Annual Report and Financial Statements 31 July Vanguard FTSE 100 Index Unit Trust

Transcription

1 Annual Report and Financial Statements Vanguard FTSE 100 Index Unit Trust

2 Contents Chairman s Letter 1 Statement of the Manager s Responsibilities 2 Statement of the Depositary s Responsibilities 3 Independent Auditors Report 4 Tracking Error 6 Trust Profile* 7 Portfolio Manager s Commentary* 8 Summary of Significant Changes* 10 Portfolio Statement* 11 Balance Sheet 13 Statement of Total Return 13 Statement of Change in Unitholders Net Assets 13 Distribution Table 14 Notes to Financial Statements 15 Further Information 23 Directory* Inside Back Cover * The items with an asterisk collectively constitute the Manager s Report. About the cover: Nautical images have been part of Vanguard s rich heritage since its start in For an incoming ship, a lighthouse offers a beacon and safe path to shore. You can similarly depend on Vanguard to put you first and light the way as you strive to meet your financial goals. Our client focus and low costs, stemming from our unique ownership structure, assure that your interests are paramount.

3 Chairman s Letter Dear Unitholder, During the first half of the fiscal year ended, capital markets digested the implications of two world events. The United Kingdom s vote in June to exit the European Union was followed by the election of Donald Trump as US president in November. Developed markets stocks, including those in the United States, posted healthy returns as economic optimism prevailed over political worries. Returns for emerging markets were more modest but still positive. Global growth was more balanced in the second half of the fiscal year. Momentum picked up in some of the slower-growing regions, including Europe and Japan. But expansion in the United States was a little more muted than some had projected after the presidential election. The brighter global economic picture and a weaker US dollar boosted emerging markets. This benign macroeconomic backdrop, along with solid corporate earnings and reduced risks linked to European elections and trade protectionism, helped global stocks rally close to 18%. That performance was well-rounded, with developed markets in the Pacific region, Europe and the United States leading the way. In the United Kingdom, the FTSE 100 Index gained nearly 14% for the full fiscal year, propelled in part by a strong showing from financials. Your fund, which was launched in November, gained more than 10%. US and European bond yields rose and prices dropped as markets anticipated faster economic growth and higher inflation. The US Federal Reserve raised short-term rates three times as it began to gently rein in its loose monetary stance. Nevertheless, inflation ended up lower than forecast in developed markets, leading the European Central Bank and the Bank of Japan to maintain their historically accommodative stances. In currency markets, the US dollar retreated a bit against the euro but rose against the British pound and Japanese yen. During the period, Vanguard announced a senior leadership change. Our board of directors elected Vanguard Chief Investment Officer Tim Buckley as president and director of Vanguard. Under the planned transition, Tim will succeed me as Vanguard s chief executive officer on 1 January I m delighted with our board s unanimous decision to elect Tim. In the years since he arrived at Vanguard in 1991, we ve worked closely together. He s always impressed me as a man of tremendous character and an outstanding leader with a passion for serving our clients. During the transition period, I will work closely with Tim in managing the firm and overseeing its operations. As with past successions, I will remain as chairman for a period to be determined by the board. Tim and the rest of the team will serve you and our other clients extremely well as Vanguard prepares for its next chapter. As always, thank you for your confidence in Vanguard Investments UK, Limited. Yours faithfully, F. William McNabb III Chairman The Vanguard Group, Inc. 7 September

4 Vanguard FTSE 100 Index Unit Trust Report of the Manager Period ended The Manager of Vanguard FTSE 100 Index Unit Trust ( Trust ) is Vanguard Investments UK, Limited. The Trustee is State Street Trustees Limited and the Auditors are PricewaterhouseCoopers LLP. The Trust is a unit trust established under the Trust Deed between the Manager and the Trustee and authorised by the Financial Conduct Authority under Section 243 of the Financial Services and Markets Act 2000 and has been established as an Undertaking for Collective Investments in Transferable Securities ( UCITS ) scheme. The unitholders are not liable for the debts of the Trust. The investment objective of the Trust and the Manager s policy for pursuing that objective are set out in the Trust Profile section of this report and a review of the Trust s investment activities for the relevant period is included within the Portfolio Manager s Commentary. Statement of Manager s responsibilities in relation to the financial statements of the Trust The Financial Conduct Authority s Collective Investment Schemes sourcebook ( COLL ) requires the Manager to prepare Financial Statements for each annual and half-yearly accounting period, in accordance with United Kingdom Generally Accepted Accounting Practice, which give a true and fair view of the financial position of the Trust and of its net revenue and the net capital gains on the property of the Trust for the period. In preparing the Financial Statements the Manager is required to: select suitable accounting policies and then apply them consistently; make judgement and accounting estimates that are reasonable and prudent; prepare financial statements in accordance with the revised Statement of Recommended Practice for Authorised Funds issued by the Investment Management Association (now the Investment Association) in May 2014, and with Financial Reporting Standards ( FRS ) 102; prepare the Financial Statements on the basis that the Trust will continue in operation unless it is inappropriate to do so; and keep adequate accounting records that are sufficient to show and explain the Trust s transactions and disclose with reasonable accuracy at any time the financial position of the Trust, and enable it to ensure that the financial statements comply with the requirements above. The Manager is responsible for the management of the Trust in accordance with its Trust Deed, the Prospectus and the COLL and for taking reasonable steps for the prevention and detection of fraud, error and non-compliance with law or regulations. The Manager s report and the Financial Statements for the period ended were signed on 20 November 2017 on behalf of the Manager by: Sean Hagerty, Kenneth E. Volpert Director Director Vanguard Investments UK, Limited Vanguard Investments UK, Limited as Manager of as Manager of Vanguard FTSE 100 Index Unit Trust Vanguard FTSE 100 Index Unit Trust 20 November November

