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

Corporation Service Company (CSC)

251 Little Falls Drive

Wilmington DE 19808

United States

(Name and Address of Agent for Service)

Date of fiscal year end: June 30

Date of reporting period: June 30, 2020

Item 1. Reports to Stockholders.

The Annual Report to Shareholders is attached hereto.

BARINGS FUNDS TRUST

Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website http://www.barings.com/, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by calling 1-877-766-0014.

Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can call 1-877-766-0014 to inform the Fund that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Fund.

Annual Report

June 30, 2020

BFT Service Providers

ADVISER

Barings LLC

300 South Tryon Street

Suite 2500

Charlotte, NC 28202

SUB-ADVISER

Barings International Investments Limited

20 Old Bailey

London, UK

EC4M 7BF

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.

QUARTERLY PORTFOLIO HOLDINGS

The funds in the Trust file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an attachment to Form N-PORT. The funds’ Form N-PORT are available on the SEC’s website at http://www.sec.gov. 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.

Daniel McGee

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 Diversified Income Fund

Barings Emerging Markets Debt Blended Total Return Fund

Barings Global Emerging Markets Equity Fund

Barings U.S. High Yield Fund

Dear Shareholder,

We hope that you and your families are staying healthy and safe. In this challenging environment, we remain focused on the safety and well-being of our teams, clients and communities.

The coronavirus certainly took center stage in the first half of the year, as the pandemic and related lockdown forced countries across the globe to adapt to a new reality of travel bans, school closures and working from home. Questions remain around how much damage the pandemic and lockdowns have caused to the economy – and to what extent that has been counterbalanced by the massive fiscal and monetary responses from governments around the world.

Perhaps unsurprisingly, changes in economic data have been extreme, both to the positive and the negative, making it difficult to gauge how quickly the recovery may come through. At this point, it is unclear how long it may take before we return to anything approaching normal. On the positive side, economic activity has slowly resumed in certain sectors. Markets, too, have made strong recoveries since volatility peaked in late March. Indeed, as the U.S. Federal Reserve introduced unprecedented measures to enhance liquidity, from purchasing fallen angels to buying individual corporate bonds, high yield and investment grade credit rallied. Emerging markets debt, too, took a positive turn – and could benefit from continued monetary stimulus and the potential for a sharper economic bounce-back in the second half of the year.

As the pandemic plays out and the U.S. presidential election nears, we expect additional volatility to enter the markets. But from a bottom-up, fundamental perspective, our investment teams believe there is still attractive value to be found across developed and emerging markets, including in less trafficked markets such as CLOs and asset-backed securities. We expect that opportunities will also emerge as the economy gradually improves. As active managers – and with some of the industry’s largest fixed income research teams – we believe we are well-positioned to provide access to the evolving relative value opportunities and capture the upside as the market recovers.

Above all, particularly through periods of volatility and change, we remain focused on delivering strong risk-adjusted returns for our shareholders. On behalf of the entire Barings team, we thank you for your trust and partnership and look forward to helping you achieve your investment objectives.

Sincerely,

Daniel McGee

President

The statements and opinions expressed are those of the author as of the date of this report. All information is historical and not indicative of future results and subject to change. This information is not a recommendation to buy or sell any security.

Barings Global Floating Rate Fund 2020 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 annual reporting period from July 1, 2019 through June 30, 2020 of -2.54%, underperforming the Credit Suisse Global Loan Benchmark (the “Benchmark”), which returned -1.72%.^{1, 6}

What factors influenced performance of the Fund?

∎ Loan market performance for the period was heavily impacted by the sharp drawdown in March 2020 that was driven by investor uncertainty related to COVID-19 and the initial recovery in the months that followed.

∎ During the drawdown in March and initial recovery in late March/early April 2020, investors in the loan market generally favored higher-rated (BB) loans, which outperformed lower-rated loans for the period. As the Fund had a modest overweight exposure to loans rated single-B and lower, this was one of the primary drivers of underperformance.

∎ Underperformance by Fund holdings in a few industry sectors (based on the Benchmark’s industry sectors) also detracted from attribution results. For example, despite being underweight the energy sector, the Fund’s holdings in that sector underperformed the broader market. Other industry sectors in which the Fund’s holdings underperformed included the service and manufacturing sectors.

∎ From a regional perspective, the Fund’s allocations between the North American and European markets did not have a material impact on performance. Within the regions, the Fund’s North American holdings modestly underperformed the market, which detracted from the Fund’s relative results, whereas there was not a material impact to relative performance from the Fund’s European holdings overall.

∎ Given the substantial drawdown in March, the Fund’s allocation to cash (for which average weight was approximately 5%) provided a positive impact to attribution results.

∎ Other leading positive impacts to performance comparisons against the Benchmark over the period included credit selection within single-B rated loans, an overweight position to the forest products/containers sector, and credit selection within that sector – as that sector was not as negatively impacted by recent volatility and credit selection in the metals/minerals sector.

Describe recent portfolio activity.

∎ In late 2019, the Fund made a modest shift of exposure from the European market to North America, as we believed there was more compelling relative value in that market at the time. In 2020 to date, there has not been a shift between the two geographic regions, as the focus has been on individual credit decision making.

∎ During the period, the Fund reduced its exposure to senior secured high yield bonds (by approximately 3%), in favor of first-lien senior secured loans.

^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.

^6.  Benchmark A: 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 2020 Annual Report

∎ Over the fiscal year, the Fund’s top two industry exposures, health care/education/child care and diversified/conglomerate service (based on Moody’s industries) remained the same. In 2020, the Fund increased its exposure to the leisure/amusement/entertainment sector, making it the third largest industry exposure. This increase is based on individual credit decisions in companies that are believed to be better positioned from a credit and relative value perspective.

∎ Changes in rating category exposure during the period were largely the result of rating agency actions during the period, along with some individual credit decisions to add exposure at discounted levels. Given the increased amount of uncertainty due to the global pandemic, rating agencies downgraded many credit facilities in the first half of 2020.

Describe portfolio positioning at period end.

∎ The Fund finished the twelve-month reporting period, ending June 30, 2020, with 88.3% allocated to global senior secured loans, 5.8% to global senior secured high yield bonds, and 5.6% to cash.

∎ From an industry perspective (based on Moody’s industries), the Fund remained well diversified across a number of sectors, with concentrations in health care/education/child care (13.2%), diversified/conglomerate services (12.2%), and leisure/amusement/entertainment (7.8%) as of June 30, 2020.

∎ As of June 30, 2020, the Fund had the following credit quality breakdown: 0.6% in BBB assets, 14.8% in BB assets, 65.7% in single-B assets, and 10.7% in CCC and below assets. Approximately 2.6% of the Fund’s assets are non-publicly rated. Cash and accrued income accounted for the remaining 5.6% of the portfolio assets.²

∎ The top five countries in the portfolio at the end of the reporting period were the U.S. (64.1%), the U.K. (8.8%), Germany (8.1%), the Netherlands (2.7%) and France (2.6%). Overall, the Fund had exposure to 16 different countries, and we continue to focus on building a well-diversified portfolio of global floating rate securities.

Describe market and portfolio outlook.

∎ The global credit markets staged a strong rebound throughout the second quarter 2020, bolstered by swift action by governments, central banks and private investors, to support global economies as the world comes to terms with life during a pandemic. While default activity has increased across below investment grade credit, in our view some of these elements have helped some companies navigate the current environment.

∎ Despite the recovery thus far, below investment grade credit markets have not yet fully recovered to pre-pandemic levels. Therefore, we continue to believe there are opportunities for below investment grade credit to be additive to total return performance as the recovery continues.

∎ However, until there is a greater resolve in the global pandemic, there will remain an element of uncertainty across credit markets. For this reason, we believe that prudent asset selection and actively managed portfolios are crucial for navigating the current environment. Also, while the pace of recovery may vary at times across geographies and markets, opportunities will emerge, and therefore we believe that taking a global approach to the asset class provides the ability to capture additional relative value opportunities.

^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, single-A, and BBB are investment grade ratings categories used by S&P and Fitch; BB, single-B, CCC/CC/C and single-D are below investment grade ratings categories used by S&P and Fitch. Aaa, Aa, single-A and Baa are investment grade ratings categories used by Moody’s; Ba, B, Caa/Ca and single-C are below investment grade ratings categories used by Moody’s. Ratings categories may include gradations within each category. Bonds backed by U.S. Government or agency securities are given an implied rating equal to the rating of such securities. Holdings designated Not Publicly Rated are not rated by these national rating agencies.

3

Barings Global Floating Rate Fund 2020 Annual Report

PORTFOLIO COMPOSITION (% OF ASSETS*)

* As of June 30, 2020.

COUNTRY COMPOSITION (% OF ASSETS**)

** Percentage of assets are expressed by market value excluding cash and accrued income, and may vary over time. As of June 30, 2020.

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Barings Global Floating Rate Fund 2020 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		-5.71	%		0.26	%		2.16	%
Class A No Load		09/16/2013		-2.79	%		1.29	%		2.62	%
Class C With Load		09/16/2013		-4.44	%		0.53	%		1.86	%
Class C No Load		09/16/2013		-3.52	%		0.53	%		1.86	%
Class I With Load		09/16/2013		-2.47	%		1.57	%		2.92	%
Class I No Load		09/16/2013		-2.47	%		1.57	%		2.92	%
Class Y With Load		09/16/2013		-2.54	%		1.54	%		2.89	%
Class Y No Load		09/16/2013		-2.54	%		1.54	%		2.89	%

^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.

^4.  Inception date: September 16, 2013.

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

^6.  Benchmark A: 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.

^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.

5

Barings Global Credit Income Opportunities Fund 2020 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 annual reporting period from July 1, 2019 through June 30, 2020 of -3.44%, and underperformed the 3 Month USD LIBOR +500 basis points (bps)¹ benchmark, which returned 6.71%.^{2, 6}

What factors influenced performance of the Fund?

∎ The significant decline in mark-to-market trading levels across many credit markets in March 2020, and the varied pace of recovery across markets in the months that followed had a material impact on the Fund’s return for the period. Please note that a large portion of the benchmark is static and therefore will not be influenced to mark-to-market changes, which is the main driver of the Fund’s underperformance relative to the benchmark over the period.

∎ For the core asset classes, high yield bonds underperformed senior secured loans over the full period, and were the biggest detractor from the Fund’s total return. Senior secured loans had a modestly positive impact on the Fund’s total return for the period, and the Fund’s European holdings outperformed the North American holdings.

∎ From a ratings category perspective, the Fund’s higher-rated credits in the high yield bond and senior secured loan markets outperformed lower rated credits during the fiscal year period, as those credits did not see as significant of a drawdown in March 2020, and saw their trading levels recover quicker than lower-rated credits.

∎ For the opportunistic asset classes, allocations to collateralized loan obligations (CLOs) and special situation credits both detracted from the Fund’s total return.

Describe recent portfolio activity.

∎ In the first half of the reporting period, which was in 2019, shifts in the Fund’s core asset classes (high yield bonds and senior secured loans) were focused on modestly shifting exposure from the European markets to North America in both high yield bonds and loans, as relative value was more compelling in the North American market at that time. In 2020, there have been minimal shifts between regions for core asset classes, as the focus has been on individual credit relative value decisions.

∎ In general, as these portfolios build over time, the Fund intends to deploy cash into asset classes which we believe offer the best relative value at that time, and will shift exposure between asset classes as relative value opportunities change.

∎ In regard to the opportunistic asset classes, early in the period the Fund added a modest exposure to emerging markets corporate debt (within high yield bonds). Also, the Fund’s exposure to CLOs modestly decreased over the period.

^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.

^6.  Benchmark: 3-Month USD LIBOR plus 500 bps. 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 (three months) in England’s Euro dollar 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.

6

Barings Global Credit Income Opportunities Fund 2020 Annual Report

∎ Given the recent market events (volatility and rating agency downgrades), changes in exposure by ratings category during the period were impacted by individual credit decisions and downgrades, rather than strategic portfolio shifts.

∎ From an industry sector perspective, during the period there were no material changes to the Fund’s top industry exposures.

Describe portfolio positioning at period end.

∎ The Fund finished the annual reporting period, ended June 30, 2020, with an allocation of 42.9%, 39.3% and 9.3% to global high yield bonds, global senior secured loans and CLOs, respectively. The remainder of the portfolio was invested in equities at 0.5%, special situations at 0.5%, and cash/other at 7.5%. A significant portion of the portfolio (approximately 60.6%) was senior secured in nature (including CLOs backed by secured loans), which can potentially mitigate principal loss in default situations.

∎ From an industry perspective, the Fund was well diversified across a number of sectors, with concentrations in health care, education and childcare (9.0%), diversified/conglomerate services (6.7%), and broadcasting and entertainment (5.4%) as of June 30, 2020.

∎ As of June 30, 2020, the Fund had the following credit quality breakdown: 3.7% in BBB assets, 26.8% in BB assets, 42.1% in single-B assets, and 15.4% in CCC and below assets. Approximately 4.3% of the Fund’s assets are not publicly rated. Cash and accrued income accounted for the remaining 7.5% of the portfolio assets.³

∎ The top five countries in the portfolio at the end of the reporting period were the U.S. (57.0%), the U.K. (8.6%), Germany (5.6%), the Netherlands (3.9%) and France (2.1%). The Cayman Islands exposure related to the Fund’s CLO holdings was included in the U.S. Overall, the Fund had exposure to 29 different countries, and we continue to focus on building a well-diversified portfolio of global high yield securities.

Describe market and portfolio outlook.

∎ The global credit markets staged a strong rebound throughout the second quarter of 2020,bolstered by swift action by governments, central banks and private investors, to support global economies as the world comes to terms with life during a pandemic. While default activity has increased across below investment grade credit, in our view some of these elements have helped some companies navigate the current environment.

∎ Despite the recovery thus far, below investment grade credit markets have not yet fully recovered to pre-pandemic levels. Therefore, we continue to believe there are opportunities in below investment grade credit to be additive to total return performance as the recovery continues.

∎ However, until there is a clear path past the global pandemic, there will remain an element of uncertainty across credit markets. For this reason, we believe that prudent asset selection and actively managed portfolios are crucial for navigating the current environment. Also, while the pace of recovery may vary at times across geographies and markets, opportunities will emerge, and therefore we believe that taking a global, multi-credit approach to below investment grade credit provides the ability to capture additional relative value opportunities.

^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, single-A, and BBB are investment grade ratings categories used by S&P and Fitch; BB, single-B, CCC/CC/C and single-D are below investment grade ratings categories used by S&P and Fitch. Aaa, Aa, single-A and Baa are investment grade ratings categories used by Moody’s; Ba, single-B, Caa/Ca and single-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.

7

Barings Global Credit Income Opportunities Fund 2020 Annual Report

PORTFOLIO COMPOSITION (% OF ASSETS*)

* As of June 30, 2020.

COUNTRY COMPOSITION (% OF ASSETS**)

**Percentage of assets are expressed by market value excluding cash and accrued income, and may vary over time. As of June 30, 2020.

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Barings Global Credit Income Opportunities Fund 2020 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		-7.54	%		-0.76	%		2.64	%
Class A No Load		09/16/2013		-3.69	%		0.60	%		3.22	%
Class C With Load		09/16/2013		-5.32	%		-0.15	%		2.45	%
Class C No Load		09/16/2013		-4.41	%		-0.15	%		2.45	%
Class I With Load		09/16/2013		-3.45	%		0.85	%		3.47	%
Class I No Load		09/16/2013		-3.45	%		0.85	%		3.47	%
Class Y With Load		09/16/2013		-3.44	%		0.85	%		3.47	%
Class Y No Load		09/16/2013		-3.44	%		0.85	%		3.47	%

^4.  Inception date: September 16, 2013.

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

^6.  Benchmark: 3-Month USD LIBOR plus 500 bps. 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 (three months) in England’s Euro dollar 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.

^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.

9

Barings Active Short Duration Bond Fund 2020 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 period from July 1, 2019 through June 30, 2020 of -1.45%, underperforming the Bloomberg Barclays U.S. 1-3 Year Government Bond Index (the “Benchmark”), which returned 4.12%.^1,5

What factors influenced performance of the Fund?

∎ Financial markets were hit very hard in the first quarter of 2020 as a result of the COVID-19 pandemic, including even short maturity, high quality strategies. Given the market disruption, experienced, short U.S. Treasuries were among the highest performing sectors in the market for the period. Furthermore, an index such as the Benchmark did particularly well, as it has no credit exposure, being comprised primarily of Treasuries.

∎ A shorter-duration position contributed negatively to performance relative to the Benchmark as rates declined over the period. The Fund uses Treasury bonds and futures to help manage duration. The front end of the Treasury yield curve remains flat between three months and three years. The U.S. Federal Reserve (Fed) continued its accommodative monetary policy with rates held at a target of 0.00% to 0.25%. Markets are now anticipating that the next rate move will not occur before 2021. The Fund ended the period with a 0.27 year duration in accordance with our rules-based duration management process.

∎ We continue to favor securitized credit over corporate credit, emphasizing structure over unsecured positions. The Fund’s allocation to consumer asset-backed securities (ABS) was a negative contributor to performance. Student loans, aviation, and consumer loan collateral were among the top detractors within the ABS sector. At the onset of the crisis, the market observed prices across securitized asset classes detach from underlying fundaments, causing mark-to-market volatility that brought asset prices lower. Market concern over consumer demand impact amid the once developing COVID-19 crisis had higher beta consumer sectors – such as auto rental, timeshare and aviation – at very illiquid and wide spread levels. By the end of the reporting period, securitized risk assets had rebounded on the heels of positive technicals that allowed spreads to compress tighter and reprice collateral higher.

∎ The Fund’s allocation to commercial mortgage-backed securities (CMBS) and residential mortgage-backed securities (RMBS) also detracted from performance over the period. Many investors sold these securities to source liquidity with very few market participants willing to purchase them at the onset of the crisis. Prices across both CMBS and RMBS securities were negatively affected by this technical.

∎ The 35% allocation to investment grade corporate credit detracted from performance, but recovered much quicker than the Fund’s securitized allocations. The outbreak of the COVID-19 global pandemic resulted in a rapid repricing of corporate risk assets in the first quarter. Market spreads widened to 373 basis points (bps) on March 23, with the pace of widening much greater than the 2008-09 crisis period. Corporate spreads have recovered 223 bps since then, as a result monetary intervention and improved investor sentiment.

^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 one-year or less are cumulative.

^5.  Benchmark: The Bloomberg Barclays U.S. 1-3 Year Government Bond Index is comprised of the U.S. Treasury Index and U.S. Agency Index. 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 three years. Indexes are unmanaged. It is not possible to invest directly in an index.

10

Barings Active Short Duration Bond Fund 2020 Annual Report

∎ The Fund’s small position in high-quality collateralized loan obligation (CLO) tranches was also a negative contributor. Spreads widened, negatively impacting security prices as a result of volatility seen in the first quarter of 2020. The Fund is invested in AAA-rated and select AA-rated tranches. We continue to like the structural subordination offered by CLOs, and favor high quality managers.

∎ The allocation to BB-rated high yield corporate bonds was a neutral contributor to performance.

Describe recent portfolio activity.

∎ The Fund ended the period with a duration positioning of 0.27 years, as the front end of the U.S. Treasury curve remained flat.

∎ The Fund reduced positioning in ABS and Treasuries, while increasing allocations to investment grade corporates, high yield corporates, RMBS and CMBS over the period. The Fund’s high quality CLO weight remained unchanged.

∎ The Funds allocation to AAA-rated positions decreased, while BBB quality increased over the reporting period.

Describe portfolio positioning at period end.

∎ The Fund continued to be well diversified across corporate and securitized sectors. The securitized ABS allocation was 33.7% at the end of the period. Automotive loan collateral represented the largest allocation, followed by student loan collateral. Further, commercial ABS sub-sectors include timeshare, personal consumer loan, aircraft leasing and franchise receivables deals. The Fund maintained an active position in RMBS and CMBS securities, ending the period at 9.9% and 4.4%, respectively.

∎ At the end of the period, the Fund’s credit allocation was 39.7%. This allocation was comprised of 32.9% in investment grade corporates, 4.2% in BB-rated high yield corporates, and 0.8% in U.S. dollar-denominated emerging markets debt (EMD). Banks/brokers and independent finance represent the Fund’s largest corporate sector allocations, followed by midstream pipes and chemicals.

∎ High-quality AAA and AA CLO tranches represented a combined 4.5% allocation for the Fund.

Describe market and portfolio outlook.

∎ The market saw unprecedented events unfold over the past six months. Starting in the first quarter, financial markets were hit very hard, including even short maturity, high quality strategies.

∎ Starting in late April, investors experienced a case of whiplash as markets turned positive on the sentiment that the worst of the pandemic may be behind us.

∎ The Fed took an expedited course to stem volatility by implementing an alphabet soup of programs meant to get the market back on course, and it has largely been successful to date. Targeting the corporate credit market, it established the PMCCF and SMCCF to support credit to employers by providing liquidity to the market for outstanding corporate bonds. Targeting the securitized market, it established the TALF program to support the flow of credit to consumers and businesses.

∎ To date, these programs have largely accomplished their goals, as market liquidity, investor sentiment, and security prices regained much of the ground lost at the start of the crisis.

∎ Market trends continued to show modest signs of improvement by the end of the second quarter; however, there are still many longer-term unknowns facing investors. In our view, economic data released continues to be better than once feared at the onset of the pandemic; however, the U.S. faces a second wave of the virus as multiple states have started to relax stay-at-home orders.

∎ A spike in cases could open the possibility of continued consumer restrictions that run the risk of producing a second leg down for markets. While many investors are enjoying the sugar high by trading on technicals created by monetary and fiscal stimulus, we remain committed to our fundamental bottom-up process of capital preservation.

11

Barings Active Short Duration Bond Fund 2020 Annual Report

CREDIT QUALITY BREAKDOWN (% OF ASSETS*)

* As of June 30, 2020.

PORTFOLIO COMPOSITION (% OF ASSETS*)

* As of June 30, 2020.

12

Barings Active Short Duration Bond Fund 2020 Annual Report

% AVERAGE ANNUAL TOTAL RETURNS 3,4,6,7,8	INCEPTION DATE		ONE YEAR			THREE YEARS			INCEPTION TO DATE
Class A With Load		07/08/2015		-1.68	%		0.96	%		1.24	%
Class A No Load		07/08/2015		-1.68	%		0.96	%		1.24	%
Class C With Load		07/08/2015		-2.44	%		0.68	%		0.97	%
Class C No Load		07/08/2015		-1.96	%		0.68	%		0.97	%
Class L With Load		05/01/2020		N/A			N/A			3.52	%
Class L No Load		05/01/2020		N/A			N/A			3.52	%
Class I With Load		07/08/2015		-1.45	%		1.22	%		1.49	%
Class I No Load		07/08/2015		-1.45	%		1.22	%		1.49	%
Class Y With Load		07/08/2015		-1.45	%		1.21	%		1.48	%
Class Y No Load		07/08/2015		-1.45	%		1.21	%		1.48	%

^2.  Ratings shown are the highest ratings 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, single-A and BBB are investment grade ratings categories used by S&P and Fitch. BB, single-B, CCC/CC/C and single-D are below investment grade ratings categories used by S&P and Fitch. Aaa, Aa, single-A and Baa are investment grade ratings categories used by Moody’s. Ba, single-B, Caa/Ca and single-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.  Inception date: July 8, 2015.

^4.  Class A performance with the sales charges includes the maximum 3.00% sales charge.

^5.  Benchmark: The Bloomberg Barclays U.S. 1-3 Year Government Bond Index is comprised of the U.S. Treasury Index and U.S. Agency Index. 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 three years. Indexes 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.

^8.  Class L share class launched effective 05/01/2020.

13

Barings Diversified Income Fund 2020 Annual Report

Investment Objective

The Barings Diversified Income Fund (“Diversified Income Fund” or the “Fund”) seeks to provide a total return comprised of current income and capital appreciation by investing primarily in an actively managed diversified portfolio of global investment grade rated fixed and floating rate instruments.

Portfolio Management Commentary

How did the Fund perform?

∎ The Fund reported a total net rate of return for the period from July 1, 2019 through June 30, 2020 of -7.88%, underperforming the 3 Month LIBOR +250 basis points (bps) benchmark, which returned 4.16%.^1,5

What factors influenced performance of the Fund?

∎ High-quality collateralized loan obligation (CLO) positioning in AA to BBB-rated tranches detracted from performance over the period. The allocation has a high average of single-A quality. High quality CLO tranches were priced lower over the period, resulting in a mark-to-market performance impact, and speculation of the performance of underlying collateral during the COVID-19 pandemic. CLO prices saw a modest recovery starting in the second quarter; however, spreads remain at wide levels.

∎ The Fund’s allocations to securitized credit and consumer asset-backed securities (ABS) were both detractors from performance. Within the ABS sector, aviation, student loan, and franchise receivable collateral were among the top detractors. At the onset of the crisis, the market observed prices across securitized asset classes detach from underlying fundaments, causing mark-to-market volatility that brought asset prices lower. Market concern over consumer demand impact amid the once developing COVID-19 crisis had higher beta consumer sectors at very illiquid and wide levels. By the end of the reporting period, securitized risk assets had rebounded on the heels of positive technicals that allowed spreads to compress tighter and reprice collateral higher.

∎ The Fund’s allocation to commercial mortgage backed securities (CMBS) and residential mortgage backed securities (RMBS) also detracted from performance over the period. Many investors sold these securities to source liquidity with very few market participants willing to purchase them. Prices across both CMBS and RMBS were negatively affected by this technical.

∎ Investment grade corporate credit across both developed and emerging market geographies detracted from performance, but has recovered quicker than the Fund’s securitized allocation. The outbreak of the COVID-19 global pandemic resulted in a rapid repricing of U.S. corporate risk assets in the first quarter. U.S. corporate spreads widened to 373 bps on March 23, with the pace of widening much greater than the 2008-09 crisis period. Corporate spreads have recovered 223 bps since then, largely due to monetary intervention and improved investor sentiment. Both emerging and developed corporate markets continued to tighten leading up to the end of the reporting period; however, emerging markets debt (EMD) has largely lagged the recovery seen in the U.S. as a result of the lack of a centralized monetary authority guiding a cohesive market intervention.

∎ The Fund began to allocate to BB-rated high yield corporates over the period. This allocation was a neutral contributor to performance.

^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 one-year or less are cumulative.

^5.  Benchmark: 3-Month USD LIBOR plus 250 bps. 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 (three months) in England’s Euro dollar market. The return shown includes 3-Month USD LIBOR plus 250 bps, or 2.5% 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.

14

Barings Diversified Income Fund 2020 Annual Report

∎ Duration positioning was a positive contributor to performance, as rates declined over the period. The Fund uses futures to help manage duration. The front end of the Treasury yield curve remains flat between three months and three years. The U.S. Federal Reserve (Fed) continued its accommodative monetary policy with rates held at a target 0.00% to 0.25%. Markets are now anticipating that the next rate move will not occur before the end of 2020.

Describe recent portfolio activity.

∎ The Fund ended the period with a duration positioning of 0.53 years, as the front end of the U.S. Treasury curve remains flat.

∎ The Fund reduced positioning in ABS and CLO allocations, while increasing allocations to investment grade corporates, high yield corporates, RMBS, and CMBS over the period. The Fund’s hard currency EMD weight remained unchanged.

∎ The Funds allocation to AAA, BBB and BB-rated positions increased, while single-A and AA quality decreased over the reporting period.

Describe portfolio positioning at period end.

∎ High quality CLO tranches represented the Fund’s largest allocation, at 27.9%. We continued to favor the total return potential and structural subordination of CLOs, and favor AA to BBB quality tranches.

∎ The securitized ABS allocation was 25.3% at the end of the period. Student loan and aviation collateral were the highest sector allocations, followed by medical and property assessed clean energy (PACE) collateral. The Fund maintained an active position in CMBS and RMBS securities, ending the period at 6.8% and 2.1%, respectively.

∎ Investment grade corporates represent a 20.0% allocation. The Fund has favored BBB-rated positions in less cyclical industries such as banking, diversified industrials and insurance.

∎ EMD hard currency positioning was 18.1% at the end of the period. The hard currency EMD allocation in the Fund remained well-diversified across sectors and regions. At the end of the period, the largest sector within the EM sleeve was the financials sector, and the largest region represented in the portfolio was Latin America.

Describe market and portfolio outlook.

∎ The market saw unprecedented events unfold over the past six months. Starting in the first quarter, financial markets were hit very hard, including even short maturity, high quality strategies.

∎ Starting in late April, investors experienced a case of whiplash as markets turned positive on the sentiment that the worst of the pandemic may be behind us.

∎ The Fed took an expedited course to stem volatility by implementing an alphabet soup of programs meant to get the market back on course, and up to this point, it has largely been successful. Targeting the corporate credit market, it established PMCCF and SMCCF to support credit to employers by providing liquidity to the market for outstanding corporate bonds. Targeting the securitized market, it established the TALF program to support the flow of credit to consumers and businesses.

∎ To date, these programs have largely accomplished their goals, as market liquidity, investor sentiment, and security prices regained much of the ground lost at the start of the crisis.

∎ Market trends continued to show modest signs of improvement by the end of the second quarter; however, there are still many longer-term unknowns facing investors. Economic data released continues to be better than once feared at the onset of the pandemic; however, the U.S. faces a second wave of the virus as multiple states have started to relax stay-at-home orders.

∎ A spike in cases could open the possibility of continued consumer restrictions that run the risk of producing a significant dislocation for markets. While many investors have enjoyed the sugar high by trading on technicals created by monetary and fiscal stimulus, we remain diligent to our fundamental bottom-up process of capital preservation.

15

Barings Diversified Income Fund 2020 Annual Report

CREDIT QUALITY BREAKDOWN (% OF ASSETS*)

* As of June 30, 2020.

PORTFOLIO COMPOSITION (% OF ASSETS*)

* As of June 30, 2020.

16

Barings Diversified Income Fund 2020 Annual Report

% AVERAGE ANNUAL TOTAL RETURNS 3,4,6,7	INCEPTION DATE		ONE YEAR			THREE YEARS			INCEPTION TO DATE
Class A With Load		07/08/2015		-11.79	%		-2.95	%		-0.56	%
Class A No Load		07/08/2015		-8.11	%		-1.62	%		0.26	%
Class C With Load		07/08/2015		-9.69	%		-2.35	%		-0.49	%
Class C No Load		07/08/2015		-8.80	%		-2.35	%		-0.49	%
Class I With Load		07/08/2015		-7.88	%		-1.37	%		0.50	%
Class I No Load		07/08/2015		-7.88	%		-1.37	%		0.50	%
Class Y With Load		07/08/2015		-7.88	%		-1.37	%		0.50	%
Class Y No Load		07/08/2015		-7.88	%		-1.37	%		0.50	%

^2.  Ratings shown are the highest ratings 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, single-A and BBB are investment grade ratings categories used by S&P and Fitch. BB, single-B, CCC/CC/C and single-D are below investment grade ratings categories used by S&P and Fitch. Aaa, Aa, single-A and Baa are investment grade ratings categories used by Moody’s. Ba, single-B, Caa/Ca and single-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.  Inception date: July 8, 2015. Diversified Income strategy change effective March 1, 2019.

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

^5.  Benchmark: 3-Month USD LIBOR plus 250 bps. 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 (three months) in England’s Euro dollar market. The return shown includes 3-Month USD LIBOR plus 250 bps, or 2.5% 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.

^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.

17

Barings Emerging Markets Debt Blended Total Return Fund 2020 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 period from July 1, 2019 through June 30, 2020 of 10.33%.¹ The net total rate of return for the Fund’s performance benchmark – 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 – was -0.17%. The Fund is not managed relative to the benchmark; however, the comparison is provided to show how the Fund’s returns compare with those of a broad measure of market performance.

∎ All three of the Fund’s sub-strategies – emerging market (EM) corporates, EM sovereign and EM local – generated positive performance over the period. This occurred as U.S. Treasury rates rallied 136 basis points (bps) over the past 12 months, alongside a dovish U.S. Federal Reserve (Fed) and European Central Bank (ECB). Local rates in EM countries fell, while EM currencies depreciated over the period.

What factors influenced performance of the Fund?

∎ The Fund’s positioning, and active allocations across countries and credits, were additive to performance. EM local rallied, as we saw monetary stimulus and rate cuts across EM countries in reaction to COVID-19’s economic toll. EM debt flows were strong in the second half of 2019, with $22 billion of positive flows mostly from hard currency, which was followed by six months accounting for -$25.1 billion in net outflows for the first half of 2020.

∎ For the 12-month reporting period ending June 30, 2020, the Fund’s positioning in Russia, Brazil, Mexico, Hungary and South Africa contributed positively to Fund performance. However, the Fund’s positions in Argentina, India, El Salvador, Angola and Ghana detracted from performance.

Describe recent portfolio activity.

∎ Following the sharp sell-off experienced in March 2020, the Fund increased its exposure to EM currencies, to capture potential currency appreciation as a result of stronger balance-of-payments outlook, along with higher commodity prices. The Fund also increased exposure to EM sovereign hard currency assets, as spreads were overcompensating for defaults, and opportunities have become available following the sharp sell-off in the first half of the year. The Fund has maintained most positions, as we believe fiscal stimuli will allow for moderate growth, low inflation and lower rates in select EM local markets. Positioning in select corporate names remains similar to earlier in 2020, backed by healthy balance sheets and bonds, offering strong yields compared to some sovereign credits.

Describe portfolio positioning at period end.

∎ The Fund finished the reporting period, ending June 30, 2020, with a 49% exposure to sovereign hard currencies (inclusive of credit default swaps), 41% to corporate debt, 31% to sovereign local currencies, and a 0.5% settled cash position.

∎ The top five countries in the portfolio at the end of the reporting period were Mexico (14.8%), Brazil (14.4%), Ukraine (8.7%), Indonesia (7.2%) and South Africa (5.8%). The top five corporate issuers were Tullow Oil (2.5%), Petrobras (2.3%), PEMEX (1.9%), National Bank of Greece (1.7%) and Sovcom Bank (1.7%). Overall, the Fund had exposure to 42 countries, 36 corporates and 21 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 one-year or less are cumulative.

18

Barings Emerging Markets Debt Blended Total Return Fund 2020 Annual Report

Describe market and portfolio outlook.

∎ We believe that the asset class is likely to benefit from continued monetary stimulus and the potential for a sharp economic rebound in the second half of the year. We expect that countries will continue down the recent path of becoming increasingly insular and relying more on domestic production of goods and services, a trend that COVID-19 is accelerating, and that may prove to be a long-term structural headwind for EMs. Technicals continue to drive the market, as the ample liquidity pumped into the system by governments and central banks continues to support asset prices. It’s difficult to say if, or when, this will take a turn in the near term. We’ve seen recent signs that fear may be creeping back into the market, as negative headlines on COVID-19 in the U.S., Brazil and other hotspots are digested. There remain risks to both the upside and downside cases for global recovery. But on balance, we think the continued monetary stimulus, along with the potential for a sharper economic bounce-back in the second half of the year, could provide a tailwind to many EMs.

19

Barings Emerging Markets Debt Blended Total Return Fund 2020 Annual Report

PORTFOLIO COMPOSITION (% OF ASSETS*)

* As of June 30, 2020.

REGIONAL COMPOSITION (% OF ASSETS**)

** The percentages shown above are expressed by market value, excluding cash and accrued income, and may vary over time. As of June 30, 2020.

*** 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 2020 Annual Report

% AVERAGE ANNUAL TOTAL RETURNS 2,3,5,6	INCEPTION DATE		ONE YEAR			THREE YEARS			INCEPTION TO DATE
Class A With Load		10/21/2015		5.71	%		5.19	%		6.38	%
Class A No Load		10/21/2015		10.11	%		6.63	%		7.31	%
Class C With Load		10/21/2015		8.28	%		5.85	%		6.53	%
Class C No Load		10/21/2015		9.28	%		5.85	%		6.53	%
Class I With Load		10/21/2015		10.39	%		6.90	%		7.58	%
Class I No Load		10/21/2015		10.39	%		6.90	%		7.58	%
Class Y With Load		10/21/2015		10.33	%		6.88	%		7.57	%
Class Y No Load		10/21/2015		10.33	%		6.88	%		7.57	%

^2.  Inception date: October 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 Global Emerging Markets Equity Fund 2020 Annual Report

Investment Objective

The Barings Global Emerging Markets Equity Fund (the “Fund”) seeks to achieve long-term capital growth.

Portfolio Management Commentary

How did the Fund perform?

∎ The Fund reported a net rate of return for the period from July 1, 2019, through June 30, 2020 of -3.78%, underperforming the MSCI Emerging Markets Index (the “Benchmark”), which returned -3.39%.¹

What factors influenced performance of the Fund?

∎ Contributors to relative Fund performance included the following:

∎ Tencent Holdings, a Chinese Technology group, ended the period as the Fund’s top contributor to relative returns, driven by an acceleration in online advertising revenue and a strong gaming release pipeline.

∎ Taiwan Semiconductor Manufacturing Co., was a strong contributor to relative returns, benefitting from earnings which beat expectations and increased optimism regarding future 5G demand.

∎ Reliance Industries, a large Indian conglomerate, reported strong earnings driven by capacity growth and margin expansion within its petrochemicals business, and strong subscriber acquisition within its telecommunications division.

∎ Detractors to relative Fund performance included the following:

∎ HDFC Bank, detracted on concerns that weaker economic activity in India would lead to a deterioration in asset quality. Despite this short-term weakness, the company’s most recent earnings were strong, beating expectations on growth as well as asset quality.

∎ PT Bank Negara Indonesia, an Indonesian bank, underperformed caused in part by a deteriorating macroeconomic environment.

∎ China State Construction International, detracted on lingering macroeconomic concerns, though improving orders and infrastructure investment points to a stronger profit outlook.

Describe recent portfolio activity.

∎ Q3 2019: Over the period, the Fund exited its position in cement manufacturer Cemex, in favor of better opportunities elsewhere.

∎ Q4 2019: Over the period, the Fund adjusted its exposure to the Russian energy sector, selling out of its holding in Novatek. We also initiated a position in Topsports, as we believe the company is well positioned to capitalize on the structural growth of the sportswear market in China.

∎ YTD 2020: While portfolio activity remained relatively low, the recent market backdrop provided a number of opportunities to start building exposure in companies with sustainable business franchises, and strong balance sheets at more attractive valuation entry points. Over the period we sold our holdings in Russian natural gas producer Gazprom, and used the proceeds to add to our position in its competitor Lukoil. Elsewhere, we exited from steel company Angang Steel, diamond producer Alrosa, and financial services group Bancolombia, and started new positions in China Resources Cement, ENN Energy, Mediatek and Powertech.

∎ As medium- to long-term investors, we expect the average annual turnover rate of the strategy to be 20-40%. The turnover for the Fund for the period from July 1, 2019, through June 30, 2020 was 18.8%.

^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 one-year or less are cumulative. The performance comparator is MSCI Emerging Markets Total Return Index with net dividends.

22

Barings Global Emerging Markets Equity Fund 2020 Annual Report

Describe portfolio positioning at period end.

∎ The Fund’s positioning at the end of the period reflects our bottom-up investment process, where we aim to identify companies with sustainable business franchises, and with future growth potential that is not fully reflected in the current share price. As a result, our active country and sector positioning relative to the Benchmark is not driven by a deliberate top-down strategy, but is a by-product of our bottom-up stock selection process.

∎ Relative to the Benchmark, the largest active country position was in India, and the largest active sector exposure was to financials, where in each case we continue to identify many companies that we believe have strong medium-term growth prospects and are attractively valued.

∎ Despite the large active position in both cases, we believe that the performance of these companies will be predominantly influenced by company-specific factors (i.e. that these companies will be largely in control of their own destiny), rather than by their respective country or sector. As bottom-up investors, we always seek these types of companies.

∎ As of the end of the reporting period, the top five country weightings in the Fund, on an absolute basis, were China and Hong Kong (43.4%), Taiwan (12.6%), India (11.1%), Korea (10.6%) and Russia (4.5%).

∎ In line with our investment process, we continue to seek out bottom-up investment opportunities where we believe the future earnings potential is not fully reflected in the current share price.

Describe market and portfolio outlook.

∎ In the near term, we believe that global markets are likely to remain volatile, as investors stay vigilant for any signs of an uptick in new infections which might signal a second wave.

∎ Clearly economic activity and corporate earnings have been, and will continue to be, significantly impacted in the short term, but we hope to begin to see some improving economic and earnings momentum from the second half of this year, as mobility restrictions are eased on a measured basis and normal consumption patterns slowly resume.

∎ In addition, we expect the large-scale monetary and fiscal stimulus announced globally will also help support and spur economic activity. In our view, a combination of slowly improving data, receding risk and attractive valuations should create a more positive backdrop for equity markets, as we move into the second half of this year and beyond.

∎ We will continue our process of building new (or adding to existing) positions in companies with strong and sustainable business franchises, where our proprietary bottom-up research has identified a significant degree of undervaluation relative to future growth potential.

23

Barings Global Emerging Markets Equity Fund 2020 Annual Report

% AVERAGE ANNUAL TOTAL RETURNS 2,3,5,6	INCEPTION DATE		ONE YEAR			INCEPTION TO DATE
Class A With Load		9/17/2018		-4.02	%		3.63	%
Class A No Load		9/17/2018		-4.02	%		3.63	%
Class C With Load		9/17/2018		-4.74	%		2.86	%
Class C No Load		9/17/2018		-4.74	%		2.86	%
Class I With Load		9/17/2018		-3.78	%		3.89	%
Class I No Load		9/17/2018		-3.78	%		3.89	%
Class Y With Load		9/17/2018		-3.78	%		3.89	%
Class Y No Load		9/17/2018		-3.78	%		3.89	%

^2.  Inception date: September 17, 2018. A fund’s performance for very short time periods may not be indicative of future performance

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

^4.  Benchmark: MSCI Emerging Markets Total Return Index with net dividends designed to measure the equity market performance of the emerging markets. Indices are unmanaged. It is not possible to invest directly in an index.

^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.

24

Barings U.S. High Yield Fund 2020 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 reporting period from July 1, 2019 through June 30, 2020 of -3.43%, underperforming the Bloomberg Barclays U.S. Corporate High Yield Index (the “Benchmark”), which returned 0.03%.^{1, 5}

What factors influenced performance of the Fund?

∎ For much of the one-year period, the U.S. high yield bond market saw modest positive returns, driven by a stable economic outlook, accommodative central bank policies, and a strong technical backdrop. In March 2020, however, global markets experienced a historic sell-off, as a result of the COVID-19 pandemic and a freefall in crude oil prices. Following the sell-off through June month-end, crude oil prices recovered back into positive territory, and the U.S. high yield bond market rebounded on economic re-opening optimism and unprecedented actions by the U.S. Federal Reserve (Fed) – including purchasing investment grade and below investment grade bonds in the open market. However, the market remained negative for the period overall.

∎ Higher quality credits notably outperformed the lower end of the ratings spectrum during the one-year period, led by BBs and followed by single-Bs, while CCCs substantially lagged. As a result, the Fund’s underweight allocation to BB-rated holdings, and overweight allocation to the lower-rated categories relative to the Benchmark, were performance detractors. Security selection across single-B and CCC-rated credits was a positive contributor to Fund performance versus the Benchmark, while security selection in BB-rated holdings lagged.

∎ From an industry perspective, although the oil and gas sector rallied back in the second quarter of 2020 alongside the strong bounce back in crude oil prices from March lows, the sector significantly underperformed the broader market during the twelve-month period, alongside industries most directly impacted by the global economic shutdown, including the consumer cyclical and transportation sectors. The Fund’s credit selection within the telecommunications sector was the largest positive contributor to performance versus the index. The oil and gas sector was the largest detractor to relative performance as a result of credit selection and an underweight allocation on average.

Describe recent portfolio activity.

∎ The Fund allocation to BBs increased during the course of the one-year period, primarily through a shift from single-B rated holdings, both through relative value transactions in the secondary market and a notable portion of fallen angel purchases. Additionally, the Fund took advantage of select new issue deals, as the U.S. high yield bond market saw record new issuance activity in the second quarter of 2020. CCCs remained largely unchanged through the period.

∎ Across industries, the Fund’s top three sectors remained largely unchanged, led by oil & gas, telecommunications, and broadcasting & entertainment. The Fund’s position in the health care, education & child care sector was modestly reduced, while the buildings & real estate sector slightly increased during the year.

^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 one-year or less are cumulative.

^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.

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Barings U.S. High Yield Fund 2020 Annual Report

Describe portfolio positioning at period end.

∎ On a traded basis, the Fund finished June 30, 2020 with a 78.1% weighting to senior unsecured bonds and a 13.4% weighting to senior secured high yield bonds. The remaining balance of the portfolio was invested in senior secured loans (5.1%), and cash, accrued and other holdings (3.4%).

∎ From a sector perspective, the Fund remained well-diversified across a number of Moody’s-based industries, with higher concentrations, as mentioned above, in oil & gas (12.2%), telecommunications (10.7%), and broadcasting & entertainment (10.0%) as of June 30, 2020.

∎ In terms of portfolio credit quality, the Fund had the following weighting breakdown: 5.5% in BBB, 50.3% in BB, 26.2% in single-B, 13.9% in CCC and below, and 3.3% in cash and accrued income. The Fund’s weighting in not-publicly rated holdings finished the period at 0.8%.²

Describe market and portfolio outlook.

∎ Global credit markets staged a strong rebound throughout the second quarter of 2020, bolstered by swift action by governments, central banks and private investors to support global economies, as the world comes to terms with life during a pandemic. While default activity has increased across the U.S. high yield bond market, in our view some of these elements have softened expectations on near-term defaults from what they were at the peak of volatility in March.

∎ Despite the recovery thus far, the U.S. high yield bond market has not yet fully recovered to pre-pandemic levels, and we believe that the outlook for many companies will have an element of uncertainty until there is a clear path past Covid-19. The demand for high yield bonds has increased in recent months as a result of central bank actions, which we expect to continue in the near term.

∎ Even after a meaningful recovery, we continue to believe there are many opportunities for U.S. high yield bonds to be additive to total return performance as the recovery continues. That said, the potential for further volatility and defaults remains, which is why we continue to believe that prudent asset selection and active portfolio management will remain critical moving forward.

^2.  Ratings shown are the highest ratings 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, single-A and BBB are investment grade ratings categories used by S&P and Fitch. BB, single-B, CCC/CC/C and single-D are below investment grade ratings categories used by S&P and Fitch. Aaa, Aa, single-A and Baa are investment grade ratings categories used by Moody’s. Ba, single-B, Caa/Ca and single-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 U.S. High Yield Fund 2020 Annual Report

CREDIT QUALITY COMPOSITION (% OF ASSETS*)

* As of June 30, 2020.

COUNTRY COMPOSITION (% OF ASSETS**)

** The percentages of assets are expressed by market value excluding cash and accrued income, and may vary over time. As of June 30, 2020.

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Barings U.S. High Yield Fund 2020 Annual Report

% AVERAGE ANNUAL TOTAL RETURNS 4,6,7	INCEPTION DATE		ONE YEAR			THREE YEARS			INCEPTION TO DATE
Class A With Load		10/30/2015		-7.52	%		-0.28	%		3.65	%
Class A No Load		10/30/2015		-3.67	%		1.09	%		4.56	%
Class C With Load		10/30/2015		-5.30	%		0.34	%		3.77	%
Class C No Load		10/30/2015		-4.39	%		0.34	%		3.77	%
Class I With Load		10/30/2015		-3.43	%		1.34	%		4.81	%
Class I No Load		10/30/2015		-3.43	%		1.34	%		4.81	%
Class Y With Load		10/30/2015		-3.43	%		1.35	%		4.81	%
Class Y No Load		10/30/2015		-3.43	%		1.35	%		4.81	%

^3.  Inception date: October 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.

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Barings Funds Trust 2020 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 Diversified Income Fund, Barings Emerging Markets Debt Blended Total Return Fund, Barings Global Emerging Markets Equity 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, 2020 to June 30, 2020.

Actual Expenses

The first line in the table below provides information about the actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for the Fund under the heading entitled “Operating Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line in the table below provides information about the hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account value and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Barings Global Floating Rate Fund

	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		1.00	%	$	1,000.00	$	943.30	$	971.65	$	4.83
Hypothetical		1.00	%		1,000.00		1,019.90		1,009.95		5.02
Class C
Actual		1.75	%		1,000.00		939.80		969.90		8.44
Hypothetical		1.75	%		1,000.00		1,016.20		1,008.10		8.77
Class I
Actual		0.75	%		1,000.00		944.50		972.25		3.63
Hypothetical		0.75	%		1,000.00		1,021.10		1,010.55		3.77
Class Y
Actual		0.75	%		1,000.00		944.50		972.25		3.63
Hypothetical		0.75	%		1,000.00		1,021.10		1,010.55		3.77

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the adviser for such class multiplied by the average account value over the period, multiplied by 182/366.

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Barings Funds Trust 2020 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	$	930.80	$	965.40	$	5.76
Hypothetical		1.20	%		1,000.00		1,018.90		1,009.45		6.02
Class C
Actual		1.95	%		1,000.00		927.30		963.65		9.34
Hypothetical		1.95	%		1,000.00		1,015.20		1,007.60		9.77
Class I
Actual		0.95	%		1,000.00		932.00		966.00		4.56
Hypothetical		0.95	%		1,000.00		1,020.10		1,010.05		4.77
Class Y
Actual		0.95	%		1,000.00		932.00		966.00		4.56
Hypothetical		0.95	%		1,000.00		1,020.10		1,010.05		4.77

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the adviser for such class multiplied by the average account value over the period, multiplied by 182/366.

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	$	968.70	$	984.35	$	3.18
Hypothetical		0.65	%		1,000.00		1,021.60		1,010.80		3.27
Class C
Actual		0.90	%		1,000.00		967.30		983.65		4.40
Hypothetical		0.90	%		1,000.00		1,020.40		1,010.20		4.52
Class I
Actual		0.40	%		1,000.00		969.60		984.80		1.96
Hypothetical		0.40	%		1,000.00		1,022.90		1,011.45		2.01
Class Y
Actual		0.40	%		1,000.00		969.60		984.80		1.96
Hypothetical		0.40	%		1,000.00		1,022.90		1,011.45		2.01
Class L
Actual**		0.65	%		1,000.00		1,035.20		1,017.60		1.10
Hypothetical		0.65	%		1,000.00		1,023.80		1,011.90		1.11

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the adviser for such class multiplied by the average account value over the period, multiplied by 182/366.

** Class L commenced operations on May 1, 2020. Actual net expenses for Class L are equal to the annualized expense ratio of Class L net of any expenses waived or reimbursed by the adviser for Class L, multiplied by the average account value over the period, multiplied by 61/366.

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Barings Funds Trust 2020 Annual Report

SHAREHOLDER EXPENSES (UNAUDITED) (CONTINUED)

Barings Diversified Income Fund

	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		0.80	%	$	1,000.00	$	897.50	$	948.75	$	3.77
Hypothetical		0.80	%		1,000.00		1,020.90		1,010.45		4.02
Class C
Actual		1.55	%		1,000.00		894.00		947.00		7.30
Hypothetical		1.55	%		1,000.00		1,017.20		1,008.60		7.77
Class I
Actual		0.55	%		1,000.00		898.60		949.30		2.60
Hypothetical		0.55	%		1,000.00		1,022.10		1,011.05		2.77
Class Y
Actual		0.55	%		1,000.00		898.50		949.25		2.60
Hypothetical		0.55	%		1,000.00		1,022.10		1,011.05		2.77

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the adviser for such class multiplied by the average account value over the period, multiplied by 182/366.

Barings Emerging Markets Debt Blended Total Return Fund

	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		1.20	%	$	1,000.00	$	1,048.00	$	1,024.00	$	6.11
Hypothetical		1.20	%		1,000.00		1,018.90		1,009.45		6.02
Class C
Actual		1.95	%		1,000.00		1,043.60		1,021.80		9.91
Hypothetical		1.95	%		1,000.00		1,015.20		1,007.60		9.77
Class I
Actual		0.95	%		1,000.00		1,049.50		1,024.75		4.84
Hypothetical		0.95	%		1,000.00		1,020.10		1,010.05		4.77
Class Y
Actual		0.95	%		1,000.00		1,048.90		1,024.45		4.84
Hypothetical		0.95	%		1,000.00		1,020.10		1,010.05		4.77

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the adviser for such class multiplied by the average account value over the period, multiplied by 182/366.

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Barings Funds Trust 2020 Annual Report

SHAREHOLDER EXPENSES (UNAUDITED) (CONTINUED)

Barings Global Emerging Markets Equity Fund

	EXPENSE RATIO**			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		1.45	%	$	1,000.00	$	890.20	$	945.10	$	6.81
Hypothetical		1.45	%		1,000.00		1,017.70		1,008.85		7.27
Class C
Actual		2.20	%		1,000.00		886.90		943.45		10.32
Hypothetical		2.20	%		1,000.00		1,013.90		1,006.95		11.02
Class I
Actual		1.20	%		1,000.00		891.30		945.65		5.64
Hypothetical		1.20	%		1,000.00		1,018.90		1,009.45		6.02
Class Y
Actual		1.20	%		1,000.00		891.30		945.65		5.64
Hypothetical		1.20	%		1,000.00		1,018.90		1,009.45		6.02

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the adviser for such class multiplied by the average account value over the period, multiplied by 182/366.

** 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 U.S. High Yield Fund

	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		1.00	%	$	1,000.00	$	928.10	$	964.05	$	4.79
Hypothetical		1.00	%		1,000.00		1,019.90		1,009.95		5.02
Class C
Actual		1.75	%		1,000.00		924.80		962.40		8.37
Hypothetical		1.75	%		1,000.00		1,016.20		1,008.10		8.77
Class I
Actual		0.75	%		1,000.00		929.40		964.70		3.60
Hypothetical		0.75	%		1,000.00		1,021.10		1,010.55		3.77
Class Y
Actual		0.75	%		1,000.00		929.40		964.70		3.60
Hypothetical		0.75	%		1,000.00		1,021.10		1,010.55		3.77

* For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the adviser for such class multiplied by the average account value over the period, multiplied by 182/366.

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Barings Funds Trust 2020 Annual Report

FINANCIAL REPORT

Statements of Assets and Liabilities	34
Statements of Operations	38
Statements of Changes in Net Assets	42
Financial Highlights	46
Schedules of Investments	75-155
Notes to the Financial Statements	156-196
Report of Independent Registered Public Accounting Firm	197
Federal Tax Information	199
Interested Trustee	201
Independent Trustees	202-203
Officers of the Trust	204
Global Privacy Notice	205

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Barings Funds Trust 2020 Annual Report

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2020

	BARINGS GLOBAL FLOATING RATE FUND		BARINGS GLOBAL CREDIT INCOME OPPORTUNITIES FUND		BARINGS ACTIVE SHORT DURATION BOND FUND		BARINGS DIVERSIFIED INCOME FUND
Assets
Investments, at fair value (cost $227,709,444, $175,694,976, $819,659,294 and $41,576,715, respectively)	$	202,282,324	$	152,186,861	$	805,233,236	$	40,320,106
Cash		12,840,420		12,572,645		7,648,364		188,724
Foreign currency, at value (cost $163,455, $131,043, $0 and $2,244, respectively)		162,788		131,035		–		2,224
Receivable for investments sold		3,263,158		2,916,787		4,975,969		845,338
Receivable for Fund shares sold		1,193,531		230,413		1,014,492		1,949
Interest receivable		1,475,189		2,148,691		3,914,486		305,374
Receivable from adviser (see Note 3)		–		–		73,688		30,765
Cash collateral held at broker on open forward foreign currency exchange contracts		–		10,000		–		–
Cash collateral held at broker on open futures contracts		–		–		–		229,592
Receivable for variation margin on open futures contracts		–		–		59,355		12,335
Foreign tax reclaims receivable		–		–		4,758		–
Unrealized appreciation on forward foreign currency exchange contracts		582,821		495,076		–		107
Prepaid expenses		52,280		42,034		169,909		31,257
Total assets		221,852,511		170,733,542		823,094,257		41,967,771
Liabilities
Payable for investments purchased		–		–		–		410,940
Payable for TBA and when-issued securities purchased		5,159,932		4,763,714		12,439,802		220,000
Payable for Fund shares repurchased		1,009,361		203,147		5,212,569		367,089
Payable for variation margin on open swap contracts		–		–		11,810		–
Investment advisory fee payable (see Note 3)		125,292		117,223		–		–
Cash collateral Due to Broker		360,000		500,000		989,583		–
Distribution fees payable		13,067		15,257		30,221		264
Shareholder service fees payable		15,428		11,325		54,898		3,082
Dividends payable		121,046		201,286		284,003		53,451
Written options, at fair value (premiums of $0, $420,757, $0 and $0, respectively)		–		439,208		–		–
Unrealized depreciation on forward foreign currency exchange contracts		22,691		47,937		–		4,280
Accrued expenses and other liabilities		315,688		294,653		574,366		118,933
Total liabilities		7,142,505		6,593,750		19,597,252		1,178,039
Total net assets	$	214,710,006	$	164,139,792	$	803,497,005	$	40,789,732

See accompanying Notes to the Financial Statements.

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Barings Funds Trust 2020 Annual Report

STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)

June 30, 2020

	BARINGS GLOBAL FLOATING RATE FUND			BARINGS GLOBAL CREDIT INCOME OPPORTUNITIES FUND			BARINGS ACTIVE SHORT DURATION BOND FUND			BARINGS DIVERSIFIED INCOME FUND
Composition of net assets
Shares of beneficial interest outstanding (par value $0.00001 per share), unlimited number of shares authorized	$	250		$	202		$	846		$	47
Additional paid-in capital		247,751,251			199,910,263			848,283,419			45,520,236
Total distributable earnings (accumulated loss)		(33,041,495	)		(35,770,673	)		(44,787,260	)		(4,730,551	)
Total net assets	$	214,710,006		$	164,139,792		$	803,497,005		$	40,789,732
Class A
Net assets applicable to outstanding shares	$	37,431,371		$	44,859,831		$	43,021,675		$	591,704
Shares of beneficial interest outstanding		4,372,077			5,508,398			4,528,637			67,749
Net asset value per share outstanding	$	8.56		$	8.14		$	9.50		$	8.73
Maximum offering price per share outstanding (Net asset value plus sales charge of 3.00%, 4.00%, 0.00% and 4.00%, respectively)	$	8.82		$	8.48		$	9.50		$	9.09
Class C
Net assets applicable to outstanding shares	$	6,493,957		$	7,420,674		$	2,498,204		$	175,194
Shares of beneficial interest outstanding		761,343			912,322			263,328			20,061
Net asset value per share outstanding	$	8.53		$	8.13		$	9.49		$	8.73
Class I
Net assets applicable to outstanding shares	$	39,482,986		$	21,605,699		$	94,056		$	10,789,668
Shares of beneficial interest outstanding		4,599,235			2,653,573			9,901			1,235,482
Net asset value per share outstanding	$	8.58		$	8.14		$	9.50		$	8.73
Class Y
Net assets applicable to outstanding shares	$	131,301,692		$	90,253,588		$	656,611,099		$	29,233,166
Shares of beneficial interest outstanding		15,312,080			11,085,764			69,174,004			3,347,243
Net asset value per share outstanding	$	8.58		$	8.14		$	9.49		$	8.73
Class L
Net assets applicable to outstanding shares							$	101,271,971
Shares of beneficial interest outstanding								10,662,657
Net asset value per share outstanding							$	9.50

See accompanying Notes to the Financial Statements.

