annual report · 2019. 8. 21. · ` blackrock emerging markets equity tracker fund ... the mercury...

` BlackRock Balanced Managed Fund

` BlackRock Continental European Equity Tracker Fund

` BlackRock Corporate Bond 1–10 Year Fund

` BlackRock Corporate Bond Tracker Fund

` BlackRock Emerging Markets Equity Tracker Fund

` BlackRock Global Property Securities Equity Tracker Fund

` BlackRock Index Linked Gilt Tracker Fund

` BlackRock Japan Equity Tracker Fund

` BlackRock Mid Cap UK Equity Tracker Fund

` BlackRock North American Equity Tracker Fund

` BlackRock Overseas Corporate Bond Tracker Fund

` BlackRock Overseas Government Bond Tracker Fund

` BlackRock Pacific ex Japan Equity Tracker Fund

` BlackRock UK Equity Tracker Fund

` BlackRock UK Gilts All Stocks Tracker Fund

` BlackRock US Equity Tracker Fund

` BlackRock 100 UK Equity Tracker Fund

` BlackRock 350 UK Equity Tracker Fund

BlackRock Collective Investment Funds

For the year ended 29 February 2016

ANNUAL RepoRt

21 BlackRock Collective Investment Funds

About the Trust 2

Accounting and Distribution Policies 4–8

Financial Instruments and Risks 9–37

BlackRock Balanced Managed Fund 38–61

BlackRock Continental European Equity Tracker Fund 62–94

BlackRock Corporate Bond 1–10 Year Fund 95–132

BlackRock Corporate Bond Tracker Fund 133–205

BlackRock Emerging Markets Equity Tracker Fund 206–248

BlackRock Global Property Securities Equity Tracker Fund 249–278

BlackRock Index Linked Gilt Tracker Fund 279–297

BlackRock Japan Equity Tracker Fund 298–333

BlackRock Mid Cap UK Equity Tracker Fund 334–362

BlackRock North American Equity Tracker Fund 363–404

BlackRock Overseas Corporate Bond Tracker Fund 405–543

BlackRock Overseas Government Bond Tracker Fund 544–578

BlackRock Pacific ex Japan Equity Tracker Fund 579–613

BlackRock UK Equity Tracker Fund 614–652

BlackRock UK Gilts All Stocks Tracker Fund 653–674

BlackRock US Equity Tracker Fund 675–713

BlackRock 100 UK Equity Tracker Fund 714–738

BlackRock 350 UK Equity Tracker Fund 739–769

Statement of Manager’s and Trustee’s Responsibilities 770

Report of the Trustee 770

Independent Auditor’s Report 771–772

General Information 774

Copies of Manager’s Reports and Prospectus are available on request.

Dealing and Investor Services: 0800 44 55 22blackrock.co.uk

Contents About the trust

BlackRock Collective Investment Funds (the “Trust”) is organised as an umbrella unit trust scheme comprising separate funds with segregated liability (each referred to as a “Fund” and together the “Funds”).

The Trust is an authorised unit trust scheme and qualifies as a UCITS scheme under the Financial Conduct Authority’s Collective Investment Schemes Sourcebook (the “COLL Sourcebook”).

Cross sub-fund holdings within the Trust:

As at 29 February 2016 there were no cross sub-fund holdings within the Trust.

Funds not yet launchedFunds approved by the FCA but not yet launched are as follows:

BlackRock Developed Asia Pacific ex Japan Equity Tracker Fund

BlackRock Over 15 Years Gilts Tracker Fund

BlackRock World ex UK Equity Tracker Fund

About the Fund Managers

Andy Warwick, CFA, Managing Director and portfolio manager, is a member of the Diversified Strategies team within BlackRock’s Multi-Asset Strategy group, which is responsible for developing, assembling and managing investment strategies involving multiple asset classes. Within Diversified Strategies he is lead portfolio manager for BlackRock Dynamic Return Strategy Fund and a portfolio manager for BlackRock Dynamic Diversified Growth Fund. Mr. Warwick’s service with the firm dates back to 2005, including his years with Merrill Lynch Investment Managers (“MLIM”), which merged with BlackRock in 2006. Prior to MLIM

he worked with Mako Global Derivatives and Dalton Strategic Partnership from 2002-2005. Mr. Warwick initially worked for MLIM from 1993-2002 as a manager for MLIM’s unit trusts before joining the quantitative and derivatives team as a portfolio manager and equity derivatives head trader in 1997. He was subsequently co-portfolio manager of MLIM’s first hedge fund, the Mercury Equity Arbitrage Fund. Mr. Warwick earned a MSc in finance from the University of Leicester in 2007.

Duncan Fergusson, Director and portfolio manager, is a member of BlackRock’s Model-Based Fixed Income Portfolio Management group. Mr. Fergusson’s service with the firm dates back to 2003, including his years with Barclays Global Investors (“BGI”), which merged with BlackRock in 2009. At BGI, he was a member of the Portfolio Solutions team. Prior to this, he worked on the Securities Lending team. Mr. Fergusson earned a BSc degree in business administration from the University of Bath.

3 BlackRock Collective Investment Funds 4

About the Fund Managers continued

Panayotis (Panos) Ferendinos, CFA, Director, is a member of the European & Non-US Fixed Income group within BlackRock Fundamental Fixed Income. He is a portfolio manager for Sterling portfolios. Mr. Ferendinos’ service with the firm dates back to 1999, including his years with Merrill Lynch Investment Managers (“MLIM”), which merged with BlackRock in 2006. At MLIM, Mr. Ferendinos specialised in macroeconomic research and analysis for the Sterling investment team. He also worked within the dealer support, static data, and valuation teams. Prior to joining MLIM, Mr. Ferendinos worked for an Italian fixed income

broker. Mr. Ferendinos earned a BA degree in Law, English & Psychology from the University of Natal, Durban in 1992 and a BA degree, with honours, in English literature from the University of South Africa in 1993.

Francis Rayner, CFA, Director, is a member of BlackRock’s Fixed Income Portfolio Solutions group. Mr. Rayner’s service with the firm dates back to 2008, including his years with Barclays Global Investors (“BGI”), which merged with BlackRock in 2009. Prior to joining BGI, he spent six years working for Prudential M&G and International Financial Data Services as a client relationship manager. Mr. Rayner earned a BSc degree in mathematics from Lancaster University in 1999 and holds the Chartered Institute for Securities and Investment Diploma.

Darren Wills, Director, is a portfolio manager within BlackRock’s Model-Based Fixed Income Portfolio Management group. Mr. Wills’ service with the firm dates back to 2008, including his years with Barclays Global Investors (“BGI”), which merged with BlackRock in 2009. Prior to BGI, Mr. Wills was an investment manager at State Street Global Advisors, where he managed predominately Sterling and global credit portfolios. Mr. Wills earned a BSc degree in mathematics and management sciences from University of Manchester Institute of Science and Technology and holds the Investment Management Certificate.

Kieran Doyle, CFA, Director and senior portfolio manager within the BlackRock Institutional Index Equity team in London. Mr Doyle is responsible for overseeing a team managing developed and emerging market index equity Pooled Funds for Institutional clients. Mr. Doyle’s service with the firm dates back to 2004, including his years with Barclays Global Investors (“BGI”), which merged with BlackRock in 2009. At BGI, he was a Portfolio Manager in the Institutional Index Equity team. Prior to joining BGI, Mr. Doyle was with KPMG where he qualified as a Chartered Accountant in 2003. Mr. Doyle earned a Master’s degree in economics and finance from Bristol University in 2000.

In March 2016, Nimish Patel relinquished the responsibility for the day-to-day management of the BlackRock 100 UK Equity Tracker Fund, BlackRock 350 UK Equity Tracker, BlackRock Continental European Equity Tracker Fund, BlackRock Emerging Markets Equity Tracker Fund, BlackRock Global Property Securities Equity Tracker Fund, BlackRock Japan Equity Tracker Fund, BlackRock Mid Cap UK Equity Tracker Fund, BlackRock North American Equity Tracker Fund, BlackRock Pacific ex Japan Equity Tracker Fund, BlackRock UK Equity Tracker Fund and the BlackRock US Equity Tracker Fund.

Accounting Policies(a) The financial statements have been prepared in accordance with the Statement of Recommended

Practice for Authorised Funds (the “SORP”) issued by the Investment Management Association (now known as the Investment Association) in May 2014.The SORP was revised in May 2014 to concur with Financial Reporting Standard 102, the new financial reporting standard applicable in the UK and Republic of Ireland. Amendments to FRS 102 ‘Fair value hierarchy disclosures’ effective for annual periods beginning on or after 1 January 2017 have been early adopted. These amendments improve the consistency of fair value disclosures for financial instruments with those required by EU-adopted IFRS.

The transition to the revised SORP on 1 March 2015 has not resulted in any restatement to the financial position or financial performance previously reported as at 28 February 2015. Certain presentational amendments have been required which have no impact on the total return or Net Asset Value (“NAV”) in either the current or prior accounting period. These amendments are listed below.

Nature of Change in Presentation

i. Cash equivalents

Investments in money market funds held in the base currency of the Funds are now classified as “Cash equivalents” on the Balance Sheet.

ii. tax on Distributions

Tax withheld on interest distributions are now included within “Distributions” in the Statement of Total Return and within “Distributions payable” on the Balance Sheet.

iii. Returns from Short Derivative positions

Returns from short derivative positions are now included within “Interest payable and similar charges” in the Statement of Total Return.

Reasons for Changes in Presentation

i. Cash equivalents

Under FRS 102 section 7 “Cash equivalents” are defined as “short term, highly liquid investments that are readily convertible to a known amount of cash and are subject to an insignificant risk of changes in value”. An investment normally qualifies as a cash equivalent when it has a short maturity. Investments in the Institutional Cash Series plc meet this definition and classifying them as cash equivalents more accurately reflects the economic substance of these transactions. The change had no impact on the NAV of the Funds.

This has resulted in a reclassification which decreased the value of “Investment assets” and increased the value of “Cash equivalents” on the Balance Sheets. Please see “Cash equivalents” in the relevant Funds’ Balance Sheets which shows the full amount of this reclassification. Related balances in the relevant notes have also been updated to reflect the reclassification.

ii. tax on Distributions

Section 2.76 of the SORP states that “tax withheld on interest distributions should be shown as part of “Distributions payable” and not as part of the liability to corporation tax, since it will be settled from amounts transferred to the distribution account”. The change had no impact on the NAV of the Funds.

Accounting and Distribution policies*for the year 29 February 2016

* The Accounting and Distribution Policies are an integral part of the notes to financial statements.


This has resulted in a reclassification which decreased the value of “Other creditors” (previously “Creditors”) and increased the value of “Distributions payable” on the Balance Sheet by the same amount. Corresponding reclassifications have also been made in the Statement of Total Return which resulted in an increase in the value of “Distributions” and a decrease in the value of “UK income tax withheld” by the same amount. The Funds impacted and the reclassification amounts are set out in the table below. Related balances in the relevant notes have also been updated to reflect the reclassification.

Fund

Balance SheetAmount

reclassified£000’s

Statement of Total Return Amount

reclassified£000’s

BlackRock Corporate Bond 1–10 Year Fund 3,041 6,069

BlackRock Corporate Bond Tracker Fund 2,706 5,901

BlackRock Index Linked Gilt Tracker Fund 258 534

BlackRock Overseas Corporate Bond Tracker Fund 2,206 4,136

BlackRock Overseas Government Bond Tracker Fund 181 402

BlackRock UK Gilts All Stocks Tracker Fund 6,346 11,438

iii. Returns from Synthetic Short positions

The Funds may use derivatives to create synthetic short positions. Synthetic short positions are positions which are in economic terms equivalent to short positions and will be implemented through the use of financial derivative instruments.

Section 3.49 of the SORP states that dividends payable on short positions should be included in interest payable and similar charges and disclosed separately in the notes. The change had no impact on the NAV of the Funds.

In respect of the BlackRock Balanced Managed Fund, this has resulted in a reclassification which increased the value of “Revenue” and of “Interest payable and similar charges” (previously “Finance Costs: Interest”) by £000 757. Related balances in the relevant notes have also been updated to reflect the reclassification.

Change in Valuation Point As permitted by Section 6.8.2(5a) of the COLL Sourcebook, the financial statements for the year

ended 29 February 2016 have been prepared as at each Funds’ valuation point at 12 noon on the last business day of the accounting period. This aligns the valuation point for financial statements purposes with the valuation point used for dealing purposes. The comparative figures as at 28 February 2015 have been prepared as at close of business on the last business day of the accounting period.

(b) Dividends on quoted ordinary shares and preference shares are recognised when the securities are quoted ex-dividend. Where such securities are not quoted, dividends are recognised when they are declared.

US REIT dividend revenue is accounted for partly as revenue and partly as capital, depending on the underlying REIT distribution. All REIT dividend revenue is recognised on an accruals basis.

Revenue from fixed interest securities is recognised on an effective interest rate basis.

Accounting and Distribution policies continued

Accrued interest purchased and sold on interest bearing securities is excluded from the capital cost of these securities and dealt with as part of the revenue of the Funds.

All distributions from Collective Investment Schemes (“CIS”) are recognised when the securities are quoted ex-dividend. All distributions from CIS are treated as revenue with the exception of the equalisation element, which is treated as capital.

Any reported revenue from an offshore fund, in excess of any distribution received in the reporting period, is recognised as revenue no later than the date on which the reporting fund makes this information available. The equalisation element is treated as capital.

All revenue is recognised as a gross amount that takes account of any withholding taxes but excludes any other taxes such as attributable tax credits.

Revenue from securities lending is accounted for net of associated costs and is recognised on an accruals basis.

Returns from bond futures are streamed into revenue and capital components. Amounts recognised as revenue from long positions form part of the distribution. Amounts recognised as revenue from short positions reduce the amounts available for distribution.

Returns from total return swaps in the form of dividends or interest received from the underlying security or index are recognised as revenue. Capital gains on the underlying security or index are treated as capital.

Bank interest is recognised on an accruals basis.

The Funds receive Manager’s charge rebates from BlackRock related investments in the normal course of business. These are recognised on an accruals basis and are treated as revenue, unless it is the policy of the underlying fund to charge its fees to capital, in which case these rebates will be recognised as capital.

(c) Ordinary stock dividends are recognised wholly as revenue and are based on the market value of the shares on the date they are quoted ex-dividend. Where an enhancement is offered, the amount by which the market value of the shares (on the date they are quoted ex-dividend) exceeds the cash dividend is taken to capital.

(d) The underlying circumstances behind both special dividends and share buy backs are reviewed on a case by case basis in determining whether the amount is revenue or capital in nature. Amounts recognised as revenue form part of the distribution. Any tax treatment will follow the accounting treatment of the principal amount.

(e) Underwriting commission is wholly recognised as revenue when the issue takes place, except where the Funds are required to take up some or all of the shares underwritten, in which case an appropriate proportion of the commission received is deducted from the cost of those shares.

(f) All expenses, except those relating to the purchase and sale of investments are charged against revenue. All expenses are recognised on an accruals basis.

(g) Provision for corporation tax is made at the current rate on the excess of taxable revenue over allowable expenses. Provision is made on all material timing differences arising from the different treatment of items for accounting and tax purposes. A deferred tax asset is recognised only to the extent that it is considered more likely than not that there will be taxable profits in the future against which the asset can be offset.


(h) The investments of the Funds have been valued at market value, defined as fair value, which is usually bid value at 12 noon on the last business day of the accounting period. In the case of an investment which is not quoted, listed or dealt in on a recognised market, or in respect of which a listed, traded or dealt price or quotation is not available at the time of valuation, the fair value of such investment shall be estimated with care and in good faith by a competent professional person, body, firm or corporation including the Manager’s pricing committee, and such fair value shall be determined on the basis of the probable realisation value of the investment. The Manager shall be entitled to adopt an alternative method of valuing any particular asset or liability if it considers that the methods of valuation set out above do not provide a fair valuation of a particular asset or liability.

For over the counter derivatives (e.g. credit default swaps, interest rate swaps, total return swaps and currency options), market value is determined based on valuation pricing models which take into account relevant market inputs as well as the time values, liquidity and volatility factors underlying the positions. Amounts due to and from an individual counterparty which falls under a legally enforceable master netting agreement are netted.

Investments in dual priced CIS have been valued at market values, defined as fair value, which is usually bid value at the 12 noon valuation point of the underlying fund on the last business day of the accounting period. Investments in single priced CIS have been valued at market values, defined as fair value, which is usually the latest available price at the Funds’ 12 noon valuation point on the last business day of the accounting period.

(i) Any transactions in foreign currencies are translated into Sterling at the rates of exchange ruling on the date of any such transaction. Assets and liabilities in foreign currencies are translated into Sterling at the exchange rates ruling at 12 noon on the last business day of the accounting period. Revenue items in foreign currencies are translated into Sterling at the exchange rate when the revenue is received.

(j) Where appropriate, certain permitted financial instruments such as derivatives are used for efficient portfolio management. Where such financial instruments are used to protect or enhance revenue, the revenue and expenses derived therefrom are included in “Revenue” in the Statement of Total Return. Where such financial instruments are used to protect or enhance capital, the gains and losses derived therefrom are included in “Net capital gains or losses” in the Statement of Total Return.

(k) Cash and bank balances consist of deposits held on call with banks and cash held with clearing brokers and counterparties. Cash equivalents are short-term highly liquid investments that are readily convertible to known amounts of cash and which are subject to an insignificant risk of changes in value.

(l) Cash collateral provided by the Funds is identified on the Balance Sheet as pledged cash collateral and is not included as a component of cash and cash equivalents.

For collateral other than cash provided by the Funds, the party to whom the collateral is provided has the right by contract to sell or repledge the collateral but has an obligation to return equivalent securities to the Funds on maturity or sale of the contract. The Funds classify these assets on their Balance Sheets separately from other assets and identify the asset as pledged investments. Such assets are valued consistently with the accounting policies listed above.

Accounting and Distribution policies continued

Cash collateral provided to the Funds by counterparties is identified in the Balance Sheets as cash collateral payable. The Funds may reinvest this cash collateral and the assets purchased are included in investment assets or cash equivalents on the Balance Sheet.

For collateral received from counterparties other than cash, a disclosure of the collateral provided is made in the notes to the financial statements.

Distribution Policies(m) The ordinary element of stock dividends is treated as revenue but does not form part of the

distribution.

(n) All of the net revenue available for distribution at the final accounting period end will be distributed to unitholders with the balance attributable to accumulation unitholders retained within the Funds. In order to conduct a controlled dividend flow to unitholders, interim distributions may be made at the Manager’s discretion, up to a maximum of the distributable revenue available for the period. Should expenses and taxation together exceed revenue, there will be no distribution and the shortfall will be met from capital.

(o) The Corporate Bond 1-10 Year, Corporate Bond, Index Linked Gilt, Overseas Corporate Bond, Overseas Government Bond and UK Gilts All Stocks Tracker Funds have satisfied the qualifying investments tests as specified in S468L ICTA 1988 at all times throughout their distribution period. As such, any revenue available for distribution will be paid as an interest distribution. All other funds will pay a dividend distribution.

(p) The Index Linked Gilt Tracker Fund pays distributions on a coupon rate basis. Revenue is recognised on an effective interest rate basis and these positions have been reconciled in the Distributions note.


Introduction and overviewThe Funds’ investment activities expose them to the various types of risk which are associated with the financial instruments and markets in which they invest. The following information is not intended to be a comprehensive summary of all risks and investors should refer to the Prospectus of each fund for a more detailed discussion of the risks inherent in investing in the Funds.

Risk management frameworkThe Manager has delegated the day-to-day administration of the investment programme to the Investment Manager. The Investment Manager is also responsible for ensuring that the Funds are managed within the terms of their investment guidelines and limits set out in the Prospectus. The Manager reserves to itself the investment performance, product risk monitoring and oversight and the responsibility for the monitoring and oversight of regulatory and operational risk for the Funds.

The Manager has appointed a risk manager who has responsibility for the daily risk management process with assistance from key risk management personnel of the Investment Manager, including members of the Risk and Quantitative Analysis Group (“RQA Group”) which is a centralised group which performs an independent risk management function. The RQA Group independently identifies, measures and monitors investment risk. The RQA Group tracks the actual risk management practices being deployed across the different funds. By breaking down the components of the process, the RQA Group has the ability to determine if the appropriate risk management processes are in place for the Funds. This captures the risk management tools employed, how the levels of risk are controlled, ensuring risk/return is considered in portfolio construction and reviewing outcomes.

The risk profiles of the Funds are set out as follows:

a) Market riskMarket risk arises mainly from uncertainty about future values of financial instruments influenced by other price, currency and interest rate movements. It represents the potential loss the Funds may suffer through holding market positions in the face of market movements. The Funds are exposed to market risk by virtue of their investments in equities, warrants, rights, corporate bonds, government bonds, futures contracts and forward currency contracts.

A key metric the RQA Group uses to measure market risk is VaR which encompasses price, currency and interest rate risk. VaR is a statistical risk measure that estimates the potential portfolio loss from adverse market moves in an ordinary market environment. VaR analysis reflects the interdependencies between risk variables, unlike a traditional sensitivity analysis.

The VaR calculations are based on an adjusted historical simulation model with a confidence level of 99%, a holding period of one day and a historical observation period of not less than one year (250 days). A VaR number is defined at a specified probability and a specified time horizon. A 99% one day VaR means that the expectation is that 99% of the time over a one day period a Fund will lose less than this number in percentage terms. Therefore, higher VaR numbers indicate higher risk.

It is noted that the use of the VaR methodology has limitations, namely that the use of historical market data as a basis for estimating future events does not encompass all possible scenarios, particularly those that are of an extreme nature and that the use of a specified confidence level

Financial Instruments and Risks*

(e.g. 99%) does not take into account losses that occur beyond this level. There is some probability that the loss could be greater than the VaR amounts. These limitations and the nature of the VaR measure mean that the Funds can neither guarantee that losses will not exceed the VaR amounts indicated, nor that losses in excess of the VaR amounts, will not occur more frequently.

The one day VaR as at 29 February 2016 and 28 February 2015 based on a 99% confidence level is outlined in the table below:

Fund29 February 2016

%28 February 2015

%

Balanced Managed Fund 2.25 1.26

Continental European Equity Tracker Fund 3.47 2.15

Corporate Bond 1–10 Year Fund 0.59 0.43

Corporate Bond Tracker Fund 0.92 0.76

Emerging Markets Equity Tracker Fund 3.89 2.21

Global Property Securities Equity Tracker Fund 2.88 1.73

Index Linked Gilt Tracker Fund 2.02 1.43

Japan Equity Tracker Fund 5.57 2.71

Mid Cap UK Equity Tracker Fund 3.28 1.78

North American Equity Tracker Fund 3.49 2.20

Overseas Corporate Bond Tracker Fund 1.49 0.87

Overseas Government Bond Tracker Fund 1.58 0.96

Pacific ex Japan Equity Tracker Fund 3.34 1.81

UK Equity Tracker Fund 3.92 2.21

UK Gilts All Stocks Tracker Fund 1.32 0.99

US Equity Tracker Fund 3.44 2.25

100 UK Equity Tracker Fund 4.27 2.38

350 UK Equity Tracker Fund 3.97 2.25

During the year the VaR model used by the RQA Group changed from a parametric model to an adjusted historical simulation model to measure more appropriately the Funds’ exposure to market risk. The previous model used a holding period of one month (20 days). The comparative VaR as of 28 February 2015 has been updated in line with the new model.

* The information relating to Financial Instruments and Risks is an integral part of the notes to financial statements.


i) Market risk arising from foreign currency risk

All funds with exception of the Balanced Managed Fund

exposure to foreign currency riskForeign currency risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in foreign exchange rates.

The Funds may invest in securities, which as far as possible and practicable, consist of the component securities of the benchmark index of each Fund, and which may be denominated in currencies other than its reporting currency.

The Funds, in line with their benchmarks, are unhedged and are therefore exposed to foreign currency risk.

Consequently, each Fund is exposed to the risk of currency fluctuations between the base currency of the benchmark index and the base currency of the constituent securities of the benchmark index.

Balanced Managed Fund

The Fund is not managed in reference to a benchmark index but is exposed to foreign currency risk from its financial assets and financial liabilities denominated in non Sterling currencies.

Financial Instruments and Risks continued

The tables below outline each Fund’s exposure to foreign currency risk as at the Balance Sheet date.

Foreign currency exposure

Gross Foreign

Currency Exposure

£000’s

Forward Currency

Contracts£000’s

Net Foreign

Currency Exposure

£000’s% of

Net Assets

29 February 2016


Australian dollar (8) - (8) 0.00

Canadian dollar – (2,745) (2,745) (0.59)

Euro 15,601 (28,089) (12,488) (2.71)

Japanese yen 450 686 1,136 0.25

Polish zloty – 17 17 0.00

South African rand – (5,275) (5,275) (1.14)

US dollar 16,591 102,117 118,708 25.72

Total exposure to foreign currencies 32,634 66,711 99,345 21.53

28 February 2015


Australian dollar (8) (4,879) (4,887) (0.95)

Brazilian real 10,318 454 10,772 2.09

Canadian dollar – (4,752) (4,752) (0.92)

Euro 45,576 (10,834) 34,742 6.75

Hungarian forint – (9,888) (9,888) (1.92)

Japanese yen 175 9,458 9,633 1.87

Mexican peso 12 – 12 0.00

New Zealand dollar – 10,064 10,064 1.96

South African rand – (5,299) (5,299) (1.03)

South Korean won 281 – 281 0.05

Swedish krona – (4,800) (4,800) (0.93)

Swiss franc – 8,957 8,957 1.74

US dollar 39,870 81,942 121,812 23.67

Total exposure to foreign currencies 96,224 70,423 166,647 32.38



Gross Foreign

Currency Exposure

£000’s

Forward Currency

Contracts£000’s

Net Foreign

Currency Exposure

£000’s% of

Net Assets

29 February 2016

Continental European Equity Tracker Fund

Czech koruna 2,975 – 2,975 0.10

Danish krone 128,099 – 128,099 4.39

Euro 1,916,961 – 1,916,961 65.67

Hungarian forint 5,343 – 5,343 0.18

Norwegian krone 39,517 – 39,517 1.35

Polish zloty 25,068 – 25,068 0.86

Swedish krona 189,429 – 189,429 6.49

Swiss franc 592,797 – 592,797 20.31

Turkish lira 27,751 – 27,751 0.95

US dollar 7 – 7 0.00

Total exposure to foreign currencies 2,927,947 – 2,927,947 100.30

28 February 2015


Czech koruna 3,809 – 3,809 0.13

Danish krone 104,092 – 104,092 3.58

Euro 1,908,464 – 1,908,464 65.54


Norwegian krone 44,492 – 44,492 1.53

Polish zloty 27,242 – 27,242 0.94

Swedish krona 203,920 – 203,920 7.00

Swiss franc 588,903 – 588,903 20.22

Turkish lira 28,275 – 28,275 0.97

US dollar 104 – 104 0.00 r




Gross Foreign

Currency Exposure

£000’s

Forward Currency

Contracts£000’s

Net Foreign

Currency Exposure

£000’s% of

Net Assets

29 February 2016

Emerging Markets Equity Tracker Fund

Brazilian real 39,826 – 39,826 6.90

Chinese yuan renminbi 15 – 15 0.00

Colombian peso 3,651 – 3,651 0.63

Czech koruna 1,083 – 1,083 0.19

Egyptian pound 1,816 – 1,816 0.31

Euro 468 – 468 0.08

Hong Kong dollar 147,855 – 147,855 25.61


Indonesian rupiah 17,408 – 17,408 3.02

Malaysian ringgit 27,471 – 27,471 4.76

Mexican peso 32,379 – 32,379 5.61

Moroccan dirham 3 – 3 0.00

Peruvian Nuevo sol 1 – 1 0.00

Philippine peso 11,211 – 11,211 1.94

Polish zloty 9,525 – 9,525 1.65

Russian rouble 1,347 – 1,347 0.23

South African rand 50,527 – 50,527 8.75

Taiwan dollar 88,132 – 88,132 15.26

Thai baht 16,734 – 16,734 2.90

Turkish lira 10,038 – 10,038 1.74

UAE dirham 5,078 – 5,078 0.88

US dollar 111,629 – 111,629 19.33

Total exposure to foreign currencies 578,354 – 578,354 100.16



Gross Foreign

Currency Exposure

£000’s

Forward Currency

Contracts£000’s

Net Foreign

Currency Exposure

£000’s% of

Net Assets

28 February 2015


Brazilian real 69,467 – 69,467 9.65

Columbian peso 4,713 – 4,713 0.66

Czech koruna 1,671 – 1,671 0.23

Egyptian pound 2,658 – 2,658 0.37

Euro 354 – 354 0.05

Hong Kong dollar 175,503 – 175,503 24.39


Indonesian rupiah 21,087 – 21,087 2.93


Mexican peso 38,786 – 38,786 5.39

Moroccan dirham 96 – 96 0.01

Philippine peso 13,417 – 13,417 1.86

Polish zloty 11,656 – 11,656 1.62

South African rand 69,162 – 69,162 9.61

Taiwan dollar 103,927 – 103,927 14.44

Thai baht 21,748 – 21,748 3.02

Turkish lira 12,179 – 12,179 1.69

UAE dirham 5,443 – 5,443 0.76

US dollar 134,731 – 134,731 18.72




Gross Foreign

Currency Exposure

£000’s

Forward Currency

Contracts£000’s

Net Foreign

Currency Exposure

£000’s% of

Net Assets

29 February 2016

Global Property Securities Equity Tracker Fund

Australian dollar 58,936 – 58,936 6.11

Canadian dollar 26,023 – 26,023 2.70

Euro 84,267 – 84,267 8.74

Hong Kong dollar 63,462 – 63,462 6.58

Israeli shekel 997 – 997 0.10

Japanese yen 114,704 – 114,704 11.89

New Zealand dollar 906 – 906 0.09

Norwegian krone 588 – 588 0.06

Singapore dollar 19,698 – 19,698 2.04

Swedish krona 11,353 – 11,353 1.18

Swiss franc 8,731 – 8,731 0.91

US dollar 527,332 – 527,332 54.67


28 February 2015



Canadian dollar 24,066 – 24,066 3.11

Euro 61,286 – 61,286 7.93

Hong Kong dollar 56,531 – 56,531 7.31

Israeli shekel 780 – 780 0.10

Japanese yen 89,371 – 89,371 11.56


Norwegian krone 635 – 635 0.08


Swedish krona 8,492 – 8,492 1.10

Swiss franc 7,150 – 7,150 0.92

US dollar 406,111 – 406,111 52.51




Gross Foreign

Currency Exposure

£000’s

Forward Currency

Contracts£000’s

Net Foreign

Currency Exposure

£000’s% of

Net Assets

29 February 2016

Japan Equity Tracker Fund

Japanese yen 1,311,988 – 1,311,988 100.29


28 February 2015

Japan Equity Tracker Fund

Japanese yen 985,374 – 985,374 100.05


29 February 2016

North American Equity Tracker Fund

Canadian dollar 155,797 – 155,797 4.75

US dollar 3,134,927 – 3,134,927 95.56


28 February 2015


Canadian dollar 165,208 – 165,208 5.63

US dollar 2,773,068 – 2,773,068 94.41




Gross Foreign

Currency Exposure

£000’s

Forward Currency

Contracts£000’s

Net Foreign

Currency Exposure

£000’s% of

Net Assets

29 February 2016

Overseas Corporate Bond Tracker Fund


Canadian dollar 29,688 – 29,688 2.85

Euro 235,933 – 235,933 22.62

Japanese yen 23,539 – 23,539 2.26


Singapore dollar 685 – 685 0.07

South Korean won – 927 927 0.09

Swiss franc 7,249 – 7,249 0.70

US dollar 753,429 – 753,429 72.24

Total exposure to foreign currencies 1,055,951 927 1,056,878 101.35

28 February 2015



Canadian dollar 27,639 – 27,639 3.16

Euro 207,013 – 207,013 23.66

Japanese yen 20,947 – 20,947 2.39


Singapore dollar 631 – 631 0.07

South Korean won (936) 936 – 0.00

Swiss franc 6,987 – 6,987 0.80

US dollar 608,806 – 608,806 69.59

Total exposure to foreign currencies 876,314 936 877,250 100.27



Gross Foreign

Currency Exposure

£000’s

Forward Currency

Contracts£000’s

Net Foreign

Currency Exposure

£000’s% of

Net Assets

29 February 2016

Overseas Government Bond Tracker Fund


Canadian dollar 2,958 – 2,958 1.27

Danish krone 1,092 – 1,092 0.47

Euro 65,980 – 65,980 28.28

Japanese yen 57,457 – 57,457 24.63

Swedish krona 891 – 891 0.38

US dollar 101,891 – 101,891 43.68


28 February 2015



Canadian dollar 2,277 – 2,277 1.48

Danish krone 844 – 844 0.55

Euro 45,008 – 45,008 29.35

Japanese yen 36,371 – 36,371 23.72

Swedish krona 580 – 580 0.38

US dollar 66,404 – 66,404 43.30




Gross Foreign

Currency Exposure

£000’s

Forward Currency

Contracts£000’s

Net Foreign

Currency Exposure

£000’s% of

Net Assets

29 February 2016

Pacific ex Japan Equity Tracker Fund


Chinese yuan renminbi 4 – 4 0.00

Hong Kong dollar 119,411 – 119,411 15.53


New Zealand dollar 8,048 – 8,048 1.05


South Korean won 153,658 – 153,658 19.99

Taiwan dollar 130,721 – 130,721 17.00

Thai baht 24,335 – 24,335 3.17

US dollar 9,557 – 9,557 1.24


28 February 2015



Hong Kong dollar 121,534 – 121,534 15.22


New Zealand dollar 6,798 – 6,798 0.85


South Korean won 147,517 – 147,517 18.47

Taiwan dollar 128,862 – 128,862 16.14

Thai baht 26,654 – 26,654 3.34

US dollar 11,777 – 11,777 1.47




Gross Foreign

Currency Exposure

£000’s

Forward Currency

Contracts£000’s

Net Foreign

Currency Exposure

£000’s% of

Net Assets

29 February 2016

US Equity Tracker Fund

US dollar 806,090 – 806,090 101.80


28 February 2015

US Equity Tracker Fund

US dollar 735,238 – 735,238 100.02


For Funds not included in the tables above, their financial assets and financial liabilities are denominated mainly in their respective functional currencies and therefore are unlikely to be materially exposed to foreign currency risk.

Management of foreign currency riskForeign currency exposures are managed within parameters utilising forward currency contracts. The details of the contracts in place at the year-end are disclosed in the portfolio statement of each Fund.

ii) Market risk arising from other price riskexposure to other price riskOther price risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market prices (other than those arising from interest rate risk or currency risk), whether those changes are caused by factors specific to the individual financial instrument or its issuer, or factors affecting similar financial instruments traded in the market.

The Funds are exposed to other price risk arising from their investments. The exposure of the Funds to other price risk is the market value of the investments held as shown in the portfolio statement of each Fund.

Management of other price riskThe Investment Manager manages the Funds’ other price risk on a daily basis in accordance with their investment objectives.

By diversifying the portfolios, where this is appropriate and consistent with the Funds’ objectives, the risk that a price change of a particular investment will have a material impact on the net asset value of the Funds is minimised. The investment concentrations within the portfolios are disclosed in the portfolio statement of each Fund by investment type.

The other price risk inherent in holdings in CIS is monitored by the Investment Manager by understanding the investment objectives of the underlying funds as well as their internal control policies and regular risk and performance reporting.


iii) Market risk arising from interest rate riskexposure to interest rate riskInterest rate risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market interest rates.

The Funds are exposed to interest rate risk on their cash and bank balances held at The Bank of New York Mellon (International) Limited, amounts held at futures clearing houses and brokers, cash equivalent holdings and their investments in fixed and floating rate interest bearing securities where the value of these securities may fluctuate as a result of a change in interest rates. Cash held on deposit at The Bank of New York (International) Limited receives/incurs interest at the prevailing daily rate which may be negative depending on the currency in which the cash is held.

The Balanced Managed Fund has additional indirect exposure to interest rate risk through its investments in CIS, whereby the values of an underlying fund may fluctuate as a result of a change in interest rates through its investment in interest bearing securities.

The interest rate risk profile of the Funds’ investments as at 29 February 2016 was as follows:

Exposure to interest rate risk

Floating Rate Investments

£000’s

Fixed Rate Investments

£000’s

Non-Interest Bearing

Investments £000’s

Total£000’s

Balanced Managed Fund – 115,748 262,979 378,727

Continental European Equity Tracker Fund – – 2,868,987 2,868,987

Corporate Bond 1–10 Year Fund 109,874 731,212 – 841,086

Corporate Bond Tracker Fund 80,473 1,111,579 – 1,192,052

Emerging Markets Equity Tracker Fund – – 529,775 529,775

Global Property Securities Equity Tracker Fund – – 950,597 950,597

Index Linked Gilt Tracker Fund – 309,598 – 309,598

Japan Equity Tracker Fund – – 1,264,300 1,264,300

Mid Cap UK Equity Tracker Fund – – 165,784 165,784

North American Equity Tracker Fund – – 3,273,396 3,273,396

Overseas Corporate Bond Tracker Fund 29,618 1,005,570 15 1,035,203

Overseas Government Bond Tracker Fund – 231,229 – 231,229

Pacific ex Japan Equity Tracker Fund – – 760,986 760,986

UK Equity Tracker Fund – – 7,724,093 7,724,093

UK Gilts All Stocks Tracker Fund – 3,534,060 – 3,534,060

US Equity Tracker Fund – – 802,238 802,238

100 UK Equity Tracker Fund – – 602,056 602,056

350 UK Equity Tracker Fund – – 1,544,244 1,544,244


The interest rate risk profile of the Funds’ investments as at 28 February 2015 was as follows:

Exposure to interest rate risk

Floating Rate Investments

£000’s

Fixed Rate Investments

£000’s

Non-Interest Bearing

Investments £000’s

Total£000’s

Balanced Managed Fund – 104,052 329,365 433,417

Continental European Equity Tracker Fund – – 2,868,284 2,868,284

Corporate Bond 1–10 Year Fund 126,796 719,362 – 846,158

Corporate Bond Tracker Fund 86,374 924,812 – 1,011,186

Emerging Markets Equity Tracker Fund – – 680,639 680,639

Global Property Securities Equity Tracker Fund – – 766,019 766,019

Index Linked Gilt Tracker Fund – 357,579 – 357,579

Japan Equity Tracker Fund – – 966,574 966,574

Mid Cap UK Equity Tracker Fund – – 245,084 245,084

North American Equity Tracker Fund – – 2,924,116 2,924,116

Overseas Corporate Bond Tracker Fund 29,754 832,331 13 862,098

Overseas Government Bond Tracker Fund – 152,406 – 152,406

Pacific ex Japan Equity Tracker Fund – – 787,732 787,732

UK Equity Tracker Fund – – 8,402,770 8,402,770

UK Gilts All Stocks Tracker Fund – 3,314,737 – 3,314,737

US Equity Tracker Fund – – 733,433 733,433

100 UK Equity Tracker Fund – – 671,852 671,852

350 UK Equity Tracker Fund – – 1,792,929 1,792,929

Management of interest rate riskInterest rate risk exposure is managed by constantly monitoring the position for deviations outside of a pre-determined tolerance level and, when necessary, rebalancing back to the original desired parameters.


b) Counterparty credit riskexposure to counterparty credit riskCounterparty credit risk is the risk that one party to a financial instrument will cause a financial loss for the other party by failing to discharge an obligation.

The Funds are exposed to counterparty credit risk from the parties with which they trade and will bear the risk of settlement default.

Management of counterparty credit riskCounterparty credit risk is monitored and managed by BlackRock’s RQA Counterparty & Concentration Risk Team. The team is headed by BlackRock’s Chief Credit Officer who reports directly to the Global Head of RQA. Credit authority resides with the Chief Credit Officer and selected team members to whom specific credit authority has been delegated. As such, counterparty approvals may be granted by the Chief Credit Officer or by identified RQA Credit Risk Officers who have been formally delegated authority by the Chief Credit Officer as deemed appropriate.

BlackRock’s RQA Counterparty & Concentration Risk Team completes a formal review of each new counterparty, monitors and reviews all approved counterparties on an ongoing basis and maintains an active oversight of counterparty exposures.

The Manager maintains a list of approved counterparties. This list is regularly monitored and revised for changes based on the counterparty’s creditworthiness, market reputation and expectations of future financial performance. Transactions will only be opened with financial intermediaries on the approved counterparties list.

i) exchange traded Financial Derivative InstrumentsThe Funds’ holdings in futures contracts expose the Funds to counterparty credit risk.

Management of counterparty credit risk related to futures contractsThe exposure is limited by trading the contracts through a clearing house. The Funds’ exposure to counterparty credit risk on contracts in which they currently have a gain position is reduced by such gains received in cash from the counterparty under the daily mark-to market mechanism on exchange traded futures contracts (variation margin). The Funds’ exposure to credit risk on contracts in which they currently have a loss position is equal to the amount of margin posted to the counterparty which has not been transferred to the exchange under the daily mark-to-market mechanism. The counterparty for futures contracts is Goldman Sachs.

Margin is paid or received on futures to cover any exposure by the counterparty or the Funds to each other. Margin receivable from the Funds’ clearing brokers and the counterparty is included in “Cash and bank balances” on the Balance Sheet. Margin payable to the Funds’ clearing brokers and the counterparty is included in “Amounts held at futures clearing houses and brokers” on the Balance Sheet.


ii) over-the-Counter (“otC”) Financial Derivative InstrumentsThe Funds’ holdings in forward currency contracts also expose the Funds to counterparty credit risk.

The Funds’ maximum exposure to counterparty credit risk from holding forward currency contracts will be equal to the notional amount of the currency and any net unrealised gains or losses as disclosed in the portfolio statement of each Fund.

The Balanced Managed Fund’s holdings in credit default swaps, options and total return swaps expose the Fund to counterparty credit risk. Counterparty credit risk arises from the failure of the counterparty to perform according to the terms of the contract. The Fund’s exposure to counterparty credit risk is limited to the contracts in which it currently has a gain position reduced by the cash collateral received from the counterparty or to counterparties who have received collateral from the Fund.

For the Balanced Managed Fund, the carrying value of financial assets together with cash best represents the Fund’s gross maximum exposure to counterparty credit risk at the reporting date, before including the effect of International Swaps and Derivatives Association, Inc. master agreements and close-out netting, which would reduce the overall counterparty credit risk exposure.

Cash held as security by the counterparty to derivative contracts is subject to the credit risk of the counterparty.

Management of counterparty credit risk related to otC Financial Derivative InstrumentsForward currency contracts do not require variation margins and thus the counterparty credit risk is monitored through the BlackRock RQA Counterparty & Concentration Risk Team who monitor the creditworthiness of the counterparty. The counterparties for forward currency contracts are disclosed in the portfolio statement of each Fund.

The lowest credit rating of any one counterparty is BBB- (28 February 2015: BBB-) (Standard & Poor’s rating).

iii) trustee and Custodian The Funds’ Trustee is BNY Mellon Trust & Depositary (UK) Limited (the “Trustee”). The Trustee has delegated the function of custodian of the property of the Funds to The Bank of New York Mellon (International) Limited (the “Custodian”).

Substantially all of the investments other than financial derivative instruments of the Funds are held by the Custodian at year end. Investments are segregated from the assets of the Custodian, with ownership rights remaining with the Funds. Bankruptcy or insolvency of the Custodian may cause the Funds’ rights with respect to their investments held by the Custodian to be delayed or limited. The maximum exposure to this risk is the amount of long investments disclosed in the portfolio statement of each Fund.

The Funds will be exposed to the credit risk of the Custodian, or any depositary used by the Trustee regarding cash balances held in accounts with same. In the event of insolvency or bankruptcy of the Custodian or any depositary used by the Trustee, the Funds will be treated as a general creditor of the Trustee.


Management of counterparty credit risk related to the trustee and Custodian To mitigate the Funds’ credit risk with respect to the Trustee, the Investment Manager of the Funds employs specific procedures to ensure that the Trustee employed is a reputable institution and that the associated credit risk is acceptable to the Funds. The Funds only transact with counterparties that are regulated entities subject to prudential supervision, or with high credit-ratings assigned by international credit-rating agencies.

The long term credit rating of the parent company of the Trustee and Custodian, The Bank of New York Mellon Corporation as at 29 February 2016 was A+ (28 February 2015: A+) (Standard & Poor’s rating).

iv) CounterpartiesAll transactions in listed securities are settled/paid for upon delivery using approved brokers. The risk of default is considered minimal, as delivery of securities sold is only made once the broker has received payment. Payment is made on a purchase once the securities have been received by the broker. The trade will fail if either party fails to meet its obligation.

Counterparty credit risk arising on transactions with brokers relates to transactions awaiting settlement. Risk relating to unsettled transactions is considered small due to the short settlement period involved and the high credit quality of the brokers used.

Management of counterparty credit risk related to CounterpartiesThe Manager monitors the credit rating and financial position of the brokers used to further mitigate this risk.

v) Debt securitiesIssuer credit risk is the default risk of one of the issuers of any securities held by the Funds.

Bonds or other debt securities involve credit risk to the issuer which may be evidenced by the issuer’s credit rating. Securities which are subordinated and/or have a lower credit rating are generally considered to have a higher credit risk and a greater possibility of default than more highly rated. A number of the Funds invest into sovereign and corporate debt. This exposes the Funds to the risk that the issuer of the bonds may default on interest or principal payments.

Management of counterparty credit risk related to debt securitiesTo manage this risk the Investment Manager invests in a wide range of securities, subject to the investment objectives of each Fund and monitors the credit ratings of the investments as disclosed in each Fund’s portfolio statement. The ratings of the debt securities are continually monitored by the BlackRock Portfolio Management Group.


The following tables detail the credit rating profile of the debt securities held by the Funds as a percentage of the NAV as at the Balance Sheet date.

29 February 2016

Fund

Investment grade

%

Non-investment grade

%Not rated

%Total

%

Balanced Managed Fund 21.04 3.98 – 25.02

Corporate Bond 1–10 Year Fund 94.45 1.07 2.33 97.85

Corporate Bond Tracker Fund 97.56 0.54 0.94 99.04

Index Linked Gilt Tracker Fund 99.09 – – 99.09

Overseas Corporate Bond Tracker Fund 98.33 0.92 – 99.25

Overseas Government Bond Tracker Fund 99.12 – – 99.12

UK Gilts All Stocks Tracker Fund 100.01 – – 100.01

28 February 2015

Fund

Investment grade

%

Non-investment grade

%Not rated

%Total

%

Balanced Managed Fund 19.14 1.09 – 20.23

Corporate Bond 1–10 Year Fund 94.74 0.69 1.96 97.39

Corporate Bond Tracker Fund 96.85 – 0.83 97.68

Index Linked Gilt Tracker Fund 99.76 – – 99.76

Overseas Corporate Bond Tracker Fund 98.01 0.52 – 98.53

Overseas Government Bond Tracker Fund 99.38 – – 99.38

UK Gilts All Stocks Tracker Fund 99.35 – – 99.35

vi) Securities LendingThe Funds engage in security lending activities which expose the Funds to counterparty credit risk. The maximum exposure to the Funds is equal to the value of the securities loaned in accordance with the notes to the financial statements.

Management of counterparty credit risk related to securities lendingTo mitigate this risk, the Funds receive securities as collateral (financial instruments) equal to a certain percentage of the value of the securities loaned and BlackRock provides the Funds with indemnification against borrower default as disclosed in the notes to the financial statements.


vii) Collateral The Balanced Managed Fund engages in activities which may require collateral to be provided to a counterparty (“pledged collateral”) or may hold collateral received (“inbound collateral”) from a counterparty.

Management of counterparty credit risk related to collateralThe Fund uses inbound collateral received from a counterparty to reduce the credit risk associated with any trading activity the Fund has engaged in.

Cash collateral pledged by the Fund is separately identified on the Balance Sheet as cash collateral and is not included as a component of cash and cash equivalents. Inbound cash collateral received by the Fund is reflected on the Balance Sheet as cash collateral payable.

The following table details the number of counterparties the Balanced Managed Fund is exposed to by OTC derivative type and the maximum exposure (which is calculated on a net basis) to any one counterparty.

29 February 2016


BrokerForwards

£000’sOTC Options

£000’sTotal Return

Swaps £000’sTotal Exposure

£000’s

Bank of America Merrill Lynch – – (689) (689)

Barclays Bank Plc (559) – – (559)

Citibank 1,000 11 (58) 953

Credit Suisse International 41 – – 41

Deutsche Bank AG 2,797 – 47 2,844

JP Morgan Chase Securities Plc – – (2,521) (2,521)

Morgan Stanley & Co. 7 – – 7

Royal Bank of Scotland (581) – – (581)

UBS (287) – – (287)

Collateral received from these counterparties in respect of derivative contracts was £000 90 in the form of cash. Collateral pledged to these counterparties in respect of derivative contracts was £000 3,456 in the form of UK Sterling Government bonds and £000 230 in the form of cash.


28 February 2015


BrokerForwards

£000’sOTC Options

£000’sTotal Exposure

£000’s

Bank of America Merrill Lynch 815 – 815

Barclays Bank Plc 1,423 – 1,423

Citibank 582 – 582

BNP Paribas Arbitrage (904) - (904)

Deutsche Bank AG (13) – (13)

Goldman Sachs International (84) – (84)

JP Morgan Chase Securities Plc 150 – 150

Morgan Stanley & Co. – 281 281

Société Générale 598 – 598

Westpac 1,029 – 1,029

UBS (220) – (220)

Collateral received from these counterparties in respect of derivative contracts was £000 5,230 in the form of cash. Collateral pledged to these counterparties in respect of derivative contracts was £Nil.

Counterparty exposure has not been disclosed for exchange traded derivatives as the exchange requirements in respect of collateral mean that, in the opinion of the Manager, the counterparty risk is mitigated.

c) Liquidity riskexposure to liquidity riskLiquidity risk is the risk that the Funds will encounter difficulties in meeting their obligations associated with financial liabilities.

Liquidity risk to the Funds arises from the redemption requests of investors and the liquidity of the underlying investments the Funds are invested in. The Funds’ unitholders may redeem their units on the close of any daily dealing deadline for cash equal to a proportionate share of each Fund’s Net Asset Value. The Funds are therefore potentially exposed to the liquidity risk of meeting the unitholders’ redemptions and may need to sell assets at prevailing market prices to meet liquidity demands.

The Funds are also exposed to the liquidity risk of daily margin calls on derivatives.

All non-derivative financial liabilities including distributions payable held by the Funds as at 29 February 2016 and 28 February 2015, based on contractual maturities, fall due within one to three months, with the exception of corporation tax payable and deferred taxation which fall due within nine to twelve months.

Management of liquidity riskLiquidity risk is minimised by holding sufficient liquid investments which can be readily realised to meet liquidity demands.


At times of excessive redemptions the Manager may decide to defer redemptions at any valuation point to the next valuation point where the requested aggregate redemptions exceed 10 per cent of a Fund’s value. This will therefore allow the Manager to protect the interests of continuing unitholders by allowing the Manager to match the sale of scheme property to the level of redemptions. This should reduce the impact of dilution on the Funds. All unitholders who have sought to redeem units at any valuation point at which redemptions are deferred will be treated consistently and any redemption requests received in the meantime will not be processed until the redemption requests that have been deferred to the subsequent valuation points have been processed.

The Funds’ liquidity risks are managed on a daily basis by the Investment Manager in accordance with established policies and procedures in place. The portfolio managers review daily forward looking cash reports which project cash obligations. These reports allow them to manage their cash obligations.

d) Valuation of financial instrumentsThe Funds classify financial instruments measured at fair value using a fair value hierarchy. The fair value hierarchy has the following categories:

Level 1 – Quoted prices for identical instruments in active marketsA financial instrument is regarded as quoted in an active market if quoted prices are readily and regularly available and those prices represent actual and regularly occurring market transactions on an arm’s length basis. The Fund does not adjust the quoted price for these instruments.

Level 2 – Valuation techniques using observable inputs This category includes instruments valued using: quoted prices in active markets for similar instruments; quoted prices for similar instruments in markets that are considered less than active; or other valuation techniques where all significant inputs are directly or indirectly observable from market data.

Valuation techniques used for non-standardised financial instruments such as OTC derivatives, include the use of comparable recent arm’s length transactions, reference to other instruments that are substantially the same, discounted cash flow analysis, option pricing models and other valuation techniques commonly used by market participants making the maximum use of market inputs and relying as little as possible on entity determined inputs.

Level 3 – Valuation techniques using significant unobservable inputsThis category includes all instruments where the valuation techniques used include inputs not based on market data and these inputs could have a significant impact on the instrument’s valuation.

This category also includes instruments that are valued based on quoted prices for similar instruments where significant entity determined adjustments or assumptions are required to reflect differences between the instruments and instruments for which there is no active market.


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 judgment, considering factors specific to the asset or liability. The determination of what constitutes ‘observable’ inputs requires significant judgement by the Investment Manager. The Investment Manager considers observable inputs 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.

The tables below are an analysis of the Funds’ investment assets and investment liabilities measured at fair value at the Balance Sheet date.

Balanced Managed FundLevel 1£000’s

Level 2£000’s

Level 3£000’s

Total£000’s

29 February 2016

Investment assets 208,155 185,812 – 393,967

Investment liabilities (9,496) (5,744) – (15,240)

28 February 2015

Investment assets 114,824 322,859 – 437,683

Investment liabilities (1,334) (2,932) – (4,266)


Level 1£000’s

Level 2£000’s

Level 3£000’s

Total£000’s

29 February 2016

Investment assets 2,869,446 – – 2,869,446

Investment liabilities (459) – – (459)

28 February 2015


Investment liabilities – – – –


Corporate Bond 1–10 Year FundLevel 1£000’s

Level 2£000’s

Level 3£000’s

Total£000’s

29 February 2016

Investment assets – 841,086 – 841,086


28 February 2015



Corporate Bond Tracker FundLevel 1£000’s

Level 2£000’s

Level 3£000’s

Total£000’s

29 February 2016

Investment assets – 1,192,052 – 1,192,052


28 February 2015




Level 1£000’s

Level 2£000’s

Level 3£000’s

Total£000’s

29 February 2016

Investment assets 530,231 – – 530,231


28 February 2015





Level 1£000’s

Level 2£000’s

Level 3£000’s

Total£000’s

29 February 2016



28 February 2015



Index Linked Gilt Tracker FundLevel 1£000’s

Level 2£000’s

Level 3£000’s

Total£000’s

29 February 2016



28 February 2015



Japan Equity Tracker FundLevel 1£000’s

Level 2£000’s

Level 3£000’s

Total£000’s

29 February 2016


Investment liabilities (1,216) – – (1,216)

28 February 2015



Mid Cap UK Equity Tracker FundLevel 1£000’s

Level 2£000’s

Level 3£000’s

Total£000’s

29 February 2016



28 February 2015





Level 1£000’s

Level 2£000’s

Level 3£000’s

Total£000’s

29 February 2016



28 February 2015




Level 1£000’s

Level 2£000’s

Level 3£000’s

Total£000’s

29 February 2016



28 February 2015




Level 1£000’s

Level 2£000’s

Level 3£000’s

Total£000’s

29 February 2016



28 February 2015




Level 1£000’s

Level 2£000’s

Level 3£000’s

Total£000’s

29 February 2016



28 February 2015




UK Equity Tracker FundLevel 1£000’s

Level 2£000’s

Level 3£000’s

Total£000’s

29 February 2016



28 February 2015

Investment assets 8,402,651 119 – 8,402,770


UK Gilts All Stocks Tracker FundLevel 1£000’s

Level 2£000’s

Level 3£000’s

Total£000’s

29 February 2016



28 February 2015



US Equity Tracker FundLevel 1£000’s

Level 2£000’s

Level 3£000’s

Total£000’s

29 February 2016



28 February 2015



100 UK Equity Tracker FundLevel 1£000’s

Level 2£000’s

Level 3£000’s

Total£000’s

29 February 2016


Investment liabilities – (48) – (48)

28 February 2015

Investment assets 671,837 15 – 671,852



350 UK Equity Tracker FundLevel 1£000’s

Level 2£000’s

Level 3£000’s

Total£000’s

29 February 2016


Investment liabilities – (63) – (63)

28 February 2015

Investment assets 1,792,898 31 – 1,792,929


Securities with a value less than £500 are not disclosed in the tables above. These securities are identified on the portfolio statement of each Fund.

e) Global exposureThe Manager is required by the COLL Sourcebook to employ a risk management process in respect of the Funds which enables it to accurately monitor and manage the global exposure from financial derivative instruments (“FDI”).

Depending upon the investment strategy of each Fund, the Manager uses two methodologies in order to measure the global exposure and manage the potential loss to the Funds due to market risk. The first methodology is known as Value at Risk (“VaR”). The VaR methodology measures the potential loss to a fund at a particular confidence (probability) level over a specific time period and under normal market conditions.

The second methodology is known as the Commitment Approach. The Commitment Approach is a methodology that aggregates the underlying market or notional values of FDI to determine the degree of global exposure of a Fund to derivative instruments.

In accordance with the COLL Sourcebook, global exposure for a fund utilising the Commitment Approach must not exceed 100% of the Fund’s NAV. The calculation of global exposure represents only one element of the Fund’s risk management process and in that respect the Manager will continue to report VaR as a market risk measure to the Board of Directors.

The Manager has concluded that the Commitment Approach is a more suitable methodology for calculating global exposure for the Funds based on the Funds’ investment strategies and risk profiles, with the exception of the Balanced Managed Fund which uses the VaR approach.

For the Balanced Managed Fund and in accordance with current BlackRock policy, global exposure is measured using the VaR approach which considers the full constituents of the portfolio.

For Relative VaR, the VaR of the Balanced Managed Fund’s portfolio will not exceed twice the VaR of a reference portfolio. Utilisation refers to the level of risk taken in this context.


The tables below detail the highest, lowest and average utilisation of the VaR limit, expressed as a percentage of the respective relative VaR regulatory limit.

29 February 2016

Fund

Global Exposure Approach Reference Portfolio

Highest utilisation of the VaR limit

Lowest utilisation of the VaR limit

Average utilisation of the VaR limit

BCIF – BlackRockBalanced ManagedFund Relative VaR

30% FTSE All-ShareIndex 45% FTSEWorld ex UK Index25% BofA ML 1-15Year Sterling BroadMarket Index 58.60% 46.19% 53.47%

28 February 2015

Fund

Global Exposure Approach Reference Portfolio

Highest utilisation of the VaR limit

Lowest utilisation of the VaR limit

Average utilisation of the VaR limit

BCIF – BlackRockBalanced ManagedFund Relative VaR

30% FTSE All-ShareIndex / 45% FTSEWorld ex-UK Index /25% BofA ML 1-15Year Sterling BroadMarket Index 68.52% 49.31% 58.11%

The exposures to FDI at year end are marked on the relevant Fund’s portfolio statement.

f) LeverageThe use of derivatives may expose Funds to a higher degree of risk. In particular, derivative contracts can be highly volatile and the amount of initial margin is generally small relative to the size of the contract so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard bonds or equities. Leveraged derivative positions can therefore increase a Fund’s volatility.

The leverage is calculated on a gross exposure basis, by taking the sum of the notional values of the derivatives used by a Fund, without netting, and is expressed as a percentage of the net asset value.

The average level of leverage employed by the Balanced Managed Fund during the year was 122.00% (28 February 2015: 121.66%).


About the Fund

The BlackRock Balanced Managed Fund (the “Fund”) is a sub-fund of BlackRock Collective Investment Funds, a UCITS scheme established under the COLL Sourcebook. The Fund was established and authorised by the Financial Conduct Authority on 21 June 2005. The Fund was previously known as Merrill Lynch Balanced Managed Fund. It adopted its present name with effect from 28 April 2008.

Investment objective & policy

The aim of the Fund is to seek to achieve a total return by investment mainly in a global portfolio of equities and fixed interest securities with an emphasis on the UK. Investment will be made directly into equities and via other transferable securities giving exposure to such equities. The Fund may also invest in permitted money-market instruments, permitted deposits and units in collective investment schemes. Derivatives and forward transactions may be used for the purposes of efficient portfolio management.

Risk and Reward profile

Lower riskTypically lower rewards

Higher riskTypically higher rewards

Unit Class

A Accumulation 1 2 3 4 5 6 7

` ��The risk indicator was calculated incorporating historical data and may not be a reliable indication of the future risk profile of the unit class.

` �The risk category shown is not guaranteed and may change over time.

` The lowest category does not mean risk free.

` �The use of derivatives will impact the value of the Fund and may expose the Fund to a higher degree of risk. Derivatives are highly sensitive to changes in the value of the asset on which they are based and can increase the size of losses and gains, resulting in greater fluctuations in the value of the Fund.

For more information on this, please see the Fund’s Key Investor Information Documents (KIIDs), which are available at www.blackrock.com.

BlackRock Balanced Managed Fund



This Annual Report covers the year ended 29 February 2016.

Performance Table

For the year to 29.2.2016

For the three years to 29.2.2016

For the five years to 29.2.2016

TOTAL RETURN(with net income reinvested)

Class A Accumulation Units

BlackRock Balanced Managed Fund -5.7% +7.9% +16.5%

Investment Association (IA) Mixed Investment 40-85% Shares*◊ -3.7% +12.8% +26.0%

All Fund figures quoted are based on bid-to-bid dealing prices (the price at which units are sold) and are calculated net of fees. Performance returns are cumulative. All returns are in Sterling.* Figures from Morningstar.◊ Investment Association (IA) Mixed Investment 40–85% Shares is the Fund’s peer group benchmark.

All financial investments involve an element of risk. Therefore, the value of your investment and the income from it will vary and the return of your initial investment amount cannot be guaranteed. Changes in exchange rates may cause the value of an investment to fluctuate. Past performance is not a guide to future performance and should not be the sole factor of consideration when selecting a product.

Summary of Performance over the PeriodThe Fund returned -5.7%* over the period from 1 March 2015 to 29 February 2016, regrettably underperforming its peer group benchmark**, which returned -3.7%. Over the past six months, the Fund returned -1.2%* versus 0.6% for its peer group benchmark.

Performance was disappointing over the period, with returns impacted negatively by the allocations to developed market equities and specifically to stock selection within UK equities. However, exposure to European peripheral bonds (government debt in Spain, Portugal and Greece) also undermined returns in the first half of the review period given concerns over the potential for Greece to exit the European Union.

Fund Manager’s CommentaryMarket moves up and down (what’s known as “volatility”) increased as global growth concerns became more pronounced over the period. Although numerous events affected asset prices over the year, three major themes stood out. First, the supply of oil outweighed demand for it, sending the oil price plunging. Second, economic weakness in China made investors worry about where a solution to slowing global growth might be found. Third, global central bank monetary policies began diverging, to unknown effect. As a result, developed and emerging market equities fell, with losses more pronounced in the latter. Meanwhile, perceived ‘safe-havens’, including developed market government bonds, gold and currencies like the US dollar strengthened.

As highlighted above the Fund’s negative return was largely driven by equities, and specifically to stock selection within the UK market. The allocation to gold miners detracted, although tactical allocations to Chinese equities and industrial-sector hedging helped cushion the losses. In fixed income, negative returns from US Treasuries and European peripheral government bonds were partly offset by positive returns from UK government bonds. Meanwhile, currency exposures contributed positively, mainly due to the long US dollar bias.

While still cautious, we believe volatility creates good opportunities to add value. We believe there are pockets of opportunity in the more developed markets, but prefer the US to Europe and Japan. We remain concerned about China given further economic adjustment looks likely, although there are still some tactical opportunities to be found in emerging markets. In fixed income, we expect more market uncertainty to keep bond yields low.

March 2016

* Performance figures quoted are based on bid-to-bid dealing prices (the price at which units are sold). Performance is calculated net of fees.

** Investment Association (IA) Mixed Investment 40–85% Shares is the Fund’s peer group benchmark.

Balanced Managed Investment Report


Comparative Table

A Accumulation Units



For the period from 1.2.2013* to 28.2.2014

Pence per unit Pence per unit Pence per unit

Change in net assets per unit

Opening net asset value per unit 157.3 148.2 134.6

Return before operating charges (6.66) 9.12 13.62

Operating charges (2.40) (0.02) (0.02)

Return after operating charges (9.06) 9.10 13.60

Closing net asset value per unit 148.2 157.3 148.2

Retained distributions on accumulation units 1.23 0.80 0.94

After direct transaction costs of (0.08) (0.12) (0.29)

performance

Return after charges1 (5.76)% 6.14% 10.10%

other information

Closing net asset value (£000’s) 461,629 514,678 512,158

Closing number of units 311,398,152 327,175,098 345,530,517

Operating charges2 1.56% 1.58% 1.57%

Direct transaction costs3 0.06% 0.11% 0.22%

prices Pence per unit Pence per unit Pence per unit

Highest offer unit price 163.5 165.9 157.2

Lowest bid unit price 138.6 138.3 131.9

* As communicated in a letter to investors dated 28 May 2013, the Manager has changed the Fund’s annual accounting date in order to consolidate the publication of the reports.

1 The Return after charges figures are based on the net asset value reported for financial statements purposes and are not the same as the performance returns figures quoted in the Performance Table and the Investment Report which are based on bid-to-bid dealing prices (the price at which units are sold).

2 Operating charges were previously known as Ongoing Charges prior to the adoption of the new IMA SORP 2014. See note 1(a) for further details. Operating charges are annualised and exclude portfolio trade-related costs, except costs paid to the custodian/depositary and entry/exit charges paid to an underlying collective investment scheme (if any).

3 Direct transaction costs are annualised and principally comprise commissions and taxes, attributable to the Fund’s purchase and sale of equity instruments. See note 16 for further details.

Balanced Managed performance Record Balanced Managed Distribution tables for the year ended 29 February 2016

Final Distribution in Pence per UnitGroup 1 – Units purchased prior to 1 September 2015Group 2 – Units purchased 1 September 2015 to 29 February 2016

A AccumulationUnits

Group 1 Group 2

Net revenue (dividend) 0.9866 0.6460

Equalisation† – 0.3406

Distribution payable 30.4.2016 0.9866 0.9866

Distribution paid 30.4.2015 0.4350 0.4350

Interim Distribution in Pence per UnitGroup 1 – Units purchased prior to 1 March 2015Group 2 – Units purchased 1 March 2015 to 31 August 2015

A AccumulationUnits

Group 1 Group 2

Net revenue (dividend) 0.2455 0.0251

Equalisation† – 0.2204



† Equalisation applies only to units purchased during the distribution period (Group 2 units). It is the average amount of revenue included in the purchase price of all Group 2 units and is refunded to holders of these units as a return of capital. Being capital, it is not liable to income tax but must be deducted from the cost of units for capital gains tax purposes.

Holding or Market % of Nominal Value Total Net Value Investment £000’s Assets



eURope – 39.70%; 2015 30.32%

eQUItIeS – 14.66%; 2015 13.34%

United Kingdom – 13.00%; 2015 12.00% 541,645 3i 2,343 0.51 82,637 ARM 812 0.18 82,493 AstraZeneca 3,428 0.74 193,827 Auto Trader 705 0.15 124,250 Aviva 537 0.12 726,750 Barclays 1,238 0.27 212,858 BP 745 0.16 131,379 British American Tobacco 5,127 1.11 510,000 Capital & Counties Properties 1,647 0.36 361,119 Compass 4,507 0.98 39,859 CRH 726 0.16 394,750 Dixons Carphone 1,708 0.37 121,586 Dunelm 1,192 0.26 102,081 Essentra 844 0.18 222,408 Grainger Trust 486 0.11 68,648 Great Portland Estates 477 0.10 97,955 Hargreaves Lansdown 1,214 0.26 794,734 Hays 903 0.20 411,787 HSBC 1,890 0.41 29,014 Imperial Brands 1,085 0.24 49,250 Intertek 1,428 0.31 62,804 Johnson Matthey 1,581 0.34 288,848 JUST EAT 1,149 0.25 4,735,612 Lloyds Banking 3,407 0.74 147,500 Merlin Entertainments 669 0.14 25,230 Next 1,709 0.37 244,047 Patisserie 899 0.19 109,113 Prudential 1,351 0.29 362,303 RELX 4,489 0.97 24,500 Rightmove 929 0.20 63,670 Rio Tinto 1,210 0.26 259,394 SIG 358 0.08 22,550 Spirax-Sarco Engineering 701 0.15 664,921 SSP 1,884 0.41 41,000 Unilever 1,257 0.27 40,000 Victrex 620 0.13 663,250 Vodafone 1,443 0.31 90,111 Wolseley 3,327 0.72

60,025 13.00

Balanced Managed portfolio Statement at 29 February 2016

Ireland – 0.55%; 2015 0.38% 66,141 Shire 2,547 0.55

Netherlands – 1.11%; 2015 0.96% 310,078 Royal Dutch Shell class ‘B’ shares 5,119 1.11

BoNDS – 25.04%; 2015 16.98%

UK Sterling Denominated Fixed Rate Government Bonds – 21.06%; 2015 10.70% £15,000,000 Treasury 0% Bonds 25/4/2016 14,990 3.25 £30,000,000 Treasury 0% Bonds 23/5/2016 29,968 6.49 £154,000 Treasury 0.125% Index Linked Gilts 22/3/2058 237 0.05 £90,000 Treasury 0.25% Index Linked Gilts 22/3/2052 142 0.03 £29,943,280 Treasury 1.25% Stock 22/7/2018~ 30,548 6.62 £2,782,000 Treasury 1.75% Bonds 7/9/2022~ 2,919 0.63 £1,321,000 Treasury 1.75% Gilts 22/7/2019 1,375 0.30 £607,000 Treasury 3.25% Stock 22/1/2044~ 721 0.16 £413,000 Treasury 3.5% Notes 22/1/2045~ 514 0.11 £2,737,000 Treasury 3.75% Bonds 7/9/2020 3,121 0.68 £4,814,000 Treasury 3.75% Gilts 7/9/2019 5,368 1.16 £2,624,000 Treasury 3.75% Gilts 7/9/2021~ 3,043 0.66 £472,000 Treasury 3.75% Gilts 22/7/2052 648 0.14 £997,000 Treasury 4.5% Gilts 7/3/2019 1,121 0.24 £270,000 Treasury 4.75% Stock 7/3/2020 315 0.07 £1,011,000 Treasury 5% Gilts 7/3/2018 1,109 0.24 £16,000 Treasury 5% Stock 7/3/2025 21 0.00 £938,464 Treasury 8.75% Stock 25/8/2017 1,058 0.23

97,218 21.06

euro Denominated Fixed Rate Government Bonds – 3.98%; 2015 6.28% €376,000 Greece (Republic) 3% Bonds 24/2/2023 189 0.04 €376,000 Greece (Republic) 3% Bonds 24/2/2024 183 0.04 €376,000 Greece (Republic) 3% Bonds 24/2/2025 178 0.04 €376,000 Greece (Republic) 3% Bonds 24/2/2026 174 0.04 €377,000 Greece (Republic) 3% Bonds 24/2/2027 171 0.04 €376,000 Greece (Republic) 3% Bonds 24/2/2028 166 0.04 €376,000 Greece (Republic) 3% Bonds 24/2/2029 164 0.04 €376,000 Greece (Republic) 3% Bonds 24/2/2030 161 0.03 €376,000 Greece (Republic) 3% Bonds 24/2/2031 160 0.03 €376,000 Greece (Republic) 3% Bonds 24/2/2032 158 0.03 €376,000 Greece (Republic) 3% Bonds 24/2/2033 156 0.03 €376,000 Greece (Republic) 3% Bonds 24/2/2034 155 0.03 €376,000 Greece (Republic) 3% Bonds 24/2/2035 154 0.03 €376,000 Greece (Republic) 3% Bonds 24/2/2036 153 0.03 €376,000 Greece (Republic) 3% Bonds 24/2/2037 152 0.03




€376,000 Greece (Republic) 3% Bonds 24/2/2038 152 0.03 €376,000 Greece (Republic) 3% Bonds 24/2/2039 152 0.03 €376,000 Greece (Republic) 3% Bonds 24/2/2040 152 0.03 €376,000 Greece (Republic) 3% Bonds 24/2/2041 152 0.03 €376,000 Greece (Republic) 3% Bonds 24/2/2042 153 0.03 €2,045,000 Portugal (Government) 3.875% Bonds 15/2/2030 1,681 0.36 €4,780,000 Portugal (Government) 4.1% Bonds 15/2/2045 3,878 0.84 €10,397,000 Portugal (Government) 5.65% Senior Notes 15/2/2024 9,736 2.11

18,530 3.98

NoRtH AMeRICA – 2.77%; 2015 1.45%

eQUItIeS – 2.77%; 2015 0.20%

United States of America – 2.77%; 2015 0.20% 3,132 Accenture 229 0.05 5,055 Altria 225 0.05 562 Amazon 225 0.05 2,116 Amgen 225 0.05 2,735 Boeing 233 0.05 3,113 Brown-Forman class ‘B’ shares 225 0.05 365 California Resources^ - 0.00 36,828 Carnival 1,306 0.28 6,707 CBS class ‘B’ shares 234 0.05 3,271 Cummins 231 0.05 2,973 CVS Health 210 0.05 4,891 DaVita 235 0.05 6,094 Dow Chemical 214 0.05 4,876 Du Pont de Nemours 216 0.05 3,360 Dun & Bradstreet 233 0.05 3,568 Edwards Lifesciences 226 0.05 4,589 Eli Lilly 244 0.05 3,212 Equifax 246 0.05 2,957 Facebook 230 0.05 2,350 FedEx 233 0.05 10,118 FLIR Systems 227 0.05 6,945 Fluor 235 0.05 8,321 FMC 229 0.05 2,201 General Dynamics 218 0.05 10,343 Goodyear Tire & Rubber 226 0.05 9,479 H&R Block 231 0.05

Balanced Managed portfolio Statement continued

4,079 Harris 225 0.05 3,095 Intuit 214 0.05 2,681 L-3 Communications 230 0.05 1,452 Lockheed Martin 228 0.05 3,336 MasterCard class ‘A’ shares 211 0.05 3,546 McGraw Hill Financial 229 0.05 3,557 Monsanto 233 0.05 4,315 Motorola Solutions 233 0.05 1,656 Northrop Grumman 230 0.05 7,964 Nucor 230 0.05 4,588 Occidental Petroleum 231 0.05 3,456 Philip Morris International 228 0.05 17,743 Pitney Bowes 231 0.05 5,765 Qualcomm 215 0.05 2,556 Raytheon 230 0.05 6,802 Southern 236 0.05 12,356 Teradata 224 0.05 9,186 Textron 229 0.05 1,567 Time Warner Cable 218 0.05 9,161 Tyco International 234 0.05 3,218 United Parcel Service class ‘B’ shares 226 0.05 3,698 Varian Medical Systems 211 0.04 3,493 VeriSign 217 0.05 3,709 Vertex Pharmaceuticals 233 0.05 8,428 Viacom New class ‘B’ non-voting shares 220 0.05 4,231 Yum! Brands 218 0.05

12,650 2.77

BoNDS – 0.00%; 2015 1.25%

US Dollar Denominated Fixed Rate Government Bonds – 0.00%; 2015 1.25%

SoUtH AMeRICA – 0.00%; 2015 2.00%

BoNDS – 0.00%; 2015 2.00%

Brazilian Real Denominated Fixed Rate Government Bonds – 0.00%; 2015 2.00%

pACIFIC – 0.00%; 2015 0.15%

eQUItIeS – 0.00%; 2015 0.15%

Australia – 0.00%; 2015 0.15%


INVeStMeNt FUNDS – 41.43%; 2015 47.77%

Alternative – 12.41%; 2015 13.73% 529,000 BH Macro 10,638 2.30 1,005,817 BlackRock Index Selection Fund* 32,618 7.07 5,124,039 Highbridge Multi Strategy Fund 9,531 2.06 15,231 Schroder International Selection Fund – Frontier

Markets Equity 1,436 0.31 3,470,972 Woodford Patient Capital Trust 3,091 0.67

57,314 12.41

Asia – 1.53%; 2015 4.75% 374,494 BlackRock Global Funds – ASEAN Leaders Fund* 2,701 0.59 126,211 BlackRock Global Funds – Japan Small & Mid Cap

Opportunities* 4,345 0.94

7,046 1.53

emerging Markets – 0.00%; 2015 2.14%

europe – 3.76%; 2015 3.29% 990,488 BlackRock Continental European Fund* 17,363 3.76

Investment trusts – 1.23%; 2015 1.18% 5,375,000 BlackRock Frontier Market Investment Trust* 5,671 1.23

United Kingdom – 22.50%; 2015 22.68% 54,832,231 BlackRock Corporate Bond Fund* 57,409 12.44 4,889,286 BlackRock UK Smaller Companies Fund* 32,514 7.04 449,215 BlackRock UK Special Situations Fund* 13,944 3.02

103,867 22.50

DeRIVAtIVeS – (1.86)%; 2015 2.53%

Forward Currency Contracts – 0.53%; 2015 0.67% €3,000,000 Euro vs Polish zloty (65) (65) (0.01) JPY 2,124,000,000 Japanese yen vs UK sterling 13,587 1,003 0.22 JPY 864,283,380 Japanese yen vs US dollar 245 245 0.05 PLN 13,532,166 Polish zloty vs Euro 82 82 0.02 £2,550,000 UK sterling vs Canadian dollar (2,745) (195) (0.04) £16,443,993 UK sterling vs Euro (16,990) (546) (0.12) £12,584,057 UK sterling vs Japanese yen (13,165) (581) (0.13) £4,700,000 UK sterling vs South African rand (4,987) (287) (0.06) £627,047 UK sterling vs US dollar (628) (1) 0.00 $15,370,000 US dollar vs Euro (5) (5) 0.00 $7,320,000 US dollar vs Japanese yen 19 19 0.00


Holding or Underlying Market % of Nominal Exposure – Derivatives Value Total Value Investment £000’s £000’s Net Assets

$2,560,000 US dollar vs South African rand (51) (51) (0.01) $124,414,785 US dollar vs UK sterling 89,791 2,802 0.61 ZAR 36,112,313 South African rand vs UK sterling 1,623 (2) 0.00

66,711 2,418 0.53

Futures – (1.61)%; 2015 0.54% (25) DAX Index March 2016 (4,627) 136 0.03 120 E-Mini Financial Select Sector

March 2016 4,574 (585) (0.13) 173 E-Mini Healthcare Sector March 2016 13,574 (482) (0.10) 403 Euro Stoxx 50 March 2016 9,256 (905) (0.20) 137 FTSE 100 Index March 2016 8,353 158 0.03 232 NASDAQ 100 E-Mini March 2016 13,988 (1,321) (0.29) 191 S&P 500 E-Mini Consumer Staples

March 2016 7,141 239 0.05 488 S&P 500 E-Mini March 2016 33,831 (1,664) (0.36) (203) S&P 500 E-Mini Utilities March 2016 (6,779) (41) (0.01) 357 Stoxx 200 Europe Large Index March 2016 4,730 (330) (0.07) (520) Stoxx 200 Europe Small Index March 2016 (4,858) 319 0.07 255 Stoxx 600 Health March 2016 7,084 (472) (0.10) (175) Stoxx 600 Personal & Household Goods

March 2016 (4,862) 84 0.02 160 TOPIX Index March 2016 13,101 (2,697) (0.58) (250) US 10 Year Note (CBT) June 2016 (18,660) 143 0.03

75,846 (7,418) (1.61)

options – (0.08)%; 2015 0.18% 885,000 Citibank (Euro Put Czech Koruna Call

10/8/2016 @ 25.75) 88 2 0.00 3,530,000 Citibank (Euro Put Czech Koruna Call

10/8/2016 @ 25.75) 351 9 0.00 461 Euro Stoxx 50 Call 15/12/2017 4000 817 74 0.02 (400) Euro Stoxx 50 Call 15/4/2016 3100 (2,474) (109) (0.02) (408) Euro Stoxx 50 Call 18/3/2016 3400^ (54) – 0.00 (154) Euro Stoxx 50 Put 17/6/2016 2975 1,979 (286) (0.06) (1,097) Euro Stoxx UTI Put 18/3/2016 250 3,047 (384) (0.08) 245 FTSE 100 Call 18/3/2016 23000^ 8,416 – 0.00 (316) FTSE 100 Put 18/3/2016 5700 2,623 (85) (0.02) 158 FTSE 100 Put 18/3/2016 6000 (3,759) 145 0.03 (142) S&P 500 Put 18/3/2016 1875 5,250 (135) (0.03) 142 S&P 500 Put 18/3/2016 1950 (11,656) 367 0.08

4,628 (402) (0.08)



total Return Swaps – (0.70)%; 2015 1.14% 1,574 Bank of America (Dow Jones US Select Home

Construction Index) 0% 23/3/2016 6,140 (689) (0.15) 23,771 Citibank (Emerging Lifestyle Trend Index)

0% 2/9/2016 23,111 (58) (0.01) 14,516,121 Deutsche Bank (DB Global Industrials

Basket Performance Index) 0% 17/10/2016 (9,904) 490 0.11

11,080,740 Deutsche Bank (DB V2VIX Index) 0% 15/7/2016 7,509 (443) (0.10)

21,903,525 JP Morgan Chase Bank (JP European Periphery Basket) 0% 11/8/2016 14,450 (2,821) (0.61)

14,885,222 JP Morgan Chase Bank (JPM Oil Beneficiaries Basket Index) 0% 1/2/2017 10,951 300 0.06

52,257 (3,221) (0.70)

Portfolio of investments 266,519 378,727 82.04

CASH eQUIVALeNtS

Short-term Money Market Funds – 5.52%; 2015 10.71% 231,482 Institutional Cash Series plc – Institutional Sterling

Liquidity Fund* 231 0.05 194,479 Institutional Cash Series plc – Institutional Sterling

Ultra Short Bond Fund* 25,242 5.47

25,473 5.52

Net other assets 57,429 12.44

Total net assets 461,629 100.00

Unless otherwise stated, all securities are either listed on a recognised exchange or traded on an eligible securities market.Note: comparative figures show percentages for each category of holding at 28 February 2015. ~ Includes pledged investments totalling £000 3,456. * Managed by a related party. ^ Investments which are less than £500 are rounded to zero.# The counterparties for the forward currency contracts are Barclays Bank, Citibank, Credit Suisse, Deutsche Bank, Morgan Stanley, RBS and UBS.Underlying exposure has been calculated according to the guidelines issued by the European Securities and Markets Authority (“ESMA”) and represents the market value of an equivalent position in the assets underlying each financial derivative instrument.



Balanced Managed Statement of total Return for the year ended 29 February 2016

Notes £000’s


£000’s £000’s


£000’s

Income

Net capital (losses)/gains 3 (32,744) 26,732

Revenue 4 12,177 10,951

Expenses 5 (7,512) (7,458)

Interest payable and similar charges 6 (768) (781)

Net revenue before taxation 3,897 2,712

Taxation 7 (17) (10)

Net revenue after taxation 3,880 2,702

Total return before distributions (28,864) 29,434

Distributions 8 (3,890) (2,676)

Change in net assets attributable to unitholders from investment activities (32,754) 26,758

Balanced Managed Statement of Change in Net Assets Attributable to Unitholders for the year ended 29 February 2016

£000’s


£000’s £000’s


£000’s

Opening net assets attributable to unitholders 514,678 512,158

Amounts receivable on issue of units 9,377 6,947

Amounts payable on cancellation of units (33,529) (33,826)

(24,152) (26,879)

Stamp duty reserve tax – (6)


Retained distribution on accumulation units 3,857 2,647

Closing net assets attributable to unitholders 461,629 514,678


Balanced Managed Balance Sheet at 29 February 2016

Notes29.2.2016

£000’s28.2.2015

£000’s

Assets:

Fixed assets

– Investment assets 390,511 437,683

Current assets

– Debtors 9 2,525 1,422

– Cash and bank balances 10 57,728 35,238

– Cash equivalents 11 25,473 55,159

– Pledged cash collateral 230 –

– Pledged investments 3,456 –

Total assets 479,923 529,502

Liabilities:

Investment liabilities (15,240) (4,266)

Creditors

– Amounts held at futures clearing houses and brokers (8) (3,176)

– Cash collateral payable (90) (5,230)

– Other creditors 12 (2,956) (2,152)

Total liabilities (18,294) (14,824)

Net assets attributable to unitholders 461,629 514,678

N C D Hall (Director)G D Bamping (Director)BlackRock Fund Managers Limited28 April 2016

Balanced Managed Notes to Financial Statements for the year ended 29 February 2016

1. Accounting and Distribution Policies The accounting and distribution policies are set out on pages 4 to 8.

2. Financial Instruments and Risks The financial instruments and risks are set out on pages 9 to 37.

3. Net Capital (Losses)/Gains


£000’s


£000’s

The net capital (losses)/gains comprise:

(Losses)/gains on non-derivative securities (22,195) 5,470

(Losses)/gains on derivative contracts (10,559) 22,581

Currency losses (25) (1,377)

Manager’s charge rebates 51 76

Custodian transaction costs (16) (18)

Net capital (losses)/gains (32,744) 26,732

4. Revenue


£000’s


£000’s

Franked revenue from Collective Investment Schemes 557 858

Interest from overseas fixed interest securities 1,526 1,502

Interest from UK bank deposits 78 48

Interest from UK fixed interest securities 939 1,288

Manager's charge rebates 1,105 1,414

Overseas dividends 2,926 2,253

Revenue from short-term money market funds 165 147

Revenue from total return swaps 38 304

Securities lending revenue 13 43

Stock dividends – 26

UK dividends 2,728 2,768

Unfranked revenue from Collective Investment Schemes 2,097 300

US REIT dividends 5 –

Total revenue 12,177 10,951


5. Expenses


£000’s


£000’s

Payable to the Manager or associates of the Manager:

– Manager’s charge 7,448 7,391

7,448 7,391

Other expenses:

– Audit fee 8 8

– Legal & other Professional fees 15 2

– Safe custody fees 16 18

– Trustee’s fees 25 39

64 67

Total expenses 7,512 7,458

6. Interest payable and similar charges


£000’s


£000’s

Interest on bank overdrafts 16 24

Interest paid on margin deposits 9 –

Revenue from total return swaps 231 –

Return from short position bond futures 512 757

Total interest payable and similar charges 768 781 7. Taxation(a) Analysis of tax charge


£000’s


£000’s

Irrecoverable overseas tax 17 10

Total current tax charge [see note 7(b)] 17 10

Balanced Managed Notes to Financial Statements continued

(b) Factors affecting the current tax chargeThe tax assessed for the year is lower than the standard rate of corporation tax in the UK for an authorised unit trust. The differences are explained below:


£000’s


£000’s


Corporation tax at 20% (28 February 2015: 20%) 779 542

Effects of:

Excess expenses for which no tax relief taken 198 669

Franked investment revenue at 20% (657) (725)


Non taxable overseas dividends (330) (481)

Non taxable stock dividends – (5)

Tax on capitalised Manager’s charge rebates 10 –

Total current tax charge [see note 7(a)] 17 10

At 29 February 2016, the Fund had surplus management expenses of £000 15,703 (28 February 2015: £000 14,918). It is unlikely that the Fund will generate sufficient taxable profits in the future to utilise these expenses and, therefore, a deferred tax asset of £000 3,141 (28 February 2015: £000 2,984) has not been recognised.

8. Distributions


£000’s


£000’s

Interim distribution 785 1,224

Final distribution 3,072 1,423

3,857 2,647

Add: Amounts deducted on cancellation of units 49 36

Less: Amounts received on issue of units (16) (7)

Distributions 3,890 2,676


Less: Non distributable stock dividends – (26)

Add: Tax on capitalised Manager’s charge rebates 10 –


Details of the interim and final distributions per unit are set out in the tables on page 42.


9. Debtors

29.2.2016 £000’s

28.2.2015£000’s

Accrued Manager’s charge rebate 170 288

Accrued revenue 686 859

Amounts receivable on issue of units 68 –

Income tax recoverable 479 60

Overseas tax recoverable – 11

Sales awaiting settlement 1,122 204

Total debtors 2,525 1,422

10. Cash and Bank Balances

29.2.2016 £000’s

28.2.2015£000’s

Amounts held at futures clearing houses and brokers 15,096 5,964

Cash and bank balances 42,632 29,274

Total cash and bank balances 57,728 35,238

11. Cash Equivalents

29.2.2016 £000’s

28.2.2015£000’s

Investments in short-term money market funds 25,473 55,159

Total cash equivalents 25,473 55,159

12. Other Creditors

29.2.2016 £000’s

28.2.2015 £000’s

Accrued Audit fee 8 8

Accrued FCA fee 1 1

Accrued Manager’s charge 1,132 1,847

Accrued Safe custody fees 4 5

Accrued Trustee’s fee 4 10

Amounts payable for cancellation of units 150 279

Amounts payable with respect to total return swaps 99 –

Custodian transaction costs 4 2

Purchases awaiting settlement 1,554 –

Total other creditors 2,956 2,152


13. Contingent Assets and LiabilitiesThere were no contingent assets or liabilities at the Balance Sheet date (28 February 2015: £Nil).

14. Efficient Portfolio Management TechniquesThe Fund may engage in derivative transactions for the purposes of efficient portfolio management.

The Fund may, subject to the conditions and within the limits laid down by the Financial Conduct Authority and the Prospectus, engage in securities lending and employ techniques and instruments relating to transferable securities for efficient portfolio management purposes.

The securities lending agent appointed pursuant to the securities lending agreement is BlackRock Advisors (UK) Limited which is a related party to the Fund.

The Fund benefits from a borrower default indemnity provided by BlackRock Inc. The indemnity allows for full replacement of securities lent. BlackRock Inc. bears all operational costs directly related to securities loan transactions as well as the cost of indemnification against borrower default.

During the year the Fund engaged in securities lending. The Fund receives either cash collateral or securities as collateral for a value in excess of the market value of the securities loaned. As at the 29 February 2016 the collateral consists of securities admitted to or dealt on a regulated market.

The collateral is registered and held in the name of BlackRock Advisors (UK) Limited on behalf of the Fund in any or all of the following collateral agents and central securities depositaries: Bank of New York Mellon, Euroclear and JP Morgan, depending on the type of collateral the counterparty needs to give as per the schedule in order to cover the required value of exposure.

The Investment Manager monitors the fair value of the securities loaned and additional collateral is obtained, if necessary.

Securities lending revenue is split between the Fund and the securities lending agent in the ratio 62.5:37.5 in favour of the Fund, with all operational costs borne out of the securities lending agent’s share.

The securities lending revenue earned during the year, the value of securities on loan at the year end and the value of collateral held at the year end for the Fund are shown below:

29.2.2016£000’s

28.2.2015£000’s

Revenue earned during the year 13 43Value of securities on loan at the year end 9,088 11,218 Value of collateral held on behalf of the Fund at the year end 9,963 12,396

The Fund’s securities lending borrowing counterparties are Bank of America Merrill Lynch, Citigroup, Credit Suisse International, Deutsche Bank AG, HSBC, Société Générale and UBS.


15. Related PartiesParties are considered to be related if one party has the ability to control the other party or exercise significant influence over the other party in making financial or operational decisions.

The following entities were related parties of the Fund during the year ended 29 February 2016:

Manager/Registrar: BlackRock Fund Managers LimitedInvestment Manager: BlackRock Investment Management (UK) LimitedSecurities lending agent: BlackRock Advisors (UK) Limited

The ultimate holding company of the Manager, Investment Manager and securities lending agent is BlackRock Inc. (“BlackRock”), a company incorporated in Delaware, USA. PNC Financial Services Group Inc. (“PNC”) is a substantial shareholder in BlackRock Inc. PNC did not provide any services to the Fund during the years ended 29 February 2016 and 28 February 2015.

The Manager acts as either principal or agent for the Trustee in respect of all transactions of units of the Fund. The aggregate monies received through issue and paid through cancellation of units are disclosed in the Statement of Change in Net Assets Attributable to Unitholders and note 8. Any amounts due to or from the Manager at the year end are disclosed in notes 9 and 12. Management fees paid to BlackRock Fund Managers Limited are shown in note 5. The balance due at the year end in respect of these fees is shown in note 12. Securities lending revenue earned by the Fund is disclosed in notes 4 and 14.

The Investment Manager, in accordance with the Trust Deed, may enter into commission sharing arrangements with related parties (including, without limitation, brokers who are affiliated to the BlackRock Group), which may result in the Fund benefiting from research or execution services which the Investment Manager believes are useful in the investment decision-making or trade execution process. Such research or execution services may include, without limitation and to the extent permitted by applicable law: research reports on companies, industries and securities; and the provision of economic and financial information and analysis. Due to the bundled nature of these services and the application of such benefits across a number of BlackRock managed funds, it is not feasible to quantify the benefit to the Fund. The Investment Manager may also enter into these arrangements with brokers who are not affiliated to the BlackRock Group.

For holdings in Institutional Cash Series plc (“ICS”), there will be no initial charges or redemption charges payable on investments in the Fund, however, duties and charges may apply. ICS will be subject to fees and expenses which may include fixed management fees, performance fees, administration fees and custodial fees.


The Fund may invest in other CIS, which may or may not be operated and/or managed by an affiliate of the Manager. As an investor in such other CIS, in addition to the fees, costs and expenses payable by a unitholder in the Funds, each unitholder may also indirectly bear a portion of the fees, costs and expenses of the underlying CIS, including management, investment management and administration and other expenses. However, in respect of investments made in any other investment fund whose manager is an affiliate of the Manager, the Fund will invest, where possible, in classes of the underlying funds which are not subject to any management charges. Alternatively, where this is not possible, the Manager will rebate management charges to the Fund. The Fund will not be subject to any preliminary/initial sales fee in respect of investments made in any other investment fund whose manager is an affiliate of the Manager, although it may be subject to duties and charges in respect of subscriptions and redemptions in such investment funds.

The Fund’s investments in other BlackRock related party entities are individually identified in the portfolio statement.

The following investor(s)

(i) are funds managed by the BlackRock Group or are affiliates of BlackRock Inc. (“Affiliated Funds”) or

(ii) are investors, other than those included in (i) above, who held 51% or more of the voting units in issue in the Fund and are as a result, considered to be related parties to the Funds.

As at 29 February 2016:

Total % of units held by Affiliated Funds

Number of investors holding 51% or more

of the voting units in issue who are not

Affiliated Funds

Total % of units held by unitholders

holding 51% or more of the voting units

in issue who are not Affiliated Funds

Nil 1 97% As at 28 February 2015:




Affiliated Funds




Nil 1 97%


All related party transactions were carried out at arm’s length in the ordinary course of business. The terms and returns received by the related parties in making the investments above were no more favourable than those received by other investors investing into the same unit classes.

16. Portfolio Transaction CostsFor the year ended 29 February 2016

Direct Transaction Costs

Purchases (excluding derivatives)Transaction Value

£000’s Commissions

£000’s %Taxes

£000’s %

Equity instruments 45,037 30 0.07 146 0.32

Debt instruments 57,305 – – – –

Collective investment schemes 6,008 2 0.03 – –

Total purchases 108,350 32 146

Total purchases including transaction costs 108,528


Sales (excluding derivatives)Transaction Value


£000’s %Taxes

£000’s %

Equity instruments 30,102 22 0.07 – 0.00


Collective investment schemes 52,452 10 0.02 – 0.00

Total sales 123,806 32 –

Total sales net of transaction costs 123,774

Derivative transaction costs 78 –

Total transaction costs 142 146

Total transaction costsas a % of average net assets 0.03% 0.03%






£000’s %Taxes

£000’s %









£000’s %Taxes

£000’s %


Debt instruments 78,568 1 0.00 – –


Corporate actions 18 – – – –

Total sales 263,534 71 11





The above analysis covers any direct transaction costs incurred by the Fund during the year. However it is important to understand the nature of other transaction costs associated with different investment asset classes and instruments types.

Separately identifiable direct transaction costs (commissions and taxes etc.) are attributable to the Fund’s purchase and sale of equity shares. Additionally for equity shares there is a dealing spread cost (the difference between the buying and selling prices) which will be incurred on purchase and sale transactions.

For the Fund’s investment transactions in debt and money market instruments any applicable transaction charges form part of the dealing spread for these instruments. Transactions in money market instruments to manage the Fund’s daily liquidity position are excluded from the analysis.


For the Fund’s investment in collective investment scheme holdings there will potentially be dealing spread costs applicable to purchases and sales. However additionally there are indirect transaction costs incurred in those underlying funds, throughout the holding period for the instruments, which are not separately identifiable and do not form part of the analysis above.

During the year the Fund utilised derivative instruments including interest rate swaps,futures and options covering different underlying asset classes. The settlement values for opening and closing derivative positions are not comparable to principal values for transactions in direct holding investments and therefore purchase and sale amounts for derivative transactions are not quantified in the analysis above. Transaction costs for derivatives positions will be either incurred as direct costs or form part of the dealing spread for the instruments. Any direct costs are identified in the analysis above.

Dealing spread costs incurred by the Fund vary considerably for the different asset/instrument types depending on a number of factors including transaction value and market sentiment.

At the Balance Sheet date the average portfolio dealing spread (difference between bid and offer prices of all investments expressed as a percentage of the offer price value) was 0.93% (28 February 2015 – 0.84%).

17. Units in IssueThe movement in units in issue for the year ended 29 February 2016 is as follows:

A Accumulation units

Balance at the beginning of the year 327,175,098

Issued during the year 6,039,677

Cancelled during the year (21,816,623)

Converted during the year –

Balance at the end of the year 311,398,152

Revenue is allocated each day pro rata to the capital value of assets attributable to each class and taxation is computed by reference to the net revenue after expenses attributable to each class. The distribution per unit class is given in the distribution tables. All unit classes have the same rights on winding up.

18. Post Balance Sheet EventsThere have been no significant events subsequent to the year end, which, in the opinion of the Manager, may have had an impact on the financial statements for the year ended 29 February 2016.


About the Fund

The BlackRock Continental European Equity Tracker Fund (the “Fund”) is a sub-fund of BlackRock Collective Investment Funds, a UCITS scheme established under the COLL Sourcebook. The Fund was established and authorised by the Financial Conduct Authority on 21 June 2005. The Fund was previously known as Merrill Lynch Continental European Equity Tracker Fund. It adopted its present name with effect from 28 April 2008.


The aim of the Fund is to seek to achieve capital growth for investors by tracking closely the performance of the FTSE World Europe ex UK Index by investing in companies in the Index. Investment will be made directly into constituent companies and via other transferable securities giving exposure to such companies. The Fund may also invest in permitted money-market instruments, permitted deposits and units in collective investment schemes. Derivatives and forward transactions may be used for the purposes of efficient portfolio management.




Unit Class


L Income 1 2 3 4 5 6 7

L Accumulation 1 2 3 4 5 6 7

X Income 1 2 3 4 5 6 7

X Accumulation 1 2 3 4 5 6 7

D Accumulation 1 2 3 4 5 6 7

H Income 1 2 3 4 5 6 7

H Accumulation 1 2 3 4 5 6 7

` ��The risk indicator was calculated incorporating historical or simulated historical data and may not be a reliable indication of the future risk profile of each unit class.





BlackRock Continental european equity tracker Fund


Continental european equity tracker Fund


Performance Table





Class L Accumulation Units#

BlackRock Continental European Equity Tracker Fund -5.4% +13.7% +20.8%

FTSE World Europe ex UK Index* -5.4% +14.0% +21.2%

All Fund figures quoted are based on bid-to-bid dealing prices (the price at which units are sold) and are calculated net of fees. Performance returns are cumulative. All returns are in Sterling.* Figures from Index Vendor. Net of withholding tax. # D Accumulation class was renamed as L Accumulation class during June 2012.


Tracking DifferenceTracking difference is defined as the difference in returns between a fund and its benchmark index.

The Fund is categorised as a replicating fund. Replicating funds seek to replicate as closely as possible the constituents of the benchmark index by holding all the securities comprising the benchmark index in similar proportions to their weightings in the benchmark index.

Cash management, efficient portfolio management techniques including securities lending and transaction costs from rebalancing can have an impact on tracking difference. Importantly, these impacts can be either positive or negative depending on the underlying circumstances.

In addition to the above, the Fund may also have a tracking difference due to withholding tax suffered by the Fund on any income received from its investments. The level and quantum of tracking difference arising due to withholding taxes depends on various factors such as any reclaims filed on behalf of the Fund with various tax authorities, any benefits obtained by the Fund under a tax treaty or any securities lending activities carried out by the Fund.

The table below compares the realised Fund performance against the performance of the relevant benchmark index during the year ended 29 February 2016. An explanation for the difference is provided:

Fund return for the year

to 29.2.2016

Benchmark returnfor the year

to 29.2.2016Tracking

difference Explanation of the tracking difference

-5.41%* -5.38% -0.03%

Before costs, the tracking difference is a result of (a) temporary divergences in the calculation when the Index provider calculates index values during UK bankholidays while the Fund is closed, (b) income from securities lending activity and (c) withholding tax differences between the Fund and index.

* Performance is calculated net of fees and reported for the Fund’s class L Accumulation Units.


Tracking ErrorRealised tracking error is the annualised standard deviation of the difference in monthly returns between a fund and its benchmark index. Tracking error shows the consistency of the returns relative to the benchmark index over a defined period of time.

Anticipated tracking error is based on the expected volatility of differences between the returns of a fund and the returns of its benchmark index.


Cash management, efficient portfolio management techniques including securities lending and transaction costs from rebalancing can have an impact on tracking error as well as the return differential between the Fund and the benchmark index. Importantly, these impacts can be either positive or negative depending on the underlying circumstances.

In addition to the above, the Fund may also have a tracking error due to withholding tax suffered by the Fund on any income received from its investments. The level and quantum of tracking error arising due to withholding taxes depends on various factors such as any reclaims filed on behalf of the Fund with various tax authorities, any benefits obtained by the Fund under a tax treaty or any securities lending activities carried out by the Fund.

The table below shows the anticipated tracking error of the Fund (disclosed in the Prospectus on an ex ante basis) against the realised tracking error of the Fund as at 29 February 2016. The realised tracking error is annualised and calculated using data from the preceding 36 month observation period.

Anticipated Tracking Error

Realised Tracking Error Explanation for difference

Up to 0.30%* 0.53%*

The Fund’s tracking error exceeded its anticipated tracking error due to temporary divergences in the calculation when the Index provider calculates index values during UK bank holidays while the Fund is closed.

* Figures represent the anticipated tracking error and realised tracking error for the Fund’s class L Accumulation Units.

Continental european equity tracker Fund continued Continental european equity tracker Investment Report

Summary of Performance over the PeriodDuring the period from 1 March 2015 to 29 February 2016, the Fund returned -5.4%,* compared with its benchmark, the FTSE World Europe ex UK Index, which also returned -5.4%. Before costs, the tracking difference is a result of (a) temporary divergences in the calculation when the Index provider calculates index values during UK bank holidays while the Fund is closed, (b) income from securities lending activity and (c) withholding tax differences between the Fund and index. Over the six-month period to 29 February 2016, the Fund returned -0.9%,* marginally underperforming its benchmark, which returned -0.8%.

Fund Manager’s CommentaryThe period to 29 February 2016 was marked by diverging monetary policies, concerns over China’s economy and commodity price volatility. In the US, a mixed bag of economic data meant that the US Federal Reserve (the “Fed”) kept interest rates on hold until December 2015, when they were raised by 0.25%. This rate rise marked the first move in US interest rates since 2006, and it reflected the Fed’s growing confidence in employment and inflation prospects. Elsewhere, central bankers in several emerging economies, including India, China and Russia, lowered benchmark rates in a bid to stimulate growth.

By contrast, the European Central Bank extended its asset-purchase programme for another few months, as the region’s economy struggled to grow. While this drove markets higher at the start of the period, fears of a Greek exit from the eurozone and weaker Chinese economic growth caused markets to fall from summer onwards. At the start of 2016, markets fell further due to fears of a potential global recession, and in particular, the possibility of a crisis in European banks.

The Fund is structured to closely track the FTSE World Europe ex UK Index so its portfolio remains positioned so that its risk characteristics are similar to those of the Index.

March 2016

* Performance figures quoted are based on bid-to-bid dealing prices (the price at which units are sold). Performance is calculated net of fees and reported for the Fund’s class L Accumulation Units.


Comparative Table

A Accumulation Units L Income Units



For the period from 1.2.2013*

to 28.2.2014


For the period from 24.4.2014^

to 28.2.2015

Pence per unit Pence per unit Pence per unit Pence per unit Pence per unit


Opening net asset value per unit 178.9 171.3 147.9 101.6 100.0

Return before operating charges (9.45) 8.50 24.22 (5.41) 3.42

Operating charges (0.91) (0.90) (0.82) (0.22) (0.22)

Return after operating charges (10.36) 7.60 23.40 (5.63) 3.20

Distributions on income units N/A N/A N/A (2.55) (1.60)

Closing net asset value per unit 168.5 178.9 171.3 93.42 101.6

Retained distributions on accumulation units 3.94 3.27 3.54 N/A N/A

After direct transaction costs of (0.01) (0.02) (0.05) (0.01) (0.01)

performance

Return after charges1 (5.79)% 4.44% 15.82% (5.55)% 3.20%

other information

Closing net asset value (£000’s) 3,437 4,364 7,882 – 15,235

Closing number of units 2,038,662 2,439,085 4,601,732 100 15,001,373

Operating charges2 0.52% 0.53% 0.52% 0.22% 0.23%

Direct transaction costs3 0.01% 0.01% 0.03% 0.01% 0.01%

prices Pence per unit Pence per unit Pence per unit Pence per unit Pence per unit

Highest offer unit price 200.5 188.2 180.6 108.5 102.7

Lowest bid unit price 155.5 152.4 143.2 86.60 86.62


^ The date of commencement of operations.1 The return after charges figures are based on the net asset value reported for financial statements purposes and are not the same as

the performance returns figures quoted in the Performance Table and the Investment Report which are based on bid-to-bid dealing prices (the price at which units are sold).



Continental european equity tracker performance Record

Comparative Table

L Accumulation Units X Income Units




to 28.2.2014




to 28.2.2014

Pence per unit Pence per unit Pence per unit Pence per unit Pence per unit Pence per unit


Opening net asset value per unit 181.6 173.3 149.1 141.3 137.9 121.7

Return before operating charges (9.62) 8.70 24.55 (7.69) 6.75 19.86

Operating charges (0.39) (0.40) (0.35) (0.03) (0.04) (0.03)

Return after operating charges (10.01) 8.30 24.20 (7.72) 6.71 19.83

Distributions on income units N/A N/A N/A (3.78) (3.31) (3.63)

Closing net asset value per unit 171.6 181.6 173.3 129.8 141.3 137.9

Retained distributions on accumulation units 4.54 3.84 4.12 N/A N/A N/A

After direct transaction costs of (0.01) (0.02) (0.05) (0.01) (0.02) (0.04)

performance

Return after charges1 (5.51)% 4.79% 16.23% (5.46)% 4.94% 16.29%

other information

Closing net asset value (£000’s) 2,412,090 2,535,395 1,813,463 1 18,510 18,582

Closing number of units 1,405,707,608 1,396,079,214 1,046,187,999 990 13,102,688 13,473,517

Operating charges2 0.22% 0.23% 0.22% 0.02% 0.03% 0.02%

Direct transaction costs3 0.01% 0.01% 0.03% 0.01% 0.01% 0.03%

prices Pence per unit Pence per unit Pence per unit Pence per unit Pence per unit Pence per unit

Highest offer unit price 193.9 181.9 174.0 150.7 143.7 138.8

Lowest bid unit price 158.3 154.5 144.6 120.5 120.5 118.2


1 The return after charges figures are based on the net asset value reported for financial statements purposes and are not the same as the performance returns figures quoted in the Performance Table and the Investment Report which are based on bid-to-bid dealing prices (the price at which units are sold).




Comparative Table

X Accumulation Units D Accumulation Units




to 28.2.2014




to 28.2.2014








Retained distributions on accumulation units 4.02 3.43 3.66 4.57 3.82 4.09


performance


other information

Closing net asset value (£000’s) 413,650 280,555 128,289 52,057 46,550 22,479

Closing number of units 292,346,652 187,708,523 90,102,965 31,101,556 26,303,640 13,314,463

Operating charges2§ 0.02% 0.03% 0.02% 0.10% 0.18% 0.17%








§ Please note the annual management charge was reduced on 11 August 2015 from 0.15% to 0.08% in respect to class D Accumulation units.


Continental european equity tracker performance Record continued

Comparative Table

H Income Units H Accumulation Units


to 29.2.2016




to 28.2.2014

Pence per unit Pence per unit Pence per unit Pence per unit


Opening net asset value per unit 100.0 106.0 101.0 100.0

Return before operating charges 0.10 (5.65) 5.13 1.12

Operating charges (0.05) (0.10) (0.13) (0.12)

Return after operating charges 0.05 (5.75) 5.00 101.00

Distributions on income units (0.52) N/A N/A N/A

Closing net asset value per unit 99.53 100.3 106.0 101.0

Retained distributions on accumulation units N/A 2.76 2.22 0.00

After direct transaction costs of 0.00 (0.01) (0.01) (0.03)

performance

Return after charges1 0.05% (5.42)% 4.95% 1.00%

other information

Closing net asset value (£000’s) 14,009 23,874 11,219 –

Closing number of units 14,074,911 23,813,558 10,585,808 100

Operating charges2§ 0.10% 0.10% 0.13% 0.12%

Direct transaction costs3 0.01% 0.01% 0.01% 0.00%


Highest offer unit price 110.3 118.9 111.5 106.0

Lowest bid unit price 92.32 92.50 90.15 99.84





§ Please note the annual management charge was reduced on 11 August 2015 from 0.1% to 0.08% in respect to H Accumulation units.3 Direct transaction costs are annualised and principally comprise commissions and taxes, attributable to the Fund’s purchase and sale

of equity instruments. See note 15 for further details.


Continental european equity tracker Distribution tables for the year ended 29 February 2016


A AccumulationUnits

L IncomeUnits

L AccumulationUnits

X IncomeUnits

X AccumulationUnits

D AccumulationUnits

H IncomeUnitsº

H AccumulationUnits

Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2

Net revenue (dividend) 0.5408 0.4678 0.4600 0.4600 0.8082 0.5359 0.7444 0.6565 0.8063 0.4670 0.8872 0.6119 0.5207 0.5207 0.5318 0.3212

Equalisation† – 0.0730 – 0.0000 – 0.2723 – 0.0879 – 0.3393 – 0.2753 – 0.0000 – 0.2106

Distribution payable 30.4.2016 0.5408 0.5408 0.4600 0.4600 0.8082 0.8082 0.7444 0.7444 0.8063 0.8063 0.8872 0.8872 0.5207 0.5207 0.5318 0.5318

Distribution paid 30.4.2015 0.1538 0.1538 0.2323 0.2323 0.4136 0.4136 0.4558 0.4558 0.4808 0.4808 0.4434 0.4434 N/A N/A 0.2909 0.2909

Interim Distribution in Pence per Unit Group 1 – Units purchased prior to 1 March 2015Group 2 – Units purchased 1 March 2015 to 31 August 2015

A AccumulationUnits

L IncomeUnits

L AccumulationUnits

X IncomeUnits

X AccumulationUnits

D AccumulationUnits

H AccumulationUnits

Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2

Net revenue (dividend) 3.4010 1.5718 2.0850 2.0850 3.7288 2.1256 3.0366 0.8276 3.2145 0.5520 3.6844 1.0887 2.2302 0.5619

Equalisation† – 1.8292 – 0.0000 – 1.6032 – 2.2090 – 2.6625 – 2.5957 – 1.6683

Distribution paid 31.10.2015 3.4010 3.4010 2.0850 2.0850 3.7288 3.7288 3.0366 3.0366 3.2145 3.2145 3.6844 3.6844 2.2302 2.2302



º H Income class commenced September 2015. Group 1 units purchased 2 September 2015. Group 2 units purchased 3 September 2015 to 29 February 2016.

eQUItIeS – 98.30%; 2015 98.35%

Austria – 0.40%; 2015 0.46% 58,589 Andritz 2,015 0.07 237,001 Erste Bank 4,370 0.15 87,155 Immoeast Der Oest Sparkassen*^ – 0.00 114,648 OMV 2,157 0.07 90,181 Raiffeisen International Bank 852 0.03 27,676 Vienna Insurance 470 0.02 87,694 Voestalpine 1,831 0.06

11,695 0.40

Belgium – 3.08%; 2015 2.82% 166,555 Ageas 4,448 0.15 609,733 Anheuser-Busch InBev 48,629 1.67 38,288 Anheuser-Busch InBev ‘VVPR Strip’ shares*^ – 0.00 111,300 Belgacom 2,503 0.09 77,447 bpost 1,368 0.05 51,635 Colruyt 1,992 0.07 82,345 Delhaize 5,991 0.21 59,542 Groupe Bruxelles Lambert 3,232 0.11 217,869 KBC 8,281 0.28 58,235 Solvay 3,854 0.13 37,674 Telenet 1,406 0.05 95,737 UCB 5,264 0.18 83,248 Umicore 2,704 0.09

89,672 3.08

Czech Republic – 0.11%; 2015 0.13% 126,004 CEZ 1,342 0.05 11,910 Komercni Banka 1,606 0.06

2,948 0.11

Denmark – 4.23%; 2015 3.57% 3,513 AP Moeller-Maersk series ‘A’ shares 3,210 0.11 5,203 AP Moeller-Maersk series ‘B’ shares 4,875 0.17 86,756 Carlsberg series ‘B’ shares 5,401 0.18 67,563 Christian Hansen 2,997 0.10 78,143 Coloplast ‘B’ shares 4,251 0.15 612,666 Danske Bank 12,003 0.41 133,335 DSV 3,937 0.13 133,300 ISS 3,328 0.11 57,060 Jyske Bank 1,799 0.06 43,212 Lundbeck 1,162 0.04

Continental european equity tracker portfolio Statement at 29 February 2016





1,455,407 Novo Nordisk class ‘B’ shares 54,697 1.87 178,301 Novozymes class ‘B’ shares 5,550 0.19 87,001 Pandora 7,936 0.27 662,396 TDC 2,035 0.07 92,620 Tryg 1,217 0.04 173,426 Vestas Wind Systems 8,470 0.29 20,412 William Demant 1,274 0.04

124,142 4.23

Finland – 2.31%; 2015 1.99% 126,439 Elisa 3,248 0.11 361,509 Fortum 3,409 0.12 52,583 Kesko 1,493 0.05 301,130 KONE class ‘B’ shares 9,701 0.33 101,969 Metso 1,612 0.06 100,269 Neste 2,299 0.08 4,091,998 Nokia 17,781 0.61 107,035 Nokian Renkaat 2,461 0.08 79,144 Orion series ‘B’ shares 1,918 0.07 370,909 Sampo series ‘A’ shares 12,010 0.41 453,066 Stora Enso series ‘R’ shares 2,691 0.09 429,359 UPM-Kymmene 5,219 0.18 121,704 Wartsila 3,520 0.12

67,362 2.31

France – 20.51%; 2015 20.08% 164,293 Accor 4,986 0.17 22,443 Aeroports de Paris 1,900 0.07 261,746 Air Liquide 19,586 0.67 427,687 Airbus 19,747 0.68 137,154 Alstom 2,147 0.07 53,928 Arkema 2,376 0.08 68,520 Atos 3,598 0.12 1,469,324 AXA 23,229 0.80 20,897 Bic 2,071 0.07 11,475 bioMérieux 1,054 0.04 739,784 BNP Paribas 24,551 0.84 782,897 Bollore 2,142 0.07 145,192 Bouygues 4,068 0.14 198,873 Bureau Veritas 2,846 0.10 123,684 Capgemini 7,401 0.25 424,680 Carrefour 8,034 0.28 45,751 Casino Guichard Perrachon 1,495 0.05

Continental european equity tracker portfolio Statement continued

40,216 Christian Dior 5,097 0.17 131,864 CNP Assurances 1,399 0.05 802,879 Crédit Agricole 5,966 0.20 434,537 Danone 21,606 0.74 99,494 Dassault Systemes 5,404 0.19 165,540 Edenred 2,069 0.07 225,973 EDF 1,711 0.06 50,260 Eiffage 2,560 0.09 1,101,850 ENGIE 12,251 0.42 153,685 Essilor International 13,127 0.45 10,561 Euler Hermes 633 0.02 31,544 Eurazeo 1,326 0.05 355,272 Eurotunnel 2,567 0.09 126,328 Eutelsat Communications 2,748 0.09 48,165 Faurecia 1,179 0.04 28,555 Foncière des Régions 1,683 0.06 29,546 Gecina 2,619 0.09 19,249 Hermes International 4,730 0.16 27,514 Icade 1,373 0.05 18,462 Iliad 3,218 0.11 25,562 Imerys 1,107 0.04 42,248 Ingenico 3,057 0.10 26,889 Ipsen 1,108 0.04 66,205 JC Decaux 1,851 0.06 59,502 Kering 7,490 0.26 161,712 Klepierre 4,820 0.17 90,385 Lagardere 1,881 0.06 210,810 Legrand 7,472 0.26 183,348 L’Oréal 22,136 0.76 190,513 LVMH Moet Hennessy Louis Vuitton 22,792 0.78 147,730 Michelin 9,627 0.33 736,356 Natixis 2,833 0.10 78,720 Numericable 2,076 0.07 1,439,876 Orange 18,046 0.62 154,522 Pernod-Ricard 11,826 0.41 292,613 Peugeot 3,192 0.11 151,923 Publicis 6,740 0.23 20,140 Remy Cointreau 989 0.03 134,383 Renault 8,874 0.30 235,586 Rexel 2,057 0.07 210,388 Safran 9,324 0.32 354,543 Saint-Gobain 9,777 0.33




863,827 Sanofi 49,278 1.69 422,696 Schneider Electric 18,108 0.62 117,590 SCOR 2,953 0.10 22,131 SEB 1,486 0.05 557,030 Société Générale 13,960 0.48 73,507 Sodexo 5,292 0.18 248,604 Suez Environnement 3,114 0.11 88,497 Technip 3,150 0.11 78,903 TF1 644 0.02 79,580 Thales 4,551 0.16 1,593,240 Total 51,278 1.76 76,042 Unibail-Rodamco 13,563 0.46 62,125 Valeo 6,158 0.21 97,427 Vallourec 367 0.01 376,340 Veolia Environnement 6,109 0.21 358,626 Vinci 17,835 0.61 896,499 Vivendi 13,339 0.46 23,963 Wendel Investissement 1,645 0.06 148,241 Zodiac Aerospace 1,674 0.06

598,076 20.51

Germany – 18.91%; 2015 19.37% 162,700 Adidas 12,593 0.43 348,004 Allianz 37,257 1.28 34,645 Axel Springer 1,255 0.04 706,099 BASF 32,729 1.12 631,952 Bayer 47,551 1.63 42,644 Bayerische Motoren Werke preference shares 2,061 0.07 80,837 Beiersdorf 5,018 0.17 248,080 BMW 14,569 0.50 120,968 Brenntag 4,218 0.14 825,934 Commerzbank 4,803 0.16 86,600 Continental 12,412 0.43 730,445 Daimler 35,947 1.23 369,758 Deutsche Annington 8,231 0.28 1,046,480 Deutsche Bank 12,967 0.44 146,118 Deutsche Boerse 8,687 0.30 188,961 Deutsche Lufthansa 2,027 0.07 738,796 Deutsche Post 12,626 0.43 2,412,700 Deutsche Telekom 29,091 1.00 272,935 Deutsche Wohnen 5,208 0.18


1,435,065 E.ON 9,516 0.33 102,848 Evonik Industries 2,242 0.08 20,504 Fielmann 1,019 0.03 29,339 Fraport 1,218 0.04 299,724 Fresenius 14,199 0.49 167,111 Fresenius Medical Care 10,138 0.35 25,843 Fuchs Petrolub 677 0.02 54,122 Fuchs Petrolub non-voting preference shares 1,583 0.05 136,957 GEA 4,312 0.15 42,397 Genmab 3,838 0.13 47,698 Hannover Rueckversicherung 3,515 0.12 108,763 HeidelbergCement 5,729 0.20 24,295 Hella Hueck 674 0.02 93,449 Henkel 5,851 0.20 136,991 Henkel non-voting preference shares 9,848 0.34 20,925 Hochtief 1,638 0.06 52,289 Hugo Boss 2,124 0.07 892,280 Infineon Technologies 7,874 0.27 148,145 K & S 2,216 0.08 14,531 Kabel Deutschland 1,296 0.04 73,785 Lanxess 2,196 0.08 146,971 Linde 14,788 0.51 27,775 MAN 2,063 0.07 103,173 Merck 6,336 0.22 135,300 Metro 2,391 0.08 39,374 MTU Aero Engines 2,559 0.09 112,001 Muenchener Rueckversicherung 15,846 0.54 65,061 Osram Licht 2,185 0.07 123,526 Porsche non-voting preference shares 4,094 0.14 172,532 ProSiebenSat.1 Media 6,332 0.22 374,602 RWE 3,079 0.11 681,223 SAP 37,170 1.27 605,773 Siemens (Registered) 40,464 1.39 61,863 Suedzucker 671 0.02 96,094 Symrise 4,420 0.15 32,996 Talanx 670 0.02 539,266 Telefonica Deutschland 1,870 0.06 328,311 ThyssenKrupp 3,965 0.14 97,856 United Internet 3,425 0.12 22,796 Volkswagen 2,261 0.08 139,931 Volkswagen non-voting preference shares 11,671 0.40 11,415 Wacker Chemie 657 0.02




87,809 Wirecard 2,416 0.08 82,189 Zalando 1,840 0.06

552,126 18.91

Greece – 0.15%; 2015 0.15% 926,050 Alpha Bank 1,164 0.04 198,240 Hellenic Telecom 1,237 0.04 4,255,800 National Bank of Greece 665 0.02 172,320 OPAP 849 0.03 5,062,784 Piraeus Bank 605 0.02

4,520 0.15

Hungary – 0.18%; 2015 0.13% 338,730 Magyar Telekom 367 0.01 35,577 MOL 1,266 0.04 149,127 OTP Bank 2,241 0.08 112,843 Richter Gedeon 1,467 0.05

5,341 0.18

Ireland – 0.71%; 2015 0.56% 22,180,574 Bank of Ireland 4,392 0.15 138,406 Glanbia 1,987 0.07 50,919 Irish Bank Resolution* – 0.00 117,899 Kerry class ‘A’ shares 7,328 0.25 334,743 Ryanair 3,722 0.13 187,426 Smurfit Kappa 3,147 0.11

20,576 0.71

Italy – 4.43%; 2015 4.66% 978,138 Assicurazioni Generali 9,792 0.34 378,708 Atlantia 6,788 0.23 210,228 Banca Mediolanum 1,058 0.04 1,895,443 Banca Monte dei Paschi di Siena 735 0.03 257,782 Banco Popolare 1,516 0.05 236,357 Campari 1,345 0.05 5,295,954 Enel 15,380 0.53 1,223,517 Enel Green Power 1,722 0.06 1,878,740 Eni 18,940 0.65 79,200 EXOR 1,893 0.06 95,165 Ferrari 2,636 0.09 306,476 Finmeccancia 2,308 0.08 9,738,986 Intesa Sanpaolo 17,677 0.61 141,371 Luxottica 5,854 0.20 583,493 Mediaset 1,479 0.05


452,467 Mediobanca 2,231 0.08 225,977 Parmalat 425 0.01 158,628 Prysmian 2,327 0.08 4,753,962 Saipem 1,408 0.05 37,318 Salvatore Ferragamo 599 0.02 1,792,023 Snam 7,015 0.24 7,708,066 Telecom Italia 5,475 0.19 4,703,832 Telecom Italia preference shares 2,654 0.09 1,137,141 Terna 4,316 0.15 3,690,984 UniCredit 9,838 0.34 667,261 Unione di Banche Italiane 1,824 0.06 918,187 UnipolSai 1,356 0.05

128,591 4.43

Luxembourg – 0.42%; 2015 0.70% 808,701 ArcelorMittal 2,186 0.07 30,276 RTL 1,820 0.06 231,687 SES Global FDR (each representing 1 class ‘A’ share) 4,349 0.15 227,253 Subsea 7 1,040 0.04 369,819 Tenaris 2,906 0.10

12,301 0.42

Netherlands – 6.54%; 2015 5.94% 170,000 ABN AMRO 2,454 0.08 1,532,496 Aegon 5,518 0.19 658,497 Ahold 10,379 0.36 191,856 Akzo Nobel 8,082 0.28 303,613 Altice series ‘A’ shares 3,157 0.11 73,510 Altice series ‘B’ shares 775 0.03 250,375 ASML 16,441 0.56 63,025 Boskalis Westminster 1,638 0.06 750,448 CNH Industrial 3,579 0.12 139,382 DSM 4,954 0.17 700,967 Fiat Chrysler Automobiles 3,484 0.12 63,550 Gemalto 2,869 0.10 39,739 Grandvision 822 0.03 173,394 Heineken 10,084 0.35 77,690 Heineken 4,045 0.14 2,947,162 ING Bank 25,010 0.86 2,490,624 KPN 6,578 0.23 212,482 NN 4,737 0.16 61,350 OCI 795 0.03 714,281 Philips 13,004 0.44




178,990 Qiagen 2,756 0.09 84,839 Randstad 3,143 0.11 770,661 RELX 9,102 0.31 373,442 TNT Express 2,298 0.08 1,187,654 Unilever 36,377 1.25 51,159 Vopak 1,680 0.06 241,331 Wolters Kluwer 6,468 0.22

190,229 6.54

Norway – 1.30%; 2015 1.48% 845,942 DNB 6,965 0.24 136,359 Gjensidige Forsikring 1,538 0.05 252,895 Marine Harvest 2,596 0.09 1,051,881 Norsk Hydro 3,020 0.10 618,256 Orkla 3,650 0.13 63,719 Schibsted 1,241 0.04 63,846 Schibsted class ‘A’ shares 1,192 0.04 277,311 Seadrill 381 0.01 755,555 Statoil 7,844 0.27 550,124 Telenor 5,880 0.20 137,458 Yara International 3,856 0.13

38,163 1.30

poland – 0.82%; 2015 0.94% 32,401 Alior Bank 347 0.01 56,222 Asseco Poland 581 0.02 28,456 Bank Handlowy w Warszawie 418 0.01 467,283 Bank Millennium 501 0.02 100,575 Bank Pekao 2,720 0.09 22,832 Bank Zachodni WBK 1,145 0.04 16,740 CCC 447 0.02 174,403 Cyfrowy Polsat 729 0.02 165,020 Enea 335 0.01 293,790 Energa 679 0.02 60,757 Eurocash 547 0.02 816,010 Getin Noble Bank 85 0.00 34,897 Grupa Azoty 605 0.02 67,767 Grupa Lotos 309 0.01 107,110 KGHM Polska Miedz 1,309 0.04 1,031 LPP 937 0.03 8,882 mBank 524 0.02 573,412 Orange Polska 656 0.02 251,211 PKN Orlen 2,869 0.10


654,845 Polska Grupa Energetyczna 1,537 0.05 1,446,980 Polskie Gornictwo Naftowe 1,301 0.04 667,362 Powszechna Kasa Oszczednosci Bank Polski 2,964 0.10 439,130 Powszechny Zaklad Ubezpieczen 2,747 0.09 388,320 Synthos 289 0.01 813,380 Tauron Polska Energia 371 0.01

24,952 0.82

portugal – 0.34%; 2015 0.37% 29,538,086 Banco Comercial Portugues 768 0.03 1,490,714 EDP Energias 3,308 0.11 184,793 EDP Renovaveis 931 0.03 357,630 Galp Energia 2,886 0.10 193,226 Jeronimo Martins 1,975 0.07

9,868 0.34

Spain – 6.54%; 2015 7.09% 389,303 Abertis Infraestructuras 4,192 0.14 21,436 Acciona 1,178 0.04 108,085 Acerinox 854 0.03 139,717 ACS Actividades 2,601 0.09 50,368 Aena 4,132 0.14 335,939 Amadeus IT 9,795 0.33 1,250,890 Banco Popular Espanol 2,126 0.07 1,250,890 Banco Popular Espanol Rights 16/3/2016 20 0.00 3,709,333 Banco Sabadell 4,226 0.14 11,146,201 Banco Santander 32,336 1.11 3,597,546 Bankia 2,148 0.07 572,880 Bankinter 2,709 0.09 4,924,298 BBVA 22,241 0.76 2,092,719 CaixaBank 4,211 0.14 14,730 Corporacion Financiera Alba 377 0.01 537,286 Distribuidora 1,945 0.07 82,524 Enagas 1,671 0.06 333,020 Endesa 4,319 0.15 367,856 Ferrovial 5,113 0.18 321,549 Gas Natural 4,050 0.14 266,666 Grifols 4,241 0.15 206,000 Grifols preference shares 2,324 0.08 4,345,848 Iberdrola 20,236 0.69 815,282 Inditex 18,165 0.62 806,591 Mapfre 1,128 0.04




167,790 Mediaset Espana 1,268 0.04 45,927 Red Electrica 2,616 0.09 863,663 Repsol 6,372 0.22 3,266,179 Telefonica 23,701 0.81 133,763 Zardoya Otis 1,028 0.04

191,323 6.54

Sweden – 6.48%; 2015 7.00% 241,210 Alfa Laval 2,718 0.09 742,374 Assa Abloy 10,179 0.35 489,131 Atlas Copco series ‘A’ shares 7,915 0.27 320,832 Atlas Copco series ‘B’ shares 4,854 0.17 218,955 Boliden 2,378 0.08 175,220 Electrolux series ‘B’ shares 2,963 0.10 2,356,294 Ericsson series ‘B’ shares 15,598 0.53 144,948 Getinge 2,299 0.08 746,118 Hennes & Mauritz series ‘B’ shares 17,384 0.60 206,394 Hexagon series ‘B’ shares 5,037 0.17 285,846 Husqvarna series ‘B’ shares 1,296 0.04 149,596 Industrivarden series ‘A’ shares 1,847 0.06 131,187 Industrivarden series ‘C’ shares 1,464 0.05 357,801 Investor series ‘B’ shares 8,481 0.29 160,049 Kinnevik 2,844 0.10 170,569 Lundin Petroleum 1,920 0.07 215,022 Meda series ‘A’ shares 2,769 0.09 9,804 Melker Schorling 397 0.01 2,496,252 Nordea Bank 17,872 0.61 862,443 Sandvik 5,604 0.19 239,507 Securitas series ‘B’ shares 2,573 0.09 1,151,386 Skandinaviska Enskilda Banken series ‘A’ shares 8,030 0.28 280,233 Skanska series ‘B’ shares 4,277 0.15 339,529 SKF series ‘B’ shares 4,031 0.14 1,123,702 Svenska Cellulosa series ‘A’ shares 10,300 0.35 445,551 Svenska Cellulosa series ‘B’ shares 9,577 0.33 809,900 Swedbank series ‘A’ shares 11,768 0.40 158,588 Swedish Match 3,666 0.13 235,924 Tele2 series ‘B’ shares 1,400 0.05 2,061,678 TeliaSonera 6,824 0.23 185,750 Trelleborg series ‘B’ shares 2,215 0.08 1,203,250 Volvo series ‘B’ shares 8,706 0.30

189,186 6.48


Switzerland – 19.87%; 2015 19.93% 1,526,612 ABB (Registered) 19,592 0.67 74,982 Actelion 7,532 0.26 129,823 Adecco 5,417 0.19 66,109 Aryzta 2,257 0.08 36,172 Baloise 3,279 0.11 2,026 Banque Cantonale Vaudoise (Registered) 937 0.03 1,560 Barry Callebaut 1,169 0.04 207,927 Clariant 2,501 0.09 393,762 Compagnie Financiere Richemont 17,932 0.61 1,442,609 Credit Suisse 13,930 0.48 22,085 DKSH 999 0.03 41,907 Dufry 3,141 0.11 5,770 EMS-Chemie 1,940 0.07 3,766 Galenica 4,079 0.14 129,982 GAM 1,325 0.05 28,505 Geberit 7,360 0.25 7,181 Givaudan 9,645 0.33 4,664 Helvetia 1,776 0.06 165,161 Julius Baer (Registered) 4,758 0.16 40,737 Kuehne + Nagel 3,819 0.13 318,836 LafargeHolcim 8,974 0.31 79 Lindt & Spruengli (Registered) 3,869 0.13 733 Lindt & Spruengli Participating Certificates 3,013 0.10 40,196 Lonza 4,374 0.15 2,391,877 Nestlé 120,391 4.12 1,644,310 Novartis 84,659 2.90 23,297 Pargesa 985 0.03 14,003 Partners 3,640 0.12 30,230 PSP Swiss Property 1,861 0.06 543,417 Roche 100,754 3.45 20,284 Roche (Bearer) 3,713 0.13 36,127 Schindler (Part Certified) 4,387 0.15 16,455 Schindler (Registered) 2,015 0.07 3,862 SGS (registered) 5,599 0.19 1,716 Sika 4,658 0.16 42,216 Sonova 3,647 0.12 486,184 STMicroelectronics 2,012 0.07 18,440 Sulzer 1,258 0.04 22,987 Swatch class ‘I’ shares 5,723 0.20



37,352 Swatch class ‘N’ shares 1,864 0.06 25,112 Swiss Life 4,410 0.15 48,842 Swiss Prime Site 2,918 0.10 265,689 Swiss Re 16,924 0.58 17,770 Swisscom 6,246 0.21 71,049 Syngenta 20,484 0.70 261,943 Transocean 1,641 0.06 2,703,633 UBS 29,632 1.02 115,266 Zurich Financial Services 17,617 0.60

580,656 19.87

turkey – 0.97%; 2015 0.98% 1,574,032 Akbank 2,841 0.10 34,277 Akcansa Cimento 117 0.00 141,893 Anadolu Efes Biracilik ve Malt Sanayii 594 0.02 137,483 Arcelik 631 0.02 75,555 Aselsan Elektronik 322 0.01 64,969 Aygaz AS 167 0.01 176,063 BIM Birlesik Magazalar 2,320 0.08 50,655 Coca-Cola Icecek 400 0.01 1,552,959 Emlak Konut Gayrimenkul 961 0.03 379,166 ENKA 438 0.02 1,147,203 Eregli Demir ve Celik 950 0.03 54,194 Ford Otomotiv 449 0.02 672,018 Haci Omer Sabanci 1,417 0.05 516,771 KOC 1,619 0.06 49,511 Koza Altin 185 0.01 27,902 Migros Ticaret 103 0.00 25,091 Pegasus Hava Tasimaciligi 105 0.00 425,661 Petkim Petrokimya 358 0.01 112,909 TAV Havalimanlari 479 0.02 97,639 Tofas Turk Otombil Fabrikasi 469 0.02 101,007 Tupras-Turkiye Petrol Rafinerileri 1,847 0.06 415,843 Turk Hava Yollari Anonim Ortakligi 732 0.03 381,411 Turk Telekomunikasyon 532 0.02 9,578 Turk Traktor ve Ziraat Makineleri 183 0.01 621,201 Turkcell Iletism Hizmetleri 1,640 0.06 1,621,494 Turkiye Garanti Bankasi 2,883 0.10 481,565 Turkiye Halk Bankasi 1,160 0.04 1,107,718 Turkiye Is Bankasi class ‘C’ shares 1,211 0.04 530,572 Turkiye Sinai Kalkinma Bankasi 207 0.01


391,557 Turkiye Sise ve Cam Fabrikalari 315 0.01 830,848 Turkiye Valiflar Bankasi 830 0.03 116,945 Ulker Biskuvi Sanayi 510 0.02 721,081 Yapi ve Kredi Bankasi 652 0.02 32,862 Yazicilar 92 0.00

27,719 0.97

DeRIVAtIVeS – (0.02)%; 2015 0.15%

Futures – (0.02)%; 2015 0.15% 1,829 EURO Stoxx 50 March 2015 41,879 (210) (0.01) 241 Swiss Market Index March 2016 13,509 (249) (0.01)

55,388 (459) (0.02)

Portfolio of investments 2,868,987 98.28Net other assets 50,131 1.72

Total net assets 2,919,118 100.00

Unless otherwise stated, all securities are either listed on a recognised exchange or traded on an eligible securities market.Note: comparative figures show percentages for each category of holding at 28 February 2015. * Suspended investments fair valued at zero.^ Investments which are less than £500 are rounded to zero.Underlying exposure has been calculated according to the guidelines issued by the European Securities and Markets Authority (“ESMA”) and represents the market value of an equivalent position in the assets underlying each financial derivative instrument.

Holding or Underlying Market % of Nominal Exposure – Derivatives Value Total Net Value Investment £000’s £000’s Assets


Continental european equity tracker Statement of total Returnfor the year ended 29 February 2016

Notes £000’s


£000’s £000’s


£000’s

Income


Revenue 4 91,359 59,839

Expenses 5 (5,819) (5,057)



Taxation 7 (4,233) (5,567)



Distributions 8 (76,949) (47,537)


Continental european equity tracker Statement of Change in Net Assets Attributable to Unitholders for the year ended 29 February 2016

£000’s


£000’s £000’s


£000’s

Opening net assets attributable to unitholders 2,911,827 1,990,694



176,117 781,476



Closing net assets attributable to unitholders 2,919,118 2,911,827

Continental european equity tracker Balance Sheet at 29 February 2016

Notes

29.2.2016£000’s

28.2.2015£000’s

Assets:

Fixed assets

– Investment assets 2,869,446 2,868,284

Current assets

– Debtors 9 12,123 28,456


Total assets 2,931,435 2,936,575

Liabilities:

Investment liabilities (459) –

Creditors

– Amounts held at futures clearing houses and brokers (341) (343)

– Distributions payable (73) (95)

– Other creditors 11 (11,444) (24,310)


Net assets attributable to unitholders 2,919,118 2,911,827



Continental european equity tracker Notes to Financial Statements for the year ended 29 February 2016





£000’s


£000’s




Currency gains/(losses) 4,319 (2,941)



4. Revenue


£000’s


£000’s



Overseas REIT dividends 923 703

Securities lending revenue 1,192 888

Stock dividends 3,802 1,645


5. Expenses


£000’s


£000’s



– Registrar’s fees 5 5

5,311 4,445

Other expenses:

– Audit fee 7 7




508 612




£000’s


£000’s


Interest paid on margin deposits 2 –

Total interest payable and similar charges 222 34 7. Taxation(a) Analysis of tax charge


£000’s


£000’s

Irrecoverable overseas tax 4,233 5,567

Total current tax charge [see note 7(b)] 4,233 5,567



£000’s


£000’s


Corporation tax at 20% (28 February 2015: 20%) 17,063 10,950

Effects of:



Non taxable overseas dividends (17,193) (11,364)

Non taxable stock dividends (760) (329)

Overseas tax expensed (11) –

Total current tax charge [see note 7(a)] 4,233 5,567



8. Distributions


£000’s


£000’s

Interim distribution 63,663 53,041


77,868 59,964

Add: Amounts deducted on cancellation of units 2,848 529

Less: Amounts received on issue of units (3,767) (12,956)



(Less)/Add: Equalisation on conversions (334) 1

Less: Non distributable stock dividends (3,802) (1,645)



9. Debtors

29.2.2016 £000’s

28.2.2015£000’s


Amounts receivable for issue of units 232 10,428

Currency sales awaiting settlement – 12,564

Overseas tax recoverable 11,574 4,812

Sales awaiting settlement 46 14



29.2.2016 £000’s

28.2.2015£000’s

Amounts held at futures clearing houses and brokers 5,350 946



Continental european equity tracker Notes to Financial Statements continued

11. Other Creditors

29.2.2016 £000’s

28.2.2015 £000’s


Accrued FCA fee 1 1

Accrued Manager’s charge 790 1,200

Accrued Registrar’s fee 3 2



Amounts payable for cancellation of units 10,540 1,306

Currency purchases awaiting settlement – 12,576


Purchases awaiting settlement – 9,090


12. Contingent Assets and LiabilitiesFurther to a number of rulings of the European Court of Justice (including in Fokus Bank (2004), Denkavit International (2006) and FIM Santander (2012)) regarding taxation withheld on overseas dividends, the Manager has taken steps to make claims with certain European Tax Authorities for repayment of taxation suffered on foreign dividend income. Due to the uncertainty regarding the likely success and timing of the claims, it is not possible to estimate the amount of overseas withholding tax that may be received or the timing of the receipt.







The collateral is registered and held in the name of BlackRock Advisors (UK) Limited on behalf of the Fund in any or all of the following collateral agents and central securities depositaries: Bank of New York Mellon and JP Morgan, depending on the type of collateral the counterparty needs to give as per the schedule in order to cover the required value of exposure.




29.2.2016£000’s

28.2.2015£000’s

Revenue earned during the year 1,192 888 Value of securities on loan at the year end 410,856 193,552 Value of collateral held on behalf of the Fund at the year end 450,528 216,376

The Fund’s securities lending borrowing counterparties are Bank of America Merrill Lynch, Barclays Bank Plc, Citigroup, Commerzbank AG, Credit Suisse International, Deutsche Bank AG, Goldman Sachs, JP Morgan Chase Securities Plc, Morgan Stanley & Co.,Nomura, HSBC, Société Générale, The Bank of Nova Scotia and UBS.





The Manager acts as either principal or agent for the Trustee in respect of all transactions of units of the Fund. The aggregate monies received through issue and paid through cancellation of units are disclosed in the Statement of Change in Net Assets Attributable to Unitholders and note 8. Any amounts due to or from the Manager at the year end are disclosed in notes 9 and 11. Management fees and registration fees paid to BlackRock Fund Managers Limited are shown in note 5. The balances due at the year end in respect of these fees are shown in note 11. Securities lending revenue earned by the Fund is disclosed in notes 4 and 13.



As at 29 February 2016 and 28 February 2015, none of the unitholders:

(i) are funds managed by the BlackRock Group or are affiliates of BlackRock Inc. or

(ii) are investors, other than those included in (i) above, who held 51% or more of the voting units in issue in the Fund and are as a result, considered to be related parties to the Fund.





