Legal & General High Income Trust Interim manager's report ... · We are adding risk where we can...

Distribution Number 74

Legal & General High Income Trust

Interim Manager's Reportfor the period ended5 March 2020 (Unaudited)

Contents

Page Number

1

Manager's Investment Reportempty 2

Authorised Status 4

Directors’ Statement 4

Portfolio Statement 5

Statement of Total Return 22

Statement of Change in Net Assets attributable to Unitholders 22

Balance Sheet 23

Notes to the Financial Statements 24

Trust Information 25

Risk and Reward Profile 26

General Information 27

2

Manager's Investment Report

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Investment Objective and PolicyThe objective of the Trust is to provide income and growth above those of the Bank of America Merrill Lynch composite, the “Benchmark”. The Trust aims to outperform the Benchmark by 1% per annum in order to achieve a high income. This objective is before the deduction of any charges and measured over rolling three year periods.

The Trust is actively managed and may invest at least 70% in sub-investment grade bonds from overseas and UK issuers. These are bonds with a credit rating from a nationally recognized statistical rating organization (NRSRO) or non-rated bonds that are deemed equivalent by the Manager.

The Trust may also invest in investment grade bonds and securities with bond features such as convertibles, hybrids, preference shares and payment in kind securities. The Trust is also permitted to invest in any other transferable securities as a result of participating in bond restructuring.

The Trust may also invest in cash, permitted deposits, money market instruments (such as treasury bills), collective investment schemes, including those which are operated by the Manager or an associate of the Manager.

The Trust may hold derivatives for the purpose of Efficient Portfolio Management.

Manager's Investment ReportDuring the period under review, the bid price of the Trust’s R-Class accumulation units rose by 3.18%. During the same period the benchmark rose by 2.60%.

Past performance is not a guide to future performance.

The value of investments and any income from them may go down as well as up.

Exchange rate changes may cause the value of any overseas investments to rise or fall.

Market/Economic ReviewAlthough global high yield debt outperformed its investment-grade counterparts during the final quarter of 2019, much of this advantage was worn away during the first two months of 2020, as the Coronavirus spread at an increasingly alarming rate across multiple countries, causing a knock-on effect through markets and a retreat away from riskier areas of the market. Government bond yields reacted significantly to the initial headlines in January, and remained subdued even while credit and equity markets staged their recovery, implying that investors still expected some monetary policy loosening to counteract the negative economic impact of China’s containment policies. Towards the end of February, as the situation deteriorated, credit spreads widened (having declined since the beginning of the review period) and US 10-year Treasury yields dropped.

Although markets in 2020 have been affected by risk-averse sentiment and concern over the macroeconomic implications of the disease, the preceding quarter was characterised by a return of economic optimism, against a backdrop of progress in US-China trade talks and a decisive outcome in the UK general election, both of which were perceived as reducing geopolitical uncertainty, at least over the short term. Emerging market bonds generated robust returns during the final quarter of 2019 amid confidence that these countries should be among the main beneficiaries of reductions in global trade friction.

3

Trust ReviewThe Trust delivered a positive return over the review period as a whole. Over the first three months, the decision to add more risk and higher-spread credits, in line with a decrease in concerns over fundamental economic downside in the United States of America, was particularly beneficial to performance. During 2020, market volatility, particularly in February, pared back some performance, with the energy sector and US high yield suffering the hardest hits, with the latter being particularly susceptible to investor sentiment which deteriorated towards the end of the review period.

Nevertheless, in terms of positioning, we are looking to take advantage of opportunities presented by sell-offs in quality names. In more general terms, the portfolio’s sector exposure has been broadly maintained, with the largest exposures being energy, homebuilders and healthcare. In regional terms, the most significant exposure is to North America and from a ratings perspective, most holdings are rated either BB or B.

OutlookIn the high yield market specifically, fundamentals are conducive to spread tightening, but valuations are tight. We are adding risk where we can but we do not expect a material amount of good value risk to be available. With a shortage of bonds and improving credit quality, we expect a compression movement of high yield toward investment grade, and B toward BB.

More generally, looking ahead, the immediate focus will remain on the Coronavirus and policies put in place to halt its spread, as well as mitigating fiscal and monetary support. Markets price in an extended period of economic weakness, but with a relatively swift recovery boosted by interest rate cuts and government support. The infection trend during February suggests that a more dramatic recovery is unlikely, but such a scenario would probably lead to a significant market recovery alongside higher government bond yields. On the downside, we could see a more prolonged recession take place if the Coronavirus continues to spread and governments implement more aggressive containment policies; this argues for a cautious stance towards risk, although valuations could become attractive enough to start adding exposure at some point.

Important note from the ManagerSince January 2020, global financial markets have been affected by the COVID-19 coronavirus. The impact on the Firm will take longer to assess; however, the Company has enacted its business continuity plans and continues to monitor this situation closely.

The virus has caused major uncertainty and disruption to businesses and everyday life. Financial markets have reacted sharply to this news, with concerns regarding the economic impact this may have on a global scale. The long-term impact on the global economy and markets will depend upon the overall scale and the duration of the outbreak, as well as on the actions taken by governments and central banks.

Legal & General Investment Management Limited(Investment Adviser) 9 March 2020

Manager's Investment Report continued

Authorised Status

4

Authorised StatusThis Trust is an Authorised Unit Trust Scheme as defined in section 243 of the Financial Services and Markets Act 2000 and is a UCITS Retail Scheme within the meaning of the FCA Collective Investment Schemes sourcebook.

Directors’ StatementWe hereby certify that this Manager's Report has been prepared in accordance with the requirements of the FCA Collective Investment Schemes sourcebook.

A. J. C. Craven L. W. Toms(Director) (Director)

Legal & General (Unit Trust Managers) Limited30 March 2020

Portfolio Statement

5

Portfolio Statement as at 5 March 2020All investments are in sub-investment grade securities or ordinary shares unless otherwise stated. The percentages in brackets show the equivalent holdings at 5 September 2019.

Holding/ Nominal

Value Investment

Market Value

£

% of Net

Assets

TestEQUITIES — 0.21% (0.20%) Test TestUNITED KINGDOM — 0.13% (0.12%)

189,710 JPIMedia 1,612,535 0.13

CONTINENTAL EUROPE — 0.08% (0.08%) France — 0.08% (0.08%)

1,210,966 Holdikks 1,047,904 0.08

DEBT SECURITIES — 95.30% (92.88%) Test TestNORTH AMERICA — 66.09% (63.22%) United States — 53.30% (53.43%)

USD265,000 Albertsons 3.5% 15/02/2023 207,640 0.02USD6,683,000 Albertsons 5.875% 15/02/2028 5,495,037 0.43USD4,500,000 Allen Media 10.5% 15/02/2028 3,473,727 0.27USD5,151,000 American Axle & Manufacturing

6.25% 15/03/2026 3,936,397 0.31USD2,846,000 American Axle & Manufacturing

6.5% 01/04/2027 2,185,927 0.17USD1,499,000 American Builders & Contractors

Supply 4% 15/01/2028 1,151,337 0.09USD4,402,000 Amsted Industries 4.625%

15/05/2030 3,457,692 0.27USD5,354,000 Archrock Partners Finance 6.25%

01/04/2028 4,070,813 0.32USD405,000 Ashton Woods Finance 6.75%

01/08/2025 324,389 0.03USD1,190,000 Ashton Woods Finance 6.625%

15/01/2028 933,803 0.07USD4,411,000 Beacon Roofing Supply 4.5%

15/11/2026 3,456,228 0.27USD950,000 Bed Bath & Beyond 5.165%

01/08/2044 488,895 0.04EUR1,420,000 Belden 3.375% 15/07/2027 1,267,314 0.10

EUR12,901,000 Belden 3.875% 15/03/2028 11,762,209 0.92USD1,466,000 Belo 7.75% 01/06/2027 1,327,364 0.10USD4,099,000 Berry Global 4.5% 15/02/2026 3,211,761 0.25USD2,879,000 Berry Global 4.875% 15/07/20261 2,350,522 0.18EUR3,476,000 Berry Global 1.5% 15/01/20271 2,977,863 0.23USD2,163,000 Berry Petroleum 7% 15/02/2026 1,473,023 0.12

USD643,000 Block Communications 4.875% 01/03/2028 506,309 0.04

USD1,713,000 Blue Racer Midstream Finance 6.625% 15/07/2026 1,153,312 0.09

USD6,465,000 Brink's 4.625% 15/10/2027 5,140,681 0.40USD6,076,000 Brookfield Property REIT 5.75%

