2016 semi annual report and unaudited financial statements ... 2016 semi annual report and unaudited...

2016 SEMI ANNUAL REPORT AND UNAUDITED FINANCIAL STATEMENTS

30 September 2016

Russell Investment Company II plcan umbrella fund with segregated liability between sub-funds

Russell Emerging Market Debt Local Currency Fund

Russell Emerging Markets Extended Opportunities Fund

Russell Euro Fixed Income Fund

Russell Global Bond (Euro Hedged) Fund

Russell Global Defensive Equity Fund

Russell Pan European Equity Fund

Russell U.K. Equity Plus Fund

Russell U.S. Quant Fund

Russell World Equity Fund

Russell Investment Company II plc

Contents

Contents

Administration of the Company .............................................................................................................................. 2 Background to the Company ................................................................................................................................. 6 Combined Financial Statements ............................................................................................................................ 7 Russell Emerging Market Debt Local Currency Fund ........................................................................................... 10 Russell Emerging Markets Extended Opportunities Fund ..................................................................................... 25 Russell Euro Fixed Income Fund ........................................................................................................................... 44 Russell Global Bond (Euro Hedged) Fund ............................................................................................................ 68 Russell Global Defensive Equity Fund .................................................................................................................. 110 Russell Pan European Equity Fund ....................................................................................................................... 125 Russell U.K. Equity Plus Fund ............................................................................................................................... 138 Russell U.S. Quant Fund ....................................................................................................................................... 147 Russell World Equity Fund .................................................................................................................................... 159 Notes to the Financial Statements ......................................................................................................................... 180


Administration of the Company

2 Administration of the Company

Board of Directors of the Company* Global Sub-Custodian

Mr. James Firn (Chairman) State Street Bank and Trust Company

Mr. James Beveridge Copley Place

Mr. Peter Gonella 100 Huntington Avenue

Mr. Neil Jenkins Boston, MA 02116

Mr. John McMurray United States of America

Mr. Tom Murray

Mr. William Roberts Company Secretary

Mr. David Shubotham MFD Secretaries Limited

Mr. Kenneth Willman 2nd Floor, Beaux Lane House

Mercer Street Lower

Members of the Manager’s Audit Committee Dublin 2

Mr. David Shubotham (Chairman) Ireland

Mr. Tom Murray

Mr. William Roberts Adviser, Promoter and Distributor

Russell Investments Limited

Registered Office Rex House

78 Sir John Rogerson’s Quay 10 Regent Street, St. James’

Dublin 2 London SW1Y 4PE

Ireland England

Manager Money Managers for Russell Emerging Market Debt Local

Russell Investments Ireland Limited Currency Fund 78 Sir John Rogerson’s Quay Babson Capital Management LLC

Dublin 2 1500 Main Street, Suite 2200

Ireland Springfield, MA 01115-5189

United States of America

Independent Auditors

PricewaterhouseCoopers GLG Partners LP

Chartered Accountants and Statutory Audit Firm One Curzon Street

One Spencer Dock London, W1J 5HB

North Wall Quay United Kingdom

Dublin 1

Ireland Pictet Asset Management Ltd.

Level 11, Moor House

Legal Advisers 120 London Wall

Maples and Calder London, EC2Y 5ET

75 St. Stephen’s Green England

Dublin 2

Ireland Money Managers for Russell Emerging Markets Extended

Opportunities Fund

Administrator Barrow, Hanley, Mewhinney & Strauss Inc.

State Street Fund Services (Ireland) Limited JP Morgan Chase Tower

78 Sir John Rogerson’s Quay 2200 Ross Avenue, 31th Floor

Dublin 2 Dallas, TX 75201

Ireland United States of America

Depositary**

State Street Custodial Services (Ireland) Limited

78 Sir John Rogerson’s Quay

Dublin 2

Ireland

* As of 30 September 2016.

** UCITS V Directive

The regulations transposing the UCITS V Directive (Directive 2014/91/EU) (“UCITS V”) into Irish Law came into effect on 21 March

2016. UCITS V places an increased responsibility on the party acting as depositary of a UCITS fund. Prior to the implantation of UCITS

V, State Street Custodial Services (Ireland) Limited (the “Depositary”) acted as, custodian and trustee to the Company under a custody

agreement. The Depositary has now been appointed as a Depositary under a new depositary agreement that replaces the existing custody

agreement and as such is hereinafter referred to as the Depositary.


Administration of the Company - continued

Administration of the Company 3

BlackRock International Limited Money Managers for Russell Euro Fixed Income Fund

16/F Cheung Kong Centre Fidelity Investments International Limited

2 Queen’s Road Central Oakhill House

Hong Kong 130 Tonbridge Road

Hildenborough

East Capital Asset Management AB Tonbridge

Kungsgatan 33, Box 1364 Kent TN11 9DZ

111 93 Stockholm England

Sweden

Pioneer Investments

Imara Asset Management Ltd. 10 S LaSalle Street

Imara House Chicago, IL 60603

257 Oxford Road United States of America

Illovo 2196

Johannesburg Russell Investments Implementation Services, LLC

South Africa 1301 Second Avenue, 18th Floor

Seattle, WA 98101

Jardim Botanico Investimentos United States of America

Rua Alexandre Dumas

1601 / conj. 52 São Paulo Russell Investment Management LLC

SP 1301 Second Avenue

Brazil 18th Floor

Seattle, WA 98101

JK Capital Management Ltd. United States

Suite 1101, Chinachem Tower

34-37 Connaught Road Central Western Asset Management

Hong Kong 155 Bishopsgate

London, EC2M 3XG

Oaktree Capital Management L.P. England

680 Washington Blvd., 6th Floor

Stamford, CT 06901 Money Managers for Russell Global Bond (Euro Hedged)

United States of America Fund

BlueBay Asset Management Limited

Quantum Advisors 77 Grosvenor Street

PH Los Pinos, Planta Baja London, W1K 3JR

Calle 49, Bella Vista England

Panama

Colchester Global Investors Limited

Russell Investments Limited Heathcoat House

Rex House Rex House 20 Savile Row

10 Regent Street 10 Regent Street London W1S 3PR

London, SW1Y 4PE London, SW1Y 4PE

England England

Russell Investment Management, LLC Insight Asset Management

1301 Second Avenue, 18th Floor 160 Queen Victoria Street

Seattle, WA 98101 London, EC4V 4LA

United States of America England

Russell Investments Implementation Services, LLC Loomis, Sayles & Company, L.P.

1301 Second Avenue, 18th Floor One Financial Center

Seattle, WA 98101 Boston, MA 02111

United States of America United States of America

RWC Partners Pacific Investment Management Company

60 Petty France 650 Newport Center Drive

London, SW1H 9EU Newport Beach, CA 92660

England United States of America



4 Administration of the Company

Russell Investments Implementation Services, LLC Russell Investments Limited

1301 Second Avenue, 18th Floor Rex House

Seattle, WA 98101 10 Regent Street

United States of America London, SW1Y 4PE

England

Schroder Investment Management Inc.

875 Third Avenue, 22nd Floor Money Managers for Russell U.K. Equity Plus Fund

New York, NY 10022- 6225 BlackRock International Limited

United States of America 12 Throgmorton Avenue

London EC2N 2DL

Money Managers for Russell Global Defensive Equity Fund England

Intech Investment Management, LLC

525 Okeechobee Blvd GLG Partners LP

West Palm Beach, FL 33401 One Curzon Street

United States of America London, W1J 5HB

United Kingdom

Perkins Investment Management, LLC

311 S. Wacker Drive, Suite 6000 Russell Investments Limited

Chicago, IL 60606 Rex House

United States of America 10 Regent Street

London, SW1Y 4PE

Russell Investments Limited England

Rex House

10 Regent Street Standard Life Investments

London, SW1Y 4PE 1 George Street

England Edinburgh EH2 2LL

Scotland

Russell Investment Management, LLC

1301 Second Avenue, 18th Floor Money Managers for Russell U.S. Quant Fund

Seattle, WA 98101 Aronson and Johnson and Ortiz, L.P.

United States of America 230 South Broad Street, 20th Floor

Philadelphia, PA 19102

Money Managers for Russell Pan European Equity Fund United States of America

GAM Holdings AG

Hardstrasse 201 Jacobs Levy Equity Management Inc.

P.O. Box 8037 101 Campus Drive, P.O. Box 650

Zurich Florham Park, NJ 07932-0650

Switzerland United States of America

Hermes Sourcecap Limited Numeric Investors, L.P.

1 Portsoken Street 1 Memorial Drive

London, E1 8HZ Cambridge, MA 02142

England United States of America

Numeric Investors, L.P. PanAgora Asset Management Inc.

1 Memorial Drive 470 Atlantic Avenue, 8th Floor

Cambridge, MA 02142 Boston, MA 02210

United States of America United States of America

Pyramis Global Advisor Russell Investments Management, LLC

900 Salem Street 1301 Second Avenue, 18th Floor

Smithfield Seattle, WA 98101

Rhode Island, RI 02917 United States of America


S.W. Mitchell Capital, LLP

Pzena Investment Management 8 Jermyn Street

120 West 45th Street, 20th Floor Princes House

New York, NY 10036 London, SWIY 6DN

United States of America England



Administration of the Company 5

Money Managers for Russell World Equity Fund Paying and Information Agent in France

Axiom International Investors, LLC Société Générale

55 Railroad Avenue, 3rd Floor 29, boulevard Haussmann

Greenwich, CT 06830 75009 Paris

United States of America France

Harris Associates, L.P. Paying and Information Agent in Germany*

2 North LaSalle Street, Suite 500 Marcard, Stein & Co AG

Chicago, IL 60602 Ballindamm 36

United States of America 20095 Hamburg

Germany

MFS Investment Management

111 Huntington Avenue Paying and Information Agent in Italy

Boston, MA 02199-7632 BNP Paribas Securities Services, Milan Branch

United States of America Via Ansperto 5

20121 Milan

Numeric Investors, L.P. Italy

1 Memorial Drive

Cambridge, MA 02142 Paying Agent in Italy

United States of America SGSS S.p.A

Via Benigno Crespi, 19/A-MAC2

Russell Investments Limited 20159 Milan

Rex House Italy

10 Regent Street

London, SW1Y 4PE Information Agent and Representative in the Netherlands England Deutsche Bank AG

Amsterdam Branch

Sustainable Growth Advisors, L.P. Herengracht 450 - 454

3 Stamford Plaza 1017 CA Amsterdam

301 Tresser Boulevard, Suite 1310 The Netherlands

Stamford, CT 06901


Paying and Information Agent in Austria

UniCredit Bank Austria AG

Schottengasse 6-8

1010 Vienna

Austria

* The Company’s Memorandum and Articles of Association, the Prospectus, the Key Investor Information Documents, the unaudited semi-

annual reports, as well as the audited annual reports can be obtained free of charge from the office of the paying and information agent via

regular mail or per e-mail. The net asset value of each of the Funds and the subscription and redemption prices of the shares of the Funds are

published jointly and daily on “www.fundinfo.com” for information purposes only and do not constitute an invitation to subscribe for or

repurchase the Company’s shares at those prices.


Background to the Company

6 Background to the Company

Russell Investment Company II plc (the “Company”) was incorporated in Ireland as a public limited company on 1 November

2000. The Company operates pursuant to Irish company law under the Companies Act 2014, and has been authorised since 8

November 2000 by the Central Bank of Ireland (the “Central Bank”).

The Company is an open-ended investment company with variable capital which is authorised by the Central Bank under the

European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (as amended) (the

“UCITS Regulations”) and under the Central Bank (Supervision & Enforcement) Act 2013 (Section 48(1) (Undertakings for

Collective Investment in Transferable Securities) Regulations 2015, as amended.

The Company is organised in the form of an umbrella fund with segregated liability between sub-funds and as at 30 September

2016, has ten constituent funds available for investment (each a “Fund”, collectively the “Funds”).

Please refer to the Prospectus for details of the investment objectives and strategies of the particular Fund.

The Adviser, the Manager and their affiliated group companies are referred to collectively as “Russell Investments” in these

financial statements.

The net assets under management for the Funds as at 30 September 2016 amounted to EUR 4,332,702,269 (as at 31 March 2016:

EUR 4,259,099,826; as at 30 September 2015: EUR 4,630,583,137) are broken down as follows:

Fund

Funded during

the year ended

Functional

Currency

Net Assets

30 September 2016

‘000

Net Assets

31 March 2016

‘000

Net Assets

30 September 2015

‘000

Russell Emerging Market Debt Local Currency Fund 31 March 2013 USD 545,822 435,807 359,644

Russell Emerging Markets Extended Opportunities Fund 31 March 2012 USD 792,642 695,844 709,931

Russell Euro Fixed Income Fund 31 March 2002 EUR 283,579 292,422 308,708

Russell Global Bond (Euro Hedged) Fund 31 March 2002 EUR 361,511 410,199 559,656

Russell Global Defensive Equity Fund 31 March 2013 USD 151,050 133,836 147,888

Russell Pan European Equity Fund 31 March 2002 EUR 520,532 522,434 496,345

Russell U.K. Equity Plus Fund 31 March 2007 GBP 58,489 90,915 99,055

Russell U.S. Quant Fund 31 March 2002 USD 233,221 264,084 249,201

Russell World Equity Fund 31 March 2005 USD 1,760,449 1,797,342 2,028,664

Russell U.S. Equity Plus Fund remained unfunded as at 30 September 2016.

All share classes are Accumulation Class Shares unless otherwise indicated in the name of the share class.

All references to “net assets” throughout this document refer to net assets attributable to holders of redeemable participating

shares unless otherwise stated.

Notice to the Shareholders: Fund Performance and Market Commentary

For information regarding six months Fund performance and market commentary please contact the client executive.

Alternatively please email [email protected]

Investment Objectives

During the period, there has been no change to investment objective as stated within the Prospectus.


Combined Balance Sheet

As at 30 September 2016

The accompanying notes are an integral part of the financial statements.

Combined Balance Sheet 7

Total

30 September 2016

(Unaudited)

EUR ‘000

Total

31 March 2016

(Audited)

EUR ‘000

Assets

Financial assets at fair value through profit or loss ................................................................... 4,285,493 4,275,619

Cash at bank .......................................................................................................................... 85,604 60,180

Cash held with brokers and counterparties for open financial derivative instruments ........... 34,742 17,881

Debtors:

Receivable for investments sold ................................................................................... 41,250 66,858

Receivable on fund shares issued ................................................................................. 2,812 8,284

Dividends receivable .................................................................................................... 5,794 7,841

Interest receivable ........................................................................................................ 10,260 10,926

Prepayments and other debtors .................................................................................... 33 24

4,465,988 4,447,613

Liabilities

Financial liabilities at fair value through profit or loss .......................................................... (17,537) (32,664)

Creditors – amounts falling due within one financial year:

Bank overdraft ............................................................................................................. - (1,025)

Cash due to brokers and counterparties for open financial derivative instruments ...... (2,508) (3,984)

Payable for investments purchased .............................................................................. (101,960) (77,094)

Payable on fund shares redeemed ................................................................................ (2,948) (65,122)

Distributions payable on income share classes ............................................................ (3,046) (2,623)

Management fees payable ............................................................................................ (3,834) (3,755)

Performance fees payable ............................................................................................ (828) (1,550)

Depositary fees payable ............................................................................................... (94) (50)

Sub-custodian fees payable .......................................................................................... (328) (303)

Administration fees payable ......................................................................................... (88) (152)

Audit fees payable ........................................................................................................ (94) (171)

Other fees payable ........................................................................................................ (21) (20)

(133,286) (188,513)

Net assets attributable to redeemable participating shareholders .......................... 4,332,702 4,259,100


Combined Profit and Loss Account

For the six months ended 30 September 2016


8 Combined Profit and Loss Account

Total

Six months ended

30 September 2016

(Unaudited)

EUR ‘000

Total

Six months ended

30 September 2015

(Unaudited)

EUR ‘000

Income

Dividends ..................................................................................................................... 48,594 57,738

Interest income ............................................................................................................. 18,262 20,826

66,856 78,564

Net gain (loss) on investment activities ......................................................................... 170,559 (450,217)

Total investment income (expense) ............................................................................. 237,415 (371,653)

Expenses

Management fees ......................................................................................................... (22,721) (27,107)

Performance fees .......................................................................................................... (556) (543)

Depositary fees ............................................................................................................. (294) (207)

Sub-custodian fees ....................................................................................................... (1,168) (1,148)

Administration and transfer agency fees ...................................................................... (885) (975)

Audit fees ..................................................................................................................... (89) (89)

Professional fees .......................................................................................................... (61) (271)

Other fees ..................................................................................................................... (137) (208)

Total operating expenses .............................................................................................. (25,911) (30,548)

Net income (expense) .................................................................................................... 211,504 (402,201)

Finance costs

Distributions .................................................................................................................. (35,654) (40,266)

Profit (loss) for the financial period before taxation ................................................. 175,850 (442,467)

Taxation

Capital gains tax ........................................................................................................... (54) (153)

Withholding tax ........................................................................................................... (6,467) (7,689)

Net increase (decrease) in net assets attributable to redeemable participating

shareholders resulting from operations ...................................................................... 169,329 (450,309)

All amounts for the six months ended 30 September 2016 arose solely from continuing operations. There are no recognised gains or losses other

than those dealt with in the Profit and Loss Account.


Combined Statement of Changes in Net Assets Attributable to Redeemable Participating

Shareholders



Combined Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders 9

Total

Six months ended

30 September 2016

(Unaudited)

EUR ‘000

Total

Six months ended

30 September 2015

(Unaudited)

EUR ‘000


shareholders resulting from operations ...................................................................... 169,329 (450,309)

Share transactions

Reinvestment of deemed distributions on accumulation shares ................................... 29,554 35,153

Net increase (decrease) in net assets resulting from redeemable participating share

transactions .................................................................................................................. (158,861) (351,501)

Total net increase (decrease) in net assets attributable to redeemable

participating shareholders ........................................................................................... 40,022 (766,657)

Currency translation (Note 1) ............................................................................................. 33,580 (150,542)

Net assets attributable to redeemable participating shareholders

Beginning of financial period ....................................................................................... 4,259,100 5,547,782

End of financial period ................................................................................................. 4,332,702 4,630,583



Balance Sheet



10 Russell Emerging Market Debt Local Currency Fund

30 September 2016

(Unaudited)

USD ‘000

31 March 2016

(Audited)

USD ‘000

Assets

Financial assets at fair value through profit or loss .......................................................... 510,495 385,794

Cash at bank (Note 2) ....................................................................................................... 54,803 32,814

Cash held with brokers and counterparties for open financial derivative instruments

(Note 2) ............................................................................................................................ 791 7,110

Debtors:

Receivable for investments sold .................................................................................... 967 14,226

Receivable on fund shares issued .................................................................................. 465 77

Interest receivable .......................................................................................................... 6,359 6,394

573,880 446,415

Liabilities

Financial liabilities at fair value through profit or loss .................................................... (4,710) (6,905)


Cash due to brokers and counterparties for open financial derivative positions

(Note 2) .......................................................................................................................... (700) (880)

Payable for investments purchased ................................................................................ (19,949) (1,052)

Payable on fund shares redeemed .................................................................................. - (3)

Distributions payable on income share classes .............................................................. (2,076) (1,246)

Management fees payable ............................................................................................. (525) (436)

Depositary fees payable ................................................................................................. (12) (5)

Sub-custodian fees payable ........................................................................................... (61) (39)

Administration and transfer agency fees payable ........................................................... (11) (16)

Audit fees payable ......................................................................................................... (12) (24)

Other fees payable ......................................................................................................... (2) (2)

(28,058) (10,608)

Net asset value attributable to redeemable participating shareholders .................... 545,822 435,807



Profit and Loss Account



Russell Emerging Market Debt Local Currency Fund 11

Six months ended

30 September 2016

(Unaudited)

USD ‘000

Six months ended

30 September 2015

(Unaudited)

USD ‘000

Income

Interest income .............................................................................................................. 12,932 13,126

Net gain (loss) on investment activities ........................................................................... 10,432 (64,122)

Total investment income (expense) ............................................................................... 23,364 (50,996)

Expenses

Management fees (Note 3) ............................................................................................ (2,840) (2,357)

Performance fee (Note 3) .............................................................................................. - (28)

Depositary fees (Note 4) ............................................................................................... (33) (17)

Sub-custodian fees (Note 4) .......................................................................................... (211) (146)

Administration and transfer agency fees (Note 4) ........................................................ (96) (88)

Audit fees ...................................................................................................................... (12) (12)

Professional fees ........................................................................................................... (5) (25)

Other fees ...................................................................................................................... (30) (23)

Total operating expenses ............................................................................................... (3,227) (2,696)

Net income (expense) ..................................................................................................... 20,137 (53,692)

Finance costs

Distributions (Note 6) ................................................................................................... (9,938) (8,420)

Profit (loss) for the financial period before taxation ................................................... 10,199 (62,112)

Taxation (Note 7)

Capital gains tax ............................................................................................................ (61) (28)

Withholding tax ............................................................................................................. (353) (250)


shareholders resulting from operations ........................................................................ 9,785 (62,390)

All amounts arose solely from continuing operations. There are no recognised gains or losses other than those dealt with in the Profit and Loss

Account.



Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders




Six months ended

30 September 2016

(Unaudited)

USD ‘000

Six months ended

30 September 2015

(Unaudited)

USD ‘000



Share transactions

Reinvestment of deemed distributions on accumulation shares (Note 6) ..................... 6,645 6,634


transactions (Note 8) ..................................................................................................... 93,585 33,366


participating shareholders ............................................................................................. 110,015 (22,390)


Beginning of financial period ....................................................................................... 435,807 382,034

End of financial period ................................................................................................. 545,822 359,644



Schedule of Investments

30 September 2016



Principal

Amount

Fair Value

USD ‘000

Fund

%

Transferable Securities (80.54%)

Long Term Bonds and Notes (78.26%)

Brazil (4.90%)

Brazil Notas do Tesouro

Nacional Serie B

BRL 8,806,000 6.000% due 15/08/20 ....... 8,042 1.47

5,400,000 6.000% due 15/08/50 ....... 5,121 0.94


Nacional Serie F

12,021,000 10.000% due 01/01/21 ..... 3,629 0.66

20,416,000 10.000% due 01/01/23 ..... 6,050 1.11

6,427,000 10.000% due 01/01/25 ..... 1,879 0.34

7,106,000 10.000% due 01/01/27 ..... 2,049 0.38

26,770 4.90

Chile (0.29%)

CLP

Chile Government

International Bond

966,200,000 5.500% due 05/08/20 ....... 1,564 0.29

Colombia (6.36%)

COP

Colombia Government

International Bond

1,160,000,000 7.750% due 14/04/21 ....... 431 0.08

995,000,000 9.850% due 28/06/27 ....... 423 0.08

Colombian TES

5,380,500,000 5.000% due 21/11/18 ....... 1,826 0.33

4,335,000,000 7.000% due 11/09/19 ....... 1,534 0.28

7,200,000 11.000% due 24/07/20 ..... 2,879 0.53

5,771,000,000 7.000% due 04/05/22 ....... 2,047 0.38

29,218,800,000 10.000% due 24/07/24 ..... 12,085 2.21

9,632,100,000 7.500% due 26/08/26 ....... 3,480 0.64

29,059,900,000 6.000% due 28/04/28 ....... 9,286 1.70

1,910,000,000 7.750% due 18/09/30 ....... 703 0.13

34,694 6.36

Croatia (0.53%)

Croatia Government Bond

HRK 18,000,000 4.250% due 14/12/26 ....... 2,914 0.53

Ghana (0.27%)

Ghana Government Bond

GHS 5,650,000 24.750% due 19/07/21 ..... 1,485 0.27

Hungary (2.72%)

HUF Hungary Government Bond

440,000,000 6.750% due 24/11/17 ....... 1,715 0.31

220,000,000 2.500% due 22/06/18 ....... 823 0.15

513,000,000 6.500% due 24/06/19 ....... 2,132 0.39

175,000,000 3.500% due 24/06/20 ....... 682 0.12

213,000,000 7.500% due 12/11/20 ....... 957 0.18

200,030,000 7.000% due 24/06/22 ....... 918 0.17

617,010,000 6.000% due 24/11/23 ....... 2,787 0.51

150,000,000 3.000% due 26/06/24 ....... 562 0.10

Principal

Amount

Fair Value

USD ‘000

Fund

%

298,560,000 5.500% due 24/06/25 ...... 1,321 0.24

592,000,000 6.750% due 22/10/28 ...... 2,980 0.55

14,877 2.72

Indonesia (8.01%)

IDR Indonesia Treasury Bond

160,000,000 12.800% due 15/06/21 .... 15 0.00

13,370,000,000 8.250% due 15/07/21 ...... 1,084 0.20

1,070,000,000 5.625% due 15/05/23 ...... 77 0.01

94,378,000,000 8.375% due 15/03/24 ...... 7,843 1.44

43,000,000,000 8.375% due 15/09/26 ...... 3,591 0.66

7,303,000,000 6.125% due 15/05/28 ...... 512 0.09

49,364,000,000 9.000% due 15/03/29 ...... 4,325 0.79

2,200,000,000 9.500% due 15/07/31 ...... 201 0.04

49,100,000,000 8.250% due 15/06/32 ...... 4,100 0.75

32,363,000,000 6.625% due 15/05/33 ...... 2,294 0.42

35,820,000,000 8.375% due 15/03/34 ...... 3,000 0.55

119,284,000,000 8.250% due 15/05/36 ...... 9,900 1.81

29,379,000,000 10.500% due 15/07/38 .... 2,932 0.54

5,108,000,000 6.375% due 15/04/42 ...... 340 0.06

41,306,000,000 8.750% due 15/02/44 ...... 3,552 0.65

43,766 8.01

Korea, Republic of (0.50%)

Export-Import Bank of

Korea

20,000,000,000 8.000% due 15/05/18 ...... 1,533 0.28

15,300,000,000 8.000% due 17/10/19 ...... 1,186 0.22

2,719 0.50

Malaysia (8.40%)

Malaysia Government

Bond

MYR 13,550,000 3.759% due 15/03/19 ...... 3,345 0.61

7,820,000 3.654% due 31/10/19 ...... 1,927 0.35

2,550,000 4.378% due 29/11/19 ...... 642 0.12

54,735,000 3.492% due 31/03/20 ...... 13,362 2.45

3,650,000 3.889% due 31/07/20 ...... 903 0.17

5,330,000 3.659% due 15/10/20 ...... 1,310 0.24

1,450,000 4.160% due 15/07/21 ...... 364 0.07

11,660,000 4.048% due 30/09/21 ...... 2,920 0.53

10,500,000 3.620% due 30/11/21 ...... 2,583 0.47

3,940,000 3.418% due 15/08/22 ...... 951 0.17

11,390,000 3.795% due 30/09/22 ...... 2,805 0.51

3,530,000 3.480% due 15/03/23 ...... 854 0.16

4,010,000 4.181% due 15/07/24 ...... 1,009 0.18

2,230,000 4.392% due 15/04/26 ...... 569 0.10

7,000,000 3.892% due 15/03/27 ...... 1,708 0.31

10,046,000 4.498% due 15/04/30 ...... 2,559 0.47

2,162,000 4.127% due 15/04/32 ...... 524 0.10

23,580,000 3.844% due 15/04/33 ...... 5,481 1.00

800,000 4.254% due 31/05/35 ...... 197 0.04

7,364,000 4.935% due 30/09/43 ...... 1,888 0.35

45,901 8.40



Schedule of Investments - continued

30 September 2016



Principal

Amount

Fair Value

USD ‘000

Fund

%

Mexico (10.70%)

Mexican Bonos

MXN 54,936,000 7.750% due 14/12/17 ....... 2,930 0.54

29,480,000 8.500% due 13/12/18 ....... 1,617 0.30

18,400,000 5.000% due 11/12/19 ....... 934 0.17

246,740,000 8.000% due 11/06/20 ....... 13,751 2.52

36,650,000 6.500% due 10/06/21 ....... 1,953 0.36

140,158,000 6.500% due 09/06/22 ....... 7,488 1.37

26,658,000 8.000% due 07/12/23 ....... 1,551 0.28

79,200,000 10.000% due 05/12/24 ..... 5,177 0.95

116,047,300 5.750% due 05/03/26 ....... 5,890 1.08

53,620,000 7.500% due 03/06/27 ....... 3,070 0.56

43,038,000 7.750% due 29/05/31 ....... 2,520 0.46

16,903,500 7.750% due 23/11/34 ....... 994 0.18

42,704,000 10.000% due 20/11/36 ..... 3,082 0.56

20,270,100 8.500% due 18/11/38 ....... 1,294 0.24

45,469,800 7.750% due 13/11/42 ....... 2,719 0.50

54,970 10.70

Peru (2.17%)

Peru Government Bond

PEN 6,292,000 7.840% due 12/08/20 ....... 2,058 0.38

3,150,000 5.700% due 12/08/24 ....... 950 0.17

7,885,000 6.950% due 12/08/31 ....... 2,523 0.46

8,700,000 6.850% due 12/02/42 ....... 2,727 0.50

Peruvian Government

International Bond

2,600,000 7.840% due 12/08/20 ....... 850 0.16

2,550,000 5.700% due 12/08/24 ....... 769 0.14

1,760,000 8.200% due 12/08/26 ....... 615 0.11

3,000,000 6.950% due 12/08/31 ....... 960 0.18

570,000 6.900% due 12/08/37 ....... 181 0.03

670,000 6.850% due 12/02/42 ....... 210 0.04

11,843 2.17

Philippines (0.75%)

Philippine Government

International Bond

PHP 71,000,000 4.950% due 15/01/21 ....... 1,536 0.28

102,000,000 3.900% due 26/11/22 ....... 2,109 0.39

18,000,000 6.250% due 14/01/36 ....... 431 0.08

4,076 0.75

Poland (5.39%)

Poland Government Bond

PLN 16,050,000 5.250% due 25/10/17 ....... 4,355 0.80

40,569,000 2.500% due 25/07/18 ....... 10,760 1.97

3,590,000 3.250% due 25/07/19 ....... 974 0.18

6,140,000 1.500% due 25/04/20 ....... 1,574 0.29

3,500,000 5.250% due 25/10/20 ....... 1,024 0.19

3,700,000 2.000% due 25/04/21 ....... 959 0.18

7,780,000 1.750% due 25/07/21 ....... 1,984 0.36

5,400,000 5.750% due 25/10/21 ....... 1,639 0.30

4,800,000 5.750% due 23/09/22 ....... 1,485 0.27

Principal

Amount

Fair Value

USD ‘000

Fund

%

9,580,000 4.000% due 25/10/23 ...... 2,719 0.50

1,759,000 3.250% due 25/07/25 ...... 474 0.09

5,640,000 2.500% due 25/07/26 ...... 1,424 0.26

29,371 5.39

Romania (1.94%)

Romania Government

Bond

RON 3,950,000 5.600% due 28/11/18 ...... 1,096 0.20

11,050,000 4.750% due 24/06/19 ...... 3,041 0.56

3,450,000 5.750% due 29/04/20 ...... 993 0.18

1,800,000 5.950% due 11/06/21 ...... 531 0.10

3,700,000 5.850% due 26/04/23 ...... 1,120 0.21

5,105,000 4.750% due 24/02/25 ...... 1,472 0.27

7,200,000 5.800% due 26/07/27 ...... 2,277 0.42

10,530 1.94

Russia (4.61%)

RUB

Russian Federal Bond -

OFZ

120,000,000 7.500% due 15/03/18 ...... 1,886 0.35

200,000,000 7.500% due 27/02/19 ...... 3,120 0.57

70,000,000 6.700% due 15/05/19 ...... 1,071 0.20

141,000,000 6.400% due 27/05/20 ...... 2,114 0.39

53,300,000 7.600% due 20/07/22 ...... 824 0.15

57,500,000 7.000% due 25/01/23 ...... 865 0.16

125,000,000 7.000% due 16/08/23 ...... 1,876 0.34

41,500,000 8.150% due 03/02/27 ...... 668 0.12

420,460,000 7.050% due 19/01/28 ...... 6,220 1.14

Russian Federal Inflation

Linked Bond

406,449,900 2.500% due 16/08/23 ...... 6,332 1.16

Russian Foreign Bond -

Eurobond

10,000,000 7.850% due 10/03/18 ...... 157 0.03

25,133 4.61

South Africa (10.78%)

South Africa Government

Bond

ZAR 54,500,000 7.000% due 28/02/31 ...... 3,317 0.61

6,800,000 9.000% due 31/01/40 ...... 480 0.09

35,600,000 8.000% due 21/12/18 ...... 2,605 0.48

21,620,000 7.250% due 15/01/20 ...... 1,545 0.28

27,080,000 6.750% due 31/03/21 ...... 1,875 0.34

31,000,000 7.750% due 28/02/23 ...... 2,190 0.40

246,525,000 10.500% due 21/12/26 .... 20,123 3.69

59,470,000 7.000% due 28/02/31 ...... 3,620 0.66

25,891,818 8.250% due 31/03/32 ...... 1,744 0.32

87,455,000 6.250% due 31/03/36 ...... 4,651 0.85

55,634,000 8.500% due 31/01/37 ...... 3,748 0.69

49,700,000 6.500% due 28/02/41 ...... 2,644 0.48

32,910,000 8.750% due 31/01/44 ...... 2,242 0.41

118,685,889 8.750% due 28/02/48 ...... 8,068 1.48

58,852 10.78




30 September 2016



Principal

Amount

Fair Value

USD ‘000

Fund

%

Thailand (4.54%)

Thailand Government Bond

THB 86,980,704 1.200% due 14/07/21 ....... 2,455 0.45

448,437,000 3.650% due 17/12/21 ....... 14,152 2.59

18,500,000 2.125% due 17/12/26 ....... 534 0.10

17,747,000 3.580% due 17/12/27 ....... 581 0.11

102,808,044 1.250% due 12/03/28 ....... 2,770 0.51

33,860,000 4.875% due 22/06/29 ....... 1,252 0.23

21,535,000 3.400% due 17/06/36 ....... 702 0.13

63,200,000 4.260% due 12/12/37 ....... 2,313 0.42

24,759 4.54

Turkey (4.67%)

Turkey Government Bond

TRY 7,000,000 6.300% due 14/02/18 ....... 2,275 0.42

3,000,000 8.800% due 14/11/18 ....... 1,007 0.18

5,940,000 10.400% due 27/03/19 ..... 2,058 0.38

3,450,000 10.500% due 15/01/20 ..... 1,209 0.22

3,080,000 7.400% due 05/02/20 ....... 985 0.18

5,990,000 9.400% due 08/07/20 ....... 2,027 0.37

1,300,000 10.700% due 17/02/21 ..... 459 0.08

2,810,000 9.500% due 12/01/22 ....... 950 0.17

6,640,000 7.100% due 08/03/23 ....... 1,979 0.36

1,900,000 8.800% due 27/09/23 ....... 614 0.11

1,740,153 10.400% due 20/03/24 ..... 610 0.11

3,810,000 9.000% due 24/07/24 ....... 1,239 0.23

18,300,000 8.000% due 12/03/25 ....... 5,598 1.03

9,299,179 2.000% due 16/04/25 ....... 2,989 0.55

4,280,000 10.600% due 11/02/26 ..... 1,523 0.28

25,522 4.67

Ukraine (0.18%)

Ukraine Government

International Bond

USD 3,000,000

Zero Coupon due

31/05/40 ........................... 972 0.18

Uruguay (0.55%)

Uruguay Government

International Bond

UYU 93,029,733 4.375% due 15/12/28 ....... 3,008 0.55

Total Long Term Bonds

and Notes ............................ 423,726 78.26

Short Term Investments (2.28%)

Mexico (1.08%)

MXN Mexican Bonos

111,500,000 7.250% due 15/12/16 ....... 5,791 1.06

1,800,000 5.000% due 15/06/17 ....... 93 0.02

5,884 1.08

Poland (1.06%)


PLN 22,000,000 4.750% due 25/10/16 ....... 5,766 1.06

Principal

Amount

Fair Value

USD ‘000

Fund

%



Bond

ZAR 6,600,000 8.250% due 15/09/17 ...... 483 0.09

Thailand (0.05%)


THB 10,000,000 3.250% due 16/06/17 ...... 292 0.05

Total Short Term

Investments ........................ 12,425 2.28

Total Transferable

Securities ........................... 436,151 80.54

Money Market Instruments (7.58%)

Brazil (4.65%)

Brazil Letras do Tesouro

Nacional

BRL 4,500,000

Zero Coupon due

01/10/17 .......................... 1,232 0.23

18,055,000

Zero Coupon due

01/01/18 .......................... 4,820 0.88

6,000,000

Zero Coupon due

01/07/18 .......................... 1,521 0.28

67,195,000

Zero Coupon due

01/01/19 .......................... 16,201 2.97

5,000,000

Zero Coupon due

01/07/19 .......................... 1,143 0.21

2,000,000

Zero Coupon due

01/01/20 .......................... 432 0.08

25,349 4.65

United States (2.93%)

U.S. Treasury Bill

USD 10,000,000

Zero Coupon due

20/10/16 .......................... 9,999 1.83

6,000,000

Zero Coupon due

03/11/16 .......................... 5,999 1.10

15,998 2.93

Total Money Market

Instruments ....................... 41,347 7.58

Number

of Shares

Investment Funds (4.86%)

Ireland (4.86%)

26,453

Russell Investment Company

III Plc - The US Dollar Cash

Fund II - Class R Roll-Up

Shares ................................. 26,550 4.86

Total Investment Funds .... 26,550 4.86

Total Investments

excluding Financial

Derivative Instruments ..... 504,048 92.98




30 September 2016



Financial Derivative Instruments (0.29%)

Open Futures Contracts (0.00%)

Notional

Amount

USD ‘000

Average

Cost Price

USD

Unrealised

Gain (Loss)

USD ‘000

Fund

%

(512)

(170.83)

3 of U.S. Long Treasury Bond Futures

Short Futures Contracts

Expiring December 2016 .......................................... 8 0.00

2,362

131.23

18 of 10 Year U.S. Treasury Note Futures


Expiring December 2016 .......................................... (2) 0.00

5,628

0.10

56 of 10 Year Korea Bond Futures

Long Futures Contracts


(1,314)

(0.12)

11 of 10 Year Korea Bond Futures



Unrealised gain on open futures contracts ...................................................................... 23 0.00

Unrealised loss on open futures contracts ....................................................................... (19) 0.00

Net unrealised gain (loss) on open futures contracts ................................................. 4 0.00

Open Forward Foreign Currency Exchange Contracts (0.23%)

Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

04/10/2016 BRL 1,321 USD 400 7 0.00

04/10/2016 BRL 5,463 USD 1,681 1 0.00

18/10/2016 BRL 1,774 USD 544 - 0.00

18/10/2016 BRL 5,400 USD 1,617 39 0.01

28/10/2016 BRL 9,457 USD 2,906 (15) 0.00

03/11/2016 BRL 730 USD 223 - 0.00

21/12/2016 BRL 24,290 USD 7,308 (1) 0.00

12/01/2017 CLP 1,728,676 USD 2,570 32 0.01

05/04/2017 CNY 33,227 USD 4,944 9 0.00

13/10/2016 COP 1,590,000 USD 552 (1) 0.00

18/10/2016 COP 9,173,432 USD 3,086 91 0.02

25/10/2016 COP 4,201,423 USD 1,426 27 0.00

28/10/2016 COP 6,079,025 USD 2,091 10 0.00

12/01/2017 COP 23,928,100 USD 7,828 343 0.06

12/01/2017 COP 11,473,000 USD 3,850 67 0.01

12/01/2017 COP 9,582,000 USD 3,000 273 0.05

18/10/2016 EUR 14,456 HRK 108,549 26 0.00

18/10/2016 EUR 2,749 HUF 854,527 (16) 0.00

15/11/2016 EUR 1,372 USD 1,535 10 0.00

22/11/2016 EUR 273 USD 311 (3) 0.00

18/10/2016 HRK 54,274 EUR 7,242 (29) (0.01)

18/10/2016 HRK 54,274 EUR 7,224 (8) 0.00

18/10/2016 HUF 1,577,163 EUR 4,998 114 0.02

15/11/2016 HUF 445,000 EUR 1,440 (3) 0.00

18/10/2016 HUF 987,915 USD 3,600 (8) 0.00

18/10/2016 HUF 357,583 USD 1,250 50 0.01

28/10/2016 HUF 227,390 USD 829 (2) 0.00




30 September 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

28/10/2016 HUF 214,079 USD 780 (2) 0.00

13/01/2017 HUF 2,165,296 USD 7,642 240 0.04

13/01/2017 HUF 686,275 USD 2,500 (2) 0.00

05/10/2016 IDR 26,598,781 USD 1,995 42 0.01

17/10/2016 IDR 43,100,000 USD 3,336 (40) (0.01)

24/10/2016 IDR 2,400,000 USD 185 (2) 0.00

28/10/2016 IDR 38,761,950 USD 2,993 (34) (0.01)

21/12/2016 IDR 6,860,765 USD 521 (2) 0.00

12/01/2017 IDR 4,793,160 USD 354 8 0.00

12/01/2017 IDR 6,491,725 USD 485 5 0.00

13/01/2017 ILS 8,956 USD 2,388 5 0.00

13/01/2017 KRW 4,050,585 USD 3,629 47 0.01

18/10/2016 KZT 1,008,324 USD 2,897 89 0.02

11/10/2016 MXN 70,800 USD 3,832 (177) (0.03)

11/10/2016 MXN 21,100 USD 1,070 20 0.00

12/10/2016 MXN 40,700 USD 2,168 (67) (0.01)

18/10/2016 MXN 82,422 USD 4,393 (142) (0.03)

18/10/2016 MXN 22,157 USD 1,132 11 0.00

18/10/2016 MXN 14,609 USD 764 (10) 0.00

18/10/2016 MXN 28,166 USD 1,487 (34) (0.01)

28/10/2016 MXN 28,095 USD 1,439 9 0.00

28/10/2016 MXN 20,556 USD 1,053 6 0.00

12/01/2017 MXN 156,069 USD 8,261 (285) (0.05)

12/01/2017 MXN 2,154 USD 108 2 0.00

12/01/2017 MXN 63,376 USD 3,197 42 0.01

12/01/2017 MXN 19,914 USD 1,040 (22) 0.00

12/01/2017 MXN 7,450 USD 400 (19) 0.00

12/01/2017 MXN 23,607 USD 1,180 26 0.00

18/10/2016 MYR 311 USD 77 (2) 0.00

28/10/2016 MYR 10,283 USD 2,487 (4) 0.00

11/01/2017 MYR 4,459 USD 1,100 (27) 0.00

11/01/2017 MYR 4,152 USD 1,000 (1) 0.00

11/01/2017 MYR 1,938 USD 472 (6) 0.00

13/01/2017 PEN 1,851 USD 545 (7) 0.00

18/10/2016 PHP 118,749 USD 2,514 (66) (0.01)

13/02/2017 PHP 13,625 USD 280 - 0.00

18/10/2016 PLN 51,006 EUR 11,593 286 0.05

30/11/2016 PLN 2,240 EUR 519 - 0.00

18/10/2016 PLN 20,335 USD 5,202 110 0.02

28/10/2016 PLN 5,664 USD 1,483 (4) 0.00

28/10/2016 PLN 5,614 USD 1,469 (3) 0.00

30/11/2016 PLN 12,378 USD 3,228 2 0.00

13/01/2017 PLN 51,609 USD 12,853 608 0.11

18/10/2016 RON 6,399 EUR 1,429 9 0.00

11/10/2016 RON 2,398 USD 606 - 0.00

18/10/2016 RON 4,551 USD 1,124 26 0.00

13/01/2017 RON 1,208 USD 298 8 0.00

13/01/2017 RON 4,749 USD 1,200 2 0.00

03/10/2016 RUB 79,951 USD 1,219 49 0.01

18/10/2016 RUB 309,961 USD 4,740 162 0.03




30 September 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

18/10/2016 RUB 31,612 USD 476 24 0.00

18/10/2016 RUB 129,001 USD 1,984 56 0.01

28/10/2016 RUB 104,265 USD 1,622 24 0.00

31/10/2016 RUB 3,219 USD 50 1 0.00

11/01/2017 RUB 147,917 USD 2,260 35 0.01

11/01/2017 RUB 122,122 USD 1,820 74 0.01

11/01/2017 RUB 85,137 USD 1,300 21 0.00

18/10/2016 SEK 38,883 USD 4,539 2 0.00

13/01/2017 SGD 2,276 USD 1,700 (30) (0.01)

13/01/2017 SGD 4,779 USD 3,547 (40) (0.01)

18/10/2016 THB 372,591 USD 10,755 (5) 0.00

21/10/2016 THB 161,925 USD 4,670 1 0.00

28/10/2016 THB 78,830 USD 2,279 (5) 0.00

13/01/2017 THB 107,327 USD 3,100 (6) 0.00

17/10/2016 TRY 764 USD 254 - 0.00

18/10/2016 TRY 11,354 USD 3,646 127 0.02

28/10/2016 TRY 4,263 USD 1,426 (13) 0.00

28/10/2016 TRY 3,951 USD 1,322 (12) 0.00

06/02/2017 TRY 28,174 USD 8,951 208 0.04

06/02/2017 TRY 8,861 USD 2,900 (20) 0.00

06/02/2017 TRY 684 USD 223 (1) 0.00

13/01/2017 TWD 37,680 USD 1,200 5 0.00

18/10/2016 USD 3,053 AUD 4,099 (83) (0.02)

06/01/2017 USD 1,063 AUD 1,390 2 0.00

04/10/2016 USD 7,457 BRL 24,418 (59) (0.01)

04/10/2016 USD 2,132 BRL 6,784 44 0.01

18/10/2016 USD 2,171 BRL 7,174 (28) (0.01)

03/11/2016 USD 7,442 BRL 24,418 (9) 0.00

02/02/2017 USD 1,622 BRL 5,463 (1) 0.00

18/10/2016 USD 2,277 CAD 2,979 10 0.00

18/10/2016 USD 2,854 CHF 2,811 (48) (0.01)

18/10/2016 USD 2,762 CLP 1,815,341 10 0.00

25/11/2016 USD 2,184 CLP 1,475,000 (45) (0.01)

05/04/2017 USD 4,900 CNY 33,227 (53) (0.01)

06/09/2017 USD 1,700 CNY 11,608 (26) 0.00

06/09/2017 USD 5,250 CNY 35,931 (91) (0.02)

13/10/2016 USD 1,088 COP 3,180,000 (14) 0.00

25/10/2016 USD 385 COP 1,120,000 (2) 0.00

25/10/2016 USD 672 COP 1,931,818 4 0.00

12/01/2017 USD 2,695 COP 8,095,780 (69) (0.01)

12/01/2017 USD 4,160 COP 12,039,040 49 0.01

12/01/2017 USD 5,738 COP 17,053,336 (85) (0.02)

07/10/2016 USD 7,787 EUR 6,943 (17) 0.00

07/10/2016 USD 180 EUR 160 - 0.00

18/10/2016 USD 2,287 EUR 2,069 (40) (0.01)

18/10/2016 USD 7,576 HKD 58,699 6 0.00

03/10/2016 USD 675 HUF 184,415 4 0.00

03/11/2016 USD 671 HUF 184,415 1 0.00

15/11/2016 USD 1,561 HUF 434,000 (17) 0.00

13/01/2017 USD 1,321 HUF 364,176 (5) 0.00




30 September 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

17/10/2016 USD 3,278 IDR 43,200,000 (25) 0.00

24/10/2016 USD 268 IDR 3,478,902 2 0.00

18/10/2016 USD 2,853 ILS 10,987 (75) (0.01)

18/10/2016 USD 1,846 ILS 6,982 (15) 0.00

13/01/2017 USD 2,320 ILS 8,958 (73) (0.01)

18/10/2016 USD 1,493 JPY 158,570 (74) (0.01)

14/10/2016 USD 103 KRW 115,000 (2) 0.00

13/01/2017 USD 3,516 KRW 4,050,585 (161) (0.03)

11/10/2016 USD 8,648 MXN 160,425 366 0.07

15/12/2016 USD 5,939 MXN 113,731 109 0.02

12/01/2017 USD 4,660 MXN 92,958 (91) (0.02)

12/01/2017 USD 7,020 MXN 129,954 378 0.07

11/10/2016 USD 3,090 MYR 12,363 102 0.02

04/11/2016 USD 579 MYR 2,360 10 0.00

18/10/2016 USD 3,791 NOK 32,186 (236) (0.04)

21/12/2016 USD 3,126 NZD 4,286 18 0.00

15/11/2016 USD 246 PEN 841 - 0.00

21/12/2016 USD 1,529 PEN 5,179 22 0.00

13/01/2017 USD 197 PEN 677 - 0.00

18/10/2016 USD 7,644 PHP 362,141 179 0.03

18/10/2016 USD 353 PHP 16,948 4 0.00

25/10/2016 USD 5,950 PLN 22,976 (50) (0.01)

13/01/2017 USD 223 PLN 866 (3) 0.00

03/10/2016 USD 1,320 RUB 86,832 (58) (0.01)

18/10/2016 USD 3,030 RUB 196,864 (84) (0.02)

20/10/2016 USD 5,328 RUB 354,600 (278) (0.05)

31/10/2016 USD 371 RUB 23,900 (6) 0.00

11/01/2017 USD 1,423 RUB 94,918 (49) (0.01)

11/01/2017 USD 2,390 RUB 160,704 (103) (0.02)

11/01/2017 USD 1,711 RUB 113,816 (55) (0.01)

18/10/2016 USD 7,252 SGD 9,853 24 0.00

22/11/2016 USD 262 SGD 352 4 0.00

13/01/2017 USD 5,212 SGD 7,054 36 0.01

07/10/2016 USD 546 THB 18,900 1 0.00

17/10/2016 USD 2,158 THB 75,400 (18) 0.00

17/10/2016 USD 7,424 TRY 22,220 40 0.01

13/01/2017 USD 1,200 TWD 38,598 (35) (0.01)

18/10/2016 USD 2,036 ZAR 29,663 (116) (0.02)

25/10/2016 USD 8,475 ZAR 122,419 (391) (0.07)

25/10/2016 USD 1,103 ZAR 15,100 10 0.00

12/01/2017 USD 6,795 ZAR 97,621 (167) (0.03)

12/01/2017 USD 283 ZAR 4,282 (22) 0.00

12/01/2017 USD 3,598 ZAR 49,097 97 0.02

12/01/2017 USD 995 ZAR 14,393 (31) (0.01)

25/10/2016 ZAR 10,900 USD 794 (5) 0.00

25/10/2016 ZAR 29,810 USD 2,060 100 0.02

28/10/2016 ZAR 19,543 USD 1,445 (30) (0.01)

28/10/2016 ZAR 21,524 USD 1,592 (34) (0.01)

12/01/2017 ZAR 52,886 USD 3,850 (78) (0.01)

12/01/2017 ZAR 88,615 USD 5,920 399 0.07




30 September 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

12/01/2017 ZAR 56,699 USD 3,926 118 0.02

Unrealised gain on open forward foreign currency exchange contracts ............................... 5,640 0.97

Unrealised loss on open forward foreign currency exchange contracts ................................ (4,233) (0.74)

Net unrealised gain (loss) on open forward foreign currency exchange contracts ....... 1,407 0.23

Options Purchased (0.00%)

Notional

Amount

USD‘000

Fair Value

USD ‘000

Fund

%

545

Put at 98.00 on Euro Futures Option

Expiring June 2017 ............................................................................................................ 1 0.00

Options purchase at fair value (Premium paid USD 5,450) ....................................................... 1 0.00

Interest Rate Swaps (0.03%)

Ccy

Notional

Amount

‘000

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

USD ‘000

Fund

%

HKD 19,600 1.95%

HKD 3 Month

HIBOR 16/10/2021 (105) (0.02)

SGD 1,663

SGD 6 Month

LIBOR 2.00% 17/10/2021 18 0.00

HKD 2,500 2.28%

HKD 3 Month

LIBOR 28/10/2024 (25) 0.00

CNY 4,500

CNY 3 Month

SHIFT 3.75% 06/11/2016 1 0.00

CNY 8,900

CNY 3 Month

LIBOR 3.68% 11/11/2016 3 0.00

HKD 10,800 1.57%

HKD 3 Month

LIBOR 12/02/2021 (29) (0.01)

CNY 17,900

CNY 3 Month

LIBOR 2.67% 29/04/2018 3 0.00

SGD 1,600 2.04%

SGD 6 Month

LIBOR 01/08/2026 6 0.00

ZAR 180,000

ZAR 3 Month

JIBAR 9.12% 13/07/2025 232 0.05

CZK 75,000 0.82%

CZK 6 Month

PRIBO 29/10/2025 (113) (0.02)

CZK 55,000 0.25%

CZK 6 Month

PRIBO 16/02/2021 7 0.00

CLP 2,141,923 1.26%

CLP 6 Month

CLICP 28/04/2021 (81) (0.01)

ILS 5,285

ILS 3 Month

TELBO 1.67% 23/05/2026 33 0.01

KRW 3,301,000 1.64%

KRW 3 Month

KSDA 20/05/2026 (96) (0.02)

PLN 51,000 1.79%

PLN 6 Month

WIBOR 21/06/2019 (9) 0.00

PLN 16,600

PLN 6 Month

WIBOR 2.46% 21/06/2026 79 0.01

BRL 6,657

BRL 12 Month

BZDIO 12.50% 02/01/2025 213 0.04

CZK 135,600 0.26%

CZK 6 Month

PRIBO 15/07/2021 26 0.00




30 September 2016



Ccy

Notional

Amount

‘000

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

USD ‘000

Fund

%

BRL 13,742

BRL 12 Month

BZDIO

BRL 12 Month

BZDIO 02/01/2023 - 0.00

Total interest rate at positive fair value ...................................................................................................................................... 621 0.11

Total interest rate at negative fair value ...................................................................................................................................... (458) (0.08)

Interest rate swaps at fair value ............................................................................................................................................. 163 0.03

Currency Swaps (0.03%)

Notional

Amount

‘000 Ccy

Fund

Pays Ccy

Fund

Receives

Termination

Date

Fair Value

USD ‘000

Fund

%

8,256,000 IDR

6 Month

LIBOR USD 9.80% 09/10/2022 162 0.03

Currency swaps at fair value .................................................................................................................................................. 162 0.03

Total Financial Derivative Instruments .................................................................................................................................. 1,737 0.29

Fair Value

USD ‘000

Fund

%

Total Financial Assets at Fair Value through Profit or

Loss (94.09%) ...................................................................................................................... 510,495 94.09

Total Financial Liabilities at Fair Value through Profit or

Loss ((0.82)%) ...................................................................................................................... (4,710) (0.82)

Net Financial Assets at Fair Value through Profit or Loss

(93.27%) .................................................................................................................................................... 505,785 93.27

Other Net Assets (6.73%) ........................................................................................................................ 40,037 6.73

Net Assets .................................................................................................................................................. 545,822 100.00

Analysis of gross assets

% of

gross assets

Transferable securities and money market instruments admitted to an official stock exchange listing .................. 65.70

Transferable securities dealt in on another regulated market ................................................................................... 14.63

Other transferable securities of the type referred to in Regulation 68 (1)(a), (b) and (c) ........................................ 2.88

Investment funds (UCITS) ...................................................................................................................................... 4.63

Over the counter financial derivative instruments ................................................................................................... 1.12

Other assets .............................................................................................................................................................. 11.04

100.00

The broker for the open futures contracts is JP Morgan.

The counterparties for the open forward foreign currency exchange contracts are:

Barclays

Bank of America

BNP Paribas

Citibank

Goldman Sachs

HSBC Bank

JP Morgan

Standard Chartered

State Street Bank

Toronto Dominion Bank

UBS




30 September 2016



The counterparty for the option purchased is JP Morgan.

The counterparties for the interest rate swaps are:

Bank of America

BNP Paribas

Citibank

Citigroup Global Markets

JP Morgan

UBS

The counterparty for the currency swap is JP Morgan.

Fair Value Hierarchy (Note 10)

The following tables analyse within the fair value hierarchy the Fund’s financial assets and liabilities (by investment type)

measured at fair value at 30 September 2016 and 31 March 2016.


Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets

Financial assets at fair value through profit or loss:

Investments at fair value:

Transferable securities ................................................................ - 436,151 - 436,151

Money market instruments ........................................................ - 41,347 - 41,347

Investment funds ........................................................................ - 26,550 - 26,550

Unrealised gain on open futures contracts ................................. 23 - - 23

Unrealised gain on forward foreign currency exchange

contracts .................................................................................... - 5,640 - 5,640

Options purchased at fair value ................................................. 1 - - 1

Currency swaps at fair value ..................................................... - 162 - 162

Interest rate swaps at fair value ................................................. - 621 - 621

Total assets ...................................................................................... 24 510,471 - 510,495

Liabilities

Financial liabilities at fair value through profit or loss:

Unrealised loss on open futures contracts ..................................... (19) - - (19)

Unrealised loss on forward foreign currency exchange

contracts ........................................................................................ - (4,233) - (4,233)

Interest rate swaps at fair value ..................................................... - (458) - (458)

Total liabilities ................................................................................ (19) (4,691) - (4,710)




30 September 2016



As at 31 March 2016

Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets



Transferable securities ................................................................ - 364,696 - 364,696


Unrealised gain on open futures contracts ................................. 13 - 13


contracts .................................................................................... - 6,758 - 6,758

Total return swaps at fair value ................................................. - 9,903 - 9,903

Currency swaps at fair value ..................................................... - 124 - 124


Total assets ...................................................................................... 13 385,781 - 385,794

Liabilities


Unrealised loss on open futures contracts ..................................... (2) - - (2)


contracts ........................................................................................ - (6,211) - (6,211)

Interest rate swaps at fair value ...................................................... - (692) - (692)




Statement of Changes in Composition of Portfolio

Listed below are 20 largest cumulative investment purchases and cumulative investment sales in excess of 1% of total investment

sales during the six months ended 30 September 2016.

A copy of the list of changes in the portfolio during the reference period may be obtained free of charge from the Company’s

Administrator or from the paying agent or paying and information agents in each country of distribution.


Portfolio Securities

Acquisition Cost

USD ‘000 Portfolio Securities

Disposal Proceeds

USD ‘000

Russell Investment Company III Russell Investment Company III

The U.S. Dollar Cash Fund II The U.S. Dollar Cash Fund II

Class R Roll-Up Shares 137,012 Class R Roll-Up Shares (114,535)

Indonesia Treasury Bond Poland Government Bond

8.375% due 15/03/2024 12,954 5.250% due 25/10/2020 (17,246)

Brazil Letras do Tesouro Nacional 5.750% due 25/04/2029 (10,290)

Zero Coupon due 01/01/2019 11,402 Turkey Government Bond

Mexican Bonos 10.400% due 20/03/2024 (9,976)

8.000% due 11/06/2020 11,122 Colombian TES

Turkey Government Bond 7.750% due 18/09/2030 (8,301)

10.400% due 20/03/2024 10,689 Turkey Government Bond

Poland Government Bond 7.400% due 05/02/2020 (6,785)

5.750% due 25/04/2029 10,669 Russian Federal Bond - OFZ

2.500% due 25/07/2018 10,439 7.600% due 14/04/2021 (5,642)

U.S. Treasury Bill Indonesia Treasury Bond

Zero Coupon due 20/10/2016 9,997 8.375% due 15/03/2024 (5,628)

Colombian TES Inflation Linked Korea Treasury Bond

10.000% due 24/07/2024 7,821 1.125% due 10/06/2023 (4,716)

Brazil Notas do Tesouro Nacional Serie B Hungary Government Bond

6.000% due 15/08/2020 7,002 7.000% due 24/06/2022 (3,773)

Colombian TES Malaysia Government Bond

11.000% due 24/07/2020 6,508 3.580% due 28/09/2018 (3,507)

U.S. Treasury Bill Hungary Government Bond


Russian Federal Bond - OFZ Brazil Notas do Tesouro Nacional Serie B

7.050% due 19/01/2028 5,974 6.000% due 15/08/2020 (3,310)

Indonesia Treasury Bond Mexican Bonos

8.250% due 15/05/2036 5,962 6.500% due 09/06/2022 (3,288)

Mexican Bonos Indonesia Treasury Bond

7.250% due 15/12/2016 5,956 8.375% due 15/03/2034 (3,057)

Poland Government Bond Poland Government Bond

4.750% due 25/10/2016 5,750 Zero coupon due 25/07/2017 (2,693)

U.S. Treasury Bill Serbia Treasury Bonds


Zero Coupon due 08/09/2016 4,999 Mexican Bonos

South Africa Government Bond 7.750% due 13/11/2042 (2,255)

10.500% due 21/12/2026 4,936 Hungary Government Bond

Inflation Linked Korea Treasury Bond 6.750% due 24/11/2017 (2,205)

1.125% due 10/06/2023 4,765 South Africa Government Bond

Brazil Notas do Tesouro Nacional Serie B 8.750% due 28/02/2048 (1,923)

6.000% due 15/08/2050 4,426

Mexican Bonos

5.750% due 05/03/2026 3,976



Balance Sheet



Russell Emerging Markets Extended Opportunities Fund 25

30 September 2016

(Unaudited)

USD ‘000

31 March 2016

(Audited)

USD ‘000

Assets

Financial assets at fair value through profit or loss ............................................................................................................................... 775,954 688,190

Cash at bank (Note 2) ............................................................................................................................................................................ 17,943 12,485


(Note 2) .................................................................................................................................................................................................. 1,200 502

Debtors:

Receivable for investments sold .................................................................................................................... 992 1,297

Dividends receivable ..................................................................................................................................... 1,525 2,080

797,614 704,554

Liabilities

Financial liabilities at fair value through profit or loss ......................................................................................................................... (481) (770)



(Note 2) ......................................................................................................................................................... - (557)

Payable for investments purchased ................................................................................................................ (2,653) (5,620)

Management fees payable ............................................................................................................................. (877) (738)

Performance fees payable .............................................................................................................................. (791) (866)

Depositary fees payable ................................................................................................................................. (18) (9)

Sub-custodian fees payable ........................................................................................................................... (124) (104)

Administration fees payable .......................................................................................................................... (17) (27)

Audit fees payable ......................................................................................................................................... (8) (18)

Other fees payable ......................................................................................................................................... (3) (1)

(4,972) (8,710)

Net asset value attributable to redeemable participating shareholders ............................................................... 792,642 695,844






26 Russell Emerging Markets Extended Opportunities Fund

Six months ended

30 September 2016

(Unaudited)

USD ‘000

Six months ended

30 September 2015

(Unaudited)

USD ‘000

Income

Dividends ....................................................................................................................... 14,270 17,014

Interest Income .............................................................................................................. 17 -

14,287 17,014



Expenses


Performance fees (Note 3) ............................................................................................. (935) (163)

Depositary fees (Note 4) ................................................................................................ (51) (35)


Administration and transfer agency fees (Note 4) ......................................................... (129) (138)

Audit fees ...................................................................................................................... (9) (9)

Professional fees ............................................................................................................ (21) (71)

Other fees ...................................................................................................................... (17) (41)


Net income (expense) ....................................................................................................... 76,460 (133,852)

Finance costs



Taxation (Note 7)

Capital gains tax ............................................................................................................ - (141)

Withholding tax ............................................................................................................. (1,436) (1,678)




Account.







