | | | 200,000 | | | | 213,250 | |
Telecom Italia SpA+^ | | | 5.30 | | | | 5/30/2024 | | | | 250,000 | | | | 262,669 | | | | 266,875 | |
| | | | | | | | | | | | | | | | | | | | |
Total Telecommunications | | | | | | | | | | | 1,964,000 | | | | 1,984,594 | | | | 2,038,560 | |
| | | | | | | | | | | | | | | | | | | | |
|
Utilities — 0.8%*: | |
NRG Energy, Inc. | | | 7.25 | | | | 5/15/2026 | | | | 250,000 | | | | 250,000 | | | | 272,185 | |
| | | | | | | | | | | | | | | | | | | | |
Total Corporate Bonds | | | | | | | | | | | 30,785,000 | | | | 30,478,642 | | | | 30,781,162 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Fixed Income | | | | | | | | | | | 31,870,231 | | | | 31,402,983 | | | | 31,596,389 | |
| | | | | | | | | | | | | | | | | | | | |
|
Short-Term Investments — 2.8%*: | |
|
Bank Deposit — 2.8%*: | |
State Street Bank & Trust Co. Euro Time Deposit | | | 0.12 | | | | 1/2/2018 | | | | 907,987 | | | | 907,987 | | | | 907,987 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | 32,778,218 | | | | 32,310,970 | | | | 32,504,376 | |
| | | | | | | | | | | | | | | | | | | | |
| |
Other assets and liabilities – 0.9%* | | | | 309,165 | |
| |
Net Assets – 100.0% | | | | $32,813,541 | |
| | | | | | | | | | | | | | | | | | | | |
| ‡‡ | | Unless otherwise indicated, all principal amounts are denominated in United States Dollars. |
| * | | Calculated as a percentage of net assets applicable to common shareholders. |
Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:
| | | | | | |
| | United States | | | 92.4% | |
| | France | | | 2.2% | |
| | Canada | | | 1.7% | |
| | Ghana | | | 1.2% | |
| | Other (Individually less than 1%) | | | 2.5% | |
| | | | | | |
| | 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. |
See accompanying Notes to the Financial Statements.
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Barings U.S. High Yield Fund 2017 Semi-Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| § | | 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 December 31, 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). |
See accompanying Notes to the Financial Statements.
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Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS
December 31, 2017 (Unaudited)
Barings 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 December 31, 2017, the Trust consists of eight funds (separately, a “Fund” and collectively, the “Funds”): Barings Global Floating Rate Fund (“Global Floating Rate Fund”), Barings Global Credit Income Opportunities Fund (“Global Credit Income Opportunities Fund”), Barings Active Short Duration Bond Fund (“Active Short Duration Bond Fund”), Barings Total Return Bond Fund (“Total Return Bond Fund”), Barings Emerging Markets Debt Blended Total Return Fund (“Emerging Markets Debt Blended Total Return Fund”), Barings Emerging Markets Local Currency Debt Fund (“Emerging Markets Local Currency Debt Fund”), Barings Global High Yield Fund (“Global High Yield Fund”) and Barings U.S. High Yield Fund (“U.S. High Yield Fund”). Each Fund, other than Global Floating Rate Fund, Global Credit Income Opportunities Fund, 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.
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 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.
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Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
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 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 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
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Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
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 18 months 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 Trust is an investment company and follows accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 (“ASC 946”).
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.
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 December 31, 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 December 31, 2017.
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
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 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.
179
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
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 December 31, 2017 in valuing the Funds’ investments:
Global Floating Rate Fund
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL INVESTMENTS | |
| | | | |
Assets:* | | | | | | | | | | | | | | | | |
| Equities: | | | | | | | | | | | | | | | | |
Common Stocks | | $ | – | | | $ | 26,540 | | | $ | 101,217 | | | $ | 127,757 | |
Preferred Stock | | | – | | | | – | | | | 236,280 | | | | 236,280 | |
| | | | | | | | | | | | | | | | |
| Total Equities | | | – | | | | 26,540 | | | | 337,497 | | | | 364,037 | |
| | | | | | | | | | | | | | | | |
| Fixed Income: | | | | | | | | | | | | | | | | |
Bank Loans | | | – | | | | 176,160,756 | | | | 193,008 | | | | 176,353,764 | |
Corporate Bonds | | | – | | | | 17,350,595 | | | | – | | | | 17,350,595 | |
| | | | | | | | | | | | | | | | |
| Total Fixed Income | | | – | | | | 193,511,351 | | | | 193,008 | | | | 193,704,359 | |
| | | | | | | | | | | | | | | | |
| Short-Term Investments: | | | | | |
Bank Deposit | | | – | | | | 20,524,938 | | | | – | | | | 20,524,938 | |
| Derivative Securities: | | | | | |
Forward Foreign Currency Exchange Contracts | | | – | | | | 13,444 | | | | – | | | | 13,444 | |
| | | | | | | | | | | | | | | | |
| Total | | $ | – | | | $ | 214,076,273 | | | $ | 530,505 | | | $ | 214,606,778 | |
| | | | | | | | | | | | | | | | |
180
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL INVESTMENTS | |
| | | | |
Liabilities:* | | | | | | | | | | | | | | | | |
| Derivative Securities: | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | $ | – | | | $ | (379,471 | ) | | $ | – | | | $ | (379,471 | ) |
| | | | | | | | | | | | | | | | |
| Total Investments | | $ | – | | | $ | 213,696,802 | | | $ | 530,505 | | | $ | 214,227,307 | |
| | | | | | | | | | | | | | | | |
| | * | There were no transfers between levels during the period ended December 31, 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 December 31, 2017:
| | | | | | | | |
| TYPE OF ASSETS | | FAIR VALUE AS OF
DECEMBER 31, 2017 | | | VALUATION
TECHNIQUE(S) | | UNOBSERVABLE INPUT |
| | | |
Equities. | | | | | | | | |
| | | |
Tunstall Group Holdings Ltd | | $ | – | | | Zero Value | | Valued at zero without primary asset attached |
| | | |
Tunstall Group Holdings Ltd | | $ | – | | | Zero Value | | Valued at zero without primary asset attached |
| | | |
Boomerang Tube LLC | | $ | – | | | Discounted Cash Flow | | Average Enterprise Valuation Multiple: 5.5x; EBITDA: $38.8 million; Discount Rate 10% |
| | | |
Sabine Oil & Gas LLC | | $ | 17,415 | | | Broker Quote | | Price source depth of 1 |
| | | |
Sabine Oil & Gas LLC | | $ | 7,995 | | | Broker Quote | | Price source depth of 1 |
| | | |
Sabine Oil & Gas LLC | | $ | 1,205 | | | Broker Quote | | Price source depth of 1 |
| | | |
Templar Energy LLC | | $ | 22,783 | | | Broker Quote | | Price source depth of 1 |
| | | |
Templar Energy LLC | | $ | 51,819 | | | Broker Quote | | Price source depth of 1 |
| | | |
Pinnacle Agriculture Holdings A 2 | | $ | 236,280 | | | Discounted Cash Flow | | Adjusted Enterprise Valuation Multiple: 8.51x; EBITDA; $111.1m |
| | | |
Bank Loans | | | | | | | | |
| | | |
Boomerang Tube LLC | | $ | 32,825 | | | Discounted Cash Flow | | Average Enterprise Valuation Multiple: 5.5x; EBITDA: $38.8 million; Discount Rate 10% |
| | | |
Boomerang Tube LLC | | $ | 111,754 | | | Discounted Cash Flow | | Average Enterprise Valuation Multiple: 5.5x; EBITDA: $38.8 million; Discount Rate 10% |
| | | |
Boomerang Tube LLC | | $ | 10,509 | | | Discounted Cash Flow | | Average Enterprise Valuation Multiple: 5.5x; EBITDA: $38.8 million; Discount Rate 10% |
| | | |
Boomerang Tube LLC | | $ | 37,920 | | | Discounted Cash Flow | | Average Enterprise Valuation Multiple: 5.5x; EBITDA: $38.8 million; Discount Rate 10% |
Although the Fund 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.
181
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
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,
2017 | | | REALIZED
GAIN (LOSS) | | | CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET
TRANSFERS
IN (OUT)
OF LEVEL 3 | | | ACCRUED PREMIUMS/
DISCOUNTS | | | PURCHASES | | | SALES | | | BALANCE AS OF
DECEMBER 31,
2017 | | | CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION)
FROM
INVESTMENTS
HELD AT
DECEMBER 31,
2017 | |
| | | | | | | | | |
Equities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stock | | $ | 127,521 | | | $ | – | | | $ | (26,304 | ) | | $ | – | | | $ | – | | | $ | – | | | $ | – | | | $ | 101,217 | | | $ | (26,304 | ) |
Preferred Stock | | $ | 218,582 | | | $ | – | | | $ | 15,229 | | | $ | – | | | $ | – | | | $ | 2,469 | | | $ | – | | | $ | 236,280 | | | $ | 15,229 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Fixed Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank Loans | | $ | 179,744 | | | $ | – | | | $ | (8,378 | ) | | $ | – | | | $ | 349 | | | $ | 21,293 | | | $ | – | | | $ | 193,008 | | | $ | (8,378 | ) |
Corporate Bonds | | $ | – | | | $ | – | | | $ | – | | | $ | – | | | $ | – | | | $ | – | | | $ | – | | | $ | – | | | $ | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Total | | $ | 525,847 | | | $ | – | | | $ | (19,453 | ) | | $ | – | | | $ | 349 | | | $ | 23,762 | | | $ | – | | | $ | 530,505 | | | $ | (19,453 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Global Credit Income Opportunities Fund
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL INVESTMENTS | |
| | | | |
Assets:* | | | | | | | | | | | | | | | | |
| Equities: | | | | | | | | | | | | | | | | |
Common Stocks | | $ | – | | | $ | 20,518 | | | $ | 565,734 | | | $ | 586,252 | |
Preferred Stock | | | – | | | | – | | | | 283,535 | | | | 283,535 | |
| | | | | | | | | | | | | | | | |
| Total Equities | | | – | | | | 20,518 | | | | 849,269 | | | | 869,787 | |
| | | | | | | | | | | | | | | | |
| Fixed Income: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | – | | | | 23,731,890 | | | | 1,500,000 | | | | 25,231,890 | |
Bank Loans | | | – | | | | 57,925,262 | | | | 263,946 | | | | 58,189,208 | |
Corporate Bonds | | | – | | | | 78,173,138 | | | | – | | | | 78,173,138 | |
| | | | | | | | | | | | | | | | |
| Total Fixed Income | | | – | | | | 159,830,290 | | | | 1,763,946 | | | | 161,594,236 | |
| | | | | | | | | | | | | | | | |
| Purchased Option: | | | | | | | | | | | | | | | | |
Put Option Purchased | | | – | | | | 276,000 | | | | – | | | | 276,000 | |
| Short-Term Investments: | | | | | | | | | | | | | | | | |
Bank Deposit | | | – | | | | 16,079,779 | | | | – | | | | 16,079,779 | |
| Derivative Securities: | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | | – | | | | 4,297 | | | | – | | | | 4,297 | |
| | | | | | | | | | | | | | | | |
| Total | | $ | – | | | $ | 176,210,884 | | | $ | 2,613,215 | | | $ | 178,824,099 | |
| | | | | | | | | | | | | | | | |
| Liabilities:* | | | | | | | | | | | | | | | | |
| Derivative Securities: | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | | – | | | | (288,389 | ) | | | – | | | | (288,389 | ) |
| | | | | | | | | | | | | | | | |
| Total Investments | | $ | – | | | $ | 175,922,495 | | | $ | 2,613,215 | | | $ | 178,535,710 | |
| | | | | | | | | | | | | | | | |
| | * | There were no transfers between levels during the period ended December 31, 2017. |
182
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
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 December 31, 2017:
| | | | | | | | |
| TYPE OF ASSETS | | FAIR VALUE AS OF
DECEMBER 31, 2017 | | | VALUATION
TECHNIQUE(S) | | UNOBSERVABLE INPUT |
| | | |
Equities | | | | | | | | |
| | | |
Boomerang Tube LLC | | $ | – | | | Discounted Cash Flow | | Average Enterprise Valuation Multiple: 5.5x; EBITDA: $38.8 million; Discount Rate 10% |
| | | |
Maxeda DIY B.V. | | $ | 452,580 | | | Discounted Cash Flow | | Average Comparable Valuation 6.5x; EBITDA €97m; net debt €420m |
| | | |
Maxeda DIY B.V. | | $ | 113,154 | | | Discounted Cash Flow | | Average Comparable Valuation 6.5x; EBITDA €97m; net debt €420m |
| | | |
Pinnacle Agriculture Holdings A 2 | | $ | 283,535 | | | Discounted Cash Flow | | Adjusted Enterprise Valuation Multiple: 8.51x; EBITDA; $111.1m |
| | | |
Asset-Backed Securities | | | | | | | | |
| | | |
AIMCO CLO Series 2015-AA ER | | $ | 500,000 | | | Broker Quote | | Price source depth of 1 |
| | | |
Wellfleet CLO Ltd. 2017-3A D | | $ | 1,000,000 | | | Broker Quote | | Price source depth of 1 |
| | | |
Bank Loans | | | | | | | | |
| | | |
Boomerang Tube LLC | | $ | 27,865 | | | Discounted Cash Flow | | Average Enterprise Valuation Multiple: 5.5x; EBITDA: $38.8 million; Discount Rate 10% |
| | | |
Boomerang Tube LLC | | $ | 75,898 | | | Discounted Cash Flow | | Average Enterprise Valuation Multiple: 5.5x; EBITDA: $38.8 million; Discount Rate 10% |
| | | |
Boomerang Tube LLC | | $ | 37,920 | | | Discounted Cash Flow | | Average Enterprise Valuation Multiple: 5.5x; EBITDA: $38.8 million; Discount Rate 10% |
| | | |
Boomerang Tube LLC | | $ | 10,509 | | | Discounted Cash Flow | | Average Enterprise Valuation Multiple: 5.5x; EBITDA: $38.8 million; Discount Rate 10% |
| | | |
Boomerang Tube LLC | | $ | 111,754 | | | Discounted Cash Flow | | Average Enterprise Valuation Multiple: 5.5x; EBITDA: $38.8 million; Discount Rate 10% |
Although the Fund 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.