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Barings Funds Trust 2020 Annual Report

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2020

	BARINGS EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND		BARINGS GLOBAL EMERGING MARKETS EQUITY FUND		BARINGS U.S. HIGH YIELD FUND
Assets
Investments, at fair value (cost $52,955,183, $9,409,750 and $48,364,510, respectively)	$	51,798,618	$	10,150,692	$	44,676,904
Cash		1,872,215		231,046		1,567,880
Foreign currency, at value (cost $13,584, $0 and $0, respectively)		13,584		–		–
Receivable for investments sold		476,246		–		187,948
Receivable for Fund shares sold		83,917		–		5,913
Interest receivable		769,205		36,685		777,591
Receivable from adviser (see Note 3)		–		73,303		–
Cash collateral held at broker on open swap contracts		68,677		–		–
Swap contracts, at fair value		1,705,030		–		–
Foreign tax reclaims receivable		3,799		1,365		297
Variation margin receivable on open swap contracts		61,110		–		–
Unrealized appreciation on forward foreign currency exchange contracts		1,926,360		–		–
Prepaid expenses		37,459		24,228		34,386
Total assets		58,816,220		10,517,319		47,250,919
Liabilities
Payable for investments purchased		159,206		–		19,959
Payable for TBA and when-issued securities purchased		1,505,290		–		947,195
Foreign currency overdraft, at value (cost $0, $(1,241) and $0, respectively)		–		1,220		–
Payable for Fund shares repurchased		4,188		–		9,697
Investment advisory fee payable (see Note 3)		16,282		–		11,391
Directors’ fees payable		–		4,408		–
Cash collateral Due to Broker		1,044,736		–		–
Distribution fees payable		1,491		105		479
Shareholder service fees payable		–		–		116
Dividends payable		179,295		–		109,334
Unrealized depreciation on forward foreign currency exchange contracts		1,071,754		–		–
Accrued expenses and other liabilities		174,179		134,647		116,098
Total liabilities		4,156,421		140,380		1,214,269
Total net assets	$	54,659,799	$	10,376,939	$	46,036,650

See accompanying Notes to the Financial Statements.

36

Barings Funds Trust 2020 Annual Report

STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)

June 30, 2020

	BARINGS EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND		BARINGS GLOBAL EMERGING MARKETS EQUITY 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	$	52	$	10	$	52
Additional paid-in capital		53,391,594		9,984,604		52,120,560
Total distributable earnings (accumulated loss)		1,268,153		392,325		(6,083,962	)
Total net assets	$	54,659,799	$	10,376,939	$	46,036,650
Class A
Net assets applicable to outstanding shares	$	6,442,642	$	103,635	$	1,909,856
Shares of beneficial interest outstanding		618,104		10,000		214,303
Net asset value per share outstanding	$	10.42	$	10.36	$	8.91
Maximum offering price per share outstanding (Net asset value plus sales charge of 4.00%)	$	10.85	$	10.79	$	9.28
Class C
Net assets applicable to outstanding shares	$	225,088	$	103,159	$	89,086
Shares of beneficial interest outstanding		21,602		10,000		10,000
Net asset value per share outstanding	$	10.42	$	10.32	$	8.91
Class I
Net assets applicable to outstanding shares	$	14,563,422	$	5,085,073	$	11,045,878
Shares of beneficial interest outstanding		1,396,745		490,000		1,240,000
Net asset value per share outstanding	$	10.43	$	10.38	$	8.91
Class Y
Net assets applicable to outstanding shares	$	33,428,647	$	5,085,072	$	32,991,830
Shares of beneficial interest outstanding		3,207,689		490,000		3,703,638
Net asset value per share outstanding	$	10.42	$	10.38	$	8.91

See accompanying Notes to the Financial Statements.

37

Barings Funds Trust 2020 Annual Report

STATEMENTS OF OPERATIONS

For the Year Ended June 30, 2020

	BARINGS GLOBAL FLOATING RATE FUND			BARINGS GLOBAL CREDIT INCOME OPPORTUNITIES FUND			BARINGS ACTIVE SHORT DURATION BOND FUND			BARINGS DIVERSIFIED INCOME FUND
Investment Income
Interest income (net of withholding tax of $0, $0, $5,516 and $482, respectively)	$	13,951,742		$	13,007,484		$	28,339,264		$	1,715,396
Dividends		8,246			9,678			342,537			–
Other income		21,550			8,352			2,494			1,600
Total investment income		13,981,538			13,025,514			28,684,295			1,716,996
Operating Expenses
Advisory fees		1,612,681			1,490,789			2,897,842			170,083
12b-1 distribution and servicing plan
Class A		106,108			121,307			378,477			752
Class C		74,436			79,979			12,076			1,891
Class L (1)		–			–			11,057			–
Shareholder service fee
Class A		22,310			7,956			73,536			44
Class C		3,795			4,488			1,297			–
Class Y		105,349			64,361			463,340			18,787
Class L (1)		–			–			129			–
Administrator fees		143,483			131,114			421,382			54,934
Custody fees		123,901			124,061			435,128			36,083
Professional fees		120,307			115,246			121,822			102,087
Transfer agent fees		43,952			32,361			129,228			21,727
Directors’ fees		67,938			59,773			155,250			33,485
Registration fees		55,618			46,057			131,912			52,218
Printing and mailing expenses		26,309			19,431			55,579			14,163
Other operating expenses		98,667			86,269			287,454			17,472
Total operating expenses		2,604,854			2,383,192			5,575,509			523,726
Waiver/Reimbursement of expenses
Class A		(94,424	)		(59,637	)		(297,077	)		(7,298	)
Class C		(21,377	)		(18,062	)		(12,396	)		(6,465	)
Class I		(63,371	)		(26,920	)		(7,695	)		(74,025	)
Class Y		(378,986	)		(180,257	)		(1,533,164	)		(198,632	)
Class L (1)		–			–			(11,748	)		–
Net operating expenses		2,046,696			2,098,316			3,713,429			237,306
Net investment income		11,934,842			10,927,198			24,970,866			1,479,690

See accompanying Notes to the Financial Statements.

38

Barings Funds Trust 2020 Annual Report

STATEMENTS OF OPERATIONS (CONTINUED)

For the Year Ended June 30, 2020

	BARINGS GLOBAL FLOATING RATE FUND			BARINGS GLOBAL CREDIT INCOME OPPORTUNITIES FUND			BARINGS ACTIVE SHORT DURATION BOND FUND			BARINGS DIVERSIFIED INCOME FUND
Realized and Unrealized Gains (Losses)
Net realized loss on investments	$	(10,349,719	)	$	(10,081,983	)	$	(5,245,150	)	$	(1,661,105	)
Net realized gain on forward foreign currency exchange contracts		1,152,178			639,468			–			39,984
Net realized gain on foreign currency and translation		913,446			810,814			–			13,145
Net realized gain (loss) on futures contracts		–			–			(21,558,580	)		(1,064,569	)
Net realized gain (loss) on swap contracts		–			–			902,364			(7,026	)
Net realized gain (loss) on purchased options		–			(677,726	)		1,219,275			–
Net realized gain (loss)		(8,284,095	)		(9,309,427	)		(24,682,091	)		(2,679,571	)
Net change in unrealized depreciation on investments		(13,779,931	)		(12,883,497	)		(22,442,456	)		(1,722,759	)
Net change in unrealized appreciation on forward foreign currency exchange contracts		581,413			405,493			–			15,749
Net change in unrealized appreciation (depreciation) on foreign currency and translation		9,818			1,634			–			(280	)
Net change in unrealized appreciation (depreciation) on futures contracts		–			–			2,444,155			126,745
Net change in unrealized appreciation (depreciation) on swap contracts		–			–			(76,032	)		8,097
Net change in unrealized appreciation (depreciation) on written option contracts		–			(18,451	)		–			–
Net change in unrealized appreciation (depreciation) on purchased option contracts		–			145,350			(511,402	)		–
Net change in unrealized appreciation (depreciation)		(13,188,700	)		(12,349,471	)		(20,585,735	)		(1,572,448	)
Net realized and unrealized losses		(21,472,795	)		(21,658,898	)		(45,267,826	)		(4,252,019	)
Net decrease in net assets resulting from operations	$	(9,537,953	)	$	(10,731,700	)	$	(20,296,960	)	$	(2,772,329	)

(1) Class commenced operations on May 1, 2020.

See accompanying Notes to the Financial Statements.

39

Barings Funds Trust 2020 Annual Report

STATEMENTS OF OPERATIONS

For the Year Ended June 30, 2020

	BARINGS EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND			BARINGS GLOBAL EMERGING MARKETS EQUITY FUND			BARINGS U.S. HIGH YIELD FUND
Investment Income
Interest income (net of withholding tax of $39,858, $0 and $0, respectively)	$	4,242,549		$	978		$	3,198,350
Dividend income (net of withholding tax of $0, $29,256 and $0, respectively)		–			306,773			–
Other income		918			–			3,936
Total investment income		4,243,467			307,751			3,202,286
Operating Expenses
Advisory fees		406,292			95,181			269,901
12b-1 distribution and servicing plan
Class A		5,721			264			6,319
Class C		2,560			1,054			944
Shareholder service fee
Class A		1,197			–			3,077
Class C		33			–			–
Class Y		3,974			–			3,823
Administrator fees		57,188			47,183			43,807
Custody fees		88,979			13,030			42,406
Professional fees		83,106			67,643			62,528
Transfer agent fees		30,587			25,248			20,180
Directors’ fees		35,321			26,107			34,642
Registration fees		49,270			34,458			48,941
Printing and mailing expenses		5,441			5,502			5,201
Other operating expenses		19,479			10,927			18,555
Total operating expenses		789,148			326,597			560,324
Waiver/Reimbursement of expenses
Class A		(20,037	)		(8,040	)		(16,187	)
Class C		(8,561	)		(8,033	)		(5,253	)
Class I		(93,440	)		(91,150	)		(42,586	)
Class Y		(144,192	)		(91,147	)		(120,988	)
Net operating expenses		522,918			128,227			375,310
Net investment income		3,720,549			179,524			2,826,976

See accompanying Notes to the Financial Statements.

40

Barings Funds Trust 2020 Annual Report

STATEMENTS OF OPERATIONS (CONTINUED)

For the Year Ended June 30, 2020

	BARINGS EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND			BARINGS GLOBAL EMERGING MARKETS EQUITY FUND			BARINGS U.S. HIGH YIELD FUND
Realized and Unrealized Gains (Losses)
Net realized loss on investments	$	(1,076,140	) (1)	$	(342,152	)	$	(1,800,225	)
Net realized gain (loss) on forward foreign currency exchange contracts		1,321,055			(30	)		–
Net realized gain (loss) on foreign currency and translation		(40,978	)		(1,719	)		–
Net realized gain (loss) on futures contracts		(537,852	)		–			–
Net realized gain on swap contracts		113,584			–			–
Net realized gain (loss) on purchased options		(17,579	)		–			–
Net realized gain (loss)		(237,910	)		(343,901	)		(1,800,225	)
Net change in unrealized depreciation on investments		(2,398,972	) (2)		(235,582	)		(3,074,461	)
Net change in unrealized appreciation on forward foreign currency exchange contracts		772,249			–			–
Net change in unrealized appreciation (depreciation) on foreign currency and translation		(5,164	)		(207	)		–
Net change in unrealized appreciation (depreciation) on futures contracts		71,794			–			–
Net change in unrealized appreciation (depreciation) on swap contracts		4,211,137			–			–
Net change in unrealized appreciation (depreciation) on purchased option contracts		37,731			–			–
Net change in unrealized appreciation (depreciation)		2,688,775			(235,789	)		(3,074,461	)
Net realized and unrealized gains (losses)		2,450,865			(579,690	)		(4,874,686	)
Net increase (decrease) in net assets resulting from operations	$	6,171,414		$	(400,166	)	$	(2,047,710	)

(1) Includes realized foreign capital gains taxes of $8,364.

(2) Net of change in unrealized appreciation/(depreciation) of foreign capital gains taxes of $2,922.

See accompanying Notes to the Financial Statements.

41

Barings Funds Trust 2020 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, 2020			FOR THE YEAR ENDED JUNE 30, 2019			FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019
Operations
Net investment income	$	11,934,842		$	14,299,471		$	10,927,198		$	12,185,927
Net realized gain (loss)		(8,284,095	)		2,745,235			(9,309,427	)		(1,381,993	)
Net change in unrealized depreciation		(13,188,700	)		(9,427,826	)		(12,349,471	)		(6,630,323	)
Net increase (decrease) in net assets from operations		(9,537,953	)		7,616,880			(10,731,700	)		4,173,611
Dividends and distributions
Class A		(1,752,333	)		(2,631,234	)		(2,270,709	)		(3,633,155	)
Class C		(263,597	)		(385,566	)		(321,702	)		(505,418	)
Class I		(1,584,124	)		(1,747,985	)		(1,091,239	)		(1,282,074	)
Class Y		(7,063,704	)		(10,875,941	)		(5,901,580	)		(8,847,995	)
Total Dividends and distributions		(10,663,758	)		(15,640,726	)		(9,585,230	)		(14,268,642	)
Return of capital
Class A		(360,351	)		–			(356,912	)		(63,546	)
Class C		(52,291	)		–			(51,371	)		(9,510	)
Class I		(369,841	)		–			(174,380	)		(25,629	)
Class Y		(1,382,565	)		–			(870,042	)		(165,268	)
Total Return of capital		(2,165,048	)		–			(1,452,705	)		(263,953	)
Capital Share Transactions
Net proceeds from sale of shares		106,125,221			181,096,638			64,702,295			92,707,830
Net Asset Value of shares issued to shareholders in payment of distributions declared		10,443,892			12,277,586			8,443,894			10,875,940
Cost of shares redeemed		(153,128,901	)		(164,501,029	)		(99,727,481	)		(112,233,144	)
Net increase (decrease) in net assets resulting from capital stock transactions		(36,559,788	)		28,873,195			(26,581,292	)		(8,649,374	)
Total increase (decrease) in net assets		(58,926,547	)		20,849,349			(48,350,927	)		(19,008,358	)
Net Assets
Beginning of year		273,636,553			252,787,204			212,490,719			231,499,077
End of year	$	214,710,006		$	273,636,553		$	164,139,792		$	212,490,719

See accompanying Notes to the Financial Statements.

42

Barings Funds Trust 2020 Annual Report

STATEMENTS OF CHANGES IN NET ASSETS

	BARINGS ACTIVE SHORT DURATION BOND FUND						BARINGS DIVERSIFIED INCOME FUND
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019
Operations
Net investment income	$	24,970,866		$	15,718,078		$	1,479,690		$	1,104,761
Net realized loss		(24,682,091	)		(5,023,199	)		(2,679,571	)		(340,692	)
Net change in unrealized appreciation (depreciation)		(20,585,735	)		9,888,356			(1,572,448	)		552,217
Net increase (decrease) in net assets from operations		(20,296,960	)		20,583,235			(2,772,329	)		1,316,286
Dividends and distributions
Class A		(4,268,051	)		(4,327,284	)		(9,395	)		(7,516	)
Class C		(61,754	)		(31,974	)		(4,704	)		(4,785	)
Class I		(6,754	)		(9,407	)		(406,140	)		(413,758	)
Class Y		(20,482,090	)		(11,907,536	)		(1,051,301	)		(678,343	)
Class L (1)		(108,096	)		–			–			–
Total Dividends and distributions		(24,926,745	)		(16,276,201	)		(1,471,540	)		(1,104,402	)
Capital Share Transactions
Net proceeds from sale of shares		686,580,548			531,527,546			21,879,952			16,053,424
Net Asset Value of shares issued to shareholders in payment of distributions declared		20,314,845			13,533,610			636,919			262,817
Cost of shares redeemed		(573,907,960	)		(264,419,113	)		(19,982,097	)		(2,915,535	)
Net increase in net assets resulting from capital stock transactions		132,987,433			280,642,043			2,534,774			13,400,706
Total increase (decrease) in net assets		87,763,728			284,949,077			(1,709,095	)		13,612,590
Net Assets
Beginning of year		715,733,277			430,784,200			42,498,827			28,886,237
End of year	$	803,497,005		$	715,733,277		$	40,789,732		$	42,498,827

(1) Class commenced operations on May 1, 2020.

See accompanying Notes to the Financial Statements.

43

Barings Funds Trust 2020 Annual Report

STATEMENTS OF CHANGES IN NET ASSETS

	BARINGS EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND						BARINGS GLOBAL EMERGING MARKETS EQUITY FUND
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			FOR THE YEAR ENDED JUNE 30, 2020			PERIOD FROM SEPTEMBER 17, 2018 THROUGH JUNE 30, 2019 (2)
Operations
Net investment income	$	3,720,549		$	2,933,988		$	179,524		$	78,236
Net realized gain (loss)		(237,910	)		(2,216,261	)		(343,901	)		69,969
Net change in unrealized appreciation (depreciation)		2,688,775			5,107,421			(235,789	)		976,638
Net increase (decrease) in net assets from operations		6,171,414			5,825,148			(400,166	)		1,124,843
Dividends and distributions
Class A		(150,461	)		(27,569	)		(3,013	)		–
Class C		(14,353	)		(13,395	)		(2,081	)		–
Class I		(1,361,075	)		(1,355,443	)		(163,753	)		–
Class Y		(2,004,219	)		(1,420,530	)		(163,753	)		–
Total Dividends and distributions		(3,530,108	)		(2,816,937	)		(332,600	)		–
Class A		–			(2,043	)		(137	)		–
Class C		–			(1,174	)		(95	)		–
Class I		–			(126,191	)		(7,453	)		–
Class Y		–			(133,784	)		(7,453	)		–
Total Return of capital		–			(263,192	)		(15,138	)		–
Capital Share Transactions
Net proceeds from sale of shares		28,149,569			1,762,308			–			10,000,000
Net Asset Value of shares issued to shareholders in payment of distributions declared		647,379			64,652			–			–
Cost of shares redeemed		(27,212,488	)		(752,758	)		–			–
Net increase in net assets resulting from capital stock transactions		1,584,460			1,074,202			–			10,000,000
Total increase (decrease) in net assets		4,225,766			3,819,221			(747,904	)		11,124,843
Net Assets
Beginning of year		50,434,033			46,614,812			11,124,843			–
End of year	$	54,659,799		$	50,434,033		$	10,376,939		$	11,124,843

(2) Fund commenced operations on September 17, 2018.

See accompanying Notes to the Financial Statements.

44

Barings Funds Trust 2020 Annual Report

STATEMENTS OF CHANGES IN NET ASSETS

	BARINGS U.S. HIGH YIELD FUND
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019
Operations
Net investment income	$	2,826,976		$	3,323,214
Net realized loss		(1,800,225	)		(467,591	)
Net change in unrealized appreciation (depreciation)		(3,074,461	)		140,723
Net increase (decrease) in net assets from operations		(2,047,710	)		2,996,346
Dividends and distributions
Class A		(142,062	)		(123,204	)
Class C		(4,612	)		(5,130	)
Class I		(688,893	)		(869,451	)
Class Y		(2,043,599	)		(2,324,075	)
Total Dividends and distributions		(2,879,166	)		(3,321,860	)
Capital Share Transactions
Net proceeds from sale of shares		8,447,531			8,045,852
Net Asset Value of shares issued to shareholders in payment of distributions declared		1,475,410			1,787,969
Cost of shares redeemed		(9,728,479	)		(15,746,520	)
Net increase (decrease) in net assets resulting from capital stock transactions		194,462			(5,912,699	)
Total decrease in net assets		(4,732,414	)		(6,238,213	)
Net Assets
Beginning of year		50,769,064			57,007,277
End of year	$	46,036,650		$	50,769,064

See accompanying Notes to the Financial Statements.

45

Barings Global Floating Rate Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS

	CLASS A
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			FOR THE YEAR ENDED JUNE 30, 2016
Per Common Share Data
Net asset value, beginning of year	$	9.26		$	9.48		$	9.54		$	9.13		$	9.60
Income from investment operations:
Net investment income (1)		0.41			0.44			0.43			0.43			0.44
Net realized and unrealized gain (loss)		(0.66	)		(0.18	)		(0.06	)		0.42			(0.45	)
Total increase (decrease) from investment operations		(0.25	)		0.26			0.37			0.85			(0.01	)
Less dividends and distributions:
From net investment income		(0.34	)		(0.44	)		(0.38	)		(0.31	)		(0.46	)
From net realized gain		(0.03	)		(0.04	)		–			–			–
From return of capital		(0.08	)		–			(0.05	)		(0.13	)		–
Total dividends and distributions		(0.45	)		(0.48	)		(0.43	)		(0.44	)		(0.46	)
Net asset value, at end of year	$	8.56		$	9.26		$	9.48		$	9.54		$	9.13
Total investment return (2)		(2.79	)%		2.77	%		4.00	%		9.47	%		(0.04	)%
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	37,431		$	45,213		$	53,371		$	45,363		$	13,980
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.22	%		1.25	%		1.26	%		1.37	%		1.72	%
Ratio of net expenses to average net assets (3)		1.00	%		1.00	%		0.96	%(4)		0.99	%(5)		1.05	%(6)
Ratio of net investment income to average net assets		4.63	%		4.72	%		4.55	%		4.52	%		4.74	%
Portfolio turnover rate		37.23	%		46.51	%		57.74	%		47.06	%		62.99	%

(1) Calculated using average shares outstanding.

(2) 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.

(3) 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.

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

(5) 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.

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

See accompanying Notes to the Financial Statements.

46

Barings Global Floating Rate Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			FOR THE YEAR ENDED JUNE 30, 2016
Per Common Share Data
Net asset value, beginning of year	$	9.22		$	9.45		$	9.51		$	9.10		$	9.57
Income from investment operations:
Net investment income (1)		0.35			0.37			0.36			0.37			0.37
Net realized and unrealized gain (loss)		(0.66	)		(0.19	)		(0.06	)		0.41			(0.45	)
Total increase (decrease) from investment operations		(0.31	)		0.18			0.30			0.78			(0.08	)
Less dividends and distributions:
From net investment income		(0.29	)		(0.37	)		(0.32	)		(0.26	)		(0.39	)
From net realized gain		(0.03	)		(0.04	)		–			–			–
From return of capital		(0.06	)		–			(0.04	)		(0.11	)		–
Total dividends and distributions		(0.38	)		(0.41	)		(0.36	)		(0.37	)		(0.39	)
Net asset value, at end of year	$	8.53		$	9.22		$	9.45		$	9.51		$	9.10
Total investment return (2)		(3.52	)%		2.02	%		3.24	%		8.68	%		(0.81	)%
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	6,494		$	8,005		$	8,311		$	8,018		$	6,803
Ratio of total expenses (before reductions and reimbursements) to average net assets		2.04	%		2.05	%		2.09	%		2.24	%		2.50	%
Ratio of net expenses to average net assets (3)		1.75	%		1.74	%(4)		1.70	%(4)		1.71	%(5)		1.80	%(6)
Ratio of net investment income to average net assets		3.88	%		4.00	%		3.80	%		3.91	%		4.04	%
Portfolio turnover rate		37.23	%		46.51	%		57.74	%		47.06	%		62.99	%

(1) Calculated using average shares outstanding.

(2) 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.

(3) 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.

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

(5) 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.

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

See accompanying Notes to the Financial Statements.

47

Barings Global Floating Rate Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			FOR THE YEAR ENDED JUNE 30, 2016
Per Common Share Data
Net asset value, beginning of year	$	9.28		$	9.50		$	9.56		$	9.15		$	9.62
Income from investment operations:
Net investment income (1)		0.43			0.47			0.46			0.47			0.47
Net realized and unrealized gain (loss)		(0.66	)		(0.18	)		(0.06	)		0.40			(0.45	)
Total increase (decrease) from investment operations		(0.23	)		0.29			0.40			0.87			0.02
Less dividends and distributions:
From net investment income		(0.36	)		(0.47	)		(0.41	)		(0.32	)		(0.49	)
From net realized gain		(0.03	)		(0.04	)		–			–			–
From return of capital		(0.08	)		–			(0.05	)		(0.14	)		–
Total dividends and distributions		(0.47	)		(0.51	)		(0.46	)		(0.46	)		(0.49	)
Net asset value, at end of year	$	8.58		$	9.28		$	9.50		$	9.56		$	9.15
Total investment return (2)		(2.47	)%		3.04	%		4.28	%		9.74	%		0.25	%
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	39,483		$	32,531		$	18,370		$	19,733		$	19,903
Ratio of total expenses (before reductions and reimbursements) to average net assets		0.92	%		0.94	%		1.03	%		1.16	%		1.29	%
Ratio of net expenses to average net assets (3)		0.75	%		0.75	%		0.71	%(4)		0.75	%		0.75	%
Ratio of net investment income to average net assets		4.87	%		5.01	%		4.78	%		4.90	%		5.07	%
Portfolio turnover rate		37.23	%		46.51	%		57.74	%		47.06	%		62.99	%

(1) Calculated using average shares outstanding.

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

(3) 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 0.75% as a percentage of average daily net assets.

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

See accompanying Notes to the Financial Statements.

48

Barings Global Floating Rate Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			FOR THE YEAR ENDED JUNE 30, 2016
Per Common Share Data
Net asset value, beginning of year	$	9.27		$	9.50		$	9.56		$	9.15		$	9.62
Income from investment operations:
Net investment income (1)		0.44			0.47			0.46			0.47			0.47
Net realized and unrealized gain (loss)		(0.66	)		(0.19	)		(0.06	)		0.40			(0.45	)
Total increase (decrease) from investment operations		(0.22	)		0.28			0.40			0.87			0.02
Less dividends and distributions:
From net investment income		(0.36	)		(0.47	)		(0.41	)		(0.32	)		(0.49	)
From net realized gain		(0.03	)		(0.04	)		–			–			–
From return of capital		(0.08	)		–			(0.05	)		(0.14	)		–
Total dividends and distributions		(0.47	)		(0.51	)		(0.46	)		(0.46	)		(0.49	)
Net asset value, at end of year	$	8.58		$	9.27		$	9.50		$	9.56		$	9.15
Total investment return (2)		(2.54	)%		3.03	%		4.27	%		9.73	%		0.22	%
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	131,302		$	187,887		$	172,736		$	122,736		$	125,957
Ratio of total expenses (before reductions and reimbursements) to average net assets		0.99	%		0.96	%		1.01	%		1.14	%		1.27	%
Ratio of net expenses to average net assets (3)		0.75	%		0.75	%		0.71	%(4)		0.75	%		0.75	%
Ratio of net investment income to average net assets		4.89	%		4.99	%		4.79	%		4.90	%		5.08	%
Portfolio turnover rate		37.23	%		46.51	%		57.74	%		47.06	%		62.99	%

(1) Calculated using average shares outstanding.

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

(3) 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 0.75% as a percentage of average daily net assets.

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

See accompanying Notes to the Financial Statements.

49

Barings Global Credit Income Opportunities Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS

	CLASS A
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			FOR THE YEAR ENDED JUNE 30, 2016
Per Common Share Data
Net asset value, beginning of year	$	8.93		$	9.32		$	9.51		$	8.80		$	9.51
Income from investment operations:
Net investment income (1)		0.46			0.50			0.49			0.55			0.56
Net realized and unrealized gain (loss)		(0.79	)		(0.30	)		(0.19	)		0.71			(0.66	)
Total increase (decrease) from investment operations		(0.33	)		0.20			0.30			1.26			(0.10	)
Less dividends and distributions:
From net investment income		(0.40	)		(0.48	)		(0.47	)		(0.50	)		(0.61	)
From net realized gain		–			(0.10	)		–			–			–
From return of capital		(0.06	)		(0.01	)		(0.02	)		(0.05	)		–
Total dividends and distributions		(0.46	)		(0.59	)		(0.49	)		(0.55	)		(0.61	)
Net asset value, at end of year	$	8.14		$	8.93		$	9.32		$	9.51		$	8.80
Total investment return (2)		(3.69	)%		2.39	%		3.24	%		14.61	%		(0.84	)%
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	44,860		$	51,205		$	60,507		$	26,904		$	12,340
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.32	%		1.36	%		1.38	%		1.56	%		1.90	%
Ratio of net expenses to average net assets (3)		1.20	%		1.20	%		1.20	%		1.20	%		1.20	%
Ratio of net investment income to average net assets		5.35	%		5.46	%		5.17	%		5.83	%		6.28	%
Portfolio turnover rate		64.23	%		58.78	%		52.29	%		48.69	%		58.08	%

(1) Calculated using average shares outstanding.

(2) 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.

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

See accompanying Notes to the Financial Statements.

50

Barings Global Credit Income Opportunities Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			FOR THE YEAR ENDED JUNE 30, 2016
Per Common Share Data
Net asset value, beginning of year	$	8.92		$	9.31		$	9.50		$	8.79		$	9.50
Income from investment operations:
Net investment income (1)		0.39			0.43			0.42			0.48			0.49
Net realized and unrealized gain (loss)		(0.78	)		(0.29	)		(0.19	)		0.71			(0.65	)
Total increase (decrease) from investment operations		(0.39	)		0.14			0.23			1.19			(0.16	)
Less dividends and distributions:
From net investment income		(0.35	)		(0.42	)		(0.40	)		(0.43	)		(0.55	)
From net realized gain		–			(0.10	)		–			–			–
From return of capital		(0.05	)		(0.01	)		(0.02	)		(0.05	)		–
Total dividends and distributions		(0.40	)		(0.53	)		(0.42	)		(0.48	)		(0.55	)
Net asset value, at end of year	$	8.13		$	8.92		$	9.31		$	9.50		$	8.79
Total investment return (2)		(4.41	)%		1.63	%		2.47	%		13.75	%		(1.59	)%
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	7,421		$	8,462		$	8,842		$	6,628		$	3,578
Ratio of total expenses (before reductions and reimbursements) to average net assets		2.18	%		2.21	%		2.21	%		2.39	%		2.91	%
Ratio of net expenses to average net assets (3)		1.95	%		1.95	%		1.95	%		1.95	%		1.95	%
Ratio of net investment income to average net assets		4.60	%		4.73	%		4.44	%		5.12	%		5.50	%
Portfolio turnover rate		64.23	%		58.78	%		52.29	%		48.69	%		58.08	%

(1) Calculated using average shares outstanding.

(2) 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.

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

See accompanying Notes to the Financial Statements.

51

Barings Global Credit Income Opportunities Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			FOR THE YEAR ENDED JUNE 30, 2016
Per Common Share Data
Net asset value, beginning of year	$	8.93		$	9.32		$	9.50		$	8.80		$	9.51
Income from investment operations:
Net investment income (1)		0.48			0.52			0.51			0.58			0.58
Net realized and unrealized gain (loss)		(0.79	)		(0.29	)		(0.18	)		0.70			(0.65	)
Total increase (decrease) from investment operations		(0.31	)		0.23			0.33			1.28			(0.07	)
Less dividends and distributions:
From net investment income		(0.41	)		(0.51	)		(0.49	)		(0.52	)		(0.64	)
From net realized gain		–			(0.10	)		–			–			–
From return of capital		(0.07	)		(0.01	)		(0.02	)		(0.06	)		–
Total dividends and distributions		(0.48	)		(0.62	)		(0.51	)		(0.58	)		(0.64	)
Net asset value, at end of year	$	8.14		$	8.93		$	9.32		$	9.50		$	8.80
Total investment return (2)		(3.45	)%		2.65	%		3.49	%		14.90	%		(0.61	)%
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	21,606		$	23,203		$	21,788		$	22,228		$	24,689
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.07	%		1.09	%		1.13	%		1.27	%		1.54	%
Ratio of net expenses to average net assets (3)		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%
Ratio of net investment income to average net assets		5.60	%		5.69	%		5.45	%		6.22	%		6.54	%
Portfolio turnover rate		64.23	%		58.78	%		52.29	%		48.69	%		58.08	%

(1) Calculated using average shares outstanding.

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

(3) 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.

See accompanying Notes to the Financial Statements.

52

Barings Global Credit Income Opportunities Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			FOR THE YEAR ENDED JUNE 30, 2018			FOR THE YEAR ENDED JUNE 30, 2017			FOR THE YEAR ENDED JUNE 30, 2016
Per Common Share Data
Net asset value, beginning of year	$	8.93		$	9.31		$	9.50		$	8.80		$	9.51
Income from investment operations:
Net investment income (1)		0.48			0.52			0.51			0.57			0.59
Net realized and unrealized gain (loss)		(0.79	)		(0.28	)		(0.19	)		0.71			(0.66	)
Total increase (decrease) from investment operations		(0.31	)		0.24			0.32			1.28			(0.07	)
Less dividends and distributions:
From net investment income		(0.41	)		(0.51	)		(0.49	)		(0.52	)		(0.64	)
From net realized gain		–			(0.10	)		–			–			–
From return of capital		(0.07	)		(0.01	)		(0.02	)		(0.06	)		–
Total dividends and distributions		(0.48	)		(0.62	)		(0.51	)		(0.58	)		(0.64	)
Net asset value, at end of year	$	8.14		$	8.93		$	9.31		$	9.50		$	8.80
Total investment return (2)		(3.44	)%		2.64	%		3.48	%		14.90	%		(0.61	)%
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	90,254		$	129,621		$	140,362		$	96,014		$	58,312
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.10	%		1.12	%		1.14	%		1.28	%		1.55	%
Ratio of net expenses to average net assets (3)		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%
Ratio of net investment income to average net assets		5.60	%		5.71	%		5.43	%		6.14	%		6.56	%
Portfolio turnover rate		64.23	%		58.78	%		52.29	%		48.69	%		58.08	%

(1) Calculated using average shares outstanding.

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

(3) 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.

See accompanying Notes to the Financial Statements.

53

Barings Active Short Duration Bond Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS

	CLASS A
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			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	$	9.94		$	9.88		$	10.01		$	9.98		$	10.00
Income from investment operations:
Net investment income (2)		0.27			0.27			0.21			0.17			0.15
Net realized and unrealized gain (loss)		(0.44	)		0.08			(0.10	)		0.03			(0.03	)(3)
Total increase (decrease) from investment operations		(0.17	)		0.35			0.11			0.20			0.12
Less dividends and distributions:
From net investment income		(0.27	)		(0.27	)		(0.21	)		(0.17	)		(0.14	)
From net realized gain		–			(0.02	)		(0.03	)		(0.00	)(4)		–
Total dividends and distributions		(0.27	)		(0.29	)		(0.24	)		(0.17	)		(0.14	)
Net asset value, at end of year	$	9.50		$	9.94		$	9.88		$	10.01		$	9.98
Total investment return (5)		(1.68	)%		3.52	%		1.10	%		2.12	%		1.17	%(6)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	43,022		$	135,981		$	177,020		$	119,189		$	39,992
Ratio of total expenses (before reductions and reimbursements) to average net assets		0.85	%		0.90	%		0.94	%		1.06	%		1.18	%(7)
Ratio of net expenses to average net assets (8)		0.65	%		0.65	%		0.65	%		0.65	%		0.65	%(7)
Ratio of net investment income to average net assets		2.81	%		2.75	%		2.15	%		1.72	%		1.51	%(7)
Portfolio turnover rate		58.11	%		43.15	%		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 does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(6) 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 0.65% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

54

Barings Active Short Duration Bond Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			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	$	9.93		$	9.87		$	10.01		$	9.97		$	10.00
Income from investment operations:
Net investment income (2)		0.25			0.25			0.19			0.19			0.07
Net realized and unrealized gain (loss)		(0.44	)		0.08			(0.11	)		0.05			(0.03	)(3)
Total increase (decrease) from investment operations		(0.19	)		0.33			0.08			0.24			0.04
Less dividends and distributions:
From net investment income		(0.25	)		(0.25	)		(0.19	)		(0.20	)		(0.07	)
From net realized gain		–			(0.02	)		(0.03	)		(0.00	)(4)		–
Total dividends and distributions		(0.25	)		(0.27	)		(0.22	)		(0.20	)		(0.07	)
Net asset value, at end of year	$	9.49		$	9.93		$	9.87		$	10.01		$	9.97
Total investment return (5)		(1.96	)%		3.23	%		0.84	%		2.41	%		0.39	%(6)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	2,498		$	1,178		$	1,139		$	236		$	257
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.41	%		1.70	%		1.95	%		3.09	%(7)		5.44	%(8)(9)
Ratio of net expenses to average net assets (10)		0.90	%		0.90	%		0.90	%		0.40	%(7)		1.40	%(8)(9)
Ratio of net investment income to average net assets		2.56	%		2.51	%		1.92	%		1.94	%(7)		0.71	%(8)(9)
Portfolio turnover rate		58.11	%		43.15	%		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 does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(6) Not annualized.

(7) Expenses shown reflect a reimbursement to the Fund during the period for an overaccrual of 12b-1 fees made during and prior to the period.

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

(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.

55

Barings Active Short Duration Bond Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			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	$	9.94		$	9.88		$	10.01		$	9.97		$	10.00
Income from investment operations:
Net investment income (2)		0.30			0.30			0.24			0.18			0.16
Net realized and unrealized gain (loss)		(0.44	)		0.08			(0.10	)		0.06			(0.03	)(3)
Total increase (decrease) from investment operations		(0.14	)		0.38			0.14			0.24			0.13
Less dividends and distributions:
From net investment income		(0.30	)		(0.30	)		(0.24	)		(0.20	)		(0.16	)
From net realized gain		–			(0.02	)		(0.03	)		(0.00	)(4)		–
Total dividends and distributions		(0.30	)		(0.32	)		(0.27	)		(0.20	)		(0.16	)
Net asset value, at end of year	$	9.50		$	9.94		$	9.88		$	10.01		$	9.97
Total investment return (5)		(1.45	)%		3.78	%		1.39	%		2.44	%		1.35	%(6)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	94		$	301		$	300		$	100		$	5,971
Ratio of total expenses (before reductions and reimbursements) to average net assets		3.86	%		2.84	%		3.07	%		1.67	%		0.96	%(7)
Ratio of net expenses to average net assets (8)		0.40	%		0.40	%		0.40	%		0.40	%		0.44	%(7)
Ratio of net investment income to average net assets		3.03	%		3.01	%		2.39	%		1.84	%		1.67	%(7)
Portfolio turnover rate		58.11	%		43.15	%		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 0.40% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

56

Barings Active Short Duration Bond Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			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	$	9.93		$	9.87		$	10.01		$	9.97			$	10.00
Income from investment operations:
Net investment income (2)		0.30			0.30			0.24			0.20				0.17
Net realized and unrealized gain (loss)		(0.44	)		0.07			(0.11	)		0.04				(0.04	)(3)
Total increase (decrease) from investment operations		(0.14	)		0.37			0.13			0.24				0.13
Less dividends and distributions:
From net investment income		(0.30	)		(0.29	)		(0.24	)		(0.20	)			(0.16	)
From net realized gain		–			(0.02	)		(0.03	)		(0.00	)(4)			–
Total dividends and distributions		(0.30	)		(0.31	)		(0.27	)		(0.20	)			(0.16	)
Net asset value, at end of year	$	9.49		$	9.93		$	9.87		$	10.01			$	9.97
Total investment return (5)		(1.45	)%		3.78	%		1.35	%		2.38	%			1.36	%(6)
													��
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	656,611		$	578,272		$	252,325		$	204,464			$	109,645
Ratio of total expenses (before reductions and reimbursements) to average net assets		0.63	%		0.61	%		0.70	%		0.82	%			0.87	%(7)
Ratio of net expenses to average net assets (8)		0.40	%		0.40	%		0.40	%		0.40	%			0.41	%(7)
Ratio of net investment income to average net assets		3.06	%		3.06	%		2.39	%		1.97	%			1.73	%(7)
Portfolio turnover rate		58.11	%		43.15	%		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 0.40% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

57

Barings Active Short Duration Bond Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS L
	PERIOD FROM MAY 1, 2020 THROUGH JUNE 30, 2020 (1)
Per Common Share Data
Net asset value, beginning of period	$	9.21
Income from investment operations:
Net investment income (2)		0.05
Net realized and unrealized gain		0.28
Total increase from investment operations		0.33
Less dividends and distributions:
From net investment income		(0.04	)
Total dividends and distributions		(0.04	)
Net asset value, at end of period	$	9.50
Total investment return		3.52	%(3)(4)
Supplemental Data and Ratios
Net assets, end of period (000’s)	$	101,272
Ratio of total expenses (before reductions and reimbursements) to average net assets		0.92	%(5)
Ratio of net expenses to average net assets (6)		0.65	%(5)
Ratio of net investment income to average net assets		3.17	%(5)
Portfolio turnover rate		58.11	%(4)

(1) Commenced operations on May 1, 2020.

(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 0.65% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

58

Barings Diversified Income Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS

	CLASS A
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			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	$	9.82		$	9.77		$	10.08		$	10.18		$	10.00
Income from investment operations:
Net investment income (2)		0.29			0.30			0.27			0.25			0.25
Net realized and unrealized gain (loss)		(1.07	)		0.06			(0.28	)		(0.09	)		0.20
Total increase (decrease) from investment operations		(0.78	)		0.36			(0.01	)		0.16			0.45
Less dividends and distributions:
From net investment income		(0.31	)		(0.31	)		(0.29	)		(0.26	)		(0.25	)
From net realized gain		–			–			–			–			(0.02	)
From return of capital		–			–			(0.01	)		–			–
Total dividends and distributions		(0.31	)		(0.31	)		(0.30	)		(0.26	)		(0.27	)
Net asset value, at end of year	$	8.73		$	9.82		$	9.77		$	10.08		$	10.18
Total investment return (3)		(8.11	)%		3.77	%		(0.12	)%		1.65	%		4.63	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	592		$	247		$	207		$	218		$	211
Ratio of total expenses (before reductions and reimbursements) to average net assets		3.23	%		3.57	%		3.72	%		3.52	%		5.60	%(5)
Ratio of net expenses to average net assets (6)		0.80	%		0.79	%(7)(8)		0.80	%(7)		0.80	%(7)		0.80	%(5)(7)
Ratio of net investment income to average net assets		3.14	%		3.11	%		2.70	%		2.49	%		2.52	%(5)
Portfolio turnover rate		104.04	%		192.64	%		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 0.80% 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.

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

See accompanying Notes to the Financial Statements.

59

Barings Diversified Income Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			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	$	9.82		$	9.77		$	10.08		$	10.18		$	10.00
Income from investment operations:
Net investment income (2)		0.24			0.24			0.19			0.17			0.17
Net realized and unrealized gain (loss)		(1.10	)		0.05			(0.27	)		(0.08	)		0.21
Total increase (decrease) from investment operations		(0.86	)		0.29			(0.08	)		0.09			0.38
Less dividends and distributions:
From net investment income		(0.23	)		(0.24	)		(0.22	)		(0.19	)		(0.18	)
From net realized gain		–			–			–			–			(0.02	)
From return of capital		–			–			(0.01	)		–			–
Total dividends and distributions		(0.23	)		(0.24	)		(0.23	)		(0.19	)		(0.20	)
Net asset value, at end of year	$	8.73		$	9.82		$	9.77		$	10.08		$	10.18
Total investment return (3)		(8.80	)%		2.99	%		(0.87	)%		0.89	%		3.87	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	175		$	197		$	196		$	202		$	204
Ratio of total expenses (before reductions and reimbursements) to average net assets		4.97	%		4.75	%		4.60	%		4.41	%		6.38	%(5)
Ratio of net expenses to average net assets (6)		1.55	%		1.54	%(7)(8)		1.55	%(7)		1.55	%(7)		1.55	%(5)(7)
Ratio of net investment income to average net assets		2.50	%		2.45	%		1.95	%		1.74	%		1.77	%(5)
Portfolio turnover rate		104.04	%		192.64	%		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.

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

See accompanying Notes to the Financial Statements.

60

Barings Diversified Income Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			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	$	9.82		$	9.77		$	10.08		$	10.18		$	10.00
Income from investment operations:
Net investment income (2)		0.33			0.33			0.29			0.28			0.27
Net realized and unrealized gain (loss)		(1.09	)		0.05			(0.27	)		(0.09	)		0.20
Total increase (decrease) from investment operations		(0.76	)		0.38			0.02			0.19			0.47
Less dividends and distributions:
From net investment income		(0.33	)		(0.33	)		(0.32	)		(0.29	)		(0.27	)
From net realized gain		–			–			–			–			(0.02	)
From return of capital		–			–			(0.01	)		–			–
Total dividends and distributions		(0.33	)		(0.33	)		(0.33	)		(0.29	)		(0.29	)
Net asset value, at end of year	$	8.73		$	9.82		$	9.77		$	10.08		$	10.18
Total investment return (3)		(7.88	)%		4.01	%		0.13	%		1.90	%		4.89	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	10,790		$	12,130		$	12,070		$	12,457		$	12,582
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.19	%		1.29	%		1.30	%		1.36	%		1.37	%(5)
Ratio of net expenses to average net assets (6)		0.55	%		0.55	%(7)(8)		0.55	%(7)		0.55	%(7)		0.55	%(5)(7)
Ratio of net investment income to average net assets		3.51	%		3.44	%		2.94	%		2.74	%		2.77	%(5)
Portfolio turnover rate		104.04	%		192.64	%		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 0.55% 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.

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

See accompanying Notes to the Financial Statements.

61

Barings Diversified Income Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			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	$	9.82		$	9.77		$	10.08		$	10.18		$	10.00
Income from investment operations:
Net investment income (2)		0.33			0.33			0.29			0.27			0.27
Net realized and unrealized gain (loss)		(1.09	)		0.05			(0.27	)		(0.08	)		0.20
Total increase (decrease) from investment operations		(0.76	)		0.38			0.02			0.19			0.47
Less dividends and distributions:
From net investment income		(0.33	)		(0.33	)		(0.32	)		(0.29	)		(0.27	)
From net realized gain		–			–			–			–			(0.02	)
From return of capital		–			–			(0.01	)		–			–
Total dividends and distributions		(0.33	)		(0.33	)		(0.33	)		(0.29	)		(0.29	)
Net asset value, at end of year	$	8.73		$	9.82		$	9.77		$	10.08		$	10.18
Total investment return (3)		(7.88	)%		4.01	%		0.13	%		1.90	%		4.89	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	29,233		$	29,925		$	16,414		$	17,478		$	13,011
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.20	%		1.30	%		1.33	%		1.36	%		1.36	%(5)
Ratio of net expenses to average net assets (6)		0.55	%		0.55	% (7)(8)		0.55	%(7)		0.55	%(7)		0.55	%(5)(7)
Ratio of net investment income to average net assets		3.48	%		3.42	%		2.95	%		2.72	%		2.77	%(5)
Portfolio turnover rate		104.04	%		192.64	%		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 0.55% 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.

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

See accompanying Notes to the Financial Statements.

62

Barings Emerging Markets Debt Blended Total Return Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS

	CLASS A
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			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	$	10.06		$	9.51		$	10.55		$	9.90		$	10.00
Income from investment operations:
Net investment income (2)		0.60			0.55			0.45			0.42			0.43
Net realized and unrealized gain (loss)		0.38			0.60			(0.64	)		0.73			(0.19	)
Total increase (decrease) from investment operations		0.98			1.15			(0.19	)		1.15			0.24
Less dividends and distributions:
From net investment income		(0.62	)		(0.55	)		(0.55	)		(0.50	)		(0.34	)
From net realized gain		–			–			(0.30	)		–			(0.00	)(3)
From return of capital		–			(0.05	)		–			–			–
Total dividends and distributions		(0.62	)		(0.60	)		(0.85	)		(0.50	)		(0.34	)
Net asset value, at end of year	$	10.42		$	10.06		$	9.51		$	10.55		$	9.90
Total investment return (4)		10.11	%		12.59	%		(2.21	)%		11.94	%		2.62	%(5)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	6,443		$	405		$	566		$	211		$	198
Ratio of total expenses (before reductions and reimbursements) to average net assets		2.08	%		3.19	%		3.63	%		5.77	%		6.82	%(6)
Ratio of net expenses to average net assets (7)		1.20	%		1.02	%(8)		1.11	%(8)		1.15	%(8)		1.16	%(6)
Ratio of net investment income to average net assets		6.21	%		5.74	%		4.33	%		4.17	%		6.52	%(6)
Portfolio turnover rate		126.54	%		89.98	%		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.

63

Barings Emerging Markets Debt Blended Total Return Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			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	$	10.06		$	9.51		$	10.55		$	9.90		$	10.00
Income from investment operations:
Net investment income (2)		0.60			0.49			0.48			0.35			0.38
Net realized and unrealized gain (loss)		0.31			0.59			(0.74	)		0.73			(0.19	)
Total increase (decrease) from investment operations		0.91			1.08			(0.26	)		1.08			0.19
Less dividends and distributions:
From net investment income		(0.55	)		(0.48	)		(0.48	)		(0.43	)		(0.29	)
From net realized gain		–			–			(0.30	)		–			(0.00	)(3)
From return of capital		–			(0.05	)		–			–			–
Total dividends and distributions		(0.55	)		(0.53	)		(0.78	)		(0.43	)		(0.29	)
Net asset value, at end of year	$	10.42		$	10.06		$	9.51		$	10.55		$	9.90
Total investment return (4)		9.28	%		11.78	%		(2.90	)%		11.11	%		2.10	%(5)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	225		$	261		$	277		$	222		$	198
Ratio of total expenses (before reductions and reimbursements) to average net assets		5.29	%		5.02	%		5.85	%		6.47	%		7.57	%(6)
Ratio of net expenses to average net assets (7)		1.95	%		1.71	%(8)		1.85	%(8)		1.89	%(8)		1.90	%(6)
Ratio of net investment income to average net assets		6.09	%		5.14	%		4.63	%		3.44	%		5.79	%(6)
Portfolio turnover rate		126.54	%		89.98	%		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.

64

Barings Emerging Markets Debt Blended Total Return Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			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	$	10.06		$	9.51		$	10.55		$	9.90		$	10.00
Income from investment operations:
Net investment income (2)		0.69			0.59			0.54			0.45			0.45
Net realized and unrealized gain (loss)		0.32			0.58			(0.70	)		0.73			(0.19	)
Total increase (decrease) from investment operations		1.01			1.17			(0.16	)		1.18			0.26
Less dividends and distributions:
From net investment income		(0.64	)		(0.57	)		(0.58	)		(0.53	)		(0.36	)
From net realized gain		–			–			(0.30	)		–			(0.00	)(3)
From return of capital		–			(0.05	)		–			–			–
Total dividends and distributions		(0.64	)		(0.62	)		(0.88	)		(0.53	)		(0.36	)
Net asset value, at end of year	$	10.43		$	10.06		$	9.51		$	10.55		$	9.90
Total investment return (4)		10.39	%		12.86	%		(1.94	)%		12.22	%		2.79	%(5)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	14,563		$	23,964		$	22,650		$	5,063		$	4,753
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.40	%		1.44	%		1.94	%		2.76	%		2.58	%(6)
Ratio of net expenses to average net assets (7)		0.95	%		0.73	%(8)		0.80	%(8)		0.90	%(8)		0.92	%(6)
Ratio of net investment income to average net assets		6.99	%		6.18	%		5.31	%		4.42	%		6.77	%(6)
Portfolio turnover rate		126.54	%		89.98	%		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 0.95% as a percentage of average daily net assets.

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

See accompanying Notes to the Financial Statements.

65

Barings Emerging Markets Debt Blended Total Return Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			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	$	10.06		$	9.51		$	10.55		$	9.90		$	10.00
Income from investment operations:
Net investment income (2)		0.67			0.59			0.55			0.45			0.45
Net realized and unrealized gain (loss)		0.33			0.58			(0.71	)		0.73			(0.19	)
Total increase (decrease) from investment operations		1.00			1.17			(0.16	)		1.18			0.26
Less dividends and distributions:
From net investment income		(0.64	)		(0.57	)		(0.58	)		(0.53	)		(0.36	)
From net realized gain		–			–			(0.30	)		–			(0.00	)(3)
From return of capital		–			(0.05	)		–			–			–
Total dividends and distributions		(0.64	)		(0.62	)		(0.88	)		(0.53	)		(0.36	)
Net asset value, at end of year	$	10.42		$	10.06		$	9.51		$	10.55		$	9.90
Total investment return (4)		10.33	%		12.86	%		(1.94	)%		12.22	%		2.79	%(5)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	33,429		$	25,805		$	23,122		$	5,340		$	4,754
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.42	%		1.44	%		1.95	%		2.77	%		2.58	%(6)
Ratio of net expenses to average net assets (7)		0.95	%		0.72	%(8)		0.80	%(8)		0.90	%(8)		0.92	%(6)
Ratio of net investment income to average net assets		6.84	%		6.19	%		5.38	%		4.43	%		6.77	%(6)
Portfolio turnover rate		126.54	%		89.98	%		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 0.95% as a percentage of average daily net assets.

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

See accompanying Notes to the Financial Statements.

66

Barings Global Emerging Markets Equity Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS

	CLASS A
	FOR THE YEAR ENDED JUNE 30, 2020			PERIOD FROM SEPTEMBER 17, 2018 THROUGH JUNE 30, 2019 (1)
Per Common Share Data
Net asset value, beginning of year	$	11.10		$	10.00
Income from investment operations:
Net investment income (2)		0.15			0.06
Net realized and unrealized gain (loss)		(0.57	)		1.04
Total increase (decrease) from investment operations		(0.42	)		1.10
Less dividends and distributions:
From net investment income		(0.20	)		–
From net realized gain		(0.11	)		–
From return of capital		(0.01	)		–
Total dividends and distributions		(0.32	)		–
Net asset value, at end of year	$	10.36		$	11.10
Total investment return (3)		(4.02	)%		11.04	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	104		$	111
Ratio of total expenses (before reductions and reimbursements) to average net assets		9.06	%		7.43	%(5)
Ratio of net expenses to average net assets (6)(7)		1.45	%		1.45	%(5)
Ratio of net investment income to average net assets		1.46	%		0.73	%(5)
Portfolio turnover rate		18.80	%		7.48	%(4)

(1) Fund commenced operations on September 17, 2018.

(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 1.45% 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 Global Emerging Markets Equity Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE YEAR ENDED JUNE 30, 2020			PERIOD FROM SEPTEMBER 17, 2018 THROUGH JUNE 30, 2019 (1)
Per Common Share Data
Net asset value, beginning of year	$	11.04		$	10.00
Income from investment operations:
Net investment income (2)		0.07			0.00	(3)
Net realized and unrealized gain (loss)		(0.57	)		1.04
Total increase (decrease) from investment operations		(0.50	)		1.04
Less dividends and distributions:
From net investment income		(0.10	)		–
From net realized gain		(0.11	)		–
From return of capital		(0.01	)		–
Total dividends and distributions		(0.22	)		–
Net asset value, at end of year	$	10.32		$	11.04
Total investment return (4)		(4.74	)%		10.39	%(5)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	103		$	110
Ratio of total expenses (before reductions and reimbursements) to average net assets		9.82	%		8.19	%(6)
Ratio of net expenses to average net assets (7)(8)		2.20	%		2.20	%(6)
Ratio of net investment income (loss) to average net assets		0.71	%		(0.03	)%(6)
Portfolio turnover rate		18.80	%		7.48	%(5)

(1) Fund commenced operations on September 17, 2018.

(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 2.20% as a percentage of average daily net assets.

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

See accompanying Notes to the Financial Statements.

68

Barings Global Emerging Markets Equity Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE YEAR ENDED JUNE 30, 2020			PERIOD FROM SEPTEMBER 17, 2018 THROUGH JUNE 30, 2019 (1)
Per Common Share Data
Net asset value, beginning of year	$	11.13		$	10.00
Income from investment operations:
Net investment income (2)		0.18			0.08
Net realized and unrealized gain (loss)		(0.58	)		1.05
Total increase (decrease) from investment operations		(0.40	)		1.13
Less dividends and distributions:
From net investment income		(0.22	)		–
From net realized gain		(0.11	)		–
From return of capital		(0.02	)		–
Total dividends and distributions		(0.35	)		–
Net asset value, at end of year	$	10.38		$	11.13
Total investment return (3)		(3.78	)%		11.26	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	5,085		$	5,452
Ratio of total expenses (before reductions and reimbursements) to average net assets		2.96	%		2.94	%(5)
Ratio of net expenses to average net assets (6)(7)		1.20	%		1.20	%(5)
Ratio of net investment income to average net assets		1.71	%		0.98	%(5)
Portfolio turnover rate		18.80	%		7.48	%(4)

(1) Fund commenced operations on September 17, 2018.

(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 1.20% 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.

69

Barings Global Emerging Markets Equity Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE YEAR ENDED JUNE 30, 2020			PERIOD FROM SEPTEMBER 17, 2018 THROUGH JUNE 30, 2019 (1)
Per Common Share Data
Net asset value, beginning of year	$	11.13		$	10.00
Income from investment operations:
Net investment income (2)		0.18			0.08
Net realized and unrealized gain (loss)		(0.58	)		1.05
Total increase (decrease) from investment operations		(0.40	)		1.13
Less dividends and distributions:
From net investment income		(0.22	)		–
From net realized gain		(0.11	)		–
From return of capital		(0.02	)		–
Total dividends and distributions		(0.35	)		–
Net asset value, at end of year	$	10.38		$	11.13
Total investment return (3)		(3.78	)%		11.26	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	5,085		$	5,452
Ratio of total expenses (before reductions and reimbursements) to average net assets		2.96	%		2.94	%(5)
Ratio of net expenses to average net assets (6)(7)		1.20	%		1.20	%(5)
Ratio of net investment income to average net assets		1.71	%(5)		0.98	%(5)
Portfolio turnover rate		18.80	%		7.48	%(4)

(1) Fund commenced operations on September 17, 2018.

(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 1.20% 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.

70

Barings U.S. High Yield Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS

	CLASS A
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			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	$	9.79		$	9.82		$	10.59		$	10.14		$	10.00
Income from investment operations:
Net investment income (2)		0.53			0.58			0.61			0.65			0.39
Net realized and unrealized gain (loss)		(0.88	)		(0.02	)		(0.47	)		0.65			0.13
Total increase (decrease) from investment operations		(0.35	)		0.56			0.14			1.30			0.52
Less dividends and distributions:
From net investment income		(0.53	)		(0.59	)		(0.61	)		(0.66	)		(0.38	)
From net realized gain		–			–			(0.30	)		(0.19	)		–
Total dividends and distributions		(0.53	)		(0.59	)		(0.91	)		(0.85	)		(0.38	)
Net asset value, at end of year	$	8.91		$	9.79		$	9.82		$	10.59		$	10.14
Total investment return (3)		(3.67	)%		5.84	%		1.32	%		13.13	%		5.36	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	1,910		$	3,840		$	2,918		$	2,633		$	206
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.64	%		1.64	%		1.71	%		1.82	%		5.47	%(5)
Ratio of net expenses to average net assets (6)		1.00	%		1.00	%		1.00	%		1.00	%		0.99	%(5)
Ratio of net investment income to average net assets		5.52	%		5.99	%		5.92	%		6.21	%		5.93	%(5)
Portfolio turnover rate		80.66	%		55.98	%		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.

71

Barings U.S. High Yield Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS C
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			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	$	9.79		$	9.82		$	10.59		$	10.14		$	10.00
Income from investment operations:
Net investment income (2)		0.45			0.51			0.53			0.58			0.33
Net realized and unrealized gain (loss)		(0.87	)		(0.03	)		(0.47	)		0.64			0.14
Total increase (decrease) from investment operations		(0.42	)		0.48			0.06			1.22			0.47
Less dividends and distributions:
From net investment income		(0.46	)		(0.51	)		(0.53	)		(0.58	)		(0.33	)
From net realized gain		–			–			(0.30	)		(0.19	)		–
Total dividends and distributions		(0.46	)		(0.51	)		(0.83	)		(0.77	)		(0.33	)
Net asset value, at end of year	$	8.91		$	9.79		$	9.82		$	10.59		$	10.14
Total investment return (3)		(4.39	)%		5.03	%		0.61	%		12.24	%		4.85	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	89		$	98		$	98		$	118		$	101
Ratio of total expenses (before reductions and reimbursements) to average net assets		7.31	%		7.14	%		6.43	%		6.18	%		7.30	%(5)
Ratio of net expenses to average net assets (6)		1.75	%		1.75	%		1.75	%		1.75	%		1.73	%(5)
Ratio of net investment income to average net assets		4.78	%		5.27	%		5.17	%		5.50	%		5.08	%(5)
Portfolio turnover rate		80.66	%		55.98	%		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.

