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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, 2021
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Item 1. Reports to Stockholders.
(a) The Annual Report to Shareholders is attached hereto.
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BARINGS FUNDS TRUST
Annual Report
June 30, 2021
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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.
ALPS Distributors, Inc. is the distributor for the Barings mutual funds. ALPS and Barings are separate and unaffiliated.
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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 Emerging Markets Debt Blended Total Return Fund
Barings Global Emerging Markets Equity Fund
Barings U.S. High Yield Fund
Dear Shareholder,
In the first half of the year, global markets continued to experience positive momentum as vaccinations became more prevalent and businesses re-opened. While the U.S. Federal Reserve’s hawkish turn in June has kept inflation and rates at the forefront, economic growth remains strong and inflation still looks transitory, in our view.
From a bottom-up research perspective, our investment teams continue to find a generally supportive environment. While many asset classes have experienced impressive performance since the depths of the pandemic, we believe value can still be found in both developing and emerging markets. That said, there are a number of lingering uncertainties as we look toward the second half of the year. For one, although developed markets may be through the worst of the pandemic – and further extensive lockdowns seem unlikely – there are questions as to whether new strains of the virus could slow the economic recovery. There are also a number of macro and geopolitical risks on the horizon, from the ongoing U.S.-China and U.S.-Russia tensions, to conflicts in the Middle East.
Against this backdrop, we believe selectivity is as critical as ever. Whereas market beta has been a significant driver of returns over the last several months, corporate and country fundamentals have come decidedly back to the forefront. This means that simply owning the index – whether in high yield, investment grade credit or emerging markets debt – may lead to disappointing outcomes.
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 relative value opportunities as they arise across geographies and asset classes.
You have previously received a proxy statement/prospectus with respect to the proposed reorganization of the Barings funds. The proposed reorganizations will be voted on at a virtual joint special meeting of shareholders scheduled to be held on September 29, 2021. In this unprecedented time, we appreciate your continued trust and partnership, and we 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.
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Barings Global Floating Rate Fund 2021 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, 2020 through June 30, 2021 of +14.19%, outperforming the Credit Suisse Global Loan Benchmark (the “Benchmark”), which returned +11.42%.1, 6 |
What factors influenced performance of the Fund?
∎ | Trading levels across the broadly syndicated loan market continued to recover throughout the period from the drawdown that occurred in March 2020. The initial recovery at the start of the period was in higher rated loans (double-B rated), although there was a more material recovery in the lower rating categories (single-B and lower rated loans) through the rest of the period. As the Fund had a higher exposure to loans rated single-B and lower, this positively contributed to outperformance during the period. |
∎ | Broadly speaking, outperformance by Fund holdings within industry sectors (based on the Benchmark’s industry sectors) was the main driver of outperformance for the period, with the top performing sectors including the wireless communications, financial and healthcare sectors. Additionally, an overweight position to the gaming/leisure sector and credit selection within that sector was a positive contributor to relative results. |
∎ | From a regional perspective, the Fund’s allocations between the North American and European markets did not have a material impact on performance. The Fund’s holdings in both regions (North America and Europe) outperformed the Benchmark and outperformance was fairly balanced between the two regions. |
∎ | Due to the elevated returns across the market, the Fund’s modest allocation to cash (for which the average weight was approximately 6%) was a modest detractor from attribution results. |
Describe recent portfolio activity.
∎ | During the reporting period, the Fund did not make material shifts between geographic regions as relative value was viewed as comparable between the two regions and therefore the focus was on individual credit decisions. |
∎ | From an asset class perspective, the Fund’s strategy remained focused primarily on first lien senior secured loans in which the exposure increased by approximately 3% with modest decreases in exposure to senior secured bonds and second lien senior secured loans. |
∎ | Over the reporting period, the Fund’s top two industry exposures, healthcare/education/childcare and diversified/conglomerate service (based on Moody’s industries) remained the same. During the period, the leisure/amusement/entertainment sector decreased from third largest to the fourth largest position. This change was not a reflection of relative value positioning, rather was due to the Fund reducing exposure to positions in that sector that had provided meaningful value during the market’s recovery. |
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 2021 Annual Report
∎ | The Fund’s exposure to triple-C rated loans modestly decreased as a result of positive catalysts for individual credits that has provided opportunities to exit those positions at what we believe were viewed as attractive levels. Recent purchases were primarily in the single-B rated loans and as a result exposure to that rating category modestly increased. |
Describe portfolio positioning at period end.
∎ | The Fund finished the twelve-month reporting period, ending June 30, 2021, with 89.4% allocated to global senior secured loans, 4.0% to global senior secured high yield bonds, and 6.0% to cash. |
∎ | From an industry perspective (based on Moody’s industries), the Fund remained well diversified across a number of sectors, with concentrations in healthcare/education/childcare (13.8%), diversified/conglomerate services (13.6%), and telecommunications (8.0%) as of June 30, 2021. |
∎ | As of June 30, 2021, the Fund had the following credit quality breakdown: 1.0% in triple-B assets, 13.0% in double-B assets, 68.9% in single-B assets, and 9.0% in triple-C and below assets. Approximately 2.1% of the Fund’s assets are non-publicly rated. Cash and accrued income accounted for the remaining 6.0% of the portfolio assets.2 |
∎ | The top five countries in the portfolio at the end of the reporting period were the U.S. (66.4%), the U.K. (8.4%), Germany (5.2%), France (2.8%) and the Netherlands (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.
∎ | From a fundamental standpoint, we believe high yield appears to be on solid footing with upgrades outnumbering downgrades and default rates back below longer-term averages. At the same time, we expect company earnings, revenues and cash flows to remain well-supported by the resurgence in consumer demand this year and into 2022. |
∎ | While the economy appears to be on a positive trajectory, and companies remain well-supported by ample liquidity, there are plenty of uncertainties on the horizon. Therefore we continue to believe that an actively managed strategy focused on prudent asset selection is crucial in this environment. |
∎ | With expectations for continued economic growth coming out of the pandemic, we believe it is reasonable to expect the Federal Reserve will at some point move toward tapering and rates will eventually rise. Against this backdrop, in our view, there are benefits to considering variable or floating rate assets such as loans. |
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. |
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Barings Global Floating Rate Fund 2021 Annual Report
PORTFOLIO COMPOSITION (% OF ASSETS*)
* | As of June 30, 2021. |
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, 2021. |
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Barings Global Floating Rate Fund 2021 Annual Report
% AVERAGE ANNUAL TOTAL RETURNS 5,7,8,9 | INCEPTION DATE | ONE YEAR | THREE YEARS | FIVE YEARS | INCEPTION TO DATE | |||||||||||||||
Class A With Load | 09/16/2013 | 10.48 | % | 3.35 | % | 4.67 | % | 3.59 | % | |||||||||||
Class A No Load | 09/16/2013 | 13.90 | % | 4.40 | % | 5.31 | % | 4.00 | % | |||||||||||
Class C With Load | 09/16/2013 | 12.08 | % | 3.63 | % | 4.54 | % | 3.24 | % | |||||||||||
Class C No Load | 09/16/2013 | 13.08 | % | 3.63 | % | 4.54 | % | 3.24 | % | |||||||||||
Class I With Load | 09/16/2013 | 14.19 | % | 4.69 | % | 5.60 | % | 4.30 | % | |||||||||||
Class I No Load | 09/16/2013 | 14.19 | % | 4.69 | % | 5.60 | % | 4.30 | % | |||||||||||
Class Y With Load | 09/16/2013 | 14.19 | % | 4.66 | % | 5.58 | % | 4.28 | % | |||||||||||
Class Y No Load | 09/16/2013 | 14.19 | % | 4.66 | % | 5.58 | % | 4.28 | % |
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. |
9. | Total return 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. |
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Barings Global Credit Income Opportunities Fund 2021 Annual Report
Investment Objective
Barings Global Credit Income Opportunities Fund (“Global Credit Income Opportunities Fund” or the “Fund”) seeks 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, 2020 through June 30, 2021 of +17.52%, and outperformed the 3 Month USD LIBOR +500 basis points (bps)1 benchmark, which returned +5.22%.2, 6 |
What factors influenced performance of the Fund?
∎ | The material recovery in trading levels across high yield credit markets during the reporting period, following the drawdown in March 2020, was the primary driver for the Fund’s outperformance relative to the benchmark. We note that a large portion of the benchmark is static and therefore is not generally impacted by mark-to-market changes. |
∎ | For the core asset classes, high yield bonds outperformed senior secured loans over the full period and were the top contributor to the Fund’s total return. Furthermore, the Fund’s holdings within each of these asset classes outperformed their respective markets. |
∎ | By region, the Fund’s North American high yield bond holdings modestly outperformed the Fund’s European high yield bond holdings and for senior secured loans, the Fund’s European holdings modestly outperformed the Fund’s North American holdings. As a result, performance was fairly balanced between the two regions. |
∎ | From a ratings category perspective, the Fund’s lower rated credits in the high yield bond and senior secured loan markets outperformed higher rated credits during the reporting period, particularly in the second half of the period. |
∎ | For the opportunistic asset classes, the total return for the Fund’s collateralized loan obligation (CLOs) holdings outperformed the core asset classes and therefore was a positive contributor to the Fund’s overall total return. |
Describe recent portfolio activity.
∎ | During the first half of the reporting period, there were minimal shifts between regions for core asset classes or between asset classes as the focus was on individual credit relative value decisions. In the second half of the period, the Fund modestly increased exposure in floating rate senior secured loans, reducing exposure to fixed rate high yield bonds. Within high yield bonds, the Fund modestly added exposure to emerging markets corporate debt. |
∎ | 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 regards to the opportunistic asset classes, the Fund’s exposure to CLOs modestly decreased over the period. |
∎ | Within rating categories, the Fund’s exposure to single-B and triple-C rated credits increased and exposure to double-B rated credits 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. |
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Barings Global Credit Income Opportunities Fund 2021 Annual Report
∎ | Over the reporting period, the Fund’s top two industry exposures, healthcare/education/childcare and diversified/conglomerate service (based on Moody’s industries) remained the same. During the period, the Fund’s exposure to the oil and gas sector increased to the third largest sector exposure. This was primarily due to purchases in higher quality high yield bonds in that sector, including some fallen angels early in the period. |
Describe portfolio positioning at period end.
∎ | The Fund finished the annual reporting period, ended June 30, 2021, with an allocation of 40.6%, 42.1% and 8.8% to global high yield bonds, global senior secured loans and CLOs, respectively. The remainder of the portfolio was invested in equities at 0.9%, special situations at 0.6%, and cash/other at 7.0%. A significant portion of the portfolio (approximately 63.9%) was senior secured in nature (including CLOs backed by secured loans), which we believe 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 healthcare, education and childcare (9.1%), diversified/conglomerate services (6.8%), and the oil and gas sector (6.1%) as of June 30, 2021. |
∎ | As of June 30, 2021, the Fund had the following credit quality breakdown: 1.7% in triple-B assets, 20.8% in double-B assets, 49.2% in single-B assets, and 16.2% in triple-C and below assets. Approximately 5.1% of the Fund’s assets are not publicly rated. Cash and accrued income accounted for the remaining 7.0% of the portfolio assets.3 |
∎ | The top five countries in the portfolio at the end of the reporting period were the U.S. (55.7%), the U.K. (8.6%), Germany (4.5%), France (3.3%) and India (2.2%). The Cayman Islands exposure related to the Fund’s CLO holdings was included in the U.S. Overall, the Fund had exposure to 32 different countries, and we continue to focus on building a well-diversified portfolio of global high yield securities. |
Describe market and portfolio outlook.
∎ | From a fundamental standpoint, we believe high yield appears to be on solid footing, with upgrades outnumbering downgrades and default rates back below longer-term averages. At the same time, we expect company earnings, revenues and cash flows to remain well-supported by the resurgence in consumer demand this year and into 2022. |
∎ | While the economy appears to be on a positive trajectory, and companies remain well-supported by ample liquidity, there are plenty of uncertainties on the horizon. Therefore we continue to believe that an actively managed strategy focused on prudent asset selection is crucial in this environment. Furthermore, while there is potential for shorter-term bouts of volatility, we see particular benefits to a multi-credit strategy that has the ability to invest across asset classes and regions based on relative value. |
∎ | With expectations for continued economic growth coming out of the pandemic, it is reasonable to expect the Federal Reserve will at some point move toward tapering and rates will eventually rise. Against this backdrop, we believe there are benefits to considering variable or floating rate assets such as loans and CLOs. However, in our view, high yield bonds still look relatively well-positioned in a reflationary environment given their shorter duration relative to other longer duration fixed income asset classes and investors focused on yield in an overall low rate environment. |
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. |
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Barings Global Credit Income Opportunities Fund 2021 Annual Report
PORTFOLIO COMPOSITION (% OF ASSETS*)
* | As of June 30, 2021. |
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, 2021. |
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Barings Global Credit Income Opportunities Fund 2021 Annual Report
% AVERAGE ANNUAL TOTAL RETURNS 5,7,8,9 | INCEPTION DATE | ONE YEAR | THREE YEARS | FIVE YEARS | INCEPTION TO DATE | |||||||||||||||
Class A With Load | 09/16/2013 | 12.50 | % | 3.52 | % | 5.59 | % | 4.40 | % | |||||||||||
Class A No Load | 09/16/2013 | 17.18 | % | 4.94 | % | 6.46 | % | 4.92 | % | |||||||||||
Class C With Load | 09/16/2013 | 15.42 | % | 4.19 | % | 5.68 | % | 4.14 | % | |||||||||||
Class C No Load | 09/16/2013 | 16.42 | % | 4.19 | % | 5.68 | % | 4.14 | % | |||||||||||
Class I With Load | 09/16/2013 | 17.51 | % | 5.21 | % | 6.73 | % | 5.18 | % | |||||||||||
Class I No Load | 09/16/2013 | 17.51 | % | 5.21 | % | 6.73 | % | 5.18 | % | |||||||||||
Class Y With Load | 09/16/2013 | 17.52 | % | 5.21 | % | 6.73 | % | 5.18 | % | |||||||||||
Class Y No Load | 09/16/2013 | 17.52 | % | 5.21 | % | 6.73 | % | 5.18 | % |
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. | Total return 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. |
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Barings Active Short Duration Bond Fund 2021 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, 2020 through June 30, 2021 of 7.00%, outperforming the Bloomberg Barclays U.S. 1-3 Year Government Bond Index (the “Benchmark”), which returned 0.06%.1,5 |
What factors influenced performance of the Fund?
∎ | A shorter-duration position contributed positively to performance relative to the Benchmark as rates rose over the period. The Fund used Treasury bonds and futures to help manage duration. The front end of the Treasury yield curve remained 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%. If the market sees a sustainable inflationary environment, we will likely see technical pressure to bring rates higher; a return to the trend seen in the first quarter of 2021. The Fund ended the period with a 0.52 year duration in accordance with our rules-based duration management process. |
∎ | We continued to favor securitized credit over corporate credit, emphasizing structure over unsecured positions. The Fund’s allocation to consumer asset-backed securities (ABS) was a positive contributor to performance. Auto, Student loans, Aviation, and Consumer Loan collateral were among the top contributors within the ABS sector. The market’s risk-on tone brought a majority of market segments tighter amid the backdrop of shrinking dealer balance sheets. Demand remained robust despite high levels of new issue ABS supply. The allocation took advantage of tightening by selling into strength in areas where pricing has gotten ahead of fundamentals. |
∎ | The Fund’s allocation to commercial mortgage-backed securities (CMBS) and residential mortgage-backed securities (RMBS) also contributed positively to performance over the period. Non-Agency CMBS continued to show resiliency given recent periods of rate volatility in prior months despite limited dealer risk taking given tight absolute spread levels. |
∎ | The 35% allocation to investment grade corporate credit contributed positively to performance. Corporate index spreads finished the period at 80 basis points. Index spread remains 40bps inside of 2-year average levels – the last time the index was at this level was March 2005. As corporate spreads continued to ratchet closer to historical tights, the fundamental picture remained robust, and improving, as issuers gained steadier footing amidst the market recovery. |
∎ | The Fund’s small position in high-quality collateralized loan obligation (CLO) tranches was also a positive contributor. CLOs remained an attractive subordinated investment given attractive yields, however with high quality spreads trading at tight historical levels, return from the top of the capital stack was expected to come primarily from carry. |
∎ | The allocation to BB-rated high yield corporate bonds contributed positively to performance, while the fund’s underweight to U.S. Treasuries detracted. |
Describe recent portfolio activity.
∎ | The Fund ended the period with a duration positioning of 0.52 years, as the front end of the U.S. Treasury curve remained flat. |
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. |
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Barings Active Short Duration Bond Fund 2021 Annual Report
∎ | The Fund increased its allocation to hard currency EMD by 10% over the period as relative value was identified. CMBS positioning was increased by 2%. ABS, Cash, and RMBS positioning was reduced. The Fund’s developed market corporate and high quality CLO weight remained unchanged. |
∎ | The Funds allocation to AAA-rated and BB-rated positions decreased, while BB, Single-A, and AA 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 23.3% 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 8.8% and 6.8%, respectively. |
∎ | At the end of the period, the Fund’s credit allocation was 51.0%. This allocation was comprised of 35.3% in investment grade corporates, 5.7% in BB-rated high yield corporates, and 10.0% in U.S. dollar-denominated emerging markets debt (EMD). Banks/Brokers and Independent Finance represent the Fund’s largest corporate sector allocations, followed by various Financial and Insurance industries.2 |
∎ | High-quality AAA and AA CLO tranches represented a combined 5.6% allocation for the Fund. |
Describe market and portfolio outlook.
∎ | All eyes continue to be on the U.S. Fed as investors look for hints of guidance on the future of monetary action amidst the economic recovery. The Fed’s most recent meeting minutes included hints from the FOMC that officials may consider paring down bond-buying efforts “at some point in upcoming meetings” if the economy continues to strengthen on its current trajectory. The ensuing weeks since brought a surprisingly weak jobs report and a stronger-than-expected consumer inflation report, which now has the market waiting for the next meeting for an indication of the Fed’s path forward. |
∎ | As we move into the summer months, in our view, the Fed’s monthly purchases of $80 billion of Treasuries and $40 billion of MBS may be the first change in policy. Some Economists are predicting the US Fed could reduce its MBS purchases by a relatively larger proportion than its purchases of Treasuries. This discussion coincides with a growing debate about the need for buying housing-backed assets given the strength of the US housing market. The market is now predicting the US Fed could announce some initial indication of a slowing of MBS purchases as early as August 2021. We continue to anticipate more guidance leading up to the Jackson Hole meeting later this summer. |
∎ | 1Q2021 investment grade credit fundamentals were released last month that showed modest continuation of positive trends as the economies emerge from the COVID19 pandemic. High grade issuer revenue declined 3.6% year over year (YoY) but it was up by 1.7% from the previous quarter. With the surge in Energy prices in 2Q these figures are expected to improve in the coming quarters. EBITDA was up 3.6% quarter over quarter (QoQ) and down just 1.1% YOY. Excluding commodities, EBITDA growth came in at positive 5.3%. As revenue from 2Q2020 rolls off the trailing yearly statistics, the market is expecting to see stronger YOY numbers in the coming quarters. |
∎ | Debt levels are reported to be up only 2% YOY, after companies refinanced, reissued, and issued new debt to insulate balance sheets during the pandemic volatility. If positive fundamental trends continue, we expect that the need for additional cash may be somewhat muted in the coming periods. We believe that the outlook for ABS remains bright given the economic recovery on track and labor market improving. |
∎ | ABS delinquencies are at current cycle lows, and relative value opportunities across collateral sectors remain robust while also offering diversification to multi-sector credit portfolios. |
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 Active Short Duration Bond Fund 2021 Annual Report
CREDIT QUALITY BREAKDOWN (% OF ASSETS*)
* | As of June 30, 2021. |
PORTFOLIO COMPOSITION (% OF ASSETS*)
* | As of June 30, 2021. |
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Barings Active Short Duration Bond Fund 2021 Annual Report
% AVERAGE ANNUAL TOTAL RETURNS 3,4,6,7,8,9 | INCEPTION DATE | ONE YEAR | THREE YEARS | FIVE YEARS | INCEPTION TO DATE | |||||||||||||||
Class A With Load | 07/08/2015 | 6.75 | % | 2.81 | % | 2.33 | % | 2.14 | % | |||||||||||
Class A No Load | 07/08/2015 | 6.75 | % | 2.81 | % | 2.33 | % | 2.14 | % | |||||||||||
Class C With Load | 07/08/2015 | 6.04 | % | 2.54 | % | 2.17 | % | 1.88 | % | |||||||||||
Class C No Load | 07/08/2015 | 6.54 | % | 2.54 | % | 2.17 | % | 1.88 | % | |||||||||||
Class L With Load | 05/01/2020 | 4.62 | % | n/a | n/a | 7.08 | % | |||||||||||||
Class L No Load | 05/01/2020 | 6.75 | % | n/a | n/a | 8.95 | % | |||||||||||||
Class Y With Load | 07/08/2015 | 7.00 | % | 3.06 | % | 2.58 | % | 2.38 | % | |||||||||||
Class Y No Load | 07/08/2015 | 7.00 | % | 3.06 | % | 2.58 | % | 2.38 | % |
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. |
9. | Total return 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. |
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Barings Emerging Markets Debt Blended Total Return Fund 2021 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, 2020 through June 30, 2021 of 13.61%. 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 7.43%. 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.1,4 |
∎ | 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 economies around the world re-opened after months long shutdowns as a result of the Covid-19 pandemic. Strong growth numbers reported by many EM countries along with loose monetary conditions have been a supportive market for EM returns. U.S Treasury rates have been a headwind as 10-year rates have risen 82 basis points (bps) over the past 12 months. Local rates in EM countries fell, while EM currencies appreciated 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 to end 2020, with $50.6 billion of positive flows, which was followed by six months accounting for $44.6 billion in net inflows for the first half of 2021. |
∎ | For the 12-month reporting period ending June 30, 2021, the Fund’s positioning in Brazil, Mexico, South Africa, India and Ukraine contributed positively to Fund performance. However, the Fund’s positions in Israel, Hungary, Colombia, Singapore and Czech Republic detracted from performance. |
Describe recent portfolio activity.
∎ | The fund decreased its exposure to Sovereign hard currency bonds mainly as a result of a decrease to short CDS exposure within the portfolio. Alternatively, the Fund allocated more to EM Corporates, while our positioning remained similar to 2020, backed by healthy balance sheets and bonds offering strong yields compared to some sovereign credits. The Fund recently decreased some FX exposure following an increase in the first quarter of 2021, back to the same exposure seen twelve months ago. The Fund maintained most positions, as we believe fiscal stimuli will allow for moderate growth, low inflation and lower rates in select EM local markets. |
Describe portfolio positioning at period end.
∎ | The Fund finished the reporting period, ending June 30, 2021, with a 26% exposure to sovereign hard currency bonds (inclusive of credit default swaps), 42% to corporate debt, 29% to sovereign local currencies, and an 8% settled cash position. |
∎ | The top five countries in the portfolio at the end of the reporting period were Brazil (11.4%), Mexico (11.0%), South Africa (7.9%), Colombia (6.5%) and Ukraine (5.8%). The top five corporate issuers were Piraeus Bank (2.3%), Vedanta Resources (2.3%), Tullow Oil (1.8%), PEMEX (1.7%), and Kaisa Group Holdings (1.4%). Overall, the Fund had exposure to 40 countries, 66 corporates and 19 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. |
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. |
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Barings Emerging Markets Debt Blended Total Return Fund 2021 Annual Report
Describe market and portfolio outlook.
∎ | The Fed may have taken some wind out of emerging markets’ sails, but we believe that not all asset classes and issuers will be impacted to the same extent. In our view, while a rising rate environment likely won’t derail the positive growth story or materially hurt performance across sovereign and corporate credit markets, there may be greater challenges in store for local rates and currencies. In this environment, and as we move to the second half of the year, we believe a strict focus on bottom-up analysis – including the impact of ESG factors on companies and countries – will be a crucial differentiator in performance. Ultimately, we can’t predict exactly when rates are going to move, or how tensions between the U.S. and China or the U.S. and Russia will play out. We do have the ability, based on bottom-up analysis, to choose countries and companies that are well-positioned to withstand a changing environment. |
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Barings Emerging Markets Debt Blended Total Return Fund 2021 Annual Report
PORTFOLIO COMPOSITION (% OF ASSETS*)
* | As of June 30, 2021. |
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, 2021. |
*** | CEEMEA: Central Europe, Eastern Europe, Middle East and Africa. |
LATAM: Latin America (includes countries in Central and South America). |
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Barings Emerging Markets Debt Blended Total Return Fund 2021 Annual Report
% AVERAGE ANNUAL TOTAL RETURNS 2,3,5,6,7 | INCEPTION DATE | ONE YEAR | THREE YEARS | FIVE YEARS | INCEPTION TO DATE | |||||||||||||||
Class A With Load | 10/21/2015 | 8.79 | % | 10.48 | % | 8.10 | % | 7.57 | % | |||||||||||
Class A No Load | 10/21/2015 | 13.32 | % | 12.00 | % | 8.99 | % | 8.34 | % | |||||||||||
Class C With Load | 10/21/2015 | 11.51 | % | 11.18 | % | 8.20 | % | 7.56 | % | |||||||||||
Class C No Load | 10/21/2015 | 12.51 | % | 11.18 | % | 8.20 | % | 7.56 | % | |||||||||||
Class I With Load | 10/21/2015 | 13.70 | % | 12.31 | % | 9.28 | % | 8.63 | % | |||||||||||
Class I No Load | 10/21/2015 | 13.70 | % | 12.31 | % | 9.28 | % | 8.63 | % | |||||||||||
Class Y With Load | 10/21/2015 | 13.61 | % | 12.26 | % | 9.26 | % | 8.61 | % | |||||||||||
Class Y No Load | 10/21/2015 | 13.61 | % | 12.26 | % | 9.26 | % | 8.61 | % |
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. |
7. | Total return 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. |
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Barings Global Emerging Markets Equity Fund 2021 Annual Report
Investment Objective
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, 2020, through June 30, 2021 of 32.74%, underperforming the MSCI Emerging Markets Index (the Benchmark), which returned 40.90%.1,4 |
What factors influenced performance of the Fund?
∎ | A strong style shift over the period saw value outperform quality and growth, which had a negative impact on relative performance. |
∎ | Contributors to relative Fund performance included the following: |
∎ | Taiwan Semiconductor Manufacturing Co was a significant contributor to relative returns, helped by strong quarterly earnings, better than expected orders, and encouraging guidance regarding future growth opportunities. |
∎ | LG Chem outperformed, as the company continues to benefit from the increased demand for electric vehicle batteries and slowly improving margins in their petrochemical business. |
∎ | Infosys Limited outperformed, helped by robust earnings growth, driven in part by increased demand from clients migrating services to the cloud and expanding their consumer facing digital capabilities. |
∎ | Detractors from relative Fund performance included the following: |
∎ | China Overseas Land & Investment Limited detracted due to concerns that policy measures introduced to cool the residential market may lead to a decline in new sales. We have since sold out of the holding. |
∎ | China Construction Bank also underperformed particularly over the first half of the reporting period on concerns that asset quality would deteriorate. This underperformance has begun to reverse in recent months as these concerns have eased due to the rebound in the domestic economy. |
∎ | Tencent Holdings detracted, following broader weakness across some technology stocks, stemming from heightened regulatory risk. |
Describe recent portfolio activity.
∎ | We continuously review all holdings in the portfolio and compare against other potential investment opportunities in our universe. As part of this process, we exited a number of positions over the period and replaced them with more attractive alternatives, as identified through our internal investment research: |
∎ | Q3/Q4 2020: New purchases included Brazilian hypermarket Atacadão, a company we believe has compelling future growth prospects and which we purchased at an attractive valuation. Elsewhere, we sold out of video surveillance company Hikvision after a period of strong performance and exited positions in Lukoil and Banco do Brasil, in favor of opportunities elsewhere. |
∎ | Q1/Q2 2021: New purchases included Chinese e-commerce company JD.com, Taiwanese electronics company Hon Hai Precision and Indian private sector bank Axis. These were funded through the sale of positions such as South African insurance group Sanlam, Brazilian bank Itau and Taiwanese electronics company Chicony. |
∎ | As medium- to long-term investors, we would expect the average annual turnover rate of the strategy to be 20-40%. The turnover for the Fund for the period from July 1, 2020, through June 30, 2021 was 35.4%. |
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. |
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. |
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Barings Global Emerging Markets Equity Fund 2021 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 China & Hong Kong and the largest active sector exposure was to Information Technology, 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 country and sector active position, we believe that the performance of the underlying holdings 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 & Hong Kong (41.4%), Korea (14.5%), Taiwan (13.6%), India (10.2%) and Brazil (4.6%). |
∎ | Consistent 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 short term, we believe markets are likely to remain volatile as investors closely monitor progress on containing COVID-19 outbreaks across many EM countries. However, in our view, the ongoing trend of improving economic and earnings momentum is encouraging, while the rolling out of vaccination programs gives grounds for optimism. |
∎ | Supply-side bottlenecks could lead to higher near-term inflationary pressure, however we expect this to begin easing in the second half of the year. |
∎ | A weaker USD would provide an additional welcome boost while the relative valuation of EM equities versus developed equities continues to remain very attractive, suggesting investor expectations for the asset class may remain overly depressed. |
∎ | In our opinion, the combination of steadily improving earnings, receding COVID-19 risk and attractive valuations should create a positive backdrop for equity markets as we navigate through 2021 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 undervaluation relative to their future growth potential. |
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Barings Global Emerging Markets Equity Fund 2021 Annual Report
% AVERAGE ANNUAL TOTAL RETURNS 2,3,5,6,7 | INCEPTION DATE | ONE YEAR | INCEPTION TO DATE | |||||||||
Class A With Load | 9/17/2018 | 32.40 | % | 13.17 | % | |||||||
Class A No Load | 9/17/2018 | 32.40 | % | 13.17 | % | |||||||
Class C With Load | 9/17/2018 | 31.41 | % | 12.32 | % | |||||||
Class C No Load | 9/17/2018 | 31.41 | % | 12.32 | % | |||||||
Class I With Load | 9/17/2018 | 32.74 | % | 13.45 | % | |||||||
Class I No Load | 9/17/2018 | 32.74 | % | 13.45 | % | |||||||
Class Y With Load | 9/17/2018 | 32.74 | % | 13.45 | % | |||||||
Class Y No Load | 9/17/2018 | 32.74 | % | 13.45 | % |
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. |
7. | Total return 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. |
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Barings U.S. High Yield Fund 2021 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, 2020 through June 30, 2021 of 17.65%, outperforming the Bloomberg Barclays U.S. Corporate High Yield Index (the “Benchmark”), which returned 15.37%.1,4 |
What factors influenced performance of the Fund?
∎ | For the one-year period, the U.S. high yield bond market saw strong positive returns, driven by the COVID-19 recovery and the reopening of the economy in addition to sizeable fiscal and monetary policy support. These measures helped support businesses as well as consumer spending and hence provided a positive macroeconomic backdrop for credit markets over the past year. |
∎ | Across the market, lower rated credits (triple-C rated bonds) notably outperformed the higher end of the ratings spectrum during the one-year period. As a result, the Fund’s overweight allocation to triple-C rated holdings and underweight allocation to the higher rating categories relative to the Benchmark were drivers of relative performance drivers. |
∎ | Within rating categories, security selection across single-B rated credits was a positive contributor to Fund performance versus the Benchmark. The return for the Fund’s triple-C rated credits was below the return for the Benchmark in that category and detracted from relative performance, although this detraction was offset by the higher allocation to the category. |
∎ | From an industry perspective (based on Barclays industry categories), the communications and capital goods sectors were the largest contributors to relative performance vs the Benchmark during the period, due to credit selection. |
Describe recent portfolio activity.
∎ | The Fund’s allocation to single-Bs increased during the course of the one-year period, primarily through a shift from double-B rated holdings. The Fund selectively invested in new issue deals, as the U.S. high yield bond market saw strong new issuance activity. The Fund’s triple-C allocation also increased modestly during the period. |
∎ | Across industries, the Fund’s top three sectors remained largely unchanged, led by oil & gas, telecommunications, and Healthcare, Education & Childcare. The Fund’s position in the Broadcasting and Entertainment was reduced, while the Energy sector increased during the year. |
Describe portfolio positioning at period end.
∎ | On a traded basis, the Fund finished June 30, 2021 with a 66.5% weighting to senior unsecured bonds and a 17.9% weighting to senior secured high yield bonds. The remaining balance of the portfolio was invested in senior secured loans (10.8%), and cash, accrued and other holdings (4.8%). |
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. |
4. | 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 2021 Annual Report
∎ | From a sector perspective (based on Moody’s industries), the Fund remained well-diversified across a number of Moody’s-based industries, with higher concentrations, as mentioned above, in oil & gas (17.6%), telecommunications (10.1%), and healthcare, education & childcare (7.9%) as of June 30, 2021. |
∎ | In terms of portfolio credit quality, the Fund had the following weighting breakdown: 4.1% in BBB, 40.8% in BB, 31.6% in single-B, 18.7% in CCC and below, and 4.1% in cash and accrued income. The Fund’s weighting in not-publicly rated holdings finished the period at 0.7%.2 |
Describe market and portfolio outlook.
∎ | From a fundamental standpoint, in our view, high yield appears to be on solid footing with upgrades outnumbering downgrades and default rates back below longer-term averages. At the same time, we expect company earnings, revenues and cash flows to remain well-supported by the resurgence in consumer demand this year and into 2022. |
∎ | With expectations for continued economic growth coming out of the pandemic, we believe it is reasonable to expect the Fed will at some point move toward tapering and rates will eventually rise. That said, in our view, high yield bonds still look relatively well-positioned in a reflationary environment given their shorter duration relative to other fixed income asset classes and will benefit greatly from a stronger economy. |
∎ | The strong economic backdrop, coupled with improving default expectations, have caused spreads to tighten. However, while high yield spreads are currently hovering near post-financial crisis tights, they remain wider than all-time tights and look favorable relative to higher-rated corporates. |
∎ | As we look ahead to the coming months, and with many investors still facing challenges when it comes to meeting their yield targets, we expect to see continued demand for higher-yielding bonds and favorable conditions for the high yield credit markets. |
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 2021 Annual Report
CREDIT QUALITY COMPOSITION (% OF ASSETS*)
* | As of June 30, 2021. |
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, 2021. |
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Barings U.S. High Yield Fund 2021 Annual Report
% AVERAGE ANNUAL TOTAL RETURNS 3,5,6,7 | INCEPTION DATE | ONE YEAR | THREE YEARS | FIVE YEARS | INCEPTION TO DATE | |||||||||||||||
Class C With Load | 10/30/2015 | 15.49 | % | 5.37 | % | 5.72 | % | 5.91 | % | |||||||||||
Class C No Load | 10/30/2015 | 16.49 | % | 5.37 | % | 5.72 | % | 5.91 | % | |||||||||||
Class I With Load | 10/30/2015 | 17.66 | % | 6.42 | % | 6.78 | % | 6.97 | % | |||||||||||
Class I No Load | 10/30/2015 | 17.66 | % | 6.42 | % | 6.78 | % | 6.97 | % | |||||||||||
Class Y With Load | 10/30/2015 | 17.65 | % | 6.42 | % | 6.78 | % | 6.97 | % | |||||||||||
Class Y No Load | 10/30/2015 | 17.65 | % | 6.42 | % | 6.78 | % | 6.97 | % |
3. | Inception date: October 30, 2015. |
4. | 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. |
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. |
7. | Total return 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. |
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Barings Funds Trust 2021 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 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, 2021 to June 30, 2021.
Actual Expenses
The first line in the table below provides information about the actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for the Fund under the heading entitled “Operating Expense Incurred” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line in the table below provides information about the hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account value and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Barings Global Floating Rate Fund
EXPENSE RATIO | BEGINNING AMOUNT | ENDING VALUE | AVERAGE VALUE | OPERATING EXPENSE INCURRED* | ||||||||||||||||
Class A | ||||||||||||||||||||
Actual | 1.00 | % | $ | 1,000.00 | $ | 1,042.10 | $ | 1,021.05 | $ | 5.06 | ||||||||||
Hypothetical | 1.00 | % | 1,000.00 | 1,019.80 | 1,009.90 | 5.01 | ||||||||||||||
Class C | ||||||||||||||||||||
Actual | 1.75 | % | 1,000.00 | 1,038.50 | 1,019.25 | 8.85 | ||||||||||||||
Hypothetical | 1.75 | % | 1,000.00 | 1,016.10 | 1,008.05 | 8.75 | ||||||||||||||
Class I | ||||||||||||||||||||
Actual | 0.75 | % | 1,000.00 | 1,043.40 | 1,021.70 | 3.80 | ||||||||||||||
Hypothetical | 0.75 | % | 1,000.00 | 1,021.10 | 1,010.55 | 3.76 | ||||||||||||||
Class Y | ||||||||||||||||||||
Actual | 0.75 | % | 1,000.00 | 1,043.40 | 1,021.70 | 3.80 | ||||||||||||||
Hypothetical | 0.75 | % | 1,000.00 | 1,021.10 | 1,010.55 | 3.76 |
* | For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the adviser for such class multiplied by the average account value over the period, multiplied by 181/365. |
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SHAREHOLDER EXPENSES (UNAUDITED) (CONTINUED)
Barings Global Credit Income Opportunities Fund
EXPENSE RATIO | BEGINNING AMOUNT | ENDING VALUE | AVERAGE VALUE | OPERATING EXPENSE INCURRED* | ||||||||||||||||
Class A | ||||||||||||||||||||
Actual | 1.20 | % | $ | 1,000.00 | $ | 1,057.50 | $ | 1,028.75 | $ | 6.12 | ||||||||||
Hypothetical | 1.20 | % | 1,000.00 | 1,018.80 | 1,009.40 | 6.01 | ||||||||||||||
Class C | ||||||||||||||||||||
Actual | 1.95 | % | 1,000.00 | 1,054.20 | 1,027.10 | 9.93 | ||||||||||||||
Hypothetical | 1.95 | % | 1,000.00 | 1,015.10 | 1,007.55 | 9.74 | ||||||||||||||
Class I | ||||||||||||||||||||
Actual | 0.95 | % | 1,000.00 | 1,058.80 | 1,029.40 | 4.85 | ||||||||||||||
Hypothetical | 0.95 | % | 1,000.00 | 1,020.10 | 1,010.05 | 4.76 | ||||||||||||||
Class Y | ||||||||||||||||||||
Actual | 0.95 | % | 1,000.00 | 1,058.80 | 1,029.40 | 4.85 | ||||||||||||||
Hypothetical | 0.95 | % | 1,000.00 | 1,020.10 | 1,010.05 | 4.76 |
* | For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the adviser for such class multiplied by the average account value over the period, multiplied by 181/365. |
Barings Active Short Duration Bond Fund
EXPENSE RATIO | BEGINNING AMOUNT | ENDING VALUE | AVERAGE VALUE | OPERATING EXPENSE INCURRED* | ||||||||||||||||
Class A | ||||||||||||||||||||
Actual | 0.65 | % | $ | 1,000.00 | $ | 1,017.50 | $ | 1,008.75 | $ | 3.25 | ||||||||||
Hypothetical | 0.65 | % | 1,000.00 | 1,021.60 | 1,010.80 | 3.26 | ||||||||||||||
Class C | ||||||||||||||||||||
Actual | 0.90 | % | 1,000.00 | 1,016.70 | 1,008.35 | 4.50 | ||||||||||||||
Hypothetical | 0.90 | % | 1,000.00 | 1,020.30 | 1,010.15 | 4.51 | ||||||||||||||
Class Y | ||||||||||||||||||||
Actual | 0.40 | % | 1,000.00 | 1,018.60 | 1,009.30 | 2.00 | ||||||||||||||
Hypothetical | 0.40 | % | 1,000.00 | 1,022.80 | 1,011.40 | 2.01 | ||||||||||||||
Class L | ||||||||||||||||||||
Actual | 0.65 | % | 1,000.00 | 1,017.50 | 1,008.75 | 3.25 | ||||||||||||||
Hypothetical | 0.65 | % | 1,000.00 | 1,021.60 | 1,010.80 | 3.26 |
* | 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 181/365. |
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SHAREHOLDER EXPENSES (UNAUDITED) (CONTINUED)
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 | $ | 1,009.00 | $ | 1,004.50 | $ | 5.98 | ||||||||||
Hypothetical | 1.20 | % | 1,000.00 | 1,018.80 | 1,009.40 | 6.01 | ||||||||||||||
Class C | ||||||||||||||||||||
Actual | 1.95 | % | 1,000.00 | 1,005.50 | 1,002.75 | 9.70 | ||||||||||||||
Hypothetical | 1.95 | % | 1,000.00 | 1,015.10 | 1,007.55 | 9.74 | ||||||||||||||
Class I | ||||||||||||||||||||
Actual | 0.95 | % | 1,000.00 | 1,011.10 | 1,005.55 | 4.74 | ||||||||||||||
Hypothetical | 0.95 | % | 1,000.00 | 1,020.10 | 1,010.05 | 4.76 | ||||||||||||||
Class Y | ||||||||||||||||||||
Actual | 0.95 | % | 1,000.00 | 1,010.20 | 1,005.10 | 4.73 | ||||||||||||||
Hypothetical | 0.95 | % | 1,000.00 | 1,020.10 | 1,010.05 | 4.76 |
* | For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the adviser for such class multiplied by the average account value over the period, multiplied by 181/365. |
Barings Global Emerging Markets Equity Fund
EXPENSE RATIO | BEGINNING AMOUNT | ENDING VALUE | AVERAGE VALUE | OPERATING EXPENSE INCURRED* | ||||||||||||||||
Class A | ||||||||||||||||||||
Actual | 1.15 | % | $ | 1,000.00 | $ | 1,024.90 | $ | 1,012.45 | $ | 5.77 | ||||||||||
Hypothetical | 1.15 | % | 1,000.00 | 1,019.10 | 1,009.55 | 5.76 | ||||||||||||||
Class C | ||||||||||||||||||||
Actual | 1.90 | % | 1,000.00 | 1,021.10 | 1,010.55 | 9.52 | ||||||||||||||
Hypothetical | 1.90 | % | 1,000.00 | 1,015.40 | 1,007.70 | 9.49 | ||||||||||||||
Class I | ||||||||||||||||||||
Actual | 0.90 | % | 1,000.00 | 1,026.10 | 1,013.05 | 4.52 | ||||||||||||||
Hypothetical | 0.90 | % | 1,000.00 | 1,020.30 | 1,010.15 | 4.51 | ||||||||||||||
Class Y | ||||||||||||||||||||
Actual | 0.90 | % | 1,000.00 | 1,026.10 | 1,013.05 | 4.52 | ||||||||||||||
Hypothetical | 0.90 | % | 1,000.00 | 1,020.30 | 1,010.15 | 4.51 |
* | 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 181/365. |
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SHAREHOLDER EXPENSES (UNAUDITED) (CONTINUED)
Barings U.S. High Yield Fund
EXPENSE RATIO | BEGINNING AMOUNT | ENDING VALUE | AVERAGE VALUE | OPERATING EXPENSE INCURRED* | ||||||||||||||||
Class C | ||||||||||||||||||||
Actual | 1.75 | % | $ | 1,000.00 | $ | 1,043.60 | $ | 1,021.80 | $ | 8.87 | ||||||||||
Hypothetical | 1.75 | % | 1,000.00 | 1,016.10 | 1,008.05 | 8.75 | ||||||||||||||
Class I | ||||||||||||||||||||
Actual | 0.75 | % | 1,000.00 | 1,048.80 | 1,024.40 | 3.81 | ||||||||||||||
Hypothetical | 0.75 | % | 1,000.00 | 1,021.10 | 1,010.55 | 3.76 | ||||||||||||||
Class Y | ||||||||||||||||||||
Actual | 0.75 | % | 1,000.00 | 1,048.80 | 1,024.40 | 3.81 | ||||||||||||||
Hypothetical | 0.75 | % | 1,000.00 | 1,021.10 | 1,010.55 | 3.76 |
* | For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the adviser for such class multiplied by the average account value over the period, multiplied by 181/365. |
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Barings Funds Trust 2021 Annual Report
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Barings Funds Trust 2021 Annual Report
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 2021
BARINGS GLOBAL FLOATING RATE FUND | BARINGS GLOBAL CREDIT INCOME OPPORTUNITIES FUND | BARINGS ACTIVE SHORT DURATION BOND FUND | ||||||||||
Assets | ||||||||||||
Investments, at fair value (cost $347,281,275, $194,594,991 and $1,088,896,158, respectively) | $ | 347,284,309 | $ | 195,702,948 | $ | 1,099,825,841 | ||||||
Cash | 57,486,535 | 21,317,683 | 20,465,623 | |||||||||
Foreign currency, at value (cost $703,938, $825,639 and $0, respectively) | 703,724 | 823,837 | – | |||||||||
Receivable for investments sold | 3,830,189 | 3,841,376 | – | |||||||||
Receivable for Fund shares sold | 811,106 | 56,798 | 6,010,272 | |||||||||
Interest receivable | 1,724,368 | 2,282,306 | 5,624,053 | |||||||||
Foreign tax reclaims receivable | – | – | 686 | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 2,141,767 | 1,472,124 | – | |||||||||
Unrealized appreciation on unfunded loan commitments | 465 | 1,058 | – | |||||||||
Prepaid expenses | 55,299 | 38,626 | 137,988 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 414,037,762 | 225,536,756 | 1,132,064,463 | |||||||||
|
|
|
|
|
| |||||||
Liabilities |
| |||||||||||
Payable for investments purchased | 38,336,845 | 13,205,394 | 61,824,925 | |||||||||
Payable for Fund shares repurchased | 213,292 | 270,897 | 1,021,750 | |||||||||
Payable for variation margin on open futures contracts | – | – | 233,989 | |||||||||
Investment advisory fee payable (see Note 3) | 105,133 | 90,670 | 60,358 | |||||||||
Cash collateral Due to Broker | 1,670,000 | 1,250,000 | 1,560,000 | |||||||||
Distribution fees payable | 14,180 | 6,910 | 28,159 | |||||||||
Shareholder service fees payable | 19,095 | 16,175 | 132,103 | |||||||||
Dividends payable | 134,816 | 282,448 | 136,924 | |||||||||
Accrued expenses and other liabilities | 211,195 | 168,517 | 406,789 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 40,704,556 | 15,291,011 | 65,404,997 | |||||||||
|
|
|
|
|
| |||||||
Total net assets | $ | 373,333,206 | $ | 210,245,745 | $ | 1,066,659,466 | ||||||
|
|
|
|
|
| |||||||
Composition of net assets |
| |||||||||||
Shares of beneficial interest outstanding (par value $0.00001 per share), unlimited number of shares authorized | $ | 397 | $ | 232 | $ | 1,075 | ||||||
Additional paid-in capital | 385,291,272 | 227,470,027 | 1,073,281,090 | |||||||||
Total distributable earnings (accumulated loss) | (11,958,463 | ) | (17,224,514 | ) | (6,622,699 | ) | ||||||
|
|
|
|
|
| |||||||
Total net assets | $ | 373,333,206 | $ | 210,245,745 | $ | 1,066,659,466 | ||||||
|
|
|
|
|
| |||||||
Class A |
| |||||||||||
Net assets applicable to outstanding shares | $ | 45,630,081 | $ | 9,794,901 | $ | 49,255,785 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding | 4,854,099 | 1,078,888 | 4,959,415 | |||||||||
|
|
|
|
|
| |||||||
Net asset value per share outstanding | $ | 9.40 | $ | 9.08 | $ | 9.93 | ||||||
|
|
|
|
|
| |||||||
Maximum offering price per share outstanding (Net asset value plus sales charge of 3.00%, 4.00% and 0.00%, respectively) | $ | 9.69 | $ | 9.46 | $ | 9.93 | ||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
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STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
June 30, 2021
BARINGS GLOBAL FLOATING RATE FUND | BARINGS GLOBAL CREDIT INCOME OPPORTUNITIES FUND | BARINGS ACTIVE SHORT DURATION BOND FUND | ||||||||||
Class C |
| |||||||||||
Net assets applicable to outstanding shares | $ | 6,714,068 | $ | 5,845,924 | $ | 1,411,221 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding | 716,716 | 644,073 | 142,217 | |||||||||
|
|
|
|
|
| |||||||
Net asset value per share outstanding | $ | 9.37 | $ | 9.08 | $ | 9.92 | ||||||
|
|
|
|
|
| |||||||
Class I |
| |||||||||||
Net assets applicable to outstanding shares | $ | 64,969,123 | $ | 21,492,272 | $ | – | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding | 6,892,005 | 2,367,105 | – | |||||||||
|
|
|
|
|
| |||||||
Net asset value per share outstanding | $ | 9.43 | $ | 9.08 | $ | – | ||||||
|
|
|
|
|
| |||||||
Class Y |
| |||||||||||
Net assets applicable to outstanding shares | $ | 256,019,934 | $ | 173,112,648 | $ | 929,669,877 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding | 27,189,442 | 19,066,127 | 93,694,149 | |||||||||
|
|
|
|
|
| |||||||
Net asset value per share outstanding | $ | 9.42 | $ | 9.08 | $ | 9.92 | ||||||
|
|
|
|
|
| |||||||
Class L |
| |||||||||||
Net assets applicable to outstanding shares | $ | 86,322,583 | ||||||||||
|
| |||||||||||
Shares of beneficial interest outstanding | 8,692,930 | |||||||||||
|
| |||||||||||
Net asset value per share outstanding | $ | 9.93 | ||||||||||
|
|
See accompanying Notes to the Financial Statements.
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STATEMENTS OF ASSETS AND LIABILITIES
June 30, 2021
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 $113,164,773, $10,064,573 and $48,990,313, respectively) | $ | 114,345,328 | $ | 13,369,142 | $ | 51,616,160 | ||||||
Cash | 11,292,931 | 342,952 | 1,981,932 | |||||||||
Foreign currency, at value (cost $161, $19,641 and $1,030, respectively) | 159 | 19,653 | 1,030 | |||||||||
Receivable for investments sold | 6,411,391 | 69,062 | 807,768 | |||||||||
Receivable for Fund shares sold | 158,472 | – | 8,687 | |||||||||
Interest receivable | 1,965,212 | 80,525 | 862,607 | |||||||||
Receivable from adviser (see Note 3) | 29,190 | 18,183 | 5,632 | |||||||||
Cash collateral due from broker | 2,252,000 | – | – | |||||||||
Foreign tax reclaims receivable | 25,027 | 509 | – | |||||||||
Swap contracts, at fair value (up-front net premiums paid of $16,402, $0, $0, respectively) | 255,845 | – | – | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 2,611,998 | – | – | |||||||||
Prepaid expenses | 39,041 | – | 29,093 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 139,386,594 | 13,900,026 | 55,312,909 | |||||||||
|
|
|
|
|
| |||||||
Liabilities |
| |||||||||||
Payable for investments purchased | 6,662,295 | 70,954 | 1,405,656 | |||||||||
Payable for Fund shares repurchased | 135,544 | – | 1,149 | |||||||||
Swap contracts, at fair value (up-front net premiums received of $175,988, $0, $0, respectively) | 557,899 | – | – | |||||||||
Payable for variation margin on open swap contracts | 118,463 | – | – | |||||||||
Payable for variation margin on open futures contracts | 30,802 | – | – | |||||||||
Cash collateral Due to Broker | 1,750,000 | – | – | |||||||||
Distribution fees payable | 3,877 | 140 | 102 | |||||||||
Shareholder service fees payable | 13,379 | – | 1,244 | |||||||||
Dividends payable | 35,968 | – | 105,841 | |||||||||
Written options, at fair value (premiums of $617,147, $0 and $0, respectively) | 57,131 | – | – | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 711,769 | – | – | |||||||||
Accrued expenses and other liabilities | 133,625 | 103,242 | 79,387 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 10,210,752 | 174,336 | 1,593,379 | |||||||||
|
|
|
|
|
| |||||||
Total net assets | $ | 129,175,842 | $ | 13,725,690 | $ | 53,719,530 | ||||||
|
|
|
|
|
| |||||||
Composition of net assets |
| |||||||||||
Shares of beneficial interest outstanding (par value $0.00001 per share), unlimited number of shares authorized | $ | 118 | $ | 10 | $ | 54 | ||||||
Additional paid-in capital | 124,682,856 | 10,059,104 | 54,371,031 | |||||||||
Total distributable earnings (accumulated loss) | 4,492,868 | 3,666,576 | (651,555 | ) | ||||||||
|
|
|
|
|
| |||||||
Total net assets | $ | 129,175,842 | $ | 13,725,690 | $ | 53,719,530 | ||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
32
Table of Contents
Barings Funds Trust 2021 Annual Report
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
June 30, 2021
BARINGS EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND | BARINGS GLOBAL EMERGING MARKETS EQUITY FUND | BARINGS U.S. HIGH YIELD FUND | ||||||||||
Class A |
| |||||||||||
Net assets applicable to outstanding shares | $ | 17,490,928 | $ | 136,148 | $ | – | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding | 1,591,351 | 10,000 | – | |||||||||
|
|
|
|
|
| |||||||
Net asset value per share outstanding | $ | 10.99 | $ | 13.61 | $ | – | ||||||
|
|
|
|
|
| |||||||
Maximum offering price per share outstanding (Net asset value plus sales charge of 4.00%) | $ | 11.45 | $ | 14.18 | $ | – | ||||||
|
|
|
|
|
| |||||||
Class C |
| |||||||||||
Net assets applicable to outstanding shares | $ | 463,099 | $ | 134,976 | $ | 99,396 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding | 42,131 | 10,000 | 10,000 | |||||||||
|
|
|
|
|
| |||||||
Net asset value per share outstanding | $ | 10.99 | $ | 13.50 | $ | 9.94 | ||||||
|
|
|
|
|
| |||||||
Class I |
| |||||||||||
Net assets applicable to outstanding shares | $ | 1,012 | $ | 6,689,424 | $ | 12,324,198 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding | 92 | 490,000 | 1,240,000 | |||||||||
|
|
|
|
|
| |||||||
Net asset value per share outstanding | $ | 11.00 | $ | 13.65 | $ | 9.94 | ||||||
|
|
|
|
|
| |||||||
Class Y |
| |||||||||||
Net assets applicable to outstanding shares | $ | 111,220,803 | $ | 6,765,142 | $ | 41,295,936 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding | 10,120,011 | 495,547 | 4,155,112 | |||||||||
|
|
|
|
|
| |||||||
Net asset value per share outstanding | $ | 10.99 | $ | 13.65 | $ | 9.94 | ||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
33
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Barings Funds Trust 2021 Annual Report
For the Year Ended June 30, 2021
BARINGS GLOBAL FLOATING RATE FUND | BARINGS GLOBAL CREDIT INCOME OPPORTUNITIES FUND | BARINGS ACTIVE SHORT DURATION BOND FUND | ||||||||||
Investment Income |
| |||||||||||
Interest income (net of withholding tax of $0, $0 and $9,021, respectively) | $ | 12,266,468 | $ | 10,931,028 | $ | 23,553,837 | ||||||
Dividends (net of withholding tax of $0, $1,108 and $0, respectively) | 642 | 6,404 | 625,827 | |||||||||
Net bank loan fee income | 148,811 | 46,433 | – | |||||||||
Other income | 45,751 | 239,107 | – | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 12,461,672 | 11,222,972 | 24,179,664 | |||||||||
|
|
|
|
|
| |||||||
Operating Expenses | ||||||||||||
Advisory fees | 1,666,618 | 1,316,998 | 3,114,500 | |||||||||
12b-1 distribution and servicing plan | ||||||||||||
Class A | 98,756 | 50,210 | 106,694 | |||||||||
Class C | 67,434 | 72,792 | 10,668 | |||||||||
Class L | – | – | 237,801 | |||||||||
Shareholder service fee | ||||||||||||
Class A | 31,713 | 9,012 | 35,855 | |||||||||
Class C | 3,639 | 4,259 | 1,181 | |||||||||
Class Y | 64,821 | 64,993 | 552,214 | |||||||||
Class L | – | – | 86,171 | |||||||||
Administrator fees | 63,258 | 47,903 | 183,102 | |||||||||
Custody fees | 114,960 | 90,130 | 433,683 | |||||||||
Professional fees | 155,994 | 149,713 | 263,197 | |||||||||
Transfer agent fees | 38,731 | 33,403 | 139,493 | |||||||||
Directors’ fees | 91,142 | 75,087 | 225,469 | |||||||||
Registration fees | 91,428 | 70,544 | 190,105 | |||||||||
Printing and mailing expenses | 52,756 | 40,237 | 174,300 | |||||||||
Other operating expenses | 80,113 | 60,238 | 274,208 | |||||||||
|
|
|
|
|
| |||||||
Total operating expenses | 2,621,363 | 2,085,519 | 6,028,641 | |||||||||
Waiver/Reimbursement of expenses | ||||||||||||
Class A | (99,623 | ) | (37,944 | ) | (107,751 | ) | ||||||
Class C | (20,012 | ) | (17,806 | ) | (9,830 | ) | ||||||
Class I (1) | (77,391 | ) | (29,146 | ) | (5,525 | ) | ||||||
Class Y | (335,126 | ) | (209,424 | ) | (1,761,331 | ) | ||||||
Class L | – | – | (229,612 | ) | ||||||||
|
|
|
|
|
| |||||||
Net operating expenses | 2,089,211 | 1,791,199 | 3,914,592 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 10,372,461 | 9,431,773 | 20,265,072 | |||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
34
Table of Contents
Barings Funds Trust 2021 Annual Report
STATEMENTS OF OPERATIONS (CONTINUED)
For the Year Ended June 30, 2021
BARINGS GLOBAL FLOATING RATE FUND | BARINGS GLOBAL CREDIT INCOME OPPORTUNITIES FUND | BARINGS ACTIVE SHORT DURATION BOND FUND | ||||||||||
Realized and Unrealized Gains (Losses) | ||||||||||||
Net realized gain (loss) on investments | $ | (3,119,797 | ) | $ | (3,997,231 | ) | $ | 7,226,653 | ||||
Net realized gain (loss) on forward foreign currency exchange contracts | (3,866,893 | ) | (3,416,982 | ) | – | |||||||
Net realized gain on foreign currency and translation | 347,689 | 225,403 | – | |||||||||
Net realized gain (loss) on futures contracts | – | – | 2,767,984 | |||||||||
Net realized gain (loss) on swap contracts | – | – | (340,586 | ) | ||||||||
Net realized gain on written options | – | 403,346 | – | |||||||||
Net realized gain (loss) on purchased options | – | (692,562 | ) | – | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | (6,639,001 | ) | (7,478,026 | ) | 9,654,051 | |||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation on investments | 25,430,154 | 24,653,784 | 25,190,050 | |||||||||
Net change in unrealized appreciation on unfunded loan commitments | 465 | 1,058 | – | |||||||||
Net change in unrealized appreciation on forward foreign currency exchange contracts | 1,581,637 | 1,024,985 | – | |||||||||
Net change in unrealized appreciation on foreign currency and translation | 10,491 | 20,125 | – | |||||||||
Net change in unrealized appreciation (depreciation) on futures contracts | – | – | 1,889,061 | |||||||||
Net change in unrealized appreciation (depreciation) on swap contracts | – | – | 121,089 | |||||||||
Net change in unrealized appreciation on written option contracts | – | 18,451 | – | |||||||||
Net change in unrealized appreciation (depreciation) on purchased option contracts | – | (37,712 | ) | 165,691 | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) | 27,022,747 | 25,680,691 | 27,365,891 | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gains | 20,383,746 | 18,202,665 | 37,019,942 | |||||||||
|
|
|
|
|
| |||||||
Net increase in net assets resulting from operations | $ | 30,756,207 | $ | 27,634,438 | $ | 57,285,014 | ||||||
|
|
|
|
|
|
(1) | Class I for Active Short Duration Bond Fund was liquidated on June 8, 2021. |
See accompanying Notes to the Financial Statements.
35
Table of Contents
Barings Funds Trust 2021 Annual Report
STATEMENTS OF OPERATIONS
For the Year Ended June 30, 2021
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 $18,965, $0 and $0, respectively) | $ | 4,998,930 | $ | – | $ | 3,113,808 | ||||||
Dividends (net of withholding tax of $0, $35,428 and $366, respectively) | – | 307,433 | 2,075 | |||||||||
Net bank loan fee income | – | – | 2,927 | |||||||||
Other income | 6,450 | – | – | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 5,005,380 | 307,433 | 3,118,810 | |||||||||
|
|
|
|
|
| |||||||
Operating Expenses | ||||||||||||
Advisory fees | 636,946 | 115,960 | 280,188 | |||||||||
12b-1 distribution and servicing plan | ||||||||||||
Class A (2) | 27,754 | 321 | 3,668 | |||||||||
Class C | 3,372 | 1,279 | 956 | |||||||||
Shareholder service fee | ||||||||||||
Class A (2) | 17,492 | 5 | 2,809 | |||||||||
Class C | 80 | – | – | |||||||||
Class Y | 38,663 | – | 5,922 | |||||||||
Administrator fees | 45,777 | 15,748 | 42,140 | |||||||||
Custody fees | 87,408 | 17,292 | 25,958 | |||||||||
Professional fees | 108,250 | 103,005 | 83,244 | |||||||||
Transfer agent fees | 39,272 | 15,067 | 22,279 | |||||||||
Directors’ fees | 55,789 | 34,757 | 49,025 | |||||||||
Registration fees | 72,382 | 103,912 | 59,028 | |||||||||
Printing and mailing expenses | 21,100 | 2,685 | 11,622 | |||||||||
Other operating expenses | 31,278 | 7,303 | 24,313 | |||||||||
|
|
|
|
|
| |||||||
Total operating expenses | 1,185,563 | 417,334 | 611,152 | |||||||||
Waiver/Reimbursement of expenses | ||||||||||||
Class A (2) | (59,207 | ) | (6,386 | ) | (12,476 | ) | ||||||
Class C | (8,273 | ) | (6,779 | ) | (5,681 | ) | ||||||
Class I | (28,684 | ) | (137,060 | ) | (50,455 | ) | ||||||
Class Y | (251,474 | ) | (137,505 | ) | (155,842 | ) | ||||||
|
|
|
|
|
| |||||||
Net operating expenses | 837,925 | 129,604 | 386,698 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 4,167,455 | 177,829 | 2,732,112 | |||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
36
Table of Contents
Barings Funds Trust 2021 Annual Report
STATEMENTS OF OPERATIONS (CONTINUED)
For the Year Ended June 30, 2021
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 gain (loss) on investments | $ | 1,715,946 | (3) | $ | 641,489 | $ | (893,344 | ) | ||||
Net realized gain on forward foreign currency exchange contracts | 931,956 | – | – | |||||||||
Net realized gain (loss) on foreign currency and translation | 97,240 | (3,350 | ) | (2,081 | ) | |||||||
Net realized gain (loss) on futures contracts | 374,429 | – | – | |||||||||
Net realized gain on swap contracts | 2,399,797 | – | – | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 5,519,368 | 638,139 | (895,425 | ) | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation on investments | 2,339,476 | (4) | 2,563,627 | 6,313,453 | ||||||||
Net change in unrealized appreciation on forward foreign currency exchange contracts | 1,045,623 | – | – | |||||||||
Net change in unrealized appreciation on foreign currency and translation | 27,976 | 114 | 6 | |||||||||
Net change in unrealized appreciation (depreciation) on futures contracts | (137,074 | ) | – | – | ||||||||
Net change in unrealized appreciation (depreciation) on swap contracts | (4,228,925 | ) | – | – | ||||||||
Net change in unrealized appreciation on written option contracts | 560,016 | – | – | |||||||||
Net change in unrealized appreciation (depreciation) on purchased option contracts | 429 | – | – | |||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) | (392,479 | ) | 2,563,741 | 6,313,459 | ||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gains | 5,126,889 | 3,201,880 | 5,418,034 | |||||||||
|
|
|
|
|
| |||||||
Net increase in net assets resulting from operations | $ | 9,294,344 | $ | 3,379,709 | $ | 8,150,146 | ||||||
|
|
|
|
|
|
(2) | Class A for U.S. High Yield Fund was liquidated on June 8, 2021. |
(3) | Includes realized foreign capital gains taxes of $2,457. |
(4) | Net of change in unrealized appreciation/(depreciation) of foreign capital gains taxes of $4,271. |
See accompanying Notes to the Financial Statements.
