Barings Funds Trust N-CSR Certified annual shareholder report (management investment company)

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

Vice President, Secretary and Chief Legal Officer

c/o Barings LLC

Independence Wharf

470 Atlantic Avenue

Boston MA 02210

(Name and Address of Agent for Service)

Date of fiscal year end: June 30

Date of reporting period: June 30, 2018

Item 1. Reports to Stockholders.

The Annual Report to Shareholders is attached hereto.

BARINGS FUNDS TRUST

Annual Report

June 30, 2018

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

DST Asset Manager Solutions, Inc.

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 (1) on the SEC’s website at http://www.sec.gov; and (2) at the SEC’s Public Reference Room in Washington, DC (which information on their operation may be obtained by calling 1-800-SEC-0330). A complete schedule of portfolio holdings as of each quarter-end is available on the Trust’s website at http://www.Barings.com or upon request by calling, toll-free, 1-877-766-0014.

Duncan Robertson

President

Barings Funds Trust

Barings Funds Trust

Barings Global Floating Rate Fund

Barings Global Credit Income Opportunities Fund

Barings Active Short Duration Bond Fund

Barings Total Return Bond Fund

Barings Emerging Markets Debt Blended Total Return Fund

Barings Emerging Markets Local Currency Debt Fund

Barings Global High Yield Fund

Barings U.S. High Yield Fund

Dear Shareholder,

Thank you, as always, for your continued trust and partnership. In the first half of the year, political tensions were back in the forefront, with trade war rhetoric dominating headlines and the rise of populist parties across Europe and Mexico contributing to widespread uncertainty. Global monetary policy continues to diverge – while macro volatility has kept aggressive interest rate behavior at bay in Europe, U.S. markets increased their expectations for a fourth rate hike this year. Global growth has been mixed, with the U.S. continuing at a healthy pace but Europe appearing to slow. Across emerging markets, escalating trade tensions, widespread political turmoil and a strengthening U.S. dollar proved challenging.

The abundance of political and other headlines has certainly kept investors on their toes. Nonetheless, the global economy and capital markets held up relatively well in the first half of the year. On the positive side, the International Monetary Fund maintained its global growth forecasts for 2018 and 2019, and global unemployment continued to fall. Across the fixed income markets, corporate fundamentals appear healthy and defaults remain near historical lows. From a bottom-up, fundamental research perspective, our investment teams continue to find a generally supportive environment for corporate and sovereign issuers, and believe there is value to be found across both developed and emerging markets.

That said, looking ahead to the remainder of 2018, we see a number of potential headwinds on the horizon and believe investors must be particularly mindful of risks. Late in the credit and economic cycle – almost a decade past the last recession – monetary policy missteps are more likely. At the same time, while inflation has remained relatively subdued in the years following the financial crisis, an unexpected increase in the near- to medium-term could pose a risk to markets. We believe that political risk will likely remain very topical in the months ahead, particularly as tensions between the U.S. and China continue to escalate and the U.S. moves toward midterm elections. In the U.K., Brexit negotiations will likely remain in the headlines, which could introduce additional volatility into the markets.

At Barings, we continue to focus on helping you, our shareholders, uncover value opportunities and achieve strong, through-the-cycle risk-adjusted returns. Our consistent, repeatable investment process and emphasis on active management is built upon decades of experience conducting rigorous, fundamental analysis on every investment we consider. The broad capabilities and expertise of our large, global teams allow us to provide innovative solutions across the quality, yield and liquidity spectrum, and we aim to evolve and adapt so that we may 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

Risks

Investing in the Funds involves risk, including the risk that you may receive little or no return on your investment or that you may lose part or even all of your investment. Fixed income investing is subject to interest rate risks. Bond prices and other fixed income product prices generally fall when interest rates rise. Duration measures the price sensitivity of a bond or a portfolio to changes in interest rates. The Funds may invest in high yield loans and bonds, commonly referred to as “junk bonds”, including distressed securities, which are subject to greater credit risk (the risk that an issuer will not make timely payments of principal and interest) and market risk (the risk that the value of the Fund’s investments may fall, sometimes rapidly or unpredictably, as a result of increasing interest rates or otherwise); loans and derivative securities, which may carry market, credit and liquidity risk (the risk that the Fund’s investments may be difficult to sell at an advantageous time or price); foreign securities, which are subject to additional risks, including political and economic risks. The Funds may also invest in mortgage and asset-backed securities, which may be sensitive to changes in interest rates, subject to early repayment risk, and their value may fluctuate in response to the market’s perception of issuer creditworthiness; while generally supported by some form of government or private guarantee, there is no assurance that private guarantors will meet their obligations. Although these securities tend to provide higher yields than higher rated securities, there is a greater risk that a Fund’s share price will decline.

Cautionary Notice: Certain statements contained in this report may be “forward looking” statements. Investors are cautioned not to place undue reliance on forward-looking statements, which speak only as of the date in which they are made and reflect management’s current estimates, projections, expectations or beliefs, and which are subject to risks and uncertainties that may cause actual results to differ materially. These statements are subject to change at any time based upon economic, market or other conditions and may not be relied upon as investment advice or an indication of the Trust’s trading intent. References to specific securities are not recommendations of such securities, and may not be representative of the Trust’s current or future investments. We undertake no obligation to publicly update these forward-looking statements, whether as a result of new information, future events, or otherwise.

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. A prospectus, which contains this and other information, can be obtained by calling 1.855.439.5459. Read the prospectus carefully before investing.

ALPS Distributors, Inc. is the distributor for the Barings mutual funds. ALPS and Barings are separate and unaffiliated.

Barings Global Floating Rate Fund 2018 Annual Report

Investment Objective

Barings Global Floating Rate Fund (“Global Floating Rate Fund” or the “Fund”) seeks 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 fiscal year ended June 30, 2018 of 4.27%, underperforming the Credit Suisse Global Loan Benchmark (the “Benchmark”), which returned 4.65%.¹

What factors influenced performance of the Fund?

∎ During the fiscal year ended June 30, 2018, the global loan markets had positive returns in ten of twelve months and defaults were below historical averages.

∎ The Fund’s slight overweight to European loans was a minor detractor that was more than made up for by credit selection.

∎ The Fund’s North American assets outperformed the European assets.

∎ The Fund’s average allocation of approximately 9% to senior secured bonds was a detractor from Fund performance, as the senior secured bond holdings had a return below the global loan market return.

∎ During the period, the Fund was overweight the lower segments (the B and CCC categories) of the market, which outperformed, and underweight the BB category.

∎ With the exception of consumer durables, telecommunications and automotive, every sector generated positive returns. The two sectors that contributed the most to performance versus the Benchmark were the energy and metals & minerals sectors, while the two sectors that detracted the most from performance versus the Benchmark were the information technology and consumer durables sectors.

Describe recent portfolio activity.

∎ During most of the period, the Fund’s geographic exposure to North America and Europe was essentially unchanged. Beginning in March 2018, the Fund increased its exposure to European loans and reduced exposure to North American loans, as in early 2018 European loans started to look more attractive.

∎ During the fiscal year, the Fund’s three largest sectors were healthcare, education & childcare, diversified/conglomerate services and chemicals, plastics & rubber. The two sectors that decreased the most during the period were the diversified/conglomerate services and containers, packaging & glass sectors, while the two sectors that increased the most were the leisure, amusement & entertainment and retail stores sectors.

∎ 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.

∎ As of June 30, 2018, the Fund had an 84.3% weighting to global senior secured loans, 9.2% to global senior secured high yield bonds and 5.0% to cash.

^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 the net asset value (NAV) of shares of the Fund 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. 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.

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Barings Global Floating Rate Fund 2018 Annual Report

∎ From an industry perspective, the Fund remains well diversified across a number of sectors, with concentrations in healthcare, education & childcare (12.3%), diversified/conglomerate services (10.34%) and chemicals, plastics & rubber (5.87%) as of June 30, 2018.

∎ As of June 30, 2018, the Fund had the following credit quality breakdown: 1.2% in BBB assets, 22.9% in BB assets, 58.5% in B assets and 5.4% in CCC and below assets. Approximately 7.2% of the Fund’s assets are not publicly rated. Cash and accrued income accounted for the remaining 5.0% of the portfolio assets.²

∎ The top five countries in the portfolio at the end of the reporting period were the U.S. (65.2%), the U.K. (9.7%), Germany (6.4%), the Netherlands (3.6%) and France (3.5%). Overall, the Fund has exposure to 17 different countries, and we continue to focus on building a well-diversified portfolio of global floating rate securities.

Describe market and portfolio outlook.

∎ We believe that the market continues to show positive economic growth driven by stable corporate earnings, low rates and supportive central bank policies. Currently, growth appears synchronized across the U.S. and Europe; however, in our view, there may be potential for this momentum to slow.

∎ We currently see better relative-value opportunities in the European market versus the U.S. market, which has seen generally higher yields with lower durations.³

∎ First-quarter earnings results were similar to recent quarters, with continued revenue and EBITDA (earnings before interest, taxes, depreciation and amortization) growth alongside modest leverage. In addition, interest coverage remains at or near all-time highs. Given these healthy interest coverage levels, we believe high yield issuers have ample cushion to withstand future interest rate increases.

∎ Defaults across the global markets are below historical averages and we believe will likely remain low in the near-term. Broadly speaking, we believe spreads are fairly compensating investors for the potential default risk in the market.

^2.  Ratings shown are the highest rating given by one of the following national rating agencies: S&P, Moody’s or Fitch. Additional information about ratings can be found, respectively, at www.standardandpoors.com, www.moodys.com and www.fitchratings.com. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings categories used by S&P and Fitch; BB, B, CCC/CC/C and D are below investment grade ratings categories used by S&P and Fitch. Aaa, Aa, A and Baa are investment grade ratings categories used by Moody’s; Ba, B, Caa/Ca and C are below investment grade ratings categories used by Moody’s. Ratings categories may include gradations within each category. Bonds backed by U.S. Government or agency securities are given an implied rating equal to the rating of such securities. Holdings designated Not Publicly Rated are not rated by these national rating agencies.

^3.  Duration is a measure of the sensitivity of the price – the value of principal – of a fixed-income investment to a change in interest rates. Duration is expressed as a number of years. Bond prices are said to have an inverse relationship with interest rates. Therefore, rising interest rates indicate bond prices are likely to fall, while declining interest rates indicate bond prices are likely to rise.

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Barings Global Floating Rate Fund 2018 Annual Report

PORTFOLIO COMPOSITION (% OF ASSETS*)

* The percentages shown above represent a percentage of the assets as of June 30, 2018.

COUNTRY COMPOSITION (% OF ASSETS**)

** Percentage of assets are expressed by market value excluding cash and accrued income, and may vary over time. The percentages shown above represent a percentage of the assets as of June 30, 2018.

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Barings Global Floating Rate Fund 2018 Annual Report

% AVERAGE ANNUAL TOTAL RETURNS 5,7,8	INCEPTION DATE		ONE YEAR			THREE YEARS			INCEPTION TO DATE
Class A With Load		09/16/2013		0.88	%		3.35	%		3.09	%
Class A No Load		09/16/2013		4.00	%		4.41	%		3.75	%
Class C With Load		09/16/2013		2.24	%		3.63	%		2.99	%
Class C No Load		09/16/2013		3.24	%		3.63	%		2.99	%
Class I With Load		09/16/2013		4.28	%		4.68	%		4.05	%
Class I No Load		09/16/2013		4.28	%		4.68	%		4.05	%
Class Y With Load		09/16/2013		4.27	%		4.67	%		4.03	%
Class Y No Load		09/16/2013		4.27	%		4.67	%		4.03	%

Performance shown is historical and does not guarantee future results. Current performance may be lower or higher. Because share price, principal value, and return will vary, you may have a gain or loss when you sell Fund shares. For current month-end performance information, call 1.855.439.5459. Performance includes the reinvestment of dividends and capital gains. Performance less than one year is cumulative; all other performance is annualized.

^4.  Inception date: 9/16/2013

^5.  Class A performance with the sales charges includes the maximum 3.00% sales charge.

^6.  Benchmark A: Credit Suisse Global Loan. The benchmark is a market capitalization weighted average of the Credit Suisse Leveraged Loan Index and the Credit Suisse Western European Leveraged Loan Index. Indices are unmanaged. It is not possible to invest directly in an index.

^7.  Line graph and table do not reflect the deduction of taxes that a shareholder would pay.

^8.  Class C performance with the sales charges includes the 1.00% contingent deferred sales charge (CDSC) for returns of one year or less.

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Barings Global Credit Income Opportunities Fund 2018 Annual Report

Investment Objective

Barings Global Credit Income Opportunities Fund (“Global Credit Income Opportunities Fund” or the “Fund”) seeks 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 fiscal year ended June 30, 2018 of 3.48%, underperforming the 3-Month USD LIBOR + 500 basis points¹ benchmark (the “Benchmark”), which returned 6.84%.²

What factors influenced performance of the Fund?

∎ During the period, the global loan market outperformed the global high yield bond market. Although both markets had positive returns as defaults remained below historical averages, both markets underperformed the Fund’s Benchmark.

∎ Collateralized loan obligations (“CLOs”) were the top performing asset class in the Fund’s portfolio, followed by special situations, loans and bonds. Loans were the largest contributor to Fund performance.

∎ The Fund’s North American assets outperformed the European assets, and were the largest contributor to Fund performance.

∎ The Fund’s B-rated assets were the largest contributor to Fund performance, followed by CCC-rated and BB-rated assets.

∎ The Fund’s allocations to the broadcasting and consumer durables sectors detracted the most from Fund performance, while the energy and healthcare sectors contributed the most to Fund performance.

Describe recent portfolio activity.

∎ During the period, the Fund increased its exposure to Europe and reduced its exposure to North America. For the first seven months of the period, the Fund increased its exposure to North America, and then starting in January 2018, the Fund increased European assets and reduced North American assets.

∎ The Fund reduced its exposure to bonds for the first seven months of the period, but increased the bond allocation in the latter part of the period. Over the full period, the Fund’s allocations to loans increased, bonds decreased and CLOs remained essentially unchanged.

∎ The Fund increased its exposure to the BBB, BB and CCC and below categories, and reduced its exposure to the B and not publicly rated categories.

∎ During the period, the Fund reduced its exposure to the finance sector, which is no longer in the Fund’s top three sector exposures. The Fund’s allocations to the oil & gas, diversified/conglomerate services and healthcare, education & childcare sectors represent the Fund’s top three sectors. During the period, the Fund decreased its exposure to the containers, packaging & glass and diversified/conglomerate manufacturing sectors, while increasing its exposure to the electronics and beverages, food & tobacco sectors.

^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 the net asset value (NAV) of shares of the Fund 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. 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.

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Barings Global Credit Income Opportunities Fund 2018 Annual Report

Describe portfolio positioning at period end.

∎ As of June 30, 2018, the Fund had allocations of 60.1%, 20.2% and 14.8% 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 0.3%, equities at 0.8% and cash/other at 3.8%. A significant portion of the portfolio (approximately 60.4%) 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 concentrations in oil & gas (9.1%), diversified/conglomerate services (8.7%) and healthcare, education & childcare (8.1%) as of June 30, 2018.

∎ As of June 30, 2018, the Fund had the following credit quality breakdown: 1.0% in BBB assets, 32.0% in BB assets, 43.0% in B assets and 10.5% in CCC and below assets. Approximately 4.7% 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. (65.9%), the U.K. (10.8%), the Netherlands (3.8%), Germany (3.7%) and Ireland (2.0%). The Cayman Islands exposure related to the Fund’s CLO holdings is included in the U.S. Overall, the Fund has exposure to 16 different countries, and we continue to focus on building a well-diversified portfolio of global high yield securities.

Describe market and portfolio outlook.

∎ We believe that the market continues to show positive economic growth driven by stable corporate earnings, low rates and supportive central bank policies. Currently, growth appears synchronized across the U.S. and Europe; however, we believe that there may be potential for this momentum to slow.

∎ We currently see better relative value opportunities in the European market versus the U.S. market, which has seen generally higher yields with lower durations.

∎ First-quarter earnings results were similar to recent quarters, with continued revenue and EBITDA growth alongside modest leverage. In addition, interest coverage remains at or near all-time highs. Given these healthy interest coverage levels, we believe high yield issuers have ample cushion to withstand future interest rate increases.

∎ Defaults across the global markets are below historical averages and we believe will likely remain low in the near term. Broadly speaking, we believe spreads are fairly compensating investors for the potential default risk in the market.

^3.  Ratings shown are the highest rating given by one of the following national rating agencies: S&P, Moody’s or Fitch. Additional information about ratings can be found, respectively, at www.standardandpoors.com, www.moodys.com and www.fitchratings.com. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings categories used by S&P and Fitch; BB, B, CCC/CC/C and D are below investment grade ratings categories used by S&P and Fitch. Aaa, Aa, A and Baa are investment grade ratings categories used by Moody’s; Ba, B, Caa/Ca and C are below investment grade ratings categories used by Moody’s. Ratings categories may include gradations within each category. Bonds backed by U.S. Government or agency securities are given an implied rating equal to the rating of such securities. Holdings designated Not Publicly Rated are not rated by these national rating agencies.

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Barings Global Credit Income Opportunities Fund 2018 Annual Report

PORTFOLIO COMPOSITION (% OF ASSETS*)

* The percentages shown above represent a percentage of the assets as of June 30, 2018.

COUNTRY COMPOSITION (% OF ASSETS**)

** Percentage of assets are expressed by market value excluding cash and accrued income, and may vary over time. The percentages shown above represent a percentage of the assets as of June 30, 2018.

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Barings Global Credit Income Opportunities Fund 2018 Annual Report

% AVERAGE ANNUAL TOTAL RETURNS 5,7,8	INCEPTION DATE		ONE YEAR			THREE YEARS			INCEPTION TO DATE
Class A With Load		09/16/2013		-0.89	%		4.05	%		4.07	%
Class A No Load		09/16/2013		3.24	%		5.47	%		4.90	%
Class C With Load		09/16/2013		1.48	%		4.68	%		4.12	%
Class C No Load		09/16/2013		2.47	%		4.68	%		4.12	%
Class I With Load		09/16/2013		3.49	%		5.73	%		5.16	%
Class I No Load		09/16/2013		3.49	%		5.73	%		5.16	%
Class Y With Load		09/16/2013		3.48	%		5.72	%		5.16	%
Class Y No Load		09/16/2013		3.48	%		5.72	%		5.16	%

Performance shown is historical and does not guarantee future results. Current performance may be lower or higher. Because share price, principal value, and return will vary, you may have a gain or loss when you sell Fund shares. For current month-end performance information, call 1.855.439.5459. Performance includes the reinvestment of dividends and capital gains. Performance less than one year is cumulative; all other performance is annualized

^4.  Inception date: 9/16/2013

^5.  Class A performance with the sales charges includes the maximum 3.00% sales charge.

^6.  Benchmark: 3-Month USD LIBOR + 500 basis points.

^7.  Line graph and table do not reflect the deduction of taxes that a shareholder would pay.

^8.  Class C performance with the sales charges includes the 1.00% contingent deferred sales charge (CDSC) for returns of one year or less.

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Barings Active Short Duration Bond Fund 2018 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 fiscal year ended June 30, 2018 of 1.35%, outperforming the Bloomberg Barclays U.S. 1-3 Year Government Bond Index (the “Benchmark”), which returned -0.03%.¹

What factors influenced performance of the Fund?

∎ Duration positioning positively contributed to performance relative to the Benchmark. The Fund uses Treasury bonds and futures to help manage duration. During the period, in accordance with our duration management process, the Fund lengthened duration from 1.0 to 2.0 years to end the fiscal year.

∎ The Fund’s allocation to corporate credit contributed positively to Fund performance. Despite recent widening in corporate spreads, tightening during the period – specifically in the fourth quarter of 2017 and first quarter of 2018 – benefited sector returns on a year-over-year basis. Over the period, allocations to the banking and capital goods sectors contributed the most to Fund performance, while allocations to the paper & packaging and gas pipelines sectors contributed the least.

∎ Asset-backed securities (ABS) was the primary contributor to Fund performance within the securitized sector. Allocations to government-guaranteed Federal Family Education Loan Program (FFELP) student loans, consumer loan and railroad ABS collateral were the largest contributing subsectors.

∎ Downside derivative mitigation, such as using investment grade CDX index credit default swaps² (a swap where the seller compensates the buyer in the event of a default) to partially hedge longer duration ABS exposures, CMBX to gain exposure to the commercial mortgage-backed securities (CMBS) sector and a payer/receiver swaption pair to hedge against possible rising volatility detracted from Fund performance during the period.

Describe recent portfolio activity.

∎ The Fund ended the period with a duration position of 2.0 years, as the basis between the two and three year remains flat.

∎ The Fund marginally increased the allocation to non-agency residential mortgage-backed securities (RMBS) given the high-quality, high-carry and short-duration profile of the sector in a flat yield curve environment.

^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 the net asset value (NAV) of shares of the Fund 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. 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.

^2.  Barings Active Short Duration Bond Fund currently holds long CMBX positions, which cover approximately 30 companies within each position.

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Barings Active Short Duration Bond Fund 2018 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 51.2%, with 46.6% in investment grade corporates, 4.2% in BB-rated and crossover high yield and 0.4% in U.S. dollar-denominated emerging markets.³ U.S. money centers and regional banks represent the largest corporate allocation to the Fund, followed by diversified industrials. In our view, insurance still offers attractive income opportunities with decent fundamentals.

∎ The securitized ABS allocation was 35.4% at the end of the period. Student loans represent the largest allocation, followed by automotive loan collateral. Further ABS subsectors consist of consumer loans, timeshares, and railroad, in addition to others. The Fund maintains an active position in CMBS, based on our analysis of technicals and commercial real estate fundamentals. CMBS allocations have been in shorter-maturity deals, with a bias toward new issue as well as selective seasoned issues.

∎ The Fund reduced the allocation to agency collateralized mortgage obligations (CMOs) to help shorten overall Fund duration during the period. The allocation was slightly less than 1.0% at the end of the period.

Describe market and portfolio outlook.

∎ While the U.S. Treasury curve has flattened over the year, the short end of the curve has steepened as the Federal Reserve has been active in raising interest rates. Accordingly, the Fund lengthened duration to 2.0 years, up from 1.0 year at the start of the period. The Fund will continue to manage duration in accordance with our 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. Credit fundamentals in investment grade credit are on solid footing in our view, supported by constructive global economic data. The Fund expects to continue to reinvest within the sector, favoring financials and pipeline sectors with an underweight to M&A-prone sectors such as technology and pharmaceuticals.

∎ Throughout 2017, the primary factors that we used to assess the health and value of the investment grade corporate market were unambiguously positive, in our view. Early in 2018, two factors – monetary policy and technicals – began to weaken, driven by a deteriorating global growth picture and the possibility of a full-fledged trade war. However, we believe spread levels and fundamentals continue to improve. We expect these fundamental positives and macro negatives will lead to a much more balanced investing environment.

∎ The Fund expects to continue to selectively reinvest and add exposure to ABS, such as private student loans, FFELP, timeshares, consumer loans and subprime autos, with selective positioning in aviation, containers and franchise receivables, as opportunities arise.

^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.

11

Barings Active Short Duration Bond Fund 2018 Annual Report

CREDIT QUALITY BREAKDOWN (% OF ASSETS*)

* The percentages shown above represent a percentage of the assets as of June 30, 2018.

PORTFOLIO COMPOSITION (% OF ASSETS*)

* The percentages shown above represent a percentage of the assets as of June 30, 2018.

12

Barings Active Short Duration Bond Fund 2018 Annual Report

% AVERAGE ANNUAL TOTAL RETURNS 5,7,8	INCEPTION DATE		ONE YEAR			INCEPTION TO DATE
Class A With Load		07/08/2015		1.10	%		1.47	%
Class A No Load		07/08/2015		1.10	%		1.47	%
Class C With Load		07/08/2015		0.35	%		1.22	%
Class C No Load		07/08/2015		0.84	%		1.22	%
Class I With Load		07/08/2015		1.39	%		1.73	%
Class I No Load		07/08/2015		1.39	%		1.73	%
Class Y With Load		07/08/2015		1.35	%		1.71	%
Class Y No Load		07/08/2015		1.35	%		1.71	%

Performance shown is historical and does not guarantee future results. Current performance may be lower or higher. Because share price, principal value, and return will vary, you may have a gain or loss when you sell Fund shares. For current month-end performance information, call 1.855.439.5459. Performance includes the reinvestment of dividends and capital gains. Performance less than one year is cumulative; all other performance is annualized.

^4.  Inception date: 7/8/2015

^5.  Class A performance with the sales charges includes the maximum 3.00% sales charge.

^6.  Benchmark A: Bloomberg Barclays U.S. 1-3 Year Government Bond Index. Indices are unmanaged. It is not possible to invest directly in an index.

^7.  Line graph and table do not reflect the deduction of taxes that a shareholder would pay.

^8.  Class C performance with the sales charges includes the 1.00% contingent deferred sales charge (CDSC) for returns of one year or less.

13

Barings Total Return Bond Fund 2018 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 fiscal year ended June 30, 2018 of 0.13%, outperforming the Bloomberg Barclays U.S. Aggregate Index (the “Benchmark”), which returned -0.40%.¹

What factors influenced performance of the Fund?

∎ An underweight to U.S. Treasuries relative to the Benchmark positively contributed to Fund performance.

∎ Investment grade corporate credit was a positive contributor to performance, as spread tightening in the fourth quarter of 2017 and first quarter of 2018 offset recent widening. The banking, industrials and gas pipeline sectors were the primary contributors to Fund performance. Holdings in the telecom and utility sectors were the primary detractors from Fund performance.

∎ The Fund has a 4.4% allocation to short weighted average life, AAA-rated collateralized loan obligation (CLO) structured product.² This out-of-index allocation detracted from the Fund’s performance relative to the Benchmark.

∎ The Fund’s allocation to taxable municipal bonds did not detract from Fund performance during the period.

∎ Asset-backed securities (ABS) contributed to Fund performance largely due to holdings in private and government-guaranteed Federal Family Education Loan Program (FFELP) student loans, as this sector performed well during the reporting period. Selective positioning to commercial ABS sectors also contributed positively to performance.

∎ Downside derivative mitigation, such as using investment grade CDX index credit default swaps³ (a swap where the seller compensates the buyer in the event of a default) to partially hedge longer duration ABS exposures, and a payer/receiver swaption pair to hedge against possible rising volatility detracted from Fund performance during the period.

∎ Security selection in high yield credit, an out-of-index allocation, contributed positively to Fund performance 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 the net asset value (NAV) of shares of the Fund 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. 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.

^3.  Barings Total Return Bond Fund currently holds long CMBX positions, which cover approximately 30 companies within each position.

14

Barings Total Return Bond Fund 2018 Annual Report

Describe recent portfolio activity.

∎ The Fund maintained an active allocation to ABS, with recent purchases in both private and public student loans.

∎ The Fund marginally increased its exposure to higher coupon 30-year collateral Federal National Mortgage Association (FNMA) agency mortgage-backed securities (MBS) due to attractive carry profile and relative value versus discount coupons. The Fund remains underweight to agency MBS relative to the Benchmark.

Describe portfolio positioning at period end.

∎ As of June 30, 2018, the Fund was duration and curve neutral relative to the Benchmark.

∎ The Fund’s largest overweight relative to the Benchmark was the ABS allocation, which represents 19% of the Fund. The allocation to ABS comprised FFELP student loans, private student loans, a modest allocation to traditional automotive loan collateral and compelling commercial collateral such as whole business franchise receivables, shipping containers and loan servicers, in addition to other subsectors.

∎ As of June 30, 2018, corporate credit represented approximately 42.3% of the Fund (versus 30.1% for the Benchmark); of that amount, investment grade corporates made up approximately 28.4%, high yield corporates made up 11.2% and U.S. dollar-denominated emerging markets made up almost 2.7%. The energy sector was the Fund’s largest overweight position by 3.4%, as we believe yields are attractive. The technology sector represented the Fund’s largest underweight position by 0.60%.

∎ The Fund’s allocation to agency MBS was underweight by 6.2% relative to the Benchmark.

∎ The Fund maintained a 4.4% allocation to structured credit, represented by short weighted average life, AAA-rated CLOs.

∎ The Fund maintained a currency overlay strategy, which is 5% of the Fund on a notional basis to help lower tracking error.

Describe market and portfolio outlook.

∎ Throughout 2017, the primary factors that we used to assess the health and value of the investment grade corporate market were unambiguously positive, in our view. Early in 2018, two factors – monetary policy and technicals – began to weaken, driven by a deteriorating global growth picture and the possibility of a full-fledged trade war. However, spread levels and fundamentals continue to improve, in our view. We expect these fundamental positives and macro negatives will lead to a much more balanced investing environment.

∎ The intermediate to long end of the U.S. Treasury curve has flattened over the period, unlike the short end of the curve, which has steepened as the U.S. Federal Reserve has been active in raising interest rates.

∎ The Fund remains overweight in spread sectors, such as corporates and structured products, relative to liquid products, such as governments and agencies, and seeks to add alpha, or return in excess to the Benchmark, by investing in under-covered sectors where we believe we have competitive advantages, such as commercial ABS, CLOs and emerging market corporates.

∎ We believe that credit fundamentals in investment grade credit are on solid footing, supported by constructive global economic data. The Fund expects to continue to reinvest within the sector, favoring financials and pipeline sectors with an underweight to M&A-prone sectors such as technology and pharmaceuticals.

∎ The Fund expects to continue to invest in high quality, shorter-duration securitized bonds in private student loans, timeshares, consumer loans, FFELP and subprime autos. We advocate selectivity in sectors such as aviation, containers and franchise receivables.

15

Barings Total Return Bond Fund 2018 Annual Report

CREDIT QUALITY BREAKDOWN (% OF ASSETS*)

* The percentages shown above represent a percentage of the assets as of June 30, 2018.

PORTFOLIO COMPOSITION (% OF ASSETS*)

* The percentages shown above represent a percentage of the assets as of June 30, 2018.

16

Barings Total Return Bond Fund 2018 Annual Report

% AVERAGE ANNUAL TOTAL RETURNS 5,7,8	INCEPTION DATE		ONE YEAR			INCEPTION TO DATE
Class A With Load		07/08/2015		-4.12	%		0.66	%
Class A No Load		07/08/2015		-0.12	%		2.05	%
Class C With Load		07/08/2015		-1.84	%		1.29	%
Class C No Load		07/08/2015		-0.87	%		1.29	%
Class I With Load		07/08/2015		0.13	%		2.30	%
Class I No Load		07/08/2015		0.13	%		2.30	%
Class Y With Load		07/08/2015		0.13	%		2.30	%
Class Y No Load		07/08/2015		0.13	%		2.30	%

Performance shown is historical and does not guarantee future results. Current performance may be lower or higher. Because share price, principal value, and return will vary, you may have a gain or loss when you sell Fund shares. For current month-end performance information, call 1.855.439.5459. Performance includes the reinvestment of dividends and capital gains. Performance less than one year is cumulative; all other performance is annualized.

^4.  Inception date: 7/8/2015

^5.  Class A performance with the sales charges includes the maximum 4.00% sales charge.

^6.  Benchmark: Bloomberg Barclays U.S. Aggregate. The benchmark includes domestic, taxable, dollar-denominated securities. The index covers U.S. investment-grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. It is not possible to invest directly in an index.

^7.  Line graph and table do not reflect the deduction of taxes that a shareholder would pay.

^8.  Class C performance with the sales charges includes the 1.00% contingent deferred sales charge (CDSC) for returns of one year or less.

17

Barings Emerging Markets Debt Blended Total Return Fund 2018 Annual Report

Investment Objective

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?

∎ The Fund reported a net total rate of return for the fiscal year ended June 30, 2018 of -1.94%.¹

∎ Each of the Fund’s three sub-strategies – EM corporates, EM sovereign and EM local – underperformed during the period. Although hard currency emerging markets started trending negatively during the first quarter of 2018 due to higher U.S. Treasury rates, local debt maintained a positive trajectory until early April 2018 when markets began a period of unpredictability. From April through June, all three EM debt indices fell.

What factors influenced performance of the Fund?

∎ Although the U.S. Congress passed its tax reform in late 2017 – generating expectations of further growth and fiscal stimulus in the U.S. – the U.S. dollar fell during the first quarter of 2018, only to sharply reverse course during the second quarter of 2018, leading to the worst quarter for EM currencies since 2015 (-8.3%). The combination of a more assertive U.S. Federal Reserve (Fed), President Trump’s trade protectionism policies aimed at foes and allies alike, and the announcement of a terminal date for the European Central Bank (ECB)’s quantitative easing program all put downward pressure on EM assets. Flows have remained supportive in 2018, with $19.6 billion ($68.1 billion in the last twelve months) of positive flows across EM corporate, sovereign and local. Most developed market central banks remained dovish, including the ECB, Bank of England and Bank of Japan; however, the Fed increased the short-term rates and commodities were higher during the period.

∎ For the annual reporting period, the Fund’s positioning in Hungary, South Africa, Israel, Belarus and currency positioning in Japan, Kazakhstan and Thailand contributed to Fund performance. However, the Fund’s positions in Argentina, Brazil and Eastern European currencies detracted from Fund performance.

Describe recent portfolio activity.

∎ As a result of spread widening during the second quarter of 2018, the Fund increased its exposure to short duration EM corporates to capture the higher yields on companies we believe to have strong potential. The Fund has maintained its exposure to local rates on overall moderate growth, low inflation and high rates in select EM local markets, based on our expectations that local rates will fall over the next 12 months in countries that are well managed and where inflation is falling.

Describe portfolio positioning at period end.

∎ The Fund finished the reporting period ended June 30, 2018 with a 43% exposure to emerging markets local debt and currencies, 32% exposure to sovereign hard currency, 29% exposure to corporate bonds and a 6.97% cash position.

∎ The top five countries in the portfolio at the end of the reporting period were Mexico (14.9%), Brazil (14.4%), South Africa (11.9%), Russia (10.3%) and Colombia (7.1%). The top five corporate issuers were Perobras (2.8%), Future Land Holdings (2.7%), Lila Chile Holding (2.1%), Firstrand Bank (1.9%) and CIFI Holdings (1.9%). Overall, the Fund had exposure to 26 countries, 19 corporates and 22 different currencies.

^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 the net asset value (NAV) of shares of the Fund 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. All returns 1-year or less are cumulative.

18

Barings Emerging Markets Debt Blended Total Return Fund 2018 Annual Report

Describe market and portfolio outlook.

∎ We believe that developed market fiscal policies, other than the U.S., are likely to remain expansionary for the next 12 months, providing support for global growth, which we expect to benefit emerging markets.

∎ Given current energy prices, we believe that energy importers are likely to experience higher inflation, although we expect inflation to be manageable over the next several years. Due to reduced inflationary pressures, we expect to see lower overall interest rates in countries with floating currencies and credible central bank policies, where nominal yields offer significant compensation for risk.

∎ We believe that EM corporate debt will perform well over the second half of 2018 given the favorable macro trends, meaningful steps to strengthen balance sheets and deleverage, stable commodity prices and improving sovereign stories across Europe and Latin America.

∎ EM corporate fundamentals appear to be improving and we believe they will likely continue to benefit from an increasingly stable macroeconomic environment.

∎ Technicals remain favorable, and over the next year, we do not expect to see sharp reversals in fund flows, which remain supportive. We expect net financing to stay subdued as a result of continued liability management among EM corporates and tighter restrictions out of China. We also expect cash flows from amortizations and coupons to remain robust in the coming years.

19

Barings Emerging Markets Debt Blended Total Return Fund 2018 Annual Report

PORTFOLIO COMPOSITION (% OF ASSETS*)

* The percentages shown above represent a percentage of the assets as of June 30, 2018.

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 June 30, 2018.

*** CEEMEA: Central Europe, Eastern Europe, Middle East and Africa.

LATAM: Latin America (includes countries in Central and South America).

20

Barings Emerging Markets Debt Blended Total Return Fund 2018 Annual Report

% AVERAGE ANNUAL TOTAL RETURNS 3,5,6	INCEPTION DATE		ONE YEAR			INCEPTION TO DATE
Class A With Load		10/21/2015		-6.12	%		2.84	%
Class A No Load		10/21/2015		-2.21	%		4.41	%
Class C With Load		10/21/2015		-3.80	%		3.66	%
Class C No Load		10/21/2015		-2.90	%		3.66	%
Class I With Load		10/21/2015		-1.94	%		4.68	%
Class I No Load		10/21/2015		-1.94	%		4.68	%
Class Y With Load		10/21/2015		-1.94	%		4.68	%
Class Y No Load		10/21/2015		-1.94	%		4.68	%

Performance shown is historical and does not guarantee future results. Current performance may be lower or higher. Because share price, principal value, and return will vary, you may have a gain or loss when you sell Fund shares. For current month-end performance information, call 1.855.439.5459. Performance includes the reinvestment of dividends and capital gains. Performance less than one year is cumulative; all other performance is annualized.

^2.  Inception date: 10/21/2015

^3.  Class A performance with the sales charges includes the maximum 4.00% sales charge.

^4.  Benchmark is a blend of 50% JPMorgan Government Bond Index – Emerging Markets Global Diversified (GBI-EMGD), 30% JPMorgan EMBI Global Diversified and 20% JPMorgan CEMBI Broad Diversified.

^5.  Line graph and table do not reflect the deduction of taxes that a shareholder would pay.

^6.  Class C performance with the sales charges includes the 1.00% contingent deferred sales charge (CDSC) for returns of one year or less.

21

Barings Emerging Markets Local Currency Debt Fund 2018 Annual Report

Investment Objective

Barings Emerging Markets Local Currency Debt Fund (“EM Local Currency Debt Fund” or the “Fund”) seeks long-term total return through investment in a diversified portfolio of emerging markets local currency-denominated debt securities.

Portfolio Management Commentary

How did the Fund perform?

∎ The Fund reported a net total rate of return for the fiscal year ended June 30, 2018 of -2.94%, underperforming the J.P. Morgan Government Bond Index Emerging Markets Global Diversified (the “Benchmark”), which returned -2.33%.¹

What factors influenced performance of the Fund?

∎ For the annual reporting period, the Fund’s positioning in Turkey, Hungary, South Africa and Colombia outperformed the Benchmark. The Fund’s overall positioning in Argentina, Brazil, Indonesia and the Polish zloty detracted from performance.

∎ The Fund’s performance trailed the Benchmark during the reporting period as a result of its currency positioning, which was the main detractor from Fund performance. Despite higher commodity prices and improving balance of payments for many EM countries, the U.S. dollar materially strengthened during the second quarter of 2018, sending many currencies to their lowest levels in years. The Fund’s EM local rates positions performed well versus the Benchmark, due in part to moderate growth, strong global trade and low inflation across many local markets.

Describe recent portfolio activity.

∎ The Fund increased its rates exposure to the Philippines, Russia, Colombia and Peru, while reducing exposure to South Africa, Argentina, Turkey and Czech Republic. The Fund also increased its exposure to the Brazilian real, Russian ruble and Polish zloty, while paring back exposure to the Israeli shekel, Thai bhat, Colombian peso, Argentinian peso and Turkish lira. 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 annual reporting period ended June 30, 2018 with an 87.5% exposure to emerging market bonds and a 12.5% cash position. The Fund had a duration of 1.9 years greater than the Benchmark and 111% exposure to EM currencies, while underweight 11% to developed market currencies.

∎ The top five countries in the portfolio at the end of the annual reporting period (+/- years duration versus the Benchmark) were Brazil (+.96 years) South Africa (+.57 years), Russia (+.57 year), Mexico (+.55 years) and Colombia (+.45 years). Overall, the Fund had exposure to 20 different countries and 26 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.

∎ We believe that EM countries continue to make meaningful adjustments to their current accounts to accommodate lower commodity revenues and continue to diversify and compete for export market share.

^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 the net asset value (NAV) of shares of the Fund 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. 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. Indices are unmanaged. It is not possible to invest directly in an index.

22

Barings Emerging Markets Local Currency Debt Fund 2018 Annual Report

∎ Global inflation may rise, although we expect it to be manageable over the next several years. Due to 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 Eastern European and Latin American currencies, less so on Asian currencies, while maintaining a watchful eye on commodity prices and the escalating trade war between the U.S. and China.

∎ The portfolio continues to be positioned in select rates where inflation is falling along with narrowing current account deficits. Although the U.S. is experiencing strong growth and higher inflation, most other countries are still in a period of disinflation, and we expect this to be favorable for EM local debt and the Fund.

23

Barings Emerging Markets Local Currency Debt Fund 2018 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 shows above represent a percentage of the assets as of June 30, 2018.

CURRENCY COMPOSITION (% OF ASSETS*)

* Percentage of assets are expressed by market value excluding cash and accrued income, and may vary over time. The percentages shows above represent a percentage of the assets as of June 30, 2018.

24

Barings Emerging Markets Local Currency Debt Fund 2018 Annual Report

CONTRIBUTION TO DURATION (IN YEARS**)

** The values shown above represent the contribution to duration, in years, of the assets as of June 30, 2018.

25

Barings Emerging Markets Local Currency Debt Fund 2018 Annual Report

% AVERAGE ANNUAL TOTAL RETURNS 3,5,6	INCEPTION DATE		ONE YEAR			INCEPTION TO DATE
Class A With Load		12/8/2015		-7.03	%		5.49	%
Class A No Load		12/8/2015		-3.16	%		7.19	%
Class C With Load		12/8/2015		-4.79	%		6.41	%
Class C No Load		12/8/2015		-3.88	%		6.41	%
Class I With Load		12/8/2015		-2.94	%		7.44	%
Class I No Load		12/8/2015		-2.94	%		7.44	%
Class Y With Load		12/8/2015		-2.93	%		7.45	%
Class Y No Load		12/8/2015		-2.93	%		7.45	%

Performance shown is historical and does not guarantee future results. Current performance may be lower or higher. Because share price, principal value, and return will vary, you may have a gain or loss when you sell Fund shares. For current month-end performance information, call 1.855.439.5459. Performance includes the reinvestment of dividends and capital gains. Performance less than one year is cumulative; all other performance is annualized.

^2.  Inception date: 12/08/2015

^3.  Class A performance with the sales charges includes the maximum 4.00% sales charge.

^4.  Benchmark: JPMorgan Government Bond Index—Emerging Markets Global Diversified (GBI-EMGD)

^5.  Line graph and table do not reflect the deduction of taxes that a shareholder would pay.

^6.  Class C performance with the sales charges includes the 1.00% contingent deferred sales charge (CDSC) for returns of one year or less.

26

Barings Global High Yield Fund 2018 Annual Report

Investment Objective

Barings Global High Yield Fund (“Global High Yield Fund” or the “Fund”) seeks 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 rate of return for the fiscal year ended June 30, 2018 of 2.05%, underperforming the Bank of America Merrill Lynch Non-Financial Developed Markets High Yield Constrained Index (the “Benchmark”), which returned 2.60%.¹

What factors influenced performance of the Fund?

∎ The global high yield market finished the fiscal year with positive performance driven by stable to improving corporate fundamentals, moderate global economic growth and subdued inflationary pressures.

∎ The market was generally in risk-on mode as the lower end of the ratings spectrum outperformed less risky assets. As a result, the Fund’s overweight position in CCC-rated assets and an underweight allocation to BB-rated holdings relative to the Benchmark were the primary contributors to relative performance. Prudent credit selection across BB-rated assets and B-rated holdings was also a contributor to the Fund’s relative performance while credit selection within the CCC-rated category was the notable detractor.

∎ Performance across industries was fairly mixed during the period. Credit selection was the primary contributor to the Fund’s performance, whereas allocations to specific industry categories, compared to the Benchmark, did not have a material impact on performance. The containers, packaging & glass and the leisure, amusement & entertainment sectors contributed to Fund performance, while an overweight position in the leisure, amusement & entertainment sector detracted from Fund performance. The diversified & conglomerate manufacturing and the oil & gas sectors were the largest detractors from Fund performance, driven by certain idiosyncratic credit events.

∎ Across geographies, credit selection within the European market was a key contributor to Fund performance during the year while Europe also outperformed the U.S. across the broader market. The Fund was relatively aligned with the Benchmark from an allocation perspective and, as such, geographic allocations did not contribute meaningfully to performance during the year.

Describe recent portfolio activity.

∎ For much of the fiscal year, the Fund’s target weighting between U.S. and Europe was unchanged. In early 2018, however, the Fund began to shift allocation slightly in favor of Europe due to better relative value opportunities. As of June 30, 2018, 65.9% of the Fund is held in U.S. issuers (down approximately 2.5% from June 30, 2017), while European assets ended the period at 23.4% of the Fund by market value. We expect this shift to continue over the coming months as we believe that European assets remain more attractive relative to U.S. assets. The remaining 10.7% represents investments in other countries, cash and accrued income.

^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 the net asset value (NAV) of shares of the Fund 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. 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.

27

Barings Global High Yield Fund 2018 Annual Report

∎ The lower end of the ratings spectrum has outperformed the broader market over the past year and as such the Fund’s allocation to CCC-rated assets has increased while the Fund’s allocation to B-rated assets has decreased. The allocation to BB-rated assets has remained relatively in line during the period while holdings designated as not publicly rated by S&P, Moody’s or Fitch² have decreased by 0.5% to 0.9% of market value. Cash and accrued income ended the period at 5.6% of the Fund.

∎ Oil & gas remained the top sector during the time period (the Fund increased its allocation to the sector by approximately 4%) as commodity prices have continued to improve and corporate fundamentals in the sector have remained generally stable. The healthcare, education & childcare sector was the second largest sector by market value with minimal change from the prior year-end. Meanwhile, the Fund’s allocation to the telecommunications sector was reduced by approximately 3% with a focus on opportunities primarily in the wireless subsector that we believe represent better relative value.

Describe portfolio positioning at period end.

∎ On a traded basis, the Fund held approximately 62% in senior unsecured bonds and approximately 30% in senior unsecured bonds. The remaining portion was held in first lien senior secured loans (2%), second lien senior secured loans (1%) and cash and accrued income (5%).

∎ The Fund remained broadly diversified across Moody’s sectors, with the oil & gas sector representing the largest portion of the portfolio at 18.0%, followed by healthcare, education & childcare at 7.1% and the mining, steel, iron & non-precious metals sector at 6.7%.

∎ At the end of the fiscal year, the Fund had the following credit quality weighting breakdown: 3.9% in BBB, 27.4% in BB, 45.1% in B, 17.1% in CCC and below and 5.6% in cash and accrued income. A small portion of the portfolio (0.9%) is not publicly rated by S&P, Moody’s or Fitch.²

∎ The top five countries in the portfolio, as of June 30, 2018, are the U.S. (65.9%), the U.K. (11.3%), Ghana (2.7%), Germany (2.6%) and Switzerland (1.7%). Overall, the Fund had exposure to 15 countries and supports our focus on building a well-diversified portfolio of global high yield bonds.

Describe market and portfolio outlook.

∎ We believe that the global high yield market continues to show positive economic growth driven by stable corporate earnings, low rates and supportive central bank policies. Currently, growth appears synchronized across the U.S. and Europe, however, there may be potential for this momentum to slow.

∎ We currently see better relative value opportunities in the European market, which has seen generally higher yields with lower durations, versus the U.S. market.

∎ First-quarter earnings results reported by high yield issuers were similar to recent quarters, with continued revenue and EBITDA growth alongside modest leverage. In addition, interest coverage remains at or near all-time highs. Given these healthy interest coverage levels, we believe high yield issuers are generally well positioned to withstand future interest rate increases.

∎ Defaults across the global high yield market are below historical averages and we believe will likely remain low in the near term. Broadly speaking, we believe high yield spreads are fairly compensating investors for the potential default risk in the market.

^2.  Ratings shown are the highest rating given by one of the following national rating agencies: S&P, Moody’s or Fitch. Additional information about ratings can be found, respectively, at www.standardandpoors.com, www.moodys.com and www.fitchratings.com. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings categories used by S&P and Fitch; BB, B, CCC/CC/C and D are below investment grade ratings categories used by S&P and Fitch. Aaa, Aa, A and Baa are investment grade ratings categories used by Moody’s; Ba, B, Caa/Ca and C are below investment grade ratings categories used by Moody’s. Ratings categories may include gradations within each category. Bonds backed by U.S. Government or agency securities are given an implied rating equal to the rating of such securities. Holdings designated Not Publicly Rated are not rated by these national rating agencies.

28

Barings Global High Yield Fund 2018 Annual Report

CREDIT QUALITY COMPOSITION (% OF ASSETS*)

* The percentages shown above represent a percentage of the assets as of June 30, 2018.

COUNTRY COMPOSITION (% OF ASSETS**)

** Percentage of assets are expressed by market value excluding cash and accrued income, and may vary over time. The percentages shown above represent a percentage of the assets as of June 30, 2018.

29

Barings Global High Yield Fund 2018 Annual Report

% AVERAGE ANNUAL TOTAL RETURNS 4,6,7	INCEPTION DATE		ONE YEAR			INCEPTION TO DATE
Class A With Load		10/30/2015		-2.28	%		6.05	%
Class A No Load		10/30/2015		1.79	%		7.69	%
Class C With Load		10/30/2015		0.10	%		6.89	%
Class C No Load		10/30/2015		1.04	%		6.89	%
Class I With Load		10/30/2015		2.05	%		7.96	%
Class I No Load		10/30/2015		2.05	%		7.96	%
Class Y With Load		10/30/2015		2.05	%		7.96	%
Class Y No Load		10/30/2015		2.05	%		7.96	%

Performance shown is historical and does not guarantee future results. Current performance may be lower or higher. Because share price, principal value, and return will vary, you may have a gain or loss when you sell Fund shares. For current month-end performance information, call 1.855.439.5459. Performance includes the reinvestment of dividends and capital gains. Performance less than one year is cumulative; all other performance is annualized.

^3.  Inception date: 10/30/2015

^4.  Class A performance with the sales charges includes the maximum 4.00% sales charge.

^5.  Benchmark: BofA Merrill Lynch Non-Fin. Developed Markets High Yield Constrained Index. The benchmark contains all securities in The BofA 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.

^6.  Line graph and table do not reflect the deduction of taxes that a shareholder would pay.

^7.  Class C performance with the sales charges includes the 1.00% contingent deferred sales charge (CDSC) for returns of one year or less.

30

Barings U.S. High Yield Fund 2018 Annual Report

Investment Objective

Barings U.S. High Yield Fund (“U.S. High Yield Fund” or the “Fund”) seeks to achieve 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 rate of return for the fiscal year ended June 30, 2018 of 1.61%, underperforming the Bloomberg Barclays U.S. Corporate High Yield Index (the “Benchmark”), which returned 2.62%.¹

What factors influenced performance of the Fund?

∎ The U.S. high yield market finished the fiscal year with positive performance driven by stable to improving corporate fundamentals, moderate global economic growth and subdued inflationary pressures.

∎ The market was generally in risk-on mode as the lower end of the ratings spectrum outperformed less risky assets. As a result, the Fund’s overweight position in CCC-rated holdings and an underweight allocation to BB-rated assets relative to the Benchmark were the primary contributors to Fund performance. Credit selection within the BB-rated and B-rated categories was also a driver of Fund performance; however, weakness within a few specific securities in the CCC-rated category detracted from Fund performance during the period.

∎ Performance across industries was fairly mixed during the period. Credit selection within the containers, packaging, & glass and automotive sectors contributed to Fund performance. The diversified/conglomerate manufacturing and the oil & gas sectors were the largest detractors from Fund performance, driven by certain idiosyncratic credit events.

Describe recent portfolio activity.

∎ The Fund’s allocation across ratings categories remains more heavily focused on the lower end of the ratings spectrum where we continue to see more attractive risk reward versus higher rated holdings. During the period, the Fund’s exposure to CCC-rated and BB-rated credits increased while B-rated holdings decreased.

∎ Oil & gas remained the largest sector by market value during the period, although the Fund’s allocation to the sector decreased slightly. The Fund’s allocation to the mining, steel, iron, & non-precious metals sector increased by 4.5% during the period to become the second largest sector. We selectively reduced the Fund’s exposure to securities in the telecommunications sector, with a focus on opportunities primarily in the wireless subsector that we believe represent better relative value.

Describe portfolio positioning at period end.

∎ On a traded basis, the Fund finished the period ending June 30, 2018 with an 89.5% weighting to high yield bonds. The remaining balance of the portfolio was invested in senior secured loans at 2.6%, equity at 0.4%, and cash and accrued income at 7.5%.

∎ The Fund remains diversified across a number of Moody’s-based industries, with higher concentrations in oil & gas (16.1%), mining, steel, iron & non-precious metals (9.4%) and telecommunications (8.9%) as of June 30, 2018.

^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 the net asset value (NAV) of shares of the Fund 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. 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.

31

Barings U.S. High Yield Fund 2018 Annual Report

∎ As of June 30, 2018, the Fund had the following credit quality weighting breakdown: 4.4% in BBB, 33.5% in BB, 36.7% in B, 15.7% in CCC and below, and cash and accrued income at 7.5%. A small portion of the portfolio (2.2%) is not publicly rated by S&P, Moody’s or Fitch.²

Describe market and portfolio outlook.

∎ We believe that the U.S. high yield market continues to show positive economic growth driven by stable corporate earnings, low rates and supportive central bank policies.

∎ First-quarter earnings results reported by high yield issuers were similar to recent quarters with continued revenue and EBITDA growth alongside modest leverage. In addition, interest coverage remains at or near all-time highs. Given these healthy interest coverage levels, we believe high yield issuers are generally well-positioned to withstand future interest rate increases.

∎ Defaults across the U.S. high yield market are below historical averages and we believe will likely remain low in the near-term. Broadly speaking, we believe high yield spreads are fairly compensating investors for the potential default risk in the market.

^2.  Ratings shown are the highest rating given by one of the following national rating agencies: S&P, Moody’s or Fitch. Additional information about ratings can be found, respectively, at www.standardandpoors.com, www.moodys.com and www.fitchratings.com. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings categories used by S&P and Fitch; BB, B, CCC/CC/C and D are below investment grade ratings categories used by S&P and Fitch. Aaa, Aa, A and Baa are investment grade ratings categories used by Moody’s; Ba, B, Caa/Ca and C are below investment grade ratings categories used by Moody’s. Ratings categories may include gradations within each category. Bonds backed by U.S. Government or agency securities are given an implied rating equal to the rating of such securities. Holdings designated Not Publicly Rated are not rated by these national rating agencies.

32

Barings U.S. High Yield Fund 2018 Annual Report

CREDIT QUALITY COMPOSITION (% OF ASSETS*)

* The percentages shown above represent a percentage of the assets as of June 30, 2018.

COUNTRY COMPOSITION (% OF ASSETS**)

** Percentage of assets are expressed by market value excluding cash and accrued income, and may vary over time. The percentages shown above represent a percentage of the assets as of June 30, 2018.

33

Barings U.S. High Yield Fund 2018 Annual Report

% AVERAGE ANNUAL TOTAL RETURNS 4,6,7	INCEPTION DATE		ONE YEAR			INCEPTION TO DATE
Class A With Load		10/30/2015		-2.74	%		5.69	%
Class A No Load		10/30/2015		1.32	%		7.32	%
Class C With Load		10/30/2015		-0.32	%		6.53	%
Class C No Load		10/30/2015		0.61	%		6.53	%
Class I With Load		10/30/2015		1.61	%		7.59	%
Class I No Load		10/30/2015		1.61	%		7.59	%
Class Y With Load		10/30/2015		1.61	%		7.58	%
Class Y No Load		10/30/2015		1.61	%		7.58	%

Performance shown is historical and does not guarantee future results. Current performance may be lower or higher. Because share price, principal value, and return will vary, you may have a gain or loss when you sell Fund shares. For current month-end performance information, call 1.855.439.5459. Performance includes the reinvestment of dividends and capital gains. Performance less than one year is cumulative; all other performance is annualized.

^3.  Inception date: 10/30/2015

^4.  Class A performance with the sales charges includes the maximum 4.00% sales charge.

^5.  Benchmark: Bloomberg Barclays U.S. Corporate High Yield Index. The benchmark covers the universe of fixed-rate, non-investment grade debt focusing on corporate USD denominated and non-convertible debt. It is not possible to invest directly in an index.

^6.  Line graph and table do not reflect the deduction of taxes that a shareholder would pay.

^7.  Class C performance with the sales charges includes the 1.00% contingent deferred sales charge (CDSC) for returns of one year or less.

34

Barings Funds Trust 2018 Annual Report

SHAREHOLDER EXPENSES (UNAUDITED)

As a shareholder of Barings Global Floating Rate Fund, Barings Global Credit Income Opportunities Fund, Barings Active Short Duration Bond Fund, Barings Total Return Bond Fund, Barings Emerging Markets Debt Blended Total Return Fund, Barings Emerging Markets Local Currency Debt Fund, Barings Global High Yield Fund or Barings U.S. High Yield Fund you incur ongoing expenses, such as management fees, shareholder service fees, distribution fees and other fund expenses. The following table is intended to help you understand your ongoing expenses (in dollars and cents) of investing in the Funds and to compare these expenses with the ongoing expenses of investing in other funds.

The table is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2018 to June 30, 2018.

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		0.92	%	$	1,000.00	$	1,018.40	$	1,009.20	$	4.60
Hypothetical		0.92	%		1,000.00		1,020.20		1,010.10		4.61
Class C
Actual		1.68	%		1,000.00		1,014.70		1,007.35		8.39
Hypothetical		1.68	%		1,000.00		1,016.50		1,008.25		8.40
Class I
Actual		0.64	%		1,000.00		1,019.80		1,009.90		3.21
Hypothetical		0.64	%		1,000.00		1,021.60		1,010.80		3.21
Class Y
Actual		0.72	%		1,000.00		1,019.70		1,009.85		3.61
Hypothetical		0.72	%		1,000.00		1,021.20		1,010.60		3.61

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 181/365.

35

Barings Funds Trust 2018 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	$	1,012.60	$	1,006.30	$	5.99
Hypothetical		1.20	%		1,000.00		1,018.80		1,009.40		6.01
Class C
Actual		1.95	%		1,000.00		1,008.80		1,004.40		9.71
Hypothetical		1.95	%		1,000.00		1,015.10		1,007.55		9.74
Class I
Actual		0.95	%		1,000.00		1,013.80		1,006.90		4.74
Hypothetical		0.95	%		1,000.00		1,020.10		1,010.05		4.76
Class Y
Actual		0.95	%		1,000.00		1,013.70		1,006.85		4.74
Hypothetical		0.95	%		1,000.00		1,020.10		1,010.05		4.76

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 181/365.

Barings Active Short Duration Bond Fund

	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		0.65	%	$	1,000.00	$	1,004.30	$	1,002.15	$	3.23
Hypothetical		0.65	%		1,000.00		1,021.60		1,010.80		3.26
Class C
Actual		0.90	%		1,000.00		1,003.00		1,001.50		4.47
Hypothetical		0.90	%		1,000.00		1,020.30		1,010.15		4.51
Class I
Actual		0.40	%		1,000.00		1,005.60		1,002.80		1.99
Hypothetical		0.40	%		1,000.00		1,022.80		1,011.40		2.01
Class Y
Actual		0.40	%		1,000.00		1,005.50		1,002.75		1.99
Hypothetical		0.40	%		1,000.00		1,022.80		1,011.40		2.01

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 181/365.

36

Barings Funds Trust 2018 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	$	983.90	$	991.95	$	3.94
Hypothetical		0.80	%		1,000.00		1,020.80		1,010.40		4.01
Class C
Actual		1.55	%		1,000.00		980.30		990.15		7.61
Hypothetical		1.55	%		1,000.00		1,017.10		1,008.55		7.75
Class I
Actual		0.55	%		1,000.00		985.10		992.55		2.71
Hypothetical		0.55	%		1,000.00		1,022.10		1,011.05		2.76
Class Y
Actual		0.55	%		1,000.00		985.10		992.55		2.71
Hypothetical		0.55	%		1,000.00		1,022.10		1,011.05		2.76

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 181/365.

** Expense ratios (as disclosed in the table) do not include the expenses of any underlying funds in which the Fund invests. The annualized expense ratios, as stated in the fee table of the Prospectus, may differ from the expense ratios disclosed in this report.

Barings Emerging Markets Debt Blended Total Return Fund

	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		1.09	%	$	1,000.00	$	934.40	$	967.20	$	5.23
Hypothetical		1.09	%		1,000.00		1,019.40		1,009.70		5.46
Class C
Actual		1.83	%		1,000.00		931.00		965.50		8.76
Hypothetical		1.83	%		1,000.00		1,015.70		1,007.85		9.15
Class I
Actual		0.78	%		1,000.00		935.60		967.80		3.74
Hypothetical		0.78	%		1,000.00		1,020.90		1,010.45		3.91
Class Y
Actual		0.78	%		1,000.00		935.60		967.80		3.74
Hypothetical		0.78	%		1,000.00		1,020.90		1,010.45		3.91

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 181/365.

37

Barings Funds Trust 2018 Annual Report

SHAREHOLDER EXPENSES (UNAUDITED) (CONTINUED)

Barings Emerging Markets Local Currency Debt Fund

	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		1.15	%	$	1,000.00	$	927.80	$	963.90	$	5.50
Hypothetical		1.15	%		1,000.00		1,019.10		1,009.55		5.76
Class C
Actual		1.98	%		1,000.00		924.30		962.15		9.45
Hypothetical		1.98	%		1,000.00		1,015.00		1,007.50		9.89
Class I
Actual		0.90	%		1,000.00		928.90		964.45		4.30
Hypothetical		0.90	%		1,000.00		1,020.30		1,010.15		4.51
Class Y
Actual		0.88	%		1,000.00		928.90		964.45		4.21
Hypothetical		0.88	%		1,000.00		1,020.40		1,010.20		4.41

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 181/365.

Barings Global High Yield Fund

	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		1.05	%	$	1,000.00	$	998.60	$	999.30	$	5.20
Hypothetical		1.05	%		1,000.00		1,019.60		1,009.80		5.26
Class C
Actual		1.80	%		1,000.00		994.90		997.45		8.90
Hypothetical		1.80	%		1,000.00		1,015.90		1,007.95		9.00
Class I
Actual		0.80	%		1,000.00		999.90		999.95		3.97
Hypothetical		0.80	%		1,000.00		1,020.80		1,010.40		4.01
Class Y
Actual		0.80	%		1,000.00		999.90		999.95		3.97
Hypothetical		0.80	%		1,000.00		1,020.80		1,010.40		4.01

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 181/365.

38

Barings Funds Trust 2018 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	$	997.80	$	998.90	$	4.95
Hypothetical		1.00	%		1,000.00		1,019.80		1,009.90		5.01
Class C
Actual		1.75	%		1,000.00		994.10		997.05		8.65
Hypothetical		1.75	%		1,000.00		1,016.10		1,008.05		8.75
Class I
Actual		0.75	%		1,000.00		999.00		999.50		3.72
Hypothetical		0.75	%		1,000.00		1,021.10		1,010.55		3.76
Class Y
Actual		0.75	%		1,000.00		999.00		999.50		3.72
Hypothetical		0.75	%		1,000.00		1,021.10		1,010.55		3.76

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 181/365.

39

Barings Funds Trust 2018 Annual Report

FINANCIAL REPORT

Statements of Assets and Liabilities	41
Statements of Operations	45
Statements of Changes in Net Assets	49
Financial Highlights	53
Schedules of Investments	85-185
Notes to the Financial Statements	186-232
Report of Independent Registered Public Accounting Firm	233
Federal Tax Information	235
Interested Trustee	236
Independent Trustees	237-238
Officers of the Trust	239-240
Joint Privacy Notice	241

40

Barings Funds Trust 2018 Annual Report

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2018

	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 $290,646,501, $239,021,691, $437,488,228 and $27,827,836, respectively)	$	287,743,930	$	234,123,460	$	433,034,032	$	27,464,150
Investments in affiliates, at fair value (cost $2,613,198)		—		—		—		2,635,105
Cash		248,171		39,209		20,950		—
Foreign currency, at value (cost $236,747, $1,052,725, $0 and $7, respectively)		237,027		1,054,323		—		7
Receivable for investments sold		6,016,506		1,981,562		492,372		677,613
Receivable for Fund shares sold		589,860		10,087,625		1,687,295		75,000
Interest receivable		1,447,932		2,574,066		2,671,972		181,429
Receivable from adviser (see Note 3)		—		—		105,512		20,253
Foreign tax reclaims receivable		—		3,778		—		—
Unrealized appreciation on forward foreign currency exchange contracts		635,460		817,834		—		20,403
Prepaid expenses		33,489		60,883		2,426		17,605
Total assets		296,952,375		250,742,740		438,014,559		31,091,565
Liabilities
Payable for investments purchased		650,681		3,290,339		940,972		68,464
Payable for TBA and when-issued securities purchased		41,890,414		13,918,476		1,550,000		1,563,550
Payable for Fund shares repurchased		551,922		211,163		541,431		1,299
Swap contracts, at fair value (up-front net premiums received of $0, $0, $20,886 and $5,031, respectively)		—		—		53,944		13,486
Payable for variation margin on open futures contracts		—		—		8,561		1,699
Investment advisory fee payable (see Note 3)		83,780		75,100		—		—
Cash collateral Due to Broker		655,000		1,242,947		3,720,000		380,000
Distribution fees payable		17,802		17,797		36,305		203
Dividends payable		113,373		296,479		122,980		68,486
Unrealized depreciation on forward foreign currency exchange contracts		6,085		2,076		—		43,379
Unrealized depreciation on unfunded loan commitments		9,990		14,782		—		—
Accrued expenses and other liabilities		186,124		174,504		256,166		64,762
Total liabilities		44,165,171		19,243,663		7,230,359		2,205,328
Total net assets	$	252,787,204	$	231,499,077	$	430,784,200	$	28,886,237

See accompanying Notes to the Financial Statements.