£000’s %Taxes

£000’s %







£000’s %Taxes

£000’s %

Equity instruments 80,940 6 0.01 – 0.00











£000’s %Taxes

£000’s %


In-specie transfers 478,742 – – – –

Corporate actions 8,660 – – – –






£000’s %Taxes

£000’s %

Equity instruments 87,844 5 0.01 – –






The above analysis covers direct transaction costs incurred by the Fund during the year. However it is important to understand the nature of other transaction costs associated with different investment asset classes and instruments types.

Separately identifiable direct transaction costs (such as commissions and taxes) are attributable to the Fund’s purchase and sale of equity instruments. Additionally for equity shares there is a dealing spread cost (the difference between the buying and selling prices) which will be incurred on purchase and sale transactions.

During the year the Fund utilised derivative instruments including futures contracts. The settlement values for opening and closing derivative positions are not comparable to principal values for transactions in direct holding investments and therefore purchase and sale amounts for derivative transactions are not quantified in the analysis above. Transaction costs for derivatives positions will be either incurred as direct costs or form part of the dealing spread for the instruments. Any direct costs are identified in the analysis above.






L Income Units

L Accumulation Units

X IncomeUnits

Balance at the beginning of the year 2,439,085 15,001,373 1,396,079,214 13,102,688

Issued during the year 452,188 – 232,048,491 35,960,712

Cancelled during the year (339,950) – (150,457,972) (26,228,416)

Converted during the year (512,661) (15,001,273) (71,962,125) (22,833,994)

Balance at the end of the year 2,038,662 100 1,405,707,608 990

X Accumulation Units

D Accumulation Units

H Income Units

º H Accumulation Units

Balance at the beginning of the year 187,708,523 26,303,640 Nil 10,585,808

Issued during the year – 13,096,437 100 3,643,496

Cancelled during the year – (3,439,693) – (5,217,376)

Converted during the year 104,638,129 (4,858,828) 14,074,811 14,801,630

Balance at the end of the year 292,346,652 31,101,556 14,074,911 23,813,558

º H Income class commenced September 2015.




About the Fund

The BlackRock Corporate Bond 1-10 Year Fund (the “Fund”) is a sub-fund of BlackRock Collective Investment Funds, a UCITS scheme established under the COLL Sourcebook. The Fund was authorised by the Financial Conduct Authority on 28 April 2010 and launched on 21 June 2010.


The aim of the Fund is to seek to achieve a total return for investors by tracking closely the performance of a composite benchmark comprising the Bank of America Merrill Lynch Sterling Corporate Securities 1-5 Year Index and the Bank of America Merrill Lynch Sterling Corporate Securities 5-10 Year Index by investing in the fixed income securities contained in those indices. Investment will be made directly into constituent issues and via other transferable securities giving exposure to such issues. The Fund may also invest in permitted money-market instruments, permitted deposits and units in collective investment schemes. Derivatives and forward transactions may be used for the purposes of efficient portfolio management.




Unit Class





` ��The risk indicator was calculated incorporating simulated historical data and may not be a reliable indication of the future risk profile of each unit class.





BlackRock Corporate Bond 1-10 Year Fund


Performance Table




TOTAL RETURN (with net income reinvested)


BlackRock Corporate Bond 1-10 Year Fund -0.8% +9.7% +28.1%

Composite Index*◊ +0.2% +13.2% +35.2%

All Fund figures quoted are based on bid-to-bid dealing prices (the price at which units are sold) and are calculated net of fees. Performance returns are cumulative. All returns are in Sterling.* Figures from Merrill Lynch/BlackRock. ◊ Weighted composite containing the BofA Merrill Lynch Corporates & Securitised 1-5 Year and BofA ML Sterling Corporates 5-10yr indices. # D Accumulation class was renamed as L Accumulation class during June 2012.


Corporate Bond 1-10 Year Fund


Corporate Bond 1-10 Year Fund continued


The Fund is categorised as a non-replicating fund. Non-replicating funds may, or may not, hold every security or the exact concentration of a security in the benchmark index, but will aim to track the benchmark index as closely as possible and may use optimisation techniques to achieve their investment objective.

Cash management, sampling techniques, efficient portfolio management techniques including securities lending and transaction costs from rebalancing can have an impact on tracking difference. Importantly, these impacts can be either positive or negative depending on the underlying circumstances.

A fund’s tracking difference may be affected if the times at which a fund and its benchmark index are priced are different. As the Fund is valued at 12 noon, but the benchmark index is valued at the time the relevant markets close for business, the tracking difference of the Fund at its valuation point may appear to be higher than if the Fund and the benchmark index were priced at the same time.



to 29.2.2016




-0.82%* +0.24% -1.06%

Before costs and after adjusting for a) the difference in valuation point of the Fund and the pricing point of the benchmark index b) the tax incurred by the Fund which is not included in the benchmark index, the performance of the Fund relative to the benchmark index has been in line with expectations.





Cash management, sampling techniques, efficient portfolio management techniques including securities lending and transaction costs from rebalancing can also have an impact on tracking error as well as the return differential between the Fund and the benchmark index. Importantly, these impacts can be either positive or negative depending on the underlying circumstances.

A fund’s tracking error may be affected if the times at which a fund and its benchmark index are priced are different. As the Fund is valued at 12 noon, but the benchmark index is valued at the time the relevant markets close for business, the tracking error of the Fund at its valuation point may appear to be higher than if the Fund and the benchmark index were priced at the same time.




Up to 1.50%* 0.55%*The Fund has tracked its benchmark index within its anticipated tracking error.



Corporate Bond 1-10 Year Investment Report

Summary of Performance over the PeriodDuring the period from 1 March 2015 to 29 February 2016, the Fund returned -0.8%,* compared with its composite benchmark, which returned 0.2%**. Before costs and after adjusting for a) the difference in valuation point of the Fund and the pricing point of the benchmark index, and b) the tax incurred by the Fund which is not included in the benchmark index, the performance of the Fund relative to its composite benchmark has been in line with expectations. Over the six-month period to 29 February 2016, the Fund returned 0.4%,* underperforming its benchmark, which returned 1.1%**.

Fund Manager’s CommentaryThe period to 29 February 2016 was marked by diverging monetary policies, concerns over China’s economy and commodity price volatility. In the US, a mixed bag of economic data meant that the US Federal Reserve (the “Fed”) kept interest rates on hold until December 2015, when they were raised by 0.25%. This rate rise marked the first move in US interest rates since 2006, and it reflected the Fed’s growing confidence in employment and inflation prospects. By contrast, the European Central Bank extended its asset-purchase programme for another few months, as the region’s economy struggled to grow. Elsewhere, central bankers in several emerging economies, including India, China and Russia, lowered benchmark rates in a bid to stimulate growth.

Corporate-bond markets ended the year largely flat. Although the Fed increased interest rates, signs of slowing global growth pushed out expectations of more rate hikes. This, combined with ongoing low rates in the UK and Europe, lent some support to credit markets. Late in the period, European credit spreads (the yield differential between investment grade and government bonds) widened, with financial bonds particularly affected.

The Fund is structured to track its composite benchmark closely, so its portfolio remains positioned so that its risk characteristics are similar to those of the benchmark.

March 2016


** Equally-weighted composite index comprising the Bank of America Merrill Lynch Sterling Corporate Securities 1-5 year Index & Bank of America Merrill Lynch Sterling Corporate Securities 5-10 year Index.

Corporate Bond 1-10 Year performance Record

Comparative Table

A Accumulation Units L Accumulation Units




to 28.2.2014




to 28.2.2014









After direct transaction costs of 0.00 0.00 0.00 0.00 0.00 0.00

performance


other information

Closing net asset value (£000’s) 546 1,645 3,861 246,390 286,298 291,712

Closing number of units 421,038 1,255,004 3,147,163 186,481,759 214,932,105 234,549,296











Comparative Table





to 28.2.2014




to 28.2.2014










performance


other information












Corporate Bond 1-10 Year performance Record continued


A AccumulationUnits

L AccumulationUnits

X AccumulationUnits

D AccumulationUnits

Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2

Gross Revenue 2.0088 0.7024 2.2510 1.1486 2.2199 1.9043 2.2504 1.2068

Income tax 0.4018 0.1405 0.4502 0.2297 0.4440 0.3809 0.4501 0.2414

Net revenue (interest) 1.6070 0.5619 1.8008 0.9189 1.7759 1.5234 1.8003 0.9654

Equalisation† – 1.0451 – 0.8819 – 0.2525 – 0.8349

Distribution payable 30.4.2016 1.6070 1.6070 1.8008 1.8008 1.7759 1.7759 1.8003 1.8003

Distribution paid 30.4.2015 1.6848 1.6848 1.8694 1.8694 1.8350 1.8350 1.8667 1.8667


A AccumulationUnits

L AccumulationUnits

X AccumulationUnits

D AccumulationUnits

Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2

Gross Revenue 2.0533 0.6184 2.2895 1.3998 2.2552 1.5819 2.2884 1.1601

Income tax 0.4107 0.1237 0.4579 0.2800 0.4510 0.3164 0.4577 0.2320

Net revenue (interest) 1.6426 0.4947 1.8316 1.1198 1.8042 1.2655 1.8307 0.9281

Equalisation† – 1.1479 – 0.7118 – 0.5387 – 0.9026




Corporate Bond 1-10 Year Distribution tables for the year ended 29 February 2016




BoNDS – 97.85%; 2015 97.39%

UK Sterling Denominated Fixed Rate Corporate Bonds – 85.09%; 2015 82.80% £1,450,000 3i 6.875% Guaranteed Senior European Medium Term

Bonds 9/3/2023 1,732 0.20 £1,123,000 A2D Funding 4.75% Guaranteed European Medium Term

Notes 18/10/2022 1,168 0.14 £2,625,000 Abbey National Treasury Services 1.875% European

Medium Term Notes 17/2/2020 2,590 0.30 £1,400,000 Abbey National Treasury Services 4.125% Guaranteed

European Medium Term Notes 14/9/2017 1,450 0.17 £800,000 ABN AMRO 2.25% Senior European Medium Term Notes

11/9/2017 808 0.09 £2,000,000 ABN AMRO 2.375% European Medium Term Notes

7/12/2021 2,001 0.23 £1,325,000 ABN AMRO 2.5% Senior European Medium Term Notes

18/12/2018 1,349 0.16 £750,000 ABN AMRO 4.875% European Medium Term Notes

16/1/2019 813 0.09 £1,250,000 Admiral 5.5% Subordinated Notes 25/7/2024 1,195 0.14 £750,000 Ahold Finance USA 6.5% Guaranteed European Medium

Term Bonds 14/3/2017 785 0.09 £3,200,000 AIG 5% Guaranteed Senior European Medium Term

Bonds 26/4/2023 3,353 0.39 £1,750,000 American Honda Finance 2.625% European Medium

Term Notes 14/10/2022 1,784 0.21 £1,425,000 Anglo American Capital 6.875% Guaranteed European

Medium Term Notes 1/5/2018 1,367 0.16 £2,950,000 Anheuser-Busch InBev 4% Guaranteed European

Medium Term Notes 24/9/2025 3,129 0.36 £2,425,000 Anheuser-Busch InBev 6.5% European Medium Term

Notes 23/6/2017 2,577 0.30 £3,650,000 Anheuser-Busch InBev 9.75% Guaranteed European

Medium Term Bonds 30/7/2024 5,378 0.63 £2,000,000 AP Moeller-Maersk 4% Senior European Medium Term

Notes 4/4/2025 1,963 0.23 £1,975,000 APT Pipelines 4.25% European Medium Term Bonds

26/11/2024 1,971 0.23 £1,950,000 Asciano Finance 5% Guaranteed European Medium

Term Notes 19/9/2023 2,043 0.24 £650,000 ASIF II 6.375% Guaranteed European Medium Term

Bonds 5/10/2020 747 0.09

Corporate Bond 1-10 Year portfolio Statement at 29 February 2016

£750,000 ASIF III Jersey 5% Guaranteed European Medium Term Bonds 18/12/2018 812 0.09

£2,600,000 AT&T 5.875% Guaranteed Senior Notes 28/4/2017 2,726 0.32 £3,250,000 Atlantia 6.25% Guaranteed European Medium Term

Bonds 9/6/2022 3,900 0.45 £625,000 AusNet Services 7.125% Guaranteed European Medium

Term Notes 26/6/2018 697 0.08 £1,400,000 AXA 7.125% Guaranteed Subordinated Bonds 15/12/2020 1,610 0.19 £2,750,000 BAE Systems 4.125% Senior Notes 8/6/2022 2,968 0.35 £1,975,000 Bank of America 5.5% Guaranteed Senior European

Medium Term Bonds 4/12/2019 2,187 0.25 £1,700,000 Bank of America 5.5% Guaranteed Subordinated

European Medium Term Bonds 22/11/2021 1,831 0.21 £4,750,000 Bank of America 6.125% Guaranteed Senior European

Medium Term Bonds 15/9/2021 5,511 0.64 £3,000,000 Bank of America 7.75% Guaranteed Senior European

Medium Term Notes 30/4/2018 3,348 0.39 £725,000 Bank of Scotland 6.375% Guaranteed Subordinated

European Medium Term Bonds 16/8/2019 788 0.09 £3,350,000 Bank of Scotland 9.375% Guaranteed Subordinated

Bonds 15/5/2021 4,056 0.47 £600,000 Bank of Scotland 10.5% Guaranteed Subordinated

Bonds 16/2/2018 679 0.08 £1,350,000 Barclays 5.75% Guaranteed Senior European Medium

Term Bonds 17/8/2021 1,595 0.19 £1,400,000 Barclays 9.5% Guaranteed Subordinated Bonds 7/8/2021 1,675 0.19 £12,424,000 Barclays 10% Guaranteed Subordinated European

Medium Term Bonds 21/5/2021 15,122 1.76 £975,000 BASF 1.375% European Medium Term Notes 15/12/2017 980 0.11 £1,250,000 BASF 5.875% Guaranteed Senior European Medium

Term Notes 31/3/2017 1,314 0.15 £1,450,000 BAT International Finance 6% Guaranteed European

Medium Term Bonds 29/6/2022 1,740 0.20 £1,775,000 BAT International Finance 6.375% Guaranteed European


Medium Term Bonds 12/3/2024 4,149 0.48 £1,300,000 Bayer 5.625% Guaranteed European Medium Term

Bonds 23/5/2018 1,428 0.17 £5,100,000 BG Energy Capital 5.125% Guaranteed European Medium

Term Bonds 1/12/2025 5,870 0.68

106



£1,475,000 BG Energy Capital 5.125% Guaranteed European Medium Term Notes 7/12/2017 1,557 0.18

£4,950,000 BHP Billiton Finance 3.25% European Medium Term Bonds 25/9/2024 4,839 0.56

£3,794,000 BHP Billiton Finance 6.5% Bonds 22/10/2077 3,633 0.42 £450,000 Birmingham Airport 6.25% Guaranteed European

Medium Term Bonds 22/2/2021 514 0.06 £1,250,000 BMW 2% European Medium Term Bonds 20/11/2019 1,260 0.15 £1,125,000 BMW (UK) Capital 5% Guaranteed European Medium

Term Notes 2/10/2017 1,185 0.14 £1,500,000 BMW Finance 1.75% Guaranteed European Medium Term

Notes 20/11/2017 1,505 0.18 £1,100,000 BMW Finance 1.875% European Medium Term Notes

29/6/2020 1,102 0.13 £1,775,000 BMW Finance 2.375% European Medium Term Notes

1/12/2021 1,811 0.21 £2,350,000 BMW Finance 3.375% Guaranteed European Medium

Term Notes 14/12/2018 2,455 0.29 £1,300,000 BNP Paribas 2.375% European Medium Term Notes

20/11/2019 1,325 0.15 £1,840,000 BNP Paribas 5.75% Guaranteed Subordinated European

Medium Term Bonds 24/1/2022 2,005 0.23 £2,400,000 BP Capital Markets 4.325% Guaranteed European

Medium Term Notes 10/12/2018 2,533 0.29 £1,750,000 British Sky Broadcasting 2.875% European Medium

Term Notes 24/11/2020 1,783 0.21 £1,225,000 British Sky Broadcasting Finance UK 5.75% Guaranteed

Bonds 20/10/2017 1,301 0.15 £1,850,000 British Telecommunications 6.625% Guaranteed Senior

European Medium Term Bonds 23/6/2017 1,966 0.23 £950,000 British Telecommunications 8.625% Bonds 26/3/2020 1,190 0.14 £2,250,000 Bupa Finance 3.375% Guaranteed Bonds 17/6/2021 2,279 0.27 £3,200,000 Bupa Finance 5% Subordinated Notes 25/4/2023 3,182 0.37 £2,900,000 Centrica 5.25% Subordinated European Medium Term

Notes 10/4/2075 2,451 0.29 £3,400,000 Centrica 6.375% Guaranteed Senior European Medium

Term Bonds 10/3/2022 4,085 0.48 £1,150,000 Centrica 7% Guaranteed Senior European Medium Term

Notes 19/9/2018 1,292 0.15 £850,000 Chorus 6.75% Guaranteed European Medium Term

Notes 6/4/2020 982 0.11

Corporate Bond 1-10 Year portfolio Statement continued

£2,800,000 Citigroup 5.125% Guaranteed Subordinated European Medium Term Bonds 12/12/2018 2,969 0.35


£650,000 Citigroup 6.25% Guaranteed Senior European Medium Term Bonds 2/9/2019 739 0.09

£1,250,000 Citigroup 7.625% Guaranteed Senior European Medium Term Notes 3/4/2018 1,392 0.16

£400,000 Close Brothers 6.5% Guaranteed Senior Notes 10/2/2017 416 0.05 £2,200,000 Close Brothers Finance 3.875% European Medium Term

Notes 27/6/2021 2,274 0.26 £1,500,000 Commonwealth Bank of Australia 2.25% Senior European

Medium Term Notes 7/12/2018 1,522 0.18 £2,488,000 Coventry Building Society 5.875% Guaranteed Senior

European Medium Term Bonds 28/9/2022 2,971 0.35 £1,375,000 Coventry Building Society 6% Guaranteed Senior

European Medium Term Notes 16/10/2019 1,566 0.18 £1,221,000 CPUK Finance 2.666% European Medium Term Notes

28/2/2042 1,222 0.14 £950,000 CPUK Finance 3.588% European Medium Term Notes

28/2/2042 925 0.11 £2,950,000 Crédit Agricole 7.375% Guaranteed Subordinated

European Medium Term Bonds 18/12/2023 3,467 0.40 £1,850,000 Crédit Agricole London 5.5% Guaranteed Senior

European Medium Term Bonds 17/12/2021 2,156 0.25 £350,000 Credit Suisse Finance 7% Guaranteed Bonds 5/10/2020 402 0.05 £4,175,000 Credit Suisse Group Funding Guernsey 3% Bonds

27/5/2022 4,079 0.47 £720,000 Daily Mail & General Trust 5.75% Senior Notes 7/12/2018 778 0.09 £850,000 Daimler 1.25% European Medium Term Notes 1/12/2017 845 0.10 £1,095,000 Daimler 1.75% Senior European Medium Term Notes

8/11/2017 1,097 0.13 £750,000 Daimler 2.375% European Medium Term Notes

16/12/2021 754 0.09 £1,850,000 Daimler 2.375% Senior European Medium Term Notes

16/7/2018 1,878 0.22 £2,600,000 Daimler 2.75% Senior European Medium Term Notes

4/12/2020 2,680 0.31 £1,800,000 Daimler International Finance 3.5% Bonds 6/6/2019 1,895 0.22 £950,000 Deutsche Bahn Finance 1.375% European Medium

Term Notes 30/10/2017 955 0.11



£2,866,000 Deutsche Bahn Finance 2.75% Guaranteed European Medium Term Notes 20/6/2022 3,041 0.35

£4,520,000 Deutsche Telekom International Finance 6.5% Guaranteed European Medium Term Bonds 8/4/2022 5,509 0.64

£850,000 Deutsche Telekom International Finance 7.375% Guaranteed European Medium Term Bonds 4/12/2019 1,016 0.12

£2,550,000 Digital Stout 4.25% European Medium Term Bonds 17/1/2025 2,586 0.30

£2,000,000 Digital Stout 4.75% Guaranteed Bonds 13/10/2023 2,107 0.25 £1,350,000 DNB Bank 4.25% Guaranteed Senior European Medium

Term Notes 27/1/2020 1,462 0.17 £3,000,000 E.ON International Finance 6% Guaranteed European

Medium Term Bonds 30/10/2019 3,358 0.39 £2,500,000 Eastern Power Networks 4.75% Guaranteed Senior

European Medium Term Notes 30/9/2021 2,819 0.33 £2,200,000 Eastern Power Networks 5.75% Guaranteed Senior

European Medium Term Bonds 8/3/2024 2,639 0.31 £900,000 Eastern Power Networks 8.5% Bonds 31/3/2025 1,290 0.15 £750,000 EDP Finance 6.625% Bonds 9/8/2017 788 0.09 £2,100,000 EDP Finance 8.625% Guaranteed Senior European

Medium Term Bonds 4/1/2024 2,588 0.30 £2,650,000 Électricité de France 6.875% Guaranteed Senior

European Medium Term Bonds 12/12/2022 3,325 0.39 £5,600,000 Enel Finance International 5.625% Guaranteed

European Medium Term Bonds 14/8/2024 6,491 0.76 £1,875,000 Enel Società per Azioni 6.25% Guaranteed Senior

European Medium Term Bonds 20/6/2019 2,114 0.25 £350,000 Eni Coordination Center 4.75% Guaranteed European

Medium Term Bonds 28/1/2021 383 0.04 £550,000 Eni Coordination Center 5% Guaranteed European

Medium Term Bonds 27/1/2019 591 0.07 £750,000 Eni Coordination Center 6.125% Guaranteed Notes

17/12/2018 828 0.10 £1,475,000 ENW Capital Finance 6.125% Guaranteed European

Medium Term Bonds 21/7/2021 1,745 0.20 £900,000 ESB Finance 6.5% Guaranteed European Medium

Term Bonds 5/3/2020 1,047 0.12 £1,750,000 Everything Everywhere Finance 4.375% Guaranteed

European Medium Term Notes 28/3/2019 1,873 0.22 £2,650,000 Experian Finance 3.5% Guaranteed European Medium

Term Notes 15/10/2021 2,802 0.33



£1,150,000 Experian Finance 4.75% Guaranteed European Medium Term Notes 23/11/2018 1,238 0.14

£700,000 FCE Bank 2.625% Senior European Medium Term Notes 20/11/2018 706 0.08

£1,250,000 FCE Bank 2.759% European Medium Term Note 13/11/2019 1,260 0.15

£1,350,000 FCE Bank 3.25% Senior European Medium Term Notes 19/11/2020 1,383 0.16

£850,000 FCE Bank 4.825% Guaranteed Senior European Medium Term Notes 15/2/2017 872 0.10

£1,600,000 Fidelity 7.125% Senior Bonds 13/2/2024 1,903 0.22 £789,000 Fidelity International 6.75% Guaranteed Senior

European Medium Term Bonds 19/10/2020 901 0.10 £1,950,000 FirstGroup 5.25% Guaranteed Notes 29/11/2022 2,116 0.25 £725,000 FirstGroup 6.125% Guaranteed Bonds 18/1/2019 789 0.09 £1,425,000 FirstGroup 6.875% Guaranteed Bonds 18/9/2024 1,706 0.20 £1,150,000 FirstGroup 8.125% Guaranteed Notes 19/9/2018 1,300 0.15 £2,300,000 FirstGroup 8.75% Guaranteed Bonds 8/4/2021 2,842 0.33 £1,550,000 Fonterra Cooperative 9.375% Guaranteed Senior

European Medium Term Bonds 4/12/2023 2,254 0.26 £3,350,000 Friends Life 8.25% Guaranteed Bonds 21/4/2022 3,825 0.44 £1,100,000 Friends Life 12% Guaranteed Subordinated European

Medium Term Bonds 21/5/2021 1,416 0.16 £1,050,000 G4S 7.75% Guaranteed Senior European Medium Term

Notes 13/5/2019 1,208 0.14 £2,100,000 GDF Suez 6.125% Guaranteed Senior European Medium

Term Bonds 11/2/2021 2,521 0.29 £2,800,000 GE Capital 5.5% Guaranteed Senior European Medium

Term Bonds 7/6/2021 3,264 0.38 £1,050,000 GE Capital 6.25% Guaranteed Senior European Medium

Term Bonds 29/9/2020 1,246 0.14 £1,100,000 GE Capital UK Funding 2.375% European Medium Term

Notes 19/12/2018 1,127 0.13 £2,150,000 GE Capital UK Funding 4.125% Guaranteed European

Medium Term Notes 28/9/2017 2,239 0.26 £3,400,000 GE Capital UK Funding 4.125% Guaranteed European

Medium Term Notes 13/9/2023 3,769 0.44 £2,110,000 GE Capital UK Funding 4.375% Guaranteed Senior

European Medium Term Notes 31/7/2019 2,283 0.27 £2,800,000 GE Capital UK Funding 5.125% Guaranteed European

Medium Term Bonds 24/5/2023 3,277 0.38



£1,000,000 GE Capital UK Funding 5.625% Guaranteed European Medium Term Bonds 25/4/2019 1,119 0.13


£1,400,000 GE Capital UK Funding 6.75% Guaranteed European Medium Term Notes 6/8/2018 1,573 0.18

£2,900,000 GKN 5.375% Bonds 19/9/2022 3,146 0.37 £1,095,000 GKN 6.75% Bonds 28/10/2019 1,229 0.14 £3,200,000 Glencore Finance Europe 6% European Medium Term

Notes 3/4/2022 2,736 0.32 £2,100,000 Glencore Finance Europe 6.5% Guaranteed European

Medium Term Bonds 27/2/2019 2,019 0.23 £2,350,000 Global Switch 4.375% Guaranteed European Medium

Term Notes 13/12/2022 2,485 0.29 £500,000 Go-Ahead 5.375% Guaranteed Notes 29/9/2017 526 0.06 £4,800,000 Goldman Sachs 4.25% Senior European Medium Term

Notes 29/1/2026 5,060 0.59 £3,175,000 Goldman Sachs 5.5% Guaranteed Subordinated Bonds

12/10/2021 3,419 0.40 £1,050,000 Goldman Sachs 6.125% Guaranteed Senior European

Medium Term Bonds 14/2/2017 1,094 0.13 £1,775,000 Goldman Sachs 6.125% Guaranteed Subordinated

European Medium Term Bonds 14/5/2017 1,853 0.22 £2,350,000 Goldman Sachs 7.125% Guaranteed Senior Bonds

7/8/2025 3,039 0.35 £725,000 Goodman Australia Finance 9.75% Guaranteed European

Medium Term Bonds 16/7/2018 843 0.10 £800,000 Guardian Royal Exchange 6.625% Guaranteed Bonds

21/8/2023 964 0.11 £2,125,000 Hammerson 3.5% Bonds 27/10/2025 2,140 0.25 £1,000,000 Hammerson 6.875% Guaranteed Senior Bonds

31/3/2020 1,173 0.14 £1,700,000 Hiscox 6.125% Bonds 24/11/2045 1,604 0.19 £1,100,000 Holcim GB Finance 8.75% Guaranteed European

Medium Term Notes 24/4/2017 1,181 0.14 £4,250,000 HSBC 6.5% Guaranteed Senior European Medium Term

Bonds 20/5/2024 5,079 0.59 £2,050,000 HSBC 6.5% Guaranteed Subordinated European Medium

Term Bonds 7/7/2023 2,318 0.27 £295,000 HSBC Finance 6.25% Guaranteed Senior European

Medium Term Bonds 19/8/2019 330 0.04



£350,000 Hutchison Whampoa Finance UK 5.625% Guaranteed Bonds 24/11/2017 373 0.04

£1,300,000 Iberdrola Finanzas 6% European Medium Term Notes 1/7/2022 1,555 0.18

£3,200,000 Iberdrola Finanzas 7.375% Guaranteed European Medium Term Bonds 29/1/2024 4,133 0.48

£2,100,000 IBM 2.625% Bonds 5/8/2022 2,159 0.25 £2,450,000 IBM 2.75% Senior European Medium Term Notes

21/12/2020 2,553 0.30 £750,000 Imperial Brands Finance 6.25% Guaranteed European

Medium Term Bonds 4/12/2018 832 0.10 £1,750,000 Imperial Brands Finance 7.75% Guaranteed European

Medium Term Notes 24/6/2019 2,056 0.24 £3,800,000 Imperial Brands Finance 8.125% Guaranteed European

Medium Term Bonds 15/3/2024 5,023 0.58 £6,300,000 Imperial Brands Finance 9% Guaranteed European

Medium Term Bonds 17/2/2022 8,327 0.97 £3,200,000 ING Bank 5.375% Guaranteed Senior European Medium

Term Bonds 15/4/2021 3,672 0.43 £1,975,000 InterContinental Hotels 3.75% European Medium Term

Notes 14/8/2025 1,988 0.23 £2,450,000 InterContinental Hotels 3.875% European Medium Term

Notes 28/11/2022 2,536 0.30 £1,006,000 Intermediate Capital 5% European Medium Term Notes

24/3/2023 948 0.11 £1,000,000 Intesa Sanpaolo 5.25% Guaranteed Senior European

Medium Term Bonds 28/1/2022 1,094 0.13 £2,014,000 Investec Bank 4.5% Senior European Medium Term

Notes 5/5/2022 1,947 0.23 £101,000 Investec Bank 9.625% Subordinated European Medium

Term Notes 17/2/2022 114 0.01 £3,100,000 Johnson & Johnson 5.5% Guaranteed Bonds 6/11/2024 3,911 0.45 £2,500,000 JP Morgan Chase 1.875% European Medium Term Notes

10/2/2020 2,473 0.29 £2,050,000 Kennedy Wilson 3.95% Senior Notes 30/6/2022 2,006 0.23 £3,650,000 Legal & General 5.375% European Medium Term Notes

27/10/2045 3,550 0.41 £1,950,000 Lend Lease Europe Finance 6.125% Guaranteed Bonds

12/10/2021 2,191 0.25 £1,950,000 Linde Finance 5.875% Guaranteed European Medium

Term Bonds 24/4/2023 2,421 0.28



£1,675,000 Lloyds Bank 2.5% European Medium Term Notes 1/6/2022 1,655 0.19

£600,000 Lloyds Bank 2.75% Senior European Medium Term Notes 9/12/2018 611 0.07

£825,000 Lloyds Bank 6.75% Guaranteed Senior European Medium Term Notes 24/10/2018 925 0.11

£3,650,000 Lloyds Bank 7.5% Guaranteed Senior European Medium Term Bonds 15/4/2024 4,767 0.55

£4,700,000 Lloyds Bank 7.625% Guaranteed Subordinated European Medium Term Bonds 22/4/2025 5,558 0.65

£2,000,000 Lloyds Bank 9.625% Subordinated Bonds 6/4/2023 2,531 0.29 £1,500,000 London Power Networks 5.125% Guaranteed Senior

European Medium Term Bonds 31/3/2023 1,733 0.20 £750,000 London Stock Exchange 9.125% Guaranteed Senior

Bonds 18/10/2019 937 0.11 £1,400,000 LVMH Moet Hennessy Louis Vuitton 1.625% European

Medium Term Notes 20/12/2017 1,410 0.16 £1,000,000 Macquarie Bank 3.5% Senior European Medium Term

Notes 18/12/2020 1,042 0.12 £2,315,000 Manchester Airport Funding 4.125% Senior European

Medium Term Notes 2/4/2024 2,477 0.29 £1,150,000 Marks & Spencer 6.125% Guaranteed European Medium

Term Notes 2/12/2019 1,303 0.15 £2,000,000 Marks & Spencer 6.125% Guaranteed Senior European

Medium Term Bonds 6/12/2021 2,311 0.27 £600,000 McDonald’s 6.375% Guaranteed Senior European

Medium Term Bonds 3/2/2020 693 0.08 £600,000 Mediobanca 3.5% European Medium Term Notes

12/6/2018 596 0.07 £1,300,000 MetLife 5.25% Guaranteed Senior Bonds 29/6/2020 1,437 0.17 £2,300,000 MetLife 5.375% Guaranteed Senior Bonds 9/12/2024 2,626 0.31 £3,050,000 Metropolitan Life Global Funding I 2.625% European

Medium Term Notes 5/12/2022 3,029 0.35 £2,250,000 Metropolitan Life Global Funding I 2.875% European

Medium Term Notes 11/1/2023 2,228 0.26 £450,000 Mondelez International 7.25% Guaranteed European

Medium Term Notes 18/7/2018 509 0.06 £1,350,000 Morgan Stanley 5.75% Guaranteed Senior European

Medium Term Bonds 14/2/2017 1,402 0.16 £2,350,000 Motability Operations 5.375% Guaranteed European




£1,750,000 Motability Operations 6.625% Guaranteed European Medium Term Bonds 10/12/2019 2,063 0.24

£1,500,000 National Australia Bank 1.875% Bonds 20/2/2020 1,483 0.17 £1,900,000 National Australia Bank 3.625% Guaranteed Senior

European Medium Term Notes 8/11/2017 1,965 0.23 £4,100,000 National Australia Bank 5.125% Guaranteed Senior

European Medium Term Bonds 9/12/2021 4,620 0.54 £650,000 National Express 6.625% Guaranteed European Medium

Term Bonds 17/6/2020 756 0.09 £825,000 National Grid 1.875% Bonds 6/8/2018 828 0.10 £1,950,000 National Grid 5.875% Guaranteed Senior Bonds 2/2/2024 2,433 0.28 £650,000 National Grid 6% Guaranteed Senior European Medium

Term Bonds 7/6/2017 688 0.08 £1,000,000 National Grid 6.375% Guaranteed Senior European

Medium Term Bonds 3/3/2020 1,186 0.14 £1,400,000 National Grid 7% Guaranteed Bonds 16/12/2024 1,874 0.22 £900,000 National Grid 8.75% Bonds 27/6/2025 1,353 0.16 £3,400,000 Nationwide Building Society 2.25% European Medium

Term Notes 29/4/2022 3,357 0.39 £2,325,000 Nationwide Building Society 5.625% Guaranteed Senior

European Medium Term Notes 9/9/2019 2,611 0.30 £375,000 Nationwide Building Society 8.625% Guaranteed Bonds

29/3/2018 418 0.05 £2,204,000 Natixis 5.875% Guaranteed Senior European Medium

Term Bonds 24/2/2020 2,566 0.30 £500,000 Nestlé 1.625% Guaranteed European Medium Term

Notes 11/12/2017 506 0.06 £1,500,000 Nestle 1.75% European Medium Term Notes 9/12/2020 1,531 0.18 £2,800,000 Nestlé 2.25% European Medium Term Bonds 30/11/2023 2,878 0.33 £2,225,000 Next 5.375% Guaranteed Senior Bonds 26/10/2021 2,560 0.30 £1,700,000 Nomura Europe Finance 5.5% Guaranteed European

Medium Term Notes 23/3/2017 1,766 0.21 £1,500,000 Nordea Bank 2.125% European Medium Term Notes

13/11/2019 1,517 0.18 £2,055,000 Nordea Bank 2.375% Bonds 2/6/2022 2,062 0.24 £300,000 Northern Electric Finance 8.875% Guaranteed Bonds

16/10/2020 388 0.05 £600,000 Northern Gas Networks 5.875% Guaranteed Notes

8/7/2019 678 0.08 £1,300,000 Northern Powergrid 7.25% Guaranteed Senior Bonds

15/12/2022 1,642 0.19



£670,000 Northern Powergrid 9.25% Guaranteed Senior Bonds 17/1/2020 848 0.10

£1,000,000 Northern Powergrid Yorkshire 2.5% Bonds 1/4/2025 982 0.11 £800,000 Northumbrian Water Finance 6% Guaranteed Bonds

11/10/2017 854 0.10 £2,400,000 Northumbrian Water Finance 6.875% Guaranteed

Bonds 6/2/2023 3,013 0.35 £1,300,000 Orange 5.25% Guaranteed Senior European Medium

Term Bonds 5/12/2025 1,522 0.18 £900,000 Orange 7.25% Guaranteed Senior European Medium

Term Bonds 10/11/2020 1,102 0.13 £925,000 Orange 8% Guaranteed Senior European Medium Term

Bonds 20/12/2017 1,029 0.12 £925,000 PACCAR Financial Europe 1.513% European Medium

Term Notes 29/5/2018 924 0.11 £3,250,000 PepsiCo 2.5% European Medium Term Notes 1/11/2022 3,345 0.39 £2,370,000 Petróleos Mexicanos 8.25% Guaranteed European

Medium Term Bonds 2/6/2022 2,677 0.31 £2,000,000 PGH Capital 5.75% Bonds 7/7/2021 2,067 0.24 £2,700,000 PGH Capital 6.625% Bonds 18/12/2025 2,501 0.29 £925,000 Phoenix Natural Gas Finance 5.5% Guaranteed Notes

10/7/2017 969 0.11 £2,725,000 Pohjola Bank 2.5% European Medium Term Note

20/5/2022 2,744 0.32 £900,000 PostNL 7.5% Guaranteed Senior Notes 14/8/2018 1,017 0.12 £300,000 Provident Financial 7% European Medium Term Notes

4/10/2017 309 0.04 £1,025,000 Provident Financial 8% Guaranteed Notes 23/10/2019 1,143 0.13 £1,100,000 Prudential 1.375% Senior European Medium Term

Bonds 19/1/2018 1,097 0.13 £1,200,000 Prudential 1.75% European Medium Term Notes

27/11/2018 1,200 0.14 £2,050,000 Prudential 6.875% Bonds 20/1/2023 2,582 0.30 £3,375,000 Rabobank Nederland 2.25% Bonds 23/3/2022 3,340 0.39 £1,400,000 Rabobank Nederland 3.25% Guaranteed Senior

European Medium Term Notes 1/11/2017 1,445 0.17 £4,150,000 Rabobank Nederland 4% Guaranteed European

Medium Term Notes 19/9/2022 4,491 0.52 £1,050,000 Rabobank Nederland 4.625% Guaranteed Senior

European Medium Term Bonds 13/1/2021 1,162 0.14 £1,750,000 Rabobank Nederland 4.875% Guaranteed Senior

European Medium Term Bonds 10/1/2023 1,987 0.23



£800,000 RCI Banque 2.125% European Medium Term Notes 6/10/2017 798 0.09

£800,000 RCI Banque 3% Senior European Medium Term Notes 9/5/2019 812 0.09

£1,125,000 RCI Banque 3.25% Senior European Medium Term Notes 25/4/2018 1,147 0.13

£900,000 RELX 2.75% Notes 1/8/2019 921 0.11 £1,300,000 RELX 7% Guaranteed Notes 11/12/2017 1,417 0.16 £1,250,000 Roche Finance Europe 5.375% Guaranteed European

Medium Term Bonds 29/8/2023 1,541 0.18 £1,575,000 Rolls-Royce 6.75% Guaranteed Notes 30/4/2019 1,802 0.21 £400,000 Royal Bank of Scotland 6% Guaranteed Senior European

Medium Term Notes 17/5/2017 421 0.05 £2,059,000 Royal Bank of Scotland 6.625% Guaranteed Senior

European Medium Term Bonds 17/9/2018 2,285 0.27 £1,250,000 Royal Bank of Scotland 6.875% Guaranteed Senior


European Medium Term Bonds 29/4/2024 2,761 0.32 £1,725,000 Royal Dutch Shell 2% European Medium Term Bonds

20/12/2019 1,722 0.20 £2,400,000 RSA Insurance 5.125% Guaranteed Bonds 10/10/2045 2,146 0.25 £3,050,000 RWE Finance 5.5% Guaranteed European Medium Term

Bonds 6/7/2022 3,360 0.39 £3,300,000 RWE Finance 5.625% Guaranteed European Medium

Term Bonds 6/12/2023 3,628 0.42 £3,750,000 RWE Finance 6.5% Guaranteed European Medium Term

Bonds 20/4/2021 4,292 0.50 £700,000 Safeway 6.125% Guaranteed Bonds 17/12/2018 759 0.09 £1,950,000 Saint-Gobain 5.625% Guaranteed Senior European

Medium Term Bonds 15/11/2024 2,244 0.26 £3,225,000 Santander UK 3.625% European Medium Term Notes

14/1/2026 3,136 0.36 £2,750,000 Scentre Management 2.375% Bonds 8/4/2022 2,710 0.32 £1,050,000 Scotland Gas Network 4.75% Guaranteed Senior

European Medium Term Bonds 21/2/2017 1,083 0.13 £1,550,000 Scottish Power 6.75% Bonds 29/5/2023 1,927 0.22 £600,000 Scottish Power UK 8.375% Guaranteed Senior Bonds

20/2/2017 639 0.07 £5,550,000 Scottish Widows 5.5% Bonds 16/6/2023 5,522 0.64 £600,000 Segro 5.5% Guaranteed Senior Bonds 20/6/2018 647 0.08 £650,000 Segro 5.625% Guaranteed Senior Bonds 7/12/2020 744 0.09



£675,000 Segro 6% Guaranteed Senior Bonds 30/9/2019 763 0.09 £1,950,000 Segro 6.75% Guaranteed Senior Bonds 23/11/2021 2,377 0.28 £1,550,000 Segro 6.75% Guaranteed Senior Bonds 23/2/2024 1,951 0.23 £900,000 Segro 7% Guaranteed Senior Bonds 14/3/2022 1,116 0.13 £3,200,000 Severn Trent Utilities Finance 3.625% European Medium

Term Bonds 16/1/2026 3,353 0.39 £1,375,000 Severn Trent Utilities Finance 6% Guaranteed European

Medium Term Notes 22/1/2018 1,483 0.17 £1,950,000 Severn Trent Utilities Finance 6.125% Guaranteed Bonds

26/2/2024 2,401 0.28 £1,850,000 SGSP Australia Assets 5.125% Guaranteed European

Medium Term Bonds 11/2/2021 2,063 0.24 £2,300,000 Siemens Financieringsmaatschappij 2.75% Medium

Term Notes 10/9/2025 2,323 0.27 £1,050,000 Skandinaviska Enskilda Banken 3% Senior European

Medium Term Notes 18/12/2020 1,102 0.13 £950,000 Société Générale 5% Guaranteed Senior European

Medium Term Notes 20/12/2018 1,030 0.12 £850,000 Société Générale 5.4% Guaranteed Subordinated

European Medium Term Bonds 30/1/2018 892 0.10 £3,200,000 Society of Lloyd’s 4.75% Subordinated Bonds 30/10/2024 3,148 0.37 £2,400,000 Southern Gas Network 2.5% Senior European Medium

Term Bonds 3/2/2025 2,316 0.27 £550,000 Southern Gas Network 4.875% Guaranteed European

Medium Term Bonds 21/12/2020 621 0.07 £1,850,000 Southern Gas Network 4.875% Guaranteed European

Medium Term Notes 5/10/2023 2,108 0.25 £1,075,000 Southern Gas Network 5.125% Guaranteed European

Medium Term Notes 2/11/2018 1,169 0.14 £2,700,000 SSE 3.875% Perpetual Bonds 2,472 0.29 £2,400,000 SSE 4.25% Guaranteed Senior European Medium Term

Bonds 14/9/2021 2,635 0.31 £1,650,000 SSE 5% Guaranteed Senior European Medium Term

Notes 1/10/2018 1,785 0.21 £1,700,000 SSE 5.875% Guaranteed Senior Bonds 22/9/2022 2,036 0.24 £2,350,000 Stagecoach 4% Bonds 29/9/2025 2,361 0.27 £2,400,000 Standard Chartered 7.75% Guaranteed Subordinated

European Medium Term Bonds 3/4/2018 2,592 0.30 £900,000 Svenska Handelsbanken 1.875% Senior European

Medium Term Notes 29/8/2017 905 0.11 £1,600,000 Svenska Handelsbanken 2.375% European Medium

Term Notes 18/1/2022 1,605 0.19



£2,050,000 Svenska Handelsbanken 2.75% European Medium Term Notes 5/12/2022 2,080 0.24

£1,400,000 Svenska Handelsbanken 3% Senior European Medium Term Notes 20/11/2020 1,459 0.17

£1,350,000 Svenska Handelsbanken 4% Guaranteed Senior Notes 18/1/2019 1,436 0.17

£850,000 Swedbank 1.625% Bonds 15/4/2019 850 0.10 £725,000 Talisman Energy 6.625% Guaranteed Senior Bonds

5/12/2017 763 0.09 £550,000 Tate & Lyle International Finance 6.75% Guaranteed

Notes 25/11/2019 636 0.07 £3,650,000 TDC 5.625% Guaranteed Senior European Medium Term

Bonds 23/2/2023 3,994 0.46 £4,200,000 Telefónica Emisiones 5.289% Guaranteed European

Medium Term Bonds 9/12/2022 4,613 0.54 £2,301,000 Telefónica Emisiones 5.375% Guaranteed European


Medium Term Notes 12/3/2020 2,851 0.33 £525,000 Textron 6.625% Guaranteed Senior European Medium

Term Bonds 7/4/2020 587 0.07 £2,050,000 Total Capital 3.875% Guaranteed European Medium

Term Notes 14/12/2018 2,167 0.25 £925,000 Total Capital 4.25% Guaranteed European Medium Term

Notes 8/12/2017 969 0.11 £850,000 Total Capital International 2.25% European Medium

Term Notes 17/12/2020 860 0.10 £2,600,000 Total Capital International 2.25% European Medium Term

Notes 9/6/2022 2,596 0.30 £1,225,000 Toyota Motor Credit 4% Guaranteed Senior European

Medium Term Notes 7/12/2017 1,282 0.15 £950,000 Transport for London 1.25% European Medium Term

Notes 21/11/2017 953 0.11 £2,575,000 Transport for London 2.125% Bonds 24/4/2025 2,567 0.30 £3,100,000 Transport for London 2.25% Guaranteed European

Medium Term Notes 9/8/2022 3,197 0.37 £2,925,000 UBS 6.625% Guaranteed Senior European Medium Term

Notes 11/4/2018 3,239 0.38 £750,000 Unilever 2% Guaranteed European Medium Term Notes

19/12/2018 770 0.09 £1,250,000 Unilever 4.75% Guaranteed European Medium Term

Notes 16/6/2017 1,310 0.15



£500,000 United Utilities Water 5.375% Guaranteed Senior European Medium Term Bonds 14/5/2018 541 0.06

£2,325,000 United Utilities Water 5.75% Guaranteed Senior European Medium Term Bonds 25/3/2022 2,769 0.32

£1,120,000 Vattenfall 6.125% Guaranteed Senior European Medium Term Bonds 16/12/2019 1,279 0.15

£275,000 Vector 7.625% Guaranteed European Medium Term Bonds 14/1/2019 311 0.04

£4,551,000 Verizon Communications 4.073% Senior Notes 18/6/2024 4,850 0.56 £1,000,000 Virgin Money 2.25% Guaranteed Medium Term Notes

21/4/2020 983 0.11 £2,000,000 Vodafone 5.375% Guaranteed Senior European Medium

Term Notes 5/12/2017 2,115 0.25 £1,800,000 Vodafone 5.625% Guaranteed Senior European Medium

Term Bonds 4/12/2025 2,084 0.24 £1,325,000 Vodafone 8.125% Guaranteed Senior European Medium

Term Notes 26/11/2018 1,536 0.18 £1,050,000 Volkswagen 1.75% Bonds 17/4/2020 1,013 0.12 £875,000 Volkswagen Financial Services 1.75% Guaranteed

European Medium Term Notes 21/8/2017 868 0.10 £900,000 Volkswagen Financial Services 2.375% Guaranteed

European Medium Term Notes 13/11/2018 897 0.10 £1,200,000 Volkswagen Financial Services 2.625% Guaranteed

European Medium Term Notes 22/7/2019 1,199 0.14 £950,000 Volkswagen Financial Services 2.75% Guaranteed

European Medium Term Notes 2/10/2020 952 0.11 £1,525,000 Wales & West Utilities Finance 4.625% Guaranteed

Bonds 13/12/2023 1,729 0.20 £1,750,000 Wales & West Utilities Finance 6.25% Guaranteed

Bonds 30/11/2021 2,120 0.25 £1,425,000 Walgreens Boots Alliance 2.875% Bonds 20/11/2020 1,426 0.17 £2,000,000 Walgreens Boots Alliance 3.6% Bonds 20/11/2025 1,965 0.23 £1,940,000 Wellcome Trust Finance 4.75% Guaranteed Bonds

28/5/2021 2,264 0.26 £4,850,000 Wells Fargo 2.125% European Medium Term Note

22/4/2022 4,721 0.55 £5,000,000 Wells Fargo 5.25% Guaranteed Subordinated European

Medium Term Bonds 1/8/2023 5,560 0.65 £2,000,000 Wessex Water 4% Guaranteed Bonds 24/9/2021 2,178 0.25 £1,000,000 Western Power 9.25% Bonds 9/11/2020 1,310 0.15 £3,150,000 Western Power Distribution 3.625% Bonds 6/11/2023 3,184 0.37



£4,200,000 Western Power Distribution 5.25% Senior European Medium Term Bonds 17/1/2023 4,826 0.56

£1,550,000 Western Power Distribution 6% European Medium Term Notes 9/5/2025 1,927 0.22

£2,600,000 Western Power Distribution West Midlands 3.875% Senior European Medium Term Notes 17/10/2024 2,777 0.32

£2,600,000 Westpac Banking 2.625% European Medium Term Notes 14/12/2022 2,591 0.30

£2,300,000 Westpac Banking 5% Guaranteed Senior European Medium Term Notes 21/10/2019 2,537 0.30

£650,000 Westpac Securities 2.5% European Medium Term Notes 13/1/2021 644 0.07

£2,950,000 Whitbread 3.375% Bonds 16/10/2025 2,936 0.34 £2,750,000 Wm Morrison Supermarkets 4.625% Guaranteed

European Medium Term Bonds 8/12/2023 2,720 0.32 £1,225,000 WPP 6% Guaranteed Bonds 4/4/2017 1,280 0.15 £875,000 WPP Finance 6.375% Guaranteed Bonds 6/11/2020 1,035 0.12 £1,875,000 Xstrata Canada Financial 7.375% Guaranteed European

Medium Term Bonds 27/5/2020 1,798 0.21 £850,000 Yorkshire Building Society 4.125% European Medium

Term Notes 20/11/2024 829 0.10

731,212 85.09

UK Sterling Denominated Variable Rate Corporate Bonds – 12.76%; 2015 14.59% £1,923,000 America Movil 6.375% Subordinated Floating Rate Notes

6/9/2073 1,895 0.22 £3,250,000 Assicurazioni Generali 6.416% Guaranteed Perpetual

Subordinated Floating Rate Bonds 2,930 0.34 £1,725,000 Aviva 5.9021% Guaranteed Perpetual Subordinated

Floating Rate Bonds 1,651 0.19 £5,050,000 Aviva 6.125% Guaranteed Perpetual Floating Rate Bonds 4,850 0.56 £2,750,000 Aviva 6.625% Guaranteed Subordinated Floating Rate

European Medium Term Bonds 3/6/2041 2,876 0.33 £725,000 AXA 6.772% Guaranteed Perpetual Subordinated

Floating Rate European Medium Term Bonds 747 0.09 £300,000 Barclays 6.375% Perpetual Variable Rate Bonds 302 0.04 £1,675,000 Barclays 6.75% Guaranteed Subordinated Floating Rate

European Medium Term Bonds 16/1/2023 1,738 0.20 £650,000 Barclays 7.125% Guaranteed Perpetual Subordinated

Floating Rate Bonds 689 0.08 £525,000 Barclays 8.25% Guaranteed Perpetual Subordinated

Floating Rate European Medium Term Bonds 557 0.06



£2,150,000 BG Energy Capital 6.5% Guaranteed Floating Rate European Medium Term Notes 30/11/2072 2,219 0.26

£950,000 BNP Paribas 7.436% Guaranteed Perpetual Subordinated Floating Rate Bonds 980 0.11

£1,200,000 Bupa Finance 6.125% Guaranteed Perpetual Floating Rate Bonds 1,229 0.14

£2,000,000 CNP Assurances 7.375% Floating Rate Bonds 30/9/2041 2,142 0.25 £430,000 Commonwealth Bank of Australia 4.875% Floating Rate

European Medium Term Bonds 19/12/2023 453 0.05 £400,000 Crédit Agricole 5% Perpetual European Medium Term

Floating Rate Notes 400 0.05 £1,225,000 Danske Bank 5.375% Guaranteed Subordinated Floating

Rate European Medium Term Bonds 29/9/2021 1,246 0.14 £3,225,000 Direct Line Insurance 9.25% Guaranteed Floating Rate

Bonds 27/4/2042 3,791 0.44 £1,270,000 DNB Bank 6.0116% Guaranteed Perpetual Subordinated

Floating Rate Bonds 1,269 0.15 £7,700,000 Électricité de France 6% Perpetual Subordinated

Floating Rate Bonds 6,535 0.76 £1,550,000 ELM 6.3024% Guaranteed Perpetual Floating Rate

European Medium Term Bonds 1,555 0.18 £1,000,000 ENGIE 4.625% Perpetual Floating Rate Notes 1,003 0.12 £750,000 Friends Life 6.875% Guaranteed Perpetual Floating

Rate Bonds 759 0.09 £1,000,000 HSBC 5% Guaranteed Subordinated Floating Rate

European Medium Term Notes 20/3/2023 1,027 0.12 £2,150,000 HSBC 5.375% Guaranteed Subordinated Floating Rate

European Medium Term Bonds 4/11/2030 2,215 0.26 £1,000,000 HSBC 5.862% Guaranteed Perpetual Floating Rate Bonds 995 0.12 £3,250,000 HSBC 6.375% Guaranteed Subordinated Floating Rate

European Medium Term Bonds 18/10/2022 3,393 0.39 £2,874,000 ING Bank 6.875% Guaranteed Floating Rate European

Medium Term Bonds 29/5/2023 3,098 0.36 £1,325,000 Legal & General 5.875% Guaranteed Perpetual

Subordinated Floating Rate European Medium Term Bonds 1,323 0.15

£1,900,000 Legal & General 6.385% Guaranteed Perpetual Subordinated Floating Rate Bonds 1,897 0.22

£2,100,000 Legal & General 10% Guaranteed Subordinated Floating Rate European Medium Term Bonds 23/7/2041 2,606 0.30

£2,050,000 Liverpool Victoria Friendly Society 6.5% Subordinated Floating Rate Notes 22/5/2043 1,909 0.22



£1,025,000 Lloyds Bank 5.75% Guaranteed Subordinated Floating Rate European Medium Term Bonds 9/7/2025 1,068 0.12

£2,700,000 Marks & Spencer 4.75% European Medium Term Bonds 12/6/2025 2,857 0.33

£2,800,000 Munich Re 6.625% Guaranteed Subordinated Floating Rate European Medium Term Notes 26/5/2042 3,099 0.36

£1,170,000 Munich Re 7.625% Guaranteed Subordinated Floating Rate Bonds 21/6/2028 1,279 0.15

£1,100,000 National Australia Bank 7.125% Variable Rate Subordinated European Medium Term Bonds 12/6/2023 1,192 0.14

£1,175,000 National Capital Trust 5.62% Guaranteed Perpetual Floating Rate Bonds 1,172 0.14

£6,500,000 NGG Finance 5.625% Floating Rate Notes 18/6/2073 6,413 0.75 £3,950,000 Orange 5.75% Perpetual European Medium Term Notes 3,797 0.44 £4,200,000 Orange 5.875% Perpetual Subordinated Floating Rate

Notes 4,086 0.48 £1,500,000 Prudential 11.375% Guaranteed Subordinated Floating

Rate European Medium Term Bonds 29/5/2039 1,828 0.21 £2,100,000 QBE Capital Funding 7.5% Variable Rate Guaranteed

Bonds 24/5/2041 2,205 0.26 £1,275,000 Rabobank Capital Funding Trust IV 5.556% Guaranteed

Perpetual Floating Rate Bonds 1,275 0.15 £2,600,000 RL Finance 6.125% Guaranteed Floating Rate Notes

30/11/2043 2,608 0.30 £1,075,000 RSA Insurance 6.701% Guaranteed Perpetual Floating

Rate Bonds 1,091 0.13 £1,975,000 RSA Insurance 9.375% Guaranteed Floating Rate Bonds

20/5/2039 2,256 0.26 £350,000 Santander UK 9.625% Guaranteed Subordinated Floating

Rate European Medium Term Bonds 30/10/2023 403 0.05 £1,275,000 Society of Lloyd’s 7.421% Guaranteed Perpetual

Subordinated Floating Rate Bonds 1,286 0.15 £1,577,000 Standard Chartered 5.375% Perpetual Subordinated

Floating Rate European Medium Term Bonds 1,417 0.16 £1,200,000 Standard Chartered 7.75% Guaranteed Perpetual

Floating Rate Subordinated European Medium Term Bonds 1,222 0.14

£3,250,000 Standard Life 5.5% Variable Rate European Medium Term Bonds 4/12/2042 3,267 0.38

£1,220,000 Standard Life 6.546% Guaranteed Perpetual Floating Rate Bonds 1,242 0.14



£275,000 Suncorp Insurance Funding 6.25% Medium Term Floating Rate Notes 13/6/2027 273 0.03

£438,000 UBS Jersey Branch 6.375% Subordinated Floating Rate European Medium Term Bonds 19/11/2024 494 0.06

£600,000 Wales & West Utilities Finance 6.75% Guaranteed Floating Rate European Medium Term Notes 17/12/2036 666 0.08

£2,970,000 Zurich Finance (UK) Variable Rate 6.625% Guaranteed Perpetual Notes 3,099 0.36

109,874 12.76

Portfolio of investments 841,086 97.85

CASH eQUIVALeNt

Short-term Money Market Funds – 0.30%; 2015 0.64% 2,619,097 Institutional Cash Series plc – Institutional Sterling

Liquidity Fund* 2,619 0.30



Unless otherwise stated, all securities are either listed on a recognised exchange or traded on an eligible securities market.*Managed by related party.Note: comparative figures show percentages for each category of holding at 28 February 2015.


Corporate Bond 1-10 Year portfolio Statement continued Corporate Bond 1-10 Year Statement of total Return for the year ended 29 February 2016

Notes £000’s


£000’s £000’s


£000’s

Income


Revenue 4 32,330 31,103

Expenses 5 (732) (758)

Interest payable and similar charges 6 – (1)


Taxation 7 – –


Total return before distributions (653) 60,386

Distributions 8 (31,598) (30,344)


Corporate Bond 1-10 Year Statement of Change in Net Assets Attributable to Unitholders for the year ended 29 February 2016

£000’s


£000’s £000’s


£000’s




(1,940) 94,356





Corporate Bond 1-10 Year Balance Sheet at 29 February 2016

Notes

29.2.2016£000’s

28.2.2015£000’s

Assets:

Fixed assets


Current assets

– Debtors 9 19,077 25,582

– Cash and bank balances 494 802


Total assets 863,276 878,075

Liabilities:

Creditors

– Distributions payable (3,127) (3,041)

– Other creditors 11 (566) (6,255)




Corporate Bond 1-10 Year Notes to Financial Statements for the year ended 29 February 2016





£000’s


£000’s





4. Revenue


£000’s


£000’s



Interest from UK fixed interest securities 16,803 16,088





5. Expenses


£000’s


£000’s


– Manager’s charge 590 612


591 614

Other expenses:

– Audit fee 7 7



141 144

Total expenses 732 758



£000’s


£000’s

Interest on bank overdrafts – 1

7. Taxation(a) Analysis of tax charge


£000’s


£000’s

Corporation tax – –

Total current tax charge [see note 7(b)] – –

Corporate Bond 1-10 Year Notes to Financial Statements continued



£000’s


£000’s



Effects of:

Tax deductible interest distributions (6,320) (6,069)

Total current tax charge for the year [see note 7(a)] – –

8. Distributions


£000’s


£000’s



31,315 30,984





9. Debtors

29.2.2016 £000’s

28.2.2015£000’s

Accrued revenue 19,016 19,182

Amounts receivable for issue of units 61 112

Sales awaiting settlement – 6,288




29.2.2016 £000’s

28.2.2015£000’s


Total cash equivalents 2,619 5,533

11. Other Creditors

29.2.2016 £000’s

28.2.2015 £000’s


Accrued FCA fee 1 1

Accrued Manager’s charge 92 153






Total other creditors 566 6,255








The collateral is registered and held in the name of BlackRock Advisors (UK) Limited on behalf of the Fund in any or all of the following collateral agents and central securities depositaries: Bank of New York Mellon and Euroclear, depending on the type of collateral the counterparty needs to give as per the schedule in order to cover the required value of exposure.




29.2.2016£000’s

28.2.2015£000’s

Revenue earned during the year 19 22 Value of securities on loan at the year end 24,996 9,887 Value of collateral held on behalf of the Fund at the year end 27,087 10,589

The Fund’s securities lending borrowing counterparties are Barclays Bank Plc, BNP Paribas Arbitrage, Citigroup, HSBC and Morgan Stanley & Co.



















£000’s %Taxes

£000’s %


Total purchases 257,383 – –





£000’s %Taxes

£000’s %

Debt instruments 219,394 2 – – –



Total transaction costs 2 –







£000’s %Taxes

£000’s %


Total purchases 309,287 1 –





£000’s %Taxes

£000’s %












A AccumulationUnits




Balance at the beginning of the year 1,255,004 214,932,105 448,995,363 18,651,110

Issued during the year 55,773 13,835,271 38,797,440 12,720,730

Cancelled during the year (366,813) (42,284,868) (21,467,360) (2,288,228)

Converted during the year (522,926) (749) – 522,024

Balance at the end of the year 421,038 186,481,759 466,325,443 29,605,636




About the Fund

The BlackRock Corporate Bond Tracker Fund (the “Fund”) is a sub-fund of BlackRock Collective Investment Funds, a UCITS scheme established under the COLL Sourcebook. The Fund was authorised by the Financial Conduct Authority on 28 April 2010 and was launched on 30 June 2010.


The aim of the Fund is to seek to achieve a total return for investors by tracking closely the performance of the Markit iBoxx GBP Non-Gilts Overall TR Index by investing in fixed income securities contained in the Index. Investment will be made directly into constituent issues and via other transferable securities giving exposure to such issues. The Fund may also invest in permitted money-market instruments, permitted deposits and units in collective investment schemes. Derivatives and forward transactions may be used for the purposes of efficient portfolio management.




Unit Class


L Income 1 2 3 4 5 6 7


X Income 1 2 3 4 5 6 7


D Income 1 2 3 4 5 6 7


H Income 1 2 3 4 5 6 7







BlackRock Corporate Bond tracker Fund


Performance Table






BlackRock Corporate Bond Tracker Fund -1.4% +12.3% +34.3%

Markit iBoxx GBP Non-Gilts Overall TR Index* -0.3% +15.0% +38.5%

All Fund figures quoted are based on bid-to-bid dealing prices (the price at which units are sold) and are calculated net of fees. Performance returns are cumulative. All returns are in Sterling.* Figures from Index Vendor. Please note that the Fund’s benchmark index, the Markit iBoxx GBP Non-Gilts Overall TR Index was previously referred to as the iBoxx £ Non Gilts Overall TR Index. This is a clarificatory update and does not represent a change in the Fund’s benchmark index. # D Accumulation class was renamed as L Accumulation class during June 2012.


Corporate Bond tracker Fund








to 29.2.2016




-1.38%* -0.30% -1.08%



Corporate Bond tracker Fund continued












Corporate Bond tracker Investment Report

Summary of Performance over the PeriodDuring the period from 1 March 2015 to 29 February 2016, the Fund returned -1.4%,* compared with its benchmark, the Markit iBoxx GBP Non-Gilts Overall TR Index, which returned -0.3%. Before costs and after adjusting for a) the difference in valuation point of the Fund and the pricing point of the benchmark index, and b) the tax incurred by the Fund which is not included in the benchmark index, the performance of the Fund relative to its benchmark index has been in line with expectations. Over the six-month period to 29 February 2016, the Fund returned 0.8%,* underperforming its benchmark, which returned 1.7%.


Corporate-bond markets ended the year largely flat. Although US policymakers increased interest rates, signs of slowing global growth pushed out expectations of more rate hikes. This, combined with ongoing low rates in the UK and Europe, lent some support to credit markets. Late in the period, European credit spreads (the yield differential between investment grade and government bonds) widened, with financial bonds particularly affected.

The Fund is structured to track the Markit iBoxx GBP Non-Gilts Overall TR Index closely, so its portfolio remains positioned so that its risk characteristics are similar to those of the Index.

March 2016


Comparative Table





to 28.2.2014




to 28.2.2014











performance


other information












Corporate Bond tracker performance Record


Comparative Table





to 28.2.2014




to 28.2.2014











performance


other information

Closing net asset value (£000’s) 893,212 757,594 572,834 – 26,093 28,961

Closing number of units 656,586,924 549,723,052 460,473,275 90 22,651,285 27,118,119










Corporate Bond tracker performance Record continued

Comparative Table

X Accumulation Units D Income Units




to 28.2.2014




to 28.2.2014











performance


other information













Comparative Table

D Accumulation Units H Income Units




to 28.2.2014



to 28.2.2014










After direct transaction costs of 0.00 0.00 0.00 0.00 0.00

performance


other information

Closing net asset value (£000’s) 104,310 101,974 40,403 2,418 758

Closing number of units 77,615,747 74,913,259 32,892,939 2,342,503 707,020











Corporate Bond tracker performance Record continued

Comparative Table

H Accumulation Units




to 28.2.2014




Return before operating charges (1.21) 10.72 (0.88)


Return after operating charges (1.34) 10.60 (1.00)



After direct transaction costs of 0.00 0.00 0.00

performance

Return after charges1 (1.22)% 10.71% (1.00)%

other information

Closing net asset value (£000’s) 54,901 7,326 –

Closing number of units 50,711,312 6,685,056 100











Final Distribution in Pence per Unit

A Accumulation ClassGroup 1 – Units purchased prior to 1 September 2015 Group 2 – Units purchased 1 September 2015 to 29 February 2016

L Income ClassGroup 1 – Units purchased prior to 1 February 2016 Group 2 – Units purchased 1 February 2016 to 29 February 2016

L Accumulation ClassGroup 1 – Units purchased prior to 1 September 2015 Group 2 – Units purchased 1 September 2015 to 29 February 2016

X Income ClassGroup 1 – Units purchased prior to 1 September 2015 Group 2 – Units purchased 1 September 2015 to 29 February 2016

X Accumulation ClassGroup 1 – Units purchased prior to 1 September 2015 Group 2 – Units purchased 1 September 2015 to 29 February 2016

D Income ClassGroup 1 – Units purchased prior to 1 February 2016 Group 2 – Units purchased 1 February 2016 to 29 February 2016

D Accumulation ClassGroup 1 – Units purchased prior to 1 September 2015 Group 2 – Units purchased 1 September 2015 to 29 February 2016

H Income ClassGroup 1 – Units purchased prior to 1 September 2015 Group 2 – Units purchased 1 September 2015 to 29 February 2016

H Accumulation ClassGroup 1 – Units purchased prior to 1 September 2015 Group 2 – Units purchased 1 September 2015 to 29 February 2016

A AccumulationUnits

L Income Units

L AccumulationUnits

X IncomeUnits

X AccumulationUnits

D IncomeUnits

D AccumulationUnits

H IncomeUnits

H AccumulationUnits

Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2

Gross Revenue 1.9084 0.7973 0.3109 0.2136 2.1426 0.8751 1.8973 1.5900 2.0613 1.0691 0.3109 0.1789 2.1499 1.1445 1.6970 0.6475 1.7585 0.8810

Income tax 0.3817 0.1595 0.0622 0.0427 0.4285 0.1750 0.3795 0.3180 0.4123 0.2138 0.0622 0.0358 0.4300 0.2289 0.3394 0.1295 0.3517 0.1762

Net revenue (interest) 1.5267 0.6378 0.2487 0.1709 1.7141 0.7001 1.5178 1.2720 1.6490 0.8553 0.2487 0.1431 1.7199 0.9156 1.3576 0.5180 1.4068 0.7048

Equalisation† – 0.8889 – 0.0778 – 1.0140 – 0.2458 – 0.7937 – 0.1056 – 0.8043 – 0.8396 – 0.7020

Distribution payable 30.4.2016^ 1.5267 1.5267 0.2487 0.2487 1.7141 1.7141 1.5178 1.5178 1.6490 1.6490 0.2487 0.2487 1.7199 1.7199 1.3576 1.3576 1.4068 1.4068

Distribution paid 30.4.2015§ 1.5776 1.5776 0.2547 0.2547 1.7605 1.7605 1.5820 1.5820 1.6863 1.6863 0.2545 0.2545 1.7642 1.7642 1.4236 1.4236 1.4416 1.4416

^ L Income and D Income classes paid 31.3.2016. § L Income and D Income classes paid 31.3.2015.

Corporate Bond tracker Distribution tables for the year ended 29 February 2016

Eleventh Distribution in Pence per Unit

L Income ClassGroup 1 – Units purchased prior to 1 January 2016Group 2 – Units purchased 1 January 2016 to 31 January 2016

D Income ClassGroup 1 – Units purchased prior to 1 January 2016Group 2 – Units purchased 1 January 2016 to 31 January 2016

L IncomeUnits

D IncomeUnits

Group 1 Group 2 Group 1 Group 2

Gross Revenue 0.3331 0.3331 0.3330 0.1473

Income tax 0.0666 0.0666 0.0666 0.0295

Net revenue (interest) 0.2665 0.2665 0.2664 0.1178

Equalisation† – 0.0000 – 0.1486

Distribution paid 29.2.2016 0.2665 0.2665 0.2664 0.2664


Tenth Distribution in Pence per Unit

L Income ClassGroup 1 – Units purchased prior to 1 December 2015 Group 2 – Units purchased 1 December 2015 to 31 December 2015

D Income ClassGroup 1 – Units purchased prior to 1 December 2015 Group 2 – Units purchased 1 December 2015 to 31 December 2015

L IncomeUnits

D IncomeUnits


Gross Revenue 0.3329 0.1373 0.3328 0.1610

Income tax 0.0666 0.0275 0.0666 0.0322


Equalisation† – 0.1565 – 0.1374




Ninth Distribution in Pence per Unit

L Income ClassGroup 1 – Units purchased prior to 1 November 2015Group 2 – Units purchased 1 November 2015 to 30 November 2015

D Income ClassGroup 1 – Units purchased prior to 1 November 2015Group 2 – Units purchased 1 November 2015 to 30 November 2015

L IncomeUnits

D IncomeUnits


Gross Revenue 0.3251 0.3251 0.3255 0.1389

Income tax 0.0650 0.0650 0.0651 0.0278


Equalisation† – 0.0000 – 0.14933



Eighth Distribution in Pence per Unit

L Income ClassGroup 1 – Units purchased prior to 1 October 2015Group 2 – Units purchased 1 October 2015 to 31 October 2015

D Income ClassGroup 1 – Units purchased prior to 1 October 2015Group 2 – Units purchased 1 October 2015 to 31 October 2015

L IncomeUnits

D IncomeUnits


Gross Revenue 0.3324 0.1035 0.3323 0.1603

Income tax 0.0665 0.0207 0.0665 0.0321


Equalisation† – 0.1831 – 0.1376



Corporate Bond tracker Distribution tables continued

Seventh Distribution in Pence per Unit

L Income ClassGroup 1 – Units purchased prior to 1 September 2015Group 2 – Units purchased 1 September 2015 to 30 September 2015

D Income ClassGroup 1 – Units purchased prior to 1 September 2015Group 2 – Units purchased 1 September 2015 to 30 September 2015

L IncomeUnits

D IncomeUnits


Gross Revenue 0.3186 0.2229 0.3198 0.1607

Income tax 0.0637 0.0446 0.0640 0.0321


Equalisation† – 0.0766 – 0.1272




Sixth Distribution in Pence per Unit

A Accumulation Class Group 1 – Units purchased prior to 1 March 2015 Group 2 – Units purchased 1 March 2015 to 31 August 2015

L Income ClassGroup 1 – Units purchased prior to 1 August 2015 Group 2 – Units purchased 1 August 2015 to 31 August 2015

L Accumulation Class Group 1 – Units purchased prior to 1 March 2015 Group 2 – Units purchased 1 March 2015 to 31 August 2015

X Income ClassGroup 1 – Units purchased prior to 1 March 2015 Group 2 – Units purchased 1 March 2015 to 31 August 2015

X Accumulation ClassGroup 1 – Units purchased prior to 1 March 2015 Group 2 – Units purchased 1 March 2015 to 31 August 2015

D Income ClassGroup 1 – Units purchased prior to 1 August 2015 Group 2 – Units purchased 1 August 2015 to 31 August 2015

D Accumulation ClassGroup 1 – Units purchased prior to 1 March 2015 Group 2 – Units purchased 1 March 2015 to 31 August 2015

H Income Class Group 1 – Units purchased prior to 1 March 2015 Group 2 – Units purchased 1 March 2015 to 31 August 2015

H Accumulation Class Group 1 – Units purchased prior to 1 March 2015 Group 2 – Units purchased 1 March 2015 to 31 August 2015

A AccumulationUnits

L Income Units

L AccumulationUnits

X IncomeUnits

X AccumulationUnits

D IncomeUnits

D AccumulationUnits

H IncomeUnits

H AccumulationUnits


Gross Revenue 1.9078 1.2090 0.3356 0.3356 2.1399 1.5314 1.8939 1.2439 2.0586 1.2364 0.3356 0.1271 2.1466 1.0800 1.6718 0.7301 1.7561 0.8189

Income tax 0.3816 0.2418 0.0671 0.0671 0.4280 0.3063 0.3788 0.2488 0.4117 0.2473 0.0671 0.0254 0.4293 0.2160 0.3344 0.1460 0.3512 0.1638


Equalisation† – 0.5590 – 0.0000 – 0.4868 – 0.5200 – 0.6578 – 0.1668 – 0.8533 – 0.7533 – 0.7498

Distribution paid 31.10.2015^ 1.5262 1.5262 0.2685 0.2685 1.7119 1.7119 1.5151 1.5151 1.6469 1.6469 0.2685 0.2685 1.7173 1.7173 1.3374 1.3374 1.4049 1.4049

Distribution paid 31.10.2014§ 1.6343 1.6343 0.2889 0.2889 1.8055 1.8055 1.6401 1.6401 1.7224 1.7224 0.2880 0.2880 1.8051 1.8051 1.2500 1.2500 1.3858 1.3858

^ L Income and D Income classes paid 30.9.2015.§ L Income D Income class paid 30.9.2014.


Fifth Distribution in Pence per Unit

L Income ClassGroup 1 – Units purchased prior to 1 July 2015 Group 2 – Units purchased 1 July 2015 to 31 July 2015

D Income ClassGroup 1 – Units purchased prior to 1 July 2015 Group 2 – Units purchased 1 July 2015 to 31 July 2015

L IncomeUnits

D IncomeUnits


Gross Revenue 0.3326 0.3326 0.3325 0.1700

Income tax 0.0665 0.0665 0.0665 0.0340


Equalisation† – 0.0000 – 0.1300



Fourth Distribution in Pence per Unit

L Income ClassGroup 1 – Units purchased prior to 1 June 2015 Group 2 – Units purchased 1 June 2015 to 30 June 2015

D Income ClassGroup 1 – Units purchased prior to 1 June 2015 Group 2 – Units purchased 1 June 2015 to 30 June 2015

L IncomeUnits

D IncomeUnits


Gross Revenue 0.3184 0.3184 0.3184 0.1544

Income tax 0.0637 0.0637 0.0637 0.0309


Equalisation† – 0.0000 – 0.1312




Third Distribution in Pence per Unit

L Income ClassGroup 1 – Units purchased prior to 1 May 2015Group 2 – Units purchased 1 May 2015 to 31 May 2015

D Income ClassGroup 1 – Units purchased prior to 1 May 2015Group 2 – Units purchased 1 May 2015 to 31 May 2015

L IncomeUnits

D IncomeUnits


Gross Revenue 0.3303 0.3303 0.3301 0.1470

Income tax 0.0661 0.0661 0.0660 0.0294


Equalisation† – 0.0000 – 0.1465



Second Distribution in Pence per Unit

L Income ClassGroup 1 – Units purchased prior to 1 April 2015Group 2 – Units purchased 1 April 2015 to 30 April 2015

D Income ClassGroup 1 – Units purchased prior to 1 April 2015Group 2 – Units purchased 1 April 2015 to 30 April 2015

L IncomeUnits

D IncomeUnits


Gross Revenue 0.3224 0.3224 0.3186 0.1326

Income tax 0.0645 0.0645 0.0637 0.0265


Equalisation† – 0.0000 – 0.1488




First Distribution in Pence per Unit

L Income ClassGroup 1 – Units purchased prior to 1 March 2015Group 2 – Units purchased 1 March 2015 to 31 March 2015

D Income ClassGroup 1 – Units purchased prior to 1 March 2015Group 2 – Units purchased 1 March 2015 to 31 March 2015

L IncomeUnits

D IncomeUnits


Gross Revenue 0.3370 0.3370 0.3371 0.1491

Income tax 0.0674 0.0674 0.0674 0.0298


Equalisation† – 0.0000 – 0.1504







BoNDS – 99.04%; 2015 97.68%

UK Sterling Denominated Fixed Rate Corporate Bonds – 88.87%; 2015 86.80% £883,000 3i 5.75% Guaranteed Senior European Medium Term

Bonds 3/12/2032 1,011 0.08 £650,000 3i 6.875% Guaranteed Senior European Medium Term

Bonds 9/3/2023 776 0.06 £700,000 AA Bond 3.781% Senior European Medium Term Notes

31/7/2043 705 0.06 £1,000,000 AA Bond 4.2487% Senior European Medium Term Notes

31/7/2043 1,021 0.08 £1,050,000 AA Bond 4.7201% Senior European Medium Term Notes

Bonds 2/7/2043 1,083 0.09 £1,100,000 AA Bond 6.269% Bonds 2/7/2043 1,265 0.11 £2,025,000 Abbey National Treasury Services 1.875% European

Medium Term Notes 17/2/2020 1,998 0.17 £1,300,000 Abbey National Treasury Services 3.875% European

Medium Term Note 15/10/2029 1,322 0.11 £650,000 Abbey National Treasury Services 4.125% Guaranteed

European Medium Term Notes 14/9/2017 673 0.06 £2,950,000 Abbey National Treasury Services 5.125% Guaranteed

European Medium Term Bonds 14/4/2021 3,432 0.28 £1,550,000 Abbey National Treasury Services 5.25% Guaranteed

European Medium Term Bonds 16/2/2029 2,002 0.17 £2,400,000 Abbey National Treasury Services 5.75% Guaranteed

European Medium Term Bonds 2/3/2026 3,100 0.26 £750,000 ABN AMRO 2.25% Senior European Medium Term Notes

11/9/2017 757 0.06 £1,100,000 ABN AMRO 2.375% European Medium Term Notes

7/12/2021 1,101 0.09 £1,050,000 ABN AMRO 2.5% Senior European Medium Term Notes

18/12/2018 1,069 0.09 £150,000 ABN AMRO 4.875% European Medium Term Notes

16/1/2019 163 0.01 £1,150,000 ABP Finance 6.25% Guaranteed European Medium

Term Bonds 14/12/2026 1,377 0.11 £575,000 Aegon 6.125% Guaranteed Senior European Medium

Term Bonds 15/12/2031 720 0.06 £900,000 Aegon 6.625% Guaranteed Senior European Medium

Term Bonds 16/12/2039 1,169 0.10 £425,000 Affinity Sutton 4.25% European Medium Term Bonds

8/10/2042 454 0.04

Corporate Bond tracker portfolio Statement at 29 February 2016

£825,000 Affinity Sutton 5.981% Guaranteed Senior European Medium Term Bonds 17/9/2038 1,102 0.09

£975,000 Affinity Water Finance 5.875% Guaranteed Bonds 13/7/2026 1,224 0.10

£450,000 Affinity Water Programme Finance 4.5% Guaranteed Senior European Medium Term Bonds 31/3/2036 501 0.04

£1,345,000 Affordable Housing Finance 3.8% European Medium Term Notes 20/5/2044 1,616 0.13

£702,000 Ahold Finance USA 6.5% Guaranteed European Medium Term Bonds 14/3/2017 735 0.06

£1,450,000 AIG 5% Guaranteed Senior European Medium Term Bonds 26/4/2023 1,519 0.13

£1,800,000 Allianz Finance II 4.5% Guaranteed Bonds 13/3/2043 1,943 0.16 £1,667,000 America Movil 4.375% Guaranteed Senior Bonds

7/8/2041 1,562 0.13 £732,000 America Movil 4.948% Senior European Medium Term

Notes 22/7/2033 772 0.06 £1,098,000 America Movil 5% Guaranteed Senior Bonds 27/10/2026 1,213 0.10 £1,525,000 America Movil 5.75% Guaranteed Bonds 28/6/2030 1,754 0.15 £1,150,000 American Honda Finance 2.625% European Medium

Term Notes 14/10/2022 1,172 0.10 £1,600,000 Amgen 4% Bonds 13/9/2029 1,632 0.14 £1,000,000 Amgen 5.5% Senior Bonds 7/12/2026 1,170 0.10 £600,000 Anglian Water 6.625% Guaranteed Bonds 15/1/2029 819 0.07 £700,000 Anglian Water 6.875% Guaranteed Bonds 21/8/2023 897 0.07 £450,000 Anglian Water Services Financing 4.5% Senior European

Medium Term Bonds 5/10/2027 511 0.04 £525,000 Anglian Water Services Financing 5.837% Guaranteed

European Medium Term Bonds 30/7/2022 634 0.05 £490,000 Anglian Water Services Financing 6.293% Guaranteed

European Medium Term Bonds 30/7/2030 650 0.05 £950,000 Anglo American Capital 6.875% Guaranteed European

Medium Term Notes 1/5/2018 911 0.08 £1,400,000 Anheuser-Busch InBev 4% Guaranteed European

Medium Term Notes 24/9/2025 1,485 0.12 £1,500,000 Anheuser-Busch InBev 6.5% European Medium Term

Notes 23/6/2017 1,594 0.13 £1,225,000 Anheuser-Busch InBev 9.75% Guaranteed European

Medium Term Bonds 30/7/2024 1,805 0.15 £523,523 Annington Finance No 1 8% Asset Backed Bonds

2/10/2021 610 0.05 £2,900,000 Annington Finance No 4 0% Bonds 7/12/2022 2,429 0.20




£1,900,000 Annington Finance No 4 0% Guaranteed Bonds 10/1/2023 1,555 0.13

£530,000 Annington Finance No 4 8.07% Guaranteed Bonds 10/1/2023 683 0.06

£1,220,000 Annington Repackaging 5.3236% Guaranteed Bonds 10/1/2023 1,355 0.11

£650,000 AP Moeller-Maersk 4% Senior European Medium Term Notes 4/4/2025 638 0.05

£1,675,000 Apple 3.05% Bonds 31/7/2029 1,654 0.14 £1,200,000 Apple 3.6% Bonds 31/7/2042 1,144 0.09 £1,775,000 APT Pipelines 3.5% Guaranteed Senior European

Medium Term Notes 22/3/2030 1,539 0.13 £450,000 APT Pipelines 4.25% European Medium Term Bonds

26/11/2024 449 0.04 £1,100,000 Arkle Master Issuer 3.986% Guaranteed Mortgage

Backed Bonds 17/5/2060 1,163 0.10 £800,000 Arkle Master Issuer 4.681% Guaranteed Mortgage

Backed Bonds 17/5/2060 824 0.07 £450,000 Arqiva Financing 4.04% Bonds 30/6/2035 462 0.04 £1,250,000 Arqiva Financing 4.882% Bonds 31/12/2032 1,321 0.11 £230,335 Arsenal Securities 5.1418% Guaranteed Bonds 1/9/2029 256 0.02 £875,000 Artesian Finance II 6% Guaranteed Senior European

Medium Term Bonds 30/9/2033 1,148 0.10 £650,000 Asciano Finance 5% Guaranteed European Medium

Term Notes 19/9/2023 681 0.06 £1,100,000 Asian Development Bank 1% Bonds 18/12/2018 1,106 0.09 £400,000 Asian Development Bank 1.5% Senior European Medium

Term Notes 15/12/2017 406 0.03 £350,000 ASIF II 6.375% Guaranteed European Medium Term

Bonds 5/10/2020 402 0.03 £551,000 ASIF III Jersey 5% Guaranteed European Medium Term

Bonds 18/12/2018 596 0.05 £1,318,532 Aspire Defence Finance 4.674% Asset Backed Bonds

31/3/2040 1,479 0.12 £1,880,128 Aspire Defence Finance 4.674% Guaranteed Bonds

31/3/2040 2,107 0.17 £613,000 Aster Treasury 4.5% Senior Notes 18/12/2043 679 0.06 £825,000 AstraZeneca 5.75% Guaranteed Senior European

Medium Term Bonds 13/11/2031 1,075 0.09 £2,480,000 AT&T 4.25% Senior Bonds 1/6/2043 2,201 0.18 £2,750,000 AT&T 4.875% Senior Bonds 1/6/2044 2,673 0.22 £1,450,000 AT&T 5.5% Guaranteed Senior Bonds 15/3/2027 1,672 0.14

Corporate Bond tracker portfolio Statement continued

£1,700,000 AT&T 5.875% Guaranteed Senior Notes 28/4/2017 1,782 0.15 £2,550,000 AT&T 7% Guaranteed Senior European Medium Term

Bonds 30/4/2040 3,250 0.27 £1,000,000 Atlantia 6.25% Guaranteed European Medium Term

Bonds 9/6/2022 1,200 0.10 £350,000 AusNet Services 7.125% Guaranteed European Medium

Term Notes 26/6/2018 390 0.03 £887,000 Aviva 5.125% European Medium Term Notes 4/6/2050 761 0.06 £775,000 AXA 7.125% Guaranteed Subordinated Bonds 15/12/2020 891 0.07 £700,000 BAE Systems 4.125% Senior Notes 8/6/2022 755 0.06 £500,000 Bank Nederlandse Gemeenten 0.875% European

Medium Term Notes 12/12/2016 500 0.04 £750,000 Bank Nederlandse Gemeenten 1.375% European

Medium Term Notes 9/12/2019 760 0.06 £2,450,000 Bank Nederlandse Gemeenten 1.875% Guaranteed

European Medium Term Notes 7/12/2018 2,510 0.21 £950,000 Bank Nederlandse Gemeenten 3.25% Guaranteed

European Medium Term Notes 29/11/2017 989 0.08 £150,000 Bank Nederlandse Gemeenten 4.5% Guaranteed Senior

European Medium Term Bonds 20/2/2018 161 0.01 £850,000 Bank Nederlandse Gemeenten 5.2% Guaranteed Senior

European Medium Term Bonds 7/12/2028 1,123 0.09 £925,000 Bank Nederlandse Gemeenten 5.375% Guaranteed

Senior European Medium Term Bonds 7/6/2021 1,117 0.09 £600,000 Bank Nederlandse Gemeenten 5.75% Guaranteed

Senior European Medium Term Bonds 18/1/2019 682 0.06 £600,000 Bank of America 4.25% Senior European Medium Term

Notes 10/12/2026 645 0.05 £1,400,000 Bank of America 5.5% Guaranteed Senior European

Medium Term Bonds 4/12/2019 1,550 0.13 £350,000 Bank of America 5.5% Guaranteed Subordinated

European Medium Term Bonds 22/11/2021 377 0.03 £2,100,000 Bank of America 6.125% Guaranteed Senior European

Medium Term Bonds 15/9/2021 2,437 0.20 £2,650,000 Bank of America 7% Guaranteed Senior European

Medium Term Bonds 31/7/2028 3,500 0.29 £1,700,000 Bank of America 7.75% Guaranteed Senior European

Medium Term Notes 30/4/2018 1,897 0.16 £300,000 Bank of America 8.125% Guaranteed Subordinated

European Medium Term Bonds 2/6/2028 399 0.03 £1,279,000 Bank of Scotland 4.875% Guaranteed European


156



£400,000 Bank of Scotland 6.375% Guaranteed Subordinated European Medium Term Bonds 16/8/2019 435 0.04

£1,160,000 Bank of Scotland 9.375% Guaranteed Subordinated Bonds 15/5/2021 1,405 0.12

£550,000 Bank of Scotland 10.5% Guaranteed Subordinated Bonds 16/2/2018 622 0.05

£3,000,000 Barclays 1.5% European Medium Term Notes 4/4/2017 3,027 0.25 £2,350,000 Barclays 4.25% Guaranteed European Medium Term

Bonds 12/1/2022 2,672 0.22 £1,600,000 Barclays 5.75% Guaranteed Senior European Medium

Term Bonds 14/9/2026 1,627 0.14 £650,000 Barclays 9.5% Guaranteed Subordinated Bonds 7/8/2021 778 0.06 £4,195,000 Barclays 10% Guaranteed Subordinated European

Medium Term Bonds 21/5/2021 5,106 0.42 £625,000 BASF 1.375% European Medium Term Notes 15/12/2017 628 0.05 £700,000 BASF 5.875% Guaranteed Senior European Medium

Term Notes 31/3/2017 736 0.06 £800,000 BAT International Finance 4% European Medium Term

Notes 23/11/2055 780 0.06 £1,450,000 BAT International Finance 4% Guaranteed European

Medium Term Notes 4/9/2026 1,555 0.13 £751,000 BAT International Finance 5.75% Guaranteed European

Medium Term Bonds 5/7/2040 938 0.08 £600,000 BAT International Finance 6% Guaranteed European

Medium Term Bonds 29/6/2022 720 0.06 £1,150,000 BAT International Finance 6% Guaranteed European



Medium Term Bonds 12/3/2024 1,329 0.11 £650,000 Bayer 5.625% Guaranteed European Medium Term

Bonds 23/5/2018 714 0.06 £380,276 BBC Pacific Quay 5.5653% Guaranteed Asset Backed

Bonds 25/7/2034 452 0.04 £1,800,000 BG Energy Capital 5% Guaranteed European Medium

Term Bonds 4/11/2036 2,027 0.17 £1,850,000 BG Energy Capital 5.125% Guaranteed European

Medium Term Bonds 1/12/2025 2,129 0.18 £1,100,000 BG Energy Capital 5.125% Guaranteed European

Medium Term Notes 7/12/2017 1,161 0.10




£1,370,000 BHP Billiton Finance 6.5% Bonds 22/10/2077 1,312 0.11 £225,000 Birmingham Airport 6.25% Guaranteed European

Medium Term Bonds 22/2/2021 257 0.02 £218,861 Bishopsgate Asset Finance 4.808% Guaranteed Bonds

14/8/2044 229 0.02 £933,096 BL Superstores Finance 4.482% Guaranteed Asset

Backed Bonds 4/10/2030 1,021 0.08 £40,654 BL Superstores Finance 5.27% Guaranteed Asset

Backed Bonds 4/10/2030 44 – £975,000 BMW (UK) Capital 5% Guaranteed European Medium

Term Notes 2/10/2017 1,027 0.09 £375,000 BMW 2% European Medium Term Bonds 20/11/2019 378 0.03 £900,000 BMW Finance 1.75% Guaranteed European Medium

Term Notes 20/11/2017 903 0.07 £750,000 BMW Finance 1.875% European Medium Term Notes

29/6/2020 752 0.06 £750,000 BMW Finance 2.375% European Medium Term Notes

1/12/2021 765 0.06 £1,740,000 BMW Finance 3.375% Guaranteed European Medium

Term Notes 14/12/2018 1,818 0.15 £900,000 BNP Paribas 2.375% European Medium Term Notes

20/11/2019 918 0.08 £700,000 BNP Paribas 5.75% Guaranteed Subordinated European

Medium Term Bonds 24/1/2022 763 0.06 £850,000 Bouygues 5.5% Guaranteed Senior Bonds 6/10/2026 994 0.08 £1,400,000 BP Capital Markets 4.325% Guaranteed European

Medium Term Notes 10/12/2018 1,478 0.12 £1,600,000 BPCE 5.25% Subordinated Notes 16/4/2029 1,520 0.13 £950,000 British Sky Broadcasting 2.875% European Medium

Term Notes 24/11/2020 968 0.08 £400,000 British Sky Broadcasting 4% European Medium Term

Notes 26/11/2029 395 0.03 £950,000 British Sky Broadcasting 6% Guaranteed European

Medium Term Bonds 21/5/2027 1,129 0.09 £1,200,000 British Sky Broadcasting Finance UK 5.75% Guaranteed

Bonds 20/10/2017 1,275 0.11 £1,350,000 British Telecommunications 5.75% Guaranteed Senior

Bonds 7/12/2028 1,635 0.14



£1,075,000 British Telecommunications 6.375% Guaranteed Senior European Medium Term Bonds 23/6/2037 1,391 0.12

£1,300,000 British Telecommunications 6.625% Guaranteed Senior European Medium Term Bonds 23/6/2017 1,382 0.11

£775,000 British Telecommunications 8.625% Bonds 26/3/2020 970 0.08 £1,025,000 Broadgate Financing 4.821% Guaranteed Bonds

5/7/2036 1,239 0.10 £520,000 Broadgate Financing 4.851% Guaranteed Bonds

5/4/2033 621 0.05 £491,585 Broadgate Financing 4.949% Guaranteed Bonds

5/4/2031 572 0.05 £950,000 Broadgate Financing 4.999% Guaranteed Bonds

5/10/2033 1,120 0.09 £195,333 Broadgate Financing 5.098% Bonds 5/4/2035 221 0.02 £800,000 Bupa Finance 3.375% Guaranteed Bonds 17/6/2021 810 0.07 £1,270,000 Bupa Finance 5% Subordinated Notes 25/4/2023 1,263 0.10 £100,000 Caisse Française 4.6875% European Medium Term

Bonds 19/4/2016 100 0.01 £200,000 Caisse Française 5.5% Guaranteed European Medium

Term Bonds 16/7/2026 252 0.02 £975,000 Canary Wharf Finance II 5.952% Guaranteed Asset

Backed Bonds 22/10/2037 1,234 0.10 £810,383 Canary Wharf Finance II 6.455% Guaranteed Asset

Backed Bonds 22/10/2033 1,270 0.11 £324,835 Canary Wharf Finance II 6.8% Guaranteed Asset Backed

Bonds 22/10/2033 423 0.04 £875,000 Cardiff University 3% Bonds 7/12/2055 847 0.07 £150,000 Cargill 5.375% Guaranteed Senior European Medium

Term Bonds 2/3/2037 174 0.01 £1,350,000 Centrica 4.25% European Medium Term Bonds

12/9/2044 1,255 0.10 £1,800,000 Centrica 4.375% European Medium Term Bonds

13/3/2029 1,879 0.16 £950,000 Centrica 5.25% Subordinated European Medium Term

Notes 10/4/2075 803 0.07 £1,275,000 Centrica 6.375% Guaranteed Senior European Medium

Term Bonds 10/3/2022 1,532 0.13 £1,725,000 Centrica 7% Guaranteed Senior European Medium Term

Bonds 19/9/2033 2,281 0.19 £1,150,000 Centrica 7% Guaranteed Senior European Medium Term

Notes 19/9/2018 1,292 0.11



£700,000 Chorus 6.75% Guaranteed European Medium Term Notes 6/4/2020 809 0.07

£550,000 Circle Anglia Social Housing 5.2% European Medium Term Notes 2/3/2044 656 0.05

£825,000 Circle Anglia Social Housing 7.25% Guaranteed Senior Bonds 12/11/2038 1,230 0.10

£625,000 Citigroup 4.5% Guaranteed Subordinated European Medium Term Bonds 3/3/2031 600 0.05


£1,375,000 Citigroup 5.15% Guaranteed Senior European Medium Term Bonds 21/5/2026 1,562 0.13

£660,000 Citigroup 5.875% Guaranteed Subordinated European Medium Term Bonds 1/7/2024 732 0.06





£925,000 Citigroup 7.625% Guaranteed Senior European Medium Term Notes 3/4/2018 1,030 0.09

£300,000 Close Brothers 6.5% Guaranteed Senior Notes 10/2/2017 312 0.03 £650,000 Close Brothers Finance 3.875% European Medium Term

Notes 27/6/2021 672 0.06 £1,300,000 Clydesdale Bank 4.625% Guaranteed European Medium

Term Bonds 8/6/2026 1,552 0.13 £1,525,000 Comcast 5.5% Guaranteed Bonds 23/11/2029 1,863 0.15 £1,000,000 Commonwealth Bank of Australia 2.25% Senior

European Medium Term Notes 7/12/2018 1,014 0.08 £1,700,000 Commonwealth Bank of Australia 3% Guaranteed

European Medium Term Bonds 4/9/2026 1,808 0.15 £1,400,000 Community Finance 5.017% Guaranteed European

Medium Term Bonds 31/7/2034 1,782 0.15 £802,000 Compagnie de Financement Foncier 5.5% Guaranteed

European Medium Term Bonds 26/1/2027 1,023 0.08 £620,000 Compass 3.85% Senior European Medium Term Notes

26/6/2026 684 0.06 £1,693,545 Control Section 1 Finance 5.234% Guaranteed Asset

Backed Bonds 2/5/2035 2,053 0.17



£1,250,000 Co-Operative Bank 4.75% Guaranteed Bonds 11/11/2021 1,394 0.12 £750,000 Council of Europe Development Bank 1.125% Senior

European Medium Term Notes 31/12/2049 758 0.06 £750,000 Council Of Europe Development Bank 1.25% Bonds

23/12/2019 761 0.06 £1,250,000 Council of Europe Development Bank 1.875% Senior

European Medium Term Notes 22/12/2018 1,287 0.11 £1,850,000 Coventry Building Society 4.625% Guaranteed European

Medium Term Notes 19/4/2018 1,991 0.17 £680,000 Coventry Building Society 5.875% Guaranteed Senior

European Medium Term Bonds 28/9/2022 812 0.07 £800,000 Coventry Building Society 6% Guaranteed Senior

European Medium Term Notes 16/10/2019 911 0.08 £425,000 CPUK Finance 2.666% European Medium Term Notes

28/2/2042 426 0.04 £1,100,000 CPUK Finance 7.239% Senior European Medium Term

Bonds 28/2/2042 1,345 0.11 £950,000 Crédit Agricole 7.375% Guaranteed Subordinated

European Medium Term Bonds 18/12/2023 1,116 0.09 £725,000 Crédit Agricole London 5.5% Guaranteed Senior

European Medium Term Bonds 17/12/2021 845 0.07 £475,000 Credit Suisse Finance 7% Guaranteed Bonds 5/10/2020 546 0.05 £1,400,000 Credit Suisse Group Funding Guernsey 3% Bonds

27/5/2022 1,368 0.11 £925,000 CRH Finance 4.125% European Medium Term Notes

2/12/2029 948 0.08 £360,000 Daily Mail & General Trust 5.75% Senior Notes 7/12/2018 389 0.03 £450,000 Daimler 1.25% European Medium Term Notes 1/12/2017 447 0.04 £475,000 Daimler 1.625% Senior European Medium Term Notes

2/12/2016 476 0.04 £825,000 Daimler 1.75% Senior European Medium Term Notes

8/11/2017 827 0.07 £750,000 Daimler 2.375% European Medium Term Notes

16/12/2021 754 0.06 £1,450,000 Daimler 2.375% Senior European Medium Term Notes

16/7/2018 1,472 0.12 £500,000 Daimler 2.75% Senior European Medium Term Notes

4/12/2020 515 0.04 £1,275,000 Daimler International Finance 3.5% Bonds 6/6/2019 1,342 0.11 £500,000 Dali Capital 4.79924% Guaranteed Senior Bonds

21/12/2037 552 0.05



£931,948 Derby Healthcare 5.564% Guaranteed Senior Bonds 30/6/2041 1,105 0.09

£1,100,000 Deutsche Bahn Finance 1.375% European Medium Term Notes 30/10/2017 1,106 0.09

£1,175,000 Deutsche Bahn Finance 2.75% Guaranteed European Medium Term Notes 20/6/2022 1,247 0.10

£900,000 Deutsche Bahn Finance 3.125% Guaranteed European Medium Term Notes 24/7/2026 969 0.08

£600,000 Deutsche Pfandbriefbank 1.875% European Medium Term Notes 20/12/2019 611 0.05

£1,390,000 Deutsche Telekom International Finance 6.5% Guaranteed European Medium Term Bonds 8/4/2022 1,694 0.14

£475,000 Deutsche Telekom International Finance 7.375% Guaranteed European Medium Term Bonds 4/12/2019 568 0.05

£650,000 Deutsche Telekom International Finance 7.625% Guaranteed Bonds 15/6/2030 916 0.08

£650,000 Deutsche Telekom International Finance 8.875% Guaranteed Bonds 27/11/2028 992 0.08

£1,900,000 Dexia Credit Local 1.875% European Medium Term Notes 17/7/2017 1,917 0.16

£1,000,000 Dexia Credit Local 2% European Medium Term Notes 17/6/2020 1,024 0.09

£1,800,000 Dexia Credit Local 2.125% European Medium Term Notes 12/2/2025 1,789 0.15

£700,000 Digital Stout 4.25% European Medium Term Bonds 17/1/2025 710 0.06

£900,000 Digital Stout 4.75% Guaranteed Bonds 13/10/2023 948 0.08 £934,000 Dignity Finance 4.6956% Notes 31/12/2049 1,004 0.08 £850,000 DirecTV 5.2% Guaranteed Bonds 18/11/2033 916 0.08 £1,700,000 DirecTV Financing 4.375% Guaranteed Medium Term

Notes 14/9/2029 1,746 0.14 £850,000 DNB Bank 4.25% Guaranteed Senior European Medium

Term Notes 27/1/2020 921 0.08 £1,571,000 DONG Energy 4.875% Guaranteed Senior European

Medium Term Bonds 12/1/2032 1,696 0.14 £1,212,000 DONG Energy 5.75% Guaranteed Senior European

Medium Term Bonds 9/4/2040 1,425 0.12 £250,000 Dwr Cymru Financing 4.473% Guaranteed Asset Backed

European Medium Term Bonds 31/3/2057 285 0.02 £650,000 Dwr Cymru Financing 6.015% Guaranteed Asset Backed

European Medium Term Bonds 31/3/2028 845 0.07



£1,000,000 Dwr Cymru Financing 6.907% Guaranteed European Medium Term Bonds 31/3/2021 1,228 0.10

£1,900,000 E.ON International Finance 5.875% Guaranteed European Medium Term Bonds 30/10/2037 2,111 0.18

£2,150,000 E.ON International Finance 6% Guaranteed European Medium Term Bonds 30/10/2019 2,406 0.20



£650,000 East Finance 5.486% European Medium Term Notes 15/6/2042 786 0.07

£350,000 East Japan Railway 4.5% Guaranteed Senior Bonds 25/1/2036 406 0.03

£800,000 East Japan Railway 4.75% Guaranteed Senior European Medium Term Bonds 8/12/2031 973 0.08



£825,000 Eastern Power Networks 4.75% Guaranteed Senior European Medium Term Notes 30/9/2021 930 0.08

£1,155,000 Eastern Power Networks 5.75% Guaranteed Senior European Medium Term Bonds 8/3/2024 1,385 0.12

£650,000 Eastern Power Networks 6.25% Guaranteed Senior European Medium Term Bonds 12/11/2036 865 0.07

£275,000 Eastern Power Networks 8.5% Guaranteed Senior Bonds 31/3/2025 394 0.03

£950,000 EDP Finance 8.625% Guaranteed Senior European Medium Term Bonds 4/1/2024 1,171 0.10

£2,300,000 Électricité de France 5.125% Guaranteed Senior European Medium Term Bonds 22/9/2050 2,315 0.19

£1,200,000 Électricité de France 5.5% European Medium Term Notes 27/3/2037 1,296 0.11

£3,500,000 Électricité de France 5.5% Senior European Medium Term Bonds 17/10/2041 3,703 0.31


£3,100,000 Électricité de France 6% Senior European Medium Term Notes 23/1/2114 3,545 0.29





£950,000 Électricité de France 6.875% Guaranteed Senior European Medium Term Bonds 12/12/2022 1,192 0.10

£666,000 Electricity North West 8.875% Bonds 25/3/2026 993 0.08 £1,520,000 Enel 5.75% Senior European Medium Term Bonds

22/6/2037 1,710 0.14 £1,800,000 Enel Finance International 5.625% Guaranteed

European Medium Term Bonds 14/8/2024 2,086 0.17 £3,060,000 Enel Finance International 5.75% Guaranteed European

Medium Term Bonds 14/9/2040 3,411 0.28 £1,600,000 Enel Società per Azioni 6.25% Guaranteed Senior

European Medium Term Bonds 20/6/2019 1,804 0.15 £2,450,000 ENGIE 5% Guaranteed European Medium Term Bonds

1/10/2060 2,943 0.24 £800,000 ENGIE 6.125% Guaranteed Senior European Medium

Term Bonds 11/2/2021 960 0.08 £1,350,000 ENGIE 7% Guaranteed Senior European Medium Term

Bonds 30/10/2028 1,862 0.15 £175,000 Eni Coordination Center 5% Guaranteed European

Medium Term Bonds 27/1/2019 188 0.02 £850,000 Eni Coordination Center 6.125% Guaranteed Notes

17/12/2018 938 0.08 £950,000 ENW Capital Finance 6.125% Guaranteed European

Medium Term Bonds 21/7/2021 1,124 0.09 £875,000 Equity Release 5.05% Guaranteed Mortgage Backed

Bonds 26/4/2033 1,036 0.09 £290,112 Equity Release 5.7% Guaranteed Asset Backed Bonds

26/2/2031 344 0.03 £350,000 Equity Release 5.88% Guaranteed Mortgage Backed

Bonds 26/5/2032 423 0.04 £250,000 ESB Finance 6.5% Guaranteed European Medium Term

Bonds 5/3/2020 291 0.02 £100,000 Eurofima 5.5% Guaranteed Senior European Medium

Term Bonds 7/6/2032 138 0.01 £400,000 European Bank for Reconstruction & Development

1.875% Senior Notes 17/12/2018 411 0.03 £170,000 European Bank for Reconstruction & Development

5.125% Senior European Medium Term Bonds 7/6/2032 233 0.02 £1,900,000 European Bank for Reconstruction & Development

5.625% European Medium Term Bonds 7/12/2028 2,665 0.22



£8,100,000 European Investment Bank 1.375% Guaranteed Senior European Medium Term Notes 15/1/2018 8,202 0.68

£12,750,000 European Investment Bank 1.5% Senior European Medium Term Notes 1/2/2019 12,987 1.08

£4,000,000 European Investment Bank 2.25% Senior European Medium Term Notes 7/3/2020 4,198 0.35

£2,575,000 European Investment Bank 2.5% Guaranteed Senior European Medium Term Notes 31/10/2022 2,754 0.23

£900,000 European Investment Bank 3.75% Bonds 7/12/2027 1,061 0.09 £2,700,000 European Investment Bank 3.875% Guaranteed Senior

European Medium Term Bonds 8/6/2037 3,343 0.28 £2,300,000 European Investment Bank 4.125% Guaranteed Senior

European Medium Term Notes 7/12/2017 2,435 0.20 £550,000 European Investment Bank 4.25% Guaranteed Senior

European Medium Term Bonds 7/12/2021 641 0.05 £2,700,000 European Investment Bank 4.5% Guaranteed Senior




European Medium Term Bonds 15/10/2018 2,976 0.25 £3,300,000 European Investment Bank 5% Guaranteed Senior

Bonds 15/4/2039 4,699 0.39 £4,325,000 European Investment Bank 5.375% Guaranteed Senior

Bonds 7/6/2021 5,244 0.44 £825,000 European Investment Bank 5.375% Guaranteed Senior

European Medium Term Bonds 7/3/2019 937 0.08 £3,100,000 European Investment Bank 5.5% Guaranteed Senior

Bonds 15/4/2025 4,077 0.34 £6,400,000 European Investment Bank 5.625% Guaranteed Senior

Bonds 7/6/2032 9,325 0.77 £6,000,000 European Investment Bank 6% Guaranteed Senior

Bonds 7/12/2028 8,613 0.72 £2,150,000 European Investment Bank 8.75% Bonds 25/8/2017 2,401 0.20 £400,000 Eversholt Funding 5.831% Guaranteed Senior European

Medium Term Bonds 2/12/2020 457 0.04 £725,000 Eversholt Funding 6.359% Guaranteed Senior European

Medium Term Bonds 2/12/2025 895 0.07 £1,200,000 Eversholt Funding 6.697% Senior European Medium

Term Bonds 22/2/2035 1,545 0.13



£800,000 Everything Everywhere Finance 4.375% Guaranteed European Medium Term Notes 28/3/2019 856 0.07

£463,936 Exchequer Partnership 5.396% Guaranteed Bonds 13/7/2036 582 0.05

£800,000 Experian Finance 3.5% Guaranteed European Medium Term Notes 15/10/2021 846 0.07

£1,000,000 Experian Finance 4.75% Guaranteed European Medium Term Notes 23/11/2018 1,077 0.09


£900,000 FCE Bank 2.759% European Medium Term Note 13/11/2019 907 0.08


£650,000 FCE Bank 4.825% Guaranteed Senior European Medium Term Notes 15/2/2017 667 0.06

£750,000 Fidelity 7.125% Senior Bonds 13/2/2024 892 0.07 £244,000 Fidelity International 6.75% Guaranteed Senior

European Medium Term Bonds 19/10/2020 279 0.02 £550,000 FirstGroup 5.25% Guaranteed Notes 29/11/2022 597 0.05 £900,000 FirstGroup 6.125% Guaranteed Bonds 18/1/2019 980 0.08 £550,000 FirstGroup 6.875% Guaranteed Bonds 18/9/2024 658 0.05 £575,000 FirstGroup 8.125% Guaranteed Notes 19/9/2018 650 0.05 £865,000 FirstGroup 8.75% Guaranteed Bonds 8/4/2021 1,069 0.09 £3,200,000 FMS Wertmanagement 0.75% European Medium Term

Notes 15/12/2017 3,201 0.27 £1,500,000 FMS Wertmanagement 1% Bonds 10/4/2018 1,508 0.13 £600,000 FMS Wertmanagement 1.125% Bonds 7/12/2016 602 0.05 £1,000,000 FMS Wertmanagement 1.125% Bonds 13/12/2019 1,009 0.08 £3,000,000 FMS Wertmanagement 1.25% Bonds 8/3/2019 3,039 0.25 £2,300,000 FMS Wertmanagement 1.875% Bonds 7/12/2018 2,365 0.20 £725,000 Fonterra Cooperative 9.375% Guaranteed Senior

European Medium Term Bonds 4/12/2023 1,054 0.09 £300,000 Freshwater Finance 4.556% Guaranteed Bonds

3/4/2036 330 0.03 £600,000 Freshwater Finance 4.607% Guaranteed Bonds

17/10/2036 666 0.06 £1,185,000 Freshwater Finance 5.182% Guaranteed Senior Bonds

20/4/2035 1,417 0.12 £1,100,000 Friends Life 8.25% Guaranteed Bonds 21/4/2022 1,256 0.10 £300,000 Friends Life 12% Guaranteed Subordinated European




£425,000 G4S 7.75% Guaranteed Senior European Medium Term Notes 13/5/2019 489 0.04

£1,400,000 Gatwick Funding 4.625% Senior European Medium Term Notes 27/3/2036 1,513 0.13

£575,000 Gatwick Funding 5.25% Guaranteed Senior European Medium Term Bonds 23/1/2026 659 0.05

£561,000 Gatwick Funding 5.75% Guaranteed European Medium Term Bonds 23/1/2039 692 0.06

£450,000 Gatwick Funding 6.125% Guaranteed Senior European Medium Term Bonds 2/3/2028 558 0.05

£500,000 Gatwick Funding 6.5% Senior European Medium Term Bonds 2/3/2043 676 0.06

£1,225,000 GE Capital 4.875% Guaranteed Subordinated European Medium Term Bonds 18/9/2037 1,368 0.11

£850,000 GE Capital 5.25% Guaranteed Senior European Medium Term Bonds 7/12/2028 1,045 0.09

£850,000 GE Capital 5.375% Guaranteed Senior European Medium Term Bonds 18/12/2040 1,067 0.09

£1,000,000 GE Capital 5.5% Guaranteed Senior European Medium Term Bonds 7/6/2021 1,166 0.10

£550,000 GE Capital 5.625% Guaranteed Senior European Medium Term Bonds 16/9/2031 712 0.06

£200,000 GE Capital 6.25% Guaranteed Senior European Medium Term Bonds 29/9/2020 237 0.02

£1,400,000 GE Capital Funding 8% Guaranteed European Medium Term Bonds 14/1/2039 2,274 0.19

£1,094,000 GE Capital International Funding 1.363% Bonds 15/4/2016 1,095 0.09



£950,000 GE Capital UK Funding 4.375% Guaranteed Senior European Medium Term Notes 31/7/2019 1,028 0.09









£550,000 Genfinance II 6.064% Guaranteed Senior Bonds 21/12/2039 718 0.06

£800,000 GKN 5.375% Bonds 19/9/2022 868 0.07 £830,000 GKN 6.75% Bonds 28/10/2019 931 0.08 £1,350,000 GlaxoSmithKline Capital 3.375% European Medium

Term Bonds 20/12/2027 1,389 0.12 £2,150,000 GlaxoSmithKline Capital 4.25% European Medium

Term Bonds 18/12/2045 2,273 0.19 £2,450,000 GlaxoSmithKline Capital 5.25% Guaranteed European

Medium Term Bonds 19/12/2033 3,021 0.25 £1,950,000 GlaxoSmithKline Capital 5.25% Guaranteed European

Medium Term Bonds 10/4/2042 2,390 0.20 £1,831,000 GlaxoSmithKline Capital 6.375% Guaranteed European

Medium Term Bonds 9/3/2039 2,534 0.21 £1,075,000 Glencore Canada Financial 7.375% Guaranteed

European Medium Term Bonds 27/5/2020 1,031 0.09 £950,000 Glencore Finance Europe 6.5% Guaranteed European

Medium Term Bonds 27/2/2019 913 0.08 £850,000 Global Switch 4.375% Guaranteed European Medium

Term Notes 13/12/2022 899 0.07 £200,000 Go-Ahead 5.375% Guaranteed Notes 29/9/2017 210 0.02 £1,770,000 Goldman Sachs 4.25% Senior European Medium Term

Notes 29/1/2026 1,866 0.15 £1,350,000 Goldman Sachs 5.5% Guaranteed Subordinated Bonds

12/10/2021 1,454 0.12 £400,000 Goldman Sachs 6.125% Guaranteed Senior European

Medium Term Bonds 14/2/2017 417 0.03 £1,195,000 Goldman Sachs 6.125% Guaranteed Subordinated

European Medium Term Bonds 14/5/2017 1,247 0.10 £575,000 Goldman Sachs 6.875% Guaranteed Subordinated

Bonds 18/1/2038 661 0.05 £800,000 Goldman Sachs 7.125% Guaranteed Senior Bonds

7/8/2025 1,034 0.09 £1,350,000 Goldman Sachs 7.25% Guaranteed Senior Bonds

10/4/2028 1,798 0.15 £299,000 Goodman Australia Finance 9.75% Guaranteed




£850,000 Great Rolling Stock 6.25% Guaranteed Senior European Medium Term Bonds 27/7/2020 974 0.08

£1,032,000 Great Rolling Stock 6.5% Guaranteed Senior European Medium Term Bonds 5/4/2031 1,295 0.11

£969,320 Great Rolling Stock 6.875% Guaranteed Senior European Medium Term Bonds 27/7/2035 1,226 0.10

£572,310 Greater Gabbard 4.137% Senior Notes 29/11/2032 627 0.05 £810,000 Greene King Finance 5.106% Guaranteed Asset Backed

Bonds 15/3/2034 887 0.07 £467,150 Greene King Finance 5.318% Guaranteed Asset Backed

Bonds 15/9/2031 524 0.04 £100,000 Greene King Finance 5.702% Guaranteed Asset Backed

Bonds 15/12/2034 90 0.01 £75,000 Guardian Royal Exchange 6.625% Guaranteed Bonds

21/8/2023 90 0.01 £932,000 Guinness 4% Senior Bonds 24/10/2044 944 0.08 £100,000 Guinness Northern Counties 9.125% Guaranteed Bonds

31/1/2025 148 0.01 £656,627 Gwynt y Mor 2.778% Senior Secured Bonds 17/2/2034 639 0.05 £750,000 Hammerson 3.5% Bonds 27/10/2025 755 0.06 £1,000,000 Hammerson 6% Guaranteed Senior Bonds 23/2/2026 1,213 0.10 £475,000 Hammerson 6.875% Guaranteed Senior Bonds 31/3/2020 557 0.05 £585,000 Hammerson 7.25% Guaranteed Senior Bonds 21/4/2028 786 0.07 £350,000 Harbour Funding 5.28% Guaranteed Bonds 31/3/2044 418 0.03 £625,000 Haven Funding 8.125% Guaranteed Asset Backed Bonds

30/9/2037 938 0.08 £1,650,000 Heathrow Funding 4.625% Senior European Medium

Term Notes 31/10/2048 1,767 0.15 £1,825,000 Heathrow Funding 5.225% Guaranteed Senior European

Medium Term Bonds 15/2/2023 2,088 0.17 £1,672,000 Heathrow Funding 5.875% Guaranteed Senior European

Medium Term Bonds 13/5/2041 2,105 0.17 £900,000 Heathrow Funding 6% Guaranteed European Medium

Term Bonds 20/3/2020 1,008 0.08 £750,000 Heathrow Funding 6.25% Guaranteed European Medium

Term Notes 10/9/2018 817 0.07 £2,150,000 Heathrow Funding 6.45% Guaranteed Senior European

Medium Term Bonds 10/12/2031 2,854 0.24 £1,720,000 Heathrow Funding 6.75% Guaranteed Senior European

Medium Term Bonds 3/12/2028 2,255 0.19 £500,000 Heathrow Funding 7.075% Guaranteed Senior European




£1,403,000 Heathrow Funding 7.125% Guaranteed European Medium Term Bonds 14/2/2024 1,718 0.14

£725,000 Heathrow Funding 9.2% Guaranteed Senior European Medium Term Bonds 29/3/2023 955 0.08

£850,000 Heinz 4.125% Guaranteed Senior Notes 1/7/2027 875 0.07 £1,450,000 High Speed Rail Finance 4.375% European Medium

Term Notes 1/11/2038 1,588 0.13 £641,917 Highbury Finance 7.017% Guaranteed Senior Bonds

20/3/2023 733 0.06 £500,000 Hiscox 6.125% Bonds 24/11/2045 472 0.04 £950,000 Holcim GB Finance 8.75% Guaranteed European Medium

Term Notes 24/4/2017 1,020 0.08 £1,225,000 Holmes Master Issuer 4.009% Guaranteed Mortgage

Backed European Medium Term Bonds 15/10/2054 1,278 0.11 £99,610 Housing Association Funding 8.25% Guaranteed Asset

Backed Bonds 7/6/2027 134 0.01 £1,275,000 HSBC 4.75% Guaranteed Subordinated European

Medium Term Bonds 24/3/2046 1,124 0.09 £1,390,000 HSBC 5.375% Guaranteed Subordinated European

Medium Term Bonds 22/8/2033 1,415 0.12 £1,850,000 HSBC 5.75% Guaranteed Subordinated European

Medium Term Bonds 20/12/2027 1,941 0.16 £2,200,000 HSBC 6% Guaranteed Subordinated European Medium

Term Bonds 29/3/2040 2,285 0.19 £1,525,000 HSBC 6.5% Guaranteed Senior European Medium Term

Bonds 20/5/2024 1,822 0.15 £800,000 HSBC 6.5% Guaranteed Subordinated European Medium

Term Bonds 7/7/2023 904 0.08 £1,450,000 HSBC 6.75% Guaranteed Subordinated Bonds 11/9/2028 1,644 0.14 £1,600,000 HSBC 7% Guaranteed Subordinated European Medium

Term Bonds 7/4/2038 1,867 0.15 £445,000 HSBC Bank 6.25% Guaranteed Subordinated European

Medium Term Bonds 30/1/2041 493 0.04 £275,000 HSBC Finance 6.25% Guaranteed Senior European

Medium Term Bonds 19/8/2019 308 0.03 £800,000 Hutchison Whampoa 5.625% Guaranteed Bonds

24/11/2026 969 0.08 £150,000 Hutchison Whampoa Finance UK 5.625% Guaranteed

Bonds 24/11/2017 160 0.01 £550,000 Hyde Housing Association 5.125% Guaranteed Bonds

23/7/2040 649 0.05




£1,300,000 Iberdrola Finanzas 7.375% Guaranteed European Medium Term Bonds 29/1/2024 1,679 0.14

£425,000 IBM 2.625% Bonds 5/8/2022 437 0.04 £1,850,000 IBM 2.75% Senior European Medium Term Notes

21/12/2020 1,928 0.16 £1,500,000 Imperial Brands Finance 4.875% Guaranteed European

Medium Term Notes 7/6/2032 1,611 0.13 £925,000 Imperial Brands Finance 5.5% Guaranteed Senior

European Medium Term Notes 28/9/2026 1,075 0.09 £800,000 Imperial Brands Finance 6.25% Guaranteed European

Medium Term Bonds 4/12/2018 888 0.07 £900,000 Imperial Brands Finance 7.75% Guaranteed European

Medium Term Notes 24/6/2019 1,058 0.09 £1,350,000 Imperial Brands Finance 8.125% Guaranteed European

Medium Term Bonds 15/3/2024 1,785 0.15 £2,470,000 Imperial Brands Finance 9% Guaranteed European

Medium Term Bonds 17/2/2022 3,265 0.27 £1,100,000 ING Bank 5.375% Guaranteed Senior European Medium

Term Bonds 15/4/2021 1,262 0.10 £479,216 Integrated Accommodation Service 6.48% Guaranteed

Bonds 31/3/2029 595 0.05 £1,000,000 Inter-American Development Bank 1.125% European

Medium Term Notes 17/12/2019 1,010 0.08 £800,000 Inter-American Development Bank 1.25% European

Medium Term Notes 15/12/2017 808 0.07 £500,000 Inter-American Development Bank 1.625% Bonds

18/10/2017 508 0.04 £250,000 Inter-American Development Bank 5.25% Guaranteed

European Medium Term Bonds 7/6/2021 304 0.03 £575,000 InterContinental Hotels 3.75% European Medium Term

Notes 14/8/2025 579 0.05 £1,150,000 InterContinental Hotels 3.875% European Medium Term

Notes 28/11/2022 1,191 0.10 £900,000 International Bank for Reconstruction & Development

1% Senior European Medium Term Notes 28/12/2016 902 0.07 £1,500,000 International Bank for Reconstruction & Development

1.25% European Medium Term Notes 2/10/2017 1,514 0.13 £1,500,000 International Bank for Reconstruction & Development

1.375% Senior European Medium Term Notes 15/12/2020 1,529 0.13 £200,000 International Bank for Reconstruction & Development

4.875% European Medium Term Bonds 7/12/2028 269 0.02



£525,000 International Bank for Reconstruction & Development 5.4% Senior European Medium Term Bonds 7/6/2021 643 0.05

£1,200,000 International Bank for Reconstruction & Development 5.75% European Medium Term Bonds 7/6/2032 1,785 0.15

£250,000 Intesa Sanpaolo 5.25% Guaranteed Senior European Medium Term Bonds 28/1/2022 273 0.02

£1,050,000 Intu (SGS) Finance 3.875% Guaranteed Senior European Medium Term Bonds 17/3/2028 1,079 0.09

£1,025,000 Intu (SGS) Finance 4.25% European Medium Term Notes 17/9/2035 1,038 0.09

£600,000 Intu (SGS) Finance 4.625% Guaranteed Senior European Medium Term Bonds 17/3/2033 641 0.05

£1,350,000 Intu Metrocentre Finance 4.125% Senior Notes 6/12/2023 1,413 0.12 £656,000 Investec Bank 4.5% Senior European Medium Term

Notes 5/5/2022 634 0.05 £100,000 Investec Bank 9.625% Subordinated European Medium

Term Notes 17/2/2022 113 0.01 £725,000 Investor 5.5% Guaranteed Senior European Medium Term

Bonds 5/5/2037 909 0.08 £1,300,000 IPIC 6.875% Guaranteed European Medium Term Bonds

14/3/2026 1,639 0.14 £870,000 Japan Bank for International Cooperation 2.625% Bonds

15/12/2020 923 0.08 £950,000 Johnson & Johnson 5.5% Guaranteed Bonds 6/11/2024 1,199 0.10 £1,400,000 JP Morgan Chase 1.875% European Medium Term Notes

10/2/2020 1,385 0.12 £1,150,000 JP Morgan Chase 3.5% European Medium Term Bonds

18/12/2026 1,158 0.10 £800,000 JP Morgan Chase 4.25% Guaranteed Senior European

Medium Term Notes 25/1/2017 821 0.07 £1,608,098 Juturna Euro Loan 5.0636% European Medium Term

Notes 10/8/2033 1,846 0.15 £900,000 Kennedy Wilson 3.95% Senior Notes 30/6/2022 881 0.07 £5,450,000 KFW 1% Bonds 7/12/2017 5,480 0.46 £1,750,000 KFW 1.125% European Medium Term Notes 23/12/2019 1,767 0.15 £1,000,000 KFW 1.375% European Medium Term Notes 1/2/2021 1,017 0.08 £2,000,000 KFW 1.625% European Medium Term Notes 5/6/2020 2,062 0.17 £3,500,000 KFW 2% European Medium Term Notes 6/12/2018 3,614 0.30 £200,000 KFW 4.875% Guaranteed European Medium Term Bonds

1/2/2018 216 0.02 £700,000 KFW 4.875% Guaranteed European Medium Term Bonds

15/3/2037 997 0.08




£750,000 KFW 5% Guaranteed European Medium Term Bonds 10/9/2024 953 0.08

£1,650,000 KFW 5% Guaranteed European Medium Term Bonds 9/6/2036 2,361 0.20

£1,750,000 KFW 5.5% Guaranteed European Medium Term Notes 18/6/2025 2,334 0.19

£5,200,000 KFW 5.55% Guaranteed European Medium Term Bonds 7/6/2021 6,375 0.53



£7,000,000 KFW 6% Guaranteed European Medium Term Bonds 7/12/2028 10,244 0.85

£850,000 Kommunalbanken 1.125% Guaranteed Senior Notes 15/12/2017 855 0.07

£500,000 Korea Development 2% European Medium Term Notes 20/12/2018 507 0.04

£1,000,000 KPN 5% Guaranteed Senior European Medium Term Bonds 18/11/2026 1,099 0.09

£1,925,000 KPN 5.75% Guaranteed Senior European Medium Term Bonds 17/9/2029 2,214 0.18

£1,600,000 Landeskreditbank Baden-Wuerttemberg Foerderbank 0.875% European Medium Term Notes 15/12/2017 1,602 0.13

£1,550,000 Landwirtschaftliche Rentenbank 1% European Medium Term Notes 15/12/2017 1,558 0.13

£1,000,000 Landwirtschaftliche Rentenbank 1.375% European Medium Term Notes 15/12/2020 1,017 0.08

£1,000,000 Landwirtschaftliche Rentenbank 1.5% European Medium Term Notes 23/12/2019 1,024 0.09

£2,775,000 LCR Finance 4.5% Guaranteed Bonds 7/12/2028 3,526 0.29 £975,000 LCR Finance 4.5% Guaranteed Bonds 7/12/2038 1,290 0.11 £2,650,000 LCR Finance 5.1% Guaranteed Bonds 7/3/2051 4,149 0.34 £300,000 Leeds Building Society 4.25% Guaranteed European

Medium Term Notes 17/12/2018 326 0.03 £500,000 Leeds Building Society 4.875% Guaranteed European

Medium Term Bonds 16/11/2020 580 0.05 £1,350,000 Legal & General 5.375% European Medium Term Notes

27/10/2045 1,313 0.11 £850,000 Legal & General Finance 5.875% Guaranteed European



£625,000 Legal & General Finance 5.875% Guaranteed European Medium Term Bonds 5/4/2033 759 0.06

£675,000 Lend Lease Europe Finance 6.125% Guaranteed Bonds 12/10/2021 758 0.06

£650,000 Libra Treasury 5.125% Notes 2/8/2038 762 0.06 £750,000 Linde Finance 5.875% Guaranteed European Medium

Term Bonds 24/4/2023 931 0.08 £3,000,000 Lloyds Bank 1.5% European Medium Term Notes

2/5/2017 3,027 0.25 £1,700,000 Lloyds Bank 1.75% Bonds 31/3/2022 1,693 0.14 £750,000 Lloyds Bank 2.5% European Medium Term Notes

1/6/2022 741 0.06 £700,000 Lloyds Bank 2.75% Senior European Medium Term Notes

9/12/2018 713 0.06 £3,500,000 Lloyds Bank 4.875% European Medium Term Notes

30/3/2027 4,262 0.35 £2,811,000 Lloyds Bank 5.125% Guaranteed Subordinated European

Medium Term Bonds 7/3/2025 3,453 0.29 £2,250,000 Lloyds Bank 6% Guaranteed Bonds 8/2/2029 3,073 0.26 £2,150,000 Lloyds Bank 6.5% Guaranteed Senior European Medium

Term Bonds 17/9/2040 2,857 0.24 £500,000 Lloyds Bank 6.75% Guaranteed Senior European Medium

Term Notes 24/10/2018 560 0.05 £1,155,000 Lloyds Bank 7.5% Guaranteed Senior European Medium

Term Bonds 15/4/2024 1,508 0.13 £1,600,000 Lloyds Bank 7.625% Guaranteed Subordinated European

Medium Term Bonds 22/4/2025 1,892 0.16 £575,000 Lloyds Bank 9.625% Subordinated Bonds 6/4/2023 728 0.06 £650,000 London & Quadrant Housing 4.625% Senior European

Medium Term Bonds 5/12/2033 753 0.06 £650,000 London & Quadrant Housing 5.5% Guaranteed Senior

Bonds 27/1/2040 834 0.07 £625,000 London & Quadrant Housing Trust 3.75% Bonds

27/10/2049 628 0.05 £350,000 London Merchant Securities 6.5% Guaranteed Bonds

16/3/2026 447 0.04 £650,000 London Power Networks 5.125% Guaranteed Senior

European Medium Term Bonds 31/3/2023 751 0.06 £650,000 London Power Networks 6.125% Guaranteed Senior

European Medium Term Bonds 7/6/2027 821 0.07 £198,000 London Stock Exchange 5.875% Guaranteed Senior

Bonds 7/7/2016 201 0.02




£650,000 London Stock Exchange 9.125% Guaranteed Senior Bonds 18/10/2019 812 0.07

£723,945 Longstone Finance 4.791% Guaranteed Mortgage Backed Bonds 19/4/2030 809 0.07

£700,000 Longstone Finance 4.896% Guaranteed Mortgage Backed Bonds 19/4/2031 742 0.06

£100,000 Lunar Funding 5.494% Guaranteed Asset Backed European Medium Term Bonds 29/7/2020 113 0.01

£688,000 Lunar Funding I 5.75% Guaranteed Asset Backed European Medium Term Bonds 18/10/2033 867 0.07

£550,000 LVMH Moet Hennessy Louis Vuitton 1.625% European Medium Term Notes 20/12/2017 554 0.05

£500,000 Macquarie Bank 3.5% Senior European Medium Term Notes 18/12/2020 521 0.04

£722,000 Manchester Airport Funding 4.125% Senior European Medium Term Notes 2/4/2024 772 0.06

£1,140,000 Manchester Airport Funding 4.75% Senior European Medium Term Notes 31/3/2034 1,254 0.10

£1,050,000 Marks & Spencer 4.75% European Medium Term Bonds 12/6/2025 1,111 0.09

£875,000 Marks & Spencer 6.125% Guaranteed European Medium Term Notes 2/12/2019 992 0.08

£350,000 Marks & Spencer 6.125% Guaranteed Senior European Medium Term Bonds 6/12/2021 404 0.03

£500,000 McDonald’s 4.125% Senior Notes 11/6/2054 467 0.04 £850,000 McDonald’s 5.875% Guaranteed Senior European

Medium Term Bonds 23/4/2032 1,022 0.08 £200,000 McDonald’s 6.375% Guaranteed Senior European

Medium Term Bonds 3/2/2020 231 0.02 £852,620 Meadowhall Finance 4.986% Guaranteed Mortgage

Backed Bonds 12/7/2037 1,011 0.08 £593,843 Meadowhall Finance 4.988% Guaranteed Mortgage

Backed Bonds 12/7/2037 709 0.06 £675,000 Mercantile Investment Trust 6.125% Guaranteed Bonds

25/2/2030 839 0.07 £725,000 Merseylink Issuer 3.842% Bonds 31/3/2043 874 0.07 £1,475,000 MetLife 5.25% Guaranteed Senior Bonds 29/6/2020 1,631 0.14 £650,000 MetLife 5.375% Guaranteed Senior Bonds 9/12/2024 742 0.06 £600,000 Metropolitan Funding 4.125% Bonds 5/4/2048 615 0.05 £1,150,000 Metropolitan Life Global Funding I 2.625% European



£750,000 Metropolitan Life Global Funding I 2.875% European Medium Term Notes 11/1/2023 743 0.06

£1,200,000 Metropolitan Life Global Funding I 3.5% Medium Term Notes 30/9/2026 1,189 0.10

£800,957 Mitchells & Butlers Finance 5.574% Guaranteed Asset Backed Bonds 15/12/2030 890 0.07




£1,150,000 Mondelez International 3.875% Bonds 6/3/2045 984 0.08 £900,000 Mondelez International 4.5% Bonds 3/12/2035 902 0.07 £200,000 Mondelez International 7.25% Guaranteed European

Medium Term Notes 18/7/2018 226 0.02 £775,000 Morgan Stanley 5.75% Guaranteed Senior European

Medium Term Bonds 14/2/2017 805 0.07 £800,000 Motability Operations 3.75% European Medium Term

Notes 16/7/2026 868 0.07 £400,000 Motability Operations 4.375% Guaranteed Senior

European Medium Term Bonds 8/2/2027 452 0.04 £898,000 Motability Operations 5.375% Guaranteed European

Medium Term Bonds 28/6/2022 1,071 0.09 £750,000 Motability Operations 5.625% Guaranteed Senior

European Medium Term Bonds 29/11/2030 959 0.08 £900,000 Motability Operations 6.625% Guaranteed European

Medium Term Bonds 10/12/2019 1,061 0.09 £2,150,000 Municipality Finance 1.125% Guaranteed Senior Notes

7/12/2017 2,161 0.18 £1,000,000 National Australia Bank 1.875% Bonds 20/2/2020 989 0.08 £800,000 National Australia Bank 3% European Medium Term

Bonds 4/9/2026 854 0.07 £950,000 National Australia Bank 3.625% Guaranteed Senior

European Medium Term Notes 8/11/2017 983 0.08 £1,825,000 National Australia Bank 5.125% Guaranteed Senior

European Medium Term Bonds 9/12/2021 2,057 0.17 £1,025,000 National Express 6.25% Guaranteed European Medium

Term Notes 13/1/2017 1,068 0.09 £450,000 National Express 6.625% Guaranteed European Medium

Term Bonds 17/6/2020 524 0.04 £625,000 National Grid 1.875% Bonds 6/8/2018 627 0.05




£1,120,000 National Grid 4% European Medium Term Bonds 8/6/2027 1,239 0.10 £1,250,000 National Grid 5.875% Guaranteed Senior Bonds 2/2/2024 1,560 0.13 £650,000 National Grid 6% Guaranteed Senior European Medium

Term Bonds 7/6/2017 688 0.06 £1,250,000 National Grid 6% Guaranteed Senior European Medium

Term Bonds 13/5/2038 1,688 0.14 £550,000 National Grid 6.375% Guaranteed Senior European

Medium Term Bonds 3/3/2020 652 0.05 £675,000 National Grid 6.5% Guaranteed Senior Bonds 27/7/2028 918 0.08 £775,000 National Grid 7% Guaranteed Bonds 16/12/2024 1,037 0.09 £925,000 National Grid 7.375% Guaranteed Senior European

Medium Term Bonds 13/1/2031 1,368 0.11 £250,000 National Grid 8.75% Bonds 27/6/2025 376 0.03 £1,525,000 Nationwide Building Society 2.25% European Medium

Term Notes 29/4/2022 1,506 0.12 £1,150,000 Nationwide Building Society 3.25% European Medium

Term Notes 20/1/2028 1,136 0.09 £1,550,000 Nationwide Building Society 5.625% Guaranteed

European Medium Term Bonds 28/1/2026 2,009 0.17 £1,575,000 Nationwide Building Society 5.625% Guaranteed Senior

European Medium Term Notes 9/9/2019 1,769 0.15 £250,000 Nationwide Building Society 8.625% Guaranteed Bonds

29/3/2018 278 0.02 £1,450,000 Natixis 5.875% Guaranteed Senior European Medium

Term Bonds 24/2/2020 1,688 0.14 £1,169,657 Nats En Route 5.25% Guaranteed Bonds 31/3/2026 1,349 0.11 £1,250,000 Nederlandse Waterschapsbank 2% European Medium

Term Notes 28/12/2018 1,290 0.11 £1,050,000 Nederlandse Waterschapsbank 5.375% Guaranteed

Senior European Medium Term Bonds 7/6/2032 1,443 0.12 £1,250,000 Nestlé 1.625% Guaranteed European Medium Term

Notes 11/12/2017 1,266 0.11 £850,000 Nestlé 1.75% European Medium Term Notes 9/12/2020 868 0.07 £975,000 Nestlé 2.25% European Medium Term Bonds 30/11/2023 1,002 0.08 £1,875,000 Network Rail 1% Guaranteed European Medium Term

Notes 7/12/2017 1,888 0.16 £2,125,000 Network Rail 4.375% Guaranteed European Medium

Term Bonds 9/12/2030 2,697 0.22 £2,434,000 Network Rail 4.625% Guaranteed European Medium

Term Bonds 21/7/2020 2,820 0.23 £2,500,000 Network Rail 4.75% Guaranteed European Medium Term

Bonds 22/1/2024 3,101 0.26


£2,625,000 Network Rail 4.75% Guaranteed European Medium Term Bonds 29/11/2035 3,555 0.30

£600,000 Network Rail Infrastructure Finance 3% Bonds 7/9/2023 672 0.06 £750,000 Next 4.375% Senior Notes 2/10/2026 818 0.07 £850,000 Next 5.375% Guaranteed Senior Bonds 26/10/2021 978 0.08 £1,060,000 NIE Finance 6.375% Bonds 2/6/2026 1,354 0.11 £675,000 Nomura Europe Finance 5.5% Guaranteed European

Medium Term Notes 23/3/2017 701 0.06 £1,250,000 Nordea Bank 2.125% European Medium Term Notes

13/11/2019 1,264 0.10 £650,000 Nordea Bank 2.375% Bonds 2/6/2022 652 0.05 £550,000 Nordic Investment Bank 5.2% Guaranteed Senior

European Medium Term Bonds 7/6/2032 778 0.06 £400,000 Nordic Investment Bank 5.25% Guaranteed Senior

European Medium Term Bonds 26/11/2019 467 0.04 £450,000 Northern Electric Finance 5.125% Guaranteed Bonds

4/5/2035 534 0.04 £500,000 Northern Electric Finance 8.875% Guaranteed Bonds

16/10/2020 647 0.05 £900,000 Northern Gas Networks 4.875% Guaranteed Bonds

30/6/2027 1,036 0.09 £700,000 Northern Gas Networks 4.875% Guaranteed Bonds

15/11/2035 801 0.07 £325,000 Northern Gas Networks 5.625% Guaranteed European

Medium Term Bonds 23/3/2040 403 0.03 £500,000 Northern Gas Networks 5.875% Guaranteed Notes

8/7/2019 565 0.05 £340,000 Northern Powergrid 5.125% Guaranteed Bonds 4/5/2035 403 0.03 £380,000 Northern Powergrid 7.25% Guaranteed Senior Bonds

15/12/2022 480 0.04 £100,000 Northern Powergrid 9.25% Guaranteed Senior Bonds

17/1/2020 126 0.01 £250,000 Northern Rock Asset Management 6.375% Guaranteed

European Medium Term Bonds 2/12/2019 291 0.02 £900,000 Northumbrian Water Finance 5.125% Guaranteed Bonds

23/1/2042 1,055 0.09 £375,000 Northumbrian Water Finance 5.625% Guaranteed Bonds

29/4/2033 467 0.04 £725,000 Northumbrian Water Finance 6% Guaranteed Bonds

11/10/2017 774 0.06 £875,000 Northumbrian Water Finance 6.875% Guaranteed Bonds

6/2/2023 1,099 0.09




£950,000 Notting Hill Housing Trust 3.75% Bonds 20/12/2032 961 0.08 £350,000 Notting Hill Housing Trust 4.375% Senior Notes

20/2/2054 379 0.03 £700,000 Notting Hill Housing Trust 5.25% Guaranteed Senior

Bonds 7/7/2042 841 0.07 £1,200,000 NRW Bank 0.875% Bonds 15/12/2017 1,201 0.10 £376,822 Octagon Healthcare 5.333% Guaranteed Bonds

30/6/2036 451 0.04 £1,250,000 OeKB Oesterreichische Kontrollbank 2% European

Medium Term Notes 17/12/2018 1,289 0.11 £200,000 OeKB Oesterreichische Kontrollbank 5.75% Guaranteed

European Medium Term Bonds 7/12/2028 275 0.02 £700,000 Orange 5.25% Guaranteed Senior European Medium

Term Bonds 5/12/2025 819 0.07 £1,100,000 Orange 5.375% Guaranteed European Medium Term

Bonds 22/11/2050 1,278 0.11 £1,300,000 Orange 5.625% Guaranteed Senior Bonds 23/1/2034 1,533 0.13 £500,000 Orange 7.25% Guaranteed Senior European Medium