37
Table of Contents
Barings Funds Trust 2021 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, 2021 | FOR THE YEAR ENDED JUNE 30, 2020 | FOR THE YEAR ENDED JUNE 30, 2021 | FOR THE YEAR ENDED JUNE 30, 2020 | |||||||||||||
Operations | ||||||||||||||||
Net investment income | $ | 10,372,461 | $ | 11,934,842 | $ | 9,431,773 | $ | 10,927,198 | ||||||||
Net realized loss | (6,639,001 | ) | (8,284,095 | ) | (7,478,026 | ) | (9,309,427 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | 27,022,747 | (13,188,700 | ) | 25,680,691 | (12,349,471 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 30,756,207 | (9,537,953 | ) | 27,634,438 | (10,731,700 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and distributions | ||||||||||||||||
Class A | (1,442,871 | ) | (1,752,333 | ) | (1,036,691 | ) | (2,270,709 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | (196,711 | ) | (263,597 | ) | (312,103 | ) | (321,702 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | (1,790,541 | ) | (1,584,124 | ) | (1,177,641 | ) | (1,091,239 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | (6,243,052 | ) | (7,063,704 | ) | (6,573,572 | ) | (5,901,580 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends and distributions | (9,673,175 | ) | (10,663,758 | ) | (9,100,007 | ) | (9,585,230 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Return of Capital | ||||||||||||||||
Class A | – | (360,351 | ) | – | (356,912 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | – | (52,291 | ) | – | (51,371 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | – | (369,841 | ) | – | (174,380 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | – | (1,382,565 | ) | – | (870,042 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total return of capital | – | (2,165,048 | ) | – | (1,452,705 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Share Transactions |
| |||||||||||||||
Net proceeds from sale of shares | 200,034,796 | 106,125,221 | 102,024,351 | 64,702,295 | ||||||||||||
Net Asset Value of shares issued to shareholders in payment of distributions declared | 8,405,707 | 10,443,892 | 6,482,307 | 8,443,894 | ||||||||||||
Cost of shares redeemed | (70,900,335 | ) | (153,128,901 | ) | (80,935,136 | ) | (99,727,481 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from capital stock transactions | 137,540,168 | (36,559,788 | ) | 27,571,522 | (26,581,292 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 158,623,200 | (58,926,547 | ) | 46,105,953 | (48,350,927 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets |
| |||||||||||||||
Beginning of year | 214,710,006 | 273,636,553 | 164,139,792 | 212,490,719 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of year | $ | 373,333,206 | $ | 214,710,006 | $ | 210,245,745 | $ | 164,139,792 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
38
Table of Contents
Barings Funds Trust 2021 Annual Report
STATEMENTS OF CHANGES IN NET ASSETS
BARINGS ACTIVE SHORT DURATION BOND FUND | BARINGS EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND | |||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | FOR THE YEAR ENDED JUNE 30, 2020 | FOR THE YEAR ENDED JUNE 30, 2021 | FOR THE YEAR ENDED JUNE 30, 2020 | |||||||||||||
Operations | ||||||||||||||||
Net investment income | $ | 20,265,072 | $ | 24,970,866 | $ | 4,167,455 | $ | 3,720,549 | ||||||||
Net realized gain (loss) | 9,654,051 | (24,682,091 | ) | 5,519,368 | (237,910 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | 27,365,891 | (20,585,735 | ) | (392,479 | ) | 2,688,775 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 57,285,014 | (20,296,960 | ) | 9,294,344 | 6,171,414 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and distributions | ||||||||||||||||
Class A | (844,633 | ) | (4,268,051 | ) | (780,889 | ) | (150,461 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | (38,716 | ) | (61,754 | ) | (20,356 | ) | (14,353 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I (1) | (2,054 | ) | (6,754 | ) | (697,507 | ) | (1,361,075 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | (16,325,650 | ) | (20,482,090 | ) | (4,615,618 | ) | (2,004,219 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class L (2) | (1,909,400 | ) | (108,096 | ) | – | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends and distributions | (19,120,453 | ) | (24,926,745 | ) | (6,114,370 | ) | (3,530,108 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Return of capital | ||||||||||||||||
Class A | (45,129 | ) | – | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | (1,658 | ) | – | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I (1) | (105 | ) | – | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | (992,762 | ) | – | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class L (2) | (96,295 | ) | – | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total return of capital | (1,135,949 | ) | – | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Share Transactions |
| |||||||||||||||
Net proceeds from sale of shares | 675,216,622 | 686,580,548 | 114,778,090 | 28,149,569 | ||||||||||||
Net Asset Value of shares issued to shareholders in payment of distributions declared | 17,417,274 | 20,314,845 | 4,382,808 | 647,379 | ||||||||||||
Cost of shares redeemed | (466,500,047 | ) | (573,907,960 | ) | (47,824,829 | ) | (27,212,488 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from capital stock transactions | 226,133,849 | 132,987,433 | 71,336,069 | 1,584,460 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase in net assets | 263,162,461 | 87,763,728 | 74,516,043 | 4,225,766 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets |
| |||||||||||||||
Beginning of year | 803,497,005 | 715,733,277 | 54,659,799 | 50,434,033 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of year | $ | 1,066,659,466 | $ | 803,497,005 | $ | 129,175,842 | $ | 54,659,799 | ||||||||
|
|
|
|
|
|
|
|
(1) | Class I for Active Short Duration Bond Fund was liquidated on June 8, 2021. |
(2) | Class L for Active Short Duration Bond Fund commenced operations on May 1, 2020. |
See accompanying Notes to the Financial Statements.
39
Table of Contents
Barings Funds Trust 2021 Annual Report
STATEMENTS OF CHANGES IN NET ASSETS
BARINGS GLOBAL EMERGING MARKETS EQUITY FUND | BARINGS U.S. HIGH YIELD FUND | |||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | FOR THE YEAR ENDED JUNE 30, 2020 | FOR THE YEAR ENDED JUNE 30, 2021 | FOR THE YEAR ENDED JUNE 30, 2020 | |||||||||||||
Operations | ||||||||||||||||
Net investment income | $ | 177,829 | $ | 179,524 | $ | 2,732,112 | $ | 2,826,976 | ||||||||
Net realized gain (loss) | 638,139 | (343,901 | ) | (895,425 | ) | (1,800,225 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | 2,563,741 | (235,789 | ) | 6,313,459 | (3,074,461 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 3,379,709 | (400,166 | ) | 8,150,146 | (2,047,710 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and distributions | ||||||||||||||||
Class A (3) | (933 | ) | (3,013 | ) | (75,531 | ) | (142,062 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | (547 | ) | (2,081 | ) | (4,154 | ) | (4,612 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | (51,989 | ) | (163,753 | ) | (633,583 | ) | (688,893 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | (51,989 | ) | (163,753 | ) | (2,004,471 | ) | (2,043,599 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends and distributions | (105,458 | ) | (332,600 | ) | (2,717,739 | ) | (2,879,166 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Return of capital |
| |||||||||||||||
Class A | – | (137 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | – | (95 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | – | (7,453 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | – | (7,453 | ) | – | – | �� | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total return of capital | – | (15,138 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Share Transactions |
| |||||||||||||||
Net proceeds from sale of shares | 74,500 | – | 7,356,276 | 8,447,531 | ||||||||||||
Net Asset Value of shares issued to shareholders in payment of distributions declared | – | – | 1,429,347 | 1,475,410 | ||||||||||||
Cost of shares redeemed | – | – | (6,535,150 | ) | (9,728,479 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from capital stock transactions | 74,500 | – | 2,250,473 | 194,462 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 3,348,751 | (747,904 | ) | 7,682,880 | (4,732,414 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets |
| |||||||||||||||
Beginning of year | 10,376,939 | 11,124,843 | 46,036,650 | 50,769,064 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of year | $ | 13,725,690 | $ | 10,376,939 | $ | 53,719,530 | $ | 46,036,650 | ||||||||
|
|
|
|
|
|
|
|
(3) | Class A for U.S. High Yield Fund was liquidated on June 8, 2021. |
See accompanying Notes to the Financial Statements.
40
Table of Contents
Barings Global Floating Rate Fund 2021 Annual Report
CLASS A | ||||||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | 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 | ||||||||||||||||
Per Common Share Data |
| |||||||||||||||||||
Net asset value, beginning of year | $ | 8.56 | $ | 9.26 | $ | 9.48 | $ | 9.54 | $ | 9.13 | ||||||||||
Income from investment operations: |
| |||||||||||||||||||
Net investment income (1) | 0.36 | 0.41 | 0.44 | 0.43 | 0.43 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.81 | (0.66 | ) | (0.18 | ) | (0.06 | ) | 0.42 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total increase (decrease) from investment operations | 1.17 | (0.25 | ) | 0.26 | 0.37 | 0.85 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: |
| |||||||||||||||||||
From net investment income | (0.33 | ) | (0.34 | ) | (0.44 | ) | (0.38 | ) | (0.31 | ) | ||||||||||
From net realized gain | – | (0.03 | ) | (0.04 | ) | – | – | |||||||||||||
From return of capital | – | (0.08 | ) | – | (0.05 | ) | (0.13 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.33 | ) | (0.45 | ) | (0.48 | ) | (0.43 | ) | (0.44 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, at end of year | $ | 9.40 | $ | 8.56 | $ | 9.26 | $ | 9.48 | $ | 9.54 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment return (2) | 13.90 | % | (2.79 | )% | 2.77 | % | 4.00 | % | 9.47 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data and Ratios |
| |||||||||||||||||||
Net assets, end of year (000’s) | $ | 45,630 | $ | 37,431 | $ | 45,213 | $ | 53,371 | $ | 45,363 | ||||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.25 | % | 1.22 | % | 1.25 | % | 1.26 | % | 1.37 | % | ||||||||||
Ratio of net expenses to average net assets (3) | 1.00 | % | 1.00 | % | 1.00 | % | 0.96 | %(4) | 0.99 | %(5) | ||||||||||
Ratio of net investment income to average net assets | 3.93 | % | 4.63 | % | 4.72 | % | 4.55 | % | 4.52 | % | ||||||||||
Portfolio turnover rate | 42.78 | % | 37.23 | % | 46.51 | % | 57.74 | % | 47.06 | % |
(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. |
See accompanying Notes to the Financial Statements.
41
Table of Contents
Barings Global Floating Rate Fund 2021 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS C | ||||||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | 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 | ||||||||||||||||
Per Common Share Data |
| |||||||||||||||||||
Net asset value, beginning of year | $ | 8.53 | $ | 9.22 | $ | 9.45 | $ | 9.51 | $ | 9.10 | ||||||||||
Income from investment operations: |
| |||||||||||||||||||
Net investment income (1) | 0.29 | 0.35 | 0.37 | 0.36 | 0.37 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.81 | (0.66 | ) | (0.19 | ) | (0.06 | ) | 0.41 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total increase (decrease) from investment operations | 1.10 | (0.31 | ) | 0.18 | 0.30 | 0.78 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: |
| |||||||||||||||||||
From net investment income | (0.26 | ) | (0.29 | ) | (0.37 | ) | (0.32 | ) | (0.26 | ) | ||||||||||
From net realized gain | – | (0.03 | ) | (0.04 | ) | – | – | |||||||||||||
From return of capital | – | (0.06 | ) | – | (0.04 | ) | (0.11 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.26 | ) | (0.38 | ) | (0.41 | ) | (0.36 | ) | (0.37 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, at end of year | $ | 9.37 | $ | 8.53 | $ | 9.22 | $ | 9.45 | $ | 9.51 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment return (2) | 13.08 | % | (3.52 | )% | 2.02 | % | 3.24 | % | 8.68 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data and Ratios |
| |||||||||||||||||||
Net assets, end of year (000’s) | $ | 6,714 | $ | 6,494 | $ | 8,005 | $ | 8,311 | $ | 8,018 | ||||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 2.05 | % | 2.04 | % | 2.05 | % | 2.09 | % | 2.24 | % | ||||||||||
Ratio of net expenses to average net assets (3) | 1.75 | % | 1.75 | % | 1.74 | %(4) | 1.70 | %(4) | 1.71 | %(5) | ||||||||||
Ratio of net investment income to average net assets | 3.20 | % | 3.88 | % | 4.00 | % | 3.80 | % | 3.91 | % | ||||||||||
Portfolio turnover rate | 42.78 | % | 37.23 | % | 46.51 | % | 57.74 | % | 47.06 | % |
(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. |
See accompanying Notes to the Financial Statements.
42
Table of Contents
Barings Global Floating Rate Fund 2021 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS I | ||||||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | 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 | ||||||||||||||||
Per Common Share Data |
| |||||||||||||||||||
Net asset value, beginning of year | $ | 8.58 | $ | 9.28 | $ | 9.50 | $ | 9.56 | $ | 9.15 | ||||||||||
Income from investment operations: |
| |||||||||||||||||||
Net investment income (1) | 0.38 | 0.43 | 0.47 | 0.46 | 0.47 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.83 | (0.66 | ) | (0.18 | ) | (0.06 | ) | 0.40 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total increase (decrease) from investment operations | 1.21 | (0.23 | ) | 0.29 | 0.40 | 0.87 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: |
| |||||||||||||||||||
From net investment income | (0.36 | ) | (0.36 | ) | (0.47 | ) | (0.41 | ) | (0.32 | ) | ||||||||||
From net realized gain | – | (0.03 | ) | (0.04 | ) | – | – | |||||||||||||
From return of capital | – | (0.08 | ) | – | (0.05 | ) | (0.14 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.36 | ) | (0.47 | ) | (0.51 | ) | (0.46 | ) | (0.46 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, at end of year | $ | 9.43 | $ | 8.58 | $ | 9.28 | $ | 9.50 | $ | 9.56 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment return (2) | 14.19 | % | (2.47 | )% | 3.04 | % | 4.28 | % | 9.74 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data and Ratios |
| |||||||||||||||||||
Net assets, end of year (000’s) | $ | 64,969 | $ | 39,483 | $ | 32,531 | $ | 18,370 | $ | 19,733 | ||||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 0.92 | % | 0.92 | % | 0.94 | % | 1.03 | % | 1.16 | % | ||||||||||
Ratio of net expenses to average net assets (3) | 0.75 | % | 0.75 | % | 0.75 | % | 0.71 | %(4) | 0.75 | % | ||||||||||
Ratio of net investment income to average net assets | 4.15 | % | 4.87 | % | 5.01 | % | 4.78 | % | 4.90 | % | ||||||||||
Portfolio turnover rate | 42.78 | % | 37.23 | % | 46.51 | % | 57.74 | % | 47.06 | % |
(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.
43
Table of Contents
Barings Global Floating Rate Fund 2021 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS Y | ||||||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | 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 | ||||||||||||||||
Per Common Share Data |
| |||||||||||||||||||
Net asset value, beginning of year | $ | 8.58 | $ | 9.27 | $ | 9.50 | $ | 9.56 | $ | 9.15 | ||||||||||
Income from investment operations: |
| |||||||||||||||||||
Net investment income (1) | 0.37 | 0.44 | 0.47 | 0.46 | 0.47 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.83 | (0.66 | ) | (0.19 | ) | (0.06 | ) | 0.40 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total increase (decrease) from investment operations | 1.20 | (0.22 | ) | 0.28 | 0.40 | 0.87 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: |
| |||||||||||||||||||
From net investment income | (0.36 | ) | (0.36 | ) | (0.47 | ) | (0.41 | ) | (0.32 | ) | ||||||||||
From net realized gain | – | (0.03 | ) | (0.04 | ) | – | – | |||||||||||||
From return of capital | – | (0.08 | ) | – | (0.05 | ) | (0.14 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.36 | ) | (0.47 | ) | (0.51 | ) | (0.46 | ) | (0.46 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, at end of year | $ | 9.42 | $ | 8.58 | $ | 9.27 | $ | 9.50 | $ | 9.56 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment return (2) | 14.19 | % | (2.54 | )% | 3.03 | % | 4.27 | % | 9.73 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data and Ratios |
| |||||||||||||||||||
Net assets, end of year (000’s) | $ | 256,020 | $ | 131,302 | $ | 187,887 | $ | 172,736 | $ | 122,736 | ||||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 0.95 | % | 0.99 | % | 0.96 | % | 1.01 | % | 1.14 | % | ||||||||||
Ratio of net expenses to average net assets (3) | 0.75 | % | 0.75 | % | 0.75 | % | 0.71 | %(4) | 0.75 | % | ||||||||||
Ratio of net investment income to average net assets | 4.08 | % | 4.89 | % | 4.99 | % | 4.79 | % | 4.90 | % | ||||||||||
Portfolio turnover rate | 42.78 | % | 37.23 | % | 46.51 | % | 57.74 | % | 47.06 | % |
(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.
44
Table of Contents
Barings Global Credit Income Opportunities Fund 2021 Annual Report
FINANCIAL HIGHLIGHTS
CLASS A | ||||||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | 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 | ||||||||||||||||
Per Common Share Data |
| |||||||||||||||||||
Net asset value, beginning of year | $ | 8.14 | $ | 8.93 | $ | 9.32 | $ | 9.51 | $ | 8.80 | ||||||||||
Income from investment operations: |
| |||||||||||||||||||
Net investment income (1) | 0.48 | 0.46 | 0.50 | 0.49 | 0.55 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.90 | (0.79 | ) | (0.30 | ) | (0.19 | ) | 0.71 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total increase (decrease) from investment operations | 1.38 | (0.33 | ) | 0.20 | 0.30 | 1.26 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: |
| |||||||||||||||||||
From net investment income | (0.44 | ) | (0.40 | ) | (0.48 | ) | (0.47 | ) | (0.50 | ) | ||||||||||
From net realized gain | – | – | (0.10 | ) | – | – | ||||||||||||||
From return of capital | – | (0.06 | ) | (0.01 | ) | (0.02 | ) | (0.05 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.44 | ) | (0.46 | ) | (0.59 | ) | (0.49 | ) | (0.55 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, at end of year | $ | 9.08 | $ | 8.14 | $ | 8.93 | $ | 9.32 | $ | 9.51 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment return (2) | 17.18 | % | (3.69 | )% | 2.39 | % | 3.24 | % | 14.61 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data and Ratios |
| |||||||||||||||||||
Net assets, end of year (000’s) | $ | 9,795 | $ | 44,860 | $ | 51,205 | $ | 60,507 | $ | 26,904 | ||||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.39 | % | 1.32 | % | 1.36 | % | 1.38 | % | 1.56 | % | ||||||||||
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 | 5.65 | % | 5.35 | % | 5.46 | % | 5.17 | % | 5.83 | % | ||||||||||
Portfolio turnover rate | 71.11 | % | 64.23 | % | 58.78 | % | 52.29 | % | 48.69 | % |
(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.
45
Table of Contents
Barings Global Credit Income Opportunities Fund 2021 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS C | ||||||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | 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 | ||||||||||||||||
Per Common Share Data |
| |||||||||||||||||||
Net asset value, beginning of year | $ | 8.13 | $ | 8.92 | $ | 9.31 | $ | 9.50 | $ | 8.79 | ||||||||||
Income from investment operations: |
| |||||||||||||||||||
Net investment income (1) | 0.39 | 0.39 | 0.43 | 0.42 | 0.48 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.93 | (0.78 | ) | (0.29 | ) | (0.19 | ) | 0.71 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total increase (decrease) from investment operations | 1.32 | (0.39 | ) | 0.14 | 0.23 | 1.19 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: |
| |||||||||||||||||||
From net investment income | (0.37 | ) | (0.35 | ) | (0.42 | ) | (0.40 | ) | (0.43 | ) | ||||||||||
From net realized gain | – | – | (0.10 | ) | – | – | ||||||||||||||
From return of capital | – | (0.05 | ) | (0.01 | ) | (0.02 | ) | (0.05 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.37 | ) | (0.40 | ) | (0.53 | ) | (0.42 | ) | (0.48 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, at end of year | $ | 9.08 | $ | 8.13 | $ | 8.92 | $ | 9.31 | $ | 9.50 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment return (2) | 16.42 | % | (4.41 | )% | 1.63 | % | 2.47 | % | 13.75 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data and Ratios |
| |||||||||||||||||||
Net assets, end of year (000’s) | $ | 5,846 | $ | 7,421 | $ | 8,462 | $ | 8,842 | $ | 6,628 | ||||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 2.19 | % | 2.18 | % | 2.21 | % | 2.21 | % | 2.39 | % | ||||||||||
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 | 4.49 | % | 4.60 | % | 4.73 | % | 4.44 | % | 5.12 | % | ||||||||||
Portfolio turnover rate | 71.11 | % | 64.23 | % | 58.78 | % | 52.29 | % | 48.69 | % |
(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 1.95% as a percentage of average daily net assets. |
See accompanying Notes to the Financial Statements.
46
Table of Contents
Barings Global Credit Income Opportunities Fund 2021 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS I | ||||||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | 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 | ||||||||||||||||
Per Common Share Data |
| |||||||||||||||||||
Net asset value, beginning of year | $ | 8.14 | $ | 8.93 | $ | 9.32 | $ | 9.50 | $ | 8.80 | ||||||||||
Income from investment operations: |
| |||||||||||||||||||
Net investment income (1) | 0.48 | 0.48 | 0.52 | 0.51 | 0.58 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.92 | (0.79 | ) | (0.29 | ) | (0.18 | ) | 0.70 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total increase (decrease) from investment operations | 1.40 | (0.31 | ) | 0.23 | 0.33 | 1.28 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: |
| |||||||||||||||||||
From net investment income | (0.46 | ) | (0.41 | ) | (0.51 | ) | (0.49 | ) | (0.52 | ) | ||||||||||
From net realized gain | – | – | (0.10 | ) | – | – | ||||||||||||||
From return of capital | – | (0.07 | ) | (0.01 | ) | (0.02 | ) | (0.06 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.46 | ) | (0.48 | ) | (0.62 | ) | (0.51 | ) | (0.58 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, at end of year | $ | 9.08 | $ | 8.14 | $ | 8.93 | $ | 9.32 | $ | 9.50 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment return (2) | 17.51 | % | (3.45 | )% | 2.65 | % | 3.49 | % | 14.90 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data and Ratios |
| |||||||||||||||||||
Net assets, end of year (000’s) | $ | 21,492 | $ | 21,606 | $ | 23,203 | $ | 21,788 | $ | 22,228 | ||||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.08 | % | 1.07 | % | 1.09 | % | 1.13 | % | 1.27 | % | ||||||||||
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 | 5.50 | % | 5.60 | % | 5.69 | % | 5.45 | % | 6.22 | % | ||||||||||
Portfolio turnover rate | 71.11 | % | 64.23 | % | 58.78 | % | 52.29 | % | 48.69 | % |
(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.
47
Table of Contents
Barings Global Credit Income Opportunities Fund 2021 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS Y | ||||||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | 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 | ||||||||||||||||
Per Common Share Data |
| |||||||||||||||||||
Net asset value, beginning of year | $ | 8.14 | $ | 8.93 | $ | 9.31 | $ | 9.50 | $ | 8.80 | ||||||||||
Income from investment operations: |
| |||||||||||||||||||
Net investment income (1) | 0.47 | 0.48 | 0.52 | 0.51 | 0.57 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.93 | (0.79 | ) | (0.28 | ) | (0.19 | ) | 0.71 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total increase (decrease) from investment operations | 1.40 | (0.31 | ) | 0.24 | 0.32 | 1.28 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: |
| |||||||||||||||||||
From net investment income | (0.46 | ) | (0.41 | ) | (0.51 | ) | (0.49 | ) | (0.52 | ) | ||||||||||
From net realized gain | – | – | (0.10 | ) | – | – | ||||||||||||||
From return of capital | – | (0.07 | ) | (0.01 | ) | (0.02 | ) | (0.06 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.46 | ) | (0.48 | ) | (0.62 | ) | (0.51 | ) | (0.58 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, at end of year | $ | 9.08 | $ | 8.14 | $ | 8.93 | $ | 9.31 | $ | 9.50 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment return (2) | 17.52 | % | (3.44 | )% | 2.64 | % | 3.48 | % | 14.90 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data and Ratios |
| |||||||||||||||||||
Net assets, end of year (000’s) | $ | 173,113 | $ | 90,254 | $ | 129,621 | $ | 140,362 | $ | 96,014 | ||||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.12 | % | 1.10 | % | 1.12 | % | 1.14 | % | 1.28 | % | ||||||||||
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 | 5.35 | % | 5.60 | % | 5.71 | % | 5.43 | % | 6.14 | % | ||||||||||
Portfolio turnover rate | 71.11 | % | 64.23 | % | 58.78 | % | 52.29 | % | 48.69 | % |
(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.
48
Table of Contents
Barings Active Short Duration Bond Fund 2021 Annual Report
FINANCIAL HIGHLIGHTS
CLASS A | ||||||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | 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 | ||||||||||||||||
Per Common Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 9.50 | $ | 9.94 | $ | 9.88 | $ | 10.01 | $ | 9.98 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (1) | 0.20 | 0.27 | 0.27 | 0.21 | 0.17 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.43 | (0.44 | ) | 0.08 | (0.10 | ) | 0.03 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total increase (decrease) from investment operations | 0.63 | (0.17 | ) | 0.35 | 0.11 | 0.20 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: | ||||||||||||||||||||
From net investment income | (0.19 | ) | (0.27 | ) | (0.27 | ) | (0.21 | ) | (0.17 | ) | ||||||||||
From net realized gain | – | – | (0.02 | ) | (0.03 | ) | (0.00 | )(2) | ||||||||||||
From return of capital | (0.01 | ) | – | – | – | – | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.20 | ) | (0.27 | ) | (0.29 | ) | (0.24 | ) | (0.17 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, at end of year | $ | 9.93 | $ | 9.50 | $ | 9.94 | $ | 9.88 | $ | 10.01 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment return (3) | 6.75 | % | (1.68 | )% | 3.52 | % | 1.10 | % | 2.12 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data and Ratios | ||||||||||||||||||||
Net assets, end of year (000’s) | $ | 49,256 | $ | 43,022 | $ | 135,981 | $ | 177,020 | $ | 119,189 | ||||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 0.90 | % | 0.85 | % | 0.90 | % | 0.94 | % | 1.06 | % | ||||||||||
Ratio of net expenses to average net assets (4) | 0.65 | % | 0.65 | % | 0.65 | % | 0.65 | % | 0.65 | % | ||||||||||
Ratio of net investment income to average net assets | 2.09 | % | 2.81 | % | 2.75 | % | 2.15 | % | 1.72 | % | ||||||||||
Portfolio turnover rate | 63.82 | % | 58.11 | % | 43.15 | % | 53.33 | % | 88.52 | % |
(1) | Calculated using average shares outstanding. |
(2) | Amount rounds to less than $.01 per share. |
(3) | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(4) | 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.
49
Table of Contents
Barings Active Short Duration Bond Fund 2021 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS C | ||||||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | 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 | ||||||||||||||||
Per Common Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 9.49 | $ | 9.93 | $ | 9.87 | $ | 10.01 | $ | 9.97 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (1) | 0.19 | 0.25 | 0.25 | 0.19 | 0.19 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.42 | (0.44 | ) | 0.08 | (0.11 | ) | 0.05 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total increase (decrease) from investment operations | 0.61 | (0.19 | ) | 0.33 | 0.08 | 0.24 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: | ||||||||||||||||||||
From net investment income | (0.17 | ) | (0.25 | ) | (0.25 | ) | (0.19 | ) | (0.20 | ) | ||||||||||
From net realized gain | – | – | (0.02 | ) | (0.03 | ) | (0.00 | )(2) | ||||||||||||
From return of capital | (0.01 | ) | – | – | – | – | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.18 | ) | (0.25 | ) | (0.27 | ) | (0.22 | ) | (0.20 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, at end of year | $ | 9.92 | $ | 9.49 | $ | 9.93 | $ | 9.87 | $ | 10.01 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment return (3) | 6.54 | % | (1.96 | )% | 3.23 | % | 0.84 | % | 2.41 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data and Ratios | ||||||||||||||||||||
Net assets, end of year (000’s) | $ | 1,411 | $ | 2,498 | $ | 1,178 | $ | 1,139 | $ | 236 | ||||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.36 | % | 1.41 | % | 1.70 | % | 1.95 | % | 3.09 | %(4) | ||||||||||
Ratio of net expenses to average net assets (5) | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.40 | %(4) | ||||||||||
Ratio of net investment income to average net assets | 1.90 | % | 2.56 | % | 2.51 | % | 1.92 | % | 1.94 | %(4) | ||||||||||
Portfolio turnover rate | 63.82 | % | 58.11 | % | 43.15 | % | 53.33 | % | 88.52 | % |
(1) | Calculated using average shares outstanding. |
(2) | Amount rounds to less than $.01 per share. |
(3) | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(4) | 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. |
(5) | The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 0.90% as a percentage of average daily net assets. |
See accompanying Notes to the Financial Statements.
50
Table of Contents
Barings Active Short Duration Bond Fund 2021 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS Y | ||||||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | 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 | ||||||||||||||||
Per Common Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 9.49 | $ | 9.93 | $ | 9.87 | $ | 10.01 | $ | 9.97 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (1) | 0.23 | 0.30 | 0.30 | 0.24 | 0.20 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.43 | (0.44 | ) | 0.07 | (0.11 | ) | 0.04 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total increase (decrease) from investment operations | 0.66 | (0.14 | ) | 0.37 | 0.13 | 0.24 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: | ||||||||||||||||||||
From net investment income | (0.22 | ) | (0.30 | ) | (0.29 | ) | (0.24 | ) | (0.20 | ) | ||||||||||
From net realized gain | – | – | (0.02 | ) | (0.03 | ) | (0.00 | )(2) | ||||||||||||
From return of capital | (0.01 | ) | – | – | – | – | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.23 | ) | (0.30 | ) | (0.31 | ) | (0.27 | ) | (0.20 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, at end of year | $ | 9.92 | $ | 9.49 | $ | 9.93 | $ | 9.87 | $ | 10.01 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment return (3) | 7.00 | % | (1.45 | )% | 3.78 | % | 1.35 | % | 2.38 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data and Ratios | ||||||||||||||||||||
Net assets, end of year (000’s) | $ | 929,670 | $ | 656,611 | $ | 578,272 | $ | 252,325 | $ | 204,464 | ||||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 0.63 | % | 0.63 | % | 0.61 | % | 0.70 | % | 0.82 | % | ||||||||||
Ratio of net expenses to average net assets (4) | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | ||||||||||
Ratio of net investment income to average net assets | 2.31 | % | 3.06 | % | 3.06 | % | 2.39 | % | 1.97 | % | ||||||||||
Portfolio turnover rate | 63.82 | % | 58.11 | % | 43.15 | % | 53.33 | % | 88.52 | % |
(1) | Calculated using average shares outstanding. |
(2) | Amount rounds to less than $.01 per share. |
(3) | Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. |
(4) | 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.
51
Table of Contents
Barings Active Short Duration Bond Fund 2021 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS L | ||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | PERIOD FROM MAY 1, 2020 THROUGH JUNE 30, 2020 (1) | |||||||
Per Common Share Data | ||||||||
Net asset value, beginning of year | $ | 9.50 | $ | 9.21 | ||||
Income from investment operations: | ||||||||
Net investment income (2) | 0.21 | 0.05 | ||||||
Net realized and unrealized gain | 0.42 | 0.28 | ||||||
|
|
|
| |||||
Total increase from investment operations | 0.63 | 0.33 | ||||||
|
|
|
| |||||
Less dividends and distributions: | ||||||||
From net investment income | (0.19 | ) | (0.04 | ) | ||||
From return of capital | (0.01 | ) | – | |||||
|
|
|
| |||||
Total dividends and distributions | (0.20 | ) | (0.04 | ) | ||||
|
|
|
| |||||
Net asset value, at end of year | $ | 9.93 | $ | 9.50 | ||||
|
|
|
| |||||
Total investment return (3) | 6.75 | % | 3.52 | %(4) | ||||
|
|
|
| |||||
Supplemental Data and Ratios | ||||||||
Net assets, end of year (000’s) | $ | 86,323 | $ | 101,272 | ||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 0.89 | % | 0.92 | %(5) | ||||
Ratio of net expenses to average net assets (6) | 0.65 | % | 0.65 | %(5) | ||||
Ratio of net investment income to average net assets | 2.11 | % | 3.17 | %(5) | ||||
Portfolio turnover rate | 63.82 | % | 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.
52
Table of Contents
Barings Emerging Markets Debt Blended Total Return Fund 2021 Annual Report
FINANCIAL HIGHLIGHTS
CLASS A | ||||||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | 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 | ||||||||||||||||
Per Common Share Data |
| |||||||||||||||||||
Net asset value, beginning of year | $ | 10.42 | $ | 10.06 | $ | 9.51 | $ | 10.55 | $ | 9.90 | ||||||||||
Income from investment operations: |
| |||||||||||||||||||
Net investment income (1) | 0.51 | 0.60 | 0.55 | 0.45 | 0.42 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.84 | 0.38 | 0.60 | (0.64 | ) | 0.73 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total increase (decrease) from investment operations | 1.35 | 0.98 | 1.15 | (0.19 | ) | 1.15 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: |
| |||||||||||||||||||
From net investment income | (0.58 | ) | (0.62 | ) | (0.55 | ) | (0.55 | ) | (0.50 | ) | ||||||||||
From net realized gain | (0.20 | ) | – | – | (0.30 | ) | – | |||||||||||||
From return of capital | – | – | (0.05 | ) | – | – | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.78 | ) | (0.62 | ) | (0.60 | ) | (0.85 | ) | (0.50 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, at end of year | $ | 10.99 | $ | 10.42 | $ | 10.06 | $ | 9.51 | $ | 10.55 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment return (2) | 13.32 | % | 10.11 | % | 12.59 | % | (2.21 | )% | 11.94 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data and Ratios |
| |||||||||||||||||||
Net assets, end of year (000’s) | $ | 17,491 | $ | 6,443 | $ | 405 | $ | 566 | $ | 211 | ||||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.73 | % | 2.08 | % | 3.19 | % | 3.63 | % | 5.77 | % | ||||||||||
Ratio of net expenses to average net assets (3) | 1.20 | % | 1.20 | % | 1.02 | %(4) | 1.11 | %(4) | 1.15 | %(4) | ||||||||||
Ratio of net investment income to average net assets | 4.71 | % | 6.21 | % | 5.74 | % | 4.33 | % | 4.17 | % | ||||||||||
Portfolio turnover rate | 51.81 | % | 126.54 | % | 89.98 | % | 51.95 | % | 55.66 | % |
(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. |
(4) | Net expenses reflect a voluntary expense reimbursement to prevent a negative yield. |
See accompanying Notes to the Financial Statements.
53
Table of Contents
Barings Emerging Markets Debt Blended Total Return Fund 2021 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS C | ||||||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | 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 | ||||||||||||||||
Per Common Share Data |
| |||||||||||||||||||
Net asset value, beginning of year | $ | 10.42 | $ | 10.06 | $ | 9.51 | $ | 10.55 | $ | 9.90 | ||||||||||
Income from investment operations: |
| |||||||||||||||||||
Net investment income (1) | 0.43 | 0.60 | 0.49 | 0.48 | 0.35 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.83 | 0.31 | 0.59 | (0.74 | ) | 0.73 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total increase (decrease) from investment operations | 1.26 | 0.91 | 1.08 | (0.26 | ) | 1.08 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: |
| |||||||||||||||||||
From net investment income | (0.49 | ) | (0.55 | ) | (0.48 | ) | (0.48 | ) | (0.43 | ) | ||||||||||
From net realized gain | (0.20 | ) | – | – | (0.30 | ) | – | |||||||||||||
From return of capital | – | – | (0.05 | ) | – | – | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.69 | ) | (0.55 | ) | (0.53 | ) | (0.78 | ) | (0.43 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, at end of year | $ | 10.99 | $ | 10.42 | $ | 10.06 | $ | 9.51 | $ | 10.55 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment return (2) | 12.51 | % | 9.28 | % | 11.78 | % | (2.90 | )% | 11.11 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data and Ratios |
| |||||||||||||||||||
Net assets, end of year (000’s) | $ | 463 | $ | 225 | $ | 261 | $ | 277 | $ | 222 | ||||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 4.40 | % | 5.29 | % | 5.02 | % | 5.85 | % | 6.47 | % | ||||||||||
Ratio of net expenses to average net assets (3) | 1.95 | % | 1.95 | % | 1.71 | %(4) | 1.85 | %(4) | 1.89 | %(4) | ||||||||||
Ratio of net investment income to average net assets | 3.98 | % | 6.09 | % | 5.14 | % | 4.63 | % | 3.44 | % | ||||||||||
Portfolio turnover rate | 51.81 | % | 126.54 | % | 89.98 | % | 51.95 | % | 55.66 | % |
(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. |
(4) | Net expenses reflect a voluntary expense reimbursement to prevent a negative yield. |
See accompanying Notes to the Financial Statements.
54
Table of Contents
Barings Emerging Markets Debt Blended Total Return Fund 2021 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS I | ||||||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | 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 | ||||||||||||||||
Per Common Share Data |
| |||||||||||||||||||
Net asset value, beginning of year | $ | 10.43 | $ | 10.06 | $ | 9.51 | $ | 10.55 | $ | 9.90 | ||||||||||
Income from investment operations: |
| |||||||||||||||||||
Net investment income (1) | 0.57 | 0.69 | 0.59 | 0.54 | 0.45 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.80 | 0.32 | 0.58 | (0.70 | ) | 0.73 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total increase (decrease) from investment operations | 1.37 | 1.01 | 1.17 | (0.16 | ) | 1.18 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: |
| |||||||||||||||||||
From net investment income | (0.60 | ) | (0.64 | ) | (0.57 | ) | (0.58 | ) | (0.53 | ) | ||||||||||
From net realized gain | (0.20 | ) | – | – | (0.30 | ) | – | |||||||||||||
From return of capital | – | – | (0.05 | ) | – | – | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.80 | ) | (0.64 | ) | (0.62 | ) | (0.88 | ) | (0.53 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, at end of year | $ | 11.00 | $ | 10.43 | $ | 10.06 | $ | 9.51 | $ | 10.55 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment return (2) | 13.70 | % | 10.39 | % | 12.86 | % | (1.94 | )% | 12.22 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data and Ratios |
| |||||||||||||||||||
Net assets, end of year (000’s) | $ | 1 | $ | 14,563 | $ | 23,964 | $ | 22,650 | $ | 5,063 | ||||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.29 | % | 1.40 | % | 1.44 | % | 1.94 | % | 2.76 | % | ||||||||||
Ratio of net expenses to average net assets (3) | 0.95 | % | 0.95 | % | 0.73 | %(4) | 0.80 | %(4) | 0.90 | %(4) | ||||||||||
Ratio of net investment income to average net assets | 5.26 | % | 6.99 | % | 6.18 | % | 5.31 | % | 4.42 | % | ||||||||||
Portfolio turnover rate | 51.81 | % | 126.54 | % | 89.98 | % | 51.95 | % | 55.66 | % |
(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. |
(4) | Net expenses reflect a voluntary expense reimbursement to prevent a negative yield. |
See accompanying Notes to the Financial Statements.
55
Table of Contents
Barings Emerging Markets Debt Blended Total Return Fund 2021 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS Y | ||||||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | 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 | ||||||||||||||||
Per Common Share Data |
| |||||||||||||||||||
Net asset value, beginning of year | $ | 10.42 | $ | 10.06 | $ | 9.51 | $ | 10.55 | $ | 9.90 | ||||||||||
Income from investment operations: |
| |||||||||||||||||||
Net investment income (1) | 0.53 | 0.67 | 0.59 | 0.55 | 0.45 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.84 | 0.33 | 0.58 | (0.71 | ) | 0.73 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total increase (decrease) from investment operations | 1.37 | 1.00 | 1.17 | (0.16 | ) | 1.18 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: |
| |||||||||||||||||||
From net investment income | (0.60 | ) | (0.64 | ) | (0.57 | ) | (0.58 | ) | (0.53 | ) | ||||||||||
From net realized gain | (0.20 | ) | – | – | (0.30 | ) | – | |||||||||||||
From return of capital | – | – | (0.05 | ) | – | – | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.80 | ) | (0.64 | ) | (0.62 | ) | (0.88 | ) | (0.53 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, at end of year | $ | 10.99 | $ | 10.42 | $ | 10.06 | $ | 9.51 | $ | 10.55 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment return (2) | 13.61 | % | 10.33 | % | 12.86 | % | (1.94 | )% | 12.22 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data and Ratios |
| |||||||||||||||||||
Net assets, end of year (000’s) | $ | 111,221 | $ | 33,429 | $ | 25,805 | $ | 23,122 | $ | 5,340 | ||||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.34 | % | 1.42 | % | 1.44 | % | 1.95 | % | 2.77 | % | ||||||||||
Ratio of net expenses to average net assets (3) | 0.95 | % | 0.95 | % | 0.72 | %(4) | 0.80 | %(4) | 0.90 | %(4) | ||||||||||
Ratio of net investment income to average net assets | 4.90 | % | 6.84 | % | 6.19 | % | 5.38 | % | 4.43 | % | ||||||||||
Portfolio turnover rate | 51.81 | % | 126.54 | % | 89.98 | % | 51.95 | % | 55.66 | % |
(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. |
(4) | Net expenses reflect a voluntary expense reimbursement to prevent a negative yield. |
See accompanying Notes to the Financial Statements.
56
Table of Contents
Barings Global Emerging Markets Equity Fund 2021 Annual Report
FINANCIAL HIGHLIGHTS
CLASS A | ||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | 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 | $ | 10.36 | $ | 11.10 | $ | 10.00 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (2) | 0.15 | 0.15 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 3.19 | (0.57 | ) | 1.04 | ||||||||
|
|
|
|
|
| |||||||
Total increase (decrease) from investment operations | 3.34 | (0.42 | ) | 1.10 | ||||||||
|
|
|
|
|
| |||||||
Less dividends and distributions: | ||||||||||||
From net investment income | (0.09 | ) | (0.20 | ) | – | |||||||
From net realized gain | – | (0.11 | ) | – | ||||||||
From return of capital | – | (0.01 | ) | – | ||||||||
|
|
|
|
|
| |||||||
Total dividends and distributions | (0.09 | ) | (0.32 | ) | – | |||||||
|
|
|
|
|
| |||||||
Net asset value, at end of year | $ | 13.61 | $ | 10.36 | $ | 11.10 | ||||||
|
|
|
|
|
| |||||||
Total investment return (3) | 32.40 | % | (4.02 | )% | 11.04 | %(4) | ||||||
|
|
|
|
|
| |||||||
Supplemental Data and Ratios | ||||||||||||
Net assets, end of year (000’s) | $ | 136 | $ | 104 | $ | 111 | ||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 6.21 | % | 9.06 | % | 7.43 | %(5) | ||||||
Ratio of net expenses to average net assets (6) | 1.24 | % | 1.45 | %(7) | 1.45 | %(5)(7) | ||||||
Ratio of net investment income to average net assets | 1.14 | % | 1.46 | % | 0.73 | %(5) | ||||||
Portfolio turnover rate | 37.43 | % | 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) | As of November 5, 2020, 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 1.15% as a percentage of average daily net assets. Prior to this date, the Adviser had agreed to waive and/or reimburse certain fees and/or expenses so that, on an annualized basis, such expenses would have not exceeded 1.45% as a percentage of 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.
57
Table of Contents
Barings Global Emerging Markets Equity Fund 2021 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS C | ||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | 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 | $ | 10.32 | $ | 11.04 | $ | 10.00 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (2) | 0.05 | 0.07 | 0.00 | (3) | ||||||||
Net realized and unrealized gain (loss) | 3.18 | (0.57 | ) | 1.04 | ||||||||
|
|
|
|
|
| |||||||
Total increase (decrease) from investment operations | 3.23 | (0.50 | ) | 1.04 | ||||||||
|
|
|
|
|
| |||||||
Less dividends and distributions: | ||||||||||||
From net investment income | (0.05 | ) | (0.10 | ) | – | |||||||
From net realized gain | – | (0.11 | ) | – | ||||||||
From return of capital | – | (0.01 | ) | – | ||||||||
|
|
|
|
|
| |||||||
Total dividends and distributions | (0.05 | ) | (0.22 | ) | – | |||||||
|
|
|
|
|
| |||||||
Net asset value, at end of year | $ | 13.50 | $ | 10.32 | $ | 11.04 | ||||||
|
|
|
|
|
| |||||||
Total investment return (4) | 31.41 | % | (4.74 | )% | 10.39 | %(5) | ||||||
|
|
|
|
|
| |||||||
Supplemental Data and Ratios | ||||||||||||
Net assets, end of year (000’s) | $ | 135 | $ | 103 | $ | 110 | ||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 7.30 | % | 9.82 | % | 8.19 | %(6) | ||||||
Ratio of net expenses to average net assets (7) | 1.99 | % | 2.20 | %(8) | 2.20 | %(6)(8) | ||||||
Ratio of net investment income (loss) to average net assets | 0.39 | % | 0.71 | % | (0.03 | )%(6) | ||||||
Portfolio turnover rate | 37.43 | % | 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) | As of November 5, 2020, 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 1.90% as a percentage of average daily net assets. Prior to this date, the Adviser had agreed to waive and/or reimburse certain fees and/or expenses so that, on an annualized basis, such expenses would have not exceeded 2.20% as a percentage of net assets. |
(8) | Ratio of net expenses to average net assets does not include expenses of the underlying fund in which the Fund invests. |
See accompanying Notes to the Financial Statements.
58
Table of Contents
Barings Global Emerging Markets Equity Fund 2021 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS I | ||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | 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 | $ | 10.38 | $ | 11.13 | $ | 10.00 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (2) | 0.18 | 0.18 | 0.08 | |||||||||
Net realized and unrealized gain (loss) | 3.20 | (0.58 | ) | 1.05 | ||||||||
|
|
|
|
|
| |||||||
Total increase (decrease) from investment operations | 3.38 | (0.40 | ) | 1.13 | ||||||||
|
|
|
|
|
| |||||||
Less dividends and distributions: | ||||||||||||
From net investment income | (0.11 | ) | (0.22 | ) | – | |||||||
From net realized gain | – | (0.11 | ) | – | ||||||||
From return of capital | – | (0.02 | ) | – | ||||||||
|
|
|
|
|
| |||||||
Total dividends and distributions | (0.11 | ) | (0.35 | ) | – | |||||||
|
|
|
|
|
| |||||||
Net asset value, at end of year | $ | 13.65 | $ | 10.38 | $ | 11.13 | ||||||
|
|
|
|
|
| |||||||
Total investment return (3) | 32.74 | % | (3.78 | )% | 11.26 | %(4) | ||||||
|
|
|
|
|
| |||||||
Supplemental Data and Ratios | ||||||||||||
Net assets, end of year (000’s) | $ | 6,689 | $ | 5,085 | $ | 5,452 | ||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 3.17 | % | 2.96 | % | 2.94 | %(5) | ||||||
Ratio of net expenses to average net assets (6) | 0.99 | % | 1.20 | %(7) | 1.20 | %(5)(7) | ||||||
Ratio of net investment income to average net assets | 1.39 | % | 1.71 | % | 0.98 | %(5) | ||||||
Portfolio turnover rate | 37.43 | % | 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) | As of November 5, 2020, 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. Prior to this date, the Adviser had agreed to waive and/or reimburse certain fees and/or expenses so that, on an annualized basis, such expenses would have not exceeded 1.20% as a percentage of 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.
59
Table of Contents
Barings Global Emerging Markets Equity Fund 2021 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS Y | ||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | 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 | $ | 10.38 | $ | 11.13 | $ | 10.00 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (2) | 0.18 | 0.18 | 0.08 | |||||||||
Net realized and unrealized gain (loss) | 3.20 | (0.58 | ) | 1.05 | ||||||||
|
|
|
|
|
| |||||||
Total increase (decrease) from investment operations | 3.38 | (0.40 | ) | 1.13 | ||||||||
|
|
|
|
|
| |||||||
Less dividends and distributions: | ||||||||||||
From net investment income | (0.11 | ) | (0.22 | ) | – | |||||||
From net realized gain | – | (0.11 | ) | – | ||||||||
From return of capital | – | (0.02 | ) | – | ||||||||
|
|
|
|
|
| |||||||
Total dividends and distributions | (0.11 | ) | (0.35 | ) | – | |||||||
|
|
|
|
|
| |||||||
Net asset value, at end of year | $ | 13.65 | $ | 10.38 | $ | 11.13 | ||||||
|
|
|
|
|
| |||||||
Total investment return (3) | 32.74 | % | (3.78 | )% | 11.26 | %(4) | ||||||
|
|
|
|
|
| |||||||
Supplemental Data and Ratios | ||||||||||||
Net assets, end of year (000’s) | $ | 6,765 | $ | 5,085 | $ | 5,452 | ||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 3.17 | % | 2.96 | % | 2.94 | %(5) | ||||||
Ratio of net expenses to average net assets (6) | 0.99 | % | 1.20 | %(7) | 1.20 | %(5)(7) | ||||||
Ratio of net investment income to average net assets | 1.40 | % | 1.71 | % | 0.98 | %(5) | ||||||
Portfolio turnover rate | 37.43 | % | 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) | As of November 5, 2020, 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. Prior to this date, the Adviser had agreed to waive and/or reimburse certain fees and/or expenses so that, on an annualized basis, such expenses would have not exceeded 1.20% as a percentage of 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.
60
Table of Contents
Barings U.S. High Yield Fund 2021 Annual Report
FINANCIAL HIGHLIGHTS
CLASS C | ||||||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | 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 | ||||||||||||||||
Per Common Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 8.91 | $ | 9.79 | $ | 9.82 | $ | 10.59 | $ | 10.14 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (1) | 0.42 | 0.45 | 0.51 | 0.53 | 0.58 | |||||||||||||||
Net realized and unrealized gain (loss) | 1.03 | (0.87 | ) | (0.03 | ) | (0.47 | ) | 0.64 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total increase (decrease) from investment operations | 1.45 | (0.42 | ) | 0.48 | 0.06 | 1.22 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: | ||||||||||||||||||||
From net investment income | (0.42 | ) | (0.46 | ) | (0.51 | ) | (0.53 | ) | (0.58 | ) | ||||||||||
From net realized gain | – | – | – | (0.30 | ) | (0.19 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.42 | ) | (0.46 | ) | (0.51 | ) | (0.83 | ) | (0.77 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, at end of year | $ | 9.94 | $ | 8.91 | $ | 9.79 | $ | 9.82 | $ | 10.59 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment return (2) | 16.49 | % | (4.39 | )% | 5.03 | % | 0.61 | % | 12.24 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data and Ratios | ||||||||||||||||||||
Net assets, end of year (000’s) | $ | 99 | $ | 89 | $ | 98 | $ | 98 | $ | 118 | ||||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 7.69 | % | 7.31 | % | 7.14 | % | 6.43 | % | 6.18 | % | ||||||||||
Ratio of net expenses to average net assets (3) | 1.75 | % | 1.75 | % | 1.75 | % | 1.75 | % | 1.75 | % | ||||||||||
Ratio of net investment income to average net assets | 4.37 | % | 4.78 | % | 5.27 | % | 5.17 | % | 5.50 | % | ||||||||||
Portfolio turnover rate | 74.68 | % | 80.66 | % | 55.98 | % | 43.75 | % | 71.57 | % |
(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 1.75% as a percentage of average daily net assets. |
See accompanying Notes to the Financial Statements.
61
Table of Contents
Barings U.S. High Yield Fund 2021 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS I | ||||||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | 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 | ||||||||||||||||
Per Common Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 8.91 | $ | 9.79 | $ | 9.82 | $ | 10.59 | $ | 10.14 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (1) | 0.51 | 0.55 | 0.61 | 0.63 | 0.68 | |||||||||||||||
Net realized and unrealized gain (loss) | 1.03 | (0.87 | ) | (0.03 | ) | (0.47 | ) | 0.64 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total increase (decrease) from investment operations | 1.54 | (0.32 | ) | 0.58 | 0.16 | 1.32 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: | ||||||||||||||||||||
From net investment income | (0.51 | ) | (0.56 | ) | (0.61 | ) | (0.63 | ) | (0.68 | ) | ||||||||||
From net realized gain | – | – | – | (0.30 | ) | (0.19 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.51 | ) | (0.56 | ) | (0.61 | ) | (0.93 | ) | (0.87 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, at end of year | $ | 9.94 | $ | 8.91 | $ | 9.79 | $ | 9.82 | $ | 10.59 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment return (2) | 17.66 | % | (3.43 | )% | 6.07 | % | 1.61 | % | 13.36 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data and Ratios | ||||||||||||||||||||
Net assets, end of year (000’s) | $ | 12,324 | $ | 11,046 | $ | 12,135 | $ | 14,816 | $ | 15,720 | ||||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.18 | % | 1.11 | % | 1.11 | % | 1.28 | % | 1.36 | % | ||||||||||
Ratio of net expenses to average net assets (3) | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | ||||||||||
Ratio of net investment income to average net assets | 5.37 | % | 5.78 | % | 6.28 | % | 6.16 | % | 6.50 | % | ||||||||||
Portfolio turnover rate | 74.68 | % | 80.66 | % | 55.98 | % | 43.75 | % | 71.57 | % |
(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. |
See accompanying Notes to the Financial Statements.
62
Table of Contents
Barings U.S. High Yield Fund 2021 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
CLASS Y | ||||||||||||||||||||
FOR THE YEAR ENDED JUNE 30, 2021 | 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 | ||||||||||||||||
Per Common Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 8.91 | $ | 9.79 | $ | 9.82 | $ | 10.58 | $ | 10.14 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (1) | 0.51 | 0.54 | 0.61 | 0.62 | 0.68 | |||||||||||||||
Net realized and unrealized gain (loss) | 1.03 | (0.86 | ) | (0.03 | ) | (0.45 | ) | 0.63 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total increase (decrease) from investment operations | 1.54 | (0.32 | ) | 0.58 | 0.17 | 1.31 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: | ||||||||||||||||||||
From net investment income | (0.51 | ) | (0.56 | ) | (0.61 | ) | (0.63 | ) | (0.68 | ) | ||||||||||
From net realized gain | – | – | – | (0.30 | ) | (0.19 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.51 | ) | (0.56 | ) | (0.61 | ) | (0.93 | ) | (0.87 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, at end of year | $ | 9.94 | $ | 8.91 | $ | 9.79 | $ | 9.82 | $ | 10.58 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment return (2) | 17.65 | % | (3.43 | )% | 6.09 | % | 1.61 | % | 13.35 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data and Ratios | ||||||||||||||||||||
Net assets, end of year (000’s) | $ | 41,296 | $ | 32,992 | $ | 34,695 | $ | 39,176 | $ | 14,631 | ||||||||||
Ratio of total expenses (before reductions and reimbursements) to average net assets | 1.17 | % | 1.10 | % | 1.09 | % | 1.25 | % | 1.36 | % | ||||||||||
Ratio of net expenses to average net assets (3) | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | ||||||||||
Ratio of net investment income to average net assets | 5.37 | % | 5.78 | % | 6.27 | % | 6.09 | % | 6.50 | % | ||||||||||
Portfolio turnover rate | 74.68 | % | 80.66 | % | 55.98 | % | 43.75 | % | 71.57 | % |
(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. |
See accompanying Notes to the Financial Statements.
63
Table of Contents
Barings Global Floating Rate Fund 2021 Annual Report
June 30, 2021
SHARES | COST | FAIR VALUE | ||||||||||||||||||
Equities — 0.5%*: |
| |||||||||||||||||||
Common Stocks — 0.5%*: |
| |||||||||||||||||||
Beverage, Food and Tobacco — 0.1%*: |
| |||||||||||||||||||
CTI Foods Holding Co. LLC(a) | 4,657 | $495,155 | $594,652 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Broadcasting and Entertainment — 0.1%*: |
| |||||||||||||||||||
Technicolor SA(b) | 88,751 | 34,103 | 344,123 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Finance — 0.0%*: |
| |||||||||||||||||||
Travelex Topco Ltd.(a),(b) | 1,622 | – | – | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Healthcare, Education and Childcare — 0.1%*: |
| |||||||||||||||||||
Don Jersey Topco Ltd.(a),(b) | 292,469 | 195,070 | 313,544 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mining, Steel, Iron and Non-Precious Metals — 0.0%*: |
| |||||||||||||||||||
Boomerang Tube LLC(a) | 1,769 | 171,860 | – | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 0.2%*: |
| |||||||||||||||||||
Fieldwood Energy LLC(a) | 602 | 33,429 | 33,429 | |||||||||||||||||
Fieldwood Energy LLC | 6,469 | 226,415 | 7 | |||||||||||||||||
Fieldwood Energy LLC | 26,365 | 568,599 | 26 | |||||||||||||||||
Kelly Topco Ltd.(b) | 7,801 | 327,642 | 643,583 | |||||||||||||||||
Sabine Oil & Gas LLC(a) | 394 | 22,597 | 5,122 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Oil and Gas | 41,631 | 1,178,682 | 682,167 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Common Stocks | 430,899 | 2,074,870 | 1,934,486 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Warrant — 0.0%*: |
| |||||||||||||||||||
Finance — 0.0%*: |
| |||||||||||||||||||
Travelex Topco Ltd.(b) | 285 | – | 30,061 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Equities | 431,184 | 2,074,870 | 1,964,547 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Fixed Income — 92.5%*: |
| |||||||||||||||||||
Bank Loans — 88.5%*(c): |
| |||||||||||||||||||
Aerospace and Defense — 1.3%*: |
| |||||||||||||||||||
AAdvantage Loyalty IP Ltd., 3M LIBOR + 4.750% | 5.50 | % | 4/20/2028 | 1,013,024 | 1,002,894 | 1,055,318 | ||||||||||||||
Peraton Corp., 1M LIBOR + 3.750% | 4.50 | 2/1/2028 | 680,732 | 677,422 | 682,148 | |||||||||||||||
TransDigm, Inc., 3M LIBOR + 2.250% | 2.35 | 12/9/2025 | 1,484,925 | 1,389,348 | 1,461,849 | |||||||||||||||
TransDigm, Inc., 1M LIBOR + 2.250% | 2.35 | 5/30/2025 | 487,538 | 486,159 | 480,313 | |||||||||||||||
United Airlines, Inc., 3M LIBOR + 3.750% | 4.50 | 4/21/2028 | 1,196,059 | 1,199,380 | 1,210,675 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Aerospace and Defense | 4,862,278 | 4,755,203 | 4,890,303 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Automobile — 1.2%*: |
| |||||||||||||||||||
BCA Marketplace plc, LIBOR – GBP + 4.750%(b) | 4.81 | 11/13/2026 | 500,000 | 622,511 | 687,943 | |||||||||||||||
BCA Marketplace plc, EURIBOR + 3.250%(b) | 3.25 | 11/13/2026 | 1,000,000 | 1,203,850 | 1,174,426 | |||||||||||||||
Clarios Global LP, 1M LIBOR + 3.250% | 3.35 | 4/30/2026 | 1,043,270 | 1,042,781 | 1,032,837 |
See accompanying Notes to the Financial Statements.
64
Table of Contents
Barings Global Floating Rate Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Automobile (Continued) |
| |||||||||||||||||||
Clarios Global LP, EURIBOR + 3.250% | 3.25 | % | 4/30/2026 | 1,000,000 | $ | 1,189,886 | $ | 1,176,264 | ||||||||||||
DexKo Global, Inc., 3M LIBOR + 3.500% | 4.50 | 7/24/2024 | 300,333 | 301,529 | 300,333 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Automobile | 3,843,603 | 4,360,557 | 4,371,803 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Beverage, Food and Tobacco — 2.2%*: |
| |||||||||||||||||||
1011778 B.C. Unlimited Liability Co., 1M LIBOR + 1.750%(b) | 1.85 | 11/19/2026 | 497,475 | 490,363 | 490,246 | |||||||||||||||
Amphora Finance Ltd., LIBOR – GBP + 4.750%(b) | 4.81 | 5/23/2025 | 500,000 | 662,231 | 657,642 | |||||||||||||||
CTI Foods Holding Co, LLC, 3M LIBOR + 4.000%(a) | 5.00 | 5/3/2024 | 316,422 | 312,965 | 316,422 | |||||||||||||||
CTI Foods Holding Co, LLC, 3M LIBOR + 3.000%(a) | 4.00 | 5/3/2024 | 208,982 | 208,982 | 196,443 | |||||||||||||||
Deoleo S.A., EURIBOR + 4.000%(b) | 5.00 | 6/24/2025 | 116,529 | 131,393 | 136,562 | |||||||||||||||
Froneri International Ltd., EURIBOR + 2.375%(b) | 2.38 | 1/29/2027 | 1,000,000 | 1,206,921 | 1,160,553 | |||||||||||||||
IRB Holding Corp., 3M LIBOR + 2.750% | 3.75 | 2/5/2025 | 2,036,642 | 2,038,775 | 2,031,754 | |||||||||||||||
Skopima Merger Sub Inc., 1M LIBOR + 4.000% | 4.50 | 4/30/2028 | 962,567 | 953,108 | 960,767 | |||||||||||||||
Sunshine Investments B.V., 3M LIBOR + 3.000%(b) | 3.16 | 3/28/2025 | 154,302 | 153,888 | 153,273 | |||||||||||||||
Welbilt, Inc., 3M LIBOR + 2.500% | 2.60 | 10/23/2025 | 2,000,000 | 1,865,476 | 1,982,500 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Beverage, Food and Tobacco | 7,792,919 | 8,024,102 | 8,086,162 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Broadcasting and Entertainment — 5.6%*: |
| |||||||||||||||||||
Altice Financing SA, 3M LIBOR + 2.750%(b) | 2.75 | 1/31/2026 | 994,845 | 1,194,577 | 1,156,045 | |||||||||||||||
Altice USA, Inc., 1M LIBOR + 2.250% | 2.32 | 7/17/2025 | 1,649,190 | 1,636,004 | 1,624,452 | |||||||||||||||
AVSC Holding Corp., EURIBOR + 3.250%, PIK | 0.25-4.25 | 3/3/2025 | 1,958,733 | 1,735,698 | 1,792,692 | |||||||||||||||
AVSC Holding Corp., EURIBOR + 4.500%, PIK | 1.00-5.50 | 10/15/2026 | 509,157 | 468,779 | 480,064 | |||||||||||||||
Banijay Entertainment S.A.S, 1M LIBOR + 3.750%(b) | 3.85 | 3/1/2025 | 1,302,467 | 1,305,992 | 1,297,035 | |||||||||||||||
Clear Channel Outdoor Holdings, Inc., 3M LIBOR + 3.500% | 3.69 | 8/21/2026 | 2,963,444 | 2,901,895 | 2,890,603 | |||||||||||||||
Cumulus Media New Holdings Inc., 3M LIBOR + 3.750% | 4.75 | 3/31/2026 | 1,138,361 | 1,130,077 | 1,139,500 | |||||||||||||||
iHeartCommunications, Inc., 3M LIBOR + 3.000% | 3.10 | 5/1/2026 | 3,482,361 | 3,421,582 | 3,449,731 | |||||||||||||||
Learfield Communications, Inc., 1M LIBOR + 3.250% | 4.25 | 12/1/2023 | 1,969,072 | 1,864,455 | 1,900,155 | |||||||||||||||
RCN Cable, 1M LIBOR + 3.500% | 4.25 | 9/25/2026 | 995,000 | 997,423 | 995,368 | |||||||||||||||
Technicolor SA, 6M LIBOR + 6.000%, PIK(b) | 6.00 | 6/30/2024 | 405,159 | 405,213 | 506,196 | |||||||||||||||
Technicolor SA, EURIBOR + 3.000%(b) | 3.00 | 12/31/2024 | 832,610 | 935,468 | 955,675 | |||||||||||||||
Terrier Media Buyer, Inc., 1M LIBOR + 3.500% | 3.60 | 12/17/2026 | 1,469,585 | 1,468,076 | 1,461,414 | |||||||||||||||
Univision Communication, Inc., 3M LIBOR + 3.250% | 4.00 | 5/5/2028 | 1,187,802 | 1,179,423 | 1,182,361 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Broadcasting and Entertainment | 20,857,786 | 20,644,662 | 20,831,291 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
65
Table of Contents
Barings Global Floating Rate Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Buildings and Real Estate — 3.2%*: |
| |||||||||||||||||||
Artera Services, LLC, 3M LIBOR+ 3.500% | 4.25 | % | 3/6/2025 | 1,325,444 | $ | 1,315,503 | $ | 1,318,817 | ||||||||||||
Core & Main L.P., 1M LIBOR + 2.750% | 3.75 | 8/1/2024 | 1,938,594 | 1,942,478 | 1,935,570 | |||||||||||||||
CP Atlas Buyer, Inc., 3M LIBOR + 3.750% | 4.25 | 11/23/2027 | 751,930 | 752,814 | 749,501 | |||||||||||||||
CPC Acquisition Corp., 3M LIBOR + 3.750% | 4.50 | 12/29/2027 | 997,988 | 999,235 | 995,183 | |||||||||||||||
Foundation Building Materials Holding Co. LLC, 3M LIBOR + 3.250% | 3.75 | 2/3/2028 | 1,055,064 | 1,049,713 | 1,047,594 | |||||||||||||||
Groupe Solmax Inc., 3M LIBOR + 4.750% | 5.50 | 6/28/2028 | 867,768 | 859,091 | 863,430 | |||||||||||||||
Park River Holdings, Inc., 3M LIBOR + 3.250% | 4.00 | 12/28/2027 | 790,641 | 788,568 | 785,826 | |||||||||||||||
Polaris Newco LLC, 6M LIBOR + 4.000% | 4.50 | 6/2/2028 | 892,503 | 888,067 | 894,627 | |||||||||||||||
Quikrete Holdings, Inc., 3M LIBOR + 3.000% | 3.13 | 5/12/2028 | 759,494 | 753,798 | 753,084 | |||||||||||||||
Quikrete Holdings, Inc., 1M LIBOR + 2.500% | 2.60 | 2/1/2027 | 1,477,500 | 1,477,782 | 1,463,183 | |||||||||||||||
SRS Distribution, Inc., 1M LIBOR + 3.750% | 4.25 | 6/2/2028 | 1,345,827 | 1,335,733 | 1,344,333 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Buildings and Real Estate | 12,202,753 | 12,162,782 | 12,151,148 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Cargo Transport — 0.5%*: |
| |||||||||||||||||||
Kenan Advantage Group, Inc., 3M LIBOR + 3.750% | 4.50 | 3/24/2026 | 1,788,978 | 1,780,460 | 1,789,533 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Chemicals, Plastics and Rubber — 4.3%*: |
| |||||||||||||||||||
Allnex (Luxembourg) & Cy S.C.A., 3M LIBOR + 3.250% | 4.00 | 9/13/2023 | 354,148 | 353,588 | 353,263 | |||||||||||||||
Allnex USA, Inc., 3M LIBOR + 3.250% | 4.00 | 9/13/2023 | 266,812 | 266,390 | 266,144 | |||||||||||||||
Colouroz Investment 1 GmbH, EURIBOR + 4.250%(b) | 5.00 | 9/21/2023 | 299,794 | 355,622 | 353,039 | |||||||||||||||
Colouroz Investment 1 GmbH, EURIBOR + 4.250%, PIK(b) | 0.75-5.00 | 9/21/2023 | 21,798 | 25,857 | 25,669 | |||||||||||||||
Consolidated Energy Finance SA, 3M LIBOR + 2.500% | 2.60 | 5/7/2025 | 1,454,794 | 1,429,444 | 1,410,539 | |||||||||||||||
Diamond (BC) B.V., EURIBOR + 3.250% | 3.25 | 9/6/2024 | 470,742 | 545,533 | 555,916 | |||||||||||||||
Flint Group GmbH, 3M LIBOR + 4.250%(b) | 5.25 | 9/21/2023 | 660,915 | 647,131 | 657,201 | |||||||||||||||
Flint Group GmbH, EURIBOR + 4.250%(b) | 5.00 | 9/21/2023 | 741,888 | 856,461 | 873,650 | |||||||||||||||
Flint Group GmbH, EURIBOR + 4.250%, PIK(b) | 0.75-5.00 | 9/21/2023 | 5,380 | 6,384 | 6,336 | |||||||||||||||
Flint Group US LLC, EURIBOR + 4.250%, PIK(b) | 0.75-5.25 | 9/21/2023 | 3,873,472 | 3,793,022 | 3,851,703 | |||||||||||||||
Gemini HDPE LLC, 3M LIBOR + 3.000% | 3.50 | 12/31/2027 | 811,868 | 808,338 | 810,180 | |||||||||||||||
Graftech International Ltd., 3M LIBOR + 3.000% | 3.50 | 2/12/2025 | 373,760 | 368,304 | 373,573 | |||||||||||||||
Ineos Quattro, EURIBOR + 2.750%(b) | 2.75 | 1/29/2026 | 1,000,000 | 1,202,137 | 1,175,375 | |||||||||||||||
Nobian Finance BV, EURIBOR + 3.750%(b) | 3.75 | 6/24/2026 | 500,000 | 593,692 | 588,553 | |||||||||||||||
Novacap S.A., EURIBOR + 3.500%(b) | 3.50 | 6/22/2023 | 1,000,000 | 1,139,392 | 1,177,497 | |||||||||||||||
Polar US Borrower, LLC, 1M LIBOR + 4.750% | 4.90 | 10/15/2025 | 1,226,572 | 1,227,810 | 1,229,639 | |||||||||||||||
PQ Performance Chemicals, 3M LIBOR + 3.500% | 4.25 | 5/4/2028 | 216,802 | 215,718 | 216,869 | |||||||||||||||
Solenis Holdings LLC, 3M LIBOR + 4.000% | 4.09 | 6/26/2025 | 618,372 | 614,822 | 617,710 |
See accompanying Notes to the Financial Statements.