15/05/2026 4,692,654 0.37USD2,803,000 Buckeye Partners 5.85% 15/11/2043 2,017,327 0.16USD1,086,000 Buckeye Partners 5.6% 15/10/2044 739,576 0.06

Portfolio Statement continued

6

Holding/ Nominal

Value Investment

Market Value

£

% of Net

Assets

TestUnited States — (cont.) Test TestUSD3,112,000 Builders FirstSource 6.75% 01/06/2027 2,613,001 0.20

USD310,000 Builders FirstSource 5% 01/03/2030 248,369 0.02USD4,344,000 Caleres 6.25% 15/08/2023 3,428,943 0.27USD2,580,000 Catalent Pharma Solutions 5%

15/07/2027 2,101,416 0.16EUR2,744,000 Catalent Pharma Solutions 2.375%

01/03/2028 2,350,764 0.18USD1,067,000 CCO Capital 5.875% 01/05/2027 871,138 0.07USD1,110,000 CCO Capital 4.5% 15/08/2030 887,905 0.07USD1,633,000 CCO Capital 4.5% 01/05/2032 1,270,058 0.10USD1,100,000 CEMEX Finance 6% 01/04/2024 865,750 0.07USD1,518,000 Centene 4.25% 15/12/20271 1,242,288 0.10USD2,834,000 Centene 4.625% 15/12/20291 2,406,992 0.19USD4,000,000 Centene 3.375% 15/02/20301 3,172,884 0.25USD3,273,000 Century Communities 5.875%

15/07/2025 2,678,531 0.21USD4,349,000 Century Communities 6.75%

01/06/2027 3,634,824 0.28USD3,064,000 Cheniere Energy Partners 5.25%



01/10/2029 3,461,941 0.27USD4,833,000 Clean Harbors 4.875% 15/07/2027 3,992,592 0.31

USD569,000 Clearway Energy Operating 4.75% 15/03/2028 452,444 0.04

USD3,040,000 Cleaver-Brooks 7.875% 01/03/2023 2,329,051 0.18USD643,000 Cleveland-Cliffs 6.75% 15/03/2026 506,309 0.04

USD2,101,000 CommScope Finance 5.5% 01/03/2024 1,686,881 0.13

USD2,969,000 CommScope Finance 6% 01/03/2026 2,439,120 0.19

USD4,302,000 CommScope Finance 8.25% 01/03/2027 3,470,697 0.27

USD3,031,000 CommScope Technologies 6% 15/06/2025 2,310,428 0.18

USD10,292,000 CommScope Technologies 5% 15/03/2027 7,387,270 0.58

USD2,039,000 Crestwood Midstream Finance 5.75% 01/04/2025 1,514,812 0.12

USD4,288,000 Crestwood Midstream Finance 5.625% 01/05/2027 3,135,695 0.24

USD650,000 CSC 6.5% 01/02/2029 572,334 0.04USD7,356,000 CSC 5.75% 15/01/2030 6,062,637 0.47USD4,966,000 Cumulus Media New 6.75%

01/07/2026 4,102,465 0.32USD2,744,000 Dana 5.375% 15/11/2027 2,211,612 0.17USD1,480,000 Delek Logistics Partners 6.75%

15/05/2025 1,156,787 0.09USD3,193,000 Dell 6.5% 15/04/2038 2,621,462 0.20

USD13,439,000 Diamond Sports 5.375% 15/08/2026 9,945,089 0.78


7

Holding/ Nominal

Value Investment

Market Value

£

% of Net

Assets

TestUnited States — (cont.) Test TestUSD1,855,000 Encompass Health 5.75%

01/11/2024 1,449,892 0.11USD944,000 Encompass Health 4.75%

01/02/2030 767,064 0.06USD3,530,000 Endo Finance 6% 15/07/2023 2,281,032 0.18USD1,300,000 Endo Finance 5.875% 15/10/2024 1,010,231 0.08

USD13,383,000 Endo Finance 6% 01/02/2025 8,104,161 0.63USD8,618,000 Energy Transfer Operating 7.125%

Open Maturity 6,502,515 0.51USD2,125,000 EnLink Midstream 5.375% 01/06/2029 1,434,646 0.11USD6,223,000 ESH Hospitality 4.625% 01/10/2027 4,707,462 0.37EUR2,887,000 Ford Motor Credit 1.744%

19/07/20241 2,476,089 0.19GBP335,000 Ford Motor Credit 4.535%

06/03/20251 354,635 0.03USD2,045,000 Forestar 5% 01/03/2028 1,566,747 0.12USD7,025,000 Foxtrot Escrow 12.25% 15/11/2026 5,582,496 0.44

USD883,000 Freeport-McMoRan 5% 01/09/2027 707,247 0.06USD5,780,000 Freeport-McMoRan 4.125%

01/03/2028 4,416,185 0.34USD2,846,000 Freeport-McMoRan 5.25%

01/09/2029 2,301,556 0.18USD3,915,000 Freeport-McMoRan 4.25%

01/03/2030 2,938,825 0.23USD6,503,000 Freeport-McMoRan 5.4% 14/11/2034 5,210,427 0.41USD2,070,000 Front Range BidCo 4% 01/03/2027 1,589,905 0.12USD2,879,000 GCI 6.625% 15/06/2024 2,367,232 0.18USD4,137,000 GCI 6.875% 15/04/2025 3,333,579 0.26USD4,345,000 Genesis Energy Finance 6.25%

15/05/2026 2,937,969 0.23USD3,325,000 Genesis Energy Finance 7.75%

01/02/2028 2,309,385 0.18USD352,000 GEO 5.875% 15/01/2022 271,042 0.02USD176,000 GEO 5.125% 01/04/2023 127,650 0.01

USD4,341,000 GEO 6% 15/04/2026 3,023,448 0.24USD5,813,000 GLP Finance 7% 15/06/2023 4,592,774 0.36

USD545,000 GLP Finance 7% 01/08/2027 439,686 0.03USD4,978,000 GLP Financing II 5.375% 15/04/20261 4,360,854 0.34USD9,153,000 Golden Nugget 6.75% 15/10/2024 7,107,635 0.55USD3,516,000 Griffon 5.75% 01/03/2028 2,782,162 0.22USD1,766,000 HCA 5.375% 01/02/2025 1,527,244 0.12USD6,991,000 HCA 5.625% 01/09/2028 6,284,163 0.49USD2,495,000 HCA 5.875% 01/02/2029 2,292,844 0.18USD3,521,000 Hilcorp Finance 5.75% 01/10/2025 2,268,405 0.18USD1,884,000 Hilcorp Finance 6.25% 01/11/2028 1,210,122 0.09USD9,856,000 Horizon Pharma USA 5.5%

01/08/2027 8,085,322 0.63USD6,640,000 iHeartCommunications 8.375%

01/05/2027 5,626,940 0.44USD679,000 iHeartCommunications 5.25%

15/08/2027 552,417 0.04USD2,805,000 Innophos 9.375% 15/02/2028 2,246,692 0.18


8

Holding/ Nominal

Value Investment

Market Value

£

% of Net

Assets

TestUnited States — (cont.) Test TestUSD5,822,000 Jacobs Entertainment 7.875%

01/02/2024 4,764,560 0.37USD3,358,000 Jagged Peak Energy 5.875%

01/05/20261 2,637,441 0.21USD1,518,000 JBS USA Finance 5.75% 15/06/2025 1,216,209 0.10USD1,052,000 Kaiser Aluminum 4.625% 01/03/2028 828,965 0.06USD4,577,000 KGA Escrow 7.5% 15/08/2023 3,701,412 0.29

EUR898,000 Kraft Heinz Foods 2% 30/06/20231 804,580 0.06EUR1,600,000 Kraft Heinz Foods 1.5% 24/05/20241 1,411,095 0.11EUR3,400,000 Kraft Heinz Foods 2.25% 25/05/20281 3,045,052 0.24USD1,400,000 Kraft Heinz Foods 5% 15/07/20351 1,215,228 0.10USD1,351,000 Kraft Heinz Foods 6.5% 09/02/20401 1,272,569 0.10USD2,703,000 Kraft Heinz Foods 5.2% 15/07/20451 2,270,986 0.18USD1,892,000 Kraft Heinz Foods 4.875%

01/10/20491 1,537,567 0.12EUR4,073,000 Kronos International 3.75%

15/09/2025 3,473,681 0.27USD1,138,000 L Brands 7.5% 15/06/2029 957,727 0.07USD4,046,000 L Brands 6.95% 01/03/2033 2,974,540 0.23