72

Barings U.S. High Yield Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS I
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			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	$	9.79		$	9.82		$	10.59		$	10.14		$	10.00
Income from investment operations:
Net investment income (2)		0.55			0.61			0.63			0.68			0.40
Net realized and unrealized gain (loss)		(0.87	)		(0.03	)		(0.47	)		0.64			0.13
Total increase (decrease) from investment operations		(0.32	)		0.58			0.16			1.32			0.53
Less dividends and distributions:
From net investment income		(0.56	)		(0.61	)		(0.63	)		(0.68	)		(0.39	)
From net realized gain		–			–			(0.30	)		(0.19	)		–
Total dividends and distributions		(0.56	)		(0.61	)		(0.93	)		(0.87	)		(0.39	)
Net asset value, at end of year	$	8.91		$	9.79		$	9.82		$	10.59		$	10.14
Total investment return (3)		(3.43	)%		6.07	%		1.61	%		13.36	%		5.53	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	11,046		$	12,135		$	14,816		$	15,720		$	14,863
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.11	%		1.11	%		1.28	%		1.36	%		1.38	%(5)
Ratio of net expenses to average net assets (6)		0.75	%		0.75	%		0.75	%		0.75	%		0.74	%(5)
Ratio of net investment income to average net assets		5.78	%		6.28	%		6.16	%		6.50	%		6.11	%(5)
Portfolio turnover rate		80.66	%		55.98	%		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 0.75% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

73

Barings U.S. High Yield Fund 2020 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)

	CLASS Y
	FOR THE YEAR ENDED JUNE 30, 2020			FOR THE YEAR ENDED JUNE 30, 2019			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	$	9.79		$	9.82		$	10.58		$	10.14		$	10.00
Income from investment operations:
Net investment income (2)		0.54			0.61			0.62			0.68			0.39
Net realized and unrealized gain (loss)		(0.86	)		(0.03	)		(0.45	)		0.63			0.14
Total increase (decrease) from investment operations		(0.32	)		0.58			0.17			1.31			0.53
Less dividends and distributions:
From net investment income		(0.56	)		(0.61	)		(0.63	)		(0.68	)		(0.39	)
From net realized gain		–			–			(0.30	)		(0.19	)		–
Total dividends and distributions		(0.56	)		(0.61	)		(0.93	)		(0.87	)		(0.39	)
Net asset value, at end of year	$	8.91		$	9.79		$	9.82		$	10.58		$	10.14
Total investment return (3)		(3.43	)%		6.09	%		1.61	%		13.35	%		5.52	%(4)
Supplemental Data and Ratios
Net assets, end of year (000’s)	$	32,992		$	34,695		$	39,176		$	14,631		$	12,675
Ratio of total expenses (before reductions and reimbursements) to average net assets		1.10	%		1.09	%		1.25	%		1.36	%		1.42	%(5)
Ratio of net expenses to average net assets (6)		0.75	%		0.75	%		0.75	%		0.75	%		0.74	%(5)
Ratio of net investment income to average net assets		5.78	%		6.27	%		6.09	%		6.50	%		6.06	%(5)
Portfolio turnover rate		80.66	%		55.98	%		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 0.75% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

74

Barings Global Floating Rate Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS

June 30, 2020

						SHARES		COST		FAIR VALUE
Equities — 0.3%*:
Common Stocks — 0.3%*:
Beverage, Food and Tobacco — 0.3%*:
CTI Foods Holding Co. LLC(a)							4,657		$495,155		$559,585
Healthcare, Education and Childcare — 0.0%*:
Tunstall Group Holdings Ltd.(a),(b)							469		–		–
Tunstall Group Holdings Ltd.(a),(b)							310		–		–
Total Healthcare, Education and Childcare							779		–		–
Mining, Steel, Iron and Non-Precious Metals — 0.0%*:
Boomerang Tube LLC(a)							1,769		171,860		–
Oil and Gas — 0.0%*:
Fieldwood Energy LLC							6,469		226,415		324
Fieldwood Energy LLC							26,365		568,599		1,318
Sabine Oil & Gas LLC							394		22,597		5,122
Southcross Energy Holdings LP							22		–		–
Southcross Energy Partners LP(a)							22		5,500		–
Templar Energy LLC(a)							8,762		50,647		–
Templar Energy LLC(a)							6,069		56,021		–
Total Oil and Gas							48,103		929,779		6,764
Total Common Stocks							55,308		1,596,794		566,349
Limited Partnership — 0.0%*:
Chemicals, Plastics and Rubber — 0.0%*:
Pinnacle Operating Corp., earnout shares(a)							40,420		–		–
Warrants — 0.0%*:
Diversified/Conglomerate Manufacturing — 0.0%*:
Appvion Holdings Corp. (exp. June 13, 2023)(a)							449		–		–
Appvion Holdings Corp. (exp. June 13, 2023)(a)							449		–		–
Total Diversified/Conglomerate Manufacturing							898		–		–
Total Warrants							898		–		–
Total Equities							96,626		1,596,794		566,349
	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 93.9%*:
Bank Loans — 88.2%*(c):
Aerospace and Defense — 0.2%*:
TransDigm, Inc., 1M LIBOR + 2.250%		2.43	%		5/30/2025		492,487		490,739		441,086

See accompanying Notes to the Financial Statements.

75

Barings Global Floating Rate Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Automobile — 1.7%*:
BCA Marketplace plc, LIBOR – GBP + 4.750%(b)		5.45	%		11/13/2026		500,000	$	622,029	$	575,798
DexKo Global, Inc., 1M LIBOR + 3.500%		4.50			7/24/2024		303,437		305,039		282,767
Garrett LX III S.a r.l., EURIBOR + 2.750%(b)		3.50			9/27/2025		818,666		892,306		856,537
Panther BF Aggregator 2 LP, 1M LIBOR + 3.500%		3.68			4/30/2026		1,139,537		1,131,825		1,082,560
US Farathane LLC, 1M LIBOR + 3.500%		4.50			12/23/2021		1,116,473		1,119,015		831,772
Total Automobile							3,878,113		4,070,214		3,629,434
Beverage, Food and Tobacco — 1.8%*:
Accolades Wines, LIBOR – GBP + 4.750%(b)		4.84			5/23/2025		500,000		661,740		556,561
CTI Foods Holding Co, LLC, 3M LIBOR + 9.000%(a)		10.77			5/3/2024		198,688		198,688		186,767
CTI Foods Holding Co, LLC, 3M LIBOR + 7.000%(a)		8.77			5/3/2024		310,064		305,342		310,064
Deoleo S.A., EURIBOR + 4.000%(b)		5.00			6/24/2025		153,876		173,503		148,676
Deoleo S.A., EURIBOR + 3.000%(b)		3.50			6/24/2026		66,975		75,517		82,018
Deoleo S.A.(a),(b)		Zero Coupon			4/30/2021		231,063		50,768		–
IRB Holding Corp., 6M LIBOR + 2.750%		3.75			2/5/2025		2,556,391		2,562,245		2,354,615
Sunshine Investments B.V., 2M LIBOR + 3.250%(b)		3.67			3/28/2025		155,877		155,347		151,201
Total Beverage, Food and Tobacco							4,172,934		4,183,150		3,789,902
Broadcasting and Entertainment — 5.9%*:
A-L Parent LLC, 3M USD LIBOR		3.43			12/1/2023		1,989,691		1,840,281		1,481,325
AP NMT Acquisition B.V., 3M LIBOR + 5.750%(b)		7.20			8/13/2021		2,040,539		2,025,459		1,992,077
AP NMT Acquisition B.V., 3M LIBOR + 9.000%(b)		10.44			8/13/2022		2,182,720		2,173,978		2,139,066
AP NMT Acquisition B.V., EURIBOR + 6.000%(b)		7.00			8/13/2021		513,175		629,870		567,904
AVSC Holding Corp., 3M LIBOR + 4.500%, 6M LIBOR + 4.500%3M LIBOR + 4.500%, 6M LIBOR + 4.500%		5.50			10/15/2026		511,695		502,425		358,186
Banijay Entertainment S.A.S, 1M LIBOR + 3.750%(b)		4.10			3/4/2025		1,312,309		1,316,248		1,240,132
Clear Channel Outdoor Holdings, Inc., 3M LIBOR + 3.500%		4.26			8/21/2026		1,488,750		1,482,203		1,345,830
CSC Holdings, LLC, 1M LIBOR + 2.250%		2.43			7/17/2025		1,162,473		1,150,180		1,097,084
Imagina Media Audiovisual, S.L., EURIBOR + 4.500%(b)		4.75			6/26/2025		500,000		571,630		490,126
Imagina Media Audiovisual, S.L., EURIBOR + 7.500%(b)		7.50			12/26/2024		500,000		549,752		413,942
Radiate Holdco, LLC, 1M LIBOR + 3.000%		3.75			2/1/2024		546,730		541,702		520,760
Technicolor S.A., EURIBOR + 3.000%(b)		3.00			12/6/2023		500,000		539,004		272,449

See accompanying Notes to the Financial Statements.

76

Barings Global Floating Rate Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Broadcasting and Entertainment (Continued)
Terrier Media Buyer, Inc., 1M LIBOR + 4.250%		4.43	%		12/17/2026		712,271	$	708,971	$	677,847
Total Broadcasting and Entertainment							13,960,353		14,031,703		12,596,728
Buildings and Real Estate — 3.6%*:
Core & Main L.P., 3M LIBOR + 2.750%, 6M LIBOR + 2.750%		3.75			8/1/2024		1,958,683		1,963,915		1,861,356
GYP Holdings III Corp., 1M LIBOR + 2.750%		2.93			6/1/2025		2,209,185		2,204,568		2,129,101
Quikrete Holdings, Inc., 1M LIBOR + 2.500%		2.68			2/1/2027		1,492,500		1,492,806		1,431,875
SRS Distribution, Inc., 6M LIBOR + 3.000%		4.32			5/23/2025		2,410,460		2,398,855		2,272,462
Total Buildings and Real Estate							8,070,828		8,060,144		7,694,794
Cargo Transport — 0.8%*:
Kenan Advantage Group, Inc., 1M LIBOR + 3.000%		4.00			7/31/2022		1,909,854		1,911,746		1,718,067
Total Cargo Transport							1,909,854		1,911,746		1,718,067
Chemicals, Plastics and Rubber — 6.0%*:
Allnex (Luxembourg) & Cy S.C.A., 3M LIBOR + 3.250%(b)		4.00			9/13/2023		357,900		357,078		337,232
Allnex USA, Inc., 3M LIBOR + 3.250%		4.00			9/13/2023		269,638		269,018		254,067
Associated Asphalt Partners LLC, 1M LIBOR + 5.250%		6.25			4/5/2024		217,746		217,154		155,144
Colouroz Investment 1 GmbH, EURIBOR + 3.000%(b)		3.75			9/7/2021		322,821		383,239		318,804
Consolidated Energy Finance, S.A., 3M LIBOR + 2.500%		2.69			5/7/2025		2,469,792		2,409,639		2,235,162
Diamond (BC) B.V., EURIBOR + 3.250%		3.25			9/6/2024		977,450		1,142,176		1,018,547
Flint Group GmbH, EURIBOR + 3.000%(b)		3.75			9/7/2021		749,939		866,777		740,607
Flint Group GmbH, 3M LIBOR + 3.000%(b)		4.02			9/7/2021		521,271		510,928		447,970
Flint Group US LLC, 3M LIBOR + 3.000%(b)		4.02			9/7/2021		3,028,261		2,968,546		2,602,427
GrafTech Finance, Inc., 1M LIBOR + 3.500%		4.50			2/12/2025		2,391,441		2,373,085		2,323,691
Novacap S.A., EURIBOR + 3.500%(b)		3.50			6/22/2023		1,000,000		1,137,106		1,042,046
Polar US Borrower, LLC, 3M LIBOR + 4.750%		4.93			10/15/2025		827,920		827,920		778,244
Solenis Holdings LLC, 3M LIBOR + 4.000%		4.36			6/26/2025		628,526		624,013		601,160
Total Chemicals, Plastics and Rubber							13,762,705		14,086,679		12,855,101
Containers, Packaging and Glass — 5.4%*:
Albea Beauty Holdings S.A., 3M LIBOR + 3.000%(b)		4.00			4/22/2024		202,751		202,591		188,559
Berry Global, Inc., 1M LIBOR + 2.000%		2.18			7/1/2026		736,889		738,026		702,808
BWAY Holding Co., 3M LIBOR + 3.250%		4.56			4/3/2024		2,930,962		2,919,669		2,624,442
Flex Acquisition Co., Inc., 3M LIBOR + 3.000%		4.00			12/29/2023		1,412,099		1,421,016		1,346,281
Flex Acquisition Co., Inc., 3M LIBOR + 3.2500%		3.55			6/29/2025		852,140		827,311		801,011

See accompanying Notes to the Financial Statements.

77

Barings Global Floating Rate Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Containers, Packaging and Glass (Continued)
ProAmpac PG Borrower LLC, 1M LIBOR + 3.500%, 2M LIBOR + 3.500%, 3M LIBOR + 3.500%		4.50	%		11/20/2023		1,221,173	$	1,221,279	$	1,161,640
ProAmpac PG Borrower LLC, 3M LIBOR + 8.500%		9.50			11/18/2024		750,000		743,825		656,250
Reynolds Consumer Products LLC, 1M LIBOR + 1.750%		1.93			2/4/2027		283,899		283,563		273,099
Reynolds Group Holdings, Inc., 1M LIBOR + 2.750%		2.93			2/5/2023		1,460,649		1,464,978		1,391,853
Roy Bidco ApS, EURIBOR + 3.500%(b)		3.50			8/23/2024		1,000,000		1,154,609		1,040,922
Trident TPI Holdings, Inc., 3M LIBOR + 3.250%		4.07			10/17/2024		1,492,330		1,473,698		1,421,445
Total Containers, Packaging and Glass							12,342,892		12,450,565		11,608,310
Diversified/Conglomerate Manufacturing — 3.1%*:
Amer Sports Oyj, EURIBOR + 4.500%(b)		4.50			3/30/2026		500,000		563,553		505,401
LSF10 XL Bidco S.C.A., EURIBOR + 4.000%(b)		4.00			10/12/2026		1,500,000		1,633,650		1,569,860
LTI Holdings, Inc., 1M LIBOR + 3.500%		3.68			9/6/2025		872,824		875,704		739,404
Project Alpha Intermediate Holding, Inc., 6M LIBOR + 3.500%		5.38			4/26/2024		1,358,582		1,360,174		1,301,969
SGB-SMIT Management GmbH, EURIBOR + 4.500%, PIK(b)		0.50-4.50			7/18/2024		501,849		502,289		239,626
Wilsonart LLC, 3M LIBOR + 3.250%		4.25			12/19/2023		594,149		594,497		571,685
Winebow Group, Inc. (The), 1M LIBOR + 3.750%		4.75			7/1/2021		2,313,288		2,249,529		1,732,075
Total Diversified/Conglomerate Manufacturing							7,640,692		7,779,396		6,660,020
Diversified/Conglomerate Service — 11.5%*:
Allied Universal Holdco LLC, 1M LIBOR + 4.250%		4.43			7/10/2026		526,775		522,836		510,861
Almonde, Inc., 3M LIBOR + 7.250%		8.25			6/13/2025		6,482		6,593		5,582
Capri Finance LLC, 3M LIBOR + 3.000%(b)		3.76			11/1/2024		1,135,028		1,127,471		1,085,371
Cornerstone OnDemand, Inc., 2M LIBOR + 4.250%		5.35			4/22/2027		500,000		485,202		491,565
Cvent, Inc., 3M USD LIBOR		3.93			11/29/2024		1,366,206		1,005,898		1,167,532
EAB Global, Inc., 3M LIBOR + 3.750%		4.89			11/15/2024		740,064		737,745		699,361
Financial & Risk US Holdings, Inc., 1M LIBOR + 3.250%		3.43			10/1/2025		980,025		950,684		956,260
Finastra USA, Inc., 3M LIBOR + 3.500%, 6M LIBOR + 3.500%		4.50			6/13/2024		3,450,922		3,282,357		3,008,583
I-Logic Technologies Bidco Ltd., 3M LIBOR + 2.750%		3.82			12/21/2024		1,008,009		1,011,850		957,608
Informatica LLC, 1M LIBOR + 3.250%		3.43			2/25/2027		997,500		992,745		952,612

See accompanying Notes to the Financial Statements.

78

Barings Global Floating Rate Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Diversified/Conglomerate Service (Continued)
Informatica LLC, 1M LIBOR + 7.125%		7.13	%		2/25/2025		350,242	$	348,605	$	349,804
Kronos, Inc., 1M LIBOR + 3.000%		3.18			11/1/2023		2,056,203		2,059,931		2,051,700
Men’s Wearhouse, Inc. (The), 1M LIBOR + 3.250%		4.25			4/9/2025		133,179		113,374		21,309
MH Sub I LLC, 3M LIBOR + 3.750%		4.82			9/13/2024		2,020,284		2,013,567		1,940,624
Mitchell International, Inc., 1M LIBOR + 3.250%		3.43			11/29/2024		994,911		992,630		925,894
Project Leopard Holdings, Inc., 1M LIBOR + 4.500%		5.50			7/7/2023		1,468,937		1,473,577		1,429,761
Surf Holdings, LLC, 3M LIBOR + 3.500%(b)		3.83			3/5/2027		184,391		183,951		176,357
TMF Group Holding B.V., EURIBOR + 3.250%(b)		3.25			5/5/2025		500,000		584,716		512,995
Ultimate Software Group, Inc. (The), 1M LIBOR + 4.000%		4.75			5/4/2026		1,000,000		985,000		986,410
Verisure Holding AB, EURIBOR + 3.000%(b)		3.00			10/20/2022		2,700,000		3,099,204		2,946,237
Verisure Holding AB, EURIBOR + 3.500%(b)		3.50			10/21/2022		500,000		566,875		548,599
Vertafore, Inc., 1M LIBOR + 3.250%		3.43			7/2/2025		1,970,000		1,969,334		1,853,041
Vertafore, Inc., 1M LIBOR + 7.250%		7.43			7/2/2026		1,000,000		992,454		981,070
Total Diversified/Conglomerate Service							25,589,158		25,506,599		24,559,136
Electronics — 3.6%*:
EXC Holdings III Corp., 3M LIBOR + 3.500%		4.50			12/2/2024		484,741		488,402		471,813
Greeneden U.S. Holdings II LLC, 3M USD LIBOR		3.43			12/1/2023		1,484,502		1,491,769		1,425,923
Omnitracs, Inc., 3M LIBOR + 2.750%		3.05			3/21/2025		1,472,690		1,470,445		1,381,015
Renaissance Holding Corp., 3M LIBOR + 3.250%		4.01			5/30/2025		733,772		733,772		704,663
RP Crown Parent LLC, 1M LIBOR + 2.750%		3.75			10/12/2023		969,647		969,138		939,346
SS&C Technologies Inc., 1M LIBOR + 1.750%		1.93			4/16/2025		472,579		471,691		449,933
Tibco Software Inc., 1M LIBOR + 7.250%		7.43			3/3/2028		385,440		383,587		369,302
Veritas Bermuda Ltd., EURIBOR + 4.500%		5.50			1/27/2023		2,031,716		2,118,460		1,975,784
Total Electronics							8,035,087		8,127,264		7,717,779
Finance — 1.7%*:
Deerfield Dakota Holding LLC, 1M LIBOR + 8.000%		9.00			3/6/2027		1,000,000		985,396		947,500
Deerfield Dakota Holding LLC, 1M LIBOR + 0.080%		4.75			4/9/2027		332,364		325,717		322,393
NFP Corp., 1M LIBOR + 3.250%		3.43			2/15/2027		1,491,335		1,484,283		1,386,941
Tempo Acquisition LLC, 1M LIBOR + 2.750%		2.93			5/1/2024		1,084,416		1,087,219		1,027,484
Total Finance							3,908,115		3,882,615		3,684,318

See accompanying Notes to the Financial Statements.

79

Barings Global Floating Rate Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Healthcare, Education and Childcare — 13.1%*:
Advanz Pharma Corp., 6M LIBOR + 5.500%(b)		6.57	%		9/6/2024		2,267,750	$	2,241,143	$	2,095,401
Advanz Pharma Corp., EURIBOR + 5.250%(b)		6.25			9/6/2024		482,500		558,802		504,820
Aenova Holding GmbH, EURIBOR + 5.000%(b)		5.00			3/6/2025		500,000		536,583		550,869
Amneal Pharmaceuticals LLC, 1M LIBOR + 3.500%		3.69			5/4/2025		1,484,845		1,392,351		1,353,065
Arbor Pharmaceuticals, Inc., 1M LIBOR + 5.000%		6.00			7/5/2023		1,394,523		1,391,288		1,265,097
Auris Luxembourg III Sarl, 1M LIBOR + 3.750%		3.93			2/27/2026		987,429		983,407		859,063
Aveanna Healthcare, LLC, 6M LIBOR + 5.500%		6.50			3/18/2024		1,277,146		1,266,074		1,130,811
Change Healthcare Holdings LLC, 1M LIBOR + 2.500%, 3M LIBOR + 2.500%		3.50			3/1/2024		1,346,078		1,342,931		1,290,176
CTC AcquiCo GmbH, 3M LIBOR + 2.750%(b)		3.11			3/7/2025		1,250,000		1,230,354		1,171,875
Endo Luxembourg Finance Co. I S.a r.l., 1M LIBOR + 4.250%		5.00			4/29/2024		2,147,571		2,134,795		2,024,085
Envision Healthcare Corp., 1M LIBOR + 3.750%		3.93			10/10/2025		595,421		322,869		388,512
Ethypharm S.A., LIBOR – GBP + 4.750%(b)		5.48			7/21/2023		500,000		619,010		595,159
Fugue Finance B.V.(b)		3.25			9/1/2024		500,000		539,599		530,252
Horizon Therapeutics USA, Inc., 1M LIBOR + 2.250%		2.44			5/22/2026		494,267		496,156		477,585
Indivior Finance Sarl, 3M LIBOR + 4.500%		5.50			12/18/2022		784,337		778,630		674,530
Lifescan Global Corp., 6M LIBOR + 6.000%		7.18			10/1/2024		358,000		350,360		322,558
Mallinckrodt International Finance S.A., 3M LIBOR + 2.750%		3.50			9/24/2024		357,215		355,619		266,125
Nidda Healthcare Holding AG, LIBOR – GBP + 4.500%(b)		4.76			8/21/2026		500,000		652,788		596,317
Nidda Healthcare Holding AG, EURIBOR + 3.500%(b)		3.50			8/21/2026		1,000,000		1,084,445		1,076,313
Ortho-Clinical Diagnostics SA, 1M LIBOR + 3.250%		3.43			6/30/2025		2,393,789		2,378,726		2,233,716
Parexel International Corp., 1M LIBOR + 2.750%		2.93			9/27/2024		2,266,045		2,225,032		2,142,840
RegionalCare Hospital Partners Holdings, Inc., 1M LIBOR + 3.750%		3.93			11/17/2025		857,941		862,991		802,063
Rodenstock GmbH, EURIBOR + 5.250%(b)		5.25			6/5/2026		500,000		557,003		524,186
Sunshine Luxembourg VII S.a.r.l., 6M LIBOR + 4.250%(b)		5.32			10/1/2026		1,475,589		1,483,948		1,409,808
Surgery Center Holdings, Inc., 1M LIBOR + 3.250%		4.25			9/3/2024		1,492,327		1,492,843		1,305,249
Team Health Holdings, Inc., 1M LIBOR + 2.750%		3.75			2/6/2024		1,947,173		1,913,463		1,483,512

See accompanying Notes to the Financial Statements.

80

Barings Global Floating Rate Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Healthcare, Education and Childcare (Continued)
Tunstall Group Holdings Ltd., LIBOR – GBP + 5.000%, PIK(b)		4.25	%		10/16/2020		523,355	$	821,655	$	518,792
Unilabs Holding AB, EURIBOR + 3.000%(b)		3.00			4/19/2024		500,000		575,316		536,707
Total Healthcare, Education and Childcare							30,183,301		30,588,181		28,129,486
Home and Office Furnishings, Housewares, and Durable Consumer Products — 1.0%*:
Serta Simmons Bedding LLC, 2M LIBOR + 7.500%		8.50			8/10/2023		1,521,420		1,521,420		1,267,845
SIWF Holdings Inc., 6M LIBOR + 4.250%		5.32			6/15/2025		982,456		989,468		913,684
Total Home and Office Furnishings, Housewares, and Durable Consumer Products							2,503,876		2,510,888		2,181,529
Hotels, Motels, Inns and Gaming — 3.7%*:
Caesars Resort Collection LLC, 1M LIBOR + 4.500%		4.80			6/19/2025		732,742		710,760		687,408
Caesars Resort Collection LLC, 1M LIBOR + 2.750%		2.93			12/23/2024		1,973,365		1,967,783		1,749,506
Compass IV Ltd., EURIBOR + 4.500%(b)		4.50			4/30/2025		500,000		599,392		494,621
Compass IV Ltd., EURIBOR + 8.000%(b)		9.00			4/30/2026		500,000		589,946		367,244
Golden Nugget, Inc., 1M LIBOR + 2.500%		3.25			10/4/2023		314,859		255,036		248,739
HNVR Holdco Ltd., EURIBOR + 3.250%(b)		4.25			9/12/2023		500,000		408,620		445,788
Penn National Gaming, Inc., 3M LIBOR + 2.250%		3.00			10/15/2025		1,995,608		1,991,483		1,855,356
Richmond UK Bidco Ltd., LIBOR—GBP + 4.250%(b)		4.98			3/3/2024		482,094		608,991		536,880
Rouge Beachhouse B.V., EURIBOR + 3.750%(b)		3.75			9/4/2025		500,000		586,575		528,045
Tackle Sarl, EURIBOR + 3.750%(b)		3.50			8/8/2022		974,537		1,091,204		1,056,176
Total Hotels, Motels, Inns and Gaming							8,473,205		8,809,790		7,969,763
Insurance — 2.7%*:
Acrisure LLC, 3M LIBOR + 3.500%		3.68			2/15/2027		997,500		995,130		940,144
Alliant Holdings Intermediate LLC, 1M LIBOR + 2.750%		2.93			5/9/2025		2,258,674		2,265,823		2,136,005
AssuredPartners, Inc., 1M LIBOR + 3.500%		3.68			2/12/2027		1,757,102		1,765,409		1,676,784
Confie Seguros Holding II Co., 1M LIBOR + 8.500%		8.67			10/31/2025		1,633,626		1,608,647		1,095,886
Total Insurance							6,646,902		6,635,009		5,848,819
Leisure, Amusement, Entertainment — 7.4%*:
AMC Entertainment Holdings, Inc., 3M LIBOR + 3.000%		4.08			4/22/2026		1,269,450		987,264		917,977
Columbus Capital BV, EURIBOR + 3.750%(b)		3.75			3/5/2027		500,000		559,415		460,635

See accompanying Notes to the Financial Statements.

81

Barings Global Floating Rate Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Leisure, Amusement, Entertainment (Continued)
Crown Finance US, Inc., 3M LIBOR + 2.250%		3.32	%		2/28/2025		2,078,082	$	2,058,980	$	1,555,632
Delta 2 (LUX) Sarl, 1M LIBOR + 2.500%(b)		3.50			2/1/2024		1,394,967		1,397,888		1,324,354
Dorna Sports, S.L., EURIBOR + 2.750%(b)		2.75			5/3/2024		978,282		1,093,636		1,045,980
International Park Holdings B.V., EURIBOR + 3.250%(b)		3.25			6/13/2024		500,000		580,575		495,042
Metro-Goldwyn-Mayer, Inc., 1M LIBOR + 4.500%		5.50			7/3/2026		3,000,000		2,980,395		2,865,000
Parques Reunidos SAU, EURIBOR + 3.750%(b)		3.75			9/16/2026		500,000		545,907		469,460
Playtika Holding Corp., 3M LIBOR + 6.000%		7.07			12/10/2024		568,750		558,634		567,328
PUG LLC, 1M LIBOR + 3.500%		3.68			2/12/2027		976,706		972,075		846,071
SeaWorld Parks & Entertainment, Inc., 1M LIBOR + 3.000%		3.75			3/31/2024		2,520,677		2,514,116		2,220,717
Vacalians Group, EURIBOR + 4.000%(b)		4.00			12/4/2025		500,000		565,030		406,218
Vue International Bidco PLC, EURIBOR + 4.250%(b)		4.25			7/3/2026		423,797		473,851		407,991
William Morris Endeavor Entertainment, LLC, 3M LIBOR + 2.750%		2.93			5/18/2025		2,291,007		2,266,261		1,860,618
WMG Acquisition Corp., 1M LIBOR + 2.125%		2.30			11/1/2023		500,000		499,587		485,140
Total Leisure, Amusement, Entertainment							18,001,718		18,053,614		15,928,163
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 1.8%*:
Alison Bidco S.a.r.l., 3M LIBOR + 4.500%(b)		5.50			8/29/2021		121,536		121,334		88,924
Alison Bidco Sarl, 3M LIBOR + 4.500%(b)		5.50			8/29/2021		971,081		1,106,909		828,633
Apex Tool Group, LLC, 1M LIBOR + 5.250%		6.50			8/1/2024		1,344,045		1,322,316		1,198,808
Titan Acquisition Ltd., 3M LIBOR + 3.000%(b)		3.36			3/28/2025		1,948,640		1,947,116		1,777,414
Total Machinery Non-Agriculture, Non-Construction, Non-Electronic							4,385,302		4,497,675		3,893,779
Mining, Steel, Iron and Non-Precious Metals — 0.3%*:
Boomerang Tube, LLC, 1M LIBOR + 5.000%(a)		5.18			6/30/2022		62,600		62,600		7,512
US Silica Co., 1M LIBOR + 4.000%		5.00			5/1/2025		864,758		872,333		613,053
Total Mining, Steel, Iron and Non-Precious Metals							927,358		934,933		620,565
Oil and Gas — 0.6%*:
Fieldwood Energy LLC, 3M LIBOR + 7.250%		Zero Coupon			4/11/2023		864,968		558,463		5,190
Gulf Finance LLC, 1M LIBOR + 5.250%, 3M LIBOR + 5.250%		6.25			8/25/2023		1,623,488		1,534,776		1,039,032
KCA Deutag Alpha Ltd., 3M LIBOR + 6.750%(b)		8.20			2/28/2023		491,250		489,853		231,708
Seadrill Partners Finco LLC, 3M LIBOR + 6.000%		7.00			2/21/2021		2,714		2,498		463
Total Oil and Gas							2,982,420		2,585,590		1,276,393

See accompanying Notes to the Financial Statements.

82

Barings Global Floating Rate Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Personal and Non-Durable Consumer Products Mfg. Only — 0.6%*:
Coty Inc., 1M LIBOR + 2.250%		2.43	%		4/7/2025		1,478,659	$	1,437,332	$	1,323,400
Personal Transportation — 1.5%*:
American Airlines, Inc., 1M LIBOR + 2.000%		2.18			4/28/2023		1,969,283		1,959,974		1,550,810
Kestrel Bidco, Inc., 1M LIBOR + 3.000%(b)		4.00			12/11/2026		2,116,872		2,119,940		1,691,741
Total Personal Transportation							4,086,155		4,079,914		3,242,551
Printing and Publishing — 1.0%*:
Houghton Mifflin Harcourt Publishing Co., 1M LIBOR + 6.250%		7.25			11/22/2024		295,820		285,351		275,852
Springer Nature Deutschland GmbH, EURIBOR + 3.250%(b)		3.75			8/14/2024		1,658,998		1,851,141		1,811,956
Total Printing and Publishing							1,954,818		2,136,492		2,087,808
Retail Stores — 3.7%*:
Bass Pro Group, LLC, 3M LIBOR + 5.000%		6.07			9/25/2024		1,479,721		1,451,324		1,420,000
EG America LLC, 3M LIBOR + 4.000%(b)		5.07			2/7/2025		1,080,764		1,077,096		1,012,319
EG Group Ltd., 6M LIBOR + 4.000%(b)		5.07			2/7/2025		219,993		219,625		206,061
Eyemart Express LLC, 1M LIBOR + 3.000%		4.00			8/4/2024		982,323		985,361		891,458
Harbor Freight Tools USA, Inc., 1M LIBOR + 2.500%		3.25			8/18/2023		1,984,302		1,943,844		1,906,180
Kirk Beauty One GmbH, EURIBOR + 3.500%(b)		3.50			8/12/2022		2,250,001		2,605,050		2,039,843
Thom Europe S.A.S, EURIBOR + 4.000%(b)		4.25			8/7/2024		500,000		577,481		514,001
Total Retail Stores							8,497,104		8,859,781		7,989,862
Telecommunications — 4.9%*:
Banff Merger Sub, Inc., 1M LIBOR + 4.250%		4.43			10/2/2025		985,000		977,599		929,594
CenturyLink, Inc., 1M LIBOR + 2.250%		2.43			3/15/2027		547,134		546,487		514,612
CommScope, Inc., 1M LIBOR + 3.250%		3.43			4/6/2026		1,992,408		1,986,841		1,882,826
Digicel International Finance Ltd., 3M LIBOR + 3.250%(b)		4.25			5/28/2024		152,210		152,992		127,324
ION Trading Technologies Sarl, 3M LIBOR + 4.000%		5.07			11/21/2024		1,399,924		1,390,999		1,339,923
ION Trading Technologies Sarl, EURIBOR + 3.250%		4.25			11/21/2024		1,368,793		1,552,359		1,478,524
Syniverse Holdings, Inc., 3M LIBOR + 5.000%		6.87			3/9/2023		1,118,762		1,124,449		791,725
Syniverse Holdings, Inc., 3M LIBOR + 9.000%		10.87			3/11/2024		2,175,482		1,801,120		1,087,741
Virgin Media SFA Finance Ltd., LIBOR—GBP + 3.250%(b)		3.34			11/15/2027		1,250,000		1,725,791		1,489,832
Zayo Group Holdings, Inc., 1M LIBOR + 3.000%		3.18			3/9/2027		963,903		961,599		912,739
Total Telecommunications							11,953,616		12,220,236		10,554,840

See accompanying Notes to the Financial Statements.

83

Barings Global Floating Rate Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Utilities — 0.6%*:
Calpine Corp., 1M LIBOR + 2.000%		2.18	%		8/12/2026		221,180	$	220,212	$	212,333
ExGen Renewables IV, LLC, 3M LIBOR + 3.000%		4.00			11/28/2024		1,189,022		1,179,256		1,150,378
Total Utilities							1,410,202		1,399,468		1,362,711
Total Bank Loans							207,247,854		209,329,717		189,364,344
Corporate Bonds — 5.7%*:
Automobile — 0.4%*:
AA Bond Co. Ltd.(b)		5.50			7/31/2043		700,000		919,426		737,091
RAC Bond Co. PLC(b)		5.00			11/6/2022		200,000		253,840		231,640
Total Automobile							900,000		1,173,266		968,731
Broadcasting and Entertainment — 0.5%*:
Tele Columbus AG(b)		3.88			5/2/2025		800,000		865,628		835,884
VTR Finance NV(b),(d)		6.88			1/15/2024		200,000		201,658		204,584
Total Broadcasting and Entertainment							1,000,000		1,067,286		1,040,468
Containers, Packaging and Glass — 0.1%*:
Bormioli Pharma Bidco SpA, 1M LIBOR + 3.500%(b)		3.50	(e)		11/15/2024		100,000		103,614		100,160
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu(d)		5.13			7/15/2023		178,000		178,000		179,351
Total Containers, Packaging and Glass							278,000		281,614		279,511
Diversified/Conglomerate Manufacturing — 0.2%*:
Appvion ESC, 3M EURIBOR + 4.125%(a),(d),(f)		9.00			6/1/2025		460,000		460,000		–
Fabric BC SpA, 3M EURIBOR + 4.125%(b)		4.13	(e)		8/31/2026		100,000		109,975		109,092
Galapagos S.A., 3M EURIBOR + 4.750%(a),(b),(f)		4.33	(e)		6/15/2021		20,000		27,263		–
Mangrove Luxco III Sarl(b)		7.78			10/9/2025		265,415		250,067		267,488
Total Diversified/Conglomerate Manufacturing							845,415		847,305		376,580
Diversified/Conglomerate Service — 0.8%*:
Algeco Global Finance PLC, 3M EURIBOR + 6.250%(b)		6.25	(e)		2/15/2023		150,000		183,340		156,728
Algeco Global Finance PLC(b)		6.50			2/15/2023		650,000		713,124		700,246
Carlson Travel, Inc., 3M EURIBOR + 4.750%		4.75	(e)		6/15/2023		1,200,000		1,371,352		807,572
Total Diversified/Conglomerate Service							2,000,000		2,267,816		1,664,546

See accompanying Notes to the Financial Statements.

84

Barings Global Floating Rate Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Electronics — 0.4%*:
Veritas US, Inc./Veritas Bermuda Ltd.(d)		7.50	%		2/1/2023		817,000	$	839,054	$	804,745
Finance — 1.4%*:
Arrow Global Finance PLC(b)		5.13			9/15/2024		1,000,000		1,247,577		1,136,062
Cabot Financial Luxembourg SA(b)		7.50			10/1/2023		300,000		416,529		371,709
Garfunkelux Holdco 3 S.A., 3M EURIBOR + 4.500%(b)		4.50	(e)		9/1/2023		150,000		180,172		145,552
Garfunkelux Holdco 3 S.A.(b)		8.50			11/1/2022		1,050,000		1,404,878		1,222,992
Jerrold Finco PLC(b)		6.13			1/15/2024		100,000		124,555		118,608
Travelex Financing PLC(b),(f)		8.00			5/15/2022		250,000		274,580		66,151
Total Finance							2,850,000		3,648,291		3,061,074
Healthcare, Education and Childcare — 0.1%*:
Tenet Healthcare Corp.		4.63			7/15/2024		255,000		254,318		249,846
Home and Office Furnishings, Housewares, and Durable Consumer Products — 0.1%*:
LSF9 Balta Issuer Sarl(b)		7.75			9/15/2022		445,500		538,949		318,010
Hotels, Motels, Inns and Gaming — 0.3%*:
TVL Finance PLC, 3M GBP LIBOR + 5.375%(b)		6.04	(e)		7/15/2025		600,000		758,972		609,637
Leisure, Amusement, Entertainment — 0.3%*:
CPUK Finance Ltd.(b)		4.88			2/28/2025		600,000		791,482		686,017
Oil and Gas — 0.5%*:
CGG Holding US, Inc.(b),(d)		9.00			5/1/2023		500,000		520,665		505,000
KCA Deutag UK Finance PLC(b),(d),(f)		9.88			4/1/2022		1,000,000		1,010,545		475,000
Total Oil and Gas							1,500,000		1,531,210		980,000
Personal Transportation — 0.1%*:
Naviera Armas S.A., 3M EURIBOR + 6.500%(b)		6.50	(e)		7/31/2023		250,000		291,859		154,481
Naviera Armas SA, 3M EURIBOR + 4.250%(b)		4.25	(e)		11/15/2024		250,000		296,249		148,021
Total Personal Transportation							500,000		588,108		302,502
Retail Stores — 0.3%*:
House of Fraser Funding PLC, 3M GBP LIBOR + 5.750%(b),(f)		5.95	(e)		9/15/2020		300,000		434,213		9,293
Takko Luxembourg 2 SCA(b)		5.38			11/15/2023		1,200,000		1,323,797		572,985
Total Retail Stores							1,500,000		1,758,010		582,278

See accompanying Notes to the Financial Statements.

85

Barings Global Floating Rate Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Utilities — 0.2%*:
Viridian Group Finance Co. PLC/Viridian Power & Energy(b)		4.75	%		9/15/2024		350,000		$437,252		$427,686
Total Corporate Bonds							14,440,915		16,782,933		12,351,631
Total Fixed Income							221,688,769		226,112,650		201,715,975
Total Investments							221,785,395		227,709,444		202,282,324
Other assets and liabilities – 5.8%*											12,427,682
Net Assets – 100.0%											$214,710,006

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.

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

(b) 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	68.3%
United Kingdom	9.1%
Germany	8.6%
Netherlands	3.2%
France	2.8%
Spain	1.9%
Sweden	1.7%
Canada	1.7%
Switzerland	1.6%
Other (Individually less than 1%)	1.1%
Total	100.0%

(c) 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, 2020. 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.

(d) 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.

(e) Variable rate security. The interest rate shown is the rate in effect at June 30, 2020.

(f) Defaulted security.

See accompanying Notes to the Financial Statements.

86

Barings Global Floating Rate Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

A summary of outstanding derivatives at June 30, 2020 is as follows:

Forward Foreign Currency Exchange Contracts to Buy

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED DEPRECIATION
7/14/20	Morgan Stanley & Co.		EUR	2,527,142	$	2,839,961	$	2,859,091	$	(19,130	)
7/14/20	Canadian Imperial Bank of Commerce		EUR	1,019,019		1,145,157		1,148,328		(3,171	)
7/14/20	Morgan Stanley & Co.		GBP	13,579		16,827		17,217		(390	)
Net unrealized depreciation on forward foreign currency exchange contracts to buy									$	(22,691	)

Forward Foreign Currency Exchange Contracts to Sell

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION
7/14/20	Morgan Stanley & Co.		EUR	35,548,971	$	39,949,348	$	40,260,280	$	310,932
7/14/20	Canadian Imperial Bank of Commerce		EUR	666,059		748,506		750,128		1,622
7/14/20	Canadian Imperial Bank of Commerce		GBP	8,462,252		10,486,360		10,756,627		270,267
Net unrealized appreciation on forward foreign currency exchange contracts to sell									$	582,821

Currency Legend

EUR	–	Euro
GBP	–	British Pound Sterling

See accompanying Notes to the Financial Statements.

87

Barings Global Credit Income Opportunities Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS

June 30, 2020

	SHARES		COST		FAIR VALUE
Equities — 0.3%*:
Common Stocks — 0.3%*:
Diversified/Conglomerate Service — 0.0%*:
Innovation Group(a),(b)		403,550		$–		$–
Healthcare, Education and Childcare — 0.0%*:
MModal, Inc.(a)		4,725		10,631		3,213
Tunstall Group Holdings Ltd.(a),(b)		396		–		–
Tunstall Group Holdings Ltd.(a),(b)		261		–		–
Total Healthcare, Education and Childcare		5,382		10,631		3,213
Mining, Steel, Iron and Non-Precious Metals — 0.0%*:
Boomerang Tube LLC(a)		1,769		171,860		–
Oil and Gas — 0.1%*:
Fieldwood Energy LLC		3,698		129,430		185
Fieldwood Energy LLC		15,071		325,034		754
Jupiter Resources, Inc.(b)		120,272		581,286		90,204
Southcross Energy Holdings LP		11		–		–
Southcross Energy Partners LP(a)		11		2,750		–
Total Oil and Gas		139,063		1,038,500		91,143
Retail Stores — 0.2%*:
Maxeda DIY B.V.(a),(b)		18,859,871		373,737		423,781
Maxeda DIY B.V.(a),(b)		10,446		–		55,277
Total Retail Stores		18,870,317		373,737		479,058
Total Common Stocks		19,420,081		1,594,728		573,414
Limited Partnership — 0.0%*:
Chemicals, Plastics and Rubber — 0.0%*:
Pinnacle Operating Corp., earnout shares(a)		48,505		–		–
Warrants — 0.0%*:
Diversified/Conglomerate Manufacturing — 0.0%*:
Appvion Holdings Corp. (exp. June 13, 2023)(a)		488		–		–
Appvion Holdings Corp. (exp. June 13, 2023)(a)		488		–		–
Total Diversified/Conglomerate Manufacturing		976		–		–
Total Warrants		976		–		–
Total Equities		19,469,562		1,594,728		573,414

See accompanying Notes to the Financial Statements.

88

Barings Global Credit Income Opportunities Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 91.9%*:
Asset-Backed Securities — 9.3%*:
CDO/CLO — 9.3%*:
Alinea CLO 2018-1 Ltd., 3M USD LIBOR + 6.000%(c)		7.14	(d)%		7/20/2031		1,250,000	$	1,250,000	$	1,074,752
Anchorage Capital CLO 9 Ltd., 3M USD LIBOR + 4.000%(c)		5.22	(d)		7/15/2032		1,250,000		1,224,892		1,200,871
Anchorage Capital CLO Ltd. 2015-6A ER, 3M USD LIBOR + 6.350%(c)		7.57	(d)		7/15/2030		500,000		512,089		451,631
Apidos CLO XXIV, 3M USD LIBOR + 5.800%(c)		6.94	(d)		10/20/2030		1,000,000		1,000,000		859,992
Ares XLVIII CLO, 3M USD LIBOR + 5.200%(c)		6.34	(d)		7/20/2030		800,000		800,000		666,890
Ballyrock CLO 2019-2 Ltd., 3M USD LIBOR + 4.100%(c)		4.48	(d)		11/20/2030		1,000,000		1,000,000		978,272
Blackrock European CLO, 3M USD LIBOR + 5.170%(b)		5.17	(d)		10/15/2031		725,000		803,454		719,105
BlueMountain CLO Ltd. 2014-1A(a),(c)		Zero Coupon			4/30/2026		250,000		243,864		–
Cairn CLO XI DAC, 3M Euribor + 4.150%(b),(c)		4.15	(d)		7/15/2035		1,000,000		1,107,100		1,068,186
CBAM Ltd. 2017-3A E, 3M USD LIBOR + 6.500%(c)		7.63	(d)		10/17/2029		750,000		750,000		654,535
CIFC Funding Ltd. 2017-5A D, 3M USD LIBOR + 6.100%(c)		7.23	(d)		11/16/2030		500,000		500,000		441,474
Elmwood CLO III Ltd., 3M USD LIBOR + 3.850%(c)		5.07	(d)		10/15/2032		500,000		500,000		492,135
Galaxy XXIV CLO Ltd. 2017-24A E, 3M USD LIBOR + 5.500%(c)		6.72	(d)		1/15/2031		700,000		700,000		577,128
Madison Park Funding XIII Ltd. 2014-13A(c)		Zero Coupon			4/19/2030		500,000		429,300		185,701
Madison Park Funding XXVII Ltd., 3M USD LIBOR + 5.000%(c)		6.14	(d)		4/20/2030		500,000		500,000		406,116
Madison Park Funding XXVIII Ltd., 3M USD LIBOR + 7.600%(c)		8.82	(d)		7/15/2030		500,000		495,886		351,424
Magnetite VII Ltd.(c)		Zero Coupon			1/15/2028		2,000,000		1,547,565		836,758
Oak Hill Credit Partners X Ltd. 2014-10A(c)		Zero Coupon			12/12/2030		1,000,000		751,739		354,195
Steele Creek CLO Ltd. 2018-2A E, 3M USD LIBOR + 6.200%(c)		6.59	(d)		8/18/2031		850,000		850,000		613,925
THL Credit Wind River CLO Ltd. 2017-4A E, 3M USD LIBOR + 5.800%(c)		6.18	(d)		11/20/2030		500,000		500,000		422,131
THL Credit Wind River CLO Ltd. 2018-2A E, 3M USD LIBOR + 5.750%(c)		6.97	(d)		7/15/2030		1,450,000		1,450,000		1,170,833
Wellfleet CLO 2018-1 Ltd., 3M USD LIBOR + 5.500%(c)		6.63	(d)		7/17/2031		1,150,000		1,150,000		918,181
Wellfleet CLO Ltd. 2017-3A D, 3M USD LIBOR + 5.550%(c)		6.68	(d)		1/17/2031		1,000,000		1,000,000		779,667
Total CDO/CLO							19,675,000		19,065,889		15,223,902
Total Asset-Backed Securities							19,675,000		19,065,889		15,223,902

See accompanying Notes to the Financial Statements.

89

Barings Global Credit Income Opportunities Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans — 39.8%*(e):
Aerospace and Defense — 0.5%*:
TransDigm, Inc., 1M LIBOR + 2.250%		2.43	%		5/30/2025		984,975	$	981,477	$	882,173
Automobile — 1.3%*:
BCA Marketplace plc, LIBOR – GBP + 4.750%(b)		5.45			11/13/2026		500,000		622,029		575,798
IAA, Inc., 1M LIBOR + 2.250%		2.44			6/28/2026		437,559		436,611		417,322
Panther BF Aggregator 2 LP, 1M LIBOR + 3.500%		3.68			4/30/2026		1,130,139		1,122,305		1,073,632
Total Automobile							2,067,698		2,180,945		2,066,752
Beverage, Food and Tobacco — 0.8%*:
Deoleo S.A.(a),(b)		Zero Coupon			4/30/2021		231,063		50,862		–
Deoleo S.A., EURIBOR + 3.000%(b)		3.50			6/24/2026		66,975		75,517		82,019
Deoleo S.A., EURIBOR + 4.000%(b)		5.00			6/24/2025		153,876		173,503		148,676
IRB Holding Corp., 6M LIBOR + 2.750%		3.75			2/5/2025		1,202,892		1,205,647		1,107,948
Total Beverage, Food and Tobacco							1,654,806		1,505,529		1,338,643
Broadcasting and Entertainment — 3.0%*:
AP NMT Acquisition B.V., EURIBOR + 6.000%(b)		7.00			8/13/2021		382,968		474,953		423,811
AP NMT Acquisition B.V., 3M LIBOR + 5.750%(b)		7.20			8/13/2021		2,151,489		2,128,282		2,100,391
AP NMT Acquisition B.V., 3M LIBOR + 9.000%(b)		10.44			8/13/2022		739,566		732,441		724,774
Clear Channel Outdoor Holdings, Inc., 3M LIBOR + 3.500%		4.26			8/21/2026		554,460		552,021		501,232
CSC Holdings, LLC, 1M LIBOR + 2.500%		2.68			4/15/2027		1,000,000		965,854		946,610
Terrier Media Buyer, Inc., 1M LIBOR + 4.250%		4.43			12/17/2026		261,247		260,037		248,621
Total Broadcasting and Entertainment							5,089,730		5,113,588		4,945,439
Buildings and Real Estate — 0.5%*:
SRS Distribution, Inc., 6M LIBOR + 3.000%		4.32			5/23/2025		852,634		841,621		803,821
Chemicals, Plastics and Rubber — 2.3%*:
Colouroz Investment 1 GmbH, EURIBOR + 3.000%(b)		3.75			9/7/2021		1,323,889		1,572,904		1,307,415
Flint Group GmbH, EURIBOR + 3.000%(b)		3.75			9/7/2021		280,391		333,406		276,901
Novacap S.A., EURIBOR + 3.500%(b)		3.50			6/22/2023		500,000		579,310		521,023
Solenis Holdings LLC, 3M LIBOR + 4.000%		4.36			6/26/2025		243,633		241,884		233,026
Solenis Holdings LLC, 3M LIBOR + 8.500%		8.86			6/26/2026		47,145		46,086		40,702
Starfruit Finco B.V, 1M LIBOR + 3.000%(b)		3.19			10/1/2025		1,487,516		1,487,958		1,392,062
Total Chemicals, Plastics and Rubber							3,882,574		4,261,548		3,771,129
Containers, Packaging and Glass — 2.0%*:
Albea Beauty Holdings S.A., 3M LIBOR + 3.000%(b)		4.00			4/22/2024		67,423		67,369		62,703
Berry Global, Inc., 1M LIBOR + 2.000%		2.18			7/1/2026		589,168		590,077		561,919
BWAY Holding Co., 3M LIBOR + 3.250%		4.56			4/3/2024		1,309,076		1,308,778		1,172,173

See accompanying Notes to the Financial Statements.

90

Barings Global Credit Income Opportunities Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Containers, Packaging and Glass (Continued)
ProAmpac PG Borrower LLC, 1M LIBOR + 3.500%, 2M LIBOR + 3.500%, 3M LIBOR + 3.500%		4.50	%		11/20/2023		498,708	$	472,345	$	474,396
ProAmpac PG Borrower LLC, 3M LIBOR + 8.500%		9.50			11/18/2024		500,000		495,884		437,500
Reynolds Consumer Products LLC, 1M LIBOR + 1.750%		1.93			2/4/2027		110,532		110,401		106,327
Trident TPI Holdings, Inc., 3M LIBOR + 3.250%		4.07			10/17/2024		496,183		486,108		472,615
Total Containers, Packaging and Glass							3,571,090		3,530,962		3,287,633
Diversified/Conglomerate Manufacturing — 1.6%*:
Amer Sports Oyj, EURIBOR + 4.500%(b)		4.50			3/30/2026		600,000		667,660		606,481
LSF10 XL Bidco S.C.A., EURIBOR + 4.000%(b)		4.00			10/12/2026		500,000		544,550		523,287
LTI Holdings, Inc., 1M LIBOR + 3.500%		3.68			9/6/2025		746,587		735,126		632,463
Winebow Group, Inc. (The), 1M LIBOR + 3.750%		4.75			7/1/2021		1,187,368		1,144,734		889,042
Total Diversified/Conglomerate Manufacturing							3,033,955		3,092,070		2,651,273
Diversified/Conglomerate Service — 4.6%*:
EAB Global, Inc., Prime + 2.750%		6.00			11/15/2024		107,435		107,098		101,526
Finastra USA, Inc., 3M LIBOR + 3.500%, 6M LIBOR + 3.500%		4.50			6/13/2024		817,569		819,312		712,772
Hyland Software, Inc., 1M LIBOR + 3.250%		4.00			7/1/2024		984,962		976,643		954,951
Informatica LLC, 1M LIBOR + 3.250%		3.43			2/25/2027		370,338		368,573		353,673
Informatica LLC, 1M LIBOR + 7.125%		7.13			2/25/2025		133,523		132,899		133,356
Innovation Group plc (The), 1M LIBOR + 6.000%(a),(b)		6.00			4/10/2024		83,107		93,380		79,365
Innovation Group plc (The), LIBOR – GBP + 5.000%(a),(b)		5.73			4/9/2024		56,573		73,791		63,090
Innovation Group plc (The), 1M LIBOR + 6.000%(a),(b)		6.00			4/10/2024		164,084		184,366		156,696
Innovation Group plc (The), 1M LIBOR + 8.000%(a),(b)		8.00			4/9/2024		145,020		83,155		35,939
Kronos, Inc., 1M LIBOR + 3.000%		3.18			11/1/2023		495,555		494,659		494,470
MH Sub I LLC, 3M LIBOR + 3.750%		4.82			9/13/2024		986,015		974,003		947,136
Mitchell International, Inc., 1M LIBOR + 3.250%		3.43			11/29/2024		989,873		939,457		921,206
TMF Group Holding B.V., EURIBOR + 6.875%(b)		6.88			5/4/2026		500,000		539,760		424,121
Ultimate Software Group, Inc. (The), 1M LIBOR + 4.000%		4.75			5/4/2026		372,149		366,567		367,092
Vertafore, Inc., 1M LIBOR + 3.250%		3.43			7/2/2025		978,038		965,430		919,971
Vertafore, Inc., 1M LIBOR + 7.250%		7.43			7/2/2026		879,452		872,816		862,804
Total Diversified/Conglomerate Service							8,063,693		7,991,909		7,528,168

See accompanying Notes to the Financial Statements.

91

Barings Global Credit Income Opportunities Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Ecological — 0.1%*:
GFL Environmental Inc., 1M LIBOR + 3.000%, 3M LIBOR + 3.000%(b)		4.00	%		5/30/2025		104,817	$	104,658	$	101,695
Electronics — 2.1%*:
Omnitracs, Inc., 3M LIBOR + 2.750%		3.05			3/21/2025		960,665		962,306		900,863
Renaissance Holding Corp., 3M LIBOR + 3.250%		4.01			5/30/2025		977,475		978,639		938,698
RP Crown Parent LLC, 1M LIBOR + 2.750%		3.75			10/12/2023		717,283		715,598		694,868
Tibco Software Inc., 1M LIBOR + 7.250%		7.43			3/3/2028		146,642		145,937		140,503
Veritas Bermuda Ltd., 3M LIBOR + 4.500%		5.50			1/27/2023		819,600		805,840		755,671
Total Electronics							3,621,665		3,608,320		3,430,603
Finance — 0.5%*:
Deerfield Dakota Holding LLC, 1M LIBOR + 8.000%		9.00			4/7/2028		410,078		404,089		388,548
Tempo Acquisition LLC, 1M LIBOR + 2.750%		2.93			5/1/2024		486,562		487,932		461,018
Total Finance							896,640		892,021		849,566
Healthcare, Education and Childcare — 5.6%*:
Advanz Pharma Corp., 6M LIBOR + 5.500%(b)		6.57			9/6/2024		1,785,250		1,769,505		1,649,571
Aenova Holding GmbH, EURIBOR + 5.000%(b)		5.00			3/6/2025		500,000		536,764		550,869
Change Healthcare Holdings LLC, 1M LIBOR + 2.500%, 3M LIBOR + 2.500%		3.50			3/1/2024		666,743		663,642		639,053
Financiere Mendel SAS, EURIBOR + 4.750%(b)		4.75			4/13/2026		500,000		553,838		552,093
Lifescan Global Corp., 6M LIBOR + 6.000%		7.18			10/1/2024		169,511		165,893		152,730
Ortho-Clinical Diagnostics SA, 1M LIBOR + 3.250%		3.43			6/30/2025		1,173,308		1,173,722		1,094,848
Parexel International Corp., 1M LIBOR + 2.750%		2.93			9/27/2024		1,327,677		1,320,638		1,255,491
Radiology Partners, Inc., 2M LIBOR + 4.250%, 3M LIBOR + 4.250%, 12M LIBOR + 4.250%		5.29-5.99			7/9/2025		1,000,000		917,475		926,790
RegionalCare Hospital Partners Holdings, Inc., 1M LIBOR + 3.750%		3.93			11/17/2025		477,558		480,593		446,455
Rodenstock GmbH, EURIBOR + 5.250%(b)		4.88			6/5/2026		500,000		557,003		524,186
Tunstall Group Holdings Ltd., EURIBOR + 4.500%, PIK(b)		3.00-4.50			10/16/2020		507,731		596,245		460,627
U.S. Anesthesia Partners, Inc., 6M LIBOR + 3.000%		4.00			6/23/2024		992,327		994,557		873,605
Total Healthcare, Education and Childcare							9,600,105		9,729,875		9,126,318
Home and Office Furnishings, Housewares, and Durable Consumer Products — 0.7%*:
Hilding Anders International AB, EURIBOR + 5.000%(b)		5.75			11/30/2024		502,190		444,532		311,726
Serta Simmons Bedding LLC, 2M LIBOR + 7.500%		8.50			8/10/2023		1,073,744		1,073,744		894,783
Total Home and Office Furnishings, Housewares, and Durable Consumer Products							1,575,934		1,518,276		1,206,509

See accompanying Notes to the Financial Statements.