66
Table of Contents
Barings Global Floating Rate Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Chemicals, Plastics and Rubber (Continued) |
| |||||||||||||||||||
Trinseo Materials Operating S.C.A., 3M LIBOR + 2.500% | 2.60 | % | 5/3/2028 | 1,500,000 | $ | 1,492,667 | $ | 1,487,820 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Chemicals, Plastics and Rubber | 15,397,117 | 15,942,312 | 16,030,676 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Containers, Packaging and Glass — 2.1%*: |
| |||||||||||||||||||
Albea Beauty Holdings S.A., 3M LIBOR + 3.000%(b) | 4.00 | 4/22/2024 | 200,677 | 200,560 | 193,653 | |||||||||||||||
BWAY Holding Co., 1M LIBOR + 3.250% | 3.35 | 4/3/2024 | 1,905,927 | 1,899,640 | 1,858,584 | |||||||||||||||
Flex Acquisition Company, Inc., 3M LIBOR + 3.250% | 3.39 | 6/29/2025 | 842,165 | 822,537 | 833,457 | |||||||||||||||
Flex Acquisition Company, Inc., 3M LIBOR + 3.500% | 4.00 | 2/23/2028 | 1,344,504 | 1,343,441 | 1,338,064 | |||||||||||||||
Graham Packaging Co. Inc., 1M LIBOR + 3.000% | 3.75 | 8/4/2027 | 516,526 | 517,053 | 515,762 | |||||||||||||||
Hoffmaster Group, Inc., 3M LIBOR + 4.000% | 5.00 | 11/21/2023 | 1,138,521 | 1,065,611 | 1,094,973 | |||||||||||||||
Reynolds Consumer Products LLC, 1M LIBOR + 1.750% | 1.85 | 2/4/2027 | 246,554 | 246,307 | 244,458 | |||||||||||||||
TricorBraun Holdings, Inc., 3M LIBOR + 3.250% | 3.75 | 3/3/2028 | 320,959 | 319,426 | 318,433 | |||||||||||||||
TricorBraun Holdings, Inc., 3M LIBOR + 3.250% | 3.25-3.75 | 3/3/2028 | 2,407 | 2,395 | 2,388 | |||||||||||||||
Trident TPI Holdings, Inc., 3M LIBOR + 3.000% | 4.00 | 10/17/2024 | 1,477,025 | 1,462,886 | 1,469,639 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Containers, Packaging and Glass | 7,995,265 | 7,879,856 | 7,869,411 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified/Conglomerate Manufacturing — 2.2%*: |
| |||||||||||||||||||
Alison Bidco S.a.r.l., EURIBOR + 5.500%, PIK(b) | 2.50 | 8/29/2023 | 241,490 | 240,913 | 199,732 | |||||||||||||||
Amer Sports Oyj, 3M LIBOR + 4.500%(b) | 4.50 | 3/30/2026 | 500,000 | 564,411 | 592,430 | |||||||||||||||
DG Investment Intermediate Holdings 2, Inc., 3M LIBOR + 3.750% | 4.50 | 3/31/2028 | 1,045,573 | 1,040,515 | 1,048,626 | |||||||||||||||
Fluid-Flow Products, Inc., 3M LIBOR + 3.750% | 4.25 | 3/31/2028 | 616,514 | 615,024 | 616,514 | |||||||||||||||
Illuminate Merger Corp., 3M LIBOR + 3.500% | 4.00 | 6/30/2028 | 540,983 | 538,279 | 540,983 | |||||||||||||||
LTI Holdings, Inc., 1M LIBOR + 3.500% | 3.60 | 9/6/2025 | 595,612 | 582,156 | 587,012 | |||||||||||||||
Project Alpha Intermediate Holding, Inc., 3M LIBOR + 4.000% | 4.11 | 4/26/2024 | 1,344,821 | 1,346,891 | 1,345,776 | |||||||||||||||
SGB-SMIT Management GmbH, EURIBOR + 4.500%(b) | 4.50 | 7/18/2024 | 504,927 | 521,658 | 540,438 | |||||||||||||||
Wilsonart LLC, EURIBOR + 3.500% | 4.50 | 12/19/2026 | 994,896 | 990,107 | 994,358 | |||||||||||||||
Winterfell Financing Sarl, EURIBOR + 3.500%(b) | 3.50 | 5/4/2028 | 500,000 | 603,378 | 589,573 | |||||||||||||||
Xella, 3M EURIBOR + 4.250%(b) | 4.25 | 4/12/2028 | 1,000,000 | 1,183,993 | 1,180,070 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Manufacturing | 7,884,816 | 8,227,325 | 8,235,512 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
67
Table of Contents
Barings Global Floating Rate Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Diversified/Conglomerate Service — 11.7%*: |
| |||||||||||||||||||
Applied Systems, Inc., 3M LIBOR + 3.250% | 3.75 | % | 9/19/2024 | 1,000,000 | $ | 997,500 | $ | 997,380 | ||||||||||||
CCRR Parent,, Inc., 3M LIBOR + 4.250% | 5.00 | 3/6/2028 | 191,520 | 190,603 | 192,478 | |||||||||||||||
CoreLogic, Inc., 3M LIBOR + 3.500% | 4.00 | 6/2/2028 | 1,330,450 | 1,325,697 | 1,325,793 | |||||||||||||||
CoreLogic, Inc., 3M LIBOR + 6.500% | 7.00 | 4/13/2029 | 532,670 | 527,470 | 535,334 | |||||||||||||||
Cornerstone OnDemand, Inc., 3M LIBOR + 3.250% | 3.34 | 4/22/2027 | 421,794 | 421,210 | 421,397 | |||||||||||||||
Cvent, Inc., 1M LIBOR + 3.750% | 3.85 | 11/29/2024 | 2,347,088 | 2,044,769 | 2,313,055 | |||||||||||||||
Delta TopCo, Inc., 3M LIBOR + 3.750% | 4.50 | 12/1/2027 | 1,000,000 | 1,001,202 | 1,001,880 | |||||||||||||||
EAB Global , Inc., 3M LIBOR + 3.500% | 4.00 | 6/28/2028 | 500,000 | 497,500 | 498,750 | |||||||||||||||
EAB Global, Inc., EURIBOR + 3.750% | 4.75 | 11/15/2024 | 732,493 | 730,722 | 731,424 | |||||||||||||||
Element Materials Technology Group US Holdings Inc., EURIBOR + 3.250% | 3.25 | 6/28/2024 | 1,000,000 | 1,194,547 | 1,163,517 | |||||||||||||||
Element Materials Technology Group US Holdings Inc., 3M LIBOR + 4.250% | 4.34 | 6/28/2024 | 500,000 | 679,965 | 674,359 | |||||||||||||||
Endure Digital Inc., 3M LIBOR + 3.500% | 4.25 | 2/10/2028 | 1,968,806 | 1,959,123 | 1,958,135 | |||||||||||||||
Epicor Software Corp., 1M LIBOR + 3.250% | 4.00 | 7/30/2027 | 305,686 | 305,487 | 305,216 | |||||||||||||||
Finastra USA, Inc., 3M LIBOR + 7.250% | 8.25 | 6/13/2025 | 6,482 | 6,547 | 6,545 | |||||||||||||||
Finastra USA, Inc., 6M LIBOR + 3.500% | 4.50 | 6/13/2024 | 3,413,556 | 3,318,512 | 3,357,744 | |||||||||||||||
Greeneden U.S. Holdings II LLC, 1M LIBOR + 4.000% | 4.75 | 12/1/2027 | 2,977,041 | 2,978,581 | 2,982,370 | |||||||||||||||
Hyland Software, Inc., 1M LIBOR + 3.500% | 4.25 | 7/1/2024 | 1,493,603 | 1,496,015 | 1,494,842 | |||||||||||||||
Hyland Software, Inc., 1M LIBOR + 6.250% | 7.00 | 7/7/2025 | 501,818 | 501,818 | 503,489 | |||||||||||||||
I-Logic Technologies Bidco Ltd., 3M LIBOR + 4.000% | 4.50 | 2/16/2028 | 1,296,450 | 1,296,953 | 1,299,691 | |||||||||||||||
IGT Holding IV AB, EURIBOR + 3.750%(b) | 4.25 | 3/31/2028 | 687,931 | 686,211 | 689,651 | |||||||||||||||
Informatica LLC, 1M LIBOR + 3.250% | 3.35 | 2/25/2027 | 987,500 | 983,500 | 980,657 | |||||||||||||||
Informatica LLC, 3M LIBOR + 7.125% | 7.13 | 2/25/2025 | 349,253 | 347,971 | 356,238 | |||||||||||||||
MH Sub I LLC, 1M LIBOR + 3.500% | 3.60 | 9/13/2024 | 1,999,510 | 1,994,376 | 1,988,952 | |||||||||||||||
Mitchell International, Inc., 1M LIBOR + 3.250% | 3.35 | 11/29/2024 | 1,977,047 | 1,942,981 | 1,956,782 | |||||||||||||||
Panther Commercial Holdings L.P, 3M LIBOR + 4.500% | 5.00 | 1/7/2028 | 1,500,000 | 1,505,340 | 1,500,315 | |||||||||||||||
Project Leopard Holdings, Inc., 3M LIBOR + 4.750% | 5.75 | 7/5/2024 | 1,454,097 | 1,457,952 | 1,457,005 | |||||||||||||||
Project Ruby Ultimate Parent Corp., 3M LIBOR + 3.250% | 4.00 | 3/3/2028 | 1,325,323 | 1,320,062 | 1,320,764 | |||||||||||||||
Proofpoint, Inc., 3M LIBOR + 3.250% | 3.75 | 6/9/2028 | 697,674 | 694,186 | 693,405 | |||||||||||||||
RSA Security, 3M LIBOR + 4.750% | 5.50 | 4/27/2028 | 98,452 | 97,956 | 98,124 | |||||||||||||||
Spin Holdco, Inc., 3M LIBOR + 4.000% | 4.75 | 3/1/2028 | 695,283 | 690,296 | 695,374 | |||||||||||||||
Summer (BC) Holdco B S.a r.l, 3M LIBOR + 4.750%(b) | 4.88 | 12/4/2026 | 1,493,684 | 1,493,434 | 1,478,747 | |||||||||||||||
Surf Holdings, LLC, 3M LIBOR + 3.500%(b) | 3.63 | 3/5/2027 | 494,698 | 492,843 | 491,175 | |||||||||||||||
Team.Blue Finco SARL, 3M LIBOR + 3.750%(b) | 3.75 | 3/27/2028 | 1,250,000 | 1,485,464 | 1,476,630 | |||||||||||||||
TMF Group Holding B.V., EURIBOR + 3.250%(b) | 3.25 | 5/5/2025 | 1,500,000 | 1,787,263 | 1,757,033 | |||||||||||||||
Ultimate Software Group Inc(The), 3M LIBOR + 3.250% | 4.00 | 5/4/2026 | 992,512 | 998,547 | 993,088 |
See accompanying Notes to the Financial Statements.
68
Table of Contents
Barings Global Floating Rate Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Diversified/Conglomerate Service (Continued) |
| |||||||||||||||||||
Verisure Holding AB, EURIBOR + 3.500%(b) | 3.50 | % | 3/27/2028 | 1,875,000 | $ | 2,256,597 | $ | 2,215,589 | ||||||||||||
Vision Solutions, Inc., 3M LIBOR + 4.250% | 5.00 | 4/24/2028 | 904,110 | 899,688 | 902,301 | |||||||||||||||
Weld North Education, LLC, 3M LIBOR + 4.000% | 4.75 | 12/21/2027 | 851,136 | 850,738 | 851,561 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Service | 42,652,667 | 43,459,626 | 43,666,790 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Electronics — 4.8%*: |
| |||||||||||||||||||
Ahead Data Blue LLC, 2M LIBOR + 3.750% | 4.50 | 10/18/2027 | 1,710,285 | 1,716,561 | 1,712,149 | |||||||||||||||
BY Crown Parent LLC, 1M LIBOR + 3.000% | 4.00 | 2/2/2026 | 959,642 | 955,626 | 958,443 | |||||||||||||||
Ensono, LP, 1M LIBOR + 4.000% | 4.75 | 5/19/2028 | 903,955 | 895,018 | 904,705 | |||||||||||||||
EXC Holdings III Corp., 3M LIBOR + 3.500% | 4.50 | 12/2/2024 | 479,769 | 482,573 | 478,570 | |||||||||||||||
Ingram Micro, Inc., 3M LIBOR + 3.500% | 4.00 | 3/31/2028 | 1,979,706 | 1,974,909 | 1,982,181 | |||||||||||||||
ION Trading Finance Ltd., 3M LIBOR + 4.750% | 4.92 | 4/1/2028 | 1,350,567 | 1,347,191 | 1,354,673 | |||||||||||||||
Ivanti Software, Inc., 3M LIBOR + 4.750% | 5.75 | 12/1/2027 | 1,995,000 | 1,988,534 | 1,995,279 | |||||||||||||||
McAfee Enterprise, 3M LIBOR + 5.000% | 5.75 | 5/3/2028 | 1,146,634 | 1,135,168 | 1,145,488 | |||||||||||||||
Renaissance Holding Corp., 1M LIBOR + 3.250% | 3.34 | 5/30/2025 | 1,222,830 | 1,213,852 | 1,209,073 | |||||||||||||||
Sophia, LP, 3M LIBOR + 3.750% | 4.50 | 10/7/2027 | 840,636 | 839,537 | 840,812 | |||||||||||||||
SS&C Technologies Inc., 1M LIBOR + 1.750% | 1.85 | 4/16/2025 | 467,563 | 466,868 | 461,938 | |||||||||||||||
Tibco Software Inc., 1M LIBOR + 7.250% | 7.36 | 3/3/2028 | 385,441 | 383,828 | 390,740 | |||||||||||||||
Tibco Software Inc., 1M LIBOR + 3.750% | 3.86 | 6/30/2026 | 1,984,975 | 1,958,065 | 1,978,027 | |||||||||||||||
Veritas US Inc., 3M LIBOR + 5.000% | 6.00 | 9/1/2025 | 1,492,500 | 1,503,256 | 1,500,336 | |||||||||||||||
Veritas US Inc., EURIBOR + 4.750% | 4.21 | 9/1/2025 | 744,384 | 881,429 | 889,389 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Electronics | 17,663,887 | 17,742,415 | 17,801,803 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Energy Equipment and Services — 0.1%*: |
| |||||||||||||||||||
DT Midstream, Inc., 3M LIBOR + 2.000% | 2.50 | 6/12/2028 | 520,833 | 518,229 | 521,297 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Finance — 2.4%*: |
| |||||||||||||||||||
Aqgen Ascensus, Inc., 3M LIBOR + 6.500% | 7.00 | 5/4/2029 | 250,358 | 247,854 | 247,854 | |||||||||||||||
Aqgen Island Holdings, Inc., 3M LIBOR + 3.500% | 4.00 | 5/20/2028 | 1,158,599 | 1,152,806 | 1,154,984 | |||||||||||||||
Belron Finance US LLC, 3M LIBOR + 2.750% | 3.25 | 4/13/2028 | 791,667 | 783,971 | 790,020 | |||||||||||||||
Deerfield Dakota Holding LLC, 1M LIBOR + 6.750% | 7.50 | 4/7/2028 | 1,000,000 | 1,004,862 | 1,022,500 | |||||||||||||||
Deerfield Dakota Holding LLC, 1M LIBOR + 3.750% | 4.75 | 4/9/2027 | 498,740 | 500,569 | 500,611 | |||||||||||||||
Edelman Financial Center, LLC, 3M LIBOR + 6.750% | 6.85 | 7/20/2026 | 1,000,000 | 1,010,000 | 1,002,920 | |||||||||||||||
Edelman Financial Center, LLC, 3M LIBOR + 3.750% | 4.50 | 4/7/2028 | 1,000,000 | 998,750 | 1,000,690 | |||||||||||||||
IRIS Bidco Ltd., LIBOR – GBP + 4.250%(b) | 4.30 | 9/6/2025 | 1,000,000 | 1,383,158 | 1,379,095 | |||||||||||||||
Tempo Acquisition LLC, PRIME + 1.750% | 5.00 | 5/1/2024 | 869,632 | 871,426 | 868,006 | |||||||||||||||
Zera uyer LLC, 3M LIBOR + 3.250% | 3.75 | 4/21/2028 | 913,242 | 908,676 | 915,361 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Finance | 8,482,238 | 8,862,072 | 8,882,041 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
69
Table of Contents
Barings Global Floating Rate Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Healthcare, Education and Childcare — 13.4%*: |
| |||||||||||||||||||
ADMI Corp., 3M LIBOR + 3.375% | 3.88 | % | 12/23/2027 | 64,243 | $ | 64,520 | $ | 63,481 | ||||||||||||
Advanz Pharma Corp., EURIBOR + 5.000%(b) | 5.00 | 6/1/2028 | 1,000,000 | 1,204,955 | 1,187,481 | |||||||||||||||
Aenova Holding GmbH, EURIBOR + 5.000%(b) | 5.00 | 3/6/2025 | 500,000 | 537,822 | 594,108 | |||||||||||||||
Amneal Pharmaceuticals LLC, 1M LIBOR + 3.500% | 3.63 | 5/4/2025 | 1,461,832 | 1,389,465 | 1,432,595 | |||||||||||||||
Arbor Pharmaceuticals, Inc., 3M LIBOR + 5.000% | 6.00 | 7/5/2023 | 1,152,484 | 1,153,437 | 1,143,633 | |||||||||||||||
Auris Luxembourg III S.a.r.l., EURIBOR + 4.000%(b) | 4.00 | 2/27/2026 | 2,000,000 | 2,317,855 | 2,352,576 | |||||||||||||||
Auris Luxembourg III Sarl, 1M LIBOR + 3.750%(b) | 3.85 | 2/27/2026 | 2,493,623 | 2,475,290 | 2,464,573 | |||||||||||||||
Aveanna Healthcare, LLC, 1M LIBOR + 5.500% | 6.50 | 3/18/2024 | 1,264,213 | 1,256,500 | 1,262,633 | |||||||||||||||
CeramTec AcquiCo GmbH, 3M LIBOR + 2.750%(b) | 2.89 | 3/7/2025 | 1,250,000 | 1,234,547 | 1,219,537 | |||||||||||||||
Change Healthcare Holdings LLC, 1M LIBOR + 2.500% | 3.50 | 3/1/2024 | 1,234,737 | 1,232,690 | 1,233,132 | |||||||||||||||
Eagle Bidco Ltd., LIBOR – GBP + 4.750%(b) | 4.81 | 3/10/2028 | 500,000 | 693,142 | 691,076 | |||||||||||||||
Elysium Healthcare Holdings 3 Ltd., LIBOR – GBP + 5.250%(b) | 5.33 | 4/11/2025 | 1,000,000 | 1,394,461 | 1,361,112 | |||||||||||||||
Endo Luxembourg Finance Co. I S.a r.l., 3M LIBOR + 5.000% | 5.75 | 3/27/2028 | 1,293,385 | 1,291,196 | 1,246,099 | |||||||||||||||
Envision Healthcare Corp., 1M LIBOR + 3.750% | 3.85 | 10/10/2025 | 1,585,547 | 1,231,337 | 1,353,502 | |||||||||||||||
Fugue Finance B.V., EURIBOR + 3.250%(b) | 3.25 | 9/1/2024 | 500,000 | 545,942 | 587,527 | |||||||||||||||
Gainwell Acquisition Corp., 3M LIBOR + 4.000% | 4.75 | 10/1/2027 | 606,196 | 597,752 | 607,560 | |||||||||||||||
GHX Ultimate Parent Corp., 3M LIBOR + 3.000% | 4.00 | 6/28/2024 | 460,339 | 457,072 | 459,479 | |||||||||||||||
Grifols Worldwide Operations USA, Inc., 3M LIBOR + 2.000% | 2.09 | 11/15/2027 | 997,468 | 987,595 | 987,244 | |||||||||||||||
Horizon Therapeutics USA Inc., 3M LIBOR + 2.000% | 2.50 | 3/15/2028 | 893,284 | 891,139 | 886,861 | |||||||||||||||
Horizon Therapeutics USA, Inc., 1M LIBOR + 2.250% | 2.38 | 5/22/2026 | 494,267 | 495,835 | 491,331 | |||||||||||||||
Icon Luxemourg Sarl, 3M LIBOR + 2.500%(b) | 3.00 | 6/16/2028 | 1,097,561 | 1,092,074 | 1,099,109 | |||||||||||||||
Iris idco GmBH, EURIBOR + 5.000%(b) | 4.46 | 5/31/2028 | 650,000 | 772,016 | 754,036 | |||||||||||||||
Jazz Financing Lux S.a.r.l., 1M LIBOR + 3.500% | 4.00 | 4/21/2028 | 1,103,448 | 1,098,038 | 1,106,549 | |||||||||||||||
Lernen Bidco Ltd., EURIBOR + 4.250%(b) | 4.25 | 10/25/2025 | 2,000,000 | 2,352,745 | 2,344,228 | |||||||||||||||
Lifescan Global Corp., 3M LIBOR + 6.000% | 6.15 | 10/1/2024 | 1,201,859 | 1,169,715 | 1,189,840 | |||||||||||||||
Netsmart Technologies, Inc., EURIBOR + 4.000% | 4.75 | 10/1/2027 | 997,500 | 998,781 | 999,814 | |||||||||||||||
Nidda Healthcare Holding AG, LIBOR – GBP + 4.500%(b) | 4.58 | 8/21/2026 | 500,000 | 652,723 | 689,672 | |||||||||||||||
Nidda Healthcare Holding AG, EURIBOR + 3.500%(b) | 3.50 | 8/21/2026 | 1,000,000 | 1,084,393 | 1,174,735 |
See accompanying Notes to the Financial Statements.
70
Table of Contents
Barings Global Floating Rate Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Healthcare, Education and Childcare (Continued) |
| |||||||||||||||||||
Organon & Co., 3M LIBOR + 3.000% | 3.50 | % | 6/2/2028 | 673,077 | $ | 669,734 | $ | 673,501 | ||||||||||||
Ortho-Clinical Diagnostics SA, 1M LIBOR + 3.000% | 3.10 | 6/30/2025 | 1,897,451 | 1,885,072 | 1,895,421 | |||||||||||||||
Padagis LLC, 3M LIBOR + 4.750% | 5.25 | 6/30/2028 | 645,161 | 638,710 | 641,129 | |||||||||||||||
Parexel International Corp., 1M LIBOR + 2.750% | 2.85 | 9/27/2024 | 1,717,488 | 1,700,486 | 1,707,028 | |||||||||||||||
Prometric Holdings, Inc., 1M LIBOR + 3.000% | 4.00 | 1/29/2025 | 994,911 | 985,416 | 980,485 | |||||||||||||||
Radiology Partners, Inc., 1M LIBOR + 4.250% | 4.35 | 7/9/2025 | 1,500,000 | 1,492,417 | 1,498,755 | |||||||||||||||
RegionalCare Hospital Partners Holdings, Inc., 1M LIBOR + 3.750% | 3.85 | 11/16/2025 | 742,456 | 746,320 | 740,317 | |||||||||||||||
Select Medical Corp., 3M LIBOR + 2.250% | 2.36 | 3/6/2025 | 1,000,000 | 992,851 | 989,380 | |||||||||||||||
Surgery Center Holdings, Inc., 3M LIBOR + 3.750% | 4.50 | 8/31/2026 | 1,974,578 | 1,968,221 | 1,981,666 | |||||||||||||||
Team Health Holdings, Inc., 1M LIBOR + 2.750% | 3.75 | 2/6/2024 | 2,751,565 | 2,680,359 | 2,665,579 | |||||||||||||||
Tunstall Group Holdings Ltd., EURIBOR + 5.000%(b) | 5.00 | 6/30/2025 | 321,190 | 377,864 | 373,870 | |||||||||||||||
U.S. Anesthesia Partners, Inc., 6M LIBOR + 3.000% | 4.00 | 6/23/2024 | 1,992,221 | 1,975,707 | 1,977,897 | |||||||||||||||
Unilabs Holding AB, EURIBOR + 2.750%(b) | 2.75 | 4/19/2024 | 500,000 | 578,261 | 585,185 | |||||||||||||||
US Radiology Specialists, Inc., 3M LIBOR + 5.500% | 6.25 | 12/10/2027 | 798,523 | 783,751 | 802,683 | |||||||||||||||
Verscend Holding Corp., 3M LIBOR + 4.000% | 4.10 | 8/27/2025 | 1,488,550 | 1,486,963 | 1,490,946 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Healthcare, Education and Childcare | 48,299,157 | 49,635,169 | 49,987,365 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Home and Office Furnishings, Housewares, and Durable Consumer Products — 2.0%*: |
| |||||||||||||||||||
ACProducts, Inc., 6M LIBOR + 4.250% | 4.75 | 5/5/2028 | 1,490,741 | 1,481,569 | 1,482,229 | |||||||||||||||
Clay Holdco B.V, EURIBOR + 4.000%(b) | 4.00 | 10/30/2026 | 600,000 | 715,620 | 710,674 | |||||||||||||||
LBM Acquisition LLC, 3M LIBOR + 3.750% | 4.50 | 12/17/2027 | 1,426,526 | 1,423,599 | 1,415,081 | |||||||||||||||
Serta Simmons Bedding LLC, 1M LIBOR + 7.500% | 8.50 | 8/10/2023 | 1,506,206 | 1,506,206 | 1,435,505 | |||||||||||||||
SIWF Holdings Inc., 3M LIBOR + 4.250% | 4.35 | 6/15/2025 | 972,431 | 977,972 | 972,431 | |||||||||||||||
Staples, Inc., 3M LIBOR + 5.000% | 5.18 | 4/16/2026 | 1,496,183 | 1,468,680 | 1,455,981 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Home and Office Furnishings, Housewares, and Durable Consumer Products | 7,492,087 | 7,573,646 | 7,471,901 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Hotels and Restaurants — 0.1%*: |
| |||||||||||||||||||
City Brewing Company, LLC, 3M LIBOR + 3.500% | 4.25 | 4/5/2028 | 437,190 | 435,070 | 438,830 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Hotels, Motels, Inns and Gaming — 3.7%*: |
| |||||||||||||||||||
Caesars Resort Collection LLC, 1M LIBOR + 4.500% | 4.60 | 7/21/2025 | 727,247 | 709,542 | 729,065 |
See accompanying Notes to the Financial Statements.
71
Table of Contents
Barings Global Floating Rate Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Hotels, Motels, Inns and Gaming (Continued) |
| |||||||||||||||||||
Caesars Resort Collection LLC, 1M LIBOR + 2.750% | 2.85 | % | 12/23/2024 | 1,953,125 | $ | 1,948,761 | $ | 1,935,332 | ||||||||||||
Casper BidCo SAS, EURIBOR + 3.875%(b) | 3.88 | 7/31/2026 | 1,500,000 | 1,703,235 | 1,713,545 | |||||||||||||||
Compass IV Ltd., EURIBOR + 4.250%(b) | 4.25 | 4/30/2025 | 500,000 | 600,268 | 591,393 | |||||||||||||||
Compass IV Ltd., EURIBOR + 8.000%(b) | 9.00 | 4/30/2026 | 500,000 | 592,237 | 591,885 | |||||||||||||||
Golden Nugget, Inc., 2M LIBOR + 2.500% | 3.25 | 10/4/2023 | 1,802,862 | 1,750,493 | 1,788,295 | |||||||||||||||
Hilton Grand Vacations LLC, 3M LIBOR + 3.000% | 3.50 | 5/19/2028 | 538,116 | 535,426 | 538,283 | |||||||||||||||
HNVR Holdco Ltd., EURIBOR + 4.250%(b) | 4.25 | 9/12/2025 | 2,000,000 | 2,026,299 | 2,163,994 | |||||||||||||||
Penn National Gaming, Inc., 1M LIBOR + 2.250% | 2.35 | 10/15/2025 | 1,768,344 | 1,765,348 | 1,761,943 | |||||||||||||||
Richmond UK Bidco Ltd., LIBOR – GBP + 4.250%(b) | 4.36 | 3/3/2024 | 482,094 | 610,114 | 655,210 | |||||||||||||||
Rouge Beachhouse B.V., EURIBOR + 4.750%(b) | 4.75 | 9/4/2025 | 500,000 | 586,575 | 591,144 | |||||||||||||||
Station Casinos LLC, 3M LIBOR + 2.250% | 2.50 | 2/8/2027 | 993,938 | 968,250 | 981,722 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Hotels, Motels, Inns and Gaming | 13,265,726 | 13,796,548 | 14,041,811 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Insurance — 2.9%*: |
| |||||||||||||||||||
Acrisure LLC, 3M LIBOR + 3.500% | 3.60 | 2/15/2027 | 1,979,969 | 1,956,548 | 1,956,862 | |||||||||||||||
Alliant Holdings Intermediate LLC, 3M LIBOR + 3.250% | 3.35 | 5/9/2025 | 2,235,626 | 2,241,240 | 2,210,229 | |||||||||||||||
AmWINS Group, Inc., 3M LIBOR + 2.250% | 3.00 | 2/19/2028 | 450,899 | 449,825 | 447,892 | |||||||||||||||
AssuredPartners, Inc., 1M LIBOR + 3.500% | 3.60 | 2/12/2027 | 1,739,442 | 1,746,424 | 1,729,545 | |||||||||||||||
Asurion LLC, 3M LIBOR + 3.250% | 3.35 | 12/23/2026 | 2,985,000 | 2,977,758 | 2,949,568 | |||||||||||||||
Hub International Ltd., 3M LIBOR + 2.750% | 2.93 | 4/25/2025 | 988,530 | 973,770 | 977,053 | |||||||||||||||
Ryan Specialty Group LLC, 1M LIBOR + 3.000% | 3.75 | 9/1/2027 | 434,080 | 428,325 | 433,672 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Insurance | 10,813,546 | 10,773,890 | 10,704,821 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Leisure, Amusement, Entertainment — 6.6%*: |
| |||||||||||||||||||
AMC Entertainment Holdings, Inc., 1M LIBOR + 3.000% | 3.10 | 4/22/2026 | 1,705,447 | 1,443,858 | 1,598,498 | |||||||||||||||
Crown Finance US, Inc., 6M LIBOR + 2.500% | 3.50 | 2/28/2025 | 2,057,671 | 2,042,752 | 1,809,043 | |||||||||||||||
Delta 2 (LUX) Sarl, 3M LIBOR + 2.500%(b) | 3.50 | 2/1/2024 | 1,394,967 | 1,397,074 | 1,386,472 | |||||||||||||||
Dorna Sports, S.L., EURIBOR + 3.250%(b) | 3.75 | 5/3/2024 | 2,478,282 | 2,909,615 | 2,910,030 | |||||||||||||||
Golden Entertainment, Inc., 1M LIBOR + 3.000% | 3.75 | 10/21/2024 | 875,316 | 844,223 | 868,751 | |||||||||||||||
International Park Holdings B.V., 6M LIBOR + 3.500%(b) | 3.50 | 6/13/2024 | 500,000 | 580,575 | 570,423 | |||||||||||||||
Metro-Goldwyn-Mayer, Inc., 1M LIBOR + 4.500% | 5.50 | 7/3/2026 | 3,000,000 | 2,983,658 | 2,997,510 | |||||||||||||||
Motion Finco Sarl, EURIBOR + 3.000%(b) | 3.00 | 11/12/2026 | 1,000,000 | 1,110,520 | 1,136,518 | |||||||||||||||
Odeon Cinemas Group Ltd., EURIBOR, PIK(b) | 10.75 | 8/19/2023 | 279,711 | 344,256 | 356,393 |
See accompanying Notes to the Financial Statements.
72
Table of Contents
Barings Global Floating Rate Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Leisure, Amusement, Entertainment (Continued) |
| |||||||||||||||||||
Parques Reunidos SAU, EURIBOR + 3.750%(b) | 3.75 | % | 9/16/2026 | 500,000 | $ | 546,125 | $ | 567,245 | ||||||||||||
Piolin Bidco SAU, EURIBOR + 7.500%(b) | 7.50 | 9/16/2026 | 500,000 | 599,714 | 593,865 | |||||||||||||||
Playtika Holding Corp., 3M LIBOR + 2.750% | 2.85 | 3/13/2028 | 490,473 | 488,105 | 487,967 | |||||||||||||||
PUG LLC, 1M LIBOR + 3.500% | 3.60 | 2/12/2027 | 1,464,364 | 1,447,698 | 1,428,678 | |||||||||||||||
SeaWorld Parks & Entertainment, Inc., 3M LIBOR + 3.000% | 3.75 | 3/31/2024 | 2,494,623 | 2,489,898 | 2,475,914 | |||||||||||||||
Silk Bidco AS, EURIBOR + 4.000%(b) | 4.00 | 2/24/2025 | 500,000 | 549,920 | 551,226 | |||||||||||||||
Tackle SARL, EURIBOR + 4.000%(b) | 4.00 | 5/22/2028 | 550,000 | 666,167 | 651,347 | |||||||||||||||
Vacalians Group, EURIBOR + 4.000%(b) | 4.00 | 11/28/2025 | 330,783 | 374,069 | 365,425 | |||||||||||||||
Vue International Bidco plc, EURIBOR + 4.750%(b) | 4.75 | 7/3/2026 | 923,797 | 1,027,273 | 1,041,039 | |||||||||||||||
William Morris Endeavor Entertainment, LLC, 1M LIBOR + 2.750% | 2.86 | 5/18/2025 | 2,266,625 | 2,246,965 | 2,221,292 | |||||||||||||||
WMG Acquisition Corp., 3M LIBOR + 2.125% | 2.23 | 1/20/2028 | 518,991 | 519,469 | 514,544 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Leisure, Amusement, Entertainment | 23,831,050 | 24,611,934 | 24,532,180 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 1.9%*: |
| |||||||||||||||||||
Alison Bidco Sarl, EURIBOR + 5.500%(b) | 4.96-6.50 | 8/29/2023 | 845,646 | 981,244 | 851,062 | |||||||||||||||
Ammeraal Beltech Holding B.V., EURIBOR + 3.750%(b) | 3.75 | 7/30/2025 | 1,000,000 | 1,206,119 | 1,177,189 | |||||||||||||||
Diebold,, Inc., EURIBOR + 3.000% | 3.00 | 11/6/2023 | 1,495,408 | 1,724,605 | 1,753,605 | |||||||||||||||
Gates Global LLC, 3M LIBOR + 2.750% | 3.50 | 3/31/2027 | 997,494 | 995,010 | 994,900 | |||||||||||||||
Madison IAQ LLC, 3M LIBOR + 3.250% | 3.75 | 6/16/2028 | 576,923 | 574,041 | 576,923 | |||||||||||||||
Titan Acquisition Ltd., 3M LIBOR + 3.000%(b) | 3.17 | 3/28/2025 | 1,935,868 | 1,934,682 | 1,900,616 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Machinery Non-Agriculture, Non-Construction, Non-Electronic | 6,851,339 | 7,415,701 | 7,254,295 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Media — 0.3%*: |
| |||||||||||||||||||
MH Sub I, LLC, 3M LIBOR + 6.250% | 6.35 | 2/12/2029 | 500,000 | 505,595 | 507,190 | |||||||||||||||
Redstone Buyer LLC, 3M LIBOR + 4.750% | 5.50 | 4/27/2028 | 650,536 | 647,263 | 648,370 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Media | 1,150,536 | 1,152,858 | 1,155,560 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mining, Steel, Iron and Non-Precious Metals — 0.5%*: |
| |||||||||||||||||||
Boomerang Tube LLC, 3M LIBOR + 5.000%(a),(d) | Zero Coupon | 6/30/2022 | 64,538 | 64,538 | – | |||||||||||||||
US Silica Co., 1M LIBOR + 4.000% | 5.00 | 5/1/2025 | 1,853,242 | 1,818,045 | 1,768,697 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Mining, Steel, Iron and Non-Precious Metals | 1,917,780 | 1,882,583 | 1,768,697 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 0.5%*: |
| |||||||||||||||||||
Buckeye Partners, L.P., 3M LIBOR + 2.250% | 2.35 | 11/1/2026 | 392,767 | 284,251 | 389,821 | |||||||||||||||
Gulf Finance LLC, 1M LIBOR + 5.250% | 6.25 | 8/25/2023 | 1,607,042 | 1,546,638 | 1,360,827 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Oil and Gas | 1,999,809 | 1,830,889 | 1,750,648 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
73
Table of Contents
Barings Global Floating Rate Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Personal and Non-Durable Consumer Products Mfg. Only — 1.0%*: |
| |||||||||||||||||||
Breitling Financing Sarl, EURIBOR + 3.500%(b) | 3.50 | % | 7/11/2024 | 1,000,000 | $ | 1,183,506 | $ | 1,175,007 | ||||||||||||
Coty Inc., 1M LIBOR + 2.250% | 2.35 | 4/7/2025 | 913,788 | 894,021 | 878,452 | |||||||||||||||
Journey Personal Care Corp., 3M LIBOR + 4.250% | 5.00 | 3/1/2028 | 326,423 | 324,867 | 327,036 | |||||||||||||||
Triton Water Holdings, Inc., 3M LIBOR + 3.500% | 4.00 | 3/31/2028 | 1,390,462 | 1,385,869 | 1,388,530 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Personal and Non-Durable Consumer Products Mfg. Only | 3,630,673 | 3,788,263 | 3,769,025 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Personal Transportation — 1.2%*: |
| |||||||||||||||||||
American Airlines, Inc., 1M LIBOR + 2.000% | 2.10 | 4/28/2023 | 1,948,769 | 1,942,935 | 1,899,563 | |||||||||||||||
American Airlines, Inc., 1M LIBOR + 1.750% | 1.85 | 6/27/2025 | 494,898 | 443,259 | 474,053 | |||||||||||||||
Kestrel Bidco, Inc., 1M LIBOR + 3.000%(b) | 4.00 | 12/11/2026 | 2,095,597 | 2,098,272 | 2,053,685 | |||||||||||||||
Naviera Armas SA, EURIBOR + 2.500%(a),(b) | 2.50 | 7/31/2021 | 106,892 | 125,878 | 126,746 | |||||||||||||||
Naviera Armas SA, EURIBOR + 2.500%, PIK(a),(b) | 7.50 | 7/31/2021 | 46,602 | 56,593 | 55,258 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Personal Transportation | 4,692,758 | 4,666,937 | 4,609,305 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Printing and Publishing — 1.3%*: |
| |||||||||||||||||||
Ascend Learning LLC, 3M LIBOR + 3.000% | 4.00 | 7/12/2024 | 994,832 | 993,658 | 993,797 | |||||||||||||||
Cimpress Public Ltd. Co., 1M LIBOR + 3.500% | 4.00 | 5/17/2028 | 522,876 | 517,719 | 520,695 | |||||||||||||||
Houghton Mifflin Harcourt Publishing Co., 1M LIBOR + 6.250% | 7.25 | 11/22/2024 | 92,912 | 90,372 | 92,929 | |||||||||||||||
McGraw-Hill Global Education Holdings LLC, 1M LIBOR + 4.750% | 5.75 | 11/1/2024 | 1,299,773 | 1,284,705 | 1,300,787 | |||||||||||||||
Springer Nature Deutschland GmbH, EURIBOR + 2.750%(b) | 3.25 | 8/14/2026 | 1,573,104 | 1,904,418 | 1,858,500 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Printing and Publishing | 4,483,497 | 4,790,872 | 4,766,708 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Retail Stores — 3.4%*: |
| |||||||||||||||||||
AT Home Group, Inc., 3M LIBOR + 4.250% | 4.75 | 7/30/2028 | 458,716 | 455,275 | 458,716 | |||||||||||||||
Casino Guichard-Perrachon SA, EURIBOR + 4.000%(b) | 4.00 | 8/31/2025 | 850,000 | 993,710 | 1,010,750 | |||||||||||||||
CBI Buyer, Inc., 3M LIBOR + 3.250% | 3.75 | 1/6/2028 | 1,477,425 | 1,482,960 | 1,469,417 | |||||||||||||||
EG Group Ltd., EURIBOR + 4.250%(b) | 4.75 | 3/31/2026 | 655,630 | 649,225 | 655,630 | |||||||||||||||
Eyemart Express LLC, 3M LIBOR + 3.000% | 4.00 | 8/4/2024 | 972,222 | 974,495 | 969,792 | |||||||||||||||
Great Outdoors Group LLC, 6M LIBOR + 4.250% | 5.00 | 3/6/2028 | 1,990,000 | 1,987,668 | 1,994,975 | |||||||||||||||
Harbor Freight Tools USA, Inc., 1M LIBOR + 3.000% | 3.75 | 10/19/2027 | 974,314 | 964,815 | 973,661 | |||||||||||||||
Jo Ann Stores, Inc., 3M LIBOR + 4.750% | 5.50 | 6/30/2028 | 352,941 | 351,177 | 352,059 | |||||||||||||||
Michaels Cos., Inc., 3M LIBOR + 4.250% | 5.00 | 4/15/2028 | 1,226,184 | 1,217,255 | 1,230,648 | |||||||||||||||
Peer Holding III B.V., 3M LIBOR + 3.500%(b) | 3.50 | 1/16/2027 | 1,000,000 | 1,190,550 | 1,182,572 |
See accompanying Notes to the Financial Statements.
74
Table of Contents
Barings Global Floating Rate Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Retail Stores (Continued) |
| |||||||||||||||||||
Petco Health and Wellness Company, Inc., 3M LIBOR + 3.250% | 4.00 | % | 3/3/2028 | 2,226,128 | $ | 2,221,403 | $ | 2,220,963 | ||||||||||||
PetSmart, Inc., 3M LIBOR + 3.750% | 4.50 | 2/12/2028 | 192,328 | 190,503 | 192,376 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Retail Stores | 12,375,888 | 12,679,036 | 12,711,559 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Telecommunications — 7.1%*: |
| |||||||||||||||||||
Banff Merger Sub, Inc., 1M LIBOR + 3.750% | 3.85 | 10/2/2025 | 1,863,218 | 1,860,943 | 1,851,573 | |||||||||||||||
CCI Buyer, Inc., 3M LIBOR + 4.000% | 4.75 | 12/17/2027 | 2,298,757 | 2,317,408 | 2,301,217 | |||||||||||||||
CenturyLink, Inc., 1M LIBOR + 2.250% | 2.35 | 3/15/2027 | 1,531,585 | 1,473,573 | 1,509,760 | |||||||||||||||
CommScope, Inc., 1M LIBOR + 3.250% | 3.35 | 4/6/2026 | 1,972,334 | 1,967,869 | 1,961,071 | |||||||||||||||
Consolidated Communications, Inc., 3M LIBOR + 3.500% | 4.25 | 10/2/2027 | 775,793 | 776,620 | 776,763 | |||||||||||||||
Digicel International Finance Ltd., 3M LIBOR + 3.250%(b) | 3.43 | 5/28/2024 | 150,645 | 151,221 | 144,338 | |||||||||||||||
Eagle Broadband Investments LLC, 3M LIBOR + 3.000% | 3.75 | 11/12/2027 | 452,266 | 448,130 | 451,840 | |||||||||||||||
ION Trading Technologies S.a.r.l., EURIBOR + 4.250% | 4.25 | 3/26/2028 | 900,000 | 1,061,954 | 1,069,395 | |||||||||||||||
Level 3 Financing Inc., 1M LIBOR + 1.750% | 1.85 | 3/1/2027 | 1,000,000 | 998,823 | 984,060 | |||||||||||||||
Lorca Finco plc, EURIBOR + 4.250%(b) | 4.25 | 9/17/2027 | 500,000 | 581,265 | 593,023 | |||||||||||||||
Matterhorn Telecom SA, EURIBOR + 2.625%(b) | 2.63 | 9/15/2026 | 1,000,000 | 1,207,827 | 1,170,252 | |||||||||||||||
Rackspace Technology Global, Inc., 3M LIBOR + 2.750% | 3.50 | 2/15/2028 | 1,593,189 | 1,588,362 | 1,583,694 | |||||||||||||||
Syniverse Holdings, Inc., 3M LIBOR + 5.000% | 6.00 | 3/9/2023 | 1,107,316 | 1,110,927 | 1,095,280 | |||||||||||||||
Syniverse Technologies, Inc., 3M LIBOR + 9.000% | 10.00 | 3/11/2024 | 2,175,482 | 1,902,411 | 2,122,900 | |||||||||||||||
TDC A/S, EURIBOR + 3.000%(b) | 3.00 | 6/4/2025 | 1,000,000 | 1,209,968 | 1,177,628 | |||||||||||||||
Tiger Acquisition LLC, 3M LIBOR + 3.250% | 3.75 | 6/1/2028 | 468,750 | 464,557 | 467,433 | |||||||||||||||
Virgin Media SFA Finance Ltd., LIBOR – GBP + 3.250%(b) | 3.31 | 11/15/2027 | 2,250,000 | 3,098,977 | 3,066,050 | |||||||||||||||
Voyage Australia Pty Ltd., 3M LIBOR + 3.500%(b) | 4.00 | 6/16/2028 | 969,697 | 960,000 | 969,697 | |||||||||||||||
Zayo Group Holdings, Inc., 1M LIBOR + 3.000% | 3.10 | 3/9/2027 | 860,786 | 859,037 | 851,171 | |||||||||||||||
Ziggo B.V., EURIBOR + 3.000%(b) | 3.00 | 1/31/2029 | 2,000,000 | 2,394,958 | 2,350,963 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Telecommunications | 24,869,818 | 26,434,830 | 26,498,108 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Utilities — 1.0%*: |
| |||||||||||||||||||
Astoria Energy LLC, 3M LIBOR + 3.500% | 4.50 | 12/10/2027 | 709,173 | 705,856 | 707,698 | |||||||||||||||
Edgewater Generation, L.L.C., 3M LIBOR + 3.750% | 3.85 | 12/13/2025 | 1,577,357 | 1,561,282 | 1,501,944 | |||||||||||||||
Techem Verwaltungsgesellschaft 675 mbH, EURIBOR + 2.625%(b) | 1.83 | 7/15/2025 | 1,000,000 | 1,215,728 | 1,172,908 |
See accompanying Notes to the Financial Statements.
75
Table of Contents
Barings Global Floating Rate Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Utilities (Continued) |
| |||||||||||||||||||
USIC Holdings, Inc., 3M LIBOR + 3.500% | 4.25 | % | 5/12/2028 | 449,089 | $ | 446,851 | $ | 447,966 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Utilities | 3,735,619 | 3,929,717 | 3,830,516 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Bank Loans | 321,791,613 | 329,757,544 | 330,419,099 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Corporate Bonds — 4.0%*: |
| |||||||||||||||||||
Automobile — 0.2%*: |
| |||||||||||||||||||
Aston Martin Capital Holdings Ltd.(b),(e) | 10.50 | 11/30/2025 | 500,000 | 543,245 | 557,500 | |||||||||||||||
RAC Bond Co. plc(b) | 5.00 | 11/6/2022 | 100,000 | 126,748 | 138,269 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Automobile | 600,000 | 669,993 | 695,769 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Beverage, Food and Tobacco — 0.6%*: |
| |||||||||||||||||||
Boparan Finance plc(b) | 7.63 | 11/30/2025 | 500,000 | 674,711 | 629,401 | |||||||||||||||
Picard Groupe SAS, EURIBOR + 3.000%(b) | 3.00 | (f) | 11/30/2023 | 1,000,000 | 1,196,470 | 1,184,664 | ||||||||||||||
Picard Groupe SAS(b) | 3.46 | 7/1/2026 | 250,000 | 296,438 | 296,438 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Beverage, Food and Tobacco | 1,750,000 | 2,167,619 | 2,110,503 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Broadcasting and Entertainment — 0.4%*: |
| |||||||||||||||||||
Banijay Entertainment SASU(b) | 3.50 | 3/1/2025 | 500,000 | 608,175 | 598,804 | |||||||||||||||
Tele Columbus AG(b) | 3.88 | 5/2/2025 | 800,000 | 876,887 | 959,452 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Broadcasting and Entertainment | 1,300,000 | 1,485,062 | 1,558,256 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified/Conglomerate Manufacturing — 0.3%*: |
| |||||||||||||||||||
Fabric BC SpA, EURIBOR + 4.125%(b) | 4.13 | (f) | 8/31/2026 | 100,000 | 109,975 | 118,768 | ||||||||||||||
Galapagos S.A.(a),(b),(d) | 4.21 | 6/15/2021 | 20,000 | 27,263 | – | |||||||||||||||
International Design Group SpA, EURIBOR + 4.250%(b) | 4.25 | (f) | 5/15/2026 | 100,000 | 120,765 | 119,583 | ||||||||||||||
Mangrove Luxco III Sarl(b) | 7.78 | 10/9/2025 | 265,415 | 254,198 | 286,549 | |||||||||||||||
Trivium Packaging Finance BV, EURIBOR + 3.750%(b) | 3.75 | (f) | 8/15/2026 | 400,000 | 482,340 | 473,663 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Manufacturing | 885,415 | 994,541 | 998,563 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified/Conglomerate Service — 0.6%*: |
| |||||||||||||||||||
Algeco Global Finance PLC, EURIBOR + 6.250%(b) | 6.25 | (f) | 2/15/2023 | 150,000 | 184,070 | 178,974 | ||||||||||||||
Brunello Bidco SpA, EURIBOR + 3.750%(b) | 3.75 | (f) | 2/15/2028 | 200,000 | 242,130 | 237,038 | ||||||||||||||
Carlson Travel, Inc., EURIBOR + 4.750% | 4.75 | (f) | 6/15/2025 | 1,200,000 | 1,371,810 | 1,252,152 | ||||||||||||||
Verisure Holding AB(b) | 3.25 | 2/15/2027 | 450,000 | 543,533 | 533,684 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Service | 2,000,000 | 2,341,543 | 2,201,848 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Finance — 0.1%*: |
| |||||||||||||||||||
Travelex Financing plc(a),(b),(d) | 8.00 | 5/15/2022 | 250,000 | 274,580 | – | |||||||||||||||
Travelex Issuerco Ltd.(b) | 12.50 | 8/5/2025 | 219,871 | 264,226 | 509,447 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Finance | 469,871 | 538,806 | 509,447 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
76
Table of Contents
Barings Global Floating Rate Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Healthcare, Education and Childcare — 0.1%*: |
| |||||||||||||||||||
Tenet Healthcare Corp. | 4.63 | % | 7/15/2024 | 255,000 | $ | 254,475 | $ | 258,748 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
Home and Office Furnishings, Housewares, and Durable Consumer Products — 0.1%*: |
| |||||||||||||||||||
Staples, Inc.(e) | 7.50 | 4/15/2026 | 300,000 | 311,530 | 311,250 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Hotels, Motels, Inns and Gaming — 0.2%*: |
| |||||||||||||||||||
TVL Finance plc, 3M GBP LIBOR + 5.375%(b) | 5.40 | (f) | 7/15/2025 | 600,000 | 759,944 | 790,556 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Leisure, Amusement, Entertainment — 0.3%*: |
| |||||||||||||||||||
CPUK Finance Ltd.(b) | 4.88 | 8/28/2025 | 600,000 | 790,585 | 839,840 | |||||||||||||||
CPUK Finance Ltd.(b) | 6.50 | 8/28/2026 | 100,000 | 126,397 | 146,457 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Leisure, Amusement, Entertainment | 700,000 | 916,982 | 986,297 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 0.1%*: |
| |||||||||||||||||||
Sofima Holding SpA, EURIBOR + 4.000%(b) | 4.00 | (f) | 1/15/2028 | 275,000 | 333,870 | 327,288 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 0.1%*: |
| |||||||||||||||||||
KCA Deutag UK Finance plc(b) | 9.88 | 12/1/2025 | 390,061 | 390,061 | 430,432 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Personal Transportation — 0.1%*: |
| |||||||||||||||||||
Naviera Armas S.A., EURIBOR + 6.500%(b) | 6.50 | (f) | 7/31/2023 | 250,000 | 290,587 | 204,542 | ||||||||||||||
Naviera Armas SA, EURIBOR + 4.250%(b) | 4.25 | (f) | 11/15/2024 | 250,000 | 296,118 | 204,542 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Personal Transportation | 500,000 | 586,705 | 409,084 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Retail Stores — 0.4%*: |
| |||||||||||||||||||
Afflelou SAS(b) | 4.25 | 5/19/2026 | 100,000 | 121,495 | 120,934 | |||||||||||||||
Bellis Acquisition Co. plc(b) | 3.25 | 2/16/2026 | 300,000 | 414,990 | 415,509 | |||||||||||||||
EG Global Finance plc(b) | 6.25 | 3/30/2026 | 580,000 | 808,056 | 804,320 | |||||||||||||||
House of Fraser Funding plc(b),(d) | 5.95 | 9/15/2020 | 300,000 | 434,213 | 6,225 | |||||||||||||||
NMG Holding Co., Inc. / Neiman Marcus Group LLC(e) | 7.13 | 4/1/2026 | 282,000 | 282,000 | 300,330 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Retail Stores | 1,562,000 | 2,060,754 | 1,647,318 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Telecommunications — 0.3%*: |
| |||||||||||||||||||
Altice France SA(b) | 4.00 | 7/15/2029 | 500,000 | 597,725 | 588,853 | |||||||||||||||
United Group BV(b) | 4.00 | 11/15/2027 | 500,000 | 603,617 | 588,666 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Telecommunications | 1,000,000 | 1,201,342 | 1,177,519 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
77
Table of Contents
Barings Global Floating Rate Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Utilities — 0.1%*: |
| |||||||||||||||||||
Viridian Group Finance Co. PLC/Viridian Power & Energy(b) | 4.75 | % | 9/15/2024 | 350,000 | $ | 435,634 | $ | 487,785 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Corporate Bonds | 12,937,347 | 15,448,861 | 14,900,663 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Fixed Income | 334,728,960 | 345,206,405 | 345,319,762 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Investments | 335,160,144 | 347,281,275 | 347,284,309 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Other assets and liabilities – 7.0%* | 26,048,897 | |||||||||||||||||||
|
| |||||||||||||||||||
Net Assets – 100.0%* | $373,333,206 | |||||||||||||||||||
|
|
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 | 70.0% | |||||
United Kingdom | 9.0% | |||||
Germany | 5.5% | |||||
France | 3.0% | |||||
Netherlands | 2.8% | |||||
Spain | 2.4% | |||||
Denmark | 1.7% | |||||
Canada | 1.3% | |||||
Sweden | 1.0% | |||||
Other (Individually less than 1%) | 3.3% | |||||
|
| |||||
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, 2021. 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) | Defaulted security. |
(e) | 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. |
(f) | Variable rate security. The interest rate shown is the rate in effect at June 30, 2021. |
See accompanying Notes to the Financial Statements.
78
Table of Contents
Barings Global Floating Rate Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
A summary of outstanding derivatives at June 30, 2021 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 | |||||||||||||||||
7/14/21 | Morgan Stanley & Co. | EUR | 951,651 | $ | 1,128,707 | $ | 1,160,108 | $ | 31,401 | |||||||||||||
7/14/21 | Canadian Imperial Bank of Commerce | EUR | 55,249,782 | 65,529,054 | 67,292,763 | 1,763,709 | ||||||||||||||||
7/14/21 | Canadian Imperial Bank of Commerce | GBP | 10,573,506 | 14,626,868 | 14,973,525 | 346,657 | ||||||||||||||||
|
| |||||||||||||||||||||
Net unrealized appreciation on forward foreign currency exchange contracts to sell | $ | 2,141,767 | ||||||||||||||||||||
|
|
Currency Legend
EUR | – | Euro | ||
GBP | – | British Pound Sterling |
See accompanying Notes to the Financial Statements.
79
Table of Contents
Barings Global Credit Income Opportunities Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS
June 30, 2021
SHARES | COST | FAIR VALUE | ||||||||||||||||||
Equities — 0.9%*: |
| |||||||||||||||||||
Common Stocks — 0.9%*: |
| |||||||||||||||||||
Broadcasting and Entertainment — 0.0%*: |
| |||||||||||||||||||
Technicolor SA(a) | 14,662 | $175 | $56,850 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified/Conglomerate Service — 0.0%*: |
| |||||||||||||||||||
Innovation International Holding Ltd.(a),(b) | 142,479 | – | – | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Finance — 0.0%*: |
| |||||||||||||||||||
Travelex Topco Ltd.(a),(b) | 5,546 | – | – | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Healthcare, Education and Childcare — 0.2%*: |
| |||||||||||||||||||
Don Jersey Topco Ltd.(a),(b) | 257,069 | 171,459 | 275,593 | |||||||||||||||||
MModal, Inc., Escrow rights(b) | 4,725 | 10,631 | 3,213 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Healthcare, Education and Childcare | 261,794 | 182,090 | 278,806 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mining, Steel, Iron and Non-Precious Metals — 0.0%*: |
| |||||||||||||||||||
Boomerang Tube LLC(b) | 1,769 | 171,860 | – | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 0.7%*: |
| |||||||||||||||||||
Fieldwood Energy LLC(b) | 615 | 34,151 | 34,151 | |||||||||||||||||
Fieldwood Energy LLC | 3,698 | 129,430 | 4 | |||||||||||||||||
Fieldwood Energy LLC | 15,071 | 325,033 | 15 | |||||||||||||||||
Kelly Topco Ltd.(a) | 6,999 | 293,958 | 577,417 | |||||||||||||||||
Tourmaline Oil Corp.(a) | 28,412 | 398,991 | 812,066 | |||||||||||||||||
Tourmaline Oil Corp.(a),(b) | 122,953 | – | 99,188 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Oil and Gas | 177,748 | 1,181,563 | 1,522,841 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Common Stocks | 603,998 | 1,535,688 | 1,858,497 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Warrant — 0.0%*: |
| |||||||||||||||||||
Finance — 0.0%*: |
| |||||||||||||||||||
Travelex Topco Ltd.(a) | 837 | – | 88,284 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Equities | 604,835 | 1,535,688 | 1,946,781 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Fixed Income — 92.2%*: |
| |||||||||||||||||||
Asset-Backed Securities — 8.8%*: |
| |||||||||||||||||||
CDO/CLO — 8.8%*: |
| |||||||||||||||||||
Alinea CLO 2018-1 Ltd., 3M USD LIBOR + 6.000%(c) | 6.19 | %(d) | 7/20/2031 | 1,250,000 | 1,250,000 | 1,229,232 | ||||||||||||||
Anchorage Capital CLO Ltd. 2015-6A ER, 3M USD LIBOR + 6.350%(c) | 6.53 | (d) | 7/15/2030 | 500,000 | 511,302 | 493,079 | ||||||||||||||
Ares XLVIII CLO, 3M USD LIBOR + 5.200%(c) | 5.39 | (d) | 7/20/2030 | 800,000 | 800,000 | 763,412 | ||||||||||||||
Blackrock European CLO, EURIBOR + 5.170%(a) | 5.17 | (d) | 10/15/2031 | 725,000 | 805,013 | 829,514 | ||||||||||||||
Cairn CLO XI DAC, EURIBOR + 4.150%(a),(c) | 4.15 | (d) | 7/15/2035 | 1,000,000 | 1,107,100 | 1,195,254 |
See accompanying Notes to the Financial Statements.