Six months ended

30 September 2016

(Unaudited)

USD ‘000

Six months ended

30 September 2015

(Unaudited)

USD ‘000



Share transactions

Reinvestment of deemed distributions on accumulation shares (Note 8) ...................... 6,464 9,048


transactions (Note 8) ..................................................................................................... 21,774 (202)




Beginning of financial period ........................................................................................ 695,844 845,804

End of financial period .................................................................................................. 792,642 709,931




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%


Common Stock (89.77%)

Argentina (0.43%)

Banks

88,139

Grupo Financiero Galicia SA

ADR .................................... 2,742 0.35

Electric Utilities

20,370 Pampa Energia SA ADR ..... 660 0.08

3,402 0.43

Australia (0.11%)

Banks

381,424

Macquarie Bank Ltd

(Vingroup) ........................... 761 0.10

Metals and Mining

4,327,080 Tiger Resources Ltd ............ 70 0.01

831 0.11

Austria (0.19%)

Banks

18,732 Erste Group Bank AG ......... 555 0.07

49,200

Raiffeisen Bank

International AG .................. 749 0.09

Food Products

2,650 DO & CO AG ...................... 214 0.03

1,518 0.19

Bangladesh (0.13%)

Telecommunications

302,300 GrameenPhone Ltd .............. 1,041 0.13

Bermuda (2.00%)

Automobiles

1,258,000

Brilliance China Automotive

Holdings Ltd ....................... 1,411 0.18

Banks

13,913 Credicorp Ltd ...................... 2,118 0.27

Commercial Services and Supplies

84,000 COSCO Shipping Ports Ltd 86 0.01

Food Products

2,068,000 China Foods Ltd .................. 947 0.12

Gas Utilities

492,000

China Resources Gas Group

Ltd ....................................... 1,681 0.21

Holding Companies - Diversified Operations

1,014,587 NWS Holdings Ltd .............. 1,693 0.21

Home Furnishings

935,973

Haier Electronics Group Co

Ltd ....................................... 1,547 0.20

778,000

Skyworth Digital Holdings

Ltd ....................................... 560 0.07

Media

128,820

Central European Media

Enterprises Ltd .................... 298 0.04

Oil and Gas

777,500 Kunlun Energy Co Ltd ........ 595 0.07

Number

of Shares

Fair Value

USD ‘000

Fund

%

Paper and Forest Products

255,000

Nine Dragons Paper

Holdings Ltd ....................... 238 0.03

Real Estate

88,000

Hopson Development

Holdings Ltd ....................... 87 0.01

Retail Trade

2,810,000

Giordano International

Ltd ...................................... 1,449 0.18

888,000

GOME Electrical Appliances

Holding Ltd ......................... 109 0.02

Telecommunications

280,722 VimpelCom Ltd ADR ......... 977 0.12

Water Utilities

3,050,000

Beijing Enterprises Water

Group Ltd ........................... 2,061 0.26

15,857 2.00

Botswana (0.14%)

Diversified Financials

4,751,430 Letshego Holdings Ltd ........ 1,074 0.14

Brazil (5.27%)

Advertising

68,900 Multiplus SA ....................... 933 0.12

Aerospace and Defence

193,100 Embraer SA ........................ 833 0.10

Banks

123,130 Banco Bradesco SA ADR ... 1,117 0.14

379,925

Itau Unibanco Holding SA

ADR .................................... 4,156 0.52

Beverages

467,200 Ambev SA .......................... 2,850 0.36

192,940 Ambev SA ADR ................. 1,175 0.15

Building Products

797,571 Duratex SA ......................... 2,111 0.27


336,200

EcoRodovias Infraestrutura e

Logistica SA ....................... 920 0.11

133,179 Kroton Educacional SA ...... 606 0.08

1,232,200

Mills Estruturas e Servicos

de Engenharia SA ............... 1,737 0.22

Construction and Engineering

104,400

Multiplan Empreendimentos

Imobiliarios SA ................... 2,031 0.26


277,061

BM&FBovespa SA - Bolsa

de Valores Mercadorias e

Futuros ................................ 1,434 0.18

126,900

CETIP SA - Mercados

Organizados SA .................. 1,675 0.21

Electric Utilities

427,056 AES Tiete Energia SA ........ 2,104 0.27

228,200

EDP - Energias do Brasil

SA ....................................... 1,010 0.13

27,874 Energisa SA ........................ 178 0.02




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Food Products

91,000 BRF SA ............................... 1,550 0.20

Health Care Providers and Services

16,406 Fleury SA ............................ 194 0.02

Hotels, Restaurants and Leisure

125,400

CVC Brasil Operadora e

Agencia de Viagens SA ....... 928 0.12

Iron and Steel

419,401 Gerdau SA ADR ................. 1,141 0.14

424,018

Vale SA (Germany Listed)

ADR .................................... 1,997 0.25

137,655

Vale SA (US Listed)

ADR .................................... 757 0.10

Oil and Gas

59,926

Petroleo Brasileiro SA (Non-

voting Rights) ADR ............ 498 0.06

1,182,900 QGEP Participacoes SA ...... 1,693 0.22

43,200 Ultrapar Participacoes SA ... 945 0.12

Personal Products

90,650 Natura Cosmeticos SA ........ 871 0.11

Real Estate

455,900

Cyrela Brazil Realty SA

Empreendimentos e

Participacoes ....................... 1,436 0.18

1,391,600

Helbor Empreendimentos

SA ....................................... 878 0.11

Retail Trade

22,237 Lojas Renner SA ................. 167 0.02

317,400 Via Varejo SA ..................... 622 0.08

Telecommunications

91,985 Telefonica Brasil SA ADR .. 1,331 0.17

Transport

96,018

Rumo Logistica Operadora

Multimodal SA .................... 187 0.02

498,200

Tegma Gestao Logistica

SA ....................................... 1,273 0.16

Water Utilities

42,922

Cia de Saneamento Basico

do Estado de Sao Paulo

ADR .................................... 397 0.05

41,735 5.27

Canada (0.23%)

Metals and Mining

177,483 First Quantum Minerals Ltd 1,467 0.18

Oil and Gas

234,900 Africa Oil Corp ................... 372 0.05

1,839 0.23

Cayman Islands (11.23%)

Auto Components

1,831,000

Nexteer Automotive Group

Ltd ....................................... 2,384 0.30

3,479,700 Xinyi Glass Holdings Ltd .... 3,145 0.40

Automobiles

1,405,000

Geely Automobile Holdings

Ltd ....................................... 1,254 0.16

Number

of Shares

Fair Value

USD ‘000

Fund

%

Biotechnology

2,755,307 3SBio Inc ............................ 3,119 0.39

Building Products

830,000

China Resources Cement

Holdings Ltd ....................... 332 0.04

Chemicals

229,000

Kingboard Chemical

Holdings Ltd ....................... 694 0.09


67,283

New Oriental Education &

Technology Group Inc ADR 3,119 0.39

Containers and Packaging

83,000

Lee & Man Paper

Manufacturing Ltd .............. 75 0.01

Electrical Equipment

345,019

AAC Technologies Holdings

Inc ....................................... 3,468 0.44

31,000 Casetek Holdings Ltd ......... 113 0.01

302,000

China High Speed

Transmission Equipment

Group Co Ltd ...................... 306 0.04

1,233,000

Q Technology Group Co

Ltd ...................................... 510 0.06

270,000

Tianneng Power

International Ltd ................. 230 0.03

7,150,000 Tongda Group Holdings Ltd 1,742 0.22

379,460

Zhen Ding Technology

Holding Ltd ......................... 832 0.11

Energy Equipment and Services

3,788,000

GCL-Poly Energy Holdings

Ltd ...................................... 503 0.06

129,756 Trina Solar Ltd ADR .......... 1,329 0.17

1,762,000 Xinyi Solar Holdings Ltd .... 659 0.08

Food Products

422,400

China Mengniu Dairy Co

Ltd ...................................... 784 0.10

654,300

Tingyi Cayman Islands

Holding Corp ...................... 758 0.09

678,900 WH Group Ltd .................... 546 0.07

Health Care Equipment and Supplies

901,500

Phoenix Healthcare Group

Co Ltd ................................. 1,602 0.20

Household Products

2,109,000

Goodbaby International

Holdings Ltd ....................... 1,093 0.14

Internet Software and Services

119,141

Alibaba Group Holding Ltd

ADR .................................... 12,604 1.59

13,818 Baidu Inc ADR ................... 2,516 0.32

739,441 Tencent Holdings Ltd ......... 20,307 2.56

10,321 Weibo Corp ADR ............... 517 0.06

Lodging

805,600 MGM China Holdings Ltd .. 1,398 0.18

1,116,887 Sands China Ltd .................. 4,846 0.61

Metals and Mining

504,800

China Zhongwang Holdings

Ltd ...................................... 243 0.03




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Miscellaneous Manufacturers

140,000 Airtac International Group .. 1,246 0.16

77,000

Sunny Optical Technology

Group Co Ltd ...................... 380 0.05

Real Estate

144,000 Agile Group Holdings Ltd ... 82 0.01

820,000 China Resources Land Ltd .. 2,284 0.29

1,075,000 Fullshare Holdings Ltd ........ 624 0.08

833,500 KWG Property Holding Ltd 547 0.07

608,100 Longfor Properties Co Ltd .. 933 0.12

436,500 Shui On Land Ltd ................ 119 0.01

Retail Trade

1,117,400

Belle International Holdings

Ltd ....................................... 766 0.10

978,300

Chow Tai Fook Jewellery

Group Ltd ............................ 711 0.09

2,467,000 Li Ning Co Ltd .................... 1,683 0.21

Semiconductor Equipment and Products

17,346,000

Semiconductor

Manufacturing International

Corp ..................................... 1,946 0.25

Software

9,316 NetEase Inc ADR ................ 2,243 0.28

Textile and Apparel

692,000

Pacific Textiles Holdings

Ltd ....................................... 898 0.11

367,000

Shenzhou International

Group Holdings Ltd ............ 2,555 0.32

751,000 Texhong Textile Group Ltd . 1,003 0.13

89,048 11.23

Chile (0.26%)

Electric Utilities

119,769 Enersis Americas SA ADR . 981 0.12

41,469 Enersis Chile SA ADR ........ 197 0.03

Retail Trade

122,681 SACI Falabella .................... 897 0.11

2,075 0.26

China (8.97%)

Airlines

588,000

China Eastern Airlines Corp

Ltd ....................................... 271 0.03

Automobiles

1,051,800

Chongqing Changan

Automobile Co Ltd ............. 1,714 0.22

1,488,504

Dongfeng Motor Group Co

Ltd ....................................... 1,487 0.19

632,000

Guangzhou Automobile

Group Co Ltd ...................... 812 0.10

Banks

1,604,000

Agricultural Bank of China

Ltd ....................................... 687 0.09

8,074,000 Bank of China Ltd ............... 3,685 0.47

210,000

Bank of Communications Co

Ltd ....................................... 160 0.02

10,872,000

China Construction Bank

Corp ..................................... 8,060 1.02

Number

of Shares

Fair Value

USD ‘000

Fund

%

1,932,000

China Everbright Bank Co

Ltd ...................................... 899 0.11

536,500

China Merchants Bank Co

Ltd ...................................... 1,352 0.17

2,235,000

Chongqing Rural

Commercial Bank Co

Ltd ...................................... 1,377 0.17

362,000 Harbin Bank Co Ltd ............ 111 0.01

8,029,000

Industrial & Commercial

Bank of China Ltd .............. 5,021 0.63

159,418 Shengjing Bank Co Ltd ....... 164 0.02

Beverages

28,089 Kweichow Moutai Co Ltd .. 1,255 0.16

Building Products

781,500

Anhui Conch Cement Co

Ltd ...................................... 2,141 0.27

6,528,000 BBMG Corp ....................... 2,508 0.32

Chemicals

758,000

Sinopec Shanghai

Petrochemical Co Ltd ......... 382 0.05


581,150

Beijing Capital International

Airport Co Ltd .................... 659 0.08

383,000

China Communications

Construction Co Ltd ........... 402 0.05

2,200,000

China Communications

Services Corp Ltd ............... 1,376 0.17

347,000

China Machinery

Engineering Corp ................ 204 0.03

305,467

Shanghai International

Airport Co Ltd .................... 1,235 0.16


788,000

China Cinda Asset

Management Co Ltd ........... 278 0.04

1,170,000

China Galaxy Securities Co

Ltd ...................................... 1,067 0.13

368,600 CITIC Securities Co Ltd ..... 782 0.10

Electric Utilities

230,000

Huaneng Power International

Inc ....................................... 144 0.02


765,600

Dongfang Electric Corp

Ltd ...................................... 605 0.08


3,508,000

China Longyuan Power

Group Corp Ltd .................. 2,849 0.36


1,286,500

Shandong Weigao Group

Medical Polymer Co Ltd ..... 863 0.11

Home Furnishings

899,800

Red Star Macalline Group

Corp Ltd .............................. 863 0.11

Insurance

1,778,000

China Life Insurance Co

Ltd ...................................... 4,585 0.58

559,100

China Pacific Insurance

Group Co Ltd ...................... 2,065 0.26

74,000

PICC Property & Casualty

Co Ltd ................................. 123 0.01




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Metals and Mining

2,758,000

Aluminum Corp of China

Ltd ....................................... 999 0.12

1,164,966

China Shenhua Energy Co

Ltd ....................................... 2,277 0.29

Oil and Gas

4,086,653

China Petroleum &

Chemical Corp .................... 2,977 0.38

8,264

China Petroleum &

Chemical Corp ADR ........... 610 0.08

5,966,542 PetroChina Co Ltd ............... 3,916 0.49

Oil and Gas Services

803,081

China Oilfield Services

Ltd ....................................... 697 0.08

352,000

Sinopec Engineering Group

Co Ltd ................................. 303 0.04

Pharmaceuticals

558,000

Shanghai Fosun

Pharmaceutical Group Co

Ltd ....................................... 1,734 0.22

155,721 Sinopharm Group Co Ltd .... 748 0.09

Real Estate

116,145

Guangzhou R&F Properties

Co Ltd ................................. 183 0.02

Retail Trade

765,085

Shanghai Pharmaceuticals

Holding Co Ltd ................... 2,062 0.26

Software

390,000

TravelSky Technology

Ltd ....................................... 925 0.12

Telecommunications

704,280 ZTE Corp ............................ 1,024 0.13

Transport

4,356,000

Guangshen Railway Co

Ltd ....................................... 2,252 0.28

441,000 Sinotrans Ltd ....................... 215 0.03

71,108 8.97

Colombia (0.46%)

Banks

71,268 Bancolombia SA ADR ........ 2,782 0.35

27,100

Grupo Aval Acciones y

Valores SA ADR ................. 239 0.03

Oil and Gas

67,600 Ecopetrol SA ADR .............. 592 0.08

3,613 0.46

Cyprus (0.03%)

Transport

58,577

Globaltrans Investment Plc

GDR .................................... 275 0.03

Czech Republic (0.16%)

Banks

21,650 Komercni Banka AS ............ 749 0.10

156,200

Moneta Money Bank

AS ....................................... 498 0.06

1,247 0.16

Number

of Shares

Fair Value

USD ‘000

Fund

%

Egypt (1.11%)

Agriculture

61,861 Eastern Tobacco .................. 1,498 0.19

Banks

412,810

Commercial International

Bank Egypt SAE ................. 2,220 0.28

9,854


Bank Egypt SAE GDR ....... 39 0.01

187,509


Bank Egypt SAE GDR (U.K.

Listed) ................................. 740 0.09

Food Products

100,614

Edita Food Industries

SAE .................................... 108 0.01

Pharmaceuticals

170,946

Egyptian International

Pharmaceuticals EIPICO .... 1,309 0.16

Real Estate

1,182,210

Emaar Misr for

Development SAE .............. 297 0.04

3,985,076

Palm Hills Developments

SAE .................................... 1,055 0.13

Telecommunications

801,711

Global Telecom Holding

SAE GDR ........................... 1,555 0.20

8,821 1.11

Greece (0.91%)

Airlines

68,200 Aegean Airlines SA ............ 463 0.06

Banks

1,509,110 Alpha Bank AE ................... 2,510 0.32

2,387,600 Eurobank Ergasias SA ........ 1,363 0.17

3,369,488

National Bank of Greece

SA ....................................... 697 0.09

Distributors

139,690 Fourlis Holdings SA ........... 601 0.08

Retail Trade

46,185 FF Group ............................ 1,147 0.14

Telecommunications

46,900

Hellenic

Telecommunications

Organization SA ................. 411 0.05

7,192 0.91

Guernsey, Channel Islands (0.10%)

Real Estate

278,500 Etalon Group Ltd GDR ....... 766 0.10

Hong Kong (3.48%)

Banks

82,000 CITIC Ltd ........................... 117 0.01


471,300 China Everbright Ltd .......... 964 0.12

Electric Utilities

26,000

China Resources Power

Holdings Co Ltd ................. 45 0.01




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Environmental Control

1,527,800

China Everbright

International Ltd .................. 1,816 0.23

Gas Utilities

136,200

Beijing Enterprises Holdings

Ltd ....................................... 690 0.09

Insurance

133,400 AIA Group Ltd .................... 887 0.11

Iron and Steel

135,000 Fosun International Ltd ....... 203 0.02

Lodging

854,700 SJM Holdings Ltd ............... 628 0.08

Media

186,100 Television Broadcasts Ltd ... 710 0.09

Oil and Gas

1,105,000 CNOOC Ltd ........................ 1,371 0.17

8,538 CNOOC Ltd ADR ............... 1,080 0.14

Real Estate

2,416,000

China Jinmao Holdings

Group Ltd ............................ 744 0.09

1,552,000

China Overseas Land &

Investment Ltd .................... 5,263 0.67

375,200 Hang Lung Properties Ltd ... 844 0.11

558,000 Shenzhen Investment Ltd .... 265 0.03

Real Estate Investment Trust

2,376,000 Champion REIT .................. 1,440 0.18

3,658,000

Hui Xian Real Estate

Investment Trust .................. 1,804 0.23

3,526,000

Yuexiu Real Estate

Investment Trust .................. 2,146 0.27

Telecommunications

424,400 China Mobile Ltd ................ 5,135 0.65

983,000 HKT Trust & HKT Ltd ....... 1,387 0.17

Water Utilities

36,000

Guangdong Investment

Ltd ....................................... 57 0.01

27,596 3.48

Hungary (0.37%)

Banks

64,287 OTP Bank Plc ...................... 1,683 0.21

Oil and Gas

11,923

MOL Hungarian Oil & Gas

Plc ....................................... 736 0.09

Pharmaceuticals

10,050 Richter Gedeon Nyrt ........... 204 0.03

Telecommunications

173,308

Magyar Telekom

Telecommunications Plc ..... 284 0.04

2,907 0.37

India (9.36%)

Automobiles

1,590 Maruti Suzuki India Ltd ...... 131 0.02

495,064 Tata Motors Ltd ................... 3,975 0.50

53,907 Tata Motors Ltd ADR ......... 2,155 0.27

Number

of Shares

Fair Value

USD ‘000

Fund

%

Banks

284,225 Axis Bank Ltd ..................... 2,318 0.29

13,541 HDFC Bank Ltd ADR ........ 973 0.12

398,611 ICICI Bank Ltd ................... 1,511 0.19

308,353 ICICI Bank Ltd ADR .......... 2,303 0.29

73,485 Kotak Mahindra Bank Ltd .. 861 0.11

521,810 State Bank of India ............. 1,975 0.25

10,446 State Bank of India GDR .... 389 0.05

Building Products

18,363 UltraTech Cement Ltd ........ 1,063 0.13

Chemicals

424,923 Godrej Industries Ltd .......... 2,741 0.35

195,874 Tata Chemicals Ltd ............. 1,539 0.19

215,293 UPL Ltd .............................. 2,183 0.28

Computers and Peripherals

167,136 Infosys Ltd .......................... 2,595 0.33

40,995 Infosys Ltd ADR ................ 647 0.08

57,056

Tata Consultancy Services

Ltd ...................................... 2,084 0.26

151,494 Wipro Ltd ........................... 1,090 0.14


109,052 J Kumar Infraprojects Ltd ... 297 0.04

8,516

L&T Technology Services

Ltd ...................................... 108 0.01

103,951 Larsen & Toubro Ltd .......... 2,244 0.28


143,048

Housing Development

Finance Corp Ltd ................ 2,997 0.38

502,600 Power Finance Corp Ltd ..... 907 0.11

Electric Utilities

1,441,067 JSW Energy Ltd .................. 1,591 0.20

1,791,717 NTPC Ltd ........................... 4,003 0.51

452,494

Power Grid Corp of India

Ltd ...................................... 1,198 0.15

1,017,110 PTC India Ltd ..................... 1,138 0.14

71,400

Reliance Infrastructure

Ltd ...................................... 592 0.08


538,391 Exide Industries Ltd ............ 1,481 0.19

3,266,306 Suzlon Energy Ltd .............. 731 0.09

Gas Utilities

239,047 GAIL India Ltd ................... 1,343 0.17


73,189 Bajaj Auto Ltd .................... 3,122 0.39

107,240 Hero MotoCorp Ltd ............ 5,502 0.70

Iron and Steel

154,297 Tata Steel Ltd ...................... 870 0.11

Lodging

775,353 Indian Hotels Co Ltd .......... 1,539 0.19

Media

102,600 Sun TV Network Ltd .......... 777 0.10

Oil and Gas

248,386 Bharat Petroleum Corp Ltd . 2,289 0.29




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

225,023 Indian Oil Corp Ltd ............. 1,977 0.25

401,840 Oil & Natural Gas Corp Ltd 1,551 0.19

9,757 Reliance Industries Ltd ........ 159 0.02

Pharmaceuticals

108,066 Aurobindo Pharma Ltd ........ 1,391 0.17

152,542 Cipla Ltd ............................. 1,328 0.17

Pipelines

251,602 Petronet LNG Ltd ................ 1,304 0.17

Real Estate

339,587 Oberoi Realty Ltd ................ 1,489 0.19

Telecommunications

227,461 Bharti Airtel Ltd .................. 1,071 0.14

Transport

7,637 Blue Dart Express Ltd ......... 636 0.08

74,168 9.36

Indonesia (2.58%)

Agriculture

5,041,000

Perusahaan Perkebunan

London Sumatra Indonesia

Tbk PT ................................ 577 0.07

Banks

1,505,500 Bank Central Asia Tbk PT .. 1,811 0.23

6,674,200

Bank Negara Indonesia

Persero Tbk PT .................... 2,838 0.36

4,655,500

Bank Rakyat Indonesia

Persero Tbk PT .................... 4,352 0.55

Electric Utilities

10,317,651

Cikarang Listrindo Tbk

PT ........................................ 1,178 0.15

Food Products

4,050,000

Ultrajaya Milk Industry &

Trading Co Tbk PT ............. 1,347 0.17

Gas Utilities

13,421,600

Perusahaan Gas Negara

Persero Tbk ......................... 2,951 0.37

Machinery

580,100 United Tractors Tbk PT ....... 787 0.10

Metals and Mining

2,873,000 Adaro Energy Tbk PT ......... 265 0.03

Real Estate

37,100,000 Pakuwon Jati Tbk PT .......... 1,919 0.24

Retail Trade

3,825,300 Astra International Tbk PT .. 2,418 0.31

20,443 2.58

Jersey, Channel Islands (0.11%)


266,293

Integrated Diagnostics

Holdings Plc ........................ 900 0.11

Kazakhstan (0.30%)

Banks

199,600

Halyk Savings Bank of

Kazakhstan JSC GDR (UK

Listed) ................................. 1,277 0.16

Number

of Shares

Fair Value

USD ‘000

Fund

%

Telecommunications

12,972 KCell JSC GDR .................. 44 0.01

308,617

KCell JSC GDR (UK

Listed) ................................. 1,037 0.13

2,358 0.30

Kenya (1.05%)

Agriculture

142,200

British American Tobacco

Kenya Ltd ........................... 1,152 0.15

Banks

6,504,800

Barclays Bank of Kenya

Ltd ...................................... 540 0.07

3,024,483 Equity Group Holdings Ltd 971 0.12

Beverages

1,252,200 East African Breweries Ltd . 3,438 0.43

Telecommunications

11,169,520 Safaricom Ltd ..................... 2,195 0.28

8,296 1.05



21,813

Korea Aerospace Industries

Ltd ...................................... 1,511 0.19

Agriculture

30,051 KT&G Corp ........................ 3,411 0.43

Auto Components

12,120 Hankook Tire Co Ltd .......... 654 0.08

24,299 Hanon Systems ................... 274 0.04

8,028 Hyundai Mobis Co Ltd ....... 2,005 0.25

12,664 Hyundai Wia Corp .............. 996 0.13

Automobiles

13,946 Hyundai Motor Co .............. 1,716 0.22

55,150 Kia Motors Corp ................. 2,111 0.26

Banks

82,797 Industrial Bank of Korea ..... 898 0.11

128,659 Woori Bank ......................... 1,332 0.17

Beverages

25,065 Hite Jinro Co Ltd ................ 513 0.07

280 Muhak Co Ltd ..................... 6 0.00

Chemicals

1,610 LG Chem Ltd ...................... 353 0.04

3,179 Lotte Chemical Corp ........... 860 0.11


589 S-1 Corp .............................. 54 0.01


1,422 SK Holdings Co Ltd ........... 274 0.03


6,108 Daelim Industrial Co Ltd .... 460 0.06

10,929

Hyundai Development Co-

Engineering & Construction 509 0.06

21,399

Hyundai Engineering &

Construction Co Ltd ........... 763 0.10

Distributors

5,781 LG Corp .............................. 340 0.04




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%


21,694 BNK Financial Group Inc ... 169 0.02

155,168 Hana Financial Group Inc ... 3,924 0.50

37,617 KB Financial Group Inc ...... 1,293 0.16

21,487 Samsung Card Co Ltd ......... 977 0.12

90,987

Shinhan Financial Group Co

Ltd ....................................... 3,317 0.42

Electric Utilities

36,529 Korea Electric Power Corp .. 1,791 0.23


23,765 LG Display Co Ltd .............. 606 0.08

25,104 LG Electronics Inc .............. 1,092 0.14

17,450

LS Industrial Systems Co

Ltd ....................................... 665 0.08

760 Neo Holdings ...................... - 0.00

Food Products

930 CJ CheilJedang Corp ........... 307 0.04

20,408 Daesang Corp ...................... 547 0.07

Gas Utilities

1,635 Korea Gas Corp ................... 66 0.01

Home Furnishings

1,150 Coway Co Ltd ..................... 100 0.01

Household Products

68,884 Lock&Lock Co Ltd ............. 776 0.10

Insurance

10,476 Dongbu Insurance Co Ltd ... 649 0.08

9,406

Hyundai Marine & Fire

Insurance Co Ltd ................. 310 0.04

859

Samsung Fire & Marine

Insurance Co Ltd ................. 218 0.03

11,895

Samsung Life Insurance Co

Ltd ....................................... 1,139 0.14


2,819 NAVER Corp ...................... 2,260 0.28

267 NCSoft Corp ....................... 72 0.01

Iron and Steel

6,334 Hyundai Steel Co ................ 292 0.04

16,882 POSCO ................................ 3,480 0.44

11,793 POSCO ADR ...................... 602 0.07

Lodging

32,000

Grand Korea Leisure Co

Ltd ....................................... 716 0.09

3,581 Kangwon Land Inc .............. 128 0.02

Metals and Mining

429 Korea Zinc Co Ltd ............... 187 0.02

Oil and Gas

3,488 S-Oil Corp ........................... 257 0.03

Personal Products

3,212 Amorepacific Corp .............. 1,134 0.14

3,758

LG Household & Health

Care Ltd ............................... 3,259 0.41

Pharmaceuticals

4,785 Celltrion Inc ........................ 462 0.06

210 Yuhan Corp ......................... 53 0.01

Number

of Shares

Fair Value

USD ‘000

Fund

%

Retail Trade

503 BGF retail Co Ltd ............... 88 0.01

4,804 CJ O Shopping Co Ltd ........ 702 0.09

673 E-MART Inc ....................... 96 0.01

2,032

Hyundai Department Store

Co Ltd ................................. 219 0.03

984 Lotte Shopping Co Ltd ....... 184 0.02


16,316 Samsung Electronics Co Ltd 23,674 2.99

92,396 SK Hynix Inc ...................... 3,373 0.42

Telecommunications

100,641 LG Uplus Corp ................... 1,074 0.14

Transport

469 Hyundai Glovis Co Ltd ....... 77 0.01

79,375 10.01

Kuwait (0.42%)

Agriculture

362,250 Mezzan Holding Co KSCC . 1,190 0.15

Banks

1,075,574

National Bank of Kuwait

SAKP .................................. 2,105 0.27

3,295 0.42

Luxembourg (0.05%)

Agriculture

44,364 MHP SA GDR .................... 417 0.05

Malaysia (0.34%)

Banks

521,300

CIMB Group Holdings

Bhd ..................................... 594 0.07

Electric Utilities

473,600 Tenaga Nasional Bhd .......... 1,638 0.21

Lodging

259,100 Genting Bhd ........................ 497 0.06

2,729 0.34

Mauritius (0.17%)


215,264 MCB Group Ltd .................. 1,341 0.17

Mexico (2.24%)

Auto Components

62,008 Nemak SAB de CV ............. 68 0.01

Banks

38,362 Gentera SAB de CV ............ 69 0.01

381,333

Grupo Financiero Banorte

SAB de CV ......................... 2,006 0.25

Beverages

162,434

Arca Continental SAB de

CV ...................................... 969 0.12

139,461

Coca-Cola Femsa SAB de

CV ...................................... 1,048 0.14

78,130

Fomento Economico

Mexicano SAB de CV ........ 720 0.09




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

19,881

Fomento Economico

Mexicano SAB de CV ADR 1,830 0.23

Building Products

389,913 Cemex SAB de CV ADR .... 3,096 0.39

Chemicals

300,254 Alpek SAB de CV ............... 510 0.06

246,597 Mexichem SAB de CV ........ 552 0.07


467,685 OHL Mexico SAB de CV ... 622 0.08


5,217

Grupo Aeroportuario del

Sureste SAB de CV ............. 76 0.01

9,186

Promotora y Operadora de

Infraestructura SAB de CV . 84 0.01

13,737

Promotora y Operadora de

Infraestructura SAB de CV

(U.S. Listed) ........................ 148 0.02

Food Products

91,053 Gruma SAB de CV .............. 1,197 0.15

55,965 Grupo Lala SAB de CV ....... 107 0.01

71,651

Industrias Bachoco SAB de

CV ....................................... 300 0.04

23,115

Organizacion Soriana SAB

de CV .................................. 57 0.01


25,777 Grupo Carso SAB de CV .... 104 0.01

Household Products

70,751

Kimberly-Clark de Mexico

SAB de CV .......................... 160 0.02

Media

141,757

Megacable Holdings SAB de

CV ....................................... 545 0.07

Metals and Mining

700,700

Grupo Mexico SAB de

CV ....................................... 1,717 0.22

11,186

Industrias Penoles SAB de

CV ....................................... 268 0.03


46,565

Concentradora Fibra Danhos

SA de CV ............................ 84 0.01

526,400

Macquarie Mexico Real

Estate Management SA de

CV ....................................... 646 0.08

Retail Trade

45,126

Grupo Sanborns SAB de

CV ....................................... 51 0.01

55,245 La Comer SAB de CV ......... 51 0.01

312,073

Wal-Mart de Mexico SAB

de CV .................................. 685 0.08

17,770 2.24

Morocco (0.47%)

Banks

56,520 Attijariwafa Bank ................ 2,066 0.26

Telecommunications

124,440 Maroc Telecom ................... 1,634 0.21

3,700 0.47

Number

of Shares

Fair Value

USD ‘000

Fund

%

Netherlands (0.32%)

Food Products

48,800 X5 Retail Group NV GDR .. 1,414 0.18

Home Furnishings

38,420

Steinhoff International

Holdings NV ....................... 219 0.03


42,000 Yandex NV ......................... 884 0.11

2,517 0.32

Nigeria (1.00%)

Banks

21,699,396 Guaranty Trust Bank Plc ..... 1,653 0.21

10,603,413 Stanbic IBTC Holdings Plc . 578 0.07

27,878,759 Zenith Bank Plc .................. 1,329 0.17

Beverages

1,275,649 Guinness Nigeria Plc .......... 397 0.05

2,635,489 Nigerian Breweries Plc ....... 1,255 0.16

Food Products

348,794 Nestle Nigeria Plc ............... 908 0.11

4,330,210 Unilever Nigeria Plc ........... 629 0.08

Oil and Gas

927,392

SEPLAT Petroleum

Development Co Plc ........... 976 0.12

234,000

SEPLAT Petroleum

Development Co Plc (U.K.

Listed) ................................. 238 0.03

7,963 1.00

Pakistan (1.09%)

Banks

515,170 Habib Bank Ltd .................. 1,090 0.14

2,129,870 United Bank Ltd ................. 4,058 0.51

Chemicals

4,130,000 Engro Fertilizers Ltd ........... 2,432 0.31

Oil and Gas

273,000 Pakistan State Oil Co Ltd .... 1,082 0.13

8,662 1.09

Panama (0.48%)

Airlines

96,024

Avianca Holdings SA

ADR .................................... 622 0.08

21,026 Copa Holdings SA .............. 1,849 0.23

Retail Trade

73,451 InRetail Peru Corp .............. 1,344 0.17

3,815 0.48

Peru (0.27%)

Metals and Mining

154,738

Cia de Minas Buenaventura

SAA ADR ........................... 2,142 0.27

Philippines (1.37%)

Banks

1,061,940 BDO Unibank Inc ............... 2,404 0.30




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

703,810

Metropolitan Bank & Trust

Co ........................................ 1,238 0.16

Building Products

4,713,400

CEMEX Holdings

Philippines Inc ..................... 1,166 0.15

Metals and Mining

2,481,916 Nickel Asia Corp ................. 368 0.04

Other Finance

27,590 GT Capital Holdings Inc ..... 819 0.10

Real Estate

3,367,000 Cosco Capital Inc ................ 576 0.07

9,523,700 Megaworld Corp ................. 927 0.12

Retail Trade

289,360 Jollibee Foods Corp ............. 1,474 0.19

1,211,200 Puregold Price Club Inc ...... 1,061 0.13

Software

2,840,000 Xurpas Inc ........................... 855 0.11

10,888 1.37

Poland (0.96%)

Banks

13,820 Bank Pekao SA ................... 447 0.06

15,200 Bank Zachodni WBK SA .... 1,235 0.15

72,700

Powszechna Kasa

Oszczednosci Bank Polski

SA ....................................... 496 0.06


7,100 KRUK SA ........................... 442 0.06


36,300 Alior Bank SA ..................... 440 0.06

Food Products

20,900 Eurocash SA ........................ 232 0.03

Insurance

109,240

Powszechny Zaklad

Ubezpieczen SA .................. 696 0.09


76,626

Wirtualna Polska Holding

SA ....................................... 1,119 0.14

Media

31,517 Cyfrowy Polsat SA .............. 202 0.03

Metals and Mining

18,332 KGHM Polska Miedz SA .... 357 0.04

Oil and Gas

40,000

Polski Koncern Naftowy

Orlen SA ............................. 679 0.09

Retail Trade

15,700 CCC SA .............................. 726 0.09

Telecommunications

121,000 Orange Polska SA ............... 190 0.02

Textile and Apparel

250 LPP SA ................................ 257 0.03

Transport

12,000 Integer.pl SA ....................... 79 0.01

7,597 0.96

Number

of Shares

Fair Value

USD ‘000

Fund

%

Qatar (0.10%)

Chemicals

27,255 Industries Qatar QSC .......... 808 0.10

Romania (0.73%)

Banks

6,359,183 Banca Transilvania SA ....... 3,797 0.48

128,890

BRD-Groupe Societe

Generale SA ........................ 358 0.04

Closed End Funds

38,497

Fondul Proprietatea SA

GDR .................................... 400 0.05

Oil and Gas

110,317

Societatea Nationala de Gaze

Naturale ROMGAZ SA ...... 648 0.08

102,544

Societatea Nationala de Gaze

Naturale ROMGAZ SA

GDR .................................... 595 0.08

5,798 0.73

Russia (3.50%)

Airlines

1,027,406

Aeroflot - Russian Airlines

PJSC ................................... 1,906 0.24

Banks

463,792 Bank St Petersburg PJSC .... 433 0.05

1,425,432 Sberbank of Russia PJSC .... 3,287 0.42

240,302

Sberbank of Russia PJSC

ADR .................................... 2,254 0.28

Chemicals

81,234 PhosAgro OAO GDR ......... 1,048 0.13


294,630

Moscow Exchange MICEX-

RTS PJSC ........................... 593 0.07

217,500

Moscow Exchange MICEX-

RTS PJSC (U.S. Listed) ...... 437 0.06

Electric Utilities

10,064,500 RusHydro PJSC .................. 124 0.02

Food Products

4,175 Magnit PJSC ....................... 688 0.09

Iron and Steel

29,100

Novolipetsk Steel PJSC

GDR .................................... 378 0.05

Metals and Mining

903,100 Alrosa PJSC ........................ 1,241 0.16

36,169

MMC Norilsk Nickel PJSC

ADR .................................... 578 0.07

55,270

MMC Norilsk Nickel PJSC

ADR (U.S. Listed) .............. 887 0.11

Oil and Gas

457,532 Gazprom PJSC ADR .......... 1,935 0.24

42,342 Lukoil PJSC ADR ............... 2,062 0.26

63,362

Lukoil PJSC ADR (U.S.

Listed) ................................. 3,088 0.39

17,200 Novatek OJSC GDR ........... 1,892 0.24

148,000 Rosneft PJSC GDR ............. 808 0.10




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Real Estate

20,838 LSR Group PJSC ................. 295 0.04

193,520 LSR Group PJSC GDR ....... 549 0.07

Retail Trade

253,508 M.Video PAO ..................... 1,381 0.17

Telecommunications

80,902 MegaFon PJSC GDR .......... 773 0.10

25,101 Mobile TeleSystems PJSC .. 91 0.01

1,036

Mobile TeleSystems PJSC

ADR .................................... 8 0.00

800,480 Sistema PJSC FC ................. 258 0.03

434,000

Sistema PJSC FC (U.S.

Listed) ................................. 140 0.02

76,917 Sistema PJSC FC GDR ....... 571 0.07

Transport

1,582,311 Far Eastern Shipping Co Plc 47 0.01

27,752 3.50

Serbia & Montenegro (0.02%)

Banks

9,500

Komercijalna Banka AD

Beograd ............................... 134 0.02

Singapore (0.27%)


101,007 BOC Aviation Ltd ............... 520 0.06

Real Estate

2,875,000

Yoma Strategic Holdings

Ltd ....................................... 1,244 0.16

Shipbuilding

724,100

Yangzijiang Shipbuilding

Holdings Ltd ....................... 398 0.05

2,162 0.27

Slovenia (0.14%)

Insurance

21,054 Zavarovalnica Triglav DD ... 532 0.07

Oil and Gas

1,675 Petrol DD Ljubljana ............ 576 0.07

1,108 0.14


Banks

103,609 Barclays Africa Group Ltd .. 1,138 0.14

512,864 FirstRand Ltd ...................... 1,772 0.23

110,966 Standard Bank Group Ltd .... 1,135 0.14


112,000 EOH Holdings Ltd .............. 1,366 0.17


1,948 Capitec Bank Holdings Ltd . 91 0.01

Food Products

51,871 Bid Corp Ltd ....................... 978 0.12

113,785 Bidvest Group Ltd ............... 1,337 0.17

49,066 Shoprite Holdings Ltd ......... 683 0.09

22,550 SPAR Group Ltd ................. 315 0.04

Number

of Shares

Fair Value

USD ‘000

Fund

%

23,327 Tiger Brands Ltd ................. 645 0.08

87,000 Tongaat Hulett Ltd .............. 747 0.09


171,355 Netcare Ltd ......................... 419 0.05


7,908 AVI Ltd .............................. 54 0.01

72,370 Imperial Holdings Ltd ......... 879 0.10

3,441 Remgro Ltd ......................... 57 0.01

Insurance

87,000 Discovery Ltd ..................... 715 0.09

38,506 Liberty Holdings Ltd .......... 327 0.04

95,193 Sanlam Ltd .......................... 442 0.06

Iron and Steel

52,720 Kumba Iron Ore Ltd ........... 475 0.06

Lodging

336,301 Tsogo Sun Holdings Ltd ..... 762 0.10

Media

26,750 Naspers Ltd ......................... 4,620 0.58

Metals and Mining

119,368

AngloGold Ashanti Ltd

ADR .................................... 1,900 0.24

40,254 Exxaro Resources Ltd ......... 248 0.03

44,379

Impala Platinum Holdings

Ltd ...................................... 224 0.03

Oil and Gas

76,824 Sasol Ltd ............................. 2,101 0.27


135,787 Sappi Ltd ............................ 701 0.09


35,303 Growthpoint Properties Ltd 65 0.01

64,996 Resilient REIT Ltd .............. 542 0.07

Retail Trade

56,000 Mr Price Group Ltd ............ 618 0.08

159,297 Truworths International Ltd 822 0.10

206,000 Woolworths Holdings Ltd .. 1,158 0.15

Telecommunications

147,297 MTN Group Ltd .................. 1,258 0.16

103,212 Telkom SA SOC Ltd .......... 454 0.06

29,048 3.67

Spain (0.09%)

Building Products

196,726

Cemex Latam Holdings

SA ....................................... 749 0.09

Switzerland (0.12%)

Retail Trade

7,377 Dufry AG ............................ 925 0.12

Taiwan (6.80%)

Auto Components

189,390

Cheng Shin Rubber Industry

Co Ltd ................................. 398 0.05




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Building Products

176,000 Asia Cement Corp ............... 154 0.02

48,000

Nien Made Enterprise Co

Ltd ....................................... 618 0.08

488,000 Taiwan Cement Corp .......... 555 0.07

Chemicals

336,538 Nan Ya Plastics Corp .......... 666 0.08


72,556 Advantech Co Ltd ............... 623 0.08

24,000 Asustek Computer Inc ......... 214 0.03

273,113 Chicony Electronics Co Ltd 691 0.09

378,000 Compal Electronics Inc ....... 233 0.03

603,562

Foxconn Technology Co

Ltd ....................................... 1,768 0.22

608,000 Inventec Corp ...................... 497 0.06

383,313 Lite-On Technology Corp ... 552 0.07

148,000 Primax Electronics Ltd ........ 217 0.03


1,009,214

CTBC Financial Holding Co

Ltd ....................................... 586 0.08

1,616,900

E.Sun Financial Holding Co

Ltd ....................................... 921 0.12

480,418

Taishin Financial Holding

Co Ltd ................................. 179 0.02

2,036,286

Yuanta Financial Holding

Co Ltd ................................. 728 0.09


688,068 Delta Electronics Inc ........... 3,666 0.46

42,000 Elite Advanced Laser Corp . 151 0.02

170,085 FLEXium Interconnect Inc .. 506 0.06

1,243,771

Hon Hai Precision Industry

Co Ltd ................................. 3,135 0.40

574,163 Pegatron Corp ...................... 1,476 0.19

Food Products

230,889

Uni-President Enterprises

Corp ..................................... 433 0.05

Home Furnishings

338,235 E Ink Holdings Inc .............. 260 0.03

Insurance

454,847

China Life Insurance Co Ltd

............................................. 416 0.05

Iron and Steel

1,050,016 China Steel Corp ................. 740 0.09

Metals and Mining

25,000 Catcher Technology Co Ltd 203 0.03


33,000 Largan Precision Co Ltd ...... 3,980 0.50

Pharmaceuticals

61,774 PharmaEngine Inc ............... 472 0.06

Real Estate

441,500

Highwealth Construction

Corp ..................................... 683 0.09


1,802,000

Advanced Semiconductor

Engineering Inc ................... 2,162 0.27

Number

of Shares

Fair Value

USD ‘000

Fund

%

95,679 MediaTek Inc ...................... 731 0.09

126,000 Nanya Technology Corp ..... 158 0.02

16,000

Novatek Microelectronics

Corp .................................... 56 0.01

96,000

Realtek Semiconductor

Corp .................................... 314 0.04

2,372,200

Taiwan Semiconductor

Manufacturing Co Ltd ........ 13,810 1.74

285,838


Manufacturing Co Ltd ADR 8,743 1.10

1,363,000

United Microelectronics

Corp .................................... 501 0.07

Telecommunications

370,000 Chunghwa Telecom Co Ltd 1,303 0.16

Textile and Apparel

543,808

Far Eastern New Century

Corp .................................... 406 0.05

53,905 6.80

Thailand (1.91%)

Banks

334,500

Kasikornbank PCL (Alien

Market) ............................... 1,810 0.23

577,700 Kasikornbank PCL NVDR . 3,126 0.39

574,000 Thanachart Capital PCL ...... 671 0.09

Chemicals

239,900 PTT Global Chemical PCL . 407 0.05


2,350,600

Sino-Thai Engineering &

Construction PCL ............... 1,601 0.20


1,992,700

Jasmine Broadband Internet

Infrastructure Fund ............. 673 0.08

185,600 Siam Cement PCL NVDR .. 2,764 0.35

Home Builders

4,855,984 Land & Houses PCL NVDR 1,254 0.16

Oil and Gas

155,000 PTT PCL NVDR ................ 1,516 0.19

Real Estate

438,500 Supalai PCL ........................ 308 0.04

Retail Trade

912,450 Minor International PCL ..... 1,027 0.13

15,157 1.91

Turkey (1.52%)

Airlines

117,884 Turk Hava Yollari AO ........ 202 0.03

Automobiles

47,100

Tofas Turk Otomobil

Fabrikasi AS ....................... 344 0.04

Banks

217,675 Akbank TAS ....................... 583 0.07

772,645 Turkiye Garanti Bankasi AS 2,047 0.26

848,208 Turkiye Halk Bankasi AS ... 2,578 0.33

260,000 Turkiye Is Bankasi .............. 412 0.05

542,529

Turkiye Vakiflar Bankasi

TAO .................................... 830 0.10




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

238,000 Yapi ve Kredi Bankasi AS .. 291 0.04

Building Products

48,281

Cimsa Cimento Sanayi VE

Ticaret AS ........................... 240 0.03


73,208 Enka Insaat ve Sanayi AS ... 107 0.01


360,753

Turkiye Sinai Kalkinma

Bankasi AS .......................... 160 0.02

Food Products

96,200 Migros Ticaret AS ............... 586 0.08


399,002

Haci Omer Sabanci Holding

AS ....................................... 1,235 0.15

272,182 KOC Holding AS ................ 1,169 0.15

Metals and Mining

131,500 Koza Altin Isletmeleri AS ... 742 0.09

Oil and Gas

11,333

Tupras Turkiye Petrol

Rafinerileri AS .................... 215 0.03

Retail Trade

93,000

Dogus Otomotiv Servis ve

Ticaret AS ........................... 311 0.04

12,052 1.52

United Arab Emirates (0.68%)

Banks

691,606 Dubai Islamic Bank PJSC ... 1,021 0.13

Real Estate

1,508,073

DAMAC Properties Dubai

Co PJSC .............................. 944 0.12

1,751,168 Emaar Properties PJSC ........ 3,385 0.43

5,350 0.68

United Kingdom (1.04%)

Banks

40,400 BGEO Group Plc ................. 1,524 0.19

90,608

HSBC Bank Plc (The

Cooperative Insurance)* ...... 1,980 0.25

4,717

HSBC Bank Plc (United

International Transportation)

(U.S. Listed)* ...................... 34 0.00

28,415

HSBC Bank Plc (United

International

Transportation)* .................. 205 0.03


72,441 NMC Health Plc .................. 1,289 0.16

Metals and Mining

19,391 Fresnillo Plc ........................ 457 0.06

541,156 KAZ Minerals Plc ............... 1,553 0.20

2,318,139 Pan African Resources Plc .. 640 0.08

2,181,861

Pan African Resources Plc

(South Africa Listed) ........... 595 0.07

8,277 1.04


Biotechnology

13,443 China Biologic Products Inc 1,673 0.21

Number

of Shares

Fair Value

USD ‘000

Fund

%

Oil and Gas

243,200 Gran Tierra Energy Inc ....... 732 0.09

Retail Trade

23,304 PriceSmart Inc .................... 1,952 0.25

4,357 0.55

Vietnam (0.08%)

Real Estate

319,269 Vingroup JSC ..................... 637 0.08

Virgin Islands, British (0.24%)

Chemicals

7,876,000

Tianhe Chemicals Group Ltd

............................................. 711 0.09


24,000 Mail.Ru Group Ltd GDR .... 421 0.05

Retail Trade

146,700

Arcos Dorados Holdings

Inc ....................................... 773 0.10

1,905 0.24

Zimbabwe (0.14%)


1,837,954 Delta Corp Ltd .................... 1,103 0.14

Total Common Stock ........ 711,548 89.77

Preferred Stock (2.44%)

Brazil (1.90%)

Auto Components

1,116,000 Marcopolo SA ..................... 1,075 0.14

Food Products

229,600

Cia Brasileira de

Distribuicao ........................ 3,753 0.47


3,998,098

Itausa - Investimentos Itau

SA ....................................... 10,263 1.29

15,091 1.90

Colombia (0.14%)

Banks

107,277 Banco Davivienda SA ......... 1,099 0.14




Philippines (0.00%)

Banks

1,267,172 Security Bank Corp ............. - 0.00

Russia (0.07%)

Oil and Gas

1,248,232 Surgutneftegas OJSC .......... 574 0.07

Total Preferred Stock ....... 19,403 2.44




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Warrants (1.23%)

Netherlands (0.52%)

277,673

Bherti Airtel International

Netherlands BV ................... 1,307 0.16

155,694

Reliance Industries Ltd

(02/17) ................................. 2,536 0.32

17,750

Reliance Industries Ltd

(07/19) ................................. 289 0.04

4,132 0.52

Curacao (0.64%)

98,581

Fawaz Abdulaziz Al Hokair

& Co .................................... 886 0.11

40,032

Mouwasat Medical Services

Co ........................................ 1,259 0.16

666,693

National Industrialization

Co ........................................ 2,212 0.28

93,808

United International

Transportation Co ................ 678 0.09

5,035 0.64

Australia (0.07%)

890,100 Macquarie Bank Ltd ............ 595 0.07

Total Warrants .................. 9,762 1.23

Rights (0.01%)

Brazil (0.01%)

376,645 Helbor Empreendimentos .... 39 0.01

Total Rights ....................... 39 0.01

Total Transferable

Securities ............................ 740,752 93.45

Number

of Shares

Fair Value

USD ‘000

Fund

%


Ireland (4.27%)

56


III Plc - The Sterling

Liquidity Fund - Class R

Roll-Up Shares ................... 73 0.01

33,670


III Plc - The U.S. Dollar

Cash Fund II - Class R Roll-

Up Shares ............................ 33,795 4.26

1


Plc - Russell Euro Liquidity

Fund - Class R Roll-Up

Shares ................................. 1 0.00

33,869 4.27

Romania (0.17%)

6,576,661 Fondul Proprietatea SA ....... 1,333 0.17


Total Investments

excluding Financial


Financial Derivative Instruments ((0.06)%)

Open Futures Contracts ((0.06)%)

Notional

Amount

USD ‘000

Average

Cost Price

USD

Unrealised

Gain (Loss)

USD ‘000

Fund

%

12,938

924.18

280 of Mini MSCI Emerging Markets


Expiring December 2016 ........................................... (164) (0.02)

11,375

0.24

96 of KOSPI Index Futures


Expiring December 2016 ........................................... (122) (0.02)

11,531

346.28

333 of MSCI Taiwan Index Futures


Expiring October 2016 .............................................. (152) (0.02)

Net unrealised gain (loss) on open futures contracts .................................................... (438) (0.06)




30 September 2016



Open Forward Foreign Currency Exchange Contracts ((0.00)%)

Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

21/12/2016 KRW 7,527,000 USD 6,875 (43) (0.00)

Net unrealised gain (loss) on open forward foreign currency exchange contracts ....... (43) (0.00)

Total Financial Derivative Instruments ............................................................................ (481) (0.06)

Fair Value

USD ‘000

Fund

%

Total Financial Assets at Fair Value through Profit or Loss

(97.89%) ....................................................................................................................................................... 775,954 97.89


Loss ((0.06)%) ............................................................................................................................................. (481) (0.06)


(97.83%) .................................................................................................................................................... 775,473 97.83

Other Net Assets (2.17%) ......................................................................................................................... 17,169 2.17

Net Assets .................................................................................................................................................. 792,642 100.00

Abbreviation used:

ADR - American Depository Receipt

GDR - Global Depository Receipt

NVDR - Non-Voting Depository Receipt

* Equity Linked Note (ELN). The first named entity is the issuer of the ELN and the underlying entity of the ELN follows in brackets.


% of

gross assets

Transferable securities admitted to an official stock exchange listing ...................................................................... 92.09

Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) .......................................... 0.78

Investment funds (UCITS) ....................................................................................................................................... 4.41

Other assets ............................................................................................................................................................... 2.72

100.00

The broker for the open futures contracts is Goldman Sachs.

The counterparty for the open forward foreign currency exchange contracts is Bank of America.




30 September 2016







Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets



Transferable securities ............................................................... 728,185 11,856 711 740,752

Investment funds ........................................................................ 1,333 33,869 - 35,202

Total assets ...................................................................................... 729,518 45,725 711 775,954

Liabilities


Unrealised loss on open futures contracts ................................... (438) - - (438)


contracts ...................................................................................... - (43) - (43)

Total liabilities ................................................................................ (438) (43) - (481)

As at 31 March 2016

Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets



Transferable securities ............................................................... 631,844 13,946 1,739 647,529


Investment funds ........................................................................ 1,416 35,117 - 36,533

Unrealised gain on open futures contracts ................................... 1,071 - - 1,071


contracts ...................................................................................... - 658 - 658

Total assets ...................................................................................... 634,331 52,120 1,739 688,190

Liabilities


Unrealised loss on open futures contracts ................................... (425) - - (425)


contracts ...................................................................................... - (345) - (345)





Listed below are the 20 largest cumulative investment purchases and sales during the six months ended 30 September 2016.





Acquisition Cost


Disposal Proceeds

USD ‘000

Russell Investment Company III plc Russell Investment Company III plc



Alibaba Group Holding Ltd ADR 8,398 Ping An Insurance Group Co of China

Taiwan Semiconductor Manufacturing Co Ltd (5,337)

Ltd 6,032 JD.com Inc ADR (4,393)

Tencent Holdings Ltd 4,856 Samsung Electronics Co Ltd (4,132)

Samsung Electronics Co Ltd 4,277 China Mobile Ltd (3,452)

PetroChina Co Ltd 3,407 Silicon Motion Technology Corp ADR (2,986)

KT&G Corp 3,199 Hon Hai Precision Industry Co Ltd (2,796)

China Life Insurance Co Ltd 3,047 Naspers Ltd (2,476)

Itausa - Investimentos Itau SA 3,009 Hyundai Motor Co (2,396)

Largan Precision Co Ltd 2,906 SK Hynix Inc (2,387)

Engro Fertilizers Ltd 2,601 Taiwan Semiconductor Manufacturing

Alpha Bank AE 2,182 Co Ltd (2,311)

Astra International Tbk PT 2,123 Tencent Holdings Ltd (2,255)

Advanced Semiconductor Engineering Inc 2,097 U.S. Treasury Bill

Gazprom PAO ADR 2,090 Zero Coupon due 23/06/2016 (2,000)

Delta Electronics Inc 2,024 PTT PCL NVDR (1,967)

New Oriental Education & Technology Pegatron Corp (1,934)

Group Inc ADR 1,911 OTP Bank Plc (1,895)

Semiconductor Manufacturing Gazprom PAO ADR (1,881)

International Corp 1,891 Alibaba Group Holding Ltd ADR (1,834)

AAC Technologies Holdings Inc 1,792 Dongfeng Motor Group Co Ltd (1,831)

NAVER Corp 1,744 Bharti Infratel Ltd (1,818)



Balance Sheet



44 Russell Euro Fixed Income Fund

30 September 2016

(Unaudited)

EUR ‘000

31 March 2016

(Audited)

EUR ‘000

Assets


Cash at bank (Note 2) ....................................................................................................... 2,497 209


(Note 2) ............................................................................................................................ 2,547 1,126

Debtors:

Receivable for investments sold .................................................................................... 1,299 7,475


Interest receivable .......................................................................................................... 2,362 2,770

Prepayments and other debtors ...................................................................................... 16 7

290,448 303,617

Liabilities



Bank overdraft (Note 2) ................................................................................................. - (1,025)


(Note 2) .......................................................................................................................... (189) -

Payable for investments purchased ................................................................................ (1,894) (5,849)

Payable on fund shares redeemed .................................................................................. (163) (100)

Distributions payable on income share classes .............................................................. (413) (583)




Administration fees payable .......................................................................................... (8) (12)


(6,869) (11,195)







Russell Euro Fixed Income Fund 45

Six months ended

30 September 2016

(Unaudited)

EUR ‘000

Six months ended

30 September 2015

(Unaudited)

EUR ‘000

Income

Interest income .............................................................................................................. 3,009 2,234

Net gain (loss) on investment activities ........................................................................... (3,054) (14,461)

Total investment income (expense) ............................................................................... (45) (12,227)

Expenses





Audit fees ...................................................................................................................... (11) (10)


Other fees ...................................................................................................................... (9) (11)


Net income (expense) ...................................................................................................... (1,270) (13,414)

Finance costs


Profit (loss) for the financial period before taxation ................................................... (3,034) (15,765)

Taxation

Withholding tax (Note 7) ............................................................................................... (3) (4)


shareholders resulting from operations ........................................................................ (3,037) (15,769)


Account.







Six months ended

30 September 2016

(Unaudited)

EUR ‘000

Six months ended

30 September 2015

(Unaudited)

EUR ‘000


shareholders resulting from operations ........................................................................ (3,037) (15,769)

Share transactions

Reinvestment of deemed distributions on accumulation shares (Note 8) ...................... 840 1,075


transactions (Note 8) ..................................................................................................... (6,646) 79,335


participating shareholders ............................................................................................. (8,843) 64,641







30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%



Australia (0.58%)

BHP Billiton Finance Ltd

EUR 376,000 1.500% due 29/04/30 ....... 396 0.14

Commonwealth Bank of

Australia

530,000 2.000% due 22/04/27 ....... 530 0.19

National Australia Bank

Ltd

250,000 1.875% due 13/01/23 ....... 280 0.10

Westpac Banking Corp

400,000 4.125% due 25/05/18 ....... 428 0.15

1,634 0.58

Austria (0.70%)

Austria Government Bond

510,000 3.650% due 20/04/22 ....... 627 0.22

350,000 4.850% due 15/03/26 ....... 514 0.18

200,000 4.150% due 15/03/37 ....... 340 0.12

127,000 3.800% due 26/01/62 ....... 260 0.09

Erste Group Bank AG

100,000 7.125% due 10/10/22 ....... 126 0.05

100,000 0.625% due 19/01/23 ....... 105 0.04

1,972 0.70

Belgium (6.31%)

Anheuser-Busch InBev

SA/NV

58,000 0.625% due 17/03/20 ....... 59 0.02

592,000 1.500% due 17/03/25 ....... 634 0.22

286,000 1.500% due 18/04/30 ....... 301 0.11

280,000 2.750% due 17/03/36 ....... 337 0.12

Belgium Government

Bond

710,000 1.250% due 22/06/18 ....... 733 0.26

450,000 3.750% due 28/09/20 ....... 528 0.19

EUR 590,000 2.600% due 22/06/24 ....... 718 0.25

7,850,000 1.000% due 22/06/26 ....... 8,503 3.00

250,000 4.500% due 28/03/26 ....... 357 0.13

390,000 4.000% due 28/03/32 ....... 595 0.21

370,000 4.250% due 28/03/41 ....... 651 0.23

660,000 3.750% due 22/06/45 ....... 1,125 0.40

608,000 2.150% due 22/06/66 ....... 770 0.27

Elia System Operator

SA/NV

100,000 3.250% due 04/04/28 ....... 128 0.04

European Union

350,000 2.750% due 04/04/22 ....... 412 0.14

300,000 0.625% due 04/11/23 ....... 321 0.11

KBC Bank NV

200,000 0.450% due 22/01/22 ....... 207 0.07

100,000 0.375% due 01/09/22 ....... 103 0.04

KBC Groep NV

1,300,000 1.875% due 11/03/27 ....... 1,315 0.46

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Solvay SA

100,000 1.625% due 02/12/22 ...... 107 0.04

17,904 6.31

Canada (0.65%)

Canadian Imperial Bank of

Commerce

530,000 1.250% due 07/08/18 ...... 545 0.19

Royal Bank of Canada

600,000 0.132% due 06/08/20 ...... 604 0.21

Toronto-Dominion Bank

681,000 0.375% due 27/04/23 ...... 699 0.25

1,848 0.65


UPCB Finance IV Ltd

100,000 4.000% due 15/01/27 ...... 100 0.03

Cyprus (0.04%)

Aroundtown Property

Holdings Plc

100,000 1.500% due 15/07/24 ...... 100 0.04

Denmark (0.90%)

Danske Bank A/S

370,000 0.500% due 06/05/21 ...... 377 0.13

100,000 0.750% due 02/06/23 ...... 103 0.04

280,000 3.875% due 04/10/23 ...... 299 0.10

Nykredit Realkredit A/S

200,000 0.750% due 14/07/21 ...... 202 0.07

4,300,000 2.000% due 01/10/47 ...... 565 0.20

3,100,000 2.500% due 01/10/47 ...... 422 0.15

Realkredit Danmark A/S

4,500,000 2.000% due 01/10/47 ...... 599 0.21

2,567 0.90

Finland (1.37%)

Elenia Finance OYJ

EUR 292,000 2.875% due 17/12/20 ...... 318 0.11

Finland Government Bond

1,900,000 3.375% due 15/04/20 ...... 2,168 0.77

490,000 3.500% due 15/04/21 ...... 580 0.20

220,000 2.750% due 04/07/28 ...... 288 0.10

OP Mortgage Bank

200,000 0.625% due 04/09/22 ...... 210 0.07

100,000 1.000% due 28/11/24 ...... 108 0.04

Sampo OYJ

100,000 1.125% due 24/05/19 ...... 103 0.04

SATO OYJ

100,000 2.375% due 24/03/21 ...... 106 0.04

3,881 1.37

France (11.78%)

Accor SA

200,000 2.625% due 05/02/21 ...... 219 0.08




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Agence Francaise de

Developpement

300,000 0.125% due 31/03/21 ....... 306 0.11

Air Liquide Finance SA

100,000 2.125% due 15/10/21 ....... 111 0.04

Autoroutes du Sud de la

France SA

50,000 5.625% due 04/07/22 ....... 66 0.02

AXA SA

100,000 5.250% due 16/04/40 ....... 112 0.04

100,000 3.375% due 06/07/47 ....... 103 0.04

200,000 3.875%* ........................... 205 0.07

Banque Federative du Credit

Mutuel

900,000 0.171% due 03/06/20 ....... 906 0.32

100,000 2.625% due 24/02/21 ....... 111 0.04

100,000 1.625% due 19/01/26 ....... 110 0.04

Banque PSA Finance

SA

USD 55,000 5.750% due 04/04/21 ....... 55 0.02

BNP Paribas Home Loan

SFH SA

EUR 100,000 1.375% due 17/06/20 ....... 107 0.04

200,000 3.125% due 22/03/22 ....... 238 0.08

BNP Paribas SA

150,000 0.750% due 11/11/22 ....... 154 0.05

BPCE SA

100,000 2.000% due 24/04/18 ....... 103 0.04

100,000 0.625% due 20/04/20 ....... 102 0.04

100,000 0.375% due 05/10/23 ....... 100 0.03

100,000 2.875% due 22/04/26 ....... 105 0.04

300,000 2.750% due 30/11/27 ....... 311 0.11

Bureau Veritas SA

100,000 3.125% due 21/01/21 ....... 110 0.04

Caisse

d'Amortissement de

la Dette Sociale

400,000 0.500% due 25/05/23 ....... 419 0.15

220,000 2.375% due 25/01/24 ....... 262 0.09

Caisse de Refinancement de

l'Habitat SA

300,000 3.600% due 08/03/24 ....... 383 0.13

Carrefour SA

100,000 0.750% due 26/04/24 ....... 102 0.04

Casino Guichard Perrachon

SA

100,000 5.976% due 26/05/21 ....... 118 0.04

100,000 3.248% due 07/03/24 ....... 109 0.04

Council Of Europe

Development Bank

300,000 0.375% due 27/10/22 ....... 313 0.11

400,000 0.750% due 09/06/25 ....... 427 0.15

Credit Agricole Assurances

SA

200,000 4.750% due 27/09/48 ....... 201 0.07

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Credit Agricole Home Loan

SFH SA

200,000 0.375% due 24/03/23 ...... 208 0.07

200,000 0.625% due 11/09/23 ...... 211 0.07

Credit Agricole SA

200,000 4.000% due 29/06/21 ...... 235 0.08

100,000 0.875% due 19/01/22 ...... 104 0.04

370,000 2.625% due 17/03/27 ...... 385 0.14

Credit Mutuel - CIC Home

Loan SFH

300,000 2.500% due 11/09/23 ...... 356 0.12

Electricite de France SA

100,000 4.250%* .......................... 102 0.04

France Government Bond

OAT

540,000 4.250% due 25/10/18 ...... 595 0.21

2,590,000 3.750% due 25/10/19 ...... 2,937 1.03

2,200,000 3.500% due 25/04/20 ...... 2,521 0.89

350,000 2.250% due 25/10/22 ...... 406 0.14

400,000 1.750% due 25/05/23 ...... 455 0.16

6,920,000 0.500% due 25/05/26 ...... 7,172 2.53

315,000 5.750% due 25/10/32 ...... 571 0.20

960,000 4.000% due 25/10/38 ...... 1,587 0.56

2,275,000 3.250% due 25/05/45 ...... 3,564 1.26

110,000 1.750% due 25/05/66 ...... 128 0.04

HSBC SFH France SA

100,000 2.000% due 16/10/23 ...... 115 0.04

Kering

100,000 1.250% due 10/05/26 ...... 105 0.04

La Banque Postale Home

Loan SFH

100,000 1.875% due 11/09/20 ...... 109 0.04

mFinance France SA

80,000 1.398% due 26/09/20 ...... 80 0.03

Orange SA

200,000 3.125% due 09/01/24 ...... 241 0.08

Pernod Ricard SA

100,000 2.125% due 27/09/24 ...... 113 0.04

RCI Banque

340,000 0.375% due 10/07/19 ...... 343 0.12

Renault SA

220,000 3.125% due 05/03/21 ...... 247 0.09

SA de Gestion de Stocks de

Securite

300,000 0.625% due 25/05/23 ...... 314 0.11

Sanofi

840,000 1.000% due 14/11/17 ...... 851 0.30

100,000 0.875% due 22/09/21 ...... 104 0.04

SCOR SE

300,000 3.000% due 08/06/46 ...... 306 0.11

Societe Des Autoroutes

Paris-Rhin-Rhone

100,000 1.500% due 15/01/24 ...... 108 0.04




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Societe Generale SA

100,000 0.750% due 19/02/21 ....... 103 0.04

100,000 0.750% due 26/05/23 ....... 103 0.04

Societe Generale SFH SA

300,000 2.875% due 14/03/19 ....... 324 0.11

Solvay Finance SA

100,000 5.118%* ........................... 106 0.04

Suez

300,000 1.250% due 19/05/28 ....... 321 0.11

TOTAL SA

750,000 2.708% * .......................... 751 0.26

200,000 2.250% * .......................... 199 0.07

UNEDIC

200,000 0.300% due 04/11/21 ....... 207 0.07

100,000 0.875% due 25/10/22 ....... 107 0.04

200,000 0.625% due 17/02/25 ....... 210 0.07

100,000 1.250% due 21/10/27 ....... 111 0.04

Vivendi SA

100,000 0.750% due 26/05/21 ....... 103 0.04

Wendel SA

200,000 2.750% due 02/10/24 ....... 222 0.08

33,408 11.78

Germany (6.61%)

Allianz SE

100,000 2.241% due 07/07/45 ....... 98 0.03

200,000 4.750% * .......................... 223 0.08

Alstria Office REIT AG

100,000 2.125% due 12/04/23 ....... 108 0.04

Bayer AG

60,000 3.000% due 01/07/75 ....... 61 0.02

Bertelsmann SE & Co

KGaA

100,000 1.125% due 27/04/26 ....... 106 0.04

Bundesrepublik Deutschland

9,580,000 0.500% due 15/02/26 ....... 10,204 3.60

625,000 5.500% due 04/01/31 ....... 1,113 0.39

310,000 3.250% due 04/07/42 ....... 528 0.19

810,000 2.500% due 15/08/46 ....... 1,274 0.45

Commerzbank AG

149,000

Zero Coupon due

11/07/24 ........................... 151 0.05

101,000 4.000% due 23/03/26 ....... 101 0.04

Covestro AG

30,000 1.000% due 07/10/21 ....... 31 0.01

100,000 1.750% due 25/09/24 ....... 109 0.04

Daimler AG

45,000 0.500% due 09/09/19 ....... 46 0.02

EnBW Energie Baden-

Wuerttemberg AG

500,000 3.375% due 05/04/77 ....... 497 0.17

HeidelbergCement AG

775,000 2.250% due 03/06/24 ....... 818 0.29

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Hella KGaA Hueck &

Co

100,000 2.375% due 24/01/20 ...... 108 0.04

KFW

EUR 400,000 0.625% due 04/07/22 ...... 423 0.15

380,000 0.375% due 15/03/23 ...... 397 0.14

250,000 0.625% due 15/01/25 ...... 267 0.09

200,000 0.375% due 09/03/26 ...... 207 0.07

200,000 0.375% due 23/04/30 ...... 202 0.07

150,000 1.250% due 04/07/36 ...... 172 0.06

Landwirtschaftliche

Rentenbank

200,000 0.375% due 16/03/26 ...... 208 0.07

Muenchener

Rueckversicherungs-

Gesellschaft AG in

Muenchen

300,000 6.250% due 26/05/42 ...... 370 0.13

Volkswagen Bank

GmbH

110,000 1.125% due 08/02/18 ...... 112 0.04

WPP Finance Deutschland

GmbH

780,000 1.625% due 23/03/30 ...... 819 0.29

18,753 6.61

Ireland (4.97%)

AIB Mortgage Bank

300,000 0.875% due 04/02/23 ...... 316 0.11

Allied Irish Banks Plc

500,000 2.750% due 16/04/19 ...... 530 0.19

CRH Finance Ltd

150,000 3.125% due 03/04/23 ...... 176 0.06

DAA Finance Plc

100,000 1.554% due 07/06/28 ...... 107 0.04

Eaton Capital Unlimited

Co

100,000 0.750% due 20/09/24 ...... 101 0.04

FCA Capital Ireland

Plc

230,000 1.250% due 23/09/20 ...... 236 0.08

GE Capital European

Funding Unlimited Co

350,000 5.375% due 23/01/20 ...... 413 0.15

Ireland Government

Bond

190,000 5.500% due 18/10/17 ...... 202 0.07

270,000 3.400% due 18/03/24 ...... 337 0.12

8,550,000 1.000% due 15/05/26 ...... 9,097 3.21

240,000 2.400% due 15/05/30 ...... 295 0.10

700,000 2.000% due 18/02/45 ...... 844 0.30

PartnerRe Ireland Finance

DAC

100,000 1.250% due 15/09/26 ...... 101 0.04

Ryanair Ltd

200,000 1.875% due 17/06/21 ...... 214 0.07




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Shire Acquisitions

Investments Ireland DAC

USD 1,250,000 2.400% due 23/09/21 ....... 1,115 0.39

14,084 4.97

Italy (19.17%)