USD285,000 L Brands 6.875% 01/11/2035 229,593 0.02USD1,529,000 L Brands 6.75% 01/07/2036 1,233,542 0.10USD1,635,000 L Brands 7.6% 15/07/2037 1,286,636 0.10

USD12,256,000 Land O'Lakes Capital Trust I 7.45% 15/03/2028 10,622,752 0.83

USD3,600,000 Laredo Petroleum 9.5% 15/01/2025 2,030,955 0.16USD2,869,000 Laredo Petroleum 10.125%

15/01/2028 1,509,811 0.12USD2,767,000 LifePoint Health 4.375% 15/02/2027 2,157,369 0.17

USD806,000 Lithia Motors 4.625% 15/12/2027 637,777 0.05USD435,000 Marriott Ownership Resorts 4.75%

15/01/2028 329,903 0.03USD4,644,000 Matador Resources 5.875%

15/09/2026 3,315,346 0.26EUR400,000 Mauser Packaging Solutions 4.75%

15/04/2024 352,374 0.03USD4,672,000 Mauser Packaging Solutions 5.5%

15/04/2024 3,687,850 0.29USD2,485,000 McGraw-Hill Global Education

Finance 7.875% 15/05/2024 1,634,615 0.13USD8,406,000 Men's Wearhouse 7% 01/07/2022 6,310,029 0.49USD6,079,000 Meredith 6.875% 01/02/2026 4,811,899 0.38USD4,392,000 MGM Growth Properties Operating

Partnership 5.75% 01/02/2027 3,779,934 0.30USD253,000 MGM Growth Properties Operating

Partnership 4.5% 15/01/2028 200,196 0.02USD5,070,000 Midcontinent Communications

5.375% 15/08/2027 4,127,977 0.32USD1,053,000 Moog 4.25% 15/12/2027 837,299 0.07USD1,741,000 Moss Creek Resources 10.5%

15/05/2027 921,974 0.07USD2,647,000 Murphy Oil 5.75% 15/08/2025 2,050,145 0.16USD3,903,000 Murphy Oil 5.875% 01/12/2027 3,047,614 0.24USD1,800,000 NBM US 7% 14/05/2026 1,500,929 0.12


9

Holding/ Nominal

Value Investment

Market Value

£

% of Net

Assets

TestUnited States — (cont.) Test TestUSD4,349,000 Neon 10.125% 01/04/2026 3,348,750 0.26USD6,469,000 NGL Energy Finance 6.125%

01/03/2025 4,255,362 0.33USD707,000 Novelis 5.875% 30/09/2026 579,902 0.05

USD4,321,000 Novelis 4.75% 30/01/2030 3,377,349 0.26USD3,439,000 NuStar Logistics 6% 01/06/2026 2,794,420 0.22USD4,237,000 NuStar Logistics 5.625% 28/04/2027 3,369,074 0.26

USD676,000 Oasis Petroleum 6.875% 15/03/2022 427,666 0.03USD2,476,000 Oasis Petroleum 6.25% 01/05/2026 1,240,683 0.10USD4,805,000 Owens-Brockway Glass Container

6.375% 15/08/2025 4,081,015 0.32USD5,743,000 Par Pharmaceutical 7.5%

01/04/2027 4,766,574 0.37USD6,246,000 Park-Ohio Industries 6.625%

15/04/2027 4,833,617 0.38USD6,688,000 Parsley Energy 5.25% 15/08/20251 5,330,939 0.42

USD545,000 Parsley Energy 5.625% 15/10/20271 439,307 0.03USD4,828,000 Party City 6.625% 01/08/2026 2,195,055 0.17USD5,194,000 Peabody Energy 6% 31/03/2022 3,542,708 0.28USD3,847,000 Peabody Energy 6.375% 31/03/2025 2,083,965 0.16USD3,325,000 Pilgrim's Pride 5.75% 15/03/2025 2,650,325 0.21USD3,666,000 Pilgrim's Pride 5.875% 30/09/2027 2,986,108 0.23USD4,316,000 Plantronics 5.5% 31/05/2023 3,056,070 0.24USD6,028,000 Post 5% 15/08/2026 4,828,184 0.38

USD875,000 Post 4.625% 15/04/2030 683,911 0.05USD493,000 Presidio 4.875% 01/02/2027 389,150 0.03

USD1,309,000 Prime Finance 5.75% 15/04/2026 1,084,924 0.08USD400,000 Prime Finance 6.25% 15/01/2028 306,067 0.02

USD2,770,000 Pulte 6.375% 15/05/20331 2,690,257 0.21USD7,362,000 Pyxus International 8.5% 15/04/2021 5,526,343 0.43USD5,198,000 QEP Resources 6.875% 01/03/2021 3,962,258 0.31

USD300,000 QEP Resources 5.625% 01/03/2026 188,040 0.01USD5,326,000 Quapaw Downstream

Development Authority 10.5% 15/02/2023 4,224,694 0.33

USD3,625,000 Rio Oil Finance 8.2% 06/04/2028 3,275,180 0.26USD760,000 Science Applications International

4.875% 01/04/2028 599,904 0.05USD3,885,000 Scientific Games International 5%

15/10/2025 3,051,598 0.24EUR6,091,000 Scientific Games International

3.375% 15/02/2026 5,230,236 0.41EUR3,223,000 Scientific Games International 5.5%

15/02/2026 2,733,230 0.21USD3,130,000 Scientific Games International 8.25%

15/03/2026 2,511,557 0.20USD802,000 Scientific Games International 7%

15/05/2028 617,544 0.05USD802,000 Scientific Games International 7.25%

15/11/2029 615,992 0.05USD8,849,000 Scripps Escrow 5.875% 15/07/2027 7,165,074 0.56USD6,370,000 Sinclair Television 5.5% 01/03/2030 4,917,253 0.38


10

Holding/ Nominal

Value Investment

Market Value

£

% of Net

Assets

TestUnited States — (cont.) Test TestUSD618,000 SM Energy 6.125% 15/11/2022 443,581 0.03USD489,000 SM Energy 5% 15/01/2024 308,102 0.02USD825,000 SM Energy 5.625% 01/06/2025 516,611 0.04

USD4,079,000 SM Energy 6.75% 15/09/2026 2,588,438 0.20USD1,186,000 SM Energy 6.625% 15/01/2027 761,786 0.06USD4,458,000 Spectrum Brands 6.125% 15/12/2024 3,562,053 0.28USD5,511,000 Spectrum Brands 5% 01/10/2029 4,454,945 0.35USD5,421,000 Speedway Motorsports 4.875%

01/11/2027 4,169,161 0.33USD4,508,000 Sprint 7.125% 15/06/2024 4,057,706 0.32USD2,139,000 Sprint 7.625% 15/02/2025 1,969,827 0.15USD8,675,000 Sprint Capital 6.875% 15/11/2028 8,374,913 0.65USD6,261,000 Sprint Capital 8.75% 15/03/2032 7,098,254 0.55USD4,610,000 Stevens 6.125% 01/10/2026 3,881,932 0.30USD6,896,000 Sunoco Finance 5.875% 15/03/2028 5,550,101 0.43EUR4,436,000 Superior Industries International 6%

15/06/2025 3,537,669 0.28USD2,614,000 Tallgrass Energy 5.5% 15/09/2024 1,962,260 0.15USD2,430,000 Tallgrass Energy 6% 01/03/2027 1,819,397 0.14

USD636,000 Tallgrass Energy 5.5% 15/01/2028 445,601 0.03USD3,173,000 Targa Resources Partners 5.375%

01/02/2027 2,535,306 0.20USD2,509,000 Targa Resources Partners 6.5%

15/07/2027 2,087,274 0.16USD5,203,000 Targa Resources Partners 6.875%

15/01/2029 4,419,047 0.35USD598,000 Targa Resources Partners 5.5%

01/03/2030 470,875 0.04USD2,855,000 TEGNA 4.625% 15/03/2028 2,209,410 0.17

USD11,383,000 TEGNA 5% 15/09/2029 8,898,155 0.69USD6,123,000 Tempur Sealy International 5.5%

15/06/2026 5,040,505 0.39USD4,574,000 Tenet Healthcare 4.875% 01/01/2026 3,707,481 0.29USD3,050,000 Tenet Healthcare 6.25% 01/02/2027 2,543,004 0.20USD5,488,000 Tenet Healthcare 5.125% 01/11/2027 4,544,312 0.35USD6,700,000 Tesla 5.3% 15/08/2025 5,289,692 0.41USD4,437,000 Teva Pharmaceutical Finance