92

Barings Global Credit Income Opportunities Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Hotels, Motels, Inns and Gaming — 2.7%*:
Caesars Resort Collection LLC, 1M LIBOR + 4.500%		2.92	%		6/19/2025		250,707	$	243,186	$	235,196
Caesars Resort Collection LLC, 1M LIBOR + 2.750%		2.93			12/23/2024		1,477,273		1,468,460		1,309,691
Casper BidCo SAS, EURIBOR + 3.875%(b)		3.88			7/31/2026		500,000		543,343		483,459
Compass IV Ltd., EURIBOR + 4.500%(b)		4.50			4/30/2025		500,000		599,392		494,620
HNVR Holdco Ltd., EURIBOR + 3.250%(b)		4.25			9/12/2023		500,000		406,520		445,788
Penn National Gaming, Inc., 3M LIBOR + 2.250%		3.00			10/15/2025		997,468		895,633		927,366
Richmond UK Bidco Ltd., LIBOR – GBP + 4.250%(b)		4.98			3/3/2024		550,000		669,792		612,503
Total Hotels, Motels, Inns and Gaming							4,775,448		4,826,326		4,508,623
Insurance — 1.9%*:
AssuredPartners, Inc., 1M LIBOR + 3.500%		3.68			2/12/2027		971,127		975,719		926,737
Asurion LLC, 3M LIBOR + 3.000%		3.18			11/3/2023		986,937		948,924		953,214
Confie Seguros Holding II Co., 1M LIBOR + 8.500%		8.67			10/31/2025		464,528		456,271		311,619
Sedgwick Claims Management Services, Inc., 1M LIBOR + 3.250%		3.43			12/31/2025		985,000		967,369		927,663
Total Insurance							3,407,592		3,348,283		3,119,233
Leisure, Amusement, Entertainment — 2.8%*:
AMC Entertainment Holdings, Inc., 3M LIBOR + 3.000%		4.08			4/22/2026		991,328		774,969		716,859
Crown Finance US, Inc., 3M LIBOR + 2.250%		3.32			2/28/2025		1,227,334		1,204,952		918,770
Dorna Sports, S.L., 6M LIBOR + 3.000%(b)		3.36			5/3/2024		400,000		400,000		371,500
Eldorado Resorts LLC, 3M LIBOR + 2.250%		3.25			4/17/2024		437,283		434,714		433,732
Metro-Goldwyn-Mayer, Inc., 1M LIBOR + 4.500%		5.50			7/3/2026		893,847		887,085		853,624
Playtika Holding Corp., 3M LIBOR + 6.000%		7.07			12/10/2024		568,750		558,634		567,328
PUG LLC, 1M LIBOR + 3.500%		3.68			2/12/2027		371,000		369,241		321,379
Vue International Bidco PLC, EURIBOR + 4.250%(b)		4.25			7/3/2026		423,797		473,839		407,991
Total Leisure, Amusement, Entertainment							5,313,339		5,103,434		4,591,183
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 1.2%*:
Alison Bidco S.a.r.l., 3M LIBOR + 4.500%(b)		5.50			8/29/2021		316,304		310,035		231,430
Alison Bidco Sarl, 3M LIBOR + 4.500%(b)		5.50			8/29/2021		316,304		310,035		231,430
Apex Tool Group, LLC, 1M LIBOR + 5.250%		6.50			8/1/2024		176,580		173,725		157,499
Titan Acquisition Ltd., 3M LIBOR + 3.000%(b)		3.36			3/28/2025		1,460,821		1,462,076		1,332,459
Total Machinery Non-Agriculture, Non-Construction, Non-Electronic							2,270,009		2,255,871		1,952,818
Mining, Steel, Iron and Non-Precious Metals — 0.0%*:
Boomerang Tube, LLC, 1M LIBOR + 5.000%(a)		5.18			6/30/2022		125,484		125,484		15,058

See accompanying Notes to the Financial Statements.

93

Barings Global Credit Income Opportunities Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Oil and Gas — 0.7%*:
Fieldwood Energy LLC, 1M LIBOR + 5.250%		Zero Coupon			4/11/2022		649,368	$	615,504	$	117,971
Fieldwood Energy LLC, 3M LIBOR + 7.250%		Zero Coupon			4/11/2023		885,631		534,494		5,314
Gulf Finance LLC, 1M LIBOR + 5.250%, 3M LIBOR + 5.250%		6.25	%		8/25/2023		1,271,768		1,223,595		813,931
KCA Deutag Alpha Ltd., 3M LIBOR + 6.750%(b)		8.20			2/28/2023		491,250		489,862		231,708
Seadrill Partners Finco LLC, 3M LIBOR + 6.000%		7.00			2/21/2021		352		311		60
Total Oil and Gas							3,298,369		2,863,766		1,168,984
Personal and Non-Durable Consumer Products Mfg. Only — 0.6%*:
Coty Inc., 1M LIBOR + 2.250%		2.43			4/7/2025		1,178,947		1,142,289		1,055,158
Printing and Publishing — 0.1%*:
Houghton Mifflin Harcourt Publishing Co., 1M LIBOR + 6.250%		7.25			11/22/2024		109,118		105,256		101,752
Retail Stores — 1.7%*:
Bass Pro Group, LLC, 3M LIBOR + 5.000%		6.07			9/25/2024		984,810		980,099		945,063
EG Group Ltd., EURIBOR + 4.000%(b)		4.00			2/6/2025		489,595		586,320		513,894
Harbor Freight Tools USA, Inc., 1M LIBOR + 2.500%		3.25			8/18/2023		494,894		494,894		475,410
Kirk Beauty One GmbH, EURIBOR + 3.500%(b)		3.25			8/12/2022		500,000		537,582		451,158
Kirk Beauty One GmbH, EURIBOR + 3.500%(b)		3.50			8/12/2022		500,001		534,709		453,298
Total Retail Stores							2,969,300		3,133,604		2,838,823
Telecommunications — 2.2%*:
Banff Merger Sub, Inc., 1M LIBOR + 4.250%		4.43			10/2/2025		1,047,750		1,013,470		988,813
CommScope, Inc., 1M LIBOR + 3.250%		3.43			4/6/2026		992,500		992,500		937,913
ION Trading Technologies Sarl, EURIBOR + 3.250%		4.25			11/21/2024		1,080,118		1,242,130		1,166,707
ION Trading Technologies Sarl, 3M LIBOR + 4.000%		5.07			11/21/2024		280,610		275,646		268,583
Syniverse Holdings, Inc., 3M LIBOR + 5.000%		6.87			3/9/2023		195,576		194,521		138,405
Syniverse Holdings, Inc., 3M LIBOR + 9.000%		10.87			3/11/2024		153,729		152,307		76,865
Total Telecommunications							3,750,283		3,870,574		3,577,286
Utilities — 0.3%*:
EFS Cogen Holdings I LLC, 1M LIBOR + 3.250%, 3M LIBOR + 3.250%		4.25			6/28/2023		424,483		424,409		411,397
Total Bank Loans							72,622,688		72,552,095		65,330,037

See accompanying Notes to the Financial Statements.

94

Barings Global Credit Income Opportunities Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds — 42.8%*:
Aerospace and Defense — 2.3%*:
Global Aircraft Leasing Co. Ltd.(c)		6.50	%		9/15/2024		2,000,000	$	2,000,000	$	1,340,000
Rolls-Royce plc(b)		3.38			6/18/2026		500,000		602,995		586,245
TransDigm, Inc.		5.50			11/15/2027		357,000		357,000		311,554
Triumph Group, Inc.		5.25			6/1/2022		875,000		873,621		748,125
Triumph Group, Inc.(c)		6.25			9/15/2024		308,000		308,000		261,800
Triumph Group, Inc.		7.75			8/15/2025		750,000		789,513		563,437
Total Aerospace and Defense							4,790,000		4,931,129		3,811,161
Automobile — 2.6%*:
AA Bond Co. Ltd.(b)		5.50			7/31/2043		1,300,000		1,654,688		1,368,884
Clarios Global LP/Clarios US Finance Co.(c)		8.50			5/15/2027		1,000,000		1,033,783		1,004,950
Ford Motor Co.		8.50			4/21/2023		569,000		567,203		601,717
Gates Global LLC/Gates Global Co.(c)		6.25			1/15/2026		550,000		526,287		540,375
RAC Bond Co. PLC(b)		5.00			11/6/2022		600,000		796,861		694,920
Total Automobile							4,019,000		4,578,822		4,210,846
Banking — 1.4%*:
Alpha Bank AE(b)		4.25			2/13/2030		275,000		301,895		259,190
India Infoline Finance Ltd.(b)		5.88			4/20/2023		805,000		803,531		636,331
Nova Ljubljanska Banka dd, 5 year EUR Swap + 3.833%(b)		3.65			11/19/2029		700,000		770,700		688,143
Piraeus Bank SA(b)		5.50			2/19/2030		688,000		748,200		543,010
Piraeus Bank SA, 5 year EUR Swap + 9.952%(b)		9.75			6/26/2029		100,000		93,388		94,020
Total Banking							2,568,000		2,717,714		2,220,694
Beverage, Food and Tobacco — 2.6%*:
Boparan Finance PLC(b)		4.38			7/15/2021		250,000		248,229		254,025
Boparan Finance PLC(b)		5.50			7/15/2021		1,300,000		1,745,884		1,457,531
JBS USA Food Co.(c)		5.50			1/15/2030		586,000		585,456		600,650
JBS USA LUX SA/JBS USA Finance, Inc.(c)		5.75			6/15/2025		344,000		349,024		348,300
JBS USA LUX SA/JBS USA Finance, Inc.(c)		6.75			2/15/2028		500,000		500,000		528,130
MHP Lux SA(b)		6.25			9/19/2029		200,000		192,257		190,750
Sunshine Mid BV(b)		6.50			5/15/2026		850,000		1,013,691		943,038
Total Beverage, Food and Tobacco							4,030,000		4,634,541		4,322,424
Broadcasting and Entertainment — 2.4%*:
Banijay Group SAS(b)		6.50			3/1/2026		750,000		828,337		751,031
CSC Holdings LLC(c)		5.75			1/15/2030		455,000		472,332		473,883
Netflix, Inc.		3.63			6/15/2030		819,000		925,082		945,450
Outfront Media Capital LLC/Outfront Media Capital Corp.(c)		6.25			6/15/2025		298,000		298,000		299,952
Tele Columbus AG(b)		3.88			5/2/2025		900,000		968,338		940,369
Terrier Media Buyer, Inc.(c)		8.88			12/15/2027		376,000		376,000		360,490

See accompanying Notes to the Financial Statements.

95

Barings Global Credit Income Opportunities Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Broadcasting and Entertainment (Continued)
VTR Finance NV(b),(c)		6.88	%		1/15/2024		224,000	$	220,827	$	229,134
Total Broadcasting and Entertainment							3,822,000		4,088,916		4,000,309
Buildings and Real Estate — 1.9%*:
Cemex SAB de CV(b)		7.38			6/5/2027		546,000		546,000		554,736
Kaisa Group Holdings Ltd.(b)		9.95			7/23/2025		1,000,000		1,000,188		915,000
Logan Property Holdings Co. Ltd.(b)		5.75			1/14/2025		750,000		750,000		745,965
Sunac China Holdings Ltd.(b)		6.50			1/10/2025		790,000		790,000		761,362
Ukraine Railways Via Shortline PLC(b)		9.88			9/15/2021		150,000		152,712		150,750
Total Buildings and Real Estate							3,236,000		3,238,900		3,127,813
Cargo Transport — 0.7%*:
Kenan Advantage Group, Inc. (The)(c)		7.88			7/31/2023		1,367,000		1,367,000		1,202,960
Chemicals, Plastics and Rubber — 0.9%*:
Braskem Idesa SAPI(b)		7.45			11/15/2029		750,000		747,547		702,187
Consolidated Energy Finance SA(a)		6.88			6/15/2025		874,000		891,480		742,900
Total Chemicals, Plastics and Rubber							1,624,000		1,639,027		1,445,087
Commercial Services — 0.6%*:
DP World Salaam, 5 year CMT + 5.750%(b)		6.00			12/31/2099		946,000		940,551		934,288
Containers, Packaging and Glass — 1.3%*:
Mauser Packaging Solutions Holding Co.		4.75			4/15/2024		950,000		1,094,838		1,035,330
Trident TPI Holdings, Inc.(c)		9.25			8/1/2024		1,125,000		1,147,632		1,153,125
Total Containers, Packaging and Glass							2,075,000		2,242,470		2,188,455
Diversified/Conglomerate Manufacturing — 0.5%*:
Amsted Industries, Inc.(c)		4.63			5/15/2030		422,000		422,000		417,303
Appvion ESC, 3M EURIBOR + 4.125%(a),(f)		9.00	(d)		6/1/2025		500,000		500,000		–
Fabric BC SpA, 3M EURIBOR + 4.125%(b)		4.13	(d)		11/30/2024		150,000		171,205		164,312
Mangrove Luxco III Sarl(b)		7.78			10/9/2025		300,000		314,376		302,343
Total Diversified/Conglomerate Manufacturing							1,372,000		1,407,581		883,958
Diversified/Conglomerate Service — 2.2%*:
Algeco Global Finance PLC(b)		6.50			2/15/2023		950,000		1,118,824		1,023,436
EIG Investors Corp.		10.88			2/1/2024		352,000		367,144		341,440
Iron Mountain, Inc.(c)		5.25			7/15/2030		554,000		552,502		545,690
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.(c)		6.50			6/20/2027		237,000		234,038		237,593
Verisure Midholding AB(b)		5.75			12/1/2023		1,250,000		1,457,908		1,406,509
Total Diversified/Conglomerate Service							3,343,000		3,730,416		3,554,668

See accompanying Notes to the Financial Statements.

96

Barings Global Credit Income Opportunities Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Electronics — 1.0%*:
Veritas US, Inc./Veritas Bermuda Ltd.(c)		10.50	%		2/1/2024		1,419,000	$	1,444,705	$	1,270,005
WESCO Distribution, Inc.(c)		7.13			6/15/2025		205,000		205,000		215,892
WESCO Distribution, Inc.(c)		7.25			6/15/2028		212,000		210,405		224,190
Total Electronics							1,836,000		1,860,110		1,710,087
Finance — 4.5%*:
Alliance Data Systems Corp.(c)		4.75			12/15/2024		1,500,000		1,501,672		1,350,000
Cabot Financial Luxembourg SA(b)		7.50			10/1/2023		650,000		888,844		805,371
Garfunkelux Holdco 3 S.A., 3M EURIBOR + 4.500%(b)		4.50	(d)		9/1/2023		200,000		216,282		194,069
Garfunkelux Holdco 3 S.A.(b)		8.50			11/1/2022		600,000		731,144		698,853
Icahn Enterprises LP / Icahn Enterprises Finance Corp.		4.75			9/15/2024		1,040,000		1,049,755		977,808
Icahn Enterprises LP/Icahn Enterprises Finance Corp.		6.75			2/1/2024		1,162,000		1,162,000		1,170,715
Jerrold Finco PLC(b)		6.13			1/15/2024		650,000		822,993		770,953
Muthoot Finance Ltd.(b)		6.13			10/31/2022		685,000		685,000		692,706
Springleaf Finance Corp.		5.38			11/15/2029		438,000		438,000		409,530
Travelex Financing PLC(b),(f)		8.00			5/15/2022		1,050,000		1,178,948		277,832
Total Finance							7,975,000		8,674,638		7,347,837
Healthcare, Education and Childcare — 3.5%*:
Advanz Pharma Corp.(b)		8.00			9/6/2024		500,000		478,634		460,000
Bausch Health Americas., Inc.(c)		8.50			1/31/2027		415,000		421,301		440,419
Bausch Health Cos., Inc.(c)		9.00			12/15/2025		165,000		163,266		177,740
Bausch Health Cos., Inc.(c)		5.00			1/30/2028		204,000		204,000		192,064
Bausch Health Cos., Inc.(c)		5.25			1/30/2030		200,000		200,000		189,750
Centene Corp.		4.25			12/15/2027		285,000		282,750		294,094
Centene Corp.		4.63			12/15/2029		605,000		617,074		638,275
Cream Tech(b)		5.25			12/15/2025		450,000		514,174		490,831
Envision Healthcare Corp.(c)		8.75			10/15/2026		1,492,000		1,436,641		708,700
Nidda BondCo GmbH(b)		7.25			9/30/2025		500,000		586,152		571,614
Par Pharmaceutical, Inc.(c)		7.50			4/1/2027		708,000		708,000		726,550
Synlab Unsecured Bondco PLC(b)		8.25			7/1/2023		750,000		900,428		859,477
Total Healthcare, Education and Childcare							6,274,000		6,512,420		5,749,514
Home and Office Furnishings, Housewares, and Durable Consumer Products — 0.9%*:
LSF9 Balta Issuer Sarl(b)		7.75			9/15/2022		769,500		914,382		549,290
Resideo Funding, Inc.(c)		6.13			11/1/2026		1,000,000		999,582		977,500
Total Home and Office Furnishings, Housewares, and Durable Consumer Products							1,769,500		1,913,964		1,526,790

See accompanying Notes to the Financial Statements.

97

Barings Global Credit Income Opportunities Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Hotels, Motels, Inns and Gaming — 1.2%*:
Caesars Resort Collection LLC / CRC Finco, Inc.(c)		5.25	%		10/15/2025		301,000	$	270,128	$	261,870
Colt Merger Sub, Inc.(c)		5.75			7/1/2025		214,000		214,000		215,220
ESH Hospitality, Inc.(c)		4.63			10/1/2027		396,000		396,000		370,755
Scientific Games International, Inc.(c)		8.63			7/1/2025		400,000		399,298		373,880
TVL Finance PLC, 3M GBP LIBOR + 5.375%(b)		6.04	(d)		7/15/2025		500,000		632,430		508,031
Wynn Macau Ltd.(b),(c)		5.13			12/15/2029		270,000		270,000		261,900
Total Hotels, Motels, Inns and Gaming							2,081,000		2,181,856		1,991,656
Leisure, Amusement, Entertainment — 1.2%*:
AMC Entertainment Holdings, Inc.		6.38			11/15/2024		1,300,000		1,680,338		573,858
Colt Merger Sub, Inc.(c)		6.25			7/1/2025		382,000		382,000		379,612
Colt Merger Sub, Inc.(c)		8.13			7/1/2027		279,000		279,000		269,584
CPUK Finance Ltd.(b)		4.25			2/28/2047		300,000		358,442		353,878
Live Nation Entertainment, Inc.(c)		6.50			5/15/2027		325,000		325,000		334,750
Total Leisure, Amusement, Entertainment							2,586,000		3,024,780		1,911,682
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 0.6%*:
Apex Tool Group LLC/BC Mountain Finance, Inc.(c)		9.00			2/15/2023		578,000		575,930		417,605
Briggs & Stratton Corp.(f)		6.88			12/15/2020		514,000		509,702		168,335
Clark Equipment Co.		5.88			6/1/2025		326,000		326,000		333,335
Total Machinery Non-Agriculture, Non-Construction, Non-Electronic							1,418,000		1,411,632		919,275
Mining, Steel, Iron and Non-Precious Metals — 3.4%*:
CSN Islands XI Corp.(b)		6.75			1/28/2028		1,081,000		1,081,000		925,606
First Quantum Minerals Ltd.(b),(c)		6.50			3/1/2024		1,606,000		1,564,739		1,515,662
Metinvest BV(b)		8.50			4/23/2026		200,000		212,675		195,040
Northwest Acquisitions ULC/Dominion Finco, Inc.(b),(c),(f)		7.13			11/1/2022		1,227,000		1,242,919		12,577
PT Bayan Resources Tbk(b)		6.13			1/24/2023		905,000		905,000		838,338
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.(c)		7.50			6/15/2025		608,000		601,806		513,882
Vedanta Resources Ltd.(b)		6.38			7/30/2022		1,075,000		538,382		814,984
Warrior Met Coal, Inc.(c)		8.00			11/1/2024		840,000		849,525		819,000
Total Mining, Steel, Iron and Non-Precious Metals							7,542,000		6,996,046		5,635,089
Oil and Gas — 2.9%*:
Cenovus Energy, Inc.(b)		6.75			11/15/2039		61,000		60,847		59,393
CVR Energy, Inc.(c)		5.25			2/15/2025		552,000		552,000		507,840
CVR Energy, Inc.(c)		5.75			2/15/2028		573,000		573,000		501,375
Hilcorp Energy I LP/Hilcorp Finance Co.(c)		6.25			11/1/2028		1,000,000		1,000,000		802,500

See accompanying Notes to the Financial Statements.

��

98

Barings Global Credit Income Opportunities Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Oil and Gas (Continued)
Jonah Energy LLC/Jonah Energy Finance Corp.(c)		7.25	%		10/15/2025		891,000	$	876,844	$	109,148
Jupiter Resources, Inc.(a),(b)		10.00			1/31/2024		100,396		100,396		90,356
KCA Deutag UK Finance PLC(b),(c),(f)		9.63			4/1/2023		250,000		250,000		119,616
KCA Deutag UK Finance PLC(b),(c),(f)		9.88			4/1/2022		600,000		612,545		285,000
MV24 Capital BV(b)		6.75			6/1/2034		889,328		889,328		844,755
PBF Holding Co. LLC/PBF Finance Corp.		7.25			6/15/2025		778,000		799,853		706,035
PT Medco Bell Pte Ltd.(b)		6.38			1/30/2027		435,000		429,278		370,031
Tullow Oil PLC(b)		6.25			4/15/2022		200,000		60,849		146,000
Tullow Oil PLC(b)		7.00			3/1/2025		300,000		91,152		188,250
Total Oil and Gas							6,629,724		6,296,092		4,730,299
Personal Transportation — 0.1%*:
Naviera Armas S.A., 3M EURIBOR + 6.500%(b)		6.50	(d)		7/31/2023		250,000		289,028		154,481
Personal, Food and Miscellaneous — 0.3%*:
Walnut Bidco PLC(b)		6.75			8/1/2024		397,000		441,643		423,193
Retail Stores — 0.4%*:
Arabian Centres Sukuk Ltd.(b)		5.38			11/26/2024		500,000		500,000		437,700
House of Fraser Funding PLC, 3M GBP LIBOR + 5.750%(b),(f)		5.89	(d)		9/15/2020		150,000		217,106		4,647
Takko Luxembourg 2 SCA, 3M USD LIBOR + 5.375%(b)		5.38	(d)		11/15/2023		200,000		246,982		116,844
Takko Luxembourg 2 SCA(b)		5.38			11/15/2023		350,000		376,952		167,120
Total Retail Stores							1,200,000		1,341,040		726,311
Telecommunications — 2.7%*:
C&W Senior Financing DAC(b)		6.88			9/15/2027		750,000		774,561		744,375
CommScope, Inc.(c)		7.13			7/1/2028		618,000		618,000		616,517
HTA Group Ltd.(b)		7.00			12/18/2025		623,000		619,524		629,230
Sprint Capital Corp.		6.88			11/15/2028		800,000		785,646		974,000
Sprint Capital Corp.		8.75			3/15/2032		500,000		609,195		715,625
VF Ukraine PAT via VFU Funding PLC(b)		6.20			2/11/2025		405,000		405,000		400,565
ViaSat, Inc.(c)		6.50			7/15/2028		327,000		327,000		327,069
Total Telecommunications							4,023,000		4,138,926		4,407,381
Utilities — 0.7%*:
Techem Verwaltungsgesellschaft 674 mbH(b)		6.00			7/30/2026		1,000,000		1,143,454		1,145,970
Total Corporate Bonds							78,173,224		81,742,696		70,282,228
Total Fixed Income							170,470,912		173,360,680		150,836,167

See accompanying Notes to the Financial Statements.

99

Barings Global Credit Income Opportunities Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

COUNTERPARTY	STRIKE PRICE		EXPIRATION DATE		CONTRACTS		NOTIONAL		COST		UNREALIZED VALUE		FAIR VALUE
Purchased Option — 0.5%*:
Put Option Purchased — 0.5%*:
S&P 500 Index Morgan Stanley & Co.		$2,800.00		12/18/2020		56		17,361,624		$739,568		$37,712		$777,280
Total Investments								207,302,098		175,694,976				152,186,861
Written Options* – (0.3%)														(439,208	)
Other assets and liabilities – 7.6%*														12,392,139
Net Assets – 100.0%														$164,139,792

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.

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

(b) 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	61.9%
United Kingdom	9.3%
Germany	6.0%
Netherlands	4.3%
France	2.3%
China	1.6%
India	1.4%
Ireland	1.2%
Brazil	1.2%
Sweden	1.1%
Canada	1.1%
Zambia	1.0%
Other (Individually less than 1%)	7.6%
Total	100.0%

(c) 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.

(d) Variable rate security. The interest rate shown is the rate in effect at June 30, 2020.

(e) 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, 2020. 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.

(f) Defaulted security.

See accompanying Notes to the Financial Statements.

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June 30, 2020

A summary of outstanding derivatives at June 30, 2020 is as follows:

Written Options — (0.3)%*:

Put Options Written — (0.3)%*:

COUNTERPARTY

STRIKE PRICE

EXPIRATION DATE

CONTRACTS

NOTIONAL

COST

UNREALIZED VALUE

FAIR VALUE

S&P 500 Index

Morgan Stanley & Co.

$2,500.00

12/18/2020

(56

)

(17,361,624

)

$(420,757)

$(18,451)

$(439,208)

Forward Foreign Currency Exchange Contracts to Buy

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED DEPRECIATION
7/14/20	Bank of America N.A.		EUR	3,190,442	$	3,585,366	$	3,601,013	$	(15,647	)
7/14/20	Citibank N.A.		GBP	872,653		1,081,385		1,109,089		(27,704	)
7/14/20	Goldman Sachs & Co.		GBP	34,698		42,998		43,571		(573	)
7/14/20	Bank of America N.A.		GBP	200,635		248,625		252,638		(4,013	)
Net unrealized depreciation on forward foreign currency exchange contracts to buy									$	(47,937	)

Forward Foreign Currency Exchange Contracts to Sell

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
7/14/20	Barclays Bank plc		EUR	29,449,332	$	33,094,673	$	33,327,464	$	232,791
7/14/20	Barclays Bank plc		GBP	7,833,799		9,707,585		9,955,440		247,855
7/14/20	Bank of America N.A.		GBP	655,477		812,262		820,449		8,187
7/14/20	Goldman Sachs & Co.		GBP	172,646		213,942		220,185		6,243
Net unrealized appreciation on forward foreign currency exchange contracts to sell									$	495,076

Currency Legend

EUR	Euro
GBP	British Pound Sterling

See accompanying Notes to the Financial Statements.

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June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 93.3%*:
Asset-Backed Securities — 39.3%*:
CDO/CLO — 4.8%*:
Avant Loans Funding Trust 2019-A(a)		3.48	%		7/15/2022		397,722		$397,707		$398,334
Bain Capital Credit CLO 2020-2 Ltd., 3M USD LIBOR + 1.850%(a)		2.23	(b)		7/19/2031		2,250,000		2,250,000		2,252,356
Bain Capital Credit CLO Ltd. 2016-2, 3M USD LIBOR + 1.800%(a)		3.02	(b)		1/15/2029		1,500,000		1,500,000		1,459,388
Benefit Street Partners CLO X Ltd., 3M USD LIBOR + 1.750%(a)		2.97	(b)		1/15/2029		2,200,000		2,200,000		2,122,626
BlueMountain CLO 2013-1 Ltd., 3M USD LIBOR + 1.230%(a)		2.37	(b)		1/20/2029		2,476,745		2,476,745		2,448,582
CBAM 2018-6 Ltd., 3M USD LIBOR + 1.270%(a)		2.49	(b)		1/15/2031		2,500,000		2,500,000		2,457,677
CIFC Funding 2015-IV Ltd., 3M USD LIBOR + 1.850%(a)		2.99	(b)		10/20/2027		1,900,000		1,897,910		1,857,119
Elmwood CLO II Ltd., 3M USD LIBOR + 1.450%(a)		2.59	(b)		4/20/2031		1,650,000		1,650,000		1,635,449
FCI Funding 2019-1 LLC(a)		3.63			2/18/2031		455,436		455,364		458,937
GoldentTree Loan Management US CLO 1 Ltd., 3M USD LIBOR + 1.450%(a)		2.59	(b)		4/20/2029		1,250,000		1,250,000		1,220,755
KREF Ltd. 2018-FL1 AS, 1M USD LIBOR + 1.350%(a)		1.54	(b)		6/15/2036		2,380,000		2,380,000		2,326,107
Lunar AirCraft 2020-1 Ltd.(a)		3.38			2/15/2045		1,540,787		1,540,771		1,406,586
Magnetite XVIII Ltd., 3M USD LIBOR + 1.080%(a)		1.47	(b)		11/15/2028		355,000		354,224		349,779
Milos CLO Ltd., 3M USD LIBOR + 1.070%(a)		2.21	(b)		10/20/2030		2,100,000		2,100,000		2,049,560
Neuberger Berman CLO XX Ltd. 2015-20A BR, 3M USD LIBOR + 1.250%(a)		2.47	(b)		1/15/2028		2,600,000		2,589,854		2,509,369
Neuberger Berman Loan Advisers CLO 24 Ltd., 3M USD LIBOR + 1.500%(a)		2.64	(b)		4/19/2030		500,000		500,000		486,226
OCP CLO 2020-19 Ltd., 3M USD LIBOR + 1.750%(a)		2.07	(b)		7/20/2031		2,250,000		2,250,000		2,249,714
OCP CLO Ltd. 2015-8A A2AR, 3M USD LIBOR + 1.450%(a)		2.58	(b)		4/17/2027		900,000		900,000		885,708
Palmer Square CLO 2015-1 Ltd., 3M USD LIBOR + 1.650%(a)		2.02	(b)		5/21/2029		700,000		700,000		688,769
Recette Clo Ltd., 3M USD LIBOR + 1.700%(a)		2.84	(b)		10/20/2027		1,034,000		1,031,813		1,006,071
Rockford Tower CLO 2017-1 Ltd., 3M USD LIBOR + 1.450%(a)		2.67	(b)		4/15/2029		850,000		850,000		817,449
Rockford Tower CLO 2017-2 Ltd., 3M USD LIBOR + 1.500%(a)		2.72	(b)		10/15/2029		1,250,000		1,250,000		1,200,531
Rockford Tower CLO Ltd. 2017-3, 3M USD LIBOR + 1.190%(a)		2.33	(b)		10/20/2030		1,750,000		1,740,091		1,708,693
RR 3 Ltd. Series 2018-3 A A1R2, 3M USD LIBOR + 1.090%(a)		2.31	(b)		1/15/2030		1,625,000		1,619,579		1,586,871
Salem Fields CLO Ltd. 2016-2, 3M USD LIBOR + 1.150%(a)		2.14	(b)		10/25/2028		2,000,000		1,999,047		1,969,008

See accompanying Notes to the Financial Statements.

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June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
CDO/CLO (Continued)
Treman Park CLO Ltd. 2015-1A ARR, 3M USD LIBOR + 1.070%(a)		2.21	(b) %		10/20/2028		1,170,000	$	1,170,000	$	1,156,167
Total CDO/CLO							39,584,690		39,553,105		38,707,831
Other Asset-Backed Securities — 34.5%*:
321 Henderson Receivables II LLC 2006-3A A1, 1M USD LIBOR + 0.200%(a)		0.38	(b)		9/15/2041		96,979		94,539		92,123
AASET 2017-1 Trust(a)		3.97			5/16/2042		724,903		725,477		611,118
AASET 2020-1 Trust(a)		4.34			1/16/2040		783,605		783,589		415,504
AASET US Ltd. 2018-2 A(a)		4.45			11/18/2038		1,678,220		1,688,640		1,496,527
Access Group, Inc. 2015-1 B, 1M USD LIBOR + 1.500%(a)		1.68	(b)		7/25/2058		100,000		86,827		87,322
AccessLex Institute 2002-A A2, 28 Day ARS		1.96	(b)		9/25/2037		400,000		392,512		394,432
AccessLex Institute 2004-A A3, 28 Day ARS		1.70	(b)		7/1/2039		250,000		245,642		246,402
Adams Outdoor Advertising LP(a)		4.81			11/15/2048		1,126,466		1,140,887		1,145,138
American Credit Acceptance Receivables Trust 2017-4 C(a)		2.94			1/10/2024		22,041		22,040		22,041
American Credit Acceptance Receivables Trust 2019-1(a)		3.50			4/14/2025		2,650,000		2,649,608		2,690,920
AmeriCredit Automobile Receivables Trust 2019-3		2.58			9/18/2025		2,120,000		2,119,646		2,018,107
AmeriCredit Automobile Receivables Trust 2020-1		1.80			12/18/2025		4,547,000		4,546,028		4,204,854
Arbys Funding LLC 2015-1A A2(a)		4.97			10/30/2045		76,400		76,400		77,848
Argent Securities, Inc. Asset-Backed Pass-Through Certificates 2004-W10 M1, 1M USD LIBOR + 0.900%		1.08	(b)		10/25/2034		199,057		183,369		182,526
ARI Fleet Lease Trust 2016-A A3(a)		2.11			7/15/2024		16,782		16,781		16,790
Ascentium Equipment Receivables 2019-2(a)		3.78			5/10/2027		2,647,000		2,646,247		2,644,966
Avis Budget Rental Car Funding AESOP LLC(a)		3.02			8/20/2026		5,598,000		5,595,709		5,030,001
Avis Budget Rental Car Funding AESOP LLC(a)		4.15			9/20/2023		1,200,000		1,225,168		1,125,113
Avis Budget Rental Car Funding AESOP LLC(a)		4.53			3/20/2023		2,607,000		2,667,361		2,448,321
Avis Budget Rental Car Funding AESOP LLC(a)		4.73			9/20/2024		2,080,000		2,174,102		1,953,945
Bank of The West Auto Trust 2019-1(a)		2.90			4/15/2025		1,062,000		1,061,734		1,090,708
BRE Grand Islander Timeshare Issuer LLC 2017-1A A(a)		2.94			5/25/2029		133,570		133,544		134,117
BRE Grand Islander Timeshare Issuer LLC 2017-1A B(a)		3.24			5/25/2029		109,999		109,986		107,879
BRE Grand Islander Timeshare Issuer LLC 2019-A(a)		3.78			9/26/2033		1,076,422		1,076,386		1,063,506
CAL Funding III Ltd.(a)		4.34			9/25/2043		478,500		478,448		484,690
Canadian Pacer Auto Receivables Trust 2018-2(a),(c)		3.63			1/19/2024		470,000		469,984		480,906
Capital Automotive LLC 2017-1A A1(a)		3.87			4/15/2047		291,722		291,642		290,686
Carmax Auto Owner Trust 2019-2		3.41			10/15/2025		615,000		614,969		596,584

See accompanying Notes to the Financial Statements.

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June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
Carmax Auto Owner Trust 2019-4		2.80	%		4/15/2026		5,159,000	$	5,222,462	$	4,807,758
CARS-DB4 LP(a)		4.17			2/15/2050		2,189,000		2,188,068		1,927,290
Carvana Auto Receivables Trust 2019-4(a)		3.07			7/15/2025		3,547,000		3,546,956		3,492,747
Castlelake Aircraft Securitization Trust 2018-1(a)		4.13			6/15/2043		2,011,011		2,012,044		1,867,299
Castlelake Aircraft Securitization Trust 2019-1A(a)		3.97			4/15/2039		1,146,785		1,152,416		1,003,136
Castlelake Aircraft Securitization Trust 2019-1A(a)		5.10			4/15/2039		824,562		832,531		459,199
Centex Home Equity Loan Trust 2006-A AV4, 1M USD LIBOR + 0.250%		0.43	(b)		6/25/2036		31,254		30,641		30,666
Chase Education Loan Trust, 3M USD LIBOR + 0.220%		0.53	(b)		6/28/2040		609,633		577,936		509,740
CLI Funding V LLC(a)		3.38			10/18/2029		1,809,096		1,803,840		1,793,911
CLI Funding V LLC 2013-1A(a)		2.83			3/18/2028		1,386,520		1,364,246		1,380,811
CLI Funding V LLC 2013-2A(a)		3.22			6/18/2028		585,259		580,143		582,490
CLI Funding V LLC 2014-1A A(a)		3.29			6/18/2029		3,984,924		3,986,155		3,967,734
CLI Funding VI LLC(a)		3.71			5/18/2044		1,003,707		1,003,707		1,005,933
CLI Funding VI LLC 2017-1A A(a)		3.62			5/18/2042		1,350,224		1,352,839		1,349,441
CNH Equipment Trust 2020-A		2.30			10/15/2027		974,000		973,656		975,571
College Avenue Student Loans LLC, 1M USD LIBOR + 1.650%(a)		1.83	(b)		11/26/2046		875,985		877,011		823,477
College Avenue Student Loans LLC(a)		3.81			12/28/2048		1,351,000		1,350,875		1,305,052
College Avenue Student Loans LLC 2018-A, 1M USD LIBOR + 1.200%(a)		1.38	(b)		12/26/2047		859,990		859,990		802,819
College Loan Corp. Trust I 2005-2 B, 3M USD LIBOR + 0.490%		1.71	(b)		1/15/2037		136,628		122,249		114,624
Commonbond Student Loan Trust 2017-A-GS(a)		3.47			5/25/2041		964,432		951,520		1,008,816
Commonbond Student Loan Trust 2017-A-GS(a)		5.28			5/25/2041		128,976		128,961		139,394
Commonbond Student Loan Trust 2018-A-GS(a)		3.82			2/25/2044		82,546		82,528		81,024
Commonbond Student Loan Trust 2018-BGS(a)		4.12			9/25/2045		97,727		97,714		96,705
Commonbond Student Loan Trust 2018-C-GS(a)		4.35			2/25/2046		81,249		81,241		78,562
Commonbond Student Loan Trust 2019-A-GS(a)		3.04			1/25/2047		2,310,419		2,309,842		2,226,933
Credit Suisse ABS Repackaging Trust 2013-A B(a)		2.50			1/25/2030		29,516		28,417		29,390
DB Master Finance LLC(a)		3.79			5/20/2049		939,897		939,898		969,513
DB Master Finance LLC(a)		4.02			5/20/2049		1,110,607		1,110,608		1,155,087
DB Master Finance LLC(a)		4.03			11/20/2047		977,500		945,823		1,029,910
Diamond Resorts Owner Trust 2016-1 A(a)		3.08			11/20/2028		215,633		215,633		215,683

See accompanying Notes to the Financial Statements.

104

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
Diamond Resorts Owner Trust 2018-1(a)		3.70	%		1/21/2031		299,772	$	299,772	$	303,946
Diamond Resorts Owner Trust 2019-1(a)		2.89			2/20/2032		1,514,772		1,514,581		1,509,754
Domino’s Pizza Master Issuer LLC(a)		4.12			7/25/2048		648,450		648,450		688,890
Domino’s Pizza Master Issuer LLC 2017-1 A(a)		3.08			7/25/2047		3,612,375		3,548,050		3,647,043
DRB Prime Student Loan Trust 2016-R A2(a)		3.07			10/25/2044		775,404		774,060		784,328
Drive Auto Receivables Trust		3.66			11/15/2024		381,427		381,378		385,057
Drive Auto Receivables Trust 2019-4		2.70			2/16/2027		1,983,000		1,982,956		1,982,703
DT Auto Owner Trust 2019-1(a)		3.61			11/15/2024		1,460,000		1,459,881		1,472,643
Earnest Student Loan Program 2017-A LLC(a)		3.59			1/25/2041		643,812		643,348		653,443
ECMC Group Student Loan Trust 2018-2, 1M USD LIBOR + 0.800%(a)		0.98	(b)		9/25/2068		816,127		816,127		788,706
EdLinc Student Loan Funding Trust 2017-A A, 1M USD LIBOR – 1.150%(a)		3.60	(b)		12/1/2047		1,039,824		1,032,922		1,026,223
Educational Funding of the South, Inc., 3M USD LIBOR + 0.650%		1.64	(b)		4/25/2035		1,041,457		1,036,377		1,006,974
EDvestinU Private Education Loan Issue No 1 LLC(a)		3.58			11/25/2038		1,582,395		1,582,131		1,604,825
Elara HGV Timeshare Issuer 2016-A LLC(a)		3.22			4/25/2028		540,999		536,461		530,557
Elara HGV Timeshare Issuer LLC 2014-A B(a)		3.02	(d)		2/25/2027		8,752		8,701		8,638
Elara HGV Timeshare Issuer LLC 2016-A A(a)		2.73			4/25/2028		784,590		772,469		780,663
Elara HGV Timeshare Issuer LLC 2017-A(a)		2.96			3/25/2030		1,260,496		1,251,795		1,231,625
Elara HGV Timeshare Issuer LLC 2017-A A(a)		2.69			3/25/2030		226,462		226,446		225,539
Elara HGV Timeshare Issuer LLC 2019-A(a)		3.45			1/25/2034		2,552,128		2,551,532		2,347,262
ELFI Graduate Loan Program LLC 2018-A(a)		4.00			8/25/2042		413,992		406,293		411,258
Exeter Automobile Receivables Eart 2019 1A(a)		4.13			12/16/2024		7,435,000		7,708,498		7,682,378
Exeter Automobile Receivables Trust 2019-3(a)		3.11			8/15/2025		1,545,000		1,544,709		1,540,130
First Franklin Mortgage Loan Trust 2004-FFH4 M5, 1M USD LIBOR + 1.575%		1.76	(b)		1/25/2035		59,481		59,714		59,170
Flagship Credit Auto Trust 2017-4(a)		3.58			1/15/2024		3,500,000		3,570,446		3,579,209
Flagship Credit Auto Trust 2019-1(a)		3.60			2/18/2025		2,175,000		2,176,391		2,124,469
Ford Credit Auto Owner Trust 2020-REV1(a)		2.54			8/15/2031		5,053,000		5,052,408		5,112,003
Global SC Finance II SRL 2014-1A A1(a),(c)		3.19			7/17/2029		126,583		126,563		126,061
Goal Capital Funding Trust 2010-1 A, 3M USD LIBOR + 0.700%(a)		1.06	(b)		8/25/2048		113,267		109,065		111,328
Goal Structured Solution Trust 2015-1 B, 1M USD LIBOR + 1.500%(a)		1.68	(b)		9/25/2043		100,000		77,569		92,134
Goodgreen 2019-2(a)		2.76			10/15/2054		2,211,194		2,211,194		2,190,911
Goodgreen Trust 2016-1 A(a)		3.23			10/15/2052		709,694		701,495		723,009
Goodgreen Trust 2018-1A A(a)		3.93			10/15/2053		3,125,143		3,160,074		3,250,599
Goodgreen Trust 2019-1(a)		3.86			10/15/2054		2,630,595		2,631,059		2,754,314
HERO Funding Trust 2015-1A A(a)		3.84			9/21/2040		463,788		471,618		493,456
HERO Funding Trust 2016-4A A1(a)		3.57			9/20/2047		208,741		208,662		218,564
HERO Funding Trust 2017-2A A1(a)		3.28			9/20/2048		77,695		77,686		80,248
HERO Funding Trust 2017-2A A2(a)		4.07			9/20/2048		61,046		62,488		64,289
HERO Funding Trust 2017-3A A1(a)		3.19			9/20/2048		519,069		518,902		531,048

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
HERO Funding Trust 2018-1(a)		4.67	%		9/20/2048		818,438	$	834,770	$	875,527
Hertz Fleet Lease Funding LP(a)		3.44			1/10/2033		2,625,000		2,624,604		2,336,048
Hertz Vehicle Financing II LP(a)		3.29			7/25/2022		1,000,000		991,760		947,785
Hertz Vehicle Financing II LP(a)		3.56			10/25/2021		2,300,000		2,290,998		2,200,228
Hertz Vehicle Financing II LP(a)		3.60			2/25/2024		3,200,000		3,265,568		3,061,884
Hertz Vehicle Financing II LP(a)		4.39			2/25/2024		3,000,000		2,650,207		2,682,416
Hertz Vehicle Financing LLC 2018-3(a)		4.37			7/25/2024		620,000		621,082		594,625
Higher Education Funding I 2004-1 B1, 28 Day ARS(a)		3.48	(b)		1/1/2044		950,000		838,597		777,211
Hilton Grand Vacations Trust 2017-AA B(a)		2.96	(d)		12/26/2028		497,110		498,437		467,618
Hilton Grand Vacations Trust 2018-A(a)		3.54			2/25/2032		266,435		266,429		270,302
Hilton Grand Vacations Trust 2019-A(a)		2.84			7/25/2033		2,200,967		2,200,967		2,010,426
Hilton Grand Vacations Trust 2020-A(a)		4.22			2/25/2039		2,920,730		2,920,677		2,950,679
Horizon Aircraft Finance I Ltd. 2018-1 A(a)		4.46			12/15/2038		444,111		444,102		400,685
KDAC Aviation Finance Ltd.(a)		4.21			12/15/2042		1,016,691		1,013,935		862,353
Kestrel Aircraft Funding Ltd.(a),(c)		4.25			12/15/2038		3,468,836		3,533,707		2,896,505
Laurel Road Prime Student Loan Trust 2017-B(a)		2.77			8/25/2042		3,483,584		3,538,417		3,559,123
Laurel Road Prime Student Loan Trust 2017-B CFX(a)		3.61			8/25/2042		235,506		235,473		233,142
Laurel Road Prime Student Loan Trust 2017-C B(a)		2.95			11/25/2042		271,253		271,154		268,820
Laurel Road Prime Student Loan Trust 2019-A(a)		3.00			10/25/2048		687,875		687,817		682,145
Lendmark Funding Trust 2018-1(a)		3.81			12/21/2026		630,000		629,973		629,835
MACH 1 Cayman 2019-1 Ltd.(a)		3.47			10/15/2039		1,476,854		1,476,807		1,219,793
Mariner Finance Issuance Trust 2018-A(a)		4.20			11/20/2030		1,848,000		1,847,879		1,826,333
Marlette Funding Trust 2019-1(a)		3.44			4/16/2029		391,245		391,237		387,559
Marlette Funding Trust 2019-2(a)		3.13			7/16/2029		590,146		590,094		577,512
Marlette Funding Trust 2019-2(a)		3.53			7/16/2029		976,000		975,827		973,627
Mosaic Solar Loan Trust 2018-2-GS(a)		4.20			2/22/2044		449,175		449,106		464,691
Mosaic Solar Loans LLC 2017-1A A(a)		4.45			6/20/2042		67,298		67,280		68,657
Navient Private Education Loan Trust 2018-B, 1M USD LIBOR + 0.720%(a)		0.90	(b)		12/15/2059		319,565		319,565		305,149
Navient Student Loan Trust 2015-1 B, 1M USD LIBOR + 1.500%		1.68	(b)		7/25/2052		1,100,000		1,095,946		1,040,055
Navient Student Loan Trust 2016-5A A, 1M USD LIBOR + 1.250%(a)		1.43	(b)		6/25/2065		801,374		804,718		784,999
Navient Student Loan Trust 2016-6 A3, 1M USD LIBOR + 1.300%(a)		1.48	(b)		3/25/2066		550,000		550,000		510,438
Navient Student Loan Trust 2018-1A A3, 1M USD LIBOR + 0.720%(a)		0.90	(b)		3/25/2067		1,600,000		1,600,000		1,428,149
Navient Student Loan Trust 2018-2, 1M USD LIBOR + 0.750%(a)		0.93	(b)		3/25/2067		1,360,000		1,360,000		1,287,366
Navient Student Loan Trust 2018-3, 1M USD LIBOR + 0.800%(a)		0.98	(b)		3/25/2067		1,600,000		1,600,000		1,579,416

See accompanying Notes to the Financial Statements.

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June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
Navient Student Loan Trust 2019-2, 1M USD LIBOR + 1.000%(a)		1.18	(b) %		2/27/2068		2,516,000	$	2,516,000	$	2,369,520
Navistar Financial Dealer Note Master Owner Trust II, 1M USD LIBOR + 0.950%(a)		1.13	(b)		5/25/2024		1,108,000		1,108,000		1,091,524
Navistar Financial Dealer Note Master Owner Trust II, 1M USD LIBOR + 1.050%(a)		1.23	(b)		9/25/2023		300,000		300,000		297,768
Navistar Financial Dealer Note Master Owner Trust II, 1M USD LIBOR + 1.450%(a)		1.63	(b)		5/25/2024		1,018,000		1,018,000		1,002,390
Navistar Financial Dealer Note Master Owner Trust II, 1M USD LIBOR + 1.550%(a)		1.73	(b)		9/25/2023		520,000		520,000		515,462
Nelnet Private Education Loan Trust 2016-A A1A, 1M USD LIBOR + 1.750%(a)		1.93	(b)		12/26/2040		114,575		114,575		114,868
Nelnet Private Education Loan Trust 2016-A A1B(a)		3.60			12/26/2040		137,508		137,413		140,266
Nelnet Student Loan Trust 2006-2 B, 3M USD LIBOR + 0.200%		1.19	(b)		1/25/2038		965,091		910,351		828,846
Nelnet Student Loan Trust 2006-3, 3M USD LIBOR + 0.250%		0.55	(b)		6/25/2041		1,610,451		1,509,356		1,331,281
Nelnet Student Loan Trust 2007-2, 28 Day ARS(a)		2.97	(b)		6/25/2035		2,000,000		1,976,047		1,758,782
Nelnet Student Loan Trust 2012-4, 1M USD LIBOR + 1.000%(a)		1.18	(b)		7/26/2049		900,000		870,034		818,452
Nelnet Student Loan Trust 2018-3, 1M USD LIBOR + 0.750%(a)		0.93	(b)		9/27/2066		1,300,000		1,300,000		1,243,728
Nelnet Student Loan Trust 2019-2, 1M USD LIBOR + 0.900%(a)		1.08	(b)		6/27/2067		958,013		958,013		937,214
New Residential Advance Receivables Trust Advance Receivables Backed 2019-T2(a)		3.06			8/15/2053		785,000		784,729		746,737
New Residential Advance Receivables Trust Advance Receivables Backed 2019-T3(a)		2.71			9/15/2052		1,370,000		1,370,000		1,341,974
New Residential Advance Receivables Trust Advance Receivables Backed 2019-T3(a)		3.06			9/15/2052		2,300,000		2,300,000		2,214,669
New Residential Advance Receivables Trust Advance Receivables Backed 2019-T4(a)		2.80			10/15/2051		2,956,000		2,956,000		2,630,840
NorthStar Student Loan Trust III 2016-1 A, 1M USD LIBOR + 1.250%(a)		1.43	(b)		5/27/2036		96,149		92,577		92,074
NovaStar Mortgage Funding Trust 2004-4 M5, 1M USD LIBOR + 1.725%		1.91	(b)		3/25/2035		208,156		208,156		205,364
NP SPE II LLC(a)		2.57			9/20/2049		734,746		734,746		727,948
NP SPE II LLC 2017-1A A1(a)		3.37			10/21/2047		337,810		337,810		344,435
OneMain Financial Issuance Trust 2019-2(a)		3.14			10/14/2036		5,800,000		5,797,528		5,815,420
OneMain Financial Issuance Trust 2019-2(a)		3.66			10/14/2036		2,400,000		2,399,498		2,028,136
Orange Lake Timeshare Trust 2016-A A(a)		2.61			3/8/2029		732,509		719,871		710,394
Orange Lake Timeshare Trust 2016-A B(a)		2.91			3/8/2029		296,887		293,382		254,106
Orange Lake Timeshare Trust 2018-A(a)		3.74			11/8/2030		577,082		586,550		524,478

See accompanying Notes to the Financial Statements.

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June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
Orange Lake Timeshare Trust 2019-A(a)		4.93	%		4/9/2038		1,977,917	$	1,977,522	$	1,816,977
Oscar US Funding X LLC(a),(c)		3.27			5/11/2026		2,240,000		2,239,681		2,329,430
Oxford Finance Funding 2020-1 LLC(a)		3.10			2/15/2028		1,296,000		1,296,000		1,311,716
Oxford Finance Funding LLC 2016-1A A(a)		3.97			6/17/2024		31,555		31,555		31,696
Pennsylvania Higher Education Assistance Agency, 28 day ARS		1.69	(b)		10/25/2042		950,000		937,271		919,268
Pioneer Aircraft Finance Ltd.(a),(c)		3.97			6/15/2044		970,050		970,050		833,955
Popular ABS Mortgage Pass-Through Trust 2006-B A3, 1M USD LIBOR + 0.280%		0.46	(b)		5/25/2036		12,805		12,375		12,716
Santander Revolving Auto Loan Trust 2019-A(a)		2.80			1/26/2032		687,000		686,709		658,563
Santander Revolving Auto Loan Trust 2019-A(a)		3.00			1/26/2032		439,000		438,862		436,072
Santander Revolving Auto Loan Trust 2019-A(a)		3.45			1/26/2032		867,000		866,958		862,539
SBA Tower Trust(a)		2.84			1/15/2025		5,300,000		5,300,000		5,358,702
SBA Tower Trust(a)		3.87			10/15/2049		1,300,000		1,304,952		1,372,842
Sierra Receivables Funding Co LLC 2017-1A A(a)		2.91			3/20/2034		311,590		312,445		309,821
Sierra Receivables Funding Co LLC 2018-1AB		4.24			4/20/2035		1,458,651		1,474,920		1,424,464
Sierra Timeshare 2016-2 Receivables Funding LLC(a)		2.78			7/20/2033		199,333		197,695		198,703
Sierra Timeshare 2018-2 Receivables Funding LLC(a)		3.94			6/20/2035		250,127		250,064		236,677
Sierra Timeshare 2018-3 Receivables Funding LLC(a)		5.20			9/20/2035		418,475		422,586		402,869
Sierra Timeshare 2019-1 Receivables Funding LLC(a)		3.77			1/20/2036		1,019,449		1,024,270		948,837
Sierra Timeshare 2019-1 Receivables Funding LLC(a)		4.75			1/20/2036		1,354,037		1,355,801		1,262,187
Sierra Timeshare 2019-3 Receivables Funding LLC(a)		3.00			8/20/2036		3,869,665		3,869,307		3,494,724
Sierra Timeshare 2019-3 Receivables Funding LLC(a)		4.18			8/20/2036		1,886,286		1,886,513		1,717,310
Sierra Timeshare Receivables Funding LLC 2015 3A B(a)		3.08			9/20/2032		29,824		29,652		29,646
Sierra Timeshare Receivables Funding LLC 2019-2(a)		3.12			5/20/2036		235,826		235,809		214,547
Sierra Timeshare Receivables Funding LLC 2019-2(a)		4.54			5/20/2036		1,764,352		1,769,692		1,627,840
SLC Student Loan Trust 2005-1 B, 3M USD LIBOR + 0.200%		0.59	(b)		2/15/2045		589,109		533,652		504,666
SLC Student Loan Trust 2006-1, 3M USD LIBOR + 0.210%		0.52	(b)		3/15/2055		2,071,084		1,930,494		1,788,343

See accompanying Notes to the Financial Statements.