80
Table of Contents
Barings Global Credit Income Opportunities Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Asset-Backed Securities (Continued) |
| |||||||||||||||||||
CDO/CLO (Continued) |
| |||||||||||||||||||
Canyon Capital CLO 2021-2 Ltd., 3M USD LIBOR + 6.700%(c) | 6.86 | % (d) | 4/15/2034 | 1,500,000 | $ | 1,470,038 | $ | 1,487,994 | ||||||||||||
CBAM Ltd. 2017-3A E, 3M USD LIBOR + 6.500%(c) | 6.69 | (d) | 10/17/2029 | 750,000 | 750,000 | 745,189 | ||||||||||||||
Cedar Funding IV CLO Ltd., 3M USD LIBOR + 6.610%(c) | 6.76 | (d) | 7/23/2034 | 1,000,000 | 990,154 | 989,900 | ||||||||||||||
CIFC Funding Ltd. 2017-5A D, 3M USD LIBOR + 6.100%(c) | 6.29 | (d) | 11/16/2030 | 500,000 | 500,000 | 496,431 | ||||||||||||||
Galaxy XXIV CLO Ltd. 2017-24A E, 3M USD LIBOR + 5.500%(c) | 5.68 | (d) | 1/15/2031 | 700,000 | 700,000 | 665,424 | ||||||||||||||
Madison Park Funding XIII Ltd. 2014-13A(c) | Zero Coupon | 4/19/2030 | 500,000 | 436,027 | 239,676 | |||||||||||||||
Madison Park Funding XXVII Ltd., 3M USD LIBOR + 5.000%(c) | 5.19 | (d) | 4/20/2030 | 500,000 | 500,000 | 475,892 | ||||||||||||||
Madison Park Funding XXVIII Ltd., 3M USD LIBOR + 7.600%(c) | 7.78 | (d) | 7/15/2030 | 500,000 | 496,163 | 468,956 | ||||||||||||||
Magnetite VII Ltd.(c) | Zero Coupon | 1/15/2028 | 2,000,000 | 1,601,077 | 980,142 | |||||||||||||||
Neuberger Berman Loan Advisers CLO 24 Ltd., 3M USD LIBOR + 6.020%(c) | 6.21 | (d) | 4/19/2030 | 1,500,000 | 1,497,034 | 1,485,820 | ||||||||||||||
Oak Hill Credit Partners X Ltd. 2014-10A(c) | Zero Coupon | 12/12/2030 | 1,400,000 | 969,752 | 706,370 | |||||||||||||||
OHA Credit Funding 9 Ltd., 3M USD LIBOR + 6.250%(c) | 6.38 | (d) | 7/19/2035 | 625,000 | 625,000 | 624,914 | ||||||||||||||
Steele Creek CLO Ltd. 2018-2A E, 3M USD LIBOR + 6.200%(c) | 6.36 | (d) | 8/18/2031 | 850,000 | 850,000 | 775,225 | ||||||||||||||
THL Credit Wind River CLO Ltd. 2017-4A E, 3M USD LIBOR + 5.800%(c) | 5.96 | (d) | 11/20/2030 | 500,000 | 500,000 | 475,787 | ||||||||||||||
THL Credit Wind River CLO Ltd. 2018-2A E, 3M USD LIBOR + 5.750%(c) | 5.93 | (d) | 7/15/2030 | 1,450,000 | 1,450,000 | 1,403,291 | ||||||||||||||
Wellfleet CLO Ltd. 2017-3A D, 3M USD LIBOR + 5.550%(c) | 5.74 | (d) | 1/17/2031 | 1,000,000 | 1,000,000 | 935,412 | ||||||||||||||
Wellfleet CLO Ltd. 2018-1, 3M USD LIBOR + 5.500%(c) | 5.69 | (d) | 7/17/2031 | 1,000,000 | 1,000,000 | 925,807 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total CDO/CLO | 20,550,000 | 19,808,660 | 18,392,721 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Asset-Backed Securities | 20,550,000 | 19,808,660 | 18,392,721 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Bank Loans — 42.5%*(e): |
| |||||||||||||||||||
Aerospace and Defense — 1.0%*: |
| |||||||||||||||||||
AAdvantage Loyalty IP Ltd., 3M LIBOR + 4.750% | 5.50 | 4/20/2028 | 506,512 | 501,447 | 527,659 | |||||||||||||||
Peraton Corp., 1M LIBOR + 3.750% | 4.50 | 2/1/2028 | 680,733 | 677,422 | 682,149 | |||||||||||||||
TransDigm, Inc., 1M LIBOR + 2.250% | 2.35 | 5/30/2025 | 476,341 | 474,994 | 469,282 | |||||||||||||||
United Airlines, Inc., 3M LIBOR + 3.750% | 4.50 | 4/21/2028 | 348,654 | 346,958 | 352,915 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Aerospace and Defense | 2,012,240 | 2,000,821 | 2,032,005 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
81
Table of Contents
Barings Global Credit Income Opportunities Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Automobile — 1.1%*: |
| |||||||||||||||||||
BCA Marketplace plc, LIBOR – GBP + 4.750%(a) | 4.81 | % | 11/13/2026 | 500,000 | $ | 622,511 | $ | 687,943 | ||||||||||||
Clarios Global LP, EURIBOR + 3.250% | 3.25 | 4/30/2026 | 500,000 | 594,943 | 588,132 | |||||||||||||||
Clarios Global LP, 1M LIBOR + 3.250% | 3.35 | 4/30/2026 | 1,034,666 | 1,034,148 | 1,024,319 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Automobile | 2,034,666 | 2,251,602 | 2,300,394 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Beverage, Food and Tobacco — 0.9%*: |
| |||||||||||||||||||
Deoleo S.A., EURIBOR + 4.000%(a) | 5.00 | 6/24/2025 | 116,529 | 131,393 | 136,562 | |||||||||||||||
IRB Holding Corp., 3M LIBOR + 2.750% | 3.75 | 2/5/2025 | 1,190,587 | 1,192,721 | 1,187,730 | |||||||||||||||
Skopima Merger Sub Inc., 1M LIBOR + 4.000% | 4.50 | 4/30/2028 | 641,711 | 635,405 | 640,511 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Beverage, Food and Tobacco | 1,948,827 | 1,959,519 | 1,964,803 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Broadcasting and Entertainment — 3.2%*: |
| |||||||||||||||||||
AVSC Holding Corp., EURIBOR + 3.250%, PIK | 4.25 | 3/3/2025 | 1,469,050 | 1,301,774 | 1,344,519 | |||||||||||||||
Clear Channel Outdoor Holdings, Inc., 3M LIBOR + 3.500% | 3.69 | 8/21/2026 | 1,538,388 | 1,463,654 | 1,500,575 | |||||||||||||||
CSC Holdings LLC, 1M LIBOR + 2.500% | 2.57 | 4/15/2027 | 989,975 | 961,145 | 979,541 | |||||||||||||||
Cumulus Media New Holdings Inc., 3M LIBOR + 3.750% | 4.75 | 3/31/2026 | 761,036 | 754,281 | 761,796 | |||||||||||||||
Technicolor SA, EURIBOR + 3.000%(a) | 3.00 | 12/31/2024 | 600,000 | 706,329 | 688,684 | |||||||||||||||
Technicolor SA, 6M LIBOR + 6.000%, PIK(a) | 6.00 | 6/30/2024 | 405,159 | 405,213 | 506,196 | |||||||||||||||
Terrier Media Buyer, Inc., 1M LIBOR + 3.500% | 3.60 | 12/17/2026 | 258,634 | 258,083 | 257,196 | |||||||||||||||
Univision Communication, Inc., 3M LIBOR + 3.250% | 4.00 | 5/5/2028 | 670,241 | 663,539 | 667,172 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Broadcasting and Entertainment | 6,692,483 | 6,514,018 | 6,705,679 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Buildings and Real Estate — 0.4%*: |
| |||||||||||||||||||
Polaris Newco LLC, 6M LIBOR + 4.000% | 4.50 | 6/2/2028 | 595,002 | 592,045 | 596,418 | |||||||||||||||
SRS Distribution, Inc., 1M LIBOR + 3.750% | 4.25 | 6/2/2028 | 248,747 | 246,881 | 248,471 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Buildings and Real Estate | 843,749 | 838,926 | 844,889 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Chemicals, Plastics and Rubber — 1.4%*: |
| |||||||||||||||||||
Colouroz Investment 1 GmbH, EURIBOR + 4.250%, PIK(a) | 0.75 | 9/21/2023 | 23,614 | 28,012 | 27,808 | |||||||||||||||
Colouroz Investment 1 GmbH, EURIBOR + 4.250%(a) | 5.00 | 9/21/2023 | 1,295,232 | 1,536,792 | 1,525,270 | |||||||||||||||
Flint Group GmbH, EURIBOR + 4.250%, PIK(a) | 0.75 | 9/21/2023 | 5,828 | 6,945 | 6,864 | |||||||||||||||
Flint Group GmbH, EURIBOR + 4.250%(a) | 5.00 | 9/21/2023 | 273,549 | 324,991 | 322,133 | |||||||||||||||
Gemini HDPE LLC, 3M LIBOR + 3.000% | 3.50 | 12/31/2027 | 111,715 | 110,674 | 111,482 | |||||||||||||||
Novacap S.A., EURIBOR + 3.500%(a) | 3.50 | 6/22/2023 | 500,000 | 581,652 | 588,749 | |||||||||||||||
PQ Performance Chemicals, 3M LIBOR + 3.500% | 4.25 | 5/4/2028 | 162,602 | 161,789 | 162,652 | |||||||||||||||
Solenis Holdings LLC, 3M LIBOR + 4.000% | 4.14 | 6/26/2025 | 239,697 | 238,321 | 239,441 | |||||||||||||||
Solenis Holdings LLC, 3M LIBOR + 8.500% | 8.64 | 6/26/2026 | 47,145 | 46,262 | 46,991 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Chemicals, Plastics and Rubber | 2,659,382 | 3,035,438 | 3,031,390 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
82
Table of Contents
Barings Global Credit Income Opportunities Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Containers, Packaging and Glass — 1.5%*: |
| |||||||||||||||||||
Albea Beauty Holdings S.A., 3M LIBOR + 3.000%(a) | 4.00 | % | 4/22/2024 | 66,733 | $ | 66,694 | $ | 64,397 | ||||||||||||
BWAY Holding Co., 1M LIBOR + 3.250% | 3.35 | 4/3/2024 | 1,295,580 | 1,295,389 | 1,263,398 | |||||||||||||||
CCP Lux Holding S.a. r.l., EURIBOR + 4.250%(a) | 4.25 | 1/10/2025 | 874,946 | 986,262 | 1,033,058 | |||||||||||||||
Graham Packaging Co. Inc., 1M LIBOR + 3.000% | 3.75 | 8/4/2027 | 181,794 | 181,969 | 181,525 | |||||||||||||||
Reynolds Consumer Products LLC, 1M LIBOR + 1.750% | 1.85 | 2/4/2027 | 95,992 | 95,896 | 95,176 | |||||||||||||||
TricorBraun Holdings, Inc., 3M LIBOR + 3.250% | 3.25 | 3/3/2028 | 821 | 818 | 815 | |||||||||||||||
TricorBraun Holdings, Inc., 3M LIBOR + 3.250% | 3.75 | 3/3/2028 | 109,562 | 109,038 | 108,699 | |||||||||||||||
Trident TPI Holdings, Inc., 3M LIBOR + 3.000% | 4.00 | 10/17/2024 | 491,094 | 483,442 | 488,639 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Containers, Packaging and Glass | 3,116,522 | 3,219,508 | 3,235,707 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified/Conglomerate Manufacturing — 2.0%*: |
| |||||||||||||||||||
Alison Bidco S.a.r.l., EURIBOR + 5.500%, PIK(a) | 2.50 | 8/29/2023 | 314,245 | 307,449 | 259,906 | |||||||||||||||
Alison Bidco S.a.r.l., EURIBOR + 5.500%, PIK(a) | 6.50 | 8/29/2023 | 314,246 | 307,449 | 259,906 | |||||||||||||||
Amer Sports Oyj, 3M LIBOR + 4.500%(a) | 4.50 | 3/30/2026 | 600,000 | 667,987 | 710,916 | |||||||||||||||
Averys, EURIBOR + 3.750%(a) | 3.75 | 9/29/2025 | 500,000 | 581,442 | 585,097 | |||||||||||||||
DG Investment Intermediate Holdings 2, Inc., 3M LIBOR + 3.750% | 4.50 | 3/31/2028 | 697,048 | 693,676 | 699,084 | |||||||||||||||
Illuminate Merger Corp., 3M LIBOR + 3.500% | 4.00 | 6/30/2028 | 360,656 | 358,852 | 360,656 | |||||||||||||||
LTI Holdings, Inc., 1M LIBOR + 3.500% | 3.60 | 9/6/2025 | 738,988 | 729,760 | 728,317 | |||||||||||||||
Winterfell Financing Sarl, EURIBOR + 3.500%(a) | 3.50 | 5/4/2028 | 500,000 | 603,378 | 589,573 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Manufacturing | 4,025,183 | 4,249,993 | 4,193,455 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified/Conglomerate Service — 4.7%*: |
| |||||||||||||||||||
CoreLogic, Inc., 3M LIBOR + 6.500% | 6.65 | 4/13/2029 | 355,114 | 351,647 | 356,889 | |||||||||||||||
Cvent, Inc., 1M LIBOR + 3.750% | 3.85 | 11/29/2024 | 989,764 | 880,937 | 975,413 | |||||||||||||||
Endure Digital Inc., 3M LIBOR + 3.500% | 4.25 | 2/10/2028 | 161,607 | 160,817 | 160,731 | |||||||||||||||
Finastra USA, Inc., 6M LIBOR + 3.500% | 4.50 | 6/13/2024 | 808,716 | 810,005 | 795,493 | |||||||||||||||
Greeneden U.S. Holdings II LLC, 1M LIBOR + 4.000% | 4.75 | 12/1/2027 | 127,632 | 126,457 | 127,860 | |||||||||||||||
Hyland Software, Inc., 1M LIBOR + 3.500% | 4.25 | 7/1/2024 | 974,937 | 968,760 | 975,746 | |||||||||||||||
Hyland Software, Inc., 1M LIBOR + 6.250% | 7.00 | 7/7/2025 | 250,909 | 250,909 | 251,745 | |||||||||||||||
IGT Holding IV AB, EURIBOR + 3.750%(a) | 4.25 | 3/31/2028 | 458,621 | 457,474 | 459,767 | |||||||||||||||
Informatica LLC, 1M LIBOR + 3.250% | 3.35 | 2/25/2027 | 366,625 | 365,140 | 364,085 | |||||||||||||||
Informatica LLC, 3M LIBOR + 7.125% | 7.13 | 2/25/2025 | 133,146 | 132,657 | 135,809 | |||||||||||||||
Innovation Group plc (The), 3M LIBOR + 6.000%(a),(b) | 6.00 | 9/30/2025 | 173,626 | 71,981 | 93,056 | |||||||||||||||
Innovation Group plc (The), 3M LIBOR + 6.000%(a),(b) | 6.10 | 9/30/2025 | 64,931 | 38,810 | 40,598 | |||||||||||||||
Innovation Group plc (The), 3M LIBOR + 10.000%(a),(b) | 10.08 | 9/30/2025 | 28,429 | 38,913 | �� | 39,327 | ||||||||||||||
Innovation Group plc (The), 3M LIBOR + 10.000%(a),(b) | 10.10 | 9/30/2025 | 28,429 | 38,913 | 39,327 |
See accompanying Notes to the Financial Statements.
83
Table of Contents
Barings Global Credit Income Opportunities Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Diversified/Conglomerate Service (Continued) |
| |||||||||||||||||||
MH Sub I LLC, 1M LIBOR + 3.500% | 3.60 | % | 9/13/2024 | 975,876 | $ | 966,814 | $ | 970,723 | ||||||||||||
Mitchell International, Inc., 1M LIBOR + 3.250% | 3.35 | 11/29/2024 | 979,747 | 931,453 | 969,704 | |||||||||||||||
Proofpoint, Inc., 3M LIBOR + 3.250% | 3.75 | 6/9/2028 | 465,116 | 462,791 | 462,270 | |||||||||||||||
Spin Holdco, Inc., 3M LIBOR + 4.000% | 4.75 | 3/1/2028 | 695,283 | 690,296 | 695,374 | |||||||||||||||
TMF Group Holding B.V., EURIBOR + 6.875%(a) | 6.88 | 5/4/2026 | 500,000 | 544,591 | 589,911 | |||||||||||||||
Ultimate Software Group Inc(The), 3M LIBOR + 3.250% | 4.00 | 5/4/2026 | 369,363 | 371,609 | 369,577 | |||||||||||||||
Vision Solutions, Inc., 3M LIBOR + 4.250% | 5.00 | 4/24/2028 | 904,110 | 899,688 | 902,301 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Service | 9,811,981 | 9,560,662 | 9,775,706 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Ecological — 0.0%*: |
| |||||||||||||||||||
GFL Environmental Inc., 3M LIBOR + 3.000% | 3.50 | 5/30/2025 | 66,560 | 66,593 | 66,570 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Electronics — 2.6%*: |
| |||||||||||||||||||
Ahead Data Blue LLC, 2M LIBOR + 3.750% | 4.50 | 10/18/2027 | 238,495 | 239,366 | 238,755 | |||||||||||||||
BY Crown Parent LLC, 1M LIBOR + 3.000% | 4.00 | 2/2/2026 | 709,335 | 706,366 | 708,448 | |||||||||||||||
Ensono, LP, 1M LIBOR + 4.000% | 4.75 | 5/19/2028 | 564,972 | 559,387 | 565,441 | |||||||||||||||
ION Trading Finance Ltd., 3M LIBOR + 4.750% | 4.92 | 4/1/2028 | 999,445 | 996,946 | 1,002,483 | |||||||||||||||
Ivanti Software, Inc., 3M LIBOR + 4.750% | 5.75 | 12/1/2027 | 529,589 | 522,284 | 529,663 | |||||||||||||||
McAfee Enterprise, 3M LIBOR + 5.000% | 5.75 | 5/3/2028 | 764,423 | 756,779 | 763,659 | |||||||||||||||
Renaissance Holding Corp., 1M LIBOR + 3.250% | 3.34 | 5/30/2025 | 470,994 | 471,870 | 465,695 | |||||||||||||||
Sophia, LP, 3M LIBOR + 3.750% | 4.50 | 10/7/2027 | 115,611 | 114,832 | 115,635 | |||||||||||||||
Tibco Software Inc., 1M LIBOR + 3.750% | 3.86 | 6/30/2026 | 990,000 | 961,756 | 986,535 | |||||||||||||||
Tibco Software Inc., 1M LIBOR + 7.250% | 7.36 | 3/3/2028 | 146,642 | 146,029 | 148,659 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Electronics | 5,529,506 | 5,475,615 | 5,524,973 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Energy Equipment and Services — 0.2%*: |
| |||||||||||||||||||
DT Midstream, Inc., 3M LIBOR + 2.000% | 2.50 | 6/12/2028 | 347,222 | 345,486 | 347,531 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Finance — 1.0%*: |
| |||||||||||||||||||
Aqgen Ascensus, Inc., 3M LIBOR + 6.500% | 7.00 | 5/4/2029 | 250,358 | 247,854 | 247,854 | |||||||||||||||
Aqgen Island Holdings, Inc., 3M LIBOR + 3.500% | 4.00 | 5/20/2028 | 926,880 | 922,245 | 923,988 | |||||||||||||||
Deerfield Dakota Holding LLC, 1M LIBOR + 6.750% | 7.50 | 4/7/2028 | 410,077 | 412,072 | 419,304 | |||||||||||||||
Zera uyer LLC, 3M LIBOR + 3.250% | 3.75 | 4/21/2028 | 456,621 | 454,338 | 457,680 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Finance | 2,043,936 | 2,036,509 | 2,048,826 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Healthcare, Education and Childcare — 6.1%*: |
| |||||||||||||||||||
Advanz Pharma Corp., EURIBOR + 5.000%(a) | 5.00 | 6/1/2028 | 1,000,000 | 1,200,448 | 1,187,481 | |||||||||||||||
Aenova Holding GmbH, EURIBOR + 5.000%(a) | 5.00 | 3/6/2025 | 500,000 | 537,960 | 594,108 | |||||||||||||||
Auris Luxembourg III S.a.r.l., EURIBOR + 4.000%(a) | 4.00 | 2/27/2026 | 1,000,000 | 1,108,484 | 1,176,288 | |||||||||||||||
Change Healthcare Holdings LLC, 1M LIBOR + 2.500% | 3.50 | 3/1/2024 | 611,594 | 609,499 | 610,798 | |||||||||||||||
Eagle Bidco Ltd., LIBOR – GBP + 4.750%(a) | 4.81 | 3/10/2028 | 500,000 | 693,142 | 691,076 |
See accompanying Notes to the Financial Statements.
84
Table of Contents
Barings Global Credit Income Opportunities Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Healthcare, Education and Childcare (Continued) |
| |||||||||||||||||||
Endo Luxembourg Finance Co. I S.a r.l., 3M LIBOR + 5.000% | 5.75 | % | 3/27/2028 | 605,376 | $ | 604,351 | $ | 583,243 | ||||||||||||
Fugue Finance B.V., EURIBOR + 3.250%(a) | 3.25 | 9/1/2024 | 750,000 | 856,072 | 881,291 | |||||||||||||||
Gainwell Acquisition Corp., 3M LIBOR + 4.000% | 4.75 | 10/1/2027 | 190,271 | 187,620 | 190,699 | |||||||||||||||
Icon Luxemourg Sarl, 3M LIBOR + 2.500%(a) | 3.00 | 6/16/2028 | 731,707 | 728,049 | 732,739 | |||||||||||||||
Iris idco GmBH, EURIBOR + 5.000%(a) | 4.46 | 5/31/2028 | 500,000 | 593,858 | 580,027 | |||||||||||||||
Jazz Financing Lux S.a.r.l., 1M LIBOR + 3.500% | 4.00 | 4/21/2028 | 827,586 | 823,528 | 829,912 | |||||||||||||||
Lernen Bidco Ltd., EURIBOR + 4.250%(a) | 4.25 | 10/25/2025 | 1,000,000 | 1,185,757 | 1,172,114 | |||||||||||||||
Lifescan Global Corp., 3M LIBOR + 6.000% | 6.20 | 10/1/2024 | 156,253 | 153,702 | 154,691 | |||||||||||||||
Organon & Co., 3M LIBOR + 3.000% | 3.50 | 6/2/2028 | 448,718 | 446,489 | 449,001 | |||||||||||||||
Padagis LLC, 3M LIBOR + 4.750% | 5.25 | 6/30/2028 | 645,161 | 638,710 | 641,129 | |||||||||||||||
Radiology Partners, Inc., 1M LIBOR + 4.250% | 4.32 | 7/9/2025 | 1,000,000 | 933,899 | 999,170 | |||||||||||||||
RegionalCare Hospital Partners Holdings, Inc., 1M LIBOR + 3.750% | 3.85 | 11/16/2025 | 413,275 | 415,408 | 412,085 | |||||||||||||||
Sunshine Luxembourg VII SARL, 3M LIBOR + 3.750%(a) | 4.50 | 10/1/2026 | 150,566 | 150,207 | 151,027 | |||||||||||||||
Tunstall Group Holdings Ltd., EURIBOR + 5.000%(a) | 5.00 | 6/30/2025 | 282,314 | 332,128 | 328,618 | |||||||||||||||
U.S. Anesthesia Partners, Inc., 6M LIBOR + 3.000% | 4.00 | 6/23/2024 | 487,252 | 488,071 | 483,748 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Healthcare, Education and Childcare | 11,800,073 | 12,687,382 | 12,849,245 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Home and Office Furnishings, Housewares, and Durable Consumer Products — 1.3%*: |
| |||||||||||||||||||
ACProducts, Inc., 6M LIBOR + 4.250% | 4.75 | 5/5/2028 | 740,741 | 733,444 | 736,511 | |||||||||||||||
Clay Holdco B.V, EURIBOR + 4.000%(a) | 4.00 | 10/30/2026 | 400,000 | 477,080 | 473,783 | |||||||||||||||
Hilding Anders International AB, 3M LIBOR + 5.000%(a) | 5.75 | 11/30/2024 | 506,333 | 476,161 | 483,057 | |||||||||||||||
Serta Simmons Bedding LLC, 1M LIBOR + 7.500% | 8.50 | 8/10/2023 | 1,063,006 | 1,063,006 | 1,013,109 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Home and Office Furnishings, Housewares, and Durable Consumer Products | 2,710,080 | 2,749,691 | 2,706,460 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Hotels, Motels, Inns and Gaming — 2.1%*: |
| |||||||||||||||||||
Caesars Resort Collection LLC, 1M LIBOR + 2.750% | 2.85 | 12/23/2024 | 1,462,121 | 1,455,345 | 1,448,801 | |||||||||||||||
Caesars Resort Collection LLC, 1M LIBOR + 4.500% | 4.60 | 7/21/2025 | 248,827 | 242,769 | 249,449 | |||||||||||||||
Casper BidCo SAS, EURIBOR + 3.875%(a) | 3.88 | 7/31/2026 | 500,000 | 542,822 | 571,182 | |||||||||||||||
Hilton Grand Vacations LLC, 3M LIBOR + 3.000% | 3.50 | 5/19/2028 | 358,744 | 356,951 | 358,855 | |||||||||||||||
HNVR Holdco Ltd., EURIBOR + 4.250%(a) | 4.25 | 9/12/2025 | 1,000,000 | 971,214 | 1,081,997 |
See accompanying Notes to the Financial Statements.
85
Table of Contents
Barings Global Credit Income Opportunities Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Hotels, Motels, Inns and Gaming (Continued) |
| |||||||||||||||||||
Richmond UK Bidco Ltd., LIBOR – GBP + 4.250%(a) | 4.36 | % | 3/3/2024 | 550,000 | $ | 674,668 | $ | 747,501 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Hotels, Motels, Inns and Gaming | 4,119,692 | 4,243,769 | 4,457,785 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Insurance — 1.3%*: |
| |||||||||||||||||||
Acrisure LLC, 3M LIBOR + 3.500% | 3.60 | 2/15/2027 | 494,987 | 474,922 | 489,211 | |||||||||||||||
AssuredPartners, Inc., 1M LIBOR + 3.500% | 3.60 | 2/12/2027 | 462,633 | 464,819 | 460,001 | |||||||||||||||
Asurion LLC, 1M LIBOR + 3.000% | 3.10 | 11/3/2023 | 662,268 | 644,392 | 658,546 | |||||||||||||||
Ryan Specialty Group LLC, 1M LIBOR + 3.000% | 3.75 | 9/1/2027 | 150,835 | 148,835 | 150,693 | |||||||||||||||
Sedgwick Claims Management Services, Inc., 1M LIBOR + 3.250% | 3.35 | 12/31/2025 | 975,000 | 960,719 | 964,031 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Insurance | 2,745,723 | 2,693,687 | 2,722,482 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Leisure, Amusement, Entertainment — 4.0%*: |
| |||||||||||||||||||
AMC Entertainment Holdings, Inc., 1M LIBOR + 3.000% | 3.09 | 4/22/2026 | 2,327,649 | 1,893,054 | 2,181,682 | |||||||||||||||
Crown Finance US, Inc., 6M LIBOR + 2.500% | 3.50 | 2/28/2025 | 1,219,058 | 1,201,627 | 1,071,759 | |||||||||||||||
Dorna Sports, S.L., 3M LIBOR + 3.500%(a) | 3.76 | 5/3/2024 | 400,000 | 400,000 | 393,752 | |||||||||||||||
Golden Entertainment, Inc., 1M LIBOR + 3.000% | 3.75 | 10/21/2024 | 405,757 | 375,888 | 402,713 | |||||||||||||||
Metro-Goldwyn-Mayer, Inc., 1M LIBOR + 4.500% | 5.50 | 7/3/2026 | 893,847 | 888,211 | 893,105 | |||||||||||||||
Motion Finco Sarl, EURIBOR + 3.000%(a) | 3.00 | 11/12/2026 | 750,000 | 866,708 | 852,388 | |||||||||||||||
Odeon Cinemas Group Ltd., EURIBOR, PIK(a) | 10.75 | 8/19/2023 | 167,826 | 206,554 | 213,836 | |||||||||||||||
Parques Reunidos SAU, EURIBOR + 3.750%(a) | 3.75 | 9/16/2026 | 500,000 | 571,078 | 567,245 | |||||||||||||||
PUG LLC, 1M LIBOR + 3.500% | 3.60 | 2/12/2027 | 367,271 | 365,793 | 358,321 | |||||||||||||||
Tackle SARL, EURIBOR + 4.000%(a) | 4.00 | 5/22/2028 | 500,000 | 605,606 | 592,134 | |||||||||||||||
Vacalians Group, EURIBOR + 4.000%(a) | 4.00 | 11/28/2025 | 330,783 | 325,761 | 365,426 | |||||||||||||||
Vue International Bidco plc, EURIBOR + 4.750%(a) | 4.75 | 7/3/2026 | 423,797 | 474,202 | 477,582 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Leisure, Amusement, Entertainment | 8,285,988 | 8,174,482 | 8,369,943 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 0.6%*: |
| |||||||||||||||||||
Madison IAQ LLC, 3M LIBOR + 3.250% | 3.75 | 6/16/2028 | 384,615 | 382,694 | 384,615 | |||||||||||||||
Titan Acquisition Ltd., 3M LIBOR + 3.000%(a) | 3.17 | 3/28/2025 | 954,524 | 955,170 | 937,142 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Machinery Non-Agriculture, Non-Construction, Non-Electronic | 1,339,139 | 1,337,864 | 1,321,757 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Media — 0.2%*: |
| |||||||||||||||||||
Redstone Buyer LLC, 3M LIBOR + 4.750% | 5.50 | 4/27/2028 | 398,988 | 395,085 | 397,659 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mining, Steel, Iron and Non-Precious Metals — 0.0%*: |
| |||||||||||||||||||
Boomerang Tube LLC, 3M LIBOR + 5.000%(b),(f) | Zero Coupon | 6/30/2022 | 129,368 | 129,368 | – | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 0.5%*: |
| |||||||||||||||||||
Gulf Finance LLC, 1M LIBOR + 5.250% | 6.25 | 8/25/2023 | 1,258,885 | 1,226,121 | 1,066,011 | |||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
86
Table of Contents
Barings Global Credit Income Opportunities Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Personal and Non-Durable Consumer Products Mfg. Only — 0.7%*: |
| |||||||||||||||||||
Coty Inc., EURIBOR + 1.750% | 1.75 | % | 4/5/2023 | 43,224 | $ | 50,762 | $ | 50,805 | ||||||||||||
Coty Inc., 1M LIBOR + 2.250% | 2.33 | 4/7/2025 | 728,571 | 709,879 | 700,397 | |||||||||||||||
Triton Water Holdings, Inc., 3M LIBOR + 3.500% | 4.00 | 3/31/2028 | 693,642 | 690,287 | 692,677 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Personal and Non-Durable Consumer Products Mfg. Only | 1,465,437 | 1,450,928 | 1,443,879 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Personal Transportation — 0.0%*: |
| |||||||||||||||||||
Naviera Armas SA, EURIBOR + 2.500%(a),(b) | 2.50 | 7/31/2021 | 76,747 | 91,260 | 91,002 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Personal Transportation | 76,747 | 91,260 | 91,002 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Printing and Publishing — 0.7%*: |
| |||||||||||||||||||
Cimpress Public Ltd. Co., 1M LIBOR + 3.500% | 4.00 | 5/17/2028 | 392,157 | 388,289 | 390,522 | |||||||||||||||
Houghton Mifflin Harcourt Publishing Co., 1M LIBOR + 6.250% | 7.25 | 11/22/2024 | 34,272 | 33,335 | 34,278 | |||||||||||||||
McGraw-Hill Global Education Holdings LLC, 1M LIBOR + 4.750% | 5.75 | 11/1/2024 | 997,500 | 984,423 | 998,278 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Printing and Publishing | 1,423,929 | 1,406,047 | 1,423,078 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Retail Stores — 1.7%*: |
| |||||||||||||||||||
Casino Guichard-Perrachon SA, EURIBOR + 4.000%(a) | 4.00 | 8/31/2025 | 500,000 | 584,535 | 594,559 | |||||||||||||||
Great Outdoors Group LLC, 6M LIBOR + 4.250% | 5.00 | 3/6/2028 | 614,444 | 611,506 | 615,980 | |||||||||||||||
Harbor Freight Tools USA, Inc., 1M LIBOR + 3.000% | 3.75 | 10/19/2027 | 763,622 | 756,376 | 763,111 | |||||||||||||||
Jo Ann Stores, Inc., 3M LIBOR + 4.750% | 5.50 | 6/30/2028 | 352,941 | 351,176 | 352,059 | |||||||||||||||
Michaels Cos., Inc., 3M LIBOR + 4.250% | 5.00 | 4/15/2028 | 605,154 | 599,275 | 607,356 | |||||||||||||||
Petco Health and Wellness Company, Inc., 3M LIBOR + 3.250% | 4.00 | 3/3/2028 | 729,878 | 728,134 | 728,185 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Retail Stores | 3,566,039 | 3,631,002 | 3,661,250 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Telecommunications — 3.1%*: |
| |||||||||||||||||||
Banff Merger Sub, Inc., 1M LIBOR + 3.750% | 3.85 | 10/2/2025 | 924,295 | 924,406 | 918,518 | |||||||||||||||
CommScope, Inc., 1M LIBOR + 3.250% | 3.35 | 4/6/2026 | 982,500 | 982,500 | 976,890 | |||||||||||||||
ION Trading Technologies S.a.r.l., EURIBOR + 4.250% | 4.25 | 3/26/2028 | 500,000 | 589,975 | 594,108 | |||||||||||||||
Lorca Finco plc, EURIBOR + 4.250%(a) | 4.25 | 9/17/2027 | 500,000 | 581,265 | 593,023 | |||||||||||||||
Rackspace Technology Global, Inc., 3M LIBOR + 2.750% | 3.50 | 2/15/2028 | 244,979 | 243,820 | 243,519 | |||||||||||||||
Syniverse Holdings, Inc., 3M LIBOR + 5.000% | 6.00 | 3/9/2023 | 193,576 | 192,920 | 191,471 | |||||||||||||||
Syniverse Technologies, Inc., 3M LIBOR + 9.000% | 10.00 | 3/11/2024 | 153,729 | 152,691 | 150,014 | |||||||||||||||
TDC A/S, EURIBOR + 3.000%(a) | 3.00 | 6/4/2025 | 500,000 | 602,050 | 588,814 | |||||||||||||||
Tiger Acquisition LLC, 3M LIBOR + 3.250% | 3.75 | 6/1/2028 | 312,500 | 309,403 | 311,622 |
See accompanying Notes to the Financial Statements.
87
Table of Contents
Barings Global Credit Income Opportunities Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Telecommunications (Continued) |
| |||||||||||||||||||
Virgin Media SFA Finance Ltd., LIBOR – GBP + 3.250%(a) | 3.31 | % | 1/15/2027 | 1,000,000 | $ | 1,216,303 | $ | 1,362,703 | ||||||||||||
Voyage Australia Pty Ltd., 3M LIBOR + 3.500%(a) | 4.00 | 6/16/2028 | 484,848 | 480,000 | 484,848 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Telecommunications | 5,796,427 | 6,275,333 | 6,415,530 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Utilities — 0.2%*: |
| |||||||||||||||||||
USIC Holdings, Inc., 3M LIBOR + 3.500% | 4.25 | 5/12/2028 | 261,968 | 260,662 | 261,313 | |||||||||||||||
USIC Holdings, Inc., 3M LIBOR + 6.500% | 7.25 | 5/7/2029 | 147,059 | 145,592 | 149,265 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Utilities | 409,027 | 406,254 | 410,578 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Bank Loans | 86,657,799 | 88,452,963 | 89,408,587 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Corporate Bonds — 40.9%*: |
| |||||||||||||||||||
Aerospace and Defense — 2.3%*: |
| |||||||||||||||||||
American Airlines Inc/AAdvantage Loyalty IP Ltd.(c) | 5.50 | 4/20/2026 | 595,000 | 595,000 | 629,956 | |||||||||||||||
American Airlines Inc/AAdvantage Loyalty IP Ltd.(c) | 5.75 | 4/20/2029 | 114,000 | 114,000 | 123,073 | |||||||||||||||
Gatwick Airport Finance(a) | 4.38 | 4/7/2026 | 350,000 | 482,510 | 489,481 | |||||||||||||||
Global Infrastructure Solutions, Inc.(c) | 5.63 | 6/1/2029 | 218,000 | 218,000 | 226,240 | |||||||||||||||
Heathrow Finance plc(a) | 4.38 | 3/1/2027 | 100,000 | 127,874 | 142,065 | |||||||||||||||
Heathrow Finance plc(a) | 5.25 | 3/1/2024 | 100,000 | 128,324 | 145,482 | |||||||||||||||
Rolls-Royce plc(a) | 3.38 | 6/18/2026 | 500,000 | 607,343 | 689,921 | |||||||||||||||
Rolls-Royce plc(a) | 4.63 | 2/16/2026 | 100,000 | 117,545 | 129,306 | |||||||||||||||
State Agency of Roads of Ukraine(a) | 6.25 | 6/24/2028 | 1,146,000 | 1,146,000 | 1,143,135 | |||||||||||||||
Triumph Group, Inc.(c) | 6.25 | 9/15/2024 | 308,000 | 308,000 | 312,620 | |||||||||||||||
Triumph Group, Inc. | 7.75 | 8/15/2025 | 750,000 | 780,241 | 771,533 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Aerospace and Defense | 4,281,000 | 4,624,837 | 4,802,812 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Automobile — 1.4%*: |
| |||||||||||||||||||
Aston Martin Capital Holdings Ltd.(a),(c) | 10.50 | 11/30/2025 | 400,000 | 434,211 | 446,000 | |||||||||||||||
Clarios Global LP/Clarios US Finance Co.(c) | 8.50 | 5/15/2027 | 162,000 | 169,901 | 176,612 | |||||||||||||||
Ford Motor Co. | 7.45 | 7/16/2031 | 500,000 | 581,458 | 657,500 | |||||||||||||||
Ford Motor Co. | 8.50 | 4/21/2023 | 569,000 | 567,796 | 634,976 | |||||||||||||||
Ford Motor Co. | 9.63 | 4/22/2030 | 127,000 | 153,728 | 182,245 | |||||||||||||||
Gates Global LLC / Gates Global Co.(c) | 6.25 | 1/15/2026 | 550,000 | 529,913 | 576,133 | |||||||||||||||
RAC Bond Co. plc(a) | 5.00 | 11/6/2022 | 257,000 | 350,013 | 355,350 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Automobile | 2,565,000 | 2,787,020 | 3,028,816 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Banking — 2.5%*: |
| |||||||||||||||||||
Absa Group Ltd., 5 year CMT + 5.411%(a) | 6.38 | (d)(g) | – | 992,000 | 992,000 | 1,014,010 | ||||||||||||||
Alpha Bank AE, 5 year EUR Swap + 4.504%(a) | 4.25 | (d) | 2/13/2030 | 275,000 | 301,895 | 318,744 | ||||||||||||||
Ecobank Transnational, Inc., 5 year CMT + 8.211%(a) | 8.75 | (d) | 6/17/2031 | 797,000 | 790,703 | 809,951 |
See accompanying Notes to the Financial Statements.
88
Table of Contents
Barings Global Credit Income Opportunities Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Banking (Continued) |
| |||||||||||||||||||
Nova Ljubljanska Banka dd, 5 year EUR Swap + 3.833%(a) | 3.65 | %(d) | 11/19/2029 | 700,000 | $ | 770,700 | $ | 800,974 | ||||||||||||
Piraeus Financial Holdings SA, 5 year EUR Swap + 5.774%(a) | 5.50 | (d) | 2/19/2030 | 688,000 | 748,200 | 784,184 | ||||||||||||||
Piraeus Financial Holdings SA, 5 year EUR Swap + 9.195%(a) | 8.75 | (d),(g) | – | 750,000 | 913,276 | 873,750 | ||||||||||||||
Piraeus Financial Holdings SA, 5 year EUR Swap + 9.952%(a) | 9.75 | (d) | 6/26/2029 | 100,000 | 94,678 | 128,137 | ||||||||||||||
Sovcombank Via SovCom Capital DAC, 5 year CMT + 6.380%(a) | 7.75 | (d),(g) | – | 500,000 | 513,343 | 516,250 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Banking | 4,802,000 | 5,124,795 | 5,246,000 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Beverage, Food and Tobacco — 2.6%*: |
| |||||||||||||||||||
Aragvi Finance International DAC(a) | 8.45 | 4/29/2026 | 514,000 | 522,539 | 534,399 | |||||||||||||||
Boparan Finance plc(a) | 7.63 | 11/30/2025 | 650,000 | 895,287 | 818,222 | |||||||||||||||
Eurotorg LLC Via Bonitron DAC(a) | 9.00 | 10/22/2025 | 482,000 | 482,000 | 497,906 | |||||||||||||||
Foodco Bondco SA(a) | 6.25 | 5/15/2026 | 350,000 | 395,313 | 389,074 | |||||||||||||||
JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc.(c) | 3.75 | 12/1/2031 | 150,000 | 150,000 | 153,488 | |||||||||||||||
JBS USA LUX SA/JBS USA Finance, Inc.(c) | 6.75 | 2/15/2028 | 500,000 | 500,000 | 549,375 | |||||||||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.(c) | 5.50 | 1/15/2030 | 586,000 | 585,501 | 655,371 | |||||||||||||||
Picard Groupe SAS(a) | 1.00 | 7/1/2026 | 150,000 | 177,863 | 177,863 | |||||||||||||||
Sunshine Mid BV(a) | 6.50 | 5/15/2026 | 950,000 | 1,156,188 | 1,164,762 | |||||||||||||||
Ulker Biskuvi Sanayi AS(a) | 6.95 | 10/30/2025 | 494,000 | 494,000 | 535,812 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Beverage, Food and Tobacco | 4,826,000 | 5,358,691 | 5,476,272 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Broadcasting and Entertainment — 1.2%*: |
| |||||||||||||||||||
Banijay Group SAS(a) | 6.50 | 3/1/2026 | 750,000 | 828,337 | 917,991 | |||||||||||||||
Clear Channel Outdoor Holdings, Inc.(c) | 7.50 | 6/1/2029 | 55,000 | 55,205 | 56,944 | |||||||||||||||
DISH Network Corp. | 3.38 | 8/15/2026 | 750,000 | 694,142 | 765,375 | |||||||||||||||
Outfront Media, Inc.(c) | 6.25 | 6/15/2025 | 298,000 | 298,000 | 314,998 | |||||||||||||||
Terrier Media Buyer, Inc.(c) | 8.88 | 12/15/2027 | 376,000 | 376,000 | 406,685 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Broadcasting and Entertainment | 2,229,000 | 2,251,684 | 2,461,993 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Buildings and Real Estate — 2.8%*: |
| |||||||||||||||||||
Aedas Homes Opco SLU(a) | 4.00 | 8/15/2026 | 100,000 | 120,765 | 121,243 | |||||||||||||||
Cemex SAB de CV, 5 year CMT + 4.534%(a) | 5.13 | (d),(g) | 1,190,000 | 1,190,000 | 1,228,318 | |||||||||||||||
China Aoyuan Group Ltd.(a) | 5.98 | 8/18/2025 | �� | 1,152,000 | 1,123,364 | 1,026,929 | ||||||||||||||
Kaisa Group Holdings Ltd.(a) | 9.95 | 7/23/2025 | 1,000,000 | 1,000,157 | 899,250 | |||||||||||||||
Service Properties Trust | 4.75 | 10/1/2026 | 500,000 | 492,130 | 493,125 | |||||||||||||||
Taylor Morrison Communities, Inc.(c) | 5.13 | 8/1/2030 | 265,000 | 265,000 | 286,531 | |||||||||||||||
Times China Holdings Ltd.(a) | 5.55 | 6/4/2024 | 357,000 | 357,000 | 357,921 | |||||||||||||||
Ukraine Railways Via Shortline plc(a) | 9.88 | 9/15/2021 | 50,000 | 50,159 | 50,109 | |||||||||||||||
Wanda Properties Overseas Ltd.(a) | 7.25 | 4/28/2022 | 500,000 | 500,000 | 501,719 |
See accompanying Notes to the Financial Statements.
89
Table of Contents
Barings Global Credit Income Opportunities Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Buildings and Real Estate (Continued) |
| |||||||||||||||||||
Yuzhou Group Holdings Co. Ltd.(a) | 8.50 | % | 2/4/2023 | 1,000,000 | $ | 975,317 | $ | 943,250 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Buildings and Real Estate | 6,114,000 | 6,073,892 | 5,908,395 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Cargo Transport — 0.6%*: |
| |||||||||||||||||||
Kenan Advantage Group, Inc. (The)(c) | 7.88 | 7/31/2023 | 1,367,000 | 1,367,000 | 1,364,949 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Chemicals, Plastics and Rubber — 0.8%*: |
| |||||||||||||||||||
Braskem Idesa SAPI(a) | 7.45 | 11/15/2029 | 300,000 | 299,094 | 318,619 | |||||||||||||||
Consolidated Energy Finance SA(c) | 6.88 | 6/15/2025 | 778,000 | 794,038 | 792,525 | |||||||||||||||
Nobian Finance BV(a) | 3.63 | 7/15/2026 | 500,000 | 596,675 | 590,859 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Chemicals, Plastics and Rubber | 1,578,000 | 1,689,807 | 1,702,003 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Commercial Services — 0.6%*: |
| |||||||||||||||||||
Elastic NV(a) | 4.13 | 7/15/2029 | 462,000 | 462,000 | 462,000 | |||||||||||||||
Getty Images, Inc.(c) | 9.75 | 3/1/2027 | 650,000 | 695,411 | 697,125 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Commercial Services | 1,112,000 | 1,157,411 | 1,159,125 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Containers, Packaging and Glass — 0.6%*: |
| |||||||||||||||||||
Mauser Packaging Solutions Holding Co.(c) | 7.25 | 4/15/2025 | 182,000 | 177,199 | 178,360 | |||||||||||||||
Trident TPI Holdings, Inc.(c) | 9.25 | 8/1/2024 | 1,125,000 | 1,140,917 | 1,175,625 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Containers, Packaging and Glass | 1,307,000 | 1,318,116 | 1,353,985 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified/Conglomerate Manufacturing — 0.2%*: |
| |||||||||||||||||||
International Design Group SpA, EURIBOR + 4.250%(a) | 4.25 | (d) | 5/15/2026 | 100,000 | 120,765 | 119,583 | ||||||||||||||
Mangrove Luxco III Sarl(a) | 7.78 | 10/9/2025 | 300,000 | 317,194 | 323,888 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Manufacturing | 400,000 | 437,959 | 443,471 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified/Conglomerate Service — 1.4%*: |
| |||||||||||||||||||
Atento Luxco 1 SA(a) | 8.00 | 2/10/2026 | 316,000 | 316,000 | 344,005 | |||||||||||||||
Brunello Bidco SpA(a) | 3.50 | 2/15/2028 | 150,000 | 181,597 | 177,848 | |||||||||||||||
Iron Mountain, Inc.(c) | 5.25 | 7/15/2030 | 554,000 | 552,619 | 586,453 | |||||||||||||||
Summer BC Holdco A Sarl(a) | 9.25 | 10/31/2027 | 630,737 | 796,517 | 810,533 | |||||||||||||||
Verisure Midholding AB(a) | 5.25 | 2/15/2029 | 800,000 | 975,283 | 974,687 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Service | 2,450,737 | 2,822,016 | 2,893,526 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Electronics — 0.8%*: |
| |||||||||||||||||||
Veritas US, Inc. / Veritas Bermuda Ltd.(c) | 7.50 | 9/1/2025 | 225,000 | 228,365 | 234,281 | |||||||||||||||
Veritas US, Inc. / Veritas Bermuda Ltd.(c) | 10.50 | 2/1/2024 | 1,419,000 | 1,422,895 | 1,456,561 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Electronics | 1,644,000 | 1,651,260 | 1,690,842 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Energy Equipment and Services — 0.3%*: |
| |||||||||||||||||||
Investment Energy Resources Ltd.(a) | 6.25 | 4/26/2029 | 492,000 | 492,000 | 531,975 | |||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
90
Table of Contents
Barings Global Credit Income Opportunities Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Farming and Agriculture — 0.3%*: |
| |||||||||||||||||||
PT Japfa Comfeed Indonesia Tbk(a) | 5.38 | % | 3/23/2026 | 500,000 | $ | 497,429 | $ | 527,125 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
Finance — 3.4%*: |
| |||||||||||||||||||
Credito Real SAB DE CV(a) | 8.00 | 1/21/2028 | 500,000 | 500,000 | 426,306 | |||||||||||||||
Ford Motor Credit Co. LLC | 4.13 | 8/17/2027 | 247,000 | 247,000 | 262,012 | |||||||||||||||
Global Aircraft Leasing Co. Ltd.(c) | 6.50 | 9/15/2024 | 2,147,628 | 2,147,628 | 2,159,193 | |||||||||||||||
IIFL Finance Ltd.(a) | 5.88 | 4/20/2023 | 1,555,000 | 1,533,594 | 1,519,202 | |||||||||||||||
OneMain Finance Corp. | 5.38 | 11/15/2029 | 438,000 | 438,000 | 476,430 | |||||||||||||||
Oriflame Investment Holding plc(a) | 5.13 | 5/4/2026 | 521,000 | 521,000 | 534,181 | |||||||||||||||
Travelex Financing plc(a),(b),(f) | 8.00 | 5/15/2022 | 1,050,000 | 1,178,948 | – | |||||||||||||||
Travelex Issuerco Ltd.(a) | 12.50 | 8/5/2025 | 748,221 | 883,610 | 1,733,649 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Finance | 7,206,849 | 7,449,780 | 7,110,973 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Healthcare, Education and Childcare — 2.9%*: |
| |||||||||||||||||||
Bausch Health Cos., Inc.(c) | 8.50 | 1/31/2027 | 415,000 | 420,816 | 451,063 | |||||||||||||||
Bausch Health Cos., Inc.(c) | 9.00 | 12/15/2025 | 165,000 | 163,523 | 176,930 | |||||||||||||||
Bausch Health Cos., Inc.(c) | 4.88 | 6/1/2028 | 238,000 | 239,440 | 243,058 | |||||||||||||||
Bausch Health Cos., Inc.(c) | 5.00 | 1/30/2028 | 204,000 | 204,000 | 193,512 | |||||||||||||||
Bausch Health Cos., Inc.(c) | 5.00 | 2/15/2029 | 281,000 | 281,000 | 262,032 | |||||||||||||||
Bausch Health Cos., Inc.(c) | 5.25 | 1/30/2030 | 200,000 | 200,000 | 186,000 | |||||||||||||||
Bausch Health Cos., Inc.(c) | 5.25 | 2/15/2031 | 208,000 | 208,000 | 194,158 | |||||||||||||||
Cream Tech(a) | 5.25 | 12/15/2025 | 700,000 | 819,532 | 840,566 | |||||||||||||||
Emergent BioSolutions, Inc.(c) | 3.88 | 8/15/2028 | 1,087,000 | 1,029,369 | 1,064,738 | |||||||||||||||
Nidda BondCo GmbH(a) | 7.25 | 9/30/2025 | 500,000 | 575,518 | 608,557 | |||||||||||||||
Nidda Healthcare Holding GmbH(a) | 3.50 | 9/30/2024 | 1,000,000 | 1,211,065 | 1,182,499 | |||||||||||||||
Par Pharmaceutical, Inc.(c) | 7.50 | 4/1/2027 | 708,000 | 708,000 | 723,930 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Healthcare, Education and Childcare | 5,706,000 | 6,060,263 | 6,127,043 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Home and Office Furnishings, Housewares, and Durable Consumer Products — 1.0%*: |
| |||||||||||||||||||
Nobel Bidco BV(a) | 3.13 | 6/15/2028 | 350,000 | 423,815 | 415,013 | |||||||||||||||
Resideo Funding, Inc.(c) | 6.13 | 11/1/2026 | 650,000 | 650,000 | 682,500 | |||||||||||||||
Staples, Inc.(c) | 10.75 | 4/15/2027 | 1,000,000 | 1,029,717 | 1,016,650 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Home and Office Furnishings, Housewares, and Durable Consumer Products | 2,000,000 | 2,103,532 | 2,114,163 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Hotels, Motels, Inns and Gaming — 0.9%*: |
| |||||||||||||||||||
Caesars Entertainment, Inc.(c) | 6.25 | 7/1/2025 | 382,000 | 382,000 | 405,096 | |||||||||||||||
Caesars Entertainment, Inc.(c) | 8.13 | 7/1/2027 | 279,000 | 279,000 | 310,304 | |||||||||||||||
Scientific Games International, Inc.(c) | 8.63 | 7/1/2025 | 229,000 | 228,529 | 250,755 | |||||||||||||||
TVL Finance plc, 3M GBP LIBOR + 5.375%(a) | 5.46 | (d) | 7/15/2025 | 500,000 | 633,179 | 658,796 | ||||||||||||||
Wynn Macau Ltd.(a),(c) | 5.13 | 12/15/2029 | 270,000 | 270,000 | 278,100 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Hotels, Motels, Inns and Gaming | 1,660,000 | 1,792,708 | 1,903,051 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
91
Table of Contents
Barings Global Credit Income Opportunities Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Insurance — 0.5%*: |
| |||||||||||||||||||
Acrisure LLC / Acrisure Finance, Inc.(c) | 4.25 | % | 2/15/2029 | 1,000,000 | $ | 1,000,000 | $ | 987,500 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
Leisure, Amusement, Entertainment — 1.0%*: |
| |||||||||||||||||||
AMC Entertainment Holdings, Inc.(c) | 10.50 | 4/24/2026 | 142,000 | 142,000 | 154,070 | |||||||||||||||
Carnival Corp.(c) | 5.75 | 3/1/2027 | 410,000 | 410,000 | 429,475 | |||||||||||||||
Carnival Corp. | 7.63 | 3/1/2026 | 150,000 | 177,893 | 196,907 | |||||||||||||||
CPUK Finance Ltd.(a) | 4.88 | 8/28/2025 | 100,000 | 119,914 | 139,974 | |||||||||||||||
Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp.(c) | 4.88 | 5/1/2029 | 748,000 | 751,632 | 748,935 | |||||||||||||||
Motion Finco Sarl(a) | 7.00 | 5/15/2025 | 200,000 | 252,776 | 250,426 | |||||||||||||||
NH Hotel Group SA | 4.00 | 7/2/2026 | 150,000 | 177,867 | 177,694 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Leisure, Amusement, Entertainment | 1,900,000 | 2,032,082 | 2,097,481 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 0.2%*: |
| |||||||||||||||||||
Diebold Nixdorf Dutch Holding BV | 9.00 | 7/15/2025 | 350,000 | 410,010 | 455,717 | |||||||||||||||
Esc Gcb Briggs | 6.88 | 12/15/2049 | 514,000 | 503,979 | 43,690 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Machinery Non-Agriculture, Non-Construction, Non-Electronic | 864,000 | 913,989 | 499,407 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mining, Steel, Iron and Non-Precious Metals — 2.8%*: |
| |||||||||||||||||||
First Quantum Minerals Ltd.(a),(c) | 6.50 | 3/1/2024 | 1,006,000 | 974,747 | 1,026,120 | |||||||||||||||
First Quantum Minerals Ltd.(a) | 6.88 | 10/15/2027 | 719,000 | 719,000 | 783,494 | |||||||||||||||
Hudbay Minerals, Inc.(c) | 4.50 | 4/1/2026 | 200,000 | 201,438 | 200,750 | |||||||||||||||
Metinvest BV(a) | 7.65 | 10/1/2027 | 286,000 | 281,880 | 316,745 | |||||||||||||||
Metinvest BV(a) | 8.50 | 4/23/2026 | 200,000 | 210,742 | 227,612 | |||||||||||||||
Vedanta Resources Finance II plc(a) | 8.00 | 4/23/2023 | 750,000 | 703,858 | 708,422 | |||||||||||||||
Vedanta Resources Finance II plc(a) | 8.95 | 3/11/2025 | 685,000 | 685,000 | 671,643 | |||||||||||||||
Vedanta Resources Ltd.(a) | 6.38 | 7/30/2022 | 1,075,000 | 741,183 | 1,061,764 | |||||||||||||||
Warrior Met Coal, Inc.(c) | 8.00 | 11/1/2024 | 840,000 | 848,299 | 852,600 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Mining, Steel, Iron and Non-Precious Metals | 5,761,000 | 5,366,147 | 5,849,150 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 4.8%*: |
| |||||||||||||||||||
Borets International Ltd.(a) | 6.00 | 9/17/2026 | 531,000 | 531,000 | 557,219 | |||||||||||||||
CVR Energy, Inc.(c) | 5.25 | 2/15/2025 | 552,000 | 552,000 | 552,282 | |||||||||||||||
CVR Energy, Inc.(c) | 5.75 | 2/15/2028 | 401,000 | 401,000 | 404,088 | |||||||||||||||
EnLink Midstream Partners LP | 5.60 | 4/1/2044 | 206,000 | 159,561 | 186,430 | |||||||||||||||
EQM Midstream Partners LP(c) | 4.50 | 1/15/2029 | 170,000 | 170,000 | 172,954 | |||||||||||||||
EQM Midstream Partners LP(c) | 4.75 | 1/15/2031 | 154,000 | 154,000 | 158,688 | |||||||||||||||
Genesis Energy LP / Genesis Energy Finance Corp. | 8.00 | 1/15/2027 | 1,000,000 | 1,036,695 | 1,050,625 | |||||||||||||||
Harvest Midstream I LP(c) | 7.50 | 9/1/2028 | 500,000 | 536,028 | 543,000 | |||||||||||||||
Hilcorp Energy I LP / Hilcorp Finance Co.(c) | 6.25 | 11/1/2028 | 1,000,000 | 1,000,000 | 1,062,500 | |||||||||||||||
KCA Deutag UK Finance plc(a) | 9.88 | 12/1/2025 | 349,977 | 349,977 | 386,200 |
See accompanying Notes to the Financial Statements.
92
Table of Contents
Barings Global Credit Income Opportunities Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Oil and Gas (Continued) |
| |||||||||||||||||||
NGL Energy Operating LLC / NGL Energy Finance Corp.(c) | 7.50 | % | 2/1/2026 | 750,000 | $ | 786,662 | $ | 787,500 | ||||||||||||
Occidental Petroleum Corp. | 5.88 | 9/1/2025 | 153,000 | 153,000 | 170,212 | |||||||||||||||
Occidental Petroleum Corp. | 6.13 | 1/1/2031 | 452,000 | 475,197 | 530,535 | |||||||||||||||
Occidental Petroleum Corp. | 6.38 | 9/1/2028 | 157,000 | 157,000 | 183,297 | |||||||||||||||
PBF Holding Co. LLC / PBF Finance Corp. | 7.25 | 6/15/2025 | 655,000 | 670,315 | 501,075 | |||||||||||||||
PBF Holding Co. LLC/PBF Finance Corp.(c) | 9.25 | 5/15/2025 | 38,000 | 38,082 | 38,281 | |||||||||||||||
PT Medco Bell Pte Ltd.(a) | 6.38 | 1/30/2027 | 435,000 | 429,997 | 447,724 | |||||||||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp.(c) | 4.88 | 2/1/2031 | 251,000 | 251,000 | 271,707 | |||||||||||||||
Transocean Guardian Ltd.(c) | 5.88 | 1/15/2024 | 362,500 | 345,199 | 352,531 | |||||||||||||||
Transocean, Inc.(c) | 7.25 | 11/1/2025 | 600,000 | 461,147 | 522,000 | |||||||||||||||
Tullow Oil plc(a) | 7.00 | 3/1/2025 | 300,000 | 110,801 | 265,950 | |||||||||||||||
Tullow Oil plc(a) | 10.25 | 5/15/2026 | 1,000,000 | 1,000,000 | 1,048,050 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Oil and Gas | 10,017,477 | 9,768,661 | 10,192,848 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Personal Transportation — 0.2%*: |
| |||||||||||||||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.(c) | 6.50 | 6/20/2027 | 237,000 | 234,383 | 260,937 | |||||||||||||||
Naviera Armas S.A., EURIBOR + 6.500%(a) | 6.50 | (d) | 7/31/2023 | 250,000 | 288,580 | 204,542 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Personal Transportation | 487,000 | 522,963 | 465,479 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Printing and Publishing — 0.5%*: |
| |||||||||||||||||||
McGraw Hill LLC / McGraw-Hill Global Education Finance, Inc.(c) | 8.00 | 11/30/2024 | 941,000 | 954,595 | 962,172 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Retail Stores — 2.1%*: |
| |||||||||||||||||||
Afflelou SAS(a) | 4.25 | 5/19/2026 | 350,000 | 425,233 | 423,271 | |||||||||||||||
Bellis Acquisition Co. plc(a) | 3.25 | 2/16/2026 | 100,000 | 138,330 | 138,503 | |||||||||||||||
Bellis Finco plc(a) | 4.00 | 2/16/2027 | 100,000 | 138,330 | 138,330 | |||||||||||||||
EG Global Finance plc(a) | 6.25 | 3/30/2026 | 604,000 | 841,019 | 837,602 | |||||||||||||||
Future Retail Ltd.(a) | 5.60 | 1/22/2025 | 950,000 | 859,839 | 714,875 | |||||||||||||||
House of Fraser Funding plc(a),(f) | 5.95 | 9/15/2020 | 150,000 | 217,107 | 3,113 | |||||||||||||||
L Brands, Inc. | 6.88 | 11/1/2035 | 200,000 | 243,198 | 253,500 | |||||||||||||||
Marcolin SpA(a) | 6.13 | 11/15/2026 | 400,000 | 486,940 | 482,600 | |||||||||||||||
NMG Holding Co., Inc. / Neiman Marcus Group LLC(c) | 7.13 | 4/1/2026 | 263,000 | 266,827 | 280,095 | |||||||||||||||
Nordstrom, Inc. | 5.00 | 1/15/2044 | 1,202,000 | 1,169,401 | 1,203,026 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Retail Stores | 4,319,000 | 4,786,224 | 4,474,915 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Telecommunications — 1.4%*: |
| |||||||||||||||||||
Banff Merger Sub, Inc.(c) | 9.75 | 9/1/2026 | 1,000,000 | 1,053,564 | 1,052,500 | |||||||||||||||
DKT Finance ApS(a) | 7.00 | 6/17/2023 | 1,500,000 | 1,692,795 | 1,809,218 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Telecommunications | 2,500,000 | 2,746,359 | 2,861,718 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
93
Table of Contents
Barings Global Credit Income Opportunities Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Utilities — 0.8%*: |
| |||||||||||||||||||
Electricite de France SA, 5 year EUR Swap + 3.995%(a) | 3.38 | %(d),(g) | – | 400,000 | $ | 501,064 | $ | 495,050 | ||||||||||||
Techem Verwaltungsgesellschaft 674 mbH(a) | 6.00 | 7/30/2026 | 1,000,000 | 1,145,396 | 1,222,620 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Utilities | 1,400,000 | 1,646,460 | 1,717,670 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Corporate Bonds | 81,430,063 | 84,797,680 | 85,954,859 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Fixed Income | 188,637,862 | 193,059,303 | 193,756,167 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Investments | 189,242,697 | 194,594,991 | 195,702,948 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Other assets and liabilities – 6.9%* | 14,542,797 | |||||||||||||||||||
|
| |||||||||||||||||||
Net Assets – 100.0%* | $210,245,745 | |||||||||||||||||||
|
|
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. |
Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:
United States | 59.6% | |||||
United Kingdom | 9.2% | |||||
Germany | 4.8% | |||||
France | 3.6% | |||||
India | 2.4% | |||||
China | 1.9% | |||||
Spain | 1.8% | |||||
Denmark | 1.8% | |||||
Netherlands | 1.7% | |||||
Greece | 1.1% | |||||
Ireland | 1.1% | |||||
Mexico | 1.0% | |||||
Sweden | 1.0% | |||||
Other (Individually less than 1%) | 9.0% | |||||
|
| |||||
Total | 100.0% | |||||
|
|
(b) | For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 2). |
(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, 2021. |
(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 |
See accompanying Notes to the Financial Statements.
