INSIGHT LIQUIDITY FUNDS PLC
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- Brenda Holmes
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1 INSIGHT LIQUIDITY FUNDS PLC (An Investment Company with Variable Capital and Segregated Liability between s) CONDENSED INTERIM REPORT AND FINANCIAL STATEMENTS SIX MONTHS ENDED 30 JUNE 2017 UNAUDITED
2 Insight s PLC Contents PAGE ILF GBP Investment Manager s Report 1 Portfolio and Schedule of Investments 2 ILF GBP Plus Plus Investment Manager s Report 7 Portfolio and Schedule of Investments 8 ILF USD Dollar Investment Manager s Report 13 Portfolio and Schedule of Investments 14 ILF Euro Cash Euro Cash Investment Manager s Report 16 Portfolio and Schedule of Investments 17 Statement of Comprehensive Income 20 Statement of Financial Position 22 Statement of Changes in Net Attributable to Holders of Redeemable Participating Shares 24 Notes to the Financial Statements 26 Directors and Other Information 39 Appendix 40 Portfolio Changes 42
3 Insight s PLC Investment Manager s Report For the six months ended 30 June 2017 Market overview The Bank of England (BoE) kept its benchmark rate at a record low of 0.25% during the period under review. During the period, expectations for an interest rate hike gained momentum, as the BoE Monetary Policy Committee (MPC) became increasingly divided. At the last MPC meeting within the period three of the eight members were voting for a tightening of policy. Unemployment data has steadily declined, with the unemployment rate reaching 4.6% in May, the lowest level since The participation rate rose to the joint highest level since 1971, indicating that the labour market now has little spare capacity. Sentiment in the manufacturing sector is becoming more positive, with the CBI monthly survey showing order books at multi-decade highs, led by demand for exports. Wages remain subdued though and, with inflation rising, consumers are constrained. Retail sales data has moderated and recorded a 0.8% contraction in May. The housing market is also an ongoing cause for concern, as changes to the tax system have put pressure on prices, especially in London. In June, the UK election returned a shock result, with the Conservative party failing to gain seats as expected and with the country instead returning a hung parliament, where no one party had an overall majority. This led to the Conservative party negotiating a confidence and supply agreement with the Northern Irish DUP in order to retain power. Although this does provide some stability in the short term, it has increased political risk at a sensitive time. This is expected to have some negative impact on both consumer and business confidence. The 1-month sterling Libor rate edged lower, beginning the period at 0.26% and ending at 0.25%. The 3-month Libor rate began the year at 0.37% and decreased to 0.30% by the end of the period. Short-dated gilts yields rose. Over the period, 2-year gilt yields rose from 0.05% to 0.36%. Portfolio review The returned 0.17% gross of fees over the period under review versus the 7-day sterling Libid return of 0.06%. The s duration and yield curve positioning relative to the benchmark were positive for returns. strategy was unchanged during the period, remaining focused on security and liquidity: trading focused largely on highly liquid, short-dated instruments. The primarily made additions to the certificates of deposit and commercial paper portfolio from bank issuers. The also traded UK gilts during the period under review and bought bonds issued by Rabobank. The weighted average maturity of the was 51 days at the beginning of the period, and fell to 32 days at the end of June. Outlook The UK faces a challenging period ahead as the government negotiates with the European Union on the terms of its exit. The election result will not make this easier, and increases the political uncertainty facing the country. The economy has built significant momentum, with unemployment now at low levels, but the negative impact on business and consumer confidence is likely to have some connotations for future growth. The BoE is positioning for the start of the tightening cycle, and some MPC members are now unwilling to look through the upwards move in inflation, concerned that the economy is now tight enough for higher inflation to be sustained. Volatile economic data and a housing market which is showing signs of softness, make the decision of when to tighten policy difficult. Another problem is the plunge in the UK saving rate, meaning that consumers are ill prepared for higher mortgage payments once interest rates do rise. Insight Investment s Management Limited 160 Queen Victoria Street London EC4V 4LA England July