Term Bonds 10/11/2020 612 0.05 £775,000 Orange 8% Guaranteed Senior European Medium Term

Bonds 20/12/2017 862 0.07 £1,025,000 Orange 8.125% Guaranteed Senior European Medium

Term Bonds 20/11/2028 1,486 0.12 £675,000 Orbit Capital 3.5% Bonds 24/3/2045 619 0.05 £875,000 PACCAR Financial Europe 1.513% European Medium

Term Notes 29/5/2018 874 0.07 £500,000 Paragon Treasury 3.625% Bonds 21/1/2047 465 0.04 £850,000 Peabody Capital No 2 4.625% Guaranteed Bonds

12/12/2053 966 0.08 £1,125,000 PepsiCo 2.5% European Medium Term Notes 1/11/2022 1,158 0.10 £850,000 Petróleos Mexicanos 8.25% Guaranteed European

Medium Term Bonds 2/6/2022 960 0.08 £3,550,000 Pfizer 6.5% Guaranteed Senior Bonds 3/6/2038 4,911 0.41 £575,000 PGH Capital 5.75% Bonds 7/7/2021 594 0.05 £1,000,000 PGH Capital 6.625% Bonds 18/12/2025 926 0.08 £550,000 Phoenix Natural Gas Finance 5.5% Guaranteed Notes

10/7/2017 576 0.05 £98,652 Picts 5.218% Guaranteed Bonds 20/1/2039 109 0.01 £1,100,000 Places For People Homes 5.09% Guaranteed Asset

Backed Bonds 31/7/2043 1,268 0.11 £150,000 Places For People Homes 8.625% Bonds 26/9/2020 174 0.01


£900,000 Pohjola Bank 2.5% European Medium Term Note 20/5/2022 906 0.08

£600,000 Porterbrook Rail Finance 4.625% Senior European Medium Term Notes 4/4/2029 660 0.05

£600,000 Porterbrook Rail Finance 5.5% Guaranteed Senior European Medium Term Notes 20/4/2019 656 0.05

£782,000 Porterbrook Rail Finance 6.5% Guaranteed European Medium Term Bonds 20/10/2020 914 0.08

£500,000 Porterbrook Rail Finance 7.125% Guaranteed Senior European Medium Term Bonds 20/10/2026 663 0.05

£450,000 PostNL 7.5% Guaranteed Senior Notes 14/8/2018 508 0.04 £285,000 Procter & Gamble 5.25% Guaranteed Senior Bonds

19/1/2033 364 0.03 £1,250,000 Procter & Gamble 6.25% Guaranteed Senior Bonds

31/1/2030 1,710 0.14 £775,000 Provident Financial 8% Guaranteed Notes 23/10/2019 864 0.07 £1,050,000 Prudential 1.375% Senior European Medium Term Bonds

19/1/2018 1,047 0.09 £1,100,000 Prudential 1.75% European Medium Term Notes

27/11/2018 1,100 0.09 £1,400,000 Prudential 5% European Medium Term Notes 20/7/2055 1,149 0.10 £850,000 Prudential 5.875% Guaranteed Senior Bonds 11/5/2029 1,045 0.09 £950,000 Prudential 6.125% Guaranteed Subordinated European

Medium Term Bonds 19/12/2031 991 0.08 £350,000 Prudential 6.875% Bonds 20/1/2023 441 0.04 £240,000 Quadrant Housing Finance 7.93% Guaranteed Bonds

10/2/2033 343 0.03 £1,000,000 Rabobank Nederland 2.25% Bonds 23/3/2022 990 0.08 £700,000 Rabobank Nederland 3.25% Guaranteed Senior

European Medium Term Notes 1/11/2017 723 0.06 £1,200,000 Rabobank Nederland 4% Guaranteed European Medium

Term Notes 19/9/2022 1,299 0.11 £450,000 Rabobank Nederland 4.55% Guaranteed Senior

European Medium Term Bonds 30/8/2029 518 0.04 £1,300,000 Rabobank Nederland 4.625% Guaranteed Senior

European Medium Term Bonds 13/1/2021 1,438 0.12 £2,475,000 Rabobank Nederland 4.625% Subordinated European

Medium Term Notes 23/5/2029 2,365 0.20 £550,000 Rabobank Nederland 4.875% Guaranteed Senior

European Medium Term Bonds 10/1/2023 624 0.05 £1,175,000 Rabobank Nederland 5.25% European Medium Term

Bonds 14/9/2027 1,208 0.10




£880,000 Rabobank Nederland 5.25% Guaranteed Senior European Medium Term Bonds 23/5/2041 1,044 0.09

£700,000 Rabobank Nederland 5.375% Guaranteed Senior European Medium Term Bonds 3/8/2060 901 0.07

£500,000 RCI Banque 2.125% European Medium Term Notes 6/10/2017 499 0.04

£525,000 RCI Banque 3% Senior European Medium Term Notes 9/5/2019 533 0.04

£600,000 RCI Banque 3.25% Senior European Medium Term Notes 25/4/2018 612 0.05

£900,000 RELX 2.75% Notes 1/8/2019 921 0.08 £700,000 RELX 7% Guaranteed Notes 11/12/2017 763 0.06 £800,000 Repsol Oil & Gas 6.625% Guaranteed Senior Bonds

5/12/2017 841 0.07 £1,008,000 Rio Tinto 4% European Medium Term Bonds 11/12/2029 977 0.08 £375,000 Riverside Finance 3.875% Senior Bonds 5/12/2044 368 0.03 £825,000 RL Finance Bonds No 3 6.125% Bonds 13/11/2028 795 0.07 £997,536 RMPA Services 5.337% Guaranteed Bonds 30/9/2038 1,164 0.10 £650,000 Roche Finance Europe 5.375% Guaranteed European

Medium Term Bonds 29/8/2023 801 0.07 £700,000 Rolls-Royce 3.375% Guaranteed European Medium Term

Notes 18/6/2026 684 0.06 £1,100,000 Rolls-Royce 6.75% Guaranteed Notes 30/4/2019 1,258 0.10 £375,000 Rolls-Royce 7.375% Guaranteed European Medium Term

Bonds 14/6/2016 381 0.03 £2,200,000 Royal Bank of Scotland 5.125% Guaranteed Senior


European Medium Term Bonds 17/9/2018 1,776 0.15 £250,000 Royal Bank of Scotland 6.875% Guaranteed Senior

European Medium Term Bonds 17/5/2025 318 0.03 £1,000,000 Royal Bank of Scotland 7.5% Guaranteed Senior

European Medium Term Bonds 29/4/2024 1,315 0.11 £1,150,000 Royal Dutch Shell 2% European Medium Term Bonds

20/12/2019 1,148 0.10 £1,000,000 RSA Insurance 5.125% Guaranteed Bonds 10/10/2045 894 0.07 £863,104 RSL Finance 6.625% Guaranteed Senior Bonds

31/3/2038 1,143 0.09 £1,200,000 RWE Finance 4.75% Guaranteed European Medium

Term Bonds 31/1/2034 1,076 0.09 £950,000 RWE Finance 5.5% Guaranteed European Medium

Term Bonds 6/7/2022 1,046 0.09


£1,400,000 RWE Finance 5.625% Guaranteed European Medium Term Bonds 6/12/2023 1,539 0.13




£450,000 Safeway 6% Guaranteed Senior European Medium Term Bonds 10/1/2017 464 0.04

£150,000 Safeway 6.125% Guaranteed Bonds 17/12/2018 163 0.01 £850,000 Saint-Gobain 4.625% Senior European Medium Term

Notes 9/10/2029 896 0.07 £500,000 Saint-Gobain 5.625% Guaranteed Senior European

Medium Term Bonds 15/11/2024 575 0.05 £730,000 Sanctuary Capital 5% Senior European Medium Term

Bonds 26/4/2047 884 0.07 £700,000 Sanctuary Capital 6.697% Guaranteed Bonds 23/3/2039 1,010 0.08 £506,992 Sanctuary Housing Association 8.375% Guaranteed

Bonds 1/9/2031 757 0.06 £1,100,000 Santander UK 3.625% European Medium Term Notes

14/1/2026 1,070 0.09 £850,000 Scentre Management 2.375% Bonds 8/4/2022 838 0.07 £995,000 Scentre Management 3.875% European Medium Term

Notes 16/7/2026 1,047 0.09 £783,188 Sceptre Funding No.1 5.253% Guaranteed Senior Bonds

9/2/2027 940 0.08 £300,000 Scotland Gas Network 4.75% Guaranteed Senior

European Medium Term Bonds 21/2/2017 309 0.03 £650,000 Scotland Gas Network 4.875% Guaranteed Senior

European Medium Term Bonds 21/12/2034 740 0.06 £550,000 Scottish Power 6.75% Bonds 29/5/2023 684 0.06 £500,000 Scottish Power UK 8.375% Guaranteed Senior Bonds

20/2/2017 533 0.04 £1,900,000 Scottish Widows 5.5% Bonds 16/6/2023 1,890 0.16 £1,536,000 Scottish Widows 7% Subordinated Bonds 16/6/2043 1,509 0.13 £300,000 Segro 5.5% Guaranteed Senior Bonds 20/6/2018 323 0.03 £577,000 Segro 5.625% Guaranteed Senior Bonds 7/12/2020 660 0.05 £325,000 Segro 5.75% Guaranteed Senior Bonds 20/6/2035 407 0.03 £300,000 Segro 6% Guaranteed Senior Bonds 30/9/2019 339 0.03 £1,025,000 Segro 6.75% Guaranteed Senior Bonds 23/11/2021 1,250 0.10 £350,000 Segro 6.75% Guaranteed Senior Bonds 23/2/2024 441 0.04




£500,000 Segro 7% Guaranteed Senior Bonds 14/3/2022 620 0.05 £1,100,000 Severn Trent Utilities Finance 3.625% European Medium

Term Bonds 16/1/2026 1,153 0.10 £600,000 Severn Trent Utilities Finance 4.875% Guaranteed Bonds

24/1/2042 685 0.06 £900,000 Severn Trent Utilities Finance 6% Guaranteed European

Medium Term Notes 22/1/2018 971 0.08 £875,000 Severn Trent Utilities Finance 6.125% Guaranteed Bonds

26/2/2024 1,077 0.09 £785,000 Severn Trent Water Utilities 6.25% Guaranteed Bonds

7/6/2029 1,035 0.09 £730,000 SGSP Australia Assets 5.125% Guaranteed European

Medium Term Bonds 11/2/2021 814 0.07 £800,000 Siemens Financieringsmaatschappij 2.75% Medium

Term Notes 10/9/2025 808 0.07 £1,400,000 Siemens Financieringsmaatschappij 3.75% European

Medium Term Bonds 10/9/2042 1,401 0.12 £450,000 Skandinaviska Enskilda Banken 3% Senior European

Medium Term Notes 18/12/2020 472 0.04 £625,000 Société Générale 5% Guaranteed Senior European

Medium Term Notes 20/12/2018 678 0.06 £350,000 Société Générale 5.4% Guaranteed Subordinated

European Medium Term Bonds 30/1/2018 367 0.03 £1,150,000 Society of Lloyd’s 4.75% Subordinated Bonds 30/10/2024 1,131 0.09 £400,000 South East Water Finance 5.5834% Guaranteed European

Medium Term Bonds 29/3/2029 482 0.04 £525,000 South East Water Finance 5.6577% Guaranteed

European Medium Term Bonds 30/9/2019 585 0.05 £1,000,000 South Eastern Power Networks 5.5% Guaranteed Senior

European Medium Term Bonds 5/6/2026 1,208 0.10 £675,000 South Eastern Power Networks 6.375% Guaranteed

Senior European Medium Term Bonds 12/11/2031 899 0.07 £675,000 Southern Electric Power 4.625% Guaranteed Senior

Bonds 20/2/2037 738 0.06 £700,000 Southern Electric Power 5.5% Guaranteed Senior Bonds

7/6/2032 845 0.07 £600,000 Southern Gas Network 4.875% Guaranteed European

Medium Term Bonds 21/12/2020 677 0.06 £900,000 Southern Gas Network 4.875% Guaranteed European

Medium Term Notes 5/10/2023 1,025 0.09 £700,000 Southern Gas Network 4.875% Guaranteed European



£1,175,000 Southern Gas Network 5.125% Guaranteed European Medium Term Notes 2/11/2018 1,277 0.11

£375,000 Southern Gas Network 6.375% Guaranteed Senior European Medium Term Bonds 15/5/2040 507 0.04

£825,000 Southern Gas Networks 2.5% Senior European Medium Term Bonds 3/2/2025 796 0.07

£825,000 Southern Water Services Finance 4.5% Guaranteed Senior Bonds 31/3/2052 914 0.08

£625,000 Southern Water Services Finance 5% Guaranteed European Medium Term Bonds 31/3/2021 702 0.06

£450,000 Southern Water Services Finance 5% Guaranteed Senior European Medium Term Bonds 31/3/2041 522 0.04

£150,000 Southern Water Services Finance 5.125% Guaranteed Senior European Medium Term Bonds 30/9/2056 189 0.02

£450,000 Southern Water Services Finance 6.125% Guaranteed Senior European Medium Term Bonds 31/3/2019 507 0.04

£950,000 Southern Water Services Finance 6.192% Guaranteed European Medium Term Bonds 31/3/2029 1,239 0.10

£925,000 Southern Water Services Finance 6.64% European Medium Term Notes 31/3/2026 1,211 0.10

£650,000 Sovereign Housing Capital 4.768% Guaranteed European Medium Term Notes 1/6/2043 755 0.06

£450,000 Sovereign Housing Capital 5.705% Guaranteed Bonds 10/9/2039 582 0.05

£500,000 SP Manweb 4.875% Senior Medium Term Notes 20/9/2027 570 0.05

£800,000 SPD Finance UK 5.875% Guaranteed Bonds 17/7/2026 984 0.08 £1,650,000 SSE 3.875% Perpetual Bonds 1,511 0.13 £500,000 SSE 4.25% Guaranteed Senior European Medium Term

Bonds 14/9/2021 549 0.05 £1,300,000 SSE 5% Guaranteed Senior European Medium Term

Notes 1/10/2018 1,407 0.12 £1,150,000 SSE 5.875% Guaranteed Senior Bonds 22/9/2022 1,378 0.11 £750,000 SSE 6.25% Guaranteed Senior European Medium Term

Bonds 27/8/2038 952 0.08 £1,125,000 SSE 8.375% Guaranteed Senior Bonds 20/11/2028 1,657 0.14 £875,000 Stagecoach 4% Bonds 29/9/2025 879 0.07 £1,800,000 Standard Chartered 4.375% European Medium Term

Bonds 18/1/2038 1,644 0.14 £2,025,000 Standard Chartered 5.125% Subordinated European





£1,750,000 Standard Chartered 7.75% Guaranteed Subordinated European Medium Term Bonds 3/4/2018 1,890 0.16

£1,050,000 Statoil 4.25% Guaranteed European Medium Term Notes 10/4/2041 1,068 0.09

£575,000 Statoil 6.125% Guaranteed European Medium Term Bonds 27/11/2028 732 0.06

£1,645,000 Statoil 6.875% Guaranteed European Medium Term Bonds 11/3/2031 2,241 0.19

£400,000 Suez Environnement 5.375% Senior European Medium Term Bonds 2/12/2030 484 0.04

£565,000 Sunderland (SHG) Finance 6.38% Guaranteed Senior Bonds 31/3/2042 757 0.06

£1,250,000 Svensk Exportkredit 1.875% European Medium Term Notes 21/12/2018 1,284 0.11

£300,000 Svenska Handelsbanken 1.875% Senior European Medium Term Notes 29/8/2017 302 0.03

£750,000 Svenska Handelsbanken 2.375% European Medium Term Notes 18/1/2022 752 0.06

£700,000 Svenska Handelsbanken 2.75% European Medium Term Notes 5/12/2022 710 0.06

£650,000 Svenska Handelsbanken 3% Senior European Medium Term Notes 20/11/2020 678 0.06

£1,350,000 Svenska Handelsbanken 4% Guaranteed Senior Notes 18/1/2019 1,436 0.12

£600,000 Swan Housing Capital 3.625% Bonds 5/3/2048 563 0.05 £900,000 Swedbank 1.625% Bonds 15/4/2019 900 0.07 £700,000 Tate & Lyle International Finance 6.75% Guaranteed

Notes 25/11/2019 810 0.07 £1,450,000 TDC 5.625% Guaranteed Senior European Medium Term

Bonds 23/2/2023 1,587 0.13 £1,250,000 Telefónica Emisiones 5.289% Guaranteed European



Medium Term Bonds 2/2/2026 1,491 0.12 £950,000 Telefónica Emisiones 5.445% Guaranteed European


Medium Term Notes 12/3/2020 1,864 0.15 £1,210,194 Telereal Secured Finance 4.01% Asset Backed Notes

10/12/2033 1,186 0.10


£193,750 Telereal Securitisation 4.9741% Guaranteed Asset Backed Bonds 10/12/2033 215 0.02



£286,282 Telereal Securitisation 5.5534% Asset Backed Bonds 10/12/2033 328 0.03



£975,800 Telereal Securitisation 6.1645% Guaranteed Asset Backed Bonds 10/12/2033 1,095 0.09

£975,000 TeliaSonera 4.375% European Medium Term Bonds 5/12/2042 913 0.08

£500,000 Temasek Financial I 4.625% Guaranteed Bonds 26/7/2022 588 0.05

£1,090,000 Temasek Financial I 5.125% Guaranteed Bonds 26/7/2040 1,449 0.12

£225,000 Textron 6.625% Guaranteed Senior European Medium Term Bonds 7/4/2020 252 0.02

£1,050,000 Thames Water Utilities Cayman Finance 3.5% Asset Backed Bonds 25/2/2028 1,068 0.09

£1,475,000 Thames Water Utilities Cayman Finance 4% Senior Notes 19/6/2025 1,593 0.13

£700,000 Thames Water Utilities Cayman Finance 4.375% Guaranteed European Medium Term Bonds 3/7/2034 740 0.06


£1,108,000 Thames Water Utilities Cayman Finance 5.5% Guaranteed Senior European Medium Term Bonds 11/2/2041 1,337 0.11


£1,399,000 Thames Water Utilities Finance 5.125% Guaranteed European Medium Term Bonds 28/9/2037 1,616 0.13

£600,000 Thames Water Utilities Finance 6.5% Guaranteed Senior European Medium Term Bonds 9/2/2032 789 0.07

£450,000 Thames Water Utilities Finance 6.75% Guaranteed European Medium Term Bonds 16/11/2028 603 0.05




£200,000 THFC 5.125% Guaranteed Senior European Medium Term Bonds 21/12/2035 237 0.02

£1,175,000 THFC 5.2% Guaranteed Senior European Medium Term Bonds 11/10/2043 1,408 0.12

£1,600,000 THFC Funding No.2 6.35% Guaranteed Senior European Medium Term Bonds 8/7/2041 2,171 0.18

£542,613 THPA Finance 7.127% Guaranteed Asset Backed Bonds 15/3/2024 622 0.05

£1,488,000 Time Warner Cable 5.25% Guaranteed Bonds 15/7/2042 1,256 0.10 £1,485,000 Time Warner Cable 5.75% Guaranteed Bonds 2/6/2031 1,447 0.12 £652,000 Together Housing 4.5% Bonds 17/12/2042 703 0.06 £750,000 Total Capital 3.875% Guaranteed European Medium

Term Notes 14/12/2018 793 0.07 £1,025,000 Total Capital 4.25% Guaranteed European Medium Term

Notes 8/12/2017 1,073 0.09 £500,000 Total Capital International 2.25% European Medium

Term Notes 17/12/2020 506 0.04 £550,000 Total Capital International 2.25% European Medium

Term Notes 9/6/2022 549 0.05 £650,000 Toyota Motor Credit 4% Guaranteed Senior European

Medium Term Notes 7/12/2017 680 0.06 £643,063 Trafford Centre Finance 6.5% Guaranteed Asset Backed

Bonds 28/7/2033 847 0.07 £1,050,000 Transport for London 1.25% European Medium Term

Notes 21/11/2017 1,053 0.09 £850,000 Transport for London 2.125% Bonds 24/4/2025 847 0.07 £1,350,000 Transport for London 2.25% Guaranteed European

Medium Term Notes 9/8/2022 1,392 0.12 £1,049,000 Transport for London 3.625% European Medium Term

Notes 15/5/2045 1,127 0.09 £1,200,000 Transport for London 3.875% Guaranteed European

Medium Term Notes 23/7/2042 1,357 0.11 £325,000 Transport for London 4% Senior European Medium

Term Notes 12/9/2033 372 0.03 £1,150,000 Transport for London 4% Senior European Medium Term

Notes 7/4/2064 1,430 0.12 £150,000 Transport for London 4.5% Guaranteed European

Medium Term Bonds 31/3/2031 177 0.01 £450,000 Transport for London 5% Guaranteed European Medium

Term Bonds 31/3/2035 586 0.05 £2,400,000 UBS 6.625% Guaranteed Senior European Medium Term

Notes 11/4/2018 2,658 0.22


£500,000 UK Care No.1 6.3% Guaranteed Asset Backed Bonds 1/10/2029 680 0.06

£700,000 Unilever 2% Guaranteed European Medium Term Notes 19/12/2018 718 0.06

£550,000 Unilever 4.75% Guaranteed European Medium Term Notes 16/6/2017 576 0.05

£1,100,000 Unite USAF II 3.374% Senior Bonds 30/6/2028 1,140 0.09 £950,000 United Parcel Service 5.125% Guaranteed Senior Bonds

12/2/2050 1,264 0.10 £355,000 United Utilities Water 5% Guaranteed Senior European

Medium Term Bonds 28/2/2035 417 0.03 £150,000 United Utilities Water 5.375% Guaranteed Senior

European Medium Term Bonds 14/5/2018 162 0.01 £525,000 United Utilities Water 5.625% Guaranteed Senior

European Medium Term Bonds 20/12/2027 647 0.05 £1,050,000 United Utilities Water 5.75% Guaranteed Senior

European Medium Term Bonds 25/3/2022 1,251 0.10 £1,050,000 University of Cambridge 3.75% Notes 17/10/2052 1,255 0.10 £700,000 University of Leeds 3.125% Bonds 19/12/2050 686 0.06 £550,000 University of Liverpool 3.375% Bonds 25/6/2055 575 0.05 £588,000 University of Manchester 4.25% Bonds 4/7/2053 738 0.06 £607,953 UPP 4.9023% Senior European Medium Term Notes

28/2/2040 682 0.06 £874,000 Vattenfall 6.125% Guaranteed Senior European Medium

Term Bonds 16/12/2019 998 0.08 £2,325,000 Vattenfall 6.875% Guaranteed Senior European Medium

Term Bonds 15/4/2039 3,021 0.25 £50,000 Vector 7.625% Guaranteed European Medium Term

Bonds 14/1/2019 57 – £1,550,000 Veolia Environnement 6.125% Guaranteed Senior

European Medium Term Bonds 29/10/2037 1,955 0.16 £1,411,000 Verizon Communications 4.073% Senior Notes 18/6/2024 1,504 0.12 £2,050,000 Verizon Communications 4.75% Senior European

Medium Term Notes 17/2/2034 2,137 0.18 £650,000 Virgin Money 2.25% Guaranteed Medium Term Notes

21/4/2020 639 0.05 £1,550,000 Vodafone 5.375% Guaranteed Senior European Medium

Term Notes 5/12/2017 1,639 0.14 £500,000 Vodafone 5.625% Guaranteed Senior European Medium

Term Bonds 4/12/2025 579 0.05 £1,000,000 Vodafone 5.9% Guaranteed Senior European Medium

Term Bonds 26/11/2032 1,150 0.10




£1,050,000 Vodafone 8.125% Guaranteed Senior European Medium Term Notes 26/11/2018 1,217 0.10

£1,000,000 Volkswagen 1.75% Bonds 17/4/2020 965 0.08 £200,000 Volkswagen Financial Services 1.25% Guaranteed Bonds

23/5/2016 200 0.02 £600,000 Volkswagen Financial Services 1.75% Guaranteed


European Medium Term Notes 13/11/2018 499 0.04 £1,000,000 Volkswagen Financial Services 2.625% Guaranteed


European Medium Term Notes 2/10/2020 501 0.04 £1,050,000 Wales & West Utilities Finance 4.625% Guaranteed

Bonds 13/12/2023 1,190 0.10 £300,000 Wales & West Utilities Finance 5.75% Guaranteed

Bonds 29/3/2030 376 0.03 £825,000 Wales & West Utilities Finance 6.25% Guaranteed

Bonds 30/11/2021 999 0.08 £825,000 Walgreens Boots Alliance 2.875% Bonds 20/11/2020 825 0.07 £750,000 Walgreens Boots Alliance 3.6% Bonds 20/11/2025 737 0.06 £2,300,000 Wal-Mart Stores 4.875% Guaranteed Senior Bonds

19/1/2039 2,701 0.22 £2,350,000 Wal-Mart Stores 5.25% Guaranteed Senior Bonds



19/12/2030 1,581 0.13 £950,000 Wellcome Trust Finance 4% Guaranteed Bonds

9/5/2059 1,215 0.10 £1,075,000 Wellcome Trust Finance 4.625% Guaranteed Bonds

25/7/2036 1,376 0.11 £900,000 Wellcome Trust Finance 4.75% Guaranteed Bonds

28/5/2021 1,050 0.09 £1,675,000 Wells Fargo 2.125% European Medium Term Note

22/4/2022 1,630 0.14 £1,150,000 Wells Fargo 3.5% Medium Term Notes 12/9/2029 1,127 0.09 £1,750,000 Wells Fargo 4.625% Guaranteed Senior Bonds

2/11/2035 1,869 0.16 £1,600,000 Wells Fargo 4.875% Guaranteed Subordinated



£1,500,000 Wells Fargo 5.25% Guaranteed Subordinated European Medium Term Bonds 1/8/2023 1,668 0.14

£1,140,000 Welltower 4.5% Medium Term Notes 1/12/2034 1,074 0.09 £1,225,000 Welltower 4.8% Senior Notes 20/11/2028 1,272 0.11 £400,000 Wessex Water 4% Guaranteed Bonds 24/9/2021 436 0.04 £425,000 Wessex Water Services 5.75% Guaranteed Bonds

14/10/2033 545 0.05 £400,000 Wessex Water Services Finance 5.375% Guaranteed

Bonds 10/3/2028 486 0.04 £250,000 Western Power 9.25% Bonds 9/11/2020 328 0.03 £1,100,000 Western Power Distribution 3.625% Bonds 6/11/2023 1,112 0.09 £1,642,000 Western Power Distribution 5.25% Senior European

Medium Term Bonds 17/1/2023 1,887 0.16 £300,000 Western Power Distribution 5.75% Guaranteed Bonds

23/3/2040 375 0.03 £500,000 Western Power Distribution 5.75% Guaranteed Senior

Bonds 23/3/2040 626 0.05 £1,850,000 Western Power Distribution 5.75% Guaranteed Senior

European Medium Term Bonds 16/4/2032 2,291 0.19 £650,000 Western Power Distribution 5.875% Guaranteed Senior

Bonds 25/3/2027 805 0.07 £400,000 Western Power Distribution 6% European Medium Term

Notes 9/5/2025 497 0.04 £650,000 Western Power Distribution 6.25% Guaranteed European

Medium Term Bonds 10/12/2040 865 0.07 £1,100,000 Western Power Distribution West Midlands 3.875%

Senior European Medium Term Notes 17/10/2024 1,175 0.10 £1,300,000 Westpac Banking 2.625% European Medium Term Notes

14/12/2022 1,296 0.11 £1,125,000 Westpac Banking 5% Guaranteed Senior European

Medium Term Notes 21/10/2019 1,241 0.10 £650,000 Westpac Securities 2.5% European Medium Term Notes

13/1/2021 644 0.05 £800,000 Wheatley Group Capital 4.375% European Non Dollar

Bonds 28/11/2044 845 0.07 £500,000 WHG Treasury 4.25% Senior Bonds 6/10/2045 521 0.04 £975,000 Whitbread 3.375% Bonds 16/10/2025 970 0.08 £708,866 White City Property Finance 5.1202% Guaranteed Bonds

17/4/2035 834 0.07 £950,000 Wm Morrison Supermarkets 3.5% Guaranteed European

Medium Term Notes 27/7/2026 834 0.07




£1,425,000 Wm Morrison Supermarkets 4.625% Guaranteed European Medium Term Bonds 8/12/2023 1,409 0.12

£400,000 Wm Morrison Supermarkets 4.75% European Medium Term Notes 4/7/2029 373 0.03

£540,635 Wods Transmission 3.446% Bonds 24/8/2034 557 0.05 £700,000 WPP 6% Guaranteed Bonds 4/4/2017 731 0.06 £475,000 WPP Finance 6.375% Guaranteed Bonds 6/11/2020 562 0.05 £450,000 Yorkshire Building Society 4.125% European Medium

Term Notes 20/11/2024 439 0.04 £2,050,000 Yorkshire Building Society 4.75% Guaranteed European

Medium Term Notes 12/4/2018 2,207 0.18 £745,000 Yorkshire Power Finance 7.25% Guaranteed Bonds

4/8/2028 1,019 0.08 £800,000 Yorkshire Water 6% European Medium Term Notes

21/8/2019 911 0.08 £750,000 Yorkshire Water Services Bradford 3.625% Guaranteed

European Medium Term Notes 1/8/2029 783 0.07 £700,000 Yorkshire Water Services Bradford Finance 6.375%

Senior Notes 19/8/2039 954 0.08 £550,000 Yorkshire Water Services Finance 5.5% Guaranteed

Bonds 28/5/2037 685 0.06 £400,000 Yorkshire Water Services Odsal Finance 6.454%

Guaranteed Bonds 28/5/2027 523 0.04 £275,000 Yorkshire Water Services Odsal Finance 6.5876%

Guaranteed Bonds 21/2/2023 342 0.03 £300,000 Yorkshire Water Services Odsal Finance 6.6011%

Guaranteed Bonds 17/4/2031 407 0.03

1,069,468 88.87

UK Sterling Denominated Fixed Rate Government Bonds – 3.50%; 2015 2.56% £750,000 Agence Francaise de Developpement 0.75% Bonds

31/3/2017 749 0.06 £1,150,000 Belgium (Kingdom) 1.125% Bonds 21/12/2018 1,157 0.10 £570,000 Belgium (Kingdom) 5% Bonds 24/4/2018 620 0.05 £150,000 Belgium (Kingdom) 5.7% Bonds 28/5/2032 207 0.02 £250,000 Belgium (Kingdom) 9.375% Bonds 21/2/2020 328 0.03 £1,500,000 Caisse d’ Amortissement de la Dette Sociale 1% Senior

Notes 7/3/2018 1,508 0.13 £950,000 Caisse d’Amortissement de la Dette Sociale 1% Senior

European Medium Term Notes 7/3/2019 952 0.08 £1,100,000 Caisse d’Amortissement de la Dette Sociale 1.375%

Senior European Medium Term Notes 6/2/2017 1,107 0.09


£700,000 Caisse d’Amortissement de la Dette Sociale 3.75% Senior European Medium Term Notes 15/10/2018 752 0.06

£1,100,000 Caisse des Depots et Consignations 1.5% Bonds 23/12/2019 1,122 0.09

£500,000 Export Development Canada 1.375% European Medium Term Notes 16/12/2019 510 0.04

£1,550,000 Export Development Canada 1.875% Senior European Medium Term Notes 17/12/2018 1,597 0.13

£500,000 Export-Import Bank of Korea 2% European Medium Term Note 7/12/2017 505 0.04

£718,000 Federal National Mortgage Association 5.375% Bonds 7/12/2028 956 0.08

£500,000 Finland (Government) 1% Bonds 17/12/2018 504 0.04 £300,000 Finland (Government) 1.125% Senior Notes 7/12/2017 302 0.03 £750,000 Finland (Government) 1.5% Bonds 19/12/2019 769 0.06 £750,000 Instituto de Credito Oficial 1.875% Bonds 15/12/2017 755 0.06 £350,000 Isle of Man (Government) 5.375% Guaranteed Senior

Bonds 14/8/2034 469 0.04 £550,000 Italy (Republic) 5.25% Bonds 7/12/2034 626 0.05 £3,725,000 Italy (Republic) 6% Bonds 4/8/2028 4,547 0.38 £200,000 Japan Finance Organization for Municipalities 5.75%

Bonds 9/8/2019 231 0.02 £1,250,000 Kommunekredit 1.125% European Medium Term Notes

7/12/2018 1,259 0.10 £1,000,000 Kommuninvest I Sverige 1.125% Guaranteed European

Medium Term Bonds 6/9/2019 999 0.08 £2,285,000 Mexico (Government) 5.625% Bonds 19/3/2114 2,001 0.17 £1,250,000 Mexico (Government) 6.75% Bonds 6/2/2024 1,478 0.12 £1,200,000 Nordrhein Westfalen 0.875% Senior Bonds 7/3/2018 1,201 0.10 £1,400,000 SNCF Réseau 4.83% Bonds 25/3/2060 1,980 0.16 £950,000 SNCF Réseau 5% European Medium Term Notes

11/3/2052 1,324 0.11 £1,825,000 SNCF Réseau 5.25% European Medium Term Notes




1/12/2021 2,183 0.18 £600,000 Spain (Kingdom) 5.25% Bonds 6/4/2029 689 0.06 £773,000 States of Guernsey 3.375% Senior Bonds 12/12/2046 800 0.07




£500,000 States of Jersey (Government) 3.75% Bonds 9/6/2054 586 0.05 £75,000 Tennessee Valley Authority 4.625% Bonds 7/6/2043 97 0.01 £350,000 Tennessee Valley Authority 5.35% Guaranteed Bonds

7/6/2021 416 0.03 £675,000 Tennessee Valley Authority 5.625% Bonds 7/6/2032 920 0.08

42,111 3.50

UK Sterling Denominated Variable Rate Corporate Bonds – 6.67%; 2015 8.32% £1,109,000 America Movil 6.375% Subordinated Floating Rate

Notes 6/9/2073 1,093 0.09 £500,000 Anglian Water Services Financing 5.5% Guaranteed

Floating Rate European Medium Term Bonds 10/10/2040 523 0.04 £750,000 Assicurazioni Generali 6.269% Guaranteed Perpetual

Subordinated Floating Rate Bonds 650 0.05 £1,100,000 Assicurazioni Generali 6.416% Guaranteed Perpetual

Subordinated Floating Rate Bonds 992 0.08 £1,175,000 Aviva 5.9021% Guaranteed Perpetual Subordinated

Floating Rate Bonds 1,125 0.09 £1,760,000 Aviva 6.125% Floating Rate Bonds 14/11/2036 1,739 0.14 £1,880,000 Aviva 6.125% Guaranteed Perpetual Floating Rate Bonds 1,806 0.15 £1,006,000 Aviva 6.625% Guaranteed Subordinated Floating Rate

European Medium Term Bonds 3/6/2041 1,052 0.09 £1,250,000 Aviva 6.875% Guaranteed Subordinated Floating Rate

European Medium Term Bonds 20/5/2058 1,242 0.10 £1,650,000 AXA 5.453% Subordinated Perpetual Floating Rate Notes 1,522 0.13 £1,639,000 AXA 5.625% Subordinated Floating Rate European

Medium Term Notes 16/1/2054 1,453 0.12 £975,000 AXA 6.6862% Guaranteed Perpetual Subordinated

Floating Rate European Medium Term Bonds 1,005 0.08 £500,000 AXA 6.772% Guaranteed Perpetual Subordinated

Floating Rate European Medium Term Bonds 515 0.04 £540,000 Barclays 6.125% Guaranteed Perpetual Subordinated

Floating Rate Bonds 539 0.04 £200,000 Barclays 6.375% Perpetual Variable Rate Bonds 201 0.02 £900,000 Barclays 6.75% Guaranteed Subordinated Floating

Rate European Medium Term Bonds 16/1/2023 934 0.08 £400,000 Barclays 7.125% Guaranteed Perpetual Subordinated

Floating Rate Bonds 424 0.04 £325,000 Barclays 8.25% Guaranteed Perpetual Subordinated

Floating Rate European Medium Term Bonds 345 0.03 £1,250,000 BG Energy Capital 6.5% Guaranteed Floating Rate

European Medium Term Notes 30/11/2072 1,290 0.11


£550,000 BNP Paribas 7.436% Guaranteed Perpetual Subordinated Floating Rate Bonds 567 0.05

£550,000 Bupa Finance 6.125% Guaranteed Perpetual Floating Rate Bonds 563 0.05

£600,000 CNP Assurances 7.375% Floating Rate Bonds 30/9/2041 643 0.05 £200,000 Commonwealth Bank of Australia 4.875% Floating Rate

European Medium Term Bonds 19/12/2023 211 0.02 £200,000 Crédit Agricole 5% Perpetual European Medium Term

Floating Rate Notes 200 0.02 £575,000 Danske Bank 5.375% Guaranteed Subordinated Floating

Rate European Medium Term Bonds 29/9/2021 585 0.05 £1,125,000 Direct Line Insurance 9.25% Guaranteed Floating Rate

Bonds 27/4/2042 1,322 0.11 £700,000 DNB Bank 6.0116% Guaranteed Perpetual Subordinated

Floating Rate Bonds 699 0.06 £1,700,000 Électricité de France 5.875% Perpetual Subordinated

Floating Rate European Medium Term Notes 1,344 0.11 £2,800,000 Électricité de France 6% Perpetual Subordinated

Floating Rate Bonds 2,376 0.20 £950,000 ELM 6.3024% Guaranteed Perpetual Floating Rate

European Medium Term Bonds 953 0.08 £700,000 ENGIE 4.625% Perpetual Floating Rate Notes 702 0.06 £576,000 Friends Life 6.875% Guaranteed Perpetual Floating Rate

Bonds 583 0.05 £1,650,000 Glencore Finance Europe 6% Variable European Medium

Term Notes 3/4/2022 1,411 0.12 £800,000 HSBC 5% Guaranteed Subordinated Floating Rate

European Medium Term Notes 20/3/2023 822 0.07 £750,000 HSBC 5.375% Guaranteed Subordinated Floating Rate

European Medium Term Bonds 4/11/2030 773 0.06 £775,000 HSBC 5.862% Guaranteed Perpetual Floating Rate Bonds 771 0.06 £1,950,000 HSBC 6.375% Guaranteed Subordinated Floating Rate

European Medium Term Bonds 18/10/2022 2,036 0.17 £1,465,000 HSBC Funding 5.844% Guaranteed Perpetual Floating

Rate Bonds 1,486 0.12 £2,025,000 ING Bank 6.875% Guaranteed Floating Rate European

Medium Term Bonds 29/5/2023 2,183 0.18 £790,000 Land Securities 4.875% Floating Rate European Medium

Term Bonds 7/11/2019 842 0.07 £850,000 Land Securities Capital Markets 4.875% Floating Rate





£1,219,000 Land Securities Capital Markets 5.125% Senior Floating Rate European Medium Term Bonds 7/2/2036 1,479 0.12

£925,000 Land Securities Capital Markets 5.376% Senior Floating Rate European Medium Term Bonds 30/9/2029 1,137 0.09

£750,000 Land Securities Capital Markets 5.391% Floating Rate European Medium Term Bonds 27/2/2026 893 0.07

£1,230,000 Land Securities Capital Markets 5.391% Floating Rate European Medium Term Bonds 31/3/2027 1,494 0.12

£500,000 Land Securities Capital Markets 5.396% Floating Rate European Medium Term Bonds 31/7/2032 622 0.05

£400,000 Land Securities Capital Markets 5.425% Senior Floating Rate European Medium Term Bonds 31/3/2022 456 0.04

£1,275,000 Legal & General 5.5% Subordinated Floating Rate European Medium Term Notes 27/6/2064 1,044 0.09

£1,100,000 Legal & General 5.875% Guaranteed Perpetual Subordinated Floating Rate European Medium Term Bonds 1,098 0.09

£1,200,000 Legal & General 6.385% Guaranteed Perpetual Subordinated Floating Rate Bonds 1,198 0.10

£600,000 Legal & General 10% Guaranteed Subordinated Floating Rate European Medium Term Bonds 23/7/2041 745 0.06

£725,000 Liverpool Victoria Friendly Society 6.5% Subordinated Floating Rate Notes 22/5/2043 675 0.06

£1,200,000 Lloyds Bank 5.75% Guaranteed Subordinated Floating Rate European Medium Term Bonds 9/7/2025 1,250 0.10

£775,000 Marstons Issuer 5.1576% Guaranteed Floating Rate Bonds 15/10/2027 803 0.07

£325,000 Marstons Issuer 5.1774% Guaranteed Floating Rate Bonds 15/7/2032 348 0.03

£1,100,000 Munich Re 6.625% Guaranteed Subordinated Floating Rate European Medium Term Notes 26/5/2042 1,217 0.10

£477,000 Munich Re 7.625% Guaranteed Subordinated Floating Rate Bonds 21/6/2028 521 0.04

£900,000 National Australia Bank 7.125% Variable Rate Subordinated European Medium Term Bonds 12/6/2023 975 0.08

£650,000 National Capital Trust 5.62% Guaranteed Perpetual Floating Rate Bonds 648 0.05

£550,000 Nederlandse Waterschapsbank 0.875% Floating Rate European Medium Term Notes 7/3/2018 551 0.05

£2,200,000 NGG Finance 5.625% Floating Rate Notes 18/6/2073 2,171 0.18 £1,250,000 Orange 5.75% Perpetual Variable Rate European

Medium Term Notes 1,202 0.10


£1,550,000 Orange 5.875% Perpetual Subordinated Floating Rate Notes 1,508 0.13

£1,525,000 Prudential 5.7% Subordinated Floating Rate European Medium Term Notes 19/12/2063 1,288 0.11

£900,000 Prudential 11.375% Guaranteed Subordinated Floating Rate European Medium Term Bonds 29/5/2039 1,097 0.09

£700,000 QBE Capital Funding 7.5% Variable Rate Guaranteed Bonds 24/5/2041 735 0.06

£805,000 Rabobank Capital Funding Trust IV 5.556% Guaranteed Perpetual Floating Rate Bonds 805 0.07

£565,000 Rabobank Nederland 6.91% Perpetual Subordinated Floating Rate Bonds 648 0.05

£950,000 RL Finance 6.125% Guaranteed Floating Rate Notes 30/11/2043 953 0.08

£975,000 RSA Insurance 6.701% Guaranteed Perpetual Floating Rate Bonds 989 0.08

£1,144,000 RSA Insurance 9.375% Guaranteed Floating Rate Bonds 20/5/2039 1,307 0.11

£350,000 Santander UK 9.625% Guaranteed Subordinated Floating Rate European Medium Term Bonds 30/10/2023 403 0.03

£700,000 Society of Lloyd’s 7.421% Guaranteed Perpetual Subordinated Floating Rate Bonds 706 0.06

£650,000 Southern Water Services Finance 4.5% Senior Floating Rate European Medium Term Bonds 31/3/2038 682 0.06

£1,175,000 Standard Chartered 5.375% Perpetual Subordinated Floating Rate European Medium Term Bonds 1,056 0.09

£130,000 Standard Chartered 7.75% Guaranteed Perpetual Variable Rate Subordinated European Medium Term Bonds 132 0.01

£1,100,000 Standard Life 5.5% Variable Rate European Medium Term Bonds 4/12/2042 1,106 0.09

£719,000 Standard Life 6.546% Guaranteed Perpetual Floating Rate Bonds 732 0.06

£1,085,000 Standard Life 6.75% Guaranteed Perpetual Floating Rate Bonds 1,134 0.09

£50,000 Suncorp Insurance Funding 6.25% Medium Term Floating Rate Notes 13/6/2027 50 0.00

£1,350,000 Thames Water Utilities Cayman Finance 5.375% Floating Rate European Medium Term Bonds 21/7/2025 1,396 0.12

£500,000 Thames Water Utilities Cayman Finance 5.75% Floating European Medium Term Bonds 13/9/2030 562 0.05

196



£161,000 UBS Jersey Branch 6.375% Subordinated Floating Rate European Medium Term Bonds 19/11/2024 182 0.02

£130,000 Wales & West Utilities Finance 6.75% Guaranteed Floating Rate European Medium Term Notes 17/12/2036 144 0.01

£700,000 Yorkshire Water Services Bradford Finance 6% Guaranteed Floating Rate Bonds 24/4/2025 727 0.06

£1,050,000 Zurich Finance (UK) 6.625% Guaranteed Variable Rate Perpetual Notes 1,096 0.09

80,473 6.67

Portfolio of investments 1,192,052 99.04

CASH eQUIVALeNtS





Unless otherwise stated, all securities are either listed on a recognised exchange or traded on an eligible securities market.Note: comparative figures show percentages for each category of holding at 28 February 2015. * Managed by a related party.

Corporate Bond tracker portfolio Statement continued Corporate Bond tracker Statement of total Return for the year ended 29 February 2016

Notes £000’s


£000’s £000’s


£000’s

Income


Revenue 4 39,602 31,194

Expenses 5 (2,262) (1,689)


Taxation 6 – –



Distributions 7 (37,782) (30,136)


Corporate Bond tracker Statement of Change in Net Assets Attributable to Unitholders for the year ended 29 February 2016

£000’s


£000’s £000’s


£000’s

Opening net assets attributable to unitholders 1,035,291 744,598



188,715 206,251





Corporate Bond tracker Balance Sheet at 29 February 2016

Notes

29.2.2016£000’s

28.2.2015£000’s

Assets:

Fixed assets


Current assets

– Debtors 8 81,687 24,894

– Cash and bank balances 1,838 1,046


Total assets 1,281,255 1,045,145

Liabilities:

Creditors


– Other creditors 10 (73,753) (6,664)




Corporate Bond tracker Notes to Financial Statements for the year ended 29 February 2016





£000’s


£000’s





4. Revenue


£000’s


£000’s








5. Expenses


£000’s


£000’s




2,075 1,534

Other expenses:

– Audit fee 7 7



187 155

Total expenses 2,262 1,689 6. Taxation(a) Analysis of tax charge


£000’s


£000’s





£000’s


£000’s



Effects of:


Total current tax charge [see note 6(a)] – –

Corporate Bond tracker Notes to Financial Statements continued

7. Distributions


£000’s


£000’s

First distribution 154 206

Second distribution 150 213

Third distribution 159 160

Fourth distribution 166 156

Fifth distribution 183 184

Sixth distribution 17,884 11,348

Seventh distribution 151 142

Eighth distribution 158 149

Ninth distribution 149 130

Tenth distribution 155 124

Eleventh distribution 154 126


37,768 31,046


Less: Amounts received on issue of units (388) (1,248)



Add: Equalisation on conversions 442 631


Details of the distributions per unit are set out in the tables on pages 143 to 150.

8. Debtors

29.2.2016 £000’s

28.2.2015£000’s


Amounts receivable for issue of units 58,345 2,773

Sales awaiting settlement – 2,628



9. Cash Equivalents

29.2.2016 £000’s

28.2.2015£000’s


Total cash equivalents 5,678 8,018 10. Other Creditors

29.2.2016 £000’s

28.2.2015 £000’s


Accrued FCA fee 1 1





Amounts payable for cancellation of units 70,437 378


Purchases awaiting settlement 2,919 5,802













29.2.2016£000’s

28.2.2015£000’s

Revenue earned during the year 82 34 Value of securities on loan at the year end 70,847 40,704Value of collateral held on behalf of the Fund at the year end 76,921 44,547

The Fund’s securities lending borrowing counterparties are Barclays Bank Plc, BNP Paribas Arbitrage, Citigroup, Goldman Sachs, Morgan Stanley & Co. and Nomura.


















£000’s %Taxes

£000’s %








£000’s %Taxes

£000’s %










£000’s %Taxes

£000’s %








£000’s %Taxes

£000’s %













L Income Units


X Income Units


Balance at the beginning of the year 6,269,087 17,802,765 549,723,052 22,651,285 60,494,444

Issued during the year 549,899 228,707,887 278,343 15,549,189 645,558

Cancelled during the year (1,183,159) (107,717,900) – (33,433,180) –

Converted during the year (1,857,975) (131,429,627) 106,585,529 (4,767,204) 6,083,239

Balance at the end of the year 3,777,852 7,363,125 656,586,924 90 67,223,241

D Income

UnitsD Accumulation

UnitsH Income

UnitsH Accumulation

Units

Balance at the beginning of the year 27,716,034 74,913,259 707,020 6,685,056

Issued during the year 42,774,118 186,981 1,772,740 11,630,211

Cancelled during the year (8,569,885) – (453,384) (5,352,728)

Converted during the year (19,077,889) 2,515,507 316,127 37,748,773





About the Fund

The BlackRock Emerging Markets Equity Tracker Fund (the “Fund”) is a sub-fund of BlackRock Collective Investment Funds, a UCITS scheme established under the COLL Sourcebook. The Fund was authorised by the Financial Conduct Authority on 27 October 2009 and it was launched on 20 November 2009.


The aim of the Fund is to seek to achieve capital growth for investors by tracking closely the performance of the FTSE Emerging Index by investing in companies in the Index. Investment will be made directly into constituent companies and via other transferable securities giving exposure to such companies. The Fund may also invest in permitted money-market instruments, permitted deposits and units in collective investment schemes. Derivatives and forward transactions may be used for the purposes of efficient portfolio management.




Unit Class


L Income 1 2 3 4 5 6 7




H Income 1 2 3 4 5 6 7







BlackRock emerging Markets equity tracker Fund



Performance Table






BlackRock Emerging Markets Equity Tracker Fund -16.2% -16.9% -12.7%

FTSE Emerging Index* -15.6% -15.7% -10.8%

All Fund figures quoted are based on bid-to-bid dealing prices (the price at which units are sold) and are calculated net of fees. Performance returns are cumulative. All returns are in Sterling.* Figures from Index Vendor. Please note that the Fund’s benchmark index, the FTSE Emerging Index was previously referred to as the FTSE All-World Emerging Index. This is a clarificatory update and does not represent a change in the Fund’s benchmark index.# D Accumulation class was renamed as L Accumulation class during June 2012.


emerging Markets equity tracker Fund







to 29.2.2016




-16.15%* -15.64% -0.51%

Before costs, the Fund underperformed the benchmark index due to security sampling techniques employed.










Up to 1.30%* 0.94%*

Before costs, the Fund underperformed the benchmark index due a combination of the risk optimisation techniques employed and temporary divergences that can occur when the Index provider calculates index values during UK bank holidays while the Fund is closed.


emerging Markets equity tracker Fund continued emerging Markets equity tracker Investment Report

Summary of Performance over the PeriodDuring the period from 1 March 2015 to 29 February 2016, the Fund returned -16.2%,* compared to its benchmark, the FTSE Emerging Index, which returned -15.6%. Before costs, the Fund underperformed the benchmark index due a combination of the risk optimisation techniques employed and temporary divergences that can occur when the Index provider calculates index values during UK bank holidays while the Fund is closed. Over the six-month period to 29 February 2016, the Fund returned -0.1%,* underperforming its benchmark, which returned 0%.


Emerging markets fell over the period. Oil-exporting countries suffered as oil prices fell below USD$30 in early 2016. Russia’s economy shrunk by 3.9%, feeling the dual pressures of low oil prices and western sanctions. Elsewhere, Brazilian debt was downgraded by leading ratings agencies due to the country’s weakening fiscal position and the corruption scandal enveloping President Dilma Rousseff. In China, concerns over the slowing pace of economic growth led to underperformance in the country’s stocks.

The Fund is structured to track the FTSE Emerging Index closely, so its portfolio remains positioned so that the risk characteristics are similar to those of the Index.

March 2016



Comparative Table





to 28.2.2014



to 28.2.2015




Return before operating charges (18.50) 18.25 (16.49) (17.30) 12.09


Return after operating charges (19.15) 17.56 (17.16) (17.56) 11.80





performance

Return after charges1 (16.30)% 17.57% (14.65)% (16.01)% 11.80%

other information

Closing net asset value (£000’s) 4,953 9,963 13,497 – 2,410

Closing number of units 5,035,317 8,479,390 13,505,253 105 2,197,151











emerging Markets equity tracker performance Record

Comparative Table

L Accumulation Units X Accumulation Units




to 28.2.2014




to 28.2.2014




Return before operating charges (18.97) 18.51 (16.60) (17.59) 17.06 (15.41)


Return after operating charges (19.25) 18.20 (16.90) (17.65) 16.99 (15.49)




performance

Return after charges1 (16.10)% 17.95% (14.29)% (15.90)% 18.07% (14.15)%

other information













Comparative Table





to 28.2.2014


to 29.2.2016




Return before operating charges (18.68) 18.20 (16.50) 1.56


Return after operating charges (18.96) 17.90 (16.80) 1.44

Distributions on income units N/A N/A N/A (0.36)


Retained distributions on accumulation units 2.59 2.65 2.79 N/A

After direct transaction costs of (0.03) (0.03) (0.13) (0.01)

performance

Return after charges1 (16.08)% 17.90% (14.38)% 1.44%

other information

Closing net asset value (£000’s) 71,505 97,005 49,343 3,685

Closing number of units 72,270,800 82,269,581 49,335,369 3,646,072

Operating charges2 0.26% 0.27% 0.28% 0.24%


prices Pence per unit Pence per unit Pence per unit Pence per unit








emerging Markets equity tracker performance Record continued

Comparative Table





to 28.2.2014










performance

Return after charges1 (16.05)% 17.40% (0.00)%

other information














A AccumulationUnits

L IncomeUnits

L AccumulationUnits

X AccumulationUnits

D AccumulationUnits

H IncomeºUnits

H AccumulationUnits



Equalisation† – 0.3603 – 0.0000 – 0.3790 – 0.5033 – 0.4048 – 0.3584 – 0.4537

Distribution payable 30.4.2016 0.4777 0.4777 0.5710 0.5710 0.6278 0.6278 0.6672 0.6672 0.6178 0.6178 0.3584 0.3584 0.6281 0.6281

Distribution paid 30.4.2015 0.4509 0.4509 0.5874 0.5874 0.6285 0.6285 0.6792 0.6792 0.6206 0.6206 N/A N/A 0.6333 0.6333



L IncomeUnits

L AccumulationUnits

X AccumulationUnits

D AccumulationUnits

H AccumulationUnits

Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2

Net revenue (dividend) 1.7985 1.2650 1.8367 1.8367 2.0010 0.6304 1.9485 0.8113 1.9726 1.0829 1.9731 1.0964

Equalisation† – 0.5335 – 0.0000 – 1.3706 – 1.1372 – 0.8897 – 0.8767

Distribution paid 31.10.2015 1.7985 1.7985 1.8367 1.8367 2.0010 2.0010 1.9485 1.9485 1.9726 1.9726 1.9731 1.9731


º H Income class commenced September 2015. Group 1 units purchased 2 September 2015. Group 2 units purchased 3 September 2015 to 29 February 2016.


emerging Markets equity tracker Distribution tables for the year ended 29 February 2016


AFRICA – 8.85%; 2015 9.95%

eQUItIeS – 8.85%; 2015 9.95%

egypt – 0.27%; 2015 0.35% 281,335 CIB 859 0.15 248,924 EFG Hermes 162 0.03 11,071 ElSwedy Electric 38 0.01 757,678 Global Telecom 142 0.02 92,273 Sidi Kerir Petrochemicals 95 0.02 159,840 Telecom Egypt 97 0.02 288,792 TMG 128 0.02

1,521 0.27

Morocco – 0.00%; 2015 0.01%

South Africa – 8.58%; 2015 9.59% 21,717 Adcock Ingram 37 0.01 3,067 Adcock Ingram Warrants 26/7/2019^ – 0.00 40,703 AECI 160 0.03 574,851 African Bank Investments^ – 0.00 34,598 African Rainbow Minerals 139 0.02 19,352 Anglo American Platinum 292 0.05 116,612 AngloGold Ashanti 1,051 0.18 105,797 Aspen Pharmacare 1,345 0.23 1,129 Assore 7 0.00 188,151 Attacq 144 0.03 88,732 AVI 305 0.05 92,320 Barclays Africa 581 0.10 60,344 Barloworld 179 0.03 93,295 Bidvest 1,510 0.26 93,207 Brait 659 0.11 13,916 Capitec Bank 296 0.05 71,462 Clicks 296 0.05 89,165 Coronation Fund Managers 252 0.04 49,892 Datatec 106 0.02 87,373 Discovery 456 0.08 39,826 Exxaro Resources 135 0.02 895,954 FirstRand 1,799 0.31 350,694 Fortress Income Fund 373 0.06 64,270 Foschini 341 0.06 234,000 Gold Fields 706 0.12 150,858 Grindrod 62 0.01 755,394 Growthpoint Properties 816 0.14

emerging Markets equity tracker portfolio Statement at 29 February 2016




72,374 Hyprop Investments 335 0.06 168,718 Impala Platinum 254 0.04 48,493 Imperial 270 0.05 74,103 Investec 349 0.06 20,248 JSE 129 0.02 22,148 Kumba Iron Ore 76 0.01 29,158 Liberty 164 0.03 310,482 Life Healthcare 483 0.08 29,321 Massmart 143 0.03 267,455 MMI 282 0.05 35,832 Mondi 460 0.08 72,160 Mr Price 538 0.09 520,035 MTN 3,115 0.54 165,269 Nampak 132 0.02 127,918 Naspers class ‘N’ shares 10,776 1.87 59,499 Nedbank 499 0.09 422,510 Netcare 615 0.11 98,194 Northam Platinum 147 0.03 21,768 Omnia 118 0.02 104,502 Pick n Pay 110 0.02 48,203 Pick n Pay Stores 122 0.02 41,976 Pioneer Foods 244 0.04 164,927 PPC 86 0.01 30,080 PSG 232 0.04 1,249,985 Redefine Properties 573 0.10 142,280 Remgro 1,535 0.27 90,142 Resilient REIT 499 0.09 49,040 Reunert 142 0.02 178,755 RMB 460 0.08 33,380 Royal Bafokeng Platinum 59 0.01 511,083 Sanlam 1,237 0.21 11,301 Santam 100 0.02 171,533 Sappi 496 0.09 164,954 Sasol 3,179 0.55 120,721 Shoprite 847 0.15 230,522 Sibanye Gold 597 0.10 55,447 Spar 446 0.08 351,874 Standard Bank 1,740 0.30 775,986 Steinhoff International 2,836 0.49 23,982 Sun International 75 0.01 100,025 Telkom 244 0.04 47,668 Tiger Brands 627 0.11

emerging Markets equity tracker portfolio Statement continued

43,538 Tongaat Hulett 180 0.03 115,486 Truworths International 452 0.08 96,809 Vodacom 659 0.11 264,385 Woolworths 972 0.17

49,681 8.58

ASIA – 55.32%; 2015 56.33%

eQUItIeS – 55.32%; 2015 56.33%

China – 21.63%; 2015 21.59% 409,500 Agile Property Developments 136 0.02 7,406,000 Agricultural Bank of China 1,761 0.31 604,000 Air China 259 0.05 668,000 Alibaba Health Information Technology 252 0.04 1,292,000 Aluminum Corporation of China 318 0.06 354,000 Angang Steel 104 0.02 382,000 Anhui Conch Cement class ‘H’ shares 548 0.10 156,000 Anhui Expressway 86 0.02 60,200 Anhui Gujing Distillery 126 0.02 279,000 Anta Sports Products 456 0.08 746,000 AviChina Industry & Technology 366 0.06 22,022,936 Bank of China 5,972 1.03 2,172,655 Bank of Communications 896 0.16 418,000 BBMG 167 0.03 440,000 Beijing Capital International Airport 276 0.05 139,500 Beijing Enterprise 467 0.08 1,284,000 Beijing Enterprises Water 485 0.08 828,000 Beijing Jingneng Clean Energy 171 0.03 202,000 Beijing North Star 40 0.01 690,409 Bengang Steel Plates 154 0.03 43,500 Biostime International 98 0.02 489,320 BOE Technology 89 0.02 808,000 Brilliance China Automotive 472 0.08 218,500 BYD 781 0.14 3,156,098 CGN Power 654 0.11 754,834 China Agri-Industries 150 0.03 474,000 China Bluechemical 76 0.01 2,242,000 China Cinda Asset Management 483 0.08 2,040,754 China CITIC Bank 811 0.14 911,801 China Coal Energy 220 0.04 1,288,606 China Communications Construction 836 0.14 934,800 China Communications Services 269 0.05 390,500 China Conch Venture 441 0.08




27,100,930 China Construction Bank 11,400 1.97 668,000 China Dongxiang 104 0.02 410,000 China Eastern Airlines 138 0.02 276,000 China Everbright 366 0.06 662,000 China Everbright Bank 190 0.03 812,000 China Everbright International 620 0.11 240,000 China Foods 62 0.01 974,000 China Galaxy Securities 494 0.09 1,760,000 China Huishan Dairy 479 0.08 139,600 China International Marine Containers 144 0.02 2,182,000 China Life Insurance 3,428 0.59 1,087,000 China Longyuan Power 430 0.07 263,000 China Medical System 242 0.04 368,720 China Merchants 738 0.13 1,350,496 China Merchants Bank class ‘H’ shares 1,821 0.32 72,750 China Merchants Property Development 238 0.04 1,975,104 China Minsheng 1,170 0.20 1,574,500 China Mobile 12,018 2.08 402,000 China Molybdenum 46 0.01 784,486 China National Building Material class ‘H’ shares 250 0.04 160,000 China National Materials 21 0.00 580,000 China Oilfield Services 308 0.05 1,132,000 China Overseas Land & Investment 2,433 0.42 759,600 China Pacific Insurance 1,770 0.31 7,457,600 China Petroleum & Chemical 2,999 0.52 524,000 China Power International Development 157 0.03 1,058,000 China Railway 481 0.08 564,000 China Railway Construction 387 0.07 351,064 China Resources Enterprises 411 0.07 200,000 China Resources Gas 376 0.07 788,888 China Resources Land 1,358 0.24 591,272 China Resources Power 690 0.12 1,049,000 China Shenhua Energy 1,064 0.18 1,127,000 China Shipping 159 0.03 396,000 China Shipping Development 168 0.03 404,000 China Southern Airlines 164 0.03 422,000 China State Construction 466 0.08 462,286 China Taiping Insurance 639 0.11 4,728,000 China Telecom 1,638 0.28 1,748,000 China Unicom 1,435 0.25 384,000 China Vanke 625 0.11 596,000 China Yuran Food 64 0.01


282,600 Chongqing Changan Automobile 360 0.06 658,000 Chongqing Rural Commercial Bank 223 0.04 184,000 CIMC Enric 70 0.01 1,885,000 CITIC Pacific 1,848 0.32 336,400 CITIC Resources 19 0.00 647,000 CITIC Securities (Hong Kong) 898 0.16 4,712,000 CNOOC 3,474 0.60 741,500 COSCO China Development 182 0.03 524,000 COSCO Pacific 395 0.07 2,254,333 Country Garden 595 0.10 1,244,200 CRRC 819 0.14 211,400 CSG 117 0.02 1,260,000 CSPC Pharmaceutical 722 0.13 213,900 Dalian Wanda Commercial Properties 632 0.11 1,076,000 Datang International Power Generation class ‘H’ shares 200 0.03 199,600 Dazhong Transportation 158 0.03 88,400 Dongfang Electric 48 0.01 868,000 Dongfeng Motor 730 0.13 68,800 Double Coin 53 0.01 220,000 ENN Energy 723 0.13 1,671,000 Evergrande Real Estate 787 0.14 864,000 Far East Horizon 461 0.08 203,983 Foshan Electrical & Lighting 111 0.02 776,336 Fosun International 719 0.12 1,152,000 Franshion Properties 206 0.04 1,510,000 Geely Automobiles 404 0.07 447,400 GF Securities 594 0.10 225,000 Golden Eagle Retail 187 0.03 3,557,000 GOME Electrical Appliances 340 0.06 982,250 Great Wall Motor 511 0.09 276,000 Greentown China 159 0.03 226,200 Guangdong Electric Power Development 91 0.02 730,000 Guangdong Investment 641 0.11 480,000 Guangshen Railway 152 0.03 723,506 Guangzhou Automobile 451 0.08 60,000 Guangzhou Pharmaceutical 90 0.02 319,600 Guangzhou R&F Properties 270 0.05 76,000 Haitian International 73 0.01 990,000 Haitong Securities 1,041 0.18 168,000 Harbin Electric 41 0.01 213,000 Hengan International 1,216 0.21 160,000 Hopson Development 112 0.02




249,100 Huadian Energy 89 0.02 804,000 Huadian Fuxin Energy 104 0.02 578,000 Huadian Power International 226 0.04 1,102,000 Huaneng Power International 617 0.11 1,496,000 Huaneng Renewables 250 0.04 368,200 Huatai Securities 499 0.09 588,000 Huishang Bank 186 0.03 21,331,655 Industrial and Commercial Bank of China class

‘H’ shares 7,587 1.31 420,900 Inner Mongolia Yitai Coal 222 0.04 43,200 Jiangling Motors 88 0.02 302,000 Jiangsu Expressway 258 0.04 385,000 Jiangxi Copper 289 0.05 96,900 Jinzhou Port 36 0.01 268,000 Kingsoft 382 0.07 912,615 Kunlun Energy 471 0.08 389,141 KWG Property 165 0.03 1,836,000 Lenovo 1,101 0.19 441,999 Li Ning 139 0.02 384,500 Longfor Properties 341 0.06 389,000 Luye Pharma 225 0.04 476,000 Maanshan Iron & Steel 60 0.01 405,500 Metallurgical 64 0.01 241,800 New China Life Insurance 505 0.09 2,156,000 People’s Insurance 563 0.10 6,218,000 PetroChina Class ‘H’ Shares 2,881 0.50 992,966 PICC Property and Casualty 1,081 0.19 1,462,000 Ping An Insurance 4,480 0.78 836,000 Poly Investments 164 0.03 2,024,000 Renhe Commercial 58 0.01 235,000 Sany Heavy Equipment International 34 0.01 143,300 Shandong Chenming Paper 68 0.01 48,000 Shandong Chenming Paper class ‘H’ shares 24 0.00 508,000 Shandong Weigao Medical Polymer 235 0.04 231,980 Shanghai Chlor-Alkali Chemical 120 0.02 700,000 Shanghai Electric 216 0.04 120,000 Shanghai Fosun Pharmaceutical 202 0.04 92,400 Shanghai Friendship 104 0.02 224,800 Shanghai Haixin 112 0.02 150,000 Shanghai Industrial 232 0.04 47,200 Shanghai Jinjiang International Hotels Development 97 0.02


137,000 Shanghai Jinqiao Export Processing Zone Development 154 0.03

145,400 Shanghai Lujiazhui Finance & Trade Zone Development 350 0.06 95,700 Shanghai Mechanical and Electrical Industry 156 0.03 205,500 Shanghai Pharmaceuticals 267 0.05 85,300 Shanghai Waigaoqiao Free Trade Zone Development 111 0.02 171,800 Shanghai Zhenhua Heavy Industry 60 0.01 188,000 Shengjing Bank 220 0.04 54,100 Shenzhen Chiwan Wharf 63 0.01 202,000 Shenzhen Expressway 109 0.02 257,500 Shenzhen International 280 0.05 767,648 Shenzhen Investment 200 0.03 171,000 Shenzhou International 630 0.11 216,000 Sichuan Expressway 46 0.01 880,000 Sihuan Pharmaceutical 162 0.03 666,000 Sinofert 64 0.01 919,500 Sino-Ocean Land 289 0.05 287,000 Sinopec Engineering 150 0.03 1,136,000 Sinopec Shanghai Petrochemical 348 0.06 305,600 Sinopharm 803 0.14 454,000 Sinotrans 122 0.02 145,000 Sinotruk Hong Kong 38 0.01 604,000 Soho China 195 0.03 373,000 Sunac China 173 0.03 108,000 Tianjin Capital 49 0.01 338,000 Travelsky Technology 365 0.06 126,000 Tsingtao Brewery 329 0.06 279,200 Weichai Power 183 0.03 50,700 Weifu High-Technology 67 0.01 128,200 Xinjiang Goldwind 100 0.02 86,910 Yantai Changyu Pioneer Wine 179 0.03 558,000 Yanzhou Coal Mining 172 0.03 1,453,690 Yuexiu Property 147 0.03 181,000 Zhaojin Mining Industry class ‘H’ shares 103 0.02 478,000 Zhejiang Express 306 0.05 260,500 Zhongsheng 85 0.01 159,500 Zhuzhou CSR Times Electric 563 0.10 1,215,000 Zijin Mining 262 0.05 527,811 Zoomlion Heavy Industry class ‘H’ shares 104 0.02 202,704 ZTE class ‘H’ shares 239 0.04

124,352 21.63




Hong Kong – 0.78%; 2015 0.69% 4,060,000 Alibaba Pictures 603 0.10 1,522,000 Belle International 715 0.12 1,260,000 Bosideng International 71 0.01 500,000 China Gas 481 0.08 439,999 China Overseas Property 35 0.01 554,000 China Resources Cement 99 0.02 3,472,000 GCL Poly Energy 361 0.06 402,000 Haier Electronics 432 0.07 187,800 Kingboard Chemical 198 0.03 517,000 Lee & Man Paper Manufacturing 217 0.04 565,000 Nine Dragons Paper 271 0.05 409,500 Shimao Property 380 0.07 1,298,000 Sino Biopharmaceutical 684 0.12

4,547 0.78

India – 5.13%; 2015 7.48% 126,156 Axis Bank GDR (each representing 5 ordinary shares) 2,564 0.44 81,202 Dr Reddy’s Laboratories ADR (each representing 1

ordinary share) 2,535 0.44 74,065 HDFC Bank ADS (each representing 3 ordinary

shares) 2,810 0.49 507,301 ICICI Bank ADR (each representing 2 ordinary

shares) 1,941 0.34 289,997 Infosys ADR (each representing 1 ordinary share) 3,536 0.61 124,587 Larsen & Toubro GDR (each representing 1 ordinary

share) 1,403 0.24 307,265 Reliance Industries GDR (each representing 2

ordinary shares) 6,233 1.08 116,593 State Bank of India GDR (each representing 2

ordinary shares) 1,940 0.34 139,165 Tata Motors ADR (each representing 5 ordinary

shares) 2,244 0.39 380,089 Vedanta ADS (each representing 4 ordinary shares) 1,131 0.20 395,971 Wipro ADR (each representing 1 ordinary share) 3,227 0.56

29,564 5.13


Indonesia – 3.00%; 2015 2.94% 3,708,600 Adaro Energy 120 0.02 5,907,800 Astra 2,161 0.37 154,300 Astra Agro Lestari 123 0.02 3,624,900 Bank Central Asia 2,627 0.46 902,181 Bank Danamon 195 0.03 2,760,180 Bank Mandiri Persero 1,408 0.24 2,172,293 Bank Negara Indonesia 589 0.10 3,151,500 Bank Rakyat Indonesia 1,884 0.33 2,325,000 Charoen Pokphand Indonesia 424 0.07 1,057,500 Global Mediacom 49 0.01 149,600 Gudang Garam 512 0.09 176,300 Indo Tambangraya 64 0.01 389,000 Indocement Tunggal Prakarsa 420 0.07 338,000 Indofood Sukses 286 0.05 1,298,300 Indofoods Sukses Makmur 494 0.09 603,300 Jasa Marga 173 0.03 5,133,500 Kalbe Farma 360 0.06 1,182,500 Media Nusantara Citra 116 0.02 3,360,800 Perusahaan Gas 472 0.08 901,700 Semen Indonesia 498 0.09 399,300 Surya Citra Media 62 0.01 366,500 Tambang Batubara Bukit Asam Persero 100 0.02 14,837,400 Telekomunikasi Indonesia Class ‘B’ Shares 2,603 0.45 625,700 Tower Bersama Infrastructure 192 0.03 363,000 Unilever Indonesia 872 0.15 430,272 United Tractors 361 0.06 877,300 Vale Indonesia 72 0.01 821,100 XL Axiata 171 0.03

17,408 3.00

Malaysia – 4.68%; 2015 4.36% 367,400 AirAsia Berhad 92 0.02 319,200 Alliance Financial 199 0.03 576,800 AMMB 429 0.07 674,300 Astro Malaysia 310 0.05 1,380,768 Axiata 1,401 0.24 226,731 Berjaya Sports Toto 123 0.02 43,700 British American Tobacco – Malaysia 420 0.07 1,209,597 Bumi Armada Berhad 199 0.03 1,550,681 CIMB 1,198 0.21 1,081,751 Digi.com 914 0.16 632,400 Felda Global Ventures 165 0.03




591,100 Gamuda 451 0.08 671,318 Genting Berhad 908 0.16 893,700 Genting Malaysia 632 0.11 183,200 Hong Leong Bank 411 0.07 826,020 IHH Healthcare 906 0.16 949,500 IJM Corporation Berhad 551 0.10 1,125,932 IOI Berhad 907 0.16 643,552 IOI Properties 226 0.04 154,939 Kuala Lumpur Kepong 632 0.11 120,300 Lafarge Malayan Cement 187 0.03 1,603,106 Malayan Banking Berhad 2,342 0.41 288,360 Malaysia Airports 289 0.05 805,500 Maxis 846 0.15 435,600 MISC 654 0.11 214,100 MMC 60 0.01 851,685 Petronas Chemicals 987 0.17 98,600 Petronas Dagagan 417 0.07 229,400 Petronas Gas 868 0.15 171,800 PPB 472 0.08 932,855 Public Bank 2,947 0.51 254,475 RHB Capital 231 0.04 1,225,700 SapuraKencana Petroleum 398 0.07 955,134 Sime Darby 1,223 0.21 220,500 SP Setia 113 0.02 326,835 Telekom Malaysia 370 0.06 1,034,686 Tenaga Nasional 2,330 0.40 533,500 UEM Sunrise 90 0.02 209,600 UMW 254 0.04 385,100 Westports 266 0.05 1,657,213 YTL 444 0.08 795,240 YTL Power 198 0.03

27,060 4.68

philippines – 1.96%; 2015 1.84% 651,000 Aboitiz Equity Ventures 563 0.10 578,900 Aboitiz Power Corporation 377 0.07 1,340,500 Alliance Global 293 0.05 63,918 Ayala 667 0.12 1,848,000 Ayala Land 912 0.16 516,219 Bank of the Philippine Islands 656 0.11 385,248 BDO Unibank 579 0.10 674,154 Bloomberry Resorts 43 0.01 1,350,650 DMCI 256 0.04


2,712,400 Energy Development 234 0.04 9,970 Globe Telecom 267 0.05 18,840 GT Capital 373 0.06 234,230 International Container Terminal Services 219 0.04 710,870 JG Summit 722 0.13 135,958 Jollibee Foods 452 0.08 1,088,000 LT 263 0.05 101,010 Manila Electric 498 0.09 343,431 Metropolitan Bank & Trust 394 0.07 26,615 Philippine Long Distance Telephone 739 0.13 92,960 SM Investments 1,157 0.20 2,449,175 SM Prime 762 0.13 258,590 Universal Robina 771 0.13

11,197 1.96

taiwan – 15.25%; 2015 14.44% 848,346 Acer 218 0.04 1,734,645 Advanced Semiconductor 1,428 0.25 94,221 Advantech 471 0.08 653,181 Asia Cement 392 0.07 205,388 ASUSTeK Computer 1,218 0.21 2,761,000 AU Optronics 540 0.09 578,580 Capital Securities 109 0.02 219,000 Catcher Technology 1,235 0.21 2,316,907 Cathay Financial 1,872 0.32 258,000 Cathay Real Estate 76 0.01 1,651,481 Chang Hwa Commercial Bank 583 0.10 580,101 Cheng Shin Rubber 735 0.13 103,660 Cheng Uei Precision Industry 97 0.02 178,166 Chicony Electronics 280 0.05 832,609 China Airlines 208 0.04 3,821,856 China Development Financial 663 0.11 206,000 China Motor 96 0.02 3,486,249 China Steel 1,556 0.27 1,094,981 Chunghwa Telecom 2,486 0.43 1,322,439 Compal Electronics 559 0.10 4,884,355 CTBC Financial 1,714 0.30 625,660 Delta Electronics 1,821 0.32 2,162,168 E.Sun Financial 806 0.14 57,287 Eclat Textile 523 0.09 239,000 Epistar 138 0.02 233,130 Eternal Chemical 165 0.03 716,824 Eva Airways 277 0.05




655,084 Evergreen Marine 171 0.03 527,321 Far East International Bank 108 0.02 1,122,305 Far Eastern New Century 614 0.11 495,000 Far EasTone Telecommunications 746 0.13 86,000 Feng Hsin Iron & Steel 73 0.01 90,000 Feng Tay Enterprises 352 0.06 2,255,090 First Financial 757 0.13 1,281,180 Formosa Chemical & Fibre 2,068 0.36 561,000 Formosa Petrochemical 1,029 0.18 1,449,320 Formosa Plastic 2,484 0.43 337,000 Formosa Taffeta 221 0.04 338,899 Foxconn Technology 481 0.08 2,123,561 Fubon Financial 1,820 0.32 85,000 Giant Manufacturing 391 0.07 14,000 Hermes Microvision 251 0.04 4,020,625 Hon Hai Precision 6,804 1.18 124,000 Hotai Motor 924 0.16 226,737 HTC 396 0.07 2,249,850 Hua Nan Financial 755 0.13 2,717,746 Innolux Display 570 0.10 698,000 Inotera Memories 431 0.07 878,070 Inventec 453 0.08 30,000 Largan Precision 1,652 0.29 584,125 Lite-On Technology 487 0.08 993,888 Macronix International 81 0.01 431,614 MediaTek 2,203 0.38 3,270,739 Mega Financial 1,552 0.27 1,672,000 Nan Ya Plastic 2,306 0.40 32,540 Nan Ya Printed Circuit Boards 24 0.00 150,000 Novatek Microelectronics 448 0.08 186,500 Oriental Union Chemical 88 0.02 561,534 Pegatron 962 0.17 802,000 Pou Chen 718 0.12 170,000 President Chain Store 833 0.14 236,557 President Securities 65 0.01 731,000 Quanta Computer 884 0.15 119,933 Realtek Semiconductor 219 0.04 2,380,000 Shin Kong Financial 324 0.06 670,024 Siliconware Precision 745 0.13 2,962,284 SinoPac Financial 586 0.10 374,870 Synnex Technology International 274 0.05 1,977,189 Taishin Financial 470 0.08


1,322,859 Taiwan Business Bank 241 0.04 1,007,127 Taiwan Cement 655 0.11 1,863,689 Taiwan Cooperative Financial 571 0.10 218,000 Taiwan Fertilizer 212 0.04 345,612 Taiwan Glass 96 0.02 507,300 Taiwan Mobile 1,124 0.19 6,942,000 Taiwan Semiconductor Manufacturing 22,394 3.88 598,000 Teco Electric and Machinery 353 0.06 144,950 Ton Yi Industrial 49 0.01 80,692 TPK 124 0.02 108,000 Transcend Information 238 0.04 116,000 U-Ming Marine Transport 67 0.01 358,000 Unimicron Technology 131 0.02 1,374,186 Uni-President Enterprises 1,702 0.29 3,617,000 United Micro Electronics 1,045 0.18 308,000 Vanguard International Semiconductor 341 0.06 786,000 Walsin Lihwa 140 0.02 239,700 Wan Hai Lines 95 0.02 783,164 Wistron 336 0.06 394,900 Yang Ming Marine Transport 75 0.01 3,026,046 Yuanta Financial 703 0.12 417,725 Yuen Foong Yu Paper Manufacturing 92 0.02 155,000 Yulon Motor 99 0.02 7,000 Yulon Nissan Motor 35 0.01

88,004 15.25

thailand – 2.89%; 2015 2.99% 180,600 Advanced Info Service (Alien Market) 624 0.11 166,900 Advanced Info Service (non-voting Depository Receipts) 576 0.10 72,500 Airports of Thailand 586 0.10 52,300 Airports of Thailand (non-voting Depository Receipts) 423 0.07 123,200 Bangkok Bank 414 0.07 877,000 Bangkok Dusit Medical Services 382 0.07 367,700 Bangkok Dusit Medical Services (non-voting Depository

Receipts) 160 0.03 351,300 Banpu (non-voting Depository Receipts) 130 0.02 163,300 BEC World Public (Alien Market) 104 0.02 156,200 BEC World Public (non-voting Depository Receipts) 100 0.02 105,500 Berli Jucker 78 0.01 49,900 Big C Supercenter 252 0.04 48,129 Big C Supercenter (non-voting Depository Receipts) 243 0.04




1,635,800 BTS (non-voting Depository Receipts) 273 0.05 112,000 Bumrungrad Hospital 488 0.08 415,800 Central Pattana 392 0.07 912,400 Charoen Pokphand Foods 351 0.06 656,300 CP ALL (Alien Market) 575 0.10 645,900 CP ALL (non-voting Depository Receipts) 566 0.10 163,500 Delta Electronics (Alien Market) 267 0.05 31,700 Electricity Generating Public 106 0.02 34,900 Electricity Generating Public (non-voting Depository

Receipts) 117 0.02 103,800 Glow Energy (non-voting Depository Receipts) 169 0.03 322,100 Indorama Ventures 140 0.02 437,300 Intouch (non-voting Depository Receipts) 514 0.09 1,709,000 IRPC 151 0.03 1,683,100 IRPC (non-voting Depository Receipts) 149 0.03 359,100 Kasikornbank 1,262 0.22 1,220,400 Krung Thai Bank (non-voting Depository Receipts) 438 0.08 1,230,620 Land and Houses 211 0.04 201,200 PTT 1,060 0.18 58,200 PTT (Alien Market) 307 0.05 412,100 PTT Exploration & Production (non-voting Depository

Receipts) 566 0.10 81,153 PTT Global Chemical (Alien Market) 88 0.02 404,300 PTT Global Chemical (non-voting Depository Receipts) 440 0.08 108,600 Ratchaburi Electricity Generating 112 0.02 9,500 Ratchaburi Electricity Generating (non-voting Depository

Receipts) 10 0.00 89,400 Siam Cement 801 0.14 21,000 Siam City Cement 126 0.02 223,600 Siam Commercial Bank 625 0.11 230,200 Siam Commercial Bank (non-voting Depositiory Receipts) 644 0.11 558,900 Thai Airways International 135 0.02 281,500 Thai Oil (non-voting Depository Receipts) 362 0.06 755,120 Thai Union 303 0.05 3,324,200 TMB Bank 171 0.03 3,236,600 TMB Bank (non-voting Depository Receipts) 167 0.03 119,300 Total Access Communication (Alien Market) 76 0.01 112,600 Total Access Communication GDR (non-voting

Depository Receipts) 72 0.01 2,430,397 True 347 0.06

16,653 2.89


eURope – 8.41%; 2015 7.81%

eQUItIeS – 8.41%; 2015 7.81%

Czech Republic – 0.18%; 2015 0.23% 51,219 CEZ 545 0.09 3,950 Komercni Banka 533 0.09

1,078 0.18

Hungary – 0.37%; 2015 0.21% 173,399 Magyar Telekom 188 0.03 15,206 MOL 541 0.09 56,219 OTP Bank 845 0.15 44,259 Richter Gedeon 575 0.10

2,149 0.37

poland – 1.62%; 2015 1.64% 24,421 Asseco Poland 252 0.04 8,011 Bank Handlowy w Warszawie 118 0.02 193,553 Bank Millennium 208 0.04 37,882 Bank Pekao 1,024 0.18 9,590 Bank Zachodni WBK 481 0.08 8,080 CCC 216 0.04 35,526 Cyfrowy Polsat 148 0.03 66,378 Enea 135 0.02 106,475 Energa 246 0.04 25,607 Eurocash 231 0.04 1,194,765 Getin Noble Bank 125 0.02 14,842 Grupa Azoty 257 0.04 44,527 KGHM Polska Miedz 544 0.09 375 LPP 341 0.06 4,360 mBank 257 0.04 214,395 Orange Polska 245 0.04 93,495 PKN Orlen 1,068 0.18 237,821 Polska Grupa Energetyczna 558 0.10 580,342 Polskie Gornictwo Naftowe 522 0.09 247,841 Powszechna Kasa Oszczednosci Bank Polski 1,101 0.19 174,663 Powszechny Zaklad Ubezpieczen 1,093 0.19 158,406 Synthos 118 0.02 351,183 Tauron Polska Energia 160 0.03

9,448 1.62




Russia – 4.46%; 2015 3.97% 1,724,793 Gazprom ADR (each representing 2 ordinary shares) 4,546 0.79 75,193 LSR GDR (each representing 2 ordinary shares) 84 0.01 149,714 Lukoil ADR (each representing 1 ordinary share) 3,758 0.65 87,521 Magnit GDR (5 GDR representing 1 ordinary share) 2,076 0.36 31,776 Megafon GDR (each representing 1 ordinary share) 267 0.05 3,601 MMC Norilsk Nickel PJSC 313 0.05 146,739 Mobile Telesystems ADR (each representing 2 ordinary

shares) 738 0.13 114,172 Norilsk 990 0.17 37,135 Novatek GDR (each representing 50 shares) 2,273 0.39 37,548 Phosagro GDR (each representing 1/3 ordinary shares) 333 0.06 391,206 Rosneft GDR (each representing 1 ordinary share) 1,052 0.18 79,807 Rostelecom ADR (each representing 6 ordinary shares) 408 0.07 628,947 RusHydro 415 0.07 718,065 Sberbank of Russia ADR (each representing 4 ordinary

shares) 3,125 0.54 125,669 Severstal GDR (each representing 1 share) 745 0.13 243,298 Surgutneftegas ADR (each representing 10 ordinary

shares) 902 0.16 2,455,700 Surgutneftegas preference shares 1,035 0.18 75,702 Tatneft ADR (each representing 6 ordinary shares) 1,400 0.24 30,157 Uralkali GDR (each representing 5 ordinary shares) 231 0.04 832,556 VTB Bank GDR (each representing 2000 ordinary

shares) 1,110 0.19

25,801 4.46

turkey – 1.78%; 2015 1.76% 617,923 Akbank 1,115 0.19 55,593 Anadolu Efes Biracilik ve Malt Sanayii 233 0.04 50,955 Arcelik 234 0.04 19,240 Aselsan Elektronik 82 0.01 65,159 BIM Birlesik Magazalar 859 0.15 23,266 Coca-Cola Icecek 184 0.03 534,046 Emlak Konut Gayrimenkul 330 0.06 147,279 ENKA 170 0.03 395,889 Eregli Demir ve Celik 328 0.06 22,311 Ford Otomotiv 185 0.03 219,607 Haci Omer Sabanci 463 0.08 183,870 KOC 576 0.10 12,382 Koza Altin 46 0.01


185,402 Petkim Petrokimya 156 0.03 48,572 TAV Havalimanlari 206 0.04 46,440 Tofas Turk Otombil Fabrikasi 223 0.04 38,508 Tupras-Turkiye Petrol Rafinerileri 704 0.12 183,732 Turk Hava Yollari Anonim Ortakligi 324 0.06 179,554 Turk Telekomunikasyon 251 0.04 38,050 Turkcell Iletisim Hizmetleri ADR (each representing

2.5 ordinary shares) 248 0.04 150,155 Turkcell Iletism Hizmetleri 396 0.07 611,385 Turkiye Garanti Bankasi 1,087 0.19 185,058 Turkiye Halk Bankasi 446 0.08 440,127 Turkiye Is Bankasi class ‘C’ shares 481 0.08 205,092 Turkiye Sise ve Cam Fabrikalari 165 0.03 353,321 Turkiye Valiflar Bankasi 353 0.06 42,464 Ulker Biskuvi Sanayi 185 0.03 276,073 Yapi ve Kredi Bankasi 249 0.04

10,279 1.78

LAtIN AMeRICA – 14.68%; 2015 17.24%

eQUItIeS – 14.68%; 2015 17.24%

Brazil – 6.76%; 2015 9.61% 65,400 AES Tiete Energia 174 0.03 1,362,589 AmBev 4,335 0.75 212,215 Banco Bradesco 853 0.15 725,186 Banco Bradesco preference shares 2,701 0.47 265,935 Banco do Brasil 631 0.11 185,000 BB Seguridade Participacoes 788 0.14 3,210 BD084G8’ Requires SORP Long Name 1 0.00 499,818 BM&FBovespa 1,008 0.17 132,500 BR Malls Participacoes 307 0.05 40,100 Braskem preference ‘A’ shares 180 0.03 258,017 BRF 2,326 0.40 78,600 BTG Pactual Partic 259 0.05 255,840 CCR 568 0.10 66,561 Centrais Electricas Brasileiras preference shares 116 0.02 91,389 Centrais Eletricas Brasileiras 92 0.02 68,595 CETIP- Balcao Organizado de Ativos e Derivativos 465 0.08 15,173 CIA de Transmissao de Energia Eletrica Paulista

preference shares 126 0.02 244,112 CIA Energetica Minas Gerais preference shares 252 0.04 28,700 CIA Paranaense de Energia class ‘B’ preference shares 115 0.02 251,541 Cielo 1,384 0.24




42,991 Companhia Brasileira de Distribuicao Grupo Pao de Acucar preference shares 318 0.06

3,154 Companhia de Gas de Sao Paulo preference shares 20 0.00 34,624 Cosan 162 0.03 86,099 CPFL Energia 253 0.04 81,206 Duratex 90 0.02 38,100 Ecorodovias Infraestru Logistica 31 0.01 55,300 EDP 126 0.02 212,540 Empresa Brasileira de Aeronautica 1,138 0.20 57,324 Energetica de Sao Paulo class ‘B’ preference shares 145 0.03 23,727 Energetica Minas Gerais 25 0.00 62,600 Equatorial Energia 430 0.07 35,000 Estacio Participacoes 77 0.01 66,100 Fibria Celulose 496 0.09 228,275 Gerdau preference shares 144 0.03 112,200 Hypermarcas 498 0.09 891,098 Itau Unibanco preference shares 3,964 0.69 1 Itausa^ – 0.00 1,021,474 Itausa – Investimentos Itau preference shares 1,224 0.21 220,769 JBS 443 0.08 170,300 Klabin 649 0.11 460,124 Kroton Educacional 785 0.14 39,060 Localiza Rent A Car 160 0.03 34,296 Lojas Americanas 72 0.01 152,992 Lojas Americanas preference shares 538 0.09 192,900 Lojas Renner 604 0.10 12,800 M Dias Branco 146 0.03 19,400 Multiplan Empreendimentos Imobiliarios 158 0.03 16,000 Multiplus 77 0.01 60,498 Natura 287 0.05 96,253 Oi 26 0.00 1,078,629 Petroleo Brasileiro 1,341 0.23 1,250,334 Petroleo Brasileiro preference shares 1,097 0.19 27,500 Porto Seguro 113 0.02 25,400 Qualicorp 58 0.01 79,000 Raia Drogasil 637 0.11 106,100 Saneamento Basico 426 0.07 217,111 Siderurgica Nacional 195 0.03 54,970 Sul America 154 0.03 91,400 Suzano Papel e Celulose class ‘A’ preference shares 256 0.04 107,395 Telefonica Brasil preference shares 713 0.12 270,396 Tim Participacoes 325 0.06


33,700 Totvs 186 0.03 67,600 Tractabel Energia 424 0.07 14,400 Transmissora Alianca de Energia Eletrica 48 0.01 116,300 Ultrapar Participacoes 1,292 0.22 54,900 Usiminas Siderúrgicas de Minas Gerais 34 0.01 382,349 Vale 756 0.13 564,051 Vale do Rio Doce class ‘A’ preference shares 822 0.14 171,860 Weg 399 0.07

39,043 6.76

Chile – 1.50%; 2015 1.36% 30,740 Banco de Chile ADR (each representing 600 ordinary

shares) 1,365 0.24 103,334 Banco Santander-Chile ADR (each representing 400

ordinary shares) 1,286 0.22 68,130 Empresa Nacional de Electricidad ADS (each

representing 30 ordinary shares) 1,950 0.34 208,159 Enersis ADR (each representing 50 ordinary shares) 1,907 0.33 235,642 Latam Airlines ADR (each representing 1 ordinary share) 975 0.17 18,700 Latam Airlines BDR (each representing 1 ordinary share) 78 0.01 83,617 Sociedad Quimica y Minera de Chile ADR (each

representing 1 ordinary share) 1,082 0.19

8,643 1.50

Colombia – 0.63%; 2015 0.64% 70,288 Almacenes Exito 215 0.04 82,861 Argos 318 0.06 536,339 Aval Accione preference shares 129 0.02 132,834 Bancolombia preference shares 711 0.12 127,196 Cementos Argos 281 0.05 63,000 CEMEX LatAm 146 0.03 1,487,576 Ecopetrol 373 0.06 29,444 Financiera Colombiana 242 0.04 102,158 Interconexión Eléctrica 174 0.03 73,721 Inversiones Suramericana 600 0.10 25,934 Inversiones Suramericana preference shares 207 0.04 293,189 ISAGEN 253 0.04

3,649 0.63




Mexico – 5.58%; 2015 5.40% 856,630 Alfa series class ‘A’ shares 1,108 0.19 94,000 Alpek 99 0.02 161,400 Alsea 420 0.07 8,337,568 America Movil 4,034 0.70 90,200 Arca Continental 399 0.07 3,825,405 Cemex 1,500 0.26 125,000 Coca-Cola Femsa 657 0.11 32,200 Comercial Chedraui 60 0.01 367,900 Compartamos 491 0.09 37,300 El Puerto de Liverpool 298 0.05 732,300 Fibra Uno Administracion 1,068 0.18 634,744 Fomento Economico Mexicano 4,280 0.74 43,500 Gruma class ‘B’ shares 494 0.09 104,000 Grupo Aeroportuario Del Pacifico class ‘B’ shares 599 0.10 65,000 Grupo Aeroportuario del Sureste 658 0.11 569,863 Grupo Bimbo 1,171 0.20 139,429 Grupo Carso 409 0.07 11,749 Grupo Elektra 155 0.03 655,927 Grupo Financiero Banorte 2,328 0.40 635,240 Grupo Financiero Inbursa 805 0.14 468,100 Grupo Financiero Santander Mexico 533 0.09 151,900 Grupo LALA 257 0.04 1,131,146 Grupo Mexico 1,700 0.29 762,867 Grupo Televisa 2,810 0.49 53,000 Industrias Bachoco 154 0.03 50,100 Industrias CH class ‘B’ shares 105 0.02 41,479 Industrias Penoles 351 0.06 67,500 Infraestructura Energetica Nova 191 0.03 273,676 Kimberly-Clark de Mexico 437 0.08 43,900 La Comer 30 0.01 98,400 Megacable 270 0.05 329,196 Mexichem 482 0.08 151,487 Minera Frisco 57 0.01 241,500 OHL Mexico 202 0.03 89,200 Organizacion Soriana class ‘B’ shares 138 0.02 64,400 Promotora y Operadora de Infraestructura 537 0.09 114,800 Sanborns 109 0.02 416,878 Telesites 162 0.03 1,662,114 Wal-Mart de Mexico 2,761 0.48

32,319 5.58


peru – 0.21%; 2015 0.23% 11,060 Credicorp 942 0.16 82,341 Minas Buenaventura sponsored ADR (each representing

1 preference share) 308 0.05

1,250 0.21

MIDDLe eASt – 0.98%; 2015 0.87%

eQUItIeS – 0.98%; 2015 0.87%

United Arab emirates – 0.98%; 2015 0.87% 572,762 Abu Dhabi Commercial Bank 766 0.13 746,604 Air Arabia 195 0.03 1,025,735 Aldar Properties 500 0.09 675,012 Arabtec 191 0.03 553,812 Damac Properties Dubai 296 0.05 1,055,903 Dana Gas 104 0.02 49,940 DP World 613 0.11 537,059 Dubai Financial Market 146 0.03 214,233 Dubai Investments 81 0.01 185,851 Dubai Islamic Bank 233 0.04 350,000 Emaar Malls 188 0.03 1,075,522 Emaar Properties 1,228 0.21 332,124 First Gulf Bank 822 0.14 8,686 Mediclinic International 72 0.01 259,884 Union National Bank 189 0.03 311,094 Waha Capital 139 0.02

5,763 0.98

NoRtH AMeRICA – 3.59%; 2015 2.35%

eQUItIeS – 3.59%; 2015 2.35%

Cayman Islands – 3.59%; 2015 2.35% 1,575,100 Tencent 20,740 3.59


DeRIVAtIVeS – (0.07)%; 2015 0.02%

Futures – (0.07)%; 2015 0.02% 273 Mini MSCI Emerging Markets March 2016 7,299 82 0.01 4,007 SGX CNX Nifty March 2016 40,641 (456) (0.08)

47,940 (374) (0.07)

Portfolio of investments 529,775 91.76Net other assets 47,577 8.24


Unless otherwise stated, all securities are either listed on a recognised exchange or traded on an eligible securities market.Note: comparative figures show percentages for each category of holding at 28 February 2015. * Suspended investments fair valued at zero.^ Investments which are less than £500 are rounded to zero. Underlying exposure has been calculated according to the guidelines issued by the European Securities and Markets Authority (“ESMA”) and represents the market value of an equivalent position in the assets underlying each financial derivative instrument.


emerging Markets equity tracker portfolio Statement continued emerging Markets equity tracker Statement of total Return for the year ended 29 February 2016

Notes £000’s


£000’s £000’s


£000’s

Income


Revenue 4 21,360 20,846

Expenses 5 (1,474) (1,675)



Taxation 7 (2,022) (2,134)



Distributions 8 (15,882) (15,970)


emerging Markets equity tracker Statement of Change in Net Assets Attributable to Unitholders for the year ended 29 February 2016

£000’s


£000’s £000’s


£000’s




(28,436) 83,049





emerging Markets equity tracker Balance Sheetat 29 February 2016

Notes29.2.2016

£000’s28.2.2015

£000’s

Assets:

Fixed assets


Current assets

– Debtors 9 6,877 8,054


Total assets 583,546 728,204

Liabilities:


Creditors


– Other creditors 11 (5,725) (8,474)




emerging Markets equity tracker Notes to Financial Statements for the year ended 29 February 2016





£000’s


£000’s




Currency gains 5,508 1,833



4. Revenue


£000’s


£000’s



Overseas REIT dividends 98 148





5. Expenses


£000’s


£000’s




1,154 1,294

Other expenses:

– ADR fee 83 99

– Audit fee 8 8




320 381




£000’s


£000’s




£000’s


£000’s

Corporation tax – 426

Deferred tax 1 –

Double taxation relief – (426)



emerging Markets equity tracker Notes to Financial Statements continued



£000’s


£000’s



Effects of:

Double taxation relief (190) (426)




Revenue not subject to tax (20) –


(c) Deferred tax


£000’s


£000’s

Movement in the year:

Deferred tax charge 1 –

Provision at the end of the year 1 – 8. Distributions


£000’s


£000’s



16,308 16,681










9. Debtors

29.2.2016 £000’s

28.2.2015£000’s



Currency sales awaiting settlement 1,700 5,012

Overseas tax recoverable 41 13



29.2.2016 £000’s

28.2.2015£000’s

Amounts held at futures clearing houses and brokers 2,755 1,802



11. Other Creditors

29.2.2016 £000’s

28.2.2015 £000’s


Accrued FCA fee 1 1






Currency purchases awaiting settlement 1,693 5,018


Deferred taxation 1 –

Purchases awaiting settlement – 100













29.2.2016£000’s

28.2.2015£000’s


The Fund’s securities lending borrowing counterparties are Bank of America Merrill Lynch, Barclays Bank Plc, Citigroup, Commerzbank AG, Credit Suisse International, Deutsche Bank AG, Goldman Sachs, HSBC, JP Morgan Chase Securities Plc, Morgan Stanley & Co., Société Générale, The Bank of Nova Scotia and UBS.
















£000’s %Taxes

£000’s %

Equity instruments 63,915,083 21,719 0.03 48,483 0.08

Total purchases 63,915,083 21,719 48,483

Total purchases including transaction costs 63,985,285




£000’s %Taxes

£000’s %

Equity instruments 93,796,257 35,701 0.04 83,980 0.09

Total sales 93,796,257 35,701 83,980

Total sales net of transaction costs 93,676,576


Total transaction costs 57,595 132,463







£000’s %Taxes

£000’s %







£000’s %Taxes

£000’s %
















L Income Units



Balance at the beginning of the year 8,479,390 2,197,151 445,803,721 57,986,491

Issued during the year 691,054 105 84,723,827 25,046,406

Cancelled during the year (1,386,062) (100) (137,256,216) (8,806,967)

Converted during the year (2,749,065) (2,197,051) (113,585,849) 121,923,997

Balance at the end of the year 5,035,317 105 279,685,483 196,149,927


H Income Unitsº


Balance at the beginning of the year 82,269,581 – 11,036,985

Issued during the year 29,737,353 3,646,072 11,744,564

Cancelled during the year (29,541,831) (1,951,538) (2,099,469)

Converted during the year (10,194,303) 1,951,538 13,237,360

Balance at the end of the year 72,270,800 3,646,072 33,919,440





About the Fund

The BlackRock Global Property Securities Equity Tracker Fund (the “Fund”) is a sub-fund of BlackRock Collective Investment Funds, a UCITS scheme established under the COLL Sourcebook. The Fund was authorised by the Financial Conduct Authority on 3 June 2010 and established on 15 November 2010.


The aim of the Fund is to seek to achieve capital growth for investors by tracking closely the performance of the FTSE EPRA/NAREIT Developed Index by investing in companies in the Index. Investment will be made directly into constituent companies and via other transferable securities giving exposure to such companies. The Fund may also invest in permitted money-market instruments, permitted deposits and units in collective investment schemes. Derivatives and forward transactions may be used for the purposes of efficient portfolio management.




Unit Class

A Income 1 2 3 4 5 6 7




D Income 1 2 3 4 5 6 7


H Income 1 2 3 4 5 6 7






` �During the year, the risk indicator for each unit class changed from level 6 to 5 due to a decline in market volatility.


BlackRock Global property Securities equity tracker Fund


Performance Table






BlackRock Global Property Securities Equity Tracker Fund +2.6% +20.3% +55.7%§

FTSE EPRA/NAREIT Developed Index* +2.9% +21.4% +57.0%§

All Fund figures quoted are based on bid-to-bid dealing prices (the price at which units are sold) and are calculated net of fees. Performance returns are cumulative. All returns are in Sterling.* Figures from Index Vendor. Please note that the Fund’s benchmark index, the FTSE EPRA/NAREIT Developed Index was previously referred to as the FTSE EPRA/NAREIT Global Real Estate Series Developed Index. This is a clarificatory update and does not represent a change in the Fund’s benchmark index. # D Accumulation class was renamed as L Accumulation class during June 2012. § As a result of windfall gains made following an inadvertent under-investment of subscriptions to the Fund in September 2011, the Fund outperformed its benchmark by 60 basis points to the period ending 31 January 2012.


Global property Securities equity tracker Fund








to 29.2.2016




+2.59%* +2.88% -0.29%

Before costs, the tracking difference is a result of (a) the stock markets on which the benchmark index operates being closed at the Fund’s valuation point, resulting in a temporary mismatch on days when units are created or redeemed, (b) temporary divergences in the calculation when the Index provider calculates index values during UK bank holidays while the Fund is closed, (c) income from securities lending activity and (d) withholding tax differences between the Fund and index.


Global property Securities equity tracker Fund continued








Up to1.50%* 0.86%*The Fund has tracked its benchmark index within its anticipated tracking error.



Summary of Performance over the PeriodDuring the period from 1 March 2015 to 29 February 2016, the Fund returned 2.6%,* compared with its benchmark, the FTSE EPRA/NAREIT Developed Index, which returned 2.9%. Before costs, the tracking difference is a result of (a) the stock markets on which the benchmark index operates being closed at the Fund’s valuation point, resulting in a temporary mismatch on days when units are created or redeemed, (b) temporary divergences in the calculation when the Index provider calculates index values during UK bank holidays while the Fund is closed, (c) income from securities lending activity and (d) withholding tax differences between the Fund and index. Over the six-month period to 29 February 2016, the Fund returned 11.1%,* underperforming its benchmark, which returned 11.6%.


Global property securities made a small gain over the year, but volatility limited gains in comparison with direct property (according to the IPD index). In Europe, listed markets, including Spain and Ireland, benefited from improvements in structural growth as well as low interest rates. In Hong Kong, slowing growth from China, coupled with policymakers’ measures to cool property prices, weighed on shares of listed property in late 2015. Elsewhere, Japanese listed property fared well in early 2016 after the Bank of Japan announced negative interest rates.

The Fund is structured to track the FTSE EPRA/NAREIT Developed Index closely, so its portfolio remains positioned so that the risk characteristics are similar to those of the Index.

March 2016


Global property Securities equity tracker Investment Report

Comparative Table

A Income Units A Accumulation Units




to 28.2.2014




to 28.2.2014




Return before operating charges 3.54 30.43 (1.78) 4.00 31.99 (1.42)


Return after operating charges 2.74 29.68 (2.54) 3.14 31.20 (2.20)

Distributions on income units (3.02) (2.98) (2.66) N/A N/A N/A


Retained distributions on accumulation units N/A N/A N/A 3.24 3.12 2.86


performance

Return after charges1 1.87% 24.82% (2.03)% 2.01% 24.96% (1.73)%

other information

Closing net asset value (£000’s) 119 85 136 6,106 8,127 7,212

Closing number of units 81,595 57,821 113,501 3,832,143 5,201,989 5,771,201










Global property Securities equity tracker performance Record


Comparative Table

L Accumulation Units X Accumulation Units




to 28.2.2014




to 28.2.2014










performance


other information












Global property Securities equity tracker performance Recordcontinued

Comparative Table

D Income Units D Accumulation Units




to 28.2.2014




to 28.2.2014











performance


other information













Comparative Table




to 28.2.2015



to 28.2.2015




Return before operating charges 2.57 12.77 2.78 12.71


Return after operating charges 2.36 12.56 2.56 12.50

Distributions on income units (2.62) (1.06) N/A N/A


Retained distributions on accumulation units N/A N/A 2.66 1.07

After direct transaction costs of (0.03) (0.03) (0.03) (0.03)

performance

Return after charges1 2.12% 12.56% 2.28% 25.38%

other information

Closing net asset value (£000’s) 6,133 2 50,551 81

Closing number of units 5,512,742 1,665 43,936,243 71,656










Global property Securities equity tracker performance Recordcontinued


A IncomeUnits


L AccumulationUnits

X AccumulationUnits

D IncomeUnits

D AccumulationUnits

H IncomeUnits

H AccumulationUnits



Equalisation† – 0.1462 – 0.8586 – 1.0363 – 0.7254 – 0.8059 – 0.7228 – 0.6203 – 0.6066


Distribution paid 30.4.2015 1.1681 1.1681 1.2410 1.2410 1.5013 1.5013 1.4954 1.4954 1.4043 1.4043 1.4782 1.4782 1.0564 1.0564 1.0709 1.0709


A IncomeUnits


L AccumulationUnits

X AccumulationUnits

D IncomeUnits

D AccumulationUnits

H IncomeUnits÷

H AccumulationUnits÷



Equalisation† – 0.8259 – 0.7589 – 0.6057 – 0.9158 – 0.9459 – 0.8858 – 1.1708 – 0.9862


Distribution paid 31.10.2014 1.8129 1.8129 1.8796 1.8796 2.1197 2.1197 2.0445 2.0445 2.0193 2.0193 2.0944 2.0944 N/A N/A N/A N/A


÷ H Income and H Accumulation classes commenced September 2014.

Global property Securities equity tracker Distribution tables for the year ended 29 February 2016



eQUItIeS – 98.51%; 2015 99.01%

Australia – 5.97%; 2015 5.94% 506,774 BWP Trust 847 0.09 362,359 Charter Hall Office REIT 804 0.08 1,506,638 Cromwell Property 785 0.08 1,038,648 Dexus Property 4,029 0.42 1,879,051 Goodman 6,291 0.65 1,919,332 GPT 4,871 0.50 599,721 Investa Office Fund 1,225 0.13 3,949,064 Mirvac 3,728 0.39 5,482,364 Scentre 12,331 1.28 786,211 SCA Properties 917 0.10 2,525,982 Stockland Trust 5,421 0.56 3,513,147 Vicinity Centres 5,600 0.58 2,071,350 Westfield 10,685 1.11

57,534 5.97

Canada – 2.68%; 2015 3.10% 82,023 Allied Properties Real Estate Investment Trust 1,414 0.15 140,624 Artis Real Estate 907 0.09 43,087 Boardwalk Real Estate Investment Trust 1,119 0.12 136,163 Canadian Apartment Properties 2,075 0.21 77,780 Canadian Real Estate Investment Trust 1,730 0.18 184,484 Chartwell Retirement Residences 1,264 0.13 180,780 Cominar Real Estate Investment Trust 1,463 0.15 85,714 Crombie Real Estate 605 0.06 98,576 Dream Global Real Estate Investment Trust 423 0.04 116,530 Dream Office Real Estate Investment Trust 1,229 0.13 95,694 Extendicare 454 0.05 97,548 First Capital Realty 1,023 0.11 48,842 Granite Real Estate 985 0.10 299,647 H&R Real Estate 2,954 0.31 105,385 Innvest Real Estate 279 0.03 53,443 Killam Apartment Real Estate Investment Trust 310 0.03 48,993 Northview Apartment Real Estate Investment Trust 456 0.05 197,247 Pure Industrial Real Estate Trust 477 0.05 341,872 RioCan Real Estate Investment Trust 4,670 0.48 118,057 Smart Real Estate Investment Trust 1,998 0.21

25,835 2.68

Global property Securities equity tracker portfolio Statement at 29 February 2016


europe – 8.68%; 2015 7.91% 25,842 ADLER Real Estate 214 0.02 25,721 ADO Properties 546 0.06 13,516 Aedifica 633 0.07 4,862 Affine 56 0.01 119,973 Alstria Office Real Estate Investment Trust 1,095 0.11 6,187 ANF Immobilier 98 0.01 17,867 Befimmo 720 0.08 1,153,148 Beni Stabili 542 0.06 64,660 BUWOG 960 0.10 76,350 CA Immobilien Anlagen 937 0.10 409,511 Citycon 692 0.07 21,408 Cofinimmo 1,692 0.18 74,460 Conwert Immobilien 747 0.08 499,574 Deutsche Annington 11,121 1.15 48,403 Deutsche Euroshop 1,471 0.15 360,723 Deutsche Wohnen 6,883 0.71 38,817 DIC Asset 236 0.02 49,308 Eurocommercial 1,480 0.15 38,284 Foncière des Régions 2,256 0.23 42,785 Gecina 3,792 0.39 97,798 Grand City Properties 1,466 0.15 712,788 Green REIT 744 0.08 35,551 Grivalia Properties 204 0.02 71,005 Hamborner Real Estate Investment Trust 512 0.05 720,066 Hibernia REIT 707 0.07 77,019 Hispania Activos Inmobiliarios 710 0.07 37,531 Icade 1,873 0.19 327,867 IMM Grande 190 0.02 2,378,766 Inmobiliaria Colonial 1,120 0.12 13,765 Intervest Offices 258 0.03 220,060 Klepierre 6,560 0.68 66,046 Lar Espana Real Estate 419 0.04 1,641 Leasinvest Real Estate 121 0.01 67,278 LEG Immobilien 3,958 0.41 43,462 Mercialys 688 0.07 348,867 Merlin Properties 2,626 0.27 148,653 Nieuwe Steen Investments 451 0.05 264,224 Sponda 756 0.08 125,366 TAG Immobilien 1,076 0.11 98,236 Technopolis 280 0.03 56,883 TLG Immobilien 791 0.08


105,682 Unibail-Rodamco 18,850 1.95 20,334 VastNed Retail 626 0.07 14,955 Warehouses De Pauw 913 0.10 42,774 Wereldhave 1,552 0.16 1,777 Wereldhave Belgium 147 0.02

83,769 8.68

Hong Kong – 6.96%; 2015 7.25% 2,497,000 Champion Real Estate Investment Trust 872 0.09 3,020,000 Cheung Kong Property 11,133 1.15 1,468,000 Fortune Real Estate Investment Trust 1,102 0.11 2,372,881 Hang Lung Properties 2,997 0.31 1,091,048 Henderson Land Development 4,245 0.44 1,253,781 Hong Kong Land 5,313 0.55 662,000 Hysan Development 1,884 0.19 681,695 Kerry Properties 1,156 0.12 2,412,000 Link Real Estate Investment Trust 9,810 1.02 5,791,135 New World Development 3,495 0.36 3,230,594 Sino Land 3,246 0.34 1,785,893 Sun Hung Kai Properties 14,361 1.49 1,240,881 Swire Properties 2,286 0.24 1,454,341 Wharf 5,260 0.55

67,160 6.96

Israel – 0.10%; 2015 0.10% 38,605 Azrieli 994 0.10

Japan – 11.60%; 2015 11.38% 527 Activia Properties 2,020 0.21 1,361 Advance Residence Investment 2,364 0.24 125,100 Aeon Mall 1,278 0.13 1,098 Aeon REIT Investment 894 0.09 337 Daiwa House REIT 980 0.10 679 Daiwa House Residential 1,020 0.11 284 Daiwa Office Investment 1,314 0.14 498 Frontier Real Estate 1,639 0.17 642 Fukuoka REIT 797 0.08 2,341 GLP J-REIT 1,797 0.19 378,400 Hulic 2,418 0.25 335 Industrial & Infrastructure Fund 1,128 0.12 2,393 Invincible Investment 1,135 0.12 1,163 Japan Excellent 1,153 0.12 3,546 Japan Hotel REIT Investment 2,225 0.23 873 Japan Logistics Fund 1,366 0.14


Global property Securities equity tracker portfolio Statementcontinued

842 Japan Prime Realty Investment 2,494 0.26 1,337 Japan Real Estate 5,809 0.60 2,604 Japan Retail Fund Investment 4,273 0.44 381 Kenedix Realty Investment 1,592 0.17 1,357,000 Mitsubishi Estate 18,153 1.88 1,018,000 Mitsui Fudosan 17,059 1.77 1,547 Mori Hills REIT Investment 1,674 0.17 1,042 Mori Trust Sogo 1,344 0.14 496 Nippon Accommodations Fund 1,311 0.14 1,450 Nippon Building Fund 6,189 0.64 1,541 Nippon Prologis 2,357 0.24 126,700 Nomura Real Estate 1,636 0.17 3,784 Nomura Real Estate Master Fund 3,755 0.39 122,900 NTT Urban Development 865 0.09 2,469 Orix J-REIT 2,706 0.28 1,393 Premier Investment 1,263 0.13 464,000 Sumitomo Realty & Development 9,203 0.95 217,500 Tokyo Tatemono 1,809 0.19 1,024 Tokyu Real Estate Investment Trust 1,065 0.11 172 Top Real Estate Investment Trust 479 0.05 2,945 United Urban Investment 3,338 0.35

111,902 11.60

New Zealand – 0.09%; 2015 0.08% 1,389,665 Kiwi Property 900 0.09

Norway – 0.06%; 2015 0.08% 66,022 Entra 407 0.04 243,263 Norwegian Property 172 0.02

579 0.06

Singapore – 2.02%; 2015 3.19% 2,183,200 Ascendas Real Estate Investment Trust 2,700 0.28 2,123,000 CapitaCommercial 1,553 0.16 2,718,202 CapitaLand 4,157 0.43 2,840,300 CapitaMall Trust 3,178 0.33 717,900 CDL Hospitality Trusts 472 0.05 1,954,700 Keppel Real Estate Investment Trust 938 0.10 1,419,413 Mapletree Commercial Trust 1,023 0.10 1,302,200 Mapletree Industrial Real Estate Investment Trust 1,033 0.11 1,565,503 Mapletree Logistics Trust 783 0.08 2,574,800 Suntec Real Estate Investment Trust 2,187 0.23 501,854 UOL 1,458 0.15

19,482 2.02



Sweden – 1.18%; 2015 1.08% 174,626 Castellum 1,903 0.20 53,897 Dios Fastigheter 266 0.03 140,627 Fabege 1,578 0.16 98,022 Fastighets AB Balder 1,637 0.17 84,579 Hemfosa Fastigheter 674 0.07 118,292 Hufvudstaden 1,244 0.13 378,505 Klovern class ‘B’ shares 279 0.03 190,878 Kungsleden 934 0.10 54,965 Pandox 647 0.07 212,252 Wallenstam 1,180 0.12 70,333 Wihlborge Fast 996 0.10

11,338 1.18

Switzerland – 0.90%; 2015 0.93% 10,519 Allreal 1,005 0.10 6,439 Mobimo 1,028 0.11 42,476 PSP Swiss Property 2,615 0.27 68,074 Swiss Prime Site 4,067 0.42

8,715 0.90

United Kingdom – 5.32%; 2015 6.16% 1,756,135 Assura 896 0.09 151,389 Big Yellow 1,131 0.12 1,098,034 British Land 7,159 0.74 774,580 Capital & Counties Properties 2,502 0.26 4,335 Daejan 240 0.03 106,279 Derwent London 3,206 0.33 140,892 Development Securities 288 0.03 543,742 F&C Commercial Property Trust 705 0.07 256,261 F&C UK Real Estate Investment Trust 247 0.03 429,134 Grainger Trust 938 0.10 367,578 Great Portland Estates 2,555 0.27 839,206 Hammerson 4,553 0.47 761,290 Hansteen 821 0.09 102,939 Helical Bar 392 0.04 1,000,048 Intu Properties 2,972 0.31 843,440 Land Securities 8,417 0.87 615,578 LondonMetric Property 966 0.10 351,716 MedicX Fund 302 0.03 594,632 Picton Property Income Fund 400 0.04 438,186 Primary Health Properties 466 0.05 1,026,221 Redefine International 432 0.05



217,219 Safestore 722 0.07 559,365 Schroder Real Estate 313 0.03 790,694 Segro 3,228 0.33 297,113 Shaftesbury 2,512 0.26 182,797 St. Modwen Properties 599 0.06 388,893 Standard Life Investment Property Trust 327 0.03 177,892 Target Healthcare REIT 199 0.02 783,250 Tritax Big Box 1,022 0.11 620,545 UK Commercial Property Trust 485 0.05 239,889 Unite 1,472 0.15 122,023 Workspace 885 0.09

51,352 5.32

United States of America – 52.95%; 2015 51.81% 72,634 Acadia Realty Trust 1,746 0.18 18,826 Agree Realty 503 0.05 2,212 Alexander’s 612 0.06 77,209 Alexandria Real Estate 4,389 0.46 40,221 American Assets Trust 1,080 0.11 138,807 American Campus Communities 4,403 0.46 160,611 American Homes 4 Rent 1,646 0.17 167,104 Apartment Investment & Management 4,399 0.46 177,142 Apple Hospitality REIT 2,430 0.25 94,047 Ashford Hospitality Trust 374 0.04 146,792 AvalonBay Communities 18,165 1.88 164,493 Boston Properties 13,523 1.40 187,279 Brandywine Realty Trust 1,674 0.17 187,848 Brixmor Property 3,215 0.33 92,285 Camden Property Trust 4,948 0.51 89,186 Care Capital Properties 1,698 0.18 179,133 CBL & Associates Properties 1,442 0.15 88,563 Cedar Shopping Centers 443 0.05 39,445 Chatham Lodging Trust 586 0.06 66,293 Chesapeake Lodging Real Estate Investment Trust 1,223 0.13 52,807 Colony Starwood Homes 849 0.09 132,558 Columbia Property Trust 1,971 0.20 99,588 Corporate Office Properties Trust 1,693 0.18 224,701 Cousins Properties 1,413 0.15 184,853 CubeSmart 4,001 0.41 93,709 DCT Industrial Trust 2,464 0.26 325,834 DDR 3,930 0.41 211,591 DiamondRock Hospitality 1,361 0.14 144,917 Digital Realty Trust 8,259 0.86



145,815 Douglas Emmett 2,832 0.29 368,793 Duke Realty 5,538 0.57 69,092 Dupont Fabros Technology 1,776 0.18 33,641 EastGroup Properties 1,323 0.14 67,697 Education Realty Trust 1,945 0.20 98,404 Empire State Realty 1,131 0.12 64,451 EPR Properties 2,875 0.30 135,235 Equity Commonwealth 2,638 0.27 81,407 Equity Lifestyle Properties 4,145 0.43 99,364 Equity One 1,975 0.20 387,017 Equity Residential 20,823 2.16 70,294 Essex Property Trust 10,655 1.10 124,376 Extra Space Storage 7,463 0.77 74,305 Federal Realty Investment Trust 7,962 0.83 161,357 FelCor Lodging Trust 878 0.09 116,148 First Industrial Realty Trust 1,809 0.19 63,020 First Potomac Realty 380 0.04 252,612 Forest City class ‘A’ shares 3,454 0.36 91,812 Franklin Street Properties 627 0.07 92,457 Gaming and Leisure Properties 1,699 0.18 539,624 General Growth Properties 10,771 1.12 29,528 Getty Realty 386 0.04 61,091 Government Properties Income 647 0.07 452,935 Gramercy Property Trust 2,475 0.26 498,904 HCP 10,769 1.12 107,213 Healthcare Realty Trust 2,221 0.23 135,254 Healthcare Trust of America 2,701 0.28 41,025 Hersha Hospitality Trust 604 0.06 102,498 Highwoods Properties 3,285 0.34 162,696 Hospitality Properties 2,855 0.30 809,642 Host Hotels & Resorts 8,995 0.93 77,196 Hudson Pacific Properties 1,440 0.15 91,572 Inland Real Estate 699 0.07 129,441 Investors Real Estate Trust 577 0.06 98,443 Kilroy Realty 3,926 0.41 440,172 Kimco Realty 8,481 0.88 86,681 Kite Realty Trust 1,693 0.18 119,741 LaSalle Hotel Properties 2,105 0.22 250,013 Lexington Realty 1,390 0.14 157,346 Liberty Property Trust 3,252 0.34 37,296 LTC Properties 1,184 0.12 169,180 Macerich 9,715 1.01



93,661 Mack-Cali Realty 1,368 0.14 255,995 Medical Properties Trust 2,136 0.22 80,404 Mid-America Apartment Communities 5,324 0.55 36,649 National Health Investors 1,666 0.17 145,831 National Retail Properties 4,629 0.48 85,446 New Senior Investment 581 0.06 173,277 New York REIT 1,202 0.12 178,146 Omega Healthcare Investors 4,114 0.43 152,800 Paramount 1,696 0.18 82,657 Parkway Properties 803 0.08 77,172 Pebblebrook Hotel Real Estate Investment Trust 1,504 0.16 69,020 Pennsylvania Real Estate Investment Trust 952 0.10 116,171 Physicians Realty Trust 1,477 0.15 157,869 Piedmont Office Realty Trust 2,106 0.22 57,643 Post Properties 2,318 0.24 561,981 Prologis 15,664 1.62 21,201 PS Business Parks 1,424 0.15 155,635 Public Storage 28,544 2.96 42,566 QTS Realty Trust 1,384 0.14 87,218 Ramco-Gershenson Properties Trust 1,071 0.11 267,521 Realty Income 11,319 1.17 99,602 Regency Centers 5,073 0.53 104,192 Retail Opportunity Real Estate Investment Trust 1,403 0.15 251,866 Retail Properties of America 2,665 0.28 61,586 Rexford Industrial Realty 758 0.08 133,937 RLJ Lodging Trust 2,030 0.21 36,691 Rouse Properties 482 0.05 51,488 Ryman Hospitality 1,777 0.18 68,322 Sabra Health Care Real Estate Investment Trust 975 0.10 15,704 Saul Centers 553 0.06 70,981 Select Income REIT 1,050 0.11 254,968 Senior Housing Properties Trust 2,820 0.29 37,795 Silver Bay Realty Trust 379 0.04 333,599 Simon Property 45,855 4.75 106,587 SL Green Realty 6,874 0.71 38,320 Sovran Self Storage 3,002 0.31 447,915 Spirit Realty Capital 3,495 0.36 72,937 STAG Industrial 906 0.09 87,394 STORE Capital 1,520 0.16 95,145 Sumit Hotel Properties 742 0.08 60,249 Sun Communities 2,959 0.31 223,707 Sunstone Hotel 2,059 0.21



101,835 Tanger Factory Outlet Centers 2,377 0.25 64,691 Taubman Centers 3,300 0.34 43,940 Terreno Realty 710 0.07 50,860 Tier REIT 479 0.05 280,413 UDR 6,957 0.72 7,244 Universal Health Realty Income Trust 273 0.03 94,165 Urban Edge Properties 1,663 0.17 23,321 Urstadt Biddle Properties class ‘A’ shares 335 0.03 355,097 Ventas 14,199 1.47 967,620 VEREIT 5,553 0.58 181,598 Vornado Realty Trust 11,295 1.17 72,147 Washington Real Estate Investment Trust 1,354 0.14 119,389 Weingarten Realty Investors 3,068 0.32 376,277 Welltower 17,240 1.79 36,423 Winthrop Realty Trust 338 0.04 93,876 WP Carey 3,837 0.40 193,774 WP GLIMCHER 1,195 0.12 118,411 Xenia Hotels & Resorts 1,293 0.13

510,664 52.95

DeRIVAtIVeS – 0.04%; 2015 0.04%

Futures – 0.04%; 2015 0.04% 25 FTSE 100 March 2016 1,514 68 0.01 22 Hang Seng March 2016 1,962 (16) 0.00 169 S&P500 EMINI March 2016 11,829 382 0.04 22 SPI 200 March 2016 1,379 – 0.00 30 TOPIX March 2016 2,491 (61) (0.01)

19,175 373 0.04

Portfolio of Investments 950,597 98.55 Net other assets 13,975 1.45


Unless otherwise stated, all securities are either listed on a recognised exchange or traded on an eligible securities market.Note: comparative figures show percentages for each category of holding at 28 February 2015.Underlying exposure has been calculated according to the guidelines issued by the European Securities and Markets Authority (“ESMA”) and represents the market value of an equivalent position in the assets underlying each financial derivative instrument.



Global property Securities equity tracker Statement of total Return for the year ended 29 February 2016

Notes £000’s


£000’s £000’s


£000’s

Income

Net capital gains 3 7,629 125,665

Revenue 4 26,554 21,356

Expenses 5 (1,499) (1,211)



Taxation 7 (4,203) (3,549)


Total return before distributions 28,475 142,256

Distributions 8 (20,032) (16,035)

Change in net assets attributable to unitholders from investment activities 8,443 126,221

Global property Securities equity tracker Statement of Change in Net Assets Attributable to Unitholders for the year ended 29 February 2016

£000’s


£000’s £000’s


£000’s




166,017 125,257






Global property Securities equity tracker Balance Sheet at 29 February 2016

Notes

29.2.2016£000’s

28.2.2015£000’s

Assets:

Fixed assets


Current assets

– Debtors 9 2,106 4,365


Total assets 972,277 779,100

Liabilities:

Investment liabilities (77) (1)

Creditors



– Other creditors 11 (4,880) (4,240)




Global property Securities equity tracker Notes to Financial Statements for the year ended 29 February 2016



3. Net Capital Gains


£000’s


£000’s

The net capital gains comprise:

Gains on non-derivative securities 5,706 122,461

(Losses)/gains on derivative contracts (1,007) 495

Currency gains 2,011 318

US REIT dividends 972 2,444


Net capital gains 7,629 125,665

4. Revenue


£000’s


£000’s



Overseas REIT dividends 7,897 6,395


Stock dividends 816 558

UK dividends 334 219

UK REIT dividends 692 494

US REIT dividends 12,993 10,852



5. Expenses


£000’s


£000’s




1,386 1,111

Other expenses:

– Audit fee 8 8

– Legal & other Professional fees 11 –



113 100




£000’s


£000’s

Interest on bank overdrafts 6 5 7. Taxation(a) Analysis of tax charge


£000’s


£000’s

Corporation tax 3,860 3,226

Double taxation relief (2,792) (2,229)



Deferred tax movement [see note 7(c)] 49 22

Total tax for the year 4,203 3,549

Global property Securities equity tracker Notes to Financial Statementscontinued



£000’s


£000’s



Effects of:

Capitalised income from US REITs 195 489

Double taxation relief (2,792) (2,229)

Franked investment revenue at 20% (67) (44)


Movement in revenue accruals not taxable (93) (42)




(c) Analysis of deferred tax charge


£000’s


£000’s

Opening deferred tax balance 75 53

Deferred tax movement [see note 7(a)] 49 22

Closing deferred tax balance 124 75


8. Distributions


£000’s


£000’s



21,391 17,037






Less: Non distributable stock dividends (816) (558)



9. Debtors

29.2.2016 £000’s

28.2.2015£000’s

Accrued revenue 1,210 807


Currency sales awaiting settlement – 1,765


Sales awaiting settlement 4 –



29.2.2016 £000’s

28.2.2015£000’s

Amounts held at futures clearing houses and brokers 143 188




11. Other Creditors

29.2.2016 £000’s

28.2.2015 £000’s


Accrued FCA fee 1 1






Corporation tax payable 508 434

Currency purchases awaiting settlement – 1,762


Deferred taxation 124 75














29.2.2016£000’s

28.2.2015£000’s


The Fund’s securities lending borrowing counterparties are Bank of America Merrill Lynch, Citigroup, Goldman Sachs, HSBC, JP Morgan Chase Securities Plc, Macquarie Bank Ltd, Morgan Stanley & Co., The Bank of Nova Scotia and UBS.















£000’s %Taxes

£000’s %


Collective investment schemes 654 – – – –






£000’s %Taxes

£000’s %













£000’s %Taxes

£000’s %









£000’s %Taxes

£000’s %















A IncomeUnits




Balance at the beginning of the year 57,821 5,201,989 205,238,399 66,343,360


Cancelled during the year (1,847,592) – (68,994,827) (24,048,018)

Converted during the year 1,053,757 (1,369,846) (1,837) –

Balance at the end of the year 81,595 3,832,143 178,534,113 110,378,778

D IncomeUnits


H Income Units


Balance at the beginning of the year 102,606,161 122,836,877 1,665 71,656

Issued during the year 111,279,050 – 3,496,057 9,154,090


Converted during the year (61,621,501) 27,051,501 2,933,631 40,155,616





About the Fund

The BlackRock Index Linked Gilt Tracker Fund (the “Fund”) is a sub-fund of BlackRock Collective Investment Funds, a UCITS scheme established under the COLL Sourcebook. The Fund was authorised by the Financial Conduct Authority on 25 May 2012 and was established on 29 June 2012.


The aim of the Fund is to seek to achieve a total return for investors by tracking closely the performance of the FTSE Actuaries UK Index Linked Gilts Over 5 Years Index by investing in fixed income securities contained in the Index. Investment will be made directly into constituent issues and via other transferable securities giving exposure to such issues. The Fund may also invest in permitted money-market instruments, permitted deposits and units in collective investment schemes. Derivatives and forward transactions may be used for the purposes of efficient portfolio management.




Unit Class



X Income 1 2 3 4 5 6 7








` �During the year, the risk indicator for each unit class changed from level 4 to 5 due to an increase in market volatility.


BlackRock Index Linked Gilt tracker Fund


Performance Table



§


Class D Accumulation Units

BlackRock Index Linked Gilt Tracker Fund +3.8% +21.1%

FTSE Actuaries UK Index Linked Gilts Over 5 Years Index* +5.0% +22.0%

All Fund figures quoted are based on bid-to-bid dealing prices (the price at which units are sold) and are calculated net of fees. Performance returns are cumulative. All returns are in Sterling.§ Five year performance data does not exist as the Fund launched in June 2012.* Figures from Index Vendor. Please note that the Fund’s benchmark index, the FTSE Actuaries UK Index Linked Gilts Over 5 Years Index was previously referred to as the FTSE Actuaries UK Index Linked Gilt Over 5 Year Index. This is a clarificatory update and does not represent a change in the Fund’s benchmark index.


Index Linked Gilt tracker Fund








to 29.2.2016




+3.83%* +5.01% -1.18%


* Performance is calculated net of fees and reported for the Fund’s class D Accumulation Units.









Up to 1.20%* 2.14%*

The Fund’s tracking error exceeded its anticipated tracking error primarily due to the difference in the valuation point of the Fund and the pricing point of the benchmark index.

* Figures represent the anticipated tracking error and realised tracking error for the Fund’s class D Accumulation Units.

Index Linked Gilt tracker Fund continued


Index Linked Gilt tracker Investment Report

Summary of Performance over the PeriodDuring the period from 1 March 2015 to 29 February 2016, the Fund returned 3.8%,* compared to its benchmark, the FTSE Actuaries UK Index Linked Gilts Over 5 Years Index, which returned 5.0%. Before costs and after adjusting for a) the difference in valuation point of the Fund and the pricing point of the benchmark index and b) the tax incurred by the Fund which is not included in the benchmark index, the performance of the Fund relative to the benchmark index has been in line with expectations. Over the six-month period to 29 February 2016, the Fund returned -0.2%,* underperforming its benchmark, which returned 1.7%.


UK policymakers voted unanimously to keep interest rates on hold in February, following many months in which one member favoured a hike. UK inflation remained well below the Bank of England’s (“BoE”) 2% target throughout the year. In December 2015, the Consumer Price Index rose to 0.2%, exceeding 0.1% for the first time in nearly a year. Low inflation meant that expectations of rate hikes by the BoE receded further into the distance.

The Fund is structured to track the FTSE Actuaries UK Index Linked Gilts Over 5 Years Index closely, so its portfolio remains positioned so that the risk characteristics are similar to those of the Index.

March 2016

* Performance figures quoted are based on bid-to-bid dealing prices (the price at which units are sold). Performance is calculated net of fees and reported for the Fund’s class D Accumulation Units.

Comparative Table





to 28.2.2014




to 28.2.2014





Operating charges (0.63) 0.00 0.00 (0.26) 0.00 0.00





performance


other information












Index Linked Gilt tracker Fund performance Record


Comparative Table

X Income Units X Accumulation Units




to 28.2.2014




to 28.2.2014





Operating charges (0.01) 0.00 0.00 (0.01) 0.00 0.00






performance


other information


Closing number of units 995 5,637,298 6,518,277 114,702,447 111,989,042 113,514,714










Comparative Table

D Accumulation Units H Accumulation Units




to 28.2.2014



to 28.2.2015




Return before operating charges 5.06 18.60 (2.30) 4.40 7.70

Operating chargesØ (0.20) 0.00 0.00 (0.12) 0.00

Return after operating charges 4.86 18.60 (2.30) 4.28 7.70


Retained distributions on accumulation units 0.54 0.64 0.73 0.52 0.24


performance

Return after charges1 3.96% 17.88% (2.16)% 3.97% 7.70%

other information













Index Linked Gilt tracker Fund performance Record continued



UK Sterling Denominated Fixed Rate Government Bonds – 99.09%; 2015 99.76% £9,799,000 Treasury 0.125% Index Linked Gilts 22/3/2024 11,510 3.68 £2,430,000 Treasury 0.125% Index Linked Gilts 22/3/2026 2,713 0.87 £9,858,441 Treasury 0.125% Index Linked Gilts 22/3/2029 12,229 3.91 £10,719,117 Treasury 0.125% Index Linked Gilts 22/3/2044 14,858 4.76 £5,215,000 Treasury 0.125% Index Linked Gilts 22/3/2046 6,905 2.21 £7,038,000 Treasury 0.125% Index Linked Gilts 22/3/2058 10,842 3.47 £1,747,000 Treasury 0.125% Index Linked Gilts 22/11/2065 2,912 0.93 £8,378,249 Treasury 0.125% Index Linked Gilts 22/3/2068 15,240 4.88 £8,297,275 Treasury 0.25% Index Linked Gilts 22/3/2052 13,057 4.18 £8,791,380 Treasury 0.375% Index Linked Gilts 22/3/2062 16,981 5.44 £8,379,911 Treasury 0.5% Index Linked Gilts 22/3/2050 15,635 5.00 £9,335,404 Treasury 0.625% Index Linked Gilts 22/3/2040 15,577 4.99 £8,266,000 Treasury 0.625% Index Linked Gilts 22/11/2042 14,541 4.65 £9,634,900 Treasury 0.75% Index Linked Gilts 22/3/2034 14,106 4.51 £7,935,451 Treasury 0.75% Index Linked Gilts 22/11/2047 15,631 5.00 £8,966,152 Treasury 1.125% Index Linked Gilts 22/11/2037 16,954 5.43 £9,739,566 Treasury 1.25% Index Linked Gilts 22/11/2027 16,513 5.29 £9,349,000 Treasury 1.25% Index Linked Gilts 22/11/2032 15,442 4.94 £6,906,000 Treasury 1.25% Index Linked Gilts 22/11/2055 18,812 6.02 £10,911,000 Treasury 1.875% Index Linked Gilts 22/11/2022 16,746 5.36 £6,187,000 Treasury 2% Index Linked Gilts 26/1/2035 14,381 4.60 £4,762,655 Treasury 2.5% Index Linked Gilts 17/7/2024 16,309 5.22 £3,503,385 Treasury 4.125% Index Linked Gilts 22/7/2030 11,704 3.75



Unless otherwise stated, all securities are either listed on a recognised exchange or traded on an eligible securities market.Note: comparative figures show percentages for each category of holding at 28 February 2015. All securities in the portfolio at 29 February 2016 are investment grade.

Index Linked Gilt tracker portfolio Statement at 29 February 2016



L AccumulationUnits

X Income Units

X AccumulationUnits

D AccumulationUnits

H AccumulationUnits


Gross Revenue 0.1078 0.0503 0.2936 0.1515 0.2600 0.1929 0.4230 0.1314 0.3280 0.1891 0.3168 0.1294

Income tax 0.0216 0.0101 0.0587 0.0303 0.0520 0.0386 0.0846 0.0263 0.0656 0.0378 0.0634 0.0259

Net revenue (interest) 0.0862 0.0402 0.2349 0.1212 0.2080 0.1543 0.3384 0.1051 0.2624 0.1513 0.2534 0.1035

Equalisation† – 0.0460 – 0.1137 – 0.0537 – 0.2333 – 0.1111 – 0.1499

Distribution payable 30.4.2016 0.0862 0.0862 0.2349 0.2349 0.2080 0.2080 0.3384 0.3384 0.2624 0.2624 0.2534 0.2534




L AccumulationUnits

X Income Units

X AccumulationUnits

D AccumulationUnits



Gross Revenue 0.1280 0.0936 0.3163 0.1430 0.4345 0.1548 0.4444 0.1805 0.3496 0.1364 0.3346 0.1469

Income tax 0.0256 0.0187 0.0633 0.0286 0.0869 0.0310 0.0889 0.0361 0.0699 0.0273 0.0669 0.0294

Net revenue (interest) 0.1024 0.0749 0.2530 0.1144 0.3476 0.1238 0.3555 0.1444 0.2797 0.1091 0.2677 0.1175

Equalisation† – 0.0275 – 0.1386 – 0.2238 – 0.2111 – 0.1706 – 0.1503


Distribution paid 31.10.2014 0.1801 0.1801 0.3063 0.3063 0.3874 0.3874 0.3935 0.3935 0.3291 0.3291 N/A N/A


÷ H Accumulation class commenced September 2014.

Index Linked Gilt tracker Distribution tables for the year ended 29 February 2016


Index Linked Gilt tracker Statement of total Return for the year ended 29 February 2016

Notes £000’s


£000’s £000’s


£000’s

Income


Revenue 4 6,793 4,665

Expenses 5 (360) (391)


Taxation 6 – –





Index Linked Gilt tracker Statement of Change in Net Assets Attributable to Unitholders for the year ended 29 February 2016

£000’s


£000’s £000’s


£000’s




(59,286) (34,206)




Index Linked Gilt tracker Balance Sheet at 29 February 2016

Notes

29.2.2016£000’s

28.2.2015£000’s

Assets:

Fixed assets


Current assets

– Debtors 8 5,528 922

– Cash and bank balances 2,255 687

Total assets 317,381 359,188

Liabilities:

Creditors


– Other creditors 9 (4,756) (480)

Total liabilities (4,948) (759)






£000’s


£000’s





£000’s


£000’s


Corporation tax at 20% (28 February 2015: 20%) 1,287 855

Effects of:

Effective interest rate tax adjustment (865) (321)

Excess expenses generated/(utilised) 443 (213)

Indexation relief on index linked gilts (865) (321)


At 29 February 2016, the Fund had surplus management expenses of £000 3,454 (28 February 2015: £000 1,237). It is unlikely that the Fund will generate sufficient taxable profits in the future to utilise these expenses and, therefore, a deferred tax asset of £000 690 (28 February 2015: £000 247) has not been recognised. Although the potential deferred tax asset has been reduced no deferred tax asset has been recognised, as of February 2012, brought forward surplus expenses are utilised in preference to deductions for current period interest distributions.

7. Distributions


£000’s


£000’s


Final distribution 917 1,240

2,063 2,646





Less: Equalisation on conversions (3) –

Less: Effective interest rate adjustment (4,325) (1,603)



Index Linked Gilt tracker Notes to Financial Statements for the year ended 29 February 2016





£000’s


£000’s





4. Revenue


£000’s


£000’s



Total revenue 6,793 £4,665

5. Expenses


£000’s


£000’s




327 348

Other expenses:

– Audit fee 7 7



33 43





Manager/Registrar: BlackRock Fund Managers LimitedInvestment Manager: BlackRock Investment Management (UK) Limited

The ultimate holding company of the Manager and Investment Manager is BlackRock Inc. (“BlackRock”), a company incorporated in Delaware, USA. PNC Financial Services Group Inc. (“PNC”) is a substantial shareholder in BlackRock Inc. PNC did not provide any services to the Fund during the years ended 29 February 2016 and 28 February 2015.

The Manager acts as either principal or agent for the Trustee in respect of all transactions of units of the Fund. The aggregate monies received through issue and paid through cancellation of units are disclosed in the Statement of Change in Net Assets Attributable to Unitholders and note 7. Any amounts due to or from the Manager at the year end are disclosed in notes 8 and 9. Management fees and registration fees paid to BlackRock Fund Managers Limited are shown in note 5. The balances due at the year end in respect of these fees are shown in note 9.