5 Statement of the Depositary s Responsibilities in Respect of the Scheme and Report of the Depositary to the Unitholders of Vanguard FTSE 100 Index Unit Trust for the Period Ended The Depositary in its capacity as Trustee of Vanguard FTSE 100 Index Unit Trust must ensure that the Trust is managed in accordance with the Financial Conduct Authority s Collective Investment Schemes sourcebook, the Financial Services and Markets Act 2000, as amended (together the Regulations ), and the Trust Deed and Prospectus (together the Scheme documents ) as detailed below. The Depositary must in the context of its role act honestly, fairly, professionally, independently and in the interests of the Trust and its investors. The Depositary is responsible for the safekeeping of all custodial assets and maintaining a record of all other assets of the Trust in accordance with the Regulations. The Depositary must ensure that: the Trust s cash flows are properly monitored 1 and that cash of the Trust is booked in cash accounts in accordance with the Regulations; the sale, issue, repurchase, redemption and cancellation of units are carried out in accordance with the Regulations; the value of units of the Trust are calculated in accordance with the Regulations; any consideration relating to transactions in the Trust s assets is remitted to the Trust within the usual time limits; the Trust s income is applied in accordance with the Regulations; and the instructions of the Authorised Fund Manager ( the AFM ), which is the UCITS Management Company, are carried out (unless they conflict with the Regulations). The Depositary also has a duty to take reasonable care to ensure that the Trust is managed in accordance with the Regulations and the Scheme documents of the Trust in relation to the investment and borrowing powers applicable to the Trust. Having carried out such procedures as we consider necessary to discharge our responsibilities as Depositary of the Trust, it is our opinion, based on the information available to us and the explanations provided, that in all material respects the Trust, acting through the AFM: (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 income in accordance with the Regulations and the Scheme documents of the Trust; and (ii) has observed the investment and borrowing powers and restrictions applicable to the Trust in accordance with the Regulations and Scheme documents of the Trust. State Street Trustees Limited Edinburgh 20 November This requirement on the Depositary applied from 18 March

6 Independent Auditors Report to the Unitholders of Vanguard FTSE 100 Index Unit Trust Report on the Audit of the Financial Statements Opinion In our opinion, Vanguard FTSE 100 Index Unit Trust s financial statements: give a true and fair view of the financial position of the Trust as at and of the net revenue and the net capital gains on its scheme property for the period then ended; and have been properly prepared in accordance with United Kingdom Generally Accepted Accounting Practice (United Kingdom Accounting Standards, comprising FRS 102 The Financial Reporting Standard applicable in the UK and Republic of Ireland, and applicable law), the Statement of Recommended Practice for UK Authorised Funds, the Collective Investment Schemes sourcebook and the Trust Deed. We have audited the financial statements, included within the Annual Report and Financial Statements (the Annual Report ), which comprise: the balance sheet as at ; the statement of total return, the statement of change in net assets attributable to unitholders for the period then ended; the distribution tables; and the notes to the financial statements, which include a description of the significant accounting policies. Basis for Opinion We conducted our audit in accordance with International Standards on Auditing (UK) ( ISAs (UK) ) and applicable law. Our responsibilities under ISAs (UK) are further described in the Auditors responsibilities for the audit of the financial statements section of our report. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. Independence We remained independent of the Trust in accordance with the ethical requirements that are relevant to our audit of the financial statements in the UK, which includes the FRC s Ethical Standard, and we have fulfilled our other ethical responsibilities in accordance with these requirements. Conclusions Relating to Going Concern We have nothing to report in respect of the following matters in relation to which ISAs (UK) require us to report to you when: the Authorised Fund Manager s use of the going concern basis of accounting in the preparation of the financial statements is not appropriate; or the Authorised Fund Manager has not disclosed in the financial statements any identified material uncertainties that may cast significant doubt about the Trust s ability to continue to adopt the going concern basis of accounting for a period of at least twelve months from the date when the financial statements are authorised for issue. However, because not all future events or conditions can be predicted, this statement is not a guarantee as to the Trust s ability to continue as a going concern. Reporting on Other Information The other information comprises all of the information in the Annual Report other than the financial statements and our auditors report thereon. The Authorised Fund Manager is responsible for the other information. Our opinion on the financial statements does not cover the other information and, accordingly, we do not express an audit opinion or, except to the extent otherwise explicitly stated in this report, any form of assurance thereon. In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If we identify an apparent material inconsistency or material misstatement, we are required to perform procedures to conclude whether there is a material misstatement of the financial statements or a material misstatement of the other information. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report based on these responsibilities. Authorised Fund Manager s Report In our opinion, the information given in the Authorised Fund Manager s Report for the financial period for which the financial statements are prepared is consistent with the financial statements. Responsibilities for the Financial Statements and the Audit Responsibilities of the Authorised Fund Manager for the Financial Statements As explained more fully in the Authorised Fund Manager s Responsibilities Statement set out on page 2, the Authorised Fund Manager is responsible for the preparation of the financial statements in accordance with the applicable framework and for being satisfied that they give a true and fair view. The Authorised Fund Manager is also responsible for such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. 4

