-
LDI SOLUTIONS PLUS ICAV
(An Irish Collective Asset-management Vehicle with Variable
Capital and Segregated Liability Between Funds)
ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS
FINANCIAL YEAR ENDED 31 DECEMBER 2019
For the Sub-Funds of LDI Solutions Plus ICAV listed on pages 342
to 344.
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LDI Solutions Plus ICAV
PAGEContents Report of the Directors 1
Investment Manager’s Report (Unaudited) 8
Portfolio and Schedule of Investments
LDI Solutions Plus RPI Funds 2016-2020 29LDI Solutions Plus RPI
Funds 2021-2025 30LDI Solutions Plus RPI Funds 2026-2030 31LDI
Solutions Plus RPI Funds 2031-2035 32LDI Solutions Plus RPI Funds
2036-2040 33LDI Solutions Plus RPI Funds 2041-2045 34LDI Solutions
Plus RPI Funds 2046-2050 35LDI Solutions Plus RPI Funds 2051-2055
36LDI Solutions Plus RPI Funds 2056-2060 37
LDI Solutions Plus Nominal Funds 2016-2020 38LDI Solutions Plus
Nominal Funds 2021-2025 39LDI Solutions Plus Nominal Funds
2026-2030 40LDI Solutions Plus Nominal Funds 2031-2035 41LDI
Solutions Plus Nominal Funds 2036-2040 42LDI Solutions Plus Nominal
Funds 2041-2045 43LDI Solutions Plus Nominal Funds 2046-2050 44LDI
Solutions Plus Nominal Funds 2051-2055 45LDI Solutions Plus Nominal
Funds 2056-2060 46LDI Solutions Plus Nominal Funds 2061-2065 47
LDI Active 1 Fund 48LDI Active 2 Fund 52LDI Active 3 Fund 56LDI
Active 4 Fund 58LDI Active 5 Fund 61LDI Active 6 Fund 64LDI Active
7 Fund 68LDI Active 8 Fund 73LDI Active 9 Fund 77LDI Active 10 Fund
80LDI Active 16 Fund 82LDI Active 18 Fund 85LDI Active 19 Fund
89LDI Active 21 Fund 91LDI Active 22 Fund 94LDI Active 25 Fund
97LDI Active 27 Fund 99LDI Active 28 Fund 101LDI Active 29 Fund
105LDI Active 33 Fund 109LDI Active 34 Fund 113LDI Active 36 Fund
(launched 28 January 2019) 115LDI Active 37 Fund 116LDI Euro Active
38 Fund (launched 14 October 2019) 121LDI Euro Active 39 Fund
122LDI Euro Active 40 Fund 124LDI Active 41 Fund 126LDI Active 42
Fund (launched 21 October 2019) 129LDI Active 43 Fund 131LDI Active
44 Fund 133LDI Active 45 Fund 136LDI Active 46 Fund 140LDI Active
47 Fund 142LDI Active 50 Fund 148
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LDI Solutions Plus ICAV
PAGEContents (Continued)LDI Active 51 Fund (launched 27 March
2019) 152LDI Active 53 Fund (launched 17 October 2019) 154LDI
Active 54 Fund (launched 28 August 2019) 157LDI Active 55 Fund
(launched 28 August 2019) 159LDI Active 59 Fund (launched 19
September 2019) 162LDI Active 60 Fund (launched 11 September 2019)
164LDI Active 76 Fund (launched 14 October 2019) 167
LDI Solutions Plus Partially Funded Index-Linked Gilts Funds
2021-2030 169LDI Solutions Plus Partially Funded Index-Linked Gilts
Funds 2031-2040 170LDI Solutions Plus Partially Funded Index-Linked
Gilts Funds 2041-2050 171LDI Solutions Plus Partially Funded
Index-Linked Gilts Funds 2051-2065 172LDI Solutions Plus Partially
Funded Gilts Funds 2021-2030 173LDI Solutions Plus Partially Funded
Gilts Funds 2031-2040 174LDI Solutions Plus Partially Funded Gilts
Funds 2041-2050 175LDI Solutions Plus Partially Funded Gilts Funds
2051-2065 176
LDI Solutions Plus Funded Index-Linked Gilts Funds 2021-2030
177LDI Solutions Plus Funded Index-Linked Gilts Funds 2031-2040
178LDI Solutions Plus Funded Index-Linked Gilts Funds 2041-2050
179LDI Solutions Plus Funded Index-Linked Gilts Funds 2051-2065
180LDI Solutions Plus Funded Gilts Funds 2031-2040 181LDI Solutions
Plus Funded Gilts Funds 2041-2050 182LDI Solutions Plus Funded
Gilts Funds 2051-2065 183
LDI Solutions Plus Euro 20 Year Fund 184LDI Solutions Plus Euro
30 Year Fund 185LDI Solutions Plus Allocation Fund 187LDI Solutions
Plus Euro 50 Year Swap Fund 188LDI Solutions Plus Euro Assets Fund
190LDI Euro Enhanced Real Fund 192LDI Euro Enhanced Nominal Fund
194
LDI Solutions Plus Inflation Focus Funds 2018-2020 196LDI
Solutions Plus Inflation Focus Funds 2021-2030 197LDI Solutions
Plus Inflation Focus Funds 2031-2040 198LDI Enhanced Selection
Inflation Fund 199LDI Enhanced Selection Longer Nominal Fund 202LDI
Enhanced Selection Shorter Real Fund 205LDI Enhanced Selection
Shorter Nominal Fund 208LDI Enhanced Selection Longer Real Fund
210
KFM GBP Short Real Fund 214KFM GBP Long Real Fund 216KFM GBP
Short Nominal Fund 218KFM GBP Long Nominal Fund 220
HRMSL Longer Real Fund 222HRMSL Longer Nominal Fund 224HRMSL
Asymmetric Nominal Fund (launched 4 July 2019) 226HRMSL Asymmetric
Real Fund (launched 4 July 2019) 228
LDI Synthetic Global Equity Hedged Fund 230LDI Synthetic Global
Equity Unhedged Fund 232
WTW Fiduciary Leveraged Long Fixed Fund 233WTW Fiduciary
Leveraged Short Real Fund 235WTW Fiduciary Leveraged Long Real Fund
237WTW Fiduciary Leveraged Short Fixed Fund 239WTW Fiduciary
Leveraged Allocation Fund 1 (launched 21 February 2019) 241WTW
Fiduciary Leveraged Long Real FX Hedging Fund (launched 31 July
2019) 243
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LDI Solutions Plus ICAV
PAGEContents (Continued)Statement of Comprehensive Income
245
Statement of Financial Position 277
Statement of Changes in Net Assets Attributable to Holders of
Redeemable Participating Shares 310
Statement of Accounting Policies 342
Notes to the Financial Statements 352
Independent Auditor’s Report 535
Report of the Depositary to the Shareholders 540
Directors and Other Information 541
Unaudited Appendix 542
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LDI Solutions Plus ICAV
Report of the Directors
1
The Directors have pleasure in submitting the Annual Report
together with the audited Financial Statements for the financial
year ended 31 December 2019. The Sub-Funds of LDI Solutions Plus
ICAV are listed on pages 342 to 344.
Principal Activities
LDI Solutions Plus ICAV (the “ICAV”) is an umbrella type Irish
Collective Asset-management Vehicle which was incorporated on 19
December 2005 under Part XIII of the Companies Act 1990 as a
designated investment company with variable capital and segregated
liability between Sub-Funds. The ICAV made an application to the
Central Bank of Ireland (the “Central Bank”) on 28 March 2018 to
convert from a designated investment company to an Irish Collective
Asset-management Vehicle, which was approved by the Central Bank on
10 April 2018. The ICAV is authorised by the Central Bank pursuant
to the Irish Collective Asset-management Vehicles Act 2015 (the
“ICAV Act”) as a Qualifying Investor AIF.
The Central Bank shall not be liable by virtue of its
authorisation of the ICAV or by reason of the exercise of the
functions conferred on it by legislation in relation to the ICAV
for any default of the ICAV. Authorisation of the ICAV does not
constitute a warranty by the Central Bank as to the credit
worthiness or financial standing of the various parties to the
ICAV.
The ICAV is organised in the form of an umbrella fund with
segregated liability between Sub-Funds (each a “Fund”, collectively
the “Funds”). The ICAV with approval from the Central Bank changed
the financial year end for 30 Funds listed on page 4 from 31
December to 30 September during the course of the financial year. A
separate set of Financial Statements is available for these
Funds.
