MULTI ASSET UNIT TRUST - St. James's Place plc/media/Files/S/sjp-group/document-library/... ·...

MULTI ASSETUNIT TRUST

FOR THE YEAR ENDING 31 MARCH 2015

I. S. Gascoigne D. J. Lamb

Schroder Investment Management**31 Gresham StreetLondon, EC2V 7QAUnited Kingdom

PricewaterhouseCoopers LLPAtria One144 Morrison StreetEdinburgh, EH3 8EXUnited Kingdom

Freephone: 0800 027 1031

PO Box 9034, Chelmsford, CM99 2XA

St. James's Place Multi Asset Unit Trust

ManagerSt. James's Place Unit Trust Group Limited

United Kingdom

(Authorised and regulated by the Financial Conduct Authority)

Investment AdviserPayden & Rygel*

Directors of the ManagerD. C. BellamyA. M. Croft

333 South Grand Avenue

Henley-on-ThamesOxfordshire, RG9 1HH

Suite 3200, Los Angeles

160 Queen Victoria Street

TrusteeBNY Mellon Trust & Depositary (UK) Limited

California, 90071United States of America

Invesco Asset Management**Perpetual Park, Perpetual Drive

*(Authorised by the Securities and Exchange Commission)**(Authorised and regulated by the Financial Conduct Authority)

United Kingdom


Independent Auditor

Prospectus and Manager's Reports

Copies of the up to date Prospectus (Scheme Particulars) and latest Manager's Report andFinancial Statements for the range of St. James's Place Unit Trusts can be requested from amember of the St. James's Place Partnership or, at any time during normal business hours, fromthe Administration Centre at PO Box 9034, Chelmsford CM99 2XA.Freephone: 0800 027 1031

United Kingdom

London, EC4V 4LAUnited Kingdom

RegistrarInternational Financial Data Services (UK) Limited

St. Nicholas LaneBasildon, SS15 5FS

IFDS House


1

08/01/07 to 09/04/12

10/04/12 to 31/03/15

31/03/14 to 31/03/15

% change % change % change

-0.7 -5.1 +3.7+15.3 -1.0 +5.2

N/A +53.0 +19.0N/A +6.0 +8.2

From 10 November 2014, Payden & Rygel, Schroder Investment Management Limited andInvesco Asset Management Limited replaced PIMCO Europe Limited as Investment Advisersto the Trust.


Report of the Manager

During the year under review, 1 April 2014 to 31 March 2015, the St. James's Place Multi AssetUnit Trust Income unit offer price rose by 3.7% from 90.62p to 93.94p and the Accumulationunit offer price (in which revenue is reflected in the price rather than distributed) rose by 5.2%from 108.3p to 113.9p.

The Trust's Performance

The performance of the Trust since its launch in January 2007 and over the period under review isshown below, together with figures for the most commonly quoted indices in comparable markets where the major proportion of the Trust has been invested.

The Manager's Report consists of Report of the Manager, The Trust's Performance, InvestmentAdviser's Comments, Risk and Reward Profile and Portfolio Statement.

Investment Adviser's Comments

Over the reporting period the portfolio continued to deliver positive absolute and relative returns.One of the main performance drivers was select developed and emerging market equity exposure,especially during the first half of the period. Within fixed income, exposure to US bonds, non-agency mortgages and select emerging market bonds contributed as yields continued to fall inmost markets.

Indices - actualMSCI AC World GDR

The portfolio maintains moderate positive duration exposure, but emphasising a position thatbenefits from a steepening of the US yield curve. We also take interest rate exposure in Australia,Brazil and Mexico while keeping a short position in Japanese duration. In credit, we favour non-agency mortgage backed securities on attractive loss-adjusted yields and European bank capitalgiven deleveraging prospects in the financial sector in Europe. We have a small overweight toequities overall with a tilt to emerging markets as their valuations continue to be cheap relativeto developed markets and to their own history. A small allocation to oil through an ETF acts asdiversifier and hedge against geopolitical risks. While we closed out our REIT positions, wemaintain circa 10% of the portfolio in inflation-linked strategies, including US government TIPS.

Our economic forecast for the next 12 months calls for a continuation of a low amplitude, longfrequency US business cycle recovery. The eurozone economy should grow marginally in the next12 months, continuing a painfully slow climb out of a double-dip recession. Japan will likely showthe same levels of growth over the next 12 months, and China’s growth is likely to slow, whilststill outstripping many other developed nations. The outcomes for other developing economieswill be tied to what happens in China next year.

PIMCO Europe Limited 14 October 2014

Source: Lipper for Fund returns

REMEMBER THAT THE PRICE OF UNITS AND REVENUE FROM THEM MAY GO DOWN ASWELL AS UP. PLEASE BE AWARE THAT PAST PERFORMANCE IS NOT INDICATIVE OF FUTUREPERFORMANCE.

Barclays Capital Global Aggregate Bond (Total Return)

St. James's Place Multi Asset Unit TrustIncome units (offer to offer)Accumulation units (offer to offer)

2

(continued)



Schroder Investment Management 17 April 2015

The period since we took on management of the portfolio proved to be a challenging one forglobal equities. On one hand, the strength of the US economy and the continued supportivemeasures by Central Banks (notably the European Central Bank (ECB) which announced a fullquantitative easing (QE) program) were positive for global equities and other risk assets. On theother hand, concerns around a possible “hard landing” in China, the impact of geopoliticalevents in Ukraine and the Middle East, continued uncertainty around Greek sovereign debt andcurrent elevated equity valuation levels have impacted investors’ risk appetite and global equityperformance.

Against a low volatility background, exposure to global equity markets within the portfolio hasremained above 80% for most of the period, the exception being during the second half ofDecember and first half of January when concerns around geopolitical tensions and the Europeanperiphery were reflected in higher volatility (although still low by historical standards) andconsequently a reduction in exposure to equity markets within the portfolio. This has resulted in asmoother growth path than that of global equities.

Changes in currency markets impacted performance. Strength in the US dollar (supported by thestrength of the US economy and expectation of potential interest rate rises later in 2015) and thefall in value of the Euro following the announcement of QE by the ECB earlier in 2015 had anegative impact on performance given the global nature of the equity exposure.

Payden & Rygel 14 April 2015

Persistently low inflation in most of the world, along with low wage growth in a majority ofdeveloped markets, will continue to put pressure on Central Banks to keep rates low in 2015. Inthis environment, we primarily look to credit sectors for opportunities where healthy yields offerattractive value relative to comparable government bonds.

The portfolio transitioned to Payden & Rygel in November 2014 and our first priority was tobroaden the investments. The inherited assets had been transferred with a large proportion of UKand US government bills. We sold the government bond positions and invested in a range ofsectors, including investment grade credit, high yield bonds, non-agency mortgages (i.e. thoseissued by private companies, rather than US government sponsored agencies, such as Fannie Maeand Freddie Mac) and emerging markets debt. Markets have been dominated by the commencement of full quantitative easing by the EuropeanCentral Bank, a continued sharp rally in the US dollar, growing expectations that the FederalReserve will begin raising interest rates later in 2015, and further weakness in commoditymarkets. European government bond yields have declined to all-time lows. US employment datahave been mostly strong. Increasingly supportive US relative growth and interest rate differentialshave resulted in a sharp rally in the US dollar. Negative European interest rates have alsoencouraged a rally in equities and other risk assets. The US high yield bond market has recoveredstrongly this year following the energy-related setback in the second half of 2014.

Our allocation to high yield corporates was the largest contributor to portfolio returns, whileholdings in investment grade credit and non-agency mortgage-backed securities also addedvalue. Tactically, our currency views, highlighted by a long US dollar bias, contributed to returns.

Well-performing individual positions included discount retailer Dollar General; natural gasproducer Southwestern Energy; supermarket chain Supervalu; and Brazilian sovereign bonds.

Detractors included telecom company Windstream.

3

(continued)



INVESCO Asset Management Limited 21 April 2015

A broad range of ideas contributed to positive performance in the period since we becameInvestment Adviser to the portfolio. Standout ideas in the interest rates space included our USDuration idea, which boosted returns as yields for longer-dated bonds continued to fall. Thestronger US dollar was beneficial to our ideas preferring the US dollar to the euro and theCanadian dollar. Our UK and European Divergence Equity ideas also performed well over theperiod. On the downside, our idea preferring the Norwegian krone to the UK pound suffered asthe falling oil price hurt sentiment towards the krone. The Norwegian central bank was alsoamong those to surprise markets with interest rate cuts during the period. In addition, low levelsof volatility across most asset types impacted some of our volatility ideas.We removed our US duration idea at the beginning of February, which had been the bestperforming idea for the portfolio. Also in the interest rates space, we added a new idea preferringAustralian bonds to their Eurozone counterparts as we expect the spread between the two tonarrow. Elsewhere, we closed our long US equities position as we felt there was better valueavailable elsewhere and added a long Japanese equities idea. Another new idea to be added wasa long Japanese yen, short Korean won position. This captures the team’s belief that theJapanese yen is measurably good value versus the won. The recent strength of the won couldhave an impact on the competitiveness of Korea’s export-led economy, which may force thecentral bank to cut interest rates. In contrast, the Japanese Yen has already weakenedsignificantly in response to the policy stimulus by Japanese Prime Minister Shinzo Abe.

We believe that at the heart of every successful investment, is a great idea. The portfolio willtypically be constructed using between 20 and 30 investment ideas at any one time, drawn froma minimum of three different asset types.

4

per £1,000Invested

Offer Bid at 04/01/10p p p £

103.90 87.08 2.204 22.99104.60 86.56 2.401 25.04102.40 89.29 1.604 16.73102.30 84.45 1.486 15.50

95.20 84.30 1.331 13.8894.47 88.05 0.316 3.30

per £1,000Invested

Offer Bid at 04/01/10p p p £

116.6 97.09 2.446 23.18118.1 99.28 2.730 25.88118.3 103.60 1.865 17.68120.6 99.56 1.757 16.65114.7 100.80 1.599 15.16114.5 106.80 0.380 3.60

Market NAV NAVof Class per Unit

£'000 p26,492,874 25,039 94.51 37,989,308 32,636 85.91 54,795,126 48,692 88.86

Market NAV NAVof Class per Unit

£'000 p733,711,456 817,512 111.42 821,682,393 846,934 103.07

1,141,510,511 1,234,997 108.19

2010

Highest Lowest

Calendar yearper unit

Highest Lowestper unit

Calendar year

Net revenue distributed

Unit Price History and Record of Net Distributions Paid/Payable

Income

2010

The risk category is recalculated weekly and during the year under review, the risk category didnot change.

* To 31 March 2015

Risk and Reward Profile

Ongoing Charges Figure

The Ongoing Charges Figure ('OCF') is the total expenses paid by the Trust in the year against itsaverage net asset value. It excludes the cost of buying or selling assets for the Trust (unless theseassets are shares of another trust). The OCF can fluctuate as underlying costs change.

The synthetic risk and reward indicator for the St. James’s Place Multi Asset Unit Trust, asdisclosed in its most recent Non-UCITS Retail Scheme Key Investor Information Document (NURS-KIID), is a 4. It was calculated using performance data up to 2 February 2015.

The Ongoing Charges Figure for the year ended 31 March 2015 was 1.89% (31 March 2014:2.14%) for Income units and 1.89% (31 March 2014: 2.14%) for Accumulation units.

Performance Record


20112012201320142015*

Accumulation

The record of net distributions paid/payable per unit is shown below:

Net revenue distributed

20112012201320142015*

Year ended

Net Asset Values

Accumulation

Income

Units in Issue

Units in Issue

201520142013MarchYear ended

March

201520142013

5

Security Holdings

MarketValue£000

% ofNet

Assets

COLLECTIVE INVESTMENT SCHEME (56.44%) 158,237 12.33CPN Retail Growth Leasehold Property Fund 599,800 201 0.02Invesco Perpetual Monthly Income Plus (Acc) 35,199,259 61,261 4.77Invesco STIC Global Sterling Liquidity Portfolio (Inc) 94,915,334 96,775 7.54

EQUITIES (0.00%) 230,898 17.9951job 48,133 1,068 0.08Acerinox 6,363 73 0.01Actelion 1,078 85 0.01Adecco 21,545 1,213 0.09Aggreko 7,758 118 0.01AIA 407,400 1,730 0.14Airbus 50,823 2,241 0.17Allianz 6,349 748 0.06Allied Minds 130,339 886 0.07Altera 21,892 633 0.05Amadeus IT 15,830 461 0.04Amcor 41,578 300 0.02Amgen 15,405 1,710 0.13Amlin 58,557 296 0.02Angang Steel 1,856,000 923 0.07Aon 7,305 484 0.04AP Moeller - Maersk 'B' Shares 368 524 0.04Apache 11,064 454 0.04Aryzta 1,431 62 0.01ASM International 10,383 322 0.03AstraZeneca 42,658 1,986 0.15Atlantia 63,497 1,124 0.09Atresmedia 37,522 384 0.03Aurubis 2,924 112 0.01Autogrill 46,809 305 0.02AXA 35,826 614 0.05Babcock International 66,904 661 0.05BAE Systems 642,009 3,345 0.26Baidu ADR 12,086 1,719 0.13Balfour Beatty 434,681 1,041 0.08Banco Bilbao Vizcaya Argentaria 165,165 1,121 0.09Banco Bilbao Vizcaya Argentaria Rights 14/04/2015 165,165 16 -Bangkok Bank NVDR 187,300 717 0.06Bank Negara Indonesia Persero 4,443,500 1,653 0.13Bank of China 1,515,000 590 0.05Bankia 334,510 315 0.02Barclays 306,973 748 0.06Barratt Developments 124,860 662 0.05Baxter International 13,747 638 0.05Bayer 6,090 624 0.05BB Biotech 172 37 -Beazley 225,433 644 0.05Belgacom 16,071 381 0.03BG 68,445 576 0.05BNP Paribas 20,382 838 0.07Boliden 14,591 195 0.02Booker 293,965 431 0.03BP 1,112,425 4,896 0.38British American Tobacco 76,645 2,691 0.21British Sky Broadcasting 80,913 812 0.06Britvic 5,439 40 -


Portfolio Statement

as at 31 March 2015

6

Security Holdings

MarketValue£000

% ofNet

Assets


Portfolio Statement (continued)

as at 31 March 2015

BT 1,249,161 5,502 0.43BTG 127,882 921 0.07Bunzl 37,314 686 0.05Burberry 15,187 264 0.02C&C 79,100 220 0.02Cable & Wireless Communications 1,555,193 954 0.07CaixaBank 148,467 473 0.04Canon 16,200 387 0.03Cap Gemini 27,635 1,535 0.12Capita 64,451 716 0.06Cathay Pacific Airways 179,000 280 0.02Centrica 360,954 926 0.07Chevron 5,890 425 0.03China Mobile 93,000 818 0.06China Resources Power 650,000 1,101 0.09Cie Generale des Etablissements Michelin 19,195 1,293 0.10Citigroup 27,246 950 0.07CK Hutchison Holdings 58,000 803 0.06CNOOC 491,000 468 0.04Cobham 11,045 33 -Coloplast 4,208 216 0.02Colruyt 1,188 35 -Compass 112,417 1,325 0.10Credit Suisse 26,786 484 0.04Daimler 16,265 1,054 0.08Dairy Crest 103,701 461 0.04Danske Bank 8,346 149 0.01Delhaize 10,153 623 0.05Denbury Resources 80,201 413 0.03Deutsche Boerse 30,681 1,701 0.13Deutsche Post 103,816 2,201 0.17Deutsche Telekom 50,307 624 0.05Dixons Carphone 46,672 192 0.01DNB 50,681 549 0.04Drax 269,015 980 0.08DS Smith 204,287 709 0.06Duerr 1,329 98 0.01E.ON 34,336 348 0.03easyJet 19,921 369 0.03eBay 16,895 661 0.05Ebro Foods 3,589 45 -EDP - Energias de Portugal 30,259 77 0.01Endesa 2,179 28 -Enel Green Power 236,410 299 0.02ENN Energy 156,000 644 0.05esure 268,088 575 0.05Ferrovial 18,552 267 0.02Filinvest Land 9,121,000 247 0.02First Quantum Minerals 45,314 357 0.03First Republic Bank 10,555 409 0.03Fluor 9,992 391 0.03Fresenius 5,437 220 0.02Friends Life 511,157 2,093 0.16G4S 271,415 800 0.06Galaxy Entertainment 266,000 816 0.06Galp Energia 32,046 237 0.02Gas Natural 13,883 212 0.02