6.15% 01/02/2036 3,459,432 0.27USD3,666,000 Titan International 6.5% 30/11/2023 2,014,286 0.16USD9,562,000 TransDigm 6.25% 15/03/2026 8,028,765 0.63

USD24,988,000 TransDigm 5.5% 15/11/2027 19,822,936 1.55USD6,071,000 Trilogy International Partners 8.875%

01/05/2022 4,331,148 0.34USD1,500,000 Uber Technologies 7.5% 01/11/2023 1,225,004 0.10USD1,500,000 Uber Technologies 8% 01/11/2026 1,242,416 0.10USD1,400,000 Uber Technologies 7.5% 15/09/2027 1,149,396 0.09

USD512,000 United Rentals North America 5.875% 15/09/2026 420,987 0.03

USD2,025,000 United Rentals North America 6.5% 15/12/2026 1,704,216 0.13

USD1,518,000 United Rentals North America 5.5% 15/05/2027 1,266,136 0.10


11

Holding/ Nominal

Value Investment

Market Value

£

% of Net

Assets

TestUnited States — (cont.) Test TestUSD4,511,000 United Rentals North America

3.875% 15/11/20271 3,578,219 0.28USD1,354,000 United Rentals North America

4.875% 15/01/2028 1,113,629 0.09USD4,420,000 United Rentals North America 4%

15/07/2030 3,467,555 0.27USD13,328,000 United States Cellular 6.7%

15/12/2033 11,753,023 0.92USD4,643,000 USA Compression Finance 6.875%

01/04/2026 3,596,913 0.28USD3,743,000 Vector Group 6.125% 01/02/2025 2,838,678 0.22USD4,439,000 ViaSat 5.625% 15/09/2025 3,486,755 0.27USD5,441,000 ViaSat 5.625% 15/04/2027 4,405,180 0.34USD9,035,000 VICI Properties 4.25% 01/12/2026 7,184,230 0.56

USD365,000 VICI Properties 3.75% 15/02/2027 288,113 0.02USD3,927,000 VICI Properties 4.625% 01/12/2029 3,221,040 0.25

USD365,000 VICI Properties 4.125% 15/08/2030 288,819 0.02USD4,312,000 Viper Energy Partners 5.375%

01/11/20271 3,437,053 0.27USD7,754,000 Vista Outdoor 5.875% 01/10/2023 5,690,124 0.44USD1,617,000 Whiting Petroleum 6.625%

15/01/2026 472,386 0.04USD2,898,000 Williams Scotsman International

6.875% 15/08/2023 2,343,608 0.18USD8,414,000 Wynn Las Vegas 5.25% 15/05/2027 6,446,262 0.50

682,737,593 53.30

Bermuda — 0.00% (0.23%)

British Virgin Islands — 2.19% (1.91%)

USD3,558,000 Easy Tactic 8.75% 10/01/2021 2,819,248 0.22USD350,000 Easy Tactic 8.875% 27/09/2021 278,320 0.02

USD1,995,000 Easy Tactic 9.125% 28/07/2022 1,603,953 0.12USD1,500,000 Easy Tactic 5.875% 13/02/2023 1,093,569 0.09USD1,800,000 Fortune Star 5.25% 23/03/2022 1,398,836 0.11USD1,855,000 RongXingDa Development BVI 8%

24/04/2022 1,380,762 0.11USD8,063,000 Scenery Journey 11% 06/11/2020 6,365,427 0.50USD2,550,000 Scenery Journey 9% 06/03/2021 1,958,683 0.15USD2,200,000 Scenery Journey 11.5% 24/10/2022 1,668,774 0.13USD2,250,000 Scenery Journey 13% 06/11/2022 1,770,445 0.14USD2,200,000 Scenery Journey 12% 24/10/2023 1,659,818 0.13USD2,800,000 Studio City 7.25% 30/11/2021 2,202,600 0.17USD1,800,000 Wanda Properties International

7.25% 29/01/2024 1,398,252 0.11USD809,000 Wanda Properties Overseas 6.875%

23/07/2023 618,437 0.05USD571,000 Wisdom Glory Group 5.25% Open

Maturity 441,883 0.03USD1,797,000 Yingde Gases Investment 6.25%

19/01/2023 1,439,240 0.11

28,098,247 2.19


12

Holding/ Nominal

Value Investment

Market Value

£

% of Net

Assets

TestCanada — 1.49% (0.74%) Test TestUSD550,000 Bausch Health Cos 5% 30/01/2028 431,483 0.03USD830,000 Bausch Health Cos 5.25%

30/01/2030 653,556 0.05USD1,363,000 Baytex Energy 5.625% 01/06/2024 965,133 0.08USD2,040,000 Baytex Energy 8.75% 01/04/2027 1,526,290 0.12USD1,500,000 First Quantum Minerals 6.5%

01/03/2024 1,121,146 0.09USD1,500,000 First Quantum Minerals 7.5%

01/04/2025 1,132,754 0.09USD1,900,000 First Quantum Minerals 6.875%

01/03/2026 1,412,465 0.11USD1,500,000 Frontera Energy 9.7% 25/06/2023 1,200,279 0.09

USD545,000 GFL Environmental 5.125% 15/12/2026 439,686 0.04

USD747,000 MEG Energy 7% 31/03/2024 567,002 0.04USD2,635,000 MEG Energy 7.125% 01/02/2027 2,003,473 0.16USD6,280,000 New Red Finance 3.875%

15/01/2028 4,908,528 0.38USD2,585,000 New Red Finance 4.375%

15/01/2028 2,025,470 0.16USD825,000 Superior Plus 7% 15/07/2026 683,137 0.05

19,070,402 1.49

Cayman Islands — 7.93% (6.57%) USD400,000 Agile Group 8.5% 18/07/2021 325,007 0.03

USD1,075,000 Agile Group 6.7% 07/03/2022 866,411 0.07USD1,750,000 Central China Real Estate 8.75%

23/01/2021 1,378,047 0.11USD1,000,000 Central China Real Estate 6.5%

05/03/2021 771,015 0.06USD2,200,000 Central China Real Estate 7.9%

07/11/2023 1,691,163 0.13USD1,333,000 CFLD Cayman Investment 7.125%

08/04/2022 1,048,820 0.08USD667,000 CFLD Cayman Investment 8.6%

08/04/2024 526,549 0.04USD457,000 China Aoyuan Group 7.95%

07/09/2021 365,184 0.03USD1,400,000 China Aoyuan Group 5.375%

13/09/2022 1,079,556 0.08USD1,275,000 China Aoyuan Group 7.95%

19/02/2023 1,046,181 0.08USD1,419,000 China Evergrande 7% 23/03/2020 1,096,754 0.09USD1,500,000 China Evergrande 8.9% 24/05/20212 1,143,474 0.09USD6,450,000 China Evergrande 6.25% 28/06/2021 4,792,167 0.37USD1,174,000 China Evergrande 8.25% 23/03/2022 865,469 0.07

USD523,000 China Evergrande 9.5% 11/04/2022 389,604 0.03USD322,000 China Evergrande 11.5% 22/01/2023 245,191 0.02

USD1,400,000 China Evergrande 7.5% 28/06/2023 945,567 0.07USD1,299,000 China Evergrande 12% 22/01/2024 985,565 0.08USD2,401,000 China Evergrande 10.5% 11/04/2024 1,728,748 0.14USD6,640,000 China Evergrande 8.75% 28/06/2025 4,415,723 0.34USD1,800,000 CIFI 6.875% 23/04/2021 1,420,922 0.11


13

Holding/ Nominal

Value Investment

Market Value

£

% of Net

Assets

TestCayman Islands — (cont.) Test TestUSD2,829,000 CIFI 6.55% 28/03/2024 2,265,884 0.18USD1,800,000 Country Garden 7.5% 09/03/20201 1,392,973 0.11USD2,367,000 Dar Al-Arkan Sukuk 6.875%

21/03/2023 1,850,627 0.14USD1,500,000 Ezdan Sukuk 4.375% 18/05/2021 1,079,415 0.08USD7,453,000 Fantasia 8.375% 08/03/2021 5,811,275 0.45USD1,500,000 Fantasia 7.375% 04/10/2021 1,150,992 0.09

USD975,000 Fantasia 11.75% 17/04/2022 791,027 0.06USD1,500,000 Future Land Development 6.15%

15/04/2023 1,140,809 0.09USD2,604,000 Gol Finance 7% 31/01/2025 1,909,372 0.15USD1,800,000 Hilong 7.25% 22/06/2020 1,389,498 0.11USD5,134,000 Kaisa Group 11.75% 26/02/2021 4,132,210 0.32