41

Barings Funds Trust 2018 Annual Report

STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)

June 30, 2018

	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	$	266		$	249		$	436		$	30
Additional paid-in capital		257,602,876			236,857,497			434,654,353			29,584,773
Undistributed net investment loss		(113,373	)		(305,679	)		(10,364	)		(60,031	)
Accumulated net realized gain (loss)		(2,445,913	)		(951,705	)		1,015,106			(340,336	)
Net unrealized depreciation		(2,256,652	)		(4,101,285	)		(4,875,331	)		(298,199	)
Total net assets	$	252,787,204		$	231,499,077		$	430,784,200		$	28,886,237
Class A
Net assets applicable to outstanding shares	$	53,371,328		$	60,506,724		$	177,020,488		$	206,750
Shares of beneficial interest outstanding		5,627,110			6,493,380			17,916,765			21,163
Net asset value per share outstanding	$	9.48		$	9.32		$	9.88		$	9.77
Maximum offering price per share outstanding (Net asset value plus sales charge of 3.00%, 4.00%, 0.00% and 4.00%, respectively)	$	9.77		$	9.71		$	9.88		$	10.18
Class C
Net assets applicable to outstanding shares	$	8,310,603		$	8,841,661		$	1,139,147		$	195,975
Shares of beneficial interest outstanding		879,403			950,025			115,383			20,061
Net asset value per share outstanding	$	9.45		$	9.31		$	9.87		$	9.77
Class I
Net assets applicable to outstanding shares	$	18,369,575		$	21,788,260		$	299,577		$	12,069,580
Shares of beneficial interest outstanding		1,932,979			2,338,856			30,319			1,235,482
Net asset value per share outstanding	$	9.50		$	9.32		$	9.88		$	9.77
Class Y
Net assets applicable to outstanding shares	$	172,735,698		$	140,362,432		$	252,324,988		$	16,413,932
Shares of beneficial interest outstanding		18,183,091			15,068,639			25,557,578			1,680,121
Net asset value per share outstanding	$	9.50		$	9.31		$	9.87		$	9.77

See accompanying Notes to the Financial Statements.

42

Barings Funds Trust 2018 Annual Report

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2018

	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 $49,778,556, $19,240,870, $26,115,605 and $58,017,024, respectively)	$	45,863,780	$	18,243,585	$	25,279,847	$	57,263,157
Cash		500		—		—		—
Cash collateral held at Broker		1,870,000		896,082		—		—
Foreign currency, at value (cost $92,630, $3,392, $0 and $0, respectively)		93,272		3,098		—		—
Receivable for investments sold		280,000		43,843		117,839		—
Receivable for Fund shares sold		—		—		12		3,874
Interest receivable		878,582		339,929		422,315		893,270
Receivable from adviser (see Note 3)		28,851		33,209		9,428		—
Cash collateral held at broker on open future contracts		29,039		—		—		—
Swap contracts, at fair value		179,432		60,900		—		—
Foreign tax reclaims receivable		—		4,024		1,809		297
Unrealized appreciation on forward foreign currency exchange contracts		2,214,203		691,437		46,798		—
Prepaid expenses		17,275		17,333		17,325		17,456
Total assets		51,454,934		20,333,440		25,895,373		58,178,054
Liabilities
Payable for investments purchased		633,479		140,000		—		—
Payable for TBA and when-issued securities purchased		—		—		763,060		984,290
Payable for Fund shares repurchased		1,222		537		2,447		54
Due to custodian		—		—		116,595		—
Payable for variation margin on open swap contracts		—		2,791		—		—
Investment advisory fee payable (see Note 3)		—		—		—		3,447
Cash collateral Due to Broker		1,140,000		290,000		—		—
Distribution fees payable		351		140		187		555
Dividends payable		205,647		45,292		123,018		119,470
Unrealized depreciation on forward foreign currency exchange contracts		2,771,591		1,261,719		900		—
Accrued expenses and other liabilities		87,832		73,747		63,393		62,961
Total liabilities		4,840,122		1,814,226		1,069,600		1,170,777
Total net assets	$	46,614,812	$	18,519,214	$	24,825,773	$	57,007,277

See accompanying Notes to the Financial Statements.

43

Barings Funds Trust 2018 Annual Report

STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)

June 30, 2018

	BARINGS EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND			BARINGS EMERGING MARKETS LOCAL CURRENCY DEBT FUND			BARINGS GLOBAL HIGH YIELD FUND			BARINGS U.S. HIGH YIELD FUND
Composition of net assets
Shares of beneficial interest outstanding (par value $0.00001 per share), unlimited number of shares authorized	$	49		$	19		$	25		$	58
Additional paid-in capital		51,014,152			20,051,291			25,424,683			57,838,791
Undistributed (distributions in excess of) net investment income		123,614			(206,237	)		(440	)		(536	)
Accumulated net realized gain (loss)		(67,734	)		222,011			194,670			(77,169	)
Net unrealized depreciation		(4,455,269	)		(1,547,870	)		(793,165	)		(753,867	)
Total net assets	$	46,614,812		$	18,519,214		$	24,825,773		$	57,007,277
Class A
Net assets applicable to outstanding shares	$	566,170		$	282,910		$	106,000		$	2,917,514
Shares of beneficial interest outstanding		59,541			28,939			10,836			296,984
Net asset value per share outstanding	$	9.51		$	9.78		$	9.78		$	9.82
Maximum offering price per share outstanding (Net asset value plus sales charge of 4.00%)	$	9.91		$	10.19		$	10.19		$	10.23
Class C
Net assets applicable to outstanding shares	$	277,230		$	97,749		$	197,478		$	98,225
Shares of beneficial interest outstanding		29,148			10,000			20,186			10,000
Net asset value per share outstanding	$	9.51		$	9.77		$	9.78		$	9.82
Class I
Net assets applicable to outstanding shares	$	22,649,740		$	6,921,449		$	12,129,548		$	14,815,948
Shares of beneficial interest outstanding		2,381,296			708,165			1,240,000			1,508,341
Net asset value per share outstanding	$	9.51		$	9.77		$	9.78		$	9.82
Class Y
Net assets applicable to outstanding shares	$	23,121,672		$	11,217,106		$	12,392,747		$	39,175,590
Shares of beneficial interest outstanding		2,430,781			1,147,519			1,266,907			3,988,801
Net asset value per share outstanding	$	9.51		$	9.78		$	9.78		$	9.82

See accompanying Notes to the Financial Statements.

44

Barings Funds Trust 2018 Annual Report

STATEMENTS OF OPERATIONS

For the Year Ended June 30, 2018

	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	$	11,256,953		$	11,415,570		$	11,291,253		$	913,532
Dividends		—			—			—			498
Dividends from affiliated securities		—			—			—			161,230
Other income		186,798			46,134			5,418			—
Total investment income		11,443,751			11,461,704			11,296,671			1,075,260
Operating Expenses
Advisory fees		1,352,275			1,346,860			1,412,898			122,954
12b-1 distribution and servicing plan
Class A		128,770			89,859			392,256			534
Class C		80,399			77,776			4,430			2,003
Administrator fees		234,817			204,184			449,980			51,292
Custody fees		169,936			151,970			343,146			54,940
Professional fees		84,614			87,154			120,714			44,240
Transfer agent fees		32,759			57,881			73,714			26,502
Directors’ fees		70,603			62,775			116,253			29,563
Registration fees		76,471			59,708			168,080			59,043
Printing and mailing expenses		51,695			41,969			72,259			12,879
Interest expense		—			—			322			25
Other operating expenses		42,270			35,469			73,983			12,267
Total operating expenses		2,324,609			2,215,605			3,228,035			416,242
Reimbursement of expenses
Class A		(158,427	)		(66,401	)		(461,180	)		(6,248	)
Class C		(31,185	)		(19,931	)		(9,305	)		(6,105	)
Class I		(64,781	)		(40,624	)		(7,254	)		(92,656	)
Class Y		(386,868	)		(214,990	)		(738,757	)		(139,614	)
Net operating expenses		1,683,348			1,873,659			2,011,539			171,619
Net investment income		9,760,403			9,588,045			9,285,132			903,641

See accompanying Notes to the Financial Statements.

45

Barings Funds Trust 2018 Annual Report

STATEMENTS OF OPERATIONS (CONTINUED)

For the Year Ended June 30, 2018

	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	$	(1,646,076	)	$	1,082,547		$	(485,401	)	$	(21,155	)
Net realized gain (loss) on forward foreign currency exchange contracts		(820,659	)		(963,704	)		—			11,939
Net realized gain (loss) on foreign currency and translation		609,791			826,053			—			(667	)
Net realized gain (loss) on futures contracts		—			—			1,893,658			(163,053	)
Net realized gain (loss) on swap contracts		—			—			(11,819	)		(1,808	)
Capital gain distributions received from underlying fund		—			—			—			75,839
Net realized gain (loss) on purchased options		—			(266,936	)		(95,458	)		(19,770	)
Net realized gain (loss)		(1,856,944	)		677,960			1,300,980			(118,675	)
Net change in unrealized depreciation on investments		(645,939	)		(5,741,631	)		(5,339,791	)		(620,450	)
Net change in unrealized appreciation (depreciation) on unfunded loan commitments		(14,990	)		(18,833	)		—			—
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts		936,893			1,076,045			—			(25,222	)
Net change in unrealized appreciation (depreciation) on foreign currency and translation		86,925			(1,490	)		—			—
Change in net unrealized appreciation (depreciation) on affiliates		—			—			—			(197,471	)
Net change in unrealized appreciation (depreciation) on futures contracts		—			—			(638,459	)		70,710
Net change in unrealized appreciation (depreciation) on swap contracts		—			—			14,762			3,338
Net change in unrealized appreciation (depreciation) on purchased option contracts		—			176,828			39,457			18,599
Net change in unrealized appreciation (depreciation)		362,889			(4,509,081	)		(5,924,031	)		(750,496	)
Net realized and unrealized gains (losses) on investments		(1,494,055	)		(3,831,121	)		(4,623,051	)		(869,171	)
Net increase in net assets resulting from operations	$	8,266,348		$	5,756,924		$	4,662,081		$	34,470

See accompanying Notes to the Financial Statements.

46

Barings Funds Trust 2018 Annual Report

STATEMENTS OF OPERATIONS

For the Year Ended June 30, 2018

	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 $27,301, $24,203, $0 and $0, respectively)	$	1,415,401		$	864,257		$	1,867,193		$	2,528,895
Total investment income		1,415,401			864,257			1,867,193			2,528,895
Operating Expenses
Advisory fees		172,999			108,895			161,392			202,338
12b-1 distribution and servicing plan
Class A		1,374			686			273			5,895
Class C		2,437			1,084			2,295			1,127
Administrator fees		40,616			33,995			47,112			53,631
Custody fees		55,329			51,018			37,656			40,862
Professional fees		58,805			57,929			43,617			39,761
Transfer agent fees		26,248			19,009			21,113			19,089
Directors’ fees		26,887			25,588			28,582			30,007
Registration fees		63,408			59,930			58,634			61,772
Printing and mailing expenses		9,146			7,706			12,519			13,363
Interest expense		15			—			—			—
Other operating expenses		9,380			8,966			11,581			12,594
Total operating expenses		466,644			374,806			424,774			480,439
Reimbursement of expenses
Class A		(13,877	)		(9,210	)		(6,011	)		(16,671	)
Class C		(9,750	)		(6,701	)		(6,890	)		(5,276	)
Class I		(124,706	)		(91,260	)		(92,799	)		(80,869	)
Class Y		(128,628	)		(143,818	)		(101,318	)		(94,685	)
Net operating expenses		189,683			123,817			217,756			282,938
Net investment income		1,225,718			740,440			1,649,437			2,245,957

See accompanying Notes to the Financial Statements.

47

Barings Funds Trust 2018 Annual Report

STATEMENTS OF OPERATIONS (CONTINUED)

For the Year Ended June 30, 2018

	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 (loss) on investments	$	298,462	(1)	$	(41,973	)(2)	$	567,832		$	150,989
Net realized gain (loss) on forward foreign currency exchange contracts		(166,348	)		231,609			(123,373	)		—
Net realized gain (loss) on foreign currency and translation		22,867			(46,616	)		(41,657	)		—
Net realized gain (loss) on futures contracts		12,675			—			—			—
Net realized gain on swap contracts		64,575			21,491			—			—
Net realized gain (loss)		232,231			164,511			402,802			150,989
Net change in unrealized depreciation on investments		(4,373,296	)(3)		(1,296,546	)(4)		(1,589,302	)		(1,764,583	)
Net change in unrealized appreciation (depreciation) on unfunded loan commitments		—			—			(735	)		(489	)
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts		(537,334	)		(623,053	)		124,681			—
Net change in unrealized appreciation (depreciation) on foreign currency and translation		(20,289	)		(15,168	)		(7,399	)		—
Net change in unrealized appreciation (depreciation) on futures contracts		(38,239	)		—			—			—
Net change in unrealized appreciation (depreciation) on swap contracts		53,630			7,670			—			—
Net change in unrealized appreciation (depreciation)		(4,915,528	)		(1,927,097	)		(1,472,755	)		(1,765,072	)
Net realized and unrealized gains (losses) on investments		(4,683,297	)		(1,762,586	)		(1,069,953	)		(1,614,083	)
Net increase (decrease) in net assets resulting from operations	$	(3,457,579	)	$	(1,022,146	)	$	579,484		$	631,874

(1) Net of realized foreign capital gains taxes of $1,650.

(2) Net of realized foreign capital gains taxes of $751.

(3) Net of change in unrealized appreciation (depreciation) of foreign capital gains taxes of $(1,594).

(4) Net of change in unrealized appreciation (depreciation) of foreign capital gains taxes of $2,872.

See accompanying Notes to the Financial Statements.

48

Barings Funds Trust 2018 Annual Report

STATEMENTS OF CHANGES IN NET ASSETS

	BARINGS GLOBAL FLOATING RATE FUND						BARINGS GLOBAL CREDIT INCOME OPPORTUNITIES FUND
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017
Operations
Net investment income	$	9,760,403		$	8,278,260		$	9,588,045		$	7,530,510
Net realized gain (loss) on investments		(1,856,944	)		(233,299	)		677,960			1,210,122
Net change in unrealized appreciation (depreciation) on investments		362,889			7,195,702			(4,509,081	)		7,282,710
Net increase in net assets resulting from operations		8,266,348			15,240,663			5,756,924			16,023,342
Dividends to Common Shareholders
Net investment income
Class A		(2,063,485	)		(938,252	)		(1,756,888	)		(998,532	)
Class C		(270,057	)		(185,364	)		(327,000	)		(215,973	)
Class I		(854,559	)		(672,463	)		(1,145,985	)		(1,381,435	)
Class Y		(5,403,280	)		(3,901,578	)		(5,859,509	)		(4,128,774	)
Return of Capital
Class A		(279,765	)		(539,887	)		(100,036	)		(128,650	)
Class C		(35,709	)		(92,940	)		(17,976	)		(27,208	)
Class I		(107,589	)		(292,699	)		(57,195	)		(142,739	)
Class Y		(748,240	)		(1,654,649	)		(321,100	)		(507,018	)
Total dividends to common shareholders		(9,762,684	)		(8,277,832	)		(9,585,689	)		(7,530,329	)
Capital Share Transactions
Net proceeds from sale of shares		112,207,247			148,677,637			121,425,079			80,293,147
Net Asset Value of shares issued to shareholders in payment of distributions declared		8,983,366			6,768,827			6,045,876			3,419,184
Cost of shares redeemed		(62,757,889	)		(133,201,507	)		(43,918,289	)		(39,350,864	)
Net increase in net assets resulting from capital stock transactions		58,432,724			22,244,957			83,552,666			44,361,467
Total increase in net assets		56,936,388			29,207,788			79,723,901			52,854,480
Net Assets
Beginning of year		195,850,816			166,643,028			151,775,176			98,920,696
End of year (includes undistributed net investment income of $(113,373), $(1,302,641), $(305,680) and $(1,244,900), respectively)	$	252,787,204		$	195,850,816		$	231,499,077		$	151,775,176

See accompanying Notes to the Financial Statements.

49

Barings Funds Trust 2018 Annual Report

STATEMENTS OF CHANGES IN NET ASSETS

	BARINGS ACTIVE SHORT DURATION BOND FUND						BARINGS TOTAL RETURN BOND FUND
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017
Operations
Net investment income	$	9,285,132		$	4,633,575		$	903,641		$	758,446
Net realized gain (loss) on investments		1,300,980			1,189,095			(118,675	)		(33,874	)
Net change in unrealized appreciation (depreciation) on investments		(5,924,031	)		172,123			(750,496	)		(149,825	)
Net increase in net assets resulting from operations		4,662,081			5,994,793			34,470			574,747
Dividends to Common Shareholders
Net investment income
Class A		(3,385,234	)		(1,605,272	)		(6,279	)		(5,751	)
Class C		(17,041	)		(5,353	)		(4,440	)		(3,785	)
Class I		(6,510	)		(11,257	)		(392,338	)		(357,307	)
Class Y		(5,887,689	)		(3,057,128	)		(573,463	)		(433,167	)
Net realized gain
Class A		(490,289	)		(38,267	)		—			—
Class C		(2,454	)		(114	)		—			—
Class I		(910	)		(42	)		—			—
Class Y		(776,810	)		(63,403	)		—			—
Return of Capital
Class A		—			—			(217	)		—
Class C		—			—			(153	)		—
Class I		—			—			(13,609	)		—
Class Y		—			—			(19,524	)		—
Total dividends to common shareholders		(10,566,937	)		(4,780,836	)		(1,010,023	)		(800,010	)
Capital Share Transactions
Net proceeds from sale of shares		354,038,993			317,789,229			2,983,984			5,001,298
Net Asset Value of shares issued to shareholders in payment of distributions declared		9,474,859			4,101,768			183,911			75,328
Cost of shares redeemed		(250,813,003	)		(154,981,250	)		(3,661,938	)		(503,539	)
Net increase (decrease) in net assets resulting from capital stock transactions		112,700,849			166,909,747			(494,043	)		4,573,087
Total increase (decrease) in net assets		106,795,993			168,123,704			(1,469,596	)		4,347,824
Net Assets
Beginning of year		323,988,207			155,864,503			30,355,833			26,008,009
End of year (includes undistributed net investment income of $(10,364), $(12,296), $(60,031) and $(46,905), respectively)	$	430,784,200		$	323,988,207		$	28,886,237		$	30,355,833

See accompanying Notes to the Financial Statements.

50

Barings Funds Trust 2018 Annual Report

STATEMENTS OF CHANGES IN NET ASSETS

	BARINGS EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND						BARINGS EMERGING MARKETS LOCAL CURRENCY DEBT FUND
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017
Operations
Net investment income	$	1,225,718		$	448,168		$	740,440		$	138,071
Net realized gain on investments		232,231			415,231			164,511			211,313
Net change in unrealized appreciation (depreciation) on investments		(4,915,528	)		312,882			(1,927,097	)		123,019
Net increase (decrease) in net assets from operations		(3,457,579	)		1,176,281			(1,022,146	)		472,403
Dividends to Common Shareholders
Net investment income
Class A		(29,114	)		(10,093	)		(13,626	)		(9,790	)
Class C		(10,947	)		(8,789	)		(4,519	)		(9,013	)
Class I		(556,464	)		(254,319	)		(288,701	)		(241,257	)
Class Y		(570,211	)		(256,813	)		(472,975	)		(241,252	)
Net realized gain
Class A		(17,857	)		—			(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		(1,487,965	)		(530,014	)		(850,753	)		(592,112	)
Capital Share Transactions
Net proceeds from sale of shares		41,179,347			539,240			15,638,704			—
Net Asset Value of shares issued to shareholders in payment of distributions declared		43,749			2,427			224,528			—
Cost of shares redeemed		(498,234	)		(255,428	)		(811,922	)		—
Net increase in net assets resulting from capital stock transactions		40,724,862			286,239			15,051,310			—
Total increase (decrease) in net assets		35,779,318			932,506			13,178,411			(119,709	)
Net Assets
Beginning of year		10,835,494			9,902,988			5,340,803			5,460,512
End of year (includes undistributed net investment income of $123,614, $(50,942), $(206,237) and $(44,971), respectively)	$	46,614,812		$	10,835,494		$	18,519,214		$	5,340,803

See accompanying Notes to the Financial Statements.

51

Barings Funds Trust 2018 Annual Report

STATEMENTS OF CHANGES IN NET ASSETS

	BARINGS GLOBAL HIGH YIELD FUND						BARINGS U.S. HIGH YIELD FUND
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017
Operations
Net investment income	$	1,649,437		$	1,737,828		$	2,245,957		$	2,048,058
Net realized gain on investments		402,802			1,098,745			150,989			1,008,031
Net change in unrealized appreciation (depreciation) on investments		(1,472,755	)		892,695			(1,765,072	)		829,782
Net increase in net assets resulting from operations		579,484			3,729,268			631,874			3,885,871
Dividends to Common Shareholders
Net investment income
Class A		(6,439	)		(6,644	)		(139,147	)		(123,272	)
Class C		(11,793	)		(10,538	)		(5,823	)		(6,069	)
Class I		(775,770	)		(829,764	)		(944,699	)		(1,005,037	)
Class Y		(855,423	)		(890,882	)		(1,156,409	)		(913,775	)
Net realized gain
Class A		(2,627	)		(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		(2,299,685	)		(2,740,383	)		(3,216,681	)		(2,602,629	)
Capital Share Transactions
Net proceeds from sale of shares		3,560,120			1,640,235			29,139,508			7,082,995
Net Asset Value of shares issued to shareholders in payment of distributions declared		116,325			111,913			882,238			428,741
Cost of shares redeemed		(4,970,047	)		(172,600	)		(3,532,281	)		(3,537,611	)
Net increase (decrease) in net assets resulting from capital stock transactions		(1,293,602	)		1,579,548			26,489,465			3,974,125
Total increase (decrease) in net assets		(3,013,803	)		2,568,433			23,904,658			5,257,367
Net Assets
Beginning of year		27,839,576			25,271,143			33,102,619			27,845,252
End of year (includes undistributed net investment income of $(440), $(134,955), $(536) and $(95), respectively)	$	24,825,773		$	27,839,576		$	57,007,277		$	33,102,619

See accompanying Notes to the Financial Statements.

52

Barings Global Floating Rate Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS

	CLASS A
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (1)
Per Common Share Data
Net asset value, beginning of year	$	9.54		$	9.13		$	9.60		$	10.20		$	10.00
Income from investment operations:
Net investment income (2)		0.43			0.43			0.44			0.44			0.30
Net realized and unrealized gain (loss) on investments		(0.06	)		0.42			(0.45	)		(0.35	)		0.08
Total increase (decrease) from investment operations		0.37			0.85			(0.01	)		0.09			0.38
Less dividends and distributions:
From net investment income		(0.38	)		(0.31	)		(0.46	)		(0.68	)		(0.18	)
From net realized gain		–			–			–			(0.01	)		–
From return of capital		(0.05	)		(0.13	)		–			–			–
Total dividends and distributions		(0.43	)		(0.44	)		(0.46	)		(0.69	)		(0.18	)
Redemption fees		–			–			–			0.00	(3)		–
Net asset value, at end of year	$	9.48		$	9.54		$	9.13		$	9.60		$	10.20
Total investment return (4)		4.00	%		9.47	%		(0.04	)%		0.95	%		3.81	%(5)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	53,371		$	45,363		$	13,980		$	5,153		$	12,464
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.26	%		1.37	%		1.72	%		1.74	%		2.27	%(6)
Ratio of net expenses to average net assets (7)		0.96	%(10)		0.99	%(8)		1.05	%(9)		1.05	%(9)		1.05	%(6)(9)
Ratio of net investment income to average net assets		4.55	%		4.52	%		4.74	%		4.44	%		3.76	%(6)
Portfolio turnover rate		57.74	%		47.06	%		62.99	%		63.17	%		49.51	%(5)

(1) Fund commenced operations on September 16, 2013.

(2) Calculated using average shares outstanding.

(3) Amount rounds to less than $.01 per share.

(4) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) Annualized for periods less than one full year.

(7) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.00% as a percentage of average daily net assets.

(8) Net expenses reflect a one-time voluntary reimbursement to the Fund during the period in connection with a change to the fee waiver and/or expense reimbursement agreement.

(9) Net expenses reflect a previous fee waiver and/or expense reimbursement agreement.

(10) Net expenses reflect a voluntary expense reimbursement to prevent a negative yield.

See accompanying Notes to the Financial Statements.

53

Barings Global Floating Rate Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (1)
Per Common Share Data
Net asset value, beginning of year	$	9.51		$	9.10		$	9.57		$	10.16		$	10.00
Income from investment operations:
Net investment income (2)		0.36			0.37			0.37			0.35			0.24
Net realized and unrealized gain (loss) on investments		(0.06	)		0.41			(0.45	)		(0.33	)		0.07
Total increase (decrease) from investment operations		0.30			0.78			(0.08	)		0.02			0.31
Less dividends and distributions:
From net investment income		(0.32	)		(0.26	)		(0.39	)		(0.60	)		(0.15	)
From net realized gain		–			–			–			(0.01	)		–
From return of capital		(0.04	)		(0.11	)		–			–			–
Total dividends and distributions		(0.36	)		(0.37	)		(0.39	)		(0.61	)		(0.15	)
Redemption fees		–			–			–			0.00	(3)		–
Net asset value, at end of year	$	9.45		$	9.51		$	9.10		$	9.57		$	10.16
Total investment return (4)		3.24	%		8.68	%		(0.81	)%		0.30	%		3.15	%(5)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	8,311		$	8,018		$	6,803		$	5,461		$	2,396
Ratio of total expenses (before reductions and reimbursements) to average net assets		2.09	%		2.24	%		2.50	%		3.12	%		4.97	%(6)
Ratio of net expenses to average net assets (7)		1.70	%(10)		1.71	%(8)		1.80	%(9)		1.80	%(9)		1.80	%(6)(9)
Ratio of net investment income to average net assets		3.80	%		3.91	%		4.04	%		3.60	%		3.07	%(6)
Portfolio turnover rate		57.74	%		47.06	%		62.99	%		63.17	%		49.51	%(5)

(1) Fund commenced operations on September 16, 2013.

(2) Calculated using average shares outstanding.

(3) Amount rounds to less than $.01 per share.

(4) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) Annualized for periods less than one full year.

(7) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.75% as a percentage of average daily net assets.

(8) Net expenses reflect a one-time voluntary reimbursement to the Fund during the period in connection with a change to the fee waiver and/or expense reimbursement agreement.

(9) Net expenses reflect a previous fee waiver and/or expense reimbursement agreement.

(10) Net expenses reflect a voluntary expense reimbursement to prevent a negative yield.

See accompanying Notes to the Financial Statements.

54

Barings Global Floating Rate Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (1)
Per Common Share Data
Net asset value, beginning of year	$	9.56		$	9.15		$	9.62		$	10.21		$	10.00
Income from investment operations:
Net investment income (2)		0.46			0.47			0.47			0.46			0.30
Net realized and unrealized gain (loss) on investments		(0.06	)		0.40			(0.45	)		(0.34	)		0.10
Total increase from investment operations		0.40			0.87			0.02			0.12			0.40
Less dividends and distributions:
From net investment income		(0.41	)		(0.32	)		(0.49	)		(0.70	)		(0.19	)
From net realized gain		–			–			–			(0.01	)		–
From return of capital		(0.05	)		(0.14	)		–			–			–
Total dividends and distributions		(0.46	)		(0.46	)		(0.49	)		(0.71	)		(0.19	)
Redemption fees		–			–			–			0.00	(3)		–
Net asset value, at end of year	$	9.50		$	9.56		$	9.15		$	9.62		$	10.21
Total investment return (4)		4.28	%		9.74	%		0.25	%		1.34	%		4.04	%(5)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	18,370		$	19,733		$	19,903		$	25,885		$	32,772
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.03	%		1.16	%		1.29	%		1.31	%		1.52	%(6)
Ratio of net expenses to average net assets (7)		0.71	%(8)		0.75	%		0.75	%		0.75	%		0.75	%(6)
Ratio of net investment income to average net assets		4.78	%		4.90	%		5.07	%		4.69	%		3.72	%(6)
Portfolio turnover rate		57.74	%		47.06	%		62.99	%		63.17	%		49.51	%(5)

(1) Fund commenced operations on September 16, 2013.

(2) Calculated using average shares outstanding.

(3) Amount rounds to less than $.01 per share.

(4) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) Annualized for periods less than one full year.

(7) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .75% as a percentage of average daily net assets.

(8) Net expenses reflect a voluntary expense reimbursement to prevent a negative yield.

See accompanying Notes to the Financial Statements.

55

Barings Global Floating Rate Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (1)
Per Common Share Data
Net asset value, beginning of year	$	9.56		$	9.15		$	9.62		$	10.21		$	10.00
Income from investment operations:
Net investment income (2)		0.46			0.47			0.47			0.45			0.30
Net realized and unrealized gain (loss) on investments		(0.06	)		0.40			(0.45	)		(0.33	)		0.10
Total increase from investment operations		0.40			0.87			0.02			0.12			0.40
Less dividends and distributions:
From net investment income		(0.41	)		(0.32	)		(0.49	)		(0.70	)		(0.19	)
From net realized gain		–			–			–			(0.01	)		–
From return of capital		(0.05	)		(0.14	)		–			–			–
Total dividends and distributions		(0.46	)		(0.46	)		(0.49	)		(0.71	)		(0.19	)
Redemption fees		–			–			–			0.00	(3)		–
Net asset value, at end of year	$	9.50		$	9.56		$	9.15		$	9.62		$	10.21
Total investment return (4)		4.27	%		9.73	%		0.22	%		1.28	%		4.04	%(5)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	172,736		$	122,736		$	125,957		$	129,659		$	66,999
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.01	%		1.14	%		1.27	%		1.25	%		1.53	%(6)
Ratio of net expenses to average net assets (7)		0.71	%(8)		0.75	%		0.75	%		0.75	%		0.75	%(6)
Ratio of net investment income to average net assets		4.79	%		4.90	%		5.08	%		4.58	%		3.80	%(6)
Portfolio turnover rate		57.74	%		47.06	%		62.99	%		63.17	%		49.51	%(5)

(1) Fund commenced operations on September 16, 2013.

(2) Calculated using average shares outstanding.

(3) Amount rounds to less than $.01 per share.

(4) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) Annualized for periods less than one full year.

(7) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .75% as a percentage of average daily net assets.

(8) Net expenses reflect a voluntary expense reimbursement to prevent a negative yield.

See accompanying Notes to the Financial Statements.

56

Barings Global Credit Income Opportunities Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS A
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (1)
Per Common Share Data
Net asset value, beginning of year	$	9.51		$	8.80		$	9.51		$	10.45		$	10.00
Income from investment operations:
Net investment income (2)		0.49			0.55			0.56			0.54			0.40
Net realized and unrealized gain (loss) on investments		(0.19	)		0.71			(0.66	)		(0.57	)		0.33
Total increase (decrease) from investment operations		0.30			1.26			(0.10	)		(0.03	)		0.73
Less dividends and distributions:
From net investment income		(0.47	)		(0.50	)		(0.61	)		(0.78	)		(0.28	)
From net realized gain		–			–			–			(0.13	)		–
From return of capital		(0.02	)		(0.05	)		–			–			–
Total dividends and distributions		(0.49	)		(0.55	)		(0.61	)		(0.91	)		(0.28	)
Redemption fees		–			–			–			0.00	(3)		–
Net asset value, at end of year	$	9.32		$	9.51		$	8.80		$	9.51		$	10.45
Total investment return (4)		3.24	%		14.61	%		(0.84	)%		(0.11	)%		7.30	%(5)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	60,507		$	26,904		$	12,340		$	12,718		$	2,591
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.38	%		1.56	%		1.90	%		1.98	%		3.95	%(6)
Ratio of net expenses to average net assets (7)		1.20	%		1.20	%		1.20	%		1.20	%		1.20	%(6)
Ratio of net investment income to average net assets		5.17	%		5.83	%		6.28	%		5.46	%		4.88	%(6)
Portfolio turnover rate		52.29	%		48.69	%		58.08	%		84.65	%		99.72	%(5)

(1) Fund commenced operations on September 16, 2013.

(2) Calculated using average shares outstanding.

(3) Amount rounds to less than $.01 per share.

(4) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) 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.

See accompanying Notes to the Financial Statements.

57

Barings Global Credit Income Opportunities Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (1)
Per Common Share Data
Net asset value, beginning of year	$	9.50		$	8.79		$	9.50		$	10.45		$	10.00
Income from investment operations:
Net investment income (2)		0.42			0.48			0.49			0.47			0.35
Net realized and unrealized gain (loss) on investments		(0.19	)		0.71			(0.65	)		(0.58	)		0.32
Total increase (decrease) from investment operations		0.23			1.19			(0.16	)		(0.11	)		0.67
Less dividends and distributions:
From net investment income		(0.40	)		(0.43	)		(0.55	)		(0.71	)		(0.22	)
From net realized gain		–			–			–			(0.13	)		–
From return of capital		(0.02	)		(0.05	)		–			–			–
Total dividends and distributions		(0.42	)		(0.48	)		(0.55	)		(0.84	)		(0.22	)
Redemption fees		–			–			–			0.00	(3)		–
Net asset value, at end of year	$	9.31		$	9.50		$	8.79		$	9.50		$	10.45
Total investment return (4)		2.47	%		13.75	%		(1.59	)%		(0.93	)%		6.75	%(5)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	8,842		$	6,628		$	3,578		$	3,579		$	944
Ratio of total expenses (before reductions and reimbursements) to average net assets		2.21	%		2.39	%		2.91	%		4.09	%		10.50	%(6)
Ratio of net expenses to average net assets (7)		1.95	%		1.95	%		1.95	%		1.95	%		1.95	%(6)
Ratio of net investment income to average net assets		4.44	%		5.12	%		5.50	%		4.79	%		4.39	%(6)
Portfolio turnover rate		52.29	%		48.69	%		58.08	%		84.65	%		99.72	%(5)

(1) Fund commenced operations on September 16, 2013.

(2) Calculated using average shares outstanding.

(3) Amount rounds to less than $.01 per share.

(4) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) 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.

See accompanying Notes to the Financial Statements.

58

Barings Global Credit Income Opportunities Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (1)
Per Common Share Data
Net asset value, beginning of year	$	9.50		$	8.80		$	9.51		$	10.46		$	10.00
Income from investment operations:
Net investment income (2)		0.51			0.58			0.58			0.56			0.41
Net realized and unrealized gain (loss) on investments		(0.18	)		0.70			(0.65	)		(0.58	)		0.35
Total increase (decrease) from investment operations		0.33			1.28			(0.07	)		(0.02	)		0.76
Less dividends and distributions:
From net investment income		(0.49	)		(0.52	)		(0.64	)		(0.80	)		(0.30	)
From net realized gain		–			–			–			(0.13	)		–
From return of capital		(0.02	)		(0.06	)		–			–			–
Total dividends and distributions		(0.51	)		(0.58	)		(0.64	)		(0.93	)		(0.30	)
Redemption fees		–			–			–			0.00	(3)		–
Net asset value, at end of year	$	9.32		$	9.50		$	8.80		$	9.51		$	10.46
Total investment return (4)		3.49	%		14.90	%		(0.61	)%		0.05	%		7.59	%(5)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	21,788		$	22,228		$	24,689		$	26,428		$	26,406
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.13	%		1.27	%		1.54	%		1.58	%		1.83	%(6)
Ratio of net expenses to average net assets (7)		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%(6)
Ratio of net investment income to average net assets		5.45	%		6.22	%		6.54	%		5.69	%		5.02	%(6)
Portfolio turnover rate		52.29	%		48.69	%		58.08	%		84.65	%		99.72	%(5)

(1) Fund commenced operations on September 16, 2013.

(2) Calculated using average shares outstanding.

(3) Amount rounds to less than $.01 per share.

(4) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) 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 .95% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

59

Barings Global Credit Income Opportunities Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 (1)
Per Common Share Data
Net asset value, beginning of year	$	9.50		$	8.80		$	9.51		$	10.46		$	10.00
Income from investment operations:
Net investment income (2)		0.51			0.57			0.59			0.56			0.41
Net realized and unrealized gain (loss) on investments		(0.19	)		0.71			(0.66	)		(0.58	)		0.35
Total increase (decrease) from investment operations		0.32			1.28			(0.07	)		(0.02	)		0.76
Less dividends and distributions:
From net investment income		(0.49	)		(0.52	)		(0.64	)		(0.80	)		(0.30	)
From net realized gain		–			–			–			(0.13	)		–
From return of capital		(0.02	)		(0.06	)		–			–			–
Total dividends and distributions		(0.51	)		(0.58	)		(0.64	)		(0.93	)		(0.30	)
Redemption fees		–			–			–			0.00	(3)		–
Net asset value, at end of year	$	9.31		$	9.50		$	8.80		$	9.51		$	10.46
Total investment return (4)		3.48	%		14.90	%		(0.61	)%		0.05	%		7.59	%(5)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	140,362		$	96,014		$	58,312		$	39,006		$	33,885
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.14	%		1.28	%		1.55	%		1.58	%		1.84	%(6)
Ratio of net expenses to average net assets (7)		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%(6)
Ratio of net investment income to average net assets		5.43	%		6.14	%		6.56	%		5.67	%		5.04	%(6)
Portfolio turnover rate		52.29	%		48.69	%		58.08	%		84.65	%		99.72	%(5)

(1) Fund commenced operations on September 16, 2013.

(2) Calculated using average shares outstanding.

(3) Amount rounds to less than $.01 per share.

(4) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) 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 .95% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

60

Barings Active Short Duration Bond Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS A
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.01		$	9.98		$	10.00
Income from investment operations:
Net investment income (2)		0.21			0.17			0.15
Net realized and unrealized gain (loss) on investments		(0.10	)		0.03			(0.03	)(3)
Total increase from investment operations		0.11			0.20			0.12
Less dividends and distributions:
From net investment income		(0.21	)		(0.17	)		(0.14	)
From net realized gain		(0.03	)		(0.00	)(4)		–
Total dividends and distributions		(0.24	)		(0.17	)		(0.14	)
Net asset value, at end of year	$	9.88		$	10.01		$	9.98
Total investment return (5)		1.10	%		2.12	%		1.17	%(6)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	177,020		$	119,189		$	39,992
Ratio of total expenses (before reductions and reimbursements) to average net assets		0.94	%		1.06	%		1.18	%(7)
Ratio of net expenses to average net assets (8)		0.65	%		0.65	%		0.65	%(7)
Ratio of net investment income to average net assets		2.15	%		1.72	%		1.51	%(7)
Portfolio turnover rate		53.33	%		88.52	%		218.67	%(6)

(1) Fund commenced operations on July 8, 2015.

(2) Calculated using average shares outstanding.

(3) The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and unrealized gains and losses at such time.

(4) Amount rounds to less than $.01 per share.

(5) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(6) Not annualized.

(7) 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 .65% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

61

Barings Active Short Duration Bond Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.01		$	9.97		$	10.00
Income from investment operations:
Net investment income (2)		0.19			0.19			0.07
Net realized and unrealized gain (loss) on investments		(0.11	)		0.05			(0.03	)(3)
Total increase from investment operations		0.08			0.24			0.04
Less dividends and distributions:
From net investment income		(0.19	)		(0.20	)		(0.07	)
From net realized gain		(0.03	)		(0.00	)(4)		–
Total dividends and distributions		(0.22	)		(0.20	)		(0.07	)
Net asset value, at end of year	$	9.87		$	10.01		$	9.97
Total investment return (5)		0.84	%		2.41	%		0.39	%(6)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	1,139		$	236		$	257
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.95	%		3.09	%(8)		5.44	%(7)(9)
Ratio of net expenses to average net assets (10)		0.90	%		0.40	%(8)		1.40	%(7)(9)
Ratio of net investment income to average net assets		1.92	%		1.94	%(8)		0.71	%(7)(9)
Portfolio turnover rate		53.33	%		88.52	%		218.67	%(6)

(1) Fund commenced operations on July 8, 2015.

(2) Calculated using average shares outstanding.

(3) The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and unrealized gains and losses at such time.

(4) Amount rounds to less than $.01 per share.

(5) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(6) Not annualized.

(7) Annualized for periods less than one full year.

(8) 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.

(9) 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.

(10) 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.

62

Barings Active Short Duration Bond Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.01		$	9.97		$	10.00
Income from investment operations:
Net investment income (2)		0.24			0.18			0.16
Net realized and unrealized gain (loss) on investments		(0.10	)		0.06			(0.03	)(3)
Total increase from investment operations		0.14			0.24			0.13
Less dividends and distributions:
From net investment income		(0.24	)		(0.20	)		(0.16	)
From net realized gain (4)		(0.03	)		(0.00	)(4)		–
Total dividends and distributions		(0.27	)		(0.20	)		(0.16	)
Net asset value, at end of year	$	9.88		$	10.01		$	9.97
Total investment return (5)		1.39	%		2.44	%		1.35	%(6)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	300		$	100		$	5,971
Ratio of total expenses (before reductions and reimbursements) to average net assets		3.07	%		1.67	%		0.96	%(7)
Ratio of net expenses to average net assets (8)		0.40	%		0.40	%		0.44	%(7)
Ratio of net investment income to average net assets		2.39	%		1.84	%		1.67	%(7)
Portfolio turnover rate		53.33	%		88.52	%		218.67	%(6)

(1) Fund commenced operations on July 8, 2015.

(2) Calculated using average shares outstanding.

(3) The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and unrealized gains and losses at such time.

(4) Amount rounds to less than $.01 per share.

(5) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(6) Not annualized.

(7) 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 .40% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

63

Barings Active Short Duration Bond Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.01		$	9.97		$	10.00
Income from investment operations:
Net investment income (2)		0.24			0.20			0.17
Net realized and unrealized gain (loss) on investments		(0.11	)		0.04			(0.04	)(3)
Total increase from investment operations		0.13			0.24			0.13
Less dividends and distributions:
From net investment income		(0.24	)		(0.20	)		(0.16	)
From net realized gain		(0.03	)		(0.00	)(4)		–
Total dividends and distributions		(0.27	)		(0.20	)		(0.16	)
Net asset value, at end of year	$	9.87		$	10.01		$	9.97
Total investment return (5)		1.35	%		2.38	%		1.36	%(6)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	252,325		$	204,464		$	109,645
Ratio of total expenses (before reductions and reimbursements) to average net assets		0.70	%		0.82	%		0.87	%(7)
Ratio of net expenses to average net assets (8)		0.40	%		0.40	%		0.41	%(7)
Ratio of net investment income to average net assets		2.39	%		1.97	%		1.73	%(7)
Portfolio turnover rate		53.33	%		88.52	%		218.67	%(6)

(1) Fund commenced operations on July 8, 2015.

(2) Calculated using average shares outstanding.

(3) The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and unrealized gains and losses at such time.

(4) Amount rounds to less than $.01 per share.

(5) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(6) Not annualized.

(7) 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 .40% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

64

Barings Total Return Bond Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS A
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.08		$	10.18		$	10.00
Income from investment operations:
Net investment income (2)		0.27			0.25			0.25
Net realized and unrealized gain (loss) on investments		(0.28	)		(0.09	)		0.20
Total increase (decrease) from investment operations		(0.01	)		0.16			0.45
Less dividends and distributions:
From net investment income		(0.29	)		(0.26	)		(0.25	)
From net realized gain		—			—			(0.02	)
From return of capital		(0.01	)		—			—
Total dividends and distributions		(0.30	)		(0.26	)		(0.27	)
Net asset value, at end of year	$	9.77		$	10.08		$	10.18
Total investment return (3)		(0.12	)%		1.65	%		4.63	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	207		$	218		$	211
Ratio of total expenses (before reductions and reimbursements) to average net assets		3.72	%		3.52	%		5.60	%(5)
Ratio of net expenses to average net assets (6)(7)		0.80	%		0.80	%		0.80	%(5)
Ratio of net investment income to average net assets		2.70	%		2.49	%		2.52	%(5)
Portfolio turnover rate		172.39	%		242.55	%		434.37	%(4)

(1) Fund commenced operations on July 8, 2015.

(2) Calculated using average shares outstanding.

(3) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4) Not annualized.

(5) Annualized for periods less than one full year.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .80% as a percentage of average daily net assets.

(7) Ratio of net expenses to average net assets does not include expenses of the underlying fund in which the Fund invests.

See accompanying Notes to the Financial Statements.

65

Barings Total Return Bond Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.08		$	10.18		$	10.00
Income from investment operations:
Net investment income (2)		0.19			0.17			0.17
Net realized and unrealized gain (loss) on investments		(0.27	)		(0.08	)		0.21
Total increase (decrease) from investment operations		(0.08	)		0.09			0.38
Less dividends and distributions:
From net investment income		(0.22	)		(0.19	)		(0.18	)
From net realized gain		—			—			(0.02	)
From return of capital		(0.01	)		—			—
Total dividends and distributions		(0.23	)		(0.19	)		(0.20	)
Net asset value, at end of year	$	9.77		$	10.08		$	10.18
Total investment return (3)		(0.87	)%		0.89	%		3.87	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	196		$	202		$	204
Ratio of total expenses (before reductions and reimbursements) to average net assets		4.60	%		4.41	%		6.38	%(5)
Ratio of net expenses to average net assets (6)(7)		1.55	%		1.55	%		1.55	%(5)
Ratio of net investment income to average net assets		1.95	%		1.74	%		1.77	%(5)
Portfolio turnover rate		172.39	%		242.55	%		434.37	%(4)

(1) Fund commenced operations on July 8, 2015.

(2) Calculated using average shares outstanding.

(3) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4) Not annualized.

(5) Annualized for periods less than one full year.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.55% as a percentage of average daily net assets.

(7) Ratio of net expenses to average net assets does not include expenses of the underlying fund in which the Fund invests.

See accompanying Notes to the Financial Statements.

66

Barings Total Return Bond Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.08		$	10.18		$	10.00
Income from investment operations:
Net investment income (2)		0.29			0.28			0.27
Net realized and unrealized gain (loss) on investments		(0.27	)		(0.09	)		0.20
Total increase from investment operations		0.02			0.19			0.47
Less dividends and distributions:
From net investment income		(0.32	)		(0.29	)		(0.27	)
From net realized gain		—			—			(0.02	)
From return of capital		(0.01	)		—			—
Total dividends and distributions		(0.33	)		(0.29	)		(0.29	)
Net asset value, at end of year	$	9.77		$	10.08		$	10.18
Total investment return (3)		0.13	%		1.90	%		4.89	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	12,070		$	12,457		$	12,582
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.30	%		1.36	%		1.37	%(5)
Ratio of net expenses to average net assets (6)(7)		0.55	%		0.55	%		0.55	%(5)
Ratio of net investment income to average net assets		2.94	%		2.74	%		2.77	%(5)
Portfolio turnover rate		172.39	%		242.55	%		434.37	%(4)

(1) Fund commenced operations on July 8, 2015.

(2) Calculated using average shares outstanding.

(3) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4) Not annualized.

(5) Annualized for periods less than one full year.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .55% as a percentage of average daily net assets.

(7) Ratio of net expenses to average net assets does not include expenses of the underlying fund in which the Fund invests.

See accompanying Notes to the Financial Statements.

67

Barings Total Return Bond Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.08		$	10.18		$	10.00
Income from investment operations:
Net investment income (2)		0.29			0.27			0.27
Net realized and unrealized gain (loss) on investments		(0.27	)		(0.08	)		0.20
Total increase from investment operations		0.02			0.19			0.47
Less dividends and distributions:
From net investment income		(0.32	)		(0.29	)		(0.27	)
From net realized gain		—			—			(0.02	)
From return of capital		(0.01	)		—			—
Total dividends and distributions		(0.33	)		(0.29	)		(0.29	)
Net asset value, at end of year	$	9.77		$	10.08		$	10.18
Total investment return (3)		0.13	%		1.90	%		4.89	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	16,414		$	17,478		$	13,011
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.33	%		1.36	%		1.36	%(5)
Ratio of net expenses to average net assets (6)(7)		0.55	%		0.55	%		0.55	%(5)
Ratio of net investment income to average net assets		2.95	%		2.72	%		2.77	%(5)
Portfolio turnover rate		172.39	%		242.55	%		434.37	%(4)

(1) Fund commenced operations on July 8, 2015.

(2) Calculated using average shares outstanding.

(3) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4) Not annualized.

(5) Annualized for periods less than one full year.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .55% as a percentage of average daily net assets.

(7) Ratio of net expenses to average net assets does not include expenses of the underlying fund in which the Fund invests.

See accompanying Notes to the Financial Statements.

68

Barings Emerging Markets Debt Blended Total Return Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS A
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM OCTOBER 21, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.55		$	9.90		$	10.00
Income from investment operations:
Net investment income (2)		0.45			0.42			0.43
Net realized and unrealized gain (loss) on investments		(0.64	)		0.73			(0.19	)
Total increase (decrease) from investment operations		(0.19	)		1.15			0.24
Less dividends and distributions:
From net investment income		(0.55	)		(0.50	)		(0.34	)
From net realized gain		(0.30	)		–			(0.00	)(3)
Total dividends and distributions		(0.85	)		(0.50	)		(0.34	)
Net asset value, at end of year	$	9.51		$	10.55		$	9.90
Total investment return (4)		(2.21	)%		11.94	%		2.62	%(5)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	566		$	211		$	198
Ratio of total expenses (before reductions and reimbursements) to average net assets		3.63	%		5.77	%		6.82	%(6)
Ratio of net expenses to average net assets (7)		1.11	%(8)		1.15	%(8)		1.16	%(6)
Ratio of net investment income to average net assets		4.33	%		4.17	%		6.52	%(6)
Portfolio turnover rate		51.95	%		55.66	%		83.26	%(5)

(1) Fund commenced operations on October 21, 2015.

(2) Calculated using average shares outstanding.

(3) Amount rounds to less than $.01 per share.

(4) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) 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.

69

Barings Emerging Markets Debt Blended Total Return Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM OCTOBER 21, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.55		$	9.90		$	10.00
Income from investment operations:
Net investment income (2)		0.48			0.35			0.38
Net realized and unrealized gain (loss) on investments		(0.74	)		0.73			(0.19	)
Total increase (decrease) from investment operations		(0.26	)		1.08			0.19
Less dividends and distributions:
From net investment income		(0.48	)		(0.43	)		(0.29	)
From net realized gain		(0.30	)		–			(0.00	)(3)
Total dividends and distributions		(0.78	)		(0.43	)		(0.29	)
Net asset value, at end of year	$	9.51		$	10.55		$	9.90
Total investment return (4)		(2.90	)%		11.11	%		2.10	%(5)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	277		$	222		$	198
Ratio of total expenses (before reductions and reimbursements) to average net assets		5.85	%		6.47	%		7.57	%(6)
Ratio of net expenses to average net assets (7)		1.85	%(8)		1.89	%(8)		1.90	%(6)
Ratio of net investment income to average net assets		4.63	%		3.44	%		5.79	%(6)
Portfolio turnover rate		51.95	%		55.66	%		83.26	%(5)

(1) Fund commenced operations on October 21, 2015.

(2) Calculated using average shares outstanding.

(3) Amount rounds to less than $.01 per share.

(4) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) 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.

70

Barings Emerging Markets Debt Blended Total Return Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM OCTOBER 21, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.55		$	9.90		$	10.00
Income from investment operations:
Net investment income (2)		0.54			0.45			0.45
Net realized and unrealized gain (loss) on investments		(0.70	)		0.73			(0.19	)
Total increase (decrease) from investment operations		(0.16	)		1.18			0.26
Less dividends and distributions:
From net investment income		(0.58	)		(0.53	)		(0.36	)
From net realized gain		(0.30	)		–			(0.00	)(3)
Total dividends and distributions		(0.88	)		(0.53	)		(0.36	)
Net asset value, at end of year	$	9.51		$	10.55		$	9.90
Total investment return (4)		(1.94	)%		12.22	%		2.79	%(5)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	22,650		$	5,063		$	4,753
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.94	%		2.76	%		2.58	%(6)
Ratio of net expenses to average net assets (7)		0.80	%(8)		0.90	%(8)		0.92	%(6)
Ratio of net investment income to average net assets		5.31	%		4.42	%		6.77	%(6)
Portfolio turnover rate		51.95	%		55.66	%		83.26	%(5)

(1) Fund commenced operations on October 21, 2015.

(2) Calculated using average shares outstanding.

(3) Amount rounds to less than $.01 per share.

(4) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) 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 .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.

71

B arings Emerging Markets Debt Blended Total Return Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM OCTOBER 21, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.55		$	9.90		$	10.00
Income from investment operations:
Net investment income (2)		0.55			0.45			0.45
Net realized and unrealized gain (loss) on investments		(0.71	)		0.73			(0.19	)
Total increase (decrease) from investment operations		(0.16	)		1.18			0.26
Less dividends and distributions:
From net investment income		(0.58	)		(0.53	)		(0.36	)
From net realized gain		(0.30	)		–			(0.00	)(3)
Total dividends and distributions		(0.88	)		(0.53	)		(0.36	)
Net asset value, at end of year	$	9.51		$	10.55		$	9.90
Total investment return (4)		(1.94	)%		12.22	%		2.79	%(5)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	23,122		$	5,340		$	4,754
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.95	%		2.77	%		2.58	%(6)
Ratio of net expenses to average net assets (7)		0.80	%(8)		0.90	%(8)		0.92	%(6)
Ratio of net investment income to average net assets		5.38	%		4.43	%		6.77	%(6)
Portfolio turnover rate		51.95	%		55.66	%		83.26	%(5)

(1) Fund commenced operations on October 21, 2015.

(2) Calculated using average shares outstanding.

(3) Amount rounds to less than $.01 per share.

(4) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5) Not annualized.

(6) 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 .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.

72

Barings Emerging Markets Local Currency Debt Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS A
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM DECEMBER 8, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.68		$	10.92		$	10.00
Income from investment operations:
Net investment income (2)		0.43			0.25			0.50
Net realized and unrealized gain (loss) on investments		(0.72	)		0.67			0.73
Total increase (decrease) from investment operations		(0.29	)		0.92			1.23
Less dividends and distributions:
From net investment income		(0.53	)		(0.98	)		(0.31	)
From net realized gain		(0.08	)		(0.18	)		–
Total dividends and distributions		(0.61	)		(1.16	)		(0.31	)
Net asset value, at end of year	$	9.78		$	10.68		$	10.92
Total investment return (3)		(3.16	)%		9.57	%		12.58	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	283		$	107		$	109
Ratio of total expenses (before reductions and reimbursements) to average net assets		4.45	%		8.41	%		8.55	%(5)
Ratio of net expenses to average net assets (6)		1.09	%(7)		1.06	%(7)		1.08	%(5)
Ratio of net investment income to average net assets		3.95	%		2.41	%		8.82	%(5)
Portfolio turnover rate		55.87	%		67.23	%		37.68	%(4)

(1) Fund commenced operations on December 8, 2015.

(2) Calculated using average shares outstanding.

(3) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4) Not annualized.

(5) Annualized for periods less than one full year.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.20% as a percentage of average daily net assets.

(7) Net expenses reflect a voluntary expense reimbursement to prevent a negative yield.

See accompanying Notes to the Financial Statements.

73

Barings Emerging Markets Local Currency Debt Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM DECEMBER 8, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.68		$	10.92		$	10.00
Income from investment operations:
Net investment income (2)		0.43			0.18			0.46
Net realized and unrealized gain (loss) on investments		(0.81	)		0.66			0.73
Total increase (decrease) from investment operations		(0.38	)		0.84			1.19
Less dividends and distributions:
From net investment income		(0.45	)		(0.90	)		(0.27	)
From net realized gain		(0.08	)		(0.18	)		–
Total dividends and distributions		(0.53	)		(1.08	)		(0.27	)
Net asset value, at end of year	$	9.77		$	10.68		$	10.92
Total investment return (3)		(3.88	)%		8.77	%		12.13	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	98		$	107		$	109
Ratio of total expenses (before reductions and reimbursements) to average net assets		8.00	%		9.17	%		9.30	%(5)
Ratio of net expenses to average net assets (6)		1.82	%(7)		1.80	%(7)		1.81	%(5)
Ratio of net investment income to average net assets		4.01	%		1.67	%		8.09	%(5)
Portfolio turnover rate		55.87	%		67.23	%		37.68	%(4)

(1) Fund commenced operations on December 8, 2015.

(2) Calculated using average shares outstanding.

(3) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4) Not annualized.

(5) Annualized for periods less than one full year.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.95% as a percentage of average daily net assets.

(7) Net expenses reflect a voluntary expense reimbursement to prevent a negative yield.

See accompanying Notes to the Financial Statements.

74

Barings Emerging Markets Local Currency Debt Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM DECEMBER 8, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.68		$	10.92		$	10.00
Income from investment operations:
Net investment income (2)		0.56			0.28			0.52
Net realized and unrealized gain (loss) on investments		(0.83	)		0.67			0.73
Total increase (decrease) from investment operations		(0.27	)		0.95			1.25
Less dividends and distributions:
From net investment income		(0.56	)		(1.01	)		(0.33	)
From net realized gain		(0.08	)		(0.18	)		–
Total dividends and distributions		(0.64	)		(1.19	)		(0.33	)
Net asset value, at end of year	$	9.77		$	10.68		$	10.92
Total investment return (3)		(2.94	)%		9.84	%		12.73	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	6,921		$	2,564		$	2,621
Ratio of total expenses (before reductions and reimbursements) to average net assets		2.56	%		4.32	%		4.03	%(5)
Ratio of net expenses to average net assets (6)		0.84	%(7)		0.81	%(7)		0.84	%(5)
Ratio of net investment income to average net assets		5.13	%		2.65	%		9.07	%(5)
Portfolio turnover rate		55.87	%		67.23	%		37.68	%(4)

(1) Fund commenced operations on December 8, 2015.

(2) Calculated using average shares outstanding.

(3) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4) Not annualized.

(5) Annualized for periods less than one full year.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 0.95% as a percentage of average daily net assets.

(7) Net expenses reflect a voluntary expense reimbursement to prevent a negative yield.

See accompanying Notes to the Financial Statements.

75

Barings Emerging Markets Local Currency Debt Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM DECEMBER 8, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.68		$	10.92		$	10.00
Income from investment operations:
Net investment income (2)		0.56			0.28			0.52
Net realized and unrealized gain (loss) on investments		(0.82	)		0.67			0.73
Total increase (decrease) from investment operations		(0.26	)		0.95			1.25
Less dividends and distributions:
From net investment income		(0.56	)		(1.01	)		(0.33	)
From net realized gain		(0.08	)		(0.18	)		–
Total dividends and distributions		(0.64	)		(1.19	)		(0.33	)
Net asset value, at end of year	$	9.78		$	10.68		$	10.92
Total investment return (3)		(2.93	)%		9.84	%		12.73	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	11,217		$	2,564		$	2,621
Ratio of total expenses (before reductions and reimbursements) to average net assets		2.47	%		4.32	%		4.03	%(5)
Ratio of net expenses to average net assets (6)		0.84	%(7)		0.81	%(7)		0.84	%(5)
Ratio of net investment income to average net assets		5.13	%		2.65	%		9.07	%(5)
Portfolio turnover rate		55.87	%		67.23	%		37.68	%(4)

(1) Fund commenced operations on December 8, 2015.

(2) Calculated using average shares outstanding.

(3) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4) Not annualized.

(5) Annualized for periods less than one full year.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 0.95% as a percentage of average daily net assets.

(7) Net expenses reflect a voluntary expense reimbursement to prevent a negative yield.

See accompanying Notes to the Financial Statements.

76

Barings Global High Yield Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS A
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.44		$	10.05		$	10.00
Income from investment operations:
Net investment income (2)		0.60			0.64			0.38
Net realized and unrealized gain (loss) on investments		(0.41	)		0.77			0.05
Total increase from investment operations		0.19			1.41			0.43
Less dividends and distributions:
From net investment income		(0.60	)		(0.64	)		(0.38	)
From net realized gain		(0.25	)		(0.38	)		–
Total dividends and distributions		(0.85	)		(1.02	)		(0.38	)
Net asset value, at end of year	$	9.78		$	10.44		$	10.05
Total investment return (3)		1.79	%		14.61	%		4.45	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	106		$	111		$	101
Ratio of total expenses (before reductions and reimbursements) to average net assets		6.55	%		6.27	%		7.14	%(5)
Ratio of net expenses to average net assets (6)		1.05	%		1.05	%		1.04	%(5)
Ratio of net investment income to average net assets		5.89	%		6.20	%		5.83	%(5)
Portfolio turnover rate		65.26	%		87.34	%		83.24	%(4)

(1) Fund commenced operations on October 30, 2015.

(2) Calculated using average shares outstanding.

(3) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4) Not annualized.

(5) Annualized for periods less than one full year.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.05% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

77

B arings Global High Yield Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.44		$	10.05		$	10.00
Income from investment operations:
Net investment income (2)		0.52			0.56			0.33
Net realized and unrealized gain (loss) on investments		(0.41	)		0.77			0.05
Total increase from investment operations		0.11			1.33			0.38
Less dividends and distributions:
From net investment income		(0.52	)		(0.56	)		(0.33	)
From net realized gain		(0.25	)		(0.38	)		–
Total dividends and distributions		(0.77	)		(0.94	)		(0.33	)
Net asset value, at end of year	$	9.78		$	10.44		$	10.05
Total investment return (3)		1.04	%		13.75	%		3.94	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	197		$	247		$	101
Ratio of total expenses (before reductions and reimbursements) to average net assets		4.80	%		4.94	%		7.89	%(5)
Ratio of net expenses to average net assets (6)		1.80	%		1.80	%		1.78	%(5)
Ratio of net investment income to average net assets		5.14	%		5.40	%		5.09	%(5)
Portfolio turnover rate		65.26	%		87.34	%		83.24	%(4)

(1) Fund commenced operations on October 30, 2015.

(2) Calculated using average shares outstanding.

(3) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4) Not annualized.

(5) Annualized for periods less than one full year.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.80% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

78

B arings Global High Yield Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.44		$	10.05		$	10.00
Income from investment operations:
Net investment income (2)		0.63			0.67			0.39
Net realized and unrealized gain (loss) on investments		(0.41	)		0.77			0.05
Total increase from investment operations		0.22			1.44			0.44
Less dividends and distributions:
From net investment income		(0.63	)		(0.67	)		(0.39	)
From net realized gain		(0.25	)		(0.38	)		–
Total dividends and distributions		(0.88	)		(1.05	)		(0.39	)
Net asset value, at end of year	$	9.78		$	10.44		$	10.05
Total investment return (3)		2.05	%		14.90	%		4.62	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	12,130		$	12,947		$	12,466
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.53	%		1.53	%		1.51	%(5)
Ratio of net expenses to average net assets (6)		0.80	%		0.80	%		0.79	%(5)
Ratio of net investment income to average net assets		6.14	%		6.46	%		6.08	%(5)
Portfolio turnover rate		65.26	%		87.34	%		83.24	%(4)

(1) Fund commenced operations on October 30, 2015.

(2) Calculated using average shares outstanding.

(3) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4) Not annualized.