7

Security Holdings

MarketValue£000

% ofNet

Assets



as at 31 March 2015

GDF Suez 37,483 506 0.04Geberit 945 239 0.02Georg Fischer 276 128 0.01Givaudan 307 380 0.03GKN 457,679 1,639 0.13GlaxoSmithKline 84,347 1,320 0.10Glencore 499,424 1,430 0.11Google 'A' Shares 1,784 676 0.05HDFC Bank ADR 33,364 1,317 0.10Heineken 11,909 620 0.05Hengan International 81,000 656 0.05Henkel Preference Shares 5,732 462 0.04Hennes & Mauritz 21,389 584 0.05Hexagon 4,196 98 0.01Hikma Pharmaceuticals 3,553 77 0.01Hiscox 120,446 1,025 0.08HKR International 1,004,074 341 0.03Holcim 6,974 352 0.03Hon Hai Precision Industry 655,059 2,563 0.20Honda Motor 42,500 935 0.07HSBC 520,856 3,007 0.23HSBC (Hong Kong Listing) 182,400 1,059 0.08Hugo Boss 927 76 0.01Husqvarna 32,071 157 0.01Hutchison Whampoa 393,000 3,681 0.29Hyundai Home Shopping Network 3,090 241 0.02Hyundai Mobis 7,125 1,067 0.08Hyundai Motor 4,103 420 0.03Hyundai Motor Preference Shares 14,026 957 0.07Iberdrola 37,684 164 0.01ICICI Bank ADR 156,524 1,088 0.08Imperial Innovations 36,383 169 0.01Imperial Tobacco 46,184 1,380 0.11Industrial & Commercial Bank of China 5,428,000 2,701 0.21Infosys ADR 49,476 1,196 0.09ING 195,951 1,933 0.15InterContinental Hotels 9,294 244 0.02International Consolidated Airlines 214,693 1,289 0.10International Consolidated Airlines (EUR) 109,847 659 0.05Intesa Sanpaolo 682,945 1,566 0.12IP 194,541 444 0.03ITV 240,322 607 0.05Jardine Matheson 18,000 769 0.06Jardine Strategic 24,000 568 0.04JD Wetherspoon 86,461 647 0.05JM 3,583 81 0.01Jupiter Fund Management 80,756 333 0.03Kasikornbank NVDR 98,500 466 0.04Kcom 382,258 348 0.03Kellogg 11,782 521 0.04Kerry 2,212 100 0.01Kingspan Group 31,962 403 0.03KION 6,268 173 0.01Koninklijke Ahold 63,920 853 0.07Korea Electric Power 28,960 810 0.06KUKA 2,025 106 0.01Ladbrokes 199,425 207 0.02

8

Security Holdings

MarketValue£000

% ofNet

Assets



as at 31 March 2015

Lafarge 9,764 429 0.03Lancashire 59,926 373 0.03Las Vegas Sands 9,649 360 0.03Legal & General 1,378,424 3,835 0.30Lloyds Banking Group 837,873 661 0.05Logitech 4,694 42 -London Stock Exchange 29,768 733 0.06Lonza 3,445 294 0.02Macy's 27,432 1,194 0.09Mastercard 12,196 723 0.06Meda 9,171 98 0.01Mediaset 46,454 394 0.03Merck 8,212 629 0.05Microsoft 42,145 1,166 0.09Mitsubishi Estate 19,000 298 0.02N Brown 362,953 1,143 0.09National Grid 66,083 583 0.05Natixis 45,477 231 0.02Neste Oil 27,554 498 0.04NetEase 35,885 2,546 0.20Next 7,640 537 0.04Nielsen 35,166 1,064 0.08Noble 1,632,900 738 0.06Nokia 160,661 830 0.06Nordea Bank 117,843 975 0.08Novartis 66,099 4,428 0.34Novo Nordisk 19,078 690 0.05Obrascon Huarte Lain 44,786 645 0.05OMV 2,036 37 -Orange 43,810 479 0.04Orion 'B' Shares 1,812 35 -Orkla 14,632 74 0.01Orora 343,160 399 0.03Pandora 10,139 620 0.05PetroChina 1,748,000 1,305 0.10Pfizer 36,526 864 0.07Philip Morris International 11,850 615 0.05PNC Financial Services 18,605 1,180 0.09POSCO 6,497 967 0.08Priceline 656 510 0.04ProSiebenSat.1 Media 10,725 356 0.03Provident Financial 33,338 900 0.07Reckitt Benckiser 20,931 1,229 0.10Red Electrica 8,733 480 0.04Reed Elsevier 50,616 851 0.07Reed Elsevier (London Listing) 108,149 1,258 0.10Rentokil Initial 1,593,610 2,183 0.17Resona 77,800 262 0.02Reynolds American 31,452 1,476 0.11Rightmove 2,062 61 -Rio Tinto 80,932 2,254 0.18Roche 10,839 2,033 0.16Rolls-Royce 192,101 1,836 0.14Royal Dutch Shell 'A' Shares (EUR) 24,265 492 0.04Royal Dutch Shell 'A' Shares (GBP) 81,531 1,651 0.13RSA Insurance 156,364 663 0.05RTL 10,644 696 0.05

9

Security Holdings

MarketValue£000

% ofNet

Assets



as at 31 March 2015

Safran 25,833 1,223 0.10Sage 158,676 744 0.06Samsonite International 289,500 677 0.05Samsung Electronics 3,106 2,724 0.21Samsung Electronics Preference Shares 1,605 1,067 0.08Samsung SDI 4,040 335 0.03SAP 6,189 303 0.02SBM Offshore 38,455 322 0.03Schroders 31,315 761 0.06Securitas 25,504 246 0.02Severn Trent 11,992 250 0.02Shinhan Financial 44,209 1,128 0.09Shinsegae 6,869 703 0.05Skandinaviska Enskilda Banken 69,089 548 0.04Skanska 24,318 368 0.03Smith & Nephew 35,827 411 0.03Societe Generale 14,873 484 0.04Solvay 4,177 407 0.03Sonova 1,603 152 0.01SSAB 84,045 282 0.02SSE 74,493 1,130 0.09Standard Chartered (GBP) 76,300 839 0.07Standard Chartered (HKD) 82,800 920 0.07Statoil 119,157 1,413 0.11Stora Enso 85,087 601 0.05Straumann 235 44 -Sumitomo Mitsui Financial 25,200 653 0.05Svenska Handelsbanken 17,727 542 0.04Swedbank 35,183 568 0.04Swedish Match 17,830 357 0.03Swisscom 961 378 0.03Taiwan Semiconductor Manufacturing ADR 317,162 4,978 0.39TalkTalk Telecom 360,705 1,223 0.10Target 16,158 897 0.07Tate & Lyle 9,789 59 -Tele2 42,328 342 0.03Telecom Italia 738,084 579 0.05Telefonaktiebolaget LM Ericsson 53,744 458 0.04Telekomunikasi Indonesia Persero 4,718,500 703 0.05Teleperformance 2,556 118 0.01Tencent 96,000 1,232 0.10Thomas Cook 1,436,365 2,064 0.16Total 64,730 2,187 0.17Trelleborg 8,231 110 0.01UBM 172,086 911 0.07UBS 135,841 1,722 0.13Unilever 21,151 601 0.05United Internet 1,083 33 -United Overseas Bank 45,000 509 0.04United Parcel Service 6,478 426 0.03United Rentals 7,067 439 0.03United Technologies 17,955 1,441 0.11United Utilities 32,176 303 0.02UPM-Kymmene 83,032 1,094 0.09Valeo 4,069 411 0.03Vectura 662,784 963 0.08Vestas Wind Systems 14,163 399 0.03

10

Security Holdings

MarketValue£000

% ofNet

Assets



as at 31 March 2015

Viscofan 2,987 124 0.01Vodafone 721,196 1,601 0.12Voestalpine 1,812 45 -WESCO International 12,328 585 0.05Whitbread 8,165 427 0.03Wolters Kluwer 16,035 353 0.03Wumart Stores 688,000 337 0.03Yara International 16,247 564 0.04Yue Yuen Industrial 132,000 315 0.02Zhejiang Expressway 126,000 113 0.01

EXCHANGE TRADED FUNDS (8.37%) 3,299 0.26Lyxor ETF MSCI India 285,136 3,299 0.26

INTEREST BEARING ASSETS (34.63%) 797,108 62.08Abbey National Treasury Services 0.7799% 13/03/2017

USD2,750,000 1,860 0.14

Abengoa Finance 7.75% 01/02/2020 USD1,700,000 1,103 0.09Actavis Funding SCS 1.3477% 12/03/2018 USD1,570,000 1,067 0.08Actavis Funding SCS 3% 12/03/2020 USD1,260,000 868 0.07Actavis Funding SCS 3.45% 15/03/2022 USD1,640,000 1,126 0.09Actavis Funding SCS 4.55% 15/03/2035 USD650,000 457 0.04AES 3.2616% 01/06/2019 USD3,340,000 2,234 0.17Air Canada 8.75% 01/04/2020 USD2,650,000 1,987 0.15Aircastle 6.25% 01/12/2019 USD2,700,000 2,000 0.16Allstate 5.75% 15/08/2053 USD1,631,000 1,196 0.09Ally Financial 2.9366% 18/07/2016 USD2,740,000 1,856 0.15Alternative Loan Trust 2005-56 0.90375% 25/11/2035

USD7,029,678 4,099 0.32

Alternative Loan Trust 2006-14CB 6% 25/06/2036 USD3,423,911 2,028 0.16Alternative Loan Trust 2006-45T1 1A9 6% 25/02/2037

USD5,961,663 3,211 0.25

Alternative Loan Trust 2006-45T1 1A15 6% 02/02/2037

USD536,404 296 0.02

Alternative Loan Trust 2006-HY11 0.29375% 25/06/2036

USD6,488,060 3,822 0.30

Alternative Loan Trust 2006-OA22 0.33375% 25/02/2047

USD1,181,490 673 0.05

American Axle & Manufacturing 6.25% 15/03/2021 USD3,030,000 2,155 0.17American Express 1.55% 22/05/2018 USD2,800,000 1,891 0.15American Home Mortgage Investment Trust 2006-3 2.1347% 25/12/2036

USD4,970,845 2,309 0.18

American International Group 3.375% 15/08/2020 USD2,750,000 1,961 0.15Amgen 2.125% 15/05/2017 USD2,850,000 1,958 0.15Anheuser-Busch InBev Finance 1.25% 17/01/2018 USD2,800,000 1,887 0.15Anheuser-Busch InBev Finance 2.15% 01/02/2019 USD1,500,000 1,025 0.08Antero Resources 6% 01/12/2020 USD3,150,000 2,118 0.16Anthem 2.3% 15/07/2018 USD2,700,000 1,850 0.14ANZ New Zealand 1.75% 29/03/2018 USD1,800,000 1,216 0.09Apple 1% 03/05/2018 USD2,800,000 1,878 0.15Ardagh Packaging Finance 3.2706% 15/12/2019 USD2,490,000 1,644 0.13Argos Merger Sub 7.125% 15/03/2023 USD3,240,000 2,263 0.18Arizona Public Service 2.2% 15/01/2020 USD2,060,000 1,394 0.11AT&T 5.5% 01/02/2018 USD2,375,000 1,765 0.14Banc of America Funding 2005-H Trust 2.644866% 20/11/2035

USD5,843,946 3,291 0.26

Banco Santander Brasil 4.25% 14/01/2016 USD1,230,000 839 0.07Bank of America 8% Perpetual USD2,500,000 1,807 0.14

11

Security Holdings

MarketValue£000

% ofNet

Assets



as at 31 March 2015

Bank of America 6.1% Perpetual USD900,000 614 0.05Bank of Montreal 1.45% 09/04/2018 USD2,800,000 1,886 0.15Bank of New York Mellon 2.2% 04/03/2019 USD5,000,000 3,419 0.27Barrick North America Finance 4.4% 30/05/2021 USD2,650,000 1,831 0.14BBVA Banco Continental 2.25% 29/07/2016 USD2,740,000 1,860 0.15Bear Stearns 6.4% 02/10/2017 USD2,550,000 1,923 0.15Bear Stearns ALT-A Trust 2006-6 2.71771% 25/11/2036

USD4,467,170 2,321 0.18

Bear Stearns ARM Trust 2007-3 2.730629% 25/05/2047

USD3,170,000 1,845 0.14

Becton Dickinson 2.675% 15/12/2019 USD1,830,000 1,260 0.10BNZ International Funding 1.9% 26/02/2018 USD4,850,000 3,289 0.26BPCE 1.1056% 10/02/2017 USD2,750,000 1,869 0.15Brazilian Government International Bond 4.875% 22/01/2021

USD1,330,000 943 0.07

Brazilian Government International Bond 2.625% 05/01/2023

USD390,000 236 0.02

Burger King 6% 01/04/2022 USD380,000 266 0.02Caterpillar Financial Services 2% 05/03/2020 USD5,000,000 3,385 0.26Chase Mortgage Finance Trust Series 2007-S3 6% 25/03/2037

USD1,353,165 774 0.06

Chesapeake Energy 4.875% 15/04/2022 USD2,600,000 1,645 0.13Chevron 1.961% 03/03/2020 USD3,160,000 2,145 0.17CHL Mortgage Pass-Through Trust 2004-29 2.190371% 25/02/2035

USD6,179,701 3,281 0.26

CHL Mortgage Pass-Through Trust 2006-HYB1 2.438937% 20/03/2036

USD6,082,473 3,688 0.29

CHS/Community Health Systems 5.125% 15/08/2018

USD2,920,000 2,035 0.16

Citigroup 1.85% 24/11/2017 USD2,900,000 1,967 0.15CNH Industrial Capital 3.25% 01/02/2017 USD3,300,000 2,219 0.17Commonwealth Bank of Australia 1.625% 12/03/2018

USD3,240,000 2,199 0.17

ConAgra Foods 0.6262% 21/07/2016 USD2,750,000 1,851 0.14Continental Airlines 2012-3 Class C Pass Through Certificates 6.125% 29/04/2018

USD1,840,000 1,308 0.10

Continental Resources 5% 15/09/2022 USD2,600,000 1,713 0.13Credit Suisse 3% 29/10/2021 USD2,800,000 1,923 0.15Daimler Finance North America 3% 28/03/2016 USD2,650,000 1,828 0.14Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB1 5.6% 25/02/2036