4 Insight s PLC Portfolio and Schedule of Investments As at 30 June 2017 Security Description Nominal Holding Value % of Net Certificates of Deposit (31 December 2016: 52.23%) ABN Amro Bank CD 0.00% ,500,000 28,500, ABN Amro Bank CD 0.00% ,000, ,995, ABN Amro Bank CD 0.44% ,000, ,000, ABN Amro Bank CD 0.44% ,000,000 50,000, Australia & New Zealand Banking Group CD 0.00% ,000,000 99,934, Bank of America CD 0.41% ,000,000 30,009, Bank of America CD 0.42% ,000,000 40,000, Bank of Nova Scotia CD 0.22% ,000, ,000, Bank of Tokyo - Mitsubishi UFJ CD 0.39% ,000, ,000, Banque Federative du Credit Mutuel CD 0.35% ,000,000 25,000, Banque Federative du Credit Mutuel CD 0.40% ,000, ,000, Banque Federative du Credit Mutuel CD 0.45% ,000, ,000, Banque Federative du Credit Mutuel CD 0.45% ,000, ,000, BNP Paribas CD 0.20% ,000, ,000, BNP Paribas CD 0.24% ,000, ,000, BNP Paribas CD 0.24% ,000, ,000, BNP Paribas CD 0.40% ,000, ,000, BNP Paribas CD 0.41% ,000,000 50,002, BNP Paribas CD 0.41% ,000, ,000, BNP Paribas CD 0.41% ,000, ,000, BNP Paribas CD 0.41% ,000, ,000, BPCE CD 0.00% ,000,000 24,995, BPCE CD 0.45% ,000, ,000, BRED-Banque Populaire CD 0.00% ,000,000 99,998, BRED-Banque Populaire CD 0.00% ,000,000 99,997, BRED-Banque Populaire CD 0.00% ,000,000 49,978, BRED-Banque Populaire CD 0.00% ,000,000 99,939, BRED-Banque Populaire CD 0.00% ,000,000 99,929, BRED-Banque Populaire CD 0.42% ,000, ,000, BRED-Banque Populaire CD 0.42% ,000, ,000, BRED-Banque Populaire CD 0.43% ,000, ,000, BRED-Banque Populaire CD 0.43% ,000, ,000, Caisse des Depots et Consignations CD 0.00% ,000,000 49,989, Caisse des Depots et Consignations CD 0.00% ,000,000 99,963, Caisse des Depots et Consignations CD 0.00% ,000,000 49,979, Caisse des Depots et Consignations CD 0.00% ,000,000 99,958, Caisse des Depots et Consignations CD 0.00% ,000,000 99,957, Caisse des Depots et Consignations CD 0.00% ,000,000 99,940, Caisse des Depots et Consignations CD 0.00% ,000,000 99,912, Cooperatieve Rabobank CD 0.48% ,000, ,000, Credit Agricole CD 0.34% ,000, ,000, Credit Agricole Corporate and Investment Bank CD 0.00% ,000,000 25,990, Credit Agricole Corporate and Investment Bank CD 0.34% ,000, ,000, Danske Bank CD 0.40% ,000, ,000, Danske Bank CD 0.40% ,000, ,000, Danske Bank CD 0.40% ,000, ,000, Danske Bank CD 0.48% ,000, ,000, Danske Bank CD 0.48% ,000, ,000, Danske Bank CD 0.50% ,000, ,000, Deutsche Zentral-Genossenschaftsbank CD 0.24% ,000, ,000, Deutsche Zentral-Genossenschaftsbank CD 0.24% ,000, ,000, Deutsche Zentral-Genossenschaftsbank CD 0.31% ,000, ,000, Deutsche Zentral-Genossenschaftsbank CD 0.31% ,000, ,000, Dexia Credit Local CD 0.00% ,000,000 99,939, Dexia Credit Local CD 0.00% ,000,000 99,820, Dexia Credit Local CD 0.00% ,000,000 99,819, Dexia Credit Local CD 0.43% ,000, ,000, Dexia Credit Local CD 0.43% ,000, ,000,
5 Insight s PLC Portfolio and Schedule of Investments (Continued) As at 30 June 2017 Security Description Nominal Holding Value % of Net Certificates of Deposit (31 December 2016: 52.23%) (continued) Dexia Credit Local CD 0.43% ,000, ,000, First Abu Dhabi Bank CD 0.32% ,000, ,000, ING Bank CD 0.31% ,000,000 75,000, ING Bank CD 0.32% ,000,000 50,000, ING Bank CD 0.32% ,000, ,000, ING Bank CD 0.32% ,000, ,000, Landesbank Hessen-Thuringen GZ CD 0.30% ,000, ,000, Lloyds Bank CD 0.88% ,000,000 8,001, National Bank of Abu Dhabi CD 0.32% ,000, ,000, Nordea Bank CD 0.25% ,000, ,000, Nordea Bank CD 0.25% ,000, ,000, Nordea Bank CD 0.25% ,000, ,000, Nordea Bank CD 0.26% ,000, ,000, Nordea Bank CD 0.27% ,000, ,000, Nordea Bank CD 0.30% ,000, ,000, Nordea Bank CD 0.36% ,000, ,000, Norinchukin Bank CD 0.00% ,000, ,985, Norinchukin Bank CD 0.00% ,000, ,987, Norinchukin Bank CD 0.00% ,000,000 77,949, Qatar National Bank CD 0.00% ,200, ,195, Qatar National Bank CD 0.00% ,000,000 74,973, Rabobank International CD 0.47% ,000, ,000, Societe Generale CD 0.25% ,000, ,000, Societe Generale CD 0.26% ,000, ,000, Societe Generale CD 0.40% ,000,000 50,000, Sumitomo Mitsui Banking Corporation CD 0.00% ,000,000 99,997, Sumitomo Mitsui Banking Corporation CD 0.00% ,000,000 99,993, Sumitomo Mitsui Banking Corporation CD 0.00% ,000,000 99,950, Sumitomo Mitsui Banking Corporation CD 0.00% ,000,000 99,948, Sumitomo Mitsui Banking Corporation CD 0.00% ,000,000 21,988, Sumitomo Mitsui Banking Corporation CD 0.00% ,000, ,837, Sumitomo Mitsui Banking Corporation CD 0.30% ,000, ,000, Sumitomo Mitsui Banking Corporation CD 0.31% ,000, ,000, Sumitomo Mitsui Banking Corporation CD 0.44% ,000,000 51,000, Sumitomo Mitsui Trust Bank Ltd CD 0.00% ,000,000 50,000, Sumitomo Mitsui Trust Bank Ltd CD 0.00% ,000,000 4,998, Sumitomo Mitsui Trust Bank Ltd CD 0.30% ,000, ,000, Sumitomo Mitsui Trust Bank Ltd CD 0.47% ,000, ,000, Sumitomo Mitsui Trust Bank Ltd CD 0.47% ,000, ,000, Sumitomo Mitsui Trust Bank Ltd CD 0.52% ,000, ,000, Toronto-Dominion Bank CD 0.41% ,000, ,000, Toronto-Dominion Bank CD 0.41% ,000, ,000, Toronto-Dominion Bank CD 0.52% ,000, ,000, Toronto-Dominion Bank CD 0.52% ,000, ,000, Toronto-Dominion Bank CD 0.52% ,000, ,000, UBS AG CD 0.00% ,000,000 99,919, UBS AG CD 0.00% ,000,000 99,806, UBS AG CD 0.31% ,000, ,000, UBS AG CD 0.41% ,000, ,000, UBS AG CD 0.41% ,000, ,000, UBS CD 0.00% ,000,000 99,920, UBS CD 0.00% ,000,000 99,816, ,648,828, Commercial Paper (31 December 2016: 15.46%) Agence Centrale des Organismes de Securite Sociale CP 0.00% ,000,000 6,999, Agence Centrale des Organismes de Securite Sociale CP 0.00% ,000,000 19,999,