8. Debtors

29.2.2016 £000’s

28.2.2015£000’s


Amounts receivable for issue of units 5,041 204

Total debtors 5,528 922

9. Other Creditors

29.2.2016 £000’s

28.2.2015 £000’s


Accrued FCA fee 1 –





Custodian transaction costs 1 –

Purchases awaiting settlement 1,064 –

Total other creditors 4,756 480



There were no securities on loan or related collateral outstanding at the Balance Sheet date (28 February 2015: £Nil).

Index Linked Gilt tracker Notes to Financial Statements continued






£000’s %Taxes

£000’s %







£000’s %Taxes

£000’s %


Total sales 108,709 – –


Total transaction costs – –










£000’s %Taxes

£000’s %







£000’s %Taxes

£000’s %











X Income Units




Balance at the beginning of the year 297,899 31,177,656 5,637,298 111,989,042 143,532,089 7,944

Issued during the year 137,475 7,291,085 29,764,091 – 16,884,110 2,141,624

Cancelled during the year (160,206) (18,209,136) (34,511,195) – (49,692,131) (950,843)

Converted during the year – (1,861,498) (889,199) 2,713,405 (299,382) 340,860

Balance at the end of the year 275,168 18,398,107 995 114,702,447 110,424,686 1,539,585




About the Fund

The BlackRock Japan Equity Tracker Fund (the “Fund”) is a sub-fund of BlackRock Collective Investment Funds, a UCITS scheme established under the COLL Sourcebook. The Fund was established and authorised by the Financial Conduct Authority on 21 June 2005. The Fund was previously known as Merrill Lynch Japan Equity Tracker Fund. It adopted its present name with effect from 28 April 2008.


The aim of the Fund is to seek to achieve capital growth for investors by tracking closely the performance of the FTSE Japan Index by investing in companies in the Index. Investment will be made directly into constituent companies and via other transferable securities giving exposure to such companies. The Fund may also invest in permitted money-market instruments, permitted deposits and units in collective investment schemes. Derivatives and forward transactions may be used for the purposes of efficient portfolio management.




Unit Class


L Income 1 2 3 4 5 6 7


X Income 1 2 3 4 5 6 7









BlackRock Japan equity tracker Fund



Performance Table






BlackRock Japan Equity Tracker Fund +0.4% +23.9% +24.7%

FTSE Japan Index* +0.7% +24.5% +26.0%

All Fund figures quoted are based on bid-to-bid dealing prices (the price at which units are sold) and are calculated net of fees. Performance returns are cumulative. All returns are in Sterling.* Figures from Index Vendor. Net of withholding tax. # D Accumulation class was renamed as L Accumulation class during June 2012.


Japan equity tracker Fund







to 29.2.2016




+0.40%* +0.72% -0.32%












Up to 2.50%* 2.94%*

The Fund’s tracking error exceeded its anticipated tracking error due to temporary divergences in the calculation when the Index provider calculates index values during UK bank holidays while the Fund is closed.


Summary of Performance over the PeriodDuring the period from 1 March 2015 to 29 February 2016, the Fund returned 0.4%,* compared with its benchmark, the FTSE Japan Index, which returned 0.7%. Before costs, the tracking difference is a result of (a) the stock markets on which the benchmark index operates being closed at the Fund’s valuation point, resulting in a temporary mismatch on days when units are created or redeemed, (b) temporary divergences in the calculation when the Index provider calculates index values during UK bank holidays while the Fund is closed, (c) income from securities lending activity and (d) withholding tax differences between the Fund and index. Over the six-month period to 29 February 2016, the Fund returned -0.6%,* underperforming its benchmark, which returned 1.0%.

Fund Manager’s CommentaryThe period to 29 February 2016 was marked by diverging monetary policies, concerns over China’s economy and commodity price volatility. In the US, a mixed bag of economic data meant that the US Federal Reserve (the “Fed”) kept interest rates on hold until December 2015, when they were raised by 0.25%. This rate rise marked the first move in US interest rates since 2006, and it reflected the Fed’s growing confidence in employment and inflation prospects. By contrast, the European Central Bank extended its asset-purchase programme for another few months, as the region’s economy struggled to grow. Elsewhere, central bankers in several emerging economies, including India, China and Russia, lowered benchmark rates in a bid to stimulate growth. Japanese policymakers continued to battle deflation and a slowing pace of growth over the period. Japan’s economy contracted at an annualised rate of 1.1% in the fourth quarter of 2015, putting further pressure on authorities to act. In early 2016, the Bank of Japan announced a policy of negative interest rates, designed to encourage bank lending and encourage growth.

The Fund is structured to track the FTSE Japan Index closely, so its portfolio remains positioned so that its risk characteristics are similar to those of the Index.

March 2016


Japan equity tracker Investment ReportJapan equity tracker Fund continued


Comparative Table





to 28.2.2014


For the periodfrom 24.4.2014^

to 28.2.2015




Return before operating charges 1.51 23.99 12.48 1.72 23.23


Return after operating charges 0.71 23.30 11.80 1.47 22.99





performance

Return after charges1 0.48% 18.51% 10.34% 1.20% 22.98%

other information

Closing net asset value (£000’s) 1,449 2,365 3,156 – –

Closing number of units 966,235 1,584,486 2,507,042 100 100











Japan equity tracker performance Record

Comparative Table





to 28.2.2014




to 28.2.2014




Return before operating charges 1.45 24.29 12.49 1.23 21.76 11.46


Return after operating charges 1.11 24.00 12.20 1.22 21.74 11.44





performance

Return after charges1 0.74% 18.96% 10.66% 0.91% 18.97% 10.88%

other information

Closing net asset value (£000’s) 1,075,752 890,755 665,655 1 9,563 8,790

Closing number of units 709,071,863 591,574,293 525,606,643 1,031 7,121,092 7,672,415











Comparative Table





to 28.2.2014




to 28.2.2014










performance


other information












Comparative Table





to 28.2.2014




Return before operating charges 1.14 19.23 (0.88)


Return after operating charges 0.99 19.10 (1.00)




performance

Return after charges1 0.84% 19.29% (1.00)%

other information












Japan equity tracker performance Record continued



A AccumulationUnits

L IncomeUnits

L AccumulationUnits

X IncomeUnits

X AccumulationUnits

D AccumulationUnits

H AccumulationUnits



Equalisation† – 0.6817 – 0.0000 – 0.9107 – 0.0000 – 0.9552 – 0.9631 – 0.7750




A AccumulationUnits

L IncomeUnits

L AccumulationUnits

X IncomeUnits

X AccumulationUnits

D AccumulationUnits

H AccumulationUnits



Equalisation† – 0.7816 – 0.0000 – 0.5890 – 1.0188 – 1.1270 – 0.9313 – 0.7934




Japan equity tracker Distribution tables for the year ended 29 February 2016


eQUItIeS – 96.74%; 2015 98.04%

JApAN – 96.74%; 2015 98.04%

Automobiles & parts – 12.66%; 2015 13.80% 118,200 Aisin Seiki 3,410 0.26 400,056 Bridgestone 10,105 0.77 99,000 Calsonic Kansei 524 0.04 127,100 Daihatsu Motors 1,273 0.10 314,016 Denso 8,401 0.64 16,100 Exedy 231 0.02 391,000 Fuji Heavy Industries 9,232 0.71 238,000 GS Yuasa 700 0.05 1,119,720 Honda Motor 20,652 1.58 141,009 JTEKT 1,390 0.11 80,700 Koito Manufacturing 2,565 0.20 353,600 Mazda Motor 3,552 0.27 373,500 Mitsubishi Motors 1,916 0.15 118,700 NGK Spark Plug 1,600 0.12 111,000 NHK Spring 731 0.06 25,900 Nifco 842 0.06 1,458,621 Nissan Motor 9,544 0.73 39,500 Nissan Shatai 284 0.02 69,100 NOK 804 0.06 283,800 NSK 1,870 0.14 90,800 Stanley Electric 1,453 0.11 477,075 Sumitomo Electric 4,126 0.32 110,630 Sumitomo Rubber 1,140 0.09 256,131 Suzuki Motor 4,623 0.35 28,900 Tokai Rika 411 0.03 61,700 Toyo Tire & Rubber 675 0.05 45,955 Toyoda Gosei 634 0.05 34,900 Toyota Boshoku 397 0.03 101,700 Toyota Industries 3,084 0.24 1,755,298 Toyota Motor 66,141 5.06 29,100 TS Tech 467 0.04 172,883 Yamaha Motor 1,858 0.14 67,000 Yokohama Rubber 771 0.06

165,406 12.66

Japan equity tracker portfolio Statement at 29 February 2016

310



Banks – 7.37%; 2015 9.48% 229,000 77th Bank 585 0.04 740,894 Aozora 1,737 0.13 124,963 Awa Bank 407 0.03 224,000 Bank of Kyoto 1,011 0.08 698,085 Bank of Yokohama 2,281 0.17 404,000 Chiba Bank 1,366 0.10 117,717 Chugoku Bank 893 0.07 200,000 Daishi 478 0.04 520,900 Fukuoka Financial 1,188 0.09 273,012 Gunma Bank 865 0.07 245,000 Hachijuni Bank 809 0.06 364,000 Hiroshima Bank 977 0.07 155,000 Hokkoku Bank 284 0.02 806,000 Hokuhoku Financial 860 0.07 149,000 Hyakugo Bank 387 0.03 137,000 Hyakujushi Bank 279 0.02 165,500 Iyo Bank 826 0.06 253,100 Japan Post Bank 1,980 0.15 444,000 Joyo Bank 1,109 0.08 202,000 Juroku Bank 456 0.03 134,000 Keiyo Bank 366 0.03 239,100 Kyushu Financial 1,002 0.08 8,653,576 Mitsubishi UFJ Financial 26,907 2.06 15,411,200 Mizuho Financial 16,347 1.25 20,000 Musashino Bank 370 0.03 412,400 Nishi-Nippon City Bank 538 0.04 163,300 North Pacific Bank 291 0.02 1,450,947 Resona 3,660 0.28 91,000 San-In Godo Bank 390 0.03 175,700 Senshu Ikeda 431 0.03 395,000 Seven Bank 1,214 0.09 147,000 Shiga Bank 433 0.03 944,540 Shinsei Bank 809 0.06 341,172 Shizuoka Bank 1,799 0.14 806,508 Sumitomo Mitsui Financial 16,290 1.25 2,357,000 Sumitomo Mitsui Trust 4,949 0.38 106,730 Suruga Bank 1,232 0.09 138,000 Yamaguchi Financial 937 0.07

96,743 7.37

Beverages – 1.24%; 2015 1.12% 236,724 Asahi Breweries 5,014 0.38 47,500 Coca-Cola East Japan 591 0.05 41,400 Coca-Cola West Japan 668 0.05 35,358 ITO EN 723 0.06 47,300 Kagome 641 0.05 523,161 Kirin Brewery 4,969 0.38 197,697 Sapporo 648 0.05 77,000 Suntory Beverage & Food 2,352 0.18 103,000 Takara 545 0.04

16,151 1.24

Chemicals – 3.82%; 2015 4.39% 94,411 Air Water 963 0.07 832,000 Asahi Kasei 3,393 0.26 181,000 Daicel Chemical 1,665 0.13 271,881 Denki Kagaku Kogyo Kabushiki Kaisha 695 0.05 512,330 DIC 792 0.06 61,800 Hitachi Chemical 726 0.06 115,285 JSR 1,165 0.09 195,000 Kaneka 1,053 0.08 123,100 Kansai Paint 1,218 0.09 203,251 Kuraray 1,601 0.12 821,921 Mitsubishi Chemical 2,989 0.23 252,023 Mitsubishi Gas Chemical 847 0.06 590,000 Mitsui Chemicals 1,387 0.11 69,900 Nagase 513 0.04 107,000 Nippon Kayaku 756 0.06 110,700 Nippon Paint 1,599 0.12 20,000 Nippon Shokubai 721 0.06 90,683 Nissan Chemical Industries 1,475 0.11 98,162 Nitto Denko 3,748 0.29 257,915 Shin-Etsu Chemical 9,336 0.71 883,000 Showa Denko 626 0.05 953,986 Sumitomo Chemical 3,005 0.23 84,100 Taiyo Nippon Sanso 550 0.04 606,523 Teijin 1,411 0.11 948,000 Toray 5,468 0.42 403,000 Tosoh 1,105 0.08 629,000 UBE 768 0.06 97,442 Zeon 447 0.03

50,022 3.82


Japan equity tracker portfolio Statement continued


Construction & Materials – 2.05%; 2015 1.84% 604,517 Asahi Glass 2,109 0.16 68,100 Comsys 733 0.06 46,100 Daito Trust Construction 4,500 0.34 182,600 Haseko 1,139 0.09 509,122 Kajima 2,108 0.16 57,000 Kandenko 303 0.02 79,000 Kinden 710 0.05 159,400 LIXIL 2,360 0.18 35,000 Maeda Road Construction 375 0.03 31,000 Nippo 333 0.03 426,000 Obayashi 2,798 0.21 117,000 Sanwa Holdings 538 0.04 342,000 Shimizu 1,873 0.14 234,000 Sumitomo Osaka Cement 615 0.05 745,876 Taiheiyo Cement 1,139 0.09 678,623 Taisei 2,962 0.23 132,000 Toda 393 0.03 86,600 Toto 1,793 0.14

26,781 2.05

electricity – 1.79%; 2015 1.42% 444,703 Chubu Electric Power 4,227 0.32 187,600 Chugoku Electric Power 1,806 0.14 112,700 Electric Power Development 2,506 0.19 113,700 Hokkaido Electric Power 694 0.05 121,416 Hokuriku Electric Power 1,305 0.10 456,159 Kansai Electric Power 3,613 0.28 282,100 Kyushu Electric Power 2,046 0.16 92,068 Shikoku Electric Power 952 0.07 299,048 Tohoku Electric Power 2,755 0.21 971,185 Tokyo Electric Power 3,550 0.27

23,454 1.79

electronic & electrical equipment – 5.39%; 2015 5.91% 111,894 Alps Electric 1,326 0.10 43,000 Azbil 769 0.06 377,455 Fuji Electric 933 0.07 207,000 Fujikura 689 0.05 417,000 Furukawa Electric 639 0.05 81,289 Hamamatsu Photonics 1,439 0.11 20,000 Hirose Electric 1,627 0.12 2,888,850 Hitachi 8,820 0.67


258,046 Hoya 6,727 0.51 66,700 Ibiden 584 0.04 37,000 Japan Aviation Electronics 278 0.02 28,500 Keyence 10,635 0.81 194,500 Kyocera 6,179 0.47 33,322 Mabuchi Motor 1,055 0.08 204,743 Minebea 1,085 0.08 117,267 Murata Manufacturing 10,164 0.78 171,477 NGK Insulators 2,202 0.17 151,400 Nidec 7,320 0.56 246,000 Nippon Electric Glass 844 0.06 123,000 Omron 2,344 0.18 69,500 Taiyo Yuden 513 0.04 74,920 TDK 2,820 0.22 72,000 Toshiba Tec 162 0.01 69,300 Ushio 687 0.05 158,300 Yokogawa Electric 1,102 0.08

70,943 5.39

Financial Services – 2.69%; 2015 2.69% 261,401 Acom 840 0.06 67,126 Aeon Financial Service 1,081 0.08 183,000 Aiful 367 0.03 59,600 Aplus Financial 33 – 100,000 Credit Saison 1,221 0.09 1,096,916 Daiwa Securities 4,673 0.36 23,900 Hitachi Capital 370 0.03 96,200 Iida 1,271 0.10 19,673 JAFCO 390 0.03 220,100 Japan Display 318 0.02 342,400 Japan Exchange 3,829 0.29 303,800 Japan Post 2,788 0.21 67,900 Matsui Securities 416 0.03 303,500 Mitsubishi UFJ 943 0.07 2,126,020 Nomura 6,466 0.49 106,000 Okasan Securities 363 0.03 246,100 Orient 311 0.02 817,400 Orix 7,712 0.59 120,000 SBI 788 0.06 144,300 Tokai Tokyo Financial 506 0.04 37,200 Zenkoku Hosho 799 0.06

35,485 2.69




Fixed Line telecommunications – 0.65%; 2015 0.70% 275,366 Nippon Telegraph & Telephone 8,455 0.65

Food & Drug Retailers – 0.66%; 2015 0.50% 5,900 Cosmos Pharmaceutical 654 0.05 37,400 FamilyMart 1,293 0.10 39,900 Lawson 2,218 0.17 24,796 Matsumotokiyoshi 795 0.06 21,300 Sugi 720 0.06 22,500 Sundrug 1,070 0.08 21,400 Tsuruha 1,305 0.10 16,000 Welcia 569 0.04

8,624 0.66

Food producers – 2.21%; 2015 1.86% 330,000 Ajinomoto 5,834 0.45 44,900 Calbee 1,310 0.10 31,200 Ezaki Glico 1,202 0.09 46,000 House Foods 632 0.05 71,439 Kewpie 1,153 0.09 113,000 Kikkoman 2,679 0.20 85,608 Meiji Holdings 4,956 0.38 6,300 Mitsubishi Shokuhin 120 0.01 123,000 NH Foods 1,866 0.14 145,000 Nichirei 792 0.06 163,830 Nisshin Seifun 1,930 0.15 46,900 Nissin Food Products 1,552 0.12 57,853 Toyo Suisan Kaisha 1,495 0.11 65,300 Yakult Honsha 2,249 0.17 87,434 Yamazaki Baking 1,193 0.09

28,963 2.21

Forestry & paper – 0.16%; 2015 0.18% 57,900 Nippon Paper Industries 706 0.05 538,780 Oji 1,470 0.11

2,176 0.16

Gas, Water & Multiutilities – 0.75%; 2015 0.78% 1,234,942 Osaka Gas 3,394 0.26 322,834 Toho Gas 1,621 0.12 1,449,322 Tokyo Gas 4,825 0.37

9,840 0.75


General Industrials – 0.85%; 2015 1.29% 13,900 FP 383 0.03 893,000 IHI 1,141 0.09 32,200 Lintec 430 0.03 762,000 Mitsubishi Materials 1,548 0.12 144,488 Rengo 508 0.04 819,680 Sojitz 1,137 0.09 2,402,607 Toshiba 2,679 0.20 102,600 Toyo Seikan 1,257 0.10 138,600 Toyota Tsusho 2,020 0.15

11,103 0.85

General Retailers – 4.48%; 2015 4.13% 431,300 AEON 4,079 0.31 29,800 Aoyama Trading 793 0.06 42,900 Autobacs Seven 525 0.04 43,378 Benesse 949 0.07 89,800 Bic Camera 532 0.04 66,000 Dena 695 0.05 69,698 Don Quijote 1,679 0.13 32,032 Fast Retailing 6,413 0.49 55,800 Gree 190 0.01 50,100 H2O Retailing 622 0.05 220,178 Isetan Mitsukoshi 1,846 0.14 23,300 Izumi 631 0.05 153,600 J Front Retailing 1,292 0.10 85,600 Kakaku.com 1,085 0.08 19,700 Komeri 268 0.02 24,500 K’s 574 0.04 150,000 Laox 127 0.01 142,700 Marui 1,411 0.11 46,500 Nitori 2,576 0.20 65,000 Park 24 1,223 0.09 522,400 Rakuten 3,580 0.28 208,200 Recruit 4,450 0.34 13,900 Ryohin Keikaku 2,041 0.16 486,422 Seven & I 13,968 1.07 27,000 Shimachu 413 0.03 16,200 Shimamura 1,289 0.10 27,900 Start Today 636 0.05 189,000 Takashimaya 1,089 0.08




125,200 UNY 584 0.04 136,200 USS 1,545 0.12 439,104 Yamada Denki 1,552 0.12

58,657 4.48

Healthcare equipment & Services – 1.31%; 2015 1.04% 30,200 Asahi Intecc 1,007 0.08 48,100 Nihon Kohden 849 0.06 73,200 Nipro 495 0.04 201,312 Olympus 5,287 0.40 89,300 Sysmex 3,989 0.30 204,500 Terumo 5,044 0.39 67,600 Topcon 525 0.04

17,196 1.31

Household Goods & Home Construction – 1.55%; 2015 1.19% 403,160 Daiwa House 7,960 0.61 76,200 Makita 3,228 0.25 51,000 Panahome 260 0.02 23,998 Rinnai 1,489 0.11 38,800 Sanrio 548 0.04 226,851 Sekisui Chemical 1,813 0.14 364,340 Sekisui House 4,281 0.33 76,100 Sumitomo Forestry 613 0.05

20,192 1.55

Industrial engineering – 6.14%; 2015 6.98% 231,000 Amada 1,545 0.12 30,700 Century Tokyo Leasing 755 0.06 111,116 Chiyoda 630 0.05 166,200 Daikin 8,045 0.61 15,600 Disco 1,036 0.08 61,300 DMG Mori Seiki 392 0.03 274,000 Ebara 760 0.06 122,076 Fanuc 12,949 0.99 175,300 Hino Motors 1,276 0.10 65,200 Hitachi Construction Machinery 654 0.05 24,100 Hoshizaki Electric 1,344 0.10 355,000 Isuzu Motors 2,563 0.20 206,000 Japan Steel Works 490 0.04 140,000 JGC 1,589 0.12 885,000 Kawasaki Heavy Industries 1,730 0.13


587,205 Komatsu 6,448 0.49 704,299 Kubota 6,510 0.50 70,500 Kurita Water Industries 1,108 0.08 164,200 Misumi 1,580 0.12 1,230,665 Mitsubishi Electric 8,996 0.69 1,995,661 Mitsubishi Heavy Industries 5,125 0.39 461,336 Mitsui Engineering & Shipbuilding 436 0.03 72,300 Nabtesco 997 0.08 311,981 NTN 708 0.05 91,000 Okuma 467 0.04 48,000 OSG 584 0.04 165,117 Shimadzu 1,856 0.14 36,400 SMC 6,076 0.46 343,000 Sumitomo Heavy Industries 1,019 0.08 66,000 TADANO 407 0.03 70,400 THK 865 0.07 159,655 Yaskawa Electric 1,381 0.11

80,321 6.14

Industrial Metals – 1.26%; 2015 1.88% 205,478 Daido Steel 557 0.04 140,000 Dowa Mining 577 0.04 117,547 Hitachi Metals 902 0.07 321,185 JFE 2,775 0.21 1,843,000 Kobe Steel 1,025 0.08 39,979 Maruichi Steel Tube 784 0.06 315,291 Mitsui Mining & Smelting 349 0.03 510,800 Nippon Steel & Sumitomo Metal 6,365 0.49 61,600 Nisshin Steel 526 0.04 286,107 Sumitomo Metal Mining 2,217 0.17 26,863 Yamato Kogyo 400 0.03

16,477 1.26

Industrial transportation – 0.90%; 2015 1.14% 82,000 Fukuyama Transporting 277 0.02 26,700 Hitachi Transport System 279 0.02 35,100 Japan Airport Terminal 888 0.07 137,000 Kamigumi 924 0.07 576,000 Kawasaki Kisen Kaisha 696 0.05 96,489 Mitsubishi Logistics 898 0.07 667,000 Mitsui OSK Lines 895 0.07 475,647 Nippon Express 1,520 0.12




988,000 Nippon Yusen KK 1,307 0.10 87,127 Seino 642 0.05 229,200 Yamato 3,351 0.26

11,677 0.90

Leisure Goods – 3.39%; 2015 3.29% 139,400 Casio Computer 1,852 0.14 29,500 COLOPL 359 0.03 63,600 Konami 1,113 0.09 119,005 Namco Bandai 1,708 0.13 81,900 Nexon 886 0.07 213,900 Nikon 2,345 0.18 67,189 Nintendo 6,788 0.52 1,325,801 Panasonic 8,084 0.62 110,096 Sega Sammy 839 0.06 904,025 Sharp 739 0.06 49,200 Shimano 5,552 0.42 781,930 Sony 11,919 0.91 106,900 Yamaha 2,148 0.16

44,332 3.39

Life Insurance – 0.81%; 2015 0.88% 703,600 Dai-ichi Life 6,146 0.47 41,700 Japan Post Insurance 658 0.05 103,796 Sony Financial 1,043 0.08 393,030 T&D 2,794 0.21

10,641 0.81

Media – 0.99%; 2015 0.93% 388,620 Dai Nippon Printing 2,411 0.18 138,724 Dentsu 4,654 0.36 19,900 Fuji Media 164 0.01 144,600 Hakuhodo 1,178 0.09 111,000 M3 1,906 0.15 17,590 Nippon Television Network 217 0.02 69,000 Shochiku 432 0.03 72,700 SKY Perfect JSAT 319 0.02 70,900 Toho 1,251 0.10 17,526 Tokyo Broadcasting System 202 0.02 9,800 TV Asahi 126 0.01

12,860 0.99


Mobile telecommunications – 4.37%; 2015 3.67% 15,200 Hikari Tsushin 774 0.06 1,171,100 KDDI 21,529 1.65 845,700 NTT DoCoMo 14,272 1.09 575,967 Softbank 20,510 1.57

57,085 4.37

Non-Life Insurance – 1.69%; 2015 1.63% 321,012 MS&AD Insurance 6,299 0.48 234,000 Sompo Japan Nipponkoa 4,859 0.37 436,724 Tokio Marine 10,984 0.84

22,142 1.69

oil equipment, Services & Distribution – 0.05%; 2015 0.05% 61,700 Idemitsu Kosan 675 0.05

oil & Gas producers – 0.72%; 2015 0.84% 33,814 Cosmo Energy 261 0.02 571,100 Inpex 2,979 0.23 19,000 Japan Petroleum Exploration 294 0.02 1,510,600 JX 4,238 0.32 116,800 Showa Shell Sekiyu 659 0.05 188,000 TonenGeneral Sekiyu 1,030 0.08

9,461 0.72

personal Goods – 2.12%; 2015 1.87% 14,700 ABC-Mart 609 0.05 107,500 ASICS 1,412 0.11 188,600 Citizen 746 0.06 312,054 Kao 11,362 0.87 18,200 Kose 1,129 0.09 159,437 Lion 1,214 0.09 88,000 Nisshinbo Industries 595 0.05 75,000 Onward Kashiyama 328 0.03 64,700 Pigeon 1,089 0.08 11,400 Pola Orbis 604 0.05 244,691 Shiseido 3,843 0.29 527,875 Toyobo 550 0.04 212,700 Uni-Charm 3,337 0.26 75,000 Wacoal 622 0.05

27,440 2.12




pharmaceuticals & Biotechnology – 6.74%; 2015 5.61% 114,400 Alfresa 1,493 0.11 1,354,200 Astellas Pharmaceuticals 14,053 1.07 137,000 Chugai Pharmaceutical 2,928 0.22 421,400 Daiichi Sankyo 6,340 0.48 166,100 Eisai 7,385 0.56 45,100 Hisamitsu Pharmaceutical 1,418 0.11 21,500 Kaken Pharmaceutical 1,028 0.08 21,749 Kissei Pharmaceutical 365 0.03 19,500 Kobayashi Pharmaceuticals 1,200 0.09 29,900 Kyorin 409 0.03 157,000 Kyowa Hakko Kogyo 1,687 0.13 97,200 MediPAL 1,075 0.08 36,942 Miraca 1,146 0.09 139,500 Mitsubishi Tanabe Pharma 1,806 0.14 8,800 Mochida Pharmaceutical 477 0.04 30,000 Nippon Shinyaku 741 0.06 56,903 Ono Pharmaceutical 7,603 0.58 232,196 Otsuka 5,914 0.45 56,900 Rohto Pharmaceutical 746 0.06 243,400 Santen Pharmaceutical 2,694 0.21 20,000 Sawai Pharmaceutical 994 0.08 184,900 Shionogi 5,712 0.44 99,800 Sumitomo Dainippon 817 0.06 50,035 Suzuken 1,173 0.09 28,200 Taisho Pharmaceutical 1,606 0.12 482,268 Takeda Pharmaceutical 16,548 1.27 42,538 Tsumura 777 0.06

88,135 6.74

Real estate Investment & Services – 2.47%; 2015 2.65% 72,700 Aeon Mall 743 0.06 190,000 Daikyo 217 0.02 222,600 Hulic 1,422 0.11 786,627 Mitsubishi Estate 10,523 0.80 591,116 Mitsui Fudosan 9,906 0.76 74,568 Nomura Real Estate 963 0.07 70,400 NTT Urban Development 495 0.04 11,200 Sumitomo Real Estate 148 0.01 269,715 Sumitomo Realty & Development 5,350 0.41 125,500 Tokyo Tatemono 1,044 0.08 308,500 Tokyu Fudosan 1,406 0.11

32,217 2.47


Software & Computer Services – 1.18%; 2015 0.86% 32,518 Capcom 489 0.04 30,200 CyberAgent 895 0.07 26,200 Itochu Techno-Solutions 378 0.03 63,500 Nomura Research Institute 1,562 0.12 17,800 NS Solutions 238 0.02 78,900 NTT Data 2,843 0.22 42,000 OBIC 1,506 0.12 22,500 Oracle Japan 791 0.06 31,300 Otsuka 1,116 0.09 25,400 SCSK 703 0.05 48,400 Square-Enix 821 0.06 62,600 Trend Micro 1,644 0.13 795,000 Yahoo Japan 2,250 0.17

15,236 1.18

Support Services – 3.61%; 2015 3.55% 33,400 Glory 811 0.06 896,323 Itochu 7,620 0.58 1,036,700 Marubeni 3,745 0.29 858,569 Mitsubishi 9,913 0.76 1,062,036 Mitsui 8,829 0.67 36,300 Monotaro 616 0.05 120,899 Secom 6,210 0.47 42,400 Sohgo Security Services 1,582 0.12 700,921 Sumitomo 4,974 0.38 88,300 Temp 811 0.06 25,900 Toppan Forms 219 0.02 319,000 Toppan Printing 1,941 0.15

47,271 3.61

technology Hardware & equipment – 3.26%; 2015 3.66% 109,100 Advantest 719 0.06 141,000 Brother Industries 1,111 0.08 654,109 Canon 13,216 1.01 28,200 Canon Marketing Japan 342 0.03 254,887 Fujifilm 6,891 0.53 1,114,159 Fujitsu 2,940 0.22 40,000 Hitachi High-Technologies 767 0.06 285,942 Konica Minolta 1,730 0.13 1,595,000 NEC 2,905 0.22





426,094 Ricoh 3,036 0.23 54,217 Rohm 1,670 0.13 115,000 SCREEN 617 0.05 173,900 Seiko Epson 2,018 0.15 106,200 Sumco 486 0.04 95,751 Tokyo Electron 4,168 0.32

42,616 3.26

tobacco – 1.41%; 2015 1.02% 643,900 Japan Tobacco 18,470 1.41

travel & Leisure – 6.00%; 2015 5.21% 676,931 ANA 1,381 0.11 113,100 Central Japan Railway 14,609 1.12 237,214 East Japan Railway 15,029 1.15 21,500 H.I.S. 440 0.03 787,600 Hankyu 3,634 0.28 31,400 Heiwa 467 0.04 48,200 Japan Airlines 1,244 0.10 313,000 Keihan Electric Railway 1,562 0.12 303,000 Keikyu 1,936 0.15 354,000 Keio 2,343 0.18 169,000 Keisei Electric Railway 1,676 0.13 1,125,000 Kintetsu 3,472 0.27 564,000 Nagoya Railroad 1,946 0.15 335,000 Nankai Electric Railway 1,430 0.11 249,000 Nishi-Nippon Railroad 1,311 0.10 382,569 Odakyu Electric Railway 3,178 0.24 120,500 Oriental Land 5,951 0.45 39,600 Resorttrust 658 0.05 32,400 Sankyo 858 0.07 129,200 Seibu 1,833 0.14 63,600 Skylark 587 0.04 269,000 Sotetsu 1,205 0.09 638,000 Tobu Railway 2,393 0.18 710,000 Tokyu 4,283 0.33 114,687 West Japan Railway 4,843 0.37

78,269 6.00

DeRIVAtIVeS – (0.09)%; 2015 0.10%

Futures – (0.09)%; 2015 0.10% 557 TSE TOPIX March 2016 46,251 (1,216) (0.09)

Portfolio of investments 1,264,300 96.65 Net other assets 43,836 3.35






Japan equity tracker Statement of total Return for the year ended 29 February 2016

Notes £000’s


£000’s £000’s


£000’s

Income

Net capital (losses) /gains 3 (16,351) 135,605

Revenue 4 21,223 14,711

Expenses 5 (2,282) (1,599)

Interest payable and similar charges 6 — (2)


Taxation 7 (2,105) (1,460)


Total return before distributions 485 147,255

Distributions 8 (16,893) (11,650)


Japan equity tracker Statement of Change in Net Assets Attributable to Unitholders for the year ended 29 February 2016

£000’s


£000’s £000’s


£000’s




321,293 111,542



Closing net assets attributable to unitholders 1,308,136 984,906

Japan equity tracker Balance Sheet at 29 February 2016

Notes

29.2.2016£000’s

28.2.2015£000’s

Assets:

Fixed assets

– Investment assets 1,265,516 966,574

Current assets

– Debtors 9 2,152 1,670


Total assets 1,314,835 986,558

Liabilities:

Investment liabilities (1,216) –

Creditors

– Amounts held at futures clearing houses and brokers – (194)

– Distributions payable – (67)

– Other creditors 11 (5,483) (1,391)


Net assets attributable to unitholders 1,308,136 984,906



Japan equity tracker Notes to Financial Statements for the year ended 29 February 2016





£000’s


£000’s


(Losses)/gains on non derivative securities (16,792) 132,593


Currency gains/(losses) 8,534 (1,262)



4. Revenue


£000’s


£000’s

Interest from UK bank deposits 1 –




5. Expenses


£000’s


£000’s




2,131 1,473

Other expenses:

– Audit fee 7 7

– Legal & other Professional fees – 5



151 126




£000’s


£000’s

Interest on bank overdrafts – 2 7. Taxation(a) Analysis of tax charge


£000’s


£000’s






£000’s


£000’s



Effects of:






8. Distributions


£000’s


£000’s



18,423 12,352




Add: Shortfall transfer to capital 16,836 11,650

Add: Equalisation on conversions 57 –



9. Debtors

29.2.2016 £000’s

28.2.2015£000’s



Currency sales awaiting settlement 95 180



29.2.2016 £000’s

28.2.2015£000’s

Amounts held at futures clearing houses and brokers 4,481 –



11. Other Creditors

29.2.2016 £000’s

28.2.2015 £000’s


Accrued FCA fee 1 1






Currency purchases awaiting settlement 95 179




Japan equity tracker Notes to Financial Statements continued











29.2.2016£000’s

28.2.2015£000’s


The Fund’s securities lending borrowing counterparties are Bank of America Merrill Lynch, BNP Paribas Arbitrage, Citigroup, Credit Suisse International, Deutsche Bank AG, Goldman Sachs, JP Morgan Chase Securities Plc, Morgan Stanley & Co.,Nomura and UBS.
















£000’s %Taxes

£000’s %







£000’s %Taxes

£000’s %











£000’s %Taxes

£000’s %







£000’s %Taxes

£000’s %
















L IncomeUnits


X Income Units

Balance at the beginning of the year 1,584,486 100 591,574,293 7,121,092


Cancelled during the year (418,114) 67,053,684 (146,167,760) (22,258,988)

Converted during the year (458,838) (67,053,684) (14,633,462) 209,980

Balance at the end of the year 966,235 100 709,071,863 1,031




Balance at the beginning of the year 32,650,396 19,774,543 5,890,953

Issued during the year 110,949 22,335,866 11,007,543

Cancelled during the year 1,535,340 (13,835,668) (2,525,927)

Converted during the year 77,094,835 283,246 11,104,264




About the Fund

The BlackRock Mid Cap UK Equity Tracker Fund (the “Fund”) is a sub-fund of BlackRock Collective Investment Funds, a UCITS scheme established under the COLL Sourcebook. The Fund was authorised by the Financial Conduct Authority on 25 May 2012 and was established on 29 June 2012.


The aim of the Fund is to seek to achieve capital growth for investors by tracking closely the performance of the FTSE 250 Index by investing in companies in the Index. Investment will be made directly into constituent companies and via other transferable securities giving exposure to such companies. The Fund may also invest in permitted money-market instruments, permitted deposits and units in collective investment schemes. Derivatives and forward transactions may be used for the purposes of efficient portfolio management.




Unit Class




D Income 1 2 3 4 5 6 7








BlackRock Mid Cap UK equity tracker FundJapan equity tracker Notes to Financial Statements continued



Performance Table



§



BlackRock Mid Cap UK Equity Tracker Fund -1.8% +29.4%

FTSE 250 Index* -1.6% +30.5%

All Fund figures quoted are based on bid-to-bid dealing prices (the price at which units are sold) and are calculated net of fees. Performance returns are cumulative. All returns are in Sterling.§ Five year performance data does not exist as the Fund launched in June 2012.* Figures from Index Vendor.


Mid Cap UK equity tracker Fund






to 29.2.2016




-1.80%* -1.60% -0.20%

Before costs, the performance of the Fund relative to the benchmark index has been in line with expectations.










Up to 0.25%* 1.02%*

The Fund’s tracking error exceeded its anticipated tracking error due to a temporary divergence between the valuation time the index provider levels are taken and the Fund valuation point over UK bank holidays. The index provider will use the latest known market values prior to the UK bank holiday and as such, the index valuation time is at market close, whilst the Fund’s valuation point is 12 noon. This effect only occurs when UK bank holidays coincide with month-end performance reporting cycles, which occurred in August 2015.


Summary of Performance over the PeriodDuring the period from 1 March 2015 to 29 February 2016, the Fund returned -1.8%,* compared with its benchmark, the FTSE 250 Index, which returned -1.6%. Before costs, the performance of the Fund relative to the benchmark index has been in line with expectations. Over the six-month period to 29 February 2016, the Fund returned -1.5%,* outperforming its benchmark, which returned -2.5%.


Early on, markets digested the news that the Conservative Party had gained a narrow majority in the general election. Throughout the period, the Bank of England kept interest rates on hold as inflation stayed well below its 2% target. The economy showed some signs of resilience, however, as unemployment fell to a seven-year low in the third quarter. Meanwhile, merger and acquisition activity involving UK companies picked up pace in the first three quarters, taken by some as a sign of confidence in the UK corporate sector.

The Fund is structured to track the FTSE 250 Index closely, so its portfolio remains positioned so that its risk characteristics are similar to those of the Index.

March 2016


Mid Cap UK equity tracker Investment ReportMid Cap UK equity tracker Fund continued


Comparative Table





to 28.2.2014




to 28.2.2014









After direct transaction costs of (0.24) 0.26 (0.80) (0.24) (0.26) (0.80)

performance


other information












Mid Cap UK equity tracker performance Record

Comparative Table





to 28.2.2014



to 28.2.2015











performance


other information

Closing net asset value (£000’s) 7,030 9,452 10,159 11,475 18,950

Closing number of units 4,301,908 5,669,882 6,458,283 7,403,546 11,658,578












Comparative Table





to 28.2.2014










performance


other information












Mid Cap UK equity tracker Distribution tablesfor the year ended 29 February 2016


A AccumulationUnits


X AccumulationUnits

D IncomeUnits


Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Group 1 Group 2

Net revenue (dividend) 1.4687 0.5832 1.7184 1.1868 1.8149 1.1066 1.6937 0.7370 1.7711 0.8241

Equalisation† – 0.8855 – 0.5316 – 0.7083 – 0.9567 – 0.9470

Distribution payable 30.4.2016 1.4687 1.4687 1.7184 1.7184 1.8149 1.8149 1.6937 1.6937 1.7711 1.7711

Distribution paid 30.4.2015 1.4356 1.4356 1.6567 1.6567 1.8255 1.8255 1.6933 1.6933 1.7170 1.7170


A AccumulationUnits


X AccumulationUnits

D IncomeUnits




Equalisation† – 2.0753 – 2.4221 – 0.5667 – 1.9229 – 1.6153




Mid Cap UK equity tracker performance Record continued




eQUItIeS – 98.68%; 2015 98.11%

UNIteD KINGDoM – 98.68%; 2015 98.11%

Aerospace & Defence – 2.90%; 2015 2.27% 577,182 Cobham 1,483 0.88 394,530 Meggitt 1,633 0.97 302,361 QinetiQ 702 0.42 210,918 Senior 431 0.26 35,255 Ultra Electronics 620 0.37

4,869 2.90

Banks – 0.70%; 2015 0.34% 89,945 Aldermore 175 0.10 16,394 Bank of Georgia 326 0.19 48,906 OneSavings Bank 132 0.08 58,067 Shawbrook 159 0.10 115,881 Virgin Money 384 0.23

1,176 0.70

Beverages – 0.65%; 2015 0.69% 42,414 AG Barr 213 0.13 127,045 Britvic 871 0.52

1,084 0.65

Chemicals – 2.15%; 2015 2.33% 68,225 Croda International 2,034 1.21 231,635 Elementis 530 0.32 135,890 Synthomer 411 0.24 41,109 Victrex 638 0.38

3,613 2.15

Construction & Materials – 1.50%; 2015 0.97% 348,758 Balfour Beatty 873 0.52 92,687 Ibstock 182 0.11 35,688 Keller 289 0.17 46,223 Kier 609 0.36 101,602 Marshalls 293 0.17 94,253 Polypipe 293 0.17

2,539 1.50

electricity – 0.28%; 2015 0.53% 205,089 Drax 473 0.28

Mid Cap UK equity tracker portfolio Statement at 29 February 2016

electronic & electrical equipment – 2.01%; 2015 2.63% 190,283 Halma 1,673 1.00 143,641 Morgan Advanced Materials 302 0.18 18,550 Renishaw 321 0.19 60,035 Spectris 1,069 0.64

3,365 2.01

equity Investment Instruments – 13.17%; 2015 12.47% 271,116 3i Infrastructure 469 0.28 48,770 Aberforth Smaller Companies Investment Trust 487 0.29 280,826 Alliance Trust 1,388 0.83 56,945 Bankers Investment Trust 322 0.19 17,709 BH Macro 356 0.21 191,426 BlueCrest Allblue Fund 356 0.21 68,356 British Empire Securities & General Investment Trust 297 0.18 16,678 Caledonia Investments 375 0.22 157,047 City of London Investment Trust 564 0.34 98,851 Edinburgh Investment Trust 666 0.40 12,422 Electra Investment Trust 410 0.24 286,255 F&C Investment Trust 1,222 0.73 284,494 Fidelity China Special Situations Investment Trust 351 0.21 209,157 Fidelity European Values Investment Trust 336 0.20 61,846 Finsbury Growth & Income Trust 363 0.22 290,463 GCP Infrastructure Investments Fund 346 0.21 69,174 Genesis Emerging Markets Fund 309 0.18 41,097 Harbourvest 368 0.22 666,209 HICL Infrastructure 1,036 0.62 500,569 International Public Partnership 712 0.42 344,600 John Laing Infrastructure Fund 403 0.24 141,482 JP Morgan American Investment Trust 391 0.23 65,872 JP Morgan Emerging Markets Investment Trust 344 0.20 48,862 Mercantile Investment Trust 766 0.46 109,151 Monks Investment Trust 432 0.26 65,327 Murray International Trust 549 0.33 626,058 NB Global Floating Rate Income Fund 528 0.31 43,954 P2P Global Investments 379 0.22 121,294 Perpetual Income & Growth Investment Trust 468 0.28 848 Personal Assets Trust 305 0.18 68,311 Polar Capital Technology Trust 379 0.23 363,177 Renewables Infrastructure 360 0.21 64,389 RIT Capital Partners 994 0.59 28,289 Riverstone Energy 229 0.14 53,668 Scottish Investment Trust 313 0.19

346



654,423 Scottish Mortgage Investment Trust 1,632 0.97 33,027 Temple Bar Investment Trust 325 0.19 156,802 Templeton Emerging Markets Investment Trust 635 0.38 163,053 TR Property Investment Trust 454 0.27 99,550 Witan Investment Trust 726 0.43 401,993 Woodford Patient Capital Trust 358 0.21 24,514 Worldwide Healthcare Trust 417 0.25

22,120 13.17

Financial Services – 8.74%; 2015 10.73% 197,003 Ashmore 451 0.27 134,717 Brewin Dolphin 343 0.20 75,830 Close Brothers 1,001 0.60 535,780 Henderson 1,256 0.75 271,946 ICAP 1,166 0.69 184,063 IG 1,407 0.84 138,445 IMI 1,177 0.70 159,279 Intermediate Capital 918 0.55 113,667 International Personal Finance 295 0.18 258,489 Investec 1,213 0.72 275,221 IP 503 0.30 180,190 John Laing 369 0.22 210,726 Jupiter Fund Management 839 0.50 132,472 Just Retirement 174 0.10 777,476 Man 1,202 0.72 150,796 Paragon 465 0.28 23,968 Rathbone Brothers 541 0.32 86,964 SVG Capital 419 0.25 399,246 Tritax Big Box 521 0.31 117,953 Tullett Prebon 405 0.24

14,665 8.74

Fixed Line telecommunications – 1.13%; 2015 1.30% 1,402,906 Cable & Wireless 1,059 0.63 266,210 Talktalk Telecom 595 0.35 30,072 Telecom Plus 250 0.15

1,904 1.13

Food & Drug Retailers – 3.12%; 2015 1.75% 831,566 Booker 1,364 0.81 51,332 Greggs 529 0.32 206,921 Ocado 527 0.31

238,584 SSP 676 0.40 1,096,624 Wm Morrison Supermarkets 2,150 1.28

5,246 3.12

Food producers – 1.82%; 2015 1.60% 24,975 Cranswick 494 0.30 69,452 Dairy Crest 405 0.24 209,024 Greencore 793 0.47 235,849 Tate & Lyle 1,359 0.81

3,051 1.82

Gas, Water & Multiutilities – 1.00%; 2015 0.98% 208,375 Pennon 1,681 1.00

General Industrials – 2.00%; 2015 2.93% 475,395 DS Smith 1,820 1.09 151,536 RPC 1,108 0.66 140,186 Vesuvius 425 0.25

3,353 2.00

General Retailers – 6.84%; 2015 4.35% 307,254 AA 877 0.52 344,201 B&M European Value Retail 993 0.59 116,874 Card Factory 393 0.23 619,042 Debenhams 490 0.29 61,928 DFS Furniture 198 0.12 24,865 Dignity 614 0.37 46,222 Dunelm 453 0.27 101,612 Halfords 407 0.24 415,084 Home Retail 731 0.44 222,770 Inchcape 1,628 0.97 29,757 JD Sports Fashion 337 0.20 231,201 JUST EAT 919 0.55 161,962 Lookers 251 0.15 77,995 N Brown 259 0.15 693,364 Pendragon 257 0.15 184,402 Pets at Home 494 0.29 99,787 Poundland 180 0.11 383,160 Saga 724 0.43 56,192 WH Smith 1,017 0.61 119,312 Zoopla Property 276 0.16

11,498 6.84


Mid Cap UK equity tracker portfolio Statement continued


Healthcare equipment & Services – 1.85%; 2015 1.12% 193,904 Al Noor Hospitals 1,623 0.97 32,655 NMC Health 290 0.17 141,831 Spire Healthcare 486 0.29 123,893 UDG Healthcare 702 0.42

3,101 1.85

Household Goods & Home Construction- 2.38%; 2015 2.92% 61,876 Bellway 1,570 0.93 68,454 Bovis Homes 651 0.39 123,471 Crest Nicholson 690 0.41 41,260 Galliford Try 600 0.36 110,189 Redrow 480 0.29

3,991 2.38

Industrial engineering – 2.19%; 2015 2.67% 98,014 Bodycote 564 0.34 72,084 Melrose Industries 237 0.14 437,068 Rotork 699 0.42 36,830 Spirax-Sarco Engineering 1,145 0.68 107,845 Weir 1,022 0.61

3,667 2.19

Industrial Metals & Mining – 0.10%; 2015 0.29% 238,357 Evraz 163 0.10

Industrial transportation – 0.75%; 2015 0.62% 526,545 BBA Aviation 1,018 0.61 12,310 Clarkson 236 0.14

1,254 0.75

Life Insurance – 0.56%; 2015 0.56% 110,093 Phoenix 934 0.56

Media – 4.73%; 2015 3.19% 359,525 Auto Trader 1,307 0.78 213,142 Entertainment One 327 0.19 19,681 Euromoney Institutional Investor 176 0.10 328,538 Informa 2,244 1.34 248,194 Moneysupermarket.com 835 0.50 46,454 Rightmove 1,761 1.05 221,686 UBM 1,295 0.77

7,945 4.73


Mining – 1.00%; 2015 1.49% 77,212 Acacia Mining 190 0.11 543,451 Centamin 501 0.30 129,901 Polymetal International 852 0.51 52,698 Vedanta Resources 142 0.08

1,685 1.00

Mobile telecommunications – 0.00%; 2015 1.08%

Non-Life Insurance – 2.31%; 2015 3.48% 261,637 Beazley 940 0.56 121,334 esure 296 0.18 66,831 Hastings 101 0.06 144,116 Hiscox 1,451 0.87 61,726 Jardine Lloyd Thompson 494 0.29 100,284 Lancashire 593 0.35

3,875 2.31

oil & Gas producers – 0.94%; 2015 1.11% 290,711 Cairn Energy 476 0.28 27,853 Nostrum Oil & Gas 71 0.04 343,975 Ophir Energy 264 0.16 460,699 Tullow Oil 770 0.46

1,581 0.94

oil equipment, Services & Distribution – 1.38%; 2015 1.54% 184,834 John Wood 1,142 0.68 131,483 Petrofac 1,180 0.70

2,322 1.38

personal Goods – 0.64%; 2015 0.63% 51,105 Jimmy Choo 67 0.04 151,427 PZ Cussons 393 0.23 16,390 SuperGroup 217 0.13 13,458 Ted Baker 398 0.24

1,075 0.64

pharmaceuticals & Biotechnology – 1.97%; 2015 2.56% 193,105 BTG 1,214 0.72 94,498 Circassia Pharmaceuticals 258 0.15 44,053 Dechra Pharmaceuticals 516 0.31 30,600 Genus 435 0.26 326,498 Indivior 550 0.33 206,218 Vectura 334 0.20

3,307 1.97




Real estate Investment & Services – 2.87%; 2015 3.02% 368,066 Capital & Counties Properties 1,189 0.71 8,233 CLS 120 0.07 77,450 Countrywide 272 0.16 2,433 Daejan 135 0.08 265,634 F&C Commercial Property Trust 344 0.21 207,468 Grainger Trust 453 0.27 59,737 Kennedy Wilson Europe Real Estate 657 0.39 64,847 Savills 432 0.26 88,777 St. Modwen Properties 291 0.17 303,747 UK Commercial Property Trust 237 0.14 112,437 Unite 690 0.41

4,820 2.87

Real estate Investment trusts – 4.94%; 2015 4.47% 827,716 Assura 422 0.25 72,822 Big Yellow 544 0.32 50,467 Derwent 1,523 0.91 174,275 Great Portland Estates 1,211 0.72 370,777 Hansteen 400 0.24 294,911 LondonMetric Property 463 0.28 504,133 Redefine International 212 0.13 105,032 Safestore 349 0.21 376,873 Segro 1,538 0.92 140,631 Shaftesbury 1,189 0.71 58,612 Workspace 425 0.25

8,276 4.94

Software & Computer Services – 2.07%; 2015 2.00% 57,111 Allied Minds 171 0.10 87,364 AO World 140 0.08 32,374 AVEVA 489 0.29 34,983 Computacenter 287 0.17 19,234 Fidessa 429 0.26 94,301 Micro Focus International 1,379 0.82 118,655 NCC 343 0.20 115,877 Sophos 244 0.15

3,482 2.07


Support Services – 9.86%; 2015 10.58% 121,696 Aggreko 1,068 0.64 198,653 Amec Foster Wheeler 726 0.43 87,040 Berendsen 1,000 0.60 218,768 Carillion 593 0.35 57,042 Diploma 402 0.24 223,572 Electrocomponents 537 0.32 131,923 Essentra 1,090 0.65 786,685 G4S 1,622 0.97 108,149 Grafton 724 0.43 713,408 Hays 810 0.48 130,592 HomeServe 527 0.31 313,736 Howden Joinery 1,540 0.92 72,575 Interserve 309 0.18 154,961 Michael Page International 575 0.34 183,011 MITIE 510 0.30 67,574 Northgate 272 0.16 32,381 PayPoint 241 0.14 315,432 Regus 908 0.54 916,308 Rentokil Initial 1,526 0.91 566,325 Serco 534 0.32 286,020 SIG 395 0.24 51,221 WS Atkins 652 0.39

16,561 9.86

technology Hardware & equipment – 0.27%; 2015 0.98% 134,956 Laird 456 0.27

travel & Leisure – 9.86%; 2015 7.93% 70,402 888 Holdings 124 0.08 98,546 Cineworld 520 0.31 69,067 Domino’s Pizza 720 0.43 253,936 Enterprise Inns 220 0.13 609,055 FirstGroup 562 0.33 21,542 Go-Ahead 564 0.34 156,194 Greene King 1,410 0.84 42,576 JD Wetherspoon 307 0.18 515,035 Ladbrokes 694 0.41 288,850 Marston’s 458 0.27 59,952 Millennium & Copthorne Hotels 251 0.15




118,018 Mitchells & Butlers 332 0.20 214,752 National Express 712 0.42 41,894 Paddy Power Betfair 4,508 2.68 106,166 Playtech 896 0.53 85,378 Rank 213 0.13 100,827 Restaurant 543 0.32 215,958 Stagecoach 585 0.35 778,168 Thomas Cook 788 0.47 446,144 William Hill 1,799 1.07 20,558 Wizz Air 376 0.22

16,582 9.86

DeRIVAtIVeS – 0.04%; 2015 0.15%

Futures – 0.04%; 2015 0.15% 67 FTSE 250 Index March 2016 2,208 70 0.04

Portfolio of investments 165,784 98.72 Net other assets 2,155 1.28




Mid Cap UK equity tracker Statement of total Return for the year ended 29 February 2016

Notes £000’s


£000’s £000’s


£000’s

Income


Revenue 4 6,878 6,370

Expenses 5 (413) (418)

Interest payable and similar charges 6 (1) –


Taxation 7 (4) (1)





Mid Cap UK equity tracker Statement of Change in Net Assets Attributable to Unitholders for the year ended 29 February 2016

£000’s


£000’s £000’s


£000’s




(76,461) 12,301







Mid Cap UK equity tracker Balance Sheet at 29 February 2016

Notes

29.2.2016£000’s

28.2.2015£000’s

Assets:

Fixed assets


Current assets

– Debtors 9 373 375


Total assets 169,370 250,005

Liabilities:

Creditors







Mid Cap UK equity tracker Notes to Financial Statements for the year ended 29 February 2016





£000’s


£000’s



(Losses)/gains on derivative contracts (299) 115

Currency gains 10 7




4. Revenue


£000’s


£000’s



Overseas dividends 954 639

Overseas REIT dividends 8 –







5. Expenses


£000’s


£000’s




390 390

Other expenses:

– Audit fee 7 7



23 28




£000’s


£000’s

Interest on bank overdrafts 1 – 7. Taxation(a) Analysis of tax charge


£000’s


£000’s





£000’s


£000’s



Effects of:


Franked investment revenue at 20% (1,104) (1,101)





At 29 February 2016, the Fund had surplus management expenses of £000 692 (28 February 2015: £000 500). It is unlikely that the Fund will generate sufficient taxable profits in the future to utilise these expenses and, therefore, a deferred tax asset of £000 140 (28 February 2015: £000 100) has not been recognised.

8. Distributions


£000’s


£000’s



6,265 5,972








Mid Cap UK equity tracker Notes to Financial Statements continued


9. Debtors

29.2.2016 £000’s

28.2.2015£000’s




Total debtors 373 375


29.2.2016 £000’s

28.2.2015£000’s

Amounts held at futures clearing houses and brokers 24 –



11. Other Creditors

29.2.2016 £000’s

28.2.2015 £000’s


Accrued FCA fee 1 1



















29.2.2016£000’s

28.2.2015£000’s

Revenue earned during the year 121 11Value of securities on loan at the year end 21,340 9,149Value of collateral held on behalf of the Fund at the year end 23,917 10,341

The Fund’s securities lending borrowing counterparties are Barclays Bank Plc, Citigroup, HSBC, JP Morgan Chase Securities Plc, Société Générale and UBS.
















£000’s %Taxes

£000’s %


Collective investment schemes 8,077 2 0.02 20 0.25






£000’s %Taxes

£000’s %














£000’s %Taxes

£000’s %









£000’s %Taxes

£000’s %










For the Fund’s investment in collective investment scheme holdings there will potentially be dealing spread costs applicable to purchases and sales. However additionally there are indirect transaction costs suffered in those underlying funds, throughout the holding period for the instruments, which are not separately identifiable and do not form part of the analysis above.








D Income Units


Balance at the beginning of the year 11,463,201 50,157,907 5,669,882 11,658,578 71,488,147

Issued during the year 2,014,295 6,286,362 773,054 11,632,132 10,285,770

Cancelled during the year (8,027,362) (44,305,179) (2,141,028) (15,887,164) (7,794,237)

Converted during the year (4,076) – – – 4,010

Balance at the end of the year 5,446,058 12,139,090 4,301,908 7,403,546 73,983,690




About the Fund

The BlackRock North American Equity Tracker Fund (the “Fund”) is a sub-fund of BlackRock Collective Investment Funds, a UCITS scheme established under the COLL Sourcebook. The Fund was established and authorised by the Financial Conduct Authority on 21 June 2005. The Fund was previously known as Merrill Lynch North American Equity Tracker Fund. It adopted its present name with effect from 28 April 2008.


The aim of the Fund is to seek to achieve capital growth for investors by tracking closely the performance of the FTSE World North America Index by investing in companies in the Index. Investment will be made directly into constituent companies and via other transferable securities giving exposure to such companies. The Fund may also invest in permitted money-market instruments, permitted deposits and units in collective investment schemes. Derivatives and forward transactions may be used for the purposes of efficient portfolio management.




Unit Class






` �The risk indicator was calculated incorporating historical or simulated historical data and may not be a reliable indication of the future risk profile of each unit class.





BlackRock North American equity tracker Fund


Performance Table






BlackRock North American Equity Tracker Fund +2.5% +42.3% +76.6%

FTSE World North America Index* +2.9% +43.2% +78.5%

All Fund figures quoted are based on bid-to-bid dealing prices (the price at which units are sold) and are calculated net of fees. Performance returns are cumulative. All returns are in Sterling.* Figures from Index Vendor. # D Accumulation class was renamed as L Accumulation class during June 2012.


North American equity tracker Fund








to 29.2.2016




+2.54%* +2.90% -0.36%



North American equity tracker Fund continued












Summary of Performance over the PeriodDuring the period from 1 March 2015 to 29 February 2016, the Fund returned 2.5%,* compared with its benchmark, the FTSE World North America Index, which returned 2.9%. Before costs, the tracking difference is a result of (a) the stock markets on which the benchmark index operates being closed at the Fund’s valuation point, resulting in a temporary mismatch on days when units are created or redeemed, (b) temporary divergences in the calculation when the Index provider calculates index values during UK bank holidays while the Fund is closed, (c) income from securities lending activity and (d) withholding tax differences between the Fund and index. Over the six-month period to 29 February 2016, the Fund returned 9.4%,* outperforming its benchmark, which returned 8.7%.


In the months leading up to December’s interest-rate hike, the chair of the Fed, Janet Yellen, reiterated that employment had to be in decent shape before rates could be raised. US non-farm payrolls (a measure of employment) were healthy over the year, with the exception of August and September, when just 150,000 and 149,000 jobs, respectively, were added to the US economy. The prospect of further rate hikes receded as US inflation expectations (as measured by the 10-year breakeven rate) fell to just 1.39% in late January. Meanwhile, fourth-quarter GDP came in at an annualised rate of 0.7%, falling short of analysts’ expectations.

The Fund is structured to track the FTSE World North America Index closely, so its portfolio remains positioned so that its risk characteristics are similar to those of the Index.

March 2016


North American equity tracker Investment Report North American equity tracker performance Record

Comparative Table





to 28.2.2014




to 28.2.2014









After direct transaction costs of 0.00 (0.01) (0.02) 0.00 (0.01) (0.02)

performance


other information

Closing net asset value (£000’s) 8,980 17,050 23,440 2,555,809 2,526,827 1,945,947

Closing number of units 3,984,618 7,769,138 13,115,200 1,111,248,228 1,131,668,351 1,073,400,235











Comparative Table





to 28.2.2014




to 28.2.2014









After direct transaction costs of 0.00 (0.01) (0.01) 0.00 (0.01) (0.02)

performance


other information











§ Please note the annual management charge was reduced on 11 August 2015 from 0.15% to 0.065% in respect to D Accumulation units.3 Direct transaction costs are annualised and principally comprise commissions and taxes, attributable to the Fund’s purchase and sale


North American equity tracker performance Record continued

Comparative Table




to 28.2.2015

Pence per unit Pence per unit


Opening net asset value per unit 111.7 100.0

Return before operating charges 3.56 11.82

Operating charges (0.08) (0.12)

Return after operating charges 3.48 11.70

Closing net asset value per unit 115.2 111.7

Retained distributions on accumulation units 1.93 0.88

After direct transaction costs of 0.00 0.00

performance

Return after charges1 3.12% 11.70%

other information

Closing net asset value (£000’s) 92,817 1,468

Closing number of units 80,581,756 1,314,651

Operating charges2§ 0.07% 0.11%

Direct transaction costs3 0.00% 0.00%

prices Pence per unit Pence per unit

Highest offer unit price 124.4 118.3

Lowest bid unit price 101.0 93.88




§ Please note the annual management charge was reduced on 11 August 2015 from 0.1% to 0.065% in respect to H Accumulation units.3 Direct transaction costs are annualised and principally comprise commissions and taxes, attributable to the Fund’s purchase and sale




A AccumulationUnits


X AccumulationUnits





Equalisation† – 0.3916 – 0.6898 – 0.8299 – 0.9616 – 0.4522




A AccumulationUnits


X AccumulationUnits


H Accumulation Units÷



Equalisation† – 0.5963 – 0.8306 – 1.0079 – 0.7643 – 0.5071


Distribution paid 31.10.2014 1.1762 1.1762 1.4771 1.4771 1.2465 1.2465 1.5143 1.5143 N/A N/A



North American equity tracker Distribution tables for the year ended 29 February 2016


eQUItIeS – 99.78%; 2015 99.55%

Canada – 4.50%; 2015 5.46%

Aerospace & Defence – 0.01%; 2015 0.01% 326,201 Bombardier class ‘B’ shares 182 0.01

Automobiles & parts – 0.08%; 2015 0.11% 92,635 Magna International class ‘A’ shares 2,547 0.08

Banks – 1.34%; 2015 1.49% 147,832 Bank of Montreal 5,830 0.18 277,295 Bank of Nova Scotia 7,969 0.24 90,923 Canadian Imperial Bank of Commerce 4,357 0.13 79,618 National Bank of Canada 1,546 0.05 339,368 Royal Bank of Canada 12,336 0.38 422,184 Toronto-Dominion Bank 11,737 0.36

43,775 1.34

Chemicals – 0.13%; 2015 0.22% 31,364 Agrium 1,952 0.06 191,107 Potash Corporation of Saskatchewan 2,351 0.07

4,303 0.13

Construction & Materials – 0.02%; 2015 0.02% 29,676 SNC-Lavalin 673 0.02

electricity – 0.04%; 2015 0.05% 70,987 Fortis 1,416 0.04

Financial Services – 0.22%; 2015 0.23% 207,457 Brookfield Asset Management class ‘A’ shares 4,624 0.14 64,414 CI Financial 1,030 0.03 34,397 Franco-Nevada 1,466 0.04 20,581 IGM Financial 387 0.01

7,507 0.22

Fixed Line telecommunications – 0.07%; 2015 0.09% 55,958 BCE 1,728 0.05 31,916 TELUS 666 0.02

2,394 0.07

North American equity tracker portfolio Statement at 29 February 2016




Food & Drug Retailers – 0.21%; 2015 0.17% 91,062 Alimentation Couche-Tard class ‘B’ shares 2,960 0.09 9,902 George Weston 585 0.02 55,396 Loblaw 2,028 0.06 50,031 Metro class ‘A’ voting shares 1,154 0.04

6,727 0.21

Food producers – 0.03%; 2015 0.03% 49,932 Saputo 1,034 0.03

Gas, Water & Multiutilities – 0.07%; 2015 0.08% 40,913 Canadian Utilities class ‘A’ shares 704 0.02 83,681 Pembina Pipeline 1,492 0.05

2,196 0.07

General Retailers – 0.03%; 2015 0.04% 15,865 Canadian Tire class ‘A’ shares 1,093 0.03

Industrial engineering – 0.01%; 2015 0.02% 40,939 Finning International 404 0.01

Industrial Metals & Mining – 0.05%; 2015 0.11% 83,694 Cameco 721 0.02 162,631 First Quantum Minerals 419 0.01 101,373 Teck Resources class ‘B’ shares 412 0.01 177,079 Turquoise Hill Resources 281 0.01

1,833 0.05

Industrial transportation – 0.28%; 2015 0.38% 159,034 Canadian National Railway 6,684 0.20 30,550 Canadian Pacific Railway 2,652 0.08

9,336 0.28

Life Insurance – 0.33%; 2015 0.37% 72,836 Great-West Lifeco 1,351 0.04 456,701 Manulife Financial 4,349 0.13 86,735 Power Corp of Canada 1,351 0.04 64,474 Power Financial 1,076 0.03 140,094 Sun Life Financial 3,032 0.09

11,159 0.33

North American equity tracker portfolio Statement continued

Media – 0.10%; 2015 0.11% 84,477 Shaw Communications class ‘B’ shares 1,050 0.03 83,575 Thomson Reuters 2,198 0.07

3,248 0.10

Mining – 0.22%; 2015 0.27% 57,272 Agnico Eagle Mines 1,424 0.04 289,266 Barrick Gold 2,813 0.09 197,892 Goldcorp 1,972 0.06 95,197 Silver Wheaton 1,055 0.03

7,264 0.22

Mobile telecommunications – 0.07%; 2015 0.06% 86,155 Rogers Communications class ‘B’ shares 2,269 0.07

Non-Life Insurance – 0.11%; 2015 0.09% 5,510 Fairfax Financial 2,098 0.06 33,215 Intact Financial 1,534 0.05

3,632 0.11

oil & Gas producers – 0.51%; 2015 0.73% 66,029 ARC Resources 628 0.02 252,231 Canadian Natural Resources 3,675 0.11 201,111 Cenovus Energy 1,595 0.05 102,113 Crescent Point Energy 879 0.03 209,177 Encana 592 0.02 63,650 Husky Energy 475 0.02 56,539 Imperial Oil 1,284 0.04 33,706 MEG Energy 84 0.00 365,566 Suncor Energy 6,403 0.20 56,616 Tourmaline Oil 742 0.02

16,357 0.51

oil equipment, Services & Distribution – 0.31%; 2015 0.36% 194,032 Enbridge 4,855 0.15 66,320 Inter Pipeline 862 0.03 162,765 TransCanada 4,302 0.13

10,019 0.31

pharmaceuticals & Biotechnology – 0.12%; 2015 0.28% 70,357 Valeant Pharmaceuticals 4,060 0.12


Real estate Investment trusts – 0.04%; 2015 0.03% 88,174 RioCan Real Estate Investment Trust 1,205 0.04

Software & Computer Services – 0.05%; 2015 0.05% 55,959 CGI class ‘A’ shares 1,687 0.05

technology Hardware & equipment – 0.02%; 2015 0.02% 102,231 BlackBerry 549 0.02

travel & Leisure – 0.03%; 2015 0.04% 43,973 Restaurant Brands International 1,088 0.03

United States – 94.86%; 2015 93.96%

Aerospace & Defence – 2.03%; 2015 2.25% 23,153 B/E Aerospace 725 0.02 147,193 Boeing 12,554 0.38 71,905 General Dynamics 7,117 0.22 19,378 L-3 Communications 1,664 0.05 74,940 Lockheed Martin 11,748 0.36 43,664 Northrop Grumman 6,056 0.19 72,169 Raytheon 6,485 0.20 33,716 Rockwell Collins 2,152 0.07 71,002 Textron 1,770 0.05 12,405 Transdigm 1,943 0.06 199,172 United Technologies 14,044 0.43

66,258 2.03

Automobiles & parts – 1.12%; 2015 1.25% 23,292 Autoliv 1,799 0.06 50,306 BorgWarner 1,200 0.04 66,856 Delphi Automotive 3,221 0.10 942,556 Ford Motor 8,478 0.26 341,529 General Motors 7,300 0.22 70,092 Gentex 732 0.02 37,268 Genuine Parts 2,455 0.07 45,995 Harley-Davidson 1,440 0.04 162,032 Johnson Controls 4,331 0.13 17,165 Lear 1,261 0.04 75,127 LKQ 1,527 0.05 21,643 Tesla Motors 2,973 0.09

36,717 1.12



Banks – 5.15%; 2015 5.34% 2,534,023 Bank of America 23,214 0.71 189,583 BB&T 4,557 0.14 719,950 Citigroup 20,519 0.63 125,751 Citizens Financial 1,791 0.06 40,348 Comerica 1,018 0.03 20,932 Commerce Bancshares 653 0.02 200,558 Fifth Third Bancorp 2,269 0.07 31,800 First Republic Bank 1,459 0.04 206,805 Huntington Bancshares 1,336 0.04 893,735 JP Morgan Chase 37,124 1.13 215,093 KeyCorp 1,663 0.05 35,737 M&T Bank 2,739 0.08 124,050 New York Community Bancorp 1,380 0.04 63,445 People’s United Financial 682 0.02 121,033 PNC Financial Services* 7,335 0.22 335,357 Regions Financial 1,874 0.06 88,448 SLM 379 0.01 124,037 SunTrust Banks 3,092 0.09 426,599 US Bancorp 12,094 0.37 1,242,338 Wells Fargo 43,093 1.31 55,432 Zions Bancorporation 871 0.03

169,142 5.15

Beverages – 2.22%; 2015 1.98% 30,781 Brown-Forman class ‘B’ shares 2,224 0.07 1,003,536 Coca-Cola 31,245 0.95 58,290 Coca-Cola Enterprises 2,065 0.06 38,763 Constellation Brands class ‘A’ shares 3,974 0.12 46,169 Dr Pepper Snapple 3,072 0.09 34,359 Molson Coors Brewing class ‘B’ shares 2,113 0.06 35,932 Monster Beverage 3,392 0.10 353,610 PepsiCo 25,106 0.77

73,191 2.22

Chemicals – 1.72%; 2015 1.94% 51,021 Air Products & Chemicals 4,921 0.15 12,636 Airgas 1,293 0.04 15,167 Ashland 1,050 0.03 19,717 Avery Dennison 946 0.03 39,074 Celanese 1,722 0.05 60,185 CF Industries 1,518 0.05 271,548 Dow Chemical 9,552 0.29



210,004 Du Pont de Nemours 9,323 0.28 37,781 Eastman Chemical 1,777 0.05 65,940 Ecolab 5,057 0.15 28,117 FMC 773 0.02 21,320 International Flavors & Fragrances 1,602 0.05 90,498 Lyondellbasell Industries class ‘A’ shares 5,236 0.16 85,872 Mosaic 1,662 0.05 67,350 PPG Industries 4,772 0.15 69,135 Praxair 5,152 0.16 7,720 Westlake Chemical 245 0.01

56,601 1.72

Construction & Materials – 0.43%; 2015 0.36% 22,884 Chicago Bridge & Iron 581 0.02 35,221 Fluor 1,190 0.04 40,558 Fortune Brands Home & Security 1,498 0.05 27,809 Jacobs Engineering 780 0.02 14,974 Martin Marietta Materials 1,537 0.05 78,490 Masco 1,628 0.05 45,420 MDU Resources 596 0.02 19,013 Sherwin-Williams 3,745 0.11 33,517 Vulcan Materials 2,389 0.07

13,944 0.43

electricity – 2.36%; 2015 2.04% 146,431 AES 1,042 0.03 30,053 Alliant Energy 1,477 0.05 120,240 American Electric Power 5,336 0.16 70,080 Calpine 625 0.02 71,923 CMS Energy 2,050 0.06 72,128 Consolidated Edison 3,663 0.11 144,891 Dominion Resources 7,324 0.22 44,165 DTE Energy 2,687 0.08 76,444 Edison International 3,712 0.11 45,652 Entergy 2,364 0.07 80,114 Eversource Energy 3,167 0.10 210,972 Exelon 4,829 0.15 105,920 FirstEnergy 2,509 0.08 109,924 NextEra Energy 8,928 0.27 70,906 NRG Energy 568 0.02 54,645 Pepco 1,049 0.03 121,098 PG&E 4,932 0.15 29,239 Pinnacle West Capital 1,446 0.04



156,510 PPL 3,933 0.12 126,335 Public Service Enterprise 3,881 0.12 220,693 Southern 7,673 0.23 53,309 Teco Energy 1,057 0.03 123,870 Xcel Energy 3,511 0.11

77,763 2.36

electronic & electrical equipment – 0.88%; 2015 0.86% 83,333 Agilent Technologies 2,261 0.07 22,568 Allegion 1,040 0.03 58,615 AMETEK 1,974 0.06 76,866 Amphenol class ‘A’ shares 2,936 0.09 19,839 Arrow Electronics 830 0.03 30,172 Avnet 903 0.03 160,319 Emerson Electric 5,715 0.17 15,693 First Solar 796 0.02 133,031 Flextronics International 1,038 0.03 39,206 Jabil Circuit 590 0.02 35,206 Keysight Technologies 659 0.02 5,392 Mettler-Toledo 1,233 0.04 24,358 Roper Industries 2,994 0.09 43,902 Sensata technology 1,106 0.03 94,737 TE Connectivity 3,942 0.12 56,685 Trimble Navigation 965 0.03

28,982 0.88

Financial Services – 4.44%; 2015 4.61% 12,045 Affiliated Managers 1,191 0.04 114,483 Ally Financial 1,450 0.04 210,940 American Express 8,430 0.26 43,145 Ameriprise Financial 2,694 0.08 269,991 Bank of New York Mellon 7,036 0.21 30,119 BlackRock* 6,822 0.21 112,982 Capital One 5,478 0.17 275,338 Charles Schwab 5,059 0.15 52,022 CIT 1,127 0.03 77,710 CME 5,223 0.16 105,808 Discover Financial Services 3,601 0.11 27,119 Equifax 2,082 0.06 60,957 FNF 1,447 0.04 100,185 Franklin Resources 2,614 0.08



98,354 Goldman Sachs 10,660 0.32 27,507 Intercontinental Exchange 4,763 0.15 104,537 Invesco 2,044 0.06 21,286 Legg Mason 439 0.01 36,989 Liberty Ventures 975 0.03 238,999 MasterCard class ‘A’ shares 15,109 0.46 67,096 McGraw Hill Financial 4,324 0.13 49,770 Moody’s 3,183 0.10 340,433 Morgan Stanley 6,183 0.19 92,966 Navient 710 0.02 53,939 Northern Trust 2,345 0.07 31,815 SEI Investments 885 0.03 21,284 Santander Consumer USA 161 0.01 101,266 State Street 4,050 0.12 200,959 Synchrony Financial 4,050 0.12 59,879 T Rowe Price 3,013 0.09 56,455 TD Ameritrade 1,189 0.04 473,685 Visa 24,870 0.76 53,047 Voya Financial 1,140 0.04 130,277 Western Union 1,735 0.05

146,082 4.44

Fixed Line telecommunications – 2.54%; 2015 2.06% 1,500,224 AT&T 40,201 1.23 139,298 CenturyLink 3,034 0.09 315,758 Frontier Communications 1,238 0.04 66,073 Level 3 Communications 2,337 0.07 990,500 Verizon Communications 36,474 1.11

83,284 2.54

Food & Drug Retailers – 1.78%; 2015 1.80% 52,588 AmerisourceBergen 3,323 0.10 81,312 Cardinal Health 4,873 0.15 268,923 CVS Health 18,957 0.58 227,421 Kroger 6,477 0.20 56,368 McKesson 6,375 0.19 128,218 Sysco 4,003 0.12 214,666 Walgreens Boots Alliance 12,328 0.38 82,660 Whole Foods Market 1,855 0.06

58,191 1.78



Food producers – 1.97%; 2015 1.80% 150,336 Archer Daniels Midland 3,775 0.12 33,524 Bunge 1,221 0.04 41,583 Campbell Soup 1,860 0.06 107,795 ConAgra Foods 3,275 0.10 145,239 General Mills 6,185 0.19 22,084 Herbalife 879 0.03 39,306 Hershey Foods 2,571 0.08 70,846 Hormel Foods 2,197 0.07 28,414 JM Smucker 2,618 0.08 57,769 Kellogg 3,062 0.09 27,010 Keurig Green Mountain 1,792 0.05 142,868 Kraft Heinz 8,025 0.24 89,328 Leucadia National 956 0.03 26,021 McCormick & Co 1,757 0.05 48,876 Mead Johnson 2,575 0.08 382,831 Mondelez International 11,242 0.34 105,281 Monsanto 6,883 0.21 76,602 Tyson Foods 3,603 0.11

64,476 1.97

Forestry & paper – 0.08%; 2015 0.11% 102,173 International Paper 2,598 0.08

Gas, Water & Multiutilities – 0.89%; 2015 0.85% 54,686 Ameren 1,835 0.06 46,904 American Water Works 2,194 0.07 97,199 CenterPoint Energy 1,300 0.04 168,506 Duke Energy 9,002 0.27 70,461 Nisource 1,094 0.03 44,727 ONEOK 742 0.02 43,182 Questar 767 0.02 34,626 SCANA 1,620 0.05 60,913 Sempra Energy 4,206 0.13 157,724 Spectra Energy 3,326 0.10 77,668 WEC Energy 3,164 0.10

29,250 0.89



General Industrials – 3.02%; 2015 2.73% 149,387 3M 17,065 0.52 35,416 Ball 1,713 0.05 19,936 Bemis 702 0.02 140,861 Danaher 9,058 0.28 110,194 Eaton 4,556 0.14 2,275,441 General Electric 48,260 1.47 188,265 Honeywell International 14,002 0.43 39,524 Owens-Illinois 433 0.01 53,301 Sealed Air 1,780 0.05 66,187 WestRock 1,604 0.05

99,173 3.02

General Retailers – 5.80%; 2015 5.13% 17,226 Advance Auto Parts 1,866 0.06 91,574 Amazon 36,693 1.12 21,375 AutoNation 797 0.02 7,381 AutoZone 4,165 0.13 40,018 Bed Bath & Beyond 1,415 0.04 73,925 Best Buy 1,732 0.05 53,164 CarMax 1,811 0.06 106,214 Costco Wholesale 11,472 0.35 68,191 Dollar General 3,741 0.11 55,532 Dollar Tree 3,272 0.10 266,120 eBay 4,645 0.14 31,192 Foot Locker 1,444 0.04 25,407 GameStop 560 0.02 54,898 Gap 1,079 0.03 61,175 H&R Block 1,489 0.05 308,818 Home Depot 28,150 0.86 40,445 Kohl’s 1,367 0.04 54,229 L Brands 3,304 0.10 226,088 Lowe’s 11,278 0.34 83,451 Macy’s 2,616 0.08 97,606 Netflix 6,678 0.20 32,535 Nordstrom 1,233 0.04 24,524 O’Reilly Automotive 4,653 0.14 265,181 PayPal 7,175 0.22 99,656 Ross Stores 4,048 0.12



19,264 Signet Jewelers 1,379 0.04 139,724 Staples 955 0.03 149,565 Target 8,467 0.26 30,618 Tiffany 1,447 0.04 165,673 TJX 9,046 0.28 27,329 Tractor Supply 1,672 0.05 15,923 Ulta Salon Cosmetics & Fragrance 1,893 0.06 22,784 Urban Outfitters 439 0.01 391,035 Wal-Mart Stores 18,769 0.57

190,750 5.80

Healthcare equipment & Services – 4.28%; 2015 3.77% 85,722 Aetna 6,802 0.21 64,513 Anthem 6,169 0.19 129,778 Baxalta 3,670 0.11 128,189 Baxter International 3,647 0.11 50,895 Becton Dickinson 5,496 0.17 320,027 Boston Scientific 3,976 0.12 25,013 Centene 1,041 0.03 63,175 Cigna 6,440 0.20 18,779 CR Bard 2,652 0.08 50,913 DaVita 2,443 0.07 36,470 Dentsply International 1,597 0.05 52,998 Edwards Lifesciences 3,363 0.10 162,155 Express Scripts 8,346 0.25 73,245 HCA 3,725 0.11 20,935 Henry Schein 2,531 0.08 72,340 Hologic 1,831 0.06 34,808 Humana 4,490 0.14 9,228 Intuitive Surgical 3,780 0.12 24,450 Laboratory Corporation of America 1,959 0.06 343,610 Medtronic 19,169 0.58 16,958 Patterson 544 0.02 37,994 Quest Diagnostics 1,844 0.06 70,140 St Jude Medical 2,763 0.08 69,026 Stryker 5,050 0.15 96,293 Thermo Fisher Scientific 9,087 0.28 232,936 UnitedHealth 20,397 0.62 21,444 Universal Health Services class ‘B’ shares 1,755 0.05 21,413 Varian Medical Systems 1,220 0.04 17,660 Waters 1,553 0.05 43,442 Zimmer 3,058 0.09

140,398 4.28



Household Goods & Home Construction – 1.93%; 2015 1.71% 33,557 Church & Dwight 2,221 0.07 33,104 Clorox 3,054 0.09 80,446 DR Horton 1,577 0.05 13,243 Edgewell Personal Care 735 0.02 48,270 Jarden 1,860 0.06 30,903 Leggett & Platt 1,011 0.03 39,359 Lennar class ‘A’ shares 1,200 0.04 15,835 Mohawk Industries 2,041 0.06 66,585 Newell Rubbermaid 1,858 0.06 871 NVR 1,022 0.03 659,935 Procter & Gamble 38,622 1.18 67,458 Pulte Homes 846 0.03 12,454 Snap-on 1,324 0.04 37,989 Stanley Black & Decker 2,622 0.08 36,521 Toll Brothers 727 0.02 19,353 Whirlpool 2,159 0.07

62,879 1.93

Industrial engineering – 1.08%; 2015 1.30% 140,470 Caterpillar 6,780 0.21 22,177 Colfax 412 0.01 43,104 Cummins 3,038 0.09 74,314 Deere 4,263 0.13 36,263 Dover 1,599 0.05 30,724 Flowserve 938 0.03 78,165 Illinois Tool Works 5,356 0.16 65,786 Ingersoll-Rand 2,686 0.08 21,374 Joy Global 194 0.01 83,275 Paccar 3,122 0.10 31,859 Parker-Hannifin 2,350 0.07 32,884 Rockwell Automation 2,490 0.08 17,285 Wabtec 859 0.03 39,450 Xylem 1,073 0.03

35,160 1.08

Industrial Metals & Mining – 0.18%; 2015 0.30% 299,339 Alcoa 1,915 0.06 22,376 Allegheny Technologies 199 0.01 259,369 Freeport McMoRan 1,389 0.04 81,922 Nucor 2,363 0.07

5,866 0.18



Industrial transportation – 1.41%; 2015 1.64% 40,898 AerCap 1,048 0.03 32,051 CH Robinson Worldwide 1,628 0.05 235,972 CSX 4,139 0.13 49,606 Expeditors International of Washington 1,650 0.05 65,201 FedEx 6,467 0.20 20,751 JB Hunt Transport Services 1,169 0.04 27,792 Kansas City Southern 1,684 0.05 71,550 Norfolk Southern 3,857 0.12 11,470 Ryder System 478 0.01 208,618 Union Pacific 12,043 0.37 168,455 United Parcel Service class ‘B’ shares 11,849 0.36

46,012 1.41

Leisure Goods – 0.39%; 2015 0.33% 160,521 Activision Blizzard 3,693 0.11 70,056 Electronic Arts 3,258 0.10 19,180 Harman International 1,076 0.03 29,253 Hasbro 1,614 0.05 88,226 Mattel 2,067 0.06 17,738 Polaris Industries 1,169 0.04

12,877 0.39

Life Insurance – 0.68%; 2015 0.78% 95,999 Aflac 4,169 0.13 14,969 Assurant 786 0.02 97,911 Genworth Financial class ‘A’ shares 153 0.00 57,973 Lincoln National 1,569 0.05 219,738 MetLife 6,359 0.19 71,873 Principal Financial 1,995 0.06 111,365 Prudential Financial 5,385 0.16 24,597 Torchmark 927 0.03 65,771 Unum 1,373 0.04

22,716 0.68



Media – 3.52%; 2015 3.85% 282,391 21st Century Fox America class ‘A’ shares 5,518 0.17 106,506 21st Centruy Fox America class ‘B’ shares 2,091 0.06 46,542 Cablevision Systems class ‘A’ shares 1,092 0.03 109,445 CBS class ‘B’ shares 3,816 0.12 18,747 Charter Communications 2,452 0.08 592,842 Comcast class ‘A’ shares 24,775 0.76 41,349 Discovery Communications class ‘A’ shares 748 0.02 60,462 Discovery Communications class ‘C’ shares 1,072 0.03 51,102 DISH Network class ‘A’ shares 1,723 0.05 10,910 Dun & Bradstreet 757 0.02 15,497 IHS 1,169 0.04 106,195 Interpublic 1,637 0.05 4,334 Liberty Broadband class ‘A’ shares 157 0.00 13,171 Liberty Broadband class ‘C’ shares 477 0.01 61,625 Liberty Global class ‘A’ shares 1,651 0.05 150,833 Liberty Global class ‘B’ shares 3,929 0.12 112,417 Liberty Interactive class ‘A’ shares 2,086 0.06 17,339 Liberty Media 445 0.01 40,721 Liberty Media class ‘C’ shares 1,022 0.03 82,661 News Corporation class ‘A’ shares 652 0.02 18,059 News Corporation class ‘B’ shares 151 0.01 88,434 Nielsen 3,172 0.10 60,216 Omnicom 3,373 0.10 16,688 Scripps Networks Interactive 716 0.02 604,449 Sirius XM 1,606 0.05 50,732 Tegna 889 0.03 190,948 Time Warner 9,185 0.28 68,005 Time Warner Cable 9,453 0.29 86,479 Viacom New class ‘B’ non-voting shares 2,261 0.07 401,398 Walt Disney 27,615 0.84

115,690 3.52

Mining – 0.08%; 2015 0.11% 53,245 CONSOL Energy 301 0.01 133,931 Newmont Mining 2,450 0.07

2,751 0.08



Mobile telecommunications – 0.13%; 2015 0.14% 30,082 SBA Communications 2,055 0.06 262,853 Sprint 630 0.02 64,176 T-Mobile 1,735 0.05

4,420 0.13

Non-Life Insurance – 3.37%; 2015 3.24% 113,282 ACE 9,610 0.29 300,644 AIG 11,086 0.34 4,248 Alleghany 1,427 0.04 96,668 Allstate 4,487 0.14 67,131 Aon 4,639 0.14 29,634 Arch Capital 1,458 0.04 44,590 Arthur J Gallagher 1,289 0.04 22,687 Axis Capital 883 0.03 117 Berkshire Hathaway convertible class ‘A’ shares 16,723 0.51 277,488 Berkshire Hathaway convertible class ‘B’ shares 26,406 0.80 25,667 Brown & Brown 601 0.02 36,987 Cincinnati Financial 1,697 0.05 7,689 CNA Financial 161 0.00 9,379 Everest Re 1,265 0.04 103,346 Hartford Financial Services 3,195 0.10 73,114 Loews 1,932 0.06 3,061 Markel 1,915 0.06 125,785 Marsh & McLennan 5,220 0.16 50,307 Old Republic International 652 0.02 10,899 PartnerRe 1,103 0.03 133,964 Progressive 3,104 0.09 10,889 RenaissanceRe 899 0.03 71,957 Travelers 5,635 0.17 30,625 Willis Towers Watson 2,492 0.08 24,017 WR Berkley 905 0.03 77,648 XL 1,941 0.06

110,725 3.37

oil & Gas producers – 4.79%; 2015 5.64% 125,460 Anadarko Petroleum 3,441 0.10 10,709 Antero Resources 186 0.01 92,251 Apache 2,627 0.08 106,396 Cabot Oil & Gas 1,569 0.05 17,414 California Resources 6 0.00 54,868 Cheniere Energy 1,413 0.04 137,943 Chesapeake Energy 268 0.01



458,926 Chevron 27,941 0.85 22,432 Cimarex Energy 1,385 0.04 64,741 Cobalt International Energy 121 0.00 29,361 Concho Resources 1,948 0.06 296,717 ConocoPhillips 7,306 0.22 18,572 Continental Resources 302 0.01 101,757 Devon Energy 1,490 0.05 133,867 EOG Resources 6,524 0.20 33,859 EQT 1,387 0.04 1,012,423 Exxon Mobil 59,719 1.82 22,216 Helmerich & Payne 852 0.03 64,367 Hess 2,001 0.06 44,990 Hollyfrontier 1,068 0.03 169,467 Marathon Oil 980 0.03 131,835 Marathon Petroleum 3,255 0.10 35,158 Murphy Oil 435 0.01 44,229 Newfield Exploration 833 0.03 106,106 Noble Energy 2,276 0.07 185,261 Occidental Petroleum 9,331 0.28 132,052 Phillips 66 7,538 0.23 35,088 Pioneer Natural Resources 3,125 0.10 41,182 QEP Resources 319 0.01 37,721 Range Resources 651 0.02 79,762 Southwestern Energy 367 0.01 29,464 Tesoro 1,708 0.05 114,332 Valero Energy 4,923 0.15 49,836 Whiting Petroleum 139 0.00

157,434 4.79

oil equipment, Services & Distribution – 1.27%; 2015 1.76% 101,456 Baker Hughes 3,239 0.10 46,518 Cameron International 2,218 0.07 70,461 Columbia Pipeline 916 0.03 9,569 Core Laboratories 726 0.02 17,012 Diamond Offshore Drilling 246 0.01 47,447 Ensco 288 0.01 52,168 FMC Technologies 923 0.03 202,846 Halliburton 4,803 0.15 455,353 Kinder Morgan 5,841 0.18 83,690 Nabors Industries 440 0.01 93,824 National Oilwell Varco 1,951 0.06 55,478 Noble 328 0.01 23,075 Oceaneering International 454 0.01



309,276 Schlumberger 16,175 0.50 171,566 Weatherford International 795 0.02 186,153 Williams Companies 2,102 0.06

41,445 1.27

personal Goods – 1.53%; 2015 1.39% 70,491 Coach 1,962 0.06 218,259 Colgate-Palmolive 10,443 0.32 53,794 Estee Lauder class ‘A’ shares 3,565 0.11 11,263 Fossil 382 0.01 91,838 Hanesbrands 1,870 0.06 88,886 Kimberly-Clark 8,423 0.26 21,974 Lululemon Athletica 976 0.03 38,373 Michael Kors 1,568 0.05 270,266 Nike class ‘B’ shares 12,211 0.37 21,137 PVH 1,216 0.04 13,929 Ralph Lauren class ‘A’ shares 913 0.03 43,897 Under Armour 2,656 0.08 80,130 VF 3,754 0.11

49,939 1.53

pharmaceuticals & Biotechnology – 8.98%; 2015 8.86% 362,383 Abbott Laboratories 10,336 0.32 419,016 AbbVie 16,936 0.52 54,662 Alexion Pharmaceuticals 5,530 0.17 30,700 Alkermes 744 0.02 94,790 Allergan 20,392 0.62 16,283 Alnylam Pharmaceuticals 681 0.02 183,484 Amgen 19,542 0.60 53,800 Biogen Idec 10,271 0.31 38,654 BioMarin Pharmaceutical 2,236 0.07 405,026 Bristol-Myers Squibb 18,198 0.55 193,263 Celgene 14,419 0.44 239,567 Eli Lilly 12,727 0.39 47,894 Endo International 1,830 0.06 350,480 Gilead Sciences 22,265 0.68 35,779 Illumina 4,010 0.12 33,645 Incyte 1,805 0.06 13,466 Jazz Pharmaceuticals 1,215 0.04 666,772 Johnson & Johnson 50,906 1.55 24,889 Mallinckrodt Pharmaceuticals 1,244 0.04 33,810 Medivation 868 0.03 683,708 Merck 24,989 0.76



98,988 Mylan 3,368 0.10 33,668 Perrigo 3,140 0.10 1,487,877 Pfizer 32,459 0.99 19,597 Quintiles Transnational 896 0.03 19,635 Regeneron Pharmaceuticals 5,584 0.17 58,929 Vertex Pharmaceuticals 3,701 0.11 119,260 Zoetis 3,646 0.11

293,938 8.98

Real estate Investment & Services – 0.04%; 2015 0.06% 71,008 CBRE class ‘A’ shares 1,343 0.04

Real estate Investment trusts – 2.77%; 2015 2.56% 95,588 American Capital 1,255 0.04 102,430 American Tower class ‘A’ shares 6,654 0.20 215,980 Annaly Capital Management 1,587 0.05 31,868 AvalonBay Communities 3,944 0.12 36,360 Boston Properties 2,989 0.09 2,236 Care Capital Properties 43 0.00 78,874 Crown Castle International 4,885 0.15 34,581 Digital Realty Trust 1,971 0.06 90,515 Duke Realty 1,359 0.04 14,760 Equinix 3,268 0.10 87,474 Equity Residential 4,706 0.14 15,624 Essex Property Trust 2,368 0.07 18,050 Federal Realty Investment Trust 1,934 0.06 121,576 General Growth Properties 2,427 0.07 108,077 HCP 2,333 0.07 36,450 Hospitality Properties 640 0.02 187,574 Host Hotels & Resorts 2,084 0.06 41,984 Iron Mountain 895 0.03 105,057 Kimco Realty 2,024 0.06 33,882 Liberty Property Trust 700 0.02 36,647 Macerich 2,105 0.07 124,846 Prologis 3,480 0.11 35,011 Public Storage 6,421 0.20 23,978 Rayonier 377 0.01 55,550 Realty Income 2,350 0.07 21,558 Regency Centers 1,098 0.03 75,113 Simon Property 10,325 0.32 24,328 SL Green Realty 1,569 0.05 77,025 Ventas 3,080 0.09 226,119 VEREIT 1,298 0.04



40,224 Vornado Realty Trust 2,502 0.08 24,724 Weingarten Realty Investors 635 0.02 86,000 Welltower 3,940 0.12 199,617 Weyerhaeuser 3,685 0.11

90,931 2.77

Software & Computer Services – 9.08%; 2015 7.31% 121,958 Adobe Systems 7,623 0.23 44,231 Akamai Technologies 1,764 0.05 70,733 Alphabet class ‘A’ shares 36,999 1.13 70,454 Alphabet class ‘C’ shares 35,845 1.09 36,019 Amdocs 1,496 0.05 21,362 Ansys 1,296 0.04 56,479 Autodesk 2,087 0.06 84,232 CA 1,786 0.05 69,027 Cerner 2,592 0.08 34,742 CheckPoint Software Technologies 2,072 0.06 39,773 Citrix Systems 2,053 0.06 148,960 Cognizant Technology 6,133 0.19 36,593 Computer Sciences 754 0.02 41,143 CSRA 790 0.02 6,820 DST Systems 523 0.02 523,525 Facebook 40,771 1.24 450,555 Hewlett Packard Enterprise 4,368 0.13 15,167 IAC Interactive 485 0.02 235,568 IBM 22,446 0.68 35,609 IMS Health 670 0.02 63,638 Intuit 4,398 0.13 1,851,207 Microsoft 68,516 2.09 42,917 Mobileye 982 0.03 59,146 Nuance Communications 836 0.03 785,555 Oracle 20,959 0.64 16,156 Palo Alto Networks 1,719 0.05 46,025 Pentair 1,612 0.05 21,454 Rackspace Hosting 332 0.01 44,786 Red Hat 2,198 0.07 145,348 Salesforce.com 7,316 0.22 37,143 Servicenow 1,488 0.05 30,960 Splunk 928 0.03 172,888 Symantec 2,426 0.07 34,349 Synopsys 1,121 0.03 31,633 Teradata 573 0.02 113,362 Twitter 1,468 0.04




25,863 VeriSign 1,604 0.05 16,934 VMware 621 0.02 27,609 Workday 1,186 0.04 209,991 Yahoo! 4,754 0.15 52,924 Yandex class ‘A’ shares 496 0.02

298,086 9.08

Support Services – 1.90%; 2015 1.87% 151,368 Accenture 11,047 0.34 39,976 ADT 1,166 0.04 14,508 Alliance Data Systems 2,226 0.07 114,533 Automatic Data Processing 7,081 0.22 32,349 Broadridge Financial Solutions 1,321 0.04 43,484 CDK Global 1,410 0.04 22,563 Cintas 1,382 0.04 68,762 Fastenal 2,245 0.07 68,532 Fidelity National Information Services 2,943 0.09 53,649 Fiserv 3,794 0.12 18,034 Fleetcor Technologies 1,665 0.05 27,978 LinkedIn class ‘A’ shares 2,442 0.07 16,913 Manpower 957 0.03 77,413 Paychex 2,888 0.09 71,033 Republic Services 2,370 0.07 26,052 Robert Half International 744 0.02 19,575 Stericycle 1,632 0.05 43,246 Total System Services 1,388 0.04 103,012 Tyco International 2,633 0.08 24,310 United Rentals 904 0.03 37,059 Verisk Analytics 1,981 0.06 107,098 Waste Management 4,332 0.13 12,098 WW Grainger 1,904 0.06 228,915 Xerox 1,596 0.05

62,051 1.90

technology Hardware & equipment – 6.83%; 2015 8.50% 76,535 Analog Devices 2,953 0.09 1,344,987 Apple 94,084 2.87 283,980 Applied Materials 3,893 0.12 1,234,476 Cisco Systems 23,518 0.72 276,999 Corning 3,657 0.11 470,858 EMC 8,848 0.27 15,301 F5 Networks 1,073 0.03 25,280 Garmin 737 0.02



27,912 Harris 1,542 0.05 423,774 HP 3,252 0.10 1,149,635 Intel 24,715 0.75 98,238 Juniper Networks 1,744 0.05 37,033 KLA-Tencor 1,817 0.06 39,575 Lam Research 2,108 0.06 61,175 Linear Technology 1,938 0.06 93,634 Marvell Technology 644 0.02 73,662 Maxim Integrated Products 1,803 0.06 52,762 Microchip Technology 1,710 0.05 255,710 Micron Technology 1,973 0.06 43,036 Motorola Solutions 2,326 0.07 35,172 NCR 598 0.02 68,171 NetApp 1,236 0.04 122,848 Nvidia 2,809 0.09 31,068 Qorvo 974 0.03 365,339 Qualcomm 13,614 0.42 50,481 SanDisk 2,626 0.08 65,311 Seagate Technology 1,494 0.05 46,310 Skyworks Solutions 2,169 0.07 247,978 Texas Instruments 9,540 0.29 53,199 Western Digital 1,685 0.05 64,660 Xilinx 2,258 0.07

223,338 6.83

tobacco – 1.63%; 2015 1.37% 476,906 Altria 21,183 0.65 379,185 Philip Morris International 25,030 0.76 203,201 Reynolds American 7,374 0.22

53,587 1.63

travel & Leisure – 2.56%; 2015 2.36% 36,309 American Airlines 1,071 0.03 103,303 Carnival 3,604 0.11 7,808 Chipotle Mexican Grill 2,849 0.09 27,523 Darden Restaurants 1,266 0.04 47,227 Delta Air Lines 1,631 0.05 26,116 Expedia 1,988 0.06 11,449 Four Corners Property Trust 135 0.00 116,854 Hertz Global 698 0.02 133,133 Hilton Worldwide 1,990 0.06 20,328 International Game Technology 219 0.01 100,855 Las Vegas Sands 3,488 0.11


51,931 Marriott International class ‘A’ shares 2,554 0.08 222,581 McDonald’s 18,804 0.57 102,661 MGM Resorts International 1,398 0.04 36,422 Norwegian Cruise Line 1,304 0.04 11,893 Priceline.com 10,762 0.33 36,526 Royal Caribbean Cruises 1,982 0.06 37,606 Southwest Airlines 1,145 0.04 348,388 Starbucks 14,667 0.45 43,778 Starwood Hotels and Resorts Worldwide 2,188 0.07 22,819 TripAdvisor 1,027 0.03 19,880 United Continental 812 0.02 30,840 Wyndham Worldwide 1,615 0.05 18,114 Wynn Resorts 1,074 0.03 105,450 Yum! Brands 5,435 0.17

83,706 2.56

Netherlands – 0.11%; 2015 0.10%

technology Hardware & equipment – 0.11%; 2015 0.10% 67,285 NXP Semiconductors 3,507 0.11

Mexico – 0.02%; 2015 0.03%

Industrial Metals & Mining – 0.02%; 2015 0.03% 39,163 Southern Copper 696 0.02

Singapore – 0.29%; 2015 0.00%

technology Hardware & equipment – 0.29%; 2015 0.00% 97,291 Broadcom 9,348 0.29

DeRIVAtIVeS – 0.01%; 2015 0.01%

Futures – 0.01%; 2015 0.01% 52 S&P 500 E-mini March 2016 3,640 161 0.01 9 S&P 500 Future March 2016 3,150 147 0.00 112 S&P/TSX 60 Index March 2016 8,933 (114) 0.00

15,723 194 0.01



Unless otherwise stated, all securities are either listed on a recognised exchange or traded on an eligible securities market.Note: comparative figures show percentages for each category of holding at 28 February 2015.* Related party to the Fund.Underlying exposure has been calculated according to the guidelines issued by the European Securities and Markets Authority (“ESMA”) and represents the market value of an equivalent position in the assets underlying each financial derivative instrument.


North American equity tracker portfolio Statement continued North American equity tracker Statement of total Return for the year ended 29 February 2016

Notes £000’s


£000’s £000’s


£000’s

Income


Revenue 4 64,850 56,231

Expenses 5 (5,478) (5,304)



Taxation 7 (9,136) (7,906)



Distributions 8 (50,212) (42,961)


North American equity tracker Statement of Change in Net Assets Attributable to Unitholders for the year ended 29 February 2016

£000’s


£000’s £000’s


£000’s




238,962 183,883






North American equity tracker Balance Sheet at 29 February 2016

Notes

29.2.2016£000’s

28.2.2015£000’s

Assets:

Fixed assets


Current assets

– Debtors 9 13,639 15,146


Total assets 3,304,770 2,943,658

Liabilities:


Creditors


– Other creditors 11 (24,219) (6,402)




North American equity tracker Notes to Financial Statements for the year ended 29 February 2016





£000’s


£000’s




Currency gains 3,233 1,182

US REIT dividends 671 520



4. Revenue


£000’s


£000’s



Overseas REIT dividends – 37



US REIT dividends 2,436 2,546



5. Expenses


£000’s


£000’s




5,204 4,966

Other expenses:

– Audit fee 8 7




274 338




£000’s


£000’s




£000’s


£000’s



North American equity tracker Notes to Financial Statements continued



£000’s


£000’s



Effects of:

Capitalised income from US REITs 134 104





Prior year adjustment to excess management expenses 44 –

Relief on overseas tax expensed (76) –



8. Distributions


£000’s


£000’s



50,899 41,588

Add: Amounts deducted on cancellation of units 1,716 3,781









9. Debtors

29.2.2016 £000’s

28.2.2015£000’s







29.2.2016 £000’s

28.2.2015£000’s




11. Other Creditors

29.2.2016 £000’s

28.2.2015 £000’s


Accrued FCA fee 1 1







Custodian transaction costs 2 –













29.2.2016£000’s

28.2.2015£000’s


The Fund’s securities lending borrowing counterparties are Bank of America Merrill Lynch, BNP Paribas Arbitrage, Citigroup, Credit Suisse International, Deutsche Bank AG, Goldman Sachs, HSBC, JP Morgan Chase Securities Plc, Morgan Stanley & Co., Nomura, Société Générale and UBS.
















£000’s %Taxes

£000’s %







£000’s %Taxes

£000’s %












£000’s %Taxes

£000’s %







£000’s %Taxes

£000’s %



















Balance at the beginning of the year 7,769,138 1,131,668,351 150,167,442 62,935,812 1,314,651

Issued during the year 539,191 252,086,508 40,711,286 21,656,857 14,396,040

Cancelled during the year (1,815,242) (179,825,181) (14,225,079) (3,467,909) (11,361,553)

Converted during the year (2,508,469) (92,681,450) 99,495,813 (17,959,352) 76,232,618

Balance at the end of the year 3,984,618 1,111,248,228 276,149,462 63,165,408 80,581,756




About the Fund

The BlackRock Overseas Corporate Bond Tracker Fund (the “Fund”) is a sub-fund of BlackRock Collective Investment Funds, a UCITS scheme established under the COLL Sourcebook. The Fund was authorised by the Financial Conduct Authority on 28 April 2010 and established on 28 January 2011.


The aim of the Fund is to seek to achieve a total return for investors by tracking closely the performance of the Barclays Global Aggregate Corporate ex GBP Index by investing in fixed income securities contained in the Index. Investment will be made directly into constituent issues and via other transferable securities giving exposure to such issues. The Fund may also invest in permitted money-market instruments, permitted deposits and units in collective investment schemes. Derivatives and forward transactions may be used for the purposes of efficient portfolio management.




Unit Class



X Income 1 2 3 4 5 6 7


D Income 1 2 3 4 5 6 7


H Income 1 2 3 4 5 6 7







BlackRock overseas Corporate Bond tracker Fund


Performance Table






BlackRock Overseas Corporate Bond Tracker Fund +8.2% +8.4% +28.5%

Barclays Global Aggregate Corporate ex GBP Index* +8.7% +10.3% +33.1%

All Fund figures quoted are based on bid-to-bid dealing prices (the price at which units are sold) and are calculated net of fees. Performance returns are cumulative. All returns are in Sterling.# D Accumulation class was renamed as L Accumulation class during June 2012. * Figures from Index Vendor. Please note that the Fund’s benchmark index, the Barclays Global Aggregate Corporate ex GBP Index was previously referred to as the Barclays Capital Global Aggregate Corporate ex UK Index. This is a clarificatory update and does not represent a change in the Fund’s benchmark index.


overseas Corporate Bond tracker Fund








to 29.2.2016




+8.20%* +8.65% -0.45%



overseas Corporate Bond tracker Fund continued












Summary of Performance over the PeriodDuring the period from 1 March 2015 to 29 February 2016, the Fund returned 8.2%,* compared with its benchmark, the Barclays Global Aggregate Corporate ex GBP Index, which returned 8.7%. Before costs and after adjusting for a) the difference in valuation point of the Fund and the pricing point of the benchmark index and b) the tax incurred by the Fund which is not included in the benchmark index, the performance of the Fund relative to its benchmark index has been in line with expectations. Over the six-month period to 29 February 2016, the Fund returned 10.9%,* underperforming its benchmark, which returned 11.1%.

Fund Manager’s CommentaryThe period to 29 February 2016 was marked by diverging monetary policies, concerns over China’s economy and commodity price volatility. In the US, a mixed bag of economic data meant that the US Federal Reserve (the “Fed“) kept interest rates on hold until December 2015, when they were raised by 0.25%. This rate rise marked the first move in US interest rates since 2006, and it reflected the Fed’s growing confidence in employment and inflation prospects. By contrast, the European Central Bank extended its asset-purchase programme for another few months, as the region’s economy struggled to grow. Elsewhere, central bankers in several emerging economies, including India, China and Russia, lowered benchmark rates in a bid to stimulate growth.

Overseas corporate bond markets gained ground over the period. Although US policymakers increased interest rates, signs of slowing global growth pushed out expectations of more rate hikes. This, combined with ongoing low rates in the UK and Europe, lent some support to credit markets. Late in the period, European credit spreads (the yield differential between investment grade and government bonds) widened, with financial bonds particularly affected. US investment-grade credit spreads followed a similar trend, ending the year wider.

The Fund is structured to track the Barclays Global Aggregate Corporate ex GBP Index closely, so its portfolio is positioned so that the risk characteristics are similar to those of the Index.

March 2016


overseas Corporate Bond tracker Investment Report

Comparative Table





to 28.2.2014




to 28.2.2014










performance


other information












overseas Corporate Bond tracker performance Record


Comparative Table





to 28.2.2014




to 28.2.2014











performance


other information












overseas Corporate Bond tracker performance Record continued

Comparative Table

D Income Units D Accumulation Units



to 28.2.2015




to 28.2.2014




Return before operating charges 9.52 15.21 9.89 8.79 (3.81)


Return after operating charges 9.34 15.02 9.69 8.60 (4.00)

Distributions on income units (2.57) (1.62) N/A N/A N/A


Retained distributions on accumulation units N/A N/A 2.65 2.50 2.86


performance

Return after charges1 8.24% 15.02% 8.35% 8.01% (3.59)%

other information

Closing net asset value (£000’s) 33,115 19,987 37,775 20,266 9,268

Closing number of units 27,556,701 17,623,347 30,053,032 17,469,137 8,632,587






^ The date of commencement of operations.* As communicated in a letter to investors dated 28 May 2013, the Manager has changed the Fund’s annual accounting date in order to

consolidate the publication of the reports.1 The return after charges figures are based on the net asset value reported for financial statements purposes and are not the same as





Comparative Table




to 28.2.2015



to 28.2.2015




Return before operating charges 8.49 4.18 8.84 4.11


Return after operating charges 8.38 4.07 8.73 4.00

Distributions on income units (2.38) (1.16) N/A N/A


Retained distributions on accumulation units N/A N/A 2.41 1.21

After direct transaction costs of 0.00 0.00 0.00 0.00

performance

Return after charges1 8.14% 4.06% 8.39% 4.00%

other information

Closing net asset value (£000’s) 101 1 4,167 10

Closing number of units 92,535 491 3,696,394 9,755










overseas Corporate Bond tracker performance Record continued


A AccumulationUnits

L AccumulationUnits

X IncomeUnits

X AccumulationUnits

D IncomeUnits

D AccumulationUnits

H IncomeUnits

H AccumulationUnits


Gross Revenue 1.4711 0.7901 1.6635 0.8139 1.0421 1.0421 1.7001 1.0050 1.6224 0.9141 1.6778 0.8881 1.4958 0.7384 1.5315 0.8850

Income tax 0.2942 0.1580 0.3327 0.1628 0.2084 0.2084 0.3400 0.2010 0.3245 0.1828 0.3356 0.1776 0.2992 0.1477 0.3063 0.1770

Net revenue (interest) 1.1769 0.6321 1.3308 0.6511 0.8337 0.8337 1.3601 0.8040 1.2979 0.7313 1.3422 0.7105 1.1966 0.5907 1.2252 0.7080

Equalisation† – 0.5448 – 0.6797 – 0.0000 – 0.5561 – 0.5666 – 0.6317 – 0.6059 – 0.5172




A AccumulationUnits

L AccumulationUnits

X IncomeUnits

X AccumulationUnits

D IncomeUnits

D AccumulationUnits

H IncomeUnits÷



Gross Revenue 1.4264 0.9457 1.6155 1.0534 1.5552 0.7176 1.6570 1.0129 1.5937 0.8936 1.6287 0.9750 1.4733 0.7129 1.4870 0.5487

Income tax 0.2853 0.1891 0.3231 0.2107 0.3110 0.1435 0.3314 0.2026 0.3187 0.1787 0.3257 0.1950 0.2947 0.1426 0.2974 0.1097

Net revenue (interest) 1.1411 0.7566 1.2924 0.8427 1.2442 0.5741 1.3256 0.8103 1.2750 0.7149 1.3030 0.7800 1.1786 0.5703 1.1896 0.4390

Equalisation† – 0.3845 – 0.4497 – 0.6701 – 0.5153 – 0.5601 – 0.5230 – 0.6083 – 0.7506


Distribution paid 31.10.2014 1.0982 1.0982 1.2362 1.2362 1.2155 1.2155 1.2650 1.2650 0.3686 0.3686 1.2463 1.2463 N/A N/A N/A N/A



overseas Corporate Bond tracker Distribution tables for the year ended 29 February 2016




BoNDS – 99.25%; 2015 98.53%

AUStRALIAN DoLLAR – 0.51%; 2015 0.54%

Australian Dollar Denominated Fixed Rate Corporate Bonds – 0.51%; 2015 0.54% AU$300,000 Anglo American Capital 5.75% Medium Term Notes

27/11/2018 131 0.01 AU$300,000 Apple 2.85% Medium Term Notes 28/8/2019 155 0.01 AU$570,000 Apple 3.7% Medium Term Notes 28/8/2022 300 0.03 AU$300,000 BHP Billiton Finance 3% Medium Term Notes 30/3/2020 149 0.01 AU$500,000 BNP Paribas 4.5% Senior Notes 4/10/2017 264 0.03 AU$400,000 Commonwealth Bank of Australia 3.75% Bonds

18/10/2019 211 0.02 AU$500,000 Crown Finance 4.5% Medium Term Notes 18/11/2019 256 0.02 AU$500,000 GE Capital Australia Funding 4.5% Guaranteed Bonds

30/1/2018 265 0.03 AU$750,000 Goldman Sachs 4.7% Medium Term Notes 8/9/2021 403 0.04 AU$300,000 Goldman Sachs 7.75% Senior Bonds 23/11/2016 160 0.02 AU$300,000 JP Morgan Chase 4.65% Senior Notes 7/11/2017 158 0.02 AU$500,000 JP Morgan Chase 7% Senior Notes 16/3/2016 258 0.02 AU$500,000 Morgan Stanley 4.75% Senior Notes 16/11/2018 265 0.03 AU$500,000 National Australia Bank 4% Senior Bonds 23/5/2018 265 0.03 AU$500,000 Rabobank Nederland 7.25% Senior Notes 20/4/2018 280 0.03 AU$300,000 SGSP Australia Assets 6.25% Guaranteed Notes

21/2/2017 159 0.02 AU$500,000 Telstra 4% Medium Term Notes 16/9/2022 266 0.03 AU$250,000 Telstra 4.5% Guaranteed Notes 13/11/2018 134 0.01 AU$400,000 Total Capital International 4.25% Medium Term Notes

26/11/2021 212 0.02 AU$400,000 Wesfarmers 4.75% Guaranteed Bonds 12/3/2020 216 0.02 AU$200,000 Westpac Banking 4.5% European Medium Term Notes

11/3/2027 103 0.01 AU$500,000 Westpac Banking 6% Senior Bonds 20/2/2017 266 0.03 AU$400,000 Westpac Banking 7.25% Guaranteed Senior Notes

18/11/2016 213 0.02

5,089 0.51

CANADIAN DoLLAR – 2.90%; 2015 3.08%

Canadian Dollar Denominated Certificates of Deposit – 0.06%; 2015 0.09% CA$500,000 Royal Bank of Canada 2.86% Bonds 4/3/2021 275 0.03 CA$500,000 Toronto-Dominion Bank 2.171% Notes 2/4/2018 270 0.03

545 0.06

overseas Corporate Bond tracker portfolio Statement at 29 February 2016

Canadian Dollar Denominated Fixed Rate Corporate Bonds – 2.49%; 2015 2.58% CA$200,000 407 International 4.45% Senior Bonds 15/11/2041 117 0.01 CA$100,000 407 International 5.75% Guaranteed Bonds 14/2/2036 66 0.01 CA$500,000 AltaLink 3.668% Guaranteed Notes 6/11/2023 288 0.03 CA$500,000 American Express Canada Credit 2.31% Guaranteed

Bonds 29/3/2018 269 0.03 CA$750,000 Bank of Montreal 2.24% Bonds 11/12/2017 405 0.04 CA$500,000 Bank of Montreal 2.39% Guaranteed Notes 12/7/2017 270 0.03 CA$500,000 Bank of Montreal 3.12% Bonds 19/9/2024 265 0.03 CA$600,000 Bank of Montreal 3.4% Bonds 23/4/2021 339 0.03 CA$450,000 Bank of Montreal 3.49% Guaranteed Notes 10/6/2016 241 0.02 CA$750,000 Bank of Nova Scotia 1.33% Bonds 1/5/2018 397 0.04 CA$1,000,000 Bank of Nova Scotia 2.09% Bonds 9/9/2020 532 0.05 CA$750,000 Bank of Nova Scotia 2.27% Bonds 13/1/2020 403 0.04 CA$600,000 Bank of Nova Scotia 2.37% Guaranteed Notes 11/1/2018 324 0.03 CA$500,000 Bank of Nova Scotia 2.873% Bonds 4/6/2021 274 0.03 CA$300,000 Bank of Nova Scotia 3.27% Bonds 11/1/2021 167 0.02 CA$100,000 Bank of Nova Scotia 4.1% Guaranteed Notes 8/6/2017 55 0.01 CA$500,000 Bell Canada 3% Bonds 3/10/2022 270 0.03 CA$750,000 Bell Canada 3.15% Bonds 29/9/2021 410 0.04 CA$300,000 Bell Canada 3.25% Guaranteed Bonds 17/6/2020 166 0.02 CA$400,000 Bell Canada 3.35% Bonds 18/6/2019 221 0.02 CA$250,000 Bell Canada 4.35% Bonds 18/12/2045 122 0.01 CA$500,000 Bell Canada 4.7% Guaranteed Bonds 11/9/2023 295 0.03 CA$200,000 BP Capital Markets 3.497% Guaranteed Bonds

9/11/2020 109 0.01 CA$500,000 Brookfield Asset Management 3.95% Senior Bonds

9/4/2019 277 0.03 CA$300,000 Brookfield Asset Management 5.04% Senior Notes

8/3/2024 173 0.02 CA$200,000 BRP Finance 4.79% Guaranteed Bonds 7/2/2022 115 0.01 CA$600,000 Caisse Centrale Desjardins 1.748% Bonds 2/3/2020 316 0.03 CA$200,000 Cameco 5.67% Senior Bonds 2/9/2019 116 0.01 CA$500,000 Canadian Imperial Bank of Commerce 1.7% Bonds

9/10/2018 267 0.03 CA$400,000 Canadian Imperial Bank of Commerce 1.75% Bonds

6/1/2016 213 0.02 CA$500,000 Canadian Imperial Bank of Commerce 3.95%

Guaranteed Notes 14/7/2017 276 0.03 CA$250,000 Canadian Natural Resources 3.05% Guaranteed Senior

Notes 19/6/2019 122 0.01




CA$500,000 Canadian Natural Resources 3.55% Bonds 3/6/2024 212 0.02 CA$250,000 Canadian Pacific Railway 6.45% Senior Notes

17/11/2039 161 0.02 CA$250,000 Canadian Utilities 3.805% Guaranteed Senior Bonds

10/9/2042 130 0.01 CA$400,000 Caterpillar Financial Services 2.29% Bonds 1/6/2018 215 0.02 CA$150,000 CIBC Capital Trust 10.25% Bonds 30/6/2108 110 0.01 CA$250,000 Citigroup 3.39% Bonds 18/11/2021 137 0.01 CA$500,000 CU 4.085% Bonds 2/9/2044 272 0.03 CA$750,000 Daimler Canada Finance 2.23% Guaranteed Bonds

18/4/2016 400 0.04 CA$300,000 Enbridge 4.24% Senior Bonds 27/8/2042 130 0.01 CA$250,000 Enbridge 5.17% Guaranteed Senior Notes 19/5/2016 134 0.01 CA$500,000 Enbridge Gas 5.21% Medium Term Notes 25/2/2036 304 0.03 CA$400,000 Enbridge Pipelines 4.45% Senior Notes 6/4/2020 229 0.02 CA$250,000 Enbridge Pipelines 4.55% Bonds 29/9/2045 128 0.01 CA$500,000 Fairfax Financial 4.95% Bonds 3/3/2025 271 0.03 CA$300,000 Fairfax Financial 7.5% Senior Bonds 19/8/2019 181 0.02 CA$500,000 Ford Credit Canada 2.634% Guaranteed Bonds

21/11/2016 267 0.03 CA$250,000 GE Capital Canada Funding 3.55% Guaranteed Bonds



22/10/2037 206 0.02 CA$500,000 Great West Lifeco 4.65% Guaranteed Senior Bonds

13/8/2020 296 0.03 CA$250,000 Greater Toronto Airports 7.05% Guaranteed Senior

Bonds 12/6/2030 187 0.02 CA$250,000 Great-West Lifeco Finance Delaware LP II 7.127%

Guaranteed Senior Bonds 26/6/2068 146 0.01 CA$750,000 HSBC Canada 2.491% Bonds 13/5/2019 403 0.04 CA$400,000 HSBC Canada 2.901% Notes 13/1/2017 216 0.02 CA$400,000 HSBC Canada 2.938% Bonds 14/1/2020 218 0.02 CA$150,000 Husky Energy 5% Guaranteed Senior Bonds 12/3/2020 82 0.01 CA$300,000 IBM 2.2% Senior Notes 10/2/2017 161 0.02 CA$500,000 Inter Pipeline 3.173% Bonds 24/3/2025 250 0.02 CA$500,000 Inter Pipeline 4.967% Guaranteed Bonds 2/2/2021 290 0.03 CA$500,000 Loblaw 4.86% Senior Notes 12/9/2023 298 0.03 CA$150,000 Loblaw 5.9% Senior Bonds 18/1/2036 94 0.01 CA$300,000 Manulife Financial 7.768% Senior Notes 8/4/2019 185 0.02

overseas Corporate Bond tracker portfolio Statement continued

CA$250,000 Metro 5.97% Guaranteed Bonds 15/10/2035 152 0.01 CA$500,000 Morgan Stanley 4.9% Senior Notes 23/2/2017 274 0.03 CA$400,000 National Bank of Canada 2.404% Bonds 28/10/2019 216 0.02 CA$500,000 National Bank of Canada 2.689% Bonds 21/8/2017 271 0.03 CA$300,000 National Bank of Canada 2.794% Bonds 9/8/2018 164 0.02 CA$250,000 NAV Canada 5.304% Senior Bonds 17/4/2019 148 0.01 CA$500,000 North West Redwater Partnership / NWR Financing

4.75% Bonds 1/6/2037 267 0.03 CA$250,000 Nova Scotia Power 4.5% Senior Notes 20/7/2043 141 0.01 CA$300,000 Pembina Pipeline 4.75% Bonds 30/4/2043 134 0.01 CA$400,000 Rogers Communications 3% Guaranteed Notes

6/6/2017 216 0.02 CA$700,000 Rogers Communications 5.34% Guaranteed Bonds

22/3/2021 419 0.04 CA$300,000 Rogers Communications 6.11% Guaranteed Bonds

25/8/2040 183 0.02 CA$300,000 Rogers Communications 6.56% Notes 22/3/2041 193 0.02 CA$500,000 Royal Bank of Canada 1.968% Bonds 2/3/2022 261 0.03 CA$500,000 Royal Bank of Canada 2.07% Bonds 17/6/2016 267 0.03 CA$500,000 Royal Bank of Canada 2.26% Bonds 12/3/2018 270 0.03 CA$700,000 Royal Bank of Canada 2.35% Bonds 9/12/2019 380 0.04 CA$800,000 Royal Bank of Canada 2.77% Bonds 11/12/2018 439 0.04 CA$600,000 Royal Bank of Canada 2.98% Guaranteed Notes

7/5/2019 332 0.03 CA$500,000 Royal Bank of Canada 3.45% Bonds 29/9/2026 262 0.03 CA$1,050,000 Royal Bank of Canada 3.66% Guaranteed Notes

25/1/2017 572 0.05 CA$400,000 Shaw Communications 5.65% Guaranteed Senior Notes

1/10/2019 233 0.02 CA$300,000 Shaw Communications 6.75% Senior Bonds 9/11/2039 186 0.02 CA$750,000 Suncor Energy 3.1% Bonds 26/11/2021 389 0.04 CA$400,000 TELUS 3.65% Senior Notes 25/5/2016 214 0.02 CA$600,000 TELUS 3.75% Bonds 17/1/2025 326 0.03 CA$400,000 TELUS 4.4% Bonds 29/1/2046 190 0.02 CA$200,000 TELUS 5.05% Senior Notes 4/12/2019 117 0.01 CA$300,000 TELUS 5.15% Bonds 26/11/2043 161 0.02 CA$250,000 Teranets 4.807% Senior Bonds 16/12/2020 145 0.01 CA$350,000 Thomson Reuters 4.35% Guaranteed Bonds 30/9/2020 199 0.02 CA$400,000 Toronto-Dominion Bank 2.621% Bonds 22/12/2021 217 0.02 CA$500,000 Toronto-Dominion Bank 2.948% Notes 2/8/2016 269 0.03 CA$700,000 Toronto-Dominion Bank 3.226% Bonds 24/7/2024 386 0.04 CA$100,000 TransCanada Pipelines 3.65% Senior Bonds 15/11/2021 55 0.01





CA$350,000 TransCanada Pipelines 4.55% Bonds 15/11/2041 175 0.02 CA$350,000 TransCanada Pipelines 8.05% Guaranteed Senior Bonds

17/2/2039 255 0.02 CA$200,000 Union Gas 4.88% Bonds 21/6/2041 117 0.01 CA$500,000 VW Credit Canada 2.8% Bonds 20/8/2018 264 0.03 CA$500,000 Wells Fargo Canada 2.78% Guaranteed Bonds

15/11/2018 273 0.03 CA$500,000 Wells Fargo Canada 3.04% Bonds 29/1/2021 277 0.03 CA$400,000 Wells Fargo Finance Canada 2.944% Guaranteed Notes

25/7/2019 220 0.02

24,986 2.49

Canadian Dollar Denominated Fixed Rate Government Bonds – 0.01%; 2015 0.00% CA$141,950 Royal Office Finance 5.209% Guaranteed Senior Bonds

12/11/2037 93 0.01

Canadian Dollar Denominated Variable Rate Corporate Bonds – 0.34%; 2015 0.41% CA$600,000 Bank of Nova Scotia 2.898% Guaranteed Subordinated

Floating Rate Notes 3/8/2022 323 0.03 CA$300,000 Canadian Imperial Bank of Commerce 6% Subordinated

Floating Rate Bonds 6/6/2023 173 0.02 CA$250,000 Capital Desjardins 4.954% Guaranteed Senior Floating

Rate Bonds 15/12/2026 147 0.01 CA$450,000 Manufacturers Life Insurance 4.165% Guaranteed

Floating Rate Bonds 1/6/2022 245 0.02 CA$300,000 Manulife Finance Delaware 5.059% Guaranteed Floating

Rate Notes 15/12/2041 162 0.02 CA$100,000 Manulife Financial Capital Trust 7.405% Guaranteed

Subordinated Floating Rate Bonds 31/12/2108 61 0.01 CA$500,000 Merrill Lynch 5.29% Subordinated Floating Rate Notes

30/5/2022 262 0.03 CA$350,000 National Bank of Canada 3.261% Guaranteed Floating

Rate Notes 11/4/2022 188 0.02 CA$500,000 Royal Bank of Canada 2.99% Guaranteed Subordinated

Floating Rate Bonds 6/12/2024 269 0.03 CA$400,000 Royal Bank of Canada 3.04% Subordinated Floating Rate

Notes 17/7/2024 211 0.02 CA$300,000 Scotiabank Capital Trust 5.65% Subordinated Floating

Rate Notes 31/12/2056 163 0.02 CA$350,000 Sun Life Financial 4.95% Guaranteed Senior Floating

Rate Bonds 1/6/2036 188 0.02 CA$400,000 Sun Life Financial 5.59% Subordinated Floating Rate

Notes 30/1/2023 226 0.02

CA$500,000 TD Capital Trust 7.243% Guaranteed Perpetual Subordinated Floating Rate Bonds 298 0.03

CA$400,000 Toronto-Dominion Bank 5.763% Floating Rate Bonds 18/12/2106 226 0.02

CA$300,000 Toronto-Dominion Bank 5.828% Subordinated Floating Rate Notes 9/7/2023 173 0.02

3,315 0.34

eURo – 22.70%; 2015 23.46%

euro Denominated Fixed Rate Corporate Bonds – 21.05%; 2015 21.60% €250,000 2i Rete Gas 1.125% European Medium Term Notes

2/1/2020 198 0.02 €125,000 2i Rete Gas 1.75% Senior European Medium Term Notes

16/7/2019 102 0.01 €150,000 2i Rete Gas 3% Senior European Medium Term Notes

16/7/2024 129 0.01 €175,000 3M 1.5% European Medium Term Notes 9/11/2026 144 0.01 €200,000 3M 1.75% European Medium Term Notes 15/5/2030 166 0.02 €300,000 3M 1.875% Senior Notes 15/11/2021 255 0.02 €500,000 Abbey National Treasury Services 0.875% European

Medium Term Notes 13/1/2020 388 0.04 €125,000 Abbey National Treasury Services 0.875% European

Medium Term Notes 25/11/2020 97 0.01 €600,000 Abbey National Treasury Services 1.125% European

Medium Term Notes 14/1/2022 458 0.04 €400,000 Abbey National Treasury Services 2% Guaranteed

European Medium Term Notes 14/1/2019 325 0.03 €100,000 Abbey National Treasury Services 2.625% Guaranteed

European Medium Term Notes 16/7/2020 83 0.01 €100,000 Abertis Infraestructuras 2.5% Senior Notes 27/2/2025 83 0.01 €250,000 Abertis Infraestructuras 4.625% Guaranteed Senior

Notes 14/10/2016 202 0.02 €300,000 Abertis Infraestructuras 4.75% Bonds 25/10/2019 270 0.03 €150,000 Abertis Infraestructuras 5.125% Senior Bonds 12/6/2017 125 0.01 €350,000 ABN AMRO 1% European Medium Term Notes 16/4/2025 270 0.03 €250,000 ABN AMRO 2.5% Senior European Medium Term Notes

29/11/2023 217 0.02 €300,000 ABN AMRO 2.875% European Medium Term Notes

18/1/2028 235 0.02 €100,000 ABN AMRO 2.875% European Medium Term Notes

30/6/2025 79 0.01





€100,000 ABN AMRO 3.625% Guaranteed Senior European Medium Term Notes 6/10/2017 83 0.01

€150,000 ABN AMRO 4.125% Senior European Medium Term Notes 28/3/2022 141 0.01

€750,000 ABN AMRO 4.75% European Medium Term Notes 11/1/2019 665 0.06

€400,000 ABN AMRO 6.375% Bonds 27/4/2021 370 0.04 €124,000 ABN AMRO 7.125% European Medium Term Notes

6/7/2022 120 0.01 €100,000 Accor 2.375% Bonds 17/9/2023 81 0.01 €100,000 Accor 2.5% Senior Bonds 21/3/2019 83 0.01 €200,000 Accor 2.625% Senior Notes 5/2/2021 165 0.02 €200,000 Achmea Hypotheekbank 2% Guaranteed Senior

European Medium Term Notes 23/1/2018 162 0.02 €100,000 Achmea Hypotheekbank 2.5% Senior European Medium

Term Notes 19/11/2020 83 0.01 €110,000 Adecco International Financial 4.75% Guaranteed

European Medium Term Notes 13/4/2018 95 0.01 €100,000 Aeroporti di Roma 3.25% Senior European Medium Term

Notes 20/2/2021 88 0.01 €250,000 Air Liquide 2.908% Guaranteed European Medium Term

Notes 12/10/2018 210 0.02 €200,000 Air Liquide Finance 1.25% European Medium Term Notes

3/6/2025 159 0.02 €175,000 Air Products & Chemicals 1% Bonds 12/2/2025 137 0.01 €150,000 Air Products & Chemicals 2% Senior Bonds 7/8/2020 127 0.01 €400,000 Airbus Finance 2.375% Guaranteed European Medium

Term Notes 2/4/2024 351 0.03 €100,000 Airbus Finance 5.5% Guaranteed European Medium

Term Bonds 25/9/2018 89 0.01 €500,000 Akzo Nobel Sweden Finance AB 2.625% European

Medium Term Notes 27/7/2022 435 0.04 €500,000 Albemarle 1.875% Bonds 8/12/2021 374 0.04 €200,000 ALD International 2% Senior European Medium Term

Notes 26/5/2017 160 0.02 €100,000 Alfa Laval Treasury International 1.375% European

Medium Term Notes 12/9/2022 79 0.01 €300,000 Allianz Finance 3.5% Guaranteed European Medium

Term Bonds 14/2/2022 275 0.03 €600,000 Allianz Finance II 1.375% Guaranteed European Medium

Term Notes 13/3/2018 484 0.05 €100,000 Allianz Finance II 3% Guaranteed Bonds 13/3/2028 92 0.01

€200,000 Alstom 3.625% Guaranteed Notes 5/10/2018 169 0.02 €200,000 Alstria Office REIT 2.25% Bonds 24/3/2021 157 0.02 €100,000 Amadeus Capital Markets 1.625% European Medium

Term Notes 17/11/2021 80 0.01 €500,000 America Movil 1% Senior Notes 4/6/2018 397 0.04 €400,000 America Movil 3% Senior Notes 12/7/2021 346 0.03 €100,000 America Movil 4.125% European Medium Term Notes

25/10/2019 88 0.01 €400,000 America Movil 4.75% Guaranteed Bonds 28/6/2022 382 0.04 €400,000 American Honda Finance 1.375% European Medium

Term Notes 10/11/2022 326 0.03 €100,000 American Honda Finance 1.875% Senior European

Medium Term Notes 4/9/2019 83 0.01 €225,000 Amgen 1.25% Bonds 25/2/2022 178 0.02 €300,000 Amgen 2% Bonds 25/2/2026 238 0.02 €300,000 Amgen 2.125% Guaranteed Senior Notes 13/9/2019 249 0.02 €200,000 Anglo American Capital 1.75% Guaranteed European

Medium Term Notes 3/4/2018 144 0.01 €500,000 Anglo American Capital 2.875% Guaranteed European



Medium Term Bonds 28/3/2022 60 0.01 €575,000 Anheuser-Busch InBev 1.5% European Medium Term

Notes 18/4/2030 430 0.04 €200,000 Anheuser-Busch InBev 2.25% Guaranteed European

Medium Term Notes 24/9/2020 169 0.02 €500,000 Anheuser-Busch InBev 2.7% European Medium Term

Notes 31/3/2026 440 0.04 €500,000 Anheuser-Busch InBev 2.875% Guaranteed Medium

Term Notes 25/9/2024 447 0.04 €250,000 Anheuser-Busch InBev 4% Guaranteed European

Medium Term Bonds 2/6/2021 231 0.02 €125,000 Aon 2.875% Guaranteed Notes 14/5/2026 100 0.01 €500,000 AP Moeller-Maersk 4.375% Senior European Medium

Term Notes 24/11/2017 420 0.04 €250,000 Apple 1% European Medium Term Notes 10/11/2022 202 0.02 €200,000 Apple 1.625% Bonds 10/11/2026 162 0.02 €200,000 APT Pipelines 1.375% Bonds 22/3/2022 144 0.01 €225,000 APT Pipelines 2% Bonds 22/3/2027 153 0.01 €200,000 Arkema 1.5% European Medium Term Notes 20/1/2025 154 0.01




€250,000 ASF 5.625% Senior European Medium Term Bonds 4/7/2022 254 0.02

€350,000 ASF 7.375% Guaranteed Senior European Medium Term Notes 20/3/2019 334 0.03

€150,000 ASML 3.375% Senior Notes 19/9/2023 131 0.01 €300,000 ASR Nederland 5.125% Bonds 29/9/2045 228 0.02 €200,000 Assicurazioni Generali 2.875% Senior European Medium

Term Notes 14/1/2020 167 0.02 €100,000 Assicurazioni Generali 4.125% Senior Subordinated

European Medium Term Notes 4/5/2026 82 0.01 €450,000 Assicurazioni Generali 5.125% European Medium Term

Notes 16/9/2024 430 0.04 €300,000 Assicurazioni Generali 5.5% European Medium Term

Notes 27/10/2047 230 0.02 €125,000 AstraZeneca 0.875% European Medium Term Notes

24/11/2021 100 0.01 €175,000 AT&T 1.3% Bonds 5/9/2023 137 0.01 €150,000 AT&T 1.45% Bonds 1/6/2022 120 0.01 €450,000 AT&T 1.875% Guaranteed Senior Notes 4/12/2020 374 0.04 €200,000 AT&T 2.45% Bonds 15/3/2035 146 0.01 €400,000 AT&T 2.6% Bonds 17/12/2029 322 0.03 €400,000 AT&T 2.65% Senior Notes 17/12/2021 343 0.03 €400,000 AT&T 3.375% Senior Notes 15/3/2034 339 0.03 €100,000 AT&T 3.5% Senior Notes 17/12/2025 90 0.01 €200,000 AT&T 3.55% Senior Notes 17/12/2032 176 0.02 €100,000 Atlantia 2.875% Guaranteed European Medium Term

Notes 26/2/2021 87 0.01 €150,000 Atlantia 3.375% Guaranteed European Medium Term

Notes 18/9/2017 124 0.01 €150,000 Atlantia 4.375% Guaranteed European Medium Term

Bonds 16/9/2025 146 0.01 €250,000 Atlantia 4.375% Guaranteed Medium Term Notes

16/3/2020 227 0.02 €500,000 Atlantia 4.5% Guaranteed European Medium Term

Notes 8/2/2019 442 0.04 €200,000 Atlas Copco 2.625% Senior European Medium Term

Notes 15/3/2019 168 0.02 €100,000 Atrium European Real Estate 3.625% Bonds 17/10/2022 80 0.01 €200,000 Atrium European Real Estate 4% Senior Notes

20/4/2020 166 0.02 €300,000 Aurizon Network 2% European Medium Term Notes

18/9/2024 218 0.02


€100,000 AusNet Services 1.5% European Medium Term Notes 26/2/2027 76 0.01

€200,000 AusNet Services 2.375% Guaranteed European Medium Term Notes 24/7/2020 167 0.02

€150,000 Australia & New Zealand Banking 5.125% Subordinated European Medium Term Notes 10/9/2019 134 0.01

€200,000 Australia Pacific Airports Melbourne 1.75% European Medium Term Notes 15/10/2024 159 0.02

€300,000 Autoroutes du Sud de la France 2.95% Senior European Medium Term Notes 17/1/2024 269 0.03

€600,000 Autoroutes du Sud de la France 4% Senior European Medium Term Notes 24/9/2018 517 0.05

€200,000 Autoroutes Paris-Rhin-Rhone 4.875% Guaranteed Senior European Medium Term Notes 21/1/2019 177 0.02

€400,000 Aviva 3.375% European Medium Term Notes 4/12/2045 273 0.03 €200,000 Babcock International 1.75% European Medium Term

Notes 6/10/2022 160 0.02 €100,000 Bacardi 2.75% Guaranteed Bonds 3/7/2023 86 0.01 €200,000 Banco Bilbao Vizcaya Argentaria 1% Bonds 20/1/2021 157 0.02 €500,000 Bank of America 1.625% European Medium Term Notes

14/9/2022 398 0.04 €400,000 Bank of America 2.375% Senior European Medium Term

Notes 19/6/2024 331 0.03 €100,000 Bank of America 2.5% Senior European Medium Term

Notes 27/7/2020 84 0.01 €200,000 Bank of America 4.625% European Medium Term Notes

7/2/2017 163 0.02 €300,000 Bank of America 4.625% Guaranteed Senior European

Medium Term Notes 7/8/2017 251 0.02 €500,000 Bank of America 4.75% Senior European Medium Term

Notes 3/4/2017 413 0.04 €150,000 Bank of Ireland 1.25% European Medium Term Notes

9/4/2020 117 0.01 €150,000 Bank of Ireland 2% Senior European Medium Term Notes

8/5/2017 120 0.01 €150,000 Bank of Ireland 3.25% Senior Notes 15/1/2019 124 0.01 €1,200,000 Bank of Tokyo-Mitsubishi UFJ 0.875% European

Medium Term Notes 11/3/2022 935 0.09 €100,000 Bankinter 1.75% Bonds 10/6/2019 81 0.01 €400,000 Banque Fédérative du Crédit Mutuel 1.625% European




€300,000 Banque Fédérative du Crédit Mutuel 1.625% European Medium Term Notes 19/1/2026 240 0.02

€800,000 Banque Fédérative du Crédit Mutuel 2.625% Senior European Medium Term Notes 24/2/2021 689 0.07



€500,000 Banque Fédérative du Crédit Mutuel 3% Senior European Medium Term Notes 28/11/2023 448 0.04

€125,000 Banque Fédérative du Crédit Mutuel 3% Subordinated European Medium Term Notes 21/5/2024 105 0.01

€250,000 Banque Fédérative du Crédit Mutuel 4% Subordinated European Medium Term Bonds 22/10/2020 220 0.02

€300,000 Banque Fédérative du Crédit Mutuel 4.125% European Medium Term Bonds 20/7/2020 273 0.03

€600,000 Barclays 1.5% European Medium Term Notes 1/4/2022 455 0.04 €400,000 Barclays 2.125% Senior European Medium Term Notes

24/2/2021 340 0.03 €600,000 Barclays 2.625% European Medium Term Notes

11/11/2025 436 0.04 €650,000 Barclays 6% Subordinated European Medium Term

Bonds 23/1/2018 549 0.05 €200,000 Barclays 6.625% Guaranteed Subordinated European

Medium Term Bonds 30/3/2022 185 0.02 €400,000 BASF 1.5% Senior European Medium Term Notes

1/10/2018 326 0.03 €150,000 BASF 1.875% Guaranteed Senior European Medium

Term Notes 4/2/2021 126 0.01 €100,000 BASF 2% Guaranteed Senior Notes 5/12/2022 85 0.01 €200,000 BASF 2.5% Senior European Medium Term Notes

22/1/2024 176 0.02 €500,000 BAT International Finance 0.875% European Medium

Term Notes 13/10/2023 384 0.04 €350,000 BAT International Finance 2% European Medium Term

Notes 13/3/2045 252 0.02 €350,000 BAT International Finance 3.625% Guaranteed European