94
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Barings Global Credit Income Opportunities Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
shown for bank loans are the current interest rates at June 30, 2021. 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. |
(g) | Security is perpetual in nature and has no stated maturity. |
A summary of outstanding derivatives at June 30, 2021 is as follows:
Forward Foreign Currency Exchange Contracts to Buy
EXPIRATION DATE | COUNTERPARTY | LOCAL CURRENCY | VALUE IN USD | IN EXCHANGE FOR USD | NET UNREALIZED APPRECIATION | |||||||||||||||||
7/14/21 | Morgan Stanley & Co. | CAD | 45,424 | $ | 36,644 | $ | 36,609 | $ | 35 | |||||||||||||
|
| |||||||||||||||||||||
Net unrealized appreciation on forward foreign currency exchange contracts to buy | $ | 35 | ||||||||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts to Sell
EXPIRATION DATE | COUNTERPARTY | LOCAL CURRENCY | VALUE IN USD | IN EXCHANGE FOR USD | NET UNREALIZED APPRECIATION | |||||||||||||||||
7/14/21 | Bank of America N.A. | CAD | 1,073,973 | $ | 866,378 | $ | 889,747 | $ | 23,369 | |||||||||||||
7/14/21 | Morgan Stanley & Co. | CAD | 33,694 | 27,181 | 27,243 | 62 | ||||||||||||||||
7/14/21 | Goldman Sachs & Co. | CAD | 25,127 | 20,270 | 20,374 | 104 | ||||||||||||||||
7/14/21 | Canadian Imperial Bank of Commerce | CAD | 29,982 | 24,187 | 24,200 | 13 | ||||||||||||||||
7/14/21 | JPMorgan Chase Bank N.A. | EUR | 32,919,511 | 39,044,216 | 40,182,711 | 1,138,495 | ||||||||||||||||
7/14/21 | Barclays Bank plc | EUR | 1,103,150 | 1,308,392 | 1,335,561 | 27,169 | ||||||||||||||||
7/14/21 | Canadian Imperial Bank of Commerce | EUR | 100,000 | 118,605 | 121,275 | 2,670 | ||||||||||||||||
7/14/21 | Bank of America N.A. | EUR | 912,332 | 1,082,072 | 1,099,244 | 17,172 | ||||||||||||||||
7/14/21 | Canadian Imperial Bank of Commerce | GBP | 7,627,219 | 10,551,120 | 10,814,155 | 263,035 | ||||||||||||||||
|
| |||||||||||||||||||||
Net unrealized appreciation on forward foreign currency exchange contracts to sell | $ | 1,472,089 | ||||||||||||||||||||
|
|
Currency Legend
CAD | – | Canadian Dollar | ||
EUR | – | Euro | ||
GBP | – | British Pound Sterling |
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Fixed Income — 93.8%*: |
| |||||||||||||||||||
Asset-Backed Securities — 28.4%*: |
| |||||||||||||||||||
CDO/CLO — 4.8%*: |
| |||||||||||||||||||
Assurant CLO Ltd., 3M USD LIBOR + 1.550%(a) | 1.65 | %(b) | 10/20/2031 | 2,352,000 | $2,352,000 | $2,352,000 | ||||||||||||||
Bain Capital Credit Clo 2016-2 Ltd., 3M USD LIBOR + 1.550%(a) | 1.73 | (b) | 1/15/2029 | 2,900,000 | 2,900,000 | 2,899,991 | ||||||||||||||
Bain Capital Credit CLO 2020-2 Ltd., 3M USD LIBOR + 1.850%(a) | 2.04 | (b) | 7/21/2031 | 2,250,000 | 2,250,000 | 2,250,000 | ||||||||||||||
BlueMountain CLO 2013-1 Ltd., 3M USD LIBOR + 1.230%(a) | 1.42 | (b) | 1/20/2029 | 1,744,737 | 1,744,737 | 1,744,859 | ||||||||||||||
BlueMountain Fuji US Clo I Ltd., 3M USD LIBOR + 0.980%(a) | 1.17 | (b) | 7/20/2029 | 2,600,000 | 2,600,000 | 2,596,602 | ||||||||||||||
CBAM 2018-6 Ltd., 3M USD LIBOR + 1.270%(a) | 1.45 | (b) | 1/15/2031 | 2,500,000 | 2,500,000 | 2,500,172 | ||||||||||||||
Cedar Funding IX CLO Ltd., 3M USD LIBOR + 0.980%(a) | 1.17 | (b) | 4/20/2031 | 600,000 | 593,025 | 599,255 | ||||||||||||||
CIFC Funding 2017-II Ltd., 3M USD LIBOR + 1.500%(a) | 1.63 | (b) | 4/20/2030 | 1,250,000 | 1,250,000 | 1,250,032 | ||||||||||||||
CIFC Funding 2017-IV Ltd., 3M USD LIBOR + 1.550%(a) | 1.64 | (b) | 10/24/2030 | 1,600,000 | 1,600,000 | 1,600,405 | ||||||||||||||
Flatiron Clo 17 Ltd., 3M USD LIBOR + 0.980%(a) | 1.14 | (b) | 5/15/2030 | 4,500,000 | 4,500,000 | 4,502,443 | ||||||||||||||
Goldentree Loan Management US Clo 4 Ltd., 3M USD LIBOR + 1.110%(a) | 1.25 | (b) | 4/24/2031 | 2,600,000 | 2,600,000 | 2,600,065 | ||||||||||||||
HPS Loan Management 15-2019 Ltd., 3M USD LIBOR + 1.320%(a) | 1.50 | (b) | 7/22/2032 | 1,000,000 | 996,753 | 1,000,613 | ||||||||||||||
KAYNE CLO I Ltd., 3M USD LIBOR + 1.400%(a) | 1.58 | (b) | 7/15/2031 | 1,850,000 | 1,850,000 | 1,849,029 | ||||||||||||||
KKR CLO 28, Ltd., 3M USD LIBOR + 1.140%(a) | 1.26 | (b) | 3/15/2031 | 700,000 | 692,457 | 700,021 | ||||||||||||||
KREF Ltd. 2018-FL1 AS, 1M USD LIBOR + 1.350%(a) | 1.43 | (b) | 6/15/2036 | 2,380,000 | 2,380,000 | 2,380,750 | ||||||||||||||
Magnetite XVIII Ltd., 3M USD LIBOR + 1.080%(a) | 1.24 | (b) | 11/15/2028 | 355,000 | 354,323 | 355,004 | ||||||||||||||
Milos CLO Ltd., 3M USD LIBOR + 1.070%(a) | 1.26 | (b) | 10/20/2030 | 2,100,000 | 2,100,000 | 2,095,122 | ||||||||||||||
Neuberger Berman Loan Advisers CLO 24 Ltd., 3M USD LIBOR + 1.500%(a) | 1.69 | (b) | 4/19/2030 | 500,000 | 500,000 | 500,036 | ||||||||||||||
Neuberger Berman Loan Advisers CLO 25 Ltd., 3M USD LIBOR + 1.350%(a) | 1.54 | (b) | 10/18/2029 | 4,800,000 | 4,800,000 | 4,788,797 | ||||||||||||||
Newark BSL CLO 2 Ltd., 3M USD LIBOR + 1.400%(a) | 1.58 | (b) | 7/25/2030 | 1,000,000 | 1,000,000 | 997,281 | ||||||||||||||
OCP CLO 2020-19 Ltd., 3M USD LIBOR + 1.750%(a) | 1.94 | (b) | 7/20/2031 | 2,250,000 | 2,250,000 | 2,250,817 | ||||||||||||||
Rockford Tower CLO 2017-2 Ltd., 3M USD LIBOR + 1.500%(a) | 1.68 | (b) | 10/15/2029 | 1,250,000 | 1,250,000 | 1,250,033 |
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Asset-Backed Securities (Continued) |
| |||||||||||||||||||
CDO/CLO (Continued) |
| |||||||||||||||||||
Rockford Tower CLO Ltd. 2017-3, 3M USD LIBOR + 1.190%(a) | 1.38 | %(b) | 10/20/2030 | 1,750,000 | $ | 1,740,979 | $ | 1,750,395 | ||||||||||||
RR 3 Ltd. Series 2018-3 A A1R2, 3M USD LIBOR + 1.090%(a) | 1.27 | (b) | 1/15/2030 | 1,625,000 | 1,620,110 | 1,625,010 | ||||||||||||||
TICP CLO XI Ltd., 3M USD LIBOR + 1.180%(a) | 1.37 | (b) | 10/20/2031 | 1,600,000 | 1,591,658 | 1,600,032 | ||||||||||||||
Treman Park CLO Ltd. 2015-1A ARR, 3M USD LIBOR + 1.070%(a) | 1.26 | (b) | 10/20/2028 | 874,951 | 874,951 | 875,276 | ||||||||||||||
VERDE CLO Ltd., 3M USD LIBOR + 1.100%(a) | 1.28 | (b) | 4/15/2032 | 2,500,000 | 2,500,000 | 2,500,992 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total CDO/CLO | 51,431,688 | 51,390,993 | 51,415,032 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Other Asset-Backed Securities — 23.6%*: |
| |||||||||||||||||||
321 Henderson Receivables II LLC 2006-3A A1, 1M USD LIBOR + 0.200%(a) | 0.27 | (b) | 9/15/2041 | 65,403 | 63,833 | 63,942 | ||||||||||||||
AASET 2020-1 Trust(a) | 4.34 | 1/16/2040 | 783,605 | 783,589 | 549,877 | |||||||||||||||
Access Group, Inc. 2015-1 B, 1M USD LIBOR + 1.500%(a) | 1.59 | (b) | 7/25/2058 | 100,000 | 87,053 | 92,955 | ||||||||||||||
AccessLex Institute 2002-A A2 | 1.96 | 9/25/2037 | 350,000 | 343,768 | 349,441 | |||||||||||||||
Adams Outdoor Advertising LP(a) | 4.81 | 11/15/2048 | 1,089,196 | 1,102,895 | 1,167,603 | |||||||||||||||
Affirm Asset Securitization Trust 2021-A(a) | 1.66 | 8/15/2025 | 1,200,000 | 1,199,824 | 1,205,717 | |||||||||||||||
Affirm Asset Securitization Trust 2021-Z1(a) | 1.07 | 8/15/2025 | 8,549,863 | 8,549,577 | 8,546,998 | |||||||||||||||
AmeriCredit Automobile Receivables Trust 2020-3 | 1.49 | 9/18/2026 | 339,000 | 338,895 | 341,792 | |||||||||||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates 2004-W10 M1, 1M USD LIBOR + 0.900% | 0.99 | (b) | 10/25/2034 | 155,687 | 144,150 | 152,976 | ||||||||||||||
Avis Budget Rental Car Funding AESOP LLC(a) | 3.02 | 8/20/2026 | 5,598,000 | 5,596,054 | 5,813,170 | |||||||||||||||
Avis Budget Rental Car Funding AESOP LLC(a) | 4.15 | 9/20/2023 | 1,200,000 | 1,217,648 | 1,233,344 | |||||||||||||||
Avis Budget Rental Car Funding AESOP LLC(a) | 4.53 | 3/20/2023 | 2,607,000 | 2,645,793 | 2,648,378 | |||||||||||||||
Avis Budget Rental Car Funding AESOP LLC(a) | 4.73 | 9/20/2024 | 2,080,000 | 2,153,063 | 2,209,017 | |||||||||||||||
BRE Grand Islander Timeshare Issuer LLC 2017-1A A(a) | 2.94 | 5/25/2029 | 97,502 | 97,485 | 97,755 | |||||||||||||||
BRE Grand Islander Timeshare Issuer LLC 2017-1A B(a) | 3.24 | 5/25/2029 | 80,295 | 80,288 | 80,244 | |||||||||||||||
BRE Grand Islander Timeshare Issuer LLC 2019-A(a) | 3.78 | 9/26/2033 | 801,905 | 801,880 | 806,438 | |||||||||||||||
Business Jet Securities 2020-1 LLC(a) | 2.98 | 11/15/2035 | 852,465 | 852,453 | 868,059 | |||||||||||||||
Business Jet Securities 2021-1 LLC(a) | 2.16 | 4/15/2036 | 4,558,465 | 4,558,465 | 4,595,261 | |||||||||||||||
Capital Automotive LLC 2017-1A A1(a) | 3.87 | 4/15/2047 | 283,537 | 283,461 | 284,151 | |||||||||||||||
Carmax Auto Owner Trust 2019-2 | 3.41 | 10/15/2025 | 615,000 | 614,974 | 641,404 | |||||||||||||||
Carmax Auto Owner Trust 2019-4 | 2.80 | 4/15/2026 | 5,159,000 | 5,212,120 | 5,313,338 | |||||||||||||||
CarMax Auto Owner Trust 2020-4 | 1.75 | 4/15/2027 | 1,946,000 | 1,945,826 | 1,960,641 |
See accompanying Notes to the Financial Statements.
97
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SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Asset-Backed Securities (Continued) |
| |||||||||||||||||||
Other Asset-Backed Securities (Continued) |
| |||||||||||||||||||
Carmax Auto Owner Trust 2021-1 | 1.28 | % | 7/15/2027 | 3,850,000 | $ | 3,848,645 | $ | 3,827,443 | ||||||||||||
CarMax Auto Owner Trust 2021-2 | 1.55 | 10/15/2027 | 3,025,000 | 3,023,898 | 3,045,269 | |||||||||||||||
CARS-DB4 LP(a) | 4.17 | 2/15/2050 | 2,189,000 | 2,188,085 | 2,260,198 | |||||||||||||||
Carvana Auto Receivables Trust(a) | 1.88 | 5/10/2028 | 3,562,000 | 3,561,838 | 3,562,909 | |||||||||||||||
Carvana Auto Receivables Trust 2021-N1 | 1.50 | 1/10/2028 | 6,441,000 | 6,440,030 | 6,436,845 | |||||||||||||||
Castlelake Aircraft Securitization Trust 2018-1(a) | 4.13 | 6/15/2043 | 1,701,821 | 1,702,672 | 1,695,718 | |||||||||||||||
Castlelake Aircraft Securitization Trust 2019-1A(a) | 5.10 | 4/15/2039 | 824,562 | 832,269 | 789,303 | |||||||||||||||
CF Hippolyta LLC(a) | 2.28 | 7/15/2060 | 399,885 | 399,741 | 406,611 | |||||||||||||||
Chase Education Loan Trust, 3M USD LIBOR + 0.220% | 0.37 | (b) | 3/28/2068 | 537,009 | 510,587 | 488,689 | ||||||||||||||
College Ave Student Loans 2021-A LLC(a) | 2.32 | 7/25/2051 | 5,705,000 | 5,702,559 | 5,688,568 | |||||||||||||||
College Avenue Student Loans LLC, 1M USD LIBOR + 1.650%(a) | 1.74 | (b) | 11/26/2046 | 639,358 | 640,083 | 649,623 | ||||||||||||||
College Avenue Student Loans LLC(a) | 3.81 | 12/28/2048 | 1,351,000 | 1,350,878 | 1,390,309 | |||||||||||||||
College Avenue Student Loans LLC 2018-A, 1M USD LIBOR + 1.200%(a) | 1.29 | (b) | 12/26/2047 | 678,889 | 678,889 | 683,302 | ||||||||||||||
College Loan Corp. Trust I 2005-2 B, 3M USD LIBOR + 0.490% | 0.67 | (b) | 1/15/2037 | 119,780 | 107,946 | 110,365 | ||||||||||||||
Commonbond Student Loan Trust 2017-A-GS(a) | 3.47 | 5/25/2041 | 591,320 | 583,662 | 591,560 | |||||||||||||||
Commonbond Student Loan Trust 2017-A-GS(a) | 5.28 | 5/25/2041 | 79,344 | 79,335 | 82,428 | |||||||||||||||
Commonbond Student Loan Trust 2018-A-GS(a) | 3.82 | 2/25/2044 | 52,579 | 52,568 | 53,189 | |||||||||||||||
Commonbond Student Loan Trust 2018-BGS(a) | 4.12 | 9/25/2045 | 60,227 | 60,219 | 61,298 | |||||||||||||||
Commonbond Student Loan Trust 2018-C-GS(a) | 4.35 | 2/25/2046 | 33,663 | 33,660 | 34,547 | |||||||||||||||
Credit Suisse ABS Repackaging Trust 2013-A B(a) | 2.50 | 1/25/2030 | 24,607 | 23,775 | 24,674 | |||||||||||||||
DataBank Issuer(a) | 2.06 | 2/27/2051 | 4,905,000 | 4,904,061 | 4,968,748 | |||||||||||||||
DB Master Finance LLC(a) | 4.03 | 11/20/2047 | 967,500 | 936,768 | 1,030,465 | |||||||||||||||
Diamond Resorts Owner Trust 2018-1(a) | 3.70 | 1/21/2031 | 213,180 | 213,180 | 222,067 | |||||||||||||||
Diamond Resorts Owner Trust 2021-1(a) | 2.05 | 11/21/2033 | 4,118,017 | 4,117,116 | 4,112,955 | |||||||||||||||
Drive Auto Receivables Trust 2021-1 | 1.45 | 1/16/2029 | 6,692,000 | 6,690,165 | 6,731,459 | |||||||||||||||
Earnest Student Loan Program 2017-A LLC(a) | 3.59 | 1/25/2041 | 276,420 | 276,228 | 277,309 | |||||||||||||||
EdLinc Student Loan Funding Trust 2017-A A, PRIME- 1.150%(a) | 2.10 | (b) | 12/1/2047 | 702,904 | 699,218 | 711,477 | ||||||||||||||
EDvestinU Private Education Loan Issue No 1 LLC(a) | 3.58 | 11/25/2038 | 1,171,678 | 1,171,490 | 1,222,252 | |||||||||||||||
Elara HGV Timeshare Issuer 2016-A LLC(a) | 3.22 | 4/25/2028 | 375,877 | 373,083 | 373,926 | |||||||||||||||
Elara HGV Timeshare Issuer LLC 2014-A B(a) | 3.02 | (c) | 2/25/2027 | 3,659 | 3,640 | 3,659 |
See accompanying Notes to the Financial Statements.
98
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Barings Active Short Duration Bond Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Asset-Backed Securities (Continued) |
| |||||||||||||||||||
Other Asset-Backed Securities (Continued) |
| |||||||||||||||||||
Elara HGV Timeshare Issuer LLC 2016-A A(a) | 2.73 | % | 4/25/2028 | 545,119 | $ | 537,670 | $ | 555,428 | ||||||||||||
Elara HGV Timeshare Issuer LLC 2017-A(a) | 2.96 | 3/25/2030 | 924,762 | 918,950 | 916,178 | |||||||||||||||
Elara HGV Timeshare Issuer LLC 2017-A A(a) | 2.69 | 3/25/2030 | 166,144 | 166,133 | 170,909 | |||||||||||||||
Elara HGV Timeshare Issuer LLC 2019-A(a) | 3.45 | 1/25/2034 | 1,817,180 | 1,816,781 | 1,776,009 | |||||||||||||||
ELFI Graduate Loan Program LLC 2018-A(a) | 4.00 | 8/25/2042 | 228,449 | 224,321 | 233,285 | |||||||||||||||
FCI Funding 2019-1 LLC(a) | 3.63 | 2/18/2031 | 177,655 | 177,630 | 179,838 | |||||||||||||||
First Investors Auto Owner Trust 2021-1(a) | 1.17 | 3/15/2027 | 1,500,000 | 1,499,594 | 1,499,716 | |||||||||||||||
Firstkey Homes Trust(a) | 2.49 | 8/17/2028 | 4,000,000 | 3,999,915 | 3,999,844 | |||||||||||||||
Flagship Credit Auto Trust 2019-1(a) | 3.60 | 2/18/2025 | 2,175,000 | 2,176,109 | 2,248,176 | |||||||||||||||
FNA VI LLC(a) | 1.35 | 1/10/2032 | 10,143,533 | 10,141,979 | 10,132,649 | |||||||||||||||
GCI Funding I LLC(a),(d) | 2.38 | 6/18/2046 | 1,294,000 | 1,293,667 | 1,293,667 | |||||||||||||||
Goal Capital Funding Trust 2010-1 A, 3M USD LIBOR + 0.700%(a) | 0.85 | (b) | 8/25/2048 | 94,188 | 90,813 | 94,431 | ||||||||||||||
Goal Structured Solution Trust 2015-1 B, 1M USD LIBOR + 1.500%(a) | 1.59 | (b) | 9/25/2043 | 100,000 | 78,253 | 98,330 | ||||||||||||||
Goodgreen 2019-2(a) | 2.76 | 4/15/2055 | 1,862,815 | 1,862,815 | 1,909,194 | |||||||||||||||
Goodgreen Trust 2016-1 A(a) | 3.23 | 10/15/2052 | 557,283 | 550,516 | 583,059 | |||||||||||||||
Goodgreen Trust 2018-1A A(a) | 3.93 | 10/15/2053 | 2,526,837 | 2,555,353 | 2,682,175 | |||||||||||||||
Goodgreen Trust 2019-1(a) | 3.86 | 10/15/2054 | 2,111,832 | 2,112,199 | 2,240,836 | |||||||||||||||
Grace Point International Funding, 1M USD LIBOR + 1.400%(a) | 1.51 | (b) | 11/1/2023 | 1,750,000 | 1,750,000 | 1,750,000 | ||||||||||||||
HERO Funding Trust 2015-1A A(a) | 3.84 | 9/21/2040 | 322,489 | 327,749 | 339,004 | |||||||||||||||
HERO Funding Trust 2016-4A A1(a) | 3.57 | 9/20/2047 | 151,572 | 151,516 | 156,434 | |||||||||||||||
HERO Funding Trust 2017-2A A1(a) | 3.28 | 9/20/2048 | 58,298 | 58,291 | 60,708 | |||||||||||||||
HERO Funding Trust 2017-2A A2(a) | 4.07 | 9/20/2048 | 45,806 | 46,866 | 47,568 | |||||||||||||||
HERO Funding Trust 2017-3A A1(a) | 3.19 | 9/20/2048 | 385,350 | 385,229 | 395,158 | |||||||||||||||
HERO Funding Trust 2018-1(a) | 4.67 | 9/20/2048 | 605,411 | 617,204 | 655,529 | |||||||||||||||
Higher Education Funding I 2004-1 B1, 28 day ARS(a) | 3.24 | (b) | 1/1/2044 | 950,000 | 843,048 | 860,353 | ||||||||||||||
Hilton Grand Vacations Trust 2017-AA B(a) | 2.96 | (c) | 12/26/2028 | 341,291 | 342,106 | 348,720 | ||||||||||||||
Hilton Grand Vacations Trust 2018-A(a) | 3.54 | 2/25/2032 | 196,080 | 196,076 | 206,184 | |||||||||||||||
Hilton Grand Vacations Trust 2019-A(a) | 2.84 | 7/25/2033 | 1,604,563 | 1,604,563 | 1,641,207 | |||||||||||||||
Horizon Aircraft Finance I Ltd. 2018-1 A(a) | 4.46 | 12/15/2038 | 430,766 | 430,758 | 437,074 | |||||||||||||||
Horizon Aircraft Finance III Ltd.(a) | 3.43 | 11/15/2039 | 1,866,357 | 1,807,885 | 1,834,659 | |||||||||||||||
Kestrel Aircraft Funding Ltd.(a),(e) | 4.25 | 12/15/2038 | 3,296,535 | 3,355,902 | 3,280,631 | |||||||||||||||
Laurel Road Prime Student Loan Trust 2017-B CFX(a) | 3.61 | 8/25/2042 | 235,506 | 235,474 | 239,789 | |||||||||||||||
Laurel Road Prime Student Loan Trust 2017-C B(a) | 2.95 | 11/25/2042 | 271,253 | 271,157 | 277,751 | |||||||||||||||
Laurel Road Prime Student Loan Trust 2019-A(a) | 3.00 | 10/25/2048 | 687,875 | 687,818 | 704,724 | |||||||||||||||
MACH 1 Cayman 2019-1 Ltd.(a) | 3.47 | 10/15/2039 | 1,249,525 | 1,249,487 | 1,249,426 | |||||||||||||||
Marlette Funding Trust 2019-2(a) | 3.53 | 7/16/2029 | 976,000 | 975,844 | 989,752 | |||||||||||||||
Mosaic Solar Loan Trust 2018-2-GS(a) | 4.20 | 2/22/2044 | 359,592 | 359,538 | 391,131 | |||||||||||||||
Mosaic Solar Loans LLC 2017-1A A(a) | 4.45 | 6/20/2042 | 51,318 | 51,305 | 55,959 |
See accompanying Notes to the Financial Statements.
99
Table of Contents
Barings Active Short Duration Bond Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Asset-Backed Securities (Continued) |
| |||||||||||||||||||
Other Asset-Backed Securities (Continued) |
| |||||||||||||||||||
Navient Private Education Refi Loan Trust 2020-B(a) | 2.77 | % | 1/15/2069 | 4,400,000 | $ | 4,458,950 | $ | 4,534,831 | ||||||||||||
Navient Student Loan Trust 2015-1 B, 1M USD LIBOR + 1.500% | 1.59 | (b) | 7/25/2052 | 1,100,000 | 1,096,105 | 1,095,626 | ||||||||||||||
Nelnet Private Education Loan Trust 2016-A A1A, 1M USD LIBOR + 1.750%(a) | 1.84 | (b) | 12/26/2040 | 58,771 | 58,771 | 59,047 | ||||||||||||||
Nelnet Student Loan Trust 2006-2 B, 3M USD LIBOR + 0.200% | 0.38 | (b) | 1/25/2038 | 895,419 | 847,314 | 782,149 | ||||||||||||||
Nelnet Student Loan Trust 2006-3, 3M USD LIBOR + 0.250% | 0.40 | (b) | 6/25/2041 | 1,467,463 | 1,380,595 | 1,310,034 | ||||||||||||||
Nelnet Student Loan Trust 2007-2(a) | 1.19 | 6/25/2035 | 2,000,000 | 1,980,294 | 1,981,123 | |||||||||||||||
Nelnet Student Loan Trust 2012-4, 1M USD LIBOR + 1.000%(a) | 1.09 | (b) | 7/26/2049 | 900,000 | 870,946 | 859,052 | ||||||||||||||
New Residential Advance Receivables Trust Advance Receivables Backed 2020-T1(a) | 5.47 | 8/15/2053 | 1,651,000 | 1,651,000 | 1,655,354 | |||||||||||||||
NovaStar Mortgage Funding Trust 2004-4 M5, 1M USD LIBOR + 1.725% | 1.82 | (b) | 3/25/2035 | 57,436 | 57,436 | 57,439 | ||||||||||||||
NP SPE II LLC 2017-1A A1(a) | 3.37 | 10/21/2047 | 288,163 | 288,163 | 295,780 | |||||||||||||||
NRZ Advance Receivables Trust 2015-ON1(a) | 2.46 | 10/15/2052 | 1,688,000 | 1,688,000 | 1,690,567 | |||||||||||||||
Oak Street Investment Grade Net Lease Fund Series 2020-1(a) | 2.26 | 11/20/2050 | 1,654,000 | 1,653,821 | 1,655,800 | |||||||||||||||
Oak Street Investment Grade Net Lease Fund Series 2021-1(a) | 2.80 | 1/20/2051 | 6,000,000 | 5,998,473 | 6,113,488 | |||||||||||||||
Orange Lake Timeshare Trust 2016-A B(a) | 2.91 | 3/8/2029 | 190,499 | 188,479 | 192,463 | |||||||||||||||
Orange Lake Timeshare Trust 2018-A(a) | 3.74 | 11/8/2030 | 377,906 | 383,601 | 384,912 | |||||||||||||||
Oxford Finance Funding 2020-1 LLC(a) | 3.10 | 2/15/2028 | 1,296,000 | 1,296,000 | 1,322,375 | |||||||||||||||
Oxford Finance Funding 2020-1 LLC(a) | 4.04 | 2/15/2028 | 1,750,000 | 1,781,108 | 1,801,511 | |||||||||||||||
Pennsylvania Higher Education Assistance Agency | 1.43 | 10/25/2042 | 650,000 | 641,564 | 646,832 | |||||||||||||||
Pioneer Aircraft Finance Ltd.(a),(e) | 3.97 | 6/15/2044 | 926,786 | 926,786 | 924,410 | |||||||||||||||
Planet Fitness Master Issuer LLC(a) | 4.26 | 9/5/2048 | 2,528,500 | 2,545,565 | 2,536,864 | |||||||||||||||
PNMAC GMSR Issuer Trust 2018-GT1, 1M USD LIBOR + 2.850%(a) | 2.94 | (b) | 2/25/2023 | 470,000 | 470,000 | 470,874 | ||||||||||||||
RAMP Series 2005-EFC1 Trust, 1M USD LIBOR + 0.650% | 1.07 | (b) | 5/25/2035 | 2,300,000 | 2,297,298 | 2,304,351 | ||||||||||||||
Santander Consumer Auto Receivables Trust 2021-A(a) | 1.57 | 1/15/2027 | 1,500,000 | 1,499,491 | 1,484,981 | |||||||||||||||
Santander Drive Auto Receivables Trust 2020-4 | 1.48 | 1/15/2027 | 401,000 | 400,931 | 405,821 | |||||||||||||||
Santander Revolving Auto Loan Trust 2019-A(a) | 3.00 | 1/26/2032 | 439,000 | 438,872 | 462,223 | |||||||||||||||
Santander Revolving Auto Loan Trust 2019-A(a) | 3.45 | 1/26/2032 | 1,277,000 | 1,296,530 | 1,339,452 | |||||||||||||||
SBA Tower Trust(a) | 2.84 | 1/15/2025 | 5,300,000 | 5,300,000 | 5,525,085 | |||||||||||||||
SBA Tower Trust(a) | 3.87 | 10/15/2049 | 1,300,000 | 1,304,859 | 1,366,020 |
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Asset-Backed Securities (Continued) |
| |||||||||||||||||||
Other Asset-Backed Securities (Continued) |
| |||||||||||||||||||
Sierra Receivables Funding Co LLC 2017-1A A(a) | 2.91 | % | 3/20/2034 | 205,947 | $ | 206,478 | $ | 208,287 | ||||||||||||
Sierra Timeshare 2019-1 Receivables Funding LLC(a) | 3.77 | 1/20/2036 | 657,170 | 660,127 | 673,420 | |||||||||||||||
Sierra Timeshare 2019-3 Receivables Funding LLC(a) | 3.00 | 8/20/2036 | 2,485,923 | 2,485,702 | 2,539,603 | |||||||||||||||
Sierra Timeshare 2020-2 Receivables Funding LLC(a) | 3.51 | 7/20/2037 | 342,597 | 342,556 | 352,307 | |||||||||||||||
Sierra Timeshare 2021-1 Receivables Funding LLC(a) | 1.79 | 11/20/2037 | 1,575,225 | 1,575,019 | 1,560,936 | |||||||||||||||
SLC Student Loan Trust 2005-1 B, 3M USD LIBOR + 0.200% | 0.36 | (b) | 2/15/2045 | 521,277 | 474,023 | 490,457 | ||||||||||||||
SLC Student Loan Trust 2006-1, 3M USD LIBOR + 0.210% | 0.33 | (b) | 3/15/2055 | 1,844,600 | 1,723,137 | 1,673,801 | ||||||||||||||
SLC Student Loan Trust 2006-2 B, 3M USD LIBOR + 0.230% | 0.35 | (b) | 12/15/2039 | 1,378,239 | 1,291,172 | 1,238,621 | ||||||||||||||
SLM Student Loan Trust 2003-11, 3M USD LIBOR + 0.650% | 0.77 | (b) | 12/15/2038 | 773,197 | 738,736 | 734,636 | ||||||||||||||
SLM Student Loan Trust 2003-14 A6, 3M USD LIBOR + 0.300% | 0.48 | (b) | 7/25/2025 | 16,836 | 16,521 | 16,829 | ||||||||||||||
SLM Student Loan Trust 2003-4 B, 3M USD LIBOR + 0.650% | 0.77 | (b) | 6/15/2038 | 298,514 | 286,880 | 283,171 | ||||||||||||||
SLM Student Loan Trust 2004-1, 3M USD LIBOR + 0.500% | 0.68 | (b) | 7/25/2039 | 434,024 | 414,676 | 410,499 | ||||||||||||||
SLM Student Loan Trust 2004-8, 3M USD LIBOR + 0.460% | 0.64 | (b) | 1/25/2040 | 904,637 | 861,422 | 853,754 | ||||||||||||||
SLM Student Loan Trust 2005-4 B, 3M USD LIBOR + 0.180% | 0.36 | (b) | 7/25/2055 | 582,995 | 523,092 | 537,348 | ||||||||||||||
SLM Student Loan Trust 2005-5, 3M USD LIBOR + 0.250% | 0.43 | (b) | 10/25/2040 | 583,644 | 550,574 | 540,594 | ||||||||||||||
SLM Student Loan Trust 2005-6 B, 3M USD LIBOR + 0.290% | 0.47 | (b) | 1/25/2044 | 1,687,614 | 1,583,195 | 1,577,472 | ||||||||||||||
SLM Student Loan Trust 2005-9, 3M USD LIBOR + 0.300% | 0.48 | (b) | 1/25/2041 | 675,837 | 648,410 | 627,667 | ||||||||||||||
SLM Student Loan Trust 2006-2(d) | Zero Coupon | 1/25/2041 | 3,956 | 1,621,960 | 2,096,680 | |||||||||||||||
SLM Student Loan Trust 2006-5 B, 3M USD LIBOR + 0.210% | 0.39 | (b) | 10/25/2040 | 458,226 | 411,943 | 424,869 | ||||||||||||||
SLM Student Loan Trust 2006-7 B, 3M USD LIBOR + 0.200% | 0.38 | (b) | 1/27/2042 | 434,793 | 406,439 | 403,367 | ||||||||||||||
SMB Private Education Loan Trust 2014-A(a) | 4.00 | 9/15/2042 | 1,250,000 | 1,270,521 | 1,293,630 | |||||||||||||||
SMB Private Education Loan Trust 2014-A A2B, 1M USD LIBOR + 1.150%(a) | 1.22 | (b) | 5/15/2026 | 26,108 | 26,226 | 26,118 | ||||||||||||||
SMB Private Education Loan Trust 2015-A A2B, 1M USD LIBOR + 1.000%(a) | 1.07 | (b) | 6/15/2027 | 13,561 | 13,427 | 13,572 |
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Asset-Backed Securities (Continued) |
| |||||||||||||||||||
Other Asset-Backed Securities (Continued) |
| |||||||||||||||||||
SMB Private Education Loan Trust 2015-A A3, 1M USD LIBOR + 1.500%(a) | 1.57 | %(b) | 2/17/2032 | 900,000 | $ | 916,560 | $ | 909,112 | ||||||||||||
SMB Private Education Loan Trust 2015-C(a) | 4.50 | 9/17/2046 | 1,710,000 | 1,752,735 | 1,836,698 | |||||||||||||||
SMB Private Education Loan Trust 2016-C A2B, 1M USD LIBOR + 1.100%(a) | 1.20 | (b) | 9/15/2034 | 131,805 | 131,805 | 132,619 | ||||||||||||||
SoFi Alternative Trust 2019-C(a),(d) | 4.56 | 1/25/2045 | 1,960,995 | 2,024,717 | 2,089,291 | |||||||||||||||
SoFi Consumer Loan Program 2020-1 Trust(a) | 2.94 | 1/25/2029 | 4,000,000 | 3,999,399 | 4,049,433 | |||||||||||||||
SoFi Consumer Loan Program Trust 2019-3(a) | 3.89 | 5/25/2028 | 2,766,000 | 2,767,693 | 2,857,940 | |||||||||||||||
SoFi Professional Loan Program 2017-C LLC(a) | 4.21 | 7/25/2040 | 2,410,000 | 2,517,701 | 2,495,634 | |||||||||||||||
SoFi Professional Loan Program 2019-A LLC(a) | 4.11 | 6/15/2048 | 870,000 | 876,377 | 912,720 | |||||||||||||||
SoFi Professional Loan Program LLC 2016-B A1, 1M USD LIBOR + 1.200%(a) | 1.29 | (b) | 6/25/2033 | 104,893 | 105,901 | 105,542 | ||||||||||||||
SoFi Professional Loan Program LLC 2016-D A1, 1M USD LIBOR + 0.950%(a) | 1.04 | (b) | 1/25/2039 | 20,216 | 20,216 | 20,266 | ||||||||||||||
Store Master Funding I-VII A3(a) | 4.40 | 10/20/2048 | 1,868,333 | 1,887,049 | 1,979,754 | |||||||||||||||
Structured Asset Investment Loan Trust 2004-11, 1M USD LIBOR + 0.930% | 1.02 | (b) | 1/25/2035 | 5,111,174 | 5,113,793 | 5,013,876 | ||||||||||||||
TAL Advantage VII LLC(a) | 3.29 | 9/20/2045 | 2,395,250 | 2,394,728 | 2,440,736 | |||||||||||||||
Terwin Mortgage Trust 2006-5, 1M USD LIBOR + 0.420%(a) | 0.51 | (b) | 7/25/2037 | 2,306,056 | 2,272,414 | 2,286,041 | ||||||||||||||
Thrust Engine Leasing(a),(d) | 4.16 | 7/15/2040 | 3,100,000 | 3,099,882 | 3,099,882 | |||||||||||||||
Trafigura Securitisation Finance plc 2018-1(a),(e) | 4.29 | 3/15/2022 | 1,800,000 | 1,799,973 | 1,800,988 | |||||||||||||||
Trinity Rail Leasing 2019 LLC(a) | 3.82 | 4/17/2049 | 2,071,674 | 2,070,679 | 2,157,018 | |||||||||||||||
Vantage Data Centers LLC(a) | 1.65 | 9/15/2045 | 2,475,000 | 2,475,000 | 2,482,597 | |||||||||||||||
Wachovia Student Loan Trust 2005-1 B, 3M USD LIBOR + 0.300% | 0.48 | (b) | 10/25/2040 | 481,138 | 445,915 | 447,914 | ||||||||||||||
Welk Resorts LLC 2017-AA B(a) | 3.41 | 6/15/2033 | 445,634 | 447,679 | 447,427 | |||||||||||||||
Westgate Resorts LLC 2017-1A A(a) | 3.05 | 12/20/2030 | 78,326 | 78,326 | 79,054 | |||||||||||||||
Westgate Resorts LLC 2018-1(a) | 3.38 | 12/20/2031 | 236,470 | 236,135 | 240,545 | |||||||||||||||
Westlake Automobile Receivables Trust 2019-3(a) | 3.59 | 3/17/2025 | 2,182,000 | 2,181,735 | 2,248,383 | |||||||||||||||
Westlake Automobile Receivables Trust 2021-1(a) | 1.23 | 4/15/2026 | 6,000,000 | 5,998,787 | 6,006,435 | |||||||||||||||
Westlake Automobile Receivables Trust 2021-1(a) | 2.33 | 8/17/2026 | 5,269,000 | 5,268,022 | 5,258,447 | |||||||||||||||
Willis Engine Structured Trust IV(a) | 4.75 | 9/15/2043 | 1,016,231 | 1,027,637 | 1,009,415 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Other Asset-Backed Securities | 247,596,644 | 248,673,942 | 251,339,020 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Asset-Backed Securities | 299,028,332 | 300,064,935 | 302,754,052 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds — 50.3%*: |
| |||||||||||||||||||
Agriculture — 1.6%*: |
| |||||||||||||||||||
BAT Capital Corp.(e) | 4.70 | % | 4/2/2027 | 4,250,000 | $ | 4,827,032 | $ | 4,804,804 | ||||||||||||
Bunge Ltd. Finance Corp. | 3.00 | 9/25/2022 | 1,840,000 | 1,831,725 | 1,889,759 | |||||||||||||||
Imperial Brands Finance plc(a),(e) | 3.13 | 7/26/2024 | 2,677,000 | 2,737,483 | 2,818,105 | |||||||||||||||
Imperial Brands Finance plc(a),(e) | 3.50 | 2/11/2023 | 1,347,000 | 1,349,227 | 1,392,673 | |||||||||||||||
Wens Foodstuffs Group Co. Ltd.(e) | 2.35 | 10/29/2025 | 6,475,000 | 6,234,509 | 5,960,238 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Agriculture | 16,589,000 | 16,979,976 | 16,865,579 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Airlines — 0.1%*: |
| |||||||||||||||||||
Delta Air Lines, Inc. / SkyMiles IP Ltd.(a) | 4.50 | 10/20/2025 | 755,000 | 755,000 | 811,589 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Auto Manufacturers — 2.5%*: |
| |||||||||||||||||||
Ford Motor Credit Co. LLC, 3M USD LIBOR + 1.235% | 1.39 | (b) | 2/15/2023 | 985,000 | 985,000 | 981,306 | ||||||||||||||
Ford Motor Credit Co. LLC | 3.09 | 1/9/2023 | 2,785,000 | 2,808,355 | 2,840,700 | |||||||||||||||
Ford Motor Credit Co. LLC | 3.35 | 11/1/2022 | 6,605,000 | 6,695,420 | 6,769,464 | |||||||||||||||
General Motors Co. | 6.13 | 10/1/2025 | 815,000 | 953,559 | 965,147 | |||||||||||||||
General Motors Financial Co., Inc. | 3.25 | 1/5/2023 | 3,942,000 | 3,922,166 | 4,090,359 | |||||||||||||||
Harley-Davidson Financial Services, Inc.(a) | 3.35 | 6/8/2025 | 2,181,000 | 2,295,879 | 2,332,113 | |||||||||||||||
Hyundai Capital America(a) | 1.50 | 6/15/2026 | 5,355,000 | 5,341,714 | 5,316,213 | |||||||||||||||
Kia Corp.(a),(e) | 1.00 | 4/16/2024 | 2,425,000 | 2,418,018 | 2,437,581 | |||||||||||||||
Nissan Motor Acceptance Corp.(a),(e) | 1.90 | 9/14/2021 | 670,000 | 669,764 | 671,839 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Auto Manufacturers | 25,763,000 | 26,089,875 | 26,404,722 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Auto Parts&Equipment — 0.2%*: |
| |||||||||||||||||||
Metalsa SA de CV(a),(e) | 4.90 | 4/24/2023 | 2,300,000 | 2,392,846 | 2,411,838 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Beverages — 0.4%*: |
| |||||||||||||||||||
Bacardi Ltd.(a),(e) | 4.45 | 5/15/2025 | 3,304,000 | 3,614,494 | 3,668,101 | |||||||||||||||
Molson Coors Beverage Co. | 2.10 | 7/15/2021 | 325,000 | 324,976 | 325,218 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Beverages | 3,629,000 | 3,939,470 | 3,993,319 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Building Materials — 0.3%*: |
| |||||||||||||||||||
Martin Marietta Materials, Inc. | 0.65 | 7/15/2023 | 2,810,000 | 2,809,663 | 2,816,182 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Chemicals — 1.3%*: |
| |||||||||||||||||||
DuPont de Nemours, Inc. | 4.49 | 11/15/2025 | 2,130,000 | 2,377,008 | 2,423,044 | |||||||||||||||
MEGlobal Canada ULC(a),(e) | 5.00 | 5/18/2025 | 5,450,000 | 6,040,795 | 6,110,812 | |||||||||||||||
RPM International, Inc. | 3.45 | 11/15/2022 | 1,155,000 | 1,157,624 | 1,191,053 | |||||||||||||||
Syngenta Finance NV(a),(e) | 4.44 | 4/24/2023 | 3,800,000 | 3,897,324 | 4,011,237 | |||||||||||||||
Syngenta Finance NV(a),(e) | 4.89 | 4/24/2025 | 200,000 | 214,974 | 221,687 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Chemicals | 12,735,000 | 13,687,725 | 13,957,833 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Commercial Banks — 12.8%*: |
| |||||||||||||||||||
ABN AMRO Bank NV(a),(e) | 4.75 | 7/28/2025 | 6,010,000 | 6,705,787 | 6,736,825 | |||||||||||||||
Arab National Bank, 5 year CMT + 2.974%(e) | 3.33 | (b) | 10/28/2030 | 3,150,000 | 3,271,492 | 3,250,013 | ||||||||||||||
Banco Santander SA(e) | 1.85 | 3/25/2026 | 4,200,000 | 4,212,530 | 4,248,805 |
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Commercial Banks (Continued) |
| |||||||||||||||||||
Bank of America Corp., 3M USD LIBOR + 0.930% | 2.82 | % (b) | 7/21/2023 | 2,809,000 | $ | 2,875,690 | $ | 2,878,691 | ||||||||||||
Bank of America Corp. | 4.00 | 1/22/2025 | 3,341,000 | 3,642,937 | 3,667,425 | |||||||||||||||
Bank of America Corp. | 4.25 | 10/22/2026 | 2,510,000 | 2,844,713 | 2,835,456 | |||||||||||||||
Bank of America Corp. MTN | 3.95 | 4/21/2025 | 905,000 | 989,518 | 993,452 | |||||||||||||||
Bank of Nova Scotia (The)(e) | 4.50 | 12/16/2025 | 5,538,000 | 6,194,355 | 6,275,510 | |||||||||||||||
Barclays Bank plc, 3M USD LIBOR + 1.380%(e) | 1.54 | (b) | 5/16/2024 | 1,235,000 | 1,230,685 | 1,257,467 | ||||||||||||||
Barclays plc(e) | 5.20 | 5/12/2026 | 3,205,000 | 3,667,916 | 3,660,559 | |||||||||||||||
BPCE SA(a),(e) | 4.63 | 7/11/2024 | 850,000 | 935,730 | 934,495 | |||||||||||||||
BPCE SA(a),(e) | 5.70 | 10/22/2023 | 5,620,000 | 6,144,861 | 6,220,907 | |||||||||||||||
Burgan Bank SAK, 5 year CMT + 2.229%(e) | 2.75 | (b) | 12/15/2031 | 2,000,000 | 2,000,000 | 1,897,000 | ||||||||||||||
Citigroup, Inc. | 4.40 | 6/10/2025 | 7,985,000 | 8,782,574 | 8,921,551 | |||||||||||||||
Credit Suisse AG(a),(e) | 6.50 | 8/8/2023 | 4,510,000 | 4,833,120 | 4,981,926 | |||||||||||||||
Danske Bank A/S(a),(e) | 5.00 | 1/12/2022 | 1,990,000 | 2,013,924 | 2,036,134 | |||||||||||||||
Deutsche Bank AG, SOFR + 2.159%(e) | 2.22 | (b) | 9/18/2024 | 2,415,000 | 2,415,000 | 2,479,939 | ||||||||||||||
Discover Bank | 4.20 | 8/8/2023 | 2,185,000 | 2,219,982 | 2,352,776 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 4.25 | 10/21/2025 | 13,955,000 | 15,548,975 | 15,612,295 | |||||||||||||||
HSBC Holdings plc(e) | 4.25 | 3/14/2024 | 2,288,000 | 2,452,283 | 2,478,330 | |||||||||||||||
HSBC Holdings plc(e) | 4.25 | 8/18/2025 | 2,617,000 | 2,906,737 | 2,901,122 | |||||||||||||||
HSBC Holdings plc(e) | 4.38 | 11/23/2026 | 360,000 | 406,046 | 406,511 | |||||||||||||||
ING Groep NV, SOFR + 1.005% | 1.73 | (b) | 4/1/2027 | 3,113,000 | 3,123,413 | 3,140,952 | ||||||||||||||
JPMorgan Chase & Co., SOFR + 0.540% | 0.82 | (b) | 6/1/2025 | 4,895,000 | 4,895,000 | 4,885,993 | ||||||||||||||
Lloyds Banking Group plc(e) | 4.05 | 8/16/2023 | 4,480,000 | 4,807,568 | 4,803,490 | |||||||||||||||
Macquarie Group Ltd., SOFR + 1.069%(a),(e) | 1.34 | (b) | 1/12/2027 | 2,430,000 | 2,430,000 | 2,410,608 | ||||||||||||||
Mitsubishi UFJ Financial Group, Inc.(e) | 2.67 | 7/25/2022 | 2,580,000 | 2,563,756 | 2,644,055 | |||||||||||||||
Morgan Stanley | 3.70 | 10/23/2024 | 4,410,000 | 4,819,381 | 4,811,712 | |||||||||||||||
Morgan Stanley | 4.10 | 5/22/2023 | 1,785,000 | 1,860,502 | 1,900,654 | |||||||||||||||
Morgan Stanley | 4.35 | 9/8/2026 | 2,550,000 | 2,878,771 | 2,888,834 | |||||||||||||||
Natwest Group plc, 1 year CMT + 0.900%(e) | 1.64 | (b) | 6/14/2027 | 1,840,000 | 1,840,000 | 1,840,983 | ||||||||||||||
Sberbank of Russia Via SB Capital SA(a),(e) | 5.25 | 5/23/2023 | 3,150,000 | 3,335,412 | 3,328,762 | |||||||||||||||
Societe Generale SA, 1 year CMT + 1.100%(a),(e) | 1.49 | (b) | 12/14/2026 | 4,041,000 | 4,039,231 | 4,004,404 | ||||||||||||||
Societe Generale SA, 1 year CMT + 1.000%(a),(e) | 1.79 | (b) | 6/9/2027 | 245,000 | 245,000 | 244,515 | ||||||||||||||
Sumitomo Mitsui Financial Group, Inc. | 2.45 | 9/27/2024 | 4,040,000 | 4,246,603 | 4,238,522 | |||||||||||||||
Synchrony Bank | 3.00 | 6/15/2022 | 1,680,000 | 1,661,250 | 1,717,821 | |||||||||||||||
UBS Group AG(a),(e) | 4.13 | 9/24/2025 | 4,300,000 | 4,751,380 | 4,790,200 | |||||||||||||||
Wells Fargo & Co., SOFR + 0.510% | 0.81 | (b) | 5/19/2025 | 992,000 | 992,000 | 990,348 | ||||||||||||||
Wells Fargo & Co. | 4.10 | 6/3/2026 | 502,000 | 563,453 | 564,026 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Commercial Banks | 126,711,000 | 135,347,575 | 136,233,068 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
104
Table of Contents
Barings Active Short Duration Bond Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Commercial Services — 1.1%*: |
| |||||||||||||||||||
Adani Ports & Special Economic Zone Ltd.(a),(e) | 3.38 | % | 7/24/2024 | 5,878,000 | $ | 5,971,854 | $ | 6,108,711 | ||||||||||||
Element Fleet Management Corp.(a) | 1.60 | 4/6/2024 | 1,225,000 | 1,223,677 | 1,245,017 | |||||||||||||||
Triton Container International Ltd.(a) | 2.05 | 4/15/2026 | 4,885,000 | 4,880,124 | 4,902,625 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Commercial Services | 11,988,000 | 12,075,655 | 12,256,353 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Computers — 0.7%*: |
| |||||||||||||||||||
Dell International LLC / EMC Corp. | 4.00 | 7/15/2024 | 2,472,000 | 2,524,861 | 2,688,205 | |||||||||||||||
Dell International LLC / EMC Corp. | 5.85 | 7/15/2025 | 1,855,000 | 2,080,213 | 2,177,547 | |||||||||||||||
Genpact Luxembourg Sarl | 3.70 | 4/1/2022 | 2,175,000 | 2,178,944 | 2,216,514 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Computers | 6,502,000 | 6,784,018 | 7,082,266 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Distribution/Wholesale — 0.7%*: |
| |||||||||||||||||||
Li & Fung Ltd.(e) | 4.50 | 8/18/2025 | 6,900,000 | 7,117,110 | 7,121,231 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified Financial Services — 4.0%*: |
| |||||||||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust(e) | 2.88 | 8/14/2024 | 4,960,000 | 4,963,876 | 5,188,426 | |||||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.50 | 9/15/2023 | 1,095,000 | 1,090,106 | 1,174,001 | |||||||||||||||
Aircastle Ltd. | 5.00 | 4/1/2023 | 4,871,000 | 4,991,214 | 5,210,110 | |||||||||||||||
Antares Holdings LP(a) | 3.95 | 7/15/2026 | 3,550,000 | 3,543,294 | 3,695,804 | |||||||||||||||
Antares Holdings LP(a) | 6.00 | 8/15/2023 | 2,160,000 | 2,200,295 | 2,339,356 | |||||||||||||||
Aviation Capital Group LLC(a) | 1.95 | 1/30/2026 | 2,425,000 | 2,403,836 | 2,426,657 | |||||||||||||||
Avolon Holdings Funding Ltd.(a),(e) | 2.88 | 2/15/2025 | 5,265,000 | 5,377,123 | 5,422,600 | |||||||||||||||
BGC Partners, Inc. | 4.38 | 12/15/2025 | 2,615,000 | 2,683,454 | 2,830,681 | |||||||||||||||
Brookfield Finance Inc.(e) | 4.00 | 4/1/2024 | 2,275,000 | 2,323,691 | 2,458,544 | |||||||||||||||
Lazard Group LLC | 3.75 | 2/13/2025 | 3,430,000 | 3,608,104 | 3,742,817 | |||||||||||||||
LeasePlan Corp. NV(a),(e) | 2.88 | 10/24/2024 | 1,502,000 | 1,510,407 | 1,577,559 | |||||||||||||||
Park Aerospace Holdings Ltd.(a),(e) | 5.25 | 8/15/2022 | 2,465,000 | 2,520,112 | 2,579,252 | |||||||||||||||
SPARC EM SPC Panama Metro Line 2 SP(a),(e) | Zero Coupon | 12/5/2022 | 970,553 | 954,282 | 948,658 | |||||||||||||||
Synchrony Financial | 2.85 | 7/25/2022 | 2,510,000 | 2,511,280 | 2,569,166 | |||||||||||||||
Synchrony Financial | 3.70 | 8/4/2026 | 900,000 | 985,077 | 981,655 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified Financial Services | 40,993,553 | 41,666,151 | 43,145,286 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Electric — 1.1%*: |
| |||||||||||||||||||
Alliant Energy Finance LLC(a) | 1.40 | 3/15/2026 | 1,085,000 | 1,083,187 | 1,069,236 | |||||||||||||||
CenterPoint Energy, Inc. | 1.45 | 6/1/2026 | 1,325,000 | 1,321,992 | 1,326,535 | |||||||||||||||
National Central Cooling Co. PJSC(e) | 2.50 | 10/21/2027 | 2,519,000 | 2,492,992 | 2,500,107 | |||||||||||||||
OGE Energy Corp. | 0.70 | 5/26/2023 | 1,190,000 | 1,190,000 | 1,188,949 | |||||||||||||||
Pacific Gas and Electric Co. | 1.75 | 6/16/2022 | 4,070,000 | 4,069,921 | 4,067,631 | |||||||||||||||
Puget Energy, Inc. | 6.00 | 9/1/2021 | 1,275,000 | 1,281,033 | 1,287,150 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Electric | 11,464,000 | 11,439,125 | 11,439,608 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
105
Table of Contents
Barings Active Short Duration Bond Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Gas — 0.6%*: |
| |||||||||||||||||||
Atmos Energy Corp. | 0.63 | % | 3/9/2023 | 1,840,000 | $ | 1,839,938 | $ | 1,840,546 | ||||||||||||
ONE Gas, Inc. | 1.10 | 3/11/2024 | 4,910,000 | 4,904,918 | 4,913,413 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Gas | 6,750,000 | 6,744,856 | 6,753,959 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Housewares — 0.4%*: |
| |||||||||||||||||||
Newell Brands, Inc. | 4.35 | 4/1/2023 | 3,749,000 | 3,800,856 | 3,927,077 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Insurance — 2.9%*: |
| |||||||||||||||||||
AmTrust Financial Services, Inc. | 6.13 | 8/15/2023 | 3,245,000 | 3,295,415 | 3,274,912 | |||||||||||||||
Athene Global Funding(a) | 2.50 | 1/14/2025 | 1,610,000 | 1,612,213 | 1,678,494 | |||||||||||||||
Athene Global Funding(a) | 2.75 | 6/25/2024 | 3,445,000 | 3,487,412 | 3,611,290 | |||||||||||||||
Brighthouse Financial Global Funding(a) | 0.60 | 6/28/2023 | 4,000,000 | 3,999,363 | 3,998,361 | |||||||||||||||
Brighthouse Financial Global Funding(a) | 1.00 | 4/12/2024 | 1,460,000 | 1,457,764 | 1,462,920 | |||||||||||||||
Brighthouse Financial Global Funding(a) | 1.55 | 5/24/2026 | 2,578,000 | 2,572,315 | 2,601,524 | |||||||||||||||
CNO Financial Group, Inc. | 5.25 | 5/30/2025 | 4,225,000 | 4,760,452 | 4,792,873 | |||||||||||||||
Enstar Group Ltd. | 4.50 | 3/10/2022 | 2,750,000 | 2,760,914 | 2,806,163 | |||||||||||||||
GA Global Funding Trust(a) | 1.63 | 1/15/2026 | 1,560,000 | 1,562,257 | 1,579,899 | |||||||||||||||
Trinity Acquisition PLC | 3.50 | 9/15/2021 | 2,662,000 | 2,662,446 | 2,672,052 | |||||||||||||||
Unum Group | 3.88 | 11/5/2025 | 2,625,000 | 2,682,780 | 2,874,105 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Insurance | 30,160,000 | 30,853,331 | 31,352,593 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Internet — 0.2%*: |
| |||||||||||||||||||
Weibo Corp.(e) | 3.50 | 7/5/2024 | 2,300,000 | 2,390,892 | 2,424,522 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Investment Company Security — 2.2%*: |
| |||||||||||||||||||
Ares Capital Corp. | 3.88 | 1/15/2026 | 3,765,000 | 4,027,734 | 4,034,813 | |||||||||||||||
Ares Capital Corp. | 4.20 | 6/10/2024 | 2,610,000 | 2,662,208 | 2,804,227 | |||||||||||||||
BlackRock TCP Capital Corp. | 3.90 | 8/23/2024 | 3,630,000 | 3,602,049 | 3,860,441 | |||||||||||||||
BlackRock TCP Capital Corp. | 4.13 | 8/11/2022 | 1,140,000 | 1,138,810 | 1,177,857 | |||||||||||||||
Golub Capital BDC, Inc. | 2.50 | 8/24/2026 | 1,365,000 | 1,361,137 | 1,375,221 | |||||||||||||||
Golub Capital BDC, Inc. | 3.38 | 4/15/2024 | 1,423,000 | 1,485,081 | 1,484,729 | |||||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 4.75 | 9/15/2024 | 2,350,000 | 2,450,078 | 2,455,750 | |||||||||||||||
Sixth Street Specialty Lending, Inc. | 2.50 | 8/1/2026 | 2,325,000 | 2,303,525 | 2,357,632 | |||||||||||||||
Sixth Street Specialty Lending, Inc. | 3.88 | 11/1/2024 | 3,360,000 | 3,357,555 | 3,566,714 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Investment Company Security | 21,968,000 | 22,388,177 | 23,117,384 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Iron/Steel — 1.2%*: |
| |||||||||||||||||||
Severstal OAO Via Steel Capital SA(a),(e) | 3.15 | 9/16/2024 | 5,878,000 | 6,035,496 | 6,117,896 | |||||||||||||||
Steel Dynamics, Inc. | 2.40 | 6/15/2025 | 710,000 | 707,844 | 742,710 | |||||||||||||||
Vale Overseas Ltd.(e) | 6.25 | 8/10/2026 | 5,314,000 | 6,288,961 | 6,380,785 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Iron/Steel | 11,902,000 | 13,032,301 | 13,241,391 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Leisure Time — 0.1%*: |
| |||||||||||||||||||
Harley-Davidson, Inc. | 3.50 | 7/28/2025 | 1,425,000 | 1,526,652 | 1,536,343 | |||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
106
Table of Contents
Barings Active Short Duration Bond Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Lodging — 0.5%*: |
| |||||||||||||||||||
Las Vegas Sands Corp. | 3.20 | % | 8/8/2024 | 4,595,000 | $ | 4,604,461 | $ | 4,822,961 | ||||||||||||
Marriott International, Inc. | 5.75 | 5/1/2025 | 679,000 | 678,979 | 784,027 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Lodging | 5,274,000 | 5,283,440 | 5,606,988 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Machinery-Constr&Mining — 0.2%*: |
| |||||||||||||||||||
Weir Group plc (The)(a),(e) | 2.20 | 5/13/2026 | 2,565,000 | 2,559,350 | 2,576,598 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Machinery-Diversified — 0.2%*: |
| |||||||||||||||||||
CNH Industrial Capital LLC | 3.88 | 10/15/2021 | 1,110,000 | 1,111,372 | 1,120,373 | |||||||||||||||
CNH Industrial NV(e) | 4.50 | 8/15/2023 | 900,000 | 906,564 | 970,161 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Machinery-Diversified | 2,010,000 | 2,017,936 | 2,090,534 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Media — 0.7%*: |
| |||||||||||||||||||
Cable Onda SA(a),(e) | 4.50 | 1/30/2030 | 3,220,000 | 3,473,932 | 3,386,635 | |||||||||||||||
Sirius XM Radio, Inc.(a) | 3.88 | 8/1/2022 | 1,898,000 | 1,892,361 | 1,901,417 | |||||||||||||||
ViacomCBS, Inc. | 4.75 | 5/15/2025 | 2,045,000 | 2,310,640 | 2,314,995 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Media | 7,163,000 | 7,676,933 | 7,603,047 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mining — 0.5%*: |
| |||||||||||||||||||
Glencore Finance Canada Ltd.(a),(e) | 4.25 | 10/25/2022 | 484,000 | 491,171 | 506,249 | |||||||||||||||
Glencore Funding LLC(a) | 1.63 | 4/27/2026 | 2,450,000 | 2,447,516 | 2,459,396 | |||||||||||||||
Glencore Funding LLC(a),(e) | 3.00 | 10/27/2022 | 730,000 | 729,397 | 750,535 | |||||||||||||||
Glencore Funding LLC(a),(e) | 4.13 | 5/30/2023 | 1,880,000 | 1,903,489 | 1,999,637 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Mining | 5,544,000 | 5,571,573 | 5,715,817 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Multi-National — 0.7%*: |
| |||||||||||||||||||
Africa Finance Corp.(e) | 3.13 | 6/16/2025 | 3,898,000 | 4,007,885 | 4,045,656 | |||||||||||||||
Eastern & Southern African Trade & Development Bank(e) | 4.88 | 5/23/2024 | 3,000,000 | 3,167,544 | 3,146,400 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Multi-National | 6,898,000 | 7,175,429 | 7,192,056 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 3.1%*: |
| |||||||||||||||||||
Cenovus Energy, Inc.(e) | 3.00 | 8/15/2022 | 2,120,000 | 2,142,668 | 2,163,019 | |||||||||||||||
Delek & Avner Tamar Bond Ltd.(a),(e) | 5.41 | 12/30/2025 | 3,000,000 | 3,050,916 | 3,014,063 | |||||||||||||||
Diamondback Energy, Inc. | 0.90 | 3/24/2023 | 3,195,000 | 3,194,723 | 3,196,086 | |||||||||||||||
EQT Corp. | 3.00 | 10/1/2022 | 3,185,000 | 3,154,030 | 3,252,681 | |||||||||||||||
EQT Corp. | 7.63 | 2/1/2025 | 2,650,000 | 2,833,180 | 3,091,199 | |||||||||||||||
Occidental Petroleum Corp. | 5.50 | 12/1/2025 | 6,645,000 | 6,764,111 | 7,337,309 | |||||||||||||||
Ovintiv Exploration, Inc. | 5.63 | 7/1/2024 | 3,125,000 | 3,363,368 | 3,479,691 | |||||||||||||||
Petroleos Mexicanos(e) | 4.63 | 9/21/2023 | 7,725,000 | 7,939,404 | 8,045,105 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Oil and Gas | 31,645,000 | 32,442,400 | 33,579,153 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Packaging and Containers — 0.4%*: |
| |||||||||||||||||||
Berry Global, Inc.(a) | 1.65 | 1/15/2027 | 3,595,000 | 3,591,577 | 3,563,868 | |||||||||||||||
Sealed Air Corp.(a) | 5.50 | 9/15/2025 | 679,000 | 745,207 | 756,236 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Packaging and Containers | 4,274,000 | 4,336,784 | 4,320,104 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
107
Table of Contents
Barings Active Short Duration Bond Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Pharmaceuticals — 0.9%*: |
| |||||||||||||||||||
AbbVie, Inc. | 3.80 | % | 3/15/2025 | 1,925,000 | $ | 2,045,161 | $ | 2,106,314 | ||||||||||||
Cardinal Health, Inc., 3M USD LIBOR + 0.770% | 0.89 | (b) | 6/15/2022 | 3,085,000 | 3,084,851 | 3,104,096 | ||||||||||||||
Mylan, Inc.(a) | 3.13 | 1/15/2023 | 1,920,000 | 1,898,181 | 1,989,024 | |||||||||||||||
Teva Pharmaceutical Finance Netherlands III B.V.(e) | 2.20 | 7/21/2021 | 1,008,000 | 1,006,709 | 1,004,311 | |||||||||||||||
Viatris, Inc.(a) | 1.65 | 6/22/2025 | 960,000 | 958,306 | 972,539 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Pharmaceuticals | 8,898,000 | 8,993,208 | 9,176,284 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Pipelines — 1.6%*: |
| |||||||||||||||||||
Energy Transfer Partners LP | 4.20 | 9/15/2023 | 4,315,000 | 4,402,144 | 4,614,776 | |||||||||||||||
EnLink Midstream Partners LP | 4.40 | 4/1/2024 | 4,675,000 | 4,732,195 | 4,908,750 | |||||||||||||||
EQM Midstream Partners LP | 4.75 | 7/15/2023 | 2,250,000 | 2,278,011 | 2,348,437 | |||||||||||||||
Plains All American Pipeline LP / PAA Finance Corp. | 4.65 | 10/15/2025 | 4,115,000 | 4,451,019 | 4,604,514 | |||||||||||||||
Plains All American Pipeline LP/PAA Finance Corp. | 4.50 | 12/15/2026 | 725,000 | 793,729 | 814,191 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Pipelines | 16,080,000 | 16,657,098 | 17,290,668 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Private Equity — 0.2%*: |
| |||||||||||||||||||
Hercules Capital, Inc. | 4.63 | 10/23/2022 | 1,625,000 | 1,622,447 | 1,650,986 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Real Estate — 1.2%*: |
| |||||||||||||||||||
Country Garden Holdings Co. Ltd.(e) | 8.00 | 1/27/2024 | 5,503,000 | 5,797,684 | 5,786,061 | |||||||||||||||
MAF Sukuk Ltd.(e) | 4.50 | 11/3/2025 | 3,150,000 | 3,460,864 | 3,475,434 | |||||||||||||||
Shimao Property Holdings Ltd.(e) | 6.13 | 2/21/2024 | 3,100,000 | 3,243,789 | 3,195,519 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Real Estate | 11,753,000 | 12,502,337 | 12,457,014 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Real Estate Investment Trusts — 1.6%*: |
| |||||||||||||||||||
Host Hotels & Resorts LP | 3.75 | 10/15/2023 | 5,310,000 | 5,481,035 | 5,597,555 | |||||||||||||||
Service Properties Trust | 4.35 | 10/1/2024 | 4,885,000 | 4,917,020 | 4,919,195 | |||||||||||||||
Tanger Properties LP | 3.75 | 12/1/2024 | 725,000 | 737,332 | 772,762 | |||||||||||||||
Tanger Properties LP | 3.88 | 12/1/2023 | 756,000 | 764,959 | 799,240 | |||||||||||||||
Trust Fibra Uno(a),(e) | 5.25 | 1/30/2026 | 2,772,000 | 2,982,724 | 3,104,640 | |||||||||||||||
Vornado Realty LP | 2.15 | 6/1/2026 | 1,685,000 | 1,682,737 | 1,708,385 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total REITS | 16,133,000 | 16,565,807 | 16,901,777 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Retail — 0.5%*: |
| |||||||||||||||||||
Nordstrom, Inc.(a) | 2.30 | 4/8/2024 | 1,160,000 | 1,160,000 | 1,163,660 | |||||||||||||||
QVC, Inc. | 4.38 | 3/15/2023 | 4,060,000 | 4,059,260 | 4,281,229 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Retail | 5,220,000 | 5,219,260 | 5,444,889 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Semiconductors — 0.4%*: |
| |||||||||||||||||||
Marvell Technology, Inc.(a) | 1.65 | 4/15/2026 | 2,150,000 | 2,145,963 | 2,149,706 | |||||||||||||||
Skyworks Solutions, Inc. | 0.90 | 6/1/2023 | 1,640,000 | 1,639,532 | 1,644,789 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Semiconductors | 3,790,000 | 3,785,495 | 3,794,495 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
108
Table of Contents
Barings Active Short Duration Bond Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Storage/Warehousing — 0.3%*: |
| |||||||||||||||||||
GLP China Holdings Ltd.(e) | 4.97 | % | 2/26/2024 | 2,977,000 | $ | 3,113,391 | $ | 3,194,321 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
Telecommunications — 2.0%*: |
| |||||||||||||||||||
AT&T, Inc. | 1.70 | 3/25/2026 | 2,375,000 | 2,371,241 | 2,400,489 | |||||||||||||||
NBN Co. Ltd.(a),(e) | 1.45 | 5/5/2026 | 2,745,000 | 2,739,115 | 2,752,388 | |||||||||||||||
PT Tower Bersama Infrastructure Tbk(e) | 4.25 | 1/21/2025 | 7,355,000 | 7,726,371 | 7,759,525 | |||||||||||||||
Qwest Corp. | 6.75 | 12/1/2021 | 2,480,000 | 2,516,589 | 2,538,900 | |||||||||||||||
Sprint Communications, Inc. | 9.25 | 4/15/2022 | 1,005,000 | 1,046,776 | 1,067,813 | |||||||||||||||
Telecom Italia SpA(a),(e) | 5.30 | 5/30/2024 | 2,190,000 | 2,386,742 | 2,397,393 | |||||||||||||||
Telefonaktiebolaget LM Ericsson(e) | 4.13 | 5/15/2022 | 2,650,000 | 2,653,947 | 2,722,875 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Telecommunications | 20,800,000 | 21,440,781 | 21,639,383 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Toys/Games/Hobbies — 0.6%*: |
| |||||||||||||||||||
Mattel, Inc.(a) | 3.38 | 4/1/2026 | 6,280,000 | 6,503,072 | 6,515,500 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Trucking and Leasing — 0.3%*: |
| |||||||||||||||||||
PT Penske Truck Leasing Co. LP / L Finance Corp.(a) | 1.70 | 6/15/2026 | 2,985,000 | 2,984,397 | 3,002,157 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Corporate Bonds | 509,307,553 | 528,272,392 | 536,643,914 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mortgage-Backed Securities — 14.6%*: |
| |||||||||||||||||||
Angel Oak Mortgage Trust 2019-3(a) | 3.24 | (f) | 5/25/2059 | 1,204,978 | 1,204,965 | 1,204,110 | ||||||||||||||
Angel Oak Mortgage Trust 2021-1(a) | 2.22 | (f) | 1/25/2066 | 1,620,000 | 1,620,000 | 1,629,940 | ||||||||||||||
Angel Oak Mortgage Trust LLC 2020-5(a) | 1.58 | (f) | 5/25/2065 | 1,153,270 | 1,153,270 | 1,157,277 | ||||||||||||||
Angel Oak Mortgage Trust LLC 2020-5(a) | 2.04 | (f) | 5/25/2065 | 1,051,696 | 1,051,678 | 1,056,633 | ||||||||||||||
BAMLL Commercial Mortgage Securities Trust 2018-DSNY, 1M USD LIBOR + 1.350%(a) | 1.42 | (b) | 9/15/2034 | 270,000 | 270,000 | 269,676 | ||||||||||||||
BAMLL Commercial Mortgage Securities Trust 2019-BPR(a) | 4.02 | (f) | 11/5/2032 | 3,420,000 | 3,439,280 | 3,169,408 | ||||||||||||||
BHMS 2018-ATLS, 1M USD LIBOR + 1.500%(a) | 1.57 | (b) | 7/15/2035 | 1,800,000 | 1,800,000 | 1,799,968 | ||||||||||||||
BX Commercial Mortgage Trust 2019-XL, 1M USD LIBOR + 1.800%(a) | 1.87 | (b) | 10/15/2036 | 1,089,035 | 1,089,034 | 1,090,054 | ||||||||||||||
BX Commercial Mortgage Trust 2019-XL, 1M USD LIBOR + 2.000%(a) | 2.07 | (b) | 10/15/2036 | 3,506,999 | 3,515,187 | 3,509,190 | ||||||||||||||
BX Commercial Mortgage Trust 2020-BXLP, 1M USD LIBOR + 1.250%(a) | 1.32 | (b) | 12/15/2036 | 1,290,749 | 1,277,919 | 1,290,749 | ||||||||||||||
BX Commercial Mortgage Trust 2020-BXLP, 1M USD LIBOR + 1.600%(a) | 1.67 | (b) | 12/15/2036 | 5,257,135 | 5,256,730 | 5,257,133 | ||||||||||||||
BX Trust, 1M USD LIBOR + 1.800%(a) | 1.90 | (b) | 6/15/2038 | 1,976,000 | 1,976,000 | 1,978,373 | ||||||||||||||
CAMB Commercial Mortgage Trust 2019-LIFE, 1M USD LIBOR + 2.150%(a) | 2.22 | (b) | 12/15/2037 | 1,499,283 | 1,499,283 | 1,502,097 | ||||||||||||||
Citigroup Mortgage Loan Trust 2019-IMC1(a) | 3.03 | (f) | 7/25/2049 | 857,438 | 857,035 | 866,497 |
See accompanying Notes to the Financial Statements.
