INSIGHT LIQUIDITY FUNDS PLC

INSIGHT LIQUIDITY FUNDS PLC(An Investment Company with Variable Capital and Segregated Liability between Funds)

ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

FINANCIAL YEAR ENDED 31 DECEMBER 2020

Insight Liquidity Funds PLC

PAGEContentsReport of the Directors 1

ILF GBP Liquidity Fund “Sterling Liquidity Fund”Investment Manager’s Report (Unaudited) 10Portfolio and Schedule of Investments 11

ILF GBP Liquidity Plus Fund “Sterling Liquidity Plus Fund”Investment Manager’s Report (Unaudited) 17Portfolio and Schedule of Investments 19

ILF USD Liquidity Fund “Dollar Liquidity Fund”Investment Manager’s Report (Unaudited) 24Portfolio and Schedule of Investments 25

ILF EUR Cash Fund “Euro Cash Fund”Investment Manager’s Report (Unaudited) 27Portfolio and Schedule of Investments 28

ILF EUR Liquidity Plus Fund “Euro Liquidity Plus Fund”Investment Manager’s Report (Unaudited) 31Portfolio and Schedule of Investments 32

Statement of Comprehensive Income 35

Statement of Financial Position 37

Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares 40

Statement of Accounting Policies 42

Notes to the Financial Statements 49

Independent Auditor’s Report 76

Report of the Depositary to the Shareholders 79

Directors and Other Information 80

Unaudited Appendices 81

Portfolio Changes (Unaudited) 85


Report of the Directors

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The Directors have pleasure in submitting the Annual Report together with the Audited Financial Statements for the financial year ended 31 December 2020.

Principal Activities

Insight Liquidity Funds PLC (the “Company”) is an investment company with variable capital organised under the laws of the Republic of Ireland. The Company is authorised by the Central Bank of Ireland (the “Central Bank”) as an Undertaking for Collective Investment in Transferable Securities (“UCITS”) in accordance with the provisions of the European Communities (UCITS) Regulations 2011 (the “UCITS Regulations”) and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019 (the “Central Bank UCITS Regulations”). This, however, does not constitute a warranty by the Central Bank as to the financial standing or creditworthiness of the Company and the Central Bank will not be liable by virtue of its authorisation of the Company, or by reason of its exercise of the functions conferred on it by the Companies Act 2014, for the performance or default of the Company. The Company is organised in the form of an umbrella fund with segregated liability between Funds and as at 31 December 2020 had five constituent funds (each a “Fund”, collectively the “Funds”).

The Company may from time to time, with the prior approval of the Central Bank, obtain authorisation of one or more Funds as an Authorised Money Market Fund which shall be designed as a variable net asset value money market fund (“VNAV MMF”), a public debt constant net asset value money market fund (“Public Debt CNAV MMF”) or a low volatility net asset value money market fund (“LVNAV MMF”), as specified in Supplement for the relevant Fund.

The Sterling Liquidity Fund and Dollar Liquidity Fund are LVNAV MMFs, categorised as short-term money market funds in accordance with the Money Market Fund Regulation (EU) 2017/1131 (“MMFR”). The Euro Cash Fund is a VNAV MMF, categorised as a short-term money market fund in accordance with the MMFR. The Sterling Liquidity Plus Fund and Euro Liquidity Plus Fund are not Money Market Funds. There have been no breaches of the terms of the MMFR during the financial year.

Results and Business Review

The results for the financial year are stated on pages 35 to 41 of the Annual Report.

The development and performance of the Funds during the financial year is discussed in the Investment Manager’s Report.

Principal Risks and Uncertainties

The principal risks and uncertainties faced by the Company are market price risk, liquidity risk, foreign currency risk, credit risk and interest rate risk. Further information on the Company’s risk management policies is provided in Note 9.

Changes in the UK Political Environment

In a referendum held on 23 June 2016 the electorate of the United Kingdom voted to leave the EU. This has set in motion a sustained period of uncertainty which has brought about political and economic instability and volatility in the financial markets of the United Kingdom and more broadly across the EU. Although the Brexit deal agreed on 24 December 2020 has brought about some political certainty, some aspects remain under discussion.

The extent of the impact of Brexit is still largely unknown and may depend in part upon the nature and implementation of the Brexit deal, as well as extent to which the United Kingdom intends to implement existing EU legislation.

Those decisions could materially and adversely affect the regulatory regime to which Insight Investment Funds Management Limited (the “Investment Manager”) and Insight Investment Management (Global) Limited (the “Sub- Investment Manager”) are currently subject in the United Kingdom, particularly in respect of financial services regulation and taxation.


Report of the Directors (Continued)

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The longer term process to implement the political, financial and legal framework that is agreed between the United Kingdom and the EU, may lead to continuing uncertainty and periods of volatility in the United Kingdom and some or all of the other 27 members of the EU (some of which are countries in which the Investment Manager and/or Sub- Investment Manager conducts business) and/or the Eurozone.

There may be detrimental implications for the value of certain of a Fund’s investments, its ability to enter into transactions, to value or realise certain of its investments or otherwise to implement its investment policy. This may be due to, among other things, increased uncertainty and volatility in the United Kingdom, EU and other financial markets, fluctuations in asset values, fluctuations in exchange rates, increased illiquidity of investments located, traded or listed within the United Kingdom, the EU or elsewhere, changes in the willingness or ability of financial and other counterparties to enter into transactions, or the price and terms on which they are prepared to transact; and/ or changes in legal and regulatory regimes to which Insight Liquidity Funds PLC (the “Company”), the Investment Manager, the Sub-Investment Manager and/or certain of a Fund’s assets are or become subject to.

The Investment Manager has a fully regulated Irish entity, Insight Investment Management (Europe) Limited (the “Manager”). The Manager’s main business is the provision of fund management services to collective investment schemes such as the Company. The Manager is authorised and supervised by the Central Bank of Ireland as a UCITS management company under the UCITS Regulations and is also authorised by the Central Bank of Ireland as an alternative investment fund manager under the European Union (Alternative Investment Fund Managers) Regulations. The Manager has been appointed as the manager of the Company pursuant to a management agreement, with power to delegate one or more of its functions, subject to the overall control of the Company, so that in the event of any regulatory changes resulting from the United Kingdom leaving the EU, the relationship between the Company and its investment manager will remain unchanged.

The Manager has delegated certain functions which include the function of investment management and distributor to the Investment Manager. The Investment Manager is a private limited company incorporated under the laws of England and Wales. It is authorised and regulated by the Financial Conduct Authority (the “FCA”) in the United Kingdom as an authorised fund manager of collective investment schemes. The Investment Manager has in turn, sub-delegated its investment manager function to the Sub-Investment Manager pursuant to a sub-investment management agreement. The Sub-Investment Manager is a private limited company incorporated under the laws of England and Wales which is authorised and regulated by the FCA.

In February 2019, the FCA agreed a multilateral memorandum of understanding (“MoU”) with the EU and EEA National Competent Authorities (which includes the Central Bank of Ireland) as well an MoU with the European Securities and Markets Authority (“ESMA”) which will become effective if the United Kingdom leaves the EU without an agreement. The MoU supports the cross border supervision of firms and will permit the sharing of information with EU counterparties. It is the intention that the MoUs will allow for continued close cooperation between the remaining 27 countries of the EU and the United Kingdom. The MoUs will also allow for EU fund managers (such as the Manager) to delegate portfolio management services to a UK registered manager (such as the Investment Manager) in the event that the United Kingdom leaves the EU in circumstances where it becomes designated a third country for regulatory purposes.

Future Developments

The Company will continue to act as an investment vehicle as set out in its Prospectus. A review and outlook of the Funds is included in the Investment Manager’s Report.

Changes in the UK Political Environment (Continued)



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Directors and Secretary

The following Directors who held office on 31 December 2020 and throughout the financial year, under the Memorandum and Articles of Association, are not required to retire by rotation:

Michael Boyce (Irish)* John Fitzpatrick (Irish)* Barry McGrath (Irish)* Charles Farquharson (British)** (Retired 3 December 2020) Gregory Brisk (British)**Lee Hutson-Pope (British)** (Appointed 14 January 2021)

*Directors independent of the Investment Manager- Insight Investment Funds Management Limited.**Directors are non-executive.

Directors’ and Secretary’s Interests

None of the Directors, their connected persons or the Company Secretary held any interest in the shares of the Company, nor had they any interest in any contract of significance of the Company, during the financial year. As at 31 December 2020, the Company had no employees.

Accounting Records

The Directors have taken all reasonable measures to secure compliance with the Company’s obligation, under Section 281 to 285 of the Companies Act 2014, to keep proper accounting records and the use of appropriate systems and procedures and employment of competent persons.

The accounting records are kept at the following address:

George’s Court 54-62 Townsend Street Dublin 2 Ireland

Transactions with Connected Persons

Any transaction carried out with a UCITS by a management company or depositary to the UCITS, the delegates or sub-delegates of the management company or depositary, and any associated or group of such a management company, depositary, delegate or sub-delegate (“connected persons”) must be carried out as if negotiated at arm’s length. Transactions must be in the best interests of the shareholders.

The Directors are satisfied that there are arrangements (evidenced by written procedures) in place, to ensure that the obligations set out in Regulation 43(1) of the Central Bank UCITS Regulations are applied to all transactions with connected persons, and are satisfied that transactions with connected persons entered into during the financial year complied with the obligations set out in Regulation 43(1) of the Central Bank UCITS Regulations.

Distributions

Distributions declared during the financial year are stated on page 35 of the Annual Report. A detailed Distributions Policy note is included in the Statement of Accounting Policies on pages 45 and 46.

Soft Commissions

The Investment Manager is satisfied that there have been no soft commission arrangements during the financial years ended 31 December 2020 and 31 December 2019.



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Events During the Financial Year

COVID-19 Developments

The outbreak of the coronavirus since the start of January 2020 has had a material impact on global financial markets and economic stability. The Management Company is following the guidance of the authorities in each relevant region, with colleagues working remotely where required. In accordance with the flexible working policy, team members are equipped with the technology and support to work remotely. All core processes can be undertaken remotely, and the IT infrastructure can support large-scale remote working in the event of disruption. The dealers have the technology to support remote working, as do the investment teams. The remote-working technologies have been designed and deployed in a way that replicates the same key system controls that are operational in the office environment. The ongoing oversight of outsourced arrangements includes a periodic review of the outsourcer’s business-continuity processes. The Board is currently satisfied with the plans of all of key providers, and continue to monitor developments closely.

Memorandum and Articles of Association (“M&A”) Update

On 9 July 2020, the Central Bank of Ireland approved the amendments made to the Memorandum and Articles of Association of the Company in the updated version that was approved by Shareholders at an EGM on 29 June 2020. The principal amendments related to the following:

• Share Certificates - the facility to issue share certificates is no longer required and accordingly, all references to these instruments were removed;

• Refusal to Register Transfers & Compulsory Repurchase or Transfer of Shares – additional grounds shall be included for consistency with the Prospectus and to ensure, inter alia, that no acquisition or share transfer may be made which would contravene the M&A, the provisions of any law (including anti-money laundering and counter-terrorist financing provisions) or produce a result inconsistent with any provision of the Prospectus;

• Appointment of Service Providers – the terms relating to the appointment of the manager, depositary, sub-custodians, investment manager, administrator and other service providers were replaced to more closely align with the specific disclosure requirements introduced by recent laws and regulations;

• Declaration of Dividends – these provisions were updated to more closely align with the current Central Bank disclosure requirements and the treatment of dividends from an accounting perspective;

• Payment of Dividend – de minimus provisions were included on the payment of dividends;

• Accounts – these provisions were updated to more closely reflect the requirements of the Companies Act 2014. It can be noted that the changes do not impact on the financial information made available to Shareholders;

• Taxation - the taxation provisions of the M&A were updated to include disclosure in relation to the Foreign Account Tax Compliance Act and the Common Reporting Standard;

• Cash Accounts - the M&A were updated to include the power to operate cash accounts in accordance with the requirements of the Central Bank;

• Termination of Funds – additional grounds were included for the termination of Funds including termination: (i) by special resolution of Shareholders; (ii) by notice in writing to Shareholders; and (iii) where provided for in the Prospectus and/or Supplement.

• Anti-Dilution Levy/ Dilution Adjustment - the M&A were updated to clarify the operational distinction between a dilution adjustment (swing pricing) and an anti-dilution levy, which are both designed to preserve the net asset value per share of a fund in the case of net subscriptions or net repurchases.

• Limitations on Repurchase of Shares – new provisions were included to make clear, inter alia, that repurchase proceeds may be withheld where necessary to comply with anti-money laundering legislation and to clarify that repurchased shares are cancelled;

• Total Repurchase of Shares – disclosure was included to provide for the total repurchase of shares in prescribed circumstances;



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• Valuation of Assets – minor updates were made to the valuation provisions to more closely reflect the requirements of the Central Bank;

• Issue of Shares –minor updates were made to make clear that where payment in full for any shares is not received by the relevant Settlement Date, or where, there is non-clearance of funds, any allotment of shares may be cancelled with the monies being returned to the applicant, or alternatively, the monies may be treated as payment in respect of an application for shares for the Dealing Day next following receipt of such monies/cleared funds. In such cases, the Company may charge the applicant for any resulting bank charges or market losses incurred by the Company. The applicant may also be charged interest together with an administration fee;

• Other Miscellaneous Changes including:

• Indemnity & Insurance – these provisions were updated to reflect that Directors and officers' insurance is obtained;

• Fiduciary Duties – to make specific reference to the fiduciary duties imposed on the Directors as prescribed by the Companies Act 2014; and

• Electronic Proxy – to make specific reference to the basis upon which proxies are to be provided in electronic format.

Prospectus Update

A revised Prospectus of the Company was noted by the Central Bank of Ireland on 04 August 2020, which included the following key changes:

To incorporate the first Addendum to the Prospectus dated 26 March 2019 into the main body of the Pro-spectus;

• To reflect regulatory changes including the coming into force of MiFID II, GDPR and EMIR;

• To replace the term "Investment Adviser" with "Sub-Investment Manager" in line with other Insight offering documents;

• To include enhanced detail and clarificatory updates on the potential adoption of a swing pricing mechanism and the potential imposition of anti-dilution levies;

• To update the investment restrictions section to reflect the latest Central Bank requirements;

• To include enhanced disclosures on SFTR - in this regard, please note there has been no change to the Funds' exposures to securities financing transactions;

• To incorporate detail on the potential use of currency hedged share classes within the main body of the Prospectus noting that certain Supplements previously included disclosure on same;

• To include minor updates to the collateral disclosure section to more closely reflect the requirements of the Central Bank UCITS Regulations;

• To update the risk factors section to: (i) incorporate currency risk factors within the main body of the Prospectus and to remove duplicated disclosure from the Supplements; and (ii) to reflect revised operational risks, US regulatory risks and the impact of the EU Securitisation Rules;

• To update the subscription procedure to include additional detail on the process for same;

• To update the anti-money laundering disclosure;

• To include disclosure on the possibility of share class restrictions (it is confirmed that the share class restrictions do not impact existing investors);

Events During the Financial Year (Continued)

Memorandum and Articles of Association (“M&A”) Update (Continued)



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• To update the grounds for terminating a fund and for compulsory redemption or transfer of;

• To include disclosure on the total repurchase of;

• To outline measures to respond to abusive trading practices;

• To update the dividend disclosure to more closely align with the current Central Bank disclosure requirements;

• To include minor ancillary updates to reflect the passage of time (including biographical updates, updates to the Depositary's list of delegates and Irish, UK and US tax updates).

Prospectus Update - Supplements

The Funds' Supplements were updated to reflect the following changes:

• To incorporate reference to the reference benchmark of the relevant Fund – in this regard, please note that the Investment Manager has confirmed that there is no change in how the Funds are being managed with this being used for performance measurement purposes;

• To remove the FX transactions risk factor noting this is now contained within the main body of the Prospectus;

• ILF USD Liquidity Fund & ILF GBP Liquidity Fund only:

• To reflect a change in dealing deadline for certain dealing days;

Supplement Update

ILF GBP Liquidity Fund, ILF USD Liquidity Fund, ILF GBP Liquidity Plus Fund and ILF EUR Liquidity Plus Fund – Change of Benchmark

On 30 September 2020, revised supplements for ILF GBP Liquidity Fund, ILF USD Liquidity Fund, ILF GBP Liquidity Plus Fund and ILF EUR liquidity Plus Fund were noted by the Central Bank of Ireland. The changes, which were notified to Shareholders in advance, were made after a review of the cash management fund range was completed in order to determine the specific impacts to each fund as the market transitions away from LIBOR to Sterling Overnight Index Average (SONIA) and other risk free reference rates. All references to LIBOR in the fund documents were amended as stated in the table below. The GBP funds changed to reference SONIA and the USD fund changed to reference the Effective Federal Funds Rate (“EFFR”). EUR funds continue to reference EURIBID as this reference rate is unaffected by the transition, however the target for the ILF EUR Liquidity Plus Fund has changed and is referenced in the table. The changes took effect from 1 October 2020.

Fund Benchmark TargetILF GBP Liquidity Fund SONIA SONIAILF GBP Liquidity Plus Fund SONIA SONIA + 25bp pa (before tax,

fees and expenses)ILF EUR Liquidity Plus Fund 3-month EURIBID 3-month EURIBID + 25bp pa

(before tax, fees and expenses)ILF USD Liquidity Fund EFFR EFFR

ILF GBP Liquidity Fund and ILF USD Liquidity Fund - Change of Dealing Price

On 27 November 2020, revised supplements for ILF GBP Liquidity Fund and ILF USD Liquidity Fund were noted by the Central Bank of Ireland. The changes, which were notified to Shareholders in advance, were made to prepare the Funds for a potential negative yield environment. In respect of all Classes of Shares in the Funds, the dealing price at which Shareholders subscribe and repurchase Shares is changed from the Net Asset Value Per Share (the “NAV”) on the Dealing Day (“T”) to the NAV on the previous Dealing Day (“T-1”).


Prospectus Update (Continued)



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Share Class Launches and Closures

On 7 February 2020, ILF GBP Liquidity Plus Fund re-launched Share Class 1. The Share Class closed on 23 December 2019.

On 26 February 2020, ILF GBP Liquidity Plus Fund closed Share Class 1.

Foreign Registrations

On 16 March 2020, ILF EUR Cash Fund and ILF EUR Liquidity Plus Fund became registered for sale in Germany.

Other Information

Change of address of registered office of the Company and of the Manager

On 4 September 2020, the address of the registered office of the Company and of the Manager changed to: Riverside Two, Sir John Rogerson’s Quay, Dublin D02 KV60, Ireland.

Change of Secretary of the Company and Manager

On 4 September 2020, the Secretary to the Company and Manager changed to Insight Investment Management (Europe) Limited, Riverside Two, Sir John Rogerson’s Quay, Dublin D02 KV60, Ireland.

Change of Director

On 3 December 2020, Charles Farquharson retired as Non-Executive Director of Insight Liquidity Funds PLC.

There have been no other material events during the financial year which the Directors deem relevant to these Financial Statements.

Subsequent Events

Memorandum and Articles of Association Update

On 10 February 2021, the Central Bank of Ireland approved the amendments made to the Memorandum and Articles of Association of the Company in the updated version that was approved by Shareholders at an Extraordinary General Meeting (“EGM”) on 04 February 2021. The principal amendments related to the following:

• in line with the Companies Act 2014 (the "Act"), to allow the Directors of the Company to take the below action at their discretion, without the need to obtain approval of shareholders by way of an ordinary resolution:

• consolidate and divide all or any of its share capital into shares of larger amount; and

• subject to the provisions of the Act, subdivide its shares, or any of them, into shares of smaller amount or value, (and so that the resolution whereby any share is sub-divided may determine that, as between the holders of the shares resulting from such sub-division, one or more of the shares may have, as compared with the others, any such preferred, deferred or other rights or be subject to any such restrictions as the Company has power to attach to unissued or new shares).

The above change has made in order to prepare for a potential negative yield environment, that may impact the money market funds of the Company ("MMFs"). The change, which brings the provision into line with current market practice, amongst others, allows the Directors to react quickly to the need to consolidate the shares of a MMF on a conversion of the shares from an income to accumulation distribution policy. In such circumstances, a conversion might be required to ensure that the Net Asset Value per Share of a MMF can be calculated with the necessary precision to show the daily accumulation of positive or negative income.

On 10 February 2021, the Supplements for the ILF GBP Liquidity Fund and the ILF USD Liquidity Fund were updated to provide for the ability of the Directors to consolidate a class of existing Stable Net Asset Value Shares (as defined in the Supplement for the relevant Fund such that their base will move from £/USD 1.00 per Shares to £/USD 100 per Share upon advance notice to Shareholders, where practicable.




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Other Information

On 14 January 2021, Lee Hutson-Pope was appointed as Non-Executive Director of Insight Liquidity Funds PLC.

Supplement Update

On 22 January 2021, a revised supplement for ILF GBP Liquidity Fund was noted by the Central Bank of Ireland. The update was made to include Class 9 (accumulation) Shares.

There have been no other significant events affecting the Company since the financial year end.

Fund Names

Please note that the funds are referred as follows throughout the Financial Statements:

ILF GBP Liquidity Fund Sterling Liquidity Fund ILF GBP Liquidity Plus Fund Sterling Liquidity Plus Fund ILF USD Liquidity Fund Dollar Liquidity Fund ILF EUR Cash Fund Euro Cash FundILF EUR Liquidity Plus Fund Euro Liquidity Plus Fund

Directors’ Compliance Statement

The Directors, in accordance with Section 225(2) of the Companies Act 2014, acknowledge that they are responsible for securing the Company’s compliance with certain obligations specified in that section arising from the Companies Act 2014 and Tax laws (“relevant obligations”). The Directors confirm that:

• a compliance policy statement has been drawn up setting out the Company’s policies with regard to such compliance;

• appropriate arrangements and structures that, in their opinion, are designed to secure material compliance with the Company’s relevant obligations, have been put in place; and

• a review has been conducted, during the financial year, of the arrangements and structures that have been put in place to secure the Company's compliance with its relevant obligations.

Audit committee

There are no committees of the Board in existence. The Directors are aware of section 167 of the Companies Act 2014 which requires certain companies to establish an audit committee. For the financial year ending 31 December 2020, the Directors confirm that they did not establish an audit committee due to the fact that the responsibilities of the audit committee as outlined in section 167 are already carried out by the Board such that establishing a separate committee of the Board was determined not to be necessary.

Statement on Relevant Audit Information

In accordance with Section 332 of the Companies Act 2014 each of the persons who are Directors at the time the report is approved confirm the following:

1) so far as the Director is aware, there is no relevant audit information of which the Company’s statutory auditors are unaware; and

2) the Director has taken all the steps that he or she ought to have taken as a Director in order to make himself or herself aware of any relevant audit information and to establish that the Company’s statutory auditors are aware of that information.

Statement of Directors' Responsibilities

The Directors are responsible for preparing the Directors’ Report and Financial Statements, in accordance with applicable law and regulations.

Subsequent Events (Continued)



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Company law requires the Directors to prepare Financial Statements for each financial year. Under that law they have elected to prepare the Financial Statements in accordance with Irish Law and FRS 102 The Financial Reporting Standard applicable in the UK and Republic of Ireland.

Under company law the Directors must not approve the Financial Statements unless they are satisfied that they give a true and fair view of the assets, liabilities and financial position of the Company and of its increase in net assets attributable to holders of redeemable participating shares for that year. In preparing the Financial Statements, the Directors are required to:

• select suitable accounting policies and then apply them consistently; • make judgements and estimates that are reasonable and prudent; • state whether applicable Accounting Standards have been followed, subject to any material departures

disclosed and explained in the Financial Statements; • access the Company’s ability to continue as a going concern, disclosing, as applicable, matters related to going

concern; and • use the going concern basis of accounting unless they either intend to liquidate the Company or to cease

operations, or have no realistic alternative but to do so.

The Directors are responsible for keeping adequate accounting records which disclose with reasonable accuracy at any time the assets, liabilities, financial position and profit or loss of the Company and enable them to ensure that the Financial Statements comply with the Companies Act 2014, the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019. They have general responsibility for taking such steps as are reasonably open to them to safeguard the assets of the Company. In this regard they have entrusted the assets of the Company to a trustee for safe-keeping. They are responsible for such internal controls as they determine is necessary to enable the preparation of Financial Statements that are free from material misstatement, whether due to fraud or error, and to prevent and detect fraud and other irregularities. The Directors are also responsible for preparing a Directors’ Report that complies with the requirements of the Companies Act 2014.

Independent Auditors

The auditors, KPMG, Chartered Accountants, have indicated their willingness to continue in office in accordance with Section 383 of the Companies Act 2014.

Corporate Governance Code

Irish Funds, the association for the funds industry in Ireland, has published a corporate governance code (the “Code”) that may be adopted on a voluntary basis by Irish authorised collective investment schemes. The Board of Directors has adopted the Code, and the Company was in compliance with all elements of the Code during the financial year.

On behalf of the Board Michael Boyce John Fitzpatrick23 April 2021

Statement of Directors' Responsibilities (Continued)


Sterling Liquidity FundInvestment Manager’s Report (Unaudited)For the financial year ended 31 December 2020

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Market overview The rapid spread of the coronavirus, and measures to contain it, dominated financial markets throughout the first quarter of 2020. Mass lockdowns led to significant market volatility and a temporary decline in liquidity. The Bank of England cut rates by 60bp and injected £200bn of quantitative easing into the market. The UK government also announced extensive measures to support businesses and individuals, including boosting benefits and the funding of new loans. Fitch Ratings downgraded the United Kingdom's Long-Term Issuer Default Ratings to 'AA-' from 'AA', with a negative outlook.

During the second quarter, the UK government instructed the Debt Management Office (“DMO”) to ramp up its new issuance programme. Gilt investors displayed high demand for the issuance. In May, the DMO issued its first-ever negative-yielding bond: the 3-year gilt was issued at a yield of -0.03%.

The Bank of England kept rates on hold through the third quarter but noted in its meeting minutes that negative rates had been discussed. Policymakers hinted that rates would stay low until inflation reached the central bank’s 2% target. Annual inflation (as measured by the Consumer Prices Index) fell to its lowest level since 2015, dropping from 1% in July to 0.2% in August. Worries that a resurgence of COVID-19 would put more pressure on the UK economy were reflected in equity markets; UK stocks underperformed global peers over the quarter. Political risks increased late in the quarter, as the UK government announced details of its Internal Market Bill.

Throughout the fourth quarter, the Bank of England (“BoE”) held its key bank rate at 0.1%. During November, the BoE increased the size of its asset purchase program by £150 billion to £875 billion. Due to the discovery of a new, quicker spreading, variant of COVID-19 and the upcoming Brexit transition, the BoE made the decision to avoid further policy changes at the end of the year. The UK and EU finally came to a Brexit trade agreement shortly before the end of the year. This meant that the UK avoided having to comply with the more onerous regime of the World Trade Organization. Sterling rallied sharply.

The 1-month sterling Libor rate fell, beginning the period at 0.70% and ending at 0.02%. The 3-month Libor rate began the year at 0.79% and fell to 0.03% by the end of the period. Short-dated gilts yields also fell over the period. The 2-year gilt yield fell from 0.55% to -0.16%, while the 5-year fell from 0.58% to -0.08% by the end of the period.

Portfolio review The Fund returned 0.33% gross of fees over the period under review versus the SONIA return of 0.09%. The Fund’s duration and yield-curve positioning relative to the benchmark were positive for returns. Fund strategy was unchanged during the period, remaining focused on security and liquidity. Trading focused largely on highly liquid, short-dated instruments.

The Fund primarily made additions to the certificates of deposit and commercial paper portfolio from bank issuers. The Fund also traded very short-dated gilts during the period under review, as well as buying bonds issued by CDC, KfW and the International Bank for Reconstruction and Development. It also bought floating rate notes from issuers including the Commonwealth Bank of Australia, Euroclear, JPMorgan, Rabobank, Royal Bank of Canada, and Canadian Imperial Bank of Commerce. The weighted average maturity of the Fund was 34 days at the beginning of the period and rose to 50 days at the end of the year.

OutlookThe stringent lockdowns enacted across the UK in December to curb the new variant of COVID-19 are likely to dampen economic activity levels later in the year. Although a Brexit deal has been reached, the lack of provision for the services sector represents another risk.