(5) Annualized for periods less than one full year.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .80% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

79

Barings Global High Yield Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.44		$	10.05		$	10.00
Income from investment operations:
Net investment income (2)		0.63			0.67			0.39
Net realized and unrealized gain (loss) on investments		(0.41	)		0.77			0.05
Total increase from investment operations		0.22			1.44			0.44
Less dividends and distributions:
From net investment income		(0.63	)		(0.67	)		(0.39	)
From net realized gain		(0.25	)		(0.38	)		–
Total dividends and distributions		(0.88	)		(1.05	)		(0.39	)
Net asset value, at end of year	$	9.78		$	10.44		$	10.05
Total investment return (3)		2.05	%		14.90	%		4.62	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	12,393		$	14,535		$	12,604
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.53	%		1.53	%		1.51	%(5)
Ratio of net expenses to average net assets (6)		0.80	%		0.80	%		0.79	%(5)
Ratio of net investment income to average net assets		6.14	%		6.45	%		6.08	%(5)
Portfolio turnover rate		65.26	%		87.34	%		83.24	%(4)

(1) Fund commenced operations on October 30, 2015.

(2) Calculated using average shares outstanding.

(3) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4) Not annualized.

(5) Annualized for periods less than one full year.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .80% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

80

Barings U.S. High Yield Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS A
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.59		$	10.14		$	10.00
Income from investment operations:
Net investment income (2)		0.61			0.65			0.39
Net realized and unrealized gain (loss) on investments		(0.47	)		0.65			0.13
Total increase from investment operations		0.14			1.30			0.52
Less dividends and distributions:
From net investment income		(0.61	)		(0.66	)		(0.38	)
From net realized gain		(0.30	)		(0.19	)		–
Total dividends and distributions		(0.91	)		(0.85	)		(0.38	)
Net asset value, at end of year	$	9.82		$	10.59		$	10.14
Total investment return (3)		1.32	%		13.13	%		5.36	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	2,918		$	2,633		$	206
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.71	%		1.82	%		5.47	%(5)
Ratio of net expenses to average net assets (6)		1.00	%		1.00	%		0.99	%(5)
Ratio of net investment income to average net assets		5.92	%		6.21	%		5.93	%(5)
Portfolio turnover rate		43.75	%		71.57	%		77.52	%(4)

(1) Fund commenced operations on October 30, 2015.

(2) Calculated using average shares outstanding.

(3) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4) Not annualized.

(5) Annualized for periods less than one full year.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.00% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

81

B arings U.S. High Yield Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.59		$	10.14		$	10.00
Income from investment operations:
Net investment income (2)		0.53			0.58			0.33
Net realized and unrealized gain (loss) on investments		(0.47	)		0.64			0.14
Total increase from investment operations		0.06			1.22			0.47
Less dividends and distributions:
From net investment income		(0.53	)		(0.58	)		(0.33	)
From net realized gain		(0.30	)		(0.19	)		–
Total dividends and distributions		(0.83	)		(0.77	)		(0.33	)
Net asset value, at end of year	$	9.82		$	10.59		$	10.14
Total investment return (3)		0.61	%		12.24	%		4.85	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	98		$	118		$	101
Ratio of total expenses (before reductions and reimbursements) to average net assets		6.43	%		6.18	%		7.30	%(5)
Ratio of net expenses to average net assets (6)		1.75	%		1.75	%		1.73	%(5)
Ratio of net investment income to average net assets		5.17	%		5.50	%		5.08	%(5)
Portfolio turnover rate		43.75	%		71.57	%		77.52	%(4)

(1) Fund commenced operations on October 30, 2015.

(2) Calculated using average shares outstanding.

(3) Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4) Not annualized.

(5) Annualized for periods less than one full year.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.75% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

82

B arings U.S. High Yield Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.59		$	10.14		$	10.00
Income from investment operations:
Net investment income (2)		0.63			0.68			0.40
Net realized and unrealized gain (loss) on investments		(0.47	)		0.64			0.13
Total increase from investment operations		0.16			1.32			0.53
Less dividends and distributions:
From net investment income		(0.63	)		(0.68	)		(0.39	)
From net realized gain		(0.30	)		(0.19	)		–
Total dividends and distributions		(0.93	)		(0.87	)		(0.39	)
Net asset value, at end of year	$	9.82		$	10.59		$	10.14
Total investment return (3)		1.61	%		13.36	%		5.53	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	14,816		$	15,720		$	14,863
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.28	%		1.36	%		1.38	%(5)
Ratio of net expenses to average net assets (6)		0.75	%		0.75	%		0.74	%(5)
Ratio of net investment income to average net assets		6.16	%		6.50	%		6.11	%(5)
Portfolio turnover rate		43.75	%		71.57	%		77.52	%(4)

(1) Fund commenced operations on October 30, 2015.

(2) Calculated using average shares outstanding.

(3) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4) Not annualized.

(5) Annualized for periods less than one full year.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .75% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

83

B arings U.S. High Yield Fund 2018 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 (1)
Per Common Share Data
Net asset value, beginning of year	$	10.58		$	10.14		$	10.00
Income from investment operations:
Net investment income (2)		0.62			0.68			0.39
Net realized and unrealized gain (loss) on investments		(0.45	)		0.63			0.14
Total increase from investment operations		0.17			1.31			0.53
Less dividends and distributions:
From net investment income		(0.63	)		(0.68	)		(0.39	)
From net realized gain		(0.30	)		(0.19	)		–
Total dividends and distributions		(0.93	)		(0.87	)		(0.39	)
Net asset value, at end of year	$	9.82		$	10.58		$	10.14
Total investment return (3)		1.61	%		13.35	%		5.52	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	39,176		$	14,631		$	12,675
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.25	%		1.36	%		1.42	%(5)
Ratio of net expenses to average net assets (6)		0.75	%		0.75	%		0.74	%(5)
Ratio of net investment income to average net assets		6.09	%		6.50	%		6.06	%(5)
Portfolio turnover rate		43.75	%		71.57	%		77.52	%(4)

(1) Fund commenced operations on October 30, 2015.

(2) Calculated using average shares outstanding.

(3) Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4) Not annualized.

(5) Annualized for periods less than one full year.

(6) The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .75% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

84

Barings Global Floating Rate Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS

June 30, 2018

						SHARES		COST		FAIR VALUE
Equities — 0.8%*:
Common Stocks — 0.7%*:
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 — 0.7%*:
Fieldwood Energy LLC							6,469		226,415		317,389
Fieldwood Energy LLC							26,365		568,599		1,324,841
Sabine Oil & Gas LLC¤							387		22,597		19,350
Sabine Oil & Gas LLC Warrants¤							1,230		5,523		7,380
Sabine Oil & Gas LLC Warrants¤							219		596		1,095
Southcross Energy Holdings LP¤							22		—		—
Southcross Energy Partners LP							22		5,500		4,895
Templar Energy LLC¤							8,762		50,647		7,010
Templar Energy LLC¤							6,069		60,686		39,446
Total Oil and Gas							49,545		940,563		1,721,406
Total Common Stocks							52,331		940,563		1,721,406
Preferred Stock — 0.1%*:
Farming and Agriculture — 0.1%*:
Pinnacle Agriculture Holdings A 2¤							259,648		173,407		238,876
Total Equities							311,979		1,113,970		1,960,282
	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 94.9%*:
Bank Loans — 84.9%*§:
Aerospace and Defense — 0.2%*:
Doncasters Finance US LLC, 3M LIBOR + 3.500%		5.83	%		4/9/2020		446,565		434,571		430,796
Automobile — 0.6%*:
DexKo Global, Inc., 2M LIBOR + 3.500%		5.59			7/24/2024		309,073		311,509		309,268
NN, Inc., 1M LIBOR + 3.750%		5.84			10/19/2022		1,334,566		1,337,952		1,331,229
Total Automobile							1,643,639		1,649,461		1,640,497
Beverage, Food and Tobacco — 3.4%*:
Amphora Finance Ltd., 3M LIBOR + 4.750%+		5.42			5/29/2025		500,000		660,382		655,131
CTI Foods Holding Co. LLC, 1M LIBOR + 3.500%		5.60			6/29/2020		1,371,857		1,366,810		1,177,506
Deoleo, S.A., EURIBOR + 3.500%+		4.50			6/11/2021		500,000		589,199		435,981

See accompanying Notes to the Financial Statements.

85

Barings Global Floating Rate Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Beverage, Food and Tobacco (Continued)
IRB Holding Corp., 1M LIBOR + 3.250%		5.27	%		2/5/2025		1,871,169		$1,885,756		$1,872,722
JBS USA, LLC, 3M LIBOR + 2.500%		4.83			10/30/2022		1,933,563		1,928,470		1,917,128
Labeyrie Fine Foods SAS, EURIBOR + 4.250%+		4.25			5/23/2023		500,000		553,676		583,690
Refresco Group B.V., EURIBOR + 3.250%+		3.25			3/28/2025		500,000		584,887		575,994
Refresco Group B.V., EURIBOR + 3.250%+		5.59			3/28/2025		159,042		158,272		158,843
Sigma Bidco B.V., EURIBOR + 3.500%+		3.50			3/6/2025		1,000,000		1,146,191		1,142,984
Total Beverage, Food and Tobacco							8,335,631		8,873,643		8,519,979
Broadcasting and Entertainment — 3.9%*:
All3Media International, 6M LIBOR + 4.250%+		5.25			6/30/2021		1,500,000		2,305,013		1,972,202
AP NMT Acquisition B.V., EURIBOR + 6.000%+		7.00			8/13/2021		524,065		638,462		612,309
AP NMT Acquisition B.V., 3M LIBOR + 5.750%+		8.06			8/13/2021		2,083,840		2,041,515		2,079,068
AP NMT Acquisition B.V., 3M LIBOR + 9.000%+		11.31			8/13/2022		182,721		162,803		182,415
DLG Acquisitions Ltd., EURIBOR + 7.250%+		8.25			6/30/2022		500,000		673,427		584,630
Imagina Media Audiovisual, S.L., EURIBOR + 4.500%+		4.50			5/30/2025		500,000		566,989		572,222
Imagina Media Audiovisual, S.L., EURIBOR + 7.500%+		7.50			10/31/2025		500,000		536,406		538,648
Intelsat Jackson Holdings S.A., 3M LIBOR + 3.750%		5.85			11/27/2023		750,000		747,782		747,533
Technicolor S.A., EURIBOR + 3.000%+		3.00			12/6/2023		500,000		538,572		549,158
Univision Communications, Inc., 1M LIBOR + 2.750%		4.84			3/15/2024		1,991,867		1,973,028		1,922,989
Total Broadcasting and Entertainment							9,032,493		10,183,997		9,761,174
Buildings and Real Estate — 1.9%*:
Core & Main L.P., 6M LIBOR + 3.000%		5.25			8/1/2024		1,492,500		1,503,681		1,490,634
Quikrete Holdings, Inc., 1M LIBOR + 2.750%		4.84			11/15/2023		1,451,381		1,451,511		1,443,515
SRS Distribution Inc., 3M LIBOR + 3.250%		5.58			5/23/2025		1,953,395		1,947,294		1,922,473
Total Buildings and Real Estate							4,897,276		4,902,486		4,856,622
Cargo Transport — 0.2%*:
Kenan Advantage Group, Inc., 1M LIBOR + 3.000%		5.09			7/31/2022		449,923		451,784		448,798
Total Cargo Transport							449,923		451,784		448,798
Chemicals, Plastics and Rubber — 5.7%*:
Albaugh LLC, 1M LIBOR + 3.500%		5.59			12/23/2024		698,222		702,529		700,408
Allnex (Luxembourg) & Cy S.C.A., EURIBOR + 3.250%+		3.25			9/13/2023		687,745		778,537		789,383
Allnex (Luxembourg) & Cy S.C.A., 3M LIBOR + 3.250%		5.57			9/13/2023		420,252		418,682		418,151
Allnex USA, Inc., 3M LIBOR + 3.250%		5.57			9/13/2023		316,614		315,431		315,031

See accompanying Notes to the Financial Statements.

86

Barings Global Floating Rate Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Chemicals, Plastics and Rubber (Continued)
Alpha 3 B.V., 3M LIBOR + 3.000%		5.33	%		1/31/2024		1,576,791		$1,586,382		$1,567,598
Archroma Finance Sarl, EURIBOR + 4.000%+		4.00			8/11/2024		1,000,000		1,152,060		1,153,202
Associated Asphalt Partners LLC, 1M LIBOR + 5.250%		7.34			4/5/2024		292,338		291,139		284,787
Colouroz Investment 1 GmbH, EURIBOR + 3.0000%+		3.75			9/7/2021		22,342		26,354		24,982
Colouroz Investment 1 GmbH, EURIBOR + 3.0000%+		5.03			9/7/2021		307,327		362,517		343,643
Diversey, EURIBOR + 3.2500%		3.25			9/6/2024		497,500		587,920		569,117
Flint Group GmbH, LIBOR + 3.000%+		3.75			9/7/2021		264,212		311,660		295,433
Flint Group GmbH, 3M LIBOR + 3.000%+		5.36			9/7/2021		88,273		87,865		81,211
Flint Group US LLC, 3M LIBOR + 3.000%+		5.36			9/7/2021		533,976		531,514		491,258
GrafTech Finance, Inc., 3M LIBOR + 3.500%		5.84			2/12/2025		1,931,365		1,927,052		1,918,097
Ineos US Finance LLC, EURIBOR + 2.000%+		2.50			3/31/2024		498,747		590,991		575,366
MacDermid, Inc., EURIBOR + 2.500%		3.25			6/7/2020		412,929		485,509		481,317
Novacap S.A., EURIBOR + 3.500%+		3.50			6/22/2023		1,000,000		1,132,039		1,146,394
Pinnacle Operating Corp., 1M LIBOR + 7.250%		9.34			11/15/2021		715,986		676,449		657,812
Solenis International, LP, 3M LIBOR + 4.000%		6.34			6/16/2025		641,354		634,940		639,333
Solenis International, LP, 3M LIBOR + 8.500%		10.68			6/1/2026		376,263		364,982		369,208
Tronox Blocked Borrower LLC, 3M LIBOR + 3.000%		5.09			9/22/2024		480,423		478,269		479,943
Tronox Finance LLC, 3M LIBOR + 3.000%		5.09			9/22/2024		1,108,669		1,103,699		1,107,561
Total Chemicals, Plastics and Rubber							13,871,328		14,546,520		14,409,235
Containers, Packaging and Glass — 2.9%*:
Albea Beauty Holdings S.A, EURIBOR + 4.000%+		5.44			4/22/2024		620,735		619,986		616,856
BWAY Holding Co., 1M LIBOR + 3.250%		5.59			4/3/2024		1,485,000		1,478,799		1,475,956
Coveris Holdings S.A., EURIBOR + 4.000%		6.50			6/29/2022		595,325		694,027		694,226
Flex Acquisition Co., Inc., 3M LIBOR + 3.000%		5.31			12/29/2023		1,583,940		1,599,667		1,575,767
Horizon Holdings III S.A.S., EURIBOR + 2.750%+		2.75			10/29/2022		1,390,909		1,661,893		1,588,666
ProAmpac PG Borrower LLC, 1M LIBOR + 3.500%		5.61			11/18/2023		738,750		741,628		733,904
ProAmpac PG Borrower LLC, 3M LIBOR + 8.500%		10.58			11/18/2024		750,000		741,006		757,035
Total Containers, Packaging and Glass							7,164,659		7,537,006		7,442,410
Diversified/Conglomerate Manufacturing — 2.3%*:
LTI Holdings, Inc., 1M LIBOR + 4.750%		6.85			5/16/2024		815,670		808,477		813,631
Misys Europe SA, EURIBOR + 3.250%+		4.25			6/13/2024		496,250		538,123		574,630
PCF GmbH, EURIBOR + 3.250%+		4.00			8/1/2024		500,000		525,197		584,507
Project Alpha Intermediate Holding, Inc., 3M LIBOR + 3.500%		5.99			4/26/2024		589,151		586,690		585,469

See accompanying Notes to the Financial Statements.

87

Barings Global Floating Rate Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Diversified/Conglomerate Manufacturing (Continued)
Triple Point Technology, Inc., 3M LIBOR + 4.250%		6.34	%		7/10/2020		942,485		$915,586		$841,168
Wilsonart LLC, 3M LIBOR + 3.250%		5.59			12/19/2023		606,400		606,960		604,581
Xella International GmbH, EURIBOR + 3.500%+		3.50			4/11/2024		1,500,000		1,830,487		1,737,476
Total Diversified/Conglomerate Manufacturing							5,449,956		5,811,520		5,741,462
Diversified/Conglomerate Service — 9.5%*:
Almonde, Inc., 3M LIBOR + 3.500%+		5.81			6/13/2024		555,719		553,355		545,377
Almonde, Inc., 3M LIBOR + 7.250%+		9.56			6/13/2025		752,587		765,739		723,658
EAB Global, Inc., LIBOR + 3.750%		6.25			11/15/2024		755,206		751,757		742,934
GTCR Valor Cos., Inc., 3M LIBOR + 3.250%		5.58			6/16/2023		451,649		450,687		450,294
Hyland Software, Inc., 1M LIBOR + 3.250%		5.34			7/1/2022		989,975		998,110		991,004
I-Logic Technologies Bidco Ltd., 1M LIBOR + 4.000%		6.09			12/23/2024		1,490,233		1,488,405		1,486,507
Infor (US), Inc., EURIBOR + 2.250%		3.25			2/1/2022		495,013		587,001		573,948
Infor (US), Inc., 3M LIBOR + 2.750%		4.84			2/1/2022		1,481,250		1,482,145		1,472,733
Informatica LLC, 1M LIBOR + 3.250%		5.34			8/5/2022		1,395,889		1,399,298		1,396,643
Kronos, Inc., 3M LIBOR + 3.500%		5.36			11/1/2023		1,591,043		1,594,645		1,586,779
MH Sub I LLC, 3M LIBOR + 3.750%		5.84			9/13/2024		2,066,882		2,067,067		2,064,877
Project Leopard Holdings, Inc., 1M LIBOR + 4.000%		6.09			7/7/2023		1,499,069		1,506,887		1,497,196
Red Ventures LLC, 1M LIBOR + 4.000%		6.09			11/8/2024		2,014,347		2,023,810		2,022,324
TierPoint LLC, 1M LIBOR + 3.750%		5.85			5/6/2024		265,171		264,061		257,383
TMF Group Holding B.V., EURIBOR + 3.250%+		3.25			11/30/2024		1,000,000		1,176,503		1,148,099
Travelport Finance (Luxembourg) S.a.r.l., 3M LIBOR + 2.500%		4.83			3/17/2025		1,917,646		1,910,507		1,909,017
Verisure Holding AB, EURIBOR + 3.000%+		3.00			10/20/2022		1,200,000		1,357,165		1,370,880
Vertafore, Inc., 1M LIBOR + 3.250%		5.59			5/30/2025		1,000,000		995,000		993,130
Vertafore, Inc., 1M LIBOR + 7.250%		9.59			5/30/2026		1,000,000		990,000		991,250
VF Holding Corp., 1M LIBOR + 3.250%		5.34			6/30/2023		1,719,991		1,723,652		1,708,381
Total Diversified/Conglomerate Service							23,641,670		24,085,794		23,932,414
Ecological — 0.5%*:
Emerald 3 Ltd., 3M LIBOR + 7.000%		9.33			5/31/2022		390,426		388,486		381,317
Emerald US, Inc., 3M LIBOR + 4.000%		6.33			5/9/2021		594,978		564,704		593,490
PHS Group Ltd., 1M LIBOR + 5.250%+		7.35			12/20/2021		264,450		326,992		348,572
Total Ecological							1,249,854		1,280,182		1,323,379
Electronics — 3.6%*:
EXC Holdings III Corp., 3M LIBOR + 3.500%		5.83			12/2/2024		494,328		499,703		494,021
ION Trading Technologies S.a.r.l., EURIBOR + 2.750%		3.75			11/21/2024		497,500		584,689		572,510
ION Trading Technologies S.a.r.l., EURIBOR + 3.250%		4.25			11/30/2024		400,000		458,356		458,945

See accompanying Notes to the Financial Statements.

88

Barings Global Floating Rate Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Electronics (Continued)
ION Trading Technologies S.a.r.l., 1M LIBOR + 4.000%		6.34	%		11/21/2024		725,993		$707,843		$718,733
Omnitracs, Inc., 1M LIBOR + 2.750%		5.09			3/16/2025		1,528,827		1,522,551		1,508,769
RP Crown Parent LLC, 1M LIBOR + 3.000%		4.84			10/12/2023		1,751,341		1,747,565		1,736,017
Veritas Bermuda Ltd., EURIBOR + 4.500%		5.50			1/27/2023		790,000		880,772		839,532
Veritas Bermuda Ltd., 3M LIBOR + 4.500%		6.65			1/27/2023		1,283,750		1,279,777		1,173,348
Wall Street Systems Delaware, Inc., EURIBOR + 3.000%		4.00			11/21/2024		497,500		584,689		581,887
Wall Street Systems Delaware, Inc., 1M LIBOR + 3.000%		5.09			11/21/2024		1,156,963		1,156,963		1,139,608
Total Electronics							9,126,202		9,422,908		9,223,370
Farming and Agriculture — 0.6%*:
Dole Food Co. Inc., 1M LIBOR + 2.750%		4.83			4/6/2024		1,448,934		1,455,985		1,440,400
Finance — 3.0%*:
Edelman Financial Group, The, 3M LIBOR + 3.250%		5.59			6/25/2025		653,967		650,698		652,744
Edelman Financial Group, The, 3M LIBOR + 6.750%		9.09			6/8/2026		337,346		335,659		339,245
Focus Financial Partners LLC, 3M LIBOR + 2.750%		4.84			6/18/2024		1,949,708		1,959,060		1,948,090
NAB Holdings LLC, 3M LIBOR + 3.000%		5.33			6/28/2024		995,000		996,729		988,164
Nets Holding A/S, EURIBOR + 3.250%+		3.25			2/6/2025		440,972		522,706		505,456
NFP Corp., 1M LIBOR + 3.000%		5.09			1/8/2024		1,528,448		1,546,108		1,516,985
Tempo Acquisition LLC, 1M LIBOR + 3.000%		5.09			5/1/2024		1,620,829		1,620,392		1,612,724
Total Finance							7,526,270		7,631,352		7,563,408
Healthcare, Education and Childcare — 11.7%*:
Aenova Holding GmbH, EURIBOR + 4.000%+		5.00			9/29/2020		500,000		575,325		566,383
Amedes Holding AG, EURIBOR + 4.750%+		4.75			8/19/2022		500,000		577,946		578,867
Amneal Pharmaceuticals LLC, 3M LIBOR + 3.500%		5.63			5/4/2025		1,487,267		1,489,168		1,483,087
Arbor Pharmaceuticals, Inc., 3M LIBOR + 5.000%		7.49			7/5/2023		1,546,101		1,534,162		1,549,967
Cerba Healthcare S.A.S., EURIBOR + 3.000%+		3.00			4/20/2024		1,000,000		1,172,595		1,133,350
CEVA Sante Animale, EURIBOR + 3.000%+		3.00			6/30/2021		1,000,000		1,155,622		1,150,073
Cheplapharm Arzneimittel GmbH, EURIBOR + 4.500%+		4.50			6/30/2025		500,000		575,019		575,141
Domus Vi SA, EURIBOR + 3.250%+		3.25			10/11/2024		500,000		592,175		574,231
Endo Luxembourg Finance Co. I S.a r.l., 1M LIBOR + 4.250%		6.38			4/29/2024		1,543,736		1,538,983		1,539,876
Greatbatch Ltd., 1M LIBOR + 3.250%		5.30			10/27/2022		1,188,711		1,198,194		1,189,983
Horizon Pharma, Inc., 1M LIBOR + 3.250%		5.38			3/29/2024		967,220		972,700		964,802
Indivior Finance S.a.r.l., 3M LIBOR + 4.500%		6.86			12/18/2022		497,500		495,265		494,391
Jaguar Holding Co. II, 1M LIBOR + 2.500%		4.59			8/18/2022		1,491,192		1,495,432		1,482,439
Kindred Healthcare, Inc., 3M LIBOR + 3.500%		5.88			4/9/2021		1,651,736		1,623,333		1,649,671

See accompanying Notes to the Financial Statements.

89

Barings Global Floating Rate Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Healthcare, Education and Childcare (Continued)
Lifescan Global Corp., 1M LIBOR + 6.0000%		8.34	%		5/23/2025		400,000		$388,000		$387,000
Mallinckrodt International Finance S.A., 3M LIBOR + 2.750%		5.09			9/24/2024		1,089,782		1,089,782		1,066,625
Nidda Healthcare Holding AG, EURIBOR + 3.500%+		3.50			8/21/2024		1,000,000		1,152,060		1,142,132
Nidda Healthcare Holding AG, GBP + 4.500%+		4.51			8/21/2024		500,000		679,950		645,266
Ortho-Clinical Diagnostics SA, 3M LIBOR + 3.250%		5.34			6/30/2025		1,984,616		1,985,600		1,975,943
Press Ganey Holdings, Inc., 1M LIBOR + 2.750%		4.84			10/23/2023		1,231,250		1,237,792		1,228,172
Press Ganey Holdings, Inc., 1M LIBOR + 6.500%		8.59			10/21/2024		369,106		373,143		373,719
Radiology Partners Holdings, LLC, 1M LIBOR + 4.2500%		6.59			6/21/2025		1,387,034		1,373,164		1,373,164
Riemser Pharma GmbH, EURIBOR + 5.500%+		5.50			6/29/2023		500,000		543,452		576,969
Rodenstock GmbH, EURIBOR + 5.250%+		5.25			6/30/2021		1,500,000		1,741,305		1,690,390
Team Health Holdings, Inc., 1M LIBOR + 2.750%		4.84			2/6/2024		1,987,425		1,934,044		1,907,927
Tunstall Group Holdings Ltd., 3M LIBOR + 5.000% (PIK 3.000%) +		8.72			10/16/2020		515,832		817,936		679,919
Valeant Pharmaceuticals International, Inc., 1M LIBOR + 3.000%		4.98			6/1/2025		1,507,610		1,504,690		1,501,489
Total Healthcare, Education and Childcare							28,346,118		29,816,837		29,480,976
Home and Office Furnishings, Housewares, and Durable Consumer Products — 2.2%*:
Hayward Industries, Inc., LIBOR + 3.50%		5.59			8/5/2024		992,500		999,174		993,125
Keter Group B.V., EURIBOR + 4.250%+		5.25			10/31/2023		500,000		546,977		568,678
Serta Simmons Bedding LLC, 3M LIBOR + 3.500%		5.75			11/8/2023		1,708,660		1,702,033		1,452,361
Serta Simmons Bedding LLC, 1M LIBOR + 8.000%		10.33			11/8/2024		474,667		468,970		317,434
SIWF Holdings Inc., 1M LIBOR + 4.250%		6.32			3/17/2025		1,486,626		1,491,779		1,492,201
Visual Comfort Generation Brands Holdings, Inc., 1M LIBOR + 8.000%		10.09			2/28/2025		800,000		796,480		802,000
Total Home and Office Furnishings, Housewares, and Durable Consumer Products							5,962,453		6,005,413		5,625,799
Hotels, Motels, Inns and Gaming — 3.5%*:
Caesars Resort Collection LLC, 1M LIBOR + 2.750%		4.84			12/22/2024		1,992,494		1,992,681		1,984,703
Compass IV Ltd., 3M LIBOR + 4.500%+		4.50			4/30/2025		500,000		598,059		581,226
Compass IV Ltd., EURIBOR + 8.000%+		9.00			4/30/2026		500,000		585,977		571,247
Cyan Blue Holdco 3 Ltd., LIBOR - GBP + 4.000%+		4.66			8/23/2024		460,049		595,403		605,730
Financiere Sun S.A.S., EURIBOR + 3.250%+		3.25			3/14/2023		338,983		404,625		392,472
HNVR Holdco Ltd., EURIBOR + 3.250%+		3.25			9/12/2023		492,449		545,137		566,456

See accompanying Notes to the Financial Statements.

90

Barings Global Floating Rate Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Hotels, Motels, Inns and Gaming (Continued)
Stars Group Holdings B.V. (The), 3M LIBOR + 3.500%+		2.34	%		7/28/2025		1,500,000		$1,492,500		$1,500,000
Stars Group Holdings B.V. (The), 3M LIBOR + 3.000%+		5.09			4/6/2025		1,496,250		1,492,617		1,493,257
Tackle S.a.r.l., EURIBOR + 3.250%+		3.25			8/8/2022		1,000,000		1,116,850		1,153,039
Total Hotels, Motels, Inns and Gaming							8,280,225		8,823,849		8,848,130
Insurance — 5.1%*:
Alliant Holdings I, Inc., 1M LIBOR + 3.000%		5.05			5/9/2025		1,811,098		1,819,969		1,797,515
AmWINS Group, Inc., 1M LIBOR + 2.750%		4.82			1/25/2024		1,481,203		1,484,252		1,473,590
AssuredPartners, Inc., 1M LIBOR + 3.250%		5.34			10/22/2024		1,795,794		1,807,638		1,785,701
Asurion LLC, 1M LIBOR + 2.750%		4.84			11/3/2023		1,556,089		1,563,408		1,552,198
Genex Holding Inc., 3M LIBOR + 3.250%		5.28			2/14/2025		2,059,888		2,060,372		2,037,579
Hub International Ltd., 2M LIBOR + 3.000%		2.00			4/25/2025		2,000,000		1,995,114		1,986,760
Sedgwick Claims Management Services, Inc., 1M LIBOR + 5.750%		7.89			2/28/2022		743,236		744,722		745,563
York Risk Services Holding Corp., 1M LIBOR + 3.750%		5.84			10/1/2021		1,650,217		1,626,652		1,597,757
Total Insurance							13,097,525		13,102,127		12,976,663
Leisure, Amusement, Entertainment — 4.0%*:
Columbus Capital B.V., EURIBOR + 4.750%+		4.75			6/30/2024		500,000		571,078		575,142
Crown Finance US, Inc., 1M LIBOR + 2.500%		4.59			2/28/2025		997,500		998,717		989,311
Delta 2 (LUX) S.a.r.l., 1M LIBOR + 2.500%+		4.59			2/1/2024		1,394,967		1,399,517		1,374,921
Dorna Sports, S.L., EURIBOR + 3.000%+		3.00			4/12/2024		500,000		540,275		574,826
International Park Holdings B.V., EURIBOR + 3.500%+		3.50			6/13/2024		500,000		580,850		579,001
Metro-Goldwyn-Mayer Inc., 3M LIBOR + 2.340%		2.34			6/26/2026		2,000,000		1,980,000		1,980,000
SeaWorld Parks & Entertainment, Inc., 3M LIBOR + 3.000%		5.09			3/31/2024		2,072,785		2,062,384		2,055,394
William Morris Endeavor Entertainment, LLC, 2M LIBOR + 2.750%		4.93			5/10/2025		1,924,382		1,919,076		1,907,543
Total Leisure, Amusement, Entertainment							9,889,634		10,051,897		10,036,138
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 2.1%*:
Alison Bidco S.a.r.l., 1M LIBOR + 4.500%+		6.86			8/29/2021		286,110		284,812		280,388
Apex Tool Group LLC, 1M LIBOR + 3.750%		5.84			2/1/2022		1,711,921		1,708,848		1,710,312
Gardner Denver, Inc., 3M LIBOR + 2.750%		4.84			7/30/2024		1,256,745		1,253,996		1,256,280
Titan Acquisition Ltd., 1M LIBOR + 3.000%+		5.09			3/28/2025		1,995,900		1,993,617		1,963,227
Total Machinery Non-Agriculture, Non-Construction, Non-Electronic							5,250,676		5,241,273		5,210,207
Mining, Steel, Iron and Non-Precious Metals — 2.8%*:
Big River Steel LLC, 3M LIBOR + 5.000%		7.33			8/23/2023		1,126,808		1,136,480		1,140,195
Boomerang Tube LLC¤††		15.00	***		2/1/2019		32,825		32,858		32,825

See accompanying Notes to the Financial Statements.

91

Barings Global Floating Rate Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	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 + 15.000%¤††		17.09	%		2/1/2019		121,563		121,563		$121,563
Boomerang Tube LLC, 1M LIBOR + 17.500%¤††		19.59			2/1/2021		105,223		$105,223		5,261
Boomerang Tube LLC¤††		20.00	***		2/1/2019		46,501		45,368		46,501
Coronado Coal LLC, LIBOR + 6.500%		8.83			3/14/2025		809,187		785,590		814,244
Covia Holdings Corp., 3M LIBOR + 3.750%		6.05			6/1/2025		1,475,193		1,475,193		1,474,279
Murray Energy Corp., 3M LIBOR + 7.250%		9.34			4/16/2020		1,386,791		1,321,095		1,304,249
U.S. Silica Co., 1M LIBOR + 4.000%		6.13			5/1/2025		2,168,785		2,192,644		2,165,531
Total Mining, Steel, Iron and Non-Precious Metals							7,272,876		7,216,014		7,104,648
Oil and Gas — 3.1%*:
Caelus Energy Alaska O3 LLC, 3M LIBOR + 7.500%		9.83			4/15/2020		1,499,143		1,435,301		1,371,716
Fieldwood Energy LLC, 1M LIBOR + 7.250%		9.34			4/11/2023		864,968		337,501		835,412
Floatel International, Ltd., 3M LIBOR + 5.000%		7.33			6/27/2020		393,837		392,512		338,699
Gulf Finance LLC, 3M LIBOR + 5.250%		7.59			8/25/2023		939,721		918,909		808,940
KCA Deutag Alpha Ltd., LIBOR + 6.750%+		9.08			3/31/2023		500,000		497,509		497,375
Seadrill Partners Finco LLC, 3M LIBOR + 6.000%		8.33			2/21/2021		2,180,480		1,617,002		1,949,415
Southcross Holdings Borrower LP, 1M LIBOR + 5.500% (3.500% PIK)		9.00			4/13/2023		21,747		21,747		20,660
UTEX Industries, Inc., 1M LIBOR + 4.000%		6.09			5/22/2021		977,848		882,422		967,258
UTEX Industries, Inc., 1M LIBOR + 7.250%		9.35			5/22/2022		1,000,000		671,588		978,330
Total Oil and Gas							8,377,744		6,774,491		7,767,805
Personal, Food and Miscellaneous — 0.2%*:
Capri Finance LLC, 3M LIBOR + 3.250%+		5.61			10/4/2024		500,000		498,750		495,315
Printing and Publishing — 2.1%*:
Ascend Learning LLC, 1M LIBOR + 3.000%		5.09			7/12/2024		697,598		700,037		694,982
Getty Images, Inc., 3M LIBOR + 3.500%		5.59			10/18/2019		2,101,881		2,033,437		2,026,570
Springer Science+Business Media Deutschland GmbH, 2M LIBOR + 3.500%+		5.59			8/15/2022		1,667,010		1,671,582		1,663,543
Springer Science+Business Media Deutschland GmbH, EURIBOR + 3.2500%+		3.75			8/15/2022		748,092		869,733		868,660
Total Printing and Publishing							5,214,581		5,274,789		5,253,755
Retail Stores — 4.2%*:
24 Hour Fitness Worldwide, Inc., 1M LIBOR + 3.500%		5.59			5/24/2025		1,525,857		1,528,722		1,523,568
Ascena Retail Group, Inc., 1M LIBOR + 4.500%		6.63			8/21/2022		1,043,624		898,127		929,348
EG Finco Ltd., LIBOR + 4.000%+		6.33			2/7/2025		1,102,865		1,097,495		1,092,112
EG Group Ltd., EURIBOR + 4.000%+		2.00			2/6/2025		168,196		203,871		193,881

See accompanying Notes to the Financial Statements.

92

Barings Global Floating Rate Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Retail Stores (Continued)
EG Group Ltd., EURIBOR + 4.000%+		4.00	%		2/6/2025		661,949		$801,356		$764,220
EG Group Ltd., 3M LIBOR + 4.000%+		6.34			2/6/2025		224,494		223,956		222,305
Eyemart Express LLC, 1M LIBOR + 3.000%		5.06			8/4/2024		1,576,129		1,582,147		1,573,182
Kirk Beauty One GmbH, EURIBOR + 3.500%+		3.50			8/12/2022		1,250,001		1,548,597		1,316,899
Staples, Inc., 3M LIBOR + 4.000%		6.36			9/12/2024		2,241,250		2,225,192		2,209,738
Talbots, Inc., 1M LIBOR + 4.500%		6.59			3/19/2020		317,290		306,928		311,937
Thom Europe S.A.S, EURIBOR + 4.500%+		4.50			8/7/2024		500,000		575,710		578,791
Total Retail Stores							10,611,655		10,992,101		10,715,981
Telecommunications — 5.0%*:
BMC Software Finance, Inc., 1M LIBOR + 4.250%		6.59			6/26/2025		1,000,000		990,000		993,750
CDS Holdco III B.V., EURIBOR + 4.250%+		3.75			12/31/2024		500,000		577,220		576,531
Digicel International Finance Ltd., 3M LIBOR + 3.250%+		5.61			5/28/2024		424,880		428,234		405,229
Eircom Finco S.a.r.l., EURIBOR + 3.250%+		3.25			4/19/2024		1,000,000		1,154,955		1,155,211
GTT Communications, Inc., 3M LIBOR + 2.750%		4.88			4/25/2025		2,010,909		2,000,912		1,979,237
Sprint Communications, Inc., 1M LIBOR + 2.500%		4.63			2/2/2024		1,484,962		1,491,400		1,476,914
Syniverse Holdings, Inc., 1M LIBOR + 5.000%		7.05			3/9/2023		1,577,245		1,582,855		1,573,964
Syniverse Holdings, Inc., 1M LIBOR + 9.000%		11.05			3/11/2024		425,482		419,412		422,159
TDC A/S, 1M LIBOR + 3.500%+		3.50			6/30/2025		800,000		939,798		922,366
Virgin Media Investment Holdings Ltd., LIBOR - GBP + 3.250%+		3.76			11/15/2027		1,250,000		1,725,580		1,629,694
Ziggo Secured Finance B.V., EURIBOR + 3.000%+		3.00			4/15/2025		1,000,000		1,153,446		1,146,733
Ziggo Secured Finance Partnership, 1M LIBOR + 2.500%+		4.57			4/15/2025		500,000		501,134		494,065
Total Telecommunications							11,973,478		12,964,946		12,775,853
Utilities — 0.6%*:
Helix Gen Funding LLC, 3M LIBOR + 3.750%		5.84			6/2/2024		504,038		503,981		504,562
Vistra Operations Co. LLC, 1M LIBOR + 3.250%		4.34			12/14/2023		1,073,350		1,081,984		1,067,318
Total Utilities							1,577,388		1,585,965		1,571,880
Total Bank Loans							210,638,753		216,615,661		214,597,094
Corporate Bonds — 10.0%*:
Automobile — 0.4%*:
AA Bond Co. Ltd.+		5.50			7/31/2022		700,000		938,160		842,529
RAC Bond Co. PLC+		5.00			11/6/2022		100,000		128,880		124,481
Total Automobile							800,000		1,067,040		967,010

See accompanying Notes to the Financial Statements.

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June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Beverage, Food and Tobacco — 0.1%*:
Burger King, Inc.+^		5.00	%		10/15/2025		327,000		$327,000		$309,407
Broadcasting and Entertainment — 0.1%*:
Entertainment One Ltd.+		6.88			12/15/2022		100,000		150,201		137,914
VTR Finance BV+^		6.88			1/15/2024		211,000		213,799		211,992
Total Broadcasting and Entertainment							311,000		364,000		349,906
Buildings and Real Estate — 0.3%*:
Miller Homes Group Holdings PLC, 3M GBP LIBOR + 5.250%+		6.04	#		10/15/2023		500,000		666,402		658,226
Cargo Transport — 0.4%*:
Deck Chassis Acquisition, Inc.^		10.00			6/15/2023		841,000		883,824		891,460
WFS Global Holding SAS+		9.50			7/15/2022		100,000		113,435		122,421
Total Cargo Transport							941,000		997,259		1,013,881
Chemicals, Plastics and Rubber — 0.2%*:
Monitchem HoldCo 3 SA, 3 mo. EURIBOR + 4.750%+		4.43	#		6/15/2021		150,000		174,855		173,314
Pinnacle Operating Corp.^		9.00			5/15/2023		378,294		461,200		355,597
Total Chemicals, Plastics and Rubber							528,294		636,055		528,911
Containers, Packaging and Glass — 0.5%*:
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.+^		4.63			5/15/2023		500,000		502,271		494,375
BWAY Holding Co.		4.75			4/15/2024		350,000		404,810		406,216
BWAY Holding Co.^		5.50			4/15/2024		300,000		300,000		292,500
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu^		5.13			7/15/2023		178,000		178,000		175,775
Total Containers, Packaging and Glass							1,328,000		1,385,081		1,368,866
Diversified/Conglomerate Manufacturing — 0.1%*:
Appvion, Inc.^~		9.00	#		6/1/2020		460,000		463,417		2,588
Galapagos S.A., 3 mo. EURIBOR + 4.750%+		4.43	#		6/15/2021		200,000		272,630		207,868
Total Diversified/Conglomerate Manufacturing							660,000		736,047		210,456
Diversified/Conglomerate Service — 0.9%*:
Algeco Global Finance PLC, 3 mo. EURIBOR + 6.250%+		5.92	#		2/15/2023		150,000		182,089		175,380
Algeco Global Finance PLC+		6.50			2/15/2023		200,000		242,598		237,437
Carlson Travel, Inc., 3 mo. EURIBOR + 4.750%		4.75	#		6/15/2023		600,000		692,423		683,163
Prime Security Services Borrower LLC/Prime Finance, Inc.^		9.25			5/15/2023		220,000		220,000		234,234
Sabre GLBL, Inc.^		5.38			4/15/2023		561,000		568,791		566,610

See accompanying Notes to the Financial Statements.

94

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June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Diversified/Conglomerate Service (Continued)
TeamSystem SpA, 3 mo. EURIBOR + 4.000%+		4.00	#%		4/15/2023		400,000		$492,740		$465,649
Total Diversified/Conglomerate Service							2,131,000		2,398,641		2,362,473
Electronics — 0.4%*:
First Data Corp.^		5.00			1/15/2024		179,000		178,159		177,658
Veritas US, Inc./Veritas Bermuda Ltd.^		7.50			2/1/2023		817,000		865,333		765,937
Total Electronics							996,000		1,043,492		943,595
Finance — 1.7%*:
Arrow Global Finance PLC, 3 mo. EURIBOR + 3.750%+		3.75	#		3/1/2026		400,000		496,520		449,883
Cabot Financial Luxembourg SA+		7.50			10/1/2023		300,000		429,095		402,854
Galaxy Bidco Ltd., 3M GBP LIBOR + 4.500%+		5.14	#		11/15/2020		100,000		139,788		130,061
Garfunkelux Holdco 3 S.A.+		8.50			11/1/2022		250,000		386,377		320,139
Garfunkelux Holdco 3 SA, 3 mo. EURIBOR + 4.500%+		4.50	#		9/1/2023		1,100,000		1,323,253		1,145,845
Jerrold Finco PLC+		6.13			1/15/2024		100,000		124,555		132,643
Jerrold Finco PLC+		6.25			9/15/2021		500,000		696,832		676,207
Nexi Capital SpA, 3 mo. EURIBOR + 3.625%+		3.63	#		5/1/2023		850,000		1,008,417		977,741
Total Finance							3,600,000		4,604,837		4,235,373
Healthcare, Education and Childcare — 0.7%*:
HCA, Inc.		5.25			6/15/2026		82,000		82,000		81,442
IDH Finance PLC+		6.25			8/15/2022		100,000		131,025		120,207
Synlab Bondco PLC+		6.25			7/1/2022		1,000,000		1,243,226		1,199,915
Tenet Healthcare Corp.^		4.63			7/15/2024		255,000		254,026		241,536
Valeant Pharmaceuticals International, Inc.^		5.50			11/1/2025		165,000		165,000		162,608
Total Healthcare, Education and Childcare							1,602,000		1,875,277		1,805,708
Home and Office Furnishings, Housewares, and Durable Consumer Products — 0.2%*:
LSF9 Balta Issuer SARL+		7.75			9/15/2022		324,000		407,548		394,811
Hotels, Motels, Inns and Gaming — 0.2%*:
TVL Finance PLC, 3M GBP LIBOR + 4.875%+		5.52	#		5/15/2023		100,000		130,880		129,594
TVL Finance PLC+		8.50			5/15/2023		280,000		390,237		385,974
Total Hotels, Motels, Inns and Gaming							380,000		521,117		515,568
Leisure, Amusement, Entertainment — 0.3%*:
CPUK Finance Ltd.+		4.88			2/28/2025		100,000		134,070		132,292
Perform Group Financing PLC+		8.50			11/15/2020		250,000		349,108		334,966
Vue International Bidco PLC, 3 mo. EURIBOR + 5.250%+		4.92	#		7/15/2020		100,000		134,429		116,826
WMG Acquisition Corp.^		5.00			8/1/2023		63,000		63,000		62,685
Total Leisure, Amusement, Entertainment							513,000		680,607		646,769

See accompanying Notes to the Financial Statements.

95

Barings Global Floating Rate Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Oil and Gas — 1.3%*:
Citgo Holding, Inc.^		10.75	%		2/15/2020		1,500,000		$1,490,422		$1,595,625
EP Energy LLC/Everest Acquisition Finance, Inc.^		8.00			2/15/2025		713,000		620,595		552,575
Kosmos Energy Ltd.+^		7.88			8/1/2021		150,000		146,200		152,438
Sanchez Energy Corp.^		7.25			2/15/2023		1,136,000		1,125,329		1,124,640
Total Oil and Gas							3,499,000		3,382,546		3,425,278
Personal Transportation — 0.6%*:
Hertz Corp. (The)^		7.63			6/1/2022		1,051,000		1,048,949		1,008,960
Naviera Armas SA, 3 mo. EURIBOR + 4.250%+		4.25	#		11/15/2024		250,000		296,803		286,523
Naviera Armas SA, 3 mo. EURIBOR + 6.500%+		6.50	#		7/31/2023		250,000		297,865		292,387
Total Personal Transportation							1,551,000		1,643,617		1,587,870
Retail Stores — 0.5%*:
House of Fraser Funding PLC, 3M GBP LIBOR + 5.750%+		6.38	#		9/15/2020		300,000		465,807		286,769
HSS Financing PLC+		6.75			8/1/2019		68,000		112,557		89,339
Jewel UK Bondco PLC+		8.50			4/15/2023		100,000		142,450		131,224
Marcolin SpA, 3 mo. EURIBOR + 4.125%+		4.13	#		2/15/2023		300,000		338,783		347,310
Maxeda DIY Holding B.V.+		6.13			7/15/2022		100,000		114,070		106,124
Takko Luxembourg 2 SCA+		5.38			11/15/2023		100,000		116,475		105,277
Travelex Financing PLC+		8.00			5/15/2022		100,000		108,750		113,750
Total Retail Stores							1,068,000		1,398,892		1,179,793
Telecommunications — 0.7%*:
Hughes Satellite Systems Corp.		5.25			8/1/2026		1,388,000		1,396,867		1,301,250
Ziggo Secured Finance B.V.+		4.25			1/15/2027		350,000		390,407		403,178
Total Telecommunications							1,738,000		1,787,274		1,704,428
Utilities — 0.4%*:
Viridian Group Finance Co. PLC+		4.75			9/15/2024		865,000		1,068,739		1,052,826
Total Corporate Bonds							23,662,294		26,991,471		25,261,155
Total Fixed Income							234,301,047		243,607,132		239,858,249
Short-Term Investments — 18.1%*:
Bank Deposit — 18.1%*:
State Street Bank & Trust Co. Euro Time Deposit		0.28			7/2/2018		45,925,399		45,925,399		45,925,399
Total Investments							280,538,425		290,646,501		287,743,930
Other assets and liabilities — (13.8%)*											(34,956,726	)
Net Assets — 100.0%											$252,787,204

See accompanying Notes to the Financial Statements.

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Barings Global Floating Rate Fund 2018 Annual Report

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June 30, 2018

PIK Payment-in-kind

‡‡ Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

* Calculated as a percentage of net assets applicable to common shareholders.

+ Foreign security.

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:

United States	68.6%
United Kingdom	10.1%
Germany	6.7%
Netherlands	3.8%
France	3.7%
Spain	1.6%
Ireland	1.1%
Other (Individually less than 1%)	4.4%
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.

§ Bank loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for bank loans are the current interest rates at June 30, 2018. Bank loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown.

¤ For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 2).

†† Illiquid security.

*** Fixed-rate security.

~ Defaulted security.

# Variable rate security. The interest rate shown is the rate in effect at June 30, 2018.

A summary of outstanding derivatives at June 30, 2018 is as follows:

Forward Foreign Currency Exchange Contracts to Buy

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
7/2/18	Morgan Stanley & Co.		EUR	168,196	$	196,419	$	194,920	$	1,499
7/12/18	Morgan Stanley & Co.		GBP	792,834		1,046,757		1,052,325		(5,568	)
Net unrealized depreciation on forward foreign currency exchange contracts to buy									$	(4,069	)

See accompanying Notes to the Financial Statements.

97

Barings Global Floating Rate Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

Forward Foreign Currency Exchange Contracts to Sell

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
7/12/18	Credit Suisse International		EUR	29,377,068	$	34,328,296	$	34,770,551	$	442,255
7/12/18	Morgan Stanley & Co.		EUR	1,055,358		1,233,229		1,232,712		(517	)
7/12/18	Morgan Stanley & Co.		GBP	9,153,045		12,084,509		12,276,215		191,706
Net unrealized appreciation on forward foreign currency exchange contracts to sell									$	633,444

Currency Legend

EUR	–	Euro
GBP	–	British Pound Sterling

See accompanying Notes to the Financial Statements.

98

Barings Global Credit Income Opportunities Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS

June 30, 2018

						SHARES		COST		FAIR VALUE
Equities — 0.8%*:
Common Stocks — 0.7%*:
Healthcare, Education and Childcare — 0.1%*:
MModal, Inc.							4,725		$131,922		$153,563
Tunstall Group Holdings Ltd.+¤							396		—		—
Tunstall Group Holdings Ltd.+¤							261		—		—
Total Healthcare, Education and Childcare							5,382		131,922		153,563
Mining, Steel, Iron and Non-Precious Metals — 0.0%*:
Boomerang Tube LLC¤							2,007		—		—
Oil and Gas — 0.4%*:
Fieldwood Energy LLC							3,698		129,430		181,435
Fieldwood Energy LLC							15,071		325,033		757,318
Southcross Energy Holdings LP¤							11		—		—
Southcross Energy Partners LP							11		2,750		2,447
Total Oil and Gas							18,791		457,213		941,200
Retail Stores — 0.2%*:
Maxeda DIY B.V.+¤							10,446		—		110,131
Maxeda DIY B.V.+¤							18,859,871		373,738		440,491
Total Retail Stores							18,870,317		373,738		550,622
Total Common Stocks							18,896,497		962,873		1,645,385
Preferred Stock — 0.1%*:
Farming and Agriculture — 0.1%*:
Pinnacle Agriculture Holdings A 2¤							311,577		202,152		286,651
Total Equities							19,208,074		1,165,025		1,932,036
	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 91.8%*:
Asset-Backed Securities — 14.3%*:
CDO/CLO — 14.3%*:
AIMCO CLO Series 2015-AA ER, 3M USD LIBOR + 5.200%^		7.55	#%		1/15/2028		500,000		500,000		497,293
Alinea CLO 2018-1 Ltd., 3M LIBOR + 6.000%^¤		8.34	#		7/20/2031		1,250,000		1,250,000		1,250,000
ALME Loan Funding III Designated Activity Co. 3A ERV, 3M EURIBOR + 5.400%+^		5.40	#		4/15/2030		500,000		522,465		586,377
ALME Loan Funding IV BV 4A ER, 3M EURIBOR + 4.670%+^		4.67	#		1/15/2032		1,000,000		1,142,718		1,129,079
Anchorage Capital CLO Ltd. 2015-6A ER, 3M USD LIBOR + 6.350%^		8.70	#		7/15/2030		500,000		513,545		507,541
Apidos CLO 2017-27A D, 3M USD LIBOR + 6.400%^		8.75	#		7/17/2030		700,000		700,000		710,963

See accompanying Notes to the Financial Statements.

99

Barings Global Credit Income Opportunities Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
CDO/CLO (Continued)
Ares XLVIII CLO, 3M LIBOR + 5.200%^¤		7.54	#%		7/20/2030		800,000		$800,000		$800,000
Atlas Senior Loan Fund X Ltd., 3M USD LIBOR + 5.700%^		8.05	#		1/15/2031		500,000		500,000		489,053
Atlas Senior Loan Fund XI Ltd., 3M LIBOR + 5.7500%^¤		8.09	#		7/26/2031		1,900,000		1,900,000		1,900,000
Atrium IX 9A ER, 3M USD LIBOR + 6.450%^		8.77	#		5/28/2030		500,000		500,000		508,173
Avoca CLO XIV Designated Activity Co. 14X FR, 3M EURIBOR + 6.350%+		6.35	#		1/12/2031		500,000		558,800		560,285
BlueMountain CLO Ltd. 2014-1A^		Zero Coupon			4/30/2026		250,000		241,795		116,617
Cadogan Square CLO XI DAC, 3M USD LIBOR + 4.860%+¤		4.86	#		2/15/2031		1,000,000		1,130,535		1,132,766
Cairn CLO B.V. 2013-3A E, 6M EURIBOR + 4.900%+^		4.90	#		10/20/2028		1,000,000		1,036,401		1,155,215
Carbone CLO Ltd. 2017-1A D, 3M USD LIBOR + 5.900%^		8.26	#		1/20/2031		500,000		500,000		502,124
Carlyle Global Market Strategies CLO Ltd. 2015-1A E1, 3M USD LIBOR + 5.300%^		7.66	#		4/20/2027		500,000		449,971		500,070
CBAM Ltd. 2017-3A E, 3M USD LIBOR + 6.500%^		8.85	#		10/17/2029		750,000		750,000		757,843
CIFC Funding 2018-III Ltd., 3M LIBOR + 5.500%^¤		7.84	#		7/18/2031		1,500,000		1,500,000		1,500,000
CIFC Funding Ltd. 2017-1A E, 3M USD LIBOR + 6.350%^		8.71	#		4/23/2029		750,000		746,800		758,873
CIFC Funding Ltd. 2017-5A D, 3M USD LIBOR + 6.100%^		8.45	#		11/16/2030		500,000		500,000		506,188
Cordatus 3X CLO plc+		4.86			8/15/2032		1,000,000		1,156,187		1,124,977
Dryden 42 Senior Loan Fund 2016-42A E, 3M USD LIBOR + 7.250%^		9.60	#		7/15/2027		500,000		511,961		500,879
Dryden 45 Senior Loan Fund 2016-45A E, 3M USD LIBOR + 6.850%^		9.20	#		7/15/2027		500,000		481,848		504,774
Dryden 58 CLO Ltd., 3M LIBOR + 5.350%^¤		7.69	#		7/17/2031		600,000		600,000		600,000
Eaton Vance CLO Ltd. 2013-1A DR, 3M USD LIBOR + 7.600%^		9.95	#		1/15/2028		500,000		488,363		511,375
Galaxy XXI CLO Ltd., 3M USD LIBOR + 5.250%^		7.61	#		4/20/2031		500,000		500,000		487,959
Galaxy XXIV CLO Ltd. 2017-24A E, 3M USD LIBOR + 5.500%^		7.48	#		1/15/2031		700,000		700,000		695,183
KKR CLO Ltd. 22, 3M LIBOR + 6.000%^		8.34	#		7/20/2031		1,000,000		1,000,000		1,000,000
KKR Financial CLO Ltd. 2018 E, 3M USD LIBOR + 6.450%^		8.81	#		7/18/2030		800,000		784,482		811,150
LCM XIII LP 2013-A ER, 3M USD LIBOR + 7.300%^		9.66	#		7/19/2027		750,000		723,660		765,312
LCM XV LP 2015-A ER, 3M USD LIBOR + 6.500%^		8.86	#		7/20/2030		500,000		500,000		507,790
Madison Park Funding XIII Ltd. 2014-13A^		Zero Coupon			4/19/2030		500,000		416,158		399,889

See accompanying Notes to the Financial Statements.

100

Barings Global Credit Income Opportunities Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
CDO/CLO (Continued)
Madison Park Funding XX Ltd., 3M LIBOR + 5.300%^¤		7.64	#%		7/27/2030		1,400,000		$1,400,000		$1,400,000
Madison Park Funding XXVII Ltd., 3M USD LIBOR + 5.200%^		7.05	#		4/20/2030		500,000		500,000		491,264
Madison Park Funding XXVIII Ltd., 3M LIBOR + 7.600%^¤		9.94	#		7/15/2030		500,000		495,391		495,388
Magnetite VII Ltd.^		Zero Coupon			1/15/2028		2,000,000		1,445,867		1,455,068
Neuberger Berman Loan Advisers CLO 28 Ltd., 3M USD LIBOR + 5.600%^		7.92	#		4/20/2030		500,000		500,000		499,935
Oak Hill Credit Partners X Ltd. 2014-10A^		Zero Coupon			7/20/2026		500,000		462,368		243,234
Steele Creek CLO Ltd. 2017-1A E, 3M USD LIBOR + 6.200%^		8.54	#		1/15/2030		500,000		500,000		502,473
TCI-Symphony CLO Ltd. 2017-1A E, 3M USD LIBOR + 6.450%^		8.80	#		7/15/2030		1,000,000		990,372		1,016,091
THL Credit Wind River CLO Ltd. 2017-4A E, 3M USD LIBOR + 5.800%^		8.13	#		11/20/2030		500,000		500,000		501,273
Voya CLO Ltd. 2015-2A E, 3M USD LIBOR + 5.300%^		7.66	#		7/23/2027		500,000		484,809		498,584
Wellfleet CLO 2018-1 Ltd., 3M USD LIBOR + 5.600%^¤		7.84	#		7/17/2031		1,150,000		1,150,000		1,150,000
Wellfleet CLO Ltd. 2017-3A D, 3M USD LIBOR + 5.550%^		7.28	#		1/17/2031		1,000,000		1,000,000		998,414
Total CDO/CLO							33,300,000		33,034,496		33,029,472
Total Asset-Backed Securities							33,300,000		33,034,496		33,029,472
Bank Loans — 30.4%*§:
Beverage, Food and Tobacco — 1.3%*:
Deoleo S.A., EURIBOR + 3.500%+		4.50			6/11/2021		500,000		559,279		408,730
IRB Holding Corp., 1M LIBOR + 3.250%		5.27			2/5/2025		1,625,171		1,644,541		1,626,520
JBS USA, LLC, 3M LIBOR + 2.500%		4.83			10/30/2022		404,837		403,445		401,396
Refresco Group B.V., EURIBOR + 3.250%+		3.25			3/28/2025		500,000		584,887		575,994
Total Beverage, Food and Tobacco							3,030,008		3,192,152		3,012,640
Broadcasting and Entertainment — 2.1%*:
All3Media International, 6M LIBOR + 4.250%+		5.25			6/30/2021		500,000		835,516		657,401
AP NMT Acquisition B.V., EURIBOR + 6.000%+		7.00			8/13/2021		391,095		481,142		456,949
AP NMT Acquisition B.V., 3M LIBOR + 5.750%+		8.06			8/13/2021		1,187,454		1,159,079		1,184,735
AP NMT Acquisition B.V., 3M LIBOR + 9.000%+		11.31			8/13/2022		300,000		287,557		299,499
Intelsat Jackson Holdings S.A., 3M LIBOR + 3.750%		5.85			11/27/2023		250,000		249,261		249,177

See accompanying Notes to the Financial Statements.

101

Barings Global Credit Income Opportunities Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Broadcasting and Entertainment (Continued)
Univision Communications, Inc., 1M LIBOR + 2.750%		4.84	%		3/15/2024		1,994,564		$1,972,451		$1,925,592
Total Broadcasting and Entertainment							4,623,113		4,985,006		4,773,353
Buildings and Real Estate — 0.1%*:
SRS Distribution Inc., 3M LIBOR + 3.250%		5.58			5/23/2025		365,308		364,405		359,526
Chemicals, Plastics and Rubber — 1.2%*:
Colouroz Investment 1 GmbH, EURIBOR + 3.0000%+		3.75			9/7/2021		1,351,980		1,581,318		1,511,741
Diversey, EURIBOR + 3.2500%+		3.25			9/6/2024		497,500		587,921		569,117
Flint Group GmbH, LIBOR + 3.000%+		3.75			9/7/2021		286,230		338,179		320,054
Solenis International, LP, 3M LIBOR + 4.000%		6.33			6/6/2025		248,605		246,119		247,822
Solenis International, LP, 3M LIBOR + 8.500%		10.68			6/1/2026		158,282		153,537		155,314
Total Chemicals, Plastics and Rubber							2,542,597		2,907,074		2,804,048
Containers, Packaging and Glass — 0.9%*:
Albea Beauty Holdings S.A, EURIBOR + 4.000%+		5.44			4/22/2024		206,419		206,170		205,129
BWAY Holding Co., 1M LIBOR + 3.250%		5.59			4/3/2024		1,336,067		1,335,499		1,327,930
ProAmpac PG Borrower LLC, 3M LIBOR + 8.500%		10.58			11/18/2024		500,000		494,004		504,690
Total Containers, Packaging and Glass							2,042,486		2,035,673		2,037,749
Diversified/Conglomerate Manufacturing — 1.3%*:
LTI Holdings, Inc., 1M LIBOR + 4.750%		6.84			5/16/2024		754,999		750,734		753,112
Project Alpha Intermediate Holding, Inc., 3M LIBOR + 3.500%		5.99			4/26/2024		1,179,870		1,176,993		1,172,495
Triple Point Technology, Inc., 3M LIBOR + 4.250%		6.34			7/10/2020		575,931		558,672		514,019
Xella International GmbH, EURIBOR + 3.500%+		3.50			4/11/2024		500,000		588,325		579,159
Total Diversified/Conglomerate Manufacturing							3,010,800		3,074,724		3,018,785
Diversified/Conglomerate Service — 3.7%*:
Almonde, Inc., 3M LIBOR + 3.500%+		5.81			6/13/2024		1,415,940		1,419,251		1,389,590
EAB (Avatar Purchaser), 1M LIBOR + 3.750%		6.25			11/15/2024		245,147		244,027		241,163
GTCR Valor Cos., Inc., 3M LIBOR + 3.250%		5.58			6/16/2023		1,097,877		1,108,362		1,094,583
MH Sub I LLC, 3M LIBOR + 3.750%		5.84			9/13/2024		698,241		699,936		697,564
MH Sub I, LLC, 3M LIBOR + 7.500%		9.59			9/15/2025		650,000		646,339		654,063
Project Leopard Holdings, Inc., 1M LIBOR + 4.000%		6.09			7/7/2023		525,448		527,141		524,791
Verisure Holding AB, EURIBOR + 3.000%+		3.00			10/20/2022		500,000		589,696		571,200
Vertafore, Inc., 1M LIBOR + 3.250%		5.59			5/30/2025		1,000,000		995,000		993,130

See accompanying Notes to the Financial Statements.

102

Barings Global Credit Income Opportunities Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Diversified/Conglomerate Service (Continued)
Vertafore, Inc., 1M LIBOR + 7.250%		9.59	%		5/30/2026		879,452		$870,657		$871,757
VF Holding Corp., 1M LIBOR + 3.250%		5.34			6/30/2023		1,474,489		1,480,013		1,464,536
Total Diversified/Conglomerate Service							8,486,594		8,580,422		8,502,377
Ecological — 0.1%*:
Emerald 3 Ltd., 3M LIBOR + 7.000%		9.33			5/31/2022		196,488		195,504		191,904
GFL Environmental Inc., 3M LIBOR + 2.750%+		5.08			5/30/2025		118,686		118,391		117,796
Total Ecological							315,174		313,895		309,700
Electronics — 1.3%*:
ION Trading Technologies S.a.r.l., 1M LIBOR + 4.000%		6.34			11/21/2024		286,390		279,230		283,526
Omnitracs, Inc., 1M LIBOR + 2.750%		5.09			3/16/2025		1,500,000		1,503,650		1,480,320
RP Crown Parent LLC, 1M LIBOR + 3.000%		4.84			10/12/2023		732,149		729,380		725,742
Veritas Bermuda Ltd., 3M LIBOR + 4.500%		6.65			1/27/2023		560,065		558,332		511,900
Total Electronics							3,078,604		3,070,592		3,001,488
Finance — 1.4%*:
Edelman Financial Group, The, 3M LIBOR + 3.250%		5.59			6/26/2025		251,921		250,662		251,450
Focus Financial Partners LLC, 3M LIBOR + 2.750%		4.84			7/3/2024		1,488,750		1,496,545		1,487,514
Tempo Acquisition LLC, 1M LIBOR + 3.000%		5.09			5/1/2024		1,514,590		1,518,836		1,507,017
Total Finance							3,255,261		3,266,043		3,245,981
Healthcare, Education and Childcare — 3.9%*:
Aenova Holding GmbH, EURIBOR + 4.000%+		5.00			9/29/2020		499,999		575,325		566,383
Amneal Pharmaceuticals LLC, 3M LIBOR + 3.500%		5.63			5/4/2025		245,228		244,027		244,539
Cerba Healthcare S.A.S., EURIBOR + 3.000%+		3.00			4/20/2024		1,000,000		1,177,140		1,133,350
Endo Luxembourg Finance Co. I S.a r.l., 1M LIBOR + 4.250%+		6.38			4/29/2024		1,171,020		1,174,975		1,168,092
Horizon Pharma, Inc., 1M LIBOR + 3.250%		5.38			3/29/2024		967,220		972,701		964,802
Lifescan Global Corp., 1M LIBOR + 6.0000%		8.34			9/28/2024		189,398		183,716		183,242
MModal, Inc., 1M LIBOR + 4.750%		7.27			1/31/2020		559,543		550,234		555,000
Ortho-Clinical Diagnostics SA, 3M LIBOR + 3.250%		5.34			5/30/2025		1,231,819		1,232,429		1,226,436
Parexel International Corp., 1M LIBOR + 2.7500%		4.84			9/27/2024		992,500		998,271		986,297
Radiology Partners Holdings, LLC, 1M LIBOR + 4.2500%		6.59			6/21/2025		470,278		465,575		465,575
Rodenstock GmbH, EURIBOR + 5.250%+		5.25			6/30/2021		500,000		580,435		563,463
Tunstall Group Holdings Ltd., 1M LIBOR + 4.500%+		7.50			10/16/2020		503,750		591,019		587,544

See accompanying Notes to the Financial Statements.

