INDEX LINKED GILTS UNIT TRUST

Transcription

1 INDEX LINKED GILTS UNIT TRUST FOR THE YEAR ENDING 31 MARCH 2016

2 Manager St. James's Place Unit Trust Group Limited PO Box 9034, Chelmsford, CM99 2XA United Kingdom Freephone: (Authorised and regulated by the Financial Conduct Authority) Directors of the Manager D. C. Bellamy A. M. Croft I. S. Gascoigne D. J. Lamb Investment Adviser BlackRock Investment Management (UK) Limited 12 Throgmorton Avenue London, EC2N 2DL United Kingdom (Authorised and regulated by the Financial Conduct Authority) Trustee BNY Mellon Trust & Depositary (UK) Limited 160 Queen Victoria Street London, EC4V 4LA United Kingdom (Authorised and regulated by the Financial Conduct Authority) Registrar International Financial Data Services (UK) Limited IFDS House St. Nicholas Lane Basildon, SS15 5FS United Kingdom (Authorised and regulated by the Financial Conduct Authority) Independent Auditor PricewaterhouseCoopers LLP Atria One 144 Morrison Street Edinburgh, EH3 8EX United Kingdom Prospectus and Manager's Reports Copies of the up to date Prospectus (Scheme Particulars) and latest Manager's Report and Financial Statements for the range of St. James's Place Unit Trusts can be requested from a member of the St. James's Place Partnership or, at any time during normal business hours, from the Administration Centre at PO Box 9034, Chelmsford CM99 2XA. Freephone:

3 Report of the Manager The Report of the Manager consists of The Trust's Performance, Risk and Reward Profile, Investment Adviser's Comments and Portfolio Statement. The Trust's Performance The performance of the Trust since its launch in April 2012 and over the year under review is shown below, together with figures for the most commonly quoted indices in comparable markets where the major proportion of the Trust has been invested. St. James's Place Index Linked Gilts Unit Trust Income units (offer to offer) Accumulation units (offer to offer) Gross Income units (offer to offer)* Gross Accumulation units (offer to offer)* Indices - actual FTSE British Government Index Linked Gilts < 5 Years (Total Return) FTSE British Government Index Linked Gilts 5-15 Years (Total Return) 10/04/12 to 31/03/15 to 31/03/16 31/03/16 % change % change * Gross Income and Gross Accumulation units were made available on 6 October 2014 and the performance shown is from that date. Source: FTSE International Limited ( FTSE ) FTSE FTSE is a trade mark of the London Stock Exchange Group companies and is used by FTSE International Limited under licence. All rights in the FTSE indices and / or FTSE ratings vest in FTSE and/or its licensors. Neither FTSE nor its licensors accept any liability for any errors or omissions in the FTSE indices and / or FTSE ratings or underlying data. No further distribution of FTSE Data is permitted without FTSE s express written consent. REMEMBER THAT THE PRICE OF UNITS AND REVENUE FROM THEM MAY GO DOWN AS WELL AS UP. PLEASE BE AWARE THAT PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE PERFORMANCE. Risk and Reward Profile The synthetic risk and reward indicator for the St. James's Place Index Linked Gilts Unit Trust, as disclosed in its most recent Key Investor Information Document (KIID), is a 3. It was calculated using performance data up to 1 February The risk category is recalculated weekly and during the year under review, the risk category did not change. Investment Adviser's Comments The 10-year gilt yield ended the reporting period at 1.42%, a moderate fall over the year of 0.16% although that masks significant movements. After a strong rally in the lead-up to the introduction of the European Central Bank s quantitative easing (QE) programme, markets were struck by volatility most acutely from April 2015 as deadlocked bailout negotiations pushed Greece to the verge of exiting the eurozone and Chinese shares tumbled sharply. Turmoil engulfed equity markets again in August after a surprise devaluation of China s currency. Gilts and other high-quality sovereign bonds largely held firm although riskier fixed income assets, such as high-yield bonds, sold off sharply. The Bank of England held its interest rate at the record-low 0.5% throughout the year as the UK twice slipped into deflation. Mark Carney wrote the first ever open letters from a Bank governor to explain why inflation was too low rather than too high. The Federal Reserve raised US interest rates in December for the first time in almost a decade. Markets reacted calmly to the move, which had been well telegraphed by policymakers. However, just days later risk assets again sold off and bond yields fell as 2016 opened to China-led risk aversion and slowing growth in leading developed economies. Bond yields showed little sign of rising significantly even after risk found some support in the middle of the first quarter. This saw the 10-year gilt yield plummet to an all-time intraday low of under 1.22% in February. 2

4 Report of the Manager (continued) Central bank stimulus again proved pivotal in restoring risk sentiment, with the European Central Bank pulling out the stops in March by cutting all three of its interest rates and expanding its QE programme more than markets were expecting. An EU agreement on the UK s reform proposals allowed prime minister David Cameron to set the in/out referendum on EU membership for 23 June. Gilts reacted mutedly although sterling slumped to a seven-year low against the dollar of $1.39 and also weakened against other currencies as the campaign to leave the EU gathered momentum. BlackRock Investment Management (UK) Limited 18 April