183
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
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,
2017 | | | REALIZED
GAIN (LOSS) | | | CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET
TRANSFERS
IN (OUT)
OF LEVEL 3 | | | ACCRUED PREMIUMS/
DISCOUNTS | | | PURCHASES | | | SALES | | | BALANCE AS OF
DECEMBER 31,
2017 | | | CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION)
FROM
INVESTMENTS
HELD AT
DECEMBER 31,
2017 | |
| | | | | | | | | |
Equities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stock | | $ | 538,528 | | | $ | – | | | $ | 27,206 | | | $ | – | | | $ | – | | | $ | – | | | $ | – | | | $ | 565,734 | | | $ | 27,206 | |
Preferred Stock | | $ | 262,298 | | | $ | – | | | $ | 18,359 | | | $ | – | | | $ | – | | | $ | 2,878 | | | $ | – | | | $ | 283,535 | | | $ | 18,359 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Fixed Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed Securities | | $ | – | | | $ | – | | | $ | – | | | $ | – | | | $ | – | | | $ | 1,500,000 | | | $ | – | | | $ | 1,500,000 | | | $ | – | |
Bank Loans | | $ | 1,618,268 | | | $ | – | | | $ | (8,422 | ) | | $ | – | | | $ | 344 | | | $ | 40,920 | | | $ | (1,387,164 | ) | | $ | 263,946 | | | $ | (8,422 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Total | | $ | 2,419,094 | | | $ | – | | | $ | 37,143 | | | $ | – | | | $ | 344 | | | $ | 1,543,798 | | | $ | (1,387,164 | ) | | $ | 2,613,215 | | | $ | 37,143 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Active Short Duration Bond Fund
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL INVESTMENTS | |
| | | | |
Assets:* | | | | | | | | | | | | | | | | |
| Fixed Income: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | – | | | $ | 124,978,081 | | | $ | 5,040,219 | | | $ | 130,018,300 | |
Corporate Bonds | | | – | | | | 180,511,258 | | | | – | | | | 180,511,258 | |
Mortgage-Backed Securities | | | – | | | | 3,777,413 | | | | – | | | | 3,777,413 | |
U.S. Treasury & Government Agencies | | | – | | | | 13,070,080 | | | | – | | | | 13,070,080 | |
| | | | | | | | | | | | | | | | |
| Total Fixed Income | | | – | | | | 322,336,832 | | | | 5,040,219 | | | | 327,377,051 | |
| | | | | | | | | | | | | | | | |
| Purchased Options: | | | | | | | | | | | | | | | | |
Call Option Purchased | | | – | | | | 543,938 | | | | – | | | | 543,938 | |
Put Option Purchased | | | – | | | | 1,077,085 | | | | – | | | | 1,077,085 | |
| | | | | | | | | | | | | | | | |
| Total Purchased Options | | | – | | | | 1,621,023 | | | | – | | | | 1,621,023 | |
| | | | | | | | | | | | | | | | |
| Short-Term Investments: | | | | | | | | | | | | | | | | |
Bank Deposit | | | – | | | | 239,949 | | | | – | | | | 239,949 | |
Commercial Paper | | | – | | | | 91,203,844 | | | | – | | | | 91,203,844 | |
| | | | | | | | | | | | | | | | |
| Total Short-Term Investments | | | – | | | | 91,443,793 | | | | – | | | | 91,443,793 | |
| | | | | | | | | | | | | | | | |
| Derivative Securities: | | | | | | | | | | | | | | | | |
Futures** | | | – | | | | 497,766 | | | | – | | | | 497,766 | |
| | | | | | | | | | | | | | | | |
| Total | | $ | – | | | $ | 415,899,414 | | | $ | 5,040,219 | | | $ | 420,939,633 | |
| | | | | | | | | | | | | | | | |
184
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL INVESTMENTS | |
| | | | |
Liabilities:* | | | | | | | | | | | | | | | | |
| Derivative Securities: | | | | | | | | | | | | | | | | |
Futures** | | $ | – | | | $ | (174,432 | ) | | $ | – | | | $ | (174,432 | ) |
OTC — Credit Default Swaps | | | – | | | | (76,086 | ) | | | – | | | | (76,086 | ) |
| | | | | | | | | | | | | | | | |
| Total Derivative Securities | | | – | | | | (250,518 | ) | | | – | | | | (250,518 | ) |
| | | | | | | | | | | | | | | | |
| Total Investments | | $ | – | | | $ | 415,648,896 | | | $ | 5,040,219 | | | $ | 420,689,115 | |
| | | | | | | | | | | | | | | | |
| | * | There were no transfers between levels 1 and 2 during the period ended December 31, 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 December 31, 2017:
| | | | | | | | |
| TYPE OF ASSETS | | FAIR VALUE AS OF
DECEMBER 31, 2017 | | | VALUATION
TECHNIQUE(S) | | UNOBSERVABLE INPUT |
| | | |
Asset-Backed Securities | | | | | | | | |
| | | |
AccessLex Institute 2002-A A2 | | $ | 646,100 | | | Broker Quote | | Price source depth of 1 |
| | | |
DRB Prime Student Loan Trust 2016-R A1 | | $ | 1,159,528 | | | Broker Quote | | Price source depth of 1 |
| | | |
EdLinc Student Loan Funding Trust 2017-A A | | $ | 1,936,440 | | | | | |
| | | |
SoFi Consumer Loan Program LLC 2015-A RC | | $ | 600,000 | | | Broker Quote | | Price source depth of 1 |
| | | |
SoFi Professional Loan Program 2017-D R1 | | $ | 698,151 | | | Broker Quote | | Price source depth of 1 |
Although the Fund 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,
2017 | | | REALIZED
GAIN (LOSS) | | | CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET
TRANSFERS
IN (OUT) OF
LEVEL 3 | | | ACCRUED PREMIUMS/
DISCOUNTS | | | PURCHASES | | | SALES | | | BALANCE AS OF
DECEMBER 31,
2017 | | | CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION)
FROM
INVESTMENTS
HELD AT
DECEMBER 31,
2017 | |
| | | | | | | | | |
Asset Backed Securities | | $ | 5,241,812 | | | $ | 7,797 | | | $ | (173,874 | ) | | $ | (2,394,587 | ) | | $ | 8,645 | | | $ | 2,634,590 | | | $ | (284,164 | ) | | $ | 5,040,219 | | | $ | (173,874 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 5,241,812 | | | $ | 7,797 | | | $ | (173,874 | ) | | $ | (2,394,587 | ) | | $ | 8,645 | | | $ | 2,634,590 | | | $ | (284,164 | ) | | $ | 5,040,219 | | | $ | (173,874 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
185
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
Total Return Bond Fund
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL INVESTMENTS | |
| | | | |
Assets:* | | | | | | | | | | | | | | | | |
| Fixed Income: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | — | | | $ | 8,465,483 | | | $ | 297,939 | | | $ | 8,763,422 | |
Corporate Bonds | | | — | | | | 10,052,661 | | | | — | | | | 10,052,661 | |
Foreign Government | | | — | | | | 256,500 | | | | — | | | | 256,500 | |
Mortgage-Backed Securities | | | — | | | | 197,631 | | | | — | | | | 197,631 | |
U.S. Treasury & Government Agencies | | | — | | | | 9,022,681 | | | | — | | | | 9,022,681 | |
| | | | | | | | | | | | | | | | |
Total Fixed Income | | | — | | | | 27,994,956 | | | | 297,939 | | | | 28,292,895 | |
| | | | | | | | | | | | | | | | |
| | | | |
Mutual Fund: | | | | | | | | | | | | | | | | |
Mutual Fund | | | 2,639,234 | | | | — | | | | — | | | | 2,639,234 | |
| Purchased Options: | | | | | | | | | | | | | | | | |
Call Option Purchased | | | — | | | | 61,734 | | | | — | | | | 61,734 | |
Put Option Purchased | | | — | | | | 121,934 | | | | — | | | | 121,934 | |
| | | | | | | | | | | | | | | | |
Total Purchased Options | | | — | | | | 183,668 | | | | — | | | | 183,668 | |
| | | | | | | | | | | | | | | | |
| Short-Term Investments: | | | | | | | | | | | | | | | | |
Bank Deposit | | | — | | | | 362,022 | | | | — | | | | 362,022 | |
Commercial Paper | | | — | | | | 4,194,304 | | | | — | | | | 4,194,304 | |
| | | | | | | | | | | | | | | | |
Total Short-Term Investments | | | — | | | | 4,556,326 | | | | — | | | | 4,556,326 | |
| | | | | | | | | | | | | | | | |
| Derivative Securities: | | | | | |
Forward Foreign Currency Exchange Contracts | | | — | | | | 11,963 | | | | — | | | | 11,963 | |
Futures** | | | — | | | | 6,080 | | | | — | | | | 6,080 | |
| | | | | | | | | | | | | | | | |
| Total Derivative Securities | | | — | | | | 18,043 | | | | — | | | | 18,043 | |
| | | | | | | | | | | | | | | | |
| Total | | $ | 2,639,234 | | | $ | 32,752,993 | | | $ | 297,939 | | | $ | 35,690,166 | |
| | | | | | | | | | | | | | | | |
| |
Liabilities:* | | | | | |
| Derivative Securities: | | | | | |
Forward Foreign Currency Exchange Contracts | | | — | | | | (10,487 | ) | | | — | | | | (10,487 | ) |
Futures** | | | — | | | | (16,067 | ) | | | — | | | | (16,067 | ) |
OTC – Credit Default Swaps | | | — | | | | (19,021 | ) | | | — | | | | (19,021 | ) |
| | | | | | | | | | | | | | | | |
| Total Derivative Securities | | | — | | | | (45,575 | ) | | | — | | | | (45,575 | ) |
| | | | | | | | | | | | | | | | |
| Total Investments | | $ | 2,639,234 | | | $ | 32,707,418 | | | $ | 297,939 | | | $ | 35,644,591 | |
| | | | | | | | | | | | | | | | |
| | * | There were no transfers between levels 1 and 2 during the period ended December 31, 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. |
186
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
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 December 31, 2017:
| | | | | | | | |
| TYPE OF ASSETS | | FAIR VALUE AS OF
DECEMBER 31, 2017 | | | VALUATION
TECHNIQUE(S) | | UNOBSERVABLE INPUT |
| | | |
Asset-Backed Securities | | | | | | | | |
| | | |
College Loan Corp. Trust 2017-1 B2 | | $ | 38,700 | | | Broker Quote | | Price source depth of 1 |
| | | |
DRB Prime Student Loan Trust 2016-R A1 | | $ | 79,967 | | | Broker Quote | | Price source depth of 1 |
| | | |
DRB Prime Student Loan Trust 2016-R A2 | | $ | 79,967 | | | Broker Quote | | Price source depth of 1 |
| | | |
EdLinc Student Loan Funding Trust 2017-A A | | $ | 99,305 | | | Broker Quote | | Price source depth of 1 |
Although the Fund 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,
2017 | | | REALIZED
GAIN (LOSS) | | | CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET
TRANSFERS
IN (OUT)
OF
LEVEL 3 | | | ACCRUED PREMIUMS/
DISCOUNTS | | | PURCHASES | | | SALES | | | BALANCE AS OF
DECEMBER 31,
2017 | | | CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION)
FROM
INVESTMENTS
HELD AT
DECEMBER 31,
2017 | |
| | | | | | | | | |
Asset Backed Securities | | $ | 410,163 | | | $ | 2 | | | $ | 1,234 | | | $ | (225,364 | ) | | $ | 41 | | | $ | 137,667 | | | $ | (25,804 | ) | | $ | 297,939 | | | $ | 1,234 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 410,163 | | | $ | 2 | | | $ | 1,234 | | | $ | (225,364 | ) | | $ | 41 | | | $ | 137,667 | | | $ | (25,804 | ) | | $ | 297,939 | | | $ | 1,234 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Emerging Markets Debt Blended Total Return Fund
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL INVESTMENTS | |