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June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
SLC Student Loan Trust 2006-2 B, 3M USD LIBOR + 0.230%		0.54	(b) %		12/15/2039		1,549,630	$	1,446,387	$	1,360,916
SLM Student Loan Trust 2003-11, 3M USD LIBOR + 0.650%		0.96	(b)		12/15/2038		872,633		831,480		774,294
SLM Student Loan Trust 2003-14, 3M USD LIBOR + 0.600%(a)		1.59	(b)		10/25/2065		1,600,000		1,595,831		1,507,596
SLM Student Loan Trust 2003-14 A6, 3M USD LIBOR + 0.300%		1.29	(b)		7/25/2025		25,071		24,489		24,852
SLM Student Loan Trust 2003-4 B, 3M USD LIBOR + 0.650%		0.96	(b)		6/15/2038		337,448		323,568		303,789
SLM Student Loan Trust 2004-1, 3M USD LIBOR + 0.500%		1.49	(b)		7/25/2039		484,709		462,029		435,487
SLM Student Loan Trust 2004-8, 3M USD LIBOR + 0.460%		1.45	(b)		1/25/2040		1,014,293		963,497		890,442
SLM Student Loan Trust 2005-4 B, 3M USD LIBOR + 0.180%		1.17	(b)		7/25/2055		648,125		579,796		571,850
SLM Student Loan Trust 2005-5, 3M USD LIBOR + 0.250%		1.24	(b)		10/25/2040		650,047		611,479		565,068
SLM Student Loan Trust 2005-6 B, 3M USD LIBOR + 0.290%		1.28	(b)		1/25/2044		1,897,091		1,775,068		1,484,216
SLM Student Loan Trust 2005-9, 3M USD LIBOR + 0.300%		1.29	(b)		1/25/2041		750,598		718,715		652,958
SLM Student Loan Trust 2006-2(e)		Zero Coupon			1/25/2041		3,956		1,621,960		2,021,728
SLM Student Loan Trust 2006-5 B, 3M USD LIBOR + 0.210%		1.20	(b)		10/25/2040		509,937		456,068		467,958
SLM Student Loan Trust 2006-7 B, 3M USD LIBOR + 0.200%		1.19	(b)		1/27/2042		488,905		455,644		417,053
SLM Student Loan Trust 2006-9 A5, 3M USD LIBOR + 0.100%		1.09	(b)		1/26/2026		16,064		15,792		15,661
SMB Private Education Loan Trust 2014-A(a)		4.00			9/15/2042		1,250,000		1,271,133		1,239,281
SMB Private Education Loan Trust 2014-A A2B, 1M USD LIBOR + 1.150%(a)		1.33	(b)		5/15/2026		181,266		182,235		181,266
SMB Private Education Loan Trust 2015-A A2B, 1M USD LIBOR + 1.000%(a)		1.18	(b)		6/15/2027		34,084		33,690		33,125
SMB Private Education Loan Trust 2015-A A3, 1M USD LIBOR + 1.500%(a)		1.68	(b)		2/17/2032		900,000		917,927		894,248
SMB Private Education Loan Trust 2015-C(a)		4.50			9/17/2046		1,710,000		1,753,651		1,637,490
SMB Private Education Loan Trust 2015-C A3, 1M USD LIBOR + 1.950%(a)		2.13	(b)		8/16/2032		700,000		727,341		710,273
SMB Private Education Loan Trust 2016-B A2B, 1M USD LIBOR + 1.450%(a)		1.63	(b)		2/17/2032		71,704		71,705		71,550
SMB Private Education Loan Trust 2016-C A2B, 1M USD LIBOR + 1.100%(a)		1.28	(b)		9/15/2034		171,603		171,603		169,923
SoFi Alternative Trust 2019-C(a),(e)		4.85			1/25/2045		3,338,621		3,451,708		3,625,946

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
SoFi Consumer Loan Program 2020-1 Trust(a)		2.94	%		1/25/2029		4,000,000	$	3,999,330	$	3,150,395
SoFi Consumer Loan Program LLC 2016-1A A(a)		3.26			8/25/2025		175,202		175,633		176,069
SoFi Consumer Loan Program LLC 2016-2A A(a)		3.09			10/27/2025		9,676		9,675		9,649
SoFi Consumer Loan Program LLC 2017-2 A(a)		3.28			2/25/2026		67,364		67,290		67,291
SoFi Consumer Loan Program LLC 2017-3 A(a)		2.77			5/25/2026		152,072		152,072		152,823
SoFi Consumer Loan Program Trust 2019-3(a)		3.89			5/25/2028		2,766,000		2,767,906		2,775,713
SoFi Professional Loan Program 2017-C LLC(a)		4.21			7/25/2040		2,410,000		2,521,446		2,413,090
SoFi Professional Loan Program 2018-A LLC(a),(e)		Zero Coupon			2/25/2042		1,372,500		1,019,293		661,977
SoFi Professional Loan Program 2018-B Trust(a),(e)		Zero Coupon			8/26/2047		1,265,700		716,868		499,066
SoFi Professional Loan Program 2018-D Trust(a),(e)		Zero Coupon			2/25/2048		1,887,200		693,389		459,911
SoFi Professional Loan Program 2019-A LLC(a),(e)		Zero Coupon			6/15/2048		3,522,900		1,091,642		864,872
SoFi Professional Loan Program 2019-A LLC(a)		4.11			6/15/2048		870,000		876,505		888,652
SoFi Professional Loan Program LLC 2015-C A2(a)		2.51			8/25/2033		15,017		14,953		14,685
SoFi Professional Loan Program LLC 2016-B A1, 1M USD LIBOR + 1.200%(a)		1.38	(b)		6/25/2033		154,403		155,996		153,634
SoFi Professional Loan Program LLC 2016-D A1, 1M USD LIBOR + 0.950%(a)		1.13	(b)		1/25/2039		32,250		32,250		32,250
SoFi Professional Loan Program LLC 2017-D R1(a)		Zero Coupon			9/25/2040		1,233,700		750,338		428,168
Store Master Funding I-VII A3(a)		4.40			10/20/2048		1,884,167		1,903,397		1,847,931
Taco Bell Funding LLC 2016-1A A23(a)		4.97			5/25/2046		1,188,250		1,227,053		1,234,914
Taco Bell Funding LLC 2018-1A A2I(a)		4.32			11/25/2048		4,659,050		4,716,211		4,758,195
TAL Advantage LLC 2017-1A A(a)		4.50			4/20/2042		488,057		493,530		492,823
TAL Advantage V LLC(a)		3.33			5/20/2039		804,517		799,556		799,569
Textainer Marine Containers VII Ltd.(a)		4.11			7/20/2043		646,500		639,199		655,314
TLF National Tax Lien Trust 2017-1(a)		3.09			12/15/2029		1,205,362		1,199,199		1,213,115
Trafigura Securitisation Finance plc 2018-1, 1M USD LIBOR + 0.730%(a),(c)		0.91	(b)		3/15/2022		1,820,000		1,816,095		1,815,166
Trafigura Securitisation Finance plc 2018-1(a),(c)		4.29			3/15/2022		1,800,000		1,799,939		1,793,162
Trinity Rail Leasing 2019 LLC(a)		3.82			4/17/2049		2,183,222		2,182,153		2,226,146
Trinity Rail Leasing LP(a)		3.82			6/17/2048		799,263		798,980		802,481

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)
Other Asset-Backed Securities (Continued)
TRIP Rail Master Funding LLC 2011-1A A2(a)		6.02	%		7/15/2041		1,248,118	$	1,327,761	$	1,286,227
TRIP Rail Master Funding LLC 2017-1A A1(a)		2.71			8/15/2047		88,577		88,576		88,618
Triton Container Finance V LLC(a)		3.95			3/20/2043		271,250		271,075		270,491
VSE 2018-A Voi Mortgage LLC(a)		4.02			2/20/2036		272,665		272,632		248,255
Wachovia Student Loan Trust 2005-1 B, 3M USD LIBOR + 0.300%		1.29	(b)		10/25/2040		547,400		505,465		500,132
Welk Resorts LLC 2017-AA B(a)		3.41			6/15/2033		678,063		681,383		653,503
Westgate Resorts LLC 2017-1A A(a)		3.05			12/20/2030		167,047		167,047		166,468
Westgate Resorts LLC 2018-1(a)		3.38			12/20/2031		386,097		385,507		379,578
Westlake Automobile Receivables Trust 2019-3(a)		3.59			3/17/2025		2,182,000		2,181,670		2,161,299
Willis Engine Structured Trust IV(a)		4.75			9/15/2043		1,094,187		1,109,109		826,023
Total Other Asset-Backed Securities							292,526,142		288,723,009		276,884,698
Total Asset-Backed Securities							332,110,832		328,276,114		315,592,529
Corporate Bonds — 39.6%*:
Advertising — 0.1%*:
Interpublic Group of Cos., Inc. (The)		3.75			10/1/2021		820,000		821,517		850,151
Agriculture — 1.6%*:
BAT Capital Corp.(c)		3.22			8/15/2024		3,115,000		3,142,918		3,336,121
Bunge Ltd. Finance Corp.		3.00			9/25/2022		1,840,000		1,825,278		1,917,721
Bunge Ltd. Finance Corp.		3.50			11/24/2020		1,520,000		1,523,511		1,534,366
Imperial Brands Finance plc(a),(c)		3.13			7/26/2024		1,917,000		1,935,580		1,990,890
Imperial Brands Finance plc(a),(c)		3.50			2/11/2023		1,347,000		1,350,800		1,397,489
Reynolds American, Inc.		4.00			6/12/2022		2,170,000		2,178,273		2,292,583
Total Agriculture							11,909,000		11,956,360		12,469,170
Auto Manufacturers — 1.8%*:
Ford Motor Credit Co. LLC, 3M USD LIBOR + 1.235%		1.63	(b)		2/15/2023		985,000		985,000		881,684
Ford Motor Credit Co. LLC, 3M USD LIBOR + 0.810%		2.18	(b)		4/5/2021		1,135,000		1,135,000		1,089,335
Ford Motor Credit Co. LLC		3.09			1/9/2023		1,860,000		1,864,936		1,771,650
Ford Motor Credit Co. LLC		3.35			11/1/2022		2,075,000		2,075,942		1,987,393
Ford Motor Credit Co. LLC		5.09			1/7/2021		350,000		350,135		349,668
General Motors Financial Co., Inc.		3.25			1/5/2023		4,615,000		4,575,993		4,715,540
Hyundai Capital America(a)		2.38			2/10/2023		1,920,000		1,928,815		1,934,364
Hyundai Capital America(a),(c)		2.85			11/1/2022		1,320,000		1,319,879		1,346,954
Nissan Motor Acceptance Corp.(a),(c)		1.90			9/14/2021		670,000		668,618		657,883
Total Auto Manufacturers							14,930,000		14,904,318		14,734,471

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Beverages — 0.2%*:
Bacardi Ltd.(a),(c)		4.45	%		5/15/2025		319,000	$	336,986	$	348,988
Molson Coors Beverage Co.		2.10			7/15/2021		325,000		324,364		328,990
Molson Coors Beverage Co.		3.50			5/1/2022		1,089,000		1,083,790		1,136,284
Total Beverages							1,733,000		1,745,140		1,814,262
Chemicals — 1.7%*:
DuPont de Nemours, Inc.		4.49			11/15/2025		2,960,000		3,261,495		3,404,604
Huntsman International LLC		5.13			11/15/2022		4,730,000		4,848,021		5,010,492
RPM International, Inc.		3.45			11/15/2022		1,155,000		1,160,067		1,192,114
Sherwin-Williams Co. (The)		2.75			6/1/2022		90,000		89,336		92,955
Syngenta Finance NV(a),(c)		3.93			4/23/2021		500,000		500,693		504,867
Syngenta Finance NV(a),(c)		4.44			4/24/2023		3,170,000		3,283,687		3,327,083
Total Chemicals							12,605,000		13,143,299		13,532,115
Commercial Banks — 8.5%*:
ABN AMRO Bank NV(a),(c)		4.75			7/28/2025		1,840,000		2,037,333		2,027,824
Banco Santander SA(c)		2.75			5/28/2025		1,600,000		1,600,000		1,658,104
Banco Santander SA(c)		3.50			4/11/2022		2,400,000		2,405,981		2,496,075
Bank of America Corp., 3M USD LIBOR + 0.930%		2.82	(b),(d)		7/21/2023		7,545,000		7,520,408		7,836,905
Bank of Nova Scotia (The)(c)		4.50			12/16/2025		1,795,000		1,955,611		2,039,489
Barclays Bank plc, 3M USD LIBOR + 1.380%(c)		1.77	(b)		5/16/2024		1,235,000		1,229,309		1,223,706
Barclays Bank plc(a),(c)		10.18			6/12/2021		3,435,000		3,670,940		3,714,591
BPCE SA(a),(c)		5.70			10/22/2023		3,525,000		3,944,499		3,928,063
Citigroup, Inc.		4.40			6/10/2025		3,500,000		3,825,422		3,919,318
Credit Suisse AG(a),(c)		6.50			8/8/2023		3,720,000		4,069,073		4,055,767
Danske Bank A/S(a),(c)		5.00			1/12/2022		1,990,000		2,058,135		2,090,714
Discover Bank		4.20			8/8/2023		2,185,000		2,235,820		2,385,939
First Horizon National Corp.		3.50			12/15/2020		2,170,000		2,172,116		2,186,934
Goldman Sachs Group, Inc. (The)		3.20			2/23/2023		1,855,000		1,901,587		1,968,255
Goldman Sachs Group, Inc. (The)		4.25			10/21/2025		5,770,000		6,515,256		6,495,240
HSBC Holdings plc(c)		4.25			3/14/2024		3,615,000		3,809,963		3,900,361
Mitsubishi UFJ Financial Group, Inc.(c)		2.67			7/25/2022		2,580,000		2,549,029		2,681,755
Morgan Stanley, SOFRRATE + 1.990%		2.19	(b)		4/28/2026		1,795,000		1,795,000		1,868,970
Morgan Stanley		4.10			5/22/2023		1,785,000		1,899,404		1,929,082
Morgan Stanley MTN		3.75			2/25/2023		1,886,000		1,938,535		2,035,355
Sumitomo Mitsui Financial Group, Inc.(c)		1.47			7/8/2025		1,440,000		1,440,000		1,441,763
Sumitomo Mitsui Financial Group, Inc.		2.45			9/27/2024		2,025,000		2,025,000		2,124,082
Sumitomo Mitsui Financial Group, Inc.(c)		3.75			7/19/2023		1,110,000		1,165,531		1,202,302
Synchrony Bank		3.00			6/15/2022		1,680,000		1,642,477		1,715,367
UBS Group AG(a),(c)		4.13			9/24/2025		1,500,000		1,645,951		1,700,182
Total Commercial Banks							63,981,000		67,052,380		68,626,143
Commercial Services — 0.3%*:
ADT Security Corp. (The)		6.25			10/15/2021		2,080,000		2,164,457		2,132,000

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Construction Materials — 0.1%*:
Masco Corp.		3.50	%		4/1/2021		590,000	$	591,333	$	598,134
Diversified Financial Services — 3.7%*:
AerCap Ireland Capital DAC / AerCap Global Aviation Trust(c)		2.88			8/14/2024		4,960,000		4,965,204		4,656,894
AerCap Ireland Capital DAC / AerCap Global Aviation Trust		4.50			9/15/2023		1,095,000		1,088,047		1,095,128
Aircastle Ltd.		5.00			4/1/2023		4,431,000		4,583,058		4,317,228
Antares Holdings LP(a)		6.00			8/15/2023		2,160,000		2,218,998		2,071,853
Athene Global Funding(a)		2.75			6/25/2024		4,355,000		4,360,956		4,417,272
Avolon Holdings Funding Ltd.(a),(c)		2.88			2/15/2025		1,470,000		1,468,400		1,233,562
Brookfield Finance LLC(c)		4.00			4/1/2024		2,275,000		2,341,528		2,466,862
Genpact Luxembourg Sarl		3.70			4/1/2022		2,175,000		2,184,717		2,233,256
Lazard Group LLC		3.75			2/13/2025		3,430,000		3,654,849		3,641,872
LeasePlan Corp. NV(a),(c)		2.88			10/24/2024		1,125,000		1,122,785		1,150,329
Synchrony Financial		2.85			7/25/2022		2,510,000		2,512,592		2,552,882
Total Diversified Financial Services							29,986,000		30,501,134		29,837,138
Electric — 1.1%*:
Ameren Corp.		2.50			9/15/2024		1,320,000		1,319,630		1,398,797
Ameren Corp.		2.70			11/15/2020		760,000		760,934		764,651
Enel Finance International NV(a),(c)		2.88			5/25/2022		1,050,000		1,048,749		1,086,065
Entergy Corp.		4.00			7/15/2022		750,000		763,766		796,033
Entergy Texas, Inc.		2.55			6/1/2021		460,000		459,974		467,092
Pacific Gas and Electric Co.		1.75			6/16/2022		2,720,000		2,719,840		2,724,352
Puget Energy, Inc.		6.00			9/1/2021		1,275,000		1,316,392		1,344,969
Total Electric							8,335,000		8,389,285		8,581,959
Electronics — 0.1%*:
FLIR Systems, Inc.		3.13			6/15/2021		855,000		860,160		868,958
Healthcare-Products — 0.2%*:
Becton Dickinson and Co., 3M USD LIBOR + 0.875%		1.18	(b)		12/29/2020		1,826,000		1,825,708		1,826,118
Home Builders — 0.3%*:
Lennar Corp.		4.75			4/1/2021		2,650,000		2,673,401		2,682,012
Household Products/Wares — 0.3%*:
Church & Dwight Co., Inc.		2.88			10/1/2022		2,360,000		2,347,470		2,466,897
Housewares — 0.6%*:
Newell Brands, Inc.		4.35			4/1/2023		4,379,000		4,462,740		4,509,494
Insurance — 2.9%*:
American International Group, Inc.		2.50			6/30/2025		565,000		564,405		598,104
American International Group, Inc.		3.75			7/10/2025		2,600,000		2,748,735		2,877,267

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Insurance (Continued)
AmTrust Financial Services, Inc.		6.13	%		8/15/2023		3,245,000	$	3,317,373	$	3,010,841
Athene Global Funding(a)		2.50			1/14/2025		1,610,000		1,612,809		1,607,461
CNA Financial Corp.		5.75			8/15/2021		1,191,000		1,224,506		1,255,218
Enstar Group Ltd.(c)		4.50			3/10/2022		2,750,000		2,778,340		2,786,091
Equitable Holdings, Inc.		3.90			4/20/2023		368,000		381,440		393,906
Jackson National Life Global Funding(a)		2.50			6/27/2022		2,475,000		2,467,054		2,553,262
Lincoln National Corp.		4.00			9/1/2023		472,000		478,398		513,902
Lincoln National Corp.		4.20			3/15/2022		725,000		743,759		767,801
Trinity Acquisition PLC		3.50			9/15/2021		2,662,000		2,667,679		2,727,223
Unum Group		3.88			11/5/2025		2,625,000		2,694,964		2,725,377
Unum Group		4.50			3/15/2025		1,100,000		1,094,313		1,181,516
Willis Towers Watson PLC		5.75			3/15/2021		370,000		376,077		381,818
Total Insurance							22,758,000		23,149,852		23,379,787
Investment Company Security — 1.5%*:
Ares Capital Corp.		4.20			6/10/2024		4,940,000		5,031,556		5,058,223
BlackRock TCP Capital Corp.		3.90			8/23/2024		3,630,000		3,593,901		3,543,097
BlackRock TCP Capital Corp.		4.13			8/11/2022		1,140,000		1,137,787		1,142,859
TPG Specialty Lending, Inc.		3.88			11/1/2024		2,660,000		2,637,392		2,653,528
Total Investment Company Security							12,370,000		12,400,636		12,397,707
Iron/Steel — 0.2%*:
Steel Dynamics, Inc.		2.40			6/15/2025		710,000		707,331		731,228
Steel Dynamics, Inc.		2.80			12/15/2024		1,070,000		1,069,281		1,113,564
Total Iron/Steel							1,780,000		1,776,612		1,844,792
IT Services — 1.3%*:
Dell International LLC/EMC Corp.(a)		4.00			7/15/2024		2,472,000		2,541,661		2,664,701
Dell International LLC/EMC Corp.(a)		5.85			7/15/2025		1,155,000		1,298,173		1,327,326
Genpact Luxembourg Sarl		3.38			12/1/2024		2,080,000		2,086,532		2,146,434
Leidos Holdings, Inc.		4.45			12/1/2020		2,275,000		2,280,508		2,268,459
Leidos, Inc.(a)		2.95			5/15/2023		1,635,000		1,628,713		1,703,179
Total IT Services							9,617,000		9,835,587		10,110,099
Lodging — 0.7%*:
Las Vegas Sands Corp.		3.20			8/8/2024		4,595,000		4,607,447		4,579,144
Marriott International, Inc.		5.75			5/1/2025		679,000		678,974		737,637
Total Lodging							5,274,000		5,286,421		5,316,781
Machinery-Diversified — 0.3%*:
CNH Industrial Capital LLC		1.95			7/2/2023		515,000		511,756		518,380
CNH Industrial Capital LLC		3.88			10/15/2021		1,110,000		1,116,037		1,137,607
CNH Industrial NV(c)		4.50			8/15/2023		900,000		909,463		966,893
Total Machinery-Diversified							2,525,000		2,537,256		2,622,880

See accompanying Notes to the Financial Statements.

114

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Media — 0.4%*:
Discovery Communications LLC		2.95	%		3/20/2023		1,178,000	$	1,191,180	$	1,237,590
Sirius XM Radio, Inc.(a)		3.88			8/1/2022		1,898,000		1,896,882		1,912,444
Total Media							3,076,000		3,088,062		3,150,034
Mining — 1.0%*:
Glencore Finance Canada Ltd.(a),(c)		4.25			10/25/2022		484,000		496,432		511,660
Glencore Funding LLC(a),(c)		3.00			10/27/2022		730,000		728,957		750,885
Glencore Funding LLC(a),(c)		4.13			5/30/2023		1,880,000		1,915,342		2,009,775
Kinross Gold Corp.		5.13			9/1/2021		1,365,000		1,392,865		1,402,788
Kinross Gold Corp.(c)		5.95			3/15/2024		2,785,000		2,898,260		3,130,578
Total Mining							7,244,000		7,431,856		7,805,686
Oil and Gas — 1.1%*:
Continental Resources, Inc.		5.00			9/15/2022		988,000		992,469		970,710
EQT Corp.		3.00			10/1/2022		3,185,000		3,130,400		2,962,050
EQT Corp.		6.13			2/1/2025		1,420,000		1,420,000		1,415,058
Newfield Exploration Co.		5.63			7/1/2024		2,205,000		2,420,142		2,106,984
Valero Energy Corp.		2.70			4/15/2023		1,630,000		1,628,312		1,691,169
Total Oil and Gas							9,428,000		9,591,323		9,145,971
Packaging and Containers — 0.3%*:
Graphic Packaging International, Inc.		4.75			4/15/2021		2,696,000		2,719,680		2,729,700
Pharmaceuticals — 1.1%*:
AbbVie, Inc.(a)		3.80			3/15/2025		1,925,000		2,078,492		2,135,817
Cardinal Health, Inc., 3M USD LIBOR + 0.770%		1.08	(b)		6/15/2022		3,085,000		3,084,723		3,079,652
Mylan, Inc.(a)		3.13			1/15/2023		1,920,000		1,884,686		2,017,889
Teva Pharmaceutical Finance Netherlands III B.V.(c)		2.20			7/21/2021		1,008,000		983,665		987,477
Upjohn, Inc.(a)		1.65			6/22/2025		960,000		957,898		978,845
Total Pharmaceuticals							8,898,000		8,989,464		9,199,680
Pipelines — 1.8%*:
Energy Transfer Partners LP		4.20			9/15/2023		4,765,000		4,837,213		5,062,825
EnLink Midstream Partners LP		4.40			4/1/2024		2,020,000		2,013,017		1,677,610
EQM Midstream Partners LP		4.75			7/15/2023		2,250,000		2,291,708		2,265,142
MPLX LP, 3M USD LIBOR + 1.100%		1.41	(b)		9/9/2022		3,955,000		3,955,000		3,889,386
Plains All American Pipeline LP / PAA Finance Corp.		3.85			10/15/2023		1,644,000		1,691,927		1,704,852
Total Pipelines							14,634,000		14,788,865		14,599,815
Real Estate Investment Trusts — 1.2%*:
CubeSmart LP		4.38			12/15/2023		1,339,000		1,413,246		1,461,664
Essex Portfolio LP		3.50			4/1/2025		515,000		540,043		561,459

See accompanying Notes to the Financial Statements.

115

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Real Estate Investment Trusts (Continued)
Essex Portfolio LP		3.88	%		5/1/2024		654,000	$	689,361	$	711,535
Service Properties Trust		4.35			10/1/2024		2,175,000		2,254,647		1,960,336
Tanger Properties LP		3.75			12/1/2024		725,000		740,978		703,729
Tanger Properties LP		3.88			12/1/2023		1,890,000		1,922,210		1,857,138
VEREIT Operating Partnership LP		4.60			2/6/2024		2,140,000		2,222,639		2,283,181
Total REITS							9,438,000		9,783,124		9,539,042
Retail — 1.7%*:
Advance Auto Parts, Inc.		4.50			12/1/2023		2,157,000		2,242,816		2,340,103
Dollar Tree, Inc.		3.70			5/15/2023		3,170,000		3,177,213		3,397,366
O’Reilly Automotive, Inc.		3.80			9/1/2022		284,000		284,400		298,277
O’Reilly Automotive, Inc.		3.85			6/15/2023		3,389,000		3,440,605		3,567,995
QVC, Inc.		4.38			3/15/2023		3,660,000		3,632,441		3,659,634
Total Retail							12,660,000		12,777,475		13,263,375
Semiconductors — 0.4%*:
Microchip Technology, Inc.		3.92			6/1/2021		1,435,000		1,435,475		1,462,967
NXP BV/NXP Funding LLC(a)		4.13			6/1/2021		1,670,000		1,677,890		1,719,824
Total Semiconductors							3,105,000		3,113,365		3,182,791
Telecommunications — 1.4%*:
AT&T, Inc.		3.40			5/15/2025		1,845,000		1,938,479		2,027,579
Qwest Corp.		6.75			12/1/2021		2,480,000		2,602,314		2,620,880
Sprint Communications, Inc.		9.25			4/15/2022		1,005,000		1,097,990		1,110,525
T-Mobile USA, Inc.(a)		1.50			2/15/2026		1,825,000		1,821,944		1,824,872
Telefonaktiebolaget LM Ericsson(c)		4.13			5/15/2022		3,450,000		3,466,001		3,612,150
Total Telecommunications							10,605,000		10,926,728		11,196,006
Transportation — 0.7%*:
Penske Truck Leasing Co. LP/PTL Finance Corp.(a)		2.70			3/14/2023		410,000		405,561		419,616
Penske Truck Leasing Co. LP/PTL Finance Corp.(a)		3.30			4/1/2021		240,000		241,251		243,317
Penske Truck Leasing Co. LP/PTL Finance Corp.(a)		3.38			2/1/2022		830,000		832,387		851,437
Penske Truck Leasing Co. LP/PTL Finance Corp.(a)		4.88			7/11/2022		1,040,000		1,059,155		1,107,814
Ryder System, Inc.		2.50			9/1/2022		26,000		25,400		26,769
Ryder System, Inc.		3.40			3/1/2023		330,000		327,521		346,160
Ryder System, Inc.		3.75			6/9/2023		1,085,000		1,108,342		1,157,810
Ryder System, Inc.		3.88			12/1/2023		392,000		400,145		422,268
Ryder System, Inc. MTN		2.25			9/1/2021		635,000		633,714		643,465
Total Transportation							4,988,000		5,033,476		5,218,656

See accompanying Notes to the Financial Statements.

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June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Trucking and Leasing — 0.8%*:
DAE Funding LLC(a),(c)		4.00	%		8/1/2020		726,000	$	726,458	$	720,555
Park Aerospace Holdings Ltd.(a),(c)		5.25			8/15/2022		6,270,000		6,428,903		5,885,480
Total Trucking and Leasing							6,996,000		7,155,361		6,606,035
Venture Capital — 0.2%*:
Hercules Capital, Inc.		4.63			10/23/2022		1,625,000		1,620,602		1,565,540
Total Corporate Bonds							308,756,000		315,444,447		318,403,399
Mortgage-Backed Securities — 13.7%*:
Angel Oak Mortgage Trust 2019-3(a)		3.24	(f)		5/25/2059		2,523,269		2,523,240		2,490,345
Angel Oak Mortgage Trust 2019-6(a)		3.39	(f)		11/25/2059		3,250,000		3,250,000		3,123,072
Angel Oak Mortgage Trust LLC(a)		3.90	(f)		11/25/2047		2,250,000		2,250,000		2,131,623
BAMLL Commercial Mortgage Securities Trust 2018-DSNY, 1M USD LIBOR + 1.350%(a)		1.53	(b)		9/15/2034		270,000		270,000		244,268
BAMLL Commercial Mortgage Securities Trust 2019-BPR(a)		4.02	(f)		11/5/2032		3,420,000		3,439,915		3,091,281
BHMS, 1M USD LIBOR + 1.500%(a)		1.68	(b)		7/15/2035		1,800,000		1,800,000		1,660,238
BHMS 2018-ATLS, 1M USD LIBOR + 1.250%(a)		1.43	(b)		7/15/2035		2,750,000		2,750,000		2,605,434
BX Commercial Mortgage Trust 2019-XL, 1M USD LIBOR + 1.800%(a)		1.98	(b)		10/15/2036		1,149,347		1,149,347		1,103,184
BX Commercial Mortgage Trust 2019-XL, 1M USD LIBOR + 2.000%(a)		2.18	(b)		10/15/2036		3,701,222		3,710,215		3,557,106
BX Commercial Mortgage Trust 2020-BXLP, 1M USD LIBOR + 1.600%(a)		1.78	(b)		12/15/2036		5,417,000		5,416,385		5,186,487
CAMB Commercial Mortgage Trust 2019-LIFE, 1M USD LIBOR + 2.150%(a)		2.33	(b)		12/15/2037		1,499,283		1,499,283		1,429,523
Citigroup Mortgage Loan Trust 2019-IMC1(a)		3.03	(f)		7/25/2049		1,524,656		1,523,923		1,518,101
Citigroup Mortgage Loan Trust 2019-IMC1(a)		3.17	(f)		7/25/2049		3,101,000		3,100,423		2,825,247
COMM 2015-CCRE22 Mortgage Trust		3.93	(f)		3/10/2048		1,650,000		1,640,465		1,701,584
COMM 2015-DC1 Mortgage Trust		4.04	(f)		2/10/2048		1,087,775		1,110,542		1,095,636
COMM 2016-CR28 Mortgage Trust		3.76	(f)		2/10/2049		2,250,000		2,479,907		2,505,623
COMM Mortgage Trust 2014-UBS2 B		4.70	(f)		3/10/2047		600,000		641,738		623,321
Connecticut Avenue Securities Trust 2019-R02, 1M USD LIBOR + 2.300%(a)		2.48	(b)		8/25/2031		8,351,060		8,329,407		8,221,193
Connecticut Avenue Securities Trust 2019-R03, 1M USD LIBOR + 2.150%(a)		2.33	(b)		9/25/2031		1,540,766		1,550,125		1,522,543
Credit Suisse Mortgage Capital Certificates 2019-ICE4, 1M USD LIBOR + 1.600%(a)		1.78	(b)		5/15/2036		960,000		960,000		930,012
Deephave Residential Mortgage Trust 2019-2(a)		3.92	(f)		4/25/2059		672,000		672,000		652,401

See accompanying Notes to the Financial Statements.

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June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Mortgage-Backed Securities (Continued)
Deephaven Residential Mortgage Trust 2018-1(a)		2.98	(f) %		12/25/2057		384,448	$	379,979	$	388,147
Deephaven Residential Mortgage Trust 2018-1(a)		3.03	(f)		12/25/2057		328,804		328,800		327,902
Deephaven Residential Mortgage Trust 2018-2(a)		3.68	(f)		4/25/2058		697,692		697,684		695,565
Deephaven Residential Mortgage Trust 2018-3(a)		3.96	(f)		8/25/2058		659,548		658,702		666,198
Deephaven Residential Mortgage Trust 2018-4(a)		4.29	(f)		10/25/2058		925,687		925,687		931,567
Deephaven Residential Mortgage Trust 2019-4(a)		3.48	(f)		10/25/2059		4,400,000		4,399,950		4,213,252
Federal Home Loan Mortgage Corp., 1M USD LIBOR + 1.500%		1.00	(b)		6/25/2050		9,400,000		9,400,000		9,400,000
FWD Securitization Trust 2020-INV1(a)		2.85	(f)		1/25/2050		1,804,000		1,803,912		1,654,405
GS Mortgage Securities Trust 2016-GS2		4.68	(f)		5/10/2049		1,000,000		1,049,847		912,302
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11		3.96	(f)		4/15/2046		1,015,000		1,002,835		735,640
JP Morgan Chase Commercial Mortgage Securities Trust 2018-LAQ, 1M USD LIBOR + 1.000%(a)		1.18	(b)		6/15/2032		6,585,003		6,582,152		6,190,285
JP Morgan Mortgage Trust 2017-6 A5(a)		3.50	(f)		12/25/2048		480,035		486,109		487,351
JP Morgan Mortgage Trust 2018-1(a)		3.50	(f)		6/25/2048		398,797		401,945		403,679
KNDL 2019-KNSQ Mortgage Trust, 1M USD LIBOR + 1.800%(a)		1.98	(b)		5/15/2036		865,000		865,000		831,532
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7		3.77	(f)		2/15/2046		1,340,000		1,371,001		1,321,530
Morgan Stanley Capital I Trust 2012-STAR(a)		4.06	(f)		8/5/2034		1,300,000		1,300,473		1,265,371
MSCG Trust 2018-SELF, 1M USD LIBOR + 1.180%(a)		1.36	(b)		10/15/2037		165,000		165,000		157,139
New Residential Mortgage Loan Trust 2019-A1(a)		3.60	(f)		4/25/2049		534,795		534,795		547,502
New Residential Mortgage Loan Trust 2019-A3(a)		3.75	(f)		4/25/2049		1,830,029		1,830,029		1,859,032
New Residential Mortgage Loan Trust 2019-NQM1(a)		3.93	(f)		1/25/2049		1,647,420		1,647,499		1,622,276
New Residential Mortgage Loan Trust 2020-NQM1(a)		3.21	(f)		1/26/2060		2,252,000		2,252,000		2,007,107
OBX 2020-INV1 Trust(a)		3.50	(f)		12/25/2049		3,017,600		3,072,311		3,076,824
PNMAC GMSR Issuer Trust 2018-GT1, 1M USD LIBOR + 2.850%(a)		3.03	(b)		2/25/2023		470,000		470,000		460,634
PSMC Trust(a)		3.50	(f)		2/25/2048		629,266		628,515		637,150
PSMC Trust 2018-2(a)		3.50	(f)		6/25/2048		484,904		477,270		491,600
Sequoia Mortgage Trust 2015-1(a)		2.50	(f)		1/25/2045		211,224		208,117		211,499
Sequoia Mortgage Trust 2018-5(a)		3.50	(f)		5/25/2048		413,894		409,496		419,627
Sequoia Mortgage Trust 2018-7(a)		4.00	(f)		9/25/2048		132,334		132,973		133,296

See accompanying Notes to the Financial Statements.

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June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Mortgage-Backed Securities (Continued)
Sequoia Mortgage Trust 2019-1(a)		4.00	(f) %		2/25/2049		172,135	$	173,707	$	173,670
Shellpoint Co-Originator Trust 2016-1 2A3(a)		3.00	(f)		10/25/2031		454,570		458,531		464,473
Starwood Mortgage Residential Trust 2019-INV1(a)		2.92	(f)		9/27/2049		2,073,266		2,073,266		2,034,090
Starwood Mortgage Residential Trust 2020-1(a)		2.88	(f)		2/25/2050		4,700,000		4,699,872		4,154,824
TIAA Bank Mortgage Loan Trust 2018-2(a)		3.50	(f)		7/25/2048		246,149		243,857		248,136
Verus Securitization Trust 2018-INV2(a)		4.71	(f)		10/25/2058		2,501,899		2,546,963		2,535,427
Verus Securitization Trust 2019-4(a)		3.21	(f)		11/25/2059		1,750,000		1,750,000		1,654,103
Verus Securitization Trust 2019-INV2(a)		3.22	(f)		7/25/2059		2,116,671		2,116,645		2,115,424
Verus Securitization Trust 2019-INV3(a)		3.28	(f)		11/25/2059		1,462,000		1,461,966		1,395,092
Verus Securitization Trust 2020-1(a)		3.02	(f)		1/25/2060		4,646,000		4,646,000		4,320,767
Wells Fargo Mortgage Backed Securities 2019-1 Trust(a)		4.00	(f)		11/25/2048		257,384		259,231		258,039
Total Mortgage-Backed Securities							113,519,932		113,979,034		109,620,679
U.S. Treasury & Government Agencies — 0.7%*:
U.S. Treasury Bonds(g)		8.00			11/15/2021		5,000,000		5,414,793		5,537,500
Total Fixed Income							759,386,764		763,114,388		749,154,107

	COUNTERPARTY	STRIKE PRICE		EXPIRATION DATE		CONTRACTS		NOTIONAL		COST		UNREALIZED VALUE			FAIR VALUE
Purchased Options — 0.1%*:
Call Option Purchased — 0.0%*:
OTC – BCM Swaption	JPMorgan Chase Bank N.A.		$2.44		12/13/2032		1,958,250		1,958,250		98,255		206,191			304,446
Put Options Purchased — 0.1%*:
OTC – BCM Swaption	JPMorgan Chase Bank N.A.		2.94		12/13/2032		22,790,000		22,790,000		1,143,488		(505,675	)		637,813
OTC – BCM Swaption	JPMorgan Chase Bank N.A.		3.11		1/31/2033		7,500,000		7,500,000		358,500		(166,293	)		192,207
Total Put Options							30,290,000		30,290,000		1,501,988		(671,968	)		830,020

	EFFECTIVE INTEREST RATE		DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Short-Term Investments — 6.8%*:
Commercial Paper — 6.8%*:
Beverages — 0.6%*:
Keurig Dr Pepper, Inc.		0.49		7/13/2020		5,000,000		4,999,200		4,999,200
Chemicals — 1.5%*:
DuPont de Nemours, Inc.		0.41		8/19/2020		3,000,000		2,998,367		2,998,367
DuPont de Nemours, Inc.		0.52		8/13/2020		3,000,000		2,998,172		2,998,172

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Commercial Paper (Continued)
Chemicals (Continued)
EI Dupont		0.83	%		12/2/2020		6,000,000	$	5,978,953	$	5,978,953
Total Chemicals							12,000,000		11,975,492		11,975,492
Electric — 0.7%*:
Agilent Technologies, Inc.		0.24			7/2/2020		5,000,000		4,999,967		4,999,967
Electronics — 0.4%*:
Daimler AG(c)		1.73	%		9/29/2020		$3,000,000		$2,987,250		$2,987,250
Entertainment — 0.6%*:
Fidelity National Information Services		0.25			7/10/2020		5,000,000		4,999,688		4,999,688
Machinery-Constr&Mining — 0.6%*:
Parker-Hannfin Corp.		0.38			8/18/2020		5,000,000		4,997,533		4,997,533
Oil and Gas — 0.6%*:
FMC Technology, Inc.		2.24			7/15/2020		5,000,000		4,995,722		4,995,722
Oil and Gas Services — 0.6%*:
Enbridge, Inc.		0.53			7/29/2020		5,000,000		4,997,978		4,997,978
Packaging and Containers — 0.6%*:
Bemis Co., Inc.		0.41			7/15/2020		5,000,000		4,999,222		4,999,222
Utility — 0.6%*:
Entergy Corp.		0.71			9/15/2020		5,000,000		4,992,611		4,992,611
Total Commercial Paper							55,000,000		54,944,663		54,944,663
Total Short-Term Investments							55,000,000		54,944,663		54,944,663
Total Investments							846,635,014		819,659,294		805,233,236
Other assets and liabilities – (0.2%)*											(1,736,231	)
Net Assets – 100.0%											$803,497,005

MTN Medium Term Note

OTC Over the Counter

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

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

(a) 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.

(b) Variable rate security. The interest rate shown is the rate in effect at June 30, 2020.

(c) Foreign security.

See accompanying Notes to the Financial Statements.

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June 30, 2020

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

United States	88.5%
Ireland	2.4%
United Kingdom	2.0%
Switzerland	1.6%
Japan	1.0%
Canada	1.0%
Other (Individually less than 1%)	3.5%
Total	100.0%

(d) Variable Rate is Fixed to Float: Rate remains fixed until designated future date.

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

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

(g) All or a portion of this security is held for open swaps collateral.

A summary of outstanding derivatives at June 30, 2020 is as follows:

Futures

TYPE	EXPIRATION DATE	CONTRACTS		NOTIONAL AMOUNT			POSITION		FAIR VALUE		UNREALIZED DEPRECIATION
Short Futures
90 Day Euro Futures	09/14/20		6		(1,462,778	)		Short		$    (1,496,025)	$	(33,247	)
90 Day Euro Futures	12/14/20		5		(1,218,919	)		Short		(1,246,375)		(27,456	)
90 Day Euro Futures	03/15/21		5		(1,219,356	)		Short		(1,247,500)		(28,144	)
90 Day Euro Futures	09/13/21		9		(2,195,180	)		Short		(2,246,063)		(50,883	)
90 Day Euro Futures	03/14/22		8		(1,950,670	)		Short		(1,996,400)		(45,730	)
90 Day Euro Futures	09/19/22		7		(1,706,137	)		Short		(1,746,151)		(40,014	)
90 Day Euro Futures	03/13/23		6		(1,461,503	)		Short		(1,495,800)		(34,297	)
90 Day Euro Futures	12/18/23		8		(1,946,870	)		Short		(1,991,700)		(44,830	)
90 Day Euro Futures	12/16/24		22		(5,347,294	)		Short		(5,466,451)		(119,157	)
U.S. 10-Year Ultra Bond	09/21/20		84		(13,192,362	)		Short		(13,228,687)		(36,325	)
U.S. 2-Year Treasury Note	09/30/20		787		(173,777,533	)		Short		(173,791,735)		(14,202	)
U.S. 5-Year Treasury Note	09/30/20		1,604		(201,139,190	)		Short		(201,690,470)		(551,280	)
Total Short Futures											$	(1,025,565	)

See accompanying Notes to the Financial Statements.

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June 30, 2020

Centrally Cleared Credit Default Swaps – Buy Protection⁽¹⁾

REFERENCE OBLIGATION	FIXED-DEAL RECEIVED RATE			PAYMENT FREQUENCY		MATURITY DATE		ORIGINAL NOTIONAL AMOUNT		CURRENT NOTIONAL AMOUNT (2)		UPFRONT PREMIUMS PAID/ (RECEIVED)		FAIR VALUE (3)			UNREALIZED DEPRECIATION
CDX.NA.IG.34†		1.00	%		3M		6/20/2025		3,300,000		3,300,000	$	10,685	$	(39,784	)	$	(50,469	)
CDX.NA.IG.34†		1.00	%		3M		6/20/2025		4,400,000		4,400,000		17,574		(53,046	)		(70,620	)
Total Centrally Cleared Credit Default Swaps – Buy Protection												$	28,259	$	(92,830	)	$	(121,089	)

(1) 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.

(2) The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit event as defined under the terms of that particular swap agreement.

(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.

† Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index.

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 98.8%*:
Asset-Backed Securities — 45.4%*:
CDO/CLO — 27.2%*:
Allegro CLO X Ltd., 3M USD LIBOR + 2.750%(a)		3.89	(b)%		4/20/2032		500,000		$500,000		$484,623
Anchorage Capital CLO Ltd. 2016-9A CR, 3M USD LIBOR + 2.850%(a)		4.07	(b)		7/15/2032		500,000		500,000		487,651
Ares CLO Ltd. 2019-53A C, 3M USD LIBOR + 2.650%(a)		3.67	(b)		4/24/2031		500,000		500,000		491,535
Ares LV CLO Ltd. 2020-55A B, 3M USD LIBOR + 2.500%(a),(c)		2.87	(b)		4/15/2031		750,000		750,000		751,849
Avery Point VII CLO Ltd., 3M USD LIBOR + 3.600%(a)		4.82	(b)		1/15/2028		500,000		500,000		464,432
Ballyrock CLO 2016-1 Ltd., 3M USD LIBOR + 3.500%(a)		4.72	(b)		10/15/2028		500,000		500,000		478,725
Ballyrock CLO 2019-2 Ltd., 3M USD LIBOR + 4.100%(a)		4.48	(b)		11/20/2030		500,000		500,000		489,136
CBAM Ltd. 2019-10, 3M USD LIBOR + 2.050%(a)		3.19	(b)		4/20/2032		500,000		500,000		489,376
CBAM Ltd. 2019-10, 3M USD LIBOR + 2.750%(a)		3.89	(b)		4/20/2032		500,000		500,000		494,193
Crestline Denali CLO XIV Ltd., 3M USD LIBOR + 1.800%(a)		2.84	(b)		10/23/2031		250,000		250,000		233,951
Denali Capital CLO XI Ltd., 3M USD LIBOR + 1.650%(a)		2.79	(b)		10/20/2028		550,000		549,515		523,218
Eaton Vance CLO Ltd. 2013-1, 3M USD LIBOR + 2.800%(a)		4.02	(b)		1/15/2028		500,000		500,000		488,026
Eaton Vance CLO Ltd. 2019-1, 3M USD LIBOR + 1.950%(a)		3.17	(b)		4/15/2031		500,000		500,000		490,346
Elmwood CLO II Ltd., 3M USD LIBOR + 2.900%(a)		4.04	(b)		4/20/2031		750,000		750,000		735,754
Elmwood CLO II Ltd., 3M USD LIBOR + 3.950%(a)		5.09	(b)		4/20/2031		500,000		500,000		498,421
KKR Financial CLO Ltd. 25 C, 3M USD LIBOR + 2.750%(a)		3.97	(b)		4/15/2032		500,000		500,000		489,570
KREF 2018-FL1 Ltd., 1M USD LIBOR + 1.100%(a),(c)		1.29	(b)		6/15/2036		400,000		385,323		394,675
KREF Ltd. 2018-FL1, 1M USD LIBOR + 2.550%(a)		2.74	(b)		6/15/2036		420,000		423,324		397,862
Magnetite XXVI Ltd. 2020-26A B, 3M USD LIBOR + 2.400%(a),(c)		2.60	(b)		7/15/2030		750,000		750,000		749,910
OCP CLO 2020-19 Ltd., 3M USD LIBOR + 2.500%(a),(c)		2.82	(b)		7/20/2031		500,000		500,000		499,935
TICP CLO VI Ltd. 2016-2, 3M USD LIBOR + 3.300%(a)		4.52	(b)		1/15/2029		500,000		500,000		482,928
Verde CLO, 3M USD LIBOR + 1.900%(a)		3.12	(b)		4/15/2032		500,000		500,000		486,817
Total CDO/CLO							11,370,000		11,358,162		11,102,933

See accompanying Notes to the Financial Statements.

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June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued):
Other Asset-Backed Securities — 18.2%*:
Aaset 2019-1 Trust(a)		3.84	%		5/15/2039		288,266	$	288,266	$	260,450
AASET 2020-1 Trust(a)		4.34			1/16/2040		489,753		489,743		259,690
Access Group, Inc. 2015-1 B, 1M USD LIBOR + 1.500%(a)		1.68	(b)		7/25/2058		100,000		86,827		87,322
AccessLex Institute 2004-A A3, 28 Day ARS		1.67	(b)		7/1/2039		100,000		98,818		98,561
Adams Outdoor Advertising LP(a)		4.81			11/15/2048		194,218		201,439		197,438
Arbys Funding LLC 2015-1A A2(a)		4.97			10/30/2045		38,200		38,200		38,924
CARS-DB4 LP(a)		4.17			2/15/2050		100,000		99,957		88,044
CLI Funding VI LLC(a)		4.64			5/18/2044		178,598		178,569		172,919
College Avenue Student Loans LLC, 1M USD LIBOR + 1.650%(a)		1.83	(b)		11/26/2046		153,297		147,381		144,108
College Loan Corp. Trust I 2005-2 B, 3M USD LIBOR + 0.490%		1.71	(b)		1/15/2037		71,730		64,181		60,178
College Loan Corp. Trust I 2017-1 B2, 28 day ARS		1.68	(b)		1/25/2047		45,000		38,887		44,341
Commonbond Student Loan Trust 2020-A-GS(a)		3.16			8/25/2050		515,000		514,909		515,370
Credit Suisse ABS Repackaging Trust 2013-A B(a)		2.50			1/25/2030		25,826		24,784		25,716
EdLinc Student Loan Funding Trust 2017-A A, 1M USD LIBOR – 1.150%(a)		3.60	(b)		12/1/2047		53,324		52,970		52,627
EDvestinU Private Education Loan Issue No 1 LLC(a)		4.49			11/25/2043		277,000		276,810		289,924
Goodgreen 2019-2(a)		3.86			10/15/2054		287,110		287,064		285,077
Goodgreen Trust 2018-1A A(a)		3.93			10/15/2053		270,575		279,869		281,437
Horizon Aircraft Finance I Ltd.(a)		5.27			12/15/2038		450,400		459,271		246,613
Horizon Aircraft Finance II Ltd.(a)		4.70			7/15/2039		286,538		286,529		158,191
Kestrel Aircraft Funding Ltd.(a),(c)		4.25			12/15/2038		309,718		315,541		258,617
Labrador Aviation Finance Ltd. 2016-1A(a)		4.30			1/15/2042		196,879		197,406		163,895
Navient Student Loan Trust 2018-1B, 1M USD LIBOR + 1.200%(a)		1.38	(b)		3/25/2067		100,000		96,002		93,823
Nelnet Private Education Loan Trust 2016-A A1B(a)		3.60			12/26/2040		22,918		22,780		23,378
Nelnet Student Loan Trust 2006-2 B, 3M USD LIBOR + 0.200%		1.19	(b)		1/25/2038		177,880		167,321		152,768
Nelnet Student Loan Trust 2006-3, 3M USD LIBOR + 0.250%		0.55	(b)		6/25/2041		120,784		113,202		99,846
Oscar US Funding Trust IX LLC 2018-2A A4(a),(c)		3.63			9/10/2025		130,000		129,312		134,654
Oxford Finance Funding 2020-1 LLC(a)		3.10			2/15/2028		475,000		475,000		480,760
Oxford Finance Funding 2020-1 LLC(a)		4.04			2/15/2028		450,000		450,000		443,250
Primose Funding LLC(a)		4.48			7/30/2049		666,653		666,740		670,267
SLC Student Loan Trust 2005-1 B, 3M USD LIBOR + 0.200%		0.59	(b)		2/15/2045		73,157		63,651		62,671
SLM Student Loan Trust 2002-7 B, 28 day ARS		3.69	(b)		12/15/2039		80,000		80,056		74,374
SLM Student Loan Trust 2003-14, 3M USD LIBOR + 0.550%		1.54	(b)		10/25/2065		168,711		160,503		151,044

See accompanying Notes to the Financial Statements.

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June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued):
Other Asset-Backed Securities (Continued):
SLM Student Loan Trust 2004-1, 3M USD LIBOR + 0.500%		1.49	(b) %		7/25/2039		157,979	$	146,665	$	141,937
SLM Student Loan Trust 2005-6 B, 3M USD LIBOR + 0.290%		1.28	(b)		1/25/2044		98,306		91,612		76,911
SLM Student Loan Trust 2006-5 B, 3M USD LIBOR + 0.210%		1.20	(b)		10/25/2040		92,380		81,932		84,775
SoFi Professional Loan Program LLC 2017-A C(a)		4.43			3/26/2040		100,000		99,515		104,438
South Carolina Student Loan Corp. 2014-1 B, 1M USD LIBOR + 1.500%		1.67	(b)		8/1/2035		100,000		98,834		97,105
Store Master Funding I-VII(a)		4.74			10/20/2048		228,083		234,778		216,236
Taco Bell Funding LLC 2016-1A A23(a)		4.97			5/25/2046		67,900		68,480		70,566
Textainer Marine Containers VII Ltd.(a)		5.28			4/20/2044		181,333		181,262		180,215
Wachovia Student Loan Trust 2005-1 B, 3M USD LIBOR + 0.300%		1.29	(b)		10/25/2040		54,740		50,547		50,013
Willis Engine Structured Trust IV(a)		4.75			9/15/2043		355,833		363,802		268,625
Total Other Asset-Backed Securities							8,333,089		8,269,415		7,407,098
Total Asset-Backed Securities							19,703,089		19,627,577		18,510,031
Corporate Bonds — 45.6%*:
Aerospace/Defense — 0.2%*:
TransDigm, Inc.(a)		6.25			3/15/2026		95,000		93,148		94,764
Auto Manufacturers — 2.2%*:
BMW US Capital LLC(a),(c)		3.40			8/13/2021		380,000		382,659		390,060
Ford Motor Co.		9.63			4/22/2030		100,000		115,705		118,430
Ford Motor Credit Co. LLC		3.81			10/12/2021		375,000		369,387		371,363
Total Auto Manufacturers							855,000		867,751		879,853
Chemicals — 0.6%*:
UPL Corp. Ltd.(c)		4.63			6/16/2030		260,000		258,873		256,750
Commercial Banks — 9.9%*:
ABQ Finance Ltd.(c)		3.13			9/24/2024		500,000		490,406		512,178
Banco de Credito del Peru, 5 year CMT + 3.000%(a),(c)		3.13	(b)		7/1/2030		414,000		410,911		410,481
Banco Santander SA(c)		2.75			5/28/2025		400,000		404,717		414,526
Bank Leumi Le-Israel BM, 5 year CMT + 1.631%(a),(b),(c)		3.28			1/29/2031		500,000		500,000		485,312
Bank of America Corp.		4.20			8/26/2024		280,000		303,070		310,856
Barclays plc, 3M USD LIBOR + 2.452%(c)		2.85	(b)		5/7/2026		390,000		390,000		407,497
BPCE SA(a),(c)		5.70			10/22/2023		385,000		430,817		429,022
Credit Suisse AG(a),(c)		6.50			8/8/2023		310,000		345,470		337,981
Morgan Stanley		4.10			5/22/2023		680,000		718,836		734,888
Total Commercial Banks							3,859,000		3,994,227		4,042,741

See accompanying Notes to the Financial Statements.

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June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued):
Diversified Financial Services — 3.5%*:
Lazard Group LLC		3.75	%		2/13/2025		410,000	$	436,815	$	435,326
LeasePlan Corp. NV(a),(c)		2.88			10/24/2024		510,000		512,806		521,482
Shinhan Financial Group Co. Ltd., 5 year CMT + 1.500%(a),(c)		3.34	(b)		2/5/2030		242,000		242,000		253,117
SPARC EM SPC Panama Metro Line 2 SP(c)		Zero Coupon			12/5/2022		237,795		227,356		229,021
Total Diversified Financial Services							1,399,795		1,418,977		1,438,946
Electric — 3.7%*:
Adani Electricity Mumbai Ltd.(a),(c)		3.95			2/12/2030		550,000		526,006		512,703
Colbun SA(a),(c)		3.15			3/6/2030		430,000		418,140		432,016
Infraestructura Energetica Nova SAB de CV(a),(c)		3.75			1/14/2028		288,000		296,137		282,240
Tabreed Sukuk Spc Ltd.(c)		5.50			10/31/2025		250,000		266,772		279,101
Total Electric							1,518,000		1,507,055		1,506,060
Engineering&Construction — 0.6%*:
Dianjian International Finance Ltd., 5 year CMT + 1.933%(c)		4.60	(b)		12/31/2099		250,000		246,256		254,375
Food — 0.8%*:
JBS USA Food Co.(a)		5.50			1/15/2030		202,000		206,816		207,050
Kraft Heinz Foods Co.		6.88		��	1/26/2039		80,000		96,826		98,898
Total Food							282,000		303,642		305,948
Gas — 0.5%*:
Grupo Energia Bogota SA ESP(a),(c)		4.88			5/15/2030		200,000		198,071		209,500
Insurance — 6.2%*:
Athene Global Funding(a)		2.50			1/14/2025		710,000		690,831		708,880
Enstar Group Ltd.		4.95			6/1/2029		420,000		443,470		442,336
Equitable Holdings, Inc.		3.90			4/20/2023		350,000		362,337		374,639
Hanwha Life Insurance Co. Ltd., 5 year CMT + 2.000%(c)		4.70	(b)		4/23/2048		300,000		296,904		303,469
Prudential Financial, Inc., 3M USD LIBOR + 3.920%		5.63	(b)		6/15/2043		320,000		344,702		340,480
Qatar Reinsurance Co. Ltd., 5 year USD Swap + 2.786%(b),(c)		4.95			12/31/2099		350,000		360,658		339,062
Total Insurance							2,450,000		2,498,902		2,508,866
Internet — 1.0%*:
Netflix, Inc.		5.88			11/15/2028		85,000		95,464		96,794
Prosus NV(a),(c)		3.68			1/21/2030		300,000		300,000		314,130
Total Internet							385,000		395,464		410,924
Investment Company Security — 1.1%*:
Ares Capital Corp.		3.25			7/15/2025		230,000		232,458		223,218
BlackRock TCP Capital Corp.		4.13			8/11/2022		225,000		230,977		225,564
Total Investment Company Security							455,000		463,435		448,782

See accompanying Notes to the Financial Statements.

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June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued):
IT Services — 1.0%*:
Dell International LLC/EMC Corp.(a)		5.85	%		7/15/2025		359,000	$	403,499	$	412,563
Lodging — 0.2%*:
MGM Resorts International		6.75			5/1/2025		95,000		95,000		94,058
Media — 0.8%*:
CCO Holdings Capital Corp.(a)		5.88			4/1/2024		90,000		92,506		92,812
DISH Network Corp.		3.38			8/15/2026		140,000		127,120		128,606
Sirius XM Radio, Inc.(a)		5.50			7/1/2029		90,000		93,873		94,736
Total Media							320,000		313,499		316,154
Mining — 1.5%*:
First Quantum Minerals Ltd.(a),(c)		7.25			5/15/2022		200,000		195,829		195,800
Glencore Funding LLC(a),(c)		4.00			4/16/2025		385,000		407,899		418,371
Total Mining							585,000		603,728		614,171
Oil and Gas — 1.7%*:
EQT Corp.		3.00			10/1/2022		205,000		204,307		190,650
Gazprom PJSC via Gaz Finance plc(a)		3.25			2/25/2030		500,000		480,823		497,500
Total Oil and Gas							705,000		685,130		688,150
Pipelines — 1.7%*:
Fermaca Enterprises S de RL de CV(a),(c)		6.38			3/30/2038		258,531		263,689		273,396
KazTransGas JSC(a),(c)		4.38			9/26/2027		400,000		405,321		430,125
Total Pipelines							658,531		669,010		703,521
Real Estate — 1.1%*:
NE Property BV(c)		1.88			10/9/2026		415,000		450,500		431,553
Real Estate Investment Trusts — 2.8%*:
PLA Administradora Industrial S de RL de CV(a),(c)		4.96			7/18/2029		290,000		290,000		278,942
STORE Capital Corp.		4.63			3/15/2029		555,000		511,948		567,502
Tanger Properties LP		3.88			12/1/2023		316,000		322,743		310,506
Total REITS							1,161,000		1,124,691		1,156,950
Retail — 0.8%*:
El Puerto de Liverpool SAB de CV(a),(c)		3.95			10/2/2024		320,000		305,846		326,435
Telecommunications — 2.0%*:
AT&T, Inc.		2.30			6/1/2027		225,000		224,671		232,936
PLDT, Inc.(c)		3.45			6/23/2050		375,000		371,881		376,875
Sprint Capital Corp.		8.75			3/15/2032		140,000		200,715		200,375
Total Telecommunications							740,000		797,267		810,186
Transportation — 0.2%*:
XPO Logistics, Inc.(a)		6.25			5/1/2025		95,000		95,000		99,513

See accompanying Notes to the Financial Statements.

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June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued):
Trucking and Leasing — 1.5%*:
Park Aerospace Holdings Ltd.(a),(c)		5.25	%		8/15/2022		650,000	$	672,533	$	610,137
Total Corporate Bonds							18,112,326		18,461,504		18,620,900
Mortgage-Backed Securities — 7.8%*:
BX Commercial Mortgage Trust 2019-XL, 1M USD LIBOR + 2.000%(a)		2.18	(b)		10/15/2036		382,160		359,502		367,280
Citigroup Commercial Mortgage Trust 2017-P7		3.71	(d)		4/14/2050		470,000		525,764		526,698
COMM 2014-LC17 Mortgage Trust		4.73	(d)		10/10/2047		400,000		410,068		371,656
COMM 2014-UBS5 Mortgage Trust		4.76	(d)		9/10/2047		395,000		409,597		349,299
Federal Home Loan Mortgage Corp., 1M USD LIBOR + 3.000%		3.16	(d)		6/25/2050		220,000		220,000		220,000
GS Mortgage Securities Corp. II(a)		3.00	(d)		7/10/2051		500,000		447,626		289,120
GS Mortgage Securities Corp. II		4.16	(d)		7/10/2051		92,252		104,217		107,895
GS Mortgage Securities Trust 2016-GS2		4.68	(d)		5/10/2049		200,000		206,935		182,460
GS Mortgage Securities Trust 2017-GS5		3.67	(d)		3/10/2050		200,000		219,893		222,355
GS Mortgage Securities Trust 2017-GS6		3.43	(d)		5/10/2050		200,000		218,765		222,459
J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-OSB(a)		3.91	(d)		6/5/2039		213,000		211,416		171,221
JPMDB Commercial Mortgage Securities Trust 2017-C7		3.05	(d)		10/15/2050		150,000		153,851		158,732
Total Mortgage-Backed Securities							3,422,412		3,487,634		3,189,175
Total Fixed Income							41,237,827		41,576,715		40,320,106
Total Investments							41,237,827		41,576,715		40,320,106
Other assets and liabilities – 1.2%*											469,626
Net Assets – 100.0%											$40,789,732

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

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

(a) 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.

(b) Variable rate security. The interest rate shown is the rate in effect at June 30, 2020.

(c) Foreign security.

See accompanying Notes to the Financial Statements.

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June 30, 2020

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

United States	64.8%
Cayman Islands	5.9%
Mexico	2.9%
Ireland	2.1%
Qatar	2.1%
India	1.9%
Switzerland	1.9%
China	1.4%
Republic of Korea	1.4%
Netherlands	1.3%
Russia	1.2%
Israel	1.2%
Chile	1.1%
Romania	1.1%
Kazakhstan	1.1%
France	1.1%
Spain	1.0%
Peru	1.0%
United Kingdom	1.0%
Germany	1.0%
Other (Individually less than 1%)	3.5%
Total	100.0%

(d) 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, 2020 is as follows:

Forward Foreign Currency Exchange Contracts to Sell

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
7/7/20	Citibank N.A.		EUR	366,368	$	411,655	$	407,418	$	(4,237	)
7/7/20	Standard Chartered Bank		EUR	15,302		17,193		17,300		107
7/7/20	Barclays Bank plc		EUR	8,339		9,370		9,345		(25	)
8/6/20	HSBC Bank USA		EUR	391,309		439,970		439,952		(18	)
Net unrealized depreciation on forward foreign currency exchange contracts to sell									$	(4,173	)

Currency Legend

EUR – Euro

See accompanying Notes to the Financial Statements.

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June 30, 2020

Futures

TYPE	EXPIRATION DATE	CONTRACTS		NOTIONAL AMOUNT			POSITION		FAIR VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Short Futures
Euro-BOBL Future	09/08/20		1		(151,446	)		Short	$	(151,650	)	$	(204	)
Euro-Bund Future	09/08/20		1		(198,037	)		Short		(198,320	)		(283	)
Euro-SCHATZ Future	09/08/20		3		(378,012	)		Short		(377,968	)		44
U.S. 10-Year Ultra Bond	09/21/20		30		(4,710,700	)		Short		(4,724,531	)		(13,831	)
U.S. 2-Year Treasury Note	09/30/20		1		(220,810	)		Short		(220,828	)		(18	)
U.S. 5-Year Treasury Note	09/30/20		112		(14,042,714	)		Short		(14,083,125	)		(40,411	)
U.S. Ultra Bond	09/21/20		1		(215,435	)		Short		(218,157	)		(2,721	)
Total Short Futures												$	(57,424	)

See accompanying Notes to the Financial Statements.