5 Comparative table as at 31 March 2016 Net Asset Value and Ongoing Charges Figure 31/03/ /03/ /03/2014 Income Change in net assets per unit (p) (p) (p) Opening net asset value per unit Return before operating charges* (4.31) Operating charges (1.09) (1.13) (1.26) Return after operating charges* (0.90) 2.14 (5.57) Distributions on income units (1.06) (0.79) (1.03) Closing net asset value per unit *after direct transaction costs of: Performance Return after charges (0.94%) 2.27% (5.53%) Other information Closing net asset value ( 000) 4,650 5,021 11,820 Closing number of units 4,972,274 5,258,338 12,556,933 Operating charges** 1.16% 1.20% 1.18% Direct transaction costs -% -% -% Prices Highest unit price (p) Lowest unit price (p) /03/ /03/ /03/2014 Accumulation Change in net assets per unit (p) (p) (p) Opening net asset value per unit Return before operating charges* (0.90) 2.19 (5.63) Operating charges (0.01) (0.01) (0.01) Return after operating charges* (0.91) 2.18 (5.64) Closing net asset value per unit Retained distributions on accumulation units* *after direct transaction costs of: Performance Return after charges (0.92%) 2.27% (5.54%) Other information Closing net asset value ( 000) 92,025 83,206 90,748 Closing number of units 94,395,104 84,556,435 94,317,461 Operating charges** 1.17% 1.20% 1.18% Direct transaction costs -% -% -% Prices Highest unit price (p) Lowest unit price (p)

6 Comparative table as at 31 March 2016 (continued) 31/03/ /03/2015 Gross Income Change in net assets per unit (p) (p) Opening net asset value per unit Return before operating charges* 0.46 (3.00) Operating charges (1.09) (0.55) Return after operating charges* (0.63) (3.55) Distributions on income units (1.36) (0.32) Closing net asset value per unit *after direct transaction costs of: - - Performance Return after charges (0.66%) (3.57%) Other information Closing net asset value ( 000) 14,882 14,078 Closing number of units 15,921,978 14,747,673 Operating charges** 1.16% 1.20% Direct transaction costs -% -% Prices Highest unit price (p) Lowest unit price (p) Gross Income units were made available on 6 October

7 Comparative table as at 31 March 2016 (continued) 31/03/ /03/2015 Gross Accumulation Change in net assets per unit (p) (p) Opening net asset value per unit Return before operating charges* 0.49 (3.07) Operating charges (1.13) (0.57) Return after operating charges* (0.64) (3.64) Closing net asset value per unit Retained distributions on accumulation units* *after direct transaction costs of: - - Performance Return after charges (0.65%) (3.57%) Other information Closing net asset value ( 000) 56,950 45,021 Closing number of units 58,220,703 45,726,720 Operating charges** 1.16% 1.20% Direct transaction costs -% -% Prices Highest unit price (p) Lowest unit price (p) Gross Accumulation units were made available on 6 October **Operating charges are prepared using the same methodology as the ongoing charges appearing in the KIID, based on the information in this report. This figure may differ from the performance figure quoted in the Investment Report. The Investment Report performance figure is calculated using the last available published price for a given shareclass in the period compared to the equivalent for the prior period. The price per the financial statements values the fund on a bid-price basis. The financial statements shareclass valuation is based on market prices on the last day of the period, which can differ from the intraday pricing point of the Trust. 6

8 Portfolio Statement as at 31 March 2016 Security Holdings Market Value 000 % of Net Assets UK GOVERNMENT INDEX LINKED GILTS (99.34%) 167, UK Treasury Index Linked 2.5% 26/07/2016 8,784,850 28, UK Treasury Index Linked 1.25% 22/11/ ,482,410 18, UK Treasury Index Linked 0.125% 22/11/2019 9,145,000 10, UK Treasury Index Linked 2.5% 16/04/2020 7,405,880 26, UK Treasury Index Linked 1.875% 22/11/ ,233,410 15, UK Treasury Index Linked 0.125% 22/03/2024 9,987,000 11, UK Treasury Index Linked 2.5% 17/07/2024 4,457,950 15, UK Treasury Index Linked 0.125% 22/03/2026 2,920,000 3, UK Treasury Index Linked 1.25% 22/11/2027 9,231,000 15, UK Treasury Index Linked 0.125% 22/03/2029 9,355,000 11, UK Treasury Index Linked 4.125% 22/07/2030 3,160,000 10, Investment assets 167, Total other assets (net) Net assets 168, Comparative figures shown in brackets relate to 31 March All investments are approved securities as defined in the Collective Investment Schemes sourcebook unless otherwise stated. 7

9 Material Portfolio Changes Cost Purchases 000 UK Treasury Index Linked 2.5% 16/04/ ,449 UK Treasury Index Linked 4.125% 22/07/ ,691 UK Treasury Index Linked 1.875% 22/11/2022 6,173 UK Treasury Index Linked 2.5% 17/07/2024 6,154 UK Treasury Index Linked 1.25% 22/11/2027 6,110 UK Treasury Index Linked 0.125% 22/03/2024 5,454 UK Treasury Index Linked 2.5% 26/07/2016 5,190 UK Treasury Index Linked 0.125% 22/03/2029 5,035 UK Treasury Index Linked 0.125% 22/03/2026 4,069 UK Treasury Index Linked 1.25% 22/11/2017 3,352 Proceeds Sales 000 UK Treasury Index Linked 2.5% 26/07/ ,674 UK Treasury Index Linked 1.25% 22/11/2017 8,035 UK Treasury Index Linked 0.125% 22/11/2019 4,526 UK Treasury Index Linked 1.875% 22/11/2022 4,026 UK Treasury Index Linked 1.25% 22/11/2027 3,914 UK Treasury Index Linked 2.5% 17/07/2024 3,867 UK Treasury Index Linked 0.125% 22/03/2029 3,305 UK Treasury Index Linked 0.125% 22/03/2024 3,227 UK Treasury Index Linked 2.5% 16/04/2020 1,740 UK Treasury Index Linked 4.125% 22/07/2030 1,258 8