Medium Term Notes 9/11/2021 317 0.03 €200,000 BAT International Finance 5.375% Guaranteed European

Medium Term Bonds 29/6/2017 168 0.02 €100,000 Bayer 1.875% Senior European Medium Term Notes

25/1/2021 84 0.01


€100,000 Bayer Capital 1.25% European Medium Term Notes 13/11/2023 82 0.01

€400,000 BBVA Senior Finance 2.375% Guaranteed European Medium Term Notes 22/1/2019 331 0.03

€300,000 BBVA Senior Finance 3.75% Guaranteed European Medium Term Notes 17/1/2018 251 0.02

€100,000 Belfius Bank 2.25% Senior European Medium Term Notes 26/9/2018 82 0.01

€375,000 Berkshire Hathaway 0.75% Bonds 16/3/2023 290 0.03 €325,000 Berkshire Hathaway 1.125% Bonds 16/3/2027 236 0.02 €300,000 Berlin Hyp 1.625% Senior European Medium Term Notes

29/1/2019 244 0.02 €200,000 Bertelsmann 1.75% European Medium Term Notes

14/10/2024 165 0.02 €200,000 BG Energy Capital 1.25% European Medium Term Notes

21/11/2022 158 0.02 €200,000 BG Energy Capital 2.25% European Medium Term Notes

21/11/2029 160 0.02 €100,000 Bharti Airtel International Netherlands 3.375%

Guaranteed Bonds 20/5/2021 81 0.01 €200,000 Bharti Airtel International Netherlands 4% Guaranteed

Bonds 10/12/2018 167 0.02 €400,000 BHP Billiton Finance 2.125% Guaranteed European

Medium Term Notes 29/11/2018 328 0.03 €500,000 BHP Billiton Finance 2.25% Guaranteed European

Medium Term Notes 25/9/2020 415 0.04 €100,000 BHP Billiton Finance 3.125% Guaranteed European

Medium Term Notes 29/4/2033 83 0.01 €250,000 BHP Billiton Finance 3.25% European Medium Term

Bonds 24/9/2027 213 0.02 €225,000 BHP Billiton Finance 4.75% Bonds 22/4/2076 173 0.02 €200,000 BHP Billiton Finance 5.625% Bonds 22/10/2079 153 0.01 €250,000 Blackstones Finance 2% Bonds 19/5/2025 203 0.02 €250,000 BMW Finance 1% Guaranteed European Medium Term

Notes 24/10/2016 198 0.02 €100,000 BMW Finance 2.375% Guaranteed Notes 24/1/2023 86 0.01 €500,000 BMW Finance 2.625% Guaranteed European Medium

Term Notes 17/1/2024 439 0.04 €350,000 BMW Finance 3.25% Guaranteed European Medium

Term Notes 14/1/2019 298 0.03 €250,000 BMW Finance 3.625% Guaranteed European Medium

Term Notes 29/1/2018 210 0.02




€500,000 BMW Finance 3.875% European Medium Term Notes 18/1/2017 406 0.04

€400,000 BMW US Capital 0.625% European Medium Term Notes 20/4/2022 310 0.03

€700,000 BMW US Capital 1% European Medium Term Notes 20/4/2027 528 0.05

€100,000 BMW US Capital 1% Guaranteed European Medium Term Notes 18/7/2017 80 0.01

€125,000 BNP Paribas 1.125% European Medium Term Notes 15/1/2023 99 0.01

€400,000 BNP Paribas 1.5% Senior European Medium Term Notes 12/3/2018 323 0.03







€300,000 BNP Paribas 2.875% Senior Notes 27/11/2017 247 0.02 €650,000 BNP Paribas 3.75% Guaranteed Senior European

Medium Term Bonds 25/11/2020 588 0.06 €500,000 BNP Paribas 5.431% Subordinated European Medium

Term Bonds 7/9/2017 421 0.04 €400,000 BNP Paribas 5.757% Guaranteed Subordinated

European Medium Term Bonds 4/10/2017 340 0.03 €200,000 BNZ International Funding 1.25% Guaranteed European

Medium Term Notes 23/5/2018 160 0.02 €200,000 Bouygues 3.625% Senior Notes 16/1/2023 183 0.02 €250,000 Bouygues 3.641% Guaranteed Senior Notes 29/10/2019 219 0.02 €400,000 Bouygues 4% Guaranteed Senior Notes 12/2/2018 337 0.03 €300,000 BP Capital Markets 1.109% European Medium Term

Notes 16/2/2023 230 0.02 €300,000 BP Capital Markets 1.573% European Medium Term

Notes 16/2/2027 225 0.02 €150,000 BP Capital Markets 2.177% Senior European Medium

Term Notes 28/9/2021 124 0.01


€400,000 BP Capital Markets 2.213% European Medium Term Notes 25/9/2026 320 0.03

€500,000 BP Capital Markets 2.517% European Medium Term Notes 17/2/2021 421 0.04

€200,000 BP Capital Markets 2.994% Guaranteed European Medium Term Notes 18/2/2019 169 0.02

€800,000 BPCE 0.75% European Medium Term Notes 22/1/2020 635 0.06 €400,000 BPCE 2% Senior European Medium Term Notes

24/4/2018 327 0.03 €400,000 BPCE 3% Senior European Medium Term Notes

19/7/2024 360 0.03 €1,450,000 BPCE 3.75% Senior European Medium Term Notes

21/7/2017 1,198 0.11 €300,000 BPCE 4.25% European Medium Term Bonds 6/2/2023 288 0.03 €100,000 BPCE 4.625% Subordinated Bonds 18/7/2023 90 0.01 €125,000 Brambles Finance 2.375% Guaranteed Bonds 12/6/2024 104 0.01 €100,000 BRFkredit 2.5% Guaranteed Senior European Medium

Term Notes 31/1/2018 82 0.01 €200,000 Brisa Concessao Rodoviaria 1.875% European Medium

Term Notes 30/4/2025 137 0.01 €125,000 Bristol-Myers Squibb 1% Bonds 15/5/2025 99 0.01 €200,000 Bristol-Myers Squibb 1.75% Bonds 15/5/2035 154 0.01 €400,000 British American Tobacco Netherlands 4% Bonds

7/7/2020 362 0.03 €175,000 British Sky Broadcasting 1.5% European Medium Term

Notes 15/9/2021 140 0.01 €500,000 British Sky Broadcasting 2.25% European Medium Term

Notes 17/11/2025 405 0.04 €450,000 British Sky Broadcasting 2.5% European Medium Term

Notes 15/9/2026 370 0.04 €200,000 Brussels Airport 3.25% Senior European Medium Term

Notes 1/7/2020 172 0.02 €150,000 Caisse Centrale du Credit Immobilier 4% Guaranteed

Senior European Medium Term Notes 12/1/2018 124 0.01 €200,000 CaixaBank 1.625% European Medium Term Notes

21/4/2022 144 0.01 €100,000 CaixaBank 2.375% Senior Notes 9/5/2019 81 0.01 €300,000 CaixaBank 3.125% Senior Bonds 14/5/2018 249 0.02 €200,000 Canal de Isabel II Gestion 1.68% European Medium Term

Notes 26/2/2025 152 0.01 €300,000 Cap Gemini 1.75% Bonds 1/7/2020 243 0.02 €400,000 Cap Gemini 2.5% Bonds 1/7/2023 334 0.03




€100,000 Cargill 2.5% Senior European Medium Term Notes 15/2/2023 85 0.01

€500,000 Carlsberg Breweries 2.5% Senior European Medium Term Notes 28/5/2024 415 0.04

€300,000 Carlsberg Breweries 2.625% European Medium Term Notes 3/7/2019 251 0.02

€50,000 Carlsberg Breweries 3.375% Guaranteed Senior European Medium Term Notes 13/10/2017 41 0.00

€100,000 CARMILA 2.375% Bonds 18/9/2023 79 0.01 €150,000 Carnival 1.125% Bonds 6/11/2019 118 0.01 €100,000 Carnival 1.625% Bonds 22/2/2021 79 0.01 €150,000 Carnival 1.875% Bonds 7/11/2022 118 0.01 €100,000 Carrefour 1.25% European Medium Term Notes 3/6/2025 78 0.01 €100,000 Carrefour 1.75% Senior European Medium Term Notes

15/7/2022 82 0.01 €700,000 Carrefour 1.75% Senior European Medium Term Notes

22/5/2019 575 0.05 €100,000 Carrefour 3.875% Senior European Medium Term Bonds

25/4/2021 91 0.01 €100,000 Carrefour 4.375% Senior European Medium Term Bonds

2/11/2016 81 0.01 €300,000 Casino Guichard Perrachon 2.33% European Medium

Term Notes 7/2/2025 203 0.02 €100,000 Casino Guichard Perrachon 2.798% Senior European

Medium Term Notes 5/8/2026 69 0.01 €300,000 Casino Guichard Perrachon 3.157% European Medium

Term Notes 6/8/2019 238 0.02 €400,000 Casino Guichard Perrachon 3.311% European Medium

Term Notes 25/1/2023 295 0.03 €200,000 Casino Guichard Perrachon 3.994% European Medium

Term Notes 9/3/2020 161 0.02 €50,000 Casino Guichard Perrachon 4.481% Guaranteed Senior

Notes 12/11/2018 41 0.00 €100,000 Casino Guichard Perrachon 4.726% Senior European

Medium Term Bonds 26/5/2021 82 0.01 €500,000 Citigroup 1.75% Bonds 28/1/2025 390 0.04 €300,000 Citigroup 2.125% European Medium Term Notes

10/9/2026 237 0.02 €300,000 Citigroup 2.375% Senior European Medium Term Notes

22/5/2024 247 0.02 €200,000 Citigroup 4.375% Guaranteed Senior European Medium

Term Bonds 30/1/2017 163 0.02


€200,000 Citigroup 7.375% Guaranteed Senior European Medium Term Bonds 4/9/2019 193 0.02

€200,000 Citycon 3.75% Senior Bonds 24/6/2020 172 0.02 €200,000 Citycon Treasury 2.5% Bonds 1/10/2024 158 0.02 €250,000 Coca-Cola 0.75% Senior Notes 9/3/2023 197 0.02 €400,000 Coca-Cola 1.125% Bonds 9/3/2027 310 0.03 €300,000 Coca-Cola 1.625% Bonds 9/3/2035 232 0.02 €125,000 Coca-Cola 1.875% Bonds 22/9/2026 105 0.01 €400,000 Coca-Cola Enterprises 2.375% Senior Bonds 7/5/2025 331 0.03 €100,000 Coca-Cola Enterprises 2.625% Senior European

Medium Term Notes 6/11/2023 85 0.01 €100,000 Coca-Cola Finance 2.375% Guaranteed European

Medium Term Notes 18/6/2020 83 0.01 €100,000 Coface 4.125% Guaranteed Bonds 27/3/2024 83 0.01 €500,000 Commerzbank 0.5% European Medium Term Notes

3/4/2018 394 0.04 €250,000 Commerzbank 1.5% European Medium Term Notes

21/9/2022 200 0.02 €200,000 Commerzbank 3.625% Senior European Medium Term

Notes 10/7/2017 165 0.02 €30,000 Commerzbank 3.875% Senior European Medium Term

Notes 22/3/2017 25 0.00 €200,000 Commerzbank 4% Guaranteed Senior European

Medium Term Bonds 16/9/2020 179 0.02 €500,000 Commonwealth Bank of Australia 1.625% Bonds

4/2/2019 408 0.04 €250,000 Commonwealth Bank of Australia 2% European

Medium Term Notes 22/4/2027 181 0.02 €200,000 Commonwealth Bank of Australia 4.25% Guaranteed

Senior European Medium Term Notes 6/4/2018 171 0.02 €300,000 Commonwealth Bank of Australia 5.5% Subordinate

European Medium Term Notes 6/8/2019 270 0.03 €250,000 Compagnie de Saint-Gobain 4.75% Guaranteed Senior

European Medium Term Bonds 11/4/2017 207 0.02 €175,000 Compass 1.875% Senior European Medium Term Notes

27/1/2023 147 0.01 €100,000 Compass 3.125% European Medium Term Bonds

13/2/2019 85 0.01 €200,000 Conti-Gummi Finance 2.5% Guaranteed European

Medium Term Notes 20/3/2017 161 0.02 €200,000 Continental 3.125% Guaranteed European Medium

Term Notes 9/9/2020 175 0.02




€50,000 Continental Rubber of America 0.5% European Medium Term Notes 19/2/2019 39 0.00

€200,000 Corio 3.25% Guaranteed European Medium Term Notes 26/2/2021 176 0.02

€100,000 Coventry Building Society 2.5% Senior Notes 18/11/2020 82 0.01 €200,000 Crédit Agricole 0.875% Senior European Medium Term

Bonds 19/1/2022 157 0.02 €300,000 Crédit Agricole 1.75% Senior European Medium Term

Notes 12/3/2018 244 0.02 €300,000 Crédit Agricole 2.375% European Medium Term Notes

27/11/2020 255 0.02 €1,000,000 Crédit Agricole 2.375% Senior European Medium Term

Notes 20/5/2024 855 0.08 €125,000 Crédit Agricole 2.625% Bonds 17/3/2027 94 0.01 €200,000 Crédit Agricole 3.125% Senior European Medium Term

Notes 17/7/2023 181 0.02 €400,000 Crédit Agricole 3.875% Senior European Medium Term

Notes 13/2/2019 348 0.03 €250,000 Crédit Agricole 5.875% Subordinated European Medium

Term Notes 11/6/2019 226 0.02 €600,000 Crédit Agricole 5.971% Subordinated European Medium

Term Bonds 1/2/2018 518 0.05 €500,000 Credit Mutuel Arkea 1% European Medium Term Notes

26/1/2023 391 0.04 €600,000 Credit Suisse 0.625% European Medium Term Notes

20/11/2018 475 0.05 €500,000 Credit Suisse 1.125% Bonds 15/9/2020 399 0.04 €250,000 Credit Suisse 1.25% European Medium Term Notes

14/4/2022 185 0.02 €100,000 Credit Suisse 1.375% Bonds 31/1/2022 80 0.01 €800,000 Credit Suisse 1.375% Senior Notes 29/11/2019 646 0.06 €500,000 Credit Suisse London 0.5% European Medium Term

Notes 29/3/2018 394 0.04 €700,000 Credit Suisse London 4.75% Guaranteed Senior

European Medium Term Notes 5/8/2019 630 0.06 €600,000 CRH Finance Germany 1.75% European Medium Term

Notes 16/7/2021 490 0.05 €350,000 CRH Finland Services 2.75% Guaranteed European

Medium Term Notes 15/10/2020 298 0.03 €100,000 CRH Funding 1.875% European Medium Term Notes

9/1/2024 81 0.01


€500,000 Daimler 0.875% European Medium Term Notes 12/1/2021 395 0.04

€500,000 Daimler 2% European Medium Term Notes 25/6/2021 418 0.04 €200,000 Daimler 2% Senior European Medium Term Notes

5/5/2017 161 0.02 €500,000 Daimler 2.25% Senior European Medium Term Notes

24/1/2022 424 0.04 €200,000 Daimler 2.625% Senior European Medium Term Notes

2/4/2019 168 0.02 €200,000 Daimler 4.125% Guaranteed Senior European Medium

Term Notes 19/1/2017 163 0.02 €300,000 Danfoss 1.375% European Medium Term Notes

23/2/2022 238 0.02 €100,000 Danone 1.125% European Medium Term Notes 14/1/2025 79 0.01 €400,000 Danone 1.25% European Medium Term Notes 30/5/2024 320 0.03 €100,000 Danone 2.6% Senior European Medium Term Notes

28/6/2023 88 0.01 €250,000 Danone 3.6% Senior European Medium Term Bonds

23/11/2020 226 0.02 €200,000 Delhaize 3.125% Guaranteed Notes 27/2/2020 173 0.02 €200,000 Delphi Automotive 1.5% Bonds 10/3/2025 145 0.01 €675,000 Deutsche Annington Finance 0.875% Bonds 30/3/2020 527 0.05 €275,000 Deutsche Annington Finance 2.125% European Medium

Term Notes 9/7/2022 223 0.02 €200,000 Deutsche Annington Finance 3.125% Guaranteed Bonds

25/7/2019 168 0.02 €500,000 Deutsche Bank 1.125% European Medium Term Notes

17/3/2025 369 0.04 €500,000 Deutsche Bank 1.25% Senior European Medium Term

Notes 8/9/2021 390 0.04 €300,000 Deutsche Bank 1.25% European Medium Term Notes

8/9/2021 235 0.02 €600,000 Deutsche Bank 2.375% European Medium Term Notes

11/1/2023 497 0.05 €550,000 Deutsche Bank 5.125% Senior European Medium Term

Bonds 31/8/2017 460 0.04 €150,000 Deutsche Boerse 1.125% Senior Bonds 26/3/2018 120 0.01 €150,000 Deutsche Boerse 2.75% Bonds 5/2/2041 118 0.01 €500,000 Deutsche Pfandbriefbank 1.375% European Medium

Term Notes 15/1/2018 397 0.04 €250,000 Deutsche Post 2.875% European Medium Term Bonds

11/12/2024 226 0.02





€300,000 Deutsche Post Finance 2.95% Guaranteed European Medium Term Bonds 27/6/2022 269 0.03

€800,000 Deutsche Telekom International Finance 3.25% Guaranteed European Medium Term Notes 17/1/2028 753 0.07

€150,000 Deutsche Telekom International Finance 4.5% Guaranteed European Medium Term Bonds 28/10/2030 157 0.02

€200,000 Deutsche Telekom International Finance 6% Guaranteed European Medium Term Notes 20/1/2017 165 0.02

€118,000 Deutsche Wohnen 1.375% Senior Notes 24/7/2020 94 0.01 €175,000 DH Europe Finance 1.7% Bonds 4/1/2022 143 0.01 €200,000 DH Europe Finance 2.5% Guaranteed Notes 8/7/2025 172 0.02 €100,000 Diageo Finance 1.125% Guaranteed Bonds 20/5/2019 81 0.01 €400,000 Diageo Finance 1.75% European Medium Term Notes

23/9/2024 336 0.03 €100,000 DirecTV Financing 2.75% Guaranteed Bonds 19/5/2023 85 0.01 €100,000 Discovery Communications 1.9% Bonds 19/3/2027 67 0.01 €125,000 Discovery Communications 2.375% Guaranteed Bonds

7/3/2022 97 0.01 €400,000 DNB Bank 1.125% European Medium Term Notes

1/3/2023 316 0.03 €400,000 DNB Bank 3.875% Senior European Medium Term Notes

29/6/2020 360 0.03 €100,000 DNB Bank 4.25% European Medium Term Bonds

18/1/2022 94 0.01 €400,000 DNB Bank 4.375% Senior European Medium Term Bonds

24/2/2021 371 0.04 €100,000 DS Smith 2.25% European Medium Term Notes

16/9/2022 80 0.01 €350,000 DSM 2.375% Senior European Medium Term Notes

3/4/2024 303 0.03 €100,000 DSM 5.25% Guaranteed Senior European Medium Term

Bonds 17/10/2017 85 0.01 €500,000 DVB Bank 1% European Medium Term Notes 29/7/2019 397 0.04 €200,000 DVB Bank 1.625% Senior European Medium Term Notes

28/5/2018 161 0.02 €750,000 E.ON International Finance 5.5% European Medium

Term Notes 2/10/2017 638 0.06 €250,000 E.ON International Finance 5.75% Guaranteed European

Medium Term Bonds 7/5/2020 235 0.02 €100,000 easyJet 1.75% European Medium Term Notes 9/2/2023 80 0.01 €100,000 Ecolab 2.625% Bonds 8/7/2025 84 0.01


€175,000 EDP Finance 2% European Medium Term Notes 22/4/2025 119 0.01

€500,000 EDP Finance 2.625% European Medium Term Notes 18/1/2022 375 0.04

€500,000 EDP Finance 5.75% European Medium Term Notes 21/9/2017 420 0.04

€100,000 EE 3.25% Medium Term Notes 3/8/2018 84 0.01 €250,000 Eli Lilly 2.125% Bonds 3/6/2030 208 0.02 €500,000 Elia System Operator 1.375% European Medium Term

Notes 27/5/2024 401 0.04 €100,000 Elia System Operator 3.25% Senior European Medium

Term Notes 4/4/2028 93 0.01 €100,000 Enagas Financiaciones 1.25% European Medium Term

Notes 6/2/2025 78 0.01 €200,000 Enagas Financiaciones 2.5% Guaranteed European

Medium Term Notes 11/4/2022 172 0.02 €200,000 Enagas Financiaciones 4.25% European Medium Term

Notes 5/10/2017 167 0.02 €50,000 Enel 5.625% European Medium Term Bonds 21/6/2027 55 0.01 €150,000 Enel Finance 5% Guaranteed European Medium Term

Bonds 14/9/2022 146 0.01 €626,000 Enel Finance International 1.966% European Medium

Term Notes 27/1/2025 516 0.05 €500,000 Enel Finance International 3.625% Guaranteed European

Medium Term Notes 17/4/2018 421 0.04 €250,000 Enel Finance International 4.875% Guaranteed European



Medium Term Notes 24/10/2018 522 0.05 €150,000 Enel-Societa Per Azioni 5.25% Senior European Medium

Term Bonds 20/5/2024 155 0.01 €100,000 ENGIE 1% European Medium Term Notes 13/3/2026 77 0.01 €500,000 ENGIE 1.375% Senior European Medium Term Notes

19/5/2020 410 0.04 €200,000 ENGIE 1.5% European Medium Term Notes 13/3/2035 150 0.01 €200,000 ENGIE 2.375% Senior European Medium Term Notes

19/5/2026 174 0.02 €500,000 ENGIE 3% Senior European Medium Term Notes

1/2/2023 449 0.04





€100,000 ENGIE 3.125% Senior European Medium Term Notes 21/1/2020 87 0.01

€550,000 ENGIE 3.5% Senior European Medium Term Bonds 18/10/2022 506 0.05

€350,000 ENGIE 5.125% Senior European Medium Term Notes 19/2/2018 302 0.03

€150,000 ENGIE 5.75% Guaranteed Senior European Medium Term Bonds 24/6/2023 158 0.02

€50,000 ENGIE 6.875% Guaranteed Senior European Medium Term Bonds 24/1/2019 47 0.00

€300,000 Eni 1.5% European Medium Term Notes 2/2/2026 228 0.02 €600,000 Eni 3.5% Senior European Medium Term Notes

29/1/2018 500 0.05 €250,000 Eni 3.625% European Medium Term Notes 29/1/2029 222 0.02 €400,000 Eni 3.75% Senior European Medium Term Notes

12/9/2025 364 0.03 €400,000 Eni 4% Senior European Medium Term Bonds

29/6/2020 355 0.03 €500,000 Eni 4.75% Senior European Medium Term Notes

14/11/2017 423 0.04 €200,000 EP Energy 4.375% Senior Bonds 1/5/2018 153 0.01 €100,000 Ericsson 5.375% Senior European Medium Term Bonds

27/6/2017 84 0.01 €400,000 Erste Bank 4.25% Guaranteed European Medium Term

Notes 12/4/2016 316 0.03 €200,000 Eurogrid 1.625% European Medium Term Notes

3/11/2023 163 0.02 €100,000 Eurogrid 1.875% Bonds 10/6/2025 82 0.01 €400,000 Eutelsat 2.625% Senior Notes 13/1/2020 336 0.03 €100,000 Eutelsat 4.125% Guaranteed Senior Notes 27/3/2017 82 0.01 €200,000 Eutelsat 5% Guaranteed Senior Notes 14/1/2019 177 0.02 €100,000 Evonik 1.875% Bonds 8/4/2020 84 0.01 €175,000 Evonik Industries 1% European Medium Term Notes

23/1/2023 137 0.01 €125,000 EXOR 2.5% Bonds 8/10/2024 94 0.01 €225,000 Expedia 2.5% Bonds 3/6/2022 169 0.02 €150,000 F Van Lanschot Bankiers 2.875% European Medium

Term Notes 17/10/2016 120 0.01 €100,000 F Van Lanschot Bankiers 3.125% Senior European

Medium Term Notes 5/6/2018 82 0.01 €175,000 FCA Capital Ireland 1.375% European Medium Term

Notes 17/4/2020 135 0.01

€350,000 FCA Capital Ireland 2% European Medium Term Notes 23/10/2019 277 0.03

€150,000 FCA Capital Ireland 2.625% Guaranteed European Medium Term Notes 17/4/2019 121 0.01

€100,000 FCA Capital Ireland 4% Guaranteed European Medium Term Notes 17/10/2018 83 0.01

€750,000 FCE Bank 1.528% European Medium Term Notes 9/11/2020 590 0.06

€100,000 FCE Bank 1.75% Senior European Medium Term Notes 21/5/2018 80 0.01

€750,000 FCE Bank 1.875% European Medium Term Notes 18/4/2019 606 0.06

€200,000 Ferrovial Emisiones 3.375% Guaranteed Notes 30/1/2018 166 0.02

€300,000 Fonciere Des Regions 1.75% Bonds 10/9/2021 234 0.02 €200,000 Gas Natural 2.875% Guaranteed Bonds 11/3/2024 172 0.02 €450,000 Gas Natural 4.375% Guaranteed European Medium

Term Notes 2/11/2016 364 0.03 €250,000 Gas Natural Capital 4.5% European Medium Term

Notes 27/1/2020 225 0.02 €200,000 Gas Natural Capital 5.375% Guaranteed European

Medium Term Notes 24/5/2019 181 0.02 €300,000 Gas Natural Capital Markets 5.625% Guaranteed

European Medium Term Notes 9/2/2017 248 0.02 €300,000 Gas Natural Fenosa Finance 3.5% Guaranteed European

Medium Term Notes 15/4/2021 265 0.03 €100,000 Gas Natural Fenosa Finance 3.875% Guaranteed

European Medium Term Notes 11/4/2022 90 0.01 €200,000 GE 1.875% Bonds 28/5/2027 168 0.02 €100,000 GE 4.125% European Medium Term Notes 19/9/2035 101 0.01 €500,000 GE Capital 0.8% European Medium Term Notes

21/1/2022 396 0.04 €250,000 GE Capital 4.625% European Medium Term Notes

22/2/2027 266 0.03 €600,000 GE Capital European Funding 2.25% Guaranteed

European Medium Term Notes 20/7/2020 510 0.05 €500,000 GE Capital European Funding 2.625% Guaranteed

European Medium Term Bonds 15/3/2023 442 0.04 €300,000 GE Capital European Funding 2.875% Guaranteed

European Medium Term Notes 18/6/2019 257 0.02 €175,000 Geberit International 0.688% Bonds 30/3/2021 139 0.01 €100,000 Gecina 1.5% European Medium Term Notes 20/1/2025 77 0.01





€100,000 Gecina 1.75% Senior European Medium Term Notes 30/7/2021 81 0.01

€100,000 Gecina 2% European Medium Term Notes 17/6/2024 81 0.01 €100,000 Gecina 4.75% Senior European Medium Term Notes

11/4/2019 88 0.01 €200,000 GELF Bond Issuer I 1.75% European Medium Term

Notes 22/11/2021 157 0.02 €150,000 General Mills 1% Bonds 27/4/2023 117 0.01 €200,000 General Mills 1.5% Bonds 27/4/2027 157 0.02 €100,000 General Mills 2.1% Senior Notes 16/11/2020 84 0.01 €100,000 Gerresheimer 5% Notes 19/5/2018 86 0.01 €250,000 GlaxoSmithKline Capital 5.625% European Medium

Term Notes 13/12/2017 216 0.02 €750,000 GlaxoSmithKline Capital 0.625% European Medium

Term Notes 2/12/2019 601 0.06 €400,000 Glencore Finance Dubai 1.75% Guaranteed European

Medium Term Notes 19/5/2016 314 0.03 €100,000 Glencore Finance Europe 1.625% European Medium

Term Notes 18/1/2022 61 0.01 €550,000 Glencore Finance Europe 1.75% European Medium

Term Notes 17/3/2025 307 0.03 €400,000 Glencore Finance Europe 3.375% Guaranteed European

Medium Term Notes 30/9/2020 284 0.03 €150,000 Glencore Finance Europe 4.625% Guaranteed Notes

3/4/2018 118 0.01 €150,000 Glencore Finance Europe 5.25% European Medium Term

Notes 22/3/2017 120 0.01 €100,000 Global Switch 5.5% Guaranteed European Medium Term

Notes 18/4/2018 87 0.01 €100,000 Goldman Sachs 2% European Medium Term Notes

27/7/2023 80 0.01 €200,000 Goldman Sachs 2.625% Senior European Medium Term

Notes 19/8/2020 168 0.02 €500,000 Goldman Sachs 2.875% Senior European Medium Term

Notes 3/6/2026 422 0.04 €150,000 Goldman Sachs 3% European Medium Term Notes

12/2/2031 123 0.01 €250,000 Goldman Sachs 3.25% Senior European Medium Term

Notes 1/2/2023 217 0.02 €1,100,000 Goldman Sachs 4.375% Senior European Medium Term

Notes 16/3/2017 902 0.09

€150,000 Goldman Sachs 4.75% Subordinated Bonds 12/10/2021 135 0.01 €250,000 Goldman Sachs 5.125% Senior European Medium Term

Notes 23/10/2019 227 0.02 €200,000 Grand City Properties 1.5% Bonds 17/4/2025 141 0.01 €200,000 Grand City Properties 2% Bonds 29/10/2021 158 0.02 €250,000 Great-West Lifeco 2.5% Senior Notes 18/4/2023 208 0.02 €100,000 Groupe Auchan 2.375% European Medium Term Notes

12/12/2022 86 0.01 €500,000 Groupe Auchan 3% European Medium Term Notes

2/12/2016 402 0.04 €100,000 Groupe Auchan 3.625% Guaranteed Senior European

Medium Term Notes 19/10/2018 86 0.01 €100,000 Hammerson 2% Senior Notes 1/7/2022 81 0.01 €100,000 Hammerson 2.75% Guaranteed Senior Notes 26/9/2019 84 0.01 €375,000 Harman Finance International SCA 2% Bonds 27/5/2022 285 0.03 €300,000 Heathrow Funding 1.5% European Medium Term Notes

11/2/2030 222 0.02 €100,000 Heathrow Funding 1.875% Senior European Medium

Term Notes 23/5/2024 83 0.01 €100,000 Heathrow Funding 4.6% Guaranteed Senior European

Medium Term Notes 15/2/2020 85 0.01 €300,000 Heineken 1.5% European Medium Term Notes 7/12/2024 241 0.02 €200,000 Heineken 2% European Medium Term Notes 6/4/2021 167 0.02 €250,000 Heineken 2.125% Bonds 4/8/2020 210 0.02 €50,000 Heineken 2.5% Senior European Medium Term Notes

19/3/2019 42 0.00 €150,000 Heineken 3.5% Senior European Medium Term Bonds

19/3/2024 138 0.01 €100,000 Hella 1.25% Senior Notes 7/9/2017 80 0.01 €100,000 Hella 2.375% Guaranteed Senior Notes 24/1/2020 83 0.01 €500,000 HIT Finance 5.75% Guaranteed Bonds 9/3/2018 435 0.04 €400,000 Holcim US Finance 2.625% European Medium Term

Notes 7/9/2020 335 0.03 €200,000 Holding d’Infrastructures de Transport 2.25% Bonds

24/3/2025 162 0.02 €350,000 Holding d’Infrastructures de Transport 4.875%

Guaranteed Bonds 27/10/2021 330 0.03 €225,000 Honeywell International 0.65% Bonds 21/2/2020 176 0.02 €300,000 Honeywell International 1.3% Bonds 22/2/2023 234 0.02 €600,000 HSBC 1.875% Senior European Medium Term Notes

16/1/2020 497 0.05





€250,000 HSBC 3.125% Guaranteed Senior European Medium Term Notes 15/11/2017 207 0.02

€200,000 HSBC 3.875% Senior European Medium Term Notes 24/10/2018 173 0.02

€150,000 HSBC 6% Subordinated European Medium Term Notes 10/6/2019 134 0.01

€1,100,000 HSBC 6.25% Guaranteed Subordinated European Medium Term Notes 19/3/2018 954 0.09

€500,000 HSBC France 1.625% European Medium Term Notes 3/12/2018 408 0.04

€100,000 HSE Netz 6.125% Senior Bonds 23/4/2041 101 0.01 €200,000 Hutchison Whampoa Europe Finance 3.625%

Guaranteed Notes 6/6/2022 180 0.02 €500,000 Hutchison Whampoa Finance 14 1.375% Bonds

31/10/2021 395 0.04 €200,000 Iberdrola Finanzas 4.125% Guaranteed European

Medium Term Notes 23/3/2020 180 0.02 €100,000 Iberdrola International 1.75% European Medium Term

Notes 17/9/2023 81 0.01 €200,000 Iberdrola International 1.875% European Medium Term

Notes 8/10/2024 163 0.02 €400,000 Iberdrola International 2.5% Guaranteed European

Medium Term Notes 24/10/2022 342 0.03 €300,000 Iberdrola International 3.5% Guaranteed European

Medium Term Notes 1/2/2021 267 0.03 €700,000 Iberdrola International 4.5% European Medium Term

Notes 21/9/2017 587 0.06 €500,000 IBM 1.25% Bonds 26/5/2023 400 0.04 €100,000 IBM 1.875% Senior Notes 6/11/2020 84 0.01 €100,000 IBM 2.875% Senior European Medium Term Notes

7/11/2025 89 0.01 €100,000 Icade 1.875% Bonds 14/9/2022 80 0.01 €100,000 Icade 2.25% Senior Notes 16/4/2021 82 0.01 €100,000 Icade 2.25% Senior Notes 30/1/2019 82 0.01 €100,000 Icade 3.375% Senior Notes 29/9/2023 88 0.01 €100,000 ICAP 3.125% Senior European Medium Term Notes

6/3/2019 78 0.01 €200,000 IE2 Holdco 2.375% European Medium Term Notes

27/11/2023 157 0.02 €250,000 Illinois Tool Works 1.75% Senior European Medium Term

Notes 20/5/2022 207 0.02 €300,000 Illinois Tool Works 2.125% Bonds 22/5/2030 241 0.02

€100,000 Imerys 2.5% Senior European Medium Term Notes 26/11/2020 84 0.01

€500,000 Imperial Brands Finance 4.5% Guaranteed European Medium Term Notes 5/7/2018 431 0.04

€200,000 Infra Foch 1.25% Bonds 16/10/2020 160 0.02 €600,000 ING Bank 0.7% European Medium Term Notes 16/4/2020 474 0.05 €300,000 ING Bank 0.75% European Medium Term Notes 22/2/2021 236 0.02 €650,000 ING Bank 1.25% Senior Notes 13/12/2019 525 0.05 €400,000 ING Bank 4.75% Guaranteed Senior European Medium

Term Bonds 31/5/2017 333 0.03 €500,000 ING Bank 4.875% Senior Notes 18/1/2021 472 0.05 €200,000 Inmobiliaria Colonial 2.728% Bonds 5/6/2023 155 0.01 €400,000 Intesa Sanpaolo 1.125% European Medium Term Notes

14/1/2020 315 0.03 €450,000 Intesa Sanpaolo 3% Senior European Medium Term

Notes 28/1/2019 375 0.04 €200,000 Intesa Sanpaolo 4% Guaranteed Senior Notes 8/11/2018 171 0.02 €100,000 Intesa Sanpaolo 4% Senior European Medium Term

Notes 30/10/2023 91 0.01 €900,000 Intesa Sanpaolo 4.375% European Medium Term Notes

15/10/2019 791 0.08 €500,000 Intesa Sanpaolo 4.75% Guaranteed Senior Bonds

15/6/2017 415 0.04 €200,000 Intesa Sanpaolo 5% Guaranteed Senior European Medium

Term Notes 28/2/2017 165 0.02 €350,000 Investor 4.875% Guaranteed Senior European Medium

Term Bonds 18/11/2021 337 0.03 €275,000 ITV 2.125% Bonds 21/9/2022 221 0.02 €200,000 JAB 1.5% Guaranteed Senior Notes 24/11/2021 155 0.01 €200,000 JAB 1.625% Bonds 30/4/2025 144 0.01 €100,000 JAB 2.125% Bonds 16/9/2022 79 0.01 €400,000 Jefferies 2.375% Senior European Medium Term Notes

20/5/2020 295 0.03 €200,000 JP Morgan Chase 1.375% European Medium Term Notes

16/9/2021 161 0.02 €350,000 JP Morgan Chase 1.5% European Medium Term Notes

26/10/2022 281 0.03 €300,000 JP Morgan Chase 2.625% Senior European Medium Term

Notes 23/4/2021 256 0.02 €150,000 JP Morgan Chase 2.75% Guaranteed Senior European






€350,000 JP Morgan Chase 2.75% Senior European Medium Term Notes 24/8/2022 303 0.03

€325,000 JP Morgan Chase 3% Senior European Medium Term Notes 19/2/2026 288 0.03

€600,000 JP Morgan Chase 3.875% Senior European Medium Term Notes 23/9/2020 541 0.05

€300,000 KBC Groep 2.375% European Medium Term Notes 25/11/2024 238 0.02

€100,000 KBC IFMA 4.5% Guaranteed European Medium Term Notes 27/3/2017 82 0.01

€125,000 Kellogg 1.75% Senior European Medium Term Notes 24/5/2021 103 0.01

€400,000 Kering 0.875% European Medium Term Notes 28/3/2022 310 0.03 €100,000 Kering 2.5% Senior European Medium Term Notes

15/7/2020 85 0.01 €150,000 Kerry Financial Services 2.375% Bonds 10/9/2025 126 0.01 €200,000 Kinder Morgan 1.5% Bonds 16/3/2022 139 0.01 €100,000 Klepierre 1% Bonds 17/4/2023 77 0.01 €300,000 Klepierre 2.75% Senior European Medium Term Notes

17/9/2019 255 0.02 €150,000 Klepierre 4% Guaranteed Senior European Medium Term

Notes 13/4/2017 123 0.01 €150,000 KPN 4.25% European Medium Term Notes 1/3/2022 139 0.01 €300,000 KPN 5.625% Medium Term Notes 30/9/2024 309 0.03 €300,000 Lafarge 4.75% European Medium Term Notes 30/9/2020 270 0.03 €300,000 Lafarge 5.5% European Medium Term Notes 16/12/2019 274 0.03 €300,000 Lafarge 6.25% European Medium Term Notes 13/4/2018 258 0.02 €150,000 Lanxess Finance 2.625% European Medium Term Notes

21/11/2022 127 0.01 €150,000 LeasePlan 2.375% Senior European Medium Term Notes

23/4/2019 123 0.01 €200,000 LeasePlan 2.5% Senior European Medium Term Notes

19/9/2016 159 0.02 €150,000 Leeds Building Society 1.375% European Medium Term

Notes 5/5/2022 111 0.01 €100,000 Leeds Building Society 2.625% Senior European Medium

Term Notes 1/4/2021 80 0.01 €100,000 Legrand 4.375% Guaranteed Senior European Medium

Term Notes 21/3/2018 85 0.01 €100,000 Linde 1.75% European Medium Term Notes 17/9/2020 84 0.01 €500,000 Linde Finance 1.75% Guaranteed European Medium

Term Notes 11/6/2019 414 0.04

€200,000 Linde Finance 1.875% Guaranteed European Medium Term Notes 22/5/2024 172 0.02

€100,000 Linde Finance 4.75% Guaranteed European Medium Term Bonds 24/4/2017 83 0.01

€500,000 Lloyds Bank 0.625% European Medium Term Notes 20/4/2020 391 0.04

€125,000 Lloyds Bank 1% European Medium Term Notes 19/11/2021 97 0.01

€350,000 Lloyds Bank 1.25% Senior European Medium Term Bonds 13/1/2025 270 0.03

€1,000,000 Lloyds Bank 1.875% Senior European Medium Term Notes 10/10/2018 819 0.08

€150,000 Lloyds Bank 5.375% Guaranteed Senior European Medium Term Notes 3/9/2019 138 0.01

€200,000 Luxottica 2.625% Guaranteed European Medium Term Notes 10/2/2024 177 0.02

€500,000 LVMH Moet Hennessy Louis Vuitton 1% European Medium Term Notes 24/9/2021 406 0.04

€100,000 LVMH Moet Hennessy Louis Vuitton 1.25% Senior European Medium Term Notes 4/11/2019 82 0.01

€200,000 Macquarie Bank 1.125% European Medium Term Notes 20/1/2022 155 0.01

€600,000 Macquarie Bank 2.5% Senior European Medium Term Notes 18/9/2018 495 0.05

€50,000 Macquarie Bank 6% European Medium Term Bonds 21/9/2020 45 0.00

€100,000 Magna International 1.9% Bonds 24/11/2023 81 0.01 €150,000 Manpowergroup 4.5% Senior Notes 22/6/2018 128 0.01 €125,000 MasterCard 2.1% Bonds 1/12/2027 104 0.01 €200,000 McDonald’s 2% European Medium Term Notes 1/6/2023 167 0.02 €500,000 McDonald’s 2.875% Senior Notes 17/12/2025 444 0.04 €500,000 Mediobanca 0.875% European Medium Term Notes

14/11/2017 395 0.04 €125,000 Mediobanca 2.25% Senior European Medium Term

Notes 18/3/2019 102 0.01 €400,000 Mercialys 1.787% Bonds 31/3/2023 289 0.03 €300,000 Merck 1.875% Bonds 15/10/2026 253 0.02 €100,000 Merck 2.5% Bonds 15/10/2034 89 0.01 €200,000 Merck Financial Services 4.5% Guaranteed European

Medium Term Bonds 24/3/2020 184 0.02 €250,000 Metro 1.375% European Medium Term Notes 28/10/2021 199 0.02 €300,000 Metro 1.5% European Medium Term Notes 19/3/2025 228 0.02





€200,000 Metropolitan Life Global Funding I 2.375% European Medium Term Notes 30/9/2019 167 0.02

€150,000 Metropolitan Life Global Funding I 2.375% European Medium Term Notes 11/1/2023 126 0.01

€250,000 Metso 2.75% European Medium Term Notes 4/10/2019 206 0.02 €300,000 Microsoft 2.125% Senior Notes 6/12/2021 259 0.02 €300,000 Microsoft 3.125% Senior Notes 6/12/2028 286 0.03 €275,000 Mohawk Industries 2% Bonds 14/1/2022 217 0.02 €125,000 Molnlycke 1.5% Bonds 28/2/2022 100 0.01 €150,000 Molnlycke 1.75% Bonds 28/2/2024 120 0.01 €100,000 Mondelez International 1% Bonds 7/3/2022 78 0.01 €200,000 Mondelez International 1.125% Senior Notes 26/1/2017 159 0.02 €175,000 Mondelez International 1.625% Bonds 20/1/2023 140 0.01 €200,000 Mondelez International 1.625% Bonds 8/3/2027 147 0.01 €175,000 Mondelez International 2.375% Bonds 6/3/2035 124 0.01 €200,000 Mondelez International 2.375% Senior Notes 26/1/2021 167 0.02 €400,000 Mondi Finance 3.375% Senior Medium Term Notes

28/9/2020 344 0.03 €400,000 Moody’s 1.75% Bonds 9/3/2027 310 0.03 €525,000 Morgan Stanley 1.75% European Medium Term Notes

30/1/2025 411 0.04 €400,000 Morgan Stanley 2.375% European Medium Term Notes

31/3/2021 333 0.03 €500,000 Morgan Stanley 3.75% Guaranteed European Medium

Term Notes 21/9/2017 415 0.04 €300,000 Morgan Stanley 5.375% Medium Term Notes 10/8/2020 281 0.03 €500,000 Morgan Stanley 6.5% Senior European Medium Term

Notes 28/12/2018 459 0.04 €125,000 Motability Operations 1.625% European Medium Term

Notes 9/6/2023 103 0.01 €350,000 NASDAQ OMX 3.875% Senior Bonds 7/6/2021 306 0.03 €500,000 National Australia Bank 0.875% European Medium Term

Notes 20/1/2022 392 0.04 €250,000 National Australia Bank 2.75% European Medium Term

Notes 8/8/2022 217 0.02 €300,000 National Australia Bank 4% European Medium Term

Bonds 13/7/2020 271 0.03 €150,000 National Australia Bank 4.625% Notes 10/2/2020 133 0.01 €300,000 National Australia Bank 6.75% European Medium Term

Notes 26/6/2023 263 0.03 €200,000 National Grid 0.75% European Medium Term Notes

11/2/2022 156 0.01

€250,000 National Grid 4.375% Senior European Medium Term Notes 10/3/2020 227 0.02

€150,000 National Grid 5% Senior European Medium Term Bonds 2/7/2018 131 0.01

€275,000 Nationwide Building Society 1.125% European Medium Term Notes 3/6/2022 214 0.02

€125,000 Nationwide Building Society 1.25% European Medium Term Notes 3/3/2025 94 0.01

€100,000 Nationwide Building Society 3.125% Senior European Medium Term Notes 3/4/2017 81 0.01

€100,000 Nationwide Building Society 6.75% Guaranteed Subordinated European Medium Term Bonds 22/7/2020 92 0.01

€200,000 NE Property Cooperatief 3.75% Bonds 26/2/2021 155 0.01 €300,000 NEF 1.875% Bonds 16/3/2026 243 0.02 €200,000 Nestlé 1.75% European Medium Term Notes 12/9/2022 172 0.02 €200,000 Nestlé Finance International 1.25% Guaranteed

European Medium Term Notes 4/5/2020 166 0.02 €200,000 NET4GAS 2.5% Senior European Medium Term Notes

Bonds 28/7/2021 160 0.02 €100,000 NN 1% European Medium Term Notes 18/3/2022 77 0.01 €250,000 Nomura Europe Finance 1.125% European Medium Term

Notes 3/6/2020 195 0.02 €600,000 Nomura Europe Finance 1.5% European Medium Term

Notes 12/5/2021 475 0.05 €500,000 Nomura Europe Finance 1.875% Guaranteed European

Medium Term Notes 29/5/2018 405 0.04 €750,000 Nordea Bank 1.125% European Medium Term Notes

12/2/2025 588 0.06 €500,000 Nordea Bank 1.375% Senior European Medium Term

Notes 12/4/2018 404 0.04 €200,000 Nordea Bank 3.25% Senior European Medium Term

Notes 5/7/2022 181 0.02 €150,000 Nordea Bank 4% Subordinated European Medium Term

Bonds 29/3/2021 132 0.01 €100,000 Nordea Bank 4.5% Guaranteed Subordinated European

Medium Term Bonds 26/3/2020 89 0.01 €300,000 Nykredit Realkredit 1.75% Guaranteed European

Medium Term Notes 2/5/2018 243 0.02 €550,000 OMV 0.6% European Medium Term Notes 19/11/2018 435 0.04 €300,000 OMV 2.625% European Medium Term Notes 27/9/2022 253 0.02 €100,000 OMV 4.375% Guaranteed Senior European Medium Term

Notes 10/2/2020 89 0.01





€300,000 Oracle 2.25% Senior European Medium Term Notes 10/1/2021 256 0.02

€100,000 Oracle 3.125% Senior European Medium Term Notes 10/7/2025 92 0.01

€100,000 Orange 1.875% Senior European Medium Term Notes Bonds 3/9/2018 82 0.01

€600,000 Orange 3% European Medium Term Notes 15/6/2022 536 0.05 €100,000 Orange 3.125% Senior European Medium Term Notes

9/1/2024 90 0.01 €400,000 Orange 3.375% European Medium Term Notes

16/9/2022 365 0.03 €300,000 Orange 3.875% Senior European Medium Term Bonds

9/4/2020 268 0.03 €125,000 Orange 4% Perputual European Medium Term Notes 95 0.01 €450,000 Orange 4.75% Guaranteed Senior European Medium

Term Bonds 21/2/2017 370 0.04 €200,000 Orange 8.125% European Medium Term Notes 28/1/2033 272 0.03 €100,000 Origin Energy Finance 2.5% Guaranteed European

Medium Term Notes 23/10/2020 68 0.01 €150,000 Origin Energy Finance 2.875% European Medium Term

Notes 11/10/2019 108 0.01 €200,000 Origin Energy Finance 3.5% Guaranteed Bonds

4/10/2021 136 0.01 €150,000 Orlen Capital 2.5% Notes 30/6/2021 118 0.01 €400,000 Pearson Funding Five 1.875% Guaranteed Bonds

19/5/2021 325 0.03 €200,000 Pentair Finance 2.45% Bonds 17/9/2019 160 0.02 €150,000 PepsiCo 1.75% Senior European Medium Term Notes

28/4/2021 125 0.01 €100,000 PepsiCo 2.625% Senior European Medium Term Notes

28/4/2026 90 0.01 €300,000 Pernod-Ricard 5% Guaranteed Senior Notes 15/3/2017 247 0.02 €150,000 Pfizer 4.55% Guaranteed Senior Bonds 15/5/2017 124 0.01 €300,000 Pfizer 5.75% Bonds 3/6/2021 299 0.03 €100,000 Philip Morris International 1.75% Senior Bonds

19/3/2020 83 0.01 €500,000 Philip Morris International 1.875% Senior European

Medium Term Notes 3/3/2021 418 0.04 €500,000 Philip Morris International 2.125% Senior Notes

30/5/2019 417 0.04 €100,000 Philip Morris International 2.75% Bonds 19/3/2025 89 0.01

€100,000 Philip Morris International 2.875% Senior Bonds 30/5/2024 90 0.01

€100,000 Philip Morris International 3.125% Senior Bonds 3/6/2033 92 0.01

€200,000 PKO Finance 2.324% Senior European Medium Term Notes 23/1/2019 161 0.02

€500,000 Pohjola Bank 0.75% European Medium Term Notes 3/3/2022 391 0.04

€500,000 Pohjola Bank 1.75% European Medium Term Notes 29/8/2018 408 0.04

€300,000 Pohjola Bank 2% Senior European Medium Term Notes 3/3/2021 252 0.02

€100,000 Pohjola Bank 2.625% Senior European Medium Term Notes 20/3/2017 81 0.01

€100,000 Pohjola Bank 3% Guaranteed Senior European Medium Term Notes 8/9/2017 82 0.01

€100,000 PostNL 5.375% Guaranteed Senior Bonds 14/11/2017 85 0.01 €200,000 PPG Industries 1.4% Senior Medium Term Notes

13/3/2027 149 0.01 €200,000 Praxair 1.5% Senior European Medium Term Notes

11/3/2020 164 0.02 €225,000 Priceline 1.8% Bonds 3/3/2027 154 0.01 €525,000 Priceline 2.15% Bonds 25/11/2022 417 0.04 €300,000 Priceline 2.375% Bonds 23/9/2024 231 0.02 €550,000 Procter & Gamble 1.125% Bonds 2/11/2023 445 0.04 €500,000 Procter & Gamble 2% Guaranteed Bonds 5/11/2021 429 0.04 €100,000 Procter & Gamble 2% Guaranteed Senior Notes

16/8/2022 86 0.01 €100,000 Procter & Gamble 4.875% Guaranteed Senior Bonds

11/5/2027 110 0.01 €500,000 Prologis 3% Guaranteed Bonds 2/6/2026 413 0.04 €100,000 Prologis 3.375% Guaranteed Notes 20/2/2024 86 0.01 €150,000 Prologis International Funding II 2.75% Guaranteed

European Medium Term Notes 23/10/2018 124 0.01 €200,000 Prologis International Funding II 2.875% Guaranteed

European Medium Term Notes 4/4/2022 167 0.02 €200,000 Publicis Groupe 1.125% Bonds 16/12/2021 159 0.02 €200,000 Publicis Groupe 1.625% Bonds 16/12/2024 160 0.02 €750,000 Rabobank Nederland 1.75% Senior European Medium

Term Notes 22/1/2019 618 0.06 €850,000 Rabobank Nederland 3.5% European Medium Term

Notes 17/10/2018 729 0.07





€200,000 Rabobank Nederland 3.75% Subordinated European Medium Term Notes 9/11/2020 174 0.02

€500,000 Rabobank Nederland 3.875% Subordinated Notes 25/7/2023 434 0.04

€800,000 Rabobank Nederland 4% Guaranteed Senior European Medium Term Bonds 11/1/2022 749 0.07

€300,000 Rabobank Nederland 4.125% European Medium Term Notes 14/9/2022 263 0.03

€350,000 Rabobank Nederland 4.75% Guaranteed Senior European Medium Term Bonds 15/1/2018 299 0.03

€600,000 Rabobank Nederland 4.75% Guaranteed Senior European Medium Term Bonds 6/6/2022 587 0.06

€300,000 Rabobank Nederland 5.875% Guaranteed Senior Subordinated European Medium Term Notes 20/5/2019 271 0.03

€600,000 RCI Banque 1.375% European Medium Term Notes 17/11/2020 477 0.05

€400,000 RCI Banque 1.75% European Medium Term Notes 6/7/2016 315 0.03

€200,000 RCI Banque 2.875% Senior European Medium Term Notes 22/1/2018 164 0.02

€200,000 RCI Banque 4.25% Senior European Medium Term Notes 27/4/2017 164 0.02

€50,000 Red Electrica de Espana Finance 3.5% Guaranteed Notes 7/10/2016 40 0.00

€300,000 Red Electrica de Espana Finance 3.875% Guaranteed Senior European Medium Term Notes 25/1/2022 277 0.03

€200,000 Red Electrica Financiaciones 1.125% European Medium Term Notes 24/4/2025 154 0.01

€200,000 Red Electrica Financiaciones 4.75% Senior Medium Term Notes 16/2/2018 171 0.02

€175,000 RELX Capital 1.3% Bonds 12/5/2025 137 0.01 €200,000 REN Finance 4.75% Senior European Medium Term

Notes 16/10/2020 177 0.02 €100,000 Rentokil Initial 3.25% Guaranteed European Medium

Term Notes 7/10/2021 87 0.01 €400,000 Repsol 4.375% European Medium Term Notes 20/2/2018 328 0.03 €100,000 Repsol International Finance 2.625% Guaranteed

European Medium Term Notes 28/5/2020 76 0.01 €400,000 Repsol International Finance 3.625% Guaranteed

European Medium Term Notes 7/10/2021 314 0.03 €200,000 Repsol International Finance 4.875% Guaranteed

European Medium Term Notes 19/2/2019 166 0.02

€100,000 Rio Tinto 2% European Medium Term Notes 11/5/2020 81 0.01 €200,000 Rio Tinto 2.875% European Medium Term Bonds

11/12/2024 169 0.02 €250,000 Robert Bosch 5.125% Senior European Medium Term

Notes 12/6/2017 209 0.02 €200,000 Robert Bosch Investment Nederland 1.625% Guaranteed

Senior Notes 24/5/2021 166 0.02 €100,000 Robert Bosch Investment Nederland 2.625% Guaranteed

European Medium Term Notes 24/5/2028 89 0.01 €200,000 Roche 6.5% Guaranteed European Medium Term Bonds

4/3/2021 206 0.02 €400,000 Roche Finance Europe 0.875% European Medium Term

Notes 25/2/2025 321 0.03 €400,000 Roche Finance Europe 2% Guaranteed European

Medium Term Notes 25/6/2018 329 0.03 €100,000 Rolls-Royce 2.125% Guaranteed European Medium Term

Notes 18/6/2021 83 0.01 €400,000 Royal Bank of Scotland 1.5% Senior European Medium

Term Notes 28/11/2016 317 0.03 €200,000 Royal Bank of Scotland 1.625% Senior European Medium



Term Notes 23/3/2020 93 0.01 €100,000 RWE Finance 5.125% Guaranteed European Medium

Term Bonds 23/7/2018 87 0.01 €600,000 RWE Finance 6.5% Guaranteed European Medium Term

Bonds 10/8/2021 591 0.06 €250,000 RWE Finance 6.625% Guaranteed European Medium

Term Bonds 31/1/2019 229 0.02 €650,000 Ryanair 1.125% European Medium Term Notes 10/3/2023 502 0.05 €125,000 Saastopankkien Keskuspankki Suomi 1% European

Medium Term Notes 6/5/2020 98 0.01 €400,000 Saint-Gobain 4% Senior European Medium Term Notes

8/10/2018 344 0.03 €200,000 Saint-Gobain 4.5% European Medium Term Notes

30/9/2019 180 0.02 €125,000 Sampo 1.5% European Medium Term Notes 16/9/2021 99 0.01 €500,000 Sanofi 0.875% European Medium Term Notes 22/9/2021 405 0.04 €200,000 Sanofi 1% European Medium Term Notes 14/11/2017 160 0.02 €500,000 Sanofi 1.75% European Medium Term Notes 10/9/2026 420 0.04





€400,000 Sanofi 1.875% Senior European Medium Term Notes 4/9/2020 338 0.03

€300,000 Santander 4% European Medium Term Notes 24/1/2020 263 0.03 €300,000 Santander Consumer Finance 0.9% Bonds 18/2/2020 232 0.02 €1,000,000 Santander Consumer Finance 1.5% European Medium

Term Notes 12/11/2020 790 0.08 €800,000 Santander Issuances 2.5% Europen Medium Term Notes

18/3/2025 592 0.06 €150,000 SAP 1.125% European Medium Term Notes 20/2/2023 123 0.01 €525,000 SAP 1.75% European Medium Term Notes 22/2/2027 435 0.04 €300,000 Scentre 3.25% European Medium Term Notes 11/9/2023 268 0.03 €250,000 Scentre Management 2.25% European Medium Term

Notes 16/7/2024 207 0.02 €300,000 Schlumberger Finance 0.625% Bonds 12/2/2019 238 0.02 €200,000 Schneider Electric 0.875% European Medium Term

Notes 11/3/2025 154 0.01 €100,000 Schneider Electric 1.5% European Medium Term Notes

8/9/2023 82 0.01 €500,000 Schneider Electric 2.5% Senior European Medium Term

Notes 6/9/2021 434 0.04 €150,000 Schneider Electric 4% Senior European Medium Term

Bonds 11/8/2017 124 0.01 €200,000 Securitas 2.25% Senior European Medium Term Notes

14/3/2018 163 0.02 €100,000 SES 4.625% Guaranteed European Medium Term Bonds

9/3/2020 91 0.01 €142,000 SES 4.75% Guaranteed European Medium Term Bonds

11/3/2021 133 0.01 €300,000 SGSP Australia Assets 2% European Medium Term Notes

30/6/2022 236 0.02 €500,000 Shell International Finance 1.25% European Medium

Term Notes 15/3/2022 400 0.04 €200,000 Shell International Finance 1.625% Guaranteed

European Medium Term Notes 24/3/2021 164 0.02 €500,000 Shell International Finance 1.875% European Medium

Term Notes 15/9/2025 405 0.04 €250,000 Shell International Finance 2.5% Guaranteed European

Medium Term Notes 24/3/2026 212 0.02 €300,000 Shell International Finance 4.375% Guaranteed Bonds

14/5/2018 258 0.02 €500,000 Siemens Financieringsmaatschappij 1.5% Guaranteed


€400,000 Siemens Financieringsmaatschappij 1.75% Guaranteed European Medium Term Notes 12/3/2021 338 0.03

€300,000 Siemens Financieringsmaatschappij 5.625% Guaranteed European Medium Term Notes 11/6/2018 266 0.03

€100,000 Simon Property 2.375% Senior Notes 2/10/2020 84 0.01 €300,000 Skandinaviska Enskilda Banken 0.75% European Medium

Term Notes 24/8/2021 236 0.02 €400,000 Skandinaviska Enskilda Banken 2% Senior European

Medium Term Notes 18/3/2019 330 0.03 €400,000 Skandinaviska Enskilda Banken 2.5% Bonds 28/5/2026 316 0.03 €500,000 Skandinaviska Enskilda Banken 3.875% Senior European

Medium Term Notes 12/4/2017 410 0.04 €100,000 SKF 1.625% Bonds 2/12/2022 79 0.01 €100,000 SKF 2.375% Senior Notes 29/10/2020 83 0.01 €225,000 Smiths 1.25% Bonds 28/4/2023 170 0.02 €100,000 Smiths 4.125% Guaranteed Notes 5/5/2017 82 0.01 €100,000 Snam 2.375% Senior European Medium Term Notes

30/6/2017 81 0.01 €250,000 Snam 3.25% Senior European Medium Term Notes

22/1/2024 227 0.02 €100,000 Snam 3.375% Senior European Medium Term Notes

29/1/2021 88 0.01 €500,000 Snam 3.5% European Medium Term Notes 13/2/2020 437 0.04 €400,000 Snam 3.875% European Medium Term Notes 19/3/2018 338 0.03 €304,000 Snam 5% Senior European Medium Term Notes

18/1/2019 270 0.03 €200,000 Snam 5.25% European Medium Bonds 19/9/2022 200 0.02 €100,000 Societá Iniziative Autostradali e Servizi 3.375% Senior

European Medium Term Notes 13/2/2024 89 0.01 €500,000 Société Des Autoroutes 1.875% European Medium Term

Notes 15/1/2025 415 0.04 €400,000 Société Fonciere Lyonnaise 1.875% Bonds 26/11/2021 316 0.03 €100,000 Societe Fonciere Lyonnaise 2.25% Bonds 16/11/2022 80 0.01 €100,000 Société Générale 0.75% European Medium Term Notes

25/11/2020 79 0.01 €500,000 Société Générale 2.25% Senior European Medium Term

Notes 23/1/2020 420 0.04 €400,000 Société Générale 2.375% European Medium Term Notes

28/2/2018 328 0.03 €300,000 Société Générale 2.625% European Medium Term Notes

27/2/2025 229 0.02





€100,000 Société Générale 3.75% European Medium Term Notes 1/3/2017 81 0.01

€200,000 Société Générale 4% Subordinated European Medium Term Notes 7/6/2023 171 0.02

€150,000 Société Générale 6.125% Subordinated European Medium Term Notes 20/8/2018 133 0.01

€100,000 Sodexo 2.5% Senior Notes 24/6/2026 88 0.01 €100,000 Solvay 2.75% Bonds 2/12/2027 81 0.01 €100,000 SpareBank 2% European Medium Term Notes

14/5/2018 81 0.01 €200,000 SpareBank 2.125% European Medium Term Notes

3/2/2020 165 0.02 €500,000 SpareBank 2.125% European Medium Term Notes

14/4/2021 412 0.04 €100,000 SpareBank 2.125% Senior European Medium Term Notes

21/2/2018 81 0.01 €50,000 SpareBank 3.5% Guaranteed Senior Notes 21/4/2016 39 0.00 €225,000 SSE 1.75% European Medium Term Notes 8/9/2023 182 0.02 €100,000 SSE 2% Senior European Medium Term Notes 17/6/2020 83 0.01 €400,000 Standard Chartered 1.625% European Medium Term

Notes 13/6/2021 306 0.03 €400,000 Standard Chartered 1.75% Senior European Medium

Term Notes 29/10/2017 321 0.03 €300,000 Standard Chartered 3.625% Subordinated European

Medium Term Notes 23/11/2022 212 0.02 €100,000 Standard Chartered 4.125% Senior European Medium

Term Notes 18/1/2019 85 0.01 €250,000 Standard Chartered 5.875% Subordinated European

Medium Term Notes 26/9/2017 207 0.02 €100,000 Suez Environnement 1.75% European Medium Term

Notes 10/9/2025 82 0.01 €100,000 Suez Environnement 2.75% Senior European Medium

Term Notes 9/10/2023 89 0.01 €200,000 Suez Environnement 4.078% Senior European Medium

Term Bonds 17/5/2021 186 0.02 €250,000 Suez Environnement 6.25% European Medium Term

Notes 8/4/2019 233 0.02 €725,000 Sumitomo Mitsui Banking 1% Bonds 19/1/2022 567 0.05 €250,000 Svenska Cellulosa 0.5% European Medium Term Notes

5/3/2020 196 0.02 €150,000 Svenska Cellulosa 1.125% European Medium Term Notes

5/3/2025 116 0.01

€400,000 Svenska Handelsbanken 2.25% Senior European Medium Term Notes 14/6/2018 330 0.03



€250,000 Svenska Handelsbanken 4.375% European Medium Term Bonds 20/10/2021 237 0.02

€150,000 Swedbank 1.5% Senior European Medium Term Notes 18/3/2019 122 0.01

€300,000 Sydney Airport Finance 2.75% Senior European Medium Term Notes 23/4/2024 251 0.02

€100,000 Syngenta Finance 1.25% European Medium Term Notes 10/9/2027 68 0.01

€200,000 Syngenta Finance 1.875% Guaranteed European Medium Term Notes 2/11/2021 158 0.02

€100,000 Talanx 2.5% Senior Notes 23/7/2026 84 0.01 €250,000 TDC 1.75% European Medium Term Notes 27/2/2027 174 0.02 €100,000 TDC 4.375% Guaranteed Senior European Medium Term

Notes 23/2/2018 84 0.01 €600,000 Telefónica Emisiones 1.477% European Medium Term

Notes 14/9/2021 473 0.05 €500,000 Telefonica Emisiones 2.242% Guaranteed European

Medium Term Notes 27/5/2022 406 0.04 €200,000 Telefónica Emisiones 2.736% Guaranteed European

Medium Term Notes 29/5/2019 167 0.02 €300,000 Telefónica Emisiones 2.932% European Medium Term

Notes 17/10/2029 242 0.02 €250,000 Telefónica Emisiones 3.661% Guaranteed European

Medium Term Notes 18/9/2017 207 0.02 €100,000 Telefónica Emisiones 3.961% European Medium Term

Notes 26/3/2021 89 0.01 €500,000 Telefónica Emisiones 3.987% European Medium Term

Bonds 23/1/2023 446 0.04 €400,000 Telefónica Emisiones 4.693% Guaranteed Notes

11/11/2019 358 0.03 €400,000 Telefónica Emisiones 4.797% Guaranteed European

Medium Term Notes 21/2/2018 342 0.03 €100,000 Telekom Finanzmanagement 3.125% Guaranteed

European Medium Term Notes 3/12/2021 88 0.01 €500,000 TeliaSonera 1.375% Senior European Medium Term

Notes 18/2/2019 405 0.04





€175,000 TeliaSonera 1.625% European Medium Term Notes 23/2/2035 118 0.01

€300,000 TeliaSonera 3.625% Senior European Medium Term Notes 14/2/2024 276 0.03

€150,000 TeliaSonera 3.875% Senior European Medium Term Bonds 1/10/2025 142 0.01

€200,000 TeliaSonera 4% Senior European Medium Term Bonds 22/3/2022 185 0.02

€100,000 Telstra 2.5% Guaranteed European Medium Term Notes 15/9/2023 87 0.01

€300,000 Telstra 3.5% Senior European Medium Term Bonds 21/9/2022 276 0.03

€200,000 Telstra 4.25% Guaranteed Senior European Medium Term Bonds 23/3/2020 182 0.02

€600,000 Telstra 4.75% Guaranteed European Medium Term Notes 21/3/2017 495 0.05

€150,000 Teollisuuden Voima 2.125% European Medium Term Notes 4/2/2025 106 0.01

€100,000 Teollisuuden Voima 2.5% Senior European Medium Term Notes 17/3/2021 78 0.01

€100,000 Terna 2.875% European Medium Term Notes 16/2/2018 83 0.01 €250,000 Terna 4.75% European Medium Term Bonds 15/3/2021 236 0.02 €400,000 Terna 4.875% European Medium Term Notes 3/10/2019 365 0.03 €100,000 Terna 4.9% Guaranteed Senior Bonds 28/10/2024 103 0.01 €200,000 Teva Pharmaceutical 1.25% Bonds 31/3/2023 148 0.01 €150,000 Teva Pharmaceutical 2.875% Guaranteed European

Medium Term Notes 15/4/2019 125 0.01 €100,000 Thales 1.625% Senior European Medium Term Notes

20/3/2018 81 0.01 €100,000 Thermo Fisher Scientific 1.5% Bonds 1/12/2020 80 0.01 €200,000 Thermo Fisher Scientific 2% Bonds 15/4/2025 159 0.02 €100,000 Time Warner 1.95% Guaranteed Senior Notes 15/9/2023 81 0.01 €700,000 Total Capital 1.875% European Medium Term Notes

9/7/2020 585 0.06 €50,000 Total Capital 3.125% Guaranteed European Medium

Term Bonds 16/9/2022 45 0.00 €300,000 Total Capital 4.875% Guaranteed European Medium

Term Notes 28/1/2019 268 0.03 €500,000 Total Capital Canada 2.125% European Medium Term

Notes 18/9/2029 408 0.04 €200,000 Total Capital International 1.375% European Medium

Term Notes 19/3/2025 159 0.02

€300,000 Total Capital International 2.5% European Medium Term Notes 25/3/2026 259 0.02

€700,000 Toyota Motor Credit 0.75% European Medium Term Notes 21/7/2022 551 0.05

€600,000 Toyota Motor Credit 1.25% Guaranteed Senior European Medium Term Notes 1/8/2017 479 0.05

€100,000 Toyota Motor Credit 2.375% Guaranteed Senior European Medium Term Notes 1/2/2023 87 0.01

€150,000 Transurban Finance 1.875% European Medium Term Notes 16/9/2024 119 0.01

€250,000 Transurban Finance 2% European Medium Term Notes 28/8/2025 197 0.02

€400,000 Turkiye Garanti Bankasi 3.375% Bonds 8/7/2019 316 0.03 €100,000 TVO 4.625% Senior European Medium Term Notes

4/2/2019 85 0.01 €225,000 Tyco Electronics 1.1% Bonds 1/3/2023 175 0.02 €125,000 Tyco International Finance 1.375% Bonds 25/2/2025 93 0.01 €275,000 UBS 1.125% European Medium Term Notes 30/6/2020 222 0.02 €400,000 UBS 1.25% European Medium Term Notes 3/9/2021 325 0.03 €250,000 UBS Funding Jersey 1.75% Bonds 16/11/2022 195 0.02 €250,000 UBS Group Funding 2.125% Bonds 4/3/2024 196 0.02 €450,000 UBS London 6% Guaranteed Senior European Medium

Term Notes 18/4/2018 398 0.04 €100,000 Unibail-Rodamco 1% European Medium Term Notes

14/3/2025 76 0.01 €300,000 Unibail-Rodamco 2.25% European Medium Term Notes

1/8/2018 247 0.02 €350,000 Unibail-Rodamco 2.375% Senior European Medium Term

Notes 25/2/2021 299 0.03 €200,000 Unibail-Rodamco 2.5% Senior European Medium Term

Notes 12/6/2023 172 0.02 €125,000 Unibail-Rodamco 2.5% Senior European Medium Term

Notes 26/2/2024 108 0.01 €200,000 Unibail-Rodamco 3.875% Guaranteed Senior European

Medium Term Bonds 5/11/2020 183 0.02 €500,000 UniCredit 2.25% Senior European Medium Term Notes

16/12/2016 399 0.04 €400,000 UniCredit 3.25% Senior European Medium Term Notes

14/1/2021 339 0.03 €150,000 UniCredit 3.625% Senior European Medium Term Notes

24/1/2019 127 0.01





€400,000 UniCredit 4.875% European Medium Term Notes 7/3/2017 329 0.03

€500,000 UniCredit Bank Austria 2.5% Senior European Medium Term Notes 27/5/2019 410 0.04

€150,000 Unilever 0.5% Bonds 3/2/2022 119 0.01 €500,000 Unilever 1% European Medium Term Notes 3/6/2023 403 0.04 €100,000 Unilever 1.75% Guaranteed European Medium Term

Notes 5/8/2020 84 0.01 €425,000 Unione di Banche Italiane 2.875% Senior European

Medium Term Notes 18/2/2019 351 0.03 €100,000 United Technologies 1.25% Bonds 22/5/2023 78 0.01 €100,000 United Utilities Water 4.25% Guaranteed Senior European

Medium Term Bonds 24/1/2020 90 0.01 €250,000 Vale 3.75% European Medium Term Bonds 10/1/2023 138 0.01 €100,000 Valeo 3.25% Senior European Medium Term Notes

22/1/2024 90 0.01 €100,000 Valeo 4.875% Guaranteed Senior European Medium

Term Notes 11/5/2018 86 0.01 €300,000 Veolia Environnement 4.247% Senior European Medium


Term Bonds 30/3/2027 103 0.01 €200,000 Veolia Environnement 5.125% Guaranteed Senior

European Medium Term Bonds 24/5/2022 197 0.02 €250,000 Veolia Environnement 6.125% Senior European Medium


Term Notes 24/4/2019 47 0.00 €150,000 Verizon Communications 2.375% Senior European

Medium Term Notes 17/2/2022 127 0.01 €925,000 Verizon Communications 3.25% Senior European

Medium Term Notes 17/2/2026 832 0.08 €125,000 Vienna Insurance 3.75% Bonds 2/3/2046 88 0.01 €400,000 Vier Gas Transport 2% Senior European Medium Term

Notes 12/6/2020 333 0.03 €150,000 Vier Gas Transport 2.875% Senior European Medium

Term Notes 12/6/2025 133 0.01 €100,000 Vinci 3.375% Senior European Medium Term Notes

30/3/2020 88 0.01 €650,000 Vivendi 4% Guaranteed European Medium Term Notes

31/3/2017 532 0.05

456

€275,000 Vodafone 0.875% European Medium Term Notes 17/11/2020 215 0.02




€225,000 Vodafone 2.2% European Medium Term Notes 25/8/2026 177 0.02 €300,000 Vodafone 4.65% Senior European Medium Term Bonds

20/1/2022 280 0.03 €500,000 Vodafone 5% European Medium Term Notes 4/6/2018 435 0.04 €500,000 Volkswagen International Finance 0.875% European

Medium Term Notes 16/1/2023 366 0.04 €250,000 Volkswagen International Finance 1.625% European

Medium Term Notes 16/1/2030 175 0.02 €400,000 Volkswagen International Finance 1.875% Guaranteed

European Medium Term Notes 15/5/2017 319 0.03 €200,000 Volkswagen International Finance 3.25% European

Medium Term Notes 21/1/2019 167 0.02 €600,000 Volkswagen Leasing 2.125% Guaranteed European

Medium Term Notes 4/4/2022 480 0.05 €500,000 Volkswagen Leasing 2.375% Guaranteed European

Medium Term Notes 6/9/2022 404 0.04 €80,000 Volkswagen Leasing 2.625% Guaranteed Bonds

15/1/2024 65 0.01 €300,000 Volkswagen Leasing 3.375% Guaranteed European

Medium Term Notes 3/6/2016 237 0.02 €150,000 Volvo Treasury 2.375% European Medium Term Notes

26/11/2019 125 0.01 €100,000 Vonovia Finance 2.25% European Medium Term Notes

15/12/2023 81 0.01 €500,000 Votorantim Cimentos 3.25% Senior Notes 25/4/2021 266 0.03 €275,000 Walgreens Boots Alliance 2.125% Bonds 20/11/2026 204 0.02 €300,000 Wal-Mart Stores 4.875% Guaranteed Senior Bonds

21/9/2029 334 0.03 €500,000 Wells Fargo 1.125% European Medium Term Notes

29/10/2021 400 0.04 €500,000 Wells Fargo 1.5% European Medium Term Notes

12/9/2022 405 0.04 €150,000 Wells Fargo 1.625% Senior Notes 2/6/2025 120 0.01





€1,000,000 Wells Fargo 2% European Medium Term Notes 27/4/2026 823 0.08

€100,000 Wells Fargo 2.25% Senior European Medium Term Notes 2/5/2023 84 0.01

€800,000 Wells Fargo 2.625% Senior European Medium Term Notes 16/8/2022 692 0.07

€300,000 Wendel 2.75% Bonds 2/10/2024 231 0.02 €200,000 Wendel 4.375% Senior Notes 9/8/2017 164 0.02 €300,000 Wendel 5.875% Senior Notes 17/9/2019 268 0.03 €450,000 Westpac Securities 3.875% Guaranteed European

Medium Term Notes 20/3/2017 368 0.04 €175,000 Whirlpool 0.625% Bonds 12/3/2020 135 0.01 €250,000 Willow No.2 3.375% Senior European Medium Term

Notes 27/6/2022 221 0.02 €100,000 Wolters Kluwer 2.5% Senior Notes 13/5/2024 86 0.01 €100,000 Wolters Kluwer 2.875% Senior Bonds 21/3/2023 88 0.01 €100,000 Wolters Kluwer 6.375% Guaranteed Senior Notes

10/4/2018 89 0.01 €125,000 WP Carey 2% Bonds 20/1/2023 92 0.01 €150,000 WPP Finance 2.25% European Medium Term Notes

22/9/2026 123 0.01 €100,000 WPP Finance 2013 3% Guaranteed European Medium

Term Notes 20/11/2023 89 0.01 €150,000 WPP Finance Deutschland 1.625% European Medium

Term Notes 23/3/2030 109 0.01 €50,000 Wuerth Finance 1.75% Guaranteed European Medium

Term Notes 21/5/2020 42 0.00 €50,000 Wuerth Finance 3.75% Guaranteed Notes 25/5/2018 42 0.00 €100,000 Yorkshire Building Society 2.125% Senior European


214,437 21.05

euro Denominated Variable Rate Corporate Bonds – 1.65%; 2015 1.86% €300,000 Achmea 4.25% Perpetual European Medium Term Notes 200 0.02 €150,000 Achmea 6% Subordinated Floating Rate Notes 4/4/2043 119 0.01 €250,000 Aegon 4% Subordinated Floating Rate European Medium

Term Notes 25/4/2044 181 0.02 €200,000 AG Insurance 3.5% Floating Rate Bonds 30/6/2047 136 0.01 €200,000 Allianz 2.241% Floating Rate Bonds 7/7/2045 146 0.01 €300,000 Allianz 3.375% Perpetual Floating Rate Notes 227 0.02 €500,000 Allianz 4.75% Perpetual Subordinated Floating Rate

European Medium Term Notes 415 0.04

€300,000 Allianz 5.625% Guaranteed Subordinated Floating Rate Bonds 17/10/2042 274 0.03

€300,000 Allianz Finance 5.75% Guaranteed Floating Rate European Medium Term Bonds 8/7/2041 271 0.03

€350,000 America Movil 5.125% Variable Subordinate Notes 6/9/2073 280 0.03

€200,000 America Movil 6.375% Subordinated Floating Rate Notes 6/9/2073 161 0.02

€200,000 Aquarius Plus Investments 4.25% Floating Rate European Medium Term Notes 2/10/2043 165 0.02

€200,000 ASR Nederland 5% Perpetual Bonds 149 0.01 €100,000 Assicurazioni Generali 10.125% Floating Rate European

Medium Term Bonds 10/7/2042 98 0.01 €175,000 Assicurazioni Generali 5.5% Floating Rate European

Medium Term Notes 17/10/2047 134 0.01 €200,000 Assicurazioni Generali 7.75% Subordinated Floating Rate

European Medium Term Bonds 12/12/2042 180 0.02 €100,000 Aviva 6.125% Subordinated Floating Rate European

Medium Term Notes 5/7/2043 86 0.01 €150,000 Aviva 6.875% Subordinated Floating Rate European

Medium Term Bonds 22/5/2038 126 0.01 €325,000 AXA 3.875% Perpetual Subordinated Floating Rate

European Medium Term Notes 249 0.02 €300,000 AXA 3.941% Perpetual European Medium Term Notes 231 0.02 €350,000 AXA 5.125% Subordinated Floating Rate European

Medium Term Notes 4/7/2043 310 0.03 €350,000 AXA 5.25% Guaranteed Subordinated Floating Rate

European Medium Term Bonds 16/4/2040 301 0.03 €300,000 Bayer 2.375% Floating Rate Bonds 2/4/2075 220 0.02 €350,000 Bayer 3% Subordinated Floating Rate European Medium

Term Notes 1/7/2075 275 0.03 €300,000 Bayer 3.75% Subordinated Floating Rate Notes 1/7/2074 234 0.02 €500,000 BBVA Subordinated Capital 3.5% Guaranteed Floating

Rate Notes 11/4/2024 398 0.04 €200,000 Bertelsmann 3% Floating Rate Bonds 23/4/2075 142 0.01 €200,000 Bertelsmann 3.5% Floating Rate European Medium

Term Notes 23/4/2075 131 0.01 €500,000 BNP Paribas 2.875% Subordinated Floating Rate

European Medium Term Notes 20/3/2026 396 0.04 €150,000 BNP Paribas 5.019% Perpetual Floating Rate Notes 119 0.01 €50,000 BNP Paribas 7.781% Perpetual Subordinated Floating

Rate Notes 43 0.00





€200,000 BNP Paribas Cardif 4.032% Perpetual Bonds 143 0.01 €400,000 Citigroup 4.25% Guaranteed Subordinated Floating

Rate European Medium Term Bonds 25/2/2030 358 0.03 €300,000 Cloverie Swiss Reins 6.625% Subordinated Floating

Rate European Medium Term Bonds 1/9/2042 295 0.03 €300,000 CNP Assurances 4.25% Subordinated Floating Rate

Notes 5/6/2045 215 0.02 €300,000 CNP Assurances 6% Guaranteed Subordinated Floating

Rate European Medium Term Bonds 14/9/2040 249 0.02 €200,000 Crédit Agricole Assurances 4.25% Perpetual Bonds 142 0.01 €300,000 Crédit Agricole Assurances 4.5% Perpetual Bonds 213 0.02 €100,000 Danica Pension Livsforsikringsaktieselskab 4.375%

Floating Rate Bonds 29/9/2045 75 0.01 €250,000 Danske Bank 2.75% Subordinated Floating Rate

European Medium Term Notes 19/5/2026 200 0.02 €100,000 Danske Bank 3.875% Subordinated Floating Rate Notes

4/10/2023 83 0.01 €100,000 Delta Lloyd 9% Guaranteed Subordinated Floating Rate

Bonds 29/8/2042 82 0.01 €100,000 Demeter Investments 4.375% Perpetual Bonds 73 0.01 €200,000 Deutsche Annington Finance 4% Perpetual Variable Rate

Bonds 147 0.01 €100,000 DNB Bank 3% Subordinated Floating Rate European

Medium Term Notes 26/9/2023 80 0.01 €100,000 DNB Bank 4.75% Floating Rate European Medium Term

Notes 8/3/2022 81 0.01 €100,000 ELM 5.849% Guaranteed Perpetual Floating Rate Notes 81 0.01 €200,000 ENGIE 3% Perpetual Subordinated Floating Rate Notes 156 0.01 €100,000 ENGIE 3.875% Perpetual Subordinated Floating Rate

Notes 80 0.01 €200,000 ENGIE 3.875% Perpetual Subordinated Variable Rate

Notes 154 0.01 €100,000 ENGIE 4.75% Perpetual Subordinated Floating Rate

Notes 82 0.01 €100,000 Hannover Finance 5.75% Guaranteed Floating Rate

Notes 14/9/2040 91 0.01 €300,000 Hannover Rueck 3.375% Perpetual Bonds 230 0.02 €500,000 Hutchison Whampoa Europe Finance 13 3.75%

Guaranteed Perpetual Floating Rate Notes 389 0.04 €400,000 ING Bank 3.5% Subordinated Floating Rate European


€300,000 ING Bank 3.625% Subordinated Floating Rate European Medium Term Notes 25/2/2026 249 0.02

€100,000 Intesa Sanpaolo Vita 4.75% Perpetual Variable Rate Bonds 72 0.01 €250,000 La Mondiale 5.05% Perpetual Bonds 183 0.02 €175,000 Merck 2.625% Variable Rate Bonds 12/12/2074 133 0.01 €200,000 Merck 3.375% Variable Rate Bonds 12/12/2074 152 0.01 €300,000 Munich Re 5.767% Guaranteed Subordinated Perpetual

Floating Rate Bonds 246 0.02 €100,000 Munich Re 6% Floating Rate Bonds 26/5/2041 92 0.01 €300,000 Munich Re 6.25% Subordinated Floating Rate European

Medium Term Bonds 26/5/2042 286 0.03 €400,000 Nationwide Building Society 4.125% Floating Rate Notes

20/3/2023 325 0.03 €400,000 NGG Finance 4.25% Guaranteed Floating Rate Bonds

18/6/2076 314 0.03 €200,000 NN 4.5% Perpetual Subordinated Floating Rate Notes 145 0.01 €250,000 NN 4.625% Subordinated Floating Rate Notes 8/4/2044 194 0.02 €300,000 Nordea Bank 4.625% Subordinated Floating Rate

European Medium Term Notes 15/2/2022 244 0.02 €200,000 OMV 5.25% Perpetual Bonds 145 0.01 €150,000 OMV 6.25% Perpetual Bonds 110 0.01 €100,000 OMV 6.75% Guaranteed Perpetual Subordinated

Floating Rate European Medium Term Bonds 79 0.01 €300,000 Orange 4.25% Perpetual Bonds 235 0.02 €125,000 Orange 5% Perpetual Floating Rate European Medium

Term Notes 94 0.01 €400,000 Orange 5.25% Perpetual Subordinated Floating Rate

Notes 314 0.03 €600,000 Rabobank Nederland 2.5% Subordinated Floating Rate

Notes 26/5/2026 474 0.05 €300,000 Sogecap 4.125% Perpetual Variable Rate Bonds 211 0.02 €100,000 SSE 2.375% Perpetual Bonds 70 0.01 €500,000 Standard Chartered 4% Subordinated Floating Rate

European Medium Term Notes 21/10/2025 354 0.03 €100,000 Suez Environnement 2.5% Floating Rate Bonds Perpetual 73 0.01 €200,000 Suez Environnement 3% Perpetual Subordinated

Floating Rate Notes 154 0.01 €300,000 Svenska Handelsbanken 2.656% Subordinated Floating

Rate Notes 15/1/2024 243 0.02 €100,000 Swedbank 3% Variable Rate European Medium Term

Notes 5/12/2022 81 0.01





€100,000 Talanx Finance 8.3673% Guaranteed Floating Rate European Medium Term Bonds 15/6/2042 96 0.01

€475,000 Total 2.25% European Medium Term Notes Perpetual 344 0.03 €450,000 Total 2.625% Perpetual Floating Rate Notes 309 0.03 €200,000 UNIQA Insurance 6.875% Subordinated Floating Rate

European Medium Term Notes 31/7/2043 153 0.01 €200,000 Volkswagen International 2.5% Subordinated Perpetual

Bonds 128 0.01 €200,000 Volkswagen International Finance 3.5% Perpetual Notes 122 0.01 €300,000 Volkswagen International Finance 3.75% Guaranteed

Perpetual Floating Rate Notes 213 0.02 €150,000 Volkswagen International Finance 3.875% Guaranteed



Perpetual Floating Rate Notes 155 0.01

17,647 1.65

JApANeSe YeN – 2.19%; 2015 2.27%

Japanese Yen Denominated Fixed Rate Corporate Bonds – 0.60%; 2015 0.64% ¥285,000,000 Bank Nederlandse Gemeenten 1.85% Guaranteed

Senior European Medium Term Bonds 7/11/2016 1,845 0.18 ¥100,000,000 Citigroup 2.38% Bonds 22/6/2017 657 0.06 ¥105,000,000 KFW 2.6% Guaranteed Bonds 20/6/2037 986 0.09 ¥100,000,000 Posco 1.35% Senior Notes 11/12/2018 648 0.06 ¥100,000,000 Rabobank Nederland 0.434% Bonds 22/5/2019 645 0.06 ¥240,000,000 Rabobank Nederland 1.85% Guaranteed Senior


6,346 0.60

Japanese Yen Denominated Fixed Rate Government Bonds – 1.56%; 2015 1.60% ¥310,000,000 Japan (Government) 0.2% Bonds 20/12/2017 1,997 0.19 ¥150,000,000 Japan (Government) 0.6% Bonds 20/3/2024 1,019 0.10 ¥400,000,000 Japan (Government) 1% Bonds 20/9/2020 2,700 0.26 ¥100,000,000 Japan (Government) 1.1% Bonds 20/9/2021 686 0.07 ¥200,000,000 Japan (Government) 1.4% Bonds 20/9/2019 1,353 0.13 ¥400,000,000 Japan (Government) 1.5% Bonds 20/12/2017 2,636 0.25 ¥150,000,000 Japan (Government) 1.5% Bonds 20/6/2018 997 0.10 ¥210,000,000 Japan (Government) 1.7% Bonds 20/12/2016 1,362 0.13

¥150,000,000 Japan (Government) 1.9% Bonds 20/6/2017 985 0.09 ¥320,000,000 Japan Finance Organization for Municipalities 1.9%

Guaranteed Notes 22/6/2018 2,142 0.21 ¥50,000,000 Japan Finance Organization for Municipalities 2%


16,198 1.56

Japanese Yen Denominated Variable Rate Corporate Bonds – 0.03%; 2015 0.03% ¥50,000,000 GE Capital 2% Senior Bonds 22/2/2017 325 0.03

NeW ZeALAND DoLLAR – 0.02%; 2015 0.02%

New Zealand Dollar Denominated Fixed Rate Corporate Bonds – 0.02%; 2015 0.02% NZ$350,000 Citigroup 6.25% Senior Bonds 29/6/2017 173 0.02

SINGApoRe DoLLAR – 0.02%; 2015 0.02%

Singapore Dollar Denominated Variable Rate Corporate Bonds – 0.02%; 2015 0.02% SG$250,000 DBS Bank 3.3% Subordinated Floating Rate Notes

21/2/2022 129 0.01 SG$250,000 United Overseas Bank 3.15% Subordinated Floating Rate


258 0.02

SWISS FRANC – 0.64%; 2015 0.78%

Swiss Franc Denominated Fixed Rate Corporate Bonds – 0.59%; 2015 0.75% CHF 300,000 ABB 2.25% Senior Bonds 11/10/2021 243 0.02 CHF 300,000 Adecco 1.875% Senior Bonds 18/12/2017 224 0.02 CHF 525,000 Amgen 0.41% Bonds 8/3/2023 379 0.04 CHF 800,000 Apple 0.375% Bonds 25/11/2024 594 0.06 CHF 200,000 AT&T 1.375% Bonds 4/12/2024 156 0.01 CHF 200,000 BAT International Finance 0.625% European Medium

Term Notes 8/9/2021 149 0.01 CHF 150,000 Deutsche Bank 0.625% European Medium Term Notes

19/12/2023 104 0.01 CHF 200,000 GE Capital 1.625% Bonds 19/10/2017 149 0.01 CHF 300,000 GE Capital 2.25% Guaranteed Senior Notes 19/12/2016 221 0.02 CHF 350,000 Glencore Finance Europe 1.25% European Medium Term

Notes 1/12/2020 207 0.02 CHF 400,000 LafargeHolcim 3% Bonds 22/11/2022 332 0.03 CHF 225,000 LGT Bank 1.5% Senior Notes 10/5/2021 174 0.02 CHF 300,000 Macquarie Bank 2.125% Senior European Medium Term

Notes 29/11/2018 228 0.02





CHF 600,000 National Australia Bank 1% Senior European Medium Term Notes 17/4/2020 456 0.04

CHF 300,000 New York Life Global 0.375% European Medium Term Notes 2/2/2022 224 0.02

CHF 400,000 Nordea Bank 1.125% European Medium Term Notes 2/10/2020 308 0.03

CHF 300,000 Nordea Bank 1.5% Senior European Medium Term Notes 29/9/2017 222 0.02

CHF 400,000 Novartis 0.625% Bonds 13/11/2029 301 0.03 CHF 200,000 Philip Morris International 2% Bonds 6/12/2021 160 0.02 CHF 295,000 Rabobank Nederland 1.125% Bonds 8/4/2021 226 0.02 CHF 300,000 Rabobank Nederland 3.625% Senior European Medium

Term Notes 2/7/2019 244 0.02 CHF 300,000 Roche Kapitalmarkt 4.5% Guaranteed Notes 23/3/2017 228 0.02 CHF 250,000 Royal Bank of Canada 0.75% Senior European Medium

Term Notes 23/10/2018 186 0.02 CHF 450,000 Teva Pharmaceutical 1.5% Guaranteed Notes 25/10/2018 336 0.03 CHF 350,000 Toyota Motor Credit 2.875% European Medium Term

Bonds 20/9/2016 257 0.02 CHF 200,000 Zurich Insurance 1.5% European Medium Term Notes

25/6/2019 152 0.01

6,460 0.59

Swiss Franc Denominated Variable Rate Corporate Bonds – 0.05%; 2015 0.03% CHF 100,000 Allianz SE 3.25% Perpetual European Medium Term

Notes 74 0.01 CHF 400,000 GE Capital 2.875% Senior Floating Rate Bonds 27/2/2017 298 0.03 CHF 200,000 Rabobank Nederland 5.5% Perpetual Subordinated

Floating Rate Notes 155 0.01

527 0.05

US DoLLAR – 70.27%; 2015 68.36%

US Dollar Denominated Fixed Rate Corporate Bonds – 69.57%; 2015 67.28% $250,000 21st Century Fox America 4.5% Bonds 15/2/2021 196 0.02 $300,000 21st Century Fox America 4.75% Bonds 15/9/2044 202 0.02 $300,000 21st Century Fox America 4.95% Bonds 15/10/2045 209 0.02 $300,000 21st Century Fox America 5.4% Guaranteed Notes 1/10/2043 215 0.02 $250,000 21st Century Fox America 6.15% Bonds 1/3/2037 191 0.02 $150,000 21st Century Fox America 6.15% Bonds 15/2/2041 116 0.01 $450,000 21st Century Fox America 6.2% Bonds 15/12/2034 358 0.03 $400,000 21st Century Fox America 6.55% Bonds 15/3/2033 325 0.03 $350,000 21st Century Fox America 6.9% Bonds 1/3/2019 287 0.03 $150,000 21st Century Fox America 6.9% Bonds 15/8/2039 122 0.01

$250,000 3M 2% Notes 26/6/2022 179 0.02 $350,000 3M 3.875% Medium Term Notes 15/6/2044 257 0.02 $200,000 ABB Finance USA 4.375% Guaranteed Bonds 8/5/2042 151 0.01 $500,000 ABB Treasury Center 4% Senior European Medium Term

Notes 15/6/2021 385 0.04 $400,000 ABB Treasury Center USA 2.5% Senior Notes 15/6/2016 290 0.03 $300,000 Abbey National Treasury Services 4% Bonds 13/3/2024 230 0.02 $450,000 Abbey National Treasury Services 4% Guaranteed Notes

27/4/2016 326 0.03 $500,000 Abbott Laboratories 2.95% Bonds 15/3/2025 358 0.03 $264,000 Abbott Laboratories 5.125% Senior Bonds 1/4/2019 207 0.02 $250,000 Abbott Laboratories 5.3% Guaranteed Senior Bonds

27/5/2040 207 0.02 $1,350,000 AbbVie 1.75% Senior Bonds 6/11/2017 973 0.09 $700,000 AbbVie 2% Senior Bonds 6/11/2018 504 0.05 $800,000 AbbVie 2.5% Notes 14/5/2020 578 0.06 $200,000 AbbVie 2.9% Senior Notes 6/11/2022 143 0.01 $800,000 AbbVie 3.6% Notes 14/5/2025 587 0.06 $600,000 AbbVie 4.4% Senior Bonds 6/11/2042 413 0.04 $1,200,000 AbbVie 4.5% Bonds 14/5/2035 860 0.08 $200,000 Abengoa Transmision Sur 6.875% Senior Notes

30/4/2043 142 0.01 $1,250,000 ABN AMRO 2.5% Senior Notes 30/10/2018 911 0.09 $300,000 ABN AMRO 4.75% Bonds 28/7/2025 210 0.02 $100,000 ACE 3.35% Bonds 3/5/2026 74 0.01 $400,000 ACE 4.35% Bonds 3/11/2045 302 0.03 $150,000 ACE INA 2.3% Bonds 3/11/2020 109 0.01 $500,000 ACE INA 2.7% Bonds 13/3/2023 357 0.03 $500,000 ACE INA 2.875% Bonds 3/11/2022 366 0.04 $200,000 ACE INA 4.15% Guaranteed Bonds 13/3/2043 145 0.01 $150,000 ACE INA 5.8% Guaranteed Bonds 15/3/2018 117 0.01 $500,000 Actavis Funding 1.875% Guaranteed Senior Notes

1/10/2017 361 0.03 $500,000 Actavis Funding 2.35% Bonds 12/3/2018 363 0.03 $1,000,000 Actavis Funding 3% Bonds 12/3/2020 733 0.07 $750,000 Actavis Funding 3.45% Bonds 15/3/2022 550 0.05 $700,000 Actavis Funding 3.8% Bonds 15/3/2025 519 0.05 $500,000 Actavis Funding 3.85% Bonds 15/6/2024 372 0.04 $1,000,000 Actavis Funding 4.55% Guaranteed Senior Bonds

15/3/2035 721 0.07 $200,000 Actavis Funding 4.625% Guaranteed Senior Bonds

1/10/2042 142 0.01





$300,000 Actavis Funding SCS 4.85% Bonds 15/6/2044 221 0.02 $500,000 Adobe Systems 3.25% Bonds 1/2/2025 359 0.03 $300,000 Advance Auto Parts 5.75% Guaranteed Bonds 1/5/2020 236 0.02 $400,000 Aetna 2.75% Senior Notes 15/11/2022 281 0.03 $150,000 Aetna 4.75% Bonds 15/3/2044 110 0.01 $150,000 Aetna 6.625% Guaranteed Senior Bonds 15/6/2036 134 0.01 $150,000 Aetna 6.75% Senior Bonds 15/12/2037 133 0.01 $500,000 Aflac 3.625% Bonds 15/11/2024 375 0.04 $150,000 Aflac 6.45% Guaranteed Senior Bonds 15/8/2040 134 0.01 $400,000 AGL Capital 5.875% Guaranteed Bonds 15/3/2041 328 0.03 $500,000 Agrium 4.125% Bonds 15/3/2035 284 0.03 $250,000 Agrium 4.9% Senior Bonds 1/6/2043 154 0.01 $100,000 Agrium 6.125% Senior Bonds 15/1/2041 71 0.01 $200,000 AIA 1.75% Senior European Medium Term Notes

13/3/2018 144 0.01 $300,000 AIA 4.875% Senior Notes 11/3/2044 236 0.02 $700,000 AIG 4.875% Senior Notes 1/6/2022 537 0.05 $100,000 AIG 6.25% Subordinated Debentures 15/3/2087 75 0.01 $500,000 Air Lease 3.75% Bonds 1/2/2022 335 0.03 $750,000 Air Lease 5.625% Senior Notes 1/4/2017 555 0.05 $250,000 Air Products & Chemicals 3% Senior Bonds 3/11/2021 185 0.02 $300,000 Airbus Finance 2.7% Bonds 17/4/2023 218 0.02 $400,000 Airvessel Finance 3.25% Notes 11/8/2019 295 0.03 $300,000 Akbank 5% Guaranteed Senior Notes 24/10/2022 211 0.02 $200,000 Alabama Power 3.75% Bonds 1/3/2045 137 0.01 $150,000 Alabama Power 3.85% Guaranteed Senior Bonds

1/12/2042 104 0.01 $300,000 Alabama Power 4.15% Bonds 15/8/2044 220 0.02 $150,000 Alabama Power 4.3% Bonds 2/1/2046 113 0.01 $300,000 Alabama Power 6.125% Senior Bonds 15/5/2038 270 0.03 $750,000 Alexandria Real Estate Equities 2.75% Bonds 15/1/2020 538 0.05 $400,000 Alfa 5.25% Senior Notes 25/3/2024 291 0.03 $1,000,000 Alibaba 2.5% Bonds 28/11/2019 720 0.07 $450,000 Alibaba 3.125% Bonds 28/11/2021 324 0.03 $400,000 Alibaba 4.5% Bonds 28/11/2034 286 0.03 $200,000 Alleghany 4.95% Senior Bonds 27/6/2022 158 0.02 $500,000 Allergan 3.375% Senior Notes 15/9/2020 369 0.04 $500,000 Allstate 4.5% Senior Notes 15/6/2043 377 0.04 $400,000 Altera 2.5% Senior Notes 15/11/2018 295 0.03 $1,000,000 Altria 2.625% Bonds 14/1/2020 733 0.07 $600,000 Altria 2.95% Bonds 2/5/2023 436 0.04 $250,000 Altria 4.25% Bonds 9/8/2042 172 0.02

$600,000 Altria 5.375% Guaranteed Bonds 31/1/2044 485 0.05 $66,000 Altria 9.25% Guaranteed Bonds 6/8/2019 58 0.01 $113,000 Altria 9.95% Guaranteed Bonds 10/11/2038 132 0.01 $500,000 Amazon 1.2% Guaranteed Senior Notes 29/11/2017 360 0.03 $350,000 Amazon 3.3% Bonds 5/12/2021 265 0.03 $400,000 Amazon 4.8% Bonds 5/12/2034 312 0.03 $350,000 Amazon 4.95% Bonds 5/12/2044 278 0.03 $500,000 Ameren 3.65% Bonds 15/2/2026 373 0.04 $500,000 Ameren Illinois 3.25% Bonds 1/3/2025 375 0.04 $250,000 America Movil 2.375% Guaranteed Notes 8/9/2016 181 0.02 $300,000 America Movil 3.125% Notes 16/7/2022 215 0.02 $200,000 America Movil 4.375% Senior Bonds 16/7/2042 131 0.01 $500,000 America Movil 6.125% Guaranteed Bonds 30/3/2040 400 0.04 $250,000 America Movil 6.375% Guaranteed Bonds 1/3/2035 202 0.02 $672,126 American Airlines 2013-2 Class A Pass Through Trust

4.95% Notes 15/7/2024 511 0.05 $500,000 American Airlines 2015-2 Class AA Pass Through Trust

3.6% Bonds 22/9/2027 365 0.03 $300,000 American Electric Power 2.95% Senior Bonds 15/12/2022 216 0.02 $500,000 American Express 1.55% Senior Notes 22/5/2018 357 0.03 $400,000 American Express 2.65% Bonds 2/12/2022 279 0.03 $202,000 American Express 4.05% Senior Bonds 3/12/2042 140 0.01 $500,000 American Express 6.15% Guaranteed Senior Bonds

28/8/2017 384 0.04 $750,000 American Express Credit 1.3% Senior Notes 29/7/2016 542 0.05 $1,250,000 American Express Credit 1.55% Medium Term Notes

22/9/2017 900 0.09 $500,000 American Express Credit 2.125% Senior Notes 18/3/2019 360 0.03 $300,000 American Express Credit 2.375% Medium Term Notes

26/5/2020 216 0.02 $400,000 American Express FSB 6% Senior Bonds 13/9/2017 308 0.03 $600,000 American Honda Finance 1.5% Bonds 11/9/2017 434 0.04 $500,000 American Honda Finance 1.6% Senior Bonds 16/2/2018 361 0.03 $750,000 American Honda Finance 2.25% Medium Term Notes

15/8/2019 548 0.05 $500,000 American Honda Finance 2.6% Senior Notes 20/9/2016 365 0.03 $500,000 American International 2.3% Senior Notes 16/7/2019 358 0.03 $500,000 American International 4.5% Senior Notes 16/7/2044 315 0.03 $300,000 American International 4.8% Bonds 10/7/2045 197 0.02 $900,000 American International 6.4% Bonds 15/12/2020 740 0.07 $750,000 American Tower 3.45% Bonds 15/9/2021 540 0.05





$200,000 American Tower 3.5% Guaranteed Senior Bonds 31/1/2023 142 0.01

$250,000 American Tower 4.5% Guaranteed Senior Notes 15/1/2018 188 0.02 $250,000 American Tower 4.7% Senior Bonds 15/3/2022 190 0.02 $500,000 American Tower 5% Senior Notes 15/2/2024 384 0.04 $300,000 American Transmission Systems 5% Bonds 1/9/2044 217 0.02 $500,000 American Water Capital 3.4% Bonds 1/3/2025 379 0.04 $350,000 American Water Capital 4.3% Senior Notes 1/12/2042 264 0.03 $500,000 Ameriprise Financial 4% Bonds 15/10/2023 382 0.04 $200,000 Ameriprise Financial 5.3% Senior Bonds 15/3/2020 161 0.02 $500,000 AmerisourceBergen 3.25% Bonds 1/3/2025 359 0.03 $300,000 AmerisourceBergen 3.5% Guaranteed Bonds 15/11/2021 224 0.02 $350,000 Amgen 2.125% Senior Notes 15/5/2017 255 0.02 $1,000,000 Amgen 2.2% Senior Notes 22/5/2019 730 0.07 $500,000 Amgen 3.125% Bonds 1/5/2025 356 0.03 $750,000 Amgen 3.45% Senior Notes 1/10/2020 563 0.05 $400,000 Amgen 3.875% Senior Bonds 15/11/2021 308 0.03 $600,000 Amgen 4.4% Notes 1/5/2045 412 0.04 $250,000 Amgen 4.95% Senior Notes 1/10/2041 179 0.02 $300,000 Amgen 5.15% Senior Bonds 15/11/2041 222 0.02 $200,000 Amgen 5.65% Guaranteed Senior Bonds 15/6/2042 158 0.02 $350,000 Amgen 6.4% Guaranteed Senior Bonds 1/2/2039 298 0.03 $200,000 Amgen 6.9% Senior Bonds 1/6/2038 180 0.02 $500,000 Amphenol 2.55% Senior Notes 30/1/2019 363 0.03 $300,000 Anadarko Petroleum 3.45% Bonds 15/7/2024 173 0.02 $200,000 Anadarko Petroleum 4.5% Senior Notes 15/7/2044 98 0.01 $300,000 Anadarko Petroleum 6.375% Guaranteed Senior Notes

15/9/2017 219 0.02 $650,000 Anadarko Petroleum 6.45% Senior Bonds 15/9/2036 392 0.04 $200,000 Anadarko Petroleum 6.95% Senior Bonds 15/6/2019 145 0.01 $500,000 Analog Devices 3.9% Bonds 15/12/2025 379 0.04 $500,000 Anglo American Capital 2.625% Guaranteed Notes

27/9/2017 339 0.03 $550,000 Anglo American Capital 4.875% Bonds 14/5/2025 287 0.03 $1,000,000 Anheuser-Busch InBev 1.25% Guaranteed Bonds

17/1/2018 720 0.07 $300,000 Anheuser-Busch InBev 3.75% Bonds 15/7/2042 196 0.02 $400,000 Anheuser-Busch InBev 4% Guaranteed Bonds

17/1/2043 270 0.03 $350,000 Anheuser-Busch InBev 4.625% Guaranteed Notes

1/2/2044 262 0.03 $800,000 Anheuser-Busch InBev 5.375% Senior Notes 15/1/2020 643 0.06

$300,000 Anheuser-Busch InBev 6.45% Guaranteed Bonds 1/9/2037 266 0.03

$500,000 Anheuser-Busch InBev 6.875% Guaranteed Notes 15/11/2019 421 0.04

$250,000 Anheuser-Busch InBev 7.75% Guaranteed Notes 15/1/2019 209 0.02

$200,000 Anheuser-Busch InBev 8.2% Guaranteed Bonds 15/1/2039 213 0.02

$700,000 Anheuser-Busch InBev Finance 1.9% Bonds 1/2/2019 509 0.05 $500,000 Anheuser-Busch InBev Finance 2.625% Bonds 17/1/2023 357 0.03 $2,200,000 Anheuser-Busch InBev Finance 2.65% Bonds 1/2/2021 1,609 0.16 $1,100,000 Anheuser-Busch InBev Finance 3.3% Bonds 1/2/2023 812 0.08 $2,500,000 Anheuser-Busch InBev Finance 3.65% Bonds 1/2/2026 1,855 0.18 $1,025,000 Anheuser-Busch InBev Finance 4.7% Bonds 1/2/2036 773 0.07 $2,000,000 Anheuser-Busch InBev Finance 4.9% Bonds 1/2/2046 1,550 0.15 $400,000 Anthem 3.7% Bonds 15/8/2021 298 0.03 $200,000 Anthem 4.35% Senior Bonds 15/8/2020 154 0.01 $400,000 Anthem 5.1% Bonds 15/1/2044 287 0.03 $150,000 Anthem 6.375% Senior Bonds 15/6/2037 125 0.01 $400,000 ANZ 2.6% Bonds 23/9/2019 291 0.03 $300,000 ANZ New Zealand 2.85% Bonds 6/8/2020 221 0.02 $300,000 Aon 4.6% Guaranteed Bonds 14/6/2044 204 0.02 $250,000 Aon 5% Guaranteed Senior Bonds 30/9/2020 199 0.02 $150,000 Aon 6.25% Guaranteed Senior Bonds 30/9/2040 120 0.01 $400,000 AP Moeller-Maersk 3.875% Bonds 28/9/2025 268 0.03 $650,000 Apache 3.25% Senior Bonds 15/4/2022 407 0.04 $450,000 Apache 4.75% Senior Bonds 15/4/2043 246 0.02 $150,000 Apache 5.1% Senior Bonds 1/9/2040 79 0.01 $450,000 Apache 5.25% Senior Bonds 1/2/2042 254 0.02 $300,000 Apollo Management 4% Guaranteed Bonds 30/5/2024 221 0.02 $250,000 Appalachian Power 4.6% Senior Bonds 30/3/2021 195 0.02 $300,000 Appalachian Power 7% Bonds 1/4/2038 275 0.03 $1,250,000 Apple 1% Senior European Medium Term Notes 3/5/2018 900 0.09 $500,000 Apple 2% Bonds 6/5/2020 364 0.03 $700,000 Apple 2.1% Bonds 6/5/2019 516 0.05 $200,000 Apple 2.15% Bonds 9/2/2022 143 0.01 $1,000,000 Apple 2.4% Bonds 3/5/2023 714 0.07 $300,000 Apple 2.5% Bonds 9/2/2025 212 0.02 $500,000 Apple 2.85% Bonds 6/5/2021 374 0.04 $1,400,000 Apple 3.2% Notes 13/5/2025 1,042 0.10 $400,000 Apple 3.45% Bonds 9/2/2045 241 0.02 $700,000 Apple 3.45% Senior Notes 6/5/2024 532 0.05





$500,000 Apple 3.85% Bonds 4/5/2043 333 0.03 $200,000 Apple 4.375% Notes 13/5/2045 143 0.01 $300,000 Apple 4.45% Senior Notes 6/5/2044 218 0.02 $500,000 Apple 4.5% Bonds 23/2/2036 376 0.04 $350,000 Apple 4.65% Bonds 23/2/2046 264 0.03 $300,000 Applied Materials 5.1% Bonds 1/10/2035 227 0.02 $150,000 Applied Materials 5.85% Senior Bonds 15/6/2041 120 0.01 $400,000 APT Pipelines 5% Bonds 23/3/2035 265 0.03 $250,000 Arch Capital US 5.144% Guaranteed Notes 1/11/2043 185 0.02 $200,000 Archer Daniels Midland 4.016% Senior Bonds 16/4/2043 140 0.01 $750,000 Archer Daniels Midland 4.479% Bonds 1/3/2021 591 0.06 $100,000 Archer Daniels Midland 4.535% Senior Bonds 26/3/2042 75 0.01 $124,000 Archer Daniels Midland 5.45% Guaranteed Senior Bonds

15/3/2018 96 0.01 $200,000 Arizona Public Service 4.5% Senior Bonds 1/4/2042 155 0.01 $150,000 Arrow Electronics 4% Bonds 1/4/2025 108 0.01 $200,000 Asciano Finance 5% Guaranteed Notes 7/4/2018 146 0.01 $400,000 Assurant 2.5% Senior Bonds 15/3/2018 289 0.03 $300,000 Assured Guaranty US 5% Notes 1/7/2024 228 0.02 $200,000 AstraZeneca 1.95% Guaranteed Senior Notes 18/9/2019 144 0.01 $1,250,000 AstraZeneca 2.375% Bonds 16/11/2020 905 0.09 $500,000 AstraZeneca 3.375% Bonds 16/11/2025 365 0.03 $50,000 AstraZeneca 4.375% Bonds 16/11/2045 36 0.00 $300,000 AstraZeneca 5.9% Senior Bonds 15/9/2017 231 0.02 $600,000 AstraZeneca 6.45% Senior Bonds 15/9/2037 552 0.05 $400,000 AT&T 2.375% Bonds 27/11/2018 291 0.03 $900,000 AT&T 2.4% Senior Notes 15/8/2016 654 0.06 $1,500,000 AT&T 2.45% Bonds 30/6/2020 1,074 0.10 $200,000 AT&T 2.8% Bonds 17/2/2021 145 0.01 $1,200,000 AT&T 3% Bonds 15/2/2022 862 0.08 $450,000 AT&T 3% Bonds 30/6/2022 320 0.03 $1,000,000 AT&T 3.4% Bonds 15/5/2025 704 0.07 $500,000 AT&T 4.125% Bonds 17/2/2026 370 0.04 $600,000 AT&T 4.3% Senior Bonds 15/12/2042 368 0.04 $650,000 AT&T 4.35% Senior Bonds 15/6/2045 395 0.04 $250,000 AT&T 4.45% Guaranteed Senior Bonds 15/5/2021 193 0.02 $1,750,000 AT&T 4.5% Bonds 15/5/2035 1,161 0.11 $350,000 AT&T 4.8% Senior Notes 15/6/2044 230 0.02 $850,000 AT&T 5.35% Guaranteed Senior Bonds 1/9/2040 590 0.06 $500,000 AT&T 5.5% Guaranteed Senior Bonds 1/2/2018 385 0.04 $250,000 AT&T 5.55% Senior Bonds 15/8/2041 177 0.02 $150,000 AT&T 5.65% Bonds 15/2/2047 111 0.01

$350,000 AT&T 6.3% Senior Bonds 15/1/2038 270 0.03 $350,000 AT&T 6.5% Guaranteed Senior Bonds 1/9/2037 280 0.03 $200,000 Atmos Energy 4.125% Bonds 15/10/2044 145 0.01 $100,000 Atmos Energy 5.5% Guaranteed Senior Bonds 15/6/2041 85 0.01 $1,000,000 Australia & New Zealand Banking 2% Bonds 16/11/2018 724 0.07 $1,250,000 Australia & New Zealand Banking 2.25% Senior Notes

13/6/2019 908 0.09 $550,000 Australia & New Zealand Banking 3.25% Guaranteed

Senior Notes 1/3/2016 397 0.04 $300,000 Australia & New Zealand Banking 3.7% Bonds 16/11/2025 229 0.02 $100,000 Australia & New Zealand Banking 4.875% Senior Bonds

12/1/2021 80 0.01 $500,000 Autodesk 3.6% Bonds 15/12/2022 352 0.03 $500,000 AutoZone 1.3% Senior Notes 13/1/2017 361 0.03 $100,000 AutoZone 3.7% Senior Notes 15/4/2022 75 0.01 $500,000 AvalonBay Communities 2.95% Bonds 15/9/2022 360 0.03 $100,000 AvalonBay Communities 3.45% Bonds 1/6/2025 74 0.01 $500,000 Axis Bank 5.125% European Medium Term Notes 5/9/2017 375 0.04 $500,000 Azure Orbit II International Finance 3.375% Guaranteed

European Medium Term Notes 25/4/2019 369 0.04 $300,000 BAE Systems 3.5% Senior Notes 11/10/2016 219 0.02 $300,000 BAE Systems 4.75% Bonds 7/10/2044 220 0.02 $200,000 BAE Systems 5.8% Senior Bonds 11/10/2041 164 0.02 $100,000 BAE Systems 6.375% Guaranteed Notes 1/6/2019 81 0.01 $400,000 Baidu 2.75% Bonds 9/6/2019 289 0.03 $500,000 Baidu 3.25% Senior Notes 6/8/2018 368 0.04 $350,000 Baker Hughes 5.125% Guaranteed Senior Bonds

15/9/2040 221 0.02 $250,000 Baker Hughes 7.5% Senior Bonds 15/11/2018 199 0.02 $300,000 Banco Bilbao Vizcaya Argentaria 3% Bonds 20/10/2020 212 0.02 $328,000 Banco de Credito del Peru 4.25% Senior Bonds 1/4/2023 236 0.02 $400,000 Banco Inbursa SA Institucion de Banca Multiple 4.125%

Bonds 6/6/2024 273 0.03 $250,000 Banco Santander 4.125% Guaranteed Senior Notes

9/11/2022 180 0.02 $150,000 Bancolombia 5.95% Senior Notes 3/6/2021 113 0.01 $400,000 Bangkok Bank 3.875% Senior Bonds 27/9/2022 305 0.03 $200,000 Bangkok Bank (HK) 4.8% Senior Bonds 18/10/2020 157 0.02 $800,000 Bank of America 2% Guaranteed Senior Notes 11/1/2018 575 0.05 $1,000,000 Bank of America 2.25% Bonds 21/4/2020 706 0.07 $1,600,000 Bank of America 2.6% Senior Notes 15/1/2019 1,158 0.11 $1,000,000 Bank of America 2.625% Medium Term Notes 19/10/2020 715 0.07





$500,000 Bank of America 3.3% Senior Bonds 11/1/2023 360 0.03 $400,000 Bank of America 3.625% Guaranteed Senior Notes

17/3/2016 289 0.03 $600,000 Bank of America 4% Medium Term Notes 22/1/2025 421 0.04 $600,000 Bank of America 4% Notes 1/4/2024 447 0.04 $500,000 Bank of America 4.1% Senior Notes 24/7/2023 375 0.04 $500,000 Bank of America 4.125% Senior Notes 22/1/2024 376 0.04 $900,000 Bank of America 4.2% Medium Term Notes 26/8/2024 647 0.06 $250,000 Bank of America 4.75% Medium Term Notes 21/4/2045 164 0.02 $600,000 Bank of America 4.875% Senior Notes 1/4/2044 450 0.04 $750,000 Bank of America 5% Senior Notes 21/1/2044 574 0.05 $350,000 Bank of America 5.3% Subordinated Bonds 15/3/2017 261 0.03 $300,000 Bank of America 5.49% Subordinated Bonds 15/3/2019 236 0.02 $500,000 Bank of America 5.625% Guaranteed Senior Notes

14/10/2016 370 0.04 $450,000 Bank of America 5.625% Senior Bonds 1/7/2020 360 0.03 $1,500,000 Bank of America 5.65% Guaranteed Senior Notes

1/5/2018 1,158 0.11 $150,000 Bank of America 5.7% Senior Bonds 24/1/2022 122 0.01 $400,000 Bank of America 5.75% Senior Notes 1/12/2017 306 0.03 $250,000 Bank of America 5.875% Senior Bonds 7/2/2042 209 0.02 $400,000 Bank of America 6% Subordinated Notes 15/10/2036 340 0.03 $600,000 Bank of America 6.05% Subordinated Bonds 16/5/2016 437 0.04 $150,000 Bank of America 6.11% Subordinated Bonds 29/1/2037 116 0.01 $350,000 Bank of America 6.22% Guaranteed Subordinated Bonds

15/9/2026 286 0.03 $1,900,000 Bank of America 6.5% Guaranteed Senior Notes 1/8/2016 1,401 0.13 $500,000 Bank of America 6.875% Bonds 15/11/2018 402 0.04 $750,000 Bank of America 6.875% Senior Medium Term Notes

25/4/2018 591 0.06 $300,000 Bank of America 7.625% Senior Notes 1/6/2019 249 0.02 $400,000 Bank of America 7.75% Subordinated Bonds 14/5/2038 371 0.04 $400,000 Bank of Communications 4.5% Bonds 3/10/2024 295 0.03 $400,000 Bank of East Asia 2.375% Senior European Medium

Term Notes 24/4/2017 290 0.03 $750,000 Bank of Montreal 1.8% Medium Term Notes 31/7/2018 542 0.05 $800,000 Bank of Montreal 2.375% Medium Term Notes 25/1/2019 584 0.06 $550,000 Bank of Montreal 2.5% Senior Notes 11/1/2017 402 0.04 $400,000 Bank of Montreal 2.55% Senior Bonds 6/11/2022 287 0.03 $400,000 Bank of New York Mellon 1.3% Guaranteed Senior Notes

25/1/2018 288 0.03 $750,000 Bank of New York Mellon 2.1% Senior Notes 15/1/2019 545 0.05

$400,000 Bank of New York Mellon 2.15% Bonds 24/2/2020 290 0.03 $600,000 Bank of New York Mellon 2.2% Bonds 15/5/2019 435 0.04 $500,000 Bank of New York Mellon 2.5% Bonds 15/4/2021 362 0.03 $350,000 Bank of New York Mellon 2.6% Medium Term Notes

17/8/2020 256 0.02 $400,000 Bank of New York Mellon 3% Medium Term Notes

24/2/2025 289 0.03 $200,000 Bank of New York Mellon 3.55% Senior Bonds 23/9/2021 152 0.01 $1,000,000 Bank of Nova Scotia 1.3% Bonds 21/7/2017 720 0.07 $500,000 Bank of Nova Scotia 1.375% Senior Notes 18/12/2017 360 0.03 $400,000 Bank of Nova Scotia 1.45% Senior Bonds 25/4/2018 288 0.03 $500,000 Bank of Nova Scotia 2.05% Senior Notes 30/10/2018 362 0.03 $200,000 Bank of Nova Scotia 4.375% Guaranteed Senior Bonds

13/1/2021 157 0.02 $250,000 Bank of Nova Scotia 4.5% Bonds 16/12/2025 176 0.02 $500,000 Bank of Tokyo-Mitsubishi 1.7% Bonds 5/3/2018 359 0.03 $1,000,000 Bank of Tokyo-Mitsubishi 2.3% Bonds 5/3/2020 716 0.07 $800,000 Bank of Tokyo-Mitsubishi 2.35% Senior Notes 23/2/2017 582 0.06 $500,000 Bank of Tokyo-Mitsubishi 3.75% Senior Notes 10/3/2024 376 0.04 $750,000 Banque Fédérative du Crédit Mutuel 2.5% Senior Notes

29/10/2018 546 0.05 $200,000 Barclays 10.179% Subordinated Notes 12/6/2021 186 0.02 $200,000 Barclays 2.5% Bonds 20/2/2019 145 0.01 $500,000 Barclays 2.75% Senior Medium Term Notes 8/11/2019 355 0.03 $450,000 Barclays 3.75% Senior Notes 15/5/2024 337 0.03 $750,000 Barclays 4.375% Bonds 12/1/2026 522 0.05 $250,000 Barclays 5% Senior Notes 22/9/2016 184 0.02 $250,000 Barclays 5.125% Guaranteed Senior Notes 8/1/2020 197 0.02 $400,000 Barclays 5.14% Guaranteed Subordinated Bonds

14/10/2020 310 0.03 $500,000 Barclays 5.25% Senior Notes 17/8/2045 345 0.03 $500,000 Barclays 6.05% Bonds 4/12/2017 382 0.04 $150,000 Barrick Australia Finance 5.95% Guaranteed Bonds

15/10/2039 87 0.01 $126,000 Barrick Gold 4.1% Senior Notes 1/5/2023 85 0.01 $350,000 Barrick Gold 5.25% Senior Bonds 1/4/2042 196 0.02 $650,000 Barrick North America Finance 4.4% Guaranteed Notes

30/5/2021 459 0.04 $250,000 Barrick North America Finance 5.75% Guaranteed Bonds

1/5/2043 148 0.01 $400,000 BAT International Finance 3.95% Bonds 15/6/2025 308 0.03





$300,000 BAT International Finance 9.5% Guaranteed Senior Notes 15/11/2018 258 0.02

$400,000 Baxalta 2.875% Bonds 23/6/2020 282 0.03 $175,000 Baxalta 3.6% Bonds 23/6/2022 125 0.01 $225,000 Baxalta 5.25% Bonds 23/6/2045 150 0.01 $800,000 Baxter International 1.85% Senior Notes 15/1/2017 580 0.06 $1,000,000 Bayer US Finance 3% Bonds 8/10/2021 741 0.07 $500,000 Bayer US Finance 3.375% Bonds 8/10/2024 375 0.04 $400,000 BB&T 2.15% Senior Notes 22/3/2017 291 0.03 $200,000 BB&T 5.25% Guaranteed Subordinated Bonds 1/11/2019 158 0.02 $250,000 BBVA 6.75% Guaranteed Subordinated Bonds 30/9/2022 193 0.02 $400,000 BBVA Banco Continental 3.25% Senior Bonds 8/4/2018 291 0.03 $750,000 Becton Dickinson 1.8% Bonds 15/12/2017 542 0.05 $300,000 Becton Dickinson 3.125% Senior Bonds 8/11/2021 221 0.02 $500,000 Becton Dickinson 3.875% Bonds 15/5/2024 374 0.04 $300,000 Becton Dickinson 4.685% Bonds 15/12/2044 222 0.02 $400,000 Bed Bath & Beyond 4.915% Senior Notes 1/8/2034 245 0.02 $500,000 Berkshire Hathaway 1.55% Senior Notes 9/2/2018 363 0.03 $400,000 Berkshire Hathaway 4.5% Bonds 11/2/2043 290 0.03 $400,000 Berkshire Hathaway Energy 5.15% Senior Notes

15/11/2043 317 0.03 $100,000 Berkshire Hathaway Energy 5.75% Senior Notes 1/4/2018 78 0.01 $300,000 Berkshire Hathaway Energy 5.95% Guaranteed Senior

Bonds 15/5/2037 253 0.02 $250,000 Berkshire Hathaway Energy 6.125% Guaranteed Senior

Bonds 1/4/2036 216 0.02 $250,000 Berkshire Hathaway Energy 6.5% Senior Notes 15/9/2037 223 0.02 $400,000 Berkshire Hathaway Finance 1.3% Guaranteed Bonds

15/5/2018 289 0.03 $300,000 Berkshire Hathaway Finance 1.9% Senior Notes 31/1/2017 219 0.02 $250,000 Berkshire Hathaway Finance 2.2% Senior Notes 15/8/2016 182 0.02 $250,000 Berkshire Hathaway Finance 4.25% Guaranteed Bonds

15/1/2021 199 0.02 $250,000 Berkshire Hathaway Finance 4.3% Guaranteed Bonds

15/5/2043 178 0.02 $200,000 Berkshire Hathaway Finance 5.4% Guaranteed Notes

15/5/2018 157 0.02 $200,000 Berkshire Hathaway Finance 5.75% Guaranteed Bonds

15/1/2040 170 0.02 $900,000 BG Energy Capital 4% Guaranteed Bonds 15/10/2021 650 0.06 $250,000 Bharti Airtel International Netherlands 5.125%


$500,000 Bharti Airtel International Netherlands 5.35% Guaranteed Bonds 20/5/2024 380 0.04

$200,000 BHP Billiton Finance 1.875% Guaranteed Notes 21/11/2016 145 0.01

$200,000 BHP Billiton Finance 3.25% Guaranteed Bonds 21/11/2021 142 0.01

$250,000 BHP Billiton Finance 4.125% Guaranteed Bonds 24/2/2042 152 0.01

$200,000 BHP Billiton Finance 6.25% Bonds 19/10/2075 140 0.01 $150,000 BHP Billiton Finance 6.5% Guaranteed Bonds 1/4/2019 118 0.01 $300,000 BHP Billiton Finance 6.75% Bonds 19/10/2075 209 0.02 $750,000 BHP Billiton Finance USA 2.05% Bonds 30/9/2018 532 0.05 $500,000 BHP Billiton Finance USA 3.85% Guaranteed Bonds

30/9/2023 359 0.03 $500,000 BHP Billiton Finance USA 5% Guaranteed Bonds

30/9/2043 345 0.03 $150,000 BHP Billiton Finance USA 5.4% Guaranteed Bonds

29/3/2017 112 0.01 $300,000 Bimbo 4.875% Guaranteed Bonds 30/6/2020 231 0.02 $125,000 Biogen 2.9% Bonds 15/9/2020 91 0.01 $750,000 Biogen 3.625% Bonds 15/9/2022 559 0.05 $250,000 Biogen 4.05% Bonds 15/9/2025 186 0.02 $300,000 Biogen 5.2% Bonds 15/9/2045 220 0.02 $500,000 BlackRock 3.375% Senior Notes 1/6/2022* 380 0.04 $250,000 BlackRock 5% Guaranteed Senior Notes 10/12/2019* 201 0.02 $350,000 Blackstone Finance 4.75% Guaranteed Bonds

15/2/2023 271 0.03 $500,000 Block Financial 5.25% Bonds 1/10/2025 383 0.04 $750,000 BNP Paribas 1.375% Medium Term Notes 17/3/2017 541 0.05 $400,000 BNP Paribas 3.25% Senior Notes 3/3/2023 294 0.03 $400,000 BNP Paribas 4.375% Bonds 28/9/2025 276 0.03 $850,000 BNP Paribas 5% Guaranteed Notes 15/1/2021 681 0.07 $500,000 BNZ International 2.35% Bonds 4/3/2019 360 0.03 $400,000 Boardwalk Pipelines 3.375% Guaranteed Bonds

1/2/2023 226 0.02 $500,000 Boeing 0.95% Bonds 15/5/2018 358 0.03 $75,000 Boeing 2.6% Bonds 30/10/2025 53 0.01 $200,000 Boeing 4.875% Guaranteed Senior Bonds 15/2/2020 160 0.02 $150,000 Boeing 5.875% Senior Bonds 15/2/2040 137 0.01 $300,000 Boeing 6.875% Senior Notes 15/3/2039 303 0.03 $500,000 BorgWarner 3.375% Bonds 15/3/2025 344 0.03 $200,000 Boston Gas Company 4.487% Senior Bonds 15/2/2042 144 0.01





$400,000 Boston Properties 3.85% Senior Bonds 1/2/2023 298 0.03 $1,000,000 Boston Properties 4.125% Guaranteed Senior Bonds

15/5/2021 763 0.07 $500,000 Boston Scientific 2.85% Bonds 15/5/2020 363 0.03 $600,000 Boston Scientific 4.125% Senior Notes 1/10/2023 447 0.04 $500,000 BP Capital Markets 1.375% Guaranteed Notes 6/11/2017 357 0.03 $500,000 BP Capital Markets 1.846% Guaranteed Notes 5/5/2017 361 0.03 $600,000 BP Capital Markets 2.315% Bonds 13/2/2020 423 0.04 $350,000 BP Capital Markets 2.5% Bonds 6/11/2022 235 0.02 $900,000 BP Capital Markets 3.245% Guaranteed Notes 6/5/2022 632 0.06 $500,000 BP Capital Markets 3.535% Bonds 4/11/2024 344 0.03 $400,000 BP Capital Markets 3.561% Guaranteed Bonds 1/11/2021 290 0.03 $500,000 BP Capital Markets 3.994% Guaranteed Bonds 26/9/2023 365 0.03 $300,000 BP Capital Markets 4.742% Guaranteed Bonds 11/3/2021 231 0.02 $750,000 BP Capital Markets 4.75% Guaranteed Bonds 10/3/2019 569 0.05 $500,000 BPCE 2.5% Guaranteed Bonds 10/12/2018 363 0.03 $500,000 BPCE 4.5% Bonds 15/3/2025 340 0.03 $400,000 BPCE 4.625% Subordinated Notes 11/7/2024 271 0.03 $400,000 BPCE 5.15% Subordinated Notes 21/7/2024 283 0.03 $300,000 BPCE 5.7% Subordinated Notes 22/10/2023 222 0.02 $1,100,000 Branch Banking & Trust 2.3% Senior Notes 15/10/2018 803 0.08 $500,000 Branch Banking & Trust 3.8% Bonds 30/10/2026 377 0.04 $250,000 Braskem Finance 5.375% Guaranteed Notes 2/5/2022 157 0.02 $250,000 Braskem Finance 5.75% Guaranteed Bonds 15/4/2021 164 0.02 $300,000 Braskem Finance 6.45% Guaranteed Notes 3/2/2024 194 0.02 $300,000 BRF 4.75% Senior Notes 22/5/2024 196 0.02 $500,000 Bristol-Myers Squibb 0.875% Guaranteed Bonds

1/8/2017 360 0.03 $300,000 Bristol-Myers Squibb 4.5% Senior Notes 1/3/2044 240 0.02 $100,000 Bristol-Myers Squibb 6.125% Guaranteed Senior Bonds

1/5/2038 95 0.01 $200,000 British Sky Broadcasting 3.125% Guaranteed Notes

26/11/2022 143 0.01 $225,000 British Sky Broadcasting 3.75% Bonds 16/9/2024 160 0.02 $150,000 British Sky Broadcasting 6.1% Guaranteed Bonds

15/2/2018 116 0.01 $500,000 British Telecom 9.625% Senior Bonds 15/12/2030 516 0.05 $500,000 British Telecommunications 5.95% Senior Bonds

15/1/2018 389 0.04 $300,000 Brixmor Operating Partnership 3.875% Bonds 15/8/2022 201 0.02 $300,000 Buckeye Partners 5.85% Senior Notes 15/11/2043 160 0.02 $300,000 Bunge Finance 3.5% Bonds 24/11/2020 218 0.02

$300,000 Bunge Finance 4.1% Guaranteed Notes 15/3/2016 217 0.02 $500,000 Burlington Northern Santa Fe 3% Senior Notes

15/3/2023 365 0.03 $200,000 Burlington Northern Santa Fe 3.45% Senior Bonds

15/9/2021 152 0.01 $250,000 Burlington Northern Santa Fe 4.375% Bonds 1/9/2042 180 0.02 $800,000 Burlington Northern Santa Fe 4.4% Senior Notes


1/10/2019 394 0.04 $300,000 Burlington Northern Santa Fe 4.9% Senior Notes


15/9/2041 154 0.01 $650,000 Burlington Northern Santa Fe 6.15% Guaranteed Senior

Bonds 1/5/2037 570 0.05 $200,000 Burlington Resources Finance 7.2% Guaranteed Bonds

15/8/2031 153 0.01 $250,000 CA 3.6% Bonds 1/8/2020 185 0.02 $500,000 Caisse Centrale Desjardins 1.55% Bonds 12/9/2017 359 0.03 $250,000 Campbell Soup 4.25% Senior Bonds 15/4/2021 194 0.02 $200,000 Canadian National Railway 2.85% Senior Bonds

15/12/2021 148 0.01 $250,000 Canadian National Railway 5.55% Guaranteed Senior

Bonds 15/5/2018 195 0.02 $250,000 Canadian National Railway 6.2% Senior Notes 1/6/2036 232 0.02 $400,000 Canadian National Resources 6.25% Guaranteed Senior

Bonds 15/3/2038 211 0.02 $150,000 Canadian Natural Resources 3.45% Senior Notes

15/11/2021 87 0.01 $200,000 Canadian Natural Resources 7.2% Guaranteed Senior

Bonds 15/1/2032 119 0.01 $150,000 Canadian Oil Sands 6% Senior Bonds 1/4/2042 86 0.01 $100,000 Canadian Pacific 7.125% Guaranteed Senior Bonds

15/10/2031 93 0.01 $500,000 Canadian Pacific Railway 4.8% Bonds 15/9/2035 364 0.03 $500,000 Capital One 1.5% Senior Notes 22/3/2018 355 0.03 $500,000 Capital One 2.35% Bonds 17/8/2018 359 0.03 $750,000 Capital One 2.95% Senior Notes 23/7/2021 536 0.05 $700,000 Capital One 3.15% Senior Notes 15/7/2016 509 0.05 $600,000 Capital One Financial 3.2% Bonds 5/2/2025 413 0.04 $500,000 Capital One USA 2.25% Senior Notes 13/2/2019 358 0.03





$300,000 Capital One USA 3.375% Subordinated Notes 15/2/2023 210 0.02 $225,000 Cardinal Health 1.95% Bonds 15/6/2018 162 0.02 $300,000 Cardinal Health 3.2% Senior Bonds 15/3/2023 219 0.02 $275,000 Cardinal Health 3.75% Bonds 15/9/2025 206 0.02 $250,000 Cardinal Health 4.9% Bonds 15/9/2045 188 0.02 $750,000 Cargill 1.9% Senior Notes 1/3/2017 544 0.05 $250,000 Cargill 3.25% Senior Bonds 15/11/2021 185 0.02 $300,000 Cargill 4.307% Senior Notes 14/5/2021 237 0.02 $196,000 Cargill 4.76% Bonds 23/11/2045 151 0.01 $150,000 Carlyle II Finance 5.625% Senior Bonds 30/3/2043 114 0.01 $400,000 Carnival 3.95% Guaranteed Bonds 15/10/2020 304 0.03 $500,000 Caterpillar 2.6% Senior Notes 26/6/2022 362 0.03 $459,000 Caterpillar 3.803% Bonds 15/8/2042 297 0.03 $400,000 Caterpillar 3.9% Senior Bonds 27/5/2021 308 0.03 $400,000 Caterpillar 4.75% Senior Notes 15/5/2064 279 0.03 $750,000 Caterpillar Financial Services 1% Medium Term Notes

3/3/2017 541 0.05 $1,000,000 Caterpillar Financial Services 1.25% Medium Term

Notes 18/8/2017 721 0.07 $500,000 Caterpillar Financial Services 2.05% Senior Notes

1/8/2016 363 0.03 $250,000 Caterpillar Financial Services 7.15% Guaranteed Senior

Bonds 15/2/2019 207 0.02 $500,000 Catholic Health Initiatives 2.95% Bonds 1/11/2022 362 0.03 $200,000 CBL & Associates 4.6% Bonds 15/10/2024 132 0.01 $300,000 CBQ Finance 3.375% Guaranteed European Medium

Term Notes 11/4/2017 219 0.02 $500,000 CBRE Services 4.875% Bonds 1/3/2026 359 0.03 $500,000 CBS 3.375% Guaranteed Notes 1/3/2022 358 0.03 $400,000 CBS 3.7% Bonds 15/8/2024 286 0.03 $400,000 CBS 4.6% Bonds 15/1/2045 250 0.02 $200,000 CBS 4.85% Guaranteed Bonds 1/7/2042 127 0.01 $1,000,000 CCO Safari II 3.579% Bonds 23/7/2020 721 0.07 $1,250,000 CCO Safari II 4.908% Bonds 23/7/2025 921 0.09 $400,000 CCO Safari II 6.384% Bonds 23/10/2035 296 0.03 $550,000 CCO Safari II 6.484% Bonds 23/10/2045 414 0.04 $200,000 CCO Safari II 6.834% Bonds 23/10/2055 144 0.01 $500,000 Celgene 1.9% Guaranteed Senior Notes 15/8/2017 363 0.03 $400,000 Celgene 3.25% Senior Notes 15/8/2022 289 0.03 $1,000,000 Celgene 3.875% Bonds 15/8/2025 743 0.07 $400,000 Celgene 4.625% Senior Notes 15/5/2044 275 0.03 $200,000 Celgene 5% Bonds 15/8/2045 147 0.01

$300,000 Celulosa Arauco 4.75% Bonds 11/1/2022 221 0.02 $300,000 Cencosud 4.875% Guaranteed Bonds 20/1/2023 204 0.02 $250,000 Cencosud 6.625% Bonds 12/2/2045 151 0.01 $300,000 Cenovus Energy 5.2% Senior Notes 15/9/2043 133 0.01 $250,000 Cenovus Energy 5.7% Senior Notes 15/10/2019 155 0.01 $100,000 Cenovus Energy 6.75% Senior Bonds 15/11/2039 50 0.00 $100,000 CenterPoint Energy 5.85% Senior Bonds 15/1/2041 78 0.01 $300,000 CenterPoint Energy Houston Electric 4.5% Notes

1/4/2044 233 0.02 $500,000 CenterPoint Energy Resources 4.5% Senior Notes

15/1/2021 379 0.04 $400,000 Centrica 4% Senior Notes 16/10/2023 296 0.03 $250,000 CF Industries 3.45% Guaranteed Bonds 1/6/2023 165 0.02 $400,000 CF Industries 5.375% Guaranteed Bonds 15/3/2044 245 0.02 $400,000 CF Industries 6.875% Guaranteed Notes 1/5/2018 311 0.03 $150,000 Charles Schwab 3.225% Bonds 1/9/2022 112 0.01 $200,000 Chevron 1.104% Guaranteed Senior Notes 5/12/2017 143 0.01 $400,000 Chevron 1.365% Bonds 2/3/2018 287 0.03 $1,200,000 Chevron 1.718% Senior Bonds 24/6/2018 865 0.08 $400,000 Chevron 2.411% Bonds 3/3/2022 281 0.03 $300,000 Chevron 2.419% Bonds 17/11/2020 216 0.02 $750,000 Chevron 2.427% Senior Notes 24/6/2020 541 0.05 $550,000 Chevron 3.191% Senior Bonds 24/6/2023 396 0.04 $25,000 Chevron 3.326% Bonds 17/11/2025 18 0.00 $150,000 Chevron 4.95% Guaranteed Senior Notes 3/3/2019 117 0.01 $300,000 Chevron Phillips Chemical 1.7% Bonds 1/5/2018 213 0.02 $200,000 China Overseas Finance 5.35% Guaranteed Bonds

15/11/2042 134 0.01 $300,000 China Overseas Finance Cayman II 5.5% European Dollar

10/11/2020 237 0.02 $200,000 China Overseas Finance Cayman III 3.375% Notes

29/10/2018 146 0.01 $200,000 China Overseas Finance Cayman III 6.375% Guaranteed

Bonds 29/10/2043 154 0.01 $250,000 China Overseas Finance Cayman VI 5.95% Guaranteed

Bonds 8/5/2024 205 0.02 $200,000 China Overseas Finance IV 4.875% Guaranteed Notes

15/2/2017 147 0.01 $400,000 Chubb 5.75% Bonds 15/5/2018 314 0.03 $200,000 Chubb 6% Senior Bonds 11/5/2037 181 0.02 $200,000 Chubb 6.5% Bonds 15/5/2038 189 0.02 $300,000 Cia Brasileira de Aluminio 4.75% Bonds 17/6/2024 162 0.02