Assicurazioni Generali

SpA

EUR 112,000 2.875% due 14/01/20 ....... 122 0.04

100,000 4.125% due 04/05/26 ....... 106 0.04

700,000 7.750% due 12/12/42 ....... 824 0.29

Autostrade per l'Italia

SpA

100,000 1.625% due 12/06/23 ....... 107 0.04

Banca Popolare di Milano

Scarl

150,000 0.875% due 14/09/22 ....... 158 0.06

180,000 0.625% due 08/06/23 ....... 186 0.07

Banca Popolare di Sondrio

Scarl

138,000 0.750% due 04/04/23 ....... 144 0.05

Cassa Depositi e Prestiti

SpA

200,000 2.375% due 12/02/19 ....... 211 0.07

320,000 2.750% due 31/05/21 ....... 355 0.12

Davide Campari-Milano

SpA

886,000 4.500% due 25/10/19 ....... 986 0.35

Intesa Sanpaolo SpA

1,950,000 1.125% due 04/03/22 ....... 1,975 0.70

100,000 3.625% due 05/12/22 ....... 123 0.04

100,000 0.625% due 23/03/23 ....... 104 0.04

Italy Buoni Poliennali Del

Tesoro

1,010,000 0.750% due 15/01/18 ....... 1,022 0.36

4,550,000 0.250% due 15/05/18 ....... 4,577 1.61

1,800,000 4.500% due 01/03/19 ....... 1,997 0.70

2,100,000 4.000% due 01/09/20 ....... 2,420 0.85

6,300,000 0.450% due 01/06/21 ....... 6,355 2.24

1,020,000 1.350% due 15/04/22 ....... 1,071 0.38

16,830,000 4.500% due 01/03/24 ....... 21,295 7.51

500,000 1.600% due 01/06/26 ....... 519 0.18

1,320,000 5.250% due 01/11/29 ....... 1,920 0.68

980,000 5.000% due 01/09/40 ....... 1,520 0.54

3,600,000 3.250% due 01/09/46 ....... 4,428 1.56

1,000,000 2.700% due 01/03/47 ....... 1,103 0.39

UniCredit SpA

700,000 2.000% due 04/03/23 ....... 724 0.26

54,352 19.17


Atrium European Real Estate

Ltd

170,000 3.625% due 17/10/22 ....... 188 0.07

Delphi Automotive Plc

USD 110,000 3.150% due 19/11/20 ....... 101 0.03

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Kennedy Wilson Europe

Real Estate

EUR 200,000 3.250% due 12/11/25 ...... 211 0.07

Swiss Re Admin Re Ltd

137,000 1.375% due 27/05/23 ...... 143 0.05

UBS Group Funding Jersey

Ltd

560,000 1.750% due 16/11/22 ...... 595 0.21

650,000 1.250% due 01/09/26 ...... 647 0.23

1,885 0.66

Luxembourg (2.24%)

Alpha Trains Finance SA

560,000 2.064% due 30/06/25 ...... 560 0.20

Eurofins Scientific SE

500,000 3.375% due 30/01/23 ...... 526 0.18

European Financial Stability

Facility

300,000 0.500% due 20/01/23 ...... 316 0.11

360,000 0.200% due 28/04/25 ...... 369 0.13

100,000 0.400% due 31/05/26 ...... 104 0.04

European Investment Bank

500,000 4.750% due 15/10/17 ...... 527 0.19

230,000 0.500% due 15/11/23 ...... 243 0.09

350,000 0.125% due 15/04/25 ...... 357 0.13

300,000 3.500% due 15/04/27 ...... 410 0.14

European Stability

Mechanism

EUR 340,000 2.125% due 20/11/23 ...... 399 0.14

350,000 1.000% due 23/09/25 ...... 383 0.13

200,000 0.500% due 02/03/26 ...... 209 0.07

Glencore Finance Europe SA

770,000 1.750% due 17/03/25 ...... 734 0.26

Grand City Properties SA

400,000 1.500% due 17/04/25 ...... 413 0.15

Holcim Finance

Luxembourg SA

145,000 2.250% due 26/05/28 ...... 161 0.06

450,000 5.750% due 14/09/40 ...... 520 0.18

Holcim US Finance Sarl &

Cie SCS

100,000 2.625% due 07/09/20 ...... 110 0.04

6,341 2.24

Mexico (0.38%)

America Movil SAB de CV

100,000 1.500% due 10/03/24 ...... 105 0.04

100,000 2.125% due 10/03/28 ...... 108 0.04

Petroleos Mexicanos

660,000 5.500% due 24/02/25 ...... 750 0.26

USD 144,000 6.375% due 23/01/45 ...... 123 0.04

1,086 0.38

Netherlands (6.83%)

ABN Amro Bank NV

250,000 4.750% due 11/01/19 ...... 278 0.10




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

100,000 6.375% due 27/04/21 ....... 123 0.04

EUR 58,000 0.625% due 31/05/22 ....... 59 0.02

1,000,000 7.125% due 06/07/22 ....... 1,292 0.45

150,000 2.500% due 05/09/23 ....... 178 0.06

100,000 2.375% due 23/01/24 ....... 118 0.04

120,000 1.000% due 16/04/25 ....... 126 0.04

140,000 2.875% due 30/06/25 ....... 147 0.05

Allianz Finance II BV

300,000 5.750% due 08/07/41 ....... 350 0.12

Bank Nederlandse

Gemeenten NV

300,000 0.250% due 22/02/23 ....... 308 0.11

Coca-Cola HBC Finance BV

100,000 2.375% due 18/06/20 ....... 108 0.04

Cooperatieve Rabobank UA

100,000 4.750% due 15/01/18 ....... 106 0.04

1,200,000 6.875% due 19/03/20 ....... 1,421 0.50

200,000 4.000% due 11/01/22 ....... 240 0.08

510,000 3.875% due 25/07/23 ....... 593 0.21

400,000 6.625%* ........................... 423 0.15

Demeter Investments BV for

Zurich Insurance Co Ltd

1,000,000 3.500% due 01/10/46 ....... 1,045 0.37

Deutsche Telekom

International Finance BV

280,000 1.500% due 03/04/28 ....... 300 0.10

50,000 7.500% due 24/01/33 ....... 96 0.03

EDP Finance BV

200,000 2.375% due 23/03/23 ....... 212 0.07

750,000 1.125% due 12/02/24 ....... 726 0.26

ELM BV for Swiss Life

Insurance & Pension Group

100,000 4.500%* ........................... 102 0.04

Enel Finance International

NV

259,000 1.375% due 01/06/26 ....... 273 0.10

Gas Natural Fenosa Finance

BV

100,000 1.375% due 21/01/25 ....... 107 0.04

100,000 4.125%* ........................... 103 0.04

ING Bank NV

140,000 0.700% due 16/04/20 ....... 143 0.05

140,000 1.875% due 22/05/23 ....... 159 0.06

250,000 6.125% due 29/05/23 ....... 273 0.10

500,000 3.000% due 11/04/28 ....... 532 0.19

JAB Holdings BV

100,000 1.750% due 25/05/23 ....... 107 0.04

Nederlandse

Waterschapsbank NV

200,000 0.500% due 19/01/23 ....... 209 0.07

Netherlands Government

Bond

170,000 1.250% due 15/01/18 ....... 174 0.06

400,000 1.250% due 15/01/19 ....... 417 0.15

Principal

Amount

Fair Value

EUR ‘000

Fund

%

2,110,000 0.250% due 15/01/20 ...... 2,172 0.77

510,000 1.750% due 15/07/23 ...... 585 0.21

1,820,000 0.500% due 15/07/26 ...... 1,908 0.67

160,000 5.500% due 15/01/28 ...... 259 0.09

320,000 4.000% due 15/01/37 ...... 551 0.19

170,000 3.750% due 15/01/42 ...... 306 0.11

Petrobras Global Finance

BV

578,000 5.875% due 07/03/22 ...... 594 0.21

Repsol International Finance

BV

100,000 3.625% due 07/10/21 ...... 116 0.04

Roche Finance Europe

BV

100,000 0.875% due 25/02/25 ...... 106 0.04

Shell International Finance

BV

135,000 0.375% due 15/02/25 ...... 135 0.05

USD 700,000 3.750% due 12/09/46 ...... 617 0.22

Swiss Reinsurance Co via

ELM BV

EUR 300,000 2.600%* .......................... 290 0.10

Teva Pharmaceutical

Finance Netherlands II

BV

100,000 1.875% due 31/03/27 ...... 106 0.04

Teva Pharmaceutical

Finance Netherlands III

BV

USD 500,000 4.100% due 01/10/46 ...... 445 0.16

Vonovia Finance BV

EUR 200,000 1.625% due 15/12/20 ...... 212 0.07

100,000 4.000%* .......................... 106 0.04

19,356 6.83

New Zealand (0.52%)

ANZ New Zealand Int'l

Ltd/London

150,000 0.625% due 27/01/22 ...... 155 0.06

ASB Finance Ltd

1,300,000 0.500% due 17/06/20 ...... 1,316 0.46

1,471 0.52

Norway (0.48%)

DNB Boligkreditt AS

350,000 2.750% due 21/03/22 ...... 406 0.14

SpareBank 1

Boligkreditt

139,000 0.250% due 30/08/26 ...... 139 0.05

SpareBank 1 SMN

400,000 0.750% due 08/06/21 ...... 411 0.15

Statoil ASA

270,000 1.250% due 17/02/27 ...... 287 0.10

Telenor ASA

100,000 2.500% due 22/05/25 ...... 117 0.04

1,360 0.48




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Portugal (0.04%)

Brisa Concessao Rodoviaria

SA

100,000 3.875% due 01/04/21 ....... 114 0.04

Spain (8.84%)

Adif - Alta Velocidad

300,000 1.875% due 22/09/22 ....... 327 0.12

Banco Bilbao Vizcaya

Argentaria SA

200,000 0.750% due 20/01/22 ....... 210 0.07

200,000 0.625% due 18/03/23 ....... 209 0.07

Banco Popular Espanol SA

200,000 1.000% due 03/03/22 ....... 212 0.07

Banco Santander SA

300,000 0.750% due 09/09/22 ....... 316 0.11

200,000 6.250%* ........................... 180 0.06

Bankinter SA

300,000 0.875% due 03/08/22 ....... 317 0.11

400,000 8.625%* ........................... 431 0.15

BBVA Subordinated Capital

SAU

200,000 3.500% due 11/04/24 ....... 209 0.07

FADE - Fondo de

Amortizacion del Deficit

Electrico

200,000 0.850% due 17/09/19 ....... 205 0.07

100,000 5.900% due 17/03/21 ....... 126 0.04

Instituto de Credito Oficial

500,000 4.375% due 20/05/19 ....... 558 0.20

Kutxabank SA

300,000 1.750% due 27/05/21 ....... 327 0.12

Mapfre SA

100,000 1.625% due 19/05/26 ....... 106 0.04

Merlin Properties Socimi SA

137,000 2.225% due 25/04/23 ....... 145 0.05

Metrovacesa SA

100,000 2.375% due 23/05/22 ....... 106 0.04

Santander Consumer Finance

SA

100,000 1.000% due 26/05/21 ....... 102 0.04

Santander Issuances SAU

200,000 2.500% due 18/03/25 ....... 197 0.07

300,000 3.250% due 04/04/26 ....... 307 0.11

Spain Government Bond

1,060,000 4.600% due 30/07/19 ....... 1,201 0.42

870,000 4.850% due 31/10/20 ....... 1,043 0.37

850,000 0.750% due 30/07/21 ....... 879 0.31

740,000 3.800% due 30/04/24 ....... 917 0.32

210,000 3.800% due 30/04/24 ....... 260 0.09

9,825,000 2.750% due 31/10/24 ....... 11,442 4.04

280,000 4.650% due 30/07/25 ....... 372 0.13

950,000 6.000% due 31/01/29 ....... 1,482 0.52

Principal

Amount

Fair Value

EUR ‘000

Fund

%

610,000 4.700% due 30/07/41 ...... 961 0.34

1,050,000 2.900% due 31/10/46 ...... 1,266 0.45

151,000 3.450% due 30/07/66 ...... 192 0.07

Telefonica Emisiones

SAU

100,000 3.987% due 23/01/23 ...... 122 0.04

300,000 2.932% due 17/10/29 ...... 356 0.13

25,083 8.84

Sweden (1.98%)

Nordea Bank

100,000 1.000% due 07/09/26 ...... 100 0.03

Skandinaviska Enskilda

Banken AB

1,467,000 0.302% due 26/05/20 ...... 1,486 0.52

350,000 4.000% due 12/09/22 ...... 362 0.13

125,000 0.625% due 30/01/23 ...... 131 0.05

Svenska Handelsbanken

AB

110,000 2.656% due 15/01/24 ...... 115 0.04

Swedbank Hypotek AB

900,000 0.625% due 04/01/21 ...... 923 0.33

200,000 0.150% due 10/02/21 ...... 204 0.07

Sweden Government Bond

SEK 8,470,000 3.500% due 30/03/39 ...... 1,324 0.47

Sweden Government

International Bond

EUR 541,000 0.750% due 02/05/19 ...... 557 0.20

Telia Co AB

200,000 4.000% due 22/03/22 ...... 241 0.08

Vattenfall AB

180,000 3.000% due 19/03/77 ...... 167 0.06

5,610 1.98

Switzerland (0.55%)

Credit Suisse AG

1,000,000 5.750% due 18/09/25 ...... 1,089 0.38

EUROFIMA

113,000 0.250% due 25/04/23 ...... 115 0.04

UBS AG

140,000 1.125% due 30/06/20 ...... 146 0.05

100,000 1.250% due 03/09/21 ...... 106 0.04

100,000 4.750% due 12/02/26 ...... 107 0.04

1,563 0.55


Aviva Plc

102,000 6.125% due 05/07/43 ...... 119 0.04

100,000 3.875% due 03/07/44 ...... 103 0.04

1,020,000 3.375% due 04/12/45 ...... 1,009 0.36

Bank of Scotland Plc

300,000 3.875% due 07/02/20 ...... 341 0.12

Barclays Bank Plc

100,000 6.000% due 14/01/21 ...... 117 0.04

USD 250,000 7.750% due 10/04/23 ...... 233 0.08




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Barclays Plc

1,000,000 3.200% due 10/08/21 ....... 895 0.32

BAT International Finance

Plc

EUR 180,000 3.625% due 09/11/21 ....... 212 0.07

346,000 1.250% due 13/03/27 ....... 363 0.13

170,000 3.125% due 06/03/29 ....... 212 0.07

BP Capital Markets Plc

280,000 1.573% due 16/02/27 ....... 299 0.11

British Telecommunications

Plc

310,000 1.750% due 10/03/26 ....... 340 0.12

Dignity Finance Plc

GBP 242,000 4.696* .............................. 359 0.13

HSBC Bank Plc

1,000,000 5.000% due 20/03/23 ....... 1,207 0.43

HSBC Holdings Plc

330,000 3.375% due 10/01/24 ....... 347 0.12

750,000 0.875% due 06/09/24 ....... 748 0.26

EUR 400,000 3.125% due 07/06/28 ....... 433 0.15

Imperial Brands Finance

Plc

114,000 2.250% due 26/02/21 ....... 123 0.04

270,000 3.375% due 26/02/26 ....... 327 0.12

ITV Plc

100,000 2.125% due 21/09/22 ....... 105 0.04

Leeds Building Society

350,000 0.125% due 21/04/20 ....... 353 0.12

220,000 1.375% due 05/05/22 ....... 221 0.08

Lloyds Bank Plc

240,000 1.875% due 10/10/18 ....... 249 0.09

100,000 1.000% due 19/11/21 ....... 104 0.04

150,000 11.875% due 16/12/21 ..... 153 0.05

100,000 1.375% due 08/09/22 ....... 105 0.04

400,000 10.375% due 12/02/24 ..... 482 0.17

Mondi Finance Plc

300,000 1.500% due 15/04/24 ....... 319 0.11

National Grid Gas Finance

Plc

300,000 0.625% due 22/09/24 ....... 303 0.11

Nationwide Building Society

810,000 0.500% due 29/10/19 ....... 819 0.29

206,000 0.125% due 25/01/21 ....... 208 0.07

250,000 1.125% due 03/06/22 ....... 259 0.09

230,000 0.750% due 26/10/22 ....... 241 0.08

1,500,000 4.125% due 20/03/23 ....... 1,559 0.55

EUR 180,000 1.250% due 03/03/25 ....... 188 0.07

NGG Finance Plc

160,000 4.250% due 18/06/76 ....... 173 0.06

Pearson Funding Five Plc

170,000 1.375% due 06/05/25 ....... 176 0.06

Rolls-Royce Plc

300,000 2.125% due 18/06/21 ....... 326 0.11

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Royal Bank of Scotland

Group Plc

900,000 1.625% due 25/06/19 ...... 919 0.32

752,000 2.500% due 22/03/23 ...... 761 0.27

480,000 3.625% due 25/03/24 ...... 477 0.17

Royal Bank of Scotland Plc

700,000 6.934% due 09/04/18 ...... 762 0.27

Santander UK Plc

140,000 2.000% due 14/01/19 ...... 146 0.05

100,000 0.875% due 13/01/20 ...... 102 0.04

Sky Plc

300,000 1.875% due 24/11/23 ...... 323 0.11

610,000 2.250% due 17/11/25 ...... 670 0.24

750,000 2.500% due 15/09/26 ...... 836 0.29

Standard Chartered Plc

270,000 3.625% due 23/11/22 ...... 290 0.10

620,000 3.125% due 19/11/24 ...... 651 0.23

Tesco Property Finance 3 Plc

GBP 225,504 5.744% due 13/04/40 ...... 270 0.10

Vodafone Group Plc

EUR 390,000 2.200% due 25/08/26 ...... 435 0.15

WM Morrison

Supermarkets

100,000 2.250% due 19/06/20 ...... 106 0.04

Yorkshire Building Society

510,000 1.250% due 17/03/22 ...... 514 0.18

21,392 7.54


Albemarle Corp

350,000 1.875% due 08/12/21 ...... 371 0.13

Altria Group Inc

USD 450,000 3.875% due 16/09/46 ...... 417 0.15


Finance Inc

570,000 4.900% due 01/02/46 ...... 606 0.21

Apple Inc

EUR 100,000 1.375% due 17/01/24 ...... 108 0.04

AT&T Inc

100,000 2.400% due 15/03/24 ...... 113 0.04

200,000 3.550% due 17/12/32 ...... 250 0.09

Bank of America Corp

100,000 2.500% due 27/07/20 ...... 109 0.04

100,000 1.625% due 14/09/22 ...... 106 0.04

195,000 0.750% due 26/07/23 ...... 196 0.07

Berkshire Hathaway Inc

350,000 1.125% due 16/03/27 ...... 358 0.13

Blackstone Holdings Finance

LLC

510,000 1.000% due 05/10/26 ...... 501 0.18

Citigroup Inc

1,080,000 0.531% due 24/05/21 ...... 1,100 0.39

430,000 1.750% due 28/01/25 ...... 463 0.16




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Coca-Cola Co

100,000 1.625% due 09/03/35 ....... 110 0.04

Colgate-Palmolive Co

800,000

Zero Coupon due

14/05/19 ........................... 803 0.28

General Electric Co

360,000 1.875% due 28/05/27 ....... 405 0.14

General Mills Inc

100,000 1.000% due 27/04/23 ....... 104 0.04

Goldman Sachs Group

Inc

100,000 1.375% due 26/07/22 ....... 105 0.04

570,000 2.000% due 27/07/23 ....... 614 0.22

500,000 2.125% due 30/09/24 ....... 543 0.19

400,000 3.000% due 12/02/31 ....... 456 0.16

Johnson & Johnson

100,000 0.650% due 20/05/24 ....... 103 0.04

JPMorgan Chase & Co

120,000 1.375% due 16/09/21 ....... 127 0.04

100,000 0.625% due 25/01/24 ....... 100 0.03

100,000 1.500% due 29/10/26 ....... 105 0.04

Kraft Heinz Foods Co

500,000 2.250% due 25/05/28 ....... 543 0.19

Liberty Mutual Group

Inc

118,000 2.750% due 04/05/26 ....... 128 0.04

McDonald's Corp

300,000 2.625% due 11/06/29 ....... 359 0.13

Molson Coors Brewing Co

600,000 1.250% due 15/07/24 ....... 619 0.22

Mondelez International

Inc

470,000 2.375% due 06/03/35 ....... 503 0.18

Morgan Stanley

100,000 1.750% due 11/03/24 ....... 106 0.04

Priceline Group Inc

200,000 2.150% due 25/11/22 ....... 215 0.07

1,100,000 1.800% due 03/03/27 ....... 1,110 0.39

Verizon Communications

Inc

170,000 3.250% due 17/02/26 ....... 208 0.07

USD 653,000 5.012% due 21/08/54 ....... 645 0.23

Wells Fargo & Co

EUR 910,000 0.323% due 26/04/21 ....... 917 0.32

150,000 2.250% due 02/05/23 ....... 167 0.06

347,000 1.625% due 02/06/25 ....... 372 0.13

120,000 1.000% due 02/02/27 ....... 119 0.04

14,284 5.04


Global Switch Holdings Ltd

100,000 5.500% due 18/04/18 ....... 108 0.04


and Notes ............................ 250,256 88.25

Principal

Amount

Fair Value

EUR ‘000

Fund

%


Australia (0.21%)

Australia & New Zealand

Banking Group Ltd

182,000

Zero Coupon due

04/10/16 .......................... 182 0.07

400,000 0.286% due 04/10/16 ...... 400 0.14

582 0.21

Denmark (0.25%)

Danske Bank A/S

700,000 3.875% due 28/02/17 ...... 709 0.25

France (0.50%)

French Republic

Government Bond OAT

625,000 5.000% due 25/10/16 ...... 627 0.22

Societe Generale

EUR 800,000

Zero Coupon due

16/01/17 .......................... 801 0.28

1,428 0.50

Ireland (0.23%)

GE Capital European

Funding

644,000 4.250% due 01/03/17 ...... 656 0.23

Netherlands (0.02%)

Cooperatieve Rabobank

UA

55,000 4.250% due 16/01/17 ...... 56 0.02

Spain (0.57%)


1,550,000 5.500% due 30/07/17 ...... 1,624 0.57

Sweden (0.62%)


AB

800,000 3.750% due 24/02/17 ...... 812 0.29

Sweden Government

International Bond

950,000 0.250% due 27/11/16 ...... 951 0.33

1,763 0.62

Switzerland (0.62%)

Credit Suisse/London

750,000 3.875% due 25/01/17 ...... 759 0.27

UBS AG/London

500,000

Zero Coupon due

15/05/17 .......................... 501 0.17

500,000 0.101% due 15/05/17 ...... 501 0.18

1,761 0.62


BMW US Capital LLC

1,000,000 1.000% due 18/07/17 ...... 1,009 0.36




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

JPMorgan Chase & Co

800,000 0.102% due 19/02/17 ....... 801 0.28

Pfizer Inc

800,000 4.550% due 15/05/17 ....... 824 0.29

Toyota Motor Credit

615,000

Zero Coupon due

08/09/17 ........................... 616 0.22

3,250 1.15

Total Short Term

Investments ........................ 11,829 4.17

Total Transferable

Securities ............................ 262,085 92.42

Certificates of Deposit (0.88%)

Japan (0.70%)

Bank of Tokyo Mitsubishi

UFJ Ltd

1,000,000

Zero Coupon due

28/02/17 ........................... 1,001 0.35

Sumitomo Mitsui

Banking

1,000,000

Zero Coupon due

02/12/16 ........................... 1,001 0.35

2,002 0.70

Netherlands (0.18%)

Cooperatieve Rabobank

UA

500,000

Zero Coupon due

04/11/16 ........................... 500 0.18

Total Certificates of

Deposit ................................ 2,502 0.88

Commercial Paper (1.41%)

France (0.35%)

LMA SA

1,000,000

Zero Coupon due

17/10/16 ........................... 1,000 0.35

Germany (0.35%)

DZ Bank AG

1,000,000

Zero Coupon due

11/10/16 ........................... 1,000 0.35

Ireland (0.35%)

Matchpoint Finance Public

1,000,000

Zero Coupon due

13/12/16 ........................... 1,000 0.35

Netherlands (0.36%)

Unilever NV

1,000,000

Zero Coupon due

10/03/17 ........................... 1,002 0.36

Total Commercial

Paper .................................. 4,002 1.41

Principal

Amount

Fair Value

EUR ‘000

Fund

%


Belgium (0.43%)

Belgium Treasury Bill

1,200,000

Zero Coupon due

12/01/17 .......................... 1,203 0.43

France (0.48%)

France Treasury Bill BTF

250,000

Zero Coupon due

07/12/16 .......................... 250 0.09

225,000

Zero Coupon due

16/11/16 .......................... 225 0.08

880,000

Zero Coupon due

23/11/16 .......................... 881 0.31

1,356 0.48

Total Money Market

Instruments ....................... 2,559 0.91

Number

of Shares

Investment Fund (3.28%)

Ireland (2.39%)

76




Roll-Up Shares ................... 88 0.03

431




Shares ................................. 385 0.14

4,025




Shares ................................. 4,001 1.41

2,096


Plc Russell Global Credit

Fund Class EH-C Shares ..... 2,289 0.81

6,763 2.39

Luxembourg (0.89%)

2,041

Pioneer Institutional Funds -

Currency High Alpha .......... 2,532 0.89

Total Investment Fund ..... 9,295 3.28

Total Investments

excluding Financial





30 September 2016





Notional

Amount

EUR ‘000

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

3,263

112.50

29 of 2 Year Euro Swapnote Futures


Expiring December 2016 ......................................... - 0.00

(6,270)

(130.63)

48 of 5 Year Euro Swapnote Futures


Expiring December 2016 ......................................... (10) 0.00

397

66.16

6 of 10 Year Australian Treasury Bond Futures


Expiring December 2016 ......................................... 4 0.00

8,033

66.94




(1,574)

(98.38)

16 of 10 Year Canadian Treasury Bond Futures


Expiring December 2016 ......................................... (17) (0.01)

2,426

186.59

13 of 30 Year Euro BUXL Bond Futures



5,530

131.66

42 of Euro Bobl Futures



1,291

143.49

9 of Euro BTP Futures



(1,307)

(163.39)

8 of Euro Bund Futures



319

159.33

2 of Euro OAT Futures



1,569

112.08

14 of Euro Schatz Futures



(1,331)

(1.33)

1 of 10 Year Japan Bond Futures



2,552

150.09

17 of Long Gilt Bond Futures



1,979

116.41




(216)

(107.92)




497

165.72

3 of U.S. Ultra Bond Futures



90

89.93

1 of 5 Year U.S. Irs Prim Futures






30 September 2016



Notional

Amount

EUR ‘000

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

(3,689)

(131.76)




(8,230)

(164.61)




(1,060)

(151.48)




(4,789)

(116.80)

41 of 10 Year U.S. Treasury Note

Futures Short Futures Contracts


(320)

(159.87)




793

132.17




1,491

165.70




112

112.12




1,977

131.81




3,454

143.91




5,940

165.00




2,017

112.07




6,707

65.76




(3,077)

(99.25)

31 of 10 Year Canadian Treasury Bond Futures



2,109

131.83




4,028

143.85




6,765

165.00




(8,744)

(164.98)







30 September 2016



Notional

Amount

EUR ‘000

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

2,353

112.07




(2,876)

(151.34)




7,799

116.40




Unrealised gain on open futures contracts .............................................................................. 346 0.13

Unrealised loss on open futures contracts ............................................................................... (222) (0.07)

Net unrealised gain (loss) on open futures contracts ........................................................ 124 0.06


Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

06/10/2016 AUD 3,313 EUR 2,231 24 0.01

20/10/2016 AUD 135 EUR 91 1 0.00

05/10/2016 BRL 94 USD 29 - 0.00

05/10/2016 BRL 183 USD 57 - 0.00

06/10/2016 CAD 3,267 EUR 2,231 (20) (0.01)

20/10/2016 CAD 84 USD 64 - 0.00

20/10/2016 CAD 166 USD 128 (2) 0.00

06/10/2016 EUR 2,231 AUD 3,313 (24) (0.01)

06/10/2016 EUR 3,134 CHF 3,438 (21) (0.01)

20/10/2016 EUR 403 DKK 3,000 1 0.00

20/10/2016 EUR 1,183 DKK 8,800 1 0.00

06/10/2016 EUR 1,369 GBP 1,150 40 0.01

20/10/2016 EUR 143 GBP 120 4 0.00

10/11/2016 EUR 739 GBP 623 20 0.01

16/11/2016 EUR 1,157 GBP 993 11 0.00

06/10/2016 EUR 2,231 NOK 20,829 (88) (0.03)

20/10/2016 EUR 306 NZD 473 1 0.00

20/10/2016 EUR 97 NZD 150 - 0.00

06/10/2016 EUR 2,222 SEK 21,264 13 0.00

20/10/2016 EUR 168 SEK 1,600 1 0.00

10/11/2016 EUR 1,131 SEK 10,770 12 0.00

06/10/2016 EUR 1,350 USD 1,504 11 0.00

20/10/2016 EUR 490 USD 551 - 0.00

20/10/2016 EUR 382 USD 425 4 0.00

10/11/2016 EUR 1,746 USD 1,952 12 0.00

10/11/2016 EUR 584 USD 660 (2) 0.00

10/11/2016 EUR 214 USD 240 1 0.00

16/11/2016 EUR 389 USD 438 - 0.00

16/11/2016 EUR 1,133 USD 1,266 8 0.00

16/11/2016 EUR 1,496 USD 1,679 5 0.00

06/10/2016 GBP 29,615 EUR 34,898 (668) (0.24)

06/10/2016 GBP 29,608 EUR 34,898 (676) (0.24)

06/10/2016 GBP 29,603 EUR 34,898 (683) (0.24)




30 September 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

06/10/2016 GBP 145 EUR 170 (3) 0.00

06/10/2016 GBP 1,917 EUR 2,282 (66) (0.02)

06/10/2016 GBP 29,601 EUR 34,898 (684) (0.24)

20/10/2016 GBP 160 EUR 185 - 0.00

07/12/2016 INR 5,786 USD 86 - 0.00

06/10/2016 JPY 153,628 EUR 1,328 22 0.01

20/10/2016 JPY 21,852 USD 217 (1) 0.00

20/10/2016 JPY 11,123 USD 108 2 0.00

06/10/2016 NZD 3,460 EUR 2,242 (4) 0.00

20/10/2016 NZD 150 EUR 98 (1) 0.00

20/10/2016 NZD 321 EUR 207 - 0.00

20/10/2016 NZD 155 EUR 101 - 0.00

10/11/2016 SEK 14,000 EUR 1,471 (16) (0.01)

05/10/2016 USD 85 BRL 283 (2) 0.00

20/10/2016 USD 371 CAD 489 (1) 0.00

20/10/2016 USD 7 CAD 9 - 0.00

12/12/2016 USD 490 CNY 3,292 (2) 0.00

12/12/2016 USD 490 CNY 3,294 (2) 0.00

06/10/2016 USD 1,003 EUR 900 (8) 0.00

20/10/2016 USD 304 EUR 273 (3) 0.00

20/10/2016 USD 142 EUR 127 - 0.00

07/12/2016 USD 86 INR 5,834 - 0.00

20/10/2016 USD 13 JPY 1,368 - 0.00

Unrealised gain on open forward foreign currency exchange contracts ............................... 194 0.04


Net unrealised gain (loss) on open forward foreign currency exchange contracts ....... (2,783) (1.01)

Currency Options Purchase (0.03%)

Notional

Amount

EUR ‘000

Fair Value

EUR ‘000

Fund

%

1,900

Call at 6.4 USD CNY

Expiring October 2016 ................................................................................................................ 71 0.03

Options purchased at fair value (Premium paid EUR 85,645) .................................................. 71 0.03

Currency Options Written ((0.01)%)

Notional

Amount

EUR ‘000

Fair Value

EUR ‘000

Fund

%

(500)

Call at 6.4 USD CNY

Expiring October 2016 ................................................................................................................ (19) (0.01)

Options written at fair value (Premium received EUR 22,097) ................................................. (19) (0.01)




30 September 2016



Swaptions Purchased (0.02%)

Notional

Amount

EUR ‘000 Description

Fair Value

EUR ‘000

Fund

%

1,600

Put at 1.500 on 30 Year RTP

Expiring January 2017 ................................................................................................................ 2 0.00

4,000

Put at 75 on CDX RTP

Expiring October 2016 ................................................................................................................ - 0.00

1,520

Call at 1.450 on 10 Year RTR


1,520

Call at 1.450 on 10 Year RTR


Swaptions purchased at fair value (Premium paid EUR 58,959) .............................................. 42 0.02

Swaptions Written (0.00%)

Notional

Amount


Fair Value

EUR ‘000

Fund

%

(400)

Put at 90 on CDX RTP

Expiring October 2016 ................................................................................................................ - 0.00

Swaptions written at fair value (Premium received EUR 2,406) ............................................... 0.00 0.00

Interest Rate Swaps ((0.01)%)

Ccy

Notional

Amount

‘000

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

CAD 6,704

CAD 6 Month

LIBOR 0.88% 11/04/2018 2 0.00

CAD 6,633

CAD 6 Month

LIBOR 0.89% 13/04/2018 3 0.00

CAD 6,215

CAD 6 Month

LIBOR 0.90% 14/04/2018 3 0.00

CAD 6,309

CAD 6 Month

LIBOR 0.93% 19/04/2018 6 0.00

CAD 6,309

CAD 6 Month

LIBOR 1.02% 25/04/2018 13 0.00

CAD 5,634 1.01%

CAD 6 Month

LIBOR 11/05/2021 (19) (0.01)

CAD 7,097 1.02%

CAD 6 Month

LIBOR 09/06/2021 (27) (0.01)

CAD 2,470

CAD 6 Month

LIBOR 0.87% 11/07/2021 (3) 0.00

CAD 6,289

CAD 6 Month

LIBOR 0.91% 04/08/2019 6 0.00

CAD 6,185

CAD 6 Month

LIBOR 0.90% 19/08/2018 4 0.00

CAD 6,185

CAD 6 Month

LIBOR 0.89% 22/08/2018 3 0.00

EUR 3,530

EUR 6 Month

LIBOR 1.30% 16/02/2055 177 0.06

EUR 3,340 1.05%

EUR 6 Month

LIBOR 16/02/2065 (150) (0.05)

EUR 2,070

EUR 6 Month

LIBOR 0.73% 30/05/2027 79 0.03




30 September 2016



Ccy

Notional

Amount

‘000

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

EUR 750 1.17%

EUR 6 Month

LIBOR 30/05/2047 (82) (0.03)

EUR 1,100 0.63%

EUR 6 Month

LIBOR 18/06/2026 (26) (0.01)

EUR 900

EUR 6 Month

LIBOR 1.42% 18/06/2036 19 0.01

EUR 246

EUR 6 Month

LIBOR 0.64% 15/08/2031 2 0.00

EUR 246 0.78%

EUR 6 Month

LIBOR 15/08/2046 (2) 0.00

EUR 226

EUR 12 Month

LIBOR 1.49% 15/08/2046 (3) 0.00

EUR 226 1.24%

EUR 12 Month

LIBOR 15/08/2031 2 0.00

EUR 247 0.76%

EUR 6 Month

LIBOR 15/08/2046 - 0.00

EUR 247

EUR 6 Month

LIBOR 0.60% 15/08/2031 1 0.00

EUR 227 1.25%

EUR 12 Month

LIBOR 15/08/2031 2 0.00

EUR 227

EUR 12 Month

LIBOR 1.50% 15/08/2046 (3) 0.00

EUR 268

EUR 6 Month

LIBOR 0.58% 15/08/2031 - 0.00

EUR 268 0.73%

EUR 6 Month

LIBOR 15/08/2046 1 0.00

EUR 256 1.26%

EUR 12 Month

LIBOR 15/08/2031 2 0.00

EUR 256

EUR 12 Month

LIBOR 1.50% 15/08/2046 (3) 0.00

EUR 5,050 0.82%

EUR 6 Month

LIBOR 13/09/2026 (37) (0.01)

EUR 2,500 0.82%

EUR 6 Month

LIBOR 13/09/2026 (18) (0.01)

GBP 700

GBP 6 Month

LIBOR 1.45% 20/04/2026 57 0.02

GBP 300 1.70%

GBP 6 Month

LIBOR 20/04/2046 (67) (0.02)

GBP 2,050 0.79%

GBP 6 Month

LIBOR 07/09/2025 (23) (0.01)

GBP 531 0.86%

GBP 6 Month

LIBOR 25/08/2046 15 0.01

GBP 2,914

GBP 6 Month

LIBOR 0.48% 25/08/2021 - 0.00

JPY 260,000

JPY 6 Month

LIBOR 0.00% 18/06/2026 (7) 0.00

JPY 200,000 0.48%

JPY 6 Month

LIBOR 18/06/2036 31 0.01

NZD 3,377

NZD 3 Month

NZDBB 1.94% 25/08/2018 (1) 0.00

NZD 1,689

NZD 3 Month

NZDBB 1.90% 26/08/2018 (1) 0.00

NZD 1,689

NZD 3 Month

NZDBB 1.90% 30/08/2018 (1) 0.00

NZD 3,377

NZD 3 Month

NZDBB 1.90% 01/09/2018 (1) 0.00




30 September 2016



Ccy

Notional

Amount

‘000

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

NZD 3,377

NZD 3 Month

NZDBB 1.90% 02/09/2018 (1) 0.00

SEK 3,430 0.61%

SEK 3 Month

STIBO 06/09/2026 - 0.00

SEK 3,430 0.75%

SEK 3 Month

LIBOR 22/09/2026 (5) 0.00

USD 1,896 0.99%

USD 3 Month

LIBOR 13/07/2021 9 0.00

USD 4,250 0.89%

USD 12 Month

LIBOR 31/05/2023 (4) 0.00

USD 2,150

USD 3 Month

LIBOR 1.29% 31/05/2023 4 0.00

USD 4,841 1.00%

USD 3 Month

LIBOR 23/08/2018 (2) 0.00

USD 4,842 1.01%

USD 3 Month

LIBOR 24/08/2018 (2) 0.00

USD 7,790

USD 3 Month

LIBOR 1.33% 06/09/2022 27 0.01

USD 1,530 1.77%

USD 3 Month

LIBOR 06/09/2047 (5) 0.00

Interest rate swaps at positive fair value ........................................................................................ 468 0.15

Interest rate swaps at negative fair value ....................................................................................... (493) (0.16)

Interest rate swaps at fair value ................................................................................................. (25) (0.01)

Credit Default Swaps ((0.10)%)

Ccy

Notional

Amount

EUR ‘000

Security

Name

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

EUR 15,980 iTraxx Europe # 1.00% 20/12/2021 (221) (0.08)

EUR 60 Hammerson Plc 1.00% # 20/12/2020 - 0.00

EUR 100 Next Plc 1.00% # 20/06/2021 - 0.00

EUR 40

British

Telecommunicat

ions Plc # 1.00% 20/06/2021 - 0.00

EUR 40

Vodafone Group

Plc 1.00% # 20/06/2021 - 0.00

EUR 100

Marks and

Spencer Plc 1.00% # 20/06/2021 2 0.00

EUR 40 Orange 1.00% # 20/06/2021 (1) 0.00

EUR 60 TESCO Plc 1.00% # 20/06/2021 3 0.00

EUR 30

Deutsche

Telekom AG 1.00% # 20/06/2021 (1) 0.00

EUR 170

Casino

Guichard-

Perrachon # 1.00% 20/06/2021 (12) 0.00

EUR 85 TESCO Plc 1.00% # 20/06/2021 4 0.00

USD 1,700 CDX.NA.IG.26 1.00% # 20/06/2021 (20) (0.01)

USD 2,100 CDX.NA.IG.26 1.00% # 20/06/2021 (24) (0.01)

EUR 325

iTraxx Europe

Senior

Financials S26 1.00% # 20/12/2021 - 0.00




30 September 2016



Ccy

Notional

Amount

EUR ‘000

Security

Name

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

USD 450

Mexico

Government

International

Bond 1.00% # 20/12/2021 13 0.00

USD 450

Mexico

Government

International

Bond 1.00% # 20/12/2021 14 0.00

EUR 40

Assicurazioni

Generali -

Societa per

Azioni 1.00% # 20/12/2021 1 0.00

Credit default swaps at positive fair value .................................................................................................... 37 0.00

Credit default swaps at negative fair value ................................................................................................... (279) (0.10)

Credit default swaps at fair value ............................................................................................................. (242) (0.10)

# In the event of bankruptcy or modified restructuring, the Fund will pay/receive the notional amount from/to the counterparty.

Currency Swap (0.02%)

Notional

Amount

‘000

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

12,524 CHF 0.00% SEK 2.16% 16/01/2024 63 0.02

Currency swap at fair value ....................................................................................................... 63 0.02

Total Financial Derivative Instruments .................................................................................................... (2,769) (1.00)

Fair Value

EUR ‘000

Fund

%


(99.29%) .................................................................................................................................................... 281,664 99.29


Loss ((1.39)%) .......................................................................................................................................... (3,990) (1.39)


(97.90%) .................................................................................................................................................... 277,674 97.90

Other Net Assets (2.10%) ......................................................................................................................... 5,905 2.10

Net Assets .................................................................................................................................................. 283,579 100

* Perpetual Bond.


% of

gross assets

Transferable securities and money market instruments admitted to an official stock exchange listing ...................... 66.40

Transferable securities dealt in on another regulated market ...................................................................................... 19.37

Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) ............................................. 5.58

Certificate of deposits ................................................................................................................................................. 0.69

Commercial paper ....................................................................................................................................................... 1.38

Investment Fund (UCITS) .......................................................................................................................................... 3.20

Exchange traded financial derivative instruments ...................................................................................................... 0.14

Over the counter financial derivative instruments ...................................................................................................... 0.28

Other assets ................................................................................................................................................................. 2.96

100.00




30 September 2016



The brokers for the open futures contracts are:

Goldman Sachs

Merrill Lynch

UBS AG


Bank of Montreal

Barclays Bank

BNP Paribas


Commonwealth Bank of Australia

Deutsche Bank AG

Goldman Sachs

HSBC Bank

JP Morgan Chase Bank

Merrill Lynch

Morgan Stanley

Nomura International


State Street Bank & Trust Company

UBS

The counterparties for the currency options purchased and currency options written are:

Bank of America Deutsche Bank

The counterparties for the swaptions purchased and the swaptions written are:


BNP Paribas

BNP London

UBS AG


Barclays Capital

BNP Paribas

Citigroup

Goldman Sachs


Morgan Stanley

UBS AG

The counterparties for the credit default swaps are:

Bank of America

Barclays Capital

BNP Paribas

Citigroup

JPMorgan

Societe Generale




30 September 2016







Level 1

EUR ‘000

Level 2

EUR ‘000

Level 3

EUR ‘000

Total

EUR ‘000

Assets



Transferable securities ............................................................... - 262,085 - 262,085


Certificate of deposits ................................................................ - 2,502 - 2,502

Commercial papers .................................................................... - 4,002 - 4,002

Investment funds ......................................................................... - 9,295 - 9,295



contracts .................................................................................... - 194 - 194

Options purchased at fair value ................................................. - 71 - 71

Swaptions purchased at value .................................................... - 42 42

Credit default swaps at fair value .............................................. - 37 - 37


Currency swap at fair value ....................................................... - 63 - 63

Total assets ...................................................................................... 346 281,318 - 281,664

Liabilities


Unrealised loss on open futures contracts ................................. (222) - - (222)


contracts .................................................................................... - (2,977) - (2,977)

Options written at value ............................................................ - (19) - (19)

Credit default swaps at fair value .............................................. - (279) - (279)

Interest rate swaps at fair value ................................................. - (493) - (493)





30 September 2016



As at 31 March 2016

Level 1

EUR ‘000

Level 2

EUR ‘000

Level 3

EUR ‘000

Total

EUR ‘000

Assets



Transferable securities ............................................................... - 273,626 - 273,626


Commercial papers .................................................................... - 1,500 - 1,500




contracts .................................................................................... - 643 - 643

Swaptions purchased at value .................................................... - 150 - 150

Credit default swaps at fair value .............................................. - 162 - 162


Currency options purchased at fair value .................................. - 56 - 56

Total assets ...................................................................................... 153 291,773 - 291,926

Liabilities




contracts .................................................................................... - (2,162) - (2,162)

Swaptions written at value ........................................................ - (55) - (55)

Interest rate swaps at fair value ................................................. - (773) - (773)

Credit default swaps at fair value .............................................. - (160) - (160)

Currency swap at fair value ....................................................... - (12) - (12)





Listed below are 20 largest cumulative investment purchases and cumulative investment sales in excess of 1% of total investment

sales during the six months ended 30 September 2016.





Acquisition Cost

EUR ‘000 Portfolio Securities

Disposal Proceeds

EUR ‘000

Russell Investment Company plc

Russell Euro Liquidity Fund

Class R Roll-Up Shares 44,113

Russell Investment Company plc

Russell Euro Liquidity Fund

Class R Roll-Up Shares (48,530)

Italy Buoni Poliennali Del Tesoro

4.500% due 01/03/2024 15,985


4.500% due 01/03/2024 (14,742)


0.500% due 15/02/2026 11,263

Kingdom of Belgium Government Bond

3.000% due 28/09/2019 (13,769)

France Government Bond OAT

1.750% due 25/05/2023 9,409


2.500% due 25/10/2020 (9,899)

Spain Government Bond 1.750% due 25/05/2023 (9,031)

2.750% due 31/10/2024 9,206 Spain Government Bond

Italy Buoni Poliennali Del Tesoro 0.750% due 30/07/2021 (7,423)

0.250% due 15/05/2018 8,845 Ireland Government Bond

France Government Bond OAT 5.000% due 18/10/2020 (7,342)

0.500% due 25/05/2026 8,701 Italy Buoni Poliennali Del Tesoro

Kingdom of Belgium Government Bond 1.500% due 01/08/2019 (6,810)

1.000% due 22/06/2026 8,467 Kingdom of Belgium Government Bond

Spain Government Bond 2.250% due 22/06/2023 (6,580)

0.750% due 30/07/2021 8,299 Spain Government Inflation Linked Bond


0.450% due 01/06/2021 8,088 Kingdom of Belgium Government Bond

Ireland Government Bond 0.800% due 22/06/2025 (6,204)

1.000% due 15/05/2026 7,947 Italy Buoni Poliennali Del Tesoro


1.500% due 01/08/2019 6,808 0.450% due 01/06/2021 (5,154)

Ireland Government Bond Bundesrepublik Deutschland

5.000% due 18/10/2020 6,793 1.000% due 15/08/2024 (4,574)

Spain Government Inflation Linked Bond

0.550% due 30/11/2019 6,246


1.000% due 25/11/2025 (4,454)

Kingdom of Belgium Government Bond

0.800% due 22/06/2025 6,047

Netherlands Government Bond

0.500% due 15/07/2026 (4,298)


1.450% due 15/09/2022 4,802


0.250% due 15/05/2018 (4,275)


2.500% due 25/07/2016 2,819


1.150% due 30/07/2020 (4,133)

Zero coupon due 15/06/2016 2,383 3.800% due 30/04/2024 (3,353)

Netherlands Government Bond Bundesobligation

0.500% due 15/07/2026 2,012 Zero coupon due 17/04/2020 (3,014)

Russell Investment Company III plc Netherlands Government Bond

The U.S. Dollar Cash Fund II 1.750% due 15/07/2023 (2,981)

Class R Roll-Up Shares 1,793 France Government Bond OAT

2.500% due 25/07/2016 (2,803)



Balance Sheet As at 30 September 2016


68 Russell Global Bond (Euro Hedged) Fund

30 September 2016

(Unaudited)

EUR ‘000

31 March 2016

(Audited)

EUR ‘000

Assets


Cash at bank (Note 2) ....................................................................................................... 10,997 8,289


(Note 2) ............................................................................................................................ 5,687 5,324

Debtors:

Receivable for investments sold .................................................................................... 29,374 28,972

Receivable on fund shares issued .................................................................................. 1,447 -

Interest receivable ......................................................................................................... 2,240 2,545

439,934 479,810

Liabilities




(Note 2) ......................................................................................................................... (582) (1,609)

Payable for investments purchased ............................................................................... (70,408) (54,335)

Payable on fund shares redeemed ................................................................................. (4) (6)

Distributions payable on income share classes ............................................................. (530) (515)


Depositary fees payable ................................................................................................ (8) (6)





(78,423) (69,611)







Russell Global Bond (Euro Hedged) Fund 69

Six months ended

30 September 2016

(Unaudited)

EUR ‘000

Six months ended

30 September 2015

(Unaudited)

EUR ‘000

Income

Dividends ...................................................................................................................... - 82

Interest income ............................................................................................................... 4,830 6,732

4,830 6,814



Expenses





Audit fees ...................................................................................................................... (14) (13)


Other fees ...................................................................................................................... (11) (18)



Finance costs

Distributions (Note 6) .................................................................................................... (3,364) (5,100)


Taxation

Withholding tax (Note 7) .............................................................................................. (10) (41)




Account.







Six months ended

30 September 2016

(Unaudited)

EUR ‘000

Six months ended

30 September 2015

(Unaudited)

EUR ‘000



Share transactions





participating shareholders ............................................................................................. (48,688) (5,753)







30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%



Argentina (0.07%)

Argentine Republic

Government International

Bond

USD 250,000 6.875% due 22/04/21 ....... 243 0.07

Australia (2.06%)

Asciano Finance Ltd

150,000 5.000% due 07/04/18 ....... 138 0.04

Australia Government Bond

AUD 1,760,000 5.500% due 21/01/18 ....... 1,259 0.35

2,688,000 5.250% due 15/03/19 ....... 1,994 0.55

1,100,000 4.250% due 21/04/26 ....... 902 0.25

36,000 3.750% due 21/04/37 ....... 29 0.01


Australia

USD 1,351,000 2.000% due 18/06/19 ....... 1,220 0.34

GBP 160,000 3.000% due 04/09/26 ....... 213 0.06

National Australia Bank Ltd

AUD 250,000 5.000% due 11/03/24 ....... 197 0.05

New South Wales Treasury Corp

500,000 6.000% due 01/03/22 ....... 413 0.11

300,000 2.750% due 20/11/25 ....... 303 0.08

Telstra Corp Ltd

80,000 4.000% due 15/11/17 ....... 55 0.02

240,000 4.500% due 13/11/18 ....... 170 0.05

Westpac Banking Corp

USD 600,000 2.100% due 25/02/21 ....... 542 0.15

7,435 2.06

Austria (0.14%)

Austria Government Bond

EUR 140,000 3.900% due 15/07/20 ....... 164 0.05

100,000 1.750% due 20/10/23 ....... 115 0.03

32,000 3.150% due 20/06/44 ....... 52 0.01

Erste Group Bank AG

USD 200,000 5.500% due 26/05/25 ....... 184 0.05

515 0.14

Belgium (0.27%)

Anheuser-Busch InBev SA/NV

EUR 250,000 0.625% due 17/03/20 ....... 255 0.07

Belgium Government Bond

182,848 4.000% due 28/03/19 ....... 204 0.06

200,508 4.250% due 28/09/21 ....... 248 0.07

100,782 2.600% due 22/06/24 ....... 123 0.03

89,234 5.000% due 28/03/35 ....... 158 0.04

988 0.27

Bermuda (0.12%)

Cronos Containers Program I Ltd

USD 199,074 3.270% due 18/11/29 ....... 172 0.05

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Global Container Assets Ltd

280,000 3.300% due 05/11/28 ...... 247 0.07

419 0.12

Brazil (1.32%)

Banco do Brasil SA

EUR 200,000 3.750% due 25/07/18 ...... 204 0.06


Nacional

BRL 2,500,000

Zero Coupon due

01/10/17 .......................... 609 0.17


Nacional Serie B

1,790,000 6.000% due 15/05/45 ...... 1,515 0.42

232,000 6.000% due 15/08/50 ...... 196 0.05


Nacional Serie F

2,880,000 10.000% due 01/01/21 .... 774 0.21

2,130,000 10.000% due 01/01/23 .... 562 0.16

2,640,000 10.000% due 01/01/25 .... 687 0.19

Brazilian Government

International Bond

EUR 115,000 2.875% due 01/04/21 ...... 118 0.03

BRL 350,000 8.500% due 05/01/24 ...... 90 0.03

4,755 1.32

Bulgaria (0.16%)

Bulgaria Government

International Bond

EUR 552,000 3.125% due 26/03/35 ...... 575 0.16

Canada (2.51%)

Alimentation Couche-Tard

Inc

CAD 160,000 3.319% due 01/11/19 ...... 113 0.03

EUR 120,000 1.875% due 06/05/26 ...... 129 0.04

Bank of Nova Scotia

500,000

Zero Coupon due

10/09/18 .......................... 502 0.14

USD 250,000 1.516% due 14/06/19 ...... 223 0.06

400,000 1.875% due 26/04/21 ...... 359 0.10

Canadian Government Bond

CAD 490,000 1.750% due 01/09/19 ...... 344 0.10

450,000 3.500% due 01/06/20 ...... 337 0.09

100,000 1.500% due 01/06/23 ...... 71 0.02

1,220,000 2.500% due 01/06/24 ...... 929 0.26

300,000 5.000% due 01/06/37 ...... 323 0.09

310,000 4.000% due 01/06/41 ...... 309 0.09

331,000 3.500% due 01/12/45 ...... 319 0.09

Canadian Natural Resources

Ltd

220,000 3.310% due 11/02/22 ...... 151 0.04

Province of British

Columbia

100,000 2.700% due 18/12/22 ...... 73 0.02

EUR 140,000 0.875% due 08/10/25 ...... 148 0.04




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Province of Manitoba Canada

CAD 300,000 4.400% due 05/09/25 ....... 243 0.07

Province of Ontario Canada

USD 575,000 3.000% due 16/07/18 ....... 529 0.15

CAD 500,000 3.150% due 02/06/22 ....... 372 0.10

400,000 1.950% due 27/01/23 ....... 280 0.08

400,000 3.500% due 02/06/24 ....... 307 0.08

125,000 4.650% due 02/06/41 ....... 115 0.03

CAD 300,000 3.450% due 02/06/45 ....... 235 0.06

Province of Quebec Canada

USD 160,000 1.065% due 04/09/18 ....... 143 0.04

220,000 0.977% due 21/07/19 ....... 196 0.05

200,000 2.750% due 25/08/21 ....... 188 0.05

CAD 400,000 4.250% due 01/12/21 ....... 310 0.09

400,000 3.500% due 01/12/22 ....... 304 0.08

400,000 3.000% due 01/09/23 ....... 297 0.08

200,000 5.000% due 01/12/38 ....... 188 0.05

100,000 5.000% due 01/12/41 ....... 96 0.03


USD 400,000 2.300% due 22/03/21 ....... 366 0.10

SCG Hotel Issuer Inc

CAD 150,749 3.442% due 12/10/18 ....... 105 0.03


USD 350,000 1.542% due 22/01/19 ....... 314 0.09

Transcanada Trust

150,000 5.875% due 15/08/76 ....... 142 0.04

9,060 2.51


BlueMountain CLO Ltd

520,000 2.179% due 13/04/27 ....... 465 0.13

Cent CLO 22 Ltd

500,000 2.268% due 07/11/26 ....... 444 0.12

CK Hutchison Finance 16

Ltd

EUR 250,000 0.875% due 03/10/24 ....... 248 0.07

CK Hutchison International

16 Ltd

USD 200,000 1.875% due 03/10/21 ....... 177 0.05

Dryden 37 Senior Loan Fund

500,000 2.180% due 15/04/27 ....... 446 0.12

Magnetite IX Ltd

640,000 2.135% due 25/07/26 ....... 568 0.16

Noble Holding International

Ltd

15,000 6.200% due 01/08/40 ....... 8 0.00

10,000 6.050% due 01/03/41 ....... 5 0.00

25,000 5.250% due 15/03/42 ....... 13 0.00

Seneca Park CLO Ltd

395,000 2.159% due 17/07/26 ....... 351 0.10

Treman Park CLO Ltd

475,000 2.196% due 20/04/27 ....... 422 0.12

3,147 0.87

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Chile (0.15%)

Corp Nacional del Cobre de

Chile

320,000 4.500% due 16/09/25 ...... 301 0.08

Latam Airlines Pass Through

Trust

290,184 4.200% due 15/11/27 ...... 254 0.07

555 0.15

Colombia (0.23%)

Colombia Government

International Bond

200,000 5.000% due 15/06/45 ...... 194 0.05

COP Colombian TES

1,977,300,000 7.500% due 26/08/26 ...... 636 0.18

830 0.23

Croatia (0.04%)

Croatia Government

International Bond

EUR 150,000 3.000% due 11/03/25 ...... 153 0.04

Cyprus (0.53%)

Aroundtown Property

Holdings Plc

500,000 1.500% due 03/05/22 ...... 508 0.14

100,000 1.500% due 15/07/24 ...... 100 0.03

Cyprus Government

International Bond

270,000 4.625% due 03/02/20 ...... 292 0.08

100,000 3.875% due 06/05/22 ...... 104 0.03

200,000 3.750% due 26/07/23 ...... 206 0.06

644,000 4.250% due 04/11/25 ...... 686 0.19

1,896 0.53


Czech Republic Government

Bond

CZK 1,270,000 2.400% due 17/09/25 ...... 56 0.01

Czech Republic International

EUR 590,000

4.125% due

18/03/20 .......................... 680 0.19

736 0.20

Denmark (0.20%)

Denmark Government Bond

DKK 1,482,191 1.500% due 15/11/23 ...... 223 0.06

3,310,000 1.750% due 15/11/25 ...... 516 0.14

739 0.20

Finland (0.18%)

Finland Government Bond

EUR 146,000

2.000% due

15/04/24 .......................... 171 0.05

Nordic Investment Bank

NOK 4,320,000

1.375% due

15/07/20 .......................... 486 0.13

657 0.18




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

France (1.07%)

Autoroutes du Sud de la

France SA

EUR 100,000 1.000% due 13/05/26 ....... 105 0.03

BNP Paribas SA

GBP 55,000 5.750% due 24/01/22 ....... 75 0.02

EUR 125,000 2.375% due 17/02/25 ....... 129 0.04

100,000 2.875% due 01/10/26 ....... 106 0.03

200,000 4.032%* ........................... 199 0.05

BPCE SA

USD 400,000 4.625% due 11/07/24 ....... 364 0.10

Credit Agricole Assurances

SA

EUR 200,000 4.750% due 27/09/48 ....... 201 0.06

Credit Agricole SA

USD 270,000 4.375% due 17/03/25 ....... 246 0.07

France Government Bond

OAT

EUR 380,000 2.250% due 25/10/22 ....... 441 0.12

215,000 1.750% due 25/11/24 ....... 248 0.07

180,000 2.750% due 25/10/27 ....... 230 0.06

510,000 1.750% due 25/05/66 ....... 591 0.16

Groupama SA

100,000 6.375%* ........................... 93 0.03

mFinance France SA

300,000 2.375% due 01/04/19 ....... 310 0.09

Pernod Ricard SA

USD 150,000 5.500% due 15/01/42 ....... 163 0.04

SFR Group SA

300,000 7.375% due 01/05/26 ....... 273 0.07

Societe Generale SA

EUR 100,000 2.625% due 27/02/25 ....... 104 0.03

3,878 1.07

Germany (1.85%)

Allianz SE

100,000 2.241% due 07/07/45 ....... 98 0.03


120,000 4.250% due 04/07/18 ....... 130 0.04

905,000 0.500% due 15/02/26 ....... 964 0.27

348,110

Zero Coupon due

15/08/26 ........................... 352 0.10

111,932 4.750% due 04/07/28 ....... 176 0.05

395,000 4.250% due 04/07/39 ....... 737 0.20

725,000 2.500% due 04/07/44 ....... 1,121 0.31


Bundesobligation Inflation

Linked Bond

318,465 0.750% due 15/04/18 ....... 327 0.09

Commerzbank AG

155,000 4.000% due 23/03/26 ....... 155 0.04

Deutsche Bank AG

USD 200,000 2.717% due 10/05/19 ....... 174 0.05

300,000 2.850% due 10/05/19 ....... 261 0.07

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Deutsche Bundesrepublik

Inflation Linked Bond

EUR 206,852 0.100% due 15/04/23 ...... 227 0.06

HeidelbergCement AG

105,000 2.250% due 03/06/24 ...... 111 0.03

KFW

410,000 0.625% due 15/01/25 ...... 437 0.12

GBP 54,000 5.750% due 07/06/32 ...... 102 0.03

Muenchener

Rueckversicherungs-

Gesellschaft AG in

Muenchen

EUR 100,000 6.250% due 26/05/42 ...... 123 0.03

Red & Black Auto Germany

2

40,129

Zero Coupon due

15/09/22 .......................... 40 0.01

State of Hesse

700,000 0.375% due 04/07/22 ...... 727 0.20

State of North Rhine-

Westphalia

400,000 0.625% due 17/11/23 ...... 423 0.12

6,685 1.85

Greece (0.09%)

Hellenic Republic

Government Bond

380,000 3.000% due 24/02/24 ...... 280 0.08

46,284 3.000% due 24/02/41 ...... 27 0.01

307 0.09


Credit Suisse Group Funding

Guernsey Ltd

USD 250,000 3.125% due 10/12/20 ...... 226 0.06

300,000 3.800% due 15/09/22 ...... 273 0.08

250,000 3.800% due 09/06/23 ...... 226 0.06

725 0.20

Hong Kong (0.05%)

AIA Group Ltd

200,000 3.200% due 11/03/25 ...... 182 0.05

Iceland (0.51%)

Iceland Government

International Bond

900,000 5.875% due 11/05/22 ...... 942 0.26

Iceland Rikisbref

ISK 23,843,831 7.250% due 26/10/22 ...... 205 0.06

26,942,438 8.000% due 12/06/25 ...... 249 0.07

49,046,724 6.500% due 24/01/31 ...... 429 0.12

1,825 0.51

Indonesia (0.68%)

Indonesia Government

International Bond

EUR 500,000 2.875% due 08/07/21 ...... 536 0.15

323,000 3.375% due 30/07/25 ...... 350 0.10




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

IDR Indonesia Treasury Bond

12,836,000,000 7.875% due 15/04/19 ....... 905 0.25

Pertamina Persero PT

USD 200,000 4.300% due 20/05/23 ....... 187 0.05

Perusahaan Penerbit SBSN

Indonesia III

500,000 4.550% due 29/03/26 ....... 483 0.13

2,461 0.68

Ireland (1.32%)

AerCap Ireland Capital Ltd /

AerCap Global Aviation

Trust

185,000 3.950% due 01/02/22 ....... 169 0.05

Allied Irish Banks Plc

EUR 100,000 4.125% due 26/11/25 ....... 97 0.03

Aquarius and Investments

Plc for Zurich Insurance Co

Ltd

150,000 4.250% due 02/10/43 ....... 167 0.05

Avoca CLO XI Ltd

250,000 3.205% due 15/07/27 ....... 239 0.06

Ireland Government

Bond

168,035 3.900% due 20/03/23 ....... 212 0.06

1,840,000 5.400% due 13/03/25 ....... 2,635 0.73

275,000 2.000% due 18/02/45 ....... 332 0.09

Lansdowne Mortgage

Securities No 2 Plc

423,451

Zero Coupon due

16/09/48 ........................... 274 0.07

Orwell Park CLO

Designated Activity Co

300,000 3.250% due 18/07/29 ....... 278 0.08

Shire Acquisitions

Investments Ireland DAC

USD 200,000 1.900% due 23/09/19 ....... 178 0.05

Taurus DEU DAC

EUR 190,000 1.300% due 17/11/26 ....... 192 0.05

4,773 1.32

Israel (0.02%)

Israel Government

Bond

ILS 301,000 3.750% due 31/03/24 ....... 84 0.02

Italy (2.57%)

Asti RMBS Srl

EUR 106,545 0.948% due 27/12/60 ....... 108 0.03

Banca Carige SpA

300,000 3.875% due 24/10/18 ....... 319 0.09

Berica 8 Residential MBS

Srl

43,217

Zero Coupon due

31/03/48 ........................... 43 0.01

Berica ABS 3 Srl

291,027 0.748% due 30/06/61 ....... 295 0.08

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Berica ABS Srl

127,324

Zero Coupon due

31/12/55 .......................... 127 0.03

Claris ABS 2011 Srl

140,317 0.208% due 31/10/60 ...... 140 0.04

Claris RMBS 2014 Srl

91,873 0.847% due 28/12/61 ...... 93 0.02

Enel SpA

GBP 85,000 5.750% due 22/06/37 ...... 136 0.04

EUR 289,000 6.500% due 10/01/74 ...... 313 0.09

Intesa Sanpaolo SpA

USD 360,000 5.710% due 15/01/26 ...... 302 0.08

EUR 100,000 3.928% due 15/09/26 ...... 101 0.03

Italy Buoni Poliennali Del

Tesoro

414,000 4.000% due 01/09/20 ...... 477 0.13

420,000 5.000% due 01/03/22 ...... 523 0.14

1,073,073 2.350% due 15/09/24 ...... 1,260 0.35

900,000 5.000% due 01/03/25 ...... 1,191 0.33

200,000 1.250% due 01/12/26 ...... 200 0.05

219,000 4.750% due 01/09/28 ...... 300 0.08

265,000 5.250% due 01/11/29 ...... 385 0.11

107,000 5.000% due 01/08/34 ...... 160 0.04

600,000 5.000% due 01/09/40 ...... 930 0.26

135,000 3.250% due 01/09/46 ...... 166 0.05

160,000 2.700% due 01/03/47 ...... 176 0.05

Italy Government

International Bond

GBP 200,000 6.000% due 04/08/28 ...... 304 0.08

Marche Mutui 4 Srl

EUR 59,627 0.108% due 25/02/55 ...... 60 0.02

Sestante Finance Srl

1

Zero Coupon due

23/07/46 .......................... - 0.00

Siviglia SPV Srl

169,697 0.203% due 25/10/55 ...... 168 0.05

Towers CQ Srl

453,999 0.647% due 28/12/33 ...... 457 0.13

UniCredit SpA

458,000 4.375% due 03/01/27 ...... 455 0.13

Vela Home Srl

29,468

Zero Coupon due

25/10/42 .......................... 29 0.01

Voba N 3 Srl

61,283 0.702% due 23/11/47 ...... 62 0.02

9,280 2.57

Japan (7.09%)

Central Nippon Expressway

Co Ltd

USD 400,000 2.362% due 28/05/21 ...... 362 0.10

Development Bank of Japan

Inc

400,000 1.625% due 01/09/21 ...... 356 0.10




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Japan Bank for International

Cooperation

360,000 3.375% due 31/07/23 ....... 352 0.10

Japan Expressway Holding and

Debt Repayment Agency

JPY 30,000,000 2.850% due 18/03/39 ....... 361 0.10

Japan Government Five Year

Bond

237,900,000 0.200% due 20/06/19 ....... 2,118 0.59

138,050,000 0.100% due 20/12/19 ....... 1,228 0.34

53,550,000 0.100% due 20/03/20 ....... 477 0.13

525,000,000 0.100% due 20/09/21 ....... 4,693 1.30

Japan Government Forty

Year Bond

12,300,000 0.400% due 20/03/56 ....... 104 0.03

Japan Government Ten Year

Bond

90,000,000 1.400% due 20/03/20 ....... 837 0.23

170,000,000 1.300% due 20/03/21 ....... 1,598 0.44

Japan Government Thirty

Year Bond

136,450,000 2.000% due 20/12/33 ....... 1,561 0.43

113,000,000 2.300% due 20/03/35 ....... 1,354 0.37

17,000,000 2.400% due 20/03/37 ....... 209 0.06

33,750,000 2.000% due 20/03/42 ....... 410 0.11

58,200,000 1.700% due 20/12/43 ....... 678 0.19

10,000,000 1.700% due 20/09/44 ....... 117 0.03

9,450,000 1.500% due 20/12/44 ....... 107 0.03

79,000,000 0.300% due 20/06/46 ....... 664 0.18

Japan Government Twenty

Year Bond

75,000,000 2.100% due 20/12/27 ....... 817 0.23

70,000,000 2.100% due 20/03/30 ....... 784 0.22

50,000,000 1.700% due 20/09/32 ....... 546 0.15

100,000,000 1.500% due 20/06/34 ....... 1,069 0.30

87,500,000 0.400% due 20/03/36 ....... 778 0.21

Japan Government Two

Year Bond

195,000,000 0.100% due 15/08/18 ....... 1,726 0.48

Japanese Government CPI

Linked Bond

20,696,000 0.100% due 10/09/24 ....... 191 0.05

108,772,700 0.100% due 10/03/25 ....... 1,006 0.28

67,911,514 0.100% due 10/03/26 ....... 630 0.17

Mitsubishi UFJ Financial

Group Inc

USD 310,000 2.190% due 13/09/21 ....... 275 0.08

243,000 2.757% due 13/09/26 ....... 216 0.06

25,624 7.09


Delphi Automotive Plc

60,000 3.150% due 19/11/20 ....... 55 0.02

EUR 100,000 1.500% due 10/03/25 ....... 104 0.03

Heathrow Funding Ltd

GBP 106,000 2.750% due 09/08/49 ....... 127 0.03

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Petrofac Ltd

USD 200,000 3.400% due 10/10/18 ...... 179 0.05

UBS Group Funding Jersey

Ltd

200,000 2.337% due 01/02/22 ...... 180 0.05

645 0.18

Kazakhstan (0.28%)