10 Statement of the Manager's Responsibilities in relation to the Financial Statements of the Trust The rules in the Financial Conduct Authority's Collective Investment Schemes Sourcebook ("the Rules") require the Manager to prepare Financial Statements for each annual accounting period which give a true and fair view of the financial position of the Trust as at the end of the year and of the net revenue and the net capital losses on the property of the Trust for the year then ended. In preparing the Financial Statements the Manager is required to: select suitable accounting policies and then apply them consistently; make judgements and estimates that are reasonable and prudent; comply with the requirements of the Statement of Recommended Practice relating to Authorised Funds and the Trust Deed; follow applicable UK Accounting Standards (UK Generally Accepted Accounting Practice); and prepare Financial Statements on the going concern basis unless it is inappropriate to presume that the Trust will continue in operation. The Manager is responsible for keeping proper accounting records and for the management of the Trust in accordance with its Trust Deed, Prospectus and the Rules. The Manager has a general responsibility for taking such steps as are reasonably open to it to prevent and detect fraud and other irregularities. Directors' Certificate This report is certified in accordance with the requirements of the rules in the Financial Conduct Authority's Collective Investment Schemes Sourcebook. A. M. Croft D. J. Lamb London 27 May

11 Report of the Trustee to the unitholders of St. James s Place Index Linked Gilts Unit Trust Trustee's responsibilities The Trustee is responsible for the safekeeping of all the property of the Trust (other than tangible moveable property) which is entrusted to it and for the collection of income that arises from that property. It is the duty of the Trustee to take reasonable care to ensure that the Trust is managed in accordance with the Financial Conduct Authority s Collective Investment Schemes Sourcebook ( COLL ), the Trust Deed and Prospectus, in relation to the pricing of, and dealings in, units in the Trust; the application of income of the Trust; and the investment and borrowing powers and restrictions applicable to the Trust. Report of the Trustee to the unitholders of St. James s Place Index Linked Gilts Unit Trust for the year ended 31st March 2016 Having carried out such procedures as we considered necessary to discharge our responsibilities as Trustee of the Trust, it is our opinion, based on the information available to us and the explanations provided, that, in all material respects, the Manager: (i) has carried out the issue, sale, redemption and cancellation, and calculation of the price of the Trust s units and the application of the Trust s income in accordance with the Sourcebook, the Trust Deed and Prospectus, and (ii) has, observed the investment and borrowing powers and restrictions applicable to the Trust. For and on behalf of BNY Mellon Trust & Depositary (UK) Limited 160 Queen Victoria Street London EC4V 4LA Manager Date 09 April

12 Independent Auditors' Report to the Unitholders of St. James's Place Index Linked Gilts Unit Trust Our opinion In our opinion, St. James's Place Index Linked Gilts Unit Trust's financial statements, (the "financial statements"): give a true and fair view of the financial position of the Trust as at 31 March 2016 and of the net revenue and the net capital losses of the scheme property of the Trust for the year then ended; and have been properly prepared in accordance with United Kingdom Generally Accepted Accounting Practice, the Statement of Recommended Practice for UK Authorised Funds, the Collective Investment Schemes sourcebook and the Trust Deed. What we have audited The financial statements, which are prepared by St. James s Place Unit Trust Group Limited (the Authorised Fund Manager ), comprise: the balance sheet of the Trust as at 31 March 2016; the statement of total return of the Trust for the year then ended; the statement of change in net assets attributable to unitholders of the Trust for the year then ended; the notes to the Trust s financial statements, which include a summary of significant accounting policies and other explanatory information; and the distribution tables. The financial reporting framework that has been applied in their preparation is applicable law and United Kingdom Accounting Standards (United Kingdom Generally Accepted Accounting Practice), the Statement of Recommended Practice Financial Statements of UK Authorised Funds issued by the Investment Management Association (the Statement of Recommended Practice for UK Authorised Funds ), the Collective Investment Schemes sourcebook and the Trust Deed. In applying the financial reporting framework, the Authorised Fund Manager has made a number of subjective judgements, for example in respect of significant accounting estimates. In making such estimates, they have made assumptions and considered future events. Opinions on matters prescribed 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; and the information given in the Authorised Fund Manager s Report for the financial year for which the financial statements are prepared is consistent with the financial statements. Other matters on which we are required to report by exception Propriety of accounting records and information and explanations received Under the Collective Investment Schemes sourcebook we are 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. 11