$250,000 Cielo USA 3.75% Guaranteed Notes 16/11/2022 150 0.01 $200,000 Cigna 4.5% Guaranteed Senior Bonds 15/3/2021 155 0.01 $600,000 Cigna 5.125% Bonds 15/6/2020 478 0.05 $300,000 Cigna 5.375% Senior Bonds 15/2/2042 236 0.02 $300,000 Cimarex Energy 4.375% Bonds 1/6/2024 199 0.02 $200,000 Cincinnati Financial 6.92% Senior Bonds 15/5/2028 185 0.02 $1,000,000 Cisco Systems 1.1% Senior Notes 3/3/2017 723 0.07 $500,000 Cisco Systems 1.6% Bonds 28/2/2019 362 0.03 $750,000 Cisco Systems 2.6% Bonds 28/2/2023 548 0.05 $500,000 Cisco Systems 3% Bonds 15/6/2022 376 0.04 $1,150,000 Cisco Systems 4.45% Senior Bonds 15/1/2020 909 0.09 $700,000 Cisco Systems 5.5% Guaranteed Senior Bonds 15/1/2040 601 0.06 $200,000 Cisco Systems 5.9% Senior Bonds 15/2/2039 178 0.02 $750,000 Citigroup 1.3% Bonds 1/4/2016 542 0.05 $470,000 Citigroup 1.3% Bonds 15/11/2016 339 0.03 $250,000 Citigroup 1.7% Bonds 25/7/2016 181 0.02 $750,000 Citigroup 1.75% Senior Notes 1/5/2018 536 0.05 $1,500,000 Citigroup 2.4% Bonds 18/2/2020 1,073 0.10 $750,000 Citigroup 2.65% Bonds 26/10/2020 540 0.05 $550,000 Citigroup 3.5% Bonds 15/5/2023 390 0.04 $300,000 Citigroup 3.875% Bonds 26/3/2025 209 0.02 $400,000 Citigroup 3.875% Senior Notes 25/10/2023 299 0.03 $600,000 Citigroup 4.3% Bonds 20/11/2026 419 0.04 $1,000,000 Citigroup 4.4% Bonds 10/6/2025 719 0.07 $500,000 Citigroup 4.45% Bonds 29/9/2027 353 0.03 $350,000 Citigroup 4.45% Senior Notes 10/1/2017 259 0.02 $350,000 Citigroup 4.65% Bonds 30/7/2045 253 0.02 $600,000 Citigroup 4.95% Senior Notes 7/11/2043 453 0.04 $500,000 Citigroup 5.375% Guaranteed Senior Bonds 9/8/2020 404 0.04 $250,000 Citigroup 5.875% Senior Bonds 30/1/2042 204 0.02 $350,000 Citigroup 6.675% Subordinated Notes 13/9/2043 293 0.03 $500,000 Citigroup 8.125% Guaranteed Senior Bonds 15/7/2039 513 0.05 $1,500,000 Citigroup 8.5% Guaranteed Notes 22/5/2019 1,277 0.12 $400,000 Citizens Financial 4.3% Bonds 3/12/2025 294 0.03 $400,000 Clorox 3.8% Senior Bonds 15/11/2021 306 0.03 $200,000 CLP Power HK Financing 2.875% European Medium

Term Bonds 26/4/2023 144 0.01 $400,000 CLP Power HK Financing 4.25% Bonds 29/5/2049 289 0.03 $500,000 CME 3% Bonds 15/9/2022 374 0.04 $200,000 CME 5.3% Senior Notes 15/9/2043 168 0.02 $250,000 CMS Energy 5.05% Senior Notes 15/3/2022 200 0.02 $400,000 CNA Financial 3.95% Bonds 15/5/2024 283 0.03

$100,000 CNA Financial 5.75% Guaranteed Senior Bonds 15/8/2021 80 0.01 $1,000,000 Coca-Cola 1.65% Bonds 1/11/2018 732 0.07 $1,000,000 Coca-Cola 2.875% Bonds 27/10/2025 735 0.07 $300,000 Coca-Cola 3.15% Senior Bonds 15/11/2020 230 0.02 $600,000 Coca-Cola 3.2% Senior Notes 1/11/2023 461 0.04 $600,000 Coca-Cola Femsa 2.375% Guaranteed Bonds 26/11/2018 435 0.04 $250,000 Colbun 6% Guaranteed Senior Notes 21/1/2020 195 0.02 $500,000 Colgate-Palmolive 1.75% Senior Notes 15/3/2019 366 0.04 $400,000 Colgate-Palmolive 1.95% Guaranteed Senior Bonds

1/2/2023 283 0.03 $150,000 Colonial Pipeline 4.2% Senior Bonds 15/4/2043 95 0.01 $600,000 Columbia Pipeline 4.5% Bonds 1/6/2025 394 0.04 $500,000 Comcast 3.15% Bonds 1/3/2026 368 0.04 $600,000 Comcast 3.375% Bonds 15/2/2025 450 0.04 $500,000 Comcast 3.6% Bonds 1/3/2024 382 0.04 $1,250,000 Comcast 4.2% Notes 15/8/2034 904 0.09 $500,000 Comcast 4.25% Guaranteed Bonds 15/1/2033 369 0.04 $100,000 Comcast 4.65% Guaranteed Bonds 15/7/2042 76 0.01 $500,000 Comcast 4.75% Guaranteed Bonds 1/3/2044 378 0.04 $300,000 Comcast 5.15% Guaranteed Bonds 1/3/2020 243 0.02 $300,000 Comcast 6.3% Guaranteed Bonds 15/11/2017 234 0.02 $400,000 Comcast 6.4% Guaranteed Bonds 1/3/2040 369 0.04 $250,000 Comcast 6.45% Guaranteed Bonds 15/3/2037 228 0.02 $450,000 Comcast 6.5% Guaranteed Bonds 15/11/2035 408 0.04 $500,000 Comcast 6.95% Guaranteed Bonds 15/8/2037 476 0.05 $500,000 Comerica Bank 2.5% Bonds 2/6/2020 358 0.03 $1,300,000 Commonwealth Bank of Australia 2.5% Senior Notes

20/9/2018 953 0.09 $350,000 Commonwealth Bank of Australia 5% Senior Notes

19/3/2020 278 0.03 $500,000 Commonwealth Bank of Australia 5% Subordinate

European Medium Term Notes 15/10/2019 396 0.04 $600,000 Commonwealth Bank of Australia New York Branch

2.4% Bonds 2/11/2020 435 0.04 $500,000 Commonwealth Edison 2.15% Bonds 15/1/2019 365 0.03 $200,000 Commonwealth Edison 4.6% Bonds 15/8/2043 156 0.01 $350,000 Commonwealth Edison 4.7% Bonds 15/1/2044 277 0.03 $150,000 Commonwealth Edison 5.9% Bonds 15/3/2036 135 0.01 $150,000 Commonwealth Edison 5.95% Guaranteed Notes

15/8/2016 111 0.01 $500,000 Compass Bank 3.875% Bonds 10/4/2025 331 0.03 $200,000 Computer Sciences 6.5% Senior Notes 15/3/2018 159 0.02





$600,000 ConAgra Foods 1.9% Guaranteed Senior Notes 25/1/2018 432 0.04

$51,000 ConAgra Foods 7% Guaranteed Senior Bonds 15/4/2019 42 0.00 $500,000 ConocoPhillips 1.05% Guaranteed Bonds 15/12/2017 349 0.03 $300,000 ConocoPhillips 2.4% Guaranteed Bonds 15/12/2022 187 0.02 $200,000 ConocoPhillips 3.35% Bonds 15/5/2025 128 0.01 $500,000 ConocoPhillips 4.3% Bonds 15/11/2044 288 0.03 $700,000 ConocoPhillips 5.75% Guaranteed Bonds 1/2/2019 525 0.05 $250,000 ConocoPhillips 5.9% Guaranteed Bonds 15/10/2032 169 0.02 $400,000 ConocoPhillips 5.9% Guaranteed Bonds 15/5/2038 278 0.03 $650,000 ConocoPhillips 6.5% Guaranteed Bonds 1/2/2039 459 0.04 $400,000 ConocoPhillips Canada 5.625% Guaranteed Bonds

15/10/2016 295 0.03 $700,000 Consolidated Edison 3.95% Senior Bonds 1/3/2043 491 0.05 $300,000 Consolidated Edison 4.625% Bonds 1/12/2054 223 0.02 $300,000 Consolidated Edison 5.5% Guaranteed Senior Bonds

1/12/2039 256 0.02 $300,000 Consolidated Edison 5.85% Senior Notes 1/4/2018 234 0.02 $300,000 Consolidated Edison 7.125% Guaranteed Senior Notes

1/12/2018 246 0.02 $400,000 Consumers Energy 2.85% Bonds 15/5/2022 295 0.03 $150,000 Consumers Energy 5.65% Guaranteed Bonds 15/4/2020 124 0.01 $175,391 Continental Airlines 4.15% Bonds 11/10/2025 130 0.01 $288,208 Continental Airlines 7.25% Guaranteed Bonds 10/5/2021 235 0.02 $250,000 Continental Resources 3.8% Bonds 1/6/2024 118 0.01 $495,000 Continental Resources 5% Guaranteed Bonds 15/9/2022 259 0.02 $300,000 Cooperatieve Rabobank 5.25% Bonds 4/8/2045 221 0.02 $500,000 Corning 2.9% Bonds 15/5/2022 355 0.03 $100,000 Corning 4.75% Senior Bonds 15/3/2042 69 0.01 $500,000 Costco Wholesale 1.125% Bonds 15/12/2017 361 0.03 $500,000 Costco Wholesale 1.7% Guaranteed Senior Notes

15/12/2019 363 0.03 $200,000 Countrywide Financial 6.25% Guaranteed Subordinated

Notes 15/5/2016 146 0.01 $400,000 Coventry Health Care 5.45% Senior Notes 15/6/2021 323 0.03 $400,000 Coventry Health Care 5.95% Senior Bonds 15/3/2017 302 0.03 $150,000 Covidien International Finance 3.2% Guaranteed Bonds

15/6/2022 112 0.01 $150,000 Covidien International Finance 6.55% Guaranteed Bonds

15/10/2037 139 0.01 $200,000 Cox Communications 3.25% Senior Notes 15/12/2022 135 0.01 $250,000 Cox Communications 4.5% Senior Bonds 30/6/2043 135 0.01

$500,000 Cox Communications 4.8% Bonds 1/2/2035 301 0.03 $550,000 Cox Communications 6.25% Guaranteed Senior Notes

1/6/2018 425 0.04 $150,000 Cox Communications 8.375% Senior Bonds 1/3/2039 118 0.01 $600,000 Crédit Agricole 2.125% Senior Bonds 17/4/2018 435 0.04 $400,000 Crédit Agricole 3% Guaranteed Notes 1/10/2017 295 0.03 $750,000 Crédit Agricole 4.375% Bonds 17/3/2025 514 0.05 $1,250,000 Credit Suisse 1.75% Bonds 29/1/2018 897 0.09 $500,000 Credit Suisse 3% Bonds 29/10/2021 361 0.03 $400,000 Credit Suisse 3.625% Medium Term Notes 9/9/2024 293 0.03 $200,000 Credit Suisse 7.125% Senior Bonds 15/7/2032 179 0.02 $500,000 Credit Suisse Funding 3.75% Bonds 26/3/2025 339 0.03 $400,000 Credit Suisse Funding 3.8% Bonds 15/9/2022 282 0.03 $800,000 Credit Suisse Funding Guernsey 2.75% Bonds

26/3/2020 558 0.05 $500,000 Credit Suisse Funding Guernsey 4.875% Bonds

15/5/2045 329 0.03 $800,000 Credit Suisse New York 4.375% Guaranteed Senior

Bonds 5/8/2020 612 0.06 $400,000 Credit Suisse New York 5.4% Subordinated Notes

14/1/2020 304 0.03 $250,000 Credit Suisse New York 6% Guaranteed Subordinated

Notes 15/2/2018 191 0.02 $700,000 Credit Suisse USA 5.85% Guaranteed Bonds 16/8/2016 516 0.05 $200,000 CRH America 5.125% Bonds 18/5/2045 146 0.01 $750,000 Crown Castle International 4.875% Bonds 15/4/2022 565 0.05 $350,000 CSX 4.1% Senior Notes 15/3/2044 232 0.02 $100,000 CSX 4.25% Guaranteed Senior Bonds 1/6/2021 77 0.01 $100,000 CSX 4.4% Senior Bonds 1/3/2043 68 0.01 $300,000 CSX 4.75% Senior Bonds 30/5/2042 216 0.02 $200,000 CSX 5.5% Senior Notes 15/4/2041 158 0.02 $400,000 CSX 6% Bonds 1/10/2036 332 0.03 $350,000 CSX 7.375% Guaranteed Senior Bonds 1/2/2019 291 0.03 $500,000 Cummins 3.65% Senior Notes 1/10/2023 382 0.04 $500,000 CVS Health 1.9% Bonds 20/7/2018 362 0.03 $500,000 CVS Health 2.25% Bonds 12/8/2019 364 0.03 $500,000 CVS Health 2.25% Senior Notes 5/12/2018 365 0.03 $750,000 CVS Health 2.75% Bonds 1/12/2022 537 0.05 $500,000 CVS Health 2.8% Bonds 20/7/2020 369 0.04 $500,000 CVS Health 3.875% Bonds 20/7/2025 384 0.04 $350,000 CVS Health 4% Bonds 5/12/2023 272 0.03 $250,000 CVS Health 4.125% Guaranteed Senior Bonds 15/5/2021 192 0.02





$400,000 CVS Health 4.875% Bonds 20/7/2035 309 0.03 $500,000 CVS Health 5.125% Bonds 20/7/2045 400 0.04 $400,000 CVS Health 5.3% Senior Notes 5/12/2043 324 0.03 $200,000 CVS Health 6.125% Guaranteed Senior Bonds 15/9/2039 176 0.02 $400,000 Daimler Finance North America 1.875% Guaranteed

Bonds 11/1/2018 288 0.03 $500,000 Daimler Finance North America 2.25% Bonds 2/3/2020 355 0.03 $500,000 Daimler Finance North America 2.25% Guaranteed

Notes 31/7/2019 358 0.03 $750,000 Daimler Finance North America 2.375% Bonds 1/8/2018 544 0.05 $500,000 Daimler Finance North America 2.4% Guaranteed Bonds

10/4/2017 364 0.03 $150,000 Daimler Finance North America 3% Guaranteed Notes

28/3/2016 108 0.01 $500,000 Daimler Finance North America 3.25% Bonds 1/8/2024 361 0.03 $250,000 Daimler Finance North America 8.5% Guaranteed Bonds

18/1/2031 269 0.03 $250,000 Danaher 2.3% Senior Notes 23/6/2016 181 0.02 $300,000 Danaher 4.375% Bonds 15/9/2045 232 0.02 $250,000 Danaher 5.4% Guaranteed Senior Notes 1/3/2019 199 0.02 $750,000 Danone 3% Senior Notes 15/6/2022 554 0.05 $500,000 Danske Bank 3.875% Senior Notes 14/4/2016 362 0.03 $400,000 DBS Bank Singapore 2.35% Guaranteed Senior Notes

28/2/2017 292 0.03 $400,000 DDR 3.375% Bonds 15/5/2023 280 0.03 $450,000 DDR 4.25% Bonds 1/2/2026 321 0.03 $250,000 Deere 3.9% Guaranteed Senior Bonds 9/6/2042 174 0.02 $100,000 Deere 4.375% Guaranteed Senior Notes 16/10/2019 79 0.01 $500,000 Delek & Avner Tamar Bond 5.082% Senior Notes

30/12/2023 356 0.03 $150,000 Delhaize 5.7% Guaranteed Bonds 1/10/2040 114 0.01 $1,000,000 Delphi Automotive 3.15% Bonds 19/11/2020 731 0.07 $391,119 Delta Air Lines 2012-1A 4.75% Guaranteed Notes

7/11/2021 299 0.03 $55,444 Delta Air Lines 6.821% Guaranteed Bonds 10/2/2024 46 0.00 $200,000 Demeter Investments BV for Swiss Re 5.75% Bonds

15/8/2050 141 0.01 $250,000 Detroit Edison 5.6% Guaranteed Senior Bonds 15/6/2018 197 0.02 $750,000 Deutsche Bank 2.95% Bonds 20/8/2020 524 0.05 $300,000 Deutsche Bank 3.7% Senior Notes 30/5/2024 207 0.02 $1,000,000 Deutsche Bank 6% Guaranteed Senior Bonds 1/9/2017 754 0.07

$600,000 Deutsche Telekom International Finance 2.25% Bonds 6/3/2017 436 0.04

$250,000 Deutsche Telekom International Finance 4.875% Guaranteed Bonds 6/3/2042 188 0.02

$500,000 Deutsche Telekom International Finance 6% Bonds 8/7/2019 406 0.04

$550,000 Deutsche Telekom International Finance 8.75% Guaranteed Bonds 15/6/2030 555 0.05

$500,000 Devon Energy 3.25% Bonds 15/5/2022 275 0.03 $250,000 Devon Energy 4% Senior Bonds 15/7/2021 147 0.01 $150,000 Devon Energy 5.6% Senior Bonds 15/7/2041 74 0.01 $150,000 Devon Energy 6.3% Guaranteed Senior Bonds 15/1/2019 102 0.01 $300,000 Devon Energy 7.95% Senior Notes 15/4/2032 172 0.02 $400,000 Devon Financing 7.875% Guaranteed Bonds 30/9/2031 228 0.02 $500,000 Diageo Capital 1.125% Guaranteed Bonds 29/4/2018 358 0.03 $200,000 Diageo Capital 3.875% Guaranteed Notes 29/4/2043 138 0.01 $200,000 Diageo Capital 5.75% Guaranteed Notes 23/10/2017 154 0.01 $300,000 Diageo Investment 2.875% Guaranteed Notes 11/5/2022 221 0.02 $200,000 Diageo Investment 4.25% Guaranteed Bonds 11/5/2042 145 0.01 $250,000 Diamond Offshore Drilling 4.875% Senior Notes 1/11/2043 107 0.01 $250,000 Digital Realty Trust 3.4% Bonds 1/10/2020 183 0.02 $250,000 Digital Realty Trust 3.625% Bonds 1/10/2022 179 0.02 $400,000 DirecTV 4.6% Guaranteed Notes 15/2/2021 311 0.03 $750,000 DirecTV 5.875% Bonds 1/10/2019 605 0.06 $250,000 DirecTV 6.35% Guaranteed Bonds 15/3/2040 192 0.02 $200,000 DirecTV Financing 3.8% Guaranteed Notes 15/3/2022 148 0.01 $600,000 DirecTV Financing 4.45% Guaranteed Notes 1/4/2024 455 0.04 $300,000 DirecTV Financing 5% Guaranteed Notes 1/3/2021 238 0.02 $100,000 DirecTV Financing 5.2% Guaranteed Notes 15/3/2020 79 0.01 $200,000 DirecTV Financing 6% Guaranteed Bonds 15/8/2040 149 0.01 $300,000 DirecTV Financing 6.375% Guaranteed Bonds 1/3/2041 232 0.02 $250,000 Discover Bank 4.2% Senior Notes 8/8/2023 183 0.02 $300,000 Discover Financial Services 3.75% Bonds 4/3/2025 204 0.02 $750,000 Discover Financial Services 3.85% Senior Bonds

21/11/2022 537 0.05 $400,000 Discovery Communications 3.25% Guaranteed Notes

1/4/2023 265 0.03 $350,000 Discovery Communications 4.375% Guaranteed Notes

15/6/2021 257 0.02 $200,000 Discovery Communications 4.875% Guaranteed Bonds

1/4/2043 115 0.01 $150,000 Discovery Communications 4.95% Notes 15/5/2042 86 0.01





$250,000 Discovery Communications 5.05% Guaranteed Notes 1/6/2020 190 0.02

$300,000 DNB Bank 3.2% Senior Notes 3/4/2017 220 0.02 $250,000 Dollar General 3.25% Bonds15/4/2023 180 0.02 $400,000 Dominion Gas Holdings 4.6% Bonds 15/12/2044 271 0.03 $700,000 Dominion Resources 3.625% Bonds 1/12/2024 505 0.05 $350,000 Dominion Resources 4.9% Guaranteed Senior Bonds

1/8/2041 244 0.02 $500,000 Dominion Resources 5.2% Guaranteed Senior Bonds

15/8/2019 393 0.04 $200,000 Dominion Resources 6.4% Guaranteed Senior Notes

15/6/2018 158 0.02 $500,000 Dover 3.15% Bonds 15/11/2025 367 0.04 $200,000 Dover 4.3% Guaranteed Senior Bonds 1/3/2021 157 0.02 $750,000 Dow Chemical 4.125% Senior Bonds 15/11/2021 571 0.05 $600,000 Dow Chemical 4.25% Senior Notes 15/11/2020 458 0.04 $250,000 Dow Chemical 4.375% Guaranteed Senior Bonds

15/11/2042 162 0.02 $500,000 Dow Chemical 4.625% Bonds 1/10/2044 333 0.03 $300,000 Dow Chemical 5.25% Senior Bonds 15/11/2041 213 0.02 $550,000 Dow Chemical 8.55% Guaranteed Senior Bonds

15/5/2019 467 0.04 $500,000 Dr Pepper Snapple 3.4% Bonds 15/11/2025 366 0.04 $500,000 DTE Electric 3.375% Notes 1/3/2025 378 0.04 $100,000 DTE Electric 3.7% Bonds 15/3/2045 70 0.01 $250,000 DTE Energy 3.5% Bonds 1/6/2024 185 0.02 $750,000 Duke Energy 2.1% Senior Notes 15/6/2018 542 0.05 $150,000 Duke Energy 3% Bonds 15/9/2021 113 0.01 $400,000 Duke Energy 3.95% Senior Notes 15/10/2023 299 0.03 $500,000 Duke Energy 4.8% Bonds 15/12/2045 375 0.04 $200,000 Duke Energy 5.3% Guaranteed Bonds 15/2/2040 170 0.02 $150,000 Duke Energy 5.65% Guaranteed Bonds 1/4/2040 134 0.01 $250,000 Duke Energy 6.35% Guaranteed Bonds 15/9/2037 236 0.02 $50,000 Duke Energy Carolinas 3.9% Bonds 15/6/2021 39 0.00 $300,000 Duke Energy Carolinas 4% Bonds 30/9/2042 217 0.02 $150,000 Duke Energy Carolinas 6% Guaranteed Bonds 15/1/2038 137 0.01 $300,000 Duke Energy Carolinas 6.05% Bonds 15/4/2038 277 0.03 $800,000 Duke Energy Carolinas 7% Guaranteed Notes 15/11/2018 656 0.06 $250,000 Duke Energy Progress 4.15% Bonds 1/12/2044 184 0.02 $500,000 Duke Energy Progress 4.375% Bonds 30/3/2044 379 0.04 $300,000 Duke Realty 3.875% Guaranteed Bonds 15/10/2022 223 0.02 $250,000 E.CL 4.5% Bonds 29/1/2025 179 0.02

$500,000 E.I. DuPont 3.625% Guaranteed Bonds 15/1/2021 379 0.04 $250,000 E.I. DuPont 4.15% Senior Bonds 15/2/2043 158 0.02 $300,000 E.I. DuPont 4.9% Guaranteed Bonds 15/1/2041 212 0.02 $400,000 E.I. DuPont 5.25% Guaranteed Senior Bonds 15/12/2016 298 0.03 $200,000 E.ON International Finance 5.8% Guaranteed Bonds

30/4/2018 154 0.01 $350,000 E.ON International Finance 6.65% Guaranteed Bonds

30/4/2038 290 0.03 $600,000 Eastman Chemical 2.7% Bonds 15/1/2020 429 0.04 $400,000 Eastman Chemical 3.6% Senior Notes 15/8/2022 287 0.03 $150,000 Eastman Chemical 4.8% Senior Bonds 1/9/2042 94 0.01 $1,000,000 Eaton 2.75% Guaranteed Bonds 2/11/2022 708 0.07 $150,000 Eaton 4% Bonds 2/11/2032 106 0.01 $200,000 eBay 2.6% Senior Notes 15/7/2022 135 0.01 $400,000 eBay 2.875% Senior Notes 1/8/2021 284 0.03 $400,000 eBay 3.45% Bonds 1/8/2024 271 0.03 $150,000 eBay 4% Senior Notes 15/7/2042 82 0.01 $400,000 Ecolab 3% Senior Notes 8/12/2016 292 0.03 $300,000 Ecolab 4.35% Guaranteed Senior Bonds 8/12/2021 235 0.02 $300,000 Ecolab 5.5% Bonds 8/12/2041 242 0.02 $500,000 EDP Finance 6% Bonds 2/2/2018 374 0.04 $250,000 El Paso Natural Gas 5.95% Guaranteed Senior Notes

15/4/2017 183 0.02 $100,000 El Paso Pipeline Partners 5% Bonds 1/10/2021 67 0.01 $400,000 El Paso Pipeline Partners 6.5% Guaranteed Bonds

1/4/2020 291 0.03 $150,000 El Paso Pipeline Partners 7.5% Guaranteed Bonds

15/11/2040 98 0.01 $500,000 Eli Lilly 2.75% Bonds 1/6/2025 367 0.04 $300,000 Eli Lilly 3.7% Senior Notes 1/3/2045 214 0.02 $350,000 Eli Lilly 5.2% Senior Bonds 15/3/2017 263 0.03 $300,000 Embarq 7.082% Senior Bonds 1/6/2016 218 0.02 $300,000 Embarq 7.995% Guaranteed Senior Bonds 1/6/2036 206 0.02 $750,000 EMC 1.875% Bonds 1/6/2018 518 0.05 $700,000 EMC 2.65% Senior Bonds 1/6/2020 457 0.04 $500,000 EMD Finance 1.7% Bonds 19/3/2018 359 0.03 $350,000 EMD Finance 2.95% Bonds 19/3/2022 250 0.02 $500,000 EMD Finance 3.25% Bonds 19/3/2025 353 0.03 $400,000 Emerson Electric 4.875% Senior Bonds 15/10/2019 318 0.03 $300,000 Empresa Bras De Aeronau 5.15% Guaranteed Senior

Notes 15/6/2022 208 0.02 $500,000 Empresa Electrica Angamos 4.875% Bonds 25/5/2029 313 0.03





$300,000 Enable Midstream Partners 5% Bonds 15/5/2044 112 0.01 $400,000 Enbridge 4% Senior Notes 1/10/2023 263 0.03 $250,000 Enbridge 5.875% Guaranteed Senior Notes 15/12/2016 183 0.02 $150,000 Enbridge Energy Partners 4.2% Senior Bonds 15/9/2021 96 0.01 $500,000 Enbridge Energy Partners 5.875% Bonds 15/10/2025 334 0.03 $150,000 Enbridge Energy Partners 7.5% Guaranteed Senior

Bonds 15/4/2038 93 0.01 $500,000 Encana 3.9% Senior Notes 15/11/2021 251 0.02 $250,000 Encana 6.5% Guaranteed Senior Bonds 15/8/2034 108 0.01 $450,000 Encana 6.625% Senior Bonds 15/8/2037 196 0.02 $250,000 Enel Finance 6% Guaranteed Bonds 7/10/2039 199 0.02 $400,000 Enel Finance International 6.25% Guaranteed Notes

15/9/2017 307 0.03 $200,000 Enel Finance International 6.8% Guaranteed Bonds

15/9/2037 171 0.02 $500,000 Energy Transfer Partners 3.6% Senior Notes 1/2/2023 291 0.03 $125,000 Energy Transfer Partners 4.05% Bonds 15/3/2025 75 0.01 $500,000 Energy Transfer Partners 4.15% Senior Notes 1/10/2020 314 0.03 $150,000 Energy Transfer Partners 4.65% Senior Bonds 1/6/2021 93 0.01 $250,000 Energy Transfer Partners 4.75% Bonds 15/1/2026 154 0.01 $500,000 Energy Transfer Partners 4.9% Bonds 15/3/2035 258 0.02 $250,000 Energy Transfer Partners 5.15% Bonds 15/3/2045 131 0.01 $300,000 Energy Transfer Partners 5.2% Guaranteed Senior Bonds

1/2/2022 185 0.02 $250,000 Energy Transfer Partners 5.95% Senior Notes 1/10/2043 143 0.01 $150,000 Energy Transfer Partners 6.5% Guaranteed Senior Bonds

1/2/2042 87 0.01 $150,000 Energy Transfer Partners 7.5% Guaranteed Senior Bonds

1/7/2038 96 0.01 $500,000 Energy Transfer Partners 9% Bonds 15/4/2019 371 0.04 $300,000 ENGIE 2.875% Guaranteed Senior Notes 10/10/2022 215 0.02 $500,000 EnLink Midstream Partners 4.4% Senior Notes 1/4/2024 256 0.02 $400,000 Ensco 4.7% Senior Notes 15/3/2021 153 0.01 $500,000 Ensco 5.2% Bonds 15/3/2025 186 0.02 $200,000 Ensco 5.75% Bonds 1/10/2044 69 0.01 $500,000 ENTEL Chile 4.75% Bonds 1/8/2026 322 0.03 $400,000 Entergy 4% Bonds 15/7/2022 302 0.03 $250,000 Entergy 5.125% Guaranteed Senior Notes 15/9/2020 196 0.02 $250,000 Entergy Gulf States 5.59% Guaranteed Bonds 1/10/2024 211 0.02 $150,000 Entergy Louisiana 4.05% Notes 1/9/2023 116 0.01 $250,000 Enterprise Products 4.85% Guaranteed Bonds 15/8/2042 153 0.01 $500,000 Enterprise Products 5.25% Guaranteed Bonds 31/1/2020 374 0.04

$250,000 Enterprise Products 5.7% Guaranteed Bonds 15/2/2042 170 0.02 $400,000 Enterprise Products 6.3% Guaranteed Bonds 15/9/2017 302 0.03 $100,000 Enterprise Products 6.45% Guaranteed Bonds 1/9/2040 71 0.01 $500,000 Enterprise Products Operating 2.55% Bonds 15/10/2019 349 0.03 $200,000 Enterprise Products Operating 3.7% Bonds 15/2/2026 135 0.01 $300,000 Enterprise Products Operating 3.75% Bonds 15/2/2025 203 0.02 $500,000 Enterprise Products Operating 3.9% Bonds 15/2/2024 341 0.03 $150,000 Enterprise Products Operating 4.45% Bonds 15/2/2043 86 0.01 $450,000 Enterprise Products Operating 4.85% Guaranteed Bonds

15/3/2044 274 0.03 $200,000 Enterprise Products Operating 4.9% Bonds 15/5/2046 127 0.01 $200,000 Enterprise Products Operating 4.95% Bonds 15/10/2054 115 0.01 $200,000 Enterprise Products Operating 5.1% Guaranteed Bonds

15/2/2045 125 0.01 $200,000 Enterprise Products Operating 7.034% Bonds 15/1/2068 142 0.01 $600,000 EOG Resources 2.45% Bonds 1/4/2020 413 0.04 $400,000 EOG Resources 3.15% Bonds 1/4/2025 263 0.03 $350,000 EOG Resources 5.875% Guaranteed Senior Bonds

15/9/2017 265 0.03 $200,000 EQT 4.875% Senior Bonds 15/11/2021 128 0.01 $300,000 ERAC USA Finance 2.75% Guaranteed Notes 15/3/2017 219 0.02 $500,000 ERAC USA Finance 2.8% Bonds 1/11/2018 365 0.03 $500,000 ERAC USA Finance 3.3% Guaranteed Notes 15/10/2022 360 0.03 $500,000 ERAC USA Finance 3.8% Bonds 1/11/2025 360 0.03 $150,000 ERAC USA Finance 4.5% Bonds 15/2/2045 100 0.01 $200,000 ERAC USA Finance 5.625% Guaranteed Bonds 15/3/2042 154 0.01 $150,000 ERAC USA Finance 7% Guaranteed Bonds 15/10/2037 133 0.01 $300,000 ERP Operating 4.5% Senior Notes 1/7/2044 223 0.02 $300,000 ERP Operating 4.625% Guaranteed Senior Bonds

15/12/2021 239 0.02 $400,000 ERP Operating 4.75% Senior Bonds 15/7/2020 313 0.03 $500,000 Essex Portfolio 3.625% Guaranteed Bonds 15/8/2022 373 0.04 $500,000 Exelon 3.95% Bonds 15/6/2025 365 0.03 $300,000 Exelon 5.1% Bonds 15/6/2045 226 0.02 $400,000 Exelon Generation 2.95% Bonds 15/1/2020 289 0.03 $121,000 Exelon Generation 4.25% Senior Bonds 15/6/2022 89 0.01 $400,000 Exelon Generation 5.2% Guaranteed Senior Bonds

1/10/2019 311 0.03 $400,000 Exelon Generation 5.6% Senior Bonds 15/6/2042 261 0.03 $250,000 Exelon Generation 6.2% Senior Bonds 1/10/2017 192 0.02 $100,000 Expedia 5.95% Guaranteed Notes 15/8/2020 78 0.01 $200,000 Experian Finance 2.375% Guaranteed Notes 15/6/2017 145 0.01





$1,000,000 Express Scripts 2.25% Notes 15/6/2019 717 0.07 $200,000 Express Scripts 3.9% Guaranteed Notes 15/2/2022 147 0.01 $200,000 Express Scripts 4.75% Guaranteed Notes 15/11/2021 154 0.01 $100,000 Express Scripts 6.125% Guaranteed Bonds 15/11/2041 76 0.01 $600,000 Express Scripts 7.25% Guaranteed Bonds 15/6/2019 496 0.05 $1,500,000 Exxon Mobil 1.305% Bonds 6/3/2018 1,080 0.10 $300,000 Exxon Mobil 3.176% Senior Notes 15/3/2024 225 0.02 $500,000 Exxon Mobil 3.567% Bonds 6/3/2045 335 0.03 $200,000 FBG Finance 5.875% Guaranteed Bonds 15/6/2035 174 0.02 $500,000 FedEx 2.3% Bonds 1/2/2020 364 0.03 $200,000 FedEx 3.875% Guaranteed Bonds 1/8/2042 125 0.01 $275,000 FedEx 4.75% Bonds 15/11/2045 198 0.02 $500,000 FedEx 4.9% Guaranteed Bonds 15/1/2034 371 0.04 $500,000 Fidelity National Information Services 3.625% Bonds

15/10/2020 367 0.04 $500,000 Fidelity National Information Services 4.5% Bonds

15/10/2022 374 0.04 $375,000 Fidelity National Information Services 5% Bonds

15/10/2025 281 0.03 $300,000 Fidelty National Information Services 3.5% Bonds

15/4/2023 205 0.02 $600,000 Fifth Third 1.15% Senior Notes 18/11/2016 433 0.04 $1,000,000 Fifth Third 2.15% Medium Term Notes 20/8/2018 726 0.07 $200,000 Fifth Third 4.3% Subordinated Notes 16/1/2024 148 0.01 $400,000 Fifth Third 4.5% Subordinated Bonds 1/6/2018 304 0.03 $100,000 Fifth Third 8.25% Guaranteed Subordinated Bonds

1/3/2038 101 0.01 $600,000 First Gulf Bank PJSC 3.25% Senior European Medium

Term Notes 14/1/2019 438 0.04 $150,000 FirstEnergy 6.8% Guaranteed Senior 15/8/2039 97 0.01 $300,000 FirstEnergy Solutions 6.05% Guaranteed Bonds

15/8/2021 230 0.02 $500,000 Fiserv 3.5% Bonds 1/10/2022 368 0.04 $250,000 Flextronics International 4.75% Bonds 15/6/2025 171 0.02 $500,000 Florida Gas Transmission 7.9% Senior Notes 15/5/2019 403 0.04 $500,000 Florida Power & Light 3.25% Bonds 1/6/2024 380 0.04 $500,000 Florida Power & Light 4.05% Guaranteed Bonds

1/6/2042 372 0.04 $150,000 Florida Power & Light 4.125% Bonds 1/2/2042 112 0.01 $200,000 Florida Power & Light 5.25% Bonds 1/2/2041 175 0.02 $200,000 Florida Power & Light 5.96% Guaranteed Bonds

1/4/2039 188 0.02

$250,000 FMR 4.95% Bonds 1/2/2033 186 0.02 $250,000 FMR 6.5% Senior Bonds 14/12/2040 220 0.02 $300,000 Fomento Economico Mexicano 4.375% Senior Notes

10/5/2043 194 0.02 $250,000 Ford Motor 7.4% Bonds 1/11/2046 213 0.02 $550,000 Ford Motor 7.45% Senior Bonds 16/7/2031 483 0.05 $1,000,000 Ford Motor Credit 1.461% Bonds 27/3/2017 717 0.07 $500,000 Ford Motor Credit 1.7% Senior Bonds 9/5/2016 361 0.03 $500,000 Ford Motor Credit 2.145% Bonds 9/1/2018 359 0.03 $500,000 Ford Motor Credit 2.375% Senior Bonds 16/1/2018 359 0.03 $600,000 Ford Motor Credit 2.597% Bonds 4/11/2019 426 0.04 $300,000 Ford Motor Credit 3% Senior Notes 12/6/2017 218 0.02 $750,000 Ford Motor Credit 4.134% Bonds 4/8/2025 538 0.05 $400,000 Ford Motor Credit 4.25% Guaranteed Senior Notes

20/9/2022 294 0.03 $500,000 Ford Motor Credit 4.75% Guaranteed Senior Bonds

15/1/2043 328 0.03 $300,000 Ford Motor Credit 5.875% Senior Bonds 2/8/2021 238 0.02 $500,000 Ford Motor Credit 6.625% Senior Notes 15/8/2017 383 0.04 $350,000 Ford Motor Credit 8.125% Guaranteed Senior Bonds

15/1/2020 294 0.03 $700,000 Forest Laboratories 4.875% Bonds 15/2/2021 551 0.05 $200,000 Franklin Resources 2.85% Bonds 30/3/2025 140 0.01 $400,000 Freeport-McMoRan 2.3% Bonds 14/11/2017 258 0.02 $450,000 Freeport-McMoRan Copper & Gold 3.875% Guaranteed

Bonds 15/3/2023 197 0.02 $110,000 Freeport-McMoRan Copper & Gold 5.45% Guaranteed

Bonds 15/3/2043 42 0.00 $150,000 Gap 5.95% Senior Bonds 12/4/2021 113 0.01 $250,000 GATX 5.2% Senior Notes 15/3/2044 180 0.02 $600,000 GE Capital 1.6% Guaranteed Senior Notes 20/11/2017 436 0.04 $600,000 GE Capital 2.7% Guaranteed Senior Notes 9/10/2022 449 0.04 $372,000 GE Capital 3.15% Senior Notes 7/9/2022 282 0.03 $930,000 GE Capital 3.45% Senior Notes 15/5/2024 715 0.07 $600,000 GE Capital 3.8% Senior Notes 18/6/2019 462 0.04 $400,000 GE Capital 4.125% Guaranteed Senior Bonds 9/10/2042 292 0.03 $500,000 GE Capital 4.5% Senior Notes 11/3/2044 385 0.04 $558,000 GE Capital 4.625% Guaranteed Senior Bonds 7/1/2021 448 0.04 $150,000 GE Capital 4.65% Senior Bonds 17/10/2021 122 0.01 $1,150,000 GE Capital 5.25% Senior Bonds 6/12/2017 889 0.09 $344,000 GE Capital 5.3% Subordinated Bonds 11/2/2021 281 0.03 $186,000 GE Capital 5.5% Guaranteed Senior Notes 8/1/2020 153 0.01





$400,000 GE Capital 5.625% Senior Bonds 1/5/2018 315 0.03 $465,000 GE Capital 5.875% Senior Bonds 14/1/2038 420 0.04 $300,000 GE Capital 6.15% Senior Notes 7/8/2037 278 0.03 $422,000 GE Capital 6.75% Guaranteed Senior Bonds 15/3/2032 403 0.04 $594,000 GE Capital 6.875% Guaranteed Senior Bonds 10/1/2039 589 0.06 $1,888,000 GE Capital International Funding 0.964% Bonds

15/4/2016 1,363 0.13 $641,000 GE Capital International Funding 2.342% Bonds

15/11/2020 467 0.04 $1,583,000 GE Capital International Funding 3.373% Bonds

15/11/2025 1,194 0.11 $1,789,000 GE Capital International Funding 4.418% Bonds

15/11/2035 1,337 0.13 $400,000 General Dynamics 2.25% Guaranteed Bonds 15/11/2022 285 0.03 $100,000 General Mills 3.15% Senior Bonds 15/12/2021 75 0.01 $300,000 General Mills 3.65% Bonds 15/2/2024 229 0.02 $100,000 General Mills 4.15% Guaranteed Senior Bonds

15/2/2043 71 0.01 $391,000 General Motors 3.15% Bonds 15/1/2020 275 0.03 $400,000 General Motors 3.45% Notes 10/4/2022 273 0.03 $750,000 General Motors 3.5% Bonds 2/10/2018 542 0.05 $500,000 General Motors 5% Bonds 1/4/2035 314 0.03 $100,000 General Motors 6.25% Senior Notes 2/10/2043 70 0.01 $500,000 General Motors Financial 3.25% Bonds 15/5/2018 359 0.03 $750,000 General Motors Financial 3.7% Bonds 24/11/2020 532 0.05 $1,000,000 General Motors Financial 4% Bonds 15/1/2025 662 0.06 $750,000 General Motors Financial 4.375% Bonds 25/9/2021 543 0.05 $200,000 Georgia Power 4.3% Senior Bonds 15/3/2042 142 0.01 $300,000 Georgia Power 4.3% Senior Bonds 15/3/2043 212 0.02 $300,000 Georgia Power 5.7% Guaranteed Senior Notes 1/6/2017 227 0.02 $700,000 Georgia-Pacific 8% Senior Bonds 15/1/2024 636 0.06 $150,000 Georgia-Pacific 8.875% Senior Bonds 15/5/2031 154 0.01 $400,000 Gerdau Trade 5.75% Guaranteed Notes 30/1/2021 219 0.02 $750,000 Gilead Sciences 2.35% Bonds 1/2/2020 547 0.05 $1,000,000 Gilead Sciences 2.55% Bonds 1/9/2020 733 0.07 $750,000 Gilead Sciences 3.7% Senior Notes 1/4/2024 567 0.05 $150,000 Gilead Sciences 4.4% Senior Notes 1/12/2021 119 0.01 $500,000 Gilead Sciences 4.5% Bonds 1/2/2045 367 0.04 $500,000 Gilead Sciences 4.6% Bonds 1/9/2035 375 0.04 $500,000 Gilead Sciences 4.75% Bonds 1/3/2046 379 0.04 $300,000 Gilead Sciences 4.8% Senior Notes 1/4/2044 227 0.02 $150,000 Gilead Sciences 5.65% Senior Bonds 1/12/2041 125 0.01

$750,000 GlaxoSmithKline Capital 2.8% Guaranteed Bonds 18/3/2023 554 0.05

$250,000 GlaxoSmithKline Capital 2.85% Guaranteed Notes 8/5/2022 187 0.02




$100,000 Glencore Finance Canada 2.7% Guaranteed Notes 25/10/2017 69 0.01

$500,000 Glencore Finance Canada 4.25% Guaranteed Notes 25/10/2022 283 0.03

$250,000 Glencore Finance Canada 5.55% Guaranteed Bonds 25/10/2042 125 0.01

$200,000 Glencore Finance Canada 5.8% Guaranteed Bonds 15/11/2016 146 0.01

$150,000 Glencore Finance Canada 6% Guaranteed Bonds 15/11/2041 76 0.01

$300,000 Glencore Funding 2.5% Guaranteed Bonds 15/1/2019 186 0.02 $750,000 Glencore Funding 2.875% Bonds 16/4/2020 451 0.04 $400,000 Glencore Funding 4.125% Guaranteed Bonds 30/5/2023 220 0.02 $250,000 Global Logistic Properties 3.875% European Medium

Term Notes 4/6/2025 175 0.02 $300,000 GNL Quintero 4.634% Senior Notes 31/7/2029 204 0.02 $300,000 Goldcorp 3.7% Senior Bonds 15/3/2023 211 0.02 $500,000 Goldman Sachs 2.375% Senior Notes 22/1/2018 363 0.03 $800,000 Goldman Sachs 2.6% Bonds 23/4/2020 574 0.05 $750,000 Goldman Sachs 2.625% Bonds 31/1/2019 545 0.05 $500,000 Goldman Sachs 2.75% Bonds 15/9/2020 360 0.03 $500,000 Goldman Sachs 2.875% Bonds 25/2/2021 360 0.03 $1,000,000 Goldman Sachs 2.9% Senior Notes 19/7/2018 733 0.07 $750,000 Goldman Sachs 3.5% Bonds 23/1/2025 536 0.05 $500,000 Goldman Sachs 3.625% Guaranteed Senior Notes

22/1/2023 367 0.04 $600,000 Goldman Sachs 3.75% Bonds 22/5/2025 436 0.04 $1,000,000 Goldman Sachs 3.85% Senior Notes 8/7/2024 736 0.07 $400,000 Goldman Sachs 4% Senior Notes 3/3/2024 299 0.03 $300,000 Goldman Sachs 4.25% Bonds 21/10/2025 214 0.02 $500,000 Goldman Sachs 4.75% Bonds 21/10/2045 367 0.04 $400,000 Goldman Sachs 4.8% Medium Term Notes 8/7/2044 291 0.03





$150,000 Goldman Sachs 5.15% Bonds 22/5/2045 103 0.01 $750,000 Goldman Sachs 5.25% Guaranteed Senior Bonds

27/7/2021 601 0.06 $100,000 Goldman Sachs 5.375% Guaranteed Senior Bonds

15/3/2020 79 0.01 $500,000 Goldman Sachs 5.625% Guaranteed Subordinated

Bonds 15/1/2017 373 0.04 $800,000 Goldman Sachs 5.75% Senior Bonds 24/1/2022 655 0.06 $900,000 Goldman Sachs 5.95% Subordinated Bonds 15/1/2027 719 0.07 $600,000 Goldman Sachs 6% Guaranteed Bonds 15/6/2020 486 0.05 $300,000 Goldman Sachs 6.125% Senior Notes 15/2/2033 253 0.02 $550,000 Goldman Sachs 6.25% Guaranteed Bonds 1/2/2041 475 0.05 $1,000,000 Goldman Sachs 6.25% Guaranteed Senior Bonds

1/9/2017 766 0.07 $200,000 Goldman Sachs 6.45% Subordinated Bonds 1/5/2036 158 0.02 $750,000 Goldman Sachs 6.75% Guaranteed Subordinated Bonds

1/10/2037 613 0.06 $550,000 Goldman Sachs 7.5% Notes 15/2/2019 452 0.04 $250,000 Goldman Sachs Capital I 6.345% Notes 15/2/2034 204 0.02 $250,000 Goodman Funding 6% Guaranteed Notes 22/3/2022 203 0.02 $250,000 Google 3.625% Guaranteed Senior Bonds 19/5/2021 196 0.02 $300,000 Greenland Global Investment 5.875% Notes 3/7/2024 211 0.02 $600,000 Grupo Bimbo SAB de CV 3.875% Bonds 27/6/2024 423 0.04 $500,000 GS Caltex 3.25% Senior Notes 1/10/2018 368 0.04 $541,000 GTL Trade Finance 5.893% Guaranteed Bonds 29/4/2024 252 0.02 $150,000 Guardian Life Insurance of America 4.875% Subordinated

Notes 19/6/2064 102 0.01 $400,000 Haitong International Finance 2015 4.2% Bonds 29/7/2020 294 0.03 $300,000 Haitong International Finance 3.5% Bonds 21/4/2020 216 0.02 $500,000 Halliburton 2.7% Bonds 15/11/2020 353 0.03 $1,000,000 Halliburton 3.5% Senior Bonds 1/8/2023 672 0.06 $150,000 Halliburton 4.5% Guaranteed Senior Bonds 15/11/2041 85 0.01 $200,000 Halliburton 4.75% Bonds 1/8/2043 118 0.01 $500,000 Halliburton 4.85% Bonds 15/11/2035 315 0.03 $400,000 Halliburton 5% Bonds 15/11/2045 253 0.02 $250,000 Halliburton 6.15% Guaranteed Senior Bonds 15/9/2019 195 0.02 $100,000 Halliburton 7.45% Guaranteed Senior Bonds 15/9/2039 84 0.01 $500,000 Hana 4.375% Bonds 30/9/2024 378 0.04 $200,000 Hana Bank 4% Bonds 3/11/2016 147 0.01 $300,000 Harley-Davidson 3.875% Guaranteed Notes 15/3/2016 217 0.02 $500,000 Harley-Davidson Financial Services 1.55% Bonds

17/11/2017 360 0.03

$200,000 Harley-Davidson Financial Services 2.85% European Medium Term Notes 15/1/2021 147 0.01

$750,000 Harris 3.832% Bonds 27/4/2025 547 0.05 $250,000 Hartford Financial Services 5.5% Bonds 30/3/2020 200 0.02 $350,000 Hartford Financial Services 6% Guaranteed Senior

Bonds 15/1/2019 278 0.03 $100,000 Hartford Financial Services 6.625% Senior Bonds

15/4/2042 87 0.01 $100,000 Harvard University 4.875% Bonds 15/10/2040 88 0.01 $300,000 Hasbro 5.1% Senior Notes 15/5/2044 206 0.02 $100,000 HBOS 6% Subordinated Notes 1/11/2033 82 0.01 $400,000 HCP 4% Bonds 1/12/2022 283 0.03 $700,000 HCP 4.25% Senior Notes 15/11/2023 488 0.05 $250,000 HCP 5.375% Senior Bonds 1/2/2021 193 0.02 $250,000 HCP 6.3% Guaranteed Senior Notes 15/9/2016 185 0.02 $175,000 Heathrow Funding 4.875% Senior Bonds 15/7/2023 137 0.01 $250,000 Heineken 1.4% Senior Notes 1/10/2017 180 0.02 $500,000 Heineken 2.75% Guaranteed Bonds 1/4/2023 360 0.03 $350,000 Hess 3.5% Bonds 15/7/24 198 0.02 $250,000 Hess 5.6% Senior Notes 15/2/2041 129 0.01 $250,000 Hess 6% Guaranteed Senior Bonds 15/1/2040 135 0.01 $500,000 Hess 8.125% Senior Notes 15/2/2019 373 0.04 $1,525,000 Hewlett Packard Enterprise 3.6% Bonds 15/10/2020 1,095 0.10 $600,000 Hewlett Packard Enterprise 4.9% Bonds 15/10/2025 409 0.04 $500,000 Hewlett Packard Enterprise 6.2% Bonds 15/10/2035 312 0.03 $250,000 Hewlett-Packard 4.05% Guaranteed Senior Bonds

15/9/2022 177 0.02 $500,000 Hewlett-Packard 4.3% Senior Notes 1/6/2021 364 0.03 $450,000 Hewlett-Packard 4.65% Senior Bonds 9/12/2021 331 0.03 $150,000 Hewlett-Packard 6% Senior Bonds 15/9/2041 89 0.01 $250,000 Historic TW 6.625% Guaranteed Bonds 15/5/2029 205 0.02 $350,000 HKT Capital No 2 3.625% Bonds 2/4/2025 251 0.02 $500,000 Holcim 6% Guaranteed Bonds 30/12/2019 400 0.04 $750,000 Home Depot 3% Bonds 1/4/2026 553 0.05 $1,000,000 Home Depot 3.35% Bonds 15/9/2025 763 0.07 $300,000 Home Depot 4.2% Senior Bonds 1/4/2043 221 0.02 $600,000 Home Depot 4.4% Senior Bonds 1/4/2021 481 0.05 $400,000 Home Depot 4.4% Senior Notes 15/3/2045 305 0.03 $300,000 Home Depot 4.875% Senior Notes 15/2/2044 242 0.02 $250,000 Home Depot 5.875% Guaranteed Senior Bonds

16/12/2036 225 0.02 $200,000 Home Depot 5.95% Guaranteed Senior Bonds 1/4/2041 184 0.02





$500,000 Honeywell International 4.25% Senior Notes 1/3/2021 400 0.04 $150,000 Honeywell International 5.375% Bonds 1/3/2041 130 0.01 $300,000 Honeywell International 5.7% Senior Notes 15/3/2037 271 0.03 $300,000 Hongkong Land Finance 4.5% Guaranteed European

Medium Term Notes 1/6/2022 235 0.02 $200,000 Hospitality Properties Trust 4.5% Bonds 15/6/2023 139 0.01 $200,000 Hospitality Properties Trust 5% Guaranteed Senior

Notes 15/8/2022 146 0.01 $375,000 Host Hotels & Resorts 4% Bonds 15/6/2025 261 0.03 $300,000 Host Hotels & Resorts 5.25% Senior Bonds 15/3/2022 231 0.02 $900,000 HSBC 1.5% Senior Bonds 15/5/2018 646 0.06 $700,000 HSBC 4.25% Bonds 18/8/2025 490 0.05 $500,000 HSBC 4.25% Subordinated Notes 14/3/2024 354 0.03 $500,000 HSBC 4.75% Senior Bonds 19/1/2021 398 0.04 $400,000 HSBC 4.875% Senior Notes 14/1/2022 315 0.03 $200,000 HSBC 5.25% Subordinated Notes 14/3/2044 137 0.01 $250,000 HSBC 5.875% Guaranteed Subordinated Bonds

1/11/2034 198 0.02 $500,000 HSBC 6.5% Guaranteed Subordinated Bonds 15/9/2037 400 0.04 $350,000 HSBC 6.5% Subordinated Bonds 2/5/2036 278 0.03 $500,000 HSBC 6.676% Guaranteed Senior Subordinated Notes

15/1/2021 402 0.04 $600,000 HSBC 6.8% Subordinated Notes 1/6/2038 494 0.05 $1,300,000 HSBC USA 2.75% Bonds 7/8/2020 933 0.09 $1,500,000 HSBC USA 3.5% Bonds 23/6/2024 1,092 0.10 $250,000 HSBC USA 5.625% Guaranteed Subordinated Bonds

15/8/2035 189 0.02 $300,000 Humana 3.15% Guaranteed Senior Notes 1/12/2022 215 0.02 $350,000 Humana 4.625% Bonds 1/12/2042 240 0.02 $600,000 Huntington National 2.2% Bonds 6/11/2018 431 0.04 $600,000 Huntington National 2.2% Senior Notes 1/4/2019 429 0.04 $950,000 Husky Energy 3.95% Senior Bonds 15/4/2022 591 0.06 $500,000 Hutchison Whampoa 3.5% Guaranteed Notes 13/1/2017 366 0.04 $200,000 Hutchison Whampoa 4.625% Guaranteed Bonds

13/1/2022 158 0.02 $700,000 Hutchison Whampoa 5.75% Guaranteed Notes 11/9/2019 564 0.05 $350,000 Hutchison Whampoa 7.625% Guaranteed Notes 9/4/2019 293 0.03 $500,000 Hutchison Whampoa International 14 3.625% Bonds

31/10/2024 368 0.04 $250,000 Hyundai Capital America 2.6% Bonds 19/3/2020 180 0.02 $400,000 Hyundai Capital America 2.875% Bonds 9/8/2018 291 0.03 $200,000 Hyundai Capital America 4% Guaranteed Notes 8/6/2017 148 0.01

$500,000 Hyundai Capital Services 3.5% Guaranteed Senior Notes 13/9/2017 369 0.04

$350,000 Iberdrola Finance Ireland 5% Guaranteed Notes 11/9/2019 273 0.03

$500,000 IBM 1.625% Senior Bonds 15/5/2020 357 0.03 $500,000 IBM 1.875% Senior Notes 15/5/2019 363 0.03 $750,000 IBM 1.875% Senior Notes 1/8/2022 520 0.05 $500,000 IBM 2.875% Bonds 9/11/2022 366 0.04 $300,000 IBM 2.9% Senior Bonds 1/11/2021 222 0.02 $400,000 IBM 3.45% Bonds 19/2/2026 292 0.03 $218,000 IBM 4% Notes 20/6/2042 149 0.01 $211,000 IBM 5.6% Guaranteed Senior Bonds 30/11/2039 170 0.02 $300,000 IBM 5.875% Senior Notes 29/11/2032 263 0.03 $1,000,000 IBM 7.625% Senior Notes 15/10/2018 832 0.08 $900,000 ICICI Bank 5.75% Senior Bonds 16/11/2020 724 0.07 $150,000 Illinois Tool Works 3.375% Senior Notes 15/9/2021 115 0.01 $500,000 Illinois Tool Works 3.5% Senior Notes 1/3/2024 382 0.04 $250,000 Illinois Tool Works 3.9% Guaranteed Senior Bonds

1/9/2042 176 0.02 $700,000 Imperial Brands Finance 2.95% Bonds 21/7/2020 511 0.05 $450,000 Imperial Brands Finance 3.5% Bonds 11/2/2023 325 0.03 $300,000 Imperial Brands Finance 4.25% Senior Notes 21/7/2025 225 0.02 $100,000 Indiana Michigan Power 6.05% Guaranteed Senior

Bonds 15/3/2037 83 0.01 $250,000 ING Bank 1.375% Senior Notes 7/3/2016 181 0.02 $500,000 ING Bank 2% Bonds 26/11/2018 360 0.03 $500,000 ING Bank 2.5% Bonds 1/10/2019 365 0.03 $200,000 ING Bank 2.7% Bonds 17/8/2020 146 0.01 $250,000 ING Bank 3.75% Notes 7/3/2017 185 0.02 $327,000 ING Bank 4% Senior Notes 15/3/2016 236 0.02 $300,000 ING Bank 5.8% Subordinated Notes 25/9/2023 232 0.02 $400,000 Ingersoll-Rand Global 2.875% Guaranteed Bonds

15/1/2019 293 0.03 $300,000 Ingersoll-Rand Luxembourg Finance 4.65% Bonds

1/11/2044 212 0.02 $500,000 Ingram Micro 4.95% Bonds 15/12/2024 352 0.03 $750,000 Intel 1.35% Senior Notes 15/12/2017 545 0.05 $100,000 Intel 1.95% Guaranteed Senior Notes 1/10/2016 73 0.01 $500,000 Intel 2.45% Bonds 29/7/2020 369 0.04 $750,000 Intel 2.7% Guaranteed Senior Bonds 15/12/2022 548 0.05 $300,000 Intel 3.3% Senior Bonds 1/10/2021 229 0.02 $600,000 Intel 3.7% Bonds 29/7/2025 466 0.04





$350,000 Intel 4.8% Guaranteed Senior Bonds 1/10/2041 269 0.03 $550,000 Intel 4.9% Bonds 29/7/2045 430 0.04 $500,000 Intercontinental Exchange 3.75% Bonds 1/12/2025 373 0.04 $200,000 Intercontinental Exchange 4% Guaranteed Bonds

15/10/2023 152 0.01 $200,000 International Lease Finance 6.75% Guaranteed Senior

Notes 1/9/2016 147 0.01 $350,000 International Lease Finance 7.125% Guaranteed Senior

Notes 1/9/2018 274 0.03 $500,000 International Paper 3.8% Bonds 15/1/2026 348 0.03 $150,000 International Paper 4.8% Senior Notes 15/6/2044 93 0.01 $300,000 International Paper 5% Bonds 15/9/2035 211 0.02 $200,000 International Paper 5.15% Bonds 15/5/2046 126 0.01 $150,000 International Paper 7.3% Senior Bonds 15/11/2039 118 0.01 $300,000 Interpublic 3.75% Guaranteed Senior Bonds 15/2/2023 212 0.02 $600,000 Intesa Sanpaolo 3.875% Guaranteed Bonds 15/1/2019 440 0.04 $400,000 Intesa Sanpaolo 5.25% Guaranteed Notes 12/1/2024 299 0.03 $250,000 Intesa Sanpaolo 6.5% Senior Bonds 24/2/2021 202 0.02 $200,000 Inversiones 4.75% Bonds 15/9/2024 142 0.01 $400,000 Inversiones CMPC 4.375% Bonds 15/5/2023 282 0.03 $600,000 Invesco Finance 4% Guaranteed Bonds 30/1/2024 457 0.04 $500,000 ITC 3.65% Senior Notes 15/6/2024 357 0.03 $300,000 Jabil Circuit 5.625% Senior Bonds 15/12/2020 224 0.02 $100,000 Jefferies 5.125% Guaranteed Senior Bonds 20/1/2023 71 0.01 $150,000 Jefferies 5.125% Senior Notes 13/4/2018 112 0.01 $150,000 Jefferies 6.5% Senior Bonds 20/1/2043 93 0.01 $200,000 Jefferies 8.5% Guaranteed Senior Bonds 15/7/2019 163 0.02 $300,000 Jersey Central Power & Light 4.7% Senior Notes 1/4/2024 230 0.02 $500,000 JM Smucker 1.75% Bonds 15/3/2018 360 0.03 $250,000 JM Smucker 4.25% Bonds 15/3/2035 180 0.02 $300,000 JM Smucker 4.375% Bonds 15/3/2045 214 0.02 $600,000 John Deere 1.2% Guaranteed Notes 10/10/2017 432 0.04 $400,000 John Deere 2.75% Bonds 15/3/22 293 0.03 $300,000 John Deere 3.9% Senior Bonds 12/7/2021 233 0.02 $1,000,000 John Deere Capital 1.05% Senior Notes 11/10/2016 723 0.07 $100,000 John Deere Capital 2.25% Notes 17/4/2019 73 0.01 $700,000 John Deere Capital 2.3% Medium Term Notes 16/9/2019 513 0.05 $200,000 John Deere Capital 2.8% Bonds 27/1/2023 145 0.01 $600,000 John Deere Capital 3.4% Medium Term Notes 11/9/2025 451 0.04 $500,000 Johnson & Johnson 2.15% Guaranteed Senior Notes

15/5/2016 362 0.03 $400,000 Johnson & Johnson 3.375% Bonds 5/12/2023 317 0.03

$500,000 Johnson & Johnson 4.5% Senior Notes 5/12/2043 415 0.04 $100,000 Johnson & Johnson 4.85% Senior Bonds 15/5/2041 86 0.01 $250,000 Johnson & Johnson 4.95% Senior Bonds 15/5/2033 216 0.02 $500,000 Johnson & Johnson 5.15% Bonds 15/7/2018 395 0.04 $100,000 Johnson & Johnson 5.85% Guaranteed Senior Bonds

15/7/2038 94 0.01 $400,000 Johnson Controls 4.25% Guaranteed Senior Bonds

1/3/2021 303 0.03 $200,000 Johnson Controls 4.95% Senior Notes 2/7/2064 128 0.01 $50,000 Johnson Controls 5.7% Senior Bonds 1/3/2041 38 0.00 $1,750,000 JP Morgan Chase 1.35% Senior Notes 15/2/2017 1,264 0.12 $2,000,000 JP Morgan Chase 1.625% Senior Notes 15/5/2018 1,436 0.14 $1,000,000 JP Morgan Chase 1.7% Medium Term Notes 1/3/2018 720 0.07 $700,000 JP Morgan Chase 1.8% Senior Notes 25/1/2018 505 0.05 $500,000 JP Morgan Chase 2% Senior Notes 15/8/2017 363 0.03 $750,000 JP Morgan Chase 2.25% Bonds 23/1/2020 539 0.05 $700,000 JP Morgan Chase 2.55% Bonds 29/10/2020 505 0.05 $750,000 JP Morgan Chase 2.75% Bonds 23/6/2020 546 0.05 $400,000 JP Morgan Chase 3.2% Senior Bonds 25/1/2023 291 0.03 $750,000 JP Morgan Chase 3.25% Senior Notes 23/9/2022 547 0.05 $750,000 JP Morgan Chase 3.375% Bonds 1/5/2023 532 0.05 $750,000 JP Morgan Chase 3.625% Senior Notes 13/5/2024 555 0.05 $900,000 JP Morgan Chase 3.875% Bonds 10/9/2024 651 0.06 $500,000 JP Morgan Chase 3.9% Bonds 15/7/2025 379 0.04 $1,000,000 JP Morgan Chase 4.4% Guaranteed Senior Bonds

22/7/2020 773 0.07 $1,050,000 JP Morgan Chase 4.5% Senior Bonds 24/1/2022 815 0.08 $500,000 JP Morgan Chase 4.85% Senior Notes 1/2/2044 401 0.04 $500,000 JP Morgan Chase 4.95% Bonds 1/6/2045 363 0.03 $250,000 JP Morgan Chase 5.4% Bonds 6/1/2042 206 0.02 $300,000 JP Morgan Chase 5.5% Senior Bonds 15/10/2040 251 0.02 $250,000 JP Morgan Chase 5.6% Guaranteed Senior Bonds

15/7/2041 211 0.02 $800,000 JP Morgan Chase 5.625% Subordinated Notes

16/8/2043 627 0.06 $700,000 JP Morgan Chase 6% Guaranteed Senior Bonds

15/1/2018 542 0.05 $350,000 JP Morgan Chase 6% Guaranteed Subordinated Bonds

5/7/2017 267 0.03 $700,000 JP Morgan Chase 6.3% Senior Notes 23/4/2019 566 0.05 $300,000 JP Morgan Chase 6.4% Guaranteed Senior Bonds

15/5/2038 270 0.03





$400,000 Juniper Networks 4.5% Senior Notes 15/3/2024 285 0.03 $500,000 Kansas City Power & Light 7.15% Bonds 1/4/2019 416 0.04 $50,000 Kansas City Power 5.3% Senior Bonds 1/10/2041 41 0.00 $250,000 Kansas City Southern 4.95% Bonds 15/8/2045 178 0.02 $200,000 KEB Hana Bank 2.5% European Medium Term Notes

27/1/2021 145 0.01 $750,000 Kellogg 2.75% Senior Notes 1/3/2023 534 0.05 $150,000 Kellogg 4% Senior Bonds 15/12/2020 115 0.01 $300,000 Kellogg 4.45% Senior Notes 30/5/2016 218 0.02 $400,000 Kentucky Utilities 3.25% Bonds 1 Mortgage Bonds

1/11/2020 305 0.03 $250,000 Kerr-McGee 6.95% Guaranteed Bonds 1/7/2024 163 0.02 $300,000 KeyBank 3.3% Bonds 1/6/2025 220 0.02 $400,000 KeyBank 5.45% Subordinated Bonds 3/3/2016 289 0.03 $500,000 KeyCorp 2.3% Senior Notes 13/12/2018 361 0.03 $250,000 KeyCorp 2.9% Medium Term Notes 15/9/2020 180 0.02 $350,000 KeyCorp 5.1% Senior Bonds 24/3/2021 277 0.03 $250,000 Keysight Technologies 3.3% Bonds 30/10/2019 179 0.02 $400,000 Keyspan Gas East 5.819% Guaranteed Senior Bonds

1/4/2041 352 0.03 $200,000 Kilroy Realty 4.375% Bonds 1/10/2025 150 0.01 $350,000 Kimberly-Clark 2.4% Senior Bonds 1/3/2022 256 0.02 $250,000 Kimberly-Clark 5.3% Senior Notes 1/3/2041 215 0.02 $150,000 Kimberly-Clark 6.625% Guaranteed Senior Bonds

1/8/2037 146 0.01 $400,000 Kimco Realty 6.875% Senior Notes 1/10/2019 333 0.03 $1,000,000 Kinder Morgan 3.05% Bonds 1/12/2019 661 0.06 $800,000 Kinder Morgan 4.3% Bonds 1/6/2025 515 0.05 $800,000 Kinder Morgan 5.3% Bonds 1/12/2034 452 0.04 $250,000 Kinder Morgan 5.55% Bonds 1/6/2045 148 0.01 $350,000 Kinder Morgan Energy 3.5% Bonds 1/9/2023 212 0.02 $500,000 Kinder Morgan Energy 3.95% Senior Bonds 1/9/2022 324 0.03 $250,000 Kinder Morgan Energy 5% Senior Bonds 1/3/2043 135 0.01 $300,000 Kinder Morgan Energy 5.3% Senior Bonds 15/9/2020 212 0.02 $300,000 Kinder Morgan Energy 5.5% Senior Notes 1/3/2044 172 0.02 $300,000 Kinder Morgan Energy 5.95% Senior Bonds 15/2/2018 220 0.02 $250,000 Kinder Morgan Energy 6.375% Senior Notes 1/3/2041 151 0.01 $200,000 Kinder Morgan Energy 6.85% Senior Notes 15/2/2020 148 0.01 $250,000 Kinder Morgan Energy 6.95% Guaranteed Senior Bonds

15/1/2038 163 0.02 $150,000 Kinder Morgan Energy 7.4% Senior Bonds 15/3/2031 100 0.01

$300,000 Kinder Morgan Energy Partners 5% Senior Notes 15/8/2042 162 0.02

$400,000 Kinross Gold 5.95% Bonds 15/3/2024 227 0.02 $200,000 KKR 5.5% Guaranteed Bonds 1/2/2043 146 0.01 $200,000 KKR FinanceIII 5.125% Bonds 1/6/2044 140 0.01 $500,000 KLA-Tencor 4.65% Bonds 1/11/2024 354 0.03 $150,000 Kohl’s 4% Senior Bonds 1/11/2021 109 0.01 $200,000 Kohl’s 4.25% Bonds 17/7/2025 138 0.01 $200,000 Kohl’s 5.55% Bonds 17/7/2045 127 0.01 $400,000 Kookmin Bank 1.625% Bonds 14/7/2017 289 0.03 $400,000 Korea Exchange Bank 3.125% Senior Bonds 26/6/2017 294 0.03 $250,000 KPN 8.375% Senior Notes 1/10/2030 235 0.02 $800,000 Kraft Heinz Foods 2.8% Bonds 2/7/2020 583 0.06 $325,000 Kraft Heinz Foods 3.5% Bonds 15/7/2022 241 0.02 $350,000 Kraft Heinz Foods 3.5% Guaranteed Senior Notes

6/6/2022 260 0.02 $500,000 Kraft Heinz Foods 3.95% Bonds 15/7/2025 377 0.04 $500,000 Kraft Heinz Foods 4.875% Bonds 15/2/2025 394 0.04 $350,000 Kraft Heinz Foods 5% Bonds 15/7/2035 263 0.03 $350,000 Kraft Heinz Foods 5% Guaranteed Senior Bonds

4/6/2042 260 0.02 $400,000 Kraft Heinz Foods 5.2% Bonds 15/7/2045 310 0.03 $600,000 Kraft Heinz Foods 6.125% Guaranteed Senior Notes

23/8/2018 474 0.05 $400,000 Kraft Heinz Foods 6.5% Senior Notes 9/2/2040 345 0.03 $500,000 Kroger 2.3% Senior Notes 15/1/2019 367 0.04 $500,000 Kroger 3.3% Senior Notes 15/1/2021 377 0.04 $300,000 Kroger 5% Senior Bonds 15/4/2042 231 0.02 $150,000 Kroger 6.15% Guaranteed Bonds 15/1/2020 123 0.01 $150,000 Kuwait Projects 8.875% Guaranteed European Medium

Term Notes 17/10/2016 113 0.01 $257,000 L-3 Communications 3.95% Guaranteed Notes 28/5/2024 173 0.02 $250,000 L-3 Communications 5.2% Guaranteed Notes 15/10/2019 190 0.02 $500,000 Laboratory Corporation of America 2.2% Guaranteed

Senior Notes 23/8/2017 362 0.03 $250,000 Laboratory Corporation of America 3.6% Bonds 1/2/2025 178 0.02 $350,000 Laboratory Corporation of America 4.7% Bonds 1/2/2045 236 0.02 $250,000 Lasmo 7.3% Guaranteed Bonds 15/11/2027 206 0.02 $200,000 Legg Mason 5.625% Senior Notes 15/1/2044 138 0.01 $200,000 Legrand France 8.5% Guaranteed Senior Bonds

15/2/2025 194 0.02 $300,000 Leucadia National 5.5% Senior Notes 18/10/2023 193 0.02





$300,000 Lexmark International 5.125% Bonds 15/3/2020 220 0.02 $200,000 Liberty Mutual 5% Guaranteed Bonds 1/6/2021 155 0.01 $450,000 Liberty Mutual 6.5% Guaranteed Bonds 1/5/2042 377 0.04 $300,000 Liberty Property 4.125% Senior Notes 15/6/2022 223 0.02 $400,000 Life Technologies 6% Bonds 1/3/2020 322 0.03 $150,000 Lincoln National 3.35% Bonds 9/3/2025 103 0.01 $250,000 Lincoln National 4.2% Bonds 15/3/2022 187 0.02 $200,000 Lincoln National 6.15% Guaranteed Senior Bonds

7/4/2036 158 0.02 $100,000 Lincoln National 6.3% Senior Bonds 9/10/2037 80 0.01 $200,000 Lincoln National 8.75% Senior Bonds 1/7/2019 172 0.02 $400,000 Link Finance Cayman 2009 3.6% European Medium

Term Notes 3/9/2024 294 0.03 $550,000 Lloyds Bank 2.7% Bonds 17/8/2020 397 0.04 $600,000 Lloyds Bank 3.5% Notes 14/5/2025 438 0.04 $200,000 Lloyds Bank 4.2% Guaranteed Notes 28/3/2017 149 0.01 $200,000 Lloyds Bank 4.5% Bonds 4/11/2024 143 0.01 $1,019,000 Lloyds Bank 4.582% Bonds 10/12/2025 719 0.07 $200,000 Lloyds Bank 5.3% Bonds 1/12/2045 140 0.01 $250,000 Lloyds Bank 5.8% Guaranteed Bonds 13/1/2020 202 0.02 $500,000 Lockheed Martin 1.85% Bonds 23/11/2018 363 0.03 $500,000 Lockheed Martin 2.125% Senior Notes 15/9/2016 363 0.03 $600,000 Lockheed Martin 2.9% Bonds 1/3/2025 431 0.04 $50,000 Lockheed Martin 3.1% Bonds 15/1/2023 37 0.00 $550,000 Lockheed Martin 3.35% Senior Bonds 15/9/2021 417 0.04 $645,000 Lockheed Martin 4.07% Senior Bonds 15/12/2042 453 0.04 $475,000 Lockheed Martin 4.5% Bonds 15/5/2036 360 0.03 $300,000 Lockheed Martin 4.7% Bonds 15/5/2046 234 0.02 $450,000 Lowe’s 1.625% Senior Notes 15/4/2017 327 0.03 $100,000 Lowe’s 2.125% Guaranteed Senior Notes 15/4/2016 72 0.01 $350,000 Lowe’s 2.625% Senior Bonds 15/5/2023 247 0.02 $150,000 Lowe’s 3.12% Senior Notes 15/4/2022 113 0.01 $750,000 Lowe’s 3.75% Bonds 15/4/2021 583 0.06 $400,000 Lowe’s 4.375% Bonds 15/9/2045 302 0.03 $200,000 Lowe’s 4.65% Senior Bonds 15/4/2042 154 0.01 $550,000 Lowe’s 5.8% Guaranteed Senior Bonds 15/4/2040 483 0.05 $250,000 LS Finance 2025 4.5% Bonds 26/6/2025 175 0.02 $150,000 Lubrizol 6.5% Guaranteed Bonds 1/10/2034 139 0.01 $500,000 Lukoil International Finance 4.563% Guaranteed Bonds

24/4/2023 327 0.03 $450,000 Lukoil International Finance 7.25% Guaranteed Notes

5/11/2019 350 0.03

$100,000 LVMH Moet Hennessy Louis Vuitton1.625% Guaranteed Senior Notes 29/6/2017 73 0.01

$200,000 LYB International Finance 4.875% Guaranteed Bonds 15/3/2044 129 0.01

$400,000 LyondellBasell Industries 4.625% Bonds 26/2/2055 237 0.02 $400,000 LyondellBasell Industries 5% Bonds 15/4/2019 305 0.03 $700,000 LyondellBasell Industries 5.75% Senior Bonds 15/4/2024 565 0.05 $200,000 Macquarie Bank 2.6% Bonds 24/6/2019 145 0.01 $600,000 Macquarie Bank 2.85% Bonds 29/7/2020 434 0.04 $500,000 Macquarie Bank 3.9% Bonds 15/1/2026 355 0.03 $300,000 Macquarie Bank 4.875% Bonds 10/8/2017 224 0.02 $300,000 Macquarie Bank 5% Senior Notes 22/2/2017 223 0.02 $200,000 Macquarie Bank 6.625% Bonds 7/4/2021 163 0.02 $500,000 Macquarie Bank 7.625% Senior Notes 13/8/2019 407 0.04 $200,000 Macy’s Retail 3.875% Guaranteed Senior Bonds 15/1/2022 143 0.01 $500,000 Macy’s Retail 4.375% Guaranteed Bonds 1/9/2023 351 0.03 $400,000 Macy’s Retail 4.5% Bonds 15/12/2034 229 0.02 $200,000 Macy’s Retail 5.9% Guaranteed Bonds 1/12/2016 149 0.01 $100,000 Macy’s Retail 6.375% Guaranteed Bonds 15/3/2037 68 0.01 $250,000 Magellan Midstream 4.25% Guaranteed Senior Bonds

1/2/2021 180 0.02 $500,000 Magna International 4.15% Bonds 1/10/2025 373 0.04 $500,000 Manufacturers & Traders Trust 1.45% Senior Notes

7/3/2018 358 0.03 $500,000 Manufacturers & Traders Trust 2.25% Bonds 25/7/2019 362 0.03 $500,000 Marathon Oil 2.8% Guaranteed Senior Bonds 1/11/2022 235 0.02 $500,000 Marathon Oil 3.85% Bonds 1/6/2025 242 0.02 $100,000 Marathon Oil 6% Guaranteed Senior Bonds 1/10/2017 70 0.01 $100,000 Marathon Oil 6.6% Senior Bonds 1/10/2037 49 0.00 $300,000 Marathon Petroleum 5% Bonds 15/9/2054 141 0.01 $300,000 Marathon Petroleum 5.125% Senior Notes 1/3/2021 215 0.02 $300,000 Marathon Petroleum 6.5% Senior Bonds 1/3/2041 167 0.02 $500,000 Marriott International 3.25% Bonds 15/9/2022 360 0.03 $300,000 Marsh & McLennan 3.5% Bonds 3/6/2024 217 0.02 $500,000 Marsh & McLennan 3.75% Bonds 14/3/2026 365 0.03 $100,000 Mass Mutual Life Insurance 8.875% Subordinated

Bonds 1/6/2039 105 0.01 $400,000 Massachusetts Institute of Technology 4.678% Bonds

1/7/2014 315 0.03 $250,000 Massachusetts Mutual Life Insurance 4.5% Bonds

15/4/2065 166 0.02 $500,000 MassMutual Global Funding II 2.1% Bonds 2/8/2018 364 0.03





$500,000 MasterCard 3.375% Senior Notes 1/4/2024 377 0.04 $500,000 McDonald’s 2.75% Bonds 9/12/2020 370 0.04 $700,000 McDonald’s 3.375% Medium Term Notes 26/5/2025 518 0.05 $350,000 McDonald’s 3.625% Medium Term Notes 1/5/2043 217 0.02 $200,000 McDonald’s 3.7% Senior Bonds 15/2/2042 124 0.01 $600,000 McDonald’s 4.875% Medium Term Notes 9/12/2045 455 0.04 $700,000 McDonald’s 5.35% Guaranteed Senior Bonds 1/3/2018 542 0.05 $100,000 McDonald’s 6.3% Senior Bonds 15/10/2037 87 0.01 $500,000 McGraw Hill Financial 2.5% Bonds 15/8/2018 363 0.03 $550,000 McGraw Hill Financial 4% Bonds 15/6/2025 402 0.04 $1,000,000 McKesson 2.284% Senior Notes 15/3/2019 724 0.07 $550,000 McKesson 2.7% Guaranteed Senior Bonds 15/12/2022 388 0.04 $150,000 McKesson 6% Guaranteed Senior Bonds 1/3/2041 122 0.01 $300,000 Mead Johnson Nutrition 4.6% Bonds 1/6/2044 208 0.02 $300,000 Mead Johnson Nutrition 4.9% Guaranteed Senior

Notes 1/11/2019 235 0.02 $750,000 Medtronic 1.375% Senior Notes 1/4/2018 542 0.05 $100,000 Medtronic 2.625% Guaranteed Senior Notes 15/3/2016 72 0.01 $200,000 Medtronic 3.125% Guaranteed Senior Notes 15/3/2022 148 0.01 $1,000,000 Medtronic 3.15% Bonds 15/3/2022 748 0.07 $1,000,000 Medtronic 3.5% Bonds 15/3/2025 755 0.07 $400,000 Medtronic 4% Senior Bonds 1/4/2043 277 0.03 $750,000 Medtronic 4.375% Bonds 15/3/2035 557 0.05 $600,000 Medtronic 4.45% Bonds 15/3/2020 472 0.05 $600,000 Medtronic 4.625% Bonds 15/3/2045 459 0.04 $100,000 Medtronic 5.55% Senior Bonds 15/3/2040 85 0.01 $200,000 Mega Advance Investments 5% Guaranteed Bonds

12/5/2021 155 0.01 $500,000 Meiji Yasuda Life Insurance 5.2% Bonds 20/10/2045 374 0.04 $250,000 Memorial Sloan-Kettering Cancer Center 4.2% Bonds

1/7/2055 182 0.02 $250,000 Merck 1.85% Bonds 10/2/2020 182 0.02 $250,000 Merck 2.35% Bonds 10/2/2022 181 0.02 $500,000 Merck 2.4% Guaranteed Senior Bonds 15/9/2022 362 0.03 $500,000 Merck 2.75% Bonds 10/2/2025 363 0.03 $200,000 Merck 2.8% Senior Bonds 18/5/2023 148 0.01 $250,000 Merck 3.6% Senior Notes 15/9/2042 170 0.02 $300,000 Merck 3.7% Bonds 10/2/2045 206 0.02 $750,000 Merck 4.15% Senior Notes 18/5/2043 553 0.05 $650,000 Merck 5% Guaranteed Senior Bonds 30/6/2019 522 0.05 $150,000 MetLife 10.75% Bonds 1/8/2039 160 0.02 $500,000 MetLife 3% Bonds 1/3/2025 344 0.03

$500,000 MetLife 3.6% Senior Notes 10/4/2024 362 0.03 $800,000 MetLife 4.125% Senior Notes 13/8/2042 521 0.05 $300,000 MetLife 4.6% Bonds 13/5/2046 211 0.02 $150,000 MetLife 5.7% Guaranteed Senior Bonds 15/6/2035 120 0.01 $300,000 MetLife 6.4% Subordinated Bonds 15/12/2066 212 0.02 $500,000 MetLife 7.717% Bonds 15/2/2019 417 0.04 $300,000 MetLife Capital Trust X 9.25% Subordinated Bonds

8/4/2068 282 0.03 $150,000 Metropolitan Life Global Funding 3.65% Guaranteed

Notes 14/6/2018 113 0.01 $750,000 Metropolitan Life Global Funding I 1.5% Guaranteed

Bonds 10/1/2018 538 0.05 $750,000 Metropolitan Life Global Funding I 1.875% Guaranteed

Bonds 22/6/2018 539 0.05 $1,000,000 Metropolitan Life Global Funding I 1.95% Bonds

3/12/2018 719 0.07 $500,000 Metropolitan Life Global Funding I 2% Bonds 14/4/2020 355 0.03 $250,000 Mexichem 4.875% Guaranteed Senior Notes 19/9/2022 180 0.02 $250,000 Mexichem 5.875% Bonds 17/9/2044 149 0.01 $500,000 Microsoft 0.875% Senior Notes 15/11/2017 361 0.03 $500,000 Microsoft 1.3% Bonds 3/11/2018 362 0.03 $400,000 Microsoft 1.85% Bonds 12/2/2020 293 0.03 $925,000 Microsoft 2% Bonds 3/11/2020 676 0.06 $350,000 Microsoft 2.375% Bonds 12/2/2022 257 0.02 $1,000,000 Microsoft 2.7% Bonds 12/2/2025 732 0.07 $950,000 Microsoft 3.125% Bonds 3/11/2025 720 0.07 $500,000 Microsoft 3.5% Bonds 12/2/2035 346 0.03 $450,000 Microsoft 3.75% Bonds 12/2/2045 310 0.03 $250,000 Microsoft 4% Bonds 12/2/2055 167 0.02 $600,000 Microsoft 4.2% Bonds 3/11/2035 453 0.04 $250,000 Microsoft 4.2% Guaranteed Senior Bonds 1/6/2019 197 0.02 $300,000 Microsoft 4.75% Bonds 3/11/2055 223 0.02 $500,000 Microsoft 4.875% Senior Notes 15/12/2043 403 0.04 $100,000 Microsoft 5.2% Senior Bonds 1/6/2039 83 0.01 $250,000 Microsoft 5.3% Senior Bonds 8/2/2041 209 0.02 $500,000 Mid-America Apartments 4% Bonds 15/11/2025 366 0.04 $500,000 MidAmerican Energy 2.4% Bonds 15/3/2019 369 0.04 $300,000 MidAmerican Energy 4.25% Bonds 1/5/2046 225 0.02 $250,000 Mitsubishi 2.25% Senior Notes 14/9/2016 181 0.02 $200,000 Mitsubishi 2.875% Senior Bonds 18/7/2018 148 0.01 $500,000 Mitsubishi 3.375% European Medium Term Notes

23/7/2024 364 0.03





$500,000 Mitsubishi UFJ Lease & Finance 2.75% European Medium Term Notes 21/10/2020 360 0.03

$500,000 Mitsubishi UFJ Trust & Banking 2.65% Bonds 19/10/2020 362 0.03 $1,000,000 Mizuho Bank 1.7% Bonds 25/9/2017 720 0.07 $1,750,000 Mizuho Bank 2.45% Guaranteed Bonds 16/4/2019 1,266 0.12 $500,000 Mizuho Bank 2.55% Guaranteed Notes 17/3/2017 365 0.03 $500,000 Mizuho Bank 3.2% Bonds 26/3/2025 364 0.03 $250,000 Mizuho Financial 2 4.2% Guaranteed Notes 18/7/2022 187 0.02 $500,000 Mizuho Financial Cayman 3 4.6% Guaranteed Bonds

27/3/2024 374 0.04 $250,000 MMC Norilsk Nickel 5.55% Senior Notes 28/10/2020 181 0.02 $500,000 Molex Electronics 3.9% Bonds 15/4/2025 346 0.03 $150,000 Molson Coors Brewing 3.5% Guaranteed Notes 1/5/2022 111 0.01 $150,000 Molson Coors Brewing 5% Guaranteed Bonds 1/5/2042 106 0.01 $400,000 Mondelez International 4% Senior Notes 1/2/2024 299 0.03 $350,000 Mondelez International 5.375% Guaranteed Senior

Bonds 10/2/2020 282 0.03 $200,000 Mondelez International 6.5% Guaranteed Senior Bonds

9/2/2040 182 0.02 $750,000 Monsanto 1.85% Bonds 15/11/2018 539 0.05 $175,000 Monsanto 3.375% Senior Notes 15/7/2024 125 0.01 $500,000 Monsanto 3.95% Bonds 15/4/2045 288 0.03 $300,000 Monsanto 4.4% Senior Notes 15/7/2044 188 0.02 $400,000 Moody’s 4.875% Senior Notes 15/2/2024 315 0.03 $500,000 Morgan Stanley 2.125% Senior Notes 25/4/2018 361 0.03 $800,000 Morgan Stanley 2.5% Bonds 24/1/2019 581 0.06 $1,250,000 Morgan Stanley 2.65% Bonds 27/1/2020 900 0.09 $500,000 Morgan Stanley 3.7% Bonds 23/10/2024 365 0.03 $250,000 Morgan Stanley 3.75% Bonds 25/2/2023 185 0.02 $500,000 Morgan Stanley 3.875% Bonds 27/1/2026 370 0.04 $500,000 Morgan Stanley 3.95% Bonds 23/4/2027 348 0.03 $400,000 Morgan Stanley 4.1% Subordinated Bonds 22/5/2023 291 0.03 $500,000 Morgan Stanley 4.3% Senior Bonds 27/1/2045 343 0.03 $500,000 Morgan Stanley 4.35% Medium Term Notes 8/9/2026 358 0.03 $250,000 Morgan Stanley 4.875% Guaranteed Subordinated

Bonds 1/11/2022 190 0.02 $300,000 Morgan Stanley 5% Subordinated Notes 24/11/2025 227 0.02 $500,000 Morgan Stanley 5.5% Bonds 28/7/2021 404 0.04 $400,000 Morgan Stanley 5.5% Guaranteed Senior Notes

26/1/2020 317 0.03 $950,000 Morgan Stanley 5.5% Senior Notes 24/7/2020 759 0.07 $300,000 Morgan Stanley 5.625% Senior Notes 23/9/2019 237 0.02

$1,050,000 Morgan Stanley 5.75% Senior Bonds 18/10/2016 780 0.07 $1,000,000 Morgan Stanley 5.75% Senior Notes 25/1/2021 811 0.08 $900,000 Morgan Stanley 5.95% Guaranteed Senior Bonds

28/12/2017 694 0.07 $800,000 Morgan Stanley 6.25% Guaranteed Senior Bonds

9/8/2026 680 0.07 $450,000 Morgan Stanley 6.375% Guaranteed Senior Bonds

24/7/2042 403 0.04 $500,000 Morgan Stanley 6.625% Bonds 1/4/2018 393 0.04 $300,000 Morgan Stanley 7.25% Senior Notes 1/4/2032 283 0.03 $900,000 Morgan Stanley 7.3% Guaranteed Senior Notes

13/5/2019 741 0.07 $500,000 Mosaic 4.25% Bonds 15/11/2023 352 0.03 $300,000 Mosaic 5.625% Senior Notes 15/11/2043 201 0.02 $250,000 Motiva Enterprises 5.75% Bonds 15/1/2020 186 0.02 $200,000 Motiva Enterprises 6.85% Senior Notes 15/1/2040 142 0.01 $500,000 Motorola Solutions 3.5% Bonds 1/3/2023 310 0.03 $500,000 Motorola Solutions 3.75% Senior Notes 15/5/2022 334 0.03 $1,000,000 MPLX 4.875% Bonds 1/6/2025 586 0.06 $300,000 MUFG Americas 3% Bonds 10/2/2025 209 0.02 $600,000 MUFG Union Bank 1.5% Senior Notes 26/9/2016 434 0.04 $275,000 Murphy Oil 2.5% Guaranteed Senior Notes 1/12/2017 164 0.02 $125,000 Murphy Oil 3.7% Senior Notes 1/12/2022 52 0.00 $500,000 Mylan 2.6% Senior Bonds 24/6/2018 358 0.03 $100,000 Mylan 3.125% Guaranteed Bonds 15/1/2023 67 0.01 $300,000 Mylan 5.4% Senior Notes 29/11/2043 196 0.02 $300,000 Myriad Internationals 5.5% Bonds 21/7/2025 211 0.02 $200,000 Nabors Industries 4.625% Guaranteed Notes 15/9/2021 94 0.01 $500,000 Nabors Industries 6.15% Guaranteed Bonds 15/2/2018 336 0.03 $50,000 Nabors Industries 9.25% Guaranteed Notes 15/1/2019 34 0.00 $750,000 National Australia Bank 2% Bonds 14/1/2019 542 0.05 $750,000 National Australia Bank 2.3% Senior Notes 25/7/2018 547 0.05 $500,000 National Australia Bank 2.625% Bonds 23/7/2020 364 0.03 $500,000 National Australia Bank 2.75% Senior Bonds 9/3/2017 366 0.04 $250,000 National City Bank Cleveland 5.8% Subordinated Bonds

7/6/2017 189 0.02 $500,000 National Fuel Gas 5.2% Bonds 15/7/2025 315 0.03 $250,000 National Oilwell Varco I 3.95% Guaranteed Senior Bonds

1/12/2042 121 0.01 $350,000 National Retail Properties 3.3% Bonds 15/4/2023 248 0.02 $250,000 National Rural Utilities 10.375% Guaranteed Bonds

1/11/2018 219 0.02





$300,000 National Rural Utilities Cooperative Finance 2% Bonds 27/1/2020 217 0.02

$300,000 National Rural Utilities Cooperative Finance 2.85% Bonds 27/1/2025 215 0.02

$500,000 National Rural Utilities Cooperative Finance 3.25% Bonds 1/11/2025 374 0.04

$750,000 Nationwide Building Society 2.35% Bonds 21/1/2020 537 0.05 $150,000 Nationwide Building Society 9.375% Notes 15/8/2039 156 0.01 $400,000 Nationwide Mutual Insurance 4.95% Subordinated

Notes 22/4/2044 286 0.03 $150,000 Nationwide Mutual Insurance 8.25% Guaranteed

Subordinated Bonds 1/12/2031 146 0.01 $500,000 NBCUniversal Enterprise 1.662% Guaranteed Notes

15/4/2018 362 0.03 $500,000 NBCUniversal Enterprise 1.974% Guaranteed Bonds

15/4/2019 363 0.03 $750,000 NBCUniversal Media 2.875% Guaranteed Bonds

15/1/2023 551 0.05 $400,000 NBCUniversal Media 4.375% Senior Notes 1/4/2021 318 0.03 $400,000 NBCUniversal Media 5.15% Guaranteed Senior Notes

30/4/2020 325 0.03 $250,000 NBCUniversal Media 5.95% Guaranteed Senior Bonds

1/4/2041 217 0.02 $200,000 NBCUniversal Media 6.4% Bonds 30/4/2040 181 0.02 $100,000 Nestlé 1.375% Guaranteed European Medium Term

Notes 21/6/2017 72 0.01 $500,000 Nestlé 2.125% European Medium Term Notes 14/1/2020 368 0.04 $200,000 Nevada Power 6.75% Bonds 1/7/2037 191 0.02 $100,000 Nevada Power 7.125% Guaranteed Bonds 15/3/2019 82 0.01 $750,000 New Cingular Wireless 8.75% Guaranteed Senior Bonds

1/3/2031 771 0.07 $500,000 New York Life Global Funding 2.1% Guaranteed Notes

2/1/2019 364 0.03 $500,000 New York Life Global Funding 2.15% Bonds 18/6/2019 364 0.03 $100,000 New York Life Insurance 5.875% Guaranteed Subordinated

Bonds 15/5/2033 87 0.01 $200,000 New York Life Insurance 6.75% Subordinated Bonds

15/11/2039 187 0.02 $200,000 Newcrest Finance 5.75% Guaranteed Bonds 15/11/2041 112 0.01 $500,000 Newell Rubbermaid 4% Bonds 1/12/2024 343 0.03 $400,000 Newmont Mining 4.875% Guaranteed Bonds 15/3/2042 222 0.02 $400,000 Newmont Mining 5.125% Guaranteed Bonds 1/10/2019 305 0.03

$250,000 Newmont Mining 6.25% Guaranteed Bonds 1/10/2039 160 0.02 $550,000 Nextera Energy Capital 4.5% Guaranteed Notes 1/6/2021 428 0.04 $300,000 Niagara Mohawk Power 2.721% Senior Notes 28/11/2022 216 0.02 $100,000 Niagara Mohawk Power 4.119% Guaranteed Senior Bonds

28/11/2042 71 0.01 $300,000 Niagara Mohawk Power 4.881% Senior Bonds 15/8/2019 235 0.02 $250,000 Nike 2.25% Senior Bonds 1/5/2023 181 0.02 $300,000 Nike 3.875% Bonds 1/11/2045 220 0.02 $400,000 Nippon Life Insurance 4.7% Bonds 20/1/2046 291 0.03 $500,000 Nippon Life Insurance 5.1% Bonds 16/10/2044 374 0.04 $500,000 Nippon Telegraph & Telephone 2.15% Bonds 26/2/2020 360 0.03 $200,000 NiSource Finance 5.25% Guaranteed Bonds 15/2/2043 158 0.02 $300,000 NiSource Finance 5.65% Guaranteed Bonds 1/2/2045 250 0.02 $250,000 NiSource Finance 6.8% Guaranteed Bonds 15/1/2019 201 0.02 $500,000 Nissan Motor 1.8% Bonds 15/3/2018 360 0.03 $500,000 Nissan Motor Acceptance 1.95% Guaranteed Senior

Notes 12/9/2017 362 0.03 $100,000 Noble 4.9% Guaranteed Bonds 1/8/2020 43 0.00 $200,000 Noble 5.25% Bonds 15/3/2042 58 0.01 $150,000 Noble 6.2% Guaranteed Bonds 1/8/2040 47 0.00 $200,000 Noble Energy 4.15% Guaranteed Senior Bonds

15/12/2021 126 0.01 $350,000 Noble Energy 5.05% Bonds 15/11/2044 185 0.02 $250,000 Noble Energy 5.25% Senior Notes 15/11/2043 131 0.01 $200,000 Noble Energy 8.25% Senior Bonds 1/3/2019 146 0.01 $250,000 Noble International 6.95% Bonds 1/4/2045 83 0.01 $350,000 Nomura 6.7% Senior Bonds 4/3/2020 290 0.03 $1,500,000 Nordea Bank 2.5% Bonds 17/9/2020 1,088 0.10 $700,000 Nordea Bank 3.125% Senior Notes 20/3/2017 515 0.05 $200,000 Nordea Bank 4.875% Guaranteed Senior Bonds

14/1/2021 160 0.02 $500,000 Nordea Bank 4.875% Senior Bonds 27/1/2020 395 0.04 $250,000 Nordea Bank 4.875% Subordinated Notes 13/5/2021 193 0.02 $250,000 Nordstrom 4.75% Guaranteed Senior Bonds 1/5/2020 195 0.02 $400,000 Nordstrom 5% Bonds 15/1/2044 274 0.03 $300,000 Norfolk Southern 2.903% Senior Bonds 15/2/2023 213 0.02 $200,000 Norfolk Southern 3.25% Senior Bonds 1/12/2021 145 0.01 $400,000 Norfolk Southern 3.85% Senior Notes 15/1/2024 300 0.03 $250,000 Norfolk Southern 4.65% Bonds 15/1/2046 178 0.02 $300,000 Norfolk Southern 4.8% Bonds 15/8/2043 219 0.02 $111,000 Norfolk Southern 4.837% Senior Bonds 1/10/2041 80 0.01 $150,000 Norfolk Southern 5.59% Senior Bonds 17/5/2025 125 0.01





$350,000 Norfolk Southern 5.9% Senior Bonds 15/6/2019 281 0.03 $100,000 Norfolk Southern 6% Senior Notes 23/5/2111 78 0.01 $700,000 Northeast Utilities 2.8% Senior Notes 1/5/2023 494 0.05 $500,000 Northern States Power 2.15% Guaranteed Bonds

15/8/2022 356 0.03 $500,000 Northern States Power 2.6% Notes 15/5/2023 366 0.04 $250,000 Northern States Power 3.4% Bonds 15/8/2042 168 0.02 $200,000 Northern States Power 4% Bonds 15/8/2045 147 0.01 $500,000 Northern Trust 3.375% Senior Notes 23/8/2021 381 0.04 $150,000 Northern Trust 3.45% Guaranteed Senior Bonds

4/11/2020 114 0.01 $700,000 Northrop Grumman 3.25% Senior Bonds 1/8/2023 520 0.05 $700,000 Northrop Grumman 3.5% Bonds 15/3/2021 528 0.05 $200,000 Northrop Grumman 4.75% Senior Notes 1/6/2043 155 0.01 $400,000 Northwestern Mutual Life 6.063% Subordinated Bonds

30/3/2040 349 0.03 $500,000 Novartis Capital 2.4% Guaranteed Notes 21/9/2022 365 0.03 $400,000 Novartis Capital 3% Bonds 20/11/2025 297 0.03 $1,000,000 Novartis Capital 3.4% Guaranteed Bonds 6/5/2024 770 0.07 $200,000 Novartis Capital 4% Bonds 20/11/2045 147 0.01 $300,000 Novartis Capital 4.4% Bonds 6/5/2044 233 0.02 $300,000 Novartis Capital 4.4% Guaranteed Bonds 24/4/2020 240 0.02 $250,000 Novartis Securities Investment 5.125% Guaranteed

Notes 10/2/2019 199 0.02 $250,000 Nstar Electric 2.375% Guaranteed Senior Notes

15/10/2022 179 0.02 $400,000 Nucor 4.125% Senior Bonds 15/9/2022 295 0.03 $300,000 Nucor 5.2% Senior Notes 1/8/2043 201 0.02 $150,000 Nucor 5.75% Guaranteed Senior Notes 1/12/2017 113 0.01 $400,000 NYSE Euronext 2% Senior Bonds 5/10/2017 291 0.03 $300,000 Occidental Petroleum 3.125% Senior Bonds 15/2/2022 214 0.02 $700,000 Occidental Petroleum 4.1% Guaranteed Senior Bonds

1/2/2021 530 0.05 $250,000 Occidental Petroleum 4.125% Senior Notes 1/6/2016 181 0.02 $500,000 Odebrecht Finance 5.25% Notes 27/6/2029 159 0.02 $150,000 Oglethorpe Power 5.375% Guaranteed Bonds 1/11/2040 120 0.01 $300,000 Oglethorpe Power 5.95% Notes 1/11/2039 256 0.02 $400,000 Omega Healthcare Investors 4.95% Bonds 1/4/2024 295 0.03 $300,000 Omega Healthcare Investors 5.25% Bonds 15/1/2026 219 0.02 $200,000 Omnicom 3.625% Senior Bonds 1/5/2022 146 0.01 $500,000 Omnicom 3.65% Bonds 1/11/2024 360 0.03 $300,000 Omnicom 4.45% Guaranteed Senior Bonds 15/8/2020 227 0.02

$250,000 Oncor Electric Delivery 5.25% Bonds 30/9/2040 198 0.02 $200,000 Oncor Electric Delivery 5.3% Guaranteed Senior Bonds

1/6/2042 160 0.02 $400,000 Oncor Electric Delivery 6.8% Senior Notes 1/9/2018 320 0.03 $250,000 Oncor Electric Delivery 7% Guaranteed Senior Bonds

1/9/2022 219 0.02 $500,000 ONE Gas 3.61% Bonds 1/2/2024 376 0.04 $300,000 ONEOK 3.375% Guaranteed Bonds 1/10/2022 171 0.02 $150,000 ONEOK 6.85% Guaranteed Bonds 15/10/2037 84 0.01 $350,000 ONEOK 8.625% Guaranteed Bonds 1/3/2019 260 0.02 $500,000 ONEOK Partners 4.9% Bonds 15/3/2025 295 0.03 $150,000 ONEOK Partners 6.65% Guaranteed Bonds 1/10/2036 82 0.01 $250,000 Optus Finance 4.625% Guaranteed European Medium

Term Notes 15/10/2019 195 0.02 $400,000 Oracle 1.2% Guaranteed Senior Notes 15/10/2017 290 0.03 $750,000 Oracle 2.25% Bonds 8/10/2019 553 0.05 $1,250,000 Oracle 2.375% Senior Notes 15/1/2019 924 0.09 $400,000 Oracle 2.5% Bonds 15/10/2022 287 0.03 $750,000 Oracle 2.8% Bonds 8/7/2021 559 0.05 $600,000 Oracle 3.4% Senior Notes 8/7/2024 451 0.04 $300,000 Oracle 3.875% Senior Notes 15/7/2020 234 0.02 $1,250,000 Oracle 4.125% Bonds 15/5/2045 879 0.08 $400,000 Oracle 4.3% Senior Notes 8/7/2034 295 0.03 $300,000 Oracle 4.5% Senior Notes 8/7/2044 223 0.02 $350,000 Oracle 5.375% Guaranteed Senior Bonds 15/7/2040 282 0.03 $400,000 Oracle 6.5% Guaranteed Senior Bonds 15/4/2038 368 0.04 $150,000 Orange 2.75% Senior Bonds 14/9/2016 109 0.01 $750,000 Orange 4.125% Senior Notes 14/9/2021 577 0.05 $250,000 Orange 5.375% Senior Bonds 8/7/2019 199 0.02 $450,000 Orange 5.375% Senior Bonds 13/1/2042 346 0.03 $200,000 Orange 9% Guaranteed Senior Bonds 1/3/2031 200 0.02 $300,000 O’Reilly Automotive 3.85% Guaranteed Notes 15/6/2023 223 0.02 $200,000 Origin Energy Finance 3.5% Guaranteed Bonds

9/10/2018 133 0.01 $500,000 Owens Corning 4.2% Bonds 15/12/2022 364 0.03 $100,000 Owens Corning 7% Guaranteed Bonds 1/12/2036 76 0.01 $350,000 Paccar Financial 1.6% Senior Notes 15/3/2017 254 0.02 $700,000 Pacific Gas & Electric 2.45% Bonds 15/8/2022 500 0.05 $150,000 Pacific Gas & Electric 3.75% Guaranteed Senior Bonds

15/8/2042 102 0.01 $300,000 Pacific Gas & Electric 3.75% Senior Notes 15/2/2024 230 0.02 $500,000 Pacific Gas & Electric 3.85% Senior Notes 15/11/2023 387 0.04





$150,000 Pacific Gas & Electric 4.25% Bonds 15/3/2046 111 0.01 $250,000 Pacific Gas & Electric 4.3% Bonds 15/3/2045 186 0.02 $150,000 Pacific Gas & Electric 4.45% Senior Bonds 15/4/2042 112 0.01 $250,000 Pacific Gas & Electric 4.6% Senior Notes 15/6/2043 192 0.02 $100,000 Pacific Gas & Electric 5.4% Senior Bonds 15/1/2040 84 0.01 $600,000 Pacific Gas & Electric 6.05% Guaranteed Senior Bonds

1/3/2034 530 0.05 $200,000 Pacific Life 5.125% Senior Notes 30/1/2043 143 0.01 $400,000 Pacific Life 6% Bonds 10/2/2020 323 0.03 $250,000 Pacific Life Insurance 9.25% Bonds 15/6/2039 251 0.02 $500,000 PacifiCorp 2.95% Bonds 1/6/2023 368 0.04 $500,000 PacifiCorp 5.65% Notes 15/7/2018 394 0.04 $250,000 PacifiCorp 5.75% Bonds 1/4/2037 219 0.02 $50,000 PacifiCorp 6% Bonds 15/1/2039 45 0.00 $600,000 PacifiCorp 6.25% Bonds 15/10/2037 554 0.05 $400,000 Packaging Corporation of America 4.5% Senior Notes

1/11/2023 298 0.03 $400,000 Parker-Hannifin 3.3% Medium Term Notes 21/11/2024 301 0.03 $400,000 Parker-Hannifin 4.2% Medium Term Notes 21/11/2034 299 0.03 $250,000 Pearson Funding 4% Guaranteed Notes 17/5/2016 181 0.02 $500,000 Penske Truck Leasing 2.5% Bonds 15/6/2019 356 0.03 $500,000 Penske Truck Leasing 3.3% Bonds 1/4/2021 359 0.03 $300,000 Penske Truck Leasing 3.375% Guaranteed Senior Notes

15/3/2018 220 0.02 $550,000 Penske Truck Leasing 4.875% Guaranteed Senior Notes

11/7/2022 419 0.04 $200,000 Pentair Finance 3.15% Guaranteed Bonds 15/9/2022 139 0.01 $300,000 Pepsi 4.45% Bonds 14/4/2046 232 0.02 $250,000 Pepsi 4.6% Bonds 17/7/2045 196 0.02 $400,000 PepsiCo 1.25% Guaranteed Senior Notes 13/8/2017 290 0.03 $2,250,000 PepsiCo 2.25% Senior Notes 7/1/2019 1,660 0.16 $450,000 PepsiCo 2.75% Senior Notes 5/3/2022 335 0.03 $500,000 PepsiCo 2.85% Bonds 24/2/2026 364 0.03 $150,000 PepsiCo 3.125% Senior Bonds 1/11/2020 113 0.01 $200,000 PepsiCo 3.6% Senior Bonds 13/8/2042 135 0.01 $450,000 PepsiCo 4% Senior Bonds 5/3/2042 320 0.03 $150,000 PepsiCo 4.25% Bonds 22/10/2044 110 0.01 $100,000 PepsiCo 5.5% Guaranteed Senior Bonds 15/1/2040 85 0.01 $50,000 PepsiCo 7.9% Senior Bonds 1/11/2018 42 0.00 $250,000 Pernod-Ricard 4.45% Senior Bonds 15/1/2022 191 0.02 $150,000 Pernod-Ricard 5.5% Guaranteed Senior Bonds

15/1/2042 113 0.01

$750,000 Pernod-Ricard 5.75% Senior Notes 7/4/2021 604 0.06 $500,000 Perrigo 4% Bonds 15/11/2023 357 0.03 $500,000 Perrigo Finance 3.9% Bonds 15/12/2024 350 0.03 $200,000 Petro-Canada 6.8% Bonds 15/5/2038 132 0.01 $300,000 Petrofac 3.4% Guaranteed Bonds 10/10/2018 184 0.02 $400,000 Pfizer 4.3% Senior Notes 15/6/2043 297 0.03 $300,000 Pfizer 4.4% Senior Notes 15/5/2044 228 0.02 $500,000 Pfizer 4.65% Senior Bonds 1/3/2018 385 0.04 $1,250,000 Pfizer 6.2% Guaranteed Senior Notes 15/3/2019 1,017 0.10 $400,000 Pfizer 7.2% Senior Notes 15/3/2039 401 0.04 $400,000 Philip Morris International 1.625% Notes 20/3/2017 291 0.03 $850,000 Philip Morris International 2.9% Bonds 15/11/2021 637 0.06 $500,000 Philip Morris International 3.375% Bonds 11/8/2025 382 0.04 $150,000 Philip Morris International 3.875% Bonds 21/8/2042 103 0.01 $250,000 Philip Morris International 4.125% Senior Notes

4/3/2043 178 0.02 $400,000 Philip Morris International 4.25% Bonds 10/11/2044 291 0.03 $200,000 Philip Morris International 4.375% Senior Bonds

15/11/2041 149 0.01 $250,000 Philip Morris International 6.375% Guaranteed Senior

Bonds 16/5/2038 229 0.02 $1,050,000 Philips Electronics 3.75% Senior Bonds 15/3/2022 782 0.07 $150,000 Philips Electronics 6.875% Senior Bonds 11/3/2038 126 0.01 $500,000 Phillips 4.65% Bonds 15/11/2034 329 0.03 $300,000 Phillips 4.875% Bonds 15/11/2044 194 0.02 $500,000 Phillips 66 2.95% Guaranteed Notes 1/5/2017 365 0.03 $500,000 Phillips 66 4.3% Guaranteed Bonds 1/4/2022 368 0.04 $150,000 Phillips 66 5.875% Guaranteed Bonds 1/5/2042 103 0.01 $25,000 Phillips 66 Partners 2.646% Bonds 15/2/2020 17 0.00 $50,000 Phillips 66 Partners 4.68% Bonds 15/2/2045 26 0.00 $200,000 Pioneer Natural Resources 6.875% Senior Bonds

1/5/2018 150 0.01 $400,000 Pioneer Natural Resources 7.5% Senior Notes 15/1/2020 307 0.03 $600,000 Pitney Bowes 4.625% Senior Notes 15/3/2024 423 0.04 $300,000 PKO Finance 4.63% Senior Bonds 26/9/2022 222 0.02 $400,000 Plains All American Pipeline 2.85% Guaranteed Senior

Bonds 31/1/2023 223 0.02 $250,000 Plains All American Pipeline 3.65% Senior Bonds

1/6/2022 150 0.01 $500,000 Plains All American Pipeline 4.65% Bonds 15/10/2025 301 0.03 $250,000 Plains All American Pipeline 4.9% Bonds 15/2/2045 121 0.01





$200,000 Plains All American Pipeline 5% Guaranteed Bonds 1/2/2021 135 0.01

$250,000 Plains All American Pipeline 5.15% Senior Notes 1/6/2042 123 0.01

$1,000,000 PNC 1.15% Senior Notes 1/11/2016* 722 0.07 $250,000 PNC 5.125% Guaranteed Notes 8/2/2020* 199 0.02 $750,000 PNC Bank 2.25% Bonds 2/7/2019* 545 0.05 $600,000 PNC Bank 2.3% Medium Term Notes 1/6/2020* 433 0.04 $500,000 PNC Bank 2.7% Subordinated Bonds 1/11/2022* 354 0.03 $250,000 PNC Bank 6% Guaranteed Subordinated Bonds

7/12/2017* 192 0.02 $500,000 PNC Financial Services 2.854% Bonds 9/11/2022* 363 0.03 $400,000 PNC Financial Services 3.9% Bonds 29/4/2024* 298 0.03 $250,000 Posco 4.25% Guaranteed Senior Bonds 28/10/2020 192 0.02 $500,000 Potash Corporation of Saskatchewan 3% Bonds

1/4/2025 335 0.03 $100,000 Potash Corporation of Saskatchewan 5.875%

Guaranteed Senior Bonds 1/12/2036 78 0.01 $400,000 Potomac Electric Power 3.6% Bonds 15/3/2024 305 0.03 $150,000 PPG Industries 3.6% Guaranteed Senior Bonds

15/11/2020 113 0.01 $300,000 PPL Capital Funding 4.7% Guaranteed Bonds 1/6/2043 220 0.02 $250,000 PPL Electric Utilities 3% Guaranteed Bonds 15/9/2021 187 0.02 $350,000 PPL Electric Utilities 6.25% Bonds 15/5/2039 333 0.03 $400,000 Praxair 1.25% Senior Bonds 7/11/2018 286 0.03 $250,000 Praxair 3% Guaranteed Senior Notes 1/9/2021 186 0.02 $250,000 Praxair 3.55% Bonds 7/11/2042 166 0.02 $250,000 Praxair 4.05% Bonds 15/3/2021 196 0.02 $500,000 Precision Castparts 2.5% Guaranteed Senior Bonds

15/1/2023 354 0.03 $500,000 Precision Castparts 3.25% Bonds 15/6/2025 369 0.04 $300,000 President and Fellows of Harvard College 6.5% Bonds

15/1/2039 314 0.03 $500,000 Pricoa Global Funding I 1.6% Senior Bonds 29/5/2018 359 0.03 $300,000 Principal Financial 3.3% Guaranteed Bonds 15/9/2022 217 0.02 $250,000 Principal Financial 4.625% Guaranteed Bonds 15/9/2042 174 0.02 $100,000 Principal Financial 6.05% Guaranteed Bonds 15/10/2036 82 0.01 $500,000 Principal Life Global Funding II 2.625% Bonds 19/11/2020 363 0.03 $350,000 Procter & Gamble 1.45% Senior Notes 15/8/2016 254 0.02 $500,000 Procter & Gamble 3.1% Bonds 15/8/2023 382 0.04 $600,000 Procter & Gamble 5.55% Senior Bonds 5/3/2037 547 0.05 $250,000 Progress Energy 4.4% Bonds 15/1/2021 192 0.02

$200,000 Progress Energy 6% Senior Bonds 1/12/2039 166 0.02 $300,000 Progress Energy 7.05% Guaranteed Senior Notes

15/3/2019 245 0.02 $300,000 Progressive 3.75% Senior Bonds 23/8/2021 229 0.02 $300,000 Progressive 4.35% Senior Notes 25/4/2044 222 0.02 $500,000 Prologis 3.35% Guaranteed Bonds 1/2/2021 371 0.04 $150,000 Protective Life 8.45% Guaranteed Senior Bonds

15/10/2039 143 0.01 $750,000 Prudential Financial 2.3% Senior Notes 15/8/2018 543 0.05 $350,000 Prudential Financial 4.5% Senior Bonds 16/11/2021 274 0.03 $550,000 Prudential Financial 4.6% Senior Notes 15/5/2044 379 0.04 $250,000 Prudential Financial 5.1% Senior Notes 15/8/2043 180 0.02 $200,000 Prudential Financial 5.375% Bonds 15/5/2045 136 0.01 $350,000 Prudential Financial 6.625% Guaranteed Senior Bonds

1/12/2037 296 0.03 $250,000 PSEG Power 5.125% Guaranteed Notes 15/4/2020 196 0.02 $250,000 PSEG Power 5.32% Guaranteed Notes 15/9/2016 184 0.02 $400,000 PTT Global Chemical 4.25% Guaranteed Senior Notes

19/9/2022 300 0.03 $200,000 PTTEP Canada International 6.35% Guaranteed Bonds

12/6/2042 171 0.02 $500,000 PTTEP Canada International Finance 5.692% Guaranteed

Senior Notes 5/4/2021 401 0.04 $250,000 Public Service 3.6% Bonds 15/9/2042 173 0.02 $250,000 Public Service Electric & Gas 3.65% Medium Term Notes

1/9/2042 174 0.02 $250,000 Public Service Electric & Gas 3.8% Guaranteed Bonds

1/1/2043 178 0.02 $100,000 Puget Energy 3.65% Bonds 15/5/2025 73 0.01 $300,000 Puget Sound Energy 5.625% Bonds 15/7/2022 243 0.02 $250,000 Puget Sound Energy 5.638% Senior Bonds 15/4/2041 222 0.02 $750,000 Qualcomm 2.25% Notes 20/5/2020 544 0.05 $500,000 Qualcomm 3.45% Bonds 20/5/2025 358 0.03 $750,000 Qualcomm 4.65% Bonds 20/5/2035 502 0.05 $500,000 Quest Diagnostics 2.5% Bonds 30/3/2020 356 0.03 $500,000 Quest Diagnostics 3.5% Bonds 30/3/2025 356 0.03 $300,000 QVC 4.45% Bonds 15/2/2025 202 0.02 $400,000 QVC 4.85% Bonds 1/4/2024 279 0.03 $100,000 QVC 5.95% Senior Bonds 15/3/2043 61 0.01 $100,000 Qwest 6.5% Notes 1/6/2017 76 0.01 $172,000 Qwest 6.875% Senior Notes 15/9/2033 116 0.01 $250,000 Rabobank 5.75% Bonds 1/12/2043 199 0.02





$1,500,000 Rabobank Nederland 3.875% Guaranteed Bonds 8/2/2022 1,140 0.11

$500,000 Rabobank Nederland 4.5% Guaranteed Bonds 11/1/2021 394 0.04

$700,000 Rabobank Nederland 5.25% Guaranteed Bonds 24/5/2041 577 0.05

$400,000 Raytheon 2.5% Guaranteed Senior Bonds 15/12/2022 293 0.03 $700,000 Raytheon 3.125% Guaranteed Senior Notes 15/10/2020 532 0.05 $300,000 Raytheon 4.2% Bonds 15/12/2044 231 0.02 $250,000 RCI Banque 3.5% Senior Notes 3/4/2018 183 0.02 $250,000 Realty Income 4.65% Senior Bonds 1/8/2023 190 0.02 $500,000 Regions Financial 3.2% Bonds 8/2/2021 359 0.03 $250,000 Regions Financial 7.375% Notes 10/12/2037 232 0.02 $300,000 Reinsurance Group of America 4.7% Medium Term

Notes 15/9/2023 229 0.02 $100,000 Reinsurance Group of America 5% Guaranteed Senior

Bonds 1/6/2021 77 0.01 $250,000 Reliance 4.5% Guaranteed Bonds 19/10/2020 191 0.02 $250,000 Reliance 5.4% Guaranteed Bonds 14/2/2022 197 0.02 $400,000 Reliance Industries 4.125% Bonds 28/1/2025 285 0.03 $250,000 Reliance Industries 4.875% Bonds 10/2/2045 161 0.02 $500,000 Reliance Standard Life Global Funding II 2.5% Bonds

15/1/2020 359 0.03 $400,000 RELX 8.625% Guaranteed Bonds 15/1/2019 337 0.03 $250,000 Repsol Oil & Gas 7.75% Guaranteed Senior Notes

1/6/2019 159 0.02 $500,000 Republic Services 3.2% Bonds 15/3/2025 360 0.03 $700,000 Republic Services 3.55% Guaranteed Bonds 1/6/2022 528 0.05 $350,000 Republic Services 3.8% Guaranteed Notes 15/5/2018 263 0.03 $200,000 Republic Services 5.25% Guaranteed Bonds 15/11/2021 162 0.02 $500,000 Reynolds American 2.3% Bonds 21/8/2017 364 0.03 $500,000 Reynolds American 3.25% Bonds 12/6/2020 374 0.04 $500,000 Reynolds American 4.45% Bonds 12/6/2025 391 0.04 $600,000 Reynolds American 5.7% Bonds 15/8/2035 489 0.05 $300,000 Reynolds American 6.15% Guaranteed Bonds 15/9/2043 256 0.02 $300,000 Reynolds American 6.75% Guaranteed Notes 15/6/2017 233 0.02 $100,000 Reynolds American 8.125% Bonds 23/6/2019 85 0.01 $600,000 Rio Tinto 2.875% Guaranteed Notes 21/8/2022 400 0.04 $100,000 Rio Tinto 3.75% Bonds 20/9/2021 71 0.01 $300,000 Rio Tinto Alcan 6.125% Guaranteed Senior Bonds

15/12/2033 220 0.02 $150,000 Rio Tinto Finance 5.2% Bonds 2/11/2040 101 0.01

$1,000,000 Rio Tinto Finance USA 2.25% Guaranteed Bonds 14/12/2018 701 0.07

$1,000,000 Rio Tinto Finance USA 3.5% Guaranteed Notes 22/3/2022 692 0.07

$200,000 Rio Tinto Finance USA 4.75% Guaranteed Bonds 22/3/2042 129 0.01

$1,000,000 Roche 2.875% Bonds 29/9/2021 750 0.07 $700,000 Roche Holdings 4% Bonds 28/11/2044 539 0.05 $309,000 Roche Holdings 6% Guaranteed Bonds 1/3/2019 252 0.02 $500,000 Rock-Tenn 4.9% Guaranteed Notes 1/3/2022 388 0.04 $300,000 Rogers Communications 5.45% Guaranteed Bonds

1/10/2043 232 0.02 $150,000 Rogers Communications 7.5% Guaranteed Bonds

15/8/2038 140 0.01 $500,000 Roper Industries 2.05% Senior Notes 1/10/2018 359 0.03 $250,000 Rowan Companies 4.875% Guaranteed Bonds 1/6/2022 104 0.01 $250,000 Rowan Companies 5.85% Guaranteed Bonds 15/1/2044 91 0.01 $750,000 Royal Bank of Canada 1.2% Senior Notes 23/1/2017 542 0.05 $1,000,000 Royal Bank of Canada 2.35% Bonds 30/10/2020 724 0.07 $500,000 Royal Bank of Canada 4.65% Bonds 27/1/2026 360 0.03 $500,000 Royal Bank of Scotland 6.4% Senior Notes 21/10/2019 389 0.04 $350,000 Ruby Pipeline 6% Senior Notes 1/4/2022 271 0.03 $200,000 Ryder System 2.5% Senior Notes 1/3/2017 145 0.01 $500,000 Ryder System 2.55% Senior Notes 1/6/2019 360 0.03 $500,000 SABMiller 2.45% Guaranteed Bonds 15/1/2017 364 0.03 $500,000 SABMiller 3.75% Guaranteed Senior Notes 15/1/2022 378 0.04 $300,000 SABMiller 4.95% Guaranteed Bonds 15/1/2042 228 0.02 $400,000 SABMiller 6.5% Senior Bonds 15/7/2018 317 0.03 $200,000 SACI 4.375% Bonds 27/1/2025 143 0.01 $150,000 San Diego Gas & Electric 3% Guaranteed Notes

15/8/2021 113 0.01 $400,000 San Diego Gas & Electric 3.6% Bonds 1/9/2023 309 0.03 $400,000 Sanofi 1.25% Senior Bonds 10/4/2018 289 0.03 $250,000 Sanofi 4% Guaranteed Senior Bonds 29/3/2021 195 0.02 $250,000 Santander 4.75% Bonds 15/9/2025 170 0.02 $200,000 Santander 5.625% Bonds 15/9/2045 130 0.01 $200,000 Santander UK 3.125% Bonds 8/1/2021 144 0.01 $250,000 Santander UK 5% Subordinated Notes 7/11/2023 182 0.02 $200,000 Santander USA 3.45% Senior Bonds 27/8/2018 146 0.01 $400,000 Santander USA 4.5% Bonds 17/7/2025 283 0.03 $250,000 Sasol Financing 4.5% Notes 14/11/2022 169 0.02 $300,000 SC Johnson & Son 4% Bonds 15/5/2043 206 0.02





$500,000 SCANA 4.75% Senior Notes 15/5/2021 380 0.04 $275,000 Schlumberger 3% Bonds 21/12/2020 195 0.02 $400,000 Schlumberger Investment 1.25% Guaranteed Bonds

1/8/2017 284 0.03 $700,000 Schlumberger Investment 3.3% Guaranteed Bonds

14/9/2021 511 0.05 $275,000 Schlumberger Investment 3.625% Bonds 21/12/2022 195 0.02 $400,000 Schlumberger Investment 3.65% Guaranteed Bonds

1/12/2023 291 0.03 $350,000 Schneider Electric 2.95% Guaranteed Senior Notes

27/9/2022 256 0.02 $500,000 Scripps Networks Interactive 3.95% Bonds 15/6/2025 347 0.03 $400,000 Seagate HDD Cayman 3.75% Bonds 15/11/2018 283 0.03 $500,000 Seagate HDD Cayman 4.75% Bonds 1/1/2025 276 0.03 $500,000 Select Income REIT 4.5% Bonds 1/2/2025 334 0.03 $500,000 Sempra Energy 2.85% Bonds 15/11/2020 362 0.03 $300,000 Sempra Energy 2.875% Senior Notes 1/10/2022 210 0.02 $400,000 Sempra Energy 3.55% Bonds 15/6/2024 288 0.03 $100,000 Sempra Energy 6% Guaranteed Senior Bonds 15/10/2039 79 0.01 $300,000 SES Global Americas 5.3% Guaranteed Bonds 25/3/2044 198 0.02 $400,000 SESI 7.125% Notes 15/12/2021 177 0.02 $1,000,000 Shell 3.25% Notes 11/5/2025 695 0.07 $300,000 Shell 4.375% Notes 11/5/2045 200 0.02 $500,000 Shell International Finance 1.125% Guaranteed Bonds

21/8/2017 358 0.03 $1,250,000 Shell International Finance 1.25% Bonds 10/11/2017 898 0.09 $500,000 Shell International Finance 2.125% Bonds 11/5/2020 351 0.03 $500,000 Shell International Finance 3.4% Guaranteed Bonds

12/8/2023 357 0.03 $500,000 Shell International Finance 4.125% Bonds 11/5/2035 334 0.03 $250,000 Shell International Finance 4.3% Guaranteed Notes

22/9/2019 190 0.02 $300,000 Shell International Finance 4.55% Guaranteed Bonds



15/12/2038 708 0.07 $500,000 Sherwin-Williams 3.45% Bonds 1/8/2025 378 0.04 $250,000 Shinhan Bank 1.875% Guaranteed Senior Notes

30/7/2018 180 0.02 $500,000 Shinhan Bank 2.25% Bonds 15/4/2020 362 0.03

$200,000 Shinhan Bank 4.375% Guaranteed Senior Notes 27/7/2017 150 0.01

$300,000 Siam Commercial Bank 3.375% Senior European Medium Term Notes 19/9/2017 221 0.02

$500,000 Siemens Financieringsmaatschappij 2.15% Bonds 27/5/2020 363 0.03



$500,000 Siemens Financieringsmaatschappij 5.625% Guaranteed European Medium Term Notes 16/3/2016 362 0.03

$200,000 Siemens Financieringsmaatschappij 6.125% Guaranteed Bonds 17/8/2026 183 0.02

$500,000 Simon Property 2.15% Senior Notes 15/9/2017 364 0.03 $500,000 Simon Property 2.2% Senior Notes 1/2/2019 365 0.03 $500,000 Simon Property 2.5% Bonds 1/9/2020 363 0.03 $800,000 Simon Property 3.375% Senior Bonds 15/3/2022 602 0.06 $400,000 Simon Property 4.125% Guaranteed Senior Bonds

1/12/2021 312 0.03 $150,000 Simon Property 4.25% Bonds 1/10/2044 108 0.01 $100,000 Simon Property 4.75% Senior Bonds 15/3/2042 77 0.01 $200,000 Simon Property 5.65% Guaranteed Senior Bonds

1/2/2020 162 0.02 $400,000 Singtel Treasury 2.375% Guaranteed European Medium

Term Notes 8/9/2017 293 0.03 $200,000 Skandinaviska Enskilda Banken 1.75% Senior Bonds

19/3/2018 145 0.01 $750,000 Skandinaviska Enskilda Banken 2.375% Senior Notes

20/11/2018 546 0.05 $700,000 Société Générale 2.625% Bonds 16/9/2020 504 0.05 $500,000 Société Générale 2.625% Guaranteed Bonds 1/10/2018 368 0.04 $500,000 Société Générale 4.25% Bonds 14/4/2025 333 0.03 $300,000 Société Générale 4.75% Bonds 24/11/2025 205 0.02 $400,000 Société Générale 5.2% Senior Notes 15/4/2021 323 0.03 $600,000 Solvay Finance 3.4% Bonds 3/12/2020 431 0.04 $200,000 Sonoco Products 5.75% Senior Bonds 1/11/2040 163 0.02 $100,000 South Carolina Electric & Gas 4.5% Bonds 1/6/2064 72 0.01 $300,000 South Carolina Electric & Gas 6.05% Guaranteed Bonds

15/1/2038 262 0.03 $750,000 Southern 2.45% Senior Notes 1/9/2018 548 0.05 $500,000 Southern California Edison 3.875% Bonds 1/6/2021 389 0.04





$500,000 Southern California Edison 3.9% Bonds 15/3/2043 360 0.03 $250,000 Southern California Edison 4.05% Guaranteed Bonds

15/3/2042 184 0.02 $200,000 Southern California Edison 5.5% Bonds 15/3/2040 176 0.02 $450,000 Southern California Edison 5.5% Guaranteed Notes

15/8/2018 356 0.03 $250,000 Southern California Edison 6.05% Guaranteed Bonds

15/3/2039 232 0.02 $300,000 Southern California Gas 3.75% Guaranteed Bonds

15/9/2042 213 0.02 $75,000 Southern Copper 3.875% Bonds 23/4/2025 48 0.00 $400,000 Southern Copper 5.25% Guaranteed Senior Bonds

8/11/2042 217 0.02 $250,000 Southern Copper 5.875% Bonds 23/4/2045 143 0.01 $200,000 Southern Copper 6.75% Notes 16/4/2040 127 0.01 $150,000 Southern Copper 7.5% Senior Bonds 27/7/2035 102 0.01 $100,000 Southern Union 7.6% Guaranteed Senior Bonds 1/2/2024 66 0.01 $400,000 Southwest Airlines 2.65% Bonds 5/11/2020 292 0.03 $200,000 Southwestern Electric Power 6.45% Senior Bonds

15/1/2019 160 0.02 $90,000 Southwestern Energy 4.1% Guaranteed Notes 15/3/2022 37 0.00 $150,000 Southwestern Energy 4.95% Bonds 23/1/2025 63 0.01 $500,000 Spectra Energy 4.75% Senior Notes 15/3/2024 359 0.03 $250,000 Spectra Energy 5.65% Guaranteed Bonds 1/3/2020 180 0.02 $350,000 St Jude Medical 3.25% Senior Bonds 15/4/2023 253 0.02 $500,000 St Jude Medical 3.875% Bonds 15/9/2025 370 0.04 $1,000,000 Standard Chartered 1.5% Bonds 8/9/2017 714 0.07 $400,000 Standard Chartered 1.7% Bonds 17/4/2018 284 0.03 $300,000 Standard Chartered 3.95% Bonds 11/1/2023 200 0.02 $300,000 Standard Chartered 5.2% Subordinated Notes 26/1/2024 214 0.02 $200,000 Standard Chartered 5.3% Subordinated Notes 9/1/2043 122 0.01 $300,000 Standard Chartered 5.7% Guaranteed Subordinated

Bonds 25/1/2022 221 0.02 $400,000 Standard Chartered 5.7% Subordinated Notes 26/3/2044 245 0.02 $400,000 Standard Chartered 5.875% Subordinated European

Medium Term Bonds 24/6/2020 316 0.03 $400,000 Stanley Black & Decker I 2.9% Guaranteed Notes

1/11/2022 287 0.03 $500,000 Starbucks 0.875% Senior Notes 5/12/2016 361 0.03 $400,000 Starwood Hotels & Resorts Worldwide 4.5% Bonds

1/10/2034 262 0.03 $350,000 State Street 2.55% Bonds 18/8/2020 258 0.02

$250,000 State Street 2.875% Guaranteed Senior Notes 7/3/2016 181 0.02 $700,000 State Street 3.7% Senior Notes 20/11/2023 536 0.05 $250,000 State Street 4.375% Guaranteed Senior Bonds 7/3/2021 197 0.02 $500,000 Stifel Financial 3.5% Bonds 1/12/2020 358 0.03 $100,000 Stryker 2% Senior Notes 30/9/2016 73 0.01 $500,000 Stryker 3.375% Bonds 15/5/2024 361 0.03 $200,000 Stryker 3.375% Bonds 1/11/2025 144 0.01 $500,000 Sumitomo Mitsui Banking 1.45% Guaranteed Bonds

19/7/2016 362 0.03 $1,500,000 Sumitomo Mitsui Banking 1.8% Bonds 18/7/2017 1,085 0.10 $750,000 Sumitomo Mitsui Banking 2.25% Bonds 11/7/2019 541 0.05 $750,000 Sumitomo Mitsui Banking 2.45% Bonds 16/1/2020 541 0.05 $250,000 Sumitomo Mitsui Banking 3.65% Bonds 23/7/2025 187 0.02 $300,000 Sumitomo Mitsui Banking 3.95% Guaranteed Bonds

12/1/2022 228 0.02 $250,000 Sumitomo Mitsui Banking 3.95% Guaranteed Bonds

19/7/2023 190 0.02 $300,000 Sumitomo Mitsui Banking 4.85% Notes 1/3/2022 232 0.02 $400,000 Sumitomo Mitsui Financial 4.436% Subordinated Notes

2/4/2024 295 0.03 $500,000 Sumitomo Mitsui Trust Bank 1.8% Guaranteed Bonds

28/3/2018 359 0.03 $600,000 Sun Hung Kai 4.5% Guaranteed European Medium Term

Bonds 14/2/2022 469 0.04 $250,000 Suncor Energy 6.1% Senior Notes 1/6/2018 185 0.02 $500,000 Suncor Energy 6.5% Guaranteed Senior Bonds 15/6/2038 325 0.03 $200,000 Suncor Energy 6.85% Senior Bonds 1/6/2039 134 0.01 $250,000 Sunoco Logistics Partners Operations 3.45% Guaranteed

Bonds 15/1/2023 146 0.01 $250,000 Sunoco Logistics Partners Operations 4.25% Guaranteed

Bonds 1/4/2024 151 0.01 $350,000 Sunoco Logistics Partners Operations 5.35% Bonds

15/5/2045 187 0.02 $700,000 Suntory 2.55% Bonds 29/9/2019 509 0.05 $250,000 SunTrust Banks 1.35% Senior Notes 15/2/2017 180 0.02 $300,000 SunTrust Banks 2.35% Senior Notes 1/11/2018 217 0.02 $250,000 SunTrust Banks 3.6% Senior Notes 15/4/2016 181 0.02 $300,000 Svenska Handelsbanken 2.4% Bonds 1/10/2020 217 0.02 $400,000 Svenska Handelsbanken 2.875% Guaranteed Notes

4/4/2017 293 0.03 $500,000 Svenska Handelsbanken 5.125% Senior Notes 30/3/2020 400 0.04 $1,000,000 Svenska Handelsbanken AB 1.625% Bonds 21/3/2018 720 0.07





$500,000 Swedbank 2.125% Guaranteed Senior Notes 29/9/2017 362 0.03 $1,000,000 Swedbank 2.2% Bonds 4/3/2020 718 0.07 $200,000 Swire Pacific 6.25% Guaranteed European Medium

Term Notes 18/4/2018 157 0.02 $400,000 Swire Pacific MTN Financing 4.5% European Medium

Term Notes 28/2/2022 313 0.03 $250,000 Swiss Re Treasury (US) 4.25% Guaranteed Bonds

6/12/2042 181 0.02 $100,000 Sydney Airport Finance 3.9% Guaranteed Senior Bonds

22/3/2023 74 0.01 $100,000 Symantec 2.75% Senior Notes 15/6/2017 72 0.01 $400,000 Symantec 3.95% Senior Notes 15/6/2022 282 0.03 $800,000 Synchrony Financial 3.75% Bonds 15/8/2021 580 0.06 $500,000 Synchrony Financial 4.5% Bonds 23/7/2025 365 0.03 $200,000 Sysco 2.6% Guaranteed Notes 12/6/2022 142 0.01 $250,000 Sysco 3.75% Bonds 1/10/2025 187 0.02 $250,000 Sysco 4.85% Bonds 1/10/2045 183 0.02 $500,000 Takeda Pharmaceuticals 1.625% Guaranteed Senior

Notes 17/3/2017 362 0.03 $400,000 Talent Yield Investments 4.5% Guaranteed Bonds

25/4/2022 305 0.03 $200,000 Tampa Electric 4.35% Bonds 15/5/2044 146 0.01 $650,000 Target 2.9% Senior Bonds 15/1/2022 486 0.05 $1,000,000 Target 3.5% Senior Notes 1/7/2024 773 0.07 $450,000 Target 4% Senior Bonds 1/7/2042 327 0.03 $250,000 Target 5.375% Senior Bonds 1/5/2017 190 0.02 $300,000 TD Ameritrade 3.625% Bonds 1/4/2025 225 0.02 $400,000 Teachers Insurance & Annuity Association of America

4.9% Bonds 15/9/2044 293 0.03 $300,000 Teachers Insurance & Annuity Association of America

6.85% Subordinated Bonds 16/12/2039 272 0.03 $300,000 Telefónica Emisiones 4.57% Guaranteed Bonds 27/4/2023 228 0.02 $500,000 Telefónica Emisiones 5.134% Guaranteed Notes 27/4/2020 386 0.04 $500,000 Telefónica Emisiones 6.221% Global Bonds 3/7/2017 382 0.04 $150,000 Telefónica Emisiones 7.045% Guaranteed Bonds

20/6/2036 128 0.01 $250,000 Telefónica Europe 8.25% Guaranteed Bonds 15/9/2030 233 0.02 $400,000 Televisa 5% Senior Notes 13/5/2045 242 0.02 $400,000 Televisa 6.625% Guaranteed Senior Bonds 18/3/2025 332 0.03 $200,000 Telstra 4.8% Senior Bonds 12/10/2021 160 0.02 $600,000 Tencent 2% Senior European Medium Term Notes

2/5/2017 434 0.04

$500,000 Tencent 2.875% Bonds 11/2/2020 363 0.03 $300,000 Tencent 3.375% Senior European Medium Term Notes

2/5/2019 222 0.02 $300,000 Tennessee Gas Pipeline 7% Senior Notes 15/10/2028 216 0.02 $91,000 Teva Pharmaceutical 3.65% Bonds 10/11/2021 68 0.01 $200,000 Teva Pharmaceutical 3.65% Guaranteed Bonds 10/11/2021 149 0.01 $500,000 Teva Pharmaceutical Finance 2.95% Guaranteed Bonds

18/12/2022 350 0.03 $350,000 Texas Eastern Transmission 2.8% Senior Notes 15/10/2022 223 0.02 $500,000 Texas Instruments 1.65% Senior Notes 3/8/2019 361 0.03 $300,000 Texas Instruments 2.375% Senior Notes 16/5/2016 217 0.02 $200,000 Thai Oil 4.875% Guaranteed Senior Bonds 23/1/2043 138 0.01 $500,000 Thermo Fisher Scientific 2.15% Bonds 14/12/2018 361 0.03 $250,000 Thermo Fisher Scientific 3.15% Senior Bonds 15/1/2023 176 0.02 $400,000 Thermo Fisher Scientific 3.3% Bonds 15/2/2022 288 0.03 $50,000 Thermo Fisher Scientific 3.6% Senior Notes 15/8/2021 37 0.00 $350,000 Thermo Fisher Scientific 5.3% Senior Notes 1/2/2044 269 0.03 $500,000 Thomson Reuters 1.65% Bonds 29/9/2017 359 0.03 $400,000 Thomson Reuters 4.5% Senior Notes 23/5/2043 249 0.02 $150,000 Thomson Reuters 5.85% Guaranteed Senior Bonds

15/4/2040 111 0.01 $250,000 Thomson Reuters 6.5% Guaranteed Bonds 15/7/2018 199 0.02 $500,000 TIAA Asset Management Finance 4.125% Bonds 1/11/2024 370 0.04 $500,000 Time Warner 3.55% Guaranteed Bonds 1/6/2024 355 0.03 $300,000 Time Warner 3.6% Bonds 15/7/2025 213 0.02 $500,000 Time Warner 3.875% Bonds 15/1/2026 362 0.03 $500,000 Time Warner 4% Guaranteed Bonds 15/1/2022 373 0.04 $250,000 Time Warner 4.125% Guaranteed Bonds 15/2/2021 185 0.02 $400,000 Time Warner 4.5% Guaranteed Bonds 15/9/2042 232 0.02 $350,000 Time Warner 4.7% Guaranteed Bonds 15/1/2021 272 0.03 $500,000 Time Warner 4.875% Guaranteed Bonds 15/3/2020 389 0.04 $200,000 Time Warner 4.9% Guaranteed Bonds 15/6/2042 126 0.01 $500,000 Time Warner 5% Bonds 1/2/2020 383 0.04 $300,000 Time Warner 5.35% Guaranteed Bonds 15/12/2043 205 0.02 $100,000 Time Warner 5.375% Guaranteed Bonds 15/10/2041 67 0.01 $200,000 Time Warner 6.1% Bonds 15/7/2040 151 0.01 $200,000 Time Warner 6.25% Bonds 29/3/2041 154 0.01 $450,000 Time Warner 6.5% Guaranteed Bonds 15/11/2036 347 0.03 $350,000 Time Warner 6.95% Bonds 15/1/2028 299 0.03 $150,000 Time Warner 7.7% Guaranteed Bonds 1/5/2032 129 0.01 $500,000 Time Warner Cable 4% Guaranteed Bonds 1/9/2021 368 0.04 $200,000 Time Warner Cable 5.5% Guaranteed Notes 1/9/2041 129 0.01