Shares of more than one class may be issued in relation to a
Fund.
The Funds are split into the following categories:
(i) Funds designed to achieve real returns referenced to the
Retail Price Index in the United Kingdom which measures the rate of
inflation expressed as an index and is published by the Office of
National Statistics (the RPI Funds);
(ii) Funds designed to return a nominal rate (the Nominal
Funds);(iii) Funds designed to provide Shareholders with nominal
and inflation linked returns (the Active Funds);(iv) Funds designed
to achieve Euro-denominated nominal and/or inflation-linked returns
(the Euro Funds); (v) Funds designed to achieve returns referenced
to the UK Retail Price Index (the Inflation Focus Funds (the
IFF Funds));(vi) Funds designed to deliver nominal and
inflation-linked returns through primarily investing in UK
government
gilts and index-linked gilts (the Gilts Funds);(vii) The
Enhanced Selection Funds range comprises the LDI Enhanced Selection
Inflation Fund (the Inflation
Fund), LDI Enhanced Selection Longer Nominal Fund (the Longer
Nominal Fund), LDI Enhanced Selection Shorter Nominal Fund (the
Shorter Nominal Fund), the LDI Enhanced Selection Longer Real Fund
(the Longer Real Fund) and LDI Enhanced Selection Shorter Real Fund
(the Shorter Real Fund). The Inflation Fund seeks to deliver
inflation-linked returns, the Longer Nominal Fund and Shorter
Nominal Fund seek to deliver nominal returns and the Longer Real
Fund and Shorter Real Fund seek to deliver inflation-linked and
nominal returns;
(viii) IIFSG Fund 3 and IIFSG Fund 4 seek to deliver capital
growth;(ix) Funds designed to be used by Shareholders seeking to
reduce investment risk directly relating to the
Shareholder’s financial solvency and where returns provide
retirement benefits (the KFM Funds);(x) Funds designated to deliver
nominal returns and/or inflation-linked returns (the HRMSL
Funds);(xi) The LDI Synthetic Global Equity Hedged Fund and LDI
Synthetic Global Equity Unhedged Fund seeks to
provide exposure to global equity markets; and(xii) Funds
designed to be used by Shareholders seeking to reduce investment
risk directly relating to the
Shareholder’s financial solvency and who will use any return to
provide retirement benefits (the WTW Funds).
Results and Business Review
The results for the financial year are stated on pages 245 to
341 of the Financial Statements.
The development and performance of the Funds during the
financial year is discussed in the Investment Manager’s
Reports.
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LDI Solutions Plus ICAV
Report of the Directors (Continued)
2
Principal Risks and Uncertainties
The principal risks and uncertainties faced by the ICAV are
market price risk, liquidity risk, foreign currency risk, credit
risk and interest rate risk. Further information on the ICAV’s risk
management policies is provided in Note 10.
Changes in the UK Political Environment
In a referendum held on 23 June 2016, the electorate of the
United Kingdom voted to leave the EU. This set in train a sustained
period of uncertainty which brought about political and economic
instability and volatility in the financial markets of the United
Kingdom and more broadly across the EU.
The election of a Conservative government with a large majority
on 12 December 2019 brought about some political certainty,
allowing the government to push through legislation to withdraw
from the EU, which came into force on 31 January 2020. Following
its exit from the EU, the United Kingdom has entered a transition
period and faces a 31 December 2020 deadline to negotiate a trade
deal between the United Kingdom and the EU.
The impact of the UK’s exit from the EU is unknown and will
depend largely upon the trade deals brokered between the United
Kingdom and the EU, as well as extent to which the United Kingdom
intends to implement existing EU legislation.
Those decisions could materially and adversely affect the
regulatory regime to which Insight Investment Funds Management
Limited (the “Investment Manager”) and Insight Investment
Management (Global) Limited (the “Sub-Investment Manager”) are
currently subject in the United Kingdom, particularly in respect of
financial services regulation and taxation.
As the nature of the trade deal between the United Kingdom and
the EU is determined, we may see continuing uncertainty and periods
of volatility in the United Kingdom and some or all of the other 27
members of the EU (some of which are countries in which the
Investment Manager and/or Sub-Investment Manager conducts business)
and/or the Eurozone.
There may be detrimental implications for the value of certain
of a Fund’s investments, its ability to enter into transactions, to
value or realise certain of its investments or otherwise to
implement its investment policy. This may be due to, among other
things, increased uncertainty and volatility in United Kingdom, EU
and other financial markets, fluctuations in asset values,
fluctuations in exchange rates, increased illiquidity of
investments located, traded or listed within the United Kingdom,
the EU or elsewhere, changes in the willingness or ability of
financial and other counterparties to enter into transactions, or
the price and terms on which they are prepared to transact; and/or
changes in legal and regulatory regimes to which LDI Solutions Plus
ICAV (the “ICAV”)), the Investment Manager, the Sub-Investment
Manager and/or certain of a Fund’s assets are or become subject
to.
Insight Investment has a fully regulated Irish entity, Insight
Investment Management (Europe) Limited (the “Manager”). The
Manager’s main business is the provision of fund management
services to collective investment schemes such as the ICAV. The
Manager is authorised and supervised by the Central Bank of Ireland
as a UCITS management company under the UCITS Regulations and is
also authorised by the Central Bank of Ireland as an alternative
investment fund manager under the European Union (“Alternative
Investment Fund Managers”) Regulations. The Manager has been
appointed as the manager of the ICAV pursuant to a management
agreement, with power to delegate one or more of its functions,
subject to the overall control of the ICAV, so that in the event of
any regulatory changes resulting from the United Kingdom leaving
the EU, the relationship between the ICAV and its investment
manager will remain unchanged.
The Manager has delegated certain functions which include the
function of investment management and distributor to the Investment
Manager. The Investment Manager is a private limited company
incorporated under the laws of England and Wales. It is authorised
and regulated by the Financial Conduct Authority (the “FCA”) in the
United Kingdom as an authorised fund manager of collective
investment schemes. The Investment Manager has in turn,
sub-delegated its investment manager function to the Sub-Investment
Manager pursuant to a sub-investment management agreement. The
Sub-Investment Manager is a private limited company incorporated
under the laws of England and Wales which is authorised and
regulated by the FCA.
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LDI Solutions Plus ICAV
Report of the Directors (Continued)
3
In February 2019, the FCA agreed a multilateral memorandum of
understanding (“MoU”) with the EU and EEA National Competent
Authorities (which includes the Central Bank of Ireland) as well an
MoU with the European Securities and Markets Authority (“ESMA”).
The MoU supports the cross-border supervision of firms and permits
the sharing of information with EU counterparties during the
transition period. The MoUs allows for continued close cooperation
between the remaining 27 countries of the EU and the United
Kingdom. The MoUs also allows for EU fund managers (such as the
Manager) to delegate portfolio management services to a UK
registered manager (such as the Investment Manager).
Future Developments
The ICAV will continue to act as an investment vehicle as set
out in its Prospectus. A review and outlook of the Funds is
included in the Investment Manager’s Report.
Directors and Secretary
The ICAV has delegated the day to day management and running of
the ICAV in accordance with policies approved by the Directors to
the Depositary and the Investment Manager. Consequently, all
Directors of the ICAV are non-executive.
The following Directors who held office on 31 December 2019,
under the Memorandum and Articles of Association, are not required
to retire by rotation:
Michael Boyce*John Fitzpatrick*Barry McGrath*Charles
Farquharson**Gregory Brisk** *Directors are non-executive and
independent of the Investment Manager - Insight Investment Funds
Management Limited.**Directors are non-executive. Directors' and
Secretary’s Interests
None of the Directors or the Secretary to the ICAV, held any
interest in the shares of the Funds, nor had they any interest in
any contract of significance of the Funds during the financial
year.
Accounting Records
The Directors are responsible for ensuring that accounting
records as outlined in Section 110 of the ICAV Act are kept by LDI
Solutions Plus ICAV. To achieve this the Directors have employed
Northern Trust International Fund Administration Services (Ireland)
Limited. The accounting records are kept at the following
address:
Georges Court54-62 Townsend StreetDublin 2Ireland
Transactions with Connected Parties
In accordance with the requirements of the Central Bank’s AIF
Rulebook any transaction carried out with the ICAV by a depositary,
investment manager and/or associates of these (“connected parties”)
are carried out as if negotiated at arm’s length and are in the
best interests of the Shareholders.