6 Insight s PLC Portfolio and Schedule of Investments (Continued) As at 30 June 2017 Security Description Nominal Holding Value % of Net Commercial Paper (31 December 2016: 15.46%) (continued) Agence Centrale des Organismes de Securite Sociale CP 0.00% ,000,000 99,989, Agence Centrale des Organismes de Securite Sociale CP 0.00% ,000, ,965, Agence Centrale des Organismes de Securite Sociale CP 0.00% ,000, ,964, Akademiska Hus CP 0.00% ,000,000 49,971, Banque Federative du Credit Mutuel CP 0.00% ,000,000 29,998, Banque Federative du Credit Mutuel CP 0.00% ,000,000 12,997, Banque Federative du Credit Mutuel CP 0.00% ,000, ,840, BMW Finance CP 0.00% ,000,000 49,976, Collateralized Commercial Paper CP 0.00% ,000,000 6,994, Collateralized Commercial Paper CP 0.00% ,000,000 49,909, Dexia Credit Local CP 0.00% ,000,000 7,979, Erste Abwicklungsanstalt CP 0.00% ,000,000 49,999, Erste Abwicklungsanstalt CP 0.00% ,000, ,884, Erste Abwicklungsanstalt CP 0.00% ,000,000 29,984, La Banque Postale CP 0.00% ,000, ,992, Landeskreditbank Baden-Wuerttemberg CP 0.00% ,000, ,000, Landeskreditbank Baden-Wuerttemberg CP 0.00% ,000, ,000, Mitsubishi UFJ Securities International CP 0.00% ,000, ,000, Mitsubishi UFJ Securities International CP 0.00% ,000, ,997, Mitsubishi UFJ Securities International CP 0.00% ,000,000 99,959, Mitsubishi UFJ Securities International CP 0.00% ,000,000 99,955, Mitsubishi UFJ Trust & Banking Corporation CP 0.00% ,000,000 99,857, Mitsubishi UFJ Trust & Banking Corporation CP 0.00% ,000,000 99,853, Nordea Bank CP 0.00% ,000,000 19,999, Nordea Bank CP 0.00% ,500,000 16,494, Nordea Bank CP 0.00% ,000,000 74,955, Op Corporate Bank CP 0.00% ,000,000 5,999, Op Corporate Bank CP 0.00% ,250,000 41,245, Op Corporate Bank CP 0.00% ,000,000 24,989, Op Corporate Bank CP 0.00% ,750,000 23,735, Paccar Financial Europe CP 0.00% ,000,000 14,999, Paccar Financial Europe CP 0.00% ,000,000 9,999, Paccar Financial Europe CP 0.00% ,000,000 14,998, Paccar Financial Europe CP 0.00% ,000,000 9,998, Pohjola Bank CP 0.00% ,000,000 9,999, Schlumberger Finance CP 0.00% ,000,000 44,992, Schlumberger Finance CP 0.00% ,000,000 23,995, Sumitomo Mitsui Banking Corporation CP 0.00% ,000,000 10,000, Sumitomo Mitsui Banking Corporation CP 0.00% ,000,000 99,993, Transport for London CP 0.00% ,000,000 5,999, Transport for London CP 0.00% ,000,000 9,997, Unilever Plc CP 0.00% ,000,000 40,000, ,765,463, Total Value of Money Market Instruments 15,414,292, Corporate Bonds (31 December 2016: 0.00%) Cooperatieve Rabobank CB 3.25% ,250,000 1,261, GE Capital International ing CB 6.25% ,969,000 4,072, ,334, Floating Rate Notes (31 December 2016: 8.62%) ASB Finance Limited FRN 0.60% ,000,000 79,998, ASB Finance Ltd FRN 0.82% ,300,000 3,309, Bank of Nova Scotia FRN 0.57% ,000,000 59,998, Commonwealth Bank of Australia FRN 0.35% ,000,000 25,990,
7 Insight s PLC Portfolio and Schedule of Investments (Continued) As at 30 June 2017 Security Description Nominal Holding Value % of Net Floating Rate Notes (31 December 2016: 8.62%) (continued) Commonwealth Bank of Australia FRN 0.41% ,000,000 99,990, Commonwealth Bank of Australia FRN 0.57% ,000,000 24,000, Commonwealth Bank of Australia FRN 0.58% ,500,000 43,499, Commonwealth Bank of Australia FRN 0.59% ,000,000 41,999, Commonwealth Bank of Australia FRN 0.59% ,000,000 24,999, Credit Suisse FRN 0.73% ,000, ,000, ING Bank FRN 0.70% ,600,000 13,604, National Australia Bank FRN 0.39% ,000,000 99,992, National Australia Bank FRN 0.56% ,000,000 39,999, National Australia Bank FRN 3.63% ,000,000 20,209, Royal Bank of Canada FRN 0.46% ,000,000 43,000, Royal Bank of Canada FRN 0.56% ,000,000 70,000, Svenska Handelsbanken FRN 0.62% ,000, ,000, Swedbank FRN 0.65% ,300, ,299, Toronto-Dominion Bank FRN 0.72% ,700,000 2,703, Westpac Banking Corporation FRN 0.42% ,000, ,000, Westpac Banking Corporation FRN 0.65% ,800,000 2,801, Westpac Securities FRN 0.80% ,500,000 7,507, ,165,905, Government Bonds (31 December 2016: 7.26%) United Kingdom (Government of) Bonds 0.00% ,000, ,000, United Kingdom (Government of) Bonds 0.00% ,920,000,000 1,919,941, United Kingdom (Government of) Bonds 0.00% ,000,000 21,997, United Kingdom (Government of) Bonds 1.00% ,000, ,606, ,547,545, Supranational Bonds (31 December 2016: 0.29%) European Investment Bank Bonds 8.75% ,000,000 15,183, ,183, Total Value of Transferable Securities 3,733,968, Time Deposits (31 December 2016: 7.71%) Australia & New Zealand Banking Group TD 0.10% ,000, ,000, Bank of Tokyo-Mitsubishi UFJ TD 0.05% ,000, ,000, BRED-Banque Populaire TD 0.21% ,000, ,000, Danske Bank TD 0.05% ,000,000 50,000, Lloyds Bank TD 0.10% ,000,000 75,000, Rabobank International TD 0.15% ,000, ,000, Sumitomo Mitsui Trust Bank TD 0.20% ,000, ,000, Sumitomo Mitsui Trust Bank TD 0.22% ,000, ,000, Sumitomo Mitsui Trust Bank TD 0.22% ,000, ,000, UK Debt Management Office TD 0.08% ,000, ,000, ,175,000, Reverse Repurchase Agreements (31 December 2016: 1.36%) Repo HSBC Bank 0.00% ,000, ,000, Repo HSBC Bank 0.00% ,600,000 31,600, Repo Merrill Lynch International 0.12% ,000, ,000,