USD500,000 Kaisa Group 7.875% 30/06/20212 386,965 0.03USD2,335,000 Kaisa Group 11.25% 09/04/2022 1,893,048 0.15USD3,050,000 Kaisa Group 8.5% 30/06/2022 2,342,977 0.18USD2,300,000 Kaisa Group 11.5% 30/01/2023 1,855,969 0.15USD2,600,000 Kaisa Group 9.375% 30/06/2024 1,932,535 0.15USD1,800,000 Kaisa Group 10.5% 15/01/2025 1,390,326 0.11USD1,000,000 KWG Group 7.875% 09/08/2021 800,635 0.06USD1,630,000 KWG Group 7.875% 01/09/2023 1,310,402 0.10USD1,125,000 Logan Property 7.5% 25/08/2022 907,764 0.07USD1,500,000 Logan Property 5.25% 23/02/2023 1,160,524 0.09USD1,113,000 Logan Property 6.9% 09/06/2024 896,234 0.07USD1,911,000 Powerlong Real Estate 7.125%

08/11/2022 1,497,692 0.12USD1,800,000 Redsun Properties Group 11.5%

04/03/2021 1,434,839 0.11USD772,000 Ronshine China 11.5% 03/07/2020 608,787 0.05

USD1,577,000 Ronshine China 8.75% 25/10/2022 1,272,509 0.10USD1,240,000 Ronshine China 8.1% 09/06/2023 995,876 0.08USD1,500,000 Sunac China 8.375% 15/01/2021 1,186,986 0.09USD4,950,000 Sunac China 7.35% 19/07/2021 3,917,161 0.31USD2,385,000 Sunac China 7.875% 15/02/2022 1,917,413 0.15

USD200,000 Sunac China 7.25% 14/06/2022 159,441 0.01USD1,300,000 Sunac China 8.35% 19/04/2023 1,064,171 0.08USD1,437,000 Sunac China 7.95% 11/10/2023 1,163,910 0.09USD1,189,000 Sunac China 7.5% 01/02/2024 948,136 0.07USD1,600,000 Times China 6.25% 17/01/2021 1,251,570 0.10USD1,210,000 Times China 7.85% 04/06/2021 951,604 0.07USD1,000,000 Wynn Macau 4.875% 01/10/2024 773,874 0.06USD2,800,000 Yuzhou Properties 7.9% 11/05/2021 2,215,746 0.17

USD550,000 Yuzhou Properties 8.5% 04/02/2023 448,614 0.04USD500,000 Yuzhou Properties 6% 25/10/2023 379,341 0.03

USD1,862,000 Yuzhou Properties 8.5% 26/02/2024 1,502,845 0.12USD712,000 Yuzhou Properties 8.375%

30/10/2024 569,240 0.04USD969,000 Yuzhou Properties 7.7% 20/02/2025 748,509 0.06

USD1,906,000 Yuzhou Properties 8.3% 27/05/2025 1,501,974 0.12USD1,800,000 Zhenro Properties Group 12.5%

02/01/2021 1,471,396 0.12


14

Holding/ Nominal

Value Investment

Market Value

£

% of Net

Assets

TestCayman Islands — (cont.) Test TestUSD2,038,000 Zhenro Properties Group 9.8%

20/08/2021 1,648,129 0.13USD8,670,000 Zhenro Properties Group 9.15%

08/03/2022 6,995,399 0.55

101,543,740 7.93

Costa Rica — 0.04% (0.04%) USD766,000 Instituto Costarricense de

Electricidad 6.375% 15/05/2043 524,623 0.04

Mexico — 1.11% (0.27%) USD2,100,000 Axtel 6.375% 14/11/2024 1,694,204 0.13USD1,800,000 CEMEX Finance 5.7% 11/01/2025 1,418,061 0.11USD8,368,000 Petroleos Mexicanos 7.69%

23/01/20501 7,026,219 0.55USD5,250,000 Petroleos Mexicanos 6.95%

28/01/20601 4,083,193 0.32

14,221,677 1.11

St. Lucia — 0.03% (0.03%) USD611,000 Digicel International Finance 8.75%

25/05/2024 471,655 0.03

UNITED KINGDOM — 6.46% (8.98%) USD8,358,208 EnQuest 7% 15/10/2023 5,417,117 0.42USD5,170,000 FMG Resources 4.5% 15/09/2027 3,955,918 0.31GBP3,889,000 Iceland Bondco 6.75% 15/07/2024 3,272,586 0.26

GBP12,535,000 Iceland Bondco 4.625% 15/03/2025 9,488,995 0.74EUR6,624,000 INEOS Finance 2.875% 01/05/20261 5,631,740 0.44

EUR481,000 International Game Technology 2.375% 15/04/2028 392,298 0.03

EUR1,954,000 Jaguar Land Rover Automotive 5.875% 15/11/2024 1,631,705 0.13

EUR5,438,000 Jaguar Land Rover Automotive 6.875% 15/11/2026 4,531,168 0.35

GBP4,742,750 JPIMedia 0% 25/01/2024 4,695,322 0.37USD750,000 Liquid Telecommunications

Financing 8.5% 13/07/2022 592,385 0.05USD1,500,000 MARB BondCo 7% 15/03/2024 1,197,098 0.09USD2,800,000 MARB BondCo 6.875% 19/01/2025 2,278,483 0.18

GBP10,659,000 Marston's Issuer 5.641% 15/07/2035 9,075,552 0.71GBP4,838,000 Matalan Finance 6.75% 31/01/2023 4,222,219 0.33USD1,200,000 NAK Naftogaz Ukraine via Kondor

Finance 7.625% 08/11/2026 980,749 0.08USD21,334,000 Neptune Energy Bondco 6.625%

15/05/2025 15,560,513 1.21GBP2,773,000 Ocado Group 4% 15/06/2024 2,816,791 0.22

USD950,000 Tullow Oil 6.25% 15/04/2022 564,619 0.04USD800,000 Tullow Oil 7% 01/03/2025 440,811 0.03

USD2,143,000 Vedanta Resources 8.25% 07/06/2021 1,641,828 0.13

USD1,677,000 Vedanta Resources 6.125% 09/08/2024 1,047,902 0.08

USD700,000 Vedanta Resources Finance II 9.25% 23/04/2026 486,999 0.04


15

Holding/ Nominal

Value Investment

Market Value

£

% of Net

Assets

TestUNITED KINGDOM — (cont.) Test TestGBP2,700,000 William Hill 4.75% 01/05/2026 2,808,000 0.22

82,730,798 6.46

IRELAND — 0.36% (1.69%) EUR5,076,000 eircom Finance 3.5% 15/05/2026 4,564,374 0.36

CHANNEL ISLANDS — 0.66% (0.43%) EUR3,300,000 Adient Global 3.5% 15/08/2024 2,532,326 0.20USD8,555,000 Adient Global 4.875% 15/08/2026 5,892,238 0.46

8,424,564 0.66

ISLE OF MAN — 0.42% (0.39%) USD569,000 AngloGold Ashanti 6.5% 15/04/20401 522,457 0.04

EUR5,759,000 Playtech 4.25% 07/03/2026 4,921,731 0.38

5,444,188 0.42

CONTINENTAL EUROPE — 18.25% (14.32%) Austria — 0.20% (0.23%)

EUR286,000 Egger Holzwerkstoffe 4.875% Open Maturity2 250,339 0.02

USD2,800,000 JBS Investments II 7% 15/01/2026 2,360,802 0.18

2,611,141 0.20

Denmark — 0.09% (0.00%) EUR1,568,000 Norican 4.5% 15/05/2023 1,101,137 0.09

France — 2.45% (1.62%) EUR1,278,000 Banijay Entertainment SASU 3.5%

01/03/2025 1,123,330 0.09USD1,058,000 Banijay Entertainment SASU 5.375%

01/03/2025 830,532 0.07EUR200,000 Casino Guichard Perrachon 4.498%

07/03/2024 153,580 0.01EUR1,300,000 Casino Guichard-Perrachon 4.561%

25/01/2023 1,068,702 0.08EUR2,000,000 Casino Guichard-Perrachon 4.048%

05/08/2026 1,421,331 0.11EUR2,200,000 Eramet 4.196% 28/02/20242 1,746,015 0.14

EUR200,000 Eramet 5.875% 21/05/20252 160,732 0.01EUR4,048,000 Faurecia 2.375% 15/06/2027 3,424,104 0.27EUR8,050,000 Holdikks 6.75% 15/07/20211 5,050,375 0.39EUR2,335,000 IM Group SAS 6.625% 01/03/2025 1,992,653 0.16