The Directors of the ICAV are satisfied that there are
arrangements (evidence by written procedures) in place to ensure
that this requirement is applied to all transactions with connected
parties, and that all transactions with connected parties during
the period complied with this requirement.
Changes in the UK Political Environment (Continued)
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LDI Solutions Plus ICAV
Report of the Directors (Continued)
4
Dividends
A detailed policy note is included in Note 4 to the Financial
Statements on page 373.
Events During the Financial Year
The ICAV, with approval from the Central Bank, changed the
financial year end for the 30 Funds listed below from 31 December
to 30 September during the course of the financial year. A separate
set of Financial Statements is available for these Funds. The
events described overleaf therefore relate only to Funds of the
ICAV with a 31 December year end.
Funds with a 30 September year end
IIFIG LDI Active 26 FundIIFIG Fixed Income Fund 2IIFIG Bonds
Plus FundIIFIG Broad Opportunities Bond FundIIFIG Loan FundIIFIG
Bonds Plus 400 FundIIFIG CRE Loan Fund 1IIFIG Special Buy and
Maintain Fund 1IIFIG Secured Finance FundIIFIG Secured Finance II
FundIIFIG Government Liquidity FundIIFIG Secured Multi-Asset Credit
Fund 1IIFIG Secured Multi-Asset Credit Fund 3IIFIG Secured
Multi-Asset Credit Fund 4IIFIG Secured Multi-Asset Credit Fund
5IIFIG Secured Multi-Asset Credit Fund 6IIFIG Secured Multi-Asset
Credit Fund 7IIFIG Secured Multi-Asset Credit Fund 8IIFIG Secured
Multi-Asset Credit Fund 9IIFIG Secured Multi-Asset Credit Fund 10
(launched 4 March 2019)IIFIG Long Dated Buy and Maintain Bond
FundIIFIG Maturing Buy and Maintain Bond Funds 2017-2020IIFIG
Maturing Buy and Maintain Bond Funds 2021-2025IIFIG Maturing Buy
and Maintain Bond Funds 2026-2030IIFIG Maturing Buy and Maintain
Bond Funds 2031-2035IIFIG Maturing Buy and Maintain Bond Funds
2036-2040IIFIG Maturing Buy and Maintain Bond Funds 2041-2045LDI
GBP Liquidity Plus Holding FundIIFIG Global ABS FundIIFIG UIV
Global ABS Fund
The following Funds were launched during the financial year
ended 31 December 2019:
Fund Launches DateLDI Active 36 Fund Launched 28.01.2019WTW
Fiduciary Leveraged Allocation Fund 1 Launched 21.02.2019LDI Active
51 Fund Launched 27.03.2019HRMSL Asymmetric Nominal Fund Launched
04.07.2019HRMSL Asymmetric Real Fund Launched 04.07.2019WTW
Fiduciary Leveraged Long Real FX Hedging Fund Launched
31.07.2019LDI Active 54 Fund Launched 28.08.2019LDI Active 55 Fund
Launched 28.08.2019LDI Active 60 Fund Launched 11.09.2019LDI Active
59 Fund Launched 19.09.2019LDI EUR Active 38 Fund Launched
14.10.2019LDI Active 76 Fund Launched 14.10.2019LDI Active 53 Fund
Launched 17.10.2019LDI Active 42 Fund Launched 21.10.2019
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LDI Solutions Plus ICAV
Report of the Directors (Continued)
5
Additionally, the following Funds were authorised by the Central
Bank during the financial year but as at 31 December 2019 had not
launched:
Fund Authorisations
WTW Fiduciary Funded Short Real FundLDI Solutions Plus Nominal
Funds 2021-2030, 2031-2040, 2041-2050, 2051-2060, 2061-2070LDI
Solutions Plus RPI Funds 2021-2030, 2031-2040, 2041-2050,
2051-2060, 2061-2070LDI Active Funds 61-75 and 77-82LDI Solutions
Plus Partially Funded Gilts Fund 2061+LDI Solutions Plus Partially
Funded Index-Linked Gilts Fund 2061+Insight Longer Real De-Risking
FundInsight Longer Nominal De-Risking FundInsight Shorter Nominal
De-Risking FundInsight Shorter Real De-Risking Fund Fund
Closures
LDI Active 11 Fund and LDI Active 12 Fund fully redeemed on 12
December 2017, LDI Active 30 Fund and LDI Active 31 Fund fully
redeemed on 15 November 2017. The Funds are in the process of
revocation as at 31 December 2019.
IIFIG Secured Multi-Asset Credit Fund 2 fully redeemed on the 14
August 2019, LDI Active 14 Fund fully redeemed on 30 September 2019
and LDI Solutions Plus RPI Funds 2061-2065 fully redeemed on 22
October 2019. The Funds are in the process of revocation as at 31
December 2019.
LDI Solutions Inflation Focus Funds 2051-2060, IIFSG Fund 3 and
IIFSG Fund 4 are currently dormant.
On 1 April 2019, the Fixed Operating Expense rates for the Funds
listed below were reduced as shown:
● LDI Synthetic Global Equity Hedged Fund reduced from 0.09%
p.a. to 0.06% p.a. ● LDI Synthetic Global Equity Unhedged Fund
reduced from 0.09% p.a. to 0.06% p.a.
In accordance with section 89(4) of the ICAV Act, the Directors
of the ICAV elected at the Board meeting held on 24 April 2019 to
dispense with the holding of an AGM.
Subsequent Events
COVID-19 Developments
Since the start of January 2020, global financial markets have
been monitoring and reacting to a novel coronavirus known as
COVID-19. Global financial markets have reacted sharply, with
concerns regarding the economic impact this may have on a global
scale. The eventual impact on the global economy and markets will
largely depend upon the scale and the duration of the outbreak. The
ICAV will continue to monitor the situation closely.
Fund Launches and Closures
LDI Active 49 Fund launched on 13 January 2020.
LDI Active 27 Fund closed on 22 January 2020.
LDI Solutions Plus Nominal Funds 2016-2020, LDI Solutions Plus
RPI Funds 2016-2020 and LDI Solutions Plus Inflation Focus Funds
2018-2020 closed on 28 February 2020.
LDI Active 54 Fund launched Class B Income Shares on 2 March
2020.
LDI Active 55 Fund launched Class B Income Shares on 2 March
2020.
LDI Solutions Plus Nominal Funds 2026-2030 and LDI Solutions
Plus Nominal Funds 2061-2065 closed on 5 March 2020.
WTW Fiduciary Funded Short Real Fund launched on 9 March
2020.
Events During the Financial Year (Continued)
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LDI Solutions Plus ICAV
Report of the Directors (Continued)
6
LDI Active 56 Fund launched on 11 March 2020.
LDI Active 48 Fund launched on 17 March 2020.
LDI Solutions Plus RPI Funds 2026-2030, LDI Solutions Plus RPI
Funds 2031-2035, LDI Solutions Plus RPI Funds 2036-2040, LDI
Solutions Plus RPI Funds 2041-2045, LDI Solutions Plus RPI Funds
2046-2050, LDI Solutions Plus RPI Funds 2051-2055 and LDI Solutions
Plus RPI Funds 2056-2060 closed on 18 March 2020.
LDI Solutions Plus RPI Funds 2021-2025, LDI Solutions Plus
Nominal Funds 2021-2025, LDI Solutions Plus Nominal Funds
2031-2035, LDI Solutions Plus Nominal Funds 2036-2040, LDI
Solutions Plus Nominal Funds 2041-2045, LDI Solutions Plus Nominal
Funds 2046-2050, LDI Solutions Plus Nominal Funds 2051-2055 and LDI
Solutions Plus Nominal Funds 2056-2060 are expected to close during
2020.
There have been no other subsequent events since the financial
year end.
Statement on relevant audit information
In accordance with the ICAV Act each of the persons who are
Directors at the time the report is approved confirm the
following:
● So far as the Director is aware, there is no relevant audit
information of which the ICAV’s statutory auditors are unaware,
and
● The Director has taken all the steps that he or she ought to
have taken as a Director in order to make himself or herself aware
of any relevant audit information and to establish that the ICAV’s
statutory auditors are aware of that information.
Statement of Directors' Responsibilities
The Directors are responsible for preparing the Report of the
Directors and Financial Statements, in accordance with applicable
law and regulations.
The ICAV Act requires the Directors to prepare Financial
Statements for each financial year. Under that law they have
elected to prepare the Financial Statements in accordance with FRS
102 “The Financial Reporting Standard applicable in the UK and
Republic of Ireland”.