8 Insight s PLC Portfolio and Schedule of Investments (Continued) As at 30 June 2017 Security Description Nominal Holding Value % of Net Reverse Repurchase Agreements (31 December 2016: 1.36%) (continued) Repo Lloyds Bank Plc 0.16% ,000, ,000, Repo National Australia Bank 0.17% ,000,001 50,000, ,600, Total Financial - Transferable Securities 3,733,968, Total Financial - Money Market Instruments 15,414,292, Total Financial - Deposits with Credit Institutions 3,175,000, Total cost of investments 22,323,260,867 (31 December 2016: 20,239,219,845) Cash (31 December 2016: 8.28%) 956,043, Total value of reverse repurchase agreements (31 December 2016: 1.36%) 581,600, Net current liabilities (31 December 2016: (1.21%)) (600,416) (0.01) Net assets attributable to holders of redeemable shares 23,860,303, Analysis of Total % of Total Transferable securities admitted to an official stock exchange listing 15.64% Money Market instruments admitted to an official stock exchange listing 64.58% Deposits with Credit Institutions 13.30% Cash and Other 6.48% % 6
9 Insight s PLC Plus Investment Manager s Report For the six months ended 30 June 2017 Market overview The Bank of England (BoE) kept its benchmark rate at a record low of 0.25% during the period under review. During the period, expectations for an interest rate hike gained momentum, as the BoE Monetary Policy Committee (MPC) became increasingly divided. At the last MPC meeting within the period three of the eight members were voting for a tightening of policy. Unemployment data has steadily declined, with the unemployment rate reaching 4.6% in May, the lowest level since The participation rate rose to the joint highest level since 1971, indicating that the labour market now has little spare capacity. Sentiment in the manufacturing sector is becoming more positive, with the CBI monthly survey showing order books at multi-decade highs, led by demand for exports. Wages remain subdued though and, with inflation rising, consumers are constrained. Retail sales data has moderated and recorded a 0.8% contraction in May. The housing market is also an ongoing cause for concern, as changes to the tax system have put pressure on prices, especially in London. In June, the UK election returned a shock result, with the Conservative party failing to gain seats as expected and with the country instead returning a hung parliament, where no one party had an overall majority. This led to the Conservative party negotiating a confidence and supply agreement with the Northern Irish DUP in order to retain power. Although this does provide some stability in the short term, it has increased political risk at a sensitive time. This is expected to have some negative impact on both consumer and business confidence. Portfolio review The returned 0.40% gross of fees over the six-month period under review versus the 3-month sterling Libid return of 0.10%. Asset allocation was positive for returns as a result of positive carry and rolling over floating rate notes. The primarily made additions to the certificates of deposit and commercial paper (CP) portfolio from bank issuers. The also made some purchases of euro-denominated CP which was then fully hedged back into sterling in order to generate a higher return. The also made selected additions to the floating rate notes portfolio including issues from Lloyds Bank and Santander. The traded UK gilts and UK treasury bills during the period. In ABS an issue from a master trust of a building society and covered bonds from various banks were added to the portfolio. Outlook The UK faces a challenging period ahead as the government negotiates with the European Union on the terms of its exit. The election result will not make this easier, and increases the political uncertainty facing the country. The economy has built significant momentum, with unemployment now at low levels, but the negative impact on business and consumer confidence is likely to have some connotations for future growth. The BoE is positioning for the start of the tightening cycle, and some MPC members are now unwilling to look through the upwards move in inflation, concerned that the economy is now tight enough for higher inflation to be sustained. Volatile economic data and a housing market which is showing signs of softness, make the decision of when to tighten policy difficult. Another problem is the plunge in the UK saving rate, meaning that consumers are ill prepared for higher mortgage payments once interest rates do rise. Insight Investment s Management Limited 160 Queen Victoria Street London EC4V 4LA England July
10 Insight s PLC Plus Portfolio and Schedule of Investments As at 30 June 2017 Security Description Nominal Holding Value % of Net Investment s (31 December 2016: 9.32%) Insight s PLC - GBP - Share Class 2 ^ UCITS 508,188, ,188, Total Value of Investment s 508,188, Certificates of Deposit (31 December 2016: 29.29%) ABN Amro Bank CD 0.44% ,000,000 50,000, Banque Federative du Credit Mutuel CD 0.45% ,000,000 75,000, BNP Paribas CD 0.58% ,000, ,000, BPCE CD 0.45% ,000,000 50,000, BRED-Banque Populaire CD 0.00% ,000,000 49,998, BRED-Banque Populaire CD 0.42% ,000,000 75,000, Credit Agricole CD 0.34% ,000, ,000, Credit Suisse CD 0.68% ,000,000 50,000, Danske Bank CD 0.40% ,000,000 50,000, Danske Bank CD 0.50% ,000,000 50,000, Lloyds Bank Plc CD 0.68% ,000,000 25,000, Lloyds Bank Plc CD 0.74% ,000,000 25,000, Lloyds Bank Plc CD 0.76% ,000,000 50,000, Lloyds Bank Plc CD 0.77% ,000,000 50,000, Mitsubishi