103

Barings Global Credit Income Opportunities Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Healthcare, Education and Childcare (Continued)
Valeant Pharmaceuticals International, Inc., 1M LIBOR + 3.000%		4.98	%		6/1/2025		500,000		$497,525		$497,970
Total Healthcare, Education and Childcare							8,830,755		9,243,372		9,142,693
Home and Office Furnishings, Housewares, and Durable Consumer Products — 1.7%*:
Hayward Industries, Inc., LIBOR + 3.50%		5.59			8/5/2024		992,500		999,174		993,125
Keter Group B.V., EURIBOR + 4.250%+		5.25			10/31/2023		500,000		546,977		568,678
Serta Simmons Bedding LLC, 3M LIBOR + 3.500%		5.75			11/8/2023		1,225,667		1,224,794		1,041,817
Serta Simmons Bedding LLC, 1M LIBOR + 8.000%		10.33			11/8/2024		474,667		468,970		317,433
SIWF Holdings Inc., 1M LIBOR + 4.250%		6.32			5/17/2025		190,611		188,712		191,326
Visual Comfort Generation Brands Holdings, Inc., 1M LIBOR + 8.000%		10.09			2/28/2025		800,000		796,480		802,000
Total Home and Office Furnishings, Housewares, and Durable Consumer Products							4,183,445		4,225,107		3,914,379
Hotels, Motels, Inns and Gaming — 1.3%*:
Compass IV Ltd., 3M LIBOR + 4.500%+		4.50			4/30/2025		500,000		598,059		581,226
HNVR Holdco Ltd., EURIBOR + 3.250%+		3.25			9/12/2023		500,000		555,625		573,682
Stars Group Holdings B.V. (The), 3M LIBOR + 3.500%+		2.34			7/28/2025		708,761		705,217		708,761
Stars Group Holdings B.V. (The), 3M LIBOR + 3.000%+		5.09			4/6/2025		521,982		520,714		520,938
Tackle S.a.r.l., EURIBOR + 3.250%+		3.25			8/8/2022		600,000		705,195		691,823
Total Hotels, Motels, Inns and Gaming							2,830,743		3,084,810		3,076,430
Insurance — 1.2%*:
AssuredPartners, Inc., 1M LIBOR + 3.250%		5.34			10/22/2024		992,513		996,885		986,934
Hub International Ltd., 2M LIBOR + 3.000%		5.36			4/25/2025		1,311,679		1,308,474		1,302,996
York Risk Services Holding Corp., 1M LIBOR + 3.750%		5.84			10/1/2021		438,136		430,711		424,208
Total Insurance							2,742,328		2,736,070		2,714,138
Leisure, Amusement, Entertainment — 0.8%*:
Delta 2 (LUX) S.a.r.l., 1M LIBOR + 2.500%+		4.59			2/1/2024		509,619		511,281		502,296
Dorna Sports, S.L., 1M LIBOR + 3.250%+		5.58			4/12/2024		500,000		500,000		495,000
Metro-Goldwyn-Mayer Inc.		2.34			6/26/2026		893,847		884,908		884,908
Total Leisure, Amusement, Entertainment							1,903,466		1,896,189		1,882,204
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 0.8%*:
Alison Bidco S.a.r.l., 1M LIBOR + 4.500%+		6.86			8/29/2021		143,055		142,406		140,194
Apex Tool Group LLC, 1M LIBOR + 3.750%		5.84			2/1/2022		185,812		184,962		185,637
Titan Acquisition Ltd., 1M LIBOR + 3.000%+		5.09			3/28/2025		1,496,250		1,498,077		1,471,756
Total Machinery Non-Agriculture, Non-Construction, Non-Electronic							1,825,117		1,825,445		1,797,587

See accompanying Notes to the Financial Statements.

104

Barings Global Credit Income Opportunities Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Mining, Steel, Iron and Non-Precious Metals — 1.1%*:
Big River Steel LLC, 3M LIBOR + 5.000%		7.33	%		8/23/2023		118,507		$120,047		$119,915
Boomerang Tube LLC††¤		15.00	***		2/1/2019		75,898		75,966		75,898
Boomerang Tube LLC, 1M LIBOR + 15.000%††¤		17.09			2/1/2019		121,563		121,563		121,563
Boomerang Tube LLC, 1M LIBOR + 17.500%††¤		19.59			2/1/2021		105,223		105,222		5,261
Boomerang Tube LLC††¤		20.00	***		2/1/2019		46,501		45,368		46,501
Boomerang Tube LLC, 1M LIBOR + 18.000%††¤		20.09			9/1/2018		27,866		27,866		27,866
Coronado Coal LLC, LIBOR + 6.500%		8.83			3/14/2025		272,904		264,946		274,610
Covia Holdings Corp., 3M LIBOR + 3.750%		6.05			6/1/2025		1,398,358		1,398,358		1,397,491
Murray Energy Corp., 3M LIBOR + 7.250%		9.34			4/16/2020		578,624		524,969		544,184
Total Mining, Steel, Iron and Non-Precious Metals							2,745,444		2,684,305		2,613,289
Oil and Gas — 2.4%*:
Caelus Energy Alaska O3 LLC, 3M LIBOR + 7.500%		9.83			4/15/2020		682,707		649,758		624,677
Fieldwood Energy LLC, 1M LIBOR + 5.250%		7.34			4/11/2022		649,368		577,359		649,693
Fieldwood Energy LLC, 1M LIBOR + 7.250%		9.34			4/11/2023		885,631		281,357		855,369
Floatel International, Ltd., 3M LIBOR + 5.000%		7.33			6/27/2020		196,918		196,256		169,350
Gulf Finance LLC, 3M LIBOR + 5.250%		7.59			8/25/2023		939,204		922,370		808,495
KCA Deutag Alpha Ltd., LIBOR + 6.750%+		9.08			3/31/2023		500,000		497,524		497,375
Seadrill Partners Finco LLC, 3M LIBOR + 6.000%		8.33			2/21/2021		248,556		195,735		222,216
Southcross Holdings Borrower LP, 1M LIBOR + 5.500% (3.500% PIK)		9.00			4/13/2023		10,874		10,874		10,330
Summit Midstream Partners Holdings LLC, 1M LIBOR + 6.000%		8.09			5/13/2022		96,593		95,866		97,619
UTEX Industries, Inc., 1M LIBOR + 4.000%		6.09			5/22/2021		1,251,702		1,129,525		1,238,146
UTEX Industries, Inc., 1M LIBOR + 7.250%		9.34			5/22/2022		355,555		327,334		347,851
Total Oil and Gas							5,817,108		4,883,958		5,521,121
Printing and Publishing — 0.8%*:
Getty Images, Inc., 3M LIBOR + 3.500%		5.59			10/18/2019		1,495,821		1,458,062		1,442,225
Springer Science+Business Media Deutschland GmbH, 2M LIBOR + 3.500%+		5.59			8/15/2022		397,364		398,454		396,538
Total Printing and Publishing							1,893,185		1,856,516		1,838,763
Retail Stores — 0.6%*:
EG Finco Ltd., LIBOR + 4.000%+		6.33			2/7/2025		366,747		364,961		363,171
EG Group Ltd., EURIBOR + 4.000%+		4.00			2/6/2025		330,975		409,462		382,110

See accompanying Notes to the Financial Statements.

105

Barings Global Credit Income Opportunities Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE			PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Retail Stores (Continued)
Thom Europe S.A.S, EURIBOR + 4.500%+		4.50	%		8/7/2024			500,000		$575,710		$578,791
Total Retail Stores								1,197,722		1,350,133		1,324,072
Telecommunications — 1.1%*:
BMC Software Finance, Inc., 1M LIBOR + 4.250%		6.59			6/26/2025			664,411		657,767		660,259
Syniverse Holdings, Inc., 1M LIBOR + 5.000%		7.05			3/9/2023			199,578		197,699		199,163
Syniverse Holdings, Inc., 1M LIBOR + 9.000%		11.05			3/11/2024			153,729		151,536		152,528
TDC A/S, 1M LIBOR + 3.500%+		3.50			6/30/2025			500,000		587,374		576,479
Virgin Media Investment Holdings Ltd., LIBOR — GBP + 3.250%+		3.76			11/15/2027			750,000		1,062,468		977,816
Total Telecommunications								2,267,718		2,656,844		2,566,245
Utilities — 1.3%*:
Calpine Corp., LIBOR + 2.500%		4.84			1/15/2024			992,327		992,327		989,946
EFS Cogen Holdings I LLC, 3M LIBOR + 3.250%		5.59			6/28/2023			1,094,739		1,089,817		1,092,517
Vistra Energy Corp., 1M LIBOR + 2.000%		4.07			12/31/2025			877,447		876,354		871,111
Total Utilities								2,964,513		2,958,498		2,953,574
						��
Total Bank Loans								69,951,489		71,191,233		70,410,142
Corporate Bonds — 47.1%*:
Aerospace and Defense — 1.6%*:
Park Aerospace Holdings Ltd.^		4.50			3/15/2023			584,000		584,000		554,683
Swissport Financing Sarl+		9.75			12/15/2022			300,000		390,780		376,153
TransDigm, Inc.		6.38			6/15/2026			1,077,000		1,082,998		1,068,922
TransDigm, Inc.		6.50			5/15/2025			203,000		205,647		205,284
Triumph Group, Inc.		5.25			6/1/2022			875,000		872,324		842,188
Triumph Group, Inc.		7.75			8/15/2025			750,000		802,547		742,500
Total Aerospace and Defense								3,789,000		3,938,296		3,789,730
Automobile — 1.2%*:
AA Bond Co. Ltd.+		5.50			7/31/2022			1,100,000		1,418,453		1,323,974
Gates Global LLC/Gates Global Co.^		6.00			7/15/2022			477,000		397,911		482,962
RAC Bond Co. PLC+		5.00			11/6/2022			600,000		796,230		746,890
Wabash National Corp.^		5.50			10/1/2025			182,000		182,000		174,720
Total Automobile								2,359,000		2,794,594		2,728,546
Beverage, Food and Tobacco — 2.1%*:
Boparan Finance PLC+		5.50			7/15/2021			1,300,000		1,697,581		1,484,917
IRB Holding Corp.^		6.75			2/15/2026			1,000,000		982,974		955,000
JBS USA LUX SA/JBS USA Finance, Inc.^		5.88			7/15/2024			700,000		715,426		668,507
JBS USA LUX SA/JBS USA Finance, Inc.^		6.75			2/15/2028			500,000		500,000		472,350
Pilgrim’s Pride Corp.^		5.75			3/15/2025			355,000		357,186		340,800

See accompanying Notes to the Financial Statements.

106

Barings Global Credit Income Opportunities Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Beverage, Food and Tobacco (Continued)
Pilgrim’s Pride Corp.^		5.88	%		9/30/2027		312,000		$303,633		$289,380
Sunshine Mid BV+		6.50			5/15/2026		600,000		726,330		663,614
Total Beverage, Food and Tobacco							4,767,000		5,283,130		4,874,568
Broadcasting and Entertainment — 2.3%*:
Arqiva Broadcast Finance plc+		9.50			3/31/2020		500,000		742,875		682,839
CCO Holdings LLC/CCO Holdings Capital Corp.^		5.00			2/1/2028		1,750,000		1,742,899		1,601,250
Clear Channel Worldwide Holdings, Inc.		7.63			3/15/2020		918,000		921,192		912,529
CSC Holdings LLC^		5.38			2/1/2028		335,000		335,000		309,875
DISH DBS Corp.		7.75			7/1/2026		691,000		695,422		605,489
Netflix, Inc.^		5.88			11/15/2028		959,000		959,000		968,302
VTR Finance BV+^		6.88			1/15/2024		250,000		244,821		251,175
Total Broadcasting and Entertainment							5,403,000		5,641,209		5,331,459
Buildings and Real Estate — 0.7%*:
Miller Homes Group Holdings PLC, 3M GBP LIBOR + 5.250%+		6.04	#		10/15/2023		400,000		538,437		526,580
Standard Industries, Inc.^		4.75			1/15/2028		885,000		885,000		811,988
William Lyon Homes, Inc.		7.00			8/15/2022		295,000		298,831		300,531
Total Buildings and Real Estate							1,580,000		1,722,268		1,639,099
Cargo Transport+ — 1.3%*:
CMA CGM SA		7.75			1/15/2021		400,000		488,083		458,740
Deck Chassis Acquisition, Inc.^		10.00			6/15/2023		1,080,000		1,115,632		1,144,800
Kenan Advantage Group, Inc.^		7.88			7/31/2023		1,367,000		1,367,000		1,394,340
Total Cargo Transport							2,847,000		2,970,715		2,997,880
Chemicals, Plastics and Rubber — 1.4%*:
Consolidated Energy Finance SA^		6.88			6/15/2025		940,000		962,408		964,675
Diversey		5.63			8/15/2025		100,000		105,791		104,658
Kraton Polymers LLC / Kraton Polymers Capital Corp.^		7.00			4/15/2025		240,000		249,360		248,400
Monitchem HoldCo 2 SA+		6.88			6/15/2022		650,000		722,280		664,847
Nufarm Australia Ltd. / Nufarm Americas, Inc.^		5.75			4/30/2026		703,000		703,000		681,910
Pinnacle Operating Corp.^		9.00			5/15/2023		453,953		544,178		426,716
Platform Specialty Products Corp.^		5.88			12/1/2025		180,000		180,000		175,950
Total Chemicals, Plastics and Rubber							3,266,953		3,467,017		3,267,156
Containers, Packaging and Glass — 0.7%*:
BWAY Holding Co.		4.75			4/15/2024		700,000		809,620		812,433
SIG Combibloc Holdings SCA+		7.75			2/15/2023		650,000		831,858		785,637
Total Containers, Packaging and Glass							1,350,000		1,641,478		1,598,070

See accompanying Notes to the Financial Statements.

107

Barings Global Credit Income Opportunities Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Diversified Natural Resources, Precious Metals and Minerals — 0.2%*:
Parker Drilling Co.		6.75	%		7/15/2022		750,000		$684,388		$547,500
Diversified/Conglomerate Manufacturing — 1.4%*:
Appvion, Inc.^~		9.00			6/1/2020		500,000		505,672		2,812
Energizer Gamma Acquisition BV		4.63			7/15/2026		500,000		580,650		588,198
EnPro Industries, Inc.		5.88			9/15/2022		400,000		402,711		408,000
Griffon Corp.		5.25			3/1/2022		1,800,000		1,786,639		1,751,220
StoneMor Partners LP/Cornerstone Family Services of West Virginia Subsidiary		7.88			6/1/2021		494,000		503,669		486,590
Total Diversified/Conglomerate Manufacturing							3,694,000		3,779,341		3,236,820
Diversified/Conglomerate Service — 4.7%*:
Algeco Global Finance PLC+		6.50			2/15/2023		700,000		850,200		831,030
Carlson Travel, Inc.^		6.75			12/15/2023		1,438,000		1,458,516		1,409,240
Carlson Travel, Inc.^		9.50			12/15/2024		277,000		277,000		250,685
Iron Mountain UK PLC		3.88			11/15/2025		450,000		597,667		561,877
La Financiere Atalian SASU+		6.63			5/15/2025		600,000		835,110		760,176
Nuance Communications, Inc.		5.63			12/15/2026		1,000,000		991,734		977,510
Prime Security Services Borrower LLC/Prime Finance, Inc.^		9.25			5/15/2023		3,000,000		3,216,997		3,194,100
ServiceMaster Co. LLC (The)^		5.13			11/15/2024		627,000		627,000		608,190
Verisure Midholding AB+		5.75			12/1/2023		1,950,000		2,285,391		2,206,981
Total Diversified/Conglomerate Service							10,042,000		11,139,615		10,799,789
Electronics — 2.3%*:
Solera LLC/Solera Finance, Inc.^		10.50			3/1/2024		376,000		421,411		417,597
TIBCO Software, Inc.^		11.38			12/1/2021		2,881,000		3,128,043		3,111,480
Veritas US, Inc./Veritas Bermuda Ltd.^		7.50			2/1/2023		817,000		865,332		765,937
Veritas US, Inc./Veritas Bermuda Ltd.^		10.50			2/1/2024		1,289,000		1,350,105		1,056,980
Total Electronics							5,363,000		5,764,891		5,351,994
Finance — 5.0%*:
Arrow Global Finance PLC+		5.13			9/15/2024		500,000		691,637		610,384
Cabot Financial Luxembourg SA+		7.50			10/1/2023		650,000		907,330		872,850
Galaxy Bidco Ltd.+		6.38	%		11/15/2020		350,000		499,613		459,880
Galaxy Finco Ltd.+		7.88			11/15/2021		700,000		1,008,098		910,439
Garfunkelux Holdco 2 SA+		11.00			11/1/2023		800,000		1,129,875		1,016,208
Garfunkelux Holdco 3 S.A.+		8.50			11/1/2022		850,000		1,166,229		1,088,471
Icahn Enterprises LP/Icahn Enterprises Finance Corp.		6.25			2/1/2022		300,000		307,877		306,000
Icahn Enterprises LP/Icahn Enterprises Finance Corp.		6.38			12/15/2025		381,000		381,000		381,476
Icahn Enterprises LP/Icahn Enterprises Finance Corp.		6.75			2/1/2024		1,250,000		1,250,000		1,259,375

See accompanying Notes to the Financial Statements.

108

Barings Global Credit Income Opportunities Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Finance (Continued)
Jerrold Finco PLC+		6.13	%		1/15/2024		450,000		$560,298		$596,895
LPL Holdings, Inc.^		5.75			9/15/2025		1,282,000		1,302,391		1,246,745
Nexi Capital SpA+		4.13			11/1/2023		700,000		795,452		801,111
Park Aerospace Holdings Ltd.+^		5.25			8/15/2022		1,000,000		998,114		990,010
VFH Parent LLC/Orchestra Co-Issuer, Inc.^		6.75			6/15/2022		921,000		963,926		950,942
Total Finance							10,134,000		11,961,839		11,490,786
Grocery — 0.1%*:
C&S Group Enterprises LLC^		5.38			7/15/2022		270,000		262,854		264,600
Healthcare, Education and Childcare — 3.8%*:
Avantor, Inc.^		6.00			10/1/2024		424,000		424,000		419,421
Avantor, Inc.^		9.00			10/1/2025		1,000,000		1,022,248		1,007,700
Cognita Financing PLC+		7.75			8/15/2021		500,000		723,888		669,774
CTC BondCo GmbH+		5.25			12/15/2025		400,000		480,823		444,876
IDH Finance PLC+		6.25			8/15/2022		400,000		503,286		480,828
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA^		6.63			5/15/2022		735,000		697,360		718,462
Synlab Unsecured Bondco PLC+		8.25			7/1/2023		750,000		938,301		922,664
Tenet Healthcare Corp.^		4.63			7/15/2024		465,000		465,000		440,448
Tenet Healthcare Corp.		8.13			4/1/2022		500,000		529,127		522,760
Teva Pharmaceutical Finance Netherlands III BV		6.00			4/15/2024		729,000		724,056		721,948
Unilabs Subholding AB+		5.75			5/15/2025		500,000		605,268		555,245
Valeant Pharmaceuticals International^		8.50			1/31/2027		210,000		210,000		212,625
Valeant Pharmaceuticals International, Inc.		4.50			5/15/2023		100,000		93,569		110,296
Valeant Pharmaceuticals International, Inc.^		5.50			11/1/2025		184,000		184,000		181,332
Valeant Pharmaceuticals International, Inc.^		6.13			4/15/2025		1,325,000		1,132,336		1,220,656
Valeant Pharmaceuticals International, Inc.^		9.00			12/15/2025		177,000		174,657		183,407
Total Healthcare, Education and Childcare							8,399,000		8,907,919		8,812,442
Home and Office Furnishings, Housewares, and Durable Consumer Products — 0.1%*:
LSF9 Balta Issuer SARL+		7.75			9/15/2022		162,000		210,538		197,406
Hotels, Motels, Inns and Gaming — 0.8%*:
TVL Finance PLC+		8.50			5/15/2023		480,000		676,755		661,670
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.^		5.50			3/1/2025		1,250,000		1,240,930		1,228,125
Total Hotels, Motels, Inns and Gaming							1,730,000		1,917,685		1,889,795
Insurance — 0.7%*:
Acrisure LLC/Acrisure Finance, Inc.^		7.00			11/15/2025		500,000		477,924		455,000
HUB International Ltd.^		7.00			5/1/2026		1,000,000		1,000,000		987,500
USIS Merger Sub, Inc.^		6.88			5/1/2025		146,000		146,000		145,270
Total Insurance							1,646,000		1,623,924		1,587,770

See accompanying Notes to the Financial Statements.

109

Barings Global Credit Income Opportunities Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Leisure, Amusement, Entertainment — 1.5%*:
Allegiant Travel Co.		5.50	%		7/15/2019		800,000		$811,630		$804,000
AMC Entertainment Holdings, Inc.		6.38			11/15/2024		750,000		967,487		1,001,196
Interval Acquisition Corp.		5.63			4/15/2023		459,000		459,000		462,727
Perform Group Financing PLC+		8.50			11/15/2020		850,000		1,170,859		1,138,884
Total Leisure, Amusement, Entertainment							2,859,000		3,408,976		3,406,807
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 0.5%*:
Apex Tool Group LLC/BC Mountain Finance, Inc.^		9.00			2/15/2023		622,000		618,672		601,785
Xerium Technologies, Inc.		9.50			8/15/2021		500,000		496,855		527,500
Total Machinery Non-Agriculture, Non-Construction, Non-Electronic							1,122,000		1,115,527		1,129,285
Mining, Steel, Iron and Non-Precious Metals — 2.6%*:
Allegheny Technologies, Inc.		5.95			1/15/2021		1,000,000		1,001,792		1,005,000
First Quantum Minerals Ltd.+^		6.50			3/1/2024		1,000,000		1,000,000		965,000
First Quantum Minerals Ltd.+^		7.00			2/15/2021		1,000,000		1,008,129		1,001,393
First Quantum Minerals Ltd.+^		7.50			4/1/2025		500,000		492,606		493,450
Northwest Acquisitions ULC/Dominion Finco, Inc.+^		7.13			11/1/2022		1,500,000		1,536,152		1,496,250
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.^		7.50			6/15/2025		654,000		645,284		665,445
Warrior Met Coal, Inc.^		8.00			11/1/2024		340,000		349,392		351,050
Total Mining, Steel, Iron and Non-Precious Metals							5,994,000		6,033,355		5,977,588
Oil and Gas — 6.0%*:
Chesapeake Energy Corp.^		8.00			12/15/2022		756,000		779,909		793,573
Citgo Holding, Inc.^		10.75			2/15/2020		1,350,000		1,400,920		1,436,062
EP Energy LLC/Everest Acquisition Finance, Inc.^		7.75			5/15/2026		744,000		744,000		760,740
EP Energy LLC/Everest Acquisition Finance, Inc.^		8.00			2/15/2025		1,343,000		1,298,538		1,040,825
Ferrellgas LP/Ferrellgas Finance Corp.		6.75			1/15/2022		1,000,000		1,008,304		905,000
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp.		8.63			6/15/2020		284,000		276,980		273,350
Genesis Energy LP/Genesis Energy Finance Corp.		6.00			5/15/2023		1,000,000		985,074		981,250
Genesis Energy LP/Genesis Energy Finance Corp.		6.75			8/1/2022		500,000		485,984		505,000
Jonah Energy LLC/Jonah Energy Finance Corp.^		7.25			10/15/2025		1,121,000		1,105,129		905,207
Jupiter Resources, Inc.+^		8.50			10/1/2022		1,450,000		1,258,028		594,500
KCA Deutag UK Finance PLC+^		9.63			4/1/2023		250,000		250,000		253,438
KCA Deutag UK Finance PLC+^		9.88			4/1/2022		300,000		311,131		310,047

See accompanying Notes to the Financial Statements.

110

Barings Global Credit Income Opportunities Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Oil and Gas (Continued)
Kosmos Energy Ltd.		7.88	%		8/1/2021		1,177,000		$1,146,693		$1,196,127
PBF Holding Co. LLC/PBF Finance Corp.		7.25			6/15/2025		1,100,000		1,139,731		1,156,375
QEP Resources, Inc.		5.63			3/1/2026		1,230,000		1,187,270		1,177,725
Welltec A/S+^		9.50			12/1/2022		1,637,000		1,637,994		1,645,185
Total Oil and Gas							15,242,000		15,015,685		13,934,404
Personal and Non-Durable Consumer Products Mfg. Only — 0.3%*:
Prestige Brands, Inc.^		6.38			3/1/2024		271,000		274,873		268,290
Samsonite Finco Sarl		3.50			5/15/2026		425,000		459,063		472,120
Total Personal and Non-Durable Consumer Products Mfg. Only							696,000		733,936		740,410
Personal, Food and Miscellaneous — 0.7%*:
Ocado Group PLC+		4.00			6/15/2024		350,000		449,120		462,004
Simmons Foods, Inc.^		5.75			11/1/2024		1,208,000		1,025,703		1,047,940
Total Personal, Food and Miscellaneous							1,558,000		1,474,823		1,509,944
Retail Stores — 1.9%*:
CBR Fashion Finance BV+		5.13			10/1/2022		650,000		700,178		648,181
House of Fraser Funding PLC, 3M GBP LIBOR + 5.750%+		6.38	#		9/15/2020		150,000		232,904		143,384
HSS Financing PLC+		6.75			8/1/2019		442,000		623,442		580,705
Jewel UK Bondco PLC+		8.50			4/15/2023		300,000		427,350		393,673
Maxeda DIY Holding B.V.+		6.13			7/15/2022		400,000		474,460		424,495
Penske Automotive Group, Inc.		5.50			5/15/2026		1,250,000		1,246,586		1,225,000
Takko Luxembourg 2 SCA, 3M USD LIBOR + 5.375%+		5.38	#		11/15/2023		450,000		511,675		480,149
Travelex Financing PLC+		8.00			5/15/2022		500,000		569,102		568,751
Total Retail Stores							4,142,000		4,785,697		4,464,338
Telecommunications — 2.6%*:
Cablevision Systems Corp.		5.88			9/15/2022		689,000		688,699		683,832
CCO Holdings LLC/CCO Holdings Capital Corp.^		5.88			5/1/2027		500,000		506,940		488,125
CenturyLink, Inc.		6.75			12/1/2023		1,000,000		1,000,000		1,005,000
Cequel Communications Holdings I LLC/Cequel Capital Corp.^		7.50			4/1/2028		386,000		386,000		390,709
InterXion Holding NV+		4.75			6/15/2025		350,000		411,828		410,201
TDC A/S+		5.63			2/23/2023		1,200,000		1,721,619		1,676,458
Telecom Italia SpA/Milano+		3.63			5/25/2026		600,000		756,680		737,061
Virgin Media Receivables Financing Notes II DAC+		5.75			4/15/2023		500,000		688,765		668,784
Total Telecommunications							5,225,000		6,160,531		6,060,170

See accompanying Notes to the Financial Statements.

111

Barings Global Credit Income Opportunities Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Textiles and Leather — 0.2%*:
Eagle Intermediate Global Holding BV/Ruyi US Finance LLC+		5.38	%		5/1/2023		350,000		$410,529		$405,583
Utilities — 0.4%*:
Nordex SE+		6.50			2/1/2023		250,000		310,488		272,267
Viridian Group Finance Co. PLC+		4.75			9/15/2024		600,000		797,453		730,284
Total Utilities							850,000		1,107,941		1,002,551
Total Corporate Bonds							105,589,953		113,958,702		109,036,490
Total Fixed Income							208,841,442		218,184,431		212,476,104

COUNTERPARTY

STRIKE PRICE

EXPIRATION DATE

CONTRACTS

NOTIONAL

COST

UNREALIZED VALUE

FAIR VALUE

Purchased Option — 0.3%*:

Put Option Purchased — 0.3%*:

S&P 500 Index

Morgan Stanley & Co.

$2,450.00

6/21/2019

95

25,824,515

$733,920

$43,085

$777,005

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Short-Term Investments — 8.2%*:
Bank Deposit — 8.2%*:
State Street Bank & Trust Co. Euro Time Deposit		0.28	%		7/2/2018		18,938,315		18,938,315		18,938,315
Total Investments							272,812,346		239,021,691		234,123,460
Other assets and liabilities – (1.1%)*											(2,624,383	)
Net Assets – 100.0%											$231,499,077

PIK Payment-in-kind

‡‡ Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

* Calculated as a percentage of net assets applicable to common shareholders.

+ Foreign security.

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:

United States	68.2%
United Kingdom	11.1%
Netherlands	3.9%
Germany	3.8%
Ireland	2.2%

See accompanying Notes to the Financial Statements.

112

Barings Global Credit Income Opportunities Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

France	1.9%
Denmark	1.8%
Canada	1.7%
Sweden	1.3%
Other (Individually less than 1%)	4.1%
Total	100.0%

^ Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers.

§ Bank loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for bank loans are the current interest rates at June 30, 2018. Bank loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown.

¤ For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 2).

†† Illiquid security.

*** Fixed-rate security.

~ Defaulted security.

# Variable rate security. The interest rate shown is the rate in effect at June 30, 2018.

A summary of outstanding derivatives at June 30, 2018 is as follows:

Forward Foreign Currency Exchange Contracts to Buy

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION
7/2/18	Bank of America N.A.		EUR	1,178,029	$	1,375,702	$	1,374,419	$	1,283
Net unrealized appreciation on forward foreign currency exchange contracts to buy									$	1,283

Forward Foreign Currency Exchange Contracts to Sell

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
7/12/18	Goldman Sachs & Co.		EUR	22,188,407	$	25,928,053	$	26,266,999	$	338,946
7/12/18	JPMorgan Chase Bank N.A.		EUR	731,460		854,740		860,399		5,659
7/12/18	Bank of America N.A.		EUR	1,528,029		1,785,564		1,783,488		(2,076	)
7/12/18	JPMorgan Chase Bank N.A.		GBP	614,149		810,844		824,620		13,776
7/12/18	Bank of America N.A.		GBP	95,005		125,432		127,325		1,893
7/12/18	Citibank N.A.		GBP	17,061,987		22,526,464		22,982,741		456,277
Net unrealized appreciation on forward foreign currency exchange contracts to sell									$	814,475

Currency Legend

EUR	–	Euro
GBP	–	British Pound Sterling

See accompanying Notes to the Financial Statements.

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June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 95.3%*:
Asset-Backed Securities — 41.1%*:
CDO/CLO — 4.4%*:
AIMCO CLO 2014-AA AR, 3M USD LIBOR + 1.100%^		3.46	#%		7/20/2026		1,200,000		$1,200,000		$1,200,131
ALM VII Ltd. 2012-7A A1R, 3M USD LIBOR + 1.480%^		3.83	#		10/15/2028		390,000		390,000		392,488
Apidos CLO XXV 2016-25A A1, 3M USD LIBOR + 1.460%^		3.82	#		10/20/2028		470,000		470,000		470,454
Avery Point III CLO Ltd. 2013-3A AR, 3M USD LIBOR + 1.120%^		3.48	#		1/18/2025		651,790		651,790		651,854
BlueMountain CLO Ltd. 2015-2A A1, 3M USD LIBOR + 1.430%^		3.79	#		7/18/2027		500,000		493,643		500,019
Denali Capital CLO Ltd. 2013 1A A1LR, 3M USD LIBOR + 1.050%^		3.41	#		10/26/2027		2,420,000		2,420,000		2,421,551
Galaxy XX CLO Ltd., 3M USD LIBOR + 1.000%^		3.36	#		4/20/2031		1,200,000		1,200,000		1,194,798
Hertz Vehicle Financing LLC 2018-3^		4.37			7/25/2024		620,000		621,548		619,772
LCM XXIII Ltd. 23A A1, 3M USD LIBOR + 1.400%^		3.76	#		10/20/2029		610,000		610,000		612,798
Madison Park Funding XIV Ltd. 2014-14A A1R, 3M USD LIBOR + 1.120%^		3.48	#		7/20/2026		290,000		290,000		290,042
Madison Park Funding XXII Ltd. 2016-22A A, 3M USD LIBOR + 1.480%^		3.84	#		10/25/2029		350,000		350,000		351,499
Magnetite XI Ltd. 2014-11A A1R, 3M USD LIBOR + 1.120%^		3.48	#		1/18/2027		890,000		890,000		890,097
Neuberger Berman CLO XX Ltd. 2015-20A BR, 3M USD LIBOR + 1.250%^		3.60	#		1/15/2028		2,000,000		2,000,000		1,990,064
OCP CLO Ltd. 2015-8A A2AR, 3M USD LIBOR + 1.450%^		3.80	#		4/17/2027		900,000		900,000		896,045
OHA Loan Funding Ltd. 2015-1A AR, 3M USD LIBOR + 1.410%^		3.75	#		8/15/2029		840,000		840,000		844,322
Race Point VIII CLO Ltd. 2013-8A AR, 3M USD LIBOR + 1.340%^		3.67	#		2/20/2030		1,320,000		1,320,000		1,327,215
RR 3 Ltd. Series 2018-3 A A1R2, 3M USD LIBOR + 1.090%^		3.44	#		1/15/2030		570,000		570,000		571,293
Seneca Park CLO Ltd. 2014-1A AR, 3M USD LIBOR + 1.120%^		3.47	#		7/17/2026		360,000		360,000		360,035
Symphony CLO XV Ltd. 2014-15A AR, 3M USD LIBOR + 1.180%^		3.53	#		10/17/2026		1,100,000		1,100,000		1,100,135
TCI-Symphony CLO Ltd. 2016-1A A, 3M USD LIBOR + 1.480%^		3.82	#		10/13/2029		320,000		320,000		321,140
Treman Park CLO Ltd. 2015-1A AR, 3M USD LIBOR + 1.370%^		3.73	#		4/20/2027		970,000		970,000		970,297
VMC Finance 2018-FL1 LLC, 1M USD LIBOR + 0.820%^		2.89	#		4/15/2035		926,861		926,861		927,240
Total CDO/CLO							18,898,651		18,893,842		18,903,289

See accompanying Notes to the Financial Statements.

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June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE			PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities — 36.7%*:
321 Henderson Receivables II LLC 2006-3A A1, 1M USD LIBOR + 0.200%^		2.27	# %		9/15/2041			129,482	$	125,821	$	123,043
Access Group, Inc. 2015-1 A, 1M USD LIBOR + 0.700%^		2.79	#		7/25/2056			126,362		123,634		126,187
Access Group, Inc. 2015-1 B, 1M USD LIBOR + 1.500%^		3.59	#		7/25/2058			100,000		86,557		89,553
AccessLex Institute 2002-A A2, 28 Day ARS¤		1.96	#		9/25/2037	��		550,000		508,218		546,700
AccessLex Institute 2004-A A3, 28 day ARS		1.70	#		7/1/2039			1,400,000		1,374,551		1,372,497
AccessLex Institute 2005-1 A3, 3M USD LIBOR + 0.150%		2.48	#		6/22/2022			20,708		20,506		20,706
Accredited Mortgage Loan Trust 2004-04 A2D, 1M USD LIBOR + 0.700%		2.79	#		1/25/2035			509,926		500,250		504,565
American Credit Acceptance Receivables Trust 2017-1 B^		2.39			2/16/2021			454,548		454,518		453,956
American Credit Acceptance Receivables Trust 2017-4 C^		2.94			1/10/2024			1,790,000		1,789,941		1,778,734
AmeriCredit Automobile Receivables Trust 2014-1 D		2.54			6/8/2020			310,000		309,792		309,955
Arbys Funding LLC 2015-1A A2^		4.97			10/30/2045			78,000		78,000		78,112
Argent Securities, Inc. Asset-Backed Pass-Through Certificates 2004-W10 M1, 1M USD LIBOR + 0.900%		2.99	#		10/25/2034			274,742		250,480		272,963
ARI Fleet Lease Trust 2016-A A3^		2.11			7/15/2024			200,000		199,971		198,807
Asset Backed Securities Corp. Home Equity Loan Trust 2005-HE1 M1, 1M USD LIBOR + 0.750%		2.84	#		3/25/2035			296,403		294,702		294,772
Avant Loans Funding Trust 2018-A^		3.09			6/15/2021			720,000		719,982		719,596
BCC Funding XIV LLC^		2.20			2/20/2019			2,508,324		2,508,324		2,507,105
BlueVirgo Trust 2015-1A^		3.00			12/15/2022			97,973		97,685		97,966
BRE Grand Islander Timeshare Issuer LLC 2017-1A A^		2.94			5/25/2029			248,032		247,975		241,887
BRE Grand Islander Timeshare Issuer LLC 2017-1A B^		3.24			5/25/2029			204,262		204,235		198,258
Capital Automotive LLC 2017-1A A1^		3.87			4/15/2047			306,383		306,296		305,778
Castlelake Aircraft Securitization Trust 2018-1^		4.13			6/15/2043			600,000		599,548		602,760
Cazenovia Creek Funding I LLC 2015-1A A^		2.00			12/10/2023			40,125		39,809		39,809
Centex Home Equity Loan Trust 2006-A AV4, 1M USD LIBOR + 0.250%		2.34	#		6/25/2036			132,391		129,400		132,612
Chase Education Loan Trust, 3M USD LIBOR + 0.220%		2.56	#		6/28/2040			797,663		753,132		752,869
Citigroup Mortgage Loan Trust Asset Backed Pass-Through Certificates 2005-OPT3 M2, 1M USD LIBOR + 0.675%		2.77	#		5/25/2035			78,215		78,028		78,263
CLI Funding V LLC 2013-1A^		2.83			3/18/2028			46,700		46,502		45,801
CLI Funding V LLC 2013-2A^		3.22			6/18/2028			932,191		922,314		919,129

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
CLI Funding V LLC 2014-1A A^		3.29	%		6/18/2029		782,180	$	778,320	$	769,726
CLI Funding VI LLC 2017-1A A^		3.62			5/18/2042		1,758,706		1,762,310		1,733,828
College Ave Student Loans LLC 2018-A, 1M USD LIBOR + 1.200%^		3.29	#		12/26/2047		460,334		460,334		460,240
College Loan Corp. Trust I 2005-2 B, 3M USD LIBOR + 0.490%		2.84	#		1/15/2037		179,552		158,860		168,372
Commonbond Student Loan Trust 2016-B A1^		2.73			10/25/2040		1,520,484		1,526,587		1,483,050
Commonbond Student Loan Trust 2017-A-GS^		5.28			5/25/2041		651,676		651,597		652,365
Commonbond Student Loan Trust 2018-A-GS^		3.82			2/25/2044		440,000		439,901		437,982
CPS Auto Receivables Trust 2015-C B^		2.55			2/18/2020		23,842		23,840		23,839
CPS Auto Receivables Trust 2016-C A^		1.62			1/15/2020		10,186		10,186		10,182
CPS Auto Receivables Trust 2016-C B^		2.48			9/15/2020		180,000		179,990		179,700
CPS Auto Receivables Trust 2018-A^		2.16			5/17/2021		281,152		281,148		280,123
CPS Auto Trust 2017-A B^		2.68			5/17/2021		1,200,000		1,200,000		1,196,569
Credit Suisse ABS Repackaging Trust 2013-A B^		2.50			1/25/2030		46,459		44,424		43,214
DB Master Finance LLC 2015-1A A2II^		3.98			2/20/2045		1,161,000		1,169,440		1,162,949
Diamond Resorts Owner Trust 2013-2 A^		2.27			5/20/2026		332,009		329,820		331,648
Diamond Resorts Owner Trust 2015-1 A^		2.73			7/20/2027		17,505		17,503		17,471
Diamond Resorts Owner Trust 2015-2 A^		2.99			5/22/2028		68,257		68,942		67,778
Diamond Resorts Owner Trust 2015-2 B^		3.54			5/22/2028		24,821		24,820		24,570
Diamond Resorts Owner Trust 2016-1 A^		3.08			11/20/2028		477,046		477,046		465,889
Domino’s Pizza Master Issuer LLC^		4.12			7/25/2048		660,000		660,000		677,343
DRB Prime Student Loan Trust 2015-A A2^		3.06			7/25/2031		54,325		53,694		53,971
DRB Prime Student Loan Trust 2015-B A2^		3.17			7/25/2031		154,152		153,602		153,553
DRB Prime Student Loan Trust 2015-B A3^		2.54			4/27/2026		19,667		19,666		19,378
DRB Prime Student Loan Trust 2015-D A1, 1M USD LIBOR + 1.700%^		3.79	#		1/25/2040		167,726		165,628		170,999
DRB Prime Student Loan Trust 2015-D A2^		3.20			1/25/2040		656,206		655,545		655,903
DRB Prime Student Loan Trust 2016-A A1, 1M USD LIBOR + 2.000%^		4.09	#		4/25/2040		867,460		887,687		891,635
DRB Prime Student Loan Trust 2016-B A2^		2.89			6/25/2040		179,708		179,657		175,852
DRB Prime Student Loan Trust 2016-R A1, 1M USD LIBOR + 1.900%^¤		3.99	#		10/25/2044		897,715		897,715		911,181
Drive Auto Receivables Trust 2015-AA C^		3.06			5/17/2021		121,212		122,150		121,364
Drive Auto Receivables Trust 2017-1 C		2.84			4/15/2022		350,000		349,960		349,469
Drive Auto Receivables Trust 2017-2 C		2.75			9/15/2023		200,000		199,992		199,568
Drive Auto Receivables Trust 2018-2		3.22			4/15/2022		380,000		379,951		380,145
Drug Royalty Corp Inc. 2012-1 A1, 3M USD LIBOR + 5.250%^		6.13	#		7/15/2024		20,590		20,977		20,713
DT Auto Owner Trust 2018-1^		2.59			5/17/2021		1,682,052		1,682,025		1,679,438
DT Auto Owner Trust 2018-1^		3.04			1/18/2022		570,000		569,955		568,027
Earnest Student Loan Program LLC 2016-B A1, 1M USD LIBOR + 2.050%^		4.14	#		2/26/2035		160,448		160,448		166,633
Earnest Student Loan Program LLC 2016-C A2^		2.68			7/25/2035		297,572		295,947		286,413
Earnest Student Loan Program LLC 2016-D A2^		2.72			1/25/2041		328,690		328,592		323,604

See accompanying Notes to the Financial Statements.

116

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
ECMC Group Student Loan Trust 2016-1A A, 1M USD LIBOR + 1.350%^		3.44	# %		7/26/2066		446,238	$	446,238	$	453,528
ECMC Group Student Loan Trust 2017-1A A, 1M USD LIBOR + 1.200%^		3.29	#		12/27/2066		1,266,328		1,266,328		1,287,447
ECMC Group Student Loan Trust 2018-1, 1M USD LIBOR + 0.750%^		2.84	#		2/27/2068		1,638,224		1,638,224		1,640,272
EdLinc Student Loan Funding Trust 2017-A A, 1M USD LIBOR - 1.150%^		3.35	#		12/1/2047		1,777,609		1,765,368		1,767,107
Education Loan Asset-Backed Trust I 2013-1 A1, 1M USD LIBOR + 0.800%^		2.89	#		6/25/2026		393,050		388,857		393,215
Elara HGV Timeshare Issuer LLC 2014-A B^		3.02	**#		2/25/2027		23,633		23,460		23,275
Elara HGV Timeshare Issuer LLC 2016-A A^		2.73			4/25/2028		1,521,180		1,492,502		1,488,484
Elara HGV Timeshare Issuer LLC 2017-A A^		2.69			3/25/2030		468,247		468,207		458,143
Element Rail Leasing II LLC 2015-1A A1+^		2.71			2/19/2045		339,016		336,114		334,548
Element Rail Leasing II LLC 2015-1A A1+^		3.97			3/19/2046		117,618		117,618		118,633
Element Rail Leasing II LLC 2016-1A A2+^		5.05			3/19/2046		800,000		813,080		833,218
ELFI Graduate Loan Program LLC 2018-A, 1M USD LIBOR + 0.750%^		2.84	#		8/25/2042		1,294,673		1,294,673		1,294,676
ELFI Graduate Loan Program LLC 2018-A^		4.00			8/25/2042		460,000		450,992		447,908
Entergy New Orleans Storm Recovery Funding I LLC 2015-1 A		2.67			6/1/2027		130,110		130,085		127,181
Enterprise Fleet Financing LLC 2016-1 A2^		1.83			9/20/2021		146,439		146,427		146,167
Enterprise Fleet Financing LLC 2017-1 A3^		2.60			7/20/2022		240,000		239,955		238,042
Exeter Automobile Receivables Trust 2015-2A C^		3.90			3/15/2021		800,000		807,642		806,453
Exeter Automobile Receivables Trust 2016-3A B^		2.84			8/16/2021		240,000		239,971		239,763
Exeter Automobile Receivables Trust 2017-1A B^		3.00			12/15/2021		430,000		429,930		429,746
Exeter Automobile Receivables Trust 2018-1^		2.75			4/15/2022		480,000		480,000		475,761
First Franklin Mortgage Loan Trust 2004-FFH4 M5, 1M USD LIBOR + 1.575%		3.67	#		1/25/2035		250,800		251,910		250,989
First Investors Auto Owner Trust 2016-2A B^		2.21			7/15/2022		520,000		519,980		512,419
First Investors Auto Owner Trust 2017-3A B^		2.72			4/17/2023		560,000		559,963		549,945
First Investors Auto Owner Trust 2018-1^		3.22			1/17/2023		540,000		539,952		539,951
Flagship Credit Auto Trust 2015-2 A^		1.98			10/15/2020		9,655		9,654		9,644
Flagship Credit Auto Trust 2015-3 A^		2.38			10/15/2020		101,283		101,520		101,158
Flagship Credit Auto Trust 2016-1 A^		2.77			12/15/2020		91,904		91,787		91,929
Flagship Credit Auto Trust 2016-3 B^		2.43			6/15/2021		310,000		309,982		308,104
Flagship Credit Auto Trust 2016-4 B^		2.41			10/15/2021		1,940,000		1,941,078		1,925,754
Flagship Credit Auto Trust 2016-4 C^		2.71			11/15/2022		410,000		409,983		405,763
Flagship Credit Auto Trust 2017-1 B^		2.83			3/15/2023		895,000		894,978		891,625
Flagship Credit Auto Trust 2017-4 C^		2.92			11/15/2023		1,140,000		1,139,048		1,118,425
Flagship Credit Auto Trust 2018-1^		3.13			1/17/2023		2,250,000		2,249,554		2,234,809
Flagship Credit Auto Trust 2018-2^		2.97			10/17/2022		916,894		916,894		915,861

See accompanying Notes to the Financial Statements.

117

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
FRS I LLC 2013-1A A1^		1.80	%		4/15/2043		13,866	$	13,731	$	13,777
Global SC Finance II SRL 2014-1A A1+^		3.19			7/17/2029		188,583		188,547		185,300
Goal Capital Funding Trust 2010-1 A, 3M USD LIBOR + 0.700%^		3.03	#		8/25/2048		175,769		168,831		175,589
Goal Structured Solution Trust 2015-1 B, 1M USD LIBOR + 1.500%^		3.59	#		9/25/2043		100,000		76,517		98,173
Goodgreen 2018-1^		3.93			10/15/2053		1,153,900		1,153,781		1,159,275
Goodgreen Trust 2016-1 A^		3.23			10/15/2052		507,760		507,513		492,288
Hero Funding 2017-3A A1^		3.19			9/20/2048		791,795		791,530		765,648
HERO FUNDING 2018-1^		4.67			9/20/2048		944,032		967,585		972,169
HERO Funding Trust 2015-1A A^		3.84			9/21/2040		808,817		823,344		828,523
HERO Funding Trust 2016-4A A1^		3.57			9/20/2047		347,237		347,102		346,321
HERO Funding Trust 2017-2A A1^		3.28			9/20/2048		123,842		123,826		122,272
HERO Funding Trust 2017-2A A2^		4.07			9/20/2048		97,304		99,688		98,642
Hertz Vehicle Financing II LP^		3.29			2/25/2024		2,830,000		2,766,860		2,771,336
Hertz Vehicle Financing II LP^		3.60			2/25/2024		1,320,000		1,319,554		1,283,122
Higher Education Funding I 2004-1 B1, 28 day ARS^		3.41			1/1/2044		950,000		829,766		892,662
Hilton Grand Vacations Trust 2013-A A^		2.28			1/25/2026		40,480		39,974		40,197
Hilton Grand Vacations Trust 2017-AA B^		2.96	**#		12/26/2028		295,080		295,068		286,808
Laurel Road Prime Student Loan Trust 2017-B CFX^		3.61			8/25/2042		452,635		452,566		434,318
Laurel Road Prime Student Loan Trust 2017-C B^		2.95			11/25/2042		590,000		589,773		567,876
Lendmark Funding Trust 2017-1A^		2.83			12/22/2025		570,000		569,011		565,045
Lendmark Funding Trust 2017-2A A^		2.80			5/20/2026		679,964		679,939		671,088
Lendmark Funding Trust 2018-1^		3.81			12/21/2026		630,000		629,966		631,712
Mariner Finance Issuance Trust 2017-AA A^		3.62			2/20/2029		480,000		479,914		481,516
Mariner Finance Issuance Trust 2017-BA B^		2.92			12/20/2029		2,100,000		2,099,794		2,069,559
Marlette Funding Trust 2016-1A A^		3.06			1/17/2023		46,233		46,270		46,250
Marlette Funding Trust 2017-1A A^		2.83			3/15/2024		654,929		656,465		654,579
Marlette Funding Trust 2017-2A A^		2.39			7/15/2024		213,858		213,857		213,408
Marlette Funding Trust 2017-3A A^		2.36			12/15/2024		302,668		302,653		301,455
Marlette Funding Trust 2018-1^		2.61			3/15/2028		1,857,679		1,857,593		1,852,429
Marlette Funding Trust 2018-2^		3.06			7/17/2028		570,000		570,000		569,999
Mosaic Solar Loan Trust 2018-2-GS^		4.20			2/20/2044		670,000		669,891		669,891
Mosaic Solar Loans LLC 2017-1A A^		4.45			6/20/2042		101,942		101,914		104,060
Mosaic Solar Loans LLC 2017-2A D^		Zero Coupon			9/20/2042		890,000		793,100		809,866
MVW Owner Trust 2013-1A A^		2.15			4/22/2030		276,965		274,975		271,761
MVW Owner Trust 2015-1A A^		2.52			12/20/2032		34,273		34,271		33,501
MVW Owner Trust 2016-1A A^		2.25			12/20/2033		1,563,361		1,550,294		1,521,406
MVW Owner Trust 2017-1A A^		2.42			12/20/2034		103,287		103,272		100,651
Nations Equipment Finance Funding III LLC 2016-1A A^		3.61			2/20/2021		38,804		38,804		38,819

See accompanying Notes to the Financial Statements.

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June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
Navient Private Education Loan Trust 2018-B, 1M USD LIBOR + 0.720%^		2.79	# %		12/15/2059		320,000	$	320,000	$	319,982
Navient Student Loan Trust 2015-1 B, 1M USD LIBOR + 1.500%		3.59	#		7/25/2052		1,100,000		1,094,546		1,136,988
Navient Student Loan Trust 2015-2 A3, 1M USD LIBOR + 0.570%		2.66	#		11/26/2040		500,000		492,793		500,000
Navient Student Loan Trust 2016-5A A, 1M USD LIBOR + 1.250%^		3.34	#		6/25/2065		987,266		991,519		1,013,100
Navient Student Loan Trust 2016-6 A3, 1M USD LIBOR + 1.300%^		3.39	#		3/25/2066		550,000		550,000		570,326
Navient Student Loan Trust 2017-1A A3, 1M USD LIBOR + 1.150%^		3.24	#		7/26/2066		1,000,000		1,000,000		1,024,291
Navient Student Loan Trust 2017-5A A, 1M USD LIBOR + 0.800%^		2.89	#		7/26/2066		577,347		576,687		582,673
Navient Student Loan Trust 2018-1A A3, 1M USD LIBOR + 0.720%^		2.81	#		3/25/2067		1,600,000		1,600,000		1,604,978
Navient Student Loan Trust 2018-2, 1M USD LIBOR + 0.750%^		2.84	#		3/25/2067		1,360,000		1,360,000		1,357,670
Navient Student Loan Trust 2018-3, 1M USD LIBOR + 0.800%^		2.89	#		3/25/2067		1,600,000		1,600,000		1,600,000
Navistar Financial Dealer Note Master Owner Trust II 2016-1 A, 1M LIBOR + 1.350%^		3.44	#		9/27/2021		550,000		550,000		551,360
Nelnet Private Education Loan Trust 2016-A A1A, 1M USD LIBOR + 1.750%^		3.65	#		12/26/2040		267,151		267,151		267,639
Nelnet Private Education Loan Trust 2016-A A1B^		3.60			12/26/2040		192,362		191,132		185,692
Nelnet Student Loan Trust 2006-2 B, 3M USD LIBOR + 0.200%		2.56	#		1/25/2038		1,080,866		1,015,526		1,010,869
Nelnet Student Loan Trust 2014-6A A, 1M USD LIBOR + 0.650%^		2.74	#		11/25/2052		334,062		323,793		335,345
Nelnet Student Loan Trust 2018-1A, 1M USD LIBOR + 0.760%^		2.85	#		5/25/2066		1,390,000		1,390,000		1,389,998
New Residential Advance Receivables Trust Advance Receivables Backed Notes 2016-T2 AT2^		2.58			10/15/2049		1,950,000		1,950,000		1,931,780
NextGear Floorplan Master Owner Trust 2015-2A A^		2.38			10/15/2020		100,000		99,996		99,917
NextGear Floorplan Master Owner Trust 2016-1A A1, 1M LIBOR + 1.700%^		3.77	#		4/15/2021		490,000		490,000		495,245
NextGear Floorplan Master Owner Trust 2016-2A A2^		2.19			9/15/2021		762,000		760,142		754,691
Northstar Education Finance, Inc. 2005-1 A5, 3M USD LIBOR + 0.750%		3.11	#		10/30/2045		188,658		180,827		187,224
NorthStar Student Loan Trust III 2016-1 A, 1M USD LIBOR + 1.250%^		3.34	#		5/27/2036		209,424		200,597		209,243

See accompanying Notes to the Financial Statements.

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June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
NovaStar Mortgage Funding Trust 2004-4 M5, 1M LIBOR + 1.725%		3.82	# %		3/25/2035		486,909	$	486,789	$	496,413
NP SPE II LLC 2017-1A A1^		3.37			10/21/2047		430,800		430,800		421,420
NRZ Advance Receivables Trust 2016-T4 AT4^		3.11			12/15/2050		900,000		900,000		899,133
OneMain Direct Auto Receivables Trust 2017-2A A^		2.31			12/14/2021		1,130,000		1,129,884		1,121,657
Orange Lake Timeshare Trust 2016-A A^		2.61			3/8/2029		188,448		188,429		181,153
Orange Lake Timeshare Trust 2016-A B^		2.91			3/8/2029		593,054		584,690		581,628
Oscar US Funding Trust II 2015 1A A3+^		1.86			10/15/2019		71,946		71,849		71,888
Oscar US Funding Trust II 2015 1A A4+^		2.44			6/15/2022		270,000		264,611		268,990
Oscar US Funding Trust IV 2016 1A A2B, 1M USD LIBOR + 1.700%+^		3.62	#		7/15/2020		23,016		23,016		23,098
Oscar US Funding Trust IV 2016-1A A2A+^		2.53			7/15/2020		57,540		57,630		57,512
Oscar US Funding Trust V 2016-2A A2A+^		2.31			11/15/2019		80,825		80,820		80,688
Oscar US Funding Trust VI LLC 2017-1A A3+^		2.82			6/10/2021		370,000		369,952		368,404
Oscar US Funding Trust VI LLC 2017-1A A4+^		3.30			5/10/2024		500,000		501,787		498,553
OSCAR US Funding Trust VIII LLC+^		2.91			4/12/2021		620,000		619,954		618,090
Oxford Finance Funding LLC 2016-1A A^		3.97			6/17/2024		170,000		170,000		169,243
PHEAA Student Loan Trust 2016-2A A, 1M USD LIBOR + 0.950%^		3.04	#		11/25/2065		621,261		621,261		629,211
Popular ABS Mortgage Pass-Through Trust 2006-B A3, 1M USD LIBOR + 0.280%		2.37	#		5/25/2036		64,702		62,254		64,644
Prestige Auto Receivables Trust 2015-1 B^		2.04			4/15/2021		32,394		32,465		32,388
Santander Drive Auto Receivables Trust 2014-4 D		3.10			11/16/2020		540,000		543,670		541,002
Santander Drive Auto Receivables Trust 2016-1 B		2.47			12/15/2020		168,668		168,664		168,644
Santander Drive Auto Receivables Trust 2016-1 D		4.02			4/15/2022		430,000		437,342		435,430
SBA Tower Trust^		2.88			7/9/2021		880,000		875,644		854,801
SBA Tower Trust^		3.17			4/11/2022		630,000		630,853		613,623
SBA Tower Trust 2014-1A C^		2.90			10/15/2044		590,000		591,503		586,261
Sierra Timeshare 2014-1 Receivables Funding LLC^		2.42			3/20/2030		1,019,471		1,016,353		1,016,533
Sierra Timeshare 2014-3 Receivables Funding LLC^		2.80			10/20/2031		634,531		631,805		631,588
Sierra Timeshare 2015-1 Receivables Funding LLC^		3.05			3/22/2032		719,168		716,518		715,120
Sierra Timeshare 2015-2 Receivables Funding LLC^		2.43			6/20/2032		563,946		559,098		557,584
Sierra Timeshare 2016-2 Receivables Funding LLC^		2.78			7/20/2033		487,896		483,394		482,139
Sierra Timeshare Receivables Funding LLC 2014-1A A^		2.07			3/20/2030		330,910		323,945		330,148

See accompanying Notes to the Financial Statements.