USD10,775,309 6,346 0.49

Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4-A1C 6% 25/10/2036

USD5,880,032 3,298 0.26

Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4-A4B 6% 25/10/2036

USD3,657,223 2,051 0.16

DIRECTV Financing 5.2% 15/03/2020 USD2,550,000 1,936 0.15DIRECTV Financing 4.6% 15/02/2021 USD3,140,000 2,305 0.18DISH DBS 5% 15/03/2023 USD3,120,000 2,034 0.16Dominion Resources 2.5% 01/12/2019 USD4,175,000 2,859 0.22E*TRADE Financial 5.375% 15/11/2022 USD2,950,000 2,103 0.16Eastman Chemical 2.4% 01/06/2017 USD2,700,000 1,861 0.14Endo Finance 6% 01/02/2025 USD2,200,000 1,531 0.12EP Energy 9.375% 01/05/2020 USD2,410,000 1,695 0.13ERAC USA Finance 2.8% 01/11/2018 USD2,700,000 1,870 0.15Exelon Generation 2.95% 15/01/2020 USD2,690,000 1,846 0.14Express Scripts 1.25% 02/06/2017 USD2,750,000 1,852 0.14

12

Security Holdings

MarketValue£000

% ofNet

Assets



as at 31 March 2015

Family Tree Escrow 5.25% 01/03/2020 USD3,200,000 2,273 0.18Fifth Third Bancorp 2.3% 01/03/2019 USD4,150,000 2,830 0.22Financiera de Desarrollo 3.25% 15/07/2019 USD2,700,000 1,846 0.14First Horizon Alternative Mortgage Securities Trust 2006-FA2 6% 25/05/2036

USD4,310,296 2,487 0.19

FMG Resources August 2006 8.25% 01/11/2019 USD2,380,000 1,419 0.11Ford Motor Credit 3.984% 15/06/2016 USD2,600,000 1,811 0.14Ford Motor Credit 2.597% 04/11/2019 USD1,750,000 1,195 0.09Freeport-McMoran Oil & Gas 6.75% 01/02/2022 USD2,450,000 1,751 0.14Frontier Communications 6.25% 15/09/2021 USD2,950,000 2,003 0.16General Electric Capital 6.375% 15/11/2067 USD2,500,000 1,828 0.14General Motors Financial 3.15% 15/01/2020 USD2,970,000 2,028 0.16Glencore Funding 1.4209% 27/05/2016 USD2,750,000 1,860 0.14Goldman Sachs 2.55% 23/10/2019 USD4,300,000 2,936 0.23Goodyear Tire & Rubber 7% 15/05/2022 USD2,970,000 2,205 0.17GreenPoint MTA Trust 2005-AR1 0.61375% 25/06/2045

USD9,711,969 5,562 0.43

GSMPS Mortgage Loan Trust 2005-RP2 0.52375% 25/02/2035

USD5,250,353 3,095 0.24

Harley-Davidson Financial Services 2.15% 26/02/2020

USD1,880,000 1,274 0.10

HealthSouth 5.75% 01/11/2024 USD2,850,000 1,991 0.16Hewlett-Packard 2.75% 14/01/2019 USD2,700,000 1,866 0.15HomeBanc Mortgage Trust 2004-1 1.03375% 25/08/2029

USD249,675 157 0.01

HSBC 5.625% Perpetual USD2,700,000 1,841 0.14HSBC USA 1.7% 05/03/2018 USD2,410,000 1,630 0.13Hungary Government Bond 5.5% 24/06/2025 HUF1,841,050,000 5,297 0.41Hutchison Whampoa International 12 6% Perpetual USD2,600,000 1,866 0.15Hyundai Capital America 3.75% 06/04/2016 USD2,650,000 1,837 0.14Hyundai Capital America 2% 19/03/2018 USD1,030,000 699 0.05Ineos Finance 8.375% 15/02/2019 USD2,700,000 1,940 0.15ING Bank 4.125% 21/11/2023 USD2,600,000 1,816 0.14International Business Machines 1.625% 15/05/2020

USD3,000,000 1,998 0.16

International Lease Finance 2.2206% 15/06/2016 USD3,290,000 2,215 0.17Jaguar Land Rover Automotive 4.125% 15/12/2018 USD3,470,000 2,409 0.19John Deere Capital 1.7% 15/01/2020 USD1,270,000 848 0.07JP Morgan Alternative Loan Trust 0.34375% 25/08/2036

USD10,342,522 6,124 0.48

JP Morgan Chase 2.25% 23/01/2020 USD3,280,000 2,215 0.17JP Morgan Mortgage Trust 2006-A3 2.611495% 25/05/2036

USD6,890,622 4,131 0.32

KeyCorp 2.3% 13/12/2018 USD2,750,000 1,882 0.15Keysight Technologies 3.3% 30/10/2019 USD2,750,000 1,869 0.15Kinder Morgan 3.05% 01/12/2019 USD2,030,000 1,380 0.11Kroger 2.2% 15/01/2017 USD2,700,000 1,853 0.14Kroger 6.15% 15/01/2020 USD1,450,000 1,143 0.09Lam Research 3.8% 15/03/2025 USD1,350,000 916 0.07Lennar 4.5% 15/06/2019 USD3,220,000 2,241 0.17Level 3 Financing 6.125% 15/01/2021 USD2,470,000 1,744 0.14Macquarie Group 6% 14/01/2020 USD2,400,000 1,853 0.14Manufacturers & Traders Trust 2.1% 06/02/2020 USD3,290,000 2,222 0.17MarkWest Energy Finance 4.5% 15/07/2023 USD2,500,000 1,672 0.13McKesson 1.4% 15/03/2018 USD2,800,000 1,882 0.15Medtronic 2.5% 15/03/2020 USD4,100,000 2,827 0.22

13

Security Holdings

MarketValue£000

% ofNet

Assets



as at 31 March 2015

Merck 1.85% 10/02/2020 USD2,020,000 1,367 0.11MetLife Global Funding 2.3% 10/04/2019 USD2,370,000 1,621 0.13Mexican Bonos 10% 05/12/2024 MXN89,034,400 5,088 0.40Mitsubishi UFJ Trust & Banking 1.6% 16/10/2017 USD4,320,000 2,915 0.23Mizuho Bank 0.7168% 25/09/2017 USD2,750,000 1,852 0.14Mondelez International 2.25% 01/02/2019 USD2,750,000 1,871 0.15Morgan Stanley 2.65% 27/01/2020 USD2,630,000 1,801 0.14Morgan Stanley 5.55% Perpetual USD1,050,000 713 0.06National Australia Bank 2.4% 09/12/2019 USD4,400,000 3,014 0.23New Red Finance 6% 01/04/2022 USD2,750,000 1,923 0.15New York Life Global Funding 2.1% 02/01/2019 USD3,360,000 2,298 0.18Nissan Motor Acceptance 1% 15/03/2016 USD2,750,000 1,864 0.15OneMain Financial 6.75% 15/12/2019 USD2,950,000 2,048 0.16Oracle 2.375% 15/01/2019 USD4,780,000 3,308 0.26PaperWorks Industries 9.5% 15/08/2019 USD1,920,000 1,330 0.10Perrigo 2.3% 08/11/2018 USD2,800,000 1,909 0.15Petrobras Global Finance 2.3933% 15/01/2019 USD2,300,000 1,336 0.10Pfizer 6.2% 15/03/2019 USD4,000,000 3,155 0.25Poland Government Bond 4% 25/10/2023 PLN48,499,000 9,800 0.76Poland Government Bond 3.25% 25/07/2025 PLN2,722,000 525 0.04Pricoa Global Funding I 1.6% 29/05/2018 USD1,650,000 1,114 0.09Provident Funding Mortgage Loan Trust 2005-2 2.39625% 25/10/2035

USD3,323,280 2,232 0.17

RALI Series 2005-QS14 Trust 6% 25/09/2035 USD8,970,088 5,554 0.43RALI Series 2007-QS1 Trust 6% 25/01/2037 USD2,738,570 1,575 0.12RALI Series 2007-QS8 Trust 6% 25/06/2037 USD3,829,365 2,186 0.17RASC Series 2003-KS9 Trust 4.71% 25/11/2033 USD129,112 84 0.01Rite Aid 9.25% 15/03/2020 USD2,890,000 2,150 0.17RJS Power Holdings 5.125% 15/07/2019 USD3,340,000 2,223 0.17Roche Holdings 2.25% 30/09/2019 USD4,200,000 2,875 0.22Royal Bank of Canada 1.4% 13/10/2017 USD2,900,000 1,964 0.15Samarco Mineracao 5.375% 26/09/2024 USD360,000 228 0.02Schaeffler Holding Finance 6.25% 15/11/2019 USD3,360,000 2,401 0.19Sequoia Mortgage Trust 10 0.976% 20/10/2027 USD284,001 187 0.01Sequoia Mortgage Trust 2007-1 2.465573% 20/02/2047

USD2,396,827 1,389 0.11

Seventy Seven Operating 6.625% 15/11/2019 USD2,610,000 1,331 0.10Sinopec Capital 2013 1.875% 24/04/2018 USD2,726,000 1,828 0.14South Africa Government Bond 10.5% 21/12/2026 ZAR76,397,000 5,050 0.39Sprint Communications 8.375% 15/08/2017 USD3,000,000 2,199 0.17Starz Finance 5% 15/09/2019 USD3,150,000 2,192 0.17Structured Asset Mortgage Investments II Trust 2006-AR7 0.38375% 25/08/2036

USD8,728,863 4,635 0.36

Structured Asset Securities 0.52375% 25/04/2035 USD2,572,402 1,439 0.11Sunoco 6.375% 01/04/2023 USD1,270,000 881 0.07SUPERVALU 7.75% 15/11/2022 USD2,920,000 2,116 0.16Target 2.3% 26/06/2019 USD2,750,000 1,899 0.15Tencent Holdings 3.375% 02/05/2019 USD2,700,000 1,887 0.15Time Warner 2.1% 01/06/2019 USD2,800,000 1,898 0.15Time Warner Cable 5.85% 01/05/2017 USD2,455,000 1,803 0.14T-Mobile USA 5.25% 01/09/2018 USD3,140,000 2,191 0.17Toyota Motor Credit 2.125% 18/07/2019 USD2,750,000 1,884 0.15UBS 1.8% 26/03/2018 USD2,160,000 1,460 0.11UK Treasury 0% 13/04/2015 GBP30,000,000 29,995 2.34UK Treasury 0% 20/04/2015 GBP61,000,000 60,985 4.75UK Treasury 0% 27/04/2015 GBP10,160,000 10,157 0.79UK Treasury 0% 11/05/2015 GBP8,525,000 8,521 0.66

14

Security Holdings

MarketValue£000

% ofNet

Assets



as at 31 March 2015

UK Treasury 0% 26/05/2015 GBP5,900,000 5,896 0.46UK Treasury 0% 08/06/2015 GBP23,950,000 23,902 1.86UK Treasury 0% 15/06/2015 GBP32,250,000 32,217 2.51UK Treasury 0% 22/06/2015 GBP29,590,000 29,557 2.30UK Treasury 0% 10/08/2015 GBP32,470,000 32,410 2.53UK Treasury 0% 01/09/2015 GBP26,200,000 26,143 2.04UK Treasury 0% 14/09/2015 GBP27,900,000 27,835 2.17UK Treasury 0% 21/09/2015 GBP41,100,000 40,998 3.19UK Treasury 4% 07/09/2016 GBP8,100,000 8,521 0.66UK Treasury 1% 07/09/2017 GBP8,700,000 8,797 0.69United Rentals North America 7.625% 15/04/2022 USD2,640,000 1,955 0.15United States Treasury Bill 0% 30/04/2015 USD1,300,000 878 0.07United States Treasury Bill 0% 25/06/2015 USD22,300,000 15,066 1.17United States Treasury Bill 0% 15/10/2015 USD25,000,000 16,879 1.31US Bancorp 1.95% 15/11/2018 USD4,712,000 3,226 0.25Ventas Capital 2.7% 01/04/2020 USD2,800,000 1,908 0.15Verizon Communications 2.0206% 14/09/2018 USD2,650,000 1,857 0.15Verizon Communications 4.5% 15/09/2020 USD2,650,000 1,970 0.15Viacom 2.5% 01/09/2018 USD2,700,000 1,855 0.14Vodafone 2.5% 26/09/2022 USD3,915,000 2,552 0.20Volkswagen Group of America Finance 1.6% 20/11/2017

USD2,900,000 1,971 0.15

Walgreen 1.8% 15/09/2017 USD2,750,000 1,874 0.15Walgreens Boots Alliance 2.7% 18/11/2019 USD1,650,000 1,137 0.09WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust 0.78375% 25/08/2045

USD9,045,118 4,111 0.32

WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust 0.46375% 25/10/2045

USD1,490,140 923 0.07


USD3,502,361 2,056 0.16


USD4,911,715 2,998 0.23


USD1,020,330 636 0.05


USD2,823,991 1,715 0.13


USD1,862,741 1,123 0.09


USD2,423,814 1,512 0.12


USD5,860,628 3,346 0.26

WaMu Mortgage Pass-Through Certificates Series 2007-HY2 Trust 2.264366% 25/09/2036

USD144,678 89 0.01

WaMu Mortgage Pass-Through Certificates Series 2007-HY6 Trust 1.990693% 25/06/2037

USD2,594,922 1,553 0.12

Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust 6% 25/07/2036

USD1,384,496 772 0.06

Wells Fargo 2.15% 15/01/2019 USD4,450,000 3,044 0.24Western Union 1.2615% 21/08/2015 USD2,750,000 1,862 0.15Westpac Banking 0.9946% 30/07/2018 USD2,700,000 1,841 0.14Windstream 7.5% 01/06/2022 USD2,900,000 1,876 0.15Ymobile 8.25% 01/04/2018 USD2,750,000 1,935 0.15Zimmer Holdings 1.45% 01/04/2017 USD930,000 629 0.05Zimmer Holdings 2% 01/04/2018 USD620,000 421 0.03

15

Security Holdings

MarketValue£000

% ofNet

Assets



as at 31 March 2015

REAL ESTATE INVESTMENT TRUSTS (2.50%) 2,086 0.16Derwent London 15,976 551 0.04NewRiver Retail 166,413 501 0.04Parkway Life 127,000 147 0.01Shaftesbury 49,698 415 0.03Workspace 54,684 472 0.04

DERIVATIVES (-0.15%) (15,708) (1.22)

Bond FuturesThree-Month Euro Dollar CME Futures December 2015

662 154 0.01

Three-Month Euro Dollar CME Futures December 2016

(662) (227) (0.02)

US Treasury 2 Year Note CBT Futures June 2015 (2,499) (886) (0.07)US Treasury 5 Year Note CBT Futures June 2015 (343) (38) -US Treasury 10 Year Note CBT Futures June 2015 252 (5) -

Index FuturesASX SPI 200 Index Futures June 2015 (253) (231) (0.02)Euro Stoxx 50 Index Futures June 2015 (590) (277) (0.02)Euro Stoxx Banks Index Futures June 2015 1,881 447 0.04FTSE 100 Index Futures June 2015 (282) 143 0.01MSCI Asia Pacific ex Japan Index Futures June 2015 (367) (144) (0.01)Nikkei 225 SGX Index Futures June 2015 (97) (225) (0.02)Russell 2000 Mini Futures June 2015 (364) (845) (0.06)S&P 500 E Mini Index Futures June 2015 213 141 0.01Stoxx Europe 600 Index Futures June 2015 (3,265) (241) (0.02)