The Financial Statements are required to give a true and fair
view of the assets, liabilities and financial position of the Funds
at the end of the financial year and of the increase/(decrease) in
net assets attributable to holders of redeemable participating
shares in the Funds for the financial year.
In preparing these Financial Statements, the Directors are
required to:
● select suitable accounting and then apply them consistently; ●
make judgements and estimates that are reasonable and prudent; ●
state whether applicable Accounting Standards have been followed,
subject to any material departures
disclosed and explained in the Financial Statements; ● assess
the Funds’ abilities to continue as going concerns, disclosing, as
applicable, matters related to going
concern; and ● use the going concern basis of accounting for all
Funds unless they either intend to liquidate a Sub-Fund or to
cease operations, or have no realistic alternative but to do
so.
Subsequent Events (Continued)
Fund Launches and Closures (Continued)
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LDI Solutions Plus ICAV
Report of the Directors (Continued)
7
The Directors are responsible for keeping adequate accounting
records which disclose with reasonable accuracy at any time the
assets, liabilities, financial position and change in net assets
attributable to holders of redeemable participating shares in the
Funds and enable them to ensure that the Financial Statements
comply with the ICAV Act. They have general responsibility for
taking such steps as are reasonably open to them to safeguard the
assets of the Funds. In this regard they have entrusted the assets
of the Funds to a depositary for safe-keeping. They are responsible
for such internal controls as they determine is necessary to enable
the preparation of Financial Statements that are free from material
misstatement, whether due to fraud or error, and to prevent and
detect fraud and other irregularities. The Directors are also
responsible for preparing a Directors’ Report that complies with
the requirements of the ICAV Act.
Independent Auditors
The auditors, KPMG, Chartered Accountants, have indicated their
willingness to continue in office in accordance with section 125 of
the ICAV Act.
Corporate Governance Code
Irish Funds, the association for the funds industry in Ireland,
has published a corporate governance code (the “Code”) that may be
adopted on a voluntary basis by Irish authorised collective
investment schemes. The Board of Directors has adopted the Code,
and the ICAV was in compliance with all elements of the Code during
the financial year.
On behalf of the Board
Michael Boyce John Fitzpatrick21 April 2020
Statement of Directors' Responsibilities (Continued)
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LDI Solutions Plus ICAV
Investment Manager’s Report (Unaudited)Financial year ended 31
December 2019
8
LDI Solutions Plus ICAV contains a range of pooled funds created
to help UK defined benefit pension schemes manage their interest
and inflation risks effectively and with a high level of precision.
There were initially three core ranges of swap-based funds, each
designed to replicate one of three types of pension liability that
schemes may be required to pay.
Nominal: The Nominal range consists of 10 funds that generate
annual cash flows for each consecutive five-year period between
2015 and 2065. This range of funds can be used to match pension
liabilities that are fixed monetary amounts or to extend the
duration of an existing fixed income portfolio.
RPI: The RPI range consists of 9 funds that generate annual cash
flows that are designed to increase in line with the Retail Price
Index (RPI) for each consecutive five-year period between 2015 and
2065. The LDI Solutions Plus RPI Funds 2061-2065 Fund closed during
the financial period. This range of funds can be used to match
pension liabilities linked to RPI or to extend the duration of an
existing fixed income portfolio.
LPI: The LPI range consists of 10 funds that generate annual
cash flows that are designed to increase in line with Limited Price
Indexation (LPI) for each consecutive five-year period from 2010 to
2060. This range of funds can be used to match pension liabilities
linked to LPI, where the increase each year is subject to a cap of
5% per annum and a floor of zero. As at 31 December 2019 none of
the funds in this range had been seeded.
The above funds share the same simple structure. Each fund has
an exposure to cash investments together with swaps which provide
five annual consecutive payments.
In late 2010, the ICAV launched two additional ranges: a suite
of inflation-only swap-based funds called the Inflation Focus
Funds, and a range of gilts funds.
Inflation Focus Funds: These allow clients to hedge inflation
separately to nominal rates when building up their LDI mandates.
The Inflation Focus Funds have been developed as five individual
funds, each offering a bullet maturity in 2020, 2030, 2040, 2050
and 2060 respectively.
Gilts Funds: These originally consisted of one conventional fund
targeting 15-year duration and three index-linked funds targeting
10, 20 and 30-year duration. In March 2013, we changed this range
of funds to target specific maturities. There are now four
conventional funds and four index-linked funds targeting the
following maturity bands: 2021-2030, 2031-2040, 2041-2050, and
2051-2065, which are available on a partially-funded and
fully-funded basis (not all the funds have been seeded). These
funds can be used to match pension liabilities that are fixed or
linked to RPI, to extend the duration of an existing bond
portfolio, or to provide hedge exposure in a more capital efficient
manner.
In 2013, the ICAV launched the Enhanced Selection Funds range.
The range offers a liability hedge within single pooled fund
structures.
Enhanced Selection Funds: The objective of these funds is to
provide nominal, real and inflation-linked returns reflecting a
typical liability profile with dynamic instrument selection between
primarily gilts and swaps on a partially funded basis. In 2015, we
split the pre-existing LDI Enhanced Selection Nominal and LDI
Enhanced Selection Real Funds to provide shorter duration and
longer duration versions. The changes aimed to provide a more
precise hedge and improve the ability to customise exposures.
Euro Enhanced Funds: The investment objective of the Euro
Enhanced Nominal Fund is to deliver nominal returns, of the Euro
Enhanced Real Fund is to deliver inflation-linked and nominal
returns and of the Euro Enhanced Inflation Fund is to deliver
inflation-linked returns. As at 31 December 2019, only the Real
Fund and Nominal Fund had been launched.
Also included in the LDI Solutions Plus ICAV fund range are the
LDI Active Funds, the Euro Funds, the KFM Funds, the HRMSL Funds
and the WTW Fiduciary Leveraged Funds.
LDI Active Funds: Each Fund is designed to provide nominal
and/or inflation-linked returns for specific pension fund liability
profiles.
Euro Funds: Insight Investment Funds Management Limited (the
Investment Manager) manages these funds on behalf of Kempen Capital
Management. The Euro 20 Year, Euro 30 Year and Euro 50 Year Swap
Funds launched in June 2011; the Euro Assets Fund launched in
December 2012; and the Allocation Fund launched in March 2013. The
investment objective of each Fund is to deliver nominal and/or
inflation-linked returns.
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LDI Solutions Plus ICAV
Investment Manager’s Report (Unaudited) (Continued)Financial
year ended 31 December 2019
9
KFM Funds: The Investment Manager manages these funds on behalf
of Kempen Capital Management. These funds launched in June 2016.
The Funds are designed to be used by investors seeking to reduce
investment risk relating directly to the investors’ financial
solvency, and who will use any return to provide retirement
benefits.
HRMSL Funds: The Investment Manager manages these funds for Aon
Hewitt. These funds launched in March 2017 and July 2019. The Funds
are designed to be used by investors seeking to reduce investment
risk relating directly to the investors’ financial solvency, and
who will use any return to provide retirement benefits.
WTW Fiduciary Leveraged Funds: Investment Manager will manage
these funds for Willis Towers Watson. The Funds are designed to be
used by investors seeking to reduce investment risk relating
directly to the investors’ financial solvency, and who will use any
return to provide retirement benefits.
Market Review
Risk assets rebounded over the year. Equity markets were unfazed
by the weaker growth outlook and earnings pressure, and recorded
strong gains over the year. The major indices broke to new all-time
highs. Credit also performed well, although spreads at the very
lower end of the rating spectrum widened in some markets.
A key focus for the market were trade tensions. The dispute
between the US and China escalated through the year with periodic
rounds of tariffs and counter-tariffs being applied to trade
between the two countries. The US also increased tariffs on Europe,
with the World Trade Organization allowing an increase in tariffs
on $7.5bn of goods in retaliation for illegal subsidies provided to
Airbus. The US also appears likely to retaliate to a 3% tax imposed
on technology companies in France. In Asia, relations between Japan
and South Korea deteriorated, with trade restrictions imposed by
both countries. The result of these disputes was a sharp slowdown
in global trade, and this was a key factor in the slowdown in
global growth.
The decline in long-term yields was an international phenomenon.
In Europe, the persistent weakness of European growth forced the
European Central Bank (ECB) to announce it would restart its
quantitative easing programme with purchases of €20bn ($22bn) per
month from November. In the US, the Federal Reserve Open Markets
Committee cut interest rates on three occasions over the year,
stressing the risks to the economy stemming from the global
slowdown. With US yields falling and 10-year German bond yields
moving deep into negative territory, investors dashed for yield
across the world.