KazAgro National

Management Holding JSC

EUR 850,000 3.255% due 22/05/19 ...... 841 0.23

USD 200,000 4.625% due 24/05/23 ...... 172 0.05

1,013 0.28


Export-Import Bank of

Korea

NOK 1,775,000 3.000% due 22/05/18 ...... 202 0.05

Kookmin Bank

USD 230,000 2.125% due 21/10/20 ...... 207 0.06

Korea International

Bond

EUR 600,000 2.125% due 10/06/24 ...... 686 0.19

1,095 0.30

Latvia (0.07%)

Latvia Government

International Bond

240,000 1.375% due 16/05/36 ...... 261 0.07

Liberia (0.13%)

Royal Caribbean Cruises Ltd

USD 500,000 5.250% due 15/11/22 ...... 486 0.13

Lithuania (0.35%)

Lithuania Government

International Bond

EUR 170,000 2.125% due 29/10/26 ...... 200 0.05

896,000 2.125% due 22/10/35 ...... 1,070 0.30

1,270 0.35

Luxembourg (0.98%)

Actavis Funding SCS

USD 249,000 3.000% due 12/03/20 ...... 229 0.06

171,000 4.550% due 15/03/35 ...... 162 0.05

Altice Luxembourg SA

EUR 400,000 7.250% due 15/05/22 ...... 422 0.12

Compartment Driver UK

Two SA

GBP 38,699 0.686% due 25/01/23 ...... 45 0.01

European Investment Bank

AUD 1,010,000 6.500% due 07/08/19 ...... 772 0.21

1,230,000 6.000% due 06/08/20 ...... 953 0.26

USD 66,000 2.875% due 15/09/20 ...... 62 0.02

EUR 80,000 4.000% due 15/10/37 ...... 135 0.04

36,000 1.750% due 15/09/45 ...... 45 0.01




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Holcim US Finance Sarl &

Cie SCS

USD 230,000 5.150% due 12/09/23 ....... 232 0.06

SES SA

EUR 340,000 4.625%* ........................... 352 0.10

Telecom Italia Capital SA

USD 135,000 7.200% due 18/07/36 ....... 129 0.04

3,538 0.98

Macedonia (0.23%)

Macedonia Government

International Bond

EUR 600,000 4.875% due 01/12/20 ....... 637 0.17

200,000 3.975% due 24/07/21 ....... 206 0.06

843 0.23

Malaysia (1.10%)

Malaysia Government Bond

MYR 7,300,000 4.048% due 30/09/21 ....... 1,627 0.45

1,130,000 3.795% due 30/09/22 ....... 248 0.07

1,390,000 4.181% due 15/07/24 ....... 311 0.08

8,210,000 3.955% due 15/09/25 ....... 1,803 0.50

3,989 1.10

Mexico (2.70%)

Mexican Bonos

MXN 17,210,000 7.750% due 14/12/17 ....... 817 0.22

27,630,000 8.000% due 11/06/20 ....... 1,370 0.38

34,239,300 6.500% due 10/06/21 ....... 1,624 0.45

44,904,800 10.000% due 05/12/24 ..... 2,612 0.72

3,760,000 5.750% due 05/03/26 ....... 170 0.05

5,900,000 7.750% due 29/05/31 ....... 307 0.08

5,500,000 8.500% due 18/11/38 ....... 312 0.09

14,315,000 7.750% due 13/11/42 ....... 762 0.21

Mexico Government

International Bond

USD 226,000 3.625% due 15/03/22 ....... 212 0.06

EUR 408,000 3.625% due 09/04/29 ....... 487 0.13

180,000 4.000% due 15/03/15 ....... 171 0.05

Petroleos Mexicanos

USD 800,000 5.750% due 01/03/18 ....... 749 0.21

Sigma Alimentos SA de CV

200,000 4.125% due 02/05/26 ....... 179 0.05

9,772 2.70

Morocco (0.19%)

Morocco Government

International Bond

EUR 200,000 4.500% due 05/10/20 ....... 226 0.06

USD 263,000 4.250% due 11/12/22 ....... 249 0.07

OCP SA

215,000 6.875% due 25/04/44 ....... 218 0.06

693 0.19

Netherlands (1.60%)

ABN Amro Bank NV

EUR 100,000 2.875% due 30/06/25 ....... 105 0.03

Principal

Amount

Fair Value

EUR ‘000

Fund

%

USD 270,000 4.750% due 28/07/25 ...... 253 0.07

Cooperatieve Rabobank UA

EUR 200,000 6.875% due 19/03/20 ...... 237 0.07

CRH Funding BV

150,000 1.875% due 09/01/24 ...... 164 0.05

EDP Finance BV

USD 190,000 6.000% due 02/02/18 ...... 177 0.05

240,000 4.125% due 15/01/20 ...... 222 0.06

EUR 120,000 2.000% due 22/04/25 ...... 122 0.03

Embraer Netherlands

Finance BV

USD 270,000 5.050% due 15/06/25 ...... 243 0.07

LeasePlan Corp NV

300,000 2.500% due 16/05/18 ...... 267 0.07

Mylan NV

420,000 3.150% due 15/06/21 ...... 381 0.11

Netherlands Government

Bond

EUR 800,000 1.250% due 15/01/19 ...... 835 0.23

289,273 4.000% due 15/07/19 ...... 327 0.09

100,000 2.250% due 15/07/22 ...... 116 0.03

62,600 3.750% due 15/01/42 ...... 113 0.03

Petrobras Global Finance

BV

USD 300,000 3.737% due 17/03/20 ...... 262 0.07

200,000 4.875% due 17/03/20 ...... 179 0.05

30,000 4.375% due 20/05/23 ...... 24 0.01

GBP 130,000 6.250% due 14/12/26 ...... 141 0.04

Schaeffler Finance BV

EUR 130,000 2.500% due 15/05/20 ...... 133 0.04

SNS Bank NV

357,000 3.750% due 05/11/25 ...... 364 0.10

Telefonica Europe BV

200,000 3.750%* .......................... 199 0.05

Teva Pharmaceutical

Finance Netherlands II BV

100,000 1.125% due 15/10/24 ...... 102 0.03

100,000 1.625% due 15/10/28 ...... 102 0.03

Teva Pharmaceutical

Finance Netherlands III BV

USD 180,000 2.800% due 21/07/23 ...... 161 0.04

110,000 3.150% due 01/10/26 ...... 99 0.03

53,000 4.100% due 01/10/46 ...... 47 0.01

Vonovia Finance BV

300,000 3.200% due 02/10/17 ...... 270 0.07

Ziggo Bond Finance

BV

155,000 6.000% due 15/01/27 ...... 138 0.04

5,783 1.60

New Zealand (1.96%)

Fonterra Co-operative Group

Ltd

AUD 400,000 4.500% due 30/06/21 ...... 290 0.08




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

New Zealand Government

Bond

NZD 3,140,000 6.000% due 15/12/17 ....... 2,131 0.59

4,520,000 5.000% due 15/03/19 ....... 3,141 0.87

340,000 6.000% due 15/05/21 ....... 259 0.07

633,000 5.500% due 15/04/23 ....... 496 0.14

1,080,000 2.000% due 20/09/25 ....... 759 0.21

7,076 1.96

Norway (1.32%)

Norway Government Bond

NOK 1,557,000 4.500% due 22/05/19 ....... 190 0.05

11,570,000 3.750% due 25/05/21 ....... 1,456 0.40

8,205,000 2.000% due 24/05/23 ....... 972 0.27

8,230,000 3.000% due 14/03/24 ....... 1,043 0.29

9,750,000 1.500% due 19/02/26 ....... 1,116 0.31

4,777 1.32

Philippines (0.05%)

Philippine Government

International Bond

USD 129,000 6.375% due 23/10/34 ....... 167 0.05

Poland (0.93%)


PLN 1,215,000 3.250% due 25/07/19 ....... 293 0.08

2,435,000 1.500% due 25/04/20 ....... 556 0.15

2,630,000 2.000% due 25/04/21 ....... 606 0.17

5,231,000 4.000% due 25/10/23 ....... 1,321 0.37

2,060,000 2.500% due 25/07/26 ....... 463 0.13

Poland Government

International Bond

EUR 110,000 5.625% due 20/06/18 ....... 121 0.03

3,360 0.93

Portugal (0.42%)

Galp Gas Natural

Distribuicao SA

100,000 1.375% due 19/09/23 ....... 99 0.03

Portugal Obrigacoes do

Tesouro OT

780,000 2.875% due 15/10/25 ....... 765 0.21

650,000 4.100% due 15/02/45 ....... 634 0.18

1,498 0.42

Romania (0.20%)

Romanian Government

International Bond

120,000 2.875% due 28/10/24 ....... 133 0.03

225,000 2.750% due 29/10/25 ....... 246 0.07

310,000 3.875% due 29/10/35 ....... 356 0.10

735 0.20

Singapore (0.98%)

Singapore Government Bond

SGD 530,000 0.500% due 01/04/18 ....... 344 0.10

440,000 2.000% due 01/07/20 ....... 296 0.08

Principal

Amount

Fair Value

EUR ‘000

Fund

%

500,000 2.250% due 01/06/21 ...... 340 0.10

1,230,000 3.125% due 01/09/22 ...... 878 0.24

490,000 2.750% due 01/07/23 ...... 344 0.10

1,064,000 3.000% due 01/09/24 ...... 762 0.21

330,000 2.375% due 01/06/25 ...... 226 0.06

450,000 3.500% due 01/03/27 ...... 340 0.09

3,530 0.98

Slovakia (0.09%)

Slovakia Government Bond

EUR 240,000 3.625% due 16/01/29 ...... 328 0.09

Slovenia (0.21%)

Slovenia Government

International Bond

USD 647,000 5.500% due 26/10/22 ...... 673 0.18

Slovenska Izvozna in

Razvojna Banka dd

EUR 100,000 0.875% due 04/08/18 ...... 101 0.03

774 0.21



Bond

ZAR 2,800,000 8.000% due 21/12/18 ...... 182 0.05

15,953,481 6.750% due 31/03/21 ...... 983 0.27

17,350,000 10.500% due 21/12/26 .... 1,260 0.35

12,800,000 7.000% due 28/02/31 ...... 693 0.19

10,250,000 6.500% due 28/02/41 ...... 485 0.14

3,603 1.00

Spain (1.34%)

Autonomous Community of

Catalonia

EUR 734,000 4.750% due 04/06/18 ...... 763 0.21

123,000 4.950% due 11/02/20 ...... 131 0.04

100,000 5.900% due 28/05/30 ...... 106 0.03

Instituto de Credito

Oficial

CAD 200,000 5.000% due 31/03/20 ...... 147 0.04

Santander Issuances

SAU

USD 200,000 5.179% due 19/11/25 ...... 182 0.05

EUR 200,000 3.250% due 04/04/26 ...... 205 0.06


110,000 4.000% due 30/04/20 ...... 126 0.04

245,000 5.850% due 31/01/22 ...... 320 0.09

80,000 5.400% due 31/01/23 ...... 106 0.03

800,000 2.750% due 31/10/24 ...... 932 0.26

378,000 1.950% due 30/04/26 ...... 415 0.11

80,000 5.150% due 31/10/28 ...... 116 0.03

380,000 4.200% due 31/01/37 ...... 548 0.15

50,000 5.150% due 31/10/44 ...... 85 0.02

525,000 3.450% due 30/07/66 ...... 666 0.18

4,848 1.34




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Sweden (0.29%)

Nordea Bank AB

USD 200,000 2.250% due 27/05/21 ....... 181 0.05

Stadshypotek AB

AUD 600,000 4.250% due 10/10/17 ....... 416 0.11

Sweden Government

Bond

SEK 2,395,000 1.500% due 13/11/23 ....... 280 0.08

1,295,000 2.500% due 12/05/25 ....... 164 0.05

1,041 0.29

Switzerland (0.50%)

Eurofima

AUD 810,000 6.250% due 28/12/18 ....... 601 0.17

Raiffeisen Schweiz

Genossenschaft

CHF 245,000 3.000%* ........................... 235 0.06

Switzerland Government

Bond

305,000 3.000% due 12/05/19 ....... 310 0.08

100,000 1.500% due 24/07/25 ....... 110 0.03

51,000 1.250% due 27/06/37 ....... 61 0.02

UBS AG

EUR 466,000 4.750% due 12/02/26 ....... 498 0.14

1,815 0.50

Thailand (0.10%)


THB 13,126,000 5.625% due 12/01/19 ....... 367 0.10

Togo (0.06%)

Banque Ouest Africaine de

Developpement

USD 245,000 5.500% due 06/05/21 ....... 232 0.06

Turkey (0.04%)

Turkey Government Bond

TRY 489,407 8.800% due 14/11/18 ....... 146 0.04

United Arab Emirates (0.05%)

Emirates

Telecommunications Group

Co PJSC

USD 200,000 2.375% due 18/06/19 ....... 181 0.05


Auburn Securities 4 Plc

GBP 32,837 0.667% due 01/10/41 ....... 37 0.01

Aviva Plc

EUR 135,000 6.125% due 05/07/43 ....... 158 0.04

Barclays Bank Plc

USD 400,000 7.750% due 10/04/23 ....... 373 0.10

Barclays Plc

EUR 250,000 2.625% due 11/11/25 ....... 243 0.07

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Business Mortgage Finance

7 Plc

GBP 340,741 2.386% due 15/02/41 ...... 376 0.10

Clavis Securities Plc

EUR 42,692

Zero Coupon due

15/12/31 .......................... 39 0.01

Co-Operative Bank Plc

GBP 150,000 4.750% due 11/11/21 ...... 198 0.05

Dukinfield 2 Plc

115,000 1.612% due 20/12/52 ...... 133 0.04

E-Carat 3 Plc

37,748 0.737% due 18/03/22 ...... 44 0.01

Eurosail Plc

185,558 0.540% due 10/12/44 ...... 209 0.06

29,430 0.539% due 13/03/45 ...... 33 0.01

FCE Bank Plc

EUR 100,000 1.528% due 09/11/20 ...... 105 0.03

Friary No 2 Plc

GBP 62,298 1.096% due 21/10/46 ...... 72 0.02

Gemgarto

100,000 2.636% due 14/05/45 ...... 115 0.03

Gemgarto Plc

250,000 2.484% due 16/02/47 ...... 277 0.08

85,922 1.834% due 16/02/54 ...... 100 0.03

Great Hall Mortgages No 1

Plc

EUR 450,000 0.229% due 18/06/39 ...... 321 0.09

HBOS Plc

120,000 4.500% due 18/03/30 ...... 134 0.04

HSBC Holdings Plc

USD 300,000 3.400% due 08/03/21 ...... 276 0.08

350,000 2.650% due 05/01/22 ...... 311 0.09

75,000 4.000% due 30/03/22 ...... 71 0.02

GBP 95,000 5.750% due 20/12/27 ...... 131 0.04

110,000 2.625% due 16/08/28 ...... 127 0.03

Legal & General Group Plc

110,000 5.500% due 27/06/64 ...... 131 0.04

Lloyds Bank Plc

USD 200,000 12.000%* ........................ 245 0.07

EUR 100,000 11.875% due 16/12/21 .... 102 0.03

263,000 10.375% due 12/02/24 .... 317 0.09

GBP 220,000 6.000% due 08/02/29 ...... 379 0.10

Mansard Mortgages Plc

177,553 1.032% due 15/12/49 ...... 194 0.05

Motor Plc

5,033 0.766% due 25/08/21 ...... 6 0.00

Nationwide Building Society

EUR 500,000 0.203% due 02/11/18 ...... 502 0.14

Network Rail Infrastructure

Finance Plc

234,000 4.375% due 09/12/30 ...... 375 0.10

NewDay Funding

GBP 300,000 2.770% due 15/07/23 ...... 340 0.09




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

OAK No.1 Plc

51,660 1.060% due 26/02/52 ....... 60 0.02

Paragon Secured Finance No

1 Plc

181,965 2.386% due 15/11/35 ....... 186 0.05

Pearson Dollar Finance Two

Plc

USD 300,000 6.250% due 06/05/18 ....... 284 0.08

Precise Mortgage Funding

Plc

GBP 61,177 1.180% due 12/09/47 ....... 70 0.02

RAC Bond Co Plc

100,000 4.565% due 06/05/23 ....... 130 0.04

Residential Mortgage

Securities 20 Plc

38,997 0.641% due 10/08/38 ....... 42 0.01


Securities 21 Plc

33,165 0.789% due 12/11/38 ....... 36 0.01


Securities 22 Plc

30,340 0.746% due 14/11/39 ....... 33 0.01

Rmac Plc

EUR 35,172

Zero Coupon due

12/06/43 ........................... 33 0.01

GBP 129,424 0.721% due 12/12/43 ....... 139 0.04

Rochester Financing No 2

Plc

274,250 1.679% due 20/06/45 ....... 316 0.09


Group Plc

USD 130,000 6.125% due 15/12/22 ....... 123 0.03

450,000 3.875% due 12/09/23 ....... 395 0.11

315,000 5.125% due 28/05/24 ....... 281 0.08

Santander UK Group

Holdings Plc

100,000 3.125% due 08/01/21 ....... 91 0.03

300,000 2.875% due 05/08/21 ....... 267 0.07

320,000 4.750% due 15/09/25 ....... 286 0.08

Santander UK Plc

EUR 500,000 0.253% due 12/02/18 ....... 502 0.14

Scottish Widows Ltd

GBP 100,000 7.000% due 16/06/43 ....... 135 0.04

Sky Plc

USD 200,000 3.750% due 16/09/24 ....... 188 0.05

EUR 325,000 2.250% due 17/11/25 ....... 357 0.10

Standard Chartered Plc

USD 380,000 5.700% due 26/03/44 ....... 361 0.10

Tesco Plc

GBP 75,000 5.000% due 24/03/23 ....... 95 0.03

Towd Point Mortgage

Funding Plc

105,000 1.923% due 20/07/46 ....... 121 0.03

United Kingdom Gilt

310,000 4.750% due 07/03/20 ....... 415 0.11

Principal

Amount

Fair Value

EUR ‘000

Fund

%

340,000 3.750% due 07/09/21 ...... 461 0.13

325,000 4.250% due 07/06/32 ...... 541 0.15

100,000 4.250% due 07/03/36 ...... 173 0.05

200,000 4.750% due 07/12/38 ...... 378 0.10

130,000 4.250% due 07/09/39 ...... 232 0.06

200,000 4.250% due 07/12/40 ...... 362 0.10

1,520,000 3.250% due 22/01/44 ...... 2,443 0.68

500,000 3.500% due 22/01/45 ...... 844 0.23

150,000 4.250% due 07/12/55 ...... 321 0.09

Virgin Media Finance Plc

EUR 125,000 4.500% due 15/01/25 ...... 124 0.03

Virgin Media Secured

Finance Plc

GBP 270,000 6.000% due 15/04/21 ...... 325 0.09

100,000 4.875% due 15/01/27 ...... 116 0.03

Vodafone Group Plc

224,000 3.000% due 12/08/56 ...... 246 0.07

Warwick Finance

Residential Mortgages No

One Plc

82,768 1.376% due 21/09/49 ...... 95 0.03

300,000 2.576% due 21/09/49 ...... 328 0.09

WPP Finance 2010

USD 80,000 5.625% due 15/11/43 ...... 85 0.02

18,494 5.12


A10 Term Asset Financing

LLC

77,156 2.620% due 15/11/27 ...... 69 0.02

AbbVie Inc

320,000 2.300% due 14/05/21 ...... 288 0.08

220,000 2.850% due 14/05/23 ...... 199 0.06

Accredited Mortgage Loan

Trust

560,000 0.804% due 25/04/36 ...... 453 0.13

1,200,000 0.785% due 25/09/36 ...... 945 0.26

Aetna Inc

145,000 2.400% due 15/06/21 ...... 131 0.04

175,000 3.200% due 15/06/26 ...... 159 0.04

50,000 4.375% due 15/06/46 ...... 47 0.01

AFC Home Equity Loan

Trust

179 1.235% due 22/12/27 ...... - 0.00

Ally Financial Inc

135,000 3.500% due 27/01/19 ...... 121 0.03

45,000 4.250% due 15/04/21 ...... 41 0.01

170,000 4.125% due 13/02/22 ...... 153 0.04

Alternative Loan Trust

24,937 5.250% due 25/06/35 ...... 21 0.01

121,767 1.931% due 25/11/35 ...... 86 0.02

270,107 1.507% due 25/12/35 ...... 194 0.05

35,299 6.250% due 25/08/37 ...... 28 0.01

215,179 0.742% due 20/03/46 ...... 143 0.04




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

31,224 0.715% due 25/09/46 ....... 21 0.01

777,716 0.665% due 25/04/47 ....... 595 0.16

Altria Group Inc

212,000 3.875% due 16/09/46 ....... 197 0.05

American Express Credit

Account Master Trust

600,000 1.260% due 15/01/20 ....... 535 0.15

American Home Mortgage

Assets Trust

301,213 1.207% due 25/02/47 ....... 161 0.04

AmeriCredit Automobile

Receivables Trust

210,000 1.520% due 08/01/19 ....... 187 0.05

533,123 1.520% due 10/06/19 ....... 476 0.13

383,000 1.420% due 08/10/19 ....... 341 0.09

Ameriquest Mortgage

Securities Inc Asset-Backed

Pass-Through Certificates

410,000 1.635% due 25/03/35 ....... 299 0.08

94,588 0.955% due 25/07/35 ....... 84 0.02

Anadarko Petroleum Corp

210,000 4.850% due 15/03/21 ....... 201 0.06

120,000 5.550% due 15/03/26 ....... 121 0.03


Finance Inc

105,000 2.650% due 01/02/21 ....... 97 0.03

110,000 3.300% due 01/02/23 ....... 103 0.03

155,000 3.650% due 01/02/26 ....... 148 0.04

280,000 4.700% due 01/02/36 ....... 287 0.08

434,000 4.900% due 01/02/46 ....... 461 0.13

Apple Inc

764,000 1.009% due 03/05/18 ....... 682 0.19

AT&T Inc

100,000 1.739% due 27/11/18 ....... 90 0.03

200,000 2.800% due 17/02/21 ....... 183 0.05

320,000 3.600% due 17/02/23 ....... 301 0.08

200,000 3.400% due 15/05/25 ....... 183 0.05

100,000 4.300% due 15/12/42 ....... 88 0.02

15,000 4.800% due 15/06/44 ....... 14 0.00

105,000 4.350% due 15/06/45 ....... 92 0.03

109,000 4.750% due 15/05/46 ....... 102 0.03

410,000 5.650% due 15/02/47 ....... 432 0.12

AvalonBay Communities

Inc

300,000 3.500% due 15/11/24 ....... 280 0.08

Aviation Capital Group

Corp

300,000 7.125% due 15/10/20 ....... 315 0.09

195,000 4.875% due 01/10/25 ....... 188 0.05

BA Credit Card Trust

280,000 5.170% due 15/06/19 ....... 252 0.07

BAMLL Commercial

Mortgage Securities Trust

200,000 3.524% due 15/12/33 ....... 181 0.05

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Banc of America

Commercial Mortgage Trust

510,000 5.421% due 10/10/45 ...... 453 0.13

220,000 5.552% due 10/06/49 ...... 196 0.05

Banc of America Funding

Trust

550,000 3.309% due 20/07/36 ...... 480 0.13

73,245 3.298% due 20/10/46 ...... 49 0.01

46,529 3.002% due 20/01/47 ...... 35 0.01

Banc of America Mortgage

Trust

91,896 3.222% due 25/05/35 ...... 77 0.02


500,000 6.875% due 25/04/18 ...... 480 0.13

200,000 2.108% due 19/04/21 ...... 180 0.05

400,000 2.625% due 19/04/21 ...... 362 0.10

130,000 3.950% due 21/04/25 ...... 120 0.03

Bay Area Toll Authority

225,000 6.263% due 01/04/49 ...... 306 0.08

Bayer US Finance LLC

280,000 3.375% due 08/10/24 ...... 258 0.07

Bayview Commercial Asset

Trust

341,949 0.955% due 25/08/34 ...... 282 0.08

BCAP LLC Trust

830,000 0.814% due 26/07/45 ...... 668 0.19

Bear Stearns Adjustable Rate

Mortgage Trust

108,447 2.884% due 25/01/35 ...... 94 0.03

156,183 2.920% due 25/03/35 ...... 140 0.04

Bear Stearns Alt-A Trust

42,360 3.142% due 25/09/35 ...... 33 0.01

131,491 2.980% due 25/11/35 ...... 96 0.03

316,688 2.801% due 25/01/36 ...... 233 0.06

304,008 2.950% due 25/08/36 ...... 202 0.06

82,476 3.106% due 25/08/36 ...... 54 0.02

72,570 3.086% due 25/11/36 ...... 48 0.01

Bear Stearns Asset Backed

Securities I Trust

32,093 0.635% due 25/04/31 ...... 29 0.01

Bear Stearns Mortgage

Funding Trust

576,757 0.695% due 25/06/47 ...... 416 0.12

Bear Stearns Second Lien

Trust

192,692 1.025% due 25/12/36 ...... 168 0.05

Bear Stearns Structured

Products Inc

36,384 2.966% due 26/01/36 ...... 26 0.01

80,204 3.280% due 26/12/46 ...... 54 0.02

BLCP Hotel Trust

150,000 3.024% due 15/08/29 ...... 132 0.04

BorgWarner Inc

EUR 170,000 1.800% due 07/11/22 ...... 182 0.05




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Brambles USA Inc

USD 200,000 4.125% due 23/10/25 ....... 190 0.05

BXHTL Mortgage Trust

780,000 3.375% due 15/05/29 ....... 685 0.19

450,000 3.753% due 15/05/29 ....... 396 0.11

Cargill Inc

500,000 6.000% due 27/11/17 ....... 468 0.13

CDGJ Commercial

Mortgage Trust

176,019 1.924% due 15/12/27 ....... 157 0.04

Celgene Corp

65,000 5.000% due 15/08/45 ....... 65 0.02

Centre Point Funding LLC

97,775 2.610% due 20/08/21 ....... 86 0.02

Chase Issuance Trust

750,000 0.774% due 15/11/18 ....... 668 0.19

Chevron Corp

500,000 1.318% due 16/05/18 ....... 447 0.12

CHL Mortgage Pass-

Through Trust

23,156 3.200% due 19/11/33 ....... 20 0.01

31,631 1.165% due 25/03/35 ....... 23 0.01

35,425 3.148% due 20/10/35 ....... 28 0.01

36,904 3.309% due 20/02/36 ....... 29 0.01

CIT Group Inc

100,000 5.250% due 15/03/18 ....... 93 0.03

100,000 5.500% due 15/02/19 ....... 94 0.03

Citibank Credit Card

Issuance Trust

500,000 1.020% due 22/02/19 ....... 445 0.12

Citigroup Commercial

Mortgage Trust

210,000 3.251% due 10/05/35 ....... 198 0.05

Citigroup Inc

100,000 1.763% due 07/06/19 ....... 90 0.03

245,000 2.650% due 26/10/20 ....... 223 0.06

100,000 2.700% due 30/03/21 ....... 91 0.03

95,000 4.000% due 05/08/24 ....... 89 0.02

Citigroup Mortgage Loan

Trust

933,037 2.766% due 25/08/36 ....... 713 0.20

240,281 3.296% due 25/09/37 ....... 197 0.05

Citigroup Mortgage Loan

Trust Inc

37,912 2.887% due 25/03/34 ....... 33 0.01

1 3.000% due 25/12/35 ....... - 0.00

1,413,000 0.795% due 25/08/36 ....... 1,052 0.29

City of Chicago IL

200,000 7.375% due 01/01/33 ....... 197 0.05

COBALT CMBS


193,167 5.484% due 15/04/47 ....... 173 0.05

Comcast Corp

176,000 3.400% due 15/07/46 ....... 153 0.04

Principal

Amount

Fair Value

EUR ‘000

Fund

%

COMM Mortgage Trust

207,283 2.225% due 13/05/31 ...... 183 0.05

125,000 2.275% due 15/06/34 ...... 110 0.03


370,371 5.736% due 10/12/49 ...... 338 0.09

Continental Airlines Pass

Thru Certificates

205,000 6.125% due 29/04/18 ...... 191 0.05

Continental Resources Inc

120,000 3.800% due 01/06/24 ...... 98 0.03

Countrywide Asset-Backed

Certificates

381,440 5.555% due 25/04/36 ...... 338 0.09

244,429 5.588% due 25/08/36 ...... 216 0.06

256,630 0.865% due 25/12/36 ...... 119 0.03

County of Montgomery OH

500,000 0.640% due 15/11/39 ...... 445 0.12

CPS Auto Receivables Trust

8,695 1.210% due 15/08/18 ...... 8 0.00

60,175 1.110% due 15/11/18 ...... 54 0.02

Crown Castle International

Corp

160,000 3.400% due 15/02/21 ...... 149 0.04

53,000 3.700% due 15/06/26 ...... 49 0.01

CSAB Mortgage Backed

Trust

50,808 5.684% due 25/12/36 ...... 23 0.01

CSMC Trust

700,000 3.374% due 15/08/30 ...... 613 0.17

45,600 6.500% due 26/07/36 ...... 23 0.01

Delta Air Lines Pass

Through Trust

172,966 4.250% due 30/07/23 ...... 159 0.04

Deutsche Alt-A Securities

Mortgage Loan Trust

259,343 0.725% due 25/08/47 ...... 190 0.05

Deutsche Alt-B Securities

Mortgage Loan Trust

38,862 5.886% due 25/10/36 ...... 29 0.01

Devon Energy Corp

40,000 3.250% due 15/05/22 ...... 35 0.01

85,000 5.850% due 15/12/25 ...... 85 0.02

Diamond 1 Finance Corp /

Diamond 2 Finance Corp

200,000 4.420% due 15/06/21 ...... 186 0.05

Diamond Offshore Drilling

Inc

30,000 4.875% due 01/11/43 ...... 19 0.01

Discovery Communications

LLC

EUR 100,000 1.900% due 19/03/27 ...... 99 0.03

DSLA Mortgage Loan Trust

USD 376,310 1.351% due 19/09/44 ...... 322 0.09

DT Auto Owner Trust

13,163 2.640% due 15/10/19 ...... 12 0.00




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

80,000 3.540% due 15/10/21 ....... 72 0.02

Duke Energy Corp

200,000 2.650% due 01/09/26 ....... 175 0.05

Education Realty Operating

Partnership LP

400,000 4.600% due 01/12/24 ....... 372 0.10

EMC Mortgage Loan Trust

35,273 1.264% due 25/05/40 ....... 29 0.01

Energy Transfer Partners LP

220,000 3.600% due 01/02/23 ....... 193 0.05

135,000 5.150% due 15/03/45 ....... 112 0.03

45,000 6.125% due 15/12/45 ....... 42 0.01

Express Scripts Holding Co

350,000 3.400% due 01/03/27 ....... 314 0.09

Fannie Mae Grantor Trust

44,928 6.000% due 25/02/44 ....... 46 0.01

Fannie Mae Pool

503,513 2.500% due 15/10/31 ....... 464 0.13

438,173 3.000% due 15/10/31 ....... 409 0.11

1,253,332 3.500% due 15/10/31 ....... 1,176 0.33

77,899 2.256% due 01/12/34 ....... 72 0.02

230,568 2.535% due 01/02/35 ....... 217 0.06

6,773 1.707% due 01/10/44 ....... 6 0.00

739,913 3.000% due 15/10/46 ....... 684 0.19

3,159,604 3.500% due 15/10/46 ....... 2,967 0.82

836,900 4.000% due 15/10/46 ....... 800 0.22

544,710 4.500% due 15/10/46 ....... 531 0.15

165,160 5.500% due 15/10/46 ....... 166 0.05

945,000 3.000% due 15/11/46 ....... 872 0.24

9,710,000 3.500% due 15/11/46 ....... 9,107 2.52

3,390,000 4.000% due 15/11/46 ....... 3,236 0.90

2,000,000 4.500% due 15/11/46 ....... 1,947 0.54

8,000,000 3.000% due 15/12/46 ....... 7,367 2.04

Fannie Mae REMIC Trust

155,227 6.000% due 25/07/44 ....... 161 0.04

Fannie Mae REMICS

23,701 1.175% due 25/09/23 ....... 21 0.01

74,018 6.000% due 25/06/33 ....... 13 0.00

96,782 0.645% due 25/03/34 ....... 85 0.02

36,063 6.000% due 25/04/43 ....... 35 0.01

Fannie Mae Trust

240,685 0.875% due 25/09/42 ....... 213 0.06

First Frankin Mortgage Loan

Trust

502,081 1.015% due 25/09/35 ....... 441 0.12

First Horizon Alternative

Mortgage Securities Trust

504,794 5.500% due 25/09/35 ....... 398 0.11

477,445 1.175% due 25/11/35 ....... 289 0.08

212,498 1.225% due 25/12/35 ....... 128 0.04

First Horizon Asset

Securities Inc

43,592 5.250% due 25/03/35 ....... 40 0.01

Principal

Amount

Fair Value

EUR ‘000

Fund

%

FirstEnergy Corp

164,000 4.250% due 15/03/23 ...... 155 0.04

Flagship Credit Auto Trust

32,227 1.430% due 16/12/19 ...... 29 0.01

Ford Credit Auto Owner

Trust

60,123 0.790% due 15/05/18 ...... 53 0.01

Ford Motor Credit Co LLC

AUD 310,000 4.050% due 10/12/18 ...... 217 0.06

USD 380,000 3.664% due 08/09/24 ...... 349 0.10

Freddie Mac Gold Pool

800,000 2.500% due 15/10/31 ...... 738 0.20

59,801 4.500% due 01/07/39 ...... 59 0.02

197,892 5.000% due 15/06/40 ...... 195 0.05

856,648 3.500% due 15/10/42 ...... 804 0.22

409,009 3.000% due 15/10/46 ...... 378 0.10

252,439 4.000% due 15/10/46 ...... 241 0.07

Freeport-McMoRan Inc

5,000 5.400% due 14/11/34 ...... 4 0.00

50,000 5.450% due 15/03/43 ...... 36 0.01

General Electric Co

200,000 4.625% due 30/01/43 ...... 182 0.05

General Motors Co

40,000 6.250% due 02/10/43 ...... 42 0.01

165,000 5.200% due 01/04/45 ...... 153 0.04

General Motors Financial Co

Inc

170,000 4.000% due 15/01/25 ...... 153 0.04

Gilead Sciences Inc

35,000 4.750% due 01/03/46 ...... 35 0.01

135,000 4.150% due 01/03/47 ...... 123 0.03

Ginnie Mae II Pool

4,666 1.875% due 20/09/25 ...... 4 0.00

3,904 1.875% due 20/09/26 ...... 4 0.00

1,198,470 4.500% due 20/09/41 ...... 1,151 0.32

1,301,258 3.000% due 15/10/46 ...... 1,213 0.34

1,478,758 3.500% due 15/10/46 ...... 1,398 0.39

470,534 4.000% due 15/10/46 ...... 449 0.12

245,000 3.000% due 15/11/46 ...... 228 0.06

240,000 3.500% due 15/11/46 ...... 227 0.06

207,621 4.658% due 20/03/62 ...... 195 0.05

108,541 2.825% due 20/10/63 ...... 104 0.03

82,237 2.290% due 20/05/64 ...... 77 0.02

108,683 4.668% due 20/05/64 ...... 109 0.03

79,399 4.613% due 20/07/64 ...... 80 0.02

121,966 4.673% due 20/07/64 ...... 122 0.03

115,898 2.572% due 20/11/64 ...... 110 0.03

86,535 2.662% due 20/11/64 ...... 83 0.02

138,990 4.564% due 20/02/65 ...... 140 0.04

Goldman Sachs Group Inc

AUD 600,000 3.680% due 29/11/17 ...... 413 0.11

EUR 500,000 0.399% due 18/12/17 ...... 503 0.14




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

USD 90,000 3.850% due 08/07/24 ....... 85 0.02

Government National

Mortgage Association

272,247 0.954% due 20/06/65 ....... 241 0.07

677,249 1.094% due 20/07/65 ....... 597 0.17

291,282 1.094% due 20/09/65 ....... 257 0.07

496,660 1.014% due 20/10/65 ....... 440 0.12

396,596 1.244% due 20/12/65 ....... 352 0.10

199,575 1.532% due 20/01/66 ....... 180 0.05

298,171 1.344% due 20/04/66 ....... 267 0.07

GP Portfolio Trust

123,741 1.474% due 15/02/27 ....... 110 0.03

Greenpoint Manufactured

Housing

461,142 7.270% due 15/06/29 ....... 409 0.11

GreenPoint Mortgage

Funding Trust

53,234 0.795% due 25/11/45 ....... 41 0.01

GSR Mortgage Loan Trust

188,507 2.917% due 25/09/35 ....... 171 0.05

182,109 2.952% due 25/01/36 ....... 152 0.04

HarborView Mortgage Loan

Trust

32,044 2.894% due 19/05/33 ....... 28 0.01

40,177 0.711% due 19/07/46 ....... 21 0.01

HCA Holdings Inc

70,000 6.250% due 15/02/21 ....... 68 0.02

HCA Inc

300,000 3.750% due 15/03/19 ....... 277 0.08

100,000 6.500% due 15/02/20 ....... 99 0.03

135,000 4.750% due 01/05/23 ....... 126 0.04

85,000 5.375% due 01/02/25 ....... 78 0.02

Hewlett Packard Enterprise Co

55,000 6.200% due 15/10/35 ....... 51 0.01

110,000 6.350% due 15/10/45 ....... 101 0.03

Hilton USA Trust

590,000 4.407% due 05/11/30 ....... 526 0.15

Home Equity Asset Trust

562,000 0.935% due 25/04/36 ....... 463 0.13

700,000 0.915% due 25/07/36 ....... 530 0.15

266,000 0.805% due 25/08/36 ....... 209 0.06

Home Equity Mortgage

Loan Asset-Backed Trust

577,677 0.685% due 25/07/37 ....... 324 0.09

Home Equity Mortgage

Trust

85,780 6.000% due 25/01/37 ....... 33 0.01

Honda Auto Receivables

Owner Trust

57,427 0.920% due 20/11/17 ....... 51 0.01

300,000 1.130% due 17/09/18 ....... 267 0.07

Hudsons Bay Simon JV

Trust

340,000 4.173% due 05/08/34 ....... 300 0.08

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Hyatt Hotel Portfolio Trust

210,000 1.781% due 15/11/29 ...... 187 0.05

310,000 4.324% due 15/11/29 ...... 274 0.08

Hyundai Auto Receivables

Trust

56,788 1.010% due 15/02/18 ...... 51 0.01

IndyMac INDA Mortgage

Loan Trust

166,935 3.163% due 25/03/37 ...... 143 0.04

438,770 3.374% due 25/07/37 ...... 347 0.10

IndyMac INDX Mortgage

Loan Trust

92,233 0.765% due 25/07/35 ...... 72 0.02

191,352 0.794% due 25/06/37 ...... 126 0.04

Inter-American

Development Bank

NZD 500,000 6.000% due 15/12/17 ...... 337 0.09

International Bank for

Reconstruction &

Development

USD 180,000 2.500% due 29/07/25 ...... 170 0.05

International Business

Machines Corp

700,000 1.188% due 12/02/19 ...... 626 0.17

INVISTA Finance LLC

340,000 4.250% due 15/10/19 ...... 303 0.08

Iowa Tobacco Settlement

Authority

180,000 6.500% due 01/06/23 ...... 162 0.04

IXIS Real Estate Capital

Trust

139,084 0.725% due 25/03/36 ...... 79 0.02

376,783 0.825% due 25/03/36 ...... 218 0.06

759,205 0.685% due 25/08/36 ...... 275 0.08

1,203,093 0.635% due 25/05/37 ...... 420 0.12

JP Morgan Chase

Commercial Mortgage

Securities Trust

135,000 1.724% due 15/08/27 ...... 120 0.03

125,192 2.285% due 15/12/30 ...... 111 0.03

124,260 1.504% due 15/07/31 ...... 111 0.03

132,259 5.440% due 12/06/47 ...... 118 0.03

160,000 5.882% due 12/02/51 ...... 147 0.04

166,280 5.716% due 15/02/51 ...... 152 0.04

JP Morgan Mortgage Trust

60,410 3.033% due 25/07/35 ...... 53 0.01

100,029 3.137% due 25/07/35 ...... 88 0.02

231,501 3.234% due 25/08/35 ...... 207 0.06

270,436 7.000% due 25/08/37 ...... 217 0.06

JP Morgan Resecuritization

Trust

43,254 2.409% due 26/09/35 ...... 38 0.01

733,835 2.026% due 26/01/37 ...... 549 0.15

JPMorgan Chase & Co

250,000 1.615% due 25/01/18 ...... 224 0.06




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

300,000 2.550% due 29/10/20 ....... 272 0.08

400,000 2.322% due 01/03/21 ....... 365 0.10

300,000 3.875% due 01/02/24 ....... 288 0.08

70,000 3.125% due 23/01/25 ....... 64 0.02

EUR 170,000 1.500% due 29/10/26 ....... 179 0.05

KB Home

USD 100,000 4.750% due 15/05/19 ....... 91 0.03

Kinder Morgan Inc

300,000 5.000% due 15/02/21 ....... 289 0.08

Kraft Heinz Foods Co

500,000 3.000% due 01/06/26 ....... 449 0.12

EUR 155,000 2.250% due 25/05/28 ....... 168 0.05

USD 55,000 4.375% due 01/06/46 ....... 52 0.01

LB-UBS Commercial

Mortgage Trust

157,713 5.430% due 15/02/40 ....... 142 0.04

170,000 5.484% due 15/02/40 ....... 152 0.04

491,000 6.454% due 15/09/45 ....... 440 0.12

Lehman ABS Manufactured

Housing Contract Trust

450,000 6.630% due 15/04/40 ....... 429 0.12

Lehman Brothers Holdings Inc

GBP 600,000 7.875% due 08/05/18 ....... 68 0.02

Lehman XS Trust Series

393,426 0.715% due 25/11/46 ....... 291 0.08

Liberty Mutual Group

Inc

225,000 4.850% due 01/08/44 ....... 209 0.06

Los Angeles County Public

Works Financing Authority

100,000 7.488% due 01/08/33 ....... 124 0.03

Marathon Oil Corp

148,000 2.800% due 01/11/22 ....... 122 0.03

Mastr Asset Backed

Securities Trust

364,975 1.025% due 25/11/35 ....... 221 0.06

506,561 1.225% due 25/11/35 ....... 316 0.09

1,080,076 0.675% due 25/08/36 ....... 507 0.14

448,502 0.735% due 25/10/36 ....... 253 0.07

263,517 0.685% due 25/11/36 ....... 156 0.04

Meccanica Holdings USA

Inc

100,000 6.250% due 15/01/40 ....... 88 0.02

Merck & Co Inc

605,000 1.161% due 18/05/18 ....... 541 0.15

Merrill Lynch Mortgage

Investors Trust

346,908 1.145% due 25/08/28 ....... 297 0.08

86,097 2.228% due 25/10/35 ....... 74 0.02

702,568 2.920% due 25/12/35 ....... 600 0.17

161,697 2.636% due 25/02/36 ....... 143 0.04

417,113 1.125% due 25/09/36 ....... 342 0.09

126,059 2.871% due 25/06/37 ....... 108 0.03

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Mid-State Capital Trust

280,950 6.497% due 15/08/37 ...... 271 0.08

Moody's Corp

EUR 160,000 1.750% due 09/03/27 ...... 172 0.05

Morgan Stanley

USD 120,000 3.750% due 25/02/23 ...... 114 0.03

Morgan Stanley Capital I

Trust

250,000 5.818% due 11/06/42 ...... 216 0.06

210,000 5.692% due 15/04/49 ...... 189 0.05

383,000 5.574% due 12/11/49 ...... 338 0.09

Morgan Stanley Re-REMIC

Trust

100,000 5.988% due 12/08/45 ...... 90 0.03

Morgan Stanley

Resecuritization Trust

545,000 0.784% due 26/04/47 ...... 334 0.09

MPLX LP

55,000 5.500% due 15/02/23 ...... 51 0.01

465,000 4.500% due 15/07/23 ...... 422 0.12

55,000 4.875% due 01/12/24 ...... 51 0.01

55,000 4.875% due 01/06/25 ...... 51 0.01

Municipal Electric Authority

of Georgia

200,000 6.655% due 01/04/57 ...... 239 0.07

Nationstar Home Equity

Loan Trust

946,000 0.855% due 25/09/36 ...... 713 0.20

760,000 0.755% due 25/03/37 ...... 594 0.16

New York State Dormitory

Authority

250,000 5.600% due 15/03/40 ...... 302 0.08

Newell Brands Inc

160,000 2.600% due 29/03/19 ...... 146 0.04

80,000 3.150% due 01/04/21 ...... 74 0.02

150,000 4.200% due 01/04/26 ...... 146 0.04

Newfield Exploration Co

40,000 5.625% due 01/07/24 ...... 37 0.01

Nissan Auto Receivables

Owner Trust

346,309 0.720% due 15/08/18 ...... 308 0.09

Noble Energy Inc

100,000 5.250% due 15/11/43 ...... 91 0.03

Nomura Asset Acceptance

Corp Alternative Loan

Trust

612,780 1.125% due 25/12/34 ...... 511 0.14

197,212 3.033% due 25/10/35 ...... 165 0.05

Nomura Resecuritization

Trust

500,000 0.674% due 26/10/36 ...... 372 0.10

263,000 0.684% due 26/10/36 ...... 210 0.06

705,934 1.479% due 26/06/46 ...... 599 0.17

241,878 1.259% due 26/04/47 ...... 205 0.06




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

OneMain Financial Issuance

Trust

125,000 4.100% due 20/03/28 ....... 115 0.03

ONEOK Partners LP

200,000 8.625% due 01/03/19 ....... 202 0.06

Park Place Securities Inc

410,000 0.995% due 25/09/35 ....... 338 0.09

Pfizer Inc

135,000 1.150% due 15/06/18 ....... 121 0.03

Philip Morris International

Inc

EUR 145,000 2.750% due 19/03/25 ....... 171 0.05

Pioneer Natural Resources

Co

USD 95,000 3.950% due 15/07/22 ....... 90 0.03

PPG Industries Inc

179,000 6.650% due 15/03/18 ....... 171 0.05

Procter & Gamble Co

800,000 1.027% due 01/11/19 ....... 714 0.20

Quicken Loans Inc

145,000 5.750% due 01/05/25 ....... 129 0.04

RALI Trust

728,688 0.684% due 25/01/37 ....... 552 0.15

318,265 0.795% due 25/02/46 ....... 170 0.05

212,928 0.735% due 25/04/46 ....... 87 0.02

181,910 0.705% due 25/06/46 ....... 72 0.02

323,666 0.675% due 25/02/47 ....... 166 0.05

RAMP Trust

1,036 1.084% due 25/06/32 ....... 1 0.00

RBSCF Trust

150,000 5.695% due 16/09/40 ....... 135 0.04

Regency Energy Partners LP

/ Regency Energy Finance

Corp

300,000 4.500% due 01/11/23 ....... 269 0.07

Resource Capital Corp Ltd

126,018 1.580% due 15/04/32 ....... 111 0.03

RFMSI Trust

287,263 3.428% due 25/09/35 ....... 204 0.06

27,070 3.913% due 25/02/36 ....... 22 0.01

Santander Drive Auto

Receivables Trust

352,328 1.120% due 17/12/18 ....... 314 0.09

398,132 1.304% due 15/07/19 ....... 355 0.10

240,000 2.650% due 17/08/20 ....... 217 0.06

Santander Holdings USA Inc

300,000 2.275% due 24/11/17 ....... 269 0.07

Saxon Asset Securities Trust

1,250,647 0.705% due 25/05/37 ....... 802 0.22

Securitized Asset Backed

Receivables LLC Trust

79,558 1.185% due 25/10/35 ....... 71 0.02

48,178 0.655% due 25/05/37 ....... 34 0.01

814,038 0.725% due 25/05/37 ....... 459 0.13

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Sequoia Mortgage Trust

205,001 0.882% due 20/07/33 ...... 172 0.05

Soundview Home Loan

Trust

610,000 0.995% due 25/03/36 ...... 488 0.14

Southern Co Gas Capital

Corp

264,000 4.400% due 01/06/43 ...... 254 0.07

70,000 3.950% due 01/10/46 ...... 63 0.02

Spirit Airlines Pass Through

Trust

218,000 4.450% due 01/04/24 ...... 195 0.05

SpringCastle America

Funding LLC

71,617 2.700% due 25/05/23 ...... 64 0.02

105,000 3.050% due 25/04/29 ...... 93 0.03

Springleaf Finance Corp

200,000 8.250% due 15/12/20 ...... 196 0.05

Structured Adjustable Rate

Mortgage Loan Trust

26,967 3.052% due 25/02/34 ...... 24 0.01

51,701 2.993% due 25/04/34 ...... 46 0.01

315,146 3.041% due 25/08/35 ...... 262 0.07

Structured Asset Investment

Loan Trust

295,549 0.705% due 25/04/36 ...... 240 0.07

Structured Asset Mortgage

Investments II Trust

302,387 0.745% due 25/05/36 ...... 209 0.06

262,134 0.645% due 25/08/36 ...... 177 0.05

40,960 0.715% due 25/07/46 ...... 31 0.01

Structured Asset Securities

Corp Mortgage Loan Trust

326,312 0.695% due 25/12/36 ...... 268 0.07

845,742 0.695% due 25/01/37 ...... 696 0.19

801,750 0.655% due 25/02/37 ...... 656 0.18

Sysco Corp

60,000 2.500% due 15/07/21 ...... 55 0.02

TAL Advantage V LLC

75,250 3.550% due 20/11/38 ...... 66 0.02

Targa Resources Partners LP

/ Targa Resources Partners

Finance Corp

145,000 5.000% due 15/01/18 ...... 134 0.04

Tender Option Bond Trust

Receipts/Certificates

300,000 0.690% due 01/08/49 ...... 267 0.07

Tenet Healthcare Corp

195,000 4.500% due 01/04/21 ...... 175 0.05

55,000 4.375% due 01/10/21 ...... 49 0.01

Tennessee Valley Authority

200,000 5.880% due 01/04/36 ...... 259 0.07

Thermo Fisher Scientific

Inc

EUR 202,000 1.375% due 12/09/28 ...... 203 0.06




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Thornburg Mortgage

Securities Trust

18,927 2.781% due 25/06/47 ....... 15 0.00

Time Warner Cable LLC

55,000 5.500% due 01/09/41 ....... 52 0.01

115,000 4.500% due 15/09/42 ....... 98 0.03

Toyota Auto Receivables

Owner Trust

381,427 0.760% due 15/03/18 ....... 339 0.09

Trinity Rail Leasing LLC

261,657 5.194% due 16/10/40 ....... 230 0.06

U.S. Treasury Bonds

305,700 5.250% due 15/11/28 ....... 377 0.10

360,000 5.375% due 15/02/31 ....... 467 0.13

115,000 4.500% due 15/02/36 ....... 144 0.04

USD 214,000 3.500% due 15/02/39 ....... 236 0.07

580,000 4.250% due 15/05/39 ....... 708 0.20

200,000 4.375% due 15/05/40 ....... 249 0.07

200,000 3.000% due 15/05/42 ....... 203 0.06

300,000 2.750% due 15/08/42 ....... 291 0.08

200,000 2.750% due 15/11/42 ....... 194 0.05

75,000 2.500% due 15/02/45 ....... 69 0.02

200,000 2.875% due 15/08/45 ....... 198 0.05

95,000 2.500% due 15/05/46 ....... 87 0.02

1,350,000 2.250% due 15/08/46 ....... 1,180 0.33

U.S. Treasury Inflation

Indexed Bonds

869,119 1.125% due 15/01/21 ....... 824 0.23

U.S. Treasury Notes

2,270,000 3.500% due 15/02/18 ....... 2,096 0.58

3,190,000 3.750% due 15/11/18 ....... 3,015 0.83

2,945,000 1.500% due 31/12/18** ... 2,660 0.74

3,680,000 1.625% due 31/08/19 ....... 3,344 0.93

1,665,000 1.625% due 30/11/20 ....... 1,514 0.42

345,000 1.125% due 28/02/21 ....... 307 0.09

1,695,000 1.125% due 30/06/21 ....... 1,507 0.42

750,000 2.000% due 31/08/21 ....... 693 0.19

335,000 1.750% due 30/09/22 ....... 306 0.08

55,000 1.375% due 30/06/23 ....... 49 0.01

340,000 1.250% due 31/07/23 ....... 299 0.08

345,000 1.375% due 31/08/23 ....... 306 0.08

745,000 1.625% due 15/05/26 ....... 664 0.18

United Airlines Pass

Through Trust

69,484 5.375% due 15/08/21 ....... 64 0.02

United States Small Business

Administration

78,394 6.290% due 01/01/21 ....... 74 0.02

United States Treasury

Inflation Indexed Bonds

1,418,185 0.125% due 15/04/20 ....... 1,287 0.36

2,509,424 0.625% due 15/07/21 ....... 2,346 0.65

1,382,277 0.125% due 15/01/22 ....... 1,256 0.35

Principal

Amount

Fair Value

EUR ‘000

Fund

%

1,042,620 0.125% due 15/01/23 ...... 943 0.26

1,330,519 0.625% due 15/01/24 ...... 1,243 0.34

912,186 0.125% due 15/07/24 ...... 824 0.23

599,481 0.250% due 15/01/25 ...... 544 0.15

2,681,459 2.375% due 15/01/25 ...... 2,845 0.79

304,449 0.375% due 15/07/25 ...... 280 0.08

5,834,123 0.625% due 15/01/26 ...... 5,463 1.51

358,011 2.375% due 15/01/27 ...... 391 0.11

229,750 1.750% due 15/01/28 ...... 240 0.07

2,354,020 2.500% due 15/01/29 ...... 2,662 0.74

146,393 3.875% due 15/04/29 ...... 188 0.05

978,066 2.125% due 15/02/41 ...... 1,170 0.32

1,649,491 1.375% due 15/02/44 ...... 1,744 0.48

715,393 0.750% due 15/02/45 ...... 657 0.18

304,704 1.000% due 15/02/46 ...... 300 0.08


Inc

82,000 2.625% due 21/02/20 ...... 75 0.02

70,000 3.000% due 01/11/21 ...... 65 0.02

115,000 4.400% due 01/11/34 ...... 109 0.03

155,000 4.272% due 15/01/36 ...... 144 0.04

100,000 3.850% due 01/11/42 ...... 85 0.02

90,000 4.522% due 15/09/48 ...... 85 0.02

Viacom Inc

165,000 4.375% due 15/03/43 ...... 135 0.04

5,000 5.250% due 01/04/44 ...... 5 0.00

Volkswagen Group of

America Finance LLC

600,000 1.600% due 20/11/17 ...... 533 0.15

VOLT XLII LLC

180,479 4.250% due 26/03/46 ...... 163 0.05

Wachovia Bank Commercial

Mortgage Trust

330,000 5.342% due 15/12/43 ...... 296 0.08

220,000 5.383% due 15/12/43 ...... 198 0.05

230,000 5.413% due 15/12/43 ...... 205 0.06

550,000 6.158% due 15/02/51 ...... 491 0.14

Wachovia Mortgage Loan

Trust LLC

42,278 3.050% due 20/03/37 ...... 36 0.01

Waldorf Astoria Boca Raton

Trust

480,000 5.124% due 15/06/29 ...... 428 0.12

Walgreens Boots Alliance

Inc

300,000 3.450% due 01/06/26 ...... 278 0.08

WaMu Asset-Backed

Certificates

469,905 0.775% due 25/04/37 ...... 206 0.06

WaMu Mortgage Pass-

Through Certificates

303,024 1.245% due 25/11/34 ...... 258 0.07

484,209 2.791% due 25/09/36 ...... 392 0.11

484,319 3.696% due 25/12/36 ...... 396 0.11




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

208,171 2.766% due 25/03/37 ....... 176 0.05

81,063 2.303% due 25/04/37 ....... 63 0.02

877,683 0.755% due 25/04/45 ....... 738 0.20

456,444 0.845% due 25/08/45 ....... 379 0.10

295,519 0.795% due 25/12/45 ....... 251 0.07

162,215 1.207% due 25/03/47 ....... 110 0.03

Washington Mutual

Mortgage Pass-Through

Certificates

197,998 5.750% due 25/01/36 ....... 156 0.04

373,439 0.625% due 25/06/37 ....... 263 0.07

62,295 1.447% due 25/07/46 ....... 37 0.01

Wells Fargo & Co

100,000 2.175% due 04/03/21 ....... 91 0.03

Wells Fargo Mortgage

Backed Securities Trust

191,228 3.015% due 25/09/34 ....... 174 0.05

262,017 3.076% due 25/03/35 ....... 235 0.07

191,721 2.956% due 25/06/35 ....... 178 0.05

69,867 3.070% due 25/10/35 ....... 62 0.02

325,434 3.088% due 25/05/36 ....... 277 0.07

Westlake Chemical Corp

70,000 3.600% due 15/08/26 ....... 63 0.02

75,000 5.000% due 15/08/46 ....... 67 0.02

Whiting Petroleum Corp

180,000 5.000% due 15/03/19 ....... 156 0.04

45,000 5.750% due 15/03/21 ....... 38 0.01

Williams Partners LP

200,000 4.000% due 15/11/21 ....... 184 0.05

Wisconsin Power & Light

Co

100,000 4.100% due 15/10/44 ....... 98 0.03

Zimmer Biomet Holdings

Inc

50,000 3.550% due 01/04/25 ....... 46 0.01

Zoetis Inc

237,000 3.250% due 01/02/23 ....... 218 0.06

166,798 46.14


and Notes ............................ 337,685 93.41


Australia (0.29%)


695,000 1.269% due 02/12/16 ....... 619 0.17

Queensland Treasury Corp

NZD 640,000 7.125% due 18/09/17 ....... 433 0.12

1,052 0.29

Bermuda (0.08%)

Sirius International Group

Ltd

USD 310,000 6.375% due 20/03/17 ....... 280 0.08

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Brazil (0.25%)


Nacional

BRL 1,500,000 Zero Coupon due 01/04/17 386 0.11


Nacional Serie F

1,890,000 10.000% due 01/01/17 .... 527 0.14

913 0.25

Canada (0.45%)

Caisse Centrale Desjardins

USD 460,000 1.253% due 27/03/17 ...... 410 0.11

Canadian Government

Bond

CAD 313,000 4.000% due 01/06/17 ...... 217 0.06


Commerce

USD 415,000 0.986% due 21/02/17 ...... 369 0.10


720,000 1.019% due 03/02/17 ...... 641 0.18

1,637 0.45

Denmark (0.61%)

Realkredit Danmark A/S

DKK 2,000,000 1.000% due 01/01/17 ...... 270 0.07

2,000,000 2.000% due 01/01/17 ...... 270 0.07

8,700,000 1.000% due 01/04/17 ...... 1,177 0.33

3,600,000 2.000% due 01/04/17 ...... 489 0.14

2,206 0.61

France (0.48%)

Banque Federative du Credit

Mutuel SA

EUR 1,000,000

Zero Coupon due

23/03/17 .......................... 1,001 0.28

BPCE SA

500,000

Zero Coupon due

10/03/17 .......................... 500 0.14

Dexia Credit Local SA

USD 250,000 1.168% due 07/11/16 ...... 223 0.06

1,724 0.48

Greece (0.14%)

Hellenic Railways

Organization SA

EUR 200,000 4.028% due 17/03/17 ...... 197 0.05

Hellenic Republic

Government International

Bond

JPY 24,000,000 3.800% due 08/08/17 ...... 204 0.06

National Bank of Greece

SA

EUR 100,000 3.875% due 07/10/16 ...... 100 0.03

501 0.14

Japan (0.42%)

Japan Government Ten Year

Bond

JPY 170,000,000 1.700% due 20/09/17 ...... 1,523 0.42




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Morocco (0.15%)

Morocco Government

International Bond

EUR 517,000 5.375% due 27/06/17 ....... 537 0.15

Netherlands (0.14%)

Shell International Finance

BV

USD 590,000 1.027% due 15/11/16 ....... 525 0.14

Switzerland (0.14%)

Credit Suisse AG

EUR 500,000 Zero Coupon due 30/03/17 500 0.14


Experian Finance

Plc

USD 400,000 2.375% due 15/06/17 ....... 358 0.10

Lloyds Bank Plc

EUR 1,000,000 0.241% due 21/08/17 ....... 1,003 0.28

1,361 0.38


American Express Credit

Corp

USD 250,000 1.125% due 05/06/17 ....... 222 0.06


Finance Inc

527,000 0.924% due 27/01/17 ....... 469 0.13

AT&T Inc

400,000 1.700% due 01/06/17 ....... 357 0.10


925,000 6.400% due 28/08/17 ....... 859 0.24

Bank of America NA

250,000 5.300% due 15/03/17 ....... 226 0.06

BMW US Capital LLC

400,000 1.179% due 02/06/17 ....... 356 0.10

eBay Inc

400,000 0.943% due 28/07/17 ....... 356 0.10

Exxon Mobil Corp

510,000 0.890% due 15/03/17 ....... 454 0.13

Federal Home Loan Bank

Discount Notes

100,000

Zero Coupon due

25/11/16 ........................... 89 0.02

Ford Motor Credit Co

LLC

800,000 4.250% due 03/02/17 ....... 719 0.20

Freddie Mac Discount Notes

400,000 Zero Coupon due 28/10/16 356 0.10

Honda Auto Receivables

Owner Trust

131,002 0.690% due 21/08/17 ....... 117 0.03

Johnson & Johnson

505,000 0.899% due 28/11/16 ....... 450 0.12

Principal

Amount

Fair Value

EUR ‘000

Fund

%

JPMorgan Chase & Co

EUR 300,000 0.102% due 19/02/17 ...... 300 0.08

Kellogg Co

USD 400,000 1.875% due 17/11/16 ...... 356 0.10

Lehman Brothers Holdings

Inc

400,000 1.000% due 25/05/10 ...... 26 0.01

500,000 6.200% due 26/09/14 ...... 34 0.01

Nissan Auto Receivables

Owner Trust

222,931 0.630% due 15/05/17 ...... 198 0.05

Pfizer Inc

400,000 0.967% due 15/05/17 ...... 356 0.10

Sprint Communications Inc

300,000 9.125% due 01/03/17 ...... 274 0.08

US Bank NA

825,000 1.045% due 11/09/17 ...... 734 0.20

Wachovia Corp

655,000 1.120% due 15/06/17 ...... 583 0.16

7,891 2.18

Total Short Term

Investments ........................ 20,650 5.71

Total Transferable

Securities ........................... 358,335 99.12


Japan (1.48%)

Japan Treasury Discount Bill

JPY 160,000,000 Zero Coupon due 31/10/16 1,406 0.39

130,000,000 Zero Coupon due 21/11/16 1,143 0.32

80,000,000 Zero Coupon due 14/11/16 703 0.19

180,000,000 Zero Coupon due 07/11/16 1,582 0.44

60,000,000 Zero Coupon due 12/12/16 528 0.14

5,362 1.48


U.S. Treasury Bill

2,865,000 Zero Coupon due 27/10/16 2,545 0.71

Total Money Market

Instruments ....................... 7,907 2.19

Certificates of Deposit (0.40%)

Canada (0.22%)

Bank of Nova Scotia

350,000 1.583% due 28/03/18 ...... 311 0.08

National Bank of Canada

400,000 1.225% due 24/05/17 ...... 355 0.10


150,000 0.877% due 01/11/16 ...... 133 0.04

799 0.22

Switzerland (0.12%)

Credit Suisse AG

500,000 1.645% due 12/09/17 ...... 445 0.12




30 September 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%


State Street Bank & Trust

Co

250,000 1.278% due 13/04/17 ....... 222 0.06

Total Certificates of

Deposit ................................ 1,466 0.40

Commercial Paper (1.18%)

Canada (0.12%)

Ontario Teachers' Finance

Trust

250,000 Zero Coupon due 02/12/16 222 0.06

250,000 Zero Coupon due 17/01/17 222 0.06

444 0.12

New Zealand (0.06%)

ANZ New Zealand Int'l Ltd

250,000 Zero Coupon due 21/02/17 222 0.06


Vodafone Group

600,000 Zero Coupon due 05/09/17 526 0.15


Barton Capital LLC

400,000 Zero Coupon due 20/12/16 355 0.10

Chariot Funding LLC

250,000 Zero Coupon due 31/03/17 221 0.06

CRC Funding LLC

250,000 Zero Coupon due 05/01/17 222 0.06

Gotham Funding Corp

500,000 Zero Coupon due 22/12/16 444 0.12

Liberty Street Funding Corp

350,000 Zero Coupon due 11/10/16 311 0.09

Principal

Amount

Fair Value

EUR ‘000

Fund

%

LMA SA

550,000 Zero Coupon due 01/03/17 487 0.14

Old Line Funding LLC

250,000 Zero Coupon due 09/01/17 222 0.06

Schlumberger Holdings Corp

400,000 Zero Coupon due 02/12/16 355 0.10

Starbird Funding Corp

500,000 Zero Coupon due 01/11/16 446 0.12

3,063 0.85

Total Commercial Paper .. 4,255 1.18

Number

of Shares


Ireland (3.51%)

7,608



Fund - Class C Income

Shares ................................. 7,568 2.09

338




Roll-Up Shares ................... 392 0.11

5,304




Up Shares ............................ 4,738 1.31

12,698 3.51

Luxembourg (0.52%)

13,942

Natixis International Funds

LUX I Debt and Currencies

Fund .................................... 1,871 0.52


Total Investments

excluding Financial




Notional

Amount

EUR '000

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

(12,960)

(87.87)

59 of 90 Day Euro Futures


Expiring March 2018 ................................................ (22) (0.01)

(6,880)

(114.67)

48 of 90 Day Sterling Futures


Expiring June 2018 ................................................... (36) (0.01)

(3,285)

(114.27)

23 of 90 Day Sterling Futures


Expiring March 2018 ................................................ (29) (0.01) (1,886)

(99.27)

19 of Canada 10 Year Bond Futures Short Futures Contracts Expiring December 2016 .......................................... (4) 0.00

1,578

131.52

12 of Euro-BOBL Futures Long Futures Contracts Expiring December 2016 .......................................... 7 0.00




30 September 2016



Notional

Amount

EUR '000

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

(429)

(143.16)

3 of Euro-BTP Futures


Expiring December 2016 .......................................... - 0.00

2,794

164.34

17 of Euro-Bund Futures



8,854

112.07




(1,333)