EUR821,000 Kapla SAS 3.375% 15/12/2026 699,792 0.06EUR3,600,000 La Financiere Atalian SASU 4%

15/05/2024 2,461,044 0.19EUR800,000 La Financiere Atalian SASU 5.125%

15/05/2025 547,979 0.04GBP500,000 La Financiere Atalian SASU 6.625%

15/05/2025 395,000 0.03EUR4,025,000 Ldikks New Money Notes 6.75%

15/07/20211 3,448,187 0.27EUR740,000 Quatrim SASU 5.875% 15/01/2024 660,951 0.05

EUR6,600,000 Rallye 4.371% 23/01/20233 1,450,666 0.11


16

Holding/ Nominal

Value Investment

Market Value

£

% of Net

Assets

TestFrance — (cont.) Test TestEUR6,800,000 Vallourec 2.25% 30/09/2024 4,722,193 0.37

31,357,166 2.45

Georgia — 0.09% (0.09%) USD900,000 Georgian Oil and Gas 6.75%

26/04/2021 721,874 0.06USD500,000 Georgian Railway 7.75% 11/07/2022 424,961 0.03

1,146,835 0.09

Germany — 1.51% (0.35%) EUR1,306,000 HP PELZER 4.125% 01/04/2024 980,398 0.08EUR1,100,000 IHO Verwaltungs 3.625% 15/05/2025 956,640 0.07EUR1,000,000 IHO Verwaltungs 3.875% 15/05/2027 869,673 0.07USD2,100,000 IHO Verwaltungs 6% 15/05/2027 1,710,455 0.13

USD546,785 IHO Verwaltungs 6.375% 15/05/2029 450,647 0.04EUR3,020,000 INEOS Styrolution Group 2.25%

16/01/2027 2,496,956 0.20EUR9,905,000 Nidda Healthcare 3.5% 30/09/2024 8,620,060 0.67

EUR500,000 WEPA Hygieneprodukte 2.875% 15/12/2026 435,269 0.03

EUR3,203,000 WEPA Hygieneprodukte 2.875% 15/12/2027 2,806,349 0.22

19,326,447 1.51

Italy — 1.36% (0.65%) EUR870,000 Atlantia 1.625% 03/02/2025 729,279 0.06

EUR2,000,000 Autostrade per l'Italia 5.875% 09/06/2024 1,968,662 0.15




EUR8,957,000 CMC Ravenna 6.875% 01/08/20223 193,772 0.01EUR4,086,000 CMC Ravenna 6% 15/02/20233 88,395 0.01EUR3,426,000 EVOCA 4.25% 01/11/2026 2,930,273 0.23EUR7,708,000 Rekeep 9% 15/06/2022 6,276,885 0.49

17,437,919 1.36

Luxembourg — 2.94% (3.43%) USD800,000 Aegea Finance 5.75% 10/10/2024 646,191 0.05

EUR3,264,000 ARD Finance 5% 30/06/2027 2,832,544 0.22USD1,598,000 Camelot Finance 4.5% 01/11/2026 1,267,567 0.10EUR4,000,000 Codere Finance 6.75% 01/11/2021 2,924,869 0.23USD1,000,000 CSN Resources 7.625% 13/02/2023 776,451 0.06

USD900,000 CSN Resources 7.625% 17/04/2026 691,263 0.05USD1,500,000 Hidrovias International Finance

5.95% 24/01/2025 1,208,207 0.09USD3,300,000 Kernel 8.75% 31/01/2022 2,694,447 0.21USD3,794,000 MHP 7.75% 10/05/2024 3,156,284 0.25USD1,800,000 MHP 6.95% 03/04/2026 1,449,500 0.11


17

Holding/ Nominal

Value Investment

Market Value

£

% of Net

Assets

TestLuxembourg — (cont.) Test TestUSD1,800,000 Minerva Luxembourg 6.5%

20/09/2026 1,467,511 0.12USD1,500,000 Minerva Luxembourg 5.875%

19/01/2028 1,214,220 0.10USD1,000,000 Nexa Resources 5.375% 04/05/20271 813,574 0.06EUR4,442,000 Odyssey Europe Holdco 8%

15/05/2023 3,809,064 0.30EUR200,000 Odyssey Europe Holdco Sarl 8%

15/05/2023 171,502 0.01USD1,000,000 Puma International Financing 5%

24/01/2026 723,277 0.06USD1,700,000 Rumo Luxembourg 7.375%

09/02/2024 1,413,084 0.11EUR2,869,000 Summer BC Holdco B SARL 5.75%

31/10/2026 2,557,158 0.20USD3,864,000 TMK OAO Via TMK Capital 4.3%

12/02/2027 2,960,347 0.23USD5,265,000 Trinseo Materials Finance 5.375%

01/09/2025 3,972,585 0.31USD1,093,000 Usiminas International Sarl 5.875%

18/07/2026 876,252 0.07

37,625,897 2.94

Netherlands — 9.20% (7.27%) USD1,350,000 Ajecorp 6.5% 14/05/2022 1,024,489 0.08

USD520,000 Alcoa Nederland 7% 30/09/2026 433,561 0.03USD2,155,000 Alcoa Nederland 6.125% 15/05/2028 1,763,591 0.14

EUR700,000 Dufry One 2% 15/02/2027 558,130 0.04EUR4,451,042 Dutch Lion 11.25% 15/06/20202 3,350,971 0.26EUR2,172,000 Frigoglass Finance 6.875%

12/02/2025 1,825,850 0.14USD1,598,000 IHS Netherlands Holdco 7.125%

18/03/2025 1,303,566 0.10USD1,500,000 Kazakhstan Temir Zholy Finance

6.95% 10/07/20421 1,651,825 0.13USD1,584,000 Metinvest 7.75% 23/04/2023 1,264,635 0.10EUR2,000,000 Metinvest 5.625% 17/06/2025 1,701,772 0.13USD1,400,000 Metinvest 8.5% 23/04/2026 1,122,914 0.09USD2,800,000 Metinvest 7.75% 17/10/2029 2,130,444 0.17EUR1,328,000 OI European Group 2.875%

15/02/2025 1,179,690 0.09USD4,893,000 Petrobras Global Finance 5.299%






15/01/2030 3,315,860 0.26


18

Holding/ Nominal

Value Investment

Market Value

£

% of Net

Assets

TestNetherlands — (cont.) Test TestUSD4,743,000 Petrobras Global Finance 6.875%




05/06/2115 8,525,813 0.67EUR2,018,000 Summer BidCo 9% 15/11/2025 1,833,058 0.14EUR9,700,000 Telefonica Europe 4.375% Open

Maturity 9,307,610 0.73EUR7,129,000 Teva Pharmaceutical Finance

Netherlands II 4.5% 01/03/2025 6,258,626 0.49EUR5,454,000 Teva Pharmaceutical Finance

Netherlands II 1.875% 31/03/2027 4,037,615 0.31USD2,371,000 Teva Pharmaceutical Finance

Netherlands III 2.8% 21/07/2023 1,745,406 0.14USD2,050,000 Teva Pharmaceutical Finance

Netherlands III 6% 15/04/2024 1,653,866 0.13USD4,282,000 Teva Pharmaceutical Finance




Netherlands III 4.1% 01/10/2046 3,343,594 0.26EUR8,001,000 Trivium Packaging Finance 3.75%

15/08/2026 7,132,034 0.56EUR1,631,000 United Group 3.125% 15/02/2026 1,372,566 0.11EUR2,751,000 United Group 3.625% 15/02/2028 2,307,364 0.18USD1,800,000 VTR Finance 6.875% 15/01/2024 1,418,047 0.11EUR4,400,000 Ziggo 2.875% 15/01/2030 3,836,078 0.30EUR1,899,000 Ziggo Bond 3.375% 28/02/2030 1,626,655 0.13

117,870,340 9.20

Norway — 0.12% (0.09%) USD1,850,000 Aker BP 4.75% 15/06/20241 1,496,787 0.12

Romania — 0.29% (0.00%) EUR1,800,000 RCS & RDS 2.5% 05/02/2025 1,533,043 0.12EUR2,600,000 RCS & RDS 3.25% 05/02/2028 2,215,476 0.17

3,748,519 0.29

Sweden — 0.00% (0.59%)

SOUTH AMERICA — 0.72% (1.18%) Argentina — 0.20% (0.49%)