Insight Investment Funds Management Limited 160 Queen Victoria Street London EC4V 4LA England January 2021


Sterling Liquidity FundPortfolio and Schedule of InvestmentsAs at 31 December 2020

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Security DescriptionNominal Holding

Value £

% of Net Assets

Certificates of deposit (31 December 2019: 31.53%)Banco Santander CD 0.00% 06.01.2021 25,000,000 24,999,941 0.09Banco Santander CD 0.00% 11.01.2021 5,000,000 4,999,976 0.02Banco Santander CD 0.00% 11.01.2021 10,000,000 9,999,856 0.04Banco Santander CD 0.00% 11.01.2021 5,000,000 4,999,976 0.02Banco Santander CD 0.00% 11.01.2021 5,000,000 4,999,976 0.02Banco Santander CD 0.00% 18.01.2021 10,000,000 9,999,958 0.04Banco Santander CD 0.00% 19.01.2021 5,000,000 5,000,000 0.02Banco Santander CD 0.00% 15.02.2021 10,000,000 9,999,665 0.04Banco Santander CD 0.00% 19.02.2021 50,000,000 49,997,989 0.18Banco Santander CD 0.00% 26.02.2021 10,000,000 9,999,673 0.04Banco Santander CD 0.00% 05.03.2021 50,000,000 49,998,574 0.18Banco Santander CD 0.00% 09.03.2021 100,000,000 99,997,678 0.36Banco Santander CD 0.00% 15.03.2021 50,000,000 49,998,734 0.18Banco Santander CD 0.00% 18.03.2021 5,000,000 4,999,767 0.02Bank of America CD 0.09% 08.02.2021 13,000,000 13,000,973 0.05Bank of America Merrill Lynch CD 0.00% 05.01.2021 120,000,000 119,999,746 0.43Bank of America Merrill Lynch CD 0.00% 29.03.2021 10,000,000 10,000,362 0.04Bank of America Merrill Lynch CD 0.00% 06.04.2021 50,000,000 50,001,973 0.18Bank of America Merrill Lynch CD 0.00% 20.05.2021 80,000,000 79,999,080 0.29Bank of America Merrill Lynch CD 0.00% 24.05.2021 80,000,000 79,998,107 0.29Credit Agricole CD 0.10% 02.02.2021 100,000,000 100,006,267 0.36Credit Agricole CD 0.10% 03.02.2021 100,000,000 100,006,125 0.36Credit Suisse CD 0.00% 01.10.2021 100,000,000 99,971,483 0.36Credit Suisse CD 0.10% 26.08.2021 100,000,000 100,049,548 0.36Credit Suisse CD 0.12% 24.09.2021 100,000,000 100,062,887 0.36Credit Suisse CD 0.13% 01.10.2021 100,000,000 100,069,036 0.36Credit Suisse CD 0.14% 22.10.2021 100,000,000 100,070,275 0.36Credit Suisse CD 0.15% 18.11.2021 100,000,000 100,067,876 0.36Credit Suisse CD 0.15% 19.11.2021 100,000,000 100,067,202 0.36Credit Suisse CD 0.16% 17.11.2021 100,000,000 100,077,333 0.36Euroclear Bank CD 0.00% 08.01.2021 40,000,000 39,999,862 0.15Euroclear Bank CD 0.00% 04.02.2021 100,000,000 99,998,249 0.36Euroclear Bank CD 0.00% 05.02.2021 100,000,000 99,997,799 0.36Euroclear Bank CD 0.00% 01.06.2021 40,000,000 39,998,168 0.15Euroclear Bank CD 0.00% 26.11.2021 50,000,000 49,991,413 0.18First Abu Dhabi Bank CD 0.00% 01.06.2021 60,000,000 59,986,760 0.22First Abu Dhabi Bank CD 0.11% 23.03.2021 100,000,000 100,024,038 0.36First Abu Dhabi Bank CD 0.11% 09.04.2021 100,000,000 100,024,680 0.36First Abu Dhabi Bank CD 0.12% 19.04.2021 100,000,000 100,027,171 0.36First Abu Dhabi Bank CD 0.16% 06.01.2021 100,000,000 100,001,193 0.36First Abu Dhabi Bank CD 0.34% 04.01.2021 100,000,000 100,001,821 0.36Goldman Sachs International Bank CD 0.00% 09.06.2021 75,000,000 74,999,343 0.27Goldman Sachs International Bank CD 0.00% 31.12.2021 75,000,000 74,921,334 0.27Goldman Sachs International Bank CD 0.00% 31.12.2021 150,000,000 149,842,669 0.54Goldman Sachs International Bank CD 0.11% 08.02.2021 100,000,000 100,009,485 0.36Handelsbanken Plc CD 0.01% 15.03.2021 30,000,000 30,001,460 0.11Handelsbanken Plc CD 0.09% 22.01.2021 80,000,000 80,002,930 0.29Handelsbanken Plc CD 0.09% 01.02.2021 100,000,000 100,005,821 0.36Handelsbanken Plc CD 0.10% 06.01.2021 100,000,000 100,000,899 0.36Handelsbanken Plc CD 0.10% 29.01.2021 30,000,000 30,001,375 0.11KBC Bank CD 0.02% 04.01.2021 100,000,000 100,000,000 0.36Mizuho Bank Ltd CD 0.00% 22.02.2021 175,000,000 175,011,508 0.63Mizuho Bank Ltd CD 0.01% 12.01.2021 150,000,000 150,000,000 0.54Mizuho Bank Ltd CD 0.07% 13.01.2021 200,000,000 200,000,000 0.72Mizuho Bank Ltd CD 0.07% 14.01.2021 100,000,000 100,000,000 0.36MUFG Bank Ltd CD 0.00% 17.03.2021 38,500,000 38,496,070 0.14MUFG Bank Ltd CD 0.04% 26.02.2021 100,000,000 99,997,768 0.36


Sterling Liquidity Fund (Continued)Portfolio and Schedule of Investments As at 31 December 2020

12


Value £

% of Net Assets

Certificates of deposit (31 December 2019: 31.53%) (Continued) National Australia Bank Ltd CD 0.29% 11.03.2021 75,000,000 75,034,624 0.27National Bank of Abu Dhabi CD 0.04% 18.01.2021 62,500,000 62,500,000 0.23National Bank of Abu Dhabi CD 0.05% 15.06.2021 103,200,000 103,198,123 0.37National Bank of Abu Dhabi CD 0.05% 21.06.2021 100,000,000 99,998,115 0.36National Bank of Abu Dhabi CD 0.07% 05.01.2021 200,000,000 200,000,266 0.72National Bank of Abu Dhabi CD 0.12% 06.04.2021 100,000,000 100,027,351 0.36National Bank of Abu Dhabi CD 0.26% 18.01.2021 100,000,000 100,009,263 0.36Nordea Bank CD 0.01% 04.03.2021 300,000,000 300,121,389 1.09OP Corporate Bank CD 0.00% 27.01.2021 14,250,000 14,249,856 0.05Oversea-Chinese Banking Corporation CD 0.00% 01.04.2021 200,000,000 199,997,507 0.72Oversea-Chinese Banking Corporation CD 0.00% 11.06.2021 100,000,000 99,994,231 0.36Rabobank London CD 0.19% 20.01.2021 50,000,000 50,002,803 0.18Royal Bank of Canada CD 1.05% 09.09.2021 100,000,000 100,648,307 0.36Royal Bank of Canada CD 1.05% 10.09.2021 100,000,000 100,650,894 0.37Sumitomo Mitsui Banking Corporation CD 0.00% 15.02.2021 150,000,000 149,999,112 0.54Sumitomo Mitsui Banking Corporation CD 0.00% 16.03.2021 150,000,000 149,993,187 0.54Sumitomo Mitsui Banking Corporation CD 0.00% 17.03.2021 50,000,000 49,997,697 0.18Sumitomo Mitsui Banking Corporation CD 0.00% 18.03.2021 100,000,000 99,995,332 0.36Sumitomo Mitsui Banking Corporation CD 0.03% 04.01.2021 250,000,000 250,000,000 0.90Sumitomo Mitsui Banking Corporation CD 0.03% 18.01.2021 200,000,000 200,000,000 0.72Sumitomo Mitsui Banking Corporation CD 0.03% 20.01.2021 100,000,000 100,000,000 0.36Sumitomo Mitsui Banking Corporation CD 0.10% 08.01.2021 100,000,000 100,000,825 0.36Sumitomo Mitsui Trust Bank Ltd CD 0.06% 28.01.2021 100,000,000 100,000,626 0.36Toronto-Dominion Bank CD 0.10% 30.11.2021 100,000,000 100,046,646 0.36Toronto-Dominion Bank CD 0.10% 01.12.2021 100,000,000 100,045,868 0.36Toronto-Dominion Bank CD 0.17% 23.07.2021 100,000,000 100,075,423 0.36UBS CD 0.00% 07.10.2021 100,000,000 99,967,792 0.36UBS CD 0.12% 28.09.2021 100,000,000 100,062,344 0.36United Overseas Bank CD 0.04% 10.06.2021 25,000,000 25,002,977 0.09United Overseas Bank CD 0.04% 05.07.2021 50,000,000 50,000,000 0.18United Overseas Bank CD 0.06% 13.04.2021 50,000,000 50,007,619 0.18United Overseas Bank CD 0.06% 11.05.2021 50,000,000 50,009,152 0.18United Overseas Bank CD 0.06% 19.05.2021 50,000,000 50,009,330 0.18United Overseas Bank CD 0.07% 06.04.2021 50,000,000 50,008,416 0.18United Overseas Bank CD 0.09% 09.02.2021 25,000,000 25,001,462 0.09United Overseas Bank CD 0.10% 04.01.2021 50,000,000 50,000,144 0.18United Overseas Bank CD 0.13% 15.01.2021 50,000,000 50,001,314 0.18Zuercher Kantonalbank CD 0.00% 05.03.2021 500,000,000 499,948,965 1.81Zuercher Kantonalbank CD 0.00% 09.04.2021 100,000,000 99,971,985 0.36Zuercher Kantonalbank CD 0.00% 16.06.2021 100,000,000 99,991,308 0.36Zuercher Kantonalbank CD 0.00% 22.06.2021 153,000,000 152,984,048 0.55Zuercher Kantonalbank CD 0.00% 29.06.2021 65,000,000 64,991,988 0.24 Total value of certificates of deposit 8,811,328,141 31.81 Commercial paper (31 December 2019: 26.16%)Agence Centrale des Organismes de Securite Sociale CP 0.00% 04.01.2021 143,000,000 142,999,817 0.52Agence Centrale des Organismes de Securite Sociale CP 0.00% 08.01.2021 100,000,000 99,999,818 0.36Agence Centrale des Organismes de Securite Sociale CP 0.00% 01.02.2021 10,000,000 10,000,395 0.04Agence Centrale des Organismes de Securite Sociale CP 0.00% 16.02.2021 100,000,000 100,003,585 0.36Agence Centrale des Organismes de Securite Sociale CP 0.00% 22.02.2021 10,000,000 10,000,207 0.04Agence Centrale des Organismes de Securite Sociale CP 0.00% 08.03.2021 100,000,000 100,020,235 0.36Agence Centrale des Organismes de Securite Sociale CP 0.00% 09.03.2021 3,500,000 3,499,874 0.01Agence Centrale des Organismes de Securite Sociale CP 0.00% 16.03.2021 50,000,000 50,005,332 0.18Agence Centrale des Organismes de Securite Sociale CP 0.00% 19.03.2021 100,000,000 99,977,986 0.36Agence Centrale des Organismes de Securite Sociale CP 0.00% 24.03.2021 100,000,000 99,996,530 0.36Banco Santander CP 0.00% 11.01.2021 10,000,000 9,999,953 0.04



13


Value £

% of Net Assets

Commercial paper (31 December 2019: 26.16%) (Continued) Banque Federative du Credit Mutuel CP 0.00% 01.03.2021 250,000,000 250,024,320 0.90Barclays Bank CP 0.00% 16.03.2021 100,000,000 99,997,433 0.36BRED-Banque Populaire CP 0.00% 03.02.2021 100,000,000 99,995,782 0.36BRED-Banque Populaire CP 0.00% 10.02.2021 100,000,000 99,996,843 0.36BRED-Banque Populaire CP 0.00% 11.02.2021 100,000,000 99,996,763 0.36BRED-Banque Populaire CP 0.00% 15.02.2021 100,000,000 100,000,238 0.36BRED-Banque Populaire CP 0.00% 17.02.2021 100,000,000 99,998,258 0.36BRED-Banque Populaire CP 0.00% 18.02.2021 100,000,000 99,998,220 0.36BRED-Banque Populaire CP 0.00% 22.02.2021 100,000,000 100,001,932 0.36BRED-Banque Populaire CP 0.00% 23.02.2021 100,000,000 100,002,109 0.36BRED-Banque Populaire CP 0.00% 23.02.2021 100,000,000 100,002,109 0.36BRED-Banque Populaire CP 0.00% 02.06.2021 100,000,000 100,166,005 0.36Dexia Credit Local CP 0.00% 18.01.2021 25,000,000 25,000,210 0.09Dexia Credit Local CP 0.00% 03.03.2021 100,000,000 99,999,512 0.36Dexia Credit Local CP 0.00% 25.03.2021 100,000,000 99,999,080 0.36Dexia Credit Local CP 0.00% 29.03.2021 100,000,000 99,998,794 0.36Dexia Credit Local CP 0.00% 19.05.2021 71,000,000 70,997,026 0.26Dexia Credit Local CP 0.00% 21.05.2021 100,000,000 99,995,751 0.36Dexia Credit Local CP 0.00% 25.05.2021 100,000,000 99,995,631 0.36Dexia Credit Local CP 0.00% 26.05.2021 100,000,000 99,995,600 0.36Erste Abwicklungsanstalt CP 0.00% 07.01.2021 100,000,000 99,999,819 0.36Erste Abwicklungsanstalt CP 0.00% 11.01.2021 8,000,000 7,999,975 0.03Federation Des Caisses Desjardins Du Quebec CP 0.00% 19.01.2021 30,000,000 30,000,662 0.11International Development Association CP 0.00% 10.03.2021 100,000,000 99,999,456 0.36La Banque Postale CP 0.00% 06.01.2021 100,000,000 99,999,661 0.36La Banque Postale CP 0.00% 01.02.2021 100,000,000 100,004,032 0.36MUFG Securities EMEA CP 0.00% 27.01.2021 100,000,000 99,995,082 0.36MUFG Securities EMEA CP 0.00% 29.01.2021 100,000,000 99,994,688 0.36MUFG Securities EMEA CP 0.00% 01.03.2021 200,000,000 199,986,510 0.72MUFG Securities EMEA CP 0.00% 10.03.2021 100,000,000 99,992,201 0.36MUFG Securities EMEA CP 0.00% 15.03.2021 50,000,000 49,995,813 0.18National Westminster Bank CP 0.00% 11.03.2021 250,000,000 249,980,210 0.90OP Corporate Bank CP 0.00% 25.01.2021 50,500,000 50,499,529 0.18OP Corporate Bank CP 0.00% 25.01.2021 42,000,000 41,999,609 0.15OP Corporate Bank CP 0.00% 16.02.2021 35,000,000 35,000,552 0.13OP Corporate Bank CP 0.00% 29.09.2021 10,000,000 9,995,829 0.04OP Corporate Bank CP 0.00% 04.10.2021 7,000,000 6,996,973 0.03OP Corporate Bank CP 0.00% 26.10.2021 48,000,000 47,974,849 0.17OP Corporate Bank CP 0.00% 12.11.2021 35,000,000 34,979,105 0.13OP Corporate Bank CP 0.00% 16.11.2021 29,500,000 29,481,649 0.11OP Corporate Bank CP 0.00% 30.11.2021 25,000,000 24,982,855 0.09OP Corporate Bank CP 0.00% 01.12.2021 60,000,000 59,958,178 0.22OP Corporate Bank CP 0.00% 09.12.2021 17,500,000 17,487,182 0.06Skandinaviska Enskilda Banken CP 0.00% 01.12.2021 100,000,000 99,970,641 0.36SNCF Reseau CP 0.00% 10.03.2021 30,000,000 30,007,892 0.11SNCF Reseau CP 0.00% 07.04.2021 100,000,000 100,010,366 0.36SNCF Reseau CP 0.00% 08.04.2021 100,000,000 99,971,865 0.36SNCF Reseau CP 0.00% 14.05.2021 87,000,000 87,005,750 0.32Swedbank CP 0.00% 06.04.2021 100,000,000 99,961,965 0.36Swedbank CP 0.00% 07.04.2021 100,000,000 100,042,273 0.36Swedbank CP 0.00% 07.04.2021 100,000,000 100,042,273 0.36Swedbank CP 0.00% 08.04.2021 100,000,000 100,042,440 0.36Swedbank CP 0.00% 09.04.2021 100,000,000 100,042,602 0.36Swedbank CP 0.00% 04.05.2021 100,000,000 99,964,135 0.36Tasmanian Public Finance Corporation CP 0.00% 22.03.2021 35,000,000 35,010,955 0.13Toyota Motor Finance (Netherlands) CP 0.00% 06.01.2021 5,000,000 5,000,000 0.02Transport for London CP 0.00% 29.01.2021 17,000,000 17,000,241 0.06



14


Value £

% of Net Assets

Commercial paper (31 December 2019: 26.16%) (Continued) UBS CP 0.00% 20.09.2021 75,000,000 74,982,172 0.27 Total value of commercial paper 5,519,025,337 19.92 Total value of money market instruments 14,330,353,478 51.73

Corporate bonds (31 December 2019: 0.03%)ING Bank Bonds 5.38% 15.04.2021 4,000,000 4,058,728 0.02International Bank for Reconstruction and Development Bonds 0.38% 15.06.2021 45,205,000 45,308,248 0.16International Bank for Reconstruction and Development Bonds 5.40% 07.06.2021 6,865,000 7,024,759 0.03Kreditanstalt Fuer Wiederaufbau Bonds 1.38% 01.02.2021 54,976,000 55,036,158 0.20Landeskreditbank Baden-Wuerttemberg Foerderbank Bonds 1.13% 17.05.2021 15,000,000 15,066,270 0.05Swedbank Bonds 1.25% 29.12.2021 2,900,000 2,934,159 0.01 Total value of corporate bonds 129,428,322 0.47 Floating rate notes (31 December 2019: 5.02%)Canadian Imperial Bank of Commerce FRN 1.05% 16.12.2021 200,000,000 201,837,084 0.73Commonwealth Bank of Australia FRN 0.25% 12.03.2021 93,000,000 93,030,406 0.34JPMorgan Chase Bank FRN 0.29% 10.05.2021 2,900,000 2,900,575 0.01Rabobank London FRN 0.41% 22.03.2021 4,000,000 4,002,560 0.01Royal Bank of Canada FRN 0.26% 25.01.2021 81,950,000 81,955,328 0.30Royal Bank of Canada FRN 0.65% 19.03.2021 50,000,000 50,060,157 0.18Royal Bank of Canada FRN 1.05% 05.08.2021 53,500,000 53,800,402 0.19Skandinaviska Enskilda Banken FRN 0.42% 22.03.2021 17,500,000 17,510,811 0.06 Total value of floating rate notes 505,097,323 1.82 Government bonds (31 December 2019: 1.57%)BNG Bank Bonds 1.13% 24.05.2021 50,000,000 50,231,500 0.18BNG Bank Bonds 5.38% 07.06.2021 9,171,000 9,381,841 0.03Caisse des Depots et Consignations Bonds 1.00% 25.01.2021 7,000,000 7,003,949 0.02United Kingdom (Government of) Bonds 0.00% 01.02.2021 20,000,000 20,001,610 0.07United Kingdom (Government of) Bonds 0.00% 08.03.2021 9,000,000 9,000,925 0.03United Kingdom (Government of) Bonds 0.00% 22.03.2021 106,975,000 106,983,911 0.39United Kingdom (Government of) Bonds 0.00% 14.06.2021 76,539,250 76,556,029 0.28United Kingdom (Government of) Bonds 0.00% 21.06.2021 25,000,000 25,005,721 0.09United Kingdom (Government of) Bonds 1.50% 22.01.2021 395,000,000 395,329,884 1.43 Total value of government bonds 699,495,370 2.52 Total value of transferable securities 1,334,021,015 4.81

Time deposits (31 December 2019: 8.49%)Bank of Tokyo-Mitsubishi UFJ TD 0.01% 04.01.2021 100,000,000 100,000,000 0.36BPCE TD 0.02% 04.01.2021 200,000,000 200,000,000 0.72BPCE TD 0.02% 04.01.2021 400,000,000 400,000,000 1.45BRED-Banque Populaire TD 0.03% 04.01.2021 50,000,000 50,000,000 0.18BRED-Banque Populaire TD 0.03% 04.01.2021 50,000,000 50,000,000 0.18DBS Bank TD 0.03% 04.01.2021 50,000,000 50,000,000 0.18First Abu Dhabi Bank TD 0.04% 04.01.2021 200,000,000 200,000,000 0.72First Abu Dhabi Bank TD 0.04% 04.01.2021 300,000,000 300,000,000 1.08ING Bank TD 0.01% 04.01.2021 112,500,000 112,500,000 0.41Mizuho Bank Ltd TD 0.07% 04.01.2021 300,000,000 300,000,000 1.08Mizuho Bank Ltd TD 0.07% 05.01.2021 800,000,000 800,000,000 2.89



15


Value £

% of Net Assets

Time deposits (31 December 2019: 8.49%) (Continued) Mizuho Bank TD 0.07% 04.01.2021 100,000,000 100,000,000 0.36Rabobank London 0.01% 04.01.2021 250,000,000 250,000,000 0.90Sumitomo Mitsui Banking Corporation TD 0.05% 04.01.2021 100,000,000 100,000,000 0.36Sumitomo Mitsui Banking Corporation TD 0.05% 04.01.2021 600,000,000 600,000,000 2.17Sumitomo Mitsui Trust Bank Ltd TD 0.05% 04.01.2021 600,000,000 600,000,000 2.17 Total value of time deposits 4,212,500,000 15.21 Reverse repurchase agreements (31 December 2019: 31.41%) Reverse Repo Barclays Bank (0.06%) 04.01.2021 200,000,000 200,000,000 0.72Reverse Repo Barclays Bank (0.10%) 04.01.2021 200,000,000 200,000,000 0.72Reverse Repo Barclays Bank (0.26%) 04.01.2021 250,000,000 250,000,000 0.90Reverse Repo Barclays Bank 0.04% 25.11.2020 247,970,000 247,970,000 0.90Reverse Repo Barclays Bank 0.04% 25.11.2020 252,030,000 252,030,000 0.91Reverse Repo BNP Paribas (0.25%) 04.01.2021 250,000,000 250,000,000 0.90Reverse Repo Canadian Imperial Bank of Commerce (0.05%) 04.01.2021 50,660,324 50,660,324 0.18Reverse Repo Canadian Imperial Bank of Commerce (0.10%) 05.01.2021 15,749,237 15,749,237 0.06Reverse Repo Canadian Imperial Bank of Commerce (0.10%) 05.01.2021 35,213,783 35,213,783 0.13Reverse Repo Canadian Imperial Bank of Commerce (0.10%) 05.01.2021 25,062,445 25,062,445 0.09Reverse Repo Canadian Imperial Bank of Commerce (0.10%) 05.01.2021 87,461,100 87,461,100 0.32Reverse Repo Canadian Imperial Bank of Commerce (0.10%) 05.01.2021 95,436,749 95,436,749 0.34Reverse Repo Canadian Imperial Bank of Commerce 0.00% 07.12.2020 134,583,386 134,583,385 0.49Reverse Repo Canadian Imperial Bank of Commerce 0.00% 07.12.2020 65,415,175 65,415,175 0.24Reverse Repo Canadian Imperial Bank of Commerce 0.06% 06.10.2020 36,615,180 36,615,180 0.13Reverse Repo Canadian Imperial Bank of Commerce 0.06% 06.10.2020 50,393,200 50,393,200 0.18Reverse Repo Canadian Imperial Bank of Commerce 0.06% 06.10.2020 70,763,670 70,763,670 0.26Reverse Repo Canadian Imperial Bank of Commerce 0.06% 06.10.2020 155,641,353 155,641,353 0.56Reverse Repo Canadian Imperial Bank of Commerce 0.06% 07.10.2020 37,507,200 37,507,200 0.14Reverse Repo Canadian Imperial Bank of Commerce 0.06% 07.10.2020 63,895,758 63,895,758 0.23Reverse Repo Citibank 0.06% 12.10.2020 199,816,000 199,816,000 0.72Reverse Repo Citibank 0.06% 19.10.2020 52,910,000 52,910,000 0.19Reverse Repo Citibank 0.06% 19.10.2020 122,436,000 122,436,000 0.44Reverse Repo Citibank 0.06% 19.10.2020 121,584,000 121,584,000 0.44Reverse Repo Credit Agricole (0.06%) 04.01.2021 80,375,000 80,375,000 0.29Reverse Repo Credit Agricole (0.06%) 04.01.2021 72,031,250 72,031,250 0.26Reverse Repo Credit Agricole (0.06%) 04.01.2021 82,968,750 82,968,750 0.30Reverse Repo Credit Agricole (0.06%) 04.01.2021 64,625,000 64,625,000 0.23Reverse Repo HSBC Bank 0.00% 02.12.2020 250,000,000 250,000,000 0.90Reverse Repo Royal Bank of Canada (0.04%) 04.01.2021 500,000,000 500,000,000 1.80Reverse Repo Royal Bank of Canada (0.05%) 04.01.2021 250,000,000 250,000,000 0.90Reverse Repo Royal Bank of Canada (0.20%) 04.01.2021 430,000,000 430,000,000 1.55Reverse Repo Royal Bank of Canada (0.20%) 04.01.2021 570,000,000 570,000,000 2.06Reverse Repo Santander UK (0.30%) 04.01.2021 500,000,000 500,000,000 1.81Reverse Repo Santander UK (0.40%) 04.01.2021 500,000,000 500,000,000 1.81Reverse Repo Santander UK 0.04% 20.11.2020 250,000,000 250,000,000 0.90Reverse Repo Santander UK 0.04% 20.11.2020 250,000,000 250,000,000 0.90Reverse Repo Santander UK 0.05% 12.10.2020 250,000,000 250,000,000 0.90Reverse Repo Societe Generale (0.08%) 04.01.2021 195,598,130 195,598,130 0.71Reverse Repo Societe Generale (0.08%) 04.01.2021 160,413,967 160,413,967 0.58 Total reverse repurchase agreements 7,227,156,656 26.09



16

Value £

% of Net Assets

Total Financial Assets - Transferable securities 1,334,021,015 4.81Total Financial Assets - Money market instruments 14,330,353,478 51.73Total Financial Assets - Deposits with credit institutions 4,212,500,000 15.21Total Cost of Investments £19,874,134,116 (31 December 2019: £17,151,745,532)

Cash (31 December 2019: 0.06%) 1,744,484,244 6.30

Total value of reverse repurchase agreements (31 December 2019: 31.41%) 7,227,156,656 26.09

Net current liabilities (31 December 2019: (4.27%)) (1,146,153,275) (4.14)

Net assets attributable to holders of redeemable shares 27,702,362,118 100.00

Analysis of Total Assets

% of Total

AssetsTransferable securities and Money Market instruments admitted to an official stock exchange listing 54.28%Deposits with credit institutions 14.60%Cash and other assets 31.12%

100.00%


Sterling Liquidity Plus FundInvestment Manager’s Report (Unaudited)For the financial year ended 31 December 2020

17

Market overview The rapid spread of the coronavirus, and measures to contain it, dominated financial markets throughout the first quarter of 2020. Mass lockdowns led to significant market volatility and a temporary decline in liquidity. The Bank of England cut rates by 60bp and injected £200bn of quantitative easing into the market. The UK government also announced extensive measures to support businesses and individuals, including boosting benefits and the funding of new loans. Fitch Ratings downgraded the United Kingdom's Long-Term Issuer Default Ratings to 'AA-' from 'AA', with a negative outlook.

During the second quarter, the UK government instructed the Debt Management Office (“DMO”) to ramp up its new issuance programme. Gilt investors displayed high demand for this issuance. In May, the DMO issued its first-ever negative-yielding bond: the 3-year gilt was issued at a yield of -0.03%.

The Bank of England kept rates on hold through the third quarter but noted in its meeting minutes that negative rates had been discussed. Policymakers hinted that rates would stay low until inflation reached the central bank’s 2% target. Annual inflation (as measured by the Consumer Prices Index) fell to its lowest level since 2015, dropping from 1% in July to 0.2% in August. Worries that a resurgence of COVID-19 would put more pressure on the UK economy were reflected in equity markets; UK stocks underperformed global peers over the quarter. Political risks increased late in the quarter, as the UK government announced details of its Internal Market Bill.

Throughout the fourth quarter, the Bank of England (“BoE”) held its key bank rate at 0.1%. During November, the BoE increased the size of its asset purchase program by £150 billion to £875 billion. Due to the discovery of a new, more quicker spreading, variant of COVID-19 and the upcoming Brexit transition, the BoE made the decision to avoid further policy changes at the end of the year. The UK and EU finally came to a Brexit trade agreement shortly before the end of the year. This meant that the UK avoided having to comply with the more onerous regime of the World Trade Organization. Sterling rallied sharply.

The 1-month sterling Libor rate fell, beginning the period at 0.70% and ending at 0.02%. The 3-month Libor rate began the year at 0.79% and fell to 0.03% by the end of the period. Short-dated gilts yields also fell over the period. The 2-year gilt yield fell from 0.55% to -0.16%, while the 5-year fell from 0.58% to -0.08% by the end of the period.

Portfolio review The Fund returned 0.80% gross of fees over the period under review versus the SONIA return of 0.20%. Asset allocation and yield curve positioning both proved positive for the fund return against benchmark over the review period. Whilst the liquidity crisis in March saw spreads on ABS and Senior Bank debt widen, as markets normalised these tightened to levels seen pre-crisis, justifying our decision to maintain holdings. Overall fund strategy was unchanged during the period, remaining focused on security and liquidity: trading focused largely on highly liquid, short to medium-dated instruments.

The Fund primarily made additions to the certificates of deposit and commercial paper portfolio from bank issuers. The Fund also made selected additions to the floating rate notes portfolio including issues from Santander UK, ECARA, Unifunds, National Australia Bank, Royal Bank of Canada and Canada Square, BPCE, Brunel, Perma, Lloyds Banking, Nationwide, HSBC, Gosforth Funding, the European Investment Bank, the European Bank for Reconstruction and Development, and Canadian Imperial Bank of Commerce. The Fund also bought fixed rate bonds from issuers including Svenska Handelsbanken, UBS, ING, European Investment Bank, National Australia Bank, Toronto-Dominion Bank, BNG and Swedbank. The weighted average maturity of the Fund was 69 days at the beginning of the period and rose to 102 days by the end of the year.


Sterling Liquidity Plus FundInvestment Manager’s Report (Unaudited) (Continued)For the financial year ended 31 December 2020

18

Outlook The stringent lockdowns enacted across the UK in December to curb the new variant of COVID-19 are likely to dampen economic activity levels later in the year. Although a Brexit deal has been reached, the lack of provision for the services sector represents another risk.