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June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 94.8%*:
Corporate Bonds — 39.0%*:
Aerospace/Defense — 0.6%*:
Embraer Overseas Ltd.(a),(b)		5.70	%		9/16/2023		327,000		$280,062		$311,570
Chemicals — 3.2%*:
Braskem Idesa SAPI(a),(b)		7.45			11/15/2029		795,000		792,399		744,318
Grupo Idesa SA de CV(a),(b)		10.13			5/22/2026		1,010,000		974,667		534,669
SASOL Financing USA LLC(b)		6.50			9/27/2028		555,000		331,844		490,709
Total Chemicals							2,360,000		2,098,910		1,769,696
Commercial Banks — 6.0%*:
Burgan Bank SAK, 5 year USD Swap + 4.007%(b)		5.75	(c),(d)				500,000		499,251		490,100
National Bank of Greece SA, 5 year EUR Swap + 8.464%(b)		8.25	(c)		7/18/2029		750,000		844,200		872,116
Nova Ljubljanska Banka dd, 5 year EUR Swap + 3.833%(b)		3.65	(c)		11/19/2029		400,000		440,400		393,225
Sovcombank Via SovCom Capital DAC, 5 year CMT + 6.380%(a),(b)		7.75	(c),(d)				200,000		200,000		182,000
Sovcombank Via SovCom Capital DAC, 5 year CMT + 6.427%(a),(b)		8.00	(c)		4/7/2030		715,000		715,000		718,718
TBC Bank JSC, 5 year USD Swap + 8.995%(a),(b)		10.78	(c),(d)				645,000		645,000		616,378
Total Commercial Banks							3,210,000		3,343,851		3,272,537
Diversified Financial Services — 3.9%*:
Gtlk Europe Capital DAC(b)		4.65			3/10/2027		450,000		384,517		445,500
India Infoline Finance Ltd.(b)		5.88			4/20/2023		1,055,000		988,830		833,949
Muthoot Finance Ltd.(a),(b)		6.13			10/31/2022		840,000		840,000		849,450
Total Diversified Financial Services							2,345,000		2,213,347		2,128,899
Electric — 0.6%*:
Infraestructura Energetica Nova SAB de CV(a),(b)		4.88			1/14/2048		328,000		271,557		310,780
Engineering&Construction — 1.0%*:
Rutas 2 and 7 Finance Ltd.(a),(b)		Zero Coupon			9/30/2036		850,000		560,312		548,250
Food — 2.6%*:
Camposol SA(a),(b)		6.00			2/3/2027		380,000		375,939		373,738
MHP Lux SA(a),(b)		6.25			9/19/2029		270,000		274,595		257,512
Minerva Luxembourg SA(a),(b)		5.88			1/19/2028		300,000		312,059		291,426
NBM US Holdings, Inc.(a),(b)		6.63			8/6/2029		500,000		525,119		505,397
Total Food							1,450,000		1,487,712		1,428,073
Household Products — 0.6%*:
Walnut Bidco plc(a),(b)		6.75			8/1/2024		317,000		352,647		337,915

See accompanying Notes to the Financial Statements.

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June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued):
Metal Fabricate/Hardware — 0.8%*:
HTA Group Ltd.(a),(b)		7.00	%		12/18/2025		416,000	$	413,679	$	420,160
Mining — 5.9%*:
Bayan Resources Tbk PT(a),(b)		6.13			1/24/2023		900,000		840,621		833,706
CSN Islands XI Corp.(a),(b)		6.75			1/28/2028		721,000		721,000		617,356
First Quantum Minerals Ltd.(a),(b)		7.50			4/1/2025		250,000		246,448		239,375
Metinvest BV(a),(b)		5.63			6/17/2025		750,000		815,933		766,789
Vedanta Resources Finance II plc(a),(b)		9.25			4/23/2026		550,000		548,027		392,906
Vedanta Resources Ltd.(a),(b)		8.25			6/7/2021		400,000		236,424		348,880
Total Mining							3,571,000		3,408,453		3,199,012
Oil and Gas — 6.5%*:
Petrobras Global Finance BV(b)		6.75			6/3/2050		300,000		294,335		308,550
Petrobras Global Finance BV(b)		6.90			3/19/2049		900,000		969,347		947,250
Petroleos Mexicanos(a),(b)		6.95			1/28/2060		1,304,000		1,203,248		1,002,437
Tullow Oil PLC(a),(b)		6.25			4/15/2022		210,000		63,891		153,300
Tullow Oil plc(a),(b)		7.00			3/1/2025		1,840,000		1,277,261		1,154,600
Total Oil and Gas							4,554,000		3,808,082		3,566,137
Real Estate — 2.3%*:
Kaisa Group Holdings Ltd.(b)		11.25			4/9/2022		750,000		760,914		773,416
Logan Property Holdings Co. Ltd.(b)		5.75			1/14/2025		500,000		500,000		497,310
Total Real Estate							1,250,000		1,260,914		1,270,726
Retail — 1.1%*:
Arabian Centres Sukuk Ltd.(a),(b)		5.38			11/26/2024		700,000		647,386		612,780
Sovereign — 0.9%*:
Ukreximbank Via Biz Finance plc, 5 year USD ICE Swap + 8.178%(b)		9.95	(c)		11/14/2029		500,000		500,000		485,100
Telecommunications — 1.5%*:
Network i2i Ltd., 5 year CMT + 4.277%(a),(b)		5.65	(c),(d)				400,000		374,679		386,875
VF Ukraine PAT via VFU Funding plc(a),(b)		6.20			2/11/2025		405,000		405,000		400,565
Total Telecommunications							805,000		779,679		787,440
Transportation — 1.5%*:
MV24 Capital BV(a),(b)		6.75			6/1/2034		592,885		592,885		563,170
Prumo Participacoes e Investimentos SA(a),(b)		7.50			12/31/2031		274,419		281,903		274,590
Total Transportation							867,304		874,788		837,760
Total Corporate Bonds							23,850,304		22,301,379		21,286,835

See accompanying Notes to the Financial Statements.

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June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Foreign Government — 55.8%*:
Albania — 1.5%*:
Albania Government International Bond(a),(b)		3.50	%		6/16/2027		740,000	$	832,550	$	828,272
Angola — 0.8%*:
Angolan Government International Bonds(a),(b)		8.00			11/26/2029		250,000		250,000		206,875
Angolan Government International Bonds(a),(b)		8.25			5/9/2028		280,000		288,786		231,700
Total Angola							530,000		538,786		438,575
Belarus — 4.7%*:
Republic of Belarus International Bond(a),(b)		7.63			6/29/2027		1,000,000		1,029,176		1,030,000
Republic of Belarus Ministry of Finance(a),(b)		6.38			2/24/2031		1,630,000		1,630,000		1,568,875
Total Belarus							2,630,000		2,659,176		2,598,875
Brazil — 1.1%*:
Brazil Notas do Tesouro Nacional Serie B(b)		6.00			8/15/2050		780,000		665,243		612,853
Colombia — 1.9%*:
Colombian TES(b)		7.00			6/30/2032		720,400,000		154,531		194,389
Colombian TES(b)		7.50			8/26/2026		1,350,000,000		446,398		407,058
Colombian TES(b)		10.00			7/24/2024		1,385,600,000		523,809		452,654
Total Colombia							3,456,000,000		1,124,738		1,054,101
Croatia — 0.8%*:
Croatia Government International Bond(b)		1.50			6/17/2031		370,000		415,449		414,473
Ecuador — 0.8%*:
Ecuador Government International Bond(a),(b),(e)		9.65			12/13/2026		650,000		243,750		276,250
Ecuador Government International Bond(a),(b),(e)		10.65			1/31/2029		420,000		159,600		174,300
Total Ecuador							1,070,000		403,350		450,550
Egypt — 0.7%*:
Egypt Government International Bond(a),(b)		6.38			4/11/2031		350,000		392,822		363,733
El Salvador — 3.9%*:
El Salvador Government International Bond(a),(b)		7.65			6/15/2035		700,000		508,561		601,125
El Salvador Government International Bonds(a),(b)		7.12			1/20/2050		400,000		400,000		324,400
El Salvador Government International Bonds(a),(b)		8.25			4/10/2032		600,000		640,848		550,125
El Salvador Government International Bonds(a),(b)		8.63			2/28/2029		670,000		767,445		632,731
Total El Salvador							2,370,000		2,316,854		2,108,381
Honduras — 1.7%*:
Honduras Government International Bond(a),(b)		5.63			6/24/2030		890,000		893,994		904,462

See accompanying Notes to the Financial Statements.

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June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Foreign Government (Continued):
Ivory Coast — 1.1%*:
Ivory Coast Government International Bond(a),(b)		5.88	%		10/17/2031		550,000	$	599,778	$	580,270
Jordan — 1.9%*:
Kingdom of Jordan(b)		5.85			7/7/2030		1,030,000		1,030,000		1,030,000
Macedonia — 1.1%*:
North Macedonia Government International Bond(a),(b)		3.68			6/3/2026		550,000		596,285		628,545
Malaysia — 1.6%*:
Malaysia Government Bond(b)		3.96			9/15/2025		3,502,000		874,115		875,704
Mexico — 6.2%*:
Mexican Bonos(b)		5.75			3/5/2026		14,500,000		736,170		648,209
Mexican Bonos(b)		7.75			11/13/2042		23,900,000		1,003,651		1,137,315
Mexican Bonos(b)		8.00			9/5/2024		3,200,000		142,104		155,888
Mexican Bonos(b)		8.00			11/7/2047		30,000,000		1,391,323		1,464,710
Total Mexico							71,600,000		3,273,248		3,406,122
Peru — 2.0%*:
Peru Government Bond(b)		6.85			2/12/2042		3,369,000		1,190,607		1,118,503
Poland — 2.1%*:
Republic of Poland Government Bond(b)		2.75			10/25/2029		4,000,000		1,150,131		1,138,589
Romania — 2.6%*:
Romanian Government International Bond(a),(b)		3.62			5/26/2030		890,000		972,414		1,079,908
Romanian Government International Bond(a),(b)		6.13			1/22/2044		250,000		295,359		327,734
Total Romania							1,140,000		1,267,773		1,407,642
Senegal — 0.9%*:
Senegal Government International Bond(a),(b)		8.75			5/13/2021		500,000		498,540		517,344
Serbia — 1.5%*:
Serbia International Bond(a),(b)		3.13			5/15/2027		680,000		724,314		800,269
South Africa — 4.9%*:
Republic of South Africa Government Bond(b)		10.50			12/21/2026		41,000,000		2,616,382		2,696,260
Supranational — 1.9%*:
Asian Development Bank, TBIB6MIR(b),(f)		9.08	(c)		7/14/2021		1,020,000		342,558		329,523
European Bank for Reconstruction & Development, GGRRC9MX – 0.500%(b),(f)		8.50	(c)		10/29/2022		1,200,000		404,027		386,304
International Bank for Reconstruction & Development(b),(f)		7.25			11/22/2021		960,000		325,423		300,687
Total Supranational							3,180,000		1,072,008		1,016,514

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Foreign Government (Continued):
Tajikistan — 0.3%*:
Republic of Tajikistan International Bond(a),(b)		7.13	%		9/14/2027		200,000	$	156,282	$	163,313
Thailand — 2.1%*:
Thailand Government Bond(b)		1.60			12/17/2029		9,105,000		293,943		304,488
Thailand Government Bond(b)		2.88			12/17/2028		22,913,000		813,712		839,833
Total Thailand							32,018,000		1,107,655		1,144,321
Ukraine — 5.9%*:
Ukraine Government International Bonds(a),(b)		4.38			1/27/2030		1,250,000		1,386,938		1,204,251
Ukraine Government International Bonds(a),(b)		6.75			6/20/2026		795,000		907,296		906,580
Ukraine Government International Bonds(a),(b)		9.75			11/1/2028		960,000		932,105		1,096,800
Total Ukraine							3,005,000		3,226,339		3,207,631
Uruguay — 1.8%*:
Uruguay Government International Bond(b)		3.88			7/2/2040		20,350,000		475,290		482,549
Uruguay Government International Bond(b)		4.38			12/15/2028		21,027,027		552,095		523,932
Total Uruguay							41,377,027		1,027,385		1,006,481
Total Foreign Government							3,673,431,027		30,653,804		30,511,783
Total Fixed Income							3,697,281,331		52,955,183		51,798,618
Total Investments							3,697,281,331		52,955,183		51,798,618
Other assets and liabilities – 5.2%*											2,861,181
Net Assets – 100.0%											$54,659,799

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

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

(a) 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.

(b) Foreign security.

See accompanying Notes to the Financial Statements.

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June 30, 2020

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

Mexico	11.6%
Ukraine	9.1%
Brazil	8.6%
South Africa	6.1%
India	5.4%
Belarus	5.0%
El Salvador	4.1%
Russia	3.4%
Peru	2.9%
Romania	2.7%
Ghana	2.5%
China	2.5%
Thailand	2.2%
Poland	2.2%
Colombia	2.0%
Jordan	2.0%
Supranational	2.0%
Uruguay	1.9%
Honduras	1.7%
Malaysia	1.7%
Greece	1.7%
Indonesia	1.6%
Albania	1.6%
Serbia	1.5%
Macedonia	1.2%
Georgia	1.2%
Saudi Arabia	1.2%
Ivory Coast	1.1%
Paraguay	1.1%
Senegal	1.0%
Other (Individually less than 1%)	7.2%
Total	100.0%

(c) Variable rate security. The interest rate shown is the rate in effect at June 30, 2020.

(d) Security is perpetual in nature and has no stated maturity.

(e) Defaulted security.

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

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

A summary of outstanding derivatives at June 30, 2020 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)
7/21/20	JPMorgan Chase Bank N.A.		AUD	4,526,793	$	3,124,286	$	2,897,940	$	226,346
8/18/20	Barclays Bank plc		AUD	2,248,628		1,552,114		1,456,180		95,934
7/7/20	JPMorgan Chase Bank N.A.		BRL	14,621,660		2,688,179		2,749,652		(61,473	)
8/4/20	Goldman Sachs & Co.		BRL	1,505,570		276,400		268,000		8,400
8/4/20	JPMorgan Chase Bank N.A.		BRL	771,524		141,640		137,760		3,880
8/4/20	Citibank N.A.		BRL	24,977,868		4,585,562		4,452,000		133,562
10/6/20	JPMorgan Chase Bank N.A.		BRL	235,118		43,067		42,644		423
8/11/20	Bank of America N.A.		CHF	354,959		375,087		374,000		1,087
7/7/20	Citibank N.A.		CLP	1,069,114,000		1,301,785		1,340,145		(38,360	)
7/7/20	Citibank N.A.		COP	9,120,849,459		2,425,970		2,361,470		64,500
7/14/20	JPMorgan Chase Bank N.A.		EUR	3,039,739		3,416,009		3,316,782		99,227
8/11/20	Citibank N.A.		EUR	803,805		903,860		871,219		32,641
8/11/20	Bank of America N.A.		EUR	298,765		335,955		332,000		3,955
7/14/20	JPMorgan Chase Bank N.A.		HUF	368,792,818		1,169,934		1,159,527		10,407
7/14/20	Bank of America N.A.		HUF	634,563,460		2,013,048		2,026,000		(12,952	)
7/21/20	Bank of America N.A.		JPY	277,248,975		2,568,301		2,618,964		(50,663	)
8/11/20	JPMorgan Chase Bank N.A.		KZT	372,229,798		906,022		884,400		21,622
7/7/20	Bank of America N.A.		MXN	53,180,598		2,312,300		2,139,031		173,269
8/4/20	Goldman Sachs & Co.		MXN	7,608,602		329,571		302,000		27,571
8/4/20	Barclays Bank plc		MXN	16,149,978		699,545		697,650		1,895
10/6/20	Goldman Sachs & Co.		MXN	22,408,599		962,853		955,000		7,853
7/7/20	Barclays Bank plc		PEN	3,504,302		989,389		990,476		(1,087	)
7/21/20	Goldman Sachs & Co.		PHP	131,642,404		2,644,386		2,576,172		68,214
9/18/20	Citibank N.A.		PKR	71,154,548		419,063		429,937		(10,874	)
11/16/20	Citibank N.A.		PKR	49,760,750		291,431		305,000		(13,569	)
11/16/20	JPMorgan Chase Bank N.A.		PKR	57,709,480		337,984		356,724		(18,740	)
7/14/20	Citibank N.A.		PLN	19,874,438		5,023,684		4,706,442		317,242
8/11/20	Bank of America N.A.		PLN	1,160,641		293,403		276,162		17,241
7/14/20	Bank of America N.A.		RUB	81,997,965		1,150,442		1,070,833		79,609
7/21/20	BNP Paribas S.A.		SGD	347,884		249,640		249,000		640
7/21/20	Citibank N.A.		THB	83,955,959		2,716,235		2,607,368		108,867
Net unrealized appreciation on forward foreign currency exchange contracts to buy									$	1,296,667

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

Forward Foreign Currency Exchange Contracts to Sell

EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
7/21/20	Goldman Sachs & Co.		AUD	1,924,547	$	1,328,277	$	1,342,000	$	13,723
7/7/20	Citibank N.A.		BRL	2,481,053		456,139		457,000		861
7/7/20	Goldman Sachs & Co.		BRL	3,905,263		717,979		763,000		45,021
7/7/20	JPMorgan Chase Bank N.A.		BRL	8,235,344		1,514,061		1,649,412		135,351
7/14/20	Barclays Bank plc		CHF	924,393		975,996		956,748		(19,248	)
8/11/20	Bank of America N.A.		CHF	2,013,595		2,127,774		2,073,052		(54,722	)
7/7/20	Citibank N.A.		CLP	1,069,114,000		1,301,785		1,237,028		(64,757	)
7/7/20	Citibank N.A.		COP	9,120,849,459		2,425,970		2,225,683		(200,287	)
10/6/20	Citibank N.A.		COP	4,045,777,459		1,068,325		1,073,635		5,310
8/11/20	Citibank N.A.		CZK	9,510,010		400,972		380,880		(20,092	)
7/14/20	Barclays Bank plc		HUF	938,081,830		2,975,910		2,864,765		(111,145	)
7/14/20	Citibank N.A.		HUF	65,274,448		207,072		199,000		(8,072	)
8/10/20	Bank of America N.A.		ILS	9,263,715		2,676,909		2,643,000		(33,909	)
7/21/20	JPMorgan Chase Bank N.A.		JPY	277,248,975		2,568,301		2,590,109		21,808
8/11/20	JPMorgan Chase Bank N.A.		KZT	331,188,835		806,127		744,245		(61,882	)
7/7/20	Bank of America N.A.		MXN	15,257,750		663,409		681,000		17,591
7/7/20	Goldman Sachs & Co.		MXN	37,922,848		1,648,891		1,741,858		92,967
8/4/20	Bank of America N.A.		MXN	23,758,579		1,029,116		1,092,767		63,651
8/18/20	Barclays Bank plc		MYR	427,893		99,620		98,366		(1,254	)
7/7/20	Barclays Bank plc		PEN	3,504,302		989,389		1,007,939		18,550
10/6/20	Barclays Bank plc		PEN	3,504,302		987,669		987,545		(124	)
7/21/20	JPMorgan Chase Bank N.A.		PHP	131,642,404		2,644,386		2,590,366		(54,020	)
7/14/20	Canadian Imperial Bank Of Commerce		PLN	1,721,809		435,224		440,000		4,776
7/14/20	Bank of America N.A.		RUB	67,471,528		946,634		949,000		2,366
7/14/20	Goldman Sachs & Co.		RUB	39,129,248		548,988		535,000		(13,988	)
7/21/20	JPMorgan Chase Bank N.A.		SGD	919,386		659,745		649,743		(10,002	)
8/18/20	Bank of America N.A.		SGD	2,754,294		1,976,600		1,944,522		(32,078	)
8/18/20	Goldman Sachs & Co.		SGD	473,338		339,688		335,000		(4,688	)
7/21/20	JPMorgan Chase Bank N.A.		THB	83,955,959		2,716,235		2,568,246		(147,989	)
7/14/20	Citibank N.A.		TRY	4,689,419		682,422		677,319		(5,103	)
7/14/20	JPMorgan Chase Bank N.A.		TRY	15,452,294		2,248,676		2,228,000		(20,676	)
Net unrealized depreciation on forward foreign currency exchange contracts to sell									$	(442,061	)

See accompanying Notes to the Financial Statements.

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Currency Legend

AUD	–	Australian Dollar
BRL	–	Brazilian Real
CHF	–	Swiss Franc
CLP	–	Chilean Peso
COP	–	Colombian Peso
CZK	–	Czech Koruna
EUR	–	Euro
HUF	–	Hungarian Forint
ILS	–	Israeli Shekel
JPY	–	Japanese Yen
KZT	–	Kazakhstani Tenge
MXN	–	Mexican Peso
MYR	–	Malaysian Ringgit
PEN	–	Peruvian Nuevo Sol
PHP	–	Philippines Peso
PKR	–	Pakistan Rupee
PLN	–	Polish Zloty
RUB	–	Russian Ruble
SGD	–	Singapore Dollar
THB	–	Thai Baht
TRY	–	Turkish New Lira

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
BRL-CDI Rate	Pay		6.38	%		1/02/23		At Maturity		15,433,847		CME	$	231,218
CZK-PRIBOR Rate	Receive		0.85	%		8/23/29		1Y/6M		60,924,370		LCH		(7,026	)
CZK-PRIBOR Rate	Pay		1.94	%		1/24/25		1Y/6M		117,500,000		CME		332,456
CZK-PRIBOR Rate	Pay		1.95	%		1/24/25		1Y/6M		61,000,000		LCH		173,862
BRL-CDI rate.	Pay		7.49	%		1/02/29		At Maturity		9,935,952		CME		148,410
BRL-CDI rate	Pay		7.48	%		1/02/29		At Maturity		11,925,502		CME		173,768
HUF-BUBOR rate	Pay		0.98	%		5/25/25		1Y/6M		922,500,000		LCH		25,630
HUF-BUBOR rate	Pay		0.97	%		5/25/25		1Y/6M		899,500,000		LCH		23,562
Total Centrally Cleared Interest Rate Swaps													$	1,101,880

See accompanying Notes to the Financial Statements.

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June 30, 2020

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)
370,000 EUR	1.50%		1Y/6M		06/17/2031	Citibank N.A		421,800 USD		2.73	%	$	352		$	13,656		$	13,304
740,000 EUR	3.50%		1Y/6M		06/16/2027	Citibank N.A.		839,530 USD		4.74	%		629			21,062			20,433
550,000 EUR	3.68%		1Y/6M		06/03/2026	Citibank N.A		604,450 USD		4.79	%		(467	)		(31,324	)		(30,857	)
890,000 EUR	3.62%		1Y/6M		05/26/2030	Citibank N.A		977,398 USD		4.96	%		44			(54,847	)		(54,891	)
680,000 EUR	3.13%		1Y/6M		05/15/2027	Citibank N.A.		735,081 USD		4.32	%		(339	)		(35,102	)		(34,763	)
350,000 EUR	6.38%		1Y/6M		04/11/2031	Citibank N.A		392,700 USD		9.37	%		(122	)		62,147			62,269
400,000 EUR	3.65%		1Y/6M		11/19/2029	Citibank N.A.		440,600 USD		6.02	%		200			31,619			31,419
550,000 EUR	5.88%		1Y/6M		10/17/2031	Citibank N.A.		605,000 USD		8.46	%		—			52,346			52,346
750,000 EUR	5.63%		1Y/6M		06/17/2025	Citibank N.A.		819,150 USD		8.12	%		(1,088	)		25,590			26,678
317,000 EUR	6.75%		1Y/6M		08/01/2024	Citibank N.A.		353,011 USD		9.71	%		(365	)		27,287			27,652
750,000 EUR	8.25%		1Y/6M		07/18/2029	Citibank N.A.		843,675 USD		11.44	%		(525	)		137,677			138,202
300,000 EUR	6.75%		1Y/6M		06/20/2026	Citibank N.A.		336,030 USD		9.73	%		(165	)		33,526			33,691
495,000 EUR	6.75%		1Y/6M		06/20/2026	Citibank N.A.		558,360 USD		9.58	%		273			56,417			56,144
1,250,000 EUR	4.38%		1Y/6M		01/27/2030	Citibank N.A.		1,385,625 USD		6.70	%		(938	)		111,344			112,282
Total OTC Cross Currency Swaps												$	(2,511	)	$	451,398		$	453,909

OTC – Interest Rate Swaps

DESCRIPTION	NOTIONAL AMOUNT		UNREALIZED APPRECIATION		VALUE
Agreement with Bank of America N.A. dated 3/20/2019 receiving a fixed rate of 8.27% paying the notional amount multiplied by the 3 Month MOSPRIME rate. Expiring 3/21/2024.	RUB	94,000,000	$	174,992	$	174,992
Agreement with Bank of America N.A. dated 3/21/2019 receiving a fixed rate of 8.21% paying the notional amount multiplied by the 3 Month MOSPRIME rate. Expiring 3/21/2024.	RUB	110,000,000		201,370		201,370
Agreement with Bank of America N.A. dated 10/7/2019 receiving a fixed rate of 7.05% paying/ the notional amount multiplied by the 3 Month MOSPRIME rate. Expiring 10/8/2024.	RUB	146,600,000		230,632		230,632
Agreement with Bank of America N.A. dated 10/4/2019 receiving a fixed rate of 5.88% paying the notional amount multiplied by the BRL-CDI rate. Expiring 2/1/2023.	BRL	18,084,492		209,246		209,246
Agreement with Bank of America N.A. dated 4/9/2019 receiving a fixed rate of 8.31% paying the notional amount multiplied by the 3 Month MOSPRIME rate. Expiring 4/10/2024.	RUB	124,000,000		205,537		205,537
Agreement with Bank of America N.A. dated 4/8/2019 receiving a fixed rate of 8.35% paying the notional amount multiplied by the 3 Month MOSPRIME rate. Expiring 4/9/2024.	RUB	124,000,000		208,100		208,100
Agreement with Bank of America N.A. dated 3/13/2020 receiving a fixed rate of 7.55% paying/ the notional amount multiplied by the 3 Month MOSPRIME rate. Expiring 3/17/2025.	RUB	163,800,000		276,099		276,099
Agreement with Citibank N.A. dated 3/20/2019 receiving a fixed rate of 8.28% paying the notional amount multiplied by the 3 Month MOSPRIME rate. Expiring 3/21/2024.	RUB	62,000,000		115,740		115,740
Total OTC Interest Rate Swaps			$	1,621,716	$	1,621,716

See accompanying Notes to the Financial Statements.

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June 30, 2020

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
Brazil Government International Bond	1.00%		3M		6/20/2025		Morgan Stanley Capital Services, Inc.		380,000		380,000	$	(29,211	)	$	(26,614	)	$	2,597
Brazil Government International Bond	1.00%		3M		6/20/2025		JPMorgan Chase Bank N.A.		1,150,000		1,150,000		(126,596	)		(80,543	)		46,053
Colombia Government International Bond	1.00%		3M		6/20/2025		BNP Paribas S.A.		380,000		380,000		(23,461	)		(10,198	)		13,263
Colombia Government International Bond	1.00%		3M		6/20/2025		BNP Paribas S.A.		1,150,000		1,150,000		(121,940	)		(30,862	)		91,078
Indonesia Government International Bond	1.00%		3M		6/20/2025		BNP Paribas S.A.		380,000		380,000		(18,097	)		(5,781	)		12,316
Indonesia Government International Bond	1.00%		3M		6/20/2025		BNP Paribas S.A.		2,700,000		2,700,000		(180,505	)		(41,076	)		139,429
Malaysia Sovereign Sukuk Berhad – 3.043% Senior Unsecured Note due Apr 2025	1.00%		3M		6/20/2025		Bank of America N.A.		520,000		520,000		(2,603	)		7,087			9,690
Mexico Government International Bond	1.00%		3M		6/20/2025		Morgan Stanley Capital Services, Inc.		510,000		510,000		(29,247	)		(13,330	)		15,917
Mexico Government International Bond	1.00%		3M		6/20/2025		JPMorgan Chase Bank N.A.		1,535,000		1,535,000		(118,023	)		(40,121	)		77,902
Petroleo Brasileiro International Bond	1.00%		3M		6/20/2025		BNP Paribas S.A.		280,000		280,000		(44,378	)		(31,947	)		12,431
Petroleo Brasileiro International Bond	1.00%		3M		6/20/2025		Morgan Stanley Capital Services, Inc.		830,000		830,000		(154,016	)		(94,699	)		59,317
Total OTC Credit Default Swaps												$	(848,077	)	$	(368,084	)	$	479,993

(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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Barings Global Emerging Markets Equity Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS

June 30, 2020

	SHARES		COST		FAIR VALUE
Equities — 96.2%*:
Common Stocks — 96.2%*:
Communication Services — 13.6%*:
Mail.Ru Group Ltd.(a),(b)		5,891		$145,728		$132,548
PT Telekomunikasi Indonesia Persero Tbk(b)		497,400		135,601		106,200
Tencent Holdings Ltd.(b)		18,200		749,188		1,170,830
Total Communication Services		521,491		1,030,517		1,409,578
Consumer Discretionary — 13.5%*:
Alibaba Group Holding Ltd.(a),(b)		4,219		672,937		910,038
Prosus NV(a),(b)		2,331		179,030		216,686
Samsonite International SA(a),(b),(c)		96,900		206,895		97,519
Topsports International Holdings Ltd.(b),(c)		142,000		162,911		181,382
Total Consumer Discretionary		245,450		1,221,773		1,405,625
Consumer Staples — 2.7%*:
CP ALL Public Company Limited(a),(b)		71,600		150,312		156,949
X5 Retail Group NV(b)		3,356		81,585		118,802
Total Consumer Staples		74,956		231,897		275,751
Energy — 6.7%*:
CNOOC Ltd.(b)		154,000		271,158		171,277
LUKOIL PJSC(b)		1,277		79,789		94,779
Reliance Industries Ltd.(b),(c)		9,341		310,146		431,554
Total Energy		164,618		661,093		697,610
Financials — 26.2%*:
AIA Group Ltd.(b)		21,000		174,125		195,897
B3 SA – Brasil Bolsa Balcao(b)		18,007		97,380		182,418
Banco do Brasil SA(b)		8,300		56,922		49,070
China Construction Bank Corp.(b)		496,000		410,951		401,254
China Pacific Insurance Group Co. Ltd.(b)		41,800		146,124		111,639
Grupo Financiero Banorte SAB de CV(b)		47,627		285,044		164,797
Hana Financial Group, Inc.(b)		5,449		194,991		122,312
HDFC Bank Ltd.(b)		8,296		387,809		377,136
Itau Unibanco Holding SA(b)		30,735		193,827		144,147
Mega Financial Holding Co. Ltd.(b)		213,000		182,642		223,075
Ping An Insurance Group Co. of China Ltd.(b)		35,000		332,657		349,977
PT Bank Negara Indonesia Persero Tbk(b)		443,700		218,213		142,257
Sanlam Ltd.(b)		38,831		193,298		131,895
Sberbank of Russia PJSC(b)		10,509		119,730		119,172
Total Financials		1,418,254		2,993,713		2,715,046
Industrials — 2.1%*:
China State Construction International Holdings Ltd.(b)		210,000		198,648		122,469
Rumo SA(a),(b)		22,985		79,872		95,058
Total Industrials		232,985		278,520		217,527

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	SHARES		COST		FAIR VALUE
Common Stocks (Continued)
Information Technology — 21.8%*:
Chicony Electronics Co. Ltd.(b)		49,000	$	100,603	$	141,497
Hangzhou Hikvision Digital Technology Co. Ltd.(b)		38,700		163,249		166,035
Infosys Ltd.(b)		18,746		173,086		181,086
MediaTek, Inc.(b)		4,000		44,992		78,496
Powertech Technology, Inc.(b)		23,000		69,820		83,411
Samsung Electronics Co. Ltd.(b)		16,780		671,633		736,571
Sunny Optical Technology Group Co. Ltd.(b)		5,400		$62,423		$86,394
Taiwan Semiconductor Manufacturing Co. Ltd.(b)		74,000		616,160		785,033
Total Information Technology		229,626		1,901,966		2,258,523
Materials — 5.2%*:
Anglo American plc(b)		8,807		177,392		203,684
China Resources Cement Holdings Ltd.(b)		76,000		92,203		93,057
LG Chem Ltd.(b)		601		189,715		245,077
Total Materials		85,408		459,310		541,818
Real Estate — 4.2%*:
China Overseas Land & Investment Ltd.(b)		74,000		225,256		223,895
China Resources Land Ltd.(b)		56,000		188,928		212,064
Total Real Estate		130,000		414,184		435,959
Utilities — 0.2%*:
ENN Energy Holdings Ltd.(b)		2,000		19,174		22,502
Total Common Stocks		3,104,788		9,212,147		9,979,939
Total Equities		3,104,788		9,212,147		9,979,939
Mutual Fund — 1.6%*:
iShares MSCI India ETF(b)		5,884		197,603		170,753
Total Investments		3,110,672		9,409,750		10,150,692
Other assets and liabilities — 2.2%*						226,247
Net Assets — 100.0%						$10,376,939

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

(a) Non-income producing security.

(b) Foreign security.

See accompanying Notes to the Financial Statements.

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June 30, 2020

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

China	39.8%
Taiwan	12.9%
India	11.4%
Republic of Korea	10.9%
Hong Kong	4.7%
Brazil	4.6%
Russia	4.6%
South Africa	3.3%
Indonesia	2.5%
Netherlands	2.1%
Mexico	1.6%
Thailand	1.6%
Total	100.0%

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

See accompanying Notes to the Financial Statements.

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Barings U.S. High Yield Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS

June 30, 2020

						SHARES		COST		FAIR VALUE
Equities — 0.1%*:
Common Stocks — 0.1%*:
Oil and Gas — 0.1%*:
Fieldwood Energy LLC							1,006		$35,210		$50
Fieldwood Energy LLC							4,100		88,421		205
Jupiter Resources, Inc.(a)							39,729		192,017		29,797
Total Oil and Gas							44,835		315,648		30,052
Total Common Stocks							44,835		315,648		30,052
Warrants — 0.0%*:
Diversified/Conglomerate Manufacturing — 0.0%*:
Appvion Holdings Corp. (exp. June 13, 2023)(b)							357		–		–
Appvion Holdings Corp. (exp. June 13, 2023)(b)							357		–		–
Total Diversified/Conglomerate Manufacturing							714		–		–
Total Warrants							714		–		–
Total Equities							45,549		315,648		30,052
	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 96.9%*:
Bank Loans — 5.1%*(c):
Broadcasting and Entertainment — 0.7%*:
AP NMT Acquisition B.V., 3M LIBOR + 5.750%(a)		7.20	%		8/13/2021		293,005		293,014		286,046
CSC Holdings, LLC, 1M LIBOR + 2.500%		2.68			4/15/2027		44,744		44,744		42,355
Total Broadcasting and Entertainment							337,749		337,758		328,401
Buildings and Real Estate — 0.1%*:
GYP Holdings III Corp., 1M LIBOR + 2.750%		2.93			6/1/2025		26,946		26,946		25,969
Chemicals, Plastics and Rubber — 0.3%*:
Consolidated Energy Finance, S.A., 3M LIBOR + 2.500%		2.69			5/7/2025		157,556		152,430		142,588
Containers, Packaging and Glass — 0.9%*:
BWAY Holding Co., 3M LIBOR + 3.250%		4.56			4/3/2024		439,774		429,503		393,782
Diversified/Conglomerate Service — 1.8%*:
Almonde, Inc., 3M LIBOR + 7.250%		8.25			6/13/2025		250,000		247,633		215,278
Finastra USA, Inc., 3M LIBOR + 3.500%, 6M LIBOR + 3.500%		4.50			6/13/2024		247,986		239,652		216,199
SonicWall U.S. Holdings, Inc., 3M LIBOR + 7.500%		7.88			5/18/2026		51,897		51,511		46,015
Vertafore, Inc., 1M LIBOR + 3.250%		3.43			7/2/2025		394,000		386,691		370,608
Total Diversified/Conglomerate Service							943,883		925,487		848,100

See accompanying Notes to the Financial Statements.

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Barings U.S. High Yield Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)
Electronics — 0.5%*:
Renaissance Holding Corp., 1M LIBOR + 7.000%		7.76	%		5/29/2026		68,963	$	67,941	$	62,825
Veritas Bermuda Ltd., 3M LIBOR + 4.500%		5.50	%		1/27/2023		182,272		173,284		168,055
Total Electronics							251,235		241,225		230,880
Oil and Gas — 0.2%*:
Fieldwood Energy LLC, 1M LIBOR + 5.250%		6.25			4/11/2022		447,215		402,925		81,246
Fieldwood Energy LLC, 3M LIBOR + 7.250%		6.25			4/11/2023		91,996		54,575		552
Total Oil and Gas							539,211		457,500		81,798
Telecommunications — 0.6%*:
Banff Merger Sub, Inc., 1M LIBOR + 4.250%		4.43			10/2/2025		287,611		277,198		271,433
CommScope, Inc., 1M LIBOR + 3.250%		3.43			4/6/2026		30,328		30,077		28,660
Total Telecommunications							317,939		307,275		300,093
Total Bank Loans							3,014,293		2,878,124		2,351,611
Corporate Bonds — 91.8%*:
Aerospace and Defense — 4.1%*:
Global Aircraft Leasing Co. Ltd.(d)		6.50			9/15/2024		500,000		500,000		335,000
Science Applications International Corp.(d)		4.88			4/1/2028		117,000		117,191		116,305
Signature Aviation US Holdings, Inc.(d)		4.00			3/1/2028		266,000		266,000		240,397
TransDigm, Inc.		5.50			11/15/2027		397,000		397,000		346,462
TransDigm, Inc.(d)		8.00			12/15/2025		221,000		221,000		232,269
Triumph Group, Inc.(d)		6.25			9/15/2024		216,000		216,000		183,600
Triumph Group, Inc.		7.75			8/15/2025		595,000		598,722		446,994
Total Aerospace and Defense							2,312,000		2,315,913		1,901,027
Automobile — 2.6%*:
Adient US LLC(d)		9.00			4/15/2025		85,000		85,000		91,562
Allison Transmission, Inc.(d)		4.75			10/1/2027		157,000		150,102		155,823
Asbury Automotive Group, Inc.(d)		4.50			3/1/2028		39,000		39,000		37,830
Asbury Automotive Group, Inc.(d)		4.75			3/1/2030		40,000		40,000		39,000
Clarios Global LP(d)		6.75			5/15/2025		83,000		83,000		86,320
Clarios Global LP/Clarios US Finance Co.(d)		8.50			5/15/2027		28,000		25,925		28,139
Ford Motor Co.		8.50			4/21/2023		257,000		257,000		271,777
Ford Motor Co.		9.63			4/22/2030		197,000		196,490		233,307
Gates Global LLC/Gates Global Co.(d)		6.25			1/15/2026		250,000		250,000		245,625
Total Automobile							1,136,000		1,126,517		1,189,383
Beverage, Food and Tobacco — 3.3%*:
JBS Investments II GmbH(d)		7.00			1/15/2026		200,000		202,483		209,900
JBS USA Food Co.(d)		5.50			1/15/2030		125,000		125,000		128,125
JBS USA LUX SA/JBS USA Finance, Inc.(d)		6.75			2/15/2028		250,000		250,000		264,065
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.(d)		6.50			4/15/2029		500,000		500,000		530,625

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Beverage, Food and Tobacco (Continued)
Kraft Heinz Foods Co.(d)		3.75	%		4/1/2030		51,000	$	53,387	$	52,661
Kraft Heinz Foods Co.(d)		4.25			3/1/2031		100,000		100,000		106,029
Kraft Heinz Foods Co.		5.20			7/15/2045		72,000		77,656		78,082
Kraft Heinz Foods Co.		6.50			2/9/2040		38,000		45,747		45,739
Kraft Heinz Foods Co.		6.88			1/26/2039		84,000		104,898		103,843
Total Beverage, Food and Tobacco							1,420,000		1,459,171		1,519,069
Broadcasting and Entertainment — 9.1%*:
Banijay Entertainment Sasu(a),(d)		5.38			3/1/2025		170,000		170,000		166,175
Block Communications, Inc.(d)		4.88			3/1/2028		239,000		239,000		236,082
CCO Holdings LLC/CCO Holdings Capital Corp.(d)		4.50			5/1/2032		79,000		79,839		79,988
CCO Holdings LLC/CCO Holdings Capital Corp.(d)		4.75			3/1/2030		280,000		280,000		286,493
CCO Holdings LLC/CCO Holdings Capital Corp.(d)		5.75			2/15/2026		500,000		497,821		517,170
Clear Channel Worldwide Holdings, Inc.(d)		5.13			8/15/2027		250,000		250,000		240,000
Clear Channel Worldwide Holdings, Inc.		9.25			2/15/2024		162,000		162,000		150,271
CSC Holdings LLC(d)		5.75			1/15/2030		347,000		359,037		361,400
Diamond Sports Group LLC/Diamond Sports Finance Co.(d)		5.38			8/15/2026		49,000		49,000		35,464
DISH DBS Corp.		5.00			3/15/2023		79,000		77,943		78,810
DISH Network Corp.		3.38			8/15/2026		143,000		139,143		131,362
Netflix, Inc.(d)		5.38			11/15/2029		339,000		340,200		371,273
Netflix, Inc.		5.88			11/15/2028		250,000		248,695		284,687
Outfront Media Capital LLC/Outfront Media Capital Corp.(d)		6.25			6/15/2025		250,000		250,000		251,638
Sirius XM Radio, Inc.(d)		5.00			8/1/2027		350,000		350,000		357,724
Sirius XM Radio, Inc.(d)		5.50			7/1/2029		160,000		160,000		168,419
Tegna, Inc.(d)		4.63			3/15/2028		250,000		250,000		230,000
Terrier Media Buyer, Inc.(d)		8.88			12/15/2027		261,000		261,000		250,234
Total Broadcasting and Entertainment							4,158,000		4,163,678		4,197,190
Buildings and Real Estate — 5.5%*:
Brookfield Residential Properties, Inc./Brookfield Residential US Corp.(a),(d)		4.88			2/15/2030		183,000		183,000		152,915
Cemex SAB de CV(d)		7.38			6/5/2027		250,000		250,000		254,000
Core & Main LP, 8.625% CASH / 9.375% PIK(d)		6.13			8/15/2025		250,000		246,937		249,162
James Hardie International Finance DAC(d)		4.75			1/15/2025		244,000		240,087		248,270
M/I Homes, Inc.		5.63			8/1/2025		550,000		535,586		555,500
Mattamy Group Corp.(a),(d)		4.63			3/1/2030		330,000		329,112		316,800
Mattamy Group Corp.(a),(d)		5.25			12/15/2027		25,000		25,000		24,875
MPT Operating Partnership LP/MPT Finance Corp.		5.00			10/15/2027		250,000		250,000		256,875

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Buildings and Real Estate (Continued)
Service Properties Trust		7.50	%		9/15/2025		97,000	$	97,000	$	102,193
Standard Industries, Inc.(d)		4.75			1/15/2028		52,000		53,582		52,715
Standard Industries, Inc.(d)		5.00			2/15/2027		200,000		199,014		202,500
TRI Pointe Group, Inc.		5.70			6/15/2028		121,000		121,000		122,815
Total Buildings and Real Estate							2,552,000		2,530,318		2,538,620
Cargo Transport — 1.3%*:
Kenan Advantage Group, Inc. (The)(d)		7.88			7/31/2023		700,000		703,038		616,000
Chemicals, Plastics and Rubber — 2.9%*:
CF Industries, Inc.		4.95			6/1/2043		23,000		23,085		24,789
CF Industries, Inc.		5.38			3/15/2044		48,000		47,175		51,902
Consolidated Energy Finance SA(b)		6.88			6/15/2025		405,000		403,731		344,250
CVR Partners LP/CVR Nitrogen Finance Corp.(d)		9.25			6/15/2023		235,000		240,202		230,300
LBC Tank Terminals Holding Netherlands BV(d)		6.88			5/15/2023		250,000		245,587		252,318
Starfruit Finco BV/Starfruit US Holdco LLC(a),(d)		8.00			10/1/2026		56,000		54,840		57,327
Univar Solutions USA, Inc.(d)		5.13			12/1/2027		177,000		177,000		179,057
Valvoline, Inc.(d)		4.25			2/15/2030		176,000		176,387		173,360
Total Chemicals, Plastics and Rubber							1,370,000		1,368,007		1,313,303
Containers, Packaging and Glass — 1.2%*:
Graphic Packaging International LLC(d)		3.50			3/15/2028		125,000		125,000		124,025
Mauser Packaging Solutions Holding Co.(d)		7.25			4/15/2025		302,000		290,983		273,845
Trident TPI Holdings, Inc.(d)		9.25			8/1/2024		171,000		166,544		175,275
Total Containers, Packaging and Glass							598,000		582,527		573,145
Diversified/Conglomerate Manufacturing — 1.6%*:
Amsted Industries, Inc.(d)		4.63			5/15/2030		295,000		295,000		291,717
Appvion ESC, 3M EURIBOR + 4.125%(b),(e)		9.00	(f)		6/1/2025		366,000		366,000		–
Colfax Corp.(d)		6.38			2/15/2026		135,000		135,000		141,075
Energizer Holdings, Inc.(d)		7.75			1/15/2027		153,000		159,967		163,139
Griffon Corp.		5.75			3/1/2028		127,000		127,000		125,412
MTS Systems Corp.(d)		5.75			8/15/2027		33,000		33,000		30,278
Total Diversified/Conglomerate Manufacturing							1,109,000		1,115,967		751,621
Diversified/Conglomerate Service — 3.1%*:
Carlson Travel, Inc.(d)		9.50			12/15/2024		350,000		336,070		154,000
Iron Mountain, Inc.(d)		5.25			7/15/2030		235,000		235,000		231,475
KAR Auction Services, Inc.(d)		5.13			6/1/2025		186,000		162,786		183,210
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.(d)		6.50			6/20/2027		150,000		148,125		150,375
Open Text Corp.(d)		3.88			2/15/2028		173,000		172,749		166,566
Open Text Holdings, Inc.(d)		4.13			2/15/2030		180,000		179,747		176,850

See accompanying Notes to the Financial Statements.

148

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Diversified/Conglomerate Service (Continued)
Prime Security Services Borrower LLC/Prime Finance, Inc.(d)		6.25	%		1/15/2028		339,000	$	337,310	$	319,507
Sabre GLBL, Inc.(d)		9.25			4/15/2025		50,000		50,000		52,688
Total Diversified/Conglomerate Service							1,663,000		1,621,787		1,434,671
Ecological — 0.2%*:
Clean Harbors, Inc.(d)		4.88			7/15/2027		91,000		91,000		93,502
Electronics — 4.8%*:
Dell International LLC/EMC Corp.(d)		7.13			6/15/2024		230,000		238,018		238,266
Dell, Inc.		6.50			4/15/2038		106,000		113,291		114,374
NCR Corp.(d)		8.13			4/15/2025		63,000		63,000		66,780
Presidio Holdings, Inc.(d)		8.25			2/1/2028		66,000		66,000		66,000
RP Crown Parent LLC(d)		7.38			10/15/2024		96,000		96,000		95,760
Solera LLC/Solera Finance, Inc.(d)		10.50			3/1/2024		195,000		198,485		198,413
SS&C Technologies, Inc.(d)		5.50			9/30/2027		280,000		280,000		284,099
Veritas US, Inc./Veritas Bermuda Ltd.(d)		10.50			2/1/2024		831,000		762,911		743,745
WESCO Distribution, Inc.(d)		7.13			6/15/2025		191,000		191,000		201,148
WESCO Distribution, Inc.(d)		7.25			6/15/2028		197,000		195,518		208,327
Total Electronics							2,255,000		2,204,223		2,216,912
Finance — 5.4%*:
Alliance Data Systems Corp.(d)		4.75			12/15/2024		300,000		300,000		270,000
Ford Motor Credit Co. LLC		4.13			8/4/2025		200,000		157,746		189,690
Ford Motor Credit Co. LLC		5.13			6/16/2025		233,000		233,000		233,093
Ford Motor Credit Co. LLC		5.60			1/7/2022		200,000		177,389		201,500
Ford Motor Credit Co. LLC		5.88			8/2/2021		200,000		181,915		201,940
Icahn Enterprises LP / Icahn Enterprises Finance Corp.		4.75			9/15/2024		105,000		106,916		98,721
Icahn Enterprises LP / Icahn Enterprises Finance Corp.		6.25			5/15/2026		500,000		500,000		500,350
LPL Holdings, Inc.(d)		5.75			9/15/2025		518,000		513,054		524,475
Springleaf Finance Corp.		5.38			11/15/2029		302,000		304,024		282,370
Total Finance							2,558,000		2,474,044		2,502,139
Healthcare, Education and Childcare — 7.6%*:
Bausch Health Americas., Inc.(d)		8.50			1/31/2027		175,000		180,013		185,719
Bausch Health Cos., Inc.(d)		5.88			5/15/2023		3,000		2,706		2,992
Bausch Health Cos., Inc.(d)		5.00			1/30/2028		130,000		130,000		122,394
Bausch Health Cos., Inc.(d)		5.25			1/30/2030		188,000		188,000		178,365
Bausch Health Cos., Inc.(d)		5.50			3/1/2023		37,000		31,752		37,000
Bausch Health Cos., Inc.(d)		7.00			1/15/2028		250,000		263,299		257,500
Centene Corp.		4.25			12/15/2027		108,000		107,147		111,446
Centene Corp.		4.63			12/15/2029		209,000		209,000		220,495

See accompanying Notes to the Financial Statements.

149

Barings U.S. High Yield Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Healthcare, Education and Childcare (Continued)
Centene Corp.(d)		5.25	%		4/1/2025		104,000	$	106,938	$	107,086
Centene Corp.(d)		5.38			6/1/2026		19,000		19,841		19,696
Envision Healthcare Corp.(d)		8.75			10/15/2026		472,000		463,924		224,200
HCA, Inc.		3.50			9/1/2030		276,000		274,655		265,835
HCA, Inc.		5.38			2/1/2025		175,000		176,701		187,469
Hillenbrand, Inc.		5.75			6/15/2025		108,000		108,000		111,780
Jaguar Holding Co. II / PPD Development LP(d)		4.63			6/15/2025		154,000		154,000		156,726
Molina Healthcare, Inc.(d)		4.38			6/15/2028		165,000		165,000		164,794
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA(d)		7.25			2/1/2028		400,000		400,000		406,592
Par Pharmaceutical, Inc.(d)		7.50			4/1/2027		300,000		300,000		307,860
Radiology Partners, Inc.(d)		9.25			2/1/2028		176,000		176,000		165,880
Tenet Healthcare Corp.(d)		4.88			1/1/2026		125,000		125,000		121,719
Tenet Healthcare Corp.(d)		5.13			11/1/2027		125,000		125,000		123,337
Total Healthcare, Education and Childcare							3,699,000		3,706,976		3,478,885
Home and Office Furnishings, Housewares, and Durable Consumer Products — 1.1%*:
Newell Brands, Inc.		4.70			4/1/2026		142,000		135,072		149,016
Newell Brands, Inc.		4.88			6/1/2025		88,000		87,568		92,162
Newell Brands, Inc.		5.88			4/1/2036		52,000		58,668		55,445
Resideo Funding, Inc.(d)		6.13			11/1/2026		192,000		188,917		187,680
Total Home and Office Furnishings, Housewares, and Durable Consumer Products							474,000		470,225		484,303
Hotels, Motels, Inns and Gaming — 4.0%*:
Boyd Gaming Corp.(d)		8.63			6/1/2025		82,000		82,000		85,690
Boyne USA, Inc.(d)		7.25			5/1/2025		125,000		125,000		130,938
Caesars Resort Collection LLC / CRC Finco, Inc.(d)		5.25			10/15/2025		90,000		80,771		78,300
Colt Merger Sub, Inc.(d)		5.75			7/1/2025		125,000		125,000		125,713
ESH Hospitality, Inc.(d)		4.63			10/1/2027		265,000		265,000		248,106
Golden Nugget, Inc.(d)		8.75			10/1/2025		280,000		222,786		158,200
MGM Resorts International		6.75			5/1/2025		250,000		250,000		247,520
Scientific Games International, Inc.(d)		5.00			10/15/2025		81,000		73,116		74,784
Scientific Games International, Inc.(d)		7.25			11/15/2029		74,000		62,419		59,200
Scientific Games International, Inc.(d)		8.25			3/15/2026		15,000		12,781		13,453
Scientific Games International, Inc.(d)		8.63			7/1/2025		113,000		113,000		105,621
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.(d)		5.25			5/15/2027		98,000		98,000		84,721
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.(d)		5.50			3/1/2025		250,000		247,611		228,750
Wynn Macau Ltd.(a),(d)		5.13			12/15/2029		188,000		188,000		182,360
Total Hotels, Motels, Inns and Gaming							2,036,000		1,945,484		1,823,356

See accompanying Notes to the Financial Statements.

150

Barings U.S. High Yield Fund 2020 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Insurance — 0.8%*:
Acrisure LLC/Acrisure Finance, Inc.(d)		7.00	%		11/15/2025		275,000	$	263,510	$	262,969
Acrisure LLC/Acrisure Finance, Inc.(d)		8.13			2/15/2024		84,000		84,000		87,335
Total Insurance							359,000		347,510		350,304
Leisure, Amusement, Entertainment — 1.8%*:
Colt Merger Sub, Inc.(d)		6.25			7/1/2025		125,000		125,000		124,219
Colt Merger Sub, Inc.(d)		8.13			7/1/2027		250,000		250,000		241,562
Live Nation Entertainment, Inc.(d)		4.75			10/15/2027		251,000		249,995		215,913
Ryman Hospitality Properties, Inc.(d)		4.75			10/15/2027		296,000		296,000		263,440
Total Leisure, Amusement, Entertainment							922,000		920,995		845,134
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 0.7%*:
Apex Tool Group LLC/BC Mountain Finance, Inc.(d)		9.00			2/15/2023		430,000		423,690		310,675
Mining, Steel, Iron and Non-Precious Metals — 4.4%*:
Cleveland-Cliffs, Inc.(d)		6.75			3/15/2026		72,000		71,462		69,480
Compass Minerals International, Inc.(d)		4.88			7/15/2024		124,000		117,599		124,310
First Quantum Minerals Ltd.(a),(d)		6.88			3/1/2026		229,000		229,000		216,977
First Quantum Minerals Ltd.(a),(d)		7.50			4/1/2025		158,000		151,515		151,285
Freeport-McMoRan, Inc.		4.13			3/1/2028		28,000		27,018		27,160
Kinross Gold Corp.		6.88			9/1/2041		99,000		98,537		120,623
New Gold, Inc.(d)		7.50			7/15/2027		279,000		279,508		287,842
Northwest Acquisitions ULC/Dominion Finco, Inc.a,(a),(d),(e)		7.13			11/1/2022		493,000		498,177		5,053
Peabody Energy Corp.(d)		6.00			3/31/2022		524,000		525,547		340,600
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.(d)		7.50			6/15/2025		196,000		201,496		165,659
Warrior Met Coal, Inc.(d)		8.00			11/1/2024		540,000		546,680		526,500
Total Mining, Steel, Iron and Non-Precious Metals							2,742,000		2,746,539		2,035,489
Oil and Gas — 11.8%*:
Antero Resources Corp.		5.38			11/1/2021		160,000		155,891		148,000
Apache Corp.		4.38			10/15/2028		51,000		46,952		45,036
Apache Corp.		4.75			4/15/2043		26,000		21,003		20,932
Apache Corp.		5.10			9/1/2040		51,000		41,328		41,899
Apache Corp.		5.35			7/1/2049		78,000		62,528		62,239
Buckeye Partners LP		5.85			11/15/2043		26,000		21,780		22,563
Cenovus Energy, Inc.(a)		4.25			4/15/2027		37,000		33,737		33,511
Cenovus Energy, Inc.(a)		5.40			6/15/2047		54,000		47,626		46,358
Cenovus Energy, Inc.(a)		6.75			11/15/2039		61,000		57,800		59,393
Cheniere Energy Partners LP		4.50			10/1/2029		184,000		184,000		178,250
Cheniere Energy Partners LP		5.63			10/1/2026		250,000		250,000		248,750
Continental Resources, Inc.		3.80			6/1/2024		59,000		51,350		55,166

See accompanying Notes to the Financial Statements.

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June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Oil and Gas (Continued)
Continental Resources, Inc.		4.38	%		1/15/2028		66,000	$	54,249	$	58,095
CVR Energy, Inc.(d)		5.25			2/15/2025		300,000		300,000		276,000
CVR Energy, Inc.(d)		5.75			2/15/2028		300,000		300,000		262,500
DCP Midstream Operating LP		5.13			5/15/2029		9,000		8,307		8,634
DCP Midstream Operating LP(d)		6.45			11/3/2036		4,000		3,302		3,600
Endeavor Energy Resources LP / EER Finance, Inc.(d)		6.63			7/15/2025		115,000		116,182		115,899
EQM Midstream Partners LP(d)		6.00			7/1/2025		145,000		145,000		146,873
EQM Midstream Partners LP(d)		6.50			7/1/2027		119,000		119,000		121,882
Genesis Energy LP / Genesis Energy Finance Corp.		5.63			6/15/2024		56,000		51,607		48,720
Genesis Energy LP/Genesis Energy Finance Corp.		6.00			5/15/2023		18,000		17,832		16,200
Genesis Energy LP/Genesis Energy Finance Corp.		6.50			10/1/2025		390,000		371,242		333,450
Hilcorp Energy I LP / Hilcorp Finance Co.(d)		5.75			10/1/2025		17,000		10,257		14,450
Hilcorp Energy I LP/Hilcorp Finance Co.(d)		5.00			12/1/2024		32,000		22,817		27,520
Hilcorp Energy I LP/Hilcorp Finance Co.(d)		6.25			11/1/2028		70,000		61,727		56,175
Jonah Energy LLC/Jonah Energy Finance Corp.(d)		7.25			10/15/2025		351,000		328,457		42,998
Jupiter Resources, Inc.(a),(b)		10.00			1/31/2024		48,085		48,085		43,277
Laredo Petroleum, Inc.		9.50			1/15/2025		150,000		150,000		103,688
Laredo Petroleum, Inc.		10.13			1/15/2028		150,000		150,000		103,500
MEG Energy Corp.(a),(d)		7.13			2/1/2027		270,000		270,000		224,437
Nabors Industries Ltd.(d)		7.25			1/15/2026		100,000		100,472		61,500
Nabors Industries Ltd.(d)		7.50			1/15/2028		72,000		72,000		44,280
Neptune Energy Bondco PLC(a),(d)		6.63			5/15/2025		242,000		242,212		210,540
Occidental Petroleum Corp., 3M USD LIBOR + 1.450%		1.84	(f)		8/15/2022		38,000		27,068		34,967
Occidental Petroleum Corp.		2.60			4/15/2022		31,000		23,578		29,537
Occidental Petroleum Corp.		2.70			8/15/2022		73,000		54,213		67,959
Occidental Petroleum Corp.		2.70			2/15/2023		29,000		17,895		26,426
Occidental Petroleum Corp.		2.90			8/15/2024		38,000		21,851		32,470
Occidental Petroleum Corp.		3.50			6/15/2025		75,000		53,925		63,375
Occidental Petroleum Corp.		4.10			2/1/2021		163,000		147,248		163,652
Occidental Petroleum Corp.		4.20			3/15/2048		12,000		8,523		8,126
Occidental Petroleum Corp.		4.40			4/15/2046		78,000		55,593		54,407
Occidental Petroleum Corp.		4.40			8/15/2049		31,000		22,170		21,390
Occidental Petroleum Corp.		4.50			7/15/2044		32,000		23,128		22,080
Occidental Petroleum Corp.		6.45			9/15/2036		14,000		10,785		11,830
Occidental Petroleum Corp.		6.60			3/15/2046		83,000		63,946		72,249
Occidental Petroleum Corp.		6.95			7/1/2024		36,000		21,190		35,303
Ovintiv, Inc.		6.50			8/15/2034		42,000		37,750		37,523
Ovintiv, Inc.		6.63			8/15/2037		9,000		7,921		7,835
Parkland Fuel Corp.(a),(d)		5.88			7/15/2027		125,000		125,000		129,688
PBF Holding Co. LLC/PBF Finance Corp.(d)		6.00			2/15/2028		600,000		600,000		498,000
PBF Holding Co. LLC/PBF Finance Corp.		7.25			6/15/2025		350,000		358,535		317,625

See accompanying Notes to the Financial Statements.