USD1,942,000 AES Argentina Generacion 7.75% 02/02/2024 1,221,377 0.09

USD3,811,000 Agua y Saneamientos Argentinos 6.625% 01/02/2023 1,386,169 0.11

2,607,546 0.20

Brazil — 0.29% (0.40%) USD1,500,000 BRF 4.75% 22/05/2024 1,209,286 0.10


19

Holding/ Nominal

Value Investment

Market Value

£

% of Net

Assets

TestBrazil — (cont.) Test TestUSD2,300,000 Cemig Geracao e Transmissao

9.25% 05/12/2024 2,099,102 0.16USD431,000 Centrais Eletricas Brasileiras 4.625%

04/02/2030 350,984 0.03

3,659,372 0.29

Chile — 0.01% (0.01%) USD4,801,583 Inversiones Alsacia 8% 31/12/20183 92,896 0.01

Colombia — 0.04% (0.04%) USD642,000 Colombia Telecomunicaciones

8.5% Open Maturity 497,329 0.04

Paraguay — 0.09% (0.10%) USD1,485,000 Telefonica Celular del Paraguay

5.875% 15/04/2027 1,212,409 0.09

Peru — 0.09% (0.14%) USD1,423,000 Volcan Cia Minera 5.375%

02/02/20221 1,134,832 0.09

AFRICA — 0.66% (0.59%) Mauritius — 0.66% (0.59%)

USD2,800,000 Azure Power Energy 5.5% 03/11/2022 2,206,899 0.17

USD1,333,000 Azure Power Solar Energy 5.65% 24/12/2024 1,060,285 0.08

USD2,717,000 HT Global IT Solutions 7% 14/07/2021 2,139,412 0.17USD700,000 MTN Mauritius Investment 5.373%

13/02/2022 563,291 0.05USD1,500,000 MTN Mauritius Investment 6.5%

13/10/2026 1,323,325 0.10USD1,500,000 Neerg Energy 6% 13/02/2022 1,181,305 0.09

8,474,517 0.66

ASIA — 1.31% (1.75%) Azerbaijan — 0.06% (0.12%)

USD800,000 State Oil Company of the Azerbaijan Republic 6.95% 18/03/2030 786,627 0.06

Hong Kong — 0.40% (0.31%) USD18,000,000 Asia Aluminum 0% 31/12/20403 — —

USD600,000 China South City 5.75% 09/03/20201 464,324 0.04USD1,100,000 China South City 7.25% 25/01/2021 806,608 0.06USD2,991,000 China South City 11.875%

27/03/2021 2,283,537 0.18USD1,241,000 China South City 10.875%

26/06/2022 902,879 0.07USD885,000 Yancoal International Resources

Development 5.75% Open Maturity 684,536 0.05

5,141,884 0.40

Indonesia — 0.00% (0.19%)

Japan — 0.64% (0.39%) EUR8,559,000 SoftBank Group 5% 15/04/2028 8,174,920 0.64


20

Holding/ Nominal

Value Investment

Market Value

£

% of Net

Assets

TestKazakhstan — 0.18% (0.31%) Test TestUSD1,800,000 KazMunayGas National 4.4%

30/04/20231 1,482,043 0.12USD800,000 KazMunayGas National 5.75%

19/04/20471 788,918 0.06

2,270,961 0.18

Singapore — 0.03% (0.43%) USD600,000 Indika Energy Capital 6.875%

10/04/2022 468,997 0.03

MIDDLE EAST — 0.37% (0.33%) Turkey — 0.33% (0.33%)

USD2,546,000 Petkim Petrokimya 5.875% 26/01/2023 1,989,001 0.16

USD1,500,000 Turk Telekomunikasyon 4.875% 19/06/2024 1,169,517 0.09

USD1,287,000 Turk Telekomunikasyon 6.875% 28/02/2025 1,077,279 0.08

4,235,797 0.33

United Arab Emirates — 0.04% (0.00%)

USD626,000 Oztel SPC 6.625% 24/04/2028 521,462 0.04

FORWARD CURRENCY CONTRACTS — -0.10% (1.80%)

GBP(6,090,530) EUR6,984,000

Sold Sterling for Euro (Expires 18/03/2020)4 (45,238) —

EUR(58,386,936) GBP48,673,043

Sold Euro for Sterling (Expires 18/03/2020)4 (1,866,196) (0.15)

USD(243,890,764) GBP187,345,420

Sold US Dollars for Sterling (Expires 18/03/2020)4 (1,363,327) (0.11)

USD(14,917,150) GBP11,633,220

Sold US Dollars for Sterling (Expires 18/03/2020)4 91,181 0.01

USD(243,890,764) GBP187,357,063


USD(192,760,671) GBP148,049,227


EUR(1,100,000) GBP960,131

Sold Euro for Sterling (Expires 18/03/2020)4 7,980 —

EUR(64,866,265) GBP54,082,183

Sold Euro for Sterling (Expires 18/03/2020)4 (2,065,507) (0.16)

EUR(62,950,406) GBP54,803,050

Sold Euro for Sterling (Expires 15/04/2020)4 265,930 0.02

USD(64,590,091) GBP50,516,300


USD(100,575,999) GBP78,746,765


USD(55,362,935) GBP43,287,024


USD(88,580,696) GBP69,199,614


USD(158,130,003) GBP123,850,239

Sold US Dollars for Sterling (Expires 15/04/2020)4 1,560,100 0.12

USD(55,362,935) GBP43,268,823



21

Holding/ Nominal

Value Investment

Market Value

£

% of Net

Assets

TestFORWARD CURRENCY CONTRACTS — (cont.) Test Test

USD(101,498,714) GBP79,323,758


EUR(59,640,396) GBP51,950,315

Sold Euro for Sterling (Expires 15/04/2020)4 280,825 0.02

USD(87,657,980) GBP68,637,607


GBP(26,447,522) USD33,789,537

Sold Sterling for US Dollars (Expires 18/03/2020)4 (303,108) (0.02)

GBP(1,799,447) USD2,294,724

Sold Sterling for US Dollars (Expires 18/03/2020)4 (23,921) —

GBP(1,482,024) USD1,890,740


GBP(17,162,312) USD22,000,000

Sold Sterling for US Dollars (Expires 15/04/2020)4 (148,570) (0.01)

GBP(3,910,415) USD5,000,000


(1,292,662) (0.10)

Portfolio of investments5 1,222,201,375 95.41

Net other assets 58,797,585 4.59

Total net assets £1,280,998,960 100.00%

1 These are investment grade fixed interest securities and represent 6.58% of the net assets of the Trust.

2 These are unrated fixed interest securities and represent 0.55% of the net assets of the Trust.

3 Defaulted securities are valued at the Manager’s best assessment of their fair and reasonable value.

4 Unlisted securities are valued at the Manager’s best assessment of their fair and reasonable value.

5 Including investment liabilities.

Total purchases for the period: £614,270,323.

Total sales for the period: £605,373,134.

Financial Statements

22

Statement of Total Returnfor the period ended 5 March 2020

05/03/20 05/03/19

£ £ £ £

Income

Net capital gains/(losses) 12,632,225 (38,609,183)

Revenue 38,604,766 39,491,379

Expenses (2,356,276) (3,589,349)

Interest payable and similar charges (61,999) (34,322)

Net revenue before taxation 36,186,491 35,867,708

Taxation — —

Net revenue after taxation for the period 36,186,491 35,867,708

Total return before distributions 48,818,716 (2,741,475)

Distributions (36,186,564) (35,871,221)

Change in net assets attributable to Unitholders from investment activities £12,632,152 £(38,612,696)

Statement of Change in Net Assets attributable to Unitholders for the period ended 5 March 2020

05/03/20 05/03/19£ £ £ £

Opening net assets attributable to Unitholders 1,341,412,567 1,335,460,730

Amounts received on issue of units 32,951,200 47,897,092

Amounts paid on cancellation of units (41,281,720) (49,224,230)

Amounts paid on in-specie transactions (69,531,447) —

(77,861,967) (1,327,138)

Change in net assets attributable to Unitholders from investment activities 12,632,152 (38,612,696)

Retained distributions on accumulation units 4,813,458 5,415,696

Unclaimed distributions 2,750 1,345

Closing net assets attributable to Unitholders £1,280,998,960 £1,300,937,937

The difference between the opening net assets and the comparative closing net assets is the movement in the second half of the year.