109
Table of Contents
Barings Active Short Duration Bond Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Mortgage-Backed Securities (Continued) |
| |||||||||||||||||||
Citigroup Mortgage Loan Trust 2019-IMC1(a) | 3.17 | % (f) | 7/25/2049 | 3,101,000 | $ | 3,100,435 | $ | 3,147,250 | ||||||||||||
COMM 2020-SBX Mortgage Trust(a) | 2.40 | (f) | 1/10/2038 | 6,200,000 | 6,350,330 | 6,210,347 | ||||||||||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4, 1M USD LIBOR + 1.600%(a) | 1.67 | (b) | 5/15/2036 | 960,000 | 960,000 | 961,505 | ||||||||||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4, 1M USD LIBOR + 2.150%(a) | 2.22 | (b) | 5/15/2036 | 4,000,000 | 3,977,185 | 4,007,532 | ||||||||||||||
Credit Suisse Mortgage Capital Certificates 2021-NQM4-M1(a) | 1.00 | (f) | 5/25/2066 | 6,023,350 | 6,023,319 | 6,023,319 | ||||||||||||||
CSMC 2021-NQM2(a) | 1.54 | (f) | 2/25/2066 | 5,492,453 | 5,492,378 | 5,517,168 | ||||||||||||||
Deephaven Residential Mortgage Trust 2021-1(a) | 1.13 | (f) | 5/25/2065 | 2,222,641 | 2,222,603 | 2,221,223 | ||||||||||||||
Extended Stay America Trust, 1M USD LIBOR + 1.380%(a) | 1.46 | (b) | 7/15/2038 | 7,200,000 | 7,200,000 | 7,224,738 | ||||||||||||||
Extended Stay America Trust, 1M USD LIBOR + 1.700%(a) | 1.78 | (b) | 7/15/2038 | 6,500,000 | 6,500,000 | 6,526,393 | ||||||||||||||
Extended Stay America Trust, 1M USD LIBOR + 2.250%(a) | 2.33 | (b) | 7/15/2038 | 5,000,000 | 5,000,000 | 5,035,923 | ||||||||||||||
Federal Home Loan Mortgage Corp., SOFR + 0.900%(a) | 0.92 | (b) | 12/25/2050 | 2,422,971 | 2,422,971 | 2,424,236 | ||||||||||||||
Federal Home Loan Mortgage Corp. STACR REMIC Trust 2021-DNA1, SOFR + 1.800%(a) | 1.82 | (b) | 1/25/2051 | 2,566,000 | 2,566,000 | 2,574,342 | ||||||||||||||
Freddie Mac STACR Trust 2018-DNA2, 1M USD LIBOR + 0.950%(a) | 1.04 | (b) | 12/25/2030 | 4,605,000 | 4,605,000 | 4,597,332 | ||||||||||||||
FWD Securitization Trust 2020-INV1(a) | 2.85 | (f) | 1/25/2050 | 1,804,000 | 1,803,914 | 1,820,305 | ||||||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 | 3.96 | (f) | 4/15/2046 | 1,015,000 | 1,003,108 | 966,754 | ||||||||||||||
KKR Industrial Portfolio Trust 2021-KDIP, 1M USD LIBOR + 1.550%(a) | 1.62 | (b) | 12/15/2037 | 6,917,000 | 6,917,000 | 6,906,339 | ||||||||||||||
KNDL 2019-KNSQ Mortgage Trust, 1M USD LIBOR + 1.800%(a) | 1.87 | (b) | 5/15/2036 | 865,000 | 865,000 | 865,272 | ||||||||||||||
Life 2021-BMR Mortgage Trust, 1M USD LIBOR + 1.750%(a) | 1.82 | (b) | 3/15/2038 | 1,918,000 | 1,918,000 | 1,923,967 | ||||||||||||||
MHC Commercial Mortgage Trust 2021-MHC, 1M USD LIBOR + 2.101%(a) | 2.17 | (b) | 4/15/2038 | 4,200,000 | 4,190,390 | 4,205,255 | ||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 | 3.77 | (f) | 2/15/2046 | 1,340,000 | 1,370,256 | 1,358,061 | ||||||||||||||
Morgan Stanley Capital I Trust 2012-STAR(a) | 4.06 | (f) | 8/5/2034 | 1,300,000 | 1,300,169 | 1,288,369 | ||||||||||||||
New Residential Mortgage Loan Trust 2020-NQM1(a) | 3.21 | (f) | 1/26/2060 | 2,252,000 | 2,252,000 | 2,315,730 | ||||||||||||||
NewRez Warehouse Securitization Trust 2021-1, 1M USD LIBOR + 1.050%(a) | 1.14 | (b) | 5/25/2055 | 4,782,000 | 4,782,000 | 4,781,999 | ||||||||||||||
OBX 2020-INV1 Trust(a) | 3.50 | (f) | 12/25/2049 | 1,404,389 | 1,429,341 | 1,432,342 | ||||||||||||||
OBX 2021-NQM1 Trust(a) | 2.22 | (f) | 2/25/2066 | 1,798,000 | 1,797,951 | 1,805,517 | ||||||||||||||
One New York Plaza Trust 2020-1NYP, 1M USD LIBOR + 2.200%(a) | 2.27 | (b) | 1/15/2026 | 2,787,000 | 2,787,000 | 2,814,860 |
See accompanying Notes to the Financial Statements.
110
Table of Contents
Barings Active Short Duration Bond Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Mortgage-Backed Securities (Continued) |
| |||||||||||||||||||
One New York Plaza Trust 2020-1NYP, 1M USD LIBOR + 2.750%(a) | 2.82 | % (b) | 1/15/2026 | 1,874,000 | $ | 1,874,000 | $ | 1,895,074 | ||||||||||||
Shellpoint Co-Originator Trust 2016-1 2A3(a) | 3.00 | (f) | 10/25/2031 | 314,160 | 316,691 | 318,648 | ||||||||||||||
STACR Trust 2018-DNA3, 1M USD LIBOR + 2.100%(a) | 2.19 | (b) | 9/25/2048 | 3,100,000 | 3,124,993 | 3,119,820 | ||||||||||||||
STAR 2021-1 Trust(a) | 1.53 | (f) | 5/25/2065 | 7,456,453 | 7,456,453 | 7,448,486 | ||||||||||||||
Starvest Emerging Markets CBO I(a) | 1.52 | (f) | 6/25/2056 | 5,298,000 | 5,298,000 | 5,297,972 | ||||||||||||||
Starvest Emerging Markets CBO I(a) | 2.49 | (f) | 6/25/2056 | 5,582,000 | 5,581,913 | 5,581,913 | ||||||||||||||
Starwood Mortgage Residential Trust 2019-INV1(a) | 2.92 | (f) | 9/27/2049 | 2,073,266 | 2,073,266 | 2,099,087 | ||||||||||||||
Starwood Mortgage Residential Trust 2020-1(a) | 2.88 | (f) | 2/25/2050 | 4,700,000 | 4,699,874 | 4,771,164 | ||||||||||||||
Starwood Mortgage Residential Trust 2020-INV(a) | 2.50 | (f) | 11/25/2055 | 2,500,000 | 2,499,914 | 2,506,127 | ||||||||||||||
Verus Securitization Trust 2019-INV2(a) | 3.22 | (f) | 7/25/2059 | 2,074,692 | 2,074,667 | 2,103,140 | ||||||||||||||
Verus Securitization Trust 2019-INV3(a) | 3.28 | (f) | 11/25/2059 | 1,462,000 | 1,461,966 | 1,500,545 | ||||||||||||||
Verus Securitization Trust 2020-4(a) | 3.29 | (f) | 5/25/2065 | 2,348,000 | 2,347,925 | 2,412,271 | ||||||||||||||
Verus Securitization Trust 2021-1(a) | 1.97 | (f) | 1/25/2066 | 2,247,000 | 2,246,915 | 2,246,819 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Mortgage-Backed Securities | 155,701,958 | 155,903,308 | 156,038,249 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
U.S. Treasury & Government Agencies — 0.5%*: |
| |||||||||||||||||||
U.S. Treasury Bonds(g) | 8.00 | 11/15/2021 | 5,000,000 | 5,113,467 | 5,147,656 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Fixed Income | 969,037,843 | 989,354,102 | 1,000,583,871 | |||||||||||||||||
|
|
|
|
|
|
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 | 65,527 | 163,782 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
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 | (268,488 | ) | 875,000 | |||||||||||||||||||||
OTC – BCM Swaption | JPMorgan Chase Bank N.A. | 3.11 | 1/31/2033 | 7,500,000 | 7,500,000 | 358,500 | (97,125 | ) | 261,375 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Put Options |
| 30,290,000 | 30,290,000 | 1,501,988 | (365,613 | ) | 1,136,375 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
111
Table of Contents
Barings Active Short Duration Bond Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Short-Term Investments — 9.2%*: |
| |||||||||||||||||||
Commercial Paper — 9.2%*: |
| |||||||||||||||||||
Automobiles — 0.9%*: |
| |||||||||||||||||||
VW Credit Inc.(e) | 0.14 | % | 7/26/2021 | $7,000,000 | $6,999,319 | $6,999,319 | ||||||||||||||
VW Credit Inc.(e) | 0.36 | 2/11/2022 | 3,000,000 | 2,993,438 | 2,993,438 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Automobiles | 10,000,000 | 9,992,757 | 9,992,757 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Chemicals — 0.3%*: |
| |||||||||||||||||||
PPG Industries | 0.22 | 9/24/2021 | 3,000,000 | 2,998,442 | 2,998,442 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Commercial Services — 0.6%*: |
| |||||||||||||||||||
Waste Management, Inc. | 0.36 | 4/5/2022 | 3,000,000 | 2,991,892 | 2,991,892 | |||||||||||||||
Waste Management, Inc. | 0.36 | 4/21/2022 | 3,000,000 | 2,991,425 | 2,991,425 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Commercial Services | 6,000,000 | 5,983,317 | 5,983,317 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Electric — 2.9%*: |
| |||||||||||||||||||
American Electric Power Co., Inc. | 0.20 | 8/9/2021 | 6,000,000 | 5,998,700 | 5,998,700 | |||||||||||||||
Commonwealth Edison Co. | 0.10 | 7/2/2021 | 5,000,000 | 4,999,986 | 4,999,986 | |||||||||||||||
Eaton Capital Unlimited Co. | 0.19 | 7/8/2021 | 3,000,000 | 2,999,889 | 2,999,889 | |||||||||||||||
Evergy Kansas | 0.10 | 7/1/2021 | 5,500,000 | 5,500,000 | 5,500,000 | |||||||||||||||
Evergy Kansas | 0.13 | 7/1/2021 | 3,000,000 | 3,000,000 | 3,000,000 | |||||||||||||||
Public Service Enterprise Group, Inc. | 0.20 | 8/20/2021 | 9,000,000 | 8,997,500 | 8,997,500 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Electric | 31,500,000 | 31,496,075 | 31,496,075 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
IT Services — 1.4%*: |
| |||||||||||||||||||
AT&T, Inc. | 0.41 | 12/15/2021 | 9,000,000 | 8,983,300 | 8,983,300 | |||||||||||||||
Fidelity National Information Services | 0.24 | 7/29/2021 | 6,000,000 | 5,998,880 | 5,998,880 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total IT Services | 15,000,000 | 14,982,180 | 14,982,180 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 0.7%*: |
| |||||||||||||||||||
Suncor Energy, Inc.(e) | 0.23 | 9/9/2021 | 7,000,000 | 6,996,869 | 6,996,869 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Pharmaceuticals — 0.9%*: |
| |||||||||||||||||||
Dentsply Sirona.,Inc. | 0.25 | 9/30/2021 | 10,000,000 | 9,993,750 | 9,993,750 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Pipelines — 1.5%*: |
| |||||||||||||||||||
Enbridge, Inc. | 0.22 | 7/19/2021 | 7,000,000 | 6,999,230 | 6,999,230 | |||||||||||||||
Enbridge, Inc. | 0.22 | 7/20/2021 | 3,000,000 | 2,999,652 | 2,999,652 | |||||||||||||||
TransCanada PipeLines Ltd.(e) | 0.20 | 7/16/2021 | 5,500,000 | 5,499,541 | 5,499,541 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Pipelines | 15,500,000 | 15,498,423 | 15,498,423 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Commercial Paper | 98,000,000 | 97,941,813 | 97,941,813 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Short-Term Investments | 98,000,000 | 97,941,813 | 97,941,813 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Investments | 1,099,286,093 | 1,088,896,158 | 1,099,825,841 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Other assets and liabilities – (3.1%)* |
| (33,166,375 | ) | |||||||||||||||||
|
| |||||||||||||||||||
Net Assets – 100.0%* |
| $1,066,659,466 | ||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements.
112
Table of Contents
Barings Active Short Duration Bond Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
BCM | Bloomberg proprietary Credit Model |
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, 2021. |
(c) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. |
(d) | For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 2). |
(e) | Foreign security. |
Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows: |
United States | 77.1% | |||||
United Kingdom | 2.6% | |||||
Canada | 2.1% | |||||
China | 1.9% | |||||
Ireland | 1.8% | |||||
Switzerland | 1.6% | |||||
Mexico | 1.2% | |||||
Germany | 1.1% | |||||
France | 1.0% | |||||
Other (Individually less than 1%) | 9.6% | |||||
|
| |||||
Total | 100.0% | |||||
|
|
(f) | Effective interest rate for this security is the coupon rate at issue based on the underlying loans. |
(g) | Security has been fully or partially segregated to cover margin requirements for open futures contracts as of June 30, 2021. |
A summary of outstanding derivatives at June 30, 2021 is as follows:
Futures
TYPE | EXPIRATION DATE | CONTRACTS | NOTIONAL AMOUNT | POSITION | FAIR VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
Short Futures |
| |||||||||||||||||||||
90 Day Euro Futures | 09/13/21 | 9 | (2,195,179 | ) | Short | $ (2,246,850) | $ | (51,671 | ) | |||||||||||||
90 Day Euro Futures | 03/14/22 | 8 | (1,950,670 | ) | Short | (1,996,000 | ) | (45,330 | ) | |||||||||||||
90 Day Euro Futures | 09/19/22 | 7 | (1,706,137 | ) | Short | (1,743,613 | ) | (37,476 | ) | |||||||||||||
90 Day Euro Futures | 03/13/23 | 6 | (1,461,503 | ) | Short | (1,490,475 | ) | (28,972 | ) | |||||||||||||
90 Day Euro Futures | 12/18/23 | 8 | (1,946,870 | ) | Short | (1,977,500 | ) | (30,630 | ) | |||||||||||||
90 Day Euro Futures | 12/16/24 | 22 | (5,347,294 | ) | Short | (5,415,025 | ) | (67,731 | ) | |||||||||||||
U.S. 2-Year Treasury Note | 09/30/21 | 790 | (174,362,069 | ) | Short | (174,053,046 | ) | 309,023 | ||||||||||||||
U.S. 5-Year Treasury Note | 09/30/21 | 2,606 | (322,695,495 | ) | Short | (321,657,767 | ) | 1,037,728 | ||||||||||||||
U.S.10-Year Ultra Bond | 09/21/21 | 111 | (16,118,102 | ) | Short | (16,339,547 | ) | (221,445 | ) | |||||||||||||
|
| |||||||||||||||||||||
Total Short Futures |
| $ | 863,496 | |||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements.
113
Table of Contents
Barings Emerging Markets Debt Blended Total Return Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Fixed Income — 88.5%*: |
| |||||||||||||||||||
Corporate Bonds — 42.4%*: |
| |||||||||||||||||||
Agriculture — 2.4%*: |
| |||||||||||||||||||
Amaggi Luxembourg International Sarl(a),(b) | 5.25 | % | 1/28/2028 | 1,500,000 | $1,500,000 | $1,572,000 | ||||||||||||||
Kernel Holding SA(a),(b) | 6.75 | 10/27/2027 | 687,000 | 687,000 | 744,021 | |||||||||||||||
MHP Lux SA(a),(b) | 6.25 | 9/19/2029 | 270,000 | 274,208 | 268,785 | |||||||||||||||
PT Japfa Comfeed Indonesia Tbk(a) | 5.38 | 3/23/2026 | 500,000 | 497,430 | 527,125 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Agriculture | 2,957,000 | 2,958,638 | 3,111,931 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Auto Manufacturers — 0.8%*: |
| |||||||||||||||||||
Uzauto Motors AJ(a),(b) | 4.85 | 5/4/2026 | 991,000 | 991,000 | 996,005 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Auto Parts&Equipment — 0.9%*: |
| |||||||||||||||||||
Iochpe-Maxion Austria GmbH / Maxion Wheels de Mexico S de RL de CV(a),(b) | 5.00 | 5/7/2028 | 494,000 | 486,970 | 499,607 | |||||||||||||||
Tupy Overseas SA(a),(b) | 4.50 | 2/16/2031 | 643,000 | 643,000 | 638,901 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Auto Parts&Equipment | 1,137,000 | 1,129,970 | 1,138,508 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Building Materials — 0.7%*: |
| |||||||||||||||||||
Cemex SAB de CV, 5 year CMT + 4.534%(a),(b) | 5.13 | (c),(d) | – | 830,000 | 830,000 | 855,149 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Chemicals — 0.7%*: |
| |||||||||||||||||||
Braskem Idesa SAPI(a),(b) | 7.45 | 11/15/2029 | 300,000 | 299,094 | 318,003 | |||||||||||||||
Grupo Idesa SA de CV, PIK(a),(b) | 10.13 | 5/22/2026 | 1,078,470 | 1,047,385 | 618,772 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Chemicals | 1,378,470 | 1,346,479 | 936,775 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Commercial Banks — 7.8%*: |
| |||||||||||||||||||
Absa Group Ltd., 5 year CMT + 5.411%(a) | 6.38 | (c),(d) | – | 925,000 | 925,000 | 945,523 | ||||||||||||||
Ipoteka-Bank ATIB(a) | 5.50 | 11/19/2025 | 544,000 | 544,000 | 571,132 | |||||||||||||||
Itau Unibanco Holding SA, 5 year CMT + 3.222%(a),(b) | 4.63 | (c),(d) | – | 500,000 | 478,760 | 480,094 | ||||||||||||||
Kasikornbank PCL, 5 year CMT + 4.940%(a) | 5.28 | (c),(d) | – | 500,000 | 500,000 | 531,031 | ||||||||||||||
National Bank of Greece SA, 5 year EUR Swap + 8.464%(a) | 8.25 | (c) | 7/18/2029 | 750,000 | 844,200 | 997,809 | ||||||||||||||
Nova Ljubljanska Banka dd, 5 year EUR Swap + 3.833%(a) | 3.65 | (c) | 11/19/2029 | 400,000 | 440,400 | 457,700 | ||||||||||||||
Oman Arab Bank SAOG, 5 year CMT + 6.807%(a) | 7.63 | (c),(d) | – | 443,000 | 443,000 | 454,429 | ||||||||||||||
Piraeus Financial Holdings SA, 5 year EUR Swap + 5.774%(a) | 5.50 | (c) | 2/19/2030 | 1,000,000 | 1,105,999 | 1,139,802 | ||||||||||||||
Piraeus Financial Holdings SA, 5 year EUR Swap + 9.195%(a) | 8.75 | (c),(d) | – | 1,000,000 | 1,217,701 | 1,164,999 | ||||||||||||||
Piraeus Financial Holdings SA, 5 year EUR Swap + 9.952%(a) | 9.75 | (c) | 6/26/2029 | 500,000 | 615,719 | 640,685 | ||||||||||||||
Sovcombank Via SovCom Capital DAC, 5 year CMT + 6.380%(a),(b) | 7.75 | (c),(d) | – | 200,000 | 200,000 | 206,788 |
See accompanying Notes to the Financial Statements.
114
Table of Contents
Barings Emerging Markets Debt Blended Total Return Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Commercial Banks (Continued) |
| |||||||||||||||||||
Sovcombank Via SovCom Capital DAC, 5 year CMT + 6.427%(a),(b) | 8.00 | % (c) | 4/7/2030 | 1,165,000 | $ | 1,168,747 | $ | 1,261,112 | ||||||||||||
TBC Bank JSC, 5 year USD ICE Swap + 8.995%(a),(b) | 10.78 | (c),(d) | – | 645,000 | 645,000 | 705,187 | ||||||||||||||
TMB Bank PCL, 5 year CMT + 3.256%(a) | 4.90 | (c),(d) | – | 500,000 | 475,949 | 507,281 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Commercial Banks | 9,072,000 | 9,604,475 | 10,063,572 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Commercial Services — 1.3%*: |
| |||||||||||||||||||
Atento Luxco 1 SA(a),(b) | 8.00 | 2/10/2026 | 633,000 | 633,000 | 689,100 | |||||||||||||||
India Toll Roads(a),(b) | 5.50 | 8/19/2024 | 999,000 | 999,000 | 971,527 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Commercial Services | 1,632,000 | 1,632,000 | 1,660,627 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Cosmetics/Personal Care — 0.9%*: |
| |||||||||||||||||||
Natura Cosmeticos SA(a),(b) | 4.13 | 5/3/2028 | 652,000 | 652,000 | 668,300 | |||||||||||||||
Oriflame Investment Holding plc(a),(b) | 5.13 | 5/4/2026 | 521,000 | 521,000 | 534,181 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Cosmetics/Personal Care | 1,173,000 | 1,173,000 | 1,202,481 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified Financial Services — 1.6%*: |
| |||||||||||||||||||
Credito Real SAB de CV SOFOM ER(a),(b) | 9.50 | 2/7/2026 | 500,000 | 484,874 | 466,969 | |||||||||||||||
Gtlk Europe Capital DAC(a) | 4.80 | 2/26/2028 | 500,000 | 493,042 | 523,390 | |||||||||||||||
IIFL Finance Ltd.(a) | 5.88 | 4/20/2023 | 1,055,000 | 1,008,959 | 1,030,712 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified Financial Services | 2,055,000 | 1,986,875 | 2,021,071 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Electric — 1.1%*: |
| |||||||||||||||||||
FEL Energy VI Sarl(a),(b) | 5.75 | 12/1/2040 | 696,232 | 696,232 | 738,006 | |||||||||||||||
Infraestructura Energetica Nova SAB de CV(a),(b) | 4.75 | 1/15/2051 | 312,000 | 303,073 | 316,290 | |||||||||||||||
Infraestructura Energetica Nova SAB de CV(a),(b) | 4.88 | 1/14/2048 | 328,000 | 272,373 | 335,790 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Electric | 1,336,232 | 1,271,678 | 1,390,086 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Energy-Alternate Sources — 0.4%*: |
| |||||||||||||||||||
Investment Energy Resources Ltd.(a),(b) | 6.25 | 4/26/2029 | 492,000 | 492,000 | 531,975 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Engineering&Construction — 1.9%*: |
| |||||||||||||||||||
IHS Netherlands Holdco BV(a),(b) | 8.00 | 9/18/2027 | 250,000 | 246,622 | 271,484 | |||||||||||||||
Rutas 2 and 7 Finance Ltd.(a),(b) | Zero Coupon | 9/30/2036 | 850,000 | 574,750 | 612,000 | |||||||||||||||
State Agency of Roads of Ukraine(a),(b) | 6.25 | 6/24/2028 | 1,528,000 | 1,528,000 | 1,524,180 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Engineering&Construction | 2,628,000 | 2,349,372 | 2,407,664 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Food — 1.7%*: |
| |||||||||||||||||||
Aragvi Finance International DAC(a),(b) | 8.45 | 4/29/2026 | 214,000 | 214,000 | 222,493 | |||||||||||||||
JBS Finance Luxembourg Sarl(b) | 3.63 | 1/15/2032 | 969,000 | 958,503 | 968,700 | |||||||||||||||
MARB BondCo plc(a),(b) | 3.95 | 1/29/2031 | 500,000 | 485,386 | 480,225 |
See accompanying Notes to the Financial Statements.
115
Table of Contents
Barings Emerging Markets Debt Blended Total Return Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Food (Continued) |
| |||||||||||||||||||
Ulker Biskuvi Sanayi AS(a),(b) | 6.95 | % | 10/30/2025 | 494,000 | $ | 494,000 | $ | 535,812 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Food | 2,177,000 | 2,151,889 | 2,207,230 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Forestry and Paper Products — 0.3%*: |
| |||||||||||||||||||
Suzano Austria GmbH(a) | 3.75 | 1/15/2031 | 361,000 | 355,321 | 377,245 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Housewares — 0.9%*: |
| |||||||||||||||||||
Turkiye Sise ve Cam Fabrikalari AS(a),(b) | 6.95 | 3/14/2026 | 1,000,000 | 1,053,781 | 1,112,688 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Insurance — 0.7%*: |
| |||||||||||||||||||
Sagicor Financial Co. Ltd.(a),(b) | 5.30 | 5/13/2028 | 884,000 | 884,000 | 913,048 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Internet — 0.9%*: |
| |||||||||||||||||||
B2W Digital Lux Sarl(a),(b) | 4.38 | 12/20/2030 | 706,000 | 705,972 | 704,323 | |||||||||||||||
Meituan(a),(b) | 3.05 | 10/28/2030 | 529,000 | 528,318 | 522,000 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Internet | 1,235,000 | 1,234,290 | 1,226,323 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Iron/Steel — 0.7%*: |
| |||||||||||||||||||
Metinvest BV(a),(b) | 5.63 | 6/17/2025 | 750,000 | 816,777 | 940,103 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Media — 0.8%*: |
| |||||||||||||||||||
LCPR Senior Secured Financing DAC(b) | 5.13 | 7/15/2029 | 978,000 | 978,000 | 1,008,983 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Metal Fabricate/Hardware — 0.3%*: |
| |||||||||||||||||||
HTA Group Ltd.(a),(b) | 7.00 | 12/18/2025 | 416,000 | 414,040 | 442,078 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mining — 2.9%*: |
| |||||||||||||||||||
First Quantum Minerals Ltd.(a),(b) | 6.88 | 10/15/2027 | 610,000 | 610,000 | 664,717 | |||||||||||||||
First Quantum Minerals Ltd.(a),(b) | 7.50 | 4/1/2025 | 250,000 | 247,092 | 259,375 | |||||||||||||||
Vedanta Resources Finance II plc(a),(b) | 8.95 | 3/11/2025 | 1,370,000 | 1,370,000 | 1,343,285 | |||||||||||||||
Vedanta Resources Finance II plc(a),(b) | 9.25 | 4/23/2026 | 550,000 | 548,297 | 481,353 | |||||||||||||||
Vedanta Resources Finance II plc(a),(b) | 13.88 | 1/21/2024 | 900,000 | 937,285 | 985,050 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Mining | 3,680,000 | 3,712,674 | 3,733,780 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Multi-National — 0.6%*: |
| |||||||||||||||||||
Asian Development Bank, TBIB6MIR(a),(e) | 3.30 | (c) | 7/14/2021 | 340,000 | 114,186 | 107,014 | ||||||||||||||
European Bank for Reconstruction & Development, GGRRC9MX—0.500%(a),(e) | 8.00 | (c) | 10/29/2022 | 1,200,000 | 404,027 | 375,642 | ||||||||||||||
International Bank for Reconstruction & Development(a),(e) | 7.25 | 11/22/2021 | 960,000 | 325,423 | 299,967 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Multi-National | 2,500,000 | 843,636 | 782,623 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 4.5%*: |
| |||||||||||||||||||
Petrobras Global Finance BV(a) | 6.75 | 6/3/2050 | 300,000 | 294,395 | 348,937 | |||||||||||||||
Petrobras Global Finance BV(a) | 6.90 | 3/19/2049 | 900,000 | 967,586 | 1,073,025 | |||||||||||||||
Petroleos Mexicanos(a) | 5.95 | 1/28/2031 | 950,000 | 898,301 | 922,925 | |||||||||||||||
Petroleos Mexicanos(a) | 6.95 | 1/28/2060 | 1,304,000 | 1,203,439 | 1,153,910 |
See accompanying Notes to the Financial Statements.
116
Table of Contents
Barings Emerging Markets Debt Blended Total Return Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Oil and Gas (Continued) |
| |||||||||||||||||||
Tullow Oil plc(a),(b) | 7.00 | % | 3/1/2025 | 1,840,000 | $ | 1,331,635 | $ | 1,631,160 | ||||||||||||
Tullow Oil plc(a),(b) | 10.25 | 5/15/2026 | 655,000 | 655,000 | 686,473 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Oil and Gas | 5,949,000 | 5,350,356 | 5,816,430 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas Services — 1.5%*: |
| |||||||||||||||||||
Borets Finance DAC(a),(b) | 6.00 | 9/17/2026 | 531,000 | 531,000 | 557,218 | |||||||||||||||
Guara Norte Sarl(a),(b) | 5.20 | 6/15/2034 | 1,280,906 | 1,280,843 | 1,335,345 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Oil and Gas Services | 1,811,906 | 1,811,843 | 1,892,563 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Real Estate — 2.0%*: |
| |||||||||||||||||||
Kaisa Group Holdings Ltd., 3 year CMT + 15.718%(a) | 10.88 | (c),(d) | – | 1,000,000 | 983,750 | 957,375 | ||||||||||||||
Kaisa Group Holdings Ltd.(a) | 11.25 | 4/9/2022 | 750,000 | 754,988 | 766,125 | |||||||||||||||
Yuzhou Group Holdings Co. Ltd.(a) | 6.35 | 1/13/2027 | 802,000 | 802,000 | 618,693 | |||||||||||||||
Yuzhou Group Holdings Co. Ltd.(a) | 8.50 | 2/4/2023 | 300,000 | 289,792 | 282,975 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Real Estate | 2,852,000 | 2,830,530 | 2,625,168 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Retail — 1.7%*: |
| |||||||||||||||||||
Eurotorg LLC Via Bonitron DAC(a),(b) | 9.00 | 10/22/2025 | 723,000 | 723,000 | 751,486 | |||||||||||||||
Future Retail Ltd.(a) | 5.60 | 1/22/2025 | 794,000 | 713,423 | 597,485 | |||||||||||||||
InRetail Consumer(a),(b) | 3.25 | 3/22/2028 | 937,000 | 937,000 | 921,727 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Retail | 2,454,000 | 2,373,423 | 2,270,698 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Sovereign — 0.4%*: |
| |||||||||||||||||||
Ukreximbank Via Biz Finance plc, 5 year USD ICE Swap + 8.178%(a) | 9.95 | (c) | 11/14/2029 | 500,000 | 500,000 | 505,100 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Telecommunications — 1.0%*: |
| |||||||||||||||||||
Network i2i Ltd., 5 year CMT + 4.277%(a),(b) | 5.65 | (c),(d) | – | 400,000 | 374,693 | 427,000 | ||||||||||||||
Sixsigma Networks Mexico SA de CV(a),(b) | 7.50 | 5/2/2025 | 500,000 | 460,879 | 442,750 | |||||||||||||||
VF Ukraine PAT via VFU Funding plc(a),(b) | 6.20 | 2/11/2025 | 405,000 | 405,000 | 423,099 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Telecommunications | 1,305,000 | 1,240,572 | 1,292,849 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Transportation — 1.0%*: |
| |||||||||||||||||||
ENA Master Trust(a),(b) | 4.00 | 5/19/2048 | 200,000 | 200,000 | 201,222 | |||||||||||||||
Georgian Railway JSC(a),(b) | 4.00 | 6/17/2028 | 200,000 | 200,000 | 201,750 | |||||||||||||||
MV24 Capital BV(a),(b) | 6.75 | 6/1/2034 | 567,732 | 567,732 | 628,763 | |||||||||||||||
Prumo Participacoes e Investimentos SA(a),(b) | 7.50 | 12/31/2031 | 267,388 | 274,253 | 297,686 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Transportation | 1,235,120 | 1,241,985 | 1,329,421 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Corporate Bonds | 55,769,728 | 53,558,604 | 54,792,174 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
117
Table of Contents
Barings Emerging Markets Debt Blended Total Return Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Foreign Government — 46.1%*: |
| |||||||||||||||||||
Albania — 0.7%*: |
| |||||||||||||||||||
Albania Government International Bond(a),(b) | 3.50 | % | 6/16/2027 | 740,000 | $ | 833,411 | $ | 940,796 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
Armenia — 0.5%*: |
| |||||||||||||||||||
Republic of Armenia International Bond(a),(b) | 3.60 | 2/2/2031 | 740,000 | 723,832 | 697,820 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Belarus — 2.1%*: |
| |||||||||||||||||||
Republic of Belarus International Bond(a),(b) | 7.63 | 6/29/2027 | 1,000,000 | 1,025,817 | 969,563 | |||||||||||||||
Republic of Belarus Ministry of Finance(a),(b) | 6.38 | 2/24/2031 | 2,030,000 | 2,039,197 | 1,752,905 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Belarus | 3,030,000 | 3,065,014 | 2,722,468 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Brazil — 0.7%*: |
| |||||||||||||||||||
Brazilian Government International Bond(a) | 4.75 | 1/14/2050 | 200,000 | 207,911 | 193,912 | |||||||||||||||
Brazilian Government International Bond(a) | 5.63 | 2/21/2047 | 700,000 | 797,079 | 764,444 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Brazil | 900,000 | 1,004,990 | 958,356 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Colombia — 4.2%*: |
| |||||||||||||||||||
Colombian TES(a) | 7.25 | 10/26/2050 | 12,000,000,000 | 3,399,058 | 2,922,710 | |||||||||||||||
Colombian TES(a) | 7.50 | 8/26/2026 | 8,728,000,000 | 2,813,257 | 2,456,491 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Colombia | 20,728,000,000 | 6,212,315 | 5,379,201 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Costa Rica — 0.4%*: |
| |||||||||||||||||||
Costa Rica Government International Bond(a),(b) | 6.13 | 2/19/2031 | 500,000 | 510,745 | 529,469 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Czech Republic — 0.9%*: |
| |||||||||||||||||||
Czech Republic Government Bond(a) | 1.50 | 4/24/2040 | 27,310,000 | 1,191,956 | 1,150,602 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Egypt — 1.3%*: |
| |||||||||||||||||||
Egypt Government International Bond(a),(b) | 5.88 | 2/16/2031 | 1,345,000 | 1,324,991 | 1,300,867 | |||||||||||||||
Egypt Government International Bond(a),(b) | 6.38 | 4/11/2031 | 350,000 | 392,822 | 432,210 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Egypt | 1,695,000 | 1,717,813 | 1,733,077 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Georgia — 0.4%*: |
| |||||||||||||||||||
Georgia Government International Bond(a),(b) | 2.75 | 4/22/2026 | 540,000 | 536,991 | 547,931 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Honduras — 0.7%*: |
| |||||||||||||||||||
Honduras Government International Bond(a),(b) | 5.63 | 6/24/2030 | 800,000 | 844,860 | 836,400 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Israel — 2.6%*: |
| |||||||||||||||||||
Israel Government Bond(a) | 3.75 | 3/31/2047 | 1,970,000 | 818,503 | 773,218 | |||||||||||||||
Israel Government Bond(a) | 5.50 | 1/31/2042 | 5,400,000 | 2,728,226 | 2,617,549 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Israel | 7,370,000 | 3,546,729 | 3,390,767 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Ivory Coast — 1.6%*: |
| |||||||||||||||||||
Ivory Coast Government International Bond(a),(b) | 5.75 | 12/31/2032 | 1,016,098 | 1,040,390 | 1,015,971 |
See accompanying Notes to the Financial Statements.
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Barings Emerging Markets Debt Blended Total Return Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Foreign Government (Continued) |
| |||||||||||||||||||
Ivory Coast (Continued) |
| |||||||||||||||||||
Ivory Coast Government International Bond(a),(b) | 5.88 | % | 10/17/2031 | 550,000 | $ | 600,175 | $ | 701,401 | ||||||||||||
Ivory Coast Government International Bond(a),(b) | 6.63 | 3/22/2048 | 300,000 | 385,002 | 373,578 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Ivory Coast | 1,866,098 | 2,025,567 | 2,090,950 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Jordan — 1.0%*: |
| |||||||||||||||||||
Jordan Government International Bond(a),(b) | 5.85 | 7/7/2030 | 1,230,000 | 1,235,859 | 1,280,353 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Kenya — 1.0%*: |
| |||||||||||||||||||
Kenya Government International Bond(a),(b) | 8.00 | 5/22/2032 | 500,000 | 571,816 | 561,500 | |||||||||||||||
Kenya Government International Bond(a),(b) | 8.25 | 2/28/2048 | 600,000 | 654,936 | 660,675 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Kenya | 1,100,000 | 1,226,752 | 1,222,175 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Macedonia — 0.6%*: |
| |||||||||||||||||||
North Macedonia Government International Bond(a),(b) | 3.68 | 6/3/2026 | 550,000 | 597,717 | 717,990 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Malaysia — 3.8%*: |
| |||||||||||||||||||
Malaysia Government Bond(a) | 3.96 | 9/15/2025 | 6,002,000 | 1,526,284 | 1,525,429 | |||||||||||||||
Malaysia Government Bond(a) | 4.07 | 6/15/2050 | 7,600,000 | 1,776,237 | 1,759,268 | |||||||||||||||
Malaysia Government Bond(a) | 4.94 | 9/30/2043 | 6,200,000 | 1,766,199 | 1,615,058 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Malaysia | 19,802,000 | 5,068,720 | 4,899,755 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mexico — 3.8%*: |
| |||||||||||||||||||
Mexican Bonos(a) | 5.75 | 3/5/2026 | 48,500,000 | 2,538,177 | 2,369,162 | |||||||||||||||
Mexican Bonos(a) | 7.75 | 11/13/2042 | 19,200,000 | 875,652 | 987,258 | |||||||||||||||
Mexican Bonos(a) | 8.00 | 11/7/2047 | 22,000,000 | 1,044,408 | 1,159,514 | |||||||||||||||
Mexican Bonos(a) | 8.50 | 5/31/2029 | 6,500,000 | 360,160 | 358,785 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Mexico | 96,200,000 | 4,818,397 | 4,874,719 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Morocco — 0.7%*: |
| |||||||||||||||||||
Morocco Government International Bond(a),(b) | 2.00 | 9/30/2030 | 530,000 | 612,575 | 621,799 | |||||||||||||||
Morocco Government International Bond(a),(b) | 5.50 | 12/11/2042 | 200,000 | 228,462 | 226,975 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Morocco | 730,000 | 841,037 | 848,774 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oman — 1.1%*: |
| |||||||||||||||||||
Oman Government International Bond(a),(b) | 6.25 | 1/25/2031 | 550,000 | 550,000 | 588,328 | |||||||||||||||
Oman Government International Bond(a),(b) | 7.38 | 10/28/2032 | 730,000 | 815,942 | 831,972 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Oman | 1,280,000 | 1,365,942 | 1,420,300 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Romania — 1.7%*: |
| |||||||||||||||||||
Romania Government Bond(a) | 3.65 | 9/24/2031 | 4,350,000 | 1,054,476 | 1,057,312 | |||||||||||||||
Romanian Government International Bond(a),(b) | 4.63 | 4/3/2049 | 750,000 | 1,109,758 | 1,125,478 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Romania | 5,100,000 | 2,164,234 | 2,182,790 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
119
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Barings Emerging Markets Debt Blended Total Return Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL ‡‡ | COST | FAIR VALUE | ||||||||||||||||
Foreign Government (Continued) |
| |||||||||||||||||||
Serbia — 0.7%*: |
| |||||||||||||||||||
Serbia International Bond(a),(b) | 3.13 | % | 5/15/2027 | 680,000 | $ | 725,927 | $ | 896,012 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
South Africa — 6.6%*: |
| |||||||||||||||||||
Republic of South Africa Government Bond(a) | 8.75 | 1/31/2044 | 61,800,000 | 3,439,316 | 3,662,920 | |||||||||||||||
Republic of South Africa Government Bond(a) | 10.50 | 12/21/2026 | 60,700,000 | 4,250,210 | 4,828,797 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total South Africa | 122,500,000 | 7,689,526 | 8,491,717 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Tajikistan — 0.4%*: |
| |||||||||||||||||||
Republic of Tajikistan International Bond(a),(b) | 7.13 | 9/14/2027 | 615,000 | 515,913 | 562,072 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Thailand — 3.2%*: |
| |||||||||||||||||||
Thailand Government Bond(a) | 1.60 | 12/17/2029 | 36,905,000 | 1,211,693 | 1,147,514 | |||||||||||||||
Thailand Government Bond(a) | 2.88 | 12/17/2028 | 22,913,000 | 801,598 | 786,830 | |||||||||||||||
Thailand Government Bond(a) | 3.30 | 6/17/2038 | 63,500,000 | 2,350,009 | 2,221,482 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Thailand | 123,318,000 | 4,363,300 | 4,155,826 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Tunisia — 0.4%*: |
| |||||||||||||||||||
Banque Centrale de Tunisie International Bond(a),(b) | 6.38 | 7/15/2026 | 510,000 | 570,670 | 557,790 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Turkey — 0.9%*: |
| |||||||||||||||||||
Turkey Government Bond(a) | 11.70 | 11/13/2030 | 13,817,000 | 1,216,142 | 1,216,144 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Ukraine — 2.5%*: |
| |||||||||||||||||||
Ukraine Government International Bond(a),(b) | 7.38 | 9/25/2032 | 1,375,000 | 1,435,008 | 1,444,008 | |||||||||||||||
Ukraine Government International Bonds(a),(b) | 9.75 | 11/1/2028 | 1,460,000 | 1,538,667 | 1,737,217 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Ukraine | 2,835,000 | 2,973,675 | 3,181,225 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Uruguay — 1.4%*: |
| |||||||||||||||||||
Uruguay Government International Bond(a) | 3.88 | 7/2/2040 | 49,519,155 | 1,256,157 | 1,315,233 | |||||||||||||||
Uruguay Government International Bond(a) | 4.38 | 12/15/2028 | 18,263,180 | 506,383 | 497,371 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Uruguay | 67,782,335 | 1,762,540 | 1,812,604 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Uzbekistan — 0.2%*: |
| |||||||||||||||||||
Republic of Uzbekistan Bond(a),(b) | 3.70 | 11/25/2030 | 250,000 | 250,000 | 249,047 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Foreign Government | 21,231,790,433 | 59,600,574 | 59,547,130 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Fixed Income | 21,287,560,161 | 113,159,178 | 114,339,304 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
120
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Barings Emerging Markets Debt Blended Total Return Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
COUNTERPARTY | STRIKE PRICE | EXPIRATION DATE | CONTRACTS | NOTIONAL | COST | UNREALIZED VALUE | FAIR VALUE | |||||||||||||||||||||||
Purchased Options — 0.0%*: |
| |||||||||||||||||||||||||||||
Call Options Purchased — 0.0%*: |
| |||||||||||||||||||||||||||||
USD Call, BRL Put N.A. | Bank of America | $6.32 | 10/1/2021 | 2,783,641 | 2,783,641 | $3,062 | $462 | $3,524 | ||||||||||||||||||||||
USD Call, BRL Put | Barclays Bank plc | 6.45 | 9/29/2021 | 2,783,641 | 2,783,641 | 2,533 | (33 | ) | 2,500 | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total Call Options Purchased | 5,567,282 | 5,567,282 | 5,595 | 429 | 6,024 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total Investments | 21,293,127,443 | 113,164,773 | 114,345,328 | |||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Written Options – 0.0%* |
| (57,131 | ) | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Other assets and liabilities – 11.5%* |
| 14,887,645 | ||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Net Assets – 100.0%* |
| $129,175,842 | ||||||||||||||||||||||||||||
|
|
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. |
Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows: |
Mexico | 9.7% | |||||
Brazil | 9.4% | |||||
South Africa | 8.3% | |||||
Ukraine | 6.3% | |||||
Colombia | 4.7% | |||||
Thailand | 4.5% | |||||
Malaysia | 4.3% | |||||
India | 4.3% | |||||
Greece | 3.4% | |||||
Belarus | 3.0% | |||||
Israel | 3.0% | |||||
China | 2.8% | |||||
Russia | 2.6% | |||||
Turkey | 2.5% | |||||
Ghana | 2.0% | |||||
Romania | 1.9% | |||||
Ivory Coast | 1.8% | |||||
United States | 1.7% | |||||
Oman | 1.6% | |||||
Uzbekistan | 1.6% | |||||
Uruguay | 1.6% | |||||
Egypt | 1.5% | |||||
Georgia | 1.3% | |||||
Jordan | 1.1% | |||||
Kenya | 1.1% | |||||
Czech Republic | 1.0% | |||||
Other (Individually less than 1%) | 13.0% | |||||
|
| |||||
Total | 100.0% | |||||
|
|
(b) | 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.
121
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SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
(c) | Variable rate security. The interest rate shown is the rate in effect at June 30, 2021. |
(d) | Security is perpetual in nature and has no stated maturity. |
(e) | For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 2). |
A summary of outstanding derivatives at June 30, 2021 is as follows:
COUNTERPARTY | STRIKE PRICE | EXPIRATION DATE | CONTRACTS | NOTIONAL | COST | UNREALIZED VALUE | FAIR VALUE | |||||||||||||||||||||||
Written Options — 0.0%*: |
| |||||||||||||||||||||||||||||
Call Options Written — 0.0%*: |
| |||||||||||||||||||||||||||||
OTC – BCM Swaption | Barclays Bank plc | $23.09 | 9/28/2021 | (2,783,641 | ) | (2,783,641 | ) | $(48,240 | ) | $43,820 | $(4,420 | ) | ||||||||||||||||||
OTC – BCM Swaption | HSBC Bank USA | 85.55 | 9/28/2021 | (2,783,641 | ) | (2,783,641 | ) | (49,688 | ) | 44,135 | (5,553 | ) | ||||||||||||||||||
OTC – BCM Swaption | JPMorgan Chase Bank N.A. | 22.80 | 10/4/2021 | (2,783,641 | ) | (2,783,641 | ) | (40,919 | ) | 34,500 | (6,419 | ) | ||||||||||||||||||
OTC – BCM Swaption | JPMorgan Chase Bank N.A. | 85.96 | 10/1/2021 | (2,783,641 | ) | (2,783,641 | ) | (47,879 | ) | 42,175 | (5,704 | ) | ||||||||||||||||||
OTC – BCM Swaption | JPMorgan Chase Bank N.A. | 6.36 | 10/4/2021 | (2,783,641 | ) | (2,783,641 | ) | (60,683 | ) | 57,112 | (3,571 | ) | ||||||||||||||||||
OTC – BCM Swaption | HSBC Bank USA | 6.38 | 9/28/2021 | (2,783,641 | ) | (2,783,641 | ) | (64,093 | ) | 61,307 | (2,786 | ) | ||||||||||||||||||
OTC – BCM Swaption | �� | Barclays Bank plc | 23.14 | 10/1/2021 | (2,783,641 | ) | (2,783,641 | ) | (47,378 | ) | 42,720 | (4,657 | ) | |||||||||||||||||
OTC – BCM Swaption | Barclays Bank plc | 85.58 | 9/29/2021 | (2,783,641 | ) | (2,783,641 | ) | (47,294 | ) | 41,576 | (5,718 | ) | ||||||||||||||||||
OTC – BCM Swaption | Barclays Bank plc | 6.45 | 9/29/2021 | (2,783,641 | ) | (2,783,641 | ) | (61,825 | ) | 59,325 | (2,500 | ) | ||||||||||||||||||
OTC – BCM Swaption | Bank of America N.A. | 6.32 | 10/1/2021 | (2,783,641 | ) | (2,783,641 | ) | (60,127 | ) | 56,603 | (3,524 | ) | ||||||||||||||||||
OTC – BCM Swaption | Bank of America N.A. | 22.96 | 10/4/2021 | (2,783,641 | ) | (2,783,641 | ) | (42,103 | ) | 36,352 | (5,751 | ) | ||||||||||||||||||
OTC – BCM Swaption | Citibank N.A. | 85.05 | 9/30/2021 | (2,783,641 | ) | (2,783,641 | ) | (46,918 | ) | 40,391 | (6,528 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Call Options Written |
| (617,147 | ) | 560,016 | (57,131 | ) | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Written Options |
| (617,147 | ) | 560,016 | (57,131 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts to Buy
EXPIRATION DATE | COUNTERPARTY | LOCAL CURRENCY | VALUE IN USD | IN EXCHANGE FOR USD | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
7/27/21 | Morgan Stanley & Co. | AUD | 2,944,404 | $ | 2,208,435 | $ | 2,291,120 | $ | (82,685 | ) | ||||||||||||
7/13/21 | JPMorgan Chase Bank N.A. | BRL | 28,936,180 | 5,810,565 | 5,137,816 | 672,749 | ||||||||||||||||
8/10/21 | JPMorgan Chase Bank N.A. | BRL | 46,138,315 | 9,236,056 | 8,387,107 | 848,949 | ||||||||||||||||
7/13/21 | Citibank N.A. | CLP | 1,589,883,260 | 2,164,252 | 2,243,000 | (78,748 | ) | |||||||||||||||
7/20/21 | Bank of America N.A. | EUR | 1,844,204 | 2,187,587 | 2,204,003 | (16,416 | ) | |||||||||||||||
8/17/21 | Citibank N.A. | EUR | 2,689,689 | 3,192,280 | 3,216,546 | (24,266 | ) | |||||||||||||||
7/27/21 | JPMorgan Chase Bank N.A. | INR | 133,400,300 | 1,788,894 | 1,746,763 | 42,131 | ||||||||||||||||
7/27/21 | Citibank N.A. | INR | 16,866,000 | 226,173 | 225,000 | 1,173 | ||||||||||||||||
8/24/21 | Citibank N.A. | INR | 688,824,832 | 9,205,758 | 9,281,852 | (76,094 | ) | |||||||||||||||
8/10/21 | Goldman Sachs & Co. | MXN | 19,672,224 | 982,164 | 961,355 | 20,809 | ||||||||||||||||
7/20/21 | Bank of America N.A. | PLN | 28,393,349 | 7,447,178 | 7,454,847 | (7,669 | ) | |||||||||||||||
8/17/21 | Bank of America N.A. | PLN | 14,376,725 | 3,771,119 | 3,834,305 | (63,186 | ) | |||||||||||||||
7/20/21 | Citibank N.A. | RUB | 229,719,754 | 3,131,768 | 3,000,186 | 131,582 | ||||||||||||||||
8/17/21 | Citibank N.A. | RUB | 193,640,905 | 2,628,916 | 2,572,258 | 56,658 | ||||||||||||||||
8/17/21 | JPMorgan Chase Bank N.A. | RUB | 437,276,931 | 5,936,578 | 6,027,000 | (90,422 | ) |
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EXPIRATION DATE | COUNTERPARTY | LOCAL CURRENCY | VALUE IN USD | IN EXCHANGE FOR USD | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
8/17/21 | JPMorgan Chase Bank N.A. | UAH | 28,864,264 | $ | 1,043,502 | $ | 1,021,925 | $ | 21,577 | |||||||||||||
|
| |||||||||||||||||||||
Net unrealized appreciation on forward foreign currency exchange contracts to buy | $ | 1,356,142 | ||||||||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts to Sell
EXPIRATION DATE | COUNTERPARTY | LOCAL CURRENCY | VALUE IN USD | IN EXCHANGE FOR USD | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
7/20/21 | Morgan Stanley & Co. | CHF | 5,027,004 | $ | 5,435,750 | $ | 5,464,686 | $ | 28,936 | |||||||||||||
8/17/21 | Bank of America N.A. | CHF | 2,638,984 | 2,855,620 | 2,913,318 | 57,698 | ||||||||||||||||
7/27/21 | JPMorgan Chase Bank N.A. | CNH | 36,842,769 | 5,687,448 | 5,593,000 | (94,448 | ) | |||||||||||||||
8/10/21 | BNP Paribas S.A. | COP | 575,412,600 | 153,039 | 152,548 | (491 | ) | |||||||||||||||
8/10/21 | Citibank N.A. | COP | 18,596,100,497 | 4,945,877 | 4,899,196 | (46,681 | ) | |||||||||||||||
7/20/21 | Citibank N.A. | EUR | 1,844,204 | 2,187,587 | 2,212,454 | 24,867 | ||||||||||||||||
8/17/21 | Goldman Sachs & Co. | EUR | 2,560,112 | 3,038,490 | 3,099,573 | 61,083 | ||||||||||||||||
8/17/21 | JPMorgan Chase Bank N.A. | EUR | 1,634,401 | 1,939,802 | 2,000,000 | 60,198 | ||||||||||||||||
7/20/21 | HSBC Bank USA | ILS | 6,968,183 | 2,137,678 | 2,126,066 | (11,612 | ) | |||||||||||||||
7/27/21 | Citibank N.A. | INR | 150,266,300 | 2,015,067 | 2,011,597 | (3,470 | ) | |||||||||||||||
8/24/21 | Goldman Sachs & Co. | INR | 688,824,832 | 9,205,758 | 9,219,982 | 14,224 | ||||||||||||||||
7/27/21 | Goldman Sachs & Co. | JPY | 344,004,067 | 3,097,118 | 3,174,421 | 77,303 | ||||||||||||||||
8/24/21 | Goldman Sachs & Co. | JPY | 387,114,655 | 3,486,049 | 3,557,585 | 71,536 | ||||||||||||||||
7/27/21 | Goldman Sachs & Co. | SGD | 976,906 | 726,486 | 734,853 | 8,367 | ||||||||||||||||
8/24/21 | Citibank N.A. | SGD | 2,045,342 | 1,521,032 | 1,537,689 | 16,657 | ||||||||||||||||
7/27/21 | Citibank N.A. | THB | 475,668,312 | 14,840,442 | 15,202,000 | 361,558 | ||||||||||||||||
7/20/21 | JPMorgan Chase Bank N.A. | ZAR | 86,332,236 | 6,032,193 | 5,916,611 | (115,582 | ) | |||||||||||||||
8/17/21 | Bank of America N.A. | ZAR | 38,207,444 | 2,660,325 | 2,694,269 | 33,944 | ||||||||||||||||
|
| |||||||||||||||||||||
Net unrealized appreciation on forward foreign currency exchange contracts to sell | $ | 544,087 | ||||||||||||||||||||
|
|
Currency Legend
AUD | – | Australian Dollar | ||
BRL | – | Brazilian Real | ||
CHF | – | Swiss Franc | ||
CLP | – | Chilean Peso | ||
CNH | – | Chinese Yuan Renminbi | ||
COP | – | Colombian Peso | ||
EUR | – | Euro | ||
HUF | – | Hungarian Forint | ||
ILS | – | Israeli Shekel | ||
INR | – | Indian Rupee | ||
JPY | – | Japanese Yen | ||
KRW | – | South Korean Won | ||
MXN | – | Mexican Peso | ||
PLN | – | Polish Zloty |
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
RUB | – | Russian Ruble | ||
SGD | – | Singapore Dollar | ||
THB | – | Thai Baht | ||
UAH | – | Ukrainian Hryvnia | ||
ZAR | – | South African Rand |
Futures
TYPE | EXPIRATION DATE | CONTRACTS | NOTIONAL AMOUNT | POSITION | FAIR VALUE | UNREALIZED DEPRECIATION | ||||||||||||||||||||||||
Short Futures |
| |||||||||||||||||||||||||||||
U.S. 10-Year Treasury Note | 09/21/21 | 69 | (9,113,626 | ) | Short | $ | (9,142,500 | ) | $ | (28,874 | ) | |||||||||||||||||||
U.S. Ultra Bond | 09/21/21 | 13 | (2,396,738 | ) | Short | (2,504,938 | ) | (108,200 | ) | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total Short Futures |
| $ | (137,074 | ) | ||||||||||||||||||||||||||
|
|
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 | 15,433,848 | CME | $ | 158,476 | |||||||||||||||||||
ILS-TELBOR03 Rate | Receive | 0.48 | % | 2/19/26 | 1Y/3M | 7,300,000 | LCH | 2,637 | ||||||||||||||||||||
BRL-CDI Rate | Pay | 7.40 | % | 1/02/29 | At Maturity | 5,424,561 | CME | (74,970 | ) | |||||||||||||||||||
BRL-CDI Rate | Pay | 5.28 | % | 1/02/23 | At Maturity | 28,007,008 | CME | (97,688 | ) | |||||||||||||||||||
BRL-CDI Rate | Pay | 5.76 | % | 1/02/23 | At Maturity | 22,869,409 | CME | (43,664 | ) | |||||||||||||||||||
BRL-CDI Rate | Pay | 5.86 | % | 1/02/23 | At Maturity | 11,441,936 | CME | (17,828 | ) | |||||||||||||||||||
KRW-KSDA Rate | Pay | 1.48 | % | 6/24/23 | 3M/3M | 13,571,000,000 | LCH | (12,966 | ) | |||||||||||||||||||
BRL-CDI Rate | Pay | 6.74 | % | 1/02/23 | At Maturity | 13,050,205 | CME | (2,436 | ) | |||||||||||||||||||
HUF-BUBOR rate | Receive | 2.67 | % | 5/24/25 | 1Y/6M | 2,048,600,000 | LCH | 4,761 | ||||||||||||||||||||
PLN-WIBOR Rate | Receive | 2.24 | % | 5/24/26 | 1Y/6M | 27,500,000 | LCH | (42,863 | ) | |||||||||||||||||||
PLN-WIBOR Rate | Receive | 2.19 | % | 5/21/26 | 1Y/6M | 30,900,000 | LCH | (40,588 | ) | |||||||||||||||||||
BRL-CDI Rate | Pay | 8.71 | % | 1/02/29 | At Maturity | 11,158,731 | CME | 27,440 | ||||||||||||||||||||
ILS-TELBOR03 Rate | Receive | 1.44 | % | 5/19/31 | 1Y/3M | 7,100,000 | LCH | (50,954 | ) | |||||||||||||||||||
HUF-BUBOR rate | Receive | 2.60 | % | 5/22/25 | 1Y/6M | 2,302,600,000 | LCH | 14,646 | ||||||||||||||||||||
ILS-TELBOR03 Rate | Receive | 1.42 | % | 5/12/31 | 1Y/3M | 6,600,000 | LCH | (45,237 | ) | |||||||||||||||||||
BRL-CDI Rate | Pay | 5.86 | % | 1/02/23 | At Maturity | 11,440,946 | CME | (17,626 | ) | |||||||||||||||||||
BRL-CDI Rate | Pay | 7.49 | % | 1/02/29 | At Maturity | 9,935,952 | CME | (40,253 | ) | |||||||||||||||||||
BRL-CDI Rate | Pay | 7.48 | % | 1/02/29 | At Maturity | 989,335 | CME | (4,207 | ) | |||||||||||||||||||
THB-THBFIX Rate | Pay | 0.73 | % | 7/13/25 | 6M/6M | 27,300,000 | LCH | (2,273 | ) | |||||||||||||||||||
THB-THBFIX Rate | Pay | 0.72 | % | 7/13/25 | 6M/6M | 27,300,000 | LCH | (2,651 | ) | |||||||||||||||||||
BRL-CDI Rate | Pay | 5.00 | % | 1/02/23 | At Maturity | 10,352,374 | CME | (27,259 | ) | |||||||||||||||||||
BRL-CDI Rate | Pay | 5.00 | % | 1/02/23 | At Maturity | 15,843,633 | CME | (41,718 | ) | |||||||||||||||||||
BRL-CDI Rate | Pay | 4.98 | % | 1/02/23 | At Maturity | 7,925,069 | CME | (21,528 | ) | |||||||||||||||||||
THB-THBFIX Rate | Pay | 1.50 | % | 9/08/30 | 6M/6M | 33,191,000 | LCH | (20,299 | ) | |||||||||||||||||||
THB-THBFIX Rate | Pay | 1.51 | % | 9/10/30 | 6M/6M | 49,455,000 | LCH | (29,911 | ) | |||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Centrally Cleared Interest Rate Swaps |
| $ | (428,959 | ) | ||||||||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
OTC Cross Currency Swaps
NOTIONAL AMOUNT | FUND PAYS | PAY/ RECEIVE PAYMENT FREQUENCY | MATURITY DATE | COUNTERPARTY | NOTIONAL AMOUNT (USD) | FUND RECEIVES | UPFRONT PREMIUMS PAID/ (RECEIVED) | FAIR VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||||||||
750,000 EUR | 8.25% | 1Y/6M | 07/18/2029 | Citibank N.A. | 843,675 | 11.44 | % | $ | (525 | ) | $ | (24,242 | ) | $ | (23,717 | ) | ||||||||||||||||
750,000 EUR | 5.63% | 1Y/6M | 06/17/2025 | Citibank N.A. | 819,150 | 8.12 | % | (1,088 | ) | (49,931 | ) | (48,843 | ) | |||||||||||||||||||
550,000 EUR | 5.88% | 1Y/6M | 10/17/2031 | Citibank N.A. | $ | 605,000 | 8.46 | % | (495 | ) | (56,016 | ) | (55,521 | ) | ||||||||||||||||||
400,000 EUR | 3.65% | 1Y/6M | 11/19/2029 | Citibank N.A. | 440,600 | 6.02 | % | 200 | (29,350 | ) | (29,550 | ) | ||||||||||||||||||||
350,000 EUR | 6.38% | 1Y/6M | 04/11/2031 | Citibank N.A. | 392,700 | 9.37 | % | (122 | ) | 3,134 | 3,256 | |||||||||||||||||||||
680,000 EUR | 3.13% | 1Y/6M | 05/15/2027 | Citibank N.A. | 735,080 | 4.32 | % | (339 | ) | (99,989 | ) | (99,650 | ) | |||||||||||||||||||
550,000 EUR | 3.68% | 1Y/6M | 06/03/2026 | Citibank N.A. | 604,450 | 4.79 | % | (467 | ) | (67,227 | ) | (66,759 | ) | |||||||||||||||||||
740,000 EUR | 3.50% | 1Y/6M | 06/16/2027 | Citibank N.A. | 839,530 | 4.74 | % | 629 | (61,961 | ) | (62,590 | ) | ||||||||||||||||||||
303,000 EUR | 6.38% | 1Y/6M | 07/15/2026 | Citibank N.A. | 359,358 | 7.58 | % | (136 | ) | (11,595 | ) | (11,459 | ) | |||||||||||||||||||
207,000 EUR | 6.38% | 1Y/6M | 07/15/2026 | JP Morgan Chase Bank N.A. | 245,088 | 7.58 | % | 818 | (8,444 | ) | (9,262 | ) | ||||||||||||||||||||
362,000 EUR | 2.00% | 1Y/6M | 09/30/2030 | Citibank N.A. | 429,332 | 3.47 | % | (109 | ) | (8,213 | ) | (8,104 | ) | |||||||||||||||||||
168,000 EUR | 2.00% | 1Y/6M | 09/30/2030 | Citibank N.A. | 198,408 | 3.43 | % | 50 | (5,478 | ) | (5,529 | ) | ||||||||||||||||||||
500,000 EUR | 9.75% | 1Y/6M | 06/26/2024 | Citibank N.A. | 602,000 | 10.88 | % | (100 | ) | 9,514 | 9,614 | |||||||||||||||||||||
1,000,000 EUR | 5.50% | 1Y/6M | 02/19/2025 | Citibank N.A. | 1,214,500 | 6.71 | % | (700 | ) | 36,029 | 36,729 | |||||||||||||||||||||
1,000,000 EUR | 8.75% | 6M/6M | 06/16/2026 | JP Morgan Chase Bank N.A. | 1,218,000 | 10.22 | % | 300 | 39,719 | 39,419 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Total OTC Cross Currency Swaps | $ | (2,084 | ) | $ | (334,050 | ) | (331,966 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
OTC – Interest Rate Swap
COUNTER- PARTY | NOTIONAL AMOUNT | FUND RECEIVES/ PAYS FLOATING RATE | FLOATING RATE INDEX | ANNUAL FIXED RATE | FREQUENCY OF FUND RECEIPT/ PAYMENT | MATURITY DATE | UPFRONT PREMIUMS PAID/ (RECEIVED) | VALUE | UNREALIZED APPRECIATION/ (DEPRECIATION) | |||||||||||||||||||||||
Bank of America N.A. | BRL 18,084,492 | Pay | BRL-CDI | 5.88% | At Maturity | 01/02/2023 | $ | — | $ | 120,175 | $ | 120,175 | ||||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps – Sell Protection(1)
REFERENCE OBLIGATION | FIXED-DEAL RECEIVED RATE | PAYMENT FREQUENCY | MATURITY DATE | COUNTERPARTY | ORIGINAL NOTIONAL AMOUNT | CURRENT NOTIONAL AMOUNT(2) | UPFRONT PREMIUMS PAID/ (RECEIVED) | FAIR VALUE(3) | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||||||||||
Brazil Government International Bond | 1.00% | 3M | 6/20/2026 | Morgan Stanley & Co. | 1,110,000 | 1,110,000 | $ | (72,328 | ) | $ | (50,874 | ) | $ | 21,454 | ||||||||||||||||||||
Brazil Government International Bond | 1.00% | 3M | 6/20/2026 | Morgan Stanley & Co. | 1,530,000 | 1,530,000 | (77,521 | ) | (46,736 | ) | 30,785 | |||||||||||||||||||||||
Colombia Government International Bond | 1.00% | 3M | 6/20/2026 | Morgan Stanley & Co. | 1,530,000 | 1,530,000 | (16,347 | ) | (25,964 | ) | (9,617 | ) | ||||||||||||||||||||||
Colombia Government International Bond | 1.00% | 3M | 6/20/2026 | Morgan Stanley & Co. | 700,000 | 700,000 | (8,330 | ) | (11,879 | ) | (3,549 | ) | ||||||||||||||||||||||
Indonesia Government International Bond | 1.00% | 3M | 6/20/2026 | Citibank N.A. | 3,080,000 | 3,080,000 | 26,744 | 39,020 | 12,276 | |||||||||||||||||||||||||
Mexico Government International Bond | 1.00% | 3M | 6/20/2026 | Morgan Stanley & Co. | 400,000 | 400,000 | (777 | ) | 1,350 | 2,127 | ||||||||||||||||||||||||
Mexico Government International Bond | 1.00% | 3M | 6/20/2026 | Morgan Stanley & Co. | 2,045,000 | 2,045,000 | (8,943 | ) | 6,904 | 15,847 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total OTC Credit Default Swaps |
| $ | (157,502 | ) | $ | (88,179 | ) | $ | 69,323 | |||||||||||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
(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 | |||
BCM | Bloomberg proprietary Credit Model |
See accompanying Notes to the Financial Statements.