$300,000 Time Warner Cable 5.85% Notes 1/5/2017 225 0.02 $250,000 Time Warner Cable 5.875% Guaranteed Bonds 15/11/2040 167 0.02 $400,000 Time Warner Cable 6.55% Guaranteed Bonds 1/5/2037 290 0.03 $450,000 Time Warner Cable 6.75% Guaranteed Bonds 1/7/2018 354 0.03 $250,000 Time Warner Cable 6.75% Guaranteed Bonds 15/6/2039 182 0.02 $300,000 Time Warner Cable 7.3% Guaranteed Bonds 1/7/2038 228 0.02 $250,000 Time Warner Cable 8.25% Guaranteed Bonds 1/4/2019 206 0.02 $100,000 TJX 2.5% Senior Bonds 15/5/2023 72 0.01 $400,000 TJX 2.75% Bonds 15/6/2021 296 0.03 $300,000 Toronto-Dominion Bank 1.4% Senior Bonds 30/4/2018 215 0.02 $500,000 Toronto-Dominion Bank 2.25% Medium Term Notes

5/11/2019 364 0.03 $1,100,000 Toronto-Dominion Bank 2.375% Senior Notes 19/10/2016 801 0.08 $750,000 Toronto-Dominion Bank 2.5% Senior Notes 14/7/2016 545 0.05 $200,000 Toronto-Dominion Bank 2.625% Senior Notes 10/9/2018 147 0.01 $150,000 Total Capital 1.5% Guaranteed Notes 17/2/2017 108 0.01 $1,050,000 Total Capital 1.55% Guaranteed Notes 28/6/2017 758 0.07 $400,000 Total Capital 2.7% Guaranteed Bonds 25/1/2023 276 0.03 $250,000 Total Capital 2.875% Guaranteed Bonds 17/2/2022 178 0.02 $750,000 Total Capital International 2.1% Bonds 19/6/2019 535 0.05 $750,000 Total Capital International 3.75% Guaranteed Notes

10/4/2024 550 0.05 $300,000 Toyota Motor Credit 0.8% Senior Bonds 17/5/2016 217 0.02 $750,000 Toyota Motor Credit 1.45% Medium Term Notes

12/1/2018 542 0.05 $500,000 Toyota Motor Credit 2% Guaranteed Senior Notes

15/9/2016 363 0.03 $500,000 Toyota Motor Credit 2% Senior Notes 24/10/2018 365 0.03 $400,000 Toyota Motor Credit 2.05% Medium Term Notes 12/1/2017 291 0.03 $500,000 Toyota Motor Credit 2.1% Senior Notes 17/1/2019 366 0.04 $250,000 Toyota Motor Credit 3.3% Senior Bonds 12/1/2022 189 0.02 $500,000 Toyota Motor Credit 3.4% Medium Term Notes 15/9/2021 381 0.04 $550,000 Toyota Motor Credit 4.5% Guaranteed Senior Bonds

17/6/2020 437 0.04 $250,000 Trans-Allegheny Interstate Line 3.85% Bonds 1/6/2025 185 0.02 $250,000 Transalta 4.5% Guaranteed Senior Bonds 15/11/2022 120 0.01 $200,000 Transatlantic Holdings 8% Senior Notes 30/11/2039 187 0.02 $500,000 TransCanada Pipelines 2.5% Senior Notes 1/8/2022 332 0.03 $200,000 TransCanada Pipelines 3.75% Senior Notes 16/10/2023 141 0.01 $700,000 TransCanada Pipelines 3.8% Senior Bonds 1/10/2020 509 0.05 $250,000 TransCanada Pipelines 5% Senior Notes 16/10/2043 166 0.02 $450,000 TransCanada Pipelines 6.1% Senior Bonds 1/6/2040 324 0.03

$150,000 TransCanada Pipelines 7.625% Guaranteed Senior Bonds 15/1/2039 124 0.01

$400,000 Transportadora de Gas del Peru 4.25% Senior Notes 30/4/2028 269 0.03

$150,000 Travelers Companies 4.3% Bonds 25/8/2045 112 0.01 $300,000 Travelers Companies 4.6% Senior Bonds 1/8/2043 233 0.02 $100,000 Travelers Companies 5.75% Guaranteed Senior Bonds

15/12/2017 78 0.01 $150,000 Travelers Companies 5.9% Senior Notes 2/6/2019 122 0.01 $300,000 Travelers Companies 6.25% Senior Bonds 15/6/2037 278 0.03 $250,000 Trust F/1401 6.95% Senior Notes 30/1/2044 174 0.02 $300,000 TSMC Global 1.625% Guaranteed Bonds 3/4/2018 214 0.02 $200,000 Turkiye Garanti Bankasi 4.75% Senior European Medium

Term Notes 17/10/2019 144 0.01 $200,000 Turkiye Garanti Bankasi 5.25% Guaranteed Senior Notes

13/9/2022 143 0.01 $300,000 Turkiye Is Bankasi 3.875% Senior Bonds 7/11/2017 218 0.02 $500,000 Turkiye Is Bankasi 5% Senior European Medium Term

Notes 25/6/2021 352 0.03 $250,000 Tyco Electronics S 3.5% Guaranteed Bonds 3/2/2022 186 0.02 $400,000 Tyco International Finance 5.125% Bonds 14/9/2045 299 0.03 $300,000 Tyson Foods 4.5% Guaranteed Bonds 15/6/2022 233 0.02 $125,000 Tyson Foods 4.875% Bonds 15/8/2034 92 0.01 $350,000 Tyson Foods 5.15% Bonds 15/8/2044 269 0.03 $48,478 UAL 2009-2A Pass 9.75% Guaranteed Notes 15/1/2017 37 0.00 $250,000 UBM 5.75% Guaranteed Bonds 3/11/2020 195 0.02 $750,000 UBS 2.375% Senior Notes 14/8/2019 543 0.05 $750,000 UBS Funding Jersey 4.125% Bonds 24/9/2025 536 0.05 $1,000,000 UBS Stamford 2.35% Bonds 26/3/2020 721 0.07 $250,000 UBS Stamford 4.875% Guaranteed Senior Bonds

4/8/2020 199 0.02 $600,000 UBS Stamford 5.75% Senior Notes 25/4/2018 468 0.04 $400,000 UDR 4% Medium Term Notes 1/10/2025 301 0.03 $250,000 Unilever 5.9% Guaranteed Bonds 15/11/2032 235 0.02 $150,000 Union Electric 5.3% Guaranteed Senior Bonds 1/8/2037 127 0.01 $300,000 Union Pacific 2.95% Senior Bonds 15/1/2023 221 0.02 $500,000 Union Pacific 3.25% Bonds 15/1/2025 372 0.04 $500,000 Union Pacific 3.375% Senior Bonds 1/2/2035 331 0.03 $50,000 Union Pacific 4% Guaranteed Senior Bonds 1/2/2021 39 0.00 $250,000 Union Pacific 4.05% Bonds 15/11/2045 178 0.02 $200,000 Union Pacific 4.3% Senior Bonds 15/6/2042 147 0.01 $100,000 Union Pacific 4.75% Senior Bonds 15/9/2041 78 0.01





$150,000 Union Pacific 4.85% Senior Notes 15/6/2044 120 0.01 $500,000 United Airlines 2015-1 Class AA Pass Through Trust

3.45% Bonds 1/12/2027 363 0.03 $250,000 United Overseas Bank 2.25% Senior Notes 7/3/2017 182 0.02 $300,000 United Parcel Service 2.45% Guaranteed Senior Bonds

1/10/2022 221 0.02 $400,000 United Parcel Service 6.2% Senior Notes 15/1/2038 383 0.04 $600,000 United Technologies 1.8% Senior Notes 1/6/2017 437 0.04 $750,000 United Technologies 3.1% Senior Notes 1/6/2022 562 0.05 $300,000 United Technologies 4.15% Bonds 15/5/2045 213 0.02 $150,000 United Technologies 4.5% Guaranteed Senior Bonds

15/4/2020 118 0.01 $700,000 United Technologies 4.5% Senior Bonds 1/6/2042 522 0.05 $500,000 United Technologies 5.7% Senior Notes 15/4/2040 431 0.04 $300,000 United Technologies 6.125% Guaranteed Senior Bonds

1/2/2019 243 0.02 $200,000 United Technologies 6.125% Senior Bonds 15/7/2038 179 0.02 $300,000 UnitedHealth 1.4% Bonds 15/12/2017 217 0.02 $750,000 UnitedHealth 2.7% Bonds 15/7/2020 554 0.05 $200,000 UnitedHealth 2.875% Senior Bonds 15/3/2022 147 0.01 $150,000 UnitedHealth 3.375% Senior Bonds 15/11/2021 115 0.01 $1,100,000 UnitedHealth 3.75% Bonds 15/7/2025 842 0.08 $800,000 UnitedHealth 4.25% Senior Notes 15/3/2043 576 0.05 $250,000 UnitedHealth 4.625% Bonds 15/7/2035 194 0.02 $150,000 UnitedHealth 4.625% Senior Bonds 15/11/2041 114 0.01 $250,000 UnitedHealth 5.95% Senior Bonds 15/2/2041 224 0.02 $900,000 UnitedHealth 6% Guaranteed Senior Bonds 15/2/2018 704 0.07 $250,000 UnitedHealth 6.875% Senior Bonds 15/2/2038 240 0.02 $800,000 UPS 3.125% Senior Bonds 15/1/2021 612 0.06 $400,000 US Bancorp 1.65% Guaranteed Senior Notes 15/5/2017 290 0.03 $500,000 US Bancorp 1.95% Senior Notes 15/11/2018 364 0.03 $500,000 US Bancorp 2.2% Senior Notes 15/11/2016 364 0.03 $400,000 US Bancorp 2.95% Subordinated Notes 15/7/2022 292 0.03 $250,000 US Bancorp 3% Senior Bonds 15/3/2022 187 0.02 $350,000 US Bancorp 3.7% Medium Term Notes 30/1/2024 271 0.03 $750,000 US Bank National Association 2.125% Bonds 28/10/2019 548 0.05 $700,000 Vale 5.625% Guaranteed Senior Bonds 11/9/2042 313 0.03 $500,000 Vale Overseas 4.375% Guaranteed Bonds 11/1/2022 277 0.03 $350,000 Vale Overseas 5.625% Guaranteed Notes 15/9/2019 228 0.02 $550,000 Vale Overseas 6.875% Guaranteed Bonds 21/11/2036 272 0.03 $200,000 Vale Overseas 8.25% Bonds 17/1/2034 113 0.01 $500,000 Valero Energy 6.625% Guaranteed Bonds 15/6/2037 352 0.03

$400,000 Valero Energy 9.375% Guaranteed Notes 15/3/2019 335 0.03 $300,000 Ventas Realty 2% Notes 15/2/2018 215 0.02 $500,000 Ventas Realty 4.125% Bonds 15/1/2026 365 0.03 $750,000 Ventas Realty 4.25% Guaranteed Bonds 1/3/2022 565 0.05 $300,000 Verisk Analytics 4% Bonds 15/6/2025 213 0.02 $300,000 Verizon Communications 2.45% Bonds 1/11/2022 209 0.02 $491,000 Verizon Communications 2.5% Senior Notes 15/9/2016 357 0.03 $724,000 Verizon Communications 2.625% Medium Term Notes

21/2/2020 529 0.05 $1,100,000 Verizon Communications 3.5% Senior Notes 1/11/2021 826 0.08 $1,350,000 Verizon Communications 3.65% Senior Notes 14/9/2018 1,019 0.10 $400,000 Verizon Communications 4.15% Senior Notes 15/3/2024 306 0.03 $977,000 Verizon Communications 4.272% Bonds 15/1/2036 637 0.06 $500,000 Verizon Communications 4.4% Bonds 1/11/2034 333 0.03 $400,000 Verizon Communications 4.5% Senior Notes 15/9/2020 314 0.03 $1,159,000 Verizon Communications 4.522% Notes 15/9/2048 758 0.07 $1,145,000 Verizon Communications 4.672% Notes 15/3/2055 710 0.07 $50,000 Verizon Communications 4.75% Senior Bonds 1/11/2041 34 0.00 $1,080,000 Verizon Communications 4.862% Bonds 21/8/2046 754 0.07 $1,213,000 Verizon Communications 5.012% Senior Notes 21/8/2054 804 0.08 $500,000 Verizon Communications 5.05% Senior Notes 15/3/2034 360 0.03 $950,000 Verizon Communications 5.85% Guaranteed Senior

Bonds 15/9/2035 730 0.07 $300,000 Verizon Communications 6% Guaranteed Senior Bonds

1/4/2041 234 0.02 $1,600,000 Verizon Communications 6.1% Guaranteed Senior Bonds

15/4/2018 1,256 0.12 $300,000 Verizon Communications 6.35% Guaranteed Senior

Bonds 1/4/2019 244 0.02 $855,000 Verizon Communications 6.4% Senior Notes 15/9/2033 705 0.07 $1,036,000 Verizon Communications 6.55% Senior Notes 15/9/2043 899 0.09 $350,000 Verizon Global Funding 7.75% Senior Bonds 1/12/2030 334 0.03 $150,000 Verizon Maryland 5.125% Senior Bonds 15/6/2033 106 0.01 $500,000 Viacom 2.2% Senior Notes 1/4/2019 354 0.03 $750,000 Viacom 2.75% Bonds 15/12/2019 539 0.05 $500,000 Viacom 3.25% Senior Notes 15/3/2023 327 0.03 $200,000 Viacom 4.375% Senior Bonds 15/3/2043 96 0.01 $250,000 Viacom 5.25% Senior Notes 1/4/2044 139 0.01 $250,000 Viacom 5.85% Senior Bonds 1/9/2043 153 0.01 $300,000 Viacom 6.125% Guaranteed Senior Bonds 5/10/2017 227 0.02 $150,000 Viacom 6.875% Guaranteed Senior Bonds 30/4/2036 101 0.01 $200,000 Virginia Electric & Power 6.35% Bonds 30/11/2037 190 0.02





$400,000 Virginia Electric and Power 2.75% Senior Notes 15/3/2023 290 0.03

$100,000 Virginia Electric and Power 2.95% Senior Bonds 15/1/2022 74 0.01

$300,000 Virginia Electric and Power 4.65% Bonds 15/8/2043 234 0.02 $250,000 Virginia Electric and Power 6% Guaranteed Senior

Bonds 15/1/2036 225 0.02 $300,000 Virginia Electric and Power 8.875% Senior Notes

15/11/2038 341 0.03 $825,000 Visa 2.2% Bonds 14/12/2020 606 0.06 $1,175,000 Visa 3.15% Bonds 14/12/2025 879 0.08 $400,000 Visa 4.15% Bonds 14/12/2035 306 0.03 $650,000 Visa 4.3% Bonds 14/12/2045 503 0.05 $750,000 Vodafone 1.5% Bonds 19/2/2018 536 0.05 $200,000 Vodafone 1.625% Senior Notes 20/3/2017 145 0.01 $250,000 Vodafone 2.5% Guaranteed Senior Notes 26/9/2022 171 0.02 $200,000 Vodafone 4.375% Senior Notes 19/2/2043 118 0.01 $600,000 Vodafone 5.45% Guaranteed Senior Notes 10/6/2019 474 0.05 $550,000 Vodafone 6.15% Guaranteed Senior Bonds 27/2/2037 408 0.04 $200,000 Vodafone 7.875% Bonds 15/2/2030 170 0.02 $200,000 Volkswagen International Finance 2.375% Guaranteed

Notes 22/3/2017 144 0.01 $1,000,000 Volkswagen of America Finance 2.125% Guaranteed

Bonds 23/5/2019 692 0.07 $250,000 Voya Financial 5.5% Bonds 15/7/2022 199 0.02 $750,000 VW Credit 1.875% Guaranteed European Medium Term

Notes 13/10/2016 540 0.05 $100,000 Wachovia 5.5% Subordinated Bonds 1/8/2035 79 0.01 $500,000 Wachovia 5.625% Guaranteed Subordinated Notes

15/10/2016 371 0.04 $400,000 Wachovia 5.75% Guaranteed Senior Bonds 15/6/2017 304 0.03 $250,000 Walgreen 3.1% Guaranteed Senior Bonds 15/9/2022 177 0.02 $200,000 Walgreen 4.4% Guaranteed Senior Bonds 15/9/2042 123 0.01 $800,000 Walgreens Boots Alliance 3.3% Bonds 18/11/2021 581 0.06 $500,000 Walgreens Boots Alliance 4.5% Bonds 18/11/2034 325 0.03 $600,000 Wal-Mart Stores 2.55% Bonds 11/4/2023 441 0.04 $550,000 Wal-Mart Stores 2.8% Senior Notes 15/4/2016 398 0.04 $500,000 Wal-Mart Stores 3.3% Senior Notes 22/4/2024 384 0.04 $750,000 Wal-Mart Stores 3.625% Bonds 8/7/2020 582 0.06 $400,000 Wal-Mart Stores 4% Senior Bonds 11/4/2043 288 0.03 $500,000 Wal-Mart Stores 4.3% Senior Notes 22/4/2044 379 0.04 $250,000 Wal-Mart Stores 4.875% Bonds 8/7/2040 198 0.02

$400,000 Wal-Mart Stores 5.25% Senior Notes 1/9/2035 339 0.03 $300,000 Wal-Mart Stores 5.625% Guaranteed Senior Bonds

15/4/2041 266 0.03 $550,000 Wal-Mart Stores 5.625% Senior Bonds 1/4/2040 481 0.05 $400,000 Wal-Mart Stores 5.8% Guaranteed Senior Bonds

15/2/2018 315 0.03 $500,000 Wal-Mart Stores 6.5% Guaranteed Senior Bonds

15/8/2037 475 0.05 $250,000 Wal-Mart Stores 7.55% Bonds 15/2/2030 259 0.02 $750,000 Walt Disney 1.35% Senior Notes 16/8/2016 543 0.05 $750,000 Walt Disney 1.85% Bonds 30/5/2019 551 0.05 $300,000 Walt Disney 2.55% Senior Bonds 15/2/2022 222 0.02 $500,000 Walt Disney 3% Bonds 13/2/2026 377 0.04 $350,000 Walt Disney 3.75% Guaranteed Senior Bonds 1/6/2021 274 0.03 $200,000 Walt Disney 4.125% Bonds 1/6/2044 149 0.01 $300,000 Walt Disney 4.375% Guaranteed Senior Bonds 16/8/2041 231 0.02 $200,000 Wanda Properties International 7.25% Guaranteed

Notes 29/1/2024 145 0.01 $400,000 Waste Management 2.9% Bonds 15/9/2022 289 0.03 $500,000 Waste Management 3.5% Guaranteed Bonds 15/5/2024 374 0.04 $75,000 Waste Management 3.9% Bonds 1/3/2035 52 0.00 $250,000 Waste Management 4.6% Guaranteed Bonds 1/3/2021 194 0.02 $200,000 WEA Finance 2.7% Bonds 17/9/2019 144 0.01 $400,000 WEA Finance 3.25% Bonds 5/10/2020 293 0.03 $200,000 WEA Finance 4.75% Bonds 17/9/2044 144 0.01 $400,000 WEC Energy 6.25% Bonds 15/5/2067 214 0.02 $400,000 WellPoint 1.875% Guaranteed Senior Notes 15/1/2018 288 0.03 $250,000 WellPoint 3.125% Guaranteed Bonds 15/5/2022 177 0.02 $700,000 WellPoint 3.3% Bonds 15/1/2023 497 0.05 $300,000 WellPoint 4.625% Senior Bonds 15/5/2042 204 0.02 $700,000 Wells Fargo 2.125% Bonds 22/4/2019 508 0.05 $750,000 Wells Fargo 2.15% Medium Term Notes 30/1/2020 538 0.05 $500,000 Wells Fargo 2.625% Senior Notes 15/12/2016 366 0.04 $1,000,000 Wells Fargo 3% Bonds 19/2/2025 717 0.07 $800,000 Wells Fargo 3.3% Medium Term Notes 9/9/2024 590 0.06 $1,100,000 Wells Fargo 3.5% Senior Notes 8/3/2022 833 0.08 $500,000 Wells Fargo 4.125% Subordinated Notes 15/8/2023 381 0.04 $500,000 Wells Fargo 4.3% Bonds 22/7/2027 372 0.04 $258,000 Wells Fargo 4.48% Bonds 16/1/2024 198 0.02 $300,000 Wells Fargo 4.6% Guaranteed Senior Bonds 1/4/2021 238 0.02 $750,000 Wells Fargo 4.65% Medium Term Notes 4/11/2044 529 0.05 $400,000 Wells Fargo 4.9% Bonds 17/11/2045 294 0.03



$400,000 Wells Fargo 5.375% Guaranteed Senior Bonds 7/2/2035 330 0.03 $300,000 Wells Fargo 5.375% Subordinated Notes 2/11/2043 230 0.02 $500,000 Wells Fargo 5.606% Subordinated Notes 15/1/2044 393 0.04 $750,000 Wells Fargo 5.75% Medium Term Notes 1/2/2018 582 0.06 $350,000 Wells Fargo 5.75% Subordinated Bonds 16/5/2016 255 0.02 $150,000 Wells Fargo 5.95% Bonds 1/12/2086 109 0.01 $750,000 Wells Fargo Bank 5.85% Guaranteed Subordinated

Bonds 1/2/2037 651 0.06 $400,000 Wells Fargo Bank 6% Subordinated Notes 15/11/2017 310 0.03 $250,000 Welltower 3.75% Guaranteed Senior Bonds 15/3/2023 179 0.02 $500,000 Welltower 4% Bonds 1/6/2025 353 0.03 $400,000 Welltower 4.125% Senior Notes 1/4/2019 302 0.03 $250,000 Welltower 5.25% Guaranteed Senior Bonds 15/1/2022 194 0.02 $250,000 Wesfarmers 2.983% Guaranteed Notes 18/5/2016 181 0.02 $300,000 Westar Energy 4.125% Notes 1/3/2042 221 0.02 $250,000 Western Gas Partners 4% Senior Bonds 1/7/2022 136 0.01 $750,000 Western Union 3.65% Senior Notes 22/8/2018 552 0.05 $200,000 Western Union 5.253% Senior Notes 1/4/2020 155 0.01 $800,000 Westpac Banking 1.6% Guaranteed Senior Notes

12/1/2018 577 0.05 $500,000 Westpac Banking 1.95% Bonds 23/11/2018 361 0.03 $750,000 Westpac Banking 2.25% Bonds 30/7/2018 546 0.05 $500,000 Westpac Banking 2.25% Senior Notes 17/1/2019 364 0.03 $600,000 Westpac Banking 2.6% Bonds 23/11/2020 437 0.04 $250,000 Westpac Banking 4.875% Senior Notes 19/11/2019 197 0.02 $200,000 Westvaco 8.2% Guaranteed Bonds 15/1/2030 183 0.02 $400,000 Weyerhaeuser 7.375% Senior Bonds 1/10/2019 327 0.03 $375,000 Weyerhaeuser 7.375% Senior Bonds 15/3/2032 315 0.03 $250,000 Wharf Finance 4.625% European Medium Term Bonds

8/2/2017 185 0.02 $250,000 Whirlpool 4% Bonds 1/3/2024 189 0.02 $1,000,000 Williams 3.6% Bonds 15/3/2022 562 0.05 $750,000 Williams Partners 4.125% Senior Bonds 15/11/2020 439 0.04 $300,000 Williams Partners 4.3% Senior Notes 4/3/2024 165 0.02 $350,000 Williams Partners 4.9% Senior Notes 15/1/2045 164 0.02 $400,000 Williams Partners 5.1% Bonds 15/9/2045 193 0.02 $300,000 Williams Partners 5.8% Senior Notes 15/11/2043 152 0.01 $150,000 Williams Partners 6.3% Guaranteed Senior Bonds

15/4/2040 83 0.01 $100,000 Williams Partners 7.25% Senior Notes 1/2/2017 72 0.01 $300,000 Willis 5.75% Guaranteed Notes 15/3/2021 242 0.02 $300,000 Wisconsin Electric Power 2.95% Senior Bonds 15/9/2021 223 0.02



$300,000 Wm. Wrigley Jr. 2.4% Senior Notes 21/10/2018 218 0.02 $200,000 Wm. Wrigley Jr. 3.375% Senior Notes 21/10/2020 149 0.01 $500,000 Woodside Finance 3.65% Bonds 5/3/2025 308 0.03 $100,000 Woodside Finance 4.6% Guaranteed Bonds 10/5/2021 72 0.01 $250,000 Woolworths 4.55% Guaranteed Bonds 12/4/2021 190 0.02 $500,000 Woori Bank 4.75% Bonds 30/4/2024 373 0.04 $500,000 WPP Finance 3.625% Bonds 7/9/2022 365 0.03 $200,000 WPP Finance 5.125% Guaranteed Bonds 7/9/2042 139 0.01 $200,000 WR Berkley 4.75% Bonds 1/8/2044 140 0.01 $250,000 WW Grainger 4.6% Bonds 15/6/2045 195 0.02 $400,000 Wyeth 5.95% Guaranteed Bonds 1/4/2037 354 0.03 $200,000 Wyeth 6% Guaranteed Bonds 15/2/2036 177 0.02 $200,000 Wyndham Worldwide 3.9% Senior Bonds 1/3/2023 142 0.01 $100,000 Xcel Energy 4.7% Guaranteed Senior Bonds 15/5/2020 78 0.01 $150,000 Xcel Energy 6.5% Senior Bonds 1/7/2036 137 0.01 $500,000 Xerox 2.75% Senior Notes 15/3/2019 343 0.03 $250,000 Xerox 3.8% Senior Notes 15/5/2024 158 0.02 $350,000 Xerox 6.35% Guaranteed Senior Bonds 15/5/2018 266 0.03 $400,000 XLIT 4.45% Bonds 31/3/2025 282 0.03 $150,000 XLIT 5.5% Bonds 31/3/2045 103 0.01 $100,000 XLIT 5.75% Guaranteed Bonds 1/10/2021 82 0.01 $500,000 Yapi ve Kredi Bankasi 5.25% Senior Notes 3/12/2018 367 0.04 $300,000 Yuexiu Property 4.5% Senior Notes 24/1/2023 199 0.02 $300,000 Zimmer Biomet 4.25% Bonds 15/8/2035 201 0.02 $1,000,000 Zimmer Biomet s 2.7% Bonds 1/4/2020 721 0.07 $500,000 Zimmer Biomet s 4.45% Bonds 15/8/2045 331 0.03 $100,000 Zoetis 3.25% Senior Notes 1/2/2023 69 0.01 $275,000 Zoetis 4.5% Bonds 13/11/2025 204 0.02 $550,000 Zoetis 4.7% Senior Notes 1/2/2043 347 0.03

731,243 69.57

US Dollar Denominated Variable Rate Corporate Bonds – 0.70%; 2015 1.08% $300,000 ABN AMRO 6.25% Floating Rate European Medium

Term Notes 13/9/2022 225 0.02 $350,000 AIG 8.175% Floating Rate Bonds 15/5/2068 315 0.03 $200,000 Allstate 5.75% Subordinated Floating Rate Notes

15/8/2053 143 0.01 $100,000 Allstate 6.5% Subordinated Floating Rate Bonds

15/5/2067 78 0.01 $400,000 Australia & New Zealand Banking 3.45% Floating Rate

European Medium Term Notes 8/8/2022 293 0.03 $100,000 AXA 6.379% Subordinated Perpetual Floating Rate Notes 75 0.01



$300,000 AXA 6.463% Guaranteed Perpetual Subordinated Floating Rate Bonds 217 0.02

$300,000 BG Energy Capital 6.5% Guaranteed Floating Rate Notes 30/11/2072 223 0.02

$200,000 BNP Paribas 7.195% Guaranteed Perpetual Subordinated Floating Rate Bonds 155 0.01

$200,000 China Taiping Insurance 5.45% Perpetual Bonds 146 0.01 $100,000 Chubb 6.375% Guaranteed Subordinated Floating Rate

Bonds 29/3/2067 64 0.01 $200,000 Cloverie Zurich Insurance 8.25% Perpetual Subordinated

Floating Rate European Medium Term Bonds 155 0.01 $200,000 CNP Assurances 6.875% Perpetual Bonds 151 0.01 $200,000 Dai-ichi Life Insurance 5.1% Perpetual Bonds 149 0.01 $100,000 Dai-ichi Mutual Life 7.25% Perpetual Floating Rate Bonds 83 0.01 $300,000 DBS Bank Singapore 3.625% Subordinated Floating Rate

Bonds 21/9/2022 221 0.02 $300,000 Farmers Exchange Capital II 6.151% Subordinated

Floating Rate Notes 1/11/2053 237 0.02 $150,000 HSBC 10.176% Perpetual Floating Rate Bonds 157 0.02 $200,000 Hutchison Whampoa 6% Guaranteed Perpetual Floating

Rate Bonds 150 0.01 $300,000 ING Bank 4.125% Subordinated Floating Rate European

Medium Term Notes 21/11/2023 216 0.02 $300,000 Li & Fung 6% Guaranteed Perpetual Subordinated

Floating Rate Bonds 218 0.02 $100,000 Lloyds Bank 9.875% Guaranteed Subordinated Floating

Rate European Medium Term Bonds 16/12/2021 76 0.01 $100,000 Mitsui Sumitomo Insurance 7% Subordinated Floating

Rate Bonds 15/3/2072 83 0.01 $150,000 National Rural Utilities 8% Senior Floating Rate Bonds

1/3/2032 154 0.01 $200,000 Nippon Life Insurance 5% Guaranteed Floating Rate

Bonds 18/10/2042 151 0.01 $300,000 Oversea-Chinese Banking 4% Subordinated Floating

Rate Notes 15/10/2024 223 0.02 $300,000 Petro-Canada 6.05% Senior Floating Rate Notes

15/5/2018 222 0.02 $250,000 Prudential Financial 5.625% Guaranteed Subordinated

Floating Rate Bonds 15/6/2043 178 0.02 $250,000 Prudential Financial 5.875% Guaranteed Subordinated

Floating Rate Bonds 15/9/2042 183 0.02


$250,000 Prudential Financial 8.875% Subordinated Floating Rate Notes 15/6/2068 197 0.02

$200,000 QBE Capital Funding II 7.25% Floating Rate Bonds 24/5/2041 155 0.01

$250,000 QBE Insurance 6.75% Variable Rate Bonds 2/12/2044 185 0.02 $750,000 Rabobank Nederland 11% Guaranteed Subordinated

Perpetual Floating Rate Bonds 639 0.06 $200,000 Sompo Japan Insurance 5.325% Subordinated Floating

Rate Notes 28/3/2073 151 0.01 $200,000 SSE 5.625% Variable Perpetual Bonds 145 0.01 $100,000 Standard Chartered 7.014% Guaranteed Perpetual

Subordinated Floating Rate Bonds 69 0.01 $250,000 Sumitomo Life Insurance 6.5% Subordinated Floating

Rate Notes 20/9/2073 203 0.02 $150,000 TransCanada Pipelines 6.35% Guaranteed Subordinated

Floating Rate Bonds 15/5/2067 68 0.01 $200,000 United Overseas Bank 2.875% Subordinated Floating

Rate European Medium Term Notes 17/10/2022 146 0.01 $500,000 United Overseas Bank 3.75% Subordinated Floating

Rate European Medium Term Notes 19/9/2024 371 0.04 $300,000 Wal-Mart Stores 6.2% Senior Floating Rate Bonds

15/4/2038 276 0.03

7,546 0.70

DeRIVAtIVeS – 0.00%; 2015 0.00%

Forward Currency Contracts – 0.00%; 2015 0.00% KRW 1,590,000,000 South Korean won vs UK sterling 928 15 0.00



Unless otherwise stated, all securities are either listed on a recognised exchange or traded on an eligible securities market.Note: comparative figures show percentages for each category of holding at 28 February 2015. * Related party to the Fund.# The counterparty for the forward currency contract is JP Morgan Chase Bank.Underlying exposure has been calculated according to the guidelines issued by the European Securities and Markets Authority (“ESMA”) and represents the market value of an equivalent position in the assets underlying each financial derivative instrument.



overseas Corporate Bond tracker Statement of total Return for the year ended 29 February 2016

Notes £000’s


£000’s £000’s


£000’s

Income


Revenue 4 27,868 22,220

Expenses 5 (1,814) (1,530)



Taxation 7 (14) (9)



Distributions 8 (26,044) (20,680)


overseas Corporate Bond tracker Statement of Change in Net Assets Attributable to Unitholders for the year ended 29 February 2016

£000’s


£000’s £000’s


£000’s




90,250 172,387



Closing net assets attributable to unitholders 1,042,987 874,916

overseas Corporate Bond tracker Balance Sheet at 29 February 2016

Notes

29.2.2016£000’s

28.2.2015£000’s

Assets:

Fixed assets

– Investment assets 1,035,203 862,098

Current assets

– Debtors 9 21,582 15,271


Total assets 1,066,086 890,414

Liabilities:

Creditors


– Other creditors 10 (20,055) (12,753)


Net assets attributable to unitholders 1,042,987 874,916



overseas Corporate Bond tracker Notes to Financial Statements for the year ended 29 February 2016





£000’s


£000’s


Gains on derivative securities 57,356 46

(Losses)/gains on non-derivative securities (6) 38,685

Currency gains 441 137



4. Revenue


£000’s


£000’s






5. Expenses


£000’s


£000’s




1,703 1,414

Other expenses:

– Audit fee 7 7



111 116




£000’s


£000’s




£000’s


£000’s






£000’s


£000’s



Effects of:



Tax effect on overseas tax (3) (2)


8. Distributions


£000’s


£000’s



26,248 21,436








overseas Corporate Bond tracker Notes to Financial Statements continued

9. Debtors

29.2.2016 £000’s

28.2.2015£000’s


Amounts receivable for issue of units 4,588 560


Sales awaiting settlement 1,889 2,734


10. Other Creditors

29.2.2016 £000’s

28.2.2015 £000’s


Accrued FCA fee 1 1





















29.2.2016£000’s

28.2.2015£000’s


The Fund’s securities lending borrowing counterparties are Barclays Bank Plc, BNP Paribas Arbitrage, Citigroup, Goldman Sachs, HSBC, JP Morgan Chase Securities Plc and Morgan Stanley & Co.
















£000’s %Taxes

£000’s %







£000’s %Taxes

£000’s %











£000’s %Taxes

£000’s %







£000’s %Taxes

£000’s %















X Income Units



Issued during the year 168,950 138,173,397 26,848,267 –

Cancelled during the year (451,019) (77,652,735) (36,776,681) –

Converted during the year (6,644) (42,265,980) (16,339,933) 58,207,014

Balance at the end of the year 370,877 697,320,843 958 68,447,158

D IncomeUnits


H IncomeUnits


Balance at the beginning of the year 17,623,347 17,469,137 491 9,755

Issued during the year 12,170,029 22,441,707 113,869 1,826,801

Cancelled during the year (2,245,666) (8,695,911) (21,825) (750,376)

Converted during the year 8,991 (1,161,901) – 2,610,214

Balance at the end of the year 27,556,701 30,053,032 92,535 3,696,394




About the Fund

The BlackRock Overseas Government Bond Tracker Fund (the “Fund”) is a sub-fund of BlackRock Collective Investment Funds, a UCITS scheme established under the COLL Sourcebook. The Fund was authorised by the Financial Conduct Authority on 28 April 2010 and established on 28 January 2011.


The aim of the Fund is to seek to achieve a total return for investors by tracking closely the performance of the JP Morgan Global Government Bond Index ex UK by investing in fixed income securities contained in the Index. Investment will be made directly into constituent issues and via other transferable securities giving exposure to such issues. The Fund may also invest in permitted money-market instruments, permitted deposits and units in collective investment schemes. Derivatives and forward transactions may be used for the purposes of efficient portfolio management.




Unit Class











BlackRock overseas Government Bond tracker Fund



Performance Table






BlackRock Overseas Government Bond Tracker Fund +14.6% +7.7% +19.7%

JP Morgan Global Government Bond Index ex UK* +14.6% +8.7% +22.4%

All Fund figures quoted are based on bid-to-bid dealing prices (the price at which units are sold) and are calculated net of fees. Performance returns are cumulative. All returns are in Sterling.# D Accumulation class was renamed as L Accumulation class during June 2012. * Figures from Index Vendor.


overseas Government Bond tracker Fund







to 29.2.2016




+14.58%* +14.57% 0.01%














overseas Government Bond tracker Fund continued

Summary of Performance over the PeriodDuring the period from 1 March 2015 to 29 February 2016, the Fund returned 14.6%,* compared with its benchmark, the JP Morgan Global Government Bond Index ex UK, which also returned 14.6%. Before costs and after adjusting for a) the difference in valuation point of the Fund and the pricing point of the benchmark index b) the tax incurred by the Fund which is not included in the benchmark index, the performance of the Fund relative to the benchmark index has been in line with expectations. Over the six-month period to 29 February 2016, the Fund returned 15.7%,* marginally underperforming its benchmark, which returned 15.8%.


Global government bonds made solid gains over the year, confounding expectations that the prospect of rising rates would undermine the asset class. Central bankers in the eurozone and UK kept interest rates low, while in emerging economies (including China and India), policymakers cut rates. Meanwhile, inflation in developed markets stayed very low. These factors provided a supportive backdrop for government bonds, which also benefited from ‘safe haven’ status relative to equities, as stockmarkets were very volatile.

The Fund is structured to track its benchmark, the JP Morgan Global Government Bond Index ex UK closely, so its portfolio is positioned so that the risk characteristics are similar to those of the Index.

March 2016


overseas Government Bond tracker Investment Report


overseas Government Bond tracker performance Record

Comparative Table





to 28.2.2014




to 28.2.2014










performance


other information












Comparative Table





to 28.2.2014




to 28.2.2014










performance


other information













Comparative Table




to 28.2.2015










performance


other information

Closing net asset value (£000’s) 3,580 2

Closing number of units 3,057,370 1,479

Operating charges2 0.12% 0.10%









overseas Government Bond tracker performance Record continued


A AccumulationUnits






Gross Revenue 0.4393 0.0273 0.6041 0.1586 0.6744 0.2379 0.6259 0.2374 0.6523 0.1893

Income tax 0.0879 0.0055 0.1208 0.0317 0.1349 0.0476 0.1252 0.0475 0.1305 0.0379

Net revenue (interest) 0.3514 0.0218 0.4833 0.1269 0.5395 0.1903 0.5007 0.1899 0.5218 0.1514

Equalisation† – 0.3296 – 0.3564 – 0.3492 – 0.3108 – 0.3704




A AccumulationUnits




H Accumulation Units÷


Gross Revenue 0.4786 0.3858 0.6390 0.3364 0.7139 0.5345 0.6576 0.3695 0.6857 0.4116

Income tax 0.0957 0.0772 0.1278 0.0673 0.1428 0.1069 0.1315 0.0739 0.1371 0.0823

Net revenue (interest) 0.3829 0.3086 0.5112 0.2691 0.5711 0.4276 0.5261 0.2956 0.5486 0.3293

Equalisation† – 0.0743 – 0.2421 – 0.1435 – 0.2305 – 0.2193


Distribution paid 31.10.2014 0.4366 0.4366 0.5580 0.5580 0.6133 0.6133 0.5744 0.5744 N/A N/A



overseas Government Bond tracker Distribution tables for the year ended 29 February 2016




BoNDS – 99.12%; 2015 99.38%

Australian Dollar Denominated Fixed Rate Government Bonds – 1.28%; 2015 1.28% AU$650,000 Australia (Commonwealth) 1.75% Bonds 21/11/2020 333 0.14 AU$200,000 Australia (Commonwealth) 2.75% Bonds 21/10/2019 107 0.05 AU$370,000 Australia (Commonwealth) 2.75% Bonds 21/4/2024 197 0.08 AU$100,000 Australia (Commonwealth) 2.75% Bonds 21/6/2035 50 0.02 AU$180,000 Australia (Commonwealth) 3.25% Bonds 21/10/2018 96 0.04 AU$650,000 Australia (Commonwealth) 3.25% Bonds 21/4/2025 360 0.15 AU$150,000 Australia (Commonwealth) 3.25% Bonds 21/4/2029 83 0.04 AU$100,000 Australia (Commonwealth) 3.25% Bonds 21/6/2039 53 0.02 AU$100,000 Australia (Commonwealth) 3.75% Bonds 21/4/2037 58 0.02 AU$250,000 Australia (Commonwealth) 4.25% Bonds 21/7/2017 133 0.06 AU$430,000 Australia (Commonwealth) 4.25% Bonds 21/4/2026 257 0.11 AU$310,000 Australia (Commonwealth) 4.5% Bonds 15/4/2020 177 0.08 AU$150,000 Australia (Commonwealth) 4.5% Bonds 21/4/2033 95 0.04 AU$260,000 Australia (Commonwealth) 4.75% Bonds 21/4/2027 164 0.07 AU$310,000 Australia (Commonwealth) 5.25% Bonds 15/3/2019 176 0.08 AU$190,000 Australia (Commonwealth) 5.5% Bonds 21/1/2018 105 0.05 AU$300,000 Australia (Commonwealth) 5.5% Bonds 21/4/2023 188 0.08 AU$360,000 Australia (Commonwealth) 5.75% Bonds 15/5/2021 220 0.09 AU$215,000 Australia (Commonwealth) 5.75% Bonds 15/7/2022 135 0.06

2,987 1.28

Canadian Dollar Denominated Fixed Rate Government Bonds – 1.24%; 2015 1.41% CA$250,000 Canada (Government) 0.25% Bonds 1/11/2017 133 0.06 CA$190,000 Canada (Government) 0.75% Bonds 1/9/2020 102 0.04 CA$220,000 Canada (Government) 1.5% Bonds 1/6/2026 119 0.05 CA$70,000 Canada (Government) 2.75% Bonds 1/12/2048 44 0.02 CA$200,000 Canada (Government) 1.25% Debentures 1/2/2018 108 0.05 CA$220,000 Canada (Government) 1.5% Debentures 1/2/2017 118 0.05 CA$295,000 Canada (Government) 1.5% Debentures 1/3/2017 159 0.07 CA$250,000 Canada (Government) 1.5% Debentures 1/9/2017 135 0.06 CA$320,000 Canada (Government) 1.5% Notes 1/6/2023 176 0.08 CA$200,000 Canada (Government) 1.75% Debentures 1/3/2019 110 0.05 CA$240,000 Canada (Government) 1.75% Debentures 1/9/2019 133 0.06 CA$130,000 Canada (Government) 2.25% Debentures 1/6/2025 76 0.03 CA$220,000 Canada (Government) 2.5% Debentures 1/6/2024 130 0.06 CA$120,000 Canada (Government) 2.75% Debentures 1/6/2022 71 0.03 CA$60,000 Canada (Government) 2.75% Debentures 1/12/2064 40 0.02 CA$200,000 Canada (Government) 3.25% Debentures 1/6/2021 120 0.05 CA$85,000 Canada (Government) 3.5% Debentures 1/6/2020 51 0.02 CA$195,000 Canada (Government) 3.5% Debentures 1/12/2045 140 0.06

overseas Government Bond tracker portfolio Statement at 29 February 2016

CA$220,000 Canada (Government) 3.75% Debentures 1/6/2019 129 0.06 CA$290,000 Canada (Government) 4% Debentures 1/6/2041 216 0.09 CA$160,000 Canada (Government) 5% Debentures 1/6/2037 130 0.06 CA$185,000 Canada (Government) 5.75% Debentures 1/6/2029 148 0.06 CA$255,000 Canada (Government) 5.75% Debentures 1/6/2033 215 0.09 CA$45,000 Canada (Government) 8% Debentures 1/6/2027 41 0.02

2,844 1.24

Danish Krone Denominated Fixed Rate Government Bonds – 0.46%; 2015 0.55% DKK 680,000 Denmark (Kingdom) 1.5% Bonds 15/11/2023 79 0.03 DKK 1,800,000 Denmark (Kingdom) 1.75% Bonds 15/11/2025 213 0.09 DKK 2,050,000 Denmark (Kingdom) 3% Bonds 15/11/2021 254 0.11 DKK 250,000 Denmark (Kingdom) 4% Bonds 15/11/2017 28 0.01 DKK 1,110,000 Denmark (Kingdom) 4% Bonds 15/11/2019 135 0.06 DKK 1,750,000 Denmark (Kingdom) 4.5% Bonds 15/11/2039 323 0.14 DKK 281,000 Denmark (Kingdom) 7% Bonds 10/11/2024 47 0.02

1,079 0.46

euro Denominated Fixed Rate Government Bonds – 28.21%; 2015 29.09% €300,000 Belgium (Kingdom) 0.8% Bonds 22/6/2025 244 0.10 €100,000 Belgium (Kingdom) 1% Bonds 22/6/2026 82 0.04 €70,000 Belgium (Kingdom) 1% Bonds 22/6/2031 55 0.02 €280,000 Belgium (Kingdom) 1.25% Bonds 22/6/2018 229 0.10 €50,000 Belgium (Kingdom) 1.9% Bonds 22/6/2038 43 0.02 €190,000 Belgium (Kingdom) 2.25% Bonds 22/6/2023 173 0.07 €320,000 Belgium (Kingdom) 2.6% Bonds 22/6/2024 300 0.13 €210,000 Belgium (Kingdom) 3% Bonds 28/9/2019 185 0.08 €70,000 Belgium (Kingdom) 3% Bonds 22/6/2034 72 0.03 €240,000 Belgium (Kingdom) 3.5% Bonds 28/6/2017 198 0.08 €200,000 Belgium (Kingdom) 3.75% Bonds 28/9/2020 187 0.08 €150,000 Belgium (Kingdom) 3.75% Bonds 22/6/2045 182 0.08 €170,000 Belgium (Kingdom) 4% Bonds 28/3/2017 140 0.06 €190,000 Belgium (Kingdom) 4% Bonds 28/3/2018 163 0.07 €320,000 Belgium (Kingdom) 4% Bonds 28/3/2019 286 0.12 €160,000 Belgium (Kingdom) 4% Bonds 28/3/2022 157 0.07 €160,000 Belgium (Kingdom) 4% Bonds 28/3/2032 181 0.08 €330,000 Belgium (Kingdom) 4.25% Bonds 28/9/2021 324 0.14 €270,000 Belgium (Kingdom) 4.25% Bonds 28/9/2022 273 0.12 €260,000 Belgium (Kingdom) 4.25% Bonds 28/3/2041 331 0.14 €120,000 Belgium (Kingdom) 4.5% Bonds 28/3/2026 132 0.06 €310,000 Belgium (Kingdom) 5% Bonds 28/3/2035 404 0.17 €210,000 Belgium (Kingdom) 5.5% Bonds 28/3/2028 256 0.11 €300,000 France (Government) 0% Bonds 25/2/2018 238 0.10




€800,000 France (Government) 0% Bonds 25/5/2020 636 0.27 €170,000 France (Government) 0.25% Bonds 25/11/2020 137 0.06 €550,000 France (Government) 0.5% Bonds 25/11/2019 446 0.19 €850,000 France (Government) 0.5% Bonds 25/5/2025 675 0.29 €300,000 France (Government) 1% Bonds 25/7/2017 241 0.10 €410,000 France (Government) 1% Bonds 25/5/2018 332 0.14 €360,000 France (Government) 1% Bonds 25/11/2018 294 0.13 €400,000 France (Government) 1% Bonds 25/5/2019 328 0.14 €250,000 France (Government) 1% Bonds 25/11/2025 207 0.09 €120,000 France (Government) 1.5% Bonds 25/5/2031 101 0.04 €450,000 France (Government) 1.75% Bonds 25/5/2023 397 0.17 €430,000 France (Government) 1.75% Bonds 25/11/2024 381 0.16 €495,000 France (Government) 2.25% Bonds 25/10/2022 448 0.19 €785,000 France (Government) 2.25% Bonds 25/5/2024 721 0.31 €375,000 France (Government) 2.5% Bonds 25/10/2020 332 0.14 €395,000 France (Government) 2.5% Bonds 25/5/2030 376 0.16 €715,000 France (Government) 2.75% Bonds 25/10/2027 691 0.30 €505,000 France (Government) 3% Bonds 25/4/2022 472 0.20 €855,000 France (Government) 3.25% Bonds 25/10/2021 801 0.34 €270,000 France (Government) 3.25% Bonds 25/5/2045 303 0.13 €370,000 France (Government) 3.5% Bonds 25/4/2020 337 0.14 €390,000 France (Government) 3.5% Bonds 25/4/2026 397 0.17 €650,000 France (Government) 3.75% Bonds 25/4/2017 536 0.23 €535,000 France (Government) 3.75% Bonds 25/10/2019 483 0.21 €650,000 France (Government) 3.75% Bonds 25/4/2021 615 0.26 €560,000 France (Government) 4% Bonds 25/4/2018 482 0.21 €370,000 France (Government) 4% Bonds 25/10/2038 445 0.19 €265,000 France (Government) 4% Bonds 25/4/2055 354 0.15 €175,000 France (Government) 4% Bonds 25/4/2060 238 0.10 €510,000 France (Government) 4.25% Bonds 25/10/2017 432 0.19 €510,000 France (Government) 4.25% Bonds 25/10/2018 450 0.19 €610,000 France (Government) 4.25% Bonds 25/4/2019 549 0.24 €575,000 France (Government) 4.25% Bonds 25/10/2023 595 0.26 €445,000 France (Government) 4.5% Bonds 25/4/2041 586 0.25 €350,000 France (Government) 4.75% Bonds 25/4/2035 445 0.19 €495,000 France (Government) 5.5% Bonds 25/4/2029 617 0.26 €465,000 France (Government) 5.75% Bonds 25/10/2032 630 0.27 €240,000 France (Government) 6% Bonds 25/10/2025 290 0.12 €600,000 Germany (Federal Republic) 0% Bonds 16/6/2017 475 0.20 €150,000 Germany (Federal Republic) 0% Bonds 15/9/2017 119 0.05 €300,000 Germany (Federal Republic) 0% Bonds 15/12/2017 238 0.10 €730,000 Germany (Federal Republic) 0% Bonds 17/4/2020 585 0.25

overseas Government Bond tracker portfolio Statement continued

€400,000 Germany (Federal Republic) 0.25% Bonds 13/4/2018 320 0.14 €300,000 Germany (Federal Republic) 0.25% Bonds 11/10/2019 242 0.10 €200,000 Germany (Federal Republic) 0.25% Bonds 16/10/2020 162 0.07 €330,000 Germany (Federal Republic) 0.5% Bonds 7/4/2017 262 0.11 €550,000 Germany (Federal Republic) 0.5% Bonds 13/10/2017 439 0.19 €60,000 Germany (Federal Republic) 0.5% Bonds 23/2/2018 48 0.02 €320,000 Germany (Federal Republic) 0.5% Bonds 12/4/2019 260 0.11 €340,000 Germany (Federal Republic) 0.5% Bonds 15/2/2025 279 0.12 €190,000 Germany (Federal Republic) 0.5% Bonds 15/2/2026 155 0.07 €260,000 Germany (Federal Republic) 1% Bonds 12/10/2018 213 0.09 €290,000 Germany (Federal Republic) 1% Bonds 22/2/2019 238 0.10 €200,000 Germany (Federal Republic) 1% Bonds 15/8/2024 172 0.07 €380,000 Germany (Federal Republic) 1% Bonds 15/8/2025 326 0.14 €315,000 Germany (Federal Republic) 1.5% Bonds 4/9/2022 277 0.12 €255,000 Germany (Federal Republic) 1.5% Bonds 15/2/2023 225 0.10 €280,000 Germany (Federal Republic) 1.5% Bonds 15/5/2023 248 0.11 €210,000 Germany (Federal Republic) 1.5% Bonds 15/5/2024 187 0.08 €205,000 Germany (Federal Republic) 1.75% Bonds 4/7/2022 182 0.08 €370,000 Germany (Federal Republic) 1.75% Bonds 15/2/2024 335 0.14 €85,000 Germany (Federal Republic) 2% Bonds 4/1/2022 76 0.03 €650,000 Germany (Federal Republic) 2% Bonds 15/8/2023 596 0.26 €300,000 Germany (Federal Republic) 2.25% Bonds 4/9/2020 265 0.11 €120,000 Germany (Federal Republic) 2.25% Bonds 4/9/2021 108 0.05 €490,000 Germany (Federal Republic) 2.5% Bonds 4/1/2021 440 0.19 €210,000 Germany (Federal Republic) 2.5% Bonds 4/7/2044 237 0.10 €240,000 Germany (Federal Republic) 2.5% Bonds 15/8/2046 274 0.12 €305,000 Germany (Federal Republic) 3% Bonds 4/7/2020 276 0.12 €300,000 Germany (Federal Republic) 3.25% Bonds 4/1/2020 270 0.12 €335,000 Germany (Federal Republic) 3.25% Bonds 4/7/2021 315 0.14 €230,000 Germany (Federal Republic) 3.25% Bonds 4/7/2042 288 0.12 €250,000 Germany (Federal Republic) 3.5% Bonds 4/7/2019 223 0.10 €280,000 Germany (Federal Republic) 4% Bonds 4/1/2018 239 0.10 €370,000 Germany (Federal Republic) 4% Bonds 4/1/2037 478 0.20 €380,000 Germany (Federal Republic) 4.25% Bonds 4/7/2018 332 0.14 €190,000 Germany (Federal Republic) 4.25% Bonds 4/7/2039 262 0.11 €160,000 Germany (Federal Republic) 4.75% Bonds 4/7/2028 195 0.08 €320,000 Germany (Federal Republic) 4.75% Bonds 4/7/2034 434 0.19 €320,000 Germany (Federal Republic) 4.75% Bonds 4/7/2040 477 0.20 €310,000 Germany (Federal Republic) 5.5% Bonds 4/1/2031 421 0.18 €280,000 Germany (Federal Republic) 5.625% Bonds 4/1/2028 360 0.15 €150,000 Germany (Federal Republic) 6.25% Bonds 4/1/2024 178 0.08 €130,000 Germany (Federal Republic) 6.25% Bonds 4/1/2030 184 0.08




€50,000 Germany (Federal Republic) 6.5% Bonds 4/7/2027 67 0.03 €250,000 Italy (Republic) 0.65% Bonds 1/11/2020 198 0.08 €180,000 Italy (Republic) 0.7% Bonds 1/5/2020 144 0.06 €1,000,000 Italy (Republic) 0.75% Bonds 15/1/2018 797 0.34 €150,000 Italy (Republic) 1.15% Bonds 15/5/2017 120 0.05 €200,000 Italy (Republic) 1.35% Bonds 15/4/2022 163 0.07 €200,000 Italy (Republic) 1.45% Bonds 15/9/2022 163 0.07 €400,000 Italy (Republic) 1.5% Bonds 1/8/2019 328 0.14 €430,000 Italy (Republic) 1.5% Bonds 1/6/2025 342 0.15 €410,000 Italy (Republic) 2% Bonds 1/12/2025 338 0.14 €390,000 Italy (Republic) 2.15% Bonds 15/12/2021 332 0.14 €1,120,000 Italy (Republic) 2.25% Bonds 31/7/2021 847 0.36 €530,000 Italy (Republic) 2.5% Bonds 1/5/2019 448 0.19 €220,000 Italy (Republic) 2.5% Bonds 1/12/2024 190 0.08 €180,000 Italy (Republic) 3.25% Bonds 1/9/2046 163 0.07 €400,000 Italy (Republic) 3.5% Bonds 1/11/2017 333 0.14 €550,000 Italy (Republic) 3.5% Bonds 1/6/2018 466 0.20 €660,000 Italy (Republic) 3.5% Bonds 1/12/2018 567 0.24 €260,000 Italy (Republic) 3.5% Bonds 1/3/2030 246 0.11 €420,000 Italy (Republic) 3.75% Bonds 1/3/2021 383 0.16 €250,000 Italy (Republic) 3.75% Bonds 1/5/2021 228 0.10 €580,000 Italy (Republic) 3.75% Bonds 1/8/2021 532 0.23 €250,000 Italy (Republic) 3.75% Bonds 1/9/2024 235 0.10 €380,000 Italy (Republic) 4% Bonds 1/9/2020 347 0.15 €470,000 Italy (Republic) 4% Bonds 1/2/2037 473 0.20 €375,000 Italy (Republic) 4.25% Bonds 1/2/2019 330 0.14 €420,000 Italy (Republic) 4.25% Bonds 1/9/2019 376 0.16 €280,000 Italy (Republic) 4.25% Bonds 1/3/2020 255 0.11 €330,000 Italy (Republic) 4.5% Bonds 1/3/2019 293 0.13 €280,000 Italy (Republic) 4.5% Bonds 1/2/2020 256 0.11 €225,000 Italy (Republic) 4.5% Bonds 1/5/2023 220 0.09 €220,000 Italy (Republic) 4.5% Bonds 1/3/2024 216 0.09 €360,000 Italy (Republic) 4.5% Bonds 1/3/2026 363 0.16 €210,000 Italy (Republic) 4.75% Bonds 1/6/2017 175 0.07 €305,000 Italy (Republic) 4.75% Bonds 1/9/2021 293 0.13 €275,000 Italy (Republic) 4.75% Bonds 1/8/2023 273 0.12 €370,000 Italy (Republic) 4.75% Bonds 1/9/2028 388 0.17 €280,000 Italy (Republic) 4.75% Bonds 1/9/2044 320 0.14 €300,000 Italy (Republic) 5% Bonds 1/3/2022 294 0.13 €310,000 Italy (Republic) 5% Bonds 1/3/2025 319 0.14 €260,000 Italy (Republic) 5% Bonds 1/8/2034 292 0.13 €335,000 Italy (Republic) 5% Bonds 1/8/2039 388 0.17


€306,000 Italy (Republic) 5% Bonds 1/9/2040 353 0.15 €430,000 Italy (Republic) 5.25% Bonds 1/8/2017 363 0.16 €410,000 Italy (Republic) 5.25% Bonds 1/11/2029 454 0.19 €820,000 Italy (Republic) 5.5% Bonds 1/9/2022 832 0.36 €350,000 Italy (Republic) 5.5% Bonds 1/11/2022 356 0.15 €395,000 Italy (Republic) 5.75% Bonds 1/2/2033 473 0.20 €550,000 Italy (Republic) 6% Bonds 1/5/2031 659 0.28 €300,000 Italy (Republic) 6.5% Bonds 1/11/2027 355 0.15 €200,000 Italy (Republic) 7.25% Bonds 1/11/2026 245 0.10 €150,000 Italy (Republic) 9% Bonds 1/11/2023 186 0.08 €280,000 Netherlands (Kingdom) 0% Bonds 15/4/2018 222 0.10 €130,000 Netherlands (Kingdom) 0.25% Bonds 15/1/2020 105 0.05 €300,000 Netherlands (Kingdom) 0.25% Bonds 15/7/2025 236 0.10 €250,000 Netherlands (Kingdom) 1.25% Bonds 15/1/2018 203 0.09 €250,000 Netherlands (Kingdom) 1.25% Bonds 15/1/2019 206 0.09 €180,000 Netherlands (Kingdom) 1.75% Bonds 15/7/2023 160 0.07 €240,000 Netherlands (Kingdom) 2% Bonds 15/7/2024 219 0.09 €230,000 Netherlands (Kingdom) 2.25% Bonds 15/7/2022 209 0.09 €220,000 Netherlands (Kingdom) 2.5% Bonds 15/1/2033 222 0.10 €170,000 Netherlands (Kingdom) 2.75% Bonds 15/1/2047 197 0.08 €280,000 Netherlands (Kingdom) 3.25% Bonds 15/7/2021 262 0.11 €200,000 Netherlands (Kingdom) 3.5% Bonds 15/7/2020 184 0.08 €160,000 Netherlands (Kingdom) 3.75% Bonds 15/1/2023 159 0.07 €250,000 Netherlands (Kingdom) 3.75% Bonds 15/1/2042 327 0.14 €400,000 Netherlands (Kingdom) 4% Bonds 15/7/2018 348 0.15 €250,000 Netherlands (Kingdom) 4% Bonds 15/7/2019 226 0.10 €205,000 Netherlands (Kingdom) 4% Bonds 15/1/2037 260 0.11 €230,000 Netherlands (Kingdom) 4.5% Bonds 15/7/2017 193 0.08 €165,000 Netherlands (Kingdom) 5.5% Bonds 15/1/2028 205 0.09 €125,000 Netherlands (Kingdom) 7.5% Bonds 15/1/2023 150 0.06 €325,000 Spain (Kingdom) 0.25% Bonds 30/4/2018 256 0.11 €550,000 Spain (Kingdom) 1.15% Bonds 30/7/2020 444 0.19 €295,000 Spain (Kingdom) 1.4% Bonds 31/1/2020 241 0.10 €250,000 Spain (Kingdom) 1.6% Bonds 30/4/2025 198 0.08 €150,000 Spain (Kingdom) 1.95% Bonds 30/4/2026 121 0.05 €190,000 Spain (Kingdom) 1.95% Bonds 30/7/2030 147 0.06 €295,000 Spain (Kingdom) 2.1% Bonds 30/4/2017 238 0.10 €305,000 Spain (Kingdom) 2.15% Bonds 31/10/2025 252 0.11 €650,000 Spain (Kingdom) 2.75% Bonds 30/4/2019 551 0.24 €250,000 Spain (Kingdom) 2.75% Bonds 31/10/2024 217 0.09 €365,000 Spain (Kingdom) 3.75% Bonds 31/10/2018 314 0.13 €300,000 Spain (Kingdom) 3.8% Bonds 30/4/2024 279 0.12




€320,000 Spain (Kingdom) 4% Bonds 30/4/2020 288 0.12 €215,000 Spain (Kingdom) 4.1% Bonds 30/7/2018 185 0.08 €245,000 Spain (Kingdom) 4.2% Bonds 31/1/2037 247 0.11 €260,000 Spain (Kingdom) 4.3% Bonds 31/10/2019 233 0.10 €650,000 Spain (Kingdom) 4.4% Bonds 31/10/2023 628 0.27 €430,000 Spain (Kingdom) 4.5% Bonds 31/1/2018 367 0.16 €265,000 Spain (Kingdom) 4.6% Bonds 30/7/2019 238 0.10 €260,000 Spain (Kingdom) 4.65% Bonds 30/7/2025 260 0.11 €155,000 Spain (Kingdom) 4.7% Bonds 30/7/2041 169 0.07 €220,000 Spain (Kingdom) 4.8% Bonds 31/1/2024 218 0.09 €230,000 Spain (Kingdom) 4.85% Bonds 31/10/2020 216 0.09 €280,000 Spain (Kingdom) 4.9% Bonds 30/7/2040 311 0.13 €320,000 Spain (Kingdom) 5.15% Bonds 31/10/2028 342 0.15 €190,000 Spain (Kingdom) 5.15% Bond 31/10/2044 222 0.10 €275,000 Spain (Kingdom) 5.4% Bonds 31/1/2023 278 0.12 €280,000 Spain (Kingdom) 5.5% Bonds 30/7/2017 237 0.10 €360,000 Spain (Kingdom) 5.5% Bonds 30/4/2021 352 0.15 €285,000 Spain (Kingdom) 5.75% Bonds 30/7/2032 334 0.14 €250,000 Spain (Kingdom) 5.85% Bonds 31/1/2022 253 0.11 €300,000 Spain (Kingdom) 5.9% Bonds 30/7/2026 330 0.14 €300,000 Spain (Kingdom) 6% Bonds 31/1/2029 345 0.15

65,931 28.21

Japanese Yen Denominated Fixed Rate Government Bonds – 24.56%; 2015 23.62% ¥25,000,000 Japan (Government) 0.1% Bonds 15/6/2017 160 0.07 ¥90,000,000 Japan (Government) 0.1% Bonds 20/12/2017 579 0.25 ¥95,000,000 Japan (Government) 0.1% Bonds 20/3/2018 612 0.26 ¥22,000,000 Japan (Government) 0.1% Bonds 20/6/2019 142 0.06 ¥35,000,000 Japan (Government) 0.1% Bonds 20/9/2019 226 0.10 ¥80,000,000 Japan (Government) 0.1% Bonds 20/12/2019 518 0.22 ¥150,000,000 Japan (Government) 0.2% Bonds 20/3/2017 962 0.41 ¥90,000,000 Japan (Government) 0.2% Bonds 20/6/2017 578 0.25 ¥81,000,000 Japan (Government) 0.2% Bonds 20/9/2017 521 0.22 ¥75,000,000 Japan (Government) 0.2% Bonds 20/12/2017 483 0.21 ¥40,000,000 Japan (Government) 0.2% Bonds 20/9/2018 259 0.11 ¥133,000,000 Japan (Government) 0.2% Bonds 20/12/2018 861 0.37 ¥105,000,000 Japan (Government) 0.2% Bonds 20/3/2019 680 0.29 ¥50,000,000 Japan (Government) 0.2% Bonds 20/6/2019 324 0.14 ¥140,000,000 Japan (Government) 0.2% Bonds 20/9/2019 909 0.39 ¥85,600,000 Japan (Government) 0.3% Bonds 20/3/2017 550 0.24 ¥18,000,000 Japan (Government) 0.3% Bonds 20/3/2018 116 0.05 ¥60,000,000 Japan (Government) 0.3% Bonds 20/6/2018 388 0.17 ¥60,000,000 Japan (Government) 0.3% Bonds 20/12/2024 398 0.17


¥50,000,000 Japan (Government) 0.4% Bonds 20/3/2018 324 0.14 ¥50,000,000 Japan (Government) 0.4% Bonds 20/6/2018 324 0.14 ¥50,000,000 Japan (Government) 0.4% Bonds 20/6/2025 334 0.14 ¥61,000,000 Japan (Government) 0.5% Bonds 20/9/2024 411 0.18 ¥76,000,000 Japan (Government) 0.5% Bonds 20/12/2024 513 0.22 ¥85,000,000 Japan (Government) 0.6% Bonds 20/3/2023 575 0.25 ¥12,500,000 Japan (Government) 0.6% Bonds 20/9/2023 85 0.04 ¥57,000,000 Japan (Government) 0.6% Bonds 20/12/2023 387 0.17 ¥40,000,000 Japan (Government) 0.6% Bonds 20/3/2024 272 0.12 ¥40,000,000 Japan (Government) 0.6% Bonds 20/6/2024 272 0.12 ¥33,000,000 Japan (Government) 0.7% Bonds 20/12/2022 224 0.10 ¥42,000,000 Japan (Government) 0.8% Bonds 20/9/2020 281 0.12 ¥128,000,000 Japan (Government) 0.8% Bonds 20/6/2022 871 0.37 ¥127,000,000 Japan (Government) 0.8% Bonds 20/9/2022 866 0.37 ¥60,000,000 Japan (Government) 0.8% Bonds 20/12/2022 410 0.18 ¥78,000,000 Japan (Government) 0.8% Bonds 20/6/2023 536 0.23 ¥15,000,000 Japan (Government) 0.8% Bonds 20/9/2023 103 0.04 ¥33,000,000 Japan (Government) 0.9% Bonds 20/3/2022 225 0.10 ¥62,000,000 Japan (Government) 0.9% Bonds 20/6/2022 424 0.18 ¥45,000,000 Japan (Government) 1% Bonds 20/9/2020 304 0.13 ¥64,000,000 Japan (Government) 1% Bonds 20/9/2021 437 0.19 ¥89,500,000 Japan (Government) 1% Bonds 20/12/2021 613 0.26 ¥60,000,000 Japan (Government) 1% Bonds 20/3/2022 412 0.18 ¥144,700,000 Japan (Government) 1.1% Bonds 20/6/2020 978 0.42 ¥38,000,000 Japan (Government) 1.1% Bonds 20/3/2021 259 0.11 ¥15,000,000 Japan (Government) 1.1% Bonds 20/6/2021 103 0.04 ¥10,000,000 Japan (Government) 1.1% Bonds 20/3/2033 72 0.03 ¥109,000,000 Japan (Government) 1.2% Bonds 20/12/2020 745 0.32 ¥68,000,000 Japan (Government) 1.2% Bonds 20/6/2021 468 0.20 ¥43,000,000 Japan (Government) 1.2% Bonds 20/12/2034 310 0.13 ¥45,000,000 Japan (Government) 1.2% Bonds 20/3/2035 324 0.14 ¥90,000,000 Japan (Government) 1.3% Bonds 20/12/2019 609 0.26 ¥27,500,000 Japan (Government) 1.3% Bonds 20/3/2020 187 0.08 ¥42,000,000 Japan (Government) 1.3% Bonds 20/6/2020 286 0.12 ¥60,000,000 Japan (Government) 1.3% Bonds 20/3/2021 413 0.18 ¥41,000,000 Japan (Government) 1.3% Bonds 20/6/2035 299 0.13 ¥60,000,000 Japan (Government) 1.4% Bonds 20/12/2018 401 0.17 ¥25,400,000 Japan (Government) 1.4% Bonds 20/6/2019 171 0.07 ¥92,000,000 Japan (Government) 1.4% Bonds 20/9/2019 623 0.27 ¥70,000,000 Japan (Government) 1.4% Bonds 20/3/2020 477 0.20 ¥25,000,000 Japan (Government) 1.4% Bonds 20/12/2022 178 0.08 ¥45,000,000 Japan (Government) 1.4% Bonds 20/9/2034 335 0.14




¥27,000,000 Japan (Government) 1.4% Bonds 20/9/2045 195 0.08 ¥17,000,000 Japan (Government) 1.4% Bonds 20/3/2055 122 0.05 ¥65,000,000 Japan (Government) 1.5% Bonds 20/12/2017 428 0.18 ¥40,000,000 Japan (Government) 1.5% Bonds 20/6/2018 266 0.11 ¥60,000,000 Japan (Government) 1.5% Bonds 20/9/2018 401 0.17 ¥20,000,000 Japan (Government) 1.5% Bonds 20/6/2019 135 0.06 ¥12,000,000 Japan (Government) 1.5% Bonds 20/6/2032 91 0.04 ¥20,000,000 Japan (Government) 1.5% Bonds 20/3/2033 152 0.07 ¥53,500,000 Japan (Government) 1.5% Bonds 20/3/2034 406 0.17 ¥42,000,000 Japan (Government) 1.5% Bonds 20/6/2034 318 0.14 ¥25,000,000 Japan (Government) 1.5% Bonds 20/12/2044 185 0.08 ¥31,000,000 Japan (Government) 1.5% Bonds 20/3/2045 229 0.10 ¥30,000,000 Japan (Government) 1.6% Bonds 20/6/2030 230 0.10 ¥20,000,000 Japan (Government) 1.6% Bonds 20/3/2032 154 0.07 ¥20,000,000 Japan (Government) 1.6% Bonds 20/6/2032 154 0.07 ¥42,000,000 Japan (Government) 1.6% Bonds 20/3/2033 324 0.14 ¥33,000,000 Japan (Government) 1.6% Bonds 20/12/2033 254 0.11 ¥18,000,000 Japan (Government) 1.6% Bonds 20/6/2045 136 0.06 ¥9,000,000 Japan (Government) 1.7% Bonds 20/3/2017 59 0.03 ¥52,800,000 Japan (Government) 1.7% Bonds 20/9/2017 347 0.15 ¥46,000,000 Japan (Government) 1.7% Bonds 20/3/2018 306 0.13 ¥75,000,000 Japan (Government) 1.7% Bonds 20/6/2018 501 0.21 ¥23,000,000 Japan (Government) 1.7% Bonds 20/9/2031 180 0.08 ¥39,000,000 Japan (Government) 1.7% Bonds 20/12/2031 304 0.13 ¥10,000,000 Japan (Government) 1.7% Bonds 20/3/2032 78 0.03 ¥17,000,000 Japan (Government) 1.7% Bonds 20/6/2032 133 0.06 ¥46,000,000 Japan (Government) 1.7% Bonds 20/9/2032 360 0.15 ¥33,000,000 Japan (Government) 1.7% Bonds 20/12/2032 258 0.11 ¥58,000,000 Japan (Government) 1.7% Bonds 20/6/2033 454 0.19 ¥65,000,000 Japan (Government) 1.7% Bonds 20/9/2033 508 0.22 ¥17,000,000 Japan (Government) 1.7% Bonds 20/12/2043 132 0.06 ¥23,000,000 Japan (Government) 1.7% Bonds 20/3/2044 178 0.08 ¥21,000,000 Japan (Government) 1.7% Bonds 20/6/2044 162 0.07 ¥21,000,000 Japan (Government) 1.7% Bonds 20/9/2044 163 0.07 ¥19,000,000 Japan (Government) 1.7% Bonds 20/3/2054 149 0.06 ¥25,000,000 Japan (Government) 1.9% Bonds 20/6/2017 164 0.07 ¥65,000,000 Japan (Government) 1.8% Bonds 20/6/2018 435 0.19 ¥20,000,000 Japan (Government) 1.9% Bonds 22/3/2021 142 0.06 ¥20,000,000 Japan (Government) 1.9% Bonds 20/06/2022 145 0.06 ¥27,000,000 Japan (Government) 1.9% Bonds 20/12/2023 201 0.09 ¥16,000,000 Japan (Government) 1.9% Bonds 20/3/2025 121 0.05 ¥25,000,000 Japan (Government) 1.9% Bonds 20/12/2028 196 0.08


¥27,000,000 Japan (Government) 1.8% Bonds 20/6/2030 212 0.09 ¥20,000,000 Japan (Government) 1.8% Bonds 20/9/2030 157 0.07 ¥22,000,000 Japan (Government) 1.9% Bonds 20/9/2030 175 0.08 ¥30,000,000 Japan (Government) 1.9% Bonds 20/3/2031 239 0.10 ¥17,000,000 Japan (Government) 1.8% Bonds 20/6/2031 134 0.06 ¥53,000,000 Japan (Government) 1.8% Bonds 20/9/2031 419 0.18 ¥15,000,000 Japan (Government) 1.8% Bonds 20/12/2031 119 0.05 ¥33,500,000 Japan (Government) 1.8% Bonds 20/3/2032 265 0.11 ¥25,000,000 Japan (Government) 1.8% Bonds 20/12/2032 198 0.08 ¥69,000,000 Japan (Government) 1.9% Bonds 20/9/2042 554 0.24 ¥40,000,000 Japan (Government) 1.8% Bonds 20/3/2043 316 0.14 ¥31,000,000 Japan (Government) 1.9% Bonds 20/6/2043 250 0.11 ¥15,000,000 Japan (Government) 1.8% Bonds 20/9/2043 119 0.05 ¥15,000,000 Japan (Government) 1.9% Bonds 20/3/2053 123 0.05 ¥40,000,000 Japan (Government) 2% Bonds 21/3/2022 290 0.12 ¥27,000,000 Japan (Government) 2% Bonds 20/12/2024 205 0.09 ¥24,500,000 Japan (Government) 2% Bonds 20/6/2025 187 0.08 ¥45,000,000 Japan (Government) 2% Bonds 20/12/2025 346 0.15 ¥20,000,000 Japan (Government) 2% Bonds 20/6/2030 161 0.07 ¥25,000,000 Japan (Government) 2% Bonds 20/12/2030 201 0.09 ¥20,000,000 Japan (Government) 2% Bonds 20/3/2031 161 0.07 ¥46,950,000 Japan (Government) 2% Bonds 20/9/2040 383 0.16 ¥47,500,000 Japan (Government) 2% Bonds 20/9/2041 388 0.17 ¥38,650,000 Japan (Government) 2% Bonds 20/3/2042 316 0.14 ¥24,000,000 Japan (Government) 2% Bonds 20/3/2052 201 0.09 ¥50,000,000 Japan (Government) 2.1% Bonds 20/3/2024 378 0.16 ¥33,000,000 Japan (Government) 2.1% Bonds 20/9/2024 252 0.11 ¥12,000,000 Japan (Government) 2.1% Bonds 20/9/2025 93 0.04 ¥15,000,000 Japan (Government) 2.1% Bonds 20/12/2025 116 0.05 ¥18,000,000 Japan (Government) 2.1% Bonds 20/3/2026 140 0.06 ¥57,000,000 Japan (Government) 2.1% Bonds 20/12/2026 448 0.19 ¥30,000,000 Japan (Government) 2.1% Bonds 20/3/2027 236 0.10 ¥6,650,000 Japan (Government) 2.1% Bonds 20/6/2027 53 0.02 ¥22,500,000 Japan (Government) 2.1% Bonds 20/12/2027 179 0.08 ¥20,000,000 Japan (Government) 2.1% Bonds 20/9/2028 160 0.07 ¥21,000,000 Japan (Government) 2.1% Bonds 20/12/2028 168 0.07 ¥24,000,000 Japan (Government) 2.1% Bonds 20/3/2029 193 0.08 ¥55,000,000 Japan (Government) 2.1% Bonds 20/6/2029 443 0.19 ¥52,000,000 Japan (Government) 2.1% Bonds 20/9/2029 420 0.18 ¥29,000,000 Japan (Government) 2.1% Bonds 20/12/2029 235 0.10 ¥58,000,000 Japan (Government) 2.1% Bonds 20/3/2030 470 0.20 ¥50,000,000 Japan (Government) 2.1% Bonds 20/12/2030 407 0.17




¥35,000,000 Japan (Government) 2.2% Bonds 20/12/2021 256 0.11 ¥20,000,000 Japan (Government) 2.2% Bonds 20/3/2026 157 0.07 ¥20,000,000 Japan (Government) 2.2% Bonds 20/6/2026 157 0.07 ¥22,000,000 Japan (Government) 2.2% Bonds 20/9/2027 176 0.08 ¥15,000,000 Japan (Government) 2.2% Bonds 20/9/2028 121 0.05 ¥30,000,000 Japan (Government) 2.2% Bonds 20/12/2029 246 0.11 ¥15,000,000 Japan (Government) 2.2% Bonds 20/3/2030 123 0.05 ¥27,000,000 Japan (Government) 2.2% Bonds 20/9/2039 227 0.10 ¥40,000,000 Japan (Government) 2.2% Bonds 20/3/2041 339 0.15 ¥37,000,000 Japan (Government) 2.2% Bonds 20/3/2049 322 0.14 ¥18,000,000 Japan (Government) 2.2% Bonds 20/3/2050 157 0.07 ¥27,000,000 Japan (Government) 2.2% Bonds 20/3/2051 236 0.10 ¥8,000,000 Japan (Government) 2.3% Bonds 20/3/2026 63 0.03 ¥53,000,000 Japan (Government) 2.3% Bonds 20/6/2026 421 0.18 ¥8,000,000 Japan (Government) 2.3% Bonds 20/9/2026 64 0.03 ¥30,000,000 Japan (Government) 2.3% Bonds 20/6/2027 241 0.10 ¥30,000,000 Japan (Government) 2.3% Bonds 20/6/2028 244 0.10 ¥22,000,000 Japan (Government) 2.3% Bonds 20/3/2035 187 0.08 ¥15,000,000 Japan (Government) 2.3% Bonds 20/6/2035 127 0.05 ¥23,000,000 Japan (Government) 2.3% Bonds 20/12/2035 195 0.08 ¥47,500,000 Japan (Government) 2.3% Bonds 20/3/2039 406 0.17 ¥52,000,000 Japan (Government) 2.3% Bonds 20/3/2040 445 0.19 ¥20,000,000 Japan (Government) 2.4% Bonds 20/3/2028 164 0.07 ¥15,000,000 Japan (Government) 2.4% Bonds 20/6/2028 123 0.05 ¥11,600,000 Japan (Government) 2.4% Bonds 20/12/2034 100 0.04 ¥23,000,000 Japan (Government) 2.4% Bonds 20/3/2037 198 0.08 ¥51,000,000 Japan (Government) 2.4% Bonds 20/9/2038 441 0.19 ¥21,000,000 Japan (Government) 2.5% Bonds 20/6/2034 183 0.08 ¥12,000,000 Japan (Government) 2.5% Bonds 20/9/2034 104 0.04 ¥15,000,000 Japan (Government) 2.5% Bonds 20/9/2035 131 0.06 ¥19,000,000 Japan (Government) 2.5% Bonds 20/3/2036 165 0.07 ¥15,000,000 Japan (Government) 2.5% Bonds 20/6/2036 131 0.06 ¥32,000,000 Japan (Government) 2.5% Bonds 20/9/2037 279 0.12 ¥28,000,000 Japan (Government) 2.5% Bonds 20/3/2038 245 0.11 ¥170,000,000 Japan (Government) 2 Year 0.1% Bonds 15/4/2017 1,090 0.47 ¥15,000,000 Japan (Government) 2 Year 0.1% Bonds 15/7/2017 96 0.04 ¥50,000,000 Japan (Government) 5 Year 0.1% Bonds 20/3/2020 324 0.14 ¥35,000,000 Japan (Government) 5 Year 0.1% Bonds 20/9/2020 227 0.10 ¥80,000,000 Japan (Government) 5 Year 0.1% Bonds 20/12/2020 519 0.22 ¥20,000,000 Japan (Government) 5 Year 0.3% Bonds 20/9/2018 130 0.06 ¥55,600,000 Japan (Government) 10 Year 0.3% Bonds 20/12/2025 368 0.16 ¥45,000,000 Japan (Government) 10 Year 0.4% Bonds 20/3/2025 301 0.13


¥30,000,000 Japan (Government) 10 Year 0.4% Bonds 20/9/2025 201 0.09 ¥43,000,000 Japan (Government) 20 Year 1% Bonds 20/12/2035 297 0.13 ¥43,000,000 Japan (Government) 20 Year 1.2% Bonds 20/9/2035 308 0.13 ¥10,000,000 Japan (Government) 30 Year 1.4% Bonds 20/12/2045 72 0.03

57,180 24.56

Swedish Krona Denominated Fixed Rate Government Bonds – 0.32%; 2015 0.34% SEK 990,000 Sweden (Kingdom) 1.5% Bonds 13/11/2023 91 0.04 SEK 600,000 Sweden (Kingdom) 2.25% Bonds 1/6/2032 58 0.02 SEK 1,350,000 Sweden (Kingdom) 2.5% Bonds 12/5/2025 134 0.06 SEK 500,000 Sweden (Kingdom) 3.5% Bonds 1/6/2022 51 0.02 SEK 770,000 Sweden (Kingdom) 3.5% Bonds 30/3/2039 89 0.04 SEK 1,900,000 Sweden (Kingdom) 4.25% Bonds 12/3/2019 183 0.08 SEK 1,300,000 Sweden (Kingdom) 5% Bonds 1/12/2020 137 0.06

743 0.32

US Dollar Denominated Fixed Rate Government Bonds – 43.05%; 2015 43.09% $600,000 US Treasury 0.625% Bonds 31/5/2017 433 0.19 $500,000 US Treasury 0.625% Bonds 31/7/2017 360 0.15 $750,000 US Treasury 0.875% Bonds 15/7/2017 542 0.23 $500,000 US Treasury 0.875% Bonds 15/10/2018 361 0.15 $350,000 US Treasury 1% Bonds 15/5/2018 254 0.11 $480,000 US Treasury 1.375% Bonds 30/6/2018 351 0.15 $1,180,000 US Treasury 1.375% Bonds 31/8/2020 858 0.37 $530,000 US Treasury 1.375% Bonds 30/9/2020 385 0.17 $900,000 US Treasury 1.375% Bonds 31/10/2020 654 0.28 $350,000 US Treasury 1.625% Bonds 31/7/2020 257 0.11 $800,000 US Treasury 1.625% Bonds 30/11/2020 588 0.25 $1,200,000 US Treasury 1.625% Bonds 30/11/2020 882 0.38 $500,000 US Treasury 1.75% Bonds 31/12/2020 370 0.16 $450,000 US Treasury 1.75% Bonds 28/2/2022 331 0.14 $550,000 US Treasury 1.75% Bonds 30/9/2022 403 0.17 $300,000 US Treasury 1.75% Bonds 31/1/2023 220 0.09 $550,000 US Treasury 1.875% Bonds 31/8/2022 406 0.17 $750,000 US Treasury 1.875% Bonds 31/10/2022 554 0.24 $500,000 US Treasury 2% Bonds 31/7/2022 372 0.16 $1,050,000 US Treasury 2% Bonds 15/8/2025 774 0.33 $200,000 US Treasury 2.125% Bonds 31/12/2022 150 0.06 $700,000 US Treasury 2.125% Bonds 31/12/2022 526 0.23 $650,000 US Treasury 3% Bonds 15/11/2045 507 0.22 $495,000 US Treasury 4.375% Bonds 15/5/2041 485 0.21 $100,000 US Treasury 6.875% Bonds 15/8/2025 105 0.05 $1,540,000 US Treasury 0.5% Notes 30/4/2017 1,109 0.48




$450,000 US Treasury 0.5% Notes 31/7/2017 324 0.14 $350,000 US Treasury 0.625% Notes 30/6/2017 252 0.11 $1,200,000 US Treasury 0.625% Notes 30/9/2017 864 0.37 $850,000 US Treasury 0.625% Notes 31/8/2017 612 0.26 $450,000 US Treasury 0.625% Notes 30/11/2017 324 0.14 $800,000 US Treasury 0.625% Notes 30/4/2018 575 0.25 $400,000 US Treasury 0.75% Notes 30/6/2017 289 0.12 $950,000 US Treasury 0.75% Notes 31/10/2017 685 0.29 $400,000 US Treasury 0.75% Notes 31/12/2017 289 0.12 $850,000 US Treasury 0.75% Notes 31/1/2018 613 0.26 $300,000 US Treasury 0.75% Notes 31/3/2018 216 0.09 $1,000,000 US Treasury 0.75% Notes 15/4/2018 721 0.31 $800,000 US Treasury 0.875% Notes 15/4/2017 579 0.25 $680,000 US Treasury 0.875% Notes 15/6/2017 492 0.21 $1,000,000 US Treasury 0.875% Notes 15/8/2017 723 0.31 $900,000 US Treasury 0.875% Notes 15/10/2017 651 0.28 $500,000 US Treasury 0.875% Notes 15/11/2017 362 0.16 $1,400,000 US Treasury 0.875% Notes 30/11/2017 1,012 0.43 $250,000 US Treasury 0.875% Notes 15/1/2018 181 0.08 $900,000 US Treasury 0.875% Notes 31/1/2018 651 0.28 $300,000 US Treasury 0.875% Notes 31/7/2019 215 0.09 $600,000 US Treasury 1% Notes 31/3/2017 435 0.19 $2,200,000 US Treasury 1% Notes 15/9/2017 1,594 0.68 $350,000 US Treasury 1% Notes 31/12/2017 254 0.11 $200,000 US Treasury 1% Notes 15/3/2018 145 0.06 $870,000 US Treasury 1% Notes 15/9/2018 630 0.27 $500,000 US Treasury 1% Notes 30/6/2019 361 0.15 $725,000 US Treasury 1% Notes 30/9/2019 522 0.22 $500,000 US Treasury 1% Notes 30/11/2019 360 0.15 $750,000 US Treasury 1.125% Notes 15/6/2018 545 0.23 $300,000 US Treasury 1.25% Notes 31/10/2018 219 0.09 $300,000 US Treasury 1.25% Notes 15/11/2018 219 0.09 $1,800,000 US Treasury 1.25% Notes 15/11/2018 1,312 0.56 $150,000 US Treasury 1.25% Notes 30/11/2018 109 0.05 $1,700,000 US Treasury 1.25% Notes 15/12/2018 1,239 0.53 $850,000 US Treasury 1.25% Notes 31/1/2019 620 0.27 $350,000 US Treasury 1.25% Notes 30/4/2019 255 0.11 $300,000 US Treasury 1.125% Notes 31/5/2019 218 0.09 $530,000 US Treasury 1.25% Notes 31/10/2019 385 0.17 $1,300,000 US Treasury 1.125% Notes 31/12/2019 939 0.40 $400,000 US Treasury 1.25% Notes 31/1/2020 290 0.12 $450,000 US Treasury 1.25% Notes 29/2/2020 326 0.14


$350,000 US Treasury 1.125% Notes 31/3/2020 252 0.11 $400,000 US Treasury 1.125% Notes 30/4/2020 288 0.12 $1,100,000 US Treasury 1.375% Notes 31/7/2018 804 0.34 $1,080,000 US Treasury 1.375% Notes 30/9/2018 790 0.34 $300,000 US Treasury 1.375% Notes 30/11/2018 220 0.09 $390,000 US Treasury 1.375% Notes 31/12/2018 285 0.12 $650,000 US Treasury 1.375% Notes 28/2/2019 475 0.20 $450,000 US Treasury 1.375% Notes 31/1/2020 328 0.14 $500,000 US Treasury 1.375% Notes 29/2/2020 364 0.16 $500,000 US Treasury 1.375% Notes 31/3/2020 364 0.16 $450,000 US Treasury 1.375% Notes 30/4/2020 328 0.14 $300,000 US Treasury 1.375% Notes 31/5/2020 218 0.09 $300,000 US Treasury 1.375% Notes 31/01/2021 218 0.09 $1,000,000 US Treasury 1.5% Notes 31/8/2018 734 0.31 $450,000 US Treasury 1.5% Notes 31/12/2018 330 0.14 $750,000 US Treasury 1.5% Notes 31/1/2019 550 0.24 $450,000 US Treasury 1.5% Notes 28/2/2019 330 0.14 $1,000,000 US Treasury 1.5% Notes 31/5/2019 734 0.31 $600,000 US Treasury 1.5% Notes 31/10/2019 440 0.19 $600,000 US Treasury 1.5% Notes 30/11/2019 439 0.19 $500,000 US Treasury 1.5% Notes 31/5/2020 366 0.16 $350,000 US Treasury 1.5% Notes 31/1/2022 254 0.11 $1,000,000 US Treasury 1.625% Notes 31/3/2019 736 0.32 $450,000 US Treasury 1.625% Notes 30/4/2019 331 0.14 $470,000 US Treasury 1.625% Notes 30/6/2019 346 0.15 $500,000 US Treasury 1.625% Notes 31/7/2019 368 0.16 $500,000 US Treasury 1.625% Notes 31/8/2019 368 0.16 $500,000 US Treasury 1.625% Notes 31/12/2019 368 0.16 $1,015,000 US Treasury 1.625% Notes 15/8/2022 740 0.32 $830,000 US Treasury 1.625% Notes 15/11/2022 604 0.26 $350,000 US Treasury 1.75% Notes 31/10/2018 259 0.11 $285,000 US Treasury 1.75% Notes 30/9/2019 211 0.09 $380,000 US Treasury 1.75% Notes 31/10/2020 280 0.12 $400,000 US Treasury 1.75% Notes 31/3/2022 294 0.13 $400,000 US Treasury 1.75% Notes 30/4/2022 294 0.13 $1,270,000 US Treasury 1.75% Notes 15/5/2022 933 0.40 $1,050,000 US Treasury 1.75% Notes 15/5/2023 769 0.33 $300,000 US Treasury 1.875% Notes 30/11/2021 222 0.10 $300,000 US Treasury 1.875% Notes 31/5/2022 222 0.10 $400,000 US Treasury 2% Notes 31/7/2020 298 0.13 $400,000 US Treasury 2% Notes 30/9/2020 299 0.13 $500,000 US Treasury 2% Notes 30/11/2020 373 0.16




$880,000 US Treasury 2% Notes 28/2/2021 657 0.28 $300,000 US Treasury 2% Notes 31/5/2021 224 0.10 $430,000 US Treasury 2% Notes 31/8/2021 321 0.14 $540,000 US Treasury 2% Notes 31/10/2021 403 0.17 $1,506,000 US Treasury 2% Notes 15/11/2021 1,124 0.48 $1,250,000 US Treasury 2% Notes 15/2/2022 933 0.40 $750,000 US Treasury 2% Notes 30/11/2022 558 0.24 $1,150,000 US Treasury 2% Notes 15/2/2023 857 0.37 $1,070,000 US Treasury 2% Notes 15/2/2025 790 0.34 $340,000 US Treasury 2.125% Notes 31/8/2020 255 0.11 $1,000,000 US Treasury 2.125% Notes 31/1/2021 751 0.32 $300,000 US Treasury 2.125% Notes 30/6/2021 225 0.10 $725,000 US Treasury 2.125% Notes 15/8/2021 544 0.23 $400,000 US Treasury 2.125% Notes 30/9/2021 300 0.13 $400,000 US Treasury 2.125% Notes 31/12/2021 300 0.13 $430,000 US Treasury 2.125% Notes 30/6/2022 323 0.14 $1,200,000 US Treasury 2.125% Notes 15/5/2025 895 0.38 $250,000 US Treasury 2.25% Notes 31/3/2021 189 0.08 $420,000 US Treasury 2.25% Notes 30/4/2021 317 0.14 $1,020,000 US Treasury 2.25% Notes 15/11/2024 769 0.33 $1,450,000 US Treasury 2.25% Notes 15/11/2025 1,093 0.47 $500,000 US Treasury 2.375% Notes 31/7/2017 369 0.16 $550,000 US Treasury 2.375% Notes 31/5/2018 411 0.18 $400,000 US Treasury 2.375% Notes 31/12/2020 304 0.13 $1,170,000 US Treasury 2.375% Notes 15/8/2024 891 0.38 $400,000 US Treasury 2.5% Notes 30/6/2017 295 0.13 $1,500,000 US Treasury 2.5% Notes 15/8/2023 1,156 0.50 $820,000 US Treasury 2.5% Notes 15/5/2024 631 0.27 $770,000 US Treasury 2.5% Notes 15/2/2045 542 0.23 $525,000 US Treasury 2.625% Notes 30/4/2018 394 0.17 $900,000 US Treasury 2.625% Notes 15/8/2020 689 0.30 $855,000 US Treasury 2.625% Notes 15/11/2020 656 0.28 $400,000 US Treasury 2.75% Notes 31/5/2017 296 0.13 $850,000 US Treasury 2.75% Notes 31/12/2017 635 0.27 $600,000 US Treasury 2.75% Notes 28/2/2018 450 0.19 $1,200,000 US Treasury 2.75% Notes 15/2/2019 912 0.39 $865,000 US Treasury 2.75% Notes 15/11/2023 678 0.29 $390,000 US Treasury 2.75% Notes 15/2/2024 305 0.13 $860,000 US Treasury 2.75% Notes 15/8/2042 644 0.28 $670,000 US Treasury 2.75% Notes 15/11/2042 501 0.21 $380,000 US Treasury 2.875% Notes 31/3/2018 286 0.12 $500,000 US Treasury 2.875% Notes 15/5/2043 382 0.16


$675,000 US Treasury 2.875% Notes 15/8/2045 513 0.22 $815,000 US Treasury 3% Notes 15/5/2042 642 0.28 $720,000 US Treasury 3% Notes 15/11/2044 562 0.24 $680,000 US Treasury 3% Notes 15/5/2045 530 0.23 $700,000 US Treasury 3.125% Notes 30/4/2017 520 0.22 $650,000 US Treasury 3.125% Notes 15/5/2019 501 0.21 $780,000 US Treasury 3.125% Notes 15/5/2021 614 0.26 $680,000 US Treasury 3.125% Notes 15/11/2041 549 0.24 $645,000 US Treasury 3.125% Notes 15/2/2042 521 0.22 $670,000 US Treasury 3.125% Notes 15/2/2043 538 0.23 $690,000 US Treasury 3.125% Notes 15/8/2044 552 0.24 $600,000 US Treasury 3.25% Notes 31/3/2017 445 0.19 $740,000 US Treasury 3.375% Notes 15/11/2019 579 0.25 $680,000 US Treasury 3.375% Notes 15/5/2044 571 0.24 $1,570,000 US Treasury 3.5% Notes 15/5/2020 1,240 0.53 $350,000 US Treasury 3.5% Notes 15/2/2039 302 0.13 $690,000 US Treasury 3.625% Notes 15/8/2019 542 0.23 $850,000 US Treasury 3.625% Notes 15/2/2020 672 0.29 $1,060,000 US Treasury 3.625% Notes 15/2/2021 851 0.36 $500,000 US Treasury 3.625% Notes 15/8/2043 441 0.19 $590,000 US Treasury 3.625% Notes 15/2/2044 519 0.22 $750,000 US Treasury 3.75% Notes 15/11/2018 583 0.25 $655,000 US Treasury 3.75% Notes 15/8/2041 586 0.25 $830,000 US Treasury 3.75% Notes 15/11/2043 748 0.32 $500,000 US Treasury 3.875% Notes 15/5/2018 385 0.17 $605,000 US Treasury 3.875% Notes 15/8/2040 550 0.24 $1,640,000 US Treasury 4% Notes 15/8/2018 1,277 0.55 $560,000 US Treasury 4.25% Notes 15/5/2039 538 0.23 $780,000 US Treasury 4.25% Notes 15/11/2040 749 0.32 $360,000 US Treasury 4.375% Notes 15/2/2038 353 0.15 $620,000 US Treasury 4.375% Notes 15/11/2039 605 0.26 $600,000 US Treasury 4.375% Notes 15/5/2040 586 0.25 $150,000 US Treasury 4.5% Notes 15/5/2017 113 0.05 $415,000 US Treasury 4.5% Notes 15/2/2036 413 0.18 $312,000 US Treasury 4.5% Notes 15/5/2038 311 0.13 $710,000 US Treasury 4.5% Notes 15/8/2039 705 0.30 $500,000 US Treasury 4.625% Notes 15/2/2040 506 0.22 $250,000 US Treasury 4.75% Notes 15/8/2017 191 0.08 $280,000 US Treasury 4.75% Notes 15/2/2037 287 0.12 $785,000 US Treasury 4.75% Notes 15/2/2041 810 0.35 $180,000 US Treasury 5% Notes 15/5/2037 191 0.08 $100,000 US Treasury 5.25% Notes 15/11/2028 99 0.04

570



$200,000 US Treasury 5.25% Notes 15/2/2029 198 0.08 $235,000 US Treasury 5.375% Notes 15/2/2031 243 0.10 $150,000 US Treasury 5.5% Notes 15/8/2028 151 0.06 $230,000 US Treasury 6% Notes 15/2/2026 230 0.10 $420,000 US Treasury 6.125% Notes 15/11/2027 438 0.19 $160,000 US Treasury 6.125% Notes 15/8/2029 172 0.07 $250,000 US Treasury 6.25% Notes 15/8/2023 240 0.10 $270,000 US Treasury 6.25% Notes 15/5/2030 297 0.13 $200,000 US Treasury 6.5% Notes 15/11/2026 210 0.09 $100,000 US Treasury 6.75% Notes 15/8/2026 106 0.05 $250,000 US Treasury 7.125% Notes 15/2/2023 248 0.11 $80,000 US Treasury 7.25% Notes 15/8/2022 78 0.03 $400,000 US Treasury 8% Notes 15/11/2021 394 0.17 $150,000 US Treasury 8.125% Notes 15/5/2021 145 0.06

100,465 43.05



Unless otherwise stated, all securities are either listed on a recognised exchange or traded on an eligible securities market.Note: comparative figures show percentages for each category of holding at 28 February 2015. All securities in the portfolio at 29 February 2016 are investment grade.

overseas Government Bond tracker portfolio Statement continued overseas Government Bond tracker Statement of total Return for the year ended 29 February 2016

Notes £000’s


£000’s £000’s


£000’s

Income


Revenue 4 2,205 2,311

Expenses 5 (287) (302)


Taxation 6 – –





overseas Government Bond tracker Statement of Change in Net Assets Attributable to Unitholders for the year ended 29 February 2016

£000’s


£000’s £000’s


£000’s




54,064 3,154





overseas Government Bond tracker Balance Sheet at 29 February 2016

Notes

29.2.2016£000’s

28.2.2015£000’s

Assets:

Fixed assets


Current assets

– Debtors 8 9,023 4,832

– Cash and bank balances 1,139 432

Total assets 241,391 157,670

Liabilities:

Creditors


– Other creditors 9 (7,910) (4,131)




overseas Government Bond tracker Notes to Financial Statements for the year ended 29 February 2016





£000’s


£000’s



Losses on derivative securities – (2)

Currency gains/(losses) 1 (23)



4. Revenue


£000’s


£000’s





5. Expenses


£000’s


£000’s




262 278

Other expenses:

– Audit fee 7 7



25 24





£000’s


£000’s





£000’s


£000’s


Corporation tax at 20% (28 February 2015: 20%) 384 402

Effects of:

Tax deductible interest distribution (384) (402)


7. Distributions


£000’s


£000’s

Interim distribution 901 1,029

Final distribution 1,202 985

2,103 2,014





Add: Equalisation on conversions 22 –



overseas Government Bond tracker Notes to Financial Statements continued

8. Debtors

29.2.2016 £000’s

28.2.2015£000’s




Sales awaiting settlement 3,506 1,958


9. Other Creditors

29.2.2016 £000’s

28.2.2015 £000’s


Accrued FCA fee 1 1




















29.2.2016£000’s

28.2.2015£000’s


The Fund’s securities lending borrowing counterparties are Barclays Bank Plc, JP Morgan Chase Securities Plc, Nomura, The Bank of Nova Scotia and UBS.
















£000’s %Taxes

£000’s %







£000’s %Taxes

£000’s %










£000’s %Taxes

£000’s %







£000’s %Taxes

£000’s %

















Balance at the beginning of the year 113,158 136,357,027 9,322,539 3,801,789 1,479


Cancelled during the year (157,399) (28,821,459) (9,573,950) (865,586) (498,985)

Converted during the year (5,403) (51,832,901) 53,048,088 (363,578) 1,069,191

Balance at the end of the year 131,287 126,663,499 60,215,721 10,027,446 3,057,370




About the Fund

The BlackRock Pacific ex Japan Equity Tracker Fund (the “Fund”) is a sub-fund of BlackRock Collective Investment Funds, a UCITS scheme established under the COLL Sourcebook. The Fund was established and authorised by the Financial Conduct Authority on 21 June 2005. The Fund was previously known as Merrill Lynch Pacific ex Japan Equity Tracker Fund. It adopted its present name with effect from 28 April 2008.


The aim of the Fund is to seek to achieve capital growth for investors by tracking closely the performance of the FTSE World Asia Pacific ex-Japan Index by investing in companies in the Index. Investment will be made directly into constituent companies and via other transferable securities giving exposure to such companies. The Fund may also invest in permitted money-market instruments, permitted deposits and units in collective investment schemes. Derivatives and forward transactions may be used for the purposes of efficient portfolio management.




Unit Class



X Income 1 2 3 4 5 6 7









BlackRock pacific ex Japan equity tracker Fund


Performance Table






BlackRock Pacific ex Japan Equity Tracker Fund

-9.7% -9.1% +9.0%

FTSE World Asia Pacific ex-Japan Index* -9.5% -8.6% +9.6%



pacific ex Japan equity tracker Fund








to 29.2.2016




-9.72%* -9.51% -0.21%



pacific ex Japan equity tracker Fund continued












pacific ex Japan equity tracker Investment Report

Summary of Performance over the PeriodDuring the period from 1 March 2015 to 29 February 2016, the Fund returned -9.7%,* compared with its benchmark, the FTSE World Asia Pacific ex-Japan Index, which returned -9.5%. Before costs, the performance of the Fund relative to the benchmark index has been in line with expectations. Over the six-month period to 29 February 2016, the Fund returned 6.8%,* underperforming its benchmark, which returned 7.5%.


China was a key point of focus over the period, as investors fretted over a slowing pace of growth and volatile commodity prices. Extreme volatility in August culminated in ‘Black Monday’ (24 August 2015), when Chinese shares fell 8.5% during one trading session. The reverberations were felt throughout the Asia Pacific region. In early 2016, Chinese authorities tried out a new stock market ‘circuit breaker’, which automatically ceased trading if shares dropped by more than 7%. However, the measure unnerved investors, so it was put to one side. Overall, the Chinese economy grew by 6.9% in 2015, falling behind India, which recorded growth of 7.5%. Elsewhere, news that North Korea tested an atomic bomb in January unsettled South Korean markets.

The Fund is structured to track the FTSE World Asia Pacific ex-Japan Index closely, so its portfolio remains positioned so that its risk characteristics are similar to those of the Index.

March 2016

* Performance figures quoted are based on bid-to-bid dealing prices (the price at which units are sold). Performance is calculated net of fees and reported for the Fund’s class L Accumulation units.

Comparative Table





to 28.2.2014




to 28.2.2014










performance


other information


Closing number of units 779,483 1,376,909 2,562,225 277,993,688 285,539,611 242,206,043










pacific ex Japan equity tracker performance Record


Comparative Table





to 28.2.2014




to 28.2.2014










performance


other information

Closing net asset value (£000’s) 35,176 36,110 19,539 21,288 4,920 –

Closing number of units 17,162,589 15,943,098 9,646,633 21,248,514 4,446,227 100











Comparative Table





to 28.2.2014




to 28.2.2014











performance


other information

Closing net asset value (£000’s) – 3,049 3,080 134,053 96,397 142,065











pacific ex Japan equity tracker performance Record continued



pACIFIC – 98.91%; 2015 98.49%

eQUItIeS – 98.91%; 2015 98.49%

Australia – 31.08%; 2015 32.91% 175,988 Adelaide Brighton 449 0.06 285,013 AGL Energy 2,696 0.35 206,068 ALS 394 0.05 1,115,091 Alumina 774 0.10 490,264 Amcor 3,543 0.46 1,239,340 AMP 3,401 0.44 62,059 Ansell 551 0.07 468,566 APA 2,105 0.27 267,232 Aristocrat Leisure 1,379 0.18 262,247 Asciano 1,200 0.16 82,551 ASX 1,790 0.23 850,630 Aurizon 1,786 0.23 786,282 AusNet Services 592 0.08 1,217,227 Australia & New Zealand Banking 14,059 1.83 163,219 Bank of Queensland 888 0.12 187,651 Bendigo & Adelaide Bank 829 0.11 2,223,675 BGP* – 0.00 1,358,510 BHP Billiton 10,912 1.42 235,686 Bluescope Steel 666 0.09 314,101 Boral 945 0.12 672,716 Brambles 4,327 0.56 113,716 Caltex Australia 2,141 0.28 237,283 Challenger Financial Services 920 0.12 109,995 Charter Hall Office REIT* – 0.00 42,894 CIMIC 698 0.09 226,253 Coca-Cola Amatil 992 0.13 24,100 Cochlear 1,274 0.17 718,948 Commonwealth Bank of Australia 26,010 3.38 207,243 Computershare 973 0.13 158,670 Crown Resorts 951 0.12 197,999 CSL 10,492 1.36 208,030 CSR 317 0.04 408,744 Dexus Property 1,586 0.21 185,611 Downer Edi 318 0.04 172,707 DuluxGroup 582 0.08 1,047,573 Fairfax Media 416 0.05 23,665 Flight Centre 505 0.07 667,800 Fortescue Metals 699 0.09

pacific ex Japan equity tracker portfolio Statement at 29 February 2016



L AccumulationUnits

X IncomeUnits

X AccumulationUnits

D AccumulationUnits

H AccumulationUnits



Equalisation† – 1.1292 – 1.1191 – 0.7351 – 0.7369 – 1.5762 – 0.6878





L AccumulationUnits

X IncomeUnits

X AccumulationUnits

D AccumulationUnits

H AccumulationUnits



Equalisation† – 1.2544 – 1.7061 – 1.1028 – 1.4311 – 1.5885 – 1.0717




pacific ex Japan equity tracker Distribution tables for the year ended 29 February 2016




738,098 Goodman 2,471 0.32 763,458 GPT 1,938 0.25 179,519 Gunns* – 0.00 223,728 Harvey Norman 552 0.07 702,025 Healthscope 894 0.12 167,973 Iluka Resources 581 0.08 706,365 Incitec Pivot 1,060 0.14 1,051,669 Insurance Australia 2,805 0.36 120,249 IOOF 518 0.07 187,482 James Hardie 1,732 0.23 238,884 Lend Lease 1,606 0.21 130,801 Macquarie 4,332 0.56 174,377 Macquarie Atlas 424 0.06 1,152,431 Medibank 1,498 0.19 399,727 Metcash 345 0.04 1,557,214 Mirvac 1,470 0.19 1,106,895 National Australia Bank 13,807 1.80 102,416 New Hope 70 0.01 321,595 Newcrest Mining 2,903 0.38 85,596 Nufarm 302 0.04 497,845 Oil Search 1,708 0.22 155,037 Orica 1,140 0.15 755,939 Origin Energy 1,720 0.22 484,876 Orora 570 0.07 111,569 Oz Minerals 290 0.04 16,087 Perpetual Trustees Australia 344 0.04 108,696 Platinum Asset Management 333 0.04 441,917 Qantas Airways 880 0.11 572,591 QBE Insurance 3,122 0.41 54,222 Ramsay Health Care 1,853 0.24 22,050 REA 591 0.08 143,585 Recall 510 0.07 180,937 Rio Tinto 3,760 0.49 666,250 Santos 1,134 0.15 314,500 SCA Property 367 0.05 2,177,525 Scentre 4,898 0.64 145,936 Seek 1,168 0.15 436,399 Seven West Media 222 0.03 71,912 Sims Metal Management 249 0.03 169,452 Sonic Healthcare 1,606 0.21 2,284,563 South32 1,467 0.19 337,687 Star Entertainment 909 0.12

1,020,445 Stockland Trust 2,190 0.28 543,455 Suncorp 3,140 0.41 454,467 Sydney Airport 1,512 0.20 364,170 Tabcorp 808 0.11 611,527 Tatts 1,224 0.16 1,823,259 Telstra 4,928 0.64 137,439 TPG Telecom 742 0.10 856,974 Transurban 5,018 0.65 301,955 Treasury Wine Estates 1,502 0.20 1,390,895 Vicinity Centres 2,217 0.29 473,612 Wesfarmers 9,550 1.24 820,007 Westfield 4,230 0.55 1,406,410 Westpac Banking 20,859 2.71 237,066 Whitehaven Coal 67 0.01 304,358 Woodside Petroleum 3,980 0.52 536,183 Woolworths 6,331 0.82 102,712 WorleyParsons 222 0.03

238,829 31.08

Bermuda – 1.07%; 2015 1.11% 254,000 Cheung Kong Infrastructure 1,863 0.24 1,866,000 China Oceanwide 147 0.02 821,943 Esprit 527 0.07 121,971 Great Eagle 255 0.03 495,197 Hong Kong Land 2,098 0.27 291,218 Kerry Properties 494 0.06 2,441,059 Li & Fung 995 0.13 1,808,155 Noble 320 0.04 87,800 Orient Overseas 230 0.03 471,136 Shangri-La Asia 322 0.04 266,000 Texwinca 184 0.02 366,500 Yue Yuen Industrial 938 0.12

8,373 1.07

Cayman Islands – 0.46%; 2015 0.64% 103,206 ASM Pacific Technology 596 0.08 1,141,000 China Mengniu Dairy 1,182 0.15 421,125 Hopewell Highway 141 0.02 315,298 MGM China 259 0.03 10,884,000 Semiconductor Manufacturing 637 0.08 848,394 Tingyi 578 0.08 120,835 TPK 186 0.02

3,579 0.46

pacific ex Japan equity tracker portfolio Statement continued



China – 0.01%; 2015 0.05% 3,018,000 China Huarong Energy 64 0.01

Hong Kong – 13.97%; 2015 13.56% 299,000 AAC Technologies 1,494 0.19 5,097,719 AIA 18,722 2.44 481,854 Bank of East Asia 1,103 0.14 1,521,126 BOC Hong Kong 2,846 0.37 1,460,000 Brightoil Petroleum 268 0.03 146,000 Cafe de Coral 285 0.04 439,000 Cathay Pacific Airways 505 0.07 1,028,000 Champion Real Estate Investment Trust 359 0.05 1,191,109 Cheung Kong Property 4,391 0.57 933,000 China Oceanwide Rights 11/3/2016 1 0.00 1,098,000 China Travel International 275 0.04 468,400 Chow Tai Fook Jewellery 202 0.03 1,192,609 CK Hutchison 10,405 1.35 646,331 CLP 4,066 0.53 171,977 Dah Sing Banking 206 0.03 67,371 Dah Sing Financial 256 0.03 977,000 FIH Mobile 252 0.03 1,009,150 First Pacific 501 0.07 892,300 Galaxy Entertainment 2,158 0.28 2,487,059 Global Brands 210 0.03 1,080,000 Good Resources 82 0.01 1,056,000 Guotai Junan International 192 0.02 726,000 Haitong International Securities 246 0.03 952,665 Hang Lung Properties 1,203 0.16 325,126 Hang Seng Bank 3,958 0.52 439,530 Henderson Land Development 1,710 0.22 2,908,376 Hong Kong & China Gas 3,689 0.48 506,913 Hong Kong Exchanges & Clearing 7,955 1.03 221,500 Hopewell 488 0.06 822,500 Huabao International 204 0.03 511,000 Hutchison Telecommunications 124 0.02 256,970 Hysan Development 731 0.10 156,304 Johnson Electric 334 0.04 218,109 Kerry Logistics Network 232 0.03 128,400 Kowloon Development 68 0.01 184,000 Lifestyle International 161 0.02 953,296 Link Real Estate Investment Trust 3,877 0.50 181,250 L’Occitane International 261 0.03 602,000 Macau Legend Development 55 0.01


334,000 Melco International Developments 281 0.04 598,889 MTR 1,996 0.26 965,000 New World China Land 664 0.09 2,241,878 New World Development 1,353 0.18 587,439 NWS 601 0.08 1,734,382 PCCW 794 0.10 563,197 Power Assets 3,844 0.50 416,000 SA SA International 92 0.01 538,500 Samsonite International 1,135 0.15 1,016,823 Sands China 2,554 0.33 1,522,000 Shougang Fushan 123 0.02 1,358,380 Shui On Land 243 0.03 859,193 Shun Tak 194 0.03 1,273,280 Sino Land 1,279 0.17 721,000 SJM 317 0.04 944,500 Sun Art Retail 411 0.05 705,397 Sun Hung Kai Properties 5,673 0.74 249,965 Swire Pacific 1,758 0.23 491,760 Swire Properties 906 0.12 532,500 Techtronic Industries 1,464 0.19 108,400 Television Broadcasts 307 0.04 274,000 Towngas China 101 0.01 578,400 Uni-President 277 0.04 64,500 Vtech 522 0.07 2,749,117 Want Want China 1,312 0.17 2,173,500 WH 906 0.12 583,659 Wharf 2,111 0.27 341,177 Wheelock 965 0.13 441,600 Wynn Macau 366 0.05 826,000 Xinyi Glass 314 0.04 1,078,000 Xinyi Solar 216 0.03

107,154 13.97

Malaysia – 5.08%; 2015 4.84% 367,000 AirAsia Berhad 92 0.01 469,708 Alliance Financial 293 0.04 783,712 AMMB 583 0.08 934,400 Astro Malaysia 430 0.06 1,926,296 Axiata 1,954 0.25 333,814 Berjaya Sports Toto 181 0.02 61,900 British American Tobacco – Malaysia 595 0.08 1,562,600 Bumi Armada Berhad 258 0.03 2,311,552 CIMB 1,786 0.23




1,598,688 Digi.com 1,350 0.18 748,000 Felda Global Ventures 195 0.03 884,700 Gamuda 674 0.09 932,196 Genting Berhad 1,261 0.16 1,192,700 Genting Malaysia 844 0.11 256,800 Hong Leong Bank 577 0.08 94,394 Hong Leong Financial 226 0.03 1,194,500 IHH Healthcare 1,310 0.17 1,312,100 IJM Corporation Berhad 761 0.10 1,547,045 IOI Berhad 1,246 0.16 870,262 IOI Properties 306 0.04 216,000 KLCC Property 259 0.03 222,500 Kuala Lumpur Kepong 908 0.12 187,500 Lafarge Malayan Cement 292 0.04 2,299,980 Malayan Banking Berhad 3,360 0.44 413,920 Malaysia Airports 415 0.05 1,129,632 Maxis 1,187 0.15 638,600 MISC 959 0.12 353,600 MMC 99 0.01 1,246,626 Petronas Chemicals 1,445 0.19 133,800 Petronas Dagagan 566 0.07 343,224 Petronas Gas 1,299 0.17 253,900 PPB 697 0.09 1,331,488 Public Bank 4,206 0.55 389,480 RHB Capital 353 0.05 1,597,300 SapuraKencana Petroleum 518 0.07 1,383,553 Sime Darby 1,772 0.23 311,600 SP Setia 160 0.02 467,418 Telekom Malaysia 530 0.07 1,510,300 Tenaga Nasional 3,402 0.44 598,800 UEM Sunrise 101 0.01 290,400 UMW 351 0.05 401,200 Westports 277 0.04 2,281,233 YTL 611 0.08 1,239,705 YTL Power 309 0.04

38,998 5.08

New Zealand – 1.03%; 2015 0.85% 232,861 Air New Zealand 302 0.04 367,051 Auckland International Airport 1,066 0.14 326,037 Contact Energy 694 0.09 243,569 Fisher & Paykel Healthcare 1,021 0.13 289,363 Fletcher Building 983 0.13


528,388 Kiwi Property 342 0.04 265,543 Mighty River Power 332 0.04 164,972 Ryman Healthcare 630 0.08 243,421 Sky City 516 0.07 183,665 Sky Network Television 375 0.05 773,410 Spark New Zealand 1,260 0.16 105,837 Vector 164 0.02 72,330 Warehouse 92 0.01 32,688 Xero 231 0.03

8,008 1.03

Singapore – 6.78%; 2015 6.98% 872,000 Ascendas Real Estate Investment Trust 1,079 0.14 890,380 CapitaLand Commercial Trust 651 0.08 1,085,394 CapitaLand 1,660 0.22 1,135,406 CapitaLand Mall Trust 1,270 0.17 258,946 City Developments 945 0.12 865,959 ComfortDelGro 1,333 0.17 443,000 COSCO 69 0.01 753,965 DBS 5,251 0.68 148,300 Frasers Centrepoint 119 0.02 2,487,485 Genting Singapore 964 0.13 1,264,900 Global Logistic Properties 1,143 0.15 2,622,608 Golden Agri-Resources 491 0.06 2,099,000 Hutchison Port 697 0.09 217,000 Indofood Agri Resources 48 0.01 44,526 Jardine Cycle & Carriage 879 0.11 103,793 Jardine Matheson 4,356 0.57 95,167 Jardine Strategic 2,026 0.26 609,465 Keppel 1,617 0.21 151,675 M1 197 0.03 380,250 Neptune Orient Lines 244 0.03 43,000 Olam International 35 0.00 1,370,548 Oversea-Chinese Banking 5,669 0.74 392,130 SembCorp Industries 539 0.07 355,630 SembCorp Marine 278 0.04 87,900 SIA Engineering 156 0.02 212,433 Singapore Airlines 1,267 0.16 364,897 Singapore Exchange 1,356 0.18 575,200 Singapore Post 425 0.06 595,250 Singapore Press 1,136 0.15 647,500 Singapore Technologies Engineering 987 0.13 3,096,139 Singapore Telecommunications 5,911 0.77




309,000 SMRT 256 0.03 265,170 StarHub 463 0.06 992,700 Suntec Real Estate Investment Trust 843 0.11 507,025 United Overseas Bank 4,460 0.58 209,484 UOL 609 0.08 98,900 Venture 414 0.05 905,530 Wilmar International 1,441 0.19 186,221 Wing Tai 149 0.02 929,400 Yangzijiang Shipbuilding 432 0.06 286,600 Yanlord Land 155 0.02

52,020 6.78

South Korea – 19.59%; 2015 18.20% 13,361 Amorepacific 2,862 0.37 12,230 Amorepacific (New) 1,010 0.13 3,970 Amorepacific preference shares 512 0.07 3,935 BGF retail 372 0.05 130,253 BNK Financial 655 0.09 30,644 Celltrion 1,789 0.23 27,576 Cheil Worldwide 272 0.04 5,658 CJ 786 0.10 3,033 CJ CheilJedang 641 0.08 3,174 C J Korea Express 361 0.05 22,696 Coway 1,292 0.17 12,400 Daelim Industrial 582 0.08 85,356 Daewoo Engineering & Construction 267 0.03 19,979 Daewoo International 222 0.03 80,307 Daewoo Securities 374 0.05 39,574 Daewoo Shipbuilding & Marine Engineering 98 0.01 66,657 DGB Financial 321 0.04 19,826 Dongbu Insurance 781 0.10 11,084 Dongsuh 191 0.02 3,600 Doosan 158 0.02 20,535 Doosan Heavy Industry 198 0.03 58,300 Doosan Infracore 139 0.02 8,917 E-Mart 916 0.12 21,839 GS 676 0.09 21,122 GS Engineering & Construction 309 0.04 126,762 Hana Financial 1,543 0.20 62,489 Hanjin Shipping 103 0.01 32,836 Hankook Tire 1,022 0.13 2,546 Hanmi Pharm 969 0.13 4,494 Hanmi Science 386 0.05


71,155 Hanon Systems 412 0.05 4,134 Hanssem 614 0.08 15,203 Hanwah Techwin 347 0.05 19,379 Hanwha 383 0.05 32,735 Hanwha Chemical 458 0.06 93,972 Hanwha Life Insurance 336 0.04 12,382 Hite Jinro 212 0.03 13,597 Hotel Shilla 502 0.07 9,928 Hyosung 724 0.09 6,252 Hyundai Department Store 493 0.06 25,434 Hyundai Development 584 0.08 29,706 Hyundai Engineering & Construction 658 0.09 7,727 Hyundai Glovis 868 0.11 19,313 Hyundai Heavy Industries 1,161 0.15 25,705 Hyundai Marine & Fire Insurance 460 0.06 32,821 Hyundai Merchant Marine 56 0.01 4,895 Hyundai Mipo Dockyard 182 0.02 27,949 Hyundai Mobis 4,062 0.53 61,345 Hyundai Motor 5,282 0.69 15,448 Hyundai Motor 2nd preference shares 924 0.12 8,318 Hyundai Motor preference shares 493 0.06 63,504 Hyundai Securities 239 0.03 32,300 Hyundai Steel 1,046 0.14 6,824 Hyundai Wai 436 0.06 109,973 Industrial Bank of Korea 748 0.10 14,415 Kakao 799 0.10 46,484 Kangwon Land 1,119 0.15 163,580 KB Financial 2,836 0.37 2,332 KCC 581 0.08 6,079 KEPCO Engineering & Construction 96 0.01 9,548 KEPCO Plant Service & Engineering 397 0.05 109,457 Kia Motors 2,945 0.38 21,829 Korea Aerospace Industries 900 0.12 108,353 Korea Electric Power 3,713 0.48 12,427 Korea Gas 279 0.04 16,115 Korea Investment 391 0.05 4,286 Korea Zinc 1,117 0.15 14,776 Korean Air Lines 222 0.03 33,958 KT 573 0.07 46,916 KT&G 2,917 0.38 7,749 Kumho Petro Chemical 277 0.04 37,830 LG 1,585 0.21




18,490 LG Chemical 3,233 0.42 3,313 LG Chemical preference shares 389 0.05 97,072 LG Display 1,388 0.18 45,728 LG Electronics 1,730 0.23 7,728 LG Electronics preference shares 158 0.02 2,476 LG Hausys 176 0.02 3,815 LG Household & Health Care 1,928 0.25 823 LG Household & Health Care preference shares 221 0.03 86,286 LG UPlus 534 0.07 6,114 Lotte Chemical 1,140 0.15 286 Lotte Chilsung Beverage 343 0.04 229 Lotte Confectionery 321 0.04 4,605 Lotte Shopping 669 0.09 8,034 LS Cable 196 0.03 2,973 Mando 259 0.03 28,047 Mirae Asset Securities 323 0.04 11,394 NAVER 3,804 0.50 6,686 NCsoft 935 0.12 58,727 NH Investment & Securities 335 0.04 5,754 NHN Entertainment 183 0.02 1,426 Nong Shim 337 0.04 7,031 OCI 375 0.05 1,672 Orion 895 0.12 21,768 Paradise 186 0.02 28,777 Posco 3,334 0.43 7,769 S1 416 0.05 30,157 Samsung C & T 2,720 0.35 12,911 Samsung Card 269 0.03 22,920 Samsung Electro Mechanics 724 0.09 44,878 Samsung Electronics 30,859 4.01 8,321 Samsung Electronics preference shares 4,770 0.62 48,096 Samsung Engineering 267 0.03 7,502 Samsung Fine Chemicals 162 0.02 14,565 Samsung Fire & Marine 2,563 0.33 63,310 Samsung Heavy Industries 386 0.05 33,211 Samsung Life 2,171 0.28 24,028 Samsung SDI 1,400 0.18 12,411 Samsung SDS 1,344 0.17 23,544 Samsung Securities 536 0.07 192,674 Shinhan Financial 4,268 0.56 3,055 Shinsegae 379 0.05 14,886 SK 2,155 0.28


224,265 SK Hynix 3,921 0.51 26,356 SK Innovation 2,231 0.29 64,378 SK Networks 224 0.03 9,706 SK Telecom 1,317 0.17 9,417 SKC 171 0.02 17,546 S-Oil 809 0.11 122,511 Woori Bank 622 0.08 3,262 Yuhan 491 0.06

150,801 19.59

taiwan – 16.70%; 2015 16.01% 1,121,036 Acer 289 0.04 2,633,036 Advanced Semiconductor 2,168 0.28 139,286 Advantech 696 0.09 1,056,198 Asia Cement 633 0.08 298,805 ASUSTeK Computer 1,772 0.23 3,877,745 AU Optronics 758 0.10 908,924 Capital Securities 171 0.02 308,222 Catcher Technology 1,737 0.23 3,358,587 Cathay Financial 2,714 0.35 404,000 Cathay Real Estate 119 0.02 2,154,428 Chang Hwa Commercial Bank 760 0.10 729,256 Cheng Shin Rubber 924 0.12 155,278 Cheng Uei Precision Industry 146 0.02 264,528 Chicony Electronics 416 0.05 1,108,448 China Airlines 277 0.04 6,081,210 China Development Financial 1,054 0.14 327,024 China Motor 152 0.02 5,231,956 China Steel 2,336 0.30 1,609,149 Chunghwa Telecom 3,653 0.48 1,764,444 Compal Electronics 745 0.10 7,127,077 CTBC Financial 2,500 0.33 890,891 Delta Electronics 2,593 0.34 3,201,445 E.Sun Financial 1,193 0.16 87,977 Eclat Textile 803 0.10 387,000 Epistar 223 0.03 333,730 Eternal Chemical 236 0.03 878,009 Eva Airways 339 0.04 846,035 Evergreen Marine 221 0.03 785,397 Far East International Bank 161 0.02 1,681,379 Far Eastern New Century 920 0.12 670,710 Far EasTone Telecommunications 1,011 0.13 197,773 Feng Hsin Iron & Steel 167 0.02




115,000 Feng Tay Enterprises 450 0.06 3,846,872 First Financial 1,291 0.17 1,854,284 Formosa Chemical & Fibre 2,993 0.39 802,953 Formosa Petrochemical 1,472 0.19 2,074,674 Formosa Plastic 3,556 0.46 454,590 Formosa Taffeta 299 0.04 442,859 Foxconn Technology 629 0.08 3,075,313 Fubon Financial 2,635 0.34 125,095 Giant Manufacturing 576 0.07 25,000 Hermes Microvision 449 0.06 5,890,366 Hon Hai Precision 9,968 1.30 177,000 Hotai Motor 1,319 0.17 315,780 HTC 551 0.07 3,112,635 Hua Nan Financial 1,045 0.14 4,063,260 Innolux Display 852 0.11 992,000 Inotera Memories 613 0.08 1,343,282 Inventec 693 0.09 41,566 Largan Precision 2,289 0.30 870,959 Lite-On Technology 726 0.09 1,377,104 Macronix International 113 0.01 618,246 MediaTek 3,156 0.41 4,515,876 Mega Financial 2,143 0.28 2,415,441 Nan Ya Plastic 3,332 0.43 103,384 Nan Ya Printed Circuit Boards 77 0.01 165,811 Nanya Technology 148 0.02 232,238 Novatek Microelectronics 694 0.09 299,509 Oriental Union Chemical 141 0.02 798,952 Pegatron 1,369 0.18 1,180,451 Pou Chen 1,056 0.14 236,895 President Chain Store 1,160 0.15 257,754 President Securities 71 0.01 1,108,421 Quanta Computer 1,341 0.17 193,506 Realtek Semiconductor 353 0.05 3,294,624 Shin Kong Financial 449 0.06 936,709 Siliconware Precision 1,042 0.14 4,112,476 SinoPac Financial 814 0.11 523,700 Synnex Technology International 383 0.05 3,691,738 Taishin Financial 878 0.11 1,741,484 Taiwan Business Bank 317 0.04 1,435,484 Taiwan Cement 934 0.12 3,353,637 Taiwan Cooperative Financial 1,027 0.13 314,000 Taiwan Fertilizer 305 0.04


499,153 Taiwan Glass 139 0.02 719,453 Taiwan Mobile 1,594 0.21 120,937 Taiwan Secom 243 0.03 10,139,015 Taiwan Semiconductor Manufacturing 32,707 4.25 842,000 Teco Electric and Machinery 497 0.06 292,861 Ton Yi Industrial 98 0.01 122,318 Transcend Information 270 0.04 187,740 U-Ming Marine Transport 109 0.01 529,597 Unimicron Technology 194 0.03 2,084,186 Uni-President Enterprises 2,581 0.34 4,993,284 United Micro Electronics 1,443 0.19 385,196 Vanguard International Semiconductor 427 0.06 1,362,641 Walsin Lihwa 243 0.03 396,468 Wan Hai Lines 158 0.02 1,107,571 Wistron 475 0.06 179,237 Ya Hsin Industrial* – 0.00 603,389 Yang Ming Marine Transport 115 0.01 4,456,374 Yuanta Financial 1,036 0.13 565,237 Yuen Foong Yu Paper Manufacturing 124 0.02 367,005 Yulon Motor 235 0.03 9,000 Yulon Nissan Motor 45 0.01

128,329 16.70

thailand – 3.14%; 2015 3.34% 183,000 Advanced Info Service (Alien Market) 632 0.08 330,200 Advanced Info Service (non-voting Depository Receipts) 1,141 0.15 67,500 Airports of Thailand 546 0.07 111,500 Airports of Thailand (non-voting Depository Receipts) 901 0.12 195,700 Bangkok Bank 658 0.09 345,000 Bangkok Dusit Medical Services 150 0.02 1,221,400 Bangkok Dusit Medical Services (non-voting Depository

Receipts) 532 0.07 187,380 Bangkok Life Assurance 157 0.02 127,900 Banpu 47 0.01 356,800 Banpu (non-voting Depository Receipts) 132 0.02 142,000 BEC World Public (Alien Market) 91 0.01 268,500 BEC World Public (non-voting Depository Receipts) 171 0.02 67,400 Berli Jucker 50 0.01 93,400 Berli Jucker Public 69 0.01 22,600 Big C Supercenter 114 0.01 117,280 Big C Supercenter (non-voting Depository Receipts) 592 0.08 2,653,300 BTS (non-voting Depository Receipts) 443 0.06 152,900 Bumrungrad Hospital 666 0.09




158,800 Central Pattana 150 0.02 376,500 Central Pattana (non-voting Depository Receipts) 355 0.05 569,900 Charoen Pokphand Foods 219 0.03 795,800 Charoen Pokphand Foods (non-voting Depository

Receipts) 306 0.04 813,300 CP ALL (Alien Market) 713 0.09 1,096,200 CP ALL (non-voting Depository Receipts) 961 0.12 155,600 Delta Electronics 255 0.03 68,800 Delta Electronics (Alien Market) 113 0.01 60,800 Electricity Generating Public 203 0.03 29,300 Electricity Generating Public (non-voting Depository

Receipts) 98 0.01 86,800 Glow Energy 142 0.02 101,000 Glow Energy (non-voting Depository Receipts) 165 0.02 1,701,412 Home Product Center 246 0.03 281,500 Indorama (non-voting Depository Receipts) 123 0.02 364,300 Indorama Ventures 159 0.02 318,500 Intouch 395 0.05 351,100 Intouch (non-voting Depository Receipts) 413 0.05 2,588,700 IRPC 229 0.03 1,826,000 IRPC (non-voting Depository Receipts) 161 0.02 487,700 Kasikornbank 1,714 0.22 493,700 Krung Thai Bank 177 0.02 1,039,400 Krung Thai Bank (non-voting Depository Receipts) 373 0.05 1,052,480 Land and Houses 180 0.02 539,300 Land and Houses (non-voting Depository Receipts) 91 0.01 683,920 Minor International 495 0.06 208,200 PTT 1,097 0.14 148,200 PTT (Alien Market) 781 0.10 256,777 PTT Exploration & Production (Alien Market) 352 0.05 333,900 PTT Exploration & Production (non-voting Depository

Receipts) 458 0.06 326,800 PTT Global Chemical (Alien Market) 356 0.05 355,300 PTT Global Chemical (non-voting Depository Receipts) 387 0.05 81,100 Ratchaburi Electricity Generating 84 0.01 60,300 Ratchaburi Electricity Generating (non-voting Depository

Receipts) 62 0.01 127,000 Siam Cement 1,137 0.15 16,700 Siam City Cement 100 0.01 7,400 Siam City Cement (non-voting Depository Receipts) 44 0.01 257,900 Siam Commercial Bank 721 0.09


407,900 Siam Commercial Bank (non-voting Depositiory Receipts) 1,140 0.15

222,100 Thai Airways International 54 0.01 55,600 Thai Airways International (non-voting Depository

Receipts) 13 0.00 145,000 Thai Oil (Alien Market) 187 0.02 179,800 Thai Oil (non-voting Depository Receipts) 231 0.03 320,080 Thai Union 128 0.02 574,700 Thai Union Frozen Products (non-voting Depository

Receipts) 231 0.03 3,270,900 TMB Bank 168 0.02 6,357,200 TMB Bank (non-voting Depository Receipts) 327 0.04 137,900 Total Access Communication (Alien Market) 88 0.01 173,400 Total Access Communication GDR (non-voting

Depository Receipts) 112 0.01 3,357,102 True 480 0.06

24,266 3.14 eURope – 0.08%; 2015 0.14%

eQUItIeS – 0.08%; 2015 0.14%

Italy – 0.06%; 2015 0.10% 235,700 Prada 488 0.06

Russia – 0.02%; 2015 0.04% 668,000 United Company 153 0.02

DeRIVAtIVeS – (0.01)%; 2015 0.01%

Futures – (0.01)%; 2015 0.01% 26 Hang Seng Index March 2016 2,318 (31) 0.00 41 Kospi 200 Index March 2016 2,822 26 0.00 70 MSCI Singapore Index ETS March 2016^ 1,084 – 0.00 105 MSCI Taiwan Index March 2016 2,328 14 0.00 70 SPI 200 March 2016 4,389 (85) (0.01)

12,941 (76) (0.01)



Unless otherwise stated, all securities are either listed on a recognised exchange or traded on an eligible securities market.Note: comparative figures show percentages for each category of holding at 28 February 2015.* Suspended investments fair valued at zero.^Investments which are less than £500 are rounded to zero.Underlying exposure has been calculated according to the guidelines issued by the European Securities and Markets Authority (“ESMA”) and represents the market value of an equivalent position in the assets underlying each financial derivative instrument.



pacific ex Japan equity tracker Statement of total Return for the year ended 29 February 2016

Notes £000’s


£000’s £000’s


£000’s

Income


Revenue 4 28,926 23,556

Expenses 5 (1,614) (1,509)



Taxation 7 (1,847) (1,345)



Distributions 8 (24,320) (19,919)


pacific ex Japan equity tracker Statement of Change in Net Assets Attributable to Unitholders for the year ended 29 February 2016

£000’s


£000’s £000’s


£000’s




51,280 55,670




pacific ex Japan equity tracker Balance Sheet at 29 February 2016

Notes

29.2.2016£000’s

28.2.2015£000’s

Assets:

Fixed assets


Current assets

– Debtors 9 5,147 6,414


Total assets 776,190 800,901

Liabilities:

Investment liabilities (116) (16)

Creditors

– Bank overdraft – (6)

– Amounts due to futures clearing houses and brokers (12) –


– Other creditors 11 (7,231) (2,252)





pacific ex Japan equity tracker Notes to Financial Statements for the year ended 29 February 2016





£000’s


£000’s


(Losses)/gains on non derivative securities (104,476) 53,713


Currency (losses)/gains (560) 200



4. Revenue


£000’s


£000’s


Interest received on margin deposits 1 1


Overseas REIT dividends 1,361 1,104


Stock dividends 1,150 770


5. Expenses


£000’s


£000’s




1,350 1,255

Other expenses:

– Audit fee 7 7




264 254




£000’s


£000’s




£000’s


£000’s






£000’s


£000’s



Effects of:

Excess expenses for which no tax relief taken (65) 22





At 29 February 2016, the Fund had surplus management expenses of £000 3,014 (28 February 2015: £000 3,339). It is unlikely that the Fund will generate sufficient taxable profits in the future to utilise these expenses and, therefore, a deferred tax asset of £000 603 (28 February 2015: £000 668) has not been recognised.

8. Distributions


£000’s


£000’s



24,989 21,014






Less: Non distributable stock dividends (1,150) (770)



pacific ex Japan equity tracker Notes to Financial Statements continued

9. Debtors

29.2.2016 £000’s

28.2.2015£000’s



Currency sales awaiting settlement 518 1,445




29.2.2016 £000’s

28.2.2015£000’s

Amounts held at futures clearing houses and brokers 1,039 684



11. Other Creditors

29.2.2016 £000’s

28.2.2015 £000’s


Accrued FCA fee 1 1






Currency purchases awaiting settlement 518 1,445















29.2.2016£000’s

28.2.2015£000’s


The Fund’s securities lending borrowing counterparties are Bank of America Merrill Lynch, Citigroup, Credit Suisse International, Deutsche Bank AG, Goldman Sachs, HSBC, JP Morgan Chase Securities Plc, Macquarie Bank Ltd, Morgan Stanley & Co., Nomura, Société Générale, The Bank of Nova Scotia and UBS.
















£000’s %Taxes

£000’s %







£000’s %Taxes

£000’s %












£000’s %Taxes

£000’s %








£000’s %Taxes

£000’s %



Total sales 135,967 51 162













L AccumulationUnits

X Income Units




Balance at the beginning of the year 1,376,909 285,539,611 2,674,639 78,488,986 15,943,098 4,446,227

Issued during the year 80,762 63,251,561 18,918,169 – 8,146,473 5,463,173

Cancelled during the year (375,535) (50,385,372) (11,805,191) – (3,435,119) (2,178,066)

Converted during the year (302,653) (20,412,112) (9,787,518) 41,999,370 (3,491,863) 13,517,180

Balance at the end of the year 779,483 277,993,688 99 120,488,356 17,162,589 21,248,514




About the Fund

The BlackRock UK Equity Tracker Fund (the “Fund”) is a sub-fund of BlackRock Collective Investment Funds, a UCITS scheme established under the COLL Sourcebook. The Fund was established and authorised by the Financial Conduct Authority on 21 June 2005. The Fund was previously known as Merrill Lynch UK Equity Tracker Fund. It adopted its present name with effect from 28 April 2008.


The aim of the Fund is to seek to achieve capital growth for investors by tracking closely the performance of the FTSE All-Share Index by investing in companies in the Index. Investment will be made directly into constituent companies and via other transferable securities giving exposure to such companies. The Fund may also invest in permitted money-market instruments, permitted deposits and units in collective investment schemes. Derivatives and forward transactions may be used for the purposes of efficient portfolio management.




Unit Class



X Income 1 2 3 4 5 6 7










BlackRock UK equity tracker Fund



Performance Table






BlackRock UK Equity Tracker Fund -7.8% +9.9% +27.0%

FTSE All-Share Index* -7.6% +10.5% +28.0%



UK equity tracker Fund






to 29.2.2016




-7.77%* -7.56% -0.21%











Up to 0.20%* 1.00%*



UK equity tracker Fund continued UK equity tracker Investment Report

Summary of Performance over the PeriodDuring the period from 1 March 2015 to 29 February 2016, the Fund returned -7.8%,* compared with its benchmark, the FTSE All-Share Index, which returned -7.6%. Before costs, the performance of the Fund relative to the benchmark index has been in line with expectations. Over the six-month period to 29 February 2016, the Fund returned -0.5%,* outperforming its benchmark, which returned -1.6%.



The Fund is structured to track the FTSE All-Share Index closely, so its portfolio remains positioned so that its risk characteristics are similar to those of the Index.

March 2016



Comparative Table





to 28.2.2014




to 28.2.2014










performance


other information












UK equity tracker performance Record

Comparative Table





to 28.2.2014




to 28.2.2014











performance


other information













Comparative Table





to 28.2.2014



to 28.2.2015








Retained distributions on accumulation units 6.04 5.46 5.55 3.49 1.13


performance


other information



Operating charges2§ 0.06% 0.16% 0.16% 0.06% 0.11%









§ Please note that the annual management charges were reduced on 11 August 2015 from 0.15% to 0.055% in respect to D Accumulation units and from 0.10% to 0.055% in respect to H Accumulation units.