7 In preparing the financial statements, the Authorised Fund Manager is responsible for assessing the Trust s ability to continue as a going concern, disclosing as applicable, matters related to going concern and using the going concern basis of accounting unless the Authorised Fund Manager either intend to wind up or terminate the Trust, or have no realistic alternative but to do so. Auditors Responsibilities for the Audit of the Financial Statements Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditors report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with ISAs (UK) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. A further description of our responsibilities for the audit of the financial statements is located on the Financial Reporting Council s website at: This description forms part of our auditors report. Use of This Report This report, including the opinions, has been prepared for and only for the Trust s unitholders as a body in accordance with paragraph of the Collective Investment Schemes sourcebook and for no other purpose. We do not, in giving these opinions, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing. Other Required Reporting Opinion on Matter Required by the Collective Investment Schemes Sourcebook In our opinion, we have obtained all the information and explanations we consider necessary for the purposes of the audit. Collective Investment Schemes Sourcebook Exception Reporting Under the Collective Investment Schemes sourcebook we are also required to report to you if, in our opinion: proper accounting records have not been kept; or the financial statements are not in agreement with the accounting records and returns. We have no exceptions to report arising from this responsibility. 20 November 2017 The maintenance and integrity of the Vanguard Investment UK, Limited, website is the responsibility of the Authorised Corporate Director; the work carried out by the auditors does not involve consideration of these matters and, accordingly, the auditors accept no responsibility for any changes that may have occurred to the financial statements since they were initially presented on the website. Legislation in the United Kingdom governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions. 5

8 Tracking Error The Trust seeks to replicate the Index by investing all, or substantially all, of its assets in the securities that make up the Index, holding each in approximately the same proportion as its weighting in the Index. Tracking error measures the volatility of the return difference between the Trust and the index. It is calculated as the standard deviation of the tracking difference between the Trust and the index (gross of fees for the trailing 36-month period, or since the Trust s inception if it does not have 36 months of performance history). Realised (ex-post) tracking error may vary from the anticipated tracking error, depending on a range of circumstances. These include transaction costs, securities lending income and withholding tax differences. The anticipated tracking error and ex-post tracking error are not expected to vary significantly under normal circumstances. For the Period Ended Anticipated Ex-Post Trust Tracking Error Tracking Error FTSE 100 Index Unit Trust The Trust was launched on 8 November

9 FTSE100 Index Unit Trust Trust Profile As at Investment Objective Vanguard FTSE 100 Index Unit Trust seeks to track the performance of the FTSE 100 Index. Investment Strategy The Trust employs an indexing investment strategy designed to achieve a result consistent with the replication of the Index by investing in all of the component securities that make up the Index, holding each stock in approximate proportion to its weighting in the Index. The Index is a marketcapitalisation-weighted index representing the performance of the 100 largest companies traded on the London Stock Exchange that pass screening for size and liquidity. Risk Profile The value of investments, and the income from them, may fall or rise and investors may get back less than they invested. Investments in smaller companies may be more volatile than investments in well-established blue chip companies. The Trust may invest in derivatives for efficient portfolio management or hedging purposes. The risks associated with the use of derivatives are different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments for efficient portfolio management or hedging purposes. There is no assurance that any derivative strategy used by the Trust will succeed and the Trust may suffer a substantial loss as a result. Portfolio Characteristics FTSE 100 Trust Index Number of Stocks Trust Ongoing Charges Figure 1 A GBP Accumulation Units 0.06% A GBP Income Units 0.06% Ex-Dividend Date 2 1 August 2017 Distribution Date 30 September 2017 Sector Diversification (% of portfolio) FTSE 100 Trust Index Basic Materials 8.1% 8.1% Consumer Goods Consumer Services Financials Health Care Industrials Oil & Gas Technology Telecommunications Utilities Ten Largest Holdings 3 (% of total net assets) HSBC Holdings plc Banks 7.6% Royal Dutch Shell A plc Oil & Gas Producers 4.8 British American Tobacco plc Tobacco 4.7 BP plc Oil & Gas Producers 4.3 Royal Dutch Shell B plc Oil & Gas Producers 4.1 GlaxoSmithKline plc Pharmaceuticals & Biotechnology 3.7 Diageo plc Beverages 3.0 Vodafone Group plc Mobile Telecommunications 3.0 AstraZeneca plc Pharmaceuticals & Biotechnology 2.9 Unilever plc Personal Goods 2.6 Top Ten 40.7% Synthetic Risk and Reward Indicator 4 Lower risk Typically lower rewards Higher risk Typically higher rewards The Ongoing Charges Figure (OCF) is the ratio of the Trust s total discloseable costs (excluding overdraft interest) to the average net assets of the Trust. 2 If the ex-dividend date does not fall on a business day, the effective date will be the first business day following the end of the financial period. 3 The holdings listed exclude any temporary cash investments and equity index products. 4 The Synthetic Risk and Reward Indicator (SRRI) measures the volatility of the Trust. The risk and reward category (which may range from 1 to 7) is calculated using historical data and may not be a reliable indicator of the Trust s future risk profile. The risk and reward category may shift over time and is not a target guarantee. The lowest category (i.e. category 1) does not mean risk free. The Trust appears in the higher risk category on the risk and reward indicator. This is because the Trust invests primarily in shares whose values tend to have higher price fluctuations. 7