Equity Covered OptionsDeutsche Bank Equity Covered Option 1906.28 Put Option April 2015

15,480 2 -

Deutsche Bank Equity Covered Option 1906.28 Put Option May 2015

15,480 12 -

Deutsche Bank Equity Covered Option 1906.28 Put Option July 2015

15,480 34 -

Deutsche Bank Equity Covered Option 1906.28 Put Option August 2015

15,480 47 -

Deutsche Bank Equity Covered Option 1906.28 Put Option September 2015

15,480 60 -

Deutsche Bank Equity Covered Option 1906.28 Put Option October 2015

15,480 73 0.01

Deutsche Bank Equity Covered Option 1906.28 Put Option November 2015

15,480 87 0.01

Merrill Lynch Equity Covered Option 1906.28 Put June 2015

15,480 22 -

Exchange Traded Fund OptionsiShares 20+ Year Treasury Bond ETF 121 Put Option June 2015

1,350 80 0.01

iShares iBoxx $ High Yield Corporate Bond ETF 88 Put Option April 2015

1,468 10 -

Foreign Currency OptionsOTC EUR versus USD Barclays 1.269 Call Option January 2020

(2,217,453) (92) (0.01)

OTC EUR versus USD Barclays 1.171 Call Option March 2020

(2,897,440) (200) (0.02)

OTC EUR versus USD Barclays 1.04 Put Option April 2015

(2,897,440) (5) -

16

Security Holdings

MarketValue£000

% ofNet

Assets



as at 31 March 2015

OTC EUR versus USD Barclays 1.269 Put Option January 2020

2,217,453 236 0.02

OTC EUR versus USD Barclays 1.171 Put Option March 2020

2,897,440 201 0.02

OTC EUR versus USD Deutsche Bank 1.354 Call Option December 2019

(2,107,728) (55) -

OTC EUR versus USD Deutsche Bank 1.1 Put Option April 2015

(15,689,404) (307) (0.02)

OTC EUR versus USD Deutsche Bank 1.354 Put Option December 2019

2,107,728 308 0.02

OTC EUR versus USD Goldman Sachs 1.35 Call Option December 2019

(39,640,461) (1,056) (0.08)

OTC EUR versus USD Goldman Sachs1.226 Call Option January 2020

(2,345,024) (121) (0.01)

OTC EUR versus USD Goldman Sachs 1.233 Call Option February 2020

(3,231,600) (163) (0.01)

OTC EUR versus USD Goldman Sachs 1.2145 Call Option March 2020

(3,744,624) (210) (0.02)

OTC EUR versus USD Goldman Sachs 1.07 Put Option April 2015

(2,345,024) (16) -


(3,744,624) (38) -


(3,529,902) (69) (0.01)

OTC EUR versus USD Goldman Sachs 1.35 Put Option December 2019

39,640,461 5,718 0.45

OTC EUR versus USD Goldman Sachs 1.226 Put Option January 2020

2,345,024 209 0.02

OTC EUR versus USD Goldman Sachs 1.233 Put Option February 2020

3,231,600 296 0.02

OTC EUR versus USD Goldman Sachs 1.2145 Put Option March 2020

3,744,624 316 0.02

OTC USD versus CAD Barclays 1.2538 Call Option May 2015

(19,000,000) (291) (0.02)

OTC USD versus CAD Barclays 1.2543 Call Option June 2015

(19,000,000) (338) (0.03)

OTC USD versus CAD Barclays 1.2548 Call Option July 2015

(19,000,000) (375) (0.03)

OTC USD versus JPY Goldman Sachs 118 Call Option February 2016

72,075,000 1,564 0.12

OTC USD versus JPY Goldman Sachs 119 Call Option February 2016

2,606,000 64 (0.01)

OTC USD versus KRW Goldman Sachs 1111 Call Option February 2016

(2,606,000) (60) -

OTC USD versus KRW Goldman Sachs 1109 Put Option February 2016

(72,075,000) (1,603) (0.12)

Index OptionsCAC 40 Index 5100 Call Option December 2015 (1,482) (2,442) (0.19)DAX Index 9400 Put Option April 2015 (580) (1) -DAX Index 9500 Put Option April 2015 (580) (1) -DAX Index 9600 Put Option April 2015 (575) (1) -DAX Index 10100 Put Option April 2015 (20) - -DAX Index 10200 Put Option April 2015 (17) - -DAX Index 10300 Put Option May 2015 (640) (14) -DAX Index 10400 Put Option May 2015 (640) (16) -DAX Index 10500 Put Option May 2015 (640) (18) -

17

Security Holdings

MarketValue£000

% ofNet

Assets



as at 31 March 2015

DAX Index 11200 Put Option June 2015 (128) (85) (0.01)DAX Index 11300 Put Option June 2015 (128) (95) (0.01)DAX Index 11400 Put Option June 2015 (128) (105) (0.01)DAX Index 12600 Call Option December 2015 1,199 2,222 0.17Euro Stoxx 50 Index 3100 Put Option September 2015

4,252 1,666 0.13

Euro Stoxx 50 Index 3200 Put Option September 2015

320 161 0.01


240 137 0.01


(2,126) (1,986) (0.15)


(160) (168) (0.01)


(120) (160) (0.01)

Euro Stoxx Banks Index 120 Put Option December 2015

2,001 203 0.02


4,808 654 0.05


2,357 398 0.03

FTSE 100 Index 6200 Put Option December 2015 58 112 0.01FTSE 100 Index 6400 Put Option December 2015 496 1,228 0.10FTSE 100 Index 6600 Put Option December 2015 109 344 0.03FTSE 100 Index 6700 Put Option December 2015 144 513 0.04FTSE 100 Index 6750 Put Option December 2015 373 1,417 0.11FTSE 100 Index 6800 Put Option December 2015 38 152 0.01FTSE MIB Index 19000 Put Option September 2015 1,428 793 0.06FTSE MIB Index 20000 Put Option September 2015 180 156 0.01FTSE MIB Index 21500 Put Option September 2015 (714) (1,114) (0.09)FTSE MIB Index 22000 Put Option September 2015 (52) (98) (0.01)FTSE MIB Index 22500 Put Option September 2015 (38) (86) (0.01)MSCI World Index 1855.827 Put Option December 2015

18,281 67 -

MSCI World Index 1866.204 Put Option January 2016

27,872 116 0.01

MSCI World Index 1911.897 Put Option March 2016

12,638 147 0.01

MSCI World Index 1926.66 Put Option February 2016

25,019 221 0.02

Nikkei 225 Index 16000 Put Option December 2016 586 2,675 0.21Nikkei 225 Index 16500 Put Option December 2016 30 161 0.01Nikkei 225 Index 17500 Put Option April 2015 (50) (5) -Nikkei 225 Index 17500 Put Option June 2015 (50) (58) -Nikkei 225 Index 17500 Put Option May 2015 (50) (25) -Nikkei 225 Index 17750 Put Option April 2015 (50) (7) -Nikkei 225 Index 17750 Put Option June 2015 (50) (69) (0.01)Nikkei 225 Index 17750 Put Option May 2015 (50) (34) -Nikkei 225 Index 18000 Put Option April 2015 (50) (12) -Nikkei 225 Index 18000 Put Option June 2015 (50) (85) (0.01)Nikkei 225 Index 18000 Put Option May 2015 (50) (44) -Nikkei 225 Index 18250 Put Option December 2016 (293) (2,708) (0.21)Nikkei 225 Index 18500 Put Option April 2015 (8) (4) -Nikkei 225 Index 18500 Put Option June 2015 (8) (20) -Nikkei 225 Index 18500 Put Option May 2015 (8) (11) -

18

Security Holdings

MarketValue£000

% ofNet

Assets



as at 31 March 2015

Nikkei 225 Index 19000 Put Option December 2016 (15) (171) (0.01)S&P 500 Index 2000 Put Option March 2015 72 - -S&P 500 Index 2020 Put Option April 2015 82 55 -

Credit Default SwapsCDX North American High Yield Series 23 Credit Default Swap Rec 5% 20/12/2019**

36,234,000 1,974 0.15

CDX North American High Yield Series 23 Credit Default Swap Rec 5% 20/12/2019**

1,898,260 103 0.01

CDX North American High Yield Series 23 Credit Default Swap Rec 5% 20/12/2019**

566,280 30 -

iTraxx Europe Crossover Series 23 Credit Default Swap Pay 0% 20/06/2020

(25,643,000) (2,094) (0.16)

iTraxx Europe Crossover Series 23 Credit Default Swap Pay 1% 20/06/2020

(14,184,500) (180) (0.01)

iTraxx Europe Crossover Series 23 Credit Default Swap Pay 5% 20/06/2020**

(3,512,000) (287) (0.02)

iTraxx Europe Crossover Series 23 Credit Default Swap Pay 5% 20/06/2020**

(4,608,000) (376) (0.03)

iTraxx Europe Series 23 Credit Default Swap Pay 1% 20/06/2020**

(1,123,000) (14) -


(1,573,000) (20) -


(10,671,833) (174) (0.01)


(14,138,000) (231) (0.02)


(21,897,000) (358) (0.03)


(26,642,000) (435) (0.03)


(172,840,000) (2,826) (0.22)

iTraxx Europe Series 23 Credit Default Swap Rec 1% 20/06/2025**

26,642,000 263 0.02


21,897,000 215 0.01


10,671,833 106 0.01

iTraxx Europe Series 23 Credit Default Swap Rec 5% 20/06/2025

14,138,000 140 0.01

iTraxx Europe Series 23 Credit Default Swap Rec 1% 25/06/2025

172,840,000 1,703 0.13

Interest Rate SwapsBarclays Interest Rate Swap Pay 0.9975% 25/11/2024

(98,766,000) (3,266) (0.25)

Barclays Interest Rate Swap Pay 0.5175% 19/12/2024

1,077,369,000 25 -

Barclays Interest Rate Swap Pay 0.94% 20/03/2025 (462,740,000) 160 0.01Barclays Interest Rate Swap Pay 0.95% 23/03/2025 339,279,000 89 -Barclays Interest Rate Swap Pay 0.935% 24/03/2025

113,093,000 44 -

Barclays Interest Rate Swap Rec 1.75% 20/03/2022 (10,000,000) (9) -Barclays Interest Rate Swap Rec 0.5480% 20/03/2025

(50,884,000) (73) (0.01)

Barclays Interest Rate Swap Rec 1.4175% 25/11/2024

915,112,000 3,396 0.27

19

Security Holdings

MarketValue£000

% ofNet

Assets



as at 31 March 2015


(35,911,500) (36) -


(11,970,500) (26) (0.01)


1,231,279,000 110 0.01

Citibank Interest Rate Swap Pay 0.53% 30/01/2025 1,097,965,000 25 -Citibank Interest Rate Swap Pay 0.7275% 09/02/2025

(6,438,000) (79) -

Citibank Interest Rate Swap Pay 0.73% 09/03/2025 (4,681,000) (56) -Citibank Interest Rate Swap Pay 0.536% 24/03/2025

3,622,000 8 0.01

Citibank Interest Rate Swap Rec 1.703% 24/03/2022

(21,200,000) (68) -


79,880,000 20 -


(53,511,000) (645) (0.05)


10,898,000 17 -

Citibank Interest Rate Swap Rec 2.75% 23/03/2025 5,040,000 5 -Goldman Sachs Interest Rate Swap Rec 1.97% 19/12/2021

8,000,000 92 0.01

Goldman Sachs Interest Rate Swap Rec 2.23% 21/11/2021

151,000,000 3,708 0.29

Goldman Sachs Interest Rate Swap Rec 1.65% 30/01/2022

(8,500,000) (39) -

HSBC Interest Rate Swap Pay 2.7725% 17/12/2019 (7,350,000) (105) (0.01)HSBC Interest Rate Swap Pay 2.62% 28/01/2020 (7,700,000) (17) -HSBC Interest Rate Swap Pay 2.735% 05/03/2020 (11,900,000) (18) -HSBC Interest Rate Swap Rec 3.01% 17/12/2024 7,350,000 137 0.01HSBC Interest Rate Swap Rec 2.85% 28/01/2025 (7,700,000) (32) -HSBC Interest Rate Swap Rec 2.935% 05/03/2025 (11,900,000) (27) (0.01)Merrill Lynch Interest Rate Swap Rec 2.92% 20/03/2025

(9,100,000) (36) -

Morgan Stanley Interest Rate Swap Pay 2.69% 27/02/2020

(146,515,385) (571) (0.04)


9,100,000 44 -


(1,519,484,000) (22) -


(1,744,302,000) (1) -

Morgan Stanley Interest Rate Swap Rec 1.6775% 16/01/2022

(20,000,000) (61) (0.01)


96,000,000 196 0.01


146,515,385 252 0.02


6,640,000 65 0.01


1,775,450,000 116 0.01

RBC Interest Rate Swap Rec 1.7775% 09/01/2022 39,400,000 74 0.01RBS Interest Rate Swap Pay 0.63% 26/11/2024 (20,366,216,000) (903) (0.07)

20

Security Holdings

MarketValue£000

% ofNet

Assets



as at 31 March 2015

RBS Interest Rate Swap Rec 2.1363% 28/11/2021 13,000,000 259 0.02RBS Interest Rate Swap Rec 2.0588% 26/11/2034 23,275,675,000 3,854 0.30

Total Return SwapsBank of America Total Return Swap Pay USD 3M LIBOR 17/06/2015

15,480 339 0.03

Citibank Total Return Swap Pay USD 3M LIBOR 15/01/2016

27,872 1,568 0.12

Deutsche Bank Total Return Swap Pay USD 1M LIBOR 16/04/2015

12,150 27 -


15,480 865 0.07


15,480 168 0.01


15,480 865 0.07


15,480 168 0.01


15,480 339 0.03


15,480 865 0.07


15,480 168 0.01

Merrill Lynch Total Return Swap Pay USD 1M LIBOR 16/04/2015

11,995 139 0.01

Societe Generale Total Return Swap Pay USD 3M LIBOR 12/11/2015

18,281 401 0.03

Societe Generale Total Return Swap Pay USD 3M LIBOR 17/03/2016

12,638 278 0.02

UBS Total Return Swap Pay USD 3M LIBOR 12/02/2016

25,019 272 0.02

Variance SwapsHang Seng China Enterprise Index Variance Swap 29/12/2015

(331,426) (4) -

Hang Seng China Enterprise Index Variance Swap 30/12/2015**

2,638,936 19 -


(330,624) (1) -


(444,596) (13) -


(140,677) (46) -


(141,466) (46) -


(139,557) (47) -


(389,974) (122) (0.01)


(3,934,413) (683) (0.05)


(492,932) (23) -


(303,323) (28) -


(209,736) (41) -

21

Security Holdings

MarketValue£000

% ofNet

Assets



as at 31 March 2015


(491,967) (84) (0.01)