Insight Investment Funds Management Limited 160 Queen Victoria Street London EC4V 4LA England

January 2021


Sterling Liquidity Plus FundPortfolio and Schedule of InvestmentsAs at 31 December 2020

19


Value £

% of Net Assets

Investment funds (31 December 2019: 9.02%) Insight Liquidity Funds PLC - GBP Liquidity Fund - Share Class 2^ UCITS 276,701,725 276,701,733 4.38

Total value of investment funds 276,701,733 4.38

Certificates of deposit (31 December 2019: 25.26%)Banco Santander CD 0.00% 22.01.2021 25,000,000 24,999,921 0.40Banco Santander CD 0.00% 15.02.2021 20,000,000 19,999,614 0.32Banco Santander CD 0.00% 18.05.2021 20,000,000 19,998,248 0.32Banco Santander CD 0.00% 17.11.2021 20,000,000 19,990,301 0.32Bank of America Merrill Lynch CD 0.00% 30.04.2021 50,000,000 49,986,000 0.79Barclays Bank CD 0.70% 15.03.2021 50,000,000 50,070,676 0.79Barclays Bank CD 0.81% 01.07.2021 25,000,000 25,093,191 0.40Credit Agricole CD 0.11% 04.03.2021 50,000,000 50,008,240 0.79Credit Agricole CD 0.30% 09.07.2021 100,000,000 100,131,800 1.59Credit Suisse CD 0.00% 01.10.2021 100,000,000 99,970,626 1.58Credit Suisse CD 0.14% 22.10.2021 25,000,000 25,017,425 0.40Credit Suisse CD 0.16% 17.11.2021 25,000,000 25,019,173 0.40Credit Suisse CD 0.26% 23.07.2021 50,000,000 50,069,354 0.79Credit Suisse CD 0.30% 14.07.2021 50,000,000 50,077,855 0.79Euroclear Bank CD 0.00% 05.02.2021 43,000,000 43,000,654 0.68First Abu Dhabi Bank CD 0.00% 01.06.2021 40,000,000 39,991,116 0.63First Abu Dhabi Bank CD 0.06% 06.07.2021 50,000,000 49,999,485 0.79First Abu Dhabi Bank CD 0.34% 04.01.2021 50,000,000 50,002,432 0.79Goldman Sachs International Bank CD 0.00% 09.06.2021 25,000,000 24,999,780 0.40Goldman Sachs International Bank CD 0.00% 29.06.2021 100,000,000 99,997,521 1.58Goldman Sachs International Bank CD 0.00% 31.12.2021 25,000,000 24,973,456 0.40Goldman Sachs International Bank CD 0.00% 31.12.2021 100,000,000 99,893,825 1.58HSBC Bank CD 0.00% 04.08.2021 50,000,000 49,994,353 0.79HSBC Bank CD 0.60% 20.05.2021 25,000,000 25,058,334 0.40National Australia Bank Ltd CD 0.29% 11.03.2021 25,000,000 25,012,222 0.40National Westminster Bank CD 0.13% 03.12.2021 50,000,000 50,012,948 0.79National Westminster Bank CD 0.45% 01.07.2021 100,000,000 100,201,951 1.59Societe Generale CD 0.12% 23.12.2021 40,000,000 39,998,824 0.63Societe Generale CD 0.13% 06.12.2021 50,000,000 50,004,662 0.79Societe Generale CD 0.27% 29.01.2021 50,000,000 50,009,246 0.79Societe Generale CD 0.33% 10.03.2021 50,000,000 50,028,805 0.79Societe Generale CD 0.39% 07.01.2021 50,000,000 49,999,760 0.79Toronto-Dominion Bank CD 0.17% 23.07.2021 100,000,000 100,083,667 1.58UBS CD 0.00% 07.10.2021 50,000,000 49,983,454 0.79UBS CD 0.00% 07.12.2021 100,000,000 99,917,615 1.58UBS CD 0.67% 17.05.2021 50,000,000 50,126,658 0.79UBS CD 0.82% 06.05.2021 20,000,000 20,057,133 0.32 Total value of certificates of deposit 1,853,780,325 29.35 Commercial paper (31 December 2019: 15.16%)Banque Federative du Credit Mutuel CP 0.00% 04.05.2021 50,000,000 50,003,768 0.79Barclays Bank CP 0.00% 06.08.2021 17,000,000 16,992,456 0.27BPCE CP 0.00% 04.01.2021 50,000,000 49,999,986 0.79BPCE CP 0.00% 06.01.2021 25,000,000 24,999,990 0.40BPCE CP 0.00% 11.01.2021 50,000,000 49,999,967 0.79BPCE CP 0.00% 15.01.2021 50,000,000 49,999,956 0.79BPCE CP 0.00% 26.07.2021 25,000,000 24,994,018 0.40Dexia Credit Local CP 0.00% 03.03.2021 100,000,000 99,999,827 1.58Handelsbanken Plc CP 0.00% 29.01.2021 100,000,000 100,001,233 1.58International Development Association CP 0.00% 10.03.2021 100,000,000 99,999,617 1.58National Westminster Bank CP 0.00% 10.09.2021 100,000,000 99,940,190 1.58


Sterling Liquidity Plus Fund (Continued)Portfolio and Schedule of Investments As at 31 December 2020

20


Value £

% of Net Assets

Commercial paper (31 December 2019: 15.16%) (Continued) OP Corporate Bank CP 0.00% 04.05.2021 50,000,000 49,997,774 0.79OP Corporate Bank CP 0.00% 05.05.2021 50,000,000 49,997,756 0.79OP Corporate Bank CP 0.00% 28.05.2021 8,000,000 7,999,412 0.13OP Corporate Bank CP 0.00% 23.07.2021 10,000,000 9,998,147 0.16OP Corporate Bank CP 0.00% 06.09.2021 49,000,000 48,983,896 0.78OP Corporate Bank CP 0.00% 10.09.2021 38,500,000 38,486,609 0.61Skandinaviska Enskilda Banken CP 0.00% 01.12.2021 50,000,000 49,981,597 0.79Swedbank CP 0.00% 09.04.2021 100,000,000 100,044,129 1.59 Total value of commercial paper 1,022,420,328 16.19 Total value of money market instruments 2,876,200,653 45.54

Asset backed securities (31 December 2019: 4.71%)Bavarian Sky ABS 0.59% 20.07.2026 2,272,613 2,273,329 0.04Bavarian Sky ABS 0.67% 20.04.2028 11,500,000 11,512,472 0.18Brass No.5 ABS 0.55% 16.08.2054 2,973,208 2,980,320 0.05Cardiff Auto Receivables Securitisation 2019-1 ABS 0.68% 16.09.2025 20,162,317 20,180,685 0.32Driver UK Multi-Compartment No.6 ABS 0.52% 25.02.2026 1,671,465 1,671,442 0.03E-Carat 11 Plc ABS 0.63% 18.05.2028 37,000,000 37,000,870 0.59E-Carat 9 Plc ABS 0.44% 18.01.2025 103,514 103,519 0.00Globaldrive Auto Receivables UK 2019-A ABS 0.59% 20.09.2026 15,171,584 15,174,982 0.24Gosforth Funding ABS 0.55% 19.12.2059 25,000,000 25,114,050 0.40Orbita Funding 2017-1 ABS 0.59% 16.10.2024 560,908 561,031 0.01Orbita Funding 2020-1 ABS 0.63% 17.03.2027 12,103,000 12,121,239 0.19PCL Funding IV ABS 1.10% 15.09.2024 17,900,000 17,916,361 0.28Penarth Master Issuer ABS 0.57% 18.03.2025 39,383,000 39,380,795 0.62Penarth Master Issuer ABS 0.75% 18.07.2024 31,667,000 31,769,411 0.50Stanlington No.1 ABS 1.06% 12.06.2046 5,301,418 5,314,855 0.08Turbo Finance No.8 ABS 0.69% 20.02.2026 2,192,331 2,193,186 0.04Turbo Finance No.9 ABS 0.88% 20.08.2028 20,300,000 20,333,708 0.32 Total value of asset backed securities 245,602,255 3.89 Corporate bonds (31 December 2019: 1.31%)ABN Amro Bank Bonds 2.38% 07.12.2021 7,900,000 8,069,455 0.13Bank of Montreal Bonds 1.38% 29.12.2021 1,842,000 1,865,130 0.03Bank of Nova Scotia Bonds 0.75% 14.09.2021 2,565,000 2,577,092 0.04Banque Federative du Credit Mutuel Bonds 1.38% 20.12.2021 13,000,000 13,161,800 0.21European Investment Bank Bonds 5.38% 07.06.2021 18,380,000 18,811,342 0.30ING Bank Bonds 5.38% 15.04.2021 18,610,000 18,885,428 0.30National Australia Bank Bonds 1.13% 10.11.2021 18,214,000 18,378,308 0.29Rabobank London Bonds 4.63% 13.01.2021 17,652,000 17,672,000 0.28Royal Bank of Canada Bonds 1.13% 22.12.2021 12,300,000 12,423,566 0.20Santander Bank Bonds 5.13% 14.04.2021 5,257,000 5,330,632 0.08Swedbank Bonds 1.13% 07.12.2021 28,816,000 29,089,752 0.46Swedbank Bonds 1.25% 29.12.2021 9,561,000 9,673,017 0.15Toronto-Dominion Bank Bonds 1.00% 13.12.2021 3,100,000 3,127,438 0.05Westpac Securities Bonds 2.50% 13.01.2021 11,954,000 11,961,292 0.19 Total value of corporate bonds 171,026,252 2.71 Floating rate notes (31 December 2019: 33.54%)Australia & New Zealand Banking Group FRN 0.70% 17.12.2021 65,000,000 65,327,340 1.03Australia & New Zealand Banking Group FRN 0.73% 24.01.2022 2,610,000 2,624,733 0.04Bank of Nova Scotia FRN 0.44% 11.06.2021 37,050,000 37,095,794 0.59Bank of Nova Scotia FRN 0.44% 30.09.2021 5,500,000 5,510,258 0.09



21


Value £

% of Net Assets

Floating rate notes (31 December 2019: 33.54%) (Continued) Banque Federative du Credit Mutuel FRN 0.47% 16.07.2021 11,600,000 11,614,480 0.18Banque Federative du Credit Mutuel FRN 0.54% 07.02.2021 5,100,000 5,102,117 0.08Barclays Bank FRN 0.47% 09.01.2023 78,000,000 78,410,592 1.24BPCE FRN 0.67% 29.11.2021 30,000,000 30,159,150 0.48Canadian Imperial Bank of Commerce FRN 0.48% 10.01.2022 5,914,000 5,930,263 0.09Canadian Imperial Bank of Commerce FRN 0.53% 28.10.2022 24,800,000 24,948,428 0.40Canadian Imperial Bank of Commerce FRN 1.05% 16.12.2021 50,000,000 50,460,588 0.80Commonwealth Bank of Australia FRN 0.50% 12.07.2021 22,750,000 22,798,799 0.36Commonwealth Bank of Australia FRN 0.60% 16.01.2025 90,330,000 91,309,719 1.45CPPIB Capital Inc FRN 1.30% 29.09.2021 14,600,000 14,733,809 0.23European Bank for Reconstruction & Development FRN 0.35% 28.02.2024 25,000,000 25,107,393 0.40European Bank for Reconstruction & Development FRN 1.05% 20.11.2025 35,000,000 36,382,290 0.58FMS Wertmanagement FRN 0.33% 14.01.2022 16,000,000 16,031,264 0.25HSBC Bank FRN 0.80% 17.09.2021 27,500,000 27,633,868 0.44HSBC Bank FRN 0.80% 14.09.2022 75,000,000 75,663,744 1.20International Bank for Reconstruction & Development FRN 0.10% 22.05.2023 50,000,000 49,931,250 0.79International Bank for Reconstruction & Development FRN 0.32% 15.05.2024 10,000,000 10,026,090 0.16Lloyds Bank Plc FRN 0.48% 13.09.2021 39,840,000 39,931,393 0.63National Australia Bank FRN 0.55% 04.02.2025 134,950,000 136,170,218 2.16National Australia Bank FRN 0.37% 24.04.2021 50,000,000 50,045,250 0.79Nationwide Building Society FRN 0.48% 02.08.2022 129,249,000 129,895,504 2.06Nationwide Building Society FRN 0.60% 10.01.2025 16,597,000 16,797,525 0.27Nationwide Building Society FRN 0.80% 10.01.2024 35,000,000 35,598,220 0.56OP Corporate Bank FRN 0.38% 30.05.2021 40,000,000 40,050,000 0.63Rabobank London FRN 0.41% 22.03.2021 22,800,000 22,815,045 0.36Royal Bank of Canada FRN 0.26% 08.12.2022 21,600,000 21,604,558 0.34Royal Bank of Canada FRN 0.30% 08.06.2021 50,000,000 50,040,850 0.79Royal Bank of Canada FRN 0.46% 14.09.2021 15,000,000 15,001,077 0.24Royal Bank of Canada FRN 0.52% 30.01.2025 66,263,000 66,738,172 1.06Royal Bank of Canada FRN 0.63% 03.10.2024 89,400,000 90,410,220 1.43Royal Bank of Canada FRN 0.65% 19.03.2021 10,000,000 10,012,660 0.16Santander UK FRN 0.27% 13.04.2021 4,000,000 4,001,500 0.06Santander UK FRN 0.28% 16.11.2022 50,000,000 50,064,700 0.79Santander UK FRN 0.48% 20.09.2021 55,000,000 55,134,695 0.87Santander UK FRN 0.65% 12.11.2024 20,000,000 20,264,600 0.32Santander UK FRN 0.78% 12.02.2024 55,000,000 55,863,665 0.89Skandinaviska Enskilda Banken FRN 0.42% 22.03.2021 24,250,000 24,265,057 0.38Swedbank FRN 0.22% 15.01.2021 25,000,000 25,000,448 0.40Swedbank FRN 0.43% 14.06.2021 42,500,000 42,549,470 0.67United Overseas Bank Ltd FRN 0.28% 28.02.2023 50,000,000 49,882,000 0.79 Total value of floating rate notes 1,738,938,796 27.53 Government bonds (31 December 2019: 0.39%)BNG Bank Bonds 1.13% 24.05.2021 855,000 858,954 0.01BNG Bank Bonds 1.25% 15.12.2021 14,500,000 14,675,316 0.23BNG Bank Bonds 5.38% 07.06.2021 1,746,000 1,786,486 0.03Sweden (Kingdom of) Bonds 0.00% 20.01.2021 1,050,000,000 93,819,543 1.49Sweden (Kingdom of) Bonds 0.00% 17.02.2021 1,067,000,000 95,356,597 1.51 Total value of government bonds 206,496,896 3.27 Mortgage backed securities (31 December 2019: 10.48%)Bowbell MBS 0.89% 16.04.2056 13,172,522 13,279,641 0.21Brass No.7 MBS 0.65% 16.10.2059 12,229,425 12,302,092 0.19Brass No.8 MBS 0.77% 16.11.2066 8,277,072 8,358,163 0.13Canada Square Funding 2020-1 MBS 1.26% 17.12.2056 16,582,485 16,636,610 0.26



22


Value £

% of Net Assets

Mortgage backed securities (31 December 2019: 10.48%) (Continued) Ciel No.1 MBS 1.11% 12.06.2046 7,905,241 7,923,858 0.13Darrowby No.1 MBS 0.85% 20.08.2048 1,881,440 1,883,907 0.03DLL UK Equipment Finance 2019-1 MBS 0.87% 25.03.2028 5,665,715 5,675,681 0.09Economic Master Issuer 2020-1 MBS 0.52% 25.06.2072 23,056,000 23,180,572 0.37Elvet Mortgages 2018-1 MBS 0.80% 22.10.2058 13,224,582 13,246,072 0.21Elvet Mortgages 2019-1 MBS 0.93% 22.11.2061 23,195,457 23,327,834 0.37Finsbury Square 2019-1 MBS 1.02% 16.06.2069 20,030,184 20,093,159 0.32Friary No.3 MBS 0.90% 21.04.2048 14,888,878 14,899,717 0.24Friary No.4 MBS 0.43% 21.01.2050 14,658,733 14,693,606 0.23Friary No.5 MBS 1.05% 21.01.2067 28,588,678 29,035,576 0.46Friary No.6 MBS 0.77% 21.11.2067 10,943,122 11,058,418 0.17Gemgarto 2018-1 MBS 0.90% 16.09.2065 19,056,411 19,095,000 0.30Globaldrive Auto Receivables UK 2018-A MBS 0.55% 20.06.2026 1,179,377 1,179,663 0.02Gosforth Funding MBS 0.38% 19.12.2059 12,006,646 12,020,237 0.19Gosforth Funding MBS 0.62% 25.08.2060 36,860,810 37,080,832 0.59Great Hall Mortgages MBS 0.19% 18.06.2039 932,373 913,868 0.01Kenrick No.3 MBS 0.42% 11.10.2054 16,318,258 16,345,966 0.26Lanark Master Issuer MBS 0.60% 22.12.2069 25,000,000 25,097,925 0.40Lanark Master Issuer MBS 0.70% 22.12.2069 25,000,000 25,213,675 0.40Lanark Master Issuer MBS 0.72% 22.12.2069 11,000,000 11,058,927 0.17Lanark Master Issuer MBS 0.82% 22.12.2069 12,925,000 13,025,996 0.21Lanark Master Issuer MBS 0.87% 22.12.2069 15,263,335 15,320,145 0.24Motor 2017-1 MBS 0.49% 25.09.2024 1,060,949 1,060,593 0.02Oak No.2 'A' MBS 0.74% 26.05.2055 4,854,064 4,884,319 0.08Permanent Master Issuer MBS 0.46% 15.07.2058 40,092,000 40,139,870 0.64Permanent Master Issuer MBS 0.63% 15.07.2058 15,000,000 15,092,610 0.24Polaris 2019-1 Holdings MBS 1.31% 27.04.2057 13,878,438 13,929,899 0.22Precise Mortgage Funding No.2 MBS 0.74% 12.03.2055 5,328,632 5,312,268 0.08Precise Mortgage Funding No.2 MBS 1.05% 12.12.2055 9,728,525 9,749,597 0.15Shawbrook Mortgage Funding 2019-1 MBS 1.22% 16.12.2050 25,590,753 25,685,592 0.41Silk Road Finance Number Six MBS 0.91% 21.09.2067 23,493,536 23,701,947 0.38Silverstone Master Issuer MBS 0.52% 21.01.2070 64,666,000 65,002,393 1.03Silverstone Master Issuer MBS 0.58% 21.01.2070 49,762,000 50,078,835 0.79Silverstone Master Issuer MBS 0.80% 21.01.2070 20,592,000 20,831,073 0.33 Total value of mortgage backed securities 667,416,136 10.57 Supranational bonds (31 December 2019: 1.48%)European Investment Bank Bonds 0.40% 29.06.2023 10,000,000 10,051,950 0.16European Investment Bank Bonds 0.73% 21.05.2021 35,000,000 35,030,485 0.55European Investment Bank Bonds 1.05% 08.09.2025 45,000,000 46,710,585 0.74Land Nordrhein-Westfalen Bonds 0.11% 29.10.2021 6,000,000 5,996,616 0.10Land Nordrhein-Westfalen Bonds 1.00% 15.10.2024 26,600,000 26,690,074 0.42 Total value of supranational bonds 124,479,710 1.97 Total value of transferable securities 3,153,960,045 49.94



23

Forward currency contracts (31 December 2019: 0.04%)

CounterpartySettlement

DateCurrency

BuyBuy

AmountCurrency

SellSell

AmountUnrealised

Gain £% of Net

Assets

Goldman Sachs 20.01.2021 GBP 63,173,284 SEK 700,000,000 627,853 0.01Goldman Sachs 20.01.2021 GBP 22,506,005 SEK 250,000,000 168,352 –

Unrealised gain on forward currency contracts 796,205 0.01

Total gain on derivative financial instruments 796,205 0.01

Forward currency contracts (31 December 2019: 0.00%)

CounterpartySettlement

DateCurrency

BuyBuy

AmountCurrency

SellSell

AmountUnrealised

Loss £% of Net

Assets

Royal Bank of Scotland 20.01.2021 GBP 8,879,913 SEK 100,000,000 (55,149) –JP Morgan 17.02.2021 GBP 5,892,364 SEK 67,000,000 (94,890) –JP Morgan 17.02.2021 GBP 43,830,385 SEK 500,000,000 (850,613) (0.01)JP Morgan 17.02.2021 GBP 43,826,430 SEK 500,000,000 (854,569) (0.02)

Unrealised loss on forward currency contracts (1,855,221) (0.03)

Total loss on derivative financial instruments (1,855,221) (0.03)

Value £

% of Net Assets

Total Financial Assets - Investment funds 276,701,733 4.38Total Financial Assets - Transferable securities 3,153,960,045 49.94Total Financial Assets - Money market instruments 2,876,200,653 45.54Total Financial Assets - Derivative financial instruments 796,205 0.01Total Financial Liabilities - Derivative financial instruments (1,855,221) (0.03)Total Cost of Investments £6,292,034,189 (31 December 2019: £6,483,490,132)

Cash (31 December 2019: 0.02%) 1,341,871 0.02

Collateral cash (31 December 2019: 0.00%) 3,060,000 0.05

Net current assets (31 December 2019: (1.41%)) 5,855,538 0.09



% of Total

AssetsTransferable securities and Money Market instruments admitted to an official stock exchange listing 95.44%UCITS and AIFs 4.38%Cash and other assets 0.18%

100.00%


Dollar Liquidity FundInvestment Manager’s Report (Unaudited)For the financial year ended 31 December 2020

24

Market overview The rapid spread of the coronavirus, and measures to contain it, dominated financial markets throughout the first quarter of 2020. Mass lockdowns led to significant market volatility and a temporary decline in liquidity. US policymakers introduced a $2tn fiscal stimulus package. Highlights of the package included grants to small businesses, as well as credit provisions to investment grade companies. The US Federal Reserve (“Fed”) cut policy rates by 1.5% and restarted its quantitative asset purchase programme with a broader scope and no upper limit, with Fed chairman Jerome Powell stating the central bank is “not going to run out of ammunition”.

The financial response to the COVID-19 pandemic dominated markets over the second quarter. US COVID-19 case numbers continued to rise. Infections spiked in June after bars and other public places were reopened. Southern and eastern states such as Texas, Florida, California and Arizona saw some of the highest rates of infection.

The US Federal Reserve kept rates on hold over the third quarter but signalled a new approach to inflation. Policymakers are in favour of a new 2% average inflation target, which gives leeway for inflation to move above that level without rates being raised. With the US presidential election approaching, Donald Trump continued to trail Democratic nominee Joe Biden in opinion polls. An indication from the president that he might not transfer power smoothly if defeated unsettled investors.

The Fed held the federal funds rate at 0.25% throughout the fourth quarter. The Fed announced that it would continue with its purchases of at least $80 billion of Treasury securities and $40 billion of mortgage-backed securities per month until “substantial” economic progress had been made. In November, Joe Biden was elected to become the 46th president of the United States. Markets were reassured that there was a clear, rather than contested, outcome to the election. After protracted negotiations between Republicans and Democrats, Congress approved a $900 billion fiscal stimulus bill to help combat the continuing adverse effects of the pandemic on the US economy (with initial jobless claims still at almost 800,000). The US dollar fell markedly against most major currencies as investors increasingly anticipated a global economic recovery once widescale vaccinations lead to a return to normality.

In money markets, the 1-month dollar Libor rate fell from 1.76% to 0.14% and the 3-month rate fell from 1.91% to 0.24% over the twelve months.

Portfolio review The Fund returned 0.55% gross of fees over the period under review versus the Effective Federal Funds Rate return of 0.35% (the fund switched to this benchmark in October 2020). The Fund’s duration and yield curve positioning relative to the benchmark were positive for returns.

With interest rates set to remain at ultra-low levels for the foreseeable future (unless inflation notably picks up), Fund activity was limited to very short-dated assets. The Fund added certificates of deposit and commercial paper from OP Corporate Bank and United Overseas Bank. The weighted average maturity of the Fund was 20 days at the beginning of the period and fell to 18 days by the end of the year.

Outlook Following Joe Biden’s victory in the presidential election, political risks remain if a peaceful transfer of power does not take place. Although the US Fed has provided unprecedented support to markets, the COVID-19 crisis still represents a substantial risk to growth – not least due to the practical and ideological barriers to widespread vaccination.

Insight Investment Funds Management Limited 160 Queen Victoria Street London EC4V 4LA England

January 2021


Dollar Liquidity FundPortfolio and Schedule of InvestmentsAs at 31 December 2020

25


Value $

% of Net Assets

Certificates of deposit (31 December 2019: 19.01%)Bank of Montreal CD 0.00% 04.01.2021 10,000,000 9,999,842 1.55Bank of Montreal CD 0.17% 07.01.2021 5,000,000 4,999,965 0.77Euroclear Bank CD 0.00% 01.03.2021 10,000,000 9,996,195 1.54Euroclear Bank CD 0.00% 22.03.2021 10,000,000 9,995,682 1.54Goldman Sachs International Bank CD 0.34% 25.01.2021 10,000,000 10,000,960 1.55Mitsubishi UFJ Trust & Banking Corporation CD 0.00% 20.01.2021 10,000,000 9,999,056 1.55Mitsubishi UFJ Trust & Banking Corporation CD 0.00% 28.01.2021 5,000,000 4,999,328 0.77Mitsubishi UFJ Trust & Banking Corporation CD 0.00% 08.02.2021 4,000,000 3,998,825 0.62Mizuho Bank Ltd CD 0.00% 06.01.2021 20,000,000 19,999,469 3.09Nationwide Building Society CD 0.00% 20.01.2021 20,000,000 19,997,754 3.09Sumitomo Mitsui Trust Bank Ltd CD 0.00% 25.01.2021 5,000,000 4,999,107 0.77Toronto-Dominion Bank CD 0.00% 12.02.2021 2,000,000 1,999,432 0.31Toronto-Dominion Bank CD 0.00% 29.06.2021 10,000,000 9,990,110 1.54United Overseas Bank CD 0.23% 05.03.2021 10,000,000 10,000,816 1.55United Overseas Bank CD 0.27% 15.01.2021 10,000,000 9,999,594 1.55 Total value of certificates of deposit 140,976,135 21.79 Commercial paper (31 December 2019: 35.56%)Agence Centrale des Organismes de Securite Sociale CP 0.00% 08.01.2021 6,000,000 5,999,793 0.93Agence Centrale des Organismes de Securite Sociale CP 0.00% 17.06.2021 4,000,000 3,996,438 0.62Akademiska Hus CP 0.00% 07.01.2021 20,000,000 19,999,537 3.09Belgium (Kingdom of) CP 0.00% 21.01.2021 20,000,000 19,998,193 3.09BRED-Banque Populaire CP 0.00% 05.01.2021 20,000,000 19,999,630 3.09Clearstream Banking CP 0.00% 13.01.2021 20,000,000 19,998,770 3.09Dexia Credit Local CP 0.00% 22.03.2021 10,000,000 9,995,390 1.54FMS Wertmanagement CP 0.00% 03.03.2021 10,000,000 9,996,216 1.54FMS Wertmanagement CP 0.00% 05.03.2021 5,000,000 4,998,044 0.77KfW CP 0.00% 04.01.2021 10,000,000 9,999,927 1.55KfW CP 0.00% 08.01.2021 10,000,000 9,999,720 1.55Kommunalbanken AS CP 0.00% 29.01.2021 10,000,000 9,998,445 1.55KommuneKredit CP 0.00% 17.02.2021 10,000,000 9,997,151 1.54Kommuninvest I Sverige Aktiebo CP 0.00% 16.02.2021 10,000,000 9,997,537 1.54La Banque Postale CP 0.00% 04.01.2021 20,000,000 19,999,640 3.09Landwirtschaftliche Rentenbank CP 0.00% 07.01.2021 10,000,000 9,999,720 1.55Landwirtschaftliche Rentenbank CP 0.00% 02.02.2021 10,000,000 9,998,267 1.54Municipality Finance Plc CP 0.00% 12.02.2021 15,000,000 14,997,749 2.32Municipality Finance Plc CP 0.00% 23.02.2021 5,000,000 4,999,166 0.77NRW Bank CP 0.00% 07.01.2021 20,000,000 19,999,574 3.09Paccar Financial Europe CP 0.00% 25.01.2021 10,000,000 9,999,083 1.55SNCF Reseau CP 0.00% 16.02.2021 20,000,000 19,992,618 3.09Toyota Finance Australia CP 0.00% 11.01.2021 20,000,000 19,998,667 3.09 Total value of commercial paper 294,959,275 45.58 Total value of money market instruments 435,935,410 67.37

Corporate bonds (31 December 2019: 1.32%) – –

Time deposits (31 December 2019: 36.64%)BRED-Banque Populaire TD 0.09% 04.01.2021 19,800,000 19,800,000 3.06Deutsche Zentral-Genossenschaftsbank TD 0.08% 04.01.2021 30,000,000 30,000,000 4.64KBC Bank TD 0.08% 04.01.2021 50,000,000 50,000,000 7.73La Banque Postale TD 0.09% 04.01.2021 30,000,000 30,000,000 4.63National Bank of Canada TD 0.09% 04.01.2021 50,000,000 50,000,000 7.73 Total value of time deposits 179,800,000 27.79


Dollar Liquidity Fund (Continued)Portfolio and Schedule of Investments As at 31 December 2020

26


Value $

% of Net Assets

Time deposits (31 December 2019: 36.64%) (Continued) Reverse repurchase agreements (31 December 2019: 7.14%) Reverse Repo Royal Bank of Canada (0.13%) 04.01.2021 51,215,000 51,215,000 7.92 Total reverse repurchase agreements 51,215,000 7.92

Total Financial Assets - Money market instruments 435,935,410 67.37Total Financial Assets - Deposits with credit institutions 179,800,000 27.79Total Cost of Investments $615,721,337 (31 December 2019: $777,838,706)

Cash (31 December 2019: 0.44%) 204,388 0.03

Total value of reverse repurchase agreements (31 December 2019: 7.14%) 51,215,000 7.92

Net current liabilities (31 December 2019: (0.11%)) (20,102,344) (3.11)

Net assets attributable to holders of redeemable shares 647,052,454 100.00


% of Total


100.00%


Euro Cash FundInvestment Manager’s Report (Unaudited)For the financial year ended 31 December 2020

27

Market overview The rapid spread of the coronavirus, and measures to contain it, dominated financial markets throughout the first quarter of 2020. Mass lockdowns led to significant market volatility and a temporary decline in liquidity. By the end of the quarter, the European Central Bank (“ECB”) had revised its initial modest response to the outbreak and announced a €750billion Pandemic Bond Buying Programme. Additional stimulus also started at a national level, although discussions on mutual debt issuance - so-called “Coronabonds” – initially met resistance from the likes of Germany.

In the second quarter, European policymakers expanded the Pandemic Emergency Purchase Programme in June, committing to buy a further £600bn in bonds. The scheme was also extended until 2021. France and Germany proposed an EU-wide recovery fund worth €500bn, which would see a transfer of wealth from core to ‘peripheral’ European countries, such as Italy and Spain.

In the third quarter, on the political front, regional elections in Italy resulted in a disappointing showing for Matteo Salvini’s anti-EU party, the Northern League. This lowered political risk in Italy and sent Italian government bond yields to record lows.

In the fourth quarter, the ECB held interest rates at 0% with a deposit rate of -0.5% over the quarter. It added another €500 billion to its Pandemic Emergency Purchase Programme, taking it to €1.85 trillion; it also extended the scheme until March 2022.

Economic data in the eurozone continued to recover despite the imposition of renewed lockdown restrictions in many countries towards the end of the quarter as Covid-19 cases continued to rise.

However, deflation continued in the eurozone as consumer prices fell 0.3% year-on-year in November. With investor risk appetite improving, sovereign bonds in peripheral European countries such as Italy and Spain outperformed those in Germany and France.

In money markets, the 1-month Euribor rate decreased from -0.44% to -0.55% and the 3-month rate also decreased from -0.38% to -0.55%.

Portfolio review The Fund returned -0.48% gross of fees over the period under review versus the 7-day euro Libid return of -0.65%. Asset allocation and yield curve positioning both proved positive for the fund return against benchmark over the review period. Whilst the liquidity crisis in March saw spreads on ABS and Senior Bank debt widen, as markets normalised these tightened to levels seen pre-crisis, justifying our decision to maintain holdings.The Fund primarily focused on additions to the short-dated certificates of deposit and commercial paper portfolio with issuance from a wide range of issuers including Bank of America Merrill Lynch, Nordea, Svenska Handelsbanken, Sumitomo Mitsui Banking Corporation, Credit Suisse, Zurich Cantonal Bank, First Abu Dhabi Bank, SAGESS and Axa. The Fund also added floating-rate notes from ING and Euroclear, along with fixed-rate bonds from ING, Toronto Dominion Bank and Swedbank. The weighted average maturity of the Fund was 36 days at the beginning of the period and rose to 51 days by the end of the year.Outlook The ECB has reiterated its commitment to maintain fiscal and monetary policy support. Despite this, bouts of volatility are likely as the roll-out of the Covid-19 vaccine will take time. The EU-wide recovery has provided much-needed support to peripheral Europe, tightening spreads versus German Bunds. This support should help anchor peripheral spreads going forward.