10 Commentary On behalf of Vanguard Asset Management, Limited 1 From its inception on 8 November 2016 through the close of its fiscal year on, Vanguard FTSE 100 Index Unit Trust returned 10.82% for both share classes. The Trust s target index returned 10.71%. The tracking difference for both share classes was 0.11 percentage point. 2 Global developed markets posted healthy returns for the 12-month period. Emerging markets also rose, though more modestly. During the second half of the fiscal year, stocks across the globe continued to climb as investors accepted risk, corporate earnings exceeded expectations and stock valuations increased. Nine out of ten sectors generated positive results. Financial stocks were a main driver of performance. Consumer goods and basic materials also made strong contributions. The utilities sector was the lone detractor. FTSE 100 Index Unit Trust Benchmark: FTSE 100 Index Total Returns Total Returns Period Ended Since Inception (8 November 2016) A GBP Accumulation Units 10.82% A GBP Income Units Benchmark Past performance is not a reliable indicator of future results. Sources: The Vanguard Group, Inc., and FTSE. Basis of performance: NAV to NAV with net income reinvested. 1 The Vanguard Group, Inc., as investment manager for Vanguard FTSE 100 Index Unit Trust, sub-delegates the management of the Trust to Vanguard Asset Management, Limited. 2 The tracking difference between the Trust return and the Index return over a stated period of time can be attributed to a number of factors, including, without limitation, small differences in weightings; trading activity; transaction costs; and differences in the valuation and withholding tax treatment between the Trust and the Index vendor. 8

11 Performance Information As at A GBP Accumulation Units Change in Net Assets Per Unit Opening Net Asset Value Per Unit Return Before Operating Charges*, Operating Charges 2 ( 4.70) Return After Operating Charges*, Distributions Retained Distributions on Accumulated Units 3 ( 3.00) Closing Net Asset Value Per Unit *Net of Direct Transaction Costs of: Performance Return After Operating Charges % Other Information Closing Net Asset Value 1 4,297,957 Closing Number of Units 38,791 Operating Charges % Direct Transaction Costs % Prices Highest Unit Price Lowest Unit Price The Trust launched on 8 November 2016; therefore, there are no prior-year comparisons. A GBP Income Units Change in Net Assets Per Unit Opening Net Asset Value Per Unit Return Before Operating Charges*, Operating Charges 2 ( 4.68) Return After Operating Charges*, Distributions 3 ( 3.00) Closing Net Asset Value Per Unit *Net of Direct Transaction Costs of: Performance Return After Operating Charges % Other Information Closing Net Asset Value 1 272,730 Closing Number of Units 2,530 Operating Charges % Direct Transaction Costs % Prices Highest Unit Price Lowest Unit Price The Trust launched on 8 November 2016; therefore, there are no prior-year comparisons. 1 Underlying investments valued at bid-market prices. 2 Operating charges include indirect costs incurred in the maintenance and running of the Trust, as disclosed in the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average units in issue for the accounting period. 3 The distribution on Income and Accumulation Units includes distribution paid and payable in the financial period. 4 Direct transaction costs within this table have been calculated against the average net asset value for the accounting period. 5 Returns in the performance table are calculated using methods prescribed in the SORP 2014 regulations. They may differ slightly from returns shown in the Trust commentary. 6 Underlying investments valued at mid-market prices. 9

12 Summary of Significant Changes For the period 8 November 2016 to Largest Purchases Cost ( ) Vanguard FTSE 100 UCITS ETF 527,364 HSBC Holdings plc 307,893 British American Tobacco plc 228,993 Royal Dutch Shell A plc 221,418 BP plc 210,449 Total 1,496,117 Total Purchases for the Period 4,870,976 Largest Sales Proceeds ( ) Vanguard FTSE 100 UCITS ETF 511,850 Intu Properties plc 5,646 Capita plc 4,632 HSBC Holdings plc 4,394 Hikma Pharmaceuticals plc 4,370 Total 530,892 Total Sales for the Period 600,274 10