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June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
Sierra Timeshare Receivables Funding LLC 2014-2A A^		2.05	%		6/20/2031		44,430	$	43,977	$	44,232
Sierra Timeshare Receivables Funding LLC 2014-3A A^		2.30			10/20/2031		174,496		173,532		173,371
Sierra Timeshare Receivables Funding LLC 2015 3A B^		3.08			9/20/2032		24,585		24,585		24,408
Sierra Timeshare Receivables Funding LLC 2015-1A A^		2.40			3/22/2032		131,248		129,758		128,821
Sierra Timeshare Receivables Funding LLC 2015-2A B^		3.02			6/20/2032		1,087,610		1,082,686		1,081,141
Sierra Timeshare Receivables Funding LLC 2015-3A A^		2.58			9/20/2032		24,585		24,581		24,197
Sierra Timeshare Receivables Funding LLC 2017-1A A^		2.91			3/20/2034		708,048		710,618		702,106
SLC Private Student Loan Trust 2006-A C, 3M USD LIBOR + 0.450%		2.80	#		7/15/2036		350,000		311,634		336,645
SLC Student Loan Trust 2005-1 B, 3M USD LIBOR + 0.200%		2.54	#		2/15/2045		435,640		381,473		403,683
SLC Student Loan Trust 2006-2 B, 3M USD LIBOR + 0.230%		2.57	#		12/15/2039		1,939,345		1,799,942		1,824,437
SLC Student Loan Trust 2006-2 B, 3M USD LIBOR + 0.230%		2.59	#		1/25/2041		799,358		750,774		760,144
SLM Student Loan Trust 2003-14, 3M USD LIBOR + 0.600%^		2.96	#		10/25/2065		4,450,000		4,434,739		4,398,728
SLM Student Loan Trust 2003-14 A6, 3M USD LIBOR + 0.300%		2.66	#		7/25/2025		40,000		38,710		39,903
SLM Student Loan Trust 2003-4 B, 3M USD LIBOR + 0.650%		2.99	#		6/15/2038		115,058		105,788		110,456
SLM Student Loan Trust 2004-10, 3M USD LIBOR + 0.600%^		2.96	#		10/25/2029		1,100,000		1,100,000		1,104,813
SLM Student Loan Trust 2004-3A A6A, 3M USD LIBOR + 0.550%^		2.91	#		10/25/2064		1,550,000		1,522,283		1,541,578
SLM Student Loan Trust 2005-4 B, 3M USD LIBOR + 0.180%		2.54	#		7/25/2055		382,441		319,872		364,025
SLM Student Loan Trust 2005-6 B, 3M USD LIBOR + 0.290%		2.65	#		1/25/2044		1,618,704		1,505,270		1,512,829
SLM Student Loan Trust 2005-7, 3M USD LIBOR + 0.750%		3.11	#		1/25/2040		1,400,000		1,395,236		1,394,750
SLM Student Loan Trust 2005-9, 3M USD LIBOR + 0.300%		2.66	#		1/25/2041		932,506		889,670		890,247
SLM Student Loan Trust 2005-9, 3 mo. Euribor + 0.600%		2.96	#		1/25/2041		1,280,000		1,264,179		1,272,479
SLM Student Loan Trust 2006-10, 3M USD LIBOR + 0.150%		2.51	#		3/25/2044		1,800,000		1,735,062		1,736,132

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
SLM Student Loan Trust 2006-10, 3M USD LIBOR + 0.220%		2.58	# %		3/25/2044		1,436,601	$	1,355,416	$	1,355,562
SLM Student Loan Trust 2006-2, 3M USD LIBOR + 0.170%		2.53	#		1/25/2041		1,250,000		1,218,486		1,220,635
SLM Student Loan Trust 2006-5 B, 3M USD LIBOR + 0.210%		2.57	#		10/25/2040		642,000		569,345		608,290
SLM Student Loan Trust 2006-7 B, 3M USD LIBOR + 0.200%		2.56	#		1/27/2042		624,291		578,783		593,904
SLM Student Loan Trust 2006-9 A5, 3M USD LIBOR + 0.100%		2.46	#		1/26/2026		85,055		83,114		84,926
SLM Student Loan Trust 2007-1 A6, 3M USD LIBOR + 0.140%		2.50	#		1/27/2042		200,000		192,094		192,879
SMB Private Education Loan Trust 2014-A A2B, 1M USD LIBOR + 1.150%^		3.22	#		5/15/2026		584,591		588,613		590,160
SMB Private Education Loan Trust 2015-A A2B, 1M USD LIBOR + 1.000%^		3.07	#		6/15/2027		84,272		82,933		84,976
SMB Private Education Loan Trust 2015-A A3, 1M USD LIBOR + 1.500%^		3.57	#		2/17/2032		900,000		920,088		922,681
SMB Private Education Loan Trust 2015-C A3, 1M USD LIBOR + 1.950%^		4.02	#		8/16/2032		700,000		730,223		732,109
SMB Private Education Loan Trust 2016-B A2B, 1M USD LIBOR + 1.450%^		3.52	#		2/17/2032		124,069		124,069		126,684
SMB Private Education Loan Trust 2016-C A2B, 1M USD LIBOR + 1.100%^		3.17	#		9/15/2034		280,000		280,000		283,846
SMB Private Education Loan Trust 2017-B A2B, 1M USD LIBOR + 0.750%^		2.82	#		10/15/2035		670,000		670,000		671,956
SMB Private Education Loan Trust 2018-B, 1M USD LIBOR + 0.720%^		2.80	#		1/15/2037		1,050,000		1,050,000		1,049,773
SoFi Consumer Loan Program LLC 2016-1A A^		3.26			8/25/2025		544,021		545,822		542,835
SoFi Consumer Loan Program LLC 2016-2A A^		3.09			10/27/2025		200,427		200,401		200,091
SoFi Consumer Loan Program LLC 2016-3 A^		3.05			12/26/2025		183,774		183,771		183,207
SoFi Consumer Loan Program LLC 2016-5 A^		3.06			9/25/2028		1,059,739		1,056,551		1,055,383
SoFi Consumer Loan Program LLC 2017-2 A^		3.28			2/25/2026		468,042		467,364		467,624
SoFi Consumer Loan Program LLC 2017-3 A^		2.77			5/25/2026		709,807		709,807		704,208
SoFi Consumer Loan Program Trust 2015-1 A^		3.28			9/15/2023		362,326		362,495		362,887
Sofi Professional Loan Program 2018-A LLC^¤		Zero Coupon			2/25/2042		1,372,500		991,656		985,730
Sofi Professional Loan Program 2018-B Trust^¤		Zero Coupon			8/26/2047		1,265,700		687,529		721,196
SoFi Professional Loan Program LLC 2015-A RC^¤		Zero Coupon			3/25/2033		300		844,125		442,500
SoFi Professional Loan Program LLC 2015-C A2^		2.51			8/25/2033		36,418		36,245		35,795
SoFi Professional Loan Program LLC 2016 A A1, 1M USD LIBOR + 1.750%^		3.84	#		8/25/2036		138,507		137,328		142,734

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
SoFi Professional Loan Program LLC 2016-B A1, 1M USD LIBOR + 1.200%^		3.29	# %		6/25/2033		480,937	$	486,423	$	487,723
SoFi Professional Loan Program LLC 2016-D A1, 1M USD LIBOR + 0.950%^		3.04	#		1/25/2039		101,868		101,868		102,577
SoFi Professional Loan Program LLC 2016-E A2B^		2.49			1/25/2036		330,000		329,385		322,195
SoFi Professional Loan Program LLC 2017-D R1^¤		Zero Coupon			9/25/2040		1,233,700		714,350		740,220
SpringCastle America Funding LLC 2016-AA A^		3.05			4/25/2029		410,059		410,045		408,543
Springleaf Funding Trust 2016-AA A^		2.90			11/15/2029		1,560,000		1,559,784		1,551,962
SPS Servicer Advance Receivable 2016-T1 AT1^		2.53			11/16/2048		1,040,000		1,039,912		1,044,763
SVO VOI Mortgage LLC 2012-AA A^		2.00			9/20/2029		267,556		264,228		263,083
Taco Bell Funding LLC 2016-1A A2I^		3.83			5/25/2046		2,245,800		2,263,388		2,248,783
TAL Advantage LLC 2017-1A A		4.50			4/20/2042		638,576		646,109		651,193
Tesla Auto Lease Trust 2018-A^		2.32			12/20/2019		423,130		423,123		421,838
Tesla Auto Lease Trust 2018-A^		2.75			2/20/2020		275,000		274,982		273,964
TLF National Tax Lien Trust 2017-1^		3.09			12/15/2029		1,043,845		1,043,809		1,043,183
TPG Real Estate Finance 2018-FL-1 Issuer Ltd., 1M USD LIBOR + 0.750%^		2.82	#		2/15/2035		680,000		680,000		679,996
Trafigura Securitisation Finance PLC 2017-1, 1M USD LIBOR + 1.700%+^		3.77	#		12/15/2020		900,000		902,576		901,628
Trinity Rail Leasing LP^		3.82			6/17/2048		1,000,000		999,632		999,632
TRIP Rail Master Funding LLC 2011-1A A2^		6.02			7/15/2041		1,249,401		1,332,939		1,316,939
TRIP Rail Master Funding LLC 2014-1A A2^		4.09			4/15/2044		700,000		713,771		694,913
TRIP Rail Master Funding LLC 2017-1A A1^		2.71			8/15/2047		209,395		209,392		206,425
VSE VOI Mortgage LLC 2016-A A^		2.54			7/20/2033		476,214		476,169		465,475
Wachovia Student Loan Trust 2005-1 B, 3M USD LIBOR + 0.300%		2.66	#		10/25/2040		718,127		659,037		663,970
Welk Resorts LLC 2017-AA B^		3.41			6/15/2033		330,170		330,117		322,359
Westgate Resorts LLC 2015-2A A^		3.20			7/20/2028		143,173		143,016		143,110
Westgate Resorts LLC 2017-1A A^		3.05			12/20/2030		389,815		389,815		386,177
Westgate Resorts LLC 2018-1^		3.38			12/20/2031		762,327		761,001		760,905
Total Other Asset-Backed Securities							160,482,334		158,443,110		158,107,550
Total Asset-Backed Securities							179,380,985		177,336,952		177,010,839
Corporate Bonds — 46.0%*:
Advertising — 0.2%*:
S&P Global, Inc.		3.30			8/14/2020		700,000		716,485		700,751
Aerospace/Defense — 0.5%*:
Harris Corp.		2.70			4/27/2020		2,140,000		2,135,457		2,121,054

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Agriculture — 1.0%*:
Bunge Ltd. Finance Corp.		3.00	%		9/25/2022		1,040,000	$	1,035,101	$	1,001,339
Bunge Ltd. Finance Corp.		3.50			11/24/2020		1,220,000		1,242,080		1,219,284
Imperial Brands Finance PLC+^		2.05			7/20/2018		335,000		334,969		334,934
Imperial Brands Finance PLC+^		2.95			7/21/2020		1,747,000		1,768,050		1,728,994
Total Agriculture							4,342,000		4,380,200		4,284,551
Airlines — 0.4%*:
Delta Air Lines, Inc.		3.63			3/15/2022		1,700,000		1,710,023		1,680,815
Auto Manufacturers — 1.6%*:
Ford Motor Credit Co. LLC, 3M USD LIBOR + 0.810%		2.83	#		4/5/2021		1,135,000		1,135,000		1,138,957
Ford Motor Credit Co. LLC, 3M USD LIBOR +1.235%		3.59	#		2/15/2023		985,000		985,000		991,065
General Motors Financial Co., Inc.		3.25			1/5/2023		2,590,000		2,544,070		2,509,892
Hyundai Capital America^		2.00			7/1/2019		70,000		69,983		69,089
Hyundai Capital America^		2.40			10/30/2018		150,000		150,009		149,779
Hyundai Capital America^		2.55			2/6/2019		1,138,000		1,140,493		1,133,798
Hyundai Capital America^		3.00			10/30/2020		480,000		484,271		473,409
Nissan Motor Acceptance Corp.+^		1.90			9/14/2021		670,000		666,410		637,618
Total Auto Manufacturers							7,218,000		7,175,236		7,103,607
Auto Parts&Equipment — 0.5%*:
Lear Corp.		5.25			1/15/2025		300,000		320,972		308,536
Lear Corp.		5.38			3/15/2024		1,660,000		1,762,082		1,721,850
Total Auto Parts&Equipment							1,960,000		2,083,054		2,030,386
Beverages — 0.6%*:
Anheuser-Busch InBev Finance, Inc.+		2.65			2/1/2021		373,000		377,203		367,859
Anheuser-Busch InBev Worldwide, Inc.+		3.50			1/12/2024		761,000		756,708		756,301
Maple Escrow Subsidiary, Inc.^		4.06			5/25/2023		1,305,000		1,305,000		1,308,182
Molson Coors Brewing Co.		2.10			7/15/2021		325,000		323,182		311,652
Total Beverages							2,764,000		2,762,093		2,743,994
Biotechnology — 0.4%*:
Celgene Corp.		3.25			2/20/2023		804,000		784,377		785,392
Celgene Corp.		3.55			8/15/2022		475,000		487,028		471,386
Celgene Corp.		4.00			8/15/2023		619,000		632,556		624,257
Total Biotechnology							1,898,000		1,903,961		1,881,035
Chemicals — 1.7%*:
CF Industries, Inc.		7.13			5/1/2020		151,000		162,334		159,494
Incitec Pivot Finance LLC+^		6.00			12/10/2019		1,443,000		1,508,201		1,491,938
LyondellBasell Industries NV		5.00			4/15/2019		945,000		963,510		954,343
LyondellBasell Industries NV		6.00			11/15/2021		985,000		1,088,255		1,054,159

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Chemicals (Continued)
RPM International, Inc.		3.45	%		11/15/2022		380,000	$	391,248	$	374,347
RPM International, Inc.		6.13			10/15/2019		1,205,000		1,259,433		1,246,260
Sherwin-Williams Co. (The)		2.75			6/1/2022		1,245,000		1,245,820		1,206,399
Syngenta Finance NV+^		3.70			4/24/2020		790,000		790,000		787,131
Total Chemicals							7,144,000		7,408,801		7,274,071
Commercial Banks — 7.5%*:
Banco Santander SA+		3.50			4/11/2022		2,400,000		2,412,357		2,341,045
Bancolombia SA+		5.95			6/3/2021		315,000		335,156		331,676
Bank of America Corp.		2.82	**#		7/21/2023		4,320,000		4,292,223		4,177,123
Barclays PLC, 3M USD LIBOR + 1.380%+		3.71	#		5/16/2024		885,000		885,000		877,699
Citigroup, Inc.		3.14	**#		1/24/2023		2,140,000		2,127,883		2,096,596
Compass Bank		5.50			4/1/2020		2,403,000		2,488,267		2,472,209
Discover Bank		3.35			2/6/2023		1,667,000		1,667,136		1,624,487
Discover Bank		4.20			8/8/2023		635,000		653,269		640,731
First Horizon National Corp.		3.50			12/15/2020		1,870,000		1,882,773		1,876,249
Goldman Sachs Group, Inc. (The)		2.88			2/25/2021		3,285,000		3,319,837		3,242,270
Goldman Sachs Group, Inc. (The)		3.20			2/23/2023		980,000		979,178		954,954
JPMorgan Chase & Co.		4.50			1/24/2022		2,045,000		2,161,084		2,115,373
Macquarie Bank Ltd.+^		2.85			1/15/2021		130,000		132,538		128,032
Mitsubishi UFJ Financial Group, Inc.+		2.67			7/25/2022		2,345,000		2,290,042		2,263,327
Morgan Stanley MTN		3.75			2/25/2023		2,365,000		2,437,739		2,367,681
Regions Financial Corp.		3.20			2/8/2021		1,940,000		1,976,330		1,929,954
Sumitomo Mitsui Financial Group, Inc.+		2.06			7/14/2021		682,000		677,505		654,033
Sumitomo Mitsui Financial Group, Inc.+		2.85			1/11/2022		580,000		584,070		566,490
SVB Financial Group		5.38			9/15/2020		200,000		210,898		208,490
Synchrony Bank		3.00			6/15/2022		1,380,000		1,357,509		1,328,927
Turkiye Garanti Bankasi AS+^		4.75			10/17/2019		325,000		329,699		322,049
Total Commercial Banks							32,892,000		33,200,493		32,519,395
Construction Materials — 1.2%*:
Holcim US Finance Sarl & Cie SCS+^		6.00			12/30/2019		1,990,000		2,090,327		2,062,433
Martin Marietta Materials, Inc., 3M USD LIBOR + 0.500%		2.82	#		12/20/2019		445,000		445,000		445,734
Martin Marietta Materials, Inc., 3M USD LIBOR + 0.650%		2.98	#		5/22/2020		530,000		530,000		531,295
Masco Corp.		3.50			4/1/2021		590,000		594,878		589,226
Masco Corp.		7.13			3/15/2020		124,000		133,622		131,343
Standard Industries, Inc.^		5.50			2/15/2023		1,385,000		1,423,051		1,398,850
Total Construction Materials							5,064,000		5,216,878		5,158,881
Diversified Financial Services — 3.1%*:
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust+		3.95			2/1/2022		1,530,000		1,563,789		1,520,974

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Diversified Financial Services (Continued)
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust+		4.50	%		5/15/2021		300,000	$	313,918	$	305,663
Aircastle Ltd.		5.00			4/1/2023		2,471,000		2,633,449		2,480,266
Ally Financial, Inc.		4.75			9/10/2018		2,581,000		2,590,697		2,585,839
Athene Global Funding^		4.00			1/25/2022		2,551,000		2,587,518		2,569,286
Genpact Luxembourg Sarl^		3.70			4/1/2022		1,575,000		1,578,309		1,538,626
Lazard Group LLC		4.25			11/14/2020		2,173,000		2,246,851		2,215,538
Total Diversified Financial Services							13,181,000		13,514,531		13,216,192
Electric — 1.7%*:
Ameren Corp.		2.70			11/15/2020		760,000		766,517		751,601
Duke Energy Corp.		1.80			9/1/2021		780,000		764,964		746,618
EDP Finance BV+^		4.13			1/15/2020		981,000		1,002,864		989,025
Enel Finance International NV+^		2.88			5/25/2022		1,050,000		1,047,505		1,000,468
Entergy Corp.		4.00			7/15/2022		750,000		776,741		760,445
Entergy Texas, Inc.		2.55			6/1/2021		460,000		459,923		449,738
Entergy Texas, Inc.		7.13			2/1/2019		934,000		961,010		955,509
Israel Electric Corp. Ltd.+^		7.25			1/15/2019		607,000		621,176		618,685
Puget Energy, Inc.		6.00			9/1/2021		675,000		741,666		721,903
Puget Energy, Inc.		6.50			12/15/2020		321,000		350,338		343,760
Total Electric							7,318,000		7,492,704		7,337,752
Electronics — 0.2%*:
FLIR Systems, Inc.		3.13			6/15/2021		480,000		486,886		474,740
Tech Data Corp.		3.70			2/15/2022		260,000		259,709		254,297
Total Electronics							740,000		746,595		729,037
Food — 0.9%*:
Danone SA+^		2.08			11/2/2021		2,110,000		2,097,406		2,017,111
JBS Investments GmbH^		7.75			10/28/2020		415,000		432,066		422,262
Mondelez International Holdings Netherlands B.V.^		2.00			10/28/2021		1,419,000		1,386,755		1,353,809
Total Food							3,944,000		3,916,227		3,793,182
Healthcare-Products — 1.5%*:
Abbott Laboratories		2.90			11/30/2021		1,460,000		1,465,009		1,437,040
Abbott Laboratories		3.25			4/15/2023		275,000		271,087		271,140
Becton Dickinson and Co., 3M USD LIBOR + 0.875%		3.21	#		12/29/2020		2,135,000		2,136,607		2,138,488
Boston Scientific Corp.		2.85			5/15/2020		350,000		351,993		347,396
CVS Health Corp.		2.13			6/1/2021		1,815,000		1,801,121		1,744,745
CVS Health Corp.		3.70			3/9/2023		620,000		614,760		616,856
Total Healthcare-Products							6,655,000		6,640,577		6,555,665

See accompanying Notes to the Financial Statements.

126

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Healthcare-Services — 1.2%*:
Cigna Corp.		4.00	%		2/15/2022		942,000	$	984,178	$	955,164
Cigna Corp.		4.50			3/15/2021		1,170,000		1,228,019		1,194,740
HCA, Inc.		3.75			3/15/2019		2,160,000		2,175,962		2,168,100
Laboratory Corp. of America Holdings		2.63			2/1/2020		710,000		711,440		704,339
Total Healthcare-Services							4,982,000		5,099,599		5,022,343
Home Builders — 0.5%*:
Lennar Corp.		4.50			6/15/2019		150,000		151,156		150,375
Lennar Corp.		4.50			11/15/2019		1,090,000		1,108,333		1,096,813
Lennar Corp.		4.75			4/1/2021		900,000		930,386		912,825
Total Home Builders							2,140,000		2,189,875		2,160,013
Insurance — 3.1%*:
American International Group, Inc.		3.30			3/1/2021		1,125,000		1,132,933		1,124,205
AmTrust Financial Services, Inc.		6.13			8/15/2023		780,000		775,753		751,725
CNA Financial Corp.		5.75			8/15/2021		941,000		1,010,794		998,088
Enstar Group Ltd.+		4.50			3/10/2022		950,000		960,014		946,967
Jackson National Life Global Funding^		2.50			6/27/2022		1,925,000		1,921,248		1,855,750
Lincoln National Corp.		4.00			9/1/2023		222,000		229,139		223,822
Lincoln National Corp.		4.20			3/15/2022		725,000		764,714		742,978
Lincoln National Corp.		6.25			2/15/2020		400,000		420,865		419,283
Nuveen FIinance LLC^		2.95			11/1/2019		2,070,000		2,088,259		2,061,925
Reinsurance Group of America, Inc.		5.00			6/1/2021		1,429,000		1,513,227		1,480,953
Trinity Acquisition PLC		3.50			9/15/2021		1,316,000		1,328,309		1,305,241
Willis Towers Watson PLC		5.75			3/15/2021		370,000		392,548		390,071
XLIT Ltd.		5.75			10/1/2021		925,000		1,011,576		986,958
Total Insurance							13,178,000		13,549,379		13,287,966
Internet — 0.5%*:
Expedia, Inc.		5.95			8/15/2020		746,000		797,357		783,180
Expedia, Inc.		7.46			8/15/2018		1,249,000		1,257,012		1,255,058
Total Internet							1,995,000		2,054,369		2,038,238
Investment Company Security — 0.7%*:
Ares Capital Corp.		3.63			1/19/2022		420,000		423,213		409,580
Ares Capital Corp.		3.88			1/15/2020		607,000		615,537		608,984
Ares Capital Corp.		4.88			11/30/2018		200,000		201,342		201,429
FS Investment Corp.		4.00			7/15/2019		853,000		856,473		853,817
TCP Capital Corp.		4.13			8/11/2022		1,140,000		1,135,863		1,088,176
Total Investment Company Security							3,220,000		3,232,428		3,161,986
IT Services — 0.9%*:
Dell International LLC/EMC Corp.^		3.48			6/1/2019		405,000		405,790		406,020
Dell International LLC/EMC Corp.^		4.42			6/15/2021		1,180,000		1,216,429		1,197,255

See accompanying Notes to the Financial Statements.

127

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
IT Services (Continued)
DXC Technology Co.		2.88	%		3/27/2020		270,000	$	269,505	$	268,066
Leidos Holdings, Inc.		4.45			12/1/2020		1,975,000		2,019,252		1,989,812
Total IT Services							3,830,000		3,910,976		3,861,153
Leisure Time — 0.3%*:
Brunswick Corp.^		4.63			5/15/2021		1,476,000		1,497,999		1,476,063
Lodging — 0.4%*:
Marriott International, Inc.		2.30			1/15/2022		300,000		299,198		287,729
Marriott International, Inc.		2.88			3/1/2021		1,345,000		1,360,174		1,326,326
Total Lodging							1,645,000		1,659,372		1,614,055
Machinery-Diversified — 0.6%*:
CNH Industrial Capital LLC		3.38			7/15/2019		945,000		950,331		945,756
CNH Industrial Capital LLC		3.88			10/15/2021		1,110,000		1,124,983		1,104,450
CNH Industrial NV+		4.50			8/15/2023		450,000		460,260		452,430
Total Machinery-Diversified							2,505,000		2,535,574		2,502,636
Media — 0.9%*:
Charter Communications Operating LLC/Charter Communications Operating Capital		3.58			7/23/2020		1,130,000		1,143,705		1,128,565
Discovery Communications LLC		2.95			3/20/2023		545,000		544,404		521,199
Sirius XM Radio, Inc.^		3.88			8/1/2022		2,188,000		2,216,054		2,111,420
Viacom, Inc.		2.75			12/15/2019		118,000		119,395		116,930
Total Media							3,981,000		4,023,558		3,878,114
Mining — 1.6%*:
Anglo American Capital PLC+^		3.75			4/10/2022		1,350,000		1,366,384		1,340,293
Glencore Finance Canada Ltd.+^		4.25			10/25/2022		484,000		506,488		489,464
Glencore Funding LLC+^		3.00			10/27/2022		730,000		728,115		699,640
Glencore Funding LLC+^		4.13			5/30/2023		980,000		975,499		977,854
Kinross Gold Corp.		5.13			9/1/2021		990,000		1,042,780		1,015,691
Kinross Gold Corp.+		5.95			3/15/2024		1,070,000		1,109,861		1,096,750
Newcrest Finance Pty Ltd.+^		4.20			10/1/2022		1,145,000		1,200,701		1,146,272
Total Mining							6,749,000		6,929,828		6,765,964
Office/Business Equip — 0.6%*:
Pitney Bowes, Inc.		3.63			10/1/2021		2,765,000		2,744,333		2,599,238
Oil and Gas — 0.6%*:
Antero Resources Corp.		5.38			11/1/2021		480,000		489,867		486,000
Continental Resources, Inc.		5.00			9/15/2022		1,260,000		1,280,498		1,276,648
EQT Corp.		3.00			10/1/2022		1,045,000		1,042,063		1,006,598
Total Oil and Gas							2,785,000		2,812,428		2,769,246

See accompanying Notes to the Financial Statements.

128

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Packaging and Containers — 0.5%*:
Graphic Packaging International, Inc.		4.75	%		4/15/2021		2,096,000	$	2,178,977	$	2,116,960
Pharmaceuticals — 2.2%*:
AbbVie, Inc.		2.30			5/14/2021		150,000		149,140		145,759
Bayer US Finance II LLC, 3M USD LIBOR + 1.010%^		3.35	#		12/15/2023		1,795,000		1,795,000		1,794,907
Cardinal Health, Inc., 3M USD LIBOR + 0.770%		3.11	#		6/15/2022		2,145,000		2,155,406		2,142,855
Express Scripts Holding Co.		3.30			2/25/2021		1,590,000		1,609,824		1,584,169
Express Scripts Holding Co.		4.75			11/15/2021		950,000		1,010,415		980,121
Shire Acquisitions Investments Ireland DAC		2.40			9/23/2021		630,000		625,528		603,139
Teva Pharmaceutical Finance Netherlands III B.V.		2.20			7/21/2021		2,390,000		2,337,502		2,216,814
Total Pharmaceuticals							9,650,000		9,682,815		9,467,764
Pipelines — 1.4%*:
Andeavor Logistics LP/Tesoro Logistics Finance Corp.		3.50			12/1/2022		290,000		289,199		283,352
Energy Transfer Partners LP		4.20			9/15/2023		2,125,000		2,124,537		2,123,957
EQT Midstream Partners LP		4.75			7/15/2023		1,250,000		1,247,021		1,247,986
Williams Cos., Inc. (The)		3.70			1/15/2023		2,320,000		2,268,442		2,244,600
Total Pipelines							5,985,000		5,929,199		5,899,895
Real Estate Investment Trusts — 1.3%*:
American Tower Corp.		2.25			1/15/2022		330,000		329,681		315,492
American Tower Corp.		3.00			6/15/2023		1,400,000		1,396,038		1,342,433
American Tower Corp.		3.30			2/15/2021		530,000		535,303		529,426
Crown Castle International Corp.		3.40			2/15/2021		1,272,000		1,293,442		1,270,510
Digital Realty Trust LP		3.40			10/1/2020		385,000		387,376		384,865
Healthcare Trust of America Holdings LP		2.95			7/1/2022		370,000		369,816		358,014
Simon Property Group LP		2.35			1/30/2022		955,000		950,813		920,801
Weyerhaeuser Co.		7.38			10/1/2019		315,000		331,710		330,997
Total REITS							5,557,000		5,594,179		5,452,538
Retail — 0.7%*:
AutoNation, Inc.		3.35			1/15/2021		1,365,000		1,377,413		1,356,060
Dollar Tree, Inc.		3.70			5/15/2023		1,070,000		1,062,644		1,060,397
QVC, Inc.		3.13			4/1/2019		857,000		862,790		856,006
Total Retail							3,292,000		3,302,847		3,272,463
Semiconductors — 0.9%*:
Broadcom Corp./Broadcom Cayman Finance Ltd.		3.00			1/15/2022		1,785,000		1,780,844		1,736,199
Microchip Technology, Inc.^		3.92			6/1/2021		835,000		835,000		836,387
NXP BV/NXP Funding LLC^		4.13			6/1/2021		1,270,000		1,295,811		1,266,825
Total Semiconductors							3,890,000		3,911,655		3,839,411

See accompanying Notes to the Financial Statements.

129

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Telecommunications — 1.6%*:
Hughes Satellite Systems Corp.		6.50	%		6/15/2019		1,932,000	$	2,001,430	$	1,977,305
Sprint Communications, Inc.		9.25			4/15/2022		1,005,000		1,194,756		1,130,625
Telefonaktiebolaget LM Ericsson+		4.13			5/15/2022		3,220,000		3,242,530		3,171,985
Verizon Communications, Inc.		2.95			3/15/2022		760,000		770,026		745,909
Total Telecommunications							6,917,000		7,208,742		7,025,824
Transportation — 0.8%*:
Penske Truck Leasing Co. LP/PTL Finance Corp.^		2.50			6/15/2019		285,000		283,686		283,424
Penske Truck Leasing Co. LP/PTL Finance Corp.^		2.70			3/14/2023		410,000		402,506		389,358
Penske Truck Leasing Co. LP/PTL Finance Corp.^		3.05			1/9/2020		590,000		594,833		587,222
Penske Truck Leasing Co. LP/PTL Finance Corp.^		3.20			7/15/2020		135,000		134,959		134,667
Penske Truck Leasing Co. LP/PTL Finance Corp.^		3.30			4/1/2021		240,000		244,619		238,123
Penske Truck Leasing Co. LP/PTL Finance Corp.^		3.38			2/1/2022		80,000		81,054		78,852
Penske Truck Leasing Co. LP/PTL Finance Corp.^		4.88			7/11/2022		490,000		528,687		509,481
Ryder System, Inc. MTN		2.25			9/1/2021		635,000		631,605		613,263
Ryder System, Inc. MTN		2.45			9/3/2019		200,000		201,621		198,727
Ryder System, Inc. MTN		2.55			6/1/2019		185,000		184,881		184,321
Ryder System, Inc. MTN		2.88			9/1/2020		310,000		310,363		306,599
Total Transportation							3,560,000		3,598,814		3,524,037
Trucking and Leasing — 1.3%*:
Aviation Capital Group LLC^		2.88			9/17/2018		1,465,000		1,466,543		1,465,274
Aviation Capital Group LLC^		2.88			1/20/2022		750,000		746,813		725,420
Aviation Capital Group LLC^		6.75			4/6/2021		200,000		212,938		216,042
DAE Funding LLC+^		4.00			8/1/2020		276,000		276,000		272,895
GATX Corp.		2.50			7/30/2019		250,000		251,139		248,376
GATX Corp.		2.60			3/30/2020		685,000		681,259		676,671
Park Aerospace Holdings Ltd.+^		5.25			8/15/2022		2,230,000		2,294,202		2,207,722
Total Trucking and Leasing							5,856,000		5,928,894		5,812,400
Venture Capital — 0.4%*:
Hercules Capital, Inc.		4.63			10/23/2022		1,725,000		1,716,678		1,722,487
Total Corporate Bonds							199,439,000		202,295,833		198,401,162
Mortgage-Backed Securities — 5.0%*:
COMM Mortgage Trust 2014-UBS2 B		4.70			3/10/2047		600,000		643,352		617,413
Deephaven Residential Mortgage Trust 2018-1^		3.03	#@		12/25/2057		1,103,397		1,103,380		1,085,124
Deephaven Residential Mortgage Trust 2018-2^		3.68	#@		4/25/2058		1,745,344		1,745,326		1,754,423

See accompanying Notes to the Financial Statements.

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June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Mortgage-Backed Securities (Continued)
JP Morgan Chase Commercial Mortgage Securities Corp., 1M USD LIBOR + 1.000%^		3.00	# %		6/15/2032		1,550,000	$	1,550,000	$	1,550,444
JP Morgan Mortgage Trust 2017-6 A5^		3.50	#@		12/25/2048		1,053,688		1,067,552		1,042,442
JP Morgan Mortgage Trust 2018-1^		3.50	#@		6/25/2048		769,871		776,197		761,177
JP Morgan Mortgage Trust 2018-3^		3.50	#@		9/25/2048		1,191,316		1,187,611		1,174,131
JP Morgan Mortgage Trust 2018-4^		3.50	#@		10/25/2048		1,026,841		1,021,784		1,015,293
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC18 AM		5.47	#@		6/12/2047		200,713		205,496		200,511
New Residential Mortgage Loan Trust 2016-4A A1^		3.75	#@		11/25/2056		423,657		436,246		424,733
PNMAC GMSR Issuer Trust 2018-GT1, 1M USD LIBOR + 2.850%^		4.94	#		2/25/2023		470,000		470,000		472,832
PSMC Trust^		3.50	#@		2/25/2048		1,226,504		1,224,980		1,212,607
PSMC Trust 2018-2^		3.50	#@		6/25/2048		1,093,629		1,075,723		1,076,002
RETL 2018-RVP, 1M USD LIBOR + 1.100%^		3.17	#		3/15/2033		1,224,204		1,224,204		1,229,442
Sequoia Mortgage Trust 2015-1^		2.50	#@		1/25/2045		916,467		902,217		891,455
Sequoia Mortgage Trust 2018-3^		3.50	#@		3/25/2048		1,398,187		1,396,016		1,382,382
Sequoia Mortgage Trust 2018-5^		3.50	#@		5/25/2048		1,038,577		1,027,093		1,026,852
Sequoia Mortgage Trust 2018-CH1^		4.00	#@		2/25/2048		1,010,532		1,028,253		1,021,637
Sequoia Mortgage Trust 2018-CH2^		4.00	#@		6/25/2048		1,805,920		1,824,554		1,827,097
Shellpoint Co-Originator Trust 2016-1 2A3^		3.00	#@		10/25/2031		845,044		853,473		824,882
TIAA Bank Mortgage Loan Trust 2018-2^¤		3.50	#@		7/25/2048		570,000		564,479		564,478
Velocity Commercial Capital Loan Trust 2016-2 AFX		3.00	#@		10/25/2046		317,455		317,455		316,031
Total Mortgage-Backed Securities							21,581,346		21,645,391		21,471,388
U.S. Treasury & Government Agencies — 3.2%*:
Federal Home Loan Mortgage Corp., 1M LIBOR + 0.450%		2.52	#		9/15/2042		326,748		325,154		329,616
Federal Home Loan Mortgage Corp., 1M LIBOR + 0.480%		2.55	#		10/15/2040		366,809		366,470		370,084
Federal Home Loan Mortgage Corp.		3.00			5/15/2039		527,898		532,544		521,743
Federal Home Loan Mortgage Corp.		3.00			8/15/2040		828,220		840,434		819,786
Federal Home Loan Mortgage Corp.		3.00			3/15/2041		705,416		714,846		698,517
Federal National Mortgage Association		3.00			4/25/2040		1,108,858		1,121,638		1,094,021
Federal National Mortgage Association		3.00			1/25/2041		559,210		566,298		554,299
U.S. Treasury Bonds(1)		8.00			11/15/2021		1,880,000		2,199,992		2,202,170
U.S. Treasury Bonds		8.13			8/15/2019		1,900,000		2,021,520		2,018,750
U.S. Treasury Bonds		8.75			5/15/2020		1,900,000		2,119,367		2,117,090
U.S. Treasury Bonds		9.00			11/15/2018		2,200,000		2,259,006		2,254,570
U.S. Treasury Note		1.63			3/15/2020		700,000		701,853		689,610
Total U.S. Treasury & Government Agencies							13,003,159		13,769,122		13,670,256
Total Fixed Income							413,404,490		415,047,298		410,553,645

See accompanying Notes to the Financial Statements.

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June 30, 2018

	COUNTERPARTY	STRIKE PRICE		EXPIRATION DATE		CONTRACTS		NOTIONAL		COST		UNREALIZED VALUE			FAIR VALUE
Purchased Options — 0.9%*:
Call Options Purchased — 0.3%*:
OTC — BCM Swaption	JPMorgan Chase Bank N.A.		$2.44		12/13/2032		11,190,000		11,190,000		$561,458		$(92,253	)		$469,205
OTC — BCM Swaption	JPMorgan Chase Bank N.A.		2.61		1/31/2033		14,590,000		14,590,000		698,861		(17,460	)		681,401
Total Call Options Purchased							25,780,000		25,780,000		1,260,319		(109,713	)		1,150,606
Put Options Purchased — 0.6%*:
OTC — BCM Swaption	JPMorgan Chase Bank N.A.		2.94		12/13/2032		22,790,000		22,790,000		1,143,488		98,550			1,242,038
OTC — BCM Swaption	JPMorgan Chase Bank N.A.		3.11		1/31/2033		29,090,000		29,090,000		1,390,502		50,620			1,441,122
Total Put Options 51,880,000									51,880,000		2,533,990		149,170			2,683,160

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Short-Term Investments — 4.3%*:
Bank Deposit — 0.1%*:
State Street Bank & Trust Co. Euro Time Deposit		0.28	%		7/2/2018		658,740		658,740		658,740
Commercial Paper — 4.2%*:
Electrical Components and Equipment — 0.9%*:
Molex Electronics Technologies		Zero Coupon			7/9/2018		3,750,000		3,748,008		3,748,008
Food — 0.9%*:
JM Smucker Co		Zero Coupon			7/3/2018		4,000,000		3,999,504		3,999,504
Retail — 1.0%*:
ERAC USA Finance LLC		Zero Coupon			7/23/2018		4,250,000		4,243,767		4,243,767
Software & Service — 0.6%*:
Hewlett Packard Enterprise Co.		Zero Coupon			7/11/2018		2,500,000		2,498,375		2,498,375
Telecommunications — 0.8%*:
Rogers Communications+		Zero Coupon			7/9/2018		3,500,000		3,498,227		3,498,227
Total Commercial Paper							18,000,000		17,987,881		17,987,881
Total Short-Term Investments							18,658,740		18,646,621		18,646,621
Total Investments							509,723,230		437,488,228		433,034,032
Other assets and liabilities — (0.5%)*											(2,249,832	)
Net Assets — 100.0%											$430,784,200

See accompanying Notes to the Financial Statements.

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June 30, 2018

MTN Medium Term Note

OTC Over the Counter

(1) All or a portion of this security is held for futures collateral.

‡‡ Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

* Calculated as a percentage of net assets applicable to common shareholders.

+ Foreign security.

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:

United States	89.8%
Canada	1.4%
Japan	1.3%
United Kingdom	1.1%
Ireland	1.1%
Switzerland	1.0%
Other (Individually less than 1%)	4.3%
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.

¤ For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 2).

# Variable rate security. The interest rate shown is the rate in effect at June 30, 2018.

** Variable Rate is Fixed to Float: Rate remains fixed until designated future date.

@ Effective interest rate for this security is the coupon rate at issue based on the underlying loans.

A summary of outstanding derivatives at June 30, 2018 is as follows:

Futures

TYPE	EXPIRATION DATE		CONTRACTS		NOTIONAL AMOUNT		POSITION		FAIR VALUE		UNREALIZED APPRECIATION
Long Futures
U.S. 10-Year Treasury Note		09/19/18		223		26,576,063		Long	$	26,801,813	$	225,750
U.S. 2-Year Treasury Note		09/28/18		822		173,912,553		Long		174,122,719		210,166
Total Long Futures											$	435,916
TYPE	EXPIRATION DATE		CONTRACTS		NOTIONAL AMOUNT		POSITION		FAIR VALUE		UNREALIZED DEPRECIATION
Short Futures
U.S. 10-Year Ultra Bond		09/19/18		104		13,130,661		Short	$	13,336,375	$	(205,714	)
U.S. 5-Year Treasury Note		09/28/18		730		82,322,268		Short		82,940,547		(618,279	)
Total Short Futures											$	(823,993	)

See accompanying Notes to the Financial Statements.

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June 30, 2018

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	$	515		$	(23,860	)	$	(24,375	)
CMBX.NA.BBB-.6†		3.00	%		1M		5/11/2063	Goldman Sachs & Co.		290,000		290,000		(21,401	)		(30,084	)		(8,683	)
Total OTC Credit Default Swaps													$	(20,886	)	$	(53,944	)	$	(33,058	)

(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.

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 84.6%*:
Asset-Backed Securities — 26.8%*:
CDO/CLO — 4.3%*:
ALM VII Ltd. 2012-7A A1R, 3M USD LIBOR + 1.480%^		3.83	#%		10/15/2028		250,000		$250,000		$251,595
LCM XXIII Ltd. 23A A1, 3M USD LIBOR + 1.400%^		3.76	#		10/20/2029		250,000		250,000		251,147
Madison Park Funding XIV Ltd. 2014-14A A1R, 3M USD LIBOR + 1.120%^		3.48	#		7/20/2026		250,000		250,000		250,036
Marble Point CLO XI Ltd. 2017-2A A, 3M USD LIBOR + 1.180%^		3.54	#		12/18/2030		250,000		250,000		250,111
RR 3 Ltd. Series 2018-3 A A1R2, 3M USD LIBOR + 1.090%^		3.44	#		1/15/2030		250,000		250,000		250,567
Total CDO/CLO							1,250,000		1,250,000		1,253,456
Other Asset-Backed Securities — 22.5%*:
Access Group, Inc. 2006-1 B, 3M USD LIBOR + 0.450%		2.78	#		8/25/2037		84,705		74,464		81,216
Access Group, Inc. 2015-1 A, 1M USD LIBOR + 0.700%^		2.79	#		7/25/2056		54,940		53,754		54,864
Access Group, Inc. 2015-1 B, 1M USD LIBOR + 1.500%^		3.59	#		7/25/2058		100,000		86,557		89,553
AccessLex Institute 2004-1 B, 3M USD LIBOR + 0.570%		2.90	#		9/22/2037		58,933		56,596		56,612
AccessLex Institute 2004-A A3, 28 day ARS		3.15	#		7/1/2039		149,706		146,942		146,765
Arbys Funding LLC 2015-1A A2^		4.97			10/30/2045		39,000		39,000		39,056
Argent Securities, Inc. Asset-Backed Pass-Through Certificates 2004-W10 M1, 1M USD LIBOR + 0.900%		2.99	#		10/25/2034		49,454		45,086		49,133
Asset Backed Securities Corp. Home Equity Loan Trust 2005-HE1 M1, 1M USD LIBOR + 0.750%		2.84	#		3/25/2035		51,548		51,253		51,265
CLI Funding V LLC 2013-2A^		3.22			6/18/2028		46,493		46,001		45,842
CLI Funding VI LLC 2016-1A A^		4.21			2/18/2041		62,640		62,634		60,954
College Avenue Student Loans LLC 2017, 1M USD LIBOR + 1.650%^		3.74	#		11/26/2046		94,382		95,875		96,333
College Loan Corp. Trust I 2005-2 B, 3M USD LIBOR + 0.490%		2.84	#		1/15/2037		94,265		83,401		88,395
College Loan Corp. Trust I 2017-1 B2, 28 day ARS¤		3.38	#		1/25/2047		45,000		38,507		38,700
Credit Suisse ABS Repackaging Trust 2013-A B^		2.50			1/25/2030		40,651		38,723		37,813
CWABS Asset-Backed Certificates Trust 2005-4 MV5, 1M USD LIBOR + 0.670%		3.10	#		10/25/2035		60,000		54,151		58,965
DB Master Finance LLC 2015-1A A2II^		3.98			2/20/2045		48,375		49,345		48,456
Diamond Resorts Owner Trust 2013-2 A^		2.27			5/20/2026		24,195		24,062		24,169
Diamond Resorts Owner Trust 2015-1 A^		2.73			7/20/2027		17,505		17,503		17,471
Diamond Resorts Owner Trust 2016-1 B^		3.37			11/20/2028		49,350		49,342		47,984
Domino’s Pizza Master Issuer LLC 2015-1A A2II^		4.47			10/25/2045		58,800		58,800		60,172

See accompanying Notes to the Financial Statements.

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June 30, 2018

	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%^		3.99	# %		10/27/2031		34,610	$	34,550	$	35,659
DRB Prime Student Loan Trust 2016-R A1, 1M USD LIBOR + 1.900%¤		3.99	#		10/25/2044		61,911		61,911		62,840
DRB Prime Student Loan Trust 2016-R A2¤		3.07			10/25/2044		61,911		61,900		62,221
Drug Royalty Corp Inc. 2012-1 A1, 3M USD LIBOR + 5.250%		6.13	#		7/15/2024		9,359		9,568		9,415
Earnest Student Loan Program LLC 2016-C A1, 1M USD LIBOR + 1.850%^		3.94	#		10/27/2036		37,914		37,914		38,470
ECMC Group Student Loan Trust 2016-1A A, 1M USD LIBOR + 1.350%^		3.44	#		7/26/2066		69,725		69,725		70,864
EdLinc Student Loan Funding Trust 2017-A A, 1M USD LIBOR - 1.150%^		3.35	#		12/1/2047		91,160		90,532		90,621
Element Rail Leasing II LLC 2015-1A A1		2.71			2/19/2045		52,156		50,445		51,469
Entergy New Orleans Storm Recovery Funding I LLC 2015-1 A		2.67			6/1/2027		72,283		72,270		70,656
First Franklin Mortgage Loan Trust 2004-FFH4 M6, 1M USD LIBOR + 1.725%		3.82	#		1/25/2035		50,000		49,820		51,610
Flagship Credit Auto Trust 2016-4 C^		2.71			11/15/2022		40,000		39,998		39,587
Flagship Credit Auto Trust 2017-4 C^		2.92			11/15/2023		100,000		99,829		98,107
Goodgreen Trust 2017-1A A^		3.74			10/15/2052		87,420		87,380		87,591
Helios Issuer LLC 2017-1A A^		4.94			9/20/2049		95,079		95,035		96,551
HERO Funding Trust 2015-1A A^		3.84			9/21/2040		90,992		92,626		93,209
Hilton Grand Vacations Trust 2013-A A^		2.28			1/25/2026		60,290		60,167		59,868
J.G. Wentworth XXXV LLC 2015-2A A^		3.87			3/15/2058		45,827		45,792		45,950
Mariner Finance Issuance Trust 2017-AA A^		3.62			2/20/2029		100,000		99,982		100,316
Marlette Funding Trust 2016-1A A^		3.06			1/17/2023		4,020		4,024		4,022
Marlette Funding Trust 2017-2A B^		3.19			7/15/2024		100,000		99,993		99,493
Montana Higher Education Student Assistance Corp. 2012-1 A3, 1M USD LIBOR + 1.050%		3.13	#		7/20/2043		150,000		145,247		150,745
Navient Student Loan Trust 2017-1A A3, 1M USD LIBOR + 1.150%^		3.24	#		7/26/2066		120,000		120,000		122,915
Navient Student Loan Trust 2018-1A A3, 1M USD LIBOR + 0.720%^		2.81	#		3/25/2067		100,000		100,000		100,311
Navient Student Loan Trust 2018-1B, 1M USD LIBOR + 1.200%^		3.29	#		3/25/2067		100,000		100,623		100,000
Nelnet Private Education Loan Trust 2016-A A1B^		3.60			12/26/2040		53,434		53,092		51,581
Nelnet Student Loan Trust 2006-2 B, 3M USD LIBOR + 0.200%		2.56	#		1/25/2038		79,088		74,307		73,966
New Residential Advance Receivables Trust Advance Receivables Backed Notes 2016-T2 AT2^		2.58			10/15/2049		250,000		250,000		247,664
Northstar Education Finance, Inc. 2005-1 A5, 3M USD LIBOR + 0.750%		3.11	#		10/30/2045		23,830		22,841		23,649
NovaStar Mortgage Funding Trust 2004-4 M5, 1M LIBOR + 1.725%		3.82	#		3/25/2035		81,151		81,131		82,735

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	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		100,000	$	100,000	$	99,904
NRZ Advance Receivables Trust Advance Receivables Backed 2016-T3 AT3^		2.83			10/16/2051		230,000		230,000		224,391
OSCAR US Funding Trust V 2016-2A A4^		2.99			12/15/2023		130,000		129,269		129,098
Oscar US Funding Trust VI LLC 2017-1A A4^		3.30			5/10/2024		30,000		29,994		29,913
Popular ABS Mortgage Pass-Through Trust 2006-B A3, 1M USD LIBOR + 0.280%		2.37	#		5/25/2036		31,427		30,238		31,399
Sierra Timeshare Receivables Funding LLC 2015-2A B^		3.02			6/20/2032		20,141		20,137		20,021
SLC Private Student Loan Trust 2006-A C, 3M USD LIBOR + 0.450%		2.80	#		7/15/2036		140,000		125,554		134,658
SLC Student Loan Trust 2005-1 B, 3M USD LIBOR + 0.200%		2.54	#		2/15/2045		91,969		79,261		85,222
SLM Student Loan Trust 2002-7 A11, 28 day ARS		4.46	#		3/15/2028		50,000		49,471		50,003
SLM Student Loan Trust 2002-7 B, 28 day ARS		5.46	#		12/15/2039		80,000		80,060		79,808
SLM Student Loan Trust 2003-2 A9, 28 day ARS		5.47	#		9/15/2028		100,000		99,778		99,999
SLM Student Loan Trust 2003-4 B, 3M USD LIBOR + 0.650%		2.99	#		6/15/2038		65,199		59,947		62,592
SLM Student Loan Trust 2005-4 B, 3M USD LIBOR + 0.180%		2.54	#		7/25/2055		108,404		93,222		103,184
SLM Student Loan Trust 2005-6 B, 3M USD LIBOR + 0.290%		2.65	#		1/25/2044		123,305		114,373		115,240
SLM Student Loan Trust 2006-10, 3M USD LIBOR + 0.150%		2.51	#		3/25/2044		100,000		96,334		96,452
SLM Student Loan Trust 2006-10, 3M USD LIBOR + 0.220%		2.58	#		3/25/2044		62,461		58,992		58,937
SLM Student Loan Trust 2006-4 B, 3M USD LIBOR + 0.200%		2.56	#		1/25/2070		58,833		55,098		56,258
SLM Student Loan Trust 2006-5 B, 3M USD LIBOR + 0.210%		2.57	#		10/25/2040		116,304		102,219		110,197
SLM Student Loan Trust 2006-7 B, 3M USD LIBOR + 0.200%		2.56	#		1/27/2042		56,754		53,514		53,991
SLM Student Loan Trust 2007-1 A6, 3M USD LIBOR + 0.140%		2.50	#		1/27/2042		100,000		96,047		96,440
SMB Private Education Loan Trust 2017-A B^		3.50			6/17/2041		130,000		126,099		120,755
SoFi Professional Loan Program LLC 2017-A C^		4.43			3/26/2040		100,000		99,486		98,211
SoFi Professional Loan Program LLC 2017-D BFX^		3.61			9/25/2040		100,000		99,949		97,899
South Carolina Student Loan Corp. 2014-1 B, 1M USD LIBOR + 1.500%		3.48	#		8/1/2035		100,000		98,546		97,632
SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes 2016-T2 AT2^		2.75			11/15/2049		100,000		99,986		100,911
Taco Bell Funding LLC 2016-1A A23^		4.97			5/25/2046		68,950		69,560		71,019
Taco Bell Funding LLC 2016-1A A2I^		3.83			5/25/2046		78,800		79,040		78,905
Textainer Marine Containers V Ltd. 2017-1A A		3.72			5/20/2042		89,499		89,496		89,082
TRIP Rail Master Funding LLC 2011-1A A2^		6.02			7/15/2041		99,952		107,859		105,355

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
TRIP Rail Master Funding LLC 2014-1A A2^		4.09	%		4/15/2044		100,000	$	101,967	$	99,273
Triton Container Finance IV LLC 2017-2A A^		3.62			8/20/2042		129,522		129,507		128,293
Triton Container Finance VI LLC 2017-1A A^		3.52			6/20/2042		90,308		90,292		89,725
Wachovia Student Loan Trust 2005-1 B, 3M USD LIBOR + 0.300%		2.66	#		10/25/2040		71,813		65,904		66,397
Welk Resorts LLC 2017-AA B^		3.41			6/15/2033		88,582		88,623		86,487
Total Other Asset-Backed Securities							6,594,325		6,432,520		6,483,454
Total Asset-Backed Securities							7,844,325		7,682,520		7,736,910
Corporate Bonds — 32.0%*:
Advertising — 0.1%*:
WPP Finance 2010+		5.63			11/15/2043		35,000		38,096		36,637
Aerospace/Defense — 0.1%*:
United Technologies Corp.		5.70			4/15/2040		25,000		31,201		28,481
Agriculture — 0.3%*:
Bunge Ltd. Finance Corp.		3.25			8/15/2026		25,000		24,980		22,818
Bunge Ltd. Finance Corp.		3.50			11/24/2020		5,000		4,998		4,997
Reynolds American, Inc.		4.45			6/12/2025		30,000		30,501		30,192
Reynolds American, Inc.		5.85			8/15/2045		25,000		30,253		27,293
Total Agriculture							85,000		90,732		85,300
Airlines — 0.1%*:
United Airlines 2018-1 Class B Pass Through Trust		4.60			3/1/2026		15,000		15,000		14,982
WestJet Airlines Ltd.		3.50			6/16/2021		14,000		13,988		13,856
Total Airlines							29,000		28,988		28,838
Auto Manufacturers — 0.8%*:
Ford Motor Co.		7.45			7/16/2031		10,000		12,391		11,750
General Motors Co.		4.20			10/1/2027		30,000		29,959		28,737
General Motors Co.		5.15			4/1/2038		20,000		19,988		19,034
General Motors Co.		5.20			4/1/2045		35,000		34,594		32,131
General Motors Financial Co., Inc.		3.50			11/7/2024		50,000		49,932		47,610
General Motors Financial Co., Inc.		4.15			6/19/2023		35,000		34,948		34,992
General Motors Financial Co., Inc.		4.30			7/13/2025		50,000		49,730		49,053
Total Auto Manufacturers							230,000		231,542		223,307
Beverages — 0.5%*:
Anheuser-Busch InBev Worldwide, Inc.+		4.60			4/15/2048		45,000		44,746		44,336
Anheuser-Busch InBev Worldwide, Inc.+		8.20			1/15/2039		35,000		51,458		50,037
Molson Coors Brewing Co.		4.20			7/15/2046		36,000		33,082		32,321
Molson Coors Brewing Co.		5.00			5/1/2042		5,000		5,031		5,071
Total Beverages							121,000		134,317		131,765

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Biotechnology — 0.3%*:
Amgen, Inc.		5.15	%		11/15/2041		10,000	$	10,405	$	10,633
Celgene Corp.		3.45			11/15/2027		45,000		44,935		41,377
Celgene Corp.		4.63			5/15/2044		25,000		26,860		23,205
Total Biotechnology							80,000		82,200		75,215
Chemicals — 0.7%*:
Incitec Pivot Finance LLC		6.00			12/10/2019		30,000		31,471		31,017
LYB International Finance B.V.+		5.25			7/15/2043		35,000		35,968		36,330
Monsanto Co.		4.40			7/15/2044		15,000		14,299		13,898
Mosaic Co. (The)		4.05			11/15/2027		44,000		43,171		42,048
RPM International, Inc.		3.75			3/15/2027		15,000		14,981		14,299
Sherwin-Williams Co. (The)		4.50			6/1/2047		15,000		14,899		14,316
Yara International ASA		4.75			6/1/2028		50,000		49,875		50,264
Total Chemicals							204,000		204,664		202,172
Commercial Banks — 4.0%*:
Associated Banc-Corp		4.25			1/15/2025		70,000		70,016		70,360
Bank of America Corp.		4.18			11/25/2027		65,000		65,000		63,303
Bank of America Corp., 3M USD LIBOR + 1.814%		4.24	#		4/24/2038		30,000		30,000		29,141
Bank of America Corp.		4.75			4/21/2045		45,000		46,740		45,308
Bank of Montreal+		3.80			12/15/2032		40,000		40,000		37,053
Bank of Nova Scotia (The)+		4.50			12/16/2025		30,000		30,326		29,912
Bank of Nova Scotia (The)+		4.65			4/12/2066		80,000		80,300		72,400
Citigroup, Inc.		3.88			3/26/2025		60,000		58,737		58,192
Citigroup, Inc.		4.60			3/9/2026		45,000		44,928		44,935
Fulton Financial Corp.		3.60			3/16/2022		35,000		34,898		34,351
Goldman Sachs Group, Inc. (The)		3.81			4/23/2029		40,000		40,000		38,046
Goldman Sachs Group, Inc. (The)		5.15			5/22/2045		70,000		67,824		69,666
Goldman Sachs Group, Inc. (The)		5.95			1/15/2027		32,000		35,303		34,664
HSBC Holdings plc+		4.25			3/14/2024		200,000		201,780		198,980
Huntington Bancshares, Inc.		5.70			7/15/2066		80,000		80,000		79,160
JPMorgan Chase & Co.		3.63			12/1/2027		30,000		29,954		28,206
JPMorgan Chase & Co.		4.95			6/1/2045		40,000		39,326		40,711
Morgan Stanley		4.35			9/8/2026		60,000		59,848		59,181
Valley National Bancorp		5.13			9/27/2023		75,000		79,571		78,323
Wells Fargo & Co.		5.38			11/2/2043		29,000		34,271		30,282
Wells Fargo & Co.		5.61			1/15/2044		15,000		18,279		16,138
Total Commercial Banks							1,171,000		1,187,101		1,158,312
Commercial Services — 0.2%*:
ERAC USA Finance LLC^		4.20			11/1/2046		70,000		69,482		63,119
Construction Materials — 0.2%*:
Standard Industries, Inc.^		5.00			2/15/2027		70,000		70,000		64,925

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Distribution/Wholesale — 0.2%*:
Ingram Micro, Inc.		5.45	%		12/15/2024		45,000	$	46,005	$	44,548
Diversified Financial Services — 3.4%*:
AerCap Ireland Capital DAC/AerCap Global Aviation Trust+		3.50			5/26/2022		150,000		149,879		146,722
AerCap Ireland Capital DAC/AerCap Global Aviation Trust+		3.50			1/15/2025		160,000		159,172		150,094
Affiliated Managers Group, Inc.		4.25			2/15/2024		50,000		51,078		50,867
Aircastle Ltd.		4.13			5/1/2024		30,000		28,875		28,728
Brookfield Finance, Inc.+		4.25			6/2/2026		60,000		59,522		59,056
Discover Financial Services, Inc.		3.75			3/4/2025		30,000		29,098		28,645
Discover Financial Services, Inc.		4.10			2/9/2027		65,000		65,415		62,347
Discover Financial Services, Inc.		5.50			12/29/2049		160,000		160,000		156,200
Genpact Luxembourg Sarl		3.70			4/1/2022		65,000		65,120		63,499
High Street Funding Trust I^		4.11			2/15/2028		150,000		150,000		147,245
Lazard Group LLC		3.63			3/1/2027		30,000		29,888		28,109
Legg Mason, Inc.		5.63			1/15/2044		35,000		36,279		36,417
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.^		4.50			3/15/2027		25,000		24,822		24,783
Total Diversified Financial Services							1,010,000		1,009,148		982,712
Electric — 1.1%*:
Appalachian Power Co.		6.70			8/15/2037		30,000		37,170		38,934
Cleveland Electric Illuminating Co. (The)^		3.50			4/1/2028		25,000		24,930		23,709
Duke Energy Corp.		3.75			9/1/2046		40,000		39,521		35,232
Indianapolis Power & Light Co.^		4.05			5/1/2046		45,000		44,711		43,881
IPALCO Enterprises, Inc.		3.45			7/15/2020		50,000		50,171		49,784
IPALCO Enterprises, Inc.		3.70			9/1/2024		25,000		24,978		24,241
Oncor Electric Delivery Co. LLC		5.25			9/30/2040		40,000		48,615		46,341
Puget Sound Energy, Inc.		4.30			5/20/2045		30,000		30,640		30,724
Southwestern Public Service Co.		6.00			10/1/2036		30,000		35,323		35,948
Total Electric							315,000		336,059		328,794
Electronics — 0.2%*:
Arrow Electronics, Inc.		3.25			9/8/2024		25,000		24,863		23,370
Arrow Electronics, Inc.		3.88			1/12/2028		25,000		24,902		23,428
Total Electronics							50,000		49,765		46,798
Food — 0.1%*:
Kraft Heinz Foods Co.		3.00			6/1/2026		45,000		44,042		40,524
Gas — 0.2%*:
NiSource Finance Corp.		4.80			2/15/2044		50,000		55,861		51,913

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Healthcare-Products — 0.4%*:
Abbott Laboratories		4.90	%		11/30/2046		15,000	$	14,886	$	16,148
Becton Dickinson and Co.		3.36			6/6/2024		40,000		40,000		38,423
Becton Dickinson and Co.		3.70			6/6/2027		40,000		40,000		37,864
Becton Dickinson and Co.		4.69			12/15/2044		25,000		25,930		24,232
Total Healthcare-Products							120,000		120,816		116,667
Healthcare-Services — 0.6%*:
Humana, Inc.		3.95			3/15/2027		40,000		39,956		39,335
Humana, Inc.		4.80			3/15/2047		20,000		19,982		20,546
IHC Health Services, Inc.		4.13			5/15/2048		100,000		100,667		99,635
Total Healthcare-Services							160,000		160,605		159,516
Household Products/Wares — 0.0%*:
Church & Dwight Co., Inc.		3.15			8/1/2027		15,000		14,986		13,918
Housewares — 0.1%*:
Toro Co. (The)		7.80			6/15/2027		25,000		31,001		29,997
Insurance — 2.8%*:
Allstate Corp. (The), 3M USD LIBOR + 2.938%		5.75	#		8/15/2053		110,000		116,428		113,025
American International Group, Inc.		3.90			4/1/2026		20,000		19,992		19,355
American International Group, Inc.		4.20			4/1/2028		30,000		29,890		29,351
American International Group, Inc.		4.50			7/16/2044		25,000		25,665		23,281
American International Group, Inc.		4.75			4/1/2048		15,000		14,912		14,458
American International Group, Inc.		5.75			4/1/2048		30,000		30,000		29,550
AmTrust Financial Services, Inc.		6.13			8/15/2023		75,000		74,592		72,281
Arch Capital Group US, Inc.		5.14			11/1/2043		25,000		25,300		26,430
Athene Holding Ltd.		4.13			1/12/2028		117,000		114,165		107,893
AXIS Specialty Finance PLC+		4.00			12/6/2027		60,000		59,019		56,612
CNA Financial Corp.		3.45			8/15/2027		25,000		24,947		23,249
Enstar Group Ltd.+		4.50			3/10/2022		20,000		20,000		19,936
Progressive Corp. (The)		5.38			9/15/2066		75,000		75,000		74,625
Trinity Acquisition PLC+		4.40			3/15/2026		55,000		56,425		54,461
Unum Group		3.88			11/5/2025		25,000		24,998		24,280
XLIT Ltd.+		4.45			3/31/2025		85,000		87,818		83,630
XLIT Ltd.+		5.50			3/31/2045		30,000		28,801		31,145
Total Insurance							822,000		827,952		803,562
Internet — 0.5%*:
Amazon.com, Inc.		4.05			8/22/2047		45,000		44,673		44,082
Expedia, Inc.		5.00			2/15/2026		40,000		39,852		40,744
Expedia, Inc.		7.46			8/15/2018		45,000		45,276		45,218
Total Internet							130,000		129,801		130,044

See accompanying Notes to the Financial Statements.

141

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Investment Company Security — 1.1%*:
Ares Capital Corp.		3.50	%		2/10/2023		75,000	$	74,950	$	71,486
Ares Capital Corp.		3.88			1/15/2020		85,000		85,995		85,278
FS Investment Corp.		4.00			7/15/2019		75,000		75,436		75,072
TCP Capital Corp.		4.13			8/11/2022		75,000		74,755		71,591
Total Investment Company Security							310,000		311,136		303,427
Iron/Steel — 0.5%*:
Vale Overseas Ltd.+		5.88			6/10/2021		125,000		134,494		132,031
Vale Overseas Ltd.+		6.88			11/21/2036		15,000		14,988		16,841
Total Iron/Steel							140,000		149,482		148,872
IT Services — 0.4%*:
Dell International LLC / EMC Corp.^		8.35			7/15/2046		45,000		57,771		54,194
Leidos Holdings, Inc.		4.45			12/1/2020		75,000		76,072		75,563
Total IT Services							120,000		133,843		129,757
Machinery-Diversified — 0.3%*:
CNH Industrial NV+		4.50			8/15/2023		90,000		92,052		90,486
Media — 0.5%*:
Charter Communications Operating LLC/Charter Communications Operating Capital		4.46			7/23/2022		22,000		22,403		22,270
Comcast Corp.		3.40			7/15/2046		20,000		19,832		16,218
Discovery Communications LLC		4.88			4/1/2043		25,000		22,830		23,179
Discovery Communications LLC		5.00			9/20/2037		25,000		24,975		24,071
Time Warner Cable LLC		4.50			9/15/2042		60,000		49,613		49,299
Total Media							152,000		139,653		135,037
Mining — 0.5%*:
Glencore Finance Canada Ltd.		5.55			10/25/2042		22,000		22,081		22,001
Glencore Funding LLC^		3.00			10/27/2022		20,000		19,926		19,168
Glencore Funding LLC^		3.88			10/27/2027		25,000		24,799		23,102
Glencore Funding LLC^		4.00			4/16/2025		50,000		49,942		48,113
Glencore Funding LLC^		4.63			4/29/2024		25,000		25,967		25,135
Total Mining							142,000		142,715		137,519
Miscellaneous Manufacturing — 0.2%*:
General Electric Co.		4.13			10/9/2042		25,000		22,837		23,219
General Electric Co. MTN		6.88			1/10/2039		35,000		46,264		44,322
Total Miscellaneous Manufacturing							60,000		69,101		67,541
Office/Business Equip — 0.4%*:
Pitney Bowes, Inc.		3.63			9/15/2020		20,000		19,965		19,500
Pitney Bowes, Inc.		3.63			10/1/2021		115,000		114,788		108,106
Total Office/Business Equip							135,000		134,753		127,606

See accompanying Notes to the Financial Statements.