13 Independent Auditors' Report to the Unitholders of St. James's Place Index Linked Gilts Unit Trust Responsibilities for the financial statements and the audit Our responsibilities and those of the Authorised Fund Manager (continued) As explained more fully in the Statement of the Manager's Responsibilities set out on page 9, the Authorised Fund Manager is responsible for the preparation of the financial statements and for being satisfied that they give a true and fair view. Our responsibility is to audit and express an opinion on the financial statements in accordance with applicable law and ISAs (UK & Ireland). Those standards require us to comply with the Auditing Practices Board s Ethical Standards for Auditors. 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. What an audit of financial statements involves We conducted our audit in accordance with International Standards on Auditing (UK and Ireland) ( ISAs (UK & Ireland) ). An audit involves obtaining evidence about the amounts and disclosures in the financial statements sufficient to give reasonable assurance that the financial statements are free from material misstatement, whether caused by fraud or error. This includes an assessment of: whether the accounting policies are appropriate to the Trust s circumstances and have been consistently applied and adequately disclosed; the reasonableness of significant accounting estimates made by the Authorised Fund Manager; and the overall presentation of the financial statements. we primarily focus our work in these areas by assessing the directors' judgements against available evidence, forming our own judgements, and evaluating the disclosures in the financial statements. we test and examine information, using sampling and other auditing techniques, to the extent we consider necessary to provide a reasonable basis for us to draw conclusions. We obtain audit evidence through testing the effectiveness of controls, substantive procedures or a combination of both. In addition, we read all the financial and non-financial information in the Annual Report (the Annual Report ) to identify material inconsistencies with the audited financial statements and to identify any information that is apparently materially incorrect based on, or materially inconsistent with, the knowledge acquired by us in the course of performing the audit. If we become aware of any apparent material misstatements or inconsistencies we consider the implications for our report. PricewaterhouseCoopers LLP Chartered Accountants and Statutory Auditors Edinburgh 27 May 2016 The maintenance and integrity of the St. James s Place website is the responsibility of the Fund Manager; 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. 12

14 Statement of Total Return for the year ended 31 March 2016 Income Net capital (losses)/gains Revenue Expenses Interest payable and similar charges Net revenue/(expenses) before taxation Taxation Net revenue/(expenses) after taxation 01/04/15 to 31/03/16 01/04/14 to 31/03/15 Notes (1,437) 3, ,456 1,292 4 (1,927) (1,449) (157) (157) Total return before distributions (908) 2,939 Distributions 6 (2,332) (1,191) Change in net assets attributable to unitholders from investment activities (3,240) 1,748 Statement of Change in Net Assets Attributable to Unitholders for the year ended 31 March /04/15 to 31/03/16 01/04/14 to 31/03/ Opening net assets attributable to unitholders 147, ,568 Movement due to creation and cancellation of units: Amounts receivable on creation of units* 91, ,276 Amounts payable on cancellation of units* (68,531) (60,174) Change in net assets attributable to unitholders from investment activities (see above) Retained distribution on accumulation units Closing net assets attributable to unitholders 22,585 42,102 (3,240) 1,748 1, , ,325 *Prior year figures in relation to Dilution Levy have been reclassified and included within creations and cancellation of units as this was income and expenses arising from creations and cancellations respectively. 13

15 Balance Sheet as at 31 March 2016 Assets Investments Current assets Debtors Cash and bank balances Total assets Liabilities Creditors Distribution payable Other creditors Total liabilities Net assets attributable to unitholders 31/03/16 31/03/15 Notes , , , , ,068 (113) (40) 10 (238) (703) (351) (743) 168, ,325 14

16 Notes to the Financial Statements for the year ended 31 March (a) (b) (c) (d) (e) (f) (g) Accounting and Distribution policies Basis of accounting The Financial Statements have been prepared under the historical cost basis, as modified by the revaluation of investments, in compliance with the Financial Conduct Authority's Collective Investment Schemes Sourcebook. They have been prepared in accordance with United Kingdom Generally Accepted Accounting Practice, including Financial Reporting Standard 102 (The Financial Reporting Standard applicable in the UK and Republic of Ireland FRS 102) and in accordance with the Statement of Recommended Practice (SORP) for Financial Statements of Authorised Funds issued by the Investment Management Association May 2014 (IMA SORP 2014). Both FRS 102 and SORP 2014 have been adopted in the current year. The changes in the SORP 2014 are presentational only and there have been no changes to any figures detailed within the financial statements. The financial statements are prepared on the going concern basis. Revenue Interest on deposits is accounted for on an accruals basis. Interest earned on interest bearing securities are determined on an effective yield basis. Effective yield is a revenue calculation that reflects the amount of amortisation of any discount or premium on the purchase price over the remaining life of the security. Expenses All expenses of the Trust are recognised on an accruals basis and are deducted from revenue with the exception of Investment Adviser's fee, handling charges which are deducted from capital. The manager has agreed that 100% of the annual management charge is to be transferred to capital for the purpose of calculating the distribution, as permitted by the Collective Investment Schemes Sourcebook. Valuation of investments Listed investments have been valued at bid market value at midday on 31 March 2016 (31/03/15: bid market value at midday), net of any accrued interest which is included in the Balance Sheet as a revenue related item. Foreign exchange Assets and liabilities have been translated into sterling at the exchange rates prevailing at the Balance Sheet date. Transactions involving foreign currencies are converted at the rate ruling on the date of the transaction. Taxation Provision is made for corporation tax at the current rate on the excess of taxable revenue over allowable expenses. Deferred tax is provided for on the liability method on all timing differences. A deferred tax asset is only recognised to the extent that a timing difference will be of future benefit. Distribution policy Distributions are made in respect of quarters ended 31 March, 30 June, 30 September and 31 December. At the end of the accounting period all remaining revenue, less revenue expenses and taxation, will be attributable to unitholders. In the case of income unitholders this will be paid as a distribution. In the case of accumulation unitholders the distribution will be reinvested. Equalisation on distributions received is deducted from the cost of the investment. For the purposes of the calculation of the distribution, revenue from Index Linked debt securities is computed on an effective yield basis excluding indexation for UK Index Linked securities. The Fund satisfied the qualifying investments test of Section 468 L Income and Corporation Taxes Act 1988 throughout the year. All distributions made are therefore made as interest distributions. 15