(1.33)

1 of Japan 10 Year Government Bond Futures



1,973

151.76

13 of Long Gilt Futures



3,732

116.63

32 of U.S. 10 Year Note Futures



7,378

97.08



Expiring December 2016 9 0.00

15,783

108.10




(2,272)

(151.47)

15 of U.S. Long Bond Futures



2,110

131.89

16 of Euro-BOBL Futures



(658)

(164.44)




1,329

1.33




(1,748)

(116.56)




(167)

(167.14)




42,929

1.00

342 of Euro Currency Futures


Expiring December 2016 .......................................... (30) (0.01)

(1,750)

(97.21)




(1,511)

(107.93)




2,935

1.33

22 of 10 Year Mini JGB Futures






30 September 2016



Notional

Amount

EUR '000

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

5,932

131.82




13,030

164.94




17,336

1.33

13 of Japan 10 Year Government Bond

Futures Long Futures Contracts


4,248

151.70




4,302

116.27




9,509

97.03




10,987

107.72




8,150

150.92




396

132.14




112

112.10




301

150.35




350

116.70




583

97.20




598

149.53




199

66.36




296

98.82

3 of Canada 10 Year Bond Futures



(946)

(189.16)

5 of Euro BUXL 30 Year Bond Futures



(9,492)

(131.83)







30 September 2016



Notional

Amount

EUR '000

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

1,432

143.15




(5,259)

(164.35)




318

159.22

2 of Euro-Oat Futures



(448)

(112.04)




(1,214)

(151.74)




(2,100)

(116.64)




(1,944)

(97.19)




(3,891)

(108.07)




(1,184)

(148.02)




(827)

(165.35)




695

99.30

7 of Canada 10 Year Bond Futures



(3,723)

(143.18)




4,278

164.52




3,997

1.33




(9,492)

151.75




1,432

(116.46)




(5,259)

(97.08)




318

107.76







30 September 2016



Notional

Amount

EUR '000

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

(448)

149.07




(1,214)

166.49




Unrealised gain on open futures contracts ......................................................................... 400 0.11

Unrealised loss on open futures contracts .......................................................................... (394) (0.11)

Net unrealised gain (loss) on open futures contracts ................................................. 6 0.00


Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

07/12/2016 AUD 140 EUR 95 - 0.00

21/10/2016 AUD 530 NZD 564 (4) 0.00

04/10/2016 AUD 102 USD 77 1 0.00

04/10/2016 AUD 2,173 USD 1,667 (4) 0.00

06/10/2016 AUD 5,468 USD 4,106 70 0.02

07/10/2016 AUD 1,291 USD 982 5 0.00

13/10/2016 AUD 261 USD 200 - 0.00

04/10/2016 BRL 1,070 USD 328 2 0.00

04/10/2016 BRL 1,986 USD 468 128 0.04

04/10/2016 BRL 200 USD 60 1 0.00

04/10/2016 BRL 1,000 USD 299 8 0.00

07/10/2016 BRL 4,904 USD 1,508 - 0.00

17/10/2016 BRL 658 USD 202 - 0.00

04/10/2016 CAD 148 USD 114 (2) 0.00

04/10/2016 CAD 1,560 USD 1,206 (17) (0.01)

04/10/2016 CAD 417 USD 323 (5) 0.00

04/10/2016 CAD 3,516 USD 2,657 16 0.01

06/10/2016 CAD 5,391 USD 4,106 (3) 0.00

09/12/2016 CAD 2,723 USD 2,111 (34) (0.01)

09/12/2016 CAD 103 USD 78 - 0.00

11/10/2016 CNH 1,280 USD 188 3 0.00

11/10/2016 CNH 2,582 USD 378 8 0.00

11/10/2016 CNH 2,465 USD 362 7 0.00

11/10/2016 CNH 458 USD 68 - 0.00

24/10/2016 CNH 1,069 USD 160 - 0.00

05/12/2016 CNH 1,317 USD 193 3 0.00

07/12/2016 CNH 1,395 USD 205 3 0.00

07/10/2016 COP 9,479,718 USD 3,192 87 0.02

09/11/2016 COP 8,612,882 USD 2,938 28 0.01

03/10/2016 DKK 4,500 USD 677 2 0.00

03/10/2016 DKK 42,785 USD 6,411 41 0.02

21/10/2016 EUR 358 AUD 531 (3) 0.00

07/12/2016 EUR 102 AUD 150 - 0.00

21/10/2016 EUR 848 CAD 1,248 4 0.00

07/12/2016 EUR 166 CAD 240 4 0.00

21/10/2016 EUR 488 CHF 529 3 0.00

21/10/2016 EUR 53 CZK 1,441 - 0.00




30 September 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

21/10/2016 EUR 215 DKK 1,597 - 0.00

21/12/2016 EUR 510 DKK 3,800 - 0.00

21/10/2016 EUR 144 GBP 123 2 0.00

21/10/2016 EUR 3,181 GBP 2,678 87 0.02

21/10/2016 EUR 975 GBP 840 4 0.00

07/12/2016 EUR 1,490 GBP 1,250 47 0.02

21/12/2016 EUR 692 GBP 590 11 0.00

06/10/2016 EUR 238 GBP 202 4 0.00

21/10/2016 EUR 80 ILS 342 (1) 0.00

21/10/2016 EUR 5,440 JPY 616,228 26 0.01

21/10/2016 EUR 4,601 JPY 528,963 (47) (0.02)

07/12/2016 EUR 5,065 JPY 584,000 (65) (0.02)

21/12/2016 EUR 17,379 JPY 1,988,160 (87) (0.02)

21/12/2016 EUR 1,136 JPY 130,000 (6) 0.00

21/10/2016 EUR 1,118 MXN 23,952 20 0.01

07/12/2016 EUR 174 MXN 3,650 8 0.00

21/10/2016 EUR 104 NOK 982 (6) 0.00

21/10/2016 EUR 1,081 NOK 10,031 (35) (0.02)

21/12/2016 EUR 614 NOK 5,700 (19) (0.01)

21/10/2016 EUR 68 NZD 107 (1) 0.00

21/10/2016 EUR 555 PLN 2,403 (3) 0.00

21/12/2016 EUR 265 PLN 1,150 (1) 0.00

21/10/2016 EUR 160 SEK 1,518 2 0.00

21/10/2016 EUR 78 SGD 117 1 0.00

21/10/2016 EUR 364 THB 14,317 (3) 0.00

21/10/2016 EUR 133 TRY 457 (2) 0.00

04/10/2016 EUR 22,116 USD 24,762 82 0.02

04/10/2016 EUR 37 USD 41 - 0.00

04/10/2016 EUR 12,856 USD 14,381 59 0.02

04/10/2016 EUR 363 USD 408 - 0.00

04/10/2016 EUR 96 USD 108 - 0.00

04/10/2016 EUR 21,793 USD 24,649 (141) (0.04)

06/10/2016 EUR 3,705 USD 4,129 31 0.01

07/10/2016 EUR 63,761 USD 71,769 (93) (0.03)

07/10/2016 EUR 68 USD 76 1 0.00

13/10/2016 EUR 3,191 USD 3,569 17 0.01

21/10/2016 EUR 546 USD 616 (2) 0.00

21/10/2016 EUR 12,563 USD 14,116 12 0.00

02/11/2016 EUR 22,178 USD 24,891 59 0.02

02/11/2016 EUR 22,189 USD 24,936 32 0.01

07/12/2016 EUR 450 USD 507 - 0.00

07/12/2016 EUR 44 USD 50 - 0.00

07/12/2016 EUR 14,278 USD 16,000 82 0.02

12/12/2016 EUR 250 USD 282 - 0.00

12/12/2016 EUR 250 USD 282 - 0.00

21/12/2016 EUR 8,264 USD 9,350 (25) (0.01)

21/12/2016 EUR 28,537 USD 32,220 (27) (0.01)

21/12/2016 EUR 1,935 USD 2,190 (6) 0.00

21/12/2016 EUR 8,265 USD 9,350 (24) (0.01)

21/10/2016 EUR 197 ZAR 3,152 (6) 0.00




30 September 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

21/12/2016 EUR 640 ZAR 10,600 (33) (0.01)

21/10/2016 GBP 201 EUR 231 1 0.00

06/10/2016 GBP 20,441 EUR 24,088 (461) (0.13)

06/10/2016 GBP 20,437 EUR 24,088 (467) (0.13)

06/10/2016 GBP 20,433 EUR 24,088 (471) (0.13)

06/10/2016 GBP 20,432 EUR 24,088 (472) (0.13)

04/10/2016 GBP 4,271 USD 5,557 (8) 0.00

04/10/2016 GBP 117 USD 155 (3) 0.00

06/10/2016 GBP 3,164 USD 4,197 (77) (0.02)

13/10/2016 GBP 307 USD 400 (1) 0.00

13/10/2016 GBP 153 USD 200 (1) 0.00

13/10/2016 GBP 154 USD 200 - 0.00

13/10/2016 GBP 306 USD 400 (2) 0.00

13/10/2016 GBP 305 USD 400 (3) 0.00

07/12/2016 GBP 30 USD 39 - 0.00

07/10/2016 IDR 632,510 USD 49 - 0.00

21/12/2016 JPY 222,541 AUD 2,870 11 0.00

21/10/2016 JPY 187,166 EUR 1,619 25 0.01

21/12/2016 JPY 17,000 EUR 149 - 0.00

21/12/2016 JPY 57,189 IDR 7,500,000 (1) 0.00

04/10/2016 JPY 10,200 USD 99 2 0.00

04/10/2016 JPY 200,800 USD 1,994 (10) 0.00

06/10/2016 JPY 253,545 USD 2,442 55 0.02

07/10/2016 JPY 129,576 USD 1,289 (8) 0.00

13/10/2016 JPY 20,384 USD 200 1 0.00

13/10/2016 JPY 20,129 USD 200 (1) 0.00

13/10/2016 JPY 40,768 USD 400 2 0.00

13/10/2016 JPY 20,297 USD 200 - 0.00

02/11/2016 JPY 84,500 USD 834 1 0.00

20/12/2016 JPY 155,259 USD 1,550 (10) 0.00

21/12/2016 JPY 898,000 USD 8,800 87 0.02

13/10/2016 KRW 210,000 USD 192 (2) 0.00

10/11/2016 KRW 258,431 USD 231 3 0.00

21/10/2016 MXN 5,648 USD 300 (8) 0.00

21/10/2016 MXN 3,936 USD 200 3 0.00

21/10/2016 MXN 14,755 USD 794 (30) (0.01)

09/12/2016 MXN 5,715 USD 287 5 0.00

07/10/2016 MYR 4,696 USD 1,134 1 0.00

20/12/2016 MYR 1,648 USD 400 (3) 0.00

21/12/2016 NOK 2,825 SEK 2,900 12 0.00

21/10/2016 NOK 3,368 USD 400 19 0.01

09/12/2016 NOK 27,809 USD 3,370 98 0.03

21/10/2016 NZD 564 AUD 527 6 0.00

06/10/2016 NZD 5,711 USD 4,126 24 0.01

13/10/2016 NZD 273 USD 200 (1) 0.00

04/11/2016 NZD 554 USD 400 2 0.00

07/10/2016 PHP 111,427 USD 2,308 (9) 0.00

09/12/2016 PLN 1,651 USD 424 6 0.00

13/10/2016 RUB 12,800 USD 193 9 0.00

18/10/2016 RUB 3,974 USD 62 1 0.00




30 September 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

21/10/2016 SEK 8,400 EUR 884 (12) 0.00

10/11/2016 SGD 53 USD 39 - 0.00

10/11/2016 SGD 189 USD 139 - 0.00

10/11/2016 SGD 506 USD 372 - 0.00

09/12/2016 SGD 205 USD 151 - 0.00

07/10/2016 THB 78,512 USD 2,268 (2) 0.00

21/10/2016 TRY 417 USD 141 (2) 0.00

21/10/2016 TRY 278 USD 94 (1) 0.00

21/10/2016 TRY 759 USD 257 (4) 0.00

09/12/2016 TRY 7,118 USD 2,374 (30) (0.01)

20/12/2016 TRY 1,198 USD 400 (6) 0.00

04/10/2016 USD 1,381 AUD 1,812 (5) 0.00

04/10/2016 USD 354 AUD 463 - 0.00

06/10/2016 USD 4,106 AUD 5,468 (70) (0.02)

07/10/2016 USD 11,371 AUD 14,931 (49) (0.02)

07/10/2016 USD 256 AUD 333 1 0.00

13/10/2016 USD 200 AUD 261 - 0.00

13/10/2016 USD 200 AUD 261 - 0.00

13/10/2016 USD 200 AUD 264 (2) 0.00

13/10/2016 USD 90 AUD 118 - 0.00

02/11/2016 USD 1,666 AUD 2,173 3 0.00

21/12/2016 USD 433 AUD 580 (9) 0.00

04/10/2016 USD 405 BRL 1,650 (92) (0.03)

04/10/2016 USD 302 BRL 1,010 (8) 0.00

04/10/2016 USD 405 BRL 1,650 (92) (0.03)

07/10/2016 USD 1,497 BRL 4,904 (10) 0.00

17/10/2016 USD 1,654 BRL 5,327 18 0.01

09/11/2016 USD 1,494 BRL 4,904 1 0.00

21/12/2016 USD 116 BRL 400 (4) 0.00

04/01/2017 USD 291 BRL 1,000 (7) 0.00

04/04/2017 USD 383 BRL 1,300 3 0.00

04/04/2017 USD 57 BRL 200 (1) 0.00

03/10/2017 USD 368 BRL 1,300 4 0.00

03/10/2017 USD 326 BRL 1,200 (8) 0.00

04/10/2016 USD 3,397 CAD 4,386 53 0.01

04/10/2016 USD 63 CAD 82 - 0.00

04/10/2016 USD 912 CAD 1,173 18 0.01

21/10/2016 USD 800 CAD 1,043 6 0.00

02/11/2016 USD 2,658 CAD 3,516 (16) (0.01)

21/12/2016 USD 1,656 CAD 2,157 12 0.00

06/10/2016 USD 5,767 CHF 5,673 (77) (0.02)

09/12/2016 USD 5,458 CHF 5,323 (48) (0.02)

21/12/2016 USD 250 CHF 240 1 0.00

11/10/2016 USD 298 CNH 2,027 (5) 0.00

11/10/2016 USD 738 CNH 4,840 11 0.00

11/10/2016 USD 148 CNH 1,004 (2) 0.00

05/12/2016 USD 198 CNH 1,317 1 0.00

07/12/2016 USD 210 CNH 1,395 1 0.00

20/12/2016 USD 800 CNY 5,370 (3) 0.00

07/10/2016 USD 3,250 COP 9,479,718 (35) (0.02)




30 September 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

03/10/2016 USD 6,408 DKK 42,635 (23) (0.01)

03/10/2016 USD 682 DKK 4,595 (10) 0.00

03/01/2017 USD 624 DKK 4,060 8 0.00

03/04/2017 USD 683 DKK 4,500 (2) 0.00

03/04/2017 USD 1,203 DKK 7,959 (8) 0.00

04/10/2016 USD 24,861 EUR 22,178 (55) (0.02)

04/10/2016 USD 24,905 EUR 22,189 (28) (0.01)

06/10/2016 USD 1,652 EUR 1,482 (12) 0.00

21/10/2016 USD 150 EUR 134 (1) 0.00

21/10/2016 USD 761 EUR 673 3 0.00

21/10/2016 USD 556 EUR 498 (3) 0.00

21/10/2016 USD 392 EUR 350 (1) 0.00

21/10/2016 USD 229 EUR 202 2 0.00

21/10/2016 USD 448 EUR 399 - 0.00

07/12/2016 USD 500 EUR 444 - 0.00

21/12/2016 USD 880 EUR 785 (5) 0.00

21/12/2016 USD 150 EUR 133 - 0.00

06/10/2016 USD 2,702 EUR 2,416 (12) 0.00

06/10/2016 USD 15,233 EUR 13,664 (110) (0.03)

06/10/2016 USD 15,240 EUR 13,664 (104) (0.03)

06/10/2016 USD 15,237 EUR 13,664 (106) (0.03)

06/10/2016 USD 50 EUR 45 0 0.00

06/10/2016 USD 15,236 EUR 13,664 (107) (0.03)

04/10/2016 USD 5,806 GBP 4,388 95 0.03

06/10/2016 USD 2,518 GBP 1,898 46 0.02

13/10/2016 USD 800 GBP 608 9 0.00

13/10/2016 USD 596 GBP 446 14 0.00

21/10/2016 USD 1,314 GBP 1,000 13 0.00

02/11/2016 USD 5,560 GBP 4,271 7 0.00

07/12/2016 USD 130 GBP 100 - 0.00

21/12/2016 USD 3,109 GBP 2,350 45 0.02

07/10/2016 USD 47 IDR 632,510 (1) 0.00

09/11/2016 USD 49 IDR 632,510 - 0.00

10/11/2016 USD 30 INR 2,031 - 0.00

04/10/2016 USD 833 JPY 84,500 (1) 0.00

04/10/2016 USD 1,261 JPY 126,500 11 0.00

07/10/2016 USD 1,897 JPY 196,098 (36) (0.02)

07/10/2016 USD 7,944 JPY 799,935 39 0.02

13/10/2016 USD 400 JPY 41,115 (5) 0.00

13/10/2016 USD 1,029 JPY 106,258 (18) (0.01)

31/10/2016 USD 781 JPY 80,000 (9) 0.00

31/10/2016 USD 765 JPY 80,000 (23) (0.01)

07/11/2016 USD 1,094 JPY 110,000 6 0.00

07/11/2016 USD 696 JPY 70,000 3 0.00

14/11/2016 USD 794 JPY 80,000 3 0.00

21/11/2016 USD 1,301 JPY 130,000 13 0.00

12/12/2016 USD 587 JPY 60,000 (6) 0.00

20/12/2016 USD 400 JPY 40,511 (1) 0.00

13/10/2016 USD 186 KRW 210,000 (4) 0.00

10/11/2016 USD 243 KRW 271,384 (3) 0.00




30 September 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

10/11/2016 USD 304 KRW 334,157 1 0.00

10/11/2016 USD 106 KRW 116,724 - 0.00

10/11/2016 USD 701 KRW 770,606 1 0.00

10/11/2016 USD 36 KRW 40,202 - 0.00

10/11/2016 USD 570 KRW 625,932 2 0.00

10/11/2016 USD 280 KRW 312,847 (3) 0.00

10/11/2016 USD 115 KRW 126,673 - 0.00

20/10/2016 USD 147 MXN 2,888 (2) 0.00

20/10/2016 USD 706 MXN 13,891 (10) 0.00

20/10/2016 USD 186 MXN 3,671 (3) 0.00

21/10/2016 USD 114 MXN 2,240 (1) 0.00

21/10/2016 USD 183 MXN 3,372 8 0.00

09/12/2016 USD 149 MXN 2,966 (3) 0.00

09/12/2016 USD 1,004 MXN 18,767 37 0.01

21/12/2016 USD 579 MXN 10,800 23 0.01

07/10/2016 USD 1,153 MYR 4,696 16 0.01

09/11/2016 USD 1,132 MYR 4,696 (1) 0.00

15/11/2016 USD 285 MYR 1,153 6 0.00

15/11/2016 USD 92 MYR 374 1 0.00

06/10/2016 USD 4,104 NOK 34,376 (177) (0.05)

21/10/2016 USD 407 NOK 3,368 (13) 0.00

09/12/2016 USD 452 NOK 3,674 (7) 0.00

07/10/2016 USD 16,800 NZD 23,225 (78) (0.02)

07/10/2016 USD 285 NZD 390 1 0.00

13/10/2016 USD 200 NZD 274 1 0.00

13/10/2016 USD 876 NZD 1,193 8 0.00

04/11/2016 USD 410 NZD 554 7 0.00

07/10/2016 USD 2,385 PHP 111,427 78 0.02

09/11/2016 USD 2,298 PHP 111,427 3 0.00

18/10/2016 USD 61 RUB 3,974 (2) 0.00

15/12/2016 USD 61 RUB 3,974 (1) 0.00

05/10/2016 USD 904 SAR 3,400 (2) 0.00

06/10/2016 USD 4,088 SEK 35,094 (8) 0.00

10/11/2016 USD 74 SGD 101 - 0.00

10/11/2016 USD 571 SGD 773 4 0.00

10/11/2016 USD 102 SGD 138 1 0.00

10/11/2016 USD 554 SGD 746 6 0.00

09/12/2016 USD 8,301 SGD 11,266 31 0.01

07/10/2016 USD 2,265 THB 78,512 (1) 0.00

09/11/2016 USD 2,267 THB 78,512 2 0.00

21/10/2016 USD 237 TRY 728 (4) 0.00

21/10/2016 USD 237 TRY 727 (4) 0.00

10/11/2016 USD 375 TWD 11,960 (6) 0.00

10/11/2016 USD 248 TWD 7,884 (3) 0.00

10/11/2016 USD 65 TWD 2,055 (1) 0.00

10/11/2016 USD 85 TWD 2,690 (1) 0.00

10/11/2016 USD 127 TWD 4,042 (2) 0.00

10/11/2016 USD 222 ZAR 3,155 (5) 0.00

09/12/2016 USD 148 ZAR 2,054 1 0.00




30 September 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

21/12/2016 USD 238 ZAR 3,500 (11) 0.00

09/12/2016 ZAR 26,194 USD 1,809 63 0.02



Net unrealised gain (loss) on open forward foreign currency exchange contracts ........ (2,261) (0.63)

Options Purchased (0.00%)

Notional

Amount

EUR ‘000

Fair Value

EUR ‘000

Fund

%

800 Call at 1.30 USD GBP Expiring October 2016 ............................................................................. 3 0.00

800 Call at 1.24 USD GBP Expiring October 2016 ............................................................................. - 0.00

800 Call at 1.30 USD GBP Expiring October 2016 ............................................................................. 4 0.00

Futures options purchased at fair value (Premium received EUR 34,353) ............................... 7 0.00

Options Written (0.00%)

Notional

Amount

EUR ‘000

Fair Value

EUR ‘000

Fund

%

(200) Call at 87.00 USD RUB Expiring December 2016 ....................................................................... - 0.00

(500) Put at 0.75 AUD USD Expiring October 2016 ............................................................................. (1) 0.00

(700) Call at 20.50 USD MXN Expiring October 2016 ......................................................................... (2) 0.00

(300) Call at 20.50 USD MXN Expiring October 2016 ......................................................................... (1) 0.00

(800) Call at 1.24 USD GBP Expiring October 2016 ............................................................................. - 0.00

(800) Call at 1.24 USD GBP Expiring October 2016 ............................................................................. - 0.00

Futures options written at fair value (Premium received EUR 32,326) .................................... (4) 0.00

Swaptions Purchased (0.00%)

Notional

Amount


Fair Value

EUR ‘000

Fund

%

200 Put at 2.94 on 30 Year IRO Expiring August 2018 ....................................................................... 4 0.00

800 Call at 1.00 on 5 Year IRO Expiring December 2016 .................................................................. 2 0.00

800 Call at 1.00 on 5 Year IRO Expiring December 2016 .................................................................. 1 0.00

1,200 Call at 1.00 on 5 Year IRO Expiring December 2016 .................................................................. 2 0.00

2,700 Call at 287.50 on 5 Year Xover Expiring October 2016 ............................................................... 1 0.00

Swaptions purchased at fair value (Premium paid EUR 49,363) .............................................. 10 0.00

Swaptions Written (0.00%)

Notional

Amount


Fair Value

EUR ‘000

Fund

%

(700) Put at 2.80 on 5 Year IRO Expiring August 2018 ......................................................................... (1) 0.00

(1,600) Call at 0.77 on 5 Year IRO Expiring December 2016 .................................................................. (1) 0.00



(2,700) Put at 400.00 on 5 Year Xover Expiring October 2016 ................................................................ (1) 0.00

Swaptions written at fair value (Premium received EUR 45,635) ............................................. (5) 0.00




30 September 2016



Interest Rate Swaps ((0.10)%)

Ccy

Notional

Amount

‘000

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

USD 4,890 1.05%

USD 3 Month

LIBOR 30/11/2020

8 0.00

USD 2,300 1.03%

USD 6 Month

LIBOR 01/11/2026

- 0.00

GBP 60 0.98%

GBP 6 Month

LIBOR 07/11/2056

(2) 0.00

JPY 34,400 0.56%

JPY 6 Month

LIBOR 08/12/2046

(10) 0.00

GBP 400 0.79%

GBP 6 Month

LIBOR 28/09/2066

14 0.00

GBP 1,500 2.25%

GBP 6 Month

LIBOR 17/12/2019

(108) (0.03)

CAD 300 2.30%

CAD 3 Month

CDOR 15/12/2025

(22) (0.01)

USD 6,500 2.00%

USD 3 Month

LIBOR 16/12/2020

(244) (0.07)

USD 2,500 2.25%

USD 3 Month

LIBOR 16/12/2022

(151) (0.04)

USD 5,600 2.25%

USD 3 Month

LIBOR 15/06/2026

(414) (0.12)

USD 4,800 2.00%

USD 3 Month

LIBOR 15/06/2021

(193) (0.05)

GBP 300 1.75%

GBP 6 Month

LIBOR 15/03/2047

(73) (0.02)

USD 42,200 1.50%

USD 3 Month

LIBOR 15/06/2019

(183) (0.05)

USD 2,600 1.45%

USD 3 Month

LIBOR 28/06/2021

(7) 0.00

GBP 3,900 0.50%

GBP 6 Month

LIBOR 15/03/2019

(9) 0.00

KRW 1,700,000

KRW 3 Month

KWCDC 1.85% 30/07/2020

33 0.01

CAD

400

CAD 3 Month

CDOR 5.80% 19/12/2023

62 0.02

JPY

350,000

JPY 6 Month

LIBOR 1.50% 19/06/2033

649 0.19

JPY

100,000

JPY 6 Month

LIBOR 0.50% 17/09/2021

26 0.01

JPY

420,000

JPY 6 Month

LIBOR 0.25% 20/12/2019

46 0.01

JPY

86,000

JPY 6 Month

LIBOR 1.25% 17/06/2035

135 0.04

JPY

25,000

JPY 6 Month

LIBOR 0.30% 18/03/2026

6 0.00

JPY

250,000

JPY 6 Month

LIBOR 0.00% 20/09/2019

7 0.00

GBP

800

GBP 12 Month UK

RPI 3.40% 15/06/2030

42 0.01

GBP

100

GBP 12 Month

LIBOR 3.33% 12/01/2045

8 0.00




30 September 2016



Ccy

Notional

Amount

‘000

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

GBP

940

GBP Less than

Month UKRPI 3.14% 14/01/2030

9 0.00

Interest rate swaps at positive fair value ........................................................................................ 1,045 0.29

Interest rate swaps at negative fair value ....................................................................................... (1,416) (0.39)

Interest rate swaps at fair value ................................................................................................. (371) (0.10)

Credit Default Swaps ((0.08)%)

Ccy

Notional

Amount

‘000

Security

Name

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

USD 2,600

Italy

Government

International

Bond # 1.00% 20/09/2020

(27) (0.02)

EUR 29 Volkswagen AG # 1.00% 20/12/2020 - 0.00










EUR 24

Anheuser Busch

InBev NV # 1.00% 20/12/2020 1 0.00

EUR 24

Anheuser Busch

InBev NV # 1.00% 20/12/2020 1 0.00

EUR 59

Anheuser Busch

InBev NV # 1.00% 20/12/2020 1 0.00

EUR 23

Anheuser Busch

InBev NV # 1.00% 20/12/2020 1 0.00

EUR 23

Anheuser Busch

InBev NV # 1.00% 20/12/2020 1 0.00

EUR 23

Anheuser Busch

InBev NV # 1.00% 20/12/2020 1 0.00

EUR 49

Anheuser-Busch

InBev SA/NV # 1.00% 20/12/2020 1 0.00

EUR 25

Anheuser Busch

InBev NV # 1.00% 20/12/2020 1 0.00

EUR 20

Anheuser Busch

InBev NV # 1.00% 20/12/2020 - 0.00

EUR 21

Vodafone Group

Plc 1.00% # 20/12/2020 - 0.00

USD 143

Newell

Rubbermaid Inc 1.00% # 20/12/2020 (2) 0.00

EUR 100

Vodafone Group

Plc 1.00% # 20/12/2020 (1) 0.00

EUR 65

Anheuser Busch

InBev NV # 1.00% 20/12/2020 2 0.00

EUR 3

Anheuser Busch

InBev NV # 1.00% 20/12/2020 - 0.00

USD 212 Republic of Italy # 1.00% 20/12/2020 (3) 0.00




30 September 2016



Ccy

Notional

Amount

‘000

Security

Name

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

USD 195 Stora Enso Corp 1.00% # 20/12/2020 (5) 0.00

USD 313

Republic of

Korea 1.00% # 20/12/2020 (8) 0.00

USD 147

Republic of

Korea 1.00% # 20/12/2020

(4) 0.00

EUR 81 Atlantia SpA 1.00% # 20/06/2021 (2) 0.00




USD 84

Italy

Government

International

Bond # 1.00% 20/06/2021 (1) 0.00

USD 61

Italy

Government

International

Bond # 1.00% 20/06/2021 (1) 0.00

USD 1,400 Republic of Italy # 1.00% 20/06/2021 (24) (0.02)

USD 20 Republic of Italy # 1.00% 20/06/2021 - 0.00




USD 720 Republic of Italy # 1.00% 20/06/2021 (12) (0.01)

EUR 427

iTraxx Europe

Senior Financials # 1.00% 20/06/2021 1 0.00

EUR 213

iTraxx Europe


EUR 54

iTraxx Europe

Senior Financials # 1.00% 20/06/2021 - 0.00



USD 261

Italy

Government

International

Bond # 1.00% 20/06/2021 (4) 0.00


USD 77

Italy

Government

International

Bond # 1.00% 20/06/2021 (1) 0.00

EUR 228 Fortum Oyj 1.00% # 20/06/2022 (3) 0.00

EUR 62 Fortum Oyj 1.00% # 20/06/2022 (1) 0.00

EUR 150

Anglo American

Capital Plc 5.00% # 20/12/2021 (11) 0.00

EUR 170

Jaguar Land

Rover

Automotive Plc 5.00% # 20/12/2021 (24) (0.02)

EUR 600 Volkswagen AG # 1.00% 20/09/2018 6 0.00

EUR 650

Commerzbank

AG # 1.00% 20/12/2020 (50) (0.02)

EUR 1,450

Commerzbank

AG 1.00% # 20/12/2020 5 0.00




30 September 2016



Ccy

Notional

Amount

‘000

Security

Name

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

EUR 250

Imperial

Tobacco Group

Plc # 1.00% 20/12/2020 4 0.00

USD 250

Reynolds

American Inc 1.00% # 20/12/2020 (6) 0.00

EUR 150

Imperial

Tobacco Group

Plc # 1.00% 20/12/2020 2 0.00

USD 200

Reynolds

American Inc 1.00% # 20/12/2020 (5) 0.00

EUR 100

Imperial

Tobacco Group

Plc # 1.00% 20/12/2020 1 0.00

USD 100

Reynolds

American Inc 1.00% # 20/12/2020 (3) 0.00

EUR 50

Imperial

Tobacco Group

Plc # 1.00% 20/12/2020 1 0.00

USD 50

Reynolds

American Inc 1.00% # 20/12/2020 (1) 0.00

EUR 150

Veolia

Environnement 1.00% # 20/12/2020 (4) 0.00

EUR 100

LVMH Moet

Hennessy Louis

Vuitton 1.00% # 20/12/2020 (3) 0.00

USD 200

Omnicom Group

Inc 1.00% # 20/12/2020 (5) 0.00

USD 150

Omnicom Group

Inc 1.00% # 20/12/2020 (4) 0.00

USD 100

Omnicom Group

Inc 1.00% # 20/12/2020 (3) 0.00

EUR 200

Koninklijke

DSM NV 1.00% # 20/12/2020 (7) 0.00

EUR 600 HSBC Bank Plc 1.00% # 20/12/2020 (9) 0.00

EUR 100

LVMH Moet

Hennessy Louis

Vuitton 1.00% # 20/12/2020 (3) 0.00

USD 650

General Mills

Inc 1.00% # 20/12/2020 (18) (0.01)

EUR 50

LVMH Moet

Hennessy Louis

Vuitton 1.00% # 20/12/2020 (2) 0.00

EUR 100

LVMH Moet

Hennessy Louis

Vuitton 1.00% # 20/12/2020 (3) 0.00

EUR 300

Standard

Chartered Bank 1.00% # 20/12/2021 20 0.02

USD 257 MetLife Inc # 1.00% 20/12/2021 (2) 0.00

USD 257

American

International

Group Inc 1.00% # 20/12/2021 (2) 0.00

EUR 200

Bayerische

Landesbank 1.00% # 20/12/2021 (2) 0.00

EUR 424

iTraxx Europe





30 September 2016



Ccy

Notional

Amount

‘000

Security

Name

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%


USD 261

Italy

Government

International

Bond # 1.00% 20/06/2021 (4) 0.00

USD 64

Italy

Government

International

Bond # 1.00% 20/06/2021 (1) 0.00

EUR 2,500

iTraxx Europe

Senior Financials # 1.00% 20/12/2021 (3) 0.00

EUR 1,166

iTraxx Europe


EUR 266

iTraxx Europe

Senior Financials # 1.00% 20/12/2021 - 0.00

EUR 951

iTraxx Europe


EUR 1,306

iTraxx Europe


EUR 812

iTraxx Europe


USD 100

Mexico

Government

International

Bond # 1.00% 20/09/2019 - 0.00

USD 100

Mexico

Government

International

Bond # 1.00% 20/09/2019 - 0.00

EUR 300 Tesco Plc # 1.00% 20/12/2019 (3) 0.00

EUR 200 Tesco Plc # 1.00% 20/12/2019 (2) 0.00

EUR 100 Tesco Plc # 1.00% 20/12/2019 (1) 0.00

EUR 500

Volkswagen

International

Finance NV # 1.00% 20/03/2017 2 0.00

USD 400

CMBX.NA.AA

A.8 # 0.50% 17/10/2057 (9) 0.00

USD 200 MetLife Inc # 1.00% 20/12/2020 - 0.00

USD 400 Citigroup Inc # 1.00% 20/12/2020 5 0.00

USD 400 MetLife Inc # 1.00% 20/12/2021 (4) 0.00

USD 1,000

PPG Industries

Inc 0.82% # 20/03/2018 (9) 0.00

Credit default swaps at positive fair value .................................................................................................... 59 0.02

Credit default swaps at negative fair value ................................................................................................... (359) (0.10)

Credit default swaps at fair value ............................................................................................................. (300) (0.08)

Total Financial Derivative Instruments .................................................................................................... (2,918) (0.81)




30 September 2016



Fair Value

EUR ‘000

Fund

%


(107.93%) ..................................................................................................................................................... 390,189 107.93


Loss ((1.82)%) ............................................................................................................................................. (6,575) (1.82)


(106.11%) .................................................................................................................................................. 383,614 106.11

Other Net Liabilities ((6.11)%) ............................................................................................................... (22,103) (6.11)

Net Assets .................................................................................................................................................. 361,511 100.00

#

In the event of bankruptcy or modified restructuring, the Fund will pay/receive the notional amount to/from the counterparty.

* Perpetual Bond.

** Partly held as collateral by the brokers and counterparties in connection with the margin requirements for futures held by the Fund.


% of

gross assets

Transferable securities admitted to an official stock exchange listing .................................................................... 46.25

Transferable securities dealt in on a regulated market ........................................................................................... 30.84

Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) ........................................ 6.03

Certificates of deposits ........................................................................................................................................... 0.33

Commercial papers ................................................................................................................................................ 0.97

Investment funds (UCITS) ..................................................................................................................................... 3.31

Exchange traded financial derivative instruments ................................................................................................. 0.09

Over the counter financial derivative instruments ................................................................................................. 0.74

Other assets ............................................................................................................................................................ 11.44

100.00

The brokers for the open futures contracts are:

Credit Suisse

Goldman Sachs


Merrill Lynch

UBS


Australia and New Zealand Banking Group JP Morgan

Bank of America Merrill Lynch International

Bank of Montreal Morgan Stanley

Barclays Bank National Australia Bank

BNP Paribas Royal Bank of Canada

Brown Brothers Harriman Royal Bank of Scotland

Citibank Société Générale

Citigroup Standard Chartered Bank

Commonwealth Bank of Australia State Street Bank

Credit Suisse Toronto Dominion Bank

Deutsche Bank UBS AG

Goldman Sachs Westpac Banking Corporation

HSBC




30 September 2016



The counterparties for the options purchased are:

Citigroup

Goldman Sachs

The counterparties for the options written are:

Citigroup

Credit Suisse

Goldman Sachs

HSBC Bank

The counterparties for the swaptions purchased are:

Citibank

Goldman Sachs

Merrill Lynch

Morgan Stanley

The counterparties for the swaptions written are:

Citibank

Goldman Sachs

Merrill Lynch

Morgan Stanley


Citibank

Citigroup

Credit Suisse

Goldman Sachs

JP Morgan

The counterparties for the credit default swaps are:

Barclays Bank

BNP Paribas

Citibank

Credit Suisse

Goldman Sachs

HSBC Bank

JP Morgan

Merrill Lynch

Morgan Stanley

Société Generale




30 September 2016







Level 1

EUR ‘000

Level 2

EUR ‘000

Level 3

EUR ‘000

Total

EUR ‘000

Assets



Transferable securities ............................................................... - 357,975 360 358,335



Commercial paper ...................................................................... - 4,255 - 4,255


Unrealised gain on open futures contracts ...................................... 400 - - 400


contracts ......................................................................................... - 2,136 - 2,136

Options purchased at fair value ...................................................... - 7 - 7

Swaptions purchased at fair value .................................................. - 10 - 10

Credit default swaps at fair value ................................................... - 59 - 59

Interest rate swaps at fair value ...................................................... - 1,045 - 1,045

Total assets ...................................................................................... 400 389,429 360 390,189

Liabilities


Unrealised loss on open futures contracts ...................................... (394) - - (394)


contracts ......................................................................................... - (4,397) - (4,397)

Options written at fair value ........................................................... - (4) - (4)

Swaptions written at fair value ....................................................... - (5) - (5)

Credit default swaps at fair value ................................................... - (359) - (359)

Interest rate swaps at fair value ...................................................... - (1,416) - (1,416)





30 September 2016



As at 31 March 2016

Level 1

EUR ‘000

Level 2

EUR ‘000

Level 3

EUR ‘000

Total

EUR ‘000

Assets



Transferable securities ............................................................... - 378,929 175 379,104


Certificate of deposits ................................................................ - 903 - 903

Commercial Paper ..................................................................... - 2,454 - 2,454


Unrealised gain on open futures contracts ...................................... 1,929 - - 1,929


contracts ......................................................................................... - 13,808 - 13,808

Futures options purchased at fair value .......................................... 34 - - 34

Swaptions purchased at fair value .................................................. - 24 - 24

Credit default swaps at fair value ................................................... - 268 - 268

Interest rate swaps at fair value ...................................................... - 995 - 995

Total assets ...................................................................................... 1,963 432,542 175 434,680

Liabilities




contracts ......................................................................................... - (10,943) - (10,943)

Currency options written at fair value ............................................ - (101) - (101)

Futures options written at fair value ............................................... (14) - (14)

Swaptions written at fair value ....................................................... - (17) - (17)

Credit default swaps at fair value ................................................... - (430) - (430)

Interest rate swaps at fair value ...................................................... - (837) - (837)





Listed below are 20 largest cumulative investment purchases and cumulative investment sales during the six months ended 30

September 2016.





Acquisition Cost


Disposal Proceeds

EUR ‘000

Russell Investment Company plc Russell Investment Company plc

Russell Euro Liquidity Fund Russell Euro Liquidity Fund





Fannie Mae Pool Fannie Mae Pool

3.500% due 13/10/2046 12,665 3.500% due 14/09/2046 (11,026)

3.500% due 14/09/2046 11,099 3.500% due 13/10/2046 (9,737)

3.500% due 14/07/2046 9,430 3.500% due 14/07/2046 (9,443)

3.500% due 16/08/2046 9,229 3.500% due 16/08/2046 (9,331)

3.500% due 14/11/2046 9,134 3.000% due 16/08/2046 (8,360)

3.000% due 14/09/2046 8,288 3.000% due 14/07/2046 (8,218)

3.000% due 16/08/2046 8,279 3.000% due 14/09/2046 (8,194)

3.000% due 14/07/2046 8,200 4.000% due 14/07/2046 (7,496)

4.000% due 14/09/2046 7,480 3.500% due 13/06/2046 (7,473)

4.000% due 14/07/2046 7,437 4.000% due 16/08/2046 (7,457)

4.000% due 16/08/2046 7,378 3.000% due 13/06/2046 (7,444)

3.000% due 13/12/2046 7,375 4.000% due 14/09/2046 (7,420)

3.000% due 13/10/2046 7,059 3.000% due 13/10/2046 (6,360)

3.000% due 14/11/2046 6,347 3.000% due 14/11/2046 (5,542)

4.000% due 13/10/2046 4,813 3.500% due 12/05/2046 (5,409)

U.S. Treasury Inflation Indexed Bonds Freddie Mac Gold Pool

2.375% due 15/01/2025 4,691 3.000% due 18/05/2031 (4,623)

Japan Government Five Year Bond 3.000% due 18/04/2031 (4,587)

0.100% due 20/09/2021 4,635 Fannie Mae Pool

Fannie Mae Pool 3.000% due 13/06/2046 (4,457)

3.500% due 13/06/2046 4,635



Balance Sheet



110 Russell Global Defensive Equity Fund

30 September 2016

(Unaudited)

USD ‘000

31 March 2016

(Audited)

USD ‘000

Assets


Cash at bank (Note 2) ....................................................................................................... 761 1,295


(Note 2) ............................................................................................................................ 592 511

Debtors:

Receivable for investments sold .................................................................................... 415 178


Dividends receivable ..................................................................................................... 337 426

151,916 135,408

Liabilities

Financial liabilities at fair value through profit or loss .................................................... (301) (1,066)


Payable for investments purchased ................................................................................ (346) (258)

Distributions payable on income share classes .............................................................. (56) (85)







(866) (1,572)







Russell Global Defensive Equity Fund 111

Six months ended

30 September 2016

(Unaudited)

USD ‘000

Six months ended

30 September 2015

(Unaudited)

USD ‘000

Income

Dividends ...................................................................................................................... 2,185 2,286

Net gain (loss) on investment activities .......................................................................... 4,237 (12,447)


Expenses

Management fees (Note 3) ............................................................................................ (762) (836)



Administration and transfer agency fees (Note 4) ........................................................ (42) (46)

Audit fees ...................................................................................................................... (13) (15)


Other fees ...................................................................................................................... (5) (20)

Total operating expenses ............................................................................................... (872) (995)


Finance costs

Distributions (Note 8) ................................................................................................... (1,024) (892)

Profit (loss) for the financial period before taxation .................................................. 4,526 (12,048)

Taxation





Account.







Six months ended

30 September 2016

(Unaudited)

USD ‘000

Six months ended

30 September 2015

(Unaudited)

USD ‘000



Share transactions

Reinvestment of deemed distributions on accumulation shares (Note 8) ..................... 753 859


transactions (Note 8) ..................................................................................................... 12,291 8,833




Beginning of financial period ....................................................................................... 133,836 150,655

End of financial period ................................................................................................. 151,050 147,888




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%



Australia (1.23%)

Banks

38,402

Australia & New Zealand

Banking Group Ltd ............. 812 0.53

2,403


Australia .............................. 133 0.09


9,372 Brambles Ltd ....................... 86 0.06


6,969 Amcor Ltd ........................... 81 0.05


1,170 ASX Ltd .............................. 43 0.03

Electric Utilities

3,154 AGL Energy Ltd ................. 46 0.03

Entertainment

9,416 Tatts Group Ltd ................... 26 0.02

Food Products

4,848 Wesfarmers Ltd ................... 164 0.11

7,441 Woolworths Ltd .................. 133 0.09


1,823 Sonic Healthcare Ltd ........... 31 0.02


584

Washington H Soul

Pattinson & Co Ltd .............. 7 0.00


623

Flight Centre Travel Group

Ltd ....................................... 17 0.01

Insurance

12,876 Medibank Pvt Ltd ................ 24 0.02

Oil and Gas

3,529 Woodside Petroleum Ltd ..... 77 0.05


8,391 GPT Group .......................... 32 0.02

11,042 Stockland ............................. 40 0.03

Telecommunications

25,579 Telstra Corp Ltd .................. 101 0.07

1,853 1.23

Austria (0.00%)

Transport

199 Oesterreichische Post AG .... 7 0.00

Belgium (0.13%)

Other Finance

450

Groupe Bruxelles Lambert

SA ....................................... 40 0.02

Pharmaceuticals

1,754 UCB SA .............................. 136 0.09

Telecommunications

836 Proximus SADP .................. 25 0.02

201 0.13

Number

of Shares

Fair Value

USD ‘000

Fund

%

Bermuda (1.23%)


8,300 Genpact Ltd ........................ 199 0.13


40,000

Cheung Kong Infrastructure

Holdings Ltd ....................... 344 0.23

Insurance

2,000 Arch Capital Group Ltd ...... 159 0.11

651 Axis Capital Holdings Ltd .. 35 0.02

472

Endurance Specialty

Holdings Ltd ....................... 31 0.02

794 Everest Re Group Ltd ......... 151 0.10

1,400

RenaissanceRe Holdings Ltd

............................................. 168 0.11

400

White Mountains Insurance

Group Ltd ........................... 332 0.22

1,570 XL Group Ltd ..................... 53 0.04

67

XL Group Ltd (Non-voting

rights) .................................. 3 0.00

Other Finance

738 HAL Trust .......................... 150 0.10

Telecommunications

1,744 VTech Holdings Ltd ........... 20 0.01

Textile and Apparel

51,000

Yue Yuen Industrial

Holdings Ltd ....................... 210 0.14

1,855 1.23

Brazil (0.07%)


5,500

Multiplan Empreendimentos

Imobiliarios SA ................... 107 0.07

Canada (1.66%)

Banks

1,396


Commerce ........................... 108 0.07

1,987 Royal Bank of Canada ........ 123 0.08

2,951 Toronto-Dominion Bank ..... 131 0.09


1,607 CI Financial Corp ............... 31 0.02

Insurance .............................

700

Fairfax Financial Holdings

Ltd ...................................... 409 0.27

447 Genworth MI Canada Inc ... 11 0.01

1,901 Great-West Lifeco Inc ........ 47 0.03

781 Intact Financial Corp .......... 56 0.04

2,855 Sun Life Financial Inc ......... 93 0.06

Media

2,075 Thomson Reuters Corp ....... 86 0.06

Oil and Gas

2,212 ARC Resources Ltd ............ 40 0.02

7,984


Ltd ...................................... 255 0.17

15,536 Cenovus Energy Inc ............ 223 0.15




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Pipelines

1,008 Keyera Corp ........................ 33 0.02

Telecommunications

2,128 BCE Inc ............................... 98 0.06

18,119 Rogers Communications Inc 767 0.51

2,511 1.66



70,000

Hengan International Group

Co Ltd ................................. 580 0.39


32,500 CK Hutchison Holdings Ltd 413 0.27

Real Estate

33,000

Cheung Kong Property

Holdings Ltd ....................... 241 0.16

1,234 0.82

Denmark (0.61%)

Agriculture

18,333

Scandinavian Tobacco

Group A/S ........................... 313 0.21


6,145

William Demant Holding

A/S ...................................... 125 0.08

Insurance

1,083 Tryg A/S .............................. 22 0.01

Retail Trade

25,051 Matas A/S ............................ 469 0.31

929 0.61

Finland (0.18%)

Chemicals

12,762 Tikkurila OYJ ...................... 275 0.18

France (2.36%)

Electric Utilities

51,226 Engie SA ............................. 794 0.52

Food Products

15,044 Danone SA .......................... 1,117 0.74


952 BioMerieux ......................... 142 0.10

1,398 Orpea ................................... 124 0.08

Insurance

157 Euler Hermes Group ............ 13 0.01

Media

751

Metropole Television

SA ....................................... 14 0.01

Pharmaceuticals

17,861 Sanofi SA ............................ 1,358 0.90

3,562 2.36

Germany (0.37%)


15,959

Hamburger Hafen und

Logistik AG ......................... 243 0.16

Number

of Shares

Fair Value

USD ‘000

Fund

%

Insurance

364 Hannover Rueck SE ............ 39 0.03

840

Muenchener

Rueckversicherungs-

Gesellschaft AG in

Muenchen ........................... 157 0.10

Textile and Apparel

688 Adidas AG .......................... 119 0.08

558 0.37

Hong Kong (0.37%)

Banks

4,176 Hang Seng Bank Ltd ........... 75 0.05

Electric Utilities

7,000 CLP Holdings Ltd ............... 72 0.05


50,500 Link REIT ........................... 371 0.24

Transport

7,977 MTR Corp Ltd .................... 44 0.03

562 0.37

India (0.86%)

Banks

16,528

HDFC Bank Ltd

ADR .................................... 1,188 0.79

Household Products

27,240 Marico Ltd .......................... 112 0.07

1,300 0.86

Indonesia (0.23%)

Household Products

31,000

Unilever Indonesia Tbk

PT ....................................... 106 0.07

Telecommunications

738,900

Telekomunikasi Indonesia

Persero Tbk PT ................... 244 0.16

350 0.23

Ireland (0.17%)

Building Products

2,714

James Hardie Industries

Plc ....................................... 42 0.03


1,748 Accenture Plc ...................... 214 0.14

256 0.17

Israel (0.22%)


1,423 Elbit Systems Ltd ................ 136 0.09

Telecommunications

104,506

Bezeq The Israeli

Telecommunication Corp

Ltd ...................................... 197 0.13

333 0.22

Italy (0.13%)

Pharmaceuticals

6,197 Recordati SpA ..................... 199 0.13




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Japan (7.85%)

Agriculture

4,200 Japan Tobacco Inc ............... 171 0.11

Automobiles

29,600 Honda Motor Co Ltd ........... 844 0.56

Chemicals

26,600

Nippon Fine Chemical Co

Ltd ....................................... 208 0.14

27,562 Nitto FC Co Ltd .................. 226 0.15


6,500 Park24 Co Ltd ..................... 211 0.14

4,600 Secom Co Ltd ...................... 341 0.23

8,600

Secom Joshinetsu Co

Ltd ....................................... 276 0.18

26,500 Shingakukai Co Ltd ............. 134 0.09


35,818 Cosel Co Ltd ....................... 431 0.29

9,800 Icom Inc .............................. 194 0.13

2,800 Keyence Corp ...................... 2,031 1.34

Entertainment

2,700 Oriental Land Co Ltd .......... 164 0.11

Hand and Machine Tools

2,100 Makita Corp ........................ 148 0.10


6,600 As One Corp ........................ 286 0.19

1,200 Medikit Co Ltd .................... 53 0.04

3,400 Nakanishi Inc ...................... 123 0.08

8,100 Terumo Corp ....................... 309 0.20

Home Furnishings

3,700 Hoshizaki Electric Co Ltd ... 335 0.22

Insurance

15,400 Sompo Holdings Inc ............ 451 0.30


3,600 Trend Micro Inc .................. 125 0.08

Machinery

10,200 Ebara Corp .......................... 299 0.20

5,400 FANUC Corp ...................... 907 0.60

Metals and Mining

15,190

Kitagawa Industries Co

Ltd ....................................... 158 0.10

Office Electronics

4,900 Canon Inc ............................ 141 0.09

Pharmaceuticals

4,000

Chugai Pharmaceutical Co

Ltd ....................................... 144 0.10

3,500

Hisamitsu Pharmaceutical

Co Inc .................................. 188 0.12

8,900

Mitsubishi Tanabe Pharma

Corp ..................................... 189 0.13

4,500

Ono Pharmaceutical Co

Ltd ....................................... 125 0.08

Real Estate

1,700

Daito Trust Construction Co

Ltd ....................................... 272 0.18

Number

of Shares

Fair Value

USD ‘000

Fund

%


39

Advance Residence

Investment Corp .................. 110 0.07

Retail Trade

2,900

FamilyMart UNY Holdings

Co Ltd ................................. 193 0.13

4,500 Lawson Inc ......................... 354 0.24

4,800

McDonald's Holdings Co

Japan Ltd ............................ 141 0.09

2,300 Nitori Holdings Co Ltd ....... 274 0.18

1,600 Sundrug Co Ltd .................. 134 0.09

1,500 Tsuruha Holdings Inc ......... 172 0.11

Telecommunications

5,700 KDDI Corp ......................... 175 0.12

5,200

Nippon Telegraph &

Telephone Corp .................. 237 0.16

15,800 NTT Docomo Inc ................ 400 0.26

Transport

34,000 Nagoya Railroad Co Ltd ..... 184 0.12

11,858 7.85


Agriculture

7,728 KT&G Corp ........................ 877 0.58

Auto Components

862 Hyundai Mobis Co Ltd ....... 215 0.14

Automobiles

8,279 Hyundai Motor Co .............. 1,019 0.68

12,413 Kia Motors Corp ................. 475 0.31

Home Furnishings

1,349 Coway Co Ltd ..................... 117 0.08

Insurance

1,290

Samsung Fire & Marine

Insurance Co Ltd ................. 327 0.22

3,030 2.01

Malaysia (0.08%)

Agriculture

63,500

HAP Seng Consolidated

Bhd ..................................... 118 0.08

Mexico (1.07%)

Media

25,523 Grupo Televisa SAB ADR .. 656 0.43

Telecommunications

1,609,681 America Movil SAB de CV 920 0.61

68,474 Telesites SAB de CV .......... 39 0.03

1,615 1.07

Netherlands (1.64%)

Food Products

6,426

Koninklijke Ahold Delhaize

NV ...................................... 147 0.10

Personal Products ................

50,350 Unilever NV ....................... 2,324 1.54

2,471 1.64




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

New Zealand (0.45%)


63,193

Auckland International

Airport Ltd .......................... 338 0.23

Electric Utilities

4,296 Contact Energy Ltd ............. 16 0.01

Telecommunications

122,978

Spark New Zealand

Ltd ....................................... 323 0.21

677 0.45

Norway (0.42%)

Food Products

31,078 Orkla ASA ........................... 321 0.21

Telecommunications

17,835 Telenor ASA ....................... 306 0.21

627 0.42

Philippines (0.07%)

Electric Utilities

17,300 Manila Electric Co .............. 111 0.07

Singapore (0.36%)

Airlines

21,400 Singapore Airlines Ltd ........ 165 0.11


45,500 SATS Ltd ............................ 166 0.11


4,800 Singapore Exchange Ltd ..... 26 0.01

Media

10,000

Singapore Press Holdings

Ltd ....................................... 28 0.02

Telecommunications

43,300

Singapore

Telecommunications Ltd ..... 126 0.08

3,700 StarHub Ltd ......................... 10 0.01

Transport

14,000 ComfortDelGro Corp Ltd .... 29 0.02

550 0.36

Sweden (1.82%)

Agriculture

33,981 Swedish Match AB ............. 1,249 0.83

Banks

97,013


AB ....................................... 1,335 0.88

4,755 Swedbank AB ...................... 112 0.08


1,994 Skanska AB ......................... 47 0.03

2,743 1.82

Switzerland (7.63%)

Banks

156 Banque Cantonale Vaudoise 103 0.07

Building Products

2,444 Geberit AG .......................... 1,072 0.71

Number

of Shares

Fair Value

USD ‘000

Fund

%


28 SGS SA ............................... 63 0.04


1,063 GAM Holding AG .............. 10 0.01

Food Products

31,180 Nestle SA ............................ 2,462 1.63


7,623 Schindler Holding AG ........ 1,433 0.95

Insurance

1,481 Chubb Ltd ........................... 186 0.12

Pharmaceuticals

108 Galenica AG ....................... 115 0.08

33,262 Novartis AG ........................ 2,621 1.73

7,480 Roche Holding AG ............. 1,860 1.23

Retail Trade

24,380

Cie Financiere Richemont

SA ....................................... 1,489 0.99

Telecommunications

131 Swisscom AG ..................... 62 0.04

Transport

290

Kuehne & Nagel

International AG ................. 42 0.03

11,518 7.63

Taiwan (0.74%)


36,647



Thailand (0.26%)

Beverages

174,500 Thai Beverage PCL ............. 124 0.08


12,000 Airports of Thailand PCL ... 138 0.09

Real Estate

79,900 Central Pattana PCL ........... 135 0.09

397 0.26



281,148 Cobham Plc ......................... 612 0.41

103,964 Meggitt Plc ......................... 609 0.40

Agriculture

3,204


Plc ....................................... 205 0.14

Banks

872,027 Lloyds Banking Group Plc . 618 0.41

101,309


Group Plc ............................ 235 0.16

Beverages

71,650 Diageo Plc .......................... 2,057 1.36

192,825 Stock Spirits Group Plc ....... 386 0.26


109,181 G4S Plc ............................... 323 0.21




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

28,315 Intertek Group Plc ............... 1,283 0.85


68,062 BBA Aviation Plc ............... 221 0.15


133,495 Rotork Plc ........................... 366 0.24

Home Builders

1,727 Persimmon Plc .................... 41 0.03

17,026 Taylor Wimpey Plc ............. 34 0.02

Lodging

30,043

InterContinental Hotels

Group Plc ............................ 1,241 0.82

Machinery

12,915

Spirax-Sarco Engineering

Plc ....................................... 754 0.50

Oil and Gas

22,725 BP Plc ADR ........................ 799 0.53

13,589

Royal Dutch Shell Plc (A

Shares) ................................. 338 0.22

Pharmaceuticals

2,520 AstraZeneca Plc .................. 164 0.11

40,742 GlaxoSmithKline Plc ........... 870 0.57

Real Estate

56,861 LSL Property Services ........ 158 0.10

Retail Trade

879 Next Plc ............................... 55 0.04

Telecommunications

278,444 Vodafone Group Plc ............ 802 0.53

12,171 8.06


Advertising

1,065 Omnicom Group Inc ............ 91 0.06


1,286 Boeing Co ........................... 169 0.11

2,753 Lockheed Martin Corp ........ 660 0.44

3,148 Raytheon Co ........................ 429 0.28

13,634

United Technologies

Corp ..................................... 1,385 0.92

Agriculture

10,800 Altria Group Inc .................. 683 0.45

2,176


Inc ....................................... 212 0.14

12,796 Reynolds American Inc ....... 603 0.40

Banks

12,055

Citizens Financial Group

Inc ....................................... 298 0.20

14,853 Fifth Third Bancorp ............. 304 0.20

30,691 US Bancorp ......................... 1,316 0.87

69,462 Wells Fargo & Co ............... 3,076 2.04

Beverages

47,603 Coca-Cola Co ...................... 2,015 1.33

3,539

Dr Pepper Snapple Group

Inc ....................................... 323 0.21

17,710 PepsiCo Inc ......................... 1,926 1.28

Number

of Shares

Fair Value

USD ‘000

Fund

%

Chemicals

692

EI du Pont de Nemours &

Co ....................................... 46 0.03

10,609 Mosaic Co ........................... 259 0.17

988 Praxair Inc .......................... 119 0.08

4,624 Sherwin-Williams Co ......... 1,279 0.85


1,825

Automatic Data Processing

Inc ....................................... 161 0.11

20,987 Moody's Corp ..................... 2,272 1.50

2,800 Total System Services Inc ... 132 0.09


1,152


Machines Corp .................... 183 0.12


45,771 Ally Financial Inc ............... 891 0.59

330 BlackRock Inc .................... 120 0.08

4,200 CBOE Holdings Inc ............ 272 0.18

26,451 CIT Group Inc .................... 960 0.63

1,128 CME Group Inc .................. 118 0.08

16,460 Mastercard Inc .................... 1,675 1.11

2,400 Nasdaq Inc .......................... 162 0.11

1,156

TD Ameritrade Holding

Corp .................................... 41 0.03

Electric Utilities

1,057 Alliant Energy Corp ............ 40 0.03

2,300

American Electric Power Co

Inc ....................................... 148 0.10

3,700 CMS Energy Corp .............. 155 0.10

6,600 Consolidated Edison Inc ..... 497 0.33

2,700 Duke Energy Corp .............. 216 0.14

4,637 Edison International ............ 335 0.22

2,400 Eversource Energy .............. 130 0.09

28,311 Exelon Corp ........................ 942 0.62

4,500

Hawaiian Electric Industries

Inc ....................................... 134 0.09

2,600 ITC Holdings Corp ............. 121 0.08

2,003 NextEra Energy Inc ............ 245 0.16

2,224 Pinnacle West Capital Corp 169 0.11

25,247 PPL Corp ............................ 873 0.58

955

Public Service Enterprise

Group Inc ............................ 40 0.03

2,600 SCANA Corp ...................... 188 0.12

10,500 Southern Co ........................ 539 0.36

5,829 WEC Energy Group Inc ...... 349 0.23

4,158 Westar Energy Inc .............. 236 0.16

5,700 Xcel Energy Inc .................. 234 0.15


2,524 Emerson Electric Co ........... 138 0.09

255 Hubbell Inc ......................... 27 0.02

2,456

Mettler-Toledo International

Inc ....................................... 1,031 0.68


4,600 Republic Services Inc ......... 232 0.15




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

1,653 Waste Management Inc ....... 105 0.07

Food Products

5,300 Campbell Soup Co .............. 290 0.19

16,718 General Mills Inc ................. 1,068 0.71

1,900 Hershey Co .......................... 182 0.12

6,600 Hormel Foods Corp ............. 250 0.16

554 JM Smucker Co ................... 75 0.05

2,656 Kellogg Co .......................... 206 0.14

4,541 Sysco Corp .......................... 223 0.15

1,700 Tyson Foods Inc .................. 127 0.08

Gas Utilities

2,400 Atmos Energy Corp ............. 179 0.12


2,847 Abbott Laboratories ............. 120 0.08

12,055 Becton Dickinson and Co .... 2,167 1.43

300 Intuitive Surgical Inc ........... 217 0.14

4,300 ResMed Inc ......................... 279 0.19

3,853 Stryker Corp ........................ 449 0.30

1,300 Teleflex Inc ......................... 218 0.14

9,664 Varian Medical Systems Inc 962 0.64


1,800 Aetna Inc ............................. 208 0.14

1,300 Anthem Inc .......................... 163 0.11

2,000 Cigna Corp .......................... 261 0.17

1,600 UnitedHealth Group Inc ...... 224 0.15

Home Builders

100 NVR Inc .............................. 164 0.11

Home Furnishings

616 Leggett & Platt Inc .............. 28 0.02


279 Polaris Industries Inc ........... 22 0.01

Household Products

2,390 Clorox Co ............................ 299 0.20

1,385 Kimberly-Clark Corp .......... 175 0.11

Insurance

2,384 Aflac Inc .............................. 171 0.11

438

American Financial Group

Inc ....................................... 33 0.02

816 Arthur J Gallagher & Co ..... 42 0.03

885

Cincinnati Financial

Corp ..................................... 67 0.05

256 Erie Indemnity Co ............... 26 0.02

200 Markel Corp ........................ 186 0.12

315 Mercury General Corp ........ 17 0.01

3,226 ProAssurance Corp .............. 169 0.11

3,440 Progressive Corp ................. 108 0.07

1,520 Travelers Cos Inc ................ 174 0.12


2,172 Alphabet Inc (Class A) ........ 1,746 1.16

3,922 Symantec Corp .................... 98 0.06

Machinery

8,372 BWX Technologies Inc ....... 321 0.21

Number

of Shares

Fair Value

USD ‘000

Fund

%

984 Cummins Inc ....................... 126 0.08

14,583 Graco Inc ............................ 1,079 0.72

6,506 Middleby Corp .................... 804 0.53

604 Rockwell Automation Inc ... 74 0.05


9,998 3M Co ................................. 1,762 1.17

Oil and Gas

1,839 Chevron Corp ..................... 189 0.12

13,274 Exxon Mobil Corp .............. 1,159 0.77

584 Helmerich & Payne Inc ....... 39 0.03

2,101 Occidental Petroleum Corp . 153 0.10

Personal Products

18,521 Colgate-Palmolive Co ......... 1,373 0.91

28,747 Procter & Gamble Co ......... 2,580 1.71

Pharmaceuticals

1,900 Cardinal Health Inc ............. 148 0.10

5,665 Eli Lilly & Co ..................... 455 0.30

39,096 Johnson & Johnson ............. 4,618 3.06

3,393 Merck & Co Inc .................. 212 0.14

65,321 Pfizer Inc ............................ 2,212 1.46


2,700

American Campus

Communities Inc ................. 137 0.09

15,803

American Capital Agency

Corp .................................... 309 0.21

3,200

Equity LifeStyle Properties

Inc ....................................... 247 0.16

328

Federal Realty Investment

Trust .................................... 50 0.03

1,300

Mid-America Apartment

Communities Inc ................. 122 0.08

1,800 Public Storage ..................... 402 0.27

6,000 Realty Income Corp ............ 402 0.27

479 Regency Centers Corp ........ 37 0.02

75,736

Two Harbors Investment

Corp .................................... 646 0.43

Retail Trade

2,066 AutoZone Inc ...................... 1,587 1.05

1,297 Coach Inc ............................ 47 0.03

2,400 Dollar General Corp ........... 168 0.11

3,000 Foot Locker Inc .................. 203 0.13

680 Genuine Parts Co ................ 68 0.05

1,771 Home Depot Inc .................. 228 0.15

2,686 McDonald's Corp ................ 310 0.21

500 O'Reilly Automotive Inc ..... 140 0.09

2,100 Target Corp ......................... 144 0.10

509 Tiffany & Co ...................... 37 0.02

20,258 TJX Cos Inc ........................ 1,515 1.00

16,253 Tractor Supply Co ............... 1,095 0.73

1,000

Ulta Salon Cosmetics &

Fragrance Inc ...................... 238 0.16

2,511 Wal-Mart Stores Inc ........... 181 0.12


2,059 Analog Devices Inc ............. 133 0.09




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

6,141 Intel Corp ............................ 232 0.15

16,166 Linear Technology Corp ..... 958 0.63

1,315

Maxim Integrated Products

Inc ....................................... 53 0.04

1,062 Microchip Technology Inc .. 66 0.04

2,686 Qualcomm Inc ..................... 184 0.12

2,263 Texas Instruments Inc ......... 159 0.11

1,182 Xilinx Inc ............................ 64 0.04

Software

1,696 CA Inc ................................. 56 0.03

1,200

Jack Henry & Associates

Inc ....................................... 103 0.07

27,235 Microsoft Corp .................... 1,569 1.04

15,825 MSCI Inc ............................. 1,328 0.88

88,806 Oracle Corp ......................... 3,488 2.31

Telecommunications

3,223 Cisco Systems Inc ............... 102 0.07

Textile and Apparel

21,152 NIKE Inc ............................. 1,114 0.73

3,639 UniFirst Corp ...................... 480 0.32

Transport

4,062

CH Robinson Worldwide

Inc ....................................... 286 0.19

1,800 Landstar System Inc ............ 123 0.08


Number

of Shares

Fair Value

USD ‘000

Fund

%

1,405 Union Pacific Corp ............. 137 0.09

1,635 United Parcel Service Inc ... 179 0.12

Water Utilities

5,300

American Water Works Co

Inc ....................................... 397 0.26

4,500 Aqua America Inc ............... 137 0.09

77,662 51.41


Total Transferable

Securities ........................... 142,761 94.51


Ireland (4.24%)

6,349



Cash Fund II - Class R

Roll-Up Shares .................. 6,373 4.22

27



Fund - Class R

Roll-Up Shares .................. 30 0.02


Total Investments

excluding Financial


Open Futures Contracts ((0.01)%)

Notional

Amount

USD ‘000

Average

Cost Price

USD

Unrealised

Gain (Loss)

USD ‘000

Fund

%

1,541

1,711.91

18 of Mini MSCI Eafe



4,951

925.43

107 of Mini MSCI Emerging Markets



2,471

2,149.08

23 of S&P 500 E Mini Index Futures



(1,525)

(2,178.08)

14 of S&P 500 E Mini Index Futures



(3,032)

(13.18)

23 of Topix Index Futures



Unrealised gain on open futures contracts ...................................................................... 52 0.04

Unrealised loss on open futures contracts ....................................................................... (74) (0.05)

Net unrealised gain (loss) on open futures contracts ................................................. (22) (0.01)




30 September 2016




Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

06/10/2016 AUD 33 USD 25 - 0.00

06/10/2016 AUD 14 USD 11 - 0.00

06/10/2016 BRL 281 USD 87 (1) 0.00

06/10/2016 BRL 733 USD 227 (1) 0.00

06/10/2016 EUR 255 USD 287 - 0.00

27/10/2016 EUR 245 USD 275 1 0.00

06/10/2016 JPY 2,635 USD 26 1 0.00

06/10/2016 JPY 6,862 USD 66 1 0.00

06/10/2016 JPY 16,073 USD 158 - 0.00

27/10/2016 JPY 55,600 USD 548 2 0.00

21/12/2016 JPY 4,000 USD 39 - 0.00

21/12/2016 JPY 15,000 USD 148 (1) 0.00

06/10/2016 KRW 292,276 USD 267 (1) 0.00

06/10/2016 KRW 762,010 USD 695 (3) 0.00

06/10/2016 TWD 21,722 USD 694 (1) 0.00

06/10/2016 TWD 111 USD 4 - 0.00

06/10/2016 TWD 61 USD 2 - 0.00

06/10/2016 TWD 8,332 USD 266 - 0.00

06/10/2016 USD 424 AUD 564 (8) 0.00

06/10/2016 USD 550 AUD 733 (10) (0.01)

06/10/2016 USD 551 AUD 733 (10) (0.01)

06/10/2016 USD 85 BRL 281 (1) 0.00

06/10/2016 USD 222 BRL 731 (3) 0.00

06/10/2016 USD 1 BRL 2 - 0.00

08/11/2016 USD 225 BRL 733 1 0.00

08/11/2016 USD 86 BRL 281 1 0.00

06/10/2016 USD 490 CAD 641 2 0.00

06/10/2016 USD 637 CAD 834 2 0.00

06/10/2016 USD 637 CAD 834 2 0.00

06/10/2016 USD 30 CAD 40 - 0.00

06/10/2016 USD 11 CAD 14 - 0.00

06/10/2016 USD 660 CHF 648 (9) (0.01)

06/10/2016 USD 860 CHF 844 (11) (0.01)

06/10/2016 USD 859 CHF 844 (12) (0.01)

06/10/2016 USD 23 CHF 23 - 0.00

06/10/2016 USD 8 CHF 8 - 0.00

06/10/2016 USD 1,531 EUR 1,373 (12) (0.01)

06/10/2016 USD 1,995 EUR 1,790 (16) (0.01)

06/10/2016 USD 1,996 EUR 1,790 (16) (0.01)

06/10/2016 USD 10 EUR 9 - 0.00

06/10/2016 USD 3 EUR 3 - 0.00

06/10/2016 USD 286 EUR 255 (1) 0.00

27/10/2016 USD 2,165 EUR 1,923 2 0.00

10/11/2016 USD 287 EUR 255 - 0.00

06/10/2016 USD 1,040 GBP 791 13 0.01

06/10/2016 USD 1,354 GBP 1,031 15 0.01

06/10/2016 USD 1,355 GBP 1,031 16 0.01

06/10/2016 USD 24 GBP 18 - 0.00




30 September 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

06/10/2016 USD 62 GBP 47 1 0.00

06/10/2016 USD 316 HKD 2,449 - 0.00

06/10/2016 USD 411 HKD 3,186 - 0.00

06/10/2016 USD 411 HKD 3,186 - 0.00

06/10/2016 USD 4 HKD 31 - 0.00

06/10/2016 USD 12 HKD 96 - 0.00

06/10/2016 USD 699 JPY 72,109 (13) (0.01)

06/10/2016 USD 911 JPY 93,997 (17) (0.01)

06/10/2016 USD 912 JPY 93,997 (17) (0.01)

06/10/2016 USD 156 JPY 16,073 (3) 0.00

27/10/2016 USD 73 JPY 7,300 1 0.00

27/10/2016 USD 2,253 JPY 226,720 12 0.01

27/10/2016 USD 655 JPY 65,800 5 0.01

10/11/2016 USD 158 JPY 16,073 (1) 0.00

21/12/2016 USD 2,912 JPY 295,000 (11) (0.01)

06/10/2016 USD 253 KRW 284,291 (5) 0.00

06/10/2016 USD 659 KRW 739,529 (13) (0.01)

06/10/2016 USD 7 KRW 7,985 - 0.00

06/10/2016 USD 20 KRW 22,481 - 0.00

08/11/2016 USD 267 KRW 292,276 1 0.00

08/11/2016 USD 695 KRW 762,010 3 0.01

06/10/2016 USD 207 SEK 1,769 2 0.00

06/10/2016 USD 270 SEK 2,301 1 0.00

06/10/2016 USD 270 SEK 2,301 1 0.00

06/10/2016 USD 5 SEK 41 - 0.00

06/10/2016 USD 14 SEK 117 - 0.00

06/10/2016 USD 244 SGD 333 - 0.00

06/10/2016 USD 318 SGD 434 - 0.00

06/10/2016 USD 318 SGD 434 - 0.00

06/10/2016 USD 4 SGD 5 - 0.00

06/10/2016 USD 1 SGD 1 - 0.00

06/10/2016 USD 690 TWD 21,833 (6) 0.00

06/10/2016 USD 265 TWD 8,393 (2) 0.00

08/11/2016 USD 267 TWD 8,332 1 0.00

08/11/2016 USD 695 TWD 21,722 2 0.00

06/10/2016 USD 103 ZAR 1,507 (6) 0.00

06/10/2016 USD 134 ZAR 1,960 (8) (0.01)

06/10/2016 USD 134 ZAR 1,960 (8) (0.01)

06/10/2016 ZAR 26 USD 2 - 0.00

06/10/2016 ZAR 60 USD 4 - 0.00


Unrealised loss on open forward foreign currency exchange contracts ................................ (227) (0.15)

Net unrealised gain (loss) on open forward foreign currency exchange contracts ............... (138) (0.09)

Total Financial Derivative Instruments ............................................................................ (160) (0.10)




30 September 2016



Fair Value

USD ‘000

Fund

%


(98.85%) ....................................................................................................................................................... 149,305 98.85


Loss ((0.20)%) ............................................................................................................................................. (301) (0.20)


(98.65%) ....................................................................................................................................................... 149,004 98.65

Other Net Assets (1.35%) ........................................................................................................................ 2,046 1.35

Net Assets .................................................................................................................................................. 151,050 100.00

Abbreviation used:



% of

gross assets

Transferable securities admitted to an official stock exchange listing....................................................................... 93.97


Exchange traded financial derivative instruments .................................................................................................... 0.03

Over the counter financial derivative instruments .................................................................................................... 0.06

Other assets ............................................................................................................................................................... 1.72

100.00

The broker for the open futures contracts is Merrill Lynch.