Financial Statements continued

23

Balance Sheet as at 5 March 2020

05/03/20 05/09/19£ £

ASSETS

Fixed assets:

Investments 1,230,529,632 1,273,090,321

Current assets:

Debtors 36,926,209 32,724,780

Cash and bank balances 70,133,687 119,993,136

Total assets 1,337,589,528 1,425,808,237

LIABILITIES

Investment liabilities (8,328,257) (394,544)

Creditors:

Bank overdrafts (31,382,730) (45,211,491)

Distributions payable (5,434,863) (5,559,070)

Other creditors (11,444,718) (33,230,565)

Total liabilities (56,590,568) (84,395,670)

Net assets attributable to Unitholders £1,280,998,960 £1,341,412,567

Notes to the Financial Statements

24

1. Statement of ComplianceThe Financial Statements have been prepared in compliance with UK Financial Reporting Standard 102 (FRS 102) and in accordance with the Statement of Recommended Practice for UK Authorised Funds issued by the Investment Management Association in May 2014 (2014 SORP).

2. Accounting PoliciesThe accounting policies applied are consistent with the most recent annual Financial Statements.

(a) Basis of PreparationThe Financial Statements have been prepared on a going concern basis, under the historical cost convention as modified by the revaluation of certain financial assets and liabilities measured at fair value through profit or loss.

25

Trust Information

Net Asset Values and Units in Issue

ClassNet Asset Value (£) Units in Issue

Net Asset Value per

Unit (p)R-Class testDistribution Units 112,697,014 241,011,729 46.76Accumulation Units 97,788,548 73,427,668 133.18F-Class testDistribution Units 102,405 217,080 47.17Accumulation Units 324,783 233,328 139.20I-Class testDistribution Units 425,186,445 909,298,411 46.76Accumulation Units 51,443,437 35,437,291 145.17L-Class testDistribution Units 593,455,281 1,195,467,150 49.64Accumulation Units 1,047 2,000 52.35

Past performance is not a guide to future performance.

The price of units and any income from them may go down as well as up.

Exchange rate changes may cause the value of any overseas investments to rise or fall.

Ongoing Charges Figures

5 Mar 20 5 Sep 19R-Class test 1.15% 1.15%F-Class test 0.65% 0.65%I-Class test 0.41% 0.41%L-Class test 0.01% 0.01%

The Ongoing Charges Figure (OCF) is the ratio of the Trust's total disclosable costs (excluding overdraft interest) to the average net assets of the Trust.

The OCF is intended to provide a reliable figure which gives the most accurate measure of what it costs to invest in a fund and is calculated based on the last period's figures.

Distribution Information

R-Class The distribution payable on 4 April 2020 is 0.1926p per unit for distribution units and 0.5463p per unit for accumulation units.

F-Class The distribution payable on 4 April 2020 is 0.2149p per unit for distribution units and 0.6248p per unit for accumulation units.

I-Class The distribution payable on 4 April 2020 is 0.2196p per unit for distribution units and 0.6787p per unit for accumulation units.

L-Class The distribution payable on 4 April 2020 is 0.2486p per unit for distribution units and 0.2640p per unit for accumulation units.

26

Risk and Reward Profile

1 2 3 4 5 6 7

Lower risk Higher risk

Potentially lower rewards Potentially higher rewards

• The Risk and Reward Indicator table demonstrates where the Trust ranks in terms

of its potential risk and reward. The higher the rank the greater the potential reward but the greater the risk of losing money. It is not guaranteed to remain the same and may change over time. It is based on historical data and may not be a reliable indication of the future risk profile of the Trut. The shaded area in the table above shows the Trust’s ranking on the Risk and Reward Indicator.

• The Trust is in category three because it invests in company or government bonds which are sensitive to changes in interest rates, inflation and credit. This can be driven by political and economic changes and other significant events and may cause the value to go up and down. Bonds that are closer to their maturity date tend to be more stable in value. Bonds are generally considered to be higher risk investments than cash, but lower risk than company shares.

• Even a trust in the lowest category is not a risk free investment.

General Information

27

ConstitutionLaunch date: 1 November 2000

Period end dates for distributions: 5 of each month5 September (Final)

Distribution dates: 4 of each month4 October (Final)

Minimum initial lump sum investment: R-Class £100

F-Class* £500I-Class £1,000,000L-Class** £100,000

Minimum monthly contributions: R-Class £20F-Class* £50I-Class N/AL-Class** N/A

Valuation point: 12 noon

Fund management fees: R-Class Annual 1.15%F-Class* Annual 0.65%I-Class Annual 0.41%L-Class** Annual 0.01%

Initial charges: Nil for all existing unit classes

* Class F units are available to:

(i) investors who have received advice from authorised intermediaries, platforms or other distributors in relation to their investment in units in the Trust; and

(ii) distributors who the Manager reasonably considers will adequately bear the costs of marketing to and acquiring investors at no or limited cost to the Manager, and to whom the Manager has confirmed that such distributor or investor meets the criteria for investment in such units.

** Class L units are only available to other Legal & General funds and/or companies which have entered into an agreement with the Manager or an affiliate of the Manager.

Pricing and DealingThe prices are published on the internet at www.legalandgeneral.com/investments/funds/prices-and-reports/daily-fund-prices immediately after they become available.

Dealing in units takes place on a forward pricing basis, from 8:30am to 6:00pm, Monday to Friday.

Buying and Selling UnitsUnits may be bought on any business day from the Manager or through a financial adviser by completing an application form or on the internet at www.legalandgeneral.com. Units may normally be sold back to the Manager on any business day at the bid price calculated at the following valuation point.

General Information continued

28

ISA Status This Trust may be held within this tax advantaged savings arrangement. The favourable tax treatment of ISAs may not be maintained. For full written information, please contact your usual financial adviser or ring 0370 050 0955.

Call charges will vary. We may record and monitor calls.

Prospectus and Manager’s Reports Copies of the Prospectus and the most recent annual or interim reports are available free of charge by telephoning 0370 050 0955 or by writing to the Manager.

Do you have difficulty in reading information in print because of a disability? If so, we can help. We are able to produce information for our clients in large print and braille. If you would like to discuss your particular requirements, please contact us on0370 050 0955.

EU Savings Directive The Trust has been reviewed against the requirements of the Directive 2003/48/EC on Taxation of savings in the form of interest payments (ESD), following the HM Revenue & Customs debt investment reporting guidance notes.

Under the Directive, information is collected about the payment of distributions to residents in certain other countries and is reported to HM Revenue & Customs to be exchanged with Tax authorities in those countries.

The Trust falls within the 25% debt investment reporting threshold. This means that details of all distributions and redemption proceeds paid to non UK investors will be reported by Legal & General (Unit Trust Managers) Limited to HM Revenue & Customs to be exchanged with the relevant Tax authorities.

Dual Pricing ArrangementThe Manager’s fixed dual pricing arrangement has a set spread to account for the costs of transacting in a particular Trust. Where the Manager operates a box through which unit subscriptions and unit redemptions are netted into a single trade instruction to the Trustee, the netting reduces the actual transaction costs and this generates a revenue to the Manager. The revenue generated from this activity is calculated on a monthly basis and returned to the Trust in the form of a payment from the Manager. This provides an enhanced return to the Trust, though the size of any return will be dependent on the size of subscriptions and redemptions.

Significant ChangePublication of Short Report DiscontinuedWith effect from 20 September 2019, the Short Report for this Trust will no longer be issued.

General Information continued

29

Authorised Fund ManagerLegal & General (Unit Trust Managers) LimitedRegistered in England and Wales No. 01009418Registered office:One Coleman Street,London EC2R 5AATelephone: 0370 050 3350Authorised and regulated by the Financial Conduct Authority

Directors of the ManagerA. Clare* (appointed 10 September 2019) E. Cowhey* (appointed 9 October 2019)A. J. C. CravenS. Hynes H. Morrissey (resigned 18 October 2019)H. SolomonL. W. TomsA. R. Toutounchi*M. J. Zinkula (resigned 15 July 2019)

*Non-executive Director

SecretaryJ. McCarthy

RegistrarLegal & General (Unit Trust Managers) LimitedP.O. Box 6080,Wolverhampton WV1 9RBAuthorised and regulated by the Financial Conduct Authority

Dealing: 0370 050 0956Enquiries: 0370 050 0955Registration: 0370 050 0955Call charges will vary. We may record and monitor calls.

Trustee Northern Trust Global Services SE UK BranchTrustee and Depositary Services50 Bank Street,Canary Wharf,London E14 5NT

Authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority

Independent AuditorsKPMG LLP 15 Canada Square,London E14 5GL

Investment AdviserLegal & General Investment Management LimitedOne Coleman Street,London EC2R 5AAAuthorised and regulated by the Financial Conduct Authority

Authorised and regulated by the Financial Conduct AuthorityLegal & General(Unit Trust Managers) LimitedRegistered in England and Wales No. 01009418Registered office:One Coleman Street,London EC2R 5AAwww.legalandgeneral.com

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