Hang Seng Index Variance Swap 30/12/2015** (330,624) (15) -Hang Seng Index Variance Swap 30/12/2015** (444,596) (43) -Hang Seng Index Variance Swap 30/12/2015** (141,466) (52) -Hang Seng Index Variance Swap 30/12/2015** (139,557) (54) -Hang Seng Index Variance Swap 30/12/2015** (140,677) (62) -Hang Seng Index Variance Swap 30/12/2015** (389,974) (122) (0.01)Hang Seng Index Variance Swap 30/12/2015** (2,638,936) (820) (0.06)S&P 500 Index Variance Swap 18/12/2015** 340,279 358 0.03S&P 500 Index Variance Swap 18/12/2015** 340,279 294 0.02S&P 500 Index Variance Swap 18/12/2015** 50,296 107 0.01S&P 500 Index Variance Swap 18/12/2015** 50,296 107 0.01S&P 500 Index Variance Swap 18/12/2015** 17,998 42 -S&P 500 Index Variance Swap 18/12/2015** 17,998 42 -S&P 500 Index Variance Swap 18/12/2015** 18,248 28 -S&P 500 Index Variance Swap 18/12/2015** 18,248 27 -S&P 500 Index Variance Swap 18/12/2015** 57,330 5 -S&P 500 Index Variance Swap 18/12/2015** 57,330 5 -S&P 500 Index Variance Swap 18/12/2015** (42,608) (2) -S&P 500 Index Variance Swap 18/12/2015** (42,608) (2) -

Volatility SwapsDeutsche Bank Volatility Swap Pay USD/JPY 15/12/2016

59,380 57 -

Deutsche Bank Volatility Swap Pay USD/JPY 13/01/2017

47,124 27 -


151,940 147 0.01


93,813 42 -

Deutsche Bank Volatility Swap Rec AUD/JPY 15/12/2016

(143,836) (27) -


57,892 9 -


(129,833) (85) (0.01)


(358,533) (30) -

Goldman Sachs Volatility Swap Pay USD/JPY 24/11/2016

1,113,639 1,735 0.14

Goldman Sachs Volatility Swap Pay USD/JPY 27/01/2017

59,721 57 -

Goldman Sachs Volatility Swap Rec AUD/JPY 24/11/2016

(1,290,038) (549) (0.04)

Goldman Sachs Volatility Swap Rec AUD/JPY 27/01/2017

(75,137) (18) -

Interest Rate SwaptionsCall - 10 Year Interest Rate Swap Pay USD LIBOR Rec 1.788% BAR May 2015

(26,506,000) (56) (0.01)

Call - 10 Year Interest Rate Swap Pay USD LIBOR Rec 1.775% BAR May 2015

(8,836,000) (17) -

Call - 10 Year Interest Rate Swap Pay USD LIBOR Rec 1.82% DBK June 2015

(2,606,000) (9) -

Put - 10 Year Interest Rate Swap Pay 2.895% DBK Rec USD LIBOR February 2017

(17,671,000) (325) (0.03)

22

Security Holdings

MarketValue£000

% ofNet

Assets



as at 31 March 2015


(53,013,000) (966) (0.08)


35,342,000 556 0.04


106,026,000 1,650 0.13

Put - 10 Year Interest Rate Swap Pay 2.93% GLM Rec USD LIBOR March 2017

(5,212,000) (94) (0.01)

Put - 10 Year Interest Rate Swap Pay 3.08% GLM Rec USD LIBOR March 2017

10,424,000 162 0.01

Call - 10 Year Interest Rate Swap Pay GBP LIBOR Rec 1.815% MS March 2015

(192,000,000) (4,749) (0.37)

Call - 10 Year Interest Rate Swap Pay GBP LIBOR Rec 1.826% MS March 2015

(384,000,000) (9,612) (0.75)

Forward Currency Contracts

Australian DollarBought AUD7,348,000 for GBP3,927,217 Settlement 20/04/2015 (151) (0.01)Sold AUD7,348,000 for GBP3,695,192 Settlement 20/04/2015 (81) (0.01)

Brazilian RealSold BRL2,044,000 for GBP415,224 Settlement 17/06/2015 (3) -

Canadian DollarBought CAD18,924,405 for USD15,088,465 Settlement 08/04/2015 (163) (0.01)Bought CAD75,617,485 for USD60,600,645 Settlement 08/04/2015 (860) (0.07)Sold CAD8,192,000 for GBP4,307,906 Settlement 10/06/2015 (33) -

Colombian PesoSold COP1,703,000,000 for GBP422,484 Settlement 17/06/2015 (21) -

Danish KroneSold DKK25,725,000 for GBP2,496,182 Settlement 23/04/2015 (5) -

EuroBought EUR4,920,000 for GBP3,517,711 Settlement 23/04/2015 55 -Bought EUR4,469,000 for GBP3,234,758 Settlement 20/04/2015 10 -Bought EUR256,000 for GBP188,939 Settlement 23/04/2015 (3) -Bought EUR1,580,000 for GBP1,151,681 Settlement 23/04/2015 (4) -Bought EUR4,753,000 for GBP3,507,923 Settlement 23/04/2015 (57) (0.01)Bought EUR5,023,000 for GBP3,834,307 Settlement 23/04/2015 (187) (0.01)Bought EUR21,981,540 for GBP16,211,386 Settlement 08/04/2015 (255) (0.02)Sold EUR7,617,000 for GBP5,905,993 Settlement 23/04/2015 375 0.03Sold EUR21,981,540 for GBP16,240,621 Settlement 08/07/2015 254 0.02Sold EUR5,321,000 for GBP3,988,568 Settlement 23/04/2015 125 0.01Sold EUR8,695,000 for GBP6,408,963 Settlement 23/04/2015 95 0.01Sold EUR604,000 for GBP440,263 Settlement 23/04/2015 2 -Sold EUR137,000 for GBP99,752 Settlement 23/04/2015 - -Sold EUR1,086,540 for GBP788,027 Settlement 08/04/2015 (1) -Sold EUR954,000 for GBP691,040 Settlement 23/04/2015 (2) -Sold EUR1,822,225 for GBP1,319,949 Settlement 23/04/2015 (3) -Sold EUR1,822,296 for GBP1,320,000 Settlement 23/04/2015 (3) -Sold EUR823,000 for GBP590,689 Settlement 23/04/2015 (7) -Sold EUR4,704,000 for GBP3,407,394 Settlement 23/04/2015 (8) -Sold EUR7,904,000 for GBP5,725,349 Settlement 23/04/2015 (14) -Sold EUR9,433,000 for GBP6,832,897 Settlement 23/04/2015 (16) -Sold EUR10,758,000 for GBP7,792,676 Settlement 23/04/2015 (19) -Sold EUR14,067,000 for GBP10,189,586 Settlement 23/04/2015 (24) -Sold EUR22,965,000 for GBP16,634,950 Settlement 23/04/2015 (40) -Sold EUR20,895,000 for GBP14,716,349 Settlement 08/04/2015 (451) (0.04)

23

Security Holdings

MarketValue£000

% ofNet

Assets



as at 31 March 2015

Hong Kong DollarBought HKD17,923,000 for GBP1,547,358 Settlement 23/04/2015 15 -Bought HKD6,538,000 for GBP564,884 Settlement 23/04/2015 5 -Sold HKD215,021,000 for GBP18,924,950 Settlement 23/04/2015 187 0.01Sold HKD82,284,000 for GBP7,242,179 Settlement 23/04/2015 72 0.01Sold HKD16,904,000 for GBP1,487,796 Settlement 23/04/2015 15 -Sold HKD10,660,000 for GBP938,234 Settlement 23/04/2015 9 -Sold HKD5,463,000 for GBP473,174 Settlement 23/04/2015 (3) -Sold HKD15,166,000 for GBP1,314,415 Settlement 23/04/2015 (7) -Sold HKD12,865,000 for GBP1,111,808 Settlement 23/04/2015 (9) -

Hungarian ForintSold HUF363,100,000 for GBP851,388 Settlement 17/06/2015 (27) -

Indian RupeeBought INR3,757,442,969 for USD58,769,734 Settlement 08/07/2015 73 0.01Bought INR186,900,000 for GBP1,952,992 Settlement 13/05/2015 50 -Bought INR139,693,735 for USD2,227,970 Settlement 08/04/2015 2 -Bought INR259,712,944 for USD4,148,769 Settlement 08/04/2015 - -Bought INR163,134,752 for USD2,633,329 Settlement 08/04/2015 (18) -Bought INR3,194,901,538 for USD51,555,616 Settlement 08/04/2015 (350) (0.03)

Indonesian RupiahSold IDR38,275,727,000 for GBP1,960,345 Settlement 23/04/2015 (9) -Sold IDR8,394,000,000 for GBP416,141 Settlement 17/06/2015 (10) -

Japanese YenSold JPY328,251,000 for GBP1,850,915 Settlement 23/04/2015 - -Sold JPY132,879,000 for GBP749,267 Settlement 23/04/2015 - -Sold JPY10,224,000 for GBP57,459 Settlement 23/04/2015 - -Sold JPY705,400,000 for GBP3,931,345 Settlement 14/04/2015 (45) -

Malaysian RinggitSold MYR4,696,000 for GBP849,154 Settlement 17/06/2015 (2) -

New Zealand DollarBought NZD7,717,000 for GBP3,836,965 Settlement 21/04/2015 56 -Sold NZD7,717,000 for GBP3,916,082 Settlement 21/04/2015 23 -

Norwegian KroneBought NOK23,372,567 for GBP1,950,000 Settlement 08/04/2015 (1) -Bought NOK19,393,174 for GBP1,650,000 Settlement 08/04/2015 (33) -Bought NOK30,166,628 for GBP2,550,000 Settlement 08/04/2015 (34) -Bought NOK30,035,697 for GBP2,596,154 Settlement 08/04/2015 (91) (0.01)Bought NOK355,576,924 for GBP30,369,646 Settlement 08/04/2015 (716) (0.06)Bought NOK458,544,991 for GBP39,366,167 Settlement 08/07/2015 (1,192) (0.09)Sold NOK458,544,991 for GBP39,436,249 Settlement 08/04/2015 1,196 0.09Sold NOK38,107,000 for GBP3,229,563 Settlement 20/04/2015 52 -Sold NOK13,914,000 for GBP1,133,120 Settlement 23/04/2015 (27) -

Russian RubleSold RUB39,460,000 for GBP410,194 Settlement 17/06/2015 (34) -

Singapore DollarSold SGD133,000 for GBP65,178 Settlement 23/04/2015 - -Sold SGD2,725,000 for GBP1,336,508 Settlement 23/04/2015 (3) -

South African RandSold ZAR7,860,000 for GBP420,913 Settlement 17/06/2015 (9) -

South Korean WonSold KRW1,904,243,000 for GBP1,150,009 Settlement 23/04/2015 (9) -Sold KRW15,315,056,000 for GBP9,249,060 Settlement 23/04/2015 (73) (0.01)

24

Security Holdings

MarketValue£000

% ofNet

Assets



as at 31 March 2015

Swedish KronaSold SEK5,872,000 for GBP456,623 Settlement 23/04/2015 (3) -Sold SEK11,238,000 for GBP873,899 Settlement 23/04/2015 (5) -Sold SEK14,824,000 for GBP1,152,756 Settlement 23/04/2015 (6) -Sold SEK54,119,000 for GBP4,208,446 Settlement 23/04/2015 (24) -

Swiss FrancSold CHF175,000 for GBP122,716 Settlement 23/04/2015 1 -Sold CHF135,000 for GBP92,928 Settlement 23/04/2015 (1) -Sold CHF214,000 for GBP147,308 Settlement 23/04/2015 (1) -Sold CHF337,000 for GBP231,975 Settlement 23/04/2015 (2) -Sold CHF2,443,000 for GBP1,665,224 Settlement 23/04/2015 (33) -Sold CHF3,001,000 for GBP2,045,574 Settlement 23/04/2015 (41) -Sold CHF3,196,000 for GBP2,178,492 Settlement 23/04/2015 (43) -Sold CHF3,975,000 for GBP2,709,482 Settlement 23/04/2015 (54) (0.01)Sold CHF4,032,000 for GBP2,748,335 Settlement 23/04/2015 (55) (0.01)

Thai BahtSold THB66,262,000 for GBP1,365,776 Settlement 23/04/2015 (9) -

Turkish LiraSold TRY1,662,000 for GBP416,502 Settlement 17/06/2015 (5) -

US DollarBought USD59,445,957 for CAD73,993,869 Settlement 08/04/2015 940 0.07Bought USD60,520,133 for CAD75,617,485 Settlement 08/07/2015 853 0.07Bought USD8,984,000 for GBP5,905,670 Settlement 23/04/2015 165 0.01Bought USD5,984,000 for GBP3,888,714 Settlement 20/04/2015 155 0.01Bought USD6,564,000 for GBP4,314,263 Settlement 10/06/2015 123 0.01Bought USD7,508,768 for CAD9,392,042 Settlement 08/04/2015 95 0.01Bought USD5,983,000 for GBP3,953,995 Settlement 21/04/2015 89 0.01Bought USD5,944,000 for GBP3,928,520 Settlement 14/04/2015 88 0.01Bought USD4,711,860 for CAD5,854,576 Settlement 08/04/2015 80 0.01Bought USD23,476,044 for GBP15,802,218 Settlement 08/04/2015 60 -Bought USD5,987,000 for GBP3,985,700 Settlement 23/04/2015 60 -Bought USD2,317,820 for CAD2,886,057 Settlement 08/04/2015 36 -Bought USD3,400,000 for GBP2,275,800 Settlement 23/04/2015 22 -Bought USD3,289,000 for GBP2,205,510 Settlement 23/04/2015 17 -Bought USD1,000,000 for CAD1,244,280 Settlement 08/04/2015 16 -Bought USD500,000 for CAD621,110 Settlement 08/04/2015 9 -Bought USD440,000 for CAD549,956 Settlement 08/04/2015 6 -Bought USD1,268,000 for GBP855,415 Settlement 17/06/2015 2 -Bought USD1,268,000 for GBP855,577 Settlement 17/06/2015 2 -Bought USD634,000 for GBP427,498 Settlement 17/06/2015 1 -Bought USD634,000 for GBP427,527 Settlement 17/06/2015 1 -Bought USD634,000 for GBP427,529 Settlement 17/06/2015 1 -Bought USD634,000 for GBP427,673 Settlement 17/06/2015 1 -Bought USD634,000 for GBP427,711 Settlement 17/06/2015 1 -Bought USD634,000 for GBP427,789 Settlement 17/06/2015 1 -Bought USD2,629,724 for CNY16,575,152 Settlement 08/04/2015 (28) -Bought USD3,072,343 for CNY19,332,720 Settlement 08/04/2015 (29) -Bought USD4,156,380 for CNY26,198,496 Settlement 08/04/2015 (45) -Bought USD60,410,859 for CNY379,893,687 Settlement 08/07/2015 (155) (0.01)Bought USD59,717,784 for INR3,757,442,969 Settlement 08/04/2015 (207) (0.02)Bought USD50,334,572 for CNY317,787,319 Settlement 08/04/2015 (598) (0.05)Sold USD28,827,000 for GBP19,688,086 Settlement 23/04/2015 208 0.02Sold USD15,892,000 for GBP10,853,820 Settlement 23/04/2015 115 0.01Sold USD14,776,000 for GBP10,091,621 Settlement 23/04/2015 107 0.01Sold USD14,140,000 for GBP9,657,250 Settlement 23/04/2015 102 0.01

25

Security Holdings

MarketValue£000

% ofNet

Assets



as at 31 March 2015

Sold USD2,139,000 for GBP1,460,881 Settlement 23/04/2015 15 -Sold USD1,162,044 for GBP786,144 Settlement 08/04/2015 1 -Sold USD5,206,000 for GBP3,516,071 Settlement 23/04/2015 (2) -Sold USD5,983,000 for GBP4,033,152 Settlement 21/04/2015 (10) -Sold USD4,772,000 for GBP3,197,226 Settlement 23/04/2015 (27) -Sold USD13,100,000 for GBP8,795,961 Settlement 16/04/2015 (56) -Sold USD23,476,044 for GBP15,811,126 Settlement 08/07/2015 (61) (0.01)Sold USD3,027,000 for GBP1,980,373 Settlement 13/05/2015 (65) (0.01)Sold USD5,799,000 for GBP3,830,504 Settlement 23/04/2015 (88) (0.01)Sold USD5,984,000 for GBP3,954,285 Settlement 20/04/2015 (89) (0.01)Sold USD22,314,000 for GBP14,860,466 Settlement 08/04/2015 (217) (0.02)Sold USD9,219,000 for GBP6,002,285 Settlement 07/04/2015 (227) (0.02)Sold USD9,219,000 for GBP6,001,680 Settlement 07/04/2015 (227) (0.02)Sold USD121,398,000 for GBP78,561,842 Settlement 07/04/2015 (3,464) (0.27)Sold USD122,398,000 for GBP79,218,930 Settlement 07/04/2015 (3,483) (0.27)Sold USD122,739,000 for GBP79,438,554 Settlement 07/04/2015 (3,494) (0.27)Sold USD122,868,000 for GBP79,523,125 Settlement 07/04/2015 (3,496) (0.27)Sold USD125,612,000 for GBP81,287,534 Settlement 07/04/2015 (3,586) (0.28)

Investment assets^ 1,175,920 91.60

Total other assets (net) 107,769 8.40

Net assets 1,283,689 100.00

Rating BlockInvestment grade bonds 603,956 47.04Speculative grade bonds 178,759 13.92Unrated bonds 14,393 1.12

Total bonds 797,108 62.08

Other 486,581 37.92

Net assets 1,283,689 100.00

Comparative figures shown in brackets relate to 31 March 2014.