Bank of America

Bank of Montreal

Brown Brothers Harriman



State Street Bank





Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets



Transferable securities ............................................................... 142,761 - - 142,761




contracts ......................................................................................... - 89 - 89

Total assets ...................................................................................... 142,813 6,492 - 149,305




30 September 2016



Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Liabilities




contracts ......................................................................................... - (227) - (227)


As at 31 March 2016

Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets







contracts ......................................................................................... - 143 - 143

Total assets ...................................................................................... 127,099 5,886 - 132,985

Liabilities




contracts ......................................................................................... - (989) - (989)

Total liabilities ................................................................................ (77) (989) - (1,066)





September 2016.





Acquisition Cost


Disposal Proceeds

USD ‘000




Sanofi SA 1,163 Air Liquide SA (857)

Exxon Mobil Corp 899 Citizens Financial Group Inc (792)

Lloyds Banking Group Plc 847 Zions Bancorporation (662)

Cie Financiere Richemont SA 814 Tesco Plc (478)

Wells Fargo & Co 654 Paddy Power Betfair Plc (454)

Johnson & Johnson 608 Sysco Corp (445)

Oracle Corp 562 Moody's Corp (424)

Engie SA 491 PPL Corp (419)

Keyence Corp 459 Constellation Software Inc (411)

Tractor Supply Co 444 Keyence Corp (404)

Unilever NV 437 Lectra (395)

UniFirst Corp 407 Fifth Third Bancorp (391)

AutoZone Inc 386 Cenovus Energy Inc (388)

Diageo Plc 379 Amorepacific Corp (345)

General Mills Inc 362 Australia & New Zealand Banking

Svenska Handelsbanken AB 344 Group Ltd (328)

Novartis AG 344 AutoZone Inc (314)

Terumo Corp 332 Lupin Ltd (304)

Royal Bank of Scotland Group Plc 326 Next Plc (296)

UBM Plc (287)



Balance Sheet



Russell Pan European Equity Fund 125

30 September 2016

(Unaudited)

EUR ‘000

31 March 2016

(Audited)

EUR ‘000

Assets


Cash at bank (Note 2) ....................................................................................................... 1,946 6,128


(Note 2) ............................................................................................................................ 6,100 2,590

Debtors:

Receivable for investments sold .................................................................................... 527 1,114


Dividends receivable ..................................................................................................... 1,050 1,600

Prepayments and other debtors ...................................................................................... 17 17

523,103 524,920

Liabilities

Financial liabilities at fair value through profit or loss .................................................... (227) (481)



(Note 2) ......................................................................................................................... (1,114) -

Payable for investments purchased ............................................................................... (647) (1,140)

Payable on fund shares redeemed ................................................................................. (45) (310)




Administration fees payable ........................................................................................... (11) (21)


Other fees payable ................................................................................................................. (2) (4)

(2,571) (2,486)







126 Russell Pan European Equity Fund

Six months ended

30 September 2016

(Unaudited)

EUR ‘000

Six months ended

30 September 2015

(Unaudited)

EUR ‘000

Income

Dividends ...................................................................................................................... 10,948 9,812



Expenses





Audit fees ...................................................................................................................... (8) (8)


Other fees ...................................................................................................................... (16) (44)



Finance costs



Taxation





Account.







Six months ended

30 September 2016

(Unaudited)

EUR ‘000

Six months ended

30 September 2015

(Unaudited)

EUR ‘000



Share transactions












30 September 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%



Belgium (2.44%)

Banks

41,487 KBC Group NV ................... 2,150 0.41

Beverages

40,660


SA/NV ................................. 4,741 0.91

Biotechnology

73,070 Ablynx NV .......................... 818 0.16

Distributors

37,834 D'ieteren SA/NV ................. 1,568 0.30


640 Barco NV ............................ 45 0.01


11,040 Ion Beam Applications ........ 499 0.10

Household Products

15,267 Ontex Group NV ................. 431 0.08

Pharmaceuticals

26,423 UCB SA .............................. 1,819 0.35

Telecommunications

13,473 Proximus SADP .................. 358 0.07

Transport

10,361 bpost SA .............................. 250 0.05

12,679 2.44

Bermuda (0.01%)


48,638 Archer Ltd ........................... 26 0.01

Cyprus (0.05%)

Real Estate

54,272

Aroundtown Property

Holdings Plc ........................ 245 0.05

Denmark (1.76%)

Banks

67,815 Danske Bank A/S ................ 1,761 0.34

1,390 Jyske Bank A/S ................... 58 0.01

Beverages

5,040 Carlsberg A/S ...................... 428 0.08

2,680 Royal Unibrew A/S ............. 118 0.02

Biotechnology

13,420 Bavarian Nordic A/S ........... 451 0.09


1,914 Schouw & Co AB ................ 111 0.02

Pharmaceuticals

99,308 Novo Nordisk A/S ............... 3,673 0.71

Retail Trade

12,251 Pandora A/S ........................ 1,318 0.25

Telecommunications

8,360 GN Store Nord A/S ............. 160 0.03

Number

of Shares

Fair Value

EUR ‘000

Fund

%

Transport

836 AP Moeller - Maersk A/S ... 1,091 0.21

9,169 1.76

Finland (1.24%)

Machinery

56,301 Kone OYJ ........................... 2,543 0.49


36,997 UPM-Kymmene OYJ ......... 696 0.13

Pharmaceuticals

10,779 Orion OYJ .......................... 378 0.07

Telecommunications

12,427 Elisa OYJ ............................ 408 0.08

469,984 Nokia OYJ .......................... 2,425 0.47

6,450 1.24

France (15.80%)

Advertising

47,892 Publicis Groupe SA ............ 3,224 0.62


1,517 Dassault Aviation SA ......... 1,498 0.29

16,650 Safran SA ............................ 1,066 0.20

14,500 Thales SA ........................... 1,189 0.23

Auto Components

1,390

Cie Generale des

Etablissements Michelin ..... 137 0.03

55,542 Faurecia .............................. 1,938 0.37

52,271 Valeo SA ............................ 2,714 0.52

Automobiles

96,920 Peugeot SA ......................... 1,318 0.25

43,792 Renault SA .......................... 3,203 0.62

Banks

85,040 BNP Paribas SA .................. 3,892 0.75

130,526 Credit Agricole SA ............. 1,146 0.22

37,880 Societe Generale SA ........... 1,166 0.22

Biotechnology

9,540 Cellectis SA ........................ 204 0.04

70,755 Innate Pharma SA ............... 779 0.15

Building Products

72,408 Cie de Saint-Gobain ............ 2,786 0.54

Chemicals

1,550 Arkema SA ......................... 128 0.02


46,078 Bureau Veritas SA .............. 880 0.17

20,428 Edenred ............................... 425 0.08

55,230 Europcar Groupe SA ........... 428 0.08


2,630 Atos SE ............................... 252 0.05

10,139 Capgemini SA ..................... 884 0.17

4,908 Ingenico Group SA ............. 382 0.07


75,950 Bouygues SA ...................... 2,240 0.43




30 September 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%

13,690 Vinci SA .............................. 933 0.18


90,262 Legrand SA ......................... 4,737 0.91

96,120

Schneider Electric

SE ........................................ 5,965 1.15

Food Products

840 Danone SA .......................... 55 0.01

23,526 Sodexo SA ........................... 2,494 0.48


18,622

Essilor International

SA ....................................... 2,138 0.41


8,063 BioMerieux ......................... 1,070 0.21

23,674 Korian SA ........................... 678 0.13

18,151 Orpea ................................... 1,432 0.27

Home Furnishings

13,120 SEB SA ............................... 1,648 0.32

Household Products

6,352 Societe BIC SA ................... 836 0.16

Insurance

84,545 AXA SA .............................. 1,601 0.31


4,033 Iliad SA ............................... 753 0.14

Media

63,380 Vivendi SA .......................... 1,138 0.22

Metals and Mining

550,473 Vallourec SA ....................... 2,196 0.42

Oil and Gas

156,882 Total SA .............................. 6,616 1.27


13,469 Technip SA ......................... 736 0.14

Other Finance

15,123 Eurazeo SA ......................... 781 0.15

Personal Products

15,275 L'Oreal SA ........................... 2,568 0.49

Pharmaceuticals

53,059 Sanofi .................................. 3,589 0.69


38,768 ANF Immobilier .................. 812 0.16

5,415

Unibail-Rodamco SE

(France listed) ...................... 1,300 0.25

680

Unibail-Rodamco SE

(Netherlands listed) ............. 163 0.03

Software

26,037 Worldline ............................ 702 0.14

Telecommunications

146,675 Orange SA ........................... 2,043 0.39

Textile and Apparel

15,000

Christian Dior

SE ........................................ 2,393 0.46

6,501

LVMH Moet Hennessy

Louis Vuitton SE ................. 987 0.19

82,243 15.80

Number

of Shares

Fair Value

EUR ‘000

Fund

%

Germany (13.30%)

Auto Components

15,233 Continental AG ................... 2,851 0.55

Banks

169,722 Commerzbank AG .............. 974 0.19

Building Products

14,700 HeidelbergCement AG ....... 1,236 0.24

Chemicals

45,680 BASF SE ............................ 3,477 0.67

35,007 Covestro AG ....................... 1,842 0.35

39,727 Evonik Industries AG ......... 1,196 0.23

6,368 Linde AG ............................ 963 0.19


49,329 Wirecard AG ....................... 2,281 0.44


23,626

Fraport AG Frankfurt

Airport Services Worldwide 1,150 0.22


5,313 Gerresheimer AG ................ 402 0.08


46,123 Deutsche Boerse AG ........... 3,328 0.64

2,360

Wuestenrot &

Wuerttembergische AG ...... 42 0.01


20,542 OSRAM Licht AG .............. 1,074 0.20


10,101 Nordex SE .......................... 273 0.05

Food Products

3,780 Suedzucker AG ................... 93 0.02


65,794

Fresenius SE & Co

KGaA .................................. 4,672 0.90

5,700 Rhoen Klinikum AG ........... 154 0.03

Insurance

9,356 Allianz SE ........................... 1,236 0.24

4,917 Hannover Rueck SE ............ 469 0.09

21,052

Muenchener

Rueckversicherungs-

Gesellschaft AG in

Muenchen ........................... 3,495 0.67

30,405 Talanx AG .......................... 825 0.16

Iron and Steel

106,875 Salzgitter AG ...................... 3,117 0.60

Media

32,324 Axel Springer SE ................ 1,473 0.28

54,197

ProSiebenSat.1 Media

SE ....................................... 2,066 0.40

Metals and Mining

12,125 Aurubis AG ......................... 605 0.11


38,455 Siemens AG ........................ 4,007 0.77

Pharmaceuticals

85,734 Bayer AG ............................ 7,667 1.47




30 September 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%

Real Estate

186,500 TAG Immobilien AG .......... 2,414 0.46

Retail Trade

1,600 Zalando SE .......................... 59 0.01

Software

62,525 SAP SE ................................ 5,060 0.97

16,631 Software AG ....................... 627 0.12

Telecommunications

182,765 Deutsche Telekom AG ........ 2,727 0.52

79,558

Telefonica Deutschland

Holding AG ......................... 285 0.06

Textile and Apparel

33,826 Adidas AG ........................... 5,226 1.00

Transport

67,354 Deutsche Post AG ............... 1,874 0.36

69,240 13.30


Real Estate

716,882 Sirius Real Estate Ltd .......... 380 0.07

Hungary (0.18%)

Banks

39,800 OTP Bank Plc ...................... 927 0.18

Ireland (1.60%)


54,975 Seagate Technology Plc ...... 1,886 0.36

Entertainment

9,533 Paddy Power Betfair Plc ...... 960 0.19

Food Products

28,240 Kerry Group Plc .................. 2,094 0.40

Insurance

10,588 Willis Towers Watson Plc ... 1,251 0.24

Lodging

148,552 Dalata Hotel Group Plc ....... 609 0.12

Retail Trade

265,625 Grafton Group Plc ............... 1,529 0.29

8,329 1.60

Italy (3.64%)

Banks

442,386

Banca Monte dei Paschi di

Siena SpA ............................ 82 0.01

1,072,540 Intesa Sanpaolo SpA ........... 2,117 0.41

257,640 UniCredit SpA ..................... 534 0.10


4,757 ASTM SpA ......................... 46 0.01

Electric Utilities

599,900 A2A SpA ............................. 754 0.14

1,114,800 Enel SpA ............................. 4,424 0.85


15,470 Prysmian SpA ...................... 361 0.07

Number

of Shares

Fair Value

EUR ‘000

Fund

%

Gas Utilities

154,438 Snam SpA ........................... 762 0.15


58,230

Yoox Net-A-Porter Group

SpA ..................................... 1,605 0.31

Machinery

8,025

Danieli & C Officine

Meccaniche SpA ................. 138 0.03

Media

455,194 Mediaset SpA ..................... 1,272 0.24

Oil and Gas

260,615 Eni SpA .............................. 3,341 0.64


2,140,100 Beni Stabili SpA SIIQ ........ 1,136 0.22

Retail Trade

8,900 OVS SpA ............................ 46 0.01

Telecommunications

2,127,763 Telecom Italia SpA ............. 1,572 0.30

Textile and Apparel

51,220 Moncler SpA ....................... 778 0.15

18,968 3.64


Advertising

158,200 WPP Plc .............................. 3,317 0.63


20,200 Experian Plc ........................ 361 0.07

Metals and Mining

96,400 Centamin Plc ....................... 165 0.03

161,000 Glencore Plc ....................... 395 0.08


6,400 Petrofac Ltd ........................ 66 0.01

Pharmaceuticals

61,931 Shire Plc .............................. 3,578 0.69

7,882 1.51

Luxembourg (0.64%)


3,534 Eurofins Scientific SE ......... 1,429 0.28

Iron and Steel

6,890 APERAM SA ..................... 277 0.05

Media

4,310 RTL Group SA ................... 319 0.06

Metals and Mining

39,861 Tenaris SA .......................... 505 0.10


28,200 Subsea 7 SA ........................ 269 0.05

Telecommunications

24,754 SES SA ............................... 541 0.10

3,340 0.64

Netherlands (7.79%)


18,372 Airbus Group SE ................. 989 0.19




30 September 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%

Automobiles

89,000

Fiat Chrysler Automobiles

NV ....................................... 503 0.10

Banks

882,298 ING Groep NV .................... 9,696 1.86

Beverages

2,970 Heineken NV ....................... 233 0.05

Chemicals

12,036 Koninklijke DSM NV ......... 724 0.14


14,240 RELX NV ........................... 228 0.04


8,846 Boskalis Westminster .......... 280 0.05


141,808

Koninklijke Philips

NV ....................................... 3,741 0.72

28,567 Philips Lighting ................... 676 0.13

Food Products

163,831


NV ....................................... 3,324 0.64

Insurance

176,513 Aegon NV ........................... 602 0.12

654,181 Delta Lloyd NV ................... 2,674 0.51

71,383 NN Group NV ..................... 1,952 0.37

Media

52,070 Wolters Kluwer NV ............ 1,984 0.38

Personal Products

112,167 Unilever NV ........................ 4,607 0.89

Retail Trade

29,644 GrandVision NV ................. 734 0.14


9,520 ASM International NV ........ 347 0.07

35,193 ASML Holding NV ............. 3,438 0.66

432,882 STMicroelectronics NV ...... 3,145 0.60

Telecommunications

231,466 Koninklijke KPN NV .......... 684 0.13

40,561 7.79

Norway (2.75%)

Banks

305,812 DNB ASA ........................... 3,565 0.68

Chemicals

15,256 Yara International ASA ....... 451 0.09

Food Products

40,891 Austevoll Seafood ASA ...... 306 0.06

120,910 Grieg Seafood ASA ............. 858 0.16

31,694 Marine Harvest ASA ........... 505 0.10

88,648 Orkla ASA ........................... 815 0.15

7,050 Salmar ASA ........................ 192 0.04

Home Furnishings

70,029 Ekornes ASA ....................... 799 0.15

Metals and Mining

465,210 Norsk Hydro ASA ............... 1,784 0.34

Number

of Shares

Fair Value

EUR ‘000

Fund

%

Oil and Gas

883,147 North Energy ASA ............. 224 0.04

133,802 Statoil ASA ......................... 1,995 0.39

Telecommunications

186,306 Telenor ASA ....................... 2,844 0.55

14,338 2.75

Russia (0.57%)

Banks

5,663


ADR (UK Listed) ............... 47 0.01

196,252


ADR (US Listed) ................ 1,645 0.32

Oil and Gas

337,900 Gazprom PJSC ADR .......... 1,266 0.24

2,958 0.57

Spain (6.34%)

Auto Components

9,830 CIE Automotive .................. 172 0.03

Banks

1,651,045 Banco Popular Espanol SA . 1,818 0.35

275,174 CaixaBank SA .................... 619 0.12


26,700

Prosegur Cia de Seguridad

SA ....................................... 166 0.03


196,935 Indra Sistemas SA ............... 2,350 0.45


47,911

ACS Actividades de

Construccion y Servicios

SA ....................................... 1,289 0.25

16,847 Aena SA .............................. 2,212 0.42

46,004 Ferrovial SA ....................... 872 0.17

700,664 Sacyr SA ............................. 1,316 0.25

Electric Utilities

59,241 Endesa SA .......................... 1,130 0.22

303,307 Iberdrola SA ....................... 1,836 0.35


188,082

Gamesa Corp Tecnologica

SA ....................................... 4,009 0.77

Insurance

127,338 Mapfre SA .......................... 317 0.06

Lodging

242,850 NH Hotel Group SA ........... 986 0.19

Machinery

23,951 Zardoya Otis SA ................. 205 0.04

Media

127,869

Mediaset Espana

Comunicacion SA ............... 1,349 0.26

Oil and Gas

97,740 Repsol SA ........................... 1,180 0.23


75,430

Axiare Patrimonio SOCIMI

SA ....................................... 889 0.17




30 September 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%

Retail Trade

92,538

Industria de Diseno Textil

SA ....................................... 3,054 0.59

76,746 Telepizza Group .................. 310 0.06

Software

114,505 Amadeus IT Group SA ........ 5,092 0.98

Telecommunications

200,700 Telefonica SA ...................... 1,809 0.35

32,980 6.34

Sweden (3.11%)

Agriculture

39,971 Swedish Match AB ............. 1,307 0.25

Banks

152,347 Nordea Bank AB ................. 1,347 0.26

167,692 Swedbank AB ...................... 3,511 0.67


106,177 Assa Abloy AB ................... 1,922 0.37


87,200 Sandvik AB ......................... 855 0.16

Home Furnishings

41,683 Electrolux AB ...................... 931 0.18

Machinery

84,268 Atlas Copco AB .................. 2,261 0.44

21,350 Atlas Copco AB .................. 520 0.10

Media

37,440

Modern Times Group MTG

AB ....................................... 854 0.16

Metals and Mining

24,600 Granges AB ......................... 224 0.04

Real Estate

32,002 Wallenstam AB ................... 241 0.05

Retail Trade

49,031

Hennes & Mauritz

AB ....................................... 1,232 0.24

Telecommunications

251,125 Telia Co AB ........................ 1,002 0.19

16,207 3.11

Switzerland (8.91%)

Auto Components

500 Georg Fischer AG ............... 390 0.08

Banks

151,002

Credit Suisse Group

AG ....................................... 1,762 0.34

207,788 UBS Group AG ................... 2,523 0.48

Beverages

6,090 Coca-Cola HBC AG ............ 126 0.02

Building Products

23,158 LafargeHolcim Ltd .............. 1,116 0.21

Chemicals

388 Givaudan SA ....................... 704 0.14

5,659 Lonza Group AG ................. 964 0.18

3,035 Syngenta AG ....................... 1,184 0.23

Number

of Shares

Fair Value

EUR ‘000

Fund

%


267 SGS SA ............................... 533 0.10


59,857 GAM Holding AG .............. 510 0.10

Food Products

160,458 Nestle SA ............................ 11,275 2.17

Insurance

524 Helvetia Holding AG .......... 236 0.05

10,225

Swiss Life Holding

AG ...................................... 2,361 0.45

3,330 Swiss Re AG ....................... 268 0.05

Machinery

60,446 ABB Ltd ............................. 1,210 0.23

1,682 Bobst Group SA .................. 84 0.02

Personal Products

10,537 Oriflame Holding AG ......... 344 0.07

Pharmaceuticals

16,644 Actelion Ltd ........................ 2,570 0.49

38,290 Novartis AG ........................ 2,685 0.52

45,028 Roche Holding AG ............. 9,961 1.91

Retail Trade

40,817


SA ....................................... 2,218 0.43

12,827 Dufry AG ............................ 1,432 0.27

Telecommunications

1,179 Swisscom AG ..................... 500 0.10

Transport

3,192

Kuehne & Nagel


8,020

Panalpina Welttransport

Holding AG ........................ 996 0.19

46,365 8.91



79,176 Meggitt Plc ......................... 413 0.08

130,810

Rolls-Royce Holdings

Plc ....................................... 1,089 0.21

Agriculture

97,215


Plc ....................................... 5,540 1.06

147,874

Imperial Tobacco Group

Plc ....................................... 6,792 1.31

Airlines

27,559 Easy Jet Plc ......................... 321 0.06

Banks

671,100 Barclays Plc ........................ 1,302 0.25

578,587 HSBC Holdings Plc ............ 3,870 0.75

2,907,993

Lloyds Banking Group

Plc ....................................... 1,834 0.35

764,711


Group Plc ............................ 1,580 0.30

146,850 Standard Chartered Plc ....... 1,067 0.21

Beverages

93,765 Diageo Plc .......................... 2,396 0.46




30 September 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%

61,279 SABMiller Plc ..................... 3,184 0.61

Chemicals

8,610

Johnson Matthey

Plc ....................................... 328 0.06


20,300 QinetiQ Group Plc ............... 56 0.01

Distributors

43,800 Inchcape Plc ........................ 333 0.07

785,597 SIG Plc ................................ 1,056 0.20


10,590

IG Group Holdings

Plc ....................................... 107 0.02

57,406 Schroders Plc ....................... 1,789 0.34

591,409

Worldpay Group

Plc ....................................... 2,025 0.39

Electric Utilities

54,585 SSE Plc ................................ 989 0.19

Entertainment

601,750 Ladbrokes Plc ...................... 974 0.19

203,147

Merlin Entertainments

Plc ....................................... 1,032 0.20

91,660 William Hill Plc .................. 322 0.06

Food Products

76,631 Compass Group Plc ............. 1,324 0.25

903,750 Tesco Plc ............................. 1,911 0.37

Gas Utilities

240,100 Centrica Plc ......................... 633 0.12


61,551 Smith & Nephew Plc ........... 885 0.17

Home Builders

209,111

Barratt Developments

Plc ....................................... 1,195 0.23

12,800 Persimmon Plc .................... 269 0.05

791,735 Taylor Wimpey Plc ............. 1,410 0.27

Household Products

78,676

Reckitt Benckiser Group

Plc ....................................... 6,607 1.27

Insurance

18,460 Admiral Group Plc .............. 437 0.09

294,003 Aviva Plc ............................. 1,497 0.29

10,200

Direct Line Insurance Group

Plc ....................................... 43 0.01

207,473

RSA Insurance Group

Plc ....................................... 1,309 0.25

124,990 St James's Place Plc ............. 1,370 0.26


14,610 ASOS Plc ............................ 819 0.16

227,736

Auto Trader Group

Plc ....................................... 1,067 0.20

Iron and Steel

94,356 Evraz Plc ............................. 176 0.03

Media

53,789 Informa Plc .......................... 443 0.09

276,356 ITV Plc ................................ 598 0.11

Number

of Shares

Fair Value

EUR ‘000

Fund

%

176,209 Sky Plc ................................ 1,821 0.35

Metals and Mining

257,900 Antofagasta Plc ................... 1,562 0.30

119,691 BHP Billiton Plc ................. 1,608 0.31

97,490 Rio Tinto Plc ....................... 2,901 0.56


32,855 Smiths Group Plc ................ 556 0.11

Oil and Gas

396,061 BP Plc ................................. 2,060 0.40

412,000 Premier Oil Plc ................... 326 0.06

304,955

Royal Dutch Shell

Plc ....................................... 6,761 1.30

142,819

Royal Dutch Shell Plc (B

Shares) ................................ 3,297 0.63

148,031 Tullow Oil Plc .................... 433 0.08


134,875 AMEC Plc .......................... 891 0.17

Other Finance

336,100 3i Group Plc ........................ 2,527 0.49


31,254 Mondi Plc ........................... 586 0.11

Pharmaceuticals

38,779 AstraZeneca Plc .................. 2,243 0.43

419,369

GlaxoSmithKline

Plc ....................................... 7,964 1.53

224,700 Indivior Plc ......................... 796 0.15

Real Estate

83,187 Foxtons Group Plc .............. 96 0.02


41,380 Derwent London Plc ........... 1,244 0.24

106,584

Great Portland Estates

Plc ....................................... 780 0.15

121,008 Hammerson Plc ................... 821 0.16

57,220

Land Securities Group

Plc ....................................... 700 0.13

Retail Trade

33,690

JD Sports Fashion

Plc ....................................... 577 0.11

122,900 Kingfisher Plc ..................... 535 0.10

137,971 Marks & Spencer Group Plc 528 0.10

119,950 N Brown Group Plc ............ 263 0.05

10,484 Next Plc .............................. 579 0.11

74,126 Travis Perkins Plc ............... 1,323 0.26

Software

35,400 Sage Group Plc ................... 302 0.06

Telecommunications

532,417 BT Group Plc ...................... 2,394 0.46

44,220 Inmarsat Plc ........................ 360 0.07

2,842,699 Vodafone Group Plc ........... 7,286 1.40

Transport

47,200 Royal Mail Plc .................... 269 0.05

Water Utilities

40,380 Pennon Group Plc ............... 416 0.08




30 September 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%

51,716 United Utilities Group Plc ... 600 0.12

115,797 22.25



Germany (0.52%)

Automobiles

23,125 Volkswagen AG .................. 2,704 0.52

Italy (0.19%)

Machinery

85,499


Meccaniche SpA ................. 1,017 0.19

Total Preferred Stock ........ 3,721 0.71

Total Transferable

Securities ............................ 492,805 94.67

Number

of Shares

Fair Value

EUR ‘000

Fund

%


Ireland (3.91%)

196




Roll-Up Shares ................... 228 0.04

20,219




Shares ................................. 20,113 3.87


Total Investments

excluding Financial




Notional

Amount

‘000

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

804

446.91

9 of Amsterdam Index Future


Expiring October 2016 .............................................. 9 0.00

1,986

4,414.01

45 of CAC 40 Index Futures



1,833

10,476.50

7 of DAX Index Futures



6,368

2,989.64

213 of Euro Stoxx 50 Index Futures



6,778

7,701.92

88 of FTSE 100 Index Futures



496

16,534.17

6 of FTSE MIB Index Futures



709

8,866.75

8 of IBEX 35 Index Futures


Expiring October 2016 .............................................. (8) 0.00

1,030

147.11

70 of OMX 30 Index Futures



3,391

7,536.12

45 of Swiss Market Index Futures





Net unrealised gain (loss) on open futures contracts .................................................... 199 0.04




30 September 2016




Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

21/12/2016 CHF 2,0000 EUR 1,8344 4 0.00

21/12/2016 CHF 2,0000 EUR 1,8344 4 0.00

21/12/2016 CHF 2000 EUR 1844 - 0.00

21/12/2016 EUR 5499 CHF 6000 (2) 0.00

21/12/2016 EUR 1,2855 CHF 1,1000 16 0.00

21/12/2016 EUR 1677 SEK 1,6000 1 0.00

21/12/2016 GBP 3,3000 EUR 3,8844 (78) (0.01)

21/12/2016 GBP 3,3000 EUR 3,8822 (76) (0.01)

21/12/2016 GBP 4000 EUR 4644 (3) 0.00

21/12/2016 SEK 5,3500 EUR 5644 (8) 0.00

21/12/2016 SEK 5,3500 EUR 5644 (8) 0.00


Unrealised loss on open forward foreign currency exchange contracts ................................ (175) (0.02)

Net unrealised gain (loss) on open forward foreign currency exchange contracts ....... (150) (0.02)

Total Financial Derivative Instruments ............................................................................ 49 0.02

Fair Value

EUR ‘000

Fund

%


(98.63%) ....................................................................................................................................................... 513,422 98.63


Loss ((0.03)%) ............................................................................................................................................. (227) (0.03)


(98.60%) .................................................................................................................................................... 513,195 98.60

Other Net Assets (1.40%) ........................................................................................................................ 7,337 1.40

Net Assets .................................................................................................................................................. 520,532 100.00

Abbreviation used:

ADR- American Depository Receipt


% of

gross assets



Exchange traded financial derivative instruments .................................................................................................... 0.05

Other assets ............................................................................................................................................................... 1.85

100.00

The broker for the open futures contracts is Morgan Stanley.


Bank of America

BNP Paribas

HSBC Bank





30 September 2016







Level 1

EUR ‘000

Level 2

EUR ‘000

Level 3

EUR ‘000

Total

EUR ‘000

Assets







contracts ..................................................................................... - 25 - 25

Total assets ...................................................................................... 493,056 20,366 - 513,422

Liabilities




contracts ..................................................................................... - (175) - (175)


As at 31 March 2016

Level 1

EUR ‘000

Level 2

EUR ‘000

Level 3

EUR ‘000

Total

EUR ‘000

Assets



Transferable securities ............................................................... 486,760 - 1 486,761




contracts ..................................................................................... - 46 - 46

Total assets ...................................................................................... 486,830 26,564 1 513,395

Liabilities




contracts ..................................................................................... - (171) - (171)




Statement of Changes in the Composition of Portfolio


September 2016.





Acquisition Cost


Disposal Proceeds

EUR ‘000

Russell Investment Company plc Russell Investment Company plc

Russell Euro Liquidity Fund Russell Euro Liquidity Fund


Reckitt Benckiser Group Plc 3,049 Allianz SE (2,734)

Bayer AG 3,043 GlaxoSmithKline Plc (2,679)

Swiss Life Holding AG 2,832 Adidas AG (2,660)

Nestle SA 2,639 Royal Dutch Shell Plc (2,607)

GlaxoSmithKline Plc 2,572 Statoil ASA (2,557)

BT Group Plc 2,469 Deutsche Telekom AG (2,437)

Enel SpA 2,466 Eni SpA (2,394)

Pandora A/S 2,466 BNP Paribas SA (2,228)

Shire Plc 2,295 SAP SE (2,162)


The Sterling Liquidity Fund The Sterling Liquidity Fund


ING Groep NV 2,123 Imperial Brands Plc (2,043)

Telefonica SA 2,060 Roche Holding AG (1,998)

Muenchener Rueckversicherungs - UBS Group AG (1,975)

Gesellschaft AG in Muenchen 1,937 Sanofi (1,856)

Wolters Kluwer NV 1,921 Boliden AB (1,767)

STMicroelectronics NV 1,843 Muenchener Rueckversicherungs -

Covestro AG 1,771 Gesellschaft AG in Muenchen (1,724)

SAP SE 1,736 Koninklijke KPN NV (1,717)

Roche Holding AG 1,714 Total SA (1,684)

Eni SpA 1,712 BHP Billiton Plc (1,669)



Balance Sheet



138 Russell U.K. Equity Plus Fund

30 September 2016

(Unaudited)

GBP ‘000

31 March 2016

(Audited)

GBP ‘000

Assets

Financial assets at fair value through profit or loss ........................................................... 57,847 90,289

Cash at bank (Note 2) ........................................................................................................ 239 471


(Note 2) ............................................................................................................................. 347 624

Debtors:

Receivable for investments sold ..................................................................................... 296 -

Receivable on fund shares issued ................................................................................... 11 32

Dividends receivable ...................................................................................................... 138 497

58,878 91,913

Liabilities

Financial liabilities at fair value through profit or loss ..................................................... (25) -


Payable for investments purchased ................................................................................. (19) (21)

Payable on fund shares redeemed ................................................................................... (15) (20)

Distributions payable on income class shares ................................................................ (165) (252)

Management fees payable .............................................................................................. (45) (63)

Performance fees payable ............................................................................................... (107) (626)

Depositary fees payable .................................................................................................. - (1)

Sub-custodian fees payable ............................................................................................ (7) (1)

Administration fees payable ............................................................................................ (2) (4)

Audit fees payable .......................................................................................................... (4) (10)

(389) (998)







Russell U.K. Equity Plus Fund 139

Six months ended

30 September 2016

(Unaudited)

GBP ‘000

Six months ended

30 September 2015

(Unaudited)

GBP ‘000

Income

Dividends ....................................................................................................................... 1,329 1,804

Net gain (loss) on investment activities ............................................................................ 1,890 (4,884)


Expenses

Management fees (Note 3) ............................................................................................. (319) (423)

Performance fees (Note 3) .............................................................................................. 226 (267)

Depositary fees (Note 4) ................................................................................................. (4) (4)

Sub-custodian fees (Note 4) ........................................................................................... (27) (6)

Administration and transfer agency fees (Note 4) .......................................................... (24) (26)

Audit fees ....................................................................................................................... (5) (4)

Professional fees ............................................................................................................. (1) (11)

Other fees ....................................................................................................................... (2) (7)

Total operating expenses ............................................................................................... (156) (748)


Finance costs

Distributions (Note 6) .................................................................................................... (967) (1,035)


Taxation

Withholding tax (Note 7) ................................................................................................ (8) (2)



All amounts arose solely from continuing operations. There are no recognised gains and losses other than those dealt with in the Profit and Loss

Account.







Six months ended

30 September 2016

(Unaudited)

GBP ‘000

Six months ended

30 September 2015

(Unaudited)

GBP ‘000


shareholders resulting from operations .................................................................................................. 2,088 (4,865)

Share transactions

Reinvestment of deemed distributions on accumulation shares (Note 8) ....................... 492 724


transactions (Note 8) ...................................................................................................... (35,006) (5,735)


participating shareholders ....................................................................................................................... (32,426) (9,876)


Beginning of financial period ......................................................................................... 90,915 108,931

End of financial period ................................................................................................... 58,489 99,055




30 September 2016



Number

of Shares

Fair Value

GBP ‘000

Fund

%



Bermuda (0.77%)

Insurance

16,068 Hiscox Ltd ........................... 167 0.28

42,541

Lancashire Holdings

Ltd ....................................... 285 0.49

452 0.77


Insurance

4,131

Phoenix Group

Holdings .............................. 36 0.06

Germany (0.29%)


15,389 TUI AG ............................... 169 0.29

Ireland (1.12%)

Entertainment

1,900

Paddy Power Betfair

Plc ....................................... 165 0.28

Food Products

34,221 Greencore Group Plc ........... 115 0.20


18,562 UDG Healthcare Plc ............ 119 0.20


215,518 Hibernia REIT Plc ............... 255 0.44

654 1.12

Isle Of Man (2.38%)

Entertainment

61,426 GVC Holdings Plc ............... 456 0.78


81,200 Paysafe Group Plc ............... 362 0.62

Software

62,903 Playtech Plc ......................... 572 0.98

1,390 2.38

Israel (0.30%)


26,370 Plus500 Ltd ......................... 175 0.30


Advertising

11,527 WPP Plc .............................. 209 0.36


119,969 Cape Plc .............................. 250 0.42

15,499 UBM Plc ............................. 111 0.19

Distributors

29,000 Wolseley Plc ....................... 1,263 2.16

Metals and Mining

195,634 Centamin Plc ....................... 290 0.50

127,981 Glencore Plc ........................ 272 0.46

Number

of Shares

Fair Value

GBP ‘000

Fund

%

Pharmaceuticals

37,893 Shire Plc .............................. 1,894 3.24

4,289 7.33

Spain (0.37%)

Airlines

54,460

International Consolidated

Airlines Group SA .............. 217 0.37



26,963 Meggitt Plc ......................... 122 0.21

Agriculture

60,899


Plc ....................................... 3,002 5.13

12,518 Genus Plc ............................ 244 0.42

33,995 Imperial Brands Plc ............ 1,351 2.31

Airlines

55,144 Easy Jet Plc ......................... 555 0.95

Auto Components

46,196 GKN Plc ............................. 148 0.25

Banks

425,000 Barclays Plc ........................ 713 1.22

16,798 BGEO Group Plc ................ 488 0.83

51,548 HSBC Holdings Plc ............ 298 0.51

436,259 Lloyds Banking Group Plc . 238 0.41

96,663


Group Plc ............................ 173 0.30

26,340 Shawbrook Group Plc ......... 63 0.11

24,528 Standard Chartered Plc ....... 154 0.26

116,583

Virgin Money Holdings UK

Plc ....................................... 363 0.62

Beverages

12,502 Britvic Plc ........................... 75 0.13

21,236 Diageo Plc .......................... 469 0.80

Building Products

42,680 Forterra Plc ......................... 72 0.12

128,515 Ibstock Plc .......................... 208 0.36

36,373 Marshalls Plc ...................... 104 0.18

51,532 Polypipe Group Plc ............. 145 0.25

100,843 Tyman Plc ........................... 282 0.48

Chemicals

35,175 Filtrona Plc ......................... 171 0.29

16,000 Johnson Matthey Plc ........... 527 0.90

62,028 Synthomer Plc ..................... 229 0.39

4,476 Victrex Plc .......................... 70 0.12


24,667

Babcock International Group

Plc ....................................... 255 0.44

349,149 Hays Plc .............................. 453 0.77

283,984 Johnson Service Group Plc . 310 0.53

184,990 QinetiQ Group Plc .............. 438 0.75

117,000 RELX Plc ............................ 1,712 2.93




30 September 2016



Number

of Shares

Fair Value

GBP ‘000

Fund

%

21,101 RPS Group Plc .................... 37 0.06

66,692 Savills Plc ............................ 478 0.82

88,940 St Ives Plc ............................ 118 0.20

16,993 Staffline Group Plc .............. 147 0.25

3,811 WS Atkins Plc ..................... 61 0.10


39,977 BBA Aviation Plc ............... 100 0.17

91,765 Costain Group Plc ............... 330 0.56

19,940 Keller Group Plc ................. 175 0.30

19,661

Morgan Sindall Group

Plc ....................................... 145 0.25

284,199 Watkin Jones ....................... 344 0.59


13,692 RPC Group Plc .................... 131 0.22

Distributors

43,093 Inchcape Plc ........................ 284 0.49


191,090 Aldermore Group Plc .......... 320 0.55

22,179 Ashmore Group Plc ............. 78 0.13

21,070

Brewin Dolphin Holdings

Plc ....................................... 56 0.09

32,000

Hargreaves Lansdown

Plc ....................................... 407 0.70

21,974 ICAP Plc ............................. 102 0.17

73,980

International Personal

Finance Plc .......................... 192 0.33

69,783 Man Group Plc .................... 79 0.13

96,631 Numis Corp Plc ................... 212 0.36

61,280

Paragon Group of Cos

Plc ....................................... 192 0.33

4,946 PayPoint Plc ........................ 51 0.09

6,907 Provident Financial Plc ....... 209 0.36

16,835 Tullett Prebon Plc ................ 56 0.10

Electric Utilities

16,159 SSE Plc ................................ 253 0.43


24,328 Electrocomponents Plc ........ 83 0.14

8,776 Renishaw Plc ....................... 231 0.40

Entertainment

110,000

Merlin Entertainments

Plc ....................................... 484 0.83

31,601 William Hill Plc .................. 96 0.16

Food Products

115,000 Compass Group Plc ............. 1,719 2.94

Gas Utilities

92,590 Centrica Plc ......................... 211 0.36


22,622 Mitie Group Plc ................... 43 0.07

Home Builders

36,658 Bellway Plc ......................... 868 1.49

8,104

Berkeley Group Holdings

Plc ....................................... 209 0.36

51,014

Bovis Homes Group

Plc ....................................... 446 0.76

Number

of Shares

Fair Value

GBP ‘000

Fund

%

93,014

Crest Nicholson Holdings

Plc ....................................... 420 0.72

88,255 Redrow Plc ......................... 353 0.60

Home Furnishings

27,861

Howden Joinery Group

Plc ....................................... 120 0.21


141,238

Hollywood Bowl Group

Plc ....................................... 238 0.41

335,240

Thomas Cook Group

Plc ....................................... 232 0.39

Household Products

156,170 McBride Plc ........................ 293 0.50

18,000

Reckitt Benckiser Group

Plc ....................................... 1,308 2.24

Insurance

29,165 Admiral Group Plc .............. 598 1.02

164,271 Aviva Plc ............................ 724 1.24

22,904 Beazley Plc ......................... 89 0.15

110,133

Hastings Group Holdings

Plc ....................................... 255 0.44

135,704 JRP Group Plc .................... 182 0.31

55,975

Legal & General Group

Plc ....................................... 122 0.21

15,340 Novae Group Plc ................. 117 0.20

93,825 Old Mutual Plc .................... 190 0.32

23,805 Prudential Plc ...................... 325 0.56


125,000 Auto Trader Group Plc ....... 507 0.87

51,000 Just Eat Plc .......................... 273 0.47

25,519

Moneysupermarket.com

Group Plc ............................ 77 0.13

7,363 Rightmove Plc .................... 311 0.53

Lodging

20,480 Hostelworld Group Plc ....... 38 0.06

Media

18,803 Informa Plc ......................... 134 0.23

81,868 ITV Plc ............................... 153 0.26

18,837 Pearson Plc ......................... 142 0.24

181,194 Sky Plc ................................ 1,620 2.77

178,946 Trinity Mirror Plc ............... 163 0.28

Metals and Mining

49,042 Acacia Mining Plc .............. 244 0.42

31,874 Bodycote Plc ....................... 188 0.32

51,349 Rio Tinto Plc ....................... 1,322 2.26

34,595 Vedanta Resources Plc ........ 202 0.34


77,905

Photo-Me International

Plc ....................................... 121 0.21

50,491 Senior Plc ............................ 116 0.20

10,778 Smiths Group Plc ................ 158 0.27

Oil and Gas

234,613 BP Plc ................................. 1,056 1.81

105,000 Cairn Energy Plc ................. 197 0.34




30 September 2016



Number

of Shares

Fair Value

GBP ‘000

Fund

%

206,091 Ophir Energy Plc ................. 159 0.27

20,419

Royal Dutch Shell Plc

(A Shares) ........................... 391 0.67

75,253

Royal Dutch Shell Plc

(B Shares) ............................ 1,503 2.57

96,874 Soco International Plc ......... 131 0.22

Other Finance

175,372 John Laing Group Plc .......... 478 0.82

255,000 Melrose Industries Plc ......... 445 0.76


88,870 DS Smith Plc ....................... 342 0.59

9,488 Mondi Plc ............................ 154 0.26

Personal Products

11,603 Unilever Plc ......................... 424 0.72

Pharmaceuticals

24,340 AstraZeneca Plc .................. 1,218 2.08

19,468 CVS Group Plc .................... 172 0.30


Real Estate

126,000

Capital & Counties

Properties Plc ...................... 363 0.62

47,858 Helical Plc ........................... 129 0.22


185,923

LondonMetric Property

Plc ....................................... 297 0.51

66,265 Unite Group Plc ................... 420 0.72

Retail Trade

113,410 Conviviality ......................... 245 0.42

25,974 Dixons Carphone Plc ........... 96 0.16

14,863 Halfords Group Plc .............. 52 0.09

22,328 JD Sports Fashion Plc ......... 330 0.56

43,784

Marks & Spencer Group

Plc ....................................... 145 0.25

115,874 Mothercare Plc .................... 137 0.23

24,812 Next Plc ............................... 1,185 2.03

76,564

Sports Direct International

Plc ....................................... 220 0.38

17,396 SuperGroup Plc ................... 261 0.45


108,826

Imagination Technologies

Group Plc ............................ 269 0.46

Software

3,482 AVEVA Group Plc .............. 70 0.12

2,340 Fidessa Group Plc ............... 56 0.09

28,219

Micro Focus

International ........................ 620 1.06

67,955 Sage Group Plc .................... 502 0.86

Telecommunications

180,088 BT Group Plc ...................... 701 1.20

14,967 Inmarsat Plc ......................... 106 0.18

41,929 Kcom Group Plc .................. 49 0.08

17,727 Laird Plc .............................. 56 0.10

225,357 Sepura Plc ........................... 38 0.06

294,794 Vodafone Group Plc ............ 654 1.12

Number

of Shares

Fair Value

GBP ‘000

Fund

%

Toys, Games and Hobbies

49,109 Character Group Plc ........... 241 0.41

Transport

12,344 Go-Ahead Group Plc .......... 251 0.43

Water Utilities

13,052 Pennon Group Plc ............... 116 0.20

6,121 Severn Trent Plc ................. 153 0.26

15,980

United Utilities Group

Plc ....................................... 160 0.27

48,435 82.81


Metals and Mining

19,931 Gem Diamonds Ltd ............. 25 0.04



Italy (0.52%)

Machinery

29,709


Meccaniche SpA ................. 306 0.52

Total Preferred Stock ....... 306 0.52

Total Transferable

Securities ........................... 56,148 95.99


Ireland (2.58%)

1,498




Roll-Up Shares ................... 1,505 2.57

2




Shares ................................. 2 0.01

1,507 2.58


49,234

Marwyn Value Investors

Ltd ...................................... 70 0.12


Total Investments

excluding Financial





30 September 2016





Notional

Amount

GBP '000

Average

Cost Price

GBP

Unrealised

Gain (Loss)

GBP ‘000

Fund

%

4,130

6,660.96

62 of FTSE 100 Index Future


Expiring December 2016 ................................ 122 0.21

(2,959)

(17,614.49)

84 of FTSE 250 Index Future


Expiring December 2016 ................................ (25) (0.04)

Unrealised gain on open future contracts ........................................................................... 122 0.21

Unrealised loss on open future contracts ........................................................................... (25) (0.04)


Total Financial Derivative Instruments ......................................................................... 97 0.17

Fair Value

GBP ‘000

Fund

%


(98.90%) ....................................................................................................................................................... 57,847 98.90


Loss ((0.04)%) ............................................................................................................................................. (25) (0.04)


(98.86%) .................................................................................................................................................... 57,822 98.86

Other Net Assets (1.14%) ........................................................................................................................ 667 1.14

Net Assets .................................................................................................................................................. 58,489 100.00


% of

gross assets


Investment funds (UCITS) ........................................................................................................................................ 2.68

Exchange traded financial derivative instruments ..................................................................................................... 0.21

Other assets ............................................................................................................................................................... 1.75

100.00

The broker for the open futures contracts is UBS AG.




30 September 2016







Level 1

GBP ‘000

Level 2

GBP ‘000

Level 3

GBP ‘000

Total

GBP ‘000

Assets






Total assets ...................................................................................... 56,270 1,577 - 57,847

Liabilities



Total liabilities ................................................................................ (25) - - (25)

As at 31 March 2016

Level 1

GBP ‘000

Level 2

GBP ‘000

Level 3

GBP ‘000

Total

GBP ‘000

Assets






Total assets ...................................................................................... 86,101 4,188 - 90,289





September 2016.





Acquisition Cost

GBP ‘000 Portfolio Securities

Disposal Proceeds

GBP ‘000

Russell Investment Company III Plc Russell Investment Company III Plc

The Sterling Liquidity Fund The Sterling Liquidity Fund


BP Plc 1,627 RELX Plc (2,727)

Aviva Plc 1,487 AstraZeneca Plc (2,609)

Royal Bank of Scotland Group Plc 1,372 GlaxoSmithKline Plc (2,464)

Imperial Brands Plc 1,282 British American Tobacco Plc (2,150)

Bovis Homes Group Plc 1,212 BP Plc (2,119)

Bellway Plc 1,202 HSBC Holdings Plc (2,022)

HSBC Holdings Plc 1,100 Shire Plc (1,975)

Land Securities Group Plc 1,052 BT Group Plc (1,948)

Hays Plc 1,046 Vodafone Group Plc (1,859)

Playtech Plc 990 ITV Plc (1,677)

Crest Nicholson Holdings plc 963 Royal Dutch Shell Plc (1,616)

Standard Chartered Plc 962 Berendsen Plc (1,390)

International Consolidated Airlines Group Compass Group Plc (1,284)

SA 918 Phoenix Group Holdings (1,166)

Admiral Group Plc 908 Rio Tinto Plc (1,155)

Inchcape Plc 855 Crest Nicholson Holdings plc (1,149)

BT Group Plc 822 WM Morrison Supermarkets Plc (1,111)

Savills Plc 786 Royal Bank of Scotland Group Plc (1,108)

Carnival Plc 786 Wolseley Plc (1,091)

Micro Focus International Plc 771



Balance Sheet



Russell U.S. Quant Fund 147

30 September 2016

(Unaudited)

USD ‘000

31 March 2016

(Audited)

USD ‘000

Assets

Financial assets at fair value through profit or loss ........................................................... 232,605 269,359

Cash at bank (Note 2) ........................................................................................................ 484 2,515


(Note 2) ............................................................................................................................. 58 1,055

Debtors:

Receivable for investments sold ............................................................................................... 1,109 366

Receivable on fund shares issued .............................................................................................. 36 10

Dividends receivable ................................................................................................................. 145 164

234,437 273,469

Liabilities


Payable for investments purchased ........................................................................................... (977) (9,083)

Payable on fund shares redeemed ............................................................................................. (13) (64)

Management fees payable ......................................................................................................... (196) (199)

Depositary fees payable ............................................................................................................ (5) (3)

Sub-custodian fees payable ....................................................................................................... (8) (8)

Administration fees payable ..................................................................................................... (5) (9)

Audit fees payable .................................................................................................................... (12) (19)

(1,216) (9,385)

Net asset attributable to redeemable participating shareholders ............................... 233,221 264,084






148 Russell U.S. Quant Fund

Six months ended

30 September 2016

(Unaudited)

USD ‘000

Six months ended

30 September 2015

(Unaudited)

USD ‘000

Income

Dividends ....................................................................................................................... 2,458 2,070


Total investment income (expense) ................................................................................ 15,693 (13,951)

Expenses

Management fees (Note 3) ............................................................................................. (1,271) (1,155)


Sub-custodian fees (Note 4) ........................................................................................... (43) (47)


Audit fees ....................................................................................................................... (9) (8)


Other fees ....................................................................................................................... (11) (9)

Total operating expenses ................................................................................................ (1,416) (1,300)

Net income (expense) ...................................................................................................... 14,277 (15,251)

Finance costs

Distributions (Note 6) .................................................................................................... (335) (222)

Profit (loss) for the financial period before taxation .................................................... 13,942 (15,473)

Taxation

Withholding tax (Note 7) ............................................................................................... (701) (590)


shareholders resulting from operations ......................................................................... 13,241 (16,063)


Account.