17 Notes to the Financial Statements (h) Equalisation Non-derivative securities Handling charges Net capital (losses)/gains 01/04/15 to 31/03/16 (continued) Equalisation applies only to units purchased during the distribution period. It is the accrued revenue element of the purchase price of all such 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. Net capital (losses)/gains 01/04/14 to 31/03/ (1,435) 3,098 (2) (2) (1,437) 3,096 Revenue 01/04/15 to 31/03/16 01/04/14 to 31/03/ Interest on debt securities 2,456 1,292 Total revenue 2,456 1,292 Expenses 01/04/15 to 31/03/16 01/04/14 to 31/03/ Payable to the Manager Management charge 1,728 1,206 Payable to the Trustee Trustee's fee Other expenses Audit fee 6 13 Investment administration fee 8 11 Registrar's fee Safe custody fee 1 1 Tax & compliance fee 1 4 Investment adviser's fee Professional fees Total expenses 1,927 1,449 With effect from 26 October 2015 all expenses are now paid by the Manager out of the Annual Management Charge with exception of the Investment Adviser fee and AMC fee rebate. This includes current year Audit Fee of 12,

18 Notes to the Financial Statements (continued) 5. Taxation 01/04/15 to 31/03/16 01/04/14 to 31/03/ (a) Analysis of charge in year: There is no corporation tax charge in the current year or prior year. (b) Factors affecting total tax charge for the year: The tax assessed for the year is lower than the standard rate of corporation tax in the UK for an authorised unit trust of 20% (2015: 20%). The differences are explained below: Net revenue/(expenses) before taxation 529 (157) (c) (d) Corporation Tax at 20% (2015: 20%) Effects of: Movement in excess management expenses Tax deductible interest distributions Distributions 106 (31) (31) 31 (75) Total tax charge for year (note 5a) Deferred taxation: There is no provision required for deferred taxation at the balance sheet date. Factors that may affect future tax charges At the year end, after offset against revenue taxable on receipt, there is a potential deferred tax asset of nil (31/03/15: 31,343) relating to surplus management expenses. No deferred tax asset was recognised in the prior year as it was considered unlikely the Trust would generate sufficient taxable profits in the future to utilise these amounts. The distributions take account of revenue received on the creation of units and revenue deducted on the cancellation of units and comprises: 01/04/15 to 31/03/16 01/04/14 to 31/03/ First interim distribution Second interim distribution Third interim distribution Final distribution Revenue tax withheld ,394 1,238 Add: Revenue deducted on cancellation of units Deduct: Revenue received on creation of units (271) (119) Net distributions for the year 2,332 1,191 Movement between net revenue / (expenses) and net distributions 01/04/15 to 01/04/14 to 31/03/16 31/03/ Net revenue/(expense) after taxation 529 (157) Deficit transferred to capital - 71 Management charge 1,728 1,206 Other expenses paid out of capital Net distributions for the year 2,332 1,191 17

19 Notes to the Financial Statements 8. Debtors Amounts receivable for creation of units Accrued revenue Total debtors Cash and bank balances Cash and bank balances: Sterling Total cash and bank balances Other creditors Purchases awaiting settlement Amounts payable for cancellation of units Accrued expenses Total other creditors 11. Units in issue Reconciliation of the unit movement in the year: (continued) 31/03/16 31/03/ , ,597 31/03/16 31/03/ /03/16 31/03/ Opening Units Closing units units in issue Creations Cancellations converted in issue Income 5,258,338 37,816,047 (38,102,111) - 4,972,274 Accumulation 84,556,435 25,038,758 (15,200,089) - 94,395,104 Gross Income 14,747,673 17,496,265 (16,321,960) - 15,921,978 Gross Accumulation 45,726,720 15,431,226 (2,937,243) - 58,220, Related party transactions St. James's Place Unit Trust Group Limited together with the subsidiaries including associates are related parties and regarded as controlling parties by virtue of having the ability to act in respect of operations of the Trust. The Manager's service charge paid to St. James's Place Unit Trust Group Limited is shown in note 4 and details of the value of units created and cancelled by St. James's Place Unit Trust Group Limited are shown in the Statement of Change in Net Assets Attributable to Unitholders. The net balances due to St. James's Place Unit Trust Group Limited at the year end in respect of these transactions was 99,035 (31/03/15: due from 1,040,374). The Manager, St. James's Place Unit Trust Group Limited, is a subsidiary of St. James's Place Wealth Management Group plc ('SJPWMG'). Two fellow subsidiaries of SJPWMG, St. James's Place International plc and St. James's Place UK plc, invest some of their life and pension policyholders' funds into the St. James's Place Index Linked Gilts Unit Trust. The value of these investments at the year end was 66,823,661 (31/03/15: 63,877,091). 13. Capital commitments and contingent liabilities On 31 March 2016, the Trust had no capital commitments (31/03/15: nil) and no contingent liabilities (31/03/15: nil). 18