All investments are approved securities as defined in the Collective Investment Schemessourcebook unless otherwise stated

Derivative contracts were traded on an eligible derivatives exchange.

Stocks shown as ADRs and GDRs represent American Depositary Receipts and Global DepositaryReceipts.

** Multiple lines reflected for these holdings due to each line having different counterparties.

Summary of Investment Assets by Credit Ratings

^ Including investment liabilities of (£74,742K).

26

Material Portfolio Changes

PurchasesCost

£000US Treasury 10 Year Note CBT Futures December 2014 403,188S&P 500 E Mini Index Futures December 2014 352,296US Treasury 2.75% 24/02/2015 344,284US Treasury 10 Year Note CBT Futures September 2014 312,187US Treasury 5 Year Note CBT Futures December 2014 307,788Three-Month Euro Dollar CME Futures March 2017 296,577Three-Month Euro Dollar CME Futures March 2016 294,755US Treasury 2 Year Note CBT Futures December 2014 239,863Three-Month Euro Dollar CME Futures June 2017 205,130Three-Month Euro Dollar CME Futures June 2016 203,253

SalesProceeds

£000US Treasury 10 Year Note CBT Futures December 2014 402,937US Treasury 2.75% 24/02/2015 382,394S&P 500 E Mini Index Futures December 2014 361,088US Treasury 2 Year Note CBT Futures June 2015 358,719US Treasury 5 Year Note CBT Futures December 2014 316,828US Treasury 10 Year Note CBT Futures September 2014 313,922Three-Month Euro Dollar CME Futures March 2016 299,251Three-Month Euro Dollar CME Futures March 2017 291,598US Treasury 2 Year Note CBT Futures December 2014 235,523Three-Month Euro Dollar CME Futures June 2016 206,889

Purchases and sales of futures have been included at the value of their exposure.


27

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●

●

The Manager is responsible for keeping proper accounting records and for the management ofthe Trust in accordance with its Trust Deed, Prospectus and the Rules. The Manager has ageneral responsibility for taking such steps as are reasonably open to it to prevent and detectfraud and other irregularities.

St. James's Place Multi Asset Unit TrustStatement of the Manager's Responsibilities in relation to the Financial Statements of the Trust

The rules in the Financial Conduct Authority's Collective Investment Schemes Sourcebook ("theRules") require the Manager to prepare Financial Statements for each annual accounting periodwhich give a true and fair view of the financial position of the Trust as at the end of the year andof the net expenses and the net capital gains on the property of the Trust for the year then ended.

In preparing the Financial Statements the Manager is required to:

select suitable accounting policies and then apply them consistently;

make judgements and estimates that are reasonable and prudent;

comply with the requirements of the Statement of Recommended Practice relating toAuthorised Funds and the Trust Deed;

follow applicable UK Accounting Standards (UK Generally Accepted Accounting Practice);and

prepare Financial Statements on the going concern basis unless it is inappropriate topresume that the Trust will continue in operation.

D. J. Lamb 3 June 2015

Directors' Certificate

This report is certified in accordance with the requirements of the rules in the Financial ConductAuthority's Collective Investment Schemes Sourcebook.

Directors A. M. Croft London

28

London

3 June 2015


Statement of Trustee's Responsibilities

The Trustee must ensure that the scheme is managed in accordance with the Financial ConductAuthority’s Collective Investment Schemes Sourcebook, and, from 22 July 2014 the InvestmentFunds Sourcebook, (together the “the Sourcebooks”), and the scheme’s Trust Deed scheme andProspectus (together “the Regulations”) as detailed below.

Report of the Trustee

Having carried out such procedures as we consider necessary to discharge our responsibilities asTrustee of the scheme, it is our opinion, based on the information available to us and theexplanations provided, that in all material respects the scheme, acting through the AIFM:

For and on behalf of:BNY Mellon Trust & Depositary (UK) Limited

The Trustee must in the context of its role act honestly, fairly, professionally, independently and inthe interests of the authorised investment fund (AIF) and its investors.

The Trustee is responsible for the safekeeping of the assets of the scheme in accordance with theSourcebooks.

• the scheme’s cash flows are properly monitored and that cash of the scheme is booked in cashaccounts in accordance with the Sourcebooks;

• that the scheme’s income is applied in accordance with the Regulations.

The Trustee also has a duty to take reasonable care to ensure that scheme is managed inaccordance with the Regulations in relation to the investment and borrowing powers applicableto the scheme.

(ii) has observed the investment and borrowing powers and restrictions applicable to the scheme.

(i) has carried out the issue, sale, redemption and cancellation, and calculation of the price of thescheme’s shares and the application of the scheme’s income in accordance with the Sourcebooksand, where applicable, the OEIC Regulations, the Instrument Of Incorporation and Prospectus ofthe scheme, and

The Trustee must ensure that:

• the sale, issue, repurchase, redemption and cancellation of shares are carried in accordancewith the Regulations;

• the value of shares of the scheme are calculated in accordance with the Regulations;

• the instructions of the alternative investment fund manager (AIFM) are carried out (unless theyconflict with the Regulations);

• any consideration relating to transactions in the scheme’s assets is remitted within the usualtime limits; and

29

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●

●

●

●

●

●

●

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●

What an audit of financial statements involvesWe conducted our audit in accordance with International Standards on Auditing (UK and Ireland)(“ISAs (UK & Ireland)”). An audit involves obtaining evidence about the amounts and disclosuresin the financial statements sufficient to give reasonable assurance that the financial statementsare free from material misstatement, whether caused by fraud or error. This includes anassessment of:

whether the accounting policies are appropriate to the Trust’s circumstances and have beenconsistently applied and adequately disclosed;

the reasonableness of significant accounting estimates made by the Authorised FundManager; and

the overall presentation of the financial statements.

In addition, we read all the financial and non-financial information in the Annual Report (the“Annual Report”) to identify material inconsistencies with the audited financial statements andto identify any information that is apparently materially incorrect based on, or materiallyinconsistent with, the knowledge acquired by us in the course of performing the audit. If webecome aware of any apparent material misstatements or inconsistencies we consider theimplications for our report.

Independent Auditors' Report to the Unitholders of


Our opinion

In our opinion the financial statements, defined below:give a true and fair view of the financial position of the Trust as at 31 March 2015 and ofthe net expenses and the net capital gains of the scheme property of the Trust for the yearthen ended; and

have been properly prepared in accordance with United Kingdom Generally AcceptedAccounting Practice, the Statement of Recommended Practice for Authorised Funds, theCollective Investment Schemes sourcebook and the Trust Deed.

This opinion is to be read in the context of what we say in the remainder of this report.

What we have audited

The financial statements of St. James’s Place Multi Asset Unit Trust (the “Trust”), which areprepared by St. James’s Place Unit Trust Group Limited (the “Authorised Fund Manager”),comprise:

the balance sheet of the Trust as at 31 March 2015;

the statement of total return of the Trust for the year then ended;

the statement of change in net assets attributable to unitholders of the Trust for the yearthen ended;

the notes to the Trust’s financial statements, which include a summary of significantaccounting policies and other explanatory information; and

the distribution tables.The financial reporting framework that has been applied in their preparation is applicable lawand United Kingdom Accounting Standards (United Kingdom Generally Accepted AccountingPractice), the Statement of Recommended Practice ‘Financial Statements of Authorised Funds’issued by the Investment Management Association (the “Statement of Recommended Practicefor Authorised Funds”), the Collective Investment Schemes sourcebook and the Trust Deed.

In applying the financial reporting framework, the Authorised Fund Manager has made a numberof subjective judgements, for example in respect of significant accounting estimates. In makingsuch estimates, they have made assumptions and considered future events.

30

(continued)

Independent Auditors' Report to the Unitholders of


●

●

●

●

Responsibilities for the financial statements and the audit

Our responsibilities and those of the Authorised Fund Manager

Opinions on matters prescribed by the Collective Investment Schemes sourcebookIn our opinion:

we have obtained all the information and explanations we consider necessary for thepurposes of the audit; and

the information given in the Authorised Fund Manager’s Report for the financial year forwhich the financial statements are prepared is consistent with the financial statements.

Other matters on which we are required to report by exception

Propriety of accounting records and information and explanations received

Under the Collective Investment Schemes sourcebook we are required to report to you if, in ouropinion:

proper accounting records have not been kept; or

the financial statements are not in agreement with the accounting records and returns.

We have no exceptions to report arising from this responsibility.

As explained more fully in the Authorised Fund Manager’s Responsibilities Statement set out onpage 28, the Authorised Fund Manager is responsible for the preparation of the financialstatements and for being satisfied that they give a true and fair view.

Our responsibility is to audit and express an opinion on the financial statements in accordancewith applicable law and ISAs (UK & Ireland). Those standards require us to comply with theAuditing Practices Board’s Ethical Standards for Auditors.

This report, including the opinions, has been prepared for and only for the Trust’s unitholders as abody in accordance with paragraph 4.5.12 of the Collective Investment Schemes sourcebook andfor no other purpose.

We do not, in giving these opinions, accept or assume responsibility for any other purpose or toany other person to whom this report is shown or into whose hands it may come save whereexpressly agreed by our prior consent in writing.

Chartered Accountants & Statutory AuditorsEdinburgh3 June 2015The maintenance and integrity of the St. James’s Place website is the responsibility of the Fund Manager; the work carried out by theauditors does not involve consideration of these matters and, accordingly, the auditors accept no responsibility for any changes thatmay have occurred to the financial statements since they were initially presented on the website.Legislation in the United Kingdom governing the preparation and dissemination of financial statements may differ from legislation inother jurisdictions.

PricewaterhouseCoopers LLP

31

Notes £000 £000 £000 £000

2 45,288 (67,288)3 19,136 18,5814 (18,522) (17,218)6 (663) (5)

(49) 1,3585 (322) (395)

(371) 963

44,917 (66,325)6 (14,575) (15,003)

30,342 (81,328)

£000 £000 £000 £000879,570 842,551

471,963 116,125

(112,918) (12,419)

359,045 103,706191 -

(1) (21)

30,342 (81,328)14,542 14,662

1,283,689 879,570

Bid Offerp p

89.25 93.94108.30 113.90Accumulation units

Net capital gains/(losses)

Statement of Total Return


Income

for the year ended 31 March 2015

01/04/14 to 31/03/15 01/04/13 to 31/03/14


Revenue

Finance costs: Distributions

Expenses

Net (expenses)/revenue before taxation

Total return before distributions

Finance costs: Interest

TaxationNet (expenses)/revenue after taxation

Change in net assets attributable to unitholders from investment activities

Statement of Change in Net Assets Attributable to Unitholders

01/04/14 to 31/03/15 01/04/13 to 31/03/14

Amounts receivable oncreation of units

Retained distribution on accumulation units

Dilution levy charged

Opening net assets attributable to unitholdersMovement due to creation and cancellation of units:

Stamp duty reserve tax

Income units

Amounts payable on cancellation of units

The prices per unit as at 31 March 2015 (unaudited) were:

Closing net assets attributable to unitholders

Change in net assets attributable to unitholders from investment activities (see above)

32


31/03/15 31/03/14

Notes £000 £000 £000 £000

1,250,662 919,4418 330,819 13,1719 49,947 34,395

Cash equivalents‡ 56,316 -

437,082 47,566

1,687,744 967,007

(74,742) (24,155)Creditors 10 (327,691) (55,274)

9 (1,449) (7,875)

(173) (133)

Total other liabilities (329,313) (63,282)

(404,055) (87,437)

1,283,689 879,570

Balance Sheet

Investment assetsAssets

DebtorsCash and bank balances

Net assets attributable to unitholders

as at 31 March 2015

Total liabilities

Total assets

Liabilities

Distribution payable onincome units

Bank overdrafts

Investment liabilities

Total other assets

‡ Cash equivalents have been disclosed separately from the portfolio of investments for thecurrent and comparative year to comply with the Alternative Investment Fund Managers Directive(AIFMD) requiredments.

33

1.

(a)

(b)

(c)

(d)


Notes to the Financial Statements


All expenses of the Trust are recognised on an accurals basis and are deducted fromrevenue with the exception of handling charges and stamp duty reserve tax which arededucted from capital. The manager has agreed that 100% of the annual managementcharge is to be transferred to capital for the purpose of calculating the distribution, aspermitted by the Collective Investment Schemes Sourcebook.

Open forward currency contracts are shown in the Portfolio Statement and are valued usingcontracted forward rates. The net gains/(losses) are reflected in "Forward currencycontracts" in Net capital gains/(losses).

Valuation of investments

Listed investments have been valued at bid market value at 12.00 midday on 31 March2015 (31/03/14: bid market value at 12.00 midday), net of any accrued interest which isincluded in the Balance Sheet as a revenue related item.

The Financial Statements have been prepared under the historical cost basis, as modified bythe revaluation of investments, in compliance with the Financial Conduct Authority'sCollective Investment Schemes Sourcebook. They have been prepared in accordance withapplicable UK accounting standards and in accordance with the Statement ofRecommended Practice (SORP) for Financial Statements of Authorised Funds issued by theIMA in October 2010 (IMA SORP 2010).

Accounting and Distribution policies

Basis of accounting

Dividends receivable from equity investments are credited to the revenue account when theinvestments are first quoted ex-dividend. Interest on deposits is accounted for on anaccruals basis. Revenue on interest bearing assets is recognised on an effective interest ratebasis. Revenue from other authorised collective investment schemes is recognised when theinvestments are quoted ex-dividend. Management fee rebates from underlying funds will betaken to revenue or capital depending on the treatment adopted in the underlying funds.Management fee rebates received from the St. James's Place Money Market Unit Trust arerecognised as revenue on an accruals basis and form part of the distribution. Dividendequivalent values on derivatives are recognised when the underlying securities are quotedex-dividend. Where such securities are not quoted, dividends are recognised when they aredeclared. Returns on swap contracts with resets, credit default swaps (CDS) and repurchaseagreements are split between capital and income at the reset dates depending on thelength of contract and market volatility. Returns on Interest rate swaps are taken to capitaland allocated to income at reset. Interest payments and receipts under interest rate swapsare taken to income.