Six months ended

30 September 2016

(Unaudited)

USD ‘000

Six months ended

30 September 2015

(Unaudited)

USD ‘000



Share transactions

Reinvestment of deemed distributions on accumulation shares (Note 8) ..................... 335 222







End of financial period ................................................................................................... 233,221 249,201




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%



Bermuda (1.07%)

Agriculture

7,600 Bunge Ltd ............................ 450 0.19


424 Genpact Ltd ......................... 10 0.01

Insurance

669 Arch Capital Group Ltd ....... 53 0.02

5,070

Aspen Insurance Holdings

Ltd ....................................... 236 0.10

4,888 Assured Guaranty Ltd ......... 136 0.06

422

Axis Capital Holdings

Ltd ....................................... 23 0.01

834

Endurance Specialty

Holdings Ltd ....................... 55 0.02

3,912 Everest Re Group Ltd .......... 743 0.32

230

RenaissanceRe Holdings

Ltd ....................................... 28 0.01

332 Validus Holdings Ltd .......... 17 0.01

1,421 XL Group Ltd ...................... 48 0.02

Oil and Gas

7,860 Nabors Industries Ltd .......... 96 0.04


45,100

Marvell Technology Group

Ltd ....................................... 598 0.26

2,493 1.07

Canada (0.09%)

Media

1,824 Thomson Reuters Corp ........ 75 0.03

Oil and Gas

4,377


Ltd ....................................... 140 0.06

215 0.09

Curacao (0.06%)


1,811 Schlumberger Ltd ................ 142 0.06



8,651 Amdocs Ltd ......................... 500 0.21

Ireland (0.58%)


691 Accenture Plc ...................... 84 0.04


1,747 Medtronic Plc ...................... 151 0.06


8,242 Eaton Corp Plc .................... 542 0.23

1,700 Ingersoll-Rand Plc ............... 115 0.05


67,400

Weatherford International

Plc ....................................... 379 0.16

Number

of Shares

Fair Value

USD ‘000

Fund

%

Pharmaceuticals

1,182 Mallinckrodt Plc ................. 82 0.04

1,353 0.58


Auto Components

3,496 Delphi Automotive Plc ....... 249 0.11

Netherlands (0.34%)

Automobiles

14,883


NV ...................................... 95 0.04

Chemicals

7,686

LyondellBasell Industries

NV ...................................... 620 0.27


2,400

Chicago Bridge & Iron Co

NV ...................................... 67 0.03

782 0.34

Panama (0.05%)


2,480 Carnival Corp ..................... 121 0.05

Puerto Rico (0.01%)

Banks

607 Popular Inc .......................... 23 0.01

Singapore (0.02%)


3,500 Flex Ltd .............................. 48 0.02

Switzerland (0.38%)

Insurance

2,742

Allied World Assurance Co

Holdings AG ....................... 111 0.05

5,954 Chubb Ltd ........................... 748 0.32

Oil and Gas

1,932 Transocean Ltd ................... 21 0.01

880 0.38


Oil and Gas

34,163 Ensco Plc ............................ 290 0.13

Telecommunications

15,018 ARRIS International Plc ..... 425 0.18

715 0.31


Advertising

10,732

Interpublic Group of Cos

Inc ....................................... 240 0.10

1,436 Omnicom Group Inc ........... 122 0.05


12,338 Boeing Co ........................... 1,625 0.70




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

2,973 General Dynamics Corp ...... 461 0.20

5,950

L-3 Communications

Holdings Inc ........................ 897 0.38

2,863 Lockheed Martin Corp ........ 686 0.29

8,498 Northrop Grumman Corp .... 1,818 0.78

10,251 Raytheon Co ........................ 1,395 0.60

22,205

Spirit AeroSystems Holdings

Inc ....................................... 989 0.42

4,520 United Technologies Corp ... 459 0.20

Agriculture

25,285 Altria Group Inc .................. 1,599 0.69

20,860


Inc ....................................... 2,028 0.87

5,027 Reynolds American Inc ....... 237 0.10

Airlines

1,973 Alaska Air Group Inc .......... 130 0.06

3,508

American Airlines Group

Inc ....................................... 128 0.06

26,896 Delta Air Lines Inc .............. 1,059 0.45

1,459 JetBlue Airways Corp ......... 25 0.01

18,258 Southwest Airlines Co ......... 710 0.30

12,881

United Continental Holdings

Inc ....................................... 676 0.29

Auto Components

2,291

Allison Transmission

Holdings Inc ........................ 66 0.03

1,900

Cooper-Standard Holding

Inc ....................................... 188 0.08

24,121

Goodyear Tire & Rubber

Co ........................................ 779 0.33

10,401 Lear Corp ............................ 1,261 0.54

Automobiles

43,600 Ford Motor Co ..................... 526 0.22

47,528 General Motors Co .............. 1,510 0.65

2,651 PACCAR Inc ....................... 156 0.07

Banks

79,058 Bank of America Corp ........ 1,237 0.53

8,568

Bank of New York Mellon

Corp ..................................... 342 0.15

4,577 BB&T Corp ......................... 173 0.07

7,800 Capital One Financial Corp . 560 0.24

77,786 Citigroup Inc ....................... 3,674 1.58

27,986


Inc ....................................... 692 0.30

6,499 East West Bancorp Inc ........ 239 0.10

20,424 Fifth Third Bancorp ............. 418 0.18

11,750 Goldman Sachs Group Inc .. 1,895 0.81

26,428 JPMorgan Chase & Co ........ 1,760 0.75

21,300 KeyCorp .............................. 259 0.11

1,300 M&T Bank Corp ................. 151 0.07

27,100 Morgan Stanley ................... 869 0.37

9,219 Northern Trust Corp ............ 627 0.27

6,400

PNC Financial Services

Group Inc ............................ 577 0.25

28,800 Regions Financial Corp ....... 284 0.12

Number

of Shares

Fair Value

USD ‘000

Fund

%

10,335 SunTrust Banks Inc ............. 453 0.19

30,524 Wells Fargo & Co ............... 1,352 0.58

Beverages

979 Coca-Cola Co ..................... 41 0.02

7,396


Inc ....................................... 675 0.29

3,192 Molson Coors Brewing Co . 350 0.15

39,513 PepsiCo Inc ......................... 4,298 1.84

Biotechnology

21,364 Amgen Inc .......................... 3,564 1.53

5,489 Biogen Inc .......................... 1,718 0.74

1,720

Charles River Laboratories

International Inc .................. 143 0.06

40,525 Gilead Sciences Inc ............. 3,206 1.37

5,580 Incyte Corp ......................... 526 0.23

742

Regeneron Pharmaceuticals

Inc ....................................... 298 0.13

5,130 United Therapeutics Corp ... 606 0.26

3,813 Vertex Pharmaceuticals Inc 333 0.14

Building Products

1,973 Cree Inc .............................. 51 0.02

8,672 Masco Corp ......................... 298 0.13

7,133 Owens Corning ................... 381 0.16

516 USG Corp ........................... 13 0.01

Chemicals

1,843

Air Products & Chemicals

Inc ....................................... 277 0.12

10,395 Celanese Corp ..................... 692 0.30

11,022 Dow Chemical Co ............... 571 0.24

4,295 Huntsman Corp ................... 70 0.03

6,900

Platform Specialty Products

Corp .................................... 56 0.02

2,038 Sherwin-Williams Co ......... 564 0.24

2,700 Univar Inc ........................... 59 0.03

800 Westlake Chemical Corp .... 43 0.02

1,563 WR Grace & Co .................. 115 0.05


7,500 Aaron's Inc .......................... 191 0.08

1,585 Ecolab Inc ........................... 193 0.08

2,000 Global Payments Inc ........... 154 0.07

151 Graham Holdings Co .......... 73 0.03

1,501 Hertz Global Holdings Inc .. 60 0.02

3,296 ManpowerGroup Inc ........... 238 0.10

14,036 Quanta Services Inc ............ 393 0.17

600

Robert Half International

Inc ....................................... 23 0.01

448 Rollins Inc .......................... 13 0.01

5,927 RR Donnelley & Sons Co ... 93 0.04

1,235 TransUnion ......................... 43 0.02

7,321 United Rentals Inc .............. 575 0.25


63,105 Apple Inc ............................ 7,134 3.06

800 CACI International Inc ....... 81 0.04




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

2,603

Dell Technologies Inc -

VMware Inc ........................ 124 0.05

133 DST Systems Inc ................. 16 0.01

2,986


Machines Corp .................... 474 0.20

9,500 Mentor Graphics Corp ......... 251 0.11

1,321 NCR Corp ........................... 43 0.02

8,700 NetApp Inc .......................... 312 0.13

24,298 Synopsys Inc ....................... 1,442 0.62

2,960 Teradata Corp ...................... 92 0.04

19,800 VeriFone Systems Inc ......... 312 0.13

9,980 Western Digital Corp .......... 584 0.25


692

Jacobs Engineering Group

Inc ....................................... 36 0.02


11,421 Crown Holdings Inc ............ 652 0.28

448 Sonoco Products Co ............ 24 0.01

1,988 WestRock Co ...................... 96 0.04

Distributors

1,500 Anixter International Inc ..... 97 0.04

4,500

Core-Mark Holding Co

Inc ....................................... 161 0.07

1,736 Fastenal Co .......................... 73 0.03

860 Ingram Micro Inc ................ 31 0.01

380 LKQ Corp ........................... 13 0.01

126 Watsco Inc ........................... 18 0.01


570 Air Lease Corp .................... 16 0.01

1,997 American Express Co .......... 128 0.05

13,007 Ameriprise Financial Inc ..... 1,298 0.55

573 BlackRock Inc ..................... 208 0.09

390 CBOE Holdings Inc ............ 25 0.01

7,219 E*Trade Financial Corp ...... 210 0.09

2,088 Federated Investors Inc ....... 62 0.03

358 FNF Group .......................... 13 0.01

7,100 Mastercard Inc ..................... 723 0.31

716 Nasdaq Inc ........................... 48 0.02

2,923

Raymond James Financial

Inc ....................................... 170 0.07

2,500

Santander Consumer USA

Holdings Inc ........................ 30 0.01

12,349 Synchrony Financial ............ 346 0.15

Electric Utilities

28,840 AES Corp ............................ 371 0.16

1,439 Ameren Corp ....................... 71 0.03

9,795

American Electric Power Co

Inc ....................................... 629 0.27

3,672 CMS Energy Corp ............... 154 0.07

1,855 Consolidated Edison Inc ...... 140 0.06

12,751 DTE Energy Co ................... 1,194 0.51

4,046 Duke Energy Corp ............... 324 0.14

18,289 Edison International ............ 1,321 0.57

13,241 Entergy Corp ....................... 1,016 0.44

Number

of Shares

Fair Value

USD ‘000

Fund

%

1,930 Eversource Energy .............. 105 0.04

2,902 Exelon Corp ........................ 97 0.04

18,784 FirstEnergy Corp ................ 621 0.27

366 Great Plains Energy Inc ...... 10 0.00

12,377 NextEra Energy Inc ............ 1,514 0.65

8,489 PG&E Corp ......................... 519 0.22

489 Pinnacle West Capital Corp 37 0.02

3,077


Group Inc ............................ 129 0.05

773 SCANA Corp ...................... 56 0.02

9,895 Southern Co ........................ 508 0.22

2,279 Xcel Energy Inc .................. 94 0.04


14,761 Agilent Technologies Inc .... 695 0.30

1,823 Amphenol Corp .................. 118 0.05

4,039 Arrow Electronics Inc ......... 258 0.11

4,560 Avnet Inc ............................ 187 0.08

839 Energizer Holdings Inc ....... 42 0.02

3,884 Fortive Corp ........................ 198 0.08

898 Gentex Corp ........................ 16 0.01

6,301 Honeywell International Inc 735 0.31

10,200 Jabil Circuit Inc .................. 223 0.10

2,140 Keysight Technologies Inc . 68 0.03

3,000 Sanmina Corp ..................... 85 0.04

4,350 Tech Data Corp ................... 368 0.16

1,823 Waters Corp ........................ 289 0.12


448 First Solar Inc ..................... 18 0.01

Entertainment

2,300 Dolby Laboratories Inc ....... 125 0.05


1,420 Republic Services Inc ......... 72 0.03

4,397 Waste Management Inc ...... 280 0.12

Food Products

2,915

Blue Buffalo Pet Products

Inc ....................................... 69 0.03

3,470 Campbell Soup Co .............. 190 0.08

5,055 ConAgra Foods Inc ............. 238 0.10

3,618 General Mills Inc ................ 231 0.10

1,400 Ingredion Inc ....................... 186 0.08

704 JM Smucker Co .................. 95 0.04

1,188 Kellogg Co .......................... 92 0.04

17,800 Kroger Co ........................... 528 0.23

1,700

Performance Food Group

Co ....................................... 42 0.02

1,300 Safeway Casa Ley Inc ......... - 0.00

1,300 Safeway Inc ........................ - 0.00

15,303 Sysco Corp .......................... 750 0.32

24,080 Tyson Foods Inc ................. 1,798 0.77

2,870 United Natural Foods Inc .... 115 0.05

Gas Utilities

35,657 CenterPoint Energy Inc ....... 828 0.35




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

2,044 National Fuel Gas Co .......... 111 0.05

9,957 NiSource Inc ....................... 240 0.10

1,100 One Gas Inc ......................... 68 0.03


1,291

Lincoln Electric Holdings

Inc ....................................... 81 0.04

204 Snap-on Inc ......................... 31 0.01

3,581 Stanley Black & Decker Inc 440 0.19


1,118 Becton Dickinson and Co .... 201 0.09

133 Bio-Techne Corp ................. 15 0.01

7,739 Bruker Corp ......................... 175 0.07

2,809 CR Bard Inc ........................ 630 0.27

5,321 Edwards Lifesciences Corp . 641 0.27

452 Henry Schein Inc ................. 74 0.03

5,002 Hologic Inc .......................... 194 0.08

630 Intuitive Surgical Inc ........... 457 0.20

316 Patterson Cos Inc ................. 15 0.01

660 ResMed Inc ......................... 43 0.02

751 St Jude Medical Inc ............. 60 0.03

5,010 Stryker Corp ........................ 583 0.25

190 Teleflex Inc ......................... 32 0.01

2,324


Inc ....................................... 370 0.16

5,200 VWR Corp .......................... 147 0.06


5,117 Aetna Inc ............................. 591 0.26

3,923 Anthem Inc .......................... 492 0.21

1,546 Cigna Corp .......................... 201 0.09

1,093 DaVita Inc ........................... 72 0.03

3,639 LifePoint Health Inc ............ 216 0.09

450 Mednax Inc ......................... 30 0.01

1,900 Molina Healthcare Inc ......... 111 0.05

611 Quest Diagnostics Inc .......... 52 0.02

16,028 UnitedHealth Group Inc ...... 2,244 0.96

1,455 WellCare Health Plans Inc .. 170 0.07

Home Builders

443 CalAtlantic Group Inc ......... 15 0.01

2,000 DR Horton Inc ..................... 60 0.02

1,072 Lennar Corp ........................ 45 0.02

286 NVR Inc .............................. 469 0.20

278 Thor Industries Inc .............. 24 0.01

916 Toll Brothers Inc ................. 27 0.01

Home Furnishings

1,600

Harman International

Industries Inc ....................... 135 0.06

417 Leggett & Platt Inc .............. 19 0.01


2,500 Brunswick Corp .................. 122 0.05

359 Vista Outdoor Inc ................ 14 0.01

Household Products

2,658 Avery Dennison Corp .......... 207 0.09

Number

of Shares

Fair Value

USD ‘000

Fund

%

1,549 Church & Dwight Co Inc .... 74 0.03

787 Clorox Co ........................... 99 0.04

2,508 Kimberly-Clark Corp .......... 316 0.14

Insurance

3,991 Aflac Inc ............................. 287 0.12

715 Alleghany Corp ................... 375 0.16

34,159 Allstate Corp ....................... 2,363 1.01

305


Inc ....................................... 23 0.01

19,538

American International

Group Inc ............................ 1,159 0.50

3,791

AmTrust Financial Services

Inc ....................................... 102 0.04

900 Arthur J Gallagher & Co ..... 46 0.02

8,854 Berkshire Hathaway Inc ...... 1,279 0.55

456 Brown & Brown Inc ........... 17 0.01

2,853 Cincinnati Financial Corp ... 215 0.09

67,300 Genworth Financial Inc ...... 334 0.14

2,451

Hanover Insurance Group

Inc ....................................... 185 0.08

8,380

Hartford Financial Services

Group Inc ............................ 359 0.16

9,500 Lincoln National Corp ........ 446 0.19

81 Markel Corp ........................ 75 0.03

11,263 MetLife Inc ......................... 500 0.22

1,432

Old Republic International

Corp .................................... 25 0.01

15,388

Principal Financial Group

Inc ....................................... 793 0.34


13,744 Prudential Financial Inc ...... 1,122 0.48

2,208

Reinsurance Group of

America Inc ........................ 238 0.10

6,551 Travelers Cos Inc ................ 750 0.32

34,803 Voya Financial Inc .............. 1,003 0.43

453 WR Berkley Corp ............... 26 0.01


1,990 Alphabet Inc (Class A) ....... 1,600 0.69

3,992 Alphabet Inc (Class C) ........ 3,103 1.33

4,161 Amazon.com Inc ................. 3,484 1.49

45,786 eBay Inc .............................. 1,506 0.65

4,334 F5 Networks Inc ................. 540 0.23

22,518 Facebook Inc ....................... 2,888 1.24

1,160 Palo Alto Networks Inc ....... 185 0.08

538 Priceline Group Inc ............. 792 0.34

2,000 RingCentral Inc ................... 47 0.02

57,035 Symantec Corp ................... 1,432 0.61

6,000 Twitter Inc .......................... 138 0.06

6,275 VeriSign Inc ........................ 491 0.21

1,200 Yelp Inc .............................. 50 0.02

Iron and Steel

3,162

Reliance Steel & Aluminum

Co ....................................... 228 0.10

3,846 Steel Dynamics Inc ............. 96 0.04




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Machinery

8,680 BWX Technologies Inc ....... 333 0.14

176 Graco Inc ............................. 13 0.01

402 IDEX Corp .......................... 38 0.02

3,300 Terex Corp .......................... 84 0.03

5,718 Xylem Inc ............................ 300 0.13

4,900 Zebra Technologies Corp .... 341 0.15

Media

1,269 AMC Networks Inc ............. 66 0.03

260 Cable One Inc ...................... 152 0.06

10,100 CBS Corp ............................ 553 0.24

41,052 Comcast Corp ...................... 2,723 1.17

10,738


Inc (Class A) ....................... 289 0.12

10,900


Inc (Class C) ........................ 287 0.12

612 Liberty Broadband Corp ...... 44 0.02

1,500

Liberty Media Corp-Liberty

SiriusXM (Series A) ............ 51 0.02

2,074

Liberty Media Corp-Liberty

SiriusXM (Series C) ............ 69 0.03

53,651 News Corp ........................... 750 0.32

488

Scripps Networks Interactive

Inc ....................................... 31 0.01

60,821 Sirius XM Holdings Inc ...... 254 0.11

14,300 Time Inc .............................. 207 0.09

4,186 Viacom Inc .......................... 159 0.07

180 Walt Disney Co ................... 17 0.01

Metals and Mining

195

Compass Minerals

International Inc .................. 14 0.01


4,400 Carlisle Cos Inc ................... 451 0.19

7,288 General Electric Co ............. 216 0.09

668 Parker-Hannifin Corp .......... 84 0.04

10,785 Trinity Industries Inc ........... 261 0.11

Office Electronics

34,021 Xerox Corp .......................... 345 0.15

Oil and Gas

21,466 Antero Resources Corp ....... 579 0.25

4,645 Apache Corp ....................... 297 0.13

31,900 Cabot Oil & Gas Corp ......... 823 0.35

15,700 Chesapeake Energy Corp .... 98 0.04

7,280 Chevron Corp ...................... 749 0.32

1,061 Cimarex Energy Co ............. 143 0.06

1,800 ConocoPhillips .................... 78 0.03

3,200 Continental Resources Inc ... 166 0.07

13,190 Devon Energy Corp ............. 582 0.25

1,400 Energen Corp ...................... 81 0.04

5,960 EOG Resources Inc ............. 576 0.25

34,321 Exxon Mobil Corp ............... 2,996 1.29

4,300 Gulfport Energy Corp .......... 121 0.05

4,100 HollyFrontier Corp .............. 100 0.04

Number

of Shares

Fair Value

USD ‘000

Fund

%

66,400 Marathon Oil Corp .............. 1,050 0.45

2,308 Marathon Petroleum Corp .. 94 0.04

1,700 Murphy USA Inc ................ 121 0.05


2,705 QEP Resources Inc ............. 53 0.02

5,443 Tesoro Corp ........................ 433 0.19

37,861 Valero Energy Corp ............ 2,007 0.86


12,337 Baker Hughes Inc ............... 623 0.27

836 Dril-Quip Inc ...................... 47 0.02

33,099 FMC Technologies Inc ....... 982 0.42

1,347

Oceaneering International

Inc ....................................... 37 0.02

5,593

Superior Energy Services

Inc ....................................... 100 0.04


1,900 Domtar Corp ....................... 71 0.03

6,988 International Paper Co ........ 335 0.14

Personal Products

3,281 Colgate-Palmolive Co ......... 243 0.10

16,310 Procter & Gamble Co ......... 1,464 0.63

Pharmaceuticals

5,409 AbbVie Inc ......................... 341 0.15

1,000 Agios Pharmaceuticals Inc .. 53 0.02

10,493 AmerisourceBergen Corp ... 848 0.36

11,800 Bristol-Myers Squibb Co .... 636 0.27

9,114 Cardinal Health Inc ............. 708 0.30

9,139 Eli Lilly & Co ..................... 733 0.31

13,197 Express Scripts Holding Co 931 0.40

38,316 Johnson & Johnson ............. 4,526 1.94

13,644 McKesson Corp .................. 2,275 0.98

22,475 Merck & Co Inc .................. 1,403 0.60

74,690 Pfizer Inc ............................ 2,530 1.09

5,186 Zoetis Inc ............................ 270 0.12

Pipelines

4,698 Kinder Morgan Inc ............. 109 0.05

Real Estate

1,290 Jones Lang LaSalle Inc ....... 147 0.06


1,686

American Campus

Communities Inc ................. 86 0.04

792

American Capital Agency

Corp .................................... 15 0.01

297 American Homes 4 Rent ..... 6 0.00

1,305

Annaly Capital Management

Inc ....................................... 14 0.01

2,068

Apartment Investment &

Management Co .................. 95 0.04

2,373

Apple Hospitality REIT

Inc ....................................... 44 0.02

813

AvalonBay Communities

Inc ....................................... 145 0.06

1,406 Care Capital Properties Inc . 40 0.02

1,111 Chimera Investment Corp ... 18 0.01




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

2,288

Communications Sales &

Leasing Inc .......................... 72 0.03

488

Crown Castle International

Corp ..................................... 46 0.02

1,080 Equinix Inc .......................... 389 0.17

2,157

Equity LifeStyle Properties

Inc ....................................... 166 0.07

2,167 Equity Residential ............... 139 0.06

195

Essex Property Trust

Inc ....................................... 43 0.02

352 Extra Space Storage Inc ...... 28 0.01

392


Trust .................................... 60 0.02

12,804

General Growth Properties

Inc ....................................... 353 0.15

3,628 Hospitality Properties Trust . 108 0.04

12,087 Host Hotels & Resorts Inc ... 188 0.08

2,289 Liberty Property Trust ......... 92 0.04

2,054

Mid-America Apartment

Communities Inc ................. 193 0.08

716

National Retail Properties

Inc ....................................... 36 0.01

6,597

Omega Healthcare Investors

Inc ....................................... 234 0.10

3,000 Paramount Group Inc .......... 49 0.02

184 Post Properties Inc ............... 12 0.01

2,167 Public Storage ..................... 484 0.21

691 Realty Income Corp ............ 46 0.02

5,564

Retail Properties of America

Inc ....................................... 93 0.04

3,174

Senior Housing Properties

Trust .................................... 72 0.03

9,025 Simon Property Group Inc .. 1,868 0.80

7,625 SL Green Realty Corp ......... 824 0.35

1,080 Starwood Property Trust Inc 24 0.01

2,579

Tanger Factory Outlet

Centers Inc .......................... 100 0.04

1,814 Taubman Centers Inc .......... 135 0.06

2,049

Two Harbors Investment

Corp ..................................... 17 0.01

323 UDR Inc .............................. 12 0.01

251 Ventas Inc ........................... 18 0.01

3,064 Weingarten Realty Investors 119 0.05

876 Welltower Inc ...................... 65 0.03

7,100

Xenia Hotels & Resorts

Inc ....................................... 108 0.04

Retail Trade

570 AutoZone Inc ...................... 438 0.19

8,800

Bed Bath & Beyond

Inc ....................................... 379 0.16

32,403 Best Buy Co Inc .................. 1,237 0.53

12,086 Coach Inc ............................ 442 0.19

16,742 CVS Health Corp ................ 1,490 0.64

2,131

Dick's Sporting Goods

Inc ....................................... 121 0.05

1,728 Dollar General Corp ............ 121 0.05

400 Domino's Pizza Inc .............. 61 0.03

Number

of Shares

Fair Value

USD ‘000

Fund

%

2,296 Foot Locker Inc .................. 155 0.07

606 GameStop Corp .................. 17 0.01

888 Genuine Parts Co ................ 89 0.04

17,913 Home Depot Inc .................. 2,305 0.99

4,600 Kohl's Corp ......................... 201 0.09

2,489 L Brands Inc ....................... 176 0.07

7,515 Lowe's Cos Inc .................... 543 0.23

5,582 McDonald's Corp ................ 644 0.27

1,559 Michaels Cos Inc ................ 38 0.02

1,398 Nordstrom Inc ..................... 73 0.03

1,000

Nu Skin Enterprises

Inc ....................................... 65 0.03

7,000 PVH Corp ........................... 774 0.33

5,116 Starbucks Corp ................... 277 0.12

2,523 Target Corp ......................... 173 0.07

1,085

Ulta Salon Cosmetics &

Fragrance Inc ...................... 258 0.11

30,375 Wal-Mart Stores Inc ........... 2,191 0.94

4,361

Walgreens Boots Alliance

Inc ....................................... 352 0.15

5,248

World Fuel Services

Corp .................................... 243 0.10

3,265 Yum! Brands Inc ................. 296 0.13

Savings and Loans

2,496

New York Community

Bancorp Inc ......................... 36 0.02

1,788

People's United Financial

Inc ....................................... 28 0.01


35,000

Advanced Micro Devices

Inc ....................................... 242 0.10

8,600 Amkor Technology Inc ....... 84 0.03

28,735 Applied Materials Inc ......... 866 0.37

800 Cirrus Logic Inc .................. 43 0.02

5,942

Cypress Semiconductor

Corp .................................... 72 0.03

79,468 Intel Corp ............................ 3,000 1.29

1,433

Linear Technology

Corp .................................... 85 0.04

5,381 NVIDIA Corp ..................... 369 0.16

18,900

ON Semiconductor

Corp .................................... 233 0.10

16,718 Qualcomm Inc .................... 1,145 0.49

1,100 Synaptics Inc ....................... 64 0.03

Shipbuilding

5,420

Huntington Ingalls Industries

Inc ....................................... 832 0.36

Software

4,253 Activision Blizzard Inc ....... 188 0.08

642

Broadridge Financial

Solutions Inc ....................... 44 0.02

1,096 Cerner Corp ........................ 68 0.03

21,512 Citrix Systems Inc ............... 1,833 0.79

4,969 Electronic Arts Inc .............. 424 0.18

2,933 Fiserv Inc ............................ 292 0.12

9,564 Intuit Inc ............................. 1,052 0.45




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

418

Jack Henry & Associates

Inc ....................................... 36 0.01

72,837 Microsoft Corp .................... 4,195 1.80

590 MicroStrategy Inc ................ 99 0.04

4,980 Nuance Communications Inc 72 0.03

35,524 Oracle Corp ......................... 1,395 0.60

1,960 Paychex Inc ......................... 113 0.05

7,673 Red Hat Inc ......................... 620 0.27

1,700 Splunk Inc ........................... 100 0.04

1,000 Synnex Corp ........................ 114 0.05

1,600 Tableau Software Inc .......... 88 0.04

4,400 Verint Systems Inc .............. 166 0.07

4,081 VMware Inc ........................ 299 0.13

98,300 Zynga Inc ............................ 286 0.12

Telecommunications

1,900 Arista Networks Inc ............ 162 0.07

52,321 AT&T Inc ............................ 2,125 0.91

4,400 CenturyLink Inc .................. 121 0.05

3,000 Ciena Corp .......................... 65 0.03

68,841 Cisco Systems Inc ............... 2,184 0.94

5,500 Finisar Corp ......................... 164 0.07

10,000 Juniper Networks Inc .......... 241 0.10

1,776 Level 3 Communications Inc 82 0.03

7,830

Telephone & Data Systems

Inc ....................................... 213 0.09

1,000 United States Cellular Corp . 36 0.02

96,860


Inc ....................................... 5,035 2.16

25,400 Viavi Solutions Inc .............. 188 0.08

Textile and Apparel

17,575 NIKE Inc ............................. 925 0.40

Number

of Shares

Fair Value

USD ‘000

Fund

%


1,768 Hasbro Inc .......................... 140 0.06

Transport

2,921


Inc ....................................... 206 0.09

4,600

Expeditors International of

Washington Inc ................... 237 0.10

5,028 FedEx Corp ......................... 878 0.38

3,000 Hub Group Inc .................... 122 0.05

301

Old Dominion Freight Line

Inc ....................................... 21 0.01

4,211 United Parcel Service Inc ... 461 0.20

219,582 94.15


Textile and Apparel

10,481

Michael Kors Holdings

Ltd ...................................... 490 0.21


Total Transferable

Securities ........................... 227,593 97.59


Ireland (2.15%)

4,993




Up Shares ............................ 5,012 2.15


Total Investments

excluding Financial


Fair Value

USD ‘000

Fund

%

Total Financial Assets at Fair Value through Profit or

Loss (99.74%) .............................................................................................................................................. 232,605 99.74

Other Net Assets (0.26%) ........................................................................................................................ 616 0.26

Net Assets .................................................................................................................................................. 233,221 100.00


% of

gross assets

Transferable securities admitted to an official stock exchange listing .................................................................... 97.08

Investment funds (UCITS) ..................................................................................................................................... 2.14

Other assets ............................................................................................................................................................ 0.78

100.00

The broker for the open futures contracts is Merrill Lynch.




30 September 2016







Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets





Total assets ...................................................................................... 227,593 5,012 - 232,605

As at 31 March 2016

Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets



Transferable securities ............................................................... 243,992 - 1 243,993



Total assets ...................................................................................... 244,324 25,034 1 269,359





September 2016.





Acquisition Cost


Disposal Proceeds

USD ‘000

Russell Investment Company III Plc

The U.S. Dollar Cash Fund II

Russell Investment Company III Plc

The U.S. Dollar Cash Fund II Class R Roll-Up Shares 30,805 Class R Roll-Up Shares (50,849)

McKesson Corp 1,917 Apple Inc (5,547)

UnitedHealth Group Inc 1,707 Johnson & Johnson (3,744)

Biogen Inc 1,616 Altria Group Inc (2,856)

Gilead Sciences Inc 1,610 Pfizer Inc (2,058)

Verizon Communications Inc 1,595 Cisco Systems Inc (2,046)

AT&T Inc 1,538 Microsoft Corp (1,868)

Pfizer Inc 1,529 Lowe's Cos Inc (1,793)

Citigroup Inc 1,407 Comcast Corp (1,750)

Exxon Mobil Corp 1,394 Symantec Corp (1,659)

Ameriprise Financial Inc 1,373 Wal-Mart Stores Inc (1,619)

Home Depot Inc 1,268 CR Bard Inc (1,505)

CVS Health Corp 1,174 eBay Inc (1,445)

PepsiCo Inc 1,129 Honeywell International Inc (1,401)

Lowe's Cos Inc 1,123 Exxon Mobil Corp (1,399)

DTE Energy Co 1,101 UnitedHealth Group Inc (1,348)

Tyson Foods Inc 1,088 AT&T Inc (1,329)

Symantec Corp 1,061 Delta Air Lines Inc (1,317)

Intuit Inc 1,041 Alphabet Inc (1,278)

Alphabet Inc 967 Adobe Systems Inc (1,219)



Balance Sheet



Russell World Equity Fund 159

30 September 2016

(Unaudited)

USD ‘000

31 March 2016

(Audited)

USD ‘000

Assets

Financial assets at fair value through profit or loss ........................................................... 1,740,521 1,853,279

Cash at bank (Note 2) ........................................................................................................ 4,549 2,127


(Note 2) ............................................................................................................................. 19,843 -

Debtors:

Receivable for investments sold .................................................................................................................................................. 7,427 17,320

Receivable on fund shares issued ................................................................................................................................................ 396 9,090

Dividends receivable .................................................................................................................................................................... 3,144 3,728

1,775,880 1,885,544

Liabilities

Financial liabilities at fair value through profit or loss ..................................................... (2,056) (9,543)



(Note 2) ................................................................................................................................. - (1,269)

Payable for investments purchased .............................................................................................................................................. (8,653) (1,929)

Payable on fund shares redeemed ................................................................................................................................................ (3,043) (73,644)

Distributions payable on income class shares .............................................................................................................................. (17) (45)

Management fees payable ............................................................................................................................................................ (1,524) (1,617)

Depositary fees payable ............................................................................................................................................................... (37) (17)

Sub-custodian fees payable .......................................................................................................................................................... (47) (54)

Administration fees payable ........................................................................................................................................................ (33) (52)

Audit fees payable ....................................................................................................................................................................... (13) (25)

Other fees payable ....................................................................................................................................................................... (8) (7)

(15,431) (88,202)

Net asset value attributable to redeemable participating shareholders ................................................................................... 1,760,449 1,797,342






160 Russell World Equity Fund

Six months ended

30 September 2016

(Unaudited)

USD ‘000

Six months ended

30 September 2015

(Unaudited)

USD ‘000

Income

Dividends ..................................................................................................................................................................................... 21,561 28,814



Expenses

Management fees (Note 3) ........................................................................................................................................................... (9,278) (12,566)

Depositary fees (Note 4) .............................................................................................................................................................. (121) (88)

Sub-custodian fees (Note 4) ......................................................................................................................................................... (172) (252)

Administration transfer agency fees (Note 4) .............................................................................................................................. (334) (393)

Audit fees ..................................................................................................................................................................................... (13) (14)

Professional fees .......................................................................................................................................................................... (17) (73)

Other fees ..................................................................................................................................................................................... (48) (45)



Finance costs



Taxation

Withholding tax (Note 7) ............................................................................................................................................................. (3,521) (4,786)




Account.







Six months ended

30 September 2016

(Unaudited)

USD ‘000

Six months ended

30 September 2015

(Unaudited)

USD ‘000



Share transactions

Reinvestment of deemed distributions on accumulation shares (Note 8) .................................................................................... 7,630 9,325


transactions (Note 8) .................................................................................................................................................................... (130,132) (642,066)


participating shareholders ............................................................................................. (36,893) (779,774)


Beginning of financial period ...................................................................................................................................................... 1,797,342 2,808,438

End of financial period ................................................................................................................................................................ 1,760,449 2,028,664




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%



Australia (1.60%)

Banks

14,332


Australia .............................. 794 0.05

Beverages

77,800 Coca-Cola Amatil Ltd ......... 610 0.03


54,619 Brambles Ltd ....................... 501 0.03


156,900 Downer EDI Ltd .................. 647 0.04


40,612 Amcor Ltd ........................... 471 0.03


6,636 ASX Ltd .............................. 245 0.01

Electric Utilities

18,383 AGL Energy Ltd ................. 268 0.02

Entertainment

59,300 Tatts Group Ltd ................... 166 0.01

Food Products

27,581 Wesfarmers Ltd ................... 931 0.05

43,817 Woolworths Ltd .................. 780 0.05


10,627 Sonic Healthcare Ltd ........... 179 0.01


2,377

Washington H Soul

Pattinson & Co Ltd .............. 29 0.00


1,094

Flight Centre Travel Group

Ltd ....................................... 30 0.00

Insurance

75,037 Medibank Pvt Ltd ................ 142 0.01

Iron and Steel

188,600 BlueScope Steel Ltd ............ 1,119 0.06

Lodging

299,000 Star Entertainment Grp Ltd . 1,377 0.08

Metals and Mining

93,091 Mineral Resources Ltd ........ 789 0.05

14,900 Newcrest Mining Ltd .......... 253 0.01

265,900 Northern Star Resources Ltd 948 0.05

226,340 OZ Minerals Ltd .................. 1,053 0.06

370,700 Regis Resources Ltd ............ 1,095 0.06

106,600 Resolute Mining Ltd ............ 161 0.01

38,200 Rio Tinto Ltd ....................... 1,509 0.09

80,261 Sandfire Resources NL ........ 310 0.02

Oil and Gas

61,224 Caltex Australia Ltd ............ 1,605 0.09

227,370 Woodside Petroleum Ltd ..... 4,980 0.28


112,500 Dexus Property Group ......... 788 0.05

48,902 GPT Group .......................... 189 0.01

Number

of Shares

Fair Value

USD ‘000

Fund

%

652,600 Mirvac Group ..................... 1,119 0.06

64,348 Stockland ............................ 234 0.01

Retail Trade

18,600 JB Hi-Fi Ltd ........................ 412 0.02

Software

1,353,199 MYOB Group Ltd ............... 3,863 0.22

Telecommunications

149,061 Telstra Corp Ltd .................. 591 0.03

28,188 1.60

Austria (0.12%)

Banks

68,971 Erste Group Bank AG ......... 2,044 0.12

Transport

651 Oesterreichische Post AG ... 23 0.00

2,067 0.12

Belgium (0.02%)

Other Finance

2,248

Groupe Bruxelles Lambert

SA ....................................... 199 0.01

Telecommunications

6,258 Proximus SADP .................. 187 0.01

386 0.02

Bermuda (1.27%)

Banks

18,505 Credicorp Ltd ...................... 2,817 0.16


96,110 IHS Markit Ltd ................... 3,609 0.20

Insurance

42,699

Aspen Insurance Holdings

Ltd ...................................... 1,989 0.11

117,400 Assured Guaranty Ltd ......... 3,258 0.19

66,452

Axis Capital Holdings

Ltd ...................................... 3,610 0.20

2,752

Endurance Specialty

Holdings Ltd ....................... 180 0.01

7,835 Everest Re Group Ltd ......... 1,488 0.08

38,640 Validus Holdings Ltd .......... 1,925 0.11

40,640 XL Group Ltd ..................... 1,367 0.08

Real Estate

203,200

Hongkong Land Holdings

Ltd ...................................... 1,443 0.08

187,500 Kerry Properties Ltd ........... 614 0.04

Telecommunications

10,100 VTech Holdings Ltd ........... 115 0.01

Textile and Apparel

8,784,000

China Hongxing Sports

Ltd ...................................... - 0.00

22,415 1.27

Brazil (0.35%)

Banks

314,230

Itau Unibanco Holding SA

ADR .................................... 3,438 0.19




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Beverages

451,132 Ambev SA ........................... 2,752 0.16

6,190 0.35

Canada (1.46%)

Advertising

68,200 Aimia Inc ............................. 429 0.02

Banks

10,600 Bank of Montreal ................ 693 0.04

20,000 Bank of Nova Scotia ........... 1,058 0.06

34,437


Commerce ........................... 2,666 0.15

11,865 Royal Bank of Canada ......... 734 0.04

17,592 Toronto-Dominion Bank ..... 780 0.05


9,370 CI Financial Corp ................ 179 0.01

Food Products

13,000 George Weston Ltd ............. 1,083 0.06

10,300 Loblaw Cos Ltd ................... 529 0.03

Insurance

783

Genworth MI Canada

Inc ....................................... 20 0.00

10,386 Great-West Lifeco Inc ......... 255 0.02

4,552 Intact Financial Corp ........... 328 0.02

16,641 Sun Life Financial Inc ......... 541 0.03

Media

52,300 Quebecor Inc ....................... 1,587 0.09

12,097 Thomson Reuters Corp ........ 501 0.03

Metals and Mining

141,900 Barrick Gold Corp ............... 2,514 0.14

6,900 Dominion Diamond Corp .... 67 0.01

55,100 Kinross Gold Corp .............. 232 0.01

Oil and Gas

13,528 ARC Resources Ltd ............. 244 0.01

30,500 Tourmaline Oil Corp ........... 825 0.05

Pipelines

5,927 Keyera Corp ........................ 191 0.01


200

Canadian Real Estate

Investment Trust .................. 7 0.00

22,150

Dream Office Real Estate


13,955

Smart Real Estate


Telecommunications

12,400 BCE Inc ............................... 572 0.03

Transport

136,602

Canadian National Railway

Co ........................................ 8,934 0.51

25,629 1.46


Food Products

19,850

Fresh Del Monte Produce

Inc ....................................... 1,189 0.07

Number

of Shares

Fair Value

USD ‘000

Fund

%

2,488,000 WH Group Ltd .................... 2,002 0.11


24,510

Alibaba Group Holding Ltd

ADR .................................... 2,593 0.15

470,791 Tencent Holdings Ltd ......... 12,929 0.73

Lodging

241,200 Sands China Ltd .................. 1,046 0.06

Real Estate

72,000

Cheung Kong Property

Holdings Ltd ....................... 525 0.03

20,284 1.15

China (0.15%)

Insurance

511,000

Ping An Insurance Group Co

of China Ltd ........................ 2,649 0.15

Curacao (0.61%)


137,095 Schlumberger Ltd ............... 10,781 0.61


Banks

21,625 Komercni Banka AS ........... 749 0.04

Denmark (0.71%)

Beverages

46,043 Carlsberg A/S ..................... 4,392 0.25

Food Products

33,032

Chr Hansen Holding

A/S ...................................... 1,964 0.11

Insurance

6,313 Tryg A/S ............................. 127 0.01

Pharmaceuticals

137,737 Novo Nordisk A/S .............. 5,725 0.33

Telecommunications

10,010 GN Store Nord A/S ............. 215 0.01

12,423 0.71

France (5.25%)

Advertising

69,061 JCDecaux SA ...................... 2,234 0.13


29,810 Thales SA ........................... 2,747 0.16

Automobiles

236,740 Peugeot SA ......................... 3,617 0.21

Banks

300,590 BNP Paribas SA .................. 15,461 0.88

52,260 Societe Generale SA ........... 1,808 0.10

Beverages

74,415 Pernod Ricard SA ............... 8,810 0.50

Chemicals

20,984 Air Liquide SA ................... 2,251 0.13




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%


6,820 Atos SE ............................... 735 0.04

4,150 Teleperformance ................. 443 0.03


70,691 Legrand SA ......................... 4,169 0.24

82,145 Schneider Electric SE .......... 5,729 0.32

Food Products

265,592 Danone SA .......................... 19,714 1.12

Insurance

94,383 AXA SA .............................. 2,009 0.11

274 Euler Hermes Group ............ 23 0.00

Media

1,314 Metropole Television SA .... 24 0.00

Oil and Gas

47,350 Total SA .............................. 2,244 0.13

Pharmaceuticals

10,037 Sanofi .................................. 763 0.04

Retail Trade

47,200 Kering ................................. 9,524 0.54

Textile and Apparel

2,018 Christian Dior SE ................ 362 0.02

2,402 Hermes International ........... 978 0.05

51,333

LVMH Moet Hennessy

Louis Vuitton SE ................. 8,757 0.50

92,402 5.25

Germany (4.75%)


33,986 MTU Aero Engines AG ...... 3,439 0.20

Automobiles

201,450 Daimler AG ......................... 14,197 0.81

Chemicals

31,863 Brenntag AG ....................... 1,740 0.10

25,271 Covestro AG ....................... 1,495 0.08

15,960 Evonik Industries AG .......... 540 0.03

45,420 Linde AG ............................. 7,723 0.44


11,213 Gerresheimer AG ................ 953 0.05


29,657 Deutsche Boerse AG ........... 2,405 0.14


30,726 OSRAM Licht AG .............. 1,805 0.10

Insurance

96,000 Allianz SE ........................... 14,252 0.81

2,084 Hannover Rueck SE ............ 223 0.01

4,895

Muenchener

Rueckversicherungs-

Gesellschaft AG in

Muenchen ............................ 913 0.05

Metals and Mining

82,870 Kloeckner & Co SE ............. 1,010 0.06


17,868 Siemens AG ........................ 2,092 0.12

Number

of Shares

Fair Value

USD ‘000

Fund

%

Pharmaceuticals

171,460 Bayer AG ............................ 17,232 0.98

41,079 Merck KGaA ...................... 4,428 0.25

Software

82,866 SAP SE ADR ...................... 7,575 0.43

37,720 Software AG ....................... 1,599 0.09

83,621 4.75

Hong Kong (1.44%)

Banks

24,000 Hang Seng Bank Ltd ........... 429 0.02

Electric Utilities

41,500 CLP Holdings Ltd ............... 429 0.02

107 Power Assets Holdings Ltd . 1 0.00


422,000 Wharf Holdings Ltd ............ 3,071 0.18

Insurance

2,162,798 AIA Group Ltd ................... 14,375 0.82

Media

24 Television Broadcasts Ltd .. - 0.00

Real Estate

124,000 Hang Lung Properties Ltd ... 279 0.01

131,000 Hysan Development Co Ltd 614 0.03

55,000

Sun Hung Kai Properties

Ltd ...................................... 830 0.05

233,600 Swire Properties Ltd ........... 684 0.04

139,000 Wheelock & Co Ltd ............ 820 0.05


478,000 Link REIT ........................... 3,513 0.20

Transport

48,309 MTR Corp Ltd .................... 266 0.02

25,311 1.44

India (0.54%)

Banks

82,294 HDFC Bank Ltd ADR ........ 5,916 0.33


230,025 Infosys Ltd ADR ................ 3,630 0.21

9,546 0.54

Indonesia (0.27%)

Retail Trade

2,645,100 Astra International Tbk PT . 1,672 0.10

Telecommunications

9,294,100

Telekomunikasi Indonesia

Persero Tbk PT ................... 3,069 0.17

4,741 0.27

Ireland (2.00%)

Building Products

110,965 CRH Plc .............................. 3,712 0.21

15,414

James Hardie Industries

Plc ....................................... 240 0.01


108,023 Accenture Plc ...................... 13,197 0.75




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%


43,200 Allegion Plc ......................... 2,977 0.17

64,780

Johnson Controls

International Plc .................. 3,014 0.17


114,772 Medtronic Plc ...................... 9,916 0.56


34,759 Pentair Plc ........................... 2,233 0.13

35,289 2.00

Israel (0.32%)

Banks

254,789 Bank Hapoalim BM ............ 1,444 0.08

Software

53,068

Check Point Software

Technologies Ltd ................. 4,119 0.24

5,563 0.32

Italy (0.39%)

Electric Utilities

695,288 A2A SpA ............................. 982 0.06

257,900 Enel SpA ............................. 1,150 0.06

Oil and Gas

326,190 Eni SpA ............................... 4,699 0.27

6,831 0.39

Japan (4.48%)

Agriculture

24,600 Japan Tobacco Inc ............... 1,001 0.06

Automobiles

74,200 Fuji Heavy Industries Ltd .... 2,751 0.15

65,200 Mitsubishi Motors Corp ...... 302 0.02

216,200 Toyota Motor Corp .............. 12,338 0.70

Banks

103,900

Mitsubishi UFJ Financial

Group Inc ............................ 518 0.03

39,200

Sumitomo Mitsui Financial

Group Inc ............................ 1,308 0.07

Beverages

6,100

Coca-Cola East Japan Co

Ltd ....................................... 132 0.01

16,700 Coca-Cola West Co Ltd ...... 465 0.02

Chemicals

3,000 DIC Corp ............................. 92 0.01

187,000 Tokuyama Corp ................... 777 0.04


177,000 Toppan Printing Co Ltd ....... 1,587 0.09


129,800 Hazama Ando Corp ............. 784 0.04

237,100 Taisei Corp .......................... 1,768 0.10

28,400 Tokyu Construction Co Ltd . 282 0.02

Distributors

22,100 Canon Marketing Japan Inc . 409 0.02


1,952,000 Daiwa Securities Group Inc 10,879 0.62

Number

of Shares

Fair Value

USD ‘000

Fund

%


71,200 Hoya Corp .......................... 2,839 0.16

107,000

Nippon Electric Glass Co

Ltd ...................................... 549 0.03

Food Products

52,000 NH Foods Ltd ..................... 1,251 0.07

221,700 Nippon Suisan Kaisha Ltd .. 948 0.05

Home Builders

14,300 Iida Group Holdings Co Ltd 286 0.02


11,000 Round One Corp ................. 74 0.00

49,500 Tokyo Dome Corp .............. 461 0.03


51,700 Mixi Inc .............................. 1,856 0.11

Machinery

31,600 Amada Holdings Co Ltd ..... 326 0.02

195,400 Kubota Corp ....................... 2,920 0.16

42,000

Mitsubishi Heavy Industries

Ltd ...................................... 174 0.01

Media

22,200 Fuji Media Holdings Inc ..... 300 0.02

Office Electronics

28,600 Canon Inc ............................ 826 0.05

Oil and Gas

85,400 Inpex Corp .......................... 767 0.04


15,800 Sumitomo Forestry Co Ltd . 210 0.01

Pharmaceuticals

274,400 Astellas Pharma Inc ............ 4,264 0.24

14,500 Daiichi Sankyo Co Ltd ....... 346 0.02

62,700

Mitsubishi Tanabe Pharma

Corp .................................... 1,334 0.08

Real Estate

3,100

Daito Trust Construction Co

Ltd ...................................... 495 0.03

Retail Trade

12,096 Fast Retailing Co Ltd .......... 3,857 0.22

5,740 Ryohin Keikaku Co Ltd ...... 1,152 0.06


15,200 Rohm Co Ltd ...................... 793 0.05

Telecommunications

231,400

Nippon Telegraph &

Telephone Corp .................. 10,543 0.60

182,300 NTT Docomo Inc ................ 4,612 0.26


45,200 Bandai Namco Holdings Inc 1,373 0.08

Transport

4,300 Central Japan Railway Co ... 731 0.04

148,000 Nippon Yusen KK .............. 275 0.02

78,955 4.48


Advertising

626,291 WPP Plc .............................. 14,758 0.84




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Auto Components

42,767 Delphi Automotive Plc ........ 3,050 0.17


70,900 Regus Plc ............................. 240 0.01

Metals and Mining

718,963 Centamin Plc ....................... 1,386 0.08

6,066,100 Glencore Plc ........................ 16,717 0.95

36,151 2.05


Personal Products

16,588 Amorepacific Corp .............. 5,859 0.33

2,089

LG Household & Health

Care Ltd ............................... 1,811 0.10



20,800 1.18

Luxembourg (0.16%)

Iron and Steel

16,650 APERAM SA ...................... 752 0.04


133,500 Subsea 7 SA ........................ 1,433 0.08

Telecommunications

11,120

Millicom International

Cellular SA .......................... 578 0.04

2,763 0.16

Mexico (0.28%)

Banks

313,446

Grupo Financiero Banorte

SAB de CV .......................... 1,649 0.09

Beverages

36,280

Fomento Economico

Mexicano SAB de CV ADR 3,339 0.19

4,988 0.28

Netherlands (2.68%)

Automobiles

177,700


NV ....................................... 1,128 0.06

Beverages

84,145 Heineken NV ....................... 7,405 0.42

Chemicals

86,328 Akzo Nobel NV ................... 5,849 0.33


10,870 Koninklijke Philips NV ....... 322 0.02

Food Products

204,877


NV ....................................... 4,672 0.27

Insurance

135,632 NN Group NV ..................... 4,169 0.24

Machinery

1,789,300 CNH Industrial NV ............. 12,809 0.73

Media

45,960 Wolters Kluwer NV ............ 1,968 0.11

Number

of Shares

Fair Value

USD ‘000

Fund

%


44,954 Core Laboratories NV ......... 5,050 0.29

Personal Products

81,700 Unilever NV ....................... 3,771 0.21

47,143 2.68

New Zealand (0.02%)


45,253

Auckland International

Airport Ltd .......................... 242 0.01

Electric Utilities

25,038 Contact Energy Ltd ............. 92 0.01

334 0.02

Norway (0.35%)

Metals and Mining

1,008,400 Norsk Hydro ASA .............. 4,347 0.24

Telecommunications

110,253 Telenor ASA ....................... 1,891 0.11

6,238 0.35

Panama (0.22%)


77,868 Carnival Corp ..................... 3,802 0.22

Papua New Guinea (0.02%)

Oil and Gas

73,600 Oil Search Ltd ..................... 399 0.02

Russia (0.19%)

Banks

349,560


ADR .................................... 3,278 0.19

Singapore (0.39%)

Airlines

22,800

Singapore Airlines

Ltd ...................................... 176 0.01


38,500 SATS Ltd ............................ 141 0.01


34,400 Singapore Exchange Ltd ..... 187 0.01

Media

73,000

Singapore Press Holdings

Ltd ...................................... 204 0.01


27,110 Broadcom Ltd ..................... 4,677 0.27

Shipbuilding

911,800

Yangzijiang Shipbuilding

Holdings Ltd ....................... 502 0.03

Telecommunications

252,800

Singapore

Telecommunications

Ltd ...................................... 736 0.04

11,600 StarHub Ltd ........................ 29 0.00




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Transport

96,700 ComfortDelGro Corp Ltd .... 199 0.01

6,851 0.39


Food Products

266,042 Shoprite Holdings Ltd ......... 3,703 0.21

Media

15,574 Naspers Ltd ......................... 2,690 0.15

6,393 0.36

Spain (0.40%)


15,283 Aena SA .............................. 2,255 0.13


37,538

Gamesa Corp Tecnologica

SA ....................................... 899 0.05

Media

188,485

Mediaset Espana

Comunicacion SA ............... 2,235 0.12

Oil and Gas

126,060 Repsol SA ........................... 1,711 0.10

7,100 0.40

Sweden (0.94%)

Banks

39,291 Svenska Handelsbanken AB 541 0.03

28,479 Swedbank AB ...................... 670 0.04


11,624 Skanska AB ......................... 272 0.01

Home Furnishings

97,489 Electrolux AB ...................... 2,448 0.14

Metals and Mining

126,690 Boliden AB ......................... 2,981 0.17

Personal Products

323,829

Svenska Cellulosa AB

SCA ..................................... 9,631 0.55

16,543 0.94

Switzerland (6.66%)

Auto Components

2,025 Georg Fischer AG ............... 1,776 0.10

Banks

1,153,739 Credit Suisse Group AG ...... 15,127 0.86

461,573 UBS Group AG ................... 6,299 0.36

Building Products

214,425 LafargeHolcim Ltd .............. 11,613 0.66

Chemicals

11,403 Lonza Group AG ................. 2,183 0.12


60,723 Adecco Group AG ............... 3,426 0.20

168 SGS SA ............................... 377 0.02


10,028 GAM Holding AG ............... 96 0.01

354,619 Julius Baer Group Ltd ......... 14,461 0.82

Number

of Shares

Fair Value

USD ‘000

Fund

%

Food Products

165,206 Nestle SA ............................ 13,046 0.74


20,607 Sonova Holding AG ........... 2,923 0.17

Insurance

27,198 Chubb Ltd ........................... 3,417 0.20

15,747 Swiss Life Holding AG ....... 4,085 0.23

20,130 Swiss Re AG ....................... 1,820 0.10

Pharmaceuticals

36,365 Actelion Ltd ........................ 6,310 0.36

25,633 Novartis AG ........................ 2,020 0.11

42,613 Roche Holding AG ............. 10,594 0.60

Retail Trade

278,240


SA ....................................... 16,992 0.97

Telecommunications

768 Swisscom AG ..................... 366 0.02

Transport

1,693

Kuehne & Nagel


117,177 6.66

Taiwan (0.12%)


69,400



Thailand (0.07%)

Banks

215,400 Kasikornbank PCL .............. 1,166 0.07


Agriculture

18,673


Plc ....................................... 1,196 0.07

100,640 Imperial Tobacco Group Plc 5,195 0.29

Banks

300,574 Standard Chartered Plc ....... 2,453 0.14

Beverages

649,584 Diageo Plc .......................... 18,652 1.06

Distributors

123,346 Inchcape Plc ........................ 1,055 0.06

Food Products

428,916 Compass Group Plc ............ 8,330 0.47

Home Builders

25,632 Persimmon Plc .................... 604 0.04

99,223 Taylor Wimpey Plc ............. 199 0.01

Household Products

131,235 Reckitt Benckiser Group Plc 12,385 0.70

Insurance

74,900 Aon Plc ............................... 8,426 0.48

Lodging

55,913 Whitbread Plc ..................... 2,844 0.16




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Media

325,595 Sky Plc ................................ 3,781 0.22

Metals and Mining

135,970 Rio Tinto Plc ....................... 4,547 0.26

Oil and Gas

83,966 Royal Dutch Shell Plc ......... 2,092 0.12

Other Finance

315,199 3i Group Plc ........................ 2,663 0.15

Pharmaceuticals

14,690 AstraZeneca Plc .................. 955 0.06


146,323 Indivior Plc .......................... 583 0.03


138,295 Great Portland Estates Plc ... 1,137 0.06

49,220 Land Securities Group Plc ... 676 0.04

Retail Trade

5,127 Next Plc ............................... 318 0.02

Textile and Apparel

149,784 Burberry Group Plc ............. 2,683 0.15

81,130 4.61


Advertising

67,690 Omnicom Group Inc ............ 5,754 0.33


47,496 Boeing Co ........................... 6,257 0.35

5,000

L-3 Communications

Holdings Inc ........................ 754 0.04

4,974 Lockheed Martin Corp ........ 1,192 0.07

24,204 Raytheon Co ........................ 3,295 0.19

94,600

Spirit AeroSystems Holdings

Inc ....................................... 4,213 0.24

65,525 United Technologies Corp ... 6,657 0.38

Agriculture

12,682


Inc ....................................... 1,233 0.07

Airlines

70,257 Delta Air Lines Inc .............. 2,765 0.16

28,700 Hawaiian Holdings Inc ........ 1,395 0.08

Auto Components

9,180

Cooper-Standard Holding

Inc ....................................... 907 0.05

32,000 Lear Corp ............................ 3,879 0.22

Automobiles

356,900 General Motors Co .............. 11,339 0.64

Banks

204,054

Bank of New York Mellon

Corp ..................................... 8,138 0.46

262,267 Citigroup Inc ....................... 12,387 0.70

159,466


Inc ....................................... 3,940 0.23

24,115 First Republic Bank ............. 1,860 0.11

100,196 Goldman Sachs Group Inc .. 16,159 0.92

129,800 JPMorgan Chase & Co ........ 8,643 0.49

Number

of Shares

Fair Value

USD ‘000

Fund

%

199,200 Morgan Stanley ................... 6,386 0.36

142,399 State Street Corp ................. 9,915 0.56

182,000 Wells Fargo & Co ............... 8,059 0.46

Beverages

27,219 Coca-Cola Co ..................... 1,152 0.07

6,642


Inc ....................................... 606 0.03

86,093 PepsiCo Inc ......................... 9,364 0.53

Biotechnology

90,912 Amgen Inc .......................... 15,165 0.86

6,500 Biogen Inc .......................... 2,035 0.11

32,700 Gilead Sciences Inc ............. 2,587 0.15

14,765

Regeneron Pharmaceuticals

Inc ....................................... 5,936 0.34

26,300 United Therapeutics Corp ... 3,106 0.18

Building Products

15,307 Lennox International Inc ..... 2,404 0.14

Chemicals

4,037

EI du Pont de Nemours &

Co ....................................... 270 0.01

16,000

International Flavors &

Fragrances Inc ..................... 2,288 0.13

46,109 Monsanto Co ....................... 4,712 0.27

42,017 Praxair Inc .......................... 5,077 0.29


10,640

Automatic Data Processing

Inc ....................................... 938 0.05

12,000 CoreLogic Inc ..................... 471 0.03

35,747 FleetCor Technologies Inc .. 6,210 0.35

38,625 Global Payments Inc ........... 2,965 0.17

16,700 Insperity Inc ........................ 1,213 0.07

37,900 ManpowerGroup Inc ........... 2,739 0.15

63,074 PayPal Holdings Inc ........... 2,584 0.15

18,660 Rollins Inc .......................... 546 0.03


100,694 Apple Inc ............................ 11,383 0.65

59,488

Cognizant Technology

Solutions Corp .................... 2,838 0.16

6,715


Machines Corp .................... 1,067 0.06

25,600 NetApp Inc ......................... 917 0.05

10,400 Sykes Enterprises Inc .......... 293 0.02

59,570 Synopsys Inc ....................... 3,535 0.20

28,300 Teradata Corp ..................... 877 0.05


98,635 Berry Plastics Group Inc ..... 4,325 0.25

Distributors

15,540 WW Grainger Inc ............... 3,494 0.20


93,353 American Express Co ......... 5,978 0.34

38,000 Ameriprise Financial Inc .... 3,791 0.21

14,715 BlackRock Inc .................... 5,334 0.30

6,740 CME Group Inc .................. 704 0.04

121,492 Franklin Resources Inc ....... 4,321 0.25




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

6,742

TD Ameritrade Holding

Corp ..................................... 238 0.01

301,448 Visa Inc ............................... 24,930 1.42

Electric Utilities

35,400 AES Corp ............................ 455 0.03

6,162 Alliant Energy Corp ............ 236 0.01

3,800 DTE Energy Co ................... 356 0.02

71,136 Edison International ............ 5,140 0.29

25,200 Great Plains Energy Inc ....... 688 0.04

5,992 NextEra Energy Inc ............. 733 0.04

3,814 Pinnacle West Capital Corp 290 0.02

5,568


Group Inc ............................ 233 0.01

7,745 WEC Energy Group Inc ...... 464 0.03

3,834 Westar Energy Inc ............... 218 0.01


52,230 Amphenol Corp ................... 3,391 0.19

14,712 Emerson Electric Co ............ 802 0.05

130,488

Honeywell International

Inc ....................................... 15,214 0.87

1,487 Hubbell Inc .......................... 160 0.01

30,367 Waters Corp ........................ 4,813 0.27


34,912 Waste Management Inc ....... 2,226 0.13

Food Products

10,264 General Mills Inc ................. 656 0.04

8,169 Ingredion Inc ....................... 1,087 0.06

3,230 JM Smucker Co ................... 438 0.02

99,663 Kellogg Co .......................... 7,721 0.44

208,092 Mondelez International Inc . 9,135 0.52

6,000 Sanderson Farms Inc ........... 578 0.03

13,396 Sysco Corp .......................... 657 0.04

52,900 Tyson Foods Inc .................. 3,950 0.22

23,000 US Foods Holding Corp ...... 543 0.03

159,909 Whole Foods Market Inc ..... 4,533 0.26


15,800 Stanley Black & Decker Inc 1,943 0.11


17,015 Abbott Laboratories ............. 720 0.04

61,200 Baxter International Inc ....... 2,913 0.16

29,498 Cooper Cos Inc .................... 5,288 0.30

4,500 CR Bard Inc ........................ 1,009 0.06

37,668 Dentsply Sirona Inc ............. 2,239 0.13

76,400 Hologic Inc .......................... 2,967 0.17

109,252 St Jude Medical Inc ............. 8,714 0.49

81,259 Stryker Corp ........................ 9,459 0.54

91,392


Inc ....................................... 14,537 0.83

76,596

Zimmer Biomet Holdings

Inc ....................................... 9,959 0.56


65,100 HCA Holdings Inc ............... 4,924 0.28

26,800 UnitedHealth Group Inc ...... 3,752 0.21

Number

of Shares

Fair Value

USD ‘000

Fund

%

17,190

Universal Health Services

Inc ....................................... 2,118 0.12

Home Builders

10,400 Thor Industries Inc .............. 881 0.05

Home Furnishings

3,592 Leggett & Platt Inc .............. 164 0.01


48,527 Harley-Davidson Inc ........... 2,552 0.14

1,631 Polaris Industries Inc .......... 126 0.01

Household Products

4,023 Clorox Co ........................... 504 0.03

8,076 Kimberly-Clark Corp .......... 1,019 0.06

Insurance

13,893 Aflac Inc ............................. 998 0.06

994 Alleghany Corp ................... 522 0.03

101,200 Allstate Corp ....................... 7,000 0.40

2,644


Inc ....................................... 198 0.01

202,300

American International

Group Inc ............................ 12,003 0.68

4,756 Arthur J Gallagher & Co ..... 242 0.01

5,161 Cincinnati Financial Corp ... 389 0.02

1,494 Erie Indemnity Co ............... 152 0.01

138,800 MBIA Inc ............................ 1,081 0.06

554 Mercury General Corp ........ 30 0.00

3,653 ProAssurance Corp ............. 192 0.01


2,100

Reinsurance Group of

America Inc ........................ 227 0.01

8,858 Travelers Cos Inc ................ 1,015 0.06

162,900 Voya Financial Inc .............. 4,695 0.27


27,162 Alphabet Inc (Class A) ....... 21,839 1.24

12,646 Alphabet Inc (Class C) ........ 9,829 0.56

12,159 Amazon.com Inc ................. 10,180 0.58

356,791 eBay Inc .............................. 11,737 0.66

9,500 F5 Networks Inc ................. 1,184 0.07

145,763 Facebook Inc ....................... 18,696 1.06

20,228 MercadoLibre Inc ............... 3,742 0.21

5,375 Priceline Group Inc ............. 7,909 0.45

250,956 Symantec Corp ................... 6,299 0.36

Iron and Steel

41,800 Steel Dynamics Inc ............. 1,045 0.06

Lodging

9,794 Wynn Resorts Ltd ............... 954 0.05

Machinery

8,700 BWX Technologies Inc ...... 334 0.02

101,300 Caterpillar Inc ..................... 8,992 0.51

70,835 Cummins Inc ....................... 9,078 0.52

3,524 Rockwell Automation Inc ... 431 0.02

21,100 SPX FLOW Inc .................. 652 0.04

Media

15,500 CBS Corp ............................ 848 0.05




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

39,827

Charter Communications

Inc ....................................... 10,751 0.61

83,529 Comcast Corp ...................... 5,541 0.32

5,600


Inc ....................................... 147 0.01

29,300 Gannett Co Inc .................... 341 0.02

171,247 Time Warner Inc ................. 13,632 0.77

108,579 Walt Disney Co ................... 10,082 0.57


54,403 3M Co ................................. 9,587 0.54

11,800 Carlisle Cos Inc ................... 1,210 0.07

25,600

Smith & Wesson Holding

Corp ..................................... 681 0.04

Office Electronics

393,400 Xerox Corp .......................... 3,985 0.23

Oil and Gas

10,718 Chevron Corp ...................... 1,103 0.06

50,539 EOG Resources Inc ............. 4,888 0.28

18,213 Exxon Mobil Corp ............... 1,590 0.09

2,937 Helmerich & Payne Inc ....... 198 0.01


4,300 Tesoro Corp ......................... 342 0.02

82,700 Valero Energy Corp ............ 4,383 0.25


48,547 National Oilwell Varco Inc . 1,784 0.10

26,701 NOW Inc ............................. 572 0.03

Personal Products

187,892 Colgate-Palmolive Co ......... 13,928 0.79

99,652 Coty Inc ............................... 2,342 0.13

36,281 Coty Inc W/I ........................ 842 0.05

15,426 Procter & Gamble Co .......... 1,384 0.08

Pharmaceuticals

13,800 AmerisourceBergen Corp .... 1,115 0.06

35,963 Bristol-Myers Squibb Co .... 1,939 0.11

13,201 Eli Lilly & Co ...................... 1,060 0.06

94,400 Express Scripts Holding Co 6,658 0.38

67,335 Johnson & Johnson ............. 7,954 0.45

41,700 McKesson Corp ................... 6,953 0.39

19,777 Merck & Co Inc .................. 1,234 0.07

66,494 Pfizer Inc ............................. 2,252 0.13

19,344 VCA Inc .............................. 1,354 0.08


49,900 Apple Hospitality REIT Inc 924 0.05

86,300

CBL & Associates

Properties Inc ...................... 1,048 0.06

30,421

Columbia Property Trust

Inc ....................................... 681 0.04

14,370 Equinix Inc .......................... 5,177 0.30

18,400 Equity Commonwealth ........ 556 0.03

1,915


Trust .................................... 295 0.02

4,664 Public Storage ..................... 1,041 0.06

2,794 Regency Centers Corp ......... 217 0.01

Number

of Shares

Fair Value

USD ‘000

Fund

%

7,850 Taubman Centers Inc .......... 584 0.03

Retail Trade

4,901 AutoZone Inc ...................... 3,766 0.21

13,600 Best Buy Co Inc .................. 519 0.03

16,100 Big Lots Inc ........................ 769 0.04

15,300 Children's Place Inc ............ 1,222 0.07

7,560 Coach Inc ............................ 276 0.02

35,111 CVS Health Corp ................ 3,125 0.18

21,100 Darden Restaurants Inc ....... 1,294 0.07

12,400 Foot Locker Inc .................. 840 0.05

3,962 Genuine Parts Co ................ 398 0.02

10,321 Home Depot Inc .................. 1,328 0.08

20,500 Kohl's Corp ......................... 897 0.05

70,554 Lowe's Cos Inc .................... 5,095 0.29

10,408 McDonald's Corp ................ 1,201 0.07

46,500 PVH Corp ........................... 5,138 0.29

115,966 Sally Beauty Holdings Inc .. 2,978 0.17

50,900 Starbucks Corp ................... 2,756 0.16

41,568 Tiffany & Co ...................... 3,019 0.17

153,585 Urban Outfitters Inc ............ 5,302 0.30

126,736 Wal-Mart Stores Inc ........... 9,140 0.52


11,999 Analog Devices Inc ............. 773 0.04

97,500 Applied Materials Inc ......... 2,940 0.17

109,291 Intel Corp ............................ 4,126 0.24

7,667

Maxim Integrated Products

Inc ....................................... 306 0.02

63,086 Microchip Technology Inc .. 3,920 0.22

15,655 Qualcomm Inc .................... 1,072 0.06

13,192 Texas Instruments Inc ......... 926 0.05

6,889 Xilinx Inc ............................ 374 0.02

Shipbuilding

31,200

Huntington Ingalls Industries

Inc ....................................... 4,787 0.27

Software

51,639 Activision Blizzard Inc ....... 2,288 0.13

44,975 Adobe Systems Inc ............. 4,882 0.28

9,887 CA Inc ................................ 327 0.02

91,107 Cerner Corp ........................ 5,626 0.32

78,300 Citrix Systems Inc ............... 6,673 0.38

4,800 Intuit Inc ............................. 528 0.03

123,591 Microsoft Corp ................... 7,119 0.40

203,800

Nuance Communications

Inc ....................................... 2,955 0.17

208,124 Oracle Corp ......................... 8,175 0.47

59,652 Red Hat Inc ......................... 4,822 0.27

67,260 Salesforce.com Inc .............. 4,798 0.27

Telecommunications

76,389 AT&T Inc ........................... 3,102 0.18

42,600 CenturyLink Inc .................. 1,169 0.07

133,929 Cisco Systems Inc ............... 4,248 0.24

18,400 NETGEAR Inc ................... 1,113 0.06




30 September 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

176,565


Inc ....................................... 9,178 0.52

Textile and Apparel

22,160 Mohawk Industries Inc ........ 4,440 0.25

63,583 NIKE Inc ............................. 3,348 0.19

Transport

3,860


Inc ....................................... 272 0.02

52,281 Kansas City Southern .......... 4,879 0.28

45,346 Union Pacific Corp .............. 4,423 0.25

81,313 United Parcel Service Inc .... 8,892 0.50

847,941 48.17

Total Common Stock ........ 1,686,340 95.79


Germany (0.19%)

Household Products

24,526 Henkel AG & Co KGaA ..... 3,335 0.19

Total Preferred Stock ........ 3,335 0.19

Warrants (0.47%)

Switzerland (0.47%)

25,680 UBS AG London ................. 2,768 0.16

3,361,600 UBS AG London Delta One 2,885 0.16

311,119

UBS AG London Delta One

(Swiss Listing) .................... 2,709 0.15

Total Warrants .................. 8,362 0.47

Total Transferable

Securities ............................ 1,698,037 96.45

Number

of Shares

Fair Value

USD ‘000

Fund

%


Ireland (2.26%)

51




Roll-Up Shares ................... 67 0.00

39,559




Shares ................................. 39,705 2.26

6




Shares ................................. 7 0.00


Total Investments

excluding Financial

Derivative Instruments ..... 1,737,816 98.71



Notional

Amount

USD ‘000

Average

Cost Price

USD

Unrealised

Gain (Loss)

USD ‘000

Fund

%

2,024 4,937.73

41 of CAC40 10 Euro Futures


Expiring October 2016 ............................................. 23 0.00

1,766 11,773.49

6 of DAX Index Futures


Expiring December 2016 ..........................................

6

0.00

(71,206) (3,387.53)




480

0.03

1,911 3,352.78




7

0.00

2,946 8,664.94

34 of FTSE 100 Index Futures



83

0.01




30 September 2016



Notional

Amount

USD ‘000

Average

Cost Price

USD

Unrealised

Gain (Loss)

USD ‘000

Fund

%

757 3,026.68

5 of Hang Seng Index Futures


Expiring October 2016 .............................................

(5)

0.00

(69,285) (914.05)

1516 of Mini MSCI Emerging Market Index



118

0.01

529 165.21

32 of OMX 30 Index Futures


Expiring October 2016 .............................................