UFJ Trust & Banking Corporation CD 0.00% ,000,000 99,955, Mitsubishi UFJ Trust & Banking Corporation CD 0.00% ,000,000 49,974, Nordea Bank CD 0.00% ,000,000,000 91,634, Societe Generale CD 0.60% ,000, ,000, Societe Generale CD 0.62% ,000,000 50,000, Sumitomo Mitsui Banking Corporation CD 0.30% ,000,000 50,000, Toronto-Dominion Bank CD 0.52% ,000,000 75,000, UBS CD 0.00% ,000,000 49,959, UBS CD 0.00% ,000,000 49,907, UBS CD 0.55% ,000, ,000, ,541,429, Commercial Paper (31 December 2016: 3.95%) Agence Centrale des Organismes de Securite Sociale CP 0.00% ,000,000 99,981, Collateralized Commercial Paper CP 0.00% ,000,000 49,957, Danaher European Finance CP 0.00% ,000,000 57,122, Danaher European Finance CP 0.00% ,000,000 26,365, DH Europe Finance S.A. CP 0.00% ,000,000 30,761, Procter And Gamble CP 0.00% ,000,000 35,139, ,326, Total Value of Money Market Instruments 1,840,756, Asset Backed Securities (31 December 2016: 2.60%) Delamare Cards ABS 0.90% ,000,000 30,083, Delamare Cards ABS 0.90% ,850,000 37,988, Gracechurch Mortgage Financing ABS 0.75% ,000,000 15,074, Newday Partnership ing ABS 1.00% ,875,000 16,900, Penarth Master Issuer ABS 0.62% ,000,000 18,014, Penarth Master Issuer ABS 0.75% ,000,000 21,130, ,192, Floating Rate Notes (31 December 2016: 35.90%) Abbey National Treasury Services FRN 0.52% ,000,000 30,047, ABN Amro Bank FRN 0.80% ,000, ,489, ASB Finance Ltd FRN 0.80% ,000,000 50,038,
11 Insight s PLC Plus Portfolio and Schedule of Investments (Continued) As at 30 June 2017 Security Description Nominal Holding Value % of Net Floating Rate Notes (31 December 2016: 35.90%) (continued) ASB Finance Ltd FRN 0.82% ,600,000 50,739, Bank Nederlandse Gemeenten FRN 0.52% ,000,000 25,018, Bank of Montreal FRN 0.49% ,000,000 25,000, Bank of Montreal FRN 0.57% ,000,000 50,025, Bank of Montreal FRN 0.67% ,000,000 25,057, Bank of Nova Scotia FRN 0.49% ,000,000 40,017, Bank of Nova Scotia FRN 0.51% ,000,000 25,014, Bank of Nova Scotia FRN 0.57% ,000,000 24,999, Banque Federative du Credit Mutuel FRN 0.72% ,000,000 53,112, Barclays Bank FRN 0.50% ,000, ,118, Barclays Bank FRN 0.53% ,000,000 47,108, BNZ International ing FRN 0.94% ,000,000 53,199, Commonwealth Bank of Australia FRN 0.58% ,000,000 25,007, Commonwealth Bank of Australia FRN 0.59% ,000,000 30,005, Commonwealth Bank of Australia FRN 0.63% ,000,000 5,007, Commonwealth Bank of Australia FRN 1.03% ,725,000 32,953, Credit Suisse FRN 0.73% ,000,000 25,015, Danske Bank FRN 0.50% ,000,000 35,014, Danske Bank FRN 0.84% ,000,000 40,130, DNB Boligkreditt FRN 0.59% ,000,000 70,177, DZ Bank AG FRN 0.60% ,000,000 50,078, DZ Bank AG FRN 0.64% ,000,000 35,005, Lloyds Bank FRN 0.64% ,000,000 25,102, National Australia Bank FRN 1.06% ,000,000 25,218, Nationwide Building Society FRN 0.52% ,000,000 67,379, Nationwide Building Society FRN 0.52% ,000,000 40,050, Nationwide Building Society FRN 0.54% ,870,000 33,873, Nederlandse Waterschapbank FRN 0.52% ,000,000 90,088, OP Corporate Bank FRN 0.76% ,850,000 52,997, Royal Bank of Canada FRN 0.56% ,000,000 24,999, Royal Bank of Canada FRN 0.69% ,200,000 48,375, Royal Bank of Canada FRN 1.04% ,000,000 50,345, Royal Bank of Scotland FRN 0.58% ,000,000 70,207, Santander FRN 0.59% ,000,000 79,266, Santander FRN 0.82% ,000,000 30,220, Suncorp-Metway FRN 0.94% ,400,000 53,457, Svenska Handelsbanken FRN 0.62% ,000,000 25,001, Swedbank FRN 0.54% ,500,000 37,541, Swedbank FRN 0.65% ,000,000 65,000, Swedbank FRN 0.81% ,000,000 50,175, Toronto Dominion Bank FRN 0.50% ,000,000 50,034, Toronto-Dominion Bank FRN 0.72% ,100,000 28,148, Westpac Banking Corporation FRN 0.65% ,250,000 49,314, Westpac Securities FRN 0.80% ,000, ,108, ,202,290, Mortgage Backed Securities (31 December 2016: 13.74%) Albion No.2 MBS 1.16% ,952,279 5,972, Albion No.3 MBS 1.01% ,623,932 4,652, Auburn Securities MBS 0.57% , , Auburn Securities MBS 0.65% ,728,505 2,706, Brass No. 5 MBS 0.81% ,849,744 12,908, Celeste Mortgage ing MBS 1.14% ,711,102 5,709, Darrowby MBS 0.87% ,620,532 16,690, Darrowby MBS 1.10% ,010,850 6,067, Duncan ing MBS 1.00% ,079,165 12,188, Duncan ing MBS 1.11% ,246,998 12,336,
12 Insight s PLC Plus Portfolio and Schedule of Investments (Continued) As at 30 June 2017 Security Description Nominal Holding Value % of Net Mortgage Backed Securities (31 December 2016: 13.74%) (continued) First Flexible MBS 0.53% , , First Flexible MBS 0.71% , , Fosse Master Issuer MBS 0.66% ,378,288 47,480, Fosse Master Issuer MBS 0.74% ,552,103 23,566, Fosse Master Issuer MBS 1.89% ,576,353 29,629, Friary No.2 MBS 0.91% ,861,750 8,898, Friary No.3 MBS 1.19% ,860,334 21,108, Friary No.4 MBS 0.75% ,090,000 31,120, Gemgarto MBS 1.26% ,000,845 2,009, Gosforth ing MBS 0.65% ,887,911 5,895, Gosforth ing MBS 0.71% ,646,632 3,650, Gosforth ing MBS 0.75% ,250,000 44,470, Gosforth ing MBS 0.92% ,440,000 35,682, Gosforth ing MBS 0.92% ,229,466 18,309, Gosforth ing MBS 1.13% ,936,513 7,993, Great Hall Mortgages MBS 0.44% ,668,873 1,618, Holmes Master Issuer MBS 1.09% ,000,000 20,333, Holmes Master Issuer MBS 1.89% ,667,303 17,740, Holmes Master Issuer MBS 2.19% ,890,286 3,894, Kenrick No. 2 MBS 0.99% ,839,204 9,878, Lanark Master Issuer '1X 1A' MBS 0.00% ,862,000 59,870, Lanark