NORTHERN TRUST GLOBAL FUNDS PLC

Transcription

1 NORTHERN TRUST GLOBAL FUNDS PLC INTERIM REPORT AND UNAUDITED FINANCIAL STATEMENTS FOR THE SIX MONTHS ENDED 31 JULY 2017

2 (Company Number: ) Interim Report and Unaudited Financial Statements for the Six Months Ended 31 July 2017

3 Contents Page Directory 2 General Information 3 Fund Summary Information 5 Investment Advisor s Report US Dollar Fund 6 Sterling Fund 7 Euro Liquidity Fund 8 Statement of Comprehensive Income 9 Statement of Financial Position 11 Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders 13 Notes to the Financial Statements 15 Portfolio of Investments US Dollar Fund 28 Sterling Fund 33 Euro Liquidity Fund 40 Material Purchases and Maturities US Dollar Fund 48 Sterling Fund 49 Euro Liquidity Fund 50 Securities Financing Transactions Regulation 51 1

4 Directory Registered Office Georges Court Townsend Street Dublin 2 Ireland Depositary Northern Trust Fiduciary Services (Ireland) Limited Georges Court Townsend Street Dublin 2 Ireland Independent Auditor KPMG Chartered Accountants 1 Harbourmaster Place International Financial Services Centre Dublin 1 Ireland Legal Advisers in Ireland Maples and Calder 75 St. Stephen s Green Dublin 2 Ireland Sponsoring Member Firm Maples and Calder 75 St. Stephen s Green Dublin 2 Ireland Directors of the Company Michael Boyce* Gerry Brady* Eleanor Fitzgerald (resigned 21 April 2017) John Fitzpatrick* Hazel McNeilage James Wright *Independent Directors of the Company Administrator Northern Trust International Fund Administration Services (Ireland) Limited Georges Court Townsend Street Dublin 2 Ireland Investment Adviser Northern Trust Global Investments Limited Bank Street Canary Wharf London, E14 5NT England Secretary Northern Trust International Fund Administration Services (Ireland) Limited Georges Court Townsend Street Dublin 2 Ireland Manager Northern Trust Fund Managers (Ireland) Limited Georges Court Townsend Street Dublin 2 Ireland 2

5 General Information The following information is derived from and should be read in conjunction with the full text and definitions section of the Prospectus. Northern Trust Global Funds plc (the Company ) was incorporated on 27 February 1996 with limited liability as an open-ended investment designated company with variable capital under the laws of Ireland and was listed on the Irish Stock Exchange until the 10 March The Company was initially authorised by the Central Bank of Ireland under Part XIII of the Companies Act, The Company applied for this authorisation to be revoked and applied for authorisation instead by the Central Bank of Ireland as an undertaking for collective investment in transferable securities pursuant to the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011, supplemented or consolidated from time to time. The original authorisation was granted on 30 June At 31 July 2017, the Company is comprised of three separate portfolios of assets (each a Fund ), which are represented by separate classes of shares. These are the US Dollar Fund, Sterling Fund, and Euro Liquidity Fund. The US Dollar Fund and Sterling Fund are managed with a constant NAV. The NAV is maintained at US$1.00 for the US Dollar Fund and 1.00 for the Sterling Fund. The Euro Liquidity Fund was launched on the 15 August 2014 as a variable NAV short-term money market fund. The share classes of the Fund are accumulating classes. The Fund does not seek to maintain a stable Net Asset Value and as a result, the Fund s Net Asset Value per Share will vary and reflect the effects of unrealised appreciation and depreciation and realised losses and gains. With the consent of the Central Bank of Ireland, the Company from time to time may create an additional fund or funds, the investment policy and objectives for which shall be outlined in a Supplemental Prospectus. Fund holdings are available on the northerntrust.com/pooled funds website. Some clients receive additional information and/or reports on a more frequent basis. Please contact your Relationship Manager to discuss any further reporting needs. The Company is an umbrella fund with segregated liability between the Funds. Investment Objective The objective of the US Dollar Fund, Sterling Fund and Sterling Government Liquidity Fund is to preserve capital, maintain liquidity and generate current income by investing in short term and fund rate debt securities of governments and explicitly guaranteed agencies denominated in the Funds Base Currency. The objective of the Euro Liquidity Fund is to achieve a return in line with prevailing money market rates by investing in high quality fixed income or adjustable rate securities denominated in the Base Currency of the Fund whilst aiming to preserve capital consistent with such rates and to maintain a high degree of liquidity. Prices There is a single price for buying, selling and switching Shares in the Company. This is represented by the Net Asset Value per Share. Other than the reservation of the right to impose a switching charge of up to 1.00% upon the conversion of Shares and a redemption fee of up to 2% in the event a Shareholder purchases and sells Shares on a short term basis or for trading or arbitrage purposes, the Company does not currently propose to charge a fee on the issue, conversion, transfer or redemption of Shares. However, the Company reserves the right in the future to charge a fee on the issue, conversion, transfer or repurchase of Shares of up to 1.00% of the value of the Shares issued, converted, transferred or repurchased. Dealing Any application received by the Administrator after the relevant deadline on the relevant Dealing Day, where the relevant Dealing Day is defined as each Business Day where the Net Asset Value is determined, shall be deferred until the next succeeding Dealing Day. Shares Each Fund may issue one or more classes of Shares. Shares may be issued as Accumulating Shares or Distributing Shares. It is the present intention that only Distributing Shares will be issued for the US Dollar Fund, Sterling Fund and Sterling Government Liquidity Fund and only Accumulating Shares will be issued for the Euro Liquidity Fund. 3