Investment Review
All Nominal Funds recorded positive returns over the year, with
only one Fund underperforming its benchmark. The RPI Funds’
performance was varied, with the majority recording positive
returns; however, four Funds underperformed their benchmarks.
The Inflation Focus Funds generated negative performance over
the year, but outperformed their benchmarks. Performance for the
Partially Funded Gilts Funds and the Fully Funded Gilts Funds was
mixed; while the Partially Funded Gilts Funds were ahead of
benchmark, the majority of Fully Funded Gilts Funds underperformed
benchmark.
Performance for the Enhanced Selection Funds was mixed. All of
the Funds outperformed relative to their swaps over the calendar
year. Meanwhile, the majority of Funds underperformed relative to
their gilt comparators.
Both the Euro Enhanced Real Fund and the Euro Enhanced Nominal
Fund generated a positive return and outperformed their
benchmarks.
Performance of the LDI Active Funds varied, as did the
performance of the KFM GBP Funds, HRMSL Funds and WTW Fiduciary
Leveraged Funds. The absolute and relative performance of each Fund
depends on multiple factors including the specific assets in the
Fund, the composition of the bespoke benchmark, and the level of
discretion provided to the portfolio managers.
We continue to look for opportunities to improve the efficiency
of our pooled fund offering while at all times ensuring that the
funds continue to effectively hedge schemes’ liabilities.
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LDI Solutions Plus ICAV
Investment Manager’s Report (Unaudited) (Continued)Financial
year ended 31 December 2019
10
Performance: LDI Solutions Plus Nominal Funds
One year (%) Since inception (% p.a.)*Nominal (2016-2020) 2.00
12.88Benchmark** 0.90 12.63Nominal (2021-2025) 10.79
17.26Benchmark** 10.64 16.63Nominal (2026-2030) 20.83
18.73Benchmark** 20.95 18.07Nominal (2031-2035) 23.56
19.01Benchmark** 23.33 18.35Nominal (2036-2040) 23.92
18.79Benchmark** 22.78 17.94Nominal (2041-2045) 22.77
18.44Benchmark** 22.34 17.42Nominal (2046-2050) 31.51
19.89Benchmark** 31.08 19.02Nominal (2051-2055) 30.65
19.88Benchmark** 30.48 19.09Nominal (2056-2060) 33.23
24.43Benchmark** 32.88 23.65Nominal (2061-2065) 45.86
13.76Benchmark** 45.15 12.86
Source: Investment Manager at 31 December 2019. *Since inception
on 9 June 2006 for all funds except 2056-2060 Fund (5 February
2010) and 2061-2065 Fund (5 February 2015). **Imputed benchmark
performance that reflects manager-calculated relative returns.
Manager-calculated returns use internal house valuation curves
(ensuring comparability of fund and benchmark performance),
adjusted for distortions caused by material inflows/outflows
(ensuring consistency with the dual-pricing mechanism reflected in
the pooled fund performance) and are not independently
verified.
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LDI Solutions Plus ICAV
Investment Manager’s Report (Unaudited) (Continued)Financial
year ended 31 December 2019
11
Performance: LDI Solutions Plus RPI Funds
One year (%) Since inception (% p.a.)*RPI (2016-2020) -2.56
14.42Benchmark** -3.30 13.57RPI (2021-2025) -3.12 19.53Benchmark**
-3.42 17.38RPI (2026-2030) 6.26 21.76Benchmark** 6.30 19.54RPI
(2031-2035) 8.56 22.73Benchmark** 8.71 20.23RPI (2036-2040) 8.40
21.45Benchmark** 7.98 20.34RPI (2041-2045) 7.84 21.37Benchmark**
7.64 20.14RPI (2046-2050) 7.60 21.42Benchmark** 7.81 20.23RPI
(2051-2055) 6.30 21.13Benchmark** 6.58 20.25RPI (2056-2060) 6.46
19.73Benchmark** 6.10 18.81
Source: Investment Manager at 31 December 2019. *Since inception
on 9 June 2006 for all funds except 2056-2060 fund (5 February
2010) and 2061-2065 fund (5 February 2015). **Imputed benchmark
performance that reflects manager-calculated relative returns.
Manager-calculated returns use internal house valuation curves
(ensuring comparability of fund and benchmark performance),
adjusted for distortions caused by material inflows/outflows
(ensuring consistency with the dual-pricing mechanism reflected in
the pooled fund performance) and are not independently
verified.
Performance: LDI Solutions Plus Inflation Focus Funds
One year (%) Since inception (% p.a.)*Inflation Focus Funds
2018-2020 -4.62 -6.43Benchmark** -4.73 -7.62Inflation Focus Funds
2021-2030 -10.26 -1.73Benchmark** -10.58 -1.81Inflation Focus Funds
2031-2040 -12.62 -7.45Benchmark** -13.00 -7.67Inflation Focus Funds
2051-2060*** N/A N/ABenchmark** N/A N/A
Source: Investment Manager at 31 December 2019. *Since inception
on 7 September 2011 (2040 fund), 7 June 2012 (2030 fund), 29 June
2012 (2060 fund) and 9 September 2013 (2020 fund). **Benchmark
returns have been set to equal the fund return for all periods up
to and including 30 September 2013. Returns are annualised for
periods greater than one year. ***Fund is dormant since 17 July
2017.
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LDI Solutions Plus ICAV
Investment Manager’s Report (Unaudited) (Continued)Financial
year ended 31 December 2019
12
Performance: LDI Solutions Plus Partially Funded Gilts and
Partially Funded Index-Linked Gilts Funds
One year (%) Since inception (% p.a.)Partially Funded Gilts
(2021-2030)*** 20.85 21.16Benchmark 20.20 20.64Partially Funded
Gilts (2031-2040)* 41.36 27.47Benchmark 41.07 27.41Partially Funded
Gilts (2041-2050)** 47.83 23.21Benchmark 47.81 23.24Partially
Funded Gilts (2051-2065)** 52.41 25.60Benchmark 52.40
25.70Partially Funded Index-Linked Gilts (2021-2030)* 0.86
25.48Benchmark 0.62 25.10Partially Funded Index-Linked Gilts
(2031-2040)* 16.72 28.79Benchmark 16.72 28.70Partially Funded
Index-Linked Gilts (2041-2050)* 21.62 26.87Benchmark 21.67
26.74Partially Funded Index-Linked Gilts (2051-2065)** 22.45
22.96Benchmark 22.55 22.78
Source: Investment Manager at 31 December 2019. *Since inception
on 15 December 2010. **Since inception on 22 March 2013. ***Since
inception on 7 October 2014. Returns for periods greater than one
year are annualised. Benchmark to 15 March 2013: 2/3 weight to
target duration barbell of the two closest bonds to target duration
and 1/3 weight to target duration barbell of the two surrounding
bonds, on a partially funded basis. Benchmark from 15 March 2013:
bonds as at 15 March 2013 providing equal nominal or real cash
flows at maturity (as applicable), on a partially funded basis.
Performance: LDI Solutions Plus Funded and Index-Linked Gilts
Funds
One year (%) Since inception (% p.a.)Funded Gilts Funds
(2031-2040)* 8.67 7.00Benchmark 8.81 7.09Funded Gilts Funds
(2041-2050)** 11.24 6.29Benchmark 11.46 6.46Funded Gilts Funds
(2051-2065)*** 14.53 9.76Benchmark 14.81 9.95Funded Index-Linked
Gilts Funds (2021-2030)**** 2.12 4.21Benchmark 2.13 4.30Funded
Index-Linked Gilts Funds (2031-2040)**** 5.94 7.80Benchmark 6.02
7.92Funded Index-Linked Gilts Funds (2041-2050)**** 7.97
10.36Benchmark 8.06 10.46Funded Index-Linked Gilts Funds
(2051-2065)***** 9.84 11.40Benchmark 9.94 11.30
Source: Investment Manager at 31 December 2019. *Since inception
on 22 September 2014. **Since inception on 22 November 2017.
***Since inception on 25 June 2015. ****Since inception on 30 May
2014. *****Since inception on 27 August 2014. Returns for periods
greater than one year are annualised.