Insight Investment Funds Management Limited 160 Queen Victoria Street London EC4V 4LA England January 2021


Euro Cash FundPortfolio and Schedule of InvestmentsAs at 31 December 2020

28


Value €

% of Net Assets

Certificates of deposit (31 December 2019: 15.90%)Bank of America Merrill Lynch CD 0.00% 08.01.2021 25,000,000 25,004,376 0.47Bank of America Merrill Lynch CD 0.00% 22.03.2021 45,000,000 45,068,266 0.86Credit Suisse CD 0.00% 18.01.2021 15,000,000 15,004,157 0.28Credit Suisse CD 0.00% 07.06.2021 20,000,000 20,045,063 0.38Credit Suisse CD 0.00% 25.10.2021 25,000,000 25,099,857 0.48First Abu Dhabi Bank CD 0.00% 04.01.2021 50,000,000 50,004,341 0.95First Abu Dhabi Bank CD 0.00% 05.01.2021 75,000,000 75,007,813 1.43Goldman Sachs International Bank CD 0.00% 01.02.2021 50,000,000 50,028,066 0.95Goldman Sachs International Bank CD 0.00% 16.12.2021 50,000,000 50,260,704 0.96Mitsubishi UFJ Trust & Banking Corporation CD 0.00% 06.01.2021 75,000,000 75,009,510 1.43Mitsubishi UFJ Trust & Banking Corporation CD 0.00% 11.01.2021 50,000,000 50,010,869 0.95Mitsubishi UFJ Trust & Banking Corporation CD 0.00% 12.01.2021 75,000,000 75,017,662 1.43Mizuho Bank Ltd CD 0.00% 26.02.2021 50,000,000 50,049,510 0.95Sumitomo Mitsui Trust Bank Ltd CD 0.00% 26.03.2021 50,000,000 50,074,525 0.95Zuercher Kantonalbank CD 0.00% 26.02.2021 50,000,000 50,049,510 0.95Zuercher Kantonalbank CD 0.00% 09.03.2021 50,000,000 50,058,431 0.95Zuercher Kantonalbank CD 0.00% 15.03.2021 82,000,000 82,103,656 1.56Zuercher Kantonalbank CD 0.00% 27.05.2021 20,000,000 20,049,455 0.38 Total value of certificates of deposit 857,945,771 16.31 Commercial paper (31 December 2019: 60.74%)Archer Daniels Midland CP 0.00% 26.01.2021 50,000,000 50,010,690 0.95Archer Daniels Midland CP 0.00% 28.01.2021 25,000,000 25,005,741 0.47AXA Banque CP 0.00% 04.01.2021 100,000,000 100,008,529 1.90AXA Banque CP 0.00% 08.01.2021 25,000,000 25,003,838 0.47AXA Banque CP 0.00% 02.02.2021 25,000,000 25,014,458 0.48AXA Banque CP 0.00% 04.02.2021 100,000,000 100,056,004 1.90AXA Banque CP 0.00% 01.06.2021 50,000,000 49,997,267 0.95AXA Banque CP 0.00% 25.06.2021 25,000,000 25,069,765 0.48Banco Santander CP 0.00% 04.01.2021 93,000,000 93,008,244 1.77Banco Santander CP 0.00% 07.01.2021 60,000,000 60,008,775 1.14Banco Santander CP 0.00% 01.03.2021 50,000,000 50,053,177 0.95Banque Federative du Credit Mutuel CP 0.00% 02.02.2021 60,000,000 60,034,700 1.14BRED-Banque Populaire CP 0.00% 01.03.2021 50,000,000 50,050,715 0.95BRED-Banque Populaire CP 0.00% 02.03.2021 50,000,000 50,051,548 0.95BRED-Banque Populaire CP 0.00% 01.07.2021 125,000,000 125,367,745 2.38Clearstream Banking CP 0.00% 29.01.2021 25,000,000 25,013,591 0.48Clearstream Banking CP 0.00% 17.03.2021 50,000,000 50,067,037 0.95Colgate Palmolive Co CP 0.00% 19.02.2021 59,000,000 59,053,374 1.12Deutsche Zentral-Genossenschaftsbank CP 0.00% 11.02.2021 43,000,000 43,032,793 0.82Fingrid CP 0.00% 09.04.2021 7,500,000 7,513,650 0.14First Abu Dhabi Bank CP 0.00% 29.01.2021 25,000,000 25,013,028 0.48Handelsbanken Plc CP 0.00% 18.05.2021 83,000,000 83,192,730 1.58Handelsbanken Plc CP 0.00% 27.05.2021 17,000,000 17,042,037 0.32Handelsbanken Plc CP 0.00% 17.06.2021 25,000,000 25,070,616 0.48Handelsbanken Plc CP 0.00% 18.06.2021 25,000,000 25,071,035 0.48Handelsbanken Plc CP 0.00% 05.07.2021 25,000,000 25,078,030 0.48Handelsbanken Plc CP 0.00% 06.07.2021 25,000,000 25,078,448 0.48International Development Association CP 0.00% 11.01.2021 150,000,000 150,032,607 2.85International Development Association CP 0.00% 26.01.2021 75,000,000 75,036,693 1.43Kommunalbanken AS CP 0.00% 08.01.2021 25,000,000 25,004,470 0.47Kommunalbanken AS CP 0.00% 21.01.2021 45,000,000 45,019,671 0.86Kommunalbanken AS CP 0.00% 29.01.2021 137,000,000 137,081,677 2.61Linde Finance CP 0.00% 26.01.2021 30,000,000 30,013,821 0.57Linde Finance CP 0.00% 27.01.2021 30,000,000 30,014,334 0.57Linde Finance CP 0.00% 08.03.2021 15,000,000 15,016,877 0.29


Euro Cash Fund (Continued)Portfolio and Schedule of Investments As at 31 December 2020

29


Value €

% of Net Assets

Commercial paper (31 December 2019: 60.74%) (Continued) Oesterreichische Kontrollbank CP 0.00% 17.03.2021 50,000,000 50,071,648 0.95OP Corporate Bank CP 0.00% 07.01.2021 10,000,000 10,001,700 0.19OP Corporate Bank CP 0.00% 15.12.2021 27,000,000 27,163,738 0.52Paccar Financial Europe CP 0.00% 07.01.2021 13,500,000 13,501,875 0.26Paccar Financial Europe CP 0.00% 12.01.2021 10,000,000 10,002,257 0.19Paccar Financial Europe CP 0.00% 15.01.2021 10,000,000 10,002,779 0.19Paccar Financial Europe CP 0.00% 25.01.2021 19,000,000 19,008,580 0.36Procter & Gamble Company CP 0.00% 10.02.2021 9,000,000 9,006,515 0.17Procter & Gamble Company CP 0.00% 24.02.2021 30,000,000 30,028,728 0.57Procter & Gamble Company CP 0.00% 01.03.2021 15,000,000 15,015,597 0.29Procter & Gamble Company CP 0.00% 26.04.2021 10,000,000 10,019,538 0.19Skandinaviska Enskilda Banken CP 0.00% 16.12.2021 50,000,000 50,265,630 0.96SNCF Reseau CP 0.00% 22.01.2021 25,000,000 25,011,186 0.48Societe Anonyme de Gestion de Stocks de Securite CP 0.00% 06.01.2021 15,000,000 15,000,163 0.28Societe Anonyme de Gestion de Stocks de Securite CP 0.00% 04.03.2021 110,000,000 110,047,658 2.09Societe Anonyme de Gestion de Stocks de Securite CP 0.00% 08.04.2021 67,000,000 66,931,141 1.27Temasek Financial (II) Private CP 0.00% 26.04.2021 30,000,000 30,058,614 0.57UBS CP 0.00% 20.09.2021 50,000,000 50,201,005 0.95 Total value of commercial paper 2,357,526,067 44.82 Total value of money market instruments 3,215,471,838 61.13

Corporate bonds (31 December 2019: 2.09%)DNB Bank Bonds 4.38% 24.02.2021 33,200,000 33,428,051 0.63EFSF Bonds 0.10% 19.01.2021 16,000,000 16,005,184 0.30Erste Bonds 0.00% 25.02.2021 25,000,000 25,021,900 0.48European Investment Bank Bonds 3.63% 15.01.2021 10,015,000 10,028,470 0.19European Stability Mechanism Bonds 0.00% 07.01.2021 8,000,000 8,000,787 0.15European Stability Mechanism Bonds 0.00% 22.04.2021 15,000,000 15,027,337 0.29ING Bank Bonds 0.75% 22.02.2021 11,100,000 11,119,270 0.21KfW Bonds 1.63% 15.01.2021 63,421,000 63,467,741 1.21KfW Bonds 3.38% 18.01.2021 23,417,000 23,453,179 0.45Rabobank London Bonds 4.13% 12.01.2021 10,000,000 10,010,440 0.19Swedbank Bonds 0.63% 04.01.2021 23,401,000 23,401,000 0.44Toronto-Dominion Bank Bonds 0.63% 08.03.2021 14,200,000 14,228,372 0.27UBS Bonds 1.25% 03.09.2021 29,720,000 30,066,297 0.57Westpac Banking Bonds 0.88% 16.02.2021 2,000,000 2,003,392 0.04 Total value of corporate bonds 285,261,420 5.42 Floating rate notes (31 December 2019: 0.90%)ABN Amro Bank FRN 0.00% 15.01.2021 32,100,000 32,105,714 0.61Bank of Nova Scotia FRN 0.00% 18.01.2021 3,000,000 3,000,675 0.06Banque Federative du Credit Mutuel FRN 0.00% 28.01.2021 10,000,000 10,003,730 0.19Credit Suisse FRN 0.07% 27.08.2021 35,000,000 35,135,660 0.67Euroclear Bank FRN 0.00% 08.03.2021 26,536,000 26,562,509 0.50National Australia Bank FRN 0.06% 19.04.2021 2,200,000 2,203,793 0.04Royal Bank of Canada FRN 0.24% 25.01.2021 10,000,000 10,004,720 0.19 Total value of floating rate notes 119,016,801 2.26 Government bonds (31 December 2019: 0.00%)France (Republic of) Bonds 0.00% 06.01.2021 150,000,000 150,003,375 2.85France (Republic of) Bonds 0.00% 27.01.2021 24,000,000 24,011,886 0.46France (Republic of) Bonds 0.00% 03.03.2021 20,000,000 20,024,730 0.38Germany (Federal Republic of) Bonds 0.00% 20.01.2021 87,000,000 87,029,369 1.66


Euro Cash Fund (Continued)Portfolio and Schedule of Investments As at 31 December 2020

30


Value €

% of Net Assets

Government bonds (31 December 2019: 0.00%) (Continued) Germany (Federal Republic of) Bonds 0.00% 12.03.2021 50,000,000 50,074,900 0.95Germany (Federal Republic of) Bonds 2.50% 04.01.2021 50,000,000 50,000,000 0.95Ireland (Republic of) Bonds 0.00% 19.04.2021 73,700,000 73,818,919 1.40 Total value of government bonds 454,963,179 8.65 Supranational bonds (31 December 2019: 0.00%)Nordrhein-Westfalen (State of) Bonds 1.50% 14.01.2021 35,200,000 35,218,306 0.67 Total value of supranational bonds 35,218,306 0.67 Total value of transferable securities 894,459,706 17.00

Time deposits (31 December 2019: 21.38%)BPCE Bank TD (0.60%) 04.01.2021 100,000,000 100,000,000 1.90BPCE Bank TD (0.60%) 04.01.2021 100,000,000 100,000,000 1.90LA Banque Postale TD (0.60%) 04.01.2021 436,900,000 436,900,000 8.31Sumitomo Mitsui Banking Corporation TD (0.52%) 04.01.2021 510,000,000 510,000,000 9.69 Total value of time deposits 1,146,900,000 21.80 Reverse repurchase agreements (31 December 2019: 6.31%) Reverse Repo Barclays Bank (2.10%) 04.01.2021 100,000,000 100,000,000 1.90 Total reverse repurchase agreements 100,000,000 1.90

Total Financial Assets - Transferable securities 894,459,706 17.00Total Financial Assets - Money market instruments 3,215,471,838 61.13Total Financial Assets - Deposits with credit institutions 1,146,900,000 21.80Total Cost of Investments €5,256,781,595 (31 December 2019: €4,798,302,282)

Cash (31 December 2019: 0.02%) – –

Bank overdraft (31 December 2019: 0.00%) (1,627,860) (0.03)

Total value of reverse repurchase agreements (31 December 2019: 6.31%) 100,000,000 1.90

Net current liabilities (31 December 2019: (7.34%)) (94,642,444) (1.80)



% of Total


100.00%


Euro Liquidity Plus FundInvestment Manager’s Report (Unaudited)For the financial year ended 31 December 2020

31

Market overview The rapid spread of the coronavirus, and measures to contain it, dominated financial markets throughout the first quarter of 2020. Mass lockdowns led to significant market volatility and a temporary decline in liquidity. By the end of the quarter, the European Central Bank (“ECB”) had revised its initial modest response to the outbreak and announced a €750billion Pandemic Bond Buying Programme. Additional stimulus also started at a national level, although discussions on mutual debt issuance - so-called “Coronabonds” – initially met resistance from the likes of Germany.

In the second quarter, European policymakers expanded the Pandemic Emergency Purchase Programme in June, committing to buy a further £600bn in bonds. The scheme was also extended until 2021. France and Germany proposed an EU-wide recovery fund worth €500bn, which would see a transfer of wealth from core to ‘peripheral’ European countries, such as Italy and Spain.

In the third quarter, on the political front, regional elections in Italy resulted in a disappointing showing for Matteo Salvini’s anti-EU party, the Northern League. This lowered political risk in Italy and sent Italian government bond yields to record lows.

In the fourth quarter, the ECB held interest rates at 0% with a deposit rate of -0.5% over the quarter. It added another €500 billion to its Pandemic Emergency Purchase Programme, taking it to €1.85 trillion; it also extended the scheme until March 2022.

Economic data in the Eurozone continued to recover despite the imposition of renewed lockdown restrictions in many countries towards the end of the quarter as COVID-19 cases continued to rise.

However, deflation continued in the Eurozone as consumer prices fell 0.3% year-on-year in November. With investor risk appetite improving, sovereign bonds in peripheral European countries such as Italy and Spain outperformed those in Germany and France.

In money markets, the 1-month Euribor rate decreased from -0.44% to -0.55% and the 3-month rate also decreased from -0.38% to -0.55%.

Portfolio review The Fund returned -0.19% gross of fees over the period under review versus the 3-month Euribid return of -0.54%. Spread tightening over 2020 was beneficial for performance.

The Fund added to the certificates of deposit and commercial paper portfolio from issuers including Barclays, Svenska Handelsbanken, Sumitomo Mitsui Banking Corporation, Credit Suisse, Banque Populaire and SAGESS. The Fund also added to the floating rate notes portfolio with issuance from a wide range of issuers including JPMorgan Chase, Credit Suisse, DZ Bank, Bank of Nova Scotia, HSBC, DNB, Deutsche Bank, Volkswagen Car Lease and Groupe BPCE. The Fund also added fixed rate bonds from Swedbank, ING, Toronto Dominion Bank, HSBC, Deutsche Bahn and UBS. The weighted average maturity of the Fund was 82 days at the beginning of the period and fell to 69 days by the end of the year.

Outlook The ECB has reiterated its commitment to maintain fiscal and monetary policy support. Despite this, bouts of volatility are likely as the roll-out of the COVID-19 vaccine will take time. The EU-wide recovery has provided much-needed support to peripheral Europe, tightening spreads versus German Bunds. This support should help anchor peripheral spreads going forward.

Insight Investment Funds Management Limited160 Queen Victoria Street London EC4V 4LA England January 2021


Euro Liquidity Plus FundPortfolio and Schedule of InvestmentsAs at 31 December 2020

32


Value €

% of Net Assets

Investment funds (31 December 2019: 7.69%) Insight Liquidity Funds PLC - EUR Cash Fund - Share Class 2^ UCITS 28,908,648 28,301,566 5.01

Total value of investment funds 28,301,566 5.01

Certificates of deposit (31 December 2019: 3.14%)Bank of America Merrill Lynch CD 0.00% 22.03.2021 5,000,000 5,007,585 0.89Credit Agricole CD 0.00% 12.02.2021 5,000,000 5,004,061 0.88Credit Suisse CD 0.00% 18.01.2021 5,000,000 5,001,386 0.88Credit Suisse CD 0.00% 25.10.2021 5,000,000 5,019,971 0.89Goldman Sachs International Bank CD 0.00% 29.06.2021 10,000,000 10,028,488 1.77Zuercher Kantonalbank CD 0.00% 15.03.2021 5,000,000 5,006,321 0.89 Total value of certificates of deposit 35,067,812 6.20 Commercial paper (31 December 2019: 17.49%)AXA Banque CP 0.00% 02.02.2021 17,000,000 17,009,832 3.01Banco Santander CP 0.00% 04.01.2021 7,000,000 7,000,621 1.24Banco Santander CP 0.00% 22.01.2021 8,000,000 8,003,365 1.42Banco Santander CP 0.00% 01.03.2021 10,000,000 10,010,635 1.77Banque Federative du Credit Mutuel CP 0.00% 01.02.2021 10,000,000 10,005,613 1.77Barclays Bank CP 0.00% 04.05.2021 4,000,000 4,007,012 0.71BPCE CP 0.00% 26.07.2021 5,000,000 5,015,998 0.89BRED-Banque Populaire CP 0.00% 01.07.2021 5,000,000 5,014,710 0.89Colgate Palmolive Co CP 0.00% 19.02.2021 2,000,000 2,001,809 0.35Fingrid CP 0.00% 09.04.2021 2,500,000 2,504,550 0.44Handelsbanken Plc CP 0.00% 17.06.2021 5,000,000 5,014,123 0.89Handelsbanken Plc CP 0.00% 06.07.2021 2,000,000 2,006,276 0.35Kommunalbanken AS CP 0.00% 21.01.2021 5,000,000 5,002,186 0.88Kommunalbanken AS CP 0.00% 29.01.2021 10,000,000 10,005,962 1.77Linde Finance CP 0.00% 27.01.2021 8,000,000 8,003,822 1.42Linde Finance CP 0.00% 08.03.2021 5,000,000 5,005,626 0.89Procter & Gamble Company CP 0.00% 10.02.2021 5,000,000 5,003,619 0.88Procter & Gamble Company CP 0.00% 24.02.2021 10,000,000 10,009,576 1.77Societe Anonyme de Gestion de Stocks de Securite CP 0.00% 04.03.2021 5,000,000 5,002,166 0.88Societe Anonyme de Gestion de Stocks de Securite CP 0.00% 08.04.2021 10,000,000 9,989,722 1.77 Total value of commercial paper 135,617,223 23.99 Total value of money market instruments 170,685,035 30.19

Asset backed securities (31 December 2019: 9.79%)Autonoria 2019 ABS 0.13% 25.09.2035 5,731,028 5,773,320 1.02Bavarian Sky ABS 0.12% 20.09.2026 845,861 848,084 0.15Cars Alliance ABS 0.00% 18.08.2031 6,765,869 6,809,124 1.21Driver Espana Six ABS 0.12% 25.09.2030 3,496,351 3,515,193 0.62Globaldrive Auto Receivables ABS 0.15% 20.10.2027 5,317,103 5,370,213 0.95Limes Funding Compartment ABS 0.00% 22.09.2029 2,271,473 2,281,186 0.40Purple Master Credit Cards ABS 0.13% 25.05.2034 3,500,000 3,530,975 0.63SapphireOne Auto ABS 0.00% 24.08.2037 5,425,302 5,446,132 0.96Silver Arrow Compartment ABS 0.00% 15.03.2027 4,346,018 4,368,674 0.77VCL Multi-Compartment ABS 0.00% 21.01.2025 1,584,341 1,589,058 0.28VCL Multi-Compartment ABS 0.07% 21.06.2025 3,128,050 3,143,142 0.56 Total value of asset backed securities 42,675,101 7.55 Corporate bonds (31 December 2019: 11.24%)Banque Federative du Credit Mutuel Bonds 2.63% 24.02.2021 3,900,000 3,917,320 0.69


Euro Liquidity Plus Fund (Continued)Portfolio and Schedule of Investments As at 31 December 2020

33


Value €

% of Net Assets

Corporate bonds (31 December 2019: 11.24%) (Continued) Credit Suisse Bonds 0.43% 18.05.2022 4,000,000 4,049,324 0.72Deutsche Bahn Bonds 0.00% 19.07.2021 4,160,000 4,168,503 0.74Deutsche Bahn Bonds 0.00% 06.12.2024 7,605,000 7,701,234 1.36Deutsche Zentral-Genossenschaftsbank Bonds 0.46% 28.06.2023 20,000,000 20,409,846 3.61HSBC Bank Bonds 0.20% 04.09.2021 3,200,000 3,215,536 0.57HSBC Bank Bonds 0.95% 14.09.2022 10,000,000 10,283,940 1.82ING Bank Bonds 4.50% 21.02.2022 7,717,000 8,155,387 1.44OP Corporate Bank Bonds 0.00% 22.05.2021 5,500,000 5,511,588 0.97Swedbank Bonds 0.63% 04.01.2021 6,621,000 6,621,000 1.17Toronto-Dominion Bank Bonds 0.63% 08.03.2021 9,625,000 9,644,231 1.71UBS Bonds 0.13% 05.11.2021 1,400,000 1,406,397 0.25UBS Bonds 0.25% 10.01.2022 14,800,000 14,896,733 2.63VCL Multi-Compartment Bonds 0.12% 21.09.2026 6,724,342 6,775,878 1.20Westpac Banking Bonds 1.50% 24.03.2021 5,000,000 5,021,980 0.89 Total value of corporate bonds 111,778,897 19.77 Floating rate notes (31 December 2019: 36.63%)ABN Amro Bank FRN 0.00% 15.01.2021 1,800,000 1,800,321 0.32ABN Amro Bank FRN 0.00% 03.12.2021 10,000,000 10,046,280 1.78Bank of Montreal FRN 0.00% 14.03.2022 13,100,000 13,171,225 2.33Bank of Montreal FRN 0.01% 28.09.2021 5,000,000 5,019,125 0.89Bank of Nova Scotia FRN 0.10% 05.10.2022 17,000,000 17,148,920 3.03Commonwealth Bank of Australia FRN 0.00% 08.03.2023 7,400,000 7,469,619 1.32Credit Agricole FRN 0.04% 17.01.2022 2,500,000 2,513,485 0.45Credit Agricole FRN 0.18% 24.06.2021 4,000,000 4,013,528 0.71Credit Suisse FRN 0.07% 27.08.2021 5,000,000 5,019,380 0.89Deutsche Bahn FRN 0.00% 13.10.2023 11,950,000 12,059,163 2.13DNB Bank FRN 0.24% 25.07.2022 15,100,000 15,264,137 2.70Euroclear Bank FRN 0.00% 08.03.2021 7,700,000 7,707,692 1.36HSBC Bank FRN 0.07% 07.06.2021 6,900,000 6,916,684 1.22ING Bank FRN 0.00% 26.11.2021 3,000,000 3,014,367 0.53ING Bank FRN 0.00% 08.04.2022 6,700,000 6,743,255 1.19JPMorgan Chase Bank FRN 0.21% 18.06.2021 5,000,000 5,017,240 0.89National Australia Bank FRN 0.06% 19.04.2021 5,026,000 5,034,665 0.89Nordea Bank FRN 0.00% 27.09.2021 10,200,000 10,241,014 1.81Nordea Bank FRN 0.00% 07.02.2022 9,000,000 9,051,057 1.60OP Corporate Bank FRN 0.20% 13.06.2022 6,800,000 6,872,964 1.22Royal Bank of Canada FRN 0.09% 19.01.2021 2,000,000 2,000,610 0.36Societe Generale FRN 0.00% 14.01.2021 5,200,000 5,200,832 0.92Societe Generale FRN 0.12% 06.09.2021 7,500,000 7,531,575 1.33 Total value of floating rate notes 168,857,138 29.87 Mortgage backed securities (31 December 2019: 13.75%)BPCE MBS 0.09% 31.10.2054 4,490,526 4,527,923 0.80BPCE MBS 0.14% 31.10.2054 5,000,000 5,065,500 0.90Cartesian Residential Mortgages MBS 0.13% 25.11.2055 2,678,400 2,703,020 0.48Finance Ireland RMBS No.1 MBS 0.13% 24.06.2058 2,464,112 2,475,972 0.44Green Storm MBS 0.07% 22.05.2066 5,000,000 5,075,115 0.90Lanark Master Issuer MBS 0.00% 22.12.2054 1,782,400 1,785,887 0.32Pepper Residential Securities Trust MBS 0.73% 18.08.2060 3,390,034 3,393,389 0.60Saecure MBS 0.00% 30.10.2091 1,950,458 1,970,761 0.35SCF Rahoituspalvelut MBS 0.13% 25.10.2029 3,056,680 3,078,445 0.54Silverstone Master Issuer MBS 0.00% 21.01.2070 2,505,000 2,509,010 0.44Storm B.V. MBS 0.00% 22.06.2054 2,416,230 2,423,360 0.43Storm B.V. MBS 0.06% 22.03.2066 5,000,000 5,071,670 0.90


Euro Liquidity Plus Fund (Continued)Portfolio and Schedule of Investments As at 31 December 2020

34


Value €

% of Net Assets

Mortgage backed securities (31 December 2019: 13.75%) (Continued) Storm B.V. MBS 0.07% 22.08.2063 2,000,000 2,006,182 0.35 Total value of mortgage backed securities 42,086,234 7.45 Total value of transferable securities 365,397,370 64.64

Total Financial Assets - Investment funds 28,301,566 5.01Total Financial Assets - Transferable securities 365,397,370 64.64Total Financial Assets - Money market instruments 170,685,035 30.19Total Cost of Investments €563,622,647 (31 December 2019: €493,015,257)

Cash (31 December 2019: 0.16%) 408,955 0.07

Net current assets (31 December 2019: 0.11%) 478,495 0.09

Net assets attributable to holders of redeemable shares 565,271,421 100.00


% of Total

AssetsTransferable securities and Money Market instruments admitted to an official stock exchange listing 94.82%UCITS and AIFs 5.01%Cash and other assets 0.17%

100.00%


Statement of Comprehensive Income

35The accompanying notes form part of the Financial Statements

Financial year ended 31 December 2020

Sterling Liquidity

Fund £

Sterling Liquidity

Plus Fund

£

Dollar Liquidity

Fund $

Euro Cash Fund

€

Euro Liquidity

Plus Fund

€

Combined Total

£Income NotesBank interest income – – 630 – – 491Interest on reverse repurchase agreements 12,594,816 56,745 1,638,502 – – 13,929,292Net gain/(loss) on investments held for trading 2 72,856,241 45,550,365 3,515,370 (22,383,380) (757,590) 97,288,016

85,451,057 45,607,110 5,154,502 (22,383,380) (757,590) 111,217,799

ExpensesManagement fee 6 11,471,905 1,076,904 613,222 2,064,253 179,238 15,022,089General operating expenses 6 1,761,859 520,758 197,415 845,811 95,930 3,274,031Operating expenses before finance costs 13,233,764 1,597,662 810,637 2,910,064 275,168 18,296,120Net income/(expense) from operations before finance costs 72,217,293 44,009,448 4,343,865 (25,293,444) (1,032,758) 92,921,679

Finance costsInterest expense (1,268,739) (30,693) – (1,920,816) (4,261) (3,011,354)Distributions to holders of redeemable participating shares 3 (68,812,961) (668,451) (3,358,886) – – (70,409,501)

Increase/(decrease) in net assets attributable to holders of redeemable participating shares 2,135,593 43,310,304 984,979 (27,214,260) (1,037,019) 19,500,824

There are no recognised gains or losses arising in the financial year other than those included above.

The combined total has been adjusted for cross investments between Funds.

The Financial Statements were approved on behalf of the Board of Directors on 23 April 2021.


Statement of Comprehensive Income (Continued)



Sterling Liquidity

Fund £

Sterling Liquidity

Plus Fund

£

Dollar Liquidity

Fund $

Euro Cash Fund

€

Euro Liquidity

Plus Fund

€

Combined Total

£Income NotesBank interest income 97,611 21,536 6,822 – – 124,493Interest on reverse repurchase agreements 43,824,146 155,097 1,256,854 – – 44,964,089Net gain/(loss) on investments held for trading 2 160,618,234 65,897,016 19,291,779 (17,508,980) 49,099 224,474,491

204,539,991 66,073,649 20,555,455 (17,508,980) 49,099 269,563,073

ExpensesManagement fee 6 11,447,722 862,062 656,042 1,602,403 143,815 14,355,389General operating expenses 6 1,654,072 488,598 238,573 740,227 86,291 3,054,520Operating expenses before finance costs 13,101,794 1,350,660 894,615 2,342,630 230,106 17,409,909Net income/(expense) from operations before finance costs 191,438,197 64,722,989 19,660,840 (19,851,610) (181,007) 252,153,164

Finance costsInterest expense – – – (781,807) (4,152) (689,335)Distributions to holders of redeemable participating shares 3 (189,985,966) (1,650,975) (14,351,196) – – (199,384,021)

Increase/(decrease) in net assets attributable to holders of redeemable participating shares 1,452,231 63,072,014 5,309,644 (20,633,417) (185,159) 52,079,808 There are no recognised gains or losses arising in the financial year other than those included above.



Statement of Financial Position


As at 31 December 2020Sterling

Liquidity Fund

£

Sterling Liquidity

Plus Fund

£

Dollar Liquidity

Fund $

Euro Cash Fund

€

Euro Liquidity

Plus Fund

€

Combined Total

£Assets NotesFinancial assets at fair value through profit or lossHeld for trading 8, 9Investment funds – 276,701,733 – – 28,301,566 –Transferable securities 1,334,021,015 3,153,960,045 – 894,459,706 365,397,370 5,615,673,018Money market instruments 14,330,353,478 2,876,200,653 435,935,410 3,215,471,838 170,685,035 20,556,397,454Deposits with credit institutions 4,212,500,000 – 179,800,000 1,146,900,000 – 5,370,618,217Derivative financial instruments – 796,205 – – – 796,205Total Financial Assets at fair value through profit or loss 19,876,874,493 6,307,658,636 615,735,410 5,256,831,544 564,383,971 31,543,484,894Cash at bank 5 1,744,484,244 1,341,871 204,388 – 408,955 1,746,341,690Collateral cash 5, 10 – 3,060,000 – – – 3,060,000Reverse repurchase agreements 10 7,227,156,656 – 51,215,000 100,000,000 – 7,354,132,760Subscriptions receivable – – 25,666 – – 18,776Income receivable - due within one year 6,403,201 6,165,077 34,544 5,922,903 602,681 18,415,548Total Assets 28,854,918,594 6,318,225,584 667,215,008 5,362,754,447 565,395,607 40,665,453,668LiabilitiesFinancial liabilities at fair value through profit or lossHeld for trading 8, 9Derivative financial instruments – 1,855,221 – – – 1,855,221Total Financial Liabilities at fair value through profit or loss – 1,855,221 – – – 1,855,221space

Bank overdraft – – – 1,627,860 – 1,457,090Management fee payable 1,450,878 221,733 86,470 366,429 32,439 2,092,893General operating expenses payable 338,148 87,806 28,737 142,915 8,926 582,889Other expenses payable 47,664 – 2,776 – 82,821 123,827Securities purchased payable 1,150,000,000 – 19,997,923 100,056,003 – 1,254,189,223Redemptions and Distributions payable 719,786 – 46,648 – – 734,892Total Liabilities (excluding net assets attributable to holders of redeemable participating shares) 1,152,556,476 2,164,760 20,162,554 102,193,207 124,186 1,261,036,035

Net assets attributable to holders of redeemable participating shares 27,702,362,118 6,316,060,824 647,052,454 5,260,561,240 565,271,421 39,404,417,633 The combined total has been adjusted for cross investments between Funds.