6 General Information (Continued) Minimum Investment The minimum initial investment per Shareholder is the currency equivalent of at least US$100,000 for the US Dollar Fund, 100,000 for the Sterling Fund and 100,000 for the Euro Liquidity Fund and the minimum subsequent investment is the currency equivalent of at least US$1,000 for the US Dollar Fund, 1,000 for the Sterling Fund and 1,000 for the Euro Liquidity Fund. Dividends It is the intention of the Directors to declare a dividend on each Dealing Day in respect of the Distributing Shares of the US Dollar Fund and Sterling Fund. Such dividends will be paid monthly in cash, unless the Shareholder elects in writing to receive the dividends in the form of additional Shares. No dividend will be declared in respect of the Accumulating Shares of the Euro Liquidity Fund. 4

7 FUND SUMMARY INFORMATION Historical Information Net Asset Value Number of shares in issue Net Asset Value per Share 31 July 2017 US Dollar Fund US$10,935,419,579 10,935,419,579 US$1.00 Sterling Fund 11,664,143,620 11,664,143, Euro Liquidity Fund 2,491,472,242 2,518,230, January 2017 US Dollar Fund US$7,875,390,061 7,875,390,061 US$1.00 Sterling Fund 9,867,145,014 9,867,145, Euro Liquidity Fund 2,223,040,354 2,240,460, January 2016 US Dollar Fund US$7,818,626,461 7,818,626,461 US$1.00 Sterling Fund 7,187,462,414 7,187,462, Sterling Government Liquidity Fund 39,899,431 39,899, Euro Liquidity Fund 1,745,191,704 1,750,389, The Sterling Government Liquidity Fund ceased trading on 15 March

8 US Dollar Fund - Investment Adviser s Report for Six Months Ended 31 July 2017 Performance Data 3mths 6mths 1 year 3 year Fund 0.11% 0.55% 0.94% 0.52% Benchmark 0.09% 0.43% 0.63% 0.28% Performace Commentary Over the period, the fund returned 0.55% in the six months ending July 2017 versus a 0.43% return from the benchmark index. The AUM increased by approximately 38.86% since the end of January to $10.94bn by the end of July. As with the nature of the product, considerable client flows were experienced, but there were no material movements that impacted the portfolio strategy or investment yield. During the July meeting, the Federal Open Market Committee (FOMC) kept the target range for federal funds rate unchanged at % and made only minor modifications to the statement. The Committee pointed to solid employment growth and acknowledged lower inflation prints, which was broadly in line with pre-meeting expectations. The timing of balance sheet normalization appears to be approaching, as the Committee now expects to start the process relatively soon rather than this year, as indicated during the June meeting. The minutes from the March meeting revealed an optimistic FOMC that saw the possibility for further two hikes and changes to reinvestment policy later this year, as the economy developed in line with December forecasts. Participants described their inflation objective as symmetric and continued to express caution around the timing and impact of fiscal policy. The FOMC stated that if the balance sheet calibration was to start later this year, it will be communicated well in advance and will focus on phasing out reinvestments both in Treasury and agency MBS securities. April also marked the first 100 days in the office for President Trump. During the May meeting, the FOMC left policy unchanged, as widely expected. The key release was included in the statement, where the Committee acknowledged softer inflation print and weaker Q1 GDP growth, but described both as transitory. More interestingly, the minutes provided further insight into Fed s thinking around balance sheet normalization process, which is expected to start this year. During the June meeting, the FOMC raised the target range for federal funds rate to % in a widely anticipated move, justified by the strength of labour market and improved household spending. The Q2 GDP growth increased to 2.6%y/y, supported by consumer spending and lesser inventory drag. Non-farm payrolls headline print surprised to the upside in June (222k), with cumulative upward revisions for prior two months. The unemployment rate edged higher to 4.4% in June, whilst average hourly earnings were modestly higher (0.2%m/m, 2.5%y/y). Inflation prints were below market expectations with headline CPI print flat and core rising 0.1%m/m (1.6%y/y and 1.7%y/y, respectively). The US retail sales were weaker than expected and fell 0.2%m/m in June. The Consumer Confidence Index rose in July (121.1 vs 118.9), whilst personal income and spending were unchanged. ISM manufacturing index jumped to 57.8 in June and new orders index rose in June, which contrasts with a decline in the Markit manufacturing PMI (52.0 vs 52.7 prior). We continue to take a more cautious investment approach and place a high focus on liquidity management and quality investments. There were no domestic political events that materially changed the investment landscape within which the fund operates. Northern Trust Global Investments Limited Investment Adviser September