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Barings Global Emerging Markets Equity Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS
June 30, 2021
SHARES | COST | FAIR VALUE | ||||||||||||||||||
Equities — 97.4%*: |
| |||||||||||||||||||
Common Stocks — 97.4%*: |
| |||||||||||||||||||
Communication Services — 12.3%*: |
| |||||||||||||||||||
Kuaishou Technology(a),(b) | 5,500 | $145,941 | $137,991 | |||||||||||||||||
Mail.Ru Group Ltd.(a),(b) | 5,891 | 145,727 | 133,490 | |||||||||||||||||
NetEase, Inc.(b) | 1,528 | 149,644 | 176,102 | |||||||||||||||||
PT Telekomunikasi Indonesia Persero Tbk(b) | 634,000 | 169,625 | 137,731 | |||||||||||||||||
Tencent Holdings Ltd.(b) | 14,600 | 604,419 | 1,098,154 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Communication Services | 661,519 | 1,215,356 | 1,683,468 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Consumer Discretionary — 18.6%*: |
| |||||||||||||||||||
Alibaba Group Holding Ltd.(a),(b) | 2,798 | 472,522 | 634,530 | |||||||||||||||||
Fix Price Group Ltd.(a),(b),(c) | 4,738 | 46,196 | 41,457 | |||||||||||||||||
Hyundai Motor Co.(b) | 1,060 | 230,603 | 225,432 | |||||||||||||||||
JD.com, Inc.(a),(b) | 3,262 | 296,173 | 260,340 | |||||||||||||||||
Li Auto, Inc.(a),(b) | 4,297 | 143,519 | 150,137 | |||||||||||||||||
Meituan(a),(b) | 3,400 | 144,836 | 140,304 | |||||||||||||||||
New Oriental Education & Technology Group, Inc.(a),(b) | 4,831 | 74,047 | 39,566 | |||||||||||||||||
Prosus NV(b) | 1,999 | 151,129 | 195,480 | |||||||||||||||||
Samsonite International SA(a),(b) | 96,900 | 206,895 | 198,186 | |||||||||||||||||
Topsports International Holdings Ltd.(b) | 189,000 | 224,491 | 309,633 | |||||||||||||||||
Via Varejo S/A(a),(b) | 47,800 | 144,839 | 151,748 | |||||||||||||||||
Yum China Holdings, Inc.(b) | 3,206 | 186,220 | 212,397 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Consumer Discretionary | 363,291 | 2,321,470 | 2,559,210 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Consumer Staples — 3.2%*: |
| |||||||||||||||||||
Atacadao SA(b) | 36,000 | 130,639 | 151,997 | |||||||||||||||||
CP ALL Public Company Limited(b) | 89,200 | 185,279 | 166,989 | |||||||||||||||||
X5 Retail Group NV(b) | 3,532 | 134,034 | 123,832 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Consumer Staples | 128,732 | 449,952 | 442,818 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Energy — 3.0%*: |
| |||||||||||||||||||
Reliance Industries Ltd.(b),(c) | 7,307 | 241,603 | 413,576 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Financials — 20.5%*: |
| |||||||||||||||||||
AIA Group Ltd.(b) | 21,000 | 174,125 | 261,002 | |||||||||||||||||
Axis Bank Ltd.(a),(b) | 4,245 | 212,873 | 213,523 | |||||||||||||||||
B3 SA—Brasil Bolsa Balcao(b) | 57,321 | 135,087 | 193,844 | |||||||||||||||||
BB Seguridade Participacoes SA(b) | 29,900 | 132,109 | 138,866 | |||||||||||||||||
China Construction Bank Corp.(b) | 358,000 | 296,614 | 281,723 | |||||||||||||||||
China Pacific Insurance Group Co. Ltd.(b) | 46,800 | 166,032 | 147,375 | |||||||||||||||||
Grupo Financiero Banorte SAB de CV(b) | 33,227 | 182,431 | 213,957 | |||||||||||||||||
Hana Financial Group, Inc.(b) | 7,417 | 253,208 | 303,292 | |||||||||||||||||
HDFC Bank Ltd.(a),(b) | 6,237 | 290,658 | 456,049 | |||||||||||||||||
Ping An Insurance Group Co. of China Ltd.(b) | 27,500 | 261,373 | 269,358 | |||||||||||||||||
PT Bank Negara Indonesia Persero Tbk(b) | 443,700 | 218,213 | 141,678 |
See accompanying Notes to the Financial Statements.
127
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Barings Global Emerging Markets Equity Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
SHARES | COST | FAIR VALUE | ||||||||||||||||||
Common Stocks (Continued) |
| |||||||||||||||||||
Financials (Continued) |
| |||||||||||||||||||
Sberbank of Russia PJSC(b) | 11,527 | $ | 149,452 | $ | 192,386 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Financials | 1,046,874 | 2,472,175 | 2,813,053 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Industrials — 1.1%*: |
| |||||||||||||||||||
NARI Technology Co. Ltd.(b) | 40,800 | 139,939 | 146,746 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Information Technology — 27.7%*: |
| |||||||||||||||||||
GDS Holdings Ltd.(a),(b) | 1,695 | 176,509 | 133,041 | |||||||||||||||||
Hon Hai Precision Industry Co. Ltd.(b) | 52,000 | 201,444 | 209,027 | |||||||||||||||||
Infosys Ltd.(b) | 15,336 | 135,841 | 324,970 | |||||||||||||||||
Luxshare Precision Industry Co. Ltd.(b) | 21,900 | 178,302 | 155,909 | |||||||||||||||||
MediaTek, Inc.(b) | 6,000 | 93,974 | 207,160 | |||||||||||||||||
Powertech Technology, Inc.(b) | 44,000 | 139,191 | 169,762 | |||||||||||||||||
Samsung Electronics Co. Ltd.(b) | 15,943 | 638,132 | 1,142,477 | |||||||||||||||||
Sunny Optical Technology Group Co. Ltd.(b) | 5,400 | 62,423 | 170,673 | |||||||||||||||||
Taiwan Semiconductor Manufacturing Co. Ltd.(b) | 52,000 | 432,977 | 1,110,453 | |||||||||||||||||
United Microelectronics Corp.(b) | 93,000 | 180,841 | 177,238 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Information Technology | 307,274 | 2,239,634 | 3,800,710 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Materials — 5.8%*: |
| |||||||||||||||||||
Anglo American plc(b) | 8,807 | 176,668 | 351,182 | |||||||||||||||||
China Resources Cement Holdings Ltd.(b) | 124,000 | 150,327 | 117,863 | |||||||||||||||||
LG Chem Ltd.(b) | 438 | 138,261 | 330,595 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Materials | 133,245 | 465,256 | 799,640 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Real Estate — 1.3%*: |
| |||||||||||||||||||
China Resources Land Ltd.(b) | 36,000 | 121,454 | 145,821 | |||||||||||||||||
Emaar Properties PJSC(b) | 30,828 | 34,632 | 34,914 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Real Estate | 66,828 | 156,086 | 180,735 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Utilities — 3.9%*: |
| |||||||||||||||||||
China Longyuan Power Group Corp. Ltd.(b) | 112,000 | 106,517 | 193,006 | |||||||||||||||||
ENN Energy Holdings Ltd.(b) | 10,200 | 115,237 | 194,166 | |||||||||||||||||
Kunlun Energy Co. Ltd.(b) | 154,000 | 141,348 | 142,014 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Utilities | 276,200 | 363,102 | 529,186 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Common Stocks | 3,032,070 | 10,064,573 | 13,369,142 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Equities | 3,032,070 | 10,064,573 | 13,369,142 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Investments | 3,032,070 | 10,064,573 | 13,369,142 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Other assets and liabilities — 2.6%* |
| 356,548 | ||||||||||||||||||
|
| |||||||||||||||||||
Net Assets — 100.0%* |
| $13,725,690 | ||||||||||||||||||
|
|
* | 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.
128
Table of Contents
Barings Global Emerging Markets Equity Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:
China | 35.6% | |||||
Republic of Korea | 15.0% | |||||
Taiwan | 14.0% | |||||
India | 10.5% | |||||
Hong Kong | 7.2% | |||||
Brazil | 4.7% | |||||
Russia | 3.7% | |||||
South Africa | 2.6% | |||||
Indonesia | 2.1% | |||||
Mexico | 1.6% | |||||
Netherlands | 1.5% | |||||
Thailand | 1.2% | |||||
Other (Individually less than 1%) | 0.3% | |||||
|
| |||||
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.
129
Table of Contents
Barings U.S. High Yield Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS
June 30, 2021
SHARES | COST | FAIR VALUE | ||||||||||||||||||
Equities — 0.6%*: |
| |||||||||||||||||||
Common Stocks — 0.6%*: |
| |||||||||||||||||||
Oil and Gas — 0.6%*: |
| |||||||||||||||||||
Fieldwood Energy LLC | 1,006 | $35,210 | $1 | |||||||||||||||||
Fieldwood Energy LLC | 4,100 | 88,421 | 4 | |||||||||||||||||
Fieldwood Energy LLC(a) | 64 | 3,554 | 3,554 | |||||||||||||||||
Tourmaline Oil Corp.(b) | 9,384 | 131,780 | 268,212 | |||||||||||||||||
Tourmaline Oil Corp.(a),(b) | 40,609 | – | 32,760 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Oil and Gas | 55,163 | 258,965 | 304,531 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Common Stocks | 55,163 | 258,965 | 304,531 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Equities | 55,163 | 258,965 | 304,531 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL‡‡ | COST | FAIR VALUE | ||||||||||||||||
Fixed Income — 95.5%*: |
| |||||||||||||||||||
Bank Loans — 10.9%*(c): |
| |||||||||||||||||||
Aerospace and Defense — 0.9%*: |
| |||||||||||||||||||
AAdvantage Loyalty IP Ltd., 3M LIBOR + 4.750% | 5.50 | % | 4/20/2028 | 278,582 | 275,878 | 290,213 | ||||||||||||||
United Airlines, Inc., 3M LIBOR + 3.750% | 4.50 | 4/21/2028 | 174,327 | 173,476 | 176,457 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Aerospace and Defense | 452,909 | 449,354 | 466,670 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Broadcasting and Entertainment — 0.4%*: |
| |||||||||||||||||||
Clear Channel Outdoor Holdings, Inc., 3M LIBOR + 3.500% | 3.69 | 8/21/2026 | 232,227 | 222,556 | 226,519 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Chemicals, Plastics and Rubber — 0.2%*: |
| |||||||||||||||||||
Consolidated Energy Finance SA, 3M LIBOR + 2.500% | 2.60 | 5/7/2025 | 123,067 | 119,961 | 119,323 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Containers, Packaging and Glass — 0.1%*: |
| |||||||||||||||||||
Hoffmaster Group, Inc., 3M LIBOR + 4.000% | 5.00 | 11/21/2023 | 67,823 | 63,680 | 65,228 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified/Conglomerate Service — 5.1%*: |
| |||||||||||||||||||
CoreLogic, Inc., 3M LIBOR + 6.500% | 7.00 | 4/13/2029 | 195,313 | 193,373 | 196,289 | |||||||||||||||
Cvent, Inc., 1M LIBOR + 3.750% | 3.85 | 11/29/2024 | 409,611 | 398,354 | 403,672 | |||||||||||||||
Finastra USA, Inc., 6M LIBOR + 3.500% | 4.50 | 6/13/2024 | 1,197,770 | 1,162,079 | 1,178,186 | |||||||||||||||
Finastra USA, Inc., 3M LIBOR + 7.250% | 8.25 | 6/13/2025 | 525,000 | 512,469 | 530,056 | |||||||||||||||
Rent-A-Center, Inc., 3M LIBOR + 4.000% | 4.75 | 2/17/2028 | 39,846 | 39,657 | 39,846 | |||||||||||||||
SonicWall U.S. Holdings, Inc., 3M LIBOR + 7.500% | 7.65 | 5/18/2026 | 51,897 | 51,577 | 51,378 | |||||||||||||||
Spin Holdco, Inc., 3M LIBOR + 4.000% | 4.75 | 3/1/2028 | 347,642 | 345,148 | 347,687 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Service | 2,767,079 | 2,702,657 | 2,747,114 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Electronics — 1.7%*: |
| |||||||||||||||||||
Ivanti Software, Inc., 3M LIBOR + 4.750% | 5.75 | 12/1/2027 | 26,671 | 26,412 | 26,675 |
See accompanying Notes to the Financial Statements.
130
Table of Contents
Barings U.S. High Yield Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL‡‡ | COST | FAIR VALUE | ||||||||||||||||
Bank Loans (Continued) |
| |||||||||||||||||||
Electronics (Continued) |
| |||||||||||||||||||
Magenta Buyer LLC, 3M LIBOR + 8.250% | 9.00 | % | 5/3/2029 | 107,000 | $ | 106,732 | $ | 105,662 | ||||||||||||
McAfee Enterprise, 3M LIBOR + 5.000% | 5.75 | 5/3/2028 | 401,322 | 397,309 | 400,921 | |||||||||||||||
Renaissance Holding Corp., 3M LIBOR + 7.000% | 7.10 | 5/29/2026 | 368,428 | 365,458 | 368,060 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Electronics | 903,421 | 895,911 | 901,318 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Healthcare, Education and Childcare — 0.5%*: |
| |||||||||||||||||||
Radiology Partners, Inc., 1M LIBOR + 4.250% | 4.32 | 7/9/2025 | 234,000 | 231,456 | 233,806 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Leisure, Amusement, Entertainment — 0.6%*: |
| |||||||||||||||||||
Delta 2 (LUX) Sarl, 3M LIBOR + 2.500%(b) | 3.50 | 2/1/2024 | 129,011 | 127,138 | 128,225 | |||||||||||||||
MSG National Properties LLC, 3M LIBOR + 6.250% | 7.00 | 11/12/2025 | 200,519 | 208,039 | 206,535 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Leisure, Amusement, Entertainment | 329,530 | 335,177 | 334,760 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Retail Stores — 0.5%*: |
| |||||||||||||||||||
Great Outdoors Group LLC, 6M LIBOR + 4.250% | 5.00 | 3/6/2028 | 259,885 | 258,642 | 260,535 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Telecommunications — 0.9%*: |
| |||||||||||||||||||
Syniverse Holdings, Inc., 3M LIBOR + 5.000% | 6.00 | 3/9/2023 | 489,705 | 455,198 | 484,382 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Bank Loans | 5,859,646 | 5,734,592 | 5,839,655 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Corporate Bonds — 84.6%*: |
| |||||||||||||||||||
Aerospace and Defense — 3.6%*: |
| |||||||||||||||||||
American Airlines Inc/AAdvantage Loyalty IP Ltd.(d) | 5.50 | 4/20/2026 | 357,000 | 357,000 | 377,974 | |||||||||||||||
American Airlines Inc/AAdvantage Loyalty IP Ltd.(d) | 5.75 | 4/20/2029 | 114,000 | 114,000 | 123,073 | |||||||||||||||
American Airlines, Inc.(d) | 11.75 | 7/15/2025 | 161,000 | 166,452 | 202,055 | |||||||||||||||
TransDigm, Inc.(d) | 8.00 | 12/15/2025 | 221,000 | 221,000 | 238,791 | |||||||||||||||
Triumph Group, Inc.(d) | 6.25 | 9/15/2024 | 216,000 | 216,000 | 219,240 | |||||||||||||||
Triumph Group, Inc. | 7.75 | 8/15/2025 | 595,000 | 597,441 | 612,082 | |||||||||||||||
United Airlines, Inc.(d) | 4.38 | 4/15/2026 | 66,000 | 66,000 | 68,310 | |||||||||||||||
United Airlines, Inc.(d) | 4.63 | 4/15/2029 | 70,000 | 70,000 | 72,450 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Aerospace and Defense | 1,800,000 | 1,807,893 | 1,913,975 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Automobile — 3.1%*: |
| |||||||||||||||||||
Adient Global Holdings Ltd.(d) | 4.88 | 8/15/2026 | 67,000 | 63,253 | 68,958 | |||||||||||||||
Clarios Global LP(d) | 6.75 | 5/15/2025 | 75,000 | 75,000 | 79,874 | |||||||||||||||
Clarios Global LP/Clarios US Finance Co.(d) | 8.50 | 5/15/2027 | 236,000 | 245,922 | 257,287 | |||||||||||||||
Ford Motor Co. | 7.45 | 7/16/2031 | 190,000 | 220,396 | 249,850 | |||||||||||||||
Ford Motor Co. | 8.50 | 4/21/2023 | 257,000 | 257,000 | 286,799 | |||||||||||||||
Ford Motor Co. | 9.63 | 4/22/2030 | 235,000 | 242,520 | 337,225 | |||||||||||||||
Gates Global LLC / Gates Global Co.(d) | 6.25 | 1/15/2026 | 106,000 | 106,000 | 111,037 | |||||||||||||||
JB Poindexter & Co., Inc.(d) | 7.13 | 4/15/2026 | 250,000 | 262,435 | 264,375 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Automobile | 1,416,000 | 1,472,526 | 1,655,405 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
131
Table of Contents
Barings U.S. High Yield Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Beverage, Food and Tobacco — 2.7%*: |
| |||||||||||||||||||
JBS Finance Luxembourg Sarl(d) | 3.63 | % | 1/15/2032 | 233,000 | $ | 230,476 | $ | 232,928 | ||||||||||||
JBS USA Food Co(d) | 7.00 | 1/15/2026 | 200,000 | 201,838 | 212,000 | |||||||||||||||
JBS USA LUX SA/JBS USA Finance, Inc.(d) | 6.75 | 2/15/2028 | 250,000 | 250,000 | 274,687 | |||||||||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.(d) | 5.50 | 1/15/2030 | 125,000 | 125,000 | 139,798 | |||||||||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.(d) | 6.50 | 4/15/2029 | 500,000 | 500,000 | 561,880 | |||||||||||||||
Welbilt, Inc. | 9.50 | 2/15/2024 | 54,000 | 54,809 | 56,549 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Beverage, Food and Tobacco | 1,362,000 | 1,362,123 | 1,477,842 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Broadcasting and Entertainment — 3.8%*: |
| |||||||||||||||||||
Altice USA, Inc.(d) | 5.75 | 1/15/2030 | 147,000 | 152,324 | 152,696 | |||||||||||||||
Banijay Entertainment SASU(b),(d) | 5.38 | 3/1/2025 | 170,000 | 170,000 | 175,525 | |||||||||||||||
Clear Channel Outdoor Holdings, Inc.(d) | 7.50 | 6/1/2029 | 138,000 | 138,052 | 142,876 | |||||||||||||||
Clear Channel Outdoor Holdings, Inc.(d) | 7.75 | 4/15/2028 | 192,000 | 192,908 | 201,124 | |||||||||||||||
Clear Channel Worldwide Holdings, Inc.(d) | 5.13 | 8/15/2027 | 201,000 | 201,000 | 204,994 | |||||||||||||||
DISH DBS Corp. | 5.00 | 3/15/2023 | 79,000 | 78,316 | 82,684 | |||||||||||||||
DISH Network Corp. | 3.38 | 8/15/2026 | 267,000 | 255,859 | 272,474 | |||||||||||||||
iHeartCommunications, Inc. | 8.38 | 5/1/2027 | 194,000 | 192,855 | 207,823 | |||||||||||||||
Nexstar Broadcasting, Inc.(d) | 4.75 | 11/1/2028 | 50,000 | 51,584 | 51,375 | |||||||||||||||
Outfront Media Capital LLC / Outfront Media Capital Corp.(d) | 4.25 | 1/15/2029 | 133,000 | 133,000 | 133,831 | |||||||||||||||
Radiate Holdco LLC / Radiate Finance, Inc.(d) | 6.50 | 9/15/2028 | 138,000 | 141,516 | 144,962 | |||||||||||||||
Terrier Media Buyer, Inc.(d) | 8.88 | 12/15/2027 | 261,000 | 261,000 | 282,300 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Broadcasting and Entertainment | 1,970,000 | 1,968,414 | 2,052,664 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Buildings and Real Estate — 4.0%*: |
| |||||||||||||||||||
Arcosa, Inc.(d) | 4.38 | 4/15/2029 | 60,000 | 60,000 | 61,050 | |||||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp.(b),(d) | 4.88 | 2/15/2030 | 183,000 | 183,000 | 181,225 | |||||||||||||||
CP Atlas Buyer, Inc.(d) | 7.00 | 12/1/2028 | 32,000 | 32,000 | 33,160 | |||||||||||||||
Empire Communities Corp.(d) | 7.00 | 12/15/2025 | 115,000 | 115,000 | 120,750 | |||||||||||||||
Mattamy Group Corp.(b),(d) | 4.63 | 3/1/2030 | 330,000 | 329,186 | 337,095 | |||||||||||||||
Mattamy Group Corp.(b),(d) | 5.25 | 12/15/2027 | 25,000 | 25,000 | 26,125 | |||||||||||||||
New Enterprise Stone & Lime Co., Inc.(d) | 9.75 | 7/15/2028 | 250,000 | 250,000 | 280,000 | |||||||||||||||
Park River Holdings, Inc.(d) | 5.63 | 2/1/2029 | 96,000 | 96,000 | 93,348 | |||||||||||||||
Realogy Group LLC / Realogy Co-Issuer Corp.(d) | 5.75 | 1/15/2029 | 195,000 | 195,000 | 203,851 | |||||||||||||||
RLJ Lodging Trust LP(d) | 3.75 | 7/1/2026 | 60,000 | 60,000 | 60,600 | |||||||||||||||
Service Properties Trust | 3.95 | 1/15/2028 | 29,000 | 25,308 | 27,333 | |||||||||||||||
Service Properties Trust | 4.38 | 2/15/2030 | 47,000 | 41,129 | 44,768 | |||||||||||||||
Service Properties Trust | 4.95 | 2/15/2027 | 23,000 | 21,356 | 22,885 | |||||||||||||||
Service Properties Trust | 5.50 | 12/15/2027 | 127,000 | 127,000 | 135,607 | |||||||||||||||
Service Properties Trust | 7.50 | 9/15/2025 | 200,000 | 207,245 | 226,515 | |||||||||||||||
STL Holding Co. LLC(d) | 7.50 | 2/15/2026 | 175,000 | 175,000 | 184,187 | |||||||||||||||
Tri Pointe Homes Inc | 5.70 | 6/15/2028 | 121,000 | 121,000 | 133,402 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Buildings and Real Estate | 2,068,000 | 2,063,224 | 2,171,901 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
132
Table of Contents
Barings U.S. High Yield Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Cargo Transport — 1.3%*: |
| |||||||||||||||||||
Kenan Advantage Group, Inc. (The)(d) | 7.88 | % | 7/31/2023 | 700,000 | $ | 700,000 | $ | 698,950 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
Chemicals, Plastics and Rubber — 1.9%*: |
| |||||||||||||||||||
CF Industries, Inc. | 4.95 | 6/1/2043 | 23,000 | 23,083 | 27,188 | |||||||||||||||
CF Industries, Inc. | 5.38 | 3/15/2044 | 48,000 | 47,192 | 59,482 | |||||||||||||||
Consolidated Energy Finance SA(d) | 6.88 | 6/15/2025 | 361,000 | 360,078 | 367,740 | |||||||||||||||
Kraton Polymers LLC / Kraton Polymers Capital Corp.(d) | 4.25 | 12/15/2025 | 91,000 | 91,000 | 92,820 | |||||||||||||||
LBC Tank Terminals Holding Netherlands BV(d) | 6.88 | 5/15/2023 | 250,000 | 247,018 | 249,375 | |||||||||||||||
Nouryon Holding BV(b),(d) | 8.00 | 10/1/2026 | 56,000 | 54,988 | 59,360 | |||||||||||||||
Univar Solutions USA, Inc.(d) | 5.13 | 12/1/2027 | 177,000 | 177,000 | 186,071 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Chemicals, Plastics and Rubber | 1,006,000 | 1,000,359 | 1,042,036 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Containers, Packaging and Glass — 0.9%*: |
| |||||||||||||||||||
Mauser Packaging Solutions Holding Co.(d) | 7.25 | 4/15/2025 | 302,000 | 292,949 | 295,960 | |||||||||||||||
Trident TPI Holdings, Inc.(d) | 9.25 | 8/1/2024 | 171,000 | 167,452 | 178,695 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Containers, Packaging and Glass | 473,000 | 460,401 | 474,655 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified/Conglomerate Manufacturing — 0.6%*: |
| |||||||||||||||||||
Alta Equipment Group, Inc.(d) | 5.63 | 4/15/2026 | 33,000 | 33,000 | 33,864 | |||||||||||||||
Avaya Holdings Corp. | 2.25 | 6/15/2023 | 136,000 | 135,529 | 158,780 | |||||||||||||||
Avaya, Inc.(d) | 6.13 | 9/15/2028 | 62,000 | 62,000 | 66,358 | |||||||||||||||
Core & Main Holdings LP, 8.625% CASH / 9.375% PIK(d) | 8.63 | 9/15/2024 | 43,000 | 42,744 | 43,860 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Manufacturing | 274,000 | 273,273 | 302,862 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Diversified/Conglomerate Service — 2.2%*: |
| |||||||||||||||||||
Atlantica Sustainable Infrastructure plc(b),(d) | 4.13 | 6/15/2028 | 53,000 | 53,000 | 53,996 | |||||||||||||||
Austin BidCo, Inc.(d) | 7.13 | 12/15/2028 | 75,000 | 75,000 | 76,852 | |||||||||||||||
Endure Digital, Inc.(d) | 6.00 | 2/15/2029 | 200,000 | 200,000 | 198,000 | |||||||||||||||
Everi Holdings, Inc. | 5.00 | 7/15/2029 | 31,000 | 31,000 | 31,000 | |||||||||||||||
Iron Mountain, Inc.(d) | 5.25 | 7/15/2030 | 235,000 | 235,000 | 248,766 | |||||||||||||||
Prime Security Services Borrower LLC / Prime Finance, Inc.(d) | 6.25 | 1/15/2028 | 206,000 | 204,490 | 219,132 | |||||||||||||||
Rent-A-Center, Inc.(d) | 6.38 | 2/15/2029 | 63,000 | 63,000 | 67,646 | |||||||||||||||
Sabre GLBL, Inc.(d) | 9.25 | 4/15/2025 | 50,000 | 50,000 | 59,442 | |||||||||||||||
Uber Technologies, Inc.(d) | 6.25 | 1/15/2028 | 127,000 | 127,000 | 136,679 | |||||||||||||||
WASH Multifamily Acquisition, Inc.(d) | 5.75 | 4/15/2026 | 68,000 | 68,000 | 70,999 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Diversified/Conglomerate Service | 1,108,000 | 1,106,490 | 1,162,512 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Electronics — 2.5%*: |
| |||||||||||||||||||
BY Crown Parent LLC(d) | 7.38 | 10/15/2024 | 96,000 | 96,000 | 97,728 | |||||||||||||||
Imola Merger Corp.(d) | 4.75 | 5/15/2029 | 44,000 | 44,000 | 45,265 | |||||||||||||||
Veritas US, Inc. / Veritas Bermuda Ltd.(d) | 7.50 | 9/1/2025 | 125,000 | 127,665 | 130,156 |
See accompanying Notes to the Financial Statements.
133
Table of Contents
Barings U.S. High Yield Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Electronics (Continued) |
| |||||||||||||||||||
Veritas US, Inc. / Veritas Bermuda Ltd.(d) | 10.50 | % | 2/1/2024 | 1,057,000 | $ | 1,005,711 | $ | 1,084,979 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Electronics | 1,322,000 | 1,273,376 | 1,358,128 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Finance — 5.7%*: |
| |||||||||||||||||||
Alliance Data Systems Corp.(d) | 7.00 | 1/15/2026 | 78,000 | 77,979 | 83,558 | |||||||||||||||
Aretec Escrow Issuer, Inc.(d) | 7.50 | 4/1/2029 | 110,000 | 110,000 | 113,025 | |||||||||||||||
Ford Motor Credit Co. LLC | 4.13 | 8/17/2027 | 225,000 | 225,000 | 238,675 | |||||||||||||||
Ford Motor Credit Co. LLC | 4.13 | 8/4/2025 | 200,000 | 164,555 | 213,748 | |||||||||||||||
Ford Motor Credit Co. LLC | 5.13 | 6/16/2025 | 233,000 | 233,000 | 256,591 | |||||||||||||||
Global Aircraft Leasing Co. Ltd.(d) | 6.50 | 9/15/2024 | 714,105 | 699,653 | 717,950 | |||||||||||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp. | 6.25 | 5/15/2026 | 500,000 | 500,000 | 530,500 | |||||||||||||||
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.(d) | 4.75 | 6/15/2029 | 239,000 | 239,000 | 239,299 | |||||||||||||||
Midcap Financial Issuer Trust(d) | 6.50 | 5/1/2028 | 80,000 | 80,000 | 83,723 | |||||||||||||||
OneMain Finance Corp. | 4.00 | 9/15/2030 | 160,000 | 160,000 | 158,349 | |||||||||||||||
OneMain Finance Corp. | 5.38 | 11/15/2029 | 302,000 | 303,836 | 328,498 | |||||||||||||||
Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer(d) | 5.88 | 10/1/2028 | 81,000 | 81,000 | 86,255 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Finance | 2,922,105 | 2,874,023 | 3,050,171 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Healthcare, Education and Childcare — 7.3%*: |
| |||||||||||||||||||
AdaptHealth LLC(d) | 4.63 | 8/1/2029 | 94,000 | 92,720 | 95,175 | |||||||||||||||
AHP Health Partners, Inc.(d) | 5.75 | 7/15/2029 | 112,000 | 112,000 | 113,540 | |||||||||||||||
Bausch Health Cos., Inc.(d) | 8.50 | 1/31/2027 | 175,000 | 179,627 | 190,207 | |||||||||||||||
Bausch Health Cos., Inc.(d) | 4.88 | 6/1/2028 | 163,000 | 163,369 | 166,464 | |||||||||||||||
Bausch Health Cos., Inc.(d) | 5.00 | 1/30/2028 | 130,000 | 130,000 | 123,317 | |||||||||||||||
Bausch Health Cos., Inc.(d) | 5.00 | 2/15/2029 | 253,000 | 253,000 | 235,922 | |||||||||||||||
Bausch Health Cos., Inc.(d) | 5.25 | 1/30/2030 | 188,000 | 188,000 | 174,840 | |||||||||||||||
Bausch Health Cos., Inc.(d) | 5.25 | 2/15/2031 | 405,000 | 394,888 | 378,047 | |||||||||||||||
Bausch Health Cos., Inc.(d) | 6.25 | 2/15/2029 | 134,000 | 131,176 | 132,533 | |||||||||||||||
Centene Corp. | 4.63 | 12/15/2029 | 209,000 | 209,000 | 229,852 | |||||||||||||||
CHS/Community Health Systems, Inc.(d) | 4.75 | 2/15/2031 | 99,000 | 99,000 | 99,124 | |||||||||||||||
CHS/Community Health Systems, Inc.(d) | 5.63 | 3/15/2027 | 71,000 | 71,000 | 75,615 | |||||||||||||||
CHS/Community Health Systems, Inc.(d) | 6.00 | 1/15/2029 | 33,000 | 33,000 | 35,310 | |||||||||||||||
CHS/Community Health Systems, Inc.(d) | 6.13 | 4/1/2030 | 128,000 | 128,000 | 129,920 | |||||||||||||||
Emergent BioSolutions, Inc.(d) | 3.88 | 8/15/2028 | 425,000 | 411,343 | 416,296 | |||||||||||||||
ModivCare, Inc.(d) | 5.88 | 11/15/2025 | 142,000 | 143,211 | 151,943 | |||||||||||||||
Molina Healthcare, Inc.(d) | 4.38 | 6/15/2028 | 165,000 | 165,000 | 172,012 | |||||||||||||||
Par Pharmaceutical, Inc.(d) | 7.50 | 4/1/2027 | 300,000 | 300,000 | 306,750 | |||||||||||||||
Radiology Partners, Inc.(d) | 9.25 | 2/1/2028 | 176,000 | 176,000 | 194,480 | |||||||||||||||
RP Escrow Issuer LLC(d) | 5.25 | 12/15/2025 | 181,000 | 181,000 | 188,919 | |||||||||||||||
Tenet Healthcare Corp.(d) | 4.88 | 1/1/2026 | 125,000 | 125,000 | 129,650 | |||||||||||||||
Tenet Healthcare Corp.(d) | 6.13 | 10/1/2028 | 150,000 | 150,000 | 160,020 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Healthcare, Education and Childcare | 3,858,000 | 3,836,334 | 3,899,936 | |||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
134
Table of Contents
Barings U.S. High Yield Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Home and Office Furnishings, Housewares, and Durable Consumer Products — 1.6%*: |
| |||||||||||||||||||
BCPE Ulysses Intermediate, Inc., 7.750% CASH / 8.500% PIK(d) | 7.75 | % | 4/1/2027 | 257,000 | $ | 258,931 | $ | 263,425 | ||||||||||||
Resideo Funding, Inc.(d) | 6.13 | 11/1/2026 | 125,000 | 123,259 | 131,250 | |||||||||||||||
Staples, Inc.(d) | 7.50 | 4/15/2026 | 253,000 | 259,855 | 262,487 | |||||||||||||||
Staples, Inc.(d) | 10.75 | �� | 4/15/2027 | 190,000 | 195,569 | 193,164 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Home and Office Furnishings, Housewares, and Durable Consumer Products | 825,000 | 837,614 | 850,326 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Hotels, Motels, Inns and Gaming — 3.3%*: |
| |||||||||||||||||||
Caesars Entertainment, Inc.(d) | 6.25 | 7/1/2025 | 125,000 | 125,000 | 132,557 | |||||||||||||||
Caesars Entertainment, Inc.(d) | 8.13 | 7/1/2027 | 300,000 | 298,102 | 333,660 | |||||||||||||||
Caesars Resort Collection LLC/CRC Finco, Inc.(d) | 5.75 | 7/1/2025 | 125,000 | 125,000 | 131,719 | |||||||||||||||
CCM Merger, Inc.(d) | 6.38 | 5/1/2026 | 159,000 | 159,000 | 166,950 | |||||||||||||||
Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower ESC(d) | 4.88 | 7/1/2031 | 110,000 | 110,000 | 109,863 | |||||||||||||||
Scientific Games International, Inc.(d) | 7.25 | 11/15/2029 | 60,000 | 51,259 | 67,680 | |||||||||||||||
Scientific Games International, Inc.(d) | 8.63 | 7/1/2025 | 65,000 | 65,000 | 71,175 | |||||||||||||||
Travel & Leisure Co.(d) | 6.63 | 7/31/2026 | 170,000 | 170,000 | 192,610 | |||||||||||||||
Wyndham Hotels & Resorts, Inc.(d) | 4.38 | 8/15/2028 | 125,000 | 125,000 | 129,575 | |||||||||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.(d) | 5.50 | 3/1/2025 | 250,000 | 248,071 | 269,215 | |||||||||||||||
Wynn Macau Ltd.(b),(d) | 5.13 | 12/15/2029 | 188,000 | 188,000 | 193,640 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Hotels, Motels, Inns and Gaming | 1,677,000 | 1,664,432 | 1,798,644 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Insurance — 0.5%*: |
| |||||||||||||||||||
Highlands Holdings Bond Issuer Ltd. / Highlands Holdings Bond Co-Issuer, Inc., 7.625% CASH 8.375% PIK(d) | 7.63 | 10/15/2025 | 250,000 | 250,000 | 264,460 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Leisure, Amusement, Entertainment — 2.0%*: |
| |||||||||||||||||||
Carnival Corp.(d) | 5.75 | 3/1/2027 | 275,000 | 275,000 | 288,062 | |||||||||||||||
Carnival Corp.(d) | 7.63 | 3/1/2026 | 85,000 | 85,000 | 92,331 | |||||||||||||||
Live Nation Entertainment, Inc.(d) | 4.75 | 10/15/2027 | 50,000 | 49,147 | 51,875 | |||||||||||||||
NCL Corp. Ltd.(d) | 5.88 | 3/15/2026 | 267,000 | 267,000 | 279,683 | |||||||||||||||
NCL Finance Ltd.(d) | 6.13 | 3/15/2028 | 56,000 | 56,000 | 58,685 | |||||||||||||||
RHP Hotel Properties LP / RHP Finance Corp. | 4.75 | 10/15/2027 | 296,000 | 296,000 | 304,007 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Leisure, Amusement, Entertainment | 1,029,000 | 1,028,147 | 1,074,643 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Machinery Non-Agriculture, Non-Construction, Non-Electronic — 0.6%*: |
| |||||||||||||||||||
Diebold Nixdorf, Inc.(d) | 9.38 | 7/15/2025 | 276,000 | 288,629 | 306,015 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Mining, Steel, Iron and Non-Precious Metals — 5.5%*: |
| |||||||||||||||||||
Atkore, Inc.(d) | 4.25 | 6/1/2031 | 191,000 | 191,000 | 193,445 | |||||||||||||||
Compass Minerals International, Inc.(d) | 4.88 | 7/15/2024 | 124,000 | 119,037 | 128,030 |
See accompanying Notes to the Financial Statements.
135
Table of Contents
Barings U.S. High Yield Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Mining, Steel, Iron and Non-Precious Metals (Continued) |
| |||||||||||||||||||
Coronado Finance Pty Ltd.(b),(d) | 10.75 | % | 5/15/2026 | 150,000 | $ | 147,242 | $ | 159,750 | ||||||||||||
First Quantum Minerals Ltd.(b),(d) | 6.88 | 3/1/2026 | 229,000 | 229,000 | 239,877 | |||||||||||||||
First Quantum Minerals Ltd.(b),(d) | 6.88 | 10/15/2027 | 250,000 | 250,000 | 272,425 | |||||||||||||||
First Quantum Minerals Ltd.(b),(d) | 7.50 | 4/1/2025 | 158,000 | 152,674 | 163,925 | |||||||||||||||
Freeport-McMoRan, Inc. | 4.13 | 3/1/2028 | 28,000 | 27,127 | 29,225 | |||||||||||||||
Freeport-McMoRan, Inc. | 4.38 | 8/1/2028 | 125,000 | 125,000 | 132,031 | |||||||||||||||
Freeport-McMoRan, Inc. | 4.63 | 8/1/2030 | 82,000 | 82,000 | 89,790 | |||||||||||||||
Hecla Mining Co. | 7.25 | 2/15/2028 | 228,000 | 246,019 | 249,090 | |||||||||||||||
Hudbay Minerals, Inc.(b),(d) | 6.13 | 4/1/2029 | 111,000 | 111,000 | 118,215 | |||||||||||||||
Kinross Gold Corp. | 6.88 | 9/1/2041 | 99,000 | 98,547 | 138,428 | |||||||||||||||
Peabody Energy Corp.(d) | 8.50 | 12/31/2024 | 113,000 | 72,560 | 84,750 | |||||||||||||||
PIC AU Holdings LLC / PIC AU Holdings Corp.(b),(d) | 10.00 | 12/31/2024 | 248,000 | 232,152 | 246,450 | |||||||||||||||
SunCoke Energy Partners LP(d) | 7.50 | 6/15/2025 | 171,000 | 168,813 | 177,592 | |||||||||||||||
Warrior Met Coal, Inc.(d) | 8.00 | 11/1/2024 | 540,000 | 546,176 | 548,100 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Mining, Steel, Iron and Non-Precious Metals | 2,847,000 | 2,798,347 | 2,971,123 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Oil and Gas — 16.6%*: |
| |||||||||||||||||||
Antero Midstream Partners LP / Antero Midstream Finance Corp.(d) | 5.38 | 6/15/2029 | 469,000 | 469,000 | 488,932 | |||||||||||||||
Antero Resources Corp.(d) | 5.38 | 3/1/2030 | 58,000 | 58,000 | 59,197 | |||||||||||||||
Antero Resources Corp.(d) | 7.63 | 2/1/2029 | 71,000 | 71,000 | 78,810 | |||||||||||||||
Antero Resources Corp.(d) | 8.38 | 7/15/2026 | 78,000 | 78,000 | 88,725 | |||||||||||||||
Apache Corp. | 4.75 | 4/15/2043 | 67,000 | 61,902 | 68,422 | |||||||||||||||
Apache Corp. | 5.10 | 9/1/2040 | 51,000 | 41,562 | 53,423 | |||||||||||||||
Apache Corp. | 5.35 | 7/1/2049 | 78,000 | 62,703 | 82,095 | |||||||||||||||
Buckeye Partners LP | 5.85 | 11/15/2043 | 26,000 | 21,853 | 25,805 | |||||||||||||||
Cheniere Energy Partners LP | 5.63 | 10/1/2026 | 250,000 | 250,000 | 259,375 | |||||||||||||||
Chesapeake Energy Corp.(d) | 5.50 | 2/1/2026 | 85,000 | 85,000 | 89,675 | |||||||||||||||
Chesapeake Energy Corp.(d) | 5.88 | 2/1/2029 | 43,000 | 43,000 | 46,546 | |||||||||||||||
Comstock Resources, Inc.(d) | 5.88 | 1/15/2030 | 63,000 | 63,060 | 64,260 | |||||||||||||||
Comstock Resources, Inc.(d) | 6.75 | 3/1/2029 | 69,000 | 71,033 | 73,501 | |||||||||||||||
CVR Energy, Inc.(d) | 5.25 | 2/15/2025 | 245,000 | 245,000 | 245,125 | |||||||||||||||
CVR Energy, Inc.(d) | 5.75 | 2/15/2028 | 188,000 | 188,000 | 189,448 | |||||||||||||||
DCP Midstream Operating LP(d) | 6.45 | 11/3/2036 | 4,000 | 3,323 | 4,680 | |||||||||||||||
EnLink Midstream Partners LP | 4.15 | 6/1/2025 | 67,000 | 63,442 | 70,172 | |||||||||||||||
EnLink Midstream Partners LP | 4.85 | 7/15/2026 | 23,000 | 20,297 | 23,805 | |||||||||||||||
EnLink Midstream Partners LP | 5.45 | 6/1/2047 | 102,000 | 82,501 | 90,525 | |||||||||||||||
EnLink Midstream Partners LP | 5.60 | 4/1/2044 | 191,000 | 129,729 | 172,855 | |||||||||||||||
EQM Midstream Partners LP(d) | 4.50 | 1/15/2029 | 149,000 | 149,000 | 151,589 | |||||||||||||||
EQM Midstream Partners LP(d) | 4.75 | 1/15/2031 | 134,000 | 134,000 | 138,079 | |||||||||||||||
EQM Midstream Partners LP(d) | 6.00 | 7/1/2025 | 145,000 | 145,000 | 157,687 | |||||||||||||||
EQM Midstream Partners LP(d) | 6.50 | 7/1/2027 | 119,000 | 119,000 | 132,685 | |||||||||||||||
EQT Corp. | 8.50 | 2/1/2030 | 29,000 | 35,530 | 37,784 |
See accompanying Notes to the Financial Statements.
136
Table of Contents
Barings U.S. High Yield Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Oil and Gas (Continued) |
| |||||||||||||||||||
Genesis Energy LP / Genesis Energy Finance Corp. | 5.63 | % | 6/15/2024 | 56,000 | $ | 52,592 | $ | 56,140 | ||||||||||||
Genesis Energy LP / Genesis Energy Finance Corp. | 6.50 | 10/1/2025 | 390,000 | 374,269 | 393,412 | |||||||||||||||
Genesis Energy LP / Genesis Energy Finance Corp. | 8.00 | 1/15/2027 | 252,000 | 252,000 | 264,757 | |||||||||||||||
Harvest Midstream I LP(d) | 7.50 | 9/1/2028 | 262,000 | 266,218 | 284,532 | |||||||||||||||
Hilcorp Energy I LP / Hilcorp Finance Co.(d) | 5.75 | 10/1/2025 | 17,000 | 11,131 | 17,255 | |||||||||||||||
Hilcorp Energy I LP / Hilcorp Finance Co.(d) | 5.75 | 2/1/2029 | 65,000 | 65,000 | 67,742 | |||||||||||||||
Hilcorp Energy I LP / Hilcorp Finance Co.(d) | 6.00 | 2/1/2031 | 50,000 | 50,000 | 52,955 | |||||||||||||||
Hilcorp Energy I LP / Hilcorp Finance Co.(d) | 6.25 | 11/1/2028 | 142,000 | 124,639 | 150,875 | |||||||||||||||
ITT Holdings LLC(d) | 6.50 | 8/1/2029 | 244,000 | 244,000 | 249,273 | |||||||||||||||
MEG Energy Corp.(b),(d) | 7.13 | 2/1/2027 | 270,000 | 270,000 | 287,638 | |||||||||||||||
Murphy Oil Corp. | 6.38 | 7/15/2028 | 100,000 | 100,000 | 105,435 | |||||||||||||||
Nabors Industries Ltd.(d) | 7.25 | 1/15/2026 | 150,000 | 144,349 | 147,000 | |||||||||||||||
Nabors Industries Ltd.(d) | 7.50 | 1/15/2028 | 72,000 | 72,000 | 69,120 | |||||||||||||||
Neptune Energy Bondco PLC(b),(d) | 6.63 | 5/15/2025 | 242,000 | 242,118 | 248,461 | |||||||||||||||
NGL Energy Operating LLC / NGL Energy Finance Corp.(d) | 7.50 | 2/1/2026 | 305,000 | 316,166 | 320,250 | |||||||||||||||
Occidental Petroleum Corp. | 2.70 | 2/15/2023 | 14,000 | 10,339 | 14,311 | |||||||||||||||
Occidental Petroleum Corp. | 2.90 | 8/15/2024 | 38,000 | 24,796 | 38,855 | |||||||||||||||
Occidental Petroleum Corp. | 3.50 | 6/15/2025 | 75,000 | 57,327 | 76,688 | |||||||||||||||
Occidental Petroleum Corp. | 4.20 | 3/15/2048 | 12,000 | 8,570 | 11,220 | |||||||||||||||
Occidental Petroleum Corp. | 4.40 | 4/15/2046 | 78,000 | 55,932 | 74,919 | |||||||||||||||
Occidental Petroleum Corp. | 4.40 | 8/15/2049 | 31,000 | 22,275 | 29,760 | |||||||||||||||
Occidental Petroleum Corp. | 4.50 | 7/15/2044 | 32,000 | 23,280 | 30,800 | |||||||||||||||
Occidental Petroleum Corp. | 5.88 | 9/1/2025 | 193,000 | 193,113 | 214,712 | |||||||||||||||
Occidental Petroleum Corp. | 6.13 | 1/1/2031 | 299,000 | 309,127 | 350,951 | |||||||||||||||
Occidental Petroleum Corp. | 6.20 | 3/15/2040 | 217,000 | 198,344 | 245,366 | |||||||||||||||
Occidental Petroleum Corp. | 6.38 | 9/1/2028 | 155,000 | 154,507 | 180,962 | |||||||||||||||
Occidental Petroleum Corp. | 6.45 | 9/15/2036 | 86,000 | 79,222 | 102,822 | |||||||||||||||
Occidental Petroleum Corp. | 6.60 | 3/15/2046 | 139,000 | 113,792 | 165,229 | |||||||||||||||
Occidental Petroleum Corp. | 6.95 | 7/1/2024 | 36,000 | 23,771 | 40,553 | |||||||||||||||
Parkland Fuel Corp.(b),(d) | 5.88 | 7/15/2027 | 125,000 | 125,000 | 133,234 | |||||||||||||||
PBF Holding Co. LLC / PBF Finance Corp. | 6.00 | 2/15/2028 | 463,000 | 463,000 | 317,155 | |||||||||||||||
PBF Holding Co. LLC / PBF Finance Corp. | 7.25 | 6/15/2025 | 215,000 | 220,223 | 164,475 | |||||||||||||||
Range Resources Corp.(d) | 8.25 | 1/15/2029 | 87,000 | 87,761 | 98,093 | |||||||||||||||
Superior Plus LP / Superior General Partner, Inc.(d) | 4.50 | 3/15/2029 | 87,000 | 87,000 | 89,612 | |||||||||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp.(d) | 4.88 | 2/1/2031 | 227,000 | 227,000 | 245,727 | |||||||||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | 5.50 | 3/1/2030 | 6,000 | 5,459 | 6,598 | |||||||||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | 6.88 | 1/15/2029 | 24,000 | 23,782 | 27,039 | |||||||||||||||
Transocean Guardian Ltd.(d) | 5.88 | 1/15/2024 | 19,575 | 18,288 | 19,037 | |||||||||||||||
Transocean Poseidon Ltd.(d) | 6.88 | 2/1/2027 | 17,000 | 16,088 | 17,000 | |||||||||||||||
Transocean, Inc.(d) | 7.25 | 11/1/2025 | 163,000 | 122,098 | 141,810 | |||||||||||||||
Transocean, Inc.(d) | 7.50 | 1/15/2026 | 87,000 | 62,427 | 74,820 |
See accompanying Notes to the Financial Statements.
137
Table of Contents
Barings U.S. High Yield Fund 2021 Annual Report
SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Oil and Gas (Continued) |
| |||||||||||||||||||
Transocean, Inc.(d) | 8.00 | % | 2/1/2027 | 124,000 | $ | 103,850 | $ | 104,160 | ||||||||||||
Western Midstream Operating LP | 5.30 | 2/1/2030 | 56,000 | 50,263 | 62,720 | |||||||||||||||
Western Midstream Operating LP | 5.30 | 3/1/2048 | 157,000 | 121,284 | 167,205 | |||||||||||||||
Western Midstream Operating LP | 5.45 | 4/1/2044 | 79,000 | 64,752 | 85,123 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Oil and Gas | 8,762,575 | 8,348,087 | 8,939,001 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Personal and Non-Durable Consumer Products Mfg. Only — 0.3%*: |
| |||||||||||||||||||
Clearwater Paper Corp.(d) | 4.75 | 8/15/2028 | 177,000 | 177,000 | 176,336 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Personal Transportation — 0.3%*: |
| |||||||||||||||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.(d) | 6.50 | 6/20/2027 | 150,000 | 148,344 | 165,150 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Personal, Food and Miscellaneous — 0.3%*: |
| |||||||||||||||||||
Simmons Foods Inc / Simmons Prepared Foods Inc/Simmons Pet Food Inc/Simmons Feed(d) | 4.63 | 3/1/2029 | 153,000 | 153,000 | 154,330 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Printing and Publishing — 1.5%*: |
| |||||||||||||||||||
Cimpress plc(d) | 7.00 | 6/15/2026 | 427,000 | 445,127 | 450,131 | |||||||||||||||
McGraw Hill LLC / McGraw-Hill Global Education Finance, Inc.(d) | 8.00 | 11/30/2024 | 263,000 | 266,024 | 268,917 | |||||||||||||||
Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc.(d) | 10.75 | 6/1/2028 | 74,000 | 81,643 | 83,250 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Printing and Publishing | 764,000 | 792,794 | 802,298 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Retail Stores — 2.5%*: |
| |||||||||||||||||||
Ambience Merger Sub, Inc.(d) | 7.13 | 7/15/2029 | 162,000 | 162,000 | 163,417 | |||||||||||||||
L Brands, Inc. | 6.75 | 7/1/2036 | 52,000 | 62,860 | 65,130 | |||||||||||||||
L Brands, Inc. | 6.88 | 11/1/2035 | 160,000 | 193,331 | 202,800 | |||||||||||||||
Macy’s Retail Holdings LLC(d) | 5.88 | 4/1/2029 | 24,000 | 24,000 | 25,810 | |||||||||||||||
Magic Mergeco, Inc.(d) | 5.25 | 5/1/2028 | 91,000 | 91,000 | 93,360 | |||||||||||||||
Magic Mergeco, Inc.(d) | 7.88 | 5/1/2029 | 223,000 | 223,000 | 229,969 | |||||||||||||||
NMG Holding Co., Inc. / Neiman Marcus Group LLC(d) | 7.13 | 4/1/2026 | 263,000 | 266,077 | 280,095 | |||||||||||||||
Nordstrom, Inc. | 4.00 | 3/15/2027 | 35,000 | 35,164 | 36,334 | |||||||||||||||
Nordstrom, Inc. | 4.38 | 4/1/2030 | 35,000 | 35,042 | 36,505 | |||||||||||||||
Nordstrom, Inc. | 5.00 | 1/15/2044 | 186,000 | 179,291 | 186,159 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Retail Stores | 1,231,000 | 1,271,765 | 1,319,579 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Telecommunications — 9.0%*: |
| |||||||||||||||||||
Altice Financing SA(b),(d) | 5.00 | 1/15/2028 | 107,000 | 107,000 | 104,878 | |||||||||||||||
Altice France SA(b),(d) | 5.13 | 7/15/2029 | 221,000 | 221,000 | 222,083 | |||||||||||||||
Banff Merger Sub, Inc.(d) | 9.75 | 9/1/2026 | 185,000 | 183,655 | 194,712 | |||||||||||||||
Boxer Parent Co., Inc.(d) | 9.13 | 3/1/2026 | 158,000 | 158,000 | 166,772 | |||||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | 4.50 | 5/1/2032 | 215,000 | 222,685 | 222,794 |
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
EFFECTIVE INTEREST RATE | DUE DATE | PRINCIPAL‡‡ | COST | FAIR VALUE | ||||||||||||||||
Corporate Bonds (Continued) |
| |||||||||||||||||||
Telecommunications (Continued) |
| |||||||||||||||||||
CommScope Technologies LLC(d) | 5.00 | % | 3/15/2027 | 305,000 | $ | 294,939 | $ | 312,244 | ||||||||||||
CommScope Technologies LLC(d) | 6.00 | 6/15/2025 | 34,000 | 30,899 | 34,723 | |||||||||||||||
Consolidated Communications, Inc.(d) | 6.50 | 10/1/2028 | 250,000 | 250,000 | 268,937 | |||||||||||||||
Frontier Communications Holdings LLC(d) | 5.00 | 5/1/2028 | 200,000 | 200,000 | 206,766 | |||||||||||||||
Frontier Communications Holdings LLC(d) | 6.75 | 5/1/2029 | 119,000 | 119,000 | 126,529 | |||||||||||||||
Hughes Satellite Systems Corp. | 6.63 | 8/1/2026 | 426,000 | 429,877 | 477,652 | |||||||||||||||
LCPR Senior Secured Financing DAC(d) | 5.13 | 7/15/2029 | 245,000 | 245,000 | 252,762 | |||||||||||||||
LCPR Senior Secured Financing DAC(b),(d) | 6.75 | 10/15/2027 | 200,000 | 200,000 | 215,497 | |||||||||||||||
Midcontinent Communications / Midcontinent Finance Corp.(d) | 5.38 | 8/15/2027 | 149,000 | 149,000 | 156,453 | |||||||||||||||
Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc.(d) | 6.00 | 2/15/2028 | 162,000 | 162,000 | 162,355 | |||||||||||||||
Sprint Capital Corp. | 6.88 | 11/15/2028 | 648,000 | 652,930 | 831,060 | |||||||||||||||
Sprint Capital Corp. | 8.75 | 3/15/2032 | 52,000 | 72,310 | 79,040 | |||||||||||||||
Telecom Italia Capital SA(b) | 6.00 | 9/30/2034 | 62,000 | 71,785 | 71,533 | |||||||||||||||
Uniti Group LP / Uniti Fiber Holdings, Inc. / CSL Capital LLC(d) | 7.13 | 12/15/2024 | 23,000 | 22,899 | 23,776 | |||||||||||||||
Uniti Group LP / Uniti Fiber Holdings, Inc. / CSL Capital LLC(d) | 7.88 | 2/15/2025 | 13,000 | 13,727 | 13,894 | |||||||||||||||
Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC(d) | 4.75 | 4/15/2028 | 99,000 | 99,000 | 98,752 | |||||||||||||||
Virgin Media Finance plc(b),(d) | 5.00 | 7/15/2030 | 117,000 | 117,000 | 117,585 | |||||||||||||||
Virgin Media Secured Finance plc(b),(d) | 4.50 | 8/15/2030 | 250,000 | 254,779 | 251,875 | |||||||||||||||
Windstream Escrow LLC / Windstream Escrow Finance Corp.(d) | 7.75 | 8/15/2028 | 163,000 | 164,610 | 167,890 | |||||||||||||||
Ziggo BV(b),(d) | 5.50 | 1/15/2027 | 51,000 | 49,342 | 52,976 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Telecommunications | 4,454,000 | 4,491,437 | 4,833,538 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Utilities — 1.0%*: |
| |||||||||||||||||||
FirstEnergy Corp. | 2.25 | 9/1/2030 | 75,000 | 71,979 | 72,000 | |||||||||||||||
FirstEnergy Corp. | 5.35 | 7/15/2047 | 83,000 | 101,949 | 99,517 | |||||||||||||||
FirstEnergy Corp. | 7.38 | 11/15/2031 | 23,000 | 30,796 | 31,462 | |||||||||||||||
PG&E Corp. | 5.00 | 7/1/2028 | 95,000 | 95,000 | 96,056 | |||||||||||||||
PG&E Corp. | 5.25 | 7/1/2030 | 82,000 | 82,000 | 82,779 | |||||||||||||||
Pike Corp.(d) | 5.50 | 9/1/2028 | 167,000 | 167,000 | 173,680 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Utilities | 525,000 | 548,724 | 555,494 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Corporate Bonds | 43,399,680 | 42,996,756 | 45,471,974 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Fixed Income | 49,259,326 | 48,731,348 | 51,311,629 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total Investments | 49,314,489 | 48,990,313 | 51,616,160 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Other assets and liabilities — 3.9%* |
| 2,103,370 | ||||||||||||||||||
|
| |||||||||||||||||||
Net Assets — 100.0%* |
| $53,719,530 | ||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements.