Master Issuer '1X 1A' MBS 0.80% ,000,000 2,003, Lanark Master Issuer '1X 2A' MBS 0.80% ,491,433 28,567, Lanark Master Issuer '1X 2A' MBS 1.30% ,450,000 14,577, Lanark Master Issuer '2X 2A' MBS 1.93% ,482,765 15,564, Oak No.1 MBS 0.97% ,868,511 10,920, Paragon Mortgages MBS 0.72% ,807,401 6,663, Paragon Mortgages MBS 1.09% ,002,684 7,031, Permanent Master Issuer MBS 0.74% ,750,000 10,787, Permanent Master Issuer MBS 0.94% ,000,000 21,104, Precise Mortgage ing No. 1 MBS 1.44% ,334,033 1,342, Precise Mortgage ing No. 2 MBS 1.24% ,588,217 6,615, Precise Mortgage ing No. 2 MBS 1.44% ,333,432 7,401, Resimac UK Rmbs No.1 MBS 1.24% ,823,407 13,818, Silverstone Master Issuer MBS 0.71% ,799,954 72,929, Silverstone Master Issuer MBS 0.99% ,000,000 20,137, ,267, Government Bonds (31 December 2016: 1.46%) United Kingdom (Government of) Bonds 2.00% ,000,000 10,482, United Kingdom (Government of) Bonds 5.00% ,000,000 10,322, ,804, Supranational Bonds (31 December 2016: 1.31%) European Investment Bank Bonds 0.60% ,000,000 35,214, European Investment Bank Bonds 0.65% ,754,000 50,092, ,306, Total Value of Transferable Securities 3,160,860,
13 Insight s PLC Plus Portfolio and Schedule of Investments (Continued) As at 30 June 2017 Forward Foreign Currency Contracts (31 December 2016: 0.07%) Counterparty Settlement Date Currency Buy Buy Amount Currency Sell Sell Amount Unrealised % of Net Gain Toronto-Dominion Bank GBP 92,566,879 NOK 1,000,000, , Unrealised gain on forward foreign currency contracts 878, Total gain on Financial Derivative Instruments 878, Forward Foreign Currency Contracts (31 December 2016: (0.03%)) Counterparty Settlement Date Currency Buy Buy Amount Currency Sell Sell Amount Unrealised % of Net Loss Westpac Banking Corporation EUR 246,208 GBP 216,972 (586) Toronto-Dominion Bank GBP 26,370,000 EUR 30,000,000 (25,976) Westpac Banking Corporation EUR 15,571,391 GBP 13,723,191 (37,902) Northern Trust GBP 56,530,500 EUR 65,000,000 (652,591) (0.01) Goldman Sachs GBP 30,077,670 EUR 35,000,000 (698,101) (0.01) Toronto-Dominion Bank GBP 33,584,000 EUR 40,000,000 (1,570,957) (0.03) Unrealised loss on forward foreign currency contracts (2,986,113) (0.05) Total loss on Financial Derivative Instruments (2,986,113) (0.05) Value % of Net Total Financial - Investment s 508,188, Total Financial - Transferable Securities 3,160,860, Total Financial - Money Market Instruments 1,840,756, Total Financial - Financial Derivative Instruments 878, Total Financial Liabilities - Financial Derivative Instruments (2,986,113) (0.05) Total cost of investments 5,500,042,958 (31 December 2016: 5,207,275,575) Cash (31 December 2016: 2.31%) 47,608, Collateral Cash (31 December %) 1,015, Net current liabilities (31 December 2016: 0.08%) (54,311,592) (0.99) Net assets attributable to holders of redeemable shares 5,502,009,
14 Insight s PLC Plus Portfolio and Schedule of Investments (Continued) As at 30 June 2017 Analysis of Total % of Total Transferable securities admitted to an official stock exchange listing 56.80% Money Market instruments admitted to an official stock exchange listing 33.08% Over the Counter Financial Derivative Instruments 0.02% Investment s 9.13% Cash and Other 0.97% % ^Cross investment holdings. 12
15 Insight s PLC Dollar Investment Manager s Report For the six months ended 30 June 2017 Market overview Positive sentiment towards the US economy is starting to fade, as the plans for a fiscal stimulus and tax cut by President Trump are becoming increasingly uncertain. The labor market has continued to tighten however, with the unemployment rate dropping to 4.3% in May. Other data points released towards the end of the period were more mixed. Manufacturing production contracted by 0.4% month-on-month in May and retail sales contracted by 0.3% month-on-month. With inflation data also showing signs of moderation (headline CPI moved from 2.2% in April to 1.9% in May and core inflation also softened to 1.7%), there is now speculation that the US Federal Reserve may move to a neutral position sooner than previously expected. Minutes released for the June US Federal Open Market Committee meeting showed a growing divide among voting members. Several participants raised concerns that progress towards the 2% inflation objective may have slowed, and that recent softness in inflation might persist. This culminated in Minneapolis Fed President Kashkari dissenting from the vote to increase the target range. The central bank continued to tighten policy through the period however, taking their policy rate to a range of % by the end of June. In money markets, the 1-month dollar Libor rate rose from 0.77% to 1.22% and the 3-month rate rose from 1.00% to 1.30 % over the six months. Portfolio review The returned 0.50% gross of fees over the six-month period under review versus the 7-day US dollar Libid return of 0.40%. The s duration and yield curve positioning relative to the benchmark were positive for returns. Activity was focused on short-dated and liquid securities and overnight deposits. The weighted average maturity of the was 24 days at the beginning of the period, and fell to 23 days by the end of June. Outlook While economic activity remains