9 Sterling Fund - Investment Adviser s Report for Six Months Ended 31 July 2017 Performance Data 3 months 6 months 1 year 3 year Fund 0.07% 0.14% 0.33% 0.46% Benchmark 0.03% 0.06% 0.12% 0.28% Performance Commentary Over the period, the fund returned 0.14% in the six months ending July 2017 versus a 0.06% return from the benchmark index. The fund s AUM increased by approximately 18.21% and stood at 11.66bn at the end of the 6 month period. As with the nature of the product considerable client flows were experienced, but there were no material movements that impacted the portfolio strategy or investment yield. Without the Monetary Policy Committee (MPC) meeting in April, Brexit and internal politics dominated the news flow. Theresa May surprised markets and public with an announcement of snap elections scheduled for early June. PM May justified her decision by seeking unity at Westminster and a stronger mandate for the forthcoming Brexit negotiations. Initial polling shows significant and rising support for Conservatives, whilst backing for Labour remains unchanged, suggesting that Theresa May could extend the party s working majority in the House of Commons. Meanwhile, during the May meeting, the MPC voted 7-1 to maintain the Bank Rate at 0.25%, with dissent from Kristin Forbes. The Committee inserted hawkish rhetoric into the summary, stating that it might tighten monetary policy sooner than currently implied by markets, if economy develops in line with the May central projections. Separately, the Conservative Party failed to increase parliamentary majority during snap elections and formed coalition with Northern Ireland s DUP to avoid hung parliament. Despite new political situation, Brexit negotiations began. Without MPC meeting in July, market participants closely followed comments from individual Committee members for further tilts towards more hawkish or dovish stance. In the interview with The Independent, MPC member Vlieghe noted that premature hike carries a higher risk than waiting slightly too long. MPC s Broadbent echoed a dovish sentiment and reluctance to hike, as he referred to a lot of imponderables. The initial Q2 GDP growth estimate was in line with market expectations (0.3%q/q), but modestly below estimate presented in May Inflation report (0.4%q/q). The composite PMI for June fell to 53.8 from 54.3 last month, with manufacturing and services sentiment declining further. UK headline inflation came in weaker than expected in June, with a drop to 2.6%y/y from 2.9%y/y in May. The core CPI dropped to 2.4% y/y due to lower contributions from recreation and culture sector. The unemployment reached the BoE s long-term equilibrium rate in May (4.5%), but average earnings continued to disappoint (2.0% 3m/y) keeping real income growth in the negative territory. Retail sales rebounded in June (0.6%m/m), as warm weather and holiday timing driven non-food retail higher. Despite better retail sales figures, GfK Consumer Confidence points to further deterioration in consumer confidence as the index dropped two points in July (-12) and reached the lowest level since EU-referendum last year. We continue to take a more cautious investment approach and place a high focus on liquidity management and quality investments. There were no domestic political events that materially changed the investment landscape within which the fund operates. Northern Trust Global Investments Limited Investment Adviser September

10 Euro Liquidity Fund - Investment Adviser s Report for Six Months Ended 31 July 2017 Performance Data 1mth 3mths YTD Since Inception Fund -0.04% -0.12% -0.26% -0.76% Benchmark -0.05% -0.14% -0.31% -1.11% Performance Commentary The Fund returned -0.26% year to date ending July 2017 versus -0.31% return from the benchmark index. The AUM increased by approximately 12.07% to 2.49bn over the 6 month period. As with the nature of the product considerable client flows were experienced, but there were no material movements that impacted the portfolio strategy or investment yield. During the July meeting, the European Central Bank (ECB) kept all interest rates and non-standard monetary policy measures unchanged. President Draghi reiterated previous forward guidance and stated that there was consensus within the Governing Council on not targeting a specific date for adjustments to the QE programme. Instead, the ECB prefers to assess the outlook in autumn, when new staff forecasts become available, hence keeping next two meetings very much live (September and October). In April, the ECB left all of the policy measures and forward guidance unchanged. President Draghi noted that macroeconomic conditions are improving with downside risks to economy diminishing further and risks becoming closer to balanced. Meanwhile, amongst a high election turnout (close to 80%), centrist Macron and far-right Le Pen emerged from the first round of presidential election with 24% and 21.4% votes, respectively. Whilst the result was broadly in line with recent polls, it underlined the diminishing strength of political establishment and highlights importance of the French parliamentary elections in June. Separately, the EU Council adopted the Money Market Funds Regulation, which introduces new fund structures, fees and gates, minimum liquidity requirements, transparency, rigorous stress testing and is expected to have a significant impact on the industry. During the June meeting, the ECB kept all interest rates and non-standard monetary policy measures unchanged. Euro area flash Q2 GDP grew by 0.6%q/q, improving slightly from Q1 print. The July flash composite PMI declined to 55.8 from 57.3, as contribution from manufacturing sector retreated from recent highs and services sentiment remained stable. The ZEW assessment of current situation moderated in July (86.4) and expectations indicator declined further to 17.5 from 18.6, suggesting slightly weaker momentum in the second half of the year. The Eurozone flash headline inflation was unchanged at 1.3%y/y in July. The core inflation edged up to 1.2%y/y, supported by small improvement in non-energy industrial goods. The Eurozone unemployment continues with steady fall from the 2013 peak (9.1% in June) and youth unemployment is also decreasing. Euro area consumer confidence remains firm, signalling potential for stronger consumer spending in the near future. We continue to take a more cautious investment approach and place a high focus on liquidity management and quality investments. There were no domestic political events that materially changed the investment landscape within which the fund operates. Northern Trust Global Investments Limited Investment Adviser September

11 Statement of Comprehensive Income for the Six Months Ended 31 July January 2017US Dollar Fund US$ 02 January 2017Sterling Fund 04 January 2017Euro Liquidity Fund Notes Investment Income Interest income/(expense) 1 (b) 49,727,665 14,469,444 (5,161,080) 62,525,718 Unrealised loss on investments and currencies (47,423) (52,412) Realised gain on investments and currencies 16,666 12,604 53,767 92,206 Total Investment Income/(Expense) 49,744,331 14,482,048 (5,154,736) 62,565,512 Expenses Investment Adviser fees 9 (3,662,406) (4,899,400) (901,048) (10,923,107) Administration fees 9 (541,395) (612,751) (114,313) (1,451,258) Depositary fees 9 (457,801) (612,425) (112,631) (1,365,389) Transaction costs (3,697) (31,681) (44,207) Auditor's fees (4,535) (3,959) (4,646) (14,732) Directors fees 4 (17,637) (23,612) (6,074) (54,543) Other expenses (55,429) (47,392) (24,503) (143,110) Total Operating Expenses (4,742,900) (6,231,220) (1,163,215) (13,996,346) Net income/(expense) before finance costs 45,001,431 8,250,828 (6,317,951) 48,569,166 Finance Costs Interest expense 1 (b) (21,492) (23,753) Distributions 14 (45,001,431) (8,250,828) (55,551,765) Change in Net Assets Attributable to Holders of Redeemable Participating Shares (6,339,443) (7,006,352) *Includes Sterling Fund figures converted at the average exchange rate of 1=US$ and Euro Liquidity Fund converted at the average exchange rates of 1= US$ The notes on pages 15 to 27 form an integral part of the financial statements. 05 January 2017Total US$ 9

12 Statement of Comprehensive Income for the Six Months Ended 31 July January 2017US Dollar Fund US$ 02 January 2017Sterling Fund 03 January 2017Sterling Govt Liquidity Fund 04 January 2017Euro Liquidity Fund 05 January 2017Total* 31 July 2016 US$ Notes Investment Income Interest income/(expense) 1 (b) 24,799,699 21,369,625 19,476 (3,115,160) 51,340,500 Unrealised gain on investments and currencies 18,728 20,850 Realised gain/(loss) on investments and currencies 8,613 13,244 (279,545) (284,023) Total Investment Income/(Expense) 24,808,312 21,382,869 19,476 (3,375,977) 51,077,327 Expenses Investment Adviser fees 9 (3,414,916) (3,771,390) (1,769) (784,309) (9,581,829) Administration fees 9 (512,491) (471,584) 510 (98,727) (1,283,321) Depositary fees 9 (426,864) (471,424) (1,024) (98,039) (1,198,855) Transaction costs (2,881) (26,877) (40,589) Auditor's fees (4,918) (3,865) (4,682) (3,859) (21,206) Directors fees 4 (20,652) (18,240) (217) (4,702) (51,782) Other expenses (46,366) (45,809) (7,119) (16,234) (138,697) Total Operating Expenses (4,429,088) (4,809,189) (14,301) (1,005,870) (12,316,279) Net income/(expense) before finance costs 20,379,224 16,573,680 5,175 (4,381,847) 38,761,048 Finance Costs Interest expense 1 (b) (22,243) (342) (3,168) (35,214) Distributions 14 (20,379,224) (16,551,437) (4,833) (43,607,671) Change in Net Assets Attributable to Holders of Redeemable Participating Shares (4,385,015) (4,881,837) *Includes Sterling Fund and Sterling Government Liquidity Fund figures converted at the average exchange rates of 1=US$ and Euro Liquidity Fund converted at the average exchange rates of 1= US$ The notes on pages 15 to 27 form an integral part of the financial statements. 10

13 Statement of Financial Position as at 31 July January 2017US Dollar Fund US$ 02 January 2017Sterling Fund 04 January 2017Euro Liquidity Fund Notes Assets Financial assets at fair value through profit or loss - Investments in transferable securities 7,549,946,483 8,263,575,677 1,633,635,216 20,370,287,396 - Time deposits 3,395,091,000 1,701,550, ,350,000 6,487,622,093 - Reverse repurchase agreements 1,700,000, ,000,000 2,558,346,000 Cash at bank 6 2,727 18,390 18,333 48,586 Accrued income 1,874,603 2,315,542 2,426,308 7,787,915 10,946,914,813 11,667,459,609 2,625,429,857 29,424,091,990 Liabilities: Amounts falling within one year Financial liabilities at amortised cost - Investment Adviser fee payable 9 (1,392,095) (1,760,402) (344,169) (4,118,696) - Administration fee payable 9 (113,456) (121,299) (21,924) (299,219) - Depositary fee payable 9 (98,184) (113,552) (21,633) (273,391) - Distributions payable 14 (9,876,460) (1,303,405) (11,594,804) - Other expenses payable (15,039) (17,331) (24,962) (67,317) - Securities purchased payable (133,544,927) (157,449,469) Total Liabilities (excluding net assets attributable to holders of redeemable participating shares) (11,495,234) (3,315,989) (133,957,615) (173,802,896) Total Net Assets attributable to holders of redeemable participating shares 10,935,419,579 11,664,143,620 2,491,472,242 29,250,289,094 Participating Shares 3, 5 10,935,419,579 11,664,143,620 2,518,230,400 Net Asset Value per Share $ *Includes Sterling Fund figures converted at the period-end exchange rates of 1=US$ and Euro Liquidity Fund converted at the period-end exchange rates of 1= US$ The notes on pages 15 to 27 form an integral part of the financial statements. 05 January 2017Total US$ 11

14 Statement of Financial Position as at 31 January January 2017US Dollar Fund US$ 02 January 2017Sterling Fund 03 January 2017Sterling Govt Liquidity Fund 04 January 2017Euro Liquidity Fund Notes Assets Financial assets at fair value through profit or loss - Investments in transferable securities 6,107,509,519 7,553,943,313 1,438,102,069 17,165,282,507 - Time deposits 2,361,542,000 1,002,420, ,110,000 4,236,643,079 - Reverse repurchase agreements 1,525,000, ,250,000 2,319,812,375 Cash at bank 6 1, ,492 7,676 16,907 Accrued income 1,377,746 3,513,365 2,554,473 8,558,529 8,470,430,524 10,084,877,030 5,492 2,380,024,218 23,730,313,397 Liabilities: Amounts falling within one year Financial liabilities at amortised cost - Investment Adviser fee payable 9 (622,189) (942,351) (156,658) (1,977,061) - Administration fee payable 9 (94,524) (115,975) (18,588) (260,520) - Depositary fee payable 9 (79,327) (108,234) (18,397) (235,378) - Distributions payable 14 (5,435,957) (1,708,789) (7,585,784) - Other expenses payable (37,305) (36,172) (5,492) (40,221) (133,189) - Securities purchased payable (588,771,161) (214,820,495) (156,750,000) (1,028,436,551) Total Liabilities (excluding net assets attributable to holders of redeemable participating shares) (595,040,463) (217,732,016) (5,492) (156,983,864) (1,038,628,483) Total Net Assets attributable to holders of redeemable participating shares 7,875,390,061 9,867,145,014 2,223,040,354 22,691,684,914 Participating Shares 3, 5 7,875,390,061 9,867,145,014 2,240,460,165 Net Asset Value per Share $ *Includes Sterling Fund and Sterling Government Liquidity Fund figures converted at the year-end exchange rates of 1=US$ and Euro Liquidity Fund converted at the year-end exchange rates of 1= US$ **The Sterling Government Liquidity Fund ceased trading on 15 March The notes on pages 15 to 27 form an integral part of the financial statements. 05 January 2017Total US$ 12

15 04 January 2017Euro NORTHERN TRUST GLOBAL FUNDS PLC Statement of Changes in Net Assets attributable to Redeemable Participating Shareholders for the Six Months Ended 31 July 2017 Liquidity 01 January 2017US Dollar Fund US$ 02 January 2017Sterling Fund Fund Net assets attributable to holders of redeemable participating shares at start of the period 7,875,390,061 9,867,145,014 2,223,040,354 22,691,684,914 Foreign currency translation adjustment 904,081,622 Proceeds from issuance of redeemable participating shares 25,082,782,377 25,347,252,110 6,591,606,003 64,779,356,605 Payments for redemptions of redeemable participating shares (22,022,752,859) (23,550,253,504) (6,316,834,672) (59,117,827,695) Change in net assets attributable to holders of redeemable participating shares (6,339,443) (7,006,352) Net Assets attributable to holders of redeemable participating shares at the end of the period 10,935,419,579 11,664,143,620 2,491,472,242 29,250,289, January 2017Total US$ Number of Participating Shares Participating shares in issue at the start of the period 7,875,390,061 9,867,145,014 2,240,460,165 Participating shares issued during the period 25,082,782,377 25,347,252,110 6,653,663,809 Participating shares redeemed during the period (22,022,752,859) (23,550,253,504) (6,375,893,574) Participating shares in issue at the end of the period 10,935,419,579 11,664,143,620 2,518,230,400 *Includes Sterling Fund figures converted at the average exchange rate of 1=US$ and Euro Liquidity Fund converted at the average exchange rates of 1= US$ The notes on pages 15 to 27 form an integral part of the financial statements. 13

16 03 January 2017Sterling NORTHERN TRUST GLOBAL FUNDS PLC Statement of Changes in Net Assets attributable to Redeemable Participating Shareholders for the Six Months Ended 31 July January 2017US Dollar Fund US$ 02 January 2017Sterling Fund Govt Liquidity Fund 04 January 2017Euro Liquidity Fund Net assets attributable to holders of redeemable participating shares at start of the period 7,818,626,461 7,187,462,414 39,899,431 1,745,191,704 19,959,024,508 Foreign currency translation adjustment (652,849,563) Proceeds from issuance of redeemable participating shares 17,498,606,134 22,266,946, ,399 7,733,393,126 57,350,016,776 Payments for redemptions of redeemable participating shares (15,097,293,069) (21,353,942,659) (40,824,830) (6,553,602,441) (52,410,277,454) Change in net assets attributable to holders of redeemable participating shares (4,385,015) (4,881,837) Net Assets attributable to holders of redeemable participating shares at the end of the period 10,219,939,526 8,100,466,113 2,920,597,374 24,241,032, January 2017Total US$ Number of Participating Shares Participating shares in issue at the start of the period 7,818,626,461 7,187,462,414 39,899,431 1,750,389,327 Participating shares issued during the period 17,498,606,134 22,266,946, ,399 7,763,768,539 Participating shares redeemed during the period (15,097,293,069) (21,353,942,659) (40,824,830) (6,578,820,390) Participating shares in issue at the end of the period 10,219,939,526 8,100,466,113 2,935,337,476 *Includes Sterling Fund and Sterling Government Liquidity Fund figures converted at the average exchange rates of 1=US$ and Euro Liquidity Fund converted at the average exchange rates of 1= US$ The notes on pages 15 to 27 form an integral part of the financial statements. 14

17 Notes to the Financial Statements 1. Significant Accounting Policies a) Basis of Preparation The condensed financial statements for the financial period end 31 July 2017, are prepared under the requirements of Financial Reporting Standard 104 ( FRS 104 ) Interim Financial Reporting, the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 ( the UCITS Regulations ) and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations, 2015 ( the Central Bank UCITS Regulations ). The same accounting policies and methods of computation followed in the most recent annual financial statements have been used in the preparation of the interim financial statements. The financial statements for the financial year ended 31 January 2017 were prepared under Financial Reporting Standard 102 ( FRS 102 ) The Financial Reporting Standard applicable in the UK and Republic of Ireland. The Company meets all the conditions set out in FRS 102, Section 7, and consequently has availed of the exemption available to certain funds not to prepare a statement of cash flows. These condensed interim financial statements do not include all the information required for full annual financial statements prepared under FRS 102. The US Dollar Fund, Sterling Fund and Euro Liquidity Fund were delisted from the Irish Stock Exchange on 10 March b) Income and Expense Recognition Interest income and expense is recognised in the Statement of Comprehensive Income as it accrues, using the original effective interest rate of the instrument calculated at the acquisition or origination date. Interest income includes the amortisation of any discount or premium, transaction costs or other differences between the initial carrying amount of an interest-bearing instrument and its amount at maturity calculated on an effective interest rate basis. Interest income on debt instruments designated at fair value through profit or loss is accrued using the original effective interest rate and classified to the interest income line item within the Statement of Comprehensive Income. Interest income is recognised on a gross basis, including withholding tax, if any. Interest income from reverse repurchase agreements represents interest earned on transactions whereby securities are purchased under agreement to sell the securities at a future date, at an agreed price. The counterparties for reverse repurchase agreements are disclosed in the Schedules of Investments. Expenses are recorded on an accruals basis. The following table details the net interest income earned by each Fund during the period: At 31 July 2017 US Dollar Fund US$ Sterling Fund Euro Liquidity Fund Total US$ Interest income/(expense) on financial investments designated at fair value through profit or loss - Investments in transferable securities 38,422,539 12,149,430 (3,095,569) 50,536,792 - Time deposits 11,287,202 1,320,657 (1,370,909) 11,460,798 - Reverse repurchase agreements 987,246 (694,602) 494,717 Cash interest income/(expense) 17,924 12,111 (21,492) 9,658 Total net interest income/(expense) 49,727,665 14,469,444 (5,182,572) 62,501,965 15

18 Notes to the Financial Statements (Continued) 1. Significant Accounting Policies (continued) b) Income and Expense Recognition (continued) At 31 July 2016 US Dollar Fund US$ Sterling Fund Sterling Govt Liquidity Fund Euro Liquidity Fund Total US$ Interest income/(expense) on financial investments designated at fair value through profit or loss - Investments in transferable securities 20,270,854 15,915, (1,129,765) 41,343,198 - Time deposits 4,463,382 1,798,191 (472,371) 6,460,353 - Reverse repurchase agreements 5,689 3,655,806 19,130 (1,513,024) 3,477,175 Cash interest income/(expense) 59,774 (22,243) (342) (3,168) 24,560 Total net interest income/(expense) 24,799,699 21,347,382 19,134 (3,118,328) 51,305, Taxation The Company qualifies as an investment undertaking as defined in Section 739B of the Taxes Consolidation Act (TCA) It is not chargeable to Irish tax on its income and gains. Tax may arise on the happening of a chargeable event. Generally a chargeable event arises on any distribution, redemption, repurchase, cancellation, transfer of shares or on the ending of a Relevant Period. A Relevant Period is an eight year period beginning with the acquisition of shares by the shareholder and each subsequent period of eight years beginning immediately after the preceding Relevant Period. No tax will arise on the Company in respect of chargeable events in respect of: (i) a Shareholder who is not an Irish resident and not ordinarily resident in Ireland at the time of the chargeable event, provided the necessary signed statutory declarations are held by the Company; (ii) certain exempted Irish resident investors who have provided the Company with the necessary signed statutory declarations; (iii) dividend income and interest received by the Company may be subject to non-recoverable withholding tax in the countries of origin; (iv) any transactions in relation to Shares held in a recognised clearing system as designated by order of the Revenue Commissioners of Ireland; (v) an exchange of Shares arising on a qualifying amalgamation or reconstruction of the Company with another fund; (vi) certain exchanges of Shares between spouses and former spouses; (vii) an exchange by a Shareholder, effected by way of an arm s length bargain where no payment is made to the Shareholder of Shares in the company for other Shares in the Company. 3. Share Capital Subscriber Shares The Company has an authorised Share capital of 38,092 divided into 30,000 subscriber Shares of each. Subscriber Shares do not entitle the holders to any dividend and on winding up entitle the holder to receive the amount paid up thereon but not otherwise to participate in the assets of the Company. The subscriber Share capital does not form part of shareholders funds, and is disclosed in the financial statements by way of this note only. In the opinion of the Directors, this disclosure reflects the nature of the Company s business as an investment fund. Currently there are 30,000 subscriber Shares in issue held in a nominee capacity on behalf of the Investment Adviser. 16

19 Notes to the Financial Statements (Continued) 3. Share Capital (continued) Participating Shares The Company has authorised Share capital of 500 billion participating Shares of no par value. The participating Shares are available for issue as shares which entitle holders to attend and vote at general meetings of the Company and to participate on a pro rata basis in the profits and assets of the respective fund. The participating Shares are classified as financial liabilities in accordance with FRS102 as they are redeemable at the request of the holders. Shares shall be redeemed at the applicable Net Asset Value per Share pertaining on the Dealing Day on which the redemption is effected. The issued and fully paid value of each class of Distributing Share is at all times equal to the Net Asset Value of each Fund. Share Classes The Company had the following Share Class movements during the period ended 31 July 2017: Shares in issue 1 Feb 17 Creations & Reinvestments Liquidations Shares in issue 31 Jul 17 NAV per Share Class US Dollar Fund Class A 1,682,767,951 3,678,559,827 3,505,743,859 1,855,583,919 $1.00 Class B 1,894,218,822 5,766,095,004 4,826,399,000 2,833,914,826 $1.00 Class C 1,674,062,277 3,200,780,001 3,183,440,000 1,691,402,278 $1.00 Class D 1,172,501,011 9,859,446,545 7,975,437,000 3,056,510,556 $1.00 Class E 1,222,608, ,337, ,360,000 1,248,585,000 $1.00 Class F 229,232,000 2,258,564,000 2,238,373, ,423,000 $1.00 Sterling Fund Class A 2,865,734,672 3,296,929,585 3,288,071,528 2,874,592, Class B 1,620,835,843 3,523,354,104 3,276,129,557 1,868,060, Class C 3,648, ,344, ,846,000 6,146, Class D 1,664,447,969 3,888,252,774 4,131,703,918 1,420,996, Class E 3,267,823,870 12,706,770,934 11,531,988,395 4,442,606, Class F 444,654,660 1,806,600,713 1,199,514,106 1,051,741, Euro Liquidity Fund Class A 254,560,044 1,510,877,084 1,438,065, ,371, Class B 253,292,661 1,009,846, ,689, ,449, Class C 11,768, ,305, ,595,116 39,478, Class D 338,295,060 1,272,736,359 1,014,985, ,046, Class E 666,992,526 1,755,915,165 1,773,093, ,814, Class F 715,550, ,983, ,465, ,069,

20 Notes to the Financial Statements (Continued) 3. Share Capital (continued) Share Classes (continued) The Company had the following Share Class movements during the period ended 31 July 2016: Shares in issue 1 Feb 16 Creations & Reinvestments Liquidations Shares in issue 31 Jul 16 NAV per Share Class US Dollar Fund Class A 1,623,747,629 4,777,412,676 4,509,185,919 1,891,974,386 $1.00 Class B 1,714,822,546 3,426,399,457 3,160,820,150 1,980,401,853 $1.00 Class C 1,523,204,275 2,741,954,001 2,510,147,000 1,755,011,276 $1.00 Class D 932,117,011 5,196,126,000 3,688,070,000 2,440,173,011 $1.00 Class E 1,812,981, ,495, ,582,000 1,994,894,000 $1.00 Class F 211,754, ,219, ,488, ,485,000 $1.00 Sterling Fund Class A 2,213,783,225 3,640,948,574 3,769,127,422 2,085,604, Class B 1,522,513,233 2,598,986,891 2,637,581,891 1,483,918, Class C 2,465,000 60,606,000 61,059,000 2,012, Class D 1,519,146,657 4,745,600,563 4,944,574,976 1,320,172, Class E 1,529,077,867 9,885,871,935 8,570,979,000 2,843,970, Class F 400,476,432 1,334,932,395 1,370,620, ,788, Sterling Government Liquidity Fund Class A 38,813, ,192 39,738,958 Class B 1,085, ,085,872 Euro Liquidity Fund Class A 229,158,681 1,771,046,057 1,630,896, ,308, Class B 273,641,490 1,088,013,692 1,134,271, ,383, Class C 14,068, ,820, ,722,669 11,165, Class D 326,171, ,260, ,818, ,613, Class E 373,371,364 3,286,032,006 2,449,373,537 1,210,029, Class F 533,978, ,596, ,737, ,836, The Company does not have any externally imposed capital requirements. 4. Directors Remuneration A fee of 30,000 (31 January 2017: 30,000) is payable annually to each of those Directors listed on page 2 as independent directors and who are not affiliated to The Northern Trust Company. During the period, the Company was charged US$54,543 (31 July 2016: US$51,782), of which US$5,827 (31 January 2017: US$11,167) was due at the period end. 18

21 Notes to the Financial Statements (Continued) 5. Net Asset Value Attributable to Redeemable Participating Shares The Net Asset Value per Share is determined by dividing the net assets by the total number of Participating Shares in issue. US Dollar Fund 31-Jan Jan Jul-17 Net Assets 7,818,626,461 7,875,390,061 10,935,419,579 Shares outstanding 7,818,626,461 7,875,390,061 10,935,419,579 NAV per share US$1.00 US$1.00 US$1.00 Sterling Fund 31-Jan Jan Jul-17 Net Assets 7,187,462,414 9,867,145,014 11,664,143,620 Shares outstanding 7,187,462,414 9,867,145,014 11,664,143,620 NAV per share Sterling Government Liquidity Fund 31-Jan Jan Jul-17 Net Assets 39,899,431 Shares outstanding 39,899,431 NAV per share 1.00 Euro Liquidity Fund 31-Jan Jan Jul-17 Net Assets 1,745,191,704 2,223,040,354 2,491,472,242 Shares outstanding 1,750,389,327 2,240,460,165 2,518,230,400 NAV per share Cash Balances and Bank Overdrafts All balances were held, as at 31 July 2017 and 31 January 2017, with The Northern Trust Company. In accordance with the requirements of the Central Bank UCITS Regulations each Fund may borrow up 10% of its net assets on a temporary basis. 7. Securities Purchases and Sales A detailed schedule of securities purchased and sold during the period may be obtained, free of charge, by shareholders from the administrator. 8. Soft Commission Arrangements There were no soft commission arrangements affecting the Company during the period ended 31 July 2017, nor were there any during the period ended 31 July

22 Notes to the Financial Statements (Continued) 9. Transactions with the Investment Adviser, the Depositary and Related Parties The following transactions with related parties were entered into during the period by the Company in the ordinary course of business and on normal commercial terms: Northern Trust Global Investments Limited, as Investment Adviser, earned a fee of US$10,923,107 (31 July 2016: US$9,581,829) of which US$4,118,696 (31 January 2017: US$1,977,061) was due as at period end. Northern Trust International Fund Administration Services (Ireland) Limited, as Administrator, earned a fee of US$1,451,258 (31 July 2016: US$1,283,321) of which US$299,219 (31 January 2017: US$260,520) was due as at period end. Northern Trust Fiduciary Services (Ireland) Limited, as Depositary, earned a fee of US$1,365,389 (31 July 2016: US$1,198,855) of which US$273,391 (31 January 2017: US$235,378) was due as at period end. Cash balances were held with The Northern Trust Company during the period. The Company received net bank interest income of US$9,658 during the period (31 July 2016: received net bank interest income of US$24,560). Northern Trust International Fund Administration Services (Ireland) Limited, as Administrator, also earned sundry fees of US$5,849 during the period ended 31 July 2017 (31 July 2016: US$6,888). The sundry fees earned were for services provided to the Company by Northern Trust for Corporate Secretarial, Money Laundering and Reporting and German Tax services. Eleanor Fitzgerald (resigned 21 April 2017), Hazel McNeilage and James Wright who serve as Directors of the Company (see page 2 ), are also employees of Northern Trust Corporation. 10. Connected Persons The Central Bank UCITS Regulations require that any transaction carried out with a UCITS by a management company or depositary to the UCITS, the delegates or sub-delegates of the management company or depositary, and any associated or group of such a management company, depositary, delegate or sub-delegate ( connected persons ) must be carried out as if negotiated at arm s length. Transactions must be in the best interests of the Shareholders. The Directors are satisfied that there are arrangements (evidenced by written procedures) in place, to ensure that the obligations set out in Regulation 41(1) of the Central Bank UCITS Regulations are applied to all transactions with connected persons, and are satisfied that transactions with connected persons entered into during the year complied with the obligations set out in Regulation 41(1) of the Central Bank UCITS Regulations. 11. Financial Instruments and Associated Risks The Company is exposed to market risk (including price risk, interest rate risk and currency risk), foreign, credit risk, liquidity risk and operational risk arising from the financial instruments it holds. The Company s overall approach to risk management seeks to focus on the unpredictability of financial markets and to minimise potential adverse effects on the Company s financial performance. The risk management practices employed by the Company to manage these risks are discussed below. The Investment Adviser assesses the risk profile of the Company and the related Funds on the basis of the investment policy, strategy and the use made of Financial Derivative Instruments. Based on the risk profile, the Investment Adviser has determined to calculate global exposure for all Funds using the commitment approach. (a) Market Risk (i) Price Risk Price risk is the risk that the value of an instrument will fluctuate as a result of changes in market prices (other than those arising from interest rate risk or currency risk). 20

23 Notes to the Financial Statements (Continued) 11. Financial Instruments and Associated Risks (continued) (a) Market Risk (continued) (i) Price Risk (continued) The US Dollar Fund and Sterling Fund are priced using an amortised cost method for daily NAV calculation. Price risk is concerned with deviation between the amortised book value and market value of the portfolio where the maximum limit of any such difference is set at +/- 0.3% of the NAV. If the deviation were to exceed 0.3% of the NAV, the Administrator shall review the valuation daily and the Directors shall notify the Central Bank with an indication of the action, if any, which will be taken to reduce the dilution. As at 31 July 2017 there was no material difference between financial instruments at fair value and financial instruments at amortised cost. For financial statements purposes the Funds investments are held at fair value through profit or loss. The Euro Liquidity Fund (as a variable NAV fund) is valued using a combination of mark to market value and amortised cost method, and is not subject to a maximum limit set out above. Price risk is managed by the Investment Adviser by constructing a diversified portfolio of instruments in terms of duration (see Interest Rate Risk below), credit risk (see Credit Risk below), product and sector. (ii) Interest Rate Risk The Company invests in short-term interest bearing assets which have interest rate exposure of no more than twelve months. As a result the Funds are subject to limited exposure to the term structure of interest rates. The Company s interest rate risk is managed on a daily basis by the Investment Adviser. The investment guidelines stipulate the Weighted Average days to Maturity (WAM) of the Company overall as 60 days. In the case of Floating Rate Notes, reset intervals are used for WAM calculation purposes. The market value of the portfolio is monitored daily and compared to amortised value to ensure that an absolute variance limit of 0.5% of the total portfolio value is maintained at all times. In addition, independent market value checks are carried out by the Administrator on a daily basis. The Company s overall interest rate risk is monitored on a quarterly basis by the Board of Directors. Where the interest rate risks are not in accordance with the requirements of the Fund, the Investment Adviser will rebalance the portfolio. (iii) Currency Risk The Fund assets for the US Dollar Fund are denominated in USD, the Euro Liquidity Fund are denominated in Euro and the Sterling Fund is denominated in GBP and accordingly there are no material currency risks at Fund level. (b) Credit Risk The Funds are exposed to credit risk on parties with whom it trades and bears the risk of settlement default. The carrying amounts of financial assets best represent the maximum credit risk exposure at the Statement of Financial Position date. The Funds invest only in financial assets which have an investment grade assigned by a reputable ratings agency. The Investment Adviser monitors credit ratings on a daily basis and the Funds overall credit risks are monitored on a quarterly basis by the Board of Directors. (c) Liquidity Risk The Company s constitution provides for the daily creation and cancellation of shares and it is therefore exposed to the liquidity risk of meeting shareholder redemptions at any time. (d) Operational Risk Operational risk is the risk of direct or indirect loss arising from a wide variety of causes associated with the Company s processes and infrastructure, and from external factors other than market, credit, and liquidity issues such as those arising from legal and regulatory requirements and generally accepted standards to corporate behavior. 21

24 Notes to the Financial Statements (Continued) 11. Financial Instruments and Associated Risks (continued) (d) Operational Risk (continued) Operational risks arise from all of the Company s operations. The Company was incorporated with the purpose of engaging in those activities outlined in the preceding paragraphs. All administration functions have been outsourced to Northern Trust International Fund Administration Services (Ireland) Limited. 12. Fair Value Estimation FRS 102 requires the Fund to classify fair value measurements using a fair value hierarchy that reflects the significance of the inputs used in making the measurements. The fair value hierarchy has the following levels: Quoted prices (unadjusted) in active markets for identical assets or liabilities (level 1). Inputs other than quoted prices included within level 1 that are observable for the asset or liability, either directly (that is, as prices) or indirectly (that is, derived from prices) (level 2). Inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs) (level 3). The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is determined on the basis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose, the significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement uses observable inputs that require significant adjustment based on unobservable inputs, that measurement is a level 3 measurement. Assessing the significance of a particular input to the fair value measurement in its entirety requires judgement, considering factors specific to the asset or liability. The determination of what constitutes observable requires significant judgement by the Fund. The Company considers observable data to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. 22