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June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Oil and Gas (Continued)
Targa Resources Partners LP / Targa Resources Partners Finance Corp.(d)		5.50	%		3/1/2030		6,000	$	5,414	$	5,794
Targa Resources Partners LP / Targa Resources Partners Finance Corp.		6.88			1/15/2029		24,000		23,761		25,140
Targa Resources Partners LP/Targa Resources Partners Finance Corp.		4.25			11/15/2023		53,000		45,775		50,615
Welltec A/S(a),(d)		9.50			12/1/2022		228,000		230,784		205,200
Western Midstream Operating LP		4.05			2/1/2030		56,000		49,790		53,905
Western Midstream Operating LP		5.30			3/1/2048		157,000		120,850		127,366
Western Midstream Operating LP		5.45			4/1/2044		79,000		64,502		65,791
Total Oil and Gas							6,523,085		6,137,938		5,454,568
Personal and Non-Durable Consumer Products Mfg. Only — 0.1%*:
Spectrum Brands, Inc.(d)		5.00			10/1/2029		48,000		48,000		47,400
Personal Transportation — 0.5%*:
American Airlines Group, Inc.(d)		3.75			3/1/2025		212,000		212,000		98,557
American Airlines Group, Inc.(d)		5.00			6/1/2022		221,000		221,000		128,180
Total Personal Transportation							433,000		433,000		226,737
Personal, Food and Miscellaneous — 0.8%*:
Mattel, Inc.(d)		5.88			12/15/2027		159,000		157,809		163,770
Mattel, Inc.(d)		6.75			12/31/2025		132,000		134,279		136,950
Simmons Foods, Inc.(d)		7.75			1/15/2024		83,000		83,000		86,586
Total Personal, Food and Miscellaneous							374,000		375,088		387,306
Printing and Publishing — 0.9%*:
Cimpress plc(d)		7.00			6/15/2026		427,000		448,269		393,907
Retail Stores — 1.2%*:
Core & Main Holdings LP, 8.625% CASH / 9.375% PIK(d)		8.63			9/15/2024		43,000		42,678		43,069
KGA Escrow LLC(d)		7.50			8/15/2023		282,000		282,000		281,647
Penske Automotive Group, Inc.		5.50			5/15/2026		250,000		250,000		249,375
Total Retail Stores							575,000		574,678		574,091
Telecommunications — 9.9%*:
Altice Financing SA(a),(d)		5.00			1/15/2028		222,000		222,000		220,526
Altice Financing SA(a),(d)		7.50			5/15/2026		106,000		101,298		111,035
Altice Finco SA(d)		7.63			2/15/2025		110,000		111,331		114,401
Banff Merger Sub, Inc.(d)		9.75			9/1/2026		185,000		183,473		186,156
Boxer Parent Co., Inc.(d)		9.13			3/1/2026		158,000		158,000		163,530
CenturyLink, Inc.		6.75			12/1/2023		139,000		139,229		149,396
CommScope Technologies Finance LLC(d)		6.00			6/15/2025		38,000		33,829		36,697
CommScope Technologies LLC(d)		5.00			3/15/2027		562,000		540,779		506,193

See accompanying Notes to the Financial Statements.

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June 30, 2020

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)
Telecommunications (Continued)
Hughes Satellite Systems Corp.		6.63	%		8/1/2026		426,000	$	430,544	$	442,137
LCPR Senior Secured Financing DAC(a),(d)		6.75			10/15/2027		200,000		200,000		204,000
Midcontinent Communications/Midcontinent Finance Corp.(d)		5.38			8/15/2027		149,000		149,000		151,292
Sprint Capital Corp.		6.88			11/15/2028		648,000		653,433		788,940
Sprint Capital Corp.		8.75			3/15/2032		52,000		73,786		74,425
Sprint Corp.		7.63			3/1/2026		114,000		114,000		134,562
Telecom Italia Capital SA(a)		6.00			9/30/2034		62,000		72,319		67,394
Telecom Italia SpA(a),(d)		5.30			5/30/2024		250,000		258,146		260,893
ViaSat, Inc.(d)		5.63			4/15/2027		149,000		149,000		152,539
ViaSat, Inc.(d)		6.50			7/15/2028		200,000		200,000		200,042
Virgin Media Finance plc(d)		5.00			7/15/2030		117,000		117,000		114,392
Virgin Media Secured Finance PLC(a),(d)		5.50			5/15/2029		250,000		254,089		261,250
Ziggo BV(a),(d)		4.88			1/15/2030		89,000		89,000		89,482
Ziggo BV(a),(d)		5.50			1/15/2027		140,000		134,779		141,758
Total Telecommunications							4,366,000		4,385,035		4,571,040
Textiles and Leather — 0.1%*:
Hanesbrands, Inc.(d)		4.88			5/15/2026		25,000		26,192		25,187
Utilities — 1.0%*:
PG&E Corp.		5.00			7/1/2028		95,000		95,000		94,972
PG&E Corp.		5.25			7/1/2030		82,000		82,000		82,467
Vistra Operations Co. LLC(d)		4.30			7/15/2029		250,000		247,929		262,838
Total Utilities							427,000		424,929		440,277
Total Corporate Bonds							45,782,085		45,170,738		42,295,241
Total Fixed Income							48,796,378		48,048,862		44,646,852
Total Investments							48,841,927		48,364,510		44,676,904
Other assets and liabilities – 3.0%*											1,359,746
Net Assets – 100.0%											$46,036,650

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.

(a) Foreign security.

See accompanying Notes to the Financial Statements.

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June 30, 2020

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

United States	89.4%
Canada	3.2%
United Kingdom	1.3%
Netherlands	1.3%
Portugal	1.0%
Other (Individually less than 1%)	3.8%
Total	100.0%

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

(c) 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, 2020. 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.

(d) 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.

(e) Defaulted security.

(f) Variable rate security. The interest rate shown is the rate in effect at June 30, 2020.

See accompanying Notes to the Financial Statements.

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June 30, 2020

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, 2020, the Trust consists of seven 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 Diversified Income Fund (“Diversified Income Fund”), Barings Emerging Markets Debt Blended Total Return Fund (“Emerging Markets Debt Blended Total Return Fund”), Barings Global Emerging Markets Equity Fund (“Global Emerging Markets Equity Fund”) and Barings U.S. High Yield Fund (“U.S. High Yield Fund”). Each Fund, other than Emerging Markets Debt Blended Total Return Fund and Global Emerging Markets Equity Fund, is a “diversified” investment company. Global Credit Income Opportunities Fund and Global Floating Rate Fund commenced operations on September 16, 2013. Active Short Duration Bond Fund and Diversified Income Fund commenced operations on July 8, 2015. Emerging Markets Debt Blended Total Return Fund commenced operations on October 21, 2015. U.S. High Yield Fund commenced operations on October 30, 2015. Global Emerging Markets Equity Fund commenced operations on September 17, 2018.

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 International Investment Limited (“BIIL”), a private limited company incorporated under the laws of England, serves as a sub-adviser with respect to European investments for the Global Floating Rate Fund, Global Credit Income Opportunities Fund, Emerging Markets Debt Blended Total Return Fund and Global Emerging Markets Equity Fund. The Adviser also has entered into a personnel-sharing arrangement with BIIL with respect to the Diversified Income Fund, pursuant to which, certain employees of BIIL may serve as “associated persons” of the Adviser and, in this capacity, subject to the oversight

and supervision of the Adviser may provide research and related services, and discretionary investment management and trading services to the Fund on behalf of the Adviser.

The primary investment objective of the Global Floating Rate Fund is to seek a high level of current income. The Global Floating Rate Fund seeks preservation of capital as a secondary investment objective. The investment objective of the Global Credit Income Opportunities Fund is to seek an absolute return, primarily through current income and secondarily through capital appreciation. The investment objective of the Active Short Duration Bond Fund is to seek to achieve a high total rate of return primarily from current income while minimizing fluctuations in capital values by investing primarily in a diversified portfolio of short-term investment grade fixed income securities. The investment objective of the Diversified Income Fund seeks an absolute return, primarily through current income and capital appreciation. 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 Global Emerging Markets Equity Fund is to seek to achieve long-term capital growth.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 BIIL 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,

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June 30, 2020

consisting of loans, bonds and notes. Investments may be based in U.S. and non-U.S. markets, as well as over-the-counter and exchange traded derivatives. Investments may be issued or guaranteed by governments and their agencies, corporations, financial institutions and supranational organizations that the Adviser believes have the potential to provide a high total return over time. A significant portion of the Global Floating Rate Fund and Global Credit Income Opportunities Fund’s investments in debt instruments will be denominated in a currency other than the U.S. dollar. Although the investments in non-U.S. dollar denominated assets may be on a currency hedged or unhedged basis, the Global Floating Rate Fund and Global Credit Income Opportunities Fund expect that, under current market conditions, they will seek to hedge substantially all of their exposure to foreign currencies. Under normal market conditions, the Active Short Duration Bond Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in investment grade fixed income securities (rated Baa3 or higher by Moody’s or BBB- or higher by S&P or Fitch or if unrated, determined to be of comparable quality by the Adviser). These typically include U.S. dollar-denominated corporate obligations, securities issued or guaranteed by the U.S. government or its agencies or instrumentalities, U.S. and foreign issuer dollar-denominated bonds including, but not limited to, corporate obligations, government and agency issues, private placement bonds, securities subject to resale pursuant to Rule 144A, mortgage-backed, and other asset-backed securities. Under normal market conditions, the Diversified Income 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 Global Emerging Markets Equity Fund will invest at least 80% of its net assets (including the amount of any borrowings for investment purposes) in equity and equity-related securities of issues that are economically tied to one or more emerging market countries. In general, countries may be considered emerging markets if they are included in any one of the Morgan Stanley Capital Index (“MSCI”) emerging markets indices. 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 (except Active Short Duration Bond Fund, which has 5 classes of shares: Class A, C, I, Y and L), each with different expenses and dividends. Class L of Active Short Duration Bond Fund began operations on May 1, 2020. 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

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June 30, 2020

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 approximate fair value and are determined using Level 2 inputs, as of June 30, 2020. 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, 2020.

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

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June 30, 2020

Adviser will review any market quotations so obtained in light of other information in its possession for their general reliability.

Bond investments are valued on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Bank loan positions are valued at the bid price from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche.

Bank loans in which the Funds may invest have similar risks to lower-rated fixed income securities. Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. Senior secured bank loans are supported by collateral; however, the value of the collateral may be insufficient to cover the amount owed to the Funds. By relying on a third party to administer a loan, the Funds are subject to the risk that the third party will fail to perform its obligations. The loans in which the Funds will invest are largely floating rate instruments; therefore, the interest rate risk generally is lower than for fixed-rate debt obligations. However, from the perspective of the borrower, an increase in interest rates may adversely affect the borrower’s financial condition. Due to the unique and customized nature of loan agreements evidencing loans and the private syndication thereof, loans are not as easily purchased or sold as publicly traded securities. Although the range of investors in loans has broadened in recent years, there can be no assurance that future levels of supply and demand in loan trading will provide the degree of liquidity which currently exists in the market. In addition, the terms of the loans may restrict their transferability without borrower consent. These factors may have an adverse effect on the market price and the Funds’ ability to dispose of particular portfolio investments. A less liquid secondary market also

may make it more difficult for the Funds to obtain precise valuations of the high yield loans in its portfolio.

The Funds may invest in collateralized debt obligations (“CDOs”), which include collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”). CBOs and CLOs are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

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

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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, 2020 in valuing the Funds’ investments:

Global Floating Rate Fund

DESCRIPTION	LEVEL 1		LEVEL 2			LEVEL 3			TOTAL INVESTMENTS
Assets:
Equities:
Common Stocks	$	–	$	6,764		$	559,585	***	$	566,349
Limited Partnership		–		–			0	***		–
Warrants		–		–			0	***		–
Total Equities		–		6,764			559,585			566,349
Fixed Income:
Bank Loans		–		188,860,001			504,343	***		189,364,344
Corporate Bonds		–		12,351,631			0	***		12,351,631
Total Fixed Income		–		201,211,632			504,343			201,715,975
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		582,821			–			582,821
Total	$	–	$	201,801,217		$	1,063,928		$	202,865,145
Liabilities:
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		(22,691	)		–			(22,691	)
Total Investments	$	–	$	201,778,526		$	1,063,928		$	202,842,454

*** None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. Level 3 investments at the end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the year ended June 30, 2020 is not presented.

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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, 2020:

TYPE OF ASSETS	FAIR VALUE AS OF JUNE 30, 2020		VALUATION TECHNIQUE(S)	UNOBSERVABLE INPUT
Equities
CTI Foods Holding Co, LLC	$	559,585	Discounted Cash Flow	Average Enterprise Valuation Multiple: 4 year projection, 7.1x; EBITDA: $53.7 million; 15% discount rate
Tunstall Group Holdings Ltd	$	–	Zero Value	Valued at zero
Tunstall Group Holdings Ltd	$	–	Zero Value	Valued at zero
Boomerang Tube LLC	$	–	Discounted Cash Flow	Average Enterprise Valuation Multiple: 5 year projection, 5.0x; EBITDA: $20.4 million; 20% discount rate
Southcross Energy Partners LP	$	–	Zero Value	Valued at zero
Templar Energy LLC	$	–	Broker Quote	Valued at zero until final accrual is received
Templar Energy LLC	$	–	Broker Quote	Valued at zero until final accrual is received
Pinnacle Operating Corp, earnout shares	$	–	Zero Value	Valued at zero
Appvion Holdings Corp	$	–	Broker Quote	Valued at zero
Appvion Holdings Corp	$	–	Broker Quote	Valued at zero
Bank Loans
CTI Foods Holding Co, LLC, 3M LIBOR	$	186,767	Discounted Cash Flow	Average Enterprise Valuation Multiple: 3 year projection, 7.1x; EBITDA: $53.7 million;: 15% discount rate
CTI Foods Holding Co, LLC, 3M LIBOR	$	310,064	Discounted Cash Flow	Average Enterprise Valuation Multiple: 3 year projection, 7.1x; EBITDA: $53.7 million;: 15% discount rate
Deoleo S.A.	$	–	Zero Value	Valued at zero
Boomerang Tube LLC	$	7,512	Discounted Cash Flow	Average Enterprise Valuation Multiple: 5 year projection, 5.0x; EBITDA: $20.4 million; 20% discount rate
Corporate Bonds
Appvion ESC	$	–	Zero Value	Valued at zero without primary asset attached
Galapagos S.A.	$	–	Zero Value	Valued at zero without primary asset attached

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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Global Credit Income Opportunities Fund

DESCRIPTION	LEVEL 1			LEVEL 2			LEVEL 3			TOTAL INVESTMENTS
Assets:
Equities:
Common Stocks	$	–		$	91,143		$	482,271	***	$	573,414
Limited Partnership		–			–			0	***		–
Warrants		–			–			0	***		–
Total Equities		–			91,143			482,271			573,414
Fixed Income:
Asset-Backed Securities		–			15,223,902			0	***		15,223,902
Bank Loans		–			64,979,889			350,148	***		65,330,037
Corporate Bonds		–			70,191,872			90,356	***		70,282,228
Total Fixed Income		–			150,395,663			440,504			150,836,167
Purchased Option:
Put Option Purchased		777,280			–			–			777,280
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–			495,076			–			495,076
Total	$	777,280		$	150,981,882		$	922,775		$	152,681,937
Liabilities:
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–			(47,937	)		–			(47,937	)
Put Option Written		(439,208	)		–			–			(439,208	)
Total Derivative Securities		(439,208	)		(47,937	)		–			(487,145	)
Total Investments	$	338,072		$	150,933,945		$	922,775		$	152,194,792

*** None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. Level 3 investments at the end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the year ended June 30, 2020 is not presented.

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, 2020:

TYPE OF ASSETS	FAIR VALUE AS OF JUNE 30, 2020		VALUATION TECHNIQUE(S)	UNOBSERVABLE INPUT
Equities
Innovation Group	$	–	Zero Value	Valued at zero
MModal, Inc.	$	3,213	Analyst Priced	Analyst verified stale price and adjusted for cash receipts
Tunstall Group Holdings LTD	$	–	Zero Value	Valued at zero
Tunstall Group Holdings LTD	$	–	Zero Value	Valued at zero
Boomerang Tube LLC	$	–	Discounted Cash Flow	Average Enterprise Valuation Multiple: 5 year projection, 5.0x; EBITDA: $20.4 million; 20% discount rate
Southcross Energy Partners LP	$	–	Zero Value	Valued at zero

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TYPE OF ASSETS	FAIR VALUE AS OF JUNE 30, 2020		VALUATION TECHNIQUE(S)	UNOBSERVABLE INPUT
Maxeda DIY B.V.	$	423,781	Market Comparables	LTM EBITDA €115m; Net leverage €409m; Average Comparable Valuation: 6.0X
Maxeda DIY B.V.	$	55,277	Market Comparables	LTM EBITDA €115m; Net leverage €409m; Average Comparable Valuation: 6.0X
Pinnacle Operating Corp, earnout shares	$	–	Zero Value	Valued at zero
Appvion Holdings Corp	$	–	Broker Quote	Valued at zero
Appvion Holdings Corp	$	–	Broker Quote	Valued at zero
Asset Backed Securities
BlueMountain CLO Ltd.	$	–	Zero Value	Valued at zero
Bank Loans
Deoleo S.A.	$	–	Zero Value	Valued at zero
Innovation Group PLC	$	79,365	Vendor Price	$95.50: Price source depth of 1
Innovation Group PLC	$	35,939	Vendor Price	$24.78: Price source depth of 1
Innovation Group PLC	$	63,090	Vendor Price	$111.52: Price source depth of 1
Innovation Group PLC	$	156,696	Vendor Price	$95.50: Price source depth of 1
Boomerang Tube LLC	$	15,058	Discounted Cash Flow	Average Enterprise Valuation Multiple: 5 year projection, 5.0x; EBITDA: $20.4 million; 20% discount rate
Corporate Bonds
Appvion ESC	$	–	Zero Value	Valued at zero without primary asset attached
Jupiter Resources, Inc.	$	90,356	Broker Quote	$90.00: 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.

Active Short Duration Bond Fund

DESCRIPTION	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL INVESTMENTS
Assets:
Fixed Income:
Asset-Backed Securities	$	–	$	307,459,029	$	8,133,500	$	315,592,529
Corporate Bonds		–		318,403,399		–		318,403,399
Mortgage-Backed Securities		–		109,620,679		–		109,620,679
U.S. Treasury & Government Agencies		–		5,537,500		–		5,537,500
Total Fixed Income		–		741,020,607		8,133,500		749,154,107
Purchased Options:
Call Option Purchased		–		304,446		–		304,446
Put Options Purchased		–		830,020		–		830,020
Total Purchased Options		–		1,134,466		–		1,134,466

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DESCRIPTION	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL INVESTMENTS
Short-Term Investments:
Commercial Paper	$	–		$	54,944,663		$	–	$	54,944,663
Total Short-Term Investments		–			54,944,663			–		54,944,663
Total	$	–		$	797,099,736		$	8,133,500	$	805,233,236
Liabilities:
Derivative Securities:
Centrally Cleared Credit Default Swaps*		–			(121,089	)		–		(121,089	)
Futures*		(1,025,565	)		–			–		(1,025,565	)
Total Derivative Securities		(1,025,565	)		(121,089	)		–		(1,146,654	)
Total Investments	$	(1,025,565	)	$	796,978,647		$	8,133,500	$	804,086,582

* 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, 2020:

TYPE OF ASSETS	FAIR VALUE AS OF JUNE 30, 2020		VALUATION TECHNIQUE(S)	UNOBSERVABLE INPUT
Asset-Backed Securities
SLM Student Loan Trust 2006-2	$	2,021,728	Broker Quote	$511.05: Broker quote depth of 1
SoFi Alternative Trust 2019-C	$	3,625,946	Broker Quote	$108.61: Broker quote depth of 1
SoFi Professional Loan Program 2018-A	$	661,977	Broker Quote	$ 48.23: Broker quote depth of 1
SoFi Professional Loan Program 2018-B Trust	$	499,066	Broker Quote	$ 39.43 Broker quote depth of 1
SoFi Professional Loan Program 2018-D Trust	$	459,911	Broker Quote	$ 24.37: Broker quote depth of 1
SoFi Professional Loan Program 2019-A LLC	$	864,872	Broker Quote	$ 24.55: Broker quote 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, 2019		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, 2020		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM INVESTMENTS HELD AT JUNE 30, 2020
Asset–Backed Securities	$	12,047,135	$	(882,762	)	$	(247,727	)	$	(1,754,321	)	$	92,554	$	–	$	(1,121,379	)	$	8,133,500	$	(247,727	)
Total	$	12,047,135	$	(882,762	)	$	(247,727	)	$	(1,754,321	)	$	92,554	$	–	$	(1,121,379	)	$	8,133,500	$	(247,727	)

** Transfers out of Level 3 into Level 2 occurred because observable inputs were now available.

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Diversified Income Fund

DESCRIPTION	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL INVESTMENTS
Assets:
Fixed Income:
Asset-Backed Securities	$	–		$	18,510,031		$	–	$	18,510,031
Corporate Bonds		–			18,620,900			–		18,620,900
Mortgage-Backed Securities		–			3,189,175			–		3,189,175
Total Fixed Income		–			40,320,106			–		40,320,106
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–			107			–		107
Futures*		44			–			–		44
Total Derivative Securities		44			107			–		151
Total	$	44		$	40,320,213		$	–	$	40,320,257
Liabilities:
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–			(4,280	)		–		(4,280	)
Futures*		(57,468	)		–			–		(57,468	)
Total Derivative Securities		(57,468	)		(4,280	)		–		(61,748	)
Total Investments	$	(57,424	)	$	40,315,933		$	–	$	40,258,509

* 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 Debt Blended Total Return Fund

DESCRIPTION	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL INVESTMENTS
Assets:
Fixed Income:
Corporate Bonds	$	–	$	21,286,835	$	–	$	21,286,835
Foreign Government		–		29,495,269		1,016,514		30,511,783
Total Fixed Income		–		50,782,104		1,016,514		51,798,618
Derivative Securities:
Centrally Cleared Interest Rate Swaps*		–		1,108,906		–		1,108,906
Forward Foreign Currency Exchange Contracts		–		1,926,360		–		1,926,360
OTC – Credit Default Swaps		–		7,087		–		7,087
OTC – Cross Currency Swaps		–		572,671		–		572,671
OTC – Interest Rate Swaps		–		1,621,716		–		1,621,716
Total Derivative Securities		–		5,236,740		–		5,236,740
Total	$	–	$	56,018,844	$	1,016,514	$	57,035,358

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DESCRIPTION	LEVEL 1		LEVEL 2			LEVEL 3		TOTAL INVESTMENTS
Liabilities:
Derivative Securities:
Centrally Cleared Interest Rate Swaps*	$	–	$	(7,026	)	$	–	$	(7,026	)
Forward Foreign Currency Exchange Contracts		–		(1,071,754	)		–		(1,071,754	)
OTC – Credit Default Swaps		–		(375,171	)		–		(375,171	)
OTC – Cross Currency Swaps		–		(121,273	)		–		(121,273	)
Total Derivative Securities		–		(1,575,224	)		–		(1,575,224	)
Total Investments	$	–	$	54,443,620		$	1,016,514	$	55,460,134

* Centrally Cleared Swaps 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, 2020:

TYPE OF ASSETS	FAIR VALUE AS OF JUNE 30, 2020		VALUATION TECHNIQUE(S)	UNOBSERVABLE INPUT
Foreign Government
Asian Development Bank 7/14/21	$	329,523	Broker Quote	$32.31: Broker quote depth of 1
European Bank for Reconstruction and Development 10/29/22	$	386,304	Broker Quote	$32.19: Broker quote depth of 1
International Bank for Reconstruction and Development 11/22/21	$	300,687	Broker Quote	$31.32: Broker quote 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, 2019		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, 2020		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM INVESTMENTS HELD AT JUNE 30, 2020
Foreign Government	$	–	$	4,075	$	(55,494	)	$	–	$	–	$	1,186,194	$	(118,261	)	$	1,016,514	$	(55,494	)
Total	$	–	$	4,075	$	(55,494	)	$	–	$	–	$	1,186,194	$	(118,261	)	$	1,016,514	$	(55,494	)

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Global Emerging Markets Equity Fund

DESCRIPTION	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL INVESTMENTS
Assets:
Equities:
Common Stocks	$	9,979,939	$	–	$	–	$	9,979,939
Total Equities		9,979,939		–		–		9,979,939
Mutual Fund:
Mutual Fund		170,753		–		–		170,753
Total	$	10,150,692	$	–	$	–	$	10,150,692
Total Investments	$	10,150,692	$	–	$	–	$	10,150,692

U.S. High Yield Fund

DESCRIPTION	LEVEL 1		LEVEL 2		LEVEL 3			TOTAL INVESTMENTS
Assets:
Equities:
Common Stocks	$	–	$	30,052	$	–		$	30,052
Warrants		–		–		0	***		–
Total Equities		–		30,052		0			30,052
Fixed Income:
Bank Loans		–		2,351,611		–			2,351,611
Corporate Bonds		–		42,251,964		43,277	***		42,295,241
Total Fixed Income		–		44,603,575		43,277			44,646,852
Total	$	–	$	44,633,627	$	43,277		$	44,676,904
Total Investments	$	–	$	44,633,627	$	43,277		$	44,676,904

*** None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. Level 3 investments at the end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the year ended June 30, 2020 is not presented.

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, 2020:

TYPE OF ASSETS	FAIR VALUE AS OF JUNE 30, 2020		VALUATION TECHNIQUE(S)	UNOBSERVABLE INPUT
Equities
Appvion Holdings Corp.	$	–	Broker Quote	Valued at zero
Appvion Holdings Corp.	$	–	Broker Quote	Valued at zero
Corporate Bonds
Jupiter Resources	$	43,277	Broker Quote	$90.00: Price source depth of 1
Appvion ESC	$	–	Zero Value	Valued at zero without primary asset attached

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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.

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, 2020, all cash and cash equivalents are held by the custodian.

D. Investment Transactions, Related Investment Income and Expenses

Investment transactions are accounted for on a trade date basis. Interest income is recorded on the accrual basis, including the amortization of premiums and accretion of discounts on bonds held using the yield-to-maturity method. Interest income from securitized investments in which the Fund(s) has/have a beneficial interest, such as the “equity” security class of a CLO vehicle (typically in the form of income or subordinated notes), are recorded upon receipt. The accrual of interest income related to these types of securities is periodically reviewed and adjustments are made as necessary. These cash inflows are regularly reviewed to ensure these payments are not materially different from what would be required by GAAP reporting. Adjustments would be made if needed to address any changes.

In March 2017, FASB issued Accounting Standards Update No. 2017-08 “Premium Amortization of Purchased Callable Debt Securities”, which amends the amortization period for certain purchased callable debt securities. Under the standards update, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their interim periods, beginning after December 15, 2018. Management has evaluated the impact of ASU 2017-08 and has adopted the requirements, and the impact, if any, is reflected within the Funds’ financial statements.

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

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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, 2020, 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, except Global Emerging Markets Equity Fund, declares a dividend daily based on the Adviser’s projections of the Funds’ estimated net investment income and distributes such dividend monthly. To the extent that these distributions exceed net investment income, they may be classified as return of capital. The Funds also pay a distribution at least annually from their net realized capital gains, if any. Dividends and distributions are recorded on the ex-dividend date. All common shares have equal dividend and other distribution rights. A notice disclosing the source(s) of a distribution will be provided if payment is made from any source other than net investment income. Any such notice would be provided only for informational purposes in order to comply with the requirements of Section 19(a) of the 1940 Act and not for tax reporting purposes. The tax composition of the Funds’ distributions for each calendar year is reported on Internal Revenue Service Form 1099-DIV.

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

I. Bank Loans

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

The loans in which the Funds invest may be subject to some restrictions on resale. For example, the Funds may be contractually obligated to receive approval from the Agent and/or Borrower prior to the sale of these investments. The Funds generally have no right to enforce compliance with the terms of the loan agreement with the Borrower. As a result, the Funds assume the credit risk of the Borrower, the selling participant and any other persons interpositioned between the Funds and the Borrower (“Intermediate Participants”). In the event that the Borrower, selling participant or Intermediate Participants become insolvent or enter into bankruptcy, the Funds may incur certain costs and delays in realizing payment or may suffer a loss of principal and/or interest.

Unfunded commitments represent the remaining obligation of the Funds to the Borrower. At any point in time, up to the maturity date of the issue, the Borrower may demand the unfunded portion. Until demanded by the Borrower, unfunded commitments are not recognized as an asset on the Statements of Assets and Liabilities. Unrealized appreciation/depreciation on unfunded commitments presented on the Statements of Assets and Liabilities represents mark to market of the unfunded portion of the Funds’ bank loans. As of June 30, 2020, the Funds had no unfunded loan commitments:

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J. Derivative Instruments

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

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

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

The Funds may purchase and sell futures contracts to enhance returns, to attempt to hedge some of its investment risk, or as a substitute position in lieu of holding the underlying asset on which the instrument is based. At the time of entering into a futures transaction, an investor is required to deposit and maintain a specified amount of cash or eligible securities called “initial margin.” Subsequent payments made or received by a Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. Each Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain (loss) is recorded equal to the difference between the opening and closing value of the contract.

The Funds may purchase call or put options. When a Fund purchases an option, the premium paid by the Fund is recorded as an asset and is subsequently adjusted to the current fair value of the option purchased. Purchasing call options tends to increase the Fund’s exposure to the 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

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agreement by some specified date in the future. The writer of the swaption becomes the counterparty to the swap if the buyer exercises. The interest rate swaption agreement will specify whether the buyer of the swaption will be a fixed rate receiver or a fixed rate buyer. Depending on the terms of the particular option agreement, a Fund generally will incur a greater degree of risk when the Fund writes a swaption than the Fund will incur when it purchases a swaption. When a Fund purchases a swaption, the Fund’s risk of loss is limited to the amount of the premium it has paid should it decide to let the swaption expire unexercised.

When a Fund writes a covered call or a put option, an amount equal to the premium received by the Fund is included in the Fund’s Statement of Assets and Liabilities as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. The Fund receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in stock value above the exercise price of the option, and when a Fund writes a put option, it is exposed to a decline in the price of the underlying security.

Whether an option which a Fund has written expires on its stipulated expiration date or a Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss, if the cost of a closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a call option which a Fund has written is exercised, the Fund realizes a capital gain or loss from the sale of the underlying security, and the cost basis of the lots sold are decreased by the premium originally received. When a put option which a Fund has written is exercised, the amount of the premium originally received will reduce the cost of the security which the Fund purchases upon exercise of the option. Realized gains (losses) on purchased options are included in net realized gain (loss) from investments.

The Funds’ use of written options involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statements of Assets and Liabilities. The face or contract amounts of these instruments reflect the extent of the Funds’ exposure to market risk. The risks may be caused by an imperfect correlation between movements in the price of the instrument and the price of the underlying securities, currencies and interest rates.

The Funds may enter into credit default swap contracts. As a seller of a credit default swap contract (“seller of protection”), a Fund is required to pay the notional amount or other agreed-upon value of a referenced debt obligation to the counterparty (or central clearing party in the case of centrally cleared swaps) in the event of a default by or other credit event involving the referenced issuer, obligation or index. In return, a Fund receives from the counterparty (or central clearing party in the case of centrally cleared swaps) a periodic stream of payments over the term of the contract.

As a purchaser of a credit default swap contract (“buyer of protection”), a Fund would receive the notional amount or other agreed upon value of a referenced debt obligation from the counterparty (or central clearing party in the case of centrally cleared swaps) in the event of default by or other credit event involving the referenced issuer, obligation or index. In return, a Fund would make periodic payments to the counterparty (or central clearing party in the case of centrally cleared swaps) over the term of the contracts, provided no event of default has occurred.

These credit default swaps may have as a reference obligation corporate or sovereign issuers or credit indices. These credit indices are comprised of a basket of securities representing a particular sector of the market. During the period, Active Short Duration Bond Fund and Diversified Income 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

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accreted over the life of the swap and recorded as realized gains or losses. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the custodian bank or broker in accordance with the swap agreement. The value and credit rating of each credit default swap where a Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the central clearing party daily.

Entering into swap agreements involves counterparty and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, that there may be unfavorable changes in interest rates, and, in the case

of credit default swaps, that the Adviser does not correctly predict the creditworthiness of the issuers of the reference obligation on which the credit default swap is based. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the central clearing party.

Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) with respect to a notional amount of principal. When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate, and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.

During the period ended June 30, 2020, 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, 2020:

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	$	582,821
Total		$	582,821

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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	$	(22,691	)
Total			$	(22,691	)

Global Credit Income Opportunities Fund

ASSET DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION		FOREIGN EXCHANGE CONTRACTS RISK			EQUITY RISK			TOTAL
Forward Foreign Currency Exchange Contracts		Unrealized appreciation on forward foreign currency exchange contracts	$	495,076		$	–		$	495,076
Purchased Options		Investments, at fair value		–			777,280			777,280
Total			$	495,076		$	777,280		$	1,272,356
LIABILITY DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION		FOREIGN EXCHANGE CONTRACTS RISK			EQUITY RISK			TOTAL
Forward Foreign Currency Exchange Contracts		Unrealized depreciation on forward foreign currency exchange contracts	$	(47,937	)	$	–		$	(47,937	)
Written Options		Written options, at fair value		–			(439,208	)		(439,208	)
Total			$	(47,937	)	$	(439,208	)	$	(487,145	)

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Active Short Duration Bond Fund

ASSET DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION		INTEREST RATE RISK		CREDIT RISK		TOTAL
Purchased Options		Investments, at fair value	$	1,134,466	$	–	$	1,134,466
Total			$	1,134,466	$	–	$	1,134,466

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.	$	(1,025,565	)	$	–		$	(1,025,565	)
Centrally Cleared Credit Default Swaps Contracts		Includes cumulative unrealized appreciation/ depreciation of swaps contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.		–			(121,089	)		(121,089	)
Total			$	(1,025,565	)	$	(121,089	)	$	(1,146,654	)

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Diversified Income 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	$	107	$	–	$	107
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.		–		44		44
Total			$	107	$	44	$	151

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	$	(4,280	)	$	–		$	(4,280	)
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.		–			(57,468	)		(57,468	)
Total			$	(4,280	)	$	(57,468	)	$	(61,748	)

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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	$	1,926,360	$	–		$–	$	1,926,360
OTC – Swaps Contracts		Swap contracts, at fair value		574,420		1,621,716		479,993		2,676,129
Centrally Cleared Credit Interest Rate Swaps Contracts		Includes cumulative unrealized appreciation/ depreciation of swaps contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.		–		1,108,906		–		1,108,906
Total			$	2,500,780	$	2,730,622	$	479,993	$	5,711,395

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	$	(1,071,754	)	$	–		$	–	$	(1,071,754	)
OTC – Swaps Contracts		Swap contracts, at fair value		(120,511	)		–			–		(120,511	)
Centrally Cleared Interest Rate Swaps Contrcts		Includes cumulative unrealized appreciation/ depreciation of swaps contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.		–			(7,026	)		–		(7,026	)
Total			$	(1,192,265	)	$	(7,026	)	$	–	$	(1,199,291	)

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Amount of Realized Gain/(Loss) on Derivatives:

Global Floating Rate Fund

	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts	$	1,152,178
Total	$	1,152,178

Global Credit Income Opportunities Fund

	FOREIGN EXCHANGE CONTRACTS RISK		EQUITY RISK			TOTAL
Forward Foreign Currency Exchange Contracts	$	639,468	$	–		$	639,468
Purchased Options		–		(677,726	)		(677,726	)
Total	$	639,468	$	(677,726	)	$	(38,258	)

Active Short Duration Bond Fund

	INTEREST RATE RISK			CREDIT RISK		TOTAL
Futures Contracts	$	(21,558,580	)	$	–	$	(21,558,580	)
Purchased Options		1,219,275			–		1,219,275
Swaps Contracts		–			902,364		902,364
Total	$	(20,339,305	)	$	902,364	$	(19,436,941	)

Diversified Income Fund

	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK			CREDIT RISK			TOTAL
Forward Foreign Currency Exchange Contracts	$	39,984	$	–		$	–		$	39,984
Futures Contracts		–		(1,064,569	)		–			(1,064,569	)
Swaps Contracts		–		–			(7,026	)		(7,026	)
Total	$	39,984	$	(1,064,569	)	$	(7,026	)	$	(1,031,611	)

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Emerging Markets Debt Blended Total Return Fund

	FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK			CREDIT RISK			TOTAL
Forward Foreign Currency Exchange Contracts	$	1,321,055		$	–		$	–		$	1,321,055
Futures Contracts		–			(537,852	)		–			(537,852	)
Purchased Options		(17,579	)		–			–			(17,579	)
Swaps Contracts		382,149			121,269			(389,834	)		113,584
Total	$	1,685,625		$	(416,583	)	$	(389,834	)	$	879,208

Global Emerging Markets Equity Fund

	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts	$	(30	)
Total	$	(30	)

Change in Unrealized Appreciation/(Depreciation) on Derivatives:

Global Floating Rate Fund

	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts	$	581,413
Total	$	581,413

Global Credit Income Opportunities Fund

	FOREIGN EXCHANGE CONTRACTS RISK		EQUITY RISK			TOTAL
Forward Foreign Currency Exchange Contracts	$	405,493	$	–		$	405,493
Purchased Options		–		145,350			145,350
Written Options		–		(18,451	)		(18,451	)
Total	$	405,493	$	126,899		$	532,392

Active Short Duration Bond Fund

	INTEREST RATE RISK			CREDIT RISK			TOTAL
Futures Contracts	$	2,444,155		$	–		$	2,444,155
Purchased Options		(511,402	)		–			(511,402	)
Swaps Contracts		13,411			(89,443	)		(76,032	)
Total	$	1,946,164		$	(89,443	)	$	1,856,721

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Diversified Income Fund

	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		CREDIT RISK		TOTAL
Forward Foreign Currency Exchange Contracts	$	15,749	$	–	$	–	$	15,749
Futures Contracts		–		126,745		–		126,745
Swaps Contracts		–		–		8,097		8,097
Total	$	15,749	$	126,745	$	8,097	$	150,591

Emerging Markets Debt Blended Total Return Fund

	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		CREDIT RISK		TOTAL
Forward Foreign Currency Exchange Contracts	$	772,249	$	–	$	–	$	772,249
Futures Contracts		–		71,794		–		71,794
Purchased Options		37,731		–		–		37,731
Swaps Contracts		371,652		3,415,201		424,284		4,211,137
Total	$	1,181,632	$	3,486,995	$	424,284	$	5,092,911

Global Floating Rate Fund

NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OF SHARES/UNITS	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts(a)	$	66,305,639

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

Global Credit Income Opportunities Fund

NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OF SHARES/UNITS	FOREIGN EXCHANGE CONTRACTS RISK		EQUITY RISK		TOTAL
Forward Foreign Currency Exchange Contracts(a)	$	54,854,893	$	–	$	54,854,893
Purchased Options(a)	$	–	$	5,250	$	5,250
Written Options(a)	$	–	$	5,600	$	5,600

(a) 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(a)		2,718		–		2,718
Purchased Options(b)	$	55,003,583	$	–	$	55,003,583
Centrally Cleared Swap Contracts(b)	$	–	$	13,214,286	$	13,214,286

(a) Volume of derivative activity is based on an average of month-end contracts outstanding during the period.

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

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June 30, 2020

Diversified Income Fund

NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OF SHARES/UNITS	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		TOTAL
Futures Contracts(a)		–		121		121
Forward Foreign Currency Exchange Contracts(b)	$	3,865,669		–		3,865,669

(a) Volume of derivative activity is based on an average of month-end contracts outstanding during the period.

(b) Volume of derivative activity is based on an average of month-end notional amounts 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
Futures Contracts(a)		–		8		–		8
Forward Foreign Currency Exchange Contracts(b)	$	82,582,030	$	–	$	–	$	82,820,606
OTC – Swaps Contracts	$	6,872,893	$	22,158,573	$	8,832,500	$	37,863,966
Centrally Cleared Swap Contracts(b)	$	–	$	36,647,674	$	–	$	36,647,674

(a) Volume of derivative activity is based on an average of month-end contracts outstanding during the period.

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

Global Emerging Markets Equity Fund

NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OF SHARES/UNITS	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts(a)	$	24,537

(a) 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.

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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 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	$	582,821	$	–		$	582,821
Total	$	582,821	$	–	��	$	582,821

			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)
Canadian Imperial Bank of Commerce	$	271,889	$	(3,171	)	$	(268,718	)	$	—
Morgan Stanley & Co.		310,932		(19,520	)		—			291,412
Total	$	582,821	$	(22,691	)	$	(268,718	)	$	291,412

(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, 2020.

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	$	22,691	$	–	$	22,691
Total	$	22,691	$	–	$	22,691

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June 30, 2020

			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)
Canadian Imperial Bank of Commerce	$	3,171	$	(3,171	)	$	–	$	–
Morgan Stanley & Co.		19,520		(19,520	)		–		–
Total		$22,691	$	(22,691	)	$	–	$	–

(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, 2020.

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	$	495,076	$	–	$	495,076
Purchased Options		777,280		–		777,280
Total	$	1,272,356	$	–	$	1,272,356

			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.	$	8,187	$	(8,187	)	$	–		$	–
Barclays Bank plc		480,646		–			(480,646	)		–
Goldman Sachs & Co.		6,243		(573	)		–			5,670
Morgan Stanley & Co.		777,280		(439,208	)		–			338,072
Total	$	1,272,356	$	(447,968	)	$	(480,646	)	$	343,742

(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, 2020.

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June 30, 2020

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	$	47,937	$	–	$	47,937
Written Options		439,208		–		439,208
Total	$	487,145	$	–	$	487,145

			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.	$	19,660	$	(8,187	)	$	–		$	11,473
Citibank N.A.		27,704		–			(10,000	)		17,704
Goldman Sachs & Co.		573		(573	)		–			–
Morgan Stanley & Co.		439,208		(439,208	)		–			–
Total	$	487,145	$	(447,968	)	$	(10,000	)	$	29,177

(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, 2020.

Active Short Duration Bond Fund

DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND  LIABILITIES		NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES
Purchased Options	$	1,134,466	$	–	$	1,134,466
Total	$	1,134,466	$	–	$	1,134,466

			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
COUNTERPARTY	NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENT		CASH COLLATERAL RECEIVED (a)			NET AMOUNT (b)
JPMorgan Chase Bank N.A.	$	1,134,466	$	–	$	(1,010,000	)	$	124,466
Total	$	1,134,466	$	–	$	(1,010,000	)	$	124,466

(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, 2020.

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June 30, 2020

Diversified Income 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	$	107	$	–	$	107
Total	$	107	$	–	$	107

			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)
Standard Chartered Bank	$	107	$	–	$	–	$	107
Total	$	107	$	–	$	–	$	107

(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, 2020.

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	$	4,280	$	–	$	4,280
Total	$	4,280	$	–	$	4,280

			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)
Barclays Bank plc	$	25	$	–	$	–	$	25
Citibank N.A.		4,237		–		–		4,237
HSBC Bank USA		18		–		–		18
Total	$	4,280	$	–	$	–	$	4,280

(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, 2020.

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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	$	1,926,360	$	–	$	1,926,360
Swap Contracts		2,201,474		–		2,201,474
Total	$	4,127,834	$	–	$	4,127,834

			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
COUNTERPARTY	NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENT			CASH COLLATERAL RECEIVED (a)			NET AMOUNT (b)
Bank of America N.A.	$	1,871,832	$	(184,324	)	$	(1,650,000	)	$	37,508
Barclays Bank plc		116,379		(116,379	)		–			–
BNP Paribas S.A.		640		(640	)		–			–
Canadian Imperial Bank Of Commerce		4,776		–			–			4,776
Citibank N.A.		1,351,394		(482,387	)		(869,007	)		–
Goldman Sachs & Co.		263,749		(18,676	)		(160,000	)		85,073
JPMorgan Chase Bank N.A.		519,064		(374,782	)		–			144,282
Total	$	4,127,834	$	(1,177,188	)	$	(2,679,007	)	$	271,639

(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, 2020.

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	$	1,071,754	$	–	$	1,071,754
Swap Contracts		496,444		–		496,444
Total	$	1,568,198	$	–	$	1,568,198

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June 30, 2020

			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.	$	184,324	$	(184,324	)	$	–		$	–
Barclays Bank plc		132,858		(116,379	)		(16,479	)		–
BNP Paribas S.A.		119,864		(640	)		(100,000	)		19,224
Citibank N.A.		482,387		(482,387	)		–			–
Goldman Sachs & Co.		18,676		(18,676	)		–			–
JPMorgan Chase Bank N.A.		495,446		(374,782	)		–			120,664
Morgan Stanley Capital Services, Inc.		134,643		–			–			134,643
Total	$	1,568,198	$	(1,177,188	)	$	(116,479	)	$	274,531

(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, 2020.

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
Diversified Income Fund	0.40% of average daily net assets
Emerging Markets Debt Blended Total Return Fund	0.75% of average daily net assets
Global Emerging Markets Equity Fund	0.90% of average daily net assets
U.S. High Yield Fund	0.55% of average daily net assets

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June 30, 2020

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 L			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	%		0.65	%		0.40	%
Diversified Income Fund		0.80	%		1.55	%		0.55	%		–			0.55	%
Emerging Markets Debt Blended Total Return Fund		1.20	%		1.95	%		0.95	%		–			0.95	%
Global Emerging Markets Equity Fund		1.45	%		2.20	%		1.20	%		–			1.20	%
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, 2020 and may be terminated only upon the approval of the Funds’ Board of Trustees.

Subject to the supervision of the Adviser and the Board, BIIL 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 Emerging Markets Equity Fund, as allocated from time to time to BIIL. As compensation for its services, the Adviser (not the Funds) pays to BIIL 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 Emerging Markets Equity Fund	0.70	%

The Adviser or its affiliates voluntarily agreed to waive certain fees for the Global Floating Rate Fund, the Active Short Duration Bond Fund, the Diversified Income Fund and the Emerging Markets Debt Blended Total Return Fund. Such arrangements may be discontinued by the Adviser at any time.

4. 12b-1 Distribution and Service Plan

ALPS Distributors, Inc. (the “Distributor”) is the Distributor of the Funds’ shares as of June 30, 2020.

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, Class C shares and Class L 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. The Funds’ Class C shares may expend an aggregate amount, on an annual basis, not to exceed 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. Active Short Duration Bond Fund’s Class L 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 Active Short Duration Bond Fund attributable to Class L shares. The Plan provides that the distribution and service fees are payable to the Distributor regardless of the amounts actually expended by the Distributor for distribution of the Funds’ shares and service activities.

Under its terms, the Funds’ Plan shall remain in effect from year to year, provided such continuance is approved annually by a vote of a majority of the Board’s members and a majority of the Board’s members who are not “interested persons” of the Funds and who have no direct

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June 30, 2020

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, 2020, 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 A		CLASS C
Global Credit Income Opportunities Fund	$	–	$	81

For the year ended June 30, 2020, 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	$	1,157	$	64,557
Global Credit Income Opportunities Fund		1,936		13,891
Active Short Duration Bond Fund		–		12,056
Emerging Markets Debt Blended Total Return Fund		651		5,357

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, 2020, 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	0.11	%
Global Credit Income Opportunities Fund	0.13	%
Active Short Duration Bond Fund	0.10	%
Diversified Income Fund	0.21	%
Emerging Markets Debt Blended Total Return Fund	0.27	%
Global Emerging Markets Equity Fund	0.57	%
U.S. High Yield Fund	0.18	%

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, 2020, 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	0.02	%
Active Short Duration Bond Fund	0.02	%
Diversified Income Fund	0.05	%
Emerging Markets Debt Blended Total Return Fund	0.06	%
Global Emerging Markets Equity Fund	0.24	%
U.S. High Yield Fund	0.04	%

7. Income Taxes

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

The tax character of dividends paid to shareholders during the tax year ended June 30, 2020 was as follows:

	ORDINARY INCOME		NET LONG-TERM CAPITAL GAINS		RETURN OF CAPITAL		TOTAL DISTRIBUTIONS PAID
Global Floating Rate Fund	$	10,225,052	$	438,706	$	2,165,048	$	12,828,806
Global Credit Income Opportunities Fund		9,585,231		–		1,452,704		11,037,935
Active Short Duration Bond Fund		24,926,745		–		–		24,926,745
Diversified Income Fund		1,471,540		–		–		1,471,540
Emerging Markets Debt Blended Total Return Fund		3,530,108		–		–		3,530,108
Global Emerging Markets Equity Fund		311,500		21,100		15,138		347,738
U.S. High Yield Fund		2,879,166		–		–		2,879,166

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June 30, 2020

The tax character of dividends paid to shareholders during the tax year ended June 30, 2019 was as follows:

	ORDINARY INCOME		NET LONG-TERM CAPITAL GAINS		RETURN OF CAPITAL		TOTAL DISTRIBUTIONS PAID
Global Floating Rate Fund	$	15,249,263	$	391,463	$	–	$	15,640,726
Global Credit Income Opportunities Fund		12,750,860		1,517,782		263,953		14,532,595
Active Short Duration Bond Fund		15,755,535		520,666		–		16,276,201
Diversified Income Fund		1,104,402		–		–		1,104,402
Emerging Markets Debt Blended Total Return Fund		2,816,937		–		263,192		3,080,129
U.S. High Yield Fund		3,321,860		–		–		3,321,860

As of June 30, 2020, 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 OCTOBER CAPITAL LOSS DEFERRALS			CAPITAL LOSS CARRYFORWARDS			UNREALIZED APPRECIATION (DEPRECIATION)			TOTAL DISTRIBUTABLE EARNINGS (ACCUMULATED LOSSES)
Global Floating Rate Fund	$	–	$	–	$	(7,134,512	)	$	–		$	(25,785,937	)	$	(32,920,449	)
Global Credit Income Opportunities Fund		–		–		(7,878,705	)		(4,028,412	)		(23,662,271	)		(35,569,388	)
Active Short Duration Bond Fund		30,001		–		(21,868,663	)		(8,461,772	)		(14,204,953	)		(44,505,387	)
Diversified Income Fund		7,034		–		(2,514,633	)		(835,465	)		(1,334,035	)		(4,677,099	)
Emerging Markets Debt Blended Total Return Fund		268,125		–		(28,856	)		(145,037	)		1,353,215			1,447,447
Global Emerging Markets Equity Fund		–		–		(349,045	)		–			741,370			392,325
U.S. High Yield Fund		98,739		–		(1,594,547	)		(789,637	)		(3,689,184	)		(5,974,629	)

In accordance with the Regulated Investment Company Modernization Act of 2010, the Funds will carryforward capital losses incurred in taxable years beginning after December 22, 2010 (“post-enactment losses”) indefinitely. Post-enactment losses will also retain their character as either short-term or long-term and be utilized before any pre-enactment losses.

On June 30, 2020, 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 Credit Income Opportunities Fund	$	1,729,331	$	2,299,081
Active Short Duration Bond Fund		3,038,399		5,423,373
Diversified Income Fund		105,552		729,913
Emerging Markets Debt Blended Total Return Fund		–		145,037
U.S. High Yield Fund		165,751		623,886

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June 30, 2020

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, 2020, Global Floating Rate Fund, Global Credit Income Opportunities Fund and Global Emerging Markets Equity Fund incurred late-year ordinary losses of $817,268, $683,119 and $597, respectively. As of June 30, 2020, Global Floating Rate Fund, Global Credit Income Opportunities Fund, Active

Short Duration Bond Fund, Diversified Income Fund, Emerging Markets Debt Blended Total Return Fund, Global Emerging Markets Equity Fund and U.S. High Yield Fund have elected to defer current year post-October losses of $6,317,244, $7,195,586, $21,868,663, $2,514,633, $28,856, $348,448 and $1,594,547, respectively.

Emerging Markets Debt Blended Total Return Fund utilized $774,051 of capital loss carryforwards during the year ended June 30, 2020.

As of June 30, 2020, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:

	COST OF INVESTMENTS		GROSS UNREALIZED APPRECIATION		GROSS UNREALIZED DEPRECIATION			NET UNREALIZED APPRECIATION (DEPRECIATION)
Global Floating Rate Fund	$	228,062,073	$	399,322	$	(26,179,071	)	$	(25,779,749	)
Global Credit Income Opportunities Fund		175,389,014		1,318,300		(24,959,661	)		(23,641,361	)
Active Short Duration Bond Fund		819,438,189		9,827,289		(24,032,242	)		(14,204,953	)
Diversified Income Fund		41,653,947		456,423		(1,790,264	)		(1,333,841	)
Emerging Markets Debt Blended Total Return Fund		53,949,874		1,554,679		(3,705,935	)		(2,151,256	)
Global Emerging Markets Equity Fund		9,409,229		1,540,919		(799,456	)		741,463
U.S. High Yield Fund		48,366,088		1,024,263		(4,713,447	)		(3,689,184	)

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

Permanent items identified during the year ended June 30, 2020 have been reclassified among the components of net assets based on their tax basis treatment as follows:

	TOTAL ACCUMULATED LOSS			PAID-IN CAPITAL
Global Credit Income Opportunities Fund	$	(44	)	$	44
Emerging Markets Debt Blended Total Return Fund		18,025			(18,025	)

The permanent differences are primarily attributable to adjustments on partnership.

8. Investment Transactions

Purchases and sales of securities (excluding short-term debt securities) for the year ended June 30, 2020 were as follows:

	PURCHASES		SALES		GOVERNMENT PURCHASES		GOVERNMENT SALES
Global Floating Rate Fund	$	87,316,166	$	121,048,148	$	–	$	–
Global Credit Income Opportunities Fund		119,815,486		144,329,237		–		–
Active Short Duration Bond Fund		498,463,585		392,317,968		40,486,712		67,772,486
Diversified Income Fund		43,795,088		41,148,562		621,250		1,074,840
Emerging Markets Debt Blended Total Return Fund		68,999,419		61,771,905		–		–
Global Emerging Markets Equity Fund		2,266,357		1,897,017		–		–
U.S. High Yield Fund		38,478,057		38,682,886		–		–

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June 30, 2020

9. Common Stock

Transactions in common stock for the year ended June 30, 2020 were as follows:

Global Floating Rate Fund

	FOR THE YEAR ENDED JUNE 30, 2020						FOR THE YEAR ENDED JUNE 30, 2019
CLASS A	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		937,310		$	8,607,970			618,513		$	5,784,016
Shares sold through reinvestments of distributions		235,705			2,102,247			279,598			2,606,921
Shares redeemed		(1,685,551	)		(14,925,227	)		(1,640,608	)		(15,271,436	)
Net decrease		(512,536	)	$	(4,215,010	)		(742,497	)	$	(6,880,499	)
CLASS C
Shares sold		116,238		$	1,052,227			208,023		$	1,965,179
Shares sold through reinvestments of distributions		35,471			315,149			41,472			384,747
Shares redeemed		(258,409	)		(2,260,008	)		(260,855	)		(2,432,322	)
Net decrease		(106,700	)	$	(892,632	)		(11,360	)	$	(82,396	)
CLASS I
Shares sold		2,860,215		$	26,600,000			3,057,892		$	29,141,715
Shares sold through reinvestments of distributions		218,857			1,946,913			183,732			1,713,816
Shares redeemed		(1,987,129	)		(18,392,138	)		(1,667,311	)		(15,786,911	)
Net increase		1,091,943		$	10,154,775			1,574,313		$	15,068,620
CLASS Y
Shares sold		7,795,746		$	69,865,024			15,302,189		$	144,205,728
Shares sold through reinvestments of distributions		679,977			6,079,583			811,024			7,572,102
Shares redeemed		(13,429,756	)		(117,551,528	)		(14,030,191	)		(131,010,360	)
Net increase (decrease)		(4,954,033	)	$	(41,606,921	)		2,083,022		$	20,767,470

Global Credit Income Opportunities Fund

	FOR THE YEAR ENDED JUNE 30, 2020						FOR THE YEAR ENDED JUNE 30, 2019
CLASS A	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		296,398		$	2,525,056			1,398,672		$	12,824,235
Shares sold through reinvestments of distributions		299,001			2,528,159			397,695			3,583,380
Shares redeemed		(821,303	)		(6,756,723	)		(2,555,445	)		(22,815,351	)
Net decrease		(225,904	)	$	(1,703,508	)		(759,078	)	$	(6,407,736	)
CLASS C
Shares sold		124,636		$	1,042,537			221,588		$	2,019,448
Shares sold through reinvestments of distributions		43,353			365,771			52,350			470,536
Shares redeemed		(204,465	)		(1,662,882	)		(275,165	)		(2,472,862	)
Net decrease		(36,476	)	$	(254,574	)		(1,227	)	$	17,122

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June 30, 2020

	FOR THE YEAR ENDED JUNE 30, 2020						FOR THE YEAR ENDED JUNE 30, 2019
CLASS I	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		–		$	–			916,202		$	8,199,999
Shares sold through reinvestments of distributions		54,613			461,023			13,545			121,519
Shares redeemed		–			–			(669,643	)		(6,000,000	)
Net increase		54,613		$	461,023			260,104		$	2,321,518
CLASS Y
Shares sold		7,193,613		$	61,134,702			7,687,011		$	69,664,148
Shares sold through reinvestments of distributions		596,969			5,088,941			743,115			6,700,505
Shares redeemed		(11,225,790	)		(91,307,876	)		(8,977,793	)		(80,944,931	)
Net decrease		(3,435,208	)	$	(25,084,233	)		(547,667	)	$	(4,580,278	)

Active Short Duration Bond Fund

	FOR THE YEAR ENDED JUNE 30, 2020						FOR THE YEAR ENDED JUNE 30, 2019
CLASS A	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		11,719,632		$	115,672,777			7,101,405		$	70,189,358
Shares sold through reinvestments of distributions		420,591			4,092,410			431,679			4,265,785
Shares redeemed		(21,296,207	)		(203,582,143	)		(11,765,228	)		(116,239,590	)
Net decrease		(9,155,984	)	$	(83,816,956	)		(4,232,144	)	$	(41,784,447	)
CLASS C
Shares sold		259,113		$	2,557,857			112,192		$	1,106,449
Shares sold through reinvestments of distributions		6,376			61,661			3,241			32,008
Shares redeemed		(120,852	)		(1,130,979	)		(112,125	)		(1,107,862	)
Net increase		144,637		$	1,488,539			3,308		$	30,595
CLASS I
Shares sold		–		$	–			–		$	–
Shares sold through reinvestments of distributions		–			–			–			–
Shares redeemed		(20,418	)		(203,186	)		–			–
Net decrease		(20,418	)	$	(203,186	)		–		$	–
CLASS Y
Shares sold		47,841,468		$	466,968,769			46,643,848		$	460,231,739
Shares sold through reinvestments of distributions		1,655,334			16,052,682			934,483			9,235,817
Shares redeemed		(38,557,362	)		(367,924,280	)		(14,901,345	)		(147,071,661	)
Net increase		10,939,440		$	115,097,171			32,676,986		$	322,395,895
CLASS L(1)
Shares sold		10,764,003		$	101,381,145
Shares sold through reinvestments of distributions		11,378			108,092
Shares redeemed		(112,724	)		(1,067,372	)
Net increase		10,662,657		$	100,421,865

(1) Class commenced operations on May 1, 2020.