20 Notes to the Financial Statements (continued) 14. Financial instruments In accordance with the investment objectives, as stated on page 25, the Trust held certain financial instruments. These comprise: Interest bearing assets; and Cash (including overdrafts) and short-term debtors and creditors that arise directly from its operations. 15. Risk management The Manager s objectives in managing investment risk are to ensure that the investment profile of the Trust is consistent with its stated investment objectives and risk profile, and to ensure appropriate liquidity. Day to day responsibility for managing investment risk is delegated to the Investment Adviser, who is required to manage the Trust in accordance with FCA regulations, the Prospectus and the terms of their Investment Management Agreement with the Manager. The Manager monitors the activities of the Investment Adviser, through a variety of mechanisms including the following: Initial and ongoing due diligence of Investment Adviser investment and risk management procedures including on site reviews; Periodic reviews of the investments held by the Trust and their compliance with investment objectives and liquidity requirements; and Ongoing review of the investment performance of the Trust against appropriate benchmarks. The main risks arising from the Trust's financial instruments are market price risk, interest rate risk, credit risk and liquidity risk. The Manager's policies for managing these risks are summarised below. These policies have remained unchanged since the beginning of the year to which these financial statements relate (same for 2015). (a) Market price risk Market price risk represents the potential loss the Trust might suffer through holding market positions in the face of price movements. The Manager has delegated the investment management of the portfolio to an external Investment Adviser who determines the asset allocation and minimises the risk associated with particular countries or industry sectors, whilst continuing to follow the Trust s investment objectives. The Manager has the responsibility for monitoring the portfolio to ensure compliance with the investment objectives and that an acceptable risk and reward profile is maintained. The sensitivity of the fund to market risk is calculated using the Value-at-Risk (VaR) approach. VaR is a mathematical-statistical concept and is commonly used as a standard measure of risk in the financial sector. The maximum potential loss that a fund could suffer under normal market conditions within a given time horizon and a certain degree of confidence is estimated. An absolute VaR is calculated using the historic return series of each fund. Using the Historical VaR approach, a 1% 20-day VaR using 10 years of historical daily data is calculated. An annualised VaR limit of 20% is considered for the fund. The actual VaR is summarised in the table below: Lowest monthly VaR Highest monthly VaR Average monthly VaR (b) Interest rate risk 01/04/15 to 31/03/16 01/04/14 to 31/03/15 % % Interest rate risk arises due to variability in market interest rates. Some investments held by the Trust, such as Gilts, are highly sensitive to fluctuations in market interest rates. Interest receivable on bank deposits or payable on bank overdraft positions will also be affected by these fluctuations. This risk is managed by ensuring that the Trust s assets are diversified. 19

21 Notes to the Financial Statements (continued) The interest rate risk profile of the Trust's financial assets and liabilities at 31 March 2016 was: Floating rate financial assets Net Financial Fixed rate assets not financial carrying assets interest Currency Total /03/2016 GBP , ,507 31/03/2015 GBP , ,325 (c) Credit risk Credit risk occurs where there is a risk associated with the uncertainty of a counterparty s ability to meet its obligations. This risk is managed by reviewing the counterparty s credit rating, at the time of purchase and on an ongoing basis, and ensuring that the portfolio is sufficiently diversified. The impact of movements in credit rating and spread, and their effect on market prices, is considered to be part of market price risk, which is discussed above. The Trust s investments and cash are held on its behalf by State Street Bank and Trust Company (acting as agent), the custodian to the Trust, and its appointed sub custodians. Bankruptcy or insolvency of the custodian or its sub custodians may cause the Trust s rights with respect to securities to be delayed. This risk is managed through ongoing monitoring of the custodian and periodic reviews of its procedures for selecting and monitoring sub custodians, together with ad hoc reviews of custodian and sub custodian credit ratings. Certain transactions in securities that the Trust enters into expose it to the risk that the counterparty will not deliver the investment (purchase) or cash (sale) after the fund has fulfilled its responsibilities. The external Investment Adviser selects acceptable counterparties through which investments are bought and sold. The Manager has responsibility for monitoring the process by which these counterparties are selected to minimise risk. Summary of Investment Assets by Credit Ratings Rating Block 31/03/16 31/03/ Investment grade bonds 167, ,352 Total bonds 167, ,352 Where the Investment Managers make an investment in a bond with credit risk, that credit risk is assessed and then compared to the prospective investment return of the security in question. The risk is managed by reviewing the credit ratings of those bonds at time of purchase and on an ongoing basis. (d) Liquidity risk Liquidity risk arises where liabilities cannot be met when they fall due or can only be met at an uneconomic price. For instance, this could arise if the Trust faces significant redemptions in a short period of time. In order to manage this risk the manager monitors the Trust with the aim of ensuring that it contains diversified liquid assets, that the Trust possesses sufficient liquidity for the purpose of meeting the redemption of units, and that the Trust has sources of borrowing available to it. 20