solid, expectations have proven too optimistic, buoyed by talk of a significant fiscal stimulus from the incoming president. This has resulted in some data disappointment and as yet it is unclear whether these data points suggest a meaningful deterioration in the US growth dynamic. As expected, the Federal Reserve raised the interest rate corridor for the federal funds target rate by 25bp at its June meeting, and continues to implement their gradual rate hiking cycle. The updated dot plot of economic projections still suggests a third rate hike this year, but market pricing suggests scepticism that economic data, particularly inflation, will recover sufficiently. Three further interest rates hikes are projected for On balance sheet reduction, a clear plan has been outlined, which involves a tiered adjustment in their securities holdings. Should the economy be doing well this could start as early as September. Insight Investment s Management Limited 160 Queen Victoria Street London EC4V 4LA England July
16 il Insight s PLC Dollar Portfolio and Schedule of Investments As at 30 June 2017 Security Description Nominal Holding Value $ % of Net Certificates of Deposit (31 December 2016: 15.87%) ABN Amro Bank CD 1.40% ,000,000 15,000, Bank of Tokyo-Mitsubishi UFJ CD 1.35% ,000,000 10,000, Danske Bank CD 0.00% ,000,000 4,998, KBC Bank CD 0.00% ,000,000 4,998, KBC Bank CD 0.00% ,000,000 4,997, Sumitomo Mitsui Banking Corporation CD 0.00% ,000,000 14,946, Sumitomo Mitsui Trust Bank Ltd CD 1.32% ,000,000 10,000, Toronto-Dominion Bank CD 1.35% ,500,000 7,499, ,439, Commercial Paper (31 December 2016: 37.02%) Agence Centrale des Organismes de Securite Sociale CP 0.00% ,000,000 4,999, Agence Centrale des Organismes de Securite Sociale CP 0.00% ,000,000 18,988, Akademiska Hus CP 0.00% ,000,000 9,981, Banque Federative Du Credit CP 0.00% ,000,000 9,965, Caisse des Depots et Consignations CP 0.00% ,000,000 14,998, DBS Bank CP 0.00% ,000,000 14,956, Dekabank Deutsche Girozentrale CP 0.00% ,000,000 19,987, Erste Abwicklungsanstalt CP 0.00% ,000,000 9,981, KFW CP 0.00% ,500,000 7,495, Kiwibank Ltd CP 0.00% ,000,000 9,984, L'Oreal CP 0.00% ,000,000 9,999, Nederlandse Waterschapsbank CP 0.00% ,000,000 20,000, Netherlands (Kingdom of) CP 0.00% ,000,000 20,000, Nordea Bank CP 0.00% ,000,000 9,961, NRW Bank CP 0.00% ,000,000 14,995, OP Corporate Bank CP 0.00% ,500,000 1,499, OP Corporate Bank CP 0.00% ,000,000 12,990, Overseas Chinese Banking Corporation CP 0.00% ,000,000 14,988, Schlumberger Finance CP 0.00% ,000,000 14,954, Societe Nationale des Chemins de Fer Francais CP 0.00% ,000,000 19,994, Temasek Financial (II) Private CP 0.00% ,000,000 4,996, Temasek Financial (III) Private CP 0.00% ,000,000 9,993, Toronto-Dominion Bank CP 0.00% ,000,000 5,997, ,712, Total Value of Money Market Instruments 354,152, Floating Rate Notes (31 December 2016: 2.12%) Government Bonds (31 December 2016: 9.75%) Time Deposits (31 December 2016: 35.20%) Bank of Tokyo-Mitsubishi UFJ TD 1.15% ,900,000 32,900, BRED Banque Populaire TD 1.27% ,000,000 57,000, Deutsche Zentral-Genossenschaftsbank TD 1.17% ,000,000 57,000, ING Bank TD 1.19% ,000,000 57,000, Landesbank Hessen-Thueringen Girozentrale TD 1.19% ,000,000 57,000, Rabobank Nederland TD 1.16% ,000,000 25,000, ,900,
17 Insight s PLC Dollar Portfolio and Schedule of Investments (Continued) As at 30 June 2017 Security Description Nominal Holding Value $ % of Net Total Financial - Money Market Instruments 354,152, Total Financial - Deposits with Credit Institutions 285,900, Total cost of investments $640,052,692 (31 December 2016: $512,537,223) Cash (31 December 2016: 0.08%) 3,551, Net current liabilities (31 December 2016: (0.04%)) (3,364,769) (0.52) Net assets attributable to holders of redeemable shares 640,239, Analysis of Total % of Total Money Market instruments admitted to an official stock exchange listing 55.00% Deposits with Credit Institutions 44.40% Cash and Other 0.60% % 15
18 Insight s PLC Euro Cash Investment Manager s Report For the six months ended 30 June 2017 Market overview European GDP data recorded a stronger-than-expected expansion in Q1 of 0.6% quarter-on-quarter, increasing speculation that the European Central Bank (ECB) will taper its quantitative easing program later in the year. This was exacerbated by ECB President Draghi, who talked about scaling back bond purchases, although he later appeared to try and moderate market sentiment surrounding the remarks. Headline inflation data decelerated to 1.3% year-on-year in June, and the recent strength of the euro is expected to have a dampening effect on future inflation if sustained. The eurozone business and consumer confidence survey for June showed that economic sentiment has risen to the highest level since August 2007, indicating positive economic momentum. Unemployment is steadily declining in previously crisis hit countries such as Greece and Spain, and this is an important factor underpinning the recovery in growth. Approximately 6.4m jobs have been created in the euro area since the peak in unemployment and the bank lending survey suggests that demand for consumer credit is now strengthening. Political risks diminished