Statement of Financial Position (Continued)


The Financial Statements were approved on behalf of the Board of Directors on 23 April 2021. Michael Boyce: _______________________ John Fitzpatrick: ________________________Director Director


Statement of Financial Position (Continued)


As at 31 December 2019Sterling

Liquidity Fund

£

Sterling Liquidity

Plus Fund

£

Dollar Liquidity

Fund $

Euro Cash Fund

€

Euro Liquidity

Plus Fund

€

Combined Total

£Assets NotesFinancial assets at fair value through profit or lossHeld for trading 8, 9Investment funds – 576,635,190 – – 38,058,927 –Transferable securities 1,558,978,513 3,320,692,235 11,129,143 141,964,965 353,361,774 5,307,776,788Money market instruments 13,592,635,755 2,585,150,537 458,731,112 3,641,075,068 102,087,094 19,695,756,593Deposits with credit institutions 2,001,000,000 – 308,000,000 1,015,700,000 – 3,094,129,563Derivative financial instruments – 2,793,849 – – – 2,793,849Total Financial Assets at fair value through profit or loss 17,152,614,268 6,485,271,811 777,860,255 4,798,740,033 493,507,795 28,100,456,793Cash at bank 5 12,984,580 1,317,588 3,705,096 747,167 804,176 18,413,494Collateral cash 5, 10 – – – – – –Reverse repurchase agreements 10 7,400,000,000 – 60,000,000 300,000,000 – 7,699,490,501Income receivable - due within one year 13,776,158 9,428,956 183,283 2,156,517 628,450 25,318,855Total Assets 24,579,375,006 6,496,018,355 841,748,634 5,101,643,717 494,940,421 35,843,679,643LiabilitiesFinancial liabilities at fair value through profit or lossHeld for trading 8, 9Derivative financial instruments – 50,323 – – – 50,323Total Financial Liabilities at fair value through profit or loss – 50,323 – – – 50,323space

Management fee payable 2,122,562 188,861 117,056 280,089 29,572 2,662,169General operating expenses payable 286,306 87,230 41,476 136,721 7,424 526,983Other expenses payable 9,569 – 601 – 36,035 40,556Securities purchased payable 1,000,000,000 99,543,355 – 350,102,585 – 1,396,195,705Redemptions and Distributions payable 15,717,602 – 948,152 – – 16,048,927Total Liabilities (excluding net assets attributable to holders of redeemable participating shares) 1,018,136,039 99,869,769 1,107,285 350,519,395 73,031 1,415,524,663

Net assets attributable to holders of redeemable participating shares 23,561,238,967 6,396,148,586 840,641,349 4,751,124,322 494,867,390 34,428,154,980 The combined total has been adjusted for cross investments between Funds.


Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares



Sterling Liquidity

Fund £

Sterling Liquidity

Plus Fund

£

Dollar Liquidity

Fund $

Euro Cash Fund

€

Euro Liquidity

Plus Fund

€

Combined Total

£Notes

Net assets attributable to holders of redeemable participating shares at start of the financial year 23,561,238,967 6,396,148,586 840,641,349 4,751,124,322 494,867,390 34,428,154,980

Proceeds from redeemable participating shares created and dividend reinvestments 3 181,329,334,479 5,616,127,833 4,955,685,653 15,558,735,145 136,650,550 202,439,999,441

Payments for redeemable participating shares redeemed 3 (177,190,346,921) (5,739,525,899) (5,150,259,527) (15,022,083,967) (65,209,500) (197,726,941,653)27,700,226,525 6,272,750,520 646,067,475 5,287,775,500 566,308,440 39,141,212,768

Change in net assets attributable to holders of redeemable participating shares 2,135,593 43,310,304 984,979 (27,214,260) (1,037,019) 19,500,824

Foreign exchange adjustment arising on combination 14 – – – – – 243,704,041

Net assets attributable to holders of redeemable participating shares at end of the financial year 27,702,362,118 6,316,060,824 647,052,454 5,260,561,240 565,271,421 39,404,417,633



Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares (Continued)



Sterling Liquidity

Fund £

Sterling Liquidity

Plus Fund

£

Dollar Liquidity

Fund $

Euro Cash Fund

€

Euro Liquidity

Plus Fund

€

Combined Total

£Notes

Net assets attributable to holders of redeemable participating shares at start of the financial year 22,868,271,201 5,512,053,213 941,385,524 3,821,123,269 217,945,909 32,355,367,829

Proceeds from redeemable participating shares created and dividend reinvestments 3 172,675,990,299 7,145,497,374 4,619,450,269 10,674,945,720 361,291,640 189,253,436,489

Payments for redeemable participating shares redeemed 3 (171,984,474,764) (6,324,474,015) (4,725,504,088) (9,724,311,250) (84,185,000) (186,968,258,217)23,559,786,736 6,333,076,572 835,331,705 4,771,757,739 495,052,549 34,640,546,101

Change in net assets attributable to holders of redeemable participating shares 1,452,231 63,072,014 5,309,644 (20,633,417) (185,159) 52,079,808

Foreign exchange adjustment arising on combination 14 – – – – – (264,470,929)

Net assets attributable to holders of redeemable participating shares at end of the financial year 23,561,238,967 6,396,148,586 840,641,349 4,751,124,322 494,867,390 34,428,154,980



Statement of Accounting Policies

42

General

Insight Liquidity Funds PLC (the “Company”) was incorporated on 3 December 2002 under the laws of the Republic of Ireland as an investment company with variable capital. The Company is authorised by the Central Bank of Ireland (the “Central Bank”) as an Undertaking for Collective Investment in Transferable Securities (“UCITS”) in accordance with the provisions of the European Communities (UCITS) Regulations 2011 (the “UCITS Regulations”) and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019 (the “Central Bank UCITS Regulations”). The Company is structured as an open-ended umbrella fund, in that different classes of Shares (each allocated to a particular fund (each a “Fund”, collectively the “Funds”)) may be issued from time to time by direction of the Directors with the approval of the Central Bank. Each Fund may issue several sub-classes of Shares whose respective rights may differ in that different fee structures may be applicable to each sub-classes. The assets of each Fund will be separate from one another and will be invested separately in accordance with the investment objectives and policies of each Fund. There is segregated liability between the Funds.

As at 31 December 2020, the Company has five funds, namely Sterling Liquidity Fund, Sterling Liquidity Plus Fund, Dollar Liquidity Fund, Euro Cash Fund and Euro Liquidity Plus Fund. Other funds may be established from time to time.

The Company may from time to time, with the prior approval of the Central Bank, obtain authorisation of one or more Funds as an Authorised Money Market Fund which shall be designed as a variable net asset value money market fund (“VNAV MMF”), a public debt constant net asset value money market fund (“Public Debt CNAV MMF”) or a low volatility net asset value money market fund (“LVNAV MMF”), as specified in Supplement for the relevant Fund.

The Sterling Liquidity Fund and Dollar Liquidity Fund are LVNAV MMFs, categorised as short-term money market funds in accordance with the Money Market Fund Regulation (EU) 2017/1131 (“MMFR”). The Euro Cash Fund is a VNAV MMF, categorised as a short-term money market fund in accordance with the MMFR. The Sterling Liquidity Plus Fund and Euro Liquidity Plus Fund are not Money Market Funds. There have been no breaches of the terms of the MMFR during the financial year.

As at 31 December 2020, shares have been issued in Share Classes 1*, 2*, 3*, 4, 5*, 6* and 7 of the Sterling Liquidity Fund, Share Classes 1, 2, 3, 4 and 5* of the Sterling Liquidity Plus Fund, Share Classes 2*, 3* and 4 of the Dollar Liquidity Fund, Share Classes 2*, 3*, 6*, 7 and 8 of the Euro Cash Fund and Share Classes 2 and 6* of the Euro Liquidity Plus Fund.

*Distributing share classes.

The Sterling Liquidity Fund commenced operations on 2 January 2003, the Sterling Liquidity Plus Fund commenced operations on 17 December 2004, the Dollar Liquidity Fund commenced operations on 21 March 2005, the Euro Cash Fund commenced operations on 6 September 2012 and the Euro Liquidity Plus Fund commenced operations on 6 December 2018.

i) Basis of Preparation

The Financial Statements have been prepared in accordance with the Financial Reporting Standard FRS 102 “The Financial Reporting Standard applicable in the UK and Republic of Ireland” (“FRS 102”) and these Financial Statements comply with that standard and Irish statute comprising the Companies Acts 2014, the UCITS Regulations and the Central Bank UCITS Regulations.

The Financial Statements have been prepared on a fair value basis for financial assets and liabilities classified at fair value through profit or loss in accordance with the Fair Value Regulations. All other assets and liabilities are stated at amortised cost or redemption amount (“redeemable shares”).

The Company meets all the conditions set out in FRS 102, Section 7, and consequently has availed of the exemption available to the Funds not to prepare a Statement of Cash Flows.


Statement of Accounting Policies (Continued)

43

For the purposes of producing the combined Company Total Financial Statements, investments by Funds within the Company in the shares of other Funds within the Company, also known as cross investments, must be eliminated in order to prevent double counting. In preparing the combined Statement of Financial Position, the value of financial assets at fair value through profit or loss of the Company is reduced by the value of all cross investments held as at 31 December 2020. In preparing the combined Statement of Comprehensive Income, the net gain/(loss) on financial assets at fair value through profit or loss, is reduced by the amount of realised and unrealised gains and losses and distributions earned during the financial year on cross investments. In preparing the combined Statement of Change in Net Assets Attributable to Holders of Redeemable Participating Shares, the combined total is reduced for subscriptions/redemptions between cross investments.

The Financial Statements have been prepared on a going concern basis.

The Financial Statements have been prepared for the financial year ended 31 December 2020.

ii) Financial Instruments

Classification

The Company has chosen to implement the recognition and measurement provisions of IAS 39 Financial Instruments: Recognition and only the disclosure requirements of FRS 102 relating to Basic Financial Instruments and Other Financial Instruments.

Fair value disclosures

The category of financial assets and financial liabilities at fair value through profit or loss comprises:

- Financial instruments held for trading. These include Bonds, Investment funds, Asset backed securities, Mortgage backed securities, Floating rate notes, Certificates of deposit, Commercial paper and all Derivative Financial Instruments (as each Fund does not designate any derivatives as financial hedges), such as Futures and Forward foreign currency contracts, and liabilities from short sales of financial instruments. All derivatives in a net receivable position (positive fair value) are reported as financial assets held for trading. All derivatives in a net payable position (negative fair value) are reported as financial liabilities held for trading.

- Financial instruments classified at fair value through profit or loss upon initial recognition. These include financial assets that are not held for trading purposes and which may be sold. As at 31 December 2020 and at 31 December 2019, the Company did not hold any of these instruments.

Financial liabilities that are not at fair value through the profit or loss include balances due to brokers, capital shares redeemable payable, securities purchased payable, expenses payable and financial liabilities arising on redeemable shares. Financial assets that are not at fair value through profit or loss include cash, income receivable, capital shares sold receivable, securities sold receivable, reverse repurchase agreements and other debtors.

Recognition

Purchases and sales of financial instruments are recognised on trade date - the date on which the Company commits to purchase or sell the asset.

Derecognition

Financial assets are derecognised when the rights to receive cash flows from the assets have expired or the Company has transferred substantially all risks and rewards of ownership. A financial liability is derecognised when its contractual obligations are discharged or cancelled or expire.

Measurement

Financial instruments are measured initially at fair value (transaction price).

Subsequent to initial recognition, all instruments classified at fair value through profit or loss are measured at fair value with changes in fair value recognised in the Statement of Comprehensive Income.

i) Basis of Preparation (Continued)



44

Financial assets and liabilities, other than those at fair value through the profit or loss, are measured at amortised cost using the effective interest rate. Financial liabilities arising from redeemable participating shares issued by the Company are carried at redemption amount representing the investor’s right to a residual interest in the Company’s assets.

Transaction Costs

Transaction costs are incremental costs that are directly attributable to the acquisition, issue or disposal of a financial asset or liability. An incremental cost is one that would not have been incurred if the entity had not acquired, issued or disposed of the financial instrument. When a financial asset or liability is recognised initially, the Company shall measure it at its fair value through profit or loss. Transaction costs that are directly attributable to the acquisition or issue of financial assets or liabilities at fair value through profit or loss are expensed immediately through the Statement of Comprehensive Income.

Transaction costs on the purchase and sale of investment funds, transferable securities, forward foreign currency contracts, money markets instruments and futures are included in the purchase and sale price of the investment. They cannot be practically or reliably gathered as they are embedded in the cost of the investment and cannot be separately verified or disclosed.

Fair Value Measurement Principles

Fair value is the amount for which an asset could be exchanged, or a liability settled, between knowledgeable, willing parties in an arm’s length transaction on the measurement date.

When available, the Company measures the fair value of an instrument using quoted prices in an active market for that instrument. A market is regarded as active if quoted prices are readily and regularly available and represent actual and regularly occurring market transactions on an arm’s length basis.

If a market for a financial instrument is not active, then the Company establishes fair value using a valuation technique. Valuation techniques include using recent arm’s length transactions between knowledgeable, willing parties (if available), reference to the current fair value of other instruments that are substantially the same, discounted cash flow analyses and option pricing models. The chosen valuation technique makes maximum use of market inputs, relies as little as possible on estimates specific to the Company, incorporates all factors that market participants would consider in setting a price, and is consistent with accepted economic methodologies for pricing financial instruments. Inputs to valuation techniques reasonably represent market expectations and measures of the risk-return factors inherent in the financial instrument. The Company calibrates valuation techniques and tests them for validity using prices from observable current market transactions in the same instrument or based on other available observable market data.

Financial instruments held for trading are marked-to-market, though for some of the short term assets where a market price is not available these are valued at amortised cost. Under this method, each Fund’s financial instruments are valued at their acquisition cost as adjusted for amortisation of premium or accretion of discount. Due to the nature of the financial instruments, this method is deemed equivalent to the fair value.

If the Directors believe that the amortised cost deviates from the fair value approximation and may result in material dilution or other unfair results to Shareholders, the Directors shall take such corrective action, if any, as they deem appropriate to eliminate or reduce, to the extent reasonably practicable, the dilution or unfair results.

The Directors shall continually assess this method of valuation and recommend changes, where necessary, to ensure that each Fund’s held for trading investments will be valued at their fair value as determined in good faith by the Directors.

The fair value of derivatives that are not exchange-traded is estimated at the amount that the Fund would receive or pay to terminate the contract at the Statement of Financial Position date taking into account current market conditions (volatility, appropriate yield curve) and current creditworthiness of the counterparties.

ii) Financial Instruments (Continued)

Measurement (Continued)



45

Gains and losses arising from changes in the fair value of the ‘financial assets at fair value through profit or loss’ category are included in the Statement of Comprehensive Income in the period in which they arise. The computation of realised gains and losses on sales of investments is made on a first-in-first-out basis for all Funds with the exception of Sterling Liquidity Plus Fund and Euro Liquidity Plus Fund which are calculated at an average book cost.

The unrealised gain or loss on forward foreign currency contracts is calculated by reference to the difference between the contracted rate and the rate to close out the contract. Realised gains or losses include net gains or losses on contracts which have been settled or offset by other contracts.

For open futures contracts, changes in the value of the contract are recognised as unrealised gains or losses by “marking to market” the value of the contract at the Statement of Financial Position date based on quoted exchange prices. When the contract is closed, the difference between the proceeds from (or cost of) the closing transaction and the original transaction is recorded as a realised gain or loss.

Amortised Cost

When the Company purchases a financial asset and simultaneously enters into an agreement to resell the same or substantially similar asset at a fixed price on a future date (“reverse repo”), the arrangement is accounted for as a loan and receivable, recognised in the Statement of Financial Position as receivables from reverse repurchase agreements, and the underlying asset is not recognised in the Company’s Financial Statements.

When the Company sells a financial asset and simultaneously enters into an agreement to repurchase the same or substantially similar asset at a fixed price on a future date (“repo”), the arrangement is accounted for as a borrowing, recognised in the Statement of Financial Position as payables under repurchase agreements, and the underlying asset continues to be recognised in the Company’s Financial Statements.

Receivables from reverse repurchase agreements and payables under repurchase agreements are subsequently measured at amortised cost.

Securities borrowed by the Company are not recognised in the Statement of Financial Position. If the Company subsequently sells all the borrowed securities, the arrangement is accounted for as a short sold position, recognised in the Statement of Financial Position as financial liabilities at fair value through profit or loss, classified as held for trading and measured at fair value through profit or loss. Securities lent by the Company are not derecognised from the Company’s Statement of Financial Position. When the counterparty has the rights to sell or repledge the securities, the Company reclassifies them in the Statement of Financial Position as pledged financial assets at fair value through profit or loss.

iii) Distribution Policy

Dividends are declared on each dealing day for all distributing classes for both the Dollar Liquidity Fund and the Sterling Liquidity Fund. Dividends payable on redeemable shares are recognised in the Statement of Comprehensive Income as finance costs. Net income is distributed on these classes. The net income for this purpose shall consist of interest and income earned by the Company and realised and unrealised gains on the disposal/valuation of investments as may be lawfully distributed less realised and unrealised losses (including fees and expenses) of the Company.

For the Sterling Liquidity Plus Fund Class 5 Shares are Distributing Shares, for the Euro Cash Fund Class 2, Class 3 and Class 6 Shares are Distributing Shares and for the Euro Liquidity Plus Fund Class 6 Shares are Distributing Shares. Accordingly, it is the intention that dividends will be distributed on the last day of every month from the net income attributable to each Class. It is intended to distribute all such net income that is eligible for distribution.

Dividends payable to Shareholders will be re-invested each month by subscription for additional shares of the same class in the relevant Fund, unless Shareholders specifically request that dividends be paid. Different levels of dividend may be declared and paid on each class of shares. Additional shares will be issued to Shareholders at a price calculated in the same way as for other issues of the relevant class of share on the same date.

ii) Financial Instruments (Continued)

Fair Value Measurement Principles (Continued)



46

Accumulating share classes carry no right to any dividend. The net income attributable to these shares shall be retained within the relevant Fund and will be reflected in the Net Asset Value of the shares.

Distributions for the financial year and the prior financial year are disclosed in the Statement of Comprehensive Income on page 35 and 36.

iv) Shares

All redeemable participating shares issued by the Company provide the investors with the right to require redemption for cash at the value proportionate to the investor’s share in the relevant Fund’s net assets at the redemption date. In accordance with FRS 102 “Financial Instruments: Presentation”, such instruments give rise to a financial liability for the present value of the redemption amount.

v) Cash at Bank

Cash at bank comprises deposits and overdrafts with banks and highly liquid financial assets with maturities of three months or less from the acquisition date that are subject to an insignificant risk of changes in their value, these are used by the Company in the management of short-term commitments. This excludes cash collateral and margin cash provided in respect of derivatives, securities sold short and securities borrowing transactions.

vi) Collateral Cash

Collateral cash represents the minimum deemed by counterparties for collateral requirements for over-the-counter financial derivative instruments. Cash received as collateral is recorded as an asset on the Statement of Financial Position. Collateral cash is restricted and is reported separately to the unrestricted cash on the Company’s Statement of Financial Position. The Company discloses the market value of securities and cash pledged and received as collateral by the Funds in Note 10 on page 73.

vii) Income

Bank interest income and expenses are accrued on a daily basis. Interest on investments is accounted for on an effective yield basis and is included in the net movement in fair value of financial assets held for trading in the Statement of Comprehensive Income. Interest income or interest expense includes the amortisation of any discount or premium, transaction costs or other differences between the initial carrying amount of an interest bearing instrument and its amount at maturity calculated on an effective interest rate basis. Interest on reverse repurchase agreements is accrued on a daily basis and is included in the Statement of Comprehensive Income.

viii) Foreign Currency

The functional currency of the Company is Sterling, as the Directors have determined that this reflects the Company’s primary economic environment as the majority of the Company’s investments are Sterling denominated. The presentation currency of the Company is also Sterling, with Euro, US Dollar and Sterling being the base currencies of individual Funds. For each Fund, transactions in foreign currencies are translated at the foreign currency exchange rate ruling at the date of the transaction. Monetary assets and liabilities denominated in foreign currencies are translated to the functional currency at the foreign currency closing exchange rate ruling at the dates that the values were determined. Foreign currency exchange differences relating to financial assets at fair value through profit or loss are included in the realised net gain/loss on financial assets at fair value through profit or loss and change in unrealised net gain/loss on financial assets at fair value through profit or loss. All other foreign currency exchange differences relating to monetary items, including cash are presented in the Statement of Comprehensive Income.

In order to present combined totals for the Company, assets and liabilities in foreign currencies for each of the Funds are translated into Sterling at the rates prevailing at the financial year end date. Transactions which occurred during the financial year are translated into Sterling at the average rate for the financial year. A foreign exchange adjustment arises on combination as disclosed in the Statement of Changes in Net Assets Attributable to Holders of Redeemable Shares from the re-translation of the opening net assets at the financial year end exchange rate. The method of translation has no effect on the value of the net assets allocated to the individual Funds.

iii) Distribution Policy (Continued)



47

ix) Expenses

Expenses are charged to the Statement of Comprehensive Income on an accruals basis.

x) Taxation

The Company is an investment undertaking as defined in Section 739B of the Taxes Consolidation Act 1997. Therefore, the Company will not be liable to Irish tax in respect of its income and gains, other than on the occurrence of a chargeable event. A chargeable event includes any distribution payments to shareholders or any encashment, redemption or transfer of shares or the ending of a “Relevant Period” for which the investment was held.

A Relevant Period is an eight year period beginning with the acquisition of the shares by the Shareholder and each subsequent period of eight years beginning immediately after the preceding Relevant Period.

A gain on a chargeable event does not arise in respect of:

a) a Shareholder who is not an Irish resident and not ordinarily resident in Ireland at the time of the chargeable event, provided the necessary signed statutory declarations are held by the Company;

b) certain exempted Irish tax resident Investors who have provided the Company with the necessary signed statutory declarations;

c) an exchange of Shares arising on a qualifying amalgamation or reconstruction of the Company with another fund;

d) any transactions in relation to Shares held in a recognised clearing system as designated by order of the Revenue Commissioners of Ireland;

e) certain exchanges of Shares between spouses and former spouses on the occasion of judicial separation and/or divorce;

f) an exchange by a Shareholder, effected by way of an arm’s length bargain where no payment is made to the Shareholder of Shares in the Company for other Shares in the Company.

Capital gains, dividends and interest (if any) received on investments made by the Company may be subject to withholding taxes imposed by the country from which the investment income/gains are received and such taxes may not be recoverable by the Company or its Shareholders.

In the absence of an appropriate declaration, the Company will be liable for Irish tax on the occurrence of a chargeable event, and the Company reserves its right to withhold such taxes from the relevant Shareholders.

There were no chargeable events during the financial year under review.

xi) Use of Estimates

The preparation of Financial Statements in accordance with accounting standards generally accepted in Ireland requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the Financial Statements and the reported amounts of income and expenses during the financial year. Actual results could differ from those estimates.

xii) Borrowing Costs

Borrowing costs are recognised as an expense in the period in which they are incurred.

xiii) Impairment

Financial assets that are stated at cost or amortised cost are reviewed at each Statement of Financial Position date to determine whether there is objective evidence of impairment. If any such indication exists, an impairment loss is recognised in the Statement of Comprehensive Income as the difference between the asset’s carrying amount and the present value of estimated future cash flows discounted at the financial asset’s original effective interest rate.



48

If in a subsequent period the amount of an impairment loss recognised on a financial asset carried at amortised cost decreases and the decrease can be linked objectively to an event occurring after the write-down, the write-down is reversed through the Statement of Comprehensive Income.

There was no impairment necessary during the financial year ended 31 December 2020 or during the previous financial year.

xiv) Cross Holdings Within the Company

A Fund may also invest in other funds within the Company. Each Portfolio and Schedule of Investments shows investments held in other funds of Insight Liquidity Funds PLC as at 31 December 2020. For the purpose of producing the combined Company total Financial Statements, investments by Funds within the Company in the shares of other funds within the Company, also known as “Cross Investments”, must be eliminated in order to prevent double counting. In preparing the Combined Company Total Statement of Financial Position, the fair value of financial assets at fair value through profit or loss of the Company is reduced by the fair value of all Cross Investments as at the financial year end. In preparing the combined Company Total Statement of Comprehensive Income, the Net gain/(loss) on financial assets at fair value through profit or loss is reduced by the amount of realised and unrealised gains and losses earned during the financial year on Cross Investments. In preparing the combined Statement of Change in Net Assets Attributable to Holders of Redeemable Participating Shares, the Combined Total is reduced for subscriptions/redemptions between cross investments.

xiii) Impairment (Continued)


Notes to the Financial Statements

49

1. Fees

Annual Charges and Expenses

The total annual charges and expenses of the Company are based on a percentage of the combined Net Asset Value of the Company.

Manager’s General Operating Expenses ("GOE")

The Company appointed Insight Investment Management (Europe) Limited as manager of the Company (the “Manager”). The Company pays the Manager an annual fee out of the assets of the Funds equal to a percentage of the Net Asset Value of the relevant Class (the “GOE”). The GOE covers a range of fees and expenses relating to the general operation of the Funds including fees that the Manager pays on behalf of the Company, such as Administration fees, Depositary fees, Directors fees, Legal fees, Audit fees and Professional Service fees.

Share Class Annual Charges and Expenses

The total annual charges and expenses of the Company differ for the various classes of Shares. The total annual charges and expenses of each class of Shares in each Fund are listed below:

Sterling Liquidity Fund

Class 1 up to 0.20% per annum of the Net Asset Value of the Fund attributable to the Class 1 Shares Class 2 up to 0.10% per annum of the Net Asset Value of the Fund attributable to the Class 2 Shares 1

Class 3 up to 0.10% per annum of the Net Asset Value of the Fund attributable to the Class 3 Shares Class 4 up to 0.25% per annum of the Net Asset Value of the Fund attributable to the Class 4 Shares Class 5 up to 0.15% per annum of the Net Asset Value of the Fund attributable to the Class 5 Shares Class 6 up to 0.25% per annum of the Net Asset Value of the Fund attributable to the Class 6 Shares Class 7 up to 0.10% per annum of the Net Asset Value of the Fund attributable to the Class 7 Shares

Sterling Liquidity Plus Fund

Class 1 up to 0.20% per annum of the Net Asset Value of the Fund attributable to the Class 1 SharesClass 2 up to 0.10% per annum of the Net Asset Value of the Fund attributable to the Class 2 Shares 1

Class 3 up to 0.15% per annum of the Net Asset Value of the Fund attributable to the Class 3 Shares Class 4 up to 0.30% per annum of the Net Asset Value of the Fund attributable to the Class 4 Shares Class 5 up to 0.15% per annum of the Net Asset Value of the Fund attributable to the Class 5 Shares Dollar Liquidity Fund

Class 2 up to 0.10% per annum of the Net Asset Value of the Fund attributable to the Class 2 Shares 1

Class 3 up to 0.10% per annum of the Net Asset Value of the Fund attributable to the Class 3 Shares Class 4 up to 0.25% per annum of the Net Asset Value of the Fund attributable to the Class 4 Shares

Euro Cash Fund

Class 2 up to 0.10% per annum of the Net Asset Value of the Fund attributable to the Class 2 Shares 1

Class 3 up to 0.10% per annum of the Net Asset Value of the Fund attributable to the Class 3 Shares Class 6 up to 0.25% per annum of the Net Asset Value of the Fund attributable to the Class 6 Shares Class 7 up to 0.10% per annum of the Net Asset Value of the Fund attributable to the Class 7 Shares Class 8 up to 0.07% per annum of the Net Asset Value of the Fund attributable to the Class 8 Shares

Euro Liquidity Plus Fund

Class 2 up to 0.10% per annum of the Net Asset Value of the Fund attributable to the Class 2 Shares 1 Class 6 up to 0.25% per annum of the Net Asset Value of the Fund attributable to the Class 6 Shares

The above fees are payable monthly in arrears and are calculated with reference to the daily Net Asset Value of each Fund.

1 The prospectus currently in issue states that fees up to 0.10% (10bps) can be charged to this share class. It has been agreed with the Administrator that the fees to be taken on this share class would be those of the Administrator and Depositary only plus other out of pocket expenses and that no fee would be taken by the Investment Manager. This “zero” share class has been made available only to those investors with a separate investment management mandate with the Investment Manager.


Notes to the Financial Statements (Continued)

50

2. Net Gain/(Loss) on Investments Held for Trading

Sterling Liquidity

Fund £

Sterling Liquidity

Plus Fund £

Dollar Liquidity

Fund $

Net realised & unrealised gain/(loss) on financial assets through profit or lossRealised loss on investments (1,177,833) (3,990,215) –Change in unrealised gain/(loss) on investments and futures 1,871,641 15,840,880 (7,476)Net loss on currencies and forwards – (4,293,430) –Investment income 72,162,433 37,993,130 3,522,846

72,856,241 45,550,365 3,515,370

Euro Cash Fund

€

Euro Liquidity

Plus Fund €

Combined Total

£Net realised & unrealised gain/(loss) on financial assets through profit or lossRealised loss on investments – (321,626) (5,454,062)Change in unrealised (loss)/gain on investments and futures (387,802) 268,786 17,600,853Net loss on currencies and forwards (1) – (5,883,465)Investment (expense)/income (21,995,577) (704,750) 91,024,690

(22,383,380) (757,590) 97,288,016

2019 Comparatives

Sterling Liquidity

Fund £

Sterling Liquidity

Plus Fund £

Dollar Liquidity

Fund $

Net realised & unrealised gain/(loss) on financial assets through profit or lossRealised gain/(loss) on investments 16,407 (3,570,297) –Change in unrealised gain on investments and futures 377,980 360,818 31,416Net gain on currencies and forwards – 10,985,132 –Investment income 160,223,847 58,121,363 19,260,363

160,618,234 65,897,016 19,291,779

Euro Cash Fund

€

Euro Liquidity

Plus Fund €

Combined Total

£Net realised & unrealised gain/(loss) on financial assets through profit or lossRealised gain/(loss) on investments 8,556 51,332 (3,419,016)Change in unrealised gain on investments and futures 218,520 480,322 1,392,125Net gain on currencies and forwards – – 12,541,239Investment (expense)/income (17,736,056) (482,555) 213,960,143

(17,508,980) 49,099 224,474,491




51

3. Share Capital

The Company has a variable share capital. The authorised share capital of the Company is 1,000,000,000,000 shares of no par value initially designated as unclassified shares. The unclassified shares are available for issue as Shares. The issue price is payable in full on acceptance. There are no rights of pre-emption attaching to the Shares in the Company. The Company is not subject to any externally imposed capital requirements.

Variation of Rights

The rights attached to any class may be varied or abrogated with the consent in writing of the holders of three-fourths in number of the issued shares of that class, or with the sanction of a special resolution passed at a separate general meeting of the holders of the shares of the class, and may be so varied or abrogated either whilst the Company is a going concern or during or in contemplation of a winding-up.

Voting Rights

Subject to disenfranchisement in the event of non-compliance with any notice requiring disclosure of the beneficial ownership of shares and subject to any rights or restrictions for the time being attached to any class or classes of shares, on a show of hands at a general meeting or class meeting of the Company, every Shareholder holding shares who is present in person or by proxy shall have one vote and on a poll every Shareholder present in person or by proxy shall have one vote for every share of which s/he is the holder.