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LDI Solutions Plus ICAV
Investment Manager’s Report (Unaudited) (Continued)Financial
year ended 31 December 2019
13
Performance: LDI Enhanced Selection Funds
One year (%) Since inception (% p.a.)Enhanced Selection Longer
Real Fund* 15.01 22.02Gilt comparator 20.19 21.30Swap comparator
3.06 16.63Enhanced Selection Shorter Real Fund** 6.49 20.68Gilt
comparator 7.64 20.29Swap comparator -5.56 13.35Enhanced Selection
Inflation Fund*** -12.15 -14.96Gilt comparator -11.18 -16.36Swap
comparator -19.40 -16.33Enhanced Selection Longer Nominal Fund****
51.18 30.44Gilt comparator 53.11 30.27Swap comparator 39.96
24.95Enhanced Selection Shorter Nominal Fund** 34.01 18.46Gilt
comparator 32.31 17.42Swap comparator 23.04 12.72
Source: Investment Manager at 31 December 2019. Fund returns are
based on published share prices and are therefore levered returns.
Comparators are also provided on a levered basis. *Inception date:
14 February 2013. **Inception date: 11 March 2015. ***Inception
date: 15 March 2013. ****Inception date: 1 September 2013.
Performance: Euro Enhanced Real Fund
One year (%) Since inception (% p.a.)Euro Enhanced Real Fund*
51.34 16.36Benchmark 49.85 15.46Euro Enhanced Nominal Fund** 60.45
11.85Benchmark 58.76 10.89
Source: Investment Manager at 31 December 2019. *Inception date:
16 October 2014. **Inception date: 22 March 2016.
Performance: LDI Active Funds
LDI Active 1 Fund
Objective
The objective of the Fund is to reflect the change in value of
deferred annuities over variable maturity periods.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The Fund may take both long and short positions.
Performance
The Fund returned 37.73% over the 12 months to the end of
December.
-
LDI Solutions Plus ICAV
Investment Manager’s Report (Unaudited) (Continued)Financial
year ended 31 December 2019
14
LDI Active 2 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 17.33% over the 12 months to the end of
December.
LDI Active 3 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 15.89% over the 12 months to the end of
December.
LDI Active 4 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 16.48% over the 12 months to the end of
December.
Performance: LDI Active Funds (Continued)
-
LDI Solutions Plus ICAV
Investment Manager’s Report (Unaudited) (Continued)Financial
year ended 31 December 2019
15
LDI Active 5 Fund
Objective
The initial investment objective of the Fund is to provide a
return based on a number of financial equity indices. In the longer
term, the Fund will aim to achieve interest rate and inflation
protection in addition to the equity-based returns.
The Fund will seek to achieve its initial investment objective
by gaining exposure to financial equity indices through the use of
derivative instruments as set out in the Supplement. The interest
rate and inflation protection will be achieved through the purchase
of bonds and the transaction of interest rate and inflation rate
swaps.
Whilst the Fund’s base currency is sterling, it may invest in
non-sterling denominated assets which may not necessarily be hedged
back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets.
The Fund may take both long and short positions.
Performance
The Fund returned 15.98% over the 12 months to the end of
December.
LDI Active 6, 7 & 8 Funds
Objective
The investment objective of the Funds is to deliver nominal and
inflation-linked returns.
The Funds will seek to achieve their investment objective by
investing in the instruments and securities set out in the
Supplement. Whilst the Funds’ base currency is sterling, they may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Funds may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Funds may take both long and short positions.
Performance
LDI Active 6 Fund returned 12.82% over the 12 months to the end
of December.
LDI Active 7 Fund returned 6.66% over the 12 months to the end
of December.
LDI Active 8 Fund returned 10.29% over the 12 months to the end
of December.
LDI Active 9 & 10 Funds
Objective
The investment objective of the Funds is to deliver nominal and
inflation-linked returns.
The Funds will seek to achieve their investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Funds’ base currency is sterling, they may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Funds may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Funds may take both long and short positions.
Performance
LDI Active 9 Fund returned 7.50% over the 12 months to the end
of December.
LDI Active 10 Fund returned 6.41% over the 12 months to the end
of December.
Performance: LDI Active Funds (Continued)
-
LDI Solutions Plus ICAV
Investment Manager’s Report (Unaudited) (Continued)Financial
year ended 31 December 2019
16
LDI Active 14 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund fully redeemed on 30 September 2019.
LDI Active 16 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned -4.93% over the 12 months to the end of
December.
LDI Active 18 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 11.53% over the 12 months to the end of
December.
Performance: LDI Active Funds (Continued)
-
LDI Solutions Plus ICAV
Investment Manager’s Report (Unaudited) (Continued)Financial
year ended 31 December 2019
17
LDI Active 19 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 35.16% over the 12 months to the end of
December.
LDI Active 21 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 8.58% over the 12 months to the end of
December.
LDI Active 22 Fund
Objective
The initial investment objective of the Fund is to provide a
return based on a number of financial equity indices. In the longer
term, the Fund will aim to achieve interest rate and inflation
protection in addition to the equity-based returns.
The Fund will seek to achieve its initial investment objective
by gaining exposure to financial equity indices through the use of
derivative instruments as set out in the Supplement. The interest
rate and inflation protection will be achieved through the purchase
of bonds and the transaction of interest rate and inflation rate
swaps.
Performance
The Fund returned 20.08% over the 12 months to the end of
December.
Performance: LDI Active Funds (Continued)
-
LDI Solutions Plus ICAV
Investment Manager’s Report (Unaudited) (Continued)Financial
year ended 31 December 2019
18
LDI Active 25 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 33.98% over the 12 months to the end of
December.
LDI Active 27 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 26.15% over the 12 months to the end of
December.
LDI Active 28 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 13.05% over the 12 months to the end of
December.
Performance: LDI Active Funds (Continued)
-
LDI Solutions Plus ICAV
Investment Manager’s Report (Unaudited) (Continued)Financial
year ended 31 December 2019
19
LDI Active 29 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 12.06% over the 12 months to the end of
December.
LDI Active 33 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 8.37% over the 12 months to the end of
December.
LDI Active 34 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 14.48% over the 12 months to the end of
December.
Performance: LDI Active Funds (Continued)
-
LDI Solutions Plus ICAV
Investment Manager’s Report (Unaudited) (Continued)Financial
year ended 31 December 2019
20
LDI Active 36 Fund (launched 28 January 2019)
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 5.42% since launch to the end of December.
LDI Active 37 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 23.43% over the 12 months to the end of
December.
LDI Euro Active 38 Fund (launched 14 October 2019)
Objective
The investment objective of the Fund is to deliver a return
which offers Shareholders the ability to manage their pension
scheme risk profile.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement, including but not limited to, debt securities,
derivatives and sale and repurchase agreements. Whilst the Fund’s
base currency is euro, it may invest in non-euro denominated assets
which may not necessarily be hedged back into euro.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 5.08% since launch to the end of December.
Performance: LDI Active Funds (Continued)
-
LDI Solutions Plus ICAV
Investment Manager’s Report (Unaudited) (Continued)Financial
year ended 31 December 2019
21
LDI Euro Active 39 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is euro, it may invest
in non-euro denominated assets which may not necessarily be hedged
back into euro.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 12.18% over the 12 months to the end of
December.
LDI Euro Active 40 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is euro, it may invest
in non-euro denominated assets which may not necessarily be hedged
back into euro.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 7.16% over the 12 months to the end of
December.
LDI Active 41 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 14.96% over the 12 months to the end of
December.
Performance: LDI Active Funds (Continued)
-
LDI Solutions Plus ICAV
Investment Manager’s Report (Unaudited) (Continued)Financial
year ended 31 December 2019
22
LDI Active 42 Fund (launched 21 October 2019)
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned -4.66% since launch to the end of
December.
LDI Active 43 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 12.43% over the 12 months to the end of
December.
LDI Active 44 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 17.33% over the 12 months to the end of
December.
Performance: LDI Active Funds (Continued)
-
LDI Solutions Plus ICAV
Investment Manager’s Report (Unaudited) (Continued)Financial
year ended 31 December 2019
23
LDI Active 45 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 16.21% over the 12 months to the end of
December.
LDI Active 46 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 6.41% over the 12 months to the end of
December.
LDI Active 47 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 23.80% over the 12 months to the end of
December.
Performance: LDI Active Funds (Continued)
-
LDI Solutions Plus ICAV
Investment Manager’s Report (Unaudited) (Continued)Financial
year ended 31 December 2019
24
LDI Active 50 Fund
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement. Whilst the Fund’s base currency is sterling, it may
invest in non-sterling denominated assets which may not necessarily
be hedged back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned 21.99% over the 12 months to the end of
December.