22 Notes to the Financial Statements (continued) (e) Derivative risk The Manager may use derivative instruments to hedge the value of the investment portfolio against market and stock specific risk through investment in warrants, options and futures. The purpose of the financial instruments is efficient portfolio management. In particular futures may be used to implement the investment policy in a timely manner and to manage market risk arising from the time lag between funds being receivable or payable by the Trust and investment and disinvestment in underlying securities. No such derivatives were held by the Trust in the year to 31 March (f) Maturity profile of financial liabilities All financial liabilities of the Trust at the year end are due to settle in one year or less, or on demand. (g) Fair value of financial assets and liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the Balance Sheet, and their fair values. 16. Portfolio transaction costs There were no transactions costs incurred during the year to 31 March Purchases Sales 01/04/15 to 31/03/16 01/04/14 to 31/03/15 01/04/15 to 31/03/16 01/04/14 to 31/03/ Bonds 70,435 63,499 47,431 21,264 Trades in the year before transaction costs 70,435 63,499 47,431 21,264 Commissions Bonds Taxes Bonds Total costs Trades in the year after transaction costs 70,435 63,499 47,431 21,264 Total transaction cost expressed as a percentage of asset type cost. Purchases Sales 01/04/15 to 31/03/16 01/04/14 to 31/03/15 01/04/15 to 31/03/16 01/04/14 to 31/03/15 % % % % Commissions Bonds Taxes Bonds Total transaction cost expressed as a percentage of net asset value. 01/04/15 to 31/03/16 01/04/14 to 31/03/15 % % Commissions - - Taxes Total costs Average portfolio dealing spread The average portfolio dealing spread at the balance sheet date was 0.03% (31/03/2015: 0.07%). 21

23 Notes to the Financial Statements (continued) 17. Fair value The intention of a fair value measurement is to estimate the price at which an asset or a liability could be exchanged in the market conditions prevailing at the measurement date. The measurement assumes the exchange is an orderly transaction (that is, it is not a forced transaction, involuntary liquidation or distress sale) between knowledgeable, willing participants on an independent basis. The purpose of the fair value hierarchy is to prioritise the inputs that should be used to measure the fair value of assets and liabilities. The highest priority is given to quoted prices at which a transaction can be entered into and the lowest priority to unobservable inputs. The fund has early adopted the March 2016 amendment to section 34 of FRS102 (Fair Value Hierarchy disclosures that simplify preparation of financial instrument disclosure), which is applicable to accounting periods beginning on or after 1 January 2017 with earlier application permitted. 31/03/ /03/2015 Assets Liabilities Assets Liabilities Valuation technique Level 1 167, ,352 - Level Level Total fair value 167, ,352 - Level 1: The unadjusted quoted price in an active market for identical assets or liabilities that the entity can access at the measurement date. Level 2: Inputs other than quoted prices included within Level 1 that are observable (i.e. developed using market data) for the asset or liability, either directly or indirectly. Level 3: Inputs are unobservable (i.e. for which market data is unavailable) for the asset or liability. Over the Counter (OTC) derivatives (including equity swaps) are held at fair value which are determined by valuation techniques or single broker quotes. 22

24 Distribution Tables Distributions in pence per unit Group 1 First interim Units purchased prior to 1 April 2015 Second interim Units purchased prior to 1 July 2015 Third interim Units purchased prior to 1 October 2015 Final Units purchased prior to 1 January 2016 Group 2 Income Gross revenue Income tax Net revenue Equalisation Distributions paid to/ payable 31/05/16 Distributions paid to 31/05/15 Group 1 (p) (p) (p) (p) (p) (p) First interim Second interim Third interim Final Group 2 (p) (p) (p) (p) (p) (p) First interim Second interim Third interim Final Accumulation First interim Units purchased on or after 1 April 2015 to 30 June 2015 Second interim Units purchased on or after 1 July 2015 to 30 September 2015 Third interim Units purchased on or after 1 October 2015 to 31 December 2015 Final Units purchased on or after 1 January 2016 to 31 March 2016 Gross revenue Income tax Net revenue Equalisation Distributions paid to/ payable 31/05/16 Distributions paid to 31/05/15 Group 1 (p) (p) (p) (p) (p) (p) First interim Second interim Third interim Final Group 2 (p) (p) (p) (p) (p) (p) First interim Second interim Third interim Final

25 Distribution Tables (continued) Gross Income Gross revenue Income tax Net revenue Equalisation Distributions paid to/ payable 31/05/16 Distributions paid to 31/05/15 Group 1 (p) (p) (p) (p) (p) (p) First interim Second interim Third interim Final Group 2 (p) (p) (p) (p) (p) (p) First interim Second interim Third interim Final Gross Accumulation Gross revenue Income tax Net revenue Equalisation Distributions paid to/ payable 31/05/16 Distributions paid to 31/05/15 Group 1 (p) (p) (p) (p) (p) (p) First interim Second interim Third interim Final Group 2 (p) (p) (p) (p) (p) (p) First interim Second interim Third interim Final