13 Portfolio Statement As at Basic Materials 7.73% Rio Tinto plc 2,761 97, Glencore plc 26,731 89, BHP Billiton plc 4,769 65, Anglo American plc 2,572 32, Mondi plc , Randgold Resources Ltd , Johnson Matthey plc , Croda International plc , Antofagasta plc 794 7, Fresnillo plc 420 6, Consumer Goods 17.24% 353, British American Tobacco plc 4, , Diageo plc 5, , Unilever plc 2, , Reckitt Benckiser Group plc 1, , Imperial Tobacco Group plc 2,190 68, British American Tobacco plc ADR , Associated British Foods plc , Persimmon plc , Burberry Group plc 1,013 17, Taylor Wimpey plc 7,449 14, Barratt Developments plc 2,296 14, GKN plc 3,936 12, Coca-Cola HBC AG , Consumer Services 9.14% 788, Compass Group plc 3,623 58, WPP plc 2,839 43, RELX plc 2,435 40, Tesco plc 18,727 32, Sky plc 2,370 22, International Consolidated Airlines Group SA 3,857 22, Carnival plc , InterContinental Hotels Group plc , Whitbread plc , Kingfisher plc 5,102 15, ITV plc 8,546 14, Paddy Power Betfair plc , Informa plc 1,883 13, Next plc , Pearson plc 1,882 12, Marks & Spencer Group plc 3,728 12, Wm Morrison Supermarkets plc 4,942 11, TUI AG , J Sainsbury plc 3,695 9, Merlin Entertainments plc 1,610 7, easyjet plc 567 7, Exchange Traded Funds 0.33% Market % of Value Net Asset Holding ( ) Value 417, Vanguard FTSE 100 UCITS ETF , , Financials 22.58% HSBC Holdings plc 46, , Prudential plc 5, , Lloyds Banking Group plc 163, , Barclays plc 38,946 79, Standard Chartered plc 6,181 52, Aviva plc 9,307 50, Legal & General Group plc 13,567 36, London Stock Exchange Group plc , Old Mutual plc 10,899 21, i Group plc 2,184 20, Standard Life plc 4,517 19, Royal Bank of Scotland Group plc 7,392 18, Land Securities Group REIT plc 1,743 17, RSA Insurance Group plc 2,337 15, St James s Place plc 1,195 14, British Land REIT Co plc 2,357 14, Scottish Mortgage Investment Trust plc 3,151 12, Segro REIT plc 2,287 12, Direct Line Insurance Group Plc 3,157 11, Hammerson REIT plc 1,820 10, Admiral Group plc 462 9, Schroders plc 256 8, Hargreaves Lansdown plc 561 7, Provident Financial plc 340 7, Health Care 9.41% 1,032, GlaxoSmithKline plc 11, , AstraZeneca plc 2, , Shire plc 2,041 86, Smith & Nephew plc 2,008 26, ConvaTec Group plc 3,012 9, Mediclinic International plc 897 6, Industrials 7.37% Market % of Value Net Asset Holding ( ) Value 430, CRH plc 1,917 50, BAE Systems plc 7,300 43, Rolls-Royce Holdings plc 3,767 33, Experian plc 2,157 32, Ferguson plc , Ashtead Group plc 1,140 18, Bunzl plc , Worldpay Group plc 4,304 15, Intertek Group plc , Smiths Group plc , DCC plc , Rentokil Initial plc 4,217 12, Smurfit Kappa Group plc , G4S plc 3,551 11, Babcock International Group plc 1,154 9, Royal Mail plc 2,102 8, ,

14 Oil & Gas 13.15% Market % of Value Net Asset Holding ( ) Value Royal Dutch Shell A plc 10, , BP plc 44, , Royal Dutch Shell B plc 8, , Technology 0.61% 601, Sage Group plc 2,480 16, Micro Focus International plc , Telecommunications 4.29% 28, Vodafone Group plc 61, , BT Group plc 19,209 60, Utilities 3.44% 195, National Grid plc 7,886 73, SSE plc 2,320 31, Centrica plc 12,596 25, United Utilities Group plc 1,565 14, Severn Trent plc , Derivatives (0.02)% 156, FTSE 100 Index Futures September (775) (0.02) (775) (0.02) Portfolio of Investments* 4,354, Net Other Assets 216, Net Assets Attributable to Unitholders 4,570, All holdings are ordinary shares or stock units unless otherwise stated. * Including investment liabilities. 12

15 Balance Sheet As at Note 1 ( ) Assets: Investment Assets 4,355,283 Current Assets Debtors ,238 Cash and Bank Balances ,482 Total Assets 4,781,003 Liabilities: Investment Liabilities 775 Creditors Bank Overdrafts 11 35,374 Distribution Payable 12 7,599 Other Creditors ,568 Total Liabilities 210,316 Net Assets Attributable to Unitholders 4,570,687 The Trust launched on 8 November 2016; therefore, there are no prior-year comparisons. 1 See the Notes to Financial Statements. Statement of Total Return For the Period Ended Note 1 ( ) ( ) ncome Net Capital Gains/(Losses) 4 88,273 Revenue 6 76,691 Expenses 7 (1,263) Net Revenue Before Taxation 75,428 Taxation 8 (734) Net Revenue After Taxation 74,694 Total Return Before Distributions 162,967 Distributions 9 (74,694) Change in Net Assets Attributable to Unitholders From Investment Activities 88,273 The Trust launched on 8 November 2016; therefore, there are no prior-year comparisons. 1 See the Notes to Financial Statements. Statement of Change in Unitholders Net Assets For the Period Ended Note 1 ( ) ( ) Opening Net Assets Attributable to Unitholders Amounts Received on Issue of Units 5,440,000 Amounts Paid on Cancellation of Units (1,095,023) 4,344,977 Dilution Levy 17 20,944 Change in Net Assets Attributable to Unitholders From Investment Activities 88,273 Retained Distribution on Accumulation Units 116,493 Closing Net Assets Attributable to Unitholders 4,570,687 The Trust launched on 8 November 2016; therefore, there are no prior-year comparisons. 1 See the Notes to Financial Statements. 13