142

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Oil and Gas — 2.5%*:
Anadarko Petroleum Corp.		5.55	%		3/15/2026		20,000	$	19,949	$	21,434
Andeavor		4.50			4/1/2048		15,000		14,788		13,670
Cenovus Energy, Inc.+		3.00			8/15/2022		30,000		29,721		28,736
Cenovus Energy, Inc.+		4.25			4/15/2027		50,000		49,844		48,160
Cenovus Energy, Inc.+		6.75			11/15/2039		25,000		28,656		27,454
Continental Resources, Inc.		4.50			4/15/2023		40,000		40,555		40,591
Encana Corp.+		6.50			2/1/2038		40,000		46,316		46,984
EQT Corp.		3.90			10/1/2027		105,000		104,604		97,920
Helmerich & Payne International Drilling Co.		4.65			3/15/2025		25,000		26,380		25,813
Marathon Petroleum Corp.		6.50			3/1/2041		30,000		33,211		34,937
Nabors Industries, Inc.		5.50			1/15/2023		35,000		35,858		33,688
Newfield Exploration Co.		5.38			1/1/2026		140,000		139,887		143,150
Patterson-UTI Energy, Inc.^		3.95			2/1/2028		10,000		9,993		9,353
PBF Holding Co. LLC/PBF Finance Corp.		7.00			11/15/2023		25,000		25,494		25,875
Petroleos Mexicanos+		3.50			1/30/2023		20,000		19,603		18,933
Petroleos Mexicanos+		4.63			9/21/2023		10,000		10,226		9,810
Petroleos Mexicanos		5.35			2/12/2028		30,000		30,000		28,404
Petroleos Mexicanos+		5.50			1/21/2021		55,000		57,484		56,622
Petroleos Mexicanos+		6.50			3/13/2027		15,000		14,879		15,381
Rowan Cos., Inc.		4.88			6/1/2022		8,000		7,989		7,560
Total Oil and Gas							728,000		745,437		734,475
Oil and Gas Services — 0.3%*:
National Oilwell Varco, Inc.		3.95			12/1/2042		37,000		30,576		31,210
SESI LLC		7.13			12/15/2021		32,000		33,123		32,560
Weatherford International Ltd.		5.95			4/15/2042		30,000		25,259		22,425
Total Oil and Gas Services							99,000		88,958		86,195
Packaging and Containers — 0.0%*:
Brambles USA, Inc.^		4.13			10/23/2025		10,000		9,981		9,983
Pharmaceuticals — 1.6%*:
AbbVie, Inc.		4.70			5/14/2045		30,000		29,339		29,675
CVS Health Corp.		4.30			3/25/2028		27,000		26,630		26,633
CVS Health Corp.		5.05			3/25/2048		40,000		39,773		40,708
CVS Pass-Through Trust^		5.93			1/10/2034		28,950		32,840		31,140
Express Scripts Holding Co.		4.50			2/25/2026		30,000		30,842		29,782
Express Scripts Holding Co.		4.80			7/15/2046		30,000		30,184		28,528
McKesson Corp.		6.00			3/1/2041		50,000		55,652		58,279
Mylan NV		5.25			6/15/2046		40,000		39,994		38,963
Shire Acquisitions Investments Ireland DAC+		2.88			9/23/2023		60,000		59,994		56,448
Teva Pharmaceutical Finance Netherlands III B.V.+		1.70			7/19/2019		25,000		24,669		24,428
Teva Pharmaceutical Finance Netherlands III B.V.+		2.20			7/21/2021		99,000		94,200		91,826
Teva Pharmaceutical Finance Netherlands III B.V.+		4.10			10/1/2046		10,000		9,919		7,148
Total Pharmaceuticals							469,950		474,036		463,558

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Pipelines — 3.4%*:
Andeavor Logistics LP		6.88	**# %		2/15/2066		50,000	$	50,125	$	49,500
Andeavor Logistics LP/Tesoro Logistics Finance Corp.		3.50			12/1/2022		10,000		9,972		9,771
Energy Transfer LP		4.20			4/15/2027		25,000		24,953		23,557
Energy Transfer LP		4.75			1/15/2026		30,000		29,852		29,745
Energy Transfer LP		6.13			12/15/2045		25,000		27,413		24,986
Energy Transfer Partners LP		6.25			2/15/2066		60,000		60,000		55,575
EnLink Midstream Partners LP		2.70			4/1/2019		30,000		30,015		29,708
EnLink Midstream Partners LP		4.15			6/1/2025		25,000		25,094		23,105
EnLink Midstream Partners LP		4.85			7/15/2026		19,000		19,383		18,004
Enterprise Products Operating LLC		5.38			2/15/2078		30,000		30,000		27,348
EQT Midstream Partners LP		4.75			7/15/2023		70,000		69,833		69,887
Kinder Morgan Energy Partners LP MTN		6.95			1/15/2038		30,000		31,943		34,192
Kinder Morgan, Inc.^		5.63			11/15/2023		50,000		54,709		53,243
MPLX LP		4.00			2/15/2025		77,000		75,793		75,282
MPLX LP		4.50			4/15/2038		30,000		29,648		27,709
MPLX LP		4.88			6/1/2025		23,000		23,791		23,648
MPLX LP		5.20			3/1/2047		5,000		4,966		4,968
MPLX LP		5.50			2/15/2023		20,000		20,699		20,378
Phillips 66 Partners LP		3.75			3/1/2028		20,000		19,928		18,692
Phillips 66 Partners LP		4.68			2/15/2045		2,000		2,001		1,875
Phillips 66 Partners LP		4.90			10/1/2046		15,000		14,898		14,378
Plains All American Pipeline LP/PAA Finance Corp.		4.50			12/15/2026		80,000		80,014		78,310
Plains All American Pipeline LP/PAA Finance Corp.		4.70			6/15/2044		40,000		36,221		35,144
Sabine Pass Liquefaction LLC		4.20			3/15/2028		75,000		74,934		72,608
Sabine Pass Liquefaction LLC		5.63			3/1/2025		25,000		27,326		26,592
Sunoco Logistics Partners Operations LP		4.00			10/1/2027		20,000		19,853		18,694
Sunoco Logistics Partners Operations LP		5.30			4/1/2044		25,000		24,670		22,661
Western Gas Partners LP		4.00			7/1/2022		75,000		76,728		74,121
Western Gas Partners LP		4.50			3/1/2028		15,000		14,918		14,435
Total Pipelines							1,001,000		1,009,680		978,116
Real Estate Investment Trusts — 0.8%*:
Crown Castle International Corp.		3.20			9/1/2024		40,000		39,902		37,751
Crown Castle International Corp.		4.00			3/1/2027		20,000		19,925		19,253
Crown Castle International Corp.		4.75			5/15/2047		10,000		9,922		9,427
CubeSmart LP		3.13			9/1/2026		45,000		44,813		41,387
Healthcare Trust of America Holdings LP		3.75			7/1/2027		35,000		34,838		33,209
Host Hotels & Resorts LP		3.88			4/1/2024		40,000		39,858		38,997
Kimco Realty Corp.		3.30			2/1/2025		25,000		24,965		23,685
Mid-America Apartments LP		3.60			6/1/2027		25,000		24,905		23,961
Weingarten Realty Investors		3.25			8/15/2026		10,000		9,929		9,215
Total REITS							250,000		249,057		236,885

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Retail — 0.8%*:
Dollar Tree, Inc.		4.20	%		5/15/2028		45,000	$	44,883	$	43,437
El Puerto de Liverpool SAB de CV		3.95			10/2/2024		200,000		199,283		188,120
Total Retail							245,000		244,166		231,557
Semiconductors — 0.3%*:
Marvell Technology Group Ltd.+		4.20			6/22/2023		40,000		39,918		39,994
Microchip Technology, Inc.^		3.92			6/1/2021		50,000		50,000		50,083
Total Semiconductors							90,000		89,918		90,077
Telecommunications — 0.8%*:
AT&T, Inc.		3.80			3/1/2024		35,000		34,982		34,325
AT&T, Inc.		4.75			5/15/2046		30,000		28,201		26,798
AT&T, Inc.		5.25			3/1/2037		15,000		14,932		14,753
Telefonaktiebolaget LM Ericsson+		4.13			5/15/2022		55,000		56,420		54,180
Verizon Communications, Inc.		4.86			8/21/2046		25,000		25,427		23,889
Verizon Communications, Inc.		6.55			9/15/2043		56,000		69,578		66,295
Total Telecommunications							216,000		229,540		220,240
Transportation — 0.2%*:
PT Penske Truck Leasing Co. LP / L Finance Corp.^		3.90			2/1/2024		70,000		69,860		69,235
Venture Capital — 0.5%*:
Hercules Capital, Inc.		4.63			10/23/2022		150,000		149,276		149,781
Total Corporate Bonds							9,384,950		9,527,008		9,257,411
Foreign Government — 0.8%*:
Colombia — 0.4%*:
Colombia Government International Bond+		6.13			1/18/2041		100,000		115,293		111,600
Mexico — 0.4%*:
Mexico Government International Bond+		4.75			3/8/2044		68,000		69,461		63,682
Mexico Government International Bond+		5.55			1/21/2045		60,000		64,544		62,790
Total Mexico							128,000		134,005		126,472
Total Foreign Government							228,000		249,298		238,072
Mortgage-Backed Securities — 0.9%*:
Aventura Mall Trust 2018 D		4.11	#		7/5/2040		70,000		68,621		68,647
GS Mortgage Securities Trust 2015-GC32 B		4.55	#@		7/10/2048		100,000		102,771		101,008
JPMorgan Mortgage Trust 2017-1 A11^		3.50	#@		1/25/2047		89,008		88,602		86,402
Total Mortgage-Backed Securities							259,008		259,994		256,057
U.S. Treasury & Government Agencies — 24.1%*:
Federal Home Loan Mortgage Corp.		3.50			11/1/2042		15,663		15,678		15,667
Federal Home Loan Mortgage Corp.		3.50			7/1/2046		47,188		49,838		47,144
Federal Home Loan Mortgage Corp.		3.50			11/1/2046		68,111		71,871		67,989

See accompanying Notes to the Financial Statements.

145

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
U.S. Treasury & Government Agencies (Continued)
Federal Home Loan Mortgage Corp.		3.50	%		11/1/2047		97,403	$	100,320	$	96,957
Federal Home Loan Mortgage Corp.		3.50			12/1/2047		775,782		796,978		772,225
Federal Home Loan Mortgage Corp.		3.50			1/1/2048		187,145		188,654		186,282
Federal Home Loan Mortgage Corp.		3.50			2/1/2048		148,140		147,887		147,658
Federal Home Loan Mortgage Corp.		4.00			4/1/2047		67,398		71,729		69,146
Federal Home Loan Mortgage Corp.		4.00			12/1/2047		820,488		861,958		837,171
Federal Home Loan Mortgage Corp.		4.00			2/1/2048		49,027		49,906		50,028
Federal Home Loan Mortgage Corp.		4.50			8/1/2040		14,414		15,787		15,160
Federal Home Loan Mortgage Corp.		4.50			10/1/2040		20,937		22,819		22,019
Federal Home Loan Mortgage Corp.		4.50			10/1/2041		23,032		25,104		24,217
Federal Home Loan Mortgage Corp.		4.50			9/1/2043		16,352		17,881		17,197
Federal Home Loan Mortgage Corp.		4.50			5/1/2047		23,341		25,114		24,303
Federal Home Loan Mortgage Corp.		4.50			6/1/2047		269,063		289,579		280,157
Federal National Mortgage Association		3.50			12/1/2028		42,764		45,177		43,450
Federal National Mortgage Association		3.50			2/1/2041		46,696		47,186		47,005
Federal National Mortgage Association		3.50			2/1/2043		189,781		189,426		189,692
Federal National Mortgage Association		3.50			1/1/2044		49,106		49,160		49,083
Federal National Mortgage Association		3.50			1/1/2048		582,862		599,103		581,119
Federal National Mortgage Association		3.50			2/1/2048		147,487		146,272		145,884
Federal National Mortgage Association		4.00			8/1/2047		137,480		144,770		140,342
Federal National Mortgage Association		4.00			10/1/2047		119,668		126,185		122,169
Federal National Mortgage Association		4.00			4/1/2048		99,492		102,109		101,633
Federal National Mortgage Association		4.00			7/1/2048		175,000		178,404		178,716
Federal National Mortgage Association		4.00			5/1/2056		159,761		167,322		163,903
Federal National Mortgage Association		4.00			6/1/2056		142,767		151,307		146,464
Federal National Mortgage Association		4.50			3/1/2041		15,861		17,383		16,688
Federal National Mortgage Association		4.50			6/1/2048		80,000		83,375		83,524
Federal National Mortgage Association		5.00			6/1/2040		10,067		11,164		10,795
Federal National Mortgage Association		5.00			7/1/2040		73,578		81,256		78,878
Federal National Mortgage Association		5.00			2/1/2044		29,599		32,793		31,699
Federal National Mortgage Association TBA		4.50			7/1/2048		125,000		129,941		130,157
Government National Mortgage Association		3.50			5/20/2043		19,772		19,888		19,853
Government National Mortgage Association		3.50			9/20/2047		73,959		76,886		74,267
Government National Mortgage Association		3.50			10/20/2047		96,431		100,480		96,889
Government National Mortgage Association		3.50			11/20/2047		98,249		102,137		98,761
Government National Mortgage Association		3.50			12/15/2047		24,593		25,483		24,694
Government National Mortgage Association		3.50			12/20/2047		98,703		102,017		99,172
Government National Mortgage Association		3.50			1/15/2048		103,193		105,228		103,723
Government National Mortgage Association		3.50			1/20/2048		284,509		293,299		285,836
Government National Mortgage Association		3.50			2/15/2048		99,378		100,173		99,785
Government National Mortgage Association		3.50			2/20/2048		49,693		50,010		49,900
Government National Mortgage Association		3.50			7/1/2048		100,000		99,828		100,385
Government National Mortgage Association		4.00			10/20/2047		24,025		25,433		24,819
Government National Mortgage Association		4.00			2/20/2048		49,281		50,899		50,612
Government National Mortgage Association TBA		4.00			7/1/2048		250,000		255,234		256,230
U.S. Treasury Bond		2.50			5/15/2046		80,000		72,174		72,694

See accompanying Notes to the Financial Statements.

146

Barings Total Return Bond Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
U.S. Treasury & Government Agencies (Continued)
U.S. Treasury Bond(1)		3.50	%		2/15/2039		175,000	$	188,077	$	190,654
U.S. Treasury Notes		2.00			5/31/2021		270,000		265,240		265,328
U.S. Treasury Notes		2.75			2/15/2028		110,000		108,374		109,059
Total U.S. Treasury & Government Agencies							6,877,239		7,094,296		6,957,182
Total Fixed Income							24,593,522		24,813,116		24,445,632
						SHARES		COST		FAIR VALUE
Mutual Fund — 9.1%*:
Barings U.S. High Yield Fund							268,341		2,613,198		2,635,105

	COUNTERPARTY	STRIKE PRICE		EXPIRATION DATE		CONTRACTS		NOTIONAL		COST		UNREALIZED VALUE			FAIR VALUE
Purchased Options — 1.4%*:
Call Options Purchased — 0.4%*:
OTC—BCM Swaption	JPMorgan Chase Bank N.A.		$2.44		12/13/2032		1,270,000		1,270,000		63,722		(10,470	)		53,252
OTC—BCM Swaption	JPMorgan Chase Bank N.A.		2.61		1/31/2033		1,370,000		1,370,000		65,623		(1,640	)		63,984
Total Call Options Purchased							2,640,000		2,640,000		129,345		(12,110	)		117,236
Put Options Purchased — 1.0%*:
OTC—BCM Swaption	JPMorgan Chase Bank N.A.		2.94		12/13/2032		2,580,000		2,580,000		129,452		11,156			140,608
OTC—BCM Swaption	JPMorgan Chase Bank N.A.		3.11		1/31/2033		2,730,000		2,730,000		130,494		4,751			135,245
Total Put Options							5,310,000		5,310,000		259,946		15,907			275,853

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Short-Term Investments — 9.1%*:
Bank Deposit — 3.9%*:
State Street Bank & Trust Co. Euro Time Deposit		0.28	%		7/2/2018		1,126,545		1,126,545		1,126,545
Commercial Paper — 5.2%*:
Chemicals — 1.7%*:
Avery Dennison Corp.		Zero Coupon			7/2/2018		250,000		249,985		249,985
Nutrien Ltd.+		Zero Coupon			7/12/2018		250,000		249,821		249,821
Total Chemicals							500,000		499,806		499,806

See accompanying Notes to the Financial Statements.

147

Barings Total Return Bond Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE		DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Short-Term Investments (Continued)
Electrical Components and Equipment — 0.9%*:
Molex Electronics Technologies		Zero Coupon		7/9/2018		250,000		$249,867		$249,867
Medical Equipment and Devices Manufacturing — 0.9%*:
Dentsply Sirona .,Inc.		Zero Coupon		7/9/2018		250,000		249,867		249,867
Pipelines — 0.9%*:
Transcanada Pipelines Ltd.+		Zero Coupon		7/17/2018		250,000		249,711		249,711
Retail — 0.8%*:
ERAC USA Finance LLC		Zero Coupon		7/23/2018		250,000		249,633		249,633
Total Commercial Paper						1,500,000		1,498,884		1,498,884
Total Short-Term Investments						2,626,545		2,625,429		2,625,429
Total Investments						35,438,408		30,441,034		30,099,255
Other assets and liabilities — (4.2%)*										(1,213,018	)
Net Assets — 100.0%										$28,886,237

MTN Medium Term Note

OTC Over the Counter

TBA To Be Announced: Securities purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date will be determined upon settlement.

(1) All or a portion of this security is held for futures collateral.

Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

* Calculated as a percentage of net assets applicable to common shareholders.

+ Foreign security.

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:

United States	89.2%
Canada	3.3%
Netherlands	1.6%
Mexico	1.6%
United Kingdom	1.5%
Other (Individually less than 1%)	2.8%
Total	100.0%

^ Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers.

¤ For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 2).

# Variable rate security. The interest rate shown is the rate in effect at June 30, 2018.

** Variable Rate is Fixed to Float: Rate remains fixed until designated future date.

@ Effective interest rate for this security is the coupon rate at issue based on the underlying loans.

See accompanying Notes to the Financial Statements.

148

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

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 6/30/18

VALUE AT 6/30/18

DIVIDEND INCOME

CAPITAL GAIN DISTRIBUTIONS

Barings U.S. High Yield Fund

245,051

$2,595,086

$237,490

$–

$–

$(197,471)

268,341

$2,635,105

$161,230

$75,839

A summary of outstanding derivatives at June 30, 2018 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)
7/17/18	CZK/EUR	JPMorgan Chase Bank N.A.		12,165		312,931	$	135
7/17/18	EUR/CZK	Barclays Bank plc		312,931		12,330		(329	)
7/17/18	EUR/HUF	Goldman Sachs & Co.		3,449,000		11,060		(688	)
7/17/18	EUR/HUF	Citibank N.A.		313,796		1,000		(55	)
7/17/18	EUR/PLN	Goldman Sachs & Co.		245,792		58,353		(2,580	)
7/17/18	EUR/PLN	JPMorgan Chase Bank N.A.		141,933		33,000		(676	)
7/17/18	EUR/PLN	Citibank N.A.		8,650		2,000		(28	)
7/17/18	HUF/EUR	Bank of America N.A.		11,659		3,762,796		274
Net unrealized depreciation on cross currency forward foreign currency exchange contracts							$	(3,947	)

Forward Foreign Currency Exchange Contracts to Buy

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
2/12/19	Bank of America N.A.		ARS	433,440	$	12,414	$	18,000		$  (5,586	)
2/12/19	JPMorgan Chase Bank N.A.		ARS	445,360		12,755		19,000		(6,245	)
7/24/18	Citibank N.A.		AUD	18,940		14,017		14,709		(692	)
7/10/18	JPMorgan Chase Bank N.A.		BRL	58,752		15,146		17,338		(2,192	)
7/10/18	Bank of America N.A.		BRL	73,660		18,989		20,000		(1,011	)
7/10/18	Goldman Sachs & Co.		BRL	131,922		34,009		36,000		(1,991	)
7/10/18	Citibank N.A.		BRL	3,767		971		1,000		(29	)
7/17/18	JPMorgan Chase Bank N.A.		CHF	71,254		72,036		72,000		36
7/10/18	JPMorgan Chase Bank N.A.		CLP	8,011,900		12,262		13,000		(738	)
7/17/18	Goldman Sachs & Co.		EGP	271,518		15,109		15,018		91
7/17/18	Goldman Sachs & Co.		EUR	83,970		98,158		104,725		(6,567	)
7/17/18	JPMorgan Chase Bank N.A.		EUR	34,035		39,785		40,941		(1,156	)
7/17/18	JPMorgan Chase Bank N.A.		GHS	66,600		13,841		14,605		(764	)
7/17/18	Goldman Sachs & Co.		ILS	53,245		14,569		14,885		(316	)
7/24/18	JPMorgan Chase Bank N.A.		INR	1,414,770		20,607		21,075		(468	)
7/10/18	Citibank N.A.		MXN	1,405,868		70,709		75,901		(5,192	)
7/10/18	Goldman Sachs & Co.		MXN	59,938		3,015		3,000		15
7/24/18	Barclays Bank plc		MYR	150,234		37,202		38,533		(1,331	)

See accompanying Notes to the Financial Statements.

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June 30, 2018

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
7/17/18	JPMorgan Chase Bank N.A.		NGN	7,701,000	$	21,703	$	21,021	$	682
7/24/18	Citibank N.A.		NZD	20,459		13,857		14,407		(550	)
2/1/19	Bank of America N.A.		PEN	93,380		28,232		28,695		(463	)
7/17/18	Bank of America N.A.		RUB	2,296,129		36,506		36,255		251
7/17/18	JPMorgan Chase Bank N.A.		RUB	1,141,920		18,156		18,000		156
7/17/18	JPMorgan Chase Bank N.A.		SEK	116,584		13,030		14,137		(1,107	)
7/17/18	Citibank N.A.		SEK	8,677		970		1,000		(30	)
7/17/18	Goldman Sachs & Co.		TRY	91,018		19,688		21,392		(1,704	)
7/17/18	JPMorgan Chase Bank N.A.		TRY	65,366		14,139		14,092		47
Net unrealized depreciation on forward foreign currency exchange contracts to buy									$	(36,854	)

Forward Foreign Currency Exchange Contracts to Sell

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
2/12/19	JPMorgan Chase Bank N.A.		ARS	439,400	$	12,585	$	17,654	$	5,069
2/12/19	Bank of America N.A.		ARS	439,400		12,584		12,816		232
7/24/18	JPMorgan Chase Bank N.A.		AUD	18,940		14,017		14,165		148
7/10/18	Bank of America N.A.		CLP	8,751,593		13,395		14,444		1,049
7/10/18	Citibank N.A.		CLP	8,751,593		13,394		14,542		1,148
7/24/18	Bank of America N.A.		CNH	235,349		35,457		37,353		1,896
7/10/18	JPMorgan Chase Bank N.A.		COP	104,540,400		35,655		36,000		345
7/17/18	JPMorgan Chase Bank N.A.		EGP	271,519		15,108		15,046		(62	)
7/17/18	Barclays Bank plc		EUR	23,527		27,503		27,819		316
7/17/18	JPMorgan Chase Bank N.A.		EUR	105,102		122,860		124,654		1,794
7/17/18	Barclays Bank plc		ILS	53,245		14,569		15,251		682
7/24/18	Barclays Bank plc		INR	943,320		13,740		14,000		260
7/24/18	JPMorgan Chase Bank N.A.		INR	1,414,770		20,608		21,335		727
7/17/18	JPMorgan Chase Bank N.A.		NGN	7,701,000		21,703		21,013		(690	)
7/24/18	JPMorgan Chase Bank N.A.		NZD	20,459		13,857		14,996		1,139
2/1/19	Barclays Bank plc		PEN	93,380		28,232		28,587		355
7/24/18	Citibank N.A.		THB	2,352,960		71,057		72,000		943
7/17/18	JPMorgan Chase Bank N.A.		TRY	91,018		19,688		21,281		1,593
7/17/18	Citibank N.A.		TRY	65,366		14,139		14,000		(139	)
7/17/18	Bank of America N.A.		ZAR	178,367		12,980		14,000		1,020
Net unrealized appreciation on forward foreign currency exchange contracts to sell									$	17,825

Currency Legend

ARS	–	Argentine Peso
AUD	–	Australian Dollar
BRL	–	Brazilian Real
CHF	–	Swiss Franc

See accompanying Notes to the Financial Statements.

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June 30, 2018

CLP	–	Chilean Peso
CNH	–	Chinese Yuan Renminbi
COP	–	Colombian Peso
CZK	–	Czech Koruna
EGP	–	Egyptian Pound
EUR	–	Euro
GHS	–	Ghana Cedi
HUF	–	Hungarian Forint
ILS	–	Israeli Shekel
INR	–	Indian Rupee
MXN	–	Mexican Peso
MYR	–	Malaysian Ringgit
NGN	–	Nigeria Naira
NZD	–	New Zealand Dollar
PEN	–	Peruvian Nouveau Sol
PLN	–	Polish Zloty
RUB	–	Russian Ruble
SEK	–	Swedish Krona
THB	–	Thai Baht
TRY	–	Turkish New Lira
ZAR	–	South African Rand

Futures

TYPE	EXPIRATION DATE	CONTRACTS		NOTIONAL AMOUNT			POSITION		FAIR VALUE			UNREALIZED APPRECIATION
Long Futures
U.S. 10-Year Ultra Bond	09/19/18		1		126,374			Long	$	128,234		$	1,860
U.S. 2-Year Treasury Note	09/28/18		19		4,016,309			Long		4,024,734			8,425
U.S. 5-Year Treasury Note	09/28/18		14		1,579,700			Long		1,590,640			10,940
U.S. Ultra Bond	09/19/18		11		1,686,873			Long		1,755,188			68,315
Total Long Futures												$	89,540
TYPE	EXPIRATION DATE	CONTRACTS		NOTIONAL AMOUNT			POSITION		FAIR VALUE			UNREALIZED DEPRECIATION
Short Future
U.S. Long Bond	09/19/18		4		(565,470	)		Short	$	(580,000	)	$	(14,530	)

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	$	135		$	(6,224	)	$	(6,359	)
CMBX.NA.BBB-.6†		3.00	%	1M		5/11/2063	Goldman Sachs & Co.		70,000		70,000		(5,166	)		(7,262	)		(2,096	)
Total OTC Credit Default Swaps												$	(5,031	)	$	(13,486	)	$	(8,455	)

See accompanying Notes to the Financial Statements.

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June 30, 2018

(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.

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 92.5%*:
Corporate Bonds — 28.9%*:
Chemicals — 1.8%*:
Grupo Idesa SA de CV+^		7.88	%		12/18/2020		500,000		$479,387		$385,000
Petkim Petrokimya Holding AS^+		5.88			1/26/2023		500,000		462,870		453,750
Total Chemicals							1,000,000		942,257		838,750
Commercial Banks — 6.1%*:
Alfa Bank AO Via Alfa Bond Issuance plc, 5 year USD Swap + 6.660%+		8.00	#		2/3/2066		400,000		415,364		392,500
Banco Mercantil del Norte SA, 10 year CMT + 5.353%+		7.63	#		10/6/2065		300,000		326,848		294,810
Banco Mercantil del Norte SA, 10 year CMT + 5.353%+^		7.63	#		12/6/2065		200,000		219,196		196,540
FirstRand Bank Ltd.+		6.25	**#		4/23/2028		900,000		895,313		893,250
Itau Unibanco Holding SA+		6.13	**#		6/12/2066		300,000		301,500		280,500
Itau Unibanco Holding SA+^		6.13	**#		12/31/2099		200,000		200,000		187,000
Turkiye Is Bankasi AS^+		5.50			4/21/2019		600,000		597,338		595,500
Total Commercial Banks							2,900,000		2,955,559		2,840,100
Electric — 1.0%*:
Pampa Energia SA+^		7.38			7/21/2023		500,000		529,989		476,250
Energy-Alternate Sources — 0.8%*:
Rio Energy SA / UGEN SA / UENSA SA+^		6.88			2/1/2025		450,000		445,261		376,875
Food — 1.1%*:
Marfrig Holdings Europe BV+^		8.00			6/8/2023		500,000		510,940		506,250
Gas — 0.9%*:
Fermaca Enterprises S de RL de CV+^		6.38			3/30/2038		411,907		444,640		421,174
Holding Companies-Diverse — 1.0%*:
KOC Holding AS^+		3.50			4/24/2020		500,000		481,738		480,000
Iron/Steel — 1.0%*:
CSN Resources SA+^		7.63			2/13/2023		500,000		490,271		446,250
Media — 3.8%*:
Altice Financing SA+^		6.63			2/15/2023		800,000		793,712		788,400
VTR Finance BV+^		6.88			1/15/2024		1,000,000		1,043,470		1,004,700
Total Media							1,800,000		1,837,182		1,793,100
Mining — 1.6%*:
Petra Diamonds US Treasury plc+^		7.25			5/1/2022		800,000		805,168		756,800
Oil and Gas — 3.1%*:
Petrobras Global Finance BV+		8.75			5/23/2026		1,325,000		1,549,401		1,434,313

See accompanying Notes to the Financial Statements.

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June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Real Estate — 5.6%*:
CIFI Holdings Group Co. Ltd.+		5.38	**#%		2/28/2021		250,000	$	235,877	$	229,063
CIFI Holdings Group Co. Ltd.+		6.88			4/23/2021		630,000		630,000		623,700
New Metro Global Ltd.+		6.50			4/23/2021		1,250,000		1,229,047		1,212,550
Powerlong Real Estate Holdings Ltd.+		5.95			7/19/2020		300,000		296,508		285,750
Yuzhou Properties Co. Ltd.+		6.38			3/6/2021		250,000		249,771		241,904
Total Real Estate							2,680,000		2,641,203		2,592,967
Retail — 1.1%*:
Eurotorg LLC Via Bonitron DAC+^		8.75			10/30/2022		500,000		507,224		498,060
Total Corporate Bonds							13,866,907		14,140,833		13,460,889
Foreign Government — 63.6%*:
Argentina — 2.7%*:
Argentine Bonos del Tesoro+		15.50			10/17/2026		617,000		33,255		18,936
Argentine Republic Government International Bond+		5.25			1/15/2028		350,000		418,054		348,953
Argentine Republic Government International Bond+		7.82			12/31/2033		288,982		397,172		332,411
Provincia de Cordoba+^		7.13			6/10/2021		580,000		596,477		559,700
Total Argentina							1,835,982		1,444,958		1,260,000
Armenia — 2.1%*:
Republic of Armenia International Bond+^		7.15			3/26/2025		920,000		1,000,589		962,550
Brazil — 8.2%*:
Brazil Notas do Tesouro Nacional Serie B+		6.00			8/15/2050		4,750,000		4,892,155		3,843,603
Colombia — 5.7%*:
Colombian TES+		4.75			4/4/2035		683,739,301		255,312		265,623
Colombian TES+		7.75			9/18/2030		6,605,000,000		2,419,145		2,407,189
Total Colombia							7,288,739,301		2,674,457		2,672,812
Croatia — 1.4%*:
Croatia Government International Bond+		2.70			6/15/2028		350,000		405,016		405,664
Croatia Government International Bond+		2.75			1/27/2030		200,000		230,771		228,889
Total Croatia							550,000		635,787		634,553
Dominican Republic — 1.4%*:
Dominican Republic International Bond+^		8.63			4/20/2027		570,000		675,579		644,100
El Salvador — 2.4%*:
El Salvador Government International Bond+^		7.38			12/1/2019		200,000		202,627		205,177
El Salvador Government International Bond+^		8.63			2/28/2029		850,000		993,784		913,389
Total El Salvador							1,050,000		1,196,411		1,118,566

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Foreign Government (Continued)
Ghana — 3.7%*:
Ghana Government Bond+		16.50	%		2/6/2023		3,500,000	$	811,251	$	694,219
Ghana Government Bond+		18.25			7/25/2022		408,000		92,778		85,187
Ghana Government Bond+		21.50			3/9/2020		480,000		113,391		104,703
Ghana Government International Bond+^		10.75			10/14/2030		700,000		873,903		847,000
Total Ghana							5,088,000		1,891,323		1,731,109
Indonesia — 3.0%*:
Indonesia Government International Bond+		1.75			4/24/2025		410,000		506,384		466,828
Indonesia Treasury Bond+		8.38			3/15/2034		13,640,000,000		1,041,249		949,708
Total Indonesia							13,640,410,000		1,547,633		1,416,536
Malaysia — 2.1%*:
Malaysia Government Bond+		4.13			4/15/2032		1,165,000		261,865		269,771
Malaysia Government Bond+		4.94			9/30/2043		2,830,000		741,334		694,455
Total Malaysia							3,995,000		1,003,199		964,226
Mexico — 10.0%*:
Mexican Bonos+		7.75			11/13/2042		62,700,000		3,390,759		3,190,934
Mexico Government International Bond+		5.75			10/12/2110		1,500,000		1,492,868		1,481,250
Total Mexico							64,200,000		4,883,627		4,672,184
Paraguay — 1.3%*:
Paraguay Government International Bond+^		5.60			3/13/2048		600,000		600,000		587,250
Peru — 1.1%*:
Peru Government Bond+		6.85			2/12/2042		1,665,000		571,763		536,435
Russia — 8.2%*:
Russian Federal Bond — OFZ+		7.70			3/23/2033		12,440,000		226,395		198,729
Russian Federal Bond — OFZ+		8.50			9/17/2031		190,560,000		3,712,878		3,243,582
Russian Foreign Bond — Eurobond+^		4.38			3/21/2029		400,000		391,620		387,000
Total Russia							203,400,000		4,330,893		3,829,311
Senegal — 0.7%*:
Senegal Government International Bond+^		4.75			3/13/2028		300,000		372,120		325,816
South Africa — 8.2%*:
South Africa Government Bond+		6.50			2/28/2041		68,200,000		4,228,503		3,541,230
South Africa Government Bond+		8.75			2/28/2048		4,000,000		249,486		265,182
Total South Africa							72,200,000		4,477,989		3,806,412

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Foreign Government (Continued)
Ukrainian — 1.4%*:
Ukraine Government International Bond+^		7.75	%		9/1/2020		325,000	$	340,804	$	321,344
Ukraine Government International Bond+^		7.75			9/1/2021		325,000		341,827		319,475
Total Ukrainian							650,000		682,631		640,819
Total Foreign Government							21,290,923,283		32,881,114		29,646,282
Total Fixed Income							21,304,790,190		47,021,947		43,107,171
Short-Term Investments — 5.9%*:
Bank Deposit — 5.9%*:
State Street Bank & Trust Co. Euro Time Deposit		0.28			7/2/2018		2,756,609		2,756,609		2,756,609
Total Investments							21,307,546,799		49,778,556		45,863,780
Other assets and liabilities – 1.6%*											751,032
Net Assets – 100.0%											$46,614,812

‡‡ Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

* Calculated as a percentage of net assets applicable to common shareholders.

+ Foreign security.

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:

Brazil	14.5%
Mexico	13.8%
South Africa	10.6%
Russia	8.9%
Colombia	6.2%
Argentina	4.9%
Ghana	4.0%
Turkey	3.5%
Indonesia	3.3%
Ivory Coast	3.2%
China	2.8%
El Salvador	2.6%
Chile	2.3%
Malaysia	2.2%
Armenia	2.2%
Saudi Arabia	2.1%
Portugal	1.8%
Dominican Republic	1.5%
Ukrainian	1.5%
Croatia	1.5%
Paraguay	1.4%
Peru	1.2%
Belarus	1.2%
Belize	1.1%
Other (Individually less than 1%)	1.7%
Total	100.0%

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

^ Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers.

# Variable rate security. The interest rate shown is the rate in effect at June 30, 2018.

** Variable Rate is Fixed to Float: Rate remains fixed until designated future date.

A summary of outstanding derivatives at June 30, 2018 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)
7/17/18	CZK/EUR	JPMorgan Chase Bank N.A.		871,685		22,423,425	$	9,694
7/17/18	EUR/CZK	Barclays Bank plc		22,423,425		883,525		(23,534	)
7/17/18	EUR/HUF	Goldman Sachs & Co.		143,591,929		460,474		(28,643	)
7/17/18	EUR/PLN	Citibank N.A.		1,946,336		450,000		(6,315	)
7/17/18	EUR/PLN	JPMorgan Chase Bank N.A.		8,950,381		2,081,000		(42,645	)
7/17/18	EUR/PLN	Goldman Sachs & Co.		17,414,991		4,134,466		(182,816	)
7/17/18	EUR/RSD	JPMorgan Chase Bank N.A.		104,074,680		873,055		8,586
7/17/18	HUF/EUR	Bank of America N.A.		892,000		287,855,625		21,062
Net unrealized depreciation on cross currency forward foreign currency exchange contracts							$	(244,611	)

Forward Foreign Currency Exchange Contracts to Buy

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
2/12/19	State Street Bank & Trust Co.		ARS	48,501,050	$	1,389,074	$	2,015,000	$	(625,926	)
2/12/19	Bank of America N.A.		ARS	6,742,400		193,103		280,000		(86,897	)
7/24/18	Citibank N.A.		AUD	1,296,030		959,182		1,006,514		(47,332	)
7/10/18	Citibank N.A.		BRL	561,283		144,698		149,000		(4,302	)
7/10/18	Goldman Sachs & Co.		BRL	9,666,951		2,492,125		2,638,000		(145,875	)
7/10/18	Bank of America N.A.		BRL	858,139		221,227		233,000		(11,773	)
7/17/18	JPMorgan Chase Bank N.A.		CHF	2,371,515		2,397,519		2,404,000		(6,481	)
7/10/18	Barclays Bank plc		CLP	35,378,000		54,146		56,000		(1,854	)
7/10/18	JPMorgan Chase Bank N.A.		CLP	612,602,200		937,588		994,000		(56,412	)
7/24/18	Citibank N.A.		CNH	1,105,054		166,482		172,000		(5,518	)
7/17/18	Goldman Sachs & Co.		EGP	18,551,781		1,032,293		1,026,094		6,199
7/17/18	JPMorgan Chase Bank N.A.		EUR	2,075,305		2,425,964		2,498,744		(72,780	)
7/17/18	Bank of America N.A.		EUR	212,408		248,298		258,000		(9,702	)
7/17/18	Goldman Sachs & Co.		EUR	6,720,325		7,855,839		8,381,429		(525,590	)
7/17/18	Barclays Bank plc		HUF	127,109,790		451,138		508,601		(57,463	)
7/17/18	Goldman Sachs & Co.		ILS	3,423,310		936,698		957,034		(20,336	)
7/24/18	JPMorgan Chase Bank N.A.		INR	100,047,973		1,457,275		1,490,362		(33,087	)
7/17/18	JPMorgan Chase Bank N.A.		MAD	23,480,042		2,473,480		2,556,046		(82,566	)
7/10/18	Citibank N.A.		MXN	32,227,624		1,620,900		1,739,914		(119,014	)
7/24/18	Barclays Bank plc		MYR	6,063,295		1,501,435		1,555,154		(53,719	)
7/17/18	JPMorgan Chase Bank N.A.		NGN	919,299,682		2,539,502		2,509,348		30,154

See accompanying Notes to the Financial Statements.

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EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
7/24/18	Citibank N.A.		NZD	1,528,635	$	1,035,356	$	1,076,456	$	(41,100	)
2/1/19	Bank of America N.A.		PEN	888,720		268,692		273,099		(4,407	)
2/1/19	State Street Bank & Trust Co.		PEN	3,222,868		974,389		979,000		(4,611	)
7/17/18	Citibank N.A.		RUB	8,553,505		135,994		136,139		(145	)
7/17/18	JPMorgan Chase Bank N.A.		RUB	125,801,520		2,000,152		1,983,000		17,152
7/17/18	Bank of America N.A.		RUB	14,260,600		226,733		226,000		733
7/17/18	JPMorgan Chase Bank N.A.		SEK	8,864,950		990,769		1,074,906		(84,137	)
7/17/18	Goldman Sachs & Co.		TRY	6,142,947		1,328,789		1,443,820		(115,031	)
7/17/18	Barclays Bank plc		ZAR	30,702,878		2,234,275		2,458,000		(223,725	)
Net unrealized depreciation on forward foreign currency exchange contracts to buy									$	(2,385,545	)

Forward Foreign Currency Exchange Contracts to Sell

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
2/12/19	Bank of America N.A.		ARS	27,621,725	$	791,088	$	805,650	$	14,562
2/12/19	JPMorgan Chase Bank N.A.		ARS	27,621,725		791,088		1,109,752		318,664
7/24/18	JPMorgan Chase Bank N.A.		AUD	1,296,030		959,182		969,329		10,147
7/10/18	JPMorgan Chase Bank N.A.		BRL	8,649,354		2,229,789		2,297,000		67,211
7/10/18	Goldman Sachs & Co.		BRL	69,012		17,791		20,384		2,593
7/17/18	JPMorgan Chase Bank N.A.		CHF	49,221		49,761		50,000		239
7/10/18	Citibank N.A.		CLP	622,169,543		952,231		1,033,830		81,599
7/10/18	Bank of America N.A.		CLP	622,169,543		952,231		1,026,835		74,604
7/24/18	Bank of America N.A.		CNH	16,461,850		2,480,059		2,612,708		132,649
7/10/18	JPMorgan Chase Bank N.A.		COP	6,998,399,000		2,386,935		2,410,000		23,065
7/10/18	Citibank N.A.		COP	7,999,776,526		2,728,473		2,849,786		121,313
7/17/18	JPMorgan Chase Bank N.A.		EGP	18,551,781		1,032,293		1,028,084		(4,209	)
7/17/18	JPMorgan Chase Bank N.A.		EUR	6,999,047		8,181,656		8,300,000		118,344
7/17/18	Barclays Bank plc		EUR	2,406,143		2,812,703		2,845,000		32,297
7/24/18	Bank of America N.A.		IDR	273,900,000		19,123		19,748		625
7/17/18	Barclays Bank plc		ILS	3,423,310		936,698		980,568		43,870
7/24/18	Barclays Bank plc		INR	64,011,000		932,369		950,000		17,631
7/24/18	JPMorgan Chase Bank N.A.		INR	100,047,973		1,457,275		1,508,713		51,438
7/17/18	JPMorgan Chase Bank N.A.		MAD	23,480,042		2,473,479		2,510,241		36,762
7/17/18	JPMorgan Chase Bank N.A.		NGN	919,299,682		2,539,502		2,508,321		(31,181	)
7/24/18	JPMorgan Chase Bank N.A.		NZD	1,528,635		1,035,356		1,120,487		85,131
2/1/19	Barclays Bank plc		PEN	4,111,588		1,243,082		1,258,714		15,632
7/17/18	Bank of America N.A.		RUB	59,554,985		946,881		934,416		(12,465	)
7/24/18	Citibank N.A.		THB	152,223,440		4,596,992		4,658,000		61,008
7/17/18	JPMorgan Chase Bank N.A.		TRY	6,142,947		1,328,789		1,436,275		107,486
7/17/18	Bank of America N.A.		ZAR	29,354,112		2,136,124		2,304,000		167,876
7/17/18	JPMorgan Chase Bank N.A.		ZAR	56,097,300		4,082,249		4,618,126		535,877
Net unrealized appreciation on forward foreign currency exchange contracts to sell									$	2,072,768

See accompanying Notes to the Financial Statements.

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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

HUF – Hungarian Forint

IDR – Indonesian Rupiah

ILS – Israeli Shekel

INR – Indian Rupee

MAD – Moroccan Diram

MXN – Mexican Peso

MYR – Malaysian Ringgit

NGN – Nigeria Naira

NZD – New Zealand Dollar

PEN – Peruvian Nouveau Sol

PLN – Polish Zloty

RSD – Serbian Dinar.

RUB – Russian Ruble

SEK – Swedish Krona

THB – Thai Baht

TRY – Turkish New Lira

ZAR – South African Rand

Futures
TYPE	EXPIRATION DATE		CONTRACTS		NOTIONAL AMOUNT			POSITION	FAIR VALUE			UNREALIZED DEPRECIATION
Short Future
U.S. Ultra Bond		09/19/18		8		(1,233,926	)	Short	$	(1,276,500	)	$	(42,574	)

See accompanying Notes to the Financial Statements.

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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)
$300,000 EUR		4.75	%	1Y/6M		03/13/2028		Bank of America N.A.	$	372,150 USD		7.43	%	$	30		$	26,967		$	26,937
288,982 EUR		7.82	%	1Y/6M		12/31/2033		Citibank N.A.		355,737 USD		10.98	%		66,685			17,335			(49,350	)
410,000 EUR		1.75	%	1Y/6M		04/24/2025		Citibank N.A.		507,170 USD		4.48	%		(102	)		32,730			32,832
200,000 EUR		2.75	%	1Y/6M		01/27/2030		Citibank N.A.		235,400 USD		4.89	%		(10	)		(3,107	)		(3,097	)
350,000 EUR		2.70	%	1Y/6M		06/15/2028		Citibank N.A.		411,740 USD		5.34	%		(246	)		5,866			6,112
200,000 EUR		5.30	%	1Y/6M		01/15/2028		Citibank N.A.		233,200 USD		7.85	%		(40	)		(6,164	)		(6,124	)
150,000 EUR		5.25	%	1Y/6M		01/15/2028		Citibank N.A.		184,200 USD		7.93	%		270			10,686			10,416
Total OTC Cross Currency Swaps														$	66,587		$	84,313		$	17,726

OTC – Interest Rate Swaps

DESCRIPTION	NOTIONAL AMOUNT			UNREALIZED APPRECIATION (DEPRECIATION)			VALUE
Agreement with Bank of America N.A. dated 5/30/18 receiving a fixed rate of 11.31% paying the notional amount multiplied by the BRL-CDI rate. Expiring 1/4/27		BRL	2,873,876	$	(18,391	)	$	(18,391	)
Agreement with Bank of America N.A. dated 02/14/18 paying a fixed rate of 0.96% receiving the notional amount multiplied by the ILS-TELBOR rate. Expiring 2/14/23		ILS	2,700,000		3,981			3,981
Agreement with Bank of America N.A. dated 2/6/18 paying a fixed rate of 0.885 receiving the notional amount multiplied by the ILS-TELBOR rate. Expiring 2/6/23		ILS	350,000		816			816
Agreement with Bank of America N.A. dated 06/27/18 receiving a fixed rate of 9.35% paying the notional amount multiplied by the BRL-CDI rate. Expiring 1/4/21		BRL	3,994,027		3,020			3,020
Agreement with Bank of America N.A. dated 06/06/18 receiving a fixed rate of 12.06% paying the notional amount multiplied by the BRL-CDI rate. Expiring 1/4/27		BRL	981,513		10,692			10,692
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		22,987			22,987
Agreement with Bank of America N.A. dated 1/1217 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		(1,942	)		(1,942	)
Agreement with BNP Paribas N.A. dated 03/14/18 paying a fixed rate of 0.855% receiving the notional amount multiplied by the ILS-TELBOR rate. Expiring 3/14/23		ILS	19,730,000		59,807			59,807

See accompanying Notes to the Financial Statements.

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June 30, 2018

DESCRIPTION	NOTIONAL AMOUNT			UNREALIZED APPRECIATION (DEPRECIATION)			VALUE
Agreement with BNP Paribas N.A. dated 03/14/18 paying a fixed rate of 1.00% receiving the notional amount multiplied by the HUF-BUBOR rate. Expiring 3/14/23		HUF	518,600,000	$	71,569		$	71,569
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-TELBOR rate. Expiring 5/19/20		ILS	6,500,000		(414	)		(414	)
Agreement with JPMorgan Chase Bank N.A. dated 5/23/18 receiving a fixed rate of 7.9% paying the notional amount multiplied by the ZAR-JIBAR rate. Expiring 5/23/28		ZAR	14,250,000		(27,026	)		(27,026	)
Agreement with JPMorgan Chase Bank N.A. dated 1/12/17 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		1,066			1,066
Total OTC Interest Rate Swaps				$	126,165		$	126,165

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		6/20/2023	BNP Paribas S.A.		100,000		100,000	$	(103	)	$	(1,089	)	$	(986	)
Colombia Government International Bond	1.00%		3M		6/20/2023	Bank of America N.A.		400,000		400,000		610			(4,355	)		(4,965	)
Indonesia Government International Bond	1.00%		3M		6/20/2023	BNP Paribas S.A.		200,000		200,000		569			(3,174	)		(3,743	)
Indonesia Government International Bond	1.00%		3M		6/20/2023	BNP Paribas S.A.		800,000		800,000		152			(12,695	)		(12,847	)
Malaysia Government International Bond	1.00%		3M		6/20/2023	BNP Paribas S.A.		100,000		100,000		1,560			(287	)		(1,847	)
Malaysia Government International Bond	1.00%		3M		6/20/2023	BNP Paribas S.A.		400,000		400,000		5,273			(1,148	)		(6,421	)
Mexico Government International Bond	1.00%		3M		6/20/2023	BNP Paribas S.A.		200,000		200,000		(1,676	)		(3,078	)		(1,402	)
Mexico Government International Bond	1.00%		3M		6/20/2023	Bank of America N.A.		800,000		800,000		126			(12,312	)		(12,438	)
Panama Government International Bond	1.00%		3M		6/20/2023	Bank of America N.A.		200,000		200,000		3,124			2,288			(836	)
Panama Government International Bond	1.00%		3M		6/20/2023	Barclays Bank plc		800,000		800,000		14,492			9,150			(5,342	)

See accompanying Notes to the Financial Statements.

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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)
Peruvian Government International Bond	1.00%		3M		6/20/2023		BNP Paribas S.A.		800,000		800,000	$	10,401		$	3,881		$	(6,520	)
Peruvian Government International Bond	1.00%		3M		6/20/2023		BNP Paribas S.A.		200,000		200,000		2,281			970			(1,311	)
Russian Government International Bond	1.00%		3M		6/20/2023		Bank of America N.A.		100,000		100,000		(1,019	)		(1,840	)		(821	)
Russian Government International Bond	1.00%		3M		6/20/2023		Bank of America N.A.		400,000		400,000		(8,345	)		(7,359	)		986
Total OTC Credit Default Swaps												$	27,445		$	(31,048	)	$	(58,493	)

(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) 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.

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June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 86.0%*:
Foreign Government — 86.0%*:
Argentina — 0.7%*:
Argentine Bonos del Tesoro+		15.50	%		10/17/2026		4,039,000		$210,327		$124,277
Brazil — 7.5%*:
Brazil Notas do Tesouro Nacional Serie B+		6.00			8/15/2050		1,712,000		1,702,933		1,395,748
Chile — 4.4%*:
Bonos de la Tesoreria de la Republica en pesos+		4.50			3/1/2021		485,000,000		783,898		760,243
Chile Government International Bond+		5.50			8/5/2020		32,300,000		47,439		51,497
Total Chile							517,300,000		831,337		811,740
Colombia — 7.8%*:
Colombian TES+		3.00			3/25/2033		694,362,004		221,681		220,132
Colombian TES+		4.75			4/4/2035		2,067,540,594		799,259		801,585
Colombian TES+		7.75			9/18/2030		1,148,000,000		380,201		417,542
Total Colombia							3,909,902,598		1,401,141		1,439,259
El Salvador — 0.9%*:
El Salvador Government International Bond+^		8.25			4/10/2032		159,000		176,442		164,565
El Salvador Government International Bond+^		8.63			2/28/2029		10,000		10,691		10,746
Total El Salvador							169,000		187,133		175,311
Ghana — 1.8%*:
Ghana Government Bond+		16.50			2/6/2023		240,000		55,530		47,597
Ghana Government Bond+		18.25			7/25/2022		785,000		178,921		163,876
Ghana Government Bond+		21.50			3/9/2020		330,000		78,134		71,973
Ghana Government Bond+		24.75			3/1/2021		100,000		26,625		23,551
Ghana Government Bond+		24.75			7/19/2021		110,000		28,378		26,318
Total Ghana							1,565,000		367,588		333,315
Hungary — 0.3%*:
Hungary Government Bond+		5.50			12/20/2018		14,750,000		57,057		53,585
Indonesia — 8.7%*:
Indonesia Treasury Bond+		8.25			5/15/2036		2,120,000,000		168,624		146,277
Indonesia Treasury Bond+		8.38			3/15/2034		20,909,000,000		1,639,462		1,455,824
Total Indonesia							23,029,000,000		1,808,086		1,602,101
Malaysia — 4.7%*:
Malaysia Government Bond+		4.74			3/15/2046		2,995,000		718,869		716,560
Malaysia Government Bond+		4.94			9/30/2043		653,000		157,109		160,240
Total Malaysia							3,648,000		875,978		876,800

See accompanying Notes to the Financial Statements.

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	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Foreign Government (Continued)
Mexico — 5.0%*:
Mexican Bonos+		7.75	%		11/13/2042		17,990,000	$	993,171	$	925,074
Nigeria — 1.3%*:
Nigeria Treasury Bill+		Zero Coupon			7/5/2018		90,550,000		251,264		249,377
Peru — 2.8%*:
Peru Government Bond+		6.85			2/12/2042		1,070,000		351,507		345,736
Peru Government Bond+		8.20			8/12/2026		500,000		180,744		181,569
Total Peru							1,570,000		532,251		527,305
Philippines — 2.6%*:
Philippine Government Bond+		5.75			8/16/2037		50,000		888		843
Philippine Government Bond+		6.13			10/24/2037		2,910,000		53,794		49,648
Philippine Government Bond+		6.25			3/22/2028		14,750,000		283,814		270,978
Philippine Government Bond+		6.50			2/22/2038		8,600,000		159,841		154,236
Philippine Government Bond+		7.63			9/29/2036		90,000		1,907		1,855
Philippine Government Bond+		8.13			12/16/2035		90,000		1,974		1,850
Total Philippines							26,490,000		502,218		479,410
Poland — 4.7%*:
Poland Government Bond+		2.50			7/25/2018		3,225,000		886,823		861,571
Romania — 4.6%*:
Romania Government Bond+		5.60			11/28/2018		2,510,000		644,043		633,099
Romania Government Bond+		5.80			7/26/2027		860,000		248,184		223,730
Total Romania							3,370,000		892,227		856,829
Russia — 11.4%*:
Russian Federal Bond — OFZ+		7.70			3/23/2033		50,717,000		864,281		811,480
Russian Federal Bond — OFZ+		8.50			9/17/2031		75,713,000		1,424,496		1,290,765
Total Russia							126,430,000		2,288,777		2,102,245
Serbia — 2.1%*:
Serbia Treasury Bond+		5.75			7/21/2023		20,120,000		205,650		213,537
Serbia Treasury Bonds+		5.88			2/8/2028		17,300,000		188,698		183,951
Total Serbia							37,420,000		394,348		397,488
South Africa — 10.9%*:
South Africa Government Bond+		6.50			2/28/2041		28,300,000		1,501,009		1,470,661
South Africa Government Bond+		8.75			2/28/2048		8,200,000		522,280		544,070
Total South Africa							36,500,000		2,023,289		2,014,731
Thailand — 3.8%*:
Thailand Government Bond+		3.88			6/13/2019		23,050,000		728,148		710,645
Total Foreign Government							27,848,680,598		16,934,096		15,936,811
Total Fixed Income							27,848,680,598		16,934,096		15,936,811

See accompanying Notes to the Financial Statements.

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June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Short-Term Investments — 12.5%*:
Bank Deposit — 12.5%*:
State Street Bank & Trust Co. Euro Time Deposit		0.28	%		7/2/2018		2,306,774	$	2,306,774	$	2,306,774
Total Investments							27,850,987,372		19,240,870		18,243,585
Other assets and liabilities — 1.5%*									275,629
Net Assets — 100.0%											$18,519,214

‡‡ Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

* Calculated as a percentage of net assets applicable to common shareholders.

+ Foreign security.

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:

Russia	13.2%
South Africa	12.6%
Indonesia	10.0%
Colombia	9.0%
Brazil	8.8%
Mexico	5.8%
Malaysia	5.5%
Poland	5.4%
Romania	5.4%
Chile	5.1%
Thailand	4.5%
Peru	3.3%
Philippines	3.0%
Serbia	2.5%
Ghana	2.1%
Nigeria	1.6%
El Salvador	1.1%
Other (Individually less than 1%)	1.1%
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.

A summary of outstanding derivatives at June 30, 2018 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)
7/17/18	CZK/EUR	Goldman Sachs & Co.		406,000		10,446,786	$	5,340
7/17/18	EUR/CZK	Citibank N.A.		1,859,128		72,000		(655	)

See accompanying Notes to the Financial Statements.

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June 30, 2018

EXPIRATION DATE	DELIVER/RECEIVE	COUNTERPARTY	CONTRACT AMOUNT PURCHASED		CONTRACT AMOUNT SOLD		NET UNREALIZED APPRECIATION (DEPRECIATION)
7/17/18	EUR/CZK	Barclays Bank plc		26,069,998		1,027,207	$	(29,725	)
7/17/18	EUR/HUF	Citibank N.A.		16,302,189		51,000		(1,724	)
7/17/18	EUR/HUF	Goldman Sachs & Co.		194,234,141		622,875		(38,336	)
7/17/18	EUR/PLN	Goldman Sachs & Co.		5,068,870		1,202,029		(50,693	)
7/17/18	EUR/PLN	JPMorgan Chase Bank N.A.		1,109,658		258,000		(5,086	)
7/17/18	EUR/RON	Barclays Bank plc		850,319		181,518		594
7/17/18	EUR/RSD	JPMorgan Chase Bank N.A.		28,510,064		239,163		2,412
7/17/18	RON/EUR	Citibank N.A.		89,000		416,759		(251	)
Net unrealized depreciation on cross currency forward foreign currency exchange contracts							$	(118,124	)

Forward Foreign Currency Exchange Contracts to Buy

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
2/12/19	Goldman Sachs & Co.		ARS	3,877,500	$	112,303	$	165,000	$	(52,697	)
2/12/19	JPMorgan Chase Bank N.A.		ARS	2,601,840		75,356		111,000		(35,644	)
2/12/19	Bank of America N.A.		ARS	8,428,000		244,097		350,000		(105,903	)
7/24/18	Citibank N.A.		AUD	525,272		388,119		407,933		(19,814	)
7/10/18	JPMorgan Chase Bank N.A.		BRL	2,520,405		654,523		743,767		(89,244	)
7/10/18	Citibank N.A.		BRL	565,050		146,738		150,000		(3,262	)
7/10/18	Goldman Sachs & Co.		BRL	1,333,878		346,394		364,000		(17,606	)
7/10/18	Bank of America N.A.		BRL	1,082,802		281,193		294,000		(12,807	)
7/10/18	Barclays Bank plc		BRL	315,945		82,048		90,000		(7,952	)
7/17/18	Bank of America N.A.		CHF	17,631		17,777		18,000		(223	)
7/17/18	JPMorgan Chase Bank N.A.		CHF	925,399		933,044		935,000		(1,956	)
7/10/18	Barclays Bank plc		CLP	15,793,750		24,260		25,000		(740	)
7/10/18	JPMorgan Chase Bank N.A.		CLP	246,520,000		378,665		400,000		(21,335	)
7/17/18	JPMorgan Chase Bank N.A.		EGP	686,698		38,211		38,000		211
7/17/18	Goldman Sachs & Co.		EGP	6,809,958		378,932		376,656		2,276
7/17/18	Bank of America N.A.		EUR	58,913		68,853		69,000		(147	)
7/17/18	JPMorgan Chase Bank N.A.		EUR	257,130		300,513		309,600		(9,087	)
7/17/18	Goldman Sachs & Co.		EUR	2,387,397		2,790,193		2,977,505		(187,312	)
7/17/18	Barclays Bank plc		HUF	142,782,692		506,951		571,313		(64,362	)
7/24/18	Bank of America N.A.		IDR	3,321,454,040		231,812		239,471		(7,659	)
7/17/18	Goldman Sachs & Co.		ILS	1,394,609		381,358		389,882		(8,524	)
7/24/18	JPMorgan Chase Bank N.A.		INR	27,321,910		397,865		407,000		(9,135	)
7/17/18	JPMorgan Chase Bank N.A.		MAD	3,816,177		401,976		415,431		(13,455	)
7/10/18	Citibank N.A.		MXN	38,838,965		1,973,750		2,096,849		(123,099	)
7/10/18	Goldman Sachs & Co.		MXN	1,581,136		80,352		79,000		1,352
10/10/18	Barclays Bank plc		MXN	861,770		43,174		42,639		535
7/24/18	Barclays Bank plc		MYR	2,978,169		737,087		763,861		(26,774	)
7/17/18	JPMorgan Chase Bank N.A.		NGN	75,087,102		207,423		204,960		2,463
7/24/18	Citibank N.A.		NZD	564,524		382,214		397,534		(15,320	)

See accompanying Notes to the Financial Statements.

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June 30, 2018

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
2/1/19	Bank of America N.A.		PEN	1,852,947	$	561,884	$	569,736	$	(7,852	)
7/17/18	Bank of America N.A.		PLN	1,815,126		484,908		537,772		(52,864	)
7/17/18	JPMorgan Chase Bank N.A.		RUB	6,985,599		111,244		108,467		2,777
7/17/18	Bank of America N.A.		RUB	26,312,700		419,023		417,000		2,023
7/17/18	JPMorgan Chase Bank N.A.		SEK	3,352,797		375,167		406,539		(31,372	)
7/24/18	BNP Paribas S.A.		THB	1,086,773		32,819		34,000		(1,181	)
7/24/18	Citibank N.A.		THB	48,951,866		1,478,296		1,572,447		(94,151	)
7/17/18	Citibank N.A.		TRY	721,685		156,539		155,181		1,358
7/17/18	JPMorgan Chase Bank N.A.		TRY	992,111		215,196		213,373		1,823
7/17/18	Goldman Sachs & Co.		TRY	5,689,875		1,234,175		1,304,708		(70,533	)
7/17/18	Barclays Bank plc		ZAR	4,609,179		335,689		369,000		(33,311	)
Net unrealized depreciation on forward foreign currency exchange contracts to buy									$	(1,110,503	)

Forward Foreign Currency Exchange Contracts to Sell

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
2/12/19	JPMorgan Chase Bank N.A.		ARS	7,453,670	$	215,878	$	299,464	$	83,586
2/12/19	Bank of America N.A.		ARS	7,453,670		215,878		217,403		1,525
7/24/18	JPMorgan Chase Bank N.A.		AUD	525,272		388,120		392,863		4,743
7/17/18	JPMorgan Chase Bank N.A.		CHF	26,579		26,799		27,000		201
7/10/18	Bank of America N.A.		CLP	362,981,209		557,555		599,068		41,513
7/10/18	Citibank N.A.		CLP	362,981,209		557,554		603,149		45,595
7/24/18	Bank of America N.A.		CNH	5,278,152		795,929		837,711		41,782
7/24/18	BNP Paribas S.A.		CNH	102,778		15,499		16,000		501
7/10/18	Goldman Sachs & Co.		COP	31,801,550		10,824		11,000		176
7/10/18	JPMorgan Chase Bank N.A.		COP	2,691,915,300		916,268		927,000		10,732
7/10/18	Citibank N.A.		COP	29,960,940		10,198		10,673		475
7/17/18	JPMorgan Chase Bank N.A.		EGP	7,496,656		417,143		415,442		(1,701	)
7/17/18	Barclays Bank plc		EUR	177,806		207,805		210,236		2,431
7/17/18	JPMorgan Chase Bank N.A.		EUR	1,515,157		1,770,790		1,794,691		23,901
7/17/18	Citibank N.A.		EUR	147,872		172,820		173,152		332
7/24/18	Bank of America N.A.		IDR	3,321,454,040		231,812		238,696		6,884
7/17/18	Barclays Bank plc		ILS	1,394,609		381,358		399,470		18,112
7/24/18	JPMorgan Chase Bank N.A.		INR	41,044,591		597,697		618,948		21,251
7/24/18	Barclays Bank plc		INR	11,724,120		170,728		174,000		3,272
7/17/18	JPMorgan Chase Bank N.A.		MAD	3,816,177		401,976		407,986		6,010
7/3/18	Barclays Bank plc		MXN	861,770		43,843		43,296		(547	)
7/24/18	Barclays Bank plc		MYR	419,407		103,802		106,000		2,198
7/17/18	JPMorgan Chase Bank N.A.		NGN	75,087,102		207,423		204,876		(2,547	)
7/24/18	JPMorgan Chase Bank N.A.		NZD	564,524		382,214		413,795		31,581
2/1/19	Barclays Bank plc		PEN	1,852,947		561,884		567,257		5,373
7/24/18	JPMorgan Chase Bank N.A.		PHP	13,329,920		249,277		253,613		4,336

See accompanying Notes to the Financial Statements.

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June 30, 2018

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
7/24/18	Bank of America N.A.		PHP	10,346,840	$	193,492	$	196,000	$	2,508
7/17/18	JPMorgan Chase Bank N.A.		RON	2,252,618		563,572		599,627		36,055
7/17/18	JPMorgan Chase Bank N.A.		RSD	28,843,487		285,223		301,694		16,471
7/17/18	Bank of America N.A.		RUB	21,862,947		348,162		343,029		(5,133	)
7/24/18	JPMorgan Chase Bank N.A.		THB	17,279,794		521,832		539,959		18,127
7/24/18	Citibank N.A.		THB	39,902,280		1,205,008		1,221,000		15,992
7/17/18	JPMorgan Chase Bank N.A.		TRY	4,123,869		894,497		967,523		73,026
7/17/18	Barclays Bank plc		ZAR	202,965		14,782		16,000		1,218
7/17/18	Bank of America N.A.		ZAR	4,777,688		347,962		375,000		27,038
7/17/18	JPMorgan Chase Bank N.A.		ZAR	12,780,873		930,838		1,052,166		121,328
Net unrealized appreciation on forward foreign currency exchange contracts to sell									$	658,345

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
HUF	–	Hungarian Forint
IDR	–	Indonesian Rupiah
ILS	–	Israeli Shekel
INR	–	Indian Rupee
MAD	–	Moroccan Diram
MXN	–	Mexican Peso
MYR	–	Malaysian Ringgit
NGN	–	Nigeria Naira
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
THB	–	Thai Baht
TRY	–	Turkish New Lira
ZAR	–	South African Rand

See accompanying Notes to the Financial Statements.

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June 30, 2018

OTC – Interest Rate Swaps

DESCRIPTION	NOTIONAL AMOUNT			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	$	19,186		$	19,186
Agreement with Bank of America N.A. dated 2/14/18 paying a fixed rate of 0.96% receiving the notional amount multiplied by the ILS-TELBOR rate. Expiring 2/14/23		ILS	5,900,000		8,694			8,694
Agreement with Bank of America N.A. dated 2/6/18 paying a fixed rate of 0.885% receiving the notional amount multiplied by the ILS-TELBOR rate. Expiring 2/6/23		ILS	700,000		1,631			1,631
Agreement with Bank of America N.A. dated 12/21/17 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		23,757			23,757
Agreement with Bank of America N.A. dated 11/24/17 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		24,003			24,003
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		6,869			6,869
Agreement with Bank of America N.A. dated 06/27/18 receiving a fixed rate of 9.355% paying the notional amount multiplied by the BRL-CDI rate. Expiring 01/24/21		BRL	1,597,611		1,217			1,217
Agreement with Bank of America N.A. dated 06/06/18 receiving a fixed rate of 12.06% paying the notional amount multiplied by the BRL-CDI rate. Expiring 01/04/27		BRL	415,255		4,557			4,557
Agreement with Bank of America N.A. dated 05/30/18 receiving a fixed rate of 11.31% paying the notional amount multiplied by the BRL-CDI rate. Expiring 01/04/27		BRL	1,117,619		(7,205	)		(7,205	)
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		(21,701	)		(21,701	)
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-TELBOR rate. Expiring 5/19/20		ILS	1,700,000		(108	)		(108	)
Total OTC Interest Rate Swaps				$	60,900		$	60,900

See accompanying Notes to the Financial Statements.