UK equity tracker performance Record continued



L AccumulationUnits

X IncomeUnits

X AccumulationUnits

D AccumulationUnits

H AccumulationUnits



Equalisation† – 0.7169 – 0.7538 – 0.7303 – 0.8309 – 0.9728 – 0.5006





L AccumulationUnits

X IncomeUnits

X AccumulationUnits

D AccumulationUnits




Equalisation† – 1.9172 – 2.4566 – 2.4564 – 1.9717 – 2.1783 – 1.3313


Distribution paid 31.10.2014 3.2314 3.2314 3.5513 3.5513 2.7311 2.7311 2.8768 2.8768 3.5261 3.5261 N/A N/A



UK equity tracker Distribution tables for the year ended 29 February 2016




eQUItIeS – 96.19%; 2015 99.08%

UNIteD KINGDoM – 96.19%; 2015 99.08%

Aerospace & Defence – 1.98%; 2015 2.18% 86,012 Avon Rubber 648 0.01 12,513,020 BAE Systems 63,816 0.80 1,255,996 Chemring 1,589 0.02 4,726,933 Cobham 12,148 0.15 3,130,117 Meggitt 12,956 0.16 2,595,274 QinetiQ 6,029 0.08 7,278,898 Rolls-Royce 49,205 0.62 1,642,721 Senior 3,354 0.04 267,352 Ultra Electronics 4,705 0.06 157,058 Wizz Air 2,871 0.04

157,321 1.98

Automobiles & parts – 0.23%; 2015 0.28% 6,687,795 GKN 18,425 0.23

Banks – 9.11%; 2015 10.19% 535,417 Aldermore 1,043 0.01 110,406 Bank of Georgia 2,196 0.03 66,288,185 Barclays 112,922 1.41 76,778,142 HSBC 352,450 4.41 253,213,831 Lloyds Banking Group 182,162 2.28 613,859 Northern Rock* - 0.00 368,129 OneSavings Bank 996 0.01 12,835,754 Royal Bank of Scotland 28,996 0.36 356,263 Shawbrook 973 0.01 10,625,144 Standard Chartered 44,344 0.55 983,132 Virgin Money 3,259 0.04

729,341 9.11

Beverages – 4.52%; 2015 4.03% 284,754 AG Barr 1,432 0.02 1,010,731 Britvic 6,929 0.09 788,370 Coca-Cola 10,604 0.13 9,962,512 Diageo 185,153 2.32 3,740,138 SABMiller 155,814 1.95 764,413 Stock Spirits 1,129 0.01

361,061 4.52

UK equity tracker portfolio Statement at 29 February 2016

Chemicals – 0.59%; 2015 0.69% 231,428 Carclo 301 0.00 540,339 Croda International 16,113 0.20 1,762,695 Elementis 4,037 0.05 762,298 Johnson Matthey 19,187 0.24 920,435 Synthomer 2,782 0.03 327,065 Victrex 5,073 0.06 148,414 Zotefoams 407 0.01

47,900 0.59

Construction & Materials – 1.03%; 2015 0.92% 2,789,810 Balfour Beatty 6,986 0.09 153,899 Costain 527 0.01 3,221,093 CRH 58,688 0.73 312,889 Henry Boot 658 0.01 368,209 Ibstock 724 0.01 282,771 Keller 2,290 0.03 364,335 Kier 4,802 0.06 918,699 Low & Bonar 547 0.01 635,257 Marshalls 1,833 0.02 120,736 Morgan Sindall 930 0.01 164,192 Norcros 284 0.00 853,184 Polypipe 2,653 0.03 573,783 Tyman 1,502 0.02

82,424 1.03

electricity – 0.72%; 2015 0.80% 1,697,668 Drax 3,913 0.05 3,905,631 SSE 53,898 0.67

57,811 0.72

electronic & electrical equipment – 0.41%; 2015 0.47% 93,745 Dialight 390 0.00 678,251 e2v Technologies 1,463 0.02 1,486,335 Halma 13,065 0.16 1,115,966 Morgan Advanced Materials 2,349 0.03 196,462 Oxford Instruments 1,383 0.02 132,765 Renishaw 2,297 0.03 474,793 Spectris 8,451 0.11 506,791 TT Electronics 768 0.01 302,356 Xaar 1,407 0.02 45,662 XP Power 717 0.01

32,290 0.41




equity Investment Instruments – 3.50%; 2015 3.31% 621,725 Aberdeen Asian Income Fund 936 0.01 146,672 Aberdeen Asian Smaller Companies Investment Trust 1,066 0.01 398,270 Aberdeen New Dawn Investment Trust 562 0.01 103,990 Aberdeen New Thai Investment Trust 413 0.01 326,959 Aberdeen UK Tracker Investment Trust 929 0.01 405,738 Aberforth Geared Income Trust 706 0.01 379,072 Aberforth Smaller Companies Investment Trust 3,787 0.05 167,237 Advance Developing Markets Fund 629 0.01 484,977 Alcentra European Floating Rate Income Fund* 473 0.01 2,246,975 Alliance Trust 11,109 0.14 85,869 Allianz Technology Trust 483 0.01 141,131 Artemis Alpha Trust 306 0.00 246,778 Asian Total Return Investment 492 0.01 1,393,550 BACIT 1,784 0.02 301,389 Baillie Gifford Japan Investment Trust 1,281 0.02 219,260 Baillie Gifford Shin Nippon 987 0.01 412,975 Bankers Investment Trust 2,337 0.03 82,799 Baring Emerging Europe 371 0.00 11,107 BH Credit Catalysts 122 0.00 135,450 BH Global – GBP shares 1,673 0.02 142,561 BH Macro 2,867 0.04 1,523,970 Bilfinger Berger Global 1,985 0.02 255,062 Biotech Growth Trust 1,506 0.02 177,278 BlackRock British Smaller Companies Trust** 1,530 0.02 296,962 BlackRock Commodities Income Investment Trust** 166 0.00 369,731 BlackRock Frontier Market Investment Trust** 390 0.00 325,722 BlackRock Greater Europe Investment Trust** 796 0.01 940,942 BlackRock Income Strategies Trust** 1,113 0.01 131,529 BlackRock Latin American Investment Trust** 354 0.00 333,686 BlackRock North American Income Trust** 397 0.00 233,248 BlackRock Throgmorton Trust** 725 0.01 657,923 BlackRock World Mining Trust** 1,336 0.02 1,729,014 Bluecrest Allblue Fund 3,216 0.04 1,051,735 Bluefield Solar Income Fund 999 0.01 512,758 British Empire Securities & General Investment Trust 2,230 0.03 96,646 Brunner Investment Trust 480 0.01 129,341 Caledonia Investments 2,909 0.04 8,337 Capital Gearing 281 0.00 232,049 City Merchants High Yield Trust 397 0.00 1,142,314 City of London Investment Trust 4,105 0.05 953,642 CVC Credit Partners 915 0.01

UK equity tracker portfolio Statement continued

549,460 Dexion Absolute 940 0.01 1,281,204 Diverse Income Trust 1,166 0.01 485,595 Dunedin Income Growth Investment Trust 1,037 0.01 151,135 Dunedin Smaller Companies Investment Trust 284 0.00 673,333 Ecofin Water & Power Opportunities 731 0.01 685,754 Edinburgh Dragon Investment Trust 1,541 0.02 757,505 Edinburgh Investment Trust 5,106 0.06 157,408 Edinburgh Worldwide Investment Trust 615 0.01 131,315 Electra Investment Trust 4,333 0.05 123,695 Electric & General Investment Trust* – 0.00 158,160 EP Global Opportunities Trust 353 0.00 134,178 Euro Investment Trust 871 0.01 278,302 F&C Capital & Income Investment Trust 676 0.01 216,867 F&C Global Small Companies 1,989 0.02 2,137,025 F&C Investment Trust 9,123 0.11 226,243 F&C Private Equity Trust 507 0.01 192,894 Fidelity Asian Values Investment Trust 454 0.01 2,478,039 Fidelity China Special Situations Investment Trust 3,058 0.04 1,545,504 Fidelity European Values Investment Trust 2,479 0.03 197,859 Fidelity Japanese Values Investment Trust 157 0.00 980,280 Fidelity Special Values Investment Trust 1,823 0.02 414,657 Finsbury Growth & Income Trust 2,432 0.03 2,042,815 GCP Infrastructure Investments Fund 2,435 0.03 522,151 Genesis Emerging Markets Fund 2,335 0.03 262,021 Graphite Enterprise Investment Trust 1,357 0.02 1,846,052 Greencoat UK Wind 1,901 0.02 12,758 Hansa Trust 93 0.00 316,482 Harbourvest 2,837 0.04 458,303 Henderson Diversified Income 395 0.00 54,784 Henderson European Investment Trust 537 0.01 62,733 Henderson Eurotrust 524 0.01 450,904 Henderson Far East Income Fund 1,216 0.02 127,424 Henderson Global Investment Trust 463 0.01 289,371 Henderson High Income Investment Trust 483 0.01 278,654 Henderson Smaller Companies Investment Trust 1,645 0.02 140,117 Henderson Value Trust 291 0.00 301,052 Herald Investment Trust 1,957 0.02 117,706 HG Capital Investment Trust 1,158 0.01 5,042,039 HICL Infrastructure 7,840 0.10 927,251 HomeServe 3,739 0.05 141,091 ICG-Longbow Senior Secured UK Property Debt

Investments 143 0.00





918,800 Impax Environmental Markets 1,420 0.02 193,153 International Biotech Trust 811 0.01 3,765,245 International Public Partnership 5,354 0.07 307,227 Invesco Asia Investment Trust 519 0.01 186,621 Invesco Income & Growth Investment Trust 485 0.01 170,686 Invesco Perpetual UK Smaller Companies Investment Trust 608 0.01 647,265 John Laing Environmental Assets 607 0.01 3,079,883 John Laing Infrastructure Fund 3,600 0.05 1,079,771 JP Morgan American Investment Trust 2,987 0.04 251,281 JP Morgan Asian Investment Trust 493 0.01 243,534 JP Morgan Chinese Investment Trust 353 0.00 175,241 JP Morgan Claverhouse Investment Trust 957 0.01 502,279 JP Morgan Emerging Markets Investment Trust 2,622 0.03 597,579 JP Morgan Euro Smaller Companies Trust 1,564 0.02 517,861 JP Morgan European Investment Trust 957 0.01 575,770 JP Morgan Global Convertibles Income Fund 507 0.01 1,077,767 JP Morgan Global Emerging Markets Income Trust 900 0.01 369,220 JP Morgan Indian Investment Trust 1,660 0.02 648,805 JP Morgan Japanese Investment Trust 1,727 0.02 125,695 JP Morgan Japanese Smaller Companies Investment Trust 312 0.00 77,707 JP Morgan Mid Cap Investment Trust 733 0.01 411,010 JP Morgan Overseas Investment Trust 785 0.01 173,167 JP Morgan Russian Securities 506 0.01 59,136 JP Morgan Smaller Companies Investment Trust 478 0.01 572,483 Jupiter European Opportunities Trust 3,149 0.04 67,292 Jupiter US Smaller Companies 386 0.00 42,373 Keystone Investment Trust 712 0.01 422,483 Law Debenture 1,884 0.02 343,201 LMS Capital 237 0.00 75,520 London & St Lawrence Investment 243 0.00 107,934 Lowland Investment Company 1,268 0.02 90,713 Majedie Investment Trust 230 0.00 335,992 Martin Currie Global Portfolio Investment Trust 591 0.01 119,997 Martin Currie Pacific Investment Trust 307 0.00 383,206 Mercantile Investment Trust 6,009 0.08 388,011 Merchants Investment Trust 1,567 0.02 252,759 Middlefield Canadian Income Trust 182 0.00 820,352 Monks Investment Trust 3,247 0.04 29,697 Montanaro European Smaller Companies Fund 157 0.00 101,393 Montanaro UK Smaller Companies Investment Trust 459 0.01 238,304 Murray Income Trust 1,543 0.02 468,208 Murray International Trust 3,938 0.05



4,666,202 NB Global Floating Rate Income Fund 3,934 0.05 943,146 New City High Yield Fund 512 0.01 189,606 New India Investment Trust 538 0.01 1,115,426 NextEnergy Solar Fund 1,029 0.01 100,470 North American Income Trust 851 0.01 32,042 North Atlantic Smaller Companies Investment Trust 743 0.01 338,570 P2P Global Investments 2,917 0.04 371,915 Pacific Assets Investment Trust 675 0.01 202,601 Pacific Horizon Investment Trust 312 0.00 115,430 Pantheon International Participations Fund 1,371 0.02 903,559 Perpetual Income & Growth Investment Trust 3,489 0.04 5,829 Personal Assets Trust 2,098 0.03 449,680 Polar Capital 742 0.01 452,321 Polar Capital Global Financials Trust 405 0.01 489,366 Polar Capital Technology Trust 2,716 0.03 54,093 Ranger Direct Lending 501 0.01 2,940,837 Renewables Infrastructure 2,914 0.04 479,690 RIT Capital Partners 7,402 0.09 198,310 Riverstone Energy 1,606 0.02 516,895 Ruffer Investment Red preference shares 1,023 0.01 607,582 Schroder Asia Pacific Fund 1,561 0.02 220,817 Schroder Income Growth Fund 523 0.01 383,726 Schroder Japan Growth Fund 539 0.01 780,241 Schroder Oriental Income Fund 1,395 0.02 516,662 Schroder UK Growth Fund 774 0.01 115,658 Schroder UK Mid & Small Cap Fund 495 0.01 422,301 Scottish American Investment Trust 1,062 0.01 388,185 Scottish Investment Trust 2,267 0.03 5,135,940 Scottish Mortgage Investment Trust 12,809 0.16 96,393 Scottish Oriental Smaller Companies Trust 684 0.01 320,599 Securities Trust of Scotland 415 0.01 870,340 Sequoia Economic Infrastructure Income Fund 888 0.01 116,624 Standard Life Equity Income Trust 482 0.01 261,336 Standard Life European Private Equity Trust 502 0.01 207,522 Standard Life UK Smaller Companies Trust 730 0.01 1,218,825 Starwood European Real Estate Finance 1,274 0.02 252,158 Temple Bar Investment Trust 2,481 0.03 1,223,281 Templeton Emerging Markets Investment Trust 4,957 0.06 159,977 TR European Growth Investment Trust 957 0.01 1,172,258 TR Property Investment Trust 3,261 0.04 715,753 Troy Income & Growth Trust 508 0.01 413,441 Twenty Four Income rights 9/3/2016 21 0.00



1,240,325 TwentyFour Income Fund 1,315 0.02 380,392 TwentyFour Select Monthly Income Fund 317 0.00 898,682 Utilico Emerging Markets 1,555 0.02 123,467 Value & Income Investment Trust 282 0.00 801,384 VPC Specialty Lending Investments 731 0.01 802,118 Witan Investment Trust 5,851 0.07 212,563 Witan Pacific Investment Trust 468 0.01 3,081,193 Woodford Patient Capital Trust 2,744 0.03 172,673 Worldwide Healthcare Trust 2,939 0.04

277,786 3.50

Financial Services – 3.51%; 2015 2.81% 3,763,789 3i 16,278 0.20 2,174,878 3i Infrastructure 3,765 0.05 3,920,140 Aberdeen Asset Management 9,440 0.12 539,581 Arrow Global 1,188 0.01 1,653,463 Ashmore 3,781 0.05 979,712 Brewin Dolphin 2,494 0.03 168,795 Charles Taylor Consulting 397 0.00 71,088 City of London Investment 203 0.00 599,970 Close Brothers 7,920 0.10 914,083 Custodian 973 0.01 1,129,164 Foresight Solar Fund 1,042 0.01 58,518 Fundsmith Emerging Equities Trust 545 0.01 870,956 Hargreaves Lansdown 10,791 0.13 4,213,493 Henderson 9,876 0.12 2,148,617 ICAP 9,211 0.12 1,459,982 IG 11,162 0.14 1,084,965 IMI 9,228 0.12 1,354,935 Intermediate Capital 7,811 0.10 950,625 International Personal Finance 2,468 0.03 2,036,195 Investec 9,558 0.12 2,065,441 IP 3,774 0.05 1,477,016 John Laing 3,020 0.04 1,746,235 Jupiter Fund Management 6,955 0.09 128,976 Liontrust 324 0.00 1,237,550 London Stock Exchange 33,129 0.41 6,230,532 Man 9,632 0.12 1,238,607 Paragon 3,821 0.05 580,970 Provident Financial 18,614 0.23 176,432 Rathbone Brothers 3,982 0.05 269,536 Real Estate Credit Investments 411 0.01 269,355 RM 364 0.00



3,995,377 RSA Insurance 17,332 0.22 10,160 S&U 231 0.00 447,691 Schroders 11,600 0.15 883,844 SQN Asset Finance Income 959 0.01 7,699,495 Standard Life 25,478 0.32 720,425 SVG Capital 3,474 0.04 3,557,450 Tritax Big Box 4,642 0.06 858,511 Tullett Prebon 2,945 0.04 4,160,084 Worldpay 12,389 0.15

281,207 3.51

Fixed Line telecommunications – 2.24%; 2015 1.91% 33,111,637 BT 160,807 2.01 11,263,188 Cable & Wireless 8,504 0.11 2,897,880 KCOM 3,180 0.04 2,135,863 Talktalk Telecom 4,772 0.06 234,059 Telecom Plus 1,943 0.02

179,206 2.24

Food & Drug Retailers – 1.42%; 2015 1.56% 6,607,972 Booker 10,837 0.14 416,755 Greggs 4,293 0.05 5,529,608 J Sainsbury 13,901 0.18 259,258 McColl’s Retail 363 0.00 1,659,069 Ocado 4,229 0.05 1,917,801 SSP 5,433 0.07 32,117,644 Tesco 57,780 0.72 8,614,398 Wm Morrison Supermarkets 16,893 0.21

113,729 1.42

Food producers – 2.76%; 2015 2.38% 65,560 Anglo-Eastern Plantations 319 0.00 1,384,412 Associated British Foods 46,710 0.59 226,116 Carr’s Milling 360 0.00 167,985 Cranswick 3,323 0.04 587,472 Dairy Crest 3,425 0.04 523,309 Devro 1,582 0.02 1,682,233 Greencore 6,384 0.08 149,030 Hilton Food 767 0.01 2,972,285 Premier Foods 899 0.01 1,845,601 Tate & Lyle 10,631 0.14 4,773,831 Unilever 146,413 1.83

220,813 2.76



Forestry & paper – 0.23%; 2015 0.23% 1,435,455 Mondi 18,403 0.23

Gas, Water & Multiutilities – 3.04%; 2015 2.76% 19,991,036 Centrica 41,461 0.52 14,925,296 National Grid 143,522 1.80 1,632,824 Pennon 13,169 0.16 929,734 Severn Trent 19,738 0.25 2,686,752 United Utilities 24,664 0.31

242,554 3.04

General Industrials – 0.75%; 2015 0.69% 78,335 British Polythene 537 0.01 3,762,490 DS Smith 14,403 0.18 398,198 Exova 504 0.01 2,770,604 Rexam 16,804 0.21 1,249,345 RPC 9,139 0.11 1,540,268 Smiths 15,418 0.19 1,028,645 Vesuvius 3,121 0.04 50,098 Volution 83 0.00

60,009 0.75

General Retailers – 2.67%; 2015 2.32% 2,591,331 AA 7,393 0.09 2,875,060 B&M European Value Retail 8,292 0.10 744,824 Card Factory 2,504 0.03 161,004 Carpetright 547 0.01 1,692,854 Darty 1,951 0.02 4,753,378 Debenhams 3,765 0.05 336,446 DFS Furniture 1,077 0.01 185,305 Dignity 4,573 0.06 3,895,879 Dixons Carphone 16,854 0.21 355,987 Dunelm 3,489 0.04 269,793 Findel 507 0.01 325,904 Game Digital 420 0.01 837,527 Halfords 3,353 0.04 3,315,464 Home Retail 5,835 0.07 1,775,182 Inchcape 12,977 0.16 208,914 JD Sports Fashion 2,369 0.03 1,845,199 Just Eat 7,338 0.09 9,169,700 Kingfisher 30,737 0.38 793,575 Laura Ashley 186 0.00 917,279 Lookers 1,419 0.02



6,474,183 Marks & Spencer 27,353 0.34 313,074 Moss Bros 310 0.00 467,503 Mothercare 927 0.01 573,307 N Brown 1,902 0.02 585,269 Next 39,652 0.50 8,211,705 Pendragon 3,040 0.04 1,521,037 Pets at Home 4,078 0.05 902,350 Poundland 1,626 0.02 2,753,346 Saga 5,204 0.07 1,022,867 Sports Direct International 4,054 0.05 457,435 Topps Tiles 667 0.01 460,872 WH Smith 8,342 0.10 1,007,420 Zoopla Property 2,331 0.03

215,072 2.67

Healthcare equipment & Services – 0.90%; 2015 0.75% 1,581,549 Al Noor Hospitals 13,238 0.17 325,730 Cambian 270 0.00 196,629 Consort 1,944 0.02 2,762,581 Indivior 4,649 0.06 255,002 NMC Health 2,262 0.03 3,570,807 Smith & Nephew 41,778 0.52 981,308 Spire Healthcare 3,366 0.04 882,394 UDG Healthcare 4,999 0.06

72,506 0.90

Household Goods & Home Construction – 3.60%; 2015 2.91% 3,882,374 Barratt Developments 22,712 0.28 488,246 Bellway 12,392 0.16 500,749 Berkeley 16,575 0.21 531,525 Bovis Homes 5,057 0.06 857,792 Crest Nicholson 4,795 0.06 315,099 Galliford Try 4,585 0.06 317,313 Headlam 1,549 0.02 579,310 McBride 1,028 0.01 78,151 MJ Gleeson 453 0.01 1,194,428 Persimmon 26,397 0.33 2,515,178 Reckitt Benckiser 164,845 2.06 842,787 Redrow 3,670 0.05 12,603,556 Taylor Wimpey 23,493 0.29

287,551 3.60




Industrial engineering – 0.37%; 2015 0.67% 738,140 Bodycote 4,244 0.05 741,354 Fenner 954 0.01 8,551 Goodwin 122 0.00 443,551 Hill & Smith 3,482 0.04 573,080 Melrose Industries 1,880 0.02 152,716 Porvair 435 0.01 617,503 Renold 216 0.00 936,497 Severfield 492 0.01 289,140 Spirax-Sarco Engineering 8,986 0.11 400,800 Trifast 467 0.01 118,539 Vitec 622 0.01 865,800 Weir 8,208 0.10

30,108 0.37

Industrial Metals & Mining – 0.02%; 2015 0.05% 2,019,004 Evraz 1,384 0.02 478,584 Ferrexpo 117 0.00

1,501 0.02

Industrial transportation – 0.36%; 2015 0.27% 4,219,320 BBA Aviation 8,156 0.10 56,412 Braemar Shipping Services 237 0.00 97,325 Clarkson 1,867 0.02 129,948 James Fisher & Sons 1,254 0.02 3,559,901 Royal Mail 16,158 0.20 971,589 Stobart 1,010 0.01 64,260 UK Mail 184 0.00 343,910 Wincanton 555 0.01

29,421 0.36

Leisure Goods – 0.10%; 2015 0.02% 99,721 Games Workshop 504 0.01 741,110 Photo-Me 1,277 0.02 3,459,271 Rotork 5,531 0.07

7,312 0.10

Life Insurance – 3.86%; 2015 4.97% 16,034,514 Aviva 69,333 0.87 507,111 Chesnara 1,640 0.02 131,222 Hansard Global 140 0.00 1,031,342 Just Retirement 1,352 0.02 23,521,746 Legal & General 52,830 0.66 19,361,700 Old Mutual 32,470 0.41


591,239 Partnership Assurance 621 0.01 933,702 Phoenix 7,922 0.10 10,097,829 Prudential 125,011 1.56 2,028,790 St. James’s Place Capital 17,153 0.21

308,472 3.86

Media – 3.86%; 2015 3.53% 81,464 4imprint 937 0.01 3,156,313 Auto Trader 11,473 0.14 226,147 Bloomsbury Publishing 351 0.00 391,433 Centaur Media 225 0.00 1,737,523 Entertainment One 2,665 0.03 118,690 Euromoney Institutional Investor 1,059 0.01 733,758 Huntsworth 271 0.00 2,562,328 Informa 17,501 0.22 922,275 ITE 1,206 0.02 14,867,007 ITV 37,063 0.47 279,447 Johnston Press 122 0.00 1,944,117 Moneysupermarket.com 6,538 0.08 3,169,556 Pearson 27,274 0.34 4,446,854 RELX 55,097 0.69 365,557 Rightmove 13,855 0.17 4,151,045 Sky 43,212 0.54 125,737 STV 541 0.01 926,155 Trinity Mirror 1,468 0.02 1,748,149 UBM 10,209 0.13 236,861 UTV Media 411 0.01 5,135,842 WPP 77,551 0.97

309,029 3.86

Mining – 3.75%; 2015 6.23% 605,609 Acacia Mining 1,492 0.02 5,111,269 Anglo American 24,291 0.30 1,407,746 Antofagasta 6,977 0.09 4,017,880 Aquarius Platinum 522 0.01 8,359,937 BHP Billiton 60,852 0.76 4,564,339 Centamin 4,211 0.05 699,071 Fresnillo 7,124 0.09 344,494 Gem Diamonds 398 0.00 46,189,198 Glencore 62,032 0.78 791,495 Hochschild Mining 548 0.01 1,021,103 Kaz Minerals 1,647 0.02 1,325,719 Lonmin 1,240 0.02




1,845,002 Petra Diamonds 1,734 0.02 11,184,175 Petropavlovsk 766 0.01 1,043,143 Polymetal International 6,838 0.09 360,977 Randgold Resources 23,843 0.30 4,868,780 Rio Tinto 92,556 1.16 459,368 Vedanta Resources 1,240 0.02

298,311 3.75

Mobile telecommunications – 3.07%; 2015 2.89% 1,753,510 Inmarsat 17,149 0.21 105,054,584 Vodafone 228,599 2.86

245,748 3.07

Non-Life Insurance – 0.81%; 2015 1.13% 775,433 Admiral 13,399 0.17 2,042,351 Beazley 7,334 0.09 5,399,912 Direct Line 20,962 0.26 1,141,345 esure 2,788 0.03 1,098,656 Hiscox 11,063 0.14 447,399 Jardine Lloyd Thompson 3,581 0.04 764,011 Lancashire 4,515 0.06 242,968 Novae 1,896 0.02

65,538 0.81

oil & Gas producers – 9.84%; 2015 11.81% 72,106,803 BP 252,482 3.16 2,313,219 Cairn Energy 3,791 0.05 3,002,503 Enquest 413 0.01 448,677 Exillon Energy 315 0.00 170,764 Nostrum Oil & Gas 434 0.01 2,788,313 Ophir Energy 2,143 0.03 2,083,408 Premier Oil 828 0.01 15,840,577 Royal Dutch Shell class ‘A’ shares 261,457 3.27 15,550,235 Royal Dutch Shell class ‘B’ shares 256,734 3.21 891,205 SOCO International 1,473 0.02 3,577,972 Tullow Oil 5,979 0.07

786,049 9.84


oil equipment, Services & Distribution – 0.28%; 2015 0.28% 382,439 Cape 820 0.01 479,577 Gulf Marine Services 355 0.00 590,587 Hunting 2,027 0.03 1,475,091 John Wood 9,116 0.11 730,195 Lamprell 728 0.01 1,023,516 Petrofac 9,186 0.12

22,232 0.28

personal Goods – 0.38%; 2015 0.47% 1,742,813 Burberry 22,587 0.28 426,949 Jimmy Choo 564 0.01 1,075,683 PZ Cussons 2,790 0.04 140,163 SuperGroup 1,856 0.02 89,402 Ted Baker 2,645 0.03

30,442 0.38

pharmaceuticals and Biotechnology – 7.49%; 2015 7.78% 4,990,500 AstraZeneca 207,380 2.59 1,546,910 BTG 9,722 0.12 702,239 Circassia Pharmaceuticals 1,919 0.02 343,169 Dechra Pharmaceuticals 4,019 0.05 215,471 Genus 3,066 0.04 19,185,631 GlaxoSmithKline 268,599 3.36 532,203 Hikma Pharmaceuticals 10,059 0.13 10,019,282 Oxford Biomedica 656 0.01 2,328,230 Shire 89,660 1.12 389,123 Skyepharma 1,486 0.02 1,321,792 Vectura 2,139 0.03

598,705 7.49

Real estate Investment & Services – 0.66%; 2015 0.62% 2,907,272 Capital & Counties Properties 9,390 0.12 1,968,753 Capital & Regional 1,196 0.02 51,457 CLS 747 0.01 598,188 Countrywide 2,100 0.03 15,476 Daejan 857 0.01 389,086 Development Securities 795 0.01 1,542,665 Empiric Student Property 1,708 0.02 1,834,446 F&C Commercial Property Trust 2,377 0.03




937,041 F&C UK Real Estate Investment Trust 904 0.01 1,177,484 Foxtons 1,875 0.02 1,535,486 Grainger Trust 3,355 0.04 331,737 Helical Bar 1,265 0.02 471,497 Kennedy Wilson Europe Real Estate 5,182 0.06 270,147 LSL Property Services 702 0.01 265,562 Macau Property Opportunities Fund 309 0.00 1,448,285 MedicX Fund 1,242 0.02 5,758 Mountview Estates 642 0.01 2,079,555 Picton Property Income Fund 1,398 0.02 1,610,404 Raven Russia 535 0.01 3,242,537 Redefine International 1,366 0.02 476,848 Savills 3,176 0.04 2,028,642 Schroder Real Estate 1,136 0.01 604,338 St. Modwen Properties 1,979 0.02 1,155,545 Standard Life Investment Property Trust 971 0.01 2,352,198 UK Commercial Property Trust 1,838 0.02 897,652 Unite 5,507 0.07

52,552 0.66

Real estate Investment trusts – 1.91%; 2015 2.03% 6,543,262 Assura 3,337 0.04 549,318 Big Yellow 4,103 0.05 4,059,863 British Land 26,470 0.33 400,458 Derwent 12,082 0.15 1,364,816 Great Portland Estates 9,485 0.12 3,090,877 Hammerson 16,768 0.21 2,678,460 Hansteen 2,890 0.04 3,673,759 Intu Properties 10,918 0.14 3,115,223 Land Securities 31,090 0.39 2,470,511 LondonMetric Property 3,876 0.05 243,223 McKay Securities 564 0.01 148,069 Mucklow (A&J) 700 0.01 1,702,632 Primary Health Properties 1,809 0.02 767,436 Safestore 2,549 0.03 2,976,393 Segro 12,150 0.15 1,127,746 Shaftesbury 9,535 0.12 229,564 Strategic Equity Capital 432 0.01 70,287 Town Centre Securities 221 0.00 433,034 Workspace 3,139 0.04

152,118 1.91


Software & Computer Services – 0.68%; 2015 0.62% 435,388 Allied Minds 1,307 0.02 651,158 AO World 1,042 0.01 255,544 AVEVA 3,856 0.05 224,085 Computacenter 1,836 0.02 256,508 FDM 1,232 0.02 149,186 Fidessa 3,327 0.04 661,853 Micro Focus International 9,676 0.12 732,528 NCC 2,115 0.03 4,297,371 Sage 25,247 0.32 255,677 SDL 1,101 0.01 243,774 Servelec 751 0.01 998,580 Sophos 2,103 0.03

53,593 0.68

Support Services – 4.65%; 2015 4.84% 242,780 Acal 588 0.01 958,967 Aggreko 8,415 0.11 1,543,340 Amec Foster Wheeler 5,641 0.07 1,962,495 Ashtead 17,721 0.22 1,967,692 Babcock International 18,054 0.23 684,887 Berendsen 7,869 0.10 374,555 Brammer 713 0.01 1,291,754 Bunzl 24,905 0.31 2,602,798 Capita 26,054 0.33 1,733,834 Carillion 4,697 0.06 412,929 Communisis 173 0.00 745,459 Connect 1,100 0.01 358,232 DCC 20,151 0.25 431,178 De La Rue 1,827 0.02 417,580 Diploma 2,944 0.04 1,629,806 Electrocomponents 3,915 0.05 451,149 Equiniti 635 0.01 1,040,673 Essentra 8,601 0.11 3,877,620 Experian 45,446 0.57 6,197,795 G4S 12,780 0.16 848,906 Grafton 5,679 0.07 5,750,134 Hays 6,532 0.08 770,515 Hogg Robinson 485 0.01 2,502,531 Howden Joinery 12,280 0.15




541,123 Interserve 2,304 0.03 633,484 Intertek 18,371 0.23 154,790 John Menzies 705 0.01 524,185 Lavendon 725 0.01 363,208 Mears 1,454 0.02 1,269,343 Michael Page International 4,711 0.06 1,361,426 MITIE 3,792 0.05 518,797 Northgate 2,086 0.03 211,841 PayPoint 1,574 0.02 1,530,824 Premier Farnell 1,776 0.02 2,522,857 Regus 7,258 0.09 7,216,230 Rentokil Initial 12,015 0.15 165,416 Ricardo 1,423 0.02 209,644 Robert Walters 625 0.01 695,329 RPS 1,189 0.01 276,938 Sanne 942 0.01 4,594,622 Serco 4,330 0.05 1,321,795 Shanks 1,018 0.01 2,319,902 SIG 3,206 0.04 1,644,740 Speedy Hire 576 0.01 376,787 St. Ives 907 0.01 362,704 SThree 1,090 0.01 973,418 Travis Perkins 17,220 0.22 298,451 Tribal 116 0.00 52,332 Vp 345 0.00 1,027,384 Wolseley 37,931 0.47 386,594 WS Atkins 4,921 0.06 756,879 Xchanging 1,434 0.02

371,249 4.65

technology Hardware & equipment – 0.80%; 2015 0.96% 5,600,702 ARM 55,055 0.69 940,153 Imagination Technologies 1,624 0.02 1,068,582 Laird 3,610 0.05 846,711 Nanoco 337 0.00 541,673 Sepura 1,014 0.01 2,596,060 Spirent Communications 2,142 0.03

63,782 0.80


tobacco – 5.37%; 2015 4.60% 7,354,915 British American Tobacco 287,026 3.59 3,812,276 Imperial Brands 142,579 1.78

429,605 5.37

travel & Leisure – 4.72%; 2015 4.12% 528,646 888 Holdings 928 0.01 716,440 Carnival 25,412 0.32 781,143 Cineworld 4,124 0.05 6,528,875 Compass 81,480 1.02 552,264 Domino’s Pizza 5,755 0.07 966,411 easyJet 14,361 0.18 2,039,429 Enterprise Inns 1,767 0.02 4,501,122 FirstGroup 4,152 0.05 758,012 Flybe 523 0.01 97,380 Fuller, Smith & Turner class ‘A’ shares 1,042 0.01 164,835 Go-Ahead 4,319 0.05 1,278,279 Greene King 11,543 0.14 922,426 InterContinental Hotels 24,906 0.31 7,217,544 International Consolidated Airlines 39,408 0.49 341,037 JD Wetherspoon 2,461 0.03 4,218,110 Ladbrokes 5,682 0.07 2,337,763 Marston’s 3,708 0.05 2,771,469 Merlin Entertainments 12,580 0.16 462,137 Millennium & Copthorne Hotels 1,938 0.02 924,914 Mitchells & Butlers 2,598 0.03 1,685,427 National Express 5,589 0.07 342,639 Paddy Power Betfair 36,868 0.46 849,176 Playtech 7,163 0.09 838,542 Punch Taverns 813 0.01 668,477 Rank 1,671 0.02 828,746 Restaurant 4,467 0.06 305,845 Sportech 161 0.00 1,733,289 Stagecoach 4,695 0.06 6,230,423 Thomas Cook 6,311 0.08 1,852,897 TUI 19,789 0.25 717,713 Whitbread 27,754 0.35 3,542,281 William Hill 14,282 0.18

378,250 4.72




INVeStMeNt FUNDS – 0.39%; 2015 0.00%

exchange traded Funds – 0.39%; 2015 0.00% 1,942,215 iShares Exchange Traded Fund FTSE 250 UCITS 30,988 0.39

DeRIVAtIVeS – 0.05%; 2015 0.04%

Forward Currency Contracts – 0.00%; 2015 0.00% £9,078,910 UK sterling vs US dollar 9,385 (305) 0.00

Futures – 0.05%; 2015 0.04% 4,594 FTSE 100 Index March 2016 278,236 3,501 0.04 883 FTSE 250 Index March 2016 29,097 483 0.01

307,333 3,984 0.05

Portfolio of investments 7,724,093 96.63

CASH eQUIVALeNtS





Unless otherwise stated, all securities are either listed on a recognised exchange or traded on an eligible securities market.Note: comparative figures show percentages for each category of holding at 28 February 2015.* Suspended investments fair valued at zero.** Managed by a related party. # The counterparty for the forward currency contract is JP Morgan.Underlying exposure has been calculated according to the guidelines issued by the European Securities and Markets Authority (“ESMA”) and represents the market value of an equivalent position in the assets underlying each financial derivative instrument.

UK equity tracker portfolio Statement continued UK equity tracker Statement of total Return for the year ended 29 February 2016

Notes £000’s


£000’s £000’s


£000’s

Income


Revenue 4 311,840 262,838

Expenses 5 (11,751) (11,466)



Taxation 7 (1,230) (221)



Distributions 8 (282,811) (246,394)


UK equity tracker Statement of Change in Net Assets Attributable to Unitholders for the year ended 29 February 2016

£000’s


£000’s £000’s


£000’s


Amounts receivable on issue of units 898,862 1,930,242


166,122 988,697






UK equity tracker Balance Sheet at 29 February 2016

Notes

29.2.2016£000’s

28.2.2015£000’s

Assets:

Fixed assets


Current assets

– Debtors 9 54,640 34,951


– Cash equivalents 11 189,770 –

Total assets 8,048,402 8,485,598

Liabilities:


Creditors

– Amounts held at futures clearing houses and brokers (5,073) (519)


– Other creditors 12 (52,614) (5,790)




UK equity tracker Notes to Financial Statements for the year ended 29 February 2016





£000’s


£000’s








4. Revenue


£000’s


£000’s





Revenue from short-term money market funds 105 –

Securities lending revenue 1,929 1,351


UK dividends 260,212 242,611

UK REIT dividends 2,810 2,425



5. Expenses


£000’s


£000’s




11,223 10,677

Other expenses:

– Audit fee 7 7




528 789




£000’s


£000’s




£000’s


£000’s

Irrecoverable overseas tax 1,230 221

Total current tax charge [see note 7(b)] 1,230 221

UK equity tracker Notes to Financial Statements continued



£000’s


£000’s



Effects of:

Excess expenses for which no tax relief taken 1,325 1,520


Irrecoverable overseas tax 1,230 221


Non taxable stock dividends (3,268) (947)

Total current tax charge [see note 7(a)] 1,230 221


8. Distributions


£000’s


£000’s



285,522 261,244










9. Debtors

29.2.2016 £000’s

28.2.2015£000’s

Accrued Manager’s charge rebate 20 15



Income tax recoverable 3 –




29.2.2016 £000’s

28.2.2015£000’s

Amounts held at futures clearing houses and brokers 15,955 –




29.2.2016 £000’s

28.2.2015£000’s

Investments in short-term money market funds 189,770 –

Total cash equivalents 189,770 –

12. Other Creditors

29.2.2016 £000’s

28.2.2015 £000’s


Accrued FCA fee 1 1

Accrued Manager’s charge 1,555 2,874


















29.2.2016£000’s

28.2.2015£000’s

Revenue earned during the year 1,929 1,351 Value of securities on loan at the year end 460,024 331,536 Value of collateral held on behalf of the Fund at the year end 506,340 370,268

The Fund’s securities lending borrowing counterparties are Bank of America Merrill Lynch, Abbey National Plc, Barclays Bank Plc, Citigroup, Commerzbank AG, Credit Suisse International, Deutsche Bank AG, Goldman Sachs, HSBC, JP Morgan Chase Securities Plc, Macquarie Bank Ltd, Morgan Stanley & Co., Nomura, Société Générale, The Bank of Nova Scotia and UBS.
















£000’s %Taxes

£000’s %

Equity instruments 514,580 80 0.02 2,359 0.46


Total purchases 568,306 95 2,428





£000’s %Taxes

£000’s %

Equity instruments 329,574 20 0.01 1 –





Total transaction costs 168 2,429







£000’s %Taxes

£000’s %

Equity instruments 720,641 90 0.01 3,154 0.44


In-specie transfers 1,062,286 – – – –


Total purchases 1,808,882 97 3,229





£000’s %Taxes

£000’s %


Collective investment schemes 3,705 – – – –





Total transaction costs 145 3,229












X Income Units




Balance at the beginning of the year 5,836,942 3,265,286,690 99,470,080 1,552,279,142 89,868,502 280,879

Issued during the year 615,457 234,347,969 281,137,901 39,086,566 55,039,196 8,564,897

Cancelled during the year (991,944) (302,365,826) (150,180,961) – (4,466,545) (6,429,470)

Converted during the year (1,537,136) (385,643,841) (162,669,875) 632,146,130 (7,829,633) 33,202,472

Balance at the end of the year 3,923,319 2,811,624,992 67,757,145 2,223,511,838 132,611,520 35,618,778




About the FundThe BlackRock UK Gilts All Stocks Tracker Fund (the “Fund”) is a sub-fund of BlackRock Collective Investment Funds, a UCITS scheme established under the COLL Sourcebook. The Fund was established and authorised by the Financial Conduct Authority on 21 June 2005. The Fund was previously known as Merrill Lynch Fixed Income Tracker Fund and more recently as BlackRock Fixed Income Tracker Fund. It adopted its present name with effect from 24 May 2010.

Investment objective & policyThe aim of the Fund is to seek to achieve a total return for investors by tracking closely the performance of the FTSE Actuaries UK Conventional Gilts All Stocks Index by investing in fixed income securities contained in the Index. Investment will be made directly into constituent issues and via other transferable securities giving exposure to such issues. The Fund may also invest in other transferable securities, permitted money-market instruments, permitted deposits and units in collective investment schemes. Derivatives and forward transactions may be used for the purposes of efficient portfolio management.




Unit Class

A Income 1 2 3 4 5 6 7



X Income 1 2 3 4 5 6 7


D Income 1 2 3 4 5 6 7


H Income 1 2 3 4 5 6 7







BlackRock UK Gilts All Stocks tracker Fund


Performance Table






BlackRock UK Gilts All Stocks Tracker Fund +4.3% +14.4% +34.1%

FTSE Actuaries UK Conventional Gilts All Stocks Index* +4.8% +14.5% +34.0%

All Fund figures quoted are based on bid-to-bid dealing prices (the price at which units are sold) and are calculated net of fees. Performance returns are cumulative. All returns are in Sterling.* Figures from BlackRock. Please note that the Fund’s benchmark index, the FTSE Actuaries UK Conventional Gilts All Stocks Index was previously referred to as the FTSE Actuaries UK Gilts All Stocks Total Return Index. This is a clarificatory update and does not represent a change in the Fund’s benchmark index. # D Accumulation class was renamed as L Accumulation class during June 2012.


UK Gilts All Stocks tracker Fund








to 29.2.2016




+4.31%* +4.78% -0.47%

Before costs and after adjusting for a) the difference in valuation point of the Fund and the pricing point of the benchmark index b) the tax incurred by the Fund which is treated differently in the benchmark index, the performance of the Fund relative to the benchmark index has been in line with expectations.


UK Gilts All Stocks tracker Fund continued












Summary of Performance over the PeriodDuring the period from 1 March 2015 to 29 February 2016, the Fund returned 4.3%,* compared with its benchmark, the FTSE Actuaries UK Conventional Gilts All Stocks Index, which returned 4.8%. Before costs and after adjusting for a) the difference in valuation point of the Fund and the pricing point of the benchmark index and b) the tax incurred by the Fund which is treated differently in the benchmark index, the performance of the Fund relative to the benchmark index has been in line with expectations. Over the six-month period to 29 February 2016, the Fund returned 4.0%,* underperforming its benchmark, which returned 4.8%.


Global government bonds gained ground over the year, as yields on many developed-world government bonds fell. Bouts of risk aversion, coupled with signs of a deteriorating global economy, help to anchor yields. In the UK, the Bank of England kept interest rates on hold throughout the period, while the consensus among policymakers became more bearish. By the end of February 2016, the decision to keep rates low was unanimous. Overall, the 10-year gilt yield moved from 1.79%** to 1.33%** over the year, hitting fresh lows along the way.

The Fund is structured to track the FTSE Actuaries UK Conventional Gilts All Stocks Index closely, so its portfolio remains positioned so that its risk characteristics are similar to those of the Index.

March 2016


** Figures from BlackRock.

UK Gilts All Stocks tracker Investment Report

Comparative Table

A Income Units A Accumulation Units




to 28.2.2014




to 28.2.2014











performance


other information












UK Gilts All Stocks tracker performance Record


Comparative Table





to 28.2.2014




to 28.2.2014











performance


other information

Closing net asset value (£000’s) 2,282,598 2,430,740 1,433,761 – 20,754 17,643

Closing number of units 1,450,139,543 1,613,528,243 1,057,636,528 96 19,615,466 18,245,438










UK Gilts All Stocks tracker performance Record continued

Comparative Table





to 28.2.2014




to 28.2.2014











performance


other information


Closing number of units 824,847,255 729,785,545 442,161,892 9,759,037 7,822,678 915,275











Comparative Table





to 28.2.2014



to 28.2.2015




Return before operating charges 7.10 15.02 (0.78) 4.95 6.36


Return after operating charges 6.86 15.00 (1.00) 4.83 6.25





performance

Return after charges1 4.59% 11.14% (0.74)% 4.59% 6.25%

other information


Closing number of units 57,117,654 32,196,297 6,447,974 110,313,700 562











UK Gilts All Stocks tracker performance Record continued

Comparative Table




to 28.2.2015










performance


other information

Closing net asset value (£000’s) 55,592 1,488

Closing number of units 50,026,779 1,400,243

Operating charges2 0.11% 0.11%











A IncomeUnits

A AccumulationUnits

L AccumulationUnits

X IncomeUnits

X AccumulationUnits

D IncomeUnits

D AccumulationUnits

H IncomeUnits

H AccumulationUnits


Gross Revenue 1.1485 0.4579 1.2450 0.8230 1.4904 0.6214 1.1875 0.0000 1.2095 0.5833 1.4375 0.7399 1.5186 0.8340 1.0881 0.6269 1.1059 0.5935

Income tax 0.2297 0.0916 0.2490 0.1646 0.2981 0.1243 0.2375 0.0000 0.2419 0.1167 0.2875 0.1480 0.3037 0.1668 0.2176 0.1254 0.2212 0.1187


Equalisation† – 0.5525 – 0.3376 – 0.6952 – 0.9500 – 0.5010 – 0.5581 – 0.5477 – 0.3690 – 0.4099

Distribution payable 30.4.2016 0.9188 0.9188 0.9960 0.9960 1.1923 1.1923 0.9500 0.9500 0.9676 0.9676 1.1500 1.1500 1.2149 1.2149 0.8705 0.8705 0.8847 0.8847

Distribution paid 30.4.2015 0.9051 0.9051 0.9693 0.9693 1.1554 1.1554 0.9008 0.9008 0.9361 0.9361 1.1340 1.1340 1.1763 1.1763 0.9460 0.9460 0.9460 0.9460


A IncomeUnits

A AccumulationUnits

L AccumulationUnits

X IncomeUnits

X AccumulationUnits

D IncomeUnits

D AccumulationUnits

H IncomeUnits÷



Gross Revenue 1.1396 0.6584 1.2270 0.4643 1.4684 0.9966 1.1381 0.5484 1.1926 0.7628 1.4289 0.7972 1.4957 0.7717 1.0817 0.4922 1.0895 0.4942

Income tax 0.2279 0.1317 0.2454 0.0929 0.2937 0.1993 0.2276 0.1097 0.2385 0.1526 0.2858 0.1594 0.2991 0.1543 0.2163 0.0984 0.2179 0.0988


Equalisation† – 0.3850 – 0.6102 – 0.3774 – 0.4718 – 0.3438 – 0.5053 – 0.5792 – 0.4716 – 0.4762

Distribution paid 31.10.2015 0.9117 0.9117 0.9816 0.9816 1.1747 1.1747 0.9105 0.9105 0.9541 0.9541 1.1431 1.1431 1.1966 1.1966 0.8654 0.8654 0.8716 0.8716

Distribution paid 31.10.2014 0.8670 0.8670 0.9436 0.9436 1.1193 1.1193 0.8777 0.8777 0.9041 0.9041 1.0962 1.0962 1.1372 1.1372 N/A N/A N/A N/A



UK Gilts All Stocks tracker Distribution tables for the year ended 29 February 2016


BoNDS – 100.01%; 2015 99.35%

UK Sterling Denominated Fixed Rate Government Bonds – 100.01%; 2015 99.35% £87,077,857 Treasury 1% Notes 7/9/2017 87,957 2.49 £95,186,000 Treasury 1.25% Stock 22/7/2018 97,109 2.75 £60,002,000 Treasury 1.5% Bonds 22/1/2021 62,111 1.76 £77,527,725 Treasury 1.75% Bonds 7/9/2022 81,350 2.30 £74,212,000 Treasury 1.75% Gilts 22/7/2019 77,229 2.19 £71,543,756 Treasury 1.75% Notes 22/1/2017 72,442 2.05 £56,686,000 Treasury 2% Gilts 7/9/2025 59,914 1.70 £94,728,000 Treasury 2% Notes 22/7/2020 100,151 2.83 £76,388,000 Treasury 2.25% Stock 7/9/2023 82,556 2.34 £11,869,000 Treasury 2.5% Bonds 22/7/2065 12,988 0.37 £74,307,000 Treasury 2.75% Gilts 7/9/2024 83,228 2.35 £77,668,492 Treasury 3.25% Stock 22/1/2044 92,200 2.61 £53,274,000 Treasury 3.5% Bonds 22/7/2068 74,879 2.12 £70,960,000 Treasury 3.5% Notes 22/1/2045 88,328 2.50 £55,343,498 Treasury 3.75% Bonds 7/9/2020 63,119 1.79 £72,675,737 Treasury 3.75% Gilts 7/9/2019 81,030 2.29 £72,477,485 Treasury 3.75% Gilts 7/9/2021 84,045 2.38 £57,916,829 Treasury 3.75% Gilts 22/7/2052 79,572 2.25 £100,747,560 Treasury 4% Gilts 7/3/2022 119,597 3.38 £97,187,056 Treasury 4% Stock 7/9/2016 99,000 2.80 £60,978,360 Treasury 4% Stock 22/1/2060 92,132 2.61 £65,145,565 Treasury 4.25% Bonds 7/12/2040 89,494 2.53 £50,701,578 Treasury 4.25% Gilts 7/12/2049 74,574 2.11 £65,086,320 Treasury 4.25% Loan Stock 7/12/2055 100,607 2.85 £86,835,139 Treasury 4.25% Stock 7/12/2027 111,974 3.17 £93,641,983 Treasury 4.25% Stock 7/6/2032 123,551 3.50 £76,508,611 Treasury 4.25% Stock 7/3/2036 102,636 2.90 £57,035,786 Treasury 4.25% Stock 7/9/2039 77,697 2.20 £57,584,130 Treasury 4.25% Stock 7/12/2046 82,458 2.33 £86,008,769 Treasury 4.5% Bonds 7/9/2034 118,034 3.34 £92,929,540 Treasury 4.5% Gilts 7/3/2019 104,481 2.96 £70,700,600 Treasury 4.5% Stock 7/12/2042 101,855 2.88 £86,074,480 Treasury 4.75% Stock 7/3/2020 100,488 2.84 £88,066,240 Treasury 4.75% Stock 7/12/2030 121,395 3.44 £67,318,396 Treasury 4.75% Stock 7/12/2038 97,652 2.76 £88,692,288 Treasury 5% Gilts 7/3/2018 97,202 2.75 £111,650,905 Treasury 5% Stock 7/3/2025 147,351 4.17

UK Gilts All Stocks tracker portfolio Statement at 29 February 2016

666



£50,722,413 Treasury 6% Stock 7/12/2028 76,702 2.17 £60,623,101 Treasury 8% Stock 7/6/2021 83,342 2.36 £28,064,581 Treasury 8.75% Stock 25/8/2017 31,630 0.89

3,534,060 100.01

Portfolio of investments 3,534,060 100.01Net other liabilities (397) (0.01)


Unless otherwise stated, all securities are either listed on a recognised exchange or traded on an eligible securities market.Note: comparative figures show percentages for each category of holding at 28 February 2015.

UK Gilts All Stocks tracker portfolio Statement continued UK Gilts All Stocks tracker Statement of total Return for the year ended 29 February 2016

Notes £000’s


£000’s £000’s


£000’s

Income


Revenue 4 74,871 61,731

Expenses 5 (5,345) (4,540)


Taxation 6 – –



Distributions 7 (71,556) (57,193)


UK Gilts All Stocks tracker Statement of Change in Net Assets Attributable to Unitholders for the year ended 29 February 2016

£000’s


£000’s £000’s


£000’s


Amounts receivable on issue of units 536,270 1,354,608


44,467 1,097,977





UK Gilts All Stocks tracker Balance Sheet at 29 February 2016

Notes

29.2.2016£000’s

28.2.2015£000’s

Assets:

Fixed assets


Current assets

– Debtors 8 54,527 38,266


Total assets 3,599,201 3,362,519

Liabilities:

Creditors


– Other creditors 9 (57,431) (19,405)




UK Gilts All Stocks tracker Notes to Financial Statements for the year ended 29 February 2016





£000’s


£000’s





4. Revenue


£000’s


£000’s



Securities lending revenue 2,113 894


5. Expenses


£000’s


£000’s




5,098 4,255

Other expenses:

– Audit fee 7 7



247 285





£000’s


£000’s





£000’s


£000’s



Effects of:



7. Distributions


£000’s


£000’s



69,064 61,703





Add: Equalisation on conversions 2,030 2



UK Gilts All Stocks tracker Notes to Financial Statements continued

8. Debtors

29.2.2016 £000’s

28.2.2015£000’s




9. Other Creditors

29.2.2016 £000’s

28.2.2015 £000’s


Accrued FCA fee 1 1



















29.2.2016£000’s

28.2.2015£000’s

Revenue earned during the year 2,113 894 Value of securities on loan at the year end 2,588,812 1,621,893 Value of collateral held on behalf of the Fund at the year end 2,854,191 1,840,898

The Fund’s securities lending borrowing counterparties are Abbey National Plc, Barclays Bank Plc,Citigroup, Credit Suisse International, Deutsche Bank AG, HSBC, Morgan Stanley & Co., Société Générale and UBS.















£000’s %Taxes

£000’s %







£000’s %Taxes

£000’s %











£000’s %Taxes

£000’s %

Debt instruments 1,656,210 – – – –

Total purchases 1,656,210 – –





£000’s %Taxes

£000’s %












A IncomeUnits



X IncomeUnits


Balance at the beginning of the year 1,348,754 8,766,358 1,613,528,243 19,615,466 729,785,545

Issued during the year 3,343,074 – 157,355,443 87,030,042 1,505,269

Cancelled during the year (2,698,422) (13,225) (240,938,433) (108,681,870) –

Converted during the year (876,503) (109,187) (79,805,710) 2,036,458 93,556,441

Balance at the end of the year 1,116,903 8,643,946 1,450,139,543 96 824,847,255

D IncomeUnits


H IncomeUnits


Balance at the beginning of the year 7,822,678 32,196,297 562 1,400,243

Issued during the year 42,835,668 – 107,166,473 25,639,223


Converted during the year (36,996,844) 24,921,357 3,236,888 26,267,317





About the Fund

The BlackRock US Equity Tracker Fund (the “Fund”) is a sub-fund of BlackRock Collective Investment Funds, a UCITS scheme established under the COLL Sourcebook. The Fund was authorised by the Financial Conduct Authority on 28 April 2010 and was established on 29 June 2012.


The aim of the Fund is to seek to achieve capital growth for investors by tracking closely the performance of the FTSE USA Index by investing in companies in the Index. Investment will be made directly into constituent companies and via other transferable securities giving exposure to such companies. The Fund may also invest in permitted money-market instruments, permitted deposits and units in collective investment schemes. Derivatives and forward transactions may be used for the purposes of efficient portfolio management.




Unit Class


L Income 1 2 3 4 5 6 7


X Income 1 2 3 4 5 6 7



H Income 1 2 3 4 5 6 7





` �During the year, the risk indicator for each unit class, with the exception of H Income, changed from level 6 to 5 due to a decline in market volatility.


BlackRock US equity tracker Fund


Performance Table



§



BlackRock US Equity Tracker Fund +3.6% +46.6%

FTSE USA Index* +3.8% +47.5%

All Fund figures quoted are based on bid-to-bid dealing prices (the price at which units are sold) and are calculated net of fees. Performance returns are cumulative. All returns are in Sterling.§ Five year performance data does not exist as the Fund launched in June 2012.* Figures from Index Vendor. Please note that the Fund’s benchmark index, the FTSE USA Index was previously referred to as the FTSE All-World USA Index. This is a clarificatory update and does not represent a change in the Fund’s benchmark index.


US equity tracker Fund








to 29.2.2016




+3.58%* +3.78% -0.20%

The tracking difference is a result of (a) the stock market on which the benchmark index operates being closed at the Fund’s valuation point, resulting in a temporary mismatch on days when units are created or redeemed, (b) temporary divergences in the calculation when the Index provider calculates index values during UK bank holidays while the Fund is closed, (c) income from securities lending activity and (d) withholding tax differences between the Fund and index.












US equity tracker Fund continued


Summary of Performance over the PeriodDuring the period from 1 March 2015 to 29 February 2016, the Fund returned 3.6%,* compared with its benchmark, the FTSE USA Index, which returned 3.8%. Before costs, the tracking difference is a result of (a) the stock market on which the benchmark index operates being closed at the Fund’s valuation point, resulting in a temporary mismatch on days when units are created or redeemed, (b) temporary divergences in the calculation when the Index provider calculates index values during UK bank holidays while the Fund is closed, (c) income from securities lending activity and (d) withholding tax differences between the Fund and index. Over the six-month period to 29 February 2016, the Fund returned 10.0%,* outperforming its benchmark, which returned 9.1%.

Fund Manager’s CommentaryThe period to 29 February 2016 was marked by diverging monetary policies, concerns over China’s economy and commodity price volatility. In the US, a mixed bag of economic data meant that the US Federal Reserve (the “Fed”) kept interest rates on hold until December 2015, when they were raised by 0.25%. This rate rise marked the first rise in US interest rates since 2006, and it reflected the Fed’s growing confidence in employment and inflation prospects. By contrast, the European Central Bank extended its asset-purchase programme for another few months, as the region’s economy struggled to grow. Elsewhere, central bankers in several emerging economies, including India, China and Russia, lowered benchmark rates in a bid to stimulate growth.

In the months leading up to December’s interest rate hike, the chair of the Fed, Janet Yellen, reiterated that employment had to be in decent shape before rates could be raised. US non-farm payrolls (a measure of employment) were healthy over the period, with the exception of August and September, when just 150,000 and 149,000 jobs, respectively, were added to the US economy. The prospect of further rate hikes receded as US inflation expectations (as measured by the 10-year breakeven rate) fell to just 1.39% in late January 2016. Meanwhile, fourth-quarter GDP came in at an annualised rate of 0.7%, falling short of analysts’ expectations.

The Fund is structured to track the FTSE USA Index closely, so its portfolio remains positioned so that its risk characteristics are similar to those of the Index.

March 2016


US equity tracker Investment Report

Comparative Table





to 28.2.2014



to 28.2.2015




Return before operating charges 6.68 32.03 22.05 4.80 22.79


Return after operating charges 5.86 31.30 21.40 4.55 22.56





performance

Return after charges1 3.61% 23.86% 19.49% 3.76% 22.56%

other information

Closing net asset value (£000’s) 932 878 793 – 8,250

Closing number of units 553,215 539,989 604,472 100 6,813,279











US equity tracker performance Record


Comparative Table





to 28.2.2014




to 28.2.2014











performance


other information

Closing net asset value (£000’s) 340,514 265,337 191,661 2 24,636 24,053

Closing number of units 200,634,790 162,394,315 145,775,090 968 15,646,261 18,716,115










Comparative Table





to 28.2.2014




to 28.2.2014










performance


other information

Closing net asset value (£000’s) 107,411 119,578 1 332,552 316,377 239,469

Closing number of units 64,049,109 74,163,634 1,000 194,699,828 192,627,561 181,291,736









§ Please note that the annual management charge was reduced on 11 August 2015 from 0.15% to 0.065% in respect to class D Accumulation units.


US equity tracker performance Record continued


Comparative Table

H Income Units


to 29.2.2016

Pence per unit


Opening net asset value per unit 100.0

Return before operating charges 10.97

Operating charges (0.08)

Return after operating charges 10.89

Distributions on income units (1.02)

Closing net asset value per unit 109.9

After direct transaction costs of (0.00)

performance

Return after charges1 9.03%

other information

Closing net asset value (£000’s) 10,472

Closing number of units 9,532,310

Operating charges2 0.08%

Direct transaction costs3 0.00%

prices Pence per unit

Highest offer unit price 116.5

Lowest bid unit price 98.08






A AccumulationUnits

L IncomeUnits

L AccumulationUnits

X IncomeUnits

X AccumulationUnits

D AccumulationUnits

H Income Units÷



Equalisation† – 0.2667 – 0.0000 – 0.6771 – 0.0000 – 0.8814 – 0.7171 – 0.0000


Distribution paid 30.4.2015 0.9476 0.9476 0.8797 0.8797 1.1784 1.1784 1.2900 1.2900 1.3090 1.3090 1.2228 1.2228 N/A N/A


A AccumulationUnits

L Income Units

L AccumulationUnits

X IncomeUnits

X AccumulationUnits

D AccumulationUnits



Equalisation† – 0.6623 – 0.0760 – 0.4072 – 0.9133 – 0.2365 – 0.6063




÷ H Income class commenced September 2015. Group 1 units purchased 2 September 2015. Group 2 units purchased 3 September 2015 to 29 February 2016.

US equity tracker Distribution tables for the year ended 29 February 2016

US equity tracker performance Record continued




eQUItIeS – 101.30%; 2015 99.78%

UNIteD StAteS –101.30%; 2015 99.78%

Aerospace & Defence – 2.15%; 2015 2.38% 6,570 B/E Aerospace 206 0.03 38,607 Boeing 3,293 0.42 18,509 General Dynamics 1,832 0.23 5,181 L-3 Communications 445 0.06 19,396 Lockheed Martin 3,041 0.38 11,861 Northrop Grumman 1,645 0.21 19,141 Raytheon 1,720 0.22 7,806 Rockwell Collins 498 0.06 16,881 Textron 421 0.05 2,901 Transdigm 454 0.06 48,436 United Technologies 3,415 0.43

16,970 2.15

Automobiles & parts – 1.21%; 2015 1.32% 5,836 Autoliv 451 0.06 14,888 BorgWarner 355 0.04 17,760 Delphi Automotive 856 0.11 240,979 Ford Motor 2,168 0.27 90,484 General Motors 1,934 0.24 20,226 Gentex 211 0.03 9,107 Genuine Parts 600 0.08 4,480 Lear 329 0.04 12,284 Harley-Davidson 384 0.05 41,076 Johnson Controls 1,098 0.14 17,940 LKQ 365 0.05 5,871 Tesla Motors 807 0.10

9,558 1.21

Banks – 5.49%; 2015 5.67% 646,487 Bank of America 5,922 0.75 48,586 BB&T 1,168 0.15 186,235 Citigroup 5,308 0.67 32,948 Citizens Financial 469 0.06 11,927 Comerica 301 0.04 5,986 Commerce Bancshares 187 0.02 49,842 Fifth Third Bancorp 564 0.07 8,392 First Republic Bank 385 0.05 52,022 Huntington Bancshares 336 0.04 230,151 JP Morgan Chase 9,560 1.21

US equity tracker portfolio Statementat 29 February 2016

50,883 KeyCorp 393 0.05 7,627 M&T Bank 585 0.07 27,326 New York Community Bancorp 304 0.04 19,973 People’s United Financial 215 0.03 31,737 PNC Financial Services* 1,923 0.24 78,879 Regions Financial 441 0.06 27,074 SLM 116 0.01 32,139 SunTrust Banks 801 0.10 110,724 US Bancorp 3,139 0.40 320,345 Wells Fargo 11,112 1.40 12,791 Zions Bancorporation 201 0.03

43,430 5.49

Beverages – 2.34%; 2015 2.09% 7,918 Brown-Forman class ‘B’ shares 572 0.07 255,823 Coca-Cola 7,965 1.01 12,721 Coca-Cola Enterprises 451 0.06 10,062 Constellation Brands class ‘A’ shares 1,032 0.13 11,288 Dr Pepper Snapple 751 0.09 7,591 Molson Coors Brewing class ‘B’ shares 467 0.06 9,011 Monster Beverage 851 0.11 90,030 PepsiCo 6,392 0.81

18,481 2.34

Chemicals – 1.86%; 2015 2.07% 13,392 Air Products & Chemicals 1,292 0.16 3,681 Airgas 377 0.05 3,909 Ashland 271 0.03 5,844 Avery Dennison 280 0.04 10,084 Celanese 444 0.06 15,339 CF Industries 387 0.05 70,169 Dow Chemical 2,468 0.31 56,142 Du Pont de Nemours 2,492 0.31 8,765 Eastman Chemical 412 0.05 16,857 Ecolab 1,293 0.16 8,424 FMC 231 0.03 4,842 International Flavors & Fragrances 364 0.05 24,451 Lyondellbasell Industries class ‘A’ shares 1,415 0.18 19,503 Mosaic 377 0.05 16,849 PPG Industries 1,194 0.15 18,171 Praxair 1,354 0.17 2,461 Westlake Chemical 78 0.01

14,729 1.86




Construction & Materials – 0.45%; 2015 0.38% 7,406 Chicago Bridge & Iron 188 0.02 8,121 Fluor 274 0.03 10,657 Fortune Brands Home & Security 394 0.05 8,692 Jacobs Engineering 244 0.03 4,039 Martin Marietta Materials 415 0.05 22,348 Masco 464 0.06 13,571 MDU Resources 178 0.02 4,674 Sherwin-Williams 921 0.12 8,277 Vulcan Materials 590 0.07

3,668 0.45

electricity – 2.49%; 2015 2.18% 38,389 AES 273 0.03 7,553 Alliant Energy 371 0.05 30,422 American Electric Power 1,350 0.17 19,971 Calpine 178 0.02 18,403 CMS Energy 525 0.07 17,714 Consolidated Edison 899 0.11 36,551 Dominion Resources 1,848 0.23 11,621 DTE Energy 707 0.09 19,924 Edison International 967 0.12 11,576 Entergy 600 0.08 19,019 Eversource Energy 752 0.10 53,254 Exelon 1,219 0.15 27,483 FirstEnergy 651 0.08 28,240 NextEra Energy 2,294 0.29 21,034 NRG Energy 168 0.02 16,262 Pepco 312 0.04 28,778 PG&E 1,172 0.15 7,409 Pinnacle West Capital 367 0.05 40,988 PPL 1,030 0.13 31,245 Public Service Enterprise 960 0.12 55,740 Southern 1,938 0.24 15,669 Teco Energy 311 0.04 30,678 Xcel Energy 869 0.11

19,761 2.49

electronic & electrical equipment – 0.96%; 2015 0.90% 19,967 Agilent Technologies 542 0.07 6,402 Allegion 295 0.04 14,468 AMETEK 487 0.06 18,681 Amphenol class ‘A’ shares 714 0.09

5,827 Arrow Electronics 244 0.03 8,972 Avnet 268 0.03 41,079 Emerson Electric 1,464 0.18 4,420 First Solar 224 0.03 38,784 Flextronics International 303 0.04 11,095 Jabil Circuit 167 0.02 11,540 Keysight Technologies 216 0.03 1,378 Mettler-Toledo 315 0.04 6,022 Roper Industries 740 0.09 11,079 Sensata Technology 279 0.04 24,836 TE Connectivity 1,033 0.13 17,058 Trimble Navigation 290 0.04

7,581 0.96

Financial Services – 4.72%; 2015 4.88% 3,182 Affiliated Managers 315 0.04 33,084 Ally Financial 419 0.05 54,402 American Express 2,174 0.27 10,997 Ameriprise Financial 687 0.09 67,668 Bank of New York Mellon 1,763 0.22 7,620 BlackRock* 1,726 0.22 30,009 Capital One 1,455 0.18 67,872 Charles Schwab 1,247 0.16 11,957 CIT 259 0.03 19,946 CME 1,341 0.17 26,904 Discover Financial Services 916 0.12 7,684 Equifax 590 0.07 17,849 FNF 424 0.05 24,570 Franklin Resources 641 0.08 25,566 Goldman Sachs 2,771 0.35 6,881 Intercontinental Exchange 1,192 0.15 25,779 Invesco 504 0.06 6,170 Legg Mason 127 0.02 9,180 Liberty Ventures 242 0.03 61,715 MasterCard class ‘A’ shares 3,901 0.49 16,974 McGraw Hill Financial 1,094 0.14 12,475 Moody’s 798 0.10 85,004 Morgan Stanley 1,544 0.19 26,748 Navient 204 0.03 14,335 Northern Trust 623 0.08 4,127 Santander Consumer USA 31 0.00 8,393 SEI Investments 234 0.03 25,750 State Street 1,030 0.13

US equity tracker portfolio Statement continued




51,413 Synchrony Financial 1,036 0.13 15,165 T Rowe Price 763 0.10 14,087 TD Ameritrade 297 0.04 120,670 Visa 6,336 0.80 13,562 Voya Financial 291 0.04 33,153 Western Union 442 0.06

37,417 4.72

Fixed Line telecommunications – 2.69%; 2015 2.19% 382,854 AT&T 10,259 1.30 33,343 CenturyLink 726 0.09 81,678 Frontier Communications 320 0.04 16,909 Level 3 Communications 598 0.08 252,683 Verizon Communications 9,305 1.18

21,208 2.69

Food & Drug Retailers – 1.89%; 2015 1.92% 13,281 AmerisourceBergen 839 0.11 20,685 Cardinal Health 1,240 0.16 69,292 CVS Health 4,885 0.62 58,181 Kroger 1,657 0.21 14,068 McKesson 1,591 0.20 34,053 Sysco 1,063 0.13 55,572 Walgreens Boots Alliance 3,191 0.40 21,863 Whole Foods Market 491 0.06

14,957 1.89

Food producers – 2.15%; 2015 1.92% 38,172 Archer Daniels Midland 958 0.12 8,411 Bunge 306 0.04 11,339 Campbell Soup 507 0.06 27,739 ConAgra Foods 843 0.11 37,519 General Mills 1,598 0.20 5,616 Herbalife 224 0.03 9,524 Hershey Foods 623 0.08 17,956 Hormel Foods 557 0.07 6,719 JM Smucker 619 0.08 14,928 Kellogg 791 0.10 8,345 Keurig Green Mountain 554 0.07 35,969 Kraft Heinz 2,020 0.26 20,568 Leucadia National 220 0.03 7,405 McCormick & Co 500 0.06 12,196 Mead Johnson 643 0.08

101,574 Mondelez International 2,983 0.38 28,543 Monsanto 1,866 0.24 9,059 Rayonier 143 0.02 19,957 Tyson Foods 939 0.12

16,894 2.15

Forestry & paper – 0.08%; 2015 0.12% 25,726 International Paper 654 0.08

Gas, Water & Multiutilities – 0.95%; 2015 0.91% 14,254 Ameren 478 0.06 11,663 American Water Works 546 0.07 26,665 CenterPoint Energy 357 0.05 42,641 Duke Energy 2,278 0.29 20,927 Nisource 325 0.04 11,684 ONEOK 194 0.02 10,924 Questar 194 0.02 8,175 SCANA 382 0.05 15,329 Sempra Energy 1,058 0.13 41,453 Spectra Energy 874 0.11 20,459 WEC Energy 833 0.11

7,519 0.95

General Industrials – 3.20%; 2015 2.89% 38,433 3M 4,390 0.55 8,701 Ball 421 0.05 5,150 Bemis 181 0.02 35,867 Danaher 2,306 0.29 29,129 Eaton 1,204 0.15 580,320 General Electric 12,308 1.55 48,716 Honeywell International 3,623 0.46 11,765 Owens-Illinois 129 0.02 13,641 Sealed Air 456 0.06 15,467 WestRock 375 0.05

25,393 3.20

General Retailers – 6.14%; 2015 5.40% 4,487 Advance Auto Parts 486 0.06 23,368 Amazon 9,363 1.18 4,835 AutoNation 180 0.02 1,909 AutoZone 1,077 0.14 11,157 Bed Bath & Beyond 394 0.05 18,424 Best Buy 432 0.05 12,840 CarMax 438 0.06





27,459 Costco Wholesale 2,966 0.37 17,189 Dollar General 943 0.12 12,585 Dollar Tree 741 0.09 67,797 eBay 1,183 0.15 9,182 Foot Locker 425 0.05 7,242 GameStop 160 0.02 15,921 Gap 313 0.04 13,484 H&R Block 328 0.04 79,232 Home Depot 7,222 0.91 11,859 Kohl’s 401 0.05 13,381 L Brands 815 0.10 58,244 Lowe’s 2,905 0.37 19,987 Macy’s 627 0.08 25,130 Netflix 1,719 0.22 8,458 Nordstrom 321 0.04 6,181 O’Reilly Automotive 1,173 0.15 68,254 PayPal 1,847 0.23 25,281 Ross Stores 1,027 0.13 4,775 Signet Jewelers 342 0.04 38,036 Staples 260 0.03 39,573 Target 2,240 0.28 6,313 Tiffany 298 0.04 42,548 TJX 2,323 0.29 6,666 Tractor Supply 408 0.05 3,664 Ulta Salon Cosmetics & Fragrance 436 0.06 6,528 Urban Outfitters 126 0.02 100,088 Wal-Mart Stores 4,804 0.61

48,723 6.14

Healthcare equipment & Services – 4.53%; 2015 4.01% 21,971 Aetna 1,743 0.22 16,457 Anthem 1,574 0.20 32,758 Baxalta 926 0.12 32,908 Baxter International 936 0.12 13,038 Becton Dickinson 1,408 0.18 82,049 Boston Scientific 1,019 0.13 7,422 Centene 309 0.04 16,081 Cigna 1,639 0.21 4,533 CR Bard 640 0.08 12,933 DaVita 620 0.08 9,117 Dentsply International 399 0.05

12,998 Edwards Lifesciences 825 0.10 42,119 Express Scripts 2,168 0.27 19,500 HCA 992 0.13 5,358 Henry Schein 648 0.08 17,040 Hologic 431 0.05 9,205 Humana 1,187 0.15 2,226 Intuitive Surgical 912 0.12 5,970 Laboratory Corporation of America 478 0.06 86,961 Medtronic 4,851 0.61 6,047 Patterson 194 0.02 7,648 Quest Diagnostics 371 0.05 17,235 St Jude Medical 679 0.09 17,637 Stryker 1,290 0.16 24,473 Thermo Fisher Scientific 2,309 0.29 59,127 UnitedHealth 5,177 0.65 5,018 Universal Health Services class ‘B’ shares 411 0.05 6,433 Varian Medical Systems 366 0.05 5,044 Waters 444 0.06 12,373 Zimmer 871 0.11

35,817 4.53

Household Goods & Home Construction – 2.02%; 2015 1.82% 7,687 Church & Dwight 509 0.06 7,888 Clorox 728 0.09 21,531 DR Horton 422 0.05 4,039 Edgewell Personal Care 224 0.03 12,191 Jarden 470 0.06 8,610 Leggett & Platt 282 0.04 11,431 Lennar class ‘A’ shares 348 0.04 4,072 Mohawk Industries 525 0.07 16,143 Newell Rubbermaid 451 0.06 211 NVR 248 0.03 168,415 Procter & Gamble 9,856 1.24 19,953 Pulte Homes 250 0.03 3,257 Snap-on 346 0.04 9,114 Stanley Black & Decker 629 0.08 10,627 Toll Brothers 211 0.03 5,133 Whirlpool 573 0.07

16,072 2.02





Industrial engineering – 1.23%; 2015 1.43% 36,945 Caterpillar 1,783 0.23 7,159 Colfax 133 0.02 10,779 Cummins 760 0.10 19,323 Deere 1,109 0.14 9,995 Dover 441 0.06 8,684 Flowserve 265 0.03 20,647 Illinois Tool Works 1,415 0.18 15,920 Ingersoll-Rand 650 0.08 5,826 Joy Global 53 0.01 21,533 Paccar 807 0.10 8,812 Parker-Hannifin 650 0.08 10,857 Pentair 380 0.05 8,072 Rockwell Automation 611 0.08 4,435 Wabtec 220 0.03 12,103 Xylem 329 0.04

9,606 1.23

Industrial Metals – 0.21%; 2015 0.34% 85,975 Alcoa 550 0.07 6,735 Allegheny Technologies 60 0.01 67,520 Freeport McMoRan 362 0.05 17,591 Nucor 507 0.06 10,420 Southern Copper 185 0.02

1,664 0.21

Industrial transportation – 1.50%; 2015 1.74% 10,824 AerCap 277 0.03 9,450 CH Robinson Worldwide 480 0.06 61,592 CSX 1,080 0.14 12,142 Expeditors International of Washington 404 0.05 16,810 FedEx 1,667 0.21 6,160 JB Hunt Transport Services 347 0.04 5,842 Kansas City Southern 354 0.04 18,704 Norfolk Southern 1,008 0.13 2,775 Ryder System 116 0.01 54,181 Union Pacific 3,128 0.40 43,615 United Parcel Service class ‘B’ shares 3,068 0.39

11,929 1.50

Leisure Goods – 0.40%; 2015 0.34% 41,667 Activision Blizzard 959 0.12 18,534 Electronic Arts 862 0.11 4,151 Harman International 233 0.03 7,520 Hasbro 415 0.05 18,768 Mattel 440 0.06 3,995 Polaris Industries 263 0.03

3,172 0.40

Life Insurance – 0.74%; 2015 0.83% 26,032 Aflac 1,131 0.14 4,311 Assurant 226 0.03 29,608 Genworth Financial class ‘A’ shares 46 0.01 15,581 Lincoln National 422 0.05 54,521 MetLife 1,578 0.20 17,632 Principal Financial 489 0.06 27,564 Prudential Financial 1,333 0.17 8,177 Torchmark 308 0.04 14,742 Unum 308 0.04

5,841 0.74

Media – 3.80%; 2015 4.11% 12,367 Cablevision Systems class ‘A’ shares 290 0.04 26,999 CBS class ‘B’ shares 941 0.12 4,838 Charter Communications 633 0.08 152,746 Comcast class ‘A’ shares 6,383 0.81 8,861 Discovery Communications class ‘A’ shares 160 0.02 16,488 Discovery Communications class ‘C’ shares 292 0.04 13,845 DISH Network class ‘A’ shares 467 0.06 105,083 Disney 7,229 0.91 2,369 Dun & Bradstreet 164 0.02 4,382 IHS 331 0.04 26,183 Interpublic 404 0.05 1,298 Liberty Broadband class ‘A’ shares 47 0.01 3,774 Liberty Broadband class ‘C’ shares 137 0.02 15,947 Liberty Global class ‘A’ shares 427 0.05 38,048 Liberty Global class ‘B’ shares 991 0.13 26,542 Liberty Interactive class ‘A’ shares 492 0.06 6,716 Liberty Media 172 0.02 11,924 Liberty Media class ‘C’ shares 299 0.04





25,651 News Corporation class ‘A’ shares 202 0.03 7,631 News Corporation class ‘B’ shares 64 0.01 21,894 Nielsen 785 0.10 15,114 Omnicom 847 0.11 4,934 Scripps Networks Interactive 212 0.03 156,438 Sirius XM 416 0.05 14,404 Tegna 252 0.03 50,934 Time Warner 2,450 0.31 17,313 Time Warner Cable 2,407 0.30 25,553 Twenty-First Century Fox America class ‘A’ shares 502 0.06 74,313 Twenty-First Century Fox America class ‘B’ shares 1,452 0.18 22,205 Viacom New class ‘B’ non-voting shares 581 0.07

30,029 3.80

Mining – 0.09%; 2015 0.11% 14,857 CONSOL Energy 84 0.01 33,275 Newmont Mining 609 0.08

693 0.09

Mobile telecommunications – 0.14%; 2015 0.14% 7,324 SBA Communications 500 0.06 59,878 Sprint 144 0.02 16,727 T-Mobile 452 0.06

1,096 0.14

Non-Life Insurance – 3.61%; 2015 3.41% 28,815 ACE 2,444 0.31 80,792 AIG 2,979 0.38 955 Alleghany 321 0.04 25,021 Allstate 1,161 0.15 17,467 Aon 1,207 0.15 7,446 Arch Capital 366 0.05 11,273 Arthur J Gallagher 326 0.04 5,996 Axis Capital 233 0.03 29 Berkshire Hathaway convertible class ‘A’ shares 4,145 0.52 70,907 Berkshire Hathaway convertible class ‘B’ shares 6,747 0.85 7,868 Brown & Brown 184 0.02 9,024 Cincinnati Financial 414 0.05 1,384 CNA Financial 29 0.00 2,901 Everest Re 391 0.05 25,139 Hartford Financial Services 777 0.10 18,654 Loews 493 0.06 823 Markel 515 0.07

33,057 Marsh & McLennan 1,372 0.17 15,956 Old Republic International 207 0.03 3,288 PartnerRe 333 0.04 33,355 Progressive 773 0.10 3,019 RenaissanceRe 249 0.03 19,444 Travelers 1,523 0.19 8,987 Willis Towers Watson 731 0.09 6,566 WR Berkley 247 0.03 19,368 XL 484 0.06

28,651 3.61

oil & Gas producers – 5.05%; 2015 5.98% 31,736 Anadarko Petroleum 870 0.11 3,444 Antero Resources 60 0.01 22,837 Apache 650 0.08 27,454 Cabot Oil & Gas 405 0.05 4,441 California Resources 2 0.00 13,951 Cheniere Energy 359 0.05 40,389 Chesapeake Energy 78 0.01 117,024 Chevron 7,125 0.90 6,072 Cimarex Energy 375 0.05 19,778 Cobalt International Energy 37 0.00 7,211 Concho Resources 478 0.06 76,668 ConocoPhillips 1,888 0.24 5,562 Continental Resources 91 0.01 24,990 Devon Energy 366 0.05 34,288 EOG Resources 1,671 0.21 10,002 EQT 410 0.05 258,649 Exxon Mobil 15,257 1.93 15,473 Hess 481 0.06 10,033 Hollyfrontier 238 0.03 44,429 Marathon Oil 257 0.03 33,509 Marathon Petroleum 827 0.10 10,774 Murphy Oil 133 0.02 11,242 Newfield Exploration 212 0.03 27,658 Noble Energy 593 0.07 47,247 Occidental Petroleum 2,380 0.30 32,813 Phillips 66 1,873 0.24 9,130 Pioneer Natural Resources 813 0.10 12,901 QEP Resources 100 0.01 11,382 Range Resources 196 0.02 25,519 Southwestern Energy 117 0.01





7,058 Tesoro 409 0.05 31,010 Valero Energy 1,335 0.17 13,430 Whiting Petroleum 38 0.00

40,124 5.05

oil equipment, Services & Distribution – 1.39%; 2015 1.89% 26,791 Baker Hughes 855 0.11 11,221 Cameron International 535 0.07 20,927 Columbia Pipeline 272 0.03 2,744 Core Laboratories 208 0.03 4,563 Diamond Offshore Drilling 66 0.01 15,893 Ensco 96 0.01 14,364 FMC Technologies 254 0.03 53,408 Halliburton 1,265 0.16 6,515 Helmerich & Payne 250 0.03 116,170 Kinder Morgan 1,490 0.19 19,728 Nabors Industries 104 0.01 22,977 National Oilwell Varco 478 0.06 13,981 Noble 83 0.01 6,129 Oceaneering International 121 0.02 78,103 Schlumberger 4,085 0.52 51,684 Weatherford International 240 0.03 46,379 Williams Companies 524 0.07

10,926 1.39

personal Goods – 1.62%; 2015 1.46% 18,167 Coach 506 0.06 56,214 Colgate-Palmolive 2,690 0.34 13,504 Estee Lauder class ‘A’ shares 895 0.11 3,073 Fossil 104 0.01 26,033 Hanesbrands 530 0.07 22,906 Kimberly-Clark 2,171 0.27 6,647 Lululemon Athletica 295 0.04 10,601 Michael Kors 433 0.05 69,844 Nike class ‘B’ shares 3,156 0.40 4,373 PVH 252 0.03 3,901 Ralph Lauren class ‘A’ shares 256 0.03 11,573 Under Armour 700 0.09 20,988 VF 983 0.12

12,971 1.62

pharmaceuticals & Biotechnology – 9.50%; 2015 9.44% 93,793 Abbott Laboratories 2,675 0.34 105,955 AbbVie 4,283 0.54 14,055 Alexion Pharmaceuticals 1,422 0.18 7,868 Alkermes 191 0.02 24,089 Allergan 5,182 0.65 4,225 Alnylam Pharmaceuticals 177 0.02 46,617 Amgen 4,965 0.63 13,735 Biogen Idec 2,622 0.33 9,505 BioMarin Pharmaceutical 550 0.07 102,689 Bristol-Myers Squibb 4,614 0.58 49,359 Celgene 3,683 0.47 62,094 Eli Lilly 3,299 0.42 13,013 Endo International 497 0.06 90,893 Gilead Sciences 5,774 0.73 8,891 Illumina 996 0.13 8,514 Incyte 457 0.06 3,654 Jazz Pharmaceuticals 330 0.04 170,091 Johnson & Johnson 12,986 1.64 7,656 Mallinckrodt Pharmaceuticals 383 0.05 9,365 Medivation 240 0.03 174,139 Merck 6,365 0.80 25,778 Mylan 877 0.11 8,498 Perrigo 793 0.10 379,718 Pfizer 8,284 1.05 4,951 Quintiles Transnational 226 0.03 5,021 Regeneron Pharmaceuticals 1,428 0.18 15,338 Vertex Pharmaceuticals 963 0.12 30,784 Zoetis 941 0.12

75,203 9.50

Real estate Investment & Services – 0.04%; 2015 0.05% 17,052 CBRE class ‘A’ shares 322 0.04

Real estate Investment trusts – 2.87%; 2015 2.72% 22,692 American Capital 298 0.04 26,630 American Tower class ‘A’ shares 1,730 0.22 56,433 Annaly Capital Management 415 0.05 8,108 AvalonBay Communities 1,003 0.13 9,230 Boston Properties 759 0.10 4,674 Care Capital Properties 89 0.01





20,820 Crown Castle International 1,289 0.16 7,819 Digital Realty Trust 446 0.06 22,114 Duke Realty 332 0.04 22,226 Equity Residential 1,196 0.15 4,266 Essex Property Trust 647 0.08 4,103 Federal Realty Investment Trust 440 0.06 29,963 General Growth Properties 598 0.08 27,744 HCP 599 0.08 8,592 Hospitality Properties 151 0.02 49,312 Host Hotels & Resorts 548 0.07 11,677 Iron Mountain 249 0.03 27,143 Kimco Realty 523 0.07 9,774 Liberty Property Trust 202 0.03 9,388 Macerich 539 0.07 32,596 Prologis 909 0.11 9,061 Public Storage 1,662 0.21 14,790 Realty Income 626 0.08 6,417 Regency Centers 327 0.04 19,322 Simon Property 2,656 0.34 5,895 SL Green Realty 380 0.05 20,171 Ventas 807 0.10 51,773 VEREIT 297 0.04 10,056 Vornado Realty Trust 625 0.08 7,709 Weingarten Realty Investors 198 0.03 21,426 Welltower 982 0.12 49,356 Weyerhaeuser 911 0.12

22,433 2.87

Software & Computer Services – 9.67%; 2015 7.74% 30,598 Adobe Systems 1,912 0.24 11,187 Akamai Technologies 446 0.06 18,117 Alphabet class ‘A’ shares 9,477 1.20 17,782 Alphabet class ‘C’ shares 9,047 1.14 10,187 Amdocs 423 0.05 5,626 Ansys 341 0.04 12,828 Autodesk 474 0.06 19,161 CA 406 0.05 18,005 Cerner 676 0.09 8,048 CheckPoint Software Technologies 480 0.06 9,899 Citrix Systems 511 0.06 38,138 Cognizant Technology 1,570 0.20 8,899 Computer Sciences 183 0.02

8,899 CSRA 171 0.02 2,273 DST Systems 174 0.02 3,595 Equinix 796 0.10 135,616 Facebook 10,561 1.33 109,134 Hewlett Packard Enterprise 1,058 0.13 4,392 IAC Interactive 141 0.02 60,128 IBM 5,729 0.72 8,443 IMS Health 159 0.02 15,755 Intuit 1,089 0.14 476,521 Microsoft 17,637 2.23 11,487 Mobileye 263 0.03 12,097 Nuance Communications 171 0.02 202,874 Oracle 5,413 0.68 5,070 Palo Alto Networks 540 0.07 7,633 Rackspace Hosting 118 0.01 11,749 Red Hat 576 0.07 36,749 Salesforce.com 1,850 0.23 9,384 Servicenow 376 0.05 7,822 Splunk 234 0.03 38,249 Symantec 537 0.07 9,981 Synopsys 326 0.04 10,289 Teradata 186 0.02 28,979 Twitter 375 0.05 7,488 VeriSign 464 0.06 4,905 VMware 180 0.02 6,965 Workday 299 0.04 54,846 Yahoo! 1,242 0.16 13,748 Yandex class ‘A’ shares 129 0.02

76,740 9.67

Support Services – 1.96%; 2015 1.96% 39,187 Accenture 2,860 0.36 10,671 ADT 311 0.04 3,759 Alliance Data Systems 577 0.07 28,883 Automatic Data Processing 1,786 0.23 7,907 Broadridge Financial Solutions 323 0.04 5,448 Cintas 334 0.04 15,842 Fastenal 517 0.07 17,408 Fidelity National Information Services 748 0.09 14,702 Fiserv 1,040 0.13 4,611 Fleetcor Technologies 426 0.05 7,157 LinkedIn class ‘A’ shares 625 0.08





13,102 SanDisk 682 0.09 16,364 Seagate Technology 374 0.05 11,333 Skyworks Solutions 531 0.07 63,751 Texas Instruments 2,452 0.31 13,022 Western Digital 412 0.05 15,949 Xilinx 557 0.07

60,696 7.68

tobacco – 1.71%; 2015 1.46% 120,817 Altria 5,366 0.68 96,452 Philip Morris International 6,367 0.80 50,589 Reynolds American 1,836 0.23

13,569 1.71

travel & Leisure – 2.77%; 2015 2.49% 9,139 American Airlines 270 0.03 25,711 Carnival 897 0.11 10,533 CDK Global 342 0.04 1,901 Chipotle Mexican Grill 694 0.09 8,398 Darden Restaurants 386 0.05 13,118 Delta Air Lines 453 0.06 6,401 Expedia 487 0.06 2,799 Four Corners Property Trust 33 0.00 30,863 Hertz Global 184 0.02 33,709 Hilton Worldwide 504 0.06 6,938 International Game Technology 75 0.01 24,642 Las Vegas Sands 852 0.11 12,265 Marriott International class ‘A’ shares 603 0.08 58,001 McDonald’s 4,900 0.62 29,025 MGM Resorts International 395 0.05 10,036 Norwegian Cruise Line 359 0.05 3,167 Priceline.com 2,866 0.36 9,259 Royal Caribbean Cruises 502 0.06 10,962 Southwest Airlines 334 0.04 88,961 Starbucks 3,745 0.47 10,004 Starwood Hotels and Resorts Worldwide 500 0.06 6,347 TripAdvisor 286 0.04 5,888 United Continental 241 0.03 7,793 Wyndham Worldwide 408 0.05 5,387 Wynn Resorts 320 0.04 27,120 Yum! Brands 1,398 0.18

22,034 2.77

5,159 Manpower 292 0.04 19,772 Paychex 737 0.09 16,169 Republic Services 539 0.07 8,026 Robert Half International 229 0.03 4,777 Stericycle 398 0.05 9,277 Total System Services 298 0.04 25,031 Tyco International 640 0.08 5,270 United Rentals 196 0.02 10,018 Verisk Analytics 535 0.07 27,991 Waste Management 1,132 0.14 3,670 WW Grainger 577 0.07 69,743 Xerox 486 0.06

15,606 1.96

technology Hardware & equipment – 7.68%; 2015 9.09% 19,096 Analog Devices 737 0.09 345,348 Apple 24,158 3.05 74,597 Applied Materials 1,023 0.13 24,770 Broadcom 2,380 0.30 314,227 Cisco Systems 5,986 0.76 75,458 Corning 996 0.13 121,059 EMC 2,275 0.29 3,611 F5 Networks 253 0.03 7,682 Garmin 224 0.03 7,941 Harris 439 0.06 109,045 HP 837 0.11 292,878 Intel 6,296 0.80 23,236 Juniper Networks 412 0.05 10,180 KLA-Tencor 500 0.06 9,669 Lam Research 515 0.07 15,681 Linear Technology 497 0.06 28,095 Marvell Technology 193 0.02 17,152 Maxim Integrated Products 420 0.05 13,580 Microchip Technology 440 0.06 66,277 Micron Technology 511 0.06 10,114 Motorola Solutions 547 0.07 11,464 NCR 195 0.02 15,976 NetApp 290 0.04 33,454 Nvidia 765 0.10 17,157 NXP Semiconductors 894 0.11 7,935 Qorvo 249 0.03 98,102 Qualcomm 3,656 0.46



DeRIVAtIVeS – 0.01%; 2015 0.00%

Futures – 0.01%; 2015 0.00% 46 S&P 500 E-Mini Index March 2016 3,220 101 0.01

Portfolio of investments 802,238 101.31Net other liabilities (10,355) (1.31)


Unless otherwise stated, all securities are either listed on a recognised exchange or traded on an eligible securities market.Note: comparative figures show percentages for each category of holding at 28 February 2015. * Related party to the Fund.Underlying exposure has been calculated according to the guidelines issued by the European Securities and Markets Authority (“ESMA”) and represents the market value of an equivalent position in the assets underlying each financial derivative instrument.


US equity tracker portfolio Statement continued US equity tracker Statement of total Return for the year ended 29 February 2016

Notes £000’s


£000’s £000’s


£000’s

Income


Revenue 4 16,805 12,578

Expenses 5 (1,123) (980)


Taxation 6 (2,401) (1,778)





US equity tracker Statement of Change in Net Assets Attributable to Unitholders for the year ended 29 February 2016

£000’s


£000’s £000’s


£000’s




28,521 136,075





US equity tracker Balance Sheet at 29 February 2016

Notes

29.2.2016£000’s

28.2.2015£000’s

Assets:

Fixed assets


Current assets

– Debtors 8 2,416 1,441


Total assets 806,906 735,997

Liabilities:

Creditors

– Amounts due to futures clearing houses and brokers (106) –






US equity tracker Notes to Financial Statements for the year ended 29 February 2016





£000’s


£000’s




Currency gains 489 421




4. Revenue


£000’s


£000’s








5. Expenses


£000’s


£000’s


– Manager’s charge 1,039 899


1,042 900

Other expenses:

– Audit fee 8 7



81 80

Total expenses 1,123 980



£000’s


£000’s





£000’s


£000’s



Effects of:

Capitalised income from US REITs – 29






At 29 February 2016, the Fund had surplus management expenses of £000 1,059 (28 February 2015: £000 680 ). It is unlikely that the Fund will generate sufficient taxable profits in the future to utilise these expenses and, therefore, a deferred tax asset of £000 212 (28 February 2015: £000 136) has not been recognised.

US equity tracker Notes to Financial Statements continued

7. Distributions


£000’s


£000’s



13,170 10,042





(Less)/add: Equalisation on conversions (31) 1




8. Debtors

29.2.2016 £000’s

28.2.2015£000’s


Amounts receivable for issue of units 542 –

Currency sales awaiting settlement 294 150




29.2.2016 £000’s

28.2.2015£000’s





10. Other Creditors

29.2.2016 £000’s

28.2.2015 £000’s








Currency purchases awaiting settlement 292 149














29.2.2016£000’s

28.2.2015£000’s

Revenue earned during the year 24 28Value of securities on loan at the year end 1,933 627Value of collateral held on behalf of the Fund at the year end 2,186 708

The Fund’s securities lending borrowing counterparties are Barclays Bank Plc, Citigroup, Goldman Sachs and UBS.















£000’s %Taxes

£000’s %







£000’s %Taxes

£000’s %












£000’s %Taxes

£000’s %








£000’s %Taxes

£000’s %














L Income Units


X Income Units


Issued during the year 175,793 1,640,689 107,414,009 5,217,078

Cancelled during the year (162,567) – (69,173,534) (31,263,177)

Converted during the year – (8,453,868) – 10,400,806

Balance at the end of the year 553,215 100 200,634,790 968



H Income Unitsº

Balance at the beginning of the year 74,163,634 192,627,561 –

Issued during the year – 8,802,243 100

Cancelled during the year – (6,729,976) –

Converted during the year (10,114,526) – 9,532,210






About the Fund

The BlackRock 100 UK Equity Tracker Fund (the “Fund”) is a sub-fund of BlackRock Collective Investment Funds, a UCITS scheme established under the COLL Sourcebook. The Fund was authorised by the Financial Conduct Authority on 25 May 2012 and was established on 29 June 2012.






Unit Class



X Income 1 2 3 4 5 6 7









BlackRock 100 UK equity tracker Fund



Performance Table



§



BlackRock 100 UK Equity Tracker Fund -9.0% +6.5%

FTSE 100 Index* -9.0% +6.7%

All Fund figures quoted are based on bid-to-bid dealing prices (the price at which units are sold) and are calculated net of fees. Performance returns are cumulative. All returns are in Sterling.§ Five year performance data does not exist as the Fund launched in June 2012.* Figures from Index Vendor.


100 UK equity tracker Fund






to 29.2.2016




-8.98%* -8.98% 0.00%











Up to 0.20%* 1.09%*



100 UK equity tracker Fund continued

Summary of Performance over the PeriodDuring the period from 1 March 2015 to 29 February 2016, the Fund returned -9.0%,* compared with its benchmark, the FTSE 100 Index, which also returned -9.0%. Before costs, the performance of the Fund relative to the benchmark index has been in line with expectations. Over the six-month period to 29 February 2016, the Fund returned 0%,* outperforming its benchmark, which returned -1.3%.




March 2016


100 UK equity tracker Investment Report


Comparative Table





to 28.2.2014




to 28.2.2014










performance


other information












100 UK equity tracker performance Record

Comparative Table





to 28.2.2014




to 28.2.2014











performance


other information













Comparative Table





to 28.2.2014










performance


other information



Operating charges2§ 0.06% 0.16% 0.16%








§ Please note the annual management charge was reduced on 11 August 2015 from 0.15% to 0.055% in respect to class D Accumulation units.


100 UK equity tracker performance Record continued


A AccumulationUnits


X IncomeUnits





Equalisation† – 0.6468 – 0.8624 – 0.6048 – 0.9385 – 0.7144




A AccumulationUnits


X IncomeUnits





Equalisation† – 1.5056 – 2.0915 – 2.4132 – 2.0201 – 2.0190




100 UK equity tracker Distribution tables for the year ended 29 February 2016




eQUItIeS – 96.40%; 2015 97.83%

UNIteD KINGDoM – 96.40%; 2015 97.83%

Aerospace & Defence – 1.76%; 2015 2.15% 1,228,564 BAE Systems 6,266 1.00 705,920 Rolls-Royce 4,772 0.76

11,038 1.76

Automobiles & parts – 0.28%; 2015 0.33% 634,728 GKN 1,749 0.28

Banks – 11.28%; 2015 12.35% 6,463,928 Barclays 11,011 1.76 7,530,653 HSBC 34,569 5.54 24,598,942 Lloyds Banking 17,696 2.84 1,230,728 Royal Bank of Scotland 2,780 0.45 1,030,497 Standard Chartered 4,301 0.69

70,357 11.28

Beverages – 5.50%; 2015 4.75% 76,023 Coca-Cola 1,022 0.16 972,174 Diageo 18,068 2.90 364,981 SABMiller 15,205 2.44

34,295 5.50

Chemicals – 0.30%; 2015 0.39% 74,181 Johnson Matthey 1,867 0.30

Construction & Materials – 0.92%; 2015 0.82% 316,025 CRH 5,758 0.92

electricity – 0.84%; 2015 0.86% 378,778 SSE 5,227 0.84

Fixed Line telecommunications – 2.52%; 2015 2.05% 3,230,615 BT 15,689 2.52

Food & Drug Retailers – 1.12%; 2015 1.55% 537,367 J Sainsbury 1,351 0.22 3,120,210 Tesco 5,613 0.90

6,964 1.12

Food producers – 3.01%; 2015 2.52% 133,579 Associated British Foods 4,507 0.72 465,749 Unilever 14,284 2.29

18,791 3.01

100 UK equity tracker portfolio Statement at 29 February 2016

Forestry & paper – 0.29%; 2015 0.27% 142,012 Mondi 1,820 0.29

Gas, Water & Multiutilities – 3.58%; 2015 3.15% 1,908,709 Centrica 3,959 0.63 1,456,169 National Grid 14,002 2.24 91,970 Severn Trent 1,953 0.31 268,710 United Utilities 2,467 0.40

22,381 3.58

Financial Services – 1.56%; 2015 1.20% 368,529 3i 1,594 0.26 386,163 Aberdeen Asset Management 930 0.15 84,658 Hargreaves Lansdown 1,049 0.17 119,905 London Stock Exchange 3,210 0.51 56,179 Provident Financial 1,800 0.29 43,474 Schroders 1,126 0.18

9,709 1.56

General Industrials – 0.50%; 2015 0.25% 269,973 Rexam 1,637 0.26 150,712 Smiths 1,509 0.24

3,146 0.50

General Retailers – 1.86%; 2015 1.89% 377,817 Dixons Carphone 1,634 0.26 913,322 Kingfisher 3,061 0.49 632,390 Marks & Spencer 2,672 0.43 57,270 Next 3,880 0.62 99,303 Sports Direct International 393 0.06

11,640 1.86

Healthcare equipment & Services – 0.64%; 2015 0.59% 343,127 Smith & Nephew 4,015 0.64

Household Goods & Home Construction – 3.98%; 2015 2.94% 380,135 Barratt Developments 2,224 0.36 48,458 Berkeley 1,604 0.26 117,231 Persimmon 2,591 0.41 245,401 Reckitt Benckiser 16,084 2.58 1,247,190 Taylor Wimpey 2,325 0.37

24,828 3.98


Industrial engineering – 0.00%; 2015 0.20%

Industrial transportation – 0.24%; 2015 0.15% 333,903 Royal Mail 1,516 0.24

Life Insurance – 5.06%; 2015 5.86% 1,569,111 Aviva 6,785 1.09 2,286,042 Legal & General 5,134 0.82 1,879,277 Old Mutual 3,152 0.51 984,980 Prudential 12,194 1.96 195,738 St. James’s Place Capital 1,655 0.27 765,466 Standard Life 2,533 0.41

31,453 5.06

Media – 3.78%; 2015 3.53% 404,562 British Sky Broadcasting 4,211 0.68 1,446,322 ITV 3,606 0.58 310,948 Pearson 2,676 0.43 434,466 RELX 5,383 0.86 508,414 WPP 7,677 1.23

23,553 3.78

Mining – 4.36%; 2015 7.21% 500,288 Anglo American 2,378 0.38 137,406 Antofagasta 681 0.11 812,300 BHP Billiton 5,913 0.95 62,054 Fresnillo 632 0.10 4,506,839 Glencore 6,053 0.97 35,831 Randgold Resources 2,367 0.38 481,685 Rio Tinto 9,157 1.47

27,181 4.36

Mobile telecommunications – 3.85%; 2015 3.30% 174,310 Inmarsat 1,705 0.27 10,252,701 Vodafone 22,310 3.58

24,015 3.85

Non-Life Insurance – 0.81%; 2015 0.67% 76,066 Admiral 1,314 0.21 526,990 Direct Line 2,046 0.33 393,694 RSA Insurance 1,708 0.27

5,068 0.81


100 UK equity tracker portfolio Statement continued

oil & Gas producers – 12.09%; 2015 14.13% 7,038,184 BP 24,644 3.95 1,542,991 Royal Dutch Shell class ‘A’ shares 25,468 4.08 1,532,362 Royal Dutch Shell class ‘B’ shares 25,299 4.06

75,411 12.09

personal Goods – 0.35% ; 2015 0.46% 169,664 Burberry 2,199 0.35

pharmaceuticals & Biotechnology – 9.01%; 2015 8.99% 487,050 AstraZeneca 20,239 3.25 1,876,235 GlaxoSmithKline 26,267 4.21 51,000 Hikma Pharmaceuticals 964 0.15 226,947 Shire 8,740 1.40

56,210 9.01

Real estate Investment trusts – 1.32%; 2015 1.48% 387,097 British Land 2,524 0.40 302,088 Hammerson 1,639 0.26 358,074 Intu Properties 1,064 0.17 306,984 Land Securities 3,064 0.49

8,291 1.32

Software & Computer Services – 0.39%; 2015 0.28% 411,079 Sage 2,415 0.39

Support Services – 3.72%; 2015 3.63% 191,919 Ashtead 1,733 0.28 193,725 Babcock International 1,777 0.28 126,518 Bunzl 2,439 0.39 253,170 Capita 2,534 0.41 33,905 DCC 1,907 0.31 386,754 Experian 4,533 0.73 61,681 Intertek 1,789 0.29 95,063 Travis Perkins 1,682 0.27 100,347 Wolseley 3,705 0.59 357,434 Worldpay 1,064 0.17

23,163 3.72

technology Hardware & equipment – 0.87%; 2015 0.90% 550,014 ARM 5,407 0.87



tobacco – 6.73%; 2015 5.61% 719,350 British American Tobacco 28,073 4.50 371,933 Imperial Brands 13,910 2.23

41,983 6.73

travel & Leisure – 3.88%; 2015 3.37% 70,183 Carnival 2,489 0.40 642,534 Compass 8,019 1.29 95,142 easyJet 1,414 0.23 91,252 InterContinental Hotels 2,464 0.40 705,443 International Consolidated Airlines 3,852 0.62 269,000 Merlin Entertainments 1,221 0.20 180,663 TUI 1,929 0.31 69,374 Whitbread 2,683 0.43

24,071 3.88

DeRIVAtIVeS – 0.13%; 2015 0.13%

Forward Currency Contracts- (0.01)%; 2015 0.00% £1,428,441 UK sterling vs US dollar 1,477 (48) (0.01)

Futures- 0.14%; 2015 0.13% 362 FTSE 100 Index March 2016 21,925 894 0.14

Portfolio of investments 602,056 96.53 Net other assets 21,616 3.47


Unless otherwise stated, all securities are either listed on a recognised exchange or traded on an eligible securities market.Note: comparative figures show percentages for each category of holding at 28 February 2015.# The counterparty for the forward currency contract is JP Morgan.Underlying exposure has been calculated according to the guidelines issued by the European Securities and Markets Authority (“ESMA”) and represents the market value of an equivalent position in the assets underlying each financial derivative instrument.


100 UK equity tracker portfolio Statement continued 100 UK equity tracker Statement of total Return for the year ended 29 February 2016

Notes £000’s


£000’s £000’s


£000’s

Income


Revenue 4 26,136 22,601

Expenses 5 (763) (1,021)


Taxation 6 (143) (128)



Distributions 7 (23,685) (20,620)


100 UK equity tracker Statement of Change in Net Assets Attributable to Unitholders for the year ended 29 February 2016

£000’s


£000’s £000’s


£000’s




(658) 41,587






100 UK equity tracker Balance Sheet at 29 February 2016

Notes

29.2.2016£000’s

28.2.2015£000’s

Assets:

Fixed assets


Current assets

– Debtors 8 5,046 2,677


Total assets 623,853 687,058

Liabilities:


Creditors



– Other creditors 10 (133) (730)

Total liabilities (181) (1,195)



100 UK equity tracker Notes to Financial Statements for the year ended 29 February 2016

1. Accounting and Distribution PoliciesThe accounting and distribution policies are set out on pages 4 to 8.




£000’s


£000’s







4. Revenue


£000’s


£000’s




Stock dividends 1,545 832





5. Expenses


£000’s


£000’s




705 950

Other expenses:

– Audit fee 7 7



58 71

Total expenses 763 1,021



£000’s


£000’s





£000’s


£000’s



Effects of:







At 29 February 2016, the Fund had surplus management expenses of £000 2,469 (28 February 2015: £000 1,966). It is unlikely that the Fund will generate sufficient taxable profits in the future to utilise these expenses and, therefore, a deferred tax asset of £000 494 (28 February 2015: £000 393) has not been recognised.

100 UK equity tracker Notes to Financial Statements continued

7. Distributions


£000’s


£000’s



23,911 20,919




Net revenue after taxation for the year 25,230 21,452

Less: Non distributable stock dividends (1,545) (832)



8. Debtors

29.2.2016 £000’s

28.2.2015£000’s


Amounts receivable for issue of units 941 –

Income tax recoverable 5 –




29.2.2016 £000’s

28.2.2015£000’s

Amounts held at futures clearing houses and brokers 174 –




10. Other Creditors

29.2.2016 £000’s

28.2.2015 £000’s








Total other creditors 133 730












29.2.2016£000’s

28.2.2015£000’s


The Fund’s securities lending borrowing counterparties are Barclays Bank Plc, HSBC, JP Morgan Chase Securities Plc, Société Générale and UBS.








The following investor(s)

(i) are funds managed by the BlackRock Group or are affiliates of BlackRock Inc. (“Affiliated Funds”) or

(ii) are investors, other than those included in (i) above, who held 51% or more of the voting units in issue in the Fund and are as a result, considered to be related parties to the Funds.

As at 29 February 2016:




Affiliated Funds




Nil 1 65% As at 28 February 2015:




Affiliated Funds




Nil 1 65%

All related party transactions were carried out at arm’s length in the ordinary course of business. The terms and returns received by the related parties in making the investments above were no more favourable than those received by other investors investing into the same unit classes.






£000’s %Taxes

£000’s %







£000’s %Taxes

£000’s %

Equity instruments 16,980 1 – – –











£000’s %Taxes

£000’s %







£000’s %Taxes

£000’s %

Equity instruments 17,910 – – – –
















X Income Units



Balance at the beginning of the year 51,111 65,784,766 12,870,395 17,182,333 410,239,320


Cancelled during the year (17,219) (15,107,888) (14,388,318) (20,343,235) (4,679,381)

Converted during the year – – – – –

Balance at the end of the year 275,554 65,650,170 951 15,612,541 423,502,133




About the Fund

The BlackRock 350 UK Equity Tracker Fund (the “Fund”) is a sub-fund of BlackRock Collective Investment Funds, a UCITS scheme established under the COLL Sourcebook. The Fund was established on 30 September 2013 and was authorised by the Financial Conduct Authority on 6 September 2013.






Unit Class


L Income 1 2 3 4 5 6 7


X Income 1 2 3 4 5 6 7









BlackRock 350 UK equity tracker Fund


Performance Table

For the year to 29.2.2016§


Class L Accumulation Units

BlackRock 350 UK Equity Tracker Fund -7.9%

FTSE 350 Index (GBP)* -7.8%

All Fund figures quoted are based on bid-to-bid dealing prices (the price at which units are sold) and are calculated net of fees. Performance returns are cumulative. All returns are in Sterling.§ Three and five year performance data does not exist as the Fund launched in September 2013.* Figures from Index Vendor.


350 UK equity tracker Fund







to 29.2.2016




-7.94%* -7.77% -0.17%



350 UK equity tracker Fund continued






Where a Fund has not been trading for 36 months, the annualised tracking error since inception has been presented.



Up to 0.25%* N/A*The Fund’s return history is too short to be statistically significant.



350 UK equity tracker Investment Report

Summary of Performance over the PeriodDuring the period from 1 March 2015 to 29 February 2016, the Fund returned -7.9%,* compared with its benchmark, the FTSE 350 Index, which returned -7.8%. Before costs, the performance of the Fund relative to the benchmark index has been in line with expectations. Over the six-month period to 29 February 2016, the Fund returned -0.4%,* outperforming its benchmark, which returned -1.5%.




March 2016


Comparative Table





to 28.2.2014




to 28.2.2014











performance


other information

Closing net asset value (£000’s) 46 – – 929,761 1,068,734 1,106,333

Closing number of units 43,960 100 100 962,479,685 981,184,498 1,038,981,881










350 UK equity tracker performance Record


Comparative Table





to 28.2.2014




to 28.2.2014





Operating charges (0.23) (0.22) (0.22) 0.00 (0.01) (0.01)






performance


other information

Closing net asset value (£000’s) 626,649 728,103 – – – –

Closing number of units 600,541,494 642,112,536 100 100 100 100










350 UK equity tracker performance Record continued

Comparative Table





to 28.2.2014




to 28.2.2014





Operating charges 0.00 (0.01) (0.01) (0.17) (0.17) (0.17)





performance


other information

Closing net asset value (£000’s) – – – 196 2 108

Closing number of units 100 100 100 187,645 2,008 100













L Income Units

L AccumulationUnits

X Income Units

X AccumulationUnits

D AccumulationUnits



Equalisation† – 0.7000 – 0.0000 – 0.6125 – 0.0000 – 0.0000 – 0.7657





L Income Units

L AccumulationUnits

X Income Units

X AccumulationUnits

D AccumulationUnits



Equalisation† – 0.0000 – 0.5799 – 1.0319 – 0.0000 – 0.0000 – 2.1159




350 UK equity tracker Distribution tables for the year ended 29 February 2016


eQUItIeS – 99.15%; 2015 99.73%

UNIteD KINGDoM – 99.15%; 2015 99.73%

Aerospace & Defence – 2.02%; 2015 2.22% 2,574,644 BAE Systems 13,131 0.84 945,972 Cobham 2,431 0.16 655,027 Meggitt 2,711 0.17 501,017 QinetiQ 1,164 0.07 1,524,143 Rolls-Royce 10,303 0.66 369,385 Senior 754 0.05 61,532 Ultra Electronics 1,083 0.07

31,577 2.02

Automobiles & parts – 0.25%; 2015 0.28% 1,390,240 GKN 3,830 0.25

Banks – 9.66%; 2015 10.59% 94,731 Aldermore 185 0.01 30,011 Bank of Georgia 597 0.04 13,658,388 Barclays 23,267 1.49 15,874,096 HSBC 72,870 4.68 52,226,036 Lloyds Banking 37,571 2.41 52,026 OneSavings Bank 141 0.01 2,591,374 Royal Bank of Scotland 5,854 0.38 63,357 Shawbrook 173 0.01 2,208,760 Standard Chartered 9,218 0.59 206,269 Virgin Money 684 0.04

150,560 9.66

Beverages – 4.76%; 2015 4.17% 76,874 AG Barr 387 0.02 197,348 Britvic 1,353 0.09 159,207 Coca-Cola 2,141 0.14 2,054,001 Diageo 38,174 2.45 769,899 SABMiller 32,074 2.06

74,129 4.76

Chemicals – 0.65%; 2015 0.72% 113,264 Croda International 3,378 0.22 374,895 Elementis 859 0.05 158,064 Johnson Matthey 3,978 0.26 243,598 Synthomer 736 0.05 66,347 Victrex 1,029 0.07

9,980 0.65

350 UK equity tracker portfolio Statement at 29 February 2016

750



Construction & Materials – 1.00%; 2015 0.86% 567,419 Balfour Beatty 1,421 0.09 664,084 CRH 12,100 0.78 117,302 Ibstock 231 0.01 60,997 Keller 494 0.03 75,030 Kier 989 0.06 79,847 Marshalls 230 0.01 95,649 Polypipe 297 0.02

15,762 1.00

electricity – 0.76%; 2015 0.82% 333,673 Drax 769 0.05 803,564 SSE 11,089 0.71

11,858 0.76

electronic & electrical equipment – 0.35%; 2015 0.42% 309,304 Halma 2,719 0.17 252,039 Morgan Advanced Materials 531 0.03 32,922 Renishaw 570 0.04 100,546 Spectris 1,790 0.11

5,610 0.35

equity Investment Instruments – 2.35%; 2015 2.08% 482,460 3i Infrastructure 835 0.05 83,523 Aberforth Smaller Companies Investment Trust 834 0.05 467,860 Alliance Trust 2,313 0.15 101,097 Bankers Investment Trust 572 0.04 35,624 BH Macro 716 0.05 338,012 BlueCrest AllBlue Fund 629 0.04 119,952 British Empire Securities & General Investment Trust 522 0.03 29,997 Caledonia Investments 675 0.04 254,350 City of London Investment Trust 914 0.06 173,667 Edinburgh Investment Trust 1,171 0.07 22,686 Electra Investment Trust 749 0.05 491,944 F&C Investment Trust 2,100 0.13 505,249 Fidelity China Special Situations Investment Trust 623 0.04 383,775 Fidelity European Values Investment Trust 616 0.04 68,736 Finsbury Growth & Income Trust 403 0.03 355,270 GCP Infrastructure Investments Fund 423 0.03 122,241 Genesis Emerging Markets Fund 547 0.03 58,000 HarbourVest 520 0.03 1,056,717 HICL Infrastructure 1,643 0.11 851,676 International Public Partnership 1,211 0.08


602,014 John Laing Infrastructure Fund 704 0.04 246,791 JP Morgan American Investment Trust 683 0.04 115,681 JP Morgan Emerging Markets Investment Trust 604 0.04 86,276 Mercantile Investment Trust 1,353 0.09 195,093 Monks Investment Trust 772 0.05 112,725 Murray International Trust 948 0.06 1,113,145 NB Global Floating Rate Income Fund 938 0.06 38,692 P2P Global Investments 333 0.02 10,003 P2P Global Investments class ‘C’ shares 86 0.01 209,555 Perpetual Income & Growth Investment Trust 809 0.05 115,293 Polar Capital Technology Trust 640 0.04 522,315 Renewables Infrastructure 518 0.03 112,531 RIT Capital Partners 1,736 0.11 43,446 Riverstone Energy 352 0.02 100,646 Scottish Investment Trust 588 0.04 1,076,358 Scottish Mortgage Investment Trust 2,684 0.17 58,957 Temple Bar Investment Trust 580 0.04 285,576 Templeton Emerging Markets Investment Trust 1,157 0.07 289,185 TR Property Investment Trust 805 0.05 172,840 Witan Investment Trust 1,261 0.08 638,489 Woodford Patient Capital Trust 569 0.04 43,371 Worldwide Healthcare Trust 738 0.05

36,874 2.35

Financial Services – 3.16%; 2015 2.80% 800,694 3i 3,463 0.22 793,218 Aberdeen Asset Management 1,910 0.12 289,805 Ashmore 663 0.04 249,448 Brewin Dolphin 635 0.04 125,558 Close Brothers 1,657 0.11 177,028 Hargreaves Lansdown 2,193 0.14 875,065 Henderson 2,051 0.13 437,877 ICAP 1,877 0.12 289,935 IG 2,217 0.14 224,699 IMI 1,911 0.12 265,360 Intermediate Capital 1,530 0.10 206,143 International Personal Finance 535 0.03 417,181 Investec 1,958 0.13 384,630 IP 703 0.04 299,785 John Laing 613 0.04 345,593 Jupiter Fund Management 1,377 0.09 184,717 Just Retirement 242 0.02 257,110 London Stock Exchange 6,883 0.44



1,304,337 Man 2,017 0.13 236,742 Paragon 730 0.05 119,263 Provident Financial 3,821 0.25 41,525 Rathbone Brothers 937 0.06 94,053 Schroders 2,437 0.16 1,612,069 Standard Life 5,334 0.34 153,703 SVG Capital 741 0.05 206,774 Tullett Prebon 709 0.05

49,144 3.16

Fixed Line telecommunications – 2.33%; 2015 1.96% 6,825,555 BT 33,148 2.13 2,312,278 Cable & Wireless 1,746 0.11 437,325 Talktalk Telecom 977 0.06 52,858 Telecom Plus 439 0.03

36,310 2.33

Food & Drug Retailers – 1.49%; 2015 1.60% 1,295,290 Booker 2,124 0.14 81,688 Greggs 841 0.05 1,176,976 J Sainsbury 2,959 0.19 327,327 Ocado 834 0.05 379,369 SSP 1,075 0.07 6,601,332 Tesco 11,876 0.76 1,811,993 Wm Morrison Supermarkets 3,553 0.23

23,262 1.49

Food producers – 2.88%; 2015 2.40% 287,796 Associated British Foods 9,710 0.62 44,560 Cranswick 881 0.06 120,435 Dairy Crest 702 0.04 328,551 Greencore 1,247 0.08 382,654 Tate & Lyle 2,204 0.14 982,684 Unilever 30,139 1.94

44,883 2.88

Forestry & paper – 0.25%; 2015 0.23% 304,844 Mondi 3,908 0.25



Gas, Water & Multiutilities – 3.22%; 2015 2.85% 4,113,014 Centrica 8,530 0.55 3,072,528 National Grid 29,545 1.90 344,282 Pennon 2,777 0.18 194,090 Severn Trent 4,121 0.26 559,304 United Utilities 5,134 0.33

50,107 3.22

General Industrials – 0.80%; 2015 0.68% 788,380 DS Smith 3,018 0.19 588,199 Rexam 3,567 0.23 246,687 RPC 1,805 0.12 328,454 Smiths 3,288 0.21 244,566 Vesuvius 742 0.05

12,420 0.80

General Retailers – 2.73%; 2015 2.32% 512,141 AA 1,461 0.09 531,417 B&M European Value Retail 1,533 0.10 156,462 Card Factory 526 0.03 1,082,107 Debenhams 857 0.05 44,315 Dignity 1,094 0.07 809,416 Dixons Carphone 3,502 0.22 82,348 Dunelm 807 0.05 150,209 Halfords 601 0.04 665,309 Home Retail 1,171 0.07 358,500 Inchcape 2,621 0.17 51,259 JD Sports Fashion 581 0.04 383,792 JUST EAT 1,526 0.10 1,924,382 Kingfisher 6,451 0.41 120,000 Lookers 186 0.01 1,357,656 Marks & Spencer 5,736 0.37 138,482 N Brown 459 0.03 121,686 Next 8,244 0.53 941,229 Pendragon 348 0.02 313,285 Pets at Home 840 0.05 159,114 Poundland 287 0.02 584,586 Saga 1,105 0.07 205,649 Sports Direct International 815 0.05 93,680 WH Smith 1,696 0.11 172,360 Zoopla Property 399 0.03

42,846 2.73





Healthcare equipment & Services – 0.87%; 2015 0.68% 322,192 Al Noor Hospitals 2,697 0.17 56,938 NMC Health 505 0.03 742,523 Smith & Nephew 8,688 0.56 189,894 Spire Healthcare 651 0.04 198,026 UDG Healthcare 1,122 0.07

13,663 0.87

Household Goods & Home Construction – 3.79%; 2015 2.97% 822,792 Barratt Developments 4,813 0.31 98,207 Bellway 2,492 0.16 102,537 Berkeley 3,394 0.22 110,756 Bovis Homes 1,054 0.07 206,814 Crest Nicholson 1,156 0.07 64,600 Galliford Try 940 0.06 249,509 Persimmon 5,514 0.35 518,466 Reckitt Benckiser 33,980 2.18 166,975 Redrow 727 0.05 2,638,594 Taylor Wimpey 4,918 0.32

58,988 3.79

Industrial engineering – 0.36%; 2015 0.61% 148,185 Bodycote 852 0.05 118,210 Melrose Industries 388 0.02 723,170 Rotork 1,156 0.07 57,092 Spirax-Sarco Engineering 1,774 0.11 174,573 Weir 1,655 0.11

5,825 0.36

Industrial Metals & Mining – 0.02%; 2015 0.05% 453,185 Evraz 311 0.02

Industrial transportation – 0.34%; 2015 0.22% 848,716 BBA Aviation 1,641 0.11 16,186 Clarkson 310 0.02 711,919 Royal Mail 3,231 0.21

5,182 0.34


Life Insurance – 4.04%; 2015 5.09% 3,311,365 Aviva 14,318 0.92 4,836,724 Legal & General 10,863 0.70 4,043,246 Old Mutual 6,781 0.44 188,488 Phoenix 1,599 0.10 2,081,032 Prudential 25,763 1.65 429,848 St. James’s Place Capital 3,634 0.23

62,958 4.04

Media – 4.05%; 2015 3.56% 656,518 Auto Trader 2,386 0.15 865,792 British Sky Broadcasting 9,013 0.58 253,081 Entertainment One 388 0.02 34,146 Euromoney Institutional Investor 305 0.02 545,075 Informa 3,723 0.24 3,095,236 ITV 7,716 0.50 350,282 Moneysupermarket.com 1,178 0.08 672,420 Pearson 5,786 0.37 916,734 RELX 11,358 0.73 77,040 Rightmove 2,920 0.19 371,304 UBM 2,168 0.14 1,057,566 WPP 15,969 1.03

62,910 4.05

Mining – 3.91%; 2015 6.44% 133,837 Acacia Mining 330 0.02 1,076,229 Anglo American 5,115 0.33 299,151 Antofagasta 1,483 0.10 1,723,483 BHP Billiton 12,545 0.81 930,530 Centamin 858 0.06 131,263 Fresnillo 1,338 0.09 9,652,731 Glencore 12,964 0.83 212,943 Polymetal International 1,396 0.09 76,935 Randgold Resources 5,082 0.33 1,004,312 Rio Tinto 19,092 1.23 90,064 Vedanta Resources 243 0.02

60,446 3.91

Mobile telecommunications – 3.26%; 2015 3.00% 364,509 Inmarsat 3,565 0.23 21,663,342 Vodafone 47,139 3.03

50,704 3.26




Non-equity Investment Instruments – 0.07%; 2015 0.06% 95,533 Kennedy Wilson Europe Real Estate 1,050 0.07

Non-Life Insurance – 1.10%; 2015 1.14% 160,243 Admiral 2,769 0.18 429,179 Beazley 1,541 0.10 1,122,438 Direct Line 4,357 0.28 181,493 esure 443 0.03 61,525 Hastings 93 0.01 237,836 Hiscox 2,395 0.15 105,425 Jardine Lloyd Thompson 844 0.05 167,619 Lancashire 991 0.06 851,259 RSA Insurance 3,693 0.24

17,126 1.10

oil & Gas producers – 10.38%; 2015 12.26% 14,823,088 BP 51,903 3.33 512,051 Cairn Energy 839 0.05 53,086 Nostrum Oil & Gas 135 0.01 578,975 Ophir Energy 445 0.03 3,288,918 Royal Dutch Shell class ‘A’ shares 54,285 3.48 3,205,826 Royal Dutch Shell class ‘B’ shares 52,928 3.40 730,236 Tullow Oil 1,220 0.08

161,755 10.38

oil equipment, Services & Distribution – 0.25%; 2015 0.25% 291,325 John Wood 1,800 0.12 219,492 Petrofac 1,970 0.13

3,770 0.25

personal Goods – 0.42%; 2015 0.50% 363,097 Burberry 4,706 0.30 93,536 Jimmy Choo 123 0.01 271,900 PZ Cussons 705 0.05 29,074 SuperGroup 385 0.02 23,081 Ted Baker 683 0.04

6,602 0.42

pharmaceuticals and Biotechnology – 7.97%; 2015 8.11% 1,029,044 AstraZeneca 42,762 2.75 309,877 BTG 1,948 0.12 103,355 Circassia Pharmaceuticals 282 0.02 78,523 Dechra Pharmaceuticals 920 0.06 54,984 Genus 782 0.05


3,953,860 GlaxoSmithKline 55,354 3.56 110,623 Hikma Pharmaceuticals 2,091 0.13 532,426 Indivior 896 0.06 479,326 Shire 18,459 1.19 300,000 Vectura 485 0.03

123,979 7.97

Real estate Investment & Services – 0.47%; 2015 0.45% 604,692 Capital & Counties Properties 1,953 0.13 12,277 CLS 178 0.01 130,711 Countrywide 459 0.03 4,440 Daejan 246 0.02 479,821 F&C Commercial Property Trust 622 0.04 372,427 Grainger Trust 814 0.05 828,499 Redefine International 349 0.02 110,848 Savills 738 0.05 159,005 St. Modwen Properties 521 0.03 368,187 UK Commercial Property Trust 288 0.02 178,033 Unite 1,092 0.07

7,260 0.47

Real estate Investment trusts – 2.22%; 2015 1.98% 1,201,317 Assura 613 0.04 125,953 Big Yellow 941 0.06 850,750 British Land 5,547 0.36 83,634 Derwent 2,523 0.16 283,045 Great Portland Estates 1,967 0.13 650,075 Hammerson 3,527 0.23 612,395 Hansteen 661 0.04 785,917 Intu Properties 2,336 0.15 651,236 Land Securities 6,499 0.42 460,520 LondonMetric Property 723 0.05 121,562 Safestore 404 0.03 595,998 Segro 2,433 0.16 236,298 Shaftesbury 1,998 0.13 591,015 Tritax Big Box 771 0.05 102,595 Workspace 744 0.05 836,610 Worldpay 2,491 0.16

34,178 2.22




Software & Computer Services – 0.70%; 2015 0.58% 65,814 Allied Minds 198 0.01 160,215 AO World 256 0.02 51,627 AVEVA 779 0.05 61,638 Computacenter 505 0.03 33,563 Fidessa 748 0.05 156,625 Micro Focus International 2,290 0.15 171,688 NCC 496 0.03 895,820 Sage 5,263 0.34 145,233 Sophos 306 0.02

10,841 0.70

Support Services – 4.79%; 2015 4.85% 196,007 Aggreko 1,720 0.11 322,878 Amec Foster Wheeler 1,180 0.08 417,339 Ashtead 3,769 0.24 416,160 Babcock International 3,818 0.25 137,125 Berendsen 1,576 0.10 271,774 Bunzl 5,240 0.34 545,857 Capita 5,464 0.35 351,782 Carillion 953 0.06 73,309 DCC 4,124 0.26 102,648 Diploma 724 0.05 390,397 Electrocomponents 938 0.06 206,515 Essentra 1,707 0.11 798,141 Experian 9,354 0.60 1,299,490 G4S 2,680 0.17 178,602 Grafton 1,195 0.08 1,182,719 Hays 1,344 0.09 230,522 HomeServe 929 0.06 512,723 Howden Joinery 2,516 0.16 127,271 Interserve 542 0.03 134,636 Intertek 3,904 0.25 236,694 Michael Page International 878 0.06 294,879 Mitie 821 0.05 117,615 Northgate 473 0.03 58,734 PayPoint 436 0.03 519,870 Regus 1,496 0.10 1,483,876 Rentokil Initial 2,471 0.16 918,437 Serco 866 0.06 416,791 SIG 576 0.04 200,897 Travis Perkins 3,554 0.23


215,334 Wolseley 7,950 0.51 81,675 WS Atkins 1,040 0.07

74,238 4.79

technology Hardware & equipment – 0.77%; 2015 0.93% 1,146,660 ARM 11,272 0.72 232,519 Laird 785 0.05

12,057 0.77

tobacco – 5.69%; 2015 4.80% 1,514,301 British American Tobacco 59,096 3.80 785,768 Imperial Brands 29,388 1.89

88,484 5.69

travel & Leisure – 5.02%; 2015 4.20% 149,410 Carnival 5,300 0.34 150,762 Cineworld 796 0.05 1,344,330 Compass 16,777 1.08 103,803 Domino’s Pizza 1,082 0.07 208,042 easyJet 3,092 0.20 459,870 Enterprise Inns 398 0.03 955,004 FirstGroup 881 0.06 37,764 Go-Ahead 989 0.06 257,384 Greene King 2,324 0.15 193,694 InterContinental Hotels 5,230 0.34 1,517,656 International Consolidated Airlines 8,286 0.53 81,122 JD Wetherspoon 585 0.04 821,632 Ladbrokes 1,107 0.07 506,440 Marston’s 803 0.05 587,443 Merlin Entertainments 2,666 0.17 119,746 Millennium & Copthorne Hotels 502 0.03 201,541 Mitchells & Butlers 566 0.04 373,162 National Express 1,237 0.08 68,734 Paddy Power Betfair 7,396 0.47 168,227 Playtech 1,419 0.09 92,032 Rank 230 0.01 161,590 Restaurant 871 0.06 352,547 Stagecoach 955 0.06 1,219,380 Thomas Cook 1,235 0.08 384,697 TUI 4,109 0.26 151,362 Whitbread 5,853 0.38 711,219 William Hill 2,868 0.18 32,228 Wizz Air 589 0.04

78,146 5.02


DeRIVAtIVeS – 0.05%; 2015 0.05%

Forward Currency Contracts – 0.00%; 2015 0.00% £1,885,646 UK sterling vs US dollar 1,949 (63) –

Futures – 0.05%; 2015 0.05% 413 FTSE 100 Index March 2016 25,013 774 0.05

Portfolio of investments 1,544,244 99.20 Net other asset 12,408 0.80


Unless otherwise stated, all securities are either listed on a recognised exchange or traded on an eligible securities market.Note: comparative figures show percentages for each category of holding at 28 February 2015.# The Counterparty for the forward currency contract is JP Morgan.Underlying exposure has been calculated according to the guidelines issued by the European Securities and Markets Authority (“ESMA”) and represents the market value of an equivalent position in the assets underlying each financial derivative instrument.



350 UK equity tracker Statement of total Return for the year ended 29 February 2016

Notes £000’s


£000’s £000’s


£000’s

Income


Revenue 4 66,172 42,775

Expenses 5 (3,529) (2,636)


Taxation 6 (253) (185)



Distributions 7 (58,817) (37,080)


350 UK equity tracker Statement of Change in Net Assets Attributable to Unitholders for the year ended 29 February 2016

£000’s


£000’s £000’s


£000’s




(67,382) 619,295





350 UK equity tracker Balance Sheet at 29 February 2016

Notes

29.2.2016£000’s

28.2.2015£000’s

Assets:

Fixed assets


Current assets

– Debtors 8 9,429 6,328


– Pledged cash collateral 1,315 –

Total assets 1,569,721 1,809,994

Liabilities:


Creditors



– Other creditors 9 (774) (1,370)




350 UK equity tracker Notes to Financial Statements for the year ended 29 February 2016





£000’s


£000’s








4. Revenue


£000’s


£000’s


Manager’s charge rebates – 3









5. Expenses


£000’s


£000’s



3,387 2,518

Other expenses:

– Audit fee 9 5



142 118




£000’s


£000’s





£000’s


£000’s



Effects of:




Non taxable overseas dividends (1,276) (547)



At 29 February 2016, the Fund had surplus management expenses of £000 5,548 (28 February 2015: £000 3,016). It is unlikely that the Fund will generate sufficient taxable profits in the future to utilise these expenses and, therefore, a deferred tax asset of £000 1,110 (28 February 2015: £000 603) has not been recognised.


7. Distributions


£000’s


£000’s



57,812 39,371


Less: Amounts received on issue of units (738) (3,123)






8. Debtors

29.2.2016 £000’s

28.2.2015£000’s


Amounts receivable from brokers on futures contracts – 38

Amounts receivable on issue of units 256 –



9. Other Creditors

29.2.2016 £000’s

28.2.2015 £000’s







Total other creditors 774 1,370












29.2.2016£000’s

28.2.2015£000’s


The Fund’s securities lending borrowing counterparties Citigroup, Credit Suisse International, HSBC, JP Morgan Chase Securities Plc, Morgan Stanley & Co., Skandinaviska Enskilda AB, Société Générale and UBS.
















£000’s %Taxes

£000’s %








£000’s %Taxes

£000’s %













£000’s %Taxes

£000’s %


Collective investment schemes 495 – – 1 0.15








£000’s %Taxes

£000’s %

















L IncomeUnits


X Income Units



Balance at the beginning of the year 100 981,184,498 642,112,536 100 100 2,008

Issued during the year 43,860 57,745,187 48,002,170 – – 186,099

Cancelled during the year – (76,450,000) (89,573,212) – – (462)

Converted during the year – – – – – –

Balance at the end of the year 43,960 962,479,685 600,541,494 100 100 187,645



350 UK equity tracker Notes to Financial Statements continued Statement of Manager’s and trustee’s Responsibilities

The Manager is required by the terms of the Sourcebook to prepare the financial statements for each financial year. These financial statements must be prepared in accordance with generally accepted accounting standards in the United Kingdom to give a true and fair view of the state of affairs of the Trust at the year end and of the net revenue for the year.

The financial statements should comply with the disclosure requirements of the Statement of Recommended Practice (the “SORP”) for Authorised Funds issued by the Investment Management Association (subsequently The Investment Association) and must comply with any relevant provisions of the Trust Deed.

The Manager is responsible for keeping such accounting records as are necessary to enable it to ensure that the financial statements comply with the Sourcebook, the SORP and the Trust Deed.

The Trustee is responsible for the safekeeping of all the property of the Scheme (other than tangible moveable property) which is entrusted to it and for the collection of revenue that arises from that property.

It is the duty of the Trustee to take reasonable care to ensure that the Scheme is managed in accordance with the Sourcebook, the Trust’s Trust Deed and Prospectus, in relation to the pricing of, and dealings in, units in the Trust; the application of revenue of the Scheme; and the investment and borrowing powers of the Trust.

Report of the trustee

Having carried out such procedures as we considered necessary to discharge our responsibilities as Trustee of the Trust, it is our opinion, based on the information available to us and the explanations provided, that, in all material respects, the Manager:

(i) has carried out the issue, sale, redemption and cancellation, and calculation of the price of the Trust’s units and the application of the Trust’s revenue in accordance with the Sourcebook, the Trust Deed and Prospectus, and

(ii) has observed the investment and borrowing powers and restrictions applicable to the Trust.

BNY Mellon Trust & Depositary London(UK) Limited 28 April 2016


Independent Auditor’s Report to the Unitholders of BlackRock Collective Investment FundsWe have audited the financial statements of BlackRock Collective Investment Funds (the “Trust”) for the year ended 29 February 2016 which comprise the Statement of Total Return and the Statement of Changes in Net Assets Attributable to Unitholders together with the Balance Sheet for each of the Trust’s sub-funds, the accounting policies of the Trust, the related notes for each sub-fund and the Distribution Table(s). The financial reporting framework that has been applied in their preparation is applicable law and United Kingdom Accounting Standards (United Kingdom Generally Accepted Accounting Practice).

This report is made solely to the unitholders of the Trust, as a body, pursuant to Paragraph 4.5.12 of the rules of the Collective Investment Schemes Sourcebook of the Financial Conduct Authority. Our audit work has been undertaken so that we might state to the unitholders those matters we are required to state to them in an auditor’s report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Trust and the unitholders as a body, for our audit work, for this report, or for the opinions we have formed.

Respective responsibilities of the Manager and AuditorAs explained more fully in the Manager’s responsibilities statement set out on page 770, the Manager is responsible for the preparation of the financial statements and for being satisfied that they give a true and fair view.

Our responsibility is to audit and express an opinion on the financial statements in accordance with applicable law and International Standards on Auditing (UK and Ireland). Those standards require us to comply with the Auditing Practices Board’s Ethical Standards for Auditors.

Scope of the audit of the financial statementsAn audit involves obtaining evidence about the amounts and disclosures in the financial statements sufficient to give reasonable assurance that the financial statements are free from material misstatement, whether caused by fraud or error. This includes an assessment of:

` �whether the accounting policies are appropriate to the Trust’s circumstances and have been consistently applied and adequately disclosed;

` the reasonableness of significant accounting estimates made by the Manager; and

` the overall presentation of the financial statements.

In addition, we read all the financial and non-financial information in the Annual Report to identify material inconsistencies with the audited financial statements and to identify any information that is apparently materially incorrect based on, or materially inconsistent with, the knowledge acquired by us in the course of performing the audit. If we become aware of any apparent material misstatements or inconsistencies we consider the implications for our report.

Opinion on financial statementsIn our opinion:

` �the financial statements give a true and fair view of the financial position of the Trust comprising each of its sub-funds as at 29 February 2016 and of the net revenue or expense and the net capital gains or losses on the scheme property of the Trust comprising each of its sub-funds for the year then ended; and

` �the financial statements have been properly prepared in accordance with United Kingdom Generally Accepted Accounting Practice.

Opinion on other matters prescribed by the rules of the Collective Investment Schemes Sourcebook of the Financial Conduct Authority In our opinion:

` �the financial statements have been properly prepared in accordance with the Statement of Recommended Practice relating to Authorised Funds, the rules of the Collective Investment Schemes Sourcebook of the Financial Conduct Authority ) and the Instrument of Incorporation;

` �the information given in the Manager’s report for the financial year for which the financial statements are prepared is consistent with the financial statements;

` �there is nothing to indicate that proper accounting records have not been kept or that the financial statements are not in agreement with those records; and

` �we have received all the information and explanations which, to the best of our knowledge and belief, are necessary for the purposes of our audit.

Ernst & Young LLP EdinburghStatutory Auditor 28 April 2016


Notes

Manager & RegistrarBlackRock Fund Managers Limited12 Throgmorton Avenue, London EC2N 2DLTelephone: 020 7743 3000 Dealing and Investor Services: 0800 44 55 22

Member of The Investment Association (formerly the Investment Management Association) and authorised and regulated by the Financial Conduct Authority.

Directors of the ManagerG D Bamping* R A Damm N C D Hall* R A R Hayes A M Lawrence A J Stenning E E TraceyM T Zemek* (appointed 2 June 2015)* Non-executive Director.

TrusteeBNY Mellon Trust & Depositary (UK) Limited160 Queen Victoria Street, London EC4V 4LA

Authorised and regulated by the Financial Conduct Authority.

Investment Manager BlackRock Investment Management (UK) Limited12 Throgmorton Avenue, London EC2N 2DL

Authorised and regulated by the Financial Conduct Authority.

AuditorErnst & Young LLP1 More London Place, London SE1 2AF

CustodianThe Bank of New York Mellon (International) Limited1 Canada Square, London E14 5AL

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

BlackRock’s proxy voting agent is ISS (Institutional Shareholder Services).

This Report relates to the packaged products of and is issued by:BlackRock Fund Managers Limited12 Throgmorton Avenue, London EC2N 2DLTelephone: 020 7743 3000Dealing and Investor Services: 0800 44 55 22blackrock.co.uk

For your protection, telephone calls are usually recorded.

General Information

For more information0800 44 55 22blackrock.co.uk

ABOUT USBlackRock is a premier provider of asset management, risk management, and advisory services to institutional, intermediary, and individual clients worldwide. As of 31 March 2016, the fi rm manages £3.29 trillion across asset classes in separate accounts, mutual funds, other pooled investment vehicles, and the industry-leading iShares® exchange-traded funds.

Through BlackRock Solutions®, the fi rm offers risk management and advisory services that combine capital markets expertise with proprietarily-developed analytics, systems, and technology. Through BlackRock Solutions®, the Firm provides risk management and enterprise investment services for over 200 clients. BlackRock serves clients in North and South America, Europe, Asia, Australia, Africa, and the Middle East. Headquartered in New York, the fi rm maintains offi ces in over 30 countries around the world.