| | | | |
Assets:* | | | | | | | | | | | | | | | | |
| Fixed Income: | | | | | | | | | | | | | | | | |
Corporate Bonds | | $ | — | | | $ | 3,432,663 | | | $ | — | | | $ | 3,432,663 | |
Foreign Government | | | — | | | | 7,544,111 | | | | — | | | | 7,544,111 | |
| | | | | | | | | | | | | | | | |
Total Fixed Income | | | — | | | | 10,976,774 | | | | — | | | | 10,976,774 | |
| | | | | | | | | | | | | | | | |
| Short-Term Investments: | | | | | | | | | | | | | | | | |
Bank Deposit | | | — | | | | 174,788 | | | | — | | | | 174,788 | |
| Derivative Securities: | | | | | | | | | | | | | | | | |
OTC – Credit Default Swaps | | | — | | | | 7,150 | | | | — | | | | 7,150 | |
Forward Foreign Currency Exchange Contracts | | | — | | | | 166,761 | | | | — | | | | 166,761 | |
OTC – Interest Rate Swaps | | | — | | | | 8,497 | | | | — | | | | 8,497 | |
| | | | | | | | | | | | | | | | |
| Total Derivative Securities | | | — | | | | 182,408 | | | | — | | | | 182,408 | |
| | | | | | | | | | | | | | | | |
| Total | | $ | — | | | $ | 11,333,970 | | | $ | — | | | $ | 11,333,970 | |
| | | | | | | | | | | | | | | | |
187
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL INVESTMENTS | |
| | | | |
Liabilities:* | | | | | | | | | | | | | | | | |
| Derivative Securities: | | | | | | | | | | | | | | | | |
OTC – Cross Currency Swaps | | $ | — | | | $ | (27,068 | ) | | $ | — | | | $ | (27,068 | ) |
Forward Foreign Currency Exchange Contracts | | | — | | | | (234,829 | ) | | | — | | | | (234,829 | ) |
Futures** | | | — | | | | (3,066 | ) | | | — | | | | (3,066 | ) |
OTC – Interest Rate Swaps | | | — | | | | (37,040 | ) | | | — | | | | (37,040 | ) |
OTC – Credit Default Swaps | | | — | | | | (6,195 | ) | | | — | | | | (6,195 | ) |
| | | | | | | | | | | | | | | | |
| Total Derivative Securities | | | — | | | | (308,198 | ) | | | — | | | | (308,198 | ) |
| | | | | | | | | | | | | | | | |
| Total Investments | | $ | — | | | $ | 11,025,772 | | | $ | — | | | $ | 11,025,772 | |
| | | | | | | | | | | | | | | | |
| | * | There were no transfers between levels during the period ended December 31, 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 | | $ | — | | | $ | 18,215,512 | | | $ | — | | | $ | 18,215,512 | |
| | | | | | | | | | | | | | | | |
Total Fixed Income | | | — | | | | 18,215,512 | | | | — | | | | 18,215,512 | |
| | | | | | | | | | | | | | | | |
| Short-Term Investments: | | | | | |
Bank Deposit | | | — | | | | 1,885,090 | | | | — | | | | 1,885,090 | |
| Derivative Securities: | | | | | |
Forward Foreign Currency Exchange Contracts | | | — | | | | 247,402 | | | | — | | | | 247,402 | |
OTC – Interest Rate Swaps | | | — | | | | 36,887 | | | | — | | | | 36,887 | |
| | | | | | | | | | | | | | | | |
| Total Derivative Securities | | | — | | | | 284,289 | | | | — | | | | 284,289 | |
| | | | | | | | | | | | | | | | |
| Total | | $ | — | | | $ | 20,384,891 | | | $ | — | | | $ | 20,384,891 | |
| | | | | | | | | | | | | | | | |
| |
Liabilities:* | | | | | |
| Derivative Securities: | | | | | |
Centrally Cleared Credit Default Swaps** | | | — | | | | (21,979 | ) | | | — | | | | (21,979 | ) |
Forward Foreign Currency Exchange Contracts | | | — | | | | (359,744 | ) | | | — | | | | (359,744 | ) |
OTC – Interest Rate Swaps | | | — | | | | (37,077 | ) | | | — | | | | (37,077 | ) |
| | | | | | | | | | | | | | | | |
| Total Derivative Securities | | | — | | | | (418,800 | ) | | | — | | | | (418,800 | ) |
| | | | | | | | | | | | | | | | |
| Total Investments | | $ | — | | | $ | 19,966,091 | | | $ | — | | | $ | 19,966,091 | |
| | | | | | | | | | | | | | | | |
| | * | There were no transfers between levels during the period ended December 31, 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. |
188
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
Global High Yield Fund
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL INVESTMENTS | |
| | | | |
Assets:* | | | | | | | | | | | | | | | | |
Fixed Income: | | | | | | | | | | | | | | | | |
Bank Loans | | $ | — | | | $ | 260,420 | | | $ | 249,375 | | | $ | 509,795 | |
Corporate Bonds | | | — | | | | 25,632,091 | | | | — | | | | 25,632,091 | |
| | | | | | | | | | | | | | | | |
Total Fixed Income | | | — | | | | 25,892,511 | | | | 249,375 | | | | 26,141,886 | |
| | | | | | | | | | | | | | | | |
| Short-Term Investments: | | | | | | | | | | | | | | | | |
Bank Deposit | | | — | | | | 86,325 | | | | — | | | | 86,325 | |
| Derivative Securities: | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | | — | | | | 8,585 | | | | — | | | | 8,585 | |
| | | | | | | | | | | | | | | | |
| Total | | $ | — | | | $ | 25,987,421 | | | $ | 249,375 | | | $ | 26,236,796 | |
| | | | | | | | | | | | | | | | |
| | | | |
Liabilities:* | | | | | | | | | | | | | | | | |
| Derivative Securities: | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | | — | | | | (9,528 | ) | | | — | | | | (9,528 | ) |
| | | | | | | | | | | | | | | | |
| Total Investments | | $ | — | | | $ | 25,977,893 | | | $ | 249,375 | | | $ | 26,227,268 | |
| | | | | | | | | | | | | | | | |
| | * | There were no transfers between levels during the period ended December 31, 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 December 31, 2017:
| | | | | | | | |
| TYPE OF ASSETS | | FAIR VALUE AS OF
DECEMBER 31, 2017 | | | VALUATION
TECHNIQUE(S) | | UNOBSERVABLE INPUT |
| | | |
Bank Loans | | | | | | | | |
| | | |
Centene Corp. | | $ | 249,375 | | | Recent Transaction | | Priced at cost until service priced |
Although the Fund 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,
2017 | | | REALIZED
GAIN (LOSS) | | | CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET
TRANSFERS
IN (OUT)
OF
LEVEL 3 | | | ACCRUED PREMIUMS/
DISCOUNTS | | | PURCHASES | | | SALES | | | BALANCE AS OF
DECEMBER 31,
2017 | | | CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION)
FROM
INVESTMENTS
HELD AT
DECEMBER 31,
2017 | |
| | | | | | | | | |
Fixed Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank Loans | | $ | 255,372 | | | $ | — | | | $ | (625 | ) | | $ | — | | | $ | — | | | $ | 250,000 | | | $ | (255,372 | ) | | $ | 249,375 | | | $ | (625 | ) |
189
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
U.S. High Yield Fund
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL INVESTMENTS | |
| | | | |
Assets:* | | | | | | | | | | | | | | | | |
| Fixed Income: | | | | | | | | | | | | | | | | |
Bank Loans | | $ | — | | | $ | 565,852 | | | $ | 249,375 | | | $ | 815,227 | |
Corporate Bonds | | | — | | | | 30,781,162 | | | | — | | | | 30,781,162 | |
| | | | | | | | | | | | | | | | |
Total Fixed Income | | | — | | | | 31,347,014 | | | | 249,375 | | | | 31,596,389 | |
| | | | | | | | | | | | | | | | |
| Short-Term Investments: | | | | | | | | | | | | | | | | |
Bank Deposit | | | — | | | | 907,987 | | | | — | | | | 907,987 | |
| | | | | | | | | | | | | | | | |
| Total | | $ | — | | | $ | 32,255,001 | | | $ | 249,375 | | | $ | 32,504,376 | |
| | | | | | | | | | | | | | | | |
| Total Investments | | $ | — | | | $ | 32,255,001 | | | $ | 249,375 | | | $ | 32,504,376 | |
| | | | | | | | | | | | | | | | |
| | * | There were no transfers between levels during the period ended December 31, 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 December 31, 2017:
| | | | | | | | |
| TYPE OF ASSETS | | FAIR VALUE AS OF
DECEMBER 31, 2017 | | | VALUATION
TECHNIQUE(S) | | UNOBSERVABLE INPUT |
| | | |
Bank Loans | | | | | | | | |
| | | |
Centene Corp. | | $ | 249,375 | | | Recent Transaction | | Priced at cost until service priced |
Although the Fund 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,
2017 | | | REALIZED
GAIN (LOSS) | | | CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET
TRANSFERS
IN (OUT)
OF
LEVEL 3 | | | ACCRUED PREMIUMS/
DISCOUNTS | | | PURCHASES | | | SALES | | | BALANCE AS OF
DECEMBER 31,
2017 | | | CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION)
FROM
INVESTMENTS
HELD AT
DECEMBER 31,
2017 | |
| | | | | | | | | |
Fixed Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank Loans | | $ | 255,643 | | | $ | — | | | $ | (625 | ) | | $ | — | | | $ | — | | | $ | 250,000 | | | $ | (255,643 | ) | | $ | 249,375 | | | $ | (625 | ) |
| 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
190
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
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 December 31, 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. Interest income from securitized investments in which the Fund(s) has/have a beneficial interest, such as the “equity” security class of a CLO vehicle (typically in the form of income or subordinated notes), are recorded upon receipt. The accrual of interest income related to these types of securities is periodically reviewed and adjustments are made as necessary. These cash inflows are regularly
reviewed to ensure these payments are not materially different from what would be required by GAAP reporting. Adjustments would be made if needed to address any changes.
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.
The Funds do not have redemption fees.
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of 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 December 31, 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
191
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
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.
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 unfunded portion of the Funds’ bank loans. As of December 31, 2017, no Funds had unfunded loan commitments.
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
192
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
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 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
193
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
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 comprised of North American and Emerging Market companies.
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 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
194
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
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 December 31, 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.