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June 30, 2020

Diversified Income Fund

	FOR THE YEAR ENDED JUNE 30, 2020						FOR THE YEAR ENDED JUNE 30, 2019
CLASS A	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		43,627		$	365,314			54,483		$	525,242
Shares sold through reinvestments of distributions		223			2,062			130			1,265
Shares redeemed		(1,218	)		(11,647	)		(50,659	)		(490,472	)
Net increase		42,632		$	355,729			3,954		$	36,035
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		2,471,722		$	21,514,638			1,590,156		$	15,528,182
Shares sold through reinvestments of distributions		67,280			634,857			26,772			261,552
Shares redeemed		(2,239,574	)		(19,970,450	)		(249,234	)		(2,425,063	)
Net increase		299,428		$	2,179,045			1,367,694		$	13,364,671

Emerging Markets Debt Blended Total Return Fund

	FOR THE YEAR ENDED JUNE 30, 2020						FOR THE YEAR ENDED JUNE 30, 2019
CLASS A	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		607,596		$	5,629,686			3,593		$	33,551
Shares sold through reinvestments of distributions		13,820			134,714			1,080			10,259
Shares redeemed		(43,542	)		(434,004	)		(23,984	)		(224,063	)
Net increase (decrease)		577,874		$	5,330,396			(19,311	)	$	(180,253	)
CLASS C
Shares sold		14,324		$	146,900			4,308		$	41,000
Shares sold through reinvestments of distributions		761			7,490			417			3,993
Shares redeemed		(19,419	)		(203,101	)		(7,937	)		(74,070	)
Net decrease		(4,334	)	$	(48,711	)		(3,212	)	$	(29,077	)
CLASS I
Shares sold		–		$	–			–		$	–
Shares sold through reinvestments of distributions		–			–			–			–
Shares redeemed		(984,551	)		(9,800,000	)		–			–
Net decrease		(984,551	)	$	(9,800,000	)		–		$	–

193

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NOTES TO FINANCIAL STATEMENTS (CONTINUED)

June 30, 2020

	FOR THE YEAR ENDED JUNE 30, 2020						FOR THE YEAR ENDED JUNE 30, 2019
CLASS Y	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		2,290,494		$	22,372,983			175,657		$	1,687,757
Shares sold through reinvestments of distributions		51,572			505,175			5,220			50,400
Shares redeemed		(1,698,477	)		(16,775,383	)		(47,558	)		(454,625	)
Net increase		643,589		$	6,102,775			133,319		$	1,283,532

Global Emerging Markets Equity Fund

	FOR THE YEAR ENDED JUNE 30, 2020				PERIOD FROM SEPTEMBER 17, 2018 THROUGH JUNE 30, 2019(2)
CLASS A	SHARES		AMOUNT		SHARES		AMOUNT
Shares sold		–	$	–		10,000	$	100,000
Shares sold through reinvestments of distributions		–		–		–		–
Shares redeemed		–		–		–		–
Net increase		–	$	–		10,000	$	100,000
CLASS C
Shares sold		–	$	–		10,000	$	100,000
Shares sold through reinvestments of distributions		–		–		–		–
Shares redeemed		–		–		–		–
Net increase		–	$	–		10,000	$	100,000
CLASS I
Shares sold		–	$	–		490,000	$	4,900,000
Shares sold through reinvestments of distributions		–		–		–		–
Shares redeemed		–		–		–		–
Net increase		–	$	–		490,000	$	4,900,000
CLASS Y
Shares sold		–	$	–		490,000	$	4,900,000
Shares sold through reinvestments of distributions		–		–		–		–
Shares redeemed		–		–		–		–
Net increase		–	$	–		490,000	$	4,900,000

(2) Fund commenced operations on September 17, 2018.

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June 30, 2020

U.S. High Yield Fund

	FOR THE YEAR ENDED JUNE 30, 2020						FOR THE YEAR ENDED JUNE 30, 2019
CLASS A	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		161,745		$	1,594,758			299,631		$	2,936,402
Shares sold through reinvestments of distributions		13,792			130,405			11,491			112,082
Shares redeemed		(353,471	)		(3,416,025	)		(215,869	)		(2,116,695	)
Net increase (decrease)		(177,934	)	$	(1,690,862	)		95,253		$	931,789
CLASS C
Shares sold		–		$	–			–		$	–
Shares sold through reinvestments of distributions		–			–			–			–
Shares redeemed		–			–			–			–
Net increase		–		$	–			–		$	–
CLASS I
Shares sold		–		$	–			–		$	–
Shares sold through reinvestments of distributions		–			–			11,431			110,810
Shares redeemed		–			–			(279,772	)		(2,719,379	)
Net decrease		–		$	–			(268,341	)	$	(2,608,569	)
CLASS Y
Shares sold		714,332		$	6,852,773			526,284		$	5,109,450
Shares sold through reinvestments of distributions		143,418			1,345,005			161,061			1,565,077
Shares redeemed		(699,271	)		(6,312,454	)		(1,130,987	)		(10,910,446	)
Net increase (decrease)		158,479		$	1,885,324			(443,642	)	$	(4,235,919	)

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 $150,000,000 (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.

The Global Floating Rate Fund utilized a portion of the Facility Amount on multiple dates from the period March 17, 2020 through March 25, 2020 with an average borrowing amount of $10,000,000. The average interest

rate during the period was 2.1459% and total interest paid amounted to $5,365.

The Global Credit Income Opportunities Fund utilized a portion of the Facility Amount on multiple dates from the period March 12, 2020 through April 8, 2020 with an average borrowing amount of $5,000,000. The average interest rate during the period was 2.20154% and total interest paid amounted to $8,276. The Global Credit Income Opportunities Fund also utilized a portion of the Facility Amount on multiple dates from the period June 15, 2020 through June 21, 2020 with an average borrowing amount of $1,500,000. The average interest rate during the period was 1.4417% and total interest paid amounted to $421.

The Diversified Income Fund utilized a portion of the Facility Amount on multiple dates from the period March 19, 2020 through March 24, 2020 with an average borrowing amount of $2,233,333. The average interest rate during the period was 2.1801% and total interest paid amounted to $811.

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June 30, 2020

11. Indemnifications

Under the Funds’ organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds have entered into contracts with service providers which may contain indemnification clauses. The Funds maximum exposure under these arrangements is unknown. No claim has been made for indemnification pursuant to any such agreement of the Funds.

12. Aggregate Remuneration Paid to Officers, Trustees and Their Affiliated Persons

For the fiscal year ended June 30, 2020, the Funds paid their Trustees’ aggregate remuneration of $488,000. During the year, the Funds did not pay any compensation to any of their Trustees who are “interested persons” (as defined by the 1940 Act) of the Funds. The Funds classify Mr. Finke as an interested person of the Funds.

All of the Funds’ officers are employees of the Adviser. Pursuant to the Agreement, the Funds do not compensate their officers who are employees of the Adviser (except for the Chief Compliance Officer of the Funds unless assumed by the Adviser). For the year ended June 30, 2020, the Adviser paid the compensation of the Chief Compliance Officer of the Funds.

The Funds did not make any payments to the Adviser for the year ended June 30, 2020, other than the amounts payable to the Adviser pursuant to the Agreement.

13. Risks

Impacts of Covid-19

The pandemic related to the global spread of novel coronavirus disease (Covid-19), which was first detected in December 2019, has resulted in significant disruptions to global business activity and the global economy, as well as the economies of individual countries, the

financial performance of individual companies and sectors, and the securities and commodities markets in general. This pandemic, the full effects of which are still unknown, has resulted in substantial market volatility and may continue to adversely impact the prices and liquidity of the fund’s investments and the fund’s performance.

LIBOR

On July 27, 2017, the United Kingdom’s Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. LIBOR has historically been a common benchmark interest rate index used to make adjustments to variable-rate loans. It is used throughout global banking and financial industries to determine interest rates for a variety of financial instruments and borrowing arrangements. The transition process might lead to increased volatility and illiquidity in markets that currently rely on LIBOR to determine interest rates. It could also lead to a reduction in the value of some LIBOR-based investments held by a fund and reduce the effectiveness of new hedges placed against existing LIBOR-based investments. While some LIBOR-based instruments contemplate a scenario where LIBOR is no longer available by providing for an alternative rate-setting methodology, not all have such provisions and there may be significant uncertainty regarding the effectiveness of any such alternative methodologies. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021.

14. Subsequent Events

Management has considered the circumstances under which the Funds should recognize or make disclosures regarding events or transactions occurring subsequent to June 30, 2020 through August 27, 2020, 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 Diversified Income Fund, Barings Emerging Markets Debt Blended Total Return Fund, Barings Global Emerging Markets Equity 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 Diversified Income Fund, Barings Emerging Markets Debt Blended Total Return Fund, Barings Global Emerging Markets Equity Fund, and Barings U.S. High Yield Fund (the “Funds”), including the schedules of investments, as of June 30, 2020; 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 each of the five years in the period then ended for Barings Global Floating Rate Fund and Barings Global Credit Income Opportunities Fund; the related statements of operations, changes in net assets, and the financial highlights for the periods indicated in the table below for Barings Active Short Duration Bond Fund, Barings Diversified Income Fund, Barings Emerging Markets Debt Blended Total Return Fund, Barings Global Emerging Markets Equity Fund and Barings U.S. High Yield Fund; 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, 2020, 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 (or for the periods listed in the table below), and the financial highlights for each of the five years in the period then ended (or 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	STATEMENT OF OPERATIONS	STATEMENTS OF CHANGES IN NET ASSETS	FINANCIAL HIGHLIGHTS
Barings Active Short Duration Bond Fund Barings Diversified Income Fund	For the year ended June 30, 2020	For the years ended June 30, 2020 and 2019	For the years ended June 30, 2020, 2019, 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 year ended June 30, 2020	For the years ended June 30, 2020 and 2019	For the years ended June 30, 2020, 2019, 2018, 2017, and the period from October 21, 2015 (commencement of operations) through June 30, 2016

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (CONTINUED)

INDIVIDUAL FUND COMPRISING THE BARINGS FUNDS TRUST	STATEMENT OF OPERATIONS	STATEMENTS OF CHANGES IN NET ASSETS	FINANCIAL HIGHLIGHTS
Barings Global Emerging Markets Equity Fund	For the year ended June 30, 2020	For the year ended June 30, 2020 and period from September 17, 2018 (commencement of operations) through June 30, 2019	For the year ended June 30, 2020 and period from September 17, 2018 (commencement of operations) through June 30, 2019
Barings U.S. High Yield Fund	For the year ended June 30, 2020	For the years ended June 30, 2020 and 2019	For the years ended June 30, 2020, 2019, 2018, 2017, and the period from October 30, 2015 (commencement of operations) through June 30, 2016

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, 2020, by correspondence with the custodian, brokers and selling or agent banks; when replies were not received from brokers and selling 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, 2020

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 Global Floating Rate Fund	$	438,706
Barings Global Emerging Markets Equity Fund	$	21,100

Of the ordinary distributions made during the fiscal year ended June 30, 2020, the following percentages qualify for the dividends received deduction (DRD) available to corporate shareholders:

FUND	DRD%
Barings Global Credit Income Opportunities Fund		0.06	%

The following Funds had qualified dividend income (“QDI”) received through June 30, 2020, as follows:

FUND	QDI
Barings Global Floating Rate Fund	$	245
Barings Global Credit Income Opportunities Fund	$	5,688
Barings Global Emerging Markets Equity Fund	$	234,954

The following Funds paid foreign taxes during the year ended June 30, 2020 that are available as income tax credits:

FUND	FOREIGN TAX CREDIT
Barings Emerging Markets Debt Blended Total Return Fund	$	45,457
Barings Global Emerging Markets Equity Fund	$	27,888

The following Funds generated net foreign source income during the year ended June 30, 2020 as listed below:

FUND	FOREIGN SOURCE INCOME
Barings Emerging Markets Debt Blended Total Return Fund	$	3,602,357
Barings Global Emerging Markets Equity Fund	$	335,220

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STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM (UNAUDITED)

Barings, the Board appointed administrator of the Funds’ liquidity risk management program (LRMP), presented the first annual report on the program to the Trusts on August 7, 2020. The report covered the structure of the program, including the program documents and related policies and procedures adopted to comply with Rule 22e-4 under the Investment Company Act of 1940, and reviewed the operation of the program from December 2018 through June 30, 2020. The report included a description of the annual liquidity assessment of the funds that Barings performed. The report noted that there were no compliance exceptions identified under Rule 22e-4 during the period. The report included a review of the governance of the program and the methodology for classifying the Funds’ investments. The report also included a discussion of liquidity monitoring during the period, including during the market liquidity challenges caused by the Covid-19 pandemic, and the impact those challenges had on the liquidity of the Funds’ investments. Barings concluded that the program has been operating effectively and adequately to ensure compliance with Rule 22e-4. There can be no assurance that the program will achieve its objectives in the future.

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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 (56) 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; and Chief Investment Officer and Executive Vice President (2008-2011), Massachusetts Mutual Life Insurance Company.	9	Trustee (since 2012), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); Director (since 2018), Barings BDC, Inc. (a business development company managed 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); and 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 (67) 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; and General Counsel (2006-2008), Babson Capital Management LLC (currently known as Barings).	8	Trustee (since 2012), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); and Director (2016-2017), Social Reality, Inc. (digital platform technology and management software company for internet advertising).
Bernard A. Harris, Jr. (64) 300 South Tryon Street Suite 2500 Charlotte, NC 28202	Trustee	Trustee since July 2013	Chief Executive Officer (since 2018), National Math and Science Initiative; 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; and Clinical Scientist, Flight Surgeon and Astronaut (1986-1996), NASA.	8	Trustee (since 2012), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); Energy Infrastructure Fund (mutual fund); Director (since 2009), Monebo Technologies Inc. (medical technology design company); Director (since 2009), The Endowment Fund; Director (since 2008), U.S. Physical Therapy, Inc. (NYSE: USPH); Trustee (2015-2017) Forward Funds (open-end investment company); and Trustee (2011-2015), Salient Midstream & MLP Fund (closed-end investment company).
Thomas W. Okel (57) 300 South Tryon Street Suite 2500 Charlotte, NC 28202	Trustee	Trustee since July 2013	Executive Director (2011-2019), Catawba Lands Conservancy; and 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); Director (since 2020), Barings Capital Investment Corporation; and 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 (63) 300 South Tryon Street Suite 2500 Charlotte, NC 28202	Trustee	Trustee since August 2017	Assessor (2014-2018), Moraine Township (property assessment); and Senior Portfolio Manager (2006-2012), Williams Capital Management, LLC (asset management).	8	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); and Trustee (2001-2017), AXA VIP Trust (mutual fund complex).
Martin A. Sumichrast (53) 300 South Tryon Street Suite 2500 Charlotte, NC 28202	Trustee	Trustee since July 2013	Chairman and Co-Chief Executive Officer (since 2016), Director (since 2015) cbdMD, Inc., (NYSE: YCBD; a consumer staples company specializing in CBD); and Managing Director (since 2012), Washington Capital, LLC (family office).	8	Trustee (since 2012), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); and Chairman and Director (2014-2017), Kure Corp. (retail).

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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
Dan McGee (50) 300 South Tryon Street Suite 2500 Charlotte, NC 28202	President	Since August 2018	Managing Director (since 2013), Barings; and Managing Director (1992-2013), Principal Financial Group.
Carlene Pollock (53) 300 South Tryon Street Suite 2500 Charlotte, NC 28202	Chief Financial Officer	Since January 2016	Assistant Treasurer (2015-2016), Barings Funds Trust; 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); and Vice President (2008-2013), Bank of New York Mellon (third party administrator).
Lesley Mastandrea (43) 300 South Tryon Street Suite 2500 Charlotte, NC 28202	Treasurer	Since October 2016	Managing Director (since 2014), Director (2007-2014), Associate Director (2006-2007), Barings; and Treasurer (since 2016), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings).
Michael Cowart (37) 300 South Tryon Street Suite 2500 Charlotte, NC 28202	Chief Compliance Officer	Since January 2020	Director (since 2018), Barings; Chief Compliance Officer (since January 2020), Barings Corporate Investors and Barings Participation Investors (closed-end investment companies advised by Barings); Chief Compliance Officer (since January 2020), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); Chief Compliance Officer (since January 2020), Barings BDC, Inc. (business development company advised by Barings); Chief Compliance Officer (since November 2019), Barings Securities LLC; and Assistant General Counsel (2016-2018), LPL Financial (independent broker-dealer).
Janice M. Bishop (55) 300 South Tryon Street Suite 2500 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 2012), Barings Global Short Duration High Yield Fund (closed-end investment company advised by 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); Secretary and Chief Legal Officer (since 2018), Barings BDC, Inc. (a business development company advised by Barings); and Vice President and Secretary (since 2015), Assistant Secretary (2008-2015), CI Subsidiary Trust and PI Subsidiary Trust.
Jill Dinerman (43) 300 South Tryon Street Suite 2500 Charlotte, NC 28202	Assistant Secretary	Since February 2019	General Counsel (since January 2020), Corporate Secretary (since 2018), Managing Director (since 2016), Associate General Counsel (2018-2020), Senior Counsel (2016-2018), Counsel and Director (2011-2016), Barings; Assistant Secretary (since 2019), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); Assistant Secretary (since 2019), Barings Corporate Investors and Barings Participation Investors (closed-end investment companies advised by Barings); and Assistant Secretary (since 2019), Barings BDC, Inc. (a business development company advised by Barings).

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GLOBAL PRIVACY NOTICE

This global privacy notice (“Privacy Notice”) applies to

∎ Barings LLC;

∎ Barings LLC’s affiliates, subsidiaries, and investment fund management entities (each management entity a “Manager”), which may respectively be based in the United States of America (the “USA”), United Kingdom (the “UK”), Switzerland, the European Union (the “EU”), Hong Kong S.A.R., the People’s Republic of China, Australia, South Korea, Taiwan, Japan and the Cayman Islands; and

∎ the respective investment funds and collective investment vehicles within the Barings family of funds (which may include funds that do not feature the Barings trade name) (each a “Fund”).

Collectively, these entities are “Barings” (“we”, “us”, “our”).

About this Privacy Notice

This Privacy Notice, which includes our Cookies Policy (to the extent applicable, a copy of which can be found at barings.com), is designed to help you understand our information collection practices depending on your relationship with us.

This Privacy Notice should be read in conjunction with any other applicable policies, terms and conditions in place between you and Barings.

Any term or provision contained in this Privacy Notice shall not apply to the extent it is incompatible with relevant applicable laws or regulations in the country or jurisdiction that applies to your Personal Data. The local addendum attached to this Privacy Notice sets out additional or different obligations and rights in a given country, state, or jurisdiction beyond the terms of this Privacy Notice. Where there is any inconsistency between the local addendum and the main body of this Privacy Notice, the relevant local addendum shall prevail.

The Barings entity that was originally responsible for collecting your Personal Data in a given country or jurisdiction will be your primary data controller. The relevant data controller(s) in a particular country or jurisdiction are set out in the relevant local addendum below. If your country or jurisdiction is not listed, your data controller will be Barings LLC.

Application of this Privacy Notice

Clients: If you interact with Barings as a private client or otherwise in your individual capacity, or in the capacity of an officer, employee, director and/or principal of one of our corporate or institutional clients (including prospective clients) (“Client”), this Privacy Notice sets out how Barings will collect and process Personal Data in connection with its investment fund management services. Personal Data that we collect and process may include that of registered shareholders or unitholders, applicants for shares or units, beneficial owners of registered shareholders or unitholders and applicants for shares or units, personal representatives, directors, officers, employees, agents, trustees and/or authorized signatories of registered shareholders or unitholders and applicants for shares or units (being natural persons) (“Corporate Individuals”) and other information relating to the dealings of Corporate Individuals with the Fund and/or its service providers.

Website Users: As regards any website or applications owned or operated by, or on behalf of, Barings, including (but not limited to) barings.com and any local variations that may be created from time to time (“Website”), if you are a user or visitor of a Website (“Website User”), this Privacy Notice also sets out how Barings collects and processes Personal Data in connection with those Websites.

Job Applicants: If you apply for a job with, or are later employed or otherwise appointed by, Barings, when applicable, we will provide you with a separate privacy notice about how we collect and process your Personal Data in connection with such appointment at that time.

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GLOBAL PRIVACY NOTICE (CONTINUED)

1. Definitions

We collect and process Personal Data in accordance with the requirements of the data protection laws (“Relevant Data Protection Laws”) applicable to the particular Personal Data at issue. The Relevant Data Protection Laws include the data protection or privacy laws of any country or jurisdiction applicable to the processing of Personal Data covered by this Privacy Notice.

“Personal Data” (or the equivalent term such as “personal information” under Relevant Data Protection Laws)means (to the extent applicable) any information: (i) held by Barings; (ii) held or obtained by the Manager or the Fund; or (iii) an individual provides to the Manager, the Fund or the Fund’s service provider, that can, in each case, identify an individual, such as name, address, email address, date of birth etc., from which that individual can be directly or indirectly personally identified, and includes information such as identification and account numbers and online identifiers, or otherwise has the meaning as set out in Relevant Data Protection Laws applicable to you.

Some of this Personal Data may include, where applicable, information classified in some jurisdictions as “Special Categories of Personal Data” (or equivalent terms such as “Sensitive Personal Data”, “sensitive information” or “sensitive personal information” under Relevant Data Protection Laws), relating to an individual’s race, ethnicity, health, political opinions, trade union membership, as well as Personal Data related to criminal matters.

“processing” means any operation or set of operations which is performed on Personal Data or on sets of Personal Data, whether or not by automated means, such as collection, recording, organization, structuring, storage, adaptation or alteration, retrieval, consultation, use, disclosure by transmission, dissemination or otherwise making available, alignment or combination, restriction, erasure or destruction, or otherwise has the meaning as set out in the applicable Relevant Data Protection Laws.

2. Personal Data collected and how we collect it

Barings will collect the following types of Personal Data, depending on your relationship with us:

∎ Identity information such as name, address, personal contact details (including email address and telephone numbers), date of birth, financial information, passport number, nationality, job title, driver’s license or identity card information; and

∎ Technical and usage information such as IP address, cookies, browser type and version, time zone settings, browser plugin types, operating systems and platform, device information (including, for mobile devices, the IMEI number, wireless networks and general network information).

Barings obtains your Personal Data from the following sources:

∎ Directly from you when you provide such information to us, for example, through your use of our Websites or other forms to receive our services (including our investment services), when you correspond with us or submit a complaint, or transact with us or our affiliates;

∎ From personnel of Clients, from non-affiliated sources (such as consumer or reporting agencies, government agencies, or other non-affiliated parties), or automatically through your use of our Websites; and

∎ Through Corporate Individuals, e.g. if you have engaged an advisor on your behalf.

If you are dealing with Barings as a Client, where the Manager or the Fund needs to process Personal Data: (i) in connection with a registered shareholder’s or unitholder’s contract with the Fund or Manager in respect of a Fund, (ii) in anticipation of an applicant for shares or units becoming a registered shareholder or unitholder, or (iii) where the Manager or the Fund has a legal obligation to collect certain Personal Data relating to a Corporate Individual (for example, in order to comply with anti-money laundering and anti-terrorist financing (collectively “AML”) obligations), the Fund will not be able to deal with the registered shareholder or unitholder or applicant for shares or units if such individual does not provide the necessary Personal Data and other information required by the Manager or the Fund.

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3. Purposes

If you are dealing with Barings as a Client, Barings will use the Personal Data of Corporate Individuals for the following purposes:

∎ For the purposes of performing the contract with a registered shareholder or unitholder, or in anticipation of an applicant for shares or units becoming a registered shareholder or unitholder, namely:

∎ for the purposes of providing services to the registered shareholder or unitholder, and setting up and administering the applicant’s or registered shareholder’s or unitholder’s account(s), as the case may be;

∎ for the collection of subscriptions and payment of redemptions, distributions and dividends;

∎ in the event of a merger or proposed merger of the Fund or any sub-fund of the Fund, or for any other restructurings; or

∎ to deal with queries or complaints from registered shareholders;

∎ For compliance with Barings’ legal obligations including:

∎ AML and fraud prevention purposes, including OFAC and PEP screening for these purposes and to comply with UN, EU and other applicable sanctions regimes;

∎ compliance with applicable tax and regulatory reporting obligations;

∎ where Barings is ordered to disclose information by a court with appropriate jurisdiction; or

∎ recording of telephone calls and electronic communications in order to comply with applicable laws and regulatory obligations, where applicable;

∎ Where use is for a legitimate purpose of Barings including:

∎ for day to day operational and business purposes;

∎ to take advice from the Manager’s and the Fund’s external legal and other advisors;

∎ board reporting and management purposes, including where required, for quality assurance;

∎ investigation of complaints or reports, including via ethics or whistleblowing systems or reporting hotlines, relating to conduct which is contrary to Barings’ values or which may be in breach of applicable laws and regulations; or

∎ administering surveys and questionnaires, such as for research and client satisfaction purposes;

∎ Where a Corporate Individual has consented to use for a particular purpose. If a Corporate Individual gives consent for Barings to use their Personal Data for a particular purpose and where permitted under Relevant Data Protection Laws, that Corporate Individual has the right at any time to withdraw consent to the future use of his/her Personal Data for those purposes by writing to the address specified below.

If you are dealing with Barings as a Website User, Barings will use the Personal Data collected for the following purposes:

∎ For our internal business administration and record keeping purposes;

∎ To provide you with information about our investment products and related services, facilitate your online purchases, tailor or customize your user experience, and for all other administration as may be necessary in relation to the supply of our investment products and related services and the conduct of our investment management business;

∎ To respond to your complaints, inquiries or comments submitted through our Website;

∎ Where necessary, as part of any restructuring relating to Barings, its business or assets, or as part of a merger or sale of Barings or any of Barings’s subsidiaries;

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∎ For legal and regulatory compliance purposes, including as necessary to respond to governmental, regulatory or law enforcement agency requests in any jurisdiction; to ensure the continuing security and integrity of our systems, business dealings, reputation or the security and reputation of Barings and its staff; to identify misuse of Barings’s systems and any fraud or other illegal or unlawful activity or any other activity which is or may be contrary to our legal and regulatory compliance obligations;

∎ As may otherwise be necessary for responsible corporate governance or as otherwise required or permitted by applicable laws and/or regulations;

∎ To otherwise protect the rights and property of Barings and the rights, property, and health of other persons, which may include disclosing information about you to authorities when we deem it appropriate to do so; and

∎ To the extent applicable, for any other purpose for which we have obtained your consent from time to time as permitted and in accordance with Relevant Data Protection Laws.

Do-Not-Track: Please note that our Website does not recognize web browser “do-not-track” signals. For more information about our use of cookies and other online data collection mechanisms, please see our Cookies Policy located on barings.com.

To the extent required by Relevant Data Protection Laws, we will obtain your consent for any new or additional purposes for which Baring processes Personal Data.

Barings may also use your Personal Data to send you information about promotions and offers. However, we will not do so without your consent where required by Relevant Data Protection Laws. If you do not want to receive such information you can unsubscribe at any time by clicking the link at the bottom of any promotional message we send, or by contacting us using the contact details set out in this Privacy Notice.

4. International transfers

Personal Data may be transferred to a jurisdiction outside the country or jurisdiction in which you are resident or located and, if so, this will be done using a legitimate transfer mechanism as required under Relevant Data Protection Laws.

Subject to Relevant Data Protection Laws, transfers to other countries or jurisdictions may be permitted if the country or jurisdiction in question has in place data protection laws which are substantially similar to, or serve the same purposes as, those in the country or jurisdiction where you are resident or located, or otherwise deemed by the relevant authorities as providing ‘adequate protection’. However, some transfers may be to countries or jurisdictions that do not have equivalent protections and, in that case, Barings, the Manager and the Fund (as applicable) shall use reasonable efforts to implement contractual protections for the Personal Data, as required based on the legitimate transfer mechanism used.

5. Special Categories of Personal Data

Barings may, in limited circumstances and as permitted by Relevant Data Protection Laws, collect and process Special Categories of Personal Data, as well as Personal Data related to criminal matters, in connection with its obligations under applicable AML laws, which will only be used and disclosed, as necessary, for such purpose.

6. Personal Data received from other sources

Where Barings is provided with Personal Data relating to an individual by someone other than that individual (such as a beneficial owner, partners, directors, officers, employers, employees, advisors, consumer or other reporting agencies, governmental agencies or other related persons), the person providing the Personal Data: will be asked to warrant that it will only do so in accordance with Relevant Data Protection Laws; and must ensure that, before doing so, the individuals in question are made aware of the fact that Barings will hold information relating to them and may use it for any of the purposes set out in this Privacy Notice; and, where necessary, must have obtained the individuals’ consent to Barings’ use of the Personal Data. Barings may, where required under applicable laws, notify individuals whose Personal Data was received indirectly from a third party, and confirm that Barings holds their Personal Data and provide a copy of this Privacy Notice to them.

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7. Disclosures of Personal Data

In addition to the disclosures discussed in this Privacy Notice, Barings may also need to disclose your Personal Data:

∎ To group companies or related body corporates of Barings (see barings.com for more information), to enable those entities to provide services to us and/or as part of shared systems which are in place;

∎ To organisations who provide services and support to us, including hosting, data processing, website development services, IT support and maintenance providers, call center and hotline providers and other outsourced services; and

∎ To enable us to comply with applicable laws and regulatory obligations and respond to requests from governmental and other regulatory authorities in any jurisdiction.

Additionally, if you are dealing with Barings as a Client, Barings may disclose any Personal Data to other entities, except as outlined above or under section 3 of this Privacy Notice or as follows, and in each case to the extent permitted by Relevant Data Protection Laws:

∎ To enable Barings to carry out the obligations under the contract with a registered shareholder or in anticipation of an applicant for shares or units becoming a registered shareholder or unitholder;

∎ To anyone providing a service to Barings or a Barings agent (which may include the Manager and companies within its group of companies, the administrator and its or their sub-contractors), as data processors, for the purposes of providing services to the Fund and on the understanding that they will keep the Personal Data confidential as required by Relevant Data Protection Laws;

∎ Where Personal Data needs to be shared with the depositary appointed to the Fund, in order to enable it to discharge its legal and regulatory obligations;

∎ Where the administrator to the Fund is subject to a separate legal obligation requiring it to act as controller of the Personal Data, including where it is required to use the Personal Data for the discharge of its own AML obligations including AML ID verification or reporting suspicious activity, or where an individual has otherwise consented to the Personal Data being shared with the administrator for specific purposes;

∎ Where the registered shareholder or unitholder or applicant for shares or units is a client of the Manager or a company within its group of companies, with such company for any other purposes agreed with an individual;

∎ Where the Manager or the Fund needs to share Personal Data with its and the Fund’s auditors, and legal and other advisors;

∎ In the event of a merger or proposed merger, any (or any proposed) transferee of, or successor in title to, the whole or any part of the Fund’s business, and their respective officers, employees, agents and advisers, to the extent necessary to give effect to such merger; or

∎ The disclosure is required by law or regulation, or court or administrative order having force of law, or is required to be made to any of the Manager’s or the Fund’s regulators, in each case in any jurisdiction.

In any case, where Barings shares Personal Data with a non-affiliated data controller (including, as appropriate, the Fund’s service providers), the use by that non-affiliated party of the Personal Data will be subject to the non-affiliated party’s own privacy policies.

8. Security of Personal Data

Barings will maintain appropriate physical, technical and procedural safeguards designed to protect any Personal Data that you provide to us from accidental or unauthorized loss, misuse, damage, modification, access or disclosure in accordance with Relevant Data Protection Laws. Barings also restricts access to Personal Data about you to those employees who need to know that information to provide products and services to you. As an added measure, Barings does not include Personal Data 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.

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Service providers who process your Personal Data on behalf of Barings are also required to adhere to appropriate security standards designed to protect such information against unauthorized access, destruction or loss.

9. Updates to Personal Data

Barings will use reasonable efforts to keep Personal Data up to date. However, Barings must be notified, without delay, of any change in an individual’s personal circumstances by the individual or the person that provides such information on behalf of the individual.

10. Retention of Personal Data

Barings is obliged to retain certain information to ensure accuracy, help maintain quality of service and for legal, regulatory, fraud prevention and legitimate business purposes.

Barings is obliged by law to retain AML-related identification and transaction records for a number of years depending on the relevant rule or regulation under applicable laws from the end of the relevant investor relationship or the date of the transaction.

Other information will be retained for no longer than is necessary for the purpose for which it was obtained by Barings or as required or permitted for legal, regulatory, fraud prevention and legitimate business purposes. In general, Barings (or its service providers on its behalf) (as applicable) will hold this information for a period of seven (7) years, unless it is obliged to hold it for a different period under law or applicable regulations.

Barings may also retain records of telephone calls and any electronic communications for any length of time as required or permitted by any relevant regulatory entity or as required by relevant local laws including those relating to data privacy and security.

11. Individual’s Rights in relation to Personal Data

You may have the following rights under Relevant Data Protection Laws:

∎ An individual may have the right to request access to, correct any inaccuracies in, and in certain circumstances, request erasure, or object to or restrict the use, of their Personal Data, and object to certain uses or other processing of their Personal Data (including automated processing), in each case subject to the conditions and/or restrictions set out in Relevant Data Protection Laws.

∎ In limited circumstances, an individual may also have the right to data portability in respect of certain of their Personal Data, which means they can request that Barings provide a copy of their disclosable Personal Data to them or their third party nominee.

∎ An individual may also have the right to lodge a complaint with the relevant Barings entity that is the data controller and/or with a relevant supervisory authority about the processing of the individual’s Personal Data by the relevant Barings entity, the Manager and/or the Fund.

∎ An individual may also have the right to withdraw consent in specific circumstances, such as for direct marketing, or where we have otherwise relied on the individual’s consent to process their Personal Data.

To exercise any of these rights, please send confirmation of your request, by e-mail or post, to the address below, specifying which Barings products or funds your request relates to and providing any other relevant identifying information:

Barings Data Privacy Manager

20 Old Bailey

London, UK

DPM@Barings.com

Please see the relevant local addendum attached to this Privacy Notice for contact details in your country or jurisdiction.

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12. Complaints

If you would like to contact us in relation to how your Personal Data is handled, please contact Barings’ Data Privacy Manager at DPM@Barings.com and your complaint will be handled in accordance with our handling procedures. You may also have the right to make a complaint with the relevant local supervisory authority; however, we would request in the first instance you contact us.

Please see the relevant local addendum attached to this Privacy Notice for contact details in your country or jurisdiction.

13. Local Country, State or Specific Jurisdictional Addenda

i. Australia

ii. California

iii. European Economic Area and UK

iv. Hong Kong S.A.R.

v. Japan

vi. People’s Republic of China

vii. South Korea

viii. Switzerland

ix. Taiwan

x. USA

14. Document Management

This document is reviewed at least once annually, and updated as required. Where required by Relevant Data Protection Laws we will notify you in the event of material changes to this Privacy Notice and, where required, seek your consent to those changes.

This document was last updated April 17, 2020.

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GLOBAL PRIVACY NOTICE: ADDENDUM FOR AUSTRALIA

This addendum sets out additional obligations and rights of Barings Australia Pty Ltd, including any associated Managers and Funds, beyond the terms of the Privacy Notice.

COLLECTION OF PERSONAL DATA

In some circumstances, we may need to collect additional Personal Data from you, or collect Personal Data from you in a way which is not described in the Privacy Notice. Where this is the case, we will provide you with additional information which details the Personal Data we will collect from you and how we will use, hold and disclose that Personal Data.

DIRECT MARKETING

Your Personal Data may also be used to enable us to market services and products that we, our group companies or related body corporates or our partners offer and which we consider may be of interest to you. If you do not want us to contact you about these products and services, please contact us using the details set out below. You will also be given an opportunity to unsubscribe from any marketing communications which we send to you electronically (such as via e-mail).

HOW DO I ACCESS MY PERSONAL INFORMATION?

You may contact us using the details below if you wish to find out about the Personal Data we hold about you. We may need to verify your identity before giving you access and, depending on the complexity of your request, we may charge a reasonable fee for processing the request.

In certain circumstances, we may not be able to tell you what Personal Data is held about you. In these circumstances, we will notify you to explain why we cannot provide the information and attempt to find alternative means to enable you to access your information.

HOW DO I REQUEST CORRECTION OF MY INFORMATION?

If you believe that the Personal Data we hold about you is inaccurate, incomplete or out of date, you should contact us using the details below. We will promptly update any Personal Data that we consider is inaccurate, incomplete or out of date. If we do not agree that your information is inaccurate, incomplete or out of date, we will notify you and provide you with the reasons.

COMPLAINTS

If you believe that your privacy has been breached, please contact us using the details below and provide details of the incident so that we can investigate and respond to you about your concerns.

We will review all communications and complaints submitted to us in this manner and will aim to respond to you in writing within a reasonable time. If your complaint is not satisfactorily resolved, you may access an external dispute resolution service or apply to the Office of the Australian Information Commissioner (“OAIC”) to have the complaint heard and determined. When we notify you about our decision, we will explain how you may access an external dispute resolution scheme or make a complaint to the OAIC.

CONTACT US

To contact us in relation to the Privacy Notice, please use the following methods:

E-mail: DPM@Barings.com

Barings Data Privacy Manager

Barings Australia Pty Ltd,

Suite 4501, Level 45,

Australia Square,

264 George Street,

Sydney, NSW 2000, Australia

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GLOBAL PRIVACY NOTICE: ADDENDUM FOR CALIFORNIA

Under the California Consumer Privacy Act (“CCPA”), we are required to provide California residents with specific information about our personal information practices. The CCPA defines the term “personal information” broadly, and includes any information that identifies, relates to, describes, is reasonably capable of being associated with, or could reasonably be linked, directly or indirectly, with a particular California resident or household. Please note that the CCPA does not apply to certain types of information, and your data may be covered by additional privacy notices based on your relationship with us.

Categories of Personal Information that We Collect, Disclose, and Sell

We do not sell any of your personal information for monetary compensation.

We currently do not share your information with non-affiliated third parties for their own marketing purpose. We collect and disclose certain personal information in the course of our business as described in the Privacy Notice, including to process your transactions, for customer service purposes, for marketing, for general administration (e.g., managing inventory) evaluating use of our services, research and development, and for legal compliance.

Please refer to section 3 of the Privacy Notice for a description of how we collect and disclose personal information and the personal information that we collect.

In addition to collecting business related information (including information such as names, business contact information and for investors, employees and certain business contacts, dates of birth, government identifiers and/or financial information) we also collect the following:

∎ Usage Data: As described above, we collect certain technical information about a user’s use of our Websites, which may include: IP address, cookies, browser type and version, time zone settings, browser plugin types, operating systems and platform, device information (including, for mobile devices, the IMEI number, wireless networks and general network information). We do not typically associate this information with a particular user’s account and we do not seek to reidentify the user through this information.

∎ Audio & Video Information: If you call us, we may record your conversation for quality assurance, training, legal compliance, and customer service purposes. Certain of our premises are monitored by closed circuit television. Absent an incident, we do not usually obtain a copy of such footage, but, rather, it would be the property of the building manager.

We disclose each of the above categories of information, for a business purpose as defined by the CCPA. For example, we may share your contact information with entities that assist us in account management, background check organizations, and, where permitted by law, with entities to assist us in marketing. We also share your information with entities that assist us in providing support and services, such as hosting our websites, applications, and other online services, to respond to inquiries and for trouble-shooting. We also share your information to assist us in analyzing and improving our services and operations; for fraud prevention; personalizing content and experiences; securing and protecting our business; defending our legal rights and the rights of others; auditing, reporting, corporate governance, and internal operations; and complying with legal obligations.

California Resident Rights

California law grants California residents certain rights and imposes restrictions on particular business practices. We are required to provide you with a notice about our information collection practices at or before the point of collection; to this end, there may be circumstances in which we provide an additional notice to you. California residents have the right to opt-out of our sale of their personal information. Subject to certain exceptions, California residents have the right to (at no charge) request that we (1) delete the personal information that we hold about them, subject to certain exceptions and (2) send a copy of the specific pieces of personal information that we have collected about them in the prior 12 months and to have this delivered, free of charge, either (a) by mail or (b) electronically in a portable and, to the extent technically

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feasible, readily useable and transferrable format. California residents also have the right to request that we provide them certain information about how we have handled their personal information in the prior 12 months, including the:

∎ categories of personal information collected;

∎ categories of sources of personal information;

∎ business and/or commercial purposes for collecting and selling their personal information;

∎ categories of third parties/with whom we have disclosed or shared their personal information;

∎ categories of personal information that we have disclosed or shared with a third party for a business purpose; and

∎ categories of third parties to whom the residents’ personal information has been sold and the specific categories of personal information sold to each category of third party.

California residents may make Requests to Know up to twice every 12 months. The CCPA prohibits discrimination against California residents for exercising their rights under the CCPA. Discrimination may exist where a business denies or provides a different level or quality of goods or services, or charges (or suggests that it will charge) different prices, rates, or penalties on residents who exercise their CCPA rights, unless doing so is reasonably related to the value provided to the business by the residents’ data.

California residents have the right to be notified of any financial incentive offers and their material terms, the right to opt-out of such incentives at any time, and may not be included in such incentives without their prior informed opt-in consent. We currently do not offer any incentives.

CONTACT US

To contact us in relation to the Privacy Notice, including Requests to Opt-Out of Sale of Personal Information (if applicable), Requests to Know, and Requests to Delete, please use the following methods:

Electronically: Submitting a CCPA Webform found at barings.com

By Phone: 1-877-766-0014 (toll free),

E-mail: DPM@Barings.com

Barings Data Privacy Manager

20 Old Bailey

London, UK

We will respond to verifiable requests received from California consumers as required by law.

To opt-out of sharing with targeted advertisers, please visit optout.aboutads.info and optout.networkadvertising.org.

California Shine the Light

We currently do not share your information with non-affiliated third parties for their own marketing purpose.

For more information about our privacy practices, you may contact us at dpm@barings.com.

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GLOBAL PRIVACY NOTICE: ADDENDUM FOR EUROPEAN ECONOMIC AREA (EEA) AND UNITED KINGDOM

This addendum sets out additional obligations and rights of Baring Asset Management Limited (“BAML”), including any associated Managers and Funds, beyond the terms of the Privacy Notice.

RELEVANT DATA PROTECTION LAWS

To avoid doubt, “Relevant Data Protection Laws” shall mean any applicable data protection laws relating to the protection of individuals with regards to the processing of personal data including the General Data Protection Regulation (EU) 2016/679 (“GDPR”) (together with any laws implemented by EU member states (including any replacement legislation applicable in the United Kingdom, whether or not as a result of any full or partial departure of the United Kingdom from the European Union), which contain derogations from, or exemptions or authorisations for the purposes of, the GDPR, or which are otherwise intended to supplement the GDPR); the UK Data Protection Act 2018; the ePrivacy Directive 2002/58/EC as implemented by EU member states; any corresponding or equivalent national laws or regulations relating to the collection, use, disclosure and processing of personal data including any amendment, update, modification to or reenactment of such laws and guides and codes of practice issued from time to time by any supervisory authorities, in each case as amended, updated or replaced from time to time.

LAWFUL BASIS FOR PROCESSING

Under Relevant Data Protection Laws we must have a lawful basis for processing your Personal Data. When we do so, we rely on one of the following:

- To perform a contract we have with you;

- To comply with a legal obligation;

- Where we have a legitimate interest as a business; or

- If you have given us your consent.

We have set out the lawful bases we rely on at section 3 of the Privacy Notice. Unless otherwise set out in section 3, the processing of your Personal Data will be in furtherance of BAML’s legitimate interests to provide and improve our services to you, in order to preserve our business operations, and ensuring that you are provided with information which is relevant to you.

PROVIDING YOUR INFORMATION TO US

If you do not provide us with certain information (for example, if you do not provide us with information that is indicated as mandatory), BAML may not be able to manage or administer our client relationship with you and provide you with products and services. If you are a Website User, and if you block or refuse to accept cookies, or delete cookies after visiting our Website, you may not be able to access or use some of the functionalities of our Website.

INTERNATIONAL TRANSFERS

Subject to Relevant Data Protection Laws, transfers to other countries or jurisdictions outside of the UK or EEA may be permitted where such transfer is made to jurisdictions or countries providing “adequate protection” for Personal Data (which may include US companies that have voluntarily signed up to the EU-U.S. or Swiss-U.S. Privacy Shield).

However, some transfers may be to countries or jurisdictions that do not have adequate protection and, in that case, BAML, the Manager and the Fund (as applicable) shall use reasonable efforts to implement contractual safeguards for the cross-border transfer of Personal Data, as required based on the legitimate transfer mechanism used (such as putting in place European Commission-approved “Standard Contractual Clauses”).

Where you are in the UK or the EEA, further information in relation to specific international transfers can be obtained by contacting BAML’s Data Privacy Manager at DPM@Barings.com.

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COMPLAINTS

If you believe that your privacy has been breached, please contact us using the details below and provide details of the incident so that we can investigate and respond to you about your concerns.

We will review all communications and complaints submitted to us in this manner and will aim to respond to you in writing within a reasonable time. Notwithstanding the above, you have the right to make a complaint at any time to the Information Commissioner’s Office (ICO), the UK supervisory authority, or to any other supervisory authority applicable to you.

CONTACT US

To contact us in relation to the Privacy Notice, please use the following methods:

E-mail: DPM@Barings.com

Barings Data Privacy Manager

Baring Asset Management Limited

20 Old Bailey

London, UK

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GLOBAL PRIVACY NOTICE: ADDENDUM FOR HONG KONG S.A.R.

This addendum sets out additional obligations and rights of Barings Asset Management (Asia) Limited and Baring Asset Management (Asia) Holdings Limited, including any associated Managers and Funds (“we”, “Barings Hong Kong”), beyond the terms of the Privacy Notice.

PROVIDING YOUR INFORMATION TO US

If you do not provide us with certain information (for example, if you do not provide us with information that is indicated as mandatory), Barings Hong Kong may not be able to manage or administer our client relationship with you and provide you with products and services. If you are a Website User, and if you block or refuse to accept cookies, or delete cookies after visiting our Website, you may not be able to access or use some of the functionalities of our Website.

CONTACT DETAILS

To contact us in relation to the Privacy Notice, please use the following methods:

E-mail: DPM@Barings.com

Barings Data Privacy Manager

Baring Asset Management (Asia) Limited & Baring Asset Management (Asia) Holdings Limited

35/F Gloucester Tower

15 Queens Road

Central, Hong Kong

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GLOBAL PRIVACY NOTICE: ADDENDUM FOR JAPAN

This addendum sets out additional obligations and rights of Barings Japan Ltd. including any associated Managers and Funds (“we”, “Barings Japan”), beyond the terms of the Privacy Notice.

TRANSFERS

Your primary data controller Barings Japan will jointly use your Personal Data specified in the Privacy Notice for the purposes specified therein with other group companies of Barings. Barings Japan will be responsible for the management of your Personal Data jointly used by other group companies of Barings.

CONTACT DETAILS

To contact us in relation to the Privacy Notice, please use the following methods:

E-mail: DPM@Barings.com

Barings Data Privacy Manager

Baring Japan Ltd.

7F Kyobashi Edogrand

2-2-1 Kyobashi

Chuo-ku

Tokyo 104-0031, Japan

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GLOBAL PRIVACY NOTICE: ADDENDUM FOR THE PEOPLE’S REPUBLIC OF CHINA (“PRC”) (EXCLUDING FOR THE PURPOSES OF THE PRIVACY NOTICE HONG KONG S.A.R., MACAU S.A.R. AND TAIWAN)

This addendum sets out additional obligations and rights of Barings Investment Management (Shanghai) Limited and Barings Overseas Investment Fund Management (Shanghai) Limited, including any associated Managers and Funds (“we”, “Barings PRC”), beyond the terms of the Privacy Notice.

PROVIDING YOUR INFORMATION TO US

If you do not provide Barings PRC with certain Personal Data (for example, if you do not provide us with information that is indicated as mandatory); or give us your (express or deemed) consent to the collection, use and/or disclosure of your Personal Data; or if you subsequently withdraw your consent, Barings PRC may not be able to manage or administer our client relationship with you; provide certain products and services to you; or if you are a Website User, you may not be able to access or use some of the functionalities of our Website.

SENSITIVE PERSONAL DATA

Certain types of Personal Data are considered “sensitive” and, depending on your country of work or residence and applicable laws, additional rules will apply in respect of this Personal Data. “Sensitive Personal Data” as defined under PRC laws and regulations may include (but without limitation) information relating to:

∎ mobile phone number;

∎ genetic or biometric information;

∎ financial information;

∎ tax identification number;

∎ national identity card number;

∎ health records;

∎ sexual orientation; and

∎ racial or ethnic origin.

References to “Special Categories of Personal Data” in the Privacy Notice shall for the purpose of this addendum be deemed to be references to Sensitive Personal Data.

RETENTION OF PERSONAL DATA

Your Personal Data will be kept confidential and will be retained for the retention periods set out in our Record Keeping Policy.

CONTACT DETAILS

To contact us in relation to the Privacy Notice, please use the following methods:

E-mail: DPM@Barings.com

Barings Data Privacy Manager

Barings Investment Management (Shanghai) Limited & Barings Overseas Investment Fund Management (Shanghai) Limited

Unit 3616, Level 36

International Finance Center Tower 2

8 Century Avenue

Pudong District

Shanghai, China

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GLOBAL PRIVACY NOTICE: ADDENDUM FOR SOUTH KOREA

This addendum sets out additional obligations and rights of Baring Asset Management (Korea) Limited, including any associated Managers and Funds (“we”, “Barings Korea”), beyond the terms of the Privacy Notice.

COLLECTION OF PERSONAL DATA

We obtain your consent when collecting and using your Personal Data unless such collection and usage is based on Personal Information Protection Act (“PIPA”), the Act on Promotion of Information Communication Network Usage and Information Protection (“Network Act”), Protection of Credit Information Act (“Credit Information Act”), or other laws or regulations of Korea.

SENSITIVE PERSONAL DATA

Under the PIPA, information on the ideology, creed, membership of a labor union or political party, political views, health, sexual preferences, bio-data, and criminal records as defined under the Act on the Lapse of Criminal Sentences is considered “Sensitive Personal Data”.

When collecting Sensitive Personal Data from you, we comply with all the procedures and methods stipulated by the PIPA, including obtaining your separate consent for the processing of Sensitive Personal Data.

OUTSOURCING OF THE PROCESSING OF PERSONAL DATA

Please see below the list of third-party processors (“Processors”) together with the specific processing tasks to be outsourced. The Personal Data transferred to the Processors will be retained only to the extent necessary for the purposes of the services provided and to meet any regulatory requirements in accordance with any applicable laws.

We comply with all the relevant laws and regulations when outsourcing the processing of Personal Data. For example, we do not outsource the processing of Particular Identification Data as defined under the PIPA (i.e., resident registration numbers (“RRNs”), driver’s license numbers, passport numbers, and alien registration numbers) to Processors located outside of Korea.

NAME OF THE THIRD-PARTY PROCESSOR	OUTSOURCED TASK/SERVICE
NAVEX Global, Inc.	Operation of Barings’ ethics and whistleblower hotline

PROVISION OF PERSONAL DATA TO THIRD PARTIES

Subject to your separate consent, the following Personal Data may also be disclosed to third parties, i.e., independent data controllers as set out below.

We comply with all the relevant laws and regulations when providing Personal Data to a third party. For example, we do not provide Particular Identification Data as defined under the PIPA to recipients located outside of Korea.

RECIPIENT	RECIPIENT’S PURPOSE OF USE	TRANSFERRED ITEMS	RECIPIENT’S PERIOD OF RETENTION AND USE
Barings LLC	Regulatory, risk and compliance oversight	Anonymized data to perform regulatory, risk and compliance oversight	7 years from the date of collection
Baring Asset Management Limited	Regulatory, risk and compliance oversight	Anonymized data to perform regulatory, risk and compliance oversight	7 years from the date of collection

��

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DATA PROTECTION OFFICER

The data protection officer is Ho Chul Jung ( ) and is available at +82 2 3788 0529 or via e-mail at

Hochul.jung@barings.com.

DESTRUCTION OF PERSONAL DATA

Your Personal Data will be processed and stored for as long as required for the purposes for which they were collected, and in accordance with the storage periods provided for by the applicable laws. After such period, your Personal Data will be automatically and permanently erased or made anonymous.

MEASURES TO ENSURE SECURITY OF PERSONAL DATA

We take the following technical, managerial and physical measures necessary to ensure the security of your Personal Data.

Managerial measures: Designation of a data protection officer, establishment and implementation of an internal management plan, regular training of employees on personal data protection, etc.

Technical measures: Management of the right to access the Personal Data Processing system, installation of an access control system, encryption of Particular Identification Data(as defined under the PIPA), installation of security programs, etc.

Physical measures: Restriction on access to Personal Data storage mediums such as the computer room and data storage room, etc.

INSTALLATION, OPERATION, AND DENIAL OF A DEVICE THAT AUTOMATICALLY COLLECTS PERSONAL INFORMATION

We use cookies which constantly save and retrieve information of our Website Users. A cookie is a small text file of information about the basic setting of a website, sent by the website’s web server to the web browser of a user, and is stored in the hard disk of the user’s computer.

We use cookies for the following purposes: to engage in target marketing and provide customized services by analyzing the frequency and times of visits of members and non-members, identifying their preferences and interests and tracking the number of visits made.

You have the right to choose whether or not to install cookies. Therefore, you may adjust the options of your web browser to accept or refuse all cookies, or to receive notice each time cookies are installed.

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GLOBAL PRIVACY NOTICE: ADDENDUM FOR SWITZERLAND

This addendum sets out additional obligations and rights of Baring Asset Management Switzerland Sàrl, including any associated Managers and Funds (“we”, “Barings Switzerland”), beyond the terms of the Privacy Notice.

DEFINITION OF PERSONAL DATA

The definition of “Personal Data” also includes all information relating to an identified or identifiable legal entity pursuant to Article 3 (a) of the Swiss Federal Act on Data Protection (“FADP”).

INTERNATIONAL TRANSFERS

Subject to Relevant Data Protection Laws, transfers to other countries or jurisdictions may be permitted if the country or jurisdiction in question is in the European Economic Area (EEA), or on the Federal Data Protection and Information Commissioner’s (“FDPIC”) list of countries providing ‘adequate protection’ for Personal Data (which may include US companies that have voluntarily signed up to the Swiss-U.S. Privacy Shield).

However, some transfers may be to countries or jurisdictions that do not have adequate protection and, in that case, Barings Switzerland, Barings, the Manager and the Fund (as applicable) shall use reasonable efforts to implement contractual safeguards for the cross-border transfer of Personal Data, as required based on the legitimate transfer mechanism used.

When you are in Switzerland, further information in relation to specific international transfers can be obtained by contacting Barings’ Data Privacy Manager at DPM@Barings.com.

INDIVIDUAL’S RIGHTS IN RELATION TO PERSONAL DATA

Under the FADP, an individual is not granted the right to data portability in respect of his or her Personal Data.

COMPLAINTS

If you believe that your privacy has been breached, please contact us using the details below and provide details of the incident so that we can investigate and respond to you about your concerns.

We will review all communications and complaints submitted to us in this manner and will aim to respond to you in writing within a reasonable time. If your complaint is not satisfactorily resolved, you may submit a complaint to the FDPIC.

CONTACT US

To contact us in relation to the Privacy Notice, please use the following methods:

E-mail: DPM@Barings.com

Barings Data Privacy Manager

20 Old Bailey

London, UK

Phone - +442077628961

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GLOBAL PRIVACY NOTICE: ADDENDUM FOR TAIWAN

This addendum sets out additional obligations and rights of Barings SICE (Taiwan) Limited, including any associated Managers and Funds (“We”, “Barings Taiwan”), beyond the terms of the Privacy Notice. The term “process” or “processing” as used in the Privacy Notice should be taken to mean “collect”, “use” and “process” as defined in the Taiwan Personal Information Protection Law.

PROVIDING YOUR INFORMATION TO US

If you choose not to provide us with certain of your Personal Data (for example, if you do not provide us with information that is indicated as mandatory), we may not be able to manager or administer our client relationship with you; provide you with products and services; or, if you are a Website User, you may not be able to access or use some of the functionalities of our Website.

SENSITIVE PERSONAL DATA

Sensitive Personal Data and Special Categories of Personal Data shall, for purposes of Barings Taiwan’s obligation to you, include medical records, medical treatment, genetic information, sexual life (including sexual orientation) and health examination and criminal records.

YOUR RIGHTS TO YOUR PERSONAL DATA

You have rights, using the contact details below:

∎ to make inquiries or request to review your Personal Data;

∎ to make copies of your Personal Data;

∎ to supplement or correct your Personal Data;

∎ to discontinue collection, processing or use of Personal Data;

∎ to delete your Personal Data; or

∎ to communicate to us your objection to the use of your Personal Data for marketing purposes.

CONTACT DETAILS

To contact us in relation to the Privacy Notice, please use the following methods:

E-mail: DPM@Barings.com

Barings Data Privacy Manager

Baring SICE (Taiwan) Limited

21F 333 Keelung Rd.

Sec.1 Taipei 11012

Taiwan

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GLOBAL PRIVACY NOTICE: ADDENDUM FOR THE UNITED STATES OF AMERICA (THE “USA”)

This addendum sets out additional obligations and rights of Barings LLC and Barings Securities LLC including any associated Managers and Funds (“We/Barings US”) beyond the terms of the Privacy Notice.

PROVISION OF PERSONAL DATA TO OTHER ENTITIES

If you are dealing with Barings US as a Client, we may share the financial information we collect from you with our financial services 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, we may disclose Personal Data 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 US. 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 also disclose your financial information for our everyday business purposes, such as to process and effect transactions that you request or authorize and to maintain your account(s) and as otherwise permitted by applicable law. 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. When you are no longer our customer, we will continue to share your information as described in this notice.

REGULATORY

The Privacy Notice describes the privacy policies of Barings. 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.

CONTACT US

To contact us in relation to the Privacy Notice, please use the following methods:

E-mail: DPM@barings.com

Barings Data Privacy Manager

20 Old Bailey

London, UK

224

BARINGS FUNDS TRUST

ANNUAL REPORT

June 30, 2020

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/us/guest/funds/barings-mutual-fund-documents and click Fund Code of Ethics. 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, 2020		Year Ended June 30, 2019
Audit Fees	$	338,205	$	349,850
Audit-Related Fees	$	0	$	0
Tax Fees	$	98,393	$	113,000
All Other Fees	$	0	$	0
Total Fees	$	436,598	$	462,850

Non-Audit Fees Billed to Barings and MassMutual:

	Year Ended June 30, 2020		Year Ended June 30, 2019
Audit Fees	$	4,802,040	$	4,319,401
Audit-Related Fees	$	0	$	0
Tax Fees	$	4,339,419	$	4,430,023
All Other Fees	$	5,482,271	$	4,652,066
Total Fees	$	14,623,730	$	13,401,490

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, 2020, 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, 2019 and June 30, 2020 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. 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 a date within 90 days of the filing date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the 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/us/guest/funds/barings-mutual-fund-documents and click Fund Code of Ethics.

(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/ Daniel McGee
	Daniel McGee, President (Principal Executive Officer)

Date September 4, 2020

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/ Daniel McGee
	Daniel McGee, President (Principal Executive Officer)

Date September 4, 2020

By (Signature and Title)	/s/ Carlene Pollock
	Carlene Pollock, Chief Financial Officer (Principal Financial Officer)

Date September 4, 2020