Distributions

The Articles of Association permit the Directors to declare such distributions on any class of shares as appears to the Directors to be justified by the profits of the relevant Fund. The Directors may satisfy any distributions due to holders of shares in whole or in part by distributing to them in specie any of the assets of the relevant Fund, and in particular any investments to which the relevant Fund is entitled. Any distributions unclaimed for six years from the date of declaration of such distribution shall be forfeited and shall revert to the relevant Fund. Distributions for the financial year and the prior financial year are disclosed in the Statement of Comprehensive Income on pages 35 and 36.

Winding Up

The Articles contain provisions to the following effect:

a) If the Company shall be wound up the liquidator shall, subject to the provisions of the Companies Acts, apply the assets of each Fund in such manner and order as s/he thinks fit in satisfaction of creditors' claims relating to that Fund.

b) The assets available for distribution amongst the holders shall be applied as follows. Firstly, the proportion of the assets in a Fund attributable to each class of share shall be distributed to the holders of shares in the relevant class in the proportion that the number of shares held by each holder bears to the total number of shares relating to each such class of shares in issue as at the date of commencement to wind up and secondly, any balance then remaining and not attributable to any of the classes of shares shall be apportioned pro-rata as between the classes of shares based on the Net Asset Value of each class of shares as at the date of commencement to wind up and the amount so apportioned to a class shall be distributed to holders pro-rata to the number of shares in that class of shares held by them.

c) If the Company shall be wound up (whether the liquidation is voluntary, under supervision or by the court) the liquidator may, with the authority of a special resolution of the relevant Shareholders and any other sanction required by the Acts divide among the holders of shares of any class or classes within a Fund in specie the whole or any part of the assets of the Company relating to that Fund, and whether or not the assets shall consist of property of a single kind, and may for such purposes set such value as s/he deems fair upon any one or more class or classes of property, and may determine how such division shall be carried out as between all the Shareholders of the Company or the holders of different classes of shares in a Fund. The liquidator may, with the like authority, vest any part of the assets in trustees upon such trusts for the benefit of Shareholders as the liquidator, with the like authority, shall think fit, and the liquidation of the Company may be closed and the Company dissolved, but so that no Shareholder shall be compelled to accept any assets in respect of which there is a liability. A Shareholder may request the liquidator, instead of transferring the assets in specie to it, to dispose of them and to pay the net sales proceeds instead.



52

Share Class movement for the financial year ended 31 December 2020

Share Class

Shares in issue

1 Jan 2020Subscriptions & Reinvestments Redemptions

Shares in issue

31 Dec 2020

Sterling Liquidity FundClass 1 406,641,314 1,444,856,982 (1,671,537,904) 179,960,392Class 2 11,184,821,717 105,154,469,327 (102,473,542,658) 13,865,748,386Class 3 6,428,343,692 30,325,221,923 (30,534,931,397) 6,218,634,218Class 4 * 56,162,014 21,611,417 (31,525,736) 46,247,695Class 5 1,218,342,030 7,319,742,439 (7,141,720,496) 1,396,363,973Class 6 4,175,490,316 36,984,731,818 (35,299,190,379) 5,861,031,755Class 7 * 72,658,415 69,785,001 (28,286,829) 114,156,587

Sterling Liquidity Plus FundClass 1 *,**,*** – 8,276,098 (8,276,098) –Class 2 * 4,042,843,437 3,525,561,149 (3,820,242,249) 3,748,162,337Class 3 * 391,037,657 328,759,521 (144,797,204) 574,999,974Class 4 * 79,300 – (4,786) 74,514Class 5 190,697,051 191,977,026 (157,645,789) 225,028,288

Dollar Liquidity FundClass 2 557,835,725 4,757,931,035 (4,979,692,413) 336,074,347Class 3 18,723,010 132,356,063 (123,970,997) 27,108,076Class 4 * 215,142,052 53,119,385 (37,838,499) 230,422,938

Euro Cash FundClass 2 2,089,623,561 6,993,025,586 (6,975,273,541) 2,107,375,606Class 3 679,154,874 1,805,224,421 (1,600,171,485) 884,207,810Class 6 1,955,911,296 7,035,140,990 (6,710,985,799) 2,280,066,487Class 7 * 108,512,924 36,056,788 (33,112,324) 111,457,388Class 8 * 4,213,661 6,573,083 (8,483,358) 2,303,386

Euro Liquidity Plus FundClass 2 * 200,021,951 111,938,416 (65,345,195) 246,615,172Class 6 295,016,754 25,065,421 – 320,082,175

*Accumulating Share Class: the net income attributable to these share classes is retained within the Fund and the value of the shares rise accordingly.

**This share class re-launched on 7 February 2020 and closed on 26 February 2020.

***This share class re-launched on 9 December 2019 and closed on 23 December 2019.

3. Share Capital (Continued)



53

Share Class movement for the financial year ended 31 December 2019

Share Class

Shares in issue

1 Jan 2019Subscriptions & Reinvestments Redemptions

Shares in issue

31 Dec 2019

Sterling Liquidity FundClass 1 188,149,709 2,108,316,648 (1,889,825,043) 406,641,314Class 2 11,824,831,440 98,427,092,389 (99,067,102,112) 11,184,821,717Class 3 5,297,943,255 30,093,991,404 (28,963,590,967) 6,428,343,692Class 4 * 54,157,613 30,951,605 (28,947,204) 56,162,014Class 5 1,320,194,156 6,631,347,852 (6,733,199,978) 1,218,342,030Class 6 4,087,354,899 35,327,213,016 (35,239,077,599) 4,175,490,316Class 7 * 78,508,387 47,195,104 (53,045,076) 72,658,415

Sterling Liquidity Plus FundClass 1 *,** – 19,265,907 (19,265,907) –Class 2 * 3,633,892,111 4,687,800,208 (4,278,848,882) 4,042,843,437Class 3 * 223,890,380 374,670,156 (207,522,879) 391,037,657Class 4 * 84,117 – (4,817) 79,300Class 5 160,652,936 64,127,960 (34,083,845) 190,697,051Class 6 *,***,**** 15,496,666 – (15,496,666) –

Dollar Liquidity FundClass 2 665,626,661 4,487,082,965 (4,594,873,901) 557,835,725Class 3 21,993,905 67,840,074 (71,110,969) 18,723,010Class 4 * 211,106,910 53,166,698 (49,131,556) 215,142,052

Euro Cash FundClass 2 1,877,013,101 4,366,001,581 (4,153,391,121) 2,089,623,561Class 3 642,428,456 978,636,495 (941,910,077) 679,154,874Class 6 1,240,534,307 5,442,687,143 (4,727,310,154) 1,955,911,296Class 7 * 96,721,419 50,740,931 (38,949,426) 108,512,924Class 8 * 15,382,778 6,311,490 (17,480,607) 4,213,661

Euro Liquidity Plus FundClass 2 * 98,000,000 186,176,198 (84,154,247) 200,021,951Class 6 120,000,000 175,016,754 – 295,016,754


**This share class re-launched on 9 December 2019 and closed on 23 December 2019.

***This share class closed on 14 May 2019.

****This share class is a Hedged Currency Share Class.




54

Share Class monetary value for the financial year ended 31 December 2020

Share ClassSubscriptions & Reinvestments Redemptions

Net value of shares issued/(redeemed)

during the year 31 Dec 2020

Sterling Liquidity FundClass 1 £1,444,856,983 (£1,671,537,904) (£226,680,921)Class 2 £105,154,469,327 (£102,473,542,658) £2,680,926,669Class 3 £30,325,221,923 (£30,534,931,397) (£209,709,474)Class 4 * £27,312,479 (£39,838,043) (£12,525,564)Class 5 £7,319,742,438 (£7,141,720,496) £178,021,942Class 6 £36,984,731,818 (£35,299,190,379) £1,685,541,439Class 7 * £72,999,511 (£29,586,044) £43,413,467

Sterling Liquidity Plus FundClass 1 *,**,*** £11,000,000 (£11,008,496) (£8,496)Class 2 * £4,963,521,317 (£5,374,352,088) (£410,830,771)Class 3 * £452,696,071 (£199,032,489) £253,663,582Class 4 * – (£6,086) (£6,086)Class 5 £188,910,445 (£155,126,740) £33,783,705

Dollar Liquidity FundClass 2 $4,757,931,035 ($4,979,692,413) ($221,761,378)Class 3 $132,356,063 ($123,970,997) $8,385,066Class 4 * $65,398,555 ($46,596,117) $18,802,438

Euro Cash FundClass 2 €6,863,811,945 (€6,847,430,861) €16,381,084Class 3 €1,763,891,056 (€1,563,587,309) €200,303,747Class 6 €6,889,315,102 (€6,570,363,887) €318,951,215Class 7 * €35,247,592 (€32,351,178) €2,896,414Class 8 * €6,469,450 (€8,350,732) (€1,881,282)

Euro Liquidity Plus FundClass 2 * €111,650,550 (€65,209,500) €46,441,050Class 6 €25,000,000 – €25,000,000







55

Share Class monetary value for the financial year ended 31 December 2019

Share ClassSubscriptions & Reinvestments Redemptions

Net value of shares issued/(redeemed)

during the year 31 Dec 2019

Sterling Liquidity FundClass 1 £2,108,316,648 (£1,889,825,043) £218,491,605Class 2 £98,427,092,389 (£99,067,102,112) (£640,009,723)Class 3 £30,093,991,405 (£28,963,590,968) £1,130,400,437Class 4 * £38,964,329 (£36,469,455) £2,494,874Class 5 £6,631,347852 (£6,733,199,979) (£101,852,127)Class 6 £35,327,213,016 (£35,239,077,599) (£1,864,583)Class 7 * £49,064,660 (£55,209,609) (£6,144,949)

Sterling Liquidity Plus FundClass 1 *,** £25,540,540 (£25,570,148) (£29,608)Class 2 * £6,524,684,182 (£5,968,714,411) (£555,969,771)Class 3 * £511,996,916 (£283,465,249) £228,531,667Class 4 * – (£6,086) (£6,086)Class 5 £63,061,511 (£33,520,778) £29,540,733Class 6 *,***,**** – (£15,368,142) (£15,368,142)

Dollar Liquidity FundClass 2 $4,487,082,965 ($4,594,873,901) ($107,790,936)Class 3 $67,840,073 ($71,110,969) ($3,270,896)Class 4 * $64,527,231 ($59,519,218) $5,008,013

Euro Cash FundClass 2 €4,304,052,658 (€4,094,781,148) €209,271,510Class 3 €961,217,344 (€925,475,529) €35,741,815Class 6 €5,353,580,779 (€4,648,446,880) €705,133,899Class 7 * €49,855,264 (€38,317,939) €11,537,325Class 8 * €6,239,674 (€17,289,755) (€11,050,081)

Euro Liquidity Plus FundClass 2 * €186,291,640 (€65,209,500) €121,082,140Class 6 €175,000,000 (€84,185,000) €90,815,000


**This share class re-launched on 9 December 2019 and closed on 23 December 2019.

***This share class closed on 14 May 2019.

****This share class is a Hedged Currency Share Class.




56

Net Asset Value and NAV per share comparative table

Share ClassNAV at

31 Dec 2020

NAV per share

31 Dec 2020NAV at

31 Dec 2019

NAV per share

31 Dec 2019NAV at

31 Dec 2018

NAV per share

31 Dec 2018

Sterling Liquidity FundClass 1 £179,972,441 £1.0001 £406,637,525 £1.0000 £188,153,026 £1.0000Class 2 £13,867,105,386 £1.0001 £11,185,307,903 £1.0000 £11,825,097,777 £1.0000Class 3 £6,219,309,030 £1.0001 £6,428,540,397 £1.0000 £5,298,049,547 £1.0000Class 4 * £58,472,246 £1.2643 £70,894,215 £1.2623 £67,963,448 £1.2549Class 5 £1,396,475,911 £1.0001 £1,218,405,021 £1.0001 £1,320,226,562 £1.0000Class 6 £5,861,575,359 £1.0001 £4,175,611,065 £1.0000 £4,087,434,098 £1.0000Class 7 * £119,451,745 £1.0464 £75,842,841 £1.0438 £81,346,743 £1.0362

Sterling Liquidity Plus FundClass 1 *,**,*** – – – – – –Class 2 * £5,300,287,236 £1.4141 £5,671,791,058 £1.4029 £5,036,364,114 £1.3859Class 3 * £794,098,377 £1.3810 £536,519,696 £1.3720 £303,895,824 £1.3573Class 4 * £94,945 £1.2742 £100,535 £1.2678 £105,658 £1.2561Class 5 £221,580,266 £0.9847 £187,737,297 £0.9845 £157,896,342 £0.9828Class 6 *,****,***** – – – – €15,352,700 €0.9907

Dollar Liquidity FundClass 2 $336,094,309 $1.0001 $557,851,908 $1.0000 $665,619,916 $1.0000Class 3 $27,105,701 $0.9999 $18,723,526 $1.0000 $21,993,679 $1.0000Class 4 * $283,852,444 $1.2319 $264,065,915 $1.2274 $253,771,929 $1.2021

Euro Cash FundClass 2 €2,062,963,843 €0.9789 €2,055,735,709 €0.9838 €1,854,607,551 €0.9881Class 3 €861,295,979 €0.9741 €665,387,180 €0.9797 €631,865,457 €0.9848Class 6 €2,225,407,790 €0.9760 €1,919,471,467 €0.9814 €1,224,109,675 €0.9861Class 7 * €108,635,865 €0.9747 €106,376,648 €0.9803 €95,305,230 €0.9854Class 8 * €2,257,763 €0.9802 €4,153,318 €0.9857 €15,235,356 €0.9904

Euro Liquidity Plus FundClass 2 * €246,203,099 €0.9983 €200,059,984 €1.0002 €97,977,900 €0.9998Class 6 €319,068,322 €0.9968 €294,807,406 €0.9993 €119,968,009 €0.9997




****This share class closed on 14 May 2019.

*****This share class is a Hedged Currency Share Class.

4. Net Asset Value per Share

The Net Asset Value per Share is determined by dividing the value of the net assets of the relevant Fund by the total number of Shares of that Fund in issue at that time. Please refer to Note 3 for further details.

5. Cash at Bank and Collateral Cash

All cash at bank balances are held with The Northern Trust Company (“TNTC”), which is a 100% indirect wholly owned subsidiary of Northern Trust Corporation which has an S&P credit rating of A+ (31 December 2019: A+).




57

There is an overdraft facility with a restriction of the lower of £50m in aggregate or 10% of each Fund’s Net Asset Value for Sterling Liquidity Fund, Dollar Liquidity Fund, Sterling Liquidity Plus Fund and Euro Liquidity Plus Fund.

There is also collateral cash, disclosed further in Note 10 on page 73 held with Goldman Sachs, JP Morgan and Natwest Markets (31 December 2019: Citibank and Royal Bank of Canada). The ratings for these counterparties are disclosed on page 71.

6. Related Party Transactions

FRS 102 requires an entity to include in its Financial Statements the disclosures necessary to draw attention to the possibility that its financial position and profit or loss have been affected by the existence of related parties and by transactions and outstanding balances with such parties.

The following transactions with related parties were entered into during the financial year under review by the Company in the ordinary course of business and on normal commercial terms:

Insight Investment Funds Management Limited as “Investment Manager” earned fees of £15,022,089 (31 December 2019: £14,355,389) of which £2,092,893 (31 December 2019: £2,662,169) was due at the financial year end.

The Manager earned general operating expenses of £3,274,031 (31 December 2019: £3,014,096) of which £582,889 (31 December 2019: £526,983) was due at the financial year end.

As shown in the Portfolio and Schedule of Investments, Sterling Liquidity Plus Fund holds investments worth £276,701,733 (31 December 2019: £576,635,190) in Sterling Liquidity Fund and Euro Liquidity Plus Fund holds investments worth €28,301,566 (31 December 2019: €38,058,927) in Euro Cash Fund. There is no impact on the management fees for these Funds as the investments are in Share Class 2, which incurs no management fee.

At 31 December 2020, the Insight Group held 160,392,252 shares (31 December 2019: 83,576,465 shares) in the Sterling Liquidity Fund.

The following table shows the cumulative transactions held by Sterling Liquidity Plus Fund in Sterling Liquidity Fund and Euro Liquidity Plus Fund in Euro Cash Fund during the financial year.

Fund withRelated partyFund of

Financial Year ended 31 December 2020

investment in related party Insight Liquidity Funds plc Purchases SalesSterling Liquidity Plus Fund Sterling Liquidity Fund £2,170,351,602 £2,449,080,000Euro Liquidity Plus Fund Euro Cash Fund €200,555,000 €210,120,000

Fund withRelated partyFund of

Financial Year ended 31 December 2019

investment in related party Insight Liquidity Funds plc Purchases SalesSterling Liquidity Plus Fund Sterling Liquidity Fund £3,579,370,122 £3,391,631,352Euro Liquidity Plus Fund Euro Cash Fund €307,695,000 €290,220,000

Charles Farquharson and Gregory Brisk are also Directors of the Investment Manager. On 3 December 2020, Charles Farquharson retired as Non-Executive Director of Insight Liquidity Funds PLC. Both Directors have waived their Directors’ fees. Please see note 7 on page 57 for the Directors fees amounts for the year ended 31 December 2020.

7. Directors’ Fees

The Directors’ fees for the financial year amounted to £48,021 (31 December 2019: £42,099). Directors' fees are included in the General Operating Expenses.

5. Cash at Bank and Collateral Cash (Continued)



58

8. Fair Value of Financial Instruments

Fair Value Hierarchy

FRS 102 section on “Fair Value: Disclosure” requires disclosure relating to the fair value hierarchy in which fair value measurements are categorised for financial assets and financial liabilities. The disclosures are based on a three-level fair value hierarchy for the inputs used in valuation techniques to measure fair value.

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.

A fair value measurement is categorised in its entirety on the basis of the lowest level input that is significant to the fair value measurement in its entirety.

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.

The valuation techniques used by the Company are explained in the accounting policies note on pages 44 and 45.

The following table sets out the classification of the Company’s financial instruments as at 31 December 2020, measured at fair value in accordance with FRS 102:

Total Level 1 Level 2 Level 3Sterling Liquidity Fund £ £ £ £AssetsFinancial assets held for trading:Certificates of deposit 8,811,328,141 6,986,239,973 1,825,088,168 –Commercial paper 5,519,025,337 4,708,994,040 810,031,297 –Corporate bonds 129,428,322 129,428,322 – –Floating rate notes 505,097,323 451,296,921 53,800,402 –Government bonds 699,495,370 699,495,370 – –Time deposits 4,212,500,000 – 4,212,500,000 –

19,876,874,493 12,975,454,626 6,901,419,867 –

Total Level 1 Level 2 Level 3Sterling Liquidity Plus Fund £ £ £ £AssetsFinancial assets held for trading:Asset backed securities 245,602,255 – 245,602,255 –Certificates of deposit 1,853,780,325 1,628,890,446 224,889,879 –Commercial paper 1,022,420,328 1,022,420,328 – –Corporate bonds 171,026,252 152,214,910 18,811,342 –Floating rate notes 1,738,938,796 874,973,751 863,965,045 –Forward currency contracts 796,205 – 796,205 –Government bonds 206,496,896 206,496,896 – –Investment funds 276,701,733 276,701,733 – –Mortgage backed securities 667,416,136 – 667,416,136 –Supranational bonds 124,479,710 51,079,051 73,400,659 –

6,307,658,636 4,212,777,115 2,094,881,521 –

LiabilitiesFinancial liabilities held for trading:Forward currency contracts (1,855,221) – (1,855,221) –

(1,855,221) – (1,855,221) –



59

Total Level 1 Level 2 Level 3Dollar Liquidity Fund $ $ $ $AssetsFinancial assets held for trading:Certificates of deposit 140,976,135 88,991,335 51,984,800 –Commercial paper 294,959,275 274,959,645 19,999,630 –Time deposits 179,800,000 – 179,800,000 –

615,735,410 363,950,980 251,784,430 –

Total Level 1 Level 2 Level 3Euro Cash Fund € € € €AssetsFinancial assets held for trading:Certificates of deposit 857,945,771 857,945,771 – –Commercial paper 2,357,526,067 1,936,671,394 420,854,673 –Corporate bonds 285,261,420 261,808,241 23,453,179 –Floating rate notes 119,016,801 119,016,801 – –Government bonds 454,963,179 454,963,179 – –Supranational bonds 35,218,306 35,218,306 – –Time deposits 1,146,900,000 – 1,146,900,000 –

5,256,831,544 3,665,623,692 1,591,207,852 –

Total Level 1 Level 2 Level 3Euro Liquidity Plus Fund € € € €AssetsFinancial assets held for trading:Asset backed securities 42,675,101 – 42,675,101 –Certificates of deposit 35,067,812 35,067,812 – –Commercial paper 135,617,223 122,598,691 13,018,532 –Corporate bonds 111,778,897 66,607,999 45,170,898 –Floating rate notes 168,857,138 122,922,696 45,934,442 –Investment funds 28,301,566 – 28,301,566 –Mortgage backed securities 42,086,234 – 42,086,234 –

564,383,971 347,197,198 217,186,773 –

Certain Certificates of deposit, Commercial paper, Time deposits and Floating rate notes were transferred from Level 2 to Level 1 based on the level of market activity for these securities at 31 December 2020.

2019 Comparatives

Total Level 1 Level 2 Level 3Sterling Liquidity Fund £ £ £ £AssetsFinancial assets held for trading:Certificates of deposit 7,429,472,797 – 7,429,472,797 –Commercial paper 6,163,162,958 – 6,163,162,958 –Corporate bonds 6,579,277 – 6,579,277 –Floating rate notes 1,183,530,360 – 1,183,530,360 –Government bonds 368,868,876 354,602,992 14,265,884 –Time deposits 2,001,000,000 – 2,001,000,000 –

17,152,614,268 354,602,992 16,798,011,276 –

8. Fair Value of Financial Instruments (Continued)

Fair Value Hierarchy (Continued)



60

Total Level 1 Level 2 Level 3Sterling Liquidity Plus Fund £ £ £ £AssetsFinancial assets held for trading:Asset backed securities 301,552,384 – 301,552,384 –Certificates of deposit 1,615,741,631 – 1,615,741,631 –Commercial paper 969,408,906 – 969,408,906 –Corporate bonds 83,735,581 – 83,735,581 –Floating rate notes 2,145,349,616 – 2,145,349,616 –Forward currency contracts 2,793,849 – 2,793,849 –Government bonds 24,998,817 24,998,817 – –Investment funds 576,635,190 576,635,190 – –Mortgage backed securities 670,158,468 – 670,158,468 –Supranational bonds 94,897,369 94,897,369 – –

6,485,271,811 696,531,376 5,788,740,435 –

LiabilitiesFinancial liabilities held for trading:Forward currency contracts (50,323) – (50,323) –

(50,323) – (50,323) –

Total Level 1 Level 2 Level 3Dollar Liquidity Fund $ $ $ $AssetsFinancial assets held for trading:Certificates of deposit 159,829,589 – 159,829,589 –Commercial paper 298,901,523 – 298,901,523 –Corporate bonds 11,129,143 – 11,129,143 –Time deposits 308,000,000 – 308,000,000 –

777,860,255 – 777,860,255 –

Total Level 1 Level 2 Level 3Euro Cash Fund € € € €AssetsFinancial assets held for trading:Certificates of deposit 755,372,278 – 755,372,278 –Commercial paper 2,885,702,790 – 2,885,702,790 –Corporate bonds 99,244,499 – 99,244,499 –Floating rate notes 42,720,466 – 42,720,466 –Time deposits 1,015,700,000 – 1,015,700,000 –

4,798,740,033 – 4,798,740,033 –



2019 Comparatives (Continued)



61

Total Level 1 Level 2 Level 3Euro Liquidity Plus Fund € € € €AssetsFinancial assets held for trading:Asset backed securities 48,437,298 – 41,370,945 7,066,353Certificates of deposit 15,534,129 – 15,534,129 –Commercial paper 86,552,965 – 86,552,965 –Corporate bonds 55,620,495 – 55,620,495 –Floating rate notes 181,259,515 – 181,259,515 –Investment funds 38,058,927 – 38,058,927 –Mortgage backed securities 68,044,466 – 68,044,466 –

493,507,795 – 486,441,442 7,066,353

In the prior financial year Certificates of deposit, Commercial paper and Time deposits were transferred to Level 2 based on the lack of active market for these instruments.

In the prior financial year within the Fund noted on the table below, there was an Asset backed security that was classified as a Level 3 asset. This asset was priced independently of the Investment Manager, however it was valued by only one pricing vendor. Due to the private nature of the underlying asset, directly comparable data was not readily available, and the asset was therefore deemed to be Level 3. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. For the year ended 31 December 2020, the Fund noted on the table below, has sold the Asset backed security that was classified as a Level 3 asset.

Euro Liquidity Plus Fund 31 December 2020 Level 3

€ Opening Value 7,066,353Transfers from/(to) Level 2 –Purchases –Sales (7,059,010)Realised gain/(loss) (7,343)Unrealised loss –Closing Value –

Euro Liquidity Plus Fund 31 December 2019 Level 3

€ Opening Value –Transfers from/(to) Level 2 –Purchases 7,059,010Sales –Realised gain/(loss) –Unrealised gain 7,343Closing Value 7,066,353

Due to the lack of activity in the market, absence of readily available market information and the level of judgement required, this investment is deemed to be Level 3.






62

Sensitivity of fair value measurement to changes in unobservable inputs

Although the Investment Manager believes that its estimates of fair value are appropriate, the use of different methodologies or assumptions could lead to different measurements of fair value. For fair value measurements in Level 3, in changing one or more of the assumptions used to reasonably possible alternative assumptions by decreasing or increasing by 5% with all other variables held constant, the impact on valuation is shown in the table below:

Fair value as at Fund 31 December 2020 Sensitivity Change in valuationEuro Liquidity Plus Fund – +/-5% –

Fair value as at Fund 31 December 2019 Sensitivity Change in valuationEuro Liquidity Plus Fund €7,066,353 +/-5% €353,318/(€353,318)

9. Financial Instruments and Associated Risks

In pursuing its investment objectives, each Fund holds a number of financial instruments including:

• Other funds; • Corporate bonds, Government bonds, Commercial paper, Certificates of deposit, Floating rate notes, Time

deposits, Asset backed securities, Mortgage backed securities, Forward foreign currency contracts, Futures and Reverse repurchase agreements and

• Cash, liquid resources and short-term debtors and creditors that arise directly from its operations. Each Fund’s activities expose it to a variety of financial risks: market risk (including currency risk, interest rate risk and equity price risk), credit risk and liquidity risk. Each Fund’s overall risk management program focuses on the unpredictability of financial markets and seeks to minimise potential adverse effects on the Fund’s financial performance.

Each Fund’s objectives are as follows:

Sterling Liquidity Fund The investment objective of the Sterling Liquidity Fund is to provide investors with stability of capital and of Net Asset Value per Share (in the case of the Stable Net Asset Value Shares) and daily liquidity with an income which is comparable to the Sterling denominated short dated money market interest rates.

Sterling Liquidity Plus Fund The investment objective of the Sterling Liquidity Plus Fund is to provide investors with stability of capital and income through investment in short term fixed income and variable rate securities.

Dollar Liquidity Fund The investment objective of the Dollar Liquidity Fund is to provide investors with stability of capital and of Net Asset Value per Share (in the case of the Stable Net Asset Value Shares) and daily liquidity with an income which is comparable to the US Dollar denominated short dated money market interest rates.

Euro Cash Fund The investment objective of the Euro Cash Fund is to provide investors with stability of capital and daily liquidity together with an income comparable to Euro denominated short dated money market interest rates.

Euro Liquidity Plus FundThe investment objective of the Euro Liquidity Plus Fund is to provide investors with stability of capital and income through investment in short term fixed income and variable rate securities.

i) Market Price Risk

Market price risk results mainly from the uncertainty about the future prices of financial instruments held. It represents the potential loss a Fund may suffer through holding market positions in the face of market movements.





63

All investments present a risk of loss of capital. The Investment Manager moderates this risk through a careful selection of securities and other financial instruments within the specified limits.

Market risk is controlled and monitored through the application of pre-agreed portfolio control ranges which cover asset allocation, duration, yield curve and liquidity. The Investment Manager will use historic data to measure market risk, which is controlled relative to the benchmark.

The Company's price risk exposure relates to financial assets whose values will fluctuate as a result of changes in market prices, principally investment securities. The main cause of this fluctuation is directly related to movements in interest rates, which is covered in the Interest Rate Risk note seen on page 72.

ii) Global Exposure

In respect of the Insight Liquidity Funds, the Investment Manager uses the commitment approach to evaluate the global exposure of the Funds. This approach converts each Fund’s financial derivatives instruments (“FDI”) position into an equivalent position of the underlying assets based on the market value of the underlying asset.

iii) Liquidity Risk

Predominantly, the Company’s assets comprise of realisable securities which can be readily sold. Each Fund’s main liability and exposure is to daily cash redemptions of redeemable shares. Assets from a Fund may need to be sold if insufficient cash is available to finance such redemptions. Each Fund therefore invests the appropriate level of its assets in investments that are traded in an active market and can be readily disposed of. The Investment Manager is focused on redemption trends and these are analysed on a daily basis to ensure best available information is used to determine potential redemption requirements.

A Fund may, from time to time, invest in derivative contracts traded over the counter, which are not traded in an organised market and may be less liquid. As a result, the Fund may not be able to liquidate these as quickly as its cash investments at an amount which represent their fair value.

The majority of assets held by the Company are negotiable securities. The ability to sell on demand ensures that the Investment Manager can efficiently alter the investment strategy as required. The ability to sell also permits the financing of any unexpected withdrawals from a portfolio. It is important that these assets are readily tradeable and the Investment Manager will ensure that assets are only held where an efficient secondary market is operating. From time to time, the secondary market in any particular issue or market may become less liquid, so to minimise this risk the Investment Manager will also ensure that a portfolio is well diversified.

The following tables analyse each Fund’s financial liabilities and net settled derivative financial liabilities into relevant maturity groupings based on the remaining period at the Statement of Financial Position date to the contractual maturity date. Net assets attributable to holders of redeemable shares are all less than 1 month; the remaining liabilities are detailed in the table below.