LDI Active 51 Fund (launched 27 March 2019)
Objective
The investment objective of the Fund is to hedge against
Shareholders’ underlying exposures as may be communicated to the
Sub-Investment Manager from time to time.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement, including but not limited to put and call options.
Whilst the Fund’s base currency is sterling, it may invest in
non-sterling denominated assets which may not necessarily be hedged
back into sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned -34.47% since launch to the end of
December.
LDI Active 53 Fund (launched 17 October 2019)
Objective
The investment objective of the Fund is to deliver a return
which offers Shareholders the ability to manage their pension
scheme risk profile.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement, including but not limited to, debt securities,
derivatives and sale and repurchase agreements. Whilst the Fund’s
base currency is sterling, it may invest in non-sterling
denominated assets which may not necessarily be hedged back into
sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned -7.36% since launch to the end of
December.
Performance: LDI Active Funds (Continued)
-
LDI Solutions Plus ICAV
Investment Manager’s Report (Unaudited) (Continued)Financial
year ended 31 December 2019
25
LDI Active 54 Fund (launched 28 August 2019)
Objective
The investment objective of the Fund is to deliver returns
linked to, amongst other factors, nominal rates, real rates and
financial market movements in order to hedge a portion of the
liabilities of Shareholders against changes in interest rate and
inflation expectations.
The Fund will seek to achieve its investment objective by
investing in, without limitation, the instruments and securities as
set out in the Supplement, including but not limited to sale and
repurchase agreements, UK government gilts and swaps. Whilst the
Fund’s base currency is sterling, it may invest in non-sterling
denominated assets which may not necessarily be hedged back into
sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned -12.32% since launch to the end of
December.
LDI Active 55 Fund (launched 28 August 2019)
Objective
The investment objective of the Fund is to deliver returns
linked to, amongst other factors, nominal rates, real rates and
financial market movements in order to hedge a portion of the
liabilities of Shareholders against changes in interest rate and
inflation expectations.
The Fund will seek to achieve its investment objective by
investing in, without limitation, the instruments and securities as
set out in the Supplement, including but not limited to sale and
repurchase agreements, UK government gilts and swaps. Whilst the
Fund’s base currency is sterling, it may invest in non-sterling
denominated assets which may not necessarily be hedged back into
sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned -17.37% since launch to the end of
December.
LDI Active 59 Fund (launched 19 September 2019)
Objective
The investment objective of the Fund is to deliver nominal and
inflation-linked returns.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement, including but not limited to, UK government gilts,
derivatives and sale and repurchase agreements. Whilst the Fund’s
base currency is sterling, it may invest in non-sterling
denominated assets which may not necessarily be hedged back into
sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned -12.88% since launch to the end of
December.
Performance: LDI Active Funds (Continued)
-
LDI Solutions Plus ICAV
Investment Manager’s Report (Unaudited) (Continued)Financial
year ended 31 December 2019
26
LDI Active 60 Fund (launched 11 September 2019)
Objective
The investment objective of the Fund is to deliver a return
which offers Shareholders the ability to manage their pension
scheme risk profile.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement, including but not limited to, debt securities,
derivatives and sale and repurchase agreements. Whilst the Fund’s
base currency is sterling, it may invest in non-sterling
denominated assets which may not necessarily be hedged back into
sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned -18.43% since launch to the end of
December.
LDI Active 76 Fund (launched 14 October 2019)
Objective
The investment objective of the Fund is to deliver a return
which offers Shareholders the ability to manage their pension
scheme risk profile.
The Fund will seek to achieve its investment objective by
investing in the instruments and securities as set out in the
Supplement, including but not limited to, debt securities,
derivatives and sale and repurchase agreements. Whilst the Fund’s
base currency is sterling, it may invest in non-sterling
denominated assets which may not necessarily be hedged back into
sterling.
The investments of the Fund may or may not be listed on
recognised exchanges and markets and will be without restriction as
to geographical, industrial or sectoral exposure.
The Fund may take both long and short positions.
Performance
The Fund returned -13.39% since launch to the end of
December.
Performance: Euro Funds
One year (%) Since inception (% p.a.)Euro 20 Year Fund* 16.01
8.55Benchmark return 16.09 7.82Euro 30 Year Fund* 25.52
11.16Benchmark return 25.45 10.03Allocation Fund** -0.60
1.59Benchmark return N/A N/AEuro 50 Year Swap Fund*** 48.72
13.12Benchmark return 47.48 13.22Euro Assets Fund**** 16.26
7.05Benchmark return 16.09 6.22
Source: Investment Manager at 31 December 2019. Returns are
gross of fees. Benchmark: Liability Benchmark. *Inception date for
performance purposes: 14 September 2011. **Inception date for
performance purposes: 30 June 2011. ***Inception date for
performance purposes: 31 January 2012. ****Inception date for
performance purposes: 17 December 2012.
Performance: LDI Active Funds (Continued)
-
LDI Solutions Plus ICAV
Investment Manager’s Report (Unaudited) (Continued)Financial
year ended 31 December 2019
27
Performance: KFM Funds
One year (%) Since inception (% p.a.)KFM GBP Short Nominal Fund*
6.63 3.42Benchmark return 6.40 3.33KFM GBP Long Nominal Fund* 11.20
6.20Benchmark return 11.40 6.39KFM GBP Short Real Fund* 3.36
4.08Benchmark return 3.39 4.22KFM GBP Long Real Fund* 7.39
7.81Benchmark return 7.39 7.86
Source: Investment Manager at 31 December 2019. Returns are
gross of fees. Benchmark: Liability Benchmark. *Inception date for
performance purposes: 8 June 2016.
Performance: HRMSL Funds
One year (%) Since inception (% p.a.)HRMSL Longer Real Fund*
7.76 3.11Benchmark return 7.93 3.12HRMSL Longer Nominal Fund* 16.17
6.68Benchmark return 16.36 6.87HRMSL Asymmetric Nominal Fund** N/A
-1.84Benchmark return N/A 1.16HRMSL Asymmetric Real Fund** N/A
-7.66Benchmark return N/A -4.31
Source: Investment Manager at 31 December 2019. Returns are
gross of fees. Benchmark: Liability Benchmark. *Inception date for
performance purposes: 13 March 2017. **Inception date for
performance purposes: 4 July 2019.
LDI Synthetic Global Equity Hedged Fund
The investment objective of the Fund is to provide exposure to
the global equity market hedged to Sterling.
One year (%) Since inception (% p.a.)Synthetic Equity (Hedged)
Fund* 76.01 24.08Comparator leverage 75.08 23.48Relative 0.93
0.60
Source: Investment Manager, Bloomberg, Northern Trust. Data as
at 31 December 2019. Comparator used is the MSCI World Index.
Performance is gross of fees. *Inception date for performance
purposes: 21 August 2017. To allow for meaningful comparison with
the official NAV returns, the following performance calculation
adjustments have been made to the reference index: The reference
index is scaled to reflect a like-for-like exposure of the
portfolio by combining the returns of the reference index with the
returns on a hypothetical cash account. The value of the
hypothetical cash account is calculated by the reference index
exposure minus the official NAV of the fund. The account
appreciates at the periodic LIBOR Fixing Rate and Pay Spread at
each Pay Leg reset date.
-
LDI Solutions Plus ICAV
Investment Manager’s Report (Unaudited) (Continued)Financial
year ended 31 December 2019
28
LDI Synthetic Global Equity Unhedged Fund
The investment objective of the Fund is to provide exposure to
the global equity market unhedged to Sterling.
One year (%) Since inception (% p.a.)Synthetic Equity (Unhedged)
Fund* 59.02 29.15Comparator leverage 59.12 29.42Relative -0.10
-0.27
Source: Investment Manager, Bloomberg, Northern Trust. Data as
at 31 December 2019. Comparator used is the MSCI World Index.
Performance is gross of fees. *Inception date for performance
purposes: 30 April 2018. To allow for meaningful comparison with
the official NAV returns, the following performance calculation
adjustments have been made to the reference index: The reference
index is scaled to reflect a like-for-like exposure of the
portfolio by combining the returns of the reference index with the
returns on a hypothetical cash account. The value of the
hypothetical cash account is calculated by the reference index
exposure minus the official NAV of the fund. The account
appreciates at the periodic LIBOR Fixing Rate and Pay Spread at
each Pay Leg reset date.