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June 30, 2018

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 DEPRECIATION
MXN-TIIE Rate	Pay		7.77	%		4/5/27		1M/1M		14,700,000		CME		(6,995	)
MXN-TIIE Rate	Pay		7.73	%		12/8/27		28D/28D		18,100,000		CME		(17,546	)
Total Centrally Cleared Interest Rate Swaps													$	(24,541	)

Abbreviation Legend

OTC Over the Counter

See accompanying Notes to the Financial Statements.

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June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡			COST		FAIR VALUE
Fixed Income — 97.7%*:
Bank Loans — 3.3%*§:
Oil and Gas — 2.5%*:
Fieldwood Energy LLC, 1M LIBOR + 5.250%		7.34	%		4/11/2022		300,000			$304,500		$300,150
Caelus Energy Alaska O3 LLC, 3M LIBOR + 7.500%		9.83			4/15/2020		250,000			225,000		228,750
Gulf Finance LLC, 3M LIBOR + 5.250%		7.59			8/25/2023		100,854			100,122		86,818
Total Oil and Gas							650,854	��		629,622		615,718
Printing and Publishing — 0.8%*:
Getty Images, Inc., 3M LIBOR + 3.500%		5.59			10/18/2019		199,458			192,971		192,311
Total Bank Loans							850,312			822,593		808,029
Corporate Bonds — 94.4%*:
Aerospace and Defense — 2.4%*:
Swissport Financing Sarl+		9.75			12/15/2022		100,000			131,180		125,384
Triumph Group, Inc.		4.88			4/1/2021		38,000			36,934		36,575
Triumph Group, Inc.		7.75			8/15/2025		250,000			250,000		247,500
VistaJet Malta Finance PLC / VistaJet Co. Finance LLC^		7.75			6/1/2020		200,000			199,756		198,000
Total Aerospace and Defense							588,000			617,870		607,459
Automobile — 2.3%*:
AA Bond Co. Ltd.+		5.50			7/31/2022		200,000			276,805		240,722
JB Poindexter & Co., Inc.^		7.13			4/15/2026		202,000			202,000		207,050
RAC Bond Co. PLC+		5.00			11/6/2022		100,000			128,880		124,482
Total Automobile							502,000			607,685		572,254
Beverage, Food and Tobacco — 3.9%*:
Boparan Finance PLC+		5.50			7/15/2021		150,000			189,742		171,337
JBS USA LUX SA/JBS USA Finance, Inc.^		5.88			7/15/2024		137,000			140,377		130,836
JBS USA LUX SA/JBS USA Finance, Inc.^		6.75			2/15/2028		250,000			250,000		236,175
KeHE Distributors LLC/KeHE Finance Corp.^		7.63			8/15/2021		150,000			151,115		145,875
Pilgrim’s Pride Corp.^		5.88			9/30/2027		200,000			200,000		185,500
Sunshine Mid BV+		6.50			5/15/2026		100,000			121,055		110,602
Total Beverage, Food and Tobacco							987,000			1,052,289		980,325
Broadcasting and Entertainment — 6.8%*:
CCO Holdings LLC/CCO Holdings Capital Corp.^		5.00			2/1/2028		275,000			275,094		251,625
CCO Holdings LLC/CCO Holdings Capital Corp.^		5.75			2/15/2026		275,000			274,320		270,187
Clear Channel Worldwide Holdings, Inc.		7.63			3/15/2020		241,000			240,236		239,256
CSC Holdings LLC^		5.38			2/1/2028		250,000			250,000		231,250
DISH DBS Corp.		7.75			7/1/2026		192,000			192,000		168,240
Netflix, Inc.^		5.88			11/15/2028		200,000			200,000		201,940

See accompanying Notes to the Financial Statements.

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June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Broadcasting and Entertainment (Continued)
Sirius XM Radio, Inc.^		5.00	%		8/1/2027		229,000	$	229,000	$	214,401
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH+		6.25			1/15/2029		90,000		105,360		117,599
Total Broadcasting and Entertainment							1,752,000		1,766,010		1,694,498
Buildings and Real Estate — 2.1%*:
RPG Byty sro+		3.38			10/15/2024		150,000		176,165		174,294
Standard Industries, Inc.^		4.75			1/15/2028		250,000		250,000		229,375
William Lyon Homes, Inc.^		6.00			9/1/2023		123,000		123,000		121,427
Total Buildings and Real Estate							523,000		549,165		525,096
Cargo Transport — 4.9%*:
American Airlines Group, Inc.^		5.50			10/1/2019		265,000		267,311		267,650
Deck Chassis Acquisition, Inc.^		10.00			6/15/2023		387,000		393,253		410,220
Kenan Advantage Group, Inc.^		7.88			7/31/2023		400,000		410,331		408,000
WFS Global Holding SAS+		9.50			7/15/2022		100,000		110,938		122,421
Total Cargo Transport							1,152,000		1,181,833		1,208,291
Chemicals, Plastics and Rubber — 3.6%*:
Consolidated Energy Finance SA^		6.88			6/15/2025		300,000		298,654		307,875
Huntsman International LLC		4.25			4/1/2025		100,000		129,362		132,749
INEOS Group Holdings SA+		5.38			8/1/2024		100,000		110,349		121,914
LBC Tank Terminals Holding Netherlands BV^		6.88			5/15/2023		215,000		209,000		217,150
Monitchem HoldCo 2 SA+		6.88			6/15/2022		100,000		99,298		102,284
Total Chemicals, Plastics and Rubber							815,000		846,663		881,972
Containers, Packaging and Glass — 1.7%*:
BWAY Holding Co.		4.75			4/15/2024		100,000		115,660		116,062
SIG Combibloc Holdings SCA+		7.75			2/15/2023		250,000		291,997		302,168
Total Containers, Packaging and Glass							350,000		407,657		418,230
Diversified/Conglomerate Manufacturing — 0.5%*:
Appvion, Inc.^~		9.00			6/1/2020		327,000		231,191		1,839
Energizer Gamma Acquisition BV		4.63			7/15/2026		100,000		116,130		117,640
Total Diversified/Conglomerate Manufacturing							427,000		347,321		119,479
Diversified/Conglomerate Service — 5.6%*:
Algeco Global Finance PLC+		6.50			2/15/2023		100,000		121,299		118,719
Carlson Travel, Inc.^		9.50			12/15/2024		280,000		280,000		253,400
Hertz Holdings Netherlands BV		5.50			3/30/2023		100,000		123,070		113,044
Iron Mountain UK PLC		3.88			11/15/2025		100,000		132,815		124,862
Prime Security Services Borrower LLC/Prime Finance, Inc.^		9.25			5/15/2023		353,000		363,936		375,839

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Diversified/Conglomerate Service (Continued)
Verisure Midholding AB+		5.75	%		12/1/2023		150,000	$	176,873	$	169,768
Zachry Holdings, Inc.^		7.50			2/1/2020		250,000		251,278		247,187
Total Diversified/Conglomerate Service							1,333,000		1,449,271		1,402,819
Electronics — 3.0%*:
j2 Cloud Services LLC/j2 Global Co-Obligor, Inc.^		6.00			7/15/2025		95,000		95,000		96,188
TIBCO Software, Inc.^		11.38			12/1/2021		439,000		472,658		474,120
Veritas US, Inc./Veritas Bermuda Ltd.^		10.50			2/1/2024		200,000		214,855		164,000
Total Electronics							734,000		782,513		734,308
Finance — 6.8%*:
Cabot Financial Luxembourg SA+		7.50			10/1/2023		100,000		134,851		134,285
Galaxy Finco Ltd.+		7.88			11/15/2021		250,000		380,956		325,157
Garfunkelux Holdco 3 S.A.+		8.50			11/1/2022		300,000		447,461		384,166
Jerrold Finco PLC+		6.13			1/15/2024		100,000		124,555		132,643
LPL Holdings, Inc.^		5.75			9/15/2025		300,000		300,000		291,750
Nexi Capital SpA+		4.13			11/1/2023		100,000		119,575		114,444
Park Aerospace Holdings Ltd.+^		5.25			8/15/2022		47,000		46,919		46,531
VFH Parent LLC/Orchestra Co-Issuer, Inc.^		6.75			6/15/2022		244,000		250,406		251,932
Total Finance							1,441,000		1,804,723		1,680,908
Healthcare, Education and Childcare — 7.3%*:
Avantor, Inc.^		9.00			10/1/2025		220,000		220,000		221,694
Cognita Financing PLC+		7.75			8/15/2021		100,000		133,881		133,955
CTC BondCo GmbH+		5.25			12/15/2025		100,000		117,432		111,219
HCA, Inc.		5.38			2/1/2025		200,000		202,660		196,940
IDH Finance PLC+		6.25			8/15/2022		100,000		131,025		120,207
Nidda Healthcare Holding GmbH+		3.50			9/30/2024		100,000		111,456		110,065
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA^		6.63			5/15/2022		220,000		210,374		215,050
Synlab Unsecured Bondco PLC+		8.25			7/1/2023		100,000		131,659		123,022
Valeant Pharmaceuticals International, Inc.^		5.50			3/1/2023		101,000		78,472		93,930
Valeant Pharmaceuticals International, Inc.^		5.88			5/15/2023		42,000		35,629		39,454
Valeant Pharmaceuticals International, Inc.^		6.13			4/15/2025		224,000		198,190		206,360
Valeant Pharmaceuticals International, Inc.^		6.50			3/15/2022		118,000		118,000		122,130
Valeant Pharmaceuticals International, Inc.^		7.00			3/15/2024		125,000		125,000		131,056
Total Healthcare, Education and Childcare							1,750,000		1,813,778		1,825,082
Home and Office Furnishings, Housewares, and Durable Consumer Products — 0.6%*:
LSF9 Balta Issuer SARL+		7.75			9/15/2022		121,500		152,217		148,054
Hotels, Motels, Inns and Gaming — 1.9%*:
Boyne USA, Inc.^		7.25			5/1/2025		125,000		125,000		130,312
TVL Finance PLC+		8.50			5/15/2023		160,000		224,837		220,557

See accompanying Notes to the Financial Statements.

173

Barings Global High Yield Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Hotels, Motels, Inns and Gaming (Continued)
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.^		5.25	%		5/15/2027		125,000	$	125,000	$	116,875
Total Hotels, Motels, Inns and Gaming							410,000		474,837		467,744
Insurance — 0.9%*:
Acrisure LLC/Acrisure Finance, Inc.^		7.00			11/15/2025		250,000		250,000		227,500
Leisure, Amusement, Entertainment — 4.6%*:
Allegiant Travel Co.		5.50			7/15/2019		200,000		202,908		201,000
AMC Entertainment Holdings, Inc.		6.38			11/15/2024		200,000		254,565		266,986
Brunswick Corp.		7.13			8/1/2027		317,000		333,765		370,020
Perform Group Financing PLC+		8.50			11/15/2020		100,000		150,387		133,986
WMG Acquisition Corp.^		5.00			8/1/2023		160,000		160,000		159,200
Total Leisure, Amusement, Entertainment							977,000		1,101,625		1,131,192
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 1.0%*:
Apex Tool Group LLC/BC Mountain Finance, Inc.^		9.00			2/15/2023		250,000		250,000		241,875
Mining, Steel, Iron and Non-Precious Metals — 6.9%*:
Alliance Resource Operating Partners LP/Alliance Resource Finance Corp.^		7.50			5/1/2025		215,000		215,000		228,975
ArcelorMittal		6.75			3/1/2041		165,000		191,986		186,272
First Quantum Minerals Ltd.+^		6.88			3/1/2026		229,000		229,000		219,267
Hecla Mining Co.		6.88			5/1/2021		250,000		227,659		252,647
Kinross Gold Corp.+		5.95			3/15/2024		127,000		131,535		130,175
Kinross Gold Corp.		6.88			9/1/2041		82,000		81,601		84,050
Northwest Acquisitions ULC/Dominion Finco, Inc.+^		7.13			11/1/2022		107,000		106,638		106,733
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.^		7.50			6/15/2025		250,000		246,668		254,375
Warrior Met Coal, Inc.^		8.00			11/1/2024		240,000		240,000		247,800
Total Mining, Steel, Iron and Non-Precious Metals							1,665,000		1,670,087		1,710,294
Oil and Gas — 16.2%*:
CGG Holding US, Inc.+		7.88			5/1/2023		150,000		185,580		184,475
Chesapeake Energy Corp.		8.00			1/15/2025		200,000		197,469		203,690
Chesapeake Energy Corp.		8.00			6/15/2027		17,000		17,000		17,298
Citgo Holding, Inc.^		10.75			2/15/2020		341,000		343,221		362,739
Energy Transfer Equity LP		4.25			3/15/2023		250,000		250,000		241,252
EP Energy LLC/Everest Acquisition Finance, Inc.^		8.00			2/15/2025		314,000		314,000		243,350
EP Energy LLC/Everest Acquisition Finance, Inc.^		9.38			5/1/2024		58,000		52,246		47,560

See accompanying Notes to the Financial Statements.

174

Barings Global High Yield Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Oil and Gas (Continued)
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp.		8.63	%		6/15/2020		500,000	$	494,682	$	481,250
Genesis Energy LP/Genesis Energy Finance Corp.		6.50			10/1/2025		300,000		300,000		288,000
Jonah Energy LLC/Jonah Energy Finance Corp.^		7.25			10/15/2025		250,000		250,000		201,875
Jupiter Resources, Inc.+^		8.50			10/1/2022		405,000		338,790		166,050
KCA Deutag UK Finance PLC+^		9.63			4/1/2023		200,000		206,270		202,750
Kosmos Energy Ltd.+^		7.88			8/1/2021		450,000		434,445		457,312
Neptune Energy Bondco PLC^		6.63			5/15/2025		200,000		200,246		194,750
QEP Resources, Inc.		5.63			3/1/2026		125,000		120,079		119,688
Sunoco LP/Sunoco Finance Corp.^		5.50			2/15/2026		100,000		100,000		94,750
Transocean, Inc.		6.80			3/15/2038		42,000		33,718		34,125
Transocean, Inc.		9.35			12/15/2041		32,000		29,785		31,840
Tullow Oil PLC+^		6.25			4/15/2022		250,000		211,304		242,500
Welltec A/S+^		9.50			12/1/2022		200,000		198,237		201,000
Total Oil and Gas							4,384,000		4,277,072		4,016,254
Personal and Non-Durable Consumer Products Mfg. Only — 0.4%*:
Samsonite Finco Sarl		3.50			5/15/2026		100,000		109,108		111,087
Personal Transportation — 0.6%*:
Hertz Corp. (The)^		7.63			6/1/2022		150,000		150,000		144,000
Personal, Food and Miscellaneous — 0.5%*:
Ocado Group PLC+		4.00			6/15/2024		100,000		128,106		132,001
Retail Stores — 2.2%*:
HSS Financing PLC+		6.75			8/1/2019		68,000		98,098		89,339
Maxeda DIY Holding B.V.+		6.13			7/15/2022		100,000		114,070		106,124
Penske Automotive Group, Inc.		5.50			5/15/2026		250,000		250,000		245,000
Travelex Financing PLC+		8.00			5/15/2022		100,000		108,750		113,750
Total Retail Stores							518,000		570,918		554,213
Telecommunications — 6.3%*:
Cequel Communications Holdings I LLC/Cequel Capital Corp.^		7.50			4/1/2028		250,000		250,000		253,050
Frontier Communications Corp.		7.13			3/15/2019		250,000		252,996		251,875
Sprint Communications, Inc.		7.00			8/15/2020		75,000		74,470		77,625
Sprint Corp.		7.63			3/1/2026		125,000		125,000		127,500
Sprint Corp.		7.88			9/15/2023		452,000		438,073		468,667
Telecom Italia SpA/Milano+		5.88			5/19/2023		100,000		149,643		145,235
Virgin Media Receivables Financing Notes I DAC+		5.50			9/15/2024		100,000		134,719		129,823
Ziggo Bond Finance BV+		4.63			1/15/2025		100,000		103,942		115,186
Total Telecommunications							1,452,000		1,528,843		1,568,961

See accompanying Notes to the Financial Statements.

175

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Utilities — 1.4%*:
Nordex SE+		6.50	%		2/1/2023		100,000	$	124,195	$	108,907
Viridian Group Finance Co PLC+		4.00			9/15/2025		100,000		118,264		108,339
Viridian Group Finance Co. PLC+		4.75			9/15/2024		100,000		132,000		121,714
Total Utilities							300,000		374,459		338,960
Total Corporate Bonds							23,031,500		24,264,050		23,442,856
Total Fixed Income							23,881,812		25,086,643		24,250,885
Short-Term Investments — 4.1%*:
Bank Deposit — 4.1%*:
State Street Bank & Trust Co. Euro Time Deposit		0.28			7/2/2018		1,028,962		1,028,962		1,028,962
Total Investments							24,910,774		26,115,605		25,279,847
Other assets and liabilities — (1.8%)*											(454,074	)
Net Assets — 100.0%											$24,825,773

MTN Medium Term Note

‡‡ Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

* Calculated as a percentage of net assets applicable to common shareholders.

+ Foreign security.

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:

United States	69.8%
United Kingdom	12.0%
Ghana	2.9%
Germany	2.8%
Switzerland	1.8%
France	1.7%
Canada	1.6%
Netherlands	1.4%
Ireland	1.1%
Italy	1.1%
Other (Individually less than 1%)	3.8%
Total	100.0%

^ Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers.

§ Bank loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for bank loans are the current interest rates at June 30, 2018. 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.

~ Defaulted security.

See accompanying Notes to the Financial Statements.

176

Barings Global High Yield Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

A summary of outstanding derivatives at June 30, 2018 is as follows:

Forward Foreign Currency Exchange Contracts to Buy

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
7/11/18	Bank of America N.A.		EUR	100,907		117,905		117,005	$	900
7/11/18	BNP Paribas S.A.		GBP	2,000		2,641		2,648		(7	)
Net unrealized appreciation on forward foreign currency exchange contracts to buy									$	893

Forward Foreign Currency Exchange Contracts to Sell

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
7/11/18	BNP Paribas S.A.		EUR	85,220		99,576		100,550	$	974
7/11/18	Bank of America N.A.		EUR	506,649		591,997		591,104		(893	)
7/11/18	Goldman Sachs & Co.		EUR	2,290,782		2,676,676		2,681,794		5,118
7/11/18	JPMorgan Chase Bank N.A.		GBP	2,445,864		3,229,057		3,268,863		39,806
Net unrealized appreciation on forward foreign currency exchange contracts to sell									$	45,005

Currency Legend

EUR	–	Euro
GBP	–	British Pound Sterling

See accompanying Notes to the Financial Statements.

177

Barings U.S. High Yield Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS

June 30, 2018

						SHARES		COST		FAIR VALUE
Equities — 0.4%*:
Common Stocks — 0.4%*:
Oil and Gas — 0.4%*:
Fieldwood Energy LLC							1,006		$35,210		$49,357
Fieldwood Energy LLC							4,100		88,421		206,025
Total Oil and Gas							5,106		123,631		255,382
Total Common Stocks							5,106		123,631		255,382
Total Equities							5,106		123,631		255,382
	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 93.9%*:
Bank Loans — 2.6%*§:
Broadcasting and Entertainment — 0.5%*:
AP NMT Acquisition B.V., 3M LIBOR + 5.750%+		8.06	%		8/13/2021		299,223		299,247		298,538
Buildings and Real Estate — 0.1%*:
GYP Holdings III Corp., 1M LIBOR + 2.750%		4.84			6/1/2025		30,632		30,632		30,377
Diversified/Conglomerate Service — 0.1%*:
SonicWALL, Inc., 3M LIBOR + 7.500%		9.83			5/18/2026		51,897		51,380		51,378
Electronics — 0.1%*:
Renaissance Holding Corp., 3M LIBOR + 7.000%		9.33			5/26/2026		68,963		67,594		68,445
Oil and Gas — 1.5%*:
Caelus Energy Alaska O3 LLC, 3M LIBOR + 7.500%		9.83			4/15/2020		550,000		495,000		503,250
Fieldwood Energy LLC, 1M LIBOR + 5.250%		7.34			4/11/2022		172,215		153,118		172,301
Fieldwood Energy LLC, 1M LIBOR + 7.250%		9.34			4/11/2023		91,996		27,598		88,852
Gulf Finance LLC, 3M LIBOR + 5.250%		7.59			8/25/2023		100,854		100,122		86,819
Total Oil and Gas							915,065		775,838		851,222
Printing and Publishing — 0.3%*:
Getty Images, Inc., 3M LIBOR + 3.500%		5.59			10/18/2019		199,457		192,971		192,311
Total Bank Loans							1,565,237		1,417,662		1,492,271
Corporate Bonds — 91.3%*:
Aerospace and Defense — 3.4%*:
TransDigm UK Holdings PLC^		6.88			5/15/2026		500,000		496,253		506,875
TransDigm, Inc.		6.38			6/15/2026		307,000		304,587		304,697
Triumph Group, Inc.		4.88			4/1/2021		43,000		41,794		41,388
Triumph Group, Inc.		7.75			8/15/2025		555,000		561,758		549,450
VistaJet Malta Finance PLC / VistaJet Co. Finance LLC^		7.75			6/1/2020		550,000		542,246		544,500
Total Aerospace and Defense							1,955,000		1,946,638		1,946,910

See accompanying Notes to the Financial Statements.

178

Barings U.S. High Yield Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Automobile — 1.2%*:
Allison Transmission, Inc.^		4.75	%		10/1/2027		247,000		$247,000		$230,327
Allison Transmission, Inc.^		5.00			10/1/2024		176,000		176,000		173,140
Gates Global LLC/Gates Global Co.^		6.00			7/15/2022		12,000		10,010		12,150
JB Poindexter & Co., Inc.^		7.13			4/15/2026		202,000		202,000		207,050
Wabash National Corp.^		5.50			10/1/2025		79,000		79,000		75,840
Total Automobile							716,000		714,010		698,507
Beverage, Food and Tobacco — 1.9%*:
Carrols Restaurant Group, Inc.		8.00			5/1/2022		260,000		270,214		270,400
JBS USA LUX SA/JBS USA Finance, Inc.^		5.88			7/15/2024		165,000		169,070		157,577
JBS USA LUX SA/JBS USA Finance, Inc.^		6.75			2/15/2028		250,000		250,000		236,175
KeHE Distributors LLC/KeHE Finance Corp.^		7.63			8/15/2021		203,000		201,106		197,418
Pilgrim’s Pride Corp.^		5.88			9/30/2027		225,000		225,000		208,687
Total Beverage, Food and Tobacco							1,103,000		1,115,390		1,070,257
Broadcasting and Entertainment — 7.4%*:
Block Communications, Inc.^		6.88			2/15/2025		434,000		434,000		432,915
CCO Holdings LLC/CCO Holdings Capital Corp.^		5.00			2/1/2028		274,000		255,832		250,710
CCO Holdings LLC/CCO Holdings Capital Corp.^		5.75			2/15/2026		1,200,000		1,197,272		1,179,000
Clear Channel Worldwide Holdings, Inc.		7.63			3/15/2020		271,000		268,901		269,039
CSC Holdings LLC^		5.38			2/1/2028		250,000		250,000		231,250
DISH DBS Corp.		7.75			7/1/2026		480,000		460,718		420,600
Intelsat Jackson Holdings SA		7.25			10/15/2020		121,000		120,852		120,395
Intelsat Jackson Holdings SA		7.50			4/1/2021		364,000		363,849		361,270
Netflix, Inc.^		5.88			11/15/2028		600,000		597,547		605,820
Sirius XM Radio, Inc.^		5.00			8/1/2027		350,000		350,000		327,687
Total Broadcasting and Entertainment							4,344,000		4,298,971		4,198,686
Buildings and Real Estate — 3.4%*:
Brookfield Residential Properties, Inc.^		6.50			12/15/2020		250,000		249,673		253,125
Century Communities, Inc.		5.88			7/15/2025		250,000		249,720		236,250
M/I Homes, Inc.		5.63			8/1/2025		550,000		531,035		514,250
M/I Homes, Inc.		6.75			1/15/2021		250,000		250,000		257,760
MPT Operating Partnership LP/MPT Finance Corp.		5.00			10/15/2027		300,000		300,000		286,500
Standard Industries, Inc.^		4.75			1/15/2028		300,000		300,000		275,250
William Lyon Homes, Inc.^		6.00			9/1/2023		123,000		123,000		121,427
Total Buildings and Real Estate							2,023,000		2,003,428		1,944,562
Cargo Transport — 3.6%*:
American Airlines Group, Inc.^		4.63			3/1/2020		250,000		249,487		248,750
American Airlines Group, Inc.^		5.50			10/1/2019		532,000		540,395		537,320
Deck Chassis Acquisition, Inc.^		10.00			6/15/2023		520,000		532,118		551,200
Kenan Advantage Group, Inc.^		7.88			7/31/2023		700,000		717,625		714,000
Total Cargo Transport							2,002,000		2,039,625		2,051,270

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Chemicals, Plastics and Rubber — 2.2%*:
Chemours Co. (The)		5.38	%		5/15/2027		156,000	$	154,647	$	150,930
Chemours Co. (The)		7.00			5/15/2025		254,000		257,409		272,415
Consolidated Energy Finance SA^		6.88			6/15/2025		300,000		298,654		307,875
LBC Tank Terminals Holding Netherlands BV^		6.88			5/15/2023		250,000		243,023		252,500
Platform Specialty Products Corp.^		5.88			12/1/2025		250,000		248,148		244,375
Total Chemicals, Plastics and Rubber							1,210,000		1,201,881		1,228,095
Containers, Packaging and Glass — 0.2%*:
Crown Americas LLC/Crown Americas Capital Corp.^		4.75			2/1/2026		135,000		135,000		128,250
Diversified/Conglomerate Manufacturing — 2.0%*:
Appvion, Inc.^~		9.00			6/1/2020		366,000		258,814		2,059
EnPro Industries, Inc.		5.88			9/15/2022		220,000		221,447		224,400
Griffon Corp.		5.25			3/1/2022		700,000		699,179		681,030
StoneMor Partners LP/Cornerstone Family Services of West Virginia Subsidiary		7.88			6/1/2021		124,000		126,699		122,140
Teleflex, Inc.		4.63			11/15/2027		119,000		119,000		112,455
Total Diversified/Conglomerate Manufacturing							1,529,000		1,425,139		1,142,084
Diversified/Conglomerate Service — 5.1%*:
Carlson Travel, Inc.^		6.75			12/15/2023		250,000		254,891		245,000
Carlson Travel, Inc.^		9.50			12/15/2024		350,000		331,752		316,750
KAR Auction Services, Inc.^		5.13			6/1/2025		300,000		300,000		286,500
Prime Security Services Borrower LLC/Prime Finance, Inc.^		9.25			5/15/2023		1,237,000		1,307,936		1,317,034
United Rentals North America, Inc.		4.63			10/15/2025		125,000		125,000		119,062
United Rentals North America, Inc.		4.88			1/15/2028		125,000		125,294		115,744
Waste Pro USA, Inc.^		5.50			2/15/2026		59,000		59,000		56,714
Zachry Holdings, Inc.^		7.50			2/1/2020		436,000		435,656		431,095
Total Diversified/Conglomerate Service							2,882,000		2,939,529		2,887,899
Electronics — 4.2%*:
Dell, Inc.		6.50			4/15/2038		126,000		129,099		118,755
RP Crown Parent LLC^		7.38			10/15/2024		96,000		96,000		98,851
Symantec Corp.		4.20			9/15/2020		551,000		550,343		552,602
TIBCO Software, Inc.^		11.38			12/1/2021		1,383,000		1,497,807		1,493,640
Veritas US, Inc./Veritas Bermuda Ltd.^		10.50			2/1/2024		165,000		172,417		135,300
Total Electronics							2,321,000		2,445,666		2,399,148
Finance — 5.1%*:
Aircastle Ltd.		5.00			4/1/2023		271,000		271,876		272,016
Alliance Data Systems Corp.^		5.88			11/1/2021		550,000		561,297		561,000
Energizer Gamma Acquisition, Inc.^		6.38			7/15/2026		120,000		120,000		122,025
Icahn Enterprises LP/Icahn Enterprises Finance Corp.		6.25			2/1/2022		135,000		138,545		137,700

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Finance (Continued)
Icahn Enterprises LP/Icahn Enterprises Finance Corp.		6.38	%		12/15/2025		415,000	$	416,475	$	415,519
LPL Holdings, Inc.^		5.75			9/15/2025		575,000		568,544		559,187
Park Aerospace Holdings Ltd.+^		5.25			8/15/2022		59,000		58,893		58,411
Tempo Acquisition LLC/Tempo Acquisition Finance Corp.^		6.75			6/1/2025		210,000		210,000		201,600
VFH Parent LLC/Orchestra Co-Issuer, Inc.^		6.75			6/15/2022		557,000		568,942		575,108
Total Finance							2,892,000		2,914,572		2,902,566
Grocery — 1.2%*:
C&S Group Enterprises LLC^		5.38			7/15/2022		174,000		172,147		170,520
Post Holdings, Inc.^		5.50			3/1/2025		300,000		292,957		292,875
Post Holdings, Inc.^		5.75			3/1/2027		200,000		200,000		194,000
Total Grocery							674,000		665,104		657,395
Healthcare, Education and Childcare — 7.6%*:
Avantor, Inc.^		9.00			10/1/2025		600,000		602,867		604,620
Catalent Pharma Solutions, Inc.^		4.88			1/15/2026		227,000		227,000		217,986
Endo Ltd./Endo Finance LLC/Endo Finco, Inc.^		6.00			2/1/2025		200,000		182,149		156,000
HCA, Inc.		5.38			2/1/2025		375,000		379,988		369,263
inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc.^		7.50			10/1/2024		94,000		94,000		98,935
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA^		6.63			5/15/2022		1,065,000		1,047,066		1,041,037
Teva Pharmaceutical Finance Netherlands III BV		6.00			4/15/2024		300,000		296,326		297,098
Valeant Pharmaceuticals International^		9.25			4/1/2026		775,000		789,286		805,031
Valeant Pharmaceuticals International , Inc.^		5.50			3/1/2023		118,000		91,680		109,740
Valeant Pharmaceuticals International, Inc.^		5.88			5/15/2023		50,000		42,415		46,969
Valeant Pharmaceuticals International, Inc.^		6.13			4/15/2025		391,000		346,535		360,209
Valeant Pharmaceuticals International, Inc.^		6.50			3/15/2022		118,000		118,000		122,130
Valeant Pharmaceuticals International, Inc.^		7.00			3/15/2024		125,000		125,000		131,056
Total Healthcare, Education and Childcare							4,438,000		4,342,312		4,360,074
Home and Office Furnishings, Housewares, and Durable Consumer Products — 0.6%*:
Louisiana-Pacific Corp.		4.88			9/15/2024		250,000		250,000		245,625
Mattel, Inc.^		6.75			12/31/2025		78,000		78,000		75,952
Total Home and Office Furnishings, Housewares, and Durable Consumer Products							328,000		328,000		321,577
Hotels, Motels, Inns and Gaming — 0.4%*:
Boyne USA, Inc.^		7.25			5/1/2025		125,000		125,000		130,312
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.^		5.25			5/15/2027		125,000		125,000		116,875
Total Hotels, Motels, Inns and Gaming							250,000		250,000		247,187

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Insurance — 2.5%*:
Acrisure LLC/Acrisure Finance, Inc.^		7.00	%		11/15/2025		500,000	$	485,335	$	455,000
Amwins Group, Inc.^		7.75			7/1/2026		200,000		200,000		203,000
AssuredPartners, Inc.^		7.00			8/15/2025		339,000		335,931		326,288
HUB International Ltd.^		7.00			5/1/2026		250,000		250,000		246,875
York Risk Services Holding Corp.^		8.50			10/1/2022		220,000		203,590		201,874
Total Insurance							1,509,000		1,474,856		1,433,037
Leisure, Amusement, Entertainment — 3.2%*:
Allegiant Travel Co.		5.50			7/15/2019		1,000,000		1,015,369		1,005,000
Brunswick Corp.		7.13			8/1/2027		567,000		599,570		661,834
WMG Acquisition Corp.^		5.00			8/1/2023		160,000		160,000		159,200
Total Leisure, Amusement, Entertainment							1,727,000		1,774,939		1,826,034
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 0.6%*:
Apex Tool Group LLC/BC Mountain Finance, Inc.^		9.00			2/15/2023		380,000		372,054		367,650
Mining, Steel, Iron and Non-Precious Metals — 9.6%*:
Alcoa Nederland Holding BV^		6.13			5/15/2028		421,000		421,000		423,631
Allegheny Technologies, Inc.		5.95			1/15/2021		309,000		309,910		310,545
Alliance Resource Operating Partners LP/Alliance Resource Finance Corp.^		7.50			5/1/2025		328,000		332,419		349,320
ArcelorMittal		6.75			3/1/2041		197,000		229,223		222,397
First Quantum Minerals Ltd.+^		6.88			3/1/2026		229,000		229,000		219,268
First Quantum Minerals Ltd.+^		7.00			2/15/2021		600,000		605,878		600,836
Hecla Mining Co.		6.88			5/1/2021		250,000		227,659		252,648
Kinross Gold Corp.+		5.95			3/15/2024		152,000		157,453		155,800
Kinross Gold Corp.		6.88			9/1/2041		99,000		98,519		101,475
Kissner Holdings LP / Kissner Milling Co. Ltd. / BSC Holding, Inc. / Kissner USA^		8.38			12/1/2022		400,000		410,336		409,000
New Gold, Inc.^		6.25			11/15/2022		400,000		408,815		404,000
Northwest Acquisitions ULC/Dominion Finco, Inc.+^		7.13			11/1/2022		893,000		907,236		890,767
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.^		7.50			6/15/2025		550,000		557,735		559,625
Warrior Met Coal, Inc.^		8.00			11/1/2024		540,000		548,858		557,550
Total Mining, Steel, Iron and Non-Precious Metals							5,368,000		5,444,041		5,456,862
Oil and Gas — 14.5%*:
Chesapeake Energy Corp.		8.00			1/15/2025		522,000		516,389		531,631
Citgo Holding, Inc.^		10.75			2/15/2020		762,000		791,815		810,577
CVR Refining LLC/Coffeyville Finance, Inc.		6.50			11/1/2022		331,000		340,635		337,620
Energy Transfer Equity LP		4.25			3/15/2023		250,000		250,000		241,253
EP Energy LLC/Everest Acquisition Finance, Inc.^		7.75			5/15/2026		350,000		350,000		357,875
EP Energy LLC/Everest Acquisition Finance, Inc.^		8.00			2/15/2025		248,000		248,000		192,200

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Oil and Gas (Continued)
EP Energy LLC/Everest Acquisition Finance, Inc.^		9.38	%		5/1/2024		65,000	$	58,552	$	53,300
Ferrellgas LP/Ferrellgas Finance Corp.		6.75			1/15/2022		100,000		100,830		90,500
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp.		8.63			6/15/2020		600,000		595,596		577,500
Genesis Energy LP/Genesis Energy Finance Corp.		6.00			5/15/2023		100,000		98,507		98,125
Genesis Energy LP/Genesis Energy Finance Corp.		6.75			8/1/2022		250,000		246,250		252,500
Jonah Energy LLC/Jonah Energy Finance Corp.^		7.25			10/15/2025		348,000		348,956		281,010
Jupiter Resources, Inc.+^		8.50			10/1/2022		479,000		402,814		196,390
KCA Deutag UK Finance PLC+^		9.63			4/1/2023		270,000		278,289		273,712
Kosmos Energy Ltd.		7.88			8/1/2021		1,027,000		1,023,413		1,043,689
NGPL PipeCo LLC^		4.38			8/15/2022		56,000		56,000		55,440
PBF Holding Co. LLC/PBF Finance Corp.		7.25			6/15/2025		550,000		558,371		578,187
QEP Resources, Inc.		5.63			3/1/2026		550,000		528,350		526,625
SM Energy Co.		6.50			1/1/2023		227,000		181,552		229,270
Suburban Propane Partners LP/Suburban Energy Finance Corp.		5.88			3/1/2027		300,000		300,000		280,500
Sunoco LP/Sunoco Finance Corp.^		4.88			1/15/2023		60,000		60,000		57,600
Sunoco LP/Sunoco Finance Corp.^		5.88			3/15/2028		43,000		43,000		40,542
Transocean Guardian Ltd.^		5.88			1/15/2024		171,000		169,290		170,359
Transocean, Inc.		6.80			3/15/2038		120,000		100,392		97,500
Transocean, Inc.		9.35			12/15/2041		38,000		35,370		37,810
Weatherford International LLC^		9.88			3/1/2025		300,000		300,740		301,500
Welltec A/S+^		9.50			12/1/2022		550,000		554,383		552,750
Total Oil and Gas							8,667,000		8,537,494		8,265,965
Personal Transportation — 1.1%*:
Hertz Corp. (The)^		7.63			6/1/2022		450,000		453,862		432,000
Watco Cos. LLC/Watco Finance Corp.^		6.38			4/1/2023		173,000		173,301		175,811
Total Personal Transportation							623,000		627,163		607,811
Personal, Food and Miscellaneous — 0.3%*:
Simmons Foods, Inc.^		5.75			11/1/2024		193,000		163,875		167,428
Retail Stores — 0.4%*:
Penske Automotive Group, Inc.		5.50			5/15/2026		250,000		250,000		245,000
Telecommunications — 9.1%*:
Altice Financing SA+^		6.63			2/15/2023		250,000		251,202		246,375
Altice Luxembourg SA+^		7.63			2/15/2025		225,000		238,501		207,000
Cablevision Systems Corp.		5.88			9/15/2022		400,000		394,658		397,000
CenturyLink, Inc.		6.75			12/1/2023		280,000		280,687		281,400

See accompanying Notes to the Financial Statements.

183

Barings U.S. High Yield Fund 2018 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Telecommunications (Continued)
Cequel Communications Holdings I LLC/Cequel Capital Corp.^		7.50	%		4/1/2028		250,000	$	250,000	$	253,050
CommScope Technologies LLC^		5.00			3/15/2027		600,000		572,074		564,750
Frontier Communications Corp.		7.13			3/15/2019		550,000		556,592		554,125
Hughes Satellite Systems Corp.		6.63			8/1/2026		550,000		549,142		508,750
Sprint Capital Corp.		6.88			11/15/2028		700,000		706,986		670,250
Sprint Communications, Inc.		7.00			8/15/2020		75,000		74,471		77,625
Sprint Corp.		7.63			3/1/2026		125,000		125,000		127,500
Sprint Corp.		7.88			9/15/2023		489,000		475,273		507,032
T-Mobile USA, Inc.		4.50			2/1/2026		96,000		96,000		89,640
T-Mobile USA, Inc.		4.75			2/1/2028		155,000		155,000		143,569
T-Mobile USA, Inc.		5.38			4/15/2027		200,000		200,000		194,500
Telecom Italia SpA+^		5.30			5/30/2024		250,000		261,805		246,562
Ziggo BV+^		5.50			1/15/2027		140,000		133,555		130,774
Total Telecommunications							5,335,000		5,320,946		5,199,902
Utilities — 0.5%*:
NRG Energy, Inc.		7.25			5/15/2026		250,000		250,000		266,250
Total Corporate Bonds							53,104,000		52,980,633		52,020,406
Total Fixed Income							54,669,237		54,398,295		53,512,677
Short-Term Investments — 6.1%*:
Bank Deposit — 6.1%*:
State Street Bank & Trust Co. Euro Time Deposit		0.28			7/2/2018		3,495,098		3,495,098		3,495,098
Total Investments							58,169,441		58,017,024		57,263,157
Other assets and liabilities — (0.4%)*											(255,880	)
Net Assets — 100.0%											$57,007,277

‡‡ Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

* Calculated as a percentage of net assets applicable to common shareholders.

+ Foreign security.

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2018

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:

United States	90.5%
Canada	2.3%
Ghana	2.0%
Zambia	1.5%
Denmark	1.0%
Other (Individually less than 1%)	2.7%
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.

§ Bank loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for bank loans are the current interest rates at June 30, 2018. 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.

~ Defaulted security.

See accompanying Notes to the Financial Statements.

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NOTES TO THE FINANCIAL STATEMENTS

June 30, 2018

1. Organization

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 June 30, 2018, 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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Investments may be issued or guaranteed by governments and their agencies, corporations, financial institutions and supranational organizations that the Adviser believes have the potential to provide a high total return over time. A significant portion of the Global Floating Rate Fund and Global Credit Income Opportunities Fund’s investments in debt instruments will be denominated in a currency other than the U.S. dollar. Although the investments in non-U.S. dollar denominated assets may be on a currency hedged or unhedged basis, the Global Floating Rate Fund and Global Credit Income Opportunities Fund expect that, under current market conditions, they will seek to hedge substantially all of their exposure to foreign currencies. Under normal market conditions, the Active Short Duration Bond Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in investment grade fixed income securities (rated Baa3 or higher by Moody’s or BBB- or higher by S&P or Fitch or if unrated, determined to be of comparable quality by the Adviser). These typically include U.S. dollar-denominated corporate obligations, securities issued or guaranteed by the U.S. government or its agencies or instrumentalities, U.S. and foreign issuer dollar-denominated bonds including, but not limited to, corporate obligations, government and agency issues, private placement bonds, securities subject to resale pursuant to Rule 144A, mortgage-backed, and other asset-backed securities. Under normal market conditions, the Total Return Bond Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in fixed income securities. These typically include: U.S. dollar denominated corporate obligations and bank loans, securities issued or guaranteed by the U.S. government or its agencies or instrumentalities, U.S. and foreign issuer dollar denominated bonds including, but not limited to, corporate obligations, government and agency issues, private placement bonds, securities subject to resale pursuant to Rule 144A, convertible bonds, mortgage-backed, and other asset-backed securities. Under normal market conditions, the Emerging Markets Debt Blended Total Return Fund will invest at least 80% of its net assets (including the amount of any borrowings for investment purposes) in (i) securities denominated in currencies of the emerging market countries, (ii) fixed income securities or debt instruments issued by emerging market entities or sovereign nations, and/or (iii) debt instruments denominated in or based on the currencies, interest rates, or issues of emerging

market countries. Emerging market countries are defined to include any country that did not become a member of the Organization for Economic Cooperation and Development (O.E.C.D.) prior to 1975 and Turkey. Certain emerging market countries are referred to as “frontier” market countries. The Emerging Markets Debt Blended Total Return Fund will likely focus its investments in Asia, Africa, the Middle East, Latin America and the developing countries of Europe. Under normal market conditions, the Emerging Markets Local Currency Debt Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in local currency-denominated debt instruments issued by emerging markets governments, and their quasi sovereign agencies (including supranational and sub-national government issuers). The Adviser will select the Fund’s country and currency composition based on its evaluation of relative interest rates, inflation rates, exchange rates, monetary and fiscal policies, trade and current account balances, legal and political developments, and any other specific factors the Adviser believes to be relevant. The Emerging Markets Local Currency Debt Fund will likely focus its investments in Asia, Africa, the Middle East, Latin America and the developing countries of Europe. Under normal conditions, the Global High Yield Fund will invest at least 80% of its net assets (including the amount of any borrowing for investment purposes) in below investment grade (“high yield”) fixed and floating rate corporate debt securities including bonds, notes and other fixed and floating rate income securities issued primarily by North American and Western European companies. For this purpose, debt instruments issued by issuers based in the Channel Islands, Cayman Islands and Bermuda will be considered North American and Western European 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

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comparable quality. The Global High Yield Fund may invest in high yield securities of any rating, including securities that are in default at the time of purchase. Under normal circumstances, the U.S. High Yield Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in lower rated fixed income securities (rated below Baa3 by Moody’s or BBB- by either S&P or Fitch (using the lower rating) or, if unrated, determined by the Adviser to be of comparable quality), and at least 80% of its net assets (including the amount of any borrowings for investment purposes) in securities of U.S. issuers. The U.S. High Yield Fund may also invest in convertible securities, preferred stocks, warrants, bank loans, and other fixed income securities, including Rule 144A securities, of both U.S. and foreign issuers. Currently, the Adviser does not expect that the U.S. High Yield Fund will invest more than 20% of its total assets in bank loans. The U.S. High Yield Fund may invest up to 15% of its total assets in securities that are not denominated in U.S. dollars including, but not limited to, corporate bonds, government and agency issues, Rule 144A securities, convertible securities, bank loans, mortgage-backed, and asset-backed securities.

Each Fund has four classes of shares: Class A, C, I, and Y, each with different expenses and dividends. With the exception of Active Short Duration Bond Fund, which has no sales charge on any class, a front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. There is no front-end sales charge in the case of Class C, I, and Y shares. There may be a contingent deferred sales charge (“CDSC”) in certain cases as follows: 1) Effective January 15, 2018, Class A Shares purchased without an initial sales charge in accounts aggregating $500,000 or more are subject to a 1.00% contingent deferred sales charge (CDSC) if the shares are tendered and accepted for repurchase within 18 months of purchase (or within 12 months for shares purchased prior to January 15, 2018). The 18-month period (or 12-month period for shares purchased prior to January 15, 2018) begins on the day on which the purchase was made; and 2) 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

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approximate fair value and are determined using Level 2 inputs, as of June 30, 2018. The assets and liabilities shown in the Statements of Assets and Liabilities related to cash collateral held at broker for futures contracts are determined using Level 1 inputs as of June 30, 2018.

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

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disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Fair value is defined as the price that the Funds would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is utilized to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. For example, market participants would consider the risk inherent in a particular valuation technique used to measure fair value, such as a pricing model, and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

Level 1 – quoted prices in active markets for identical securities

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in level 3.

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

The following is a summary of the inputs used as of June 30, 2018 in valuing the Funds’ investments:

Global Floating Rate Fund

DESCRIPTION	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL INVESTMENTS
Assets:*
Equities:
Common Stocks	$	317,389	$	1,329,736	$	74,281	$	1,721,406
Preferred Stock		–		–		238,876		238,876
Total Equities		317,389		1,329,736		313,157		1,960,282
Fixed Income:
Bank Loans		–		214,390,944		206,150		214,597,094
Corporate Bonds		–		25,261,155		–		25,261,155
Total Fixed Income		–		239,652,099		206,150		239,858,249
Short-Term Investments:
Bank Deposit		–		45,925,399		–		45,925,399
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		635,460		–		635,460
Total	$	317,389	$	287,542,694	$	519,307	$	288,379,390

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DESCRIPTION	LEVEL 1		LEVEL 2			LEVEL 3		TOTAL INVESTMENTS
Liabilities:*
Derivative Securities:
Forward Foreign Currency Exchange Contracts	$	–	$	(6,085	)	$	–	$	(6,085	)
Total Investments	$	317,389	$	287,536,609		$	519,307	$	288,373,305

* There were no transfers between levels during the year ended June 30, 2018.

The following table is a summary of quantitative information about significant unobservable valuation inputs for Level 3 fair value measurement for investments held as of June 30, 2018:

TYPE OF ASSETS	FAIR VALUE AS OF JUNE 30, 2018		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 year projection, 5.5x; EBITDA: $42.5 million; 15% discount rate
Sabine Oil & Gas LLC	$	19,350	Broker Quote	$50.00: Price source depth of 1
Sabine Oil & Gas LLC Warrants	$	7,380	Broker Quote	$6.00: Price source depth of 1
Sabine Oil & Gas LLC Warrants	$	1,095	Broker Quote	$5.00: Price source depth of 1
Southcross Energy Holdings LP	$	–	Zero Value	Valued at zero without primary asset attached
Templar Energy LLC	$	7,010	Broker Quote	$0.80: Price source depth of 1
Templar Energy LLC	$	39,446	Broker Quote	$6.50: Price source depth of 1
Pinnacle Agriculture Holdings A 2	$	238,876	Broker Quote	$0.92: Price source depth of 1
Bank Loans
Boomerang Tube LLC	$	32,825	Discounted Cash Flow	Average Enterprise Valuation Multiple: 5 year projection, 5.5x; EBITDA: $42.5 million; 15% discount rate
Boomerang Tube LLC	$	121,563	Discounted Cash Flow	Average Enterprise Valuation Multiple: 5 year projection, 5.5x; EBITDA: $42.5 million; 15% discount rate
Boomerang Tube LLC	$	5,261	Discounted Cash Flow	Average Enterprise Valuation Multiple: 5 year projection, 5.5x; EBITDA: $42.5 million; 15% discount rate
Boomerang Tube LLC	$	46,501	Discounted Cash Flow	Average Enterprise Valuation Multiple: 5 year projection, 5.5x; EBITDA: $42.5 million; 15% discount rate

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.

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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 JUNE 30, 2018		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM INVESTMENTS HELD AT JUNE 30, 2018
Equities
Common Stock	$	117,235	$	–	$	(56,094	)	$	–	$	–	$	4,665	$	–	$	65,806	$	(56,094	)
Preferred Stock	$	218,582	$	–	$	17,826		$	–	$	–	$	2,468	$	–	$	238,876	$	17,826
Warrants	$	10,286	$	–	$	(1,811	)	$	–	$	–	$	–	$	–	$	8,475	$	(1,811	)
Fixed Income
Bank Loans	$	179,744	$	–	$	(19,442	)	$	–	$	692	$	45,156	$	–	$	206,150	$	(19,442	)
Total	$	525,847	$	–	$	(59,521	)	$	–	$	692	$	52,289	$	–	$	519,307	$	(59,521	)

Global Credit Income Opportunities Fund

DESCRIPTION	LEVEL 1		LEVEL 2			LEVEL 3		TOTAL INVESTMENTS
Assets:*
Equities:
Common Stocks	$	181,435	$	913,328		$	550,622	$	1,645,385
Preferred Stock		–		–			286,651		286,651
Total Equities		181,435		913,328			837,273		1,932,036
Fixed Income:
Asset-Backed Securities		–		22,801,318			10,228,154		33,029,472
Bank Loans		–		70,133,053			277,089		70,410,142
Corporate Bonds		–		109,036,490			–		109,036,490
Total Fixed Income		–		201,970,861			10,505,243		212,476,104
Purchased Option:
Put Option Purchased		–		777,005			–		777,005
Short-Term Investments:
Bank Deposit		–		18,938,315			–		18,938,315
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		817,834			–		817,834
Total	$	181,435	$	223,417,343		$	11,342,516	$	234,941,294
Liabilities:*
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		(2,076	)		–		(2,076	)
Total Investments	$	181,435	$	223,415,267		$	11,342,516	$	234,939,218

* There were no transfers between levels during the year ended June 30, 2018.

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The following table is a summary of quantitative information about significant unobservable valuation inputs for Level 3 fair value measurement for investments held as of June 30, 2018:

TYPE OF ASSETS	FAIR VALUE AS OF JUNE 30, 2018		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 year projection, 5.5x; EBITDA: $42.5 million; 15% discount rate
Southcross Energy Holdings LP	$	–	Zero value	Valued at zero without primary asset attached
Maxeda DIY B.V.	$	110,131	Market Comparables	LTM EBITDA €93m; Net leverage €453m; Average Comparable Valuation: 7.35X
Maxeda DIY B.V.	$	440,491	Market Comparables	LTM EBITDA €93m; Net leverage €453m; Average Comparable Valuation: 7.35X
Pinnacle Agriculture Holdings A 2	$	286,651	Broker Quote	$0.92: Price source depth of 1
Asset-Backed Securities
Alinea CLO Ltd	$	1,250,000	Broker Quote	$100.00: Price source depth of 1
Ares CLO LTD	$	800,000	Broker Quote	$100.00: Price source depth of 1
Atlas Senior Loan Funding Ltd	$	1,900,000	Broker Quote	$100.00: Price source depth of 1
Cadogan Square CLC	$	1,132,766	Broker Quote	$113.28: Price source depth of 1
CIFC Funding LTD	$	1,500,000	Broker Quote	$100.00: Price source depth of 1
Dryden Senior Loan Funding	$	600,000	Broker Quote	$100.00: Price source depth of 1
Madison Park Funding Ltd	$	1,400,000	Broker Quote	$100.00: Price source depth of 1
Madison Park Funding Ltd	$	495,388	Broker Quote	$99.08: Price source depth of 1
Wellfleet CLO Ltd	$	1,150,000	Broker Quote	$100.00: Price source depth of 1
Bank Loans
Boomerang Tube LLC	$	75,898	Discounted Cash Flow	Average Enterprise Valuation Multiple: 5 year projection, 5.5x; EBITDA: $42.5 million; 15% discount rate
Boomerang Tube LLC	$	121,563	Discounted Cash Flow	Average Enterprise Valuation Multiple: 5 year projection, 5.5x; EBITDA: $42.5 million; 15% discount rate
Boomerang Tube LLC	$	5,261	Discounted Cash Flow	Average Enterprise Valuation Multiple: 5 year projection, 5.5x; EBITDA: $42.5 million; 15% discount rate
Boomerang Tube LLC	$	46,501	Discounted Cash Flow	Average Enterprise Valuation Multiple: 5 year projection, 5.5x; EBITDA: $42.5 million; 15% discount rate
Boomerang Tube LLC	$	27,866	Discounted Cash Flow	Average Enterprise Valuation Multiple: 5 year projection, 5.5x; EBITDA: $42.5 million; 15% discount rate

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.

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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 JUNE 30, 2018		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM INVESTMENTS HELD AT JUNE 30 2018
Equities
Common Stock	$	538,528	$	–	$	12,094		$	–	$	–	$	–	$	–		$	550,622	$	12,094
Preferred Stock	$	262,298	$	–	$	21,474		$	–	$	–	$	2,879	$	–		$	286,651	$	21,474
Fixed Income
Asset-Backed Securities	$	–	$	–	$	2,229		$	–	$	2	$	10,225,923	$	–		$	10,228,154	$	2,229
Bank Loans	$	1,618,268	$	–	$	(19,476	)	$	–	$	677	$	64,784	$	(1,387,164	)	$	277,089	$	(19,476	)
Total	$	2,419,094	$	–	$	16,321		$	–	$	679	$	10,293,586	$	(1,387,164	)	$	11,342,516	$	16,321

Active Short Duration Bond Fund

DESCRIPTION	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL INVESTMENTS
Assets:*
Fixed Income:
Asset-Backed Securities	$	–	$	172,663,312	$	4,347,527	$	177,010,839
Corporate Bonds		–		198,401,162		–		198,401,162
Mortgage-Backed Securities		–		20,906,910		564,478		21,471,388
U.S. Treasury & Government Agencies		–		13,670,256		–		13,670,256
Total Fixed Income		–		405,641,640		4,912,005		410,553,645
Purchased Options:
Call Options Purchased		–		1,150,606		–		1,150,606
Put Options Purchased		–		2,683,160		–		2,683,160
Total Purchased Options		–		3,833,766		–		3,833,766
Short-Term Investments:
Bank Deposit		–		658,740		–		658,740
Commercial Paper		–		17,987,881		–		17,987,881
Total Short-Term Investments		–		18,646,621		–		18,646,621
Derivative Securities:
Futures**		435,916		–		–		435,916
Total	$	435,916	$	428,122,027	$	4,912,005	$	433,469,948

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June 30, 2018

DESCRIPTION	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL INVESTMENTS
Liabilities:*
Derivative Securities:
Futures**	$	(823,993	)	$	–		$	–	$	(823,993	)
OTC – Credit Default Swaps		–			(53,944	)		–		(53,944	)
Total Derivative Securities		(823,993	)		(53,944	)		–		(877,937	)
Total Investments	$	(388,077	)	$	428,068,083		$	4,912,005	$	432,592,011

* There were no transfers between levels 1 and 2 during the year ended June 30, 2018.

** Centrally Cleared Swaps and Futures are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statement of Assets and Liabilities.

The following table is a summary of quantitative information about significant unobservable valuation inputs for Level 3 fair value measurement for investments held as of June 30, 2018:

TYPE OF ASSETS	FAIR VALUE AS OF JUNE 30, 2018		VALUATION TECHNIQUE(S)	UNOBSERVABLE INPUT
Asset-Backed Securities
AccessLex Institute 2002-A A2	$	546,700	Broker Quote	$99.40: Price source depth of 1
DRB Prime Student Loan Trust 2016-R A1	$	911,181	Broker Quote	$101.50: Price source depth of 1
SoFi Professional Loan Program 2018-A	$	985,730	Broker Quote	$71.82: Price source depth of 1
SoFi Professional Loan Program 2018-B Trust	$	721,196	Discounted Cash Flow	Prepay CPR 15%; Default CDR 0.3 ramp 24 0.5; Severity 80%; 6-month recovery lag
SoFi Consumer Loan Program LLC 2015-A RC	$	442,500	Broker Quote	$147,500: Price source depth of 1
SoFi Professional Loan Program 2017-D R1	$	740,220	Broker Quote	$60.00: Price source depth of 1
Mortgage-Backed Securities
TIAA Bank Mortgage Loan Trust 2018-2	$	564,478	Broker Quote	$99.03: 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 JUNE 30, 2018		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM INVESTMENTS HELD AT JUNE 30, 2018
Asset–Backed Securities	$	5,241,812	$	15,438	$	(276,268	)	$	(2,394,587	)	$	28,396	$	2,367,232	$	(634,496	)	$	4,347,527	$	(276,268	)
Mortgage–Backed Securities	$	–	$	–	$	(1	)	$	–		$	1	$	564,478	$	–		$	564,478	$	(1	)
Total	$	5,241,812	$	15,438	$	(276,269	)	$	(2,394,587	)	$	28,397	$	2,931,710	$	(634,496	)	$	4,912,005	$	(276,269	)

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June 30, 2018

Total Return Bond Fund

DESCRIPTION	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL INVESTMENTS
Assets:*
Fixed Income:
Asset-Backed Securities	$	–		$	7,573,149		$	163,761	$	7,736,910
Corporate Bonds		–			9,257,411			–		9,257,411
Foreign Government		–			238,072			–		238,072
Mortgage-Backed Securities		–			256,057			–		256,057
U.S. Treasury & Government Agencies		–			6,957,182			–		6,957,182
Total Fixed Income		–			24,281,871			163,761		24,445,632
Mutual Fund:
Mutual Fund		2,635,105			–			–		2,635,105
Purchased Options:
Call Options Purchased		–			117,236			–		117,236
Put Options Purchased		–			275,853			–		275,853
Total Purchased Options		–			393,089			–		393,089
Short-Term Investments:
Bank Deposit		–			1,126,545			–		1,126,545
Commercial Paper		–			1,498,884			–		1,498,884
Total Short-Term Investments		–			2,625,429			–		2,625,429
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–			20,403			–		20,403
Futures**		89,540			–			–		89,540
Total Derivative Securities		89,540			20,403			–		109,943
Total	$	2,724,645		$	27,320,792		$	163,761	$	30,209,198
Liabilities:*
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–			(43,379	)		–		(43,379	)
Futures**		(14,530	)		–			–		(14,530	)
OTC – Credit Default Swaps		–			(13,486	)		–		(13,486	)
Total Derivative Securities		(14,530	)		(56,865	)		–		(71,395	)
Total Investments	$	2,710,115		$	27,263,927		$	163,761	$	30,137,803

* There were no transfers between levels 1 and 2 during the year ended June 30, 2018.

** 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.

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June 30, 2018

The following table is a summary of quantitative information about significant unobservable valuation inputs for Level 3 fair value measurement for investments held as of June 30, 2018:

TYPE OF ASSETS	FAIR VALUE AS OF JUNE 30, 2018		VALUATION TECHNIQUE(S)	UNOBSERVABLE INPUT
Asset-Backed Securities
College Loan Corp. Trust 2017-1 B2	$	38,700	Broker Quote	$86.00: Price source depth of 1
DRB Prime Student Loan Trust 2016-R A1	$	62,840	Broker Quote	$101.50: Price source depth of 1
DRB Prime Student Loan Trust 2016-R A2	$	62,221	Broker Quote	$100.50: 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 JUNE 30, 2018		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM INVESTMENTS HELD AT JUNE 30, 2018
Asset Backed Securities	$	410,163	$	6	$	781	$	(225,364	)	$	144	$	38,363	$	(60,332	)	$	163,761	$	781
Total	$	410,163	$	6	$	781	$	(225,364	)	$	144	$	38,363	$	(60,332	)	$	163,761	$	781

Emerging Markets Debt Blended Total Return Fund

DESCRIPTION	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL INVESTMENTS
Assets:*
Fixed Income:
Corporate Bonds	$	–	$	13,460,889	$	–	$	13,460,889
Foreign Government		–		29,646,282		–		29,646,282
Total Fixed Income		–		43,107,171		–		43,107,171
Short-Term Investments:
Bank Deposit		–		2,756,609		–		2,756,609
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		2,214,203		–		2,214,203
OTC – Credit Default Swaps		–		16,289		–		16,289
OTC – Cross Currency Swaps		–		93,584		–		93,584
OTC – Interest Rate Swaps		–		173,938		–		173,938
Total Derivative Securities		–		2,498,014		–		2,498,014
Total	$	–	$	48,361,794	$	–	$	48,361,794

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June 30, 2018

DESCRIPTION	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL INVESTMENTS
Liabilities:*
Derivative Securities:
Forward Foreign Currency Exchange Contracts	$	–		$	(2,771,591	)	$	–	$	(2,771,591	)
Futures**		(42,574	)		–			–		(42,574	)
OTC – Credit Default Swaps		–			(47,337	)		–		(47,337	)
OTC – Cross Currency Swaps		–			(9,271	)		–		(9,271	)
OTC – Interest Rate Swaps		–			(47,773	)		–		(47,773	)
Total Derivative Securities		(42,574	)		(2,875,972	)		–		(2,918,546	)
Total Investments	$	(42,574	)	$	45,485,822		$	–	$	45,443,248

* There were no transfers between levels during the year ended June 30, 2018.

** 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	$	–	$	15,936,811		$	–	$	15,936,811
Total Fixed Income		–		15,936,811			–		15,936,811
Short-Term Investments:
Bank Deposit		–		2,306,774			–		2,306,774
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		691,437			–		691,437
OTC – Interest Rate Swaps		–		89,914			–		89,914
Total Derivative Securities		–		781,351			–		781,351
Total	$	–	$	19,024,936		$	–	$	19,024,936
Liabilities:*
Derivative Securities:
Centrally Cleared Interest Rate Swaps		–		(24,541	)		–		(24,541	)
Forward Foreign Currency Exchange Contracts		–		(1,261,719	)		–		(1,261,719	)
OTC – Interest Rate Swaps		–		(29,014	)		–		(29,014	)
Total Derivative Securities		–		(1,315,274	)		–		(1,315,274	)
Total Investments	$	–	$	17,709,662		$	–	$	17,709,662

* There were no transfers between levels during the year ended June 30, 2018.

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June 30, 2018

Global High Yield Fund

DESCRIPTION	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL INVESTMENTS
Assets:*
Fixed Income:
Bank Loans	$	–		$	808,029		$	–	$	808,029
Corporate Bonds		–			23,442,856			–		23,442,856
Total Fixed Income		–			24,250,885			–		24,250,885
Short-Term Investments:			��
Bank Deposit		–			1,028,962			–		1,028,962
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–			46,798			–		46,798
Total	$	–		$	25,326,645		$	–	$	25,326,645
Liabilities:*
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–			(900	)		–		(900	)
Total Investments	$	–		$	25,325,745		$	–	$	25,325,745

* There were no transfers between levels during the year ended June 30, 2018.

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 JUNE 30, 2018

CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM INVESTMENTS HELD AT JUNE 30, 2018

Fixed Income

Bank Loans

$

255,372

$

–

$

–

$

–

$

–

$

–

$

(255,372

)

$

–

$

–

U.S. High Yield Fund

DESCRIPTION	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL INVESTMENTS
Assets:*
Equities:
Common Stocks	$	49,357	$	206,025	$	–	$	255,382
Total Equities		49,357		206,025		–		255,382
Fixed Income:
Bank Loans		–		1,492,271		–		1,492,271
Corporate Bonds		–		52,020,406		–		52,020,406
Total Fixed Income		–		53,512,677		–		53,512,677

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June 30, 2018

DESCRIPTION	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL INVESTMENTS
Short-Term Investments:
Bank Deposit	$	–	$	3,495,098	$	–	$	3,495,098
Total	$	49,357	$	57,213,800	$	–	$	57,263,157
Total Investments	$	49,357	$	57,213,800	$	–	$	57,263,157

* There were no transfers between levels during the year ended June 30, 2018.