Sterling Liquidity FundAt 31 December 2020 < 1 Month 1 - 3 Months 3 Months to 1 Year > 1 Year TotalLiabilities £Non-derivative financial liabilities 1,150,719,786 1,836,690 – – 1,152,556,476Total Liabilities (excluding net assets attributable to redeemable participating shares) 1,150,719,786 1,836,690 – – 1,152,556,476

Sterling Liquidity Plus FundAt 31 December 2020 < 1 Month 1 - 3 Months 3 Months to 1 Year > 1 Year TotalLiabilities £Derivative financial liabilities 55,149 1,800,072 – – 1,855,221Non-derivative financial liabilities – 309,539 – – 309,539Total Liabilities (excluding net assets attributable to redeemable participating shares) 55,149 2,109,611 – – 2,164,760

9. Financial Instruments and Associated Risks (Continued)

i) Market Price Risk (Continued)



64

Dollar Liquidity FundAt 31 December 2020 < 1 Month 1 - 3 Months 3 Months to 1 Year > 1 Year TotalLiabilities $Non-derivative financial liabilities 20,044,571 117,983 – – 20,162,554Total Liabilities (excluding net assets attributable to redeemable participating shares) 20,044,571 117,983 – – 20,162,554

Euro Cash FundAt 31 December 2020 < 1 Month 1 - 3 Months 3 Months to 1 Year > 1 Year TotalLiabilities €Non-derivative financial liabilities 101,683,863 509,344 – – 102,193,207Total Liabilities (excluding net assets attributable to redeemable participating shares) 101,683,863 509,344 – – 102,193,207

Euro Liquidity Plus FundAt 31 December 2020 < 1 Month 1 - 3 Months 3 Months to 1 Year > 1 Year TotalLiabilities €Non-derivative financial liabilities – 124,186 – – 124,186Total Liabilities (excluding net assets attributable to redeemable participating shares) – 124,186 – – 124,186

2019 Comparatives

Sterling Liquidity FundAt 31 December 2019 < 1 Month 1 - 3 Months 3 Months to 1 Year > 1 Year TotalLiabilities £Non-derivative financial liabilities 1,015,717,602 2,418,437 – – 1,018,136,039Total Liabilities (excluding net assets attributable to redeemable participating shares) 1,015,717,602 2,418,437 – – 1,018,136,039

Sterling Liquidity Plus FundAt 31 December 2019 < 1 Month 1 - 3 Months 3 Months to 1 Year > 1 Year TotalLiabilities £Derivative financial liabilities – 50,323 – – 50,323Non-derivative financial liabilities 99,543,355 276,091 – – 99,819,446Total Liabilities (excluding net assets attributable to redeemable participating shares) 99,543,355 326,414 – – 99,869,769

Dollar Liquidity FundAt 31 December 2019 < 1 Month 1 - 3 Months 3 Months to 1 Year > 1 Year TotalLiabilities $Non-derivative financial liabilities 948,152 159,133 – – 1,107,285Total Liabilities (excluding net assets attributable to redeemable participating shares) 948,152 159,133 – – 1,107,285


iii) Liquidity Risk (Continued)



65

Euro Cash FundAt 31 December 2019 < 1 Month 1 - 3 Months 3 Months to 1 Year > 1 Year TotalLiabilities €Non-derivative financial liabilities 350,102,585 416,810 – – 350,519,395Total Liabilities (excluding net assets attributable to redeemable participating shares) 350,102,585 416,810 – – 350,519,395

Euro Liquidity Plus FundAt 31 December 2019 < 1 Month 1 - 3 Months 3 Months to 1 Year > 1 Year TotalLiabilities €Non-derivative financial liabilities – 73,031 – – 73,031Total Liabilities (excluding net assets attributable to redeemable participating shares) – 73,031 – – 73,031

iv) Credit Risk

Each Fund takes on exposure to credit risk, which is the risk that a counterparty will be unable to pay amounts in full when due.

Each Fund is exposed to credit risk on parties with whom it trades and bears the risk of settlement default. The carrying amounts of financial assets best represent the maximum credit risk exposure at the Statement of Financial Position date. The Funds invest in financial assets, which have an investment grade as rated by a well-known rating agency. If an asset is unrated using one particular rating agency, the Investment Manager will look to source a rating using one of the other market agency sources. The three market ratings agencies that may be used are Standard & Poors, Moody’s and Fitch. Balancing credit rating and investment return is an important element of the investment management decision in trading these assets and a balanced spread of credit ratings can be seen in the Funds’ portfolios.

A Fund has collateral risk when the collateral received by a Fund under a repurchase agreement declines in value. In the event that there is a decline in value of the collateral, a counterparty credit risk will arise pending delivery of the additional collateral. In the normal course of events, additional collateral is delivered the following business day.

Each Fund has counterparty risk in relation to transactions it enters into with brokers, banks and other third parties if the counterparty was to fail to complete any transaction to which the Company is a party. The Investment Manager conducts periodic reviews of the counterparties with whom it conducts transactions.

Northern Trust Fiduciary Services (Ireland) Limited (“NTFSIL”) is the appointed Depositary of the Fund, responsible for the safe-keeping of assets. NTFSIL has appointed The Northern Trust Company (“TNTC”) as its global sub-custodian. Both NTFSIL and TNTC are wholly owned subsidiaries of Northern Trust Corporation (“NTC”). As at financial year end date 31 December 2020, NTC had a long term credit rating from Standard & Poor’s of A+ (31 December 2019: A+).

TNTC (as global sub-custodian of NTFSIL) does not appoint external sub-custodians within the U.S., the U.K., Ireland, Canada, Belgium, France, Germany, Netherlands and Saudi Arabia. However, in all other markets, TNTC appoints local external sub-custodians.

NTFSIL, in the discharge of its depositary duties, verifies the Fund’s ownership of Other Assets, (as defined under Other Assets, Art 22(5) of UCITS V Directive 2014/91/EU), by assessing whether the Fund holds the ownership based on information or documents provided by the Fund or where available, on external evidence.

TNTC, in the discharge of its delegated depositary duties, holds in custody (i) all financial instruments that may be registered in a financial instruments account opened on the books of TNTC and (ii) all financial instruments that can be physically delivered to TNTC. TNTC ensures all financial instruments (held in a financial instruments account on the books of TNTC) are held in segregated accounts in the name of the Fund, clearly identifiable as belonging to the Fund, and distinct and separately from the proprietary assets of TNTC, NTFSIL and NTC.


iii) Liquidity Risk (Continued)




66

In addition TNTC, as banker, holds cash of the Fund on deposit. Such cash is held on the Statement of Financial Position of TNTC. In the event of insolvency of TNTC, in accordance with standard banking practice, the Fund will rank as an unsecured creditor of TNTC in respect of any cash deposits.

Insolvency of NTFSIL and or one of its agents or affiliates may cause the Fund’s rights with respect to its assets to be delayed.

The Responsible Party (the Board of Directors or its delegate(s)) manages risk by monitoring the credit quality and financial position of the Depositary and such risk is further managed by the Depositary monitoring the credit quality and financial positions of sub-custodian appointment.

A Fund is also exposed to Counterparty Risk on its derivative positions, being the risk that a counterparty will default or be unable to pay in full on its financial obligations. To mitigate the credit risk described above, the Company adopts a collateral programme with each counterparty whereby any unrealised gains on assets initiate a call of collateral from the counterparty of which these assets are held in a segregated account, thereby minimising the risk of default. This review is done on a daily basis. The counterparties for the open forward currency contracts are listed in the Portfolio and Schedule of Investments.

The collateral cash assets are held with the various counterparties as outlined in Note 5, whose ratings are disclosed on page 71. This amount is the minimum required by the brokers and counterparties for collateral requirements and is as such restricted and is reported separately to the unrestricted cash on the Funds’ Statement of Financial Position. Collateral may be pledged by the Funds, generally by way of cash or cash equivalents, and held by the counterparties. Details of non-cash collateral held at the financial period end by counterparties are referenced within the Portfolio Statements of the Funds. Amounts of cash collateral held at the financial period end by counterparties are disclosed on the Statement of Financial Position of the relevant Funds. See Note 10 on page 73 for full details of cash collateral pledged to or by the relevant Funds as at 31 December 2020.

Risk is managed by monitoring the credit quality and financial positions of the Depositary the Company uses.

Controlling credit risk is paramount in the Investment Managers choice of counterparties. The exposures for all Funds in this range are monitored and controlled, of which part of that monitoring includes the Investment Manager’s credit research team. This team constantly monitors the counterparties and conduct risk assessments. This team will inform the relevant Fund Manager or dealing team immediately of all developments affecting counterparties and the market.

In terms of broker and counterparty selection, the Investment Manager has a formalised approval process with sign-offs being given by the Counterparty Credit Committee. Chaired by the Chief Risk Officer, the Counterparty Credit Committee (“CCC”) establishes policies for the selection and monitoring of brokers and counterparties. Any exceptions to these policies require approval of the CCC. Counterparty selection involves an assessment of counterparty credit quality, capability, liquidity, pricing and operational effectiveness. Our credit analysis function within the Fixed Income Group is responsible for making both qualitative (fundamental credit assessments) and quantitative assessments of all counterparties for consideration by the CCC. Further input from market-based factors is also included, referencing a number of external factors such as share price performance and credit default swaps (“CDS”) spreads. This analysis includes the use of a screening tool using a tailored set of quantitative risk indicators which are subject to periodic reassessment.

For delivery versus payment brokers, minimum external rating agency data is not a pre-requisite for approval by the CCC. For OTC Counterparties to be used under Insight’s ISDA arrangements are normally required to have a minimum rating of:

• A3 by Moody’s or• A- by S&P or• A- by FitchA lower rating may be acceptable where, in the view of Insight, sufficient credit enhancements have been provided to bring the counterparty in line with the above.

The Investment Manager has pre and post deal compliance systems with built in restrictions which ensure that the Funds never invest outside of the counterparty limits. Following a deal daily counterparty exposure reports are monitored.


iv) Credit Risk (Continued)



67

Credit risk arising from receivables from investee funds relate to redemptions or transactions awaiting settlement. Risk relating to unsettled receivables is considered small due to the short settlement period involved and the due diligence permitted on the investee funds. The maximum exposure related to unsettled trades equals the amount shown in the Statement of Financial Position. There are no past due or impaired assets as of 31 December 2020 (31 December 2019: Nil).

The maximum exposure related to receivables equals the amount shown in the Statement of Financial Position. There are no past due or impaired assets as of 31 December 2020 (31 December 2019: Nil).

Note: All securities marked as “NR” were not available on S&P, Moody’s and Fitch. The primary rating obtained by the Funds is S&P, where this rating is unavailable the Moody’s and Fitch ratings are used.

The following tables detail the financial assets (excluding investment funds or equity investments) per Fund, grouped by their credit rating:

Sterling Liquidity FundS&P Rating Moody's Rating Fitch Rating

Holding % Value £ Holding % Value £ Holding % Value £AAA 6% 1,184,870,256 – – – –AA+ – 50,077,225 – – – –AA 9% 1,794,371,093 – – – –Aa2 – – 1% 201,837,084 – –AA- 20% 3,996,181,782 – – – –A+ 25% 5,021,467,962 – – – –A 31% 6,163,453,794 – – – –BBB 4% 695,981,604 – – – –Subtotal 95% 18,906,403,716 1% 201,837,084 – –NR* 4% 768,633,693Total 100% 19,876,874,493

* These "NR" ratings primarily refer to Certificate of deposits, Floating rate notes and Time deposits, where no rating can be obtained.

Sterling Liquidity Plus FundS&P Rating Moody's Rating Fitch Rating

Holding % Value £ Holding % Value £ Holding % Value £AAA 25% 1,534,366,292 – – – –Aaa – – 19% 1,038,139,477 – –AA 1% 75,687,344 – – – –Aa2 – – 1% 81,339,279 – –AA- 13% 770,749,090 – – – –A+ 27% 1,653,579,950 – – – –A1 – – – 8,069,455 – –A 12% 748,136,825 – – – –BBB 2% 99,999,827 – – – –Subtotal 80% 4,882,519,328 20% 1,127,548,211 – –NR* – 20,093,159Total 100% 6,030,160,698

* These "NR" ratings primarily refer to Mortgage backed securities, where no rating can be obtained.





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Dollar Liquidity FundS&P Rating Moody's Rating Fitch Rating

Holding % Value $ Holding % Value $ Holding % Value $AAA 14% 84,985,028 – – – –AA+ 3% 19,996,915 – – – –AA 18% 109,984,181 – – – –AA- 13% 81,982,569 – – – –A+ 23% 144,798,147 – – – –A 27% 163,993,180 – – – –BBB 2% 9,995,390 – – – –Subtotal 100% 615,735,410 – – – –

Total 100% 615,735,410

Euro Cash FundS&P Rating Moody's Rating Fitch Rating

Holding % Value € Holding % Value € Holding % Value €AAA 17% 918,489,831 – – – –AA+ 1% 50,071,648 – – – –Aa1 – – – 25,021,900 – –AA 10% 538,885,579 – – – –Aa2 – – – 3,000,675 – –AA- 14% 735,115,545 – – – –A+ 24% 1,243,845,151 – – – –A 33% 1,712,342,600 – – – –Subtotal 99% 5,198,750,354 – 28,022,575 – –NR* 1% 30,058,615Total 100% 5,256,831,544

* These "NR" ratings primarily refer to Commercial paper, where no rating can be obtained.

Euro Liquidity Plus FundS&P Rating Moody's Rating Fitch Rating

Holding % Value € Holding % Value € Holding % Value €AAA 14% 73,471,267 – – – –Aaa – – 7% 40,399,375 – –AA 4% 22,699,581 – – – –AA- 26% 141,968,585 – – – –A+ 33% 174,307,556 – – – –A 15% 80,533,021 – – – –Subtotal 92% 492,980,010 7% 40,399,375 – –NR* 1% 2,703,020Total 100% 536,082,405

* These "NR" ratings primarily refer to Mortgage backed securities, where no rating can be obtained.





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2019 Comparatives

Sterling Liquidity FundS&P Rating Moody's Rating Fitch Rating

Holding % Value £ Holding % Value £ Holding % Value £AA 6% 1,064,208,732 – – – –AA- 32% 5,467,770,004 – – – –A+ 19% 3,157,676,955 – – – –A 38% 6,538,201,169 – – – –BBB 4% 774,927,164 – – – –Subtotal 99% 17,002,784,024 – – – –NR* 1% 149,830,244Total 100% 17,152,614,268


Sterling Liquidity Plus FundS&P Rating Moody's Rating Fitch Rating

Holding % Value £ Holding % Value £ Holding % Value £AAA 27% 1,625,794,227 – – – –Aaa – – 6% 362,505,366 – –AA 1% 24,998,817 – – – –AA- 22% 1,319,171,040 – – – –A+ 25% 1,451,851,666 – – – –A 17% 955,373,150 – – – –BBB – 24,999,627 – – – –Subtotal 92% 5,402,188,527 6% 362,505,366 – –NR* 2% 141,148,879Total 100% 5,905,842,772

* These "NR" ratings primarily refer to Commercial paper and Floating rate notes, where no rating can be obtained.

Dollar Liquidity FundS&P Rating Moody's Rating Fitch Rating

Holding % Value $ Holding % Value $ Holding % Value $AAA 6% 46,397,702 – – – –AA+ 3% 24,958,873 – – – –AA 9% 69,935,996 – – – –AA- 19% 147,751,225 – – – –A+ 36% 279,003,896 – – – –A 24% 184,858,879 – – – –Subtotal 97% 752,906,571 – – – –NR* 3% 24,953,684Total 100% 777,860,255






70

Euro Cash FundS&P Rating Moody's Rating Fitch Rating

Holding % Value € Holding % Value € Holding % Value €AA 10% 483,159,371 – – – –AA- 18% 851,672,396 – – – –A+ 24% 1,151,086,522 – – – –A 39% 1,900,675,260 – – – –Subtotal 91% 4,386,593,549 – – – –NR* 9% 412,146,484Total 100% 4,798,740,033

* These "NR" ratings primarily refer to Certificates of deposit and Commercial paper, where no rating can be obtained.

Euro Liquidity Plus FundS&P Rating Moody's Rating Fitch Rating

Holding % Value € Holding % Value € Holding % Value €AAA 19% 85,673,586 – – – –Aaa – – 10% 45,852,908 – –AA 7% 29,948,560 – – – –AA- 25% 111,930,422 – – – –A+ 22% 104,320,349 – – – –A 17% 75,722,328 – – – –Subtotal 90% 407,595,245 10% 45,852,908 – –NR* – 2,000,715Total 100% 455,448,868


The Company has comprehensive counterparty access which provides the Funds with a suitable level of counterparty credit risk. All derivative positions held are held under an Agency umbrella International Swaps and Derivative Association (“ISDA”) master agreement with these leading counterparties. There is a daily bi-lateral collaterisation process which is used to mitigate the counterparty credit exposure. This process ensures all derivative positions are collaterised according to the terms within the ISDAs in place with the relevant counterparty, which minimises the risk of default. All OTC derivatives, except for foreign currency forwards transacted with the Funds’ depositary, will be conducted under ISDA agreements with attached CSA (credit support annex). ISDAs and CSAs permit netting across different transactions with a given counterparty, within a given Fund. The Funds also adopt a deliver versus payment approach which greatly reduces settlement risk.






71

The following is a list of counterparties approved and used by the Investment Manager at 31 December 2020:

Credit rating (long-term) S&P Credit rating (long-term) S&P2020 2019

Banco Santander A ABarclays Bank A ABNP Paribas A+ A+BPCE Bank A+ A+BRED-Banque Populaire A+ A+Canadian Imperial Bank of Commerce A+ A+CitiGroup A+ A+Credit Agricole A+ A+DBS Bank AA- AA-DZ Bank AA- AA-Goldman Sachs A+ A+HSBC Bank A+ AA-ING Bank A+ A+JP Morgan A- A-KBC Bank A+ A+LA Banque Postale A ALloyds Bank A+ A+Mitsubishi UFJ Trust & Banking Corporation A AMizuho Bank A ANational Australia Bank AA- AA-National Bank of Canada A ANatwest Markets A- A-Nordea Bank AA- AA-Rabobank London A+ A+Royal Bank of Canada AA- AA-Royal Bank of Scotland A- A-Societe Generale A ASumitomo Mitsui Banking Corporation A ASumitomo Mitsui Trust Bank Ltd A AToronto-Dominion Bank AA- AA-UBS A+ A+

v) Foreign Currency Risk

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

The income and capital value of each Fund’s investments can be significantly affected by currency translation movements if a considerable portion of each Fund’s assets are denominated in currencies other than the functional currency of the Funds. At the financial year end, none of the Funds, with the exception of the Sterling Liquidity Plus Fund, were exposed to foreign currency risk as all their investments were held in the Funds’ functional currency.

In accordance with the Company’s policy, the Investment Manager monitors each Fund’s currency position on a daily basis.

All of the assets held by the Sterling Liquidity Fund, Dollar Liquidity Fund, Euro Cash Fund and Euro Liquidity Plus Fund are denominated in the base currency of the Funds and therefore they have no exposure to foreign currency risk.





72

The tables below summarise the exposure of Sterling Liquidity Plus Fund to currency risk:

Sterling Liquidity Plus Fund Monetary Assets

£

Monetary Liabilities

£

Forward FX Contracts

£

Net Exposure

£Sensitivity

£*31 December 2020Swedish krona 189,176,139 – (189,167,397) 8,743 437

437

Sterling Liquidity Plus Fund Monetary Assets

£

Monetary Liabilities

£

Forward FX Contracts

£

Net Exposure

£Sensitivity

£*31 December 2019Euro 149,368,322 – (149,453,039) (84,717) (4,236)

(4,236)

*The effect of a 5% decrease in the exchange rate between Sterling and the other currencies to which the Fund is exposed with all other variables held constant. The effect of a 5% increase in the exchange rate would have an equal and opposite effect.

vi) Fair Value of Financial Assets and Financial Liabilities

All of the financial assets of each Fund with the exception of cash and reverse repurchase agreements are held at fair value. All financial liabilities including repurchase agreements are stated at amortised cost other than financial derivative instruments which are at fair value and net assets attributable to redeemable shares which are held at their estimated redeemable value.

vii) Interest Rate Risk Profile of Financial Assets and Liabilities

A Fund’s interest-bearing financial assets and liabilities expose it to risks associated with the effects of fluctuations in the prevailing levels of market interest rates on its financial position and cash flows.

The tables below summarise each Fund’s exposure to interest rate risks at 31 December 2020. It includes the Fund’s assets and trading liabilities at fair values, categorised by the earlier of contractual re-pricing or maturity dates.

Per the Interest Rate Risk profile table, there is an effect of 25bps decrease in interest rates calculated. This is done by assessing the investments in the Funds’ portfolios that are affected by interest rates (primarily bonds). The stress testing is performed by decreasing the pricing model interest rate curve by 25bps. The effect is calculated by taking the current unadjusted price away from the price after the interest rate adjustment. Interest rates have been used in the stress testing as it is a primary risk factor to the investments.

At 31 December 2020, should interest rates have decreased by 25bps with all other variables remaining constant, the increase in net assets attributable to holders of redeemable shares for the financial year would amount to approximately the sensitivity figure on the table below, arising substantially from the increase in market values of debt securities. A 25bps increase would have had an equal and opposite effect.

Net Assets

Effect of 25bps decrease in

interest ratesSterling Liquidity Fund £27,702,362,118 £10,393,913Sterling Liquidity Plus Fund £6,316,060,824 £4,603,617Dollar Liquidity Fund $647,052,454 $87,629Euro Cash Fund €5,260,561,240 €1,997,748Euro Liquidity Plus Fund €565,271,421 €318,486


v) Foreign Currency Risk (Continued)



73

2019 Comparatives

Net Assets

Effect of 25bps decrease in

interest ratesSterling Liquidity Fund £23,561,238,967 £6,050,292Sterling Liquidity Plus Fund £6,396,148,586 £3,613,068Dollar Liquidity Fund $840,641,349 $119,370Euro Cash Fund €4,751,124,322 €1,253,896Euro Liquidity Plus Fund €494,867,390 €287,041

10. Collateral positions

At 31 December 2020 the market value of securities and cash pledged and received as collateral by the Funds is outlined in the table below, in connection with the requirements for over the counter derivative instruments held by the Funds.

2020 2019Cash Collateral

Pledged Cash Collateral

Received Cash Collateral

Pledged Cash Collateral

Received Sterling Liquidity Plus Fund (£3,060,000) £400,000 - £2,830,000

As at 31 December 2020, cash was used as collateral.

The level of Collateral required will be at least equal to the mid-market mark to market exposure of each Fund to each relevant counterparty at the time of valuation, subject to threshold and minimum transfer amounts.

Cash collateral is held with Goldman Sachs, JP Morgan and Natwest Markets (31 December 2019: Citibank and Royal Bank of Canada).

As at 31 December 2020, the values of reverse repurchase agreements and their associated collateral by Fund are outlined in the table below:

2020 2019

Value of Reverse

Repurchase Agreement

Fair Value of Collateral on Reverse


Value of Reverse


Fair Value of Collateral on Reverse


Sterling Liquidity Fund £7,227,156,656 £7,340,812,364 £7,400,000,000 £7,403,946,857Dollar Liquidity Fund $51,215,000 $51,225,887 $60,000,000 $60,037,226Euro Cash Fund €100,000,000 €100,009,961 €300,000,000 €300,012,976

Collateral held on reverse repurchase agreements is held with the following counterparties: Banco Santander, Barclays Bank, BNP Paribas, Canadian Imperial Bank of Commerce, CitiGroup, Credit Agricole, HSBC Bank, Royal Bank of Canada and Societe Generale (31 December 2019: Banco Santander, Barclays Bank, BNP Paribas, Credit Agricole, HSBC Bank, Lloyds Bank, National Australia Bank and Royal Bank of Canada).

Credit ratings for these counterparties can be seen on page 71.


vii) Interest Rate Risk Profile of Financial Assets and Liabilities (Continued)



74

11. Auditor’s Remuneration

KPMG received the following annual remuneration:

2020 2019 £ £

The audit of Company’s Financial Statements 41,124 39,506Other assurance services - -Tax advisory services - -Other non-audit services - -

12. Exchange Rates

The exchange rates to Sterling were:

31 December 2020 31 December 2019Euro 1.1172 1.1802US dollar 1.3670 1.3248Swedish krona 11.2261 12.4011

13. Segregated Liability

The Company has segregated liability between its Funds and accordingly any liability incurred on behalf of or attributable to any Fund shall be discharged solely out of the assets of that Fund.

14. Foreign Exchange Adjustment

The foreign exchange adjustment gain of £243,704,041 (31 December 2019: loss of £264,470,929) in the Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares is due to the movement in exchange rates during the financial year. This currency adjustment has no impact on the Net Asset Value of the individual Funds.

15. Reconciliation of Net Asset Value to dealing Net Asset Value

The financial statement Net Asset Value for the below Funds has been adjusted to take account of subscription/redemption requests received post valuation dealing on 31 December 2020 and on 31 December 2019 as required by FRS 102. The table below shows a reconciliation from dealing Net Asset Value to the Financial Statements Net Asset Value.

Sterling Liquidity Plus Fund Sterling Liquidity Plus Fund 31 December 2020

Sterling Liquidity Plus Fund Sterling Liquidity Plus Fund 31 December 2019

£ £Net Asset Value as reported to Shareholders 6,316,060,824 6,375,933,586Subscription requests received post valuation – 20,215,000Adjusted Net Asset Value per Financial Statements 6,316,060,824 6,396,148,586

Euro Cash Fund Euro Cash Fund

31 December 2020

Euro Cash Fund Euro Cash Fund

31 December 2019€ €

Net Asset Value as reported to Shareholders 5,244,474,240 4,767,979,788Subscription requests received post valuation 16,087,000 7,961,249Redemption requests received post valuation – (24,816,715)Adjusted Net Asset Value per Financial Statements 5,260,561,240 4,751,124,322



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16. Subsequent Events

On 14 January 2021, Lee Hutson-Pope was appointed as Non-Executive Director of Insight Liquidity Funds PLC.

Supplement Update

On 22 January 2021, a revised supplement for ILF GBP Liquidity Fund was noted by the Central Bank of Ireland. The update was made to include Class 9 (accumulation) Shares.

There have been no other significant events affecting the Company since the financial year end.

17. Approval of Financial Statements

The Directors approved the Financial Statements on 23 April 2021.

Independent Auditor’s Report to the Shareholders of Insight LiquidityFunds PLC

76

Report on the audit of the Financial StatementsOpinionWe have audited the Financial Statements of Insight Liquidity Funds PLC (‘the Company’) for the year ended 31 December 2020 set out on pages 35 to 75, which comprise the Statement of Comprehensive Income, the Statement of Financial Position, the Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares and related notes, including the summary of significant accounting policies set out on pages 42 to 48. The financial reporting framework that has been applied in their preparation is Irish Law and FRS 102. The Financial Reporting Standard applicable in the UK and Republic of Ireland.

In our opinion:

• the Financial Statements give a true and fair view of the assets, liabilities and financial position of the Company as at 31 December 2020 and of its increase in net assets attributable to holders of redeemable participating shares for the year then ended;

• the Financial Statements have been properly prepared in accordance with FRS 102 The Financial Reporting Standard applicable in the UK and Republic of Ireland; and

• the Financial Statements have been properly prepared in accordance with the requirements of the Companies Act 2014, the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019.

Basis for opinionWe conducted our audit in accordance with International Standards on Auditing (Ireland) (“ISAs (Ireland”)) and applicable law. Our responsibilities under those standards are further described in the Auditor's responsibilities for the audit of the Financial Statements section of our report. We are independent of the Company in accordance with ethical requirements that are relevant to our audit of Financial Statements in Ireland, including the Ethical Standard issued by the Irish Auditing and Accounting Supervisory Authority (“IAASA”), and we have fulfilled our other ethical responsibilities in accordance with these requirements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Conclusions relating to going concernIn auditing the Financial Statements, we have concluded that the Directors’ use of the going concern basis of accounting in the preparation of the Financial Statements is appropriate.

Based on the work we have performed, we have not identified any material uncertainties relating to events or conditions that, individually or collectively, may cast significant doubt on the Company’s ability to continue as a going concern for a period of at least twelve months from the date when the Financial Statements are authorised for issue.

Other informationThe Directors are responsible for the other information presented in the Annual Report together with the Financial Statements. The other information comprises the information included in the Report of the Directors, Portfolio and Schedule of Investments, Investment Manager’s Report and Unaudited Appendices and Portfolio Changes. The Financial Statements and our auditor’s report thereon do not comprise part of 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 as explicitly stated below, any form of assurance conclusion thereon.

Independent Auditor’s Report to the Shareholders of Insight LiquidityFunds PLC (Continued)

77

Our responsibility is to read the other information and, in doing so, consider whether, based on our Financial Statements audit work, the information therein is materially misstated or inconsistent with the Financial Statements or our audit knowledge. Based solely on that work we have not identified material misstatements in the other information.

Based solely on our work on the other information undertaken during the course of the audit, we report that:

• we have not identified material misstatements in the Directors’ Report;

• in our opinion, the information given in the Directors’ Report is consistent with the Financial Statements; and

• in our opinion, the Directors’ Report has been prepared in accordance with the Companies Act 2014.

Opinion on other matters prescribed by the Companies Act 2014We have obtained all the information and explanations which we consider necessary for the purposes of our audit.

In our opinion the accounting records of the Company were sufficient to permit the Financial Statements to be readily and properly audited and the Financial Statements are in agreement with the accounting records.

Matters on which we are required to report by exceptionThe Companies Act 2014 requires us to report to you if, in our opinion, the disclosures of Directors’ remuneration and transactions required by Sections 305 to 312 of the Act are not made. We have nothing to report in this regard.

Respective responsibilities and restrictions on useResponsibilities of Directors for the Financial StatementsAs explained more fully in the Statement of Directors’ Responsibilities set out on pages 8 and 9, the Directors are responsible for: the preparation of the Financial Statements including being satisfied that they give a true and fair view; 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; assessing the Company’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 they either intend to liquidate the Company or to cease operations, or have no realistic alternative but to do so.

Auditor’s responsibilities for the audit of the Financial StatementsOur 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 Auditor’s 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 (Ireland) 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 fuller description of our responsibilities is provided on IAASA’s website at http://www.iaasa.ie/Publications/Auditing-standards/International-Standards-on-Auditing-for-use-in-Ire/Description-of-the-auditor-s-responsibilities-for.

Other information (Continued)

Independent Auditor’s Report to the Shareholders of Insight LiquidityFunds PLC (Continued)

78

The purpose of our audit work and to whom we owe our responsibilitiesOur report is made solely to the Company’s members, as a body, in accordance with Section 391 of the Companies Act 2014. Our audit work has been undertaken so that we might state to the Company’s members those matters we are required to state to them in an Auditor’s Report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Company and the Company’s members, as a body, for our audit work, for this report, or for the opinions we have formed.

Brian Clavinfor and on behalf of KPMG Chartered Accountants and Statutory Audit Firm1 Harbourmaster Place IFSCDublin 1

23 April 2021


Report of the Depositary to the Shareholders

79

We, Northern Trust Fiduciary Services (Ireland) Limited, appointed Depositary to Insight Liquidity Funds PLC (“the Company”) provide this report solely in favour of the shareholders of the Company for the financial year ended 31 December 2020 (“Annual Accounting Period”). This report is provided in accordance with the UCITS Regulations – European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (SI No 352 of 2011), as amended, which implemented Directive 2009/65/EU into Irish Law (“the Regulations”). We do not, in the provision of this report, accept nor assume responsibility for any other purpose or person to whom this report is shown. In accordance with our Depositary obligation as provided for under the Regulations, we have enquired into the conduct of the Company for this Annual Accounting Period and we hereby report thereon to the shareholders of the Company as follows: We are of the opinion that the Company has been managed during the Annual Accounting Period, in all material respects:

(i) in accordance with the limitations imposed on the investment and borrowing powers of the Company by the constitutional documents and by the Regulations; and

(ii) otherwise in accordance with the provisions of the constitutional document and the Regulations.