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SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2021
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 | 91.6% | |||||
Canada | 2.7% | |||||
United Kingdom | 1.4% | |||||
Zambia | 1.3% | |||||
Other (Individually less than 1%) | 3.0% | |||||
|
| |||||
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, 2021. Bank loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. |
See accompanying Notes to the Financial Statements.
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June 30, 2021
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, 2021, the Trust consists of six 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 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 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.
The Trust’s Board of Trustees has approved the reorganization of each Fund into certain series MassMutual Funds that are advised by an affiliate of Barings LLC (the “Adviser”) and are sub-advised by the Adviser. Each proposed reorganization is subject to approval by the shareholders of each Fund at a shareholders’ meeting expected to be held in September, 2021. No assurance can be given that the reorganizations will occur. None of the proposed reorganizations is contingent upon any other proposed reorganization.
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 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 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, consisting of loans, bonds and notes. Investments may be based in U.S. and non-U.S. markets, as well as over-the-counter and exchange traded derivatives.
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June 30, 2021
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 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 the following 4 classes of shares: Class A, C, Y and L and U.S. High Yield Fund which has 3 classes of shares: Class C, I and Y), each with different expenses and dividends. Class L of Active Short Duration Bond Fund began operations on May 1, 2020. Class I of Active Short Duration Bond Fund ceased operations on June 8, 2021. Class A of U.S. High Yield Fund ceased operations on June 8, 2021. With the exception of Active Short Duration Bond Fund, which has no sales charge on any class, a front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. There is no front-end sales charge in the case of Class C, I, and Y shares. There may be a contingent deferred sales charge (“CDSC”) in certain cases as follows: 1) Effective January 15, 2018, Class A Shares purchased without an initial sales charge in accounts aggregating $500,000 or more are subject to a 1.00% contingent deferred sales charge (CDSC) if the shares are tendered and accepted for repurchase within 18 months of purchase (or within 12 months for shares purchased prior to January 15, 2018). The 18-month period (or 12-month period for shares purchased prior to January 15, 2018) begins on the day on which the purchase was made; and 2) Class C shares redeemed
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June 30, 2021
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, 2021. The assets and liabilities shown in the Statements of Assets and Liabilities related to cash collateral held at broker on open futures contracts, cash collateral held at broker on open forward foreign currency exchange contracts and cash collateral held at broker on open swap contracts are determined using Level 1 inputs as of June 30, 2021.
A Valuation Committee, made up of officers of the Trust and employees of the Adviser, is responsible for determining, in accordance with the Funds’ valuation policies and procedures approved by the Board; (1) whether market quotations are readily available for investments held by the Fund; and (2) the fair value of investments held by the Fund for which market quotations are not readily available or are deemed not reliable by the Adviser. In certain cases, authorized pricing service vendors may not provide prices for a security held by the Funds, or the price provided by such pricing service vendor is deemed unreliable by the Adviser. In such cases, the Funds may use market maker quotations provided by an established market maker for that security (i.e., broker quotes) to value the security if the Adviser has experience obtaining quotations from the market maker and the Adviser determines that quotations obtained from the market maker in the past have generally been reliable (or, if the Adviser has no such experience with respect to a market maker, it determines based on other information available to it that quotations to be obtained by it from the market maker are reasonably likely to be reliable). In any such case, the Adviser will review any market quotations so obtained in light of other information in its possession for their general reliability.
Bond investments are valued on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Bank loan positions are valued at the bid price from one or more brokers or dealers as obtained from a pricing service. In determining the value
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June 30, 2021
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 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.)
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June 30, 2021
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, 2021 in valuing the Funds’ investments:
Global Floating Rate Fund
DESCRIPTION | LEVEL 1 | LEVEL 2 | LEVEL 3*** | TOTAL INVESTMENTS | ||||||||||||
Assets: |
| |||||||||||||||
Equities: |
| |||||||||||||||
Common Stocks | $ | 344,123 | $ | 643,616 | $ | 946,747 | $ | 1,934,486 | ||||||||
Warrant | – | 30,061 | – | 30,061 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equities | 344,123 | 673,677 | 946,747 | 1,964,547 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Fixed Income: |
| |||||||||||||||
Bank Loans | – | 329,724,230 | 694,869 | 330,419,099 | ||||||||||||
Corporate Bonds | – | 14,900,663 | 0 | 14,900,663 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income | – | 344,624,893 | 694,869 | 345,319,762 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Securities: |
| |||||||||||||||
Forward Foreign Currency Exchange Contracts | – | 2,141,767 | – | 2,141,767 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 344,123 | $ | 347,440,337 | $ | 1,641,616 | $ | 349,426,076 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments (including Derivative Securities) | $ | 344,123 | $ | 347,440,337 | $ | 1,641,616 | $ | 349,426,076 | ||||||||
|
|
|
|
|
|
|
|
*** | None of the 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 period ended June 30, 2021 is not presented. |
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
June 30, 2021
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, 2021:
TYPE OF ASSETS | FAIR VALUE AS OF JUNE 30, 2021 | VALUATION TECHNIQUE(S) | UNOBSERVABLE INPUT | |||||
Equities | ||||||||
CTI Foods Holding Co, LLC | $ | 594,652 | Discounted Cash Flow | Average Enterprise Valuation Multiple: 3 year projection, 7.1x; EBITDA: $52.5 million; 15% discount rate | ||||
Travelex Topco Ltd. | $ | — | Zero Value | Valued at zero | ||||
Don Jersey Topco Ltd. | $ | 313,544 | Priced at Cost | $1.07; Trade Price | ||||
Boomerang Tube LLC | $ | — | Zero Value | Valued at zero | ||||
Fieldwood Energy LLC | $ | 33,429 | Priced at Cost | $55.53; Trade Price | ||||
Sabine Oil & Gas LLC | $ | 5,122 | Withholding Tax Reclaim | Residual Cash | ||||
Bank Loans | ||||||||
CTI Foods Holding Co, | $ | 316,422 | Discounted Cash Flow | Average Enterprise Valuation Multiple: 3 year projection, 7.1x; EBITDA: $52.5 million;: 15% discount rate | ||||
CTI Foods Holding Co, | $ | 196,443 | Discounted Cash Flow | Average Enterprise Valuation Multiple: 3 year projection, 7.1x; EBITDA: $52.5 million;: 15% discount rate | ||||
Boomerang Tube LLC | $ | — | Zero Value | Valued at zero | ||||
Naviera Armas SA, Term Loan B | $ | 126,746 | Priced at Cost | Cost less OID | ||||
Naviera Armas SA, Term Loan A | $ | 55,258 | Priced at Cost | Cost less OID | ||||
Corporate Bonds | ||||||||
Galapagos S.A | $ | — | Zero Value | Valued at zero | ||||
Travelex Financing plc | $ | — | Zero Value | Valued at zero |
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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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
June 30, 2021
Global Credit Income Opportunities Fund
DESCRIPTION | LEVEL 1 | LEVEL 2 | LEVEL 3*** | TOTAL INVESTMENTS | ||||||||||||
Assets: |
| |||||||||||||||
Equities: |
| |||||||||||||||
Common Stocks | $ | 868,916 | $ | 577,436 | $ | 412,145 | $ | 1,858,497 | ||||||||
Warrant | – | 88,284 | – | 88,284 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equities | 868,916 | 665,720 | 412,145 | 1,946,781 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Fixed Income: |
| |||||||||||||||
Asset-Backed Securities | – | 18,392,721 | – | 18,392,721 | ||||||||||||
Bank Loans | – | 89,105,277 | 303,310 | 89,408,587 | ||||||||||||
Corporate Bonds | – | 85,954,859 | 0 | 85,954,859 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income | – | 193,452,857 | 303,310 | 193,756,167 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Securities: |
| |||||||||||||||
Forward Foreign Currency Exchange Contracts | – | 1,472,124 | – | 1,472,124 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 868,916 | $ | 195,590,701 | $ | 715,455 | $ | 197,175,072 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments (including Derivative Securities) | $ | 868,916 | $ | 195,590,701 | $ | 715,455 | $ | 197,175,072 | ||||||||
|
|
|
|
|
|
|
|
*** | None of the 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 period ended June 30, 2021 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, 2021:
TYPE OF ASSETS | FAIR VALUE AS OF JUNE 30, 2021 | VALUATION TECHNIQUE(S) | UNOBSERVABLE INPUT | |||||
Equities | ||||||||
Innovation Group | $ | – | Zero Value | Valued at zero | ||||
Travelex Topco Ltd. | $ | – | Zero Value | Valued at zero | ||||
Don Jersey Topco Ltd. | $ | 275,593 | Priced at Cost | $1.07; Trade Price | ||||
MModal, Inc. | $ | 3,213 | Analyst Priced | Analyst verified stale price and adjusted for cash receipts | ||||
Boomerang Tube LLC | $ | – | Zero Value | Valued at zero | ||||
Fieldwood Energy LLC | $ | 34,151 | Priced at Cost | $55.53; Trade Price | ||||
Tourmaline Oil Corp. | $ | 99,188 | Withholding Tax Reclaim | Residual cash | ||||
Bank Loans | ||||||||
Innovation Group plc (The) | $ | 93,056 | Priced at Cost | Priced at restructure cost | ||||
Innovation Group plc (The) | $ | 40,598 | Priced at Cost | Priced at restructure cost | ||||
Innovation Group plc (The) | $ | 39,327 | Priced at Cost | Priced at restructure cost | ||||
Innovation Group plc (The) | $ | 39,327 | Priced at Cost | Priced at restructure cost |
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
June 30, 2021
TYPE OF ASSETS | FAIR VALUE AS OF JUNE 30, 2021 | VALUATION TECHNIQUE(S) | UNOBSERVABLE INPUT | |||||
Boomerang Tube LLC | $ | – | Zero Value | Valued at zero | ||||
Naviera Armas Term Loan B | $ | 63,373 | Priced at Cost | Cost less OID | ||||
Naviera Armas Term Loan A | $ | 27,629 | Priced at Cost | Cost less OID | ||||
Corporate Bonds | ||||||||
Travelex Financing PLC | $ | – | Zero Value | Valued at zero |
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 | $ | – | $ | 294,174,532 | $ | 8,579,520 | $ | 302,754,052 | ||||||||
Corporate Bonds | – | 536,643,914 | – | 536,643,914 | ||||||||||||
Mortgage-Backed Securities | – | 156,038,249 | – | 156,038,249 | ||||||||||||
U.S. Treasury & Government Agencies | – | 5,147,656 | – | 5,147,656 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income | – | 992,004,351 | 8,579,520 | 1,000,583,871 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchased Options: |
| |||||||||||||||
Call Option Purchased | – | 163,782 | – | 163,782 | ||||||||||||
Put Options Purchased | – | 1,136,375 | – | 1,136,375 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Purchased Options | – | 1,300,157 | – | 1,300,157 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments: |
| |||||||||||||||
Commercial Paper | – | 97,941,813 | – | 97,941,813 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | – | 97,941,813 | – | 97,941,813 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Securities: |
| |||||||||||||||
Futures* | 1,346,751 | – | – | 1,346,751 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 1,346,751 | $ | 1,091,246,321 | $ | 8,579,520 | $ | 1,101,172,592 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: |
| |||||||||||||||
Derivative Securities: |
| |||||||||||||||
Futures* | (483,255 | ) | – | – | (483,255 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments (including Derivative Securities) | $ | 863,496 | $ | 1,091,246,321 | $ | 8,579,520 | $ | 1,100,689,337 | ||||||||
|
|
|
|
|
|
|
|
* | Futures are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statement of Assets and Liabilities. |
*** | None of the 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 period ended June 30, 2021 is not presented. |
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
June 30, 2021
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, 2021:
TYPE OF ASSETS | FAIR VALUE AS OF JUNE 30, 2021 | VALUATION TECHNIQUE(S) | UNOBSERVABLE INPUT | |||||
Asset-Backed Securities | ||||||||
GCI Funding LLC | $ | 1,293,667 | Priced at Cost | $99.97; Trade Price | ||||
SLM Student Loan Trust 2006-2 | $ | 2,096,680 | Broker Quote | $530: Broker quote depth of 1 | ||||
SoFi Alternative Trust 2019-C | $ | 2,089,291 | Broker Quote | $106.54: Broker quote depth of 1 | ||||
Thrust Engine Leasing | $ | 3,099,882 | Priced at Cost | $99.99; Trade Price |
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.
Emerging Markets Debt Blended Total Return Fund
DESCRIPTION | LEVEL 1 | LEVEL 2 | LEVEL 3*** | TOTAL INVESTMENTS | ||||||||||||
Assets: |
| |||||||||||||||
Fixed Income: |
| |||||||||||||||
Corporate Bonds | $ | – | $ | 54,009,551 | $ | 782,623 | $ | 54,792,174 | ||||||||
Foreign Government | – | 59,547,130 | – | 59,547,130 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income | – | 113,556,681 | 782,623 | 114,339,304 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchased Options: |
| |||||||||||||||
Call Options Purchased | – | 6,024 | – | 6,024 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Purchased Options | – | 6,024 | – | 6,024 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Securities: |
| |||||||||||||||
Centrally Cleared Interest Rate Swaps* | – | 207,960 | – | 207,960 | ||||||||||||
Forward Foreign Currency Exchange Contracts | – | 2,611,998 | – | 2,611,998 | ||||||||||||
OTC – Credit Default Swaps | – | 47,274 | – | 47,274 | ||||||||||||
OTC – Cross Currency Swaps | – | 88,396 | – | 88,396 | ||||||||||||
OTC – Interest Rate Swaps | – | 120,175 | – | 120,175 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Derivative Securities | – | 3,075,803 | – | 3,075,803 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | – | $ | 116,638,508 | $ | 782,623 | $ | 117,421,131 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: |
| |||||||||||||||
Derivative Securities: |
| |||||||||||||||
Call Options Written | – | (57,131 | ) | – | (57,131 | ) | ||||||||||
Centrally Cleared Interest Rate Swaps* | – | (636,919 | ) | – | (636,919 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | – | (711,769 | ) | – | (711,769 | ) | ||||||||||
Futures* | (137,074 | ) | – | – | (137,074 | ) | ||||||||||
OTC – Credit Default Swaps | – | (135,453 | ) | – | (135,453 | ) | ||||||||||
OTC – Cross Currency Swaps | – | (422,446 | ) | – | (422,446 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Derivative Securities | (137,074 | ) | (1,963,718 | ) | – | (2,100,792 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments (including Derivative Securities) | $ | (137,074 | ) | $ | 114,674,790 | $ | 782,623 | $ | 115,320,339 | |||||||
|
|
|
|
|
|
|
|
* | Centrally Cleared Swaps and Futures are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statement of Assets and Liabilities. |
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June 30, 2021
*** | None of the 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, 2021 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, 2021:
TYPE OF ASSETS | FAIR VALUE AS OF JUNE 30, 2021 | VALUATION TECHNIQUE(S) | UNOBSERVABLE INPUT | |||||
Foreign Government | ||||||||
Asian Development Bank 7/14/21 | $ | 107,014 | Broker Quote | $31.47: Broker quote depth of 1 | ||||
European Bank for Reconstruction and Development 10/29/22 | $ | 375,642 | Broker Quote | $31.30: Broker quote depth of 1 | ||||
International Bank for Reconstruction and Development 11/22/21 | $ | 299,967 | Broker Quote | $31.25: 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.
Global Emerging Markets Equity Fund
DESCRIPTION | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL INVESTMENTS | ||||||||||||
Assets: |
| |||||||||||||||
Equities: |
| |||||||||||||||
Common Stocks | $ | 13,369,142 | $ | – | $ | – | $ | 13,369,142 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equities | 13,369,142 | – | – | 13,369,142 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 13,369,142 | $ | – | $ | – | $ | 13,369,142 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 13,369,142 | $ | – | $ | – | $ | 13,369,142 | ||||||||
|
|
|
|
|
|
|
|
U.S. High Yield Fund
DESCRIPTION | LEVEL 1 | LEVEL 2 | LEVEL 3*** | TOTAL INVESTMENTS | ||||||||||||
Assets: |
| |||||||||||||||
Equities: |
| |||||||||||||||
Common Stocks | $ | 268,212 | $ | 5 | $ | 36,314 | $ | 304,531 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equities | 268,212 | 5 | 36,314 | 304,531 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Fixed Income: |
| |||||||||||||||
Bank Loans | – | 5,839,655 | – | 5,839,655 | ||||||||||||
Corporate Bonds | – | 45,471,974 | – | 45,471,974 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income | – | 51,311,629 | – | 51,311,629 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 268,212 | $ | 51,311,634 | $ | 36,314 | $ | 51,616,160 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 268,212 | $ | 51,311,634 | $ | 36,314 | $ | 51,616,160 | ||||||||
|
|
|
|
|
|
|
|
*** | None of the 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, 2021 is not presented. |
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
June 30, 2021
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, 2021:
TYPE OF ASSETS | FAIR VALUE AS OF JUNE 30, 2021 | VALUATION TECHNIQUE(S) | UNOBSERVABLE INPUT | |||||
Equities | ||||||||
Fieldwood Energy LLC | $ | 3,554 | Priced at Cost | $55.53; Trade Price | ||||
Tourmaline Oil Corp. | $ | 32,760 | Withholding Tax Reclaim | Residual cash |
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, 2021, 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
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
June 30, 2021
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. In October 2020, ASU 2017-08 was amended by Accounting Standards Update 2020-08, Codification Improvements to Subtopic 310-20, Receivables – Nonrefundable Fees and Other Costs (“ASU 2020-08”). ASU 2020-08 requires entities to reevaluate whether callable debt securities fall within the scope of ASU 2017-08 at each reporting period. ASU 2020-08 also amends the relevant guidance to require premiums to be amortized to the “next call date” rather than the “earliest call date,” and further clarifies the definition of “next call date.” ASU 2020-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2020. Early adoption of ASU 2020-08 is not permitted. Management is currently evaluating the impact of applying ASU 2020-08.
Realized gains and losses on investment transactions and unrealized appreciation and depreciation of investments are reported for financial statement and Federal income tax purposes on the identified cost method.
Expenses are recorded on the accrual basis as incurred.
E. | Redemption Fees |
The Funds do not have redemption fees.
F. | Use of Estimates |
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates.
G. | Federal Income Taxation |
The Funds have elected to be taxed as a Regulated Investment Company (“RIC”) under sub-chapter M of the U.S. Internal Revenue Code of 1986, as amended, and intend to maintain this qualification and to distribute substantially all of their net taxable income to their shareholders. As of June 30, 2021, 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
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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”).
Certain Funds may receive or pay fees associated with investment in bank loans. These fees are recorded as income when received by the Funds and are shown as Net bank loan fee income on the Statements of Operations. These fees include all associated income and expenses, including but not limited to consent fee income, amendment fees, associated closing fees and
other fees associated with the processing and maintenance of these types of loans.
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, 2021, the following Funds had unfunded loan commitments:
FUND | SECURITY | PAR AMOUNT | ||||
Global Floating Rate Fund | TricorBraun Holdings, Inc., 3/3/28 | $ | 69,787 | |||
Global Floating Rate Fund | DG Investment Intermediate Holdings 2, Inc., 3/31/28 | $ | 45,336 | |||
Global Floating Rate Fund | Fluid-Flow Products, Inc., 3/31/28 | $ | 117,431 | |||
Global Floating Rate Fund | Redstone Buyer LLC, 4/27/28 | $ | 156,157 | |||
Global Floating Rate Fund | Naviera Armas SA, 7/31/21 | $ | 9,136 | |||
Global Credit Income Opportunities Fund | TricorBraun Holdings, Inc., 3/3/28 | $ | 23,822 | |||
Global Credit Income Opportunities Fund | DG Investment Intermediate Holdings 2, Inc., 3/31/28 | $ | 30,224 | |||
Global Credit Income Opportunities Fund | Redstone Buyer LLC, 4/27/28 | $ | 156,157 | |||
Global Credit Income Opportunities Fund | Naviera Armas SA, 7/31/21 | $ | 4,568 |
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
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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 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
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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.
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.
Credit default swaps are fair valued based upon quotations from counterparties, brokers or market-makers and the change in value, if any, is recorded as an unrealized appreciation or depreciation. For a credit default swap sold by a Fund, payment of the agreed-upon amount made by a Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation purchased/received. For a credit default swap purchased by a Fund, the agreed-upon amount received by a Fund in the event of default of
the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by a Fund.
Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the custodian bank or broker in accordance with the swap agreement. The value and credit rating of each credit default swap where a Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the central clearing party daily.
Entering into swap agreements involves counterparty and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, that there may be unfavorable changes in interest rates, and, in the case of credit default swaps, that the Adviser does not 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
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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, 2021, the Funds’ direct investment in derivatives consisted of forward foreign currency exchange contracts, futures contracts, cross currency swaps, credit default swaps, interest rate swaps, purchased options and written options.
The following is a summary of the fair value of derivative instruments held directly by the Funds as of June 30, 2021:
Global Floating Rate Fund
ASSET DERIVATIVES | FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | CREDIT RISK | EQUITY RISK | TOTAL | |||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | 2,141,767 | $ | – | $ | – | $ | – | $ | 2,141,767 | ||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||
REALIZED GAIN (LOSS) | ||||||||||||||||||||
Forward Foreign Currency Exchange Contracts(h) | $ | (3,866,893 | ) | $ | – | $ | – | $ | – | $ | (3,866,893 | ) | ||||||||
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|
|
|
|
|
|
|
|
| |||||||||||
CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) | ||||||||||||||||||||
Forward Foreign Currency Exchange Contracts(m) | $ | 1,581,637 | $ | – | $ | – | $ | – | $ | 1,581,637 | ||||||||||
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|
|
Global Credit Income Opportunities Fund
ASSET DERIVATIVES | FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | CREDIT RISK | EQUITY RISK | TOTAL | |||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | 1,472,124 | $ | – | $ | – | $ | – | $ | 1,472,124 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
REALIZED GAIN (LOSS) | ||||||||||||||||||||
Forward Foreign Currency Exchange Contracts(h) | $ | (3,416,982 | ) | $ | – | $ | – | $ | – | $ | (3,416,982 | ) | ||||||||
Purchased Options(k) | – | – | – | (692,562 | ) | (692,562 | ) | |||||||||||||
Written Options(l) | – | – | – | 403,346 | 403,346 | |||||||||||||||
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|
|
|
|
|
|
| |||||||||||
Total | $ | (3,416,982 | ) | $ | – | $ | – | $ | (289,216 | ) | $ | (3,706,198 | ) | |||||||
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|
| |||||||||||
CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) | ||||||||||||||||||||
Forward Foreign Currency Exchange Contracts(m) | $ | 1,024,985 | $ | – | $ | – | $ | – | $ | 1,024,985 | ||||||||||
Purchased Options(p) | – | – | – | (37,712 | ) | (37,712 | ) | |||||||||||||
Written Options(q) | – | – | – | 18,451 | 18,451 | |||||||||||||||
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|
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|
| |||||||||||
Total | $ | 1,024,985 | $ | – | $ | – | $ | (19,261 | ) | $ | 1,005,724 | |||||||||
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Active Short Duration Bond Fund
ASSET DERIVATIVES | FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | CREDIT RISK | EQUITY RISK | TOTAL | |||||||||||||||
Futures Contracts(c) | $ | – | $ | 1,346,751 | $ | – | $ | – | $ | 1,346,751 | ||||||||||
Purchased Options(f) | – | 1,300,157 | – | – | 1,300,157 | |||||||||||||||
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|
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|
| |||||||||||
Total | $ | – | $ | 2,646,908 | $ | – | $ | – | $ | 2,646,908 | ||||||||||
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| |||||||||||
LIABILITY DERIVATIVES | ||||||||||||||||||||
Futures Contracts(c) | $ | – | $ | (483,255 | ) | $ | – | $ | – | $ | (483,255 | ) | ||||||||
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| |||||||||||
REALIZED GAIN (LOSS) | ||||||||||||||||||||
Futures Contracts(i) | $ | – | $ | 2,767,984 | $ | – | $ | – | $ | 2,767,984 | ||||||||||
Swap Contracts(j) | – | – | (340,586 | ) | – | (340,586 | ) | |||||||||||||
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|
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| |||||||||||
Total | $ | – | $ | 2,767,984 | $ | (340,586 | ) | $ | – | $ | 2,427,398 | |||||||||
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| |||||||||||
CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) | ||||||||||||||||||||
Futures Contracts(n) | $ | – | $ | 1,889,061 | $ | – | $ | – | $ | 1,889,061 | ||||||||||
Swap Contracts(o) | – | – | 121,089 | – | 121,089 | |||||||||||||||
Purchased Options(p) | – | 165,691 | – | – | 165,691 | |||||||||||||||
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| |||||||||||
Total | $ | – | $ | 2,054,752 | $ | 121,089 | $ | – | $ | 2,175,841 | ||||||||||
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Emerging Markets Debt Blended Total Return Fund
ASSET DERIVATIVES | FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | CREDIT RISK | EQUITY RISK | TOTAL | |||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | 2,611,998 | $ | – | $ | – | $ | – | $ | 2,611,998 | ||||||||||
Purchased Options(f) | 6,024 | – | – | – | 6,024 | |||||||||||||||
OTC Swap Contracts(d) | 88,396 | 120,175 | 47,274 | – | 255,845 | |||||||||||||||
Centrally Cleared Swap Contracts(e) | – | 207,960 | – | – | 207,960 | |||||||||||||||
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|
|
|
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|
| |||||||||||
Total | $ | 2,706,418 | $ | 328,135 | $ | 47,274 | $ | – | $ | 3,081,827 | ||||||||||
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| |||||||||||
LIABILITY DERIVATIVES | ||||||||||||||||||||
Forward Foreign Currency Exchange Contracts(b) | $ | (711,769 | ) | $ | – | $ | – | $ | – | $ | (711,769 | ) | ||||||||
Futures Contracts(c) | – | (137,074 | ) | – | – | (137,074 | ) | |||||||||||||
Written Options(g) | – | (57,131 | ) | – | – | (57,131 | ) | |||||||||||||
OTC Swap Contracts(d) | (422,446 | ) | – | (135,453 | ) | – | (557,899 | ) | ||||||||||||
Centrally Cleared Swap Contracts(e) | – | (636,919 | ) | – | – | (636,919 | ) | |||||||||||||
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|
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|
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|
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| |||||||||||
Total | $ | (1,134,215 | ) | $ | (831,124 | ) | $ | (135,453 | ) | $ | – | $ | (2,100,792 | ) | ||||||
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REALIZED GAIN (LOSS) | FOREIGN EXCHANGE CONTRACTS RISK | INTEREST RATE RISK | CREDIT RISK | EQUITY RISK | TOTAL | |||||||||||||||
Forward Foreign Currency Exchange Contracts(h) | $ | 931,956 | $ | – | $ | – | $ | – | $ | 931,956 | ||||||||||
Futures Contracts(i) | – | 374,429 | – | – | 374,429 | |||||||||||||||
Swap Contracts(j) | (358,096 | ) | 1,798,057 | 959,836 | – | 2,399,797 | ||||||||||||||
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|
|
|
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|
|
| |||||||||||
Total | $ | 573,860 | $ | 2,172,486 | $ | 959,836 | $ | – | $ | 3,706,182 | ||||||||||
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| |||||||||||
CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) | ||||||||||||||||||||
Forward Foreign Currency Exchange Contracts(m) | $ | 1,045,623 | $ | – | $ | – | $ | – | $ | 1,045,623 | ||||||||||
Futures Contracts(n) | – | (137,074 | ) | – | – | (137,074 | ) | |||||||||||||
Swap Contracts(o) | (785,875 | ) | (3,032,380 | ) | (410,670 | ) | – | (4,228,925 | ) | |||||||||||
Purchased Options(p) | 429 | – | – | – | 429 | |||||||||||||||
Written Options(q) | – | 560,016 | – | – | 560,016 | |||||||||||||||
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|
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|
| |||||||||||
Total | $ | 260,177 | $ | (2,609,438 | ) | $ | (410,670 | ) | $ | – | $ | (2,759,931 | ) | |||||||
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(a) | Statements of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts. |
(b) | Statements of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts. |
(c) | Statements of Assets and Liabilities location: 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. |
(d) | Statements of Assets and Liabilities location: Swap contracts, at fair value. |
(e) | Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/ depreciation of swap contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
(f) | Statements of Assets and Liabilities location: Investments, at fair value. |
(g) | Statements of Assets and Liabilities location: Written options, at fair value. |
(h) | Statements of Operations location: Net realized gain (loss) on forward foreign currency exchange contracts. |
(i) | Statements of Operations location: Net realized gain (loss) on futures contracts. |
(j) | Statements of Operations location: Net realized gain on swap contracts. |
(k) | Statements of Operations location: Net realized gain (loss) on purchased options. |
(l) | Statements of Operations location: Net realized gain (loss) on written options. |
(m) | Statements of Operations location: Net change in unrealized appreciation on forward foreign currency exchange contracts. |
(n) | Statements of Operations location: Net change in unrealized appreciation (depreciation) on futures contracts. |
(o) | Statements of Operations location: Net change in unrealized appreciation (depreciation) on swap contracts. |
(p) | Statements of Operations location: Net change in unrealized appreciation (depreciation) on purchased option contracts. |
(q) | Statements of Operations location: Net change in unrealized appreciation (depreciation) on written options. |
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NUMBER OF CONTRACTS, NOTIONAL AMOUNTS, OR SHARES/UNITS* | ||||||||||||||||||||||||
FUND NAME | FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS | FUTURES CONTRACTS | OTC SWAP CONTRACTS | CENTRALLY CLEARED SWAP CONTRACTS | PURCHASED OPTIONS | WRITTEN OPTIONS | ||||||||||||||||||
GLOBAL FLOATING RATE FUND | $ | 56,227,227 | – | $ | – | $ | – | $ | – | $ | – | |||||||||||||
GLOBAL CREDIT INCOME OPPORTUNITIES FUND | 48,262,830 | – | – | – | 5,600 | 5,600 | ||||||||||||||||||
ACTIVE SHORT DURATION BOND FUND | – | 2,851 | – | 15,725,000 | 32,248,250 | – | ||||||||||||||||||
EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND | 80,015,456 | 34 | 30,349,505 | 34,372,884 | 5,567,281 | 31,315,956 |
* | Amount(s) disclosed represent average number of contracts for futures contracts and notional amounts for forward contracts, swap contracts and purchased/written options, based on absolute values, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the period ended June 30, 2021. |
K. | Disclosures about Offsetting Assets and Liabilities |
The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”). These disclosure requirements are intended to help better assess the effect or potential effect of offsetting arrangements on a Fund’s financial position. In addition, FASB issued Accounting Standards Update No. 2013-01 “Clarifying the Scope of Offsetting Assets and Liabilities” (“ASU 2013-01”), specifying which transactions are subject to disclosures about offsetting. In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events.
In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements. The result would cause the Fund to accelerate payment of any net liability owed to the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty.
Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as cash collateral held at broker or cash collateral due to broker, respectively. Non-cash collateral pledged by or received by the Funds, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold before a transfer is required, which is determined each day at the close of business of the Funds, typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement and any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the Funds and counterparties are not permitted to sell, re-pledge or
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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 | $ | 2,141,767 | $ | – | $ | 2,141,767 | ||||||
|
|
|
|
|
| |||||||
Total | $ | 2,141,767 | $ | – | $ | 2,141,767 | ||||||
|
|
|
|
|
|
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 | $ | 2,110,366 | $ | – | $ | (1,670,000 | ) | $ | 440,366 | |||||||
Morgan Stanley & Co. | 31,401 | – | – | 31,401 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,141,767 | $ | – | $ | (1,670,000 | ) | $ | 471,767 | |||||||
|
|
|
|
|
|
|
|
(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, 2021. |
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 | $ | 1,472,124 | $ | – | $ | 1,472,124 | ||||||
|
|
|
|
|
| |||||||
Total | $ | 1,472,124 | $ | – | $ | 1,472,124 | ||||||
|
|
|
|
|
|
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GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | ||||||||||||||||
COUNTERPARTY | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | FINANCIAL INSTRUMENT | CASH COLLATERAL RECEIVED (a) | NET AMOUNT (b) | ||||||||||||
Bank of America N.A. | $ | 40,541 | $ | – | $ | – | $ | 40,541 | ||||||||
Barclays Bank plc | 27,169 | – | – | 27,169 | ||||||||||||
Canadian Imperial Bank of Commerce | 265,718 | – | (265,718 | ) | – | |||||||||||
Goldman Sachs & Co. | 104 | – | – | 104 | ||||||||||||
JPMorgan Chase Bank N.A. | 1,138,495 | – | (960,000 | ) | 178,495 | |||||||||||
Morgan Stanley & Co. | 97 | – | – | 97 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,472,124 | $ | – | $ | (1,225,718 | ) | $ | 246,406 | |||||||
|
|
|
|
|
|
|
|
(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, 2021. |
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 | $ | 1,300,157 | $ | – | $ | 1,300,157 | ||||||
|
|
|
|
|
| |||||||
Total | $ | 1,300,157 | $ | – | $ | 1,300,157 | ||||||
|
|
|
|
|
|
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. | $ | 1,300,157 | $ | – | $ | (1,300,157 | ) | $ | – | |||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,300,157 | $ | – | $ | (1,300,157 | ) | $ | – | |||||||
|
|
|
|
|
|
|
|
(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, 2021. |
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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 | $ | 2,611,998 | $ | — | $ | 2,611,998 | ||||||
Purchased Options | 6,024 | — | 6,024 | |||||||||
Swap Contracts | 255,845 | — | 255,845 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 2,873,867 | $ | — | $ | 2,873,867 | ||||||
|
|
|
|
|
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | ||||||||||||||||
COUNTERPARTY | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES | FINANCIAL INSTRUMENT | CASH COLLATERAL RECEIVED (a) | NET AMOUNT (b) | ||||||||||||
Bank of America N.A. | $ | 215,341 | $ | (96,545 | ) | $ | (50,000 | ) | $ | 68,796 | ||||||
Barclays Bank plc | 2,500 | (2,500 | ) | — | — | |||||||||||
Citibank N.A. | 680,192 | (658,233 | ) | — | 21,959 | |||||||||||
Goldman Sachs & Co. | 253,321 | — | (140,000 | ) | 113,321 | |||||||||||
JPMorgan Chase Bank N.A. | 1,685,323 | (316,146 | ) | (1,369,177 | ) | — | ||||||||||
Morgan Stanley & Co. | 37,190 | (37,190 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,873,867 | $ | (1,110,614 | ) | $ | (1,559,177 | ) | $ | 204,076 | ||||||
|
|
|
|
|
|
|
|
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty. |
(b) | Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2021. |
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 | $ | 711,769 | $ | — | $ | 711,769 | ||||||
Swap Contracts | 557,899 | — | 557,899 | |||||||||
Written Options | 57,131 | — | 57,131 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,326,799 | $ | — | $ | 1,326,799 | ||||||
|
|
|
|
|
|
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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. | $ | 96,545 | $ | (96,545 | ) | $ | — | $ | — | |||||||
Barclays Bank plc | 17,295 | (2,500 | ) | (14,795 | ) | — | ||||||||||
BNP Paribas S.A. | 491 | — | — | 491 | ||||||||||||
Citibank N.A. | 649,790 | (649,790 | ) | — | — | |||||||||||
HSBC Bank USA | 19,951 | — | (19,951 | ) | — | |||||||||||
JPMorgan Chase Bank N.A. | 324,589 | (324,589 | ) | — | — | |||||||||||
Morgan Stanley & Co. | 218,138 | (37,190 | ) | (180,948 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,326,799 | $ | (1,110,614 | ) | $ | (215,694 | ) | $ | 491 | ||||||
|
|
|
|
|
|
|
|
(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, 2021. |
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 | |
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 |
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
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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 | % | ||||||||||
Emerging Markets Debt Blended Total Return Fund | 1.20 | % | 1.95 | % | 0.95 | % | – | 0.95 | % | |||||||||||
Global Emerging Markets Equity Fund(1) | 1.15 | % | 1.90 | % | 0.90 | % | – | 0.90 | % | |||||||||||
U.S. High Yield Fund | 1.00 | % | 1.75 | % | 0.75 | % | – | 0.75 | % |
(1) | As of November 5, 2020, the Advisor contractually updated the waiver/reimbursement amounts for the Global Emerging Markets Equity Fund to be as shown in the table above. Prior to November 5, 2020, the waiver/reimbursement amounts for the Global Emerging Markets Equity Fund were as follows: Class A: 1.45%, Class C: 2.20%, Class I: 1.20% and Class Y: 1.20%. |
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, 2021 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 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, 2021.
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
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June 30, 2021
annually by a vote of a majority of the Board’s members and a majority of the Board’s members who are not “interested persons” of the Funds and who have no direct or indirect financial interest in the operation of the Plan or in any agreement related to the Plan.
5. | Sales Charges and Commissions |
For the year ended June 30, 2021, 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 | $ | 3,325 | $ | 53,789 | ||||
Global Credit Income Opportunities Fund | 3,639 | 27,432 | ||||||
Active Short Duration Bond Fund | 395 | 24,243 | ||||||
Emerging Markets Debt Blended Total Return Fund | 1,921 | 15,737 |
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, 2021, 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 | 0.07 | % | ||
Global Credit Income Opportunities Fund | 0.08 | % | ||
Active Short Duration Bond Fund | 0.07 | % | ||
Emerging Markets Debt Blended Total Return Fund | 0.16 | % | ||
Global Emerging Markets Equity Fund | 0.26 | % | ||
U.S. High Yield Fund | 0.13 | % |
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, 2021, 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 | % | ||
Emerging Markets Debt Blended Total Return Fund | 0.05 | % | ||
Global Emerging Markets Equity Fund | 0.12 | % | ||
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, 2021 was as follows:
ORDINARY INCOME | NET LONG-TERM CAPITAL GAINS | RETURN OF CAPITAL | TOTAL DISTRIBUTIONS PAID | |||||||||||||
Global Floating Rate Fund | $ | 9,673,175 | $ | – | $ | – | $ | 9,673,175 | ||||||||
Global Credit Income Opportunities Fund | 9,100,007 | – | – | 9,100,007 | ||||||||||||
Active Short Duration Bond Fund | 19,120,453 | – | 1,135,949 | 20,256,402 | ||||||||||||
Emerging Markets Debt Blended Total Return Fund | 6,114,370 | – | – | 6,114,370 | ||||||||||||
Global Emerging Markets Equity Fund | 105,458 | – | – | 105,458 | ||||||||||||
U.S. High Yield Fund | 2,717,739 | – | – | 2,717,739 |
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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 | ||||||||||||
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 |
As of June 30, 2021, 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 | |||||||||||||||||||
Global Floating Rate Fund | $ | 705,446 | $ | – | $ | (2,854,109 | ) | $ | (9,631,756 | ) | $ | (43,228 | ) | $ | (11,823,647 | ) | ||||||||
Global Credit Income Opportunities Fund | 337,575 | – | (3,293,054 | ) | (14,970,959 | ) | 984,370 | (16,942,068 | ) | |||||||||||||||
Active Short Duration Bond Fund | – | – | (76,929 | ) | (17,325,195 | ) | 10,916,349 | (6,485,775 | ) | |||||||||||||||
Emerging Markets Debt Blended Total Return Fund | 1,483,232 | 1,232,813 | – | – | 1,812,790 | 4,528,835 | ||||||||||||||||||
Global Emerging Markets Equity Fund | 105,545 | 256,441 | – | – | 3,304,590 | 3,666,576 | ||||||||||||||||||
U.S. High Yield Fund | 104,769 | – | (102,050 | ) | (3,174,918 | ) | 2,626,478 | (545,721 | ) |
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, 2021, the following funds had capital loss carryforwards available to be offset against future net capital gains as follows:
UNLIMITED - SHORT TERM | UNLIMITED - LONG TERM | |||||||
Global Floating Rate Fund | $ | 1,832,063 | $ | 7,799,693 | ||||
Global Credit Income Opportunities Fund | 6,174,349 | 8,796,610 | ||||||
Active Short Duration Bond Fund | 9,252,878 | 8,072,317 | ||||||
U.S. High Yield Fund | 922,199 | 2,252,719 |
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June 30, 2021
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, 2021, Active Short Duration Bond Fund incurred late-year ordinary losses of $76,929. As of June 30, 2021, Global Floating Rate Fund,
Global Credit Income Opportunities Fund and U.S. High Yield Fund have elected to defer current year post-October losses of $2,854,109, $3,293,054 and $102,050 respectively.
Emerging Markets Debt Blended Total Return Fund utilized $145,037 of capital loss carryforwards during the year ended June 30, 2021.
As of June 30, 2021, 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 | $ | 347,332,305 | $ | 4,482,783 | $ | (4,530,779 | ) | $ | (47,996 | ) | ||||||
Global Credit Income Opportunities Fund | 194,741,204 | 6,910,780 | (5,949,036 | ) | 961,744 | |||||||||||
Active Short Duration Bond Fund | 1,088,909,494 | 13,663,581 | (2,747,234 | ) | 10,916,347 | |||||||||||
Emerging Markets Debt Blended Total Return Fund | 113,208,077 | 4,373,219 | (3,235,968 | ) | 1,137,251 | |||||||||||
Global Emerging Markets Equity Fund | 10,064,573 | 3,690,620 | (386,051 | ) | 3,304,569 | |||||||||||
U.S. High Yield Fund | 48,989,682 | 3,032,252 | (405,774 | ) | 2,626,478 |
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, 2021 have been reclassified among the components of net assets based on their tax basis treatment as follows:
TOTAL DITRIBUTABLE EARNINGS/ ACCUMULATED LOSS | PAID-IN CAPITAL | |||||||
Global Credit Income Opportunities Fund | 11,729 | (11,729 | ) | |||||
Emerging Markets Debt Blended Total Return Fund | 44,741 | (44,741 | ) |
The permanent differences are primarily attributable to perpetual bond interest adjustments.
8. | Investment Transactions |
Purchases and sales of securities (excluding short-term debt securities) for the year ended June 30, 2021 were as follows:
PURCHASES | SALES | GOVERNMENT PURCHASES | GOVERNMENT SALES | |||||||||||||
Global Floating Rate Fund | $ | 228,199,637 | $ | 104,893,217 | $ | – | $ | – | ||||||||
Global Credit Income Opportunities Fund | 140,226,970 | 118,077,104 | – | – | ||||||||||||
Active Short Duration Bond Fund | 740,562,713 | 510,591,985 | 16,533,188 | 23,145,872 | ||||||||||||
Emerging Markets Debt Blended Total Return Fund | 98,653,273 | 40,262,826 | – | – | ||||||||||||
Global Emerging Markets Equity Fund | 4,640,578 | 4,627,245 | – | – | ||||||||||||
U.S. High Yield Fund | 38,460,993 | 36,901,672 | – | – |
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
June 30, 2021
9. | Common Stock |
Transactions in common stock for the year ended June 30, 2021 were as follows:
Global Floating Rate Fund
FOR THE YEAR ENDED JUNE 30, 2021 | FOR THE YEAR ENDED JUNE 30, 2020 | |||||||||||||||
CLASS A | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Shares sold | 880,372 | $ | 8,206,644 | 937,310 | $ | 8,607,970 | ||||||||||
Shares sold through reinvestments of distributions | 158,053 | 1,438,141 | 235,705 | 2,102,247 | ||||||||||||
Shares redeemed | (556,403 | ) | (5,053,635 | ) | (1,685,551 | ) | (14,925,227 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 482,022 | $ | 4,591,150 | (512,536 | ) | $ | (4,215,010 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS C | ||||||||||||||||
Shares sold | 525,854 | $ | 4,906,921 | 116,238 | $ | 1,052,227 | ||||||||||
Shares sold through reinvestments of distributions | 21,445 | 194,007 | 35,471 | 315,149 | ||||||||||||
Shares redeemed | (591,926 | ) | (5,513,007 | ) | (258,409 | ) | (2,260,008 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (44,627 | ) | $ | (412,079 | ) | (106,700 | ) | $ | (892,632 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
CLASS I | ||||||||||||||||
Shares sold | 2,097,015 | $ | 19,670,000 | 2,860,215 | $ | 26,600,000 | ||||||||||
Shares sold through reinvestments of distributions | 195,755 | 1,790,541 | 218,857 | 1,946,913 | ||||||||||||
Shares redeemed | – | – | (1,987,129 | ) | (18,392,138 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 2,292,770 | $ | 21,460,541 | 1,091,943 | $ | 10,154,775 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS Y | ||||||||||||||||
Shares sold | 17,946,963 | $ | 167,251,231 | 7,795,746 | $ | 69,865,024 | ||||||||||
Shares sold through reinvestments of distributions | 543,740 | 4,983,018 | 679,977 | 6,079,583 | ||||||||||||
Shares redeemed | (6,613,341 | ) | (60,333,693 | ) | (13,429,756 | ) | (117,551,528 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 11,877,362 | $ | 111,900,556 | (4,954,033 | ) | $ | (41,606,921 | ) | ||||||||
|
|
|
|
|
|
|
|
Global Credit Income Opportunities Fund
FOR THE YEAR ENDED JUNE 30, 2021 | FOR THE YEAR ENDED JUNE 30, 2020 | |||||||||||||||
CLASS A | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Shares sold | 553,579 | $ | 4,930,649 | 296,398 | $ | 2,525,056 | ||||||||||
Shares sold through reinvestments of distributions | 114,633 | 970,410 | 299,001 | 2,528,159 | ||||||||||||
Shares redeemed | (5,097,722 | ) | (42,911,224 | ) | (821,303 | ) | (6,756,723 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (4,429,510 | ) | $ | (37,010,165 | ) | (225,904 | ) | $ | (1,703,508 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
CLASS C | ||||||||||||||||
Shares sold | 390,924 | $ | 3,504,684 | 124,636 | $ | 1,042,537 | ||||||||||
Shares sold through reinvestments of distributions | 34,971 | 303,090 | 43,353 | 365,771 | ||||||||||||
Shares redeemed | (694,144 | ) | (6,191,121 | ) | (204,465 | ) | (1,662,882 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (268,249 | ) | $ | (2,383,347 | ) | (36,476 | ) | $ | (254,574 | ) | ||||||
|
|
|
|
|
|
|
|
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
June 30, 2021
FOR THE YEAR ENDED JUNE 30, 2021 | FOR THE YEAR ENDED JUNE 30, 2020 | |||||||||||||||
CLASS I | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Shares sold | – | $ | – | – | $ | – | ||||||||||
Shares sold through reinvestments of distributions | 47,607 | 412,669 | 54,613 | 461,023 | ||||||||||||
Shares redeemed | (334,075 | ) | (3,000,000 | ) | – | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (286,468 | ) | $ | (2,587,331 | ) | 54,613 | $ | 461,023 | ||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS Y | ||||||||||||||||
Shares sold | 10,783,817 | $ | 93,589,018 | 7,193,613 | $ | 61,134,702 | ||||||||||
Shares sold through reinvestments of distributions | 547,556 | 4,796,138 | 596,969 | 5,088,941 | ||||||||||||
Shares redeemed | (3,351,010 | ) | (28,832,791 | ) | (11,225,790 | ) | (91,307,876 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 7,980,363 | $ | 69,552,365 | (3,435,208 | ) | $ | (25,084,233 | ) | ||||||||
|
|
|
|
|
|
|
|
Active Short Duration Bond Fund
FOR THE YEAR ENDED JUNE 30, 2021 | FOR THE YEAR ENDED JUNE 30, 2020 | |||||||||||||||
CLASS A | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Shares sold | 2,664,965 | $ | 26,277,656 | 11,719,632 | $ | 115,672,777 | ||||||||||
Shares sold through reinvestments of distributions | 85,566 | 839,764 | 420,591 | 4,092,410 | ||||||||||||
Shares redeemed | (2,319,753 | ) | (22,759,780 | ) | (21,296,207 | ) | (203,582,143 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 430,778 | $ | 4,357,640 | (9,155,984 | ) | $ | (83,816,956 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS C | ||||||||||||||||
Shares sold | 137,022 | $ | 1,350,064 | 259,113 | $ | 2,557,857 | ||||||||||
Shares sold through reinvestments of distributions | 4,106 | 40,174 | 6,376 | 61,661 | ||||||||||||
Shares redeemed | (262,239 | ) | (2,584,661 | ) | (120,852 | ) | (1,130,979 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (121,111 | ) | $ | (1,194,423 | ) | 144,637 | $ | 1,488,539 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares sold | – | $ | – | – | $ | – | ||||||||||
Shares sold through reinvestments of distributions | – | – | – | – | ||||||||||||
Shares redeemed | (9,901 | ) | (98,316 | ) | (20,418 | ) | (203,186 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (9,901 | ) | $ | (98,316 | ) | (20,418 | ) | $ | (203,186 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
CLASS Y | ||||||||||||||||
Shares sold | 64,706,054 | $ | 636,925,965 | 47,841,468 | $ | 466,968,769 | ||||||||||
Shares sold through reinvestments of distributions | 1,479,863 | 14,531,642 | 1,655,334 | 16,052,682 | ||||||||||||
Shares redeemed | (41,665,772 | ) | (409,034,923 | ) | (38,557,362 | ) | (367,924,280 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 24,520,145 | $ | 242,422,684 | 10,939,440 | $ | 115,097,171 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS L(2) | ||||||||||||||||
Shares sold | 1,093,451 | $ | 10,662,937 | 10,764,003 | $ | 101,381,145 | ||||||||||
Shares sold through reinvestments of distributions | 204,523 | 2,005,694 | 11,378 | 108,092 | ||||||||||||
Shares redeemed | (3,267,701 | ) | (32,022,367 | ) | (112,724 | ) | (1,067,372 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,969,727 | ) | $ | (19,353,736 | ) | 10,662,657 | $ | 100,421,865 | ||||||||
|
|
|
|
|
|
|
|
(1) | Class I was liquidated on June 8, 2021. |
(2) | Class L commenced operations on May 1, 2020. |
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
June 30, 2021
Emerging Markets Debt Blended Total Return Fund
FOR THE YEAR ENDED JUNE 30, 2021 | FOR THE YEAR ENDED JUNE 30, 2020 | |||||||||||||||
CLASS A | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Shares sold | 1,118,711 | $ | 12,167,538 | 607,596 | $ | 5,629,686 | ||||||||||
Shares sold through reinvestments of distributions | 68,937 | 750,144 | 13,820 | 134,714 | ||||||||||||
Shares redeemed | (214,401 | ) | (2,335,100 | ) | (43,542 | ) | (434,004 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 973,247 | $ | 10,582,582 | 577,874 | $ | 5,330,396 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS C | ||||||||||||||||
Shares sold | 30,987 | $ | 341,675 | 14,324 | $ | 146,900 | ||||||||||
Shares sold through reinvestments of distributions | 1,686 | 18,303 | 761 | 7,490 | ||||||||||||
Shares redeemed | (12,144 | ) | (131,411 | ) | (19,419 | ) | (203,101 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 20,529 | $ | 228,567 | (4,334 | ) | $ | (48,711 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS I | ||||||||||||||||
Shares sold | – | $ | – | – | $ | – | ||||||||||
Shares sold through reinvestments of distributions | – | – | – | – | ||||||||||||
Shares redeemed | (1,396,653 | ) | (15,202,990 | ) | (984,551 | ) | (9,800,000 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (1,396,653 | ) | $ | (15,202,990 | ) | (984,551 | ) | $ | (9,800,000 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
CLASS Y | ||||||||||||||||
Shares sold | 9,356,613 | $ | 102,268,877 | 2,290,494 | $ | 22,372,983 | ||||||||||
Shares sold through reinvestments of distributions | 332,267 | 3,614,361 | 51,572 | 505,175 | ||||||||||||
Shares redeemed | (2,776,558 | ) | (30,155,328 | ) | (1,698,477 | ) | (16,775,383 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 6,912,322 | $ | 75,727,910 | 643,589 | $ | 6,102,775 | ||||||||||
|
|
|
|
|
|
|
|
Global Emerging Markets Equity Fund
FOR THE | PERIOD FROM | |||||||||||||||
CLASS A | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Shares sold | – | $ | – | – | $ | – | ||||||||||
Shares sold through reinvestments of distributions | – | – | – | – | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | – | $ | – | – | $ | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS C | ||||||||||||||||
Shares sold | – | $ | – | – | $ | – | ||||||||||
Shares sold through reinvestments of distributions | – | – | – | – | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | – | $ | – | – | $ | – | ||||||||||
|
|
|
|
|
|
|
|
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
June 30, 2021
FOR THE | PERIOD FROM | |||||||||||||||
CLASS I | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Shares sold | – | $ | – | – | $ | – | ||||||||||
Shares sold through reinvestments of distributions | – | – | – | – | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | – | $ | – | – | $ | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CLASS Y | ||||||||||||||||
Shares sold | 5,547 | $ | 74,500 | – | $ | – | ||||||||||
Shares sold through reinvestments of distributions | – | – | – | – | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 5,547 | $ | 74,500 | – | $ | – | ||||||||||
|
|
|
|
|
|
|
|
U.S. High Yield Fund
FOR THE YEAR ENDED JUNE 30, 2021 | FOR THE YEAR ENDED JUNE 30, 2020 | |||||||||||||||
CLASS A(3) | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||
Shares sold | 67,108 | $ | 644,371 | 161,745 | $ | 1,594,758 | ||||||||||
Shares sold through reinvestments of distributions | 6,432 | 60,743 | 13,792 | 130,405 | ||||||||||||
Shares redeemed | (287,843 | ) | (2,803,288 | ) | (353,471 | ) | (3,416,025 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (214,303 | ) | $ | (2,098,174 | ) | (177,934 | ) | $ | (1,690,862 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
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 | 699,880 | $ | 6,711,905 | 714,332 | $ | 6,852,773 | ||||||||||
Shares sold through reinvestments of distributions | 142,722 | 1,368,604 | 143,418 | 1,345,005 | ||||||||||||
Shares redeemed | (391,128 | ) | (3,731,862 | ) | (699,271 | ) | (6,312,454 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 451,474 | $ | 4,348,647 | 158,479 | $ | 1,885,324 | ||||||||||
|
|
|
|
|
|
|
|
(3) | Class A was liquidated on June 8, 2021. |
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
June 30, 2021
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. Effective July 14, 2021, the Credit Agreement was renewed with the only change being that the outstanding principal on the loan shall now bear interest at a variable rate per annum equal to the higher of (a) the Federal Funds Rate as in effect on the day of the borrowing plus 1.25% and (b) the Overnight Bank Funding Rate as in effect on the day of the borrowing plus 1.25%.
For the year ended June 30, 2021, the Funds did not utilize the Facility Amount.
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, 2021, the Funds paid their Trustees’ aggregate remuneration of $587,000. 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. 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, 2021, 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, 2021, 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.
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
June 30, 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, 2021 through August 26, 2021, the date the financial statements were issued. Adjustments or additional disclosures, if any, have been included in these financial statements.
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Barings Funds Trust 2021 Annual Report
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Barings Funds Trust and Shareholders of Barings Global Floating Rate Fund, Barings Global Credit Income Opportunities Fund, Barings Active Short Duration Bond Fund, Barings Emerging Markets Debt Blended Total Return Fund, Barings Global Emerging Markets Equity Fund and Barings U.S. High Yield Fund:
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 Emerging Markets Debt Blended Total Return Fund, Barings Global Emerging Markets Equity Fund, and Barings U.S. High Yield Fund (collectively, the “Funds”), including the schedules of investments, as of June 30, 2021; 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, Barings Global Credit Income Opportunities Fund, Barings Active Short Duration Bond Fund, Barings Emerging Markets Debt Blended Total Return Fund, and Barings U.S. High Yield Fund 2021; the related statements of operations, changes in net assets, and the financial highlights for the periods indicated in the table below for Barings Global Emerging Markets Equity 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, 2021, 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 Global Emerging Markets Equity Fund | For the year ended June 30, 2021 | For the year ended June 30, 2021 and 2020 | For the year ended June 30, 2021, 2020, and period from September 17, 2018 (commencement of operations) through June 30, 2019 |
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
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (continued)
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, 2021, 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 26, 2021
We have served as the auditor of one or more Barings LLC investment companies since 2013.
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FEDERAL TAX INFORMATION (UNAUDITED)
Of the ordinary distributions made during the fiscal year ended June 30, 2021, the following percentages qualify for the dividends received deduction (DRD) available to corporate shareholders:
FUND | DRD% | |||
Barings Global Floating Rate Fund | 0.01 | % | ||
Barings Global Emerging Markets Equity Fund | 0.47 | % |
The following Funds had qualified dividend income (“QDI”) received through June 30, 2021, as follows:
FUND | QDI | |||
Barings Global Floating Rate Fund | $ | 642 | ||
Barings Global Credit Income Opportunities Fund | $ | 3,746 | ||
Barings Global Emerging Markets Equity Fund | $ | 178,483 | ||
Barings U.S. High Yield Fund | $ | 2,441 |
The following Funds paid foreign taxes during the year ended June 30, 2021 that are available as income tax credits:
FUND | FOREIGN TAX CREDIT | |||
Barings Emerging Markets Debt Blended Total Return Fund | $ | 21,394 | ||
Barings Global Emerging Markets Equity Fund | $ | 34,141 |
The following Funds generated net foreign source income during the year ended June 30, 2021 as listed below:
FUND | FOREIGN SOURCE INCOME | |||
Barings Emerging Markets Debt Blended Total Return Fund | $ | 5,016,690 | ||
Barings Global Emerging Markets Equity Fund | $ | 341,662 |
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STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM
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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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 | |||||
David M. Mihalick (48) 300 South Tryon Street Suite 2500 Charlotte, NC 28202 | Trustee | Trustee since 2020 | Head of U.S. Public Fixed Income (since 2019), Head of U.S. High Yield (since 2017), Member of Global High Yield Allocation Committee (since 2017), Barings LLC. | 9 | Trustee (since 2020), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); Director (since 2020), Barings BDC, Inc. (business development company advised by Barings); Director (since March 2021), Barings Capital Investment Corporation (business development company advised by Barings). |
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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 (68) 300 South Tryon Street Suite 2500 Charlotte, NC 28202 | Trustee, Chairman | Trustee since 2013 | Retired (since 2012); Deputy General Counsel (2011-2012), Senior Vice President (2008-2012), Vice President (2000-2008), Massachusetts Mutual Life Insurance Company; Member of the Board of Directors and President (2008-2011), MassMutual International LLC; and General Counsel (2006-2008), Babson Capital Management LLC (currently known as Barings). | 7 | 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. (65) 300 South Tryon Street Suite 2500 Charlotte, NC 28202 | Trustee | Trustee since 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. | 10 | Trustee (since 2012), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); Director (since August 2021), Barings BDC, Inc. (business development company advised by Barings); Director (since August 2021), Barings Capital Investment Corporation (business development company advised by Barings); Director (since May 2021), Barings Private Credit Corporation (business development company advised by Barings); Director (since 2016), Salient MLP & 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 (since 2011), Salient Midstream & MLP Fund (closed-end investment company). |
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INDEPENDENT TRUSTEES (CONTINUED)
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NAME (AGE), ADDRESS | POSITION(S) WITH THE TRUST | OFFICE TERM* AND LENGTH OF TIME SERVED | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | |||
Dan McGee (51) 300 South Tryon Street Suite 2500 Charlotte, NC 28202 | President | Since 2018 | Managing Director (since 2013), Barings; and Managing Director (1992-2013), Principal Financial Group. | |||
Carlene Pollock (54) 300 South Tryon Street Suite 2500 Charlotte, NC 28202 | Chief Financial Officer | Since 2016 | Director (since 2015), Barings; 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 (2013-2015), Corrum Capital Management (investment adviser); and Vice President (2008-2013), Bank of New York Mellon (third party administrator). | |||
Elizabeth Murray (44) 300 South Tryon Street Suite 2500 Charlotte, NC 28202 | Treasurer | Since 2020 | Managing Director (since 2020), Director (2018-2020), Barings; Treasurer (since 2020), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); Principal Accounting Officer (since 2020), Director of External Reporting (2018-2020), Barings BDC, Inc. (business development company advised by Barings); Principal Accounting Officer (since 2020), Barings Capital Investment Corporation (business development company advised by Barings); Principal Accounting Officer (since May 2021), Barings Private Credit Corporation (business development company advised by Barings); Principal Accounting Officer (since 2020), Barings Corporate Investors and Barings Participation Investors (closed-end investment companies advised by Barings); and Vice President of Financial Reporting (2012-2018), Triangle Capital Corporation. | |||
Michael Cowart (38) 300 South Tryon Street Suite 2500 Charlotte, NC 28202 | Chief Compliance Officer | Since 2020 | Managing Director (since April 2021), Director (2018-2021), Barings; Chief Compliance Officer (since 2020), Barings Global Short Duration High Yield Fund (closed-end investment company advised by Barings); Chief Compliance Officer (since 2020), Barings Corporate Investors and Barings Participation Investors (closed-end investment companies advised by Barings); Chief Compliance Officer (since 2020), Barings BDC, Inc. (business development company advised by Barings); Chief Compliance Officer (since 2020), Barings Capital Investment Corporation (business development company advised by Barings); Chief Compliance Officer (since May 2021), Barings Private Credit Corporation (business development company advised by Barings); Chief Compliance Officer (since 2019), Barings Securities LLC; and Assistant General Counsel (2016-2018), LPL Financial (independent broker-dealer). |
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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 the services it provides you including its investment fund management services. Personal Data that we collect and process may include that of any Client including but not limited to 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 Manager or the Fund and/or their 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 Manager or the Fund will not be able to deal with Client 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 Client including 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 Client including registered shareholder or unitholder, and setting up and administering the Client’s or 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 Clients including registered shareholders or unitholders; |
∎ | 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 Client including 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 Manager or 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 Client including a 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
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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.
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
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Please see the relevant local addendum attached to this Privacy Notice for contact details in your country or jurisdiction.
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 June 4, 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 Baring Asset Management (Asia) 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 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 4501-04 , Level 45
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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GLOBAL PRIVACY NOTICE: ADDENDUM FOR SOUTH KOREA (CONTINUED)
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
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BARINGS FUNDS TRUST
ANNUAL REPORT
June 30, 2021
Table of Contents
(b) Not applicable
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, 2021 | Year Ended June 30, 2020 | |||||||
Audit Fees | $ | 293,500 | $ | 322,100 | ||||
Audit-Related Fees | $ | 0 | $ | 30,000 | ||||
Tax Fees | $ | 88,650 | $ | 98,393 | ||||
All Other Fees | $ | 0 | $ | 0 | ||||
|
|
|
| |||||
Total Fees | $ | 382,150 | $ | 450,493 |
Non-Audit Fees Billed to Barings and MassMutual:
Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||
Audit Fees | $ | 3,647,481 | $ | 3,563,922 | ||||
Audit-Related Fees | $ | 1,794,671 | $ | 2,236,858 | ||||
Tax Fees | $ | 2,836,667 | $ | 4,357,763 | ||||
All Other Fees | $ | 2,831,672 | $ | 5,271,600 | ||||
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|
|
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Total Fees | $ | 11,110,491 | $ | 15,430,143 |
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, 2021, 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.
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The Audit Committee has also reviewed the aggregate fees billed for professional services rendered by Deloitte for the years ended June 30, 2021 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. |
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(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
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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 3, 2021 |
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 3, 2021 |
By (Signature and Title) | /s/ Carlene Pollock | |
Carlene Pollock, Chief Financial Officer (Principal Financial Officer) |
Date | September 3, 2021 |