WTW Fiduciary Leveraged Funds
The investment objective of the WTW Fiduciary Leveraged Funds is
to deliver nominal returns and/or inflation-linked returns. WTW
Fiduciary Leveraged Long Real FX Hedging Fund is also seeking to
manage US dollar foreign exchange risk in a collateral efficient
manner.
Performance
One year (%) Since inception (% p.a.)WTW Fiduciary Leveraged
Long Fixed Fund* 15.45 10.07Benchmark return 15.43 10.12WTW
Fiduciary Leveraged Short Real Fund* 5.04 4.68Benchmark return 4.97
4.59WTW Fiduciary Leveraged Long Real Fund* 8.22 5.32Benchmark
return 8.36 5.46WTW Fiduciary Leveraged Short Fixed Fund* 6.82
5.12Benchmark return 6.66 4.98WTW Fiduciary Leveraged Allocation
Fund 1** N/A 22.29Benchmark return N/A N/AWTW Fiduciary Leveraged
Long Real FX hedging Fund*** N/A -13.25Benchmark return N/A N/A
Source: Investment Manager at 31 December 2019. Returns are
gross of fees. Benchmark: Liability Benchmark. *Inception date for
performance purposes: 25 June 2018. **Inception date for
performance purposes: 21 February 2019. ***Inception date for
performance purposes: 31 July 2019.
-
LDI Solutions Plus ICAV
29
Key: The following notations are used in the Portfolio and
Schedule of Investments for each Fund on pages 29 to 244:
^ Cross investment holdings. ^^ Related party holdings. 1 Wholly
or partially held as collateral for repurchase agreements held by
the Fund.* These bonds are inflation linked.** Newly launched Fund
in 2019.
LDI Solutions Plus RPI Funds 2016-2020Portfolio and Schedule of
InvestmentsAs at 31 December 2019
Security DescriptionXXNominal Holdings XValue £
X% of Net Assets
XCollective investment schemes (2018: 28.22%) Insight Global
Funds II PLC - Insight High Grade ABS Fund - Share Class S Sterling
Accumulation^^ 22,826 38,686 7.51Insight Global Funds II PLC -
Insight Liquid ABS Fund - Share Class S Sterling Accumulation^^
37,339 40,210 7.81Insight Liquidity Funds PLC - GBP Liquidity Fund
- Share Class 2^^ 277,954 277,954 53.94Insight Liquidity Funds PLC
- GBP Liquidity Plus Fund - Share Class 2^^ 4,632 6,498 1.26LDI
Solutions Plus ICAV - IIFIG Government Liquidity Fund - Share Class
2^ 50,000 50,000 9.70
Total value of collective investment schemes 413,348 80.22
Interest rate swaps (2018: 51.42%)IRSW GBP RCV Z.C. 0.00% Pay
Variable (maturity date between 2016-2020) 3,033,947 335,858
65.18IFSW GBP RCV Fixed Pay Variable (maturity date between
2016-2020) 1,975,200 23,957 4.65IFSW GBP RCV UKRPI 1D Pay Fixed
(maturity date between 2016-2020) 1,365,000 17,463 3.39IRSW GBP RCV
Fixed Pay Variable (maturity date between 2016-2020) 2,687,000 758
0.15IRSW GBP RCV Z.C. 0.00% Pay Variable (maturity date between
2016-2020) (837,700) (6,381) (1.24)IFSW GBP RCV UKRPI 1D Pay Fixed
(maturity date between 2016-2020) (3,321,023) (141,404) (27.44)AIS
GBP RCV Fixed Pay Variable (maturity date between 2016-2020)
(4,534,509) (148,150) (28.75)AIS GBP RCV Variable Pay Fixed
(maturity date between 2016-2020) (1,234,100) (480,671) (93.29)
– – –Unrealised gain on interest rate swaps (2018: 121.92%) –
378,036 73.37Unrealised loss on interest rate swaps (2018:
(70.50%)) – (776,606) (150.72)Net unrealised loss on interest rate
swaps – (398,570) (77.35)
– – –Total Financial Assets - Collective investment schemes
413,348 80.22Total Financial Assets - Financial derivative
instruments 378,036 73.37Total Financial Liabilities - Financial
derivative instruments (776,606) (150.72)Total Cost of Investments
£407,122 (2018: £323,792)
Cash at bank (2018: 1.48%) the
30,716 the
5.96 the
Collateral and margin cash (2018: 18.91%) the
470,000 the
91.21 the
Net current liabilities (2018: (0.03%)) (224) (0.04)
Net assets attributable to holders of redeemable shares 515,270
100.00
A list of approved counterparties can be seen on page 503.
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LDI Solutions Plus ICAV
Portfolio and Schedule of InvestmentsAs at 31 December 2019
LDI Solutions Plus RPI Funds 2021-2025
30
Security DescriptionXXNominal Holdings XValue £
X% of Net Assets
XCollective investment schemes (2018: 87.18%) Insight Global
Funds II PLC - Insight High Grade ABS Fund - Share Class S Sterling
Accumulation^^ 146,167 247,732 5.88Insight Global Funds II PLC -
Insight Liquid ABS Fund - Share Class S Sterling Accumulation^^
155,633 167,602 3.98Insight Liquidity Funds PLC - GBP Liquidity
Fund - Share Class 2^^ 1,746,411 1,746,411 41.43Insight Liquidity
Funds PLC - GBP Liquidity Plus Fund - Share Class 2^^ 76,029
106,662 2.53
Total value of collective investment schemes 2,268,407 53.82
Interest rate swaps (2018: 0.55%)IRSW GBP RCV Z.C. 0.00% Pay
Variable (maturity date between 2016-2020) 46,309,620 6,713,618
159.28IFSW GBP RCV Fixed Pay Variable (maturity date between
2021-2025) 70,243,180 5,647,398 133.99IRSW GBP RCV Z.C. 0.00% Pay
Variable (maturity date between 2021-2025) 43,975,754 5,379,420
127.63IFSW GBP RCV RPI 1D Pay Variable (maturity date between
2021-2025) 17,780,692 528,984 12.55IRSW GBP RCV Fixed Pay Variable
(maturity date between 2021-2025) 17,535,013 253,693 6.02IFSW GBP
RCV UKRPI 1D Pay Variable (maturity date between 2021-2025)
2,075,400 137,610 3.26IFSW GBP RCV UKRPI 1D Pay Fixed (maturity
date between 2016-2020) 6,197,900 114,023 2.70IFSW GBP RCV Fixed
Pay Variable (maturity date between 2016-2020) 5,855,300 91,272
2.17IRSW Basis GBP RCV Pay Variable (maturity date between
2021-2025) 2,590,500 25,946 0.62IRSW GBP RCV Fixed Pay Variable
(maturity date between 2016-2020) 7,545,400 9,867 0.23IRSW Basis
GBP RCV Pay Variable (maturity date between 2021-2025) (4,252,100)
(16,910) (0.40)IFSW GBP RCV Fixed Pay Variable (maturity date
between 2021-2025) (7,197,300) (125,433) (2.97)IFSW GBP RCV RPI 1D
Pay Fixed (maturity date between 2021-2025) (11,283,986) (296,415)
(7.03)IRSW GBP RCV Variable Pay Z.C. 0.00% (maturity date between
2021-2025) (31,641,333) (4,428,948) (105.08)IRSW GBP RCV Variable
Pay Z.C. 0.00% (maturity date between 2016-2020) (53,883,320)
(6,921,272) (164.21)IFSW GBP RCV UKRPI 1D Pay Fixed (maturity date
between 2021-2025) (102,391,812) (8,972,949) (212.89)
– – –Unrealised gain on interest rate swaps (2018: 326.72%) –
18,901,831 448.45Unrealised loss on interest rate swaps (2018:
(326.17%)) – (20,761,927) (492.58)Net unrealised loss on interest
rate swaps – (1,860,096) (44.13)
– – –Total Financial Assets - Collective investment schemes
2,268,407 53.82Total Financial Assets - Financial derivative
instruments 18,901,831 448.45Total Financial Liabilities -
Financial derivative instruments (20,761,927) (492.58)Total Cost of
Investments £2,317,159 (2018: £8,622,637)
Cash at bank (2018: 0.35%) the
33,684 the
0.80 the
Collateral and margin cash (2018: 43.14%) the
3,765,000 the
89.33 the
Net current assets (2018: (31.22%)) 7,902 0.18
Net assets attributable to holders of redeemable shares
4,214,897 100.00
A list of approved counterparties can be seen on page 503.
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LDI Solutions Plus ICAV
Portfolio and Schedule of