_____________________________________________For and on behalf of Northern Trust Fiduciary Services (Ireland) Limited Georges Court 54-62 Townsend Street Dublin 2

23 April 2021


Directors and Other Information

80

DirectorsMichael Boyce (Irish)*John Fitzpatrick (Irish)*Barry McGrath (Irish)*Charles Farquharson (British)** (Retired 3 December 2020)Gregory Brisk (British)**Lee Hutson-Pope (British)** (Appointed 14 January 2021) *Directors are non-executive and independent of the Investment Manager.**Directors are non-executive.

ManagerInsight Investment Management (Europe) Limited (to 4 September 2020)32 Molesworth StreetDublin 2 Ireland (from 4 September 2020)Riverside Two Sir John Rogerson’s Quay Dublin 2 Ireland

Investment Manager and Distributor Insight Investment Funds Management Limited 160 Queen Victoria Street London EC4V 4LA England

Investment Adviser Insight Investment Management (Global) Limited160 Queen Victoria StreetLondon EC4V 4LAEngland

AdministratorNorthern Trust International Fund Administration Services (Ireland) LimitedGeorges Court 54-62 Townsend Street Dublin 2 Ireland

Registered Office (to 4 September 2020)Insight Liquidity Funds PLC32 Molesworth StreetDublin 2 Ireland

Registered Office (from 4 September 2020)Insight Liquidity Funds PLCRiverside TwoSir John Rogerson’s QuayDublin 2Ireland

DepositaryNorthern Trust Fiduciary Services (Ireland) Limited Georges Court 54-62 Townsend Street Dublin 2Ireland

Secretary (to 4 September 2020) MFD Secretaries Limited 32 Molesworth Street Dublin 2 Ireland

Secretary (from 4 September 2020) Insight Investment Management (Europe) Limited Riverside Two Sir John Rogerson’s Quay Dublin 2 Ireland

Independent AuditorKPMG, Chartered Accountants, Statutory Audit Firm 1 Harbourmaster Place International Financial Services Centre Dublin 1 Ireland

Legal Advisers Maples & Calder75 St. Stephen’s GreenDublin 2Ireland


Unaudited Appendix I

81

Remuneration Disclosure

Insight Investment Funds Management Limited (“IIFML”) act as a delegate and Insight Investment Management (Global) Limited (“IIM(G)L”) act as a sub-delegate for investment management purposes. Further details of delegation can be found in the fund prospectus document. The delegated entities, IIFML and IIM(G)L sit within a consolidated group, BNY Mellon Investment Management Europe Holdings Limited (“IMEH”). Remuneration disclosures are made by IMEH as part of its annual Pillar 3 Disclosure.

This Pillar 3 disclosure relates to BNY Mellon Investment Management Europe Holdings Limited (“IMEH”) – a holding company for BNY Mellon EMEA based investment management firms, and is published in accordance with the requirements of the Financial Conduct Authority (“FCA”) Prudential Sourcebook for Banks, Building Societies and Investment Firms, BIPRU 11 (Pillar 3). Pillar 3 disclosures are made annually in respect of the consolidation group headed by IMEH.

The FCA’s BiPRU Remuneration Code requires both quantitative and qualitative remuneration disclosures which can be found in the IMEH Pillar 3 report. For information the aggregate remuneration paid to Code Staff under BIPRU in respect of 2019 was £89,446,000. Further details on the remuneration approach for IIFML and IIM(G)L as part of the BNYM IMEH consolidated group, can be found in the Pillar 3 report which is updated annually and can be found here (https://www.bnymellon.com/content/dam/bnymellon/documents/pdf/investor-relations/bny-mellon-investment-management-europe-holdings-limited-pillar-3-disclosure-2019.pdf). This document is updated annually in accordance with regulatory requirements.

As noted in the Pillar 3 disclosure IIFML and IIM(G)L have delegated responsibility from IMEH for remuneration matters. They are responsible for remuneration policy decisions and the approval of year-end compensation awards for respective regulated staff members. A Remuneration Committee is in operation to approve compensation awards to employees.

Efficient Portfolio Management

The Company may employ investment techniques for the purposes of efficient portfolio management (“EPM”), subject to the conditions and within the limits laid down by the Central Bank of Ireland. The Company invested in reverse repurchase agreements during the year. As at 31 December 2020, these were held on Sterling Liquidity Fund, Dollar Liquidity Fund and Euro Cash Fund, details of which can be seen on pages 15, 26 and 30.

Interest arising from reverse repurchase agreements during the period is included in the Statement of Comprehensive Income.

Direct and indirect operational costs and fees incurred from the use of EPM techniques cannot be practically or reliably gathered as they are embedded in the cost of the reverse repurchase agreements and cannot be separately verified or disclosed. The revenues arising from the use of repurchase and reverse repurchase agreements for EPM techniques during the reporting period are as follows:

Sterling Liquidity Fund: £12,451,997 (31 December 2019: £43,824,146) Sterling Liquidity Plus Fund: £56,745 (31 December 2019: £155,097) Dollar Liquidity Fund: $202,808 (31 December 2019: $1,256,854) Euro Cash Fund: (€1,761,322) (31 December 2019: (€739,156)) Euro Liquidity Plus Fund: €Nil (31 December 2019: €Nil) The relevant counterparties for all reverse repurchase agreements are Banco Santander, Barclays Bank, BNP Paribas, Canadian Imperial Bank of Commerce, CitiGroup, Credit Agricole, HSBC Bank, Royal Bank of Canada and Societe Generale. Details of the reverse repurchase agreements and their associated collateral by Fund are outlined in Note 10.


Unaudited Appendix II

82

Securities Financing Transactions Regulation

The Securities Financing Transactions Regulation, as published by the European Securities and Markets Authority, aims to improve the transparency of the securities financing markets. Disclosures regarding exposure to Securities Financing Transactions (“SFTs”) will be required on all reports and accounts published after 13 January 2017. The following information is presented with regard to Regulation (EU) 2015/2365 on transparency of securities financing.

A Securities Financing Transaction (“SFT”) is defined as per Article 3(11) of the SFTR as:

• a repurchase transaction;• securities or commodities lending and securities or commodities borrowing;• a buy-sell back transaction or sell-buy back transaction; or• a margin lending transaction. As at 31 December 2020, Insight Liquidity Funds PLC held the following types of SFTs: Reverse Repurchase Transactions.

Global Data

Sterling Liquidity

Fund

Sterling Liquidity

Plus Fund

Dollar Liquidity

Fund

Euro Cash Fund

Euro Liquidity

Plus Fund

Assets engaged by SFT Type £ £ $ € € Reverse Repurchase transactions

7,227,156,656 -

51,215,000

100,000,000 -

% of AUM 25.05 - 7.68 1.87 -

Concentration data

The largest collateral issuers across all SFTs is as follows:

Sterling Liquidity

Fund

Sterling Liquidity

Plus Fund

Dollar Liquidity

Fund

Euro Cash Fund

Euro Liquidity

Plus Fund

£ £ $ € € UK Government 7,696,824,461 - - - - US Government - - 51,225,887 - - French Government - - - 100,009,961 -

The largest counterparties across all SFTs are as follows:

Country Sterling Liquidity Fund

£ 1 Santander UK UK 1,779,768,1852 Royal Bank of Canada Canada 1,756,862,5653 Barclays Bank UK 1,180,842,9594 Canadian Imperial Bank of Commerce Canada 944,390,6815 Societe Generale UK 711,977,6346 CitiGroup United States 509,578,5037 Credit Agricole UK 311,464,1088 BNP Paribas UK 251,939,8269 HSBC Bank UK 250,000,000


Unaudited Appendix II (Continued)

83

Country Dollar Liquidity Fund

$ 1 Royal Bank of Canada Canada 51,225,887

Country Euro Cash Fund

€ 1 Barclays Bank UK 100,009,961

Aggregate transaction data

Sterling Liquidity FundCollateral type: UK Government Bonds 100% (AA) Collateral currency: £Maturity: >1 day- Collateral 7,696,824,461 Country of counterparty: Canada, United

Kingdom, United States

Settlement & clearing type: Bilateral

Dollar Liquidity FundCollateral type: US Government Bonds 100% (AA+) Collateral currency: $Maturity: >1 day- Collateral 51,225,887 Country of counterparty: Canada Settlement & clearing type: Bilateral

Euro Cash FundCollateral type: French Government Bonds 100% (AA)Collateral currency: €Maturity: >1 day- Collateral 100,009,961 Country of counterparty: UKSettlement & clearing type: Bilateral

Reuse of Collateral

Sterling

Liquidity Fund

Sterling Liquidity

Plus Fund

Dollar

Liquidity Fund

Euro Cash Fund

Euro Liquidity

Plus Fund

£ £ $ € € Share of collateral re-used 0% 0% 0% 0% 0%Maximum permitted collateral re-use per prospectus 0% 0% 0% 0% 0%Return on cash collateral re-investment 0% 0% 0% 0% 0%

Securities Financing Transactions Regulation (Continued)

Concentration data (Continued)


Unaudited Appendix II (Continued)

84

Safekeeping – Collateral Received

Sterling

Liquidity Fund

Sterling Liquidity

Plus Fund

Dollar

Liquidity Fund

Euro Cash Fund

Euro Liquidity

Plus Fund

Custodian Name: £ £ $ € € Northern Trust 7,696,824,461 - 51,225,887 100,009,961 -

Safekeeping – Collateral Granted

Sterling

Liquidity Fund

Sterling Liquidity

Plus Fund

Dollar

Liquidity Fund

Euro Cash Fund

Euro Liquidity

Plus Fund

Collateral held in: £ £ $ € € Segregated accounts N/A N/A N/A N/A N/A Pooled accounts N/A N/A N/A N/A N/A Other N/A N/A N/A N/A N/A

Return & Cost

Sterling

Liquidity Fund

Sterling Liquidity

Plus Fund

Dollar

Liquidity Fund

Euro Cash Fund

Euro Liquidity

Plus Fund

£ £ $ € € Return 12,594,816 56,745 202,808 - - Cost (142,819) - - (1,761,322) -

Sterling Liquidity

Fund

Sterling Liquidity

Plus Fund

Dollar Liquidity

Fund

Euro Cash Fund

Euro Liquidity

Plus Fund

£ £ $ € € Fund 100.00% 100.00% 100.00% 100.00% 100.00%Manager - - - - - Agent - - - - - Other - - - - -

Securities Financing Transactions Regulation (Continued)


85

Sterling Liquidity Fund (Unaudited)PORTFOLIO CHANGES - ACQUISITIONSSchedule of material changes in investments for the financial year ended 31 December 2020

AcquisitionsQuantity

Purchased Cost £United Kingdom Treasury Bill Bonds 0.00% 20.04.2020 1,000,000,000 999,981,920United Kingdom Treasury Bill Bonds 0.00% 14.04.2020 1,000,000,000 999,978,900United Kingdom (Government of) Bonds 2.50% 16.04.2020 169,000,000 594,584,003KBC Bank CD 0.05% 24.08.2020 500,000,000 500,000,000DZ Bank CD 0.05% 14.08.2020 500,000,000 500,000,000Nordea Bank CD 0.06% 29.09.2020 500,000,000 500,000,000DZ Bank CD 0.05% 07.08.2020 500,000,000 500,000,000KBC Bank CD 0.05% 20.07.2020 500,000,000 500,000,000UBS CD 0.75% 24.03.2020 500,000,000 500,000,000KBC Bank CD 0.05% 14.12.2020 500,000,000 500,000,000Zuercher Kantonalbank CD 0.00% 05.03.2021 500,000,000 500,000,000KBC Bank CD 0.05% 13.11.2020 500,000,000 500,000,000KBC Bank CD 0.05% 06.11.2020 500,000,000 500,000,000DZ Bank CD 0.05% 04.09.2020 500,000,000 500,000,000KBC Bank CD 0.05% 01.09.2020 500,000,000 500,000,000KBC Bank CD 0.05% 17.08.2020 500,000,000 500,000,000KBC Bank CD 0.05% 27.07.2020 500,000,000 500,000,000DZ Bank CD 0.05% 13.07.2020 500,000,000 500,000,000DZ Bank CD 0.05% 22.06.2020 500,000,000 500,000,000KBC Bank CD 0.05% 23.11.2020 500,000,000 500,000,000

PORTFOLIO CHANGES - DISPOSALS AND MATURITIESSchedule of material changes in investments for the financial year ended 31 December 2020

Disposals Quantity Sold Proceeds £United Kingdom Treasury Bill Bonds 0.00% 20.04.2020 1,000,000,000 1,000,000,000United Kingdom Treasury Bill Bonds 0.00% 14.04.2020 1,000,000,000 1,000,000,000United Kingdom (Government of) Bonds 2.50% 16.04.2020 169,000,000 594,583,931KBC Bank CD 0.05% 24.08.2020 500,000,000 500,000,000DZ Bank CD 0.05% 14.08.2020 500,000,000 500,000,000BRED-Banque Populaire CP 0.00% 02.06.2020 500,000,000 500,000,000Nordea Bank CD 0.06% 29.09.2020 500,000,000 500,000,000DZ Bank CD 0.05% 07.08.2020 500,000,000 500,000,000KBC Bank CD 0.05% 20.07.2020 500,000,000 500,000,000BRED-Banque Populaire CP 0.00% 07.07.2020 500,000,000 500,000,000UBS CD 0.75% 24.03.2020 500,000,000 500,000,000KBC Bank CD 0.05% 14.12.2020 500,000,000 500,000,000KBC Bank CD 0.05% 13.11.2020 500,000,000 500,000,000KBC Bank CD 0.05% 06.11.2020 500,000,000 500,000,000DZ Bank CD 0.05% 04.09.2020 500,000,000 500,000,000KBC Bank CD 0.05% 01.09.2020 500,000,000 500,000,000KBC Bank CD 0.05% 17.08.2020 500,000,000 500,000,000KBC Bank CD 0.05% 27.07.2020 500,000,000 500,000,000BRED-Banque Populaire CP 0.00% 30.06.2020 500,000,000 500,000,000DZ Bank CD 0.05% 13.07.2020 500,000,000 500,000,000

Only the top 20 purchases and sales or those greater than 1% of the total value of purchases and sales have been included in the portfolio movements. Where there were less than 20 purchases and sales, all purchases and sales have been included.


86

Sterling Liquidity Plus Fund (Unaudited) PORTFOLIO CHANGES - ACQUISITIONSSchedule of material changes in investments for the financial year ended 31 December 2020


Purchased Cost £Insight Liquidity Funds PLC - GBP Liquidity Fund - Share Class 2 2,170,351,602 2,170,351,602Agence Centrale des Organismes de Securite Sociale CP 0.00% 01.10.2021 150,000,000 149,999,712National Australia Bank FRN 0.55% 04.02.2025 134,950,000 135,041,641Dexia Credit Local CD 0.20% 08.09.2020 100,000,000 100,000,000Mizuho Bank Ltd CD 0.06% 20.10.2020 100,000,000 100,000,000Mizuho Bank Ltd CD 0.08% 06.10.2020 100,000,000 100,000,000Credit Agricole CD 0.30% 09.07.2021 100,000,000 100,000,000Mizuho Bank Ltd CD 0.08% 11.09.2020 100,000,000 100,000,000Toronto-Dominion Bank CD 0.17% 23.07.2021 100,000,000 100,000,000Mizuho Bank Ltd CD 0.08% 25.09.2020 100,000,000 100,000,000Mizuho Bank Ltd CD 0.08% 18.09.2020 100,000,000 100,000,000National Westminster Bank CD 0.45% 01.07.2021 100,000,000 100,000,000Nordea Bank CD 0.24% 30.06.2020 100,000,000 100,000,000Mizuho Bank Ltd CD 0.08% 03.09.2020 100,000,000 100,000,000Sumitomo Mitsui Banking Corporation CD 0.10% 08.01.2021 100,000,000 100,000,000International Development Association CP 0.00% 10.03.2021 100,000,000 99,997,534Swedbank CP 0.00% 09.04.2021 100,000,000 99,964,287Goldman Sachs International Bank CD 0.00% 29.06.2021 100,000,000 99,960,126Handelsbanken Plc CP 0.00% 29.01.2021 100,000,000 99,955,143Dexia Credit Local CP 0.00% 03.03.2021 100,000,000 99,941,952UBS CD 0.00% 07.12.2021 100,000,000 99,885,132Credit Suisse CD 0.00% 01.10.2021 100,000,000 99,850,225National Westminster Bank CP 0.00% 10.09.2021 100,000,000 99,810,879La Banque Postale CP 0.00% 05.05.2020 100,000,000 99,803,128Goldman Sachs International Bank CD 0.00% 31.12.2021 100,000,000 99,766,683Sweden (Kingdom of) Bonds 0.00% 20.01.2021 1,050,000,000 94,381,530Sweden (Kingdom of) Bonds 0.00% 17.02.2021 1,067,000,000 94,367,538Commonwealth Bank of Australia FRN 0.60% 16.01.2025 90,330,000 90,535,869


87


Disposals Quantity Sold Proceeds £Insight Liquidity Funds PLC - GBP Liquidity Fund - Share Class 2 2,449,080,000 2,449,080,000Agence Centrale des Organismes de Securite Sociale CP 0.00% 01.10.2021 150,000,000 150,000,000HSBC Bank FRN 0.98% 09.03.2020 127,500,000 127,500,000Lloyds Bank Plc CD 0.96% 16.07.2020 100,000,000 100,031,651Credit Agricole CD 0.86% 03.06.2020 100,000,000 100,015,584Sumitomo Mitsui Banking Corporation CD 0.10% 08.01.2021 100,000,000 100,011,777Dexia Credit Local CD 0.20% 08.09.2020 100,000,000 100,000,000Mizuho Bank Ltd CD 0.06% 20.10.2020 100,000,000 100,000,000Mizuho Bank Ltd CD 0.08% 06.10.2020 100,000,000 100,000,000Mizuho Bank Ltd CD 0.08% 11.09.2020 100,000,000 100,000,000Banque Federative du Credit Mutuel CP 0.00% 06.05.2020 100,000,000 100,000,000DBS Bank CP 0.00% 01.07.2020 100,000,000 100,000,000Credit Suisse CD 0.92% 17.07.2020 100,000,000 100,000,000La Banque Postale CP 0.00% 02.01.2020 100,000,000 100,000,000Mizuho Bank Ltd CD 0.08% 25.09.2020 100,000,000 100,000,000Mizuho Bank Ltd CD 0.08% 18.09.2020 100,000,000 100,000,000Nordea Bank CD 0.24% 30.06.2020 100,000,000 100,000,000Bank of America Merrill Lynch International CD 0.00% 21.05.2020 100,000,000 100,000,000Mizuho Bank Ltd CD 0.08% 03.09.2020 100,000,000 100,000,000Toronto-Dominion Bank CD 0.23% 10.12.2020 100,000,000 100,000,000Swedbank FRN 0.29% 05.10.2020 100,000,000 100,000,000La Banque Postale CP 0.00% 02.07.2020 100,000,000 100,000,000La Banque Postale CP 0.00% 05.05.2020 100,000,000 99,848,586Societe Generale CD 0.59% 17.08.2020 100,000,000 99,812,109ING Bank CD 0.00% 17.08.2020 100,000,000 99,700,897Barclays Bank FRN 0.97% 22.05.2020 98,000,000 98,014,000ASB Finance FRN 1.24% 22.05.2020 96,600,000 96,600,000


Sterling Liquidity Plus Fund (Unaudited) (continued)


88

Dollar Liquidity Fund (Unaudited)PORTFOLIO CHANGES - ACQUISITIONSSchedule of material changes in investments for the financial year ended 31 December 2020


Purchased Cost $US Treasury Bill Bonds 0.00% 07.07.2020 50,000,000 49,999,223Toyota Motor Finance (Netherlands) CP 0.00% 24.01.2020 40,000,000 39,998,222Landeskreditbank Baden-Wuerttemberg CP 0.00% 26.05.2020 30,000,000 29,999,000Toronto-Dominion Bank CD 0.12% 29.06.2020 25,000,000 25,000,000Toronto-Dominion Bank CD 0.22% 07.04.2020 25,000,000 25,000,000Nationwide Building Society CD 1.81% 31.03.2020 25,000,000 25,000,000Mitsubishi UFJ Trust & Banking Corporation CD 1.57% 29.01.2020 25,000,000 25,000,000Ireland (Government of) CP 0.00% 28.10.2020 25,000,000 24,999,896Deutsche Bahn CP 0.00% 21.09.2020 25,000,000 24,999,792European Bank for Reconstruction and Development CP 0.00% 10.07.2020 25,000,000 24,999,750FMS Wertmanagement CP 0.00% 08.12.2020 25,000,000 24,999,694Kommunal Banken AS CP 0.00% 08.06.2020 25,000,000 24,999,611European Investment Bank CP 0.00% 23.04.2020 25,000,000 24,999,563BNG Bank CP 0.00% 09.10.2020 25,000,000 24,999,465Nederlandse Gemeenten CP 0.00% 14.10.2020 25,000,000 24,999,465BRED-Banque Populaire CP 0.00% 30.11.2020 25,000,000 24,999,417BRED-Banque Populaire CP 0.00% 20.11.2020 25,000,000 24,999,417BRED-Banque Populaire CP 0.00% 16.12.2020 25,000,000 24,999,417BRED-Banque Populaire CP 0.00% 18.12.2020 25,000,000 24,999,417BNG Bank CP 0.00% 20.11.2020 25,000,000 24,999,417


Disposals Quantity Sold Proceeds $US Treasury Bills Bonds 0.00% 07.07.2020 50,000,000 50,000,000Toyota Motor Finance (Netherlands) CP 0.00% 24.01.2020 40,000,000 40,000,000Landeskreditbank Baden-Wuerttemberg CP 0.00% 26.05.2020 30,000,000 30,000,000BRED-Banque Populaire CP 0.00% 30.11.2020 25,000,000 25,000,000BRED-Banque Populaire CP 0.00% 20.11.2020 25,000,000 25,000,000Deutsche Bahn CP 0.00% 09.12.2020 25,000,000 25,000,000Nationwide Building Society CD 0.00% 06.07.2020 25,000,000 25,000,000Nederlandse Gemeenten CP 0.00% 30.06.2020 25,000,000 25,000,000European Investment Bank CP 0.00% 23.04.2020 25,000,000 25,000,000European Investment Bank CP 0.00% 16.04.2020 25,000,000 25,000,000NRW.Bank CP 0.00% 04.02.2020 25,000,000 25,000,000BRED-Banque Populaire CP 0.00% 16.12.2020 25,000,000 25,000,000Ireland (Government of) CP 0.00% 28.10.2020 25,000,000 25,000,000BRED-Banque Populaire CP 0.00% 09.10.2020 25,000,000 25,000,000Nederlandse Gemeenten CP 0.00% 05.10.2020 25,000,000 25,000,000Deutsche Bahn CP 0.00% 21.10.2020 25,000,000 25,000,000European Bank for Reconstruction and Development CP 0.00% 10.07.2020 25,000,000 25,000,000Kommunal Banken AS CP 0.00% 08.06.2020 25,000,000 25,000,000Barclays Bank CP 0.00% 03.04.2020 25,000,000 25,000,000Barclays Bank CP 0.00% 24.01.2020 25,000,000 25,000,000



89

Euro Cash Fund (Unaudited)PORTFOLIO CHANGES - ACQUISITIONSSchedule of material changes in investments for the financial year ended 31 December 2020


Purchased Cost €France (Republic of) Bonds 0.00% 16.04.2020 350,000,000 350,009,582European Stability Mechanism Bonds 0.10% 03.11.2020 201,450,000 201,468,131Netherlands (Kingdom of) Bonds 3.50% 15.07.2020 200,000,000 200,332,000Societe Generale CP 0.00% 01.06.2020 200,000,000 200,022,940Unedic CP 0.00% 12.08.2020 200,000,000 200,021,391Unedic CP 0.00% 17.04.2020 200,000,000 200,015,307Dexia Credit Local CP 0.00% 17.09.2020 180,000,000 180,036,158Toyota Motor Finance (Netherlands) CP 0.00% 13.03.2020 180,000,000 180,002,450France (Republic of) Bonds 2.50% 25.10.2020 175,000,000 175,493,500France (Republic of) Bonds 0.25% 25.11.2020 175,000,000 175,058,250Agence Centrale des Organismes de Securite Sociale CP 0.00% 13.03.2020 175,000,000 175,019,228Agence Centrale des Organismes de Securite Sociale CP 0.00% 20.03.2020 175,000,000 175,019,058Agence Centrale des Organismes de Securite Sociale CP 0.00% 06.03.2020 175,000,000 175,018,717Agence Centrale des Organismes de Securite Sociale CP 0.00% 14.02.2020 175,000,000 175,018,547Agence Centrale des Organismes de Securite Sociale CP 0.00% 28.02.2020 175,000,000 175,018,377Agence Centrale des Organismes de Securite Sociale CP 0.00% 21.02.2020 175,000,000 175,018,377Agence Centrale des Organismes de Securite Sociale CP 0.00% 07.02.2020 175,000,000 175,018,377BPCE CP 0.00% 21.12.2020 150,000,000 150,194,585Germany (Federal Republic of) Bonds 3.00% 04.07.2020 150,000,000 150,121,000International Development Association CP 0.00% 11.01.2021 150,000,000 150,090,471


Disposals Quantity Sold Proceeds €France (Republic of) Bonds 0.00% 16.04.2020 350,000,000 350,000,000European Stability Mechanism Bonds 0.10% 03.11.2020 201,450,000 201,450,000Netherlands (Kingdom of) Bonds 3.50% 15.07.2020 200,000,000 200,000,000Societe Generale CP 0.00% 01.06.2020 200,000,000 200,000,000Unedic CP 0.00% 12.08.2020 200,000,000 200,000,000Unedic CP 0.00% 17.04.2020 200,000,000 200,000,000Belgium (Kingdom of) Bonds 0.00% 07.01.2020 200,000,000 200,000,000Dexia Credit Local CP 0.00% 17.09.2020 180,000,000 180,000,000Toyota Motor Finance (Netherlands) CP 0.00% 13.03.2020 180,000,000 180,000,000Agence Centrale des Organismes de Securite Sociale CP 0.00% 20.03.2020 175,000,000 175,000,000Agence Centrale des Organismes de Securite Sociale CP 0.00% 28.02.2020 175,000,000 175,000,000Agence Centrale des Organismes de Securite Sociale CP 0.00% 06.03.2020 175,000,000 175,000,000Agence Centrale des Organismes de Securite Sociale CP 0.00% 14.02.2020 175,000,000 175,000,000Agence Centrale des Organismes de Securite Sociale CP 0.00% 21.02.2020 175,000,000 175,000,000Agence Centrale des Organismes de Securite Sociale CP 0.00% 31.01.2020 175,000,000 175,000,000France (Republic of) Bonds 0.25% 25.11.2020 175,000,000 175,000,000Agence Centrale des Organismes de Securite Sociale CP 0.00% 13.03.2020 175,000,000 175,000,000France (Republic of) Bonds 2.50% 25.10.2020 175,000,000 175,000,000Agence Centrale des Organismes de Securite Sociale CP 0.00% 07.02.2020 175,000,000 175,000,000Unedic CP 0.00% 27.04.2020 150,000,000 150,000,000



90

Euro Liquidity Plus Fund (Unaudited)PORTFOLIO CHANGES - ACQUISITIONSSchedule of material changes in investments for the financial year ended 31 December 2020


Purchased Cost €Insight Liquidity Funds PLC - EUR Cash Fund - Share Class 2 204,296,981 200,555,000Deutsche Zentral-Genossenschaftsbank Bonds 0.46% 28.06.2023 20,000,000 20,327,250FMS Wertmanagement Bonds 0.00% 18.09.2020 17,200,000 17,200,688AXA Banque CP 0.00% 02.02.2021 17,000,000 17,015,858KfW Bonds 0.13% 27.10.2020 16,800,000 16,800,235UBS Bonds 0.25% 10.01.2022 14,800,000 14,908,040HSBC Bank Bonds 0.95% 14.09.2022 10,000,000 10,248,020Goldman Sachs International Bank CD 0.00% 29.06.2021 10,000,000 10,026,358Banque Federative du Credit Mutuel CP 0.00% 01.02.2021 10,000,000 10,022,715La Banque Postale CP 0.00% 16.07.2020 10,000,000 10,017,726Societe Anonyme de Gestion de Stocks de Securite CP 0.00% 08.04.2021 10,000,000 10,015,654Banco Santander CP 0.00% 01.03.2021 10,000,000 10,013,309Procter & Gamble Company CP 0.00% 24.02.2021 10,000,000 10,012,438Sumitomo Mitsui Trust Bank Ltd CD 0.00% 07.12.2020 10,000,000 10,010,906Kommunalbanken AS CP 0.00% 29.01.2021 10,000,000 10,007,901Federation Des Caisses Desjardins Du Quebec Bonds 0.38% 25.11.2020 10,000,000 10,006,400Toronto-Dominion Bank Bonds 0.63% 08.03.2021 9,625,000 9,671,728ING Bank Bonds 4.50% 21.02.2022 7,717,000 8,199,313Banco Santander CP 0.00% 22.01.2021 8,000,000 8,022,306Linde Finance CP 0.00% 27.01.2021 8,000,000 8,010,440


Disposals Quantity Sold Proceeds €Insight Liquidity Funds PLC - EUR Cash Fund - Share Class 2 214,073,967 210,120,000FMS Wertmanagement Bonds 0.00% 18.09.2020 17,200,000 17,200,000KfW Bonds 0.13% 27.10.2020 16,800,000 16,800,000Credit Suisse Bonds 1.13% 15.09.2020 11,988,000 11,988,000Barclays Bank CP 0.00% 30.09.2020 10,000,000 10,000,000Federation Des Caisses Desjardins Du Quebec Bonds 0.38% 25.11.2020 10,000,000 10,000,000Banco Santander CP 0.00% 17.08.2020 10,000,000 10,000,000ASB Finance Bonds 0.50% 17.06.2020 10,000,000 10,000,000Sumitomo Mitsui Trust Bank Ltd CD 0.00% 07.12.2020 10,000,000 10,000,000La Banque Postale CP 0.00% 16.07.2020 10,000,000 10,000,000Royal Bank of Canada FRN 0.03% 06.08.2020 9,600,000 9,600,000Archer Daniels Midland CP 0.00% 26.03.2020 8,000,000 8,000,960Archer Daniels Midland CP 0.00% 20.03.2020 8,000,000 8,000,000Banco Santander Bonds 4.00% 24.01.2020 7,900,000 7,900,000Westpac Banking Corporation FRN 0.10% 04.12.2020 7,064,000 7,064,000Master Credit Cards ABS 0.15% 25.05.2035 7,000,000 7,007,000Linde CP 0.00% 21.12.2020 7,000,000 7,000,000France (Republic of) Bonds 2.50% 25.10.2020 6,700,000 6,700,000Unedic CP 0.00% 08.09.2020 6,000,000 6,000,000HSBC Bank Bonds 1.88% 16.01.2020 6,000,000 6,000,000


INSIGHT LIQUIDITY FUNDS PLC

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