Revenue

Open Options Contracts are shown in the Portfolio Statement and are valued using brokerprices. The net gains/(losses) are reflected in "Option Contracts" in Net capitalgains/(losses).

Over the Counter (OTC) derivatives (including Interest Rate Swaps, Credit Default Swaps,Total Return Swaps, Inflation Swaps and Interest Rate Swaptions) are held at fair value.Data from a primary source (Markit) will initially be used in valuing derivatives. Howevertolerance checks are also performed between valuations derived from different sources inorder to validate the calculated valuations, detect any potential discrepancies and, ifappropriate, select a secondary or tertiary price for use in the valuation instead.

Open Futures Contracts are shown in the Portfolio Statement and are valued using brokerprices. The net gains/(losses) are reflected in "Futures contracts" in Net capitalgains/(losses).

Authorised unit trusts are valued at cancellation price for funds managed by the managerand a bid price for all other funds. Suspended, delisted, unquoted or manually pricedsecurities are valued by the manager taking into account, where appropriate, latest dealingprices, financial performance and other relevant factors.

Expenses

34


(continued)Notes to the Financial Statements

(e)

(f)

(g)

(h)

(i)

(j)

2.01/04/14 to

31/03/1501/04/13 to

31/03/14£000 £000

82,596 (103,280)(49,774) 91,626

6,671 (5,824)(4,951) 289

(108) (59)8,781 (46,038)1,662 (5,396)

411 1,394

45,288 (67,288)

The Trust may enter into permitted transactions such as derivative contracts or forwardforeign currency transactions. Where these transactions are used to protect or enhancerevenue, the returns are included within net revenue in the Statement of Total Return.

Where the transactions are used to protect or enhance investments, the returns are treatedas capital and included within gains/losses on investments in the Statement of Total Return.Any open positions in these type of transactions at the year end are included in the BalanceSheet at their mark to market value.

Net capital gains/(losses)*

Forward currency contractsFutures contracts

Swap contractsHandling charges

Option contracts

Currency (losses)/gains

Repurchase agreements

UK dividend revenue is disclosed net of any related tax credit. Overseas dividends continueto be disclosed gross of any foreign tax suffered, the tax element being separately disclosedin the tax note.

Equalisation applies only to units purchased during the distribution period. It is the accruedrevenue element of the purchase price of all such units and is refunded to holders of theseunits as a return of capital. Being capital it is not liable to income tax, but must be deductedfrom the cost of units for capital gains tax purposes.

Assets and liabilities have been translated into sterling at the exchange rates prevailing atthe Balance Sheet date.

Taxation

Foreign exchange

Distributions are made in respect of quarters ended 31 March, 30 June, 30 September and31 December.

Equalisation

Where realised gains/(losses) include gains/(losses) arising in previous periods, acorresponding (loss)/gain is included in unrealised gains/(losses).

*Includes realised gains of £49,532 and unrealised gains of £45,238,620 (31/03/14:realised losses of £10,276,990 and unrealised losses of £57,012,131).

Transactions involving foreign currencies are converted at the rate ruling on the date of thetransaction.

At the end of the accounting period all remaining revenue, less revenue expenses andtaxation, will be attributable to unitholders. In the case of income unitholders this will bepaid as a distribution. In the case of accumulation unitholders the distribution will bereinvested. Equalisation on distributions received is deducted from the cost of theinvestment.

Deferred tax is provided for on the liability method on all timing differences. A deferred taxasset is only recognised to the extent that a timing difference will be of future benefit.

Distribution policy

Provision is made for corporation tax at the current rate on the excess of taxable revenueover allowable expenses.

Non-derivative securities

Net capital losses

Special dividends

Special dividends are treated as revenue or a repayment of capital reflecting the facts ofeach particular case.

Derivatives

35



3.01/04/14 to

31/03/1501/04/13 to

31/03/14£000 £000786 -

Overseas dividends 1,203 18Distributions from Regulated Collective Investment Schemes Interest distributions 764 - Offshore dividend distribution 2,688 5,342 Offshore interest distribution 4,709 7,536Revenue from UK REITs 22 -Bank interest 682 690Revenue from Overseas REITs 199 165Interest on debt securities 7,404 2,484Management charge rebate on underlying holdings 1,535 2,934Swap income (896) (627)Interest on short term deposits 35 -Interest from repurchase agreements 5 39

19,136 18,581

4.01/04/14 to

31/03/1501/04/13 to

31/03/14£000 £000

17,709 16,533

100 88

Audit fee 13 13Investment administration fee 40 44

605 51352 23(1) 3

Legal costs - 14 -

713 597

18,522 17,218

Payable to the Manager

Revenue

Total expenses

UK dividends

Registrar's feeSafe custody fee

Other professional fees

Other expenses

Tax & compliance fee

Management charge

Expenses

Total revenue

Payable to the TrusteeTrustee's fee

36



5.01/04/14 to

31/03/1501/04/13 to

31/03/14£000 £000

(a)322 395

(b)

(49) 1,358

(10) 272

(159) -(778) (1,071)

14 (20)951 (441)322 395

- 1,260(18) -

322 395

(c)

(d)

6.

Distributions and interest

01/04/14 to 31/03/15

01/04/13 to 31/03/14

£000 £000First interim distribution 3,711 5,671Second interim distribution 5,367 1,999Third interim distribution 1,563 3,928Final distribution 4,508 3,580

15,149 15,17874 14

(648) (189)

14,575 15,003663 5

15,238 15,008Total finance costs

The distributions take account of revenue received on the creation of units and revenuededucted on the cancellation of units and comprises:

Deduct: Revenue received on creation of unitsAdd: Revenue deducted on cancellation of units

InterestNet distributions for the year

Non taxable foreign dividends

Corporation Tax at 20% (2014: 20%)

Taxation

Irrecoverable overseas taxAnalysis of charge in year:

Revenue taxable in different periodsMovement in excess management expensesIrrecoverable overseas taxOffshore Income gains

Effects of:UK dividends not subject to corporation tax

Factors affecting current tax charge for the year:

The tax assessed for the year is higher than the standard rate of corporation tax in the UKfor an authorised unit trust of 20% (2014: 20%). The differences are explained below:

There is no provision required for deferred taxation at the balance sheet date.

Foreign tax expensed

Current tax charge for year (note 5a)

At the year end, after offset against revenue taxable on receipt, there is a potential deferredtax asset of £2,695,299 (31/03/14: £1,708,997) relating to surplus management expenses.No deferred tax asset was recognised in the current or prior year as it was consideredunlikely the Trust would generate sufficient taxable profits in the future to utilise theseamounts.

Authorised Unit Trusts are exempt from tax on capital gains, therefore any capital return isnot included in the above reconciliation.

Deferred taxation:

Net (expenses)/revenue before taxation

Factors that may affect future tax charges

Finance costs

37



7.01/04/14 to

31/03/1501/04/13 to

31/03/14£000 £000(371) 963

Management charge 17,709 16,533Management charge rebate paid to capital (182) -Other expenses paid out of capital 2 -Tax relief on capital expenses (2,592) (2,487)

9 3- (9)

14,575 15,003

8.31/03/15 31/03/14

£000 £000312,976 8,532

13,528 2,1143,914 1,780

170 74127 -

156 448 -

330,819 13,171

9.31/03/15 31/03/14

£000 £00015,655 2,05017,552 5,59116,740 1,706

- 25,048

49,947 34,395

252 7,3507 525

1,190 -

1,449 7,875

10.31/03/15 31/03/14

£000 £000327,594 55,209

97 65

327,691 55,274

Sales awaiting settlement

Net (expense)/revenue after taxation

Overseas tax recoverable

Dilution levy receivable

Add: brought forward from previous yearLess: carried forward to next year

Movement between net (expenses) / revenue and net distributions

Amounts due to Swap clearing houses and brokers

Bank overdraft: Overseas

Purchases awaiting settlement

Cash and bank balances: Sterling

Total cash and bank balances

Amounts held at futures clearing houses and brokersAmounts held at SWAP clearing houses and brokers

Total bank overdrafts

Amounts due to futures clearing houses and brokers

Creditors

Total debtors

Cash and bank balances: Overseas

Accrued revenue

Income tax recoverable

Amounts receivable for creation of units

Rebate receivable on underlying holdings

Net distributions for the year

Debtors

Cash and bank balances

Total creditors

Accrued expenses

38



11.

12.

13.

●

●

●

14.

●

●

●

Risk management

In accordance with the investment objectives, as stated on page 47, the Trust held certainfinancial instruments. These comprise:

Capital commitments and contingent liabilities

On 31 March 2015, the Trust had no capital commitments (31/03/14: £nil) and nocontingent liabilities (31/03/14: £nil).

Equity shares; interest bearing assets and units in collective investment schemes.

Derivatives which the Trust may enter into (principally futures contracts, options andcontracts for difference) for investment purposes as well as managing the market risk arisingfrom the Trust's investment activities (and related financing).

The Manager, St. James's Place Unit Trust Group Limited, is a subsidiary of St. James's PlaceWealth Management Group plc ('SJPWMG'). Two fellow subsidiaries of SJPWMG, St.James's Place International plc and St. James's Place UK plc, invest some of their life andpension policyholders' funds into the St. James's Place Multi Asset Unit Trust. The value ofthese investments at the year end was £883,253,642 (31/03/14: £627,648,258).

Trustee's fees and interest payable to BNY Mellon Trust & Depositary (UK) Limited and theirassociates are shown in notes 4 and 6 respectively. The net balances due from BNY MellonTrust & Depositary (UK) Limited and their associates at the year end in respect of thesetransactions was £nil (31/03/14: £nil).

The main risks arising from the Trust's financial instruments are market price risk, foreigncurrency risk, interest rate risk, credit risk and liquidity risk. The Manager's policies formanaging these risks are summarised below. These policies have remained unchangedsince the beginning of the year to which these financial statements relate (same for 2014).

Ongoing review of the investment performance of the Trust against appropriate benchmarks.

The rules in the Scheme Documents set out the financial instruments in which the Trust mayinvest. The Trust's use of financial instruments during the year satisfies these requirements.

The Manager’s objectives in managing investment risk are to ensure that the investmentprofile of the Trust is consistent with its stated investment objectives and risk profile, and toensure appropriate liquidity. Day to day responsibility for managing investment risk isdelegated to the Investment Adviser, who is required to manage the Trust in accordancewith FCA regulations, the Prospectus and the terms of their Investment ManagementAgreement with the Manager. The Manager monitors the activities of the InvestmentAdviser, through a variety of mechanisms including the following:

Cash (including overdrafts) and short-term debtors and creditors that arise directly from itsoperations; and

Derivatives and other financial instruments

Related party transactions

Initial and ongoing due diligence of Investment Adviser investment and risk managementprocedures – including on site reviews;

Periodic reviews of the investments held by the Trust and their compliance with investmentobjectives and liquidity requirements; and

St. James's Place Unit Trust Group Limited and BNY Mellon Trust & Depositary (UK) Limitedtogether with their associates are related parties and regarded as controlling parties byvirtue of having the ability to act in respect of operations of the Trust.The Manager's service charge paid to St. James's Place Unit Trust Group Limited is shown innote 4 and details of the value of units created and cancelled by St. James's Place Unit TrustGroup Limited are shown in the Statement of Change in Net Assets Attributable toUnitholders. The net balances due from St. James's Place Unit Trust Group Limited at theyear end in respect of these transactions was £13,527,908 (31/03/14: £2,113,936).

39



(a)

(b)

●

●

● Movements in exchange rates affect revenue received.

The revenue and capital value of the Trust’s investments can be significantly affected bycurrency translation movements as a proportion of the Trust’s assets and revenue aredenominated in currencies other than sterling, which is the Trust’s functional currency. Theoverall currency exposure for this fund is reduced by the open forwards exposure.

Foreign currency risk

The Trust receives revenue in currencies other than sterling and movements in exchangerates can affect the sterling values of this revenue. The Trust converts all receipts of revenueinto sterling on or near the date of receipt, it does not however hedge or otherwise seek toavoid exchange rate risk on revenue accrued but not received.

Market price risk represents the potential loss the Trust might suffer through holding marketpositions in the face of price movements.

The Manager has delegated the investment management of the portfolio to an externalInvestment Adviser who determines the asset allocation and minimises the risk associatedwith particular countries or industry sectors, whilst continuing to follow the Trust’sinvestment objectives. The Manager has the responsibility for monitoring the portfolio toensure compliance with the investment objectives and that an acceptable risk and rewardprofile is maintained.

Movements in exchange rates affect short term timing differences; and

Market price risk

Movements in exchange rates affect the value of investments;

The Manager has identified three principal areas where foreign currency risk could impactthe Trust:

The Trust may be subject to short term exposure to exchange rate movements, for instancewhere there is a difference between the date an investment purchase or sale is entered intoand the date when settlement of the proceeds occurs. When the Trust enters into such atransaction which will involve the buying or selling of foreign currency in order to complete,a foreign exchange contract is entered into as soon as possible after the initial transaction inorder to minimise the exchange rate risk.