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 JUNE 30, 2018

CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM INVESTMENTS HELD AT JUNE 30, 2018

Fixed Income

Bank Loans

$

255,643

$

–

$

–

$

–

$

–

$

–

$

(255,643

)

$

–

$

–

B. When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions

The Funds may enter into when-issued, delayed-delivery, forward commitment, or TBA transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although a Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. As a result, each of these types of transactions may create investment leverage in a Fund’s portfolio and increase the volatility of the Fund. If a Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.

These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to

procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.

C. Cash and Short-Term Investments

Cash and cash equivalents consist principally of short-term investments that are readily convertible into cash and have original maturities of three months or less. At June 30, 2018, 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

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June 30, 2018

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.

E. Redemption Fees

The Funds do not have redemption fees.

F. Use of Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates.

G. Federal Income Taxation

The Funds have elected to be taxed as a Regulated Investment Company (“RIC”) under sub-chapter M of the U.S. Internal Revenue Code of 1986, as amended, and intend to maintain this qualification and to distribute substantially all of their net taxable income to their shareholders. As of June 30, 2018, the Funds had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Funds file a U.S. federal income tax return annually after their fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of the filings.

H. Dividends and Distributions

Each Fund declares a dividend daily based on the Adviser’s projections of the Funds’ estimated net investment income and distributes such dividend

monthly. To the extent that these distributions exceed net investment income, they may be classified as return of capital. The Funds also pay a distribution at least annually from their net realized capital gains, if any. Dividends and distributions are recorded on the ex-dividend date. All common shares have equal dividend and other distribution rights. A notice disclosing the source(s) of a distribution will be provided if payment is made from any source other than net investment income. Any such notice would be provided only for informational purposes in order to comply with the requirements of Section 19(a) of the 1940 Act and not for tax reporting purposes. The tax composition of the Funds’ distributions for each calendar year is reported on Internal Revenue Service Form 1099-DIV.

Dividends from net investment income and distributions from realized gains from investment transactions have been determined in accordance with Federal income tax regulations and may differ from net investment income and realized gains recorded by the Funds for financial reporting purposes. These differences, which could be temporary or permanent in nature may result in reclassification of distributions; however, net investment income, net realized gains and losses, and net assets are not affected.

I. Bank Loans

The Funds may invest in bank loans, which usually take the form of loan participations and assignments. Loan participations and assignments are agreements to make money available to U.S. or foreign corporations, partnerships or other business entities (the “Borrower”) in a specified amount, at a specified rate and within a specified time. A loan is typically originated, negotiated and structured by a U.S. or foreign bank, insurance company or other financial institution (the “Agent”) for a group of loan investors (“Loan Investors”). The Agent typically administers and enforces the loan on behalf of the other Loan Investors in the syndicate and may hold any collateral on behalf of the Loan Investors. Such loan participations and assignments are typically senior, secured and collateralized in nature. The Funds record an investment when the Borrower withdraws money and records interest as earned. These loans pay interest at rates which are periodically reset by reference to a base lending rate plus a spread. These base lending rates are generally the prime rate offered by a designated U.S. bank or London InterBank Offered Rate (“LIBOR”).

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June 30, 2018

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 June 30, 2018, the following Funds had unfunded loan commitments:

FUND	SECURITY	PAR AMOUNT
Global Floating Rate Fund	EG Group, Limited, 2/6/25		168,197
Global Credit Income Opportunities Fund	EG Group, Limited, 2/6/25		168,197
Global Credit Income Opportunities Fund	GFL Environmental, 5/30/25		14,744

J. Derivative Instruments

The following is a description of the derivative instruments that the Funds utilize as part of their investment strategy, including the primary underlying risk exposures related to the instrument.

The Funds are subject to foreign currency exchange rate risk in the normal course of pursuing their investment objectives. The Funds may use forward foreign currency exchange contracts to hedge against changes in the value of foreign currencies. The Funds may enter into forward foreign currency exchange contracts obligating the Funds to deliver or receive a currency at a specified future date. Forward contracts are valued daily and unrealized appreciation or depreciation is recorded daily as the

difference between the contract exchange rate and the closing forward rate applied to the face amount of the contract. A realized gain or loss is recorded at the time the forward contract expires. Credit risk may arise as a result of the failure of the counterparty to comply with the terms of the contract. The Funds consider the creditworthiness of each counterparty to a contract in evaluating potential credit risk quarterly. The Funds are also subject to credit risk with respect to the counterparties to derivative contracts that are not cleared through a central counterparty but instead are traded over-the-counter between two counterparties. If a counterparty to an over-the-counter derivative becomes bankrupt or otherwise fails to perform its obligations under a derivative contract due to financial difficulties, the Funds may experience significant delays in obtaining any recovery under the derivative contract in a bankruptcy or other reorganization proceeding. The Funds may obtain only a limited recovery or may obtain no recovery in such circumstances. The counterparty risk for cleared derivatives is generally lower than for uncleared over-the-counter derivative transactions since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing house for performance of financial obligations. However, there can be no assurance that the clearing house, or its members, will satisfy its obligations to the Funds. In addition, in the event of a bankruptcy of a clearing house, the Funds could experience a loss of the funds deposited with such clearing house as margin and of any profits on its open positions. The counterparty risk to the Funds is limited to the net unrealized gain, if any, on the contract.

The use of forward foreign currency exchange contracts does not eliminate fluctuations in the underlying prices of the Funds’ investment securities; however, it does establish a rate of exchange that can be achieved in the future. The use of forward foreign currency exchange contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward foreign currency exchange contract would limit the risk of loss due to a decline in the value of a particular currency; however, it would also limit any potential gain that might result should the value of the currency increase instead of decrease. These contracts may involve market risk in excess of the amount of receivable or payable reflected on the Statement of Assets and Liabilities.

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June 30, 2018

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 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

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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.

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 (or central clearing party in the case of centrally cleared interest rate swaps) based on a specified long- or short-term interest rate, and will receive payments from its counterparty (or central clearing party in the case of centrally cleared interest rate swaps) 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.

Entering into swap agreements involves counterparty and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, that there may be unfavorable changes in interest rates, and, in the case of credit default swaps, that the Adviser does not correctly predict the creditworthiness of the issuers of

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June 30, 2018

the reference obligation on which the credit default swap is based. In the case of centrally cleared swaps, counterparty risk is believed to be minimal due to protections provided by the central clearing party.

During the period ended June 30, 2018, 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 June 30, 2018:

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	$	635,460
Total			$	635,460

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	$	(6,085	)
Total			$	(6,085	)

Global Credit Income Opportunities Fund

ASSET DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION		FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		EQUITY		TOTAL
Forward Foreign Currency Exchange Contracts		Unrealized appreciation on forward foreign currency exchange contracts	$	817,834	$	–	$	–	$	817,834
Purchased Options		Investments, at fair value		–				777,005		777,005
Total			$	817,834	$	–	$	777,005	$	1,594,839

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June 30, 2018

LIABILITY DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION		FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK		EQUITY		TOTAL
Forward Foreign Currency Exchange Contracts		Unrealized depreciation on forward foreign currency exchange contracts	$	(2,076	)	$	–		$	$	(2,076	)
Total			$	(2,076	)	$	–		$	$	(2,076	)

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.	$	435,916		$	–		$	435,916
Purchased Options	Investments, at fair value		3,833,766			–			3,833,766
Total		$	4,269,682		$	–		$	4,269,682
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.	$	(823,993	)	$	–		$	(823,993	)
OTC – Swaps Contracts	Swap contracts, at fair value		–			(53,944	)		(53,944	)
Total		$	(823,993	)	$	(53,944	)	$	(877,937	)

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	$	20,403	$	–	$	–	$	20,403
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.		–		89,540		–		89,540
Purchased Options	Investments, at fair value		—		393,089		—		393,089
Total		$	20,403	$	482,629	$		$	503,032

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June 30, 2018

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	$	(43,379	)	$	–		$			$	(43,379	)
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.		–			(14,530	)		–			(14,530	)
OTC – Swaps Contracts	Swap contracts, at fair value		–			–			(13,486	)		(13,486	)
Total		$	(43,379	)	$	(14,530	)	$	(13,486	)	$	(71,395	)

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	$	2,214,203	$	–	$	–	$	2,214,203
OTC – Swaps Contracts	Swap contracts, at fair value		93,584		173,938		16,289		283,811
Total		$	2,307,787	$	173,938	$	16,289	$	2,498,014

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	$	(2,771,591)		$	–		$			$	(2,771,591	)
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.		–			(42,574	)		–			(42,574	)
OTC – Swaps Contracts	Swap contracts, at fair value		(9,271)			(47,773	)		(47,337	)		(104,381	)
Total		$	(2,780,862	)	$	(90,347	)	$	(47,337	)	$	(2,918,546	)

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June 30, 2018

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	$	691,437		$	–		$	691,437
OTC – Swaps Contracts	Swap contracts, at fair value					89,914			89,914
Total		$	691,437		$	89,914		$	781,351
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	$	(1,261,719	)	$	–		$	(1,261,719	)
OTC – Swaps Contracts	Swap contracts, at fair value					(29,014	)		(29,014	)
Centrally Cleared Credit Default Swaps Contracts	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.					(24,541	)		(24,541	)
Total		$	(1,261,719	)	$	(53,555	)	$	(1,315,274	)

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	$	46,798
Total			$	46,798
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	$	(900	)
Total			$	(900	)

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June 30, 2018

Amount of Realized Gain/(Loss) on Derivatives:

Global Floating Rate Fund

	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts	$	(820,659	)
Total	$	(820,659	)

Global Credit Income Opportunities Fund

	FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK			EQUITY			TOTAL
Forward Foreign Currency Exchange Contracts	$	(963,704	)	$	–		$	–		$	(963,704	)
Purchased Options		–			(94,770	)		(172,166	)		(266,936	)
Total	$	(963,704	)	$	(94,770	)	$	(172,166	)	$	(1,230,640	)

Active Short Duration Bond Fund

	INTEREST RATE RISK			CREDIT RISK			TOTAL
Futures Contracts	$	1,893,658		$	–		$	1,893,658
Purchased Options		(95,458	)		–			(95,458	)
Swaps Contracts		–			(11,819	)		(11,819	)
Total	$	1,798,200		$	(11,819	)	$	1,786,381

Total Return Bond Fund

	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK			CREDIT RISK			TOTAL
Forward Foreign Currency Exchange Contracts	$	11,939	$	–		$	–		$	11,939
Futures Contracts		–		(163,053	)		–			(163,053	)
Purchased Options		–		(19,770	)		–			(19,770	)
Swaps Contracts		–		–			(1,808	)		(1,808	)
Total	$	11,939	$	(182,823	)	$	(1,808	)	$	(172,692	)

Emerging Markets Debt Blended Total Return Fund

	FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK		CREDIT RISK		TOTAL
Forward Foreign Currency Exchange Contracts	$	(166,348	)	$	–	$	–	$	(166,348	)
Futures Contracts		–			12,675		–		12,675
Swaps Contracts		(3,324	)		5,311		62,588		64,575
Total	$	(169,672	)	$	17,986	$	62,588	$	(89,098	)

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June 30, 2018

Emerging Markets Local Currency Debt Fund

	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		TOTAL
Forward Foreign Currency Exchange Contracts	$	231,609	$	–	$	231,609
Swaps Contracts		–		21,491		21,491
Total	$	231,609	$	21,491	$	253,100

Global High Yield Fund

	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts	$	(123,373	)
Total	$	(123,373	)

Change in Unrealized Appreciation/(Depreciation) on Derivatives:

Global Floating Rate Fund

	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts	$	936,893
Total	$	936,893

Global Credit Income Opportunities Fund

	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		EQUITY		TOTAL
Forward Foreign Currency Exchange Contracts	$	1,076,045	$		$	–	$	1,076,045
Purchased Options		–		–		176,828		176,828
Total	$	1,076,045	$	–	$	176,828	$	1,252,873

Active Short Duration Bond Fund

	INTEREST RATE RISK			CREDIT RISK		TOTAL
Futures Contracts	$	(638,459	)	$	–	$	(638,459	)
Purchased Options		39,457			–		39,457
Swaps Contracts		–			14,762		14,762
Total	$	(599,002	)	$	14,762	$	(584,240	)

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June 30, 2018

Total Return Bond Fund

	FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK		CREDIT RISK		TOTAL
Forward Foreign Currency Exchange Contracts	$	(25,222	)	$	–	$	–	$	(25,222	)
Futures Contracts		–			70,710		–		70,710
Purchased Options		–			18,599		–		18,599
Swaps Contracts		–			–		3,338		3,338
Total	$	(25,222	)	$	89,309	$	3,338	$	67,425

Emerging Markets Debt Blended Total Return Fund

	FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK			CREDIT RISK			TOTAL
Forward Foreign Currency Exchange Contracts	$	(537,334	)	$			$	–		$	(537,334	)
Futures Contracts		–			(38,239	)		–			(38,239	)
Swaps Contracts		19,670			99,848			(65,888	)		53,630
Total	$	(517,664	)	$	61,609		$	(65,888	)	$	(521,943	)

Emerging Markets Local Currency Debt Fund

	FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK		TOTAL
Forward Foreign Currency Exchange Contracts	$	(623,053	)	$	–	$	(623,053	)
Swaps Contracts		–			7,670		7,670
Total	$	(623,053	)	$	7,670	$	(615,383	)

Global High Yield Fund

	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts	$	124,681
Total	$	124,681

Global Floating Rate Fund

NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OF SHARES/UNITS	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts(1)	$	35,779,683

(1)    Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period.

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June 30, 2018

Global Credit Income Opportunities Fund

NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OF SHARES/UNITS	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		EQUITY		TOTAL
Forward Foreign Currency Exchange Contracts(1)	$	35,062,659	$	–	$	–	$	35,062,659
Purchased Options(1)	$	–	$	3,000,000	$	4,323	$	3,004,323

(1)    Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period.

Active Short Duration Bond Fund

NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OF SHARES/UNITS	INTEREST RATE RISK		CREDIT RISK		TOTAL
Futures Contracts(1)		1,725		–		1,725
Purchased Options(2)	$	42,279,077	$	–	$	42,279,077
OTC – Swaps Contracts(2)	$	–	$	1,066,154	$	1,066,154

(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)	$	1,040,015	$	–	$	–	$	1,040,015
Futures Contracts(2)		–		42		–		42
Purchased Options(1)	$	–	$	4,697,846	$	–	$	4,697,846
OTC – Swaps Contracts(1)	$	–	$	–	$	221,538	$	221,538

(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)	$	37,383,490	$	–	$	–	$	37,383,490
Futures Contracts(2)		–		4				4
OTC – Swaps Contracts(1)	$	784,689	$	526,274,048	$	2,184,615	$	529,243,352

(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.

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June 30, 2018

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)	$	23,473,328	$	–	$	23,473,328
OTC – Swaps Contracts(1)	$	–	$	24,446,154	$	24,446,154

(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)	$	6,565,800

(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.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty.

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as cash collateral held at broker or cash collateral due to broker, respectively. Non-cash collateral pledged by or received by the Funds, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold before a transfer is required, which is determined each day at the close of business of the Funds, typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement and any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the Funds and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or

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otherwise, the Funds bear the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by entering into agreements only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

The following tables illustrate gross and net information about recognized assets eligible for offset in the Statement of Assets and Liabilities, and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between two counterparties who have multiple contracts with each other that provides for the net settlement of all contracts, as well as cash collateral, through a single payment in the event of default on or termination of any one contract:

Global Floating Rate Fund

DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES
Forward Foreign Currency Exchange Contracts	$	635,460	$	–	$	635,460
Total	$	635,460	$	–	$	635,460

			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	$	442,255	$	–		$	(442,255	)	$	–
Morgan Stanley & Co.		193,205		(6,085	)		–			187,120
Total	$	635,460	$	(6,085	)	$	(442,255	)	$	187,120

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2018.

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	$	6,085	$	–	$	6,085
Total	$	6,085	$	–	$	6,085

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June 30, 2018

			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
COUNTERPARTY	NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENT			CASH COLLATERAL PLEDGED (a)		NET AMOUNT (b)
Morgan Stanley & Co.	$	6,085	$	(6,085	)	$	–	$	–
Total	$	6,085	$	(6,085	)	$	–	$	–

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2018.

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	$	817,834	$	–	$	817,834
Purchased Options		777,005		–		777,005
Total	$	1,594,839	$	–	$	1,594,839

			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND  LIABILITIES
COUNTERPARTY	NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENT			CASH COLLATERAL RECEIVED (a)			NET AMOUNT (b)
Bank of America N.A.	$	3,176	$	(2,076	)	$	–		$	1,100
Citibank N.A.		456,277		–			(456,277	)		–
Goldman Sachs & Co.		338,946		–			(338,946	)		–
JPMorgan Chase Bank N.A.		19,435		–			(10,000	)		9,435
Morgan Stanley & Co.		777,005		–			–			777,005
Total		$1,594,839	$	(2,076	)	$	(805,223	)	$	787,540

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2018.

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June 30, 2018

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	$	2,076	$	–	$	2,076
Total	$	2,076	$	–	$	2,076

			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.	$	2,076	$	(2,076	)	$	–	$	–
Total	$	2,076	$	(2,076	)	$	–	$	–

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2018.

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	$	3,833,766	$	–	$	3,833,766
Total	$	3,833,766	$	–	$	3,833,766

			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.	$	3,833,766	$	(24,375	)	$	(3,720,000	)	$	89,391
Total	$	3,833,766	$	(24,375	)	$	(3,720,000	)	$	89,391

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2018.

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June 30, 2018

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	$	33,058	$	–	$	33,058
Total	$	33,058	$	–	$	33,058

			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.	$	8,683	$	–		$	–	$	8,683
JPMorgan Chase Bank N.A.		24,375		(24,375	)		–		–
Total	$	33,058	$	(24,375	)	$	–	$	8,683

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2018.

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	$	20,403	$	–	$	20,403
Purchased Options		393,089		–		393,089
Total	$	413,492	$	–	$	413,492

			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.	$	4,722	$	(4,722	)	$	–		$	–
Barclays Bank plc		1,613		(1,613	)		–			–
Citibank N.A.		2,091		(2,091	)		–			–
Goldman Sachs & Co.		106		(106	)		–			–
JPMorgan Chase Bank N.A.		404,960		(20,457	)		(380,000	)		4,503
Total	$	413,492	$	(28,989	)	$	(380,000	)	$	4,503

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2018.

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June 30, 2018

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	$	43,379	$	—	$	43,379
Swap Contracts		8,455		—		8,455
Total	$	51,834	$	—	$	51,834

			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.	$	7,060	$	(4,722	)	$	—	$	2,338
Barclays Bank plc		1,660		(1,613	)		—		47
Citibank N.A.		6,715		(2,091	)		—		4,624
Goldman Sachs & Co.		15,942		(106	)		—		15,836
JPMorgan Chase Bank N.A.		20,457		(20,457	)		—		—
Total	$	51,834	$	(28,989	)	$	—	$	22,845

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2018.

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	$	2,214,203	$	—	$	2,214,203
Swap Contracts		251,221		—		251,221
Total	$	2,465,424	$	—	$	2,465,424

			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND  LIABILITIES
COUNTERPARTY	NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND  LIABILITIES		FINANCIAL INSTRUMENT			CASH COLLATERAL RECEIVED (a)			NET AMOUNT (b)
Bank of America N.A.	$	481,530	$	(164,637	)	$	(280,000	)	$	36,893
Barclays Bank plc		109,430		(109,430	)		—			—
BNP Paribas S.A.		131,376		(35,077	)		—			96,299
Citibank N.A.		313,280		(282,297	)		—			30,983

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June 30, 2018

			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.	$	8,792	$	(8,792	)	$	—		$	—
JPMorgan Chase Bank N.A.		1,421,016		(440,938	)		(860,000	)		120,078
Total	$	2,465,424	$	(1,041,171	)	$	(1,140,000	)	$	284,253

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2018.

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	$	2,771,591	$	—	$	2,771,591
Swap Contracts		165,823		—		165,823
Total	$	2,937,414	$	—	$	2,937,414

			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.	$	164,637	$	(164,637	)	$	—		$	—
Barclays Bank plc		365,637		(109,430	)		(220,000	)		36,207
BNP Paribas S.A.		35,077		(35,077	)		—			—
Citibank N.A.		282,297		(282,297	)		—			—
Goldman Sachs & Co.		1,018,291		(8,792	)		(1,009,499	)		—
JPMorgan Chase Bank N.A.		440,938		(440,938	)		—			—
State Street Bank & Trust Co.		630,537		—			(570,000	)		60,537
Total	$	2,937,414	$	(1,041,171	)	$	(1,799,499	)	$	96,744

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2018.

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June 30, 2018

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	$	691,437	$	—	$	691,437
Swap Contracts		89,914		—		89,914
Total	$	781,351	$	—	$	781,351

			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.	$	213,187	$	(199,793	)	$	—		$	13,394
Barclays Bank plc		33,733		(33,733	)		—			—
BNP Paribas S.A.		502		(502	)		—			—
Citibank N.A.		63,752		(63,752	)		—			—
Goldman Sachs & Co.		9,143		(9,143	)		—			—
JPMorgan Chase Bank N.A.		461,034		(242,371	)		(218,663	)		—
Total	$	781,351	$	(549,294	)	$	(218,663	)	$	13,394

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2018.

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	$	1,261,719	$	–	$	1,261,719
Swap Contracts		29,014		–		29,014
Total	$	1,290,733	$	–	$	1,290,733

			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.	$	199,793	$	(199,793	)	$	–		$	–
Barclays Bank plc		163,411		(33,733	)		(129,678	)		–
BNP Paribas S.A.		1,181		(502	)		–			679

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June 30, 2018

			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
COUNTERPARTY	NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENT			CASH COLLATERAL PLEDGED (a)			NET AMOUNT (b)
Citibank N.A.	$	258,275	$	(63,752	)	$	(194,523	)	$	–
Goldman Sachs & Co.		425,702		(9,143	)		(410,000	)		6,559
JPMorgan Chase Bank N.A.		242,371		(242,371	)		–			–
Total	$	1,290,733	$	(549,294	)	$	(734,201	)	$	7,238

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2018.

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	$	46,798	$	–	$	46,798
Total	$	46,798	$	–	$	46,798

			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.	$	900	$	(893	)	$	–	$	7
BNP Paribas S.A.		974		(7	)		–		967
Goldman Sachs & Co.		5,118		–			–		5,118
JPMorgan Chase Bank N.A.		39,806		–			–		39,806
Total	$	46,798	$	(900	)	$	–	$	45,898

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2018.

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June 30, 2018

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	$	900	$	–	$	900
Total	$	900	$	–	$	900

			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.	$	893	$	(893	)	$	–	$	–
BNP Paribas S.A.		7		(7	)		–		–
Total	$	900	$	(900	)	$	–	$	–

(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b) Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2018.

L. Foreign Securities

Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and the U.S. government. These risks include valuation of currencies and adverse political and economic developments. Moreover, securities of many foreign companies, foreign governments, and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. companies and the U.S. government.

M. Foreign Currency Translation

The books and records of the Funds are maintained in U.S. dollars. Foreign currency transactions are translated into U.S. dollars on the following basis: (i) market value of investment securities, assets and liabilities at the daily rates of exchange, and (ii) purchases and sales of investment securities, dividend and interest income and certain expenses at the rates of exchange prevailing on the respective dates of such transactions. For financial reporting purposes, the Funds do not isolate changes in the exchange rate of investment securities from the fluctuations arising from changes in the market prices of securities. However, for Federal income tax purposes, the Funds do isolate and treat as ordinary income the effect

of changes in foreign exchange rates on realized gain or loss from the sale of investment securities and payables and receivables arising from trade-date and settlement-date differences.

N. Counterparty Risk

The Funds seek to manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations. The Adviser monitors the financial stability of the Funds’ counterparties.

3. Advisory Fee

The Funds have entered into an Investment Management Agreement (the “Agreement”) with the Adviser. Pursuant to the Agreement, the Funds have agreed to pay the Adviser a fee payable at the end of each calendar month as set forth below:

Global Floating Rate Fund	0.65% of average daily net assets
Global Credit Income Opportunities Fund	0.75% of average daily net assets
Active Short Duration Bond Fund	0.35% of average daily net assets
Total Return Bond Fund	0.40% of average daily net assets

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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 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 Fund, 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	0.35	%
Global Credit Income Opportunities Fund	0.35	%
Emerging Markets Debt Blended Total Return Fund	0.50	%
Global High Yield Fund	0.35	%

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 Adviser at any time. For the year ended June 30, 2018, the amount of the waivers were $86,141, $211, $5, $33,274 and $15,885, respectively.

4. 12b-1 Distribution and Service Plan

ALPS Distributors, Inc. (the “Distributor”) is the Distributor of the Funds’ shares as of June 30, 2018.

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

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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 Board’s members and a majority of the Board’s 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 year ended June 30, 2018, 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	$	300
Global Credit Income Opportunities Fund		7
Barings Emerging Markets Debt Blended Total Return Fund		98

For the year ended June 30, 2018, 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	$	5,556	$	116,748
Global Credit Income Opportunities Fund		10,839		204,939
Active Short Duration Bond Fund		–		4,557
Emerging Markets Debt Blended Total Return Fund		888		7,351

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. For these services, the Funds have agreed to pay SSB fees payable at the end of each

calendar month pursuant to an agreement between SSB and the Funds. For the year ended June 30, 2018, the aggregate effective fee for the services 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	0.19	%
Global Credit Income Opportunities Fund	0.20	%
Active Short Duration Bond Fund	0.20	%
Total Return Bond Fund	0.35	%
Emerging Markets Debt Blended Total Return Fund	0.42	%
Emerging Markets Local Currency Debt Fund	0.59	%
Global High Yield Fund	0.32	%
U.S. High Yield Fund	0.26	%

The Funds have engaged ALPS Fund Services, Inc. (“ALPS”) to serve as the Funds’ transfer agent. For these services, the Funds have agreed to pay ALPS fees payable at the end of each calendar month pursuant to an agreement between ALPS and the Funds. For the year ended June 30, 2018, the 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	0.02	%
Global Credit Income Opportunities Fund	0.03	%
Active Short Duration Bond Fund	0.02	%
Total Return Bond Fund	0.09	%
Emerging Markets Debt Blended Total Return Fund	0.11	%
Emerging Markets Local Currency Debt Fund	0.13	%
Global High Yield Fund	0.08	%
U.S. High Yield Fund	0.05	%

7. Income Taxes

It is the Funds’ intention to qualify as a RIC under subchapter M of the Internal Revenue Code and distribute all of its taxable income. Accordingly, no provision for Federal income taxes is required in the financial statements.

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The tax character of dividends paid to shareholders during the year ended June 30, 2018 was as follows:

	ORDINARY INCOME		NET LONG-TERM CAPITAL GAINS		RETURN OF CAPITAL		TOTAL DISTRIBUTIONS PAID
Global Floating Rate Fund	$	8,591,381	$	–	$	1,171,303	$	9,762,684
Global Credit Income Opportunities Fund		9,089,382		–		496,307		9,585,689
Active Short Duration Bond Fund		9,664,909		902,028		–		10,566,937
Total Return Bond Fund		976,520		–		33,503		1,010,023
Emerging Markets Debt Blended Total Return Fund		1,342,816		145,149		–		1,487,965
Emerging Markets Local Currency Debt Fund		787,706		63,047		–		850,753
Global High Yield Fund		2,242,682		57,003		–		2,299,685
U.S. High Yield Fund		2,968,418		248,263		–		3,216,681

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

As of June 30, 2018, the components of distributable earnings on a tax-basis were as follows:

	UNDISTRIBUTED ORDINARY INCOME		UNDISTRIBUTED LONG-TERM CAPITAL GAINS		LATE YEAR ORDINARY AND POST OCT CAPITAL LOSS DEFERRALS			CAPITAL LOSS CARRY FORWARDS			UNREALIZED DEPRECIATION			TOTAL DISTRIBUTABLE EARNINGS
Global Floating Rate Fund	$	–	$	–	$	–		$	(1,502,281	)	$	(3,200,284	)	$	(4,702,565	)
Global Credit Income Opportunities Fund		–		–		–			(56,730	)		(5,005,462	)		(5,062,192	)
Active Short Duration Bond Fund		240,435		481,875		–			–			(4,469,919	)		(3,747,609	)
Total Return Bond Fund		–		–		(163,970	)		(111,117	)		(354,994	)		(630,081	)
Emerging Markets Debt Blended Total Return Fund		288,494		–		(266,300	)		–			(4,215,935	)		(4,193,741	)
Emerging Markets Local Currency Debt Fund		–		–		(360,711	)		–			(1,126,093	)		(1,486,804	)
Global High Yield Fund		122,578		240,568		–			–			(839,063	)		(475,917	)
U.S. High Yield Fund		118,934		–		(69,914	)		–			(761,122	)		(712,102	)

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”)

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indefinitely. Post-enactment losses will also retain their character as either short-term or long-term and be utilized before any pre-enactment losses.

On June 30, 2018, the following funds had capital loss carryforwards available to be offset against future net capital gains as follows:

	UNLIMITED - SHORT TERM		UNLIMITED - LONG TERM
Global Floating Rate Fund	$	215,686	$	1,286,595
Global Credit Income Opportunities Fund		—		56,730
Total Return Bond Fund		111,117		—

Under current tax rules, regulated investment companies can elect to treat certain late-year ordinary losses

incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year. As of June 30, 2018, Emerging Markets Local Currency Debt Fund has elected to defer late-year ordinary losses incurred of $160,945. As of June 30, 2018, Total Return Bond Fund, Emerging Markets Debt Blended Total Return Fund, Emerging Markets Local Currency Debt Fund and U.S. High Yield Fund have elected to defer current year post-October losses of $163,970, $266,300, $199,766, and $69,914, respectively.

Global Credit Income Opportunities Fund utilized $1,349,346 of capital loss carryforwards during the year ended June 30, 2018.

As of June 30, 2018, 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 DEPRECIATION
Global Floating Rate Fund	$	290,960,758	$	2,966,121	$	(6,182,949	)	$	(3,216,828	)
Global Credit Income Opportunities Fund		239,068,308		2,920,677		(7,865,524	)		(4,944,847	)
Active Short Duration Bond Fund		437,503,951		1,095,713		(5,565,632	)		(4,469,919	)
Total Return Bond Fund		30,447,294		170,652		(518,691	)		(348,039	)
Emerging Markets Debt Blended Total Return Fund		49,778,627		47,145		(3,961,992	)		(3,914,847	)
Emerging Markets Local Currency Debt Fund		19,246,036		79,958		(1,082,409	)		(1,002,451	)
Global High Yield Fund		26,115,605		425,153		(1,260,911	)		(835,758	)
U.S. High Yield Fund		58,024,279		745,360		(1,506,482	)		(761,122	)

The difference between book-basis and tax-basis unrealized gains (losses) is attributable to wash sales.

Permanent items identified during the year ended June 30, 2018 have been reclassified among the components of net assets based on their tax basis treatment as follows:

	UNDISTRIBUTED NET INVESTMENT INCOME		ACCUMULATED NET REALIZED GAIN (LOSS)
Global Floating Rate Fund	$	20,246	$	(20,246	)
Global Credit Income Opportunities Fund		440,558		(440,558	)
Active Short Duration Bond Fund		13,274		(13,274	)
Total Return Bond Fund		59,753		(59,753	)

	UNDISTRIBUTED NET INVESTMENT INCOME			ACCUMULATED NET REALIZED GAIN (LOSS)
Emerging Markets Debt Blended Total Return Fund	$	115,574		$	(115,574	)
Emerging Markets Local Currency Debt Fund		(147,725	)		147,725
Global High Yield Fund		134,503			(134,503	)
U.S. High Yield Fund		(320	)		320

The permanent differences are primarily attributable to foreign currency gains (losses) partnership basis adjustments, swap income reclasses and the tax treatment of certain distributions.

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June 30, 2018

8. Investment Transactions

Purchases and sales of securities (excluding short-term debt securities) for the year ended June 30, 2018 were as follows:

	PURCHASES		SALES		GOVERNMENT PURCHASES		GOVERNMENT SALES
Global Floating Rate Fund	$	176,234,550	$	113,958,993	$	–	$	–
Global Credit Income Opportunities Fund		165,217,547		88,722,152		–		–
Active Short Duration Bond Fund		287,880,742		185,006,432		15,396,838		50,676,889
Total Return Bond Fund		51,073,264		52,044,346		41,757,701		42,971,374
Emerging Markets Debt Blended Total Return Fund		47,248,266		10,918,099		–		–
Emerging Markets Local Currency Debt Fund		18,470,783		6,556,206		–		–
Global High Yield Fund		17,107,639		19,243,798		–		–
U.S. High Yield Fund		38,389,029		15,262,912		–		–

9. Common Stock

Transactions in common stock for the year ended June 30, 2018 were as follows:

Global Floating Rate Fund

	FOR THE YEAR ENDED JUNE 30, 2018						FOR THE YEAR ENDED JUNE 30, 2017
CLASS A	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		1,667,532		$	15,918,813			3,829,613		$	36,363,931
Shares sold through reinvestments of distributions		243,001			2,317,457			146,369			1,393,229
Shares redeemed		(1,036,759	)		(9,887,519	)		(753,451	)		(7,217,797	)
Net increase		873,774		$	8,348,751			3,222,531		$	30,539,363
CLASS C
Shares sold		185,281		$	1,760,750			282,492		$	2,668,145
Shares sold through reinvestments of distributions		29,111			276,669			28,770			272,104
Shares redeemed		(178,196	)		(1,693,674	)		(215,649	)		(2,030,225	)
Net increase		36,196		$	343,745			95,613		$	910,024
CLASS I
Shares sold		575,961		$	5,511,861			2,214,829		$	21,195,710
Shares sold through reinvestments of distributions		100,453			960,046			51,957			499,056
Shares redeemed		(807,441	)		(7,709,995	)		(2,378,284	)		(22,670,813	)
Net decrease		(131,027	)	$	(1,238,088	)		(111,498	)	$	(976,047	)
CLASS Y
Shares sold		9,320,803		$	89,015,823			9,291,951		$	88,449,851
Shares sold through reinvestments of distributions		568,316			5,429,194			484,693			4,604,438
Shares redeemed		(4,547,811	)		(43,466,701	)		(10,706,795	)		(101,282,672	)
Net increase (decrease)		5,341,308		$	50,978,316			(930,151	)	$	(8,228,383	)

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June 30, 2018

Global Credit Income Opportunities Fund

	FOR THE YEAR ENDED JUNE 30, 2018						FOR THE YEAR ENDED JUNE 30, 2017
CLASS A	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		4,878,668		$	45,886,717			2,302,114		$	21,436,358
Shares sold through reinvestments of distributions		185,198			1,746,315			106,536			999,227
Shares redeemed		(1,400,679	)		(13,240,661	)		(980,824	)		(9,084,434	)
Net increase		3,663,187		$	34,392,371			1,427,826		$	13,351,151
CLASS C
Shares sold		371,526		$	3,505,551			419,598		$	3,942,417
Shares sold through reinvestments of distributions		30,456			286,954			21,444			200,486
Shares redeemed		(150,027	)		(1,414,034	)		(150,039	)		(1,403,298	)
Net increase		251,955		$	2,378,471			291,003		$	2,739,605
CLASS I
Shares sold		–		$	–			3,073		$	26,732
Shares sold through reinvestments of distributions		93			876			98			913
Shares redeemed		–			–			(470,459	)		(4,473,652	)
Net increase (decrease)		93		$	876			(467,288	)	$	(4,446,007	)
CLASS Y
Shares sold		7,646,098		$	72,032,811			5,823,585		$	54,887,640
Shares sold through reinvestments of distributions		425,660			4,011,731			236,560			2,218,558
Shares redeemed		(3,105,523	)		(29,263,594	)		(2,585,294	)		(24,389,480	)
Net increase		4,966,235		$	46,780,948			3,474,851		$	32,716,718

Active Short Duration Bond Fund

	FOR THE YEAR ENDED JUNE 30, 2018						FOR THE YEAR ENDED JUNE 30, 2017
CLASS A	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		14,618,622		$	145,642,052			15,421,798		$	153,874,328
Shares sold through reinvestments of distributions		386,954			3,845,964			162,991			1,626,866
Shares redeemed		(8,990,871	)		(89,385,833	)		(7,690,111	)		(76,746,051	)
Net increase		6,014,705		$	60,102,183			7,894,678		$	78,755,143
CLASS C
Shares sold		103,284		$	1,031,298			2,805		$	28,000
Shares sold through reinvestments of distributions		1,963			19,485			543			5,417
Shares redeemed		(13,404	)		(133,445	)		(5,554	)		(55,396	)
Net increase (decrease)		91,843		$	917,338			(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	)

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June 30, 2018

	FOR THE YEAR ENDED JUNE 30, 2018						FOR THE YEAR ENDED JUNE 30, 2017
CLASS Y	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		20,820,040		$	207,162,143			16,431,103		$	163,786,901
Shares sold through reinvestments of distributions		564,556			5,609,410			247,545			2,469,485
Shares redeemed		(16,257,695	)		(161,293,725	)		(7,243,098	)		(72,203,413	)
Net increase		5,126,901		$	51,477,828			9,435,550		$	94,052,973

Total Return Bond Fund

	FOR THE YEAR ENDED JUNE 30, 2018						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		40			398			45			449
Shares redeemed		(495	)		(4,965	)		(995	)		(9,908	)
Net increase (decrease)		(455	)	$	(4,567	)		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		297,499		$	2,983,984			497,579		$	4,982,291
Shares sold through reinvestments of distributions		18,366			183,513			7,463			74,879
Shares redeemed		(369,123	)		(3,656,973	)		(49,321	)		(493,631	)
Net increase (decrease)		(53,258	)	$	(489,476	)		455,721		$	4,563,539

Emerging Markets Debt Blended Total Return Fund

	FOR THE YEAR ENDED JUNE 30, 2018						FOR THE YEAR ENDED JUNE 30, 2017
CLASS A	SHARES			AMOUNT			SHARES		AMOUNT
Shares sold		41,516		$	444,647			–	$	–
Shares sold through reinvestments of distributions		2,054			21,425			–		–
Shares redeemed		(4,035	)		(40,621	)		–		–
Net increase		39,535		$	425,451			–	$	–

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June 30, 2018

	FOR THE YEAR ENDED JUNE 30, 2018						FOR THE YEAR ENDED JUNE 30, 2017
CLASS C	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		10,058		$	105,120			981		$	9,740
Shares sold through reinvestments of distributions		193			1,964			20			208
Shares redeemed		(2,108	)		(20,978	)		(2	)		(17	)
Net increase		8,143		$	86,106			999		$	9,931
CLASS I
Shares sold		1,901,140		$	20,000,000			–		$	–
Shares sold through reinvestments of distributions		–			–			–			–
Shares redeemed		–			–			–			–
Net increase		1,901,140		$	20,000,000			–		$	–
CLASS Y
Shares sold		1,964,043		$	20,629,580			50,328		$	529,500
Shares sold through reinvestments of distributions		1,949			20,360			212			2,219
Shares redeemed		(41,536	)		(436,635	)		(24,371	)		(255,411	)
Net increase		1,924,456		$	20,213,305			26,169		$	276,308

Emerging Markets Local Currency Debt Fund

	FOR THE YEAR ENDED JUNE 30, 2018						FOR THE YEAR ENDED JUNE 30, 2017
CLASS A	SHARES			AMOUNT			SHARES		AMOUNT
Shares sold		22,629		$	249,981			–	$	–
Shares sold through reinvestments of distributions		921			9,935			–		–
Shares redeemed		(4,611	)		(49,914	)		–		–
Net increase		18,939		$	210,002				$
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		957,538		$	10,388,723			–	$	–
Shares sold through reinvestments of distributions		19,876			214,593			–		–
Shares redeemed		(69,895	)		(762,008	)		–		–
Net increase		907,519		$	9,841,308			–	$	–

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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

June 30, 2018

Global High Yield Fund

	FOR THE YEAR ENDED JUNE 30, 2018						FOR THE YEAR ENDED JUNE 30, 2017
CLASS A	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		127		$	1,278			1,210		$	12,543
Shares sold through reinvestments of distributions		59			602			34			351
Shares redeemed		–			–			(594	)		(6,118	)
Net increase		186		$	1,880			650		$	6,776
CLASS C
Shares sold		–		$	–			13,247		$	137,325
Shares sold through reinvestments of distributions		976			9,925			803			8,287
Shares redeemed		(4,423	)		(44,337	)		(417	)		(4,337	)
Net increase (decrease)		(3,447	)	$	(34,412	)		13,633		$	141,275
CLASS I
Shares sold		–		$	–			–		$	–
Shares sold through reinvestments of distributions		–			–			–			–
Shares redeemed		–			–			–			–
Net increase		–		$	–			–		$	–
CLASS Y
Shares sold		350,327		$	3,558,842			143,843		$	1,490,367
Shares sold through reinvestments of distributions		10,313			105,798			10,017			103,275
Shares redeemed		(485,834	)		(4,925,710	)		(15,575	)		(162,145	)
Net increase (decrease)		(125,194	)	$	(1,261,070	)		138,285		$	1,431,497

U.S. High Yield Fund

	FOR THE YEAR ENDED JUNE 30, 2018						FOR THE YEAR ENDED JUNE 30, 2017
CLASS A	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		311,531		$	3,152,721			548,169		$	5,757,935
Shares sold through reinvestments of distributions		19,367			197,966			12,725			133,626
Shares redeemed		(282,527	)		(2,883,028	)		(332,596	)		(3,522,759	)
Net increase		48,371		$	467,659			228,298		$	2,368,802
CLASS C
Shares sold		–		$	–			1,155		$	12,126
Shares sold through reinvestments of distributions		88			900			37			390
Shares redeemed		(1,277	)		(12,651	)		(3	)		(32	)
Net increase (decrease)		(1,189	)	$	(11,751	)		1,189		$	12,484
CLASS I
Shares sold		–		$	–			–		$	–
Shares sold through reinvestments of distributions		23,290			237,490			19,404			203,243
Shares redeemed		–			–			–			–
Net increase		23,290		$	237,490			19,404		$	203,243

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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

June 30, 2018

	FOR THE YEAR ENDED JUNE 30, 2018						FOR THE YEAR ENDED JUNE 30, 2017
CLASS Y	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		2,624,846		$	25,986,787			125,106		$	1,312,934
Shares sold through reinvestments of distributions		44,607			445,882			8,719			91,482
Shares redeemed		(62,945	)		(636,602	)		(1,412	)		(14,820	)
Net increase		2,606,508		$	25,796,067			132,413		$	1,389,596

10. Line of Credit

The Trust (the “Borrower”) has entered into a 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 one month LIBOR rate as in effect on the day of the borrowing plus 1.25%. In addition, the Borrower shall pay to the Bank a commitment fee at the rate of 0.25% per annum on the daily unused portion of the Facility Amount. As of June 30, 2018, there were no loans outstanding pursuant to the Credit Agreement. Effective July 18, 2018, the Facility Amount increased from $40,000,000 to $61,000,000.

11. Subsequent Events

On August 2, 2018, the Independent Trustees of the Trust approved a sub advisory agreement with Baring

International Investment Limited (“BIIL”) for the Global Floating Rate Fund, Credit Income Opportunities Fund, Emerging Markets Debt Blended Total Return Fund and Global High Yield Fund. BIIL replaces Barings Global Advisers Limited (“BGA”), another indirect wholly-owned subsidiary of Barings that also is registered as an investment adviser with the SEC and the Financial Conduct Authority in the United Kingdom. This change was recommended based on Barings’ consolidation of corporate entities, but involves no change in the actual control or management of the Funds because the same personnel will continue to perform the services they previously had performed for the Funds, though through BIIL, rather than BGA.

Effective August 2, 2018, Daniel McGee was elected by the Board of Trustees as President.

Management has considered the circumstances under which the Funds should recognize or make disclosures regarding events or transactions occurring subsequent to June 30, 2018 through the date the financial statements were issued. Adjustments or additional disclosures, if any, have been included in these financial statements.

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees of Barings Funds Trust and Shareholders of Barings Global Floating Rate Fund, Barings Global Credit Income Opportunities Fund, Barings Active Short Duration Bond Fund, Barings Total Return Bond Fund, Barings Emerging Markets Debt Blended Total Return Fund, Barings Emerging Markets Local Currency Debt Fund, Barings Global High Yield Fund, and Barings U.S. High Yield Fund (collectively, the “Funds”):

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of assets and liabilities of Barings Funds Trust comprising the Barings Global Floating Rate Fund, Barings Global Credit Income Opportunities Fund, Barings Active Short Duration Bond Fund, Barings Total Return Bond Fund, Barings Emerging Markets Debt Blended Total Return Fund, Barings Emerging Markets Local Currency Debt Fund, Barings Global High Yield Fund, and Barings U.S. High Yield Fund (the “Funds”), including the schedules of investments, as of June 30, 2018; the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for the periods indicated in the table below for the Funds; and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the funds listed above constituting Barings Funds Trust as of June 30, 2018, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for the periods listed in the table below, in conformity with accounting principles generally accepted in the United States of America.

INDIVIDUAL FUND COMPRISING THE BARINGS FUNDS TRUST	FINANCIAL HIGHLIGHTS
Barings Global Floating Rate Fund Barings Global Credit Income Opportunities Fund	For the years ended June 30, 2018, 2017, 2016, 2015, and the period from September 16, 2013 (commencement of operations) through June 30, 2014
Barings Active Short Duration Bond Fund Barings Total Return Bond Fund	For the years ended June 30, 2018, 2017, and the period from July 8, 2015 (commencement of operations) through June 30, 2016
Barings Emerging Markets Debt Blended Total Return Fund	For the years ended June 30, 2018, 2017, and the period from October 21, 2015 (commencement of operations) through June 30, 2016
Barings Emerging Markets Local Currency Debt Fund	For the years ended June 30, 2018, 2017, and the period from December 8, 2015 (commencement of operations) through June 30, 2016
Barings Global High Yield Fund Barings U.S. High Yield Fund	For the years ended June 30, 2018, 2017, and the period from October 30, 2015 (commencement of operations) through June 30, 2016

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (CONTINUED)

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of June 30, 2018, by correspondence with the custodian, brokers and agent banks; when replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

DELOITTE & TOUCHE LLP

New York, New York

August 27, 2018

We have served as the auditor of one or more Barings LLC investment companies since 2013.

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FEDERAL TAX INFORMATION (UNAUDITED)

The following Funds designate long-term capital gain distributions as listed below:

FUND	LONG-TERM CAPITAL GAIN DISTRIBUTIONS
Barings Active Short Duration Bond Fund	$	902,028
Barings Emerging Markets Debt Blended Total Return Fund	$	145,149
Barings Emerging Markets Local Currency Debt Fund	$	63,047
Barings Global High Yield Fund	$	57,003
Barings U.S. High Yield Fund	$	248,263

The following Funds paid foreign taxes during the year ended June 30, 2018 that are available as income tax credits:

FUND	FOREIGN TAX CREDIT
Barings Emerging Markets Debt Blended Total Return Fund	$	7,883
Barings Emerging Markets Local Currency Debt Fund	$	18,635

The following Funds generated net foreign source income during the year ended June 30, 2018 as listed below:

FUND	FOREIGN SOURCE INCOME
Barings Emerging Markets Debt Blended Total Return Fund	$	1,357,470
Barings Emerging Markets Local Currency Debt Fund	$	821,703

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INTERESTED TRUSTEE

Information about Trustees and Officers

Information pertaining to the Trustees and officers of the Trust is set forth below.

The Statement of Additional Information includes additional information about Trustees and is available, without charge, upon request by calling the Funds at 1-855-439-5459 or on the Funds’ website at http://www.barings.com/funds/mutual-funds.

NAME (AGE), ADDRESS	POSITION(S) WITH THE TRUST	OFFICE TERM AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATIONS DURING PAST 5 YEARS	PORTFOLIOS OVERSEEN IN FUND COMPLEX	OTHER DIRECTORSHIPS HELD BY DIRECTOR
Thomas M. Finke (54) 300 South Tryon Street Suite 2500 Charlotte, NC 28202	Trustee	Trustee since July 2013	Chairman and Chief Executive Officer (since 2008), Member of the Board of Managers (since 2006), President (2007-2008), Managing Director (2002-2008), Barings; Chief Investment Officer and Executive Vice President (2008-2011), Massachusetts Mutual Life Insurance Company.	9	Trustee (since 2013), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); Chairman (2012-2015), Director (since 2008), Barings (U.K.) Limited (investment advisory firm); Director (since 2008), Barings Guernsey Limited (holding company); Vice Chairman and Manager (since 2011), MM Asset Management Holding LLC (holding company); Director (since 2004), Jefferies Finance LLC (finance company); Manager (since 2005), Loan Strategies Management, LLC (general partner of an investment fund); Manager (since 2005), Jefferies Finance CP Funding LLC (investment company); Chairman and Director (2012-2015), Barings Global Advisers Limited (investment advisory firm); Manager (2011-2016), Wood Creek Capital Management, LLC (investment advisory firm); Chairman and Manager (2007-2016), Barings Real Estate Advisers LLC (real estate advisory firm); Manager (2007-2015), Credit Strategies Management LLC (general partner of an investment fund).

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INDEPENDENT TRUSTEES

NAME (AGE), ADDRESS	POSITION(S) WITH THE TRUST	OFFICE TERM AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATIONS DURING PAST 5 YEARS	PORTFOLIOS OVERSEEN IN FUND COMPLEX	OTHER DIRECTORSHIPS HELD BY DIRECTOR
Rodney J. Dillman (65) 300 South Tryon Street Suite 2500 Charlotte, NC 28202	Trustee, Chairman	Trustee since July 2013	Retired (since 2012); Deputy General Counsel (2011-2012), Senior Vice President (2008-2012), Vice President (2000-2008), Massachusetts Mutual Life Insurance Company; Member of the Board of Directors and President (2008-2011), MassMutual International LLC; General Counsel (2006-2008), Babson Capital Management LLC (currently known as Barings LLC).	9	Trustee (since 2012), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); Director (2016-2017), Social Reality, Inc. (digital platform technology and management software company for internet advertising).
Bernard A. Harris, Jr. (62) 300 South Tryon Street Suite 2500 Charlotte, NC 28202	Trustee	Trustee since July 2013	Chief Executive Officer (since 2018), Director (since 2008), The National Math and Science Initiative; Director; Chief Executive Officer and Managing Partner (since 2002), Vesalius Ventures, Inc.; Director and President (since 1998), The Space Agency; President (since 1999), The Harris Foundation; Clinical Scientist, Flight Surgeon and Astronaut (1986-1996), NASA.	9	Trustee (since 2012), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); Director (since 2016), AIMIS, Inc. (American Institute of Minimally Invasive Surgery, an educator of advanced surgical techniques for women’s health specialists); Trustee (since 2015), Forward Funds (open-end investment company); Director (since 2012), E-Cardio, Inc. (provides services for cardiac monitoring); Trustee (since 2012), Salient Midstream & MLP Fund (closed-end investment company); Trustee (since 2012), Salient MF Trust (open-end investment company); Trustee (since 2009), Salient Private Access Funds (investment companies); Director (since 2009), Monebo Technologies Inc. (medical technology design company); Director (since 2009), The Endowment Fund; Director (since 2005), U.S. Physical Therapy, Inc. (NYSE: USPH).
Thomas W. Okel (55) 300 South Tryon Street Suite 2500 Charlotte, NC 28202	Trustee	Trustee since July 2013	Executive Director (since 2011), Catawba Lands Conservancy; Global Head of Syndicated Capital Markets (1998-2010), Bank of America Merrill Lynch	9	Trustee (since 2012), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); Director (since 2018), Barings BDC, Inc. (business development company advised by Barings); Trustee (since 2015), Horizon Funds (mutual fund complex).

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INDEPENDENT TRUSTEES (CONTINUED)

NAME (AGE), ADDRESS	POSITION(S) WITH THE TRUST	OFFICE TERM AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATIONS DURING PAST 5 YEARS	PORTFOLIOS OVERSEEN IN FUND COMPLEX	OTHER DIRECTORSHIPS HELD BY DIRECTOR
Cynthia R. Plouché (61) 300 South Tryon Street Suite 2500 Charlotte, NC 28202	Trustee	Trustee since August 2017	Assessor (2014-2018), Moraine Township (property assessment); Senior Portfolio Manager (2006-2012), Williams Capital Management, LLC (asset management).	9	Trustee (since August 2017), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); Trustee (since 2014), Northern Trust Funds (mutual fund complex); Trustee (2001-2017), AXA VIP Trust (mutual fund complex).
Martin A. Sumichrast (51) 300 South Tryon Street Suite 2500 Charlotte, NC 28202	Trustee	Trustee since July 2013	Chairman and Chief Executive Officer (since 2016), Director (since 2015), Level Brands, Inc. (NYSE: LEBV; licensing and brand management firm); Managing Partner and Principal (since 2013), Stone Street Partners, LLC (merchant banking); Managing Director (since 2012), Washington Capital, LLC (family office).	9	Trustee (since 2012), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); Chairman and Director (2014-2017), Kure Corp. (retail); Director (2014-2017), Jadeveon Clowney Help-In-Time Foundation; Director (2015-2017), Social Reality, Inc. (digital platform technology and management software company for internet advertising).

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OFFICERS OF THE TRUST

NAME (AGE), ADDRESS	POSITION(S) WITH THE TRUST	OFFICE TERM* AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
Duncan Robertson (48) 300 South Tryon Street Charlotte, NC 28202	President	July 2016 to August 2018	Vice President (2014-2016), Barings Funds Trust; Head of Global Business Development Group (since 2016), Managing Director (since 2008), Barings; President (since 2016), Barings Securities LLC (registered broker-dealer).
Dan McGee (48) 300 South Tryon Street Charlotte, NC 28202	President	Since August 2018	Managing Director (since 2013), Barings; Managing Director (1992-2013), Principal Financial Group.
Carlene Pollock (50) 300 South Tryon Street Charlotte, NC 28202	Chief Financial Officer	Since January 2016	Assistant Treasurer (2015-2016), Barings Funds; Chief Financial Officer (since 2016), Assistant Treasurer (2015-2016), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); Director (since 2015), Barings; Director (2013-2015), Corrum Capital Management (investment adviser); Vice President (2008-2013), Bank of New York Mellon (third party administrator).
Lesley Mastandrea (41) 300 South Tryon Street Charlotte, NC 28202	Treasurer	Since October 2016	Managing Director (since 2014), Director (2007-2014), Associate Director (2006-2007), Barings; Treasurer (since 2016), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings).
Paul Thompson (46) 300 South Tryon Street Charlotte, NC 28202	Vice President	Since July 2013	Chief Financial Officer (since 2015), Chief Operating Officer (since 2010) and Head of Global Investment Services (since 2010), Head of Operations and Portfolio/Client Services (2002-2010), Managing Director (since 2008), Barings.
Melissa LaGrant (44) 300 South Tryon Street Charlotte, NC 28202	Chief Compliance Officer	Since July 2013	Managing Director (since 2005), Barings; Chief Compliance Officer (since 2013), Barings Finance LLC; Chief Compliance Officer (since 2006), Barings Corporate Investors and Barings Participation Investors (closed-end investment companies advised by Barings); Chief Compliance Officer (since 2012), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); Chief Compliance Officer (since 2018), Barings BDC, Inc. (business development company advised by Barings).
Janice M. Bishop (53) 300 South Tryon Street Charlotte, NC 28202	Vice President, Secretary and Chief Legal Officer	Since July 2013	Senior Counsel and Managing Director (since 2014), Counsel (2007-2014), Barings; Vice President, Secretary and Chief Legal Officer (since 2015), Associate Secretary (2008-2015), Barings Corporate Investors and Barings Participation Investors (closed-end investment companies advised by Barings); Vice President, Secretary and Chief Legal Officer (since 2012), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); Vice President and Secretary (since 2015), Assistant Secretary (2008-2015), CI Subsidiary Trust and PI Subsidiary Trust; Secretary and Chief Legal Officer (since 2018), Barings BDC, Inc. (business development company advised by Barings).

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OFFICERS OF THE TRUST (CONTINUED)

NAME (AGE), ADDRESS	POSITION(S) WITH THE TRUST	OFFICE TERM* AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
Michelle Manha (45) 300 South Tryon Street Charlotte, NC 28202	Assistant Secretary	Since July 2013	Deputy General Counsel (since 2018), Associate General Counsel (2014-2018), Managing Director (since 2014), Counsel (2008-2014), Barings; Assistant Secretary (since 2012), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings).
Kristin Goodchild (32) 300 South Tryon Street Charlotte, NC 28202	Assistant Secretary	Since July 2015	Counsel (since 2016), Senior Paralegal (2013-2016), Paralegal (2008-2012), Barings; Assistant Secretary (since 2015), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); Associate Secretary (since 2015), Barings Corporate Investors and Barings Participation Investors (closed-end investment companies advised by Barings); Assistant Secretary (since 2015), CI Subsidiary Trust and PI Subsidiary Trust; Assistant Secretary (since 2018), Barings BDC, Inc. (business development company advised by Barings).

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JOINT PRIVACY NOTICE OF BARINGS LLC AND

BARINGS FUNDS TRUST

This privacy notice is being provided on behalf of Barings LLC and its affiliates: Barings Securities LLC; Barings Australia Pty Ltd; Barings Advisers (Japan) KK; Barings Investment Advisers (Hong Kong) Limited; Barings Funds Trust; Barings Global Short Duration High Yield Fund; Barings Corporate Investors and Barings Participation Investors (together, for purposes of this privacy notice, “Barings”).

When you use Barings you entrust us not only with your hard-earned assets but also with your personal and financial data. We consider your data to be private and confidential, and protecting its confidentiality is important to us. Our policies and procedures regarding your personal information are summarized below.

We may collect non-public personal information about you from:

∎ Applications or other forms, interviews, or by other means;

∎ Consumer or other reporting agencies, government agencies, employers or others;

∎ Your transactions with us, our affiliates, or others; and

∎ Our Internet website.

We may share the financial information we collect with our financial service affiliates, such as insurance companies, investment companies and securities broker-dealers. Additionally, so that we may continue to offer you products and services that best meet your investment needs and to effect transactions that you request or authorize, we may disclose the information we collect, as described above, to companies that perform administrative or marketing services on our behalf, such as transfer agents, custodian banks, service providers or printers and mailers that assist us in the distribution of investor materials or that provide operational support to Barings. These companies are required to protect this information and will use this information only for the services for which we hire them, and are not permitted to use or share this information for any other purpose. Some of these companies may perform such services in jurisdictions other than the United States. We may share some or all of the information we collect with other financial institutions with whom we jointly market products. This may be done only if it is permitted by the state in which you live. Some disclosures may be limited to your name, contact and transaction information with us or our affiliates.

Any disclosures will be only to the extent permitted by federal and state law. Certain disclosures may require us to get an “opt-in” or “opt-out” from you. If this is required, we will do so before information is shared. Otherwise, we do not share any personal information about our customers or former customers unless authorized by the customer or as permitted by law.

We restrict access to personal information about you to those employees who need to know that information to provide products and services to you. We maintain physical, electronic and procedural safeguards that comply with legal standards to guard your personal information. As an added measure, we do not include personal or account information in non-secure e-mails that we send you via the Internet without your prior consent. We advise you not to send such information to us in non-secure e-mails.

This joint notice describes the privacy policies of Barings, the Funds and Barings Securities LLC. It applies to all Barings and the Funds accounts you presently have, or may open in the future, using your social security number or federal taxpayer identification number – whether or not you remain a shareholder of our Funds or as an advisory client of Barings. As mandated by rules issued by the Securities and Exchange Commission, we will be sending you this notice annually, as long as you own shares in the Funds or have an account with Barings.

Barings Securities LLC is a member of the Financial Industry Regulatory Authority (FINRA) and the Securities Investor Protection Corporation (SIPC). Investors may obtain information about SIPC including the SIPC brochure by contacting SIPC online at www.sipc.org or calling (202)-371-8300. Investors may obtain information about FINRA including the FINRA Investor Brochure by contacting FINRA online at www.finra.org or by calling (800) 289-9999.

August 2018

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ANNUAL REPORT

June 30, 2018

Item 2. Code of Ethics.

The Registrant adopted a Code of Ethics for Principal Executive and Senior Financial Officers (the “Code”) on July 29, 2013, which is available on the Registrant’s website at www.barings.com/assets/user/media/Open-End-Fund-Code-of-Ethics.pdf. During the period covered by this Form N-CSR, there were no amendments to, or waivers from, the Code.

Item 3. Audit Committee Financial Expert.

The Registrant’s Board of Trustees has determined that Dr. Bernard A. Harris, Jr., Mr. Thomas W. Okel and Mr. Martin A. Sumichrast, constituting all the members of the Registrant’s Audit Committee, are audit committee financial experts. Dr. Harris, Mr. Okel and Mr. Sumichrast are “independent” for purposes of this Item 3 as required by applicable regulation.

Item 4. Principal Accountant Fees and Services.

The Registrant has engaged its principal accountant, Deloitte & Touche LLP (“Deloitte”), to perform audit services, audit-related services, tax services and other services. The following tables detail the aggregate fees billed or expected to be billed for each of the last two fiscal years by Deloitte.

Fees Billed to the Registrant:

	Year Ended June 30 2018		Year Ended June 30, 2017
Audit Fees	$	357,560	$	325,700
Audit-Related Fees	$	0	$	0
Tax Fees	$	96,800	$	94,300
All Other Fees	$	0	$	0
Total Fees	$	454,360	$	420,000

Non-Audit Fees Billed to Barings and MassMutual:

	Year Ended June 30, 2018		Year Ended June 30, 2017
Audit Fees	$	4,256,259	$	5,066,751
Audit-Related Fees	$	0	$	0
Tax Fees	$	2,714,717	$	2,898,725
All Other Fees	$	12,453,397	$	15,342,278
Total Fees	$	19,424,372	$	23,307,754

The category “Audit Fees” refers to performing an audit of the Registrant’s, Barings LLC’s (“Barings”) or Massachusetts Mutual Life Insurance Company’s (“MassMutual”) annual financial statements or services that are normally provided by the principal accountant in connection with statutory and regulatory filings or engagements. The category “Audit-Related Fees” reflects fees billed by Deloitte for various non-audit and non-tax services rendered to the Registrant, Barings, and MassMutual. Preparation of Federal, state and local income tax and tax compliance work are representative of the fees reported in the “Tax Fees” category. The category “All Other Fees” represents fees billed by Deloitte for consulting rendered to the Registrant, Barings, and MassMutual.

The Sarbanes-Oxley Act of 2002 and its implementing regulations allow the Registrant’s Audit Committee to establish a pre-approval policy for certain services rendered by the Registrant’s principal accountant, Deloitte. During the fiscal year ended June 30, 2018, the Registrant’s Audit Committee approved all of the services rendered to the Registrant by Deloitte and did not rely on such a pre-approval policy for any such services.

The Audit Committee has also reviewed the aggregate fees billed for professional services rendered by Deloitte for the years ended June 30, 2017 and June 30, 2018 for the Registrant and for the non-audit services provided to Barings, and Barings’ parent, MassMutual. As part of this review, the Audit Committee considered whether the provision of such non-audit services was compatible with maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

(a) The Registrant’s Consolidated Schedule of Investments as of the close of the reporting period is included in the Report to Shareholders filed under Item 1 of this form.

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Investment Management Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to procedures by which the shareholders may recommend nominees to the Registrant’s Board of Trustees.

Item 11. Controls and Procedures.

(a) The Registrant’s principal executive officer and principal financial officer, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”), are effective as of the date within 90 days of the filing date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

(a) Not applicable.

(b) Not applicable.

Item 13. Exhibits.

(a)(1) The Registrant has posted its Code of Ethics on its website at www.barings.com/assets/user/media/Open-End-Fund-Code-of-Ethics.pdf.

(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act are attached hereto.

Exhibit 99.1 Cert

Exhibit 99.2 Cert

(a)(3) Not applicable.

(a)(4) Not applicable.

(b) Certification pursuant to Rule 30a-2(b) under the 1940 Act is attached hereto.

Exhibit 99.906 Cert

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) Barings Funds Trust

By (Signature and Title)	/s/ Duncan Robertson
	Duncan Robertson, President (Principal Executive Officer)

Date          September 7, 2018                                

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By (Signature and Title)	/s/ Duncan Robertson
	Duncan Robertson, President (Principal Executive Officer)

Date          September 7, 2018                                

By (Signature and Title)	/s/ Carlene Pollock
	Carlene Pollock, Chief Financial Officer (Principal Financial Officer)

Date          September 7, 2018