The following is a summary of the fair value of derivative instruments held directly by the Funds as of December 31, 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 | | $ | 13,444 | |
| | | | | | |
Total | | | | $ | 13,444 | |
| | | | | | |
| | | | | | |
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 | | $ | (379,471 | ) |
| | | | | | |
Total | | | | $ | (379,471 | ) |
| | | | | | |
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 | | $ | 4,297 | | | $ | – | | | $ | – | | | $ | 4,297 | |
Purchased Options | | Investments, at fair value | | | – | | | | | | | | 276,000 | | | | 276,000 | |
| | | | | | | | | | | | | | | | | | |
Total | | | | $ | 4,297 | | | $ | – | | | $ | 276,000 | | | $ | 280,297 | |
| | | | | | | | | | | | | | | | | | |
195
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | | | |
| LIABILITY DERIVATIVES | | STATEMENTS OF ASSETS
AND LIABILITIES
LOCATION | | FOREIGN
EXCHANGE CONTRACTS
RISK | | | INTEREST RATE
RISK | | | EQUITY
RISK | | | TOTAL | |
Forward Foreign Currency Exchange Contracts | | Unrealized depreciation on forward foreign currency exchange contracts | | $ | (288,389 | ) | | $ | – | | | $ | – | | | $ | (288,389 | ) |
| | | | | | | | | | | | | | | | | | |
Total | | | | $ | (288,389 | ) | | $ | – | | | $ | – | | | $ | (288,389 | ) |
| | | | | | | | | | | | | | | | | | |
Active Short Duration Bond Fund
| | | | | | | | | | | | | | |
| ASSET DERIVATIVES | | STATEMENTS OF ASSETS
AND LIABILITIES
LOCATION | | 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. | | $ | 497,766 | | | $ | – | | | $ | 497,766 | |
Purchased Options | | Investments, at fair value | | | 1,621,023 | | | | – | | | | 1,621,023 | |
| | | | | | | | | | | | | | |
Total | | | | $ | 2,118,789 | | | $ | – | | | $ | 2,118,789 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| LIABILITY DERIVATIVES | | STATEMENTS OF ASSETS
AND LIABILITIES
LOCATION | | 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. | | $ | (174,432 | ) | | $ | – | | | $ | (174,432 | ) |
OTC—Swaps Contracts | | Swap contracts, at fair value | | | – | | | | (76,086 | ) | | | (76,086 | ) |
| | | | | | | | | | | | | | |
Total | | | | $ | (174,432 | ) | | $ | (76,086 | ) | | $ | (250,518 | ) |
| | | | | | | | | | | | | | |
196
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
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 | | $ | 11,963 | | | $ | – | | | $ | – | | | $ | 11,963 | |
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. | | | – | | | | 6,080 | | | | – | | | | 6,080 | |
Purchased Options | | Investments, at fair value | | | – | | | | 183,668 | | | | – | | | | 183,668 | |
| | | | | | | | | | | | | | | | | | |
Total | | | | $ | 11,963 | | | $ | 189,748 | | | $ | – | | | $ | 201,711 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| 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 | | $ | (10,487 | ) | | $ | – | | | $ | | | | $ | (10,487 | ) |
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. | | | – | | | | (16,067 | ) | | | – | | | | (16,067 | ) |
OTC – Swaps Contracts | | Swap contracts, at fair value | | | – | | | | – | | | | (19,021 | ) | | | (19,021 | ) |
| | | | | | | | | | | | | | | | | | |
Total | | | | $ | (10,487 | ) | | $ | (16,067 | ) | | $ | (19,021 | ) | | $ | (45,575 | ) |
| | | | | | | | | | | | | | | | | | |
197
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
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 | | $ | 166,761 | | | $ | – | | | $ | – | | | $ | 166,761 | |
OTC – Swaps Contracts | | Swap contracts, at fair value | | | – | | | | 8,497 | | | | 7,150 | | | | 15,647 | |
| | | | | | | | | | | | | | | | | | |
Total | | | | $ | 166,761 | | | $ | 8,497 | | | $ | 7,150 | | | $ | 182,408 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| 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 | | $ | (234,829 | ) | | $ | – | | | $ | | | | $ | (234,829 | ) |
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. | | | – | | | | (3,066 | ) | | | – | | | | (3,066 | ) |
OTC – Swaps Contracts | | Swap contracts, at fair value | | | (27,068 | ) | | | (37,040 | ) | | | (6,195 | ) | | | (70,303 | ) |
| | | | | | | | | | | | | | | | | | |
Total | | | | $ | (261,897 | ) | | $ | (40,106 | ) | | $ | (6,195 | ) | | $ | (308,198 | ) |
| | | | | | | | | | | | | | | | | | |
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 | | $ | 247,402 | | | $ | – | | | $ | 247,402 | |
OTC – Swaps Contracts | | Swap contracts, at fair value | | | – | | | | 36,887 | | | | 36,887 | |
| | | | | | | | | | | | | | |
Total | | | | $ | 247,402 | | | $ | 36,887 | | | $ | 284,289 | |
| | | | | | | | | | | | | | |
198
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | |
| 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 | | $ | (359,744 | ) | | $ | – | | | $ | (359,744 | ) |
OTC – Swaps Contracts | | Swap contracts, at fair value | | | | | | | (37,077 | ) | | | (37,077 | ) |
| | Includes cumulative unrealized appreciation/ depreciation of swap contracts as reported in thein the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. | | | – | | | | (21,979 | ) | | | (21,979 | ) |
| | | | | | | | | | | | | | |
Total | | | | $ | (359,744 | ) | | $ | (59,056 | ) | | $ | (418,800 | ) |
| | | | | | | | | | | | | | |
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 | | $ | 8,505 | |
| | | | | | |
Total | | | | $ | 8,505 | |
| | | | | | |
| | | | | | |
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 | | $ | (9,528 | ) |
| | | | | | |
Total | | | | $ | (9,528 | ) |
| | | | | | |
Amount of Realized Gain/(Loss) on Derivatives:
Global Floating Rate Fund
| | | | |
| | | FOREIGN
EXCHANGE
CONTRACTS RISK | |
Forward Foreign Currency Exchange Contracts | | $ | (995,150 | ) |
| | | | |
Total | | $ | (995,150 | ) |
| | | | |
Global Credit Income Opportunities Fund
| | | | | | | | | | | | | | | | |
| | | FOREIGN
EXCHANGE
CONTRACTS RISK | | | INTEREST RATE
RISK | | | EQUITY
RISK | | | TOTAL | |
Forward Foreign Currency Exchange Contracts | | $ | (909,532 | ) | | $ | – | | | $ | – | | | $ | (909,532 | ) |
Purchased Options | | | – | | | | (94,770 | ) | | | (105,446 | ) | | | (200,216 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | (909,532 | ) | | $ | (94,770 | ) | | $ | (105,446 | ) | | $ | (1,109,748 | ) |
| | | | | | | | | | | | | | | | |
199
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
Active Short Duration Bond Fund
| | | | | | | | | | | | |
| | | INTEREST RATE
RISK | | | CREDIT
RISK | | | TOTAL | |
Futures Contracts | | $ | 135,078 | | | $ | – | | | $ | 135,078 | |
Purchased Options | | | (95,458 | ) | | | – | | | | (95,458 | ) |
Swaps Contracts | | | – | | | | (19,098 | ) | | | (19,098 | ) |
| | | | | | | | | | | | |
Total | | $ | 39,620 | | | $ | (19,098 | ) | | $ | 20,522 | |
| | | | | | | | | | | | |
Total Return Bond Fund
| | | | | | | | | | | | | | | | |
| | | FOREIGN
EXCHANGE
CONTRACTS RISK | | | INTEREST RATE
RISK | | | CREDIT
RISK | | | TOTAL | |
Forward Foreign Currency Exchange Contracts | | $ | 6,153 | | | $ | – | | | $ | – | | | $ | 6,153 | |
Futures Contracts | | | – | | | | (8,197 | ) | | | – | | | | (8,197 | ) |
Purchased Options | | | – | | | | (19,770 | ) | | | – | | | | (19,770 | ) |
Swaps Contracts | | | – | | | | – | | | | (3,828 | ) | | | (3,828 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | 6,153 | | | $ | (27,967 | ) | | $ | (3,828 | ) | | $ | (25,642 | ) |
| | | | | | | | | | | | | | | | |
Emerging Markets Debt Blended Total Return Fund
| | | | | | | | | | | | | | | | |
| | | FOREIGN
EXCHANGE
CONTRACTS RISK | | | INTEREST RATE
RISK | | | CREDIT
RISK | | | TOTAL | |
Forward Foreign Currency Exchange Contracts | | $ | 13,529 | | | $ | – | | | $ | – | | | $ | 13,529 | |
Futures Contracts | | | – | | | | (8,600 | ) | | | – | | | | (8,600 | ) |
Swaps Contracts | | | – | | | | 57,300 | | | | 29,609 | | | | 86,909 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 13,529 | | | $ | 48,700 | | | $ | 29,609 | | | $ | 91,838 | |
| | | | | | | | | | | | | | | | |
Emerging Markets Local Currency Debt Fund
| | | | | | | | | | | | |
| | | FOREIGN
EXCHANGE
CONTRACTS RISK | | | INTEREST RATE
RISK | | | TOTAL | |
Forward Foreign Currency Exchange Contracts | | $ | 172,690 | | | $ | – | | | $ | 172,690 | |
Swaps Contracts | | | – | | | | 27,151 | | | | 27,151 | |
| | | | | | | | | | | | |
Total | | $ | 172,690 | | | $ | 27,151 | | | $ | 199,841 | |
| | | | | | | | | | | | |
200
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
Global High Yield Fund
| | | | |
| | | FOREIGN
EXCHANGE
CONTRACTS RISK | |
Forward Foreign Currency Exchange Contracts | | $ | (316,456 | ) |
| | | | |
Total | | $ | (316,456 | ) |
| | | | |
Change in Unrealized Appreciation/(Depreciation) on Derivatives:
Global Floating Rate Fund
| | | | |
| | | FOREIGN
EXCHANGE
CONTRACTS RISK | |
Forward Foreign Currency Exchange Contracts | | $ | (58,509 | ) |
| | | | |
Total | | $ | (58,509 | ) |
| | | | |
Global Credit Income Opportunities Fund
| | | | | | | | | | | | | | | | |
| | | FOREIGN
EXCHANGE
CONTRACTS RISK | | | INTEREST RATE
RISK | | | EQUITY
RISK | | | TOTAL | |
Forward Foreign Currency Exchange Contracts | | $ | (23,806 | ) | | $ | – | | | $ | – | | | $ | (23,806 | ) |
Purchased Options | | | – | | | | 68,777 | | | | (225,594 | ) | | | (156,817 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | (23,806 | ) | | $ | 68,777 | | | $ | (225,594 | ) | | $ | (180,623 | ) |
| | | | | | | | | | | | | | | | |
Active Short Duration Bond Fund
| | | | | | | | | | | | |
| | | INTEREST RATE
RISK | | | CREDIT
RISK | | | TOTAL | |
Futures Contracts | | $ | 72,952 | | | $ | – | | | $ | 72,952 | |
Purchased Options | | | (19,519 | ) | | | – | | | | (19,519 | ) |
Swaps Contracts | | | – | | | | (7,153 | ) | | | (7,153 | ) |
| | | | | | | | | | | | |
Total | | $ | 53,433 | | | $ | (7,153 | ) | | $ | 46,280 | |
| | | | | | | | | | | | |
Total Return Bond Fund
| | | | | | | | | | | | | | | | |
| | | FOREIGN
EXCHANGE
CONTRACTS
RISK | | | INTEREST
RATE
RISK | | | CREDIT
RISK | | | TOTAL | |
Forward Foreign Currency Exchange Contracts | | $ | (770 | ) | | $ | – | | | $ | – | | | $ | (770 | ) |
Futures Contracts | | | – | | | | (14,288 | ) | | | – | | | | (14,288 | ) |
Purchased Options | | | – | | | | 5,297 | | | | – | | | | 5,297 | |
Swaps Contracts | | | – | | | | – | | | | (2,142 | ) | | | (2,142 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | (770 | ) | | $ | (8,991 | ) | | $ | (2,142 | ) | | $ | (11,903 | ) |
| | | | | | | | | | | | | | | | |
201
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
Emerging Markets Debt Blended Total Return Fund
| | | | | | | | | | | | | | | | |
| | | FOREIGN
EXCHANGE
CONTRACTS
RISK | | | INTEREST
RATE
RISK | | | CREDIT
RISK | | | TOTAL | |
Forward Foreign Currency Exchange Contracts | | $ | (31,084 | ) | | $ | – | | | $ | – | | | $ | (31,084 | ) |
Futures Contracts | | | – | | | | 2,868 | | | | – | | | | 2,868 | |
Swaps Contracts | | | – | | | | (3,270 | ) | | | – | | | | (3,270 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | (31,084 | ) | | $ | (402 | ) | | $ | – | | | $ | (31,486 | ) |
| | | | | | | | | | | | | | | | |
Emerging Markets Local Currency Debt Fund
| | | | | | | | | | | | |
| | | FOREIGN
EXCHANGE
CONTRACTS
RISK | | | INTEREST
RATE
RISK | | | TOTAL | |
Forward Foreign Currency Exchange Contracts | | $ | (165,113 | ) | | $ | – | | | $ | (165,113 | ) |
Swaps Contracts | | | – | | | | (50,858 | ) | | | (50,858 | ) |
| | | | | | | | | | | | |
Total | | $ | (165,113 | ) | | $ | (50,858 | ) | | $ | (215,971 | ) |
| | | | | | | | | | | | |
Global High Yield Fund
| | | | |
| | | FOREIGN
EXCHANGE
CONTRACTS
RISK | |
Forward Foreign Currency Exchange Contracts | | $ | 77,840 | |
| | | | |
Total | | $ | 77,840 | |
| | | | |
Global Floating Rate Fund
| | | | |
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OF SHARES/UNITS | | FOREIGN
EXCHANGE CONTRACTS
RISK | |
Forward Foreign Currency Exchange Contracts(1) | | $ | 29,964,882 | |
| | | | |
Total | | $ | 29,964,882 | |
| | | | |
| | (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) | | $ | 30,697,436 | | | $ | – | | | $ | – | | | $ | 30,697,436 | |
Purchased Options(1) | | | – | | | | 13,000,000 | | | | 35 | | | | 13,000,035 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 30,697,436 | | | $ | 13,000,000 | | | $ | 35 | | | $ | 43,697,471 | |
| | | | | | | | | | | | | | | | |
| | (1) | Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period. |
202
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
Active Short Duration Bond Fund
| | | | | | | | | | | | |
NUMBER OF CONTRACTS,
NOTIONAL AMOUNTS OF
SHARES/UNITS | | INTEREST
RATE RISK | | | CREDIT
RISK | | | TOTAL | |
Futures Contracts(1) | | $ | 1,314 | | | $ | – | | | $ | 1,314 | |
Purchased Options(2) | | | 8,281,333 | | | | – | | | | 8,281,333 | |
OTC – Swaps Contracts | | | – | | | | 2,830,000 | | | | 2,830,000 | |
| | | | | | | | | | | | |
Total | | $ | 8,282,647 | | | $ | 2,830,000 | | | $ | 11,112,647 | |
| | | | | | | | | | | | |
| | (1) | Volume of derivative activity is based on an average of month-end contracts outstanding during the period. |
| | (2) | Volume of derivative activity is based on an average of month-end notional amounts 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) | | $ | 1,046,604 | | | $ | – | | | $ | – | | | $ | 1,046,604 | |