over the period, with centrist candidate Emmanuel Macron winning the French presidential election and a benign outcome in the Dutch elections. Although risks have not disappeared entirely, these results will act as a further boost to confidence, making it more likely that the euro area recovery will continue. In money markets, the 1-month Euribor rate was unchanged at -0.37% and the 3-month rate fell from -0.32% to -0.33%. Portfolio review The returned -0.21% gross of fees over the period under review versus the 7-day euro Libid return of -0.25%. The s duration and yield curve positioning relative to the benchmark were positive for returns. Activity was focused largely on highly liquid short-dated securities. The primarily made additions to the certificates of deposit and commercial paper portfolio from bank issuers. The also purchased a number of bonds issued mainly by banks as well as treasury bills issued by the French government. The weighted average maturity of the was 38 days at the beginning of the period and rose to 39 days by the end of June. Outlook Momentum within the euro area economy is gaining traction. The percentage of all sectors in the euro area that currently have positive growth was 84% in Q vs. an historical average of 74%, showing that the recovery is broad-based and not driven by any single sector or country. Critically, those countries worst hit by previous crisis are now enjoying the benefits of painful reforms, returning to growth and generating jobs. Political risks have diminished, but have not disappeared entirely. The ongoing negotiations regarding the UKs exit of the EU are likely to prove difficult, and the risks of the UK leaving without access to the single market or a trade deal are high. In Germany, Schulz and the SPD party have fallen back in the polls, but Italy could well call early elections and become a focus once again. We expect the ECB to remain accommodative, but to look through the fall in headline inflation where possible, while welcoming indications that activity is firming. The strengthening case of the hawks suggests that a tapering of quantitative easing could be announced as soon as September, if inflation stabilises. Insight Investment s Management Limited 160 Queen Victoria Street London EC4V 4LA England July
19 Insight s PLC Euro Cash Portfolio and Schedule of Investments As at 30 June 2017 Security Description Nominal Holding Value % of Net Certificates of Deposit (31 December 2016: 27.49%) BNP Paribas CD 0.00% ,000, ,041, BPCE CD 0.00% ,000,000 45,024, BRED Banque Populaire CD 0.00% ,000,000 25,002, BRED Banque Populaire CD 0.00% ,000,000 50,009, BRED Banque Populaire CD 0.00% ,000,000 25,021, Citibank CD 0.00% ,000,000 50,014, Cooperatieve Rabobank CD 0.00% ,000,000 10,002, Cooperatieve Rabobank CD 0.00% ,000,000 10,007, Credit Suisse CD 0.00% ,000,000 50,015, Credit Suisse CD 0.00% ,000,000 50,040, Danske Bank CD 0.00% ,000,000 25,000, HSBC France CD 0.00% ,000,000 40,030, ING Bank CD 0.00% ,000,000 25,009, ING Bank CD 0.00% ,000,000 45,038, KBC Bank CD 0.00% ,000,000 50,018, KBC Bank CD 0.00% ,000,000 50,033, Mitsubishi UFJ Trust and Banking Corporation CD 0.00% ,000,000 20,003, Mitsubishi UFJ Trust and Banking Corporation CD 0.00% ,000,000 25,006, Mitsubishi UFJ Trust and Banking Corporation CD 0.00% ,000,000 25,005, Mitsubishi UFJ Trust and Banking Corporation CD 0.00% ,000,000 50,040, Mizuho Corporate Bank CD 0.00% ,000,000 75,003, Mizuho Corporate Bank CD 0.00% ,000,000 50,023, Norinchukin Bank CD 0.00% ,000,000 19,003, Sumitomo Mitsui Trust Bank Ltd CD 0.00% ,000,000 50,004, Sumitomo Mitsui Trust Bank Ltd CD 0.00% ,000,000 25,004, ,408, Commercial Paper (31 December 2016: 32.60%) Banque Federative Du Credit CP 0.00% ,000,000 50,001, Banque Federative Du Credit CP 0.00% ,000,000 50,001, Banque Federative Du Credit CP 0.00% ,000,000 25,001, Collateralized Commercial Paper CP 0.00% ,000,000 25,002, Collateralized Commercial Paper CP 0.00% ,000,000 20,007, Collateralized Commercial Paper CP 0.00% ,000,000 20,015, Collateralized Commercial Paper CP 0.00% ,000,000 25,021, Collateralized Commercial Paper CP 0.00% ,000,000 10,008, Collateralized Commercial Paper CP 0.00% ,000,000 20,018, Collateralized Commercial Paper CP 0.00% ,000,000 20,021, Credit Agricole Corporate and Investment Bank CP 0.00% ,000, ,006, Danaher European Finance CP 0.00% ,000,000 35,003, Danaher European Finance CP 0.00% ,000,000 50,050, Danske Bank CP 0.00% ,000,000 10,003, Danske Bank CP 0.00% ,500,000 23,513, Dexia Credit Local CP 0.00% ,000,000 98,144, DH Europe Finance S.A. CP 0.00% ,000,000 50,037, Enexis Holding CP 0.00% ,000,000 50,018, Fingrid Oyj CP 0.00% ,000,000 15,025, L'Oreal CP 0.00% ,000,000 50,028, Lvmh Finance Belgique CP 0.00% ,000,000 40,002, Lvmh Finance Belgique CP 0.00% ,400,000 6,400, Lvmh Finance Belgique CP 0.00% ,000,000 30,007, Lvmh Finance Belgique CP 0.00% ,000,000 27,012, Lvmh Finance Belgique CP 0.00% ,000,000 10,009, Mitsubishi UFJ Securities International CP 0.00% ,000,000 25,003, Nordea Bank CP 0.00% ,000,000 16,001, Nordea Bank CP 0.00% ,000,000 34,009, Nordea Bank CP 0.00% ,500,000 35,532,
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