40



Monetary exposures

Non-monetary exposures Total

Monetary exposures

Non-monetary exposures Total

£000 £000 £000 £000 £000 £000649,656 589,357 1,239,013 879,571 - 879,571

569 699 1,268 983 - 983(418) - (418) (39,466) 29,919 (9,547)

(44,405) - (44,405) (1,865) - (1,865)(12,133) 12,073 (60) (3,282) - (3,282)

- - - (1,798) - (1,798)(82,371) - (82,371) 869 - 869

(443) - (443) (1,611) - (1,611)- - - (265) - (265)

(2,424) 2,598 174 - - -(62,386) 48,156 (14,230) (146,048) 136,146 (9,902)(22,485) 21,510 (975) (17,176) - (17,176)

(690) 5,297 4,607 (265) - (265)(2,397) 2,356 (41) (3,962) - (3,962)

- - - 2 - 241,836 - 41,836 (6,781) - (6,781)(2,555) 2,535 (20) (11,944) - (11,944)

(10,384) 10,419 35 (6,249) - (6,249)(142) 5,088 4,946 (2,055) 413 (1,642)(852) - (852) (7,783) - (7,783)

33,839 2,600 36,439 (426) - (426)1 - 1 - - -- 247 247 (870) - (870)- - - (1,560) - (1,560)

158 10,325 10,483 (4,120) - (4,120)(444) - (444) (7,229) - (7,229)

(2,988) 6,009 3,021 (781) - (781)(1,397) 1,394 (3) - - -(1,370) 1,384 14 (5,306) - (5,306)

(421) - (421) (4,644) - (4,644)- - - (11,139) - (11,139)

(388,232) 464,531 76,299 (602,259) 730,163 127,9044,939 5,050 9,989 (9,612) - (9,612)

92,061 1,191,628 1,283,689 (17,071) 896,641 879,570

AUD

PEN

PLN

31/03/15Net foreign currency assets/ (liabilities)

31/03/14

TRYTWDUSDZAR

ILS

CLP

GBP

MYRNOKNZD

IDR

KRWMXN

RUB

PHP

INRJPY

BRL

CHF

Currency

CAD

DKKEUR

SEKSGDTHB

COPCZK

HUFHKD

CNY

An analysis of monetary assets and liabilities for all currencies at the year end is shownbelow:

Net foreign currency assets/ (liabilities)

41



(c)

Floating rate financial

assets/ (liabilities)

Fixed rate financial


Fixed rate weighted

average interest rate

Fixed rate weighted

average period for

which rate is fixed

Financial assets/

(liabilities) not carrying

interest Total£000 £000 % Years £000 £000

(297,013) 719,419 0.51 0.52 816,607 1,239,013(51,341) 52,805 (196) 1,268

- - (418) (418)- - (44,405) (44,405)2 - (62) (60)- - - -- - (82,371) (82,371)- - (443) (443)- - - -- - 174 174

59,220 (49,672) (23,778) (14,230)8,838 - (9,813) (975)

- 5,297 3.33 10.24 (690) 4,607- - (41) (41)- - 41,836 41,836

(1,852) 6,767 (4,935) (20)- - 35 35

(252) 5,088 5.84 9.69 110 4,946- - (852) (852)2 - 36,437 36,4391 - - 1- - 247 247- 10,325 2.45 8.67 158 10,483- - (444) (444)

292 3,397 (668) 3,0217 147 (157) (3)4 - 10 14- - (421) (421)

106,436 327,583 3.00 8.36 (357,720) 76,299- 5,050 4,939 9,989

(175,656) 1,086,206 373,139 1,283,689

RUB

PENPLN

THBTRYUSDZAR

SEKSGD

Total

CHF

EUR

INR

Currency

HUF

GBPAUD

Interest rate risk

CAD

31/03/15

The interest rate risk profile of the Trust's financial assets and liabilities at 31 March 2015was:

BRL

JPY

HKD

DKK

NZD

KRW

IDR

NOKMYRMXN

CLPCNYCOPCZK

42



Floating rate financial


Fixed rate financial


Fixed rate weighted

average interest rate

Fixed rate weighted

average period for

which rate is fixed

Financial assets/

(liabilities) not carrying

interest Total£000 £000 % Years £000 £000

63,813 (39,101) 854,859 879,571165,664 (165,289) 608 983

31,902 (4,688) 12.66 6.76 (36,761) (9,547)8,637 (8,486) (2,016) (1,865)

- - (3,282) (3,282)86 - (1,884) (1,798)

- - 869 869- - (1,611) (1,611)- - (265) (265)

(902) 139,597 (0.06) 4.26 (148,597) (9,902)339 - (17,515) (17,176)

- - (265) (265)- - (3,962) (3,962)- - 2 2- - (6,781) (6,781)

(96,880) 98,172 (13,236) (11,944)- - (6,249) (6,249)

(18) 413 8.78 2.46 (2,037) (1,642)- - (7,783) (7,783)- - (426) (426)- - (870) (870)- - (1,560) (1,560)- - (4,120) (4,120)- - (7,229) (7,229)- - (781) (781)- - (5,306) (5,306)- - (4,644) (4,644)- - (11,139) (11,139)

(187,297) 911,150 1.83 7.45 (595,949) 127,904- - (9,612) (9,612)

(14,656) 931,768 (37,542) 879,570

SEKTHBTRY

INR

Currency

CZK

AUD

ILS

GBP

CLP

31/03/14

BRLCADCHF

EUR

Total

CNY

IDR

COP

HKDHUF

ZAR

TWDUSD

PHP

RUBPLN

MYRNOKPEN

MXN

JPYKRW

43



(d)

(e)

(f)

Liquidity risk

The Manager and Investment Adviser use a risk management process which enables them tomonitor and measure on a daily basis the risk of the Scheme's derivatives and forwardsposition and their impact on the overall risk profile of the Scheme. This process has beennotified to the FCA in accordance with COLL.

The Manager and Investment Adviser apply an absolute Value at Risk (VAR) approach tocalculate the Scheme’s global exposure. The Manager and Investment Adviser will ensurethat the global exposure generated by using financial derivative instruments on theunderlying assets of the Scheme shall not exceed the total net value of the Scheme.

Liquidity risk arises where liabilities cannot be met when they fall due or can only be met atan uneconomic price. For instance, this could arise if the Trust faces significant redemptionsin a short period of time. In order to manage this risk the manager monitors the Trust withthe aim of ensuring that it contains diversified liquid assets, that the Trust possessessufficient liquidity for the purpose of meeting the redemption of units, and that the Trust hassources of borrowing available to it.

Derivative risk

The use of derivatives may expose the Scheme to a higher degree of risk. For example theamount of initial margin is generally small relative to the size of the contract so thatexposure to investments is leveraged so that they are greater than the total net asset valueof the Scheme. A relatively small market movement may have a potentially larger impact onderivatives than on standard bonds or equities and leveraged positions can thereforeincrease the Scheme's volatility.

The external Investment Adviser selects acceptable counterparties through whichinvestments are bought and sold. The Manager has responsibility for monitoring the processby which these counterparties are selected to minimise risk.

The Trust’s investments and cash are held on its behalf by State Street Bank and TrustCompany (acting as agent), the custodian to the Trust, and its appointed sub custodians.Bankruptcy or insolvency of the custodian or its sub custodians may cause the Trust’s rightswith respect to securities to be delayed. This risk is managed through ongoing monitoringof the custodian and periodic reviews of its procedures for selecting and monitoring subcustodians, together with ad hoc reviews of custodian and sub custodian credit ratings.

The Manager may enter into derivatives transactions (including contracts for difference,forwards transactions, futures and options) for investment purposes and for efficientportfolio management purposes (including hedging). A relatively small market movementmay have a potentially larger impact on derivatives than on the underlying assets and theuse of derivatives can therefore increase the volatility of the value of units in the Scheme.However it is not anticipated that the use of derivatives will have a significant effect on therisk profile of the Scheme.

Credit risk

Where the Investment Managers make an investment in a bond with credit risk, that creditrisk is assessed and then compared to the prospective investment return of the security inquestion. The risk is managed by reviewing the credit ratings of those bonds at time ofpurchase and on an ongoing basis.

Certain transactions in securities that the Trust enters into expose it to the risk that thecounterparty will not deliver the investment (purchase) or cash (sale) after the fund hasfulfilled its responsibilities.

Credit risk occurs where there is a risk associated with the uncertainty of a counterparty’sability to meet its obligations. This risk for bonds and money market funds is managed byreviewing the counterparty’s credit rating, at the time of purchase and on an ongoing basis,and ensuring that the portfolio is sufficiently diversified. The impact of movements in creditrating and spread, and their effect on market prices, is considered to be part of market pricerisk, which is discussed above.

44



(g)

(h)

15.

01/04/14 to 31/03/15

01/04/13 to 31/03/14

01/04/14 to 31/03/15

01/04/13 to 31/03/14

£000 £000 £000 £00010,666,186 16,385,528 10,472,313 16,244,651

5,685,729 2,713,351 6,648,828 2,273,421

16,351,915 19,098,879 17,121,141 18,518,0729,943 46 (322) (55)

569 - (7) (3)

10,512 46 (329) (58)

16,362,427 19,098,925 17,120,812 18,518,014

*Purchases and sales of futures contracts do not incur transaction costs and have beenincluded at the value of their exposure.

Total trades in the year after transaction costs

Purchases Sales

Non-derivative securities

The VaR calculations for the Trust use the parametric, Variance-Covariance approach toprovide an estimate at a 99% confidence level of the expected maximum loss over a onemonth period, based on the historic (at least one year) price volatility of each of the currentholdings of the Trust. Calculations are performed daily and reviewed monthly or morefrequently when market prices are subject to material changes. The one month VaRcalculated as at 31 March 2015 was 5.73.

All financial liabilities of the Trust at the year end are due to settle in one year or less, or ondemand.

Portfolio transaction costs

Analysis of total trade costs.

Fair value of financial assets and liabilities

There is no material difference between the value of the financial assets and liabilities, asshown in the Balance Sheet, and their fair values.

Maturity profile of financial liabilities

Total costs

Trades in the year before transaction costsCommissionsTaxes

Derivatives*

45

Group 1

Group 2

Netrevenue Equalisation

Distributions paid to/ payable

31/05/15

Distributions paid to

31/05/14

Group 1 (p) (p) (p) (p)First interim 0.358 - 0.358 0.601Second interim 0.495 - 0.495 0.203Third interim 0.127 - 0.127 0.389Final 0.316 - 0.316 0.351

Group 2 (p) (p) (p) (p)First interim 0.270 0.088 0.358 0.601Second interim 0.231 0.264 0.495 0.203Third interim 0.058 0.069 0.127 0.389Final 0.129 0.187 0.316 0.351

Netrevenue Equalisation

Distributions paid to/ payable

31/05/15

Distributions paid to

31/05/14

Group 1 (p) (p) (p) (p)First interim 0.430 - 0.430 0.709Second interim 0.596 - 0.596 0.241Third interim 0.154 - 0.154 0.463Final 0.380 - 0.380 0.419

Group 2 (p) (p) (p) (p)First interim 0.324 0.106 0.430 0.709Second interim 0.278 0.318 0.596 0.241Third interim 0.070 0.084 0.154 0.463Final 0.190 0.190 0.380 0.419

Income

Accumulation


Distribution Tables

Distributions in pence per unit

First interim Units purchased prior to 1 April 2014

Final Units purchased prior to 1 January 2015

Second interim Units purchased prior to 1 July 2014Third interim Units purchased prior to 1 October 2014

Final Units purchased on or after 1 January 2015 to 31 March 2015

First interim Units purchased on or after 1 April 2014 to 30 June 2014Second interim Units purchased on or after 1 July 2014 to 30 September 2014Third interim Units purchased on or after 1 October 2014 to 31 December 2014

46

Exchange Traded Futures

St. James's Place Multi Asset Unit Trust is an authorised Unit Trust scheme under section 243 ofthe Financial Services and Markets Act (2000) and is constituted by a Trust Deed dated 2 January2007.


General Information

The Trust

The Unit Trust is subject to the rules of the Financial Conduct Authority's Collective InvestmentScheme Sourcebook and is classified as a Non-UCITS retail scheme.

The Trust Manager

The Manager of the Trust is St. James's Place Unit Trust Group Limited which is a member of theInvestment Association and is authorised and regulated by the Financial Conduct Authority.

Investment Objectives

The investment objective of the Scheme is to provide capital appreciation and income.

The Scheme will achieve this objective by investing in a wide range of asset classes, both directlyand also indirectly via investment in derivatives and units and/or shares in other collectiveinvestment schemes (including unregulated schemes, such as hedge funds). Asset classes whichthe Scheme will invest in and/or seek exposure to include, but are not limited to, global equities,global fixed interest and index linked securities, immovable property and commodities (includinggold). The Scheme will not invest directly in either immovable property or commodities.

The Scheme may also invest in other types of transferable securities, money market instruments,deposits, cash and near cash, and derivatives and forward transactions for the purposes ofefficient portfolio management (including hedging).

The Scheme is permitted to invest in derivatives for investment purposes and efficient portfoliomanagement.

It is the Manager's intention that the assets of the Unit Trust will be invested so that the UnitTrust will be eligible for inclusion in an ISA.

European Savings Directive

As a Non-UCITS retail scheme, the Trust is currently exempt from the reporting requirements ofthis Directive.

106,463,115

HSBC Bank USA 158,259,688

Merrill Lynch International 7,910,342

Currency Forwards

Goldman Sachs (375,011,183)

Merrill Lynch Pierce & Smith

Deutsche Bank 360,386,501

268,487,737

Citibank N.A.

Efficient Portfolio Management

Technique Counterparty Exposure (£)

(120,345,960)

Royal Bank of Canada 146,863,550

Royal Bank of Scotland

Goldman Sachs International

State Street Bank & Trust 88,459,781

87,673,407

Credit Suisse International 9,231,159

Barclays Bank 67,337,332

Citi Group Global Markets 157,755,957

St. James's Place were registered to comply with AIFMD disclosures on 21 July 2014.

The efficient portfolio management techniques permitted in the fund as at 31 March 2015comprise of:

The revenues in the year were nil with no collateral placed or received.

47


General Information (continued)

(a)

(b)

Unit Dealings

Dealings on the Trust take place on a daily basis. Purchase or sale instructions can be made bytelephone or in writing to St. James's Place Unit Trust Group Limited, PO Box 9034, Chelmsford,CM99 2XA, United Kingdom, freephone: 0800 027 1031.

The Manager adopts a policy of forward pricing, i.e. the order will be transacted on the dealingday following receipt of the client's instructions, or if received before noon, on that dealing day.

In the case of telephone purchases of units from the Manager, settlement must be by return ofpost after receipt of the contract note. In the case of telephone redemptions, the proceeds willnot become payable until the receipt at the Administration Centre of a written request.

A contract note confirming the subscription or redemption price and the number of unitsinvolved will be forwarded, together with a cancellation notice, where appropriate, on the nextbusiness day.

The most recent issue and redemption prices will be published on the Manager's website:www.sjp.co.uk and are available by calling the Administration Centre on 0800 027 1031.

Tax Vouchers

Income distributions are made quarterly on or before the 28 February, 31 May, 31 August and30 November.

Accumulation Distributions

Revenue due to accumulation unitholders is reflected in the price of their units.

To calculate capital gains on accumulation units, the total amount of reinvested net revenue(shown on the annual tax credit vouchers) should be added to the base cost of the unitspurchased. Unitholders should consult their professional advisers for any advice regarding theirtax position.

Income unitholders that receive income distributions by direct credit and accumulationunitholders (where the distribution income is reinvested) receive an annual consolidated taxvoucher in May with all the relevant payment and tax information required to complete a taxreturn.

Tax vouchers will be enclosed if income unitholders receive payment by cheque.

Report

A report is sent semi-annually to all unitholders on or before 31 May and 30 November.

Capital Gains Tax

The Trust is not liable to tax on capital gains and any individual holding units will not be liable tocapital gains tax unless the total chargeable gains for the tax year 2015/2016 exceed £11,100(2014/2015 £11,000).

Management ChargesThe Trust Deed permits the following management charges which are receivable by theManager:

A Preliminary Charge of 5 per cent which is included in the offer price of the Units.

An Annual Management Charge at a rate of 1.62 per cent (1.92 per cent prior to 10November 2014) of the value of the Trust.

Income Distributions

The minimum lump sum investment is £1,500, thereafter the minimum additional investment is£1,000. The minimum monthly investment is £150 and the minimum monthly increment is £50.The minimum annual investment is £1,500 and the minimum annual increment is £500.

Minimum Investment

48


General Information (continued)

Remuneration

Following the implementation of AIFMD in the UK, all authorised AIFMs are required to complywith the AIFMD Remuneration Code. On 21 July 2014 St. James’s Place Unit Trust Group Limitedbecame an AIFM. The AIFMs Financial Year end is 31 December, it is therefore anticipated thatthe AIFMs Remuneration Policy and associated financial disclosures will be made within AIFMsAnnual Reports from 31 December 2015, following its first full performance period. Prior to thisdate the AIFM would be part way through its first performance period and the informationavailable would not be relevant or provide a proper basis for comparison.

Leverage

The total amount of leverage employed by the Trust as at 31 March 2015, is 592.81% on the gross basis and 455.88% calculated on the commitment basis.

49

St. James’s Place Unit Trust Group Ltd is authorised and regulated by the Financial Conduct Authority. St. James’s Place Unit Trust Group Ltd Registered Offi ce:

St. James’s Place House, 1 Tetbury Road, Cirencester, Gloucestershire, GL7 1FP, United Kingdom. Registered in England Number 947644.

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