9

0.00

2,030 1,561.80

13 of S&P Mid 400 E Mini



(16)

0.00

1,534 639.30

12 of S&P TSX 60 Index Futures



27

0.00

113,716 2,161.89

1052 of S&P500 E Mini Futures



(79)

(0.01)

1,198 3,993.75

12 of SPI 200 Index Futures



45

0.00

1,605 8,445.54

19 of Swiss Market Index Futures



(14)

0.00

56,510 13.20

428 of Topix Index Futures



(593)

(0.03)




Open Forward Foreign Currency Exchange Contracts (0.03%)

Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

06/10/2016 AUD 54 EUR 36 - 0.00

06/10/2016 AUD 11 GBP 6 - 0.00

06/10/2016 AUD 8 GBP 5 - 0.00

06/10/2016 AUD 9 USD 6 - 0.00

06/10/2016 AUD 5 USD 4 - 0.00

06/10/2016 AUD 33 USD 25 - 0.00

21/12/2016 AUD 700 USD 535 - 0.00

21/12/2016 AUD 100 USD 75 1 0.00

21/12/2016 AUD 6,341 USD 4,854 (10) 0.00

21/12/2016 AUD 300 USD 226 3 0.00

06/10/2016 CAD 14 GBP 8 - 0.00

06/10/2016 CAD 11 USD 8 - 0.00

21/12/2016 CAD 1,000 USD 773 (12) 0.00

21/12/2016 CAD 300 USD 227 2 0.00

21/12/2016 CAD 1,343 USD 1,040 (17) 0.00

21/12/2016 CAD 1,343 USD 1,040 (17) 0.00




30 September 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

21/12/2016 CAD 1,343 USD 1,039 (17) 0.00

21/12/2016 CAD 1,343 USD 1,040 (17) 0.00

21/12/2016 CAD 1,343 USD 1,041 (18) 0.00

21/12/2016 CAD 1,457 USD 1,125 (16) 0.00

06/10/2016 CHF 10 GBP 8 - 0.00

06/10/2016 CHF 4 USD 4 - 0.00

06/10/2016 CHF 4 USD 4 - 0.00

21/12/2016 CHF 600 USD 622 - 0.00

21/12/2016 CHF 500 USD 517 1 0.00

21/12/2016 CHF 820 USD 850 (1) 0.00

21/12/2016 CHF 300 USD 309 2 0.00

06/10/2016 EUR 3,127 AUD 4,642 (38) 0.00

06/10/2016 EUR 4,087 CAD 5,970 51 0.00

06/10/2016 EUR 3,805 CHF 4,168 (23) 0.00

06/10/2016 EUR 34 GBP 29 - 0.00

06/10/2016 EUR 1,975 GBP 1,676 43 0.00

06/10/2016 EUR 1,976 GBP 1,676 43 0.00

06/10/2016 EUR 1,976 GBP 1,676 43 0.00

06/10/2016 EUR 196 GBP 167 4 0.00

06/10/2016 EUR 1,976 GBP 1,676 44 0.00

06/10/2016 EUR 1,514 HKD 13,095 13 0.00

06/10/2016 EUR 2,289 JPY 263,184 (26) 0.00

06/10/2016 EUR 2,289 JPY 263,184 (27) 0.00

06/10/2016 EUR 2,289 JPY 263,184 (27) 0.00

06/10/2016 EUR 138 JPY 15,918 (2) 0.00

06/10/2016 EUR 2,288 JPY 263,184 (27) 0.00

06/10/2016 EUR 1,538 SEK 14,626 21 0.00

06/10/2016 EUR 537 SGD 817 5 0.00

06/10/2016 EUR 13 USD 14 - 0.00

06/10/2016 EUR 13 USD 15 - 0.00

06/10/2016 EUR 17,647 USD 19,673 160 0.02

06/10/2016 EUR 17,638 USD 19,673 151 0.01

06/10/2016 EUR 17,641 USD 19,673 154 0.02

06/10/2016 EUR 635 USD 708 5 0.00

06/10/2016 EUR 17,642 USD 19,673 155 0.02

21/12/2016 EUR 1,000 USD 1,129 (1) 0.00

21/12/2016 EUR 3,000 USD 3,381 3 0.00

21/12/2016 EUR 1,800 USD 2,028 2 0.00

21/12/2016 EUR 3,005 USD 3,399 (9) 0.00

21/12/2016 EUR 1,000 USD 1,126 2 0.00

06/10/2016 GBP 112 AUD 195 (4) 0.00

06/10/2016 GBP 112 AUD 195 (4) 0.00

06/10/2016 GBP 143 CAD 246 (2) 0.00

06/10/2016 GBP 143 CAD 246 (1) 0.00

06/10/2016 GBP 3 CAD 6 - 0.00

06/10/2016 GBP 133 CHF 171 (4) 0.00




30 September 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

06/10/2016 GBP 133 CHF 171 (4) 0.00

06/10/2016 GBP 5 CHF 6 - 0.00

06/10/2016 GBP 491 EUR 579 (12) 0.00

06/10/2016 GBP 491 EUR 579 (13) 0.00

06/10/2016 GBP 12 EUR 14 - 0.00

06/10/2016 GBP 53 HKD 545 (1) 0.00

06/10/2016 GBP 53 HKD 545 (1) 0.00

06/10/2016 GBP - HKD 5 - 0.00

06/10/2016 GBP 327 JPY 44,355 (13) 0.00

06/10/2016 GBP 327 JPY 44,355 (13) 0.00

06/10/2016 GBP 4 JPY 551 - 0.00

06/10/2016 GBP 54 SEK 604 - 0.00

06/10/2016 GBP 54 SEK 604 - 0.00

06/10/2016 GBP 1 SEK 14 - 0.00

06/10/2016 GBP 19 SGD 34 - 0.00

06/10/2016 GBP 19 SGD 34 - 0.00

06/10/2016 GBP 7 USD 9 - 0.00

06/10/2016 GBP 6 USD 8 - 0.00

06/10/2016 GBP 2,519 USD 3,310 (37) 0.00

06/10/2016 GBP 2,518 USD 3,310 (39) 0.00

06/10/2016 GBP 9 USD 12 - 0.00

21/12/2016 GBP 1,400 USD 1,856 (35) 0.00

21/12/2016 GBP 1,523 USD 2,028 (47) (0.01)

21/12/2016 GBP 1,523 USD 2,028 (46) 0.00

21/12/2016 GBP 1,523 USD 2,028 (46) 0.00

21/12/2016 GBP 1,523 USD 2,029 (47) (0.01)

21/12/2016 GBP 1,523 USD 2,031 (50) (0.01)

21/12/2016 GBP 1,517 USD 2,019 (45) 0.00

06/10/2016 HKD 32 GBP 3 - 0.00

06/10/2016 HKD 12 USD 2 - 0.00

06/10/2016 HKD 12 USD 2 - 0.00

21/12/2016 HKD 3,000 USD 387 - 0.00

21/12/2016 HKD 17,977 USD 2,320 - 0.00

21/12/2016 HKD 1,000 USD 129 - 0.00

06/10/2016 JPY 2,521 GBP 19 - 0.00

06/10/2016 JPY 964 USD 10 - 0.00

06/10/2016 JPY 1,010 USD 10 - 0.00

21/12/2016 JPY 50,000 USD 500 (5) 0.00

21/12/2016 JPY 330,000 USD 3,245 25 0.00

21/12/2016 JPY 254,130 USD 2,509 10 0.00

21/12/2016 JPY 254,130 USD 2,510 8 0.00

21/12/2016 JPY 254,130 USD 2,509 9 0.00

21/12/2016 JPY 254,130 USD 2,510 9 0.00

21/12/2016 JPY 254,130 USD 2,510 8 0.00

21/12/2016 JPY 4,297,916 USD 42,417 172 0.01

06/10/2016 SEK 35 GBP 3 - 0.00




30 September 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

06/10/2016 SEK 13 USD 2 - 0.00

06/10/2016 SEK 14 USD 2 - 0.00

21/12/2016 SEK 1,700 USD 202 (3) 0.00

21/12/2016 SEK 1,000 USD 117 - 0.00

21/12/2016 SEK 3,036 USD 361 (5) 0.00

06/10/2016 SGD 20 EUR 13 - 0.00

06/10/2016 SGD 2 GBP 1 - 0.00

06/10/2016 SGD 2 GBP 1 - 0.00

06/10/2016 SGD 1 USD 1 - 0.00

06/10/2016 SGD 1 USD 1 - 0.00

06/10/2016 SGD 2 USD 1 - 0.00

06/10/2016 SGD 15 USD 11 - 0.00

06/10/2016 USD 828 AUD 1,103 (16) 0.00

06/10/2016 USD 829 AUD 1,103 (15) 0.00

06/10/2016 USD 829 AUD 1,103 (15) 0.00

06/10/2016 USD 443 AUD 589 (8) 0.00

06/10/2016 USD 828 AUD 1,103 (16) 0.00

21/12/2016 USD 149 AUD 200 (3) 0.00

21/12/2016 USD 4,372 AUD 5,715 6 0.00

06/10/2016 USD 1,061 CAD 1,391 3 0.00

06/10/2016 USD 1,062 CAD 1,391 3 0.00

06/10/2016 USD 1,062 CAD 1,391 4 0.00

06/10/2016 USD 581 CAD 760 2 0.00

06/10/2016 USD 104 CAD 136 - 0.00

06/10/2016 USD 1,062 CAD 1,391 4 0.00

21/12/2016 USD 152 CAD 200 (1) 0.00

21/12/2016 USD 76 CAD 100 - 0.00

21/12/2016 USD 5,517 CAD 7,116 99 0.01

06/10/2016 USD 984 CHF 967 (13) 0.00

06/10/2016 USD 985 CHF 967 (13) 0.00

06/10/2016 USD 986 CHF 967 (12) 0.00

06/10/2016 USD 540 CHF 531 (7) 0.00

06/10/2016 USD 111 CHF 109 (1) 0.00

06/10/2016 USD 984 CHF 967 (13) 0.00

21/12/2016 USD 205 CHF 200 (2) 0.00

21/12/2016 USD 104 CHF 100 - 0.00

21/12/2016 USD 104 CHF 100 - 0.00

21/12/2016 USD 13,028 CHF 12,619 (51) (0.01)

21/12/2016 USD 310 CHF 300 - 0.00

06/10/2016 USD 3,650 EUR 3,274 (30) 0.00

06/10/2016 USD 3,652 EUR 3,274 (29) 0.00

06/10/2016 USD 3,651 EUR 3,274 (30) 0.00

06/10/2016 USD 1,992 EUR 1,786 (16) 0.00

06/10/2016 USD 323 EUR 290 (2) 0.00

06/10/2016 USD 3,651 EUR 3,274 (30) 0.00

21/12/2016 USD 3,704 EUR 3,300 (18) 0.00




30 September 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

21/12/2016 USD 3,908 EUR 3,461 4 0.00

21/12/2016 USD 13,346 EUR 11,792 45 0.00

21/12/2016 USD 338 EUR 300 - 0.00

21/12/2016 USD 13,338 EUR 11,792 37 0.00

21/12/2016 USD 13,351 EUR 11,792 50 0.00

21/12/2016 USD 13,341 EUR 11,792 40 0.00

21/12/2016 USD 14,476 EUR 12,792 47 0.00

06/10/2016 USD 191 GBP 147 - 0.00

06/10/2016 USD 2,098 GBP 1,597 23 0.00

06/10/2016 USD 2,100 GBP 1,597 25 0.00

06/10/2016 USD 2,100 GBP 1,597 25 0.00

06/10/2016 USD 1,150 GBP 875 14 0.00

06/10/2016 USD 223 GBP 170 2 0.00

06/10/2016 USD 2,099 GBP 1,597 24 0.00

21/12/2016 USD 524 GBP 400 4 0.00

21/12/2016 USD 10,701 GBP 8,014 274 0.02

06/10/2016 USD 215 HKD 1,667 - 0.00

06/10/2016 USD 1,612 HKD 12,499 - 0.00

21/12/2016 USD 2,115 HKD 16,391 - 0.00

06/10/2016 USD 2,430 JPY 250,585 (46) (0.01)

06/10/2016 USD 2,430 JPY 250,585 (45) (0.01)

06/10/2016 USD 2,430 JPY 250,585 (46) (0.01)

06/10/2016 USD 1,320 JPY 136,083 (24) 0.00

06/10/2016 USD 171 JPY 17,619 (4) 0.00

06/10/2016 USD 2,430 JPY 250,585 (46) (0.01)

21/12/2016 USD 1,485 JPY 150,855 (9) 0.00

21/12/2016 USD 1,991 JPY 200,000 10 0.00

21/12/2016 USD 199 JPY 20,000 1 0.00

21/12/2016 USD 589 JPY 60,000 (6) 0.00

06/10/2016 USD 218 SEK 1,863 1 0.00

06/10/2016 USD 1,637 SEK 13,959 9 0.00

21/12/2016 USD 118 SEK 1,000 - 0.00

21/12/2016 USD 71 SEK 600 2 0.00

06/10/2016 USD 76 SGD 104 - 0.00

06/10/2016 USD 570 SGD 777 - 0.00



Net unrealised gain (loss) on open forward foreign currency exchange contracts ....... 558 0.03

Total Financial Derivative Instruments ............................................................................ 649 0.04




30 September 2016



Fair Value

USD ‘000

Fund

%


(98.87%) ....................................................................................................................................................... 1,740,521 98.87


Loss ((0.12)%) .............................................................................................................................................. (2,056) (0.12)


(98.75%) .................................................................................................................................................... 1,738,465 98.75

Other Net Assets (1.25%) ........................................................................................................................ 21,984 1.25

Net Assets .................................................................................................................................................. 1,760,449 100.00

Abbreviation used:



% of

gross assets

Transferable securities admitted to official stock exchange listing ........................................................................... 95.57

Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) ........................................... 0.05

Investment funds (UCITS) ......................................................................................................................................... 2.24

Exchange traded financial derivative instruments ..................................................................................................... 0.04

Over the counter financial derivative instruments ..................................................................................................... 0.11

Other assets ............................................................................................................................................................... 1.99

100.00

The broker for the open futures contracts is Morgan Stanley.


Bank of America

Bank of Montreal

BNP Paribas SA

Brown Brothers Harriman


HSBC Bank



State Street Bank and Trust Company

UBS AG




30 September 2016







Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets



Transferable securities ............................................................... 1,692,443 5,594 - 1,698,037




contracts ......................................................................................... - 1,907 - 1,907

Total assets ...................................................................................... 1,693,241 47,280 - 1,740,521

Liabilities




contracts ......................................................................................... - (1,349) - (1,349)


As at 31 March 2016

Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets



Transferable securities ............................................................... 1,800,142 6,076 - 1,806,218



Unrealised gain on open futures contracts ...................................... 4,927 - - 4,927


contracts ......................................................................................... - 6,496 - 6,496

Total assets ...................................................................................... 1,805,069 48,210 - 1,853,279

Liabilities


Unrealised loss on open futures contracts ...................................... (4,137) - - (4,137)


contracts ......................................................................................... - (5,406) - (5,406)

Total liabilities ................................................................................ (4,137) (5,406) - (9,543)





September 2016.





Acquisition Cost


Disposal Proceeds

USD ‘000




Verizon Communications Inc 10,336 Apple Inc (13,090)

Facebook Inc 9,420 Microsoft Corp (10,750)

Apple Inc 8,838 Johnson & Johnson (9,369)

Wal-Mart Stores Inc 8,703 ARM Holdings Plc (8,564)

McKesson Corp 7,926 Pfizer Inc (8,312)

Bayer AG 7,270 Deutsche Telekom AG (8,205)

PepsiCo Inc 6,815 Comcast Corp (8,126)

Goldman Sachs Group Inc 6,798 Gilead Sciences Inc (8,117)

Boeing Co 6,082 Alphabet Inc (Class A) (7,687)

Morgan Stanley 6,023 Carnival Corp (7,491)

WPP Plc 5,843 Samsung Electronics Co Ltd (7,417)

Swiss Life Holding AG 5,528 Aon Plc (7,400)

Whole Foods Market Inc 5,456 U.S. Treasury Bill

Pfizer Inc 5,297 Zero Coupon Due 21/07/2016 (6,999)

Cerner Corp 5,218 Nestle SA (6,945)

Mondelez International Inc 5,087 Facebook Inc (6,924)

HCA Holdings Inc 5,042 International Flavors & Fragrances Inc (6,900)

Astellas Pharma Inc 5,038 McDonald's Corp (6,723)

Cie Financiere Richemont SA 5,002 Fuji Heavy Industries Ltd (6,382)

Altria Group Inc (6,300)


Notes to the Financial Statements

30 September 2016

180 Notes to the Financial Statements

1. Basis of preparation

The Company’s condensed semi-annual unaudited financial statements (the “Financial Statements”) have been prepared for

the six months ended 30 September 2016.

a) Statement of compliance

The Financial Statements are prepared in accordance with Financial Reporting Standard (“FRS”) 104: Interim Financial

Reporting (“FRS 104”) (for the first time), the financial reporting standard applicable to in the U.K. and Republic of Ireland

for preparing interim financial statements, and the provisions of the UCITS Regulations.

FRS 104 is promulgated by the Institute of Chartered Accountants in Ireland and issued by the Financial Reporting Council.

The Financial Statements should be read in conjunction with the Company’s annual audited financial statements for the year

ended 31 March 2016.

b) Basis of measurement, accounting policies and presentation

The basis of measurement and accounting policies applied in preparing these Financial Statements under FRS 104 are

consistent with those applied in preparing the Company’s annual audited financial statements for the year ended 31 March

2016 under FRS 102.

The Company has availed of the exemption available to open ended investment funds that hold a substantial proportion of

highly liquid and fair valued investments and is not presenting cash flow statements.

The information required by FRS 104 to be included in a statement of comprehensive income, is, in the opinion of the

Directors, contained in the Profit and Loss Account of the Company and each Fund.

The financial statements of the individual Funds are prepared in the functional currency of the respective Fund. The

functional currency of each Fund is that disclosed on the primary statements of the respective Fund.

The Company has also adopted Euro as the presentation currency. The combined financial statements of the Company are

measured using Euro, being the functional currency of the primary economic environment in which it operates.

For the purpose of producing the Combined Balance Sheet, respective financial period end exchange rates are used. For the

purpose of producing the Combined Profit and Loss Account and the Combined Statement of Changes in Net Assets

Attributable to Redeemable Participating Shareholders, the average exchange rates for the period are used. The currency gain

or loss on re-translation of the opening net assets and the average rate difference arising on the translation of the Combined

Profit and Loss Account and the Combined Statement of Changes in Net Assets Attributable to Redeemable Participating

Shareholders is included in the Combined Statement of Changes in Net Assets Attributable to Redeemable Participating

Shareholders. This translation adjustment does not impact the net asset value per share of any of the individual Funds.

c) Estimates and Judgements

The estimates and judgements applied in preparing the Company’s financial statements are consistent with those applied and

disclosed in the Company’s annual audited financial statements as at and for the year ended 31 March 2016.


Notes to the Financial Statements - continued

30 September 2016

Notes to the Financial Statements 181

2. Cash at Bank and Cash Held with/due to Brokers and Counterparties

a) Cash at Bank

Cash at bank balances are comprised of cash balances held by State Street Bank and Trust Company’s (“State Street”)

custodian network*, unrestricted margin accounts held by brokers and for futures contracts held by the Funds and net

unrealised gains and losses on open spot foreign currency exchange contracts. The names of brokers used by each individual

Fund can be found at the base of each relevant Fund’s Schedule of Investments.

Cash held in U.S. Dollar bank accounts with State Street automatically transfer into the demand deposit account at State

Street Bank and Trust New York in the name of State Street Bank and Trust Company - London.

b) Cash held with brokers and counterparties for open financial derivative instruments

Cash is also deposited by or on behalf of the Funds for initial margin purposes with brokers for options and futures contracts

and as collateral with counterparties in respect of OTC FDIs and held on the Funds. As this amount is the minimum deemed

by the brokers and counterparties for collateral requirements the cash is as such restricted and is reported separately to the

unrestricted cash on the Funds’ Balance Sheets. Cash collateral pledged by counterparties and held by the Funds remains in

the ownership of the relevant counterparty and a related liability to repay the cash is recognised within “Cash due to brokers

and counterparties for open financial derivative instruments” on the relevant Fund’s Balance Sheet.

c) Cash due to brokers and counterparties for open financial derivative instruments

Cash amounts may be pledged as collateral by counterparties to the Funds for OTC FDIs and this cash is held by the relevant

Funds and is payable back to the relevant counterparty. Margin cash amounts may also be owed by the Funds to brokers for

exchange traded FDI transactions at each balance sheet date. These amounts are recognised within “Cash due to brokers and

counterparties for open financial derivative instruments” on the respective Balance Sheets.

The cash amounts pledged as collateral by counterparties form part of the net assets of the respective Funds and a related

asset is included within “Cash held with brokers and counterparties for open financial derivative instruments” on the Balance

Sheet.

3. Transactions with Related Parties

a) Related Parties

Parties are considered to be related if one party has the ability to control the other party or is able to exercise significant

influence over the other party, in making financial or operational decisions. The following entities were related parties to the

Company during the six months ended 30 September 2016 and the year ended 31 March 2016.

Relation to the Company Name of entity

Details

disclosed

in section of

this note

Manager ............................................................................................................................. Russell Investments Ireland Limited ................................................................................ b), i)

Adviser, Promoter and Distributor (the “Adviser”) .......................................................... Russell Investments Limited ............................................................................................ b), ii)

Affiliated Money Manager ................................................................................................ Affiliated Russell entities ................................................................................................. b), iv)

Affiliated Broker ............................................................................................................... Russell Investments Implementation Services, LLC ....................................................... b), iv)

Currency Implementation ................................................................................................... Russell Investments Implementation Services, LLC ....................................................... b), iv)

Directors of the Company ................................................................................................. As listed in the Administration of the Company page ..................................................... b), v)

Related Party Investors and Investees ............................................................................... Affiliated Russell Investments entities and Russell Investments managed funds ........... b), vi)

* Certain cash balances may be held by sub-custodians, as approved and appointed by State Street, in markets where State Street does not operate as a

custodian.



30 September 2016


3. Transactions with Related Parties - continued

b) Related Party Transactions

i) Manager, Management Fee and Performance Fee

The Company has appointed the Manager to act as manager of the Company. The Manager is a wholly owned subsidiary

of Russell Investments Ireland Holdco Limited, which is in turn indirectly owned by Russell Investments Group, Ltd.

Russell Investments Group, Ltd. is majority owned by funds managed by TA Associates with minority stakes being held

by funds managed by Reverence Capital Partners and Russell Investments’ management. The Manager provides

investment management and administrative services to the Company. The Manager has appointed the Adviser to,

amongst other things, advise it on the investment programmes and strategies of the Funds. The Adviser also acts as

distributor for the Funds. The Manager has appointed the Administrator to act as administrator of the Company.

a) Management Fee

For services rendered under the management agreement, the Company pays the Manager a fee, accrued daily and

paid monthly in arrears, at the following annual rates based on the respective average daily net asset values of each

class of shares.

Russell Emerging Market

Debt Local Currency Fund

Russell Emerging Markets

Extended Opportunities Fund

Russell Euro

Fixed Income Fund

Class B Euro 1.70% Class A 1.30% Class B 0.80%

Class I AUD Income 1.00% Class I 1.30% Class F 1.60%

Class I Sterling 1.00% Class GBPH I Income 0.65%

Class I Sterling Income 1.00% Class I 0.60%

Class I USD 1.00% Class P Income 1.00%

Class U Euro 2.20% Class S 1.02%

Russell Global

Bond (Euro Hedged) Fund

Russell Global

Defensive Equity Fund

Russell Pan

European Equity Fund

Class A 1.50% Class A 0.95% Class A 1.60%

Class B 0.90% Class B Income 0.80% Class B 1.00%

Class DH-B 0.90% Class C 2.70% Class F 1.80%

Class GBPH I Income 0.70% Class U 2.00% Class I 0.90%

Class MZ Income 0.40% Class USD-H 1.20% Class L 1.80%

Class USD-H Income 1.20% Class PAMEU 2.30%

Class R Roll-Up 1.25%

Russell U.K. Equity Plus Fund Russell U.S. Quant Fund Russell World Equity Fund

Class B 0.65% Class B 1.00% Class B 0.90%

Class I Income 0.65% Class C 1.60% Class C 1.60%

Class N 0.65% Class I 0.80% Class D 0.75%

Class P Income 1.25% Class P Income 1.50% Class EH-T 1.15%

Class R 2.25% Class R I Roll-Up 1.20% Class I 0.90%

Class J 1.60%

Class M 0.90%

Class N 2.30%

Class R 2.60%

Class SH-B 0.95%

Class TYA 0.68%

Class TYC 0.58%

Class USD-H 1.15%

Rates for classes of shares not yet funded as at 30 September 2016 are not listed.



30 September 2016



b) Performance Fee

A performance fee (the “Performance Fee”) is payable to the Manager in respect of the RIC II Funds (with the

exception of Russell Euro Fixed Income Fund) on an annual basis who in turn pays the Performance Fee to the

Money Manager of each Fund that is entitled to a performance fee as described based on the calculation

methodology as detailed within the Prospectus.

For the six months ended 30 September 2016, Performance Fees of EUR 555,359 (six months ended 30 September

2015: EUR 542,435) were charged. These charges related to adjustment on Russell U.K. Equity Plus Fund and

charge on Russell Emerging Markets Extended Opportunities Fund.

ii) Adviser

The Manager discharges all fees payable to the Adviser out of its management fee. The Adviser is not entitled to a fee in

its capacity as Promoter to the Company.

iii) Affiliated Money Managers, Affiliated Broker and Currency Implementation

Russell Investments Implementation Services, LLC and Russell Investments Implementation Services Limited

(collectively called “RIIS”) and Russell Investment Management, LLC (“RIM”), are affiliated group companies to the

Manager and the Adviser. Russell Investments Group companies can be appointed as a Money Manager to the Funds.

Please refer to Administration section for the list of Money Managers as at 30 September 2016.

The appointment of Russell Investments group companies as Money Manager to the Funds is subject to the same

procedures as appointing an external Money Manager and an intercompany agreement and investment guidelines are

applied.

The Funds effect certain transactions through RIIS and its global network of unaffiliated correspondent brokers. RIIS is a

registered broker. Trades placed through RIIS and its correspondents are made (i) to manage trading associated with

changes in managers, rebalancing across existing managers, cash flows and other portfolio transitions or (ii) to execute

portfolio securities transactions for each Fund’s assets where RIIS has been appointed as Money Manager.

RIIS may also be engaged by the Adviser to carry out foreign currency implementation trading for which a fee of 0.02

per cent per trade will be charged.

For the six months ended 30 September 2016, the total commission earned by RIIS, encompassing the range of services

provided, amounted to EUR 363,598 (six months ended 30 September 2015: EUR 831,506).

iv) Directors and Directors’ Fees

The Articles of Association provide that the Directors are entitled to a fee by way of remuneration at a rate to be

determined from time to time by the Directors. Directors’ fees are paid to non-executive Directors not employed by

Russell Group Companies. Directors’ fees shall not exceed the limits contained in the Prospectus and the Directors are

entitled to certain additional expenses as listed in the Prospectus. Directors’ fees charged during the six months ended

were EUR 28,744 (six months ended 30 September 2015: EUR 30,207) these amounts are included in other fees in

Combined Profit and Loss Account.

All of the Directors of the Company are also directors of the Russell Investments managed funds discussed in section iv)

of this note.

All of the Directors of the Company are also directors of the Manager. The following Directors of the Company are

employed by Russell Investments group companies: Mr. James Beveridge, Mr. Peter Gonella, Mr. Neil Jenkins, Mr. John

McMurray, and Mr. Kenneth Willman.



30 September 2016



Mr. James Firn is a former employee of Russell Investments who retired in June 2014. He continues to act as a Director

of the Manager and the investment funds managed by the Manager.

The Adviser operates a defined contribution pension plan for its employees which invests in Russell Investments

managed funds including the Funds. The pension fund is subject to a management fee rebate. The Directors who are

employed by the Russell Investments group companies may be indirectly exposed to the Company through the pension

scheme.

v) Related Party Investors and Investees

a) Investment in other Russell Investments Funds

The Funds may invest in the sub-funds of other investment funds managed by the Manager as listed in the table

below. Details of the Fund’s investments in these sub-funds can be found in the Schedule of Investments of each

relevant Fund.

Fund Structure Name

Type of Fund

Structure

Management

Fee Rate

Russell Investment Company plc ............................................................................................................................................................................. UCITS Umbrella 0.05% - 2.80%

Russell Investment Company III plc ........................................................................................................................................................................ UCITS Umbrella 0.05%

b) Related Party Shareholder of the Company

During the six months ended 30 September 2016 and six months ended 30 September 2015, certain Funds of open-

ended investment funds also managed by the Manager and administered by the Administrator were invested in the

Funds. In accordance with Section 33 of FRS 104 these entities are deemed related party shareholders to the

Company.

The table below discloses the value of related shareholders in the Company and the percentage of this value against

the Company’s combined net asset value as at the respective balance sheet dates.

Related Party Shareholder

30 September 2016

EUR ‘000

Company

%

31 March 2016

EUR ‘000

Company

%

30 September 2015

EUR ‘000

Company

%

Russell Institutional Funds plc ...................................................................................................................................... 154,195 3.56% 131,134 3.08% 144,516 3.12%

Russell Investment Company plc .................................................................................................................................. 41,590 0.95% 29,791 0.70% 39,721 0.86%

Russell Investment Company V plc .............................................................................................................................. 116,776 2.71% 124,807 2.93% 161,321 3.48%

vi) Connected Party Transactions

Regulation 41 of the UCITS Regulations “Restrictions of transactions with connected persons” states that “A responsible

person shall ensure that any transaction between a UCITS and a connected person conducted a) at arm’s length; and b) in

the best interest of the unit-holders of the UCITS”.

As required under UCITS Regulation 78.4, the Directors, as responsible persons are satisfied that there are in place

arrangements, evidenced by written procedures, to ensure that the obligations that are prescribed by Regulation 41(1) are

applied to all transactions with a connected party; and all transactions with a connected parties that were entered into

during the period to which the report relates complied with the obligations that are prescribed by Regulation 41(1).

4. Significant Agreements

i) Depositary

State Street Custodial Services (Ireland) Limited is the Company’s Depositary. The Depositary has appointed its parent, State

Street, as its global sub-custodian who in turn has appointed a network of local sub-custodial agents. The sub-custodian fees

are paid at annual rates based on the total assets held in each individual country in which the Funds invest plus applicable

transaction charges. Up to 20 March 2016, custody services were provided by the Depositary. From 21 March 2016, in line

with the UCITS V Regulations, the Depositary provides depositary services.



30 September 2016


4. Significant Agreements - continued

Depositary fees accrue daily and are paid monthly in arrears.

Included within the custodian agreement is a right of set off for fees owing to and monies lent by the Depositary.

ii) Administrator and Transfer Agency

State Street Fund Services (Ireland) Limited is the Company’s Administrator. The Administrator is responsible for the daily

determination of net asset value, maintaining the books and records of the Funds in respect of the Company and other

administrative services. The Manager has also appointed the Administrator as the Company’s Transfer Agent.

Such fees accrue daily and are paid monthly in arrears. The Manager shall discharge reasonable out of pocket expenses

payable to the Administrator out of the Funds’ assets.

The Administrator is also entitled to shareholder services fees as disclosed in the administration agreement and reporting

services fees of USD 7,000 per Fund per annum.

Transfer agency fees are charged based on the number of Funds in the umbrella structure, the number of shareholders,

number of statements issued, number of share classes and volume of shareholder transactions in a period and are subject to

adequate thresholds. Transfer agency fees charged and are charged and paid on a daily basis and are recognised within

Administration and transfer agency fees in the Profit and Loss Account for each Fund.

The Depositary and Administration fees disclosed in the Profit and Loss Account include minimum fees. If the total of the

minimum fees is in excess of the combined administration and trustee percentage charges, the share class fee, the reporting

service fee and the shareholder service fee, after the deduction of any discount, then this minimum will apply. The minimum

fee for new Funds will be waived for one year from the launch of the new Fund.

The aggregate of the Administration and the Depositary Fees will not exceed 0.35 percent of the Net Asset Value of any

Fund.

5. Soft Commissions and Commission Recapture Programme

The Adviser retains the right to request that the Money Managers participate in Russell’s soft commission and commission

recapture programme (the “Programme”) by executing a portion of their securities transactions through certain brokers (the

“Correspondent Broker Networks”). Money Manager participation in the Programme is not mandatory and the appropriate

participation percentage target is determined on a Money Manager by Money Manager basis, based upon asset class,

investment mandate, trading habits, and tolerance for participation and is always subject to a Money Manager’s ability to

obtain best execution.

The Programme, including the Correspondent Broker Networks, is administered by Recapture Services, a division of BNY

ConvergEx Execution Solutions LLC (“BNY”) and State Street Global Markets (“SSGM”).

A portion of the commission earned by the Correspondent Broker Networks as a result of this trading activity will be set

aside in the Programme as “credits”. These credits are then earmarked for purchase of third party research (“Soft

Commission Credits”) or commission recapture (“Commission Credits”).

i) Soft Commission Credits

All soft commission use is overseen by Russell’s soft commission committee (the “Committee”) which is made up of

senior level investment personnel. The Committee, with the guidance of Russell’s investment strategy committee,

establishes an annual soft commission research budget for the use of the Soft Commission Credits.



30 September 2016


5. Soft Commissions and Commission Recapture Programme

Soft Commission Credits are used by Russell to purchase third party research that will aid Russell in its investment

decision-making process. Research purchased through the Programme is obtained from unaffiliated third parties at

market rates.

ii) Recapture Credits

Once the soft commission research budget has been met the Committee will instruct BNY and SSGM to recapture the

Recapture Credits which are then rebated directly back to the relevant Fund from which the commission was generated.

Recapture Credits are recognised within other income in the relevant Fund’s Profit and Loss Account. Russell does not

receive any revenue (directly or indirectly from Recapture Credits) from the commission recapture component of the

Programme.

6. Distributions

Distribution policy

The Company conducts its affairs so as to enable U.K. reporting fund status to be obtained under the United Kingdom

Income and Corporation Taxes Act, 1988 for the purposes of U.K. taxation for each applicable Fund.

With the exception of Roll-Up Class Shares, the distribution policy of each Fund is to distribute out of net income. Roll-Up

Class Shares do not declare or distribute net income and their net asset value reflects net income. Distributions declared by

Income Class Shares are paid in cash unless the shareholder chooses to reinvest part or all of the amount in the capital of the

relevant Share Class. Accumulation Class Shares declare a distribution which is then reinvested in the capital of the relevant

share class.

Distribution Frequency

The distributions in respect of the Funds are calculated and declared on a calendar quarterly basis (i.e. quarterly periods

ended 31 March, 30 June, 30 September and 31 December).

7. Taxation

Under current law and practice the Company qualifies as an investment undertaking as defined in Section 739B of the Taxes

Consolidation Act, 1997, as amended (the “TCA”). On that basis, it is not chargeable to Irish tax on its income or gains.

However, Irish tax may arise on the occurrence of a “chargeable event”. A chargeable event includes any distribution

payments to shareholders or any encashment, redemption, transfer or cancellation of shares and any deemed disposal of

shares for Irish tax purposes arising as a result of holding shares in the Company for a period of eight years or more.

No Irish tax will arise in respect of chargeable events in respect of a shareholder who is an Exempt Irish Investor (as defined

in Section 739D of the TCA) or who is neither Irish resident nor ordinarily resident in Ireland for tax purposes at the time of

the chargeable event, provided, in each case, that an appropriate valid declaration in accordance with Schedule 2B of the

TCA is held by the Company or where the Company has been authorised by Irish Revenue to make gross payments in

absence of appropriate declarations.

Distributions, interest and capital gains (if any) received on investments made by the Company may be subject to

withholding taxes imposed by the country of origin and such taxes may not be recoverable by the Company or its

shareholders.



30 September 2016


8. Number of Shares in Issue and Net Assets Attributable to Redeemable Participating Shareholders

a) Authorised Share Capital

The authorised share capital of the Company is 39,000 subscriber shares of no par value and 500 billion participating shares

of no par value. Subscriber shares do not form part of the net asset value of the Company. They are disclosed in the financial

statements by way of this note only.

Holders of subscriber shares are not entitled to dividends or any surplus of assets over liabilities upon the winding-up of the

Company. The subscriber shares are held by Russell Investments.

b) Redeemable Participating Shares

Each of the shares entitles the holder to participate equally on a pro rata basis in the profits and dividends of the relevant

Fund attributable to such shares and to attend and vote at meetings of the Company and of the relevant Fund represented by

those shares. No class of shares confers on the holder thereof any preferential or pre-emptive rights or any rights to

participate in the profits and dividends of any other class of shares or any voting rights in relation to matters relating solely to

any other class of shares.

Each share represents an individual beneficial interest in the Company. The shares are not debt obligations or guaranteed by

the Company. The return on an investment in the Company will depend solely upon the investment performance of the assets

of the relevant Fund and the increase or decrease (as the case may be) in the net asset value of the shares. The amount

payable to a shareholder in respect of each share upon liquidation of the Company or a Fund will equal the net asset value per

share. However, in a relatively illiquid market, a Fund may not be able to dispose of its investments quickly and as such a

Fund may experience adverse price movements upon liquidation of its investments. Settlement of transactions may be subject

to delay and administrative uncertainties and the price repaid to the shareholders in such circumstances will not equal the

final published net asset value per share.

Net assets attributable to shareholders represent a liability on the Balance Sheet, carried at the redemption amount that would

be payable at the balance sheet date if the shareholder exercised the right to redeem the shares in the Company.

Participating Share Transactions

All cash amounts are in the functional currency of the relevant Fund not the currency of the class.


Number of Shares in issue

Six months ended 30 September 2015 Six months ended 30 September 2016

Share Class

Beginning

of period

Shares

Issued

Shares

Redeemed

End

of period

Beginning

of period

Shares

Issued

Shares

Redeemed

End

of period

Class B Euro ..................................................................... 57,212 73,483 (537) 130,158 142,033 10,433 - 152,466

Class I AUD Income ........................................................ 115,259 6,637 (59,543) 62,353 122,153 135,791 (14,931) 243,013

Class I Sterling ................................................................. 130,425 1,935 (61) 132,299 125,306 25,077 (37,760) 112,623

Class I GBP Income ......................................................... 16,621 11,276 (10,917) 16,980 18,025 3,276 (4,879) 16,422

Class I USD ...................................................................... 52,299 23,946 (40,475) 35,770 31,604 25,262 (6,583) 50,283

Class U Euro ..................................................................... 1 - - 1 1 - - 1



30 September 2016


8. Number of Shares in Issue and Net Assets Attributable to Redeemable Participating Shareholders - continued

Value of Share Transactions


Share Class

Subscriptions

USD ‘000

Redemptions

USD ‘000

Subscriptions

USD ‘000

Redemptions

USD ‘000

Class B Euro ..................................................................... 75,245 (554) 10,852 -

Class I AUD Income ........................................................ 4,914 (38,519) 95,555 (10,444)

Class I Sterling ................................................................. 2,544 (82) 33,605 (48,899)

Class I GBP Income ......................................................... 16,295 (16,037) 4,692 (6,996)

Class I USD ...................................................................... 19,568 (30,008) 20,537 (5,317)




Share Class

Beginning

of period

Shares

Issued

Shares

Redeemed

End

of period

Beginning

of period

Shares

Issued

Shares

Redeemed

End

of period

Class A .............................................................................. 865,990 2,017 (2,022) 865,985 808,954 1,608 (23,081) 787,481

Class I ............................................................................... - - - - - 27,353 - 27,353



Share Class

Subscriptions

USD ‘000

Redemptions

USD ‘000

Subscriptions

USD ‘000

Redemptions

USD ‘000

Class A .............................................................................. 1,923 (2,125) 1,424 (20,000)

Class I ............................................................................... - - 40,350 -




Share Class

Beginning

of period

Shares

Issued

Shares

Redeemed

End

of period

Beginning

of period

Shares

Issued

Shares

Redeemed

End

of period

Class B .............................................................................. 63,378 26,957 (3,512) 86,823 79,194 14,186 (19,296) 74,084

Class F .............................................................................. 105 47 - 152 248 55 (83) 220

Class GBPH I Income ...................................................... 7,610,310 2,932,623 (302,890) 10,240,043 10,135,932 354,394 (230,738) 10,259,588

Class I ............................................................................... 29,002 7,132 (4,331) 31,803 32,122 439 (994) 31,567

Class P Income ................................................................. 107,449 2,970 (23,256) 87,163 80,815 2,085 (13,711) 69,189

Class S .............................................................................. 45,211 3,533 (18,450) 30,294 27,869 11,870 (1,578) 38,161



Share Class

Subscriptions

EUR ‘000

Redemptions

EUR ‘000

Subscriptions

EUR ‘000

Redemptions

EUR ‘000

Class B .............................................................. 47,392 (6,135) 25,925 (35,393)

Class F ............................................................... 72 - 90 (132)

Class GBPH I Income ....................................... 44,806 (4,523) 4,843 (3,255)

Class I ................................................................ 210 (124) 13 (30)

Class P Income .................................................. 43 (337) 31 (205)

Class S ............................................................... 495 (2,564) 1,695 (228)



30 September 2016






Share Class

Beginning

of period

Shares

Issued

Shares

Redeemed

End

of period

Beginning

of period

Shares

Issued

Shares

Redeemed

End

of period

Class A .............................................................. 1,795 794 (81) 2,508 2,318 21 (188) 2,151

Class B .............................................................. 195,098 14,945 (9,033) 201,010 125,674 1,849 (28,885) 98,638

Class DH-B ....................................................... 3,036,462 650,243 (217,323) 3,469,382 3,515,958 154,747 (21,829) 3,648,876

Class GBPH I Income ....................................... 8,028,083 118,300 (577,992) 7,568,391 7,465,918 284,583 (297,388) 7,453,113

Class MZ Income .............................................. 221,115 227,866 (381,745) 67,236 142,789 51,090 (19,950) 173,929



Share Class

Subscriptions

EUR ‘000

Redemptions

EUR ‘000

Subscriptions

EUR ‘000

Redemptions

EUR ‘000

Class A .............................................................. 1,439 (146) 39 (352)

Class B .............................................................. 29,826 (17,928) 3,771 (58,461)

Class DH-B ....................................................... 9,604 (3,200) 2,415 (328)

Class GBPH I Income ....................................... 1,771 (8,411) 3,735 (3,954)

Class MZ Income .............................................. 2,919 (4,910) 663 (260)




Share Class

Beginning

of period

Shares

Issued

Shares

Redeemed

End

of period

Beginning

of period

Shares

Issued

Shares

Redeemed

End

of period

Class A .............................................................. 77,202 20,572 (15,083) 82,691 63,008 8,050 (5,390) 65,668

Class B Income ................................................. 4,717 617 (3,561) 1,773 1,244 4,220 (613) 4,851

Class C .............................................................. 2 18 - 20 21 84 (18) 87

Class U .............................................................. 4 1 - 5 903 649 (171) 1,381

Class USD-H ..................................................... 30,202 3,523 (314) 33,411 8,561 2,091 (333) 10,319

Class USD-H Income ........................................ - - - - 35,035 400 - 35,435



Share Class

Subscriptions

USD ‘000

Redemptions

USD ‘000

Subscriptions

USD ‘000

Redemptions

USD ‘000

Class A .............................................................. 27,927 (19,221) 11,037 (7,344)

Class B Income ................................................. 857 (4,904) 5,774 (827)

Class C .............................................................. 30 - 137 (29)

Class U .............................................................. 1 - 1,087 (289)

Class USD-H ..................................................... 4,539 (396) 2,771 (437)

Class USD-H Income ........................................ - - 411 -



30 September 2016






Share Class

Beginning

of period

Shares

Issued

Shares

Redeemed

End

of period

Beginning

of period

Shares

Issued

Shares

Redeemed

End

of period

Class A .............................................................. 2,247 82 (154) 2,175 3,402 2,462 (3,733) 2,131

Class B .............................................................. 278,215 64,079 (18,242) 324,052 351,808 15,289 (29,455) 337,642

Class F ............................................................... 21,790 1,691 (4,686) 18,795 20,431 994 (157) 21,268

Class I ................................................................ 24,652 554 (133) 25,073 26,008 917 (75) 26,850

Class L ............................................................... 589 - (130) 459 420 - (32) 388

Class PAMEU ................................................... 337,133 76,493 (55,990) 357,636 152,619 - - 152,619

Class R Roll-Up ................................................ 358,850 12,731 (2,582) 368,999 401,576 21,833 (1,197) 422,212



Share Class

Subscriptions

EUR ‘000

Redemptions

EUR ‘000

Subscriptions

EUR ‘000

Redemptions

EUR ‘000

Class A .............................................................. 105 (196) 2,662 (4,240)

Class B .............................................................. 90,272 (25,524) 19,003 (36,366)

Class F ............................................................... 3,208 (8,849) 1,653 (264)

Class I ................................................................ 16 (4) 24 (2)

Class L ............................................................... - (198) - (44)

Class PAMEU ................................................... 1,504 (1,078) - -

Class R Roll-Up ................................................ 1,872 (372) 2,782 (152)




Share Class

Beginning

of period

Shares

Issued

Shares

Redeemed

End

of period

Beginning

of period

Shares

Issued

Shares

Redeemed

End

of period

Class B .............................................................. 429,344 36,350 (60,117) 405,577 350,011 10,325 (217,044) 143,292

Class I Income ................................................... 129,328 4,224 (6,727) 126,825 128,722 9,277 (31,714) 106,285

Class N .............................................................. - - - - - 103 - 103

Class P Income .................................................. 125,476 7,995 (11,068) 122,403 120,586 15,193 (9,873) 125,906

Class R .............................................................. 34,639 645 (4,704) 30,580 29,807 2,108 (1,733) 30,182



Share Class

Subscriptions

GBP ‘000

Redemptions

GBP ‘000

Subscriptions

GBP ‘000

Redemptions

GBP ‘000

Class B .............................................................. 5,841 (10,218) 1,663 (34,543)

Class I Income ................................................... 548 (888) 1,120 (3,981)

Class N .............................................................. - - 9 -

Class P Income .................................................. 1,058 (1,485) 1,884 (1,214)

Class R .............................................................. 94 (685) 294 (238)



30 September 2016






Share Class

Beginning

of period

Shares

Issued

Shares

Redeemed

End

of period

Beginning

of period

Shares

Issued

Shares

Redeemed

End

of period

Class B .............................................................. 6,672,285 3,442,006 (841,883) 9,272,408 8,743,568 1,665,825 (3,767,348) 6,642,045

Class C .............................................................. 1 - - 1 4,669 396 (32) 5,033

Class I ................................................................ 1,740,450 29,449 (119,807) 1,650,092 1,544,759 105,008 (189,504) 1,460,263

Class P Income .................................................. 397,945 39,401 (52,656) 384,690 348,389 30,217 (53,733) 324,873

Class R1 Roll-Up .............................................. - - - - 1,078,996 412,813 (15,994) 1,475,815



Share Class

Subscriptions

USD ‘000

Redemptions

USD ‘000

Subscriptions

USD ‘000

Redemptions

USD ‘000

Class B .............................................................. 73,548 (17,764) 36,261 (81,959)

Class C .............................................................. - - 687 (56)

Class I ................................................................ 858 (3,676) 3,243 (5,805)

Class P Income .................................................. 1,421 (1,883) 1,088 (1,943)

Class R1 Roll-Up .............................................. - - 4,209 (164)

Russell World Equity Fund Number of Shares in issue


Share Class

Beginning

of period

Shares

Issued

Shares

Redeemed

End

of period

Beginning

of period

Shares

Issued

Shares

Redeemed

End

of period

Class B .............................................................. 30,940,822 5,185,098 (7,717,087) 28,408,833 22,785,361 1,772,416 (2,628,514) 21,929,263

Class C .............................................................. 1,162,297 8,456 (771) 1,169,982 1,173,311 3,962 (99,357) 1,077,916

Class D .............................................................. 2,316,291 10,476 (9,406) 2,317,361 2,299,850 20,753 (22,921) 2,297,682

Class EH-T ........................................................ 9,060,371 111,682 (309,519) 8,862,534 8,324,187 35,843 (811,084) 7,548,946

Class H Income ................................................. 13,130,541 - (13,130,541) - - - - -

Class I ................................................................ 21,871,002 55,380 (2,176,990) 19,749,392 16,921,472 70,387 (1,309,005) 15,682,854

Class J ................................................................ 64,384 - - 64,384 73,784 - - 73,784

Class M .............................................................. - - - - - 432 - 432

Class N .............................................................. 17,800 400 (600) 17,600 17,149 136 (374) 16,911

Class R .............................................................. 589,473 32,497 (34,520) 587,450 644,217 46,614 (14,932) 675,899

Class SH B ........................................................ 418,730 290 (2,699) 416,321 216,693 1,900 (170,326) 48,267

Class SH-B Income ........................................... 1,260,559 - (1,260,559) - - - - -

Class TYA ......................................................... 1,943,770 - (582,494) 1,361,276 1,359,156 - (3,053) 1,356,103

Class TYC ......................................................... 2,831,649 - - 2,831,649 2,831,649 - - 2,831,649

Class TYHC ...................................................... 894,975 - (894,975) - - - - -

Class USD-H ..................................................... 131,864 34,243 (37,133) 128,974 16,011 - (5,538) 10,473

Class USD-H Income ......................................... - - - - 126,743 1,020 (7,185) 120,578



30 September 2016





Share Class

Subscriptions

USD ‘000

Redemptions

USD ‘000

Subscriptions

USD ‘000

Redemptions

USD ‘000

Class B .............................................................. 118,399 (178,031) 39,901 (58,429)

Class C .............................................................. 222 (20) 99 (2,561)

Class D .............................................................. 372 (326) 717 (804)

Class EH-T ........................................................ 1,773 (5,305) 597 (13,609)

Class H Income ................................................. - (232,431) - -

Class I ................................................................ 2,284 (91,279) 76,454 (126,581)

Class J ................................................................ - - - -

Class M .............................................................. - - 482 -

Class N .............................................................. 63 (96) 21 (56)

Class R .............................................................. 6,126 (6,515) 8,506 (2,752)

Class SH B ........................................................ 76 (706) 421 (38,405)

Class SH-B Income ........................................... - (232,247) - -

Class TYA ......................................................... - (8,419) - (44)

Class TYC ......................................................... - - - -

Class TYHC ...................................................... - (11,025) - -

Class USD-H ..................................................... 52,792 (57,773) - (8,259)

Class USD-H Income ......................................... - - 1,020 (6,850)

All share classes are Accumulation Class Shares unless otherwise indicated in the name of the share class.

c) Swing Pricing/Dilution Adjustments

Swing pricing (also known as dilution adjustment) is applied to a Fund once net subscriptions or redemptions for a Fund for a

given dealing day is determined by the Administrator to exceed certain predetermined percentage thresholds relating to a

Fund’s net asset value. In calculating the swing pricing, the net asset value of a Fund is swung by a “swing factor”.

The swing factors applied during the six months ended 30 September 2016 ranged from 0.00% to 0.55% on subscriptions and

from 0.00% to 0.40% on redemptions.

The swing factors applied during the year ended 31 March 2016 ranged from 0.00% to 0.65% on subscriptions and from

0.00% to 0.45% on redemptions.

d) Significant Shareholders

The following table details the number of shareholders with significant holdings of at least 20 per cent of the relevant Fund’s

net asset value and and the aggregate monetary value and percentage (of that Fund’s net asset value) of that holding as at 30

September 2016.

Fund

Number of

Significant

Shareholders

Value

of Holding

‘000

Aggregate

Shareholding as

a % of the Fund

Russell Emerging Markets Debt Local Currency Fund .............................. 2 USD 262,767 48.15%

Russell Emerging Markets Extended Opportunities Fund ......................... 3 USD 686,575 86.62%

Russell Global Bond (Euro Hedged) Fund ................................................. 1 EUR 75,954 21.01%

Russell Global Defensive Equity Fund ....................................................... 2 USD 73,120 48.41%

Russell Pan European Equity Fund ............................................................ 1 EUR 128,903 24.76%

Russell U.K. Equity Plus Fund ................................................................... 1 GBP 20,733 35.45%

The following table details the number of shareholders with significant holdings of at least 20 per cent of the relevant Fund’s

net asset value and and the aggregate monetary value and percentage (of that Fund’s net asset value) of that holding as at 31

March 2016.

Fund

Number of

Significant

Shareholders

Value of Holding

‘000

Aggregate

Shareholding as

a % of the Fund

Russell Emerging Markets Debt Local Currency Fund .............................. 2 USD 297,570 68.28%

Russell Emerging Markets Extended Opportunities Fund ......................... 3 USD 640,885 92.10%

Russell Global Bond (Euro Hedged) Fund ................................................. 1 EUR 83,379 20.33%

Russell Global Defensive Equity Fund ....................................................... 2 USD 70,242 52.48%

Russell Pan European Equity Fund ............................................................ 1 EUR 119,182 22.81%

Russell U.K. Equity Plus Fund ................................................................... 1 GBP 19,117 21.03%



30 September 2016


9. Efficient Portfolio Management

The Company may enter into securities lending arrangements and repurchase agreements (together “Efficient Portfolio

Management Techniques”) and may invest in over the counter financial derivative instruments (“OTC FDIs”) subject to the

restrictions set forth the Prospectus and to the extent consistent with the Fund’s investment objective and policies.

The use of techniques and instruments relating to transferable securities, money market instruments and/or other financial

instruments in which the Funds invest for efficient portfolio management purposes will generally be made for one or more of

the following reasons:

i) the reduction of risk;

ii) the reduction of cost; or

iii) the generation of additional capital or income for the relevant Fund with an appropriate level of risk, taking into account

the risk profile of the Fund and the risk diversification rules set out in the UCITS Regulations issued by the Central

Bank.

All the revenues arising from Efficient Portfolio Management Techniques employed shall be returned to the relevant Fund

following the deduction of any direct and indirect operational costs and fees arising. Such direct and indirect operational

costs and fees, (which are all fully transparent) which shall not include hidden revenue, shall include fees and expenses

payable to repurchase/reverse repurchase agreements counterparties and/or securities lending agents engaged by the

Company from time to time. Such fees and expenses of any repurchase/reverse repurchase agreements counterparties and/or

stocklending agents engaged by the Company, which will be at normal commercial rates together with VAT, if any, thereon,

will be borne by the Company or the Fund in respect of which the relevant party has been engaged.

Money Manager(s) on behalf of a Fund may employ techniques and instruments relating to transferable securities, money

market instruments and/or other financial instruments in which they invest for efficient portfolio management purposes. At

any time a Fund may hold a combination of derivative instruments such as futures, forward contracts, options, swaps and

swaptions, forward foreign exchange contracts, caps, floors and credit derivatives, any of which may be listed or over-the-

counter.

10. Financial Risks

The activities of the Funds expose them to various financial risks such as market risk (including other price risk, interest rate

risk, and currency risk), credit risk and liquidity risk. The overall risk management process for the Funds focuses on the

unpredictability of financial markets and seeks to minimise potential adverse effects on the financial performance for the

Funds. The Funds combine Money Managers with varied investment styles to achieve returns in a broad range of market

conditions and to manage exposure to risk through diversification.

The Company’s financial risk management objectives and policies are consistent with those disclosed in the Company’s

audited financial statements as at and for the year ended 31 March 2016.

i) Fair valuation hierarchy

FRS 102 Section 11.27 on “Fair Value: Disclosure” requires the Company to classify fair value measurements using a fair

value hierarchy that reflects the significance of the inputs used in making the measurements.

The fair value hierarchy of inputs is summarised in the three broad levels listed below.

Level 1: Quoted prices (unadjusted) in active markets for identical assets or liabilities.

Level 2: Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either

directly (that is, as prices) or indirectly (that is, derived from prices).

Level 3: Inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs).



30 September 2016


10. Financial Risks - continued

The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is determined on

the basis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose, the

significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement uses

observable inputs that require significant adjustment based on unobservable inputs, that measurement is a Level 3

measurement. Assessing the significance of a particular input to the fair value measurement in its entirety requires

judgement, considering factors specific to the asset or liability.

The determination of what constitutes ‘observable’ requires significant judgement by the Directors. The Directors consider

observable data to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, not

proprietary, and provided by independent sources that are actively involved in the relevant market. Investments whose values

are based on quoted market prices in active markets, and therefore classified within Level 1, include active listed equities and

exchange traded derivatives. The Funds do not adjust the quoted price for these instruments.

Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market prices,

dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2. These include

stale priced listed equities, unlisted equities, bonds, investment funds, bank loans and OTC FDIs.

Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently. Level 3 securities are

securities that may be priced by a single pricing vendor or may have prolonged stale prices or may have no valid market

information (indications or comparable security types) available.

Please refer to the base of each Fund’s Schedule of Investments for analysis, within the fair value hierarchy, of each Fund’s

financial assets and liabilities (by investment type) measured at fair value at 30 September 2016 and 31 March 2016. Where

there are no tables or narratives listed at the base of the Fund’s Schedule of Investments, all the investments for that Fund are

held at Level 1 as at 30 September 2016 and 31 March 2016.

11. Exchange Rates

Where applicable, the Administrator used the exchange rates listed below to translate foreign currency amounts, market value

of investments and other assets and liabilities into Euro at the following rates for each EUR 1.

30 September 2016 30 September 2016 30 September 2016

Australian Dollar AUD 1.4685 Indian Rupee INR 74.8226 Qatari Rial QAR 4.0929

Bangladeshi Taka BDT 88.0778 Indonesian Rupiah IDR 14,666.7146 Russian Rouble RUB 70.8233

Botswana Pula BWP 11.7861 Israeli Shekel ILS 4.2166 Serbian Dinar RSD 123.3146

Brazil Real BRL 3.6511 Japanese Yen JPY 113.8016 Singapore Dollar SGD 1.5322

British Pound GBP 0.8651 Kenyan Shilling KES 113.7848 South African Rand ZAR 15.4537

Canadian Dollar CAD 1.4770 Kuwaiti Dollar KWD 0.3388 South Korean Won KRW 1,237.6972

Chilean Peso CLP 740.4831 Lithuania Litas LTL 3.4528 Swedish Krona SEK 9.6280

Chinese Yuan Renminbi CNY 7.4957 Malaysian Ringgit MYR 4.6475 Swiss Franc CHF 1.0894

Chinese Yuan Renminbi Mauritian Rupee MUR 39.8724 Taiwan Dollar TWD 35.2261

Offshore CNH 7.4996 Mexican Peso MXN 21.7495 Thai Baht THB 38.9397

Colombian Peso COP 3,236.5442 Moroccan Dirham MAD 10.9155 Tunisian Dinar TND 2.4711

Croatian Kuna HRK 7.5155 New Romanian Leu RON 4.4509 Turkish Lira TRY 3.3722

Czech Republic Koruna CZK 27.0220 New Zealand Dollar NZD 1.5454 UAE Dirham AED 4.1277

Danish Krone DKK 7.4462 Nigerian Naira NGN 353.9970 Uruguayan Peso UYU 32.0227

Egyptian Pound EGP 9.9793 Norwegian Krone NOK 8.9817 U.S. Dollar USD 1.1238

Ghanaian Cedi GHS 4.4727 Pakistan Rupee PKR 117.3865 Vietnam Dong VND 25,065.7985

Hong Kong Dollar HKD 8.7161 Peruvian Nouveau Sol PEN 3.8277

Hungarian Forint HUF 309.0650 Philippine Peso PHP 54.4987

Iceland Krona ISK 127.9952 Polish Zloty PLN 4.3012



30 September 2016


11. Exchange Rates - continued

31 March 2016 31 March 2016 31 March 2016

Australian Dollar AUD 1.4814 Indonesian Rupiah IDR 15,110.4395 Polish Zloty PLN 4.2413

Botswana Pula BWP 12.3529 Israeli Shekel ILS 4.2841 Qatari Rial QAR 4.1496

Brazil Real BRL 4.0386 Japanese Yen JPY 128.0798 Russian Rouble RUB 76.1903

British Pound GBP 0.7928 Kenyan Shilling KES 115.5504 Serbian Dinar RSD 122.7410

Canadian Dollar CAD 1.4740 Kuwaiti Dollar KWD 0.3444 Singapore Dollar SGD 1.5345

Chilean Peso CLP 762.1997 Lithuania Litas LTL 3.4528 South African Rand ZAR 16.7605

Chinese Yuan Renminbi CNY 7.3702 Malaysian Ringgit MYR 4.4460 South Korean Won KRW 1,303.1899

Chinese Yuan Renminbi Mauritian Rupee MUR 40.1464 Swedish Krona SEK 9.2380

Offshore CNH 7.3591 Mexican Peso MXN 19.5293 Swiss Franc CHF 1.0913

Colombian Peso COP 3,422.3778 Moroccan Dirham MAD 10.9744 Taiwan Dollar TWD 36.6753

Czech Republic Koruna CZK 27.0485 New Romanian Leu RON 4.4693 Thai Baht THB 40.0894

Danish Krone DKK 7.4503 New Zealand Dollar NZD 1.6413 Tunisian Dinar TND 2.2944

Egyptian Pound EGP 10.1192 Nigerian Naira NGN 226.7933 Turkish Lira TRY 3.2086

Hong Kong Dollar HKD 8.8390 Norwegian Krone NOK 9.4255 UAE Dirham AED 4.1856

Hungarian Forint HUF 314.1802 Pakistan Rupee PKR 119.3451 Uruguayan Peso UYU 36.3232

Iceland Krona ISK 140.3983 Peruvian Nouveau Sol PEN 3.7943 U.S. Dollar USD 1.1396

Indian Rupee INR 75.4639 Philippine Peso PHP 52.4706 Vietnam Dong VND 25,403.9991

The Administrator used the average exchange rates for each reporting period as listed below to translate into Euro the Profit

and Loss Account and Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders of those

Funds not prepared in Euro in preparing the Company’s Combined Profit and Loss Account and the Combined Statement of

Changes in Net Assets Attributable to Redeemable Participating Shareholders at the following rates for each EUR 1.


British Pound GBP 0.8183 British Pound GBP 0.7219

U.S. Dollar USD 1.1236 U.S. Dollar USD 1.1067

12. Comparative Dealing Net Assets


Class B Euro

EUR ‘000

Class I AUD

Income

AUD ‘000

Class I Sterling

GBP ‘000

Class I

Sterling

Income

GBP ‘000

Class I USD

USD ‘000

Class U Euro

EUR ‘000

Total net asset value

30 September 2016 ......................................... 141,219 223,524 116,094 18,037 41,831 1

31 March 2016 ................................................ 124,280 108,952 111,471 17,438 25,091 1

Class B Euro

EUR

Class I AUD

Income

AUD

Class I Sterling

GBP

Class I

Sterling

Income

GBP

Class I USD

USD

Class U Euro

EUR

Net asset value per share

30 September 2016 ......................................... 926.24 919.81 1,030.82 1,098.33 831.90 913.13

31 March 2016 ................................................ 875.01 891.93 889.59 967.45 793.91 864.71


Class A

USD ‘000 Class I

GBP ‘000


30 September 2016 ......................................... 747,202 34,981

31 March 2016 ................................................ 695,844 -

Class A

USD Class I

GBP


30 September 2016 ......................................... 948.85 1,278.88

31 March 2016 ................................................ 860.18 -



30 September 2016


12. Comparative Dealing Net Assets - continued


Class B

EUR ‘000 Class F

EUR ‘000

Class GBPH I

Income

GBP ‘000

Class I

GBP ‘000


30 September 2016 ......................................... 139,204 356 118,007 837

31 March 2016 ................................................ 143,745 388 112,737 753

Class B

EUR Class F

EUR

Class GBPH I

Income

GBP

Class I

GBP


30 September 2016 ......................................... 1,879.01 1,616.04 11.50 26.51

31 March 2016 ................................................ 1,815.09 1,567.36 11.12 23.45

Class P Income

GBP ‘000

Class S

EUR ‘000


30 September 2016 ......................................... 910 5,596

31 March 2016 ................................................ 947 3,952

Class P Income

GBP

Class S

EUR


30 September 2016 ......................................... 13.16 146.63

31 March 2016 ................................................ 11.72 141.80


Class A

EUR ‘000

Class B

EUR ‘000

Class DH-B

USD ‘000

Class GBPH I

Income

GBP ‘000

Class MZ

Income

EUR ‘000


30 September 2016 ......................................... 4,069 205,066 63,679 80,822 2,289

31 March 2016 ................................................ 4,259 253,016 59,030 78,719 1,836

Class A

EUR

Class B

EUR

Class DH-B

USD

Class GBPH I

Income

GBP

Class MZ

Income

EUR


30 September 2016 ......................................... 1,891.81 2,078.99 17.45 10.84 13.16

31 March 2016 ................................................ 1,837.53 2,013.27 16.79 10.54 12.86


Class A

USD ‘000

Class B

Income

AUD ‘000 Class C

EUR ‘000 Class U

EUR ‘000 Class USD-H

USD ‘000

Class USD-H

Income

USD ‘000


30 September 2016 ......................................... 91,207 8,793 127 2,077 14,051 36,588

31 March 2016 ................................................ 84,446 2,181 30 1,299 11,208 34,990

Class A

USD

Class B

Income

AUD Class C

EUR Class U

EUR Class USD-H

USD

Class USD-H

Income

USD


30 September 2016 ......................................... 1,388.91 1,812.54 1,465.06 1,504.31 1,361.63 1,032.52

31 March 2016 ................................................ 1,340.23 1,753.09 1,406.57 1,438.80 1,309.22 998.73



30 September 2016




Class A

EUR ‘000

Class B

EUR ‘000

Class F

EUR ‘000

Class I

GBP ‘000

Class L

GBP ‘000


30 September 2016 ......................................... 2,438 423,738 35,807 624 456

31 March 2016 ................................................ 3,802 430,392 33,671 540 442

Class A

EUR

Class B

EUR

Class F

EUR

Class I

GBP

Class L

GBP


30 September 2016 ......................................... 1,143.97 1,254.99 1,683.58 23.24 1,174.17

31 March 2016 ................................................ 1,117.53 1,223.37 1,648.02 20.75 1,052.87

Class PAMEU

EUR ‘000

Class R

Roll-Up

EUR ‘000


30 September 2016 ......................................... 2,568 54,734

31 March 2016 ................................................ 2,520 50,811

Class PAMEU

EUR

Class R

Roll-Up

EUR


30 September 2016 ......................................... 16.83 129.64

31 March 2016 ................................................ 16.51 126.53


Class B

GBP ‘000

Class I

Income

GBP ‘000

Class N

EUR ‘000

Class P Income

GBP ‘000

Class R

GBP ‘000


30 September 2016 ......................................... 24,341 13,446 11 16,373 4,320

31 March 2016 ................................................ 56,144 15,645 - 15,065 4,061

Class B

GBP

Class I

Income

GBP

Class N

EUR

Class P Income

GBP

Class R

GBP


30 September 2016 ......................................... 169.87 126.51 104.38 130.04 143.13

31 March 2016 ................................................ 160.41 121.54 - 124.93 136.24


Class B

USD ‘000 Class C

EUR ‘000 Class I

GBP ‘000

Class P

Income

GBP ‘000

Class R 1

Roll-Up

USD'000


30 September 2016 ......................................... 150,194 7,996 35,456 9,391 15,785

31 March 2016 ................................................ 186,867 6,934 32,006 8,624 10,917

Class B

USD Class C

EUR Class I

GBP

Class P

Income

GBP

Class R 1

Roll-Up

USD


30 September 2016 ......................................... 22.61 1,588.68 24.28 28.91 10.70

31 March 2016 ................................................ 21.37 1,485.18 20.72 24.75 10.12



30 September 2016




Class B

USD ‘000 Class C

EUR ‘000 Class D

GBP ‘000 Class EH-T

EUR ‘000 Class I

GBP ‘000


30 September 2016 ......................................... 510,526 24,809 63,324 116,014 504,901

31 March 2016 ................................................ 501,039 25,247 54,067 121,583 465,095

Class B

USD Class C

EUR Class D

GBP Class EH-T

EUR Class I

GBP


30 September 2016 ......................................... 23.28 23.02 27.56 15.37 32.19

31 March 2016 ................................................ 21.97 21.50 23.49 14.59 27.45

Class J

USD ‘000 Class M

EUR ‘000

Class N

USD ‘000

Class R

EUR ‘000

Class SH-B

GBP ‘000


30 September 2016 ......................................... 1,558 451 2,671 113,181 8,091

31 March 2016 ................................................ 1,476 - 2,576 101,344 34,646

Class J

USD Class M

EUR

Class N

USD

Class R

EUR

Class SH-B

GBP


30 September 2016 ......................................... 21.11 1,043.62 157.94 167.45 167.62

31 March 2016 ................................................ 19.99 - 150.08 157.16 159.73

Class TYA

JPY ‘000

Class TYC

JPY ‘000

Class USD-H

USD ‘000

Class USD-H

Income

USD ‘000


30 September 2016 ......................................... 1,994,322 5,121,400 16,300 124,535

31 March 2016 ................................................ 2,093,173 5,360,496 23,458 123,716

Class TYA

JPY

Class TYC

JPY

Class USD-H

USD

Class USD-H

Income

USD


30 September 2016 ......................................... 1,471 1,809 1,556.40 1,032.81

31 March 2016 ................................................ 1,539 1,891 1,463.68 975.14

13. Segregated Liability

Each Fund will be responsible for paying its fees and expenses regardless of the level of its profitability. The Company has

availed of the segregated provisions of Companies Act 2014. The adoption of segregated liability ensures that liability

incurred on behalf of a Fund will generally be discharged solely out of the assets of that Fund and there can generally be no

recourse to other Funds to satisfy these liabilities. Notwithstanding the foregoing there can be no guarantee that should an

action be brought against the Company in the court of another jurisdiction that the segregated nature of the Funds would

necessarily be upheld.

14. Significant Events During the Period

Prospectus Updates

The third addendum to the prospectus dated 13 April 2016 incorporated the following changes:

i) Russell U.K. Equity Plus Fund - addition of the following share class - Class N.

ii) Russell World Equity Fund - addition of the following share class - Class M.

The fourth addendum to the prospectus dated 28 April 2016 incorporated the following changes:

i) Russell Emerging Markets Extended Opportunities Fund - addition of the following share class - Class I.



30 September 2016


14. Significant Events During the Period - continued

Russell Investments

LSEG announced on 8 October 2015 that it had agreed the proposed sale of the investment management and solutions

business of Russell Investments to TA Associates and Reverence Capital Partners, subject to customary closing adjustments

and regulatory and other required approvals. The sale of Russell Investments by LSEG to TA Associates and Reverence

Capital Partners concluded on 1 June 2016.

15. Significant Events Since the Period End

Prospectus dated 7 October 2016 incorporates, inter alia, the following principal amendments:

i) UCITS rules encompassed in Directive 2014/91/EU;

ii) Investor Money Regulations;

iii) Central Bank Regulations (i.e. SI No. 420 of 2015 Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)

(Undertakings for Collective Investment in Transferable Securities) Regulations 2015);

iv) Taxation updates, including but not limited to, CRS updates and the repeal of the European Savings Directive (Directive

2003/48/EC) on 10 November 2015 by the European Council;

v) References to Frank Russell have been removed and the promoter has been amended to Russell Investments Limited

following the sale of the investment management and solutions business of Russell Investments;

vi) Amendment to prospectus to remove share classes that were never launched; and

vii) Incorporation of a number of addendums to the prospectus dated 21 December 2015, 7 March 2015, 13 April 2016 and

28 April 2016.

16. Approval of the Financial Statements

The financial statements were approved by the Directors on 17 November 2016.

Russell Investments Rex House10 Regent Street, St James’London, SW1Y 4PE

tel +44 (0) 20 7024 6000fax +44 (0) 20 7024 6001www.russellinvestments.com