Futures Contracts(2) | | | – | | | | 35 | | | | – | | | | 35 | |
Purchased Options(1) | | | – | | | | 1,587,000 | | | | – | | | | 1,587,000 | |
OTC – Swaps Contracts | | | – | | | | – | | | | 610,000 | | | | 610,000 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 1,046,604 | | | $ | 1,587,035 | | | $ | 610,000 | | | $ | 3,243,639 | |
| | | | | | | | | | | | | | | | |
| | (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) | | Investments, at fair value | | $ | 19,003,196 | | | $ | – | | | $ | – | | | $ | 19,003,196 | |
Futures Contracts(2) | | Investments, at fair value | | | – | | | | 2 | | | | – | | | | 2 | |
Centrally Cleared Credit Default Swaps Contracts(1) | | | | | 189,980 | | | | 4,141,939 | | | | 1,250,000 | | | | 5,581,919 | |
| | | | | | | | | | | | | | | | | | |
Total | | | | $ | 19,193,176 | | | $ | 4,141,941 | | | $ | 1,250,000 | | | $ | 24,585,117 | |
| | | | | | | | | | | | | | | | | | |
| | (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. |
203
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
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) | | $ | 14,478,874 | | | $ | – | | | $ | 14,478,874 | |
OTC – Swaps Contracts | | | – | | | | 2,131,742 | | | | 2,131,742 | |
Centrally Cleared Credit Default Swaps Contracts(1) | | | – | | | | 804,752 | | | | 804,752 | |
| | | | | | | | | | | | |
Total | | $ | 14,478,874 | | | $ | 2,936,494 | | | $ | 17,415,368 | |
| | | | | | | | | | | | |
| | (1) | Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period. |
Global High Yield Fund
| | | | |
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OF SHARES/UNITS | | FOREIGN EXCHANGE
CONTRACTS RISK | |
Forward Foreign Currency Exchange Contracts(1) | | $ | 7,105,741 | |
| | | | |
Total | | $ | 7,105,741 | |
| | | | |
| | (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:
204
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
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 | | $ | 13,444 | | | $ | – | | | $ | 13,444 | |
| | | | | | | | | | | | |
Total | | $ | 13,444 | | | $ | – | | | $ | 13,444 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | 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) | |
Credit Suisse International | | $ | 769 | | | $ | (769 | ) | | $ | – | | | $ | – | |
Morgan Stanley & Co. | | | 12,675 | | | | (12,675 | ) | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Total | | $ | 13,444 | | | $ | (13,444 | ) | | $ | – | | | $ | – | |
| | | | | | | | | | | | | | | | |
| | (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 December 31, 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 | | $ | 379,471 | | | $ | – | | | $ | 379,471 | |
| | | | | | | | | | | | |
Total | | $ | 379,471 | | | $ | – | | | $ | 379,471 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | 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) | |
Credit Suisse International | | $ | 14,921 | | | $ | (769 | ) | | $ | – | | | $ | 14,152 | |
Morgan Stanley & Co. | | | 364,550 | | | | (12,675 | ) | | | – | | | | 351,875 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 379,471 | | | $ | (13,444 | ) | | $ | – | | | $ | 366,027 | |
| | | | | | | | | | | | | | | | |
| | (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. |
205
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | (b) | Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 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 | | $ | 4,297 | | | $ | – | | | $ | 4,297 | |
Purchased Options | | | 276,000 | | | | – | | | | 276,000 | |
| | | | | | | | | | | | |
Total | | $ | 280,297 | | | $ | – | | | $ | 280,297 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | 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. | | $ | 2,225 | | | $ | – | | | $ | – | | | $ | 2,225 | |
Goldman Sachs & Co. | | | 2,072 | | | | (2,072 | ) | | | – | | | | – | |
Morgan Stanley & Co. | | | 276,000 | | | | – | | | | – | | | | 276,000 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 280,297 | | | $ | (2,072 | ) | | $ | – | | | $ | 278,225 | |
| | | | | | | | | | | | | | | | |
| | (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 December 31, 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 | | $ | 288,389 | | | $ | – | | | $ | 288,389 | |
| | | | | | | | | | | | |
Total | | $ | 288,389 | | | $ | – | | | $ | 288,389 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | 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. | | $ | 233,360 | | | $ | (2,072 | ) | | $ | – | | | $ | 231,288 | |
JPMorgan Chase Bank N.A. | | | 55,029 | | | | – | | | | – | | | | 55,029 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 288,389 | | | $ | (2,072 | ) | | $ | – | | | $ | 286,317 | |
| | | | | | | | | | | | | | | | |
206
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | (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 December 31, 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 | | $ | 1,621,023 | | | $ | – | | | $ | 1,621,023 | |
| | | | | | | | | | | | |
Total | | $ | 1,621,023 | | | $ | – | | | $ | 1,621,023 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | 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. | | $ | 1,621,023 | | | $ | (34,177 | ) | | $ | (1,630,000 | ) | | $ | – | |
| | | | | | | | | | | | | | | | |
Total | | $ | 1,621,023 | | | $ | (34,177 | ) | | $ | (1,630,000 | ) | | $ | – | |
| | | | | | | | | | | | | | | | |
| | (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 December 31, 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 | | $ | 54,973 | | | $ | – | | | $ | 54,973 | |
| | | | | | | | | | | | |
Total | | $ | 54,973 | | | $ | – | | | $ | 54,973 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | 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. | | $ | 20,796 | | | $ | – | | | $ | – | | | $ | 20,796 | |
JPMorgan Chase Bank N.A. | | | 34,177 | | | | (34,177 | ) | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Total | | $ | 54,973 | | | $ | (34,177 | ) | | $ | – | | | $ | 20,796 | |
| | | | | | | | | | | | | | | | |
| | (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. |
207
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | (b) | Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 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 | | $ | 11,963 | | | $ | – | | | $ | 11,963 | |
Purchased Options | | | 183,668 | | | | – | | | | 183,668 | |
| | | | | | | | | | | | |
Total | | $ | 195,631 | | | $ | – | | | $ | 195,631 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | 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. | | $ | 1,699 | | | $ | (1,699 | ) | | $ | – | | | $ | – | |
BNP Paribas S.A. | | | 1,751 | | | | (54 | ) | | | – | | | | 1,697 | |
Citibank N.A. | | | 19 | | | | – | | | | – | | | | 19 | |
Goldman Sachs & Co. | | | 6,286 | | | | (6,286 | ) | | | – | | | | – | |
JPMorgan Chase Bank N.A. | | | 185,876 | | | | (10,926 | ) | | | – | | | | 174,950 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 195,631 | | | $ | (18,965 | ) | | $ | – | | | $ | 176,666 | |
| | | | | | | | | | | | | | | | |
| | (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 December 31, 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 | | $ | 10,487 | | | $ | – | | | $ | 10,487 | |
Swap Contracts | | | 13,935 | | | | – | | | | 13,935 | |
| | | | | | | | | | | | |
Total | | $ | 24,422 | | | $ | – | | | $ | 24,422 | |
| | | | | | | | | | | | |
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | |
| | | | | | 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. | | $ | 2,730 | | | $ | (1,699 | ) | | $ | – | | | $ | 1,031 | |
BNP Paribas S.A. | | | 54 | | | | (54 | ) | | | – | | | | – | |
Goldman Sachs & Co. | | | 10,712 | | | | (6,286 | ) | | | – | | | | 4,426 | |
JPMorgan Chase Bank N.A. | | | 10,926 | | | | (10,926 | ) | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Total | | $ | 24,422 | | | $ | (18,965 | ) | | $ | – | | | $ | 5,457 | |
| | | | | | | | | | | | | | | | |
| | (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 December 31, 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 | | $ | 166,761 | | | $ | – | | | $ | 166,761 | |
Swap Contracts | | | 12,106 | | | | – | | | | 12,106 | |
| | | | | | | | | | | | |
Total | | $ | 178,867 | | | $ | – | | | $ | 178,867 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | 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. | | $ | 40,625 | | | $ | (40,625 | ) | | $ | – | | | $ | – | |
BNP Paribas S.A. | | | 13,456 | | | | (5,024 | ) | | | – | | | | 8,432 | |
Citibank N.A. | | | 1,915 | | | | (1,620 | ) | | | – | | | | 295 | |
Goldman Sachs & Co. | | | 78,452 | | | | (61,445 | ) | | | – | | | | 17,007 | |
JPMorgan Chase Bank N.A. | | | 44,419 | | | | (44,419 | ) | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Total | | $ | 178,867 | | | $ | (153,133 | ) | | $ | – | | | $ | 25,734 | |
| | | | | | | | | | | | | | | | |
| | (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 December 31, 2017. |
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | |
| 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 | | $ | 234,829 | | | $ | – | | | $ | 234,829 | |
Swap Contracts | | | 42,064 | | | | – | | | | 42,064 | |
| | | | | | | | | | | | |
Total | | $ | 276,893 | | | $ | – | | | $ | 276,893 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | 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. | | $ | 126,102 | | | $ | (40,625 | ) | | $ | – | | | $ | 85,477 | |
BNP Paribas S.A. | | | 5,024 | | | | (5,024 | ) | | | – | | | | – | |
Citibank N.A. | | | 1,620 | | | | (1,620 | ) | | | – | | | | – | |
Goldman Sachs & Co. | | | 61,445 | | | | (61,445 | ) | | | – | | | | – | |
JPMorgan Chase Bank N.A. | | | 82,702 | | | | (44,419 | ) | | | – | | | | 38,283 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 276,893 | | | $ | (153,133 | ) | | $ | – | | | $ | 123,760 | |
| | | | | | | | | | | | | | | | |
| (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 December 31, 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 | | $ | 247,402 | | | $ | – | | | $ | 247,402 | |
Swap Contracts | | | 36,887 | | | | – | | | | 36,887 | |
| | | | | | | | | | | | |
Total | | $ | 284,289 | | | $ | – | | | $ | 284,289 | |
| | | | | | | | | | | | |
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Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | |
| | | | | | 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. | | $ | 55,739 | | | $ | (55,739 | ) | | $ | – | | | $ | – | |
BNP Paribas S.A. | | | 29,475 | | | | (29,475 | ) | | | – | | | | – | |
Citibank N.A. | | | 9,267 | | | | (9,267 | ) | | | – | | | | – | |
Goldman Sachs & Co. | | | 150,706 | | | | (88,995 | ) | | | – | | | | 61,711 | |
JPMorgan Chase Bank N.A. | | | 39,102 | | | | (39,102 | ) | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Total | | $ | 284,289 | | | $ | (222,578 | ) | | $ | – | | | $ | 61,711 | |
| | | | | | | | | | | | | | | | |
| | (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 December 31, 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 | | $ | 359,744 | | | $ | – | | | $ | 359,744 | |
Swap Contracts | | | 37,077 | | | | – | | | | 37,077 | |
| | | | | | | | | | | | |
Total | | $ | 396,821 | | | $ | – | | | $ | 396,821 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | 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. | | $ | 110,200 | | | $ | (55,739 | ) | | $ | – | | | $ | 54,461 | |
BNP Paribas S.A. | | | 69,433 | | | | (29,475 | ) | | | – | | | | 39,958 | |
Citibank N.A. | | | 11,304 | | | | (9,267 | ) | | | – | | | | 2,037 | |
Goldman Sachs & Co. | | | 88,995 | | | | (88,995 | ) | | | – | | | | – | |
JPMorgan Chase Bank N.A. | | | 113,996 | | | | (39,102 | ) | | | – | | | | 74,894 | |
State Street Bank & Trust Co. | | | 2,893 | | | | – | | | | – | | | | 2,893 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 396,821 | | | $ | (222,578 | ) | | $ | – | | | $ | 174,243 | |
| | | | | | | | | | | | | | | | |
| | (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 December 31, 2017. |
211
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
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 | | $ | 8,585 | | | $ | – | | | $ | 8,585 | |
| | | | | | | | | | | | |
Total | | $ | 8,585 | | | $ | – | | | $ | 8,585 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | 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) | |
Goldman Sachs & Co. | | $ | 8,585 | | | $ | – | | | $ | – | | | $ | 8,585 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 8,585 | | | $ | – | | | $ | – | | | $ | 8,585 | |
| | | | | | | | | | | | | | | | |
| | (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 December 31, 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 | | $ | 9,528 | | | $ | – | | | $ | 9,528 | |
| | | | | | | | | | | | |
Total | | $ | 9,528 | | | $ | – | | | $ | 9,528 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | 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. | | $ | 9,528 | | | $ | – | | | $ | – | | | $ | 9,528 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 9,528 | | | $ | – | | | $ | – | | | $ | 9,528 | |
| | | | | | | | | | | | | | | | |
| | (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 December 31, 2017. |
212
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
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.
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.
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 |
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
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
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 management fee waiver and expense reimbursement agreements between the Funds and the Adviser will remain in effect until November 1, 2018 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 Funds, as allocated from time to time to BGA. As compensation for its services, the Adviser (not the Funds) pays to BGA sub-advisory fees equal to the below percentages of the advisory fee paid to the Adviser by the applicable Fund, net of any fee waivers and/or expense reimbursements:
| | | | |
Global Floating Rate Fund | | | 35 | % |
Global Credit Income Opportunities Fund | | | 35 | % |
Emerging Markets Debt Blended Total Return Fund | | | 50 | % |
Global High Yield Fund | | | 35 | % |
The Adviser or its affiliates voluntarily agreed to waive certain fees for the Global Floating Rate Fund, the Active Short Duration Bond 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 six months ended December 31, 2017 the amount of the waivers were $5,462, $211, $5, $3,326 and $9,744, respectively.
| | 4. | 12b-1 Distribution and Service Plan |
ALPS Distributors, Inc. (the “Distributor”) is the Distributor of the Funds’ shares as of December 31, 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.
| | 5. | Sales Charges and Commissions |
For the six months ended December 31, 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 | | $ | 700 | |
Global Credit Income Opportunities Fund | | | 7 | |
Emerging Markets Debt Blended Total Return Fund | | | 98 | |
For the six months ended December 31, 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 | | $ | 4,266 | | | $ | 68,807 | |
Global Credit Income Opportunities Fund | | | 8,041 | | | | 75,417 | |
Active Short Duration Bond Fund | | | – | | | | 3,175 | |
Emerging Markets Debt Blended Total Return Fund | | | 888 | | | | 6,400 | |
| | 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 six months ended December 31, 2017, the fee for the services
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
performed by SSB 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 | | | 0.23 | % |
Global Credit Income Opportunities Fund | | | 0.22 | % |
Active Short Duration Bond Fund | | | 0.20 | % |
Total Return Bond Fund | | | 0.37 | % |
Emerging Markets Debt Blended Total Return Fund | | | 0.61 | % |
Emerging Markets Local Currency Debt Fund | | | 0.59 | % |
Global High Yield Fund | | | 0.35 | % |
U.S. High Yield Fund | | | 0.33 | % |
For the six months ended December 31, 2017, the aggregate effective fee for the services performed by ALPS was at the following annual rate of each Fund’s average daily managed assets:
Transfer Agency Fee to ALPS:
| | | | |
Global Floating Rate Fund | | | 0.01 | % |
Global Credit Income Opportunities Fund | | | 0.02 | % |
Active Short Duration Bond Fund | | | 0.01 | % |
Total Return Bond Fund | | | 0.07 | % |
Emerging Markets Debt Blended Total Return Fund | | | 0.24 | % |
Emerging Markets Local Currency Debt Fund | | | 0.22 | % |
Global High Yield Fund | | | 0.08 | % |
U.S. High Yield Fund | | | 0.06 | % |
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 tax 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 | |
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.
As of December 31, 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 | | $ | 216,006,347 | | | $ | 3,127,545 | | | $ | (4,906,585 | ) | | $ | (1,779,040 | ) |
Global Credit Income Opportunities Fund | | | 179,165,787 | | | | 4,084,450 | | | | (4,714,527 | ) | | | (630,077 | ) |
Active Short Duration Bond Fund | | | 420,929,970 | | | | 1,823,327 | | | | (2,064,182 | ) | | | (240,855 | ) |
Total Return Bond Fund | | | 35,202,738 | | | | 592,685 | | | | (150,832 | ) | | | 441,853 | |
Emerging Markets Debt Blended Total Return Fund | | | 10,646,514 | | | | 828,403 | | | | (449,144 | ) | | | 379,259 | |
Emerging Markets Local Currency Debt Fund | | | 19,671,219 | | | | 904,472 | | | | (609,600 | ) | | | 294,872 | |
Global High Yield Fund | | | 25,938,513 | | | | 995,966 | | | | (707,210 | ) | | | 288,756 | |
U.S. High Yield Fund | | | 32,310,970 | | | | 999,239 | | | | (805,833 | ) | | | 193,406 | |
215
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to wash sales.
| 8. | Investment Transactions |
Purchases and sales of securities (excluding short-term debt securities) for the six months ended December 31, 2017 were as follows:
| | | | | | | | | | | | | | | | |
| | | PURCHASES | | | SALES | | | GOVERNMENT
PURCHASES | | | GOVERNMENT
SALES | |
Global Floating Rate Fund | | $ | 71,936,522 | | | $ | 52,481,164 | | | $ | – | | | $ | – | |
Global Credit Income Opportunities Fund | | | 58,430,806 | | | | 36,245,937 | | | | – | | | | – | |
Active Short Duration Bond Fund | | | 94,456,022 | | | | 30,861,809 | | | | 8,490,296 | | | | 57,858,636 | |
Total Return Bond Fund | | | 5,090,894 | | | | 3,912,601 | | | | 30,706,057 | | | | 30,101,189 | |
Emerging Markets Debt Blended Total Return Fund | | | 4,541,500 | | | | 4,278,622 | | | | – | | | | – | |
Emerging Markets Local Currency Debt Fund | | | 14,069,566 | | | | 1,566,462 | | | | – | | | | – | |
Global High Yield Fund | | | 8,961,681 | | | | 10,305,569 | | | | – | | | | – | |
U.S. High Yield Fund | | | 8,862,331 | | | | 8,879,920 | | | | – | | | | – | |
Transactions in common stock for the six months ended December 31, 2017 were as follows:
Global Floating Rate Fund
| | | | | | | | | | | | | | | | |
| | | FOR THE SIX MONTHS ENDED
DECEMBER 31, 2017 | | | FOR THE YEAR ENDED JUNE 30, 2017 | |
| CLASS A | | SHARES | | | AMOUNT | | | SHARES | | | AMOUNT | |
Shares sold | | | 1,030,287 | | | $ | 9,841,728 | | | | 3,829,613 | | | $ | 36,363,931 | |
Shares sold through reinvestments of distributions | | | 117,729 | | | | 1,123,674 | | | | 146,369 | | | | 1,393,229 | |
Shares redeemed | | | (380,061 | ) | | | (3,626,788 | ) | | | (753,451 | ) | | | (7,217,797 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | 767,955 | | | $ | 7,338,614 | | | | 3,222,531 | | | $ | 30,539,363 | |
| | | | | | | | | | | | | | | | |
CLASS C | | | | | | | | | | | | | | | | |
Shares sold | | | 68,233 | | | $ | 649,027 | | | | 282,492 | | | $ | 2,668,145 | |
Shares sold through reinvestments of distributions | | | 14,406 | | | | 137,006 | | | | 28,770 | | | | 272,104 | |
Shares redeemed | | | (89,896 | ) | | | (854,275 | ) | | | (215,649 | ) | | | (2,030,225 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (7,257 | ) | | $ | (68,242 | ) | | | 95,613 | | | $ | 910,024 | |
| | | | | | | | | | | | | | | | |
CLASS I | | | | | | | | | | | | | | | | |
Shares sold | | | 575,962 | | | $ | 5,511,861 | | | | 2,214,829 | | | $ | 21,195,710 | |
Shares sold through reinvestments of distributions | | | 51,815 | | | | 495,525 | | | | 51,957 | | | | 499,056 | |
Shares redeemed | | | (414,566 | ) | | | (3,959,994 | ) | | | (2,378,284 | ) | | | (22,670,813 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 213,211 | | | $ | 2,047,392 | | | | (111,498 | ) | | $ | (976,047 | ) |
| | | | | | | | | | | | | | | | |
CLASS Y | | | | | | | | | | | | | | | | |
Shares sold | | | 2,146,480 | | | $ | 20,510,570 | | | | 9,291,951 | | | $ | 88,449,851 | |
Shares sold through reinvestments of distributions | | | 269,674 | | | | 2,578,126 | | | | 484,693 | | | | 4,604,438 | |
Shares redeemed | | | (2,296,148 | ) | | | (21,964,233 | ) | | | (10,706,795 | ) | | | (101,282,672 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 120,006 | | | $ | 1,124,463 | | | | (930,151 | ) | | $ | (8,228,383 | ) |
| | | | | | | | | | | | | | | | |
216
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
Global Credit Income Opportunities Fund
| | | | | | | | | | | | | | | | |
| | | FOR THE SIX MONTHS ENDED
DECEMBER 31, 2017 | | | FOR THE YEAR ENDED JUNE 30, 2017 | |
| CLASS A | | SHARES | | | AMOUNT | | | SHARES | | | AMOUNT | |
Shares sold | | | 1,086,291 | | | $ | 10,313,470 | | | | 2,302,114 | | | $ | 21,436,358 | |
Shares sold through reinvestments of distributions | | | 81,790 | | | | 776,115 | | | | 106,536 | | | | 999,227 | |
Shares redeemed | | | (446,200 | ) | | | (4,231,015 | ) | | | (980,824 | ) | | | (9,084,434 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | 721,881 | | | $ | 6,858,570 | | | | 1,427,826 | | | $ | 13,351,151 | |
| | | | | | | | | | | | | | | | |
CLASS C | | | | | | | | | | | | | | | | |
Shares sold | | | 203,399 | | | $ | 1,925,575 | | | | 419,598 | | | $ | 3,942,417 | |
Shares sold through reinvestments of distributions | | | 13,582 | | | | 128,746 | | | | 21,444 | | | | 200,486 | |
Shares redeemed | | | (69,750 | ) | | | (660,688 | ) | | | (150,039 | ) | | | (1,403,298 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | 147,231 | | | $ | 1,393,633 | | | | 291,003 | | | $ | 2,739,605 | |
| | | | | | | | | | | | | | | | |
CLASS I | | | | | | | | | | | | | | | | |
Shares sold | | | – | | | $ | – | | | | 3,073 | | | $ | 26,732 | |
Shares sold through reinvestments of distributions | | | 47 | | | | 440 | | | | 98 | | | | 913 | |
Shares redeemed | | | – | | | | – | | | | (470,459 | ) | | | (4,473,652 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 47 | | | $ | 440 | | | | (467,288 | ) | | $ | (4,446,007 | ) |
| | | | | | | | | | | | | | | | |
CLASS Y | | | | | | | | | | | | | | | | |
Shares sold | | | 2,471,427 | | | $ | 23,444,647 | | | | 5,823,585 | | | $ | 54,887,640 | |
Shares sold through reinvestments of distributions | | | 186,787 | | | | 1,772,124 | | | | 236,560 | | | | 2,218,558 | |
Shares redeemed | | | (1,023,162 | ) | | | (9,696,974 | ) | | | (2,585,294 | ) | | | (24,389,480 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | 1,635,052 | | | $ | 15,519,797 | | | | 3,474,851 | | | $ | 32,716,718 | |
| | | | | | | | | | | | | | | | |
Active Short Duration Bond Fund
| | | | | | | | | | | | | | | | |
| | | FOR THE SIX MONTHS ENDED
DECEMBER 31, 2017 | | | FOR THE YEAR ENDED JUNE 30, 2017 | |
| CLASS A | | SHARES | | | AMOUNT | | | SHARES | | | AMOUNT | |
Shares sold | | | 7,913,811 | | | $ | 79,180,960 | | | | 15,421,798 | | | $ | 153,874,328 | |
Shares sold through reinvestments of distributions | | | 182,933 | | | | 1,827,478 | | | | 162,991 | | | | 1,626,866 | |
Shares redeemed | | | (3,872,244 | ) | | | (38,711,824 | ) | | | (7,690,111 | ) | | | (76,746,051 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | 4,224,500 | | | $ | 42,296,614 | | | | 7,894,678 | | | $ | 78,755,143 | |
| | | | | | | | | | | | | | | | |
CLASS C | | | | | | | | | | | | | | | | |
Shares sold | | | 73,439 | | | $ | 734,823 | | | | 2,805 | | | $ | 28,000 | |
Shares sold through reinvestments of distributions | | | 795 | | | | 7,936 | | | | 543 | | | | 5,417 | |
Shares redeemed | | | (10,157 | ) | | | (101,369 | ) | | | (5,554 | ) | | | (55,396 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 64,077 | | | $ | 641,390 | | | | (2,206 | ) | | $ | (21,979 | ) |
| | | | | | | | | | | | | | | | |
CLASS I | | | | | | | | | | | | | | | | |
Shares sold | | | 20,309 | | | $ | 203,500 | | | | 10,010 | | | $ | 100,000 | |
Shares sold through reinvestments of distributions | | | – | | | | – | | | | – | | | | – | |
Shares redeemed | | | – | | | | – | | | | (598,837 | ) | | | (5,976,390 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 20,309 | | | $ | 203,500 | | | | (588,827 | ) | | $ | (5,876,390 | ) |
| | | | | | | | | | | | | | | | |
217
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | |
| | | FOR THE SIX MONTHS ENDED
DECEMBER 31, 2017 | | | FOR THE YEAR ENDED JUNE 30, 2017 | |
| CLASS Y | | SHARES | | | AMOUNT | | | SHARES | | | AMOUNT | |
Shares sold | | | 10,515,174 | | | $ | 105,138,968 | | | | 16,431,103 | | | $ | 163,786,901 | |
Shares sold through reinvestments of distributions | | | 287,091 | | | | 2,865,494 | | | | 247,545 | | | | 2,469,485 | |
Shares redeemed | | | (5,095,028 | ) | | | (50,913,364 | ) | | | (7,243,098 | ) | | | (72,203,413 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | 5,707,237 | | | $ | 57,091,098 | | | | 9,435,550 | | | $ | 94,052,973 | |
| | | | | | | | | | | | | | | | |
Total Return Bond Fund
| | | | | | | | | | | | | | | | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | |
| CLASS A | | SHARES | | | AMOUNT | | | SHARES | | | AMOUNT | |
Shares sold | | | – | | | $ | – | | | | 1,859 | | | $ | 19,007 | |
Shares sold through reinvestments of distributions | | | 23 | | | | 231 | | | | 45 | | | | 449 | |
Shares redeemed | | | (53 | ) | | | (528 | ) | | | (995 | ) | | | (9,908 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (30 | ) | | $ | (297 | ) | | | 909 | | | $ | 9,548 | |
| | | | | | | | | | | | | | | | |
CLASS C | | | | | | | | | | | | | | | | |
Shares sold | | | – | | | $ | – | | | | – | | | $ | – | |
Shares sold through reinvestments of distributions | | | – | | | | – | | | | – | | | | – | |
Shares redeemed | | | – | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Net increase | | | – | | | $ | | | | | – | | | $ | – | |
| | | | | | | | | | | | | | | | |
CLASS I | | | | | | | | | | | | | | | | |
Shares sold | | | – | | | $ | – | | | | – | | | $ | – | |
Shares sold through reinvestments of distributions | | | – | | | | – | | | | – | | | | – | |
Shares redeemed | | | – | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Net increase | | | – | | | $ | | | | | – | | | $ | – | |
| | | | | | | | | | | | | | | | |
CLASS Y | | | | | | | | | | | | | | | | |
Shares sold | | | 192,676 | | | $ | 1,949,375 | | | | 497,579 | | | $ | 4,982,291 | |
Shares sold through reinvestments of distributions | | | 9,802 | | | | 99,116 | | | | 7,463 | | | | 74,879 | |
Shares redeemed | | | (40,365 | ) | | | (408,149 | ) | | | (49,321 | ) | | | (493,631 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | 162,113 | | | $ | 1,640,342 | | | | 455,721 | | | $ | 4,563,539 | |
| | | | | | | | | | | | | | | | |
Emerging Markets Debt Blended Total Return Fund
| | | | | | | | | | | | | | | | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | |
| CLASS A | | SHARES | | | AMOUNT | | | SHARES | | | AMOUNT | |
Shares sold | | | 39,297 | | | $ | 422,822 | | | | – | | | $ | – | |
Shares sold through reinvestments of distributions | | | 1,351 | | | | 14,242 | | | | – | | | | – | |
Shares redeemed | | | (1,210 | ) | | | (12,759 | ) | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Net increase | | | 39,438 | | | $ | 424,305 | | | | – | | | $ | – | |
| | | | | | | | | | | | | | | | |
218
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | |
| CLASS C | | SHARES | | | AMOUNT | | | SHARES | | | AMOUNT | |
Shares sold | | | 938 | | | $ | 10,000 | | | | 981 | | | $ | 9,740 | |
Shares sold through reinvestments of distributions | | | 83 | | | | 868 | | | | 20 | | | | 208 | |
Shares redeemed | | | (968 | ) | | | (10,124 | ) | | | (2 | ) | | | (17 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | 53 | | | $ | 744 | | | | 999 | | | $ | 9,931 | |
| | | | | | | | | | | | | | | | |
CLASS I | | | | | | | | | | | | | | | | |
Shares sold | | | – | | | $ | – | | | | – | | | $ | – | |
Shares sold through reinvestments of distributions | | | – | | | | – | | | | – | | | | – | |
Shares redeemed | | | – | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Net increase | | | – | | | $ | – | | | | – | | | $ | – | |
| | | | | | | | | | | | | | | | |
CLASS Y | | | | | | | | | | | | | | | | |
Shares sold | | | 10,633 | | | $ | 114,000 | | | | 50,328 | | | $ | 529,500 | |
Shares sold through reinvestments of distributions | | | 1,569 | | | | 16,593 | | | | 212 | | | | 2,219 | |
Shares redeemed | | | (15,764 | ) | | | (167,589 | ) | | | (24,371 | ) | | | (255,411 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (3,562 | ) | | $ | (36,996 | ) | | | 26,169 | | | $ | 276,308 | |
| | | | | | | | | | | | | | | | |
Emerging Markets Local Currency Debt Fund
| | | | | | | | | | | | | | | | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | |
| CLASS A | | SHARES | | | AMOUNT | | | SHARES | | | AMOUNT | |
Shares sold | | | 22,431 | | | $ | 247,797 | | | | – | | | $ | – | |
Shares sold through reinvestments of distributions | | | 464 | | | | 4,982 | | | | – | | | | – | |
Shares redeemed | | | (1,992 | ) | | | (21,206 | ) | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Net increase | | | 20,903 | | | $ | 231,573 | | | | – | | | $ | – | |
| | | | | | | | | | | | | | | | |
CLASS C | | | | | | | | | | | | | | | | |
Shares sold | | | – | | | $ | – | | | | – | | | $ | – | |
Shares sold through reinvestments of distributions | | | – | | | | – | | | | – | | | | – | |
Shares redeemed | | | – | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Net increase | | | – | | | $ | – | | | | – | | | $ | – | |
| | | | | | | | | | | | | | | | |
CLASS I | | | | | | | | | | | | | | | | |
Shares sold | | | 468,165 | | | $ | 5,000,000 | | | | – | | | $ | – | |
Shares sold through reinvestments of distributions | | | – | | | | – | | | | – | | | | – | |
Shares redeemed | | | – | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Net increase | | | 468,165 | | | $ | 5,000,000 | | | | – | | | $ | – | |
| | | | | | | | | | | | | | | | |
CLASS Y | | | | | | | | | | | | | | | | |
Shares sold | | | 893,132 | | | $ | 9,714,062 | | | | – | | | $ | – | |
Shares sold through reinvestments of distributions | | | 9,528 | | | | 102,518 | | | | – | | | | – | |
Shares redeemed | | | (31,613 | ) | | | (341,099 | ) | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Net increase | | | 871,047 | | | $ | 9,475,481 | | | | – | | | $ | – | |
| | | | | | | | | | | | | | | | |
219
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
Global High Yield Fund
| | | | | | | | | | | | | | | | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | |
| CLASS A | | SHARES | | | AMOUNT | | | SHARES | | | AMOUNT | |
Shares sold | | | – | | | $ | – | | | | 1,210 | | | $ | 12,543 | |
Shares sold through reinvestments of distributions | | | 36 | | | | 365 | | | | 34 | | | | 351 | |
Shares redeemed | | | – | | | | – | | | | (594 | ) | | | (6,118 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | 36 | | | $ | 365 | | | | 650 | | | $ | 6,776 | |
| | | | | | | | | | | | | | | | |
CLASS C | | | | | | | | | | | | | | | | |
Shares sold | | | – | | | $ | – | | | | 13,247 | | | $ | 137,325 | |
Shares sold through reinvestments of distributions | | | 683 | | | | 7,016 | | | | 803 | | | | 8,287 | |
Shares redeemed | | | (221 | ) | | | (2,306 | ) | | | (417 | ) | | | (4,337 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | 462 | | | $ | 4,710 | | | | 13,633 | | | $ | 141,275 | |
| | | | | | | | | | | | | | | | |
CLASS I | | | | | | | | | | | | | | | | |
Shares sold | | | – | | | $ | – | | | | – | | | $ | – | |
Shares sold through reinvestments of distributions | | | – | | | | – | | | | – | | | | – | |
Shares redeemed | | | – | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Net increase | | | | | | $ | | | | | – | | | $ | – | |
| | | | | | | | | | | | | | | | |
CLASS Y | | | | | | | | | | | | | | | | |
Shares sold | | | 172,097 | | | $ | 1,801,529 | | | | 143,843 | | | $ | 1,490,367 | |
Shares sold through reinvestments of distributions | | | 8,767 | | | | 90,462 | | | | 10,017 | | | | 103,275 | |
Shares redeemed | | | (221,882 | ) | | | (2,307,672 | ) | | | (15,575 | ) | | | (162,145 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (41,018 | ) | | $ | (415,681 | ) | | | 138,285 | | | $ | 1,431,497 | |
| | | | | | | | | | | | | | | | |
U.S. High Yield Fund
| | | | | | | | | | | | | | | | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | |
| CLASS A | | SHARES | | | AMOUNT | | | SHARES | | | AMOUNT | |
Shares sold | | | 149,029 | | | $ | 1,544,636 | | | | 548,169 | | | $ | 5,757,935 | |
Shares sold through reinvestments of distributions | | | 13,548 | | | | 140,164 | | | | 12,725 | | | | 133,626 | |
Shares redeemed | | | (174,062 | ) | | | (1,808,584 | ) | | | (332,596 | ) | | | (3,522,759 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (11,485 | ) | | $ | (123,784 | ) | | | 228,298 | | | $ | 2,368,802 | |
| | | | | | | | | | | | | | | | |
CLASS C | | | | | | | | | | | | | | | | |
Shares sold | | | – | | | $ | – | | | | 1,155 | | | $ | 12,126 | |
Shares sold through reinvestments of distributions | | | 68 | | | | 698 | | | | 37 | | | | 390 | |
Shares redeemed | | | – | | | | – | | | | (3 | ) | | | (32 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | 68 | | | $ | 698 | | | | 1,189 | | | $ | 12,484 | |
| | | | | | | | | | | | | | | | |
CLASS I | | | | | | | | | | | | | | | | |
Shares sold | | | – | | | $ | – | | | | – | | | $ | – | |
Shares sold through reinvestments of distributions | | | 15,228 | | | | 157,494 | | | | 19,404 | | | | 203,243 | |
Shares redeemed | | | – | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Net increase | | | 15,228 | | | $ | 157,494 | | | | 19,404 | | | $ | 203,243 | |
| | | | | | | | | | | | | | | | |
220
Barings Funds Trust 2017 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
December 31, 2017 (Unaudited)
| | | | | | | | | | | | | | | | |
| | | FOR THE
SIX MONTHS ENDED
DECEMBER 31, 2017 | | | FOR THE
YEAR ENDED
JUNE 30, 2017 | |
| CLASS Y | | SHARES | | | AMOUNT | | | SHARES | | | AMOUNT | |
Shares sold | | | 109,056 | | | $ | 1,154,424 | | | | 125,106 | | | $ | 1,312,934 | |
Shares sold through reinvestments of distributions | | | 13,597 | | | | 140,353 | | | | 8,719 | | | | 91,482 | |
Shares redeemed | | | (16,324 | ) | | | (171,749 | ) | | | (1,412 | ) | | | (14,820 | ) |
| | | | | | | | | | | | | | | | |
Net increase | | | 106,329 | | | $ | 1,123,028 | | | | 132,413 | | | $ | 1,389,596 | |
| | | | | | | | | | | | | | | | |
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 December 31, 2017, there were no loans outstanding pursuant to the Credit Agreement.
| 11. | Recently Issued Accounting Pronouncements |
In October 2016, the SEC adopted new rules and forms and amended other rules to enhance the reporting and disclosure of information by registered investment companies. As part of these changes, the SEC amended Regulation S-X to standardize and enhance disclosures, particularly the presentation of derivative investments, in investment company financial statements. The compliance date for the amendments to Regulation S-X was August 1, 2017 for reporting periods ended on or after that date, and the Funds’ financial statements are in compliance with those amendments.
Management has considered the circumstances under which the Funds should recognize or make disclosures regarding events or transactions occurring subsequent to December 31, 2017 through the date the financial statements were issued. Adjustments or additional disclosures, if any, have been included in these financial statements.
221
Barings Funds Trust 2017 Semi-Annual Report
APPROVAL OF INVESTMENT MANAGEMENT AGREEMENT AND SUB-ADVISORY AGREEMENT
The Investment Company Act of 1940 (the “1940 Act”) requires that a majority of both the full Board of Trustees and the Trustees who are not interested persons of the Trust, as defined under the 1940 Act (“Independent Trustees”), voting separately, annually approve the continuation of the Investment Management Agreement between, Barings Funds Trust (the “Trust”), on behalf of each of its eight series funds (the “Funds”), and Barings LLC (“Barings”) (the “Management Agreement”) and the Sub-Advisory Agreement between Barings and Barings Global Advisers Limited (“BGA”) (the “Sub-Advisory Agreement” and together with the Management Agreement, the “Agreements”). The Trustees considered matters bearing on the Funds and the Agreements at their meetings throughout the year, including a review of the Funds’ performance at each regular meeting. At in-person meetings held on May 4, 2017 and August 3, 2017 (the “Meetings”), the Trustees met for the purpose of considering whether to approve the continuation of the Agreements for the Funds. The Trustees’ review process and considerations in approving the Agreements are summarized below.
Prior to the Meetings, the Trustees requested and received from Morgan, Lewis & Bockius LLP, independent legal counsel to the Independent Trustees, a memorandum describing the Trustees’ legal responsibilities in connection with their review and approval of the Agreements. The Independent Trustees met prior to the August Board meeting with independent legal counsel to discuss their duties, the memorandum and the Agreements. The Trustees noted that they initially approved the Agreements for Barings Global Credit Income Opportunities Fund and Barings Global Floating Rate Fund in July 2013, and that they initially approved the Agreements for Barings Active Short Duration Bond Fund, Barings Emerging Markets Debt Blended Total Return Fund, Barings Emerging Markets Local Currency Debt Fund, Barings Global High Yield Fund, Barings Total Return Bond Fund and Barings U.S. High Yield Fund in January 2015. The Trustees also requested and received from Barings extensive written and oral information regarding various matters including: the principal terms of the Agreements; Barings and its personnel; the Funds’ investment performance, including comparative performance information; the nature and quality of the services provided by Barings to the Funds; the financial strength of Barings; the fee arrangements between Barings and each Fund and each Fund’s fee and expense information, including comparative fee and expense information; the profitability of the Agreements to Barings; and the potential “fallout” benefits to Barings resulting from the Agreements.
The Trustees’ conclusion as to the continuation of the Agreements was based on a comprehensive consideration of all information provided to the Board and not the result of any single issue. Some of the more significant factors that influenced the Trustees’ deliberations are described below, although individual Trustees may have evaluated the information presented differently from one another, giving different weights to different factors. It is also important to recognize that the Board’s review of the Agreements is the result of ongoing review and discussion, rather than a single discussion. The Trustees’ conclusions may be based, in part, on their consideration of these arrangements throughout the year and in prior years.
The Trustees considered the terms of the Agreements, including the scope of the advisory and non-advisory services provided under the Agreements or otherwise. In evaluating the nature, scope and quality of the services provided by Barings to Barings Active Short Duration Bond Fund, Barings Emerging Markets Local Currency Debt Fund, Barings Total Return Bond Fund and Barings U.S. High Yield Fund; and by Barings and BGA to Barings Emerging Markets Debt Blended Total Return Fund, Barings Global Credit Income Opportunities Fund, Barings Global Floating Rate Fund and Barings Global High Yield Fund (“BGA Funds”), the Trustees considered the specific responsibilities of each of Barings and BGA in the day-to-day management of the Fund, the qualifications, experience and responsibilities of the portfolio managers and other key personnel who are involved in the day-to-day management of the Fund, the ability of each of Barings and BGA to attract and retain high-quality personnel, and the organizational depth and stability of each of Barings and BGA. The Trustees also considered the trading capabilities of each of Barings and BGA.
The Trustees reviewed the Funds’ investment performance, as well as the performance of peer groups of funds, over various time periods, using information provided by Broadridge Financial Solutions, Inc. (“Broadridge”) and Barings. The Trustees noted that the net total return performance of Class I shares of each of the Funds was as follows: Barings Global Floating Rate Fund ranked in the 1st quintile of its Broadridge performance universe for each of the one-year, two-year and three-year periods ended March 31, 2017 (the 1st quintile being the best performers and the 5th quintile being the worst performers); Barings Global Credit Income Opportunities Fund ranked in the 1st quintile of its Broadridge performance universe for each of the one-year, two-year and three-year periods ended March 31, 2017; Barings Active Short Duration
222
Barings Funds Trust 2017 Semi-Annual Report
APPROVAL OF INVESTMENT MANAGEMENT AGREEMENT AND SUB-ADVISORY AGREEMENT (CONTINUED)
Bond Fund ranked in the 2nd quintile of its Broadridge performance universe for the one-year period ended March 31, 2017; Barings Total Return Bond Fund ranked in the 1st quintile of its Broadridge performance universe for the one-year period ended March 31, 2017; Barings Emerging Markets Debt Blended Total Return Fund ranked in the 1st quintile of its Broadridge performance universe for the one-year period ended March 31, 2017; Barings Emerging Markets Local Currency Debt Fund ranked in the 4th quintile of its Broadridge performance universe for the one-year period ended March 31, 2017; Barings Global High Yield Fund ranked in the 1st quintile of its Broadridge performance universe for the one-year period ended March 31, 2017; and Barings U.S. High Yield Fund ranked in the 1st quintile of its Broadridge performance universe for the one-year period ended March 31, 2017. In the course of their deliberations, the Trustees also took into account information provided by Barings during investment review meetings conducted with portfolio management personnel during the course of the year. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that they were satisfied with the performance achieved by Barings and BGA.
The Trustees considered the investment management fee paid by each Fund to Barings pursuant to the Management Agreement. The Trustees noted that Barings (and not the BGA Funds) pays BGA its sub-advisory fee under the Sub-Advisory Agreement. In assessing the reasonableness of the fee paid by the Funds under the Management Agreement, the Trustees considered, among other information, each Fund’s advisory fee and the total expense ratio for the Fund’s shares as a percentage of net asset value and the advisory fee and total expense ratios of peer groups of funds based on information provided by Broadridge. The Trustees considered that, according to the Broadridge data (which takes into account any fee reductions or expense limitations that were in effect during the last fiscal year), the effective advisory fee rate and total expense ratio for each Fund’s Class I shares were as follows: Barings Global Floating Rate Fund’s effective advisory fee rate was lower than the Broadridge expense group median and total expense ratio was lower than the Broadridge expense group average; Barings Global Credit Income Opportunities Fund’s effective advisory fee rate was lower than the Broadridge expense group median and total expense ratio was lower than the Broadridge expense group average; Barings Active Short Duration Bond Fund’s effective advisory fee rate was lower than the Broadridge expense group median and total expense ratio was lower than the Broadridge expense group average; Barings Total Return Bond Fund’s effective advisory fee rate was in-line with the Broadridge expense group median and total expense ratio was lower than the Broadridge expense group average; Barings Emerging Markets Debt Blended Total Return Fund’s effective advisory fee rate was in-line with the Broadridge expense group median and total expense ratio was lower than the Broadridge expense group average; Barings Emerging Markets Local Currency Debt Fund’s effective advisory fee rate was in-line with the Broadridge expense group median and total expense ratio was higher than the Broadridge expense group average; Barings Global High Yield Fund’s effective advisory fee rate was lower than the Broadridge expense group median and total expense ratio was lower than the Broadridge expense group average; and Barings U.S. High Yield Fund’s effective advisory fee rate was lower than the Broadridge expense group median and total expense ratio was lower than the Broadridge expense group average.
The Trustees then considered that, as each Fund’s assets increase, each Fund and its shareholders would be expected to realize economies of scale as certain expenses, such as fixed operating costs, become a smaller percentage of overall assets. They considered the extent to which any such savings would benefit shareholders and Barings’ statement that it would consider proposing breakpoints in the management fee payable by a Fund once a Fund approached the break-even point. The Trustees noted that Barings has instituted caps on expenses that insulate shareholders from the effects on expenses of the Funds’ relatively small size.
The Trustees reviewed information prepared by Barings regarding Barings’ costs of managing the Funds, and the profitability of the Management Agreement to Barings. In considering the profitability of Barings, the Board noted that BGA is an affiliate of Barings and is paid by Barings, and, therefore, did not consider BGA’s profitability separately. The Trustees then considered potential “fall-out” benefits to Barings and its affiliates as a result of Barings’ relationship with the Trust. The Board concluded that, in light of the expected costs of providing investment management and other services to the Trust and Barings’ commitment to cap the expenses of each Fund, the other ancillary benefits that Barings and its affiliates expect to receive supported the approval of the Agreements. The Trustees concluded that, at this time, and in light of the nature, extent and quality of the respective services provided by Barings, the fee rates and expenses of each Fund supported the approval of the Management Agreement and the Sub-Advisory Agreement.
Based on their evaluation of factors that they deemed to be material, including those factors described above, the Board of Trustees, including the Independent Trustees, concluded that the Management Agreement and the Sub-Advisory Agreement should be continued for an additional one-year period through August 2018.
223
Barings Funds Trust
Not applicable to this semi-annual report.
| Item 3. | Audit Committee Financial Expert. |
Not applicable to this semi-annual report.
| Item 4. | Principal Accountant Fees and Services. |
Not applicable to this semi-annual report.
| Item 5. | Audit Committee of Listed Registrants. |
Not applicable to this semi-annual report.
| 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 Semi-Annual Report to Shareholders filed under Item 1 of this form. |
| 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 a 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)(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
| (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) |
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) |
| | |
| |
| By (Signature and Title) | | /s/ Carlene Pollock |
| | Carlene Pollock, Chief Financial Officer (Principal Financial Officer) |