26 General Information The Trust St. James's Place Index Linked Gilts Unit Trust is an authorised Unit Trust scheme under section 243 of the Financial Services and Markets Act (2000) and is constituted by a Trust Deed dated 12 March The Unit Trust is subject to the rules of the Financial Conduct Authority's Collective Investment Scheme Sourcebook and is classified as a UCITS Scheme. The Trust Manager The Manager of the Trust is St. James's Place Unit Trust Group Limited which is authorised and regulated by the Financial Conduct Authority. Investment Objectives The investment objective of the Scheme is to provide a combination of growth and income, by investing primarily in a portfolio of UK index linked gilts. The Scheme may also invest in other, non-uk, highly rated government backed index linked securities, and is also permitted to invest in other types of transferable securities, units and/or shares in collective investment schemes, money market instruments, cash and near cash, and deposits. The Scheme is permitted to invest in derivatives and forward transactions for the purposes of efficient portfolio management (including hedging). It is the Manager's intention that the assets of the Unit Trust will be invested so that the Unit Trust will be eligible for inclusion in an ISA. Unit Dealings Dealings on the Trust take place on a daily basis. Purchase or sale instructions can be made by telephone or in writing to St. James's Place Unit Trust Group Limited, PO Box 9034, Chelmsford, CM99 2XA, United Kingdom, freephone: The Manager adopts a policy of forward pricing, i.e. the order will be transacted on the dealing day following receipt of the client's instructions, or if received before noon, on that dealing day. In the case of telephone purchases of units from the Manager, settlement must be by return of post after receipt of the contract note. In the case of telephone redemptions, the proceeds will not become payable until the receipt at the Administration Centre of a written request. A contract note confirming the subscription or redemption price and the number of units involved will be forwarded, together with a cancellation notice, where appropriate, on the next business day. The most recent issue and redemption prices will be published on the Manager's website: and are available by calling the Administration Centre on Minimum Investment The minimum lump sum investment is 1,500, thereafter the minimum additional investment is 1,000. The minimum monthly investment is 150 and the minimum monthly increment is 50. The minimum annual investment is 1,500 and the minimum annual increment is 500. Gross Unit Classes On 6 October 2014 the Manager launched gross income and accumulation unit classes in the Scheme. Gross units are only available for investments held within an ISA. 25

27 General Information (continued) Management Charges With effect from 26 October 2015 the Manager changed the charging structure of the Scheme. The annual management charge has been increased to include many of the predictable costs, such as trustee fees and administration fees, which were previously charged directly to the Scheme. These changes were presentational only and there has been no overall increase in the total charges met by the Scheme. In addition, the way the annual management charge is calculated has been changed. The charge was previously calculated monthly, based on the Scheme value on the first business day of the month; with effect from 26 October 2015 it is calculated daily, based on the Scheme value every day. The Trust Deed permits the following management charges which are receivable by the Manager: (a) A Preliminary Charge of 5 per cent which is included in the offer price of the Units. (b) An Annual Management Charge at a rate of 1.12 per cent (1 per cent prior to 26 October 2015) of the value of the Trust. Income Distributions Income distributions are made quarterly on or before the 28 February, 31 May, 31 August and 30 November. Accumulation Distributions Revenue due to accumulation unitholders is reflected in the price of their units. Tax Vouchers Income unitholders that receive income distributions by direct credit and accumulation unitholders (where the distribution income is reinvested) receive an annual consolidated tax voucher in May with all the relevant payment and tax information required to complete a tax return. Tax vouchers will be enclosed if income unitholders receive payment by cheque. Report A report is sent semi-annually to all unitholders on or before 31 May and 30 November. Capital Gains Tax The Trust is not liable to tax on capital gains and any individual holding units will not be liable to capital gains tax unless the total chargeable gains for the tax year 2016/2017 exceed 11,100 (2015/ ,100). To calculate capital gains on accumulation units, the total amount of reinvested net revenue (shown on the annual tax credit vouchers) should be added to the base cost of the units purchased. Unitholders should consult their professional advisers for any advice regarding their tax position. Remuneration St. James s Place PLC ( SJP PLC ) personnel providing services to St. James s Place Unit Trust Group Limited ( the Manager ) are subject to the SJP PLC Remuneration Policy (the Remuneration Policy ). The Remuneration Policy reflects the remuneration requirements of the UCITS V Directive (2014/91/EU). Details of the Remuneration Policy are available through www1.sjp.co.uk/about-st-james-place/our-responsibilities/corporate-governance which is updated periodically to reflect changes to the policy. Following the implementation of UCITS V in the UK on 18 March 2016, all authorised UCITS Managers are required to comply with the UCITS V Remuneration Code from the start of their next accounting year. Under the UCITS V Directive, the Manager is required to disclose information relating to the remuneration paid to its staff for the financial year, split into fixed and variable remuneration. The Manager s Financial Year end is 31 December, it is therefore anticipated that the Manager s Remuneration Policy and associated financial disclosures will be made within the Annual Reports starting from 31 December 2017, following its first full performance period. Prior to this date, and in line with the FCA's guidance on the UCITS V remuneration disclosures, the Manager would be part way through its first performance period and the information available would not be relevant or provide a proper basis for comparison. 26