16 Distribution Table For the period ended A GBP Accumulation Units Distribution Net Payable Income Equalisation 29 September 2017 Pence Per Unit Pence Per Unit Pence Per Unit Group 1 Group A GBP Income Units Group 1 Group The Trust launched on 8 November 2016; therefore, there are no prior-year comparisons. Group 1 There are no Group 1 investors as the Trust launched 8 November Group 2 Units purchased between 8 November 2016 and. Note: Equalisation applies only to units purchased during the distribution period (Group 2 Units). It is the average amount of income 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. 14

17 Notes to Financial Statements For the period ended 1. Accounting Policies (a) Basis of Accounting. The financial statements have been prepared on a going-concern basis under the historical cost convention, as modified by the revaluation of financial assets and liabilities measured at fair value through profit and loss, and in accordance with Financial Reporting Standard ( FRS ) 102 and the Statement of Recommended Practice for UK Authorised Funds (the SORP 2014 ) issued by the Investment Management Association (now known as the Investment Association) in May (b) Recognition of Revenue. Dividends on quoted equities and preference stocks are recognised when the securities are quoted ex-dividend. Dividends, interest and other revenue receivable are shown gross of withholding taxes but exclude any other taxes such as attributable tax credits. Special dividends are treated as either capital or revenue depending on the facts of each particular case. The ordinary element of stock dividends, received in lieu of cash dividends, is treated as revenue on the basis of the market value of units at the date they are quoted ex-dividend, and forms part of the distribution revenue. In the case of an enhanced stock dividend, the value of the enhancement is treated as capital and does not form part of the distribution. Interest on debt securities and bank and short-term deposits is recognised on an accruals basis. (c) Treatment of Expenses. The Trust currently has one unit class, A GBP, and Income and Accumulation Units are available in this class. All expenses, other than those relating to the purchase and sale of investments, are included in expenses, in the Statement of Total Return. The Manager s annual fee is charged to income. The Manager has chosen to cover other expenses in order to reduce the impact that such fees may have on performance. This waiver is entirely voluntary and may be discontinued at any time without notice at the sole discretion of the Manager. (d) Taxation. The charge for taxation is based on the net income for the period. UK dividend income is disclosed net of any related tax credit. Overseas dividends are disclosed gross of any foreign tax suffered. Deferred taxation is provided on all timing differences that have originated and not reversed by the Balance Sheet date, other than those differences regarded as permanent. Any liability to deferred tax is provided at the average rate of tax expected to apply. Deferred tax assets and liabilities are not discounted to reflect the time value of money; a deferred tax asset is only recognised to the extent that it is expected to crystallise. (e) Valuation of Investments. Market value is defined by the SORP 2014 as fair value, which generally is the bid value of each security. To comply with this, quoted investments have been valued at bid-market value at the closing bid-market price on the last business day of the accounting period, net of any accrued interest, which is included in the Balance Sheet as income receivable. Where applicable, unlisted and suspended securities are based on the Manager s assessment of their net realisable value. The Trust is valued daily based on quoted last-traded prices from recognised exchanges or from broker-dealers for non-exchange-trade purposes. (f) Exchange Rates. All transactions in foreign currencies are translated into sterling at the exchange rates ruling on the date of such transactions. Foreign currency assets and liabilities at the end of the accounting period are translated at the exchange rates on the last day of the accounting period. Gains or losses arising on the translation are reported as part of the return for the period. (g) Derivatives. Derivative transactions are accounted for on a trade-date basis. Returns from derivative transactions are taken to capital and/or revenue depending on the motive and circumstances surrounding each transaction. Where the motive and circumstances are to protect or enhance capital, the gains and losses derived therefrom are included in Net capital gains/losses in the Statement of Total Return. Where the motive and circumstance are to protect or enhance revenue, the revenue and expenses derived therefrom are included in revenue and expenses in the Statement of Total Return and form part of the Company s distribution. Derivative returns may consist of both capital and revenue return. Any positions open at the period-end are reflected in the Balance Sheet at their fair value, either using available market prices or the Manager s assessment of the fair value based on counterparty valuations and appropriate pricing models. Cash held at futures brokers as margin is reflected within Cash and Bank Balances in the Balance Sheet. 2. Distribution Policy (a) Basis of Distribution. Where the revenue from investments exceeds the expenses for any unit class, a distribution will be made to that unit class. Should expenses exceed revenue, there will be no distribution and the shortfall will be transferred to capital. Revenue attributable to Accumulation unitholders is retained at the end of each distribution period and represents a reinvestment of revenue. All remaining revenue is distributed in accordance with the Financial Conduct Authority s Collective Investment Schemes sourcebook (the COLL ). The allocation of income and non-class-specific expenses is based upon the proportion of the Trust s assets attributable to each unit class, on the day the income is earned or expenses suffered. Income equalisation and the annual management charge are specific to each unit class. Where distributions are unclaimed for a period of six years, these are brought back into the Trust capital. (b) Manager s Fees and Charges. The Manager s annual fee is charged to the income property of the Trust. (c) Equalisation. Equalisation takes account of the income received on the creation of units and income paid on the cancellation of units and is allocated to the distribution account. 15

18 3. Risk Management Policies Any investment in stock market funds involves risk. In this section we explain those risks. The Manager s policies for managing these risks are summarised below and have been applied throughout the current period. (a) Market Price Risk. Market price risk is the risk that the value of the financial instruments held by the Trust will fluctuate because of changes in market prices. It represents the potential loss the Trust might suffer through changes in market prices of its holdings. The Manager considers the asset allocation of the portfolio in order to minimise the risk associated with particular industry sectors whilst continuing to follow the investment objectives of the Trust. For an index trust, the investment objective is to seek to track as closely as reasonably possible the performance of the benchmark index. In order to achieve this objective, the Trust invests primarily in securities held in the equity index benchmark. Market price risk for an index trust arises from a mismatch in the relative proportion of assets in the trust and their respective proportions in the benchmark. The Trust places limitations on the amount by which a holding may deviate from the proportion in the benchmark to limit the market risk from mismatched positions. All securities investments present a risk of loss of capital. The Manager assesses the Trust s market risk volatility to ensure that the effect of using financial derivative instruments is not significant enough to cause disproportionate losses to the Trust s overall value. The Manager moderates this risk through careful selection of securities and financial instruments. The Manager manages this risk through a combination of risk metrics. Refer to Note 3(f) for details on market sensitivity. (b) Foreign Currency Risk. Foreign currency risk is the risk that the value of the Trust s investments will fluctuate as a result of changes in foreign currency exchange rates. The Trust invests in assets denominated in sterling, and therefore is not expected to be materially exposed to currency risk. The Trust s currency exposure as at was: Net Currency Assets Monetary Nonmonetary Exposures Exposures Total Currency ( ) ( ) ( ) Euro Sterling 250,696 4,321,301 4,571,997 US Dollar (35,377) 33,982 (1,395) Total 215,404 4,355,283 4,570,687 (c) Interest Rate Risk. The Trust may invest in fixed and floating rate securities. The revenue of the Trust may be affected by changes to interest rates relevant to particular securities or as a result of the Manager being unable to secure similar returns on the expiry of contracts or sale of securities. The value of fixed interest securities may be affected by interest rate movements or the expectation of such movements in the future. Interest receivable on bank deposits or payable on bank overdraft positions will be affected by fluctuations in interest rates. Interest rate risk is not significant to the Trust and therefore no numerical analysis is presented. Management of Market Risk (Including Market Price, Foreign Currency and Interest Rate Risks). The Manager performs daily reviews of portfolio attributes, such as sector diversification, maturity and credit quality, and makes adjustments where necessary to ensure that the risk components of the Trust closely match those of the benchmark. Please refer to the Trust Profile section of this report for presentation of these attributes. In addition, the Manager and the Administrator perform daily checks of the Trust s performance against the benchmark index. Potential tracking errors are raised and discussed by the Manager and the Administrator for investigation and resolution. Market impact, currency discrepancies and interest rate exposure are investigated as possible causes. In addition, the Manager performs daily compliance checks of Trust currency exposure. Currency positions in the Trust s account are reconciled daily with the Portfolio Manager, and discrepancies are immediately resolved. Procedures are established with the Manager to trade currency as closely as possible to the close of the markets, so as to obtain exchange rates that closely approximate the rates used in the valuation of the Trust. (d) Liquidity Risk. Liquidity risk is the risk that the Trust cannot raise sufficient cash to meet its liabilities when due. One of the key factors influencing this will be the ability to sell investments at, or close to, the fair value without a significant loss being realised. The Trust is exposed to cash redemptions of redeemable units. The main liability of the Trust is the redemption of any units that investors wish to sell. Hence the Trust invests the large majority of its assets in investments that are traded in an active market and can ordinarily be readily disposed. However, liquidity risk will occur if an equity issuer becomes credit-impaired or if the relevant market becomes illiquid. In such a case, it may not be possible to initiate or liquidate a position at a price that is deemed by the Manager to be demonstrating fair value. Liquidity risk may be temporary or may last for extended periods. The Trust invests solely in securities which form part of the benchmark index. Benchmark indices are constructed from index rules requiring securities to have a specified minimum trading volume, which, although not guaranteeing liquidity, provides an indication of the liquid nature of the securities underlying the Trust. The Trust is exposed to withdrawals and contributions that are invested to ensure that exposure to the benchmark index is maintained in order to meet the investment objective of the Trust. 16

19 The Trust may use index futures contracts to a limited extent, to maintain full exposure to the Index, maintain liquidity and minimise transaction costs. The Trust may equitise cash holdings from inflows and outflows by purchasing futures contracts to immediately invest incoming cash in the market, or selling futures in response to cash outflows, thereby simulating a fully invested position in the underlying Index while maintaining a cash balance for liquidity. Liquidity risk is not significant for the Trust and therefore no numerical analysis is presented. Management of Liquidity Risk. The Manager receives from the Administrator daily reports of capital unit activity that enable the Manager to raise cash from the Trust s portfolio in order to meet redemption requests. The Manager incorporates cash forecasts into the daily management of the portfolio. Trust cash balances are monitored daily by the Manager and the Administrator. (e) Credit Risk. The Trust invests primarily in equity and equity-based instruments, which are not credit instruments, and therefore it is not explicitly exposed to credit risk. Index futures used for efficient portfolio management are exchange-traded and marked to market daily, so counterparty risk is negligible. (f) Market Risk Sensitivity Analysis. Market risk exposures to the Trust are measured using value-at-risk (VaR), which estimates the maximum expected loss over a defined period given a specified confidence level. The VaR methodology is a statistically defined, probability-based approach that takes into account estimates for market volatilities and correlations between assets in the portfolio. Risks can be measured consistently across markets and products, and risk measures can be aggregated to arrive at a single risk number. For the purpose of this annual report, a one-year historical (ex-post) absolute VaR calculation has been completed for the Trust as set out below. The calculation includes a 95% confidence interval with a 260-trading-day (one-year) VaR period. That is, under normal market conditions and assuming no changes to Trust holdings, there is a 95% probability that the value of Trust assets will not decrease by more than the calculated value over a one-year period. (%) FTSE 100 Index Unit Trust Global exposure is measured using the commitment approach, which considers the full constituents of the portfolio. The Investment Manager will observe the regulatory limit and any internal risk limits which may be appropriate for the portfolio. General Risk Factors. The value of the Trust, and the revenue from it, is not guaranteed and may fall as well as rise. You may get back less than you originally invested. Investment performance is not guaranteed. Past performance is not a guarantee of future performance. What you get back may depend on several considerations: The effect of an initial charge may mean that if you sell your investment after a short period, you may not get back what you originally invested, even if the price of your investment has not fallen. The entire market of a particular asset class or geographical region may fall, having a greater effect on trusts heavily invested in that asset class or region. If you make regular withdrawals from your investment, be aware that if the level of withdrawal exceeds the rate of investment growth of the Trust, your capital will be eroded. Governments may change the tax rules which affect you or the Trust in which you have invested. Inflation will reduce what you could buy in the future; i.e. it will reduce the real value of your investment. There is no certainty that the investment objective of the Trust will actually be achieved. Use of Derivatives. The Trust invests in equities, with the equity investment universe defined by those securities contained in the benchmark index. The Trust uses equity index futures for efficient portfolio management index futures are used to equitise cash holdings from inflows and outflows and also anticipated cash flows (e.g. dividend receivables). As a result, the exposure to futures is covered by cash and near cash at all times, and assists in meeting the investment objectives of the Trust. 4. Net Capital Gains/(Losses) The net capital gains/(losses) during the period comprise: ( ) Non-Derivative Securities 91,316 Derivative Contracts (3,366) Futures Broker Commission (16) Gains/(Losses) on Foreign Exchange 339 Net Gains/(Losses) on Investments 88,273 17

20 5. Purchases, Sales and Transaction Costs for the Period ( ) Purchases Excluding Transaction Costs: Equities 4,310,714 Collective Investment Schemes 538,992 Trades in the Period Before Transaction Costs 4,849,706 Commissions Equities 901 Collective Investment Schemes 108 Total Commissions 1,009 Taxes Equities 20,184 Collective Investment Schemes 77 Total Taxes 20,261 Total Purchase Transaction Costs 21,270 Purchases Including Transaction Costs 4,870,976 Sales Excluding Transaction Costs: Equities 88,435 Collective Investment Schemes 511,945 Trades in the Period Before Transaction Costs 600,380 Commissions Equities (11) Collective Investment Schemes (95) Total Commissions (106) Taxes Equities Collective Investment Schemes Total Taxes Total Purchase Transaction Costs (106) Sales Net of Transaction Costs 600,274 Total transaction cost expressed as a percentage of transaction value: Commissions Purchases Sales (%) (%) Equities 0.02 (0.01) Collective Investment Schemes 0.02 (0.02) Taxes Equities Collective Investment Schemes Total transaction cost expressed as a percentage of average net assets: (%) Commissions 0.04 Taxes 0.76 Direct transaction costs are expenses incurred when buying and selling financial investments. Commissions and taxes are paid by the Trust on each transaction of equity investments and ETF collective investment schemes. In the case of futures, broker commissions and transfer taxes may be paid on each transaction. Other types of investments such as bonds, derivatives and collective investment schemes have no separately identifiable transaction costs; these costs form part of the dealing spread. Dealing spreads vary considerably, depending